<PAGE>
PIMCO FUNDS
[GRAPH]
PACIFIC INVESTMENT MANAGEMENT SERIES
SEMI-ANNUAL REPORT
SEPTEMBER 30, 1999
<PAGE>
<TABLE>
<CAPTION>
HIGH GRADE SPREADS
DATE FNMA Current Coupon AA Rated Corporates
<S> <C> <C>
Jan-1990 141.70 121.94
Feb-1990 140.77 105.15
Mar-1990 135.89 104.29
Apr-1990 131.85 102.45
May-1990 127.39 95.54
Jun-1990 126.11 98.33
Jul-1990 115.81 99.86
Aug-1990 100.51 99.52
Sep-1990 105.46 90.29
Oct-1990 119.67 101.12
Nov-1990 126.93 120.56
Dec-1990 123.70 123.18
Jan-1991 115.97 128.65
Feb-1991 113.94 128.03
Mar-1991 109.78 114.89
Apr-1991 109.26 105.38
May-1991 100.34 102.97
Jun-1991 102.30 97.37
Jul-1991 91.29 93.68
Aug-1991 96.26 92.57
Sep-1991 101.54 99.29
Oct-1991 85.79 105.43
Nov-1991 96.24 101.48
Dec-1991 95.94 103.40
Jan-1992 94.93 121.60
Feb-1992 87.86 104.38
Mar-1992 97.71 97.35
Apr-1992 80.40 93.77
May-1992 77.68 93.04
Jun-1992 83.66 93.58
Jul-1992 96.52 93.90
Aug-1992 85.75 101.15
Sep-1992 102.14 103.87
Oct-1992 113.49 111.15
Nov-1992 100.67 105.52
Dec-1992 91.67 101.12
Jan-1993 87.30 104.96
Feb-1993 102.62 106.93
Mar-1993 100.26 112.07
Apr-1993 103.28 108.54
May-1993 98.47 108.31
Jun-1993 97.00 101.44
Jul-1993 91.48 101.18
Aug-1993 99.73 99.17
Sep-1993 102.58 105.97
Oct-1993 105.02 108.74
Nov-1993 111.26 105.13
Dec-1993 99.49 98.83
Jan-1994 95.02 95.23
Feb-1994 98.10 91.56
Mar-1994 108.24 84.62
Apr-1994 105.52 82.80
May-1994 100.36 79.28
Jun-1994 103.36 78.13
Jul-1994 95.52 75.00
Aug-1994 95.43 74.03
Sep-1994 94.05 72.64
Oct-1994 87.04 71.07
Nov-1994 100.48 69.77
Dec-1994 106.93 70.51
Jan-1995 98.89 71.29
Feb-1995 94.90 73.55
Mar-1995 103.35 73.69
Apr-1995 103.38 73.60
May-1995 111.29 71.45
Jun-1995 121.99 78.11
Jul-1995 114.52 81.27
Aug-1995 115.44 77.32
Sep-1995 116.43 65.05
Oct-1995 119.08 64.84
Nov-1995 127.27 70.99
Dec-1995 118.05 68.84
Jan-1996 117.60 70.26
Feb-1996 118.78 68.38
Mar-1996 122.60 63.52
Apr-1996 112.24 59.81
May-1996 112.13 57.36
Jun-1996 107.27 56.15
Jul-1996 106.81 56.11
Aug-1996 108.03 55.97
Sep-1996 107.94 53.73
Oct-1996 110.31 53.95
Nov-1996 113.76 53.28
Dec-1996 110.91 55.83
Jan-1997 98.26 53.98
Feb-1997 100.49 51.56
Mar-1997 99.74 48.54
Apr-1997 94.67 49.32
May-1997 93.64 52.08
Jun-1997 93.35 51.10
Jul-1997 101.69 50.62
Aug-1997 94.29 54.36
Sep-1997 98.22 53.64
Oct-1997 108.33 56.10
Nov-1997 106.99 73.75
Dec-1997 102.43 68.03
Jan-1998 109.93 65.66
Feb-1998 108.74 69.80
Mar-1998 106.45 63.34
Apr-1998 102.69 62.08
May-1998 106.05 59.80
Jun-1998 111.87 61.43
Jul-1998 109.86 68.43
Aug-1998 134.14 68.48
Sep-1998 167.23 101.74
Oct-1998 178.07 102.56
Nov-1998 161.88 111.26
Dec-1998 163.90 92.31
Jan-1999 159.57 89.96
Feb-1999 136.86 87.75
Mar-1999 137.12 80.80
Apr-1999 126.61 78.63
May-1999 134.74 80.95
Jun-1999 138.07 83.66
Jul-1999 158.62 89.38
Aug-1999 167.27 98.51
Sep-1999 151.26 101.45
</TABLE>
Source: Salomon Brothers Yield Book
On the cover:
Depicted on the front cover and in greater detail here is a graph of high-grade
mortgage and corporate spreads for the period from January 1990 to September
1999. The graph compares both the FNMA current coupon and the yield on AA rated
corporate bonds to the 10-year Treasury Bond. Historical graphs such as this
assist PIMCO in evaluating long-term trends in the financial markets.
As the graph illustrates, in recent periods, mortgages have generally offered a
more attractive risk/reward tradeoff than high quality corporates. Enhancing
yield is an important tool that PIMCO uses to generate superior portfolio
returns as interest rates continue to fluctuate in a relatively narrow range.
Managing credit risk is also important, given the high levels of individual and
corporate indebtedness and prospects for slower economic growth. Agency
mortgages are one source of incremental yield that present virtually no credit
risk. Corporate bonds offer attractive yield premiums but may suffer adverse
price performance should credit quality deteriorate. At current levels,
mortgages offer historically attractive yield spreads over both Treasuries and
high grade corporate bonds and form an important core allocation in many of the
PIMCO Funds portfolios.
Contents
Chairman's Message ........................................................ 1
Market Review ............................................................. 2
Service Update ............................................................ 3
An Interview with William Gross ........................................... 4
Financial Highlights ...................................................... 30
Statements of Assets and Liabilities ...................................... 40
Statements of Operations .................................................. 44
Statements of Changes in Net Assets ....................................... 48
Statements of Cash Flows .................................................. 54
Notes to Financial Statements ............................................. 143
<TABLE>
<CAPTION>
Fund Schedule of
Summary Investments
<S> <C> <C>
Total Return Fund ..................................................... 5 55
Total Return Fund II .................................................. 6 77
Total Return Fund III ................................................. 7 80
Moderate Duration Fund ................................................ 8 83
Low Duration Fund ..................................................... 9 86
Low Duration Fund II .................................................. 10 93
Low Duration Fund III ................................................. 11 95
Short-Term Fund ....................................................... 12 96
Money Market Fund ..................................................... 13 99
Long-Term U.S. Government Fund ........................................ 14 100
High Yield Fund ....................................................... 15 103
Total Return Mortgage Fund ............................................ 16 108
Low Duration Mortgage Fund ............................................ 17 109
Real Return Bond Fund ................................................. 18 110
Foreign Bond Fund ..................................................... 19 112
Global Bond Fund ...................................................... 20 117
Global Bond Fund II ................................................... 21 122
Emerging Markets Bond Fund ............................................ 22 127
Strategic Balanced Fund ............................................... 23 129
Convertible Bond Fund ................................................. 24 132
StocksPLUS Fund ....................................................... 25 134
Municipal Bond Fund ................................................... 26 138
California Intermediate Municipal Bond Fund ........................... 27 140
New York Intermediate Municipal Bond Fund ............................. 28 141
Short Duration Municipal Income Fund .................................. 29 142
</TABLE>
<PAGE>
Chairman's Letter
PIMCO Advisors Holdings L.P. (NYSE:PA), its operating subsidiary PIMCO Advisors
L.P. and Allianz AG (EURO:ALV) announced that they have reached a definitive
agreement for Allianz AG to acquire majority ownership of PIMCO Advisors,
including all of the interests held at PIMCO Advisors Holdings L.P. Under the
terms of the agreement, at the closing the units of PA Holdings will be
exchanged by way of a merger and there will be no further public ownership of
PIMCO Advisors. Additionally, key employees at each of PIMCO Advisors'
investment units, including PIMCO's Bill Gross, have significant profit-sharing
and retention arrangements to ensure continuity of the investment process and
staff.
Dear PIMCO Funds Shareholder:
The stock and bond markets have produced mixed results over the past six months
despite continued strength in the U.S. economy. The stock market has taken
investors on a bit of a roller coaster ride, with the technology sector,
excluding Internet stocks, remaining one of the few areas of the market to
outperform.
Some sectors of the bond markets experienced turbulence as investors reacted
negatively to the continued strength of the U.S. economy and to rising interest
rates. Investor sentiment was reflected by an increase in U.S. Treasury rates
across the maturity spectrum, with rates on intermediate maturities rising the
most. The yield on the benchmark 30-year Treasury increased by 0.43% to finish
the six-month period at 6.05%.
In an effort to quell the prospect of rising inflation, the Federal Reserve
Board raised the fed funds rate by 0.25% twice during the past six months,
setting the rate at 5.25% and taking away two of the three rate reductions
initiated during autumn of 1998. With the latest increase, the Fed indicated
that they would maintain a neutral policy bias and stated that this increase
"together with the policy action in June and the firming of conditions more
generally in U.S. financial markets over recent months, should markedly diminish
the risk of rising inflation going forward." That wording helped to reassure
investors concerned about the potential for additional Fed rate hikes.
A considerable worry for investors during the period was the decline of the U.S.
dollar, especially versus the Japanese yen, which threatened to boost inflation
by pushing up import prices. The dollar's decline stemmed from a record U.S.
trade deficit and raised the prospect that international investors may move
capital from the U.S. markets to growing Asian and European economies. The
strength of the dollar is more important now because of the growing percentage
of domestic consumption satisfied by imports.
Despite volatility in the financial markets, the Funds in the Pacific Investment
Management Series have continued to experience strong relative performance
across the board. Also, PIMCO Funds has continued to attract new bond investors
at a rapid rate: we recently surpassed the $50 billion mark in assets under
management, making ours one the country's fastest growing fund families.
To provide our shareholders with a broader array of investment options, we have
added four new Funds to the family during the period: the Convertible Bond,
California Intermediate Municipal Bond, New York Intermediate Municipal Bond and
Short Duration Municipal Bond Funds. These additions will provide investors with
increased flexibility when selecting the most beneficial Fund instrument based
on their particular financial circumstances.
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
October 29, 1999
1999 Semi-Annual Report 1
<PAGE>
Market Review
Bond Market
Inflation Fears Lift Bond Yields
<TABLE>
<CAPTION>
30-Year
U.S. Treasury
Rates (%)
-------------
<S> <C>
10/02/1998 4.8
10/09/1998 5.1
10/16/1998 5.0
10/23/1998 5.2
10/30/1998 5.2
11/06/1998 5.4
11/13/1998 5.3
11/20/1998 5.2
11/27/1998 5.2
12/04/1998 5.0
12/11/1998 5.0
12/18/1998 5.0
12/25/1998 5.2
01/01/1999 5.1
01/08/1999 5.3
01/15/1999 5.1
01/22/1999 5.1
01/29/1999 5.1
02/05/1999 5.4
02/12/1999 5.4
02/19/1999 5.4
02/26/1999 5.6
03/05/1999 5.6
03/12/1999 5.5
03/19/1999 5.6
03/26/1999 5.6
04/02/1999 5.6
04/09/1999 5.5
04/16/1999 5.6
04/23/1999 5.6
04/30/1999 5.7
05/07/1999 5.8
05/14/1999 5.9
05/21/1999 5.8
05/28/1999 5.8
06/04/1999 6.0
06/11/1999 6.2
06/18/1999 6.0
06/25/1999 6.2
07/02/1999 6.0
07/09/1999 6.0
07/16/1999 5.9
07/23/1999 6.0
07/30/1999 6.1
08/06/1999 6.2
08/13/1999 6.1
08/20/1999 6.0
08/27/1999 6.0
09/03/1999 6.0
09/10/1999 6.0
09/17/1999 6.1
09/24/1999 6.0
09/30/1999 6.1
</TABLE>
Source: Bloomberg
Long-term interest rates rose during the past six months as inflation fears
continued to dominate the fixed-income marketplace. Bond prices in many sectors
reacted negatively, and by August the 30-year Treasury yield had climbed as high
as 6.28%.
The Federal Reserve raised short-term interest rates twice over the past six
months, taking back two of the three rate cuts of last year. But sentiment
turned positive when it became clear that the Fed was not embarking on a series
of protracted interest rate hikes. However, Alan Greenspan's renewed concerns
about high equity valuations caused the bond market to shift again, leaving
long-term interest rates near two-year highs by the end of September.
Interest rates around the world moved in lock step as the global recovery
continued. Europe's economic prospects remained positive. Asian economies
continued to mend. However, Japan's recovery was jeopardized as the yen's
renewed strength threatened exports and the Bank of Japan failed to respond. In
the U.S., despite significantly lower second quarter GDP figures, consumption
continued to surge, fueled by past stock market gains.
Concerns about liquidity at year-end caused a surge of new issuance in the bond
market during the third quarter. Yield differentials widened as a result. The
high yield and municipal segments, in particular, were negatively affected.
Looking ahead, we see signs that the U.S. economy could slow towards the end of
the year. The backup in interest rates and the recent uncertainty in the stock
market will soon begin to have a negative impact on both consumer and business
spending. In addition, higher gasoline prices are cutting into discretionary
income.
In our opinion, the worst of the rise in yields may be behind us. Over
the next year we think 30-year Treasury yields will fluctuate between 5.75% and
6.25%. While still a narrow range, a slowing economy could push Treasury yields
to the lower end.
Stock Market
The Market Broadens and Then Narrows Again
<TABLE>
<CAPTION>
S&P
500
Index
-------
<S> <C>
10/02/1998 1002.60
10/09/1998 984.39
10/16/1998 1056.42
10/23/1998 1070.67
10/30/1998 1098.67
11/06/1998 1141.01
11/13/1998 1125.72
11/20/1998 1163.55
11/27/1998 1192.29
12/04/1998 1176.74
12/11/1998 1166.46
12/18/1998 1188.03
12/25/1998 1226.27
01/01/1999 1229.23
01/08/1999 1275.09
01/15/1999 1243.26
01/22/1999 1225.19
01/29/1999 1279.64
02/05/1999 1239.40
02/12/1999 1230.13
02/19/1999 1239.19
02/26/1999 1238.33
03/05/1999 1275.47
03/12/1999 1294.59
03/19/1999 1299.29
03/26/1999 1282.80
04/02/1999 1293.72
04/09/1999 1348.35
04/16/1999 1319.00
04/23/1999 1356.85
04/30/1999 1335.18
05/07/1999 1345.00
05/14/1999 1337.80
05/21/1999 1330.29
05/28/1999 1301.84
06/04/1999 1327.75
06/11/1999 1293.64
06/18/1999 1342.84
06/25/1999 1315.31
07/02/1999 1391.22
07/09/1999 1403.28
07/16/1999 1418.78
07/23/1999 1356.94
07/30/1999 1328.72
08/06/1999 1300.29
08/13/1999 1327.68
08/20/1999 1336.61
08/27/1999 1348.27
09/03/1999 1357.24
09/10/1999 1351.66
09/17/1999 1335.42
09/24/1999 1277.36
09/30/1999 1282.71
</TABLE>
Source: Bloomberg
The stock market took investors on a bumpy ride over the six-month period ended
September 30, 1999. After rising to new highs on the coattails of large-cap
growth stocks in the first quarter of 1999, the market rotated in the second
quarter, favoring lower valuation and smaller capitalization issues. The third
quarter saw lackluster performance from nearly all segments of the market, as
performance was held hostage by the specter of inflation and rising interest
rates.
After dominating the market for much of 1998 and the first quarter of 1999,
large-cap growth stocks fell out of favor in the second quarter as interest
rates crept upward. As a result, investors shifted assets into lower valuation,
less interest-rate sensitive cyclical companies. These firms displayed signs of
improvement, due for the most part to the global economic recovery. Then
large-cap growth stocks returned to favor in late June and early July as
interest rates appeared to retreat. However, this trend was short-lived:
interest rates rose in August and this segment of the market ended the third
quarter having lost ground since the first quarter.
The technology sector, with the exception of Internet stocks, was one of the few
areas of the equity market that outperformed in the second and third quarters.
Strong earnings reports helped buoy this sector, despite pressure from rising
interest rates, as these companies were able to justify their valuations with
high earnings growth. Areas of particular excitement in technology included
semiconductor, cell phone handset and fiber optic companies. Internet issues,
with low or no earnings, were unable to justify their valuations in the eyes of
many investors, causing them to underperform in the second and third quarters.
Looking ahead, we are cautiously optimistic that the heightened concern over
interest rates will abate and the market will resume its rise. We are also
hopeful that the market will continue to broaden as the global economy continues
its recovery.
2 PIMCO Funds
<PAGE>
Service Update
New PIMCO Managers
Introducing Paul McCulley and Mohamed El-Erian
[PHOTO OF PAUL MCCULLEY]
Paul McCulley
Executive Vice President,
Manager of PIMCO Short-Term Fund
Paul McCulley was recently named manager of PIMCO Short-Term Fund. Early in his
career, Paul McCulley worked at Pacific Investment Management Company as an
account manager and monetary policy specialist. Bill Gross has referred to his
knowledge of Federal Reserve strategy and its effects on bonds as "legendary."
Before his return to PIMCO, McCulley was Managing Director, Chief Economist for
the Americas, and head of U.S. fixed-income strategy for Warburg Dillon Read.
During 1996-1998 he was named to six seats on the Institutional Investor
All-America Fixed Income Research Team.
In his new position, Mr. McCulley will be responsible for all short-term
portfolios, including PIMCO Short-Term Fund. His talents and background ensure
that he will be a key contributor to the development of economic and investment
strategies. He will be sharing his insightful knowledge of Fed policy through a
monthly newsletter entitled "Fed Focus." To read this column, visit our web site
at www.pimco.com.
Mohamed El-Erian is the new manager of PIMCO Emerging Markets Bond Fund. He
brings to PIMCO an impressive record of accomplishments in emerging markets.
Among the most notable is his distinguished career with the International
Monetary Fund (IMF), where he rose to the position of Deputy Director and led
policy work on debt and country issues. More recently, he was the head of the
emerging markets research group at Salomon Smith Barney in London.
[PHOTO OF MOHAMED EL-ERIAN]
Mohamed El-Erian
Executive Vice President, Manager of
PIMCO Emerging Markets Bond Fund
For more detailed information on the PIMCO Short-Term and Emerging Markets Bond
Funds, please turn to pages 12 and 22.
A Word About the Year 2000
We at PIMCO are dedicated to making our computer systems fully operational
before, during, and after 2000. Similarly, our analysts and portfolio managers
take Year 2000 risks into account along with other investment considerations
when making investment decisions, such as choosing counterparties and evaluating
risks associated with portfolio securities. This evaluation often differs for
different issuers and depends upon the investment objectives, policies, and
restrictions applicable to a portfolio. The information available for different
issuers and counterparties varies substantially in accuracy and completeness. In
particular, little information exists about companies that are not registered
with the United States Securities and Exchange Commission and about foreign
issuers, counterparties, markets and other institutions.
While we are dedicated to making a smooth transition to Year 2000, we cannot
guarantee investment performance or that Year 2000 will not result in losses.
Investments in companies with real or perceived Year 2000 problems may decline
in value or fail on scheduled dividend, interest or principal payments. Any such
failures may affect the fund's performance.1
1 This is a Year 2000 Readiness Disclosure.
1999 Semi-Annual Report 3
<PAGE>
Manager Spotlight
[PHOTO OF BILL GROSS]
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
the portfolio manager of the highly rated PIMCO Total Return and Low Duration
Funds, and leader of the team that manages the StocksPLUS Fund. 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: Has the bond market stabilized after backing up for most of the year?
A: While long-term interest rates ended the quarter about where they started,
the quarter was anything but stable. Investors heaved a sigh of relief
after the Fed rate hike on June 30. But this relief was short-lived as
inflation fears soon dominated the market again, sending 30-year Treasury
yields as high as 6.28%. The market rallied after the August 24 rate hike
because wording in the Fed's statement suggested further tightening was
unlikely. However, the good news didn't last long as new highs in the stock
market forced Greenspan to reiterate his concern about "overvalued" equity
prices. And although the deteriorating trade situation and weakness in the
dollar relative to the yen helped cool off stocks, long-term interest rates
remained stuck around 6%.
Q: Where are interest rates headed?
A: I think the worst of the run-up in yields is behind us. Although Treasuries
will probably remain in a narrow range of 5.75% to 6.25%, there is a good
chance the U.S. economy will slow, which will ease inflation pressures, and
keep the Fed from raising short-term interest rates again. By year's end,
the mini-bear market could be over, allowing for positive returns for the
bond market.
Q: What leads you to believe the economy will slow?
A: There are four reasons. First, the rise in interest rates that has already
occurred this year will slow spending by both consumers and corporations.
Second, as corporate profit margins are squeezed by higher borrowing costs,
stock prices will likely suffer. This will slow the "wealth effect"
consumption the economy needs to sustain its current growth rate. Third,
increases in gasoline prices may prove to be disinflationary rather than
inflationary. That's because gasoline is an essential commodity and higher
prices actually cut into discretionary spending. Finally, the massive
amount of spending to prepare for Y2K is now largely behind us.
Q: Is the global recovery still on track? Will it lead to higher inflation?
A: The global recovery is still moving forward, but it faces a number of
obstacles. The world remains plagued by over-capacity. Europe's inflexible
labor market makes productivity gains and the implementation of technology
difficult. And, Asia's high personal savings rate is an impediment to
increasing consumer demand, keeping Asian economies focused on exports. As
a result, the world economy is unlikely to achieve its full growth
potential, which will likely keep inflation subdued.
Q: Are there any sectors of the bond market you like right now?
A: I think high-quality "spread" products such as mortgages are attractive. At
a yield of close to 7.5%, GNMA (Government National Mortgage Association)
bonds are a good value. I also recommend TIPS (Treasury Inflation-Protected
Securities) which protect an investor's purchasing power by adjusting their
principle in line with changes in the Consumer Price Index. These
securities offer a real yield of 4%, high by historical standards. Add the
adjustment for inflation--about 2.5% in our view--and the bond provides a
"nominal" equivalent yield of 6.5%.
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.
4 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:
4.60 years
Total Net Assets:
$29.3 billion
Sector Breakdown:*
[CHART]
Mortgage-Backed Securities 43.3%
Corporate Bonds and Notes 34.2%
Asset-Backed Securities 7.0%
U.S. Treasury Obligations 5.2%
Other 10.3%
Quality Breakdown:*
[CHART]
AAA 58.3%
AA 6.7%
A 17.1%
BBB 11.1%
BB 6.4%
B 0.4%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
Total Return Investment Performance For the Period Ended September 30, 1999
<TABLE>
<CAPTION>
Lipper Intermediate
Inst'l Class Admin. Class Lehman Brothers Investment Grade
(Incep. 5/11/1987) (Incep. 9/07/1994) Aggregate Bond Index Debt Fund Average
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
6 Months 0.07% -0.06% -0.21% -0.61%
1 Year 0.00% -0.25% -0.37% -1.01%
3 Years* 7.73% 7.46% 6.82% 5.86%
5 Years* 8.58% 8.34% 7.84% 6.89%
10 Years* 9.18% -- 8.10% 7.32%
Since Inception* 9.23% 7.99% -- --
</TABLE>
* Annualized
Cumulative Returns Through SEPTEMBER 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Total Return Lehman Brothers
MONTH Fund Aggregate Bond
Index
<S> <C> <C>
05/31/1987 5,000,000 5,000,000
06/30/1987 5,063,956 5,068,813
07/31/1987 5,051,390 5,064,918
08/31/1987 5,039,534 5,037,815
09/30/1987 4,913,547 4,930,538
10/31/1987 5,070,060 5,106,141
11/30/1987 5,107,024 5,147,040
12/31/1987 5,153,726 5,217,151
01/31/1988 5,364,621 5,400,545
02/29/1988 5,425,978 5,464,652
03/31/1988 5,377,483 5,413,367
04/30/1988 5,349,895 5,384,153
05/31/1988 5,323,746 5,347,962
06/30/1988 5,451,097 5,476,986
07/31/1988 5,444,079 5,448,260
08/31/1988 5,470,463 5,462,542
09/30/1988 5,574,381 5,586,211
10/31/1988 5,662,479 5,691,379
11/30/1988 5,612,027 5,622,241
12/31/1988 5,637,131 5,628,571
01/31/1989 5,706,918 5,709,556
02/28/1989 5,670,892 5,668,171
03/31/1989 5,697,790 5,692,677
04/30/1989 5,825,551 5,811,802
05/31/1989 5,967,305 5,964,522
06/30/1989 6,168,244 6,146,131
07/31/1989 6,298,843 6,276,779
08/31/1989 6,190,418 6,183,783
09/30/1989 6,221,536 6,215,431
10/31/1989 6,371,017 6,368,476
11/30/1989 6,426,949 6,429,174
12/31/1989 6,440,083 6,446,378
01/31/1990 6,332,594 6,369,774
02/28/1990 6,349,652 6,390,386
03/31/1990 6,344,778 6,395,092
04/30/1990 6,255,058 6,336,504
05/31/1990 6,460,283 6,524,117
06/30/1990 6,569,705 6,628,798
07/31/1990 6,676,661 6,720,495
08/31/1990 6,571,662 6,630,745
09/30/1990 6,578,458 6,685,601
10/31/1990 6,669,789 6,770,482
11/30/1990 6,838,024 6,916,223
12/31/1990 6,958,354 7,023,987
01/31/1991 7,027,903 7,110,815
02/28/1991 7,126,178 7,171,514
03/31/1991 7,216,808 7,220,852
04/30/1991 7,335,070 7,299,078
05/31/1991 7,390,178 7,341,762
06/30/1991 7,401,768 7,338,029
07/31/1991 7,508,521 7,439,788
08/31/1991 7,712,232 7,600,786
09/30/1991 7,894,694 7,754,804
10/31/1991 7,975,769 7,841,145
11/30/1991 8,045,044 7,913,042
12/31/1991 8,319,147 8,148,046
01/31/1992 8,251,437 8,037,198
02/29/1992 8,323,957 8,089,457
03/31/1992 8,292,135 8,043,852
04/30/1992 8,335,850 8,101,954
05/31/1992 8,508,487 8,254,836
06/30/1992 8,616,472 8,368,443
07/31/1992 8,827,524 8,539,178
08/31/1992 8,902,987 8,625,682
09/30/1992 9,043,980 8,727,928
10/31/1992 8,965,037 8,612,211
11/30/1992 8,972,362 8,614,159
12/31/1992 9,129,278 8,751,136
01/31/1993 9,297,750 8,918,950
02/28/1993 9,504,901 9,075,078
03/31/1993 9,560,206 9,112,893
04/30/1993 9,643,848 9,176,350
05/31/1993 9,666,306 9,188,036
06/30/1993 9,876,645 9,354,551
07/31/1993 9,937,133 9,407,459
08/31/1993 10,163,538 9,572,351
09/30/1993 10,204,890 9,598,643
10/31/1993 10,277,472 9,634,511
11/30/1993 10,187,745 9,552,551
12/31/1993 10,271,501 9,604,324
01/31/1994 10,396,445 9,733,998
02/28/1994 10,210,928 9,564,886
03/31/1994 9,995,399 9,329,070
04/30/1994 9,896,929 9,254,577
05/31/1994 9,850,224 9,253,278
06/30/1994 9,814,015 9,232,829
07/31/1994 10,015,509 9,416,223
08/31/1994 10,044,623 9,427,908
09/30/1994 9,917,753 9,289,146
10/31/1994 9,906,083 9,280,869
11/30/1994 9,907,443 9,260,257
12/31/1994 9,904,417 9,324,202
01/31/1995 10,082,267 9,508,731
02/28/1995 10,319,048 9,734,809
03/31/1995 10,417,456 9,794,534
04/30/1995 10,600,658 9,931,349
05/31/1995 10,936,213 10,315,665
06/30/1995 10,929,713 10,391,294
07/31/1995 10,936,311 10,368,086
08/31/1995 11,105,123 10,493,216
09/30/1995 11,244,355 10,595,300
10/31/1995 11,415,091 10,733,089
11/30/1995 11,662,396 10,893,924
12/31/1995 11,863,138 11,046,806
01/31/1996 11,960,385 11,120,164
02/29/1996 11,668,778 10,926,870
03/31/1996 11,578,391 10,850,915
04/30/1996 11,530,294 10,789,892
05/31/1996 11,499,480 10,767,982
06/30/1996 11,683,873 10,912,588
07/31/1996 11,714,500 10,942,450
08/31/1996 11,704,501 10,924,111
09/30/1996 11,973,193 11,114,483
10/31/1996 12,284,300 11,360,686
11/30/1996 12,575,406 11,555,278
12/31/1996 12,419,446 11,447,838
01/31/1997 12,465,678 11,482,894
02/28/1997 12,494,013 11,511,458
03/31/1997 12,342,925 11,383,894
04/30/1997 12,565,728 11,554,304
05/31/1997 12,694,757 11,663,529
06/30/1997 12,843,894 11,801,967
07/31/1997 13,203,071 12,120,229
08/31/1997 13,089,168 12,016,846
09/30/1997 13,301,627 12,194,073
10/31/1997 13,461,510 12,370,975
11/30/1997 13,523,400 12,427,941
12/31/1997 13,681,812 12,553,071
01/31/1998 13,893,968 12,714,230
02/28/1998 13,855,371 12,704,087
03/31/1998 13,902,211 12,748,312
04/30/1998 13,957,191 12,814,853
05/31/1998 14,119,833 12,936,413
06/30/1998 14,257,594 13,046,124
07/31/1998 14,305,551 13,073,877
08/31/1998 14,533,176 13,286,646
09/30/1998 14,969,015 13,597,767
10/31/1998 14,869,808 13,525,870
11/30/1998 14,925,950 13,602,636
12/31/1998 15,018,914 13,643,534
01/31/1999 15,109,171 13,740,911
02/28/1999 14,831,091 13,501,039
03/31/1999 14,958,503 13,575,857
04/30/1999 15,032,946 13,618,865
05/31/1999 14,870,656 13,499,578
06/30/1999 14,846,270 13,456,570
07/31/1999 14,790,750 13,399,279
08/31/1999 14,803,007 13,392,596
09/30/1999 14,968,364 13,547,942
</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 6/01/1987, the first full month following the Fund's
Institutional Class inception on 5/11/1987, compared to the Lehman Brothers
Aggregate Bond Index, an unmanaged market index. The performance of the
Administrative Class (shown above) reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 9/07/1994. The Fund may invest in foreign securities
which involve potentially higher risks including foreign currency fluctuations
and political or economic uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Total Return Fund's Institutional Class shares outperformed the Lehman
Brothers Aggregate Bond Index for the six-month period ended September 30,
1999, returning 0.07% versus -0.21% for the Index.
. The Fund's duration was held below that of the Index, which benefited
returns as interest rates rose as much as 0.65% amid concern that the
Federal Reserve would boost interest rates to prevent inflation from
accelerating.
. An overweight in mortgages was negative for relative returns as mortgages
underperformed Treasuries during the period. Adverse price performance more
than offset mortgages' yield advantage relative to Treasuries.
. An underweight to corporates was a modest positive as this sector lagged
Treasuries due to widening yield premiums. Investor demand for corporates
diminished because of concern that earnings would be adversely affected by
a slower economy stemming from Fed tightening.
. Limited holdings of below-investment grade bonds were a modest negative for
returns. High yield securities underperformed Treasuries due to investor
concern about rising default rates in this sector, but the Fund's holdings
of higher-quality issuers outperformed the market as a whole.
. A modest allocation to emerging market bonds was positive for returns due
to the relatively high yield premiums offered by these securities and a
general decline in market volatility over the period.
1999 SEMI-ANNUAL REPORT 5
<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:
4.77 years
Total Net Assets:
$1.2 billion
Sector Breakdown:*
[CHART]
Corporate Bonds and Notes 47.1%
Mortgage-Backed Securities 40.0%
Asset-Backed Securities 5.9%
Other 7.0%
Quality Breakdown:*
[CHART]
AAA 50.6%
AA 9.6%
A 29.1%
BBB 10.7%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
Total Return Investment Performance For the Period Ended September 30, 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>
6 Months -0.49% -0.61% -0.21% -0.61%
1 Year -1.29% -1.54% -0.37% -1.01%
3 Years* 7.31% 7.04% 6.82% 5.86%
5 Years* 8.21% -- 7.84% 6.89%
Since Inception * 7.50% 8.26% -- --
</TABLE>
* Annualized
Cumulative Returns Through September 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Total Return Fund II Lehman Brothers
MONTH Aggregate Bond Index
<S> <C> <C>
12/31/1991 5,000,000 5,000,000
01/31/1992 4,929,716 4,931,979
02/29/1992 4,951,937 4,964,047
03/31/1992 4,937,873 4,936,062
04/30/1992 4,963,257 4,971,716
05/31/1992 5,075,312 5,065,531
06/30/1992 5,149,979 5,135,245
07/31/1992 5,309,040 5,240,016
08/31/1992 5,355,136 5,293,098
09/30/1992 5,437,041 5,355,841
10/31/1992 5,367,337 5,284,832
11/30/1992 5,383,727 5,286,027
12/31/1992 5,471,600 5,370,083
01/31/1993 5,579,371 5,473,060
02/28/1993 5,705,377 5,568,868
03/31/1993 5,719,997 5,592,073
04/30/1993 5,793,075 5,631,013
05/31/1993 5,790,801 5,638,183
06/30/1993 5,920,354 5,740,365
07/31/1993 5,952,711 5,772,831
08/31/1993 6,070,915 5,874,017
09/30/1993 6,093,002 5,890,150
10/31/1993 6,109,820 5,912,160
11/30/1993 6,049,436 5,861,866
12/31/1993 6,067,802 5,893,636
01/31/1994 6,149,761 5,973,210
02/28/1994 6,050,676 5,869,435
03/31/1994 5,910,178 5,724,729
04/30/1994 5,870,870 5,679,016
05/31/1994 5,858,460 5,678,219
06/30/1994 5,845,104 5,665,671
07/31/1994 5,977,463 5,778,209
08/31/1994 5,984,657 5,785,380
09/30/1994 5,896,835 5,700,229
10/31/1994 5,889,838 5,695,150
11/30/1994 5,888,896 5,682,502
12/31/1994 5,933,421 5,721,741
01/31/1995 6,043,232 5,834,977
02/28/1995 6,182,752 5,973,708
03/31/1995 6,223,522 6,010,358
04/30/1995 6,299,808 6,094,313
05/31/1995 6,523,923 6,330,146
06/30/1995 6,551,569 6,376,556
07/31/1995 6,507,691 6,362,315
08/31/1995 6,628,805 6,439,100
09/30/1995 6,717,353 6,501,743
10/31/1995 6,829,613 6,586,296
11/30/1995 6,952,671 6,684,992
12/31/1995 7,059,284 6,778,807
01/31/1996 7,096,875 6,823,822
02/29/1996 6,956,380 6,705,209
03/31/1996 6,882,877 6,658,600
04/30/1996 6,829,282 6,621,153
05/31/1996 6,805,776 6,607,708
06/30/1996 6,917,299 6,696,445
07/31/1996 6,933,266 6,714,769
08/31/1996 6,916,233 6,703,516
09/30/1996 7,079,837 6,820,337
10/31/1996 7,268,469 6,971,417
11/30/1996 7,416,019 7,090,828
12/31/1996 7,331,446 7,024,898
01/31/1997 7,372,632 7,046,410
02/28/1997 7,387,727 7,063,938
03/31/1997 7,305,831 6,985,659
04/30/1997 7,418,069 7,090,230
05/31/1997 7,488,383 7,157,255
06/30/1997 7,571,276 7,242,207
07/31/1997 7,808,619 7,437,506
08/31/1997 7,730,081 7,374,066
09/30/1997 7,837,156 7,482,820
10/31/1997 7,950,092 7,591,375
11/30/1997 7,972,129 7,626,332
12/31/1997 8,063,867 7,703,117
01/31/1998 8,181,882 7,802,012
02/28/1998 8,157,419 7,795,787
03/31/1998 8,181,806 7,822,926
04/30/1998 8,222,040 7,863,759
05/31/1998 8,310,019 7,938,353
06/30/1998 8,398,686 8,005,677
07/31/1998 8,417,371 8,022,707
08/31/1998 8,634,608 8,153,272
09/30/1998 8,863,669 8,344,189
10/31/1998 8,784,161 8,300,070
11/30/1998 8,790,237 8,347,177
12/31/1998 8,840,354 8,372,274
01/31/1999 8,895,775 8,432,029
02/28/1999 8,717,208 8,284,832
03/31/1999 8,791,829 8,330,744
04/30/1999 8,826,341 8,357,136
05/31/1999 8,716,487 8,283,936
06/30/1999 8,686,621 8,257,544
07/31/1999 8,640,505 8,222,388
08/31/1999 8,645,072 8,218,287
09/30/1999 8,749,143 8,313,614
</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 1/01/1992, the first full month following the Fund's
Institutional Class inception on 12/30/1991, compared to the Lehman Brothers
Aggregate Bond Index, an unmanaged market index. The performance of the
Administrative Class (shown above) reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 11/30/1994.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Total Return Fund II Institutional Class shares lagged the Lehman
Brothers Aggregate Bond Index for the six-month period ended September 30,
1999, returning -0.49% after fees versus -0.21% for the Index.
. The Fund's duration was held below that of the Index, which benefited
returns as interest rates rose as much as 0.65% amid concern that the
Federal Reserve would boost interest rates to prevent inflation from
accelerating.
. An overweight in mortgages was negative for relative returns as mortgages
underperformed Treasuries during the period. Adverse price performance more
than offset mortgages' yield advantage relative to Treasuries.
. Near-benchmark holdings of corporates were neutral for relative returns.
Corporates lagged Treasuries during the period due to widening yield
premiums. Investor demand for corporates diminished because of concern that
earnings would be adversely affected by a slower economy stemming from Fed
tightening.
6 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:
4.42 years
Total Net Assets:
$621.1 million
Sector Breakdown:*
[CHART]
Mortgage-Backed Securities 44.5%
Corporate Bonds and Notes 30.0%
U.S. Government Agencies 8.0%
Asset-Backed Securities 6.0%
Other 11.5%
Quality Breakdown:*
[CHART]
AAA 62.4%
AA 10.4%
A 12.5%
BBB 10.0%
BB 4.7%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
Total Return Investment Performance For the Period Ended September 30, 1999
<TABLE>
<CAPTION>
Lipper Intermediate
Inst'l Class Admin. Class Lehman Brothers Investment Grade
(Incep. 5/01/1991) (Incep. 4/11/1997) Aggregate Bond Index Debt Fund Average
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
6 Months -0.60% -0.73% -0.21% -0.61%
1 Year 0.01% -0.24% -0.37% -1.01%
3 Years* 7.66% -- 6.82% 5.86%
5 Years* 8.46% -- 7.84% 6.89%
Since Inception * 8.77% 7.84% -- --
</TABLE>
* Annualized
Cumulative Returns Through September 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Total Return Fund III Lehman Brothers
MONTH Aggregate Bond Index
<S> <C> <C>
04/30/1991 5,000,000 5,000,000
05/31/1991 5,024,573 5,029,239
06/30/1991 5,011,360 5,026,682
07/31/1991 5,091,347 5,096,389
08/31/1991 5,231,902 5,206,675
09/30/1991 5,362,299 5,312,180
10/31/1991 5,419,024 5,371,326
11/30/1991 5,475,902 5,420,576
12/31/1991 5,687,512 5,581,558
01/31/1992 5,605,239 5,505,625
02/29/1992 5,649,578 5,541,424
03/31/1992 5,621,306 5,510,184
04/30/1992 5,643,874 5,549,984
05/31/1992 5,752,958 5,654,712
06/30/1992 5,844,833 5,732,534
07/31/1992 6,028,857 5,849,491
08/31/1992 6,069,916 5,908,747
09/30/1992 6,112,922 5,978,788
10/31/1992 6,061,053 5,899,520
11/30/1992 6,110,005 5,900,854
12/31/1992 6,200,947 5,994,686
01/31/1993 6,262,534 6,109,641
02/28/1993 6,404,215 6,216,592
03/31/1993 6,434,449 6,242,496
04/30/1993 6,497,518 6,285,965
05/31/1993 6,501,189 6,293,970
06/30/1993 6,644,496 6,408,036
07/31/1993 6,697,102 6,444,279
08/31/1993 6,880,114 6,557,233
09/30/1993 6,894,099 6,575,243
10/31/1993 6,957,037 6,599,813
11/30/1993 6,917,372 6,543,670
12/31/1993 6,984,685 6,579,135
01/31/1994 7,060,374 6,667,964
02/28/1994 6,937,795 6,552,119
03/31/1994 6,797,242 6,390,581
04/30/1994 6,731,751 6,339,552
05/31/1994 6,676,376 6,338,662
06/30/1994 6,681,328 6,324,654
07/31/1994 6,815,349 6,450,282
08/31/1994 6,830,651 6,458,287
09/30/1994 6,760,588 6,363,232
10/31/1994 6,777,181 6,357,562
11/30/1994 6,726,341 6,343,443
12/31/1994 6,745,188 6,387,246
01/31/1995 6,870,185 6,513,652
02/28/1995 7,076,265 6,668,520
03/31/1995 7,131,606 6,709,432
04/30/1995 7,251,354 6,803,153
05/31/1995 7,479,227 7,066,416
06/30/1995 7,468,982 7,118,224
07/31/1995 7,469,280 7,102,326
08/31/1995 7,577,254 7,188,042
09/30/1995 7,661,664 7,257,971
10/31/1995 7,778,032 7,352,359
11/30/1995 7,920,241 7,462,534
12/31/1995 8,042,735 7,567,261
01/31/1996 8,110,490 7,617,512
02/29/1996 7,917,045 7,485,103
03/31/1996 7,848,991 7,433,072
04/30/1996 7,813,232 7,391,271
05/31/1996 7,795,663 7,376,262
06/30/1996 7,938,312 7,475,319
07/31/1996 7,953,817 7,495,775
08/31/1996 7,937,131 7,483,213
09/30/1996 8,134,267 7,613,621
10/31/1996 8,353,533 7,782,274
11/30/1996 8,530,260 7,915,573
12/31/1996 8,415,107 7,841,975
01/31/1997 8,452,273 7,865,989
02/28/1997 8,465,767 7,885,556
03/31/1997 8,379,284 7,798,172
04/30/1997 8,523,528 7,914,906
05/31/1997 8,625,020 7,989,727
06/30/1997 8,714,471 8,084,560
07/31/1997 8,945,988 8,302,575
08/31/1997 8,888,809 8,231,756
09/30/1997 9,006,608 8,353,160
10/31/1997 9,140,798 8,474,341
11/30/1997 9,172,684 8,513,363
12/31/1997 9,274,215 8,599,079
01/31/1998 9,418,706 8,709,477
02/28/1998 9,404,616 8,702,528
03/31/1998 9,436,938 8,732,823
04/30/1998 9,472,905 8,778,405
05/31/1998 9,559,386 8,861,676
06/30/1998 9,655,888 8,936,830
07/31/1998 9,697,309 8,955,841
08/31/1998 9,843,713 9,101,592
09/30/1998 10,148,628 9,314,715
10/31/1998 10,097,948 9,265,464
11/30/1998 10,154,614 9,318,050
12/31/1998 10,237,306 9,346,067
01/31/1999 10,291,019 9,412,772
02/28/1999 10,083,482 9,248,455
03/31/1999 10,210,751 9,299,706
04/30/1999 10,264,484 9,329,168
05/31/1999 10,112,792 9,247,454
06/30/1999 10,098,298 9,217,993
07/31/1999 10,060,554 9,178,748
08/31/1999 10,064,068 9,174,170
09/30/1999 10,149,144 9,280,584
</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 5/01/1991, the Fund's Institutional Class inception
date, compared to the Lehman Brothers Aggregate Bond Index, an unmanaged market
index. The performance of the Administrative Class (shown above) reflects the
payment of a service fee in an amount not to exceed 0.25% on an annualized
basis. The Administrative Class commenced operations on 4/11/1997. The Fund may
invest in foreign securities which involve potentially higher risks including
foreign currency fluctuations and political or economic uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Total Return Fund III Institutional Class shares underperformed the
Lehman Brothers Aggregate Bond Index for the six-month period ending
September 30, 1999, returning -0.60% after fees versus -0.21% for the
Index.
. The Fund's duration was held below that of the Index, which benefited
returns as interest rates rose as much as 0.65% amid concern that the
Federal Reserve would boost interest rates to prevent inflation from
accelerating.
. An overweight to mortgages was negative for relative returns as mortgages
underperformed Treasuries during the period. Adverse price performance more
than offset mortgages' yield advantage relative to Treasuries.
. Mortgage security selection was also a negative as certain collateralized
mortgage securities lagged mortgages overall due to increased volatility in
the market.
. Near-benchmark holdings of corporates were neutral for relative returns.
Corporates lagged Treasuries during the period due to widening yield
premiums.
. Limited holdings of non-investment grade bonds were negative for returns.
High yield securities underperformed Treasuries due to investor concern
about rising default rates in this sector.
. Limited holdings of emerging market bonds enhanced returns due to
attractive yields and a decline in market volatility over the period.
1999 Semi-Annual Report 7
<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:
3.39 years
Total Net Assets:
$345.0 million
Sector Breakdown:*
[CHART]
Mortgage-Backed Securities 44.4%
Corporate Bonds and Notes 26.5%
Asset-Backed Securities 7.9%
U.S. Treasury Obligations 6.6%
Sovereign Issues 5.5%
Other 9.1%
Quality Breakdown:*
[CHART]
AAA 61.2%
AA 10.0%
A 10.7%
BBB 12.4%
BB 5.7%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
Total Return Investment Performance For the Period Ended September 30, 1999
<TABLE>
<CAPTION>
Lehman Brothers Lipper Short
Inst'l Class Intermediate Government/ Intermediate Grade
(Incep. 12/31/1996) Corporate Bond Index Debt Fund Average
- ----------------------------------------------------------------------------------
<S> <C> <C> <C>
6 Months 0.26% 0.52% 0.51%
1 Year 0.79% 0.63% 1.15%
Since Inception* 5.93% -- --
</TABLE>
* Annualized
Cumulative Returns Through September 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Moderate Duration Lehman Brothers
MONTH Fund Intermed. Gov't/
Corporate Bond Index
<S> <C> <C>
12/31/1996 5,000,000 5,000,000
01/31/1997 5,018,573 5,019,499
02/28/1997 5,025,671 5,029,037
03/31/1997 4,987,552 4,994,337
04/30/1997 5,045,822 5,053,270
05/31/1997 5,078,973 5,095,212
06/30/1997 5,141,280 5,141,578
07/31/1997 5,240,626 5,245,952
08/31/1997 5,220,094 5,219,722
09/30/1997 5,282,529 5,280,271
10/31/1997 5,331,654 5,338,882
11/30/1997 5,354,915 5,350,628
12/31/1997 5,398,734 5,393,432
01/31/1998 5,454,128 5,464,087
02/28/1998 5,448,868 5,459,715
03/31/1998 5,476,199 5,477,186
04/30/1998 5,507,779 5,504,572
05/31/1998 5,547,118 5,544,756
06/30/1998 5,574,030 5,580,242
07/31/1998 5,603,136 5,599,773
08/31/1998 5,657,953 5,687,689
09/30/1998 5,812,116 5,830,450
10/31/1998 5,807,792 5,824,620
11/30/1998 5,807,850 5,824,037
12/31/1998 5,837,909 5,847,334
01/31/1999 5,869,063 5,879,494
02/28/1999 5,778,416 5,793,065
03/31/1999 5,842,985 5,836,513
04/30/1999 5,861,195 5,854,606
05/31/1999 5,823,540 5,809,526
06/30/1999 5,805,584 5,813,592
07/31/1999 5,800,346 5,808,361
08/31/1999 5,804,694 5,813,007
09/30/1999 5,858,013 5,867,068
</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 0.26%, underperforming the benchmark
Lehman Brothers Intermediate Government/Corporate Bond Index return of
0.52% for the semi-annual period ended September 30, 1999.
. Duration averaged slightly above-benchmark, which modestly hurt returns as
interest rates rose during the period.
. The Fund's allocation to mortgage-backed securities slightly detracted from
returns as adverse price performance offset higher relative yields.
. Underweighting the corporate sector helped relative returns as yield
premiums widened relative to Treasuries due to uncertainty over Fed policy
and heavy new issuance.
. A small strategy designed to benefit from rising Japanese interest rates
slightly detracted from returns as these rates fell.
. Limited holdings of U.S. dollar-denominated emerging market bonds were
slightly positive due to higher yields and reduced volatility.
8 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:
2.15 years
Total Net Assets:
$4.6 billion
Sector Breakdown:*
[CHART]
Corporate Bonds and Notes 41.1%
Mortgage-Backed Securities 35.1%
U.S.Treasury Obligations 8.3%
Asset-Backed Securities 5.2%
Other 10.3%
Quality Breakdown:*
[CHART]
AAA 50.8%
AA 9.9%
A 18.3%
BBB 14.0%
BB 6.5%
B 0.5%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 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>
6 Months 1.11 0.98 1.84 1.28%
1 Year 2.98 2.73 3.23 2.69%
3 Years* 6.62 6.35 6.01 5.32%
5 Years* 7.02 -- 6.38 5.79%
10 Years* 7.62 -- 6.83 6.56%
Since Inception* 7.88 7.14 -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Low Duration Merrill Lynch
MONTH Fund 1-3 Year Treasury
Index
<S> <C> <C>
05/31/1987 5,000,000 5,000,000
06/30/1987 5,046,628 5,054,486
07/31/1987 5,065,090 5,079,247
08/31/1987 5,064,335 5,083,277
09/30/1987 5,052,060 5,063,694
10/31/1987 5,133,989 5,175,497
11/30/1987 5,191,951 5,206,753
12/31/1987 5,222,390 5,239,924
01/31/1988 5,308,798 5,323,917
02/29/1988 5,347,411 5,367,579
03/31/1988 5,380,986 5,378,053
04/30/1988 5,403,325 5,385,796
05/31/1988 5,415,511 5,378,103
06/30/1988 5,466,198 5,433,788
07/31/1988 5,495,264 5,437,868
08/31/1988 5,517,425 5,449,457
09/30/1988 5,568,286 5,512,752
10/31/1988 5,619,832 5,567,754
11/30/1988 5,626,975 5,552,801
12/31/1988 5,652,043 5,565,872
01/31/1989 5,699,277 5,609,584
02/28/1989 5,708,130 5,609,468
03/31/1989 5,730,286 5,635,162
04/30/1989 5,798,151 5,721,387
05/31/1989 5,917,401 5,806,895
06/30/1989 6,046,639 5,915,301
07/31/1989 6,135,363 6,002,808
08/31/1989 6,107,180 5,965,890
09/30/1989 6,137,963 6,001,276
10/31/1989 6,219,093 6,091,880
11/30/1989 6,275,483 6,149,263
12/31/1989 6,307,554 6,173,858
01/31/1990 6,303,536 6,178,987
02/28/1990 6,346,767 6,207,779
03/31/1990 6,381,164 6,228,694
04/30/1990 6,377,250 6,240,900
05/31/1990 6,484,898 6,336,383
06/30/1990 6,554,775 6,403,041
07/31/1990 6,626,735 6,482,955
08/31/1990 6,639,802 6,502,338
09/30/1990 6,676,368 6,555,691
10/31/1990 6,724,978 6,627,712
11/30/1990 6,805,177 6,692,922
12/31/1990 6,878,682 6,774,101
01/31/1991 6,942,193 6,836,151
02/28/1991 6,997,644 6,876,758
03/31/1991 7,057,271 6,923,107
04/30/1991 7,143,402 6,988,670
05/31/1991 7,199,368 7,030,881
06/30/1991 7,245,425 7,059,426
07/31/1991 7,325,646 7,120,914
08/31/1991 7,430,571 7,218,612
09/30/1991 7,527,775 7,296,718
10/31/1991 7,593,269 7,375,086
11/30/1991 7,675,305 7,451,712
12/31/1991 7,804,629 7,565,276
01/31/1992 7,811,724 7,553,701
02/29/1992 7,850,357 7,579,762
03/31/1992 7,854,905 7,577,109
04/30/1992 7,910,379 7,646,439
05/31/1992 7,990,995 7,716,175
06/30/1992 8,065,552 7,794,942
07/31/1992 8,172,756 7,882,416
08/31/1992 8,227,543 7,951,624
09/30/1992 8,309,644 8,027,323
10/31/1992 8,312,516 7,979,320
11/30/1992 8,317,418 7,966,313
12/31/1992 8,404,634 8,041,993
01/31/1993 8,484,134 8,125,469
02/28/1993 8,584,735 8,194,941
03/31/1993 8,633,491 8,219,527
04/30/1993 8,674,838 8,270,487
05/31/1993 8,685,036 8,247,329
06/30/1993 8,771,815 8,308,113
07/31/1993 8,802,074 8,327,387
08/31/1993 8,888,391 8,400,002
09/30/1993 8,922,962 8,427,302
10/31/1993 8,984,843 8,443,819
11/30/1993 8,993,553 8,445,931
12/31/1993 9,056,846 8,477,097
01/31/1994 9,106,228 8,531,519
02/28/1994 9,066,980 8,477,003
03/31/1994 9,027,600 8,434,789
04/30/1994 8,998,069 8,404,930
05/31/1994 8,988,338 8,416,864
06/30/1994 9,007,246 8,441,778
07/31/1994 9,091,298 8,514,377
08/31/1994 9,129,999 8,544,348
09/30/1994 9,116,482 8,524,952
10/31/1994 9,115,926 8,544,133
11/30/1994 9,118,176 8,506,026
12/31/1994 9,113,801 8,525,250
01/31/1995 9,198,589 8,643,921
02/28/1995 9,314,539 8,762,689
03/31/1995 9,352,866 8,811,585
04/30/1995 9,470,326 8,890,096
05/31/1995 9,642,739 9,045,405
06/30/1995 9,692,391 9,094,070
07/31/1995 9,696,402 9,131,718
08/31/1995 9,802,372 9,186,053
09/30/1995 9,890,345 9,230,697
10/31/1995 9,964,908 9,308,604
11/30/1995 10,081,178 9,390,892
12/31/1995 10,201,089 9,463,014
01/31/1996 10,276,453 9,543,450
02/29/1996 10,210,333 9,503,081
03/31/1996 10,206,317 9,494,623
04/30/1996 10,210,668 9,502,599
05/31/1996 10,220,903 9,522,079
06/30/1996 10,324,796 9,590,448
07/31/1996 10,360,157 9,628,235
08/31/1996 10,411,622 9,661,259
09/30/1996 10,559,003 9,748,888
10/31/1996 10,711,509 9,858,660
11/30/1996 10,856,335 9,934,177
12/31/1996 10,827,172 9,934,177
01/31/1997 10,917,928 9,980,768
02/28/1997 10,962,362 10,003,723
03/31/1997 10,918,161 9,999,822
04/30/1997 11,051,403 10,081,520
05/31/1997 11,144,606 10,150,277
06/30/1997 11,232,679 10,220,213
07/31/1997 11,414,133 10,332,533
08/31/1997 11,408,378 10,342,038
09/30/1997 11,508,994 10,420,534
10/31/1997 11,594,791 10,497,958
11/30/1997 11,628,837 10,523,470
12/31/1997 11,718,950 10,595,345
01/31/1998 11,808,398 10,698,225
02/28/1998 11,849,111 10,707,426
03/31/1998 11,900,389 10,751,006
04/30/1998 11,965,788 10,801,320
05/31/1998 12,042,787 10,858,892
06/30/1998 12,072,222 10,915,357
07/31/1998 12,130,281 10,966,441
08/31/1998 12,177,935 11,104,289
09/30/1998 12,426,371 11,251,422
10/31/1998 12,407,993 11,306,666
11/30/1998 12,480,576 11,296,829
12/31/1998 12,558,314 11,336,708
01/31/1999 12,614,507 11,381,600
02/28/1999 12,548,547 11,326,059
03/31/1999 12,656,332 11,404,775
04/30/1999 12,723,248 11,441,498
05/31/1999 12,683,445 11,434,174
06/30/1999 12,690,305 11,469,850
07/31/1999 12,692,072 11,506,210
08/31/1999 12,701,307 11,539,462
09/30/1999 12,796,976 11,614,468
</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 6/01/1987, the first full month following the Fund's
Institutional Class inception on 5/11/1987, compared to the Merrill Lynch 1-3
Year Treasury Index, an unmanaged market index. The performance of the
Administrative Class (shown above) reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 12/31/1994. The Fund may invest in foreign securities
which involve potentially higher risks including foreign currency fluctuations
and political or economic uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Low Duration Fund's Institutional Class shares returned 1.11% for the
semi-annual period ended September 30, 1999, underperforming the benchmark
Merrill Lynch 1-3 Year Treasury Index return of 1.84%.
. The Fund maintained an above-Index duration throughout the period, which
hurt returns as interest rates increased nearly 0.65% on short- to
intermediate-maturity instruments.
. An allocation to mortgage-backed securities was negative for performance
due to a continued widening of yield premiums versus Treasuries.
. Corporate sector holdings also hurt performance as yield premiums widened
due to market uncertainty over Fed policy and heavy new corporate issuance.
. The Fund's limited allocation to currency-hedged, non-U.S. holdings in
developed markets was slightly negative as many non-U.S. markets lagged
Treasuries amid global recovery.
. Limited holdings of U.S. dollar-denominated emerging market bonds were a
slight positive due to higher yields and reduced volatility.
1999 Semi-Annual Report 9
<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:
1.97 years
Total Net Assets:
$467.4 million
Sector Breakdown:*
[CHART]
Mortgage-Backed Securities 51.7%
Corporate Bonds and Notes 31.2%
Short-Term Instruments 6.9%
U.S. Government Agencies 5.5%
Other 4.7%
Quality Breakdown:*
[CHART]
AAA 67.0%
AA 11.1%
A 21.9%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 1999
<TABLE>
<CAPTION>
Lipper Short
Inst'l Class Admin. Class Merrill Lynch 1-3 Investment Grade
(Incep. 11/01/1991) (Incep. 2/02/1998) Year Treasury Index Debt Fund Average
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
6 Months 0.97% 0.83% 1.84% 1.28%
1 Year 2.17% 1.90% 3.23% 2.69%
3 Years* 6.10% -- 6.01% 5.32%
5 Years* 6.67% -- 6.38% 5.79%
Since Inception* 6.15% 4.24% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Low Merrill Lynch
MONTH Duration Fund II 1-3 Year Treasury
Index
<S> <C> <C>
10/31/1991 5,000,000 5,000,000
11/30/1991 5,070,496 5,051,950
12/31/1991 5,150,788 5,128,941
01/31/1992 5,126,506 5,121,094
02/29/1992 5,159,358 5,138,762
03/31/1992 5,157,326 5,136,964
04/30/1992 5,197,109 5,183,966
05/31/1992 5,240,589 5,231,244
06/30/1992 5,302,476 5,284,645
07/31/1992 5,355,736 5,343,949
08/31/1992 5,377,728 5,390,869
09/30/1992 5,426,036 5,442,189
10/31/1992 5,423,401 5,409,645
11/30/1992 5,417,545 5,400,827
12/31/1992 5,471,783 5,452,135
01/31/1993 5,544,427 5,508,728
02/28/1993 5,600,313 5,555,828
03/31/1993 5,619,040 5,572,496
04/30/1993 5,660,962 5,607,045
05/31/1993 5,649,149 5,591,344
06/30/1993 5,710,514 5,632,553
07/31/1993 5,724,808 5,645,621
08/31/1993 5,775,444 5,694,851
09/30/1993 5,794,689 5,713,359
10/31/1993 5,802,333 5,724,557
11/30/1993 5,799,743 5,725,988
12/31/1993 5,831,720 5,747,117
01/31/1994 5,872,093 5,784,014
02/28/1994 5,850,184 5,747,054
03/31/1994 5,796,320 5,718,434
04/30/1994 5,779,212 5,698,191
05/31/1994 5,767,710 5,706,282
06/30/1994 5,772,326 5,723,172
07/31/1994 5,831,607 5,772,392
08/31/1994 5,826,033 5,792,711
09/30/1994 5,810,813 5,779,561
10/31/1994 5,821,529 5,792,565
11/30/1994 5,828,521 5,766,731
12/31/1994 5,850,354 5,779,763
01/31/1995 5,935,515 5,860,217
02/28/1995 6,029,620 5,940,737
03/31/1995 6,074,370 5,973,886
04/30/1995 6,107,608 6,027,114
05/31/1995 6,211,631 6,132,407
06/30/1995 6,235,805 6,165,399
07/31/1995 6,243,368 6,190,923
08/31/1995 6,297,641 6,227,760
09/30/1995 6,346,020 6,258,027
10/31/1995 6,405,255 6,310,844
11/30/1995 6,478,110 6,366,632
12/31/1995 6,539,804 6,415,528
01/31/1996 6,580,351 6,470,061
02/29/1996 6,535,860 6,442,692
03/31/1996 6,518,000 6,436,958
04/30/1996 6,505,764 6,442,365
05/31/1996 6,502,485 6,455,572
06/30/1996 6,575,782 6,501,923
07/31/1996 6,606,321 6,527,541
08/31/1996 6,630,457 6,549,930
09/30/1996 6,719,145 6,609,338
10/31/1996 6,816,464 6,683,760
11/30/1996 6,887,004 6,734,957
12/31/1996 6,881,011 6,734,957
01/31/1997 6,918,655 6,766,544
02/28/1997 6,946,342 6,782,107
03/31/1997 6,930,530 6,779,461
04/30/1997 6,993,758 6,834,850
05/31/1997 7,044,400 6,881,464
06/30/1997 7,099,424 6,928,877
07/31/1997 7,200,340 7,005,026
08/31/1997 7,201,737 7,011,470
09/30/1997 7,257,640 7,064,687
10/31/1997 7,324,878 7,117,177
11/30/1997 7,343,098 7,134,473
12/31/1997 7,405,208 7,183,201
01/31/1998 7,464,768 7,252,950
02/28/1998 7,477,590 7,259,187
03/31/1998 7,505,393 7,288,733
04/30/1998 7,541,498 7,322,844
05/31/1998 7,593,666 7,361,875
06/30/1998 7,623,903 7,400,156
07/31/1998 7,657,543 7,434,789
08/31/1998 7,746,767 7,528,244
09/30/1998 7,854,078 7,627,994
10/31/1998 7,838,078 7,665,447
11/30/1998 7,857,712 7,658,778
12/31/1998 7,893,710 7,685,814
01/31/1999 7,943,452 7,716,249
02/28/1999 7,885,625 7,678,594
03/31/1999 7,947,390 7,731,961
04/30/1999 7,979,520 7,756,857
05/31/1999 7,950,895 7,751,892
06/30/1999 7,933,181 7,776,079
07/31/1999 7,948,712 7,800,729
08/31/1999 7,953,224 7,823,273
09/30/1999 8,024,423 7,874,124
</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 11/01/1991, the Fund's Institutional Class inception
date, compared to the Merrill Lynch 1-3 Year Treasury Index, an unmanaged market
index. The performance of the Administrative Class (shown above) reflects the
payment of a service fee in an amount not to exceed 0.25% on an annual basis.
The Administrative Class commenced operations on 2/02/1998.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Low Duration Fund II Institutional Class shares returned 0.97%,
underperforming the benchmark Merrill Lynch 1-3 Year Treasury Index that
returned of 1.84% for the semi-annual period ended September 30, 1999.
. The Fund maintained an above-Index duration throughout the period, which
adversely impacted returns as interest rates rose nearly 0.65% on short- to
intermediate-maturity instruments.
. Concentrating on a broader-than-Index maturity mix was slightly negative
for performance due a modest steepening of the yield curve.
. The Fund's allocation to mortgage-backed securities was negative due to a
continued widening of yield premiums versus Treasuries.
. Limited corporate sector holdings hurt returns relative to the all-Treasury
benchmark as yield premiums widened due to credit concerns and heavy new
issuance.
10 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:
2.12 years
Total Net Assets:
$25.5 million
Sector Breakdown:*
[CHART]
Mortgage-Backed Securities 53.6%
Corporate Bonds and Notes 33.4%
Other 13.0%
Quality Breakdown:*
[CHART]
AAA 60.2%
AA 7.6%
A 10.5%
BBB 14.0%
BB 7.7%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 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>
6 Months 1.30% 1.17% 1.84% 1.28%
1 Year 3.25% -- 3.23% 2.69%
Since Inception* 5.77% 1.32% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Merrill Lynch
1-3 Year Treasury
MONTH Low Duration Fund III Index
<S> <C> <C>
12/31/1996 5,000,000 5,000,000
01/31/1997 5,019,544 5,023,450
02/28/1997 5,044,724 5,035,003
03/31/1997 5,028,885 5,033,040
04/30/1997 5,074,774 5,074,160
05/31/1997 5,116,879 5,108,766
06/30/1997 5,156,800 5,143,965
07/31/1997 5,193,007 5,200,497
08/31/1997 5,219,920 5,205,281
09/30/1997 5,260,771 5,244,790
10/31/1997 5,310,323 5,283,758
11/30/1997 5,313,692 5,296,598
12/31/1997 5,355,776 5,332,774
01/31/1998 5,393,985 5,384,555
02/28/1998 5,402,862 5,389,186
03/31/1998 5,427,616 5,411,120
04/30/1998 5,458,772 5,436,444
05/31/1998 5,490,624 5,465,421
06/30/1998 5,503,181 5,493,840
07/31/1998 5,527,294 5,519,552
08/31/1998 5,543,567 5,588,932
09/30/1998 5,649,590 5,662,986
10/31/1998 5,656,322 5,690,791
11/30/1998 5,694,733 5,685,840
12/31/1998 5,712,097 5,705,912
01/31/1999 5,732,230 5,728,507
02/28/1999 5,719,966 5,700,552
03/31/1999 5,758,729 5,740,171
04/30/1999 5,794,632 5,758,654
05/31/1999 5,786,934 5,754,968
06/30/1999 5,775,306 5,772,924
07/31/1999 5,775,192 5,791,224
08/31/1999 5,779,894 5,807,961
09/30/1999 5,833,335 5,845,712
</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 semi-annual period ended September 30, 1999, the Low Duration Fund
III Institutional Class shares returned 1.30%, underperforming the
benchmark Merrill Lynch 1-3 Year Treasury Index return of 1.84%.
. The Fund maintained an above-Index duration throughout the period, which
hurt returns as interest rates increased nearly 0.65% on short- to
intermediate-maturity instruments.
. An allocation to mortgage-backed securities was negative for performance
due to a continued widening of yield premiums versus Treasuries.
. Corporate sector holdings also hurt performance as yield premiums widened
due to market uncertainty over Fed policy and heavy new corporate issuance.
. The Fund's limited allocation to currency-hedged, non-U.S. holdings in
developed markets was slightly negative as many non-U.S. markets lagged
Treasuries amid global recovery.
. Limited holdings of U.S. dollar-denominated emerging market bonds were a
slight positive due to higher yields and reduced volatility.
1999 Semi-Annual Report 11
<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:
0.60 years
Total Net Assets:
$609.5 million
Sector Breakdown:*
[CHART]
Mortgage-Backed Securities 32.5%
Short-Term Instruments 28.0%
Corporate Bonds and Notes 22.6%
Asset-Backed Securities 8.3%
Other 8.6%
Quality Breakdown:*
[CHART]
AAA 59.9%
AA 6.1%
A 15.7%
BBB 12.9%
BB 5.4%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 1999
<TABLE>
<CAPTION>
Salomon Lipper Ultra-Short
Inst'l Class Admin. Class 3 Month Treasury Lipper Money Obligation
(Incep. 10/07/1987) (Incep. 2/01/1996) Bill Index Market Index Fund Average
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
6 Months 2.12% 1.99% 2.32% 2.19% 2.02%
1 Year 5.01% 4.75% 4.63% 4.55% 4.28%
3 Years* 6.08% 5.83% 5.03% 4.94% 5.35%
5 Years* 6.61% -- 5.21% 5.06% 5.57%
10 Years 6.06% -- 5.13% 4.98% 5.67%
Since Inception* 6.42% 5.86% -- -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Salomon 3 Month
Short-Term Treasury Bill Lipper
MONTH Fund Index Money Market Index
<S> <C> <C> <C>
10/31/1987 5,000,000 5,000,000 5,000,000
11/30/1987 5,029,461 5,025,505 5,028,003
12/31/1987 5,060,119 5,049,416 5,057,166
01/31/1988 5,094,787 5,074,145 5,085,483
02/29/1988 5,116,116 5,096,972 5,111,420
03/31/1988 5,144,560 5,121,946 5,138,509
04/30/1988 5,173,186 5,147,043 5,163,690
05/31/1988 5,202,593 5,173,283 5,191,059
06/30/1988 5,232,291 5,200,710 5,219,609
07/31/1988 5,259,411 5,229,832 5,249,882
08/31/1988 5,293,423 5,260,160 5,282,958
09/30/1988 5,328,409 5,291,715 5,316,238
10/31/1988 5,375,276 5,323,984 5,350,261
11/30/1988 5,411,635 5,357,521 5,383,970
12/31/1988 5,443,779 5,392,345 5,421,120
01/31/1989 5,483,420 5,429,009 5,460,149
02/28/1989 5,522,499 5,467,021 5,496,732
03/31/1989 5,571,029 5,506,382 5,539,060
04/30/1989 5,613,569 5,547,685 5,580,602
05/31/1989 5,665,094 5,589,294 5,625,247
06/30/1989 5,708,266 5,628,410 5,667,437
07/31/1989 5,756,794 5,667,812 5,709,374
08/31/1989 5,788,039 5,706,356 5,749,912
09/30/1989 5,828,328 5,743,449 5,789,009
10/31/1989 5,883,335 5,782,504 5,829,532
11/30/1989 5,922,983 5,820,087 5,868,010
12/31/1989 5,957,698 5,858,508 5,907,325
01/31/1990 5,987,232 5,897,174 5,947,492
02/28/1990 6,024,238 5,932,550 5,983,180
03/31/1990 6,064,842 5,972,300 6,022,072
04/30/1990 6,090,417 6,011,109 6,061,216
05/31/1990 6,148,665 6,051,983 6,101,825
06/30/1990 6,189,318 6,091,324 6,140,264
07/31/1990 6,232,885 6,131,523 6,180,788
08/31/1990 6,267,095 6,171,375 6,220,965
09/30/1990 6,309,632 6,209,019 6,258,290
10/31/1990 6,358,334 6,247,522 6,298,971
11/30/1990 6,409,912 6,284,390 6,338,025
12/31/1990 6,462,141 6,325,239 6,377,954
01/31/1991 6,509,418 6,361,294 6,416,859
02/28/1991 6,545,494 6,392,464 6,449,583
03/31/1991 6,576,473 6,425,704 6,483,125
04/30/1991 6,618,103 6,456,547 6,515,539
05/31/1991 6,656,338 6,487,540 6,547,464
06/30/1991 6,682,104 6,517,381 6,576,275
07/31/1991 6,722,727 6,548,666 6,607,838
08/31/1991 6,766,617 6,579,444 6,638,234
09/30/1991 6,804,471 6,608,395 6,666,779
10/31/1991 6,844,965 6,637,470 6,696,114
11/30/1991 6,862,973 6,664,021 6,722,899
12/31/1991 6,892,228 6,688,678 6,750,464
01/31/1992 6,919,339 6,712,089 6,775,439
02/29/1992 6,934,403 6,732,895 6,796,441
03/31/1992 6,948,634 6,755,787 6,818,190
04/30/1992 6,979,006 6,777,407 6,839,326
05/31/1992 7,001,946 6,799,771 6,859,847
06/30/1992 7,031,099 6,820,171 6,879,740
07/31/1992 7,061,296 6,840,632 6,899,690
08/31/1992 7,080,606 6,859,785 6,917,632
09/30/1992 7,100,505 6,876,934 6,934,232
10/31/1992 7,109,622 6,894,125 6,950,875
11/30/1992 7,119,728 6,911,360 6,966,860
12/31/1992 7,142,089 6,930,020 6,984,279
01/31/1993 7,167,580 6,948,732 7,001,040
02/28/1993 7,187,715 6,964,714 7,015,741
03/31/1993 7,222,352 6,982,126 7,031,879
04/30/1993 7,248,666 6,998,882 7,047,351
05/31/1993 7,279,042 7,016,380 7,062,147
06/30/1993 7,309,491 7,033,921 7,077,686
07/31/1993 7,337,521 7,052,210 7,093,258
08/31/1993 7,358,333 7,070,546 7,109,572
09/30/1993 7,378,551 7,088,221 7,125,210
10/31/1993 7,406,168 7,106,651 7,140,887
11/30/1993 7,435,531 7,124,417 7,156,597
12/31/1993 7,472,268 7,142,941 7,173,058
01/31/1994 7,487,037 7,161,512 7,189,554
02/28/1994 7,497,133 7,178,699 7,204,654
03/31/1994 7,486,772 7,198,799 7,221,944
04/30/1994 7,500,714 7,220,394 7,240,000
05/31/1994 7,507,684 7,244,222 7,260,269
06/30/1994 7,544,131 7,268,852 7,281,328
07/31/1994 7,581,551 7,295,019 7,303,901
08/31/1994 7,613,244 7,322,010 7,328,734
09/30/1994 7,623,522 7,349,101 7,353,648
10/31/1994 7,645,459 7,379,233 7,380,856
11/30/1994 7,653,660 7,410,225 7,408,906
12/31/1994 7,688,576 7,444,312 7,440,763
01/31/1995 7,728,764 7,478,556 7,474,248
02/28/1995 7,801,580 7,511,461 7,505,640
03/31/1995 7,820,739 7,548,268 7,540,914
04/30/1995 7,906,502 7,584,500 7,574,851
05/31/1995 7,988,187 7,621,664 7,611,211
06/30/1995 8,016,388 7,657,486 7,646,219
07/31/1995 8,066,833 7,694,241 7,681,394
08/31/1995 8,106,191 7,730,404 7,715,959
09/30/1995 8,183,875 7,765,192 7,749,906
10/31/1995 8,244,808 7,800,911 7,784,781
11/30/1995 8,323,417 7,835,235 7,818,256
12/31/1995 8,396,279 7,871,277 7,852,655
01/31/1996 8,438,474 7,906,698 7,887,206
02/29/1996 8,455,531 7,939,115 7,917,969
03/31/1996 8,484,975 7,972,459 7,949,641
04/30/1996 8,526,887 8,005,146 7,981,437
05/31/1996 8,573,734 8,039,568 8,014,160
06/30/1996 8,622,971 8,073,335 8,045,418
07/31/1996 8,649,616 8,108,049 8,079,208
08/31/1996 8,706,604 8,143,726 8,113,140
09/30/1996 8,792,582 8,178,744 8,144,784
10/31/1996 8,865,196 8,214,729 8,178,174
11/30/1996 8,947,374 8,249,233 8,210,888
12/31/1996 8,984,288 8,284,703 8,245,372
01/31/1997 9,039,631 8,320,328 8,280,004
02/28/1997 9,081,953 8,352,778 8,310,639
03/31/1997 9,089,081 8,389,529 8,344,714
04/30/1997 9,142,882 8,425,604 8,378,927
05/31/1997 9,211,364 8,462,676 8,414,958
06/30/1997 9,273,987 8,498,220 8,450,300
07/31/1997 9,348,891 8,534,763 8,486,635
08/31/1997 9,379,554 8,571,461 8,523,128
09/30/1997 9,444,784 8,607,463 8,558,926
10/31/1997 9,469,319 8,645,334 8,595,729
11/30/1997 9,513,992 8,681,646 8,631,831
12/31/1997 9,569,434 8,718,978 8,669,809
01/31/1998 9,628,194 8,757,342 8,707,958
02/28/1998 9,663,998 8,792,371 8,741,919
03/31/1998 9,730,989 8,831,057 8,779,511
04/30/1998 9,777,926 8,868,142 8,815,504
05/31/1998 9,824,621 8,906,281 8,853,411
06/30/1998 9,860,451 8,942,797 8,889,709
07/31/1998 9,921,920 8,980,356 8,927,934
08/31/1998 9,927,830 9,018,971 8,966,325
09/30/1998 9,996,273 9,055,950 9,003,090
10/31/1998 10,036,673 9,092,174 9,039,102
11/30/1998 10,073,050 9,125,815 9,074,353
12/31/1998 10,118,477 9,159,581 9,109,741
01/31/1999 10,160,402 9,193,471 9,145,273
02/28/1999 10,203,832 9,224,729 9,176,364
03/31/1999 10,278,911 9,259,782 9,211,234
04/30/1999 10,329,119 9,294,044 9,244,396
05/31/1999 10,333,674 9,329,361 9,278,599
06/30/1999 10,372,627 9,363,879 9,312,004
07/31/1999 10,411,216 9,400,399 9,339,007
08/31/1999 10,447,798 9,438,001 9,376,361
09/30/1999 10,497,169 9,474,808 9,412,930
</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 11/01/1987, the first full month following the
Fund's Institutional Class inception on 10/07/1987, compared to the Salomon 3
Month Treasury Bill Index, an unmanaged market index and 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 2/01/1996. The Fund may invest in
foreign securities which involve potentially higher risks including foreign
currency fluctuations and political or economic uncertainty. In future periodic
reports, we will not compare the Fund's performance to the Lipper Money Market
Index since the Lipper Money Market Index is not a short-term index.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Fund modestly underperformed its benchmark, the Salomon 3-Month
Treasury Bill Index, by 0.20% for the first half of the fiscal year in a
difficult market environment.
. While an above-Index duration benefited the Fund, given the higher yields
offered in a positively sloped yield curve, the price depreciation
resulting from a rise in interest rates detracted from returns.
. Holdings of mortgage-backed securities boosted returns due to their higher
yield than like-duration Treasuries.
. Investment grade corporates detracted from performance as heavy new
issuance and concern over credit deterioration negatively affected returns.
. Real return bonds were a slight drag on relative returns as real yields
increased more than comparable Treasuries.
. Limited emerging markets exposure was a slight positive due mostly to the
higher yields provided by these securities.
. Below-investment grade holdings hurt performance as rising default rates
heightened concerns over credit risk.
12 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:
18 days
Total Net Assets:
$488.6 million
Quality Breakdown:*
[CHART]
AAA 68.4%
AA 28.7%
A 2.9%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 1999
<TABLE>
<CAPTION>
Lipper
Inst'l Class Admin. Class Salomon 3 Month Lipper Money Money Market
(Incep. 3/01/1991) (Incep. 1/24/1995) Treasury Bill Index Market Index Fund Average
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
7 Day Yield* 5.15% 4.88% -- -- --
6 Months 2.37% 2.24% 2.32% 2.19% 2.16%
1 Year 4.84% 4.59% 4.63% 4.55% 4.41%
3 Years* 5.16% 4.91% 5.03% 4.94% 4.77%
5 Years* 5.36% -- 5.21% 5.06% 4.95%
Since Inception* 4.70% 5.13% -- -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Salomon 3 Month
Money Market Treasury Bill Lipper Money
MONTH Fund Index Market Index
<S> <C> <C> <C>
02/28/1991 5,000,000 5,000,000 5,000,000
03/31/1991 5,025,170 5,026,000 5,026,003
04/30/1991 5,050,085 5,050,124 5,051,132
05/31/1991 5,075,810 5,074,366 5,075,881
06/30/1991 5,098,544 5,097,707 5,098,217
07/31/1991 5,122,151 5,122,177 5,122,686
08/31/1991 5,146,158 5,146,250 5,146,251
09/30/1991 5,168,071 5,168,895 5,168,380
10/31/1991 5,189,068 5,191,637 5,191,122
11/30/1991 5,209,752 5,212,405 5,211,886
12/31/1991 5,235,296 5,231,691 5,233,256
01/31/1992 5,253,666 5,250,001 5,252,618
02/29/1992 5,269,348 5,266,276 5,268,900
03/31/1992 5,286,316 5,284,181 5,285,761
04/30/1992 5,302,529 5,301,091 5,302,146
05/31/1992 5,318,495 5,318,584 5,318,055
06/30/1992 5,333,833 5,334,540 5,333,477
07/31/1992 5,349,339 5,350,544 5,348,943
08/31/1992 5,362,691 5,365,525 5,362,852
09/30/1992 5,375,416 5,378,938 5,375,721
10/31/1992 5,388,548 5,392,385 5,388,623
11/30/1992 5,400,824 5,405,865 5,401,016
12/31/1992 5,415,417 5,420,461 5,414,520
01/31/1993 5,427,493 5,435,097 5,427,514
02/28/1993 5,439,092 5,447,597 5,438,911
03/31/1993 5,452,504 5,461,217 5,451,422
04/30/1993 5,464,658 5,474,323 5,463,416
05/31/1993 5,475,877 5,488,009 5,474,887
06/30/1993 5,489,090 5,501,729 5,486,933
07/31/1993 5,501,737 5,516,034 5,499,005
08/31/1993 5,515,161 5,530,376 5,511,652
09/30/1993 5,527,714 5,544,202 5,523,776
10/31/1993 5,541,036 5,558,617 5,535,929
11/30/1993 5,554,511 5,572,513 5,548,108
12/31/1993 5,567,081 5,587,002 5,560,870
01/31/1994 5,580,537 5,601,527 5,573,658
02/28/1994 5,592,446 5,614,971 5,585,364
03/31/1994 5,606,276 5,630,692 5,598,768
04/30/1994 5,620,505 5,647,583 5,612,766
05/31/1994 5,637,321 5,666,220 5,628,480
06/30/1994 5,654,814 5,685,485 5,644,806
07/31/1994 5,672,813 5,705,953 5,662,305
08/31/1994 5,694,234 5,727,064 5,681,556
09/30/1994 5,714,049 5,748,254 5,700,871
10/31/1994 5,736,363 5,771,822 5,721,964
11/30/1994 5,759,664 5,796,064 5,743,709
12/31/1994 5,785,415 5,822,725 5,768,407
01/31/1995 5,813,735 5,849,510 5,794,366
02/28/1995 5,839,234 5,875,247 5,818,701
03/31/1995 5,867,023 5,904,036 5,846,048
04/30/1995 5,892,850 5,932,376 5,872,358
05/31/1995 5,923,104 5,961,445 5,900,545
06/30/1995 5,950,960 5,989,464 5,927,685
07/31/1995 5,979,025 6,018,213 5,954,954
08/31/1995 6,006,869 6,046,498 5,981,750
09/30/1995 6,032,542 6,073,708 6,008,067
10/31/1995 6,061,076 6,101,647 6,035,104
11/30/1995 6,105,719 6,128,494 6,061,056
12/31/1995 6,136,175 6,156,685 6,087,723
01/31/1996 6,164,350 6,184,390 6,114,509
02/29/1996 6,191,072 6,209,746 6,138,357
03/31/1996 6,217,237 6,235,827 6,162,911
04/30/1996 6,244,019 6,261,393 6,187,560
05/31/1996 6,273,132 6,288,317 6,212,929
06/30/1996 6,297,220 6,314,729 6,237,162
07/31/1996 6,324,461 6,341,881 6,263,357
08/31/1996 6,354,570 6,369,786 6,289,663
09/30/1996 6,379,780 6,397,177 6,314,194
10/31/1996 6,406,912 6,425,323 6,340,079
11/30/1996 6,433,601 6,452,311 6,365,441
12/31/1996 6,460,353 6,480,054 6,392,175
01/31/1997 6,488,472 6,507,920 6,419,023
02/28/1997 6,513,657 6,533,301 6,442,772
03/31/1997 6,539,911 6,562,047 6,469,189
04/30/1997 6,567,988 6,590,263 6,495,712
05/31/1997 6,598,555 6,619,260 6,523,645
06/30/1997 6,626,256 6,647,062 6,551,043
07/31/1997 6,655,217 6,675,644 6,579,213
08/31/1997 6,686,098 6,704,349 6,607,504
09/30/1997 6,714,110 6,732,508 6,635,256
10/31/1997 6,746,003 6,762,130 6,663,786
11/30/1997 6,773,457 6,790,532 6,691,775
12/31/1997 6,805,247 6,819,732 6,721,217
01/31/1998 6,836,094 6,849,739 6,750,792
02/28/1998 6,863,584 6,877,138 6,777,120
03/31/1998 6,893,016 6,907,397 6,806,263
04/30/1998 6,922,674 6,936,404 6,834,166
05/31/1998 6,953,532 6,966,235 6,863,553
06/30/1998 6,983,538 6,994,797 6,891,693
07/31/1998 7,016,569 7,024,175 6,921,326
08/31/1998 7,045,979 7,054,378 6,951,089
09/30/1998 7,076,192 7,083,302 6,979,591
10/31/1998 7,107,700 7,111,635 7,007,509
11/30/1998 7,136,327 7,137,948 7,034,837
12/31/1998 7,168,594 7,164,359 7,062,272
01/31/1999 7,194,413 7,190,867 7,089,817
02/28/1999 7,219,300 7,215,316 7,113,921
03/31/1999 7,247,024 7,242,733 7,140,953
04/30/1999 7,276,038 7,269,532 7,166,662
05/31/1999 7,301,880 7,297,156 7,193,178
06/30/1999 7,329,104 7,324,155 7,219,074
07/31/1999 7,359,334 7,352,720 7,240,008
08/31/1999 7,388,408 7,382,131 7,268,967
09/30/1999 7,418,652 7,410,920 7,297,317
</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 3/01/1991, the Fund's Institutional Class inception
date, compared to the Salomon 3 Month Treasury Bill Index, an unmanaged market
index, and 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 or any other U.S.
Government agency. Although the fund seeks to preserve the value of your
investment at $1.00 per share, it is possible to lose money by investing in the
fund. If there is a material difference between the quoted total return and the
quoted current yield, the yield quotation more closely reflects the current
earnings of the Money Market Fund than the total return quotation. In future
periodic reports, we will not compare the Fund's performance to the Lipper Money
Market Index since the Lipper Money Market Index is not a money market index.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The PIMCO Money Market Fund Institutional Class shares had a total return
of 2.37% for the six-month period ended September 30, 1999, exceeding the
2.32% return of the Fund's benchmark, the Salomon 3 Month Treasury Bill
Index.
. The Fund, which has a Aaa money market fund rating by Moody's Investors
Service, emphasizes high quality commercial paper, shorter-term agency and
high quality corporate debt issues due to strong liquidity, attractive
yields and limited credit risks.
. High quality (A1/P1) commercial paper yields rose by 0.50% for three-month
maturities, reflecting two Federal Reserve increases in June and August for
a cumulative 0.50%.
. Three-month commercial paper yields relative to Treasuries increased by
0.25% to become approximately +0.70% at September 30, reflecting a general
trend of widening credit risk premiums for corporate debt issues.
. The SEC 7-day and 30-day yields for the Fund were 5.15% and 5.10%,
respectively, as of September 30,1999.
1999 Semi-Annual Report 13
<PAGE>
PIMCO Long-Term U.S. Government Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily longer-term U.S. government bonds.
Duration:
11.39 years
Total Net Assets:
$420.1 million
Sector Breakdown:*
[CHART]
Mortgage-Backed Securities 52.5%
U.S. Treasury Obligation 38.3%
Other 9.2%
Quality Breakdown:*
[CHART]
AAA 96.9%
AA 2.2%
A 0.9%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 1999
<TABLE>
<CAPTION>
Lehman LB Int. & Lehman Brothers Lipper General
Inst'l Class Admin. Class Long-Term 20+Year Aggregate U.S. Government
(Incep. 7/01/1991) (Incep. 9/23/1997) Treasury Index Treasury Index Bond Index Fund Average
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
6 Months -2.88% -2.99% -2.61% -2.22% -0.21% -1.03%
1 Year -7.93% -8.15% -7.68% -6.67% -0.37% -2.66%
3 Years* 8.96% -- 8.46 8.24% 6.82% 5.75%
5 Years* 10.44% -- 9.93 9.72% 7.84% 6.70%
Since Inception* 10.94% 5.85% -- -- -- --
</TABLE>
*Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Long-Term U.S. Lehman LB Int. & 20+ Year Lehman Brothers
MONTH Gov't Fund Long-Term Treasury Treasury Index Aggregate Bond Index
Index
<S> <C> <C> <C> <C>
06/30/1991 5,000,000 5,000,000 5,000,000 5,000,000
07/31/1991 5,068,858 5,074,501 5,078,653 5,069,337
08/31/1991 5,265,511 5,249,571 5,253,833 5,179,037
09/30/1991 5,442,627 5,414,932 5,415,685 5,283,983
10/31/1991 5,470,292 5,426,845 5,423,958 5,342,814
11/30/1991 5,543,810 5,457,236 5,449,855 5,391,803
12/31/1991 5,909,199 5,782,486 5,774,939 5,551,931
01/31/1992 5,742,566 5,600,917 5,595,656 5,476,401
02/29/1992 5,771,828 5,633,962 5,625,075 5,512,010
03/31/1992 5,753,678 5,571,988 5,562,934 5,480,935
04/30/1992 5,725,465 5,566,416 5,551,125 5,520,525
05/31/1992 5,930,074 5,721,163 5,707,247 5,624,696
06/30/1992 6,016,162 5,804,119 5,781,880 5,702,106
07/31/1992 6,300,744 6,045,570 6,023,037 5,818,441
08/31/1992 6,427,326 6,087,285 6,061,588 5,877,383
09/30/1992 6,540,767 6,183,464 6,149,824 5,947,052
10/31/1992 6,378,211 6,053,611 6,022,902 5,868,205
11/30/1992 6,445,336 6,076,615 6,055,985 5,869,532
12/31/1992 6,614,191 6,243,115 6,221,353 5,962,865
01/31/1993 6,790,743 6,421,044 6,388,329 6,077,211
02/28/1993 7,063,398 6,635,507 6,593,498 6,183,594
03/31/1993 7,101,318 6,652,095 6,608,592 6,209,360
04/30/1993 7,156,851 6,703,316 6,657,303 6,252,599
05/31/1993 7,184,508 6,725,437 6,685,270 6,260,561
06/30/1993 7,540,954 7,009,924 6,950,671 6,374,021
07/31/1993 7,650,608 7,122,783 7,066,676 6,410,072
08/31/1993 7,942,707 7,409,119 7,331,491 6,522,427
09/30/1993 7,968,888 7,435,051 7,351,540 6,540,341
10/31/1993 8,009,725 7,488,582 7,404,297 6,564,781
11/30/1993 7,792,708 7,296,874 7,233,849 6,508,935
12/31/1993 7,842,784 7,320,224 7,252,703 6,544,212
01/31/1994 8,022,521 7,495,910 7,413,784 6,632,570
02/28/1994 7,708,576 7,188,578 7,126,553 6,517,340
03/31/1994 7,394,709 6,873,000 6,825,285 6,356,659
04/30/1994 7,268,749 6,791,898 6,744,159 6,305,901
05/31/1994 7,246,140 6,747,072 6,693,854 6,305,016
06/30/1994 7,204,478 6,682,974 6,629,252 6,291,082
07/31/1994 7,383,601 6,909,528 6,861,152 6,416,044
08/31/1994 7,399,922 6,858,397 6,802,522 6,424,006
09/30/1994 7,169,097 6,642,358 6,580,310 6,329,455
10/31/1994 7,122,283 6,619,109 6,559,449 6,323,816
11/30/1994 7,100,894 6,658,162 6,601,562 6,309,771
12/31/1994 7,263,266 6,760,697 6,705,670 6,353,342
01/31/1995 7,453,074 6,934,447 6,883,563 6,479,077
02/28/1995 7,711,268 7,131,386 7,070,315 6,633,122
03/31/1995 7,801,463 7,192,715 7,134,690 6,673,818
04/30/1995 7,935,436 7,320,745 7,258,496 6,767,041
05/31/1995 8,543,447 7,882,247 7,792,055 7,028,907
06/30/1995 8,641,206 7,973,681 7,879,508 7,080,440
07/31/1995 8,492,085 7,846,101 7,759,077 7,064,626
08/31/1995 8,683,920 8,020,286 7,924,423 7,149,887
09/30/1995 8,871,163 8,167,858 8,063,754 7,219,445
10/31/1995 9,089,923 8,396,559 8,278,998 7,313,332
11/30/1995 9,313,423 8,606,473 8,471,111 7,422,922
12/31/1995 9,556,575 8,835,405 8,682,059 7,527,093
01/31/1996 9,571,589 8,835,405 8,688,221 7,577,078
02/29/1996 9,125,878 8,408,654 8,293,222 7,445,371
03/31/1996 8,958,506 8,241,322 8,135,410 7,393,617
04/30/1996 8,759,744 8,103,692 8,006,952 7,352,037
05/31/1996 8,771,139 8,061,553 7,969,721 7,337,108
06/30/1996 8,947,395 8,233,264 8,133,816 7,435,639
07/31/1996 8,918,333 8,236,557 8,136,866 7,455,987
08/31/1996 8,856,612 8,133,600 8,036,207 7,443,491
09/30/1996 9,102,968 8,358,088 8,252,684 7,573,207
10/31/1996 9,493,678 8,686,561 8,566,251 7,740,965
11/30/1996 9,851,090 8,976,691 8,833,466 7,873,557
12/31/1996 9,624,385 8,758,559 8,631,621 7,800,349
01/31/1997 9,576,361 8,696,373 8,569,404 7,824,236
02/28/1997 9,598,405 8,699,851 8,572,900 7,843,699
03/31/1997 9,359,770 8,477,135 8,360,698 7,756,779
04/30/1997 9,570,437 8,681,434 8,557,405 7,872,893
05/31/1997 9,684,481 8,778,666 8,651,795 7,947,317
06/30/1997 9,875,451 8,948,094 8,816,262 8,041,646
07/31/1997 10,424,177 9,473,347 9,309,083 8,258,504
08/31/1997 10,161,918 9,209,988 9,067,905 8,188,061
09/30/1997 10,427,124 9,463,263 9,303,828 8,308,820
10/31/1997 10,781,870 9,782,175 9,598,856 8,429,358
11/30/1997 10,884,053 9,912,278 9,721,316 8,468,174
12/31/1997 11,070,318 10,078,804 9,873,400 8,553,435
01/31/1998 11,276,193 10,283,404 10,064,364 8,663,246
02/28/1998 11,199,620 10,209,364 9,999,353 8,656,334
03/31/1998 11,253,545 10,230,803 10,021,549 8,686,469
04/30/1998 11,318,487 10,268,657 10,058,381 8,731,809
05/31/1998 11,539,028 10,464,788 10,237,616 8,814,637
06/30/1998 11,809,161 10,707,571 10,459,638 8,889,393
07/31/1998 11,801,731 10,662,600 10,422,257 8,908,303
08/31/1998 12,300,067 11,143,483 10,851,859 9,053,280
09/30/1998 12,791,270 11,551,334 11,213,683 9,265,272
10/31/1998 12,445,690 11,376,910 11,077,410 9,216,283
11/30/1998 12,490,607 11,464,511 11,140,516 9,268,589
12/31/1998 12,554,165 11,440,436 11,132,558 9,296,457
01/31/1999 12,649,540 11,543,400 11,223,803 9,362,808
02/28/1999 12,075,837 10,975,465 10,721,119 9,199,363
03/31/1999 12,126,451 10,950,221 10,703,044 9,250,343
04/30/1999 12,144,805 10,965,551 10,716,653 9,279,648
05/31/1999 11,926,288 10,793,392 10,567,784 9,198,368
06/30/1999 11,815,966 10,678,982 10,469,791 9,169,063
07/31/1999 11,748,078 10,627,723 10,423,519 9,130,026
08/31/1999 11,657,161 10,586,275 10,389,572 9,125,472
09/30/1999 11,776,658 10,664,613 10,465,680 9,231,322
</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 7/01/1991, the Fund's Institutional Class inception
date, compared to the Lehman Long-Term Treasury Index, 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. In future periodic
reports, we will not compare the Fund's performance to the Lehman Brothers
Intermediate & 20+ Year Treasury Index since the Lehman Brothers Intermediate &
20+ Year Treasury Index is not a long-term U.S. Government index.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Long-Term U.S. Government Fund Institutional Class shares had a total
return of -2.88% after fees versus -2.61% for the Lehman Long-Term Treasury
Index for the six-month period ended September 30, 1999.
. As the Fund's duration target, proxied by the benchmark's duration of 10.4
years, was substantially in excess of shorter durations, the Fund
underperformed shorter-term benchmarks due to significant interest rate
increases.
. Treasury yields increased by 0.40% and more across all maturities with
intermediate yields increasing most as the Federal Reserve raised the fed
funds rate twice for a cumulative increase of 0.50%.
. The Fund's duration was under that of the benchmark, which aided relative
performance as interest rates increased.
. Overweighting intermediate maturities detracted from relative returns as
intermediate yields increased most over March 31, 1999 to September 30,
1999.
. Longer-term mortgage securities reduced relative returns as yield increases
caused mortgage durations to extend, affecting price performance adversely,
and overall mortgage market liquidity decreased somewhat.
. The Fund continued to de-emphasize investment-grade corporate debt
securities, which underperformed Treasuries as credit risk premiums widened
due to greater investor concerns over credit quality.
14 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:
4.48 years
Total Net Assets:
$3.6 billion
Sector Breakdown:*
[CHART]
Corporate Bonds and Notes 86.2%
Asset-Backed Securities 4.2%
Other 9.6%
Quality Breakdown:*
[CHART]
AAA 1.2%
AA 0.2%
A 1.4%
BBB 11.7%
BB 49.4%
B 36.1%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 1999
<TABLE>
<CAPTION>
Lehman Intermediate Lipper High
Inst'l Class Admin. Class BB rated Current Yield
(Incep. 12/16/1992) (Incep. 1/16/1995) Corporate Index Fund Average
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
6 Months -0.32% -0.44% -0.28% -0.90%
1 Year 4.68% 4.43% 2.46% 4.84%
3 Years* 8.29% 8.02% 7.09% 5.51%
5 Years* 10.61% -- 9.10% 8.16%
Since Inception* 10.75% 10.74% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
High Yield Fund Lehman Intermed. BB
MONTH rated Corp. Index
<S> <C> <C>
12/31/1992 5,000,000 5,000,000
01/31/1993 5,113,886 5,105,500
02/28/1993 5,208,126 5,180,551
03/31/1993 5,313,333 5,239,092
04/30/1993 5,369,686 5,283,100
05/31/1993 5,409,077 5,322,195
06/30/1993 5,556,254 5,435,026
07/31/1993 5,595,567 5,489,919
08/31/1993 5,658,345 5,553,602
09/30/1993 5,686,689 5,594,144
10/31/1993 5,839,376 5,669,106
11/30/1993 5,884,380 5,683,845
12/31/1993 5,935,129 5,732,726
01/31/1994 6,061,596 5,828,463
02/28/1994 6,060,370 5,822,051
03/31/1994 5,879,246 5,643,896
04/30/1994 5,828,068 5,610,598
05/31/1994 5,870,524 5,615,648
06/30/1994 5,878,587 5,632,494
07/31/1994 5,934,013 5,701,210
08/31/1994 5,984,086 5,761,643
09/30/1994 6,025,467 5,772,015
10/31/1994 6,028,706 5,785,289
11/30/1994 6,004,787 5,745,950
12/31/1994 6,077,394 5,781,575
01/31/1995 6,137,436 5,874,658
02/28/1995 6,305,367 6,053,248
03/31/1995 6,397,464 6,110,148
04/30/1995 6,537,390 6,232,351
05/31/1995 6,727,023 6,415,582
06/30/1995 6,781,902 6,472,039
07/31/1995 6,872,762 6,530,935
08/31/1995 6,925,387 6,568,814
09/30/1995 7,022,543 6,639,758
10/31/1995 7,125,446 6,692,211
11/30/1995 7,212,331 6,776,533
12/31/1995 7,334,202 6,883,602
01/31/1996 7,453,084 6,995,117
02/29/1996 7,460,951 6,969,934
03/31/1996 7,402,000 6,933,691
04/30/1996 7,434,433 6,930,917
05/31/1996 7,459,688 6,940,621
06/30/1996 7,490,201 7,015,579
07/31/1996 7,557,060 7,053,463
08/31/1996 7,680,144 7,110,596
09/30/1996 7,858,765 7,263,475
10/31/1996 7,937,607 7,364,437
11/30/1996 8,110,110 7,513,198
12/31/1996 8,191,022 7,529,728
01/31/1997 8,275,049 7,601,259
02/28/1997 8,402,615 7,693,234
03/31/1997 8,292,841 7,601,685
04/30/1997 8,381,534 7,695,946
05/31/1997 8,572,658 7,827,547
06/30/1997 8,699,809 7,928,522
07/31/1997 8,924,236 8,164,792
08/31/1997 8,921,803 8,087,226
09/30/1997 9,072,091 8,214,195
10/31/1997 9,081,530 8,242,125
11/30/1997 9,168,890 8,299,819
12/31/1997 9,273,057 8,376,177
01/31/1998 9,432,639 8,476,692
02/28/1998 9,483,456 8,515,684
03/31/1998 9,557,939 8,570,184
04/30/1998 9,581,967 8,613,893
05/31/1998 9,631,622 8,669,883
06/30/1998 9,702,825 8,722,769
07/31/1998 9,806,262 8,768,128
08/31/1998 9,412,663 8,526,128
09/30/1998 9,532,027 8,706,882
10/31/1998 9,438,479 8,595,433
11/30/1998 9,836,791 8,801,724
12/31/1998 9,879,676 8,857,175
01/31/1999 10,010,006 8,948,403
02/28/1999 9,927,890 8,882,185
03/31/1999 10,010,331 8,946,137
04/30/1999 10,178,602 9,037,387
05/31/1999 9,984,752 8,928,036
06/30/1999 9,982,744 8,907,501
07/31/1999 10,010,514 8,941,350
08/31/1999 9,972,087 8,885,018
09/30/1999 9,978,380 8,921,448
</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 1/01/1993, 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 six-month period ended September 30, 1999, the High Yield Fund
Institutional Class shares posted a -0.32% total return, slightly
underperforming the Lehman Intermediate BB rated Corporate Index return of
-0.28%.
. Underperformance was primarily due to holdings of B rated bonds, which
underperformed the BB benchmark by 1.2%, and a longer-than-benchmark
duration, which made the Fund more sensitive to rising rates.
. Sector allocations, which favored energy, utility and media/publishing
sectors, were positive for performance.
. Holdings of collateralized energy bonds benefited from both a turn-around
in the oil and natural gas sectors and an increased investor preference for
secured bonds.
. Exposure to the utility and independent-power producer industry helped
returns as this conservative sector benefited from investor uneasiness.
. Our preference for senior-secured bonds was positive as more speculative
unsecured and deferred-interest/zero coupon issues performed poorly.
. A small allocation to U.S. dollar-denominated emerging market and European
issues contributed to the Fund's performance as these issues benefited from
the recovery in emerging markets and infrastructure development in Europe.
1999 Semi-Annual Report 15
<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:
3.29 years
Total Net Assets:
$4.0 million
Sector Breakdown:*
[CHART]
Mortgage-Backed Securities 77.4%
Short-Term Instruments 13.2%
U.S. Treasury Obligations 9.4%
Quality Breakdown:*
AAA 95.5%
AA 3.5%
BBB 1.0%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 1999
Inst'l Class Lehman Brothers Lipper U.S. Mortgage
(Incep. 7/31/1997) Mortgage Index Fund Average
- --------------------------------------------------------------------------------
6 Months 0.85% 0.47% -0.03%
1 Year 1.99% 2.27% 0.82%
Since Inception* 6.38% -- --
*Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Total Return Mortgage Lehman Brothers
MONTH Fund Mortgage Index
<S> <C> <C>
07/31/1997 5,000,000 5,000,000
08/31/1997 5,005,044 4,988,118
09/30/1997 5,084,467 5,051,382
10/31/1997 5,160,309 5,107,387
11/30/1997 5,184,726 5,124,151
12/31/1997 5,246,122 5,170,844
01/31/1998 5,304,038 5,222,289
02/28/1998 5,314,354 5,233,336
03/31/1998 5,334,652 5,255,495
04/30/1998 5,371,139 5,285,232
05/31/1998 5,417,855 5,320,364
06/30/1998 5,453,983 5,345,733
07/31/1998 5,476,124 5,372,837
08/31/1998 5,542,715 5,421,585
09/30/1998 5,605,738 5,487,033
10/31/1998 5,584,293 5,479,968
11/30/1998 5,609,572 5,507,264
12/31/1998 5,625,826 5,530,643
01/31/1999 5,660,727 5,570,014
02/28/1999 5,631,600 5,547,984
03/31/1999 5,669,090 5,585,236
04/30/1999 5,697,656 5,610,991
05/31/1999 5,667,354 5,579,648
06/30/1999 5,661,901 5,559,994
07/31/1999 5,641,744 5,522,293
08/31/1999 5,639,123 5,522,100
09/30/1999 5,717,073 5,611,697
</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 outperformed its benchmark, the Lehman
Brothers Mortgage Index, by 0.38%, returning 0.85% for the six-months ended
September 30, 1999 versus 0.47% for the Index.
. The Fund's below benchmark duration was a positive for returns as interest
rates rose significantly over the past six months.
. The Fund's broader-than-benchmark maturity distribution had little impact
on returns as the shape of the yield curve did not change materially.
. The Fund's use of lower coupon mortgages detracted mildly from returns
during the past six months as prepayment fears decreased.
. Limited exposure to well structured, yield enhancing collateralized
mortgage obligations added slightly to returns.
. The Fund's use of adjustable rate mortgages detracted modestly from
performance as issuance in this sector increased.
16 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:
2.70 years
Total Net Assets:
$4.2 million
Sector Breakdown:*
[CHART]
Mortgage-Backed Securities 86.8%
U.S. Treasury Obligations 5.4%
Other 7.8%
Quality Breakdown:*
[CHART]
AAA 93.1%
AA 1.5%
A 3.6%
BBB 1.8%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 1999
<TABLE>
<CAPTION>
Inst'l Class Merrill Lynch 1-3 Lipper U.S. Mortgage
(Incep. 7/31/1997) Year Treasury Index Fund Average
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
6 Months 2.26% 1.84% -0.03%
1 Year 3.21% 3.23% 0.82%
Since Inception* 6.42% -- --
</TABLE>
*Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Low Duration Merrill Lynch
MONTH Mortgage Fund 1-3 Year Treasury
Index
<S> <C> <C>
07/31/1997 5,000,000 5,000,000
08/31/1997 5,018,286 5,004,600
09/30/1997 5,111,651 5,042,585
10/31/1997 5,159,820 5,080,051
11/30/1997 5,172,284 5,092,396
12/31/1997 5,218,267 5,127,177
01/31/1998 5,260,371 5,176,962
02/28/1998 5,285,796 5,181,414
03/31/1998 5,293,096 5,202,503
04/30/1998 5,311,809 5,226,850
05/31/1998 5,351,927 5,254,709
06/30/1998 5,392,191 5,282,034
07/31/1998 5,408,563 5,306,753
08/31/1998 5,477,311 5,373,459
09/30/1998 5,543,973 5,444,658
10/31/1998 5,519,699 5,471,391
11/30/1998 5,498,845 5,466,631
12/31/1998 5,536,600 5,485,929
01/31/1999 5,578,414 5,507,652
02/28/1999 5,528,744 5,480,775
03/31/1999 5,595,411 5,518,867
04/30/1999 5,622,757 5,536,637
05/31/1999 5,662,331 5,533,094
06/30/1999 5,653,531 5,550,357
07/31/1999 5,659,351 5,567,952
08/31/1999 5,658,931 5,584,043
09/30/1999 5,722,084 5,620,339
</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 outperformed its benchmark by 0.42%
after fees for the six-months ended September 30, 1999.
. The Fund's above-Index duration modestly detracted from relative returns as
interest rates rose.
. The Fund's broader-than-Index maturity distribution added slightly to
returns as intermediate term yields rose the most in this period.
. The Fund's use of adjustable rate mortgages (ARMs) added to returns as this
market recovered as a result of renewed investor confidence and falling
prepayments.
. Limited exposure to collateralized mortgage obligations (CMOs) enhanced
returns as relatively high yields cushioned the adverse impact of widening
yield premiums.
1999 Semi-Annual Report 17
<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:
2.38 years
Total Net Assets:
$117.8 million
Sector Breakdown:*
[CHART]
U.S. Treasury Obligations 76.4%
Corporate Bonds and Notes 10.2%
Other 13.4%
Quality Breakdown:*
[CHART]
AAA 86.3%
AA 2.0%
A 4.5%
BBB 4.6%
BB 2.2%
B 0.4%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 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>
6 Months 3.40% 1.93% 1.29%
1 Year 5.26% 1.86% 2.44%
Since Inception* 5.48% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Real Return Bond Lehman Brothers
MONTH Fund Inflation Linked
Treasury Index
<S> <C> <C>
01/31/1997 5,000,000 5,000,000
02/28/1997 5,017,061 5,016,499
03/31/1997 4,971,983 4,947,776
04/30/1997 5,002,809 4,977,955
05/31/1997 5,032,748 5,004,838
06/30/1997 5,021,938 4,988,823
07/31/1997 5,083,742 5,036,214
08/31/1997 5,094,469 5,051,322
09/30/1997 5,104,457 5,061,426
10/31/1997 5,169,085 5,113,556
11/30/1997 5,196,006 5,142,195
12/31/1997 5,169,329 5,120,599
01/31/1998 5,199,466 5,145,691
02/28/1998 5,193,833 5,141,057
03/31/1998 5,205,501 5,138,489
04/30/1998 5,233,211 5,157,501
05/31/1998 5,254,770 5,194,120
06/30/1998 5,272,877 5,207,097
07/31/1998 5,313,726 5,231,257
08/31/1998 5,317,549 5,243,132
09/30/1998 5,441,195 5,348,519
10/31/1998 5,469,946 5,360,284
11/30/1998 5,461,835 5,354,923
12/31/1998 5,438,790 5,322,793
01/31/1999 5,518,587 5,384,539
02/28/1999 5,505,806 5,346,309
03/31/1999 5,538,991 5,344,703
04/30/1999 5,630,484 5,379,950
05/31/1999 5,671,234 5,417,047
06/30/1999 5,664,215 5,420,299
07/31/1999 5,674,126 5,417,586
08/31/1999 5,703,057 5,426,798
09/30/1999 5,727,393 5,447,965
</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 2/01/1997, 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
- --------------------------------------------------------------------------------
. For the six months ended September 30, 1999, the Fund's Institutional Class
shares surpassed the total return of the benchmark Lehman Brothers
Inflation Linked Treasury Index by 1.47%, returning 3.40% versus 1.93% for
the Index.
. Real yields exhibited less yield volatility than conventional Treasury
yields with real yields rising on average about 0.15% versus conventional
Treasury yield increases of 0.60% for the half-year period ended September
30.
. Conventional Treasury real yield differentials were 1.8% for intermediate
maturities and 2.0% for long-term maturities at September 30, well below
the 12-month CPI-U inflation rate of 2.6% on September 30.
. The Fund maintained a real yield duration below the benchmark's, aiding
relative returns as real yields increased.
. The Fund's greater interest income versus the benchmark improved returns as
shorter-duration real-return and nominal yield securities were used in
successful cash-backing strategies.
. U.S. real return bonds were emphasized over non-U.S. real return bonds due
to competitive U.S. real yields of 4%.
. Limited investments of non-U.S., investment-grade holdings boosted returns
due to realized price gains.
. Relatively small exposures to U.S. and non-U.S. below-investment-grade
holdings improved the Fund's return due to greater yields and realized
price gains.
18 PIMCO Funds
<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:
4.70 years
Total Net Assets:
$579.5 million
Country Allocation:*
[PIE CHART] United States 39.4%
Japan 11.5%
Germany 8.8%
Supranational 5.2%
New Zealand 4.2%
Canada 3.8%
Denmark 3.6%
Short-Term Instruments 0.9%
Other 22.6%
Quality Breakdown:*
[PIE CHART] AAA 69.3%
AA 15.0%
A 5.9%
BBB 5.0%
BB 4.2%
B 0.6%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 1999
<TABLE>
<CAPTION>
Inst'l Class Admin. Class J.P. Morgan Non- Lipper International
(Incep. 12/03/1992) (Incep. 1/28/1997) U.S. Index (Hedged) Income Fund Average
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
6 Months -1.63% -1.75% -0.41% -1.03%
1 Year 1.22% 0.97% 2.16% -0.54%
3 Years* 8.37% -- 9.50% 3.94%
5 Years* 11.96% -- 11.24% 6.83%
Since Inception* 9.89% 6.38% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Foreign Bond J.P. Morgan Non-U.S.
MONTH Fund Index (Hedged)
<S> <C> <C>
12/31/1992 5,000,000 5,000,000
01/31/1993 5,041,660 5,045,501
02/28/1993 5,152,513 5,136,826
03/31/1993 5,171,807 5,139,908
04/30/1993 5,171,804 5,140,421
05/31/1993 5,218,564 5,169,209
06/30/1993 5,342,019 5,274,661
07/31/1993 5,426,186 5,333,737
08/31/1993 5,558,061 5,444,678
09/30/1993 5,580,127 5,468,090
10/31/1993 5,663,151 5,540,815
11/30/1993 5,679,152 5,579,601
12/31/1993 5,820,067 5,695,098
01/31/1994 5,827,680 5,666,624
02/28/1994 5,673,113 5,539,124
03/31/1994 5,574,498 5,488,718
04/30/1994 5,522,099 5,449,747
05/31/1994 5,441,127 5,389,254
06/30/1994 5,340,992 5,334,283
07/31/1994 5,374,816 5,369,488
08/31/1994 5,322,015 5,317,942
09/30/1994 5,330,821 5,322,728
10/31/1994 5,351,402 5,343,487
11/30/1994 5,430,650 5,418,829
12/31/1994 5,395,132 5,406,367
01/31/1995 5,431,819 5,465,297
02/28/1995 5,467,726 5,535,800
03/31/1995 5,471,621 5,648,728
04/30/1995 5,605,512 5,738,544
05/31/1995 5,825,529 5,926,769
06/30/1995 5,790,386 5,907,210
07/31/1995 5,900,948 5,981,642
08/31/1995 6,013,433 6,033,680
09/30/1995 6,099,110 6,129,012
10/31/1995 6,201,268 6,197,659
11/30/1995 6,444,451 6,333,387
12/31/1995 6,540,017 6,392,287
01/31/1996 6,700,408 6,469,635
02/29/1996 6,557,601 6,393,293
03/31/1996 6,664,336 6,446,357
04/30/1996 6,825,851 6,523,713
05/31/1996 6,852,155 6,568,075
06/30/1996 6,930,027 6,622,589
07/31/1996 6,997,369 6,672,259
08/31/1996 7,169,036 6,761,000
09/30/1996 7,370,202 6,905,010
10/31/1996 7,552,295 7,018,941
11/30/1996 7,735,101 7,159,321
12/31/1996 7,775,388 7,169,345
01/31/1997 7,899,810 7,258,963
02/28/1997 7,942,561 7,305,419
03/31/1997 7,843,570 7,266,703
04/30/1997 7,917,253 7,345,183
05/31/1997 7,958,788 7,383,378
06/30/1997 8,118,878 7,508,894
07/31/1997 8,239,266 7,628,287
08/31/1997 8,206,198 7,637,441
09/30/1997 8,383,475 7,772,623
10/31/1997 8,286,145 7,822,367
11/30/1997 8,398,755 7,878,689
12/31/1997 8,522,040 7,981,113
01/31/1998 8,645,607 8,087,245
02/28/1998 8,725,510 8,159,239
03/31/1998 8,835,222 8,231,855
04/30/1998 8,865,827 8,273,838
05/31/1998 8,942,528 8,387,190
06/30/1998 8,987,048 8,423,255
07/31/1998 9,130,620 8,501,590
08/31/1998 9,058,201 8,669,071
09/30/1998 9,266,649 8,874,530
10/31/1998 9,075,582 8,861,217
11/30/1998 9,245,824 8,956,919
12/31/1998 9,377,213 8,946,169
01/31/1999 9,569,644 9,057,102
02/28/1999 9,476,423 8,996,420
03/31/1999 9,534,902 9,103,477
04/30/1999 9,658,589 9,219,091
05/31/1999 9,507,394 9,181,293
06/30/1999 9,391,681 9,038,983
07/31/1999 9,396,468 9,015,482
08/31/1999 9,329,165 9,031,709
09/30/1999 9,379,607 9,066,031
</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 1/01/1993, the first full month following the Fund's
Institutional Class inception on 12/03/1992, compared to the J.P. Morgan
Non-U.S. Index (Hedged), an unmanaged market index. The performance of the
Administrative Class (shown above) reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 1/28/1997. Foreign investing involves potentially higher
risks including foreign currency fluctuations and political or economic
uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. For the six-month period ended September 30, 1999, the Foreign Bond Fund
Institutional Class shares posted a return of -1.63%, underperforming the
-0.41% return of the Funds benchmark index, the J.P. Morgan Non-U.S. Index
(Hedged).
. Below-index duration added to returns as interest rates rose after economic
data from Europe and Asia continued to improve, suggesting a global
recovery had emerged.
. An underweight in Japan was negative as Japanese bonds gained, buoyed by
demand from domestic institutional investors such as the Trust Fund Bureau.
. An overweight in the Euro in the latter half of 1999 was positive for
returns after the Euro rallied due to improving growth prospects in Europe.
. Country selection within the European bloc was a slight negative for
returns. Emphasis on second round EMU candidates was negative as yield
premiums widened due to liquidity concerns while an overweight in Danish
mortgages was neutral as their higher yields compensated for adverse price
performance.
. Country selection within the dollar bloc was a slight positive for returns.
Overweights in Australia and New Zealand added to returns as low inflation
and strong currencies supported the market.
. Emerging market positions enhanced performance due to their relatively
higher yields and diminished market volatility.
1999 Semi-Annual Report 19
<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:
4.71 years
Total Net Assets:
$290.3 million
Country Allocation:*
[CHART]
United States 49.0%
Germany 8.2%
Supranational 6.1%
Japan 5.5%
Denmark 3.3%
New Zealand 3.3%
Short-Term Instruments 3.7%
Other 20.9%
Quality Breakdown:*
[CHART]
AAA 67.5%
AA 14.0%
A 7.3%
BBB 6.4%
BB 4.3%
B 0.5%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 1999
<TABLE>
<CAPTION>
J.P. Morgan
Inst'l Class Admin. Class Global Index Lipper Global Income
(Incep. 11/23/1993) (Incep. 8/01/1996) (Unhedged) Fund Average
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
6 Months -0.56% -0.68% 0.38% -1.05%
1 Year -1.21% -1.46% -0.65% 0.19%
3 Years* 3.97% 3.75% 5.03% 3.46%
5 Years* 7.96% -- 7.13% 6.32%
Since Inception* 7.01% 4.59% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Global Bond Fund J.P. Morgan Global
MONTH Index (Unhedged)
<S> <C> <C>
11/30/1993 5,000,000 5,000,000
12/31/1993 5,159,354 5,051,001
01/31/1994 5,172,612 5,098,479
02/28/1994 5,050,687 5,042,396
03/31/1994 4,981,799 5,019,201
04/30/1994 4,983,396 5,015,186
05/31/1994 4,957,155 4,973,560
06/30/1994 4,993,232 5,032,746
07/31/1994 5,040,972 5,080,054
08/31/1994 5,023,423 5,066,846
09/30/1994 5,045,769 5,091,673
10/31/1994 5,117,441 5,168,048
11/30/1994 5,070,101 5,102,929
12/31/1994 5,071,554 5,114,666
01/31/1995 5,158,706 5,217,982
02/28/1995 5,306,429 5,352,606
03/31/1995 5,497,439 5,625,054
04/30/1995 5,586,069 5,714,492
05/31/1995 5,774,015 5,873,926
06/30/1995 5,791,402 5,910,344
07/31/1995 5,833,592 5,938,122
08/31/1995 5,749,603 5,773,043
09/30/1995 5,839,678 5,902,936
10/31/1995 5,966,446 5,960,786
11/30/1995 6,121,956 6,027,545
12/31/1995 6,236,009 6,102,287
01/31/1996 6,250,544 6,039,434
02/29/1996 6,152,157 6,004,405
03/31/1996 6,159,100 5,995,399
04/30/1996 6,210,796 5,973,217
05/31/1996 6,191,536 5,979,190
06/30/1996 6,265,488 6,031,208
07/31/1996 6,379,395 6,142,182
08/31/1996 6,491,924 6,167,980
09/30/1996 6,584,759 6,201,904
10/31/1996 6,764,325 6,324,702
11/30/1996 6,923,739 6,415,146
12/31/1996 6,879,967 6,370,239
01/31/1997 6,702,769 6,210,983
02/28/1997 6,656,620 6,168,128
03/31/1997 6,576,929 6,121,249
04/30/1997 6,536,080 6,086,970
05/31/1997 6,699,780 6,230,622
06/30/1997 6,783,140 6,301,651
07/31/1997 6,758,684 6,278,337
08/31/1997 6,721,424 6,270,802
09/30/1997 6,895,854 6,410,014
10/31/1997 6,891,415 6,545,905
11/30/1997 6,834,927 6,467,355
12/31/1997 6,817,845 6,460,241
01/31/1998 6,851,128 6,524,843
02/28/1998 6,915,929 6,573,126
03/31/1998 6,961,654 6,523,829
04/30/1998 7,063,593 6,624,295
05/31/1998 7,059,363 6,652,780
06/30/1998 7,070,889 6,671,407
07/31/1998 7,130,372 6,689,420
08/31/1998 7,124,542 6,874,048
09/30/1998 7,491,180 7,232,874
10/31/1998 7,509,415 7,394,889
11/30/1998 7,456,893 7,311,327
12/31/1998 7,669,954 7,448,780
01/31/1999 7,718,892 7,387,701
02/28/1999 7,459,185 7,140,951
03/31/1999 7,441,983 7,158,805
04/30/1999 7,454,117 7,156,657
05/31/1999 7,250,125 7,030,699
06/30/1999 7,143,749 6,913,286
07/31/1999 7,296,476 7,065,380
08/31/1999 7,283,484 7,083,750
09/30/1999 7,400,295 7,185,754
</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 12/01/1993, the first full month following the
Fund's Institutional Class inception on 11/23/1993, compared to the J.P. Morgan
Global Index (Unhedged), an unmanaged market index. The performance of the
Administrative Class (shown above) reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 8/01/1996. Foreign investing involves potentially higher
risks including foreign currency fluctuations and political or economic
uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. For the six months ended September 30, 1999, the Global Bond Fund
Institutional Class shares posted a return of -0.56%, underperforming the
0.38% return of the Fund's benchmark, the J.P. Morgan Global Index
(Unhedged).
. Below-Index duration added to returns as interest rates rose after economic
data from Europe and Asia continued to improve, suggesting a global
recovery had emerged.
. An underweight in Japan was negative as Japanese bonds gained, buoyed by
demand from domestic institutional investors such as the Trust Fund Bureau.
. An overweight in the Euro versus the U.S. dollar in the third quarter was
positive for returns after the Euro rallied due to improving growth
prospects in Europe.
. Country selection within the European bloc was a slight negative for
returns. Emphasis on second round EMU candidates was negative as yield
premiums widened due to liquidity concerns while an overweight in Danish
mortgages was neutral as their higher yields compensated for adverse price
performance.
. Country selection within the dollar bloc was a slight positive for returns.
Overweights in Australia and New Zealand added to returns as low inflation
and strong currencies supported the market.
. Emerging market positions enhanced performance due to their relatively
higher yields and diminished market volatility.
. The Fund's return was hampered over the period after the U.S. dollar
rallied against most currencies (except Japan) due to weaker global
fundamentals and political instability. However, by mid-1999, global
currencies rallied, supported by further evidence of global recovery.
20 PIMCO Funds
<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:
4.71 years
Total Net Assets:
$42.9 million
Country Allocation:*
[CHART]
United States 48.8%
Germany 8.7%
Supranational 6.1%
Japan 6.0%
New Zealand 3.3%
Denmark 3.1%
Short-Term Instruments 4.1%
Other 19.9%
Quality Breakdown:*
[CHART]
AAA 68.8%
AA 15.7%
A 6.0%
BBB 5.0%
BB 4.0%
B 0.5%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 1999
<TABLE>
<CAPTION>
Inst'l Class J.P. Morgan Global Lipper Global Income
(Incep. 2/25/1998) Index (Hedged) Fund Average
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
6 Months -1.69% -0.39% -1.05%
1 Year 0.23% 0.67% 0.19%
Since Inception* 3.65% -- --
</TABLE>
*Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 1999
$5,000,000 invested at inception
[LINE GRAPH]
<TABLE>
<CAPTION>
Global Bond Fund II J.P. Morgan
MONTH Global Index (Hedged)
<S> <C> <C>
02/28/1998 5,000,000 5,000,000
03/31/1998 5,069,096 5,032,502
04/30/1998 5,092,746 5,057,159
05/31/1998 5,121,536 5,120,376
06/30/1998 5,146,064 5,157,242
07/31/1998 5,210,272 5,190,249
08/31/1998 5,156,019 5,308,584
09/30/1998 5,273,043 5,443,954
10/31/1998 5,187,282 5,431,977
11/30/1998 5,256,161 5,470,545
12/31/1998 5,303,609 5,470,545
01/31/1999 5,422,839 5,525,796
02/28/1999 5,341,215 5,451,750
03/31/1999 5,376,152 5,501,909
04/30/1999 5,429,327 5,553,624
05/31/1999 5,347,551 5,520,302
06/30/1999 5,283,537 5,457,923
07/31/1999 5,279,879 5,446,462
08/31/1999 5,257,452 5,452,452
09/30/1999 5,285,083 5,480,262
</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 3/01/1998, the first full month following the Fund's
Institutional Class inception on 2/25/1998, compared to the J.P. Morgan Global
Index (Hedged), an unmanaged market index. Foreign investing involves
potentially higher risks including foreign currency fluctuations and political
or economic uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. For the six-month period ended September 30, 1999, the Global Bond Fund II
Institutional Class shares posted a return of -1.69%, underperforming the
-0.39% return of the Fund's benchmark index, the J.P. Morgan Global Index
(Hedged).
. The Fund's below-Index duration added to returns as interest rates rose
after economic data from Europe and Asia continued to improve, suggesting a
global recovery had emerged.
. An underweight in Japan was negative as Japanese bonds gained, buoyed by
demand from domestic institutional investors such as the Trust Fund Bureau.
. An overweight in the Euro versus the U.S. dollar during the third quarter
was positive for returns after the Euro rallied due to improving growth
prospects in Europe.
. Country selection within the European bloc was a slight negative for
returns. Emphasis on second round EMU candidates was negative as yield
premiums widened due to liquidity concerns. An overweight in Danish
mortgages was neutral as their higher yields compensated for adverse price
performance.
. Country selection within the dollar bloc was a slight positive for returns.
Overweights in Australia and New Zealand added to returns as low inflation
and strong currencies supported the market.
. Emerging market positions enhanced performance due to their relatively
higher yields and diminished market volatility.
1999 Semi-Annual Report 21
<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:
4.88 years
Total Net Assets:
$17.5 million
Country Allocation:*
[PIE CHART] Brazil 25.3%
Mexico 18.1%
Argentina 9.7%
South Korea 5.9%
Venezuela 5.2%
Poland 5.2%
Bulgaria 5.1%
Short-Term Instruments 6.0%
Other 19.5%
Quality Breakdown:*
[PIE CHART] AAA 5.2%
AA 0.5%
A 0.6%
BBB 14.7%
BB 41.1%
B 37.9%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 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>
6 Months 8.45% 8.30% 6.51% 6.18%
1 Year 28.00% 27.67% 23.02% 24.44%
Since Inception -1.03% 27.67% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
J.P. Morgan
Emerging Markets Emerging Markets
MONTH Bond Fund Plus Index
<S> <C> <C>
07/31/1997 5,000,000 5,000,000
08/31/1997 4,941,202 4,979,763
09/30/1997 5,077,992 5,132,145
10/31/1997 4,500,427 4,540,921
11/30/1997 4,738,197 4,756,615
12/31/1997 4,859,660 4,920,720
01/31/1998 4,866,472 4,910,880
02/28/1998 5,005,158 5,051,329
03/31/1998 5,155,188 5,177,076
04/30/1998 5,168,205 5,189,638
05/31/1998 5,002,060 5,012,513
06/30/1998 4,838,082 4,867,654
07/31/1998 4,912,199 4,901,240
08/31/1998 3,543,793 3,492,624
09/30/1998 3,819,422 3,834,203
10/31/1998 4,019,347 4,082,276
11/30/1998 4,340,414 4,322,720
12/31/1998 4,288,256 4,214,652
01/31/1999 4,139,443 4,058,290
02/28/1999 4,222,136 4,116,729
03/31/1999 4,507,995 4,428,365
04/30/1999 4,883,959 4,730,823
05/31/1999 4,578,472 4,461,166
06/30/1999 4,716,852 4,660,580
07/31/1999 4,686,777 4,564,104
08/31/1999 4,679,209 4,557,715
09/30/1999 4,888,898 4,716,781
</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 shares significantly
outperformed the J.P Morgan Emerging Markets Bond Plus Index for the
six-month period ended September 30, 1999 (8.45% for the Fund versus 6.51%
for the Index).
. Emerging markets were the best performing bond market sector during the
period.
. An above-benchmark duration was slightly positive for returns as interest
rates in developing countries fell.
. Overweighting South Korea detracted from returns as it underperformed on
skepticism about the progress of economic reform.
. A modest underweight in Argentina was negative for returns as it performed
well on the prospect of "a new government" with the impending presidential
elections.
. An overweight to Mexico and Poland detracted from returns as higher quality
credits underperformed lower quality credits.
. A modest overweight to Brazil was positive amid signs of improving economic
conditions.
. Our underweight in Russia was negative as Russian debt rebounded from last
year's lows.
22 PIMCO Funds
<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:
2.30 years
Total Net Assets:
$155.3 million
Sector Breakdown:*
[CHART]
Corporate Bonds and Notes 32.4%
Mortgage-Backed Securities 28.6%
Short-Term Instruments 24.7%
U.S. Treasury Obligations 7.2%
Other 7.1%
Quality Breakdown:*
[CHART]
AAA 48.1%
AA 17.1%
A 18.0%
BBB 15.1%
BB 1.7%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 1999
<TABLE>
<CAPTION>
60% S&P 500 Index and Lipper Lipper
Instl Class Admin. Class 40% Lehman Brothers Balanced S&P 500 Balanced
(Incep. 6/28/1996) (Incep. 6/30/1999) Aggregate Bond Index Index Index Fund Average
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
6 Months 0.51% -- 0.22% 0.17% 0.37% -0.15%
1 Year 15.24% -- 16.00% 13.49% 27.81% 12.54%
3 Years* 17.64% -- 17.84% 14.04% 25.09% 13.10%
Since Inception 17.40%* -3.58% -- -- -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
60% S&P 500 Index
and 40% Lehman
Strategic Balanced Brothers Aggregate Lipper Balanced S&P 500
MONTH Fund Bond Index Index Index
<S> <C> <C> <C> <C>
06/30/1996 5,000,000 5,000,000 5,000,000 5,000,000
07/31/1996 4,865,000 4,872,933 4,871,300 4,779,100
08/31/1996 4,940,000 4,931,328 4,948,159 4,879,891
09/30/1996 5,175,000 5,132,224 5,131,196 5,154,532
10/31/1996 5,320,000 5,262,627 5,240,029 5,296,693
11/30/1996 5,615,000 5,537,365 5,484,214 5,697,071
12/31/1996 5,511,545 5,450,953 5,416,758 5,584,212
01/31/1997 5,743,214 5,661,975 5,582,512 5,933,113
02/28/1997 5,775,539 5,694,243 5,603,167 5,979,629
03/31/1997 5,591,600 5,528,617 5,440,115 5,733,926
04/30/1997 5,846,009 5,759,756 5,603,862 6,076,241
05/31/1997 6,089,593 5,991,928 5,833,060 6,446,163
06/30/1997 6,275,398 6,181,439 6,020,301 6,734,951
07/31/1997 6,659,382 6,543,230 6,362,857 7,270,851
08/31/1997 6,423,506 6,300,974 6,161,154 6,863,537
09/30/1997 6,659,150 6,545,208 6,406,984 7,239,453
10/31/1997 6,565,126 6,452,023 6,290,376 6,997,656
11/30/1997 6,736,582 6,643,106 6,405,490 7,321,577
12/31/1997 6,843,897 6,738,297 6,500,291 7,447,289
01/31/1998 6,937,730 6,817,616 6,545,793 7,529,656
02/28/1998 7,213,362 7,110,452 6,805,661 8,072,694
03/31/1998 7,459,339 7,338,829 7,013,914 8,486,097
04/30/1998 7,524,460 7,398,449 7,062,310 8,571,467
05/31/1998 7,447,498 7,350,213 6,990,981 8,424,124
06/30/1998 7,662,852 7,554,287 7,117,518 8,766,312
07/31/1998 7,621,044 7,512,443 7,034,243 8,672,951
08/31/1998 6,904,331 6,909,658 6,427,891 7,419,015
09/30/1998 7,310,278 7,239,956 6,705,576 7,894,278
10/31/1998 7,639,840 7,577,983 6,956,364 8,536,398
11/30/1998 7,885,513 7,870,767 7,210,967 9,053,789
12/31/1998 8,189,101 8,152,341 7,477,052 9,575,468
01/31/1999 8,385,168 8,380,174 7,596,685 9,975,915
02/28/1999 8,117,209 8,165,384 7,414,365 9,665,863
03/31/1999 8,381,044 8,379,502 7,597,499 10,052,594
04/30/1999 8,584,658 8,584,843 7,846,697 10,441,931
05/31/1999 8,407,317 8,433,153 7,725,858 10,195,398
06/30/1999 8,726,038 8,703,230 7,939,092 10,761,242
07/31/1999 8,533,893 8,525,380 7,790,630 10,425,276
08/31/1999 8,507,390 8,498,358 7,708,829 10,373,671
09/30/1999 8,424,034 8,398,023 7,610,156 10,089,329
</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 7/01/1996, the first full month following the Funds
Institutional Class inception on 6/28/1996, compared to a static 60/40 blend of
the Standard and Poors 500 Index and the Lehman Brothers Aggregate Bond Index,
the Lipper Balanced Index and the S&P 500 Index, each an unmanaged market index.
The performance of the Administrative Class (shown above) reflects the payment
of a service fee in an amount not to exceed 0.25% on an annualized basis. The
Administrative Class commenced operations on 5/28/1999. The Fund may invest in
foreign securities which involve potentially higher risks including foreign
currency fluctuations and political or economic uncertainty. In future periodic
reports, we will not compare the Funds performance to the Lipper Balanced Index
since the Lipper Balanced Index is not a strategic balanced index.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. For the six-month period ended September 30, 1999, the Funds Institutional
Class shares returned 0.51% versus 0.22% for the benchmark, which consists
of a blend of 60% Standard & Poors 500 Index and 40% Lehman Brothers
Aggregate Bond Index.
. The Funds Institutional Class shares exceeded the Lipper Balanced Fund
Index average return of 0.17% for the half-year ended September 30, 1999.
. The Funds asset strategy, which modestly overweighted the equity allocation
due to the continuing domestic expansion, boosting relative returns
slightly as the S&P 500 Index returned 0.37% as opposed to -0.21% for the
Lehman Brothers Aggregate Bond Index.
. The equity portfolio exceeded the S&P 500 Index return due mainly to
favorable, although temporary, S&P 500 futures pricing relative to the S&P
500 Index and greater portfolio income from shorter-duration mortgage and
corporate securities and from option sales.
. The return of the fixed income portfolio was greater than the Lehman
Brothers Aggregate Bond Index because of below-benchmark duration as
interest rates rose and above-benchmark allocations to mortgage and
corporate securities when premium spreads declined.
1999 Semi-Annual Report 23
<PAGE>
PIMCO Convertible Bond Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Seeks maximum total return, consistent with prudent investment management.
Portfolio:
Primarily convertible securities.
Duration:
1.44 years
Total Net Assets:
$38.8 million
Sector Breakdown:*
[CHART]
Convertible Bonds and Notes 68.1%
Convertible Preferred Stock 26.9%
Other 5.0%
Quality Breakdown:*
[CHART]
AAA 7.2%
AA 10.5%
A 25.2%
BBB 39.1%
BB 8.4%
B 9.6%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 1999
<TABLE>
<CAPTION>
Lipper
Instl Class First Boston Convertible Securities
(Incep. 3/31/1999) Convertible Bond Index Fund Average
- ------------------------------------------------------------------------------------
<S> <C> <C> <C>
6 Months 13.70% 6.71% 6.14%
Since Inception 13.70% -- --
</TABLE>
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Convertible Bond First Boston
MONTH Fund Convertible Bond
Index
<S> <C> <C>
03/31/1999 5,000,000 5,000,000
04/30/1999 5,240,000 5,202,500
05/31/1999 5,335,000 5,154,637
06/30/1999 5,625,000 5,376,802
07/31/1999 5,640,000 5,305,828
08/31/1999 5,630,000 5,321,746
09/30/1999 5,685,000 5,335,582
</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 3/31/1999, the Funds Institutional Class inception
date, compared to the First Boston Convertible 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 Convertible Bond Funds Institutional Class shares returned 13.70% for
the semi-annual period ended September 30, 1999, outperforming the
benchmark First Boston Convertible Bond Index return of 6.71%.
. Significant holdings in Technology, Energy and Telecommunications
positively impacted performance.
. A substantial technology weighting added to performance due to accelerating
product innovations, falling prices for technology related products and
rising PC demand.
. Energy-related holdings were positive as rising commodity prices coupled
with diminishing capacity drove the energy sector into positive territory.
. Holdings of telecommunications performed well, driven by an increase in new
service offerings, resumption of worldwide economic growth and M&A
activity.
. Healthcare holdings were poor performers as the group continued to be
hindered by industry regulatory concerns.
24 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:
$1.4 billion
Sector Breakdown:*
[CHART]
Corporate Bonds and Notes 38.9%
Short-Term Instruments 21.2%
Mortgage-Backed Securities 17.3%
U.S. Treasury Obligations 12.1%
Other 10.5%
Quality Breakdown:*
[CHART]
AAA 44.3%
AA 15.6%
A 16.5%
BBB 15.6%
BB 7.8%
B 0.3%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 1999
<TABLE>
<CAPTION>
Inst'l Class Admin. Class Lipper Large-Cap
(Incep. 5/14/1993) (Incep. 1/07/1997) S&P 500 Index Core Fund Average
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
6 Months 0.83% 0.49% 0.37% 0.13%
1 Year 27.55% 26.95% 27.81% 27.73%
3 Years* 24.78% -- 25.09% 21.44%
5 Years* 25.31% -- 25.03% 21.66%
Since Inception* 21.51% 22.49% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
MONTH StocksPLUS Fund S&P 500 Index
<S> <C> <C>
05/31/1993 5,000,000 5,000,000
06/30/1993 5,027,261 5,014,650
07/31/1993 5,017,471 4,994,491
08/31/1993 5,208,380 5,183,982
09/30/1993 5,157,774 5,144,221
10/31/1993 5,271,731 5,250,655
11/30/1993 5,212,275 5,200,616
12/31/1993 5,306,421 5,263,492
01/31/1994 5,480,662 5,442,451
02/28/1994 5,311,701 5,294,743
03/31/1994 5,077,284 5,063,892
04/30/1994 5,141,283 5,128,811
05/31/1994 5,237,282 5,212,974
06/30/1994 5,126,078 5,085,204
07/31/1994 5,325,725 5,252,202
08/31/1994 5,568,540 5,467,543
09/30/1994 5,473,357 5,333,861
10/31/1994 5,561,106 5,453,713
11/30/1994 5,391,092 5,255,089
12/31/1994 5,461,225 5,333,022
01/31/1995 5,612,304 5,471,307
02/28/1995 5,864,102 5,684,524
03/31/1995 6,023,776 5,852,274
04/30/1995 6,219,204 6,024,624
05/31/1995 6,500,850 6,265,428
06/30/1995 6,643,179 6,410,974
07/31/1995 6,854,074 6,623,561
08/31/1995 6,900,939 6,640,187
09/30/1995 7,193,848 6,920,403
10/31/1995 7,181,918 6,895,697
11/30/1995 7,527,891 7,198,418
12/31/1995 7,673,723 7,337,059
01/31/1996 7,949,045 7,586,813
02/29/1996 7,970,224 7,657,142
03/31/1996 8,076,117 7,730,881
04/30/1996 8,177,430 7,844,834
05/31/1996 8,365,584 8,047,152
06/30/1996 8,445,187 8,077,812
07/31/1996 8,052,904 7,720,934
08/31/1996 8,223,140 7,883,768
09/30/1996 8,704,242 8,327,467
10/31/1996 8,981,877 8,557,139
11/30/1996 9,649,702 9,203,973
12/31/1996 9,444,046 9,021,642
01/31/1997 10,025,985 9,585,314
02/28/1997 10,100,806 9,660,463
03/31/1997 9,646,437 9,263,515
04/30/1997 10,244,078 9,816,546
05/31/1997 10,892,224 10,414,178
06/30/1997 11,344,245 10,880,733
07/31/1997 12,278,977 11,746,513
08/31/1997 11,616,167 11,088,473
09/30/1997 12,220,454 11,695,789
10/31/1997 11,832,913 11,305,149
11/30/1997 12,315,186 11,828,465
12/31/1997 12,546,229 12,031,560
01/31/1998 12,716,721 12,164,629
02/28/1998 13,569,183 13,041,941
03/31/1998 14,253,076 13,709,819
04/30/1998 14,425,043 13,847,740
05/31/1998 14,141,803 13,609,698
06/30/1998 14,691,669 14,162,524
07/31/1998 14,528,428 14,011,693
08/31/1998 12,314,475 11,985,882
09/30/1998 13,256,889 12,753,698
10/31/1998 14,302,676 13,791,084
11/30/1998 15,122,901 14,626,961
12/31/1998 16,099,828 15,469,767
01/31/1999 16,648,553 16,116,712
02/28/1999 16,088,153 15,615,805
03/31/1999 16,768,984 16,240,593
04/30/1999 17,436,465 16,869,592
05/31/1999 16,979,768 16,471,301
06/30/1999 17,970,000 17,385,458
07/31/1999 17,379,659 16,842,684
08/31/1999 17,285,204 16,759,312
09/30/1999 16,909,003 16,299,940
</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 6/01/1993, the first full month following the Fund's
Institutional Class inception on 5/14/1993, compared to the Standard and Poor's
500 Index, an unmanaged market index. The performance of the Administrative
Class (shown above) reflects the payment of a service fee in an amount not to
exceed 0.25% on an annualized basis. The Administrative Class commenced
operations on 1/07/1997. The Fund may invest in foreign securities which involve
potentially higher risks including foreign currency fluctuations and political
or economic uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The six months ended September 30, 1999 proved to be a difficult period for
the domestic equity market as investor concerns about higher interest
rates, a slowing economy and Y2K mounted.
. The S&P 500 Index returned a total of 0.37%, a sharp contrast relative to
the strong returns enjoyed by large-cap investors over the past few years.
The StocksPLUS Fund Institutional Class shares outperformed the S&P 500
during this difficult market environment, delivering total returns of
0.83%.
. A longer duration relative to the duration of the S&P 500 futures contracts
negatively affected performance as interest rates rose across the yield
curve in conjunction with renewed inflation fears largely associated with a
strengthening global economy.
. The performance of both mortgage and corporate holdings in the StocksPLUS
Fund was mixed during the past six months with an overall neutral impact as
higher yields offset spread widening.
. Option writing strategies were a significant positive for relative
performance. The performance impact resulting from temporary deviations in
the price of S&P 500 futures contracts from fair value also added to
returns.
1999 Semi-Annual Report 25
<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:
7.82 years
Total Net Assets:
$55.5 million
Sector Breakdown:*
[CHART]
Municipal Bonds and Notes 99.8%
Other 0.2%
Quality Breakdown:*
[CHART]
AAA 47.7%
AA 15.4%
A 18.9%
BBB 10.7%
BB 7.3%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 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>
6 Months -3.31% -3.43% -2.16% -3.63%
1 Year -2.39% -2.63% -0.70% -3.07%
Since Inception 1.89% -2.63% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Municipal Lehman Brothers
MONTH Bond Fund General Municipal
Bond Index
<S> <C> <C>
12/31/1997 5,000,000 5,000,000
01/31/1998 5,058,771 5,051,500
02/28/1998 5,035,172 5,053,016
03/31/1998 5,039,379 5,057,562
04/30/1998 5,006,296 5,034,805
05/31/1998 5,105,540 5,114,354
06/30/1998 5,122,719 5,134,299
07/31/1998 5,128,447 5,147,137
08/31/1998 5,223,548 5,226,915
09/30/1998 5,293,484 5,292,252
10/31/1998 5,282,938 5,292,252
11/30/1998 5,296,412 5,310,775
12/31/1998 5,302,933 5,324,053
01/31/1999 5,373,214 5,387,409
02/28/1999 5,338,814 5,363,705
03/31/1999 5,343,842 5,371,213
04/30/1999 5,354,304 5,384,642
05/31/1999 5,314,853 5,353,412
06/30/1999 5,217,784 5,276,322
07/31/1999 5,228,509 5,295,317
08/31/1999 5,173,421 5,252,953
09/30/1999 5,166,761 5,255,056
</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
- --------------------------------------------------------------------------------
. The Fund's Institutional Class shares returned -3.31% after fees versus
-2.16% for the benchmark Lehman Brothers General Municipal Bond Index for
the six-month period ended September 30, 1999.
. The Fund's Institutional Class shares outperformed the Lipper General
Municipal Debt Fund Average, comprised of mutual funds which have at least
65% of assets in municipal debt and average maturities exceeding 10 years,
which had a return of -3.63% for the six months ended September 30, 1999.
. Municipal yields rose by 0.60% to 0.65% for intermediate and long-term
maturities with municipal yields reaching 3-year highs at the end of
September.
. Municipal bond price performance was affected negatively not only by the
general increase in municipal yields but also by the maturity extension of
callable municipals as yields became increasingly "out-of-the-money" for
callability purposes.
. The Fund maintained an above-benchmark duration, which lowered relative
returns as municipal yields rose substantially.
. An overweighting of longer-maturity bonds for which yields increased less
than intermediate yields added to returns.
. While credit premium spreads remained relatively tight, insured and
investment-grade yields widened modestly in comparison with AAA rated
general obligation bond yields.
. The Fund's longer-duration, insured bonds lowered relative returns due to
widening credit spreads of insured issues over "natural" AAA rated general
obligation bonds.
. Excluding insured issues, the Fund's issue and sector selections were
neutral for performance.
26 PIMCO Funds
<PAGE>
PIMCO California Intermediate
Municipal Bond Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Seeks high current income exempt from federal and California income tax. Capital
appreciation is a secondary objective.
Portfolio:
Primarily intermediate maturity municipal securities (exempt from federal and
California income tax).
Duration:
5.61 years
Total Net Assets:
$3.1 million
- --------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
- --------------------------------------------------------------------------------
Sector Breakdown:* Quality Breakdown:*
[CHART] [CHART]
Municipal Bonds AAA 44.9%
and Notes 99.3% AA 38.7%
Other 0.7% A 16.4%
*% of Total Investments as of September 30, 1999
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 Institutional Class commenced
operations on 8/31/1999. The total return performance of the Institutional Class
since inception was 0.71%. Income may be subject to state and local taxes and
(if applicable) the Alternative Minimum Tax. The performance of the
Administrative Class reflects the payment of a service fee in an amount not to
exceed 0.25% on an annualized basis. The Administrative Class commenced
operations on 9/07/1999. The total return performance of the Administrative
Class since inception was 0.63%.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Funds primary objective is to generate a high level of interest income
that will be exempt from both Federal and California income taxes.
. Capital appreciation is a secondary objective as PIMCO will focus on total
returns, including both option-adjusted yields and price changes.
. The Funds duration was 5.6 years at September 30, slightly under the
duration of 5.7 years for the benchmark, the Lehman Brothers California
Exempt Intermediate Index.
. Municipal yields were very attractive at September 30: the yield on a
10-year California general obligation bond was 4.85%/1/, 1.30% greater than
the after-tax yield of 3.55%/1,2/for a 10-year Treasury.
. The fully taxable-equivalent yield, measuring an equivalent pre-tax yield
that is fully subjected to both Federal and state income taxes, on a
10-year California general obligation bond at September 30 was
8.85%/1,3/versus 6.48%/3/for a 10-year Treasury.
. PIMCO has structured the portfolio to provide call protection, which limits
the adverse price effects of duration extension under rising yields and
duration reduction under falling yields.
. The weighted average credit quality of the Fund was AA+ at September 30 and
is expected to remain about the average credit quality, or AA2, of the
benchmark.
- --------------------------------------------------------------------------------
/1/ Source: Bloomberg Financial. Assumes that interest income is exempt from
California state income taxes.
/2/ Assumes Federal income tax rate of 39.6% and no state income tax on
Treasury securities.
/3/ Assumes Federal income tax rate of 39.6%, California state income tax rate
of 9.3% and Federal income tax benefit for state income taxes paid.
1999 Semi-Annual Report 27
<PAGE>
PIMCO New York Intermediate
Municipal Bond Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Seeks high current income exempt from federal and New York income tax. Capital
appreciation is a secondary objective.
Portfolio:
Primarily intermediate maturity municipal securities (exempt from federal and
New York income tax).
Duration:
5.59 years
Total Net Assets:
$3.0 million
- --------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
- --------------------------------------------------------------------------------
Sector Breakdown:* Quality Breakdown:*
[CHART] [CHART]
Municipal Bonds AAA 73.3%
and Notes 98.9% AA 17.8%
Other 1.1% A 8.9%
*% of Total Investments as of September 30, 1999
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 Institutional Class commenced
operations on 8/31/1999. The total return performance of the Institutional Class
since inception was 0.39%. Income may be subject to state and local taxes and
(if applicable) the Alternative Minimum Tax.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Funds primary objective is to generate a high level of interest income
that will be exempt from both Federal and New York income taxes.
. The Funds duration was 5.6 years at September 30, slightly under the
duration of 5.7 years for the benchmark, the Lehman Brothers New York
Exempt Intermediate Index.
. Yields of New York municipal issues were very attractive at September 30:
the yield on a 10-year New York state general obligation bond was 5.04%/1/,
1.49% greater than the after-tax yield of 3.55%/1,2/for a 10-year Treasury.
. The fully taxable-equivalent yield, measuring an equivalent pre-tax yield
that is fully subjected to both Federal and state income taxes, on a
10-year New York general obligation bond at September 30 was
8.96%/1,3/versus 6.31%/3/for a 10-year Treasury.
. PIMCO has structured the portfolio to provide call protection, which limits
the adverse price effects of duration extension under rising yields and
duration reduction under falling yields.
. The weighted average credit quality of the Fund was AA+ at September 30 and
is expected to remain at or above the average, or AA-, for the benchmark.
- --------------------------------------------------------------------------------
/1/ Source: Bloomberg Financial. Assumes that interest income is exempt from
New York state income taxes.
/2/ Assumes Federal income tax rate of 39.6% and no state income tax on
Treasury securities.
/3/ Assumes Federal income tax rate of 39.6%, New York state income tax rate of
6.85% and Federal income tax benefit for state income taxes paid.
28 PIMCO Funds
<PAGE>
PIMCO Short Duration Municipal Income Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Seeks high current income exempt from federal income tax, consistent with
preservation of capital.
Portfolio:
Primarily short and intermediate maturity municipal securities (exempt from
federal income tax).
Duration:
1.32 years
Total Net Assets:
$10.5 million
- --------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
- --------------------------------------------------------------------------------
Sector Breakdown:* Quality Breakdown:*
[CHART] [CHART]
Municipal Bonds AAA 60.7%
and Notes 99.8% AA 24.9%
Other 0.2% A 12.5%
BBB 1.9%
*% of Total Investments as of September 30, 1999
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 Institutional Class commenced
operations on 8/31/1999. The total return performance of the Institutional Class
since inception was 0.30%. Income may be subject to state and local taxes and
(if applicable) the Alternative Minimum Tax.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Funds primary objective is to generate a high level of interest income,
consistent with the preservation of capital, which will be exempt from
Federal income taxes.
. The Funds duration was 1.3 years at September 30, slightly less than the
duration of 1.6 years for the benchmark, the Lehman Brothers 1-Year
(maturities between 1 to 2 years) Municipal Bond Index.
. Municipal yields in the one to two-year range offered attractive after-tax
yields at September 30: the yield on a 2-year AAA rated general obligation
bond was 3.86%/1/, or 0.48% greater than the after-tax yield of 3.38%/2/for
a 2-year Treasury.
. The fully taxable-equivalent yield, measuring an equivalent pre-tax yield
that is fully subjected to both Federal and state income taxes, on a 2-year
AAA rated general obligation bond at September 30 was 6.62%/1,3/versus
5.96%/2,3/for a 2-year Treasury.
. PIMCO has structured the portfolio to provide call protection, which limits
the adverse price effects of duration extension under rising yields and
duration reduction under falling yields.
. The weighted average credit quality of the Fund was AA+ at September 30 and
is expected to remain at or above the average, or AA+, for the benchmark.
- --------------------------------------------------------------------------------
/1/ Source: Bloomberg Financial. Assumes that Treasury interest income is
exempt from state income taxes.
/2/ Assumes Federal income tax rate of 39.6% and no state income tax on
Treasury securities.
/3/ Assumes Federal income tax rate of 39.6%, state income tax rate of 6.0% and
Federal income tax benefit for state income taxes paid.
1999 Semi-Annual Report 29
<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 the Year Beginning Net Investment Gain(Loss) on Investment Investment Investment
or Period Ended: of Period Income (Loss) Investments Operations Income Income
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Total Return Fund
Institutional Class
09/30/1999 (b) $ 10.36 $ 0.31(a) $ (0.30)(a) $ 0.01 $ (0.31) $ 0.00
- ------------------------------------ -------------- -------------- -------------- -------------- -------------- --------------
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
09/30/1999 (b) 10.36 0.29(a) (0.30)(a) (0.01) (0.29) 0.00
- ------------------------------------ -------------- -------------- -------------- -------------- -------------- --------------
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
09/30/1999 (b) $ 10.11 $ 0.28(a) $ (0.33)(a) $ (0.05) $ (0.28) $ 0.00
- ------------------------------------ -------------- -------------- -------------- -------------- -------------- --------------
03/31/1999 10.26 0.59(a) 0.17(a) 0.76 (0.59) 0.00
- ------------------------------------ -------------- -------------- -------------- -------------- -------------- --------------
03/31/1998 9.85 0.63(a) 0.52(a) 1.15 (0.60) (0.03)
- ------------------------------------ -------------- -------------- -------------- -------------- -------------- --------------
03/31/1997 9.89 0.61 (0.02) 0.59 (0.62) (0.01)
- ------------------------------------ -------------- -------------- -------------- -------------- -------------- --------------
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
09/30/1999 (b) 10.11 0.28(a) (0.34)(a) (0.06) (0.27) 0.00
- ------------------------------------ -------------- -------------- -------------- -------------- -------------- --------------
03/31/1999 10.26 0.56(a) 0.17(a) 0.73 (0.56) 0.00
- ------------------------------------ -------------- -------------- -------------- -------------- -------------- --------------
03/31/1998 9.85 0.60(a) 0.52(a) 1.12 (0.57) (0.03)
- ------------------------------------ -------------- -------------- -------------- -------------- -------------- --------------
03/31/1997 9.89 0.59 0.00 0.57 (0.60) (0.01)
- ------------------------------------ -------------- -------------- -------------- -------------- -------------- --------------
11/01/1995 - 03/31/1996 10.22 0.24 0.00 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
09/30/1999 (b) $ 9.27 $ 0.28(a) $ (0.34)(a) $ (0.06) $ (0.27) $ 0.00
- ------------------------------------ -------------- -------------- -------------- -------------- -------------- --------------
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
09/30/1999 (b) 9.27 0.28(a) (0.35)(a) (0.07) (0.26) 0.00
- ------------------------------------ -------------- -------------- -------------- -------------- -------------- --------------
03/31/1999 9.55 0.55(a) 0.20(a) 0.75 (0.54) 0.00
- ------------------------------------ -------------- -------------- -------------- -------------- -------------- --------------
04/11/1997 - 03/31/1998 9.12 0.54(a) 0.58(a) 1.12 (0.50) (0.03)
- ------------------------------------ -------------- -------------- -------------- -------------- -------------- --------------
Moderate Duration Fund
Institutional Class
09/30/1999 (b) $ 9.94 $ 0.28(a) $ (0.26)(a) $ 0.02 $ (0.29) $ 0.00
- ------------------------------------ -------------- -------------- -------------- -------------- -------------- --------------
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.
(b) Unaudited
30 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Distributions Distributions
from Net in Excess of Net Tax Basis Net Asset
Realized Realized Capital Return of Total Value End
Capital Gains Gains Capital Distributions of Period
- ---------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
$ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 10.06
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.24) (0.18) 0.00 (1.05) 10.36
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.27) 0.00 0.00 (0.91) 10.62
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.68) 10.27
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.12) 0.00 0.00 (0.83) 10.29
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 (0.02) (0.63) 10.02
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.29) 10.06
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.24) (0.18) 0.00 (1.03) 10.36
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.27) 0.00 0.00 (0.89) 10.62
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.66) 10.27
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.12) 0.00 0.00 (0.81) 10.29
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 (0.01) (0.36) 10.01
- ---------------- ---------------- ---------------- ---------------- ----------------
$ 0.00 $ 0.00 $ 0.00 $ (0.28) $ 9.78
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.18) (0.14) 0.00 (0.91) 10.11
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.11) 0.00 0.00 (0.74) 10.26
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.63) 9.85
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.09) (0.05) 0.00 (0.40) 9.89
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.01) 0.00 0.00 (0.63) 10.21
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.27) 9.78
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.18) (0.14) 0.00 (0.88) 10.11
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.11) 0.00 0.00 (0.71) 10.26
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.61) 9.85
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.09) (0.05) 0.00 (0.40) 9.89
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.01) 0.00 0.00 (0.56) 10.22
- ---------------- ---------------- ---------------- ---------------- ----------------
$ 0.00 $ 0.00 $ 0.00 $ (0.27) $ 8.94
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.24) (0.25) 0.00 (1.05) 9.27
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.16) 0.00 0.00 (0.73) 9.55
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 (0.01) 0.00 (0.58) 9.15
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.12) 0.00 0.00 (0.75) 9.13
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 (0.08) (0.62) 8.99
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.26) 8.94
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.24) (0.25) 0.00 (1.03) 9.27
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.16) 0.00 0.00 (0.69) 9.55
- ---------------- ---------------- ---------------- ---------------- ----------------
$ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 9.67
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.11) (0.16) 0.00 (0.87) 9.94
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.03) 0.00 0.00 (0.63) 10.14
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.15) 9.83
- ---------------- ---------------- ---------------- ---------------- ----------------
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Net Assets End Average Net to Average Net Portfolio
Total Return of Period (000s) Assets Assets Turnover Rate
- ---------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
0.07% $ 23,305,606 0.46%* 6.00%* 46%
- ---------------- ---------------- ---------------- ---------------- ----------------
7.60 21,711,396 0.43 5.91 154
- ---------------- ---------------- ---------------- ---------------- ----------------
12.63 16,484,119 0.43 6.06 206
- ---------------- ---------------- ---------------- ---------------- ----------------
6.60 12,528,536 0.43 6.59 173
- ---------------- ---------------- ---------------- ---------------- ----------------
11.14 10,247,605 0.42 6.85 221
- ---------------- ---------------- ---------------- ---------------- ----------------
4.22 7,239,735 0.41 6.72 98
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.06) 2,873,555 0.71* 5.73* 46
- ---------------- ---------------- ---------------- ---------------- ----------------
7.33 1,972,984 0.68 5.52 154
- ---------------- ---------------- ---------------- ---------------- ----------------
12.36 481,730 0.68 5.74 206
- ---------------- ---------------- ---------------- ---------------- ----------------
6.34 151,194 0.68 6.35 173
- ---------------- ---------------- ---------------- ---------------- ----------------
10.99 104,618 0.68 6.64 221
- ---------------- ---------------- ---------------- ---------------- ----------------
3.76 9,037 0.66* 6.54* 98
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.49)% $ 1,150,127 0.50%* 5.65%* 53%
- ---------------- ---------------- ---------------- ---------------- ----------------
7.46 986,690 0.50 5.65 213
- ---------------- ---------------- ---------------- ---------------- ----------------
11.99 574,587 0.50 6.15 361
- ---------------- ---------------- ---------------- ---------------- ----------------
6.15 478,451 0.50 6.38 293
- ---------------- ---------------- ---------------- ---------------- ----------------
0.78 455,583 0.51* 6.36* 73
- ---------------- ---------------- ---------------- ---------------- ----------------
15.96 442,091 0.50 6.47 41
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.61) 50,434 0.75* 5.27* 53
- ---------------- ---------------- ---------------- ---------------- ----------------
7.19 54,736 0.75 5.33 213
- ---------------- ---------------- ---------------- ---------------- ----------------
11.71 15,172 0.75 5.86 361
- ---------------- ---------------- ---------------- ---------------- ----------------
5.88 5,304 0.75 6.13 293
- ---------------- ---------------- ---------------- ---------------- ----------------
0.57 3,320 0.76* 6.06* 73
- ---------------- ---------------- ---------------- ---------------- ----------------
15.92 3,163 0.76* 6.22* 41
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.60)% $ 617,808 0.51%* 6.00%* 56%
- ---------------- ---------------- ---------------- ---------------- ----------------
8.20 488,243 0.50 5.85 216
- ---------------- ---------------- ---------------- ---------------- ----------------
12.62 365,249 0.51 5.99 183
- ---------------- ---------------- ---------------- ---------------- ----------------
6.76 193,297 0.51 6.21 90
- ---------------- ---------------- ---------------- ---------------- ----------------
10.06 142,223 0.50 6.82 177
- ---------------- ---------------- ---------------- ---------------- ----------------
4.92 99,497 0.50 6.95 146
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.73) 3,270 0.76* 5.78* 56
- ---------------- ---------------- ---------------- ---------------- ----------------
7.93 1,867 0.75 5.59 216
- ---------------- ---------------- ---------------- ---------------- ----------------
12.46 178 0.76* 5.85* 183
- ---------------- ---------------- ---------------- ---------------- ----------------
0.26% $ 345,033 0.45%* 6.01%* 70%
- ---------------- ---------------- ---------------- ---------------- ----------------
6.70 317,400 0.45 5.94 169
- ---------------- ---------------- ---------------- ---------------- ----------------
9.80 239,152 0.45 3.75 96
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.25) 13,458 0.44* 6.01* 49
- ---------------- ---------------- ---------------- ---------------- ----------------
1999 Semi-Annual Report See accompanying notes 31
</TABLE>
<PAGE>
Financial Highlights - Institutional Classes (Cont.)
<TABLE>
<CAPTION>
Dividends
Net Realized/ Total Dividends in Excess
Net Asset Value Unrealized Income from from Net 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
09/30/1999 (b) $ 10.10 $ 0.31(a) $ (0.20)(a) $ 0.11 $ (0.31) $ 0.00
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
03/31/1999 10.18 0.65(a) 0.00(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
09/30/1999 (b) 10.10 0.30(a) (0.20)(a) 0.10 (0.30) 0.00
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
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
09/30/1999 (b) $ 9.95 $ 0.28(a) $ (0.19)(a) $ 0.09 $ $ (0.28) $ 0.00
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
03/31/1999 10.00 0.58(a) 0.00(a) 0.58 (0.58) 0.00
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
03/31/1998 9.81 0.22(a) 0.59(a) 0.81 (0.56) (0.04)
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
03/31/1997 9.82 0.62 (0.03) 0.59 (0.58) (0.02)
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
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
09/30/1999 (b) 9.95 0.28(a) (0.20)(a) 0.08 (0.27) 0.00
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
03/31/1999 10.00 0.56(a) 0.00(a) 0.56 (0.56) 0.00
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
02/02/1998 - 03/31/1998 10.03 0.14(a) (0.08)(a) 0.06 (0.08) (0.01)
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
Low Duration Fund III
Institutional Class
09/30/1999 (b) $ 9.98 $ 0.30(a) $ (0.17)(a) $ 0.13 $ $ (0.30) $ 0.00
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
03/31/1999 10.05 0.60(a) 0.00(a) 0.60 (0.60) 0.00
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
03/31/1998 9.91 0.53(a) 0.24(a) 0.77 (0.60) 0.00
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
12/31/1996 - 03/31/1997 10.00 0.15 (0.09) 0.06 (0.15) 0.00
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
Administrative Class
09/30/1999 (b) 9.98 0.30 (0.19) 0.11 (0.28) 0.00
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
03/19/1999 - 03/31/1999 9.97 0.02 0.01 0.03 (0.02) 0.00
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
Short-Term Fund
Institutional Class
09/30/1999 (b) $ 10.03 $ 0.28(a) $ (0.07)(a) $ 0.21 $ $ (0.28) $ 0.00
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
03/31/1999 10.06 0.57(a) (0.02)(a) 0.55 (0.57) 0.00
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
03/31/1998 10.00 0.62(a) 0.06(a) 0.68 (0.60) (0.01)
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
03/31/1997 9.92 0.61 0.08 0.69 (0.59) (0.02)
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
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
09/30/1999 (b) 10.03 0.27(a) (0.07)(a) 0.20 (0.27) 0.00
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
03/31/1999 10.06 0.54(a) (0.02)(a) 0.52 (0.54) 0.00
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
03/31/1998 10.00 0.59(a) 0.07(a) 0.66 (0.58) (0.01)
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
03/31/1997 9.92 0.58 0.08 0.66 (0.57) (0.01)
- ----------------------------------- -------------- -------------- -------------- ------------- -------------- ----------
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) Unaudited
(c) Ratio of expenses to average net assets excluding interest expense on
reverse repurchase agreement is 0.50%.
(d) Ratio of expenses to average net assets excluding interest expense on
reverse repurchase agreement is 0.75%.
32 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Distributions Distributions
from Net in excess of Tax Basis Net Asset
Realized Net Realized Return of Total Value End
Capital Gains Capital Gains Capital Distributions of Period
- --------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
$ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 9.90
- --------------- --------------- --------------- --------------- ---------------
(0.01) (0.05) 0.00 (0.71) 10.10
- --------------- --------------- --------------- --------------- ---------------
(0.03) 0.00 0.00 (0.68) 10.18
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.64) 9.98
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.68) 9.95
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 (0.09) (0.63) 9.76
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.30) 9.90
- --------------- --------------- --------------- --------------- ---------------
(0.01) (0.05) 0.00 (0.68) 10.10
- --------------- --------------- --------------- --------------- ---------------
(0.03) 0.00 0.00 (0.65) 10.18
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.62) 9.98
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.65) 9.95
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 (0.02) (0.16) 9.76
- --------------- --------------- --------------- --------------- ---------------
$ 0.00 $ 0.00 $ 0.00 $ (0.28) $ 9.76
- --------------- --------------- --------------- --------------- ---------------
0.00 (0.05) 0.00 (0.63) 9.95
- --------------- --------------- --------------- --------------- ---------------
(0.02) 0.00 0.00 (0.62) 10.00
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.60) 9.81
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 (0.02) (0.65) 9.82
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 (0.02) (0.63) 9.77
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.27) 9.76
- --------------- --------------- --------------- --------------- ---------------
0.00 (0.05) 0.00 (0.61) 9.95
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.09) 10.00
- --------------- --------------- --------------- --------------- ---------------
$ 0.00 $ 0.00 $ 0.00 $ (0.30) $ 9.81
- --------------- --------------- --------------- --------------- ---------------
0.00 (0.07) 0.00 (0.67) 9.98
- --------------- --------------- --------------- --------------- ---------------
(0.03) 0.00 0.00 (0.63) 10.05
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.15) 9.91
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.28) 9.81
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.02) 9.98
- --------------- --------------- --------------- --------------- ---------------
$ 0.00 $ 0.00 $ 0.00 $ (0.28) $ 9.96
- --------------- --------------- --------------- --------------- ---------------
0.00 (0.01) 0.00 (0.58) 10.03
- --------------- --------------- --------------- --------------- ---------------
(0.01) 0.00 0.00 (0.62) 10.06
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.61) 10.00
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.68) 9.92
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.56) 9.79
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.27) 9.96
- --------------- --------------- --------------- --------------- ---------------
0.00 (0.01) 0.00 (0.55) 10.03
- --------------- --------------- --------------- --------------- ---------------
(0.01) 0.00 0.00 (0.60) 10.06
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.58) 10.00
- --------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.10) 9.92
- --------------- --------------- --------------- --------------- ---------------
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Total Net Assets End Average Net to Average Portfolio
Return Period (000s) Assets Net Assets Turnover Rate
- --------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
1.11% $4,067,967 0.43%* 6.20%* 52%
- --------------- --------------- --------------- --------------- ---------------
6.35 3,367,438 0.43 6.36 245
- --------------- --------------- --------------- --------------- ---------------
9.00 2,759,531 0.43 6.39 309
- --------------- --------------- --------------- --------------- ---------------
6.97 2,797,001 0.43 6.46 240
- --------------- --------------- --------------- --------------- ---------------
9.13 2,677,574 0.42 6.88 209
- --------------- --------------- --------------- --------------- ---------------
3.60 2,332,032 0.41 6.46 77
- --------------- --------------- --------------- --------------- ---------------
0.98 120,300 0.68* 5.93* 52
- --------------- --------------- --------------- --------------- ---------------
6.09 128,212 0.68 6.09 245
- --------------- --------------- --------------- --------------- ---------------
8.73 46,186 0.68 6.16 309
- --------------- --------------- --------------- --------------- ---------------
6.71 23,564 0.68 6.21 240
- --------------- --------------- --------------- --------------- ---------------
8.83 2,536 0.69 6.73 209
- --------------- --------------- --------------- --------------- ---------------
2.53 771 0.66* 6.93* 77
- --------------- --------------- --------------- --------------- ---------------
0.97% $ 467,105 0.62%*(e) 5.77%* 59%
- --------------- --------------- --------------- --------------- ---------------
5.89 414,463 0.57 (c) 5.79 322
- --------------- --------------- --------------- --------------- ---------------
8.29 401,204 0.50 5.98 335
- --------------- --------------- --------------- --------------- ---------------
6.33 339,375 0.51 6.31 237
- --------------- --------------- --------------- --------------- ---------------
7.30 253,299 0.48 6.61 225
- --------------- --------------- --------------- --------------- ---------------
4.80 170,866 0.47 6.35 102
- --------------- --------------- --------------- --------------- ---------------
0.83 303 0.88* (f) 5.69* 59
- --------------- --------------- --------------- --------------- ---------------
5.63 22,594 0.85 (d) 5.47 322
- --------------- --------------- --------------- --------------- ---------------
0.58 56 0.75* 8.53* 335
- --------------- --------------- --------------- --------------- ---------------
1.30% $ 25,485 0.57%*(g) 6.01%* 53%
- --------------- --------------- --------------- --------------- ---------------
6.10 26,549 0.50 5.94 167
- --------------- --------------- --------------- --------------- ---------------
7.93 23,896 0.50 5.98 307
- --------------- --------------- --------------- --------------- ---------------
0.58 10,056 0.49* 6.00* 155
- --------------- --------------- --------------- --------------- ---------------
1.17 10 0.81* (h) 2.84* 53
- --------------- --------------- --------------- --------------- ---------------
0.15 6 0.75 6.42 167
- --------------- --------------- --------------- --------------- ---------------
2.12% $ 487,849 0.45%* 5.59%* 21%
- --------------- --------------- --------------- --------------- ---------------
5.63 495,752 0.45 5.66 47
- --------------- --------------- --------------- --------------- ---------------
7.06 172,846 0.45 6.12 48
- --------------- --------------- --------------- --------------- ---------------
7.12 156,515 0.47 6.12 77
- --------------- --------------- --------------- --------------- ---------------
8.49 101,797 0.58 6.86 215
- --------------- --------------- --------------- --------------- ---------------
4.46 90,114 0.50 5.67 79
- --------------- --------------- --------------- --------------- ---------------
1.99 5,712 0.70* 5.35* 21
- --------------- --------------- --------------- --------------- ---------------
5.39 3,769 0.70 5.37 47
- --------------- --------------- --------------- --------------- ---------------
6.80 5,147 0.70 5.86 48
- --------------- --------------- --------------- --------------- ---------------
6.86 4,513 0.72 5.87 77
- --------------- --------------- --------------- --------------- ---------------
0.41 3,999 0.52* 4.44* 215
- --------------- --------------- --------------- --------------- ---------------
</TABLE>
(e) Ratio of expenses to average net assets excluding interest expense is
0.50%.
(f) Ratio of expenses to average net assets excluding interest expense is
0.75%.
(g) Ratio of expenses to average net assets excluding interest expense is
0.50%.
(h) Ratio of expenses to average net assets excluding interest expense is
0.75%.
1999 Semi-Annual Report See accompanying notes 33
<PAGE>
Financial Highlights - Institutional Classes (Cont.)
<TABLE>
<CAPTION>
Net Asset Net Realized/
Value Unrealized Gain
Selected Per Share Data for the Year or Beginning Net Investment (Loss) on
Period Ended: of Period Income (Loss) Investments
--------------- --------------- ---------------
<S> <C> <C> <C>
Money Market Fund
Institutional Class
09/30/1999 (b) $ 1.00 $ 0.02(a) $ 0.00(a)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1999 1.00 0.05(a) 0.00(a)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1998 1.00 0.05(a) 0.00(a)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1997 1.00 0.05 0.00
- ---------------------------------------- --------------- --------------- ---------------
11/01/1995 - 03/31/1996 1.00 0.02 0.00
- ---------------------------------------- --------------- --------------- ---------------
10/31/1995 (a) 1.00 0.06 0.00
- ---------------------------------------- --------------- --------------- ---------------
Administrative Class
09/30/1999 (b) 1.00 0.02(a) 0.00(a)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1999 1.00 0.05(a) 0.00(a)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1998 1.00 0.05(a) 0.00(a)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1997 1.00 0.05 0.00
- ---------------------------------------- --------------- --------------- ---------------
11/01/1995 - 03/31/1996 1.00 0.02 0.00
- ---------------------------------------- --------------- --------------- ---------------
01/24/1995 - 10/31/1995 (a) 1.00 0.05 0.00
- ---------------------------------------- --------------- --------------- ---------------
Long-Term U.S. Government Fund
Institutional Class
09/30/1999 (b) $ 10.30 $ 0.32(a) $ (0.62)(a)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1999 10.57 0.63(a) 0.20(a)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1998 9.39 0.52(a) 1.34(a)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1997 9.96 0.79 (0.35)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1996 9.85 0.83 0.66
- ---------------------------------------- --------------- --------------- ---------------
03/31/1995 9.96 0.60 (0.09)
- ---------------------------------------- --------------- --------------- ---------------
Administrative Class
09/30/1999 (b) 10.30 0.28(a) (0.59)(a)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1999 10.57 0.60(a) 0.20(a)
- ---------------------------------------- --------------- --------------- ---------------
09/23/1997 - 03/31/1998 10.17 0.26(a) 0.51(a)
- ---------------------------------------- --------------- --------------- ---------------
High Yield Fund
Institutional Class
09/30/1999 (b) $ 11.23 $ 0.46(a) $ (0.49)(a)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1999 11.66 0.95(a) (0.43)(a)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1998 11.10 0.98(a) 0.65(a)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1997 10.94 0.92 0.34
- ---------------------------------------- --------------- --------------- ---------------
03/31/1996 10.42 1.04 0.54
- ---------------------------------------- --------------- --------------- ---------------
03/31/1995 10.52 0.99 (0.12)
- ---------------------------------------- --------------- --------------- ---------------
Administrative Class
09/30/1999 (b) 11.23 0.45(a) (0.50)(a)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1999 11.66 0.93(a) (0.43)(a)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1998 11.10 0.95(a) 0.65(a)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1997 10.94 0.85 0.38
- ---------------------------------------- --------------- --------------- ---------------
03/31/1996 10.41 1.02 0.54
- ---------------------------------------- --------------- --------------- ---------------
01/16/1995 - 03/31/1995 10.14 0.23 0.25
- ---------------------------------------- --------------- --------------- ---------------
Total Return Mortgage Fund
Institutional Class
09/30/1999 (b) $ 10.19 $ 0.29(a) $ (0.21)(a)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1999 10.24 0.58(a) 0.05(a)
- ---------------------------------------- --------------- --------------- ---------------
07/31/1997 - 03/31/1998 10.00 0.41(a) 0.30(a)
- ---------------------------------------- --------------- --------------- ---------------
<CAPTION>
Dividends
Total Income Dividends in Excess
from from Net of Net
Selected Per Share Data for the Year or Investment Investment Investment
Period Ended: Operations Income Income
--------------- --------------- ---------------
<S> <C> <C> <C>
Money Market Fund
Institutional Class
09/30/1999 (b) $ 0.02 $ (0.02) $ 0.00
- ---------------------------------------- --------------- --------------- ---------------
03/31/1999 0.05 (0.05) 0.00
- ---------------------------------------- --------------- --------------- ---------------
03/31/1998 0.05 (0.05) 0.00
- ---------------------------------------- --------------- --------------- ---------------
03/31/1997 0.05 (0.05) 0.00
- ---------------------------------------- --------------- --------------- ---------------
11/01/1995 - 03/31/1996 0.02 (0.02) 0.00
- ---------------------------------------- --------------- --------------- ---------------
10/31/1995 (a) 0.06 (0.06) 0.00
- ---------------------------------------- --------------- --------------- ---------------
Administrative Class
09/30/1999 (b) 0.02 (0.02) 0.00
- ---------------------------------------- --------------- --------------- ---------------
03/31/1999 0.05 (0.05) 0.00
- ---------------------------------------- --------------- --------------- ---------------
03/31/1998 0.05 (0.05) 0.00
- ---------------------------------------- --------------- --------------- ---------------
03/31/1997 0.05 (0.05) 0.00
- ---------------------------------------- --------------- --------------- ---------------
11/01/1995 - 03/31/1996 0.02 (0.02) 0.00
- ---------------------------------------- --------------- --------------- ---------------
01/24/1995 - 10/31/1995 (a) 0.05 (0.05) 0.00
- ---------------------------------------- --------------- --------------- ---------------
Long-Term U.S. Government Fund
Institutional Class
09/30/1999 (b) $ (0.30) $ (0.31) $ 0.00
- ---------------------------------------- --------------- --------------- ---------------
03/31/1999 0.83 (0.64) 0.00
- ---------------------------------------- --------------- --------------- ---------------
03/31/1998 1.86 (0.62) 0.00
- ---------------------------------------- --------------- --------------- ---------------
03/31/1997 0.44 (0.68) 0.00
- ---------------------------------------- --------------- --------------- ---------------
03/31/1996 1.49 (0.68) (0.04)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1995 0.51 (0.60) (0.02)
- ---------------------------------------- --------------- --------------- ---------------
Administrative Class
09/30/1999 (b) (0.31) (0.30) 0.00
- ---------------------------------------- --------------- --------------- ---------------
03/31/1999 0.80 (0.61) 0.00
- ---------------------------------------- --------------- --------------- ---------------
09/23/1997 - 03/31/1998 0.77 (0.31) 0.00
- ---------------------------------------- --------------- --------------- ---------------
High Yield Fund
Institutional Class
09/30/1999 (b) $ (0.03) $ (0.47) $ 0.00
- ---------------------------------------- --------------- --------------- ---------------
03/31/1999 0.52 (0.94) (0.01)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1998 1.63 (0.98) 0.00
- ---------------------------------------- --------------- --------------- ---------------
03/31/1997 1.26 (0.97) 0.00
- ---------------------------------------- --------------- --------------- ---------------
03/31/1996 1.58 (1.01) 0.00
- ---------------------------------------- --------------- --------------- ---------------
03/31/1995 0.87 (0.93) (0.02)
- ---------------------------------------- --------------- --------------- ---------------
Administrative Class
09/30/1999 (b) (0.05) (0.45) 0.00
- ---------------------------------------- --------------- --------------- ---------------
03/31/1999 0.50 (0.92) (0.01)
- ---------------------------------------- --------------- --------------- ---------------
03/31/1998 1.60 (0.95) 0.00
- ---------------------------------------- --------------- --------------- ---------------
03/31/1997 1.23 (0.94) 0.00
- ---------------------------------------- --------------- --------------- ---------------
03/31/1996 1.56 (0.98) 0.00
- ---------------------------------------- --------------- --------------- ---------------
01/16/1995 - 03/31/1995 0.48 (0.21) 0.00
- ---------------------------------------- --------------- --------------- ---------------
Total Return Mortgage Fund
Institutional Class
09/30/1999 (b) $ 0.08 $ (0.29) $ 0.00
- ---------------------------------------- --------------- --------------- ---------------
03/31/1999 0.63 (0.58) 0.00
- ---------------------------------------- --------------- --------------- ---------------
07/31/1997 - 03/31/1998 0.71 (0.46) 0.00
- ---------------------------------------- --------------- --------------- ---------------
</TABLE>
* Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Unaudited
(c) Ratio of expenses to average net assets excluding interest expense on
reverse repurchase agreement is 0.50%.
(d) Ratio of expenses to average net assets excluding interest expense on
reverse repurchase agreement is 0.76%.
(e) Ratio of expenses to average net assets excluding interest expense is
0.50%.
(f) Ratio of expenses to average net assets excluding interest expense is
0.75%.
34 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Distributions Distributions
from Net in Excess of Tax Basis Net Asset
Realized Net Realized Return of Total Value End
Capital Gains Capital Gains Capital Distributions of Period
--------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
$ 0.00 $ 0.00 $ 0.00 $ (0.02) $ 1.00
--------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.05) 1.00
--------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.0 (0.05) 1.00
--------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.05) 1.00
--------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.02) 1.00
--------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.06) 1.00
--------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.02) 1.00
--------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.05) 1.00
--------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.05) 1.00
--------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.05) 1.00
--------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.02) 1.00
--------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.05) 1.00
--------------- --------------- --------------- --------------- ---------------
$ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 9.69
--------------- --------------- --------------- --------------- ---------------
0.00 (0.46) 0.00 (1.10) 10.30
--------------- --------------- --------------- --------------- ---------------
(0.06) 0.00 0.00 (0.68) 10.57
--------------- --------------- --------------- --------------- ---------------
0.00 (0.33) 0.00 (1.01) 9.39
--------------- --------------- --------------- --------------- ---------------
(0.50) (0.16) 0.00 (1.38) 9.96
--------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.62) 9.85
--------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.30) 9.69
--------------- --------------- --------------- --------------- ---------------
0.00 (0.46) 0.00 (1.07) 10.30
--------------- --------------- --------------- --------------- ---------------
(0.06) 0.00 0.00 (0.37) 10.57
--------------- --------------- --------------- --------------- ---------------
$ 0.00 $ 0.00 $ 0.00 $ (0.47) $ 10.73
--------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.95) 11.23
--------------- --------------- --------------- --------------- ---------------
0.00 (0.09) 0.00 (1.07) 11.66
--------------- --------------- --------------- --------------- ---------------
(0.13) 0.00 0.00 (1.10) 11.10
--------------- --------------- --------------- --------------- ---------------
(0.05) 0.00 0.00 (1.06) 10.94
--------------- --------------- --------------- --------------- ---------------
0.00 (0.02) 0.00 (0.97) 10.42
--------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.45) 10.73
--------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.93) 11.23
--------------- --------------- --------------- --------------- ---------------
0.00 (0.09) 0.00 (1.04) 11.66
--------------- --------------- --------------- --------------- ---------------
(0.13) 0.00 0.00 (1.07) 11.10
--------------- --------------- --------------- --------------- ---------------
(0.05) 0.00 0.00 (1.03) 10.94
--------------- --------------- --------------- --------------- ---------------
0.00 0.00 0.00 (0.21) 10.41
--------------- --------------- --------------- --------------- ---------------
$ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 9.98
--------------- --------------- --------------- --------------- ---------------
(0.03) (0.07) 0.00 (0.68) 10.19
--------------- --------------- --------------- --------------- ---------------
(0.01) 0.00 0.00 (0.47) 10.24
--------------- --------------- --------------- --------------- ---------------
<CAPTION>
Ratio of Net
Ratio of Investment
Net Assets Expenses to Income (Loss)
Total End of Period Average Net to Average Portfolio
Return (000s) Assets Net Assets Turnover Rate
------------ --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
2.37% $ 271,338 0.35%* 4.57%* N/A
------------ --------------- --------------- --------------- ---------------
5.14 322,290 0.35 4.85 N/A
------------ --------------- --------------- --------------- ---------------
5.40 55,335 0.35 5.29 N/A
------------ --------------- --------------- --------------- ---------------
5.19 23,497 0.40 5.08 N/A
------------ --------------- --------------- --------------- ---------------
2.58 25,935 0.33* 5.44* N/A
------------ --------------- --------------- --------------- ---------------
5.67 7,741 0.40 5.53 N/A
------------ --------------- --------------- --------------- ---------------
2.24 8,431 0.60* 4.34* N/A
------------ --------------- --------------- --------------- ---------------
4.93 9,273 0.60 4.44 N/A
------------ --------------- --------------- --------------- ---------------
5.12 749 0.60 5.04 N/A
------------ --------------- --------------- --------------- ---------------
4.94 12 0.66 4.83 N/A
------------ --------------- --------------- --------------- ---------------
2.47 10 0.61* 5.95* N/A
------------ --------------- --------------- --------------- ---------------
4.21 10 0.68* 5.94* N/A
------------ --------------- --------------- --------------- ---------------
(2.88)% $ 281,120 0.55%*(e) 6.34%* 167%
------------ --------------- --------------- --------------- ---------------
7.76 170,847 0.89(c) 5.83 364
------------ --------------- --------------- --------------- ---------------
20.23 48,547 0.51 4.88 177
------------ --------------- --------------- --------------- ---------------
4.48 19,995 0.63 7.63 402
------------ --------------- --------------- --------------- ---------------
14.83 32,511 0.56 6.80 238
------------ --------------- --------------- --------------- ---------------
5.50 32,349 0.50 6.62 89
------------ --------------- --------------- --------------- ---------------
(2.99) 44,170 0.80*(f) 5.55* 167
------------ --------------- --------------- --------------- ---------------
7.46 11,383 1.15(d) 5.58 364
------------ --------------- --------------- --------------- ---------------
7.60 4,957 0.76* 4.87* 177
------------ --------------- --------------- --------------- ---------------
(0.32)% $2,320,018 0.50%* 8.45%* 17%
------------ --------------- --------------- --------------- ---------------
4.73 2,162,868 0.50 8.41 39
------------ --------------- --------------- --------------- ---------------
15.26 1,628,930 0.50 8.52 37
------------ --------------- --------------- --------------- ---------------
12.04 744,498 0.50 8.77 67
------------ --------------- --------------- --------------- ---------------
15.70 536,983 0.47 9.28 66
------------ --------------- --------------- --------------- ---------------
8.81 336,310 0.48 9.37 78
------------ --------------- --------------- --------------- ---------------
(0.44) 320,987 0.75* 8.17* 17
------------ --------------- --------------- --------------- ---------------
4.49 238,792 0.75 8.17 39
------------ --------------- --------------- --------------- ---------------
14.98 69,937 0.75 8.21 37
------------ --------------- --------------- --------------- ---------------
11.76 10,428 0.76 8.48 67
------------ --------------- --------------- --------------- ---------------
15.54 1,007 0.80 9.16 66
------------ --------------- --------------- --------------- ---------------
4.66 41 0.73* 10.12* 78
------------ --------------- --------------- --------------- ---------------
0.85% $ 3,901 0.51%* 5.83%* 190%
------------ --------------- --------------- --------------- ---------------
6.27 4,128 0.50 5.66 158
------------ --------------- --------------- --------------- ---------------
6.69 3,588 0.52* 6.07* 593
------------ --------------- --------------- --------------- ---------------
</TABLE>
1999 Semi-Annual Report See accompanying notes 35
<PAGE>
Financial Highlights - Institutional Classes (Cont.)
<TABLE>
<CAPTION>
Net Asset Net Realized/
Value Unrealized
Selected Per Share Data for the Year or Beginning Net Investment Gain (Loss) on
Period Ended: of Period Income (Loss) Investments
--------------- --------------- ---------------
<S> <C> <C> <C>
Low Duration Mortgage Fund
Institutional Class
09/30/1999 (b) $ 10.01 $ 0.31(a) $ (0.09)(a)
- ----------------------------------------- --------------- --------------- ---------------
03/31/1999 10.13 0.64(a) (0.08)(a)
- ----------------------------------------- --------------- --------------- ---------------
07/31/1997 - 03/31/1998 10.00 0.43(a) 0.14(a)
- ----------------------------------------- --------------- --------------- ---------------
Real Return Bond Fund
Institutional Class
09/30/1999 (b) $ 9.83 $ 0.36(a) $ (0.03)(a)
- ----------------------------------------- --------------- --------------- ---------------
03/31/1999 9.77 0.51(a) 0.10(a)
- ----------------------------------------- --------------- --------------- ---------------
03/31/1998 9.93 0.44(a) 0.05(a)
- ----------------------------------------- --------------- --------------- ---------------
01/29/1997 - 03/31/1997 9.92 0.11 (0.02)
- ----------------------------------------- --------------- --------------- ---------------
Foreign Bond Fund
Institutional Class
09/30/1999 (b) $ 10.63 $ 0.32(a) $ (0.49)(a)
- ----------------------------------------- --------------- --------------- ---------------
03/31/1999 10.74 0.58(a) 0.24(a)
- ----------------------------------------- --------------- --------------- ---------------
03/31/1998 10.41 0.66(a) 0.61(a)
- ----------------------------------------- --------------- --------------- ---------------
03/31/1997 10.50 0.80 1.00
- ----------------------------------------- --------------- --------------- ---------------
03/31/1996 9.38 0.96 1.03
- ----------------------------------------- --------------- --------------- ---------------
03/31/1995 10.18 0.38 (0.57)
- ----------------------------------------- --------------- --------------- ---------------
Administrative Class
09/30/1999 (b) 10.63 0.31(a) (0.49)(a)
- ----------------------------------------- --------------- --------------- ---------------
03/31/1999 10.74 0.56(a) 0.24(a)
- ----------------------------------------- --------------- --------------- ---------------
03/31/1998 10.41 0.63(a) 0.61(a)
- ----------------------------------------- --------------- --------------- ---------------
01/28/1997 - 03/31/1997 10.54 0.59 (0.67)
- ----------------------------------------- --------------- --------------- ---------------
Global Bond Fund
Institutional Class
09/30/1999 (b) $ 9.76 $ 0.27(a) $ (0.34)(a)
- ----------------------------------------- --------------- --------------- ---------------
03/31/1999 9.70 0.52(a) 0.14(a)
- ----------------------------------------- --------------- --------------- ---------------
03/31/1998 9.86 0.66(a) (0.10)(a)
- ----------------------------------------- --------------- --------------- ---------------
03/31/1997 10.05 0.70 (0.01)
- ----------------------------------------- --------------- --------------- ---------------
03/31/1996 9.87 0.45 0.72
- ----------------------------------------- --------------- --------------- ---------------
03/31/1995 9.85 0.69 (0.14)
- ----------------------------------------- --------------- --------------- ---------------
Administrative Class
09/30/1999 (b) 9.76 0.27(a) (0.35)(a)
- ----------------------------------------- --------------- --------------- ---------------
03/31/1999 9.70 0.51(a) 0.14(a)
- ----------------------------------------- --------------- --------------- ---------------
03/31/1998 9.86 0.59(a) (0.05)(a)
- ----------------------------------------- --------------- --------------- ---------------
08/01/1996 - 03/31/1997 10.28 0.51 (0.23)
- ----------------------------------------- --------------- --------------- ---------------
Global Bond Fund II
Institutional Class
09/30/1999 (b) $ 9.89 $ 0.27(a) $ (0.35)(a)
- ----------------------------------------- --------------- --------------- ---------------
03/31/1999 9.92 0.52(a) 0.06(a)
- ----------------------------------------- --------------- --------------- ---------------
02/25/1998 - 03/31/1998 9.82 0.06(a) 0.09(a)
- ----------------------------------------- --------------- --------------- ---------------
Emerging Markets Bond Fund
Institutional Class
09/30/1999 (b) $ 7.51 $ 0.45(a) $ 0.17(a)
- ----------------------------------------- --------------- --------------- ---------------
03/31/1999 9.67 0.87(a) 0.00(a)
- ----------------------------------------- --------------- --------------- ---------------
07/31/1997 - 03/31/1998 10.00 0.46(a) 0.00(a)
- ----------------------------------------- --------------- --------------- ---------------
Administrative Class
09/30/1999 (b) 7.51 0.45 0.16
- ----------------------------------------- --------------- --------------- ---------------
09/30/1998 - 03/31/1999 6.82 0.45 0.74
- ----------------------------------------- --------------- --------------- ---------------
<CAPTION>
Total Dividends Dividends in
Income from from Net Excess of Net
Selected Per Share Data for the Year or Investment Investment Investment
Period Ended: Operations Income Income
--------------- --------------- ---------------
<S> <C> <C> <C>
Low Duration Mortgage Fund
Institutional Class
09/30/1999 (b) $ 0.22 $ (0.31) $ 0.00
- ----------------------------------------- --------------- --------------- ---------------
03/31/1999 0.56 (0.64) 0.00
- ----------------------------------------- --------------- --------------- ---------------
07/31/1997 - 03/31/1998 0.57 (0.42) 0.00
- ----------------------------------------- --------------- --------------- ---------------
Real Return Bond Fund
Institutional Class
09/30/1999 (b) $ 0.33 $ (0.34) $ 0.00
- ----------------------------------------- --------------- --------------- ---------------
03/31/1999 0.61 (0.48) (0.07)
- ----------------------------------------- --------------- --------------- ---------------
03/31/1998 0.49 (0.48) (0.03)
- ----------------------------------------- --------------- --------------- ---------------
01/29/1997 - 03/31/1997 0.09 (0.08) 0.00
- ----------------------------------------- --------------- --------------- ---------------
Foreign Bond Fund
Institutional Class
09/30/1999 (b) $ (0.17) $ (0.32) $ 0.00
- ----------------------------------------- --------------- --------------- ---------------
03/31/1999 0.82 (0.58) 0.00
- ----------------------------------------- --------------- --------------- ---------------
03/31/1998 1.27 (0.63) 0.00
- ----------------------------------------- --------------- --------------- ---------------
03/31/1997 1.80 (0.40) 0.00
- ----------------------------------------- --------------- --------------- ---------------
03/31/1996 1.99 (0.34) (0.25)
- ----------------------------------------- --------------- --------------- ---------------
03/31/1995 (0.19) 0.00 0.00
- ----------------------------------------- --------------- --------------- ---------------
Administrative Class
09/30/1999 (b) (0.18) (0.31) 0.00
- ----------------------------------------- --------------- --------------- ---------------
03/31/1999 0.80 (0.56) 0.00
- ----------------------------------------- --------------- --------------- ---------------
03/31/1998 1.24 (0.60) 0.00
- ----------------------------------------- --------------- --------------- ---------------
01/28/1997 - 03/31/1997 (0.08) (0.05) 0.00
- ----------------------------------------- --------------- --------------- ---------------
Global Bond Fund
Institutional Class
09/30/1999 (b) $ (0.07) $ (0.28) $ 0.00
- ----------------------------------------- --------------- --------------- ---------------
03/31/1999 0.66 (0.36) (0.16)
- ----------------------------------------- --------------- --------------- ---------------
03/31/1998 0.56 (0.53) 0.00
- ----------------------------------------- --------------- --------------- ---------------
03/31/1997 0.69 (0.44) 0.00
- ----------------------------------------- --------------- --------------- ---------------
03/31/1996 1.17 (0.61) 0.00
- ----------------------------------------- --------------- --------------- ---------------
03/31/1995 0.55 (0.29) (0.24)
- ----------------------------------------- --------------- --------------- ---------------
Administrative Class
09/30/1999 (b) (0.08) (0.27) 0.00
- ----------------------------------------- --------------- --------------- ---------------
03/31/1999 0.65 (0.35) (0.16)
- ----------------------------------------- --------------- --------------- ---------------
03/31/1998 0.54 (0.51) 0.00
- ----------------------------------------- --------------- --------------- ---------------
08/01/1996 - 03/31/1997 0.28 (0.26) 0.00
- ----------------------------------------- --------------- --------------- ---------------
Global Bond Fund II
Institutional Class
09/30/1999 (b) $ (0.08) $ (0.27) $ 0.00
- ----------------------------------------- --------------- --------------- ---------------
03/31/1999 0.58 (0.52) 0.00
- ----------------------------------------- --------------- --------------- ---------------
02/25/1998 - 03/31/1998 0.15 0.00 (0.05)
- ----------------------------------------- --------------- --------------- ---------------
Emerging Markets Bond Fund
Institutional Class
09/30/1999 (b) $ 0.62 $ (0.45) $ 0.00
- ----------------------------------------- --------------- --------------- ---------------
03/31/1999 (1.24) (0.87) 0.00
- ----------------------------------------- --------------- --------------- ---------------
07/31/1997 - 03/31/1998 0.28 (0.46) 0.00
- ----------------------------------------- --------------- --------------- ---------------
Administrative Class
09/30/1999 (b) 0.61 (0.44) 0.00
- ----------------------------------------- --------------- --------------- ---------------
09/30/1998 - 03/31/1999 1.19 (0.45) 0.00
- ----------------------------------------- --------------- --------------- ---------------
</TABLE>
* Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Unaudited
(c) Ratio of expenses to average net assets excluding interest expense on
reverse repurchase agreement is 0.51%.
(d) Ratio of expenses to average net assets excluding interest expense on
reverse repurchase agreement is 0.50%.
36 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Ratio of
Distributions Distributions Net Assets Ratio of Investment
from Net in Excess of Tax Basis Net Asset End of Expenses to Income (Loss) Portfolio
Realized Net Realized Return of Total Value End Period Average Net to Average Turnover
Capital Gains Capital Gains Capital Distributions of Period Total Return (000s) Assets Net Assests Rate
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 9.92 2.26% $ 4,178 1.73%*(e) 6.27%* 115%
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
0.00 (0.04) 0.00 (0.68) 10.01 5.71 4,119 2.37(c) 6.35 198
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(0.02) 0.00 0.00 (0.44) 10.13 5.86 3,748 1.81*(d) 6.30* 486
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
$ 0.00 $ 0.00 $ 0.00 $ (0.34) $ 9.82 3.40% $ 86,100 0.54%* 7.28%* 103%
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
0.00 0.00 0.00 (0.55) 9.83 6.41 15,588 0.52 5.18 438
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(0.14) 0.00 0.00 (0.65) 9.77 4.70 5,526 0.52 4.46 967
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
0.00 0.00 0.00 (0.08) 9.93 0.09 5,638 0.51* 6.54* 160
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
$ 0.00 $ 0.00 $ 0.00 $ (0.32) $ 10.14 (1.63)% $461,433 0.59%*(f) 6.16%* 90%
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(0.10) (0.25) 0.00 (0.93) 10.63 7.92 530,325 0.50 5.39 376
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(0.31) 0.00 0.00 (0.94) 10.74 12.64 392,198 0.50 6.32 280
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(1.49) 0.00 0.00 (1.89) 10.41 17.69 234,880 0.50 7.88 984
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(0.25) (0.03) 0.00 (0.87) 10.50 21.80 258,493 0.52 5.83 1,234
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
0.00 0.00 (0.61) (0.61) 9.38 (1.85) 232,700 0.47 6.44 299
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
0.00 0.00 0.00 (0.31) 10.14 (1.75) 4,906 0.85*(g) 5.97* 90
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(0.10) (0.25) 0.00 (0.91) 10.63 7.65 2,096 0.75 5.13 376
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(0.31) 0.00 0.00 (0.91) 10.74 12.34 315 0.75 6.07 280
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
0.00 0.00 0.00 (0.05) 10.41 (0.72) 30 0.79* 7.63* 984
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
$ 0.00 $ 0.00 $ 0.00 $ (0.28) $ 9.41 (0.56)% $283,268 0.62%*(h) 5.96%* 39%
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(0.08) 0.00 0.00 (0.60) 9.76 6.90 266,984 0.55 5.35 143
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
0.00 (0.19) 0.00 (0.72) 9.70 5.85 256,274 0.55 6.64 389
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(0.44) 0.00 0.00 (0.88) 9.86 6.78 215,631 0.56 7.51 911
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(0.21) (0.17) 0.00 (0.99) 10.05 12.04 133,833 0.58 5.88 1,083
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
0.00 0.00 0.00 (0.53) 9.87 10.35 76,476 0.64 5.59 461
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
0.00 0.00 0.00 (0.27) 9.41 (0.68) 7,065 0.87*(i) 5.80* 39
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(0.08) 0.00 0.00 (0.59) 9.76 6.78 1,326 0.80 5.21 143
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
0.00 (0.19) 0.00 (0.70) 9.70 5.57 1,548 0.80 6.39 389
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(0.44) 0.00 0.00 (0.70) 9.86 2.97 346 0.78* 5.66* 911
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
$ (0.09) $ 0.00 $ 0.00 $ (0.36) $ 9.45 (1.69)% $ 29,033 0.58%* 2.84%* 55%
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(0.01) (0.08) 0.00 (0.61) 9.89 6.06 29,044 0.55 5.29 236
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
0.00 0.00 0.00 (0.05) 9.92 1.02 24,517 0.55* 6.24* 369
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
$ 0.00 $ 0.00 $ 0.00 $ (0.45) $ 7.68 8.45% $ 4,478 0.90%*(j) 11.66%* 188%
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
0.00 (0.05) 0.00 (0.92) 7.51 (12.55) 3,641 0.85 11.08 315
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(0.15) 0.00 0.00 (0.61) 9.67 3.10 3,676 0.86* 7.21* 695
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
0.00 0.00 0.00 (0.44) 7.68 8.30 11,563 1.13* 5.73* 188
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
0.00 (0.05) 0.00 (0.50) 7.51 17.88 118 1.10 6.24 315
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
</TABLE>
(e) Ratio of expenses to average net assets excluding interest expense is 0.50%.
(f) Ratio of expenses to average net assets excluding interest expense is 0.50%.
(g) Ratio of expenses to average net assets excluding interest expense is 0.75%.
(h) Ratio of expenses to average net assets excluding interest expense is 0.55%.
(i) Ratio of expenses to average net assets excluding interest expense is 0.80%.
(j) Ratio of expenses to average net assets excluding interest expense is 0.85%.
1999 Semi-Annual Report See accompanying notes 37
<PAGE>
Financial Highlights - Institutional Classes (Cont.)
<TABLE>
<CAPTION>
Net Asset Net Realized/
Value Unrealized
Selected Per Share Data for the Year or Beginning Net Investment Gain (Loss) on
Period Ended: of Period Income (Loss) Investments
--------------- --------------- ---------------
<S> <C> <C> <C>
Strategic Balanced Fund
Institutional Class
09/30/1999 (b) $ 12.76 $ 0.33(a) $ (0.26)(a)
- -------------------------------------------- --------------- --------------- ---------------
03/31/1999 12.60 0.89(a) 0.60(a)
- -------------------------------------------- --------------- --------------- ---------------
03/31/1998 10.32 1.30(a) 2.05(a)
- -------------------------------------------- --------------- --------------- ---------------
06/28/1996 - 03/31/1997 10.00 0.85 0.31
- -------------------------------------------- --------------- --------------- ---------------
Administrative Class
06/30/1999 - 09/30/1999 (b) 13.17 0.09 (0.56)
- -------------------------------------------- --------------- --------------- ---------------
Convertible Bond Fund
Institutional Class
09/30/1999 (b) $ 10.00 $ (0.05) $ 1.42
- -------------------------------------------- --------------- --------------- ---------------
StocksPLUS Fund
Institutional Class
09/30/1999 (b) $ 14.32 $ 0.32(a) $ (0.20)(a)
- -------------------------------------------- --------------- --------------- ---------------
03/31/1999 14.09 0.97(a) 1.32(a)
- -------------------------------------------- --------------- --------------- ---------------
03/31/1998 11.46 1.90(a) 3.23(a)
- -------------------------------------------- --------------- --------------- ---------------
03/31/1997 11.16 1.27 0.82
- -------------------------------------------- --------------- --------------- ---------------
03/31/1996 10.48 0.91 2.48
- -------------------------------------------- --------------- --------------- ---------------
03/31/1995 9.52 1.03 0.69
- -------------------------------------------- --------------- --------------- ---------------
Administrative Class
09/30/1999 (b) 14.25 0.27(a) (0.20)(a)
- -------------------------------------------- --------------- --------------- ---------------
03/31/1999 14.06 1.10(a) 1.13(a)
- -------------------------------------------- --------------- --------------- ---------------
03/31/1998 11.46 1.89(a) 3.19(a)
- -------------------------------------------- --------------- --------------- ---------------
01/07/1997 - 03/31/1997 11.56 0.14 0.00
- -------------------------------------------- --------------- --------------- ---------------
Municipal Bond Fund
Institutional Class
09/30/1999 (b) $ 10.12 $ 0.23(a) $ (0.56)(a)
- -------------------------------------------- --------------- --------------- ---------------
03/31/1999 9.97 0.45(a) 0.14(a)
- -------------------------------------------- --------------- --------------- ---------------
12/31/1997 - 03/31/1998 10.00 0.11(a) 0.00(a)
- -------------------------------------------- --------------- --------------- ---------------
Administrative Class
09/30/1999 (b) 10.12 0.21 (0.55)
- -------------------------------------------- --------------- --------------- ---------------
09/30/1998 - 03/31/1999 10.25 0.21 0.00
- -------------------------------------------- --------------- --------------- ---------------
California Intermediate Municipal Bond Fund
Institutional Class
08/31/1999 - 09/30/1999 (b) $ 10.00 $ 0.03 $ 0.04
- -------------------------------------------- --------------- --------------- ---------------
Administrative Class
09/07/1999 - 09/30/1999 (b) 10.02 0.02 0.02
- -------------------------------------------- --------------- --------------- ---------------
New York Intermediate Municipal Bond Fund
Institutional Class
08/31/1999 - 09/30/1999 (b) $ 10.00 $ 0.03 $ 0.01
- -------------------------------------------- --------------- --------------- ---------------
Short Duration Municipal Income Fund
Institutional Class
08/31/1999 - 09/30/1999 (b) $ 10.00 $ 0.03 $ 0.00
- -------------------------------------------- --------------- --------------- ---------------
<CAPTION>
Total Dividends Dividends in
Income from from Net Excess of Net
Selected Per Share Data for the Year or Investment Investment Investment
Period Ended: Operations Income Income
--------------- --------------- ---------------
<S> <C> <C> <C>
Strategic Balanced Fund
Institutional Class
09/30/1999 (b) $ 0.07 $ (0.23) $ 0.00
- -------------------------------------------- --------------- --------------- ---------------
03/31/1999 1.49 (0.66) 0.00
- -------------------------------------------- --------------- --------------- ---------------
03/31/1998 3.35 (0.84) 0.00
- -------------------------------------------- --------------- --------------- ---------------
06/28/1996 - 03/31/1997 1.16 (0.63) 0.00
- -------------------------------------------- --------------- --------------- ---------------
Administrative Class
06/30/1999 - 09/30/1999 (b) (0.47) (0.11) 0.00
- -------------------------------------------- --------------- --------------- ---------------
Convertible Bond Fund
Institutional Class
09/30/1999 (b) $ 1.37 $ 0.00 $ 0.00
- -------------------------------------------- --------------- --------------- ---------------
StocksPLUS Fund
Institutional Class
09/30/1999 (b) $ 0.12 $ (0.25) $ 0.00
- -------------------------------------------- --------------- --------------- ---------------
03/31/1999 2.29 (0.82) 0.00
- -------------------------------------------- --------------- --------------- ---------------
03/31/1998 5.13 (1.41) 0.00
- -------------------------------------------- --------------- --------------- ---------------
03/31/1997 2.09 (1.27) 0.00
- -------------------------------------------- --------------- --------------- ---------------
03/31/1996 3.39 (1.05) 0.00
- -------------------------------------------- --------------- --------------- ---------------
03/31/1995 1.72 (0.76) 0.00
- -------------------------------------------- --------------- --------------- ---------------
Administrative Class
09/30/1999 (b) 0.07 (0.24) 0.00
- -------------------------------------------- --------------- --------------- ---------------
03/31/1999 2.23 (0.80) 0.00
- -------------------------------------------- --------------- --------------- ---------------
03/31/1998 5.08 (1.39) 0.00
- -------------------------------------------- --------------- --------------- ---------------
01/07/1997 - 03/31/1997 0.05 (0.15) 0.00
- -------------------------------------------- --------------- --------------- ---------------
Municipal Bond Fund
Institutional Class
09/30/1999 (b) $ (0.33) $ (0.23) $ 0.00
- -------------------------------------------- --------------- --------------- ---------------
03/31/1999 0.59 (0.44) 0.00
- -------------------------------------------- --------------- --------------- ---------------
12/31/1997 - 03/31/1998 0.08 (0.11) 0.00
- -------------------------------------------- --------------- --------------- ---------------
Administrative Class
09/30/1999 (b) (0.34) (0.22) 0.00
- -------------------------------------------- --------------- --------------- ---------------
09/30/1998 - 03/31/1999 0.08 (0.21) 0.00
- -------------------------------------------- --------------- --------------- ---------------
California Intermediate Municipal Bond Fund
Institutional Class
08/31/1999 - 09/30/1999 (b) $ 0.07 $ (0.03) $ 0.00
- -------------------------------------------- --------------- --------------- ---------------
Administrative Class
09/07/1999 - 09/30/1999 (b) 0.04 (0.02) 0.00
- -------------------------------------------- --------------- --------------- ---------------
New York Intermediate Municipal Bond Fund
Institutional Class
08/31/1999 - 09/30/1999 (b) $ 0.04 $ (0.03) $ 0.00
- -------------------------------------------- --------------- --------------- ---------------
Short Duration Municipal Income Fund
Institutional Class
08/31/1999 - 09/30/1999 (b) $ 0.03 $ (0.03) $ 0.00
- -------------------------------------------- --------------- --------------- ---------------
</TABLE>
* Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Unaudited
(c) Ratio of expenses to average net assets excluding interest expense is
0.65%.
38 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Ratio of
Net
Distri- Distributions Investment
butions in Excess Ratio of Income
from Net of Net Net Assets Expenses (Loss) to
Realized Realized Tax Basis Net Asset End of to Average Average Portfolio
Capital Capital Return of Total Value End Total Period Net Net Turnover
Gains Gains Capital Distributions of Period Return (000s) Assets Assets Rate
- ----------- ------------ --------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 0.00 $ 0.00 $ 0.00 $ (0.23) $ 12.60 0.51% $125,686 0.65%* 4.96%* 34%
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
(0.67) 0.00 0.00 (1.33) 12.76 12.36 97,945 0.65 7.00 82
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
(0.23) 0.00 0.00 (1.07) 12.60 33.40 38,806 0.65 10.84 56
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
(0.21) 0.00 0.00 (0.84) 10.32 11.83 10,360 0.90* 9.72* 95
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
0.00 0.00 0.00 (0.11) 12.59 (3.58) 248 0.90* 2.71* 34
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
$ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 11.37 13.70% $ 36,145 0.70%*(c) (0.81)%* 205%
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
$ 0.00 $ 0.00 $ 0.00 $ (0.25) $ 14.19 0.83% $546,622 0.66%* 4.30%* 46%
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
(1.24) 0.00 0.00 (2.06) 14.32 17.65 512,953 0.65 6.92 81
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
(1.09) 0.00 0.00 (2.50) 14.09 47.75 416,600 0.65 13.74 30
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
(0.52) 0.00 0.00 (1.79) 11.46 19.44 235,829 0.65 11.78 47
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
(1.62) (0.04) 0.00 (2.71) 11.16 34.07 151,869 0.70 15.23 102
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
0.00 0.00 0.00 (0.76) 10.48 18.64 46,498 0.50 11.89 177
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
0.00 0.00 0.00 (0.24) 14.08 0.49 51,992 0.91* 1.77* 46
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
(1.24) 0.00 0.00 (2.04) 14.25 17.21 11,302 0.90 7.83 81
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
(1.09) 0.00 0.00 (2.48) 14.06 47.19 2,143 0.90 13.49 30
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
0.00 0.00 0.00 (0.15) 11.46 0.34 682 0.95* 4.83* 47
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
$ 0.00 $ 0.00 $ 0.00 $ (0.23) $ 9.56 (3.31)% $ 4,325 0.52%* 4.60%* 48%
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
0.00 0.00 0.00 (0.44) 10.12 6.04 5,894 0.50 4.41 70
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
0.00 0.00 0.00 (0.11) 9.97 0.78 3,023 0.50* 4.46* 60
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
0.00 0.00 0.00 (0.22) 9.56 (3.43) 2,477 0.77* 2.22* 48
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
0.00 0.00 0.00 (0.21) 10.12 0.83 1,419 0.75 2.11 70
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
$ 0.00 $ 0.00 $ 0.00 $ (0.03) $ 10.04 0.71% $ 3,123 0.49%* 3.83%* 181%
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
0.00 0.00 0.00 (0.02) 10.04 0.63 10 0.49* 2.95* 181
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
$ 0.00 $ 0.00 $ 0.00 $ (0.03) $ 10.01 0.39% $ 3,010 0.49%* 3.69%* 193%
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
$ 0.00 $ 0.00 $ 0.00 $ (0.03) $ 10.00 0.30% $ 10,536 0.39%* 3.80%* 104%
- ----------- ----------- -------- ------------- ------------ ----------- ----------- ------------ ----------- ----------
</TABLE>
1999 Semi-Annual Report See accompanying notes 39
<PAGE>
Statements of Assets and Liabilities
September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Total Total Total Moderate
Amounts in thousands, except per share amounts Return Fund Return Fund II Return Fund III Duration Fund
------------ -------------- --------------- -------------
<S> <C> <C> <C> <C>
Assets:
Investments, at value $ 36,954,117 $ 1,419,414 $ 640,607 $ 356,583
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Cash and foreign currency 26,082 0 226 1,746
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Receivable for investments and foreign currency sold 1,122,209 5,361 2,137 8,294
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Receivable for Fund shares sold 65,263 168 26,303 11,600
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Variation margin receivable 29,125 1,093 898 227
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Interest and dividends receivable 307,707 11,523 5,319 3,243
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Other assets 9,166 0 0 13
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
38,513,669 1,437,559 675,490 381,706
========================================================== ============ ============== =============== =============
Liabilities:
Payable for investments and foreign currency purchased $ 5,921,552 $ 233,748 $ 46,824 $ 34,464
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Payable for financing transactions 2,658,386 0 5,185 1,519
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Notes payable 413,429 0 0 0
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Written options outstanding 27,977 1,353 621 509
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Payable for Fund shares redeemed 117,878 345 1,046 1
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Dividends payable 33,415 1,026 220 0
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Accrued investment advisory fee 5,936 258 121 65
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Accrued administration fee 4,827 259 121 52
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Accrued distribution fee 1,404 9 1 0
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Accrued servicing fee 636 0 0 0
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Other liabilities 16,626 0 273 63
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
9,202,066 236,998 54,412 36,673
========================================================== ============ ============== =============== =============
Net Assets $ 29,311,603 $ 1,200,561 $ 621,078 $ 345,033
========================================================== ============ ============== =============== =============
Net Assets Consist of:
Paid in capital $ 30,501,872 $ 1,247,596 $ 647,454 $ 358,200
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Undistributed (overdistributed) net investment income (76,156) (179) (514) (517)
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Accumulated undistributed net realized gain (loss) (715,294) (32,486) (16,703) (9,097)
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Net unrealized appreciation (depreciation) (398,819) (14,370) (9,159) (3,553)
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
$ 29,311,603 $ 1,200,561 $ 621,078 $ 345,033
========================================================== ============ ============== =============== =============
Net Assets:
Institutional Class $ 23,305,606 $ 1,150,127 $ 617,808 $ 345,033
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Administrative Class 2,873,555 50,434 3,270 0
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Other Classes 3,132,442 0 0 0
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Shares Issued and Outstanding:
Institutional Class 2,316,945 117,608 69,078 35,666
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Administrative Class 285,678 5,157 366 0
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Net Asset Value and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional Class $ 10.06 $ 9.78 $ 8.94 $ 9.67
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Administrative Class 10.06 9.78 8.94 0.00
- ---------------------------------------------------------- ------------ -------------- --------------- -------------
Cost of Investments Owned $ 37,318,886 $ 1,433,653 $ 649,485 $ 360,105
========================================================== ============ ============== =============== =============
Cost of Foreign Currency Held $ 9,363 $ 0 $ 231 $ 350
========================================================== ============ ============== =============== =============
</TABLE>
40 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Low Low Low Money Long-Term Total Low Duration
Duration Duration Duration Short-Term Market U.S. Gov't High Yield Return Mortgage
Fund Fund II Fund III Fund Fund Fund Fund Mortgage Fund Fund
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 4,775,841 $ 483,097 $ 25,652 $ 676,892 $ 562,029 $ 513,885 $ 3,473,714 $ 4,795 $ 5,615
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
19,198 50 0 563 1 0 222 0 1
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
22,554 26 1,142 21,150 0 56,797 39,058 7,225 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
9,576 4 0 9,872 4,843 51,495 4,675 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
644 45 3 0 0 602 0 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
54,614 4,190 241 3,903 1,114 4,667 73,808 27 32
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
565 0 0 0 0 87 21 1 2
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
4,882,992 487,412 27,038 712,380 567,987 627,533 3,591,498 12,048 5,650
=========== =========== =========== =========== =========== =========== =========== =========== ===========
$ 144,619 $ 18,416 $ 1,128 $ 6,755 $ 0 $ 94,691 $ 7,365 $ 8,016 $ 438
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
80,210 0 404 30,902 0 111,788 5,615 0 303
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
0 0 0 27,142 0 0 0 0 727
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
9,228 1,256 0 0 0 0 0 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
14,430 48 0 37,227 78,966 319 13,675 0 1
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
3,478 90 0 577 185 373 5,044 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
938 97 5 129 62 68 760 1 1
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
753 97 5 117 111 80 874 1 1
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
112 0 0 8 14 48 496 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
89 0 0 23 22 19 189 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
169 0 0 17 0 1 153 0 1
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
254,026 20,004 1,542 102,897 79,360 207,387 34,171 8,018 1,472
=========== =========== =========== =========== =========== =========== =========== =========== ===========
$ 4,628,966 $ 467,408 $ 25,496 $ 609,483 $ 488,627 $ 420,146 $ 3,557,327 $ 4,030 $ 4,178
=========== =========== =========== =========== =========== =========== =========== =========== ===========
$ 4,710,408 $ 477,525 $ 26,118 $ 613,070 $ 488,607 $ 450,199 $ 3,804,235 $ 4,053 $ 4,220
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
(3,954) (169) (14) 369 20 75 (2,253) 2 5
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
(39,093) (5,074) (352) (768) 0 (22,142) (77,712) 11 (19)
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
(38,395) (4,874) (256) (3,188) 0 (7,986) (166,943) (36) (28)
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
$ 4,628,966 $ 467,408 $ 25,496 $ 609,483 $ 488,627 $ 420,146 $ 3,557,327 $ 4,030 $ 4,178
=========== =========== =========== =========== =========== =========== =========== =========== ===========
$ 4,067,967 $ 467,105 $ 25,486 $ 487,849 $ 271,338 $ 281,120 $ 2,320,018 $ 3,901 $ 4,178
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
120,300 303 10 5,712 8,431 44,170 320,987 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
440,699 0 0 115,922 208,858 94,856 916,322 129 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
410,811 47,874 2,598 48,957 271,339 29,023 216,321 391 421
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
12,149 32 2 574 8,431 4,560 29,929 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
$ 9.90 $ 9.76 $ 9.81 $ 9.96 $ 1.00 $ 9.69 $ 10.73 $ 9.98 $ 9.92
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
9.90 9.76 9.81 9.96 1.00 9.69 10.73 0.00 0.00
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
$ 4,812,209 $ 487,568 $ 25,923 $ 680,187 $ 562,029 $ 522,033 $ 3,640,769 $ 4,832 $ 5,643
=========== =========== =========== =========== =========== =========== =========== =========== ===========
$ 5,896 $ 0 $ 0 $ 566 $ 0 $ 0 $ 0 $ 0 $ 0
=========== =========== =========== =========== =========== =========== =========== =========== ===========
</TABLE>
1999 Semi-Annual Report See accompanying notes 41
<PAGE>
Statements of Assets and Liabilities (Cont.)
September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Real Return Foreign Global
Amounts in thousands, except per share amounts Bond Fund Bond Fund Bond Fund
--------------- --------------- --------------
<S> <C> <C> <C>
Assets:
Investments, at value $ 179,062 $ 999,720 $ 409,137
- --------------------------------------------------------------------- --------------- --------------- --------------
Cash and foreign currency 103 11,021 4,210
- --------------------------------------------------------------------- --------------- --------------- --------------
Receivable for investments and foreign currency sold 6,070 208,441 90,535
- --------------------------------------------------------------------- --------------- --------------- --------------
Receivable for Fund shares sold 567 413 2
- --------------------------------------------------------------------- --------------- --------------- --------------
Variation margin receivable 0 5 49
- --------------------------------------------------------------------- --------------- --------------- --------------
Interest and dividends receivable 1,474 16,030 5,646
- --------------------------------------------------------------------- --------------- --------------- --------------
Other assets 321 658 0
- --------------------------------------------------------------------- --------------- --------------- --------------
187,597 1,236,288 509,579
===================================================================== =============== =============== ==============
Liabilities:
Payable for investments and foreign currency purchased $ 3,432 $ 71,426 $ 50,319
- --------------------------------------------------------------------- --------------- --------------- --------------
Payable for financing transactions 65,848 566,981 166,489
- --------------------------------------------------------------------- --------------- --------------- --------------
Notes payable 0 14,490 0
- --------------------------------------------------------------------- --------------- --------------- --------------
Written options outstanding 0 1,416 677
- --------------------------------------------------------------------- --------------- --------------- --------------
Payable for Fund shares redeemed 250 1,051 454
- --------------------------------------------------------------------- --------------- --------------- --------------
Dividends payable 196 595 493
- --------------------------------------------------------------------- --------------- --------------- --------------
Accrued investment advisory fee 20 119 58
- --------------------------------------------------------------------- --------------- --------------- --------------
Accrued administration fee 24 137 70
- --------------------------------------------------------------------- --------------- --------------- --------------
Accrued distribution fee 8 35 0
- --------------------------------------------------------------------- --------------- --------------- --------------
Accrued servicing fee 6 23 0
- --------------------------------------------------------------------- --------------- --------------- --------------
Variation margin payable 1 0 0
- --------------------------------------------------------------------- --------------- --------------- --------------
Other liabilities 0 495 686
- --------------------------------------------------------------------- --------------- --------------- --------------
69,785 656,768 219,246
===================================================================== =============== =============== ==============
Net Assets $ 117,812 $ 579,520 $ 290,333
===================================================================== =============== =============== ==============
Net Assets Consist of:
Paid in capital $ 118,302 $ 597,565 $ 309,363
- --------------------------------------------------------------------- --------------- --------------- --------------
Undistributed (overdistributed) net investment income 52 8,577 (3,122)
- --------------------------------------------------------------------- --------------- --------------- --------------
Accumulated undistributed net realized gain (loss) 214 (6,149) (10,783)
- --------------------------------------------------------------------- --------------- --------------- --------------
Net unrealized appreciation (depreciation) (756) (20,473) (5,125)
- --------------------------------------------------------------------- --------------- --------------- --------------
$ 117,812 $ 579,520 $ 290,333
===================================================================== =============== =============== ==============
Net Assets:
Institutional Class $ 86,100 $ 461,433 $ 283,268
- --------------------------------------------------------------------- --------------- --------------- --------------
Administrative Class 0 4,906 7,065
- --------------------------------------------------------------------- --------------- --------------- --------------
Other Classes 31,712 113,181 0
- --------------------------------------------------------------------- --------------- --------------- --------------
Shares Issued and Outstanding:
Institutional class 8,765 45,498 30,086
- --------------------------------------------------------------------- --------------- --------------- --------------
Administrative class 0 483 751
- --------------------------------------------------------------------- --------------- --------------- --------------
Net Asset Value and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional class $ 9.82 $ 10.14 $ 9.41
- --------------------------------------------------------------------- --------------- --------------- --------------
Administrative class 0.00 10.14 9.41
- --------------------------------------------------------------------- --------------- --------------- --------------
Cost of Investments Owned $ 179,830 $ 1,006,965 $ 413,619
===================================================================== =============== =============== ==============
Cost of Foreign Currency Held $ 99 $ 9,276 $ 4,024
===================================================================== =============== =============== ==============
</TABLE>
42 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
California New York Short
Emerging Strategic Intermediate Intermediate Duration
Global Bond Markets Balanced Convertible StocksPLUS Municipal Municipal Municipal Municipal
Fund II Bond Fund Fund Bond Fund Fund Bond Fund Bond Fund Bond Fund Income Fund
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 61,541 $ 17,827 $ 187,107 $ 38,527 $ 1,395,524 $ 55,762 $ 3,393 $ 3,379 $ 10,893
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
987 43 434 1 2,780 2 1 1 1
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
13,185 2 4,671 2,949 598 2,163 318 266 505
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
25 1 513 55 4,300 265 0 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
11 0 1,370 0 15,933 0 0 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
769 579 1,240 164 4,560 818 43 31 115
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
3 1 4 0 0 0 0 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
76,521 18,453 195,339 41,696 1,423,695 59,010 3,755 3,677 11,514
=========== =========== =========== =========== =========== =========== =========== =========== ===========
$ 8,468 $ 352 $ 21,647 $ 2,912 $ 32,501 $ 3,067 $ 620 $ 665 $ 974
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
24,862 582 6,166 0 0 0 0 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
0 0 0 0 0 0 0 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
101 0 132 0 1,576 0 0 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
3 44 11,926 0 1,928 314 0 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
24 4 0 0 1 67 0 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
9 6 58 12 463 11 1 1 2
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
12 6 41 8 267 16 1 1 2
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
7 3 15 1 338 18 0 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
3 0 7 1 163 10 0 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
0 0 0 0 0 0 0 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
128 1 0 0 39 5 0 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
33,617 998 39,992 2,934 37,276 3,508 622 667 978
=========== =========== =========== =========== =========== =========== =========== =========== ===========
$ 42,904 $ 17,455 $ 155,347 $ 38,762 $ 1,386,419 $ 55,502 $ 3,133 $ 3,010 $ 10,536
=========== =========== =========== =========== =========== =========== =========== =========== ===========
$ 45,227 $ 18,485 $ 154,711 $ 37,474 $ 1,296,447 $ 56,011 $ 3,121 $ 3,009 $ 10,532
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
(40) 0 2,441 (88) 59,607 0 0 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
(1,312) (609) 3,194 636 89,313 (430) 9 8 1
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
(971) (421) (4,999) 740 (58,948) (79) 3 (7) 3
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
$ 42,904 $ 17,455 $ 155,347 $ 38,762 $ 1,386,419 $ 55,502 $ 3,133 $ 3,010 $ 10,536
=========== =========== =========== =========== =========== =========== =========== =========== ===========
$ 29,033 $ 4,478 $ 125,686 $ 36,145 $ 546,622 $ 4,325 $ 3,123 $ 3,010 $ 10,536
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
0 11,563 248 0 51,992 2,477 10 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
13,871 1,414 29,413 2,617 787,805 48,700 0 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
3,071 584 9,977 3,177 38,531 452 311 301 1,053
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
0 1,506 20 0 3,693 258 1 0 0
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
$ 9.45 $ 7.68 $ 12.60 $ 11.37 $ 14.19 $ 9.56 $ 10.04 $ 10.01 $ 10.00
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
0.00 7.68 12.59 0.00 14.08 9.56 10.04 0.00 0.00
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
$ 62,041 $ 18,251 $ 187,775 $ 37,742 $ 1,396,848 $ 55,841 $ 3,390 $ 3,386 $ 10,890
=========== =========== =========== =========== =========== =========== =========== =========== ===========
$ 596 $ 5 $ 22 $ 0 $ 2,327 $ 0 $ 0 $ 0 $ 0
=========== =========== =========== =========== =========== =========== =========== =========== ===========
</TABLE>
1999 Semi-Annual Report See accompanying notes 43
<PAGE>
Statements of Operations
For the period ended September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Total Total Total Moderate
Amounts in thousands Return Fund Return Fund II Return Fund III Duration Fund
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 896,643 $ 36,249 $ 17,332 $ 10,689
- ------------------------------------------------------------- --------------- --------------- --------------- ---------------
Dividends 2,002 0 161 0
- ------------------------------------------------------------- --------------- --------------- --------------- ---------------
Total Income 898,645 36,249 17,493 10,689
============================================================= =============== =============== =============== ===============
Expenses:
Investment advisory fees 34,509 1,462 665 411
- ------------------------------------------------------------- --------------- --------------- --------------- ---------------
Administration fees 27,963 1,462 665 328
- ------------------------------------------------------------- --------------- --------------- --------------- ---------------
Distribution and/or servicing fees - Administrative Class 2,984 65 3 0
- ------------------------------------------------------------- --------------- --------------- --------------- ---------------
Distribution and/or servicing fees - Other Classes 8,686 0 0 0
- ------------------------------------------------------------- --------------- --------------- --------------- ---------------
Trustees' fees 75 3 1 1
- ------------------------------------------------------------- --------------- --------------- --------------- ---------------
Interest Expense 4,249 45 49 6
- ------------------------------------------------------------- --------------- --------------- --------------- ---------------
Total Expenses 78,466 3,037 1,383 746
- ------------------------------------------------------------- --------------- --------------- --------------- ---------------
Net Investment Income 820,179 33,212 16,110 9,943
============================================================= =============== =============== =============== ===============
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (370,699) (16,863) (5,511) (3,084)
- ------------------------------------------------------------- --------------- --------------- --------------- ---------------
Net realized gain (loss) on
futures contracts and written options (137,403) (5,726) (3,110) (2,659)
- ------------------------------------------------------------- --------------- --------------- --------------- ---------------
Net realized gain (loss) on
foreign currency transactions (10,913) 0 (26) (193)
- ------------------------------------------------------------- --------------- --------------- --------------- ---------------
Net change in unrealized appreciation
(depreciation) on investments (264,964) (14,903) (9,846) (3,397)
- ------------------------------------------------------------- --------------- --------------- --------------- ---------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written options (7,121) 154 348 252
- ------------------------------------------------------------- --------------- --------------- --------------- ---------------
Net change in unrealized appreciation
(depreciation) on translation of assets and liabilities
denominated in foreign currencies (12,538) 0 (10) 17
- ------------------------------------------------------------- --------------- --------------- --------------- ---------------
Net Gain (Loss) (803,638) (37,338) (18,155) (9,064)
- ------------------------------------------------------------- --------------- --------------- --------------- ---------------
Net Increase (Decrease) in Assets
Resulting from Operations $ 16,541 $ (4,126) $ (2,045) $ 879
============================================================= =============== =============== =============== ===============
</TABLE>
44 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Long-Term Total Low
Low Low Low Money U.S. Return Duration
Duration Duration Duration Short-Term Market Gov't High Yield Mortgage Mortgage
Fund Fund II Fund III Fund Fund Fund Fund Fund Fund
- --------- --------- --------- --------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 131,758 $ 15,002 $ 902 $ 18,394 $ 12,705 $ 10,615 $ 156,549 $ 126 $ 165
- --------- --------- --------- --------- --------- --------- --------- --------- ---------
3,620 0 0 0 0 0 4,185 0 0
- --------- --------- --------- --------- --------- --------- --------- --------- ---------
135,378 15,002 902 18,394 12,705 10,615 160,734 126 165
========= ========= ========= ========= ========= ========= ========= ========= =========
5,058 582 34 751 370 384 4,458 5 5
- --------- --------- --------- --------- --------- --------- --------- --------- ---------
4,087 582 34 679 641 457 5,123 5 5
- --------- --------- --------- --------- --------- --------- --------- --------- ---------
156 1 0 7 11 43 350 0 0
- --------- --------- --------- --------- --------- --------- --------- --------- ---------
1,067 0 0 172 165 369 3,705 0 0
- --------- --------- --------- --------- --------- --------- --------- --------- ---------
11 1 0 2 1 1 9 0 0
- --------- --------- --------- --------- --------- --------- --------- --------- ---------
43 294 11 20 21 84 50 0 25
- --------- --------- --------- --------- --------- --------- --------- --------- ---------
10,422 1,460 79 1,631 1,209 1,338 13,695 10 35
- --------- --------- --------- --------- --------- --------- --------- --------- ---------
124,956 13,542 823 16,763 11,496 9,277 147,039 116 130
========= ========= ========= ========= ========= ========= ========= ========= =========
(19,309) (2,350) (156) (458) 0 (13,540) (15,595) 11 (11)
- --------- --------- --------- --------- --------- --------- --------- --------- ---------
(1,720) 12 0 0 0 (1,346) 0 0 0
- --------- --------- --------- --------- --------- --------- --------- --------- ---------
(5,499) 0 0 (185) 0 0 0 0 0
- --------- --------- --------- --------- --------- --------- --------- --------- ---------
(51,400) (6,327) (338) (3,178) 0 (3,597) (153,619) (93) (28)
- --------- --------- --------- --------- --------- --------- --------- --------- ---------
(1,926) (528) 15 0 0 43 0 0 0
- --------- --------- --------- --------- --------- --------- --------- --------- ---------
409 0 0 41 0 0 0 0 0
- --------- --------- --------- --------- --------- --------- --------- --------- ---------
(79,445) (9,193) (479) (3,780) 0 (18,440) (169,214) (82) (39)
- --------- --------- --------- --------- --------- --------- --------- --------- ---------
$ 45,511 $ 4,349 $ 344 $ 12,983 $ 11,496 $ (9,163) $ (22,175) $ 34 $ 91
========= ========= ========= ========= ========= ========= ========= ========= =========
</TABLE>
1999 Semi-Annual Report See accompanying notes 45
<PAGE>
Statements of Operations (Cont.)
For the period ended September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Real Return Foreign Global
Amounts in thousands Bond Fund Bond Fund Bond Fund
------------ ------------ ------------
<S> <C> <C> <C>
Investment Income:
Interest $ 2,061 $ 20,507 $ 9,102
- --------------------------------------------------------------------------- ------------ ------------ ------------
Dividends 0 0 0
- --------------------------------------------------------------------------- ------------ ------------ ------------
Total Income 2,061 20,507 9,102
=========================================================================== ============ ============ ============
Expenses:
Investment advisory fees 66 754 344
- --------------------------------------------------------------------------- ------------ ------------ ------------
Administration fees 79 853 412
- --------------------------------------------------------------------------- ------------ ------------ ------------
Distribution and/or servicing fees - Administrative Class 0 5 3
- --------------------------------------------------------------------------- ------------ ------------ ------------
Distribution and/or servicing fees - Other Classes 55 323 0
- --------------------------------------------------------------------------- ------------ ------------ ------------
Trustees' fees 0 2 1
- --------------------------------------------------------------------------- ------------ ------------ ------------
Organization costs 1 0 0
- --------------------------------------------------------------------------- ------------ ------------ ------------
Interest Expense 12 282 98
- --------------------------------------------------------------------------- ------------ ------------ ------------
Total Expenses 213 2,219 858
- --------------------------------------------------------------------------- ------------ ------------ ------------
Net Investment Income (Loss) 1,848 18,288 8,244
=========================================================================== ============ ============ ============
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 220 (7,430) (6,848)
- --------------------------------------------------------------------------- ------------ ------------ ------------
Net realized gain (loss) on
futures contracts and written options 34 1,499 230
- --------------------------------------------------------------------------- ------------ ------------ ------------
Net realized gain (loss) on
foreign currency transactions (39) (51) (2,824)
- --------------------------------------------------------------------------- ------------ ------------ ------------
Net change in unrealized appreciation
(depreciation) on investments (654) (17) (1,046)
- --------------------------------------------------------------------------- ------------ ------------ ------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written options (0) (211) (223)
- --------------------------------------------------------------------------- ------------ ------------ ------------
Net change in unrealized appreciation
(depreciation) on translation of assets and liabilities
denominated in foreign currencies 15 (22,781) 1,253
- --------------------------------------------------------------------------- ------------ ------------ ------------
Net Gain (Loss) (424) (28,991) (9,458)
- --------------------------------------------------------------------------- ------------ ------------ ------------
Net Increase (Decrease) in Assets
Resulting from Operations $ 1,424 $(10,703) $ (1,214)
=========================================================================== ============ ============ ============
</TABLE>
46 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Emerging
Global Markets Strategic Convertible StocksPLUS
Bond Fund II Bond Fund Balanced Fund Bond Fund Fund
- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
$ 1,338 $ 718 $ 3,017 $ (104) $ 33,195
- -------------- -------------- -------------- -------------- --------------
0 0 0 95 0
- -------------- -------------- -------------- -------------- --------------
1,338 718 3,017 (9) 33,195
============== ============== ============== ============== ==============
53 25 215 41 2,697
- -------------- -------------- -------------- -------------- --------------
74 23 136 26 2,260
- -------------- -------------- -------------- -------------- --------------
0 5 0 0 33
- -------------- -------------- -------------- -------------- --------------
58 5 9 5 2,877
- -------------- -------------- -------------- -------------- --------------
0 0 0 0 3
- -------------- -------------- -------------- -------------- --------------
0 0 0 0 0
- -------------- -------------- -------------- -------------- --------------
8 3 2 7 110
- -------------- -------------- -------------- -------------- --------------
193 61 362 79 7,980
- -------------- -------------- -------------- -------------- --------------
1,145 657 2,655 (88) 25,215
============== ============== ============== ============== ==============
(1,198) (34) (606) 711 (2,791)
- -------------- -------------- -------------- -------------- --------------
49 0 1,825 0 38,008
- -------------- -------------- -------------- -------------- --------------
(26) (15) (80) (75) (2,684)
- -------------- -------------- -------------- -------------- --------------
(5) 140 (599) 785 11
- -------------- -------------- -------------- -------------- --------------
(27) 0 (4,667) 0 (57,129)
- -------------- -------------- -------------- -------------- --------------
(722) 2 (128) (45) (2,276)
- -------------- -------------- -------------- -------------- --------------
(1,929) 93 (4,255) 1,376 (26,861)
- -------------- -------------- -------------- -------------- --------------
$ (784) $ 750 $ (1,600) $ 1,288 $ (1,646)
============== ============== ============== ============== ==============
<CAPTION>
California New York
Intermediate Intermediate Short Duration
Municipal Municipal Municipal Municipal
Bond Fund Bond Fund Bond Fund Income Fund
- -------------- -------------- -------------- --------------
<S> <C> <C> <C>
$ 1,498 $ 11 $ 11 $ 35
- -------------- -------------- -------------- --------------
0 0 0 0
- -------------- -------------- -------------- --------------
1,498 11 11 35
============== ============== ============== ==============
72 1 1 2
- -------------- -------------- -------------- --------------
98 1 1 1
- -------------- -------------- -------------- --------------
3 0 0 0
- -------------- -------------- -------------- --------------
174 0 0 0
- -------------- -------------- -------------- --------------
0 0 0 0
- -------------- -------------- -------------- --------------
0 0 0 0
- -------------- -------------- -------------- --------------
5 0 0 0
- -------------- -------------- -------------- --------------
352 2 2 3
- -------------- -------------- -------------- --------------
1,146 9 9 32
============== ============== ============== ==============
(424) 9 8 1
- -------------- -------------- -------------- --------------
0 0 0 0
- -------------- -------------- -------------- --------------
0 0 0 0
- -------------- -------------- -------------- --------------
(2,904) 3 (7) 3
- -------------- -------------- -------------- --------------
0 0 0 0
- -------------- -------------- -------------- --------------
0 0 0 0
- -------------- -------------- -------------- --------------
(3,328) 12 1 4
- -------------- -------------- -------------- --------------
$ (2,182) $ 21 $ 10 $ 36
============== ============== ============== ==============
1999 Semi-Annual Report See accompanying notes 47
</TABLE>
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
September 30, 1999 (Unaudited)
Amounts in thousands Total Return Fund Total Return Fund II Total Return Fund III
------------------------------- ----------------------------- -----------------------------
Six Months Six Months Six Months
Ended Year Ended Ended Year Ended Ended Year Ended
September 30, March 31, September 30, March 31, September 30, March 31,
1999 1999 1999 1999 1999 1999
Increase (Decrease) (Unaudited) (Unaudited) (Unaudited)
in Net Assets from:
<S> <C> <C> <C> <C> <C> <C>
Operations:
Net investment income $ 820,179 $ 1,285,330 $ 33,212 $ 47,526 $ 16,110 $ 24,451
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Net realized gain (loss) (519,015) 472,416 (22,589) 13,185 (8,647) 9,463
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Net change in unrealized
appreciation (depreciation) (284,623) (239,440) (14,749) (5,801) (9,508) (2,710)
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Net increase (decrease)
resulting from operations 16,541 1,518,306 (4,126) 54,910 (2,045) 31,204
============================== =============================== ============================= =============================
Distributions to Shareholders:
From net investment income
Institutional Class (675,653) (1,140,361) (31,777) (44,589) (16,056) (24,338)
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Administrative Class (69,135) (62,402) (1,429) (2,906) (80) (80)
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Other Classes (74,479) (83,130) 0 0 0 0
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
In excess of net
investment income
Institutional Class 0 0 0 0 0 0
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Administrative Class 0 0 0 0 0 0
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Other Classes 0 0 0 0 0 0
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
From net realized
capital gains
Institutional Class 0 (438,875) 0 (14,103) 0 (10,085)
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Administrative Class 0 (31,973) 0 (1,325) 0 (44)
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Other Classes 0 (41,716) 0 0 0 0
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
In excess of net realized
capital gains
Institutional Class 0 (329,261) 0 (11,297) 0 (10,226)
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Administrative Class 0 (23,987) 0 (1,061) 0 (44)
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Other Classes 0 (31,297) 0 0 0 0
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Total Distributions (819,267) (2,183,002) (33,206) (75,281) (16,136) (44,817)
============================== =============================== ============================= =============================
Fund Share Transactions:
Receipts for shares sold
Institutional Class 4,142,903 9,217,995 395,385 496,483 150,720 175,032
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Administrative Class 1,276,532 1,767,082 9,031 79,589 1,417 1,618
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Other Classes 1,171,099 1,709,684 0 0 0 0
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Issued as reinvestment of
distributions
Institutional Class 548,307 1,621,248 27,301 64,838 14,759 40,765
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Administrative Class 45,455 79,793 1,386 5,036 73 151
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Other Classes 61,516 127,090 0 0 0 0
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Cost of shares redeemed
Institutional Class (2,441,895) (5,071,068) (223,659) (131,415) (17,814) (79,250)
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Administrative Class (358,561) (296,106) (12,977) (42,493) (6) (20)
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Other Classes (455,531) (458,229) 0 0 0 0
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Net increase (decrease)
resulting from Fund
share transactions 3,989,825 8,697,489 196,467 472,038 149,149 138,296
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
Total Increase (Decrease)
in Net Assets 3,187,099 8,032,793 159,135 451,667 130,968 124,683
============================== =============================== ============================= =============================
Net Assets:
Beginning of period 26,124,504 18,091,711 1,041,426 589,759 490,110 365,427
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
End of period * $29,311,603 $26,124,504 $ 1,200,561 $ 1,041,426 $ 621,078 $ 490,110
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
*Including net undistributed
(overdistributed)
investment income of: $ (76,156) $ (77,068) $ (179) $ (185) $ (514) $ (488)
- ------------------------------ ------------------------------- ----------------------------- -----------------------------
</TABLE>
48 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Moderate Duration Fund Low Duration Fund Low Duration Fund II
- ------------------------------------------- ----------------------------------------- -----------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 1999 March 31, 1999 September 30, 1999 March 31, 1999 September 30, 1999 March 31, 1999
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C>
$ 9,943 $ 16,161 $ 124,956 $ 217,276 $ 13,542 $ 24,509
- ------------------------------------------- ----------------------------------------- -----------------------------------------
(5,936) 2,537 (26,528) 4,149 (2,338) (622)
- ------------------------------------------- ----------------------------------------- -----------------------------------------
(3,128) (1,392) (52,917) (10,418) (6,855) 140
- ------------------------------------------- ----------------------------------------- -----------------------------------------
879 17,306 45,511 211,007 4,349 24,027
=========================================== ========================================= =========================================
(9,939) (16,162) (109,932) (194,128) (13,533) (23,889)
- ------------------------------------------- ----------------------------------------- -----------------------------------------
0 0 (3,719) (7,256) (6) (618)
- ------------------------------------------- ----------------------------------------- -----------------------------------------
0 0 (11,252) (15,906) 0 0
- ------------------------------------------- ----------------------------------------- -----------------------------------------
0 0 0 0 0 0
- ------------------------------------------- ----------------------------------------- -----------------------------------------
0 0 0 0 0 0
- ------------------------------------------- ----------------------------------------- -----------------------------------------
0 0 0 0 0 0
- ------------------------------------------- ----------------------------------------- -----------------------------------------
0 (2,339) 0 (3,587) 0 0
- ------------------------------------------- ----------------------------------------- -----------------------------------------
0 0 0 (157) 0 0
- ------------------------------------------- ----------------------------------------- -----------------------------------------
0 0 0 (389) 0 0
- ------------------------------------------- ----------------------------------------- -----------------------------------------
0 (4,241) 0 (15,011) 0 (1,940)
- ------------------------------------------- ----------------------------------------- -----------------------------------------
0 0 0 (657) 0 (98)
- ------------------------------------------- ----------------------------------------- -----------------------------------------
0 0 0 (1,627) 0 0
- ------------------------------------------- ----------------------------------------- -----------------------------------------
(9,939) (22,742) (124,903) (238,718) (13,539) (26,545)
=========================================== ========================================= =========================================
98,411 192,700 1,705,589 2,244,772 79,581 87,842
- ------------------------------------------- ----------------------------------------- -----------------------------------------
0 0 60,278 160,036 249 22,291
- ------------------------------------------- ----------------------------------------- -----------------------------------------
0 0 239,202 667,128 0 0
- ------------------------------------------- ----------------------------------------- -----------------------------------------
9,838 20,722 93,646 178,085 12,887 24,013
- ------------------------------------------- ----------------------------------------- -----------------------------------------
0 0 3,614 8,030 6 719
- ------------------------------------------- ----------------------------------------- -----------------------------------------
0 0 9,210 14,872 0 0
- ------------------------------------------- ----------------------------------------- -----------------------------------------
(71,556) (129,738) (1,030,155) (1,790,902) (30,637) (96,356)
- ------------------------------------------- ----------------------------------------- -----------------------------------------
0 0 (69,263) (85,080) (22,545) (194)
- ------------------------------------------- ----------------------------------------- -----------------------------------------
0 0 (175,010) (499,621) 0 0
- ------------------------------------------- ----------------------------------------- -----------------------------------------
36,693 83,684 837,111 897,320 39,541 38,315
- ------------------------------------------- ----------------------------------------- -----------------------------------------
27,633 78,248 757,719 869,609 30,351 35,797
=========================================== ========================================= =========================================
317,400 239,152 3,871,247 3,001,638 437,057 401,260
- ------------------------------------------- ----------------------------------------- -----------------------------------------
$ 345,033 $ 317,400 $ 4,628,966 $ 3,871,247 $ 467,408 $ 437,057
- ------------------------------------------- ----------------------------------------- -----------------------------------------
$ (517) $ (521) $ (3,954) $ (4,007) $ (169) $ (172)
- ------------------------------------------- ----------------------------------------- -----------------------------------------
<CAPTION>
Low Duration Fund III Short-Term Fund
- -------------------------------------------- ----------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 1999 March 31, 1999 September 30, 1999 March 31, 1999
(Unaudited) (Unaudited)
<S> <C> <C> <C>
$ 823 $ 1,473 $ 16,763 $ 25,972
- -------------------------------------------- ----------------------------------------------
(156) (46) (643) 217
- -------------------------------------------- ----------------------------------------------
(323) 14 (3,137) (613)
- -------------------------------------------- ----------------------------------------------
344 1,441 12,983 25,576
============================================ ==============================================
(822) (1,473) (13,848) (22,390)
- -------------------------------------------- ----------------------------------------------
(1) 0 (157) (360)
- -------------------------------------------- ----------------------------------------------
0 0 (2,732) (3,228)
- -------------------------------------------- ----------------------------------------------
0 0 0 0
- -------------------------------------------- ----------------------------------------------
0 0 0 0
- -------------------------------------------- ----------------------------------------------
0 0 0 0
- -------------------------------------------- ----------------------------------------------
0 0 0 (110)
- -------------------------------------------- ----------------------------------------------
0 0 0 (3)
- -------------------------------------------- ----------------------------------------------
0 0 0 (21)
- -------------------------------------------- ----------------------------------------------
0 (174) 0 (425)
- -------------------------------------------- ----------------------------------------------
0 0 0 (10)
- -------------------------------------------- ----------------------------------------------
0 0 0 (80)
- -------------------------------------------- ----------------------------------------------
(823) (1,647) (16,737) (26,627)
============================================ ==============================================
6,078 2,570 690,713 860,075
- -------------------------------------------- ----------------------------------------------
46 7 5,678 27,827
- -------------------------------------------- ----------------------------------------------
0 0 53,290 157,205
- -------------------------------------------- ----------------------------------------------
813 1,637 11,027 16,198
- -------------------------------------------- ----------------------------------------------
1 0 117 301
- -------------------------------------------- ----------------------------------------------
0 0 2,406 2,859
- -------------------------------------------- ----------------------------------------------
(7,476) (1,349) (706,589) (552,459)
- -------------------------------------------- ----------------------------------------------
(42) 0 (3,812) (29,487)
- -------------------------------------------- ----------------------------------------------
0 0 (41,581) (89,676)
- -------------------------------------------- ----------------------------------------------
(580) 2,865 11,249 392,843
- -------------------------------------------- ----------------------------------------------
(1,059) 2,659 7,495 391,792
============================================ ==============================================
26,555 23,896 601,988 210,196
- -------------------------------------------- ----------------------------------------------
$ 25,496 $ 26,555 $ 609,483 $ 601,988
- -------------------------------------------- ----------------------------------------------
$ (14) $ (14) $ 369 $ 343
============================================ ==============================================
1999 Semi-Annual Report See accompanying notes 49
</TABLE>
<PAGE>
Statements of Changes in Net Assets (Cont.)
September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Amounts in thousands Money Market Fund Long-Term U.S. Gov't Fund High Yield Fund
------------------------ ------------------------- ---------------------------
Six Months Six Months Six Months
Ended Year Ended Ended Year Ended Ended Year Ended
September 30, March 31, September 30, March 31, September 30, March 31,
Increase (Decrease) in Net Assets from: 1999 1999 1999 1999 1999 1999
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Operations:
Net investment income $ 11,496 $ 11,632 $ 9,277 $ 9,135 $ 147,039 $ 206,013
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Net realized gain (loss) 0 0 (14,886) (505) (15,595) (5,689)
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Net change in unrealized
appreciation (depreciation 0 0 (3,554) (5,884) (153,619) (88,818)
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Net increase (decrease)
resulting from operations 11,496 11,632 (9,163) 2,746 (22,175) 111,506
========================================= ======================= ========================= ===========================
Distributions to Shareholders:
From net investment income
Institutional Class (6,802) (3,682) (5,610) (6,013) (102,195) (148,151)
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Administrative Class (187) (182) (1,069) (335) (11,564) (10,883)
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Other Classes (4,501) (7,771) (2,623) (2,789) (33,249) (44,450)
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
In excess of net investment income
Institutional Class 0 0 0 0 0 (1,916)
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Administrative Class 0 0 0 0 0 (141)
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Other Classes 0 0 0 0 0 (573)
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
From net realized capital gains
Institutional Class 0 0 0 0 0 0
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Administrative Class 0 0 0 0 0 0
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Other Classes 0 0 0 0 0 0
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
In excess of net realized capital gains
Institutional Class 0 0 0 (4,038) 0 0
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Administrative Class 0 0 0 (257) 0 0
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Other Classes 0 0 0 (3,303) 0 0
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Total Distributions (11,490) (11,635) (9,302) (16,735) (147,008) (206,114)
========================================= ======================= ========================= ===========================
Fund Share Transactions:
Receipts for shares sold
Institutional Class 184,052 808,199 141,808 187,435 677,840 1,188,947
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Administrative Class 24,957 40,192 41,075 9,432 131,529 211,212
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Other Classes 2,864,699 5,353,575 31,730 114,014 316,356 589,193
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Issued as reinvestment of distributions
Institutional Class 6,616 2,847 4,642 8,444 91,792 136,088
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Administrative Class 184 177 1,069 587 11,033 10,049
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Other Classes 2,983 5,275 2,016 4,587 19,719 26,142
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Cost of shares redeemed
Institutional Class (241,623) (544,088) (25,625) (65,866) (498,545) (721,757)
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Administrative Class (25,983) (31,845) (7,366) (3,111) (47,100) (48,081)
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Other Classes (2,865,154) (5,252,531) (32,376) (34,334) (199,364) (284,595)
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Net increase (decrease)
resulting from Fund share transactions (49,269) 381,801 156,973 221,188 503,260 1,107,198
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
Total Increase (Decrease) in Net Assets (49,263) 381,798 138,508 207,199 334,077 1,012,590
========================================= ======================= ========================= ===========================
Net Assets:
Beginning of period 537,890 156,092 281,638 74,439 3,223,250 2,210,660
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
End of period * $488,627 $ 537,890 $420,146 $281,638 $ 3,557,327 $ 3,223,250
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
*Including net undistributed
(overdistributed) investment income of: $ 20 $ 14 $ 75 $ 100 $ (2,253) $ (2,284)
- ----------------------------------------- ----------------------- ------------------------- ---------------------------
</TABLE>
50 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
<S>
Total Return Mortgage Fund Low Duration Mortgage Fund Real Return Bond Fund
- ------------------------------------------ ------------------------------------------ ------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 1999 March 31, 1999 September 30, 1999 March 31, 1999 September 30, 1999 March 31, 1999
(Unaudited) (Unaudited) (Unaudited)
<C> <C> <C> <C> <C> <C>
$ 116 $ 221 $ 130 $ 246 $ 1,848 $ 695
- ------------------------------------------ ------------------------------------------ ------------------------------------------
11 17 (11) (2) 215 131
- ------------------------------------------ ------------------------------------------ ------------------------------------------
(93) (4) (28) (28) (639) (46)
- ------------------------------------------ ------------------------------------------ ------------------------------------------
34 234 91 216 1,424 780
========================================== =========================================== ==========================================
(113) (215) (130) (247) (1,236) (358)
- ------------------------------------------ ------------------------------------------ ------------------------------------------
0 0 0 0 0 0
- ------------------------------------------ ------------------------------------------ ------------------------------------------
(3) (6) 0 0 (547) (310)
- ------------------------------------------ ------------------------------------------ ------------------------------------------
0 0 0 0 0 (50)
- ------------------------------------------ ------------------------------------------ ------------------------------------------
0 0 0 0 0 0
- ------------------------------------------ ------------------------------------------ ------------------------------------------
0 0 0 0 0 (43)
- ------------------------------------------ ------------------------------------------ ------------------------------------------
0 (12) 0 0 0 (3)
- ------------------------------------------ ------------------------------------------ ------------------------------------------
0 0 0 0 0 0
- ------------------------------------------ ------------------------------------------ ------------------------------------------
0 0 0 0 0 (4)
- ------------------------------------------ ------------------------------------------ ------------------------------------------
0 (23) 0 (16) 0 0
- ------------------------------------------ ------------------------------------------ ------------------------------------------
0 0 0 0 0 0
- ------------------------------------------ ------------------------------------------ ------------------------------------------
0 (1) 0 0 0 0
- ------------------------------------------ ------------------------------------------ ------------------------------------------
(116) (257) (130) (263) (1,783) (768)
========================================== ========================================== ==========================================
50 313 6 174 72,166 11,606
- ------------------------------------------ ------------------------------------------ ------------------------------------------
0 0 0 0 0 0
- ------------------------------------------ ------------------------------------------ ------------------------------------------
20 178 0 0 20,263 13,163
- ------------------------------------------ ------------------------------------------ ------------------------------------------
113 249 130 263 900 354
- ------------------------------------------ ------------------------------------------ ------------------------------------------
0 0 0 0 0 0
- ------------------------------------------ ------------------------------------------ ------------------------------------------
3 7 0 0 373 253
- ------------------------------------------ ------------------------------------------ ------------------------------------------
(310) (1) (38) (19) (2,247) (1,921)
- ------------------------------------------ ------------------------------------------ ------------------------------------------
0 0 0 0 0 0
- ------------------------------------------ ------------------------------------------ ------------------------------------------
(75) 0 0 0 (1,495) (3,138)
- ------------------------------------------ ------------------------------------------ ------------------------------------------
(199) 746 98 418 89,960 20,317
- ------------------------------------------ ------------------------------------------ ------------------------------------------
(281) 723 59 371 89,601 20,329
========================================== ========================================== ==========================================
4,311 3,588 4,119 3,748 28,211 7,882
- ------------------------------------------ ------------------------------------------ ------------------------------------------
$ 4,030 $ 4,311 $ 4,178 $ 4,119 $ 117,812 $ 28,211
- ------------------------------------------ ------------------------------------------ ------------------------------------------
$ 2 $ 2 $ 5 $ 5 $ 52 $ (13)
- ------------------------------------------ ------------------------------------------ ------------------------------------------
Foreign Bond Fund Global Bond Fund
- ------------------------------------------ ------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 1999 March 31, 1999 September 30, 1999 March 31, 1999
(Unaudited) (Unaudited)
$ 18,288 $ 27,910 $ 8,244 $ 14,277
- ------------------------------------------ ------------------------------------------
(5,982) 5,073 (9,442) 2,111
- ------------------------------------------ ------------------------------------------
(23,009) 5,504 (16) 1,023
- ------------------------------------------ ------------------------------------------
(10,703) 38,487 (1,214) 17,411
========================================== ==========================================
(15,413) (25,130) (8,183) (9,599)
- ------------------------------------------ ------------------------------------------
(114) (64) (67) (42)
- ------------------------------------------ ------------------------------------------
(2,607) (2,866) 0 0
- ------------------------------------------ ------------------------------------------
0 0 0 (4,449)
- ------------------------------------------ ------------------------------------------
0 0 0 (19)
- ------------------------------------------ ------------------------------------------
0 0 0 0
- ------------------------------------------ ------------------------------------------
0 (4,309) 0 (2,103)
- ------------------------------------------ ------------------------------------------
0 (14) 0 (9)
- ------------------------------------------ ------------------------------------------
0 (686) 0 0
- ------------------------------------------ ------------------------------------------
0 (10,785) 0 0
- ------------------------------------------ ------------------------------------------
0 (36) 0 0
- ------------------------------------------ ------------------------------------------
0 (1,716) 0 0
- ------------------------------------------ ------------------------------------------
(18,134) (45,606) (8,250) (16,221)
========================================== ===========================================
72,227 289,812 37,689 70,516
- ------------------------------------------ ------------------------------------------
3,380 2,200 7,074 1,116
- ------------------------------------------ ------------------------------------------
41,728 67,890 0 0
- ------------------------------------------ ------------------------------------------
11,993 29,323 5,422 12,222
- ------------------------------------------ ------------------------------------------
114 115 68 70
- ------------------------------------------ ------------------------------------------
2,121 4,443 0 0
- ------------------------------------------ ------------------------------------------
(129,049) (174,844) (17,433) (73,227)
- ------------------------------------------ ------------------------------------------
(486) (507) (1,333) (1,398)
- ------------------------------------------ ------------------------------------------
(14,454) (20,336) 0 0
- ------------------------------------------ ------------------------------------------
(12,426) 198,096 31,487 9,299
- ------------------------------------------ ------------------------------------------
(41,263) 190,977 22,023 10,489
========================================== ==========================================
620,783 429,806 268,310 257,821
- ------------------------------------------ ------------------------------------------
$ 579,520 $ 620,783 $ 290,333 $ 268,310
- ------------------------------------------ ------------------------------------------
$ 8,577 $ 8,423 $ (3,122) $ (3,116)
- ------------------------------------------ ------------------------------------------
1999 Semi-Annual Report See Accompanying notes 51
</TABLE>
<PAGE>
Statements of Changes in Net Assets (Cont.)
September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Amounts in thousands Global Bond Fund II
--------------------------------------------
Increase (Decrease) in Net Assets from: Six Months Ended Year Ended
September 30, 1999 March 31, 1999
(Unaudited)
<S> <C> <C>
Operations:
Net investment income (loss) $ 1,145 $ 2,125
- --------------------------------------------------------------------- --------------------------------------------
Net realized gain (loss) (1,175) 75
- --------------------------------------------------------------------- --------------------------------------------
Net change in unrealized appreciation (depreciation) (754) 200
- --------------------------------------------------------------------- --------------------------------------------
Net increase (decrease) resulting from operations (784) 2,400
===================================================================== ============================================
Distributions to Shareholders:
From net investment income
Institutional Class (821) (1,435)
- --------------------------------------------------------------------- --------------------------------------------
Administrative Class 0 0
- --------------------------------------------------------------------- --------------------------------------------
Other Classes (323) (683)
- --------------------------------------------------------------------- --------------------------------------------
In excess of net investment income
Institutional Class 0 0
- --------------------------------------------------------------------- --------------------------------------------
Administrative Class 0 0
- --------------------------------------------------------------------- --------------------------------------------
Other Classes 0 0
- --------------------------------------------------------------------- --------------------------------------------
From net realized capital gains
Institutional Class 0 (42)
- --------------------------------------------------------------------- --------------------------------------------
Administrative Class 0 0
- --------------------------------------------------------------------- --------------------------------------------
Other Classes 0 (20)
- --------------------------------------------------------------------- --------------------------------------------
In excess of net realized capital gains
Institutional Class 0 (220)
- --------------------------------------------------------------------- --------------------------------------------
Administrative Class 0 0
- --------------------------------------------------------------------- --------------------------------------------
Other Classes 0 (107)
- --------------------------------------------------------------------- --------------------------------------------
Total Distributions (1,144) (2,507)
===================================================================== ============================================
Fund Share Transactions:
Receipts for shares sold
Institutional Class 500 4,100
- --------------------------------------------------------------------- --------------------------------------------
Administrative Class 0 0
- --------------------------------------------------------------------- --------------------------------------------
Other Classes 2,533 3,958
- --------------------------------------------------------------------- --------------------------------------------
Issued in reorganization
Institutional Class 0 0
- --------------------------------------------------------------------- --------------------------------------------
Other Classes 0 0
- --------------------------------------------------------------------- --------------------------------------------
Issued as reinvestment of distributions
Institutional Class 793 1,643
- --------------------------------------------------------------------- --------------------------------------------
Administrative Class 0 0
- --------------------------------------------------------------------- --------------------------------------------
Other Classes 258 641
- --------------------------------------------------------------------- --------------------------------------------
Cost of shares redeemed
Institutional Class 0 (1,175)
- --------------------------------------------------------------------- --------------------------------------------
Administrative Class 0 0
- --------------------------------------------------------------------- --------------------------------------------
Other Classes (1,796) (8,418)
- --------------------------------------------------------------------- --------------------------------------------
Net increase (decrease) resulting from Fund share transactions 2,288 749
- --------------------------------------------------------------------- --------------------------------------------
Total Increase (Decrease) in Net Assets 360 642
===================================================================== ============================================
Net Assets:
Beginning of period 42,544 41,902
- --------------------------------------------------------------------- --------------------------------------------
End of period * $ 42,904 $ 42,544
- --------------------------------------------------------------------- --------------------------------------------
*Including net undistributed (overdistributed) investment income of: $ (40) $ (41)
- --------------------------------------------------------------------- --------------------------------------------
<CAPTION>
Amounts in thousands Emerging Markets Bond Fund
------------------------------------------
Increase (Decrease) in Net Assets from: Six Months Ended Year Ended
September 30, 1999 March 31, 1999
(Unaudited)
------------------------------------------
<S> <C> <C>
Operations:
Net investment income (loss) $ 657 $ 464
- --------------------------------------------------------------------- ------------------------------------------
Net realized gain (loss) (49) (364)
- --------------------------------------------------------------------- ------------------------------------------
Net change in unrealized appreciation (depreciation) 142 (652)
- --------------------------------------------------------------------- ------------------------------------------
Net increase (decrease) resulting from operations 750 (552)
===================================================================== ==========================================
Distributions to Shareholders:
From net investment income
Institutional Class (365) (388)
- --------------------------------------------------------------------- ------------------------------------------
Administrative Class (235) (7)
- --------------------------------------------------------------------- ------------------------------------------
Other Classes (57) (69)
- --------------------------------------------------------------------- ------------------------------------------
In excess of net investment income
Institutional Class 0 0
- --------------------------------------------------------------------- ------------------------------------------
Administrative Class 0 0
- --------------------------------------------------------------------- ------------------------------------------
Other Classes 0 0
- --------------------------------------------------------------------- ------------------------------------------
From net realized capital gains
Institutional Class 0 0
- --------------------------------------------------------------------- ------------------------------------------
Administrative Class 0 0
- --------------------------------------------------------------------- ------------------------------------------
Other Classes 0 0
- --------------------------------------------------------------------- ------------------------------------------
In excess of net realized capital gains
Institutional Class 0 (23)
- --------------------------------------------------------------------- ------------------------------------------
Administrative Class 0 (1)
- --------------------------------------------------------------------- ------------------------------------------
Other Classes 0 (4)
- --------------------------------------------------------------------- ------------------------------------------
Total Distributions (657) (492)
===================================================================== ==========================================
Fund Share Transactions:
Receipts for shares sold
Institutional Class 4,897 794
- --------------------------------------------------------------------- ------------------------------------------
Administrative Class 22,070 101
- --------------------------------------------------------------------- ------------------------------------------
Other Classes 598 959
- --------------------------------------------------------------------- ------------------------------------------
Issued in reorganization
Institutional Class 0 0
- --------------------------------------------------------------------- ------------------------------------------
Other Classes 0 0
- --------------------------------------------------------------------- ------------------------------------------
Issued as reinvestment of distributions
Institutional Class 335 397
- --------------------------------------------------------------------- ------------------------------------------
Administrative Class 235 8
- --------------------------------------------------------------------- ------------------------------------------
Other Classes 34 45
- --------------------------------------------------------------------- ------------------------------------------
Cost of shares redeemed
Institutional Class (4,197) (346)
- --------------------------------------------------------------------- ------------------------------------------
Administrative Class (11,130) 0
- --------------------------------------------------------------------- ------------------------------------------
Other Classes (38) (789)
- --------------------------------------------------------------------- ------------------------------------------
Net increase (decrease) resulting from Fund share transactions 12,804 1,169
- --------------------------------------------------------------------- ------------------------------------------
Total Increase (Decrease) in Net Assets 12,897 125
===================================================================== ==========================================
Net Assets:
Beginning of period 4,558 4,433
- --------------------------------------------------------------------- ------------------------------------------
End of period * $ 17,455 $ 4,558
- --------------------------------------------------------------------- ------------------------------------------
*Including net undistributed (overdistributed) investment income of: $ 0 $ 0
- --------------------------------------------------------------------- ------------------------------------------
</TABLE>
52 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Convertible
Strategic Balanced Fund Bond Fund StockPLUS Fund
--------------------------------------------- -------------------- ---------------------------------------------
Six Months Ended Year Ended Six Months Ended Six Months Ended Year Ended
September 30, 1999 March 31, 1999 September 30, 1999 September 30, 1999 March 31, 1999
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
$ 2,655 $ 3,531 $ (88) $ 25,215 $ 56,693
--------------------------------------------- -------------------- ---------------------------------------------
1,139 3,599 636 32,533 107,476
--------------------------------------------- -------------------- ---------------------------------------------
(5,394) (31) 740 (59,394) (10,410)
--------------------------------------------- -------------------- ---------------------------------------------
(1,600) 7,099 1,288 (1,646) 153,759
============================================= ==================== =============================================
(2,099) (3,137) 0 (9,477) (26,793)
--------------------------------------------- -------------------- ---------------------------------------------
(1) 0 0 (581) (392)
--------------------------------------------- -------------------- ---------------------------------------------
(299) (7) 0 (10,523) (23,747)
--------------------------------------------- -------------------- ---------------------------------------------
0 0 0 0 0
--------------------------------------------- -------------------- ---------------------------------------------
0 0 0 0 0
--------------------------------------------- -------------------- ---------------------------------------------
0 0 0 0 0
--------------------------------------------- -------------------- ---------------------------------------------
0 (3,351) 0 0 (37,459)
--------------------------------------------- -------------------- ---------------------------------------------
0 0 0 0 (609)
--------------------------------------------- -------------------- ---------------------------------------------
0 (7) 0 0 (38,807)
--------------------------------------------- -------------------- ---------------------------------------------
0 0 0 0 0
--------------------------------------------- -------------------- ---------------------------------------------
0 0 0 0 0
--------------------------------------------- -------------------- ---------------------------------------------
0 0 0 0 0
--------------------------------------------- -------------------- ---------------------------------------------
(2,399) (6,502) 0 (20,581) (127,807)
============================================= ==================== =============================================
4,893 55,153 40,660 116,014 204,651
--------------------------------------------- -------------------- ---------------------------------------------
257 0 0 52,399 9,414
--------------------------------------------- -------------------- ---------------------------------------------
6,768 164 2,631 274,601 482,821
--------------------------------------------- -------------------- ---------------------------------------------
35,908 0 0 0 0
--------------------------------------------- -------------------- ---------------------------------------------
30,872 0 0 0 0
--------------------------------------------- -------------------- ---------------------------------------------
828 4,030 0 9,071 61,000
--------------------------------------------- -------------------- ---------------------------------------------
2 0 0 577 978
--------------------------------------------- -------------------- ---------------------------------------------
202 14 0 9,574 54,076
--------------------------------------------- -------------------- ---------------------------------------------
(14,588) (640) (5,780) (84,522) (181,983)
--------------------------------------------- -------------------- ---------------------------------------------
0 0 0 (9,410) (1,643)
--------------------------------------------- -------------------- ---------------------------------------------
(3,914) (6) (37) (161,400) (131,236)
--------------------------------------------- -------------------- ---------------------------------------------
61,228 58,715 37,474 206,904 498,078
--------------------------------------------- -------------------- ---------------------------------------------
57,229 59,312 38,762 184,677 524,030
============================================= ==================== =============================================
98,118 38,806 0 1,201,742 677,712
--------------------------------------------- -------------------- ---------------------------------------------
$ 155,347 $ 98,118 $ 38,762 $ 1,386,419 $ 1,201,742
--------------------------------------------- -------------------- ---------------------------------------------
$ 2,441 $ 2,185 $ (88) $ 59,607 $ 54,973
--------------------------------------------- -------------------- ---------------------------------------------
<CAPTION>
California New York Short
Intermediate Intermediate Duration
Municipal Municipal Municipal
Municipal Bond Fund Bond Fund Bond Fund Income Fund
--------------------------------------------- -------------------- -------------------- --------------------
Six Months Ended Year Ended Period from Period from Period from
September 30, 1999 March 31, 1999 August 31, 1999 to August 31, 1999 to August 31, 1999 to
(Unaudited) September 30, 1999 September 30, 1999 September 30, 1999
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
$ 1,146 $ 1,602 $ 9 $ 9 $ 32
--------------------------------------------- -------------------- -------------------- --------------------
(424) (6) 9 8 1
--------------------------------------------- -------------------- -------------------- --------------------
(2,904) 2,835 3 (7) 3
--------------------------------------------- -------------------- -------------------- --------------------
(2,182) 4,431 21 10 36
============================================= ==================== ==================== ====================
(116) (205) (9) (9) (32)
--------------------------------------------- -------------------- -------------------- --------------------
(51) (8) 0 0 0
--------------------------------------------- -------------------- -------------------- --------------------
(977) (1,389) 0 0 0
--------------------------------------------- -------------------- -------------------- --------------------
0 0 0 0 0
--------------------------------------------- -------------------- -------------------- --------------------
0 0 0 0 0
--------------------------------------------- -------------------- -------------------- --------------------
0 (2) 0 0 0
--------------------------------------------- -------------------- -------------------- --------------------
0 0 0 0 0
--------------------------------------------- -------------------- -------------------- --------------------
0 0 0 0 0
--------------------------------------------- -------------------- -------------------- --------------------
0 0 0 0 0
--------------------------------------------- -------------------- -------------------- --------------------
0 0 0 0 0
--------------------------------------------- -------------------- -------------------- --------------------
0 0 0 0 0
--------------------------------------------- -------------------- -------------------- --------------------
0 0 0 0 0
--------------------------------------------- -------------------- -------------------- --------------------
(1,144) (1,604) (9) (9) (32)
============================================= ==================== ==================== ====================
944 5,971 3,112 3,000 10,500
--------------------------------------------- -------------------- -------------------- --------------------
1,520 1,529 10 0 0
--------------------------------------------- -------------------- -------------------- --------------------
6,833 10,783 0 0 0
--------------------------------------------- -------------------- -------------------- --------------------
0 0 0 0 0
--------------------------------------------- -------------------- -------------------- --------------------
0 47,296 0 0 0
--------------------------------------------- -------------------- -------------------- --------------------
112 200 9 9 32
--------------------------------------------- -------------------- -------------------- --------------------
51 8 0 0 0
--------------------------------------------- -------------------- -------------------- --------------------
683 953 0 0 0
--------------------------------------------- -------------------- -------------------- --------------------
(2,328) (3,365) (10) 0 0
--------------------------------------------- -------------------- -------------------- --------------------
(374) (112) 0 0 0
--------------------------------------------- -------------------- -------------------- --------------------
(7,171) (10,555) 0 0 0
--------------------------------------------- -------------------- -------------------- --------------------
270 52,708 3,121 3,009 10,532
--------------------------------------------- -------------------- -------------------- --------------------
(3,056) 55,535 3,133 3,010 10,536
============================================= ==================== ==================== ====================
58,558 3,023 0 0 0
--------------------------------------------- -------------------- -------------------- --------------------
$ 55,502 $ 58,558 $ 3,133 $ 3,010 $ 10,536
--------------------------------------------- -------------------- -------------------- --------------------
$ 0 $ (2) $ 0 $ 0 $ 0
--------------------------------------------- -------------------- -------------------- --------------------
</TABLE>
1999 Semi-Annual Report See accompanying notes 53
<PAGE>
Statements of Cash Flows
For the period ended September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Long-Term Low Duration
U.S. Gov't Mortgage Real Return
Amounts in thousands Fund Fund Bond Fund
------------- ------------- ------------
Increase (Decrease) in Cash and Foreign Currency from:
<S> <C> <C> <C>
Financing Activities
Sales of Fund shares $ 164,528 $ 6 $ 92,067
- ------------------------------------------------------------------------ ------------- ------------- ------------
Redemptions of Fund shares (67,793) (38) (3,551)
- ------------------------------------------------------------------------ ------------- ------------- ------------
Cash distributions paid (1,506) 0 (362)
- ------------------------------------------------------------------------ ------------- ------------- ------------
Increase/(decrease) from financing transactions 10,238 (37) 41,654
- ------------------------------------------------------------------------ ------------- ------------- ------------
Net increase (decrease) from financing activities 105,467 (69) 129,808
- ------------------------------------------------------------------------ ------------- ------------- ------------
Operating Activities
Purchases of long-term securities and foreign currency (871,309) (17,014) (225,734)
- ------------------------------------------------------------------------ ------------- ------------- ------------
Proceeds from sales of long-term securities and foreign currency 754,101 16,815 96,515
- ------------------------------------------------------------------------ ------------- ------------- ------------
Purchases of short-term securities (net) 3,031 143 (2,344)
- ------------------------------------------------------------------------ ------------- ------------- ------------
Net investment income 9,277 130 1,848
- ------------------------------------------------------------------------ ------------- ------------- ------------
Change in other receivables/payables (net) (567) (4) (878)
- ------------------------------------------------------------------------ ------------- ------------- ------------
Net increase (decrease) from operating activities (105,467) 70 (130,593)
======================================================================== ============= ============= ============
Net Increase in Cash and Foreign Currency 0 1 (785)
======================================================================== ============= ============= ============
Cash and Foreign Currency
Beginning of period 0 0 888
- ------------------------------------------------------------------------ ------------- ------------- ------------
End of period $ 0 $ 1 $ 103
======================================================================== ============= ============= ============
<CAPTION>
Foreign Global Global
Amounts in thousands Bond Fund Bond Fund Bond Fund II
------------- ------------- ------------
Increase (Decrease) in Cash and Foreign Currency from:
<S> <C> <C> <C>
Financing Activities
Sales of Fund shares $ 119,263 $ 44,763 $ 3,102
- ------------------------------------------------------------------------ ------------- ------------- ------------
Redemptions of Fund shares (145,426) (18,785) (1,801)
- ------------------------------------------------------------------------ ------------- ------------- ------------
Cash distributions paid (3,922) (2,634) (89)
- ------------------------------------------------------------------------ ------------- ------------- ------------
Increase/(decrease) from financing transactions 19,305 13,194 1,903
- ------------------------------------------------------------------------ ------------- ------------- ------------
Net increase (decrease) from financing activities (10,780) 36,538 3,115
- ------------------------------------------------------------------------ ------------- ------------- ------------
Operating Activities
Purchases of long-term securities and foreign currency (1,886,127) (751,614) (113,019)
- ------------------------------------------------------------------------ ------------- ------------- ------------
Proceeds from sales of long-term securities and foreign currency 1,882,144 744,452 107,990
- ------------------------------------------------------------------------ ------------- ------------- ------------
Purchases of short-term securities (net) 35,911 (1,021) 1,570
- ------------------------------------------------------------------------ ------------- ------------- ------------
Net investment income 18,288 8,244 1,145
- ------------------------------------------------------------------------ ------------- ------------- ------------
Change in other receivables/payables (net) (28,415) (32,389) 58
- ------------------------------------------------------------------------ ------------- ------------- ------------
Net increase (decrease) from operating activities 21,801 (32,328) (2,256)
======================================================================== ============= ============= ============
Net Increase in Cash and Foreign Currency 11,021 4,210 859
======================================================================== ============= ============= ============
Cash and Foreign Currency
Beginning of period 0 0 128
- ------------------------------------------------------------------------ ------------- ------------- ------------
End of period $ 11,021 $ 4,210 $ 987
======================================================================== ============= ============= ============
</TABLE>
54 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund
September 30, 1999 (Unaudited) Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 43.1%
- --------------------------------------------------------------------------------
Banking & Finance 27.5%
Abbey National PLC
6.700% due 06/29/2049 $ 5,000 $ 4,559
Abbey National Treasury Service
6.625% due 05/23/2001 240 241
ABN-AMRO Bank NV
7.250% due 05/31/2005 150 151
Aetna, Inc.
7.250% due 08/15/2023 50 45
Ahmanson (H.F.) & Co.
7.650% due 04/15/2000 175 177
Allstate Corp.
6.750% due 05/15/2018 280 255
6.900% due 05/15/2038 60,400 53,008
American Express
8.500% due 08/15/2001 350 364
5.625% due 01/22/2004 8,700 8,402
6.250% due 08/10/2005 1,000 992
American General Finance
7.250% due 04/15/2000 500 503
6.270% due 06/09/2000 800 801
5.875% due 07/01/2000 75 75
6.050% due 07/02/2001 3,000 2,982
7.450% due 07/01/2002 200 204
6.250% due 12/18/2002 1,080 1,065
6.375% due 03/01/2003 350 345
AON Capital Trust 'A'
8.205% due 01/01/2027 725 717
Aristar, Inc.
7.375% due 09/01/2004 20,000 20,085
Associates Corp. of North America
6.750% due 10/15/1999 90 90
7.850% due 10/20/1999 500 500
8.250% due 12/01/1999 200 201
7.250% due 12/17/1999 660 662
7.470% due 03/27/2000 1,000 1,006
6.000% due 06/15/2000 2,684 2,684
6.310% due 06/16/2000 500 501
6.250% due 09/15/2000 200 200
6.625% due 05/15/2001 300 301
6.700% due 05/29/2001 100 101
6.750% due 07/15/2001 24,000 24,154
7.000% due 07/23/2001 500 504
5.596% due 08/27/2001 (d) 13,500 13,466
6.450% due 10/15/2001 23,600 23,627
7.500% due 04/15/2002 185 189
6.500% due 07/15/2002 750 749
5.750% due 11/01/2003 4,175 4,021
5.800% due 04/20/2004 150 144
6.000% due 07/15/2005 60,365 57,485
Associates First Capital Corp.
6.000% due 12/01/2002 500 492
AT&T Capital Corp.
6.230% due 10/15/1999 2,000 2,000
6.160% due 12/03/1999 1,000 1,000
6.470% due 12/03/1999 45 45
5.650% due 03/21/2000 (d) 40,100 40,082
7.500% due 11/15/2000 5,000 5,034
6.875% due 01/16/2001 230 230
6.800% due 02/01/2001 24,900 24,869
6.250% due 05/15/2001 3,000 2,968
7.000% due 08/15/2001 10,300 10,295
6.900% due 01/30/2002 1,000 996
6.750% due 02/04/2002 1,925 1,908
5.561% due 04/23/2002 (d) 74,000 72,571
AVCO Financial Services
6.350% due 09/15/2000 100 100
7.375% due 08/15/2001 300 305
Banco Latino Americano SA
6.310% due 10/18/1999 1,700 1,700
Banco Nacional de Comercio Exterior
8.000% due 04/14/2000 4,600 4,612
7.250% due 02/02/2004 6,590 5,980
Banesto Delaware
8.250% due 07/28/2002 28,900 29,984
Bank of Hawaii
6.875% due 06/01/2003 750 753
Bank One Corp.
5.360% due 04/19/2001 (d) 2,000 2,007
5.126% due 09/04/2001 (d) 14,000 13,896
5.364% due 06/26/2002 (d) 4,000 3,987
BankAmerica Corp.
5.375% due 04/15/2000 750 748
5.098% due 02/26/2001 (d) 3,000 2,995
5.175% due 03/05/2001 (d) 36,000 35,889
5.093% due 02/20/2002 (d) 35,180 35,100
8.125% due 06/15/2002 350 365
7.750% due 07/15/2002 360 371
7.200% due 09/15/2002 1,000 1,017
7.500% due 10/15/2002 1,000 1,025
6.850% due 03/01/2003 65 65
6.875% due 06/01/2003 100 100
8.950% due 11/15/2004 500 501
6.375% due 05/15/2005 1,000 968
7.125% due 05/01/2006 500 500
8.375% due 05/01/2007 2 2
8.570% due 11/15/2024 125 140
BankBoston Corp.
6.125% due 03/15/2002 12,500 12,317
Bankers Trust Corp.
9.400% due 03/01/2001 385 398
6.750% due 10/03/2001 500 502
8.125% due 05/15/2002 300 309
5.373% due 07/03/2002 (d) 10,000 9,978
7.125% due 07/31/2002 150 151
5.525% due 05/11/2003 (d) 82,800 82,719
6.000% due 10/15/2008 500 455
Banponce Financial Corp.
6.463% due 11/13/2001 13,000 12,918
Bayerische Landesbank NY
6.170% due 05/17/2000 (d) 306,000 304,184
6.200% due 02/09/2006 250 240
Bear Stearns Co., Inc.
6.750% due 08/15/2000 50 50
5.760% due 08/25/2000 (d) 6,300 6,342
5.830% due 08/29/2000 (d) 39,800 40,105
5.800% due 01/02/2001 (d) 3,400 3,411
6.224% due 02/06/2001 (d) 2,900 2,907
5.580% due 02/16/2001 (d) 2,000 2,003
5.575% due 03/02/2001 (d) 7,500 7,513
5.499% due 01/28/2002 (d) 11,250 11,228
5.280% due 04/05/2002 (d) 25,000 24,996
5.688% due 08/01/2002 (d) 52,500 52,343
6.125% due 02/01/2003 25 24
6.750% due 04/15/2003 105 104
5.694% due 05/06/2003 (d) 13,000 12,985
5.778% due 05/16/2003 (d) 30,000 29,957
5.631% due 07/22/2003 (d) 19,000 18,941
6.150% due 03/02/2004 150 145
8.750% due 03/15/2004 75 80
5.923% due 06/01/2004 (d) 9,265 9,251
6.625% due 10/01/2004 250 245
5.551% due 03/18/2005 (d) 37,000 37,003
6.250% due 07/15/2005 25,000 23,825
6.750% due 12/15/2007 2,000 1,921
Bell Atlantic Financial
5.750% due 04/01/2003 1,500 1,506
Beneficial Corp.
5.950% due 07/25/2000 5,000 5,004
5.920% due 01/09/2001 (d) 13,000 12,987
5.359% due 01/09/2002 (d) 500 501
5.170% due 01/23/2002 (d) 5,000 4,993
5.241% due 03/01/2002 (d) 40,000 39,997
8.000% due 06/18/2002 400 412
6.030% due 01/14/2003 320 314
Bombardier Capital, Inc.
6.000% due 01/15/2002 28,000 27,443
1999 Semi-Annual Report See accompanying notes 55
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited) Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Caithness Coso Fund Corp.
6.800% due 12/15/2001 $23,000 $22,989
Capital One Bank
6.001% due 07/28/2003 (d) 2,200 2,197
Case Credit Corp.
5.840% due 02/27/2000 4,000 3,994
Caterpillar Financial Service Corp.
5.093% due 05/27/2001 (d) 10,000 9,988
6.480% due 12/12/2001 575 574
5.299% due 02/11/2002 (d) 700 697
Central Hispano Financial Services
5.496% due 04/28/2005 (d) 5,000 5,018
Chase Manhattan Corp.
8.500% due 02/15/2002 200 209
5.750% due 04/15/2004 150 144
6.000% due 02/15/2009 800 737
Chemical Banking Corp.
6.125% due 11/01/2008 400 372
Chrylser Financial Co. LLC
9.500% due 12/15/1999 900 907
8.460% due 01/19/2000 700 704
5.630% due 07/28/2000 (d) 13,600 13,573
6.625% due 08/15/2000 300 302
5.860% due 01/16/2001 500 498
5.410% due 06/11/2001 (d) 21,400 21,388
5.690% due 11/15/2001 150 148
5.400% due 01/15/2002 15,250 14,870
5.404% due 07/17/2002 (d) 20,000 19,972
5.520% due 08/08/2002 (d) 34,000 33,971
5.459% due 02/03/2003 (d) 25,000 24,942
5.449% due 03/06/2003 (d) 25,000 25,143
5.439% due 03/10/2003 (d) 10,000 10,057
5.399% due 06/18/2003 35,000 34,925
Chubb Capital Corp.
8.750% due 11/15/1999 40 40
6.875% due 02/01/2003 100 102
Cigna Corp.
8.250% due 01/01/2007 250 263
Cincinnati Financial Corp.
6.900% due 05/15/2028 34,125 31,054
CIT Group, Inc.
6.200% due 10/20/2000 1,225 1,223
6.750% due 05/14/2001 30,000 30,120
Citicorp
5.293% due 11/28/2000 (d) 5,000 5,005
5.593% due 02/01/2001 (d) 10,000 10,018
5.625% due 02/15/2001 1,000 992
5.173% due 05/24/2001 (d) 89,000 88,879
5.570% due 09/17/2001 (d) 65 65
5.080% due 11/13/2001 (d) 10,000 9,985
5.314% due 06/27/2002 (d) 11,450 11,402
5.090% due 08/15/2002 (d) 11,500 11,467
5.125% due 11/12/2002 (d) 30,000 29,933
8.000% due 02/01/2003 250 259
7.125% due 09/01/2005 400 400
7.250% due 09/01/2008 500 501
Citifinancial
6.500% due 08/01/2004 400 396
Comerica, Inc.
7.250% due 06/15/2007 200 200
Commercial Credit Co.
6.750% due 05/15/2000 100 101
6.000% due 06/15/2000 300 301
5.550% due 02/15/2001 1,300 1,293
8.250% due 11/01/2001 2,500 2,601
6.875% due 05/01/2002 335 340
7.750% due 03/01/2005 550 574
Conseco Finance Trust
8.796% due 04/01/2027 125 110
Countrywide Home Loans
6.250% due 04/15/2009 600 552
Credit Asset Receivable
6.274% due 10/31/2003 46,489 45,592
Daiwa Securities
6.226% due 09/29/2049 (d) 10,000 7,600
Dean Witter Discover
5.628% due 06/27/2000 (d) 1,900 1,896
6.750% due 08/15/2000 100 100
Deutsche Bank Financial
7.500% due 04/25/2009 3,000 3,004
7.872% due 12/29/2049 5,000 4,783
Donaldson, Lufkin & Jenrette
5.760% due 09/18/2002 (d) 13,600 13,566
6.170% due 07/15/2003 20,000 19,523
Dow Capital BV
7.125% due 01/15/2003 100 101
Dresdner Funding Trust
8.151% due 06/30/2031 12,500 11,759
Duke Capital Corp.
7.250% due 10/01/2004 19,000 19,071
Edison Funding
6.050% due 12/17/1999 8,000 8,001
6.000% due 12/20/1999 14,900 14,841
6.150% due 09/18/2000 12,500 12,501
ERAC USA Finance Co.
8.750% due 12/15/1999 8,500 8,552
Exxon Capital Corp.
7.450% due 12/15/2001 250 257
Finova Capital Corp.
5.760% due 04/08/2003 (d) 300 299
First Chicago Corp.
5.235% due 03/11/2002 (d) 10,000 10,001
5.140% due 02/18/2003 (d) 10,000 9,906
5.121% due 07/28/2003 (d) 50 50
First Interstate Bancorp
8.875% due 01/01/2009 (j) 174 178
First Union Corp.
7.100% due 08/15/2004 3,000 3,010
6.375% due 01/15/2009 500 468
Fleet Financial Group
9.900% due 06/15/2001 200 211
Ford Motor Credit Corp.
6.375% due 10/06/2000 1,000 1,002
7.020% due 10/10/2000 71,250 71,932
6.250% due 11/08/2000 750 751
5.316% due 03/05/2001 (d) 5,000 4,999
7.020% due 06/07/2001 1,000 1,011
5.140% due 07/13/2001 (d) 36,500 36,732
5.596% due 08/27/2001 (d) 27,500 27,466
5.206% due 09/03/2001 (d) 14,000 13,976
7.000% due 09/25/2001 1,125 1,136
5.430% due 10/15/2001 (d) 13,000 12,980
5.435% due 01/17/2002 (d) 53,945 53,778
8.200% due 02/15/2002 500 518
6.500% due 02/28/2002 1,710 1,706
5.663% due 03/19/2002 28,208 28,239
5.156% due 04/29/2002 (d) 33,000 32,861
7.320% due 05/23/2002 14,000 14,045
5.248% due 06/04/2002 (d) 2,000 1,990
5.570% due 07/16/2002 (d) 86,180 86,020
6.550% due 09/10/2002 4,000 3,985
5.460% due 10/15/2002 (d) 14,000 13,935
7.750% due 11/15/2002 5,730 5,917
5.670% due 12/16/2002 (d) 56,000 55,664
6.000% due 01/14/2003 1,000 978
7.500% due 01/15/2003 250 255
5.135% due 02/03/2003 (d) 30,000 29,823
5.100% due 02/13/2003 (d) 100,000 99,742
5.565% due 02/13/2003 (d) 195,985 194,770
6.125% due 04/28/2003 25,580 25,069
6.625% due 06/30/2003 775 770
5.750% due 02/23/2004 290 279
5.266% due 06/02/2004 (d) 1,500 1,490
6.700% due 07/16/2004 91,010 90,533
8.250% due 02/23/2005 2,500 2,655
5.184% due 04/28/2005 (d) 50,000 49,568
6.125% due 01/09/2006 25 24
5.800% due 01/12/2009 155 141
9.500% due 06/01/2010 200 232
56 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Fuji Bank
9.870% due 12/31/2049 (d) $ 7,600 $ 7,714
General Electric Capital Corp.
6.875% due 04/15/2000 200 201
8.375% due 03/01/2001 1,415 1,455
6.020% due 05/04/2001 1,000 998
5.500% due 11/01/2001 50 49
5.650% due 03/31/2003 125 122
6.210% due 12/09/2005 400 388
8.300% due 09/20/2009 150 164
General Motors Acceptance Corp.
8.170% due 01/02/2000 225 231
5.475% due 01/12/2000 (d) 10,000 10,005
6.500% due 01/17/2000 46,110 46,211
6.875% due 06/01/2000 4,250 4,282
7.500% due 06/09/2000 1,000 1,010
5.330% due 10/20/2000 1,000 993
5.330% due 11/20/2000 66,690 66,699
5.500% due 01/16/2001 15,000 14,881
8.625% due 01/18/2001 15,000 15,453
8.500% due 01/19/2001 3,675 3,783
5.800% due 04/09/2001 8,340 8,286
6.800% due 04/17/2001 4,800 4,840
5.950% due 04/20/2001 22,150 22,049
6.700% due 04/30/2001 3,000 3,019
7.125% due 05/01/2001 44,395 44,967
6.750% due 06/05/2001 880 886
6.875% due 07/15/2001 1,000 1,010
5.248% due 08/23/2001 (d) 12,500 12,531
5.020% due 10/22/2001 (d) 25,000 24,867
5.861% due 11/26/2001 (d) 19,000 19,116
6.375% due 12/01/2001 265 265
5.619% due 12/10/2001 (d) 2,200 2,190
9.625% due 12/15/2001 5,650 6,020
5.895% due 12/17/2001 (d) 13,000 13,078
5.410% due 01/08/2002 (d) 3,000 3,004
6.625% due 01/10/2002 500 500
6.750% due 02/07/2002 1,590 1,600
5.690% due 03/15/2002 (d) 10,215 10,240
7.750% due 03/25/2002 125 129
5.438% due 04/29/2002 (d) 218,544 218,367
7.000% due 09/15/2002 250 253
6.625% due 10/01/2002 5,000 4,989
5.540% due 11/12/2002 (d) 10,200 10,133
6.200% due 12/15/2002 500 492
6.000% due 01/15/2003 990 969
5.875% due 01/22/2003 30,500 29,675
6.750% due 03/15/2003 40,125 40,132
7.125% due 05/01/2003 36,000 36,384
5.568% due 08/18/2003 (d) 47,640 47,255
5.550% due 09/15/2003 32,000 30,676
6.149% due 09/20/2003 (d) 10,000 10,000
6.625% due 10/20/2003 2,000 1,990
5.750% due 11/10/2003 1,000 962
5.560% due 04/05/2004 (d) 27,900 27,802
5.250% due 05/28/2004 (d) 73,000 73,306
6.109% due 09/20/2004 (d) 21,277 21,277
6.650% due 11/17/2005 500 492
6.150% due 04/05/2007 150 143
8.950% due 07/02/2009 21,500 22,933
Golden State Holdings
6.750% due 08/01/2001 1,950 1,909
Goldman Sachs Group
5.200% due 11/21/2000 (d) 20,000 19,975
5.258% due 11/24/2000 (d) 108,000 108,304
6.200% due 12/15/2000 6,500 6,485
5.329% due 12/22/2000 (d) 17,000 16,963
5.490% due 01/09/2001 (d) 105,000 105,252
5.740% due 01/16/2001 (d) 34,000 34,036
5.468% due 01/25/2001 (d) 77,000 76,870
5.230% due 02/20/2001 (d) 3,000 3,009
5.600% due 04/16/2001 (d) 18,000 17,938
5.366% due 12/07/2001 (d) 25,000 24,950
5.439% due 12/24/2001 (d) 900 898
5.400% due 02/18/2002 (d) 2,300 2,311
5.640% due 01/16/2003 (d) 10,000 10,047
5.690% due 02/10/2004 10,000 9,834
5.700% due 02/09/2009 (d) 10,000 10,342
Hansol Paper Co. Limited
7.079% due 05/24/2001 (d) 20,000 20,002
Hartford Life
6.900% due 06/15/2004 600 597
7.650% due 06/15/2027 15,000 14,604
Helicon Group
11.000% due 11/01/200 (d) 11,800 12,228
Heller Financial, Inc.
5.179% due 08/25/2000 (d) 15,000 15,022
5.846% due 09/25/2000 (d) 14,500 14,481
5.720% due 02/05/2001 5,000 4,996
6.250% due 03/01/2001 25,000 24,905
5.478% due 06/25/2001 (d) 70,050 69,841
5.750% due 09/25/2001 1,400 1,375
6.500% due 11/01/2001 250 249
5.159% due 05/06/2002 (d) 2,000 2,006
5.459% due 06/24/2002 (d) 5,100 5,097
5.225% due 04/28/2003 (d) 17,000 17,099
5.571% due 04/28/2003 (d) 49,200 49,200
Hitachi Credit America
5.125% due 05/15/2000 25,000 25,021
5.250% due 07/07/2000 (d) 40,000 40,071
Home Savings of America
6.000% due 11/01/2000 14,175 14,080
Household Bank
5.424% due 09/26/2001 (d) 9,000 9,011
5.188% due 10/22/2003 (d) 15,000 14,926
Household Capital Trust
5.350% due 06/26/2004 (d) 13,925 13,621
Household Finance Corp.
5.631% due 06/22/2001 (d) 3,000 2,999
5.145% due 08/01/2001 (d) 1,500 1,499
5.145% due 11/01/2001 (d) 5,000 4,992
5.125% due 05/07/2002 (d) 40,850 40,820
5.249% due 05/24/2002 (d) 113,800 113,575
7.080% due 06/03/2002 15,000 15,214
5.875% due 11/01/2002 200 194
5.439% due 06/24/2003 35,000 34,945
5.775% due 06/24/2003 (d) 31,000 30,941
7.000% due 08/01/2003 20,000 20,053
6.500% due 11/15/2008 2,000 1,885
Household Netherlands BV
6.125% due 03/01/2003 18,100 17,610
Hyatt Equities LLC
6.800% due 05/15/2000 1,040 1,041
Inter-American Development Bank
8.875% due 06/01/2009 200 229
International Lease Finance
5.750% due 12/15/1999 50 50
7.000% due 05/15/2000 500 503
6.420% due 09/11/2000 500 501
5.930% due 07/15/2003 14,000 13,680
J.P. Morgan & Co.
5.750% due 02/25/2004 22,800 21,907
6.250% due 12/15/2005 200 193
6.000% due 01/15/2009 29,000 26,539
Key Bank NA
7.550% due 09/15/2006 350 357
Kimco Realty Corp.
6.500% due 10/01/2003 200 194
Korea Development Bank
6.250% due 05/01/2000 5,000 4,980
7.375% due 09/17/2004 15,000 14,616
6.750% due 12/01/2005 55 51
7.250% due 05/15/2006 50 47
Korean Export-Import Bank
6.500% due 10/06/1999 8,000 8,000
6.500% due 02/10/2002 9,200 8,958
LB Rheinland
5.000% due 02/23/2028 3,400 3,213
Lehman Brothers Holdings, Inc.
5.869% due 07/27/2000 (d) 8,000 8,006
1999 Semi-annual Report See accompanying notes 57
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
5.390% due 08/11/2000 (d) $ 30,000 $ 30,138
6.400% due 08/30/2000 200 200
6.500% due 09/25/2000 11,200 11,201
5.614% due 09/26/2000 (d) 5,000 4,990
5.375% due 11/06/2000 (d) 30,910 30,918
5.845% due 12/01/2000 (d) 500 500
6.125% due 02/01/2001 2,000 1,984
5.530% due 02/20/2001 1,500 1,501
5.733% due 02/27/2001 (d) 79,400 79,512
5.405% due 06/01/2001 (d) 101,600 101,348
6.249% due 04/02/2002 (d) 60,050 60,015
6.375% due 05/07/2002 26,395 26,060
6.073% due 05/07/2002 (d) 42,100 42,222
6.110% due 07/15/2002 (d) 43,051 43,045
5.320% due 08/12/2002 (d) 6,500 6,455
5.813% due 08/28/2002 (d) 6,500 6,528
5.369% due 09/03/2002 (d) 14,000 14,010
7.000% due 05/15/2003 150 149
6.625% due 04/01/2004 65 63
7.625% due 06/01/2006 350 350
8.500% due 05/01/2007 1,475 1,546
LG&E Capital Corp.
6.460% due 01/15/2008 3,000 2,891
Liberty Mutual Insurance
8.200% due 05/04/2007 17,510 17,534
Marine Midland
5.250% due 12/16/2000 (d) 3,700 3,693
MBNA Corp.
5.451% due 12/01/1999 (d) 62,600 62,532
5.145% due 05/01/2000 (d) 400 400
5.445% due 09/13/2001 (d) 10,300 10,233
5.538% due 04/25/2002 (d) 1,000 992
6.990% due 05/24/2002 1,000 1,003
5.566% due 09/10/2002 (d) 5,000 4,959
5.471% due 12/10/2002 2,100 2,061
6.875% due 07/15/2004 46,000 45,091
MCN Investment Corp.
6.030% due 02/01/2001 6,850 6,764
7.120% due 01/16/2004 7,500 7,381
6.300% due 04/02/2011 7,500 7,444
Mellon Bank Corp.
6.500% due 08/01/2005 75 73
Mellon Financial Co.
6.300% due 06/01/2000 250 250
Mercury Finance Co.
10.000% due 03/23/2001 2,050 1,937
Merrill Lynch & Co.
8.250% due 11/15/1999 250 251
6.620% due 06/06/2000 500 502
6.450% due 06/20/2000 350 351
6.250% due 07/25/2000 490 491
5.566% due 09/25/2000 (d) 5,000 5,006
5.790% due 12/05/2000 (d) 89,000 89,048
6.000% due 03/01/2001 325 323
6.500% due 04/01/2001 400 400
6.750% due 04/30/2001 2,775 2,795
5.110% due 05/08/2001 54,900 55,014
5.243% due 05/30/2001 (d) 3,800 3,796
5.168% due 06/04/2001 (d) 30,000 29,874
5.393% due 11/01/2001 (d) 35,000 34,892
5.080% due 11/09/2001 (d) 10,000 10,002
5.410% due 01/15/2002 (d) 17,000 17,020
5.688% due 02/01/2002 (d) 33,000 33,008
8.000% due 02/01/2002 400 412
7.375% due 08/17/2002 300 306
8.300% due 11/01/2002 200 209
6.000% due 02/12/2003 500 489
6.875% due 03/01/2003 140 141
5.339% due 06/24/2003 (d) 27,000 26,851
5.499% due 10/01/2003 (d) 9,500 9,490
5.880% due 01/15/2004 600 579
6.550% due 08/01/2004 100 99
7.000% due 03/15/2006 1,500 1,480
6.560% due 12/16/2007 50 48
7.000% due 04/27/2008 100 98
6.375% due 10/15/2008 17,000 16,121
Metropolitan Life Insurance Co.
6.300% due 11/01/2003 6,800 6,612
Mexico Credit Link
10.508% due 02/22/2002 (d) 29,500 30,749
MIC Financing Trust
8.375% due 02/01/2027 36,000 33,496
Morgan Stanley Capital
6.375% due 12/15/2003 150 148
7.460% due 02/15/2020 11,450 11,580
Morgan Stanley, Dean Witter, Discover and Co.
5.820% due 06/19/2000 (d) 152,000 151,762
6.040% due 11/13/2000 (d) 5,000 5,017
5.278% due 02/06/2001 1,190 1,190
5.750% due 02/15/2001 400 397
5.643% due 04/16/2001 (d) 25,000 24,984
6.700% due 05/01/2001 600 604
9.375% due 06/15/2001 300 314
5.315% due 12/19/2001 (d) 19,700 19,691
5.460% due 04/15/2002 (d) 300 300
5.699% due 03/11/2003 (d) 11,500 11,449
5.625% due 01/20/2004 400 382
5.250% due 04/22/2004 (d) 55,000 55,001
Nacional Financiera
8.000% due 06/19/2000 4,500 4,514
8.693% due 12/01/2000 (d) 25,250 25,124
NationsBank Corp.
6.750% due 02/26/2001 500 504
7.000% due 09/15/2001 1,500 1,514
5.294% due 06/17/2002 (d) 10,000 9,991
6.125% due 07/15/2004 600 580
NCNB Corp.
7.750% due 08/01/2002 796 797
Newcourt Credit Group
6.875% due 02/16/2005 7,500 7,358
Nordstrom Credit, Inc.
7.250% due 04/30/2002 1,000 1,015
Norwest Financial, Inc.
6.250% due 11/01/2002 100 99
7.000% due 01/15/2003 300 303
6.000% due 02/01/2004 50 49
Okobank
5.398% due 05/23/2006 (d) 10,000 9,944
Orix Credit Alliance
7.640% due 09/17/2001 13,000 13,002
Osprey Trust
8.310% due 01/15/2003 75,000 75,469
Paccar Financial Corp.
6.740% due 09/15/2000 250 251
PaineWebber
5.455% due 10/04/1999 4,000 3,998
7.000% due 03/01/2000 200 201
6.950% due 03/31/2000 120 120
5.405% due 02/18/2002 (d) 5,000 4,954
5.525% due 05/20/2002 (d) 1,000 992
PDVSA Finance Limited
7.400% due 08/15/2016 1,200 892
Pemex Finance Ltd.
6.125% due 11/15/2003 15,000 14,703
PNC Bank Corp.
5.130% due 06/01/2000 (d) 217,000 216,834
5.483% due 01/24/2002 (d) 49,000 48,849
5.331% due 08/15/2002 (d) 5,000 4,996
PNC Funding Corp.
6.875% due 03/01/2003 100 100
7.000% due 09/01/2004 15,000 14,967
Popular, Inc.
6.400% due 08/25/2000 11,123 11,109
6.550% due 10/10/2000 2,485 2,484
7.375% due 09/15/2001 25,000 25,064
6.625% due 01/15/2004 19,500 19,034
Prudential Funding Corp.
4.990% due 08/01/2000 (d) 2,000 1,997
58 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------
Prudential Insurance Co.
6.375% due 07/23/2006 $ 35,000 $ 33,043
Prudential Property Investment
6.625% due 04/01/2009 17,000 15,872
PSE&G Capital Corp.
6.740% due 10/23/2001 1,400 1,401
Reliance Group Holdings
9.000% due 11/15/2000 19,000 19,300
9.750% due 11/15/2003 10,000 8,875
Residential Reinsurance
9.163% due 06/01/2000 (d) 13,300 13,246
Safeco Corp.
7.260% due 08/12/2002 500 510
Sakura Capital Funding
7.320% due 08/29/2049 20,000 17,800
Salomon, Inc.
6.625% due 11/30/2000 235 236
6.650% due 07/15/2001 600 603
7.000% due 03/04/2002 18,850 19,073
5.400% due 05/16/2002 (d) 23,000 23,018
Salomon, Smith Barney Holdings
5.875% due 02/01/2001 4,000 3,982
5.980% due 03/26/2001 250 249
3.650% due 02/14/2002 (f) 17,866 17,392
5.510% due 04/15/2002 (d) 35,090 35,010
5.180% due 05/14/2002 (d) 26,715 26,685
5.571% due 07/23/2002 (d) 53,400 53,297
6.125% due 01/15/2003 290 284
Sanwa Business Credit
6.540% due 06/20/2000 1,000 1,004
Sears Roebuck Acceptance
5.479% due 06/27/2000 (d) 5,000 5,001
7.110% due 06/19/2001 1,000 1,004
6.860% due 08/06/2001 400 400
6.360% due 12/04/2001 290 287
6.120% due 12/13/2001 260 258
6.950% due 05/15/2002 300 300
6.000% due 03/20/2003 149,750 144,732
7.140% due 05/02/2003 5,000 4,995
6.560% due 11/20/2003 1,178 1,150
6.700% due 11/15/2006 500 478
Security Pacific Corp.
6.000% due 05/01/2000 600 600
11.500% due 11/15/2000 4,000 4,208
Societe Generale
7.400% due 06/01/2006 1,500 1,484
Steers
9.123% due 08/07/2002 (d) 20,000 20,016
Sumitomo
8.500% due 06/15/2009 100 103
9.400% due 12/29/2049 (d) 24,550 24,737
Sun Life of Canada (U.S.)
8.526% due 05/29/2049 250 243
Tecnost International NV
4.487% due 06/23/2004 (d) 44,000 48,087
Telewest Credit Links
7.500% due 04/16/2004 30,000 29,156
Textron Financial Corp.
5.393% due 05/28/2002 (d) 41,900 41,733
Tokai Capital Corp.
9.980% due 12/29/2049 (d) 13,050 13,335
Toyota Motor Credit Corp.
5.967% due 02/15/2002 40,000 38,630
TPSA Finance BV
7.125% due 12/10/2003 12,200 12,024
7.750% due 12/10/2008 10,000 9,728
Transamerica Corp.
5.405% due 09/17/2001 (d) 20,000 20,084
6.125% due 11/01/2001 24,000 23,633
7.250% due 08/15/2002 79,000 79,715
7.500% due 03/15/2004 270 273
6.750% due 11/15/2006 650 631
Travelers Group, Inc.
7.200% due 02/01/2004 38,480 38,767
Trizec Finance Limited
10.875% due 10/15/2005 2,489 2,601
TXU Eastern Funding
6.150% due 05/15/2002 53,800 52,445
U.S. Bancorp
5.409% due 01/16/2002 (d) 49,000 48,953
Wachovia Corp.
7.000% due 12/15/1999 100 100
Washington Mutual, Inc.
6.375% due 07/01/2000 3,000 3,008
Wells Fargo & Co.
5.625% due 02/05/2001 400 397
8.750% due 05/01/2002 100 105
6.625% due 07/15/2004 51,100 50,797
Westdeutsche Landesbank
6.750% due 06/15/2005 4,000 3,933
6.050% due 01/15/2009 52,000 47,658
----------
8,048,635
==========
Industrials 9.7%
Akzo Nobel, Inc.
6.000% due 11/15/2003 32,000 31,008
Albertson's, Inc.
6.375% due 06/01/2000 150 151
Allied Waste North America, Inc.
7.375% due 01/01/2004 18,925 17,411
Amerco, Inc.
7.135% due 10/15/2002 15,000 14,418
American Airlines
10.610% due 03/04/2011 1,895 2,271
6.870% due 07/02/2018 1,990 1,778
American Home Products Corp.
7.700% due 02/15/2000 550 553
Amerigas Partners LP
10.125% due 04/15/2007 1,730 1,795
AMR Corp.
9.750% due 03/15/2000 1,050 1,066
10.610% due 01/11/2001 4,000 4,183
10.570% due 01/15/2001 3,000 3,143
10.590% due 01/31/2001 3,000 3,148
10.000% due 02/01/2001 2,000 2,081
9.400% due 05/08/2001 3,000 3,114
9.500% due 05/15/2001 2,250 2,339
9.130% due 10/25/2001 2,000 2,079
8.470% due 02/20/2002 2,000 2,064
8.500% due 02/26/2002 1,000 1,033
10.210% due 01/01/2010 6,500 7,558
AT&T Canada, Inc.
10.750% due 11/01/2007 1,000 830
Baxter International, Inc.
9.500% due 06/15/2008 200 230
Bayer Corp.
6.500% due 10/01/2002 250 251
Bellat Racers
5.500% due 04/01/2003 20,000 19,969
Bellsouth Telecommunication
6.000% due 06/15/2002 10,000 9,917
BOC Group PLC
5.875% due 01/29/2001 250 249
Boeing Co.
8.375% due 02/15/2001 900 924
6.350% due 06/15/2003 750 742
Boise Cascade Co.
9.900% due 03/15/2000 275 279
BP Amoco PLC
6.250% due 10/15/2004 1,000 994
Bresnan Communications
8.000% due 02/01/2009 3,500 3,439
Browning-Ferris Industries, Inc.
6.080% due 01/18/2002 (d) 51,750 51,445
6.100% due 01/15/2003 6,000 5,433
Campbell Soup Co.
4.750% due 10/01/2003 500 472
Canadian Pacific Limited
9.450% due 08/01/2021 2,750 3,150
1999 Semi-Annual Report See accompanying notes 59
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------
Case Credit Corp.
5.209% due 05/05/2000 (d) $10,000 $10,006
Cemex SA
10.000% due 11/05/1999 1,000 1,002
8.500% due 08/31/2000 10,000 10,047
9.250% due 06/17/2002 48,500 48,985
Centerior Fuel Corp.
9.750% due 08/02/2000 (j) 8,000 8,180
Century Communications Corp.
9.500% due 08/15/2000 6,000 6,068
0.000% due 03/15/2003 10,515 7,439
CF Cable TV, Inc.
9.125% due 07/15/2007 1,600 1,737
Circus Circus Enterprises
6.750% due 07/15/2003 4,500 4,118
Coastal Corp.
10.375% due 10/01/2000 8,500 8,802
6.500% due 05/15/2006 275 263
Coca-Cola Co.
6.375% due 08/01/2001 200 200
7.875% due 02/01/2002 600 617
6.000% due 07/15/2003 250 244
Coltec Industries, Inc.
7.500% due 04/15/2008 4,400 4,347
Columbia/HCA Healthcare
6.410% due 06/15/2000 5,000 4,934
8.020% due 08/05/2002 9,000 8,823
8.130% due 08/04/2003 7,300 7,133
6.630% due 07/15/2045 10,000 9,571
6.730% due 07/15/2045 14,760 14,163
Comcast Corp.
9.375% due 05/15/2005 34,995 36,920
9.500% due 01/15/2008 11,350 11,804
Conagra, Inc.
5.711% due 06/12/2000 (d) 74,300 74,180
Conoco, Inc.
6.350% due 04/15/2009 1,900 1,811
Continental Airlines
9.500% due 12/15/2001 200 204
6.954% due 02/02/2011 25,989 25,148
Continental Cablevision
9.500% due 08/01/2013 27,000 29,688
Cox Communications, Inc.
6.500% due 11/15/2002 200 198
CSC Holdings, Inc
7.625% due 07/15/2018 22,000 20,592
CSX Corp.
5.790% due 06/15/2000 (d) 30,500 30,573
9.500% due 08/01/2000 500 513
Cumberland Farms
10.500% due 10/01/2003 1,000 985
Dayton Hudson Corp.
10.000% due 12/01/2000 1,000 1,041
Delphi Auto Systems Corp.
6.125% due 05/01/2004 20,000 19,266
Delta Air Lines, Inc.
9.875% due 05/15/2000 525 538
6.650% due 03/15/2004 13,500 13,141
10.430% due 01/02/2011 850 985
10.140% due 08/14/2012 1,000 1,160
9.200% due 09/23/2014 6,000 6,406
10.500% due 04/30/2016 1,000 1,164
Diamond Cable Communication Co.
0.000% due 12/15/2005 (d) 3,500 3,133
Disney (Walt) Co.
6.375% due 03/30/2001 750 753
6.750% due 03/30/2006 100 100
DTE Capital Corp.
8.350% due 11/15/2038 (d) 52,750 51,840
E.I. Du Pont de Nemours
9.150% due 04/15/2000 100 102
Eastman Chemical Co.
6.375% due 01/15/2004 5,750 5,589
Electric Lightwave, Inc.
6.050% due 05/15/2004 15,700 15,197
Eli Lilly & Co.
8.125% due 02/07/2000 387 389
8.125% due 12/01/2001 500 519
Enron Corp.
5.150% due 11/18/1999 (d) 35,000 34,978
6.400% due 07/15/2006 150 141
Federal Express Corp.
6.845% due 01/15/2019 872 832
Flag Limited
7.150% due 12/15/2004 61 59
Ford Motor Co.
9.000% due 09/15/2001 880 920
6.625% due 10/01/2028 115,800 103,304
Fortune Brands
8.500% due 10/01/2003 500 536
Fred Meyer, Inc.
7.150% due 03/01/2003 11,000 11,010
7.375% due 03/01/2005 39,325 39,421
7.450% due 03/01/2008 300 298
Frontier Corp.
6.250% due 12/15/1999 20,000 20,027
General Motors Acceptance Corp.
9.625% due 12/01/2000 525 544
7.100% due 03/15/2006 250 249
Gillette Co.
6.250% due 10/15/2005 750 748
5.750% due 10/15/2005 1,500 1,436
Global Crossing Holding Limited
9.625% due 05/15/2008 15,000 15,525
Gulf Canada Resources
9.250% due 01/15/2004 7,250 7,298
9.625% due 07/01/2005 2,000 2,060
H.J. Heinz Co.
7.500% due 04/26/2000 150 151
Hanson Overseas BV
6.750% due 09/15/2005 225 221
Harrahs Operating Co., Inc.
7.875% due 12/15/2005 5,000 4,813
Hertz Corp.
6.625% due 07/15/2000 8,875 8,897
Hollinger International Publishing
9.250% due 02/01/2006 3,000 2,978
Houghton Mifflin Co.
5.990% due 12/03/2001 3,000 2,964
Hyder PLC
6.500% due 12/15/2008 10,000 9,167
IBM Corp.
5.050% due 11/01/1999 (d) 35,000 34,902
7.250% due 11/01/2002 200 205
6.450% due 08/01/2007 500 489
7.125% due 12/01/2096 2,500 2,358
ICI Wilmington
6.750% due 09/15/2002 10,000 9,909
Inco Limited
9.875% due 06/15/2019 5,000 5,195
Ingersoll-Rand Co.
6.255% due 02/15/2001 295 295
International Game Technology
7.875% due 05/15/2004 24,500 23,581
International Paper Co.
6.875% due 07/10/2000 4,260 4,278
9.050% due 02/08/2001 100 103
ISP Holdings, Inc.
9.750% due 02/15/2002 4,500 4,545
9.000% due 10/15/2003 5,000 4,950
ITT Corp.
6.250% due 11/15/2000 15,070 14,792
J Seagram & Sons
5.500% due 04/10/2000 (d) 94,000 93,530
5.790% due 04/15/2001 20,000 19,622
6.250% due 12/15/2001 51,000 50,329
Jones International Networks Limited
11.750% due 07/01/2005 55 48
K Mart Corp.
8.190% due 11/24/2003 5,000 4,934
60 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
K N Energy, Inc.
6.450% due 03/01/2003 $ 240 $ 234
Kellogg
5.750% due 02/02/2001 86,925 86,449
K-III Communications Co.
8.500% due 02/01/2006 4,000 3,900
KPNQWest BV
8.125% due 06/01/2009 5,000 4,750
Kroger Co.
6.000% due 07/01/2000 13,000 12,973
6.420% due 10/01/2010 (d) 54,000 53,927
Lenfest Communications
8.375% due 11/01/2005 5,000 5,162
Limited, Inc.
7.800% due 05/15/2002 500 512
Lockheed Martin Corp.
6.850% due 05/15/2001 5,000 4,995
Loyola University of Chicago
6.030% due 06/15/2000 (d) 16,100 16,078
LSI Logic Corp.
4.250% due 03/15/2004 1,000 1,834
Lucent Technologies
7.250% due 07/15/2006 150 153
Mallinckrodt, Inc.
6.300% due 03/15/2001 (d) 10,000 9,912
Marlin Water Trust
7.090% due 12/15/2001 20,241 20,243
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (j) 1,980 2,442
McDonald's Corp.
6.500% due 08/01/2007 250 243
McLeodUSA, Inc.
0.000% due 03/01/2007 (i) 5,000 3,963
8.125% due 02/15/2009 1,200 1,122
Mobil Corp.
8.375% due 02/12/2001 340 349
Monsanto Co.
6.000% due 12/01/2005 250 234
Motorola, Inc.
7.600% due 01/01/2007 200 205
Nabisco, Inc.
6.000% due 02/15/2001 (d) 11,240 11,134
6.800% due 09/01/2001 3,000 2,994
6.700% due 06/15/2002 9,000 8,903
6.125% due 02/01/2033 15,000 14,519
Nabors Industries, Inc.
6.800% due 04/15/2004 9,250 9,062
New York Times Co.
7.625% due 03/15/2005 1,000 1,042
News America Holdings Corp.
7.450% due 06/01/2000 3,000 3,019
8.625% due 02/01/2003 750 783
Nike, Inc.
6.510% due 06/16/2000 1,000 1,003
Nisource Capital Markets
6.630% due 09/28/2010 59,000 59,000
Noranda, Inc.
7.000% due 07/15/2005 1,800 1,733
Norfolk Southern Corp.
6.700% due 05/01/2000 3,000 3,013
7.875% due 02/15/2004 50 52
Northwest Airlines, Inc.
8.970% due 01/02/2015 1,691 1,744
Occidental Petroleum
6.400% due 04/01/2003 7,710 7,540
Owens Corning
7.000% due 05/15/2000 200 200
Owens-Illinois, Inc.
7.850% due 05/15/2004 2,600 2,571
7.150% due 05/15/2005 10,000 9,474
Packaging Corp. of America
9.625% due 04/01/2009 2,500 2,538
Pennzoil Co.
9.625% due 11/15/1999 5,000 5,018
Pepsico, Inc.
5.750% due 01/15/2008 500 470
Petroleos Mexicanos
9.520% due 07/15/2005 (d) 67,500 64,294
Philip Morris Cos., Inc.
9.000% due 01/01/2001 300 309
7.250% due 09/15/2001 70 71
7.500% due 01/15/2002 50 51
6.800% due 12/01/2003 48,345 48,018
7.000% due 07/15/2005 1,125 1,108
7.200% due 02/01/2007 32,000 31,471
6.150% due 03/15/2010 25,000 25,056
Phillips Petroleum Co.
6.375% due 03/30/2009 31,000 29,383
7.000% due 03/30/2029 16,000 14,880
Presidio Owner Trust
6.532% due 12/30/1999 (d) 29,419 29,373
Procter & Gamble Co.
5.250% due 09/15/2003 35,000 33,501
Qwest Communications International, Inc.
0.000% due 10/15/2007 (i) 2,500 1,956
Racers
7.000% due 04/28/2003 (d) 30,000 29,325
5.794% due 09/15/2005 (d) 15,000 14,977
Reliant Energy, Inc.
8.930% due 05/14/2001 5,300 5,494
8.920% due 05/15/2001 6,500 6,737
6.375% due 11/01/2003 14,000 13,695
Rogers Cablesystems, Inc.
10.000% due 12/01/2007 5,000 5,350
Rogers Cantel Mobile Communications, Inc.
9.375% due 06/01/2008 2,750 2,901
Saferco
9.630% due 05/31/2000 (j) 6,500 6,665
9.590% due 05/31/2001 (j) 3,000 3,153
Safeway, Inc.
5.750% due 11/15/2000 150 149
6.850% due 09/15/2004 250 248
Sara Lee Corp.
6.300% due 11/07/2005 500 485
Sears Roebuck & Co.
6.800% due 05/07/2001 500 500
6.790% due 05/21/2001 500 504
9.400% due 08/02/2001 250 263
8.390% due 02/14/2002 240 248
7.260% due 04/21/2003 3,000 3,009
6.250% due 01/15/2004 300 294
6.750% due 09/15/2005 785 761
Sequa Corp.
9.375% due 12/15/2003 5,000 5,113
Smithfield Foods
7.625% due 02/15/2008 2,000 1,800
Smithkline Beecham
7.375% due 04/15/2005 150 155
Stone Container Corp.
10.750% due 10/01/2002 2,500 2,581
Swiss Life Financial Limited
2.000% due 05/20/2005 3,000 2,976
TCI Communications, Inc.
5.450% due 02/02/2000 (d) 50,000 49,980
6.085% due 09/11/2000 (d) 48,500 48,385
5.905% due 12/20/2000 (d) 10,000 10,003
6.110% due 03/12/2001 (d) 10,000 10,113
6.375% due 05/01/2003 3,200 3,167
Telecommunications, Inc.
8.250% due 01/15/2003 43,125 45,218
Telewest Communications PLC
9.625% due 10/01/2006 5,000 5,063
Tenet Healthcare Corp.
8.625% due 12/01/2003 1,200 1,192
8.000% due 01/15/2005 2,000 1,910
7.625% due 06/01/2008 27,000 24,435
Texaco Capital
8.500% due 02/15/2003 700 744
6.000% due 06/15/2005 400 387
1999 Semi-Annual Report See accompanying notes 61
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Time Warner, Inc.
6.100% due 12/30/2001 $ 34,275 $ 34,055
7.975% due 08/15/2004 53,050 55,058
8.110% due 08/15/2006 123,424 130,003
8.180% due 08/15/2007 44,895 47,134
7.250% due 09/01/2008 125 125
Toyoda Automatic Loom
0.350% due 09/30/2003 200,000 2,057
TRW, Inc.
5.930% due 06/28/2000 (d) 14,200 14,176
U.S. West Capital Funding
5.960% due 06/15/2000 (d) 82,700 82,577
Union Pacific Corp.
5.500% due 05/22/2000 (d) 60,000 59,869
6.930% due 06/01/2003 1,000 996
6.000% due 09/01/2003 8,000 7,726
6.120% due 02/01/2004 250 239
United Airlines
9.000% due 12/15/2003 1,000 1,054
10.670% due 05/01/2004 2,050 2,292
USA Waste Services, Inc.
6.125% due 07/15/2001 23,500 22,542
UST, Inc.
7.250% due 06/01/2009 25,000 24,087
USX Corp.
9.800% due 07/01/2001 300 315
Viacom, Inc.
5.875% due 07/15/2000 6,200 6,181
Wal-Mart Stores, Inc.
9.100% due 07/15/2000 250 256
8.625% due 04/01/2001 2,450 2,535
6.750% due 05/24/2002 170 172
Waste Management, Inc.
6.375% due 12/01/2003 200 184
6.500% due 05/14/2004 58,000 57,403
7.125% due 10/01/2007 1,800 1,622
Westpoint Stevens, Inc.
7.875% due 06/15/2005 8,000 7,520
Westvaco Corp.
9.650% due 03/01/2002 150 160
Whitman Corp.
6.250% due 05/01/2000 15,800 15,840
Williams Co.
5.276% due 01/30/2000 (d) 23,000 23,005
WMX Technologies
6.700% due 05/01/2001 10,000 9,758
7.000% due 10/15/2006 500 450
Wilshire REIT Trust
6.532% due 12/30/1999 (d) 25,802 25,762
Xerox Corp.
6.500% due 06/29/2000 280 285
5.750% due 07/21/2000 500 499
5.400% due 09/11/2000 400 398
7.410% due 05/15/2001 1,000 1,017
----------
2,853,072
==========
Utilities 5.9%
AEP Resources, Inc.
6.500% due 12/01/2003 20,000 19,470
Alabama Power Co.
5.350% due 11/15/2003 1,600 1,525
Appalachian Power Co.
6.350% due 03/01/2000 500 500
6.600% due 05/01/2009 25,000 23,445
AT&T Corp.
7.350% due 08/27/2001 7,200 7,351
7.125% due 01/15/2002 275 279
7.000% due 05/15/2005 200 201
Baltimore Gas & Electric
6.125% due 07/01/2003 150 148
Beaver Valley Funding Corp.
8.250% due 06/01/2003 616 623
8.625% due 06/01/2007 5,000 5,120
BellSouth Telecommunications, Inc.
7.500% due 06/15/2033 185 177
California Energy
9.500% due 09/15/2006 12,040 12,914
Calpine Corp.
9.250% due 02/01/2004 4,150 4,176
7.625% due 04/15/2006 7,000 6,654
7.875% due 04/01/2008 2,500 2,394
Central Maine Power Co.
6.500% due 06/14/2000 5,500 5,480
Chesapeake & Potomac Telephone
5.625% due 03/01/2007 500 460
8.000% due 10/15/2029 1,125 1,209
Cleveland Electric Illuminating Co.
7.850% due 11/01/1999 6,000 6,007
7.420% due 08/01/2001 10,000 10,144
9.500% due 05/15/2005 13,000 13,702
Cleveland Electric/Toledo Edison
7.190% due 07/01/2000 20,400 20,428
CMS Energy
7.375% due 11/15/2000 67,535 67,540
8.000% due 07/01/2001 11,750 11,709
8.125% due 05/15/2002 13,725 13,765
8.375% due 07/01/2003 15,000 14,920
7.000% due 01/15/2005 30,000 28,634
Commonwealth Edison
5.204% due 06/15/2002 (d) 1,000 998
6.625% due 07/15/2003 1,000 995
9.875% due 06/15/2020 11,700 13,109
Connecticut Light & Power Co.
5.750% due 07/01/2000 2,000 1,992
7.875% due 06/01/2001 100 101
7.750% due 06/01/2002 5,000 5,065
8.590% due 06/05/2003 27,000 25,760
Consolidated Edison
7.600% due 01/15/2000 100 100
5.244% due 12/15/2001 (d) 10,000 9,989
6.625% due 02/01/2002 100 100
Consolidated Natural Gas
7.250% due 10/01/2004 43,750 43,787
Cox Enterprises, Inc.
6.625% due 06/14/2002 5,250 5,231
Duke Energy Corp.
8.000% due 11/01/1999 40 40
7.000% due 06/01/2000 700 705
6.750% due 08/01/2025 25 22
East Coast Power LLC
6.737% due 03/31/2008 16,791 16,044
El Paso Electric Co.
9.400% due 05/01/2011 7,455 8,115
Enron Corp.
5.778% due 03/30/2000 13,000 13,001
7.660% due 01/14/2002 5,000 5,110
Entergy Mississippi, Inc.
5.963% due 05/03/2004 (d) 31,000 31,000
Flag Limited
8.250% due 01/30/2008 1,200 1,050
Houston Lighting & Power Co.
6.100% due 03/01/2000 250 250
Indiana Bell Telephone Co., Inc.
5.500% due 04/01/2007 500 458
Indianapolis Power & Light
7.375% due 08/01/2007 225 232
Korea Electric Power
3.882% due 10/31/2002 (d) 18,900 9,906
6.375% due 12/01/2003 170 159
Louisiana Power & Light Co.
7.740% due 07/01/2002 599 603
MCI Communications Corp.
6.125% due 04/15/2002 1,250 1,233
MCI Worldcom, Inc.
5.645% due 08/17/2000 (d) 20,000 19,978
8.875% due 01/15/2006 24,529 25,962
Montana Power Co.
5.560% due 04/06/2001 (d) 15,000 15,003
National Power Corp.
9.625% due 05/15/2028 16,000 13,358
62 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
================================================================================
National Rural Utilities Cooperative
6.250% due 04/15/2003 $ 50,000 $ 48,896
New Century Energies, Inc.
5.860% due 05/28/2000 9,400 9,363
5.860% due 05/30/2000 15,000 14,949
New England Telephone & Telegraph Co.
6.375% due 09/01/2008 1,350 1,288
New Jersey Bell Telephone
4.875% due 11/01/2000 800 789
7.850% due 11/15/2029 70 73
New York Telephone Co.
6.250% due 02/15/2004 150 148
6.125% due 01/15/2010 80 75
Niagara Mohawk Power
7.000% due 10/01/2000 57,463 57,696
7.125% due 07/01/2001 20,604 20,690
7.250% due 10/01/2002 24,783 24,979
7.375% due 07/01/2003 38,826 39,050
7.375% due 08/01/2003 1,645 1,675
7.750% due 10/01/2008 25,200 25,662
North Atlantic Energy
9.050% due 06/01/2002 5,995 6,087
Northern Illinois Gas Co.
6.450% due 08/01/2001 1,450 1,443
Northern Telecom Limited
8.750% due 06/12/2001 300 312
Nynex Corp.
9.550% due 05/01/2010 6,516 7,178
Ohio Bell Telephone Co.
5.375% due 03/01/2007 950 866
Ohio Power Co.
7.000% due 07/01/2004 27,000 26,805
Orange PLC
8.750% due 06/01/2006 12,000 12,210
8.000% due 08/01/2008 1,000 968
Pacific Gas & Electric Co.
6.750% due 12/01/2000 3,049 3,059
Pacific Northwest Bell
4.375% due 09/01/2002 50 47
Pennsylvania Power & Light
6.000% due 06/01/2000 500 500
Philadelphia Electric
5.625% due 11/01/2001 17,350 17,087
Philippine Long Distance Telephone Co.
7.850% due 03/06/2007 5,000 4,228
10.500% due 04/15/2009 6,000 5,849
PP&L, Inc.
6.125% due 05/01/2001 (d) 5,000 4,996
6.550% due 03/01/2006 500 491
Public Service
7.625% due 02/01/2000 150 151
7.250% due 04/01/2000 (d) 5,000 5,000
6.500% due 06/01/2000 500 501
6.125% due 08/01/2002 1,000 991
Public Service Enterprise Group, Inc.
6.261% due 11/22/2000 (d) 6,000 6,010
5.910% due 06/15/2001 (d) 156,200 155,886
Queststar Pipeline
9.375% due 06/01/2021 200 214
Reliant Energy, Inc.
8.750% due 03/01/2022 10,000 10,356
Sierra Pacific Power Co.
6.270% due 10/13/2000 29,000 29,000
Sierra Pacific Resources
6.200% due 04/15/2004 20,000 19,279
SK Telecom Co. Limited
7.750% due 04/29/2004 5,000 4,858
Southwestern Bell Telephone Co.
6.125% due 03/01/2000 50 50
Sprint Corp.
8.125% due 07/15/2002 10,378 10,724
5.875% due 05/01/2004 43,000 41,248
System Energy Resources
7.380% due 10/01/2000 5,000 5,033
7.710% due 08/01/2001 14,850 15,065
Teco Energy, Inc.
5.540% due 09/15/2001 44,630 44,051
Tennessee Valley Authority
3.375% due 01/15/2007 10,521 9,720
0.000% due 04/15/2042 (i) 855 332
Texas Utilities Co.
5.558% due 04/24/2000 (d) 60,100 60,099
6.064% due 06/25/2001 125,200 124,866
6.370% due 08/16/2001 1,000 996
6.438% due 09/24/2001 206,800 206,800
5.940% due 10/15/2001 3,000 2,976
6.500% due 08/16/2002 1,000 998
Texas-New Mexico Power
10.750% due 09/15/2003 4,950 5,116
Toledo Edison Co.
7.380% due 03/31/2000 11,000 11,028
8.180% due 07/30/2002 1,400 1,437
8.700% due 09/01/2002 14,500 14,875
7.850% due 03/31/2003 7,000 7,123
7.875% due 08/01/2004 500 506
Tuscon Electric Power
8.500% due 10/01/2009 454 465
U.S. West Communications, Inc.
5.650% due 11/01/2004 9,000 8,562
6.625% due 09/15/2005 400 394
6.125% due 11/15/2005 400 384
Union Electric Co.
8.000% due 12/15/2022 1,000 1,055
United Telecom, Inc.
9.500% due 06/06/2001 150 158
Western Massachusetts Electric
6.875% due 01/01/2000 700 701
7.375% due 07/01/2001 7,000 7,028
Western Resources, Inc.
6.250% due 08/15/2003 13,500 13,253
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/2013 (j) 991 1,070
WorldCom, Inc.
6.125% due 08/15/2001 250 248
6.400% due 08/15/2005 1,000 977
Yorkshire Power Finance
6.154% due 02/25/2003 17,000 16,338
------------
1,731,812
------------
Total Corporate Bonds & Notes 12,633,519
(Cost $12,743,263) ============
- --------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.1%
- --------------------------------------------------------------------------------
Florida 0.0%
Greater Orlando Aviation Authority,
Orlando Florida Airport Facitities Revenue Bonds,
(FGIC Insured), Series 1999, 5.125% due 10/01/2028 2,000 1,788
------------
New Mexico 0.0%
Farmington, New Mexico Pollution Control
Revenue Bond, Series A, 5.125% due 04/01/2029 500 451
------------
New York 0.1%
New York City Municipal Bond
5.622% due 08/01/2002 (d) 11,058 11,021
New York City, New York Municipal Finance Authority
Water & Sewer System Revenue Bonds, (FSA Insured),
Series 1999, 5.000% due 06/15/2029 2,500 2,189
------------
13,210
============
Pennsylvania 0.0%
Pittsburgh & Allegheny County Pa, (AMBAC Insured),
Series 1999, 5.000% due 02/01/2029 500 436
Pittsburgh & Allegheny County Pa, (AMBAC Insured),
Series 1999, 5.125% due 02/01/2035 500 441
------------
877
============
1999 Semi-Annual Report See accompanying notes 63
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Utah 0.0%
Weber County, Utah Hospital Revenue Bonds,
Series 1999, 5.000% due 08/15/2030 $ 500 $ 426
Total Municipal Bonds & Notes ------------
(Cost $16,926) 16,752
============
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 3.5%
- --------------------------------------------------------------------------------
A.I.D. Housing Guarantee - Peru
9.980% due 08/01/2008 990 1,013
Federal Home Loan Bank
7.510% due 10/26/1999 500 501
5.525% due 01/21/2000 1,000 1,000
6.000% due 05/12/2000 (d) 185,400 184,086
6.540% due 05/25/2000 (d) 500 504
5.500% due 07/14/2000 (d) 1,150 1,148
6.160% due 09/18/2000 (d) 1,000 1,003
5.662% due 09/10/2001 (d) 1,000 989
4.842% due 02/15/2002 (d) 17,000 16,602
6.030% due 04/17/2002 (d) 1,000 992
7.045% due 04/25/2002 (d) 500 501
5.250% due 06/28/2002 (d) 1,000 974
6.260% due 12/23/2002 (d) 1,000 990
6.110% due 04/17/2003 (d) 1,000 986
6.050% due 05/22/2003 (d) 1,000 983
5.805% due 08/28/2003 (d) 1,000 974
6.000% due 06/30/2004 (d) 1,000 978
Federal Home Loan Mortgage Corporation
6.000% due 06/23/2004 (d) 1,000 974
6.345% due 02/15/2006 (d) 1,000 973
7.245% due 04/24/2006 (d) 500 500
Federal National Mortgage Assn.
9.050% due 04/10/2000 (d) 400 407
5.560% due 07/24/2000 (d) 440 439
5.810% due 01/16/2001 (d) 1,000 999
5.160% due 02/02/2001 (d) 800 792
6.350% due 11/23/2001 (d) 1,000 999
6.450% due 02/14/2002 (d) 1,000 998
7.060% due 04/24/2002 (d) 500 502
6.110% due 01/02/2003 (d) 1,000 985
6.000% due 02/18/2003 (d) 1,000 980
6.750% due 03/03/2003 (d) 500 492
5.260% due 10/02/2003 (d) 1,000 960
5.280% due 10/06/2003 (d) 1,000 961
5.500% due 12/01/2003 (d) 1,000 965
8.500% due 02/01/2005 (d) 1,000 1,009
6.560% due 12/10/2007 (d) 190 184
6.875% due 09/10/2012 (d) 25,000 24,477
New York City
5.239% due 08/01/2002 (d) 14,815 14,815
Student Loan Marketing Assn.
4.129% due 02/20/2000 (d) 134,700 134,091
5.129% due 06/30/2000 (d) 63,700 63,641
5.483% due 01/25/2003 (d) 35,494 35,486
5.225% due 04/25/2004 (d) 15,164 15,131
5.175% due 10/25/2004 (d) 22,962 22,896
5.195% due 10/25/2004 (d) 39,851 39,768
5.225% due 10/25/2005 (d) 30,609 30,505
5.291% due 10/25/2005 (d) 20,485 20,407
5.333% due 04/25/2006 (d) 110,189 109,732
5.395% due 01/25/2007 (d) 99,218 99,015
5.495% due 04/25/2007 (d) 180,624 180,358
------------
Total U.S. Government Agencies 1,018,665
(Cost $1,021,594) ============
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 6.5%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h)(l) 814,710 809,648
3.625% due 07/15/2002 (h)(l) 276 274
3.375% due 01/15/2007 (h)(l) 163,595 156,285
3.625% due 01/15/2008 (h)(l) 387,579 375,225
3.625% due 01/15/2008 (h) 21,750 21,057
3.875% due 01/15/2009 (h)(l) 246,569 242,794
3.625% due 04/15/2028 (h) 103,685 95,973
3.875% due 04/15/2029 (h)(l) 456 441
U.S. Treasury Bonds
12.375% due 05/15/2004 1,000 1,254
10.375% due 11/15/2012 (l) 11,430 14,345
12.000% due 08/15/2013 6,000 8,291
13.250% due 05/15/2014 16,500 24,652
8.875% due 08/15/2017 (l) 65 81
8.125% due 08/15/2019 10,515 12,454
U.S. Treasury Notes
7.875% due 11/15/1999 500 502
5.500% due 02/29/2000 (b) 109,550 109,755
7.500% due 11/15/2001 600 622
6.125% due 12/31/2001 1,010 1,019
6.375% due 08/15/2002 160 163
5.500% due 01/31/2003 400 397
5.875% due 05/15/2004 1,000 1,055
6.500% due 10/15/2006 1,020 1,043
4.750% due 05/15/2008 36,100 35,062
------------
Total U.S. Treasury Obligations 1,912,392
(Cost $1,932,927) ============
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 54.6%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 23.4%
ABN AMRO Mortgage Corp.
6.500% due 06/25/2029 7,093 6,505
American Southwest Financial
12.250% due 11/01/2014 40 41
12.500% due 04/01/2015 376 417
12.000% due 05/01/2015 703 722
11.400% due 09/01/2015 615 642
American Southwest Financial Securities Corp.
7.400% due 11/17/2004 41,000 41,555
7.248% due 11/25/2038 50,698 46,118
Bank of America Mortgage Securities
6.250% due 08/25/2028 25,000 22,422
6.500% due 05/25/2029 15,895 14,866
7.250% due 10/25/2029 9,648 8,603
Bankers Trust Co.
8.625% due 04/01/2018 58 58
Bear Stearns Mortgage Securities, Inc.
7.000% due 09/20/2012 34,576 33,506
7.000% due 08/20/2018 10,000 9,812
5.938% due 10/25/2023 (d) 3,718 3,810
10.000% due 08/25/2024 5,000 5,454
7.000% due 03/25/2027 7,000 6,724
7.000% due 02/25/2028 10,000 9,622
Cendant Mortgage Corp.
6.499% due 11/18/2028 (d) 5,578 4,715
6.498% due 11/18/2028 (d) 14,127 13,142
Centre
6.715% due 02/01/2009 31,213 29,667
Chase Mortgage Finance Corp.
7.607% due 10/25/2009 (d) 1,659 1,107
8.250% due 10/25/2010 783 780
6.250% due 05/25/2014 42,955 40,506
7.000% due 07/25/2024 4,411 4,418
7.000% due 08/25/2024 3,232 3,181
6.750% due 03/25/2025 8,197 7,116
6.204% due 04/25/2025 (d) 23,781 21,886
6.550% due 08/25/2028 3,000 2,941
6.350% due 07/25/2029 74,414 73,504
Citicorp Mortgage Securities, Inc.
9.500% due 09/25/2019 231 230
6.633% due 10/25/2022 (d) 12,223 12,304
6.250% due 04/25/2024 11,796 10,187
7.250% due 10/25/2027 20,462 19,694
5.900% due 05/25/2029 26,490 26,302
CMC Securities Corp.
6.423% due 09/25/2023 (d) 5,309 5,339
7.117% due 04/25/2025 (d) 201 202
7.250% due 11/25/2027 9,402 9,217
64 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligation Trust
10.200% due 02/01/2016 $ 400 $ 409
8.000% due 09/20/2021 8,061 8,142
Collateralized Mortgage Securities Corp.
11.450% due 09/01/2015 29 30
11.450% due 11/01/2015 (d) 162 163
8.750% due 04/20/2019 575 594
Comm
6.145% due 02/15/2008 4,832 4,734
Countrywide Home Loans
6.500% due 07/25/2013 5,676 5,266
6.250% due 08/25/2014 35,885 33,806
7.305% due 07/25/2024 (d) 5,120 5,194
6.750% due 11/25/2025 25,567 23,558
7.500% due 06/25/2027 12,300 12,304
7.250% due 12/25/2027 6,224 5,959
7.250% due 02/25/2028 57,846 55,654
6.750% due 06/25/2028 15,103 13,632
6.750% due 08/25/2028 15,564 15,499
6.500% due 03/25/2029 16,744 15,395
6.050% due 04/25/2029 56,000 53,479
Crusade Global Trust
5.844% due 02/15/2030 (d) 100,000 100,000
DLJ Mortgage Acceptance Corp.
4.224% due 05/25/2024 (d) 146 152
6.850% due 12/17/2027 6,605 6,607
6.750% due 06/19/2028 122,753 119,510
Donaldson, Lufkin & Jenrette
7.413% due 08/01/2021 (d)(j) 4,903 4,974
7.225% due 12/25/2022 (d) 2,214 2,275
6.993% due 03/25/2024 (d) 632 656
Drexel Mortgage Funding
9.500% due 11/20/2017 839 842
8.600% due 03/01/2018 251 252
FBS Mortgage Corp.
7.092% due 11/25/2024 692 694
Federal Home Loan Mortgage Corp.
5.125% due 02/26/2002 1,260 1,233
6.750% due 10/15/2003 18,348 18,440
7.000% due 10/15/2003 4,499 4,545
7.500% due 11/01/2003 5,853 5,899
6.000% due 06/15/2005 6,209 6,215
6.500% due 07/25/2005 5,463 5,446
6.500% due 07/15/2006 1,075 1,071
6.500% due 08/15/2006 710 712
7.200% due 11/01/2006 74,000 73,607
5.500% due 10/15/2007 6,969 6,858
6.500% due 05/15/2008 1,000 996
5.675% due 06/15/2008 (d) 185 165
6.000% due 11/15/2008 225 218
6.200% due 12/15/2008 4,218 3,899
6.000% due 03/15/2009 265 259
7.550% due 03/15/2012 180 181
8.500% due 08/15/2013 2,000 2,079
8.500% due 09/15/2013 5,941 6,153
6.000% due 11/15/2014 400 360
5.400% due 05/25/2016 35,096 34,989
7.000% due 11/15/2016 6,130 6,156
6.250% due 10/15/2017 21,354 21,328
5.900% due 03/15/2018 7,398 7,373
6.350% due 03/25/2018 200 199
5.250% due 05/15/2018 471 468
6.500% due 12/15/2018 920 920
6.400% due 02/15/2019 20,000 19,988
6.500% due 05/15/2019 391 391
6.250% due 07/15/2019 37,090 37,041
5.000% due 08/15/2019 152 150
7.500% due 01/15/2020 5,666 5,704
5.250% due 07/15/2020 460 454
5.500% due 10/15/2020 91 90
9.500% due 11/15/2020 4,937 5,132
8.750% due 12/15/2020 1,265 1,298
6.000% due 12/15/2020 320 311
9.000% due 12/15/2020 3,207 3,327
6.250% due 01/15/2021 200 196
8.000% due 04/15/2021 106 109
6.500% due 05/15/2021 134 133
6.500% due 05/17/2021 81 79
8.500% due 06/15/2021 29,166 30,121
9.500% due 07/15/2021 2,320 2,380
6.950% due 07/15/2021 652 650
9.000% due 07/15/2021 2,125 2,234
8.000% due 07/15/2021 10,869 11,046
6.950% due 08/15/2021 185 184
8.000% due 08/15/2021 23,472 23,987
6.200% due 08/15/2021 1,500 1,496
7.000% due 09/15/2021 340 340
8.000% due 09/15/2021 3 3
6.500% due 09/15/2021 30,233 30,042
7.000% due 10/15/2021 15 15
8.000% due 12/15/2021 16,995 17,423
6.850% due 01/15/2022 700 697
8.250% due 06/15/2022 5,000 5,177
7.000% due 07/15/2022 8,788 8,538
8.500% due 10/15/2022 8,638 8,909
7.500% due 01/15/2023 16,359 16,138
7.500% due 07/15/2023 395 401
7.250% due 07/15/2023 4 4
7.000% due 07/15/2023 252 236
6.500% due 07/15/2023 287 279
6.500% due 08/15/2023 183,199 181,369
7.500% due 01/20/2024 163 164
5.000% due 02/15/2024 116 99
6.500% due 02/15/2024 23 23
6.250% due 05/15/2024 12,485 11,165
7.250% due 08/15/2024 190 191
8.000% due 09/15/2024 16,250 16,909
7.000% due 11/17/2025 40 40
6.500% due 03/15/2026 110 104
6.945% due 10/01/2026 (d) 3,542 3,629
6.000% due 11/15/2026 550 509
7.500% due 01/15/2027 23,368 23,102
7.500% due 03/17/2027 20,000 19,631
7.500% due 06/20/2027 18,159 17,300
6.500% due 08/15/2027 14,660 12,299
6.500% due 10/15/2027 32,300 29,759
6.000% due 11/15/2027 665 607
6.500% due 01/25/2028 8,691 7,863
7.000% due 02/15/2028 1,675 1,594
6.500% due 04/15/2028 156,507 144,558
6.500% due 05/15/2028 48,000 45,555
6.500% due 06/15/2028 55,064 49,034
6.500% due 06/20/2028 21,923 19,067
6.500% due 07/15/2028 28,266 23,706
6.500% due 08/15/2028 258,710 219,839
7.000% due 11/15/2028 9,000 8,489
6.500% due 12/15/2028 6,614 5,464
6.000% due 12/15/2028 22,454 18,606
6.500% due 01/15/2029 10,411 9,668
6.000% due 02/15/2029 3,648 2,680
6.500% due 03/15/2029 25,088 22,274
0.000% due 06/15/2029 74,088 46,575
8.000% due 07/15/2029 1,250 1,237
5.940% due 08/15/2032 (d) 31,187 31,753
Federal National Mortgage Assn.
9.100% due 02/25/2002 1,828 1,848
7.500% due 05/25/2005 6,700 6,833
7.500% due 02/25/2006 375 380
6.500% due 05/01/2006 217 216
6.500% due 07/25/2006 75 75
8.000% due 11/25/2006 30 31
6.500% due 05/25/2007 9,362 9,330
6.000% due 07/25/2007 300 297
9.028% due 08/25/2007 (d) 12 12
6.270% due 09/25/2007 3,000 2,907
7.000% due 10/25/2007 200 201
6.500% due 05/25/2008 500 499
10.500% due 08/25/2008 7,146 7,723
7.452% due 09/25/2008 (d) 1,606 1,466
6.750% due 11/25/2010 1,300 1,303
1999 Semi-Annual Report See accompanying notes 65
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
7.000% due 01/25/2011 $ 302 $ 303
6.000% due 03/18/2015 18,505 18,412
8.000% due 12/25/2016 223 226
9.670% due 01/25/2017 5 5
9.300% due 05/25/2018 830 867
5.894% due 06/25/2018 (d) 4 4
9.500% due 06/25/2018 477 503
5.500% due 07/25/2018 54 54
9.500% due 11/25/2018 11,294 11,633
6.000% due 12/25/2018 8 8
6.000% due 02/25/2019 5,000 4,978
6.500% due 03/25/2019 885 874
9.500% due 06/25/2019 1,698 1,785
5.650% due 07/25/2019 2,560 2,547
9.300% due 08/25/2019 93 98
6.350% due 08/25/2019 346 345
8.000% due 10/25/2019 3,135 3,160
9.000% due 12/25/2019 7,379 7,656
7.500% due 12/25/2019 92 92
6.500% due 03/25/2020 1,108 1,107
7.500% due 05/25/2020 4,161 4,210
6.750% due 06/25/2020 1,329 1,331
6.000% due 06/25/2020 269 269
5.000% due 09/25/2020 200 188
7.000% due 09/25/2020 19,398 19,485
9.000% due 09/25/2020 4,445 4,619
8.000% due 12/25/2020 24,277 24,892
8.750% due 01/25/2021 3,922 4,036
9.000% due 01/25/2021 6,909 7,168
5.750% due 02/18/2021 100 95
9.000% due 03/25/2021 598 619
7.500% due 03/25/2021 9,766 9,808
7.000% due 05/25/2021 300 297
6.500% due 06/25/2021 5,531 5,343
7.500% due 06/25/2021 99 100
8.000% due 07/25/2021 18,472 18,691
8.500% due 09/25/2021 6,560 6,730
7.000% due 10/25/2021 8,688 8,565
8.000% due 10/25/2021 22,645 23,213
7.000% due 11/25/2021 24,015 23,976
6.000% due 12/25/2021 58 57
8.000% due 01/25/2022 21,700 22,192
8.000% due 03/25/2022 132 133
7.000% due 04/25/2022 17,091 16,632
10.000% due 05/01/2022 175 190
7.000% due 06/25/2022 1,585 1,562
8.000% due 06/25/2022 3,565 3,702
7.000% due 07/25/2022 6,991 6,918
8.000% due 07/25/2022 56,488 57,621
7.800% due 10/25/2022 4,143 4,149
6.500% due 10/25/2022 3,794 3,469
6.500% due 12/25/2022 251 248
3.663% due 02/25/2023 (d) 15,771 927
7.000% due 03/25/2023 27,100 26,100
6.500% due 05/18/2023 9,107 9,053
6.900% due 05/25/2023 148 138
7.000% due 06/25/2023 4,641 4,323
5.333% due 07/25/2023 (d) 146 130
6.000% due 08/25/2023 13,179 11,399
6.500% due 08/25/2023 49 47
1.000% due 09/25/2023 350 317
6.750% due 09/25/2023 3,713 3,439
6.750% due 10/25/2023 558 492
7.500% due 10/25/2023 67 67
6.500% due 11/25/2023 103 100
6.500% due 12/25/2023 1,089 961
7.100% due 12/25/2023 6,769 6,446
6.500% due 01/25/2024 2,490 2,131
7.250% due 02/25/2024 43 43
6.500% due 02/25/2024 5,150 4,818
7.500% due 06/20/2024 120 121
7.000% due 02/18/2025 140 140
6.600% due 05/18/2025 219 209
7.500% due 11/17/2025 289 295
7.500% due 12/25/2025 360 358
7.000% due 02/15/2026 $ 180 $ 179
7.000% due 07/18/2026 450 434
6.500% due 09/18/2026 120 112
7.000% due 12/18/2026 15,122 13,950
6.000% due 12/25/2026 170 156
6.000% due 03/25/2027 320 294
6.000% due 05/17/2027 5,470 4,709
7.000% due 07/18/2027 460 449
6.500% due 03/01/2028 559 537
6.500% due 06/25/2028 3,400 3,112
6.500% due 07/18/2028 67,412 61,808
9.092% due 09/25/2028 27,550 29,005
6.000% due 04/25/2029 10,181 7,780
6.300% due 10/17/2038 14,453 12,050
First Commonwealth Savings & Loan
10.375% due 04/01/2005 18 19
First Nationwide Trust
6.750% due 07/25/2029 15,821 15,746
6.500% due 10/19/2029 61,642 59,176
First Union Residential Securitization, Inc.
6.750% due 08/25/2028 9,048 8,151
General Electric Capital Mortgage Services, Inc.
6.750% due 12/25/2012 3,285 3,275
6.500% due 09/25/2023 1,175 1,030
6.500% due 12/25/2023 8,631 7,568
6.500% due 01/25/2024 3,895 3,398
6.500% due 02/25/2024 5 5
6.500% due 03/25/2024 57,897 52,782
6.500% due 04/25/2024 62,140 51,311
7.500% due 07/25/2027 10,278 10,131
7.000% due 11/25/2027 37,500 36,098
6.650% due 05/25/2028 8,566 8,538
6.750% due 05/25/2028 23,934 22,179
6.750% due 06/25/2028 1,554 1,551
6.550% due 06/25/2028 23,450 22,605
6.500% due 12/25/2028 19,500 17,954
5.950% due 07/25/2029 24,794 24,445
6.000% due 07/25/2029 18,307 17,950
6.250% due 07/25/2029 132,674 128,696
6.500% due 07/25/2029 95,240 87,290
7.000% due 09/25/2029 3,126 2,777
7.250% due 08/25/2029 8,000 7,642
General Motors Acceptance Corp.
6.150% due 11/15/2007 12,286 11,911
6.700% due 03/15/2008 16,155 15,675
6.974% due 07/15/2032 30,000 30,078
6.570% due 09/15/2033 19,727 19,441
Goldman Sachs Mortgage Corp.
6.000% due 12/31/2007 (j) 9,948 9,416
8.000% due 09/20/2027 40,872 40,846
Government National Mortgage Assn.
6.250% due 06/20/2022 59,840 59,615
7.250% due 12/16/2023 9,829 9,930
7.000% due 01/15/2024 471 464
8.000% due 05/16/2024 115 116
7.000% due 03/20/2026 320 311
7.000% due 08/20/2026 137 134
7.500% due 02/16/2027 38 37
7.500% due 07/16/2027 27,763 27,799
6.500% due 06/20/2028 10,670 9,114
6.500% due 07/20/2028 36,671 30,562
6.500% due 09/20/2028 26,674 22,471
6.500% due 01/20/2029 26,104 21,731
6.500% due 03/20/2029 16,259 14,965
6.000% due 05/20/2029 10,202 8,307
Greenwich
6.685% due 04/25/2022 (d) 806 816
6.514% due 07/25/2022 (d) 2,600 2,629
6.657% due 10/25/2022 (d) 108 109
6.719% due 04/25/2023 (d) 1,480 1,485
7.168% due 04/25/2024 (d) 1,830 1,846
7.528% due 06/25/2024 (d) 1,828 1,863
8.064% due 08/25/2024 (d) 2,703 2,772
8.145% due 11/25/2024 (d) 741 752
66 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
GS Mortgage Securities Corp.
6.060% due 10/18/2030 $ 33,872 $ 32,893
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2012 2,693 2,702
7.160% due 12/25/2012 924 927
7.250% due 11/25/2027 5,000 4,948
6.650% due 02/25/2029 161,687 153,429
ICI Funding Corp. Secured Assets Corp.
7.250% due 09/25/2027 18,068 17,820
7.750% due 03/25/2028 1,896 1,894
Imperial CMB Trust
5.695% due 09/25/2026 (d) 8,909 8,956
7.250% due 11/25/2029 161 159
6.650% due 11/25/2029 1,338 1,330
Independent National Mortgage Corp.
6.650% due 10/25/2024 2,723 2,625
7.237% due 11/25/2024 (d) 2,521 2,586
8.750% due 12/25/2024 30 31
7.650% due 01/25/2025 (d) 205 209
8.000% due 06/25/2025 41 41
6.850% due 07/25/2025 (d) 11,118 11,335
7.164% due 07/25/2025 (d) 5,985 6,108
7.500% due 09/25/2025 1,692 1,702
International Mortgage Acceptance Corp.
12.250% due 03/01/2014 337 377
J.P. Morgan Commercial Mortgage Finance Corp.
9.000% due 10/20/2020 12,180 12,286
8.218% due 04/25/2028 1,615 1,579
6.533% due 01/15/2030 20,000 19,478
7.325% due 07/15/2031 55,799 56,516
Kidder Peabody Acceptance Corp.
7.440% due 09/25/2024 (d) 13,304 13,265
LB Mortgage Trust
8.396% due 01/20/2017 12,725 13,256
Marine Midland
8.000% due 10/25/2023 11 11
Mellon Residential Funding Corp.
6.350% due 06/25/2028 22,000 21,529
6.110% due 01/25/2029 23,900 22,584
6.570% due 07/25/2029 44,000 43,849
6.580% due 07/25/2029 55,500 55,223
Merrill Lynch Mortgage
7.263% due 06/15/2021 (d) 5,902 5,891
7.113% due 06/15/2021 2,967 2,949
7.523% due 06/15/2021 (d) 5,537 5,490
6.950% due 06/18/2029 37,775 38,008
Midland Realty Acceptance Corp.
7.020% due 01/25/2029 26,247 26,215
Morgan Stanley Capital
6.860% due 05/15/2006 2,534 2,540
6.190% due 01/15/2007 27,044 26,307
6.160% due 04/03/2009 14,571 14,096
6.590% due 10/03/2030 5,906 5,841
Mortgage Capital Funding, Inc.
7.800% due 04/15/2006 500 513
7.008% due 09/20/2006 15,545 15,278
Mortgage Capital Trust V
8.875% due 04/01/2018 102 101
Nacional Financier
22.000% due 05/20/2002 (d) 300,000 30,933
NationsBanc Montgomery Funding Corp.
6.500% due 07/25/2028 9,000 8,274
6.250% due 10/25/2028 2,000 1,799
Nationslink Funding Corp.
5.805% due 02/10/2001 33,086 33,086
6.096% due 12/10/2001 9,000 8,951
6.333% due 10/22/2004 7,780 7,738
5.638% due 04/10/2007 (d) 9,337 9,337
Nomura Asset Securities Corp.
6.882% due 05/25/2024 (d) 3,799 3,900
7.000% due 10/29/2029 (d) 15,000 14,128
Norwest Asset Securities Corp.
6.750% due 12/25/2012 19,758 19,502
6.250% due 11/25/2013 41,806 40,395
12.250% due 04/01/2014 54 53
6.750% due 09/25/2027 3,970 3,894
6.350% due 04/25/2028 2,500 2,494
6.750% due 10/25/2028 7,427 7,071
6.500% due 12/25/2028 20,000 18,397
6.500% due 02/25/2029 55,000 50,651
6.200% due 04/25/2029 77,385 74,821
5.950% due 04/25/2029 121,792 116,822
6.000% due 04/25/2029 19,713 19,316
5.950% due 04/25/2029 17,152 16,926
6.500% due 04/25/2029 12,200 11,204
6.300% due 04/25/2029 10,384 9,962
6.500% due 06/25/2029 41,178 37,747
PaineWebber Mortgage
6.000% due 04/25/2009 11,951 11,392
PNC Mortgage Securities Corp.
6.750% due 06/25/2016 12,259 12,154
7.000% due 10/25/2027 36,434 35,208
6.500% due 02/25/2028 2,437 2,432
7.000% due 02/25/2028 25,911 24,957
7.000% due 05/25/2028 7,784 7,767
6.750% due 07/25/2028 3,527 3,320
6.550% due 07/25/2028 24,500 24,301
6.750% due 09/25/2028 4,000 3,762
6.200% due 06/25/2029 34,900 34,144
6.500% due 06/25/2029 41,211 37,804
Prudential Bache
5.740% due 09/01/2018 (d) 265 261
8.400% due 03/20/2021 2,567 2,640
Prudential Home Mortgage Securities
7.000% due 01/25/2008 23,860 23,592
6.400% due 04/25/2009 1,748 1,744
6.950% due 11/25/2022 222 205
7.000% due 07/25/2023 13,903 13,833
6.750% due 10/25/2023 8,935 7,390
7.970% due 11/25/2023 (d) 2,048 2,040
5.900% due 12/25/2023 8,696 8,639
6.050% due 04/25/2024 4,634 4,604
6.800% due 05/25/2024 10,193 9,052
6.000% due 05/25/2024 9 9
6.450% due 11/25/2025 5,264 4,628
3.914% due 12/25/2025 (d) 383 370
Prudential Securities Secured Financing Corp.
6.074% due 01/15/2008 14,579 14,085
6.955% due 06/15/2008 14,791 14,822
PSB Financial Corp.
11.050% due 12/01/2015 553 590
Residential Accredit Loans, Inc.
6.250% due 03/25/2014 28,370 27,430
7.250% due 06/25/2027 2,100 2,072
7.500% due 08/25/2027 15,000 14,937
7.000% due 02/25/2028 41,115 39,626
Residential Asset Securities Corp.
7.000% due 03/25/2027 34 34
Residential Asset Securitization Trust
7.375% due 03/25/2027 5,142 5,043
7.000% due 10/25/2027 19,745 18,940
6.750% due 06/25/2028 22,074 22,083
6.500% due 12/25/2028 1,250 1,132
Residential Funding Mortgage Securities, Inc.
7.000% due 08/25/2008 8,379 8,408
6.250% due 10/25/2008 36 36
7.500% due 09/25/2011 19,855 20,030
6.500% due 12/25/2012 18,586 17,905
6.500% due 01/25/2013 144,948 141,709
7.750% due 09/25/2022 558 562
8.000% due 01/25/2023 3,452 3,504
7.500% due 09/25/2025 18,020 18,149
7.500% due 12/25/2025 959 960
7.750% due 11/25/2026 9,000 9,110
7.500% due 06/25/2027 51,535 51,277
7.500% due 07/25/2027 25,265 25,298
7.250% due 10/25/2027 44,000 43,033
7.000% due 11/25/2027 7,000 6,619
6.750% due 02/25/2028 15,201 14,922
6.750% due 05/25/2028 60,741 56,674
1999 Semi-Annual Report See accompanying notes 67
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
6.750% due 06/25/2028 $ 14,950 $ 14,888
6.750% due 09/25/2028 61,993 58,226
6.500% due 10/25/2028 52,000 47,842
6.250% due 11/25/2028 3,000 2,704
6.500% due 01/25/2029 52,231 48,009
6.200% due 05/25/2029 107,102 106,255
6.500% due 06/25/2029 8,343 6,405
6.750% due 07/25/2029 22,600 21,152
Resolution Trust Corp.
6.278% due 09/25/2020 (d) 12,262 4,537
6.869% due 09/25/2020 (d) 1,915 1,598
8.441% due 06/25/2021 (d) 284 284
8.684% due 08/25/2021 (d) 503 502
8.694% due 08/25/2021 8,000 7,991
6.610% due 09/25/2021 (d) 99 99
8.625% due 10/25/2021 171 170
8.136% due 10/25/2021 (d) 176 175
5.623% due 10/25/2021 (d) 148 146
8.625% due 05/25/2022 (d) 1,746 1,745
7.375% due 08/25/2023 (d) 2,000 2,003
8.835% due 12/25/2023 2,050 2,066
9.450% due 05/25/2024 16,688 16,632
7.100% due 12/25/2024 1,500 1,458
6.941% due 07/25/2028 (d) 14,001 13,977
6.780% due 10/25/2028 (d) 6,994 7,029
6.580% due 10/25/2028 (d) 17,005 17,396
6.877% due 05/25/2029 (d) 3,136 3,195
7.268% due 05/25/2029 (d) 3,573 3,565
RMF Commercial Mortgage Securities, Inc.
6.715% due 01/15/2019 235 229
Rural Housing Trust
3.330% due 10/01/2028 43 40
Ryan Mortgage Acceptance Corp.
9.450% due 10/01/2016 101 106
Ryland Acceptance Corp.
11.500% due 12/25/2016 108 108
8.200% due 09/25/2022 41 42
14.000% due 11/25/2031 1,019 1,096
Ryland Mortgage Securities Corp.
7.200% due 08/25/2022 (d) 2,171 2,201
6.562% due 08/25/2029 (d) 3,596 3,697
6.556% due 10/25/2031 (d) 6,216 6,256
Salomon Brothers Mortgage Securities
6.852% due 11/25/2022 (d) 775 790
7.669% due 07/01/2024 (d) 5,873 5,991
5.615% due 06/25/2027 (d) 728 729
5.719% due 04/25/2029 (d) 8,799 8,781
5.723% due 04/25/2029 (d) 33,398 33,388
Santa Barbara Savings
9.500% due 11/20/2018 2,599 2,598
Saxon Mortgage
7.181% due 08/25/2023 (d) 17,635 18,104
6.500% due 02/25/2024 2,501 2,479
7.622% due 09/25/2024 (d) 6,732 6,972
Securitized Asset Sales, Inc.
6.975% due 10/25/2023 (d) 1,996 2,052
6.966% due 12/26/2023 (d) 1,534 1,526
7.410% due 09/25/2024 (d) 9,900 10,000
Security Pacific National Bank
5.968% due 03/01/2018 (d) 95 95
Small Business Investment Co.
7.540% due 08/10/2009 88,000 87,560
Southern Pacific Secured Assets Corp.
5.509% due 06/25/2028 (d) 57,961 57,643
Starwood Commercial Mortgage
6.600% due 02/03/2009 12,535 12,413
Structured Asset Mortgage Investments, Inc.
6.125% due 11/25/2013 16,748 16,076
6.906% due 06/25/2028 (d) 41,996 42,009
6.250% due 11/25/2028 9,878 8,925
6.750% due 01/25/2029 3,000 2,815
6.300% due 05/25/2029 20,829 20,405
6.584% due 06/25/2029 (d) 32,422 31,591
7.250% due 07/25/2029 32,686 32,608
TMA Mortgage Funding Trust
5.719% due 01/25/2029 41,726 41,726
Union Planters Mortgage Finance Corp.
6.800% due 01/25/2028 15,000 14,701
6.750% due 01/25/2028 4,000 3,856
Vendee Mortgage Trust
7.000% due 02/15/2000 1,127 1,127
7.750% due 03/15/2016 600 605
7.500% due 08/15/2017 370 374
7.750% due 05/15/2018 550 559
6.500% due 05/15/2020 26,946 25,187
Western Federal Savings & Loan
6.430% due 06/25/2021 (d) 4,413 4,442
----------
6,874,323
==========
Federal Home Loan Mortgage Corporation 10.2%
5.125% due 10/15/2008 160 144
5.500% due 04/01/2001-10/14/2029 (g) 269,387 242,341
5.750% due 08/15/2020 300 295
6.000% due 12/01/2000-10/14/2028 (g) 2,237,782 2,105,558
6.055% due 12/01/2026 (d) 6,915 6,816
6.125% due 04/01/2017-06/01/2017 (d)(g) 60 60
6.500% due 07/01/2001-10/14/2029 (g) 369,874 350,555
6.543% due 11/01/2026 (d) 9,478 9,518
6.625% due 01/01/2019 (d) 10 10
6.732% due 11/01/2028 (d) 29,366 29,316
6.750% due 01/17/2025 12,519 12,468
6.775% due 11/01/2003 69 69
6.781% due 07/01/2022 (d) 1,219 1,248
6.849% due 07/01/2023 (d) 641 654
6.856% due 05/01/2023 (d) 1,968 1,991
6.873% due 07/01/2025 (d) 8,301 8,369
6.883% due 09/01/2023 (d) 12,200 12,502
6.919% due 07/01/2023 (d) 2,262 2,324
6.930% due 05/01/2023 (d) 1,246 1,276
6.931% due 09/01/2023 (d) 1,692 1,718
6.934% due 08/01/2023 (d) 6,243 6,339
6.942% due 07/01/2024 (d) 2,184 2,236
6.948% due 08/01/2023 (d) 1,182 1,203
6.978% due 01/01/2024 (d) 555 572
6.984% due 08/01/2024 (d) 375 383
7.000% due 01/01/2000-07/01/2028 (g) 16,809 16,873
7.013% due 01/01/2024 (d) 553 566
7.036% due 04/01/2023 (d) 583 590
7.059% due 08/01/2023 (d) 550 569
7.075% due 05/01/2027 (d) 1,260 1,286
7.095% due 11/01/2023 (d) 419 430
7.102% due 06/01/2024 (d) 1,258 1,293
7.125% due 09/01/2023 (d) 2,693 2,772
7.129% due 08/01/2023 (d) 11 11
7.157% due 10/01/2023 (d) 511 528
7.198% due 10/01/2023 (d) 1,726 1,771
7.208% due 10/01/2023 (d) 1,217 1,258
7.210% due 10/25/2023 (d) 18,319 19,200
7.230% due 11/01/2023 (d) 434 438
7.241% due 04/01/2029 (d) 1,626 1,677
7.270% due 04/01/2024 (d) 8,222 8,453
7.282% due 09/01/2027 (d) 3,185 3,284
7.333% due 11/01/2023 (d) 349 353
7.500% due 09/01/2003-10/14/2029 (g) 59,502 59,867
7.533% due 09/01/2023 (d) 1,717 1,738
7.550% due 10/01/2023 (d) 1,845 1,868
7.555% due 10/01/2023 (d) 1,137 1,151
7.750% due 04/01/2007 30 30
8.000% due 10/01/2007-10/01/2027 (g) 4,650 4,779
8.250% due 08/01/2007-12/01/2009 (g) 224 230
8.500% due 09/01/2001-01/01/2028 (g) 28,637 29,720
8.750% due 02/01/2001-12/01/2010 (g) 184 190
8.900% due 11/15/2020 15,239 15,694
9.000% due 01/01/2002-09/15/2020 (g) 737 767
9.250% due 06/01/2009-11/01/2013 (g) 117 121
9.500% due 08/01/2001-06/01/2021 (g) 1,691 1,787
9.750% due 11/01/2004-05/01/2009 (g) 51 54
10.000% due 06/01/2004-11/15/2019 (g) 860 895
10.250% due 03/15/2009-05/01/2009 (g) 1,361 1,470
11.000% due 09/01/2000-07/01/2019 (g) 724 784
68 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
11.250% due 10/01/2009-09/01/2015 (g) $ 138 $ 150
11.500% due 03/01/2000-05/01/2000 (g) 3 3
12.500% due 12/01/2012 21 23
13.250% due 10/01/2013 81 93
14.000% due 04/01/2016 24 28
15.500% due 08/01/2011-11/01/2011 (g) 16 18
16.250% due 05/01/2011 3 3
----------
2,980,780
==========
Federal Housing Administration 1.6%
6.500% due 02/15/2001-03/01/2040 (g)(j) 14,652 14,555
6.630% due 05/28/2039-07/01/2040 (g) 3,091 3,043
6.687% due 07/25/2040 1,491 1,492
6.750% due 02/01/2022-05/28/2039 (g) 11,619 11,692
6.755% due 06/25/2039 16,213 15,560
6.770% due 05/28/2039 19,300 19,451
6.780% due 05/28/2039 6,162 6,172
6.790% due 05/01/2039 10,920 10,489
6.830% due 12/01/2039-08/01/2041 (g) 19,216 19,062
6.875% due 11/01/2015 3,153 3,134
6.880% due 02/01/2041 11,520 11,592
6.896% due 07/01/2020 24,706 24,682
6.900% due 12/01/2040 3,469 3,494
6.930% due 01/01/2036 21,741 21,215
7.000% due 11/15/2040 3,645 3,736
7.050% due 05/28/2039-03/25/2040 (g) 4,517 4,431
7.125% due 03/01/2034 4,444 4,489
7.211% due 12/01/2021 2,792 2,831
7.250% due 12/01/2021-04/30/2039 (g) 20,116 20,516
7.310% due 07/30/2039 23,566 23,785
7.315% due 08/01/2019 34,827 33,270
7.317% due 05/01/2019 4,915 4,931
7.375% due 03/01/2019-01/01/2024 (g) 11,469 11,534
7.400% due 02/01/2021 2,403 2,429
7.430% due 12/01/2016-05/01/2025 (g) 90,545 91,678
7.450% due 04/01/2040 7,616 7,561
7.465% due 11/01/2019 34,279 34,846
7.500% due 03/01/2032-09/30/2039 (g) 20,131 20,119
7.630% due 08/01/2041 2,028 2,038
7.650% due 11/01/2018-11/01/2040 (g) 7,560 7,640
7.700% due 11/15/2039 6,753 6,702
7.750% due 11/15/2039 7,033 7,025
8.250% due 10/01/2039 4,722 4,786
----------
459,980
==========
Federal National Mortgage Association 3.4%
5.500% due 02/01/2014-10/14/2028 (g) 213,191 191,547
5.650% due 04/25/2005 91 91
5.654% due 09/01/2017 (d) 4,708 4,557
5.730% due 05/01/2018-03/01/2033 (d)(g) 17,840 17,453
5.740% due 08/01/2029 (d) 1,067 1,043
5.745% due 09/01/2024 (d) 2,832 2,778
5.746% due 05/01/2036 (d) 1,151 1,122
5.748% due 10/01/2032 (d) 16,800 16,433
5.753% due 11/01/2035-05/01/2036 (d)(g) 107,077 104,560
5.758% due 05/01/2036 (d) 57,590 56,160
6.000% due 05/01/2000-01/01/2029 (g) 126,696 120,378
6.194% due 04/01/2027 (d) 167 167
6.200% due 04/25/2005 379 379
6.250% due 07/25/2007 100 100
6.375% due 10/25/2029 53,570 52,448
6.386% due 09/01/2022 (d) 1,553 1,577
6.390% due 05/25/2036 17,144 13,765
6.407% due 12/01/2023 (d) 1,036 1,056
6.485% due 09/01/2022 (d) 1,549 1,563
6.500% due 11/01/2003-03/01/2029 (g) 74,439 71,816
6.573% due 04/01/2026 (d) 1,419 1,447
6.600% due 09/25/2018 4,894 4,908
6.629% due 01/01/2024 (d) 473 489
6.632% due 02/01/2026 (d) 597 617
6.637% due 12/01/2027 (d) 9,611 9,777
6.690% due 01/01/2024 (d) 919 949
6.691% due 08/01/2027 (d) 50,516 51,155
6.750% due 08/01/2003 380 384
6.759% due 09/01/2024 (d) 1,453 1,484
6.770% due 09/01/2005 225 226
6.793% due 07/01/2024 (d) 5,562 5,677
6.813% due 10/01/2027 (d) 6,309 6,412
6.832% due 03/01/2025 (d) 3,816 3,913
6.833% due 11/01/2025 (d) 2,416 2,484
6.835% due 07/01/2003 68 68
6.904% due 01/01/2024 (d) 230 238
6.913% due 03/01/2026 (d) 3,231 3,329
6.950% due 11/01/2023-03/25/2026 (d)(g) 468 473
6.977% due 11/01/2025 (d) 4,612 4,726
6.986% due 01/01/2026 (d) 1,517 1,557
6.989% due 11/01/2025 (d) 1,637 1,672
7.000% due 07/01/2001-07/01/2028 (g) 136,412 135,951
7.070% due 01/01/2024 (d) 2,175 2,240
7.083% due 05/01/2026 (d) 728 749
7.096% due 05/01/2024 (d) 2,609 2,732
7.157% due 11/01/2023 (d) 1,058 1,088
7.195% due 09/01/2025 (d) 2,405 2,460
7.250% due 05/01/2002-01/01/2023 (g) 11,176 11,170
7.276% due 12/01/2023 (d) 1,412 1,452
7.350% due 09/01/2027 (d) 2,233 2,313
7.500% due 08/01/2003-10/14/2029 (g) 61,101 61,562
7.566% due 09/01/2023 (d) 3,370 3,479
7.577% due 10/01/2023 (d) 413 421
7.750% due 06/01/2009 190 195
8.000% due 09/01/2001-12/01/2026 (g) 6,030 6,172
8.250% due 10/01/2008-02/01/2017 (g) 588 609
8.500% due 07/01/2001-05/01/2027 (g) 3,027 3,141
9.000% due 10/01/2004-04/01/2017 (g) 1,112 1,160
9.250% due 10/01/2001 9 9
9.500% due 12/01/2006-07/01/2022 (g) 90 97
9.750% due 11/01/2008 71 77
10.000% due 09/01/2003-05/01/2022 (g) 555 602
10.500% due 12/01/2016-04/01/2022 (g) 587 643
10.750% due 03/01/2014 26 28
12.000% due 05/01/2016 12 13
13.000% due 09/01/2013 37 42
13.250% due 09/01/2011 15 18
14.500% due 11/01/2011-01/01/2013 (g) 55 61
14.750% due 08/01/2012-11/01/2012 (g) 201 234
15.000% due 10/15/2012 111 131
15.500% due 10/01/2012-12/01/2012 (g) 19 22
15.750% due 12/01/2011-08/01/2012 (g) 129 153
16.000% due 09/01/2012 133 157
----------
1,000,159
==========
Government National Mortgage Association 15.3%
5.000% due 07/20/2028-08/20/2028 (d)(g) 23,546 23,304
5.500% due 05/20/2028-06/20/2028 (d)(g) 32,532 32,216
5.650% due 10/15/2012 12 11
6.000% due 10/15/2008-10/21/2029 (d)(g) 555,341 521,513
6.125% due 12/20/2020-12/20/2027 (d)(g) 416,315 421,953
6.375% due 06/20/2021-06/20/2027 (d)(g) 593,637 602,320
6.500% due 05/15/2001-10/15/2038 (g) 2,114,771 2,022,814
6.625% due 12/15/2000-01/15/2040 (d)(g) 471,592 477,171
6.750% due 07/15/2001-06/20/2028 (g) 23,349 20,812
6.800% due 09/15/2001-10/15/2040 (g) 3,000 2,947
6.820% due 09/15/2001 10,931 11,095
6.850% due 10/15/2040 6,191 6,255
6.875% due 04/20/2023 (d) 454 461
7.000% due 10/15/2001-11/22/2029 (g) 291,985 286,459
7.125% due 08/20/2027 (d) 51 51
7.500% due 04/15/2007-10/21/2029 (g) 29,888 30,079
8.000% due 05/15/2001-09/20/2026 (g) 2,409 2,478
8.250% due 08/15/2004-05/15/2022 (g) 519 546
8.500% due 06/15/2001-01/20/2027 (g) 7,786 8,053
8.750% due 03/15/2007-07/15/2007 (g) 104 108
9.000% due 06/15/2001-07/20/2022 (g) 4,891 5,150
9.250% due 10/15/2001-12/20/2016 (g) 272 284
9.500% due 04/15/2001-08/15/2023 (g) 4,371 4,693
9.750% due 09/15/2002-01/15/2021 (g) 172 182
10.000% due 04/15/2001-02/15/2025 (g) 3,622 3,953
10.250% due 10/15/1999-02/20/2019 (g) 28 31
10.500% due 06/15/2004-04/20/2016 (g) 230 246
11.000% due 01/15/2001-03/15/2019 (g) 124 137
11.250% due 03/15/2001-12/20/2015 (g) 38 43
11.500% due 10/15/2010-05/15/2013 (g) 10 12
12.000% due 02/15/2000-01/15/2015 (g) 65 74
1999 Semi-Annual Report See accompanying notes 69
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
12.500% due 01/15/2011 $ 1 $ 2
13.000% due 12/15/2012-10/15/2014 (g) 25 29
13.250% due 10/20/2014 20 23
13.500% due 11/15/2012-12/15/2012 (g) 6 7
15.000% due 02/15/2012-10/15/2012 (g) 112 134
16.000% due 01/15/2012-05/15/2012 (g) 73 87
17.000% due 11/15/2011-12/15/2011 (g) 77 87
-----------
4,485,820
===========
Other Mortgage-Backed Securities 0.6%
Aames Mortgage Trust
7.275% due 05/15/2020 9 9
Allied Waste North America, Inc.
8.188% due 07/30/2006 (d) 27,045 26,910
8.250% due 07/30/2007 (d) 7,573 7,573
8.438% due 07/30/2007 (d) 20,554 20,479
Bank of America
9.000% due 03/01/2008 48 48
Citibank, NA
8.000% due 07/25/2018 56 57
DBL Mortgage Funding
9.500% due 08/01/2019 8 8
Federal Home Loan Mortgage Corp.
11.875% due 06/15/2013 45 48
First Interstate Bancorp
9.125% due 01/01/2009 (j) 11 11
General Electric Credit Corp.
8.000% due 03/01/2002 (j) 33 33
7.250% due 07/25/2011 4,807 4,821
German American Capital Corp.
8.360% due 09/30/2002 1,976 1,972
6.581% due 07/01/2018 (d) 8,665 8,506
Great Western Savings & Loan
5.580% due 08/01/2017 (d) 137 135
Guardian
6.601% due 12/25/2018 (d) 98 85
Home Savings of America
8.464% due 08/01/2006 75 74
5.464% due 05/25/2027 (d) 2,560 2,489
6.121% due 08/20/2029 (d) 9,844 9,906
Imperial Savings & Loan
10.000% due 09/01/2016 122 127
8.238% due 01/25/2017 (d) 69 69
8.828% due 07/25/2017 (d) 279 278
LTC Commercial Corp.
7.100% due 11/28/2012 3,712 3,732
MDC Mortgage Funding
8.031% due 01/25/2025 (d) 208 212
Merrill Lynch Mortgage
7.883% due 06/15/2021 (d) 1,229 1,220
Mid-State Trust
8.330% due 04/01/2030 68,694 70,663
Morgan Stanley Mortgage
8.150% due 07/20/2021 7 7
Resolution Trust Corp.
6.800% due 09/25/2020 (d) 359 338
6.968% due 05/25/2029 (d) 3,940 3,893
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 964 991
Sears Mortgage
12.000% due 02/25/2014 755 756
7.217% due 10/25/2022 (d) 2,708 2,738
Western Federal Savings & Loan
6.269% due 11/25/2018 (d) 27 27
-----------
168,215
===========
Stripped Mortgage-Backed Securities 0.1%
Bear Stearns Mortgage Securities, Inc. (IO)
7.200% due 07/25/2024 449 39
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 406 16
6.500% due 11/15/2006 1,022 39
6.500% due 03/15/2007 1,339 48
5.750% due 09/15/2007 (d) 6,401 428
6.000% due 10/15/2007 427 27
6.000% due 01/15/2008 179 11
5.428% due 02/15/2008 (d) 639 59
6.400% due 10/15/2008 115 11
6.500% due 08/15/2016 1,378 43
6.500% due 08/15/2017 305 12
7.000% due 04/15/2018 1,145 81
7.500% due 08/15/2018 68 2
8.845% due 01/15/2021 2 51
9.000% due 05/15/2022 119 29
6.500% due 09/15/2023 391 51
6.500% due 06/15/2029 74,088 24,693
Federal National Mortgage Association (IO)
6.750% due 09/25/2004 1 0
7.000% due 06/25/2005 3 0
6.500% due 07/25/2006 2,191 84
7.272% due 09/25/2006 4 36
6.500% due 02/25/2007 2,181 148
6.500% due 07/25/2007 757 35
6.500% due 09/25/2007 2,818 207
6.500% due 10/25/2007 1,002 62
0.100% due 03/25/2009 (d) 31,999 574
7.000% due 08/25/2015 625 6
7.000% due 08/25/2016 254 5
6.500% due 08/25/2020 2,666 340
10.070% due 01/25/2021 0 4
7.500% due 04/25/2021 1,887 305
9.032% due 08/25/2021 7 182
0.950% due 11/25/2021 (d) 30,703 519
6.500% due 10/25/2022 212 20
6.500% due 01/25/2023 3,321 552
Federal National Mortgage Association (PO)
0.000% due 09/01/2007 846 673
0.000% due 02/25/2021 1,299 1,262
0.000% due 06/25/2022 934 894
0.000% due 08/25/2023 295 196
PaineWebber (IO)
13.595% due 08/01/2019 1 60
Vendee Mortgage Trust (IO)
0.542% due 06/15/2023 (d) 173,629 3,072
-----------
34,876
-----------
Total Mortgage-Backed Securities 16,004,153
(Cost $16,239,569) ===========
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 8.8%
- --------------------------------------------------------------------------------
Advanta Mortgage Loan Trust
5.575% due 05/25/2027 (d) 2,536 2,534
Advanta Revolving Home Equity Loan Trust
5.750% due 01/25/2024 (d) 35,400 35,400
AFC Home Equity Loan Trust
6.623% due 10/25/2026 (d) 3,487 3,518
Allied Waste North America, Inc.
8.438% due 07/30/2007 (d) 4,327 4,327
America West Airlines
10.500% due 01/02/2004 (d) 23 22
American Express Credit Account Master Trust
6.800% due 12/15/2003 1,500 1,504
American Stores
5.613% due 08/30/2004 20,000 19,775
Americredit Automobile Receivable Trust
6.540% due 05/12/2001 352 353
5.304% due 10/12/2002 23,000 22,810
5.780% due 05/12/2003 43,000 42,342
Amresco Residential Securities
5.539% due 10/25/2027 (d) 6,381 6,378
5.494% due 05/25/2028 (d) 11,106 11,139
Arcadia Automobile Receivables Trust
6.300% due 07/16/2001 603 604
6.250% due 09/15/2002 83,500 83,396
5.900% due 11/15/2002 22,725 22,714
6.300% due 07/15/2003 26,025 25,975
6.900% due 12/15/2003 26,800 26,773
Associates Manufactured Housing
7.000% due 03/15/2027 9,086 9,126
Auto Receivables Trust
6.500% due 04/16/2003 4 4
70 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Banc One Home Equity Trust
6.460% due 06/25/2029 $ 53,462 $ 53,278
Bayview Financial Acquisition
5.889% due 02/25/2029 (d) 6,361 6,365
Brazos Student Loan Finance Co.
5.495% due 06/01/2023 (d) 32,700 32,095
5.200% due 12/01/2025 (d) 24,015 24,000
California Infrastructure
6.150% due 06/25/2002 11,356 11,367
Champion Home Equity Loan Trust
5.599% due 03/25/2029 (d) 6,201 6,155
Charter Commercial Holdings LLC
7.810% due 03/31/2008 20,000 20,000
Charter Communications
7.890% due 03/31/2008 17,000 17,064
Chase Manhattan Auto Owner Trust
5.750% due 10/15/2001 431 431
Chase Manhattan Grantor Trust
5.200% due 02/15/2002 321 320
6.610% due 09/15/2002 1,828 1,836
Chase Mortgage Finance Corp.
6.750% due 10/25/2028 30,000 26,437
CMC Securities Corporation IV
7.250% due 11/25/2027 1,227 1,206
Columbia/HCA Healthcare
7.125% due 06/11/2000 25,000 24,750
Community Program Loan Trust
4.500% due 10/01/2018 26,417 23,891
4.500% due 04/01/2029 26,000 19,500
Conseco
6.650% due 09/25/2029 26,000 26,000
Contimortgage Home Equity Loan Trust
6.370% due 10/15/2012 (d) 13,248 13,222
6.130% due 03/15/2013 5,000 4,989
6.150% due 03/15/2013 (d) 3,428 3,429
6.400% due 07/15/2014 2,000 1,992
6.770% due 01/25/2018 41,700 41,600
6.990% due 03/15/2021 350 351
6.930% due 11/25/2022 36,300 36,093
5.409% due 06/15/2028 (d) 4,707 4,703
5.479% due 08/15/2028 (d) 3,934 3,911
Copelco Capital Funding Corp.
6.340% due 07/20/2004 22 22
CPS Auto Trust
5.995% due 06/15/2002 7,000 6,999
CS First Boston Mortgage Securities Corp.
6.750% due 09/25/2028 6,960 6,586
Daimler-Benz Vehicle Trust
6.050% due 03/31/2005 4,691 4,692
Delta Air Lines Equipment Trust
9.230% due 07/02/2002 (j) 7,081 7,405
10.500% due 01/02/2007 (j) 6,839 7,926
10.570% due 01/02/2007 (j) 15,881 19,156
9.550% due 01/02/2008 (j) 7,773 8,513
10.430% due 01/02/2011 960 1,112
10.000% due 06/05/2013 10,828 12,499
Delta Funding Home Equity Loan
6.140% due 02/15/2018 46,849 46,784
Discover Card Master Trust
5.600% due 05/16/2006 1,600 1,541
5.301% due 10/16/2013 (d) 400 401
Duck Auto Grantor Trust
5.650% due 03/15/2004 12,852 12,775
EQCC Home Equity Loan Trust
6.710% due 07/15/2011 330 331
5.540% due 10/15/2027 (d) 1,211 1,195
Equivantage Home Equity Loan Trust
6.550% due 10/25/2025 104 104
Felco Funding LLC
5.980% due 09/15/2001 500 500
Fidelity Equipment Lease Trust
5.860% due 09/15/2001 27,949 27,818
First Omni Bank
6.650% due 09/15/2003 (d) 1,500 1,510
First Security Auto Grantor Trust
6.100% due 04/15/2003 1,359 1,361
First Security Corp.
5.875% due 11/01/2003 9,000 8,614
First Union Master Credit Card Trust
5.096% due 09/15/2003 88,750 88,860
Flag Limited
7.213% due 12/15/2004 (d) 13,501 13,265
Fleet Financial Credit Association
7.760% due 10/18/2017 28,900 28,781
FMAC Loan Receivables Trust
6.200% due 09/15/2020 330 325
6.500% due 09/15/2020 252 248
6.830% due 09/15/2020 680 621
Ford Credit Auto Owner Trust
5.800% due 10/15/2000 361 361
5.310% due 04/16/2001 209 209
5.770% due 11/15/2001 20,000 19,957
Ford Credit Grantor Trust
6.750% due 09/15/2000 639 639
Ford Motor Credit Corp.
5.500% due 02/15/2003 5,300 5,246
Fred Meyer, Inc.
6.250% due 03/19/2003 (d) 12,405 12,297
General Motors Acceptance Corp.
6.500% due 04/15/2002 12,475 12,487
5.770% due 11/18/2025 (d) 50,000 49,920
Green Tree Financial Corp.
7.150% due 07/15/2027 711 715
6.490% due 03/15/2028 59,750 59,784
6.420% due 11/15/2028 2,854 2,857
6.870% due 04/01/2030 1,105 1,023
6.660% due 06/01/2030 1,405 1,263
Green Tree Floorplan Receivables Master Trust
5.750% due 11/01/2004 46,000 46,000
Green Tree Home Improvement Loan
6.390% due 01/15/2029 16,088 16,122
Green Tree Recreational Equipment
6.430% due 04/17/2006 3,300 3,300
Household Consumer Loan Trust
5.800% due 08/15/2006 (d) 26,231 25,927
IKON Receivables LLC
5.600% due 05/15/2005 31,029 30,917
IMC Home Equity Loan Trust
7.373% due 07/25/2026 (d) 875 879
IMPAC Secured Assets CMN Owner
7.770% due 07/25/2025 2,000 1,980
Indymac Home Equity Loan
5.346% due 10/25/2029 (d) 21,965 21,969
Intergrated Health Services
8.875% due 12/31/2005 (d) 14,775 12,116
LP Timberland Limited
5.725% due 11/13/1999 (d) 10,000 9,850
Korea National Housing
8.438% due 05/23/2001 65,000 65,975
Lyondell Petroleum
8.303% due 06/17/2003 7,500 7,463
8.674% due 06/17/2003 3,448 3,431
8.980% due 12/31/2003 (d) 79,700 79,352
MBNA Master Credit Card Trust
6.050% due 11/15/2002 245 245
Mellon Bank Home Equity
5.900% due 10/25/2010 20,924 20,826
Merit Securities Corp.
6.160% due 07/28/2033 11,052 10,992
7.880% due 12/28/2033 34,400 34,024
Metlife Capital Equipment Loan Trust
6.850% due 05/20/2008 (d) 320 321
Metris Master Trust
5.943% due 04/20/2006 (d) 20,000 20,150
Money Store Home Equity Trust
6.115% due 06/15/2010 1,162 1,160
7.550% due 02/15/2020 500 503
6.345% due 11/15/2021 (d) 2,171 2,168
5.399% due 05/15/2025 (d) 8,800 8,802
1999 Semi-Annual Report See accompanying notes 71
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Morgan Stanley Capital
5.394% due 07/25/2027 (d) $ 1,438 $ 1,433
MPC Natural Gas Funding Trust
6.200% due 03/15/2013 9,731 9,397
Myra-United Mexican States
5.813% due 10/20/2006 (d) 444 402
5.875% due 12/23/2006 (d) 931 819
6.093% due 12/23/2006 (d) 1,283 1,155
6.063% due 12/23/2006 (d) 1,019 897
5.875% due 12/23/2006 (d) 23 21
5.813% due 12/23/2006 (d) 6,045 5,444
5.875% due 12/23/2006 (d) 3,304 2,865
5.813% due 12/23/2006 (d) 5,253 4,691
5.733% due 12/23/2006 (d) 1,561 1,406
5.875% due 12/23/2006 (d) 2,389 2,103
National Medical Care
6.563% due 09/30/2003 (d) 58,333 57,706
NationsBank Corp.
5.850% due 06/15/2002 615 616
Nationsbank Credit Card Master Trust
6.450% due 04/15/2003 225 226
Newcourt Receivable Asset Trust
6.240% due 12/20/2004 8 8
Nomura CBO Limited
6.670% due 05/15/2009 1,900 1,941
Norwest Asset Securities Corp
6.500% due 04/25/2013 21,149 20,332
6.500% due 06/25/2013 10,957 10,529
7.500% due 03/25/2027 28,340 27,874
6.750% due 05/25/2028 27,707 25,651
6.750% due 07/25/2028 12,657 11,611
6.200% due 09/25/2028 19,077 19,018
NPF XI, Inc.
6.815% due 07/01/2001 8,860 8,886
NPF XII, Inc.
7.050% due 06/01/2003 31,000 30,758
Olympic Automobile Receivable Trust
6.050% due 08/15/2002 19,784 19,814
PP&L Transition Bond Co.
6.830% due 03/25/2007 28,800 28,905
Premiere Auto Trust
6.575% due 10/06/2000 602 603
5.770% due 01/06/2002 13,025 13,018
Primedia, Inc.
8.130% due 07/31/2004 (d) 20,000 19,975
Republic of Korea
8.063% due 04/08/2001 (d) 10,000 10,038
Residential Asset Securities Corp.
6.960% due 07/25/2014 55,000 54,983
6.240% due 02/25/2017 7,170 7,112
6.600% due 01/25/2020 5,200 5,190
8.000% due 10/25/2024 (d) 6,965 6,969
5.464% due 10/25/2027 (d) 3,803 3,783
6.750% due 03/25/2028 40,000 37,166
Residential Funding Mortgage
7.000% due 10/29/2029 26,041 24,706
RJR Nabisco
7.500% due 12/31/2001 (d) 25,000 24,531
Salomon Brothers Mortgage Securities
5.639% due 06/25/2029 (d) 51,646 51,630
5.960% due 11/10/2029 27,900 27,900
Saxon Asset Securities Trust
6.475% due 11/25/2020 31 30
5.613% due 05/25/2029 (d) 13,327 13,337
Sears Credit Account Master Trust
6.050% due 01/16/2008 500 494
7.000% due 07/15/2008 500 508
Starwood Hotels & Resorts Worldwide, Inc.
9.133% due 02/23/2003 (d) 20,000 20,000
Stone Container Corp.
8.750% due 10/01/2003 (d) 5,433 5,446
The Money Store Home Equity Trust
7.380% due 03/15/2017 5,044 5,047
6.490% due 10/15/2026 17,000 16,791
Total Renal Care Holdings
8.125% due 03/31/2008 47,520 47,461
Toyota Auto Lease Trust
6.450% due 04/26/2004 300 300
UCFC Manufactured Housing
5.240% due 01/15/2010 (d) 13,063 13,045
UniCapital Corp.
6.540% due 07/23/2002 39,800 39,800
United Air Lines Equipment Trust
9.200% due 03/22/2008 4,137 4,404
10.360% due 11/13/2012 7,000 8,116
10.020% due 03/22/2014 6,925 7,744
10.850% due 07/05/2014 34,111 41,102
10.850% due 02/19/2015 1,500 1,769
10.125% due 03/22/2015 14,300 16,803
9.060% due 06/17/2015 5,000 5,121
9.210% due 01/21/2017 2,000 2,131
USAA Auto Loan Grantor Trust
6.150% due 05/15/2004 3,139 3,137
5.800% due 01/15/2005 5,353 5,334
WFS Financial Owner Trust
6.050% due 07/20/2001 230 229
6.500% due 09/20/2001 1,095 1,098
WWC Mortgage Loan
5.831% due 09/25/2029 97,000 97,000
Ziff-Davis, Inc.
8.813% due 03/31/2006 15,000 15,009
---------
Total Asset-Backed Securities 2,578,221
(Cost $2,590,257) =========
- ---------------------------------------------------------------------
SOVEREIGN ISSUES 3.8%
- ---------------------------------------------------------------------
African Development Bank
9.300% due 07/01/2000 200 205
Alcan Aluminum
5.875% due 04/01/2000 250 250
Banco Nacional de Comercio Exterior
7.500% due 07/01/2000 2,000 2,011
Cemex SA
10.750% due 07/15/2000 6,250 6,406
Central Bank Philippines
6.000% due 06/01/2008 (d) 14,240 13,172
Citibank Nassau
9.750% due 04/26/2000 17,100 17,142
City of Buenos Aires
11.250% due 04/11/2007 5,000 4,218
Credit Lyonnais
5.688% due 07/21/2000 (d) 6,750 6,721
Embotelladora Africa SA
9.875% due 03/15/2006 8,500 8,844
Export-Import Bank Korea
6.500% due 11/15/2006 5,000 4,738
Hellenic Republic
5.828% due 06/06/2001 (d) 20,000 20,091
Hydro Quebec
7.375% due 02/01/2003 150 154
9.400% due 02/01/2021 500 608
8.500% due 12/01/2029 5,085 5,610
9.375% due 04/15/2030 600 727
9.500% due 11/15/2030 2,370 2,911
Kingdom of Sweden
10.250% due 11/01/2015 500 643
Korea Development Bank
6.510% due 10/20/2000 11,000 10,977
8.600% due 03/25/2002 1,600 1,633
6.500% due 11/15/2002 2,040 1,967
7.125% due 04/22/2004 19,125 18,560
Korean Export-Import Bank
7.125% due 09/20/2001 10,000 9,872
Nacional Financiera
8.693% due 12/01/2000 (d) 510 521
9.750% due 03/12/2002 10,000 10,200
6.875% due 05/08/2003 (d) 7,750 7,401
Petroleos Mexicanos
7.750% due 10/29/1999 1,000 1,000
9.375% due 12/02/2008 33,150 33,794
72 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
=============================================================================
Providence of Newfoundland
9.000% due 06/01/2019 $ 500 $ 576
Province of Buenos Aires
12.500% due 03/15/2002 10,400 9,880
Province of Nova Scotia
9.375% due 07/15/2002 1,000 1,069
Province of Ontario
6.125% due 06/28/2000 800 803
7.750% due 06/04/2002 200 207
7.625% due 06/22/2004 1,000 1,042
7.000% due 08/04/2005 1,000 1,015
5.500% due 10/01/2008 10,000 9,130
Province of Quebec
7.500% due 07/15/2002 6,000 6,158
8.800% due 04/15/2003 100 107
5.650% due 06/11/2004 (d) 15,500 15,475
7.125% due 02/09/2024 910 873
Republic of Argentina
10.950% due 11/01/1999 7,575 7,604
14.250% due 11/30/2002 (d) 56,511 53,403
11.447% due 04/10/2005 (d) 143,500 126,474
Republic of Bulgaria
6.500% due 07/28/2011 (d) 5,000 3,545
2.750% due 07/28/2012 (d) 20,000 12,563
6.500% due 07/28/2024 (d) 10,000 6,874
Republic of Chile
6.875% due 04/28/2009 25,000 23,491
Republic of Colombia
8.750% due 10/06/1999 1,000 1,000
7.625% due 02/15/2007 6,200 4,828
8.625% due 04/01/2008 5,000 4,024
Republic of Germany
0.000% due 07/04/2028 61,000 55,643
Republic of Korea
7.594% due 04/08/2000 (d) 88,000 88,330
8.281% due 04/08/2000 (d) 31,044 31,160
Republic of Philippines
6.377% due 01/05/2005 (d) 16,652 15,905
6.000% due 12/01/2007 10,438 9,629
6.500% due 12/01/2017 4,216 3,544
Republic of Poland
5.000% due 10/27/2014 35,265 31,033
3.000% due 10/27/2024 (d) 33,000 20,090
Republica Orient Uruguay
7.250% due 05/04/2009 2,500 2,400
Royal Bank of Scotland Group PLC
6.400% due 04/01/2009 15,000 13,898
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 42,300 43,397
State of Israel
6.200% due 06/14/2003 25 24
State of Qatar
9.500% due 05/21/2009 30,000 30,975
United Mexican States
6.313% due 03/20/2000 (d) 306 304
6.625% due 03/20/2000 (d) 153 150
5.750% due 04/07/2000 (d) 54,645 54,027
6.000% due 04/07/2000 (d) 26,945 26,770
6.768% due 06/27/2002 (d) 101,701 98,922
7.000% due 06/02/2003 200 127
6.263% due 04/07/2004 (d) 17,681 18,899
9.060% due 04/07/2004 (d) 35,486 35,681
6.250% due 12/31/2019 6,250 4,647
5.874% due 12/31/2019 8,000 6,896
5.875% due 12/31/2019 (d) 49,500 42,666
------------
Total Sovereign Issues 1,115,634
(Cost $1,115,536) ============
- -----------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.6%
- -----------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 2,475 2,506
City of Montreal
11.500% due 09/20/2000 C$ 7,000 5,032
Commonwealth of Canada
6.500% due 06/01/2004 1,000 703
Commonwealth of New Zealand
0.000% due 03/15/2002 N$ 32,500 74,468
0.000% due 04/15/2003 05,400 52,959
4.500% due 02/15/2016 23,000 11,886
Export-Import Bank Korea
3.162% due 10/06/2000 (d) DM 5,000 2,655
France Telecom
2.000% due 01/01/2004 FF 9,761 1,824
Interamerican Development Bank
5.750% due 04/15/2004 N$ 35,400 17,115
Korea Development Bank
2.850% due 05/14/2001 (d) DM 50,000 26,622
2.560% due 06/26/2001 JY 2,500,000 23,870
Newcourt Credit Group
7.625% due 06/28/2001 C$ 9,400 6,475
Province of Saskatchewan
9.125% due 02/15/2021 $ 3,000 3,611
Republic of Argentina
5.500% due 03/27/2001 JY 4,290,000 40,130
Republic of Philippines
8.000% due 09/17/2004 EC 10,000 10,982
Reynolds, R.J
6.875% due 11/22/2000 DM 9,500 5,277
United Mexican States
3.100% due 04/24/2002 JY 2,542,000 23,663
8.750% due 05/30/2002 BP 23,000 37,527
7.000% due 06/02/2003 C$ 30,000 19,250
6.630% due 12/31/2019 FF 60,000 8,920
1.573% due 12/31/2019 (d) JY 1,662,500 12,736
3.850% due 12/31/2019 9,145,000 74,267
------------
Total Foreign Currency-Denominated Issues 462,478
(Cost $445,993) ============
- -----------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.3%
- -----------------------------------------------------------------------------
Banking & Finance 0.1%
ACOM Co. Limited
0.000% due 03/31/2002 150,000 1,917
American Express
1.125% due 02/19/2003 1,425 1,731
Bell Atlantic Financial Services
5.750% due 04/01/2003 7,000 7,088
Deutsche Bank Financial
0.000% due 02/12/2017 13,150 6,189
Fuji International Finance Trust
0.250% due 02/01/2002 720,000 6,969
Hellenic Finance
2.000% due 07/15/2003 2,000 2,191
Morgan St. Dean Witter
0.000% due 03/02/2006 5,860 5,450
Swiss Life Finance Limited
2.000% due 05/20/2005 1,500 1,438
------------
32,973
============
Consumer Discretionary 0.1%
Costco Wholesale Corp.
0.000% due 08/19/2017 2,000 1,730
Home Depot, Inc.
3.250% due 10/01/2001 1,000 2,966
Interpublic Group Co., Inc.
1.870% due 06/01/2006 3,000 2,760
------------
7,456
============
Energy 0.0%
Devon Energy Corp.
4.900% due 08/15/2008 2,000 1,970
Diamond Offshore Drill
3.750% due 02/15/2007 $ 2,250 $ 2,368
------------
4,338
============
Health Care 0.0%
Alpharma, Inc.
5.750% due 04/01/2005 1,000 1,325
Athena Neurosciences, Inc.
4.750% due 11/15/2004 2,000 2,248
Wellpoint Health Network
0.000% due 07/02/2019 5,000 2,906
------------
6,479
============
1999 Semi-Annual Report See accompanying notes 73
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Industrial 0.0%
Sanmina Corp.
4.250% due 05/01/2004 3,000 3,353
---------
Technology 0.1%
ASM Lithography Holding
2.500% due 04/09/2005 1,500 843
Hewlett-Packard Co.
0.000% due 10/14/2017 5,950 3,600
Intel Corp.
4.000% due 09/01/2004 1,000 2,489
Mindspring Enterprises
5.000% due 04/15/2006 2,000 1,858
Stmicroelectron
0.000% due 09/22/2009 3,500 2,853
U.S. Cellular Corp.
0.000% due 06/15/2015 3,500 2,244
Veritas Software Corp.
1.856% due 08/13/2006 2,500 2,644
Xerox Corp.
0.570% due 04/21/2018 4,000 2,225
---------
18,756
=========
Utilities 0.0%
Clear Channel Communications
2.625% due 04/01/2003 2,200 3,091
Telefonos De Mexico SA
4.250% due 06/15/2004 3,400 3,239
---------
6,330
---------
Total Convertible Bonds & Notes 79,685
(Cost $75,619) =========
- --------------------------------------------------------------------------------
PREFERRED STOCK 0.1%
- --------------------------------------------------------------------------------
Shares
Banco Bilbao Vizcaya International
9.750% due 12/31/2049 266,217 6,922
Barclays Bank
11.500% due 12/31/2049 215,500 5,657
CSC Holdings, Inc.
11.125% due 12/31/2049 22,937 2,460
Fresenius Medical Care
7.875% due 02/01/2008 4,000 3,675
Home Ownership Funding
13.331% due 12/31/2049 1,125 934
News Corp. Limited
5.000% due 11/12/2016 100,000 5,831
TCI Communications, Inc.
10.000% due 05/31/2045 49,000 1,277
9.720% due 12/31/2036 622,553 16,381
Unocal Capital Trust
6.250% due 12/31/2049 402 22
---------
Total Preferred Stock 43,159
(Cost $45,785) =========
- --------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK 0.1%
- --------------------------------------------------------------------------------
Banking & Finance 0.0%
Lincoln National Corp. Cvt. Pfd.
7.750% due 08/16/2001 100,000 2,094
Newell Financial Trust Cvt. Pfd.
5.250% due 12/01/2027 50,000 2,025
Tokai Bank Cvt. Pfd.
0.000% due 10/01/2004 72,000 574
Union Pacific Capital Trust Cvt. Pfd.
6.250% due 04/01/2028 50,000 $ 2,281
---------
6,974
=========
Energy 0.1%
Apache Corp. Cvt. Pfd.
6.500% due 05/15/2002 60,000 2,400
Coastal Corp. Cvt. Pfd.
6.625% due 08/16/2002 135,000 3,518
Kerr-McGee Corp. Cvt. Pfd.
5.500% due 08/01/2004 77,000 3,022
---------
8,940
=========
Industrial 0.0%
Sealed Air Corp. Cvt. Pfd.
4.000% due 04/01/2018 40,000 2,030
---------
Technology 0.0%
Verio, Inc. Cvt. Pfd.
6.750% due 08/01/2007 45,000 1,941
---------
Utilities 0.0%
Cox Communications, Inc. Cvt. Pfd.
7.000% due 08/16/2002 50,000 2,888
Reliant Energy, Inc. Cvt. Pfd.
7.000% due 07/01/2000 20,000 2,040
Utilicorp United Cvt. Pfd.
9.750% due 11/16/2002 100,000 2,525
---------
7,453
---------
Total Convertible Preferred Stock 27,338
(Cost $29,024) =========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 3.6%
- --------------------------------------------------------------------------------
Principal
Amount
(000s)
Certificates of Deposit 0.3%
Commerzbank AG
6.200% due 05/10/2000 $ 85,500 84,854
---------
Commercial Paper 2.9%
American Express
5.280% due 10/12/1999 1,400 1,388
5.280% due 10/27/1999 22,800 22,703
Associates First Capital Corp.
5.280% due 10/12/1999 3,400 3,395
Banc One Finance Corp.
5.750% due 02/09/2000 24,000 23,514
Bellsouth Telecom
5.270% due 10/04/1999 3,700 3,698
5.320% due 10/04/1999 1,300 1,299
5.290% due 10/26/1999 5,200 5,181
Coca Cola Co.
5.270% due 10/13/1999 300 299
5.270% due 10/22/1999 6,400 6,380
5.280% due 10/29/1999 2,000 1,992
Crown Cork & Seal Co.
6.250% due 02/11/2000 15,000 14,693
Export Development Corp.
5.270% due 10/04/1999 1,652 1,651
Federal Home Loan Mortgage Corp.
5.190% due 10/07/1999 1,000 999
5.150% due 10/19/1999 900 898
5.200% due 10/28/1999 2,900 2,889
Federal National Mortgage Assn.
5.156% due 10/04/1999 380 380
5.240% due 10/04/1999 200 200
5.160% due 10/27/1999 8,000 7,970
General Electric Capital Corp.
5.300% due 10/18/1999 200 199
5.300% due 10/20/1999 400 399
5.680% due 01/26/2000 5,200 5,107
5.760% due 02/24/2000 25,000 24,416
General Motors Acceptance Corp.
5.300% due 10/19/1999 2,400 2,394
Goodyear Tire & Rubber Co.
6.250% due 01/26/2000 800 784
Hewlett-Packard Co.
5.310% due 10/05/1999 $ 5,400 $ 5,397
5.300% due 10/07/1999 2,400 2,398
IBM Corp.
5.270% due 10/12/1999 1,200 1,198
MCI Worldcom, Inc.
6.180% due 01/27/2000 300 295
5.360% due 01/27/2000 7,500 7,368
5.425% due 01/27/2000 2,100 2,062
5.450% due 01/27/2000 5,000 4,911
5.455% due 01/27/2000 4,800 4,714
74 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------------
<S> <C> <C>
5.460% due 01/27/2000 10,800 10,607
5.475% due 01/27/2000 2,600 2,553
5.485% due 01/27/2000 11,500 11,293
5.515% due 01/27/2000 1,300 1,277
6.040% due 01/27/2000 1,000 982
6.090% due 01/27/2000 1,500 1,473
5.130% due 02/18/2000 100,000 99,996
Mobil Australia
5.300% due 10/25/1999 300 299
Orix America, Inc.
6.000% due 02/09/2000 50,000 48,909
Pennzoil Quaker State
5.530% due 02/18/2000 100,000 97,849
Procter & Gamble Co.
5.280% due 10/04/1999 100 100
5.290% due 10/04/1999 400 400
5.310% due 10/04/1999 200 200
5.280% due 10/20/1999 100 100
5.280% due 10/27/1999 1,900 1,893
Province of British Columbia
5.680% due 03/13/2000 10,000 9,743
Southwestern Public Service
5.280% due 10/22/1999 2,100 2,094
5.750% due 01/26/2000 20,000 19,626
Texas Utilities Co.
5.260% due 01/21/2000 12,600 12,386
5.930% due 01/21/2000 400 393
6.290% due 01/21/2000 1,200 1,177
6.090% due 01/21/2000 1,000 983
5.240% due 01/21/2000 10,500 10,322
5.990% due 01/21/2000 800 786
5.510% due 01/21/2000 3,100 3,047
5.400% due 01/21/2000 5,700 5,604
5.360% due 01/21/2000 6,800 6,685
5.260% due 01/21/2000 45,100 44,337
5.400% due 01/21/2000 10,200 10,027
6.070% due 01/21/2000 1,000 983
TRW, Inc.
6.220% due 02/09/2000 4,700 4,605
United Parcel Service Co.
5.330% due 10/04/1999 4,100 4,098
5.250% due 10/04/1999 6,700 6,697
5.270% due 10/04/1999 300 300
US West Capital Funding
5.960% due 03/24/2000 140,300 136,422
US West Communications
6.246% due 02/08/2000 10,900 10,683
6.090% due 03/24/2000 17,700 17,211
6.220% due 03/24/2000 4,300 4,181
6.210% due 03/24/2000 3,000 2,909
6.190% due 03/24/2000 10,100 9,821
6.090% due 03/24/2000 3,000 2,917
5.990% due 03/24/2000 1,000 972
6.140% due 03/24/2000 5,000 4,862
6.120% due 03/24/2000 33,600 32,600
Warner-Lambert Co.
5.270% due 10/05/1999 900 899
Williams Holdings
5.500% due 01/25/2000 3,000 2,947
6.210% due 01/25/2000 20,000 19,647
5.610% due 01/25/2000 600 589
5.500% due 01/25/2000 800 786
5.360% due 01/25/2000 13,400 13,165
5.670% due 01/25/2000 4,800 4,715
5.360% due 01/25/2000 6,400 6,289
Wisconsin Electric
5.270% due 10/01/1999 $ 900 $ 900
5.290% due 10/15/1999 3,550 3,543
5.300% due 11/02/1999 5,200 5,176
-----------
864,229
===========
Promissory Note 0.2%
Goldman Sachs Group
6.000% due 02/09/2000 75,000 75,000
-----------
Repurchase Agreement 0.1%
State Street Bank
4.800% due 10/01/1999 19,538 19,538
(Dated 09/30/1999. Collateralized by -----------
Federal National Mortgage Association
0.000% 02/01/2000 valued at $19,930,628.
Repurchase proceeds are $19,540,605.)
U.S. Treasury Bills (b) 0.1%
4.739% due 01/13/2000-02/17/2000 (g) 18,825 18,500
-----------
Total Short-Term Instruments 1,062,121
(Cost $1,062,393) ===========
Total Investments (a) 126.1% $36,954,117
(Cost $37,318,886)
Written Options (c) (0.1%) (27,977)
(Premiums $37,891)
Other Assets and Liabilities (Net) (26.0%) (7,614,537)
-----------
Net Assets 100.0% $29,311,603
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 158,519
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (523,288)
-----------
Unrealized depreciation-net $ (364,769)
===========
(b) Securities with an aggregate market value of $128,255
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 1999:
</TABLE>
<TABLE>
<CAPTION>
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------------
<S> <C> <C>
Eurodollar March Futures (03/2000) 496 $ (1,191)
Eurodollar June Futures (06/2000) 2,973 (6,425)
Eurodollar September Futures (09/2000) 11,420 (7,350)
Eurodollar December Futures (12/1999) 3,544 (6,571)
Eurodollar December Futures (12/2000) 6,715 964
Municipal Bond Index (12/1999) 865 (2,470)
Government of Japan 10 Year Note (3/2000) 100 (2,461)
U.S. Treasury 2 Year Note (12/1999) 38 18
U.S. Treasury 5 Year Note (12/1999) 11,118 (1,894)
U.S. Treasury 10 Year Note (12/1999) 32,964 2,868
U.S. Treasury 10 Year Note (03/2000) 650 284
U.S. Treasury 30 Year Bond (12/1999) 5,387 996
U.S. Treasury 30 Year Bond (03/2000) 100 (38)
---------
$ (23,270)
=========
(c) Premiums received on written options:
</TABLE>
<TABLE>
<CAPTION>
# of
Type Contracts Premium Value
- --------------------------------------------------------------------------------------
<S> <C> <C> <C>
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 118.00 Exp. 11/20/1999 900 $ 192 $ 196
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 120.00 Exp. 11/20/1999 21,584 7,215 2,361
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 110.00 Exp. 11/20/1999 18,990 8,323 6,231
Put - OTC U.S.Treasury Note
5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 155,900 646 2
</TABLE>
1999 Semi-Annual Report See accompanying notes 75
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
Call - OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 100.406 Exp. 11/08/1999 165,000 877 1,014
Call - OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 100.469 Exp. 11/08/1999 277,000 1,558 1,643
Put - OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 99.594 Exp. 11/20/1999 246,000 1,441 1,720
Put - CME Eurodollar December Futures
Strike @ 94.250 Exp. 12/13/1999 2,628 657 683
Put - CME Eurodollar December Futures
Strike @ 94.500 Exp. 12/13/1999 2,500 595 1,188
Put - CME Eurodollar December Futures
Strike @ 94.000 Exp. 12/13/1999 27,988 4,925 3,079
Put - CME Eurodollar December Futures
Strike @ 93.500 Exp. 12/18/2000 21,665 9,074 7,908
Put - LIFFE BP 90 Day LIBOR
Strike @ 93.000 Exp. 06/21/2000 179 120 98
Put - LIFFE EURIBOR September Futures
Strike @ 96.000 Exp. 09/18/2000 58 51 48
Put - LIFFE BP 90 Day LIBOR
Strike @ 93.000 Exp. 09/20/2000 1,942 2,217 1,806
-----------------------
$ 37,891 $ 27,977
=======================
</TABLE>
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell BP 25,834 10/1999 $ (82)
Sell C$ 33,873 10/1999 (292)
Sell 9,841 05/2000 32
Sell EC 114,694 10/1999 (1,284)
Sell 4,359 11/1999 (80)
Sell 6,200 01/2000 (269)
Sell 5,391 02/2000 46
Sell 1,283 03/2000 (36)
Buy JY 2,975,392 02/2000 1,134
Sell 18,182,330 02/2000 (4,883)
Sell 229,202 04/2000 (211)
Sell 4,519,202 04/2000 (4,618)
Buy N$ 7,970 10/1999 12
Sell 49,095 10/1999 494
Buy PZ 45,000 01/2000 (378)
Buy 40,000 02/2000 (480)
Buy 10,000 03/2000 15
-----------
$ (10,880)
===========
(f) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
EC - European Currency Unit
FF - French Franc
JY - Japanese Yen
N$ - New Zealand Dollar
PZ - Polish Zloty
(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 September 30, 1999:
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
- ------------------------------------------------------------------------------------------------
<S> <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 $ (8,325)
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 11,635,000 (3,049)
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 7,563,000 (2,037)
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 7,000,000 2,856
Receive floating rate based on 6 months LIBOR and pay
floating rate based on 6 months LIBOR plus 5.950%. In
the event of default of Republic of Argentina Floating
Rate Notes and/or Spread-Adjusted Notes, the Fund can
put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/17/2001 $ 70,000 (704)
Receive floating rate based on 6 months LIBOR and pay
floating rate based on 6 months LIBOR plus 5.700%. In
the event of default of Republic of Argentina Floating
Rate Notes and/or Spread-Adjusted Notes, the Fund can
put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/28/2001 1,300 (17)
Receive floating rate based on 6 months LIBOR and pay
floating rate based on 6 months LIBOR plus 6.150%. In
the event of default of Republic of Argentina Floating
Rate Notes and/or Spread-Adjusted Notes, the Fund can
put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 30,400 (400)
-------------
$ (11,676)
=============
</TABLE>
(l) Subject to a financing transaction.
76 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund II
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 55.7%
- --------------------------------------------------------------------------------
Banking & Finance 39.4%
Allstate Corp.
6.750% due 06/15/2003 $ 9,300 $ 9,215
American Express
5.625% due 01/22/2004 5,000 4,829
AT&T Capital Corp.
5.561% due 04/23/2002 (d) 30,000 29,421
Bank of Hawaii
6.875% due 06/01/2003 7,750 7,782
Bank of New York
6.625% due 06/15/2003 5,000 4,961
BankAmerica Corp.
5.175% due 03/05/2001 (d) 15,000 14,954
Banponce Corp.
6.164% due 12/15/1999 5,000 5,002
Chase Manhattan Corp.
4.960% due 01/20/2000 (d) 5,000 4,998
7.625% due 01/15/2003 5,000 5,139
Chrysler Financial Co. LLC
5.040% due 07/05/2000 (d) 20,000 20,030
4.938% due 06/15/2001 (d) 5,000 5,011
CIT Group, Inc.
6.050% due 06/12/2001 10,000 9,929
Citicorp
7.125% due 06/01/2003 4,000 4,038
Commercial Credit Co.
5.550% due 02/15/2001 30 30
Deutsche Bank Capital Funding Trust I
7.872% due 12/29/2049 45,145 43,189
Dresdner Bank-New York
6.625% due 09/15/2005 7,000 6,746
First Chicago Corp.
6.875% due 06/15/2003 4,000 4,054
Ford Motor Credit Corp.
5.790% due 03/21/2001 (d) 10,000 10,006
8.200% due 02/15/2002 11,100 11,493
5.663% due 03/19/2002 35 35
8.000% due 06/15/2002 5,000 5,180
5.135% due 02/03/2003 (d) 10,000 9,941
5.750% due 02/23/2004 5,500 5,283
General Motors Acceptance Corp.
6.500% due 01/17/2000 17,230 17,268
5.438% due 04/29/2002 (d) 225 225
5.568% due 08/18/2003 (d) 1,700 1,686
Goldman Sachs Group
5.468% due 01/25/2001 (d) 15,000 14,975
5.600% due 04/16/2001 (d) 10,000 9,966
7.800% due 07/15/2002 6,000 6,143
5.900% due 01/15/2003 2,000 1,952
5.179% due 03/19/2003 (d) 5,000 4,992
5.720% due 01/20/2009 (d) 5,000 5,192
Heller Financial, Inc.
5.240% due 04/22/2002 (d) 5,000 5,016
5.571% due 04/28/2003 (d) 15,000 15,000
Household Finance Corp.
5.775% due 06/24/2003 (d) 20,000 19,962
5.875% due 09/25/2004 15,000 14,299
Lehman Brothers Holdings, Inc.
6.249% due 04/02/2002 (d) 20,000 19,988
Merrill Lynch & Co.
6.475% due 03/01/2000 300 300
7.050% due 06/04/2001 16,175 16,376
5.393% due 11/01/2001 (d) 20,000 19,939
5.339% due 06/24/2003 (d) 20,000 19,890
Morgan, J.P. & Co., Inc.
6.000% due 01/15/2009 15,000 13,727
NationsBank Corp.
6.200% due 08/15/2003 10,800 10,574
8.625% due 11/15/2003 1,550 1,654
PNC Bank Corp.
5.130% due 06/01/2000 (d) 20,000 19,982
6.125% due 09/01/2003 1,400 1,354
Textron Financial Corp.
5.393% due 05/28/2002 (d) 10,000 9,960
Transamerica Corp.
6.480% due 03/15/2001 1,000 1,004
--------
472,690
========
Industrials 6.8%
AMR Corp.
9.430% due 05/10/2001 1,000 1,038
8.900% due 02/26/2007 6,450 6,859
Conagra, Inc.
5.711% due 06/12/2000 (d) 20,000 19,968
Dow Chemical Co.
8.040% due 07/02/2005 4,800 4,980
Occidental Petroleum
5.776% due 04/03/2000 10,800 10,803
Philip Morris Cos., Inc.
6.000% due 07/15/2001 1,000 990
Time Warner, Inc.
7.975% due 08/15/2004 3,345 3,472
8.110% due 08/15/2006 6,690 7,047
8.180% due 08/15/2007 6,690 7,024
U.S. West Capital Funding
5.960% due 06/15/2000 (d) 20,000 19,970
--------
82,151
========
Utilities 9.5%
Commonwealth Edison
6.625% due 07/15/2003 288 286
MCI Worldcom, Inc.
5.645% due 08/17/2000 (d) 30,000 29,968
Metropolitan Edison Co.
7.220% due 01/30/2003 2,000 2,038
6.400% due 02/09/2006 2,412 2,344
Ohio Edison
6.375% due 04/01/2000 30,700 30,756
Pacificorp
7.200% due 08/15/2002 11,000 11,239
Philadelphia Electric
8.000% due 04/01/2002 1,008 1,039
7.125% due 09/01/2002 90 91
6.500% due 05/01/2003 1,840 1,827
Public Service Enterprise Group, Inc.
5.761% due 11/22/2000 (d) 10,000 10,023
Reliant Energy, Inc.
7.875% due 07/01/2002 1,375 1,409
Texas Utilities Co.
7.375% due 08/01/2001 1,900 1,927
6.750% due 03/01/2003 5,000 4,996
United Telecom, Inc.
9.750% due 04/01/2000 5,000 5,090
9.440% due 08/15/2001 10,000 10,506
--------
113,539
--------
Total Corporate Bonds & Notes 668,380
(Cost $672,105) ========
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.2%
- --------------------------------------------------------------------------------
Student Loan Marketing Assn.
5.225% due 04/25/2004 (d) 6,593 6,579
5.495% due 04/25/2007 (d) 20,288 20,258
--------
Total U.S. Government Agencies 26,837
(Cost $26,868) ========
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 1.5%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.375% due 01/15/2007 (e) 2,735 2,613
3.625% due 01/15/2008 (e) 1,960 1,898
3.875% due 01/15/2009 (e) 813 801
U.S. Treasury Bonds
8.375% due 08/15/2008 240 259
7.250% due 08/15/2022 1,350 1,483
7.125% due 02/15/2023 85 92
5.500% due 08/15/2028 2,500 2,238
1999 Semi-Annual Report See accompanying notes 77
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund II
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
U.S. Treasury Notes
5.500% due 02/29/2000 (b) $ 5,845 $ 5,856
5.375% due 06/30/2003 535 527
4.250% due 11/15/2003 2,270 2,142
--------
Total U.S. Treasury Obligations 17,909
(Cost $17,949) ========
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 47.3%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 14.9%
Comm
6.145% due 02/15/2008 4,832 4,734
Dime Savings
6.810% due 11/01/2018 (d) 99 91
DLJ Mortgage Acceptance Corp.
11.000% due 08/01/2019 164 180
Federal Home Loan Mortgage Corp.
5.950% due 07/15/2003 130 128
8.800% due 12/01/2015 193 201
9.250% due 11/15/2019 33 35
9.000% due 12/15/2020 1,333 1,383
7.000% due 07/15/2022 15,767 15,338
7.500% due 01/15/2023 16,359 16,138
6.750% due 04/25/2024 8,543 7,982
6.500% due 07/15/2028 32,357 27,436
Federal National Mortgage Assn.
6.000% due 06/25/2001 38 38
9.000% due 06/25/2018 20 21
6.000% due 09/25/2018 76 75
9.250% due 07/25/2019 2,604 2,705
6.000% due 08/25/2020 4,220 4,168
7.000% due 09/25/2020 55 55
6.500% due 05/18/2023 9,750 9,692
First Nationwide Trust
6.500% due 10/19/2029 2,392 2,297
Guaranteed Mortgage Corp.
9.300% due 07/20/2019 528 551
Independent National Mortgage Corp.
7.237% due 11/25/2024 (d) 1,070 1,097
7.729% due 11/25/2024 (d) 653 664
Mellon Residential Funding Corp.
6.570% due 07/25/2029 4,000 3,986
Norwest Asset Securities Corp.
6.250% due 11/25/2013 3,577 3,457
Residential Accredit Loans, Inc.
7.250% due 11/25/2027 10,083 9,950
Residential Funding Mortgage Securities, Inc.
6.500% due 08/25/2013 5,258 5,087
7.000% due 11/25/2027 12,115 11,455
6.750% due 06/25/2028 25,600 23,111
Salomon Brothers Mortgage Securities
5.719% due 04/25/2029 (d) 26,396 26,343
--------
178,398
========
Federal Home Loan Mortgage Corporation 8.4%
5.750% due 11/15/2017 1,476 1,472
6.000% due 10/14/2028 49,700 46,391
6.500% due 10/14/2029 38,850 37,278
6.775% due 02/01/2023 (d) 533 542
7.000% due 03/01/2007 25 25
7.156% due 12/01/2022 (d) 4,880 4,992
7.250% due 03/01/2006 181 181
7.500% due 08/01/2009-10/14/2029 (f) 10,014 10,059
8.250% due 03/01/2008-05/01/2008 (f) 134 138
8.500% due 12/01/2001 2 2
9.500% due 02/01/2011 62 66
10.000% due 06/01/2011 16 17
10.500% due 04/01/2001 27 27
15.500% due 06/01/2011 1 1
--------
101,191
========
Federal Housing Administration 3.5%
5.596% due 10/01/2019 365 365
6.000% due 03/20/2028 23,228 21,521
6.650% due 07/20/2038 15,500 15,595
8.250% due 11/01/2021 3,786 3,891
8.829% due 05/01/2019 206 215
--------
41,587
========
Federal National Mortgage Association 2.1%
4.750% due 11/14/2003 730 690
5.250% due 01/15/2003 60 58
5.625% due 05/14/2004 765 743
5.750% due 02/15/2008 365 345
6.150% due 09/25/2016 2,523 2,509
6.500% due 10/14/2028 2,600 2,493
6.547% due 02/01/2023 (d) 1,994 2,027
6.711% due 07/01/2020 (d) 907 938
6.841% due 12/01/2023 (d) 508 523
7.000% due 08/01/2009 222 223
7.070% due 01/01/2024 (d) 1,088 1,120
7.130% due 04/01/2024 (d) 1,244 1,271
7.500% due 04/01/2024 8,340 8,403
7.750% due 10/01/2007 210 214
8.000% due 10/01/2005 233 240
8.500% due 12/01/2001-04/01/2017 (f) 1,834 1,899
9.000% due 12/01/2001-06/01/2010 (f) 521 544
11.000% due 09/01/2010 184 203
13.750% due 10/01/2010-11/01/2013 (f) 98 109
14.500% due 03/01/2013 3 3
14.750% due 10/01/2012-11/01/2012 (f) 16 19
--------
24,574
========
Government National Mortgage Association 18.4%
6.000% due 11/15/2028-10/21/2029 (f) 49,599 45,965
6.375% due 06/20/2023-06/20/2027 (d)(f) 29,827 30,269
6.500% due 01/15/2024-10/21/2029 (f) 79,191 75,745
6.625% due 09/20/2024-08/20/2027 (d)(f) 47,015 47,401
7.500% due 03/15/2024 193 195
8.000% due 06/15/2024-08/20/2029 (f) 21,212 21,654
12.000% due 01/15/2013-10/15/2015 (f) 20 24
--------
221,253
========
Other Mortgage-Backed Securities 0.0%
Bank of America
9.000% due 03/01/2008 40 40
Federal Home Loan Mortgage Corp.
11.875% due 06/15/2013 154 162
Security Pacific National Bank
8.500% due 03/01/2017 41 41
--------
243
--------
Total Mortgage-Backed Securities 567,246
(Cost $574,866) ========
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 7.0%
- --------------------------------------------------------------------------------
AFC Home Equity Loan Trust
6.623% due 10/25/2026 (d) 872 880
Banc One Auto Grantor Trust
6.270% due 11/20/2003 5,960 5,970
Comed Transitional Funding Trust
5.290% due 06/25/2003 3,000 2,969
Delta Funding Home Equity Loan
7.260% due 08/25/2018 6,084 6,121
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 3,772 3,773
First Plus Home Loan Trust
6.230% due 06/10/2010 860 859
Green Tree Recreational Equipment
6.430% due 04/17/2006 2,300 2,300
NationsBanc Montgomery Funding Corp.
6.750% due 08/25/2028 20,009 17,957
Norwest Asset Securities Corp
7.500% due 03/25/2027 17,000 16,665
Residential Funding Mortgage Securities, Inc.
5.460% due 07/25/2029 19,542 19,362
United Air Lines Equipment Trust
9.190% due 12/24/2013 7,213 7,519
--------
Total Asset-Backed Securities 84,375
(Cost $87,193) ========
78 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Eurodollar December Futures (CME)
Strike @ 92.250 Exp. 03/13/2000 $ 2,500 $ 13
-------------
Total Purchased Put Options 13
(Cost $18) =============
- ----------------------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 4.5%
- ----------------------------------------------------------------------------------------------
Commercial Paper 2.2%
American Express
5.280% due 10/27/1999 7,000 6,973
General Motors Acceptance Corp.
5.280% due 10/19/1999 1,500 1,496
IBM Credit Corp.
5.270% due 10/04/1999 800 800
National Rural Utilities Cooperative
5.310% due 11/15/1999 6,800 6,755
Procter & Gamble Co.
5.280% due 10/20/1999 800 798
US West Capital Funding
5.960% due 03/24/2000 10,000 9,710
-------------
26,532
=============
Repurchase Agreements 2.3%
State Street Bank
4.800% due 10/01/1999 2,891 2,891
(Dated 09/30/1999. Collateralized by Federal
National Mortgage Association 0.000% 02/01/2000
valued at $2,950,500.
Repurchase proceeds are $2,891,385.)
Daiwa Securities
5.000% due 10/01/1999 25,000 25,000
(Dated 09/30/1999. Collateralized by U.S. Treasury
Inflation Protected Securities 3.625% 01/15/2008
valued at $25,591,061.
Repurchase proceeds are $25,003,472.) -------------
27,891
=============
U.S. Treasury Bills (b) 0.0%
4.710% due 02/17/2000 235 231
-------------
Total Short-Term Instruments 54,654
(Cost $54,654) =============
Total Investments (a) 118.2% $ 1,419,414
(Cost $1,433,653)
Written Options (c) (0.1%) (1,353)
(Premiums $1,966)
Other Assets and Liabilities (Net) (18.1%) (217,500)
-------------
Net Assets 100.0% $ 1,200,561
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 5,080
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (19,319)
-------------
Unrealized depreciation-net $ (14,239)
=============
- ----------------------------------------------------------------------------------------------
(b) Securities with an aggregate market value of $6,087
have been segregated with the custodian to cover margin
requirements for the following open futures contracts
at September 30, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- ----------------------------------------------------------------------------------------------
Eurodollar March Futures (03/2000) 19 $ (46)
Eurodollar June Futures (06/2000) 121 (256)
Eurodollar September Futures (09/2000) 460 (260)
Eurodollar December Futures (12/1999) 141 (249)
Eurodollar December Futures (12/2000) 253 47
U.S. Treasury 5 Year Note (12/1999) 736 (174)
U.S. Treasury 10 Year Note (12/1999) 1,095 83
U.S. Treasury 30 Year Bond (12/1999) 270 111
-------------
$ (744)
=============
(c) Premiums received on written options:
# of
Type Contracts Premium Value
- ----------------------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 120.00 Exp. 11/20/1999 882 $ 305 $ 96
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 118.00 Exp. 11/20/1999 100 21 23
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 110.00 Exp. 11/20/1999 824 363 270
Put - OTC U.S.Treasury Note 5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 7,000 29 0
Call - OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 100.469 Exp. 11/08/1999 190 107 1
Put - OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 99.594 Exp. 11/20/1999 110 64 1
Put - CME Eurodollar December Futures
Strike @ 94.250 Exp. 12/13/1999 55 14 14
Put - CME Eurodollar December Futures
Strike @ 94.000 Exp. 12/13/1999 5,520 671 607
Put - CME Eurodollar December Futures
Strike @ 93.500 Exp. 12/18/2000 935 392 341
----------------------------
$ 1,966 $ 1,353
============================
</TABLE>
(d) Variable rate security. The rate listed is as of September 30, 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.
1999 Semi-Annual Report See accompanying notes 79
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund III
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 30.9%
- --------------------------------------------------------------------------------
Banking & Finance 18.8%
ABN-AMRO Bank (Chicago)
7.000% due 04/01/2008 $ 1,000 $ 977
Associates Corp. of North America
7.240% due 05/17/2006 1,000 1,003
BankAmerica Corp.
9.375% due 09/15/2009 1,000 1,156
BankBoston Corp.
6.125% due 03/15/2002 15,000 14,781
Bear Stearns Co., Inc.
5.760% due 08/25/2000 (d) 10,000 10,066
Deutsche Bank Financial
6.700% due 12/13/2006 1,000 958
Ford Motor Credit Corp.
5.570% due 07/16/2002 (d) 300 299
5.750% due 02/23/2004 2,000 1,921
6.620% due 02/27/2006 1,000 979
Goldman Sachs Group
5.468% due 01/25/2001 (d) 10,000 9,983
Household Finance Corp.
5.125% due 05/07/2002 (d) 5,000 4,996
5.249% due 05/24/2002 (d) 500 499
International Lease Finance Corp.
5.450% due 01/04/2002 500 491
Lehman Brothers Holdings, Inc.
6.249% due 04/02/2002 (d) 10,000 9,994
Merrill Lynch & Co.
5.393% due 11/01/2001 (d) 3,000 2,991
6.375% due 10/15/2008 5,000 4,741
Mid-American Funding LLC
5.850% due 03/01/2001 12,000 11,889
Morgan Stanley, Dean Witter, Discover and Co.
5.820% due 06/19/2000 (d) 10,000 9,984
6.375% due 08/01/2002 1,000 992
Spieker Properties
6.950% due 12/15/2002 2,000 1,977
Textron Financial Corp.
5.393% due 05/28/2002 (d) 5,000 4,980
Tokai Capital Corp.
9.980% due 12/29/2049 (d) 400 409
Wells Fargo Co.
6.625% due 07/15/2004 20,000 19,881
6.875% due 08/08/2006 1,000 982
---------
116,929
=========
Industrials 7.1%
Amerco, Inc.
7.200% due 04/01/2002 14,200 13,973
E.I. Du Pont de Nemours and Co.
6.900% due 11/12/1999 300 300
Petroleos Mexicanos
9.520% due 07/15/2005 (d) 5,000 4,762
TCI Communications, Inc.
6.085% due 09/11/2000 (d) 5,000 4,988
Time Warner, Inc.
6.100% due 12/30/2001 10,000 9,936
Westpoint Stevens, Inc.
7.875% due 06/15/2005 5,000 4,700
WMX Technologies
6.700% due 05/01/2001 5,500 5,367
---------
44,026
=========
Utilities 5.0%
GTE California
5.625% due 02/01/2001 300 298
MCI Worldcom, Inc.
5.645% due 08/17/2000 (d) 10,000 9,989
Niagara Mohawk Power
7.250% due 10/01/2002 11,341 11,431
7.375% due 07/01/2003 3,024 3,042
North Atlantic Energy
9.050% due 06/01/2002 405 411
Texas Utilities Co.
6.375% due 10/01/2004 1,000 982
WorldCom, Inc.
6.125% due 08/15/2001 5,000 4,968
---------
31,121
---------
Total Corporate Bonds & Notes 192,076
(Cost $194,091) =========
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 8.3%
- --------------------------------------------------------------------------------
Federal Home Loan Bank
6.000% due 05/12/2000 (d) 5,000 4,934
Federal Home Loan Mortgage Corp.
6.000% due 07/20/2001 37,700 37,582
7.500% due 07/01/2011 415 422
8.000% due 01/01/2012 206 212
8.000% due 09/01/2025 821 843
Student Loan Marketing Assn.
5.225% due 04/25/2004 (d) 2,198 2,193
5.291% due 10/25/2005 (d) 5,214 5,195
---------
Total U.S. Government Agencies 51,381
(Cost $51,533) =========
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 1.9%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 01/15/2008 (h)(j) 7,222 6,992
U.S. Treasury Bonds
10.375% due 11/15/2009 200 237
12.750% due 11/15/2010 1,680 2,234
U.S. Treasury Note
5.500% due 02/29/2000 (b) 2,235 2,239
--------
Total U.S. Treasury Obligations 11,702
(Cost $11,949) ========
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 45.9%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 26.6%
ABN-AMRO Mortgage Corp.
6.750% due 11/25/2028 9,750 9,217
Bank of America Mortgage Securities
6.500% due 05/25/2029 20,000 18,330
CMC Securities Corp.
7.117% due 04/25/2025 (d) 1,005 1,009
Federal Home Loan Mortgage Corp.
8.000% due 05/15/2000 17 17
6.500% due 08/15/2023 9,709 9,612
7.000% due 02/15/2027 13,128 12,229
5.940% due 08/15/2032 (d) 6,795 6,918
Federal National Mortgage Assn.
6.500% due 12/18/2004 4,260 4,256
7.750% due 07/25/2019 13 13
7.000% due 09/25/2021 6,069 6,030
First Nationwide Trust
6.500% due 10/19/2029 4,087 3,923
GE Capital Mortgage Services, Inc.
6.750% due 12/25/2012 3,458 3,447
7.500% due 03/25/2027 15,000 14,729
6.000% due 07/25/2029 10,400 10,197
Greenwich
8.145% due 11/25/2024 (d) 103 104
Norwest Asset Securities Corp.
6.250% due 12/25/2028 11,493 9,647
PNC Mortgage Securities Corp.
6.500% due 12/25/2028 6,449 5,935
Prudential Home Mortgage Securities
7.970% due 11/25/2023 (d) 235 235
Prudential Securities Secured Financing Corp.
6.955% due 06/15/2008 9,927 9,947
Residential Accredit Loans, Inc.
7.050% due 01/25/2026 2,000 1,997
7.250% due 01/25/2026 3,000 2,957
6.500% due 12/25/2028 24,000 22,134
80 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------------------------
<S> <C> <C>
Resolution Trust Corp.
8.835% due 12/25/2023 $ 2,500 $ 2,451
Structured Asset Mortgage Investments, Inc.
6.584% due 06/25/2029 (d) 9,936 9,682
----------
165,016
==========
Federal Home Loan Mortgage Corporation 1.9%
6.000% due 10/14/2028 2,600 2,427
6.500% due 10/14/2029 8,530 8,185
6.750% due 10/01/2006 97 96
7.156% due 12/01/2022 (d) 786 804
8.000% due 02/01/2006 159 163
----------
11,675
==========
Federal Housing Administration 3.6%
7.400% due 11/01/2039 7,010 6,857
7.430% due 11/25/2019-01/25/2023 (g) 15,429 15,440
----------
22,297
==========
Federal National Mortgage Association 3.7%
5.730% due 03/01/2033 (d) 1,469 1,437
5.740% due 08/01/2029 (d) 1,605 1,570
5.753% due 08/01/2018 (d) 99 98
5.900% due 02/01/2031 (d) 73 71
6.000% due 08/25/2016 3,861 3,854
6.200% due 04/25/2005 2,845 2,841
6.500% due 10/14/2028 4,400 4,219
7.500% due 04/01/2024-02/01/2027 (g) 6,359 6,404
8.000% due 07/01/2023-07/01/2026 (g) 2,362 2,418
8.250% due 07/01/2017 78 81
8.500% due 02/01/2007 259 267
9.000% due 07/01/2005 21 22
----------
23,282
==========
Government National Mortgage Association 9.8%
6.125% due 10/20/2024-12/20/2026 (d)(g) 7,616 7,705
6.375% due 06/20/2022-01/20/2026 (d)(g) 8,105 8,231
6.500% due 09/15/2023-10/21/2029 (g) 38,540 36,984
6.625% due 09/20/2023-08/20/2027 (d)(g) 7,329 7,415
10.250% due 02/15/2017 629 680
12.750% due 02/20/2015 4 5
----------
61,020
==========
Other Mortgage-Backed Securities 0.2%
Resolution Trust Corp.
6.968% due 05/25/2029 (d) 1,354 1,338
----------
1,338
==========
Stripped Mortgage-Backed Securities 0.1%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 04/15/2022 2,672 280
Resolution Trust Corp. (PO)
0.000% due 09/25/2000 305 306
----------
586
----------
Total Mortgage-Backed Securities 285,214
(Cost $291,486) ==========
- ---------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 6.2%
- ---------------------------------------------------------------------------------------------
Advanta Mortgage Loan Trust
5.725% due 08/24/2029 (d) 17,464 17,469
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 6,367 6,370
Green Tree Financial Corp.
7.860% due 04/01/2031 600 602
Green Tree Recreational Equipment
6.430% due 04/17/2006 2,000 2,000
NPF XII, Inc.
7.050% due 06/01/2003 3,000 2,976
PP&L Transition Bond Co. LLC
6.410% due 12/26/2003 8,800 8,813
----------
Total Asset-Backed Securities 38,230
(Cost $38,231) ==========
- ---------------------------------------------------------------------------------------------
SOVEREIGN ISSUES 3.7%
- ---------------------------------------------------------------------------------------------
Central Bank Philippines
6.000% due 06/01/2008 (d) 5,000 4,625
Nacional Financiera
8.693% due 12/01/2000 (d) 5,750 5,879
Province of Quebec
8.800% due 04/15/2003 1,000 1,072
Republic of Argentina
10.950% due 11/01/1999 2,000 2,008
14.250% due 11/30/2002 (d) 1,000 945
Republic of Bulgaria
6.500% due 07/28/2024 (d) 250 172
Republic of Colombia
7.625% due 02/15/2007 500 389
Republic of Poland
3.000% due 10/27/2024 (d) 4,000 2,435
United Mexican States
6.768% due 06/27/2002 (d) 5,000 4,855
5.875% due 12/31/2019 (d) 1,000 862
----------
Total Sovereign Issues 23,242
(Cost $22,891) ==========
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 0.8%
Commonwealth of Canada
8.500% due 04/01/2002 C$ 2,000 1,452
Commonwealth of New Zealand
10.000% due 03/15/2002 (j) N$ 2,200 1,236
5.500% due 04/15/2003 (j) 2,200 1,105
Province of Saskatchewan
11.000% due 01/09/2001 $ 2,000 1,452
----------
Total Foreign Currency-Denominated Issues 5,245
(Cost $5,539) ==========
- ---------------------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
- ---------------------------------------------------------------------------------------------
Eurodollar December Futures (CME)
Strike @ 92.000 Exp. 12/13/1999 1,000 5
----------
Total Purchased Put Options 5
(Cost $12) ==========
- ---------------------------------------------------------------------------------------------
PREFERRED STOCK 0.6%
- ---------------------------------------------------------------------------------------------
Shares
TCI Communications, Inc.
9.720% due 12/31/2036 132,000 3,473
----------
Total Preferred Stock 3,473
(Cost $3,676) ==========
- ---------------------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 4.8%
- ---------------------------------------------------------------------------------------------
Principal
Amount
(000s)
Certificates of Deposit 0.8%
Commerzbank AG
6.200% due 05/10/2000 $ 5,000 4,962
----------
Commercial Paper 2.6%
American Express
5.340% due 10/27/1999 2,800 2,789
Bellsouth Telecom
5.270% due 10/20/1999 10,200 10,172
Ford Motor Credit Corp.
5.300% due 10/08/1999 2,600 2,597
Procter & Gamble Co.
5.290% due 11/01/1999 600 597
----------
16,155
==========
Repurchase Agreement 1.3%
State Street Bank
4.800% due 10/01/1999 8,151 8,151
(Dated 09/30/1999. Collateralized by Federal ----------
Home Loan Bank 5.105% 05/15/2005
valued at $8,316,222.
Repurchase proceeds are $8,152,087.)
U.S. Treasury Bills (b) 0.1%
4.710% due 02/17/2000 785 771
----------
Total Short-Term Instruments 30,039
(Cost $30,077) ==========
</TABLE>
1999 Semi-Annual Report See accompanying notes 81
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund III
September 30, 1999 (Unaudited)
Value
(000s)
- --------------------------------------------------------------------------------
Total Investments (a) 103.1% $ 640,607
(Cost $649,485)
Written Options (c) (0.1%) (621)
(Premiums $795)
Other Assets and Liabilities (Net) (3.0%) (18,908)
---------
Net Assets 100.0% $ 621,078
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 1,786
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (10,664)
---------
Unrealized depreciation-net $ (8,878)
=========
(b) Securities with an aggregate market value of $3,010
have been segregated with the custodian to cover margin
requirements for the following open futures contracts
at September 30, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar March Futures (03/2000) 8 $ (19)
Eurodollar June Futures (06/2000) 49 (102)
Eurodollar September Futures (09/2000) 214 (100)
Eurodollar December Futures (12/1999) 58 (100)
Eurodollar December Futures (12/2000) 118 22
Government of Japan 10 Year Note (6/1999) 9 (219)
U.S. Treasury 5 Year Note (12/1999) 364 123
U.S. Treasury 10 Year Note (12/1999) 522 158
U.S. Treasury 10 Year Note (3/2000) 77 12
U.S. Treasury 30 Year Bond (12/1999) 311 43
---------
$ (182)
=========
(c) Premiums received on written options:
# of
Type Contracts Premium Value
- --------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 120.00 Exp. 11/20/1999 407 $ 140 $ 45
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 110.00 Exp. 11/20/1999 335 150 109
Put - OTC U.S. Treasury Note 5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 3,200 13 0
Call - OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 100.469 Exp. 11/08/1999 9,000 51 53
Put - OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 99.594 Exp. 11/20/1999 5,000 29 35
Put - CME Eurodollar December Futures
Strike @ 94.250 Exp. 12/13/1999 25 6 7
Put - CME Eurodollar December Futures
Strike @ 94.000 Exp. 12/13/1999 238 37 26
Put - CME Eurodollar December Futures
Strike @ 93.500 Exp. 12/18/2000 435 182 159
Put - LIFFE BP 90 Day LIBOR
Strike @ 93.000 Exp. 09/20/2000 200 187 187
----------------------
$ 795 $ 621
======================
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount
Covered by Settlement Unrealized
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell C$ 4,435 10/1999 $ (38)
Sell JY 42,000 02/2000 (8)
---------
$ (46)
=========
(f) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
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) Swap agreements outstanding at September 30, 1999:
<TABLE>
<CAPTION>
Notional Unrealized
Amount (Depreciation)
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
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 $ (150)
Receive floating rate based on 6 month JY-LIBOR
and pay fixed rate equal to 2.305%.
Broker: Deutsche Bank AG New York
Exp. 04/15/08 377,000 (100)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 5.950%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/17/2001 $ 300 (3)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 6.150%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes, the
Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 300 (4)
--------
$ (257)
========
(j) Subject to financing transaction.
</TABLE>
82 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Moderate Duration Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 27.4%
- --------------------------------------------------------------------------------
Banking & Finance 11.5%
Bear Stearns Co., Inc.
5.800% due 01/02/2001 (d) $ 2,400 $ 2,407
6.224% due 02/06/2001 (d) 500 501
CIT Group, Inc.
6.200% due 10/20/2000 5,000 4,992
6.375% due 08/01/2002 850 842
Ford Motor Credit Corp.
5.435% due 01/17/2002 (d) 5,000 4,985
5.750% due 02/23/2004 2,000 1,921
Household Finance Corp.
6.125% due 02/27/2003 3,000 2,914
Korean Export-Import Bank
6.500% due 10/06/1999 1,580 1,580
Lehman Brothers Holdings, Inc.
6.375% due 05/07/2002 600 591
7.000% due 05/15/2003 2,000 1,987
NationsBank Corp.
5.400% due 04/15/2003 (d) 5,000 5,030
PNC Bank Corp.
5.130% due 06/01/2000 (d) 8,000 7,993
PSE&G Capital Corp.
6.740% due 10/23/2001 1,100 1,101
Salomon, Inc.
5.320% due 07/23/2001 (d) 1,000 1,005
Salomon, Smith Barney Holdings
5.571% due 07/23/2002 (d) 2,000 1,996
-------
39,845
=======
Industrials 8.7%
Amerco, Inc.
6.890% due 10/15/2000 2,400 2,314
7.230% due 01/21/2027 500 493
DTE Capital Corp.
8.350% due 11/15/2038 (d) 7,000 6,879
IBM Corp.
6.375% due 06/15/2000 1,000 1,004
News America Holdings Corp.
7.450% due 06/01/2000 3,000 3,019
Occidental Petroleum
6.400% due 04/01/2003 2,600 2,543
Owens-Illinois, Inc.
7.850% due 05/15/2004 6,000 5,933
Philip Morris Cos., Inc.
7.250% due 09/15/2001 850 857
Sears Roebuck Acceptance
6.720% due 10/23/2002 3,000 2,998
TCI Communications, Inc.
6.085% due 09/11/2000 (d) 2,000 1,995
6.150% due 04/03/2002 (d) 250 254
7.550% due 09/02/2003 500 516
6.690% due 03/31/2006 1,200 1,211
-------
30,016
=======
Utilities 7.2%
Beaver Valley Funding Corp.
8.250% due 06/01/2003 283 286
8.625% due 06/01/2007 690 707
Cable & Wireless Communications
6.750% due 12/01/2008 5,000 5,097
CMS Energy
8.125% due 05/15/2002 750 752
System Energy Resources
7.710% due 08/01/2001 2,900 2,942
Texas Utilities Co.
6.064% due 06/25/2001 10,000 9,973
6.438% due 09/24/2001 5,000 5,000
-------
24,757
-------
Total Corporate Bonds & Notes 94,618
(Cost $95,163) =======
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.5%
- --------------------------------------------------------------------------------
Federal Home Loan Bank
6.000% due 05/12/2000 (d) 5,000 4,934
Federal National Mortgage Assn.
5.750% due 06/15/2005 250 242
Student Loan Marketing Assn.
5.129% due 06/30/2000 (d) 3,400 3,397
-------
Total U.S. Government Agencies 8,573
(Cost $8,641) =======
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 6.8%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h) 3,122 3,103
3.375% due 01/15/2007 (h)(j) 4,839 4,624
3.625% due 01/15/2008 (h) 1,960 1,897
3.875% due 01/15/2009 (h) 813 801
U.S. Treasury Notes
6.000% due 10/15/1999 500 500
5.500% due 02/29/2000 (b) 1,995 1,999
8.750% due 08/15/2000 500 515
6.125% due 09/30/2000 200 201
6.375% due 09/30/2001 1,000 1,013
7.500% due 11/15/2001 1,500 1,555
6.125% due 12/31/2001 250 252
6.375% due 08/15/2002 1,000 1,017
6.250% due 02/15/2003 1,000 1,013
7.250% due 05/15/2004 750 791
7.250% due 08/15/2004 700 740
6.500% due 05/15/2005 1,000 1,024
6.875% due 05/15/2006 750 783
7.000% due 07/15/2006 750 788
6.625% due 05/15/2007 400 413
U.S Treasury Bond Strip
0.000% due 08/15/2005 500 351
-------
Total U.S. Treasury Obligations 23,380
(Cost $23,502) =======
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 45.9%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 16.5%
Chase Mortgage Finance Corp.
6.204% due 04/25/2025 (d) 4,172 3,840
Criimi Mae Financial Corp.
7.000% due 01/01/2033 11,096 11,023
Federal Home Loan Mortgage Corp.
7.000% due 05/15/2004 1,000 1,009
6.000% due 12/15/2008 5,171 5,065
6.500% due 08/15/2023 4,855 4,806
6.500% due 10/15/2023 1,245 1,150
8.500% due 04/15/2025 2,165 2,254
8.000% due 02/15/2027 425 439
Federal National Mortgage Assn.
6.000% due 03/25/2009 1,383 1,270
6.500% due 01/18/2019 3,034 3,037
7.000% due 09/25/2021 2,970 2,951
6.500% due 03/25/2023 2,000 1,906
GE Capital Mortgage Services, Inc.
6.000% due 02/25/2024 378 376
Government National Mortgage Assn.
7.500% due 04/20/2027 2,381 2,297
Norwest Asset Securities Corp.
6.250% due 11/25/2013 2,496 2,412
7.000% due 01/25/2028 4,843 4,797
PNC Mortgage Securities Corp.
6.500% due 10/25/2028 5,000 4,496
Residential Funding Mortgage Securities, Inc.
6.982% due 06/25/2008 1,900 1,900
7.000% due 05/25/2012 1,791 1,764
-------
56,792
=======
Federal Home Loan Mortgage Corporation 4.7%
6.000% due 10/14/2028 3,900 3,640
6.500% due 10/14/2029 9,130 8,761
7.500% due 10/14/2029 3,760 3,777
-------
16,178
=======
1999 Semi-Annual Report See accompanying notes 83
<PAGE>
Schedule of Investments (Cont.)
Moderate Duration Fund
September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Federal Housing Administration 3.0%
7.430% due 04/01/2022-06/01/2023 (g) $ 10,180 $ 10,330
---------
Federal National Mortgage Association 12.5%
5.730% due 09/01/2017-03/01/2033 (d)(g) 969 950
5.735% due 01/01/2027-08/01/2029 (d)(g) 1,366 1,338
5.750% due 08/01/2018 (d) 403 396
5.753% due 11/01/2035 (d) 527 515
5.756% due 05/01/2036 (d) 530 517
5.758% due 05/01/2036 (d) 4,282 4,176
6.000% due 02/01/2014 711 684
6.500% due 08/25/2021 28,509 27,831
7.000% due 05/01/2012 578 579
7.500% due 08/01/2017-04/01/2029 (g) 3,221 3,241
8.000% due 09/01/2026-10/01/2026 (g) 2,755 2,822
---------
43,049
=========
Government National Mortgage Association 9.2%
6.000% due 10/21/2029 3,000 2,785
6.125% due 11/20/2017-11/20/2025 (d)(g) 706 716
6.375% due 03/20/2020-03/20/2028 (d)(g) 11,169 11,203
6.500% due 10/21/2029 8,970 8,576
7.000% due 03/15/2029 712 700
7.500% due 12/15/2028 715 719
8.000% due 11/15/2026-08/20/2029 (g) 5,726 5,839
9.000% due 06/15/2009 1,289 1,356
---------
31,894
---------
Total Mortgage-Backed Securities 158,243
(Cost $160,325) =========
- ----------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 8.2%
- ----------------------------------------------------------------------------------------------
Amresco Residential Securities
6.500% due 11/25/2015 272 272
Brazos Student Loan Finance Co.
5.495% due 06/01/2023 (d) 10,000 9,815
Caterpillar Financial Asset Trust
6.450% due 05/25/2003 1,377 1,378
Chase Credit Card Master Trust
6.777% due 05/15/2007 5,533 5,571
Chase Manhattan Corp
7.000% due 04/25/2025 723 727
EQCC Home Equity Loan Trust
6.700% due 09/15/2008 55 55
Green Tree Home Equity Loan Trust
5.590% due 02/15/2013 1,717 1,711
Green Tree Home Improvement
5.940% due 06/15/2029 1,049 1,049
Green Tree Recreational Equipment
6.430% due 04/17/2006 2,000 2,000
IMC Home Equity Loan Trust
5.344% due 03/25/2027 (d) 118 117
LIBOR-Index Certificates
6.500% due 12/16/2001 (d) 800 800
The Money Store Home Equity Trust
6.040% due 08/15/2017 1,769 1,764
The Money Store Residential Trust
6.215% due 02/15/2011 2,877 2,874
---------
Total Asset-Backed Securities 28,133
(Cost $28,297) =========
- ----------------------------------------------------------------------------------------------
SOVEREIGN ISSUES 5.7%
- ----------------------------------------------------------------------------------------------
Commonwealth of Canada
6.500% due 05/30/2000 2,500 2,509
Hydro Quebec
7.620% due 04/02/2001 1,000 1,017
5.188% due 09/29/2049 (d) 5,000 4,156
Republic of Argentina
11.447% due 04/10/2005 (d) 2,715 2,393
United Mexican States
6.768% due 06/27/2002 (d) 10,000 9,710
---------
Total Sovereign Issues 19,785
=========
(Cost $20,294)
- ----------------------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 2.7%
- ----------------------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 800 413
Korea Development Bank
5.437% due 05/06/2000 (d) BP 5,500 8,906
---------
Total Foreign Currency-Denominated Issues 9,319
(Cost $9,309) =========
- ----------------------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
- ----------------------------------------------------------------------------------------------
Eurodollar December Futures (CME)
Strike @ 93.000 Exp. 12/13/1999 $ 313 2
Strike @ 92.750 Exp. 12/13/1999 563 3
Strike @ 92.500 Exp. 12/13/1999 213 1
Strike @ 92.250 Exp. 12/13/1999 1,088 5
---------
Total Purchased Put Options 11
(Cost $15) =========
- ----------------------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 4.2%
- ----------------------------------------------------------------------------------------------
Certificates of Deposit 1.4%
Commerzbank AG
6.200% due 05/10/2000 5,000 4,962
---------
Commercial Paper 2.3%
American Express
5.280% due 10/12/1999 4,600 4,593
Ford Motor Credit Corp.
5.300% due 10/12/1999 1,800 1,797
Procter & Gamble Co.
5.370% due 10/20/1999 700 698
5.280% due 10/20/1999 800 798
---------
7,886
=========
Repurchase Agreement 0.5%
State Street Bank
4.800% due 10/01/1999 1,634 1,634
(Dated 09/30/1999. Collateralized by ---------
Federal National Mortgage Association
5.120% 05/26/2000 valued at $1,667,755
Repurchase proceeds are $1,634,218.)
U.S. Treasury Bills (b) 0.0%
4.710% due 02/17/2000 40 39
---------
Total Short-Term Instruments 14,521
(Cost $14,559) =========
Total Investments (a) 103.4% $356,583
(Cost $360,105)
Written Options (c) (0.1%) (509)
(Premiums $598)
Other Assets and Liabilities (Net) (3.3%) (11,041)
---------
Net Assets 100.0% $345,033
=========
</TABLE>
84 PIMCO Funds See accompanying notes
<PAGE>
- --------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 819
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (4,341)
------------
Unrealized depreciation-net $ (3,522)
============
(b) Securities with an aggregate market value of $2,038
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar March Futures (03/2001) 11 $ (9)
Eurodollar June Futures (06/2000) 3 2
Eurodollar June Futures (06/2001) 11 (10)
Eurodollar September Futures (09/2000) 64 24
Eurodollar December Futures (12/1999) 8 (1)
Eurodollar December Futures (12/2000) 53 34
Government of Japan 10 Year Note (03/2000) 3 (69)
U.S. Treasury 5 Year Note (12/1999) 20 (2)
U.S. Treasury 10 Year Note (12/1999) 421 (65)
------------
$ (96)
============
(c) Premiums received on written options:
<TABLE>
<CAPTION>
# of
Type Contracts Premium Value
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C>
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 120.00 Exp. 11/20/1999 221 $ 76 $ 24
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 110.00 Exp. 11/20/1999 182 81 60
Put - OTC U.S.Treasury Note 5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 1,700 7 0
Call - OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 100.469 Exp. 11/08/1999 5,000 28 31
Put - OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 99.594 Exp. 11/20/1999 3,000 18 20
Put - CME Eurodollar December Futures
Strike @ 93.500 Exp. 12/18/2000 94 99 86
Put - CME Eurodollar December Futures
Strike @ 94.000 Exp. 12/13/1999 1,051 289 288
-------------------
$ 598 $ 509
===================
</TABLE>
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell BP 5,611 10/1999 $ (18)
Sell JY 21,000 02/2000 5
Sell N$ 191 10/1999 0
Sell 572 11/1999 5
----------
$ (8)
==========
(f) Principal amount denoted in indicated currency:
BP - British Pound
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) Swap agreements outstanding at September 30, 1999:
Notional Unrealized
Type Amount (Depreciation)
- --------------------------------------------------------------------------------
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus
5.950%. In the event of default of Republic of
Argentina Floating Rate Notes and/or
Spread-Adjusted Notes, the Fund can put the bond
to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/17/2001 $ 900 $ (9)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 5.700%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/28/2001 100 (0)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 6.150%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 400 (5)
---------
$ (14)
=========
(j) Subject to a financing transaction.
1999 Semi-Annual Report See accompnaying notes 85
<PAGE>
Schedule of Investments
Low Duration Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 42.5%
- --------------------------------------------------------------------------------
Banking & Finance 24.0%
Aristar, Inc.
7.375% due 09/01/2004 $ 19,000 $ 19,081
Associates Corp. of North America
5.596% due 08/27/2001 (d) 1,000 998
6.875% due 06/20/2002 20,000 20,516
6.950% due 08/01/2002 1,000 1,008
AT&T Capital Corp.
8.250% due 01/11/2000 7,900 7,945
7.500% due 11/15/2000 6,200 6,244
5.561% due 04/23/2002 (d) 10,000 9,808
Banc One Corp.
7.250% due 08/01/2002 500 506
Banco Latino Americano SA
6.750% due 03/01/2001 1,300 1,288
BankAmerica Corp.
7.200% due 09/15/2002 100 102
7.875% due 12/01/2002 100 104
Bear Stearns Co., Inc.
6.750% due 08/15/2000 5,000 5,023
5.830% due 08/29/2000 (d) 21,000 21,161
6.224% due 02/06/2001 (d) 8,600 8,621
5.650% due 06/28/2001 (d) 2,000 2,003
6.125% due 02/01/2003 3,000 2,920
6.200% due 03/30/2003 9,700 9,452
5.923% due 06/01/2004 (d) 3,000 2,995
Beneficial Corp.
5.359% due 01/09/2002 (d) 10,000 10,025
6.650% due 09/12/2002 5,000 5,005
6.575% due 12/16/2002 5,440 5,427
Boeing Capital Services Corp.
6.480% due 11/10/1999 10,750 10,753
Bombardier Capital, Inc.
6.000% due 01/15/2002 10,000 9,801
Capital One Bank
6.280% due 02/20/2001 6,500 6,481
7.000% due 04/30/2001 300 300
Case Credit Corp.
5.910% due 02/19/2001 4,000 3,966
5.850% due 02/20/2001 (d) 63,000 62,421
5.930% due 02/26/2001 5,000 4,959
5.500% due 08/01/2001 (d) 4,750 4,745
Chase Manhattan Corp.
5.560% due 10/13/2000 (d) 7,500 7,516
5.500% due 02/15/2001 1,000 990
Chrysler Financial Co. LLC
5.850% due 01/26/2001 5,000 4,984
5.520% due 08/08/2002 (d) 8,000 7,993
CIT Group, Inc.
6.200% due 10/20/2000 50,000 49,924
5.875% due 06/18/2001 19,400 19,205
Credit Asset Receivable
6.274% due 10/31/2003 42,086 41,273
Ford Motor Credit Corp.
5.790% due 03/21/2001 (d) 3,000 3,002
5.663% due 03/19/2002 3,107 3,110
5.570% due 07/16/2002 (d) 100 100
6.520% due 08/12/2002 13,000 12,986
6.125% due 04/28/2003 14,000 13,721
General Motors Acceptance Corp.
5.800% due 08/07/2000 520 520
7.125% due 05/01/2001 15,000 15,193
5.533% due 09/19/2001 (d) 5,000 4,992
5.619% due 12/10/2001 (d) 7,400 7,365
5.438% due 04/29/2002 (d) 2,000 1,998
5.540% due 11/12/2002 (d) 17,400 17,286
5.875% due 01/22/2003 500 486
6.149% due 09/20/2003 (d) 15,000 15,000
5.560% due 04/05/2004 (d) 700 698
Goldman Sachs Group
6.200% due 12/15/2000 1,000 998
5.468% due 01/25/2001 (d) 8,000 7,987
Great Western Financial
8.600% due 02/01/2002 4,000 4,174
Heller Financial, Inc.
5.571% due 04/28/2003 (d) 20,000 20,000
Hitachi Credit America
6.100% due 04/24/2001 25,000 24,728
Household Finance Corp.
6.490% due 04/09/2001 20,000 19,960
6.125% due 07/15/2002 10,000 9,820
7.625% due 01/15/2003 10,849 11,076
6.125% due 02/27/2003 1,500 1,457
5.775% due 06/24/2003 (d) 1,500 1,497
Key Bank NA
6.052% due 04/24/2003 12,900 12,620
Korea Development Bank
8.008% due 06/16/2003 (d) 3,500 3,430
6.625% due 11/21/2003 20,000 19,074
Korean Export-Import Bank
6.500% due 02/10/2002 7,200 7,011
7.100% due 03/15/2007 2,000 1,965
Lehman Brothers Holdings, Inc.
5.390% due 08/11/2000 (d) 7,900 7,936
5.405% due 06/01/2001 (d) 1,500 1,496
6.249% due 04/02/2002 (d) 2,000 1,999
6.375% due 05/07/2002 28,345 27,986
6.073% due 05/07/2002 (d) 5,000 5,014
7.000% due 05/15/2003 2,000 1,987
Marsh & McLennan Co., Inc.
6.625% due 06/15/2004 1,000 992
MBNA America Bank NA
6.000% due 12/26/2000 5,000 4,966
6.875% due 07/15/2004 1,900 1,862
Mercury Finance Co.
10.000% due 03/23/2001 4,400 4,158
Merrill Lynch & Co.
6.250% due 07/25/2000 2,150 2,154
5.566% due 09/25/2000 (d) 2,100 2,103
5.378% due 09/30/2000 (d) 8,558 8,543
6.000% due 01/15/2001 1,336 1,331
6.093% due 11/26/2001 (d) 115,000 116,221
5.410% due 01/15/2002 (d) 5,000 5,006
5.748% due 02/08/2002 (d) 25,000 24,997
5.564% due 02/04/2003 (d) 23,000 23,091
6.130% due 04/07/2003 7,770 7,657
Morgan Stanley Capital
7.460% due 02/15/2020 8,100 8,192
Morgan Stanley, Dean Witter, Discover and Co.
5.699% due 03/11/2003 (d) 5,000 4,978
New England Educational Loan Marketing
5.593% due 11/30/1999 (d) 20,000 20,000
Okobank
6.760% due 10/29/2049 (d) 750 751
PaineWebber
7.000% due 03/01/2000 50 50
Pemex Finance Ltd.
6.125% due 11/15/2003 15,000 14,703
PNC Bank Corp.
5.483% due 01/24/2002 (d) 20,000 19,938
Popular North American, Inc.
7.375% due 09/15/2001 20,000 20,052
Prudential Funding Corp.
5.020% due 10/02/2000 (d) 5,000 5,005
Rothmans Holdings
6.500% due 05/06/2003 14,000 13,467
Salomon, Inc.
7.500% due 02/01/2003 3,000 3,067
Salomon, Smith Barney Holdings
5.180% due 05/14/2002 (d) 25,150 25,121
5.571% due 07/23/2002 (d) 5,100 5,090
Security Pacific Corp.
11.500% due 11/15/2000 3,850 4,050
SGE Associates
8.070% due 07/20/2000 (i) 6,371 6,422
86 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Spieker Properties
6.650% due 12/15/2000 $ 5,070 $ 5,052
Toyota Motor Credit Corp.
5.967% due 02/15/2002 11,600 11,203
Transamerica Finance Corp.
6.125% due 11/01/2001 5,000 4,924
5.920% due 03/29/2002 52,050 50,827
Travelers Group, Inc.
7.250% due 05/01/2001 3,700 3,755
7.300% due 05/15/2002 15,000 15,299
Wells Fargo Co.
6.750% due 05/12/2000 1,000 1,006
---------
1,110,248
Industrials 9.1% =========
Allied Waste North America, Inc.
7.375% due 01/01/2004 5,000 4,600
American Home Products Corp.
7.700% due 02/15/2000 100 102
AMR Corp.
9.750% due 03/15/2000 5,000 5,075
9.910% due 03/01/2001 2,500 2,607
9.440% due 05/15/2001 5,000 5,200
9.125% due 10/24/2001 1,000 1,039
Century Communications Corp.
0.000% due 03/15/2003 5,250 3,714
Container Corp. of America
11.250% due 05/01/2004 2,500 2,588
Crown Cork & Seal
7.125% due 09/01/2002 33,000 32,987
CSX Corp.
9.500% due 08/01/2000 380 390
Delta Air Lines, Inc.
9.800% due 12/16/2000 250 258
8.500% due 09/15/2001 205 211
EZ Communication, Inc.
9.750% due 12/01/2005 5,000 5,311
Falcon Holding Group LP
0.000% due 04/15/2010 4,500 3,218
Federal-Mogul Corp.
7.500% due 07/01/2004 28,600 27,422
Ford Motor Co.
9.000% due 09/15/2001 500 523
Fred Meyer, Inc.
7.150% due 03/01/2003 10,500 10,510
Hertz Corp.
6.625% due 07/15/2000 100 100
HMH Properties, Inc.
7.875% due 08/01/2005 5,000 4,625
Houghton Mifflin Co.
5.903% due 12/01/2000 (d) 18,000 18,088
IBM Corp.
6.375% due 06/15/2000 100 100
International Paper Co.
6.875% due 07/10/2000 6,000 6,025
ISP Holdings, Inc.
9.750% due 02/15/2002 3,000 3,030
J Seagram & Sons
6.250% due 12/15/2001 52,000 51,316
Levi Strauss & Co.
6.800% due 11/01/2003 2,500 2,339
Nabisco, Inc.
6.000% due 02/15/2001 (d) 21,000 20,802
6.700% due 06/15/2002 21,100 20,872
Noranda, Inc.
5.750% due 08/18/2000 (d) 1,000 1,004
Occidental Petroleum
10.125% due 11/15/2001 5,000 5,319
6.400% due 04/01/2003 15,945 15,594
Owens-Illinois, Inc.
7.850% due 05/15/2004 15,000 14,833
Petroleos Mexicanos
9.520% due 07/15/2005 (d) 5,000 4,763
Philip Morris Cos., Inc.
9.000% due 01/01/2001 7,000 7,202
7.500% due 01/15/2002 200 203
7.250% due 01/15/2003 4,050 4,092
6.150% due 03/15/2010 23,900 23,954
Starwood Hotel & Resorts
6.750% due 11/15/2005 2,000 1,790
Stone Container Corp.
10.750% due 10/01/2002 11,080 11,440
TCI Communications, Inc.
6.210% due 03/11/2003 (d) 3,000 3,064
Tenet Healthcare Corp.
7.875% due 01/15/2003 4,300 4,139
8.625% due 12/01/2003 1,700 1,688
Union Oil Co. of California
9.100% due 08/15/2001 3,350 3,501
Waste Management, Inc.
6.500% due 05/14/2004 40,000 39,588
Whitman Corp.
6.000% due 05/01/2004 4,500 4,363
Xerox Capital
5.875% due 06/01/2000 3,000 2,995
Yorkshire Power
6.154% due 02/25/2003 40,000 38,270
---------
420,854
=========
Utilities 9.4%
Beaver Valley Funding Corp.
8.250% due 06/01/2003 3,500 3,539
Calpine Corp.
9.250% due 02/01/2004 2,960 2,979
7.625% due 04/15/2006 6,000 5,703
Central Maine Power Co.
6.380% due 02/24/2000 10,000 10,018
Cinergy Corp.
6.125% due 04/15/2004 13,000 12,396
Cleveland Electric Illuminating Co.
8.550% due 11/15/2001 2,075 2,136
7.850% due 07/30/2002 3,500 3,560
CMS Energy
7.375% due 11/15/2000 15,150 15,151
8.125% due 05/15/2002 1,750 1,755
7.625% due 11/15/2004 14,500 13,995
Connecticut Light & Power Co.
7.875% due 06/01/2001 500 506
7.750% due 06/01/2002 11,700 11,853
8.590% due 06/05/2003 10,000 9,541
Flag Limited
8.250% due 01/30/2008 2,000 1,750
Illinois Power Co.
6.250% due 07/15/2002 10,000 9,840
6.000% due 09/15/2003 12,500 11,949
Louisiana Power & Light Co.
7.740% due 07/01/2002 3,308 3,327
MCI Worldcom, Inc.
5.645% due 08/17/2000 (d) 100,000 99,892
8.875% due 01/15/2006 45,170 47,809
New Century Energies, Inc.
5.860% due 05/28/2000 12,100 12,053
New Orleans Public Service
8.000% due 03/01/2006 400 406
Niagara Mohawk Power
7.000% due 10/01/2000 20,717 20,801
7.125% due 07/01/2001 1,512 1,519
7.250% due 10/01/2002 16,634 16,766
North Atlantic Energy
9.050% due 06/01/2002 3,675 3,732
Public Service Enterprise Group, Inc.
5.761% due 11/22/2000 (d) 10,000 10,023
Southwestern Bell Communication Capital Corp.
6.125% due 03/12/2001 2,000 1,993
Texas Utilities Co.
5.940% due 10/15/2001 13,155 13,052
6.750% due 04/01/2003 3,875 3,871
1999 Semi-Annual Report See accompanying notes 87
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
U.S. West Communications, Inc.
5.650% due 11/01/2004 $ 9,250 $ 8,800
United Illuminating Co.
6.000% due 12/15/2003 13,000 12,371
Western Massachusetts Electric
7.375% due 07/01/2001 5,250 5,271
7.750% due 12/01/2002 10,300 10,512
WorldCom, Inc.
6.125% due 08/15/2001 45,000 44,712
---------
433,581
---------
Total Corporate Bonds & Notes 1,964,683
(Cost $1,976,842) =========
- --------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.3%
- --------------------------------------------------------------------------------
New York 0.3%
New York City Refunding Bonds, Series 1998 B
5.900% due 08/01/2000 13,000 13,012
---------
Total Municipal Bonds & Notes 13,012
(Cost $12,998) =========
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.1%
- --------------------------------------------------------------------------------
Small Business Administration
7.000% due 01/25/2013 (d) 267 270
6.750% due 02/25/2014 (d) 833 853
Student Loan Marketing Assn.
5.129% due 06/30/2000 (d) 46,000 45,958
5.333% due 04/25/2006 (d) 10,347 10,304
5.495% due 04/25/2007 (d) 39,015 38,958
---------
Total U.S. Government Agencies 96,343
(Cost $96,407) =========
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 8.6%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h) 11,407 11,335
3.625% due 07/15/2002 (h) 134,092 133,254
3.375% due 01/15/2007 (h)(j) 36,612 34,975
3.625% due 01/15/2008 (h)(j) 28,373 27,469
3.625% due 01/15/2008 (h) 90,794 87,899
3.875% due 01/15/2009 (h)(j) 3,456 3,403
3.875% due 01/15/2009 (h) 91,981 90,572
U.S. Treasury Notes
5.500% due 02/29/2000 (b)(j) 9,670 9,688
---------
Total U.S. Treasury Obligations 398,595
(Cost $399,842) =========
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 36.2%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 15.1%
Cendant Mortgage Corp.
6.500% due 09/18/2029 596 591
Chase Commercial Mortgage Securities Corp.
7.600% due 12/18/2005 200 205
6.900% due 09/19/2006 135 135
Chase Mortgage Finance Corp.
10.000% due 11/25/2009 347 353
6.500% due 06/25/2013 7,592 7,503
6.204% due 04/25/2025 (d) 4,172 3,840
6.750% due 07/25/2028 9,950 9,471
6.350% due 07/25/2029 5,000 4,939
CMC Securities Corp. IV
7.250% due 10/25/2027 12,141 11,985
Collateralized Mortgage Obligation Trust
5.750% due 01/20/2003 (d) 9 9
9.500% due 06/25/2020 332 332
Commercial Mortgage Acceptance Corp.
6.790% due 08/15/2008 1,289 1,282
Commercial Trust
6.670% due 12/15/2003 4,890 4,718
Countrywide Funding Corp.
5.750% due 01/25/2035 (d) 4,057 4,064
Countrywide Home Loans
6.250% due 07/25/2009 1,124 1,123
6.900% due 12/25/2027 18,168 18,092
6.050% due 04/25/2029 56,626 54,077
Criimi Mae Financial Corp.
7.000% due 01/01/2033 8,599 8,543
CS First Boston Mortgage Securities Corp.
6.400% due 02/17/2004 153 152
6.520% due 07/17/2007 145 140
Dime Savings
6.810% due 11/01/2018 (d) 1,955 1,799
DLJ Mortgage Acceptance Corp.
11.000% due 08/01/2019 889 971
4.224% due 05/25/2024 (d) 1,445 1,506
5.875% due 06/25/2026 (d) 13,915 13,833
6.850% due 12/17/2027 165 165
Enterprise Mortgage Acceptance Co.
6.110% due 07/15/2003 132 131
Federal Home Loan Mortgage Corp.
6.000% due 07/15/2006 3,064 3,060
6.500% due 08/15/2006 3,000 3,008
10.000% due 09/15/2009 3 3
6.375% due 08/15/2011 3,774 3,777
6.500% due 08/15/2011 21,167 20,952
12.500% due 09/30/2013 628 658
6.250% due 07/15/2014 1,752 1,753
10.000% due 07/15/2019 295 312
9.000% due 11/15/2019 832 846
7.500% due 04/15/2020 438 438
10.000% due 05/15/2020 207 218
9.000% due 12/15/2020 3,833 3,974
7.500% due 12/15/2020 1,561 1,574
9.500% due 01/15/2021 1,233 1,285
8.000% due 04/15/2021 1,384 1,420
9.000% due 05/15/2021 244 253
7.500% due 01/20/2024 7,247 7,305
Federal National Mortgage Assn.
8.950% due 05/25/2003 43 44
9.000% due 07/25/2003 331 338
9.400% due 07/25/2003 75 77
6.875% due 06/25/2009 1,949 1,956
7.000% due 09/25/2016 10,368 10,359
8.750% due 05/25/2019 46 47
9.000% due 07/25/2019 43 43
9.500% due 03/25/2020 3,340 3,575
9.500% due 05/25/2020 1,450 1,531
9.000% due 03/25/2021 4,104 4,246
9.000% due 04/25/2021 139 145
8.000% due 03/25/2022 53 53
5.000% due 01/25/2024 169 168
7.000% due 03/25/2024 5,000 4,800
8.500% due 04/01/2025 3,528 3,666
6.455% due 02/01/2028 (d) 7,949 8,025
First Plus Home Loan Trust
6.060% due 09/10/2011 500 499
GE Capital Mortgage Services, Inc.
6.750% due 12/25/2012 3,458 3,447
6.500% due 02/25/2024 10 10
German American Capital Corp.
7.000% due 08/12/2010 6,800 6,940
Glendale Federal Savings & Loan
6.577% due 03/25/2030 (d) 1,407 1,426
Government National Mortgage Assn.
7.000% due 10/20/2025 7,000 6,829
Greenwich
8.145% due 11/25/2024 (d) 575 583
Independent National Mortgage Corp.
7.729% due 11/25/2024 (d) 871 885
J.P. Morgan Commercial Mortgage Finance Corp.
7.069% due 09/15/2029 185 186
6.373% due 01/15/2030 138 136
LB Commercial Conduit Mortgage Trust
6.330% due 11/18/2004 135 132
Lehman Large Loan
6.790% due 06/12/2004 162 163
Mellon Residential Funding Corp.
6.400% due 06/26/2028 2,661 2,591
88 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
6.580% due 07/25/2029 $ 17,411 $ 17,324
Merrill Lynch Mortgage Investors, Inc.
6.310% due 11/15/2026 251 247
Morgan Stanley Capital
6.860% due 07/15/2005 130 128
7.227% due 01/16/2006 230 235
6.220% due 06/03/2030 224 218
Mortgage Capital Funding, Inc.
6.325% due 10/18/2007 23,055 22,575
Nomura Asset Securities Corp.
6.625% due 01/25/2009 1,295 1,295
Norwest Asset Securities Corp.
6.250% due 11/25/2013 16,639 16,078
7.000% due 01/25/2028 34,978 34,651
6.500% due 01/25/2029 6,000 5,616
Norwest Mortgage
12.250% due 04/01/2014 214 213
PNC Mortgage Securities Corp.
6.500% due 02/25/2028 11,669 11,643
6.750% due 05/25/2028 5,694 5,631
Prudential Bache
5.740% due 09/01/2018 (d) 27 26
8.400% due 03/20/2021 4,279 4,401
Prudential Home Mortgage Securities
7.500% due 10/25/2007 878 886
7.000% due 01/25/2008 10,000 9,962
6.750% due 11/25/2008 4,751 4,525
7.000% due 06/25/2023 3,014 2,999
6.050% due 04/25/2024 206 205
6.000% due 05/25/2024 18 18
Resecuritization Mortgage Trust
5.630% due 04/26/2021 (d) 16,076 15,629
Residential Accredit Loans, Inc.
6.500% due 02/25/2029 28,596 27,631
Residential Asset Securitization Trust
6.500% due 09/25/2014 491 478
Residential Funding Mortgage Securities, Inc.
6.500% due 06/25/2008 1,211 1,211
6.500% due 04/25/2009 47 47
6.500% due 08/25/2013 3,680 3,561
5.650% due 07/01/2019 (d) 888 862
7.100% due 07/25/2027 4,220 4,219
7.000% due 10/25/2027 10,000 9,457
7.250% due 10/25/2027 19,500 19,552
6.250% due 11/25/2028 6,000 5,408
Resolution Trust Corp.
6.543% due 09/25/2019 (d) 831 829
8.625% due 10/25/2021 13,661 13,620
5.340% due 10/25/2021 503 505
6.945% due 10/25/2021 (d) 108 108
6.900% due 02/25/2027 4,344 3,971
9.000% due 09/25/2028 167 167
7.354% due 10/25/2028 (d) 104 106
Ryland Acceptance Corp.
8.000% due 03/01/2018 2,051 2,044
Ryland Mortgage Securities Corp.
6.442% due 11/25/2021 1,359 1,365
Salomon Brothers Mortgage Securities
6.972% due 12/25/2017 (d) 1,808 1,814
7.538% due 03/25/2024 (d) 1,568 1,600
Securitized Asset Sales, Inc.
6.750% due 08/25/2025 1,634 1,633
Shearson Lehman
9.600% due 03/25/2021 347 346
Structured Asset Mortgage Investments, Inc.
6.125% due 11/25/2013 37,218 35,725
6.906% due 06/25/2028 (d) 7,139 7,142
9.054% due 06/25/2029 9,696 10,185
6.584% due 06/25/2029 (d) 32,422 31,591
6.750% due 05/02/2030 5,000 4,881
Structured Asset Notes Transactions Limited
6.650% due 08/30/2005 23,709 22,945
Structured Asset Securities Corp.
7.000% due 12/25/2027 51,500 48,715
TMA Mortgage Funding Trust
5.719% due 01/25/2029 (d) 14,670 14,666
Union Planters Mortgage Finance Corp.
6.450% due 01/25/2028 6,000 5,955
-------------
700,539
=============
Federal Home Loan Mortgage Corporation 4.5%
4.750% due 06/01/2001 7 7
5.730% due 11/01/2014-07/01/2027 (d)(g) 2,286 2,244
5.740% due 01/01/2030-12/01/2030 (d)(g) 3,074 3,013
5.750% due 01/15/2008-01/01/2020 (d)(g) 7,000 6,947
5.754% due 09/01/2015-10/01/2030 (d)(g) 3,246 3,187
5.756% due 06/01/2030 (d) 511 498
5.820% due 01/01/2020 (d) 594 585
5.836% due 02/01/2016 (d) 84 83
6.000% due 10/23/2006-08/01/2028 (d)(g) 45,531 42,919
6.500% due 04/01/2000-10/01/2028 (g) 9,597 9,616
6.553% due 02/01/2020 (d) 2,590 2,636
6.750% due 06/15/2019 7,723 7,756
6.757% due 03/01/2024 (d) 90 93
6.893% due 07/01/2018 (d) 382 392
6.901% due 10/01/2027 (d) 1,354 1,376
6.978% due 01/01/2024 (d) 1,109 1,142
7.013% due 01/01/2024 (d) 2,220 2,273
7.026% due 11/01/2022 (d) 1,842 1,899
7.102% due 06/01/2024 (d) 786 808
7.156% due 12/01/2022 (d) 786 804
7.337% due 09/01/2023 (d) 305 312
7.500% due 09/01/2006 94 94
7.512% due 11/01/2023 (d) 771 780
7.550% due 10/01/2023 (d) 1,203 1,217
8.000% due 07/01/2006-06/01/2027 (g) 95,583 97,967
8.250% due 10/01/2007-11/01/2007 (g) 33 35
8.500% due 07/01/2001-11/01/2025 (g) 15,698 16,303
8.750% due 02/01/2001-04/01/2002 (g) 31 31
9.000% due 05/01/2002-08/01/2022 (g) 3,834 4,020
9.250% due 07/01/2001 3 3
9.500% due 03/01/2001-12/01/2004 (g) 75 78
9.750% due 03/01/2001-11/01/2008 (g) 763 799
10.000% due 04/01/2001-04/01/2015 (g) 14 15
10.500% due 07/01/2000-02/01/2016 (g) 53 57
10.750% due 10/01/2000-08/01/2011 (g) 391 422
11.500% due 10/01/2015 1 1
11.750% due 11/01/2010-08/01/2015 (g) 15 15
14.000% due 09/01/2012-04/01/2016 (g) 12 14
14.500% due 12/01/2010 4 5
15.000% due 08/01/2011-12/01/2011 (g) 4 4
15.500% due 11/01/2011 0 1
-------------
210,451
=============
Federal Housing Administration 1.0%
6.950% due 04/01/2014 2,165 1,955
7.400% due 02/01/2019 127 129
7.421% due 11/01/2019 657 667
7.430% due 10/01/2019-08/01/2022 (g) 40,718 41,320
-------------
44,071
=============
Federal National Mortgage Association 6.7%
5.729% due 10/01/2026 (d) 56 54
5.730% due 11/01/2016-10/01/2028 (d)(g) 16,619 16,291
5.734% due 07/01/2024 (d) 1,276 1,252
5.735% due 01/01/2027-08/01/2029 (d)(g) 771 756
5.740% due 08/01/2020-08/01/2029 (d)(g) 1,554 1,525
5.742% due 12/01/2030 (d) 5,662 5,548
5.749% due 07/01/2020 (d) 812 798
5.751% due 02/01/2024 (d) 894 877
5.753% due 05/01/2036 (d) 3,351 3,267
5.754% due 04/01/2019-05/01/2031 (d)(g) 5,954 5,844
5.758% due 05/01/2036 (d) 1,231 1,201
5.770% due 06/01/2014-07/01/2014 (d)(g) 1,245 1,226
5.788% due 04/25/2022 (d) 235 239
5.794% due 06/01/2024 (d) 41 40
5.800% due 08/01/2023 (d) 944 926
5.825% due 04/01/2018 (d) 7119 6,893
6.000% due 05/01/2011-12/25/2020 (g) 293 286
6.132% due 01/01/2021 (d) 511 511
6.241% due 07/01/2017 (d) 621 633
1999 Semi-Annual Report See accompanying notes 89
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
6.315% due 09/01/2006 $ 19,999 $ 19,274
6.368% due 11/01/2017 (d) 382 384
6.375% due 10/25/2029 5,200 5,091
6.500% due 10/22/2005-06/01/2008 (g) 10,018 9,883
6.669% due 11/01/2018 (d) 174 178
6.802% due 04/01/2024 (d) 2,419 2,486
6.904% due 01/01/2024 (d) 57 60
6.923% due 01/01/2024 (d) 2,610 2,687
7.000% due 04/01/2002-05/01/2012 (g) 391 392
7.230% due 07/01/2023 (d) 1,524 1,583
7.300% due 10/01/2024 (d) 4,657 4,787
7.500% due 04/01/2024-05/01/2024 (g) 10,416 10,495
8.000% due 03/01/2004-12/01/2025 (g) 7,251 7,427
8.500% due 03/01/2008-08/01/2026 (g) 181,060 187,854
9.500% due 07/01/2025-11/01/2025 (g) 4,752 5,027
10.000% due 02/01/2004-06/01/2019 (g) 1,457 1,563
10.500% due 06/01/2005-11/01/2005 (g) 182 190
11.000% due 09/01/2000 5 5
11.250% due 12/01/2010-10/01/2015 (g) 168 186
11.750% due 02/01/2016 37 42
12.000% due 01/01/2015-10/01/2015 (g) 6 7
12.750% due 03/01/2014 26 29
13.000% due 07/01/2015 8 9
13.250% due 09/01/2011 17 20
13.500% due 04/01/2014 3 4
14.500% due 08/01/2014 40 46
15.500% due 10/01/2012-12/01/2012 (g) 68 79
15.750% due 12/01/2011 34 40
16.000% due 09/01/2012-12/01/2012 (g) 17 19
-------------
308,014
=============
Government National Mortgage Association 7.2%
6.000% due 11/23/2029 (d) 35,000 34,923
6.125% due 10/20/2023-10/20/2025 (d)(g) 56,328 57,168
6.375% due 04/20/2016-06/20/2027 (d)(g) 52,161 52,849
6.500% due 05/15/2023-10/15/2023 (g) 572 552
6.625% due 08/20/2022-07/20/2027 (d)(g) 94,516 95,707
7.000% due 03/15/2011-04/15/2026 (g) 5,362 5,299
7.500% due 02/15/2022-01/15/2028 (g) 52,586 52,996
8.000% due 07/15/2004-05/15/2025 (g) 30,833 31,895
8.500% due 04/15/2022-03/20/2027 (g) 1,330 1,379
9.750% due 07/15/2013-02/15/2020 (g) 876 943
11.250% due 10/15/2000 2 2
11.750% due 08/15/2013-08/15/2015 (g) 77 86
12.000% due 06/20/2015 14 16
12.250% due 01/15/2014-03/15/2014 (g) 198 225
13.000% due 10/15/2013 6 7
13.500% due 05/15/2011-11/15/2012 (g) 28 32
16.000% due 12/15/2011-04/15/2012 (g) 37 45
-------------
334,124
=============
Other Mortgage-Backed Securities 1.3%
Allied Waste North America, Inc.
8.188% due 07/30/2006 (d) 13,636 13,569
8.250% due 07/30/2007 (d) 3,818 3,819
8.438% due 07/30/2007 (d) 10,363 10,327
First Boston Mortgage Securities Corp.
8.300% due 08/20/2009 90 90
Glendale Federal Savings & Loan
11.000% due 03/01/2010 17 18
Goldman Sachs Mortgage Securities Corp.
7.750% due 05/19/2027 12,370 12,645
Home Savings of America
5.464% due 05/25/2027 (d) 1,440 1,400
5.539% due 09/25/2028 (d) 1,013 1,002
Imperial Savings & Loan
8.828% due 07/25/2017 (d) 39 39
9.900% due 02/25/2018 408 419
MDC Mortgage Funding
8.031% due 01/25/2025 (d) 218 222
Resolution Trust Corp.
6.004% due 05/25/2019 (d) 3,823 3,790
6.860% due 08/25/2019 (d) 3,633 3,634
10.299% due 08/25/2021 (d) 514 514
9.500% due 05/25/2024 26 26
5.705% due 10/25/2028 (d) 2,150 2,181
6.908% due 05/25/2029 (d) 2,499 2,500
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 482 495
7.372% due 12/25/2017 (d) 184 181
Sears Mortgage
12.000% due 02/25/2014 80 80
7.217% due 10/25/2022 (d) 2,483 2,511
Western Federal Savings & Loan
6.269% due 11/25/2018 (d) 22 21
-------------
59,483
=============
Stripped Mortgage-Backed Securities 0.4%
Federal Home Loan Mortgage Corp. (IO)
6.250% due 09/15/2004 282 1
6.000% due 02/15/2006 1,067 44
9.982% due 07/15/2006 21 155
10.195% due 08/15/2006 8 72
11.944% due 12/15/2006 18 197
6.000% due 10/15/2007 1,059 54
6.000% due 02/15/2008 3,368 191
7.000% due 08/15/2018 7,321 754
7.500% due 12/15/2018 363 4
7.000% due 04/15/2019 1,248 56
6.500% due 05/15/2019 7,062 559
6.500% due 06/15/2019 5,405 325
10.496% due 04/15/2021 17 283
6.500% due 04/15/2022 4,427 464
7.000% due 05/15/2023 461 65
4.000% due 01/15/2024 20,919 4,631
Federal National Mortgage Association (IO)
6.000% due 07/25/2005 658 15
7.272% due 09/25/2006 49 468
6.000% due 02/25/2008 4,405 274
256.000% due 11/01/2008 29 164
0.950% due 03/25/2009 (d) 21,960 394
6.500% due 03/25/2009 8,353 876
8.815% due 06/25/2016 9 16
6.533% due 07/25/2017 2,590 2,542
7.500% due 03/25/2019 3,074 263
6.500% due 05/25/2019 10,000 1,171
6.500% due 04/25/2020 12,259 921
7.000% due 05/25/2021 6,759 618
8.598% due 02/25/2022 27 437
6.500% due 03/25/2023 5,051 592
4.875% due 03/25/2024 (d) 7,773 401
Federal National Mortgage Association (PO)
0.000% due 07/25/2022 416 412
0.000% due 09/25/2022 35 30
Prudential Home Mortgage Securities (IO)
0.300% due 04/25/2009 (d) 60,571 387
Resolution Trust Corp. (PO)
0.000% due 09/25/2000 305 306
-------------
18,142
-------------
Total Mortgage-Backed Securities 1,674,824
(Cost $1,695,182) =============
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 5.3%
- --------------------------------------------------------------------------------
Allied Waste North America, Inc.
8.438% due 07/30/2007 (d) 2,182 2,183
AT&T Universal Card Master Trust
5.950% due 10/17/2002 4,000 3,996
Bombardier Capital Mortgage
6.605% due 09/15/2010 11,614 11,614
Capital Asset Research Funding LP
6.400% due 12/15/2004 92 92
Citicorp Mortgage Securities, Inc.
6.750% due 05/25/2028 6,266 5,893
CMC Securities Corporation IV
7.250% due 11/25/2027 8,838 8,685
Community Program Loan Trust
4.500% due 10/01/2018 17,336 15,678
Contimortgage Home Equity Loan Trust
5.360% due 04/15/2028 (d) 304 304
Duck Auto Grantor Trust
5.650% due 03/15/2004 16,064 15,969
90 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------------------------
<S> <C> <C>
Empire Funding Home Loan Owner Trust
6.590% due 05/25/2014 $ 25,702 $ 25,600
Federal-Mogul Corp.
7.250% due 12/31/2005 (d) 5,000 5,000
GF Funding Corp.
6.250% due 09/30/2002 27,977 27,977
Green Tree Home Improvement Loan
6.320% due 09/15/2029 21,000 20,980
IMC Home Equity Loan Trust
5.596% due 10/20/2027 (d) 7,414 7,443
Lyondell Petroleum
8.980% due 12/31/2003 (d) 5,000 4,978
Merit Securities Corp.
7.040% due 01/28/2030 35,000 35,131
New York City Tax Lien
6.350% due 04/01/2007 12,855 12,823
Oakwood Mortgage Investors, Inc.
6.950% due 08/15/2027 5,500 5,471
Premiet Auto Trust
5.560% due 04/08/2001 3,163 3,163
Primedia, Inc.
8.130% due 07/31/2004 (d) 15,000 14,981
Prudential Home Mortgage Security
7.000% due 08/25/2009 4,000 4,031
Starwood Hotels & Resorts Worldwide, Inc.
9.133% due 02/23/2003 (d) 10,000 10,000
Stone Container Corp.
8.750% due 10/01/2003 (d) 4,725 4,737
-----------
Total Asset-Backed Securities 246,729
(Cost $247,546) ===========
- ---------------------------------------------------------------------------------------------
SOVEREIGN ISSUES 3.3%
- ---------------------------------------------------------------------------------------------
Central Bank Philippines
6.000% due 06/01/2008 (d) 11,000 10,175
Hydro Quebec
9.000% due 03/07/2001 10,000 10,357
Korea Development Bank
7.125% due 09/17/2001 5,000 4,966
7.900% due 02/01/2002 1,300 1,308
7.625% due 10/01/2002 36,000 35,797
Nacional Financiera
10.625% due 11/22/2001 7,500 7,774
Petroleos Mexicanos
9.375% due 12/02/2008 5,500 5,612
Province of Quebec
5.000% due 10/25/2001 (d) 250 248
Republic of Argentina
14.250% due 11/30/2002 (d) 4,000 3,781
11.447% due 04/10/2005 (d) 9,000 7,932
Republic of Bulgaria
6.500% due 07/28/2024 (d) 5,000 3,438
Republic of Korea
7.594% due 04/08/2000 (d) 8,500 8,532
Republic of Philippines
6.000% due 12/01/2007 3,000 2,768
State of Qatar
9.500% due 05/21/2009 2,000 2,065
United Mexican States
6.000% due 04/07/2000 (d) 9,206 9,146
5.820% due 06/28/2001 10,500 10,238
6.768% due 06/27/2002 (d) 9,000 8,865
9.060% due 04/07/2004 (d) 5,000 5,050
5.874% due 12/31/2019 15,000 12,929
-----------
Total Sovereign Issues 150,981
(Cost $149,731) ===========
- ---------------------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 0.2%
- ---------------------------------------------------------------------------------------------
Commonwealth of Canada
8.750% due 12/01/2005 C$ 1,150 $ 904
United Mexican States
8.750% due 05/30/2002 BP 3,000 4,895
5.000% due 09/30/2002 JY 550,000 5,387
-----------
Total Foreign Currency-Denominated Issues 11,186
(Cost $10,287) ===========
- ---------------------------------------------------------------------------------------------
PREFERRED STOCK 1.7%
- ---------------------------------------------------------------------------------------------
Shares
Home Ownership Funding
13.330% due 12/31/2049 3,000 $ 2,490
Rhone-Poulenc SA
8.125% due 12/31/2049 13,000 305
SI Financing Trust
9.500% due 06/30/2026 806,600 20,820
TCI Communications, Inc.
10.000% due 05/31/2045 800,300 20,858
9.720% due 12/31/2036 224,700 5,912
8.720% due 01/31/2045 1,170,100 29,399
-----------
Total Preferred Stock 79,784
(Cost $83,777) ===========
- ---------------------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 3.0%
- ---------------------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 2.2%
American Express
5.280% due 10/12/1999 $ 3,600 3,595
5.280% due 10/27/1999 2,600 2,591
Bellsouth Telecom
5.270% due 10/05/1999 6,800 6,796
5.250% due 10/06/1999 1,500 1,499
5.290% due 10/26/1999 1,900 1,893
Coca Cola Co.
5.270% due 10/22/1999 11,700 11,664
Ford Motor Credit Corp.
5.300% due 10/12/1999 13,000 12,979
General Electric Capital Corp.
5.300% due 10/05/1999 1,300 1,299
5.370% due 10/20/1999 6,200 6,182
General Motors Acceptance Corp.
5.300% due 10/19/1999 2,500 2,493
Hewlett-Packard Co.
5.300% due 10/07/1999 7,500 7,493
US West Communications
6.250% due 02/08/2000 40,000 39,202
Warner-Lambert Co.
5.270% due 10/05/1999 5,500 5,497
-----------
103,183
===========
Repurchase Agreement 0.6%
State Street Bank
4.800% due 10/01/1999 27,689 27,689
(Dated 09/30/1999. Collateralized by
Federal National Mortgage Association
0.000% 08/11/2000 valued at $28,247,369
Repurchase proceeds are $27,692,692.)
U.S. Treasury Bills (b) 0.2%
4.710% due 02/17/2000 8,995 8,832
-----------
Total Short-Term Instruments 139,704
(Cost $139,597) ===========
Total Investments (a) 103.2% $4,775,841
(Cost $4,812,209)
Written Options (c) (0.2%) (9,228)
(Premiums $9,125)
Other Assets and Liabilities (Net) (3.0%) (137,647)
-----------
Net Assets 100.0% $4,628,966
===========
</TABLE>
1999 Semi-Annual Report See accompanying notes 91
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 12,335
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (48,703)
-------------
Unrealized depreciation-net $ (36,368)
=============
(b) Securities with an aggregate market value of $18,520
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar September Futures (09/2000) 210 $ (24)
Eurodollar December Futures (12/1999) 330 (872)
Eurodollar December Futures (03/2000) 120 (288)
Eurodollar December Futures (12/2000) 1,255 (1,298)
U.S. Treasury 5 Year Note (12/1999) 404 123
-------------
$ (2,359)
=============
(c) Premiums received on written options:
<TABLE>
<CAPTION>
# of
Type Contracts Premium Value
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 118.00 Exp. 11/20/1999 5,000 $ 2,004 $ 1,484
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 110.00 Exp. 11/20/1999 5,000 1,067 1,641
Put - OTC U.S.Treasury Note
5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 24,000 99 0
Put - CME Eurodollar December Futures
Strike @ 94.250 Exp. 12/13/1999 1,250 197 325
Put - CME Eurodollar December Futures
Strike @ 94.500 Exp. 12/13/1999 5,000 1,177 2,375
Put - CME Eurodollar December Futures
Strike @ 94.000 Exp. 12/13/1999 15,510 3,013 1,706
Put - CME Eurodollar December Futures
Strike @ 93.500 Exp. 12/18/2000 3,750 1,230 1,369
Put - LIFFE BP 90 Day LIBOR 09/2000
Strike @ 93.000 Exp. 09/20/2000 175,000 338 328
$ 9,125 $ 9,228
========================
</TABLE>
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell BP 6,183 10/1999 $ (20)
Sell C$ 1,957 10/1999 (17)
Sell EC 2,780 02/2000 41
Sell JY 581,184 02/2000 128
Buy PZ 20,000 02/2000 (130)
-------------
$ 2
=============
(f) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
EC - European Currency Unit
JY - Japanese Yen
PZ - Polish Zloty
(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 September 30, 1999:
<TABLE>
<CAPTION>
Type Notional Unrealized
Amount (Depreciation)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 5.950%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/17/2001 $ 3,100 $ (31)
Receive floating rate based on 6 months LIBOR and pay
floating rate based on 6 months LIBOR plus 5.700%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/28/2001 1,500 (20)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 6.150%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 2,000 (26)
-----------
$ (77)
===========
</TABLE>
92 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund II
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 32.2%
- --------------------------------------------------------------------------------
Banking & Finance 27.0%
Associates Corp. of North America
6.750% due 07/15/2001 $ 20,000 $ 20,128
Banponce Corp.
6.880% due 06/16/2000 2,390 2,397
Bear Stearns Co., Inc.
5.760% due 08/25/2000 (d) 10,000 10,066
CIT Group, Inc.
6.200% due 10/20/2000 15,000 14,977
Ford Motor Credit Corp.
5.570% due 07/16/2002 (d) 13,000 12,976
5.750% due 02/23/2004 1,000 961
General Motors Acceptance Corp.
7.125% due 05/01/2001 4,000 4,052
6.625% due 01/10/2002 4,000 3,999
5.875% due 01/22/2003 4,000 3,892
7.625% due 05/05/2003 1,100 1,132
Goldman Sachs Group
5.468% due 01/25/2001 (d) 10,000 9,983
Hitachi Credit America
6.100% due 04/24/2001 20,000 19,782
Household Finance Corp.
6.700% due 06/15/2002 2,525 2,522
Lehman Brothers Holdings, Inc.
6.249% due 04/02/2002 (d) 9,400 9,394
Morgan Stanley, Dean Witter, Discover and Co.
5.820% due 06/19/2000 (d) 10,000 9,984
Sears Roebuck Acceptance
6.720% due 10/23/2002 20,000 19,987
--------
146,232
========
Industrials 5.2%
Philip Morris Cos., Inc.
9.000% due 01/01/2001 4,316 4,441
--------
4,441
--------
Total Corporate Bonds & Notes 150,673
(Cost $151,620) ========
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 5.7%
- --------------------------------------------------------------------------------
Federal Home Loan Bank
6.000% due 05/12/2000 (d) 5,000 4,934
5.625% due 03/19/2001 (d) 13,800 13,730
Federal National Mortgage Assn.
7.500% due 02/11/2002 (d) 175 180
Student Loan Marketing Assn.
5.495% due 04/25/2007 (d) 7,803 7,792
--------
Total U.S. Government Agencies 26,636
========
(Cost $26,743)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 0.7%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 01/15/2008 (f) 1,135 1,099
3.875% due 01/15/2009 (f) 1,932 1,902
U.S. Treasury Notes
5.500% due 02/29/2000 (b) 205 205
--------
Total U.S. Treasury Obligations 3,206
========
(Cost $3,252)
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 53.5%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 22.7%
American Southwest Financial
7.500% due 10/01/2018 617 620
CMC Securities Corp.
7.117% due 04/25/2025 (d) 2,011 2,018
Countrywide Home Loans
7.500% due 09/25/2027 20,000 19,802
Criimi Mae Financial Corp.
7.000% due 01/01/2033 11,096 11,023
DLJ Mortgage Acceptance Corp.
4.224% due 05/25/2024 (d) 730 760
Federal Home Loan Mortgage Corp.
12.900% due 05/01/2014 175 196
9.250% due 10/25/2018 82 86
6.500% due 08/15/2023 9,709 9,612
Federal National Mortgage Assn.
8.000% due 11/25/2023 4,726 4,845
GE Capital Mortgage Services, Inc.
6.750% due 12/25/2012 3,458 3,447
Norwest Asset Securities Corp.
6.250% due 11/25/2013 2,246 2,171
7.000% due 01/25/2028 7,264 7,196
Residential Funding Mortgage Securities, Inc.
7.500% due 10/25/2022 818 824
7.250% due 08/25/2027 16,000 15,917
Resolution Trust Corp.
7.354% due 10/25/2028 (d) 3,324 3,401
Ryland Acceptance Corp.
14.000% due 11/25/2031 90 96
Salomon Brothers Mortgage Securities
6.852% due 11/25/2022 (d) 1,239 1,265
Structured Asset Mortgage Investments, Inc.
6.750% due 05/02/2030 9,979 9,742
Union Planters Mortgage Finance Corp.
6.600% due 01/25/2028 13,000 12,890
--------
105,911
========
Federal Home Loan Mortgage Corporation 3.0%
6.000% due 05/15/2022 4,970 4,873
6.500% due 07/15/2017 858 861
7.032% due 07/01/2023 (d) 646 656
8.000% due 07/01/2024-12/01/2025 (e) 6,749 6,920
8.500% due 06/01/2009-06/01/2025 (e) 570 592
10.500% due 09/01/2015 10 11
--------
13,913
========
Federal Housing Administration 5.9%
7.200% due 05/01/2009 1,852 1,828
7.430% due 07/01/2024 25,560 25,552
--------
27,380
========
Federal National Mortgage Association 7.2%
5.730% due 11/01/2027-09/01/2028 (d)(e) 3,044 2,978
5.748% due 10/01/2032 (d) 3,631 3,552
5.753% due 05/01/2036 (d) 3,770 3,677
5.758% due 05/01/2036 (d) 5,042 4,917
6.150% due 09/25/2016 5,046 5,018
6.375% due 10/25/2029 4,000 3,916
6.620% due 01/01/2024 (d) 967 996
8.500% due 06/01/2024-06/01/2026 (e) 7,263 7,538
10.500% due 05/01/2012 807 890
--------
33,482
========
Government National Mortgage Association 14.3%
6.000% due 11/23/2029 (d) 4,700 4,690
6.125% due 10/20/2025 (d) 11,420 11,516
6.375% due 04/20/2022-05/20/2027 (d)(e) 16,129 16,334
6.500% due 08/15/2023-10/15/2023 (e) 456 441
6.625% due 07/20/2023 (d) 8,179 8,305
7.000% due 03/15/2022-10/21/2023 (e) 19,159 18,907
7.500% due 02/15/2022-03/15/2024 (e) 5,092 5,134
8.000% due 03/15/2023-10/15/2025 (e) 1,096 1,124
9.000% due 07/20/2016-12/20/2017 (e) 580 610
--------
67,061
========
Other Mortgage-Backed Securities 0.4%
Guardian
7.757% due 07/25/2019 (d) 74 73
Resolution Trust Corp.
6.004% due 05/25/2019 (d) 831 824
Sears Mortgage
6.500% due 03/25/2017 21 20
7.217% due 10/25/2022 (d) 1,083 1,095
--------
2,012
--------
Total Mortgage-Backed Securities 249,759
========
(Cost $252,890)
PIMCO Funds See accompanying notes 93
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund II
September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- ------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 4.2%
- ------------------------------------------------------------------------------------
<S> <C> <C>
Countrywide Home Equity Loan Trust
5.420% due 08/15/2025 (d) $ 9,697 $ 9,697
The Money Store Home Equity Trust
6.490% due 10/15/2026 10,000 9,877
---------
Total Asset-Backed Securities 19,574
=========
(Cost $19,814)
- ------------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 7.1%
- ------------------------------------------------------------------------------------
Certificates of Deposit 1.1%
Commercebank Range
6.200% due 05/10/2000 5,000 5,000
----------
Commercial Paper 5.0%
Bellsouth Telecommunications, Inc.
5.350% due 10/13/1999 200 200
5.280% due 10/18/1999 10,600 10,574
General Electric Capital Corp.
5.300% due 10/18/1999 12,300 12,269
General Motors Acceptance Corp.
5.300% due 10/19/1999 500 499
----------
23,542
==========
Repurchase Agreement 0.4%
State Street Bank
4.800% due 10/01/1999 1,997 1,997
----------
(Dated 09/30/1999. Collateralized by Federal
National Mortgage Association
5.310% 05/18/2001 valued at $2,040,396
Repurchase proceeds are $1,997,266.)
U.S. Treasury Bills (b) 0.6%
4.710% due 02/17/2000 2,760 2,710
----------
Total Short-Term Instruments 33,249
==========
(Cost $33,249)
Total Investments (a) 103.4% $ 483,097
(Cost $487,568)
Written Options (c) (0.3%) (1,256)
(Premiums $1,244)
Other Assets and Liabilities (Net) (3.1%) (14,433)
----------
Net Assets 100.0% $ 467,408
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 816
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value (5,287)
----------
Unrealized depreciation-net $ (4,471)
==========
</TABLE>
(b) Securities with an aggregate market value of $2,915
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 1999:
<TABLE>
<CAPTION>
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- -------------------------------------------------------------------------------------
<S> <C> <C>
Eurodollar March Futures (03/2001) 110 $ (136)
Eurodollar June Futures (06/2001) 110 (157)
Eurodollar December Futures (12/2000) 95 (99)
U.S. Treasury 2 Year Note (12/1999) 4 1
U.S. Treasury 5 Year Note (12/1999) 9 0
----------
$ (391)
==========
</TABLE>
(c) Premiums received on written options:
<TABLE>
<CAPTION>
# of
Type Contracts Premium Value
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C>
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 118.00 Exp. 11/20/1999 2,000 $ 802 $ 594
Put - CBOT U.S. Treasury December Bond Futures
Strike @ 110.00 Exp. 11/20/1999 2,000 426 656
Put - OTC U.S.Treasury Note 5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 2,600 11 0
Put - CME Eurodollar December Futures
Strike @ 94.000 Exp. 12/13/1999 55 5 6
--------------------
$1,244 $1,256
===================
</TABLE>
(d) Variable rate security. The rate listed is as of September 30, 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.
94 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Low Duration Fund III
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 33.5%
- --------------------------------------------------------------------------------
Banking & Finance 17.7%
BankAmerica Corp.
8.125% due 02/01/2002 $ 1,000 $ 1,035
General Motors Acceptance Corp.
5.410% due 01/08/2002 (d) 1,000 1,001
Goldman Sachs Group
6.200% due 12/15/2000 500 499
5.400% due 02/18/2002 (d) 665 668
Salomon, Smith Barney Holdings
5.180% due 05/14/2002 (d) 325 325
TPSA Finance BV
7.125% due 12/10/2003 1,000 986
--------
4,514
========
Industrials 10.9%
Hertz Corp.
6.625% due 07/15/2000 1,000 1,003
International Game Technology
7.875% due 05/15/2004 500 481
ITT Corp.
6.250% due 11/15/2000 500 491
Marlin Water Trust
7.090% due 12/15/2001 810 810
--------
2,785
========
Utilities 4.9%
Commonwealth Edison
5.204% due 06/15/2002 (d) 500 499
Niagara Mohawk Power
7.125% due 07/01/2001 756 759
--------
1,258
--------
Total Corporate Bonds & Notes 8,557
========
(Cost $8,581)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.1%
- --------------------------------------------------------------------------------
Student Loan Marketing Assn
5.225% due 10/25/2005 (d) 547 545
--------
Total U.S. Government Agencies 545
========
(Cost $545)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 4.0%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 01/15/2008 (e)(f) 413 400
3.875% due 01/15/2009 (e) 610 600
U.S. Treasury Notes (b)
5.500% due 02/29/2000 20 20
--------
Total U.S. Treasury Obligations 1,020
========
(Cost $1,035)
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 53.9%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 17.5%
GMAC Commercial Mortgage Securities, Inc.
6.570% due 09/15/2033 986 972
Independent National Mortgage Corp.
7.250% due 11/25/2010 1,000 1,005
Norwest Asset Securities Corp.
7.000% due 01/25/2028 484 480
Prudential Home Mortgage Securities
7.500% due 08/25/2024 989 984
Residential Funding Mortgage Securities, Inc.
7.750% due 11/25/2026 1,000 1,012
--------
4,453
========
Federal Home Loan Mortgage Corporation 0.5%
8.750% due 10/01/2001 133 136
--------
Federal Housing Administration 10.0%
7.430% due 07/01/2024 2,545 2,544
--------
Federal National Mortgage Association 14.0%
5.730% due 10/01/2016-02/01/2021 (d)(g) 807 795
5.740% due 09/01/2016-03/01/2027 (d)(g) 1,079 1,058
5.747% due 10/01/2024 (d) 182 179
5.769% due 07/01/2024 (d) 286 281
5.812% due 11/01/2016 (d) 3 3
6.130% due 01/01/2024-02/01/2027 (d)(g) 419 410
8.500% due 03/01/2025-05/01/2025 (g) 819 849
--------
3,575
========
Government National Mortgage Association 11.9%
6.375% due 06/20/2027 (d) 775 787
8.500% due 10/20/2026-06/20/2027 (g) 2,170 2,243
--------
3,030
--------
Total Mortgage-Backed Securities 13,738
========
(Cost $13,967)
SOVEREIGN ISSUES 3.9%
United Mexican States
6.768% due 06/27/2002 (d) 1,000 985
--------
Total Sovereign Issues 985
========
(Cost $987)
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 3.2%
- --------------------------------------------------------------------------------
Commercial Paper 1.2%
American Express
5.280% due 10/12/1999 300 300
--------
Repurchase Agreement 2.0%
State Street Bank
4.800% due 10/01/1999 507 507
(Dated 09/30/1999. Collateralized by Federal
Home Loan Mortgage Corp. 0.000%
08/09/2000 valued at $521,020.
Repurchase proceeds are $507,068.)
--------
Total Short-Term Instruments 807
========
(Cost $807)
Total Investments (a) 100.6% $25,652
(Cost $25,923)
Written Options (c) (0.0%) 0
(Premiums $1)
Other Assets and Liabilities (Net) (0.6%) (156)
--------
Net Assets 100.0% $25,496
========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 8
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (279)
--------
Unrealized depreciation-net $ (271)
--------
(b) Securities with an aggregate market value of $20
have been segregated with the custodian to cover margin
requirements for the following open futures contracts
at September 30, 1999:
# of Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
Eurodollar September Futures (09/2000) 12 $ 7
Eurodollar December Futures (12/2000) 12 8
U.S. Treasury 2 Year Note (12/1999) 2 0
--------
$ 15
========
(c) Premiums received on written options:
# of
Type Contracts Premium Value
- --------------------------------------------------------------------------------
Put - OTC U.S. Treasury Note
5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 100 $ 1 $ 0
Put - CME Eurodollar December Futures
Strike @ 94.000 Exp. 12/13/1999 3 0 0
----------------
$ 1 $ 0
================
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Principal amount of the security is adjusted for inflation.
(f) Subject to a financing transaction.
(g) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
1999 Semi-Annual Report See accompanying notes 95
<PAGE>
Schedule of Investments
Short-Term Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 25.1%
- --------------------------------------------------------------------------------
Banking & Finance 15.8%
Banco Nacional Obra Services
9.625% due 11/15/2003 $ 6,900 $ 6,883
BankBoston Corp.
6.125% due 03/15/2002 1,000 985
Bankers Trust Corp.
5.525% due 05/11/2003 (d) 11,000 10,989
Dean Witter Discover
5.250% due 02/13/2001 (d) 5,000 4,997
Donaldson, Lufkin & Jenrette
6.125% due 05/25/2026 (d) 264 264
Ford Motor Credit Corp.
5.596% due 08/27/2001 (d) 3,000 2,996
5.663% due 03/19/2002 4,295 4,300
5.670% due 12/16/2002 (d) 10,000 9,940
General Motors Acceptance Corp.
5.410% due 01/08/2002 (d) 1,000 996
5.438% due 04/29/2002 (d) 2,450 2,448
5.568% due 08/18/2003 (d) 16,575 16,441
Goldman Sachs Group
5.373% due 07/31/2000 (d) 8,000 7,986
Heller Financial, Inc.
5.240% due 04/22/2002 (d) 15,000 15,048
Korea Development Bank
6.250% due 05/01/2000 585 583
Lehman Brothers Holdings, Inc.
5.390% due 08/11/2000 (d) 3,000 3,014
6.073% due 05/07/2002 (d) 3,000 3,009
Mid-Amercian Funding LLC
5.850% due 03/01/2001 1,000 991
Residential Funding Mortgage Securities, Inc.
6.639% due 12/01/2018 (d) 1,196 1,220
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (f) 3,153 3,069
--------
96,159
========
Industrials 4.6%
Amerco, Inc.
6.890% due 10/15/2000 5,000 4,820
Champion International Corp.
7.700% due 12/15/1999 10,000 10,032
COFIRI International, Inc.
5.295% due 10/27/2000 (d) 2,000 1,993
ITT Corp.
6.250% due 11/15/2000 3,000 2,945
Occidental Petroleum
7.650% due 12/01/1999 5,000 5,011
Time Warner, Inc.
6.100% due 12/30/2001 3,000 2,981
--------
27,782
========
Utilities 4.7%
Central Maine Power Co.
6.500% due 06/14/2000 7,800 7,772
Duquesne Light Co.
6.450% due 03/01/2000 2,000 2,001
Pennsylvania Power & Light
6.000% due 06/01/2000 19,000 19,013
--------
28,786
--------
Total Corporate Bonds & Notes 152,727
========
(Cost $152,830)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.3%
- --------------------------------------------------------------------------------
Student Loan Marketing Assn
5.225% due 04/25/2004 (d) 2,198 2,193
5.495% due 04/25/2007 (d) 11,705 11,687
--------
Total U.S. Government Agencies 13,880
========
(Cost $13,900)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 2.1%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (f) 5,204 5,171
3.625% due 01/15/2008 (f)(g) 5,675 5,494
3.875% due 01/15/2009 (f)(g) 1,931 1,902
--------
Total U.S. Treasury Obligations 12,567
========
(Cost $12,648)
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 36.0%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 23.8%
CMC Securities Corp.
7.500% due 02/25/2023 3,826 3,850
Dime Savings
6.810% due 11/01/2018 (d) 305 280
Donaldson, Lufkin & Jenrette
7.040% due 10/17/2020 (d) 650 669
7.762% due 09/01/2021 (d) 39 39
Federal Home Loan Mortgage Corp.
6.210% due 02/25/2000 1,600 1,595
6.000% due 03/15/2005 1,300 1,300
6.000% due 02/15/2007 1,375 1,375
6.500% due 10/25/2014 4,584 4,552
5.750% due 10/15/2016 105 105
6.000% due 07/15/2019 6,419 6,379
Federal National Mortgage Assn.
6.500% due 10/18/2006 384 383
6.000% due 02/25/2008 1,519 1,501
5.254% due 07/25/2008 (d) 1,379 1,367
6.000% due 08/18/2016 44,926 44,641
6.500% due 11/25/2017 3,627 3,615
5.875% due 03/25/2018 161 161
5.850% due 05/25/2019 1,614 1,609
6.000% due 06/25/2020 27 27
6.000% due 08/25/2020 2,813 2,779
5.000% due 02/25/2022 175 173
6.500% due 09/18/2023 2,344 2,330
9.000% due 06/25/2032 11,372 11,802
First Plus Home Loan Trust
6.060% due 09/10/2011 5,000 4,994
GE Capital Mortgage Services, Inc.
6.750% due 12/25/2012 6,915 6,894
Greenwich
7.609% due 04/25/2022 (d) 97 98
6.657% due 10/25/2022 (d) 62 62
Housing Securities, Inc.
6.000% due 02/25/2008 2,022 2,018
Independent National Mortgage Corp.
7.250% due 11/25/2010 4,000 4,020
Prudential Bache
5.740% due 09/01/2018 (d) 27 26
Prudential Home Mortgage Securities
6.950% due 11/25/2022 233 215
Salomon Brothers Mortgage Securities
5.689% due 06/25/2029 (d) 4,862 4,862
Structured Asset Mortgage Investments, Inc.
6.125% due 11/25/2013 18,609 17,862
Structured Asset Securities Corp.
7.000% due 01/20/2021 1,161 1,161
TMA Mortgage Funding Trust
5.719% due 01/25/2029 12,562 12,562
--------
145,306
========
Federal Home Loan Mortgage Corporation 0.3%
7.500% due 11/01/2001 1,966 1,988
--------
Federal National Mortgage Association 4.0%
6.000% due 12/18/2014 9,928 9,884
6.150% due 09/25/2016 7,569 7,527
8.000% due 06/01/2027 4,380 4,477
8.500% due 01/01/2026 2,439 2,534
--------
24,422
========
96 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments (Cont.)
Short-Term Fund
September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Government National Mortgage Association 7.6%
6.125% due 11/20/2026 (d) $ 16,563 $ 16,672
6.375% due 02/20/2024-04/20/2025 (d)(e) 13,097 13,295
6.625% due 09/20/2023-08/20/2027 (d)(e) 9,500 9,593
8.500% due 06/20/2027 6,574 6,798
---------
46,358
---------
Other Mortgage-Backed Securities 0.1%
First Nationwide Trust
6.466% due 10/25/2018 (d) 10 10
Resolution Trust Corp.
6.362% due 05/25/2029 (d) 684 665
---------
675
=========
Stripped Mortgage-Backed Securities 0.2%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 06/15/2019 5,923 576
Federal National Mortgage Association (IO)
7.000% due 07/25/2006 1,828 144
6.500% due 12/25/2006 3,343 137
6.500% due 06/25/2017 1,793 84
6.500% due 10/25/2023 1,824 235
---------
1,176
---------
Total Mortgage-Backed Securities 219,925
=========
(Cost $221,733)
- ---------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 9.2%
- ---------------------------------------------------------------------------------------------
Advanta Revolving Home Equity Loan Trust
5.750% due 01/25/2024 (d) 300 300
Banc One Auto Grantor Trust
6.290% due 07/20/2004 3,278 3,275
Brazos Student Loan Finance Co.
5.495% due 06/01/2023 (d) 20,000 19,630
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 1,303 1,299
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 6,367 6,370
GE Capital Mortgage Services, Inc.
7.150% due 09/25/2026 1,609 1,608
Salomon Brothers Mortgage Securities
5.960% due 11/10/2029 4,000 4,000
Starwood Hotels & Resorts Worldwide, Inc.
9.133% due 02/23/2003 (d) 10,000 10,000
The Money Store Home Equity Trust
6.635% due 09/15/2014 7,500 7,507
UniCapital Corp.
6.540% due 07/23/2002 2,000 2,000
---------
Total Asset-Backed Securities 55,989
=========
(Cost $56,270)
- ---------------------------------------------------------------------------------------------
SOVEREIGN ISSUES 4.0%
- ---------------------------------------------------------------------------------------------
Air Canada
6.238% due 07/31/2005 (d) 2,000 1,760
Federal Home Loan Bank
6.000% due 05/12/2000 (d) 10,000 9,869
Korea Development Bank
7.625% due 10/01/2002 1,000 994
Korean Export-Import Bank
6.500% due 05/15/2000 2,170 2,159
Petroleos Mexicanos
9.375% due 12/02/2008 1,000 1,021
United Mexican States
6.768% due 06/27/2002 (d) 9,000 8,739
---------
Total Sovereign Issues 24,542
=========
(Cost $24,844)
- ---------------------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (b)(c) 1.3%
- ---------------------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C.
8.750% due 09/28/2000 BP 3,000 4,989
Commonwealth of New Zealand
4.500% due 02/15/2016 (f) N$ 5,400 2,791
---------
Total Foreign Currency-Denominated Issues 7,780
=========
(Cost $8,506)
- ---------------------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 31.1%
- ---------------------------------------------------------------------------------------------
Certificates of Deposit 3.4%
Commerzbank AG
6.200% due 05/10/2000 10,000 9,924
Sumitomo Bank
5.970% due 01/26/2000 10,500 10,501
---------
20,425
=========
Commercial Paper 21.8%
Aristar, Inc.
5.880% due 02/01/2000 1,445 1,418
Eastman Kodak Co.
5.720% due 01/26/2000 6,800 6,679
Finova Capital Corp.
5.870% due 01/26/2000 1,000 982
Florida Power Corp.
5.270% due 10/07/1999 3,700 3,697
Ford Motor Credit Corp.
5.690% due 01/26/2000 6,000 5,893
General Electric Capital Corp.
5.690% due 02/09/2000 1,200 1,176
Goldman Sachs Group
5.780% due 01/26/2000 13,100 12,867
5.720% due 02/09/2000 5,000 4,899
Goodyear Tire & Rubber Co.
6.250% due 01/26/2000 14,200 13,912
Heller Financial, Inc.
5.790% due 01/26/2000 3,800 3,732
5.790% due 02/09/2000 3,500 3,430
MCI Worldcom, Inc.
6.140% due 01/27/2000 2,200 2,160
National Rural Utilities Cooperative
5.720% due 01/26/2000 6,000 5,893
Procter & Gamble Co.
5.320% due 10/20/1999 500 499
Province of British Columbia
5.330% due 10/07/1999 3,800 3,797
Raytheon Corp.
5.470% due 10/20/1999 15,900 15,854
Texas Utilities Co.
5.260% due 01/21/2000 1,800 1,769
TRW, Inc.
6.220% due 02/09/2000 12,000 11,759
United Parcel Service Co.
5.410% due 10/04/1999 1,500 1,499
US West Capital Funding
6.260% due 02/08/2000 1,300 1,274
5.960% due 03/24/2000 20,000 19,447
Williams Holdings
5.360% due 01/25/2000 10,000 9,824
Wisconsin Electric
5.320% due 10/20/1999 400 399
---------
132,859
=========
Repurchase Agreements 5.9%
State Street Bank
4.800% due 10/01/1999 6,198 6,198
(Dated 09/30/1999. Collateralized by Federal
Home Loan Bank 6.315% 08/24/2001 valued at
$6,326,403. Repurchased proceeds are $6,198,826.)
Daiwa Securities
5.000% due 10/01/1999 30,000 30,000
(Dated 09/30/1999. Collateralized by U.S. Treasury
Bond 7.875% 11/15/2007 valued at $30,779,980.
Repurchase proceeds are $30,004,167.)
---------
36,198
---------
Total Short-Term Instruments 189,482
=========
(Cost $189,456)
Total Investments (a) 111.1% $ 676,892
(Cost $680,187)
Other Assets and Liabilities (Net) (11.1%) (67,409)
---------
Net Assets 100.0% $ 609,483
=========
</TABLE>
1999 Semi-Annual Report See accompanying notes 97
<PAGE>
Schedule of Investments (Cont.)
Short-Term Fund
September 30, 1999 (Unaudited)
================================================================================
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 665
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (3,960)
------------
Unrealized depreciation-net $ (3,295)
============
(b) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell BP 3,090 10/1999 $ (10)
Sell N$ 5,023 10/1999 42
Sell 286 11/1999 3
------------
$ 35
============
(c) Principal amount denoted in indicated currency:
BP - British Pound
N$ - New Zealand Dollar
(d) Variable rate security. The rate listed is as of September 30, 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
98 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Money Market Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 115.0%
- -------------------------------------------------------------------------
Commercial Paper 94.4%
Alcoa
5.300% due 10/07/1999 $ 2,500 $ 2,498
AlliedSignal, Inc.
5.260% due 10/19/1999 2,500 2,493
5.670% due 03/09/2000 500 487
Aluminum Co. of America
5.280% due 10/13/1999 20,000 19,965
American Express
5.300% due 10/12/1999 17,200 17,172
5.280% due 10/27/1999 5,200 5,180
American Home
5.300% due 10/25/1999 1,600 1,594
Ameritech Corp.
5.300% due 10/05/1999 20,000 19,987
AT & T Corp.
5.350% due 10/08/1999 12,370 12,357
Bellsouth Telecom
5.270% due 10/05/1999 15,000 14,991
5.260% due 10/06/1999 4,000 3,997
5.290% due 10/26/1999 4,000 3,985
Campbell Soup Co.
5.270% due 10/26/1999 24,500 24,410
Canada Bills
5.300% due 10/19/1999 1,800 1,795
Canadian Wheat Board
5.300% due 10/21/1999 1,000 997
Coca Cola Co.
5.300% due 10/13/1999 10,700 10,681
5.270% due 10/26/1999 500 498
Coca-Cola Co.
5.270% due 10/01/1999 4,500 4,500
E.I. Du Pont de Nemours
5.280% due 10/20/1999 500 499
Electronic Data System Corp.
5.260% due 10/06/1999 4,000 3,997
Export Development Corp.
5.350% due 10/07/1999 15,000 14,987
Federal Home Loan Bank
5.110% due 10/08/1999 3,100 3,097
Federal Home Loan Mortgage Corp.
5.170% due 10/04/1999 8,000 7,997
5.190% due 10/04/1999 7,300 7,297
5.220% due 10/04/1999 7,600 7,597
5.180% due 10/14/1999 8,100 8,085
5.200% due 10/21/1999 1,349 1,345
Federal National Mortgage Assn.
5.130% due 10/25/1999 500 498
Florida Power Corp.
5.350% due 10/19/1999 11,900 11,868
Ford Motor Credit Corp.
5.200% due 10/07/1999 15,000 14,987
5.280% due 10/07/1999 3,500 3,497
GAP, Inc.
5.280% due 10/05/1999 10,000 9,994
General Electric Capital Corp.
5.280% due 10/06/1999 9,800 9,793
General Motors Acceptance Corp.
5.570% due 02/08/2000 11,650 11,416
Gillette Co.
5.280% due 10/13/1999 15,000 14,974
Goldman Sachs Group
5.160% due 10/18/1999 12,000 11,971
Heinz Corp.
5.250% due 10/04/1999 4,348 4,346
5.290% due 10/18/1999 6,400 6,384
Hewlett-Packard Co.
5.300% due 10/07/1999 15,000 14,987
5.300% due 10/08/1999 7,000 6,993
5.350% due 10/12/1999 1,000 998
IBM Credit Corp.
5.310% due 10/04/1999 2,000 1,999
5.290% due 10/21/1999 20,200 20,141
Johnson & Johnson
4.780% due 10/13/1999 10,000 9,984
5.230% due 02/02/2000 10,000 9,820
Kellogg Co.
5.270% due 10/18/1999 4,720 4,708
KFW International Finance, Inc.
5.300% due 12/01/1999 15,000 14,865
Merck & Co., Inc.
5.750% due 02/04/2000 100 98
Motorola, Inc.
5.300% due 10/28/1999 7,000 6,972
5.320% due 10/28/1999 1,600 1,594
5.350% due 11/23/1999 14,900 14,783
National Australia Funding
5.730% due 01/31/2000 15,000 14,709
National Rural Utilities Cooperative
5.320% due 10/20/1999 1,700 1,695
New York Times Co.
5.300% due 10/08/1999 5,300 5,295
Procter & Gamble Co.
5.280% due 10/27/1999 1,900 1,893
Sara Lee Credit Corp.
5.350% due 10/07/1999 1,485 1,484
Shell Oil Co.
5.240% due 10/07/1999 14,100 14,088
United Parcel Service Co.
5.270% due 10/05/1999 1,380 1,379
Wal-Mart Stores, Inc.
5.280% due 10/04/1999 5,000 4,998
5.280% due 10/12/1999 4,000 3,994
Warner-Lambert Co.
5.270% due 10/05/1999 600 600
Wisconsin Electric
5.400% due 10/05/1999 1,000 999
---------
461,292
=========
Repurchase Agreements 4.6%
State Street Bank
4.800% due 10/01/1999 1,433 1,433
(Dated 09/30/1999. Collateralized by
Federal National Mortgage Association
0.000% 02/01/2000 valued at $1,465,415.
Repurchase proceeds are $1,433,191)
J.P. Morgan
5.200% due 10/01/1999 20,900 20,900
(Dated 09/30/1999. Collateralized by
U.S. Treasury Note 7.875% 08/15/2001
valued at $21,359,010. Repurchase
proceeds are $20,903,019.)
---------
22,333
=========
Short-Term Notes 16.0%
Associates Corp. of North America
9.125% due 04/01/2000 4,500 4,568
Federal Home Loan Mortgage Corporation
4.705% due 05/18/2000 20,000 19,990
Ford Motor Credit Corp.
7.500% due 03/31/2000 3,000 3,022
9.500% due 04/15/2000 2,370 2,415
General Electric Capital Corp.
4.986% due 05/26/2000 12,000 12,000
General Motors Acceptance Corp.
5.450% due 02/22/2000 9,500 9,500
Lehman Brothers Holdings, Inc.
6.150% due 03/15/2000 1,000 999
Merrill Lynch & Co.
5.290% due 10/25/1999 5,000 4,982
6.380% due 07/18/2000 5,900 5,930
6.700% due 08/01/2000 400 403
Morgan Stanley, Dean Witter, Discover and Co.
6.250% due 03/15/2000 575 576
Wal-Mart Stores, Inc.
5.850% due 06/01/2000 14,035 14,019
---------
78,404
---------
Total Short-Term Instruments 562,029
(Cost $562,029) =========
Total Investments 115.0% $ 562,029
(Cost $562,029)
Other Assets and Liabilities (Net) (15.0%) (73,402)
---------
Net Assets 100.0% $ 488,627
=========
1999 Semi-Annual Report 99
<PAGE>
Schedule of Investments
Long-Term U.S. Government Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ------------------------------------------------------------------------
CORPORATE BONDS & NOTES 3.0%
- ------------------------------------------------------------------------
Banking & Finance 3.0%
AESOP Funding II LLC
6.220% due10/20/2001 $ 3,000 $ 3,005
Associates Corp. of North America
5.800% due 04/20/2004 2,500 2,402
Countrywide Home Loans
6.850% due 06/15/2004 1,500 1,496
Goldman Sachs Group
5.490% due 01/14/2002 (d) 3,000 3,024
Morgan Stanley, Dean Witter, Discover and Co.
5.250% due 04/22/2004 (d) 2,500 2,500
--------
Total Corporate Bonds & Notes 12,427
(Cost $12,510) ========
- ------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 0.8%
- ------------------------------------------------------------------------
Student Loan Marketing Assn.
5.129% due 06/30/2000 (d) 1,000 999
5.165% due 07/25/2004 (d) 1,490 1,479
5.395% due 01/25/2007 (d) 739 738
--------
Total U.S. Government Agencies 3,216
(Cost $3,222) ========
- ------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 46.8%
- ------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (b)(c) 16,132 16,031
U.S. Treasury Bonds
9.250% due 02/15/2016 (c) 12,600 16,120
8.125% due 08/15/2019 (c) 94,800 112,279
8.125% due 05/15/2021 4,000 4,773
8.125% due 08/15/2021 4,900 5,852
7.625% due 11/15/2022 1,500 1,715
6.250% due 08/15/2023 (c) 14,400 14,171
6.750% due 08/15/2026 2,100 2,198
6.500% due 11/15/2026 700 711
U.S. Treasury Notes
5.500% due 02/29/2000 (f) 1,650 1,653
U.S. Treasury Strips
0.000% due 05/15/2013 (c) 50,600 21,093
--------
Total U.S. Treasury Obligations 196,596
(Cost $200,959) ========
- ------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 64.2%
- ------------------------------------------------------------------------
Collateralized Mortgage Obligations 28.2%
Bear Stearns Mortgage Securities, Inc.
7.100% due 06/25/2024 385 372
6.590% due 06/25/2030 1,117 1,128
California Federal Bank
6.264% due 08/25/2030 (d) 794 803
Chase Mortgage Finance Corp.
6.204% due 04/25/2025 (d) 2,720 2,503
CMC Securities Corp.
6.000% due 02/25/2009 1,702 1,699
6.150% due 05/25/2028 3,000 2,995
Countrywide Funding Corp.
6.500% due 01/25/2009 1,000 999
Federal Home Loan Mortgage Corp.
7.000% due 07/01/2002 1,542 1,557
7.500% due 06/01/2004 54 54
7.500% due 07/01/2004 601 607
7.500% due 08/01/2004 86 87
7.500% due 09/01/2004 222 224
9.500% due 01/15/2005 49 51
6.000% due 03/15/2007 62 62
5.500% due 05/15/2007 48 48
8.000% due 02/15/2015 393 405
4.250% due 12/15/2021 541 505
7.000% due 07/15/2022 1,034 1,006
7.000% due 05/15/2023 218 205
7.000% due 08/15/2023 313 290
7.000% due 09/15/2023 760 723
6.250% due 09/15/2023 5,000 4,677
5.910% due 10/25/2023 1,807 1,809
6.500% due 11/15/2023 753 672
6.000% due 11/15/2023 922 802
6.500% due 11/25/2023 566 496
6.500% due 12/15/2023 984 882
7.000% due 01/15/2024 94 89
7.500% due 01/20/2024 3,055 3,079
6.500% due 02/15/2024 112 99
6.500% due 03/15/2024 1,091 975
6.000% due 10/15/2024 2,919 2,891
6.500% due 12/15/2024 4,189 4,167
8.000% due 12/15/2024 1,000 1,019
Federal National Mortgage Assn.
7.500% due 02/01/2004 512 517
7.500% due 03/01/2004 300 303
7.500% due 04/01/2004 413 417
7.500% due 05/01/2004 567 572
7.500% due 06/01/2004 463 468
7.500% due 07/01/2004 523 527
7.500% due 08/01/2004 1,256 1,266
7.500% due 09/01/2004 234 236
7.500% due 10/01/2004 261 263
5.750% due 06/25/2006 221 220
5.600% due 07/25/2006 206 205
6.250% due 12/25/2013 74 69
6.000% due 09/25/2016 595 593
5.750% due 12/25/2016 91 91
6.650% due 01/25/2017 118 118
6.500% due 11/25/2017 8,380 8,374
7.000% due 02/25/2020 2,000 2,003
8.750% due 08/25/2020 13 13
6.750% due 06/25/2021 5,327 493
8.000% due 03/25/2022 13 13
7.000% due 04/25/2022 820 762
7.000% due 06/25/2022 395 369
7.800% due 10/25/2022 558 559
7.000% due 10/25/2022 1,147 1,056
7.000% due 05/25/2023 1,246 1,157
6.900% due 05/25/2023 297 276
7.000% due 06/25/2023 495 464
6.000% due 08/25/2023 49 41
4.500% due 10/25/2023 188 110
6.500% due 11/25/2023 2,000 1,863
7.000% due 12/25/2023 1,494 1,357
6.500% due 12/25/2023 372 325
6.500% due 01/25/2024 196 173
6.500% due 02/25/2024 287 251
6.000% due 05/17/2027 2,500 2,152
7.000% due 05/18/2027 1,492 1,390
8.500% due 06/01/2027 1,371 1,424
9.000% due 06/01/2027 2,016 2,119
6.455% due 02/01/2028 (d) 593 599
First Boston Mortgage Securities Corp.
7.300% due 07/25/2023 1,381 1,260
First Plus Home Loan Trust
5.970% due 11/10/2010 406 406
GE Capital Mortgage Services, Inc.
9.000% due 09/25/2023 530 541
6.500% due 10/25/2023 3,000 2,735
6.500% due 01/25/2024 4,325 3,480
6.500% due 03/25/2024 848 772
7.500% due 07/25/2026 4,726 4,657
7.000% due 10/25/2027 1,077 1,079
Government National Mortgage Assn.
7.000% due 03/16/2029 257 228
Independent National Mortgage Corp.
7.650% due 01/25/2025 (d) 102 104
6.930% due 05/25/2026 1,225 1,226
Mellon Residential Funding Corp.
6.460% due 07/25/2029 2,612 2,610
Merrill Lynch Mortgage Investors, Inc.
6.050% due 10/15/2008 2,874 2,858
Norwest Asset Securities Corp.
6.750% due 10/25/2028 990 943
PHH Mortgage Services Corp.
6.730% due 06/18/2011 3,000 2,992
100 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ------------------------------------------------------------------------
PNC Mortgage Securities Corp.
7.500% due 02/25/2027 $ 1,775 $ 1,773
6.750% due 04/25/2028 3,000 2,901
Prudential Home Mortgage Securities
7.625% due 02/25/2023 46 43
6.950% due 09/25/2023 65 54
6.500% due 01/25/2024 1,281 1,114
8.000% due 06/25/2024 796 805
Prudential Securities Secured Financing Corp.
6.955% due 06/15/2008 4,467 4,476
Residential Accredit Loans, Inc.
6.250% due 03/25/2014 1,891 1,829
Residential Funding Mortgage Securities, Inc.
7.528% due 03/25/2025 (d) 94 95
7.750% due 09/25/2026 1,100 1,098
7.500% due 04/25/2027 1,940 1,930
7.000% due 10/25/2027 1,500 1,419
Resolution Trust Corp.
6.188% due 09/25/2029 1,931 1,940
Vendee Mortgage Trust
6.500% due 06/15/2024 2,108 1,837
--------
118,393
========
Federal Home Loan Mortgage Corporation 5.6%
6.250% due 12/15/2023 467 406
6.362% due 01/01/2028 (d) 3,389 3,368
6.523% due 10/01/2026 (d) 1,220 1,228
6.553% due 05/01/2022 (d) 112 115
6.780% due 09/01/2027 (d) 4,356 4,346
6.866% due 06/01/2022 (d) 71 73
6.928% due 01/01/2028 (d) 1,993 1,997
7.375% due 02/01/2028 (d) 2,167 2,180
7.447% due 12/01/2024 (d) 1,488 1,531
7.500% due 10/01/2004 3,509 3,537
8.000% due 05/01/2004 4,786 4,838
--------
23,619
========
Federal Housing Administration 6.7%
6.896% due 07/01/2020 3,823 3,820
7.000% due 11/25/2019 4,632 4,686
7.375% due 01/01/2018 1,803 1,804
7.400% due 12/18/2018 1,592 1,593
7.421% due 11/01/2019 149 151
7.430% due 08/01/2019-06/01/2024 (e) 14,131 14,321
7.450% due 03/25/2022 1,686 1,714
--------
28,089
========
Federal National Mortgage Association 13.0%
6.500% due 03/01/2006-07/25/2010 (e) 9,133 9,077
6.568% due 08/01/2026 (d) 342 343
6.637% due 12/01/2027 (d) 2,733 2,780
6.767% due 10/01/2024 (d) 2,179 2,209
6.904% due 04/01/2028 (d) 2,979 3,040
6.914% due 08/01/2026 (d) 594 604
7.000% due 03/01/2004-07/25/2023 (e) 19,532 19,618
7.040% due 11/01/2023 (d) 3,320 3,404
7.377% due 10/01/2024 (d) 118 123
7.378% due 01/01/2026 (d) 1,004 1,031
7.478% due 05/01/2025 (d) 1,799 1,851
8.500% due 09/01/2026-09/01/2027 (e) 5,720 5,946
9.000% due 07/01/2005 4,499 4,479
--------
54,505
========
Government National Mortgage Association 9.4%
5.500% due 12/20/2022 (d) 446 454
6.125% due 12/20/2017-10/20/2027 (d)(e) 3,475 3,530
6.375% due 02/20/2017-01/20/2028 (d)(e) 16,461 16,640
6.625% due 12/15/2000-02/15/2040 (d)(e) 11,327 11,470
6.800% due 09/15/2001-10/15/2040 (d)(e) 2,000 1,965
7.000% due 05/15/2002-10/15/2040 (d)(e) 3,650 3,541
7.500% due 10/21/2029 2,000 2,006
--------
39,606
========
Other Mortgage-Backed Securities 0.2%
Resolution Trust Corp.
6.362% due 05/25/2029 (d) 912 886
--------
Stripped Mortgage-Backed Securities 1.1%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 03/15/2003 1,259 137
6.500% due 11/15/2003 2,039 247
7.000% due 02/15/2006 101 5
6.500% due 08/15/2006 102 4
6.500% due 10/15/2006 191 14
6.500% due 11/15/2006 204 8
8.191% due 02/15/2007 5 80
7.500% due 06/15/2007 410 52
6.500% due 10/15/2007 1,551 127
6.000% due 10/15/2007 190 12
6.500% due 11/15/2008 904 150
7.000% due 12/15/2023 2,180 292
Federal National Mortgage Association (IO)
11.876% due 08/25/2006 9 102
6.500% due 02/25/2007 126 9
6.500% due 07/25/2007 1,857 87
11.980% due 08/25/2007 7 193
10.146% due 09/25/2007 4 93
6.500% due 08/25/2020 376 26
6.500% due 09/25/2021 568 69
7.000% due 12/25/2021 295 33
Federal National Mortgage Association (PO)
0.000% due 03/25/2009 2,944 1,994
0.000% due 09/25/2023 1,511 891
First Plus Home Loan Trust (IO)
6.000% due 10/10/2000 1,200 69
--------
4,694
--------
Total Mortgage-Backed Securities 269,792
(Cost $273,302) ========
- ------------------------------------------------------------------------
ASSET-BACKED SECURITIES 4.8%
- ------------------------------------------------------------------------
Bear Stearns Mortgage Securities, Inc.
6.350% due 08/25/2024 2,167 2,164
Chase Manhattan Corp.
6.750% due 08/25/2028 1,850 1,714
Discover Card Trust
6.792% due 04/16/2010 1,325 1,321
Green Tree Floorplan Receivables Master Trust
5.750% due 11/01/2004 (d) 3,000 3,000
Merrill Lynch Mortgage Investors, Inc.
6.210% due 03/20/2017 1,466 1,463
Norwest Asset Securities Corp.
6.750% due 07/25/2028 3,000 2,752
Oakwood Mortgage Investors, Inc.
6.750% due 08/15/2027 2,671 2,673
Residential Funding Mortgage Securities, Inc.
5.000% due 06/25/2000 6,000 224
6.290% due 07/25/2013 3,000 2,985
SMS Student Loan Trust
5.260% due 10/27/2025 (d) 2,000 1,953
--------
Total Asset-Backed Securities 20,249
(Cost $20,532) ========
- ------------------------------------------------------------------------
PURCHASED CALL OPTIONS 2.5%
- ------------------------------------------------------------------------
Interest Rate Swap (OTC)
Strike @ 7.470% Exp. 12/06/1999 25,000 96
U.S. Treasury Bond (OTC)
8.875% due 08/15/2017
Strike @ 104.812 Exp. 12/06/1999 48,000 9,588
U.S. Treasury Note (OTC)
6.000% due 08/15/2004
Strike @ 92.953 Exp. 11/15/1999 11,300 895
--------
Total Purchased Call Options 10,579
(Cost $10,482) ========
1999 Semi-Annual Report See accompanying notes 101
<PAGE>
Schedule of Investments (Cont.)
Long-Term U.S. Government Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 0.2%
- -----------------------------------------------------------------------
Repurchase Agreement 0.1%
State Street Bank
4.800% due 10/01/1999 $ 722 $ 722
(Dated 09/30/1999. Collateralized by ---------
Federal National Mortgage Association
5.120% valued at $740,098. Repurchased
proceeds are $722,096
U.S. Treasury Bills (f) 0.1%
4.781% due 02/17/2000 310 304
---------
Total Short-Term Instruments 1,026
(Cost $1,026) =========
Total Investments (a) 122.3% $ 513,885
(Cost $522,033)
Written Options (g) (0.0%) 0
(Premium $11)
Other Assets and Liabilities (Net) (22.3%) (93,739)
---------
Net Assets 100.0% $ 420,146
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 1,400
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (9,548)
---------
Unrealized depreciation-net $ (8,148)
=========
(b) Principal amount of the security is adjusted for inflation.
(c) Subject to a financing transaction.
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Securities are grouped by coupon or range of coupons and represent
a range of maturities.
(f) Securities with an aggregate market value of $1,957
have been segregated with the custodian to cover margin
requirements for the following open future contracts at
September 30, 1999:
# of Unrealized
Type Contracts Appreciation
- -----------------------------------------------------------------------
U.S. Treasury 30 Year Bond (03/2000) 771 $ 56
(g) Premium on written options:
# of
Type Contracts Premium Value
- -----------------------------------------------------------------------
Put - OTC U.S.Treasury Note
5.250% due 05/2004 2,700 $ 11 $ 0
Strike @ 95.469 Exp. 10/15/1999
102 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
High Yield Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ------------------------------------------------------------------------
CORPORATE BONDS & NOTES 84.1%
- ------------------------------------------------------------------------
Banking & Finance 7.2%
Americredit Corp.
9.875% due 04/15/2006 $ 675 $ 682
Arvin Capital
9.500% due 02/01/2027 19,000 18,900
Bay View Capital Corp.
9.125% due 08/15/2007 8,200 7,545
Charter Commercial Holdings LLC
8.250% due 04/01/2007 13,750 12,908
Crown Castle International Corp.
13.250% due 11/15/2007 2,000 1,400
Forest City Enterprises
8.500% due 03/15/2008 12,350 11,671
Fuji Bank
9.870% due 12/31/2049 (d) 36,000 36,540
General Motors Acceptance Corp.
5.438% due 04/29/2002 (d) 800 799
Golden State Holdings
7.000% due 08/01/2003 205 195
7.125% due 08/01/2005 870 807
Host Marriott LP
8.375% due 02/15/2006 5,000 4,725
Mercury Finance Co.
10.009% due 03/23/2001 25,600 24,048
10.000% due 03/23/2001 31,450 29,720
Nextel Partners, Inc.
0.000% due 02/01/2009 17,750 10,473
Presidential Life Insurance Corp.
7.875% due 02/15/2009 12,750 12,395
Reliance Group Holdings
9.000% due 11/15/2000 5,528 5,552
Sumitomo
9.400% due 12/29/2049 (d) 30,300 30,531
TPSA Finance BV
7.750% due 12/10/2008 13,950 13,571
Trizec Finance Limited
10.875% due 10/15/2005 19,461 20,337
Willis Corroon Corp.
9.000% due 02/01/2009 15,700 14,209
---------
257,008
=========
Industrials 68.5%
Abbey Healthcare Group
9.500% due 11/01/2002 12,945 13,058
Advanced Lighting
8.000% due 03/15/2008 11,425 10,183
AEI Holding Co.
10.500% due 12/15/2005 12,880 11,592
Agriculture Minerals & Chemicals
10.750% due 09/30/2003 3,000 1,875
Airtrust
0.000% due 06/01/2013 12,942 4,815
Allied Waste Industries
7.875% due 03/15/2005 2,000 1,853
Allied Waste North America, Inc.
7.375% due 01/01/2004 15,100 13,892
7.625% due 01/01/2006 23,225 20,903
10.000% due 08/01/2009 21,250 19,550
American Airlines
10.610% due 03/04/2010 650 775
American Axle & Manufacturing, Inc.
9.750% due 03/01/2009 9,550 9,478
American Standard, Inc.
7.125% due 02/15/2003 300 288
7.375% due 02/01/2008 10,800 9,828
9.250% due 12/01/2016 6,084 6,145
Amerigas Partners LP
10.125% due 04/15/2007 3,000 3,113
Amphenol Corp.
9.875% due 05/15/2007 11,825 11,914
Applied Power, Inc.
8.750% due 04/01/2009 21,280 20,057
Archibald Candy Corp.
10.250% due 07/01/2004 5,000 4,951
AT&T Canada, Inc.
10.625% due 11/01/2008 9,600 10,992
Ball Corp.
7.750% due 08/01/2006 8,750 8,576
8.250% due 08/01/2008 9,600 9,337
Beckman Instruments, Inc.
7.100% due 03/04/2003 5,000 4,859
7.450% due 03/04/2008 17,950 16,618
Benedek Communications Corp.
0.000% due 05/15/2006 (c) 1,500 1,315
Beverly Enterprises, Inc.
9.000% due 02/15/2006 19,925 17,236
Bresnan Communications
8.000% due 02/01/2009 2,000 1,966
Buckeye Technologies, Inc.
8.000% due 10/15/2010 10,100 9,268
Building Materials Corp.
7.750% due 07/15/2005 15,950 14,674
8.625% due 12/15/2006 1,235 1,187
8.000% due 10/15/2007 2,050 1,881
8.000% due 12/01/2008 22,250 20,414
Cablevision SA
13.750% due 05/01/2009 3,500 3,264
Cadmus Communications Corp.
9.750% due 06/01/2009 6,100 6,108
Call-Net Enterprises, Inc.
8.000% due 08/15/2008 6,900 5,624
9.375% due 05/15/2009 6,400 5,696
Canadian Forest Oil Limited
8.750% due 09/15/2007 4,900 4,742
Century Communications Corp.
9.500% due 08/15/2000 600 607
0.000% due 03/15/2003 10,400 7,359
9.500% due 03/01/2005 2,000 2,000
8.750% due 10/01/2007 6,000 5,836
0.000% due 01/15/2008 5,000 2,175
CF Cable TV, Inc.
9.125% due 07/15/2007 9,000 9,770
Chattem, Inc.
8.875% due 04/01/2008 4,950 4,690
Circus Circus Enterprises
6.750% due 07/15/2003 21,900 20,039
9.250% due 12/01/2005 6,350 6,406
Clark R & M, Inc.
8.375% due 11/15/2007 5,000 4,350
8.625% due 08/15/2008 4,500 3,960
Clearnet Communications
0.000% due 05/01/2009 6,000 3,660
Coltec Industries, Inc.
7.500% due 04/15/2008 32,150 31,761
Columbia/HCA Healthcare
6.125% due 12/15/2000 2,000 1,945
6.910% due 06/15/2005 1,250 1,118
7.000% due 07/01/2007 3,350 2,916
8.360% due 04/15/2024 6,000 5,548
6.730% due 07/15/2045 9,000 8,636
Columbus McKinnon
8.500% due 04/01/2008 17,500 16,319
Comcast Corp.
9.500% due 01/15/2008 6,837 7,110
Consolidated Container Co.
10.125% due 07/15/2009 12,150 12,272
Container Corp. of America
9.750% due 04/01/2003 1,000 1,028
11.250% due 05/01/2004 6,770 7,007
Continental Cablevision
9.500% due 08/01/2013 10,000 10,996
Cross Timbers Oil Co.
9.250% due 04/01/2007 4,440 4,407
8.750% due 11/01/2009 6,000 5,805
CSC Holdings, Inc.
9.875% due 05/15/2006 850 890
9.875% due 02/15/2013 2,000 2,115
10.500% due 05/15/2016 11,000 12,059
7.875% due 02/15/2018 10,000 9,539
1999 Semi-Annual Report See accompanying notes 103
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ------------------------------------------------------------------------
9.875% due 04/01/2023 $ 4,000 $ 4,151
Cumberland Farms
10.500% due 10/01/2003 5,540 5,457
Dade International, Inc.
11.125% due 05/01/2006 3,350 3,471
Delta Air Lines, Inc.
10.790% due 03/26/2014 2,264 2,669
Dial Call Communications
10.250% due 12/15/2005 (d) 6,697 6,806
Diamond Cable Communication Co.
0.000% due 09/30/2004 2,000 2,133
0.000% due 12/15/2005 (d) 10,000 8,950
Dunlop Stand Aero Holdings
11.875% due 05/15/2009 8,000 8,080
Echostar Communications Corp.
9.250% due 02/01/2006 33,650 33,398
9.375% due 02/01/2009 6,875 6,841
Emmis Communications Corp.
8.125% due 03/15/2009 7,150 6,810
Energis PLC
9.750% due 06/15/2009 7,500 7,688
Extended Stay America
9.150% due 03/15/2008 11,500 10,983
Extendicare Health Services
9.350% due 12/15/2007 5,950 3,630
EZ Communication, Inc.
9.750% due 12/01/2005 2,500 2,655
Falcon Holding Group LP
0.000% due 04/15/2010 (c) 11,700 8,366
8.375% due 04/15/2010 7,150 7,096
Federal-Mogul Corp.
7.500% due 07/01/2004 29,000 27,805
7.375% due 01/15/2006 250 232
7.750% due 07/01/2006 11,350 10,661
Ferrellgas Partners LP
9.375% due 06/15/2006 14,286 13,929
Fisher Scientific International
7.125% due 12/15/2005 13,750 12,547
9.000% due 02/01/2008 34,470 32,057
Forest Oil Corp.
10.500% due 01/15/2006 4,835 5,004
Fox/Liberty Networks LLC
0.000% due 08/15/2007 9,750 7,703
Fred Meyer, Inc.
7.450% due 03/01/2008 400 397
Furon Co.
8.125% due 03/01/2008 4,650 4,720
Garden State Newspapers
8.750% due 10/01/2009 24,655 22,683
8.625% due 07/01/2011 6,900 6,245
Globalstar LP
11.375% due 02/15/2004 8,350 5,386
11.250% due 06/15/2004 5,500 3,493
10.750% due 11/01/2004 3,106 1,988
Globe Telecom
13.000% due 08/01/2009 4,350 4,551
Golden Northwest Aluminum
12.000% due 12/15/2006 3,850 3,994
Grupo Televisa SA
11.375% due 05/15/2003 1,300 1,367
0.000% due 05/15/2008 (c) 6,475 5,455
Gulf Canada Resources
9.250% due 01/15/2004 12,575 12,658
9.625% due 07/01/2005 1,680 1,730
8.375% due 11/15/2005 4,000 3,920
Harnischfeger Industrial, Inc.
8.900% due 03/01/2022 6,300 2,930
7.250% due 12/15/2025 9,500 4,418
Harrahs Operating Co., Inc.
7.875% due 12/15/2005 10,400 10,010
7.500% due 01/15/2009 20,675 19,849
Henry Co.
10.000% due 04/15/2008 1,000 675
HMH Properties, Inc.
7.875% due 08/01/2005 20,900 19,333
8.450% due 12/01/2008 6,350 5,906
Hollinger International Publishing
9.250% due 02/01/2006 2,800 2,779
Holmes Products Corp.
9.875% due 11/15/2007 4,200 3,801
Horseshoe Gaming Holding
8.625% due 05/15/2009 23,200 22,098
HS Resources, Inc.
9.250% due 11/15/2006 5,250 5,237
Huntsman Corp.
9.500% due 07/01/2007 12,350 11,455
Huntsman ICI Chemicals
10.125% due 07/01/2009 2,500 2,463
Huntsman Packaging Corp.
9.125% due 10/01/2007 11,050 10,221
Impsat Corp.
12.375% due 06/15/2008 10,900 8,311
Intergrated Health Services
8.563% due 12/31/2005 (d) 50 41
8.813% due 12/31/2005 (d) 9,800 8,036
9.500% due 09/15/2007 2,950 457
Intermedia Communications, Inc.
0.000% due 05/15/2006 (c) 31,535 25,701
International Game Technology
7.875% due 05/15/2004 16,500 15,881
8.375% due 05/15/2009 14,250 13,680
ISP Holdings, Inc.
9.750% due 02/15/2002 250 253
9.000% due 10/15/2003 23,370 23,428
ITC Deltacom, Inc.
11.000% due 06/01/2007 3,250 3,429
9.750% due 11/15/2008 1,750 1,754
IXC Communications, Inc.
9.000% due 04/15/2008 8,500 8,458
J.Q. Hammons Hotels
8.875% due 02/15/2004 4,950 4,579
Jones Intercable, Inc.
8.875% due 04/01/2007 5,060 5,269
JPS Automotive Products
11.125% due 06/15/2001 9,000 9,225
Jupiters Limited
8.500% due 03/01/2006 11,850 11,376
K Mart Corp.
12.350% due 01/01/2008 4,127 4,316
8.800% due 07/01/2010 1,250 1,219
9.350% due 01/02/2020 14,874 15,989
9.780% due 01/05/2020 9,575 9,862
K-III Communications Co.
8.500% due 02/01/2006 15,940 15,542
KPNQWest BV
8.125% due 06/01/2009 31,000 29,450
L-3 Communications Corp.
10.375% due 05/01/2007 5,750 6,009
Lear Corp.
8.250% due 02/01/2002 7,910 7,712
Lenfest Communications
8.375% due 11/01/2005 10,650 10,996
10.500% due 06/15/2006 525 591
Level 3 Communications, Inc.
9.125% due 05/01/2008 32,700 29,675
Levi Strauss & Co.
6.800% due 11/01/2003 32,350 30,261
Leviathan Gas Pipeline Partners, L.P.
10.375% due 06/01/2009 3,750 3,834
Lin Holdings Corp.
0.000% due 03/01/2008 (d) 18,750 12,375
Lin Television Corp.
8.375% due 03/01/2008 9,300 8,719
Lyondell Chemical Co.
9.625% due 05/01/2007 34,500 34,414
Magnum Hunter Resources, Inc.
10.000% due 06/01/2007 1,900 1,777
Mail-Well Corp.
8.750% due 12/15/2008 18,780 17,935
104 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------
Mark IV Industries, Inc.
7.500% due 09/01/2007 $ 6,730 $ 6,265
Market Hub Partners
8.250% due 03/01/2008 14,580 14,143
Marsh Supermarkets, Inc.
8.875% due 08/01/2007 9,500 9,381
McLeodUSA, Inc.
0.000% due 03/01/2007 (c) 42,825 33,939
8.375% due 03/15/2008 5,100 4,820
9.500% due 11/01/2008 13,625 13,761
8.125% due 02/15/2009 4,800 4,488
Metromedia Fiber Network
10.000% due 11/15/2008 14,295 13,866
Metronet Communications
0.000% due 06/15/2008 (c) 16,475 12,851
MGM Grand, Inc.
6.950% due 02/01/2005 33,150 31,033
MJD Communications, Inc.
9.500% due 05/01/2008 7,875 7,127
Navistar International Corp.
8.000% due 02/01/2008 5,000 4,863
Newpark Resources, Inc.
8.625% due 12/15/2007 5,050 4,722
Nextel Communications, Inc.
9.750% due 08/15/2004 14,750 14,953
0.000% due 02/15/2008 (c) 38,750 27,222
Nextlink Communications
10.750% due 06/01/2009 12,925 13,022
Nortek, Inc.
9.875% due 03/01/2004 2,205 2,172
NTL, Inc.
12.750% due 04/15/2005 700 686
0.000% due 02/01/2006 21,350 18,681
11.500% due 10/01/2008 6,900 7,478
Nuevo Grupo Iuscell
10.000% due 07/15/2004 1,000 920
Ocean Rig Norway
10.250% due 06/01/2008 6,325 4,965
Octel Developments PLC
10.000% due 05/01/2006 600 611
Optel, Inc.
13.000% due 02/15/2005 1,500 1,058
11.500% due 07/01/2008 5,300 3,419
Orange PLC
9.000% due 06/01/2009 3,000 3,053
Orion Network Systems, Inc.
11.250% due 01/15/2007 16,375 12,691
0.000% due 01/15/2007 (c) 23,100 10,742
Owens & Minor, Inc.
10.875% due 06/01/2006 950 974
P&L Coal Holdings
8.875% due 05/15/2008 36,050 35,419
Packaging Corp. of America
9.625% due 04/01/2009 14,525 14,743
Packard Bioscience Co.
9.375% due 03/01/2007 5,600 5,096
Perry-Judd
10.625% due 12/15/2007 5,845 5,348
Petroleos Mexicanos
9.520% due 07/15/2005 (d) 8,600 8,192
Pharmerica, Inc.
8.375% due 04/01/2008 15,650 15,630
Phar-Mor, Inc.
11.720% due 09/11/2002 8,005 7,925
Physician Sales and Service, Inc.
8.500% due 10/01/2007 10,250 9,994
Piedmont Aviation
10.250% due 03/28/2005 821 857
Pioneer National Resources
8.875% due 04/15/2005 20,100 20,086
8.250% due 08/15/2007 5,750 5,531
6.500% due 01/15/2008 6,950 5,959
Polymer Group, Inc.
9.000% due 07/01/2007 21,005 20,060
8.750% due 03/01/2008 9,700 9,142
Pool Energy Co.
8.625% due 04/01/2008 11,750 12,220
Pride International, Inc.
9.375% due 05/01/2007 3,100 3,131
10.000% due 06/01/2009 6,000 6,150
Primedia, Inc.
10.250% due 06/01/2004 4,000 4,180
7.625% due 04/01/2008 8,250 7,755
Qwest Communications International, Inc.
0.000% due 10/15/2007 (c) 13,040 10,204
0.000% due 02/01/2008 (c) 10,550 7,807
R & B Falcon Corp.
6.500% due 04/15/2003 5,200 4,628
9.250% due 04/15/2005 2,500 2,150
R.H. Donnelly, Inc.
9.125% due 06/01/2008 6,175 6,052
Racers
8.375% due 10/01/2007 21,291 19,561
Regal Cinemas, Inc.
9.500% due 06/01/2008 12,150 8,323
8.875% due 12/15/2010 7,475 4,971
Renaissance Media Group
0.000% due 04/15/2008 (c) 21,250 14,663
Revlon Consumer Products
8.125% due 02/01/2006 1,375 1,220
Riviera Holdings Corp.
10.000% due 08/15/2004 1,850 1,600
Rogers Cablesystems Limited
10.000% due 03/15/2005 4,000 4,310
Rogers Cantel Mobile Communications, Inc.
9.375% due 06/01/2008 23,250 24,529
Rogers Cantel, Inc.
8.300% due 10/01/2007 0 0
8.800% due 10/01/2007 1,350 1,384
Safety-Kleen Services
9.250% due 06/01/2008 32,575 32,738
9.250% due 05/15/2009 15,000 14,475
Salem Communications
9.500% due 10/01/2007 5,400 5,420
Satelites Mexicanos
8.750% due 06/30/2004 (d) 8,870 6,874
10.125% due 11/01/2004 1,500 1,174
SC International Services, Inc.
9.250% due 09/01/2007 20,950 20,426
Sequa Corp.
9.375% due 12/15/2003 5,000 5,113
9.000% due 08/01/2009 9,700 9,555
Silgan Holdings, Inc.
9.000% due 06/01/2009 18,410 17,536
Smithfield Foods
7.625% due 02/15/2008 5,950 5,355
Smith's Food & Drug Centers, Inc.
8.640% due 07/02/2012 9,575 9,932
9.200% due 07/02/2018 15,750 16,441
Stater Brothers Holdings
10.750% due 08/15/2006 3,750 3,844
Station Casinos, Inc.
9.750% due 04/15/2007 8,600 8,772
8.875% due 12/01/2008 4,000 3,900
Sterling Chemicals, Inc.
12.375% due 07/15/2006 12,500 11,813
11.750% due 08/15/2006 1,500 938
Stone Container Corp.
9.875% due 02/01/2001 2,000 2,010
10.750% due 10/01/2002 18,150 18,740
11.500% due 10/01/2004 2,000 2,096
Synthetic Industries, Inc.
9.250% due 02/15/2007 14,700 15,141
Telewest Communications PLC
9.625% due 10/01/2006 12,750 12,909
0.000% due 10/01/2007 (d) 10,949 9,827
9.250% due 04/15/2009 20,500 12,505
Tenet Healthcare Corp.
7.875% due 01/15/2003 1,000 963
8.625% due 12/01/2003 1,600 1,589
1999 Semi-Annual Report See accompanying notes 105
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------
8.000% due 01/15/2005 $ 6,550 $ 6,255
8.625% due 01/15/2007 3,500 3,343
7.625% due 06/01/2008 20,000 18,600
TFM SA de CV
0.000% due 06/15/2009 (c) 7,800 4,232
Tierra Industries
10.500% due 06/15/2005 2,000 1,250
Total Renal Care Holdings
7.000% due 05/15/2009 20,100 13,241
Trans-Resources, Inc.
0.000% due 03/15/2008 (c) 5,250 2,651
10.750% due 03/15/2008 14,650 13,258
Triad Hospitals, Inc.
9.270% due 12/31/2005 (d) 9,975 9,975
11.000% due 05/15/2009 2,095 2,085
TV Guide, Inc.
8.125% due 03/01/2009 16,200 15,350
Unisys Corp.
12.000% due 04/15/2003 3,900 4,232
7.875% due 04/01/2008 4,000 3,880
United Defense Industry, Inc.
8.750% due 11/15/2007 9,000 8,775
United Pan-Europ Communications NV
10.875% due 08/01/2009 8,500 8,628
United Refining Co.
10.750% due 06/15/2007 650 476
US Air, Inc.
9.625% due 09/01/2003 16,083 16,059
9.330% due 01/01/2006 6,101 6,119
Vectura Group, Inc.
10.250% due 06/30/2008 5,650 5,579
Vintage Petroleum
9.000% due 12/15/2005 10,490 10,516
8.625% due 02/01/2009 1,000 970
9.750% due 06/30/2009 7,850 8,066
Western Gas Resources
10.000% due 06/15/2009 7,350 7,552
Westinghouse Air Brake
9.375% due 06/15/2005 4,685 4,662
Westpoint Stevens, Inc.
7.875% due 06/15/2005 6,000 5,640
7.875% due 06/15/2008 17,450 15,705
Williams Communications Group
10.700% due 10/01/2007 4,600 4,600
World Color Press, Inc.
8.375% due 11/15/2008 13,650 13,172
7.750% due 02/15/2009 5,750 5,434
Worldwide Fiber, Inc.
12.000% due 08/01/2009 9,750 9,604
Young Broadcasting, Inc.
9.000% due 01/15/2006 20,200 20,023
8.750% due 06/15/2007 4,510 4,431
---------
2,436,963
=========
Utilities 8.4%
AES Corp.
10.250% due 07/15/2006 8,735 8,779
8.500% due 11/01/2007 7,300 6,698
9.500% due 06/01/2009 11,350 11,393
Alestra SA
12.125% due 05/15/2006 11,800 11,358
AMFM, Inc.
8.750% due 06/15/2007 5,650 5,565
12.750% due 02/01/2009 5,550 4,690
Avalon Cable of Michigan
9.375% due 12/01/2008 1,600 1,609
Bayan Telecommunications
13.500% due 07/15/2006 2,000 1,901
Beaver Valley Funding Corp.
9.000% due 06/01/2017 32,000 33,029
Bridas Corp.
12.500% due 11/15/1999 4,500 4,534
Calpine Corp.
9.250% due 02/01/2004 14,250 14,339
15.000% due 03/15/2004 (b) 10,000 11,400
7.625% due 04/15/2006 4,500 4,231
8.750% due 07/15/2007 14,950 15,034
7.875% due 04/01/2008 8,250 7,899
7.750% due 04/15/2009 800 758
CMS Energy
8.125% due 05/15/2002 4,500 4,514
7.000% due 01/15/2005 9,500 9,068
Flag Limited
8.250% due 01/30/2008 37,075 32,441
GST Network
0.000% due 05/01/2008 (c) 8,000 3,880
Intermedia Communication
8.875% due 11/01/2007 800 706
ITC Deltacom, Inc.
8.875% due 03/01/2008 12,300 11,993
Mastec, Inc.
7.750% due 02/01/2008 7,250 6,851
MJD Communications, Inc.
9.160% due 05/01/2008 (d) 6,000 5,640
Niagara Mohawk Power
7.750% due 05/15/2006 1,100 1,123
North Atlantic Energy
9.050% due 06/01/2002 3,921 3,981
Orange PLC
8.000% due 08/01/2008 41,800 40,442
Philippine Long Distance Telephone Co.
10.500% due 04/15/2009 11,550 11,260
Plains Resources Inc.
10.250% due 03/15/2006 2,250 2,261
Qwest Communications
7.250% due 11/01/2008 1,200 1,182
Rural Cellular Corp.
9.625% due 05/15/2008 11,800 12,154
Telewest Communication PLC
11.250% due 11/01/2008 1,000 1,076
Wilmington Trust Co. - Tucson Electric
10.211% due 01/01/2009 (b) 500 523
10.732% due 01/01/2013 (b) 6,993 7,549
Young Broadcasting Corp.
10.125% due 02/15/2005 1,000 1,030
---------
300,891
---------
Total Corporate Bonds & Notes 2,994,862
(Cost $3,139,874) =========
- ------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 0.1%
U.S. Treasury Strips
0.000% due 08/15/2026 29,700 5,668
---------
Total U.S. Treasury Obligations 5,668
(Cost $6,227) =========
- ------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 2.8%
- ------------------------------------------------------------------
Collateralized Mortgage Obligations 2.5%
Asset Securitization Corp.
7.384% due 08/13/2029 1,500 1,404
Federal Deposit Insurance Corp.
6.420% due 11/25/2026 (d) 400 357
Green Tree Financial Corp.
8.000% due 07/15/2018 7,000 6,484
LTC Commercial Corp.
7.970% due 04/15/2028 5,062 4,757
NationsBanc Mortgage Capital Corp.
8.051% due 05/25/2028 (d) 3,835 2,762
NationsLink Funding Corp.
7.105% due 01/20/2013 10,500 7,782
Red Mountain Funding Corp.
9.150% due 11/28/2027 5,727 4,818
Resolution Trust Corp.
9.250% due 06/25/2023 18 18
9.050% due 08/25/2023 345 343
6.900% due 02/25/2027 6,462 5,906
7.000% due 05/25/2027 5,620 5,585
Sasco Floating Rate Commercial
5.889% due 04/25/2003 (d) 43,900 38,582
Structured Asset Securities Corp.
7.375% due 09/25/2024 10,000 9,799
---------
88,597
=========
106 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------
Other Mortgage-Backed Securities 0.2%
LTC Commercial Corp.
9.200% due 08/04/2023 $ 3,235 $ 3,518
Resolution Trust Corp.
6.800% due 09/25/2020 (d) 350 329
9.500% due 05/25/2024 7 6
Structured Asset Securities Corp.
7.050% due 11/25/2007 4,000 3,623
-----------
7,476
Stripped Mortgage-Backed Securities 0.1% ===========
Federal National Mortgage Association (IO)
6.000% due 07/25/2005 509 12
7.000% due 07/25/2008 3,473 427
6.500% due 06/25/2017 998 47
7.000% due 04/25/2019 12,000 1,367
7.000% due 12/25/2021 5,905 657
Fund America (IO)
9.590% due 10/20/2021 8 21
-----------
2,531
-----------
Total Mortgage-Backed Securities 98,604
(Cost $102,268) ===========
- ------------------------------------------------------------------
ASSET-BACKED SECURITIES 4.1%
- ------------------------------------------------------------------
Airplanes Pass Through Trust
10.875% due 03/15/2019 27,570 26,430
Apria Healthcare Group
8.690% due 08/09/200 (d) 4,967 4,826
7.938% due 08/09/2001 1,356 1,347
Charter Commercial Holdings LLC
7.810% due 03/31/2008 (d) 8,108 8,108
Charter Communications
7.890% due 03/31/2008 (d) 6,892 6,918
Columbia/HCA Healthcare
7.125% due 06/11/2000 (d) 13,750 13,613
Jefferson Smurfit
8.500% due 03/31/2006 (d) 5,905 5,905
Lyondell Petroleum
8.980% due 12/31/2003 (d) 18,953 18,870
Morgan Stanley Aircraft Finance
8.700% due 03/15/2023 21,750 19,033
Starwood Hotels & Resorts Worldwide, Inc.
9.133% due 02/23/2003 (d) 35,000 35,000
TFM SA de CV
9.240% due 06/30/2003 (d) 3,600 3,492
Varig SA
9.651% due 06/02/2005 (d) 5,847 1,754
8.777% due 06/02/2005 (d) 1,615 485
-----------
Total Asset-Backed Securities 145,781
(Cost $156,304) ===========
- ------------------------------------------------------------------
SOVEREIGN ISSUES 0.9%
- ------------------------------------------------------------------
Embotelladora Arica SA
9.875% due 03/15/2006 22,000 22,891
Petroleos Mexicanos
9.375% due 12/02/2008 8,000 8,150
-----------
Total Sovereign Issues 31,041
(Cost $29,876) ===========
- ------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.4%
- ------------------------------------------------------------------
Industrial 0.4%
Pep Boys-Manny Moe Jack Cvt. Pfd.
0.000% due 09/20/2011 12,500 6,906
Pride International, Inc. Cvt. Pfd.
0.000% due 04/24/2018 18,250 6,159
-----------
Total Convertible Bonds & Notes 13,065
(Cost $11,933) ===========
- ------------------------------------------------------------------
PREFERRED STOCK 3.0%
- ------------------------------------------------------------------
Shares
CSC Holdings, Inc.
12.070% due 12/31/2049 173,770 18,638
Fresenius Medical Care
7.850% due 02/01/2008 42,900 39,415
9.000% due 12/01/2006 27,245 26,360
News Corp. Limited
5.000% due 11/12/2016 50,000 2,916
Newscorp Overseas Limited
5.000% due 04/01/2010 133,200 3,080
Primedia, Inc.
8.624% due 04/01/2010 50,000 4,513
9.200% due 11/01/2009 70,000 6,528
Sig Capital Trust
0.095% due 08/15/2027 7,000 5,268
-----------
Total Preferred Stock 106,718
(Cost $116,312) ===========
- ------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 2.2%
- ------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 1.9%
American Express
5.280% due 10/27/1999 $ 2,300 2,291
Bellsouth Telecom
5.300% due 10/18/1999 22,000 21,946
Hewlett-Packard Co.
5.400% due 10/05/1999 3,500 3,498
Procter & Gamble Co.
5.340% due 10/14/1999 5,000 4,990
Texas Utilities Co.
5.240% due 01/21/2000 17,500 17,215
US West Communications
6.240% due 03/24/2000 500 485
6.210% due 03/24/2000 3,400 3,297
5.960% due 03/24/2000 5,000 4,855
Williams Holdings
5.360% due 01/25/2000 10,000 9,827
-----------
68,404
===========
Repurchase Agreement 0.3%
State Street Bank
4.800% due 10/01/1999 9,571 9,571
(Dated 09/30/1999. Collateralized by
Federal Home Loan Bank 5.105%
05/15/2005 valued at $9,764,952.
Repurchase proceeds are $9,572,276.)
-----------
Total Short-Term Instruments 77,975
(Cost $77,975) ===========
Total Investments (a) 97.6% $ 3,473,714
(Cost $3,640,769)
Other Assets and Liabilities (Net) 2.4% 83,613
-----------
Net Assets 100.0% $ 3,557,327
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 22,172
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (189,227)
-----------
Unrealized depreciation-net $ (167,055)
===========
(b) Restricted security.
(c) Security becomes interest bearing at a future date.
(d) Variable rate security. The rate listed is as of September 30, 1999.
1999 Semi-Annual Report See accompanying notes 107
<PAGE>
Schedule of Investments
Total Return Mortgage Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 11.2%
- ---------------------------------------------------------------------
U.S. Treasury Notes
6.250% due 08/31/2002 $ 250 $ 253
5.500% due 01/31/2003 200 198
---------
Total U.S. Treasury Obligations 451
(Cost $459) =========
- ---------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 92.0%
- ---------------------------------------------------------------------
Collateralized Mortgage Obligations 32.2%
Countrywide Alternative Loan Trust
6.750% due 08/25/2028 115 113
Countrywide Home Loans
6.750% due 11/25/2027 70 70
Federal Home Loan Mortgage Corp.
5.740% due 02/01/2018 (b) 213 206
4.500% due 03/15/2021 66 61
3.500% due 12/15/2022 10 7
6.500% due 03/15/2024 100 88
8.000% due 06/15/2026 65 67
Federal National Mortgage Assn.
5.600% due 11/25/2016 84 84
11.220% due 03/25/2017 7 27
7.500% due 03/25/2023 89 87
5.969% due 04/25/2023 (b) 25 25
6.500% due 09/25/2023 34 30
6.750% due 09/25/2023 49 46
5.781% due 04/18/2028 (b) 161 164
GE Capital Mortgage Services, Inc.
6.750% due 06/25/2028 200 188
Vendee Mortgage Trust
7.750% due 05/15/2022 35 35
---------
1,298
=========
Federal Home Loan Mortgage Corporation 7.2%
6.000% due 10/01/2024 168 159
7.000% due 02/01/2027 134 132
---------
291
=========
Federal National Mortgage Association 17.0%
6.234% due 11/01/2018 (b) 56 56
7.554% due 05/01/2023 (b) 190 191
8.500% due 09/01/2026 86 89
9.000% due 01/01/2020 334 351
---------
687
=========
Government National Mortgage Association 35.3%
6.125% due 12/20/2021-11/20/2026 (b)(c) 129 132
6.375% due 03/20/2016-03/20/2027 (b)(c) 295 300
6.625% due 07/20/2025 (b) 47 47
7.000% due 10/21/2029 600 589
7.500% due 05/15/2027-10/21/2029 (b)(c) 352 353
---------
1,421
=========
Stripped Mortgage-Backed Securities 0.3%
Federal National Mortgage Assn.(IO)
6.500% due 07/25/2007 206 10
7.000% due 12/25/2016 98 2
---------
12
---------
Total Mortgage-Backed Securities 3,709
(Cost $3,738) =========
- ---------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 15.8%
- ---------------------------------------------------------------------
Commercial Paper 11.2%
Federal Home Loan Mortgage Corp.
5.220% due 10/15/1999 300 299
Hewlett-Packard Co.
5.400% due 10/05/1999 100 100
MCI Worldcom, Inc.
5.360% due 01/27/2000 50 49
---------
448
=========
Repurchase Agreement 4.6%
State Street Bank
4.800% due 10/01/1999 187 187
(Dated 09/30/1999. Collateralized by
Federal National Mortgage Association
4.820% 12/18/2000 valued at $195,056.
Repurchase proceeds are $187,025.)
---------
Total Short-Term Instruments 635
(Cost $635) =========
Total Investments (a) 119.0% $ 4,795
(Cost $4,832)
Other Assets and Liabilities (Net) (19.0%) (765)
---------
Net Assets 100.0% $ 4,030
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 14
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (51)
---------
Unrealized depreciation-net $ (37)
=========
(b) Variable rate security. The rate listed is as of September 30, 1999.
(c) Securities are grouped by coupon or range of coupons and represent
a range of maturities.
108 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Low Duration Mortgage Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------
CORPORATE BONDS & NOTES 4.8%
- ---------------------------------------------------------------------
Banking & Finance 2.4%
Heller Financial, Inc.
5.846% due 09/25/2000 (b) $ 100 $ 100
---------
Industrials 2.4%
Philip Morris Cos., Inc.
7.250% due 09/15/2001 100 101
---------
Total Corporate Bonds & Notes 201
(Cost $201) =========
- ----------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 7.2%
- ----------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (d)(e) 104 103
3.625% due 01/15/2008 (d)(e) 103 100
3.875% due 04/15/2029 (d)(e) 101 98
---------
Total U.S. Treasury Obligations 301
(Cost $304) =========
- ---------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 116.6%
- ---------------------------------------------------------------------
Collateralized Mortgage Obligations 42.1%
ABN AMRO Mortgage Corp.
6.750% due 04/25/2029 206 177
Federal Home Loan Mortgage Corp.
6.750% due 03/15/2019 841 841
Federal National Mortgage Assn.
4.000% due 01/25/2022 388 338
6.500% due 09/25/2023 266 241
Norwest Asset Securities Corp.
6.250% due 11/25/2013 166 161
---------
1,758
=========
Federal Housing Administration 15.6%
7.430% due 03/01/2022 168 170
8.130% due 08/30/2039-09/01/2040 (c) 475 480
---------
650
=========
Federal National Mortgage Association 15.8%
6.705% due 08/01/2029 (b) 498 498
9.000% due 07/01/2018 153 162
---------
660
=========
Government National Mortgage Association 42.2%
6.125% due 12/20/2017 (b) 103 105
6.375% due 05/20/2016-06/20/2025 (b)(c) 837 850
6.625% due 07/20/2018-08/20/2025 (b)(c) 665 673
11.250% due 07/20/2015 122 136
---------
1,764
=========
Stripped Mortgage-Backed Securities 0.9%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 05/15/2010 781 28
Federal National Mortgage Assn. (IO)
6.500% due 05/25/2005 678 12
---------
40
---------
Total Mortgage-Backed Securities 4,872
(Cost $4,897) =========
ASSET-BACKED SECURITIES 1.3%
Money Store Home Equity Trust
6.345% due 11/15/2021 (b) 54 54
---------
Total Asset-Backed Securities 54
(Cost $54) =========
SOVEREIGN ISSUES 2.4%
Republic of Korea
7.594% due 04/08/2000 (b) 100 100
---------
Total Sovereign Issues 100
(Cost $100) =========
- ---------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 2.1%
- ---------------------------------------------------------------------
Repurchase Agreement 2.1%
State Street Bank
4.800% due 10/01/1999 $ 87 $ 87
(Dated 09/30/1999. Collateralized by
Federal National Mortgage Association
0.000% 10/18/1999 valued at $89,775.
Repurchase proceeds are $87,012.)
---------
Total Short-Term Instruments 87
(Cost $87) =========
Total Investments (a) 134.4% $ 5,615
(Cost $5,643)
Other Assets and Liabilities (Net) (34.4%) (1,437)
---------
Net Assets 100.0% $ 4,178
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 11
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (39)
---------
Unrealized depreciation-net $ (28)
=========
(b) Variable rate security. The rate listed is as of September 30, 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.
(e) Subject to a financing transaction.
(f) Reverse repurchase agreements were entered into September 23, 1999
paying interest at 5.330%. The following securities were segregated
collateral for reverse repurchase agreements:
Type Maturity Value
- ---------------------------------------------------------------------
Government National Mortgage Assn. 6.625% 7/20/2025 $ 252
Government National Mortgage Assn. 6.375% 5/20/2025 292
Government National Mortgage Assn. 6.625% 8/20/2025 205
---------
$ 749
=========
1999 Semi-Annual Report See accompanying notes 109
<PAGE>
Schedule of Investments
Real Return Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------
CORPORATE BONDS & NOTES 15.4%
- ---------------------------------------------------------------------
Banking & Finance 11.8%
AT&T Capital Corp.
7.110% due 09/13/2001 (d) $ 500 $ 501
BAT-Crave-800
6.680% due 08/12/2000 190 191
Bear Stearns Co., Inc.
5.688% due 08/01/2002 (d) 500 499
Chase Manhattan Corp.
5.819% due 12/10/2001 (d) 500 505
Daiwa Securities
6.226% due 09/29/2049 (d) 850 646
Ford Motor Credit Corp.
5.570% due 07/16/2002 (d) 1,000 998
5.565% due 02/13/2003 (d) 350 348
General Motors Acceptance Corp.
5.703% due 11/09/2000 (d) 500 503
Heller Financial, Inc.
5.846% due 09/25/2000 (d) 1,000 999
5.720% due 02/05/2001 400 400
HRPT Properties Trust
6.560% due 07/09/2007 1,250 1,248
J.P. Morgan & Co.
5.459% due 02/15/2012 700 614
Juno Reinsurance
9.565% due 06/26/2002 (d) 750 726
Korea Development Bank
8.008% due 06/16/2003 (d) 500 490
Korean Export-Import Bank
6.500% due 10/06/1999 250 250
Lehman Brothers Holdings, Inc.
8.150% due 05/15/2000 230 233
9.875% due 10/15/2000 250 259
6.249% due 04/02/2002 (d) 500 500
5.823% due 06/03/2002 (d) 1,000 992
MBNA America Bank NA
5.538% due 04/25/2002 (d) 500 496
Merrill Lynch & Co.
5.748% due 02/08/2002 (d) 400 400
Morgan Stanley, Dean Witter, Discover and Co.
6.040% due 11/13/2000 (d) 250 251
Residential Reinsurance
9.163% due 06/01/2000 (d) 800 798
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (e) 736 716
Toyota Motor Credit Corp.
5.967% due 02/15/2002 (e) 400 386
---------
13,949
=========
Industrials 2.9%
Ceridian Corp.
7.250% due 06/01/2004 500 497
Conagra, Inc.
5.711% due 06/12/2000 (d) 500 499
CSX Corp.
5.790% due 06/15/2000 (d) 500 501
Limited, Inc.
6.281% due 11/22/2000 (d) 500 500
Petroleos Mexicanos
9.520% due 07/15/2005 (d) 1,000 952
U.S. West Capital Funding
5.960% due 06/15/2000 (d) 500 499
---------
3,448
=========
Utilities 0.7%
Public Service Enterprise Group, Inc.
5.910% due 06/15/2001 (d) 500 499
Texas Utilities Co.
6.064% due 06/25/2001 300 299
---------
798
---------
Total Corporate Bonds & Notes 18,195
(Cost $18,236) =========
- ---------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.1%
- ---------------------------------------------------------------------
New York 0.1%
New York City Municipal Bond
5.622% due 08/01/2002 (d) $ 138 $ 138
---------
Total Municipal Bonds & Notes 138
(Cost $138) =========
- ---------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES (d) 6.5%
- ---------------------------------------------------------------------
Federal Home Loan Bank
4.842% due 02/15/2002 (e) 2,985 2,915
Federal National Mortgage Assn.
4.310% due 03/13/2002 2,000 1,951
Student Loan Marketing Assn.
4.129% due 02/20/2000 (e) 250 249
5.165% due 07/25/2004 106 106
5.195% due 10/25/2004 130 129
5.333% due 04/25/2006 1,973 1,964
5.395% due 01/25/2007 370 369
---------
Total U.S. Government Agencies 7,683
(Cost $7,672) =========
- ---------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 116.1%
- ---------------------------------------------------------------------
Treasury Inflation Protected Securities (e)
3.625% due 07/15/2002 (f) 24,255 24,103
3.375% due 01/15/2007 (f) 67,331 64,322
3.625% due 01/15/2008 (f) 26,516 25,671
3.875% due 01/15/2009 4,065 4,003
3.625% due 04/15/2028 (f) 18,550 17,170
3.875% due 04/15/2029 1,521 1,470
U.S. Treasury Notes
5.500% due 02/29/2000 10 10
---------
Total U.S. Treasury Obligations 136,749
(Cost $137,508) =========
- ---------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 1.1%
- ---------------------------------------------------------------------
Collateralized Mortgage Obligations 0.2%
Federal Home Loan Mortgage Corp.
6.500% due 01/25/2028 100 90
Federal National Mortgage Assn.
6.500% due 02/25/2029 148 126
---------
216
=========
Federal Home Loan Mortgage Corporation 0.1%
7.433% due 02/01/2023 (d) 128 131
---------
Federal Housing Administration 0.2%
7.430% due 12/01/2020 306 306
---------
Federal National Mortgage Association 0.6%
7.252% due 10/01/2024 (d) 678 693
---------
Total Mortgage-Backed Securities 1,346
(Cost $1,357) =========
- ---------------------------------------------------------------------
ASSET-BACKED SECURITIES 4.9%
- ---------------------------------------------------------------------
AFC Home Equity Loan Trust
5.603% due 03/25/2027 (d) 301 303
Capital Equipment Recievables Trust
6.120% due 09/15/2000 396 396
Comed Transitional Funding Trust
5.380% due 03/25/2002 177 177
Conti Mortgage Home Equity Loan Trust
6.020% due 01/25/2014 411 409
EQCC Home Equity Loan Trust
5.543% due 03/20/2029 (d) 398 398
GE Capital Mortgage Services, Inc.
7.150% due 09/25/2026 805 804
IMC Home Equity Loan Trust
6.610% due 06/20/2013 500 500
Onyx Acceptance Auto Trust
6.350% due 10/15/2003 884 884
110 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------
Pacific Southwest Bank
6.060% due 06/15/2002 $ 25 $ 25
Premiere Auto Trust
5.510% due 07/09/2001 493 492
Residential Funding Mortgage Securities, Inc.
5.460% due 07/25/2029 355 352
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 535 533
WMC Mortgage Loan
5.591% due 03/20/2028 (d) 546 548
---------
Total Asset-Backed Securities 5,821
(Cost $5,825) =========
- ---------------------------------------------------------------------
SOVEREIGN ISSUES 1.1%
- ---------------------------------------------------------------------
Korea Development Bank
5.886% due 11/15/2002 (d) 500 460
United Mexican States
5.875% due 12/31/2019 (d) 1,000 862
United Mexican States Rights
0.000% due 06/30/2003 1,538 0
---------
Total Sovereign Issues 1,322
(Cost $1,263) =========
- ---------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (b)(c) 2.2%
- ---------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 (e) N$ 300 155
Newcourt Credit Group
7.900% due 08/15/2000 C$ 1,674 1,152
7.625% due 06/28/2001 500 344
Republic of France
3.000% due 07/25/2009 EC 382 392
United Mexican States
1.573% due 12/31/2019 (d) JY 70,000 536
---------
Total Foreign Currency-Denominated Issues 2,579
(Cost $2,582) =========
- ---------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
- ---------------------------------------------------------------------
Euribor Futures (LIFFE)
Strike @ 90.000 Exp. 12/13/1999 EC 10,000 0
---------
Total Purchased Put Options 0
(Cost $10) =========
- ---------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 1.2%
- ---------------------------------------------------------------------
Industrial 1.2%
Waste Management, Inc. Cvt. Pfd.
4.000% due 02/01/2002 $ 1,500 1,342
---------
Total Convertible Bonds & Notes 1,342
(Cost $1,352) =========
- ---------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 3.3%
- ---------------------------------------------------------------------
Commercial Paper 1.9%
Hewlett-Packard Co.
5.310% due 10/05/1999 100 100
Procter & Gamble Co.
5.370% due 10/20/1999 1,000 997
5.290% due 11/01/1999 1,100 1,095
---------
2,192
=========
Repurchase Agreement 1.4%
State Street Bank
4.800% due 10/01/1999 1,695 1,695
(Dated 09/30/1999. Collateralized by
Federal National Mortgage Association
5.120% 05/26/2000 valued at $1,733,654.
Repurchase proceeds are $1,695,226.)
---------
Total Short-Term Instruments 3,887
(Cost $3,887) =========
Total Investments (a) 151.9% $ 179,062
(Cost $179,830)
Other Assets and Liabilities (Net) (51.9%) (61,250)
---------
Net Assets 100.0% $ 117,812
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 232
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (990)
---------
Unrealized depreciation-net $ (758)
=========
(b) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- ----------------------------------------------------------------------
Buy C$ 569 10/1999 $ 7
Sell 569 10/1999 (5)
Sell 523 05/2000 2
Sell 1,711 06/2000 (6)
Sell EC 310 10/1999 (3)
Buy 429 11/1999 (2)
Sell 570 11/1999 62
Sell JY 50,056 02/2000 (18)
Sell N$ 845 10/1999 8
Buy 524 11/1999 (3)
---------
$ 42
=========
(c) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
EC - European Currency Unit
JY - Japanese Yen
N$ - New Zealand Dollar
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Principal amount of security is adjusted for inflation.
(f) Subject to financing transaction.
1999 Semi-Annual Report See accompanying notes 111
<PAGE>
Schedule of Investments
Foreign Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------
ARGENTINA (b)(h) 0.3%
- ---------------------------------------------------------------------
Republic of Argentina
5.000% due 12/20/2002 JY 219,000 $ 2,041
---------
Total Argentina 2,041
(Cost $1,689) =========
- ---------------------------------------------------------------------
AUSTRALIA (b)(h) 1.2%
- ---------------------------------------------------------------------
Asian Development Bank
5.250% due 09/15/2004 (j) A$ 1,000 624
Bankers Trust Australia
5.366% due 06/02/2008 (d) $ 4,800 4,716
Commonwealth of Australia
9.000% due 09/15/2004 (j) A$ 1,880 1,391
---------
Total Australia 6,731
(Cost $6,776) =========
- ---------------------------------------------------------------------
BAHAMAS 0.1%
- ---------------------------------------------------------------------
Citibank NA Nassau
9.750% due 04/26/2000 $ 350 351
---------
Total Bahamas 351
(Cost $350) =========
- ---------------------------------------------------------------------
BELGIUM (b)(h) 0.9%
- ---------------------------------------------------------------------
Kingdom of Belgium
9.000% due 03/28/2003 EC 5 6
6.750% due 11/21/2004 (d) BF 183,200 5,255
---------
Total Belgium 5,261
(Cost $6,069) =========
- ---------------------------------------------------------------------
BULGARIA 0.6%
- ---------------------------------------------------------------------
Republic of Bulgaria
6.500% due 07/28/2011 (d) $ 4,920 3,487
---------
Total Bulgaria 3,487
(Cost $3,496) =========
- ---------------------------------------------------------------------
CANADA (b)(h) 6.5%
- ---------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 3,440 2,357
Commonwealth of Canada
9.000% due 12/01/2004 6,000 4,675
6.625% due 10/03/2007 N$ 20,830 10,071
6.000% due 06/01/2008 (j) C$ 15,950 11,043
Hydro-Quebec
3.527% due 04/25/2000 (d) DM 5,000 2,722
Providence of Manitoba
11.000% due 08/15/2000 C$ 5,000 3,565
Province of Quebec
3.353% due 02/09/2000 (d) DM 5,000 2,729
Sears Canada
11.700% due 07/10/2000 C$ 1,000 710
---------
Total Canada 37,872
(Cost $39,577) =========
- ---------------------------------------------------------------------
CAYMAN ISLANDS (b)(h) 3.3%
- ---------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C.
5.300% due 09/21/2000 JY 200,000 1,946
Capital Credit Card Corp.
5.625% due 10/15/2004 DM 2,800 1,568
MBNA American Euro
2.640% due 05/19/2004 (d) EC 8,100 8,598
Residential Reinsurance
9.163% due 06/01/2000 (d) $ 7,100 7,078
---------
Total Cayman Islands 19,190
(Cost $19,010) =========
- ---------------------------------------------------------------------
COLOMBIA (b)(h) 0.2%
- ---------------------------------------------------------------------
Republic of Colombia
3.000% due 12/22/2000 JY 150,000 $ 1,331
---------
Total Colombia 1,331
(Cost $1,157) =========
- ---------------------------------------------------------------------
DENMARK (b)(h) 6.1%
- ---------------------------------------------------------------------
Danske Kredit Mortgage
5.000% due 10/01/2029 DK 153,662 18,740
Kingdom of Denmark
6.000% due 11/15/2002 53,500 7,986
Nykredit
5.000% due 10/01/2029 485 59
Realkredit Danmark Mortgage
5.000% due 10/01/2029 431 52
Unikredit Realkredit
5.000% due 10/01/2029 71,235 8,696
---------
Total Denmark 35,533
(Cost $38,392) =========
- ---------------------------------------------------------------------
FRANCE (b)(h) 0.9%
- ---------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 835 846
Caisse Autonome de Refinancement
7.750% due 12/06/1999 FF 1,100 180
Republic of France
3.000% due 07/25/2009 EC 6,254 4,336
---------
Total France 5,362
(Cost $5,661) =========
- ---------------------------------------------------------------------
GERMANY (b)(h) 15.1%
- ---------------------------------------------------------------------
Allgemeine Hypobank AG
5.500% due 01/17/2007 EC 2,290 2,479
5.000% due 09/02/2009 (j) 2,200 2,235
Barclays Capital Corp.
3.246% due 12/20/2000 DM 2,000 1,087
Depfa Pfandbriefbank
0.000% due 01/15/2010 (j) EC 23,260 24,616
Dresdner Finance BV
3.179% due 01/11/2000 (d) DM 1,000 545
Hypothekenbank in Essen AG
4.750% due 08/11/2008 (j) EC 2,360 2,382
4.250% due 07/06/2009 8,460 8,135
Republic of Germany
4.500% due 07/04/2009 (j) 26,220 26,580
6.500% due 07/04/2027 (j) 14,170 16,338
Rheinische Hypothekenbank AG
4.000% due 09/15/2006 DK 3,440 3,427
---------
Total Germany 87,824
(Cost $89,292) =========
- ---------------------------------------------------------------------
GREECE (b)(h) 0.6%
- ---------------------------------------------------------------------
Hellenic Finance
2.000% due 07/15/2003 EC 1,600 1,753
Hellenic Republic
10.200% due 05/19/2003 (d) GD 100,000 331
10.180% due 06/17/2003 (d) 107,400 355
13.100% due 10/23/2003 (d) 376,000 1,248
---------
Total Greece 3,687
(Cost $3,946) =========
- ---------------------------------------------------------------------
ITALY (b)(h) 2.8%
- ---------------------------------------------------------------------
Republic of Italy
4.500% due 05/01/2009 (j) EC 3,710 3,731
6.500% due 11/01/2027 (j) 10,916 12,296
---------
Total Italy 16,027
(Cost $17,729) =========
112 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------------
JAPAN (b)(h) 19.9%
- ----------------------------------------------------------------------------
Government of Japan
4.100% due 12/22/2003 (j) JY 4,063,000 $ 43,341
4.500% due 12/20/2004 (j) 1,294,300 14,308
4.000% due 06/20/2005 (j) 141,300 1,540
3.400% due 06/20/2005 (j) 1,078,300 11,403
3.000% due 09/20/2005 925,000 9,591
3.300% due 06/20/2006 (j) 1,950,000 20,646
0.900% due 12/22/2008 (j) 1,375,700 11,973
SHL Corp. Limited
0.493% due 10/25/2023 (d) 172,022 1,617
0.794% due 12/25/2024 (d) 76,000 715
-------------
Total Japan 115,134
(Cost $108,539) =============
- ----------------------------------------------------------------------------
MEXICO (h) 2.5%
- ----------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 $ 600 544
Petroleos Mexicanos
8.850% due 09/15/2007 1,040 946
9.375% due 12/02/2008 1,290 1,317
United Mexican States
5.750% due 04/07/2000 (d) 6,000 5,932
8.750% due 05/30/2002 BP 270 441
6.768% due 06/27/2002 (d) 670 660
10.375% due 01/29/2003 DM 2,575 1,511
9.060% due 04/07/2004 (d) $ 3,100 3,117
-------------
Total Mexico 14,468
(Cost $14,330) =============
- ----------------------------------------------------------------------------
NETHERLANDS (b)(h) 2.4%
- ----------------------------------------------------------------------------
General Motors Acceptance Corp.
6.875% due 09/09/2004 BP 2,780 4,500
GMAC International Finance BV
7.125% due 02/10/2000 $ 744 1,226
KPNQWest BV
7.125% due 06/01/2009 EC 3,700 3,777
LBW Finance NV
7.000% due 03/08/2000 $ 4,985 2,759
TPSA Finance BV
7.750% due 12/10/2008 1,470 1,430
-------------
Total Netherlands 13,692
(Cost $13,859) =============
- ----------------------------------------------------------------------------
NEW ZEALAND (b)(h) 7.2%
- ----------------------------------------------------------------------------
Commonwealth of New Zealand
10.000% due 03/15/2002 (j) N$ 59,280 33,317
4.500% due 02/15/2016 (j) $ 16,500 8,527
-------------
Total New Zealand 41,844
(Cost $43,726) =============
- ----------------------------------------------------------------------------
PHILIPPINES (b)(h) 0.7%
- ----------------------------------------------------------------------------
Republic of Philippines
8.000% due 09/17/2004 EC 2,420 2,658
6.000% due 12/01/2009 (d) $ 1,436 1,313
-------------
Total Philippines 3,971
(Cost $4,004) =============
- ----------------------------------------------------------------------------
PORTUGAL (b)(h) 1.9%
- ----------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 (j) EC 11,770 11,157
-------------
Total Portugal 11,157
(Cost $10,913) =============
- ----------------------------------------------------------------------------
SINGAPORE (b)(h) 2.2%
- ----------------------------------------------------------------------------
Singapore Government
4.375% due 10/15/2005 S$ 15,800 9,383
4.375% due 01/15/2009 S$ 5,900 3,415
-------------
Total Singapore 12,798
(Cost $12,720) =============
- ----------------------------------------------------------------------------
SOUTH KOREA (b)(h) 1.8%
- ----------------------------------------------------------------------------
Korea Development Bank
2.850% due 05/14/2001 (d) DM 7,310 3,892
2.770% due 05/21/2001 JY 400,000 3,820
1.875% due 02/13/2002 13,000 122
Korean Export-Import Bank
7.250% due 06/25/2001 $ 1,945 1,930
6.500% due 02/10/2002 800 779
-------------
Total South Korea 10,543
(Cost $10,026) =============
- ----------------------------------------------------------------------------
SPAIN (b)(h) 5.5%
- ----------------------------------------------------------------------------
Kingdom of Spain
5.150% due 07/30/2009 (j) EC 27,170 28,615
6.000% due 01/31/2029 (j) 3,123 3,341
-------------
Total Spain 31,956
(Cost $32,629) =============
- ----------------------------------------------------------------------------
SUPRANATIONAL (b)(h) 9.0%
- ----------------------------------------------------------------------------
Asian Development Bank
5.375% due 09/15/2003 A$ 13,300 8,450
Eurofima
5.625% due 11/25/1999 FF 1,000 163
European Investment Bank
12.750% due 02/15/2000 IL 1,262,000 718
7.000% due 12/08/2003 BP 6,300 10,405
6.000% due 11/26/2004 (j) 1,500 2,390
5.375% due 08/28/2007 NK 2,400 295
Inter-American Development Bank
7.125% due 11/26/2004 BP 1,750 2,908
International Bank for Reconstruction & Development
6.875% due 07/14/2000 BP 2,500 4,135
7.000% due 09/18/2000 N$ 6,400 3,346
7.250% due 04/09/2001 6,400 3,347
7.000% due 06/07/2002 BP 1,100 1,820
7.250% due 05/27/2003 N$ 10,670 5,523
International Finance Corp.
6.340% due 02/17/2000 BP 4,965 8,183
World Bank
10.250% due 04/11/2002 PP 31,000 703
-------------
Total Supranational 52,386
(Cost $54,138) =============
- ----------------------------------------------------------------------------
SWEDEN (b)(h) 0.4%
- ----------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 11,200 1,557
5.500% due 04/12/2002 (j) 6,100 758
-------------
Total Sweden 2,315
(Cost $2,412) =============
- ----------------------------------------------------------------------------
TUNISIA (b)(h) 0.3%
- ----------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 1,500 1,573
-------------
Total Tunisia 1,573
(Cost $1,524) =============
- ----------------------------------------------------------------------------
UNITED KINGDOM (b)(h) 5.8%
- ----------------------------------------------------------------------------
Abbey National Treasury Service
5.250% due 01/21/2004 BP 2,670 4,103
FCE Bank PLC
7.500% due 12/08/1999 DM 9,808 5,384
General Electric Capital Corp.
6.750% due 12/30/1999 BP 1,029 1,697
9.000% due 02/14/2000 1,157 1,922
1999 Semi-Annual Report See accompanying notes 113
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------------
SCCR Series 1 Limited
2.589% due 05/15/2000 (d) IL 15,380,000 $ 8,454
United Kingdom Gilt
8.500% due 12/07/2005 (j) BP 6,456 11,858
-------------
Total United Kingdom 33,418
(Cost $33,837) =============
- ----------------------------------------------------------------------------
UNITED STATES (b)(h) 68.1%
- ----------------------------------------------------------------------------
Asset-Backed Securities 7.1%
AFC Home Equity Loan Trust
5.603% due 03/25/2027 (d) $ 1,205 1,210
Americredit Automobile Receivable Trust
5.880% due 12/05/2003 250 249
Banc One Auto Grantor Trust
6.270% due 11/20/2003 623 624
6.290% due 07/20/2004 889 888
Bayview Financial Acquisition
5.889% due 02/25/2029 (d) 454 455
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 457 459
Citibank Credit Card Master Trust
5.279% due 05/15/2002 1,200 1,200
Comed Transitional Funding Trust
5.380% due 03/25/2002 583 583
Contimortgage Home Equity Loan Trust
6.370% due 10/15/2012 (d) 2,092 2,088
6.010% due 12/25/2013 13,765 13,714
Daimler-Benz Vehicle Trust
5.230% due 12/20/2001 2,128 2,126
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 1,019 1,018
EQCC Home Equity Loan Trust
5.543% due 03/20/2029 796 796
5.770% due 03/20/2029 3,992 3,995
First Security Auto Owner Trust
5.311% due 04/15/2002 1,528 1,526
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 468 468
MBNA Master Credit Card Trust
6.050% due 11/15/2002 2,070 2,072
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 3,393 3,384
Premier Auto Trust
6.250% due 08/06/2001 908 909
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 1,630 1,628
The Money Store Home Equity Trust
6.490% due 10/15/2026 460 454
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 1,445 1,440
-------------
41,286
=============
Corporate Bonds & Notes 19.7%
AES Corp.
10.250% due 07/15/2006 394 396
Associates Corp. of North America
5.596% due 08/27/2001 (d) 5,000 4,987
AT&T Capital Corp.
5.561% due 04/23/2002 (d) 675 662
Bancomext Trust Division
8.000% due 08/05/2003 390 377
Beckman Instruments, Inc.
7.100% due 03/04/2003 344 334
Buckeye Technologies, Inc.
8.000% due 10/15/2010 394 361
Building Materials Corp.
7.750% due 07/15/2005 247 227
8.000% due 10/15/2007 267 245
Calpine Corp.
7.875% due 04/01/2008 485 464
Capital One Bank
6.001% due 07/28/2003 (d) 12,000 11,985
Century Communications Corp.
0.000% due 03/15/2003 537 380
CMS Energy
8.125% due 05/15/2002 $ 385 386
CSC Holdings, Inc.
9.875% due 04/01/2023 385 399
CSFP Credit
5.528% due 11/19/2004 (g) 19,000 19,190
DaimlerChrysler NA Holdings
5.748% due 08/23/2002 (d) 3,900 3,891
Echostar DBS Corp.
9.250% due 02/01/2006 488 482
Flag Limited
8.250% due 01/30/2008 385 337
Ford Credit Auto Owner Trust
5.810% due 03/15/2002 8,000 7,985
Garden State Newspapers
8.750% due 10/01/2009 360 331
General Motors Acceptance Corp.
5.619% due 12/10/2001 (d) $ 2,000 1,991
5.540% due 11/12/2002 (d) 5,100 5,067
5.560% due 04/05/2004 (d) 9,760 9,726
Hollinger International Publishing
8.625% due 03/15/2005 294 291
Household Finance Corp.
5.125% due 06/24/2009 EC 4,900 4,841
J.P. Morgan & Co.
5.459% due 02/15/2012 $ 5,500 4,821
Jones Intercable, Inc.
8.875% due 04/01/2007 427 445
K Mart Corp.
9.350% due 01/02/2020 406 436
Lehman Brothers Holdings, Inc.
5.733% due 02/27/2001 (d) 4,900 4,907
5.824% due 11/30/2006 (d) 1,000 875
McLeodUSA, Inc.
8.125% due 02/15/2009 585 547
Merrill Lynch & Co.
5.393% due 11/01/2001 (d) 6,830 6,809
MGM Grand, Inc.
6.950% due 02/01/2005 180 169
Navistar International Corp.
8.000% due 02/01/2008 329 320
Orange PLC
8.000% due 08/01/2008 294 284
Polymer Group, Inc.
9.000% due 07/01/2007 329 314
Rogers Cantel, Inc.
8.300% due 10/01/2007 385 402
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 12,738 12,400
Silgan Holdings, Inc.
9.000% due 06/01/2009 335 319
Sprint Corp.
5.875% due 05/01/2004 690 662
Texas Utilities Co.
6.438% due 09/24/2001 2,600 2,600
TV Guide, Inc.
8.125% due 03/01/2009 335 317
Unisys Corp.
12.000% due 04/15/2003 485 526
World Color Press, Inc.
8.375% due 11/15/2008 206 199
-------------
112,687
=============
Mortgage-Backed Securities 12.4%
Bank of America Mortgage Securities
6.500% due 05/25/2029 314 302
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 3,213 3,206
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 3,801 3,789
6.500% due 03/25/2029 140 128
Crusade Global Trust
5.844% due 02/15/2030 (d) 14,400 14,400
Federal Home Loan Mortgage Corp.
6.000% due 03/15/2008 1,003 996
9.050% due 06/15/2019 73 76
114 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------------
6.500% due 09/15/2022 $ 156 $ 155
6.811% due 06/01/2022 (d) 1,520 1,563
7.091% due 08/01/2022 (d) 928 948
Federal National Mortgage Assn.
5.500% due 02/25/2005 104 104
6.903% due 07/01/2021 (d) 1,010 1,041
7.043% due 11/01/2022 (d) 1,217 1,253
6.559% due 01/01/2023 (d) 1,493 1,535
6.599% due 01/01/2023 (d) 2,066 2,120
6.923% due 08/01/2023 (d) 1,173 1,205
GE Capital Mortgage Services, Inc.
6.250% due 07/25/2029 500 485
General Electric Capital Corp.
5.125% due 01/12/2004 6,230 9,550
Government National Mortgage Assn.
6.125% due 11/20/2021-12/20/2026 (d)(e) 13,105 6,977
6.375% due 05/20/2022-04/20/2027 (d)(e) 5,660 2,902
6.625% due 07/20/2022-09/20/2026 (d)(e) 25,636 13,331
7.000% due 11/22/2029 1,200 1,176
Independent National Mortgage Corp.
7.729% due 11/25/2024 (d) 44 44
Morgan Stanley Mortgage
8.150% due 07/20/2021 2 2
Prudential Home Mortgage Securities
6.800% due 05/25/2024 431 382
Residential Funding Mortgage Securities, Inc.
6.500% due 06/25/2029 1,196 1,001
Structured Asset Mortgage Investments, Inc.
6.584% due 06/25/2029 (d) 3,279 3,195
-------------
71,866
=============
U.S. Government Agencies 13.0%
Federal Home Loan Bank
6.000% due 05/12/2000 (d) 24,600 24,277
4.842% due 02/15/2002 (d) 14,000 13,672
Federal National Mortgage Assn.
6.500% due 07/10/2002 A$ 16,100 10,654
6.875% due 06/07/2002 (j) BP 10,230 16,898
7.250% due 06/20/2002 (j) N$ 14,850 7,744
5.500% due 12/07/2003 (j) BP 700 1,099
Student Loan Marketing Assn.
5.225% due 04/25/2004 (d) $ 374 373
5.195% due 10/25/2004 (d) 834 832
-------------
75,549
=============
U.S. Treasury Obligations 15.9%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (f)(j) 82,272 81,758
U.S. Treasury Bonds
12.500% due 08/15/2014 (j) 6,710 9,719
U.S. Treasury Notes
5.500% due 02/29/2000 790 791
-------------
92,268
=============
Total United States 393,656
(Cost $395,384) =============
- ----------------------------------------------------------------------------
PURCHASED CALL OPTIONS (b)(h) 1.1%
- ----------------------------------------------------------------------------
Japanese Yen vs. Euro (OTC)
Strike @114.000 Exp. 12/22/1999 EC 52,900 959
Republic of Germany (OTC)
4.750% due 07/04/2028
Strike @ 65.000 Exp. 01/18/2000 9,940 2,172
United Kingdom Gilt (OTC)
8.000% due 06/10/2003
Strike @ 95.000 Exp. 02/16/2000 BP 18,720 3,030
-------------
Total Purchased Call Options 6,161
(Cost $5,728) =============
- ----------------------------------------------------------------------------
PURCHASED PUT OPTIONS 3.6%
- ----------------------------------------------------------------------------
Interest Rate Swap (OTC)
Strike @ 6.280% Exp. 04/29/2002 $ 9,000 1,033
Japanese Yen vs. Euro (OTC)
Strike @ 125.000 Exp. 10/15/1999 8,350 1
Japanese Yen vs. U.S. Dollar (OTC)
Strike @ 120.000 Exp. 10/15/1999 12,300 0
Japanese Yen vs. U.S. Dollar (OTC)
Strike @ 120.000 Exp. 10/15/1999 $ 8,200 0
U.S. Treasury Note (OTC)
5.250% due 05/31/2001
Strike @ 102.359 Exp. 12/06/1999 119,800 3,430
U.S. Treasury Note (OTC)
5.625% due 05/15/2008
Strike @ 108.812 Exp. 12/06/1999 83,500 9,685
U.S. Tresury Bond (OTC)
5.500% due 08/15/2028
Strike @ 105.406 Exp. 10/01/1999 13,060 2,058
United Kingdom Gilt (OTC)
6.000% due 12/07/2028
Strike @ 160.000 Exp. 02/10/2000 3,900 2,565
United Kingdom Gilt (OTC)
8.000% due 06/07/2021
Strike @ 170.000 Exp. 01/18/2000 4,680 2,314
-------------
Total Purchased Put Options 21,086
(Cost $21,137) =============
- ----------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.5%
- ----------------------------------------------------------------------------
Certificates of Deposit 1.1%
Commerzbank AG
6.200% due 05/10/2000 (d) 6,550 6,500
-------------
Commercial Paper 0.3%
Bellsouth Telecom
5.350% due 10/13/1999 1,500 1,497
-------------
Repurchase Agreement 0.1%
State Street Bank
4.800% due 10/01/1999 868 868
(Dated 09/30/1999. Collateralized by Federal
National Mortgage Association
6.000% 07/16/2001 valued at $885,922.
Repurchase proceeds are $868,116.)
-------------
Total Short-Term Instruments 8,865
(Cost $8,915) =============
Total Investments (a) 172.5% $ 999,720
(Cost $1,006,965)
Written Options (c) (0.2%) (1,416)
(Premiums $1,124)
Other Assets and Liabilities (Net) (72.3%) (418,784)
-------------
Net Assets 100.0% $ 579,520
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 13,096
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (20,341)
-------------
Unrealized depreciation-net $ (7,245)
=============
1999 Semi-Annual Report See accompanying notes 115
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
September 30, 1999 (Unaudited)
- ----------------------------------------------------------------------------
(b) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- ----------------------------------------------------------------------------
Buy A$ 1,741 10/1999 $ 17
Sell 16,763 10/1999 (139)
Buy BP 3,431 10/1999 6
Sell 37,678 10/1999 (307)
Sell 2,880 11/1999 2
Buy C$ 1,420 10/1999 11
Sell 20,030 10/1999 (167)
Sell DK 190,745 10/1999 (660)
Buy 55,805 11/1999 47
Sell 174,832 11/1999 (220)
Buy 14,910 01/2000 25
Sell 34,382 01/2000 28
Buy 50,957 02/2000 175
Sell 29,447 02/2000 (66)
Buy EC 8,102 10/1999 61
Sell 65,364 10/1999 (645)
Buy 24,814 11/1999 506
Sell 19,489 11/1999 (445)
Sell 1,929 01/2000 (61)
Sell 1,154 02/2000 9
Sell 804 03/2000 (17)
Sell GD 721,432 01/2000 (41)
Sell H$ 203,800 02/2000 (84)
Sell 121,638 09/2000 (2)
Sell JY 26,093 10/1999 2
Buy 356,240 02/2000 (78)
Sell 1,589,804 02/2000 (316)
Sell N$ 33,013 10/1999 841
Sell 39,773 11/1999 68
Sell NK 5,691 10/1999 (1)
Buy 1,631 02/2000 6
Buy PZ 14,184 01/2000 (142)
Buy 8,320 02/2000 (69)
Buy 6,300 03/2000 8
Sell S$ 21,466 02/2000 (39)
Buy SK 47,900 10/1999 66
Sell 12,917 10/1999 6
--------------
$ (1,615)
==============
(c) Premiums received on written options:
# of
Type Contracts Premium Value
- ----------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 120.000 Exp. 11/20/1999 247 $ 135 $ 27
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 110.000 Exp. 11/20/1999 247 87 81
Put - OTC U.S.Treasury Note
5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 3,500 14 0
Put - OTC Japanese Yen vs. US Dollar
Strike @ 120.000 Exp. 10/15/1999 8,200 45 0
Put - OTC Japanese Yen vs. Eurodollar
Strike @ 125.000 Exp. 10/15/1999 8,350 118 1
Put - OTC Eurodollar vs. Japanese Yen
Strike @ 112.000 Exp. 11/26/1999 6,300 86 108
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.280% Exp. 04/29/2000 16,000 634 1,194
Put - LIFFE EURIBOR September Futures
Strike @ 96.000 Exp. 09/18/2000 6,300 5 5
--------------------
$ 1,124 $ 1,416
====================
(d) Variable rate security. The rate listed is as of September 30, 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) Restricted security.
(h) Principal amount denoted in indicated currency:
A$ - Australian Dollar
BF - Belgian Franc
BP - British Pound
C$ - Canadian Dollar
DK - Danish Krone
DM - German Mark
EC - European Currency Unit
FF - French Franc
GD - Greek Drachma
H$ - Hong Kong Dollar
IL - Italian Lira
JY - Japanese Yen
N$ - New Zealand Dollar
NK - Norwegian Kron
PP - Philippines Peso
PZ - Polish Zloty
S$ - Singapore Dollar
SK - Swedish Krona
(i) Swap agreements outstanding at September 30, 1999:
Notional Unrealized
Type Amount Appreciation
- ----------------------------------------------------------------------------
Receive fixed rate equal to 6.949% and
pay floating rate based on 6 month LIBOR.
Broker: Merrill Lynch
Exp. 08/06/2003 $ 28,900 $ 109
(j) Subject to a financing transaction.
116 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Global Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------------
ARUBA 0.5%
- ----------------------------------------------------------------------------
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 $ 1,300 $ 1,334
-------------
Total Aruba 1,334
(Cost $1,299) =============
- ----------------------------------------------------------------------------
AUSTRALIA (e)(f) 1.0%
- ----------------------------------------------------------------------------
Commonwealth of Australia
9.000% due 09/15/2004 (i) A$ 940 696
Bankers Trust Australia
5.366% due 06/02/2008 (d) $ 2,300 2,260
-------------
Total Australia 2,956
(Cost $2,966) =============
- ----------------------------------------------------------------------------
BELGIUM (f) 0.9%
- ----------------------------------------------------------------------------
Kingdom of Belgium
6.750% due 11/21/2004 (d)(i) BF 95,900 2,751
-------------
Total Belgium 2,751
(Cost $3,161) =============
- ----------------------------------------------------------------------------
BULGARIA (f) 0.5%
- ----------------------------------------------------------------------------
Republic of Bulgaria
6.500% due 07/28/2011 (d) $ 1,250 886
2.500% due 07/28/2012 (d) 876 550
-------------
Total Bulgaria 1,436
(Cost $1,452) =============
- ----------------------------------------------------------------------------
CANADA (e)(f) 3.3%
- ----------------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 1,460 1,001
Canadian Imperial Bank
2.636% due 10/16/2000 (d) DM 600 327
Commonwealth of Canada
6.625% due 10/03/2007 N$ 8,680 4,196
6.000% due 06/01/2008 (i) C$ 5,840 4,043
-------------
Total Canada 9,567
(Cost $10,004) =============
- ----------------------------------------------------------------------------
CAYMAN ISLANDS (e)(f) 1.2%
- ----------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C.
5.300% due 09/21/2000 JY 80,000 778
Residential Reinsurance
9.163% due 06/01/2000 (d) $ 2,800 2,791
-------------
Total Cayman Islands 3,569
(Cost $3,483) =============
- ----------------------------------------------------------------------------
COLOMBIA (e)(f) 0.3%
- ----------------------------------------------------------------------------
Republic of Colombia
3.000% due 12/22/2000 JY 100,000 888
-------------
Total Colombia 888
(Cost $771) =============
- ----------------------------------------------------------------------------
DENMARK (e)(f) 3.9%
- ----------------------------------------------------------------------------
Danske Kredit Mortgage
5.000% due 10/01/2029 DK 29,895 3,646
Kingdom of Denmark
6.000% due 11/15/2002 18,800 2,806
7.000% due 11/15/2007 (i) 700 110
Nykredit
5.000% due 10/01/2029 13,751 1,667
Realkredit Danmark Mortgage
5.000% due 10/01/2029 206 25
Unikredit Realkredit
5.000% due 10/01/2029 DK 25,887 3,160
-------------
Total Denmark 11,414
(Cost $12,351) =============
- ----------------------------------------------------------------------------
FRANCE (e)(f) 1.4%
- ----------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 $ 405 $ 410
Republic of France
3.000% due 07/25/2009 (h) EC 3,322 3,468
Rhone-Poulenc
8.750% due 11/26/1999 FF 780 128
-------------
Total France 4,006
(Cost $4,147) =============
- ----------------------------------------------------------------------------
GERMANY (e)(f) 12.2%
- ----------------------------------------------------------------------------
Allgemeine Hypobank AG
5.500% due 01/17/2007 EC 900 974
5.000% due 09/02/2009 (i) 900 914
Depfa Pfandbriefbank
3.750% due 01/15/2009 700 652
5.500% due 01/15/2010 (i) 9,060 9,588
Hypothekenbank In Essen AG
4.750% due 08/11/2008 (i) 1,250 1,262
4.250% due 07/06/2009 4,270 4,106
Republic of Germany
4.500% due 07/04/2009 (i) EC 11,050 11,202
Rheinische Hypothekenbank AG
4.000% due 09/15/2006 2,420 2,411
5.000% due 04/16/2008 (i) EC 1,860 1,923
Treuhandanstalt
7.500% due 09/09/2004 (i) 1,970 2,358
-------------
Total Germany 35,390
(Cost $35,280) =============
- ----------------------------------------------------------------------------
GREECE (e)(f) 0.8%
- ----------------------------------------------------------------------------
Hellenic Finance
2.000% due 07/15/2003 EC 500 548
Hellenic Republic
10.200% due 05/19/2003 (d) GD 100,000 331
10.180% due 06/17/2003 (d) 69,100 229
13.100% due 10/23/2003 (d) 344,000 1,142
-------------
Total Greece 2,250
(Cost $2,517) =============
- ----------------------------------------------------------------------------
ITALY (e)(f) 0.9%
- ----------------------------------------------------------------------------
Republic of Italy
6.500% due 11/01/2027 (i) EC 2,420 2,726
-------------
Total Italy 2,726
(Cost $3,085) =============
- ----------------------------------------------------------------------------
JAPAN (e)(f) 7.7%
- ----------------------------------------------------------------------------
Government of Japan
4.500% due 12/20/2004 (i) JY 444,000 4,908
3.400% due 06/20/2005 (i) 129,500 1,369
4.000% due 06/20/2005 (i) 36,200 395
3.000% due 09/20/2005 (i) 240,000 2,488
3.300% due 06/20/2006 (i) 910,000 9,635
0.900% due 12/22/2008 (i) 258,900 2,253
Nippon Telegraph & Telephone Corp.
7.125% due 03/06/2000 DM 700 387
SHL Corp. Limited
0.493% due 10/25/2023 (d) JY 70,297 661
0.794% due 12/25/2024 (d) 31,000 291
-------------
Total Japan 22,387
(Cost $21,516) =============
- ----------------------------------------------------------------------------
MEXICO (f) 1.8%
- ----------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 $ 180 163
Petroleos Mexicanos
8.850% due 09/15/2007 480 437
9.375% due 12/02/2008 650 664
1999 Semi-Annual Report See accompanying notes 117
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------------
United Mexican States
5.750% due 04/07/2000 (d) $ 1,000 $ 989
10.375% due 01/29/2003 DM 2,904 1,704
9.060% due 04/07/2004 (d) $ 1,400 1,408
-------------
Total Mexico 5,365
(Cost $5,374) =============
- ----------------------------------------------------------------------------
NETHERLANDS (e)(f) 1.3%
- ----------------------------------------------------------------------------
Deutsche Bank Financial
5.218% due 12/17/2003 (d) $ 1,500 1,496
KPNQWest BV
7.125% due 06/01/2009 EC 1,500 1,531
TPSA Finance BV
7.750% due 12/10/2008 $ 760 739
-------------
Total Netherlands 3,766
(Cost $3,828) =============
- ----------------------------------------------------------------------------
NEW ZEALAND (e)(f) 4.6%
- ----------------------------------------------------------------------------
Commonwealth of New Zealand
10.000% due 03/15/2002 (i) N$ 15,700 8,824
5.500% due 04/15/2003 (i) 1,900 955
4.500% due 02/15/2016 (h) 7,081 3,659
-------------
Total New Zealand 13,438
(Cost $14,207) =============
- ----------------------------------------------------------------------------
PHILIPPINES (e)(f) 0.5%
- ----------------------------------------------------------------------------
Republic of Philippines
8.000% due 09/17/2004 EC 650 714
6.000% due 12/01/2009 (d) $ 672 614
-------------
Total Philippines 1,328
(Cost $1,338) =============
- ----------------------------------------------------------------------------
PORTUGAL (e)(f) 1.2%
- ----------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 (i) EC 3,550 3,365
-------------
Total Portugal 3,365
(Cost $3,290) =============
- ----------------------------------------------------------------------------
SINGAPORE (e)(f) 2.0%
- ----------------------------------------------------------------------------
Singapore Government
4.375% due 10/15/2005 S$ 7,900 4,692
4.375% due 01/15/2009 2,100 1,216
-------------
Total Singapore 5,908
(Cost $5,873) =============
- ----------------------------------------------------------------------------
SOUTH KOREA (e)(f) 1.5%
- ----------------------------------------------------------------------------
Korea Development Bank
5.437% due 05/06/2000 (d) BP 1,470 2,380
2.850% due 05/14/2001 (d) DM 520 277
Korean Export-Import Bank
7.250% due 06/25/2001 $ 1,300 1,290
6.500% due 02/10/2002 300 292
-------------
Total South Korea 4,239
(Cost $4,187) =============
- ----------------------------------------------------------------------------
SPAIN (e)(f) 3.7%
- ----------------------------------------------------------------------------
Bonos y Oblig Del Estado
5.150% due 07/30/2009 (i) EC 9,460 9,963
Kingdom of Spain
6.000% due 01/31/2029 (i) 801 857
-------------
Total Spain 10,820
(Cost $10,963) =============
- ----------------------------------------------------------------------------
SUPRANATIONAL (e)(f) 8.6%
- ----------------------------------------------------------------------------
Asian Development Bank
5.375% due 09/15/2003 A$ 7,500 4,765
European Investment Bank
7.000% due 12/08/2003 BP 2,800 4,624
6.000% due 11/26/2004 (i) 750 1,195
5.375% due 08/28/2007 NK 4,200 516
Inter-American Development Bank
7.125% due 11/26/2004 BP 510 848
International Bank for Reconstruction & Development
6.875% due 07/14/2000 1,500 2,481
7.000% due 09/18/2000 N$ 3,200 1,673
7.250% due 04/09/2001 3,200 1,674
7.000% due 06/07/2002 BP 1,000 1,655
7.250% due 05/27/2003 N$ 9,190 4,757
World Bank
10.250% due 04/11/2002 PP 29,000 658
-------------
Total Supranational 24,846
(Cost $26,012) =============
- ----------------------------------------------------------------------------
SWEDEN (e)(f) 0.6%
- ----------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 10,300 1,431
5.500% due 04/12/2002 (i) 2,700 335
-------------
Total Sweden 1,766
(Cost $1,844) =============
- ----------------------------------------------------------------------------
TUNISIA (e)(f) 0.3%
- ----------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 700 734
-------------
Total Tunisia 734
(Cost $711) =============
- ----------------------------------------------------------------------------
UNITED KINGDOM (e)(f) 4.0%
- ----------------------------------------------------------------------------
Cadbury Schweppes PLC
8.000% due 12/29/2000 BP 800 1,336
Equitable
8.000% due 08/29/2049 (d) 6,100 10,038
SCCR Series 1 Limited
2.589% due 05/15/2000 (d) IL 200,000 110
-------------
Total United Kingdom 11,484
(Cost $11,666) =============
- ----------------------------------------------------------------------------
UNITED STATES (e)(f) 69.1%
- ----------------------------------------------------------------------------
Asset-Backed Securities 5.8%
AFC Home Equity Loan Trust
5.693% due 12/22/2027 (d) $ 1,083 1,064
Americredit Automobile Receivable Trust
5.880% due 12/05/2003 250 249
Argentina Funding Corp.
5.553% due 05/20/2003 (d) 300 300
Banc One Auto Grantor Trust
6.270% due 11/20/2003 268 269
6.290% due 07/20/2004 444 444
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 219 220
Comed Transitional Funding Trust
5.380% due 03/25/2002 300 300
Contimortgage Home Equity Loan Trust
6.010% due 12/25/2013 4,514 4,497
6.370% due 10/15/2012 (d) 1,011 1,009
Daimler-Benz Vehicle Trust
5.230% due 12/20/2001 1,094 1,093
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 494 494
First Security Auto Owner Trust
5.311% due 04/15/2002 764 763
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 240 240
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 1,369 1,365
Pacific Southwest Bank
6.060% due 06/15/2002 402 403
Premier Auto Trust
6.250% due 08/06/2001 303 303
118 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------------
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 $ 720 $ 719
Residential Asset Securities Corp.
5.479% due 12/25/2013 (d) 2,262 2,262
The Money Store Home Equity Trust
6.490% due 10/15/2026 200 198
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 696 693
-------------
16,885
=============
Corporate Bonds & Notes 20.1%
AES Corp.
10.250% due 07/15/2006 176 177
Associates Corp. NA
2.727% due 06/30/2003 (d) EC 800 849
Associates Corp. of North America
5.596% due 08/27/2001 (d) $ 2,400 2,394
AT&T Capital Corp.
5.561% due 04/23/2002 (d) 2,000 1,961
Bancomext Trust Division
8.000% due 08/05/2003 180 174
Beckman Instruments, Inc.
7.100% due 03/04/2003 138 134
Buckeye Technologies, Inc.
8.000% due 10/15/2010 143 131
Building Materials Corp.
7.750% due 07/15/2005 76 70
8.000% due 10/15/2007 76 70
Calpine Corp.
7.875% due 04/01/2008 258 247
Century Communications Corp.
0.000% due 03/15/2003 206 146
CMS Energy
8.125% due 05/15/2002 164 164
CSC Holdings, Inc.
9.875% due 04/01/2023 164 170
CSFP Credit
5.528% due 11/19/2004 (j) 10,750 10,858
DaimlerChrysler NA Holdings
5.748% due 08/23/2002 (d) 1,540 1,536
Echostar Communications Corp.
9.250% due 02/01/2006 164 163
Flag Limited
8.250% due 01/30/2008 164 144
Ford Credit Auto Owner Trust
5.810% due 03/15/2002 3,500 3,493
Garden State Newspapers
8.750% due 10/01/2009 101 93
General Motors Acceptance Corp.
5.619% due 12/10/2001 (d) 1,900 1,891
9.000% due 10/15/2002 1,140 1,215
5.560% due 04/05/2004 (d) 3,840 3,826
Hewlett-Packard Finance
5.625% due 11/20/2000 DM 1,300 723
Hollinger International Publishing
8.625% due 03/15/2005 126 125
Household Finance Corp.
5.125% due 06/24/2009 EC 1,600 1,581
International Game Technology
7.875% due 05/15/2004 $ 1,800 1,733
Jones Intercable, Inc.
8.875% due 04/01/2007 164 171
K Mart Corp.
9.350% due 01/02/2020 164 176
Kroger Co.
6.420% due 10/01/2010 (d) 1,200 1,198
Lehman Brothers Holdings, Inc.
5.733% due 02/27/2001 (d) 2,300 2,303
5.824% due 11/30/2006 (d) 573 501
McLeodUSA, Inc.
8.125% due 02/15/2009 280 262
Merrill Lynch & Co.
5.378% due 09/30/2000 (d) 540 539
5.393% due 11/01/2001 (d) 2,970 2,961
MGM Grand, Inc.
6.950% due 02/01/2005 80 75
Navistar International Corp.
8.000% due 02/01/2008 $ 101 98
Orange PLC
8.000% due 08/01/2008 126 122
Polymer Group, Inc.
9.000% due 07/01/2007 132 126
Rogers Cantel, Inc.
8.300% due 10/01/2007 164 171
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (f) 6,537 6,363
Silgan Holdings, Inc.
9.000% due 06/01/2009 101 96
Sprint Corp.
5.875% due 05/01/2004 280 269
TCI Communications, Inc.
6.185% due 04/01/2002 (d) 2,700 2,745
Tennessee Valley Authority
3.375% due 01/15/2007 1,199 1,108
Texas Utilities Co.
6.064% due 06/25/2001 3,500 3,491
6.438% due 09/24/2001 1,200 1,200
TV Guide, Inc.
8.125% due 03/01/2009 174 165
Unisys Corp.
12.000% due 04/15/2003 214 232
World Color Press, Inc.
8.375% due 11/15/2008 63 61
-------------
58,501
=============
Mortgage-Backed Securities 10.8%
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 1,521 1,517
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 1,805 1,800
6.500% due 03/25/2029 60 55
Crusade Global Trust
5.844% due 02/15/2030 (d) 7,000 7,000
Federal Home Loan Mortgage Corp.
6.000% due 03/15/2008 502 498
6.768% due 05/01/2023 (d) 340 349
6.000% due 10/14/2028 1,440 1,344
Federal Housing Administration
7.400% due 02/01/2021 1,442 1,457
Federal National Mortgage Assn.
7.500% due 11/01/2001-01/01/2002 (g) 507 297
5.500% due 02/25/2005 49 48
6.500% due 04/01/2009 477 472
7.421% due 11/01/2023 (d) 256 266
6.709% due 03/01/2024 (d) 165 169
GE Capital Mortgage Services, Inc.
6.250% due 07/25/2029 300 291
Government National Mortgage Assn.
6.375% due 05/20/2023-06/20/2023 (d)(g) 975 689
6.625% due 07/20/2022-09/20/2026 (d)(g) 6,957 3,608
6.125% due 11/20/2023-12/20/2026 (d)(g) 4,075 2,488
7.000% due 10/21/2029 7,140 7,007
Independent National Mortgage Corp.
7.729% due 11/25/2024 (d) 22 22
Residential Funding Mortgage Securities, Inc.
7.528% due 03/25/2025 (d) 469 476
Structured Asset Mortgage Investments, Inc.
6.584% due 06/25/2029 (d) 1,431 1,394
-------------
31,247
=============
U.S. Government Agencies 11.2%
Federal Home Loan Bank
6.000% due 05/12/2000 (d) 10,500 10,362
Federal National Mortgage Assn.
6.875% due 06/07/2002 (i) BP 690 1,140
7.250% due 06/20/2002 (i) N$ 6,360 3,316
6.500% due 07/10/2002 (i) A$ 3,400 2,250
5.500% due 12/07/2003 (i) BP 500 785
6.500% due 04/29/2009 $ 5,100 4,883
Student Loan Marketing Assn.
5.225% due 04/25/2004 (d) 374 373
5.495% due 04/25/2007 (d) 9,286 9,272
-------------
32,381
=============
1999 Semi-Annual Report See accompanying notes 119
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------
U.S. Treasury Obligations 21.2%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h) $ 44,961 $ 44,680
U.S. Treasury Bonds
12.500% due 08/15/2014 8,410 12,181
U.S. Treasury Notes
5.500% due 02/29/2000 (b) 570 571
6.000% due 08/15/2004 4,130 4,171
--------------
61,603
--------------
Total United States 200,617
(Cost $201,889) ==============
- -----------------------------------------------------------------------------
PURCHASED CALL OPTIONS (e)(f) 1.0%
- -----------------------------------------------------------------------------
Japanese Yen vs. Euro (OTC) Strike
Strike @ 114.000 Exp. 12/22/1999 EC 24,800 450
Republic of Germany (OTC)
4.750% due 07/04/2028
Strike @ 65.000 Exp. 01/18/2000 4,580 1,001
United Kingdom Gilt (OTC)
8.000% due 06/10/2003
Strike @ 95.000 Exp. 02/16/2000 BP 8,640 1,399
--------------
Total Purchased Call Options 2,850
(Cost $2,647) ==============
- -----------------------------------------------------------------------------
PURCHASED PUT OPTIONS 1.0%
- -----------------------------------------------------------------------------
Interest Rate Swap (OTC)
Strike @ 6.280% Exp. 04/29/2002 $ 3,800 436
Japanese Yen vs. Euro (OTC)
Strike @ 125.000 Exp. 10/15/1999 3,830 0
Japanese Yen vs. U.S. Dollar (OTC)
Strike @ 120.000 Exp. 10/15/1999 5,800 0
Japanese Yen vs. U.S. Dollar (OTC)
Strike @ 120.000 Exp. 10/15/1999 3,900 0
U.S. Treasury Bond (OTC)
5.500% due 08/15/2028
Strike @ 105.406 Exp. 10/01/1999 1,910 301
United Kingdom Gilt (OTC)
6.000% due 12/07/2028
Strike @ 160.000 Exp. 02/10/2000 1,800 1,184
United Kingdom Gilt (OTC)
8.000% due 06/07/2021
Strike @ 170.000 Exp. 01/18/2000 2,160 1,068
--------------
Total Purchased Put Options 2,989
(Cost $2,779) ==============
- -----------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 5.1%
- -----------------------------------------------------------------------------
Certificates of Deposit 1.4%
Commerzbank AG
6.200% due 05/10/2000 (d) 4,150 4,119
--------------
Commercial Paper 3.7%
American Express
5.340% due 10/27/1999 500 498
5.280% due 10/27/1999 1,500 1,494
Bellsouth Telecom
5.350% due 10/13/1999 1,500 1,497
Hewlett-Packard Co.
5.300% due 10/07/1999 3,900 3,897
Procter & Gamble Co.
5.370% due 10/20/1999 800 798
Wisconsin Electric
5.270% due 10/05/1999 2,500 2,499
--------------
10,683
==============
Repurchase Agreement 0.0%
State Street Bank
4.800% due 10/01/1999 146 146
(Dated 09/30/1999. Collateralized by Federal
National Mortgage Association
0.000% 12/13/1999 valued at $153,450.
Repurchase proceeds are $146,019.)
--------------
Total Short-Term Instruments 14,948
(Cost $14,979) ==============
Total Investments (a) 140.9% $ 409,137
(Cost $413,619)
Written Options (c) 0.2% (677)
(Premiums $571)
Other Assets and Liabilities (Net) (40.7%) (118,127)
--------------
Net Assets 100.0% $ 290,333
==============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 2,717
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (7,199)
--------------
Unrealized depreciation-net $ (4,482)
==============
(b) Securities with an aggregate market value of $571
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 1999:
# of Unrealized
Type Contracts Appreciation
- -----------------------------------------------------------------------------
United Kingdom 90 Day LIBOR (09/2000) 10 $ 4
United Kingdom 90 Day LIBOR (12/2000) 10 7
United Kingdom 90 Day LIBOR (03/2001) 10 8
United Kingdom 90 Day LIBOR (06/2001) 10 7
--------------
$ 26
==============
(c) Premium Received on written options:
# of
Type Contracts Premium Value
- -----------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 120.000 Exp. 11/20/1999 118 $ 64 $ 13
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 110.000 Exp. 11/20/1999 118 42 39
Put - OTC U.S.Treasury Note 5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 1,700 7 0
Put - OTC Japanese Yen vs. US Dollar
Strike @ 120.000 Exp. 10/15/1999 3,900 21 0
Put - OTC Japanese Yen vs. Eurodollar
Strike @ 125.000 Exp. 10/15/1999 3,830 54 0
Put - OTC Eurodollar vs. Japanese Yen
Strike @ 112.000 Exp. 11/26/1999 3,000 41 51
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.280% Exp. 04/29/2000 7,000 278 523
Put - LIFFE BP 90 Day LIBOR
Strike @ 93.000 Exp. 09/20/2000 27,000 64 51
---------------------------
$ 571 $ 677
===========================
(d) Variable rate security. The rate listed is as of September 30, 1999.
120 PIMCO Funds See accompanying notes
<PAGE>
- -------------------------------------------------------------------------
(e) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- -------------------------------------------------------------------------
Buy A$ 652 10/1999 $ 6
Sell 8,973 10/1999 (70)
Buy 2,907 11/1999 10
Sell BP 4,219 10/1999 (55)
Sell 1,227 11/1999 1
Sell C$ 9,067 10/1999 81
Sell DK 62,100 10/1999 (104)
Buy 26,615 11/1999 21
Sell 42,911 11/1999 (40)
Buy 17,146 01/2000 7
Sell 35,620 01/2000 (2)
Buy 1,689 02/2000 6
Sell 9,888 02/2000 (22)
Buy EC 76,374 10/1999 874
Sell 2,960 10/1999 8
Buy 22,815 11/1999 393
Sell 7,119 11/1999 (181)
Sell 899 01/2000 (29)
Sell 600 02/2000 5
Sell 400 03/2000 (8)
Sell GD 584,263 01/2000 (33)
Sell H$ 98,000 02/2000 (41)
Sell 60,117 09/2000 (1)
Buy JY 5,821,591 02/2000 462
Buy N$ 21,992 10/1999 (44)
Sell 37,079 10/1999 446
Buy 1,424 11/1999 (9)
Sell 24,050 11/1999 37
Sell NK 2,063 10/1999 0
Sell 2,234 02/2000 (9)
Buy PZ 6,565 01/2000 (66)
Buy 4,320 02/2000 (36)
Buy 3,140 03/2000 4
Sell S$ 10,187 02/2000 (20)
Buy SK 43,515 10/1999 22
-------------
$ 1,613
=============
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar
BP - British Pound
BF - Belgian Franc
C$ - Canadian Dollar
DK - Danish Krone
DM - German Mark
EC - European Currency Unit
FF - French Franc
GD - Greek Drachma
H$ - Hong Kong Dollar
IL - Italian Lira
JY - Japanese Yen
N$ - New Zealand Dollar
NK - Norwegian Kron
PP - Philippines Peso
PZ - Polish Zloty
S$ - Singapore Dollar
SK - Swedish Krona
(g) Securities are grouped by coupon or range of coupons and represent
a range of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Subject to financing transaction.
(j) Restricted security.
(k) Swap agreements outstanding at September 30, 1999:
Unrealized
Notional Appreciation/
Type Amount Depreciation
- --------------------------------------------------------------------------------
Receive fixed rate equal to 5.935% and pay floating rate
based on 6 month BP-LIBOR.
Broker: Merrill Lynch
Exp. 11/05/2003 BP 7,300 $ (413)
Receive fixed rate equal to 6.949% and
pay floating rate based on 6 month LIBOR.
Broker: Merrill Lynch 11300 43
-----------
$ (370)
===========
1999 Semi-Annual Report See accompanying notes 121
<PAGE>
Schedule of Investments
Global Bond Fund II
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------
ARUBA 0.5%
- -----------------------------------------------------------------------------
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 $ 200 $ 205
--------------
Total Aruba 205
(Cost $200) ==============
- -----------------------------------------------------------------------------
AUSTRALIA (c)(f) 1.1%
- -----------------------------------------------------------------------------
Bankers Trust Australia
5.366% due 06/02/2008 (d) $ 300 295
Commonwealth of Australia
9.000% due 09/15/2004 A$ 140 104
9.500% due 08/15/2003 (i) 100 74
--------------
Total Australia 473
(Cost $484) ==============
- -----------------------------------------------------------------------------
BELGIUM 0.4%
- -----------------------------------------------------------------------------
Kingdom of Belgium
6.750% due 11/21/2004 (d)(i) BF 5,800 166
--------------
Total Belgium 166
(Cost $190) ==============
- -----------------------------------------------------------------------------
BULGARIA 0.5%
- -----------------------------------------------------------------------------
Republic of Bulgaria
6.500% due 07/28/2011 (d) EC 40 28
2.750% due 07/28/2012 (d) $ 303 190
--------------
Total Bulgaria 218
(Cost $222) ==============
- -----------------------------------------------------------------------------
CANADA (c)(f) 4.2%
- -----------------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 230 158
Commonwealth of Canada
6.625% due 10/03/2007 N$ 1,410 682
6.000% due 06/01/2008 (i) C$ 880 609
Export Development Corp.
6.500% due 12/21/2004 N$ 693 343
--------------
Total Canada 1,792
(Cost $1,874) ==============
- -----------------------------------------------------------------------------
CAYMAN ISLANDS 0.9%
- -----------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C.
5.300% due 09/21/2000 JY 10,000 97
Residential Reinsurance
9.163% due 06/01/2000 (d) $ 300 299
--------------
Total Cayman Islands 396
(Cost $386) ==============
- -----------------------------------------------------------------------------
DENMARK (c)(f) 4.4%
- -----------------------------------------------------------------------------
Danske Kredit Mortgage
5.000% due 10/01/2029 DK 7,573 924
Kingdom of Denmark
6.000% due 11/15/2002 (i) 3,100 463
Nykredit
5.000% due 10/01/2029 35 4
Realkredit Danmark Mortgage
5.000% due 10/01/2029 30 4
Unikredit Realkredit
5.000% due 10/01/2029 4,238 517
--------------
Total Denmark 1,912
(Cost $2,062) ==============
- -----------------------------------------------------------------------------
FRANCE 0.9%
- -----------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 62 61
Republic of France
3.000% due 07/25/2009 (j) 455 316
--------------
Total France 377
(Cost $400) ==============
- -----------------------------------------------------------------------------
GERMANY 12.5%
- -----------------------------------------------------------------------------
Allgemeine Hypobank AG
5.500% due 01/17/2007 EC 120 $ 130
5.000% due 09/02/2009 100 102
Depfa Pfandbriefbank
3.750% due 01/15/2009 100 93
5.500% due 01/15/2010 1,370 1,450
Hypothekenbank In Essen AG
4.750% due 08/11/2008 190 192
4.250% due 07/06/2009 510 490
Republic of Germany
4.500% due 07/04/2009 1,939 1,966
Rheinische Hypothekenbank AG
4.000% due 09/15/2006 290 289
5.000% due 04/16/2008 260 269
Treuhandanstalt
7.500% due 09/09/2004 310 371
--------------
Total Germany 5,352
(Cost $5,316) ==============
- -----------------------------------------------------------------------------
GREECE (c)(f) 0.3%
- -----------------------------------------------------------------------------
Hellenic Republic
10.180% due 06/17/2003 (d) GD 7,400 24
13.100% due 10/23/2003 (d) 33,600 112
--------------
Total Greece 136
(Cost $159) ==============
- -----------------------------------------------------------------------------
ITALY 2.0%
- -----------------------------------------------------------------------------
Republic of Italy
4.500% due 05/01/2009 (i) EC 340 342
6.500% due 11/01/2027 (i) 460 518
--------------
Total Italy 860
(Cost $932) ==============
- -----------------------------------------------------------------------------
JAPAN (c)(f) 8.6%
- -----------------------------------------------------------------------------
Government of Japan
4.500% due 12/20/2004 (i) JY 68,700 759
3.400% due 06/20/2005 (i) 28,000 296
4.000% due 06/20/2005 (i) 11,000 120
3.000% due 09/20/2005 74,000 767
3.300% due 06/20/2006 (i) 145,000 1,535
0.900% due 12/22/2008 (i) 5,700 50
SHL Corporation Limited
0.493% due 10/25/2023 (d) 11,578 109
0.794% due 12/25/2024 (d) 5,000 47
--------------
Total Japan 3,683
(Cost $3,564) ==============
- -----------------------------------------------------------------------------
MEXICO 2.6%
- -----------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 $ 110 100
Petroleos Mexicanos
8.850% due 09/15/2007 140 127
9.375% due 12/02/2008 190 194
United Mexican States
8.750% due 05/30/2002 BP 150 245
6.768% due 06/27/2002 (d) 130 128
10.375% due 01/29/2003 DM 200 117
9.060% due 04/07/2004 (d) $ 200 201
--------------
Total Mexico 1,112
(Cost $1,093) ==============
- -----------------------------------------------------------------------------
NETHERLANDS 1.1%
- -----------------------------------------------------------------------------
Deutsche Bank Financial
5.218% due 12/17/2003 (d) $ 200 200
KPNQWest BV
7.125% due 06/01/2009 EC 250 255
--------------
Total Netherlands 455
(Cost $462) ==============
122 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------
NEW ZEALAND (c)(f) 4.7%
- -----------------------------------------------------------------------------
Commonwealth of New Zealand
10.000% due 03/15/2002 (i) N$ 2,500 $ 1,405
4.500% due 02/15/2016 1,200 620
--------------
Total New Zealand 2,025
(Cost $2,126) ==============
- -----------------------------------------------------------------------------
PHILIPPINES 0.7%
- -----------------------------------------------------------------------------
Republic of Philippines
8.000% due 09/17/2004 EC 170 187
6.000% due 12/01/2009 (d) $ 109 100
--------------
Total Philippines 287
(Cost $289) ==============
- -----------------------------------------------------------------------------
PORTUGAL 0.4%
- -----------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 EC 200 190
--------------
Total Portugal 190
(Cost $185) ==============
- -----------------------------------------------------------------------------
SINGAPORE (c)(f) 2.2%
- -----------------------------------------------------------------------------
Singapore Government
4.375% due 10/15/2005 S$ 1,300 771
4.375% due 01/15/2009 300 174
--------------
Total Singapore 945
(Cost $940) ==============
- -----------------------------------------------------------------------------
SOUTH KOREA 1.7%
- -----------------------------------------------------------------------------
Korea Development Bank
2.850% due 05/14/2001 (d) DM 440 234
1.875% due 02/13/2002 JY 25,000 235
Korean Export-Import Bank
7.250% due 06/25/2001 $ 260 258
--------------
Total South Korea 727
(Cost $698) ==============
- -----------------------------------------------------------------------------
SPAIN 3.6%
- -----------------------------------------------------------------------------
Kingdom of Spain
5.150% due 07/30/2009 EC 1,390 1,464
6.000% due 01/31/2029 (i) 97 104
--------------
Total Spain 1,568
(Cost $1,600) ==============
- -----------------------------------------------------------------------------
SUPRANATIONAL (c)(f) 8.7%
- -----------------------------------------------------------------------------
Asian Development Bank
5.375% due 09/15/2003 A$ 1,000 635
European Investment Bank
7.000% due 12/08/2003 BP 400 661
5.375% due 08/28/2007 NK 500 61
Inter-American Development Bank
7.125% due 11/26/2004 BP 80 133
International Bank for Reconstruction & Development
6.875% due 07/14/2000 200 331
7.000% due 09/18/2000 N$ 500 261
7.250% due 04/09/2001 1,376 720
7.000% due 06/07/2002 BP 100 165
7.250% due 05/27/2003 N$ 890 461
World Bank
7.250% due 01/16/2002 480 251
10.250% due 04/11/2002 PP 2,000 45
--------------
Total Supranational 3,724
(Cost $3,845) ==============
- -----------------------------------------------------------------------------
SWEDEN (c)(f) 0.4%
- -----------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 900 $ 125
5.500% due 04/12/2002 (i) 400 50
--------------
Total Sweden 175
(Cost $183) ==============
- -----------------------------------------------------------------------------
TUNISIA 0.2%
- -----------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 100 105
--------------
Total Tunisia 105
(Cost $102) ==============
- -----------------------------------------------------------------------------
UNITED KINGDOM (c)(f) 2.7%
- -----------------------------------------------------------------------------
Equitable
8.000% due 08/29/2049 (d) BP 700 1,152
--------------
Total United Kingdom 1,152
(Cost $1,169) ==============
- -----------------------------------------------------------------------------
UNITED STATES 69.9%
- -----------------------------------------------------------------------------
Asset-Backed Securities 8.1%
AFC Home Equity Loan Trust
5.693% due 12/22/2027 (d) $ 108 106
Banc One Auto Grantor Trust
6.270% due 11/20/2003 30 30
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 37 37
Comed Transitional Funding Trust
5.380% due 03/25/2002 48 48
Conti Mortgage Home Equity Loan Trust
6.010% due 12/25/2013 486 484
Daimler-Benz Vehicle Trust
5.230% due 12/20/2001 170 170
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 62 62
First Security Auto Owner Trust
5.311% due 04/15/2002 764 763
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 39 39
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 120 120
Premier Auto Trust
6.250% due 08/06/2001 182 182
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 110 110
Residential Asset Securities Corp.
5.479% due 12/25/2013 (d) 307 307
Salomon Brothers Mortgage Securities
5.960% due 11/10/2029 200 200
The Money Store Home Equity Trust
6.490% due 10/15/2026 30 30
United Panam Mortgage Loan Asset Backed Certificate
5.830% due 09/25/2029 680 680
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 107 107
--------------
3,475
==============
Corporate Bonds & Notes 16.9%
AES Corp.
10.250% due 07/15/2006 20 20
Associates Corp. of North America
5.596% due 08/27/2001 (d) 400 399
Bancomext Trust Division
8.000% due 08/05/2003 70 68
Beckman Instruments, Inc.
7.100% due 03/04/2003 22 21
Buckeye Technologies, Inc.
8.000% due 10/15/2010 20 18
Building Materials Corp.
7.750% due 07/15/2005 12 11
8.000% due 10/15/2007 12 11
Calpine Corp.
7.875% due 04/01/2008 26 25
1999 Semi-Annual Report See accompanying notes 123
<PAGE>
Schedule of Investments
Global Bond Fund II
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------
Century Communications Corp.
0.000% due 03/15/2003 $ 26 $ 18
CMS Energy
8.125% due 05/15/2002 26 26
CSC Holdings, Inc.
9.875% due 04/01/2023 26 27
CSFP Credit
5.528% due 11/19/2004 (h) 1,750 1,768
DaimlerChrysler NA Holdings
5.748% due 08/23/2002 (d) 420 419
Echostar Communications Corp.
9.250% due 02/01/2006 26 26
Flag Limited
8.250% due 01/30/2008 26 23
Garden State Newspapers
8.750% due 10/01/2009 16 15
General Motors Acceptance Corp.
5.560% due 04/05/2004 (d) 1,040 1,036
Hewlett-Packard Finance
5.625% due 11/20/2000 DM 100 56
Hollinger International Publishing
8.625% due 03/15/2005 $ 20 20
Jones Intercable, Inc.
8.875% due 04/01/2007 26 27
K Mart Corp.
9.350% due 01/02/2020 26 28
Lehman Brothers Holdings, Inc.
6.110% due 07/15/2002 (d) 400 400
McLeodUSA, Inc.
8.125% due 02/15/2009 26 24
Merrill Lynch & Co.
5.393% due 11/01/2001 (d) 510 508
MGM Grand, Inc.
6.950% due 02/01/2005 10 9
Navistar International Corp.
8.000% due 02/01/2008 16 16
Orange PLC
8.000% due 08/01/2008 20 19
Polymer Group, Inc.
9.000% due 07/01/2007 16 15
Rogers Cantel, Inc.
8.300% due 10/01/2007 26 27
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (f) 1,408 1,371
Silgan Holdings, Inc.
9.000% due 06/01/2009 16 15
Sprint Corp.
5.875% due 05/01/2004 50 48
TCI Communications, Inc.
6.185% due 04/01/2002 (d) 300 305
Tennessee Valley Authority
3.375% due 01/15/2007 179 165
Texas Utilities Co.
6.438% due 09/24/2001 200 200
TV Guide, Inc.
8.125% due 03/01/2009 16 15
Unisys Corp.
12.000% due 04/15/2003 26 28
World Color Press, Inc.
8.375% due 11/15/2008 10 10
--------------
7,237
==============
Mortgage-Backed Securities 11.8%
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 239 239
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 286 286
6.500% due 03/25/2029 10 9
Crusade Global Trust
5.844% due 02/15/2030 (d) 1,100 1,100
Federal National Mortgage Assn.
5.500% due 02/25/2005 7 7
7.000% due 02/25/2020 130 130
Government National Mortgage Assn.
6.125% due 11/20/2021-12/20/2026 (d)(e) 1,174 617
6.625% due 07/20/2022-09/20/2026 (d)(e) 1,785 1,301
6.500% due 10/21/2029 100 96
7.000% due 10/21/2029 980 962
7.500% due 10/21/2029 80 80
Structured Asset Mortgage Investments, Inc.
6.584% due 06/25/2029 (d) 229 223
--------------
5,050
==============
U.S. Government Agencies 11.6%
Federal Home Loan Bank
6.000% due 05/12/2000 (d) 1,600 1,579
Federal National Mortgage Assn.
7.250% due 06/20/2002 (i) N$ 340 177
6.500% due 07/10/2002 (i) A$ 200 132
6.500% due 04/29/2009 (i) $ 700 670
Student Loan Marketing Assn.
5.257% due 10/25/2007 (d) 900 897
5.495% due 04/25/2007 (d) 1,561 1,558
--------------
5,013
==============
U.S. Treasury Obligations 21.5%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (i)(j) $ 5,204 5,171
3.625% due 07/15/2002 (i)(j) 2,082 2,069
U.S. Treasury Bonds
12.500% due 08/15/2014 830 1,202
U.S. Treasury Notes
5.500% due 02/29/2000 (b) 100 100
6.000% due 08/15/2004 680 687
--------------
9,229
--------------
Total United States 30,004
(Cost $30,117) ==============
- -----------------------------------------------------------------------------
PURCHASED CALL OPTIONS 1.1%
- -----------------------------------------------------------------------------
Japanese Yen vs. Euro (OTC)
Strike @ 114.000 Exp. 12/22/1999 EC 3,700 67
Republic of Germany (OTC)
4.750% due 07/04/2028
Strike @ 65.000 Exp. 01/18/2000 710 155
United Kingdom Gilt (OTC)
8.000% due 06/10/2003
Strike @ 95.000 Exp. 02/16/2000 BP 1,440 233
--------------
Total Purchased Call Options 455
(Cost $425) ==============
- -----------------------------------------------------------------------------
PURCHASED PUT OPTIONS 1.1%
- -----------------------------------------------------------------------------
Interest Rate Swap (OTC)
Strike @ 6.280% Exp. 04/29/2002 $ 600 69
Japanese Yen vs. Euro (OTC)
Strike @ 125.000 Exp. 10/15/1999 590 0
Japanese Yen vs. U.S. Dollar (OTC)
Strike @ 120.000 Exp. 10/15/1999 1,500 0
U.S. Treasury Bond (OTC)
5.500% due 08/15/2028
Strike @ 105.406 Exp. 10/01/1999 380 60
United Kingdom Gilt (OTC)
6.000% due 12/07/2028
Strike @ 160.000 Exp. 02/10/2000 300 197
United Kingdom Gilt (OTC)
8.000% due 06/07/2021
Strike @ 170.000 Exp. 01/18/2000 340 168
--------------
Total Purchased Put Options 494
(Cost $460) ==============
- -----------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 6.0%
- -----------------------------------------------------------------------------
Certificates of Deposit 1.6%
Commerzbank AG
6.200% due 05/10/2000 (d) 680 675
--------------
Commercial Paper 3.3%
American Express
5.340% due 10/27/1999 500 498
124 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------
General Electric Capital Corp.
5.300% due 10/05/1999 $ 100 $ 100
Procter & Gamble Co.
5.280% due 10/20/1999 800 798
--------------
1,396
==============
Repurchase Agreement 1.1%
State Street Bank
4.800% due 10/01/1999 482 482
(Dated 09/30/1999. Collateralized by Federal
National Mortgage Association
5.650% 04/28/2000 valued at $496,509.
Repurchase proceeds are $482,064.)
--------------
Total Short-Term Instruments 2,553
(Cost $2,558) ==============
Total Investments (a) 143.4% $ 61,541
(Cost $62,041)
Written Options (c) (0.2%) (101)
(Premiums $90)
Other Assets and Liabilities (Net) (43.2%) (18,536)
--------------
Net Assets 100.0% $ 42,904
==============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 421
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (921)
--------------
Unrealized depreciation-net $ (500)
==============
(b) Securities with an aggregate market value of $100
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 1999:
# of Unrealized
Type Contracts Appreciation
- -----------------------------------------------------------------------------
United Kingdom 90 Day LIBOR (09/2000) 2 1
United Kingdom 90 Day LIBOR (12/2000) 2 1
United Kingdom 90 Day LIBOR (03/2001) 2 2
United Kingdom 90 Day LIBOR (06/2001) 2 1
--------------
$ 4
==============
(c) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- -----------------------------------------------------------------------------
Buy A$ 126 10/1999 1
Sell 1,232 10/1999 (11)
Buy BP 205 10/1999 0
Sell 2,052 10/1999 (13)
Sell 205 11/1999 0
Buy C$ 24 10/1999 0
Sell 352 10/1999 (3)
Sell DK 14,360 10/1999 (37)
Buy 3,686 11/1999 3
Sell 9,111 11/1999 (11)
Buy 2,031 01/2000 1
Sell 3,803 01/2000 1
Buy 2,373 02/2000 8
Sell 1,639 02/2000 (4)
Buy EC 1,159 10/1999 18
Sell 1,604 10/1999 (13)
Buy 1,795 11/1999 37
Sell 1,619 11/1999 (35)
Sell 151 01/2000 (5)
Sell 84 02/2000 1
Sell 62 03/2000 (1)
Sell GD 50,518 01/2000 (3)
Sell H$ 15,000 02/2000 (6)
Sell 8,953 09/2000 0
Sell JY 59,128 02/2000 (17)
Buy N$ 474 10/1999 (1)
Sell 2,730 10/1999 15
Sell 3,726 11/1999 23
Sell NK 315 10/1999 0
Sell 227 02/2000 (1)
Buy PZ 1,047 01/2000 (10)
Buy 600 02/2000 (5)
Buy 480 03/2000 1
Sell S$ 1,591 02/2000 (3)
Buy SK 3,500 10/1999 5
Sell 1,152 10/1999 1
--------------
$ (64)
==============
(d) Variable rate security. The rate listed is as of September 30, 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
BP - British Pound
C$ - Canadian Dollar
DK - Danish Krone
EC - European Currency Unit
GD - Greek Drachma
H$ - Hong Kong Dollar
JY - Japanese Yen
N$ - New Zealand Dollar
NK - Norwegian Kron
PZ - Polish Zloty
S$ - Singapore Dollar
SK - Swedish Krona
1999 Semi-Annual Report See accompanying notes 125
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund II
September 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
(g) Premium received on written options:
# of
Type Contracts Premium Value
- --------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 120.000 Exp. 11/20/1999 18 $ 11 $ 2
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 110.000 Exp. 11/20/1999 18 6 6
Put - OTC U.S.Treasury Note
5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 300 1 0
Put - OTC Japanese Yen vs. US Dollar
Strike @ 120.000 Exp. 10/15/1999 600 3 0
Put - OTC Japanese Yen vs. Eurodollar
Strike @ 125.000 Exp. 10/15/1999 590 8 0
Put - OTC Eurodollar vs. Japanese Yen
Strike @ 112.000 Exp. 11/26/1999 450 6 8
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.280% Exp. 04/29/2000 1,000 40 74
Put - LIFFE EURIBOR September Futures
Strike @ 96.000 Exp. 09/18/2000 5,000 5 4
Put - LIFFE BP 90 Day LIBOR 09/2000
Strike @ 93.000 Exp. 09/20/2000 4,000 10 7
--------------------
$ 90 $ 101
====================
(i) Subject to a financing transaction.
(j) Principal amount of the security is adjusted for inflation.
(k) Swap agreements outstanding at September 30, 1999:
Unrealized
Notional Appreciation
Type Amount (Depreciation)
- --------------------------------------------------------------------------------
Receive fixed rate equal to 5.935% and pay floating rate
based on 6 month BP-LIBOR.
Broker: Merrill Lynch
Exp. 11/05/2003 BP 1,700 $ (96)
Receive fixed rate equal to 6.949% and
pay floating rate based on 6 month LIBOR.
Broker: Merrill Lynch
Exp. 08/06/2003 1,400 5
-----------
$ (91)
===========
126 PIMCO Funds See accompanying notes.
<PAGE>
Schedule of Investments
Emerging Markets Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
ARGENTINA (e) 9.9%
- --------------------------------------------------------------------------------
Republic of Argentina
8.750% due 07/10/2002 AP 100 $ 83
11.447% due 04/10/2005 (d) $ 200 176
11.000% due 10/09/2006 300 287
11.375% due 01/30/2017 1,250 1,176
---------
Total Argentina 1,722
(Cost $1,778) =========
- --------------------------------------------------------------------------------
BRAZIL 25.9%
- --------------------------------------------------------------------------------
Government of Brazil
5.875% due 04/15/2006 (d) $ 950 753
5.938% due 04/15/2012 (d) 1,500 917
8.000% due 04/15/2014 (b) 4,476 2,848
---------
Total Brazil 4,518
(Cost $4,486) =========
- --------------------------------------------------------------------------------
BULGARIA 5.2%
- --------------------------------------------------------------------------------
Republic of Bulgaria
6.500% due 07/28/2011 (d) $ 500 354
6.500% due 07/28/2024 (d) 800 550
---------
Total Bulgaria 904
(Cost $896) =========
- --------------------------------------------------------------------------------
COLOMBIA 3.9%
- --------------------------------------------------------------------------------
Republic of Colombia
8.625% due 04/01/2008 $ 850 684
---------
Total Colombia 684
(Cost $697) =========
- --------------------------------------------------------------------------------
JORDAN 0.8%
- --------------------------------------------------------------------------------
Kingdom of Jordan
5.500% due 12/23/2023 (d) $ 250 148
---------
Total Jordan 148
(Cost $150) =========
- --------------------------------------------------------------------------------
KAZAKHSTAN 1.1%
- --------------------------------------------------------------------------------
Republic of Kazakhstan
13.625% due 10/18/2004 $ 200 198
---------
Total Kazakhstan 198
(Cost $198) =========
- --------------------------------------------------------------------------------
MEXICO 18.5%
- --------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 $ 500 454
Petroleos Mexicanos
9.520% due 07/15/2005 (d) 250 238
United Mexican States
10.375% due 02/17/2009 200 203
6.250% due 12/31/2019 450 331
5.874% due 12/31/2019 250 215
5.875% due 12/31/2019 (d) 250 215
6.250% due 12/31/2019 750 558
6.068% due 12/31/2019 (d) 1,000 853
11.500% due 05/15/2026 150 165
---------
Total Mexico 3,232
(Cost $3,221) =========
- --------------------------------------------------------------------------------
PANAMA 2.8%
- --------------------------------------------------------------------------------
Republic of Panama
9.375% due 04/01/2029 $ 525 496
---------
Total Panama 496
(Cost $487) =========
- --------------------------------------------------------------------------------
PERU 2.1%
- --------------------------------------------------------------------------------
Republic of Peru
4.500% due 03/07/2017 (d) $ 600 371
---------
Total Peru 371
(Cost $369) =========
- --------------------------------------------------------------------------------
PHILIPPINES 2.9%
- --------------------------------------------------------------------------------
Republic of Philippines
8.875% due 04/15/2008 $ 100 98
6.000% due 12/01/2009 (d) 210 192
6.500% due 12/01/2017 250 210
---------
Total Philippines 500
(Cost $481) =========
- --------------------------------------------------------------------------------
POLAND 5.3%
- --------------------------------------------------------------------------------
Republic of Poland
5.000% due 10/27/2014 (d) $ 775 528
3.000% due 10/27/2024 (d) 650 396
---------
Total Poland 924
(Cost $948) =========
- --------------------------------------------------------------------------------
RUSSIA 2.3%
- --------------------------------------------------------------------------------
Republic of Russia
6.058% due 12/15/2015 (d) $ 505 54
6.063% due 12/15/2020 (d)(f) 300 27
Russian Federation
8.750% due 07/24/2005 700 294
12.750% due 06/24/2028 50 23
---------
Total Russia 398
(Cost $865) =========
- --------------------------------------------------------------------------------
SOUTH KOREA 6.0%
- --------------------------------------------------------------------------------
Korea Development Bank
8.650% due 01/26/2000 $ 100 100
Korean Export-Import Bank
7.100% due 03/15/2007 175 172
Republic of Korea
8.750% due 04/15/2003 100 103
8.875% due 04/15/2008 650 672
---------
Total South Korea 1,047
(Cost $1,010) =========
- --------------------------------------------------------------------------------
TUNISIA (c)(e) 1.8%
- --------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 300 315
---------
Total Tunisia 315
(Cost $305) =========
- --------------------------------------------------------------------------------
TURKEY 0.6%
- --------------------------------------------------------------------------------
Republic of Turkey
12.375% due 06/15/2009 $ 100 100
---------
Total Turkey 100
(Cost $100) =========
- --------------------------------------------------------------------------------
UNITED STATES 0.6%
- --------------------------------------------------------------------------------
Corporate Bonds & Notes 0.6%
Ford Motor Credit Corp.
5.596% due 08/27/2001 (d) $ 100 100
---------
Total United States 100
(Cost $100) =========
- --------------------------------------------------------------------------------
URUGUAY 1.0%
- --------------------------------------------------------------------------------
Banco Central Del Uruguay
6.625% due 02/19/2006 $ 191 174
---------
Total Uruguay 174
(Cost $190) =========
Annual Report See accompanying notes 127
<PAGE>
Schedule of Investments (Cont.)
Emerging Markets Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
VENEZUELA 5.3%
- --------------------------------------------------------------------------------
Republic of Venezuela
6.313% due 12/18/2007 (d) $ 607 $ 471
9.250% due 09/15/2027 700 461
---------
Total Venezuela 932
(Cost $904) =========
- --------------------------------------------------------------------------------
Short-Term Instruments 6.1%
- --------------------------------------------------------------------------------
Commercial Paper 5.1%
Federal Home Loan Mortgage Corp.
5.220% due 10/15/1999 900 898
---------
Repurchase Agreement 1.0%
State Street Bank
4.800% due 10/01/1999 166 166
(Dated 09/30/1999. Collateralized by
Federal National Mortgage Association
4.820% 12/18/2000 valued at $170,049.
Repurchase proceeds are $166,022.)
---------
Total Short-Term Instruments 1,064
(Cost $1,064) =========
Total Investments (a) 102.1% $ 17,827
(Cost $18,251)
Other Assets and Liabilities (Net) (2.1%) (372)
---------
Net Assets 100.0% $ 17,455
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 281
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (705)
---------
Unrealized depreciation-net $ (424)
=========
(b) Subject to a financing transaction.
(c) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount
Covered by Settlement Unrealized
Type Currency Contract Month Appreciation
- --------------------------------------------------------------------------------
Sell EC 299 10/1999 $ 2
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Principal amount denoted in indicated currency:
AP - Argentine Peso
EC - European Currency Unit
(f) Security is in default.
128 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Strategic Balanced Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 33.0%
- --------------------------------------------------------------------------------
Banking & Finance 20.3%
AT&T Capital Corp.
7.000% due 08/15/2001 $ 300 $ 300
Bank of America Corp.
6.625% due 06/15/2004 1,000 993
Bear Stearns Co., Inc.
6.125% due 02/01/2003 1,100 1,071
Caithness Coso Fund Corp.
6.800% due 12/15/2001 2,000 1,999
Caterpillar Financial Service Corp.
6.875% due 08/01/2004 1,000 1,002
Countrywide Home Loans
6.850% due 06/15/2004 1,000 997
Edison Funding
6.050% due 12/17/1999 1,000 1,000
Finova Capital Corp.
5.426% due 06/18/2003 (d) 2,000 1,974
Ford Motor Credit Corp.
5.790% due 03/21/2001 (d) 500 500
5.570% due 07/16/2002 (d) 300 299
5.460% due 10/15/2002 (d) 1,000 995
5.670% due 12/16/2002 (d) 200 199
5.750% due 02/23/2004 1,000 961
General Motors Acceptance Corp.
5.020% due 10/22/2001 (d) 100 99
5.568% due 08/18/2003 (d) 1,000 992
5.560% due 04/05/2004 (d) 400 399
6.850% due 06/17/2004 1,000 1,001
Hyatt Equities LLC
6.800% due 05/15/2000 2,695 2,697
Lehman Brothers Holdings, Inc.
5.733% due 02/27/2001 (d) 800 801
5.823% due 06/03/2002 (d) 600 595
6.110% due 07/15/2002 (d) 305 305
Merrill Lynch & Co.
5.499% due 10/01/2003 (d) 2,000 1,998
5.920% due 03/17/2004 (d) 100 101
Nacional Financiera
8.693% due 12/01/2000 (d) 500 498
NationsBank Corp.
7.033% due 02/18/2002 (d) 100 96
New England Educational Loan Marketing
5.270% due 06/11/2001 (d) 2,000 1,997
Okobank
6.561% due 09/27/2049 (d) 500 500
Popular, Inc.
6.400% due 08/25/2000 2,000 1,998
Republic New York Corp.
5.279% due 10/28/2002 (d) 100 99
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 1,135 1,105
5.588% due 04/02/2002 (d) 200 200
Wells Fargo Co.
6.625% due 07/15/2004 1,000 994
Westdeutsche Landesbank
6.050% due 01/15/2009 3,000 2,749
---------
31,514
=========
Industrials 8.1%
AMR Corp.
10.000% due 02/01/2001 400 416
9.430% due 05/10/2001 1,000 1,038
Conagra, Inc.
5.711% due 06/12/2000 (d) 2,000 1,997
DaimlerChrysler NA Holdings
6.900% due 09/01/2004 1,000 1,005
DTE Capital Corp.
8.350% due 11/15/2038 (d) 1,000 983
El Paso Energy Corp.
5.960% due 07/15/2001 (d) 200 200
Lockheed Martin Corp.
6.850% due 05/15/2001 2,000 1,998
Norfolk Southern Corp.
6.700% due 05/01/2000 100 100
Occidental Petroleum
5.776% due 04/03/2000 600 600
Reliant Energy, Inc.
6.375% due 11/01/2003 1,000 978
Sequa Corp.
9.625% due 10/15/1999 300 300
Tyco International Group SA
6.203% due 03/05/2001 (d) 300 299
U.S. West Capital Funding
5.960% due 06/15/2000 (d) 1,000 999
Waste Management, Inc.
6.000% due 05/15/2001 1,500 1,443
Williams Co., Inc.
5.950% due 02/15/2000 (d) 200 200
---------
12,556
Utilities 4.6% =========
Arizona Public Service
5.750% due 09/15/2000 2,000 1,988
Cleveland Electric/Toledo Edison
7.190% due 07/01/2000 500 501
Florida Gas Transmission
8.140% due 11/01/1999 1,000 1,002
New Century Energies, Inc.
5.860% due 05/30/2000 1,000 997
System Energy Resources
7.710% due 08/01/2001 650 659
Texas Utilities Co.
6.064% due 06/25/2001 1,000 997
6.410% due 11/21/2001 1,000 995
---------
7,139
---------
Total Corporate Bonds & Notes 51,209
(Cost $51,515) =========
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.9%
- --------------------------------------------------------------------------------
Student Loan Marketing Assn.
5.129% due 06/30/2000 (d) 900 899
5.483% due 01/25/2003 (d) 2,297 2,296
5.225% due 04/25/2004 (d) 220 219
5.395% due 01/25/2007 (d) 591 590
5.495% due 04/25/2007 (d) 468 467
---------
Total U.S. Government Agencies 4,471
(Cost $4,465) =========
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 8.7%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (g)(h) 4,059 4,034
3.625% due 01/15/2008 (g) 206 200
U.S. Treasury Notes
5.500% due 02/29/2000 (b)(d) 215 215
7.000% due 07/15/2006 (d) 6,900 7,247
5.375% due 01/31/2000 (b)(d) 1,820 1,822
---------
Total U.S. Treasury Obligations 13,518
(Cost $13,486) =========
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 34.4%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 14.9%
Countrywide Home Loans
6.050% due 04/25/2029 300 296
Federal Home Loan Mortgage Corp.
5.186% due 05/18/2000 (d) 1,000 999
6.500% due 11/15/2000 52 52
5.500% due 07/15/2005 183 183
10.150% due 04/15/2006 9 9
7.000% due 05/15/2023 1,704 1,607
6.500% due 08/15/2023 187 179
6.500% due 03/15/2024 300 265
Federal National Mortgage Assn.
6.740% due 08/25/2007 145 142
5.700% due 06/25/2017 1,519 1,514
9.500% due 06/25/2018 239 252
6.500% due 06/25/2021 212 204
4.000% due 01/25/2022 126 110
Annual Report See accompanying notes 129
<PAGE>
Schedule of Investments (Cont.)
Strategic Balanced Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
5.000% due 04/25/2022 $ 48 $ 43
7.000% due 06/25/2023 261 245
6.500% due 12/25/2023 145 129
First Plus Home Loan Trust
6.060% due 09/10/2011 1,000 999
GE Capital Mortgage Services, Inc.
6.250% due 12/25/2028 1,489 1,347
GMAC Commercial Mortgage Securities, Inc.
6.150% due 11/15/2007 282 274
Greenwich
6.685% due 04/25/2022 (d) 426 431
Housing Securities, Inc.
5.864% due 07/25/2032 (d) 834 834
Independent National Mortgage Corp.
7.237% due 11/25/2024 (d) 165 169
7.729% due 11/25/2024 (d) 87 89
8.350% due 06/25/2025 413 415
Morgan Stanley Capital
6.590% due 10/03/2030 944 934
Norwest Asset Securities Corp.
7.000% due 01/25/2028 2,421 2,399
6.500% due 02/25/2029 2,000 1,842
6.750% due 08/25/2029 469 462
PNC Mortgage Securities Corp.
6.625% due 03/25/2028 362 356
6.500% due 11/25/2029 1,000 921
Prudential Securities Secured Financing Corp.
6.955% due 06/15/2008 993 995
Resecuritization Mortgage Trust
5.630% due 04/26/2021 (d) 584 568
Residential Asset Securitization Trust
6.500% due 03/25/2029 240 232
Residential Funding Mortgage Securities, Inc.
6.500% due 11/25/2023 3,000 2,760
Resolution Trust Corp.
8.000% due 06/25/2026 839 847
Structured Asset Securities Corp.
5.553% due 12/25/2000 (d) 108 108
---------
23,211
=========
Federal Home Loan Mortgage Corporation 2.1%
6.500% due 10/14/2028 2,100 2,015
7.500% due 10/14/2029 1,000 1,005
8.500% due 03/01/2023 282 294
---------
3,314
=========
Federal Housing Administration 2.6%
6.000% due 03/20/2028 1,895 1,755
6.930% due 07/01/2014 (d) 544 503
7.430% due 01/25/2023 1,744 1,769
---------
4,027
=========
Federal National Mortgage Association 2.3%
5.500% due 10/14/2028 1,000 899
6.130% due 03/01/2029 (d) 382 374
6.500% due 09/01/2005 272 271
6.841% due 12/01/2023 (d) 169 174
8.500% due 07/01/2002-07/01/2025 (j) 1,776 1,838
---------
3,556
=========
Government National Mortgage Association 12.0%
6.000% due 10/21/2029 3,000 2,785
6.375% due 04/20/2023-06/20/2027 (d)(j) 1,527 1,549
6.500% due 01/15/2024-10/21/2029 (j) 5,199 4,946
6.625% due 07/20/2023-08/20/2026 (d)(j) 694 705
6.875% due 01/15/2001-02/01/2040 (j) 1,000 1,016
7.000% due 01/20/2027-11/22/2029 (d)(j) 6,736 6,601
7.250% due 08/24/2024 (d) 400 404
7.500% due 05/15/2017 6 6
8.000% due 09/15/2006-11/15/2026 (j) 263 270
9.500% due 09/15/2009-10/15/2009 (j) 97 104
10.750% due 09/15/2000-10/15/2000 (j) 27 28
16.000% due 10/15/2011-04/15/2012 (j) 151 180
---------
18,594
=========
Other Mortgage-Backed Securities 0.4%
Home Savings of America
5.464% due 05/25/2027 (d) 607 591
---------
Stripped Mortgage-Backed Securities 0.1%
Collateralized Mortgage Obligation Trust (PO)
0.000% due 04/23/2017 15 14
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2016 438 14
7.000% due 02/15/2017 293 5
Federal National Mortgage Assn. (IO)
6.500% due 05/25/2005 877 108
6.500% due 09/25/2008 424 38
---------
179
---------
Total Mortgage-Backed Securities 53,472
(Cost $54,171) =========
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 4.6%
- --------------------------------------------------------------------------------
Arcadia Automobile Receivables Trust
6.500% due 06/17/2002 500 502
Contimortgage Home Equity Loan Trust
6.370% due 10/15/2012 (d) 488 487
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 424 425
Green Tree Financial Corp.
7.860% due 04/01/2031 400 402
Money Store Home Equity Trust
6.550% due 09/15/2021 1,626 1,627
Saxon Asset Securities Trust
5.613% due 05/25/2029 (d) 2,665 2,667
WMC Mortgage Loan
5.591% due 03/20/2028 (d) 1,092 1,095
---------
Total Asset-Backed Securities 7,205
(Cost $7,201) =========
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 0.8%
- --------------------------------------------------------------------------------
Hydro Quebec
5.188% due 09/29/2049 (d) 200 166
Republic of Korea
8.281% due 04/08/2000 (d) 1,000 1,004
---------
Total Sovereign Issues 1,170
(Cost $1,165) =========
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(h) 6.3%
- --------------------------------------------------------------------------------
Commonwealth of New Zealand
10.000% due 03/15/2002 N$ 300 169
5.500% due 04/15/2003 600 301
Tecnost International NV
4.487% due 06/23/2004 (d) EC 8,600 9,399
---------
Total Foreign Currency-Denominated Issues 9,869
(Cost $9,579) =========
- --------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
- --------------------------------------------------------------------------------
Eurodollar December Futures (CME)
Strike @ 92.250 Exp. 12/13/1999 $ 88 0
---------
Total Purchased Put Options 0
(Cost $1) =========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 29.7%
- --------------------------------------------------------------------------------
Certificates of Deposit 1.3%
Sumitomo Bank
5.970% due 01/26/2000 2,000 2,000
---------
Commercial Paper 23.1%
Alcoa
5.720% due 03/14/2000 3,500 3,408
American Express
5.730% due 02/09/2000 4,500 4,406
Bank One Corp.
5.750% due 02/09/2000 5,000 4,895
Coca Cola Co.
5.280% due 10/29/1999 300 299
Crown Cork & Seal Co.
6.150% due 02/09/2000 5,000 4,888
130 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Finova Capital Corp.
5.850% due 01/26/2000 $ 5,000 $ 4,905
Goldman Sachs Group
5.720% due 02/09/2000 2,000 1,958
Heller Financial, Inc.
5.790% due 01/26/2000 1,000 981
5.790% due 02/09/2000 1,200 1,175
Monsanto Co.
5.750% due 01/26/2000 5,000 4,907
Procter & Gamble Co.
5.290% due 10/14/1999 400 399
TRW, Inc.
6.220% due 02/09/2000 900 880
US West Capital Funding
5.960% due 03/24/2000 1,000 971
Wisconsin Electric
5.280% due 10/26/1999 1,800 1,793
---------
35,865
---------
Repurchase Agreement 2.1%
State Street Bank
4.800% due 10/01/1999 3,319 3,319
(Dated 09/30/1999. Collateralized by Federal ---------
National Mortgage Association
5.310% 05/18/2001 valued at $3,385,546.
Repurchase proceeds are $3,319,443.)
U.S. Treasury Bills (b)(j) 3.2%
4.634% due 10/14/1999-02/17/2000 5,050 5,009
---------
Total Short-Term Instruments 46,193
(Cost $46,192) =========
Total Investments (a) 120.4% $ 187,107
(Cost $187,775)
Written Options (c) (0.0%) (132)
(Premiums $138)
Other Assets and Liabilities (Net) (20.4%) (31,628)
---------
Net Assets 100.0% $ 155,347
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 698
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (1,366)
---------
Unrealized depreciation-net $ (668)
=========
(b) Securities with an aggregate market value of $7,046
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- -------------------------------------------------------------------------------
Eurodollar March Futures (03/2000) 1 $ (2)
Eurodollar June Futures (06/2000) 3 (7)
Eurodollar September Futures (09/2000) 19 (6)
Eurodollar December Futures (12/1999) 4 (8)
Eurodollar December Futures (12/2000) 12 2
S&P 500 Index (12/1999) 298 (4,254)
U.S. Treasury 10 Year Note (12/1999) 8 4
---------
$ (4,271)
=========
(c) Premiums received on written options:
# of
Type Contracts Premium Value
- --------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 118.00 Exp. 11/20/1999 16 $ 3 $ 5
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 120.00 Exp. 11/20/1999 73 16 7
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 110.00 Exp. 11/20/1999 79 34 25
Put - OTC U.S.Treasury Note
5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 600 2 0
Call - OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 100.469 Exp. 11/08/1999 10 6 0
Put- OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 99.594 Exp. 11/20/1999 10 6 0
Put - CME Eurodollar December Futures
Strike @ 94.000 Exp. 12/13/1999 133 17 15
Put - CME Eurodollar December Futures
Strike @ 94.250 Exp. 12/13/1999 130 25 34
Put - CME Eurodollar December Futures
Strike @ 94.500 Exp. 12/13/1999 63 11 30
Put - CME Eurodollar December Futures
Strike @ 93.500 Exp. 12/18/2000 43 18 16
------------------
$ 138 $ 132
==================
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount
Covered by Settlement Unrealized
Type Currency Contract Month (Depreciation)
- -------------------------------------------------------------------------------
Sell EC 3,682 10/1999 $ (41)
Sell 5,149 11/1999 (95)
---------
$ (136)
=========
(f) Principal amount denoted in indicated currency:
EC - European Currency Unit
N$ - New Zealand Dollar
(g) Principal amount of the security is adjusted for inflation.
(h) Subject to a financing transaction.
(i) Swap agreements outstanding at September 30, 1999:
Notional Unrealized
Type Amount Appreciation
- --------------------------------------------------------------------------------
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR plus 0.12%.
Broker: Lehman Brothers
Exp. 07/31/2000 $ 7,615 $ 0
(j) Securities are grouped by coupon or range of coupons and represent
a range of maturities.
Annual Report See accompanying notes 131
<PAGE>
Schedule of Investments
Convertible Bond Funds
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES (b)(c) 67.7%
- --------------------------------------------------------------------------------
Banking & Finance 15.5%
ACOM Co. Limited
0.000% due 03/31/2002 $ 50,000 $ 639
American Express
1.125% due 02/19/2003 800 972
Bell Atlantic Financial Services
5.750% due 04/01/2003 740 748
Deutsche Bank Financial
0.000% due 02/12/2017 1,300 612
Exchangeable Certs Corp.
0.250% due 07/17/2006 1,000 1,000
Fuji International Finance Trust
0.250% due 02/01/2002 24,000 232
Hellenic Finance
2.000% due 07/15/2003 EC 500 548
Morgan Stanley Dean Witter
0.000% due 03/02/2006 $ 740 688
Swiss Life Finance Limited
2.000% due 05/20/2005 600 575
---------
6,014
=========
Consumer Discretionary 5.6%
Amazon.Com, Inc.
4.750% due 02/01/2009 400 468
Costco Wholesale Corp.
0.000% due 08/19/2017 700 605
Home Depot, Inc.
3.250% due 10/01/2001 100 297
Interpublic Group Co., Inc.
1.870% due 06/01/2006 850 782
---------
2,152
=========
Energy 4.9%
Devon Energy Corp.
4.900% due 08/15/2008 900 887
Diamond Offshore Drill
3.750% due 02/15/2007 960 1,010
---------
1,897
=========
Health Care 5.7%
Alpharma, Inc.
5.750% due 04/01/2005 380 503
Athena Neurosciences, Inc.
4.750% due 11/15/2004 750 843
Wellpoint Health Network
0.000% due 07/02/2019 1,500 872
---------
2,218
=========
Industrial 4.8%
Sanmina Corp.
4.250% due 05/01/2004 700 782
Solectron Corp.
0.000% due 01/27/2019 1,450 892
Tyco International Limited
0.000% due 07/06/2010 65 181
---------
1,855
=========
Technology 26.3%
Affiliated Computer Services
4.000% due 03/15/2005 300 343
ASM Lithography Holding
2.500% due 04/09/2005 1,500 843
Comverse Technology, Inc.
4.500% due 07/01/2005 100 226
Conexant Systems, Inc.
4.250% due 05/01/2006 350 605
Exodus Communications, Inc.
5.000% due 03/15/2006 75 241
Hewlett-Packard Co.
0.000% due 10/14/2017 1,900 1,150
Intel Corp.
4.000% due 09/01/2004 300 747
LSI Logic Corp.
4.250% due 03/15/2004 200 367
Mindspring Enterprises
5.000% due 04/15/2006 650 604
NTL, Inc.
7.000% due 12/15/2008 300 510
Stmicroelectron
0.000% due 09/22/2009 2,000 1,630
U.S. Cellular Corp.
0.000% due 06/15/2015 1,600 1,026
Veritas Software Corp.
1.856% due 08/13/2006 1,000 1,058
Xerox Corp.
0.570% due 04/21/2018 1,550 862
---------
10,212
=========
Utilities 4.9%
AES Corp.
4.500% due 08/15/2005 750 960
Clear Channel Communications
2.625% due 04/01/2003 500 702
Telefonos De Mexico S.A.
4.250% due 06/15/2004 230 219
---------
1,881
---------
Total Convertible Bonds & Notes 26,229
(Cost $24,818) =========
- --------------------------------------------------------------------------------
PREFERRED STOCK 0.9%
- --------------------------------------------------------------------------------
Shares
Times Mirror Co. Pfd.
4.250% due 03/15/2001 4,000 348
---------
Total Preferred Stock 348
(Cost $423) =========
- --------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK (b)(c) 26.7%
- --------------------------------------------------------------------------------
Principal
Amount
(000s)
Banking & Finance 5.4%
Lincoln National Corp. Cvt. Pfd.
7.750% due 08/16/2001 $ 18,000 377
National Australia Bank Cvt. Pfd.
7.875% due 12/31/2049 14,500 397
Newell Financial Trust Cvt. Pfd.
5.250% due 12/01/2027 9,200 373
Protective Life Corp. Capital Trust II Cvt. Pfd.
6.500% due 02/16/2001 6,000 293
Tokai Bank Cvt. Pfd.
2.750% due 10/01/2004 JY 16,000 127
Union Pacific Capital Trust Cvt. Pfd.
6.250% due 04/01/2028 $ 12,000 548
---------
2,115
=========
Energy 6.1%
Apache Corp. Cvt. Pfd.
6.500% due 05/15/2002 17,000 680
Coastal Corp. Cvt. Pfd.
6.625% due 08/16/2002 30,000 782
Kerr-McGee Corp. Cvt. Pfd.
5.500% due 08/01/2004 23,000 903
---------
2,365
=========
Industrial 2.5%
Ingersoll-Rand Co. Cvt. Pfd.
6.750% due 12/31/2049 17,900 470
Sealed Air Corp. Cvt. Pfd.
4.000% due 04/01/2018 9,500 482
---------
952
=========
Technology 2.2%
Verio , Inc. Cvt. Pfd.
6.750% due 08/01/2007 20,000 863
---------
Utilities 10.5%
Adelphia Communications Cvt. Pfd.
5.500% due 12/31/2049 3,700 651
Cox Communications, Inc. Cvt. Pfd.
7.000% due 08/16/2002 20,000 1,154
MediaOne Group, Inc. Cvt. Pfd.
6.250% due 08/15/2001 4,500 472
Reliant Energy, Inc. Cvt. Pfd.
7.000% due 07/01/2000 5,000 510
132 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Utilicorp United Cvt. Pfd.
9.750% due 11/16/2002 $ 30,000 $ 758
Winstar Communications Cvt. Pfd.
7.250% due 12/31/2049 600 528
---------
4,073
---------
Total Convertible Preferred Stock 10,368
(Cost $10,919) =========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 4.1%
- --------------------------------------------------------------------------------
Commercial Paper 3.6%
Bellsouth Telecom
5.370% due 10/13/1999 100 100
Coca Cola Co.
5.270% due 10/22/1999 1,100 1,097
Procter & Gamble Co.
5.290% due 11/01/1999 200 199
---------
1,396
=========
Repurchase Agreement 0.5%
State Street Bank
4.800% due 10/01/1999 186 186
(Dated 09/30/1999. Collateralized by Federal
National Mortgage Association
5.300% 01/12/2001 valued at $190,542.
Repurchase proceeds are $186,025.)
---------
Total Short-Term Instruments 1,582
(Cost $1,582) =========
Total Investments (a) 99.4% $ 38,527
(Cost $37,742)
Other Assets and Liabilities (Net) 0.6% 235
---------
Net Assets 100.0% $ 38,762
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 2,573
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (1,788)
---------
Unrealized appreciation-net $ 785
=========
(b) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount
Covered by Settlement Unrealized
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell EC 763 10/1999 $ (10)
Sell 529 11/1999 (19)
Sell JY 79,475 02/2000 (16)
---------
$ (45)
=========
(c) Principal amount denoted in indicated currency:
EC - European Currency Unit
JY - Japanese Yen
Annual Report See accompanying notes 133
<PAGE>
Schedule of Investments
StocksPLUS Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 39.1%
- --------------------------------------------------------------------------------
Banking & Finance 26.5%
AT&T Capital Corp.
7.110% due 09/13/2001 (d) $ 2,100 $ 2,102
5.561% due 04/23/2002 (d) 5,725 5,614
Bankers Trust Corp.
5.525% due 05/11/2003 (d) 20,000 19,981
CIT Group, Inc.
6.200% due 10/20/2000 10,000 9,985
Finova Capital Corp.
5.426% due 06/18/2003 (d) 25,000 24,680
Ford Motor Credit Corp.
7.020% due 10/10/2000 11,000 11,105
5.663% due 03/19/2002 590 591
5.570% due 07/16/2002 (d) 6,500 6,488
5.670% due 12/16/2002 (d) 3,600 3,578
5.565% due 02/13/2003 (d) 15,000 14,907
General Motors Acceptance Corp.
5.020% due 10/22/2001 (d) 1,600 1,591
5.895% due 12/17/2001 (d) 2,000 2,012
5.566% due 02/25/2002 (d) 1,000 994
5.568% due 08/18/2003 (d) 35,300 35,015
5.560% due 04/05/2004 (d) 5,900 5,879
Goldman Sachs Group
5.740% due 01/16/2001 (d) 5,000 5,005
5.468% due 01/25/2001 (d) 10,000 9,983
5.558% due 02/19/2004 (d) 10,000 10,117
Heller Financial, Inc.
5.846% due 09/25/2000 (d) 15,500 15,480
Household Finance Corp.
5.631% due 06/22/2001 (d) 5,000 4,999
HRPT Properties Trust
6.560% due 07/09/2007 5,000 4,993
Lehman Brothers Holdings, Inc.
5.390% due 08/11/2000 (d) 9,400 9,443
6.110% due 07/15/2002 (d) 2,700 2,700
5.824% due 11/30/2006 (d) 1,910 1,671
MBNA America Bank NA
5.396% due 06/10/2004 (d) 10,000 9,830
MFN Financial Corp.
5.445% due 09/13/2001 (d) 4,000 3,974
Mercury Finance Co.
10.009% due 03/23/2001 16,000 15,030
Merrill Lynch & Co.
5.190% due 10/10/2000 (d) 3,000 3,014
5.980% due 11/20/2000 10,000 10,021
5.246% due 06/18/2001 (d) 10,000 10,007
5.760% due 01/11/2002 (d) 8,550 8,567
5.688% due 02/01/2002 (d) 24,500 24,506
5.564% due 02/04/2003 (d) 6,000 6,024
Nacional Financiera
8.693% due 12/01/2000 (d) 10,000 9,950
Residential Reinsurance
9.163% due 06/01/2000 (d) 5,000 4,984
Salomon, Smith Barney Holdings
5.875% due 02/01/2001 5,000 4,978
3.650% due 02/14/2002 (f) 2,102 2,046
5.588% due 04/02/2002 (d) 3,600 3,604
5.250% due 03/26/2003 5,000 4,973
Tecnost International NV
4.487% due 06/23/2004 (d) 34,100 37,267
----------
367,688
==========
Industrials 9.2%
Amerco, Inc.
6.890% due 10/15/2000 16,800 16,196
Black & Decker
6.060% due 12/20/2001 (d) 7,250 7,273
COFIRI International, Inc
5.295% due 10/27/2000 (d) 2,000 1,993
CSX Corp.
5.790% due 06/15/2000 (d) 10,000 9,981
El Paso Energy Corp.
5.960% due 07/15/2001 (d) 4,600 4,594
Limited, Inc.
6.281% due 11/22/2000 (d) 26,500 26,500
Marlin Water Trust
7.090% due 12/15/2001 4,049 4,049
Merita
5.378% due 12/01/2005 (d) 1,000 1,001
Norfolk Southern Corp.
6.700% due 05/01/2000 2,600 2,611
Petroleos Mexicanos
7.600% due 06/15/2000 2,050 2,063
9.520% due 07/15/2005 (d) 15,000 14,288
Stone Container Corp.
10.750% due 10/01/2002 3,435 3,547
TCI Communications, Inc.
6.150% due 04/03/2002 (d) 11,600 11,785
6.210% due 03/11/2003 (d) 4,000 4,086
Tenneco, Inc.
10.075% due 02/01/2001 1,400 1,452
TRW, Inc.
5.930% due 06/28/2000 (d) 8,900 8,885
Tyco International Group SA
6.203% due 03/05/2001 (d) 3,700 3,693
Williams Co., Inc.
5.950% due 02/15/2000 (d) 4,200 4,198
----------
128,195
==========
Utilities 3.4%
Beaver Valley Funding Corp.
8.250% due 06/01/2003 1,804 1,824
Niagara Mohawk Power
7.125% due 07/01/2001 6,805 6,833
North Atlantic Energy
9.050% due 06/01/2002 910 924
Public Service Enterprise Group, Inc.
5.761% due 11/22/2000 (d) 15,000 15,034
Telecom Argentina
9.375% due 06/12/2000 18,100 18,213
Western Massachusetts Electric
7.750% due 12/01/2002 4,000 4,082
----------
46,910
----------
Total Corporate Bonds & Notes 542,793
(Cost $541,482) ==========
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.7%
- --------------------------------------------------------------------------------
Student Loan Marketing Assn.
5.483% due 01/25/2003 (d) 3,410 3,409
5.165% due 07/25/2004 (d) 383 380
5.225% due 10/25/2005 (d) 10,429 10,393
5.333% due 04/25/2006 (d) 3,814 3,798
5.395% due 01/25/2007 (d) 10,572 10,551
5.495% due 04/25/2007 (d) 9,052 9,038
----------
Total U.S. Government Agencies 37,569
(Cost $37,503) ==========
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 12.1%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities (h)
3.625% due 07/15/2002 99,601 98,979
3.625% due 01/15/2008 10,317 9,989
U.S. Treasury Notes
5.375% due 01/31/2000 (b) 59,385 59,459
----------
Total U.S. Treasury Obligations 168,427
(Cost $168,317) ==========
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 17.5%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 9.3%
Bank Mart
6.883% due 03/01/2019 (d)(g) 6,149 6,261
Countrywide Home Loans
6.050% due 04/25/2029 6,600 6,520
Donaldson, Lufkin & Jenrette
7.040% due 10/17/2020 (d) 184 190
Federal Home Loan Mortgage Corp.
5.186% due 05/18/2000 (d) 20,000 19,984
7.000% due 06/15/2023 2,216 2,222
6.500% due 08/15/2023 9,709 9,612
134 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount
(000s) (000s)
- --------------------------------------------------------------------------------
Federal National Mortgage Assn.
7.417% due 04/25/2020 (d) $ 24 $ 23
6.500% due 05/18/2024 4,329 4,297
GE Capital Mortgage Services, Inc.
6.300% due 09/25/2023 2,000 1,985
6.250% due 10/25/2028 1,062 1,056
Greenwich
6.657% due 10/25/2022 (d) 15 16
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2027 10,456 10,348
ICI Funding Corp. Secured Assets Corp.
7.650% due 07/25/2028 11,146 11,214
Norwest Asset Securities Corp.
6.750% due 08/25/2029 9,651 9,515
PaineWebber Mortgage
6.506% due 02/25/2001 (d) 589 587
PNC Mortgage Securities Corp.
6.625% due 03/25/2028 8,922 8,789
Residential Asset Securitization Trust
6.500% due 03/25/2029 4,792 4,647
Residential Funding Mortgage Securities, Inc.
6.140% due 03/25/2018 (d) 1,947 1,930
Resolution Trust Corp.
5.838% due 05/25/2029 (d) 174 174
Structured Asset Mortgage Investments, Inc.
9.054% due 06/25/2029 21,189 22,257
Structured Asset Securities Corp.
5.553% due 12/25/2000 (d) 1,131 1,130
TMA Mortgage Funding Trust
5.719% due 01/25/2029 6,325 6,325
----------
129,082
==========
Federal Home Loan Mortgage Corporation 0.8%
6.371% due 07/01/2019 (d) 2,979 2,939
6.756% due 06/01/2022 (d) 490 505
7.030% due 12/01/2022 (d) 624 640
7.500% due 10/14/2029 7,250 7,283
8.500% due 04/01/2025-06/01/2025 (j) 197 204
----------
11,571
==========
Federal National Mortgage Association 1.4%
5.730% due 05/01/2017-11/01/2028 (d)(j) 5,716 5,598
5.737% due 08/01/2029 (d) 333 325
5.740% due 07/01/2018 (d) 573 564
5.746% due 05/01/2036 (d) 271 264
5.753% due 11/01/2035 (d) 498 487
5.754% due 04/01/2018 (d) 118 116
5.758% due 05/01/2036 (d) 5,644 5,504
5.900% due 02/01/2031 (d) 99 97
6.500% due 09/01/2005 5,989 5,953
6.719% due 05/01/2022 (d) 369 380
----------
19,288
==========
Government National Mortgage Association 5.4%
6.000% due 11/23/2029 (d) 20,000 19,956
6.125% due 12/20/2022-12/20/2027 (d)(j) 10,664 10,764
6.375% due 02/20/2026-02/20/2028 (d)(j) 23,525 23,773
6.625% due 07/20/2018-07/20/2023 (d)(j) 19,482 19,816
----------
74,309
==========
Other Mortgage-Backed Securities 0.5%
Allied Waste North America, Inc.
8.188% due 07/30/2006 (d) 2,273 2,261
8.250% due 07/30/2007 (d) 636 636
8.438% due 07/30/2007 (d) 1,728 1,720
California Federal Savings & Loan
6.609% due 01/01/2019 (d) 27 27
Fund America
6.719% due 06/25/2023 (d) 137 141
J.P. Morgan & Co.
6.813% due 01/25/2018 (d) 614 602
Resolution Trust Corp.
6.642% due 12/25/2023 (d) 20 21
Structured Asset Securities Corp.
6.513% due 09/25/2036 (d) 990 1,010
----------
6,418
==========
Stripped Mortgage-Backed Securities 0.1%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 2,897 164
7.500% due 08/15/2019 1,030 50
Federal National Mortgage Assn. (IO)
6.000% due 11/25/2000 301 9
7.000% due 07/25/2006 366 29
6.500% due 02/25/2021 (d) 3,468 267
7.000% due 07/25/2021 833 122
6.500% due 03/25/2023 4,903 574
----------
1,215
----------
Total Mortgage-Backed Securities 241,883
(Cost $242,990) ==========
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 2.8%
- --------------------------------------------------------------------------------
AFC Home Equity Loan Trust
5.489% due 06/25/2028 (d) 13,908 13,867
Allied Waste North America, Inc.
8.438% due 07/30/2007 (d) 364 364
Argentina Funding Corp.
5.553% due 05/20/2003 (d) 16,000 16,000
Bayview Financial Acquisition
5.889% due 02/25/2029 (d) 6,634 6,638
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 1,521 1,515
----------
Total Asset-Backed Securities 38,384
(Cost $38,404) ==========
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 3.0%
- --------------------------------------------------------------------------------
Air Canada
6.238% due 07/31/2005(d) 12,000 10,560
Cemex SA
10.750% due 07/15/2000 3,650 3,741
Hydro Quebec
5.188% due 09/29/2049(d) 1,000 831
Nacional Financiera
6.875% due 05/08/2003(d) 1,000 955
Republic of Argentina
5.938% due 03/31/2005(d) 186 163
11.447% due 04/10/2005(d) 7,000 6,169
United Mexican States
6.768% due 06/27/2002(d) 10,000 9,710
9.060% due 04/07/2004(d) 9,000 9,050
----------
Total Sovereign Issues 41,179
(Cost $42,911) ==========
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 2.1%
- --------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 9,750 5,038
Export-Import Bank Korea
3.162% due 10/06/2000 (d) DM 11,370 6,037
Kingdom of Sweden
10.250% due 05/05/2000 SK 1,000 127
Korea Development Bank
2.560% due 06/26/2001 JY 1,000,000 9,548
United Mexican States
8.750% due 05/30/2002 BP 3,000 4,895
7.000% due 06/02/2003 C$ 6,000 3,850
----------
Total Foreign Currency-Denominated Issues 29,495
(Cost $29,438) ==========
- --------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.0%
- --------------------------------------------------------------------------------
U.S. Treasury Bond December Futures (CBOT)
Strike @ 130.00 Exp. 11/20/1999 $ 826 13
----------
Total Purchased Call Options 13
(Cost $30) ==========
- --------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
- --------------------------------------------------------------------------------
Eurodollar December Futures (CME)
Strike @ 93.000 Exp. 12/13/1999 500 3
Strike @ 92.250 Exp. 12/13/1999 1,270 6
Strike @ 92.000 Exp. 12/13/1999 2,000 10
Strike @ 92.000 Exp. 12/13/1999 2,575 13
----------
Total Purchased Put Options 32
(Cost $104) ==========
1999 Semi-Annual Report See accompanying notes 135
<PAGE>
Schedule of Investments (Cont.)
StocksPlus Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 21.3%
- --------------------------------------------------------------------------------
Certificates of Deposit 3.0%
Sumitomo Bank
5.970% due 01/26/2000 $ 42,000 $ 42,003
----------
Commercial Paper 15.3%
American Express Co.
5.650% due 02/09/2000 20,000 19,589
Associates First Capital Corp.
5.690% due 01/27/2000 17,600 17,272
5.750% due 01/27/2000 20,000 19,641
Bellsouth Telecom
5.620% due 02/09/2000 13,100 12,832
Coca Cola Co.
5.280% due 10/29/1999 3,300 3,286
Crown Cork & Seal Co.
6.150% due 02/09/2000 17,500 17,108
Eastman Kodak Co.
5.720% due 01/26/2000 10,000 9,822
Finova Capital Corp.
5.870% due 01/26/2000 7,000 6,875
Ford Motor Credit Corp.
5.690% due 01/26/2000 14,000 13,741
General Electric Capital Corp.
5.670% due 02/09/2000 10,000 9,794
General Motors Acceptance Corp.
5.720% due 02/04/2000 15,000 14,700
Heller Financial, Inc.
5.790% due 01/26/2000 13,900 13,653
5.790% due 02/09/2000 13,800 13,522
KFW International Finance, Inc.
5.280% due 10/13/1999 7,400 7,387
TRW, Inc.
6.220% due 02/09/2000 10,000 9,799
Williams Holdings
5.360% due 01/25/2000 20,000 19,647
Wisconsin Electric
5.280% due 10/20/1999 3,300 3,291
----------
211,959
==========
Repurchase Agreements 1.3%
State Street Bank
4.800% due 10/01/1999 8,270 8,270
(Dated 09/30/1999. Collateralized by Federal Home
Loan Bank 6.315% 08/24/2001 valued at $8,436,887.
Repurchase proceeds are $8,271,103.
Daiwa Securities
5.000% due 10/01/1999 10,000 10,000
(Dated 09/30/1999. Collateralized by U.S. Treasury
Note 5.625% 12/31/1999 valued at $10,217,647.
Repurchase proceeds are $10,001,389.) ----------
18,270
==========
U.S. Treasury Bills (b) 1.7%
4.606% due 10/14/1999-01/13/2000 23,590 23,517
----------
Total Short-Term Instruments 295,749
(Cost $295,669) ==========
Total Investments (a) 100.6% $1,395,524
(Cost $1,396,848)
Written Options (c) (0.1%) (1,576)
(Premiums $1,373)
Other Assets and Liabilities (Net) (0.5%) (7,529)
----------
Net Assets 100.0% $1,386,419
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 5,641
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (6,965)
----------
Unrealized depreciation-net $ (1,324)
==========
(b) Securities with an aggregate market value of $82,976
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 1999:
# of Unrealized
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar June Futures (06/2000) 216 $ (612)
Eurodollar September Futures (09/2000) 192 (586)
Eurodollar December Futures (12/2000) 61 (184)
S&P 500 Index (12/1999) 3,472 (53,745)
----------
$ (55,127)
==========
(c) Premiums received on written options:
# of
Type Contracts Premium Value
- --------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 120.00 Exp. 11/20/1999 652 $ 104 $ 71
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 118.00 Exp. 11/20/1999 215 43 64
Put - CBOT U.S. Treasury December Bond Futures
Strike @ 110.00 Exp. 11/20/1999 761 333 250
Put - OTC U.S.Treasury Note
5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 7,500 31 0
Put - CME Eurodollar December Futures
Strike @ 94.250 Exp. 12/13/1999 2,065 418 537
Put - CME Eurodollar December Futures
Strike @ 94.500 Exp. 12/13/1999 800 137 380
Put - CME Eurodollar December Futures
Strike @ 94.000 Exp. 12/13/1999 2,328 286 256
Put - LIFFE BP 90 Day LIBOR 09/2000
Strike @ 93.000 Exp. 9/20/2000 10,000 21 18
---------------------
$ 1,373 $ 1,576
=====================
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- ------------------------------------------------------------------------
Sell BP 3,022 10/1999 $ (10)
Sell C$ 5,773 10/1999 (46)
Sell EC 40,679 10/1999 (453)
Sell 12,843 01/2000 (246)
Sell 3,340 02/2000 25
Sell JY 1,017,009 02/2000 (202)
Sell N$ 8,553 10/1999 72
Sell 1,251 11/1999 11
Buy PZ 102,100 01/2000 (1,155)
Buy 25,000 02/2000 (341)
-------------
$ (2,345)
=============
136 PIMCO Funds See accompanying notes
<PAGE>
- --------------------------------------------------------------------------------
(f) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
EC - European Currency Unit
JY - Japanese Yen
N$ - New Zealand Dollar
PZ - Polish Zloty
SK - Swedish Krona
(g) Restricted security.
(h) Principal amount of the security is adjusted for inflation.
(i) Swap agreements outstanding at September 30, 1999:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
- --------------------------------------------------------------------------------
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR plus 0.130%.
Broker: Morgan Stanley & Co.
Exp. 09/29/2000 $ 68,991 $ 0
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR plus 0.140%.
Broker: J.P. Morgan Securities, Inc.
Exp. 04/28/2000 21,000 0
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR plus 0.120%.
Broker: Lehman Brothers, Inc.
Exp. 06/30/2000 61,378 0
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR plus 0.120%.
Broker: J.P. Morgan Securities, Inc.
Exp. 03/17/2000 99,460 0
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 5.950%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/17/2001 2,400 (25)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 6.150%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 1,100 (14)
----------
$ (39)
==========
(j) Securities grouped by coupon or range of coupons and represent
a range of maturities.
1999 Semi-Annual Report See accompanying notes 137
<PAGE>
Schedule of Investments
Municipal Bond Fund
September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 100.3%
- -----------------------------------------------------------------------------------
<S> <C> <C>
Arizona 4.4%
Pima County, Arizona Industrial Development Authority
Multi-Family Revenue Bonds, (HUD SECT 8 Insured),
Series 1998, 5.375% due 06/01/2010 $ 1,210 $ 1,225
Scottsdale, Arizona Industrial Development Authority
Hospital Revenue Bonds, (AMBAC Insured),
Series 1997 A, 6.500% due 09/01/2004 1,130 1,229
-----------
2,454
===========
California 14.8%
Alameda, California Harbor Bay Business Pk Assmt
Revenue Bonds, Series 1998, 5.000% due 09/02/2006 360 351
Capistrano, California Unified School District
Special Tax, Series 1999, 5.000% due 09/01/2008 350 340
City of San Jose Redevelopment Agency Merged
Area Project, Tax Allocation Bonds, (MBIA Insured),
Series 1993, 6.000% due 08/01/2015 500 534
Fresno, California Unified School District
General Obligation Unlimited Bonds,
(MBIA Insured), Series 1999, 5.800% due 08/01/2014 445 466
Irvine, California Special Assessment Bond,
Series 1998, 4.800% due 09/02/2004 150 147
Irvine, California Special Assessment Bond,
Series 1998, 4.900% due 09/02/2005 310 301
Irvine, California Special Assessment Bond,
Series 1998, 5.000% due 09/02/2006 150 145
Irvine, California Special Assessment Bond,
Series 1999, 5.000% due 09/02/2005 350 344
Irvine, California Special Assessment Bond,
Series 1999, 5.100% due 09/02/2006 535 524
Irvine, California Special Assessment Bond,
Series 1999, 5.200% due 09/02/2007 255 248
Lake Elsinore California School Refunding Bonds,
Series 1998, 5.000% due 09/01/2006 350 343
Los Angeles County Transportation Commission,
Sales Tax Revenue Refunding Bonds, Series 1991 B
6.500% due 07/01/2013 1,000 1,050
Metropolitan Water District Southern California
General Obligation Unlimited Bond, Series 1998
4.750% due 03/01/2037 1,000 833
Montebello, California Unified School District
General Obligation Unlimited Bonds, (MBIA Insured),
Series 1999, 0.000% due 08/01/2023 895 222
Orange County, California Improvement Bond,
Series 1998 A, 4.900% due 09/02/2005 245 239
Pittsburg, California Infrastructure Refunding
Bonds, Series 1998 A, 4.900% due 09/02/2003 150 152
Pittsburg, California Infrastructure Refunding
Bonds, Series 1998 A, 5.000% due 09/02/2004 150 152
Riverside County, California Special Tax
Refunding Bonds, Series 1999, 4.200%
due 09/01/2001 300 297
Riverside County, California Special Tax,
Series 1999 4.700% due 09/01/2005 170 166
Roseville, California Special Tax, Series 1999
5.000% due 09/01/2004 350 348
Sacramento County, California Refunding Bonds,
Series 1998, 4.900% due 09/02/2005 300 292
San Pablo, California Redevelopment Agency,
Series 1999, 5.100% due 12/01/2009 360 358
West Sacramento, California Refunding Bonds,
Series 1998, 5.000% due 09/02/2004 350 347
-----------
8,199
===========
Colorado 6.4%
Denver, Colorado Health & Hospital Revenue Bonds,
Series 1998 A, 5.000% due 12/01/2009 1,390 1,317
El Paso County, Colorado School District
6.500% due 12/01/2012 2,000 2,215
-----------
3,532
===========
Florida 4.4%
Gainesville, Florida Revenue Bonds, Series 1979
6.200% due 10/01/2002 300 305
Jacksonville Electric Authority, Bulk Power Supply
System Revenue Bonds, (Prerefunded 10/01/00),
Scherer 4-1-A Project, Issue One, Series 1991,
6.750% due 10/01/2021 1,000 1,044
Orange County, Florida, Health Facilities Authority
Revenue Bond, Series 1996 A, 6.250% due 10/01/2011 1,000 1,106
-----------
2,455
===========
Illinois 1.9%
State of Illinois, Sales Tax Revenue Refunding Bonds,
Series 1992 Q, 6.000% due 06/15/2012 1,000 1,058
-----------
Indiana 2.1%
Indiana Local Public Improvement Bonds Bank,
Transportation Revenue Bonds, Series 1992
6.750% due 02/01/2014 1,000 1,130
-----------
Louisiana 1.5%
Louisiana Local Government Environment Facility
Community Development Authority Revenue Bonds,
(AMBAC Insured), Series 1999, 4.500% due 12/01/2018 1,000 843
-----------
Massachusetts 1.2%
Massachusetts State Development Finance Agency,
(ACA Insured), Series 1999, 4.600% due 03/01/2009 400 384
Massachusetts State Development Finance Agency,
Series 1998, 4.700% due 11/01/2007 210 202
Massachusetts State Development Finance Agency,
Series 1998, 4.800% due 11/01/2008 90 86
-----------
672
===========
Michigan 2.2%
Michigan State Environmental Protection General
Obligation Bonds, Series 1992, 6.250% due 11/01/2012 1,100 1,196
-----------
Minnesota 1.8%
New Richland, Minnesota Revenue Bond,
Series 1998, 4.500% due 08/01/2004 1,000 992
-----------
Missouri 0.7%
Kansas City Missouri Industrial Development Authority
Hospital Revenue Bonds, (MBIA Insured), Series 1985
3.000% due 10/15/2015 (b) 400 400
-----------
New Hampshire 2.0%
New Hampshire Turnpike System, Refunding
Revenue Bonds, (FGIC Insured), Series 1991 A
6.750% due 11/01/2011 1,000 1,116
-----------
New Jersey 3.5%
New Jersey Economic Development
Authority Revenue Bond, Series 1998,
0.000% due 04/01/2013 1,595 652
New Jersey Economic Development
Authority Revenue Bond, Series 1998
4.750% due 05/15/2002 365 361
New Jersey Economic Development
Authority Revenue Bond, Series 1998
5.600% due 01/01/2012 1,000 953
-----------
1,966
===========
</TABLE>
138 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------------
<S> <C> <C>
New Mexico 2.5%
Los Alamos County, Utility Revenue Bonds,
Series 1994 A, 6.000% due 07/01/2008 $ 1,000 $ 1,068
Santa Fe County, El Castillo Retirement
Nursing Home Bonds, Series 1998 A
5.250% due 05/15/2007 315 304
-----------
1,372
===========
New York 15.5%
New York City General Obligation Bonds,
(LOC-KBC Bank Insured), Series 1993,
4.000% due 08/01/2016 (b) 500 500
New York City General Obligation Bonds,
Series 1995 B, 6.750% due 08/15/2003 1,000 1,075
New York City General Obligation Bonds,
Series 1996 A, 7.000% due 08/01/2007 1,000 1,121
New York City General Obligation Bonds,
Series 1996, 5.875% due 08/01/2024 1,000 994
New York State Dorm Authority Mental Health
Services Revenue Bonds, Series 1997 B,
6.000% due 08/15/2005 1,850 1,955
New York State Environmental Facilities
Special Obligation Revenue Bonds, Series 1996
5.125% due 04/01/2022 1,000 913
State of New York Thruway Authority Revenue Bonds,
(AMBAC-TCRS Insured), Series 1996
6.000% due 04/01/2005 1,000 1,066
State of New York Thruway Authority Revenue Bonds,
(MBIA Insured), Series 1995 A, 5.500% due 04/01/2015 1,000 999
-----------
8,623
===========
North Carolina 5.9%
North Carolina Eastern Municipal Power
6.500% due 01/01/2018 1,990 2,219
North Carolina Municipal Power Agency, Catawaba
Electric Revenue Bonds, (AMBAC Insured),
Series 1992, 6.000% due 01/01/2008 1,000 1,068
-----------
3,287
===========
North Dakota 1.9%
Mercer County Pollution Control Revenue Bonds,
Series 1991, 6.900% due 02/01/2019 1,000 1,049
-----------
Ohio 3.7%
Cleveland Water and Sewer Refunding and
Improvement Revenue Bonds, (MBIA Insured),
Series 1993 G, Number 1, 5.500% due 01/01/2021 1,000 988
Ohio State Water Development Authority Pollution
Control Revenue Bonds, (MBIA Insured),
Series 1995, 6.000% due 06/01/2005 1,000 1,069
-----------
2,057
===========
Pennsylvania 2.9%
Delaware County, Pensylvania Hospital Revenue
Bonds, Series 1998, 4.900% due 12/01/2008 100 96
Pittsburgh, Pennsylvania General Obligation Bonds,
(AMBAC Insured), Series 1993 A,
5.500% due 09/01/2014 1,525 1,533
-----------
1,629
===========
South Carolina 1.8%
Medical University South Carolina Hospital Facilities
Revenue Bonds, Series 1999, 5.700% due 07/01/2012 1,000 989
-----------
Tennessee 3.5%
Memphis-Shelby County Tennessee Airport Authority
Special Facilities and Project Revenue Bonds,
Series 1997, 5.350% due 09/01/2012 1,000 983
Nashville & Davidson County, Tennessee
Revenue Bonds, Series 1998, 4.450% due 08/01/2007 1,000 963
-----------
1,946
===========
Texas 10.1%
Bexar, Texas Metro Water District Waterworks
System Revenue Bonds, (MBIA Insured),
Series 1998, 0.000% due 05/01/2035 2,190 257
Board of Regents of the University of Texas System,
Revenue Financing System Refunding Bonds,
Prefunded and Unrefunded Series 1991 B
6.750% due 08/15/2013 735 773
Brazos River Authority Texas Revenue Bonds,
(MBIA Insured), Series 1998, 4.900% due 10/01/2015 1,500 1,378
Houston, Texas, Water & Sewer System Revenue
Bonds, Series 1993 B, 5.000% due 12/01/2018 2,000 1,827
Midlothian Texas Independent School District,
(PSF-GTD Insured), Series 1999
0.000% due 02/15/2018 1,000 324
University of Texas Revenue Bonds, Series 1996
5.250% due 08/15/2007 1,000 1,026
-----------
5,585
===========
Washington State 2.1%
Bellevue Washington Convention Center Authority
Special Obligation Revenue Bond, (MBIA Insured),
Series 1994, 0.000% due 02/01/2024 1,000 239
Washington State Public Power Supply System
Nuclear Project Revenue Bonds, (BIG Insured),
Series 1989, 0.000% due 07/01/2014 1,270 554
Washington State General Obligation Bond,
Series 1997, 0.000% due 07/01/2017 1,000 359
-----------
1,152
===========
Washington, D.C. 1.5%
Washington D.C. Convention Center Authority
Dedicated Tax Revenue Bonds, (AMBAC Insured),
Series 1998, 4.750% due 10/01/2028 1,000 816
-----------
Wisconsin 2.0%
Southeast Wisconsin Professional Baseball Park
District Sales Tax Revenue Bonds, (MBIA Insured),
Series 1998, 5.500% due 12/15/2018 1,150 1,128
-----------
Total Municipal Bonds & Notes 55,646
===========
(Cost $55,724)
- -----------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 0.2%
- -----------------------------------------------------------------------------------
State Street Global Advisors Tax Free Money Market
3.039% due 10/01/1999 117 116
-----------
Total Short-Term Instruments 116
===========
(Cost $117)
Total Investments (a) 100.5% $ 55,762
(Cost $55,841)
Other Assets and Liabilities (Net) (0.5%) (260)
-----------
Net Assets 100.0% $ 55,502
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized
appreciation (depreciation) of investments based
on cost for federal income tax purposes was
as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $ 974
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value (1,053)
-----------
Unrealized depreciation-net $ (79)
===========
</TABLE>
(b) Variable rate security. The rate listed is as of September 30,
1999.
1999 Semi-Annual Report See accompanying notes 139
<PAGE>
Schedule of Investments
California Intermediate Municipal Bond
September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 107.6%
- -----------------------------------------------------------------------------------
<S> <C> <C>
CALIFORNIA 107.6%
Anaheim, California Public Financing
Authority Revenue Bond, 4.625% due 10/01/2027 $ 150 $ 152
California Educational Facilities Authority,
Series A, 5.700% due 10/01/2015 135 138
California Pollution Control Financing Authority,
Series A, 4.500% due 08/01/2003 150 150
California Pollution Control Financing Authority,
Series B, 3.750% due 12/01/2024 150 150
California State Department Water Resources Center,
Series J-3, 5.800% due 12/01/2004 250 268
California State Veterans Bond, Series A
8.000% due 10/01/2005 40 47
California State Veterans Bond, Series BL
5.300% due 12/01/2012 500 495
Chula Vista, California Industrial Development
Revenue Bond, Series B, 3.900% due 12/01/2021 150 150
Concord, California Judgement Obligation
4.250% due 09/01/2002 145 146
Long Beach, California Harbor Revenue Bonds,
Series 1993, 4.700% due 05/15/2004 150 152
Los Angeles, California Airports Improvement Revenue
Bonds, (LOC - Wachovia Bank of Georgia Insured),
Series 1984, 2.850% due 12/01/2024 (b) 100 100
Los Angeles, California State Building Authority Lease
Revenue Bonds, Series 1999 A, 4.600% due 10/01/2007 150 149
Los Angeles, California Unified School District
General Obligation Bonds, (MBIA Insured), Series 1999 C
4.750% due 07/01/2010 30 29
Metropolitan Water District Southern California
General Obligation Bonds, Series 1993 A1
7.250% due 03/01/2007 150 176
Orange County California Public Financing Authority,
Series 1997, 5.500% due 12/01/2005 500 518
San Francisco California Bay Area, Series 1999
4.250% due 07/01/2004 150 150
San Francisco California City & County International
Airport Revenue, (FGIC Insured), Series 1996 12-A
5.625% due 05/01/2007 100 106
San Pablo California Redevelopment Agency Revenue,
Series 1979, 8.000% due 10/01/2011 105 121
Santa Margarita/Dana Point Authority California Revenue,
(MBIA Insured), Series 1994, 7.250% due 08/01/2006 150 173
-----------
Total Municipal Bonds & Notes 3,370
(Cost $3,367) ==========
- -----------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 0.7%
- -----------------------------------------------------------------------------------
R & T California Money Market
2.870% due 10/01/1999 23 23
-----------
Total Short-Term Instruments 23
(Cost $23) ===========
Value
(000s)
- -----------------------------------------------------------------------------------
Total Investments (a) 108.3% $ 3,393
(Cost $3,390)
Other Assets and Liabilities (Net) (8.3%) (260)
------------
Net Assets 100.0% $ 3,133
============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $ 7
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value (4)
------------
Unrealized appreciation-net $ 3
------------
(b) Variable rate security. The rate listed is as of September 30,
1999.
140 PIMCO Funds See accompanying notes
</TABLE>
<PAGE>
Schedule of Investments
New York Intermediate Municipal Bond
September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 111.0%
- -----------------------------------------------------------------------------------
<S> <C> <C>
NEW YORK 111.0%
Amherst, New York,
Series A, 5.500% due 12/01/2008 $ 150 $ 158
Baldwin, New York Unified Free School District
5.100% due 09/01/2007 140 143
Edmeston, New York Central School District
5.100% due 06/15/2007 150 153
Genesee County, New York General Obligation Bonds,
(FGIC Insured), Series 1999, 5.000% due 08/15/2007 150 152
Long Island Power Authority New York Electric System
Revenue Bonds, (AMBAC Insured),
Series 1998 A, 5.250% due 12/01/2004 140 145
Muni Assistance Corporation For City New York,
Series 1997, 5.750% due 07/01/2003 150 157
New York City General Obligation Bonds,
(MBIA Insured), Series 1994, 3.750% due 08/15/2022 (b) 150 150
New York City General Obligation Bonds,
(MBIA Insured), Series 1994, 3.950% due 08/15/2003 (b) 100 100
New York City General Obligation Bonds,
Series 1996, 5.500% due 08/01/2004 150 155
New York City General Obligation Bonds,
Series 1997, 5.300% due 06/01/2012 150 149
New York City Municipal Authority
Water & Sewer Revenue, (FGIC Insured), Series 1995
3.950% due 06/15/2025 150 150
New York State Dormitory Authority Revenue Bond,
(MBIA Insured), Series 1999, 4.750% due 07/01/2006 150 150
New York State Dormitory Authority Revenue Bonds,
(AMBAC Insured), Series 1998, 5.000% due 07/01/2002 150 153
New York State Dormitory Authority Revenue Bonds,
(MBIA Insured), Series 1999, 4.750% due 07/01/2006 95 95
New York State Dormitory Authority Revenue,
(FSA Insured), Series 1998, 4.750% due 07/01/2008 150 148
New York State Local Government Assistance Corp.,
(MBIA Insured), Series 1997-B, 5.125% due 04/01/2013 150 146
New York State Mortgage Agency Revenue,
Series 1997, 5.200% due 10/01/2008 145 145
New York State Power Authority
Revenue & General Purpose, Series 1972-E
5.500% due 01/01/2010 145 146
New York State Thruway Authority Service
Contract Revenue, (MBIA Insured), Series 1999
4.900% due 04/01/2008 150 150
New York State, Series 1998, 4.750% due 03/01/2004 145 146
Port Authority New York & New Jersey,
(FGIC Insured), Series 1999, 5.000% due 09/15/2005 150 152
Rockland County New York Solid Waste Management
Authority, Series 1999 A, 4.800% due 12/15/2005 145 144
Triborough Bridge & Tunnel Authority Revenue,
Series 1999 B, 5.500% due 01/01/2005 150 156
------------
Total Municipal Bonds & Notes 3,343
(Cost $3,350) ===========
- -----------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.2%
- -----------------------------------------------------------------------------------
R & T New York Money Market
2.970% due 10/01/1999 $ 36 $ 36
-----------
Total Short-Term Instruments 36
(Cost $16) ===========
Total Investments (a) 112.2% $ 3,379
(Cost $3,386)
Other Assets and Liabilities (Net) (12.2%) (369)
-----------
Net Assets 100.0% $ 3,010
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized
appreciation (depreciation) of investments based on cost
for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $ 2
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value (9)
-----------
Unrealized depreciation-net $ (7)
===========
</TABLE>
(b) Variable rate security. The rate listed is as of
September 30, 1999.
1999 Semi-Annual Report See accompanying notes 141
<PAGE>
Schedule of Investments
Short Duration Municipal Income Fund
September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 103.2%
- -----------------------------------------------------------------------------------
<S> <C> <C>
Alabama 4.8%
Alabama State Industrial Access
Road and Bridge Corp., 4.700% due 06/01/2001 $ 500 $ 504
-----------
Arizona 0.9%
Arizona State Transportation Board
7.000% due 07/01/2000 100 101
-----------
Colorado 3.9%
Denver, Colorado City and County Revenue Bond
8.100% due 11/15/2000 200 208
Denver, Colorado City and County
Special Facilities Airport Revenue Bond,
Series A, 4.500% due 01/01/2000 200 200
-----------
408
===========
Florida 9.6%
Florida State Board of Education Capital
Outlay General Obligation Bond,
Series 1997 B, 6.500% due 06/01/2000 500 509
Port Palm Beach District Florida Revenue,
(MBIA Insured), Series 1999 A, 4.200% due 09/01/2001 500 499
-----------
1,008
===========
Georgia 18.7%
Dalton, Georgia Utilities Revenue Bond
4.750% due 01/01/2001 950 957
Fulton County Georgia Water & Sewer Revenue Bond,
(FGIC Insured), Series 1992, 5.625% due 01/01/2001 500 509
Walker County, Georgia School District,
Series 1997, 4.500% due 02/01/2002 500 503
-----------
1,969
===========
Hawaii 4.8%
Hawaii State General Obligation Bonds,
Series 1993, 5.500% due 07/01/2001 500 511
-----------
Indiana 2.4%
Indiana State Educational Facilities
Authority Revenue Bonds,
Series 1998, 4.000% due 0/15/2000 250 250
-----------
Massachusetts 4.7%
Massachusetts State General Obligation Bonds,
Series 1999, 4.000% due 02/01/2001 500 499
-----------
Minnesota 2.6%
Minnesota State Higher Education Facilities
Authority Revenue, Series 1998,
4.500% due 03/01/2001 270 271
-----------
Missouri 2.6%
Missouri State Housing Development Community
Mortgage Revenue Bonds, (GNMA/FNMA Insured),
Series 1996, 7.100% due 09/01/2027 250 271
-----------
Nevada 4.7%
Carson City Nevada School District
6.600% due 04/01/2001 485 500
-----------
New Jersey 1.5%
Cherry Hill, New Jersey,
Series A, 5.125% due 07/15/2003 150 154
-----------
New York 8.8%
New York State Dormitory Authority Revenue Bond,
(MBIA Insured), Series 1999, 4.300% due 07/01/2002 500 499
New York State Dormitory Authority Revenue Bonds,
(AMBAC Insured), Series 1998, 5.000% due 07/01/2002 420 427
-----------
926
===========
Ohio 4.8%
Ohio State Public Facilities,
Series 1993-II-B, 4.625% due 12/01/2000 $ 500 $ 504
-----------
Pennsylvania 4.8%
Dauphin County, Pensylvania General Authority Bond,
Series II, 4.450% due 09/01/2032 500 503
-----------
South Carolina 2.4%
Sumter County South Carolina School District,
(SCSDE Insured), Series 1999, 4.375% due 04/01/2001 250 251
-----------
Texas 18.9%
Midlothian Texas Independent School District,
(PSF-GTD Insured), Series 1999, 0.000% due 02/15/2001 500 472
San Antonio, Texas Independent School District,
Series 1999, 4.100% due 08/15/2001 500 500
Tarrant County, Texas Water Control & Refund & Import,
(AMBAC Insured), Series 1992, 5.750% due 03/01/2013 1,000 1,021
-----------
1,993
===========
Wisconsin 1.4%
Wisconsin State Health & Education
Facilities Authority Revenue, (MBIA Insured),
Series 1991, 6.000% due 11/15/2000 150 153
-----------
Wyoming 0.9%
Lincoln County, Wyoming Environmental Improvement
Revenue Bonds, Series 1995, 3.200% due 11/01/2025 (b) 100 100
-----------
Total Municipal Bonds & Notes 10,876
(Cost $10,873) ===========
- -----------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 0.2%
- -----------------------------------------------------------------------------------
State Street Global Advisors Tax Free Money Market
3.039% due 10/01/1999 17 17
-----------
Total Short-Term Instruments 17
(Cost $17) ===========
Total Investments (a) 103.4% $ 10,893
(Cost $10,890)
Other Assets and Liabilities (Net) (3.4%) (357)
-----------
Net Assets 100.0% $ 10,536
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized
appreciation (depreciation) of investments based on cost
for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $ 11
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value (8)
-----------
Unrealized appreciation-net $ 3
===========
</TABLE>
(b) Variable rate security. The rate listed is as September 30, 1999
142 PIMCO Funds See accompanying notes
<PAGE>
Notes to Financial Statements
September 30, 1999 (Unaudited)
1. Organization
PIMCO Funds: Pacific Investment Management Series (the "Trust") was established
as a Massachusetts business trust on February 19, 1987. The Trust is registered
under the Investment Company Act of 1940 (the "Act"), as amended, as an open-end
investment management company. The Trust currently consists of 28 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 Long Duration
Fund had not commenced operations as of September 30, 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-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 Strategic Balanced, Convertible Bond
and StocksPLUS Funds, are declared on each day the Trust is open for business
and are distributed to shareholders monthly. Dividends from net investment
income, if any, of the Strategic Balanced, Convertible Bond 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 and paid in capital to more appropriately conform financial
accounting to tax characterizations of dividend and distributions.
1999 Semi-Annual Report 143
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 1999 (Unaudited)
Foreign Currency. Foreign currencies, investments, and other assets and
liabilities are translated into U.S. dollars at the exchange rates prevailing at
the end of the period. Fluctuations in the value of these assets and liabilities
resulting from changes in exchange rates are recorded as unrealized foreign
currency gains (losses). Realized gains (losses) and unrealized appreciation
(depreciation) on investment securities and income and expenses are translated
on the respective dates of such transactions. The effect of changes in foreign
currency exchange rates on investments in securities are not segregated in the
Statements of Operations from the effects of changes in market prices of those
securities, but are included with the net realized and unrealized gain or loss
on investment securities.
Multiclass Operations. Each class offered by the Trust has equal rights as to
assets and voting privileges. Income and non-class specific expenses of each
Fund, except the Strategic Balanced, Convertible Bond and StocksPLUS Funds, are
allocated daily to each class of shares based on the relative value of settled
shares. Income and non-class specific expenses of the Strategic Balanced,
Convertible Bond 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.
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.
144 PIMCO Funds
<PAGE>
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.
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, 0.20% for the
Short Duration Municipal Income Fund, 0.40% for the Strategic Balanced,
Convertible Bond and StocksPLUS Funds, 0.45% for the Emerging Markets Bond and
0.25% for all other Funds.
1999 Semi-Annual Report 145
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 1999 (Unaudited)
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, 0.19% for the
Short Duration Municipal Income Fund, 0.20% for the Moderate Duration,
Short-Term and Money Market Funds, 0.24% California Intermediate Municipal Bond
and New York Intermediate Municipal Bond Funds, 0.30% for the Global Bond and
Global Bond II Funds, 0.40% for the Emerging Markets Bond and Convertible Bond
Funds 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
Short-Term, Total Return and Low Duration Funds, 0.35% for the Municipal Bond
Fund, 0.45% for the Foreign Bond Fund and 0.40% for all other Funds.
Distribution and Servicing Fees. PIMCO Funds Distributors LLC, ("PFD"), a
wholly-owned subsidiary of PIMCO Advisors L.P., serves as the distributor of the
Trust's shares. The Trust is permitted to reimburse, out of the Administrative
Class assets of each Fund offering Administrative Class shares in an amount up
to 0.25% on an annual basis of the average daily net assets of that class,
financial intermediaries that provide services in connection with the
distribution of shares or administration of plans or programs that use Fund
shares as their funding medium. The effective rate paid to PFD was 0.25% during
current fiscal year.
Pursuant to the Distribution and Servicing Plans adopted by the A, B, C and D
Classes of the Trust, the Trust compensates PFD or an affiliate with respect to
Class D for services provided and expenses incurred in connection with
assistance rendered in the sale of shares and services rendered to shareholders
and for maintenance of shareholder accounts of the A, B, C and D Classes. The
Trust paid PFD distribution and servicing fees at an effective rate as set forth
below (calculated as a percentage of each Funds 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. Govt.,
High Yield, Foreign Bond, Global Bond II
and Emerging Markets Bond Funds 0.75 0.25 0.75 0.25
Low Duration Fund, California
Intermediate Municipal Bond and
New York Intermediate Municipal
Bond Funds 0.50 0.25 0.50 0.25
Real Return Bond, StocksPLUS
and Municipal Bond Funds 0.50 0.25 0.75 0.25
Short-Term Fund and Short Duration
Municipal Income 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>
146 PIMCO Funds
<PAGE>
PFD also receives the proceeds of the initial sales charges paid by the
shareholders upon the purchase of Class A shares, except for the Money Market
Fund, and the contingent deferred sales charges paid by the shareholders upon
certain redemptions of A, B and C Class shares. For the period ended September
30, 1999, PFD received $5,858,339 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 Trusts 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; 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 Trusts 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 September 30, 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 $23,255,503 $38,945,812 $27,139,903 $ 4,360,485
Total Return Fund II 1,388,836 1,415,612 343,276 132,343
Total Return Fund III 672,806 708,257 151,097 40,044
Moderate Duration Fund 205,535 209,548 97,311 22,033
Low Duration Fund 1,121,701 1,598,675 1,489,622 536,811
Low Duration Fund II 219,160 278,793 56,161 19,599
Low Duration Fund III 8,959 13,305 5,651 3,611
Short-Term Fund 24,898 41,101 123,147 62,778
Long-Term U.S. Govt Fund 666,424 757,092 212,143 12,546
High Yield Fund 0 0 1,170,815 597,168
Total Return Mortgage Fund 20,858 9,016 458 12,121
Low Duration Mortgage Fund 4,340 4,167 13,005 12,072
Real Return Bond Fund 200,021 90,606 23,217 6,459
Foreign Bond Fund 566,643 516,127 1,355,018 1,412,435
Global Bond Fund 212,559 215,145 557,170 534,212
Global Bond Fund II 30,998 31,618 84,680 80,334
Emerging Markets Bond Fund 0 0 33,595 22,062
Strategic Balanced Fund 83,397 45,333 43,983 8,667
Convertible Bond Fund 0 0 78,016 42,278
StocksPLUS Fund 386,466 276,094 344,577 169,817
Municipal Bond Fund 0 0 28,197 27,452
California Int. Municipal Bond Fund 3,810 3,818 5,368 1,900
New York Int. Municipal Bond Fund 0 0 9,802 6,459
Short Duration Municipal Income Fund 0 0 21,336 10,660
</TABLE>
1999 Semi-Annual Report 147
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 1999 (Unaudited)
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>
Total Return Fund Total Return Fund II
-------------------------------------------------- ------------------------
Period Ended 09/30/1999 Year Ended 03/31/1999 Period Ended 09/30/1999
Shares Amount Shares Amount Shares Amount
-------------------------------------------------- ------------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 407,900 $ 4,142,903 865,137 $ 9,217,995 39,983 $ 395,385
- ----------------------------------------- --------------------------------------------------- ------------------------
Administrative Class 126,115 1,276,532 165,308 1,767,082 910 9,031
- ----------------------------------------- --------------------------------------------------- ------------------------
Other Classes 114,710 1,171,099 160,449 1,709,684 0 0
- ----------------------------------------- --------------------------------------------------- ------------------------
Issued as reinvestment of distributions
Institutional Class 54,142 548,307 152,580 1,621,248 2,772 27,301
- ----------------------------------------- --------------------------------------------------- ------------------------
Administrative Class 4,494 45,455 7,521 79,793 141 1,386
- ----------------------------------------- --------------------------------------------------- ------------------------
Other Classes 6,065 61,516 11,969 127,090 0 0
- ----------------------------------------- --------------------------------------------------- ------------------------
Cost of shares redeemed
Institutional Class (240,724) (2,441,895) (474,696) (5,071,068) (22,786) (223,659)
- ----------------------------------------- --------------------------------------------------- ------------------------
Administrative Class (35,367) (358,561) (27,767) (296,106) (1,311) (12,977)
- ----------------------------------------- --------------------------------------------------- ------------------------
Other Classes (44,890) (455,531) (42,934) (458,229) 0 0
- ----------------------------------------- --------------------------------------------------- ------------------------
Net increase (decrease) resulting from
Fund share transactions 392,445 $ 3,989,825 817,567 $ 8,697,489 19,709 $ 196,467
========================================= =================================================== =======================
<CAPTION>
Total Return Fund II Total Return Fund III
---------------------- ---------------------------------------------------
Year Ended 03/31/1999 Period Ended 09/30/1999 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount
---------------------- ---------------------------------------------------
Receipts for shares sold
<S> <C> <C> <C> <C> <C> <C>
Institutional Class 47,982 $ 496,483 16,727 $ 150,720 18,305 $ 175,032
- ----------------------------------------- ---------------------- ---------------------------------------------------
Administrative Class 7,593 79,589 157 1,417 169 1,618
- ----------------------------------------- ---------------------- ---------------------------------------------------
Other Classes 0 0 0 0 0 0
- ----------------------------------------- ---------------------- ---------------------------------------------------
Issued as reinvestment of distributions
Institutional Class 6,253 64,838 1,636 14,759 4,287 40,765
- ----------------------------------------- ---------------------- ---------------------------------------------------
Administrative Class 507 5,036 8 73 16 151
- ----------------------------------------- ---------------------- ---------------------------------------------------
Other Classes 0 0 0 0 0 0
- ----------------------------------------- ---------------------- ---------------------------------------------------
Cost of shares redeemed
Institutional Class (12,604) (131,415) (1,967) (17,814) (8,139) (79,250)
- ----------------------------------------- ---------------------- ---------------------------------------------------
Administrative Class (4,162) (42,493) (1) (6) (2) (20)
- ----------------------------------------- ---------------------- ---------------------------------------------------
Other Classes 0 0 0 0 0 0
- ----------------------------------------- ---------------------- ---------------------------------------------------
Net increase (decrease) resulting from
Fund share transactions 45,569 $ 472,038 16,560 $ 149,149 14,636 $ 138,296
========================================= ======================= ==================================================
<CAPTION>
Short-Term Fund Money Market Fund
--------------------------------------------------- ------------------------
Period Ended 09/30/1999 Year Ended 03/31/1999 Period Ended 09/30/1999
Shares Amount Shares Amount Shares Amount
--------------------------------------------------- ------------------------
Receipts for shares sold
<S> <C> <C> <C> <C> <C> <C>
Institutional Class 69,198 $ 690,713 85,689 $ 860,075 184,052 $ 184,052
- ----------------------------------------- --------------------------------------------------- ------------------------
Administrative Class 568 5,678 2,713 27,827 24,957 24,957
- ----------------------------------------- --------------------------------------------------- ------------------------
Other Classes 5,334 53,290 15,676 157,205 2,864,699 2,864,699
- ----------------------------------------- --------------------------------------------------- ------------------------
Issued as reinvestment of distributions
Institutional Class 1,105 11,027 1,615 16,198 6,616 6,616
- ----------------------------------------- --------------------------------------------------- ------------------------
Administrative Class 12 117 93 301 184 184
- ----------------------------------------- --------------------------------------------------- ------------------------
Other Classes 240 2,406 285 2,859 2,983 2,983
- ----------------------------------------- --------------------------------------------------- ------------------------
Cost of shares redeemed
Institutional Class (70,777) (706,589) (55,050) (551,459) (241,623) (241,623)
- ----------------------------------------- --------------------------------------------------- ------------------------
Administrative Class (382) (3,812) (2,942) (29,487) (25,983) (25,983)
- ----------------------------------------- --------------------------------------------------- ------------------------
Other Classes (4,158) (41,581) (8,944) (89,676) (2,865,155) (2,865,154)
- ----------------------------------------- --------------------------------------------------- ------------------------
Net increase (decrease) resulting from
Fund share transactions 1,140 $ 11,249 39,135 $ 392,843 (49,270) $ (49,269)
========================================= =================================================== =========================
<CAPTION>
Money Market Fund Long-Term U.S. Government Fund
---------------------- --------------------------------------------------
Year Ended 03/31/1999 Period Ended 09/30/1999 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount
---------------------- --------------------------------------------------
Receipts for shares sold
<S> <C> <C> <C> <C> <C> <C>
Institutional Class 808,199 $ 808,199 14,510 $ 141,808 17,156 $ 187,435
- ----------------------------------------- ---------------------- --------------------------------------------------
Administrative Class 40,192 40,192 4,094 41,075 872 9,432
- ----------------------------------------- ---------------------- --------------------------------------------------
Other Classes 5,353,575 5,353,575 3,185 31,730 10,378 114,014
- ----------------------------------------- ---------------------- --------------------------------------------------
Issued as reinvestment of distributions
Institutional Class 2,847 2,847 470 4,642 780 8,444
- ----------------------------------------- ---------------------- --------------------------------------------------
Administrative Class 177 177 108 1,069 54 587
- ----------------------------------------- ---------------------- --------------------------------------------------
Other Classes 5,275 5,275 203 2,016 423 4,587
- ----------------------------------------- ---------------------- --------------------------------------------------
Cost of shares redeemed
Institutional Class (544,088) (544,088) (2,540) (25,625) (5,944) (65,866)
- ----------------------------------------- ---------------------- --------------------------------------------------
Administrative Class (31,845) (31,845) (747) (7,366) (290) (3,111)
- ----------------------------------------- ---------------------- --------------------------------------------------
Other Classes (5,252,531) (5,252,531) (3,244) (32,376) (3,131) (34,334)
- ----------------------------------------- ---------------------- --------------------------------------------------
Net increase (decrease) resulting from
Fund share transactions 381,801 $ 381,801 16,039 $ 156,973 20,298 $ 221,188
========================================= ====================== ==================================================
</TABLE>
148 PIMCO Funds
<PAGE>
<TABLE>
<CAPTION>
Moderate Duration Fund Low Duration Fund
---------------------------------------------- ---------------------------------------------------
Period Ended 09/30/1999 Year Ended 03/31/1998 Period Ended 09/30/1999 Year Ended 03/31/1998
Shares Amount Shares Amount Shares Amount Shares Amount
---------------------------------------------- ---------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10,042 $ 98,411 19,071 $ 192,700 171,382 $ 1,705,589 220,726 $ 2,244,772
---------------------------------------------- ---------------------------------------------------
0 0 0 0 6,010 60,278 15,711 160,036
---------------------------------------------- ---------------------------------------------------
0 0 0 0 23,943 239,202 65,554 667,128
---------------------------------------------- ---------------------------------------------------
1,010 9,838 2,044 20,722 9,402 93,646 17,508 178,085
---------------------------------------------- ---------------------------------------------------
0 0 0 0 363 3,614 789 8,030
---------------------------------------------- ---------------------------------------------------
0 0 0 0 923 9,210 1,463 14,872
---------------------------------------------- ---------------------------------------------------
(7,318) (71,556) (12,764) (129,738) (103,201) (1,030,155) (176,127) (1,790,902)
---------------------------------------------- ---------------------------------------------------
0 0 0 0 (6,911) (69,263) (8,351) (85,080)
---------------------------------------------- ---------------------------------------------------
0 0 0 0 (17,531) (175,010) (49,098) (499,621)
---------------------------------------------- ---------------------------------------------------
3,734 $ 36,693 8,351 $ 83,684 84,380 $ 837,111 88,175 $ 897,320
============================================== ===================================================
<CAPTION>
Low Duration Fund II Low Duration Fund III
---------------------------------------------- ---------------------------------------------------
Period Ended 09/30/1999 Year Ended 03/31/1999 Period Ended 09/30/1999 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
---------------------------------------------- ---------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
8,023 $ 79,581 8,746 $ 87,842 610 $ 6,078 256 $ 2,570
---------------------------------------------- ---------------------------------------------------
26 249 2,212 22,291 5 46 1 7
---------------------------------------------- ---------------------------------------------------
0 0 0 0 0 0 0 0
---------------------------------------------- ---------------------------------------------------
1,314 12,887 2,394 24,013 82 813 163 1,637
---------------------------------------------- ---------------------------------------------------
1 6 72 719 0 1 0 0
---------------------------------------------- ---------------------------------------------------
0 0 0 0 0 0 0 0
---------------------------------------------- ---------------------------------------------------
(3,125) (30,637) (9,600) (96,356) (756) (7,476) (134) (1,349)
---------------------------------------------- ---------------------------------------------------
(2,266) (22,545) (19) (194) (4) (42) 0 0
---------------------------------------------- ---------------------------------------------------
0 0 0 0 0 0 0 0
---------------------------------------------- ---------------------------------------------------
3,973 $ 39,541 3,805 $ 38,315 (63) $ (580) 286 $ 2,865
============================================== ===================================================
<CAPTION>
High Yield Fund Total Return Mortgage Fund
---------------------------------------------- ---------------------------------------------------
Period Ended 09/30/1999 Year Ended 03/31/1999 Period Ended 09/30/1999 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
---------------------------------------------- ---------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
60,987 $ 677,840 104,904 $1,188,947 5 $ 50 31 $ 313
---------------------------------------------- ---------------------------------------------------
11,954 131,529 18,654 211,212 0 0 0 0
---------------------------------------------- ---------------------------------------------------
28,674 316,356 51,924 589,193 2 20 17 178
---------------------------------------------- ---------------------------------------------------
8,378 91,792 12,000 136,088 11 113 24 249
---------------------------------------------- ---------------------------------------------------
1,008 11,033 889 10,049 0 0 0 0
---------------------------------------------- ---------------------------------------------------
1,797 19,719 2,307 26,142 0 3 1 7
---------------------------------------------- ---------------------------------------------------
(45,565) (498,545) (64,085) (721,757) (30) (310) 0 (1)
---------------------------------------------- ---------------------------------------------------
(4,287) (47,100) (4,287) (48,081) 0 0 0 0
---------------------------------------------- ---------------------------------------------------
(18,160) (199,364) (24,998) (284,595) (7) (75) 0 0
---------------------------------------------- ---------------------------------------------------
44,786 $ 503,260 97,308 $1,107,198 (19) $ (199) 73 $ 746
============================================== ===================================================
<CAPTION>
Low Duration Mortgage Fund Real Return Bond Fund
---------------------------------------------- ---------------------------------------------------
Period Ended 09/30/1999 Year Ended 03/31/1999 Period Ended 09/30/1999 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
---------------------------------------------- ---------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 $ 6 17 $ 174 7,315 $ 72,166 1,180 $ 11,606
---------------------------------------------- ---------------------------------------------------
0 0 0 0 0 0 0 0
---------------------------------------------- ---------------------------------------------------
0 0 0 0 2,053 20,263 1,338 13,163
---------------------------------------------- ---------------------------------------------------
13 130 26 263 91 900 35 354
---------------------------------------------- ---------------------------------------------------
0 0 0 0 0 0 0 0
---------------------------------------------- ---------------------------------------------------
0 0 0 0 43 373 26 253
---------------------------------------------- ---------------------------------------------------
(4) (38) (2) (19) (227) (2,247) (195) (1,921)
---------------------------------------------- ---------------------------------------------------
0 0 0 0 0 0 0 0
---------------------------------------------- ---------------------------------------------------
0 0 0 0 (151) (1,495) (320) (3,138)
---------------------------------------------- ---------------------------------------------------
10 $ 98 41 $ 418 9,124 $ 89,960 2,064 $ 20,317
============================================== ===================================================
</TABLE>
PIMCO Funds 149
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 1999 (Unaudited)
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>
Foreign Bond Fund Global Bond Fund
---------------------------------------------- -----------------------
Period Ended 09/30/1999 Year Ended 03/31/1999 Period Ended 09/30/1999
Shares Amount Shares Amount Shares Amount
---------------------------------------------- -----------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 6,927 $ 72,227 26,952 $ 289,812 4,017 $ 37,689
- --------------------------------------- ---------------------------------------------- -----------------------
Administrative Class 322 3,380 204 2,200 749 7,074
- --------------------------------------- ---------------------------------------------- -----------------------
Other Classes 4,036 41,728 6,321 67,890 0 0
- --------------------------------------- ---------------------------------------------- -----------------------
Shares issued in reorganization
Institutional Class 0 0 0 0 0 0
- --------------------------------------- ---------------------------------------------- -----------------------
Other Classes 0 0 0 0 0 0
- --------------------------------------- ---------------------------------------------- -----------------------
Issued as reinvestment of distributions
Institutional Class 1,160 11,993 2,746 29,323 577 5,422
- --------------------------------------- ---------------------------------------------- -----------------------
Administrative Class 11 114 11 115 7 68
- --------------------------------------- ---------------------------------------------- -----------------------
Other Classes 205 2,121 417 4,443 0 0
- --------------------------------------- ---------------------------------------------- -----------------------
Cost of shares redeemed
Institutional Class (12,475) (129,049) (16,338) (174,844) (1,852) (17,433)
- --------------------------------------- ---------------------------------------------- -----------------------
Administrative Class (47) (486) (47) (507) (141) (1,333)
- --------------------------------------- ---------------------------------------------- -----------------------
Other Classes (1,395) (14,454) (1,897) (20,336) 0 0
- --------------------------------------- ---------------------------------------------- -----------------------
Net increase (decrease) resulting from
Fund share transactions (1,256) $ (12,426) 18,369 $ 198,096 3,357 $ 31,487
======================================= ============================================== =======================
<CAPTION>
Global Bond Fund Global Bond Fund II
----------------------------------------------- -----------------------
Year Ended 03/31/1999 Period Ended 09/30/1999 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount
----------------------------------------------- -----------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 7,003 $ 70,516 52 $ 500 418 $ 4,100
- -------------------------------------- ------------------------------------------------ ----------------------
Administrative Class 111 1,116 0 0 0 0
- -------------------------------------- ------------------------------------------------ ----------------------
Other Classes 0 0 261 2,533 399 3,958
- -------------------------------------- ------------------------------------------------ ----------------------
Shares issued in reorganization
Institutional Class 0 0 0 0 0 0
- -------------------------------------- ------------------------------------------------ ----------------------
Other Classes 0 0 0 0 0 0
- -------------------------------------- ------------------------------------------------ ----------------------
Issued as reinvestment of distributions
Institutional Class 1,228 12,222 83 793 166 1,643
- -------------------------------------- ------------------------------------------------ ----------------------
Administrative Class 7 70 0 0 0 0
- -------------------------------------- ------------------------------------------------ ----------------------
Other Classes 0 0 27 258 65 641
- -------------------------------------- ------------------------------------------------ ----------------------
Cost of shares redeemed
Institutional Class (7,326) (73,227) 0 0 (119) (1,175)
- -------------------------------------- ------------------------------------------------ ----------------------
Administrative Class (142) (1,398) 0 0 0 0
- -------------------------------------- ------------------------------------------------ ----------------------
Other Classes 0 0 (186) (1,796) (852) (8,418)
- -------------------------------------- ------------------------------------------------ ----------------------
Net increase (decrease) resulting from
Fund share transactions 881 $ 9,299 237 $ 2,288 77 $ 749
====================================== ================================================ ======================
<CAPTION>
California New York
Intermediate Intermediate
Municipal Municipal
Municipal Bond Fund Bond Fund Bond Fund
----------------------- --------------------- -----------------------
Period from 08/31/1999
Period Ended 09/30/1999 Year Ended 03/31/1999 to 09/30/1999
Shares Amount Shares Amount Shares Amount
----------------------- --------------------- -----------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 96 $ 944 589 $ 5,971 311 $ 3,112
- -------------------------------------- ----------------------- --------------------- -----------------------
Administrative Class 152 1,520 150 1,529 1 10
- -------------------------------------- ----------------------- --------------------- -----------------------
Other Classes 690 6,833 1,294 10,783 0 0
- -------------------------------------- ----------------------- --------------------- -----------------------
Shares issued in reorganization
Other Classes 0 0 4,716 47,296 0 0
- -------------------------------------- ----------------------- --------------------- -----------------------
Issued as reinvestment of distributions
Institutional Class 11 112 20 200 1 9
- -------------------------------------- ----------------------- --------------------- -----------------------
Administrative Class 5 51 1 8 0 0
- -------------------------------------- ----------------------- --------------------- -----------------------
Other Classes 70 683 94 953 0 0
- -------------------------------------- ----------------------- --------------------- -----------------------
Cost of shares redeemed
Institutional Class (237) (2,328) (330) (3,365) (1) (10)
- -------------------------------------- ----------------------- --------------------- -----------------------
Administrative Class (39) (374) (11) (112) 0 0
- -------------------------------------- ----------------------- --------------------- -----------------------
Other Classes (731) (7,171) (1,039) (10,555) 0 0
- -------------------------------------- ----------------------- --------------------- -----------------------
Net increase (decrease) resulting from
Fund share transactions 17 $ 270 5,484 $ 52,708 312 $ 3,121
====================================== ======================= ===================== =======================
<CAPTION>
New York Short
Intermediate Duration
Municipal Municipal
Bond Fund Income Fund
------------------------ ----------------------
Period from 08/31/1999 Period from 08/31/1999
to 09/30/1999 to 09/30/1999
Shares Amount Shares Amount
------------------------ ----------------------
<S> <C> <C> <C>
Receipts for shares sold
Institutional Class 300 $ 3,000 1,050 $ 10,500
- -------------------------------------- ------------------------ ----------------------
Administrative Class 0 0 0 0
- -------------------------------------- ------------------------ ----------------------
Other Classes 0 0 0 0
- -------------------------------------- ------------------------ ----------------------
Shares issued in reorganization
Other Classes 0 0 0 0
- -------------------------------------- ------------------------ ----------------------
Issued as reinvestment of distributions
Institutional Class 1 9 3 32
- -------------------------------------- ------------------------ ----------------------
Administrative Class 0 0 0 0
- -------------------------------------- ------------------------ ----------------------
Other Classes 0 0 0 0
- -------------------------------------- ------------------------ ----------------------
Cost of shares redeemed
Institutional Class 0 0 0 0
- -------------------------------------- ------------------------ ----------------------
Administrative Class 0 0 0 0
- -------------------------------------- ------------------------ ----------------------
Other Classes 0 0 0 0
- -------------------------------------- ------------------------ ----------------------
Net increase (decrease) resulting from
Fund share transactions 301 $ 3,009 1,053 $ 10,532
- -------------------------------------- ------------------------ ----------------------
</TABLE>
150 PIMCO Funds
<PAGE>
<TABLE>
<CAPTION>
Emerging Markets Bond Fund Strategic Balanced Fund
- ----------------------------------------------------------------------------------------------
Period Ended 09/30/1999 Year Ended 03/31/1999 Period Ended 09/30/1999 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
613 $ 4,897 99 $ 794 632 $ 4,893 4,322 $ 55,153
- ---------------------------------------------- ----------------------------------------------
2,953 22,070 15 101 20 257 0 0
- ---------------------------------------------- ----------------------------------------------
78 598 125 959 251 6,768 13 164
- ---------------------------------------------- ----------------------------------------------
0 0 0 0 2,758 35,908 0 0
- ---------------------------------------------- ----------------------------------------------
0 0 0 0 2,379 30,872 0 0
- ---------------------------------------------- ----------------------------------------------
44 335 53 397 65 828 322 4,030
- ---------------------------------------------- ----------------------------------------------
31 235 1 8 0 2 0 0
- ---------------------------------------------- ----------------------------------------------
4 34 5 45 15 202 1 14
- ---------------------------------------------- ----------------------------------------------
(558) (4,197) (47) (346) (1,152) (14,588) (50) (640)
- ---------------------------------------------- ----------------------------------------------
(1,494) (11,130) 0 0 0 0 0 0
- ---------------------------------------------- ----------------------------------------------
(5) (38) (103) (789) (310) (3,914) 0 (6)
- ---------------------------------------------- ----------------------------------------------
1,666 $ 12,804 148 $ 1,169 4,658 $ 61,228 4,608 $ 58,715
- ---------------------------------------------- ----------------------------------------------
<CAPTION>
Convertible
Bond Fund StocksPLUS Fund
- -----------------------------------------------------------------------
Period Ended 09/30/1999 Period Ended 09/30/1999 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount
- -----------------------------------------------------------------------
3,686 $ 40,660 7,789 $ 116,014 14,640 $ 204,651
- ----------------------- ----------------------------------------------
0 0 3,505 52,399 685 9,414
- ----------------------- ----------------------------------------------
234 2,631 18,607 274,601 34,617 482,821
- ----------------------- ----------------------------------------------
0 0 0 0 0 0
- ----------------------- ----------------------------------------------
0 0 0 0 0 0
- ----------------------- ----------------------------------------------
0 0 629 9,071 4,466 61,000
- ----------------------- ----------------------------------------------
0 0 41 577 72 978
- ----------------------- ----------------------------------------------
0 0 669 9,574 3,988 54,076
- ----------------------- ----------------------------------------------
(509) (5,780) (5,656) (84,522) (12,901) (181,983)
- ----------------------- ----------------------------------------------
0 0 (645) (9,410) (117) (1,643)
- ----------------------- ----------------------------------------------
(3) (37) (10,902) (161,400) (9,449) (131,236)
- ----------------------- ----------------------------------------------
3,408 $ 37,474 14,037 $ 206,904 36,001 $ 498,078
- ----------------------- ----------------------------------------------
</TABLE>
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 Funds shareholders (amounts in thousands):
<TABLE>
<CAPTION>
Total Acquired
Shares Value of Total Net Net Assets Funds
Issued by Shares Issued Assets of Total Net
of Acquiring Unrealized
Acquiring by Acquiring Acquired Assets of Fund After Appreciation/
Acquiring Fund Acquired Fund Date Fund Fund Fund Acquiring Fund Acquisition (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
PIMCO PIMCO
Municipal Bond Fund Tax Exempt Fund 06/26/1998 4,715 $ 47,296 $ 47,296 $ 4,295 $ 51,585 $2,335
PIMCO PIMCO
Strategic Balanced Fund Balanced Fund 09/17/1999 5,137 $ 66,780 $ 66,780 $105,993 $172,774 $ (45)
</TABLE>
1999 Semi-Annual Report 151
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
7. Transactions in Written Call and Put Options
Transactions in written call and put options were as follows (amounts in thousands):
Total Return Total Return II Total Return III Moderate Duration Low Duration
Fund Fund Fund Fund Fund
--------------------------------------------------------------------------------
Premium
--------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Balance at 03/31/1999 $ 35,106 $ 1,186 $ 1,185 $ 0 $ 1,830
Sales 54,967 2,556 1,478 598 7,749
Closing Buys (827) (56) (25) 0 0
Expirations (50,564) (1,720) (1,291) 0 (454)
Exercised (791) 0 (552) 0 0
--------------------------------------------------------------------------------
Balance at 09/30/1999 $ 37,891 $ 1,966 $ 795 $ 598 $ 9,125
================================================================================
Low Duration II Low Duration III Long-Term Low Duration Real Return
Fund Fund U.S. Govt Fund Mortgage Fund Fund
--------------------------------------------------------------------------------
Premium
--------------------------------------------------------------------------------
Balance at 03/31/1999 $ 0 $ 0 $ 224 $ 0 $ 0
Sales 1,244 1 896 1,547 5
Closing Buys 0 0 0 0 0
Expirations 0 0 (1,109) (1,547) (5)
Exercised 0 0 0 0 0
--------------------------------------------------------------------------------
Balance at 09/30/1999 $ 1,244 $ 1 $ 11 $ 0 $ 0
================================================================================
Foreign Bond Global Bond Global Bond Strategic StocksPLUS
Fund Fund Fund II Balanced Fund Fund
--------------------------------------------------------------------------------
Premium
--------------------------------------------------------------------------------
Balance at 03/31/1999 $ 126 $ 56 $ 9 $ 21 $ 53
Sales 1,295 628 102 517 8,344
Closing Buys 0 0 0 (20) (515)
Expirations (297) (91) (17) (380) (6,509)
Exercised 0 (22) (4) 0 0
--------------------------------------------------------------------------------
Balance at 09/30/1999 $ 1,124 $ 571 $ 90 $ 138 $ 1,373
================================================================================
</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, 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>
152 PIMCO Funds
<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 $181 billion on behalf
of mutual fund and institutional clients located around the world.
PIMCO Advisors Holdings L.P. is the nation's third largest publicly traded
investment management firm with assets under management in excess of $256
billion. PIMCO Advisors is recognized for providing consistent performance and
high-quality service to mutual fund and institutional clients worldwide.
Its investment firms are:
Pacific Investment Management Company/Newport Beach, California
Oppenheimer Capital/New York, New York
Cadence Capital Management/Boston, Massachusetts
NFJ Investment Group/Dallas, Texas
Parametric Portfolio Associates/Seattle, Washington
PIMCO Equity Advisors/New York, New York, a division of PIMCO Advisors L.P.
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.
PIMCO FUNDS
840 NEWPORT CENTER DRIVE, SUITE 300
NEWPORT BEACH, CA 92660
800.927.4648
www.pimco.com
<PAGE>
PIMCO Funds Shareholder Update
and Semi-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.
[GRAPHIC]
Investors wishing to ensure their investment portfolios can ride out the waves
of rising and falling inflation will want to read the story on page 4.
September 30, 1999
Pacific Investment Management Series
Share Classes
A B C
Convertible Bond
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
Strategic Balanced
Total Return
Page 2 PIMCO is Morningstar's Choice Once Again This Year
Morningstar Picks PIMCO Funds for its 401(k) Plan
Page 4 Today's Investor
Inflation-Protection Bonds: An Essential Asset Class
Page 6 Market Review
Page 7 Manager Spotlight
Q&A with Bill Gross
Page 8 Fund Spotlight
A Higher Yielding Short-Term Investment
Page 9 In the News
Page 10 Service Update
Introducing the PIMCO Funds Bond Center Online
Page 12 Overview: Comprehensive Fund Family
Page 13 PIMCO Funds Pacific Investment Management Series
Semi-Annual Report
<PAGE>
Morningstar Picks PIMCO
Morningstar chose two PIMCO Funds for its 401(k) plan--and they're the only bond
funds in it.
When Morningstar announced its new 401(k) lineup in August, only two bond funds
were on the list--PIMCO Total Return and PIMCO High Yield Funds.
Morningstar is the country's leading mutual fund rating service, so the funds it
chooses for its own company retirement plan tend to attract a lot of attention.
In fact, The Wall Street Journal (7/13/99) says "a look at what [Morningstar]
chooses for itself is akin to learning the favorite recipes of a master chef."
As Morningstar itself says (8/99): "with 15 years of experience analyzing
investments, we should know a thing or two about picking funds and building
portfolios."
So how did Morningstar arrive at its 401(k) picks? The company based its
decisions on more than just performance--though strong performance was certainly
a factor. It also placed a premium on the fund manager's experience and
expertise.
"The first step," according to Morningstar, "was to run our entire mutual fund
database through a series of quantitative screens to weed out the weak
offerings. The criteria measured each option relative to its own investment
category, not its asset class, to enable accurate comparisons..." Then
Morningstar applied a rigorous six-step screening process to come up with the
final list of funds (see below). Funds that failed to clear one or more of these
hurdles were dropped from the plan. Obviously, both PIMCO Total Return and High
Yield Funds made the grade.
What's more, both PIMCO Total Return and PIMCO High Yield Funds have earned
Morningstar's overall ***** rating, its highest rating among 1,585 taxable bond
funds for the period ended September 30, 1999. (See page 9 for more
details.)
Morningstar's 401(k) Checklist
Morningstar used the following six-step screening process to select funds for
its retirement plan. Funds had to clear all of these hurdles to be considered.
Both PIMCO Total Return and High Yield Funds cleared them handily.
<TABLE>
<CAPTION>
PIMCO Total Return Fund PIMCO High Yield Fund
<S> <C> <C>
[ ] Length of track record--at least 3 years X X
[ ] Manager tenure--at least 3 years X X
[ ] Performance consistency X X
[ ] Style consistency X X
[ ] High risk-adjusted performance ranking X X
[ ] Expenses in line with the category average X X
</TABLE>
2
<PAGE>
Once Again This Year
Earlier this year, Morningstar named Bill Gross and his management team Fixed
Income Manager of the Year.
In case you missed the news, we're happy to repeat that Morningstar named Bill
Gross and his management team 1998 Fixed Income Manager of the Year. Gross is a
PIMCO founder and Managing Director, and Portfolio Manager of PIMCO Total Return
and PIMCO Low Duration Funds.
Morningstar established its Fund Manager of the Year Awards in 1987 to recognize
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" (1/99). Awards are also bestowed on fund
managers in the Domestic Equity and International categories.
In making its announcement, Morningstar (1/99) said, "Gross has set PIMCO apart
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.
Morningstar went on to commend 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."
[PHOTO]
Morningstar's Fixed Income Manager of the Year:
Bill Gross (seated left) and his management team.
Past performance is no guarantee of future results. Investment return will
fluctuate and the value of an investor's shares will fluctuate and may be worth
more or less than original cost when redeemed. Selection of these funds by
Morningstar was not based solely on performance. Morningstar chose Institutional
Class shares for use in its plan. Expense ratios differ by share class. Speak to
your financial advisor for details. A PIMCO equity fund was formerly available
within Morningstar's 401(k) plan. Morningstar proprietary ratings reflect
historical risk-adjusted performance and are subject to monthly charges. See
page 9 for more details.
3
<PAGE>
Inflation-Protection Bonds: An Essential Asset Class
[GRAPHIC]
Inflation crested in the 1970's, with prices (as measured by the Consumer Price
Index) increasing as much as 13.3% in one year. But starting in the early 80's,
the inflation wave receded to the point where prices rose less than 2% last
year. In the midst of this low-inflation environment, the U.S. government began
issuing TIPS--Treasury Inflation-Protection Securities. Could these bonds be a
worthwhile addition to your portfolio? The answer is probably yes.
Inflation-protection bonds allow your portfolio to stay on course--undisturbed
by inflation's ups and downs.
Introducing inflation-protection bonds
Inflation-protection bonds do what no other asset class does--seek to protect an
investor's purchasing power by offering a fixed "real" (meaning after-inflation)
yield. Specifically, these bonds pay a fixed coupon, but adjust the principal
value of the bonds in accordance with changes in the rate of inflation. That
means that if the Consumer Price Index rises, the bond's principal value will be
increased at the same rate. As a result, the interest income calculated off of
that principal value will also increase at the same rate--maintaining the
investor's purchasing power. Investors should be aware that if the Consumer
Price Index decreased (a situation called deflation), the bond's principal value
and interest income would also decrease. The last time the Consumer Price Index
fell for the year was 1954.
Here's how it works
To really understand how inflation-protection bonds work, consider this example.
Assume a bond was issued in January at an original par value of $1,000 and a
fixed 4% coupon. Also assume that inflation for the year was 2%. At the end of
the year, the par value of the bond would have increased to $1,020, matching the
2% increase in inflation. The annual interest payment from the bond would be
$40.80. So, while prices have gone up, the investor's interest income has gone
up as well, and he or she can still afford to buy the same amount of goods or
services.
Protecting Purchasing Power
Hypothetical example of how TIPs adjust to various inflation rates
<TABLE>
<CAPTION>
January Fixed Annual December Annual
Original Par Value Yield Inflation Rate Year-end Par Value Interest Payment
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$1,000 4% 2% $1,020 $40.80
$1,000 4% 10% $1,100 $44.00
</TABLE>
This example is shown only to illustrate how TIPS respond to changes in
inflation. It is not a reflection or prediction of the return of any PIMCO Fund
and it does not reflect any fees or expenses that would be charged by a fund.
The advantages of investing through a mutual fund
Investing in inflation-protection bonds through a mutual fund can offer
investors numerous advantages.
[ ] Dedicated professionals
Inflation-protection bonds are a new and relatively complex asset class, making
it difficult for most individual investors to get up to speed. Mutual funds are
managed by professionals dedicated to an investment specialty.
[ ] Income distribution
Investors who hold inflation-protection bonds in taxable accounts will owe tax
each year--not just on the income received, but also on the accrued principal.
In many cases, that means they will have to pay taxes on income they won't
receive until the bond matures. Mutual funds can distribute monthly income and
yearly capital gains, so that investors receive the income when they are being
taxed.
[ ] Liquidity
It can be difficult for investors to buy--or more importantly sell--securities
whenever they want. Mutual funds provide easy access to your money, usually
within one business day.
Currently there are only a handful of fund families offering mutual funds
specializing in inflation-protection bonds, including PIMCO's Real Return Bond
Fund.
4
<PAGE>
A core portfolio holding
There are several compelling reasons to make inflation-protection bonds a core
holding of any diversified portfolio--no matter what is happening with
inflation.
1. Competitive returns
As a result of the current low-yield environment, the real yields offered by
TIPS are actually greater than those from equivalent-maturity Treasury bonds.
2. Minimal risk exposure
Bonds, CDs, savings accounts. While these investment options are often touted as
"low risk," investors need to keep in mind that they are still exposed to
inflation risk--the risk that the return on their investment will be eaten away
by rising costs. Inflation-protection bonds offer investors an opportunity to
eliminate inflation risk.
Inflation-Indexed Bonds Have Outperformed
Real yields for TIPS and Treasury bonds as of 9/30/99
Yield - Inflation = Real Return
5 Year Treasury Bond 5.8% 2.3% 3.5%
5 Year Inflation-Protection Bond 3.9% n/a 3.9%
10 Year Treasury Bond 5.9% 2.3% 3.6%
10 Year Inflation-Protection Bond 4.1% n/a 4.1%
Past performance is no guarantee of future results. This example is for
illustrative purposes only and does not reflect or predict the return of any
PIMCO Fund and does not reflect any fees or expenses that would be charged by a
fund. Inflation in this example is measured by the Consumer Price Index (CPI)
and there can be no guarantee that the CPI or other indices will reflect the
exact level of inflation at any given time.
3. Getting in on the ground floor
The prolonged stock market rally has many investors concerned that inflation
will be heating up again. Recent signs of rising oil prices, international
unrest and increasing employment costs have added fuel to the fire. Over the
years, the Federal Reserve Board has made preemptive strikes to combat inflation
threats, but no one knows for sure what lies ahead. Waiting for prices to start
climbing before you invest in inflation-protection bonds is equivalent to
closing the barn door after the cows get out. To protect your portfolio, you
should consider making these bonds a core holding now. In this way, you will be
protected if inflation does rise, and you will take maximum advantage of the
adjustments to principal that come with an increase in inflation.
4. New market inefficiencies
The U.S. government first issued TIPS in 1997--not quite 3 years ago. New
markets of this sort can be inefficient.
Jeremey Siegel, Wharton Business School professor and noted author of Stocks
for the Long Run, has been quoted as saying that U.S. government-issued
inflation-protection bonds are "the asset of choice" to combine with stocks
in a long-term portfolio, namely because he sees inflation-protection bonds
as such a "safe alternative to stocks."*
*Source: The Wall Street Journal, 6/21/99
Sophisticated investors, such as portfolio managers, can identify these
inefficiencies and turn them into profitable opportunities.
Talk to your financial advisor
If you would be interested in learning more about inflation-protection bond
funds and how they can help form the foundation of your diversified portfolio,
talk to your financial advisor. He or she can assess your unique situation and
review the available options.
While TIPS are issued and guaranteed by the U.S. government, the shares of an
inflation-protection bond fund are not. 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.
5
<PAGE>
Market Review
Bond Market
Inflation Fears Lift Bond Yields
Long-term interest rates rose during the past six months as inflation
fears continued to dominate the fixed-income marketplace. Bond prices in many
sectors reacted negatively, and by August the 30-year Treasury yield had climbed
as high as 6.28%.
Long-term interest rates continue to rise.
<TABLE>
<CAPTION>
30-Year
U.S. Treasury
Yields (%)
-------------
<S> <C>
10/02/1998 4.8
10/09/1998 5.1
10/16/1998 5.0
10/23/1998 5.2
10/30/1998 5.2
11/06/1998 5.4
11/13/1998 5.3
11/20/1998 5.2
11/27/1998 5.2
12/04/1998 5.0
12/11/1998 5.0
12/18/1998 5.0
12/25/1998 5.2
01/01/1999 5.1
01/08/1999 5.3
01/15/1999 5.1
01/22/1999 5.1
01/29/1999 5.1
02/05/1999 5.4
02/12/1999 5.4
02/19/1999 5.4
02/26/1999 5.6
03/05/1999 5.6
03/12/1999 5.5
03/19/1999 5.6
03/26/1999 5.6
04/02/1999 5.6
04/09/1999 5.5
04/16/1999 5.6
04/23/1999 5.6
04/30/1999 5.7
05/07/1999 5.8
05/14/1999 5.9
05/21/1999 5.8
05/28/1999 5.8
06/04/1999 6.0
06/11/1999 6.2
06/18/1999 6.0
06/25/1999 6.2
07/02/1999 6.0
07/09/1999 6.0
07/16/1999 5.9
07/23/1999 6.0
07/30/1999 6.1
08/06/1999 6.2
08/13/1999 6.1
08/20/1999 6.0
08/27/1999 6.0
09/03/1999 6.0
09/10/1999 6.0
09/17/1999 6.1
09/24/1999 6.0
09/30/1999 6.1
</TABLE>
30-Year U.S. Treasury Yields
Source: Bloomberg
The Federal Reserve raised short-term interest rates twice over the past six
months, taking back two of the three rate cuts of last year. But sentiment
turned positive when it became clear that the Fed was not embarking on a series
of protracted interest rate hikes. However, Alan Greenspan's renewed concerns
about high equity valuations caused the bond market to shift again, leaving
long-term interest rates near two-year highs by the end of September.
Interest rates around the world moved in lock step as the global recovery
continued. Europe's economic prospects remained positive. Asian economies
continued to mend. However, Japan's recovery was jeopardized as the yen's
renewed strength threatened exports and the Bank of Japan failed to respond. In
the U.S., despite significantly lower second quarter GDP figures, consumption
continued to surge, fueled by past stock market gains.
Concerns about liquidity at year-end caused a surge of new issuance in the bond
market during the third quarter. Yield differentials widened as a result. The
high yield and municipal segments, in particular, were negatively affected.
Looking ahead, we see signs that the U.S. economy could slow towards the end of
the year. The backup in interest rates and the recent uncertainty in the stock
market will soon begin to have a negative impact on both consumer and business
spending. In addition, higher gasoline prices are cutting into discretionary
income and much of the investment for Y2K is now behind us.
In our opinion, the worst of the rise in yields may be behind us. Over the next
year we think 30-year Treasury yields will fluctuate between 5.75% and 6.25%.
While still a narrow range, a slowing economy could push Treasury yields to the
lower end.
Stock Market
The Market Broadens and Then Narrows Again
The stock market took investors on a bumpy ride over the six-month period ended
September 30, 1999. After rising to new highs on the coattails of large-cap
growth stocks in the first quarter of 1999, the market rotated in the second
quarter, favoring lower valuation and smaller capitalization issues. The third
quarter saw lackluster performance from nearly all segments of the market, as
performance was held hostage by the specter of inflation and rising interest
rates.
The market continues its ascension.
<TABLE>
<CAPTION>
S&P
500
Index
-----
<S> <C>
10/02/1998 1002.60
10/09/1998 984.39
10/16/1998 1056.42
10/23/1998 1070.67
10/30/1998 1098.67
11/06/1998 1141.01
11/13/1998 1125.72
11/20/1998 1163.55
11/27/1998 1192.29
12/04/1998 1176.74
12/11/1998 1166.46
12/18/1998 1188.03
12/25/1998 1226.27
01/01/1999 1229.23
01/08/1999 1275.09
01/15/1999 1243.26
01/22/1999 1225.19
01/29/1999 1279.64
02/05/1999 1239.40
02/12/1999 1230.13
02/19/1999 1239.19
02/26/1999 1238.33
03/05/1999 1275.47
03/12/1999 1294.59
03/19/1999 1299.29
03/26/1999 1282.80
04/02/1999 1293.72
04/09/1999 1348.35
04/16/1999 1319.00
04/23/1999 1356.85
04/30/1999 1335.18
05/07/1999 1345.00
05/14/1999 1337.80
05/21/1999 1330.29
05/28/1999 1301.84
06/04/1999 1327.75
06/11/1999 1293.64
06/18/1999 1342.84
06/25/1999 1315.31
07/02/1999 1391.22
07/09/1999 1403.28
07/16/1999 1418.78
07/23/1999 1356.94
07/30/1999 1328.72
08/06/1999 1300.29
08/13/1999 1327.68
08/20/1999 1336.61
08/27/1999 1348.27
09/03/1999 1357.24
09/10/1999 1351.66
09/17/1999 1335.42
09/24/1999 1277.36
09/30/1999 1282.71
</TABLE>
S&P 500 Index
Source: Bloomberg
After dominating the market for much of 1998 and the first quarter of 1999,
large-cap growth stocks fell out of favor in the second quarter as interest
rates crept upward. As a result, investors shifted assets into lower valuation,
less interest-rate sensitive cyclical companies. These firms displayed signs of
improvement, due for the most part to the global economic recovery. Then large-
cap growth stocks returned to favor in late June and early July as interest
rates appeared to retreat. However, this trend was short-lived: interest rates
rose in August and this segment of the market ended the third quarter having
lost ground since the first quarter.
The technology sector, with the exception of Internet stocks, was one of the few
areas of the equity market that outperformed in the second and third quarters.
Strong earnings reports helped buoy this sector, despite pressure from rising
interest rates, as these companies were able to justify their valuations with
high earnings growth. Areas of particular excitement in technology included
semiconductor, cell phone handset and fiber optic companies. Internet issues,
with low or no earnings, were unable to justify their valuations in the eyes of
many investors, causing them to underperform in the second and third quarters.
Looking ahead, we are cautiously optimistic that the heightened concern over
interest rates will abate and the market will resume its rise. We are also
hopeful that the market will continue to broaden as the global economy continues
its recovery.
6
<PAGE>
Manager Spotlight
Managing Director and Portfolio Manager
Q&A with Bill Gross
Bill Gross is a PIMCO founder and Managing Director. He is also the portfolio
manager of the highly rated PIMCO Total Return and Low Duration Funds, and
leader of the team that manages the StocksPLUS Fund. Mr. Gross's views on the
financial markets are regularly featured in The Wall Street Journal, Barron's,
Money and The New York Times. We recently spoke with him about his latest
outlook for the economy and the bond market.
Q: Has the bond market stabilized after backing up for most of the year?
A: While long-term interest rates ended the quarter about where they started,
the quarter was anything but stable. Investors heaved a sigh of relief after the
Fed rate hike on June 30. But this relief was short-lived as inflation fears
soon dominated the market again, sending 30-year Treasury yields as high as
6.28%. The market rallied after the August 24 rate hike because wording in the
Fed's statement suggested further tightening was unlikely. However, the good
news didn't last long as new highs in the stock market forced Greenspan to
reiterate his concern about "overvalued" equity prices. And although the
deteriorating trade situation and weakness in the dollar relative to the yen
helped cool off stocks, long-term interest rates remained stuck around 6%.
[PHOTO]
Q: Where are interest rates headed?
A: I think the worst of the run-up in yields is behind us. Although Treasuries
will probably remain in a narrow range of 5.75% to 6.25%, there is a good chance
the U.S. economy will slow, which will ease inflation pressures, and keep the
Fed from raising short-term interest rates again. By year's end, the mini-bear
market could be over, allowing for positive returns for the bond market.
Q: What leads you to believe the economy will slow?
A: There are four reasons. First, the rise in interest rates that has already
occurred this year will slow spending by both consumers and corporations.
Second, as corporate profit margins are squeezed by higher borrowing costs,
stock prices will likely suffer. This will slow the "wealth effect" consumption
the economy needs to sustain its current growth rate. Third, increases in
gasoline prices may prove to be disinflationary rather than inflationary. That's
because gasoline is an essential commodity and higher prices actually cut into
discretionary spending. Finally, the massive amount of spending to prepare for
Y2K is now largely behind us.
Q: Is the global recovery still on track? Will it lead to higher inflation?
A: The global recovery is still moving forward, but it faces a number of
obstacles. The world remains plagued by over-capacity. Europe's inflexible labor
market makes productivity gains and the implementation of technology difficult.
And, Asia's high personal savings rate is an impediment to increasing consumer
demand, keeping Asian economies focused on exports. As a result, the world
economy is unlikely to achieve its full growth potential, which will likely keep
inflation subdued.
Q: Are there any sectors of the bond market you like right now?
A: I think high-quality "spread" products such as mortgages are attractive. At a
yield of close to 7.5%, GNMA (Government National Mortgage Association) bonds
are a good value. I also recommend TIPS (Treasury Inflation-Protected
Securities) which protect an investor's purchasing power by adjusting their
principle in line with changes in the Consumer Price Index. These securities
offer a real yield of 4%, high by historical standards. Add the adjustment for
inflation--about 2.5% in our view--and the bond provides a "nominal" equivalent
yield of 6.5%.
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>
Fund Spotlight
PIMCO Short-Term Fund
A Higher Yielding Short-Term Investment
Like many investors, you may have found yourself wondering how long the stock
market's record-breaking bull run can continue. And if you were nervous before,
the Dow's recent 500+ point dip--its biggest weekly point loss ever--probably
added fuel to the fire.
So now, although the market began to recoup its losses as the fourth quarter
began, you may be unsure about what to do with any cash you have on hand. Do you
continue to add to your burgeoning stock portfolio? Or seek a so-called safer
haven--a CD or money market instrument, perhaps?
There is another alternative--one that entails less risk than a stock
investment, yet provides greater yield potential than a CD. Investing in a
short-term bond fund could be the solution you're looking for. And PIMCO Short-
Term Fund is an attractive choice. Here's why:
The potential for higher yield
PIMCO Short-Term Fund has a record of delivering higher yields than government
insured CDs. As Morningstar (1/11/99) says, the Fund has "succeeded where many
of its competitors have failed. Over its 10-plus year history it has beaten the
returns of a six-month CD after expenses." So for investors comfortable taking
on incremental risk in exchange for higher return potential, the Short-Term Fund
may be a sensible option.
A record of low volatility
The Fund's Net Asset Value (NAV) has fluctuated only 3% since inception in 1987.
This is due, in part, to the fact that short-term bonds are less sensitive to
changes in interest rates than longer-term bonds. The Fund's focus on
maintaining a minimum average quality of AA also helps it avoid unnecessary
price fluctuations. So even if the Fed continues to raise interest rates, the
Fund's NAV is likely to steer a comparatively steady course.
Noteworthy performance
PIMCO Short-Term Fund has routinely outperformed both money market funds and
other short-term bond funds. Since inception, the Fund has produced a 6% annual
return, beating that of money market funds (as measured by the Lipper Money
Market Fund Average). It has also outperformed an average of mutual funds with a
similar objective (as measured by the Salomon Bros. 3-Month Treasury Bill Index)
over the last 3-, 5-, 10-year and since inception periods ended 9/30/99. This
has earned the Fund an overall ***** rating from Morningstar as of 9/30/99,
among 1,585 taxable bond funds. (See page 9 for more details.)
An experienced manager
The Fund is managed by short-term bond specialist Paul McCulley. He is also
responsible for supervising short-term securities at PIMCO. McCulley has 16
years of experience, most recently at Warburg Dillon Read where he served as a
Managing Director and Head of both Economic Research for the Americas and Fixed
Income Strategy for the U.S. He holds a BA from Grinnell College and an MBA from
Columbia University.
Part of a long-term investment strategy
We've made the case for PIMCO Short-Term Fund as a good place to invest new
money. But the Fund also can play an invaluable role in a properly allocated
investment portfolio. Over the long term, a short-term bond fund will serve as a
good counterbalance to investments entailing greater risk, such as long-term
bonds and stocks.
To learn more, consult your financial advisor, or call us at 1-888-87-PIMCO, or
visit our Web site at www.pimcofunds.com.
PIMCO Short-Term Fund Has Provided Higher Yields
Month-End Yields versus CDs
<TABLE>
<CAPTION>
Date. CDs PIMCO Short-Term Fund
<S> <C> <C>
September 1994 2.49% 3.23%
2.58% 3.40%
2.72% 3.43%
2.91% 4.00%
3.05% 4.36%
3.13% 4.69%
3.23% 4.93%
3.31% 4.33%
3.44% 5.03%
3.66% 5.42%
3.88% 6.37%
4.12% 6.03%
4.19% 6.27%
4.34% 6.72%
4.38% 7.01%
4.35% 7.32%
4.28% 7.59%
4.27% 6.90%
4.24% 6.93%
4.22% 6.47%
4.27% 5.90%
4.29% 6.13%
4.26% 6.08%
4.14% 6.13%
4.10% 5.76%
4.07% 5.19%
4.18% 5.69%
4.23% 5.50%
4.12% 5.56%
4.06% 5.58%
4.09% 5.57%
4.10% 5.67%
4.11% 5.58%
4.11% 5.60%
4.11% 5.59%
4.06% 5.56%
4.06% 5.39%
4.07% 4.99%
4.08% 5.14%
4.16% 5.39%
4.18% 5.43%
4.16% 5.44%
4.10% 5.67%
4.11% 5.58%
4.11% 5.60%
4.11% 5.59%
4.06% 5.56%
4.06% 5.39%
4.07% 4.99%
4.08% 5.14%
4.16% 5.39%
4.18% 5.43%
4.16% 5.44%
4.14% 5.43%
4.14% 5.43%
4.13% 5.51%
4.12% 5.43%
4.13% 5.57%
4.11% 5.61%
4.03% 5.53%
4.09% 5.40%
4.10% 5.47%
4.00% 5.10%
4.00% 5.10%
4.00% 5.40%
4.01% 5.20%
4.02% 5.30%
3.93% 5.40%
3.70% 5.10%
3.70% 5.20%
3.70% 5.10%
3.61% 4.98%
3.59% 4.98%
3.56% 4.66%
3.53% 4.93%
3.58% 4.97%
3.62% 5.16%
3.70% 5.03%
3.81% 4.98%
September 1999 3.86% 5.23%
</TABLE>
Past performance is no guarantee of future results. CDs are guaranteed as to
repayment of principal and interest by an agency of the U.S. government.
However, the investment return of bonds and bond funds will fluctuate and the
value of an investor's shares will be worth more or less than the original cost
when redeemed. The Fund's month-end prices and yields are based on monthly
periods for its Institutional Class shares prior to February 1997 and are
calculated in accordance with current Securities and Exchange Commission
regulations. CD yield is the month-end average paid on 3-month retail CDs
offered by major banks. (Source: Banxquote Money Market)
8
<PAGE>
In the News
Recent News on PIMCO Funds
PIMCO Funds and the PIMCO Funds portfolio managers were mentioned in numerous
print and television media during the third quarter of this year. The following
are highlights from a few of those features.
[ ] Bill Gross Repeatedly Recognized Among the Industry Experts PIMCO's Bill
Gross was the only portfolio manager named to three different publications'
recent roundups of leading industry experts. The September issue of SmartMoney
ranked Gross #12 among its 30 Power Brokers, a listing of the most influential
people in the mutual fund industry. Worth's October edition included him as one
of Wall Street's 25 Smartest Players. And Money, in its October issue, placed
Gross as the sole bond manager in its Ultimate Investment Club, "an exclusive
group of world-class investors." Also, a feature article in the October issue of
Individual Investor, entitled "The King of Bonds," highlighted Gross's dominance
in the fixed-income arena and his ability to forecast interest rates.
[ ] Diversity in Technology As Internet stocks continued to confuse investors
with their unstable activity, those funds that diversify across the technology
spectrum drew attention. The PIMCO Innovation Fund was highlighted in an August
5th article in The Wall Street Journal that presented the difference in
volatility between Internet funds and diversified technology portfolios.
[ ] PIMCO Equity Advisors on TV Ken Corba, PIMCO Equity Advisors Chief
Investment Officer; Mike Gaffney, Manager of PIMCO Opportunity Fund; and PIMCO
Innovation Fund manager Dennis McKechnie were each guests on CNBC during the
past three months, commenting on the equity markets and their Funds'
performance. Check www.pimcofunds.com for notice on upcoming PIMCO Funds TV
appearances.
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 September 30, 1999.
<TABLE>
<CAPTION>
- --------------------------------------------------------------
PIMCO STOCK FUNDS Overall 3 Year 5 Year 10 Year
- --------------------------------------------------------------
<S> <C> <C> <C> <C>
StocksPLUS ***** 5 5 -
Innovation ***** 5 - -
Capital Appreciation **** 4 4 -
Growth **** 4 4 4
- --------------------------------------------------------------
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 -
Foreign Bond ***** 5 5 -
</TABLE>
The chart above is based on September 30, 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 3,210, 2,010 and
751 domestic equity funds and 1,585, 1,153 and 374 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 and Innovation, 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 and 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>
Service Update
New PIMCO Managers
Introducing Paul McCulley and Mohamed El-Erian
[PHOTO]
Paul McCulley
Executive Vice President,
Manager of PIMCO Short-Term Fund
Paul McCulley was recently named manager of PIMCO Short-Term Fund. Early
in his career, he worked at Pacific Investment Management Company as an account
manager and monetary policy specialist. At the time, Bill Gross referred to his
knowledge of Federal Reserve strategy and its effects on bonds as "legendary."
Before his return to PIMCO, McCulley was Managing Director, Chief Economist for
the Americas, and head of U.S. fixed-income strategy for Warburg Dillon Read.
During 1996-1998 he was named to six seats on the Institutional Investor All-
America Fixed-Income Research Team.
In his new position, Mr. McCulley will be responsible for all short-term
portfolios, including PIMCO Short-Term Fund. His talents and background ensure
that he will be a key contributor in developing economic and investment
strategies. He will be sharing his intimate knowledge of Fed policy through a
monthly newsletter entitled "Fed Focus." To read this column, visit our web site
at www.pimco.com.
Mohamed El-Erian is the new manager of PIMCO Emerging Markets Bond Fund. He
brings to PIMCO an impressive record of accomplishments in emerging markets.
Among the most notable is his distinguished career with the International
Monetary Fund (IMF), where he rose to the position of Deputy Director and led
policy work on debt and country issues. More recently, he was the head of the
emerging markets research group at Salomon Smith Barney in London.
[PHOTO]
Mohamed El-Erian,
Executive Vice President, Manager of PIMCO Emerging Markets Bond Fund
For more detailed information on the PIMCO Short-Term and Emerging Markets Bond
Funds, please turn to pages 25 and 16 respectively.
A Word About the Year 2000
We at PIMCO are dedicated to making our computer systems fully operational
before, during, and after 2000. Similarly, our analysts and portfolio managers
take Year 2000 risks into account along with other investment considerations
when making investment decisions, such as choosing counterparties and evaluating
risks associated with portfolio securities. This evaluation often differs for
different issuers and depends upon the investment objectives, policies, and
restrictions applicable to a portfolio. The information available for different
issuers and counterparties varies substantially in accuracy and completeness. In
particular, little information exists about companies that are not registered
with the United States Securities and Exchange Commission and about foreign
issuers, counterparties, markets and other institutions.
While we are dedicated to making a smooth transition to Year 2000, we cannot
guarantee investment performance or that Year 2000 will not result in losses.
Investments in companies with real or perceived Year 2000 problems may decline
in value or fail on scheduled dividend, interest or principal payments. Any such
failures may affect the fund's performance./1/
/1/ This is a Year 2000 Readiness Disclosure.
10
<PAGE>
What's new @ www.pimcofunds.com
Visit the New PIMCO Funds Bond Center for the Best in Online Bond Information
and Analysis
Finally, there's terra firma in cyberspace! Investors looking for bond
information from a bricks and mortar company with a solid reputation can now
access it through the PIMCO Funds Bond Center.
Newly launched in October 1999, the Bond Center offers investors unique access
to the investment analysis and views of PIMCO founder Bill Gross and his team of
experienced fixed-income professionals.
In one place, you'll be able to find interest rate analysis, bond market
commentary, insight into PIMCO's investment philosophy and detailed information
about the PIMCO family of bond funds. The Bond Center takes Bill Gross and his
management team's investment expertise and brings it to your desktop. It's one
of the richest sources of information on bonds and bond mutual funds available.
Here's a quick rundown of highlights from the PIMCO Funds Bond Center:
[ ] Bill Gross's Investment Outlook
A monthly commentary on the bond market, the economy and interest rate trends
from Morningstar's 1998 Fixed Income Manager of the Year. You'll enjoy Mr.
Gross's lively and wide-ranging writing style.
[ ] Regular Fund Manager Updates
Timely reviews and forecasts from the managers of PIMCO's bond funds, with
insight into the Funds themselves and into the managers' respective areas of
expertise.
[GRAPHIC]
The PIMCO Funds Bond Center offers investors comprehensive, reliable, up-to-date
information on bonds and bond mutual funds.
[ ] Monthly Focus on the Fed
Fed Focus is a regular feature from Paul McCulley, who heads up PIMCO's short-
term desk and manages PIMCO Short-Term Fund. Each month, McCulley will take you
behind the headlines to reveal invaluable insight into the workings of the Fed.
[ ] PIMCO's Sector-Specific Investment Philosophies
PIMCO's fixed-income investment expertise extends far beyond its total return
investment philosophy. Through the Bond Center, you can access PIMCO white
papers that will give you an in-depth under-standing of the sector-specific
strategies guiding the management of PIMCO's bond portfolios.
[ ] And much, much more.
Check out the PIMCO Funds Bond Center today for comprehensive information about
fixed-income investing from America's leading bond manager. To access the Bond
Center, visit our Web site at www.pimcofunds.com, and click on "Bond Center" at
the top of our Home Page.
11
<PAGE>
The PIMCO Funds Family
PIMCO Funds offers unique access to the investment expertise of PIMCO Advisors
L.P. PIMCO manages $256 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>
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 Stocks of companies with below-average P/Es and
Stock Funds long-term growth 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
Value 25 Long-term growth of Stocks of medium-capitalized companies with
capital and income below-average P/Es
Small-Cap Value Growth of capital Stocks of smaller-capitalized companies with
and income below-average P/Es
- ------------------------------------------------------------------------------------------------------------------------------------
Enhanced Index Tax-Efficient Equity Maximum after-tax Stocks of larger-capitalized companies
Stock Funds growth of capital
StocksPLUS Total return S&P 500 stock index futures backed by a port-
exceeding the S&P 500 Index folio of short-term, fixed-income securities
- ------------------------------------------------------------------------------------------------------------------------------------
International International Capital appreciation Stocks of non-U.S. companies in developed and
Stock Funds 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, Money market securities (less than or equal to
Bond Funds consistent with preservation 90 days)
of capital and daily
liquidity
Short-Term Maximum current income Money market securities and short-term bonds
consistent with preservation (up to 1 year duration)
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 (3-6
Duration Bond year duration)
Funds
- ------------------------------------------------------------------------------------------------------------------------------------
Long Duration Long-Term U.S. Government Maximum total return Long-term U.S. government bonds (8+ year
Bond Funds duration)
- ------------------------------------------------------------------------------------------------------------------------------------
International Global BondII 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 Bond High Yield Maximum total return High-yield bonds (2-6 year duration)
Funds
- ------------------------------------------------------------------------------------------------------------------------------------
Inflation-Indexed Real Return Bond Maximum total return Inflation-adjusted government bonds
Bond Funds
- ------------------------------------------------------------------------------------------------------------------------------------
Convertible Convertible Bond Maximum total return Convertible Securities
Bond Funds
- ------------------------------------------------------------------------------------------------------------------------------------
Tax Exempt Municipal Bond High current income exempt from Investment-grade municipal bonds (3-10 year
Bond Funds federal taxes, preservation of duration)
capital
- ------------------------------------------------------------------------------------------------------------------------------------
Stock and Bond Strategic Balanced Maximum total return S&P Index Futures and short- and intermediate-
Funds term investment grade bonds
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 Bond
current income Funds
30/70 Portfolio Current income, with long-term 30% in PIMCO Stock Funds and 70% in PIMCO Bond
capital appreciation as a Funds
secondary objective
</TABLE>
12 For more information on the risks associated with these Funds, see page 29.
<PAGE>
Pacific Investment Management Series
PIMCO Funds Semi-Annual Report
Dear Fellow Shareholder:
Over the last six months, while the U.S. economy continued to steam ahead, the
stock and bond markets have experienced a mix of ups and downs. The stock market
has taken investors on a bit of a roller coaster ride, with the technology
sector (excluding Internet stocks) remaining one of the few areas of the market
to outperform.
It's been a turbulent time for most sectors of the bond market, too, as
they reacted negatively to the continued strength of the U.S. economy and to
rising interest rates. The Fed raised the short-term interest rate twice in the
past six months, bringing it back up to 5.25%, but we are optimistic that this
is not the beginning of a protracted series of rate hikes, such as occurred in
1994.
Yet, despite all this volatility, the funds in the PIMCO Funds Pacific
Management Series have continued to experience strong relative performance
across the board. It's this kind of solid performance--even in difficult times--
that has helped build PIMCO's reputation as America's leading bond manager. In
fact, PIMCO Funds is attracting new investors at a rapid rate: it recently
surpassed the $50 billion mark in assets under management, making it one of the
country's fastest-growing fund families.
There was more good news. After naming Bill Gross and his investment team
Fixed Income Manager of the Year in January, Morningstar announced this summer
that it had selected two PIMCO Funds for inclusion in its 401(k) plan--PIMCO
Total Return and High Yield Funds. And they're the only bond funds in
Morningstar's plan. You may also have noticed Bill Gross's appearance on the
investment "all-star" lists of Money, Worth and SmartMoney--the only portfolio
manager to make all three lineups. (More on this on page 9.)
And now to the business at hand. On the following pages, we present
detailed information on all the Funds in our Pacific Investment Management
Series. I encourage you to review the information and commentary carefully. Once
again, I'd like to thank you for the trust you've placed in us through your
investment. 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.
PIMCO Advisors Holdings L.P. (NYSE:PA), its operating subsidiary PIMCO Advisors
L.P. and Allianz AG (EURO:ALV) announced that they have reached a definitive
agreement for Allianz AG to acquire majority ownership of PIMCO Advisors,
including all of the interests held at PIMCO Advisors Holdings L.P. Under the
terms of the agreement, at the closing the units of PA Holdings will be
exchanged by way of a merger and there will be no further public ownership of
PIMCO Advisors. Additionally, key employees at each of PIMCO Advisors'
investment units, including PIMCO's Bill Gross, have significant profit-sharing
and retention arrangements to ensure continuity of the investment process and
staff.
Sincerely,
/s/ Brent R. Harris
Brent R. Harris
Chairman of the Board
October 29, 1999
13
<PAGE>
PIMCO Funds Financial Information
We are pleased to present an in-depth review of PIMCO Funds Pacific Investment
Management Series as of September 30, 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 15-29 Fund Summaries
A summary of a Fund's performance record and portfolio composition, and a review
from the Fund's investment manager.
Pages 30-95 Schedule of Investments
The Schedule of Investments includes a listing of securities in the Fund's
portfolio as of September 30, 1999, including the number of shares or principal
amount and value as of that date.
Schedule of
Fund Name Fund Summary Investments
Convertible Bond Fund Page 15 Page 30
Emerging Markets Bond Fund Page 16 Page 32
Foreign Bond Fund Page 17 Page 34
Global Bond Fund II Page 18 Page 39
High Yield Fund Page 19 Page 44
Long-Term U.S. Government Fund Page 20 Page 49
Low Duration Fund Page 21 Page 52
Money Market Fund Page 22 Page 59
Municipal Bond Fund Page 23 Page 60
Real Return Bond Fund Page 24 Page 62
Short-Term Fund Page 25 Page 64
StocksPLUS Fund Page 26 Page 67
Strategic Balanced Fund Page 27 Page 71
Total Return Fund Page 28 Page 74
Pages 96-103 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 104-105 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 106-107 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 108-110 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 111 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.
Pages 112-118 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>
September 30, 1999
OBJECTIVE:
Maximum total return.
PORTFOLIO:
Convertible Securities
FUND INCEPTION DATE:
3/31/99
Total Net Assets:
$38.8 million
PORTFOLIO MANAGER:
Sandra Durn
PIMCO Convertible Bond Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/99
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper First Boston
Convertible. Convertible
Adjusted Adjusted Adjusted Sec. Fund Avg. Bond Index
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Inception 13.43% 8.32% 13.09% 8.09% 12.19% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO First Boston
MONTH Convertible Convertible Convertible Convertible
Bond A Bond B Bond C Index
<S> <C> <C> <C> <C>
03/31/1999 9,550 10,000 10,000 10,000
04/30/1999 10,006 10,471 10,471 10,405
05/31/1999 10,184 10,650 10,650 10,309
06/30/1999 10,727 11,219 11,229 10,754
07/31/1999 10,747 11,239 11,240 10,612
08/31/1999 10,727 11,199 11,209 10,643
09/30/1999 10,833 10,808 11,219 10,671
</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 29 for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ---------------------------------------
1 year or less 6%
- ---------------------------------------
1-5 years 26%
- ---------------------------------------
5-10 years 6%
- ---------------------------------------
10-20 years 56%
- ---------------------------------------
20-30 years 4%
- ---------------------------------------
Over 30 years 2%
- ---------------------------------------
Duration 1.44 years
- ---------------------------------------
Sector Breakdown:
- ---------------------------------------
Convertible Bonds & Notes 68.1%
- ---------------------------------------
Convertible Preferred Stock 26.9%
- ---------------------------------------
Other 5.0%
- ---------------------------------------
Quality Breakdown
- ---------------------------------------
AAA 7.2%
- ---------------------------------------
AA 10.5%
- ---------------------------------------
A 25.2%
- ---------------------------------------
BBB 39.1%
- ---------------------------------------
BB 8.4%
- ---------------------------------------
B 9.6%
- ---------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
PIMCO Convertible Bond Fund was launched on March 31, 1999. The Fund seeks to
maximize total return by investing primarily in a portfolio of convertible
bonds. Convertible bonds, like regular bonds, offer a steady income stream; but
unlike regular bonds, they can be converted into common stock. This means they
have the price appreciation potential of stocks, while maintaining the lower
risk profile associated with bonds.
The convertible bond market has performed well over the past six months.
For the six-month period ended September 30, 1999, the First Boston Convertible
Bond Index rose 6.71% while the S&P 500 returned 0.72%. Over that same time
period, the Fund returned 13.43% for its Class A shares, outpacing the Lipper
Convertible Securities Fund Average, which returned 12.85%.
The second and third quarters were difficult for the bond market as the
Federal Reserve raised short-term interest rates twice in a preemptive move
against inflation. Treasury prices fell, as investor sentiment remained
negative. Corporate bonds lagged other sectors as heavy issuance and concern
about credit deterioration weighed on the market. Although equities made new
highs, they ended the six-month period only slightly higher than they were at
the end of March.
Convertible bonds were able to outperform most broad fixed-income and
equity indices. Our Fund benefited from significant weightings in technology,
energy and telecommunications. Technology holdings benefited from accelerating
product innovation, falling prices and rising demand for technology products.
Energy- related holdings performed well as commodity prices rose and capacity
declined. Telecommunications also posted strong returns, driven by an increase
in service offerings and the continued rebound in global growth. Our holdings in
healthcare, however, performed poorly as the group continued to suffer from
industry-wide regulatory concerns.
Looking ahead, the manager plans to maintain the portfolio at a high
average investment grade rating of BBB, while uncovering higher-quality,
undervalued convertibles that stand to appreciate in value as the market
recognizes their strong underlying credit fundamentals. The Fund's exposure to
technology and energy-related holdings will be maintained. Finally, the manager
will continue to focus on convertibles that offer strong downside protection as
the outlook for the financial markets remains cautious.
See page 30 for financial details. 15
<PAGE>
September 30, 1999
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:
$17.5 million
PORTFOLIO MANAGER:
Mohamed El-Erian
PIMCO Emerging Markets Bond Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Return For periods ended 9/30/99
A Shares B Shares C Shares Lipper J.P. Morgan
Emerg. Mkts. Emerg. Mkts.
Adjusted Adjusted Adjusted Debt Fund Avg. Plus Index
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 Year 27.49% 21.75% 26.53% 21.53% 25.55% 24.44% 23.02%
Inception -1.42% -3.49% -2.20% -3.29% -2.18% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO J.P. Morgan
MONTH Emerging Emerging Emerging Emerging Markets
Markets A Markets B Markets C Plus Index
<S> <C> <C> <C> <C>
07/31/1997 9,550 10,000 10,000 10,000
08/31/1997 9,434 9,870 9,872 9,960
09/30/1997 9,693 10,134 10,135 10,264
10/31/1997 8,587 8,970 8,971 9,082
11/30/1997 9,038 9,436 9,437 9,513
12/31/1997 9,266 9,668 9,669 9,841
01/31/1998 9,277 9,673 9,674 9,822
02/28/1998 9,538 9,940 9,941 10,103
03/31/1998 9,822 10,228 10,229 10,354
04/30/1998 9,844 10,245 10,245 10,379
05/31/1998 9,524 9,905 9,905 10,025
06/30/1998 9,209 9,571 9,571 9,735
07/31/1998 9,347 9,706 9,706 9,802
08/31/1998 6,741 6,994 6,994 6,985
09/30/1998 7,263 7,531 7,532 7,668
10/31/1998 7,641 7,916 7,919 8,165
11/30/1998 8,250 8,542 8,544 8,645
12/31/1998 8,147 8,430 8,432 8,429
01/31/1999 7,862 8,130 8,133 8,117
02/28/1999 8,016 8,285 8,288 8,233
03/31/1999 8,556 8,838 8,840 8,857
04/30/1999 9,267 9,565 9,569 9,462
05/31/1999 8,684 8,959 8,961 8,922
06/30/1999 8,943 9,221 9,224 9,321
07/31/1999 8,883 9,153 9,155 9,128
08/31/1999 8,867 9,129 9,133 9,115
09/30/1999 9,260 9,300 9,533 9,434
</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 29 for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ---------------------------------------
1 year or less 22%
- ---------------------------------------
1-5 years 14%
- ---------------------------------------
5-10 years 42%
- ---------------------------------------
10-20 years 13%
- ---------------------------------------
20-30 years 9%
- ---------------------------------------
Duration 4.88 years
- ---------------------------------------
Top 10 Countries
- ---------------------------------------
Brazil 25.3%
- ---------------------------------------
Mexico 18.1%
- ---------------------------------------
Argentina 9.7%
- ---------------------------------------
South Korea 5.9%
- ---------------------------------------
Venezuela 5.2%
- ---------------------------------------
Poland 5.2%
- ---------------------------------------
Bulgaria 5.1%
- ---------------------------------------
Colombia 3.8%
- ---------------------------------------
Philippines 2.8%
- ---------------------------------------
Panama 2.8%
- ---------------------------------------
Quality Breakdown
- ---------------------------------------
AAA 5.2%
- ---------------------------------------
AA 0.5%
- ---------------------------------------
A 0.6%
- ---------------------------------------
BBB 14.7%
- ---------------------------------------
BB 41.1%
- ---------------------------------------
B 37.9%
- ---------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
For the six-month period ended September 30, 1999, PIMCO Emerging Markets Bond
Fund outperformed the J.P. Morgan Emerging Markets Bond Plus Index (EMBI), with
Class A shares registering a return of 8.23% compared to 6.51% for the Index.
This performance was achieved while maintaining PIMCO's strategic cautious
approach that places emphasis on countries with sound economic and financial
fundamentals.
The Fund's objective is to seek maximum total return through investment in
fixed-income instruments issued in emerging market countries, which, although
more risky, offer higher yield and capital appreciation potential.
There were two main reasons for the Fund's strong performance: PIMCO's
careful instrument selection within overall high quality credits (a decision
that kept the Fund underexposed to Russia); and careful consistent research that
enabled PIMCO to acquire new issues at attractive levels.
Our market investments were more resilient to external developments
overall, helping increase our diversification attributes. This was evident in
Latin America (Mexico, in particular), Asia (Philippines and Korea) and Europe
(Poland and Bulgaria). In particular, the Fund was aided by a concentration in
Brady Bonds which enabled us to exploit relative price moves without increasing
overall country risk. We benefited as some of these U.S. dollar-denominated
securities were supported by increased governmental buy-back activity. However,
an Ecuadorian Brady Bond issue was a highlight for the Fund because we sold it
well ahead of the country's default, avoiding the sharp drop in price.
Meanwhile, we deployed cash in new issuance by other countries which,
despite strong fundamentals, were initially underresearched by Wall Street. As
more investors became aware of these opportunities, the price of these bonds
appreciated.
Looking forward, emerging market bonds remain relatively cheap from a
secular point of view. Specifically, we expect emerging market returns to be
bolstered by improving economic fundamentals in a number of key countries. We'll
watch the gradual return of investors who left the market in the context of last
August's dramatic default by Russia. Emerging markets continue to offer greater
diversification potential through higher returns, declining price volatility,
and lower correlation with U.S. markets.
In view of our outlook, we'll continue to be cautious towards countries
whose economic, financial and political foundations are weak. We remain
constructive on the strong fundamental credits such as Korea, Mexico, Poland,
etc., because we believe these solid traits are valuable in the face of
political and economic upheavals.
16 See page 32 for financial details.
<PAGE>
September 30, 1999
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:
12/03/92
TOTAL NET ASSETS:
$579.5 million
PORTFOLIO MANAGER:
Lee Thomas
PIMCO Foreign Bond Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/99
<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 0.76% -3.77% 0.01% -4.62% -0.92% -0.54% 2.16%
3 years 7.88% 6.24% 7.10% 6.32% 7.09% 3.94% 9.50%
5 years 11.46% 10.44% 10.66% 10.39% 10.65% 6.83% 11.24%
Inception 9.41% 8.68% 8.62% 8.62% 8.61% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO J.P. Morgan
MONTH Foreign A Foreign B Foreign C Non-U.S.
(Hedged)
<S> <C> <C> <C> <C>
12/31/1992 9,550 10,000 10,000 10,000
01/31/1993 9,625 10,073 10,073 10,091
02/28/1993 9,833 10,286 10,286 10,274
03/31/1993 9,867 10,314 10,314 10,280
04/30/1993 9,863 10,304 10,304 10,281
05/31/1993 9,949 10,387 10,387 10,338
06/30/1993 10,180 10,623 10,623 10,549
07/31/1993 10,337 10,781 10,781 10,667
08/31/1993 10,584 11,033 11,033 10,889
09/30/1993 10,622 11,067 11,067 10,936
10/31/1993 10,776 11,221 11,221 11,082
11/30/1993 10,803 11,242 11,242 11,159
12/31/1993 11,068 11,511 11,511 11,390
01/31/1994 11,079 11,515 11,515 11,333
02/28/1994 10,782 11,200 11,200 11,078
03/31/1994 10,590 10,994 10,994 10,977
04/30/1994 10,486 10,879 10,879 10,899
05/31/1994 10,329 10,709 10,709 10,779
06/30/1994 10,135 10,501 10,501 10,669
07/31/1994 10,195 10,557 10,557 10,739
08/31/1994 10,091 10,442 10,442 10,636
09/30/1994 10,104 10,448 10,448 10,645
10/31/1994 10,139 10,477 10,477 10,687
11/30/1994 10,285 10,622 10,622 10,838
12/31/1994 10,214 10,541 10,541 10,813
01/31/1995 10,280 10,601 10,601 10,931
02/28/1995 10,343 10,660 10,660 11,072
03/31/1995 10,347 10,656 10,656 11,297
04/30/1995 10,596 10,905 10,905 11,477
05/31/1995 11,008 11,322 11,322 11,854
06/30/1995 10,938 11,243 11,243 11,814
07/31/1995 11,142 11,445 11,445 11,963
08/31/1995 11,351 11,651 11,651 12,067
09/30/1995 11,508 11,806 11,806 12,258
10/31/1995 11,697 11,991 11,991 12,395
11/30/1995 12,152 12,450 12,450 12,667
12/31/1995 12,328 12,623 12,623 12,785
01/31/1996 12,627 12,919 12,919 12,939
02/29/1996 12,354 12,632 12,632 12,787
03/31/1996 12,550 12,826 12,826 12,893
04/30/1996 12,850 13,125 13,125 13,047
05/31/1996 12,895 13,163 13,163 13,136
06/30/1996 13,037 13,299 13,299 13,245
07/31/1996 13,160 13,417 13,417 13,345
08/31/1996 13,478 13,733 13,733 13,522
09/30/1996 13,851 14,107 14,107 13,810
10/31/1996 14,189 14,442 14,442 14,038
11/30/1996 14,528 14,780 14,780 14,319
12/31/1996 14,601 14,845 14,845 14,339
01/31/1997 14,826 15,067 15,070 14,518
02/28/1997 14,900 15,133 15,136 14,611
03/31/1997 14,708 14,929 14,932 14,533
04/30/1997 14,840 15,054 15,057 14,690
05/31/1997 14,912 15,117 15,120 14,767
06/30/1997 15,205 15,406 15,409 15,018
07/31/1997 15,424 15,619 15,622 15,257
08/31/1997 15,356 15,539 15,542 15,275
09/30/1997 15,683 15,859 15,862 15,545
10/31/1997 15,495 15,658 15,661 15,645
11/30/1997 15,700 15,856 15,860 15,757
12/31/1997 15,924 16,072 16,075 15,962
01/31/1998 16,149 16,289 16,292 16,174
02/28/1998 16,293 16,424 16,428 16,318
03/31/1998 16,491 16,615 16,618 16,464
04/30/1998 16,542 16,666 16,660 16,548
05/31/1998 16,680 16,793 16,786 16,774
06/30/1998 16,756 16,860 16,853 16,847
07/31/1998 17,016 17,111 17,104 17,003
08/31/1998 16,875 16,959 16,952 17,338
09/30/1998 17,256 17,332 17,325 17,749
10/31/1998 16,894 16,956 16,949 17,722
11/30/1998 17,205 17,258 17,251 17,914
12/31/1998 17,441 17,482 17,475 17,892
01/31/1999 17,793 17,825 17,818 18,114
02/28/1999 17,613 17,634 17,627 17,993
03/31/1999 17,715 17,726 17,719 18,207
04/30/1999 17,938 17,937 17,930 18,438
05/31/1999 17,651 17,639 17,632 18,363
06/30/1999 17,431 17,406 17,399 18,078
07/31/1999 17,433 17,397 17,391 18,031
08/31/1999 17,302 17,257 17,250 18,063
09/30/1999 17,388 17,333 17,326 18,132
</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 29 for Footnotes, which include additional
details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ---------------------------------------
1-5 years 37%
- ---------------------------------------
5-10 years 44%
- ---------------------------------------
10-20 years 11%
- ---------------------------------------
20-30 years 8%
- ---------------------------------------
Duration 4.70 years
- ---------------------------------------
Top 10 Countries
- ---------------------------------------
United States 39.4%
- ---------------------------------------
Japan 11.5%
- ---------------------------------------
Germany 8.8%
- ---------------------------------------
Supranational 5.2%
- ---------------------------------------
New Zealand 4.2%
- ---------------------------------------
Canada 3.8%
- ---------------------------------------
Denmark 3.6%
- ---------------------------------------
United Kingdom 3.3%
- ---------------------------------------
Spain 3.2%
- ---------------------------------------
Cayman Islands 1.9%
- ---------------------------------------
Quality Breakdown
- ---------------------------------------
AAA 69.3%
- ---------------------------------------
AA 15.0%
- ---------------------------------------
A 5.9%
- ---------------------------------------
BBB 5.0%
- ---------------------------------------
BB 4.2%
- ---------------------------------------
B 0.6%
- ---------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
For the six-month period ended September 30, 1999, the PIMCO Foreign Bond Fund
underperformed the J.P. Morgan Non-U.S. Index (Hedged), with Class A shares
falling 1.85% compared to a decline of 0.41% for the Index. However, the
portfolio has beaten the Lipper International Income Fund Average return over
the 1-, 3-, 5-year and since inception periods ended September 30, 1999.
PIMCO Foreign Bond Fund invests in what we believe to be the safest and
most liquid fixed-income securities outside of the United States. By utilizing
PIMCO's total return approach, the manager aims to deliver a portfolio that is
relatively less volatile than other high yielding, low-quality global bond
funds.
In particular, during the past six months, numerous portfolio strategies
were responsible for the Fund's competitive performance. The Fund's below-Index
duration (interest rate sensitivity) added to returns as interest rates rose
across the globe. Economic data from Europe and Asia continued to improve,
suggesting the emergence of a global recovery. By having a relatively low
duration, the Fund was able to avoid full exposure to the negative effects of
these events.
Certain regional allocations supported the Fund's positive performance.
Emerging market positions aided returns due to their relatively higher yields
and diminished market volatility. Country selection within the dollar bloc was a
slight positive for the portfolio, especially overweight allocation in Australia
and New Zealand--two countries that benefited from low inflation and strong
currencies.
However, other country selection detracted from the Fund's results. Certain
European bloc countries were a slight negative for the Fund. In particular,
emphasis on second round European Monetary Union candidates such as Greece and
Sweden hurt performance as yield premiums widened due to liquidity concerns. An
underweight position in Japan was a negative as Japanese bonds gained, buoyed by
demand from domestic institutional investors.
Going forward, we will continue to target portfolio duration below the
benchmark, particularly in Japan, as improving economic fundamentals lead to
higher interest rates. In core Europe, we will focus on higher yielding
countries such as Spain and Italy, and we will overweight the Euro versus the
U.S. dollar due to improving European economic fundamentals. We will also
maintain a small position in higher-quality emerging market bonds to take
advantage of that region's improving fundamentals.
See page 34 for financial details. 17
<PAGE>
September 30, 1999
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:
10/02/95
TOTAL NET ASSETS:
$42.9 million
PORTFOLIO MANAGER:
Lee Thomas
PIMCO Global Bond Fund II
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/99
<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 -0.15% -4.64% -0.91% -5.62% -1.86% 0.19% 0.67%
3 Years 6.42% 4.80% 5.63% 4.85% 5.62% 3.46% 8.59%
Inception 8.48% 7.23% 7.65% 7.07% 7.64% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO J.P. Morgan
MONTH Global Global Global Global
Bond II A Bond II B Bond II C Index
(Hedged)
<S> <C> <C> <C> <C>
10/31/1995 9,550 10,000 10,000 10,000
11/30/1995 9,869 10,334 10,334 10,191
12/31/1995 10,030 10,502 10,502 10,302
01/31/1996 10,220 10,702 10,702 10,406
02/29/1996 10,026 10,499 10,499 10,257
03/31/1996 10,045 10,512 10,512 10,279
04/30/1996 10,170 10,625 10,625 10,334
05/31/1996 10,162 10,606 10,596 10,373
06/30/1996 10,256 10,677 10,677 10,471
07/31/1996 10,299 10,718 10,718 10,530
08/31/1996 10,552 10,964 10,964 10,614
09/30/1996 10,799 11,214 11,214 10,814
10/31/1996 11,031 11,458 11,448 11,009
11/30/1996 11,303 11,724 11,724 11,215
12/31/1996 11,274 11,697 11,686 11,188
01/31/1997 11,370 11,778 11,778 11,283
02/28/1997 11,448 11,852 11,852 11,334
03/31/1997 11,290 11,681 11,681 11,255
04/30/1997 11,424 11,812 11,812 11,392
05/31/1997 11,514 11,896 11,896 11,468
06/30/1997 11,710 12,092 12,092 11,638
07/31/1997 11,954 12,335 12,335 11,886
08/31/1997 11,910 12,282 12,282 11,844
09/30/1997 12,131 12,502 12,503 12,043
10/31/1997 11,989 12,347 12,348 12,176
11/30/1997 12,074 12,427 12,428 12,254
12/31/1997 12,208 12,558 12,559 12,405
01/31/1998 12,318 12,665 12,664 12,581
02/28/1998 12,389 12,729 12,729 12,632
03/31/1998 12,556 12,893 12,893 12,714
04/30/1998 12,610 12,941 12,941 12,777
05/31/1998 12,677 13,002 13,002 12,936
06/30/1998 12,734 13,053 13,049 13,030
07/31/1998 12,888 13,201 13,197 13,113
08/31/1998 12,750 13,052 13,048 13,412
09/30/1998 13,034 13,337 13,333 13,754
10/31/1998 12,818 13,106 13,102 13,724
11/30/1998 12,986 13,269 13,264 13,821
12/31/1998 13,097 13,373 13,369 13,821
01/31/1999 13,388 13,662 13,658 13,961
02/28/1999 13,182 13,445 13,441 13,774
03/31/1999 13,264 13,520 13,516 13,900
04/30/1999 13,390 13,641 13,636 14,031
05/31/1999 13,184 13,422 13,418 13,947
06/30/1999 13,021 13,249 13,245 13,789
07/31/1999 13,008 13,227 13,223 13,760
08/31/1999 12,948 13,158 13,154 13,775
09/30/1999 13,012 12,915 13,210 13,846
</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 29 for Footnotes, which include additional
details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ---------------------------------------
1 year or less 15%
- ---------------------------------------
1-5 years 36%
- ---------------------------------------
5-10 years 40%
- ---------------------------------------
10-20 years 7%
- ---------------------------------------
20-30 years 2%
- ---------------------------------------
Duration 4.71 years
- ---------------------------------------
Top 10 Countries
- ---------------------------------------
United States 48.8%
- ---------------------------------------
Germany 8.7%
- ---------------------------------------
Supranational 6.1%
- ---------------------------------------
Japan 6.0%
- ---------------------------------------
New Zealand 3.3%
- ---------------------------------------
Denmark 3.1%
- ---------------------------------------
Canada 2.9%
- ---------------------------------------
Spain 2.5%
- ---------------------------------------
United Kingdom 1.9%
- ---------------------------------------
Mexico 1.8%
- ---------------------------------------
Quality Breakdown
- ---------------------------------------
AAA 68.8%
- ---------------------------------------
AA 15.7%
- ---------------------------------------
A 6.0%
- ---------------------------------------
BBB 5.0%
- ---------------------------------------
BB 4.0%
- ---------------------------------------
B 0.5%
- ---------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
For the six-month period ended September 30, 1999, the PIMCO Global Bond Fund II
underperformed the J.P. Morgan Global Index (Hedged), with Class A shares
falling 1.89% compared to a decline of 0.39% for the Index. However, the
portfolio has beaten the Lipper International Income Fund Average return over
the 3-year and since inception periods ended September 30, 1999.
PIMCO Global Bond Fund II invests in what we believe to be the safest and
most liquid fixed-income securities in the world. By utilizing PIMCO's total
return approach, the manager aims to deliver a portfolio that is relatively less
volatile than other high yielding, low-quality global bond funds.
In particular, during the past six months, numerous portfolio strategies
were responsible for the Fund's competitive performance. The Fund's below-Index
duration (interest rate sensitivity) added to returns as interest rates rose
across the globe. Economic data from Europe and Asia continued to improve,
suggesting the emergence of a global recovery. The United States also
experienced rising interest rates due to signs of growing inflation. By having a
relatively low duration, the Fund was able to avoid full exposure to the
negative effects of these events.
Certain regional allocations supported the Fund's positive performance.
Emerging market positions aided returns due to their relatively higher yields
and diminished market volatility. Country selection within the dollar bloc was a
slight positive for the portfolio, especially overweight allocation in Australia
and New Zealand--two countries that benefited from low inflation and strong
currencies.
However, other country selection detracted from the Fund's results. Certain
European bloc countries were a slight negative for the Fund. In particular,
emphasis on second round European Monetary Union candidates such as Greece and
Sweden hurt performance as yield premiums widened due to liquidity concerns. An
underweight position in Japan was a negative as Japanese bonds gained, buoyed by
demand from domestic institutional investors. The portfolio's allocation to U.S.
bonds also dragged down performance due to the rising interest rate trend that
has been evident during much of this year.
Going forward, we will continue to target portfolio duration below the
benchmark, particularly in Japan, as improving economic fundamentals lead to
higher interest rates. In core Europe, we will focus on higher yielding
countries such as Spain and Italy, and we will overweight the Euro versus the
U.S. dollar due to improving European economic fundamentals. We will also
maintain a small position in higher-quality emerging market bonds to take
advantage of that region's improving fundamentals.
18 See page 39 for financial details.
<PAGE>
September 30, 1999
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:
$3.6 billion
PORTFOLIO MANAGER:
Ben Trosky
PIMCO High Yield Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Return For periods ended 9/30/99
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 4.27% -0.42% 3.49% -1.32% 2.53% 4.84% 2.46%
3 years 7.87% 6.22% 7.06% 6.21% 7.07% 5.51% 7.09%
5 years 10.19% 9.18% 9.39% 9.11% 9.40% 8.16% 9.10%
Inception 10.33% 9.59% 9.54% 9.54% 9.54% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO Lehman BB
High Yield High Yield High Yield Int. Corp. Index
MONTH A B C
<S> <C> <C> <C> <C>
12/31/1992 9,550 10,000 10,000 10,000
01/31/1993 9,764 10,218 10,218 10,211
02/28/1993 9,941 10,398 10,398 10,361
03/31/1993 10,138 10,597 10,597 10,478
04/30/1993 10,243 10,700 10,700 10,566
05/31/1993 10,315 10,769 10,769 10,644
06/30/1993 10,592 11,052 11,052 10,870
07/31/1993 10,664 11,120 11,120 10,980
08/31/1993 10,780 11,235 11,235 11,107
09/30/1993 10,831 11,281 11,281 11,188
10/31/1993 11,118 11,573 11,573 11,338
11/30/1993 11,200 11,652 11,652 11,368
12/31/1993 11,293 11,742 11,742 11,465
01/31/1994 11,530 11,981 11,981 11,657
02/28/1994 11,525 11,969 11,969 11,644
03/31/1994 11,177 11,601 11,601 11,288
04/30/1994 11,076 11,489 11,489 11,221
05/31/1994 11,154 11,562 11,562 11,231
06/30/1994 11,166 11,567 11,567 11,265
07/31/1994 11,267 11,666 11,666 11,402
08/31/1994 11,359 11,753 11,753 11,523
09/30/1994 11,434 11,824 11,824 11,544
10/31/1994 11,436 11,819 11,819 11,571
11/30/1994 11,387 11,761 11,761 11,492
12/31/1994 11,520 11,892 11,892 11,563
01/31/1995 11,629 11,997 11,997 11,749
02/28/1995 11,945 12,315 12,315 12,106
03/31/1995 12,115 12,484 12,484 12,220
04/30/1995 12,376 12,746 12,746 12,465
05/31/1995 12,731 13,104 13,104 12,831
06/30/1995 12,832 13,200 13,200 12,944
07/31/1995 13,000 13,365 13,365 13,062
08/31/1995 13,096 13,456 13,456 13,138
09/30/1995 13,275 13,634 13,634 13,280
10/31/1995 13,465 13,822 13,822 13,384
11/30/1995 13,625 13,978 13,978 13,553
12/31/1995 13,852 14,202 14,202 13,767
01/31/1996 14,072 14,419 14,419 13,990
02/29/1996 14,083 14,422 14,422 13,940
03/31/1996 13,968 14,295 14,295 13,867
04/30/1996 14,025 14,345 14,345 13,862
05/31/1996 14,068 14,381 14,381 13,881
06/30/1996 14,122 14,427 14,427 14,031
07/31/1996 14,243 14,542 14,542 14,107
08/31/1996 14,471 14,766 14,766 14,221
09/30/1996 14,804 15,097 15,097 14,527
10/31/1996 14,948 15,236 15,236 14,729
11/30/1996 15,267 15,554 15,554 15,026
12/31/1996 15,416 15,696 15,696 15,059
01/31/1997 15,570 15,837 15,842 15,203
02/28/1997 15,805 16,067 16,071 15,386
03/31/1997 15,593 15,842 15,846 15,203
04/30/1997 15,755 15,997 16,002 15,392
05/31/1997 16,110 16,346 16,351 15,655
06/30/1997 16,343 16,573 16,578 15,857
07/31/1997 16,760 16,984 16,989 16,330
08/31/1997 16,750 16,962 16,967 16,174
09/30/1997 17,026 17,232 17,237 16,428
10/31/1997 17,038 17,232 17,237 16,484
11/30/1997 17,197 17,381 17,387 16,600
12/31/1997 17,386 17,562 17,567 16,752
01/31/1998 17,680 17,847 17,852 16,953
02/28/1998 17,770 17,927 17,932 17,031
03/31/1998 17,903 18,051 18,056 17,140
04/30/1998 17,943 18,080 18,085 17,228
05/31/1998 18,029 18,156 18,161 17,340
06/30/1998 18,157 18,272 18,279 17,446
07/31/1998 18,344 18,447 18,454 17,536
08/31/1998 17,603 17,691 17,698 17,052
09/30/1998 17,821 17,898 17,905 17,414
10/31/1998 17,639 17,705 17,712 17,191
11/30/1998 18,378 18,436 18,443 17,603
12/31/1998 18,452 18,497 18,504 17,714
01/31/1999 18,690 18,724 18,731 17,897
02/28/1999 18,531 18,554 18,561 17,764
03/31/1999 18,679 18,689 18,697 17,892
04/30/1999 18,985 18,984 18,992 18,075
05/31/1999 18,617 18,605 18,612 17,856
06/30/1999 18,608 18,584 18,592 17,815
07/31/1999 18,652 18,618 18,625 17,883
08/31/1999 18,574 18,528 18,536 17,770
09/30/1999 18,580 18,523 18,530 17,843
</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 29 for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ---------------------------------------
1 year or less 10%
- ---------------------------------------
1-5 years 20%
- ---------------------------------------
5-10 years 64%
- ---------------------------------------
10-20 years 4%
- ---------------------------------------
20-30 years 2%
- ---------------------------------------
Duration 4.48 years
- ---------------------------------------
Sector Breakdown
- ---------------------------------------
Corporate Bonds & Notes 86.2%
- ---------------------------------------
Asset-Backed Securities 4.2%
- ---------------------------------------
Other 9.6%
- ---------------------------------------
Quality Breakdown
- ---------------------------------------
AAA 1.2%
- ---------------------------------------
AA 0.2%
- ---------------------------------------
A 1.4%
- ---------------------------------------
BBB 11.7%
- ---------------------------------------
BB 49.4%
- ---------------------------------------
B 36.1%
- ---------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
For the six-month period ended September 30, 1999, the PIMCO High Yield Fund
underperformed the Lehman BB Intermediate Corporate Index, with Class A shares
falling 0.52% compared to a decline of 0.28% for the Index. However, the
portfolio has beaten its benchmark over the 1-, 3-, 5-year and since inception
periods ended September 30, 1999.
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. This strategy assisted
returns as much of the high yield market suffered losses due to investor concern
about economic growth and corporate profits. There was increased uneasiness
about the volatility associated with both the bond and stock markets, and our
relatively conservative portfolio provided some shelter from the storm.
This is not to say that all investment strategies had a positive effect on
the Fund. The portfolio's weighting in single-B bonds detracted from performance
as they underperformed the more conservative BB benchmark. And a longer-than-
benchmark duration (sensitivity to interest rates) hindered returns since bond
prices declined during the trailing six months as interest rates rose.
However, we were able to mitigate some of the negative effects of the
above- mentioned positions, thanks mostly to our focus on higher quality. In
particular, during the last six months, the manager's preference for senior-
secured bonds was a positive as more speculative unsecured issues performed
poorly. Exposure to the utility and independent-power producer industry also
helped returns as this conservative sector benefited from investor uneasiness.
And holdings of collateralized energy bonds gained as a result of both a
turnaround in the oil and natural gas sectors and an increased investor
preference for secured bonds.
A small allocation to emerging market and European issues contributed to
the Fund's performance as these issues benefited from the recovery in emerging
markets and infrastructure development in Europe.
Going forward, the manager expects to keep average portfolio quality higher
than the benchmark given moderating economic growth and high leverage. Defensive
holdings, such as utilities, publishing and certain telecommunications sectors,
will continue to play an important part in the portfolio. These areas offer more
value given that the additional yield paid by more aggressive sectors does not
adequately compensate for default and downgrade risks.
See page 44 for financial details. 19
<PAGE>
September 30, 1999
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Primarily longer-term U.S. Government securities.
DURATION RANGE:
Greater than or equal to 8 years
FUND INCEPTION DATE:
7/01/91
Total Net Assets:
$420.1 million
Portfolio Manager:
Pasi Hamaleinen
PIMCO Long-Term U.S. Government Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/99
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Gen Lehman Lehman Lehman
U.S. Govt. Long-Term Int. & 20+ Agg. Bond
Adjusted Adjusted Adjusted Fund Avg. Treas. Index Treas. Index Index
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 year -8.29% -12.42% -8.99% -13.15% -9.81% -2.66% -7.68% -6.67% -0.37%
3 years 8.55% 6.89% 7.70% 6.84% 7.74% 5.75% 8.46% 8.24% 6.82%
5 years 10.01% 9.00% 9.17% 8.89% 9.20% 6.70% 9.93% 9.72% 7.84%
Inception 10.53% 9.92% 9.84% 9.84% 9.74% -- -- -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
<TABLE>
PIMCO PIMCO PIMCO Lehman Lehman Lehman Bros.
Long-Term Long-Term Long-Term Long-Term Treasury Int. &20+ Treas. Agg. Bond
A B C Index Index Index
<S> <C> <C> <C> <C> <C> <C>
MONTH
06/30/1991 9,550 10,000 10,000 10,000 10,000 10,000
07/31/1991 9,678 10,128 10,128 10,149 10,157 10,139
08/31/1991 10,051 10,511 10,511 10,499 10,508 10,358
09/30/1991 10,385 10,855 10,855 10,830 10,831 10,568
10/31/1991 10,435 10,900 10,900 10,854 10,848 10,686
11/30/1991 10,572 11,037 11,037 10,914 10,900 10,784
12/31/1991 11,265 11,755 11,755 11,565 11,550 11,104
01/31/1992 10,944 11,413 11,413 11,202 11,191 10,953
02/29/1992 10,997 11,462 11,462 11,268 11,250 11,024
03/31/1992 10,958 11,416 11,416 11,144 11,126 10,962
04/30/1992 10,901 11,350 11,350 11,133 11,102 11,041
05/31/1992 11,287 11,745 11,745 11,442 11,414 11,249
06/30/1992 11,447 11,906 11,906 11,608 11,564 11,404
07/31/1992 11,986 12,458 12,458 12,091 12,046 11,637
08/31/1992 12,223 12,697 12,697 12,175 12,123 11,755
09/30/1992 12,436 12,911 12,911 12,367 12,300 11,894
10/31/1992 12,123 12,579 12,579 12,107 12,046 11,736
11/30/1992 12,247 12,701 12,701 12,153 12,112 11,739
12/31/1992 12,567 13,025 13,025 12,486 12,443 11,926
01/31/1993 12,898 13,361 13,361 12,842 12,777 12,154
02/28/1993 13,413 13,886 13,886 13,271 13,187 12,367
03/31/1993 13,482 13,948 13,948 13,304 13,217 12,419
04/30/1993 13,583 14,046 14,046 13,407 13,315 12,505
05/31/1993 13,632 14,088 14,088 13,451 13,371 12,521
06/30/1993 14,304 14,776 14,776 14,020 13,901 12,748
07/31/1993 14,508 14,978 14,978 14,246 14,133 12,820
08/31/1993 15,058 15,538 15,538 14,818 14,663 13,045
09/30/1993 15,103 15,577 15,577 14,870 14,703 13,081
10/31/1993 15,177 15,644 15,644 14,977 14,809 13,130
11/30/1993 14,761 15,208 15,208 14,594 14,468 13,018
12/31/1993 14,856 15,296 15,296 14,640 14,505 13,088
01/31/1994 15,191 15,632 15,632 14,992 14,828 13,265
02/28/1994 14,593 15,009 15,009 14,377 14,253 13,035
03/31/1994 13,995 14,383 14,383 13,746 13,651 12,713
04/30/1994 13,751 14,124 14,124 13,584 13,488 12,612
05/31/1994 13,703 14,066 14,066 13,494 13,388 12,610
06/30/1994 13,619 13,972 13,972 13,366 13,259 12,582
07/31/1994 13,953 14,304 14,304 13,819 13,722 12,832
08/31/1994 13,980 14,321 14,321 13,717 13,605 12,848
09/30/1994 13,539 13,860 13,860 13,285 13,161 12,659
10/31/1994 13,446 13,755 13,755 13,238 13,119 12,648
11/30/1994 13,400 13,700 13,700 13,316 13,203 12,620
12/31/1994 13,702 13,999 13,999 13,521 13,411 12,707
01/31/1995 14,055 14,350 14,350 13,869 13,767 12,958
02/28/1995 14,537 14,833 14,833 14,263 14,141 13,266
03/31/1995 14,701 14,992 14,992 14,385 14,269 13,348
04/30/1995 14,948 15,235 15,235 14,641 14,517 13,534
05/31/1995 16,089 16,387 16,387 15,764 15,584 14,058
06/30/1995 16,268 16,561 16,561 15,947 15,759 14,161
07/31/1995 15,981 16,259 16,259 15,692 15,518 14,129
08/31/1995 16,338 16,612 16,612 16,041 15,849 14,300
09/30/1995 16,686 16,956 16,956 16,336 16,128 14,439
10/31/1995 17,091 17,359 17,359 16,793 16,558 14,627
11/30/1995 17,506 17,771 17,771 17,213 16,942 14,846
12/31/1995 17,960 18,220 18,220 17,671 17,364 15,054
01/31/1996 17,983 18,233 18,233 17,671 17,376 15,154
02/29/1996 17,140 17,369 17,369 16,817 16,586 14,891
03/31/1996 16,819 17,034 17,034 16,483 16,271 14,787
04/30/1996 16,441 16,640 16,640 16,207 16,014 14,704
05/31/1996 16,457 16,645 16,645 16,123 15,939 14,674
06/30/1996 16,783 16,963 16,963 16,467 16,268 14,871
07/31/1996 16,723 16,892 16,892 16,473 16,274 14,912
08/31/1996 16,601 16,758 16,758 16,267 16,072 14,887
09/30/1996 17,057 17,208 17,208 16,716 16,505 15,146
10/31/1996 17,784 17,929 17,929 17,373 17,133 15,482
11/30/1996 18,447 18,587 18,587 17,953 17,667 15,747
12/31/1996 18,017 18,142 18,142 17,517 17,263 15,601
01/31/1997 17,924 18,026 18,043 17,393 17,139 15,648
02/28/1997 17,959 18,050 18,068 17,400 17,146 15,687
03/31/1997 17,507 17,586 17,602 16,954 16,721 15,514
04/30/1997 17,897 17,966 17,980 17,363 17,115 15,746
05/31/1997 18,103 18,161 18,176 17,557 17,304 15,895
06/30/1997 18,454 18,503 18,518 17,896 17,633 16,083
07/31/1997 19,473 19,513 19,527 18,947 18,618 16,517
08/31/1997 18,976 19,002 19,017 18,420 18,136 16,376
09/30/1997 19,466 19,481 19,497 18,927 18,608 16,618
10/31/1997 20,122 20,124 20,140 19,564 19,198 16,859
11/30/1997 20,307 20,295 20,313 19,825 19,443 16,936
12/31/1997 20,648 20,621 20,640 20,158 19,747 17,107
01/31/1998 21,026 20,984 21,003 20,567 20,129 17,326
02/28/1998 20,877 20,823 20,842 20,419 19,999 17,313
03/31/1998 20,971 20,904 20,923 20,462 20,043 17,373
04/30/1998 21,084 21,004 21,023 20,537 20,117 17,464
05/31/1998 21,487 21,393 21,412 20,930 20,475 17,629
06/30/1998 21,983 21,874 21,892 21,415 20,919 17,779
07/31/1998 21,961 21,852 21,855 21,325 20,845 17,817
08/31/1998 22,881 22,768 22,757 22,287 21,704 18,107
09/30/1998 23,801 23,683 23,643 23,103 22,427 18,531
10/31/1998 23,149 23,034 22,981 22,754 22,155 18,433
11/30/1998 23,230 23,115 23,043 22,929 22,281 18,537
12/31/1998 23,337 23,221 23,133 22,881 22,265 18,593
01/31/1999 23,507 23,391 23,290 23,087 22,448 18,726
02/28/1999 22,435 22,324 22,214 21,951 21,442 18,399
03/31/1999 22,521 22,409 22,285 21,900 21,406 18,501
04/30/1999 22,548 22,436 22,296 21,931 21,433 18,559
05/31/1999 22,135 22,025 21,875 21,587 21,136 18,397
06/30/1999 21,922 21,814 21,652 21,358 20,940 18,338
07/31/1999 21,789 21,681 21,504 21,255 20,847 18,260
08/31/1999 21,612 21,505 21,317 21,173 20,779 18,251
09/30/1999 21,828 21,720 21,518 21,329 20,931 18,463
</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. In future periodic reports, we
will not compare the Fund's performance to the Lehman Brothers Intermediate &
20+ Year Treasury Index since the Lehman Brothers Intermediate & 20+ Year
Treasury Index is not a long-term U.S. Government index. See page 29 for
Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ---------------------------------------
1-5 years 14%
- ---------------------------------------
5-10 years 9%
- ---------------------------------------
10-20 years 45%
- ---------------------------------------
20-30 years 32%
- ---------------------------------------
Duration 11.39 years
- ---------------------------------------
Sector Breakdown
- ---------------------------------------
Mortgage-Backed Securities 52.5%
- ---------------------------------------
U.S. Treasury Obligations 38.3%
- ---------------------------------------
Other 9.2%
- ---------------------------------------
Quality Breakdown
- ---------------------------------------
AAA 96.9%
- ---------------------------------------
AA 2.2%
- ---------------------------------------
A 0.9%
- ---------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
PIMCO Long-Term U.S. Government Fund seeks maximum total return by investing a
majority of its assets in longer-term U.S. government securities, which
represent the worldwide standard of credit safety. In addition, the Fund is
managed from a long-term perspective (8+ year average duration).
In what has been a difficult time for the bond market, PIMCO Long-Term U.S.
Government Fund posted weak results for the six-month period ended September 30,
1999 as Class A shares fell 3.08%. This performance slightly lagged the Lehman
Long-Term Treasury Index, which declined 2.61%. Over the long term the Fund has
had better results. For the since inception period ended September 30, 1999, the
Fund has returned 10.53% outperforming the Lehman Long-Term Treasury Index,
which returned 9.61%.
Inflation concerns pushed interest rates higher during the past two
quarters. The Federal Reserve hiked interest rates in June and again in August,
but turned neutral saying that threat of higher inflation should "markedly
diminish" in the coming months. However, the bond market remained unsettled as a
weakening in the dollar threatened to drive up import prices and renew inflation
fears.
The Fund continued to de-emphasize investment grade corporate debt
securities, which underperformed Treasuries as credit risk premiums widened due
to greater investor concern over credit quality. This aided relative
performance. In addition, the duration of the portfolio was kept below the
benchmark, which helped lessen the portfolio's sensitivity to rising interest
rates.
But because the Fund's long-term perspective mandates a duration far in
excess of shorter-term offerings, the Fund underperformed due to the significant
increases in interest rates over the past six months. The Fund's allocation to
intermediate maturity securities also detracted from relative returns as that
area of the yield curve increased the most.
Looking ahead, we believe the economy will expand more slowly as higher
borrowing costs for individuals and companies temper growth in consumer and
investment spending. While we expect inflation to remain benign over the longer
term, the inflation rate will likely trend somewhat higher over the next several
months.
As a result, the manager will target duration modestly below the benchmark
and focus on strategies that will enhance yield. For example, the manager will
likely emphasize mortgages, which in our view offer attractive yields with
minimal additional credit risk. Investment grade corporate bonds will continue
to be underweighted, as they could face adverse price performance if credit
quality deteriorates as the economy slows. Our commitment to quality and our
long-term perspective should help us identify profitable opportunities in the
bond market going forward.
20 See page 49 for financial details.
<PAGE>
September 30, 1999
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
TOTAL NET ASSETS:
$4.6 billion
FUND INCEPTION DATE:
5/11/87
PORTFOLIO MANAGER:
Bill Gross
PIMCO Low Duration Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/99
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Shrt. Inv. Merrill Lynch
Grade Debt Fund 1-3 yr. Treas.
Adjusted Adjusted Adjusted Average Index
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 2.50% -0.58% 1.73% -3.08% 1.03% 2.69% 3.23%
5 years 6.52% 5.87% 5.72% 5.40% 6.00% 5.79% 6.38%
10 years 7.13% 6.80% 6.56% 6.56% 6.60% 6.56% 6.83%
Inception 7.38% 7.12% 6.93% 6.93% 6.86% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO Merrill
MONTH Low Duration Low Duration Low Duration Lynch 1-3 yr.
A B C Treas. Index
<S> <C> <C> <C> <C>
05/31/1987 9,700 10,000 10,000 10,000
06/30/1987 9,786 10,083 10,085 10,109
07/31/1987 9,819 10,109 10,114 10,158
08/31/1987 9,813 10,097 10,104 10,167
09/30/1987 9,785 10,063 10,072 10,127
10/31/1987 9,940 10,215 10,227 10,351
11/30/1987 10,048 10,320 10,334 10,414
12/31/1987 10,103 10,370 10,387 10,480
01/31/1988 10,266 10,531 10,550 10,648
02/29/1988 10,337 10,598 10,619 10,735
03/31/1988 10,398 10,653 10,677 10,756
04/30/1988 10,437 10,687 10,713 10,772
05/31/1988 10,457 10,700 10,728 10,756
06/30/1988 10,551 10,788 10,821 10,868
07/31/1988 10,603 10,835 10,869 10,876
08/31/1988 10,641 10,867 10,904 10,899
09/30/1988 10,735 10,956 10,996 11,026
10/31/1988 10,830 11,046 11,088 11,136
11/30/1988 10,840 11,050 11,094 11,106
12/31/1988 10,884 11,087 11,134 11,132
01/31/1989 10,970 11,168 11,217 11,219
02/28/1989 10,983 11,175 11,226 11,219
03/31/1989 11,021 11,206 11,260 11,270
04/30/1989 11,147 11,327 11,384 11,443
05/31/1989 11,372 11,548 11,608 11,614
06/30/1989 11,615 11,788 11,852 11,831
07/31/1989 11,781 11,948 12,015 12,006
08/31/1989 11,723 11,882 11,950 11,932
09/30/1989 11,778 11,929 12,000 12,003
10/31/1989 11,928 12,075 12,149 12,184
11/30/1989 12,032 12,172 12,250 12,299
12/31/1989 12,089 12,222 12,303 12,348
01/31/1990 12,077 12,202 12,284 12,358
02/28/1990 12,155 12,274 12,359 12,416
03/31/1990 12,216 12,328 12,416 12,457
04/30/1990 12,204 12,308 12,399 12,482
05/31/1990 12,405 12,502 12,597 12,673
06/30/1990 12,534 12,625 12,723 12,806
07/31/1990 12,667 12,750 12,853 12,966
08/31/1990 12,687 12,761 12,867 13,005
09/30/1990 12,752 12,819 12,927 13,111
10/31/1990 12,840 12,898 13,010 13,255
11/30/1990 12,988 13,039 13,155 13,386
12/31/1990 13,123 13,167 13,286 13,548
01/31/1991 13,238 13,275 13,398 13,672
02/28/1991 13,339 13,367 13,494 13,754
03/31/1991 13,447 13,468 13,598 13,846
04/30/1991 13,605 13,619 13,753 13,977
05/31/1991 13,706 13,711 13,849 14,062
06/30/1991 13,788 13,785 13,927 14,119
07/31/1991 13,936 13,924 14,070 14,242
08/31/1991 14,130 14,110 14,260 14,437
09/30/1991 14,309 14,280 14,436 14,593
10/31/1991 14,428 14,390 14,550 14,750
11/30/1991 14,578 14,531 14,695 14,903
12/31/1991 14,817 14,761 14,930 15,131
01/31/1992 14,824 14,759 14,932 15,107
02/29/1992 14,893 14,818 14,995 15,160
03/31/1992 14,895 14,813 14,992 15,154
04/30/1992 14,995 14,903 15,086 15,293
05/31/1992 15,142 15,040 15,228 15,432
06/30/1992 15,279 15,166 15,359 15,590
07/31/1992 15,476 15,353 15,551 15,765
08/31/1992 15,573 15,440 15,643 15,903
09/30/1992 15,723 15,579 15,786 16,055
10/31/1992 15,723 15,568 15,780 15,959
11/30/1992 15,726 15,562 15,777 15,933
12/31/1992 15,885 15,710 15,930 16,084
01/31/1993 16,029 15,842 16,067 16,251
02/28/1993 16,213 16,015 16,245 16,390
03/31/1993 16,299 16,090 16,325 16,439
04/30/1993 16,371 16,151 16,390 16,541
05/31/1993 16,384 16,154 16,397 16,495
06/30/1993 16,541 16,300 16,548 16,616
07/31/1993 16,593 16,339 16,591 16,655
08/31/1993 16,749 16,483 16,740 16,800
09/30/1993 16,807 16,530 16,792 16,855
10/31/1993 16,917 16,628 16,894 16,888
11/30/1993 16,927 16,628 16,898 16,892
12/31/1993 17,040 16,728 17,002 16,954
01/31/1994 17,127 16,801 17,081 17,063
02/28/1994 17,047 16,714 16,995 16,954
03/31/1994 16,966 16,624 16,907 16,870
04/30/1994 16,904 16,552 16,838 16,810
05/31/1994 16,878 16,517 16,806 16,834
06/30/1994 16,907 16,546 16,827 16,884
07/31/1994 17,057 16,693 16,970 17,029
08/31/1994 17,124 16,758 17,028 17,089
09/30/1994 17,091 16,726 16,989 17,050
10/31/1994 17,083 16,718 16,974 17,088
11/30/1994 17,080 16,714 16,964 17,012
12/31/1994 17,064 16,699 16,942 17,050
01/31/1995 17,216 16,848 17,086 17,288
02/28/1995 17,426 17,053 17,287 17,525
03/31/1995 17,491 17,117 17,344 17,623
04/30/1995 17,704 17,325 17,547 17,780
05/31/1995 18,019 17,634 17,852 18,091
06/30/1995 18,106 17,718 17,931 18,188
07/31/1995 18,106 17,718 17,924 18,263
08/31/1995 18,296 17,904 18,105 18,372
09/30/1995 18,453 18,058 18,253 18,461
10/31/1995 18,584 18,187 18,376 18,617
11/30/1995 18,794 18,392 18,576 18,782
12/31/1995 19,010 18,604 18,782 18,926
01/31/1996 19,143 18,734 18,906 19,087
02/29/1996 19,013 18,607 18,770 19,006
03/31/1996 18,998 18,592 18,747 18,989
04/30/1996 18,998 18,592 18,740 19,005
05/31/1996 19,009 18,603 18,744 19,044
06/30/1996 19,196 18,785 18,920 19,181
07/31/1996 19,253 18,841 18,969 19,256
08/31/1996 19,342 18,928 19,047 19,323
09/30/1996 19,609 19,189 19,302 19,498
10/31/1996 19,883 19,458 19,565 19,717
11/30/1996 20,144 19,713 19,813 19,868
12/31/1996 20,081 19,652 19,744 19,868
01/31/1997 20,242 19,809 19,896 19,962
02/28/1997 20,317 19,882 19,961 20,007
03/31/1997 20,227 19,795 19,866 20,000
04/30/1997 20,466 20,028 20,092 20,163
05/31/1997 20,630 20,189 20,245 20,301
06/30/1997 20,784 20,340 20,388 20,440
07/31/1997 21,113 20,661 20,700 20,665
08/31/1997 21,094 20,643 20,671 20,684
09/30/1997 21,271 20,816 20,837 20,841
10/31/1997 21,420 20,962 20,976 20,996
11/30/1997 21,476 21,016 21,029 21,047
12/31/1997 21,632 21,170 21,176 21,191
01/31/1998 21,790 21,324 21,320 21,396
02/28/1998 21,858 21,390 21,378 21,415
03/31/1998 21,943 21,474 21,452 21,502
04/30/1998 22,055 21,583 21,553 21,603
05/31/1998 22,187 21,713 21,674 21,718
06/30/1998 22,234 21,759 21,709 21,831
07/31/1998 22,332 21,854 21,793 21,933
08/31/1998 22,412 21,933 21,863 22,209
09/30/1998 22,860 22,372 22,291 22,503
10/31/1998 22,817 22,329 22,240 22,613
11/30/1998 22,942 22,452 22,354 22,594
12/31/1998 23,075 22,582 22,472 22,673
01/31/1999 23,170 22,675 22,555 22,763
02/28/1999 23,040 22,548 22,420 22,652
03/31/1999 23,229 22,733 22,595 22,810
04/30/1999 23,343 22,844 22,694 22,883
05/31/1999 23,261 22,764 22,606 22,868
06/30/1999 23,266 22,769 22,599 22,940
07/31/1999 23,259 22,762 22,583 23,012
08/31/1999 23,266 22,769 22,581 23,079
09/30/1999 23,431 22,930 22,732 23,229
</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 29 for Footnotes,
which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ---------------------------------------
1 year or less 28%
- ---------------------------------------
1-5 years 61%
- ---------------------------------------
5-10 years 11%
- ---------------------------------------
Duration 2.15 years
- ---------------------------------------
Sector Breakdown
- ---------------------------------------
Corporate Bonds & Notes 41.1%
- ---------------------------------------
Mortgage-Backed Securities 35.1%
- ---------------------------------------
U.S. Treasury Obligations 8.3%
- ---------------------------------------
Asset-Backed Securities 5.2%
- ---------------------------------------
Other 10.3%
- ---------------------------------------
Quality Breakdown
- ---------------------------------------
AAA 50.8%
- ---------------------------------------
AA 9.9%
- ---------------------------------------
A 18.3%
- ---------------------------------------
BBB 14.0%
- ---------------------------------------
BB 6.5%
- ---------------------------------------
B 0.5%
- ---------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
PIMCO Low Duration Fund invests in a diversified portfolio of fixed-income
securities with an average duration between 1-3 years. The Fund currently has an
average quality of AA- and an average duration of 2.15 years. For the six-month
period ended September 30, 1999, the Fund underperformed the Merrill Lynch 1-3
year Treasury Index, with Class A shares returning 0.87% compared to 1.84% for
the Index.
However, over the long-term the Fund has managed to outperform, ranking
first in the Lipper Short Investment Grade Debt Fund Average over the last
3-,10-year and since-inception periods.
Historically, the Fund's duration has been longer than the benchmark to
take advantage of the higher yields of longer-maturity securities. As a result,
in the declining interest rate environment of the past few years, Low Duration
has been able to substantially outperform. Yet in 1999, a longer duration has
negatively affected the Fund due to rising short-term interest rates. An
expanding U.S. economy, fueled by robust growth in consumer spending, drove
interest rates on short-term bonds higher during most of the year. Resulting
concern about Federal Reserve tightening brought bond prices lower. Yet we do
not foresee this trend continuing, and we will continue to maintain an above-
benchmark duration.
Our weight in high quality corporates was a slight drag on performance. The
lower-quality section of this market was helped by U.S. growth, as the
possibility of default was decreased in the expanding economic environment, and
the higher yields these bonds paid boosted their overall total return. We
believe this trend will not continue and believe our focus on high credit
quality will succeed.
The Fund's focus on mortgage-backed securities aided performance as these
bonds benefited from rising interest rates. This trend eased supply pressures
and reduced the incentive for homeowners to prepay their mortgages, enabling the
Fund to hold on to these higher-yielding bonds for a longer time period.
Strategically, we will continue to take advantage of the higher yields
offered by going out slightly on the yield curve. We believe domestic expansion
will continue, albeit at a more moderate pace, and interest rate volatility will
decline.
See page 52 for financial details. 21
<PAGE>
September 30, 1999
OBJECTIVE:
Maximum current income, consistent with preservation of capital and daily
liquidity.
FUND INCEPTION DATE:
3/01/91
Total Net Assets:
$488.6 million
PORTFOLIO MANAGER:
Leslie Barbi
PIMCO Money Market Fund
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/99
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Money Salomon
Market Fund 3 Mo. T-Bill Lipper Money
Average Index Market Index
<S> <C> <C> <C> <C> <C> <C>
1 year 4.50% 3.72% 4.56% 4.41% 4.63% 4.55%
3 years 4.84% 3.99% 4.89% 4.77% 5.03% 4.94%
5 years 5.07% 4.18% 5.10% 4.95% 5.21% 5.06%
Inception 4.42% 3.52% 4.44% -- -- --
</TABLE>
7-Day Yields
A Shares B Shares C Shares
- ----------------------------------------------------------------
As of 9/30/99 4.93% 3.96% 4.89%
As of 3/31/99 4.36% 3.52% 4.40%
As of 9/30/98 5.17% 4.17% 5.14%
*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. Yields are calculated in
accordance with the current Securities and Exchange Commission regulations. In
future periodic reports, we will not compare the Fund's performance to the
Lipper Money Market Index since the Lipper Money Market Index is not a money
market Index. See page 29 for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ---------------------------------------
1 year or less 100%
- ---------------------------------------
Duration: 18 days
Sector Breakdown
- ---------------------------------------
Short-Term Instruments 100.0%
- ---------------------------------------
Quality Breakdown
- ---------------------------------------
AAA 68.4%
- ---------------------------------------
AA 28.7%
- ---------------------------------------
A 2.9%
- ---------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
PIMCO Money Market Fund seeks current income consistent with capital
preservation and liquidity through investment in short-term, fixed-income
securities.
For the six-month period ended September 30, 1999, the Money Market Fund
slightly underperformed its benchmark, the Salomon 3-Month Treasury Bill Index,
with Class A shares returned 2.24% compared 2.32% for the Index. However, the
portfolio has beaten the Lipper Money Market Fund Average over the 1-, 3- and 5-
year periods ended September 30, 1999. The SEC 7-day and 30-day yields for the
Fund were 4.88% and 4.83%, respectively, as of September 30, 1999.
The Fund, which has an Aaa money market fund rating by Moodys Investors
Service, emphasizes high quality commercial paper, shorter-term Agency and high
quality corporate debt issues because of their strong liquidity, attractive
yields and limited credit risk. Yields for high quality three-month commercial
paper rose by 50 basis points over the past six months, reflecting the two
short-term interest rate increases by the Federal Reserve. Relative to similar
maturity Treasuries, commercial paper spreads widened by approximately 0.70% at
the end of September, reflecting a general trend of widening credit risk
premiums for corporate debt issues.
Looking ahead, the Fund's manager will continue to emphasize liquid, high-
quality commercial paper, which offers higher yields than Treasuries with
minimal additional risk. The Fund will continue to have an average maturity of
37 days, as the additional yield obtained from holding longer maturities is
minimal.
22 See page 59 for financial details.
<PAGE>
September 30, 1999
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:
$55.5 million
PORTFOLIO MANAGER:
Ben Ehlert
PIMCO Municipal Bond Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/99
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Lehman Bros.
Gen. Municipal Municipal Bond
Adjusted Adjusted Adjusted Debt. Fund Avg. Index
<S> <C> <C> <C> <C> <C> <C> <C>
1 year -2.73% -5.65% -3.46% -8.12% -4.15% -3.07% -0.70%
Inception 1.54% -0.22% 0.78% -1.42% 1.03% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO Lahman Bros.
MONTH Municipal Municipal Municipal Municipal
Bond A Bond B Bond C Bond Index
<S> <C> <C> <C> <C>
12/31/1997 9,700 10,000 10,000 10,000
01/31/1998 9,812 10,108 10,110 10,103
02/28/1998 9,763 10,052 10,056 10,106
03/31/1998 9,768 10,051 10,057 10,115
04/30/1998 9,700 9,976 9,984 10,070
05/31/1998 9,890 10,164 10,174 10,229
06/30/1998 9,921 10,188 10,201 10,269
07/31/1998 9,928 10,189 10,205 10,294
08/31/1998 10,109 10,369 10,388 10,454
09/30/1998 10,242 10,499 10,520 10,585
10/31/1998 10,218 10,467 10,491 10,585
11/30/1998 10,242 10,485 10,511 10,622
12/31/1998 10,251 10,487 10,516 10,648
01/31/1999 10,384 10,617 10,648 10,775
02/28/1999 10,316 10,541 10,572 10,727
03/31/1999 10,322 10,541 10,575 10,742
04/30/1999 10,338 10,551 10,587 10,769
05/31/1999 10,260 10,465 10,503 10,707
06/30/1999 10,070 10,264 10,303 10,553
07/31/1999 10,088 10,275 10,316 10,591
08/31/1999 9,979 10,158 10,201 10,506
09/30/1999 9,963 9,754 10,180 10,510
</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 29 for
Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ---------------------------------------
1 year or less 1%
- ---------------------------------------
1-5 years 18%
- ---------------------------------------
5-10 years 40%
- ---------------------------------------
10-20 years 35%
- ---------------------------------------
20-30 years 6%
- ---------------------------------------
Duration 7.82 years
- ---------------------------------------
Sector Breakdown
- ---------------------------------------
Municipal Bonds & Notes 99.8%
- ---------------------------------------
Other 0.2%
- ---------------------------------------
Quality Breakdown
- ---------------------------------------
AAA 47.7%
- ---------------------------------------
AA 15.4%
- ---------------------------------------
A 18.9%
- ---------------------------------------
BBB 10.7%
- ---------------------------------------
BB 7.3%
- ---------------------------------------
- --------------------------------------------------------------------------------
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.
For the six-month period ended September 30, 1999, the PIMCO Municipal Bond
Fund's Class A shares fell 3.48%, underperforming the Lehman Municipal Bond
Index, which fell 2.16% for the same time period.
Inflation concerns pushed interest rates higher during the second quarter.
And although interest rates were only slightly higher after the third quarter,
yields fluctuated wildly. The Federal Reserve hiked interest rates in June and
again in August but turned neutral, saying that threat of higher inflation
should "markedly diminish" in the coming months. However, the bond market
remained unsettled as a weakening in the dollar threatened to drive up import
prices and renew inflation fears.
In response, municipal bond yields rose dramatically along the intermediate
and long-term portions of the yield curve, reaching three-year highs by the end
of September.
As a result, municipal bond price performance was negatively affected. The
Fund's duration (sensitivity to changes in interest rates) was kept above the
benchmark duration, which hurt relative returns as municipal yields rose.
The Fund's position in general obligation bonds helped performance as these
bonds were among the best performing segments of the municipal market over the
past six months.
Looking ahead, we believe the economy will expand more slowly as higher
borrowing costs for individuals and companies temper growth in consumer and
investment spending. While we expect inflation to remain benign over the longer
term, the inflation rate will likely trend somewhat higher over the next several
months.
Going forward, duration will be kept near the benchmark. Intermediate
maturity securities will be overweighted, because they have firmer investor
support and are likely to have less volatility than longer maturity instruments
in our view. The manager will continue to stress a high quality portfolio in an
effort to offer above-average returns with below-average risk.
See page 60 for financial details. 23
<PAGE>
September 30, 1999
OBJECTIVE:
Maximum real return, consistent with preservation of real capital and prudent
investment management.
PORTFOLIO:
Primarily inflation-indexed bonds.
TOTAL NET ASSETS:
$117.8 million
FUND INCEPTION DATE:
1/29/97
PORTFOLIO MANAGER:
John Brynjolfsson
PIMCO Real Return Bond Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Return For periods ended 9/30/99
A Shares B Shares C Shares Lipper Short Lehman Bros.
U.S. Govt. Inflation Linked
Adjusted Adjusted Adjusted Fund Avg. Treas. Index
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 4.84% 1.69% 4.09% -0.86% 3.33% 2.44% 1.86%
Inception 5.05% 3.86% 4.29% 3.26% 4.52% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
<TABLE>
<CAPTION>
Lehman Bros.
PIMCO PIMCO PIMCO Infl. Linked
MONTH Real Return A Real Return B Real Return C Treas. Index
<S> <C> <C> <C> <C>
01/31/1997 9,700 10,000 10,000 10,000
02/28/1997 9,735 10,029 10,032 10,033
03/31/1997 9,651 9,927 9,928 9,896
04/30/1997 9,698 9,978 9,977 9,956
05/31/1997 9,750 10,028 10,027 10,010
06/30/1997 9,726 9,997 9,996 9,978
07/31/1997 9,841 10,110 10,108 10,072
08/31/1997 9,858 10,121 10,124 10,103
09/30/1997 9,874 10,131 10,142 10,123
10/31/1997 9,995 10,249 10,263 10,227
11/30/1997 10,044 10,293 10,309 10,284
12/31/1997 9,989 10,230 10,249 10,241
01/31/1998 10,044 10,280 10,301 10,291
02/28/1998 10,030 10,260 10,282 10,282
03/31/1998 10,047 10,274 10,298 10,277
04/30/1998 10,097 10,318 10,344 10,315
05/31/1998 10,135 10,350 10,379 10,388
06/30/1998 10,167 10,376 10,407 10,414
07/31/1998 10,242 10,446 10,479 10,463
08/31/1998 10,246 10,444 10,479 10,486
09/30/1998 10,481 10,676 10,715 10,697
10/31/1998 10,533 10,722 10,763 10,721
11/30/1998 10,514 10,697 10,739 10,710
12/31/1998 10,466 10,640 10,685 10,646
01/31/1999 10,617 10,787 10,834 10,769
02/28/1999 10,589 10,752 10,802 10,693
03/31/1999 10,649 10,806 10,859 10,689
04/30/1999 10,822 10,973 11,029 10,760
05/31/1999 10,897 11,043 11,101 10,834
06/30/1999 10,879 11,018 11,079 10,841
07/31/1999 10,894 11,029 11,090 10,835
08/31/1999 10,947 11,075 11,139 10,854
09/30/1999 10,989 10,821 11,178 10,896
</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 29 for Footnotes,
which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ---------------------------------------
1-5 years 2%
- ---------------------------------------
5-10 years 80%
- ---------------------------------------
10-20 years 2%
- ---------------------------------------
20-30 years 16%
- ---------------------------------------
Duration 2.38 years
- ---------------------------------------
Sector Breakdown
- ---------------------------------------
U.S. Treasury Obligations 76.4%
- ---------------------------------------
Corporate Bonds & Notes 10.2%
- ---------------------------------------
Other 13.4%
- ---------------------------------------
Quality Breakdown
- ---------------------------------------
AAA 86.3%
- ---------------------------------------
AA 2.0%
- ---------------------------------------
A 4.5%
- ---------------------------------------
BBB 4.6%
- ---------------------------------------
BB 2.2%
- ---------------------------------------
B 0.4%
- ---------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
This Fund seeks to maximize real return, consistent with preservation of real
capital through investment in inflation-indexed bonds. Treasury Inflation
Protection Securities (TIPS) are offered by the U.S. government and provide
purchasing power protection against the corrosive 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 for investors who hold these bonds to maturity, the government
guarantees the return of the inflation-adjusted initial principal.
Over the past six months ended September 30, 1999, PIMCO Real Return Bond
Fund returned 3.19% for its Class A shares. It handily outperformed its
benchmark, the Lehman Brothers Inflation Linked Treasury Index, which returned
1.93%. And for the one-year period ended September 30, 1999, the Fund returned
4.84% for its Class A shares, beating the Lipper Short U.S. Government Fund
Average return of 2.44%.
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. Over the past six months, as inflation
concerns pushed interest rates higher, inflation-indexed bonds exhibited less
yield volatility than conventional Treasury yields. This boosted the performance
of the asset class relative to conventional Treasuries and other bond classes.
The yield volatility of the inflation-indexed bonds in the portfolio was
further reduced through duration (sensitivity to changes in interest rates)
management. The Fund's real yield duration was kept below the benchmark
duration, aiding relative returns as real yields increased. The Fund's net
interest income exceeded the benchmark due to a small allocation to conventional
bonds in cash-backing strategies.
Looking ahead, we believe the economy will expand more slowly as higher
borrowing costs for individuals and companies temper growth in consumer and
investment spending. While we expect inflation to remain benign over the longer
term, the inflation rate will likely trend somewhat higher over the next several
months after a sharp decline last year. As a result, inflation concerns will
likely remain a significant factor for the bond market over the near term, and
in the manager's view, make inflation-indexed bonds an attractive investment
alternative.
24 See page 62 for financial details.
<PAGE>
September 30, 1999
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:
10/07/87
Total Net Assets:
$609.5 million
PORTFOLIO MANAGER:
Paul McCulley
PIMCO Short-Term Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/99
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Ultra- Salomon
Short Oblig. 3 Mo. T-Bill Lipper Money
Adjusted Adjusted Adjusted Fund Avg. Index Market Index
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 year 4.59% 2.50% 3.82% -1.14% 3.29% 4.28% 4.63% 4.55%
5 years 6.18% 5.75% 5.42% 5.09% 5.87% 5.57% 5.21% 5.06%
10 years 5.64% 5.42% 5.08% 5.08% 5.32% 5.67% 5.13% 4.98%
Inception 6.00% 5.82% 5.54% 5.54% 5.69% -- -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO
Short-Term Short-Term Short-Term Solomon Lipper Money
MONTH A B C 3 Month T-bill Mkt. Index
<S> <C> <C> <C> <C> <C>
10/31/1987 9,800 10,000 10,000 10,000 10,000
11/30/1987 9,855 10,049 10,053 10,051 10,056
12/31/1987 9,912 10,100 10,108 10,099 10,114
01/31/1988 9,976 10,160 10,172 10,148 10,171
02/29/1988 10,015 10,193 10,209 10,194 10,223
03/31/1988 10,067 10,240 10,260 10,244 10,277
04/30/1988 10,120 10,287 10,311 10,294 10,327
05/31/1988 10,173 10,336 10,364 10,347 10,382
06/30/1988 10,228 10,385 10,416 10,401 10,439
07/31/1988 10,277 10,429 10,464 10,460 10,500
08/31/1988 10,340 10,486 10,526 10,520 10,566
09/30/1988 10,405 10,546 10,589 10,583 10,632
10/31/1988 10,494 10,628 10,676 10,648 10,701
11/30/1988 10,561 10,690 10,742 10,715 10,768
12/31/1988 10,620 10,743 10,799 10,785 10,842
01/31/1989 10,693 10,811 10,871 10,858 10,920
02/28/1989 10,766 10,878 10,943 10,934 10,993
03/31/1989 10,858 10,963 11,033 11,013 11,078
04/30/1989 10,937 11,036 11,111 11,095 11,161
05/31/1989 11,033 11,127 11,207 11,179 11,250
06/30/1989 11,114 11,201 11,285 11,257 11,335
07/31/1989 11,205 11,286 11,374 11,336 11,419
08/31/1989 11,262 11,335 11,429 11,413 11,500
09/30/1989 11,336 11,403 11,502 11,487 11,578
10/31/1989 11,439 11,500 11,603 11,565 11,659
11/30/1989 11,513 11,567 11,675 11,640 11,736
12/31/1989 11,576 11,623 11,737 11,717 11,815
01/31/1990 11,629 11,670 11,789 11,794 11,895
02/28/1990 11,698 11,732 11,855 11,865 11,966
03/31/1990 11,773 11,800 11,927 11,945 12,044
04/30/1990 11,819 11,839 11,970 12,022 12,122
05/31/1990 11,927 11,941 12,078 12,104 12,204
06/30/1990 12,002 12,009 12,150 12,183 12,281
07/31/1990 12,083 12,082 12,228 12,263 12,362
08/31/1990 12,144 12,136 12,288 12,343 12,442
09/30/1990 12,223 12,207 12,364 12,418 12,517
10/31/1990 12,314 12,288 12,452 12,495 12,598
11/30/1990 12,410 12,377 12,545 12,569 12,676
12/31/1990 12,507 12,466 12,641 12,650 12,756
01/31/1991 12,594 12,545 12,725 12,723 12,834
02/28/1991 12,660 12,604 12,789 12,785 12,899
03/31/1991 12,715 12,651 12,842 12,851 12,966
04/30/1991 12,792 12,720 12,915 12,913 13,031
05/31/1991 12,861 12,781 12,982 12,975 13,095
06/30/1991 12,906 12,818 13,025 13,035 13,153
07/31/1991 12,979 12,883 13,096 13,097 13,216
08/31/1991 13,060 12,955 13,174 13,159 13,276
09/30/1991 13,129 13,016 13,239 13,217 13,334
10/31/1991 13,203 13,081 13,311 13,275 13,392
11/30/1991 13,233 13,104 13,339 13,328 13,446
12/31/1991 13,285 13,147 13,388 13,377 13,501
01/31/1992 13,332 13,186 13,432 13,424 13,551
02/29/1992 13,358 13,203 13,454 13,466 13,593
03/31/1992 13,380 13,218 13,474 13,512 13,636
04/30/1992 13,434 13,263 13,525 13,555 13,679
05/31/1992 13,473 13,293 13,562 13,600 13,720
06/30/1992 13,524 13,336 13,611 13,640 13,759
07/31/1992 13,578 13,380 13,661 13,681 13,799
08/31/1992 13,611 13,404 13,690 13,720 13,835
09/30/1992 13,645 13,430 13,720 13,754 13,868
10/31/1992 13,657 13,434 13,729 13,788 13,902
11/30/1992 13,672 13,440 13,740 13,823 13,934
12/31/1992 13,710 13,470 13,775 13,860 13,969
01/31/1993 13,754 13,505 13,816 13,897 14,002
02/28/1993 13,789 13,531 13,848 13,929 14,031
03/31/1993 13,851 13,582 13,906 13,964 14,064
04/30/1993 13,896 13,619 13,949 13,998 14,095
05/31/1993 13,949 13,662 13,999 14,033 14,124
06/30/1993 14,004 13,706 14,050 14,068 14,155
07/31/1993 14,053 13,746 14,095 14,104 14,187
08/31/1993 14,088 13,772 14,126 14,141 14,219
09/30/1993 14,122 13,797 14,157 14,176 14,250
10/31/1993 14,170 13,835 14,201 14,213 14,282
11/30/1993 14,221 13,877 14,249 14,249 14,313
12/31/1993 14,286 13,932 14,310 14,286 14,346
01/31/1994 14,309 13,946 14,330 14,323 14,379
02/28/1994 14,323 13,953 14,342 14,357 14,409
03/31/1994 14,299 13,920 14,313 14,398 14,444
04/30/1994 14,320 13,932 14,332 14,441 14,480
05/31/1994 14,329 13,931 14,336 14,488 14,521
06/30/1994 14,393 13,985 14,398 14,538 14,563
07/31/1994 14,460 14,041 14,461 14,590 14,608
08/31/1994 14,515 14,086 14,513 14,644 14,657
09/30/1994 14,529 14,092 14,525 14,698 14,707
10/31/1994 14,565 14,127 14,558 14,758 14,762
11/30/1994 14,576 14,137 14,565 14,820 14,818
12/31/1994 14,637 14,196 14,624 14,889 14,882
01/31/1995 14,708 14,266 14,691 14,957 14,948
02/28/1995 14,842 14,395 14,822 15,023 15,011
03/31/1995 14,873 14,426 14,848 15,097 15,082
04/30/1995 15,031 14,579 15,003 15,169 15,150
05/31/1995 15,181 14,724 15,148 15,243 15,222
06/30/1995 15,230 14,771 15,194 15,315 15,292
07/31/1995 15,321 14,860 15,280 15,388 15,363
08/31/1995 15,390 14,927 15,346 15,461 15,432
09/30/1995 15,533 15,066 15,484 15,530 15,500
10/31/1995 15,644 15,173 15,589 15,602 15,570
11/30/1995 15,788 15,312 15,728 15,670 15,637
12/31/1995 15,920 15,441 15,857 15,743 15,705
01/31/1996 15,995 15,514 15,927 15,813 15,774
02/29/1996 16,022 15,540 15,951 15,878 15,836
03/31/1996 16,072 15,588 15,997 15,945 15,899
04/30/1996 16,146 15,660 16,067 16,010 15,963
05/31/1996 16,228 15,740 16,146 16,079 16,028
06/30/1996 16,316 15,825 16,230 16,147 16,091
07/31/1996 16,362 15,869 16,271 16,216 16,158
08/31/1996 16,463 15,967 16,368 16,287 16,226
09/30/1996 16,619 16,119 16,521 16,357 16,290
10/31/1996 16,751 16,246 16,648 16,429 16,356
11/30/1996 16,900 16,391 16,793 16,498 16,422
12/31/1996 16,964 16,453 16,851 16,569 16,491
01/31/1997 17,064 16,550 16,946 16,641 16,560
02/28/1997 17,138 16,622 17,015 16,706 16,621
03/31/1997 17,144 16,628 17,020 16,779 16,689
04/30/1997 17,240 16,721 17,112 16,851 16,758
05/31/1997 17,363 16,840 17,230 16,925 16,830
06/30/1997 17,477 16,951 17,337 16,996 16,901
07/31/1997 17,612 17,082 17,467 17,070 16,973
08/31/1997 17,663 17,131 17,514 17,143 17,046
09/30/1997 17,780 17,244 17,626 17,215 17,118
10/31/1997 17,819 17,282 17,662 17,291 17,191
11/30/1997 17,895 17,357 17,736 17,363 17,264
12/31/1997 17,994 17,452 17,828 17,438 17,340
01/31/1998 18,098 17,553 17,928 17,515 17,416
02/28/1998 18,160 17,613 17,985 17,585 17,484
03/31/1998 18,280 17,729 18,100 17,662 17,559
04/30/1998 18,362 17,809 18,178 17,736 17,631
05/31/1998 18,443 17,887 18,255 17,813 17,707
06/30/1998 18,505 17,948 18,311 17,886 17,779
07/31/1998 18,614 18,054 18,414 17,961 17,856
08/31/1998 18,620 18,059 18,416 18,038 17,933
09/30/1998 18,743 18,179 18,532 18,112 18,006
10/31/1998 18,812 18,246 18,595 18,184 18,078
11/30/1998 18,874 18,306 18,652 18,252 18,149
12/31/1998 18,952 18,381 18,725 18,319 18,219
01/31/1999 19,024 18,451 18,792 18,387 18,291
02/28/1999 19,100 18,525 18,862 18,449 18,353
03/31/1999 19,234 18,654 18,990 18,520 18,422
04/30/1999 19,320 18,738 19,072 18,588 18,489
05/31/1999 19,322 18,740 19,070 18,659 18,557
06/30/1999 19,388 18,804 19,131 18,728 18,624
07/31/1999 19,454 18,868 19,190 18,801 18,678
08/31/1999 19,516 18,928 19,246 18,876 18,753
09/30/1999 19,602 19,012 19,325 18,950 18,826
</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. In future periodic reports,
we will not compare the Fund's performance to the Lipper Money Market Index
since the Lipper Money Market Index is not a short-term index. See page 29 for
Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ---------------------------------------
1 year or less 67%
- ---------------------------------------
1-5 years 32%
- ---------------------------------------
5-10 years 1%
- ---------------------------------------
Duration 0.60 years
- ---------------------------------------
Sector Breakdown
- ---------------------------------------
Mortgage-Backed Securities 32.5%
- ---------------------------------------
Short-Term Instruments 28.0%
- ---------------------------------------
Corporate Bonds & Notes 22.6%
- ---------------------------------------
Asset-Backed Securities 8.3%
- ---------------------------------------
Other 8.6%
- ---------------------------------------
Quality Breakdown
- ---------------------------------------
AAA 59.9%
- ---------------------------------------
AA 6.1%
- ---------------------------------------
A 15.7%
- ---------------------------------------
BBB 12.9%
- ---------------------------------------
BB 5.4%
- ---------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
For the six-month period ended September 30, 1999, the PIMCO Short-Term Fund
underperformed the Salomon 3-Month Treasury Bill Index, with Class A shares
returning 1.92% compared to a 2.32% return for the Index. However, the portfolio
has done better over the longer term, beating its benchmark over the 5-, 10-year
and since inception periods ended September 30, 1999.
The Fund's standardized yield on September 30, 1999 was 5.23%. This
compares favorably with the average money market yield of 3.10% and the average
six-month CD yield of 4.36%, according to Banxquote Money Market. Remember that
money market funds attempt to maintain a fixed share price and that CDs are
guaranteed as to repayment of principal and interest. The Fund's shares, on the
other hand, are not guaranteed, and its share price can fluctuate, either up or
down, depending on market conditions.
Inflation concerns pushed interest rates higher during the second and third
quarters. The Federal Reserve hiked interest rates in June and again in August
but turned neutral, saying that threat of higher inflation should "markedly
diminish" in the coming months. However, the bond market remained unsettled as a
weakening in the dollar threatened to drive up import prices and renew inflation
fears.
Over the past six months, high quality asset-backed holdings enhanced
performance due to the extra yield these securities provide. The Fund's
concentration in longer-maturity securities also helped performance as the
incremental income generated from higher yields offset the adverse price impact
of rising interest rates. Limited investments in specific emerging markets aided
returns as the global recovery continued and yield premiums narrowed.
The Fund's small weight to below-investment-grade holdings hurt
performance, as rising default rates in the sector heightened concerns over
credit risks.
Looking ahead, we believe the economy will expand more slowly as higher
borrowing costs for individuals and companies temper growth in consumer and
investment spending. While we expect inflation to remain benign over the longer
term, the inflation rate will likely trend somewhat higher over the next several
months after a sharp decline last year.
Given this outlook, strategies and securities that enhance yield and limit
credit risk will continue to be employed. The manager will likely target
duration (sensitivity to changes in interest rates) above the benchmark in order
to capture additional yield and benefit from our belief that the market is
pricing-in more tightening than will occur. Mortgage-related holdings, the
largest weight in the portfolio, will continue to be a favorite area of the
market given the high credit quality and relatively higher yields of these
issues.
See page 64 for financial details. 25
<PAGE>
September 30, 1999
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:
$1.4 billion
PORTFOLIO MANAGER:
Bill Gross
PIMCO StocksPlus Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Return For periods ended 9/30/99
A Shares B Shares C Shares Lipper Large-
Cap Core S&P 500
Adjusted Adjusted Adjusted Fund Average Index
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 26.85% 23.05% 25.99% 20.99% 25.30% 27.73% 27.81%
3 years 24.22% 22.97% 23.31% 22.65% 23.64% 21.44% 25.09%
5 years 24.78% 24.02% 23.85% 23.68% 24.17% 21.66% 25.03%
Inception 21.01% 20.44% 20.13% 20.13% 20.42% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO
StocksPLUS StocksPLUS StocksPLUS S&P 500 Index
MONTH A B C
<S> <C> <C> <C> <C>
05/31/1993 9,700 10,000 10,000 10,000
06/30/1993 9,749 10,043 10,044 10,029
07/31/1993 9,727 10,015 10,016 9,989
08/31/1993 10,094 10,383 10,397 10,368
09/30/1993 9,993 10,276 10,289 10,288
10/31/1993 10,211 10,487 10,501 10,501
11/30/1993 10,092 10,362 10,376 10,401
12/31/1993 10,271 10,544 10,560 10,527
01/31/1994 10,605 10,880 10,899 10,885
02/28/1994 10,275 10,534 10,550 10,589
03/31/1994 9,818 10,052 10,084 10,128
04/30/1994 9,938 10,175 10,198 10,258
05/31/1994 10,120 10,350 10,384 10,426
06/30/1994 9,902 10,126 10,158 10,170
07/31/1994 10,284 10,510 10,546 10,504
08/31/1994 10,750 10,978 11,018 10,935
09/30/1994 10,563 10,784 10,823 10,668
10/31/1994 10,729 10,942 10,983 10,907
11/30/1994 10,397 10,593 10,642 10,510
12/31/1994 10,529 10,729 10,768 10,666
01/31/1995 10,816 11,009 11,061 10,943
02/28/1995 11,299 11,493 11,550 11,369
03/31/1995 11,603 11,800 11,849 11,705
04/30/1995 11,975 12,165 12,228 12,049
05/31/1995 12,513 12,706 12,774 12,531
06/30/1995 12,783 12,969 13,039 12,822
07/31/1995 13,185 13,375 13,448 13,247
08/31/1995 13,270 13,454 13,528 13,280
09/30/1995 13,829 14,006 14,096 13,841
10/31/1995 13,801 13,971 14,061 13,791
11/30/1995 14,461 14,624 14,720 14,397
12/31/1995 14,736 14,892 15,003 14,674
01/31/1996 15,259 15,421 15,522 15,174
02/29/1996 15,296 15,448 15,550 15,314
03/31/1996 15,494 15,638 15,755 15,462
04/30/1996 15,683 15,818 15,938 15,690
05/31/1996 16,039 16,165 16,288 16,094
06/30/1996 16,187 16,304 16,428 16,156
07/31/1996 15,429 15,537 15,655 15,442
08/31/1996 15,750 15,850 15,985 15,768
09/30/1996 16,667 16,760 16,902 16,655
10/31/1996 17,194 17,277 17,426 17,114
11/30/1996 18,466 18,544 18,706 18,408
12/31/1996 18,067 18,134 18,292 18,043
01/31/1997 19,177 19,218 19,402 19,171
02/28/1997 19,303 19,345 19,548 19,321
03/31/1997 18,446 18,461 18,657 18,527
04/30/1997 19,573 19,591 19,797 19,633
05/31/1997 20,812 20,817 21,036 20,828
06/30/1997 21,667 21,667 21,886 21,761
07/31/1997 23,438 23,407 23,661 23,493
08/31/1997 22,170 22,122 22,378 22,177
09/30/1997 23,311 23,261 23,519 23,392
10/31/1997 22,554 22,505 22,755 22,610
11/30/1997 23,474 23,394 23,670 23,657
12/31/1997 23,908 23,810 24,101 24,063
01/31/1998 24,214 24,115 24,409 24,329
02/28/1998 25,842 25,702 26,032 26,084
03/31/1998 27,128 26,971 27,305 27,420
04/30/1998 27,457 27,279 27,617 27,695
05/31/1998 26,897 26,701 27,053 27,219
06/30/1998 27,943 27,723 28,097 28,325
07/31/1998 27,633 27,393 27,763 28,023
08/31/1998 23,394 23,188 23,513 23,972
09/30/1998 25,186 24,932 25,288 25,507
10/31/1998 27,178 26,912 27,273 27,582
11/30/1998 28,722 28,408 28,806 29,254
12/31/1998 30,537 30,167 30,623 30,940
01/31/1999 31,560 31,159 31,631 32,233
02/28/1999 30,493 30,100 30,558 31,232
03/31/1999 31,765 31,340 31,808 32,481
04/30/1999 33,013 32,556 33,062 33,739
05/31/1999 32,145 31,670 32,166 32,943
06/30/1999 34,003 33,479 34,015 34,771
07/31/1999 32,881 32,344 32,865 33,685
08/31/1999 32,700 32,143 32,685 33,519
09/30/1999 31,954 31,407 31,939 32,600
</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 29 for Footnotes,
which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ---------------------------------------
1 year or less 1%
- ---------------------------------------
1-5 years 98%
- ---------------------------------------
5-10 years 1%
- ---------------------------------------
Duration 0.78 years
- ---------------------------------------
Sector Breakdown
- ---------------------------------------
Corporate Bonds & Notes 38.9%
- ---------------------------------------
Short-Term Instruments 21.2%
- ---------------------------------------
Mortgage-Backed Securities 17.3%
- ---------------------------------------
U.S. Treasury Obligations 12.1%
- ---------------------------------------
Other 10.5%
- ---------------------------------------
Quality Breakdown
- ---------------------------------------
AAA 44.3%
- ---------------------------------------
AA 15.6%
- ---------------------------------------
A 16.5%
- ---------------------------------------
BBB 15.6%
- ---------------------------------------
BB 7.8%
- ---------------------------------------
B 0.3%
- ---------------------------------------
- --------------------------------------------------------------------------------
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) 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.
For the six-month period ended September 30, 1999, the Fund's Class A
shares returned 0.59%, slightly outperforming the S&P 500 Index, which returned
0.37%. The Fund has outperformed its Lipper Average over the 3- and 5-year
periods ended September 30, 1999, and has outperformed the S&P 500 since
inception.
Over the past six months, inflation concerns pushed interest rates higher,
negatively impacting the stock market. During this period, the S&P 500 returned
only 0.37%. The Federal Reserve hiked interest rates in June and again in August
but turned neutral, saying that threat of higher inflation should "markedly
diminish" in the coming months. However, the stock market remained unsettled as
a weakening dollar threatened to drive up import prices and renew inflation
fears.
In the fixed-income portion of the portfolio, yield enhancement strategies,
such as writing options and holding high quality asset-backed bonds, contributed
significantly to relative performance over the past six months. Inflation-
indexed bonds also helped performance as real yields rose less than comparable
Treasuries. Limited investments in specific emerging markets aided returns as
the global recovery continued and yield premiums narrowed.
The Fund's longer duration (sensitivity to changes in interest rates)
detracted from performance as interest rates rose across the yield curve.
Looking ahead, we believe the economy will expand more slowly as higher
borrowing costs for individuals and companies temper growth in consumer and
investment spending. While we expect inflation to remain benign over the longer
term, the inflation rate will likely trend somewhat higher over the next several
months after a sharp decline last year.
Because interest rates now hover just below our long-term forecasted range,
the manager intends to keep the duration of the fixed-income portion of the
portfolio near one year to take advantage of the higher yields. This is in line
with our view that the Fed is unlikely to tighten immediately. Mortgage-related
holdings will continue to be a favorite area given the high credit quality and
relatively higher yields of these issues.
26 See page 67 for financial details.
<PAGE>
September 30, 1999
OBJECTIVE:
Maximum total return.
PORTFOLIO:
S&P 500 Index futures and short- and intermediate-term investment grade bonds.
DURATION RANGE:
0-6 years
FUND INCEPTION DATE:
6/28/96
TOTAL NET ASSETS:
$155.3 million
PORTFOLIO MANAGER:
Bill Gross
PIMCO Strategic Balanced Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/99
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper
Bal. 60% S&P 500 Lipper Bal. S&P 500
Adjusted Adjusted Adjusted Fund Avg. 40% LBAG Index Index
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 Year 14.46% 9.31% 13.75% 8.75% 12.57% 12.54% 16.00% 13.49% 27.81%
3 Years 17.06% 15.28% 16.24% 15.50% 16.18% 13.10% 17.84% 14.04% 25.09%
Inception 16.81% 15.17% 15.99% 15.32% 15.93% -- -- -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO 60% S&P 500/ Lipper S&P 500
MONTH Strategic Strategic Strategic
Balanced A Balanced B Balanced C 40% LBAG Balanced Index Index
<S> <C> <C> <C> <C> <C> <C>
06/30/1996 9,550 10,000 10,000 10,000 10,000 10,000
07/31/1996 9,289 9,720 9,720 9,746 9,743 9,558
08/31/1996 9,430 9,860 9,860 9,863 9,896 9,760
09/30/1996 9,875 10,319 10,319 10,264 10,262 10,309
10/31/1996 10,148 10,598 10,598 10,525 10,480 10,593
11/30/1996 10,707 11,176 11,176 11,075 10,968 11,394
12/31/1996 10,506 10,959 10,959 10,902 10,834 11,168
01/31/1997 10,944 11,409 11,409 11,324 11,165 11,866
02/28/1997 11,002 11,463 11,463 11,388 11,206 11,959
03/31/1997 10,648 11,087 11,087 11,057 10,880 11,468
04/30/1997 11,129 11,581 11,581 11,520 11,208 12,152
05/31/1997 11,589 12,053 12,053 11,984 11,666 12,892
06/30/1997 11,939 12,410 12,410 12,363 12,041 13,470
07/31/1997 12,666 13,157 13,157 13,086 12,726 14,542
08/31/1997 12,212 12,678 12,678 12,602 12,322 13,727
09/30/1997 12,657 13,130 13,130 13,090 12,814 14,479
10/31/1997 12,473 12,932 12,932 12,904 12,581 13,995
11/30/1997 12,795 13,258 13,258 13,286 12,811 14,643
12/31/1997 12,995 13,457 13,457 13,477 13,001 14,895
01/31/1998 13,169 13,628 13,628 13,635 13,092 15,059
02/28/1998 13,688 14,158 14,158 14,221 13,611 16,145
03/31/1998 14,150 14,626 14,626 14,678 14,028 16,972
04/30/1998 14,269 14,740 14,740 14,797 14,125 17,143
05/31/1998 14,118 14,575 14,575 14,700 13,982 16,848
06/30/1998 14,522 14,983 14,983 15,109 14,235 17,533
07/31/1998 14,438 14,888 14,888 15,025 14,068 17,346
08/31/1998 13,075 13,473 13,473 13,819 12,856 14,838
09/30/1998 13,840 14,253 14,253 14,480 13,411 15,789
10/31/1998 14,458 14,882 14,882 15,156 13,913 17,073
11/30/1998 14,918 15,346 15,346 15,742 14,422 18,108
12/31/1998 15,486 15,922 15,922 16,305 14,954 19,151
01/31/1999 15,852 16,288 16,288 16,760 15,193 19,952
02/28/1999 15,340 15,754 15,754 16,331 14,829 19,332
03/31/1999 15,834 16,250 16,250 16,759 15,195 20,105
04/30/1999 16,214 16,630 16,630 17,170 15,693 20,884
05/31/1999 15,873 16,271 16,271 16,866 15,452 20,391
06/30/1999 16,465 16,871 16,871 17,406 15,878 21,522
07/31/1999 16,103 16,487 16,461 17,051 15,581 20,851
08/31/1999 16,040 16,422 16,397 16,996 15,418 20,747
09/30/1999 15,840 15,915 16,189 16,796 15,220 20,179
</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 May 1999. The Fund may invest in foreign
securities which involve potentially higher risks including foreign currency
fluctuations and political or economic uncertainty. In future periodic reports,
we will not compare the Fund's performance to the Lipper Balanced Index since
the Lipper Balanced Index is not a strategic balanced index. See page 29 for
Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ---------------------------------------
1-5 years 34%
- ---------------------------------------
5-10 years 60%
- ---------------------------------------
10-20 years 5%
- ---------------------------------------
20-30 years 1%
- ---------------------------------------
Duration 2.30 years
- ---------------------------------------
Sector Breakdown
- ---------------------------------------
Corporate Bonds & Notes 32.4%
- ---------------------------------------
Mortgage-Backed Securities 28.6%
- ---------------------------------------
Short-Term Instruments 24.7%
- ---------------------------------------
U.S. Treasury Obligations 7.2%
- ---------------------------------------
Other 7.1%
- ---------------------------------------
Quality Breakdown
- ---------------------------------------
AAA 48.1%
- ---------------------------------------
AA 17.1%
- ---------------------------------------
A 18.0%
- ---------------------------------------
BBB 15.1%
- ---------------------------------------
BB 1.7%
- ---------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
Strategic Balanced Fund is designed to provide broad exposure to both stocks and
bonds using PIMCO's unique StocksPLUSand Total Return investment strategies. The
stock portion of the portfolio gains broad- based stock market exposure using
S&P 500 Index futures. It is backed by an actively managed portfolio of
short-term bonds, which enhance return potential. The bond portion of the
portfolio invests in intermediate-term, investment grade bonds, and focuses on
income and capital appreciation.
For the six-month period ended September 30, 1999, the Fund's Class A
shares returned 0.03%, slightly underperforming its benchmark, a blend of 60%
S&P 500 Index and 40% Lehman Brothers Aggregate Bond Index, which returned
0.22%. The Fund's asset allocation at the end of the quarter leaned modestly
toward stocks, with a 65% weight for stocks and 35% for bonds.
Over the past six months, inflation concerns pushed interest rates higher,
negatively impacting both the stock and bond markets. The Federal Reserve hiked
interest rates twice but turned neutral, saying that threat of higher inflation
should "markedly diminish" in the coming months. However, the markets remained
unsettled as a weakening dollar threatened to drive up import prices and renew
inflation fears.
The stock portion of the portfolio exceeded the S&P 500 Index return
because of favorable (although temporary) S&P 500 futures pricing relative to
the S&P 500 Index. Enhanced income from higher yields in shorter-duration
mortgages and corporate securities also helped performance.
In the bond portion of the portfolio, mortgage returns held up relatively
well over the past six months as the yield advantage offered by these securities
countered declines in price. Limited investments in specific emerging markets
aided returns as the global recovery continued and yield premiums narrowed.
In the stock portion of the portfolio, the longer duration of the bonds
backing the S&P 500 futures detracted from performance as interest rates rose
across the yield curve. The bond portion's allocation to high-grade corporate
bonds underperformed Treasuries as reduced investor demand drove yield premiums
wider. Below-investment-grade securities, a small weight in the portfolio, also
had poor relative performance as concerns about credit quality grew, default
rates rose and liquidity declined.
Looking ahead, the manager aims to maintain the current asset allocation
and focus on yield enhancement as the key to performance as interest rates
remain range-bound. The Fund will continue to favor mortgages as a source of
incremental yield that presents little additional credit risk. Due to the risk
of further credit quality deterioration in corporate, high yield and emerging
market bonds, investments in these areas will be made selectively.
See page 71 for financial details. 27
<PAGE>
September 30, 1999
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:
$29.3 billion
PORTFOLIO MANAGER:
Bill Gross
PIMCO Total Return Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/99
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Inter. Lehman Bros.
Inv. Grade Debt Agg. Bond
Adjusted Adjusted Adjusted Fund Avg. Index
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year -0.48% -4.96% -1.23% -5.76% -2.13% -1.01% -0.37%
5 years 8.08% 7.09% 7.29% 6.98% 7.29% 6.89% 7.84%
10 years 8.68% 8.18% 8.13% 8.13% 7.90% 7.32% 8.10%
Inception 8.74% 8.34% 8.29% 8.29% 7.95% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO Lehman Bros.
MONTH Total Return Total Return Total Return Agg. Bond
A B C Index
<S> <C> <C> <C> <C>
05/31/1987 9,550 10,000 10,000 10,000
06/30/1987 9,668 10,117 10,117 10,138
07/31/1987 9,641 10,082 10,082 10,130
08/31/1987 9,615 10,048 10,048 10,076
09/30/1987 9,371 9,787 9,787 9,861
10/31/1987 9,666 10,089 10,089 10,212
11/30/1987 9,733 10,152 10,152 10,294
12/31/1987 9,818 10,233 10,233 10,434
01/31/1988 10,215 10,642 10,642 10,801
02/29/1988 10,329 10,753 10,753 10,929
03/31/1988 10,233 10,646 10,646 10,827
04/30/1988 10,176 10,581 10,581 10,768
05/31/1988 10,122 10,518 10,518 10,696
06/30/1988 10,360 10,759 10,759 10,954
07/31/1988 10,343 10,735 10,735 10,897
08/31/1988 10,388 10,775 10,775 10,925
09/30/1988 10,581 10,969 10,969 11,172
10/31/1988 10,744 11,132 11,132 11,383
11/30/1988 10,644 11,021 11,021 11,244
12/31/1988 10,688 11,059 11,059 11,257
01/31/1989 10,816 11,184 11,184 11,419
02/28/1989 10,744 11,102 11,102 11,336
03/31/1989 10,790 11,143 11,143 11,385
04/30/1989 11,027 11,382 11,382 11,624
05/31/1989 11,291 11,647 11,647 11,929
06/30/1989 11,667 12,028 12,028 12,292
07/31/1989 11,910 12,271 12,271 12,554
08/31/1989 11,700 12,047 12,047 12,368
09/30/1989 11,754 12,096 12,096 12,431
10/31/1989 12,031 12,374 12,374 12,737
11/30/1989 12,132 12,470 12,470 12,858
12/31/1989 12,152 12,483 12,483 12,893
01/31/1990 11,944 12,262 12,262 12,740
02/28/1990 11,971 12,283 12,283 12,781
03/31/1990 11,957 12,261 12,261 12,790
04/30/1990 11,784 12,074 12,074 12,673
05/31/1990 12,165 12,457 12,457 13,048
06/30/1990 12,366 12,655 12,655 13,258
07/31/1990 12,563 12,847 12,847 13,441
08/31/1990 12,361 12,632 12,632 13,261
09/30/1990 12,368 12,632 12,632 13,371
10/31/1990 12,535 12,793 12,793 13,541
11/30/1990 12,846 13,103 13,103 13,832
12/31/1990 13,067 13,320 13,320 14,048
01/31/1991 13,192 13,440 13,440 14,222
02/28/1991 13,372 13,615 13,615 14,343
03/31/1991 13,536 13,774 13,774 14,442
04/30/1991 13,753 13,986 13,986 14,598
05/31/1991 13,850 14,077 14,077 14,684
06/30/1991 13,867 14,086 14,086 14,676
07/31/1991 14,061 14,275 14,275 14,880
08/31/1991 14,436 14,647 14,647 15,202
09/30/1991 14,773 14,980 14,980 15,510
10/31/1991 14,919 15,119 15,119 15,682
11/30/1991 15,043 15,235 15,235 15,826
12/31/1991 15,550 15,740 15,740 16,296
01/31/1992 15,418 15,596 15,596 16,074
02/29/1992 15,547 15,720 15,720 16,179
03/31/1992 15,482 15,644 15,644 16,088
04/30/1992 15,558 15,711 15,711 16,204
05/31/1992 15,874 16,021 16,021 16,510
06/30/1992 16,069 16,210 16,210 16,737
07/31/1992 16,456 16,591 16,591 17,078
08/31/1992 16,591 16,717 16,717 17,251
09/30/1992 16,848 16,966 16,966 17,456
10/31/1992 16,695 16,802 16,802 17,224
11/30/1992 16,703 16,800 16,800 17,228
12/31/1992 16,990 17,079 17,079 17,502
01/31/1993 17,298 17,378 17,378 17,838
02/28/1993 17,677 17,749 17,749 18,150
03/31/1993 17,772 17,836 17,836 18,226
04/30/1993 17,922 17,976 17,976 18,353
05/31/1993 17,957 18,001 18,001 18,376
06/30/1993 18,342 18,375 18,375 18,709
07/31/1993 18,448 18,471 18,471 18,815
08/31/1993 18,861 18,873 18,873 19,145
09/30/1993 18,931 18,934 18,934 19,197
10/31/1993 19,060 19,051 19,051 19,269
11/30/1993 18,886 18,868 18,868 19,105
12/31/1993 19,038 19,008 19,008 19,209
01/31/1994 19,262 19,221 19,221 19,468
02/28/1994 18,912 18,861 18,861 19,130
03/31/1994 18,505 18,444 18,444 18,658
04/30/1994 18,316 18,245 18,245 18,509
05/31/1994 18,223 18,141 18,141 18,507
06/30/1994 18,148 18,067 18,056 18,466
07/31/1994 18,513 18,430 18,408 18,832
08/31/1994 18,559 18,476 18,443 18,856
09/30/1994 18,318 18,236 18,192 18,578
10/31/1994 18,289 18,207 18,152 18,562
11/30/1994 18,283 18,201 18,136 18,521
12/31/1994 18,270 18,189 18,111 18,648
01/31/1995 18,590 18,507 18,417 19,017
02/28/1995 19,019 18,934 18,831 19,470
03/31/1995 19,193 19,107 18,991 19,589
04/30/1995 19,523 19,435 19,306 19,863
05/31/1995 20,134 20,044 19,897 20,631
06/30/1995 20,114 20,024 19,865 20,783
07/31/1995 20,118 20,028 19,857 20,736
08/31/1995 20,419 20,328 20,143 20,986
09/30/1995 20,668 20,576 20,377 21,191
10/31/1995 20,974 20,881 20,666 21,466
11/30/1995 21,421 21,325 21,094 21,788
12/31/1995 21,781 21,684 21,436 22,094
01/31/1996 21,951 21,853 21,590 22,240
02/29/1996 21,409 21,313 21,044 21,854
03/31/1996 21,235 21,140 20,861 21,702
04/30/1996 21,140 21,045 20,754 21,580
05/31/1996 21,074 20,980 20,678 21,536
06/30/1996 21,403 21,307 20,988 21,825
07/31/1996 21,450 21,354 21,021 21,885
08/31/1996 21,424 21,328 20,981 21,848
09/30/1996 21,908 21,810 21,443 22,229
10/31/1996 22,469 22,369 21,979 22,721
11/30/1996 22,993 22,890 22,478 23,111
12/31/1996 22,699 22,597 22,177 22,896
01/31/1997 22,771 22,669 22,241 22,966
02/28/1997 22,814 22,712 22,270 23,023
03/31/1997 22,532 22,431 21,980 22,768
04/30/1997 22,930 22,828 22,354 23,109
05/31/1997 23,157 23,054 22,560 23,327
06/30/1997 23,421 23,317 22,803 23,604
07/31/1997 24,068 23,960 23,417 24,240
08/31/1997 23,851 23,745 23,190 24,034
09/30/1997 24,230 24,122 23,545 24,388
10/31/1997 24,512 24,402 23,801 24,742
11/30/1997 24,614 24,504 23,889 24,856
12/31/1997 24,893 24,781 24,142 25,106
01/31/1998 25,268 25,155 24,493 25,428
02/28/1998 25,190 25,077 24,402 25,408
03/31/1998 25,266 25,153 24,460 25,497
04/30/1998 25,354 25,241 24,534 25,630
05/31/1998 25,641 25,526 24,794 25,873
06/30/1998 25,882 25,766 25,012 26,092
07/31/1998 25,957 25,841 25,070 26,148
08/31/1998 26,359 26,241 25,443 26,573
09/30/1998 27,139 27,018 26,181 27,196
10/31/1998 26,949 26,829 25,979 27,052
11/30/1998 27,041 26,920 26,052 27,205
12/31/1998 27,195 27,073 26,182 27,287
01/31/1999 27,347 27,225 26,316 27,482
02/28/1999 26,833 26,713 25,808 27,002
03/31/1999 27,053 26,932 26,004 27,152
04/30/1999 27,178 27,056 26,106 27,238
05/31/1999 26,873 26,753 25,798 26,999
06/30/1999 26,820 26,700 25,730 26,913
07/31/1999 26,710 26,590 25,607 26,799
08/31/1999 26,723 26,603 25,602 26,785
09/30/1999 27,012 26,891 25,863 27,096
</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 4%
- ---------------------------------------
1-5 years 36%
- ---------------------------------------
5-10 years 38%
- ---------------------------------------
10-20 years 16%
- ---------------------------------------
20-30 years 6%
- ---------------------------------------
Duration 4.60 years
- ---------------------------------------
Sector Breakdown
- ---------------------------------------
Mortgage-Backed Securities 43.3%
- ---------------------------------------
Corporate Bonds & Notes 34.2%
- ---------------------------------------
Asset-Backed Securities 7.0%
- ---------------------------------------
U.S. Treasury Obligations 5.2%
- ---------------------------------------
Other 10.3%
- ---------------------------------------
Quality Breakdown
- ---------------------------------------
AAA 58.3%
- ---------------------------------------
AA 6.7%
- ---------------------------------------
A 17.1%
- ---------------------------------------
BBB 11.1%
- ---------------------------------------
BB 6.4%
- ---------------------------------------
B 0.4%
- ---------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
For the six-month period ended September 30, 1999, the Fund's Class A shares
fell 0.17%, slightly outperforming its benchmark, the Lehman Aggregate Bond
Index, which fell 0.21%. In addition, the Fund has outperformed its Lipper
Average and benchmark over the 5, 10-year and since inception periods ended
September 30, 1999.
Concerns about inflation pushed interest rates higher during the second
quarter. And although interest rates were slightly higher after the third
quarter, yields fluctuated widely. After hiking interest rates in June and again
in August, the Federal Reserve turned neutral, saying the threat of higher
inflation should "markedly diminish" in the coming months. However, the bond
market remained unsettled as a weakening in the dollar threatened to drive up
import prices and renew inflation fears.
Mortgage returns held up better than other bond market sectors over the
past six months as the yield advantage offered by these securities offset a
decline in price. Small selective investments in specific emerging markets aided
performance as the global recovery continued and yield premiums narrowed.
Improving credit fundamentals in Mexico and Poland compensated for the negative
reaction to Ecuador's Brady Bond default.
The Fund's allocation to high grade corporate bonds underperformed
Treasuries, as reduced investor demand drove yield premiums wider.
Below-investment-grade securities, a small weight in the portfolio, also
performed relatively poorly as concerns about credit quality grew, default rates
rose and liquidity declined.
Looking ahead, we believe the economy will expand more slowly as higher
borrowing costs for individuals and companies temper growth in consumer and
investment spending. While we expect inflation to remain benign over the longer
term, the inflation rate will likely trend somewhat higher over the next several
months after a sharp decline last year.
In this environment, the manager believes that yield enhancement is the key
to performance as interest rates remain range-bound. Managing credit risk will
also be important as debt levels continue to rise and the economy cools. The
manager will favor mortgages as a source of incremental yield that presents
little credit risk. Due to the risk of further credit quality deterioration in
corporate, high yield and emerging market bonds, investments in these areas will
be made selectively.
28 See page 74 for financial details.
<PAGE>
September 30, 1999
- --------------------------------------------------------------------------------
FOOTNOTES
- --------------------------------------------------------------------------------
A few notes and definitions are needed for a complete understanding of the
performance figures.
Past performance is no guarantee of future results. Investment return will
fluctuate, and the value of an investor's shares will fluctuate and may be worth
more or less than original cost when redeemed. 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 September 30,
1999.
Duration is a measurement of a Fund's price sensitivity expressed in years.
The credit quality of the investments in the portfolio does not apply to
the stability or safety of the fund.
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. 60% S&P 500/40% LBAG is an unmanaged index
comprised of 60% of the return of the S&P 500 Index and 40% Lehman Brothers
Aggregate Bond Index. Salomon 3-Month T-Bill is an index representing monthly
return equivalents of yield averages of the last 3 months Treasury Bill issues.
First Boston Convertible bond is an unmanaged market index comprised of
convertible bonds. Lipper Balanced Index is the 30 largest equal weighted
Balanced Funds as compiled by Lipper, Inc. 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
Long-Term Treasury Index is an index of 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.
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.
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.
29
<PAGE>
Schedule of Investments
Convertible Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES (b)(c) 67.7%
- -------------------------------------------------------------------------------
Banking & Finance 15.5%
ACOM Co. Limited
0.000% due 03/31/2002 $ 50,000 $ 639
American Express
1.125% due 02/19/2003 800 972
Bell Atlantic Financial Services
5.750% due 04/01/2003 740 748
Deutsche Bank Financial
0.000% due 02/12/2017 1,300 612
Exchangeable Certs Corp.
0.250% due 07/17/2006 1,000 1,000
Fuji International Finance Trust
0.250% due 02/01/2002 24,000 232
Hellenic Finance
2.000% due 07/15/2003 EC 500 548
Morgan Stanley Dean Witter
0.000% due 03/02/2006 $ 740 688
Swiss Life Finance Limited
2.000% due 05/20/2005 600 575
-------------
6,014
=============
Consumer Discretionary 5.6%
Amazon.Com, Inc.
4.750% due 02/01/2009 400 468
Costco Wholesale Corp.
0.000% due 08/19/2017 700 605
Home Depot, Inc.
3.250% due 10/01/2001 100 297
Interpublic Group Co., Inc.
1.870% due 06/01/2006 850 782
-------------
2,152
=============
Energy 4.9%
Devon Energy Corp.
4.900% due 08/15/2008 900 887
Diamond Offshore Drill
3.750% due 02/15/2007 960 1,010
-------------
1,897
=============
Health Care 5.7%
Alpharma, Inc.
5.750% due 04/01/2005 380 503
Athena Neurosciences, Inc.
4.750% due 11/15/2004 750 843
Wellpoint Health Network
0.000% due 07/02/2019 1,500 872
-------------
2,218
=============
Industrial 4.8%
Sanmina Corp.
4.250% due 05/01/2004 700 782
Solectron Corp.
0.000% due 01/27/2019 1,450 892
Tyco International Limited
0.000% due 07/06/2010 65 181
-------------
1,855
=============
Technology 26.3%
Affiliated Computer Services
4.000% due 03/15/2005 300 343
ASM Lithography Holding
2.500% due 04/09/2005 1,500 843
Comverse Technology, Inc.
4.500% due 07/01/2005 100 226
Conexant Systems, Inc.
4.250% due 05/01/2006 350 605
Exodus Communications, Inc.
5.000% due 03/15/2006 75 241
Hewlett-Packard Co.
0.000% due 10/14/2017 1,900 1,150
Intel Corp.
4.000% due 09/01/2004 300 747
LSI Logic Corp.
4.250% due 03/15/2004 200 367
Mindspring Enterprises
5.000% due 04/15/2006 650 604
NTL, Inc.
7.000% due 12/15/2008 300 510
Stmicroelectron
0.000% due 09/22/2009 2,000 1,630
U.S. Cellular Corp.
0.000% due 06/15/2015 1,600 1,026
Veritas Software Corp.
1.856% due 08/13/2006 1,000 1,058
Xerox Corp.
0.570% due 04/21/2018 1,550 862
-------------
10,212
=============
Utilities 4.9%
AES Corp.
4.500% due 08/15/2005 750 960
Clear Channel Communications
2.625% due 04/01/2003 500 702
Telefonos De Mexico S.A.
4.250% due 06/15/2004 230 219
-------------
1,881
-------------
Total Convertible Bonds & Notes 26,229
(Cost $24,818) =============
- -----------------------------------------------------------------------------
PREFERRED STOCK 0.9%
- -----------------------------------------------------------------------------
Shares
Times Mirror Co. Pfd.
4.250% due 03/15/2001 4,000 348
-------------
Total Preferred Stock 348
(Cost $423) =============
- -----------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK (b)(c) 26.7%
- -----------------------------------------------------------------------------
Principal
Amount
(000s)
Banking & Finance 5.4%
Lincoln National Corp. Cvt. Pfd.
7.750% due 08/16/2001 $ 18,000 377
National Australia Bank Cvt. Pfd.
7.875% due 12/31/2049 14,500 397
Newell Financial Trust Cvt. Pfd.
5.250% due 12/01/2027 9,200 373
Protective Life Corp. Capital Trust II
Cvt. Pfd.
6.500% due 02/16/2001 6,000 293
Tokai Bank Cvt. Pfd.
2.750% due 10/01/2004 JY 16,000 127
Union Pacific Capital Trust Cvt. Pfd.
6.250% due 04/01/2028 $ 12,000 548
-------------
2,115
=============
Energy 6.1%
Apache Corp. Cvt. Pfd.
6.500% due 05/15/2002 17,000 680
Coastal Corp. Cvt. Pfd.
6.625% due 08/16/2002 30,000 782
Kerr-McGee Corp. Cvt. Pfd.
5.500% due 08/01/2004 23,000 903
-------------
2,365
=============
Industrial 2.5%
Ingersoll-Rand Co. Cvt. Pfd.
6.750% due 12/31/2049 17,900 470
Sealed Air Corp. Cvt. Pfd.
4.000% due 04/01/2018 9,500 482
-------------
952
=============
Technology 2.2%
Verio, Inc. Cvt. Pfd.
6.750% due 08/01/2007 20,000 863
-------------
Utilities 10.5%
Adelphia Communications Cvt. Pfd.
5.500% due 12/31/2049 3,700 651
Cox Communications, Inc. Cvt. Pfd.
7.000% due 08/16/2002 20,000 1,154
MediaOne Group, Inc. Cvt. Pfd.
6.250% due 08/15/2001 4,500 472
Reliant Energy, Inc. Cvt. Pfd.
7.000% due 07/01/2000 5,000 510
30 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
Utilicorp United Cvt. Pfd.
9.750% due 11/16/2002 $ 30,000 $ 758
Winstar Communications Cvt. Pfd.
7.250% due 12/31/2049 600 528
-----------
4,073
-----------
Total Convertible Preferred Stock 10,368
(Cost $10,919) ===========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 4.1%
- --------------------------------------------------------------------------------
Commercial Paper 3.6%
Bellsouth Telecom
5.370% due 10/13/1999 100 100
Coca Cola Co.
5.270% due 10/22/1999 1,100 1,097
Procter & Gamble Co.
5.290% due 11/01/1999 200 199
-----------
1,396
===========
Repurchase Agreement 0.5%
State Street Bank
4.800% due 10/01/1999 186 186
(Dated 09/30/1999. Collateralized by Federal
National Mortgage Association
5.300% 01/12/2001 valued at $190,542.
Repurchase proceeds are $186,025.) -----------
Total Short-Term Instruments 1,582
(Cost $1,582) ===========
Total Investments (a) 99.4% $ 38,527
(Cost $37,742)
Other Assets and Liabilities (Net) 0.6% 235
-----------
Net Assets 100.0% $ 38,762
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 2,573
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (1,788)
-----------
Unrealized appreciation-net $ 785
===========
(b) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount
Covered by Settlement Unrealized
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell EC 763 10/1999 $ (10)
Sell 529 11/1999 (19)
Sell JY 79,475 02/2000 (16)
--------------
$ (45)
==============
(c) Principal amount denoted in indicated currency:
EC - European Currency Unit
JY - Japanese Yen
See accompanying notes 31
<PAGE>
Schedule of Investments
Emerging Markets Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
ARGENTINA (e) 9.9%
- --------------------------------------------------------------------------------
Republic of Argentina
8.750% due 07/10/2002 AP 100 $ 83
11.447% due 04/10/2005 (d) $ 200 176
11.000% due 10/09/2006 300 287
11.375% due 01/30/2017 1,250 1,176
-----------
Total Argentina 1,722
(Cost $1,778) ===========
- --------------------------------------------------------------------------------
BRAZIL 25.9%
- --------------------------------------------------------------------------------
Government of Brazil
5.875% due 04/15/2006 (d) $ 950 753
5.938% due 04/15/2012 (d) 1,500 917
8.000% due 04/15/2014 (b) 4,476 2,848
-----------
Total Brazil 4,518
(Cost $4,486) ===========
- --------------------------------------------------------------------------------
BULGARIA 5.2%
- -------------------------------------------------------------------------------
Republic of Bulgaria
6.500% due 07/28/2011 (d) $ 500 354
6.500% due 07/28/2024 (d) 800 550
-----------
Total Bulgaria 904
(Cost $896) ===========
- -------------------------------------------------------------------------------
COLOMBIA 3.9%
- -------------------------------------------------------------------------------
Republic of Colombia
8.625% due 04/01/2008 $ 850 684
-----------
Total Colombia 684
(Cost $697) ===========
- -------------------------------------------------------------------------------
JORDAN 0.8%
- -------------------------------------------------------------------------------
Kingdom of Jordan
5.500% due 12/23/2023 (d) $ 250 148
-----------
Total Jordan 148
(Cost $150) ===========
- -------------------------------------------------------------------------------
KAZAKHSTAN 1.1%
- -------------------------------------------------------------------------------
Republic of Kazakhstan
13.625% due 10/18/2004 $ 200 198
-----------
Total Kazakhstan 198
(Cost $198) ===========
- -------------------------------------------------------------------------------
MEXICO 18.5%
- -------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 $ 500 454
Petroleos Mexicanos
9.520% due 07/15/2005 (d) 250 238
United Mexican States
10.375% due 02/17/2009 200 203
6.250% due 12/31/2019 450 331
5.874% due 12/31/2019 250 215
5.875% due 12/31/2019 (d) 250 215
6.250% due 12/31/2019 750 558
6.068% due 12/31/2019 (d) 1,000 853
11.500% due 05/15/2026 150 165
-----------
Total Mexico 3,232
(Cost $3,221) ===========
- -------------------------------------------------------------------------------
PANAMA 2.8%
- -------------------------------------------------------------------------------
Republic of Panama
9.375% due 04/01/2029 $ 525 496
-----------
Total Panama 496
(Cost $487) ===========
PERU 2.1%
Republic of Peru
4.500% due 03/07/2017 (d) $ 600 $ 371
-----------
Total Peru 371
(Cost $369) ===========
- -------------------------------------------------------------------------------
PHILIPPINES 2.9%
- -------------------------------------------------------------------------------
Republic of Philippines
8.875% due 04/15/2008 $ 100 98
6.000% due 12/01/2009 (d) 210 192
6.500% due 12/01/2017 250 210
-----------
Total Philippines 500
(Cost $481) ===========
- -------------------------------------------------------------------------------
POLAND 5.3%
- -------------------------------------------------------------------------------
Republic of Poland
5.000% due 10/27/2014 (d) $ 775 528
3.000% due 10/27/2024 (d) 650 396
-----------
Total Poland 924
(Cost $948) ===========
- -------------------------------------------------------------------------------
RUSSIA 2.3%
- -------------------------------------------------------------------------------
Republic of Russia
6.058% due 12/15/2015 (d) $ 505 54
6.063% due 12/15/2020 (d)(f) 300 27
Russian Federation
8.750% due 07/24/2005 700 294
12.750% due 06/24/2028 50 23
-----------
Total Russia 398
(Cost $865) ===========
- -------------------------------------------------------------------------------
SOUTH KOREA 6.0%
- -------------------------------------------------------------------------------
Korea Development Bank
8.650% due 01/26/2000 $ 100 100
Korean Export-Import Bank
7.100% due 03/15/2007 175 172
Republic of Korea
8.750% due 04/15/2003 100 103
8.875% due 04/15/2008 650 672
-----------
Total South Korea 1,047
(Cost $1,010) ===========
- -------------------------------------------------------------------------------
TUNISIA (c)(e) 1.8%
- -------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 300 315
-----------
Total Tunisia 315
(Cost $305) ===========
- -------------------------------------------------------------------------------
TURKEY 0.6%
- -------------------------------------------------------------------------------
Republic of Turkey
12.375% due 06/15/2009 $ 100 100
-----------
Total Turkey 100
(Cost $100) ===========
- -------------------------------------------------------------------------------
UNITED STATES 0.6%
- -------------------------------------------------------------------------------
Corporate Bonds & Notes 0.6%
Ford Motor Credit Corp.
5.596% due 08/27/2001 (d) $ 100 100
-----------
Total United States 100
(Cost $100) ===========
URUGUAY 1.0%
Banco Central Del Uruguay
6.625% due 02/19/2006 $ 191 174
-----------
Total Uruguay 174
(Cost $190) ===========
32 See accompanying notes
<PAGE>
Principal
Amount
(000s) (000s)
- --------------------------------------------------------------------------------
VENEZUELA 5.3%
- --------------------------------------------------------------------------------
Republic of Venezuela
6.313% due 12/18/2007 (d) $ 607 $ 471
9.250% due 09/15/2027 700 461
-----------
Total Venezuela 932
(Cost $904) ===========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 6.1%
- --------------------------------------------------------------------------------
Commercial Paper 5.1%
Federal Home Loan Mortgage Corp.
5.220% due 10/15/1999 900 898
-----------
Repurchase Agreement 1.0%
State Street Bank
4.800% due 10/01/1999 166 166
(Dated 09/30/1999. Collateralized by
Federal National Mortgage Association
4.820% 12/18/2000 valued at $170,049.
Repurchase proceeds are $166,022.)
-----------
Total Short-Term Instruments 1,064
(Cost $1,064) ===========
Total Investments (a) 102.1% $ 17,827
(Cost $18,251)
Other Assets and Liabilities (Net) (2.1%) (372)
-----------
Net Assets 100.0% $ 17,455
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 281
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (705)
-----------
Unrealized depreciation-net $ (424)
===========
(b) Subject to a financing transaction.
(c) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount
Covered by Settlement Unrealized
Type Currency Contract Month Appreciation
- --------------------------------------------------------------------------------
Sell EC 299 10/1999 $ 2
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Principal amount denoted in indicated currency:
AP - Argentine Peso
EC - European Currency Unit
(f) Security is in default.
See accompanying notes 33
<PAGE>
Schedule of Investments
Foreign Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
ARGENTINA (b)(h) 0.3%
- --------------------------------------------------------------------------------
Republic of Argentina
5.000% due 12/20/2002 JY 219,000 $ 2,041
-----------
Total Argentina 2,041
(Cost $1,689) ===========
- --------------------------------------------------------------------------------
AUSTRALIA (b)(h) 1.2%
- --------------------------------------------------------------------------------
Asian Development Bank
5.250% due 09/15/2004 (j) A$ 1,000 624
Bankers Trust Australia
5.366% due 06/02/2008 (d) $ 4,800 4,716
Commonwealth of Australia
9.000% due 09/15/2004 (j) A$ 1,880 1,391
-----------
Total Australia 6,731
(Cost $6,776) ===========
- --------------------------------------------------------------------------------
BAHAMAS 0.1%
- --------------------------------------------------------------------------------
Citibank NA Nassau
9.750% due 04/26/2000 $ 350 351
-----------
Total Bahamas 351
(Cost $350) ===========
- --------------------------------------------------------------------------------
BELGIUM (b)(h) 0.9%
- --------------------------------------------------------------------------------
Kingdom of Belgium
9.000% due 03/28/2003 EC 5 6
6.750% due 11/21/2004 (d) BF 183,200 5,255
-----------
Total Belgium 5,261
(Cost $6,069) ===========
- --------------------------------------------------------------------------------
BULGARIA 0.6%
- --------------------------------------------------------------------------------
Republic of Bulgaria
6.500% due 07/28/2011 (d) $ 4,920 3,487
-----------
Total Bulgaria 3,487
(Cost $3,496) ===========
- --------------------------------------------------------------------------------
CANADA (b)(h) 6.5%
- --------------------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 3,440 2,357
Commonwealth of Canada
9.000% due 12/01/2004 6,000 4,675
6.625% due 10/03/2007 N$ 20,830 10,071
6.000% due 06/01/2008 (j) C$ 15,950 11,043
Hydro-Quebec
3.527% due 04/25/2000 (d) DM 5,000 2,722
Providence of Manitoba
11.000% due 08/15/2000 C$ 5,000 3,565
Province of Quebec
3.353% due 02/09/2000 (d) DM 5,000 2,729
Sears Canada
11.700% due 07/10/2000 C$ 1,000 710
-----------
Total Canada 37,872
(Cost $39,577) ===========
- --------------------------------------------------------------------------------
CAYMAN ISLANDS (b)(h) 3.3%
- --------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C.
5.300% due 09/21/2000 JY 200,000 1,946
Capital Credit Card Corp.
5.625% due 10/15/2004 DM 2,800 1,568
MBNA American Euro
2.640% due 05/19/2004 (d) EC 8,100 8,598
Residential Reinsurance
9.163% due 06/01/2000 (d) $ 7,100 7,078
-----------
Total Cayman Islands 19,190
(Cost $19,010) ===========
- --------------------------------------------------------------------------------
COLOMBIA (b)(h) 0.2%
- --------------------------------------------------------------------------------
Republic of Colombia
3.000% due 12/22/2000 JY 150,000 $ 1,331
-----------
Total Colombia 1,331
(Cost $1,157) ===========
- --------------------------------------------------------------------------------
DENMARK (b)(h) 6.1%
- --------------------------------------------------------------------------------
Danske Kredit Mortgage
5.000% due 10/01/2029 DK 153,662 18,740
Kingdom of Denmark
6.000% due 11/15/2002 53,500 7,986
Nykredit
5.000% due 10/01/2029 485 59
Realkredit Danmark Mortgage
5.000% due 10/01/2029 431 52
Unikredit Realkredit
5.000% due 10/01/2029 71,235 8,696
-----------
Total Denmark 35,533
(Cost $38,392) ===========
- --------------------------------------------------------------------------------
FRANCE (b)(h) 0.9%
- --------------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 835 846
Caisse Autonome de Refinancement
7.750% due 12/06/1999 FF 1,100 180
Republic of France
3.000% due 07/25/2009 6,254 4,336
-----------
Total France 5,362
(Cost $5,661) ===========
- --------------------------------------------------------------------------------
GERMANY (b)(h) 15.1%
- --------------------------------------------------------------------------------
Allgemeine Hypobank AG
5.500% due 01/17/2007 EC 2,290 2,479
5.000% due 09/02/2009 (j) 2,200 2,235
Barclays Capital Corp.
3.246% due 12/20/2000 DM 2,000 1,087
Depfa Pfandbriefbank
0.000% due 01/15/2010 (j) EC 23,260 24,616
Dresdner Finance BV
3.179% due 01/11/2000 (d) DM 1,000 545
Hypothekenbank in Essen AG
4.750% due 08/11/2008 (j) EC 2,360 2,382
4.250% due 07/06/2009 8,460 8,135
Republic of Germany
4.500% due 07/04/2009 (j) 26,220 26,580
6.500% due 07/04/2027 (j) 14,170 16,338
Rheinische Hypothekenbank AG
4.000% due 09/15/2006 DK 3,440 3,427
-----------
Total Germany 87,824
===========
(Cost $89,292)
- --------------------------------------------------------------------------------
GREECE (b)(h) 0.6%
- --------------------------------------------------------------------------------
Hellenic Finance
2.000% due 07/15/2003 EC 1,600 1,753
Hellenic Republic
10.200% due 05/19/2003 (d) GD 100,000 331
10.180% due 06/17/2003 (d) 107,400 355
13.100% due 10/23/2003 (d) 376,000 1,248
-----------
Total Greece 3,687
===========
(Cost $3,946)
- --------------------------------------------------------------------------------
ITALY (b)(h) 2.8%
- --------------------------------------------------------------------------------
Republic of Italy
4.500% due 05/01/2009 (j) EC 3,710 3,731
6.500% due 11/01/2027 (j) 10,916 12,296
-----------
Total Italy 16,027
===========
(Cost $17,729)
34 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
JAPAN (b)(h) 19.9%
- --------------------------------------------------------------------------------
Government of Japan
4.100% due 12/22/2003 (j) JY 4,063,000 $ 43,341
4.500% due 12/20/2004 (j) 1,294,300 14,308
4.000% due 06/20/2005 (j) 141,300 1,540
3.400% due 06/20/2005 (j) 1,078,300 11,403
3.000% due 09/20/2005 925,000 9,591
3.300% due 06/20/2006 (j) 1,950,000 20,646
0.900% due 12/22/2008 (j) 1,375,700 11,973
SHL Corp. Limited
0.493% due 10/25/2023 (d) 172,022 1,617
0.794% due 12/25/2024 (d) 76,000 715
-----------
Total Japan 115,134
(Cost $108,539) ===========
- --------------------------------------------------------------------------------
MEXICO (h) 2.5%
- --------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 $ 600 544
Petroleos Mexicanos
8.850% due 09/15/2007 1,040 946
9.375% due 12/02/2008 1,290 1,317
United Mexican States
5.750% due 04/07/2000 (d) 6,000 5,932
8.750% due 05/30/2002 BP 270 441
6.768% due 06/27/2002 (d) 670 660
10.375% due 01/29/2003 DM 2,575 1,511
9.060% due 04/07/2004 (d) $ 3,100 3,117
-----------
Total Mexico 14,468
(Cost $14,330) ===========
- --------------------------------------------------------------------------------
NETHERLANDS (b)(h) 2.4%
- --------------------------------------------------------------------------------
General Motors Acceptance Corp.
6.875% due 09/09/2004 BP 2,780 4,500
GMAC International Finance BV
7.125% due 02/10/2000 $ 744 1,226
KPNQWest BV
7.125% due 06/01/2009 EC 3,700 3,777
LBW Finance NV
7.000% due 03/08/2000 $ 4,985 2,759
TPSA Finance BV
7.750% due 12/10/2008 1,470 1,430
-----------
Total Netherlands 13,692
(Cost $13,859) ===========
- --------------------------------------------------------------------------------
NEW ZEALAND (b)(h) 7.2%
- --------------------------------------------------------------------------------
Commonwealth of New Zealand
10.000% due 03/15/2002 (j) N$ 59,280 33,317
4.500% due 02/15/2016 (j) $ 16,500 8,527
-----------
Total New Zealand 41,844
(Cost $43,726) ===========
- --------------------------------------------------------------------------------
PHILIPPINES (b)(h) 0.7%
- --------------------------------------------------------------------------------
Republic of Philippines
8.000% due 09/17/2004 EC 2,420 2,658
6.000% due 12/01/2009 (d) $ 1,436 1,313
-----------
Total Philippines 3,971
(Cost $4,004) ===========
- --------------------------------------------------------------------------------
PORTUGAL (b)(h) 1.9%
- --------------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 (j) EC 11,770 11,157
-----------
Total Portugal 11,157
(Cost $10,913) ===========
- --------------------------------------------------------------------------------
SINGAPORE (b)(h) 2.2%
- --------------------------------------------------------------------------------
Singapore Government
4.375% due 10/15/2005 S$ 15,800 9,383
4.375% due 01/15/2009 S$ 5,900 3,415
-----------
Total Singapore 12,798
(Cost $12,720) ===========
- --------------------------------------------------------------------------------
SOUTH KOREA (b)(h) 1.8%
- --------------------------------------------------------------------------------
Korea Development Bank
2.850% due 05/14/2001 (d) DM 7,310 3,892
2.770% due 05/21/2001 JY 400,000 3,820
1.875% due 02/13/2002 13,000 122
Korean Export-Import Bank
7.250% due 06/25/2001 $ 1,945 1,930
6.500% due 02/10/2002 800 779
-----------
Total South Korea 10,543
(Cost $10,026) ===========
- --------------------------------------------------------------------------------
SPAIN (b)(h) 5.5%
- --------------------------------------------------------------------------------
Kingdom of Spain
5.150% due 07/30/2009 (j) EC 27,170 28,615
6.000% due 01/31/2029 (j) 3,123 3,341
-----------
Total Spain 31,956
(Cost $32,629) ===========
- --------------------------------------------------------------------------------
SUPRANATIONAL (b)(h) 9.0%
- --------------------------------------------------------------------------------
Asian Development Bank
5.375% due 09/15/2003 A$ 13,300 8,450
Eurofima
5.625% due 11/25/1999 FF 1,000 163
European Investment Bank
12.750% due 02/15/2000 IL 1,262,000 718
7.000% due 12/08/2003 BP 6,300 10,405
6.000% due 11/26/2004 (j) 1,500 2,390
5.375% due 08/28/2007 NK 2,400 295
Inter-American Development Bank
7.125% due 11/26/2004 BP 1,750 2,908
International Bank for Reconstruction & Development
6.875% due 07/14/2000 BP 2,500 4,135
7.000% due 09/18/2000 N$ 6,400 3,346
7.250% due 04/09/2001 6,400 3,347
7.000% due 06/07/2002 BP 1,100 1,820
7.250% due 05/27/2003 N$ 10,670 5,523
International Finance Corp.
6.340% due 02/17/2000 BP 4,965 8,183
World Bank
10.250% due 04/11/2002 PP 31,000 703
-----------
Total Supranational 52,386
(Cost $54,138) ===========
- --------------------------------------------------------------------------------
SWEDEN (b)(h) 0.4%
- --------------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 11,200 1,557
5.500% due 04/12/2002 (j) 6,100 758
-----------
Total Sweden 2,315
(Cost $2,412) ===========
- --------------------------------------------------------------------------------
TUNISIA (b)(h) 0.3%
- --------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 1,500 1,573
-----------
Total Tunisia 1,573
(Cost $1,524) ===========
- --------------------------------------------------------------------------------
UNITED KINGDOM (b)(h) 5.8%
- --------------------------------------------------------------------------------
Abbey National Treasury Service
5.250% due 01/21/2004 BP 2,670 4,103
FCE Bank PLC
7.500% due 12/08/1999 DM 9,808 5,384
General Electric Capital Corp.
6.750% due 12/30/1999 BP 1,029 1,697
9.000% due 02/14/2000 1,157 1,922
See accompanying notes 35
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
SCCR Series 1 Limited
2.589% due 05/15/2000 (d) IL 15,380,000 $ 8,454
United Kingdom Gilt
8.500% due 12/07/2005 (j) BP 6,456 11,858
-----------
Total United Kingdom 33,418
(Cost $33,837) ===========
- --------------------------------------------------------------------------------
UNITED STATES (b)(h) 68.1%
- --------------------------------------------------------------------------------
Asset-Backed Securities 7.1%
AFC Home Equity Loan Trust
5.603% due 03/25/2027 (d) $ 1,205 1,210
Americredit Automobile Receivable Trust
5.880% due 12/05/2003 250 249
Banc One Auto Grantor Trust
6.270% due 11/20/2003 623 624
6.290% due 07/20/2004 889 888
Bayview Financial Acquisition
5.889% due 02/25/2029 (d) 454 455
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 457 459
Citibank Credit Card Master Trust
5.279% due 05/15/2002 1,200 1,200
Comed Transitional Funding Trust
5.380% due 03/25/2002 583 583
Contimortgage Home Equity Loan Trust
6.370% due 10/15/2012 (d) 2,092 2,088
6.010% due 12/25/2013 13,765 13,714
Daimler-Benz Vehicle Trust
5.230% due 12/20/2001 2,128 2,126
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 1,019 1,018
EQCC Home Equity Loan Trust
5.543% due 03/20/2029 796 796
5.770% due 03/20/2029 3,992 3,995
First Security Auto Owner Trust
5.311% due 04/15/2002 1,528 1,526
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 468 468
MBNA Master Credit Card Trust
6.050% due 11/15/2002 2,070 2,072
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 3,393 3,384
Premier Auto Trust
6.250% due 08/06/2001 908 909
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 1,630 1,628
The Money Store Home Equity Trust
6.490% due 10/15/2026 460 454
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 1,445 1,440
-----------
41,286
===========
Corporate Bonds & Notes 19.7%
AES Corp.
10.250% due 07/15/2006 394 396
Associates Corp. of North America
5.596% due 08/27/2001 (d) 5,000 4,987
AT&T Capital Corp.
5.561% due 04/23/2002 (d) 675 662
Bancomext Trust Division
8.000% due 08/05/2003 390 377
Beckman Instruments, Inc.
7.100% due 03/04/2003 344 334
Buckeye Technologies, Inc.
8.000% due 10/15/2010 394 361
Building Materials Corp.
7.750% due 07/15/2005 247 227
8.000% due 10/15/2007 267 245
Calpine Corp.
7.875% due 04/01/2008 485 464
Capital One Bank
6.001% due 07/28/2003 (d) 12,000 11,985
Century Communications Corp.
0.000% due 03/15/2003 537 380
CMS Energy
8.125% due 05/15/2002 $ 385 $ 386
CSC Holdings, Inc.
9.875% due 04/01/2023 385 399
CSFP Credit
5.528% due 11/19/2004 (g) 19,000 19,190
DaimlerChrysler NA Holdings
5.748% due 08/23/2002 (d) 3,900 3,891
Echostar DBS Corp.
9.250% due 02/01/2006 488 482
Flag Limited
8.250% due 01/30/2008 385 337
Ford Credit Auto Owner Trust
5.810% due 03/15/2002 8,000 7,985
Garden State Newspapers
8.750% due 10/01/2009 360 331
General Motors Acceptance Corp.
5.619% due 12/10/2001 (d) $ 2,000 1,991
5.540% due 11/12/2002 (d) 5,100 5,067
5.560% due 04/05/2004 (d) 9,760 9,726
Hollinger International Publishing
8.625% due 03/15/2005 294 291
Household Finance Corp.
5.125% due 06/24/2009 EC 4,900 4,841
J.P. Morgan & Co.
5.459% due 02/15/2012 $ 5,500 4,821
Jones Intercable, Inc.
8.875% due 04/01/2007 427 445
K Mart Corp.
9.350% due 01/02/2020 406 436
Lehman Brothers Holdings, Inc.
5.733% due 02/27/2001 (d) 4,900 4,907
5.824% due 11/30/2006 (d) 1,000 875
McLeodUSA, Inc.
8.125% due 02/15/2009 585 547
Merrill Lynch & Co.
5.393% due 11/01/2001 (d) 6,830 6,809
MGM Grand, Inc.
6.950% due 02/01/2005 180 169
Navistar International Corp.
8.000% due 02/01/2008 329 320
Orange PLC
8.000% due 08/01/2008 294 284
Polymer Group, Inc.
9.000% due 07/01/2007 329 314
Rogers Cantel, Inc.
8.300% due 10/01/2007 385 402
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 12,738 12,400
Silgan Holdings, Inc.
9.000% due 06/01/2009 335 319
Sprint Corp.
5.875% due 05/01/2004 690 662
Texas Utilities Co.
6.438% due 09/24/2001 2,600 2,600
TV Guide, Inc.
8.125% due 03/01/2009 335 317
Unisys Corp.
12.000% due 04/15/2003 485 526
World Color Press, Inc.
8.375% due 11/15/2008 206 199
-----------
112,687
===========
Mortgage-Backed Securities 12.4%
Bank of America Mortgage Securities
6.500% due 05/25/2029 314 302
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 3,213 3,206
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 3,801 3,789
6.500% due 03/25/2029 140 128
Crusade Global Trust
5.844% due 02/15/2030 (d) 14,400 14,400
Federal Home Loan Mortgage Corp.
6.000% due 03/15/2008 1,003 996
9.050% due 06/15/2019 73 76
36 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------------
6.500% due 09/15/2022 $ 156 $ 155
6.811% due 06/01/2022 (d) 1,520 1,563
7.091% due 08/01/2022 (d) 928 948
Federal National Mortgage Assn.
5.500% due 02/25/2005 104 104
6.903% due 07/01/2021 (d) 1,010 1,041
7.043% due 11/01/2022 (d) 1,217 1,253
6.559% due 01/01/2023 (d) 1,493 1,535
6.599% due 01/01/2023 (d) 2,066 2,120
6.923% due 08/01/2023 (d) 1,173 1,205
GE Capital Mortgage Services, Inc.
6.250% due 07/25/2029 500 485
General Electric Capital Corp.
5.125% due 01/12/2004 6,230 9,550
Government National Mortgage Assn.
6.125% due 11/20/2021-12/20/2026 (d)(e) 13,105 6,977
6.375% due 05/20/2022-04/20/2027 (d)(e) 5,660 2,902
6.625% due 07/20/2022-09/20/2026 (d)(e) 25,636 13,331
7.000% due 11/22/2029 1,200 1,176
Independent National Mortgage Corp.
7.729% due 11/25/2024 (d) 44 44
Morgan Stanley Mortgage
8.150% due 07/20/2021 2 2
Prudential Home Mortgage Securities
6.800% due 05/25/2024 431 382
Residential Funding Mortgage Securities, Inc.
6.500% due 06/25/2029 1,196 1,001
Structured Asset Mortgage Investments, Inc.
6.584% due 06/25/2029 (d) 3,279 3,195
-----------
71,866
===========
U.S. Government Agencies 13.0%
Federal Home Loan Bank
6.000% due 05/12/2000 (d) 24,600 24,277
4.842% due 02/15/2002 (d) 14,000 13,672
Federal National Mortgage Assn.
6.500% due 07/10/2002 A$ 16,100 10,654
6.875% due 06/07/2002 (j) BP 10,230 16,898
7.250% due 06/20/2002 (j) N$ 14,850 7,744
5.500% due 12/07/2003 (j) BP 700 1,099
Student Loan Marketing Assn.
5.225% due 04/25/2004 (d) $ 374 373
5.195% due 10/25/2004 (d) 834 832
-----------
75,549
===========
U.S. Treasury Obligations 15.9%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (f)(j) 82,272 81,758
U.S. Treasury Bonds
12.500% due 08/15/2014 (j) 6,710 9,719
U.S. Treasury Notes
5.500% due 02/29/2000 790 791
92,268
-----------
Total United States 393,656
(Cost $395,384) ===========
- --------------------------------------------------------------------------------
PURCHASED CALL OPTIONS (b)(h) 1.1%
- --------------------------------------------------------------------------------
Japanese Yen vs. Euro (OTC)
Strike @114.000 Exp. 12/22/1999 EC 52,900 959
Republic of Germany (OTC)
4.750% due 07/04/2028
Strike @ 65.000 Exp. 01/18/2000 9,940 2,172
United Kingdom Gilt (OTC)
8.000% due 06/10/2003
Strike @ 95.000 Exp. 02/16/2000 BP 18,720 3,030
-----------
Total Purchased Call Options 6,161
(Cost $5,728) ===========
- --------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 3.6%
- --------------------------------------------------------------------------------
Interest Rate Swap (OTC)
Strike @ 6.280% Exp. 04/29/2002 $ 9,000 1,033
Japanese Yen vs. Euro (OTC)
Strike @ 125.000 Exp. 10/15/1999 8,350 1
Japanese Yen vs. U.S. Dollar (OTC)
Strike @ 120.000 Exp. 10/15/1999 12,300 0
Japanese Yen vs. U.S. Dollar (OTC)
Strike @ 120.000 Exp. 10/15/1999 8,200 0
U.S. Treasury Note (OTC)
5.250% due 05/31/2001
Strike @ 102.359 Exp. 12/06/1999 119,800 3,430
U.S. Treasury Note (OTC)
5.625% due 05/15/2008
Strike @ 108.812 Exp. 12/06/1999 83,500 9,685
U.S. Tresury Bond (OTC)
5.500% due 08/15/2028
Strike @ 105.406 Exp. 10/01/1999 13,060 2,058
United Kingdom Gilt (OTC)
6.000% due 12/07/2028
Strike @ 160.000 Exp. 02/10/2000 3,900 2,565
United Kingdom Gilt (OTC)
8.000% due 06/07/2021
Strike @ 170.000 Exp. 01/18/2000 4,680 2,314
-----------
Total Purchased Put Options 21,086
(Cost $21,137) ===========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.5%
- --------------------------------------------------------------------------------
Certificates of Deposit 1.1%
Commerzbank AG
6.200% due 05/10/2000 (d) 6,550 6,500
-----------
Commercial Paper 0.3%
Bellsouth Telecom
5.350% due 10/13/1999 1,500 1,497
-----------
Repurchase Agreement 0.1%
State Street Bank
4.800% due 10/01/1999 868 868
(Dated 09/30/1999. Collateralized by Federal
National Mortgage Association
6.000% 07/16/2001 valued at $885,922.
Repurchase proceeds are $868,116.)
-----------
Total Short-Term Instruments 8,865
(Cost $8,915) ===========
Total Investments (a) 172.5% $ 999,720
(Cost $1,006,965)
Written Options (c) (0.2%) (1,416)
(Premiums $1,124)
Other Assets and Liabilities (Net) (72.3%) (418,784)
-----------
Net Assets 100.0% $ 579,520
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 13,096
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (20,341)
-----------
Unrealized depreciation-net $ (7,245)
===========
See accompanying notes 37
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
September 30, 1999 (Unaudited)
(b) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- ------------------------------------------------------------------
Buy A$ 1,741 10/1999 $ 17
Sell 16,763 10/1999 (139)
Buy BP 3,431 10/1999 6
Sell 37,678 10/1999 (307)
Sell 2,880 11/1999 2
Buy C$ 1,420 10/1999 11
Sell 20,030 10/1999 (167)
Sell DK 190,745 10/1999 (660)
Buy 55,805 11/1999 47
Sell 174,832 11/1999 (220)
Buy 14,910 01/2000 25
Sell 34,382 01/2000 28
Buy 50,957 02/2000 175
Sell 29,447 02/2000 (66)
Buy EC 8,102 10/1999 61
Sell 65,364 10/1999 (645)
Buy 24,814 11/1999 506
Sell 19,489 11/1999 (445)
Sell 1,929 01/2000 (61)
Sell 1,154 02/2000 9
Sell 804 03/2000 (17)
Sell GD 721,432 01/2000 (41)
Sell H$ 203,800 02/2000 (84)
Sell 121,638 09/2000 (2)
Sell JY 26,093 10/1999 2
Buy 356,240 02/2000 (78)
Sell 1,589,804 02/2000 (316)
Sell N$ 33,013 10/1999 841
Sell 39,773 11/1999 68
Sell NK 5,691 10/1999 (1)
Buy 1,631 02/2000 6
Buy PZ 14,184 01/2000 (142)
Buy 8,320 02/2000 (69)
Buy 6,300 03/2000 8
Sell S$ 21,466 02/2000 (39)
Buy SK 47,900 10/1999 66
Sell 12,917 10/1999 6
--------------
$ (1,615)
==============
(c) Premiums received on written options:
# of
Type Contracts Premium Value
- -----------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 120.000 Exp. 11/20/1999 247 $ 135 $ 27
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 110.000 Exp. 11/20/1999 247 87 81
Put - OTC U.S. Treasury Note
5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 3,500 14 0
Put - OTC Japanese Yen vs. US Dollar
Strike @ 120.000 Exp. 10/15/1999 8,200 45 0
Put - OTC Japanese Yen vs. Eurodollar
Strike @ 125.000 Exp. 10/15/1999 8,350 118 1
Put - OTC Eurodollar vs. Japanese Yen
Strike @ 112.000 Exp. 11/26/1999 6,300 86 108
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.280% Exp. 04/29/2000 16,000 634 1,194
Put - LIFFE EURIBOR September Futures
Strike @ 96.000 Exp. 09/18/2000 6,300 5 5
------------------
$ 1,124 $1,416
==================
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Securities are grouped by coupon or range of coupons and represent
a range of maturities.
(f) Principal amount of the security is adjusted for inflation.
(g) Restricted security.
(h) Principal amount denoted in indicated currency:
A$ - Australian Dollar
BF - Belgian Franc
BP - British Pound
C$ - Canadian Dollar
DK - Danish Krone
DM - German Mark
EC - European Currency Unit
FF - French Franc
GD - Greek Drachma
H$ - Hong Kong Dollar
IL - Italian Lira
JY - Japanese Yen
N$ - New Zealand Dollar
NK - Norwegian Kron
PP - Philippines Peso
PZ - Polish Zloty
S$ - Singapore Dollar
SK - Swedish Krona
(i) Swap agreements outstanding at September 30, 1999:
Notional Unrealized
Type Amount Appreciation
- --------------------------------------------------------------------------------
Receive fixed rate equal to 6.949% and
pay floating rate based on 6 month LIBOR.
Broker: Merrill Lynch
Exp. 08/06/2003 $ 28,900 $ 109
(j) Subject to a financing transaction.
38 See accompanying notes
<PAGE>
Schedule of Investments
Global Bond Fund II
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
ARUBA 0.5%
- --------------------------------------------------------------------------------
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 $ 200 $ 205
--------------
Total Aruba 205
==============
(Cost $200)
- --------------------------------------------------------------------------------
AUSTRALIA (c)(f) 1.1%
- --------------------------------------------------------------------------------
Bankers Trust Australia
5.366% due 06/02/2008 (d) $ 300 295
Commonwealth of Australia
9.000% due 09/15/2004 A$ 140 104
9.500% due 08/15/2003 (i) 100 74
--------------
Total Australia 473
==============
(Cost $484)
- --------------------------------------------------------------------------------
BELGIUM 0.4%
- --------------------------------------------------------------------------------
Kingdom of Belgium
6.750% due 11/21/2004 (d) (i) BF 5,800 166
--------------
Total Belgium 166
==============
(Cost $190)
- --------------------------------------------------------------------------------
BULGARIA 0.5%
- --------------------------------------------------------------------------------
Republic of Bulgaria
6.500% due 07/28/2011 (d) EC 40 28
2.750% due 07/28/2012 (d) $ 303 190
--------------
Total Bulgaria 218
==============
(Cost $222)
- --------------------------------------------------------------------------------
CANADA (c)(f) 4.2%
- --------------------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 230 158
Commonwealth of Canada
6.625% due 10/03/2007 N$ 1,410 682
6.000% due 06/01/2008 (i) C$ 880 609
Export Development Corp.
6.500% due 12/21/2004 N$ 693 343
--------------
Total Canada 1,792
==============
(Cost $1,874)
- --------------------------------------------------------------------------------
CAYMAN ISLANDS 0.9%
- --------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C.
5.300% due 09/21/2000 JY 10,000 97
Residential Reinsurance
9.163% due 06/01/2000 (d) $ 300 299
--------------
Total Cayman Islands 396
==============
(Cost $386)
- --------------------------------------------------------------------------------
DENMARK (c)(f) 4.4%
- --------------------------------------------------------------------------------
Danske Kredit Mortgage
5.000% due 10/01/2029 DK 7,573 924
Kingdom of Denmark
6.000% due 11/15/2002 (i) 3,100 463
Nykredit
5.000% due 10/01/2029 35 4
Realkredit Danmark Mortgage
5.000% due 10/01/2029 30 4
Unikredit Realkredit
5.000% due 10/01/2029 4,238 517
--------------
Total Denmark 1,912
==============
(Cost $2,062)
- --------------------------------------------------------------------------------
FRANCE 0.9%
- --------------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 62 61
Republic of France
3.000% due 07/25/2009 (j) 455 316
--------------
Total France 377
==============
(Cost $400)
- --------------------------------------------------------------------------------
GERMANY 12.5%
- --------------------------------------------------------------------------------
Allgemeine Hypobank AG
5.500% due 01/17/2007 EC 120 130
5.000% due 09/02/2009 100 102
Depfa Pfandbriefbank
3.750% due 01/15/2009 100 93
5.500% due 01/15/2010 1,370 1,450
Hypothekenbank In Essen AG
4.750% due 08/11/2008 190 192
4.250% due 07/06/2009 510 490
Republic of Germany
4.500% due 07/04/2009 1,939 1,966
Rheinische Hypothekenbank AG
4.000% due 09/15/2006 290 289
5.000% due 04/16/2008 260 269
Treuhandanstalt
7.500% due 09/09/2004 310 371
---------------
Total Germany 5,352
===============
(Cost $5,316)
- --------------------------------------------------------------------------------
GREECE (c)(f) 0.3%
- --------------------------------------------------------------------------------
Hellenic Republic
10.180% due 06/17/2003 (d) GD 7,400 24
13.100% due 10/23/2003 (d) 33,600 112
---------------
Total Greece 136
===============
(Cost $159)
- --------------------------------------------------------------------------------
ITALY 2.0%
- --------------------------------------------------------------------------------
Republic of Italy
4.500% due 05/01/2009 (i) EC 340 342
6.500% due 11/01/2027 (i) 460 518
---------------
Total Italy 860
===============
(Cost $932)
- --------------------------------------------------------------------------------
JAPAN (c)(f) 8.6%
- --------------------------------------------------------------------------------
Government of Japan
4.500% due 12/20/2004 (i) JY 68,700 759
3.400% due 06/20/2005 (i) 28,000 296
4.000% due 06/20/2005 (i) 11,000 120
3.000% due 09/20/2005 74,000 767
3.300% due 06/20/2006 (i) 145,000 1,535
0.900% due 12/22/2008 (i) 5,700 50
SHL Corporation Limited
0.493% due 10/25/2023 (d) 11,578 109
0.794% due 12/25/2024 (d) 5,000 47
---------------
Total Japan 3,683
===============
(Cost $3,564)
- --------------------------------------------------------------------------------
MEXICO 2.6%
- --------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 $ 110 100
Petroleos Mexicanos
8.850% due 09/15/2007 140 127
9.375% due 12/02/2008 190 194
United Mexican States
8.750% due 05/30/2002 BP 150 245
6.768% due 06/27/2002 (d) 130 128
10.375% due 01/29/2003 DM 200 117
9.060% due 04/07/2004 (d) $ 200 201
---------------
Total Mexico 1,112
===============
(Cost $1,093)
- --------------------------------------------------------------------------------
NETHERLANDS 1.1%
- --------------------------------------------------------------------------------
Deutsche Bank Financial
5.218% due 12/17/2003 (d) $ 200 200
KPNQWest BV
7.125% due 06/01/2009 EC 250 255
---------------
Total Netherlands 455
===============
(Cost $462)
See accompanying notes 39
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund II
September 30, 1999 (Unaudited) Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
NEW ZEALAND (c)(f) 4.7%
- --------------------------------------------------------------------------------
Commonwealth of New Zealand
10.000% due 03/15/2002 (i) N$ 2,500 $ 1,405
4.500% due 02/15/2016 1,200 620
--------------
Total New Zealand 2,025
(Cost $2,126) ==============
- --------------------------------------------------------------------------------
PHILIPPINES 0.7%
- --------------------------------------------------------------------------------
Republic of Philippines
8.000% due 09/17/2004 EC 170 187
6.000% due 12/01/2009 (d) $ 109 100
--------------
Total Philippines 287
(Cost $289) ==============
- --------------------------------------------------------------------------------
PORTUGAL 0.4%
- --------------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 EC 200 190
--------------
Total Portugal 190
(Cost $185) ==============
- --------------------------------------------------------------------------------
SINGAPORE (c)(f) 2.2%
- --------------------------------------------------------------------------------
Singapore Government
4.375% due 10/15/2005 S$ 1,300 771
4.375% due 01/15/2009 300 174
--------------
Total Singapore 945
(Cost $940) ==============
- --------------------------------------------------------------------------------
SOUTH KOREA 1.7%
- --------------------------------------------------------------------------------
Korea Development Bank
2.850% due 05/14/2001 (d) DM 440 234
1.875% due 02/13/2002 JY 25,000 235
Korean Export-Import Bank
7.250% due 06/25/2001 $ 260 258
--------------
Total South Korea 727
(Cost $698) ==============
- --------------------------------------------------------------------------------
SPAIN 3.6%
- --------------------------------------------------------------------------------
Kingdom of Spain
5.150% due 07/30/2009 EC 1,390 1,464
6.000% due 01/31/2029 (i) 97 104
--------------
Total Spain 1,568
(Cost $1,600) ==============
- --------------------------------------------------------------------------------
SUPRANATIONAL (c)(f) 8.7%
- --------------------------------------------------------------------------------
Asian Development Bank
5.375% due 09/15/2003 A$ 1,000 635
European Investment Bank
7.000% due 12/08/2003 BP 400 661
5.375% due 08/28/2007 NK 500 61
Inter-American Development Bank
7.125% due 11/26/2004 BP 80 133
International Bank for Reconstruction & Development
6.875% due 07/14/2000 200 331
7.000% due 09/18/2000 N$ 500 261
7.250% due 04/09/2001 1,376 720
7.000% due 06/07/2002 BP 100 165
7.250% due 05/27/2003 N$ 890 461
World Bank
7.250% due 01/16/2002 480 251
10.250% due 04/11/2002 PP 2,000 45
--------------
Total Supranational 3,724
(Cost $3,845) ==============
- --------------------------------------------------------------------------------
SWEDEN (c)(f) 0.4%
- --------------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 900 125
5.500% due 04/12/2002 (i) 400 50
--------------
Total Sweden 175
(Cost $183) ==============
- --------------------------------------------------------------------------------
TUNISIA 0.2%
- --------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 100 105
--------------
Total Tunisia 105
(Cost $102) ==============
- --------------------------------------------------------------------------------
UNITED KINGDOM (c)(f) 2.7%
- --------------------------------------------------------------------------------
Equitable
8.000% due 08/29/2049 (d) BP 700 1,152
--------------
Total United Kingdom 1,152
(Cost $1,169) ==============
- --------------------------------------------------------------------------------
UNITED STATES 69.9%
- --------------------------------------------------------------------------------
Asset-Backed Securities 8.1%
AFC Home Equity Loan Trust
5.693% due 12/22/2027 (d) $ 108 106
Banc One Auto Grantor Trust
6.270% due 11/20/2003 30 30
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 37 37
Comed Transitional Funding Trust
5.380% due 03/25/2002 48 48
Conti Mortgage Home Equity Loan Trust
6.010% due 12/25/2013 486 484
Daimler-Benz Vehicle Trust
5.230% due 12/20/2001 170 170
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 62 62
First Security Auto Owner Trust
5.311% due 04/15/2002 764 763
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 39 39
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 120 120
Premier Auto Trust
6.250% due 08/06/2001 182 182
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 110 110
Residential Asset Securities Corp.
5.479% due 12/25/2013 (d) 307 307
Salomon Brothers Mortgage Securities
5.960% due 11/10/2029 200 200
The Money Store Home Equity Trust
6.490% due 10/15/2026 30 30
United Panam Mortgage Loan Asset Backed Certificate
5.830% due 09/25/2029 680 680
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 107 107
--------------
3,475
==============
Corporate Bonds & Notes 16.9%
AES Corp.
10.250% due 07/15/2006 20 20
Associates Corp. of North America
5.596% due 08/27/2001 (d) 400 399
Bancomext Trust Division
8.000% due 08/05/2003 70 68
Beckman Instruments, Inc.
7.100% due 03/04/2003 22 21
Buckeye Technologies, Inc.
8.000% due 10/15/2010 20 18
Building Materials Corp.
7.750% due 07/15/2005 12 11
8.000% due 10/15/2007 12 11
Calpine Corp.
7.875% due 04/01/2008 26 25
40 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------------
Century Communications Corp.
0.000% due 03/15/2003 $ 26 $ 18
CMS Energy
8.125% due 05/15/2002 26 26
CSC Holdings, Inc.
9.875% due 04/01/2023 26 27
CSFP Credit
5.528% due 11/19/2004 (h) 1,750 1,768
DaimlerChrysler NA Holdings
5.748% due 08/23/2002 (d) 420 419
Echostar Communications Corp.
9.250% due 02/01/2006 26 26
Flag Limited
8.250% due 01/30/2008 26 23
Garden State Newspapers
8.750% due 10/01/2009 16 15
General Motors Acceptance Corp.
5.560% due 04/05/2004 (d) 1,040 1,036
Hewlett-Packard Finance
5.625% due 11/20/2000 DM 100 56
Hollinger International Publishing
8.625% due 03/15/2005 $ 20 20
Jones Intercable, Inc.
8.875% due 04/01/2007 26 27
K Mart Corp.
9.350% due 01/02/2020 26 28
Lehman Brothers Holdings, Inc.
6.110% due 07/15/2002 (d) 400 400
McLeodUSA, Inc.
8.125% due 02/15/2009 26 24
Merrill Lynch & Co.
5.393% due 11/01/2001 (d) 510 508
MGM Grand, Inc.
6.950% due 02/01/2005 10 9
Navistar International Corp.
8.000% due 02/01/2008 16 16
Orange PLC
8.000% due 08/01/2008 20 19
Polymer Group, Inc.
9.000% due 07/01/2007 16 15
Rogers Cantel, Inc.
8.300% due 10/01/2007 26 27
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (f) 1,408 1,371
Silgan Holdings, Inc.
9.000% due 06/01/2009 16 15
Sprint Corp.
5.875% due 05/01/2004 50 48
TCI Communications, Inc.
6.185% due 04/01/2002 (d) 300 305
Tennessee Valley Authority
3.375% due 01/15/2007 179 165
Texas Utilities Co.
6.438% due 09/24/2001 200 200
TV Guide, Inc.
8.125% due 03/01/2009 16 15
Unisys Corp.
12.000% due 04/15/2003 26 28
World Color Press, Inc.
8.375% due 11/15/2008 10 10
--------------
7,237
==============
Mortgage-Backed Securities 11.8%
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 239 239
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 286 286
6.500% due 03/25/2029 10 9
Crusade Global Trust
5.844% due 02/15/2030 (d) 1,100 1,100
Federal National Mortgage Assn.
5.500% due 02/25/2005 7 7
7.000% due 02/25/2020 130 130
Government National Mortgage Assn.
6.125% due 11/20/2021-12/20/2026 (d)(e) 1,174 617
6.625% due 07/20/2022-09/20/2026 (d)(e) 1,785 1,301
6.500% due 10/21/2029 100 96
7.000% due 10/21/2029 980 962
7.500% due 10/21/2029 80 80
Structured Asset Mortgage Investments, Inc.
6.584% due 06/25/2029 (d) 229 223
--------------
5,050
==============
U.S. Government Agencies 11.6%
Federal Home Loan Bank
6.000% due 05/12/2000 (d) 1,600 1,579
Federal National Mortgage Assn.
7.250% due 06/20/2002 (i) N$ 340 177
6.500% due 07/10/2002 (i) A$ 200 132
6.500% due 04/29/2009 (i) $ 700 670
Student Loan Marketing Assn.
5.257% due 10/25/2007 (d) 900 897
5.495% due 04/25/2007 (d) 1,561 1,558
--------------
5,013
==============
U.S. Treasury Obligations 21.5%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (i)(j) $ 5,204 5,171
3.625% due 07/15/2002 (i)(j) 2,082 2,069
U.S. Treasury Bonds
12.500% due 08/15/2014 830 1,202
U.S. Treasury Notes
5.500% due 02/29/2000 (b) 100 100
6.000% due 08/15/2004 680 687
--------------
9,229
--------------
Total United States 30,004
(Cost $30,117) ==============
- ----------------------------------------------------------------------------
PURCHASED CALL OPTIONS 1.1%
- ----------------------------------------------------------------------------
Japanese Yen vs. Euro (OTC)
Strike @ 114.000 Exp. 12/22/1999 EC 3,700 67
Republic of Germany (OTC)
4.750% due 07/04/2028
Strike @ 65.000 Exp. 01/18/2000 710 155
United Kingdom Gilt (OTC)
8.000% due 06/10/2003
Strike @ 95.000 Exp. 02/16/2000 BP 1,440 233
--------------
Total Purchased Call Options 455
(Cost $425) ==============
- ----------------------------------------------------------------------------
PURCHASED PUT OPTIONS 1.1%
- ----------------------------------------------------------------------------
Interest Rate Swap (OTC)
Strike @ 6.280% Exp. 04/29/2002 $ 600 69
Japanese Yen vs. Euro (OTC)
Strike @ 125.000 Exp. 10/15/1999 590 0
Japanese Yen vs. U.S. Dollar (OTC)
Strike @ 120.000 Exp. 10/15/1999 1,500 0
U.S. Treasury Bond (OTC)
5.500% due 08/15/2028
Strike @ 105.406 Exp. 10/01/1999 380 60
United Kingdom Gilt (OTC)
6.000% due 12/07/2028
Strike @ 160.000 Exp. 02/10/2000 300 197
United Kingdom Gilt (OTC)
8.000% due 06/07/2021
Strike @ 170.000 Exp. 01/18/2000 340 168
--------------
Total Purchased Put Options 494
(Cost $460) ==============
- ----------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 6.0%
- ----------------------------------------------------------------------------
Certificates of Deposit 1.6%
Commerzbank AG
6.200% due 05/10/2000 (d) 680 675
--------------
Commercial Paper 3.3%
American Express
5.340% due 10/27/1999 500 498
See accompanying notes 41
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund II
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------------
General Electric Capital Corp.
5.300% due 10/05/1999 $ 100 $ 100
Procter & Gamble Co.
5.280% due 10/20/1999 800 798
--------------
1,396
==============
Repurchase Agreement 1.1%
State Street Bank
4.800% due 10/01/1999 482 482
(Dated 09/30/1999. Collateralized by Federal
National Mortgage Association
5.650% 04/28/2000 valued at $496,509.
Repurchase proceeds are $482,064.)
--------------
Total Short-Term Instruments 2,553
(Cost $2,558) ==============
Total Investments (a) 143.4% $ 61,541
(Cost $62,041)
Written Options (c) (0.2%) (101)
(Premiums $90)
Other Assets and Liabilities (Net) (43.2%) (18,536)
--------------
Net Assets 100.0% $ 42,904
==============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 421
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (921)
--------------
Unrealized depreciation-net $ (500)
==============
(b) Securities with an aggregate market value of $100 have
been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 1999:
# of Unrealized
Type Contracts Appreciation
- ----------------------------------------------------------------------------
United Kingdom 90 Day LIBOR (09/2000) 2 1
United Kingdom 90 Day LIBOR (12/2000) 2 1
United Kingdom 90 Day LIBOR (03/2001) 2 2
United Kingdom 90 Day LIBOR (06/2001) 2 1
--------------
$ 4
==============
(c) Foreign forward currency contracts outstanding at
September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- ---------------------------------------------------------------------------
Buy A$ 126 10/1999 1
Sell 1,232 10/1999 (11)
Buy BP 205 10/1999 0
Sell 2,052 10/1999 (13)
Sell 205 11/1999 0
Buy C$ 24 10/1999 0
Sell 352 10/1999 (3)
Sell DK 14,360 10/1999 (37)
Buy 3,686 11/1999 3
Sell 9,111 11/1999 (11)
Buy 2,031 01/2000 1
Sell 3,803 01/2000 1
Buy 2,373 02/2000 8
Sell 1,639 02/2000 (4)
Buy EC 1,159 10/1999 18
Sell 1,604 10/1999 (13)
Buy 1,795 11/1999 37
Sell 1,619 11/1999 (35)
Sell 151 01/2000 (5)
Sell 84 02/2000 1
Sell 62 03/2000 (1)
Sell GD 50,518 01/2000 (3)
Sell H$ 15,000 02/2000 (6)
Sell 8,953 09/2000 0
Sell JY 59,128 02/2000 (17)
Buy N$ 474 10/1999 (1)
Sell 2,730 10/1999 15
Sell 3,726 11/1999 23
Sell NK 315 10/1999 0
Sell 227 02/2000 (1)
Buy PZ 1,047 01/2000 (10)
Buy 600 02/2000 (5)
Buy 480 03/2000 1
Sell S$ 1,591 02/2000 (3)
Buy SK 3,500 10/1999 5
Sell 1,152 10/1999 1
-------------
$ (64)
=============
(d) Variable rate security. The rate listed is as of
September 30, 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
BP - British Pound
C$ - Canadian Dollar
DK - Danish Krone
EC - European Currency Unit
GD - Greek Drachma
H$ - Hong Kong Dollar
JY - Japanese Yen
N$ - New Zealand Dollar
NK - Norwegian Kron
PZ - Polish Zloty
S$ - Singapore Dollar
SK - Swedish Krona
42 See accompanying notes
<PAGE>
- -----------------------------------------------------------------------------
(g) Premium received on written options:
# of
Type Contracts Premium Value
- -----------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 120.000 Exp. 11/20/1999 18 $ 11 $ 2
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 110.000 Exp. 11/20/1999 18 6 6
Put - OTC U.S.Treasury Note
5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 300 1 0
Put - OTC Japanese Yen vs. US Dollar
Strike @ 120.000 Exp. 10/15/1999 600 3 0
Put - OTC Japanese Yen vs. Eurodollar
Strike @ 125.000 Exp. 10/15/1999 590 8 0
Put - OTC Eurodollar vs. Japanese Yen
Strike @ 112.000 Exp. 11/26/1999 450 6 8
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.280% Exp. 04/29/2000 1,000 40 74
Put - LIFFE EURIBOR September Futures
Strike @ 96.000 Exp. 09/18/2000 5,000 5 4
Put - LIFFE BP 90 Day LIBOR 09/2000
Strike @ 93.000 Exp. 09/20/2000 4,000 10 7
-------------------------
$ 90 $ 101
=========================
(i) Subject to a financing transaction.
(j) Principal amount of the security is adjusted for
inflation.
(k) Swap agreements outstanding at September 30, 1999:
Unrealized
Notional Appreciation
Type Amount (Depreciation)
- -------------------------------------------------------------------------------
Receive fixed rate equal to 5.935% and pay floating rate
based on 6 month BP-LIBOR.
Broker: Merrill Lynch
Exp. 11/05/2003 BP 1,700 $ (96)
Receive fixed rate equal to 6.949% and pay floating rate
based on 6 month LIBOR.
Broker: Merrill Lynch
Exp. 08/06/2003 1,400 5
--------------
$ (91)
==============
See accompanying notes 43
<PAGE>
Schedule of Investments
High Yield Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------
CORPORATE BONDS & NOTES 84.1%
- -----------------------------------------------------------------------------
Banking & Finance 7.2%
Americredit Corp.
9.875% due 04/15/2006 $ 675 $ 682
Arvin Capital
9.500% due 02/01/2027 19,000 18,900
Bay View Capital Corp.
9.125% due 08/15/2007 8,200 7,545
Charter Commercial Holdings LLC
8.250% due 04/01/2007 13,750 12,908
Crown Castle International Corp.
13.250% due 11/15/2007 2,000 1,400
Forest City Enterprises
8.500% due 03/15/2008 12,350 11,671
Fuji Bank
9.870% due 12/31/2049 (d) 36,000 36,540
General Motors Acceptance Corp.
5.438% due 04/29/2002 (d) 800 799
Golden State Holdings
7.000% due 08/01/2003 205 195
7.125% due 08/01/2005 870 807
Host Marriott LP
8.375% due 02/15/2006 5,000 4,725
Mercury Finance Co.
10.009% due 03/23/2001 25,600 24,048
10.000% due 03/23/2001 31,450 29,720
Nextel Partners, Inc.
0.000% due 02/01/2009 17,750 10,473
Presidential Life Insurance Corp.
7.875% due 02/15/2009 12,750 12,395
Reliance Group Holdings
9.000% due 11/15/2000 5,528 5,552
Sumitomo
9.400% due 12/29/2049 (d) 30,300 30,531
TPSA Finance BV
7.750% due 12/10/2008 13,950 13,571
Trizec Finance Limited
10.875% due 10/15/2005 19,461 20,337
Willis Corroon Corp.
9.000% due 02/01/2009 15,700 14,209
--------------
257,008
==============
Industrials 68.5%
Abbey Healthcare Group
9.500% due 11/01/2002 12,945 13,058
Advanced Lighting
8.000% due 03/15/2008 11,425 10,183
AEI Holding Co.
10.500% due 12/15/2005 12,880 11,592
Agriculture Minerals & Chemicals
10.750% due 09/30/2003 3,000 1,875
Airtrust
0.000% due 06/01/2013 12,942 4,815
Allied Waste Industries
7.875% due 03/15/2005 2,000 1,853
Allied Waste North America, Inc.
7.375% due 01/01/2004 15,100 13,892
7.625% due 01/01/2006 23,225 20,903
10.000% due 08/01/2009 21,250 19,550
American Airlines
10.610% due 03/04/2010 650 775
American Axle & Manufacturing, Inc.
9.750% due 03/01/2009 9,550 9,478
American Standard, Inc.
7.125% due 02/15/2003 300 288
7.375% due 02/01/2008 10,800 9,828
9.250% due 12/01/2016 6,084 6,145
Amerigas Partners LP
10.125% due 04/15/2007 3,000 3,113
Amphenol Corp.
9.875% due 05/15/2007 11,825 11,914
Applied Power, Inc.
8.750% due 04/01/2009 21,280 20,057
Archibald Candy Corp.
10.250% due 07/01/2004 5,000 4,951
AT&T Canada, Inc.
10.625% due 11/01/2008 9,600 10,992
Ball Corp.
7.750% due 08/01/2006 8,750 8,576
8.250% due 08/01/2008 9,600 9,337
Beckman Instruments, Inc.
7.100% due 03/04/2003 5,000 4,859
7.450% due 03/04/2008 17,950 16,618
Benedek Communications Corp.
0.000% due 05/15/2006 (c) 1,500 1,315
Beverly Enterprises, Inc.
9.000% due 02/15/2006 19,925 17,236
Bresnan Communications
8.000% due 02/01/2009 2,000 1,966
Buckeye Technologies, Inc.
8.000% due 10/15/2010 10,100 9,268
Building Materials Corp.
7.750% due 07/15/2005 15,950 14,674
8.625% due 12/15/2006 1,235 1,187
8.000% due 10/15/2007 2,050 1,881
8.000% due 12/01/2008 22,250 20,414
Cablevision SA
13.750% due 05/01/2009 3,500 3,264
Cadmus Communications Corp.
9.750% due 06/01/2009 6,100 6,108
Call-Net Enterprises, Inc.
8.000% due 08/15/2008 6,900 5,624
9.375% due 05/15/2009 6,400 5,696
Canadian Forest Oil Limited
8.750% due 09/15/2007 4,900 4,742
Century Communications Corp.
9.500% due 08/15/2000 600 607
0.000% due 03/15/2003 10,400 7,359
9.500% due 03/01/2005 2,000 2,000
8.750% due 10/01/2007 6,000 5,836
0.000% due 01/15/2008 5,000 2,175
CF Cable TV, Inc.
9.125% due 07/15/2007 9,000 9,770
Chattem, Inc.
8.875% due 04/01/2008 4,950 4,690
Circus Circus Enterprises
6.750% due 07/15/2003 21,900 20,039
9.250% due 12/01/2005 6,350 6,406
Clark R & M, Inc.
8.375% due 11/15/2007 5,000 4,350
8.625% due 08/15/2008 4,500 3,960
Clearnet Communications
0.000% due 05/01/2009 6,000 3,660
Coltec Industries, Inc.
7.500% due 04/15/2008 32,150 31,761
Columbia/HCA Healthcare
6.125% due 12/15/2000 2,000 1,945
6.910% due 06/15/2005 1,250 1,118
7.000% due 07/01/2007 3,350 2,916
8.360% due 04/15/2024 6,000 5,548
6.730% due 07/15/2045 9,000 8,636
Columbus McKinnon
8.500% due 04/01/2008 17,500 16,319
Comcast Corp.
9.500% due 01/15/2008 6,837 7,110
Consolidated Container Co.
10.125% due 07/15/2009 12,150 12,272
Container Corp. of America
9.750% due 04/01/2003 1,000 1,028
11.250% due 05/01/2004 6,770 7,007
Continental Cablevision
9.500% due 08/01/2013 10,000 10,996
Cross Timbers Oil Co.
9.250% due 04/01/2007 4,440 4,407
8.750% due 11/01/2009 6,000 5,805
CSC Holdings, Inc.
9.875% due 05/15/2006 850 890
9.875% due 02/15/2013 2,000 2,115
10.500% due 05/15/2016 11,000 12,059
7.875% due 02/15/2018 10,000 9,539
44 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------------
9.875% due 04/01/2023 $ 4,000 $ 4,151
Cumberland Farms
10.500% due 10/01/2003 5,540 5,457
Dade International, Inc.
11.125% due 05/01/2006 3,350 3,471
Delta Air Lines, Inc.
10.790% due 03/26/2014 2,264 2,669
Dial Call Communications
10.250% due 12/15/2005 (d) 6,697 6,806
Diamond Cable Communication Co.
0.000% due 09/30/2004 2,000 2,133
0.000% due 12/15/2005 (d) 10,000 8,950
Dunlop Stand Aero Holdings
11.875% due 05/15/2009 8,000 8,080
Echostar Communications Corp.
9.250% due 02/01/2006 33,650 33,398
9.375% due 02/01/2009 6,875 6,841
Emmis Communications Corp.
8.125% due 03/15/2009 7,150 6,810
Energis PLC
9.750% due 06/15/2009 7,500 7,688
Extended Stay America
9.150% due 03/15/2008 11,500 10,983
Extendicare Health Services
9.350% due 12/15/2007 5,950 3,630
EZ Communication, Inc.
9.750% due 12/01/2005 2,500 2,655
Falcon Holding Group LP
0.000% due 04/15/2010 (c) 11,700 8,366
8.375% due 04/15/2010 7,150 7,096
Federal-Mogul Corp.
7.500% due 07/01/2004 29,000 27,805
7.375% due 01/15/2006 250 232
7.750% due 07/01/2006 11,350 10,661
Ferrellgas Partners LP
9.375% due 06/15/2006 14,286 13,929
Fisher Scientific International
7.125% due 12/15/2005 13,750 12,547
9.000% due 02/01/2008 34,470 32,057
Forest Oil Corp.
10.500% due 01/15/2006 4,835 5,004
Fox/Liberty Networks LLC
0.000% due 08/15/2007 9,750 7,703
Fred Meyer, Inc.
7.450% due 03/01/2008 400 397
Furon Co.
8.125% due 03/01/2008 4,650 4,720
Garden State Newspapers
8.750% due 10/01/2009 24,655 22,683
8.625% due 07/01/2011 6,900 6,245
Globalstar LP
11.375% due 02/15/2004 8,350 5,386
11.250% due 06/15/2004 5,500 3,493
10.750% due 11/01/2004 3,106 1,988
Globe Telecom
13.000% due 08/01/2009 4,350 4,551
Golden Northwest Aluminum
12.000% due 12/15/2006 3,850 3,994
Grupo Televisa SA
11.375% due 05/15/2003 1,300 1,367
0.000% due 05/15/2008 (c) 6,475 5,455
Gulf Canada Resources
9.250% due 01/15/2004 12,575 12,658
9.625% due 07/01/2005 1,680 1,730
8.375% due 11/15/2005 4,000 3,920
Harnischfeger Industrial, Inc.
8.900% due 03/01/2022 6,300 2,930
7.250% due 12/15/2025 9,500 4,418
Harrahs Operating Co., Inc.
7.875% due 12/15/2005 10,400 10,010
7.500% due 01/15/2009 20,675 19,849
Henry Co.
10.000% due 04/15/2008 1,000 675
HMH Properties, Inc.
7.875% due 08/01/2005 20,900 19,333
8.450% due 12/01/2008 6,350 5,906
Hollinger International Publishing
9.250% due 02/01/2006 2,800 2,779
Holmes Products Corp.
9.875% due 11/15/2007 4,200 3,801
Horseshoe Gaming Holding
8.625% due 05/15/2009 23,200 22,098
HS Resources, Inc.
9.250% due 11/15/2006 5,250 5,237
Huntsman Corp.
9.500% due 07/01/2007 12,350 11,455
Huntsman ICI Chemicals
10.125% due 07/01/2009 2,500 2,463
Huntsman Packaging Corp.
9.125% due 10/01/2007 11,050 10,221
Impsat Corp.
12.375% due 06/15/2008 10,900 8,311
Intergrated Health Services
8.563% due 12/31/2005 (d) 50 41
8.813% due 12/31/2005 (d) 9,800 8,036
9.500% due 09/15/2007 2,950 457
Intermedia Communications, Inc.
0.000% due 05/15/2006 (c) 31,535 25,701
International Game Technology
7.875% due 05/15/2004 16,500 15,881
8.375% due 05/15/2009 14,250 13,680
ISP Holdings, Inc.
9.750% due 02/15/2002 250 253
9.000% due 10/15/2003 23,370 23,428
ITC Deltacom, Inc.
11.000% due 06/01/2007 3,250 3,429
9.750% due 11/15/2008 1,750 1,754
IXC Communications, Inc.
9.000% due 04/15/2008 8,500 8,458
J.Q. Hammons Hotels
8.875% due 02/15/2004 4,950 4,579
Jones Intercable, Inc.
8.875% due 04/01/2007 5,060 5,269
JPS Automotive Products
11.125% due 06/15/2001 9,000 9,225
Jupiters Limited
8.500% due 03/01/2006 11,850 11,376
K Mart Corp.
12.350% due 01/01/2008 4,127 4,316
8.800% due 07/01/2010 1,250 1,219
9.350% due 01/02/2020 14,874 15,989
9.780% due 01/05/2020 9,575 9,862
K-III Communications Co.
8.500% due 02/01/2006 15,940 15,542
KPNQWest BV
8.125% due 06/01/2009 31,000 29,450
L-3 Communications Corp.
10.375% due 05/01/2007 5,750 6,009
Lear Corp.
8.250% due 02/01/2002 7,910 7,712
Lenfest Communications
8.375% due 11/01/2005 10,650 10,996
10.500% due 06/15/2006 525 591
Level 3 Communications, Inc.
9.125% due 05/01/2008 32,700 29,675
Levi Strauss & Co.
6.800% due 11/01/2003 32,350 30,261
Leviathan Gas Pipeline Partners, L.P.
10.375% due 06/01/2009 3,750 3,834
Lin Holdings Corp.
0.000% due 03/01/2008 (d) 18,750 12,375
Lin Television Corp.
8.375% due 03/01/2008 9,300 8,719
Lyondell Chemical Co.
9.625% due 05/01/2007 34,500 34,414
Magnum Hunter Resources, Inc.
10.000% due 06/01/2007 1,900 1,777
Mail-Well Corp.
8.750% due 12/15/2008 18,780 17,935
See accompanying notes 45
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
Mark IV Industries, Inc.
7.500% due 09/01/2007 $ 6,730 $ 6,265
Market Hub Partners
8.250% due 03/01/2008 14,580 14,143
Marsh Supermarkets, Inc.
8.875% due 08/01/2007 9,500 9,381
McLeodUSA, Inc.
0.000% due 03/01/2007 (c) 42,825 33,939
8.375% due 03/15/2008 5,100 4,820
9.500% due 11/01/2008 13,625 13,761
8.125% due 02/15/2009 4,800 4,488
Metromedia Fiber Network
10.000% due 11/15/2008 14,295 13,866
Metronet Communications
0.000% due 06/15/2008 (c) 16,475 12,851
MGM Grand, Inc.
6.950% due 02/01/2005 33,150 31,033
MJD Communications, Inc.
9.500% due 05/01/2008 7,875 7,127
Navistar International Corp.
8.000% due 02/01/2008 5,000 4,863
Newpark Resources, Inc.
8.625% due 12/15/2007 5,050 4,722
Nextel Communications, Inc.
9.750% due 08/15/2004 14,750 14,953
0.000% due 02/15/2008 (c) 38,750 27,222
Nextlink Communications
10.750% due 06/01/2009 12,925 13,022
Nortek, Inc.
9.875% due 03/01/2004 2,205 2,172
NTL, Inc.
12.750% due 04/15/2005 700 686
0.000% due 02/01/2006 21,350 18,681
11.500% due 10/01/2008 6,900 7,478
Nuevo Grupo Iuscell
10.000% due 07/15/2004 1,000 920
Ocean Rig Norway
10.250% due 06/01/2008 6,325 4,965
Octel Developments PLC
10.000% due 05/01/2006 600 611
Optel, Inc.
13.000% due 02/15/2005 1,500 1,058
11.500% due 07/01/2008 5,300 3,419
Orange PLC
9.000% due 06/01/2009 3,000 3,053
Orion Network Systems, Inc.
11.250% due 01/15/2007 16,375 12,691
0.000% due 01/15/2007 (c) 23,100 10,742
Owens & Minor, Inc.
10.875% due 06/01/2006 950 974
P&L Coal Holdings
8.875% due 05/15/2008 36,050 35,419
Packaging Corp. of America
9.625% due 04/01/2009 14,525 14,743
Packard Bioscience Co.
9.375% due 03/01/2007 5,600 5,096
Perry-Judd
10.625% due 12/15/2007 5,845 5,348
Petroleos Mexicanos
9.520% due 07/15/2005 (d) 8,600 8,192
Pharmerica, Inc.
8.375% due 04/01/2008 15,650 15,630
Phar-Mor, Inc.
11.720% due 09/11/2002 8,005 7,925
Physician Sales and Service, Inc.
8.500% due 10/01/2007 10,250 9,994
Piedmont Aviation
10.250% due 03/28/2005 821 857
Pioneer National Resources
8.875% due 04/15/2005 20,100 20,086
8.250% due 08/15/2007 5,750 5,531
6.500% due 01/15/2008 6,950 5,959
Polymer Group, Inc.
9.000% due 07/01/2007 21,005 20,060
8.750% due 03/01/2008 9,700 9,142
Pool Energy Co.
8.625% due 04/01/2008 11,750 12,220
Pride International, Inc.
9.375% due 05/01/2007 3,100 3,131
10.000% due 06/01/2009 6,000 6,150
Primedia, Inc.
10.250% due 06/01/2004 4,000 4,180
7.625% due 04/01/2008 8,250 7,755
Qwest Communications International, Inc.
0.000% due 10/15/2007 (c) 13,040 10,204
0.000% due 02/01/2008 (c) 10,550 7,807
R & B Falcon Corp.
6.500% due 04/15/2003 5,200 4,628
9.250% due 04/15/2005 2,500 2,150
R.H. Donnelly, Inc.
9.125% due 06/01/2008 6,175 6,052
Racers
8.375% due 10/01/2007 21,291 19,561
Regal Cinemas, Inc.
9.500% due 06/01/2008 12,150 8,323
8.875% due 12/15/2010 7,475 4,971
Renaissance Media Group
0.000% due 04/15/2008 (c) 21,250 14,663
Revlon Consumer Products
8.125% due 02/01/2006 1,375 1,220
Riviera Holdings Corp.
10.000% due 08/15/2004 1,850 1,600
Rogers Cablesystems Limited
10.000% due 03/15/2005 4,000 4,310
Rogers Cantel Mobile Communications, Inc.
9.375% due 06/01/2008 23,250 24,529
Rogers Cantel, Inc.
8.300% due 10/01/2007 0 0
8.800% due 10/01/2007 1,350 1,384
Safety-Kleen Services
9.250% due 06/01/2008 32,575 32,738
9.250% due 05/15/2009 15,000 14,475
Salem Communications
9.500% due 10/01/2007 5,400 5,420
Satelites Mexicanos
8.750% due 06/30/2004 (d) 8,870 6,874
10.125% due 11/01/2004 1,500 1,174
SC International Services, Inc.
9.250% due 09/01/2007 20,950 20,426
Sequa Corp.
9.375% due 12/15/2003 5,000 5,113
9.000% due 08/01/2009 9,700 9,555
Silgan Holdings, Inc.
9.000% due 06/01/2009 18,410 17,536
Smithfield Foods
7.625% due 02/15/2008 5,950 5,355
Smith's Food & Drug Centers, Inc.
8.640% due 07/02/2012 9,575 9,932
9.200% due 07/02/2018 15,750 16,441
Stater Brothers Holdings
10.750% due 08/15/2006 3,750 3,844
Station Casinos, Inc.
9.750% due 04/15/2007 8,600 8,772
8.875% due 12/01/2008 4,000 3,900
Sterling Chemicals, Inc.
12.375% due 07/15/2006 12,500 11,813
11.750% due 08/15/2006 1,500 938
Stone Container Corp.
9.875% due 02/01/2001 2,000 2,010
10.750% due 10/01/2002 18,150 18,740
11.500% due 10/01/2004 2,000 2,096
Synthetic Industries, Inc.
9.250% due 02/15/2007 14,700 15,141
Telewest Communications PLC
9.625% due 10/01/2006 12,750 12,909
0.000% due 10/01/2007 (d) 10,949 9,827
9.250% due 04/15/2009 20,500 12,505
Tenet Healthcare Corp.
7.875% due 01/15/2003 1,000 963
8.625% due 12/01/2003 1,600 1,589
46 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
8.000% due 01/15/2005 $ 6,550 $ 6,255
8.625% due 01/15/2007 3,500 3,343
7.625% due 06/01/2008 20,000 18,600
TFM SA de CV
0.000% due 06/15/2009 (c) 7,800 4,232
Tierra Industries
10.500% due 06/15/2005 2,000 1,250
Total Renal Care Holdings
7.000% due 05/15/2009 20,100 13,241
Trans-Resources, Inc.
0.000% due 03/15/2008 (c) 5,250 2,651
10.750% due 03/15/2008 14,650 13,258
Triad Hospitals, Inc.
9.270% due 12/31/2005 (d) 9,975 9,975
11.000% due 05/15/2009 2,095 2,085
TV Guide, Inc.
8.125% due 03/01/2009 16,200 15,350
Unisys Corp.
12.000% due 04/15/2003 3,900 4,232
7.875% due 04/01/2008 4,000 3,880
United Defense Industry, Inc.
8.750% due 11/15/2007 9,000 8,775
United Pan-Europ Communications NV
10.875% due 08/01/2009 8,500 8,628
United Refining Co.
10.750% due 06/15/2007 650 476
US Air, Inc.
9.625% due 09/01/2003 16,083 16,059
9.330% due 01/01/2006 6,101 6,119
Vectura Group, Inc.
10.250% due 06/30/2008 5,650 5,579
Vintage Petroleum
9.000% due 12/15/2005 10,490 10,516
8.625% due 02/01/2009 1,000 970
9.750% due 06/30/2009 7,850 8,066
Western Gas Resources
10.000% due 06/15/2009 7,350 7,552
Westinghouse Air Brake
9.375% due 06/15/2005 4,685 4,662
Westpoint Stevens, Inc.
7.875% due 06/15/2005 6,000 5,640
7.875% due 06/15/2008 17,450 15,705
Williams Communications Group
10.700% due 10/01/2007 4,600 4,600
World Color Press, Inc.
8.375% due 11/15/2008 13,650 13,172
7.750% due 02/15/2009 5,750 5,434
Worldwide Fiber, Inc.
12.000% due 08/01/2009 9,750 9,604
Young Broadcasting, Inc.
9.000% due 01/15/2006 20,200 20,023
8.750% due 06/15/2007 4,510 4,431
-------------
2,436,963
=============
Utilities 8.4%
AES Corp.
10.250% due 07/15/2006 8,735 8,779
8.500% due 11/01/2007 7,300 6,698
9.500% due 06/01/2009 11,350 11,393
Alestra SA
12.125% due 05/15/2006 11,800 11,358
AMFM, Inc.
8.750% due 06/15/2007 5,650 5,565
12.750% due 02/01/2009 5,550 4,690
Avalon Cable of Michigan
9.375% due 12/01/2008 1,600 1,609
Bayan Telecommunications
13.500% due 07/15/2006 2,000 1,901
Beaver Valley Funding Corp.
9.000% due 06/01/2017 32,000 33,029
Bridas Corp.
12.500% due 11/15/1999 4,500 4,534
Calpine Corp.
9.250% due 02/01/2004 14,250 14,339
15.000% due 03/15/2004 (b) 10,000 11,400
7.625% due 04/15/2006 4,500 4,231
8.750% due 07/15/2007 14,950 15,034
7.875% due 04/01/2008 8,250 7,899
7.750% due 04/15/2009 800 758
CMS Energy
8.125% due 05/15/2002 4,500 4,514
7.000% due 01/15/2005 9,500 9,068
Flag Limited
8.250% due 01/30/2008 37,075 32,441
GST Network
0.000% due 05/01/2008 (c) 8,000 3,880
Intermedia Communication
8.875% due 11/01/2007 800 706
ITC Deltacom, Inc.
8.875% due 03/01/2008 12,300 11,993
Mastec, Inc.
7.750% due 02/01/2008 7,250 6,851
MJD Communications, Inc.
9.160% due 05/01/2008 (d) 6,000 5,640
Niagara Mohawk Power
7.750% due 05/15/2006 1,100 1,123
North Atlantic Energy
9.050% due 06/01/2002 3,921 3,981
Orange PLC
8.000% due 08/01/2008 41,800 40,442
Philippine Long Distance Telephone Co.
10.500% due 04/15/2009 11,550 11,260
Plains Resources Inc.
10.250% due 03/15/2006 2,250 2,261
Qwest Communications
7.250% due 11/01/2008 1,200 1,182
Rural Cellular Corp.
9.625% due 05/15/2008 11,800 12,154
Telewest Communication PLC
11.250% due 11/01/2008 1,000 1,076
Wilmington Trust Co. - Tucson Electric
10.211% due 01/01/2009 (b) 500 523
10.732% due 01/01/2013 (b) 6,993 7,549
Young Broadcasting Corp.
10.125% due 02/15/2005 1,000 1,030
-------------
300,891
-------------
Total Corporate Bonds & Notes 2,994,862
(Cost $3,139,874) =============
- ---------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 0.1%
- ---------------------------------------------------------------------------
U.S. Treasury Strips
0.000% due 08/15/2026 29,700 5,668
-------------
Total U.S. Treasury Obligations 5,668
(Cost $6,227) =============
- ---------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 2.8%
- ---------------------------------------------------------------------------
Collateralized Mortgage Obligations 2.5%
Asset Securitization Corp.
7.384% due 08/13/2029 1,500 1,404
Federal Deposit Insurance Corp.
6.420% due 11/25/2026 (d) 400 357
Green Tree Financial Corp.
8.000% due 07/15/2018 7,000 6,484
LTC Commercial Corp.
7.970% due 04/15/2028 5,062 4,757
NationsBanc Mortgage Capital Corp.
8.051% due 05/25/2028 (d) 3,835 2,762
NationsLink Funding Corp.
7.105% due 01/20/2013 10,500 7,782
Red Mountain Funding Corp.
9.150% due 11/28/2027 5,727 4,818
Resolution Trust Corp.
9.250% due 06/25/2023 18 18
9.050% due 08/25/2023 345 343
6.900% due 02/25/2027 6,462 5,906
7.000% due 05/25/2027 5,620 5,585
Sasco Floating Rate Commercial
5.889% due 04/25/2003 (d) 43,900 38,582
Structured Asset Securities Corp.
7.375% due 09/25/2024 10,000 9,799
-------------
88,597
=============
See accompanying notes 47
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
Other Mortgage-Backed Securities 0.2%
LTC Commercial Corp.
9.200% due 08/04/2023 $ 3,235 $ 3,518
Resolution Trust Corp.
6.800% due 09/25/2020 (d) 350 329
9.500% due 05/25/2024 7 6
Structured Asset Securities Corp.
7.050% due 11/25/2007 4,000 3,623
-------------
7,476
=============
Stripped Mortgage-Backed Securities 0.1%
Federal National Mortgage Association (IO)
6.000% due 07/25/2005 509 12
7.000% due 07/25/2008 3,473 427
6.500% due 06/25/2017 998 47
7.000% due 04/25/2019 12,000 1,367
7.000% due 12/25/2021 5,905 657
Fund America (IO)
9.590% due 10/20/2021 8 21
-------------
2,531
-------------
Total Mortgage-Backed Securities 98,604
(Cost $102,268) =============
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 4.1%
- --------------------------------------------------------------------------------
Airplanes Pass Through Trust
10.875% due 03/15/2019 27,570 26,430
Apria Healthcare Group
8.690% due 08/09/2001 (d) 4,967 4,826
7.938% due 08/09/2001 1,356 1,347
Charter Commercial Holdings LLC
7.810% due 03/31/2008 (d) 8,108 8,108
Charter Communications
7.890% due 03/31/2008 (d) 6,892 6,918
Columbia/HCA Healthcare
7.125% due 06/11/2000 (d) 13,750 13,613
Jefferson Smurfit
8.500% due 03/31/2006 (d) 5,905 5,905
Lyondell Petroleum
8.980% due 12/31/2003 (d) 18,953 18,870
Morgan Stanley Aircraft Finance
8.700% due 03/15/2023 21,750 19,033
Starwood Hotels & Resorts Worldwide, Inc.
9.133% due 02/23/2003 (d) 35,000 35,000
TFM SA de CV
9.240% due 06/30/2003 (d) 3,600 3,492
Varig SA
9.651% due 06/02/2005 (d) 5,847 1,754
8.777% due 06/02/2005 (d) 1,615 485
Total Asset-Backed Securities -------------
(Cost $156,304) 145,781
=============
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 0.9%
- --------------------------------------------------------------------------------
Embotelladora Arica SA
9.875% due 03/15/2006 22,000 22,891
Petroleos Mexicanos
9.375% due 12/02/2008 8,000 8,150
-------------
Total Sovereign Issues 31,041
(Cost $29,876) =============
- --------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.4%
- --------------------------------------------------------------------------------
Industrial 0.4%
Pep Boys-Manny Moe Jack Cvt. Pfd.
0.000% due 09/20/2011 12,500 6,906
Pride International, Inc. Cvt. Pfd.
0.000% due 04/24/2018 18,250 6,159
Total Convertible Bonds & Notes -------------
(Cost $11,933) 13,065
=============
- --------------------------------------------------------------------------------
PREFERRED STOCK 3.0%
- --------------------------------------------------------------------------------
Shares
CSC Holdings, Inc.
12.070% due 12/31/2049 173,770 18,638
Fresenius Medical Care
7.850% due 02/01/2008 42,900 39,415
9.000% due 12/01/2006 27,245 26,360
News Corp. Limited
5.000% due 11/12/2016 50,000 2,916
Newscorp Overseas Limited
5.000% due 04/01/2010 133,200 3,080
Primedia, Inc.
8.624% due 04/01/2010 50,000 4,513
9.200% due 11/01/2009 70,000 6,528
Sig Capital Trust
0.095% due 08/15/2027 7,000 5,268
Total Preferred Stock -------------
(Cost $116,312) 106,718
=============
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 2.2%
- --------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 1.9%
American Express
5.280% due 10/27/1999 $ 2,300 2,291
Bellsouth Telecom
5.300% due 10/18/1999 22,000 21,946
Hewlett-Packard Co.
5.400% due 10/05/1999 3,500 3,498
Procter & Gamble Co.
5.340% due 10/14/1999 5,000 4,990
Texas Utilities Co.
5.240% due 01/21/2000 17,500 17,215
US West Communications
6.240% due 03/24/2000 500 485
6.210% due 03/24/2000 3,400 3,297
5.960% due 03/24/2000 5,000 4,855
Williams Holdings
5.360% due 01/25/2000 10,000 9,827
-------------
68,404
=============
Repurchase Agreement 0.3%
State Street Bank
4.800% due 10/01/1999 9,571 9,571
(Dated 09/30/1999. Collateralized by Federal
Home Loan Bank 5.105% 05/15/2005
valued at $9,764,952.
Repurchase proceeds are $9,572,276.)
-------------
Total Short-Term Instruments 77,975
(Cost $77,975) =============
Total Investments (a) 97.6% $ 3,473,714
(Cost $3,640,769)
Other Assets and Liabilities (Net) 2.4% 83,613
-------------
Net Assets 100.0% $ 3,557,327
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 22,172
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (189,227)
-------------
Unrealized depreciation-net $ (167,055)
=============
(b) Restricted security.
(c) Security becomes interest bearing at a future date.
(d) Variable rate security. The rate listed is as of
September 30, 1999.
48 See accompanying notes
<PAGE>
Schedule of Investments
Long-Term U.S. Government Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
CORPORATE BONDS & NOTES 3.0%
- ---------------------------------------------------------------------------
Banking & Finance 3.0%
AESOP Funding II LLC
6.220% due 10/20/2001 $ 3,000 $ 3,005
Associates Corp. of North America
5.800% due 04/20/2004 2,500 2,402
Countrywide Home Loans
6.850% due 06/15/2004 1,500 1,496
Goldman Sachs Group
5.490% due 01/14/2002 (d) 3,000 3,024
Morgan Stanley, Dean Witter, Discover and Co.
5.250% due 04/22/2004 (d) 2,500 2,500
-------------
Total Corporate Bonds & Notes 12,427
(Cost $12,510) =============
- ---------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 0.8%
- ---------------------------------------------------------------------------
Student Loan Marketing Assn.
5.129% due 06/30/2000 (d) 1,000 999
5.165% due 07/25/2004 (d) 1,490 1,479
5.395% due 01/25/2007 (d) 739 738
-------------
Total U.S. Government Agencies 3,216
(Cost $3,222) =============
- ---------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 46.8%
- ---------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (b)(c) 16,132 16,031
U.S. Treasury Bonds
9.250% due 02/15/2016 (c) 12,600 16,120
8.125% due 08/15/2019 (c) 94,800 112,279
8.125% due 05/15/2021 4,000 4,773
8.125% due 08/15/2021 4,900 5,852
7.625% due 11/15/2022 1,500 1,715
6.250% due 08/15/2023 (c) 14,400 14,171
6.750% due 08/15/2026 2,100 2,198
6.500% due 11/15/2026 700 711
U.S. Treasury Notes
5.500% due 02/29/2000 (f) 1,650 1,653
U.S. Treasury Strips
0.000% due 05/15/2013 (c) 50,600 21,093
-------------
Total U.S. Treasury Obligations 196,596
(Cost $200,959) =============
- ---------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 64.2%
- ---------------------------------------------------------------------------
Collateralized Mortgage Obligations 28.2%
Bear Stearns Mortgage Securities, Inc.
7.100% due 06/25/2024 385 372
6.590% due 06/25/2030 1,117 1,128
California Federal Bank
6.264% due 08/25/2030 (d) 794 803
Chase Mortgage Finance Corp.
6.204% due 04/25/2025 (d) 2,720 2,503
CMC Securities Corp.
6.000% due 02/25/2009 1,702 1,699
6.150% due 05/25/2028 3,000 2,995
Countrywide Funding Corp.
6.500% due 01/25/2009 1,000 999
Federal Home Loan Mortgage Corp.
7.000% due 07/01/2002 1,542 1,557
7.500% due 06/01/2004 54 54
7.500% due 07/01/2004 601 607
7.500% due 08/01/2004 86 87
7.500% due 09/01/2004 222 224
9.500% due 01/15/2005 49 51
6.000% due 03/15/2007 62 62
5.500% due 05/15/2007 48 48
8.000% due 02/15/2015 393 405
4.250% due 12/15/2021 541 505
7.000% due 07/15/2022 1,034 1,006
7.000% due 05/15/2023 218 205
7.000% due 08/15/2023 313 290
7.000% due 09/15/2023 760 723
6.250% due 09/15/2023 5,000 4,677
5.910% due 10/25/2023 1,807 1,809
6.500% due 11/15/2023 753 672
6.000% due 11/15/2023 922 802
6.500% due 11/25/2023 566 496
6.500% due 12/15/2023 984 882
7.000% due 01/15/2024 94 89
7.500% due 01/20/2024 3,055 3,079
6.500% due 02/15/2024 112 99
6.500% due 03/15/2024 1,091 975
6.000% due 10/15/2024 2,919 2,891
6.500% due 12/15/2024 4,189 4,167
8.000% due 12/15/2024 1,000 1,019
Federal National Mortgage Assn.
7.500% due 02/01/2004 512 517
7.500% due 03/01/2004 300 303
7.500% due 04/01/2004 413 417
7.500% due 05/01/2004 567 572
7.500% due 06/01/2004 463 468
7.500% due 07/01/2004 523 527
7.500% due 08/01/2004 1,256 1,266
7.500% due 09/01/2004 234 236
7.500% due 10/01/2004 261 263
5.750% due 06/25/2006 221 220
5.600% due 07/25/2006 206 205
6.250% due 12/25/2013 74 69
6.000% due 09/25/2016 595 593
5.750% due 12/25/2016 91 91
6.650% due 01/25/2017 118 118
6.500% due 11/25/2017 8,380 8,374
7.000% due 02/25/2020 2,000 2,003
8.750% due 08/25/2020 13 13
6.750% due 06/25/2021 5,327 493
8.000% due 03/25/2022 13 13
7.000% due 04/25/2022 820 762
7.000% due 06/25/2022 395 369
7.800% due 10/25/2022 558 559
7.000% due 10/25/2022 1,147 1,056
7.000% due 05/25/2023 1,246 1,157
6.900% due 05/25/2023 297 276
7.000% due 06/25/2023 495 464
6.000% due 08/25/2023 49 41
4.500% due 10/25/2023 188 110
6.500% due 11/25/2023 2,000 1,863
7.000% due 12/25/2023 1,494 1,357
6.500% due 12/25/2023 372 325
6.500% due 01/25/2024 196 173
6.500% due 02/25/2024 287 251
6.000% due 05/17/2027 2,500 2,152
7.000% due 05/18/2027 1,492 1,390
8.500% due 06/01/2027 1,371 1,424
9.000% due 06/01/2027 2,016 2,119
6.455% due 02/01/2028 (d) 593 599
First Boston Mortgage Securities Corp.
7.300% due 07/25/2023 1,381 1,260
First Plus Home Loan Trust
5.970% due 11/10/2010 406 406
GE Capital Mortgage Services, Inc.
9.000% due 09/25/2023 530 541
6.500% due 10/25/2023 3,000 2,735
6.500% due 01/25/2024 4,325 3,480
6.500% due 03/25/2024 848 772
7.500% due 07/25/2026 4,726 4,657
7.000% due 10/25/2027 1,077 1,079
Government National Mortgage Assn.
7.000% due 03/16/2029 257 228
Independent National Mortgage Corp.
7.650% due 01/25/2025 (d) 102 104
6.930% due 05/25/2026 1,225 1,226
Mellon Residential Funding Corp.
6.460% due 07/25/2029 2,612 2,610
Merrill Lynch Mortgage Investors, Inc.
6.050% due 10/15/2008 2,874 2,858
Norwest Asset Securities Corp.
6.750% due 10/25/2028 990 943
PHH Mortgage Services Corp.
6.730% due 06/18/2011 3,000 2,992
See accompanying notes 49
<PAGE>
Schedule of Investments (Cont.)
Long-Term U.S. Government Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
PNC Mortgage Securities Corp.
7.500% due 02/25/2027 $ 1,775 $ 1,773
6.750% due 04/25/2028 3,000 2,901
Prudential Home Mortgage Securities
7.625% due 02/25/2023 46 43
6.950% due 09/25/2023 65 54
6.500% due 01/25/2024 1,281 1,114
8.000% due 06/25/2024 796 805
Prudential Securities Secured Financing Corp.
6.955% due 06/15/2008 4,467 4,476
Residential Accredit Loans, Inc.
6.250% due 03/25/2014 1,891 1,829
Residential Funding Mortgage Securities, Inc.
7.528% due 03/25/2025 (d) 94 95
7.750% due 09/25/2026 1,100 1,098
7.500% due 04/25/2027 1,940 1,930
7.000% due 10/25/2027 1,500 1,419
Resolution Trust Corp.
6.188% due 09/25/2029 1,931 1,940
Vendee Mortgage Trust
6.500% due 06/15/2024 2,108 1,837
-------------
118,393
=============
Federal Home Loan Mortgage Corporation 5.6%
6.250% due 12/15/2023 467 406
6.362% due 01/01/2028 (d) 3,389 3,368
6.523% due 10/01/2026 (d) 1,220 1,228
6.553% due 05/01/2022 (d) 112 115
6.780% due 09/01/2027 (d) 4,356 4,346
6.866% due 06/01/2022 (d) 71 73
6.928% due 01/01/2028 (d) 1,993 1,997
7.375% due 02/01/2028 (d) 2,167 2,180
7.447% due 12/01/2024 (d) 1,488 1,531
7.500% due 10/01/2004 3,509 3,537
8.000% due 05/01/2004 4,786 4,838
-------------
23,619
=============
Federal Housing Administration 6.7%
6.896% due 07/01/2020 3,823 3,820
7.000% due 11/25/2019 4,632 4,686
7.375% due 01/01/2018 1,803 1,804
7.400% due 12/18/2018 1,592 1,593
7.421% due 11/01/2019 149 151
7.430% due 08/01/2019-06/01/2024 (e) 14,131 14,321
7.450% due 03/25/2022 1,686 1,714
-------------
28,089
=============
Federal National Mortgage Association 13.0%
6.500% due 03/01/2006-07/25/2010 (e) 9,133 9,077
6.568% due 08/01/2026 (d) 342 343
6.637% due 12/01/2027 (d) 2,733 2,780
6.767% due 10/01/2024 (d) 2,179 2,209
6.904% due 04/01/2028 (d) 2,979 3,040
6.914% due 08/01/2026 (d) 594 604
7.000% due 03/01/2004-07/25/2023 (e) 19,532 19,618
7.040% due 11/01/2023 (d) 3,320 3,404
7.377% due 10/01/2024 (d) 118 123
7.378% due 01/01/2026 (d) 1,004 1,031
7.478% due 05/01/2025 (d) 1,799 1,851
8.500% due 09/01/2026-09/01/2027 (e) 5,720 5,946
9.000% due 07/01/2005 4,499 4,479
-------------
54,505
=============
Government National Mortgage Association 9.4%
5.500% due 12/20/2022 (d) 446 454
6.125% due 12/20/2017-10/20/2027 (d)(e) 3,475 3,530
6.375% due 02/20/2017-01/20/2028 (d)(e) 16,461 16,640
6.625% due 12/15/2000-02/15/2040 (d)(e) 11,327 11,470
6.800% due 09/15/2001-10/15/2040 (d)(e) 2,000 1,965
7.000% due 05/15/2002-10/15/2040 (d)(e) 3,650 3,541
7.500% due 10/21/2029 2,000 2,006
-------------
39,606
=============
Other Mortgage-Backed Securities 0.2%
Resolution Trust Corp.
6.362% due 05/25/2029 (d) 912 886
-------------
Stripped Mortgage-Backed Securities 1.1%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 03/15/2003 1,259 137
6.500% due 11/15/2003 2,039 247
7.000% due 02/15/2006 101 5
6.500% due 08/15/2006 102 4
6.500% due 10/15/2006 191 14
6.500% due 11/15/2006 204 8
8.191% due 02/15/2007 5 80
7.500% due 06/15/2007 410 52
6.500% due 10/15/2007 1,551 127
6.000% due 10/15/2007 190 12
6.500% due 11/15/2008 904 150
7.000% due 12/15/2023 2,180 292
Federal National Mortgage Association (IO)
11.876% due 08/25/2006 9 102
6.500% due 02/25/2007 126 9
6.500% due 07/25/2007 1,857 87
11.980% due 08/25/2007 7 193
10.146% due 09/25/2007 4 93
6.500% due 08/25/2020 376 26
6.500% due 09/25/2021 568 69
7.000% due 12/25/2021 295 33
Federal National Mortgage Association (PO)
0.000% due 03/25/2009 2,944 1,994
0.000% due 09/25/2023 1,511 891
First Plus Home Loan Trust (IO)
6.000% due 10/10/2000 1,200 69
-------------
4,694
-------------
Total Mortgage-Backed Securities 269,792
(Cost $273,302) =============
- ---------------------------------------------------------------------------
ASSET-BACKED SECURITIES 4.8%
- ---------------------------------------------------------------------------
Bear Stearns Mortgage Securities, Inc.
6.350% due 08/25/2024 2,167 2,164
Chase Manhattan Corp.
6.750% due 08/25/2028 1,850 1,714
Discover Card Trust
6.792% due 04/16/2010 1,325 1,321
Green Tree Floorplan Receivables Master Trust
5.750% due 11/01/2004 (d) 3,000 3,000
Merrill Lynch Mortgage Investors, Inc.
6.210% due 03/20/2017 1,466 1,463
Norwest Asset Securities Corp.
6.750% due 07/25/2028 3,000 2,752
Oakwood Mortgage Investors, Inc.
6.750% due 08/15/2027 2,671 2,673
Residential Funding Mortgage Securities, Inc.
5.000% due 06/25/2000 6,000 224
6.290% due 07/25/2013 3,000 2,985
SMS Student Loan Trust
5.260% due 10/27/2025 (d) 2,000 1,953
-------------
Total Asset-Backed Securities 20,249
(Cost $20,532) =============
- ---------------------------------------------------------------------------
PURCHASED CALL OPTIONS 2.5%
- ---------------------------------------------------------------------------
Interest Rate Swap (OTC)
Strike @ 7.470% Exp. 12/06/1999 25,000 96
U.S. Treasury Bond (OTC)
8.875% due 08/15/2017
Strike @ 104.812 Exp. 12/06/1999 48,000 9,588
U.S. Treasury Note (OTC)
6.000% due 08/15/2004
Strike @ 92.953 Exp. 11/15/1999 11,300 895
-------------
Total Purchased Call Options 10,579
(Cost $10,482) =============
50 See accompanying notes
<PAGE>
Schedule of Investments (Cont.)
Long-Term U.S. Government Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 0.2%
- ---------------------------------------------------------------------------
Repurchase Agreement 0.1%
State Street Bank
4.800% due 10/01/1999 $ 722 $ 722
-------------
(Dated 09/30/1999. Collateralized by
Federal National Mortgage Association
5.120% valued at $740,098. Repurchased
proceeds are $722,096
U.S. Treasury Bills (f) 0.1%
4.781% due 02/17/2000 310 304
-------------
Total Short-Term Instruments 1,026
(Cost $1,026) =============
Total Investments (a) 122.3% $ 513,885
(Cost $522,033)
Written Options (g) (0.0%) 0
(Premium $11)
Other Assets and Liabilities (Net) (22.3%) (93,739)
-------------
Net Assets 100.0% $ 420,146
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 1,400
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (9,548)
-------------
Unrealized depreciation-net $ (8,148)
=============
(b) Principal amount of the security is adjusted for
inflation.
(c) Subject to a financing transaction.
(d) Variable rate security. The rate listed is as of
September 30, 1999.
(e) Securities are grouped by coupon or range of coupons and
represent a range of maturities.
(f) Securities with an aggregate market value of $1,957 have
been segregated with the custodian to cover margin
requirements for the following open future contracts at
September 30, 1999:
# of Unrealized
Type Contracts Appreciation
- ---------------------------------------------------------------------------
U.S. Treasury 30 Year Bond (03/2000) 771 $ 56
(g) Premium on written options:
# of
Type Contracts Premium Value
- ---------------------------------------------------------------------------
Put - OTC U.S.Treasury Note
5.250% due 05/2004 2,700 $ 11 $ 0
Strike @ 95.469 Exp. 10/15/1999
See accompanying notes 51
<PAGE>
Schedule of Investments
Low Duration Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
CORPORATE BONDS & NOTES 42.5%
- ---------------------------------------------------------------------------
Banking & Finance 24.0%
Aristar, Inc.
7.375% due 09/01/2004 $ 19,000 $ 19,081
Associates Corp. of North America
5.596% due 08/27/2001 (d) 1,000 998
6.875% due 06/20/2002 20,000 20,516
6.950% due 08/01/2002 1,000 1,008
AT&T Capital Corp.
8.250% due 01/11/2000 7,900 7,945
7.500% due 11/15/2000 6,200 6,244
5.561% due 04/23/2002 (d) 10,000 9,808
Banc One Corp.
7.250% due 08/01/2002 500 506
Banco Latino Americano SA
6.750% due 03/01/2001 1,300 1,288
BankAmerica Corp.
7.200% due 09/15/2002 100 102
7.875% due 12/01/2002 100 104
Bear Stearns Co., Inc.
6.750% due 08/15/2000 5,000 5,023
5.830% due 08/29/2000 (d) 21,000 21,161
6.224% due 02/06/2001 (d) 8,600 8,621
5.650% due 06/28/2001 (d) 2,000 2,003
6.125% due 02/01/2003 3,000 2,920
6.200% due 03/30/2003 9,700 9,452
5.923% due 06/01/2004 (d) 3,000 2,995
Beneficial Corp.
5.359% due 01/09/2002 (d) 10,000 10,025
6.650% due 09/12/2002 5,000 5,005
6.575% due 12/16/2002 5,440 5,427
Boeing Capital Services Corp.
6.480% due 11/10/1999 10,750 10,753
Bombardier Capital, Inc.
6.000% due 01/15/2002 10,000 9,801
Capital One Bank
6.280% due 02/20/2001 6,500 6,481
7.000% due 04/30/2001 300 300
Case Credit Corp.
5.910% due 02/19/2001 4,000 3,966
5.850% due 02/20/2001 (d) 63,000 62,421
5.930% due 02/26/2001 5,000 4,959
5.500% due 08/01/2001 (d) 4,750 4,745
Chase Manhattan Corp.
5.560% due 10/13/2000 (d) 7,500 7,516
5.500% due 02/15/2001 1,000 990
Chrysler Financial Co. LLC
5.850% due 01/26/2001 5,000 4,984
5.520% due 08/08/2002 (d) 8,000 7,993
CIT Group, Inc.
6.200% due 10/20/2000 50,000 49,924
5.875% due 06/18/2001 19,400 19,205
Credit Asset Receivable
6.274% due 10/31/2003 42,086 41,273
Ford Motor Credit Corp.
5.790% due 03/21/2001 (d) 3,000 3,002
5.663% due 03/19/2002 3,107 3,110
5.570% due 07/16/2002 (d) 100 100
6.520% due 08/12/2002 13,000 12,986
6.125% due 04/28/2003 14,000 13,721
General Motors Acceptance Corp.
5.800% due 08/07/2000 520 520
7.125% due 05/01/2001 15,000 15,193
5.533% due 09/19/2001 (d) 5,000 4,992
5.619% due 12/10/2001 (d) 7,400 7,365
5.438% due 04/29/2002 (d) 2,000 1,998
5.540% due 11/12/2002 (d) 17,400 17,286
5.875% due 01/22/2003 500 486
6.149% due 09/20/2003 (d) 15,000 15,000
5.560% due 04/05/2004 (d) 700 698
Goldman Sachs Group
6.200% due 12/15/2000 1,000 998
5.468% due 01/25/2001 (d) 8,000 7,987
Great Western Financial
8.600% due 02/01/2002 4,000 4,174
Heller Financial, Inc.
5.571% due 04/28/2003 (d) 20,000 20,000
Hitachi Credit America
6.100% due 04/24/2001 25,000 24,728
Household Finance Corp.
6.490% due 04/09/2001 20,000 19,960
6.125% due 07/15/2002 10,000 9,820
7.625% due 01/15/2003 10,849 11,076
6.125% due 02/27/2003 1,500 1,457
5.775% due 06/24/2003 (d) 1,500 1,497
Key Bank NA
6.052% due 04/24/2003 12,900 12,620
Korea Development Bank
8.008% due 06/16/2003 (d) 3,500 3,430
6.625% due 11/21/2003 20,000 19,074
Korean Export-Import Bank
6.500% due 02/10/2002 7,200 7,011
7.100% due 03/15/2007 2,000 1,965
Lehman Brothers Holdings, Inc.
5.390% due 08/11/2000 (d) 7,900 7,936
5.405% due 06/01/2001 (d) 1,500 1,496
6.249% due 04/02/2002 (d) 2,000 1,999
6.375% due 05/07/2002 28,345 27,986
6.073% due 05/07/2002 (d) 5,000 5,014
7.000% due 05/15/2003 2,000 1,987
Marsh & McLennan Co., Inc.
6.625% due 06/15/2004 1,000 992
MBNA America Bank NA
6.000% due 12/26/2000 5,000 4,966
6.875% due 07/15/2004 1,900 1,862
Mercury Finance Co.
10.000% due 03/23/2001 4,400 4,158
Merrill Lynch & Co.
6.250% due 07/25/2000 2,150 2,154
5.566% due 09/25/2000 (d) 2,100 2,103
5.378% due 09/30/2000 (d) 8,558 8,543
6.000% due 01/15/2001 1,336 1,331
6.093% due 11/26/2001 (d) 115,000 116,221
5.410% due 01/15/2002 (d) 5,000 5,006
5.748% due 02/08/2002 (d) 25,000 24,997
5.564% due 02/04/2003 (d) 23,000 23,091
6.130% due 04/07/2003 7,770 7,657
Morgan Stanley Capital
7.460% due 02/15/2020 8,100 8,192
Morgan Stanley, Dean Witter, Discover and Co.
5.699% due 03/11/2003 (d) 5,000 4,978
New England Educational Loan Marketing
5.593% due 11/30/1999 (d) 20,000 20,000
Okobank
6.760% due 10/29/2049 (d) 750 751
PaineWebber
7.000% due 03/01/2000 50 50
Pemex Finance Ltd.
6.125% due 11/15/2003 15,000 14,703
PNC Bank Corp.
5.483% due 01/24/2002 (d) 20,000 19,938
Popular North American, Inc.
7.375% due 09/15/2001 20,000 20,052
Prudential Funding Corp.
5.020% due 10/02/2000 (d) 5,000 5,005
Rothmans Holdings
6.500% due 05/06/2003 14,000 13,467
Salomon, Inc.
7.500% due 02/01/2003 3,000 3,067
Salomon, Smith Barney Holdings
5.180% due 05/14/2002 (d) 25,150 25,121
5.571% due 07/23/2002 (d) 5,100 5,090
Security Pacific Corp.
11.500% due 11/15/2000 3,850 4,050
SGE Associates
8.070% due 07/20/2000 (i) 6,371 6,422
52 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
Spieker Properties
6.650% due 12/15/2000 $ 5,070 $ 5,052
Toyota Motor Credit Corp.
5.967% due 02/15/2002 11,600 11,203
Transamerica Finance Corp.
6.125% due 11/01/2001 5,000 4,924
5.920% due 03/29/2002 52,050 50,827
Travelers Group, Inc.
7.250% due 05/01/2001 3,700 3,755
7.300% due 05/15/2002 15,000 15,299
Wells Fargo Co.
6.750% due 05/12/2000 1,000 1,006
-------------
1,110,248
=============
Industrials 9.1%
Allied Waste North America, Inc.
7.375% due 01/01/2004 5,000 4,600
American Home Products Corp.
7.700% due 02/15/2000 100 102
AMR Corp.
9.750% due 03/15/2000 5,000 5,075
9.910% due 03/01/2001 2,500 2,607
9.440% due 05/15/2001 5,000 5,200
9.125% due 10/24/2001 1,000 1,039
Century Communications Corp.
0.000% due 03/15/2003 5,250 3,714
Container Corp. of America
11.250% due 05/01/2004 2,500 2,588
Crown Cork & Seal
7.125% due 09/01/2002 33,000 32,987
CSX Corp.
9.500% due 08/01/2000 380 390
Delta Air Lines, Inc.
9.800% due 12/16/2000 250 258
8.500% due 09/15/2001 205 211
EZ Communication, Inc.
9.750% due 12/01/2005 5,000 5,311
Falcon Holding Group LP
0.000% due 04/15/2010 4,500 3,218
Federal-Mogul Corp.
7.500% due 07/01/2004 28,600 27,422
Ford Motor Co.
9.000% due 09/15/2001 500 523
Fred Meyer, Inc.
7.150% due 03/01/2003 10,500 10,510
Hertz Corp.
6.625% due 07/15/2000 100 100
HMH Properties, Inc.
7.875% due 08/01/2005 5,000 4,625
Houghton Mifflin Co.
5.903% due 12/01/2000 (d) 18,000 18,088
IBM Corp.
6.375% due 06/15/2000 100 100
International Paper Co.
6.875% due 07/10/2000 6,000 6,025
ISP Holdings, Inc.
9.750% due 02/15/2002 3,000 3,030
J Seagram & Sons
6.250% due 12/15/2001 52,000 51,316
Levi Strauss & Co.
6.800% due 11/01/2003 2,500 2,339
Nabisco, Inc.
6.000% due 02/15/2001 (d) 21,000 20,802
6.700% due 06/15/2002 21,100 20,872
Noranda, Inc.
5.750% due 08/18/2000 (d) 1,000 1,004
Occidental Petroleum
10.125% due 11/15/2001 5,000 5,319
6.400% due 04/01/2003 15,945 15,594
Owens-Illinois, Inc.
7.850% due 05/15/2004 15,000 14,833
Petroleos Mexicanos
9.520% due 07/15/2005 (d) 5,000 4,763
Philip Morris Cos., Inc.
9.000% due 01/01/2001 7,000 7,202
7.500% due 01/15/2002 200 203
7.250% due 01/15/2003 4,050 4,092
6.150% due 03/15/2010 23,900 23,954
Starwood Hotel & Resorts
6.750% due 11/15/2005 2,000 1,790
Stone Container Corp.
10.750% due 10/01/2002 11,080 11,440
TCI Communications, Inc.
6.210% due 03/11/2003 (d) 3,000 3,064
Tenet Healthcare Corp.
7.875% due 01/15/2003 4,300 4,139
8.625% due 12/01/2003 1,700 1,688
Union Oil Co. of California
9.100% due 08/15/2001 3,350 3,501
Waste Management, Inc.
6.500% due 05/14/2004 40,000 39,588
Whitman Corp.
6.000% due 05/01/2004 4,500 4,363
Xerox Capital
5.875% due 06/01/2000 3,000 2,995
Yorkshire Power
6.154% due 02/25/2003 40,000 38,270
-------------
420,854
=============
Utilities 9.4%
Beaver Valley Funding Corp.
8.250% due 06/01/2003 3,500 3,539
Calpine Corp.
9.250% due 02/01/2004 2,960 2,979
7.625% due 04/15/2006 6,000 5,703
Central Maine Power Co.
6.380% due 02/24/2000 10,000 10,018
Cinergy Corp.
6.125% due 04/15/2004 13,000 12,396
Cleveland Electric Illuminating Co.
8.550% due 11/15/2001 2,075 2,136
7.850% due 07/30/2002 3,500 3,560
CMS Energy
7.375% due 11/15/2000 15,150 15,151
8.125% due 05/15/2002 1,750 1,755
7.625% due 11/15/2004 14,500 13,995
Connecticut Light & Power Co.
7.875% due 06/01/2001 500 506
7.750% due 06/01/2002 11,700 11,853
8.590% due 06/05/2003 10,000 9,541
Flag Limited
8.250% due 01/30/2008 2,000 1,750
Illinois Power Co.
6.250% due 07/15/2002 10,000 9,840
6.000% due 09/15/2003 12,500 11,949
Louisiana Power & Light Co.
7.740% due 07/01/2002 3,308 3,327
MCI Worldcom, Inc.
5.645% due 08/17/2000 (d) 100,000 99,892
8.875% due 01/15/2006 45,170 47,809
New Century Energies, Inc.
5.860% due 05/28/2000 12,100 12,053
New Orleans Public Service
8.000% due 03/01/2006 400 406
Niagara Mohawk Power
7.000% due 10/01/2000 20,717 20,801
7.125% due 07/01/2001 1,512 1,519
7.250% due 10/01/2002 16,634 16,766
North Atlantic Energy
9.050% due 06/01/2002 3,675 3,732
Public Service Enterprise Group, Inc.
5.761% due 11/22/2000 (d) 10,000 10,023
Southwestern Bell Communication Capital Corp.
6.125% due 03/12/2001 2,000 1,993
Texas Utilities Co.
5.940% due 10/15/2001 13,155 13,052
6.750% due 04/01/2003 3,875 3,871
See accompanying notes 53
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
U.S. West Communications, Inc.
5.650% due 11/01/2004 $ 9,250 $ 8,800
United Illuminating Co.
6.000% due 12/15/2003 13,000 12,371
Western Massachusetts Electric
7.375% due 07/01/2001 5,250 5,271
7.750% due 12/01/2002 10,300 10,512
WorldCom, Inc.
6.125% due 08/15/2001 45,000 44,712
-------------
433,581
-------------
Total Corporate Bonds & Notes 1,964,683
(Cost $1,976,842) =============
- ---------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.3%
- ---------------------------------------------------------------------------
New York 0.3%
New York City Refunding Bonds, Series 1998 B
5.900% due 08/01/2000 13,000 13,012
-------------
Total Municipal Bonds & Notes 13,012
(Cost $12,998) =============
- ---------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.1%
- ---------------------------------------------------------------------------
Small Business Administration
7.000% due 01/25/2013 (d) 267 270
6.750% due 02/25/2014 (d) 833 853
Student Loan Marketing Assn.
5.129% due 06/30/2000 (d) 46,000 45,958
5.333% due 04/25/2006 (d) 10,347 10,304
5.495% due 04/25/2007 (d) 39,015 38,958
-------------
Total U.S. Government Agencies 96,343
(Cost $96,407) =============
- ---------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 8.6%
- ---------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h) 11,407 11,335
3.625% due 07/15/2002 (h) 134,092 133,254
3.375% due 01/15/2007 (h)(j) 36,612 34,975
3.625% due 01/15/2008 (h)(j) 28,373 27,469
3.625% due 01/15/2008 (h) 90,794 87,899
3.875% due 01/15/2009 (h)(j) 3,456 3,403
3.875% due 01/15/2009 (h) 91,981 90,572
U.S. Treasury Notes
5.500% due 02/29/2000 (b)(j) 9,670 9,688
-------------
Total U.S. Treasury Obligations 398,595
(Cost $399,842) =============
- ---------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 36.2%
- ---------------------------------------------------------------------------
Collateralized Mortgage Obligations 15.1%
Cendant Mortgage Corp.
6.500% due 09/18/2029 596 591
Chase Commercial Mortgage Securities Corp.
7.600% due 12/18/2005 200 205
6.900% due 09/19/2006 135 135
Chase Mortgage Finance Corp.
10.000% due 11/25/2009 347 353
6.500% due 06/25/2013 7,592 7,503
6.204% due 04/25/2025 (d) 4,172 3,840
6.750% due 07/25/2028 9,950 9,471
6.350% due 07/25/2029 5,000 4,939
CMC Securities Corp. IV
7.250% due 10/25/2027 12,141 11,985
Collateralized Mortgage Obligation Trust
5.750% due 01/20/2003 (d) 9 9
9.500% due 06/25/2020 332 332
Commercial Mortgage Acceptance Corp.
6.790% due 08/15/2008 1,289 1,282
Commercial Trust
6.670% due 12/15/2003 4,890 4,718
Countrywide Funding Corp.
5.750% due 01/25/2035 (d) 4,057 4,064
Countrywide Home Loans
6.250% due 07/25/2009 1,124 1,123
6.900% due 12/25/2027 18,168 18,092
6.050% due 04/25/2029 56,626 54,077
Criimi Mae Financial Corp.
7.000% due 01/01/2033 8,599 8,543
CS First Boston Mortgage Securities Corp.
6.400% due 02/17/2004 153 152
6.520% due 07/17/2007 145 140
Dime Savings
6.810% due 11/01/2018 (d) 1,955 1,799
DLJ Mortgage Acceptance Corp.
11.000% due 08/01/2019 889 971
4.224% due 05/25/2024 (d) 1,445 1,506
5.875% due 06/25/2026 (d) 13,915 13,833
6.850% due 12/17/2027 165 165
Enterprise Mortgage Acceptance Co.
6.110% due 07/15/2003 132 131
Federal Home Loan Mortgage Corp.
6.000% due 07/15/2006 3,064 3,060
6.500% due 08/15/2006 3,000 3,008
10.000% due 09/15/2009 3 3
6.375% due 08/15/2011 3,774 3,777
6.500% due 08/15/2011 21,167 20,952
12.500% due 09/30/2013 628 658
6.250% due 07/15/2014 1,752 1,753
10.000% due 07/15/2019 295 312
9.000% due 11/15/2019 832 846
7.500% due 04/15/2020 438 438
10.000% due 05/15/2020 207 218
9.000% due 12/15/2020 3,833 3,974
7.500% due 12/15/2020 1,561 1,574
9.500% due 01/15/2021 1,233 1,285
8.000% due 04/15/2021 1,384 1,420
9.000% due 05/15/2021 244 253
7.500% due 01/20/2024 7,247 7,305
Federal National Mortgage Assn.
8.950% due 05/25/2003 43 44
9.000% due 07/25/2003 331 338
9.400% due 07/25/2003 75 77
6.875% due 06/25/2009 1,949 1,956
7.000% due 09/25/2016 10,368 10,359
8.750% due 05/25/2019 46 47
9.000% due 07/25/2019 43 43
9.500% due 03/25/2020 3,340 3,575
9.500% due 05/25/2020 1,450 1,531
9.000% due 03/25/2021 4,104 4,246
9.000% due 04/25/2021 139 145
8.000% due 03/25/2022 53 53
5.000% due 01/25/2024 169 168
7.000% due 03/25/2024 5,000 4,800
8.500% due 04/01/2025 3,528 3,666
6.455% due 02/01/2028 (d) 7,949 8,025
First Plus Home Loan Trust
6.060% due 09/10/2011 500 499
GE Capital Mortgage Services, Inc.
6.750% due 12/25/2012 3,458 3,447
6.500% due 02/25/2024 10 10
German American Capital Corp.
7.000% due 08/12/2010 6,800 6,940
Glendale Federal Savings & Loan
6.577% due 03/25/2030 (d) 1,407 1,426
Government National Mortgage Assn.
7.000% due 10/20/2025 7,000 6,829
Greenwich
8.145% due 11/25/2024 (d) 575 583
Independent National Mortgage Corp.
7.729% due 11/25/2024 (d) 871 885
J.P. Morgan Commercial Mortgage Finance Corp.
7.069% due 09/15/2029 185 186
6.373% due 01/15/2030 138 136
LB Commercial Conduit Mortgage Trust
6.330% due 11/18/2004 135 132
Lehman Large Loan
6.790% due 06/12/2004 162 163
Mellon Residential Funding Corp.
6.400% due 06/26/2028 2,661 2,591
54 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
6.580% due 07/25/2029 $ 17,411 $ 17,324
Merrill Lynch Mortgage Investors, Inc.
6.310% due 11/15/2026 251 247
Morgan Stanley Capital
6.860% due 07/15/2005 130 128
7.227% due 01/16/2006 230 235
6.220% due 06/03/2030 224 218
Mortgage Capital Funding, Inc.
6.325% due 10/18/2007 23,055 22,575
Nomura Asset Securities Corp.
6.625% due 01/25/2009 1,295 1,295
Norwest Asset Securities Corp.
6.250% due 11/25/2013 16,639 16,078
7.000% due 01/25/2028 34,978 34,651
6.500% due 01/25/2029 6,000 5,616
Norwest Mortgage
12.250% due 04/01/2014 214 213
PNC Mortgage Securities Corp.
6.500% due 02/25/2028 11,669 11,643
6.750% due 05/25/2028 5,694 5,631
Prudential Bache
5.740% due 09/01/2018 (d) 27 26
8.400% due 03/20/2021 4,279 4,401
Prudential Home Mortgage Securities
7.500% due 10/25/2007 878 886
7.000% due 01/25/2008 10,000 9,962
6.750% due 11/25/2008 4,751 4,525
7.000% due 06/25/2023 3,014 2,999
6.050% due 04/25/2024 206 205
6.000% due 05/25/2024 18 18
Resecuritization Mortgage Trust
5.630% due 04/26/2021 (d) 16,076 15,629
Residential Accredit Loans, Inc.
6.500% due 02/25/2029 28,596 27,631
Residential Asset Securitization Trust
6.500% due 09/25/2014 491 478
Residential Funding Mortgage Securities, Inc.
6.500% due 06/25/2008 1,211 1,211
6.500% due 04/25/2009 47 47
6.500% due 08/25/2013 3,680 3,561
5.650% due 07/01/2019 (d) 888 862
7.100% due 07/25/2027 4,220 4,219
7.000% due 10/25/2027 10,000 9,457
7.250% due 10/25/2027 19,500 19,552
6.250% due 11/25/2028 6,000 5,408
Resolution Trust Corp.
6.543% due 09/25/2019 (d) 831 829
8.625% due 10/25/2021 13,661 13,620
5.340% due 10/25/2021 503 505
6.945% due 10/25/2021 (d) 108 108
6.900% due 02/25/2027 4,344 3,971
9.000% due 09/25/2028 167 167
7.354% due 10/25/2028 (d) 104 106
Ryland Acceptance Corp.
8.000% due 03/01/2018 2,051 2,044
Ryland Mortgage Securities Corp.
6.442% due 11/25/2021 1,359 1,365
Salomon Brothers Mortgage Securities
6.972% due 12/25/2017 (d) 1,808 1,814
7.538% due 03/25/2024 (d) 1,568 1,600
Securitized Asset Sales, Inc.
6.750% due 08/25/2025 1,634 1,633
Shearson Lehman
9.600% due 03/25/2021 347 346
Structured Asset Mortgage Investments, Inc.
6.125% due 11/25/2013 37,218 35,725
6.906% due 06/25/2028 (d) 7,139 7,142
9.054% due 06/25/2029 9,696 10,185
6.584% due 06/25/2029 (d) 32,422 31,591
6.750% due 05/02/2030 5,000 4,881
Structured Asset Notes Transactions Limited
6.650% due 08/30/2005 23,709 22,945
Structured Asset Securities Corp.
7.000% due 12/25/2027 51,500 48,715
TMA Mortgage Funding Trust
5.719% due 01/25/2029 (d) 14,670 14,666
Union Planters Mortgage Finance Corp.
6.450% due 01/25/2028 6,000 5,955
-------------
700,539
=============
Federal Home Loan Mortgage Corporation 4.5%
4.750% due 06/01/2001 7 7
5.730% due 11/01/2014-07/01/2027 (d)(g) 2,286 2,244
5.740% due 01/01/2030-12/01/2030 (d)(g) 3,074 3,013
5.750% due 01/15/2008-01/01/2020 (d)(g) 7,000 6,947
5.754% due 09/01/2015-10/01/2030 (d)(g) 3,246 3,187
5.756% due 06/01/2030 (d) 511 498
5.820% due 01/01/2020 (d) 594 585
5.836% due 02/01/2016 (d) 84 83
6.000% due 10/23/2006-08/01/2028 (d)(g) 45,531 42,919
6.500% due 04/01/2000-10/01/2028 (g) 9,597 9,616
6.553% due 02/01/2020 (d) 2,590 2,636
6.750% due 06/15/2019 7,723 7,756
6.757% due 03/01/2024 (d) 90 93
6.893% due 07/01/2018 (d) 382 392
6.901% due 10/01/2027 (d) 1,354 1,376
6.978% due 01/01/2024 (d) 1,109 1,142
7.013% due 01/01/2024 (d) 2,220 2,273
7.026% due 11/01/2022 (d) 1,842 1,899
7.102% due 06/01/2024 (d) 786 808
7.156% due 12/01/2022 (d) 786 804
7.337% due 09/01/2023 (d) 305 312
7.500% due 09/01/2006 94 94
7.512% due 11/01/2023 (d) 771 780
7.550% due 10/01/2023 (d) 1,203 1,217
8.000% due 07/01/2006-06/01/2027 (g) 95,583 97,967
8.250% due 10/01/2007-11/01/2007 (g) 33 35
8.500% due 07/01/2001-11/01/2025 (g) 15,698 16,303
8.750% due 02/01/2001-04/01/2002 (g) 31 31
9.000% due 05/01/2002-08/01/2022 (g) 3,834 4,020
9.250% due 07/01/2001 3 3
9.500% due 03/01/2001-12/01/2004 (g) 75 78
9.750% due 03/01/2001-11/01/2008 (g) 763 799
10.000% due 04/01/2001-04/01/2015 (g) 14 15
10.500% due 07/01/2000-02/01/2016 (g) 53 57
10.750% due 10/01/2000-08/01/2011 (g) 391 422
11.500% due 10/01/2015 1 1
11.750% due 11/01/2010-08/01/2015 (g) 15 15
14.000% due 09/01/2012-04/01/2016 (g) 12 14
14.500% due 12/01/2010 4 5
15.000% due 08/01/2011-12/01/2011 (g) 4 4
15.500% due 11/01/2011 0 1
-------------
210,451
=============
Federal Housing Administration 1.0%
6.950% due 04/01/2014 2,165 1,955
7.400% due 02/01/2019 127 129
7.421% due 11/01/2019 657 667
7.430% due 10/01/2019-08/01/2022 (g) 40,718 41,320
-------------
44,071
=============
Federal National Mortgage Association 6.7%
5.729% due 10/01/2026 (d) 56 54
5.730% due 11/01/2016-10/01/2028 (d)(g) 16,619 16,291
5.734% due 07/01/2024 (d) 1,276 1,252
5.735% due 01/01/2027-08/01/2029 (d)(g) 771 756
5.740% due 08/01/2020-08/01/2029 (d)(g) 1,554 1,525
5.742% due 12/01/2030 (d) 5,662 5,548
5.749% due 07/01/2020 (d) 812 798
5.751% due 02/01/2024 (d) 894 877
5.753% due 05/01/2036 (d) 3,351 3,267
5.754% due 04/01/2019-05/01/2031 (d)(g) 5,954 5,844
5.758% due 05/01/2036 (d) 1,231 1,201
5.770% due 06/01/2014-07/01/2014 (d)(g) 1,245 1,226
5.788% due 04/25/2022 (d) 235 239
5.794% due 06/01/2024 (d) 41 40
5.800% due 08/01/2023 (d) 944 926
5.825% due 04/01/2018 (d) 7,119 6,893
6.000% due 05/01/2011-12/25/2020 (g) 293 286
6.132% due 01/01/2021 (d) 511 511
6.241% due 07/01/2017 (d) 621 633
See accompanying notes 55
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
6.315% due 09/01/2006 $ 19,999 $ 19,274
6.368% due 11/01/2017 (d) 382 384
6.375% due 10/25/2029 5,200 5,091
6.500% due 10/22/2005-06/01/2008 (g) 10,018 9,883
6.669% due 11/01/2018 (d) 174 178
6.802% due 04/01/2024 (d) 2,419 2,486
6.904% due 01/01/2024 (d) 57 60
6.923% due 01/01/2024 (d) 2,610 2,687
7.000% due 04/01/2002-05/01/2012 (g) 391 392
7.230% due 07/01/2023 (d) 1,524 1,583
7.300% due 10/01/2024 (d) 4,657 4,787
7.500% due 04/01/2024-05/01/2024 (g) 10,416 10,495
8.000% due 03/01/2004-12/01/2025 (g) 7,251 7,427
8.500% due 03/01/2008-08/01/2026 (g) 181,060 187,854
9.500% due 07/01/2025-11/01/2025 (g) 4,752 5,027
10.000% due 02/01/2004-06/01/2019 (g) 1,457 1,563
10.500% due 06/01/2005-11/01/2005 (g) 182 190
11.000% due 09/01/2000 5 5
11.250% due 12/01/2010-10/01/2015 (g) 168 186
11.750% due 02/01/2016 37 42
12.000% due 01/01/2015-10/01/2015 (g) 6 7
12.750% due 03/01/2014 26 29
13.000% due 07/01/2015 8 9
13.250% due 09/01/2011 17 20
13.500% due 04/01/2014 3 4
14.500% due 08/01/2014 40 46
15.500% due 10/01/2012-12/01/2012 (g) 68 79
15.750% due 12/01/2011 34 40
16.000% due 09/01/2012-12/01/2012 (g) 17 19
-------------
308,014
=============
Government National Mortgage Association 7.2%
6.000% due 11/23/2029 (d) 35,000 34,923
6.125% due 10/20/2023-10/20/2025 (d)(g) 56,328 57,168
6.375% due 04/20/2016-06/20/2027 (d)(g) 52,161 52,849
6.500% due 05/15/2023-10/15/2023 (g) 572 552
6.625% due 08/20/2022-07/20/2027 (d)(g) 94,516 95,707
7.000% due 03/15/2011-04/15/2026 (g) 5,362 5,299
7.500% due 02/15/2022-01/15/2028 (g) 52,586 52,996
8.000% due 07/15/2004-05/15/2025 (g) 30,833 31,895
8.500% due 04/15/2022-03/20/2027 (g) 1,330 1,379
9.750% due 07/15/2013-02/15/2020 (g) 876 943
11.250% due 10/15/2000 2 2
11.750% due 08/15/2013-08/15/2015 (g) 77 86
12.000% due 06/20/2015 14 16
12.250% due 01/15/2014-03/15/2014 (g) 198 225
13.000% due 10/15/2013 6 7
13.500% due 05/15/2011-11/15/2012 (g) 28 32
16.000% due 12/15/2011-04/15/2012 (g) 37 45
-------------
334,124
=============
Other Mortgage-Backed Securities 1.3%
Allied Waste North America, Inc.
8.188% due 07/30/2006 (d) 13,636 13,569
8.250% due 07/30/2007 (d) 3,818 3,819
8.438% due 07/30/2007 (d) 10,363 10,327
First Boston Mortgage Securities Corp.
8.300% due 08/20/2009 90 90
Glendale Federal Savings & Loan
11.000% due 03/01/2010 17 18
Goldman Sachs Mortgage Securities Corp.
7.750% due 05/19/2027 12,370 12,645
Home Savings of America
5.464% due 05/25/2027 (d) 1,440 1,400
5.539% due 09/25/2028 (d) 1,013 1,002
Imperial Savings & Loan
8.828% due 07/25/2017 (d) 39 39
9.900% due 02/25/2018 408 419
MDC Mortgage Funding
8.031% due 01/25/2025 (d) 218 222
Resolution Trust Corp.
6.004% due 05/25/2019 (d) 3,823 3,790
6.860% due 08/25/2019 (d) 3,633 3,634
10.299% due 08/25/2021 (d) 514 514
9.500% due 05/25/2024 26 26
5.705% due 10/25/2028 (d) 2,150 2,181
6.908% due 05/25/2029 (d) 2,499 2,500
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 482 495
7.372% due 12/25/2017 (d) 184 181
Sears Mortgage
12.000% due 02/25/2014 80 80
7.217% due 10/25/2022 (d) 2,483 2,511
Western Federal Savings & Loan
6.269% due 11/25/2018 (d) 22 21
-------------
59,483
=============
Stripped Mortgage-Backed Securities 0.4%
Federal Home Loan Mortgage Corp. (IO)
6.250% due 09/15/2004 282 1
6.000% due 02/15/2006 1,067 44
9.982% due 07/15/2006 21 155
10.195% due 08/15/2006 8 72
11.944% due 12/15/2006 18 197
6.000% due 10/15/2007 1,059 54
6.000% due 02/15/2008 3,368 191
7.000% due 08/15/2018 7,321 754
7.500% due 12/15/2018 363 4
7.000% due 04/15/2019 1,248 56
6.500% due 05/15/2019 7,062 559
6.500% due 06/15/2019 5,405 325
10.496% due 04/15/2021 17 283
6.500% due 04/15/2022 4,427 464
7.000% due 05/15/2023 461 65
4.000% due 01/15/2024 20,919 4,631
Federal National Mortgage Association (IO)
6.000% due 07/25/2005 658 15
7.272% due 09/25/2006 49 468
6.000% due 02/25/2008 4,405 274
256.000% due 11/01/2008 29 164
0.950% due 03/25/2009 (d) 21,960 394
6.500% due 03/25/2009 8,353 876
8.815% due 06/25/2016 9 16
6.533% due 07/25/2017 2,590 2,542
7.500% due 03/25/2019 3,074 263
6.500% due 05/25/2019 10,000 1,171
6.500% due 04/25/2020 12,259 921
7.000% due 05/25/2021 6,759 618
8.598% due 02/25/2022 27 437
6.500% due 03/25/2023 5,051 592
4.875% due 03/25/2024 (d) 7,773 401
Federal National Mortgage Association (PO)
0.000% due 07/25/2022 416 412
0.000% due 09/25/2022 35 30
Prudential Home Mortgage Securities (IO)
0.300% due 04/25/2009 (d) 60,571 387
Resolution Trust Corp. (PO)
0.000% due 09/25/2000 305 306
-------------
18,142
-------------
Total Mortgage-Backed Securities 1,674,824
(Cost $1,695,182) =============
- ---------------------------------------------------------------------------
ASSET-BACKED SECURITIES 5.3%
- ---------------------------------------------------------------------------
Allied Waste North America, Inc.
8.438% due 07/30/2007 (d) 2,182 2,183
AT&T Universal Card Master Trust
5.950% due 10/17/2002 4,000 3,996
Bombardier Capital Mortgage
6.605% due 09/15/2010 11,614 11,614
Capital Asset Research Funding LP
6.400% due 12/15/2004 92 92
Citicorp Mortgage Securities, Inc.
6.750% due 05/25/2028 6,266 5,893
CMC Securities Corporation IV
7.250% due 11/25/2027 8,838 8,685
Community Program Loan Trust
4.500% due 10/01/2018 17,336 15,678
Contimortgage Home Equity Loan Trust
5.360% due 04/15/2028 (d) 304 304
Duck Auto Grantor Trust
5.650% due 03/15/2004 16,064 15,969
56 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
Empire Funding Home Loan Owner Trust
6.590% due 05/25/2014 $ 25,702 $ 25,600
Federal-Mogul Corp.
7.250% due 12/31/2005 (d) 5,000 5,000
GF Funding Corp.
6.250% due 09/30/2002 27,977 27,977
Green Tree Home Improvement Loan
6.320% due 09/15/2029 21,000 20,980
IMC Home Equity Loan Trust
5.596% due 10/20/2027 (d) 7,414 7,443
Lyondell Petroleum
8.980% due 12/31/2003 (d) 5,000 4,978
Merit Securities Corp.
7.040% due 01/28/2030 35,000 35,131
New York City Tax Lien
6.350% due 04/01/2007 12,855 12,823
Oakwood Mortgage Investors, Inc.
6.950% due 08/15/2027 5,500 5,471
Premiet Auto Trust
5.560% due 04/08/2001 3,163 3,163
Primedia, Inc.
8.130% due 07/31/2004 (d) 15,000 14,981
Prudential Home Mortgage Security
7.000% due 08/25/2009 4,000 4,031
Starwood Hotels & Resorts Worldwide, Inc.
9.133% due 02/23/2003 (d) 10,000 10,000
Stone Container Corp.
8.750% due 10/01/2003 (d) 4,725 4,737
-------------
Total Asset-Backed Securities 246,729
(Cost $247,546) =============
- ---------------------------------------------------------------------------
SOVEREIGN ISSUES 3.3%
- ---------------------------------------------------------------------------
Central Bank Philippines
6.000% due 06/01/2008 (d) 11,000 10,175
Hydro Quebec
9.000% due 03/07/2001 10,000 10,357
Korea Development Bank
7.125% due 09/17/2001 5,000 4,966
7.900% due 02/01/2002 1,300 1,308
7.625% due 10/01/2002 36,000 35,797
Nacional Financiera
10.625% due 11/22/2001 7,500 7,774
Petroleos Mexicanos
9.375% due 12/02/2008 5,500 5,612
Province of Quebec
5.000% due 10/25/2001 (d) 250 248
Republic of Argentina
14.250% due 11/30/2002 (d) 4,000 3,781
11.447% due 04/10/2005 (d) 9,000 7,932
Republic of Bulgaria
6.500% due 07/28/2024 (d) 5,000 3,438
Republic of Korea
7.594% due 04/08/2000 (d) 8,500 8,532
Republic of Philippines
6.000% due 12/01/2007 3,000 2,768
State of Qatar
9.500% due 05/21/2009 2,000 2,065
United Mexican States
6.000% due 04/07/2000 (d) 9,206 9,146
5.820% due 06/28/2001 10,500 10,238
6.768% due 06/27/2002 (d) 9,000 8,865
9.060% due 04/07/2004 (d) 5,000 5,050
5.874% due 12/31/2019 15,000 12,929
-------------
Total Sovereign Issues 150,981
(Cost $149,731) =============
- ---------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 0.2%
- ---------------------------------------------------------------------------
Commonwealth of Canada
8.750% due 12/01/2005 C$ 1,150 $ 904
United Mexican States
8.750% due 05/30/2002 BP 3,000 4,895
5.000% due 09/30/2002 JY 550,000 5,387
-------------
Total Foreign Currency-Denominated Issues 11,186
(Cost $10,287) =============
- ---------------------------------------------------------------------------
PREFERRED STOCK 1.7%
- ---------------------------------------------------------------------------
Shares
Home Ownership Funding
13.330% due 12/31/2049 3,000 $ 2,490
Rhone-Poulenc SA
8.125% due 12/31/2049 13,000 305
SI Financing Trust
9.500% due 06/30/2026 806,600 20,820
TCI Communications, Inc.
10.000% due 05/31/2045 800,300 20,858
9.720% due 12/31/2036 224,700 5,912
8.720% due 01/31/2045 1,170,100 29,399
-------------
Total Preferred Stock 79,784
(Cost $83,777) =============
- ---------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 3.0%
- ---------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 2.2%
American Express
5.280% due 10/12/1999 $ 3,600 3,595
5.280% due 10/27/1999 2,600 2,591
Bellsouth Telecom
5.270% due 10/05/1999 6,800 6,796
5.250% due 10/06/1999 1,500 1,499
5.290% due 10/26/1999 1,900 1,893
Coca Cola Co.
5.270% due 10/22/1999 11,700 11,664
Ford Motor Credit Corp.
5.300% due 10/12/1999 13,000 12,979
General Electric Capital Corp.
5.300% due 10/05/1999 1,300 1,299
5.370% due 10/20/1999 6,200 6,182
General Motors Acceptance Corp.
5.300% due 10/19/1999 2,500 2,493
Hewlett-Packard Co.
5.300% due 10/07/1999 7,500 7,493
US West Communications
6.250% due 02/08/2000 40,000 39,202
Warner-Lambert Co.
5.270% due 10/05/1999 5,500 5,497
-------------
103,183
=============
Repurchase Agreement 0.6%
State Street Bank
4.800% due 10/01/1999 27,689 27,689
(Dated 09/30/1999. Collateralized by -------------
Federal National Mortgage Association
0.000% 08/11/2000 valued at $28,247,369.
Repurchase proceeds are $27,692,692.)
U.S. Treasury Bills (b) 0.2%
4.710% due 02/17/2000 8,995 8,832
-------------
Total Short-Term Instruments 139,704
(Cost $139,597) =============
Total Investments (a) 103.2% $ 4,775,841
(Cost $4,812,209)
Written Options (c) (0.2%) (9,228)
(Premiums $9,125)
Other Assets and Liabilities (Net) (3.0%) (137,647)
-------------
Net Assets 100.0% $ 4,628,966
=============
See accompanying notes 57
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 12,335
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (48,703)
-------------
Unrealized depreciation-net $ (36,368)
=============
(b) Securities with an aggregate market value of $18,520
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- ---------------------------------------------------------------------------
Eurodollar September Futures (09/2000) 210 $ (24)
Eurodollar December Futures (12/1999) 330 (872)
Eurodollar December Futures (03/2000) 120 (288)
Eurodollar December Futures (12/2000) 1,255 (1,298)
U.S. Treasury 5 Year Note (12/1999) 404 123
-------------
$ (2,359)
=============
(c) Premiums received on written options:
# of
Type Contracts Premium Value
- ---------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 118.00 Exp. 11/20/1999 5,000 $ 2,004 $ 1,484
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 110.00 Exp. 11/20/1999 5,000 1,067 1,641
Put - OTC U.S.Treasury Note
5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 24,000 99 0
Put - CME Eurodollar December Futures
Strike @ 94.250 Exp. 12/13/1999 1,250 197 325
Put - CME Eurodollar December Futures
Strike @ 94.500 Exp. 12/13/1999 5,000 1,177 2,375
Put - CME Eurodollar December Futures
Strike @ 94.000 Exp. 12/13/1999 15,510 3,013 1,706
Put - CME Eurodollar December Futures
Strike @ 93.500 Exp. 12/18/2000 3,750 1,230 1,369
Put - LIFFE BP 90 Day LIBOR 09/2000
Strike @ 93.000 Exp. 09/20/2000 175,000 338 328
-----------------------------
$ 9,125 $ 9,228
=============================
(d) Variable rate security. The rate listed is as of
September 30, 1999.
(e) Foreign forward currency contracts outstanding at
September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- ---------------------------------------------------------------------------
Sell BP 6,183 10/1999 $ (20)
Sell C$ 1,957 10/1999 (17)
Sell EC 2,780 02/2000 41
Sell JY 581,184 02/2000 128
Buy PZ 20,000 02/2000 (130)
-------------
$ 2
=============
(f) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
EC - European Currency Unit
JY - Japanese Yen
PZ - Polish Zloty
(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 September 30, 1999:
Type Notional Unrealized
Amount (Depreciation)
- ---------------------------------------------------------------------------
Receive floating rate based on 6 months LIBOR and pay
floating rate based on 6 months LIBOR plus 5.950%. In the
event of default of Republic of Argentina Floating Rate
Notes and/or Spread-Adjusted Notes, the Fund can put the
bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/17/2001 $ 3,100 $ (31)
Receive floating rate based on 6 months LIBOR and pay
floating rate based on 6 months LIBOR plus 5.700%. In the
event of default of Republic of Argentina Floating Rate
Notes and/or Spread-Adjusted Notes, the Fund can put the
bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/28/2001 1,500 (20)
Receive floating rate based on 6 months LIBOR and pay
floating rate based on 6 months LIBOR plus 6.150%. In the
event of default of Republic of Argentina Floating Rate
Notes and/or Spread-Adjusted Notes, the Fund can put the
bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 2,000 (26)
-------------
$ (77)
=============
58 See accompanying notes
<PAGE>
Schedule of Investments
Money Market Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 115.0%
- ---------------------------------------------------------------------------
Commercial Paper 94.4%
Alcoa
5.300% due 10/07/1999 $ 2,500 $ 2,498
AlliedSignal, Inc.
5.260% due 10/19/1999 2,500 2,493
5.670% due 03/09/2000 500 487
Aluminum Co. of America
5.280% due 10/13/1999 20,000 19,965
American Express
5.300% due 10/12/1999 17,200 17,172
5.280% due 10/27/1999 5,200 5,180
American Home
5.300% due 10/25/1999 1,600 1,594
Ameritech Corp.
5.300% due 10/05/1999 20,000 19,987
AT & T Corp.
5.350% due 10/08/1999 12,370 12,357
Bellsouth Telecom
5.270% due 10/05/1999 15,000 14,991
5.260% due 10/06/1999 4,000 3,997
5.290% due 10/26/1999 4,000 3,985
Campbell Soup Co.
5.270% due 10/26/1999 24,500 24,410
Canada Bills
5.300% due 10/19/1999 1,800 1,795
Canadian Wheat Board
5.300% due 10/21/1999 1,000 997
Coca Cola Co.
5.300% due 10/13/1999 10,700 10,681
5.270% due 10/26/1999 500 498
Coca-Cola Co.
5.270% due 10/01/1999 4,500 4,500
E.I. Du Pont de Nemours
5.280% due 10/20/1999 500 499
Electronic Data System Corp.
5.260% due 10/06/1999 4,000 3,997
Export Development Corp.
5.350% due 10/07/1999 15,000 14,987
Federal Home Loan Bank
5.110% due 10/08/1999 3,100 3,097
Federal Home Loan Mortgage Corp.
5.170% due 10/04/1999 8,000 7,997
5.190% due 10/04/1999 7,300 7,297
5.220% due 10/04/1999 7,600 7,597
5.180% due 10/14/1999 8,100 8,085
5.200% due 10/21/1999 1,349 1,345
Federal National Mortgage Assn.
5.130% due 10/25/1999 500 498
Florida Power Corp.
5.350% due 10/19/1999 11,900 11,868
Ford Motor Credit Corp.
5.200% due 10/07/1999 15,000 14,987
5.280% due 10/07/1999 3,500 3,497
GAP, Inc.
5.280% due 10/05/1999 10,000 9,994
General Electric Capital Corp.
5.280% due 10/06/1999 9,800 9,793
General Motors Acceptance Corp.
5.570% due 02/08/2000 11,650 11,416
Gillette Co.
5.280% due 10/13/1999 15,000 14,974
Goldman Sachs Group
5.160% due 10/18/1999 12,000 11,971
Heinz Corp.
5.250% due 10/04/1999 4,348 4,346
5.290% due 10/18/1999 6,400 6,384
Hewlett-Packard Co.
5.300% due 10/07/1999 15,000 14,987
5.300% due 10/08/1999 7,000 6,993
5.350% due 10/12/1999 1,000 998
IBM Credit Corp.
5.310% due 10/04/1999 2,000 1,999
5.290% due 10/21/1999 20,200 20,141
Johnson & Johnson
4.780% due 10/13/1999 10,000 9,984
5.230% due 02/02/2000 10,000 9,820
Kellogg Co.
5.270% due 10/18/1999 4,720 4,708
KFW International Finance, Inc.
5.300% due 12/01/1999 15,000 14,865
Merck & Co., Inc.
5.750% due 02/04/2000 100 98
Motorola, Inc.
5.300% due 10/28/1999 7,000 6,972
5.320% due 10/28/1999 1,600 1,594
5.350% due 11/23/1999 14,900 14,783
National Australia Funding
5.730% due 01/31/2000 15,000 14,709
National Rural Utilities Cooperative
5.320% due 10/20/1999 1,700 1,695
New York Times Co.
5.300% due 10/08/1999 5,300 5,295
Procter & Gamble Co.
5.280% due 10/27/1999 1,900 1,893
Sara Lee Credit Corp.
5.350% due 10/07/1999 1,485 1,484
Shell Oil Co.
5.240% due 10/07/1999 14,100 14,088
United Parcel Service Co.
5.270% due 10/05/1999 1,380 1,379
Wal-Mart Stores, Inc.
5.280% due 10/04/1999 5,000 4,998
5.280% due 10/12/1999 4,000 3,994
Warner-Lambert Co.
5.270% due 10/05/1999 600 600
Wisconsin Electric
5.400% due 10/05/1999 1,000 999
-------------
461,292
=============
Repurchase Agreements 4.6%
State Street Bank
4.800% due 10/01/1999 1,433 1,433
(Dated 09/30/1999. Collateralized by
Federal National Mortgage Association
0.000% 02/01/2000 valued at $1,465,415.
Repurchase proceeds are $1,433,191)
J.P. Morgan
5.200% due 10/01/1999 20,900 20,900
(Dated 09/30/1999. Collateralized by U.S. Treasury
Note 7.875% 08/15/2001 valued at $21,359,010.
Repurchase proceeds are $20,903,019.)
-------------
22,333
=============
Short-Term Notes 16.0%
Associates Corp. of North America
9.125% due 04/01/2000 4,500 4,568
Federal Home Loan Mortgage Corporation
4.705% due 05/18/2000 20,000 19,990
Ford Motor Credit Corp.
7.500% due 03/31/2000 3,000 3,022
9.500% due 04/15/2000 2,370 2,415
General Electric Capital Corp.
4.986% due 05/26/2000 12,000 12,000
General Motors Acceptance Corp.
5.450% due 02/22/2000 9,500 9,500
Lehman Brothers Holdings, Inc.
6.150% due 03/15/2000 1,000 999
Merrill Lynch & Co.
5.290% due 10/25/1999 5,000 4,982
6.380% due 07/18/2000 5,900 5,930
6.700% due 08/01/2000 400 403
Morgan Stanley, Dean Witter, Discover and Co.
6.250% due 03/15/2000 575 576
Wal-Mart Stores, Inc.
5.850% due 06/01/2000 14,035 14,019
-------------
78,404
-------------
Total Short-Term Instruments 562,029
(Cost $562,029) =============
Total Investments 115.0% $ 562,029
(Cost $562,029)
Other Assets and Liabilities (Net) (15.0%) (73,402)
-------------
Net Assets 100.0% $ 488,627
=============
See accompanying notes 59
<PAGE>
Schedule of Investments
Municipal Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 100.3%
- ---------------------------------------------------------------------------
Arizona 4.4%
Pima County, Arizona Industrial Development Authority
Multi-Family Revenue Bonds, (HUD SECT 8 Insured),
Series 1998, 5.375% due 06/01/2010 $ 1,210 $ 1,225
Scottsdale, Arizona Industrial Development Authority
Hospital Revenue Bonds, (AMBAC Insured),
Series 1997 A, 6.500% due 09/01/2004 1,130 1,229
-------------
2,454
=============
California 14.8%
Alameda, California Harbor Bay Business Pk Assmt
Revenue Bonds, Series 1998, 5.000% due 09/02/2006 360 351
Capistrano, California Unified School District
Special Tax, Series 1999, 5.000% due 09/01/2008 350 340
City of San Jose Redevelopment Agency Merged
Area Project, Tax Allocation Bonds, (MBIA Insured),
Series 1993, 6.000% due 08/01/2015 500 534
Fresno, California Unified School District
General Obligation Unlimited Bonds,
(MBIA Insured), Series 1999, 5.800% due 08/01/2014 445 466
Irvine, California Special Assessment Bond,
Series 1998, 4.800% due 09/02/2004 150 147
Irvine, California Special Assessment Bond,
Series 1998, 4.900% due 09/02/2005 310 301
Irvine, California Special Assessment Bond,
Series 1998, 5.000% due 09/02/2006 150 145
Irvine, California Special Assessment Bond,
Series 1999, 5.000% due 09/02/2005 350 344
Irvine, California Special Assessment Bond,
Series 1999, 5.100% due 09/02/2006 535 524
Irvine, California Special Assessment Bond,
Series 1999, 5.200% due 09/02/2007 255 248
Lake Elsinore California School Refunding Bonds,
Series 1998, 5.000% due 09/01/2006 350 343
Los Angeles County Transportation Commission,
Sales Tax Revenue Refunding Bonds, Series 1991 B
6.500% due 07/01/2013 1,000 1,050
Metropolitan Water District Southern California
General Obligation Unlimited Bond, Series 1998
4.750% due 03/01/2037 1,000 833
Montebello, California Unified School District
General Obligation Unlimited Bonds, (MBIA Insured),
Series 1999, 0.000% due 08/01/2023 895 222
Orange County, California Improvement Bond,
Series 1998 A, 4.900% due 09/02/2005 245 239
Pittsburg, California Infrastructure Refunding Bonds,
Series 1998 A, 4.900% due 09/02/2003 150 152
Pittsburg, California Infrastructure Refunding Bonds,
Series 1998 A, 5.000% due 09/02/2004 150 152
Riverside County, California Special Tax Refunding
Bonds, Series 1999, 4.200% due 09/01/2001 300 297
Riverside County, California Special Tax, Series 1999
4.700% due 09/01/2005 170 166
Roseville, California Special Tax, Series 1999
5.000% due 09/01/2004 350 348
Sacramento County, California Refunding Bonds,
Series 1998, 4.900% due 09/02/2005 300 292
San Pablo, California Redevelopment Agency,
Series 1999, 5.100% due 12/01/2009 360 358
West Sacramento, California Refunding Bonds,
Series 1998, 5.000% due 09/02/2004 350 347
-------------
8,199
=============
Colorado 6.4%
Denver, Colorado Health & Hospital Revenue Bonds,
Series 1998 A, 5.000% due 12/01/2009 1,390 1,317
El Paso County, Colorado School District
6.500% due 12/01/2012 2,000 2,215
-------------
3,532
=============
Florida 4.4%
Gainesville, Florida Revenue Bonds, Series 1979
6.200% due 10/01/2002 300 305
Jacksonville Electric Authority, Bulk Power Supply
System Revenue Bonds, (Prerefunded 10/01/00),
Scherer 4-1-A Project, Issue One, Series 1991,
6.750% due 10/01/2021 1,000 1,044
Orange County, Florida, Health Facilities Authority
Revenue Bond, Series 1996 A, 6.250% due 10/01/2011 1,000 1,106
-------------
2,455
=============
Illinois 1.9%
State of Illinois, Sales Tax Revenue Refunding Bonds,
Series 1992 Q, 6.000% due 06/15/2012 1,000 1,058
-------------
Indiana 2.1%
Indiana Local Public Improvement Bonds Bank,
Transportation Revenue Bonds, Series 1992
6.750% due 02/01/2014 1,000 1,130
-------------
Louisiana 1.5%
Louisiana Local Government Environment Facility
Community Development Authority Revenue Bonds,
(AMBAC Insured), Series 1999, 4.500% due 12/01/2018 1,000 843
-------------
Massachusetts 1.2%
Massachusetts State Development Finance Agency,
(ACA Insured), Series 1999, 4.600% due 03/01/2009 400 384
Massachusetts State Development Finance Agency,
Series 1998, 4.700% due 11/01/2007 210 202
Massachusetts State Development Finance Agency,
Series 1998, 4.800% due 11/01/2008 90 86
-------------
672
=============
Michigan 2.2%
Michigan State Environmental Protection General
Obligation Bonds, Series 1992, 6.250% due 11/01/2012 1,100 1,196
-------------
Minnesota 1.8%
New Richland, Minnesota Revenue Bond,
Series 1998, 4.500% due 08/01/2004 1,000 992
-------------
Missouri 0.7%
Kansas City Missouri Industrial Development Authority
Hospital Revenue Bonds, (MBIA Insured), Series 1985
3.000% due 10/15/2015 (b) 400 400
-------------
New Hampshire 2.0%
New Hampshire Turnpike System, Refunding
Revenue Bonds, (FGIC Insured), Series 1991 A
6.750% due 11/01/2011 1,000 1,116
-------------
New Jersey 3.5%
New Jersey Economic Development
Authority Revenue Bond, Series 1998,
0.000% due 04/01/2013 1,595 652
New Jersey Economic Development
Authority Revenue Bond, Series 1998
4.750% due 05/15/2002 365 361
New Jersey Economic Development
Authority Revenue Bond, Series 1998
5.600% due 01/01/2012 1,000 953
-------------
1,966
=============
60 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
New Mexico 2.5%
Los Alamos County, Utility Revenue Bonds,
Series 1994 A, 6.000% due 07/01/2008 $ 1,000 $ 1,068
Santa Fe County, El Castillo Retirement
Nursing Home Bonds, Series 1998 A
5.250% due 05/15/2007 315 304
-------------
1,372
=============
New York 15.5%
New York City General Obligation Bonds,
(LOC-KBC Bank Insured), Series 1993,
4.000% due 08/01/2016 (b) 500 500
New York City General Obligation Bonds,
Series 1995 B, 6.750% due 08/15/2003 1,000 1,075
New York City General Obligation Bonds,
Series 1996 A, 7.000% due 08/01/2007 1,000 1,121
New York City General Obligation Bonds,
Series 1996, 5.875% due 08/01/2024 1,000 994
New York State Dorm Authority Mental Health Services
Revenue Bonds, Series 1997 B, 6.000% due 08/15/2005 1,850 1,955
New York State Environmental Facilities
Special Obligation Revenue Bonds, Series 1996
5.125% due 04/01/2022 1,000 913
State of New York Thruway Authority Revenue Bonds,
(AMBAC-TCRS Insured), Series 1996
6.000% due 04/01/2005 1,000 1,066
State of New York Thruway Authority Revenue Bonds,
(MBIA Insured), Series 1995 A, 5.500% due 04/01/2015 1,000 999
-------------
8,623
=============
North Carolina 5.9%
North Carolina Eastern Municipal Power
6.500% due 01/01/2018 1,990 2,219
North Carolina Municipal Power Agency, Catawaba
Electric Revenue Bonds, (AMBAC Insured),
Series 1992, 6.000% due 01/01/2008 1,000 1,068
-------------
3,287
=============
North Dakota 1.9%
Mercer County Pollution Control Revenue Bonds,
Series 1991, 6.900% due 02/01/2019 1,000 1,049
-------------
Ohio 3.7%
Cleveland Water and Sewer Refunding and
Improvement Revenue Bonds, (MBIA Insured),
Series 1993 G, Number 1, 5.500% due 01/01/2021 1,000 988
Ohio State Water Development Authority Pollution
Control Revenue Bonds, (MBIA Insured),
Series 1995, 6.000% due 06/01/2005 1,000 1,069
-------------
2,057
=============
Pennsylvania 2.9%
Delaware County, Pensylvania Hospital Revenue
Bonds, Series 1998, 4.900% due 12/01/2008 100 96
Pittsburgh, Pennsylvania General Obligation Bonds,
(AMBAC Insured), Series 1993 A,
5.500% due 09/01/2014 1,525 1,533
-------------
1,629
=============
South Carolina 1.8%
Medical University South Carolina Hospital Facilities
Revenue Bonds, Series 1999, 5.700% due 07/01/2012 1,000 989
-------------
Tennessee 3.5%
Memphis-Shelby County Tennessee Airport Authority
Special Facilities and Project Revenue Bonds,
Series 1997, 5.350% due 09/01/2012 1,000 983
Nashville & Davidson County, Tennessee
Revenue Bonds, Series 1998, 4.450% due 08/01/2007 1,000 963
-------------
1,946
=============
Texas 10.1%
Bexar, Texas Metro Water District Waterworks
System Revenue Bonds, (MBIA Insured),
Series 1998, 0.000% due 05/01/2035 2,190 257
Board of Regents of the University of Texas System,
Revenue Financing System Refunding Bonds,
Prefunded and Unrefunded Series 1991 B
6.750% due 08/15/2013 735 773
Brazos River Authority Texas Revenue Bonds,
(MBIA Insured), Series 1998, 4.900% due 10/01/2015 1,500 1,378
Houston, Texas, Water & Sewer System Revenue
Bonds, Series 1993 B, 5.000% due 12/01/2018 2,000 1,827
Midlothian Texas Independent School District,
(PSF-GTD Insured), Series 1999
0.000% due 02/15/2018 1,000 324
University of Texas Revenue Bonds, Series 1996
5.250% due 08/15/2007 1,000 1,026
-------------
5,585
=============
Washington State 2.1%
Bellevue Washington Convention Center Authority
Special Obligation Revenue Bond, (MBIA Insured),
Series 1994, 0.000% due 02/01/2024 1,000 239
Washington State Public Power Supply System
Nuclear Project Revenue Bonds, (BIG Insured),
Series 1989, 0.000% due 07/01/2014 1,270 554
Washington State General Obligation Bond,
Series 1997, 0.000% due 07/01/2017 1,000 359
-------------
1,152
=============
Washington, D.C. 1.5%
Washington D.C. Convention Center Authority
Dedicated Tax Revenue Bonds, (AMBAC Insured),
Series 1998, 4.750% due 10/01/2028 1,000 816
-------------
Wisconsin 2.0%
Southeast Wisconsin Professional Baseball Park
District Sales Tax Revenue Bonds, (MBIA Insured),
Series 1998, 5.500% due 12/15/2018 1,150 1,128
-------------
Total Municipal Bonds & Notes 55,646
(Cost $55,724) =============
SHORT-TERM INSTRUMENTS 0.2%
State Street Global Advisors Tax Free Money Market
3.039% due 10/01/1999 117 116
-------------
Total Short-Term Instruments 116
(Cost $117) =============
Total Investments (a) 100.5% $ 55,762
(Cost $55,841)
Other Assets and Liabilities (Net) (0.5%) (260)
-------------
Net Assets 100.0% $ 55,502
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 974
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (1,053)
-------------
Unrealized depreciation-net $ (79)
=============
(b) Variable rate security. The rate listed is as of
September 30, 1999.
See accompanying notes 61
<PAGE>
Schedule of Investments
Real Return Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 15.4%
- --------------------------------------------------------------------------------
Banking & Finance 11.8%
AT&T Capital Corp.
7.110% due 09/13/2001 (d) $ 500 $ 501
BAT-Crave-800
6.680% due 08/12/2000 190 191
Bear Stearns Co., Inc.
5.688% due 08/01/2002 (d) 500 499
Chase Manhattan Corp.
5.819% due 12/10/2001 (d) 500 505
Daiwa Securities
6.226% due 09/29/2049 (d) 850 646
Ford Motor Credit Corp.
5.570% due 07/16/2002 (d) 1,000 998
5.565% due 02/13/2003 (d) 350 348
General Motors Acceptance Corp.
5.703% due 11/09/2000 (d) 500 503
Heller Financial, Inc.
5.846% due 09/25/2000 (d) 1,000 999
5.720% due 02/05/2001 400 400
HRPT Properties Trust
6.560% due 07/09/2007 1,250 1,248
J.P. Morgan & Co.
5.459% due 02/15/2012 700 614
Juno Reinsurance
9.565% due 06/26/2002 (d) 750 726
Korea Development Bank
8.008% due 06/16/2003 (d) 500 490
Korean Export-Import Bank
6.500% due 10/06/1999 250 250
Lehman Brothers Holdings, Inc.
8.150% due 05/15/2000 230 233
9.875% due 10/15/2000 250 259
6.249% due 04/02/2002 (d) 500 500
5.823% due 06/03/2002 (d) 1,000 992
MBNA America Bank NA
5.538% due 04/25/2002 (d) 500 496
Merrill Lynch & Co.
5.748% due 02/08/2002 (d) 400 400
Morgan Stanley, Dean Witter, Discover and Co.
6.040% due 11/13/2000 (d) 250 251
Residential Reinsurance
9.163% due 06/01/2000 (d) 800 798
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (e) 736 716
Toyota Motor Credit Corp.
5.967% due 02/15/2002 (e) 400 386
--------------
13,949
==============
Industrials 2.9%
Ceridian Corp.
7.250% due 06/01/2004 500 497
Conagra, Inc.
5.711% due 06/12/2000 (d) 500 499
CSX Corp.
5.790% due 06/15/2000 (d) 500 501
Limited, Inc.
6.281% due 11/22/2000 (d) 500 500
Petroleos Mexicanos
9.520% due 07/15/2005 (d) 1,000 952
U.S. West Capital Funding
5.960% due 06/15/2000 (d) 500 499
--------------
3,448
==============
Utilities 0.7%
Public Service Enterprise Group, Inc.
5.910% due 06/15/2001 (d) 500 499
Texas Utilities Co.
6.064% due 06/25/2001 300 299
--------------
798
--------------
Total Corporate Bonds & Notes 18,195
(Cost $18,236) ==============
- --------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.1%
- --------------------------------------------------------------------------------
New York 0.1%
New York City Municipal Bond
5.622% due 08/01/2002 (d) $ 138 $ 138
--------------
Total Municipal Bonds & Notes 138
(Cost $138) ==============
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES (d) 6.5%
- --------------------------------------------------------------------------------
Federal Home Loan Bank
4.842% due 02/15/2002 (e) 2,985 2,915
Federal National Mortgage Assn.
4.310% due 03/13/2002 2,000 1,951
Student Loan Marketing Assn.
4.129% due 02/20/2000 (e) 250 249
5.165% due 07/25/2004 106 106
5.195% due 10/25/2004 130 129
5.333% due 04/25/2006 1,973 1,964
5.395% due 01/25/2007 370 369
--------------
Total U.S. Government Agencies 7,683
(Cost $7,672) ==============
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 116.1%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities (e)
3.625% due 07/15/2002 (f) 24,255 24,103
3.375% due 01/15/2007 (f) 67,331 64,322
3.625% due 01/15/2008 (f) 26,516 25,671
3.875% due 01/15/2009 4,065 4,003
3.625% due 04/15/2028 (f) 18,550 17,170
3.875% due 04/15/2029 1,521 1,470
U.S. Treasury Notes
5.500% due 02/29/2000 10 10
--------------
Total U.S. Treasury Obligations 136,749
(Cost $137,508) ==============
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 1.1%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 0.2%
Federal Home Loan Mortgage Corp.
6.500% due 01/25/2028 100 90
Federal National Mortgage Assn.
6.500% due 02/25/2029 148 126
--------------
216
==============
Federal Home Loan Mortgage Corporation 0.1%
7.433% due 02/01/2023 (d) 128 131
--------------
Federal Housing Administration 0.2%
7.430% due 12/01/2020 306 306
--------------
Federal National Mortgage Association 0.6%
7.252% due 10/01/2024 (d) 678 693
--------------
Total Mortgage-Backed Securities 1,346
(Cost $1,357) ==============
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 4.9%
- --------------------------------------------------------------------------------
AFC Home Equity Loan Trust
5.603% due 03/25/2027 (d) 301 303
Capital Equipment Recievables Trust
6.120% due 09/15/2000 396 396
Comed Transitional Funding Trust
5.380% due 03/25/2002 177 177
Conti Mortgage Home Equity Loan Trust
6.020% due 01/25/2014 411 409
EQCC Home Equity Loan Trust
5.543% due 03/20/2029 (d) 398 398
GE Capital Mortgage Services, Inc.
7.150% due 09/25/2026 805 804
IMC Home Equity Loan Trust
6.610% due 06/20/2013 500 500
Onyx Acceptance Auto Trust
6.350% due 10/15/2003 884 884
62 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
Pacific Southwest Bank
6.060% due 06/15/2002 $ 25 $ 25
Premiere Auto Trust
5.510% due 07/09/2001 493 492
Residential Funding Mortgage Securities, Inc.
5.460% due 07/25/2029 355 352
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 535 533
WMC Mortgage Loan
5.591% due 03/20/2028 (d) 546 548
--------------
Total Asset-Backed Securities 5,821
(Cost $5,825) ==============
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 1.1%
- --------------------------------------------------------------------------------
Korea Development Bank
5.886% due 11/15/2002 (d) 500 460
United Mexican States
5.875% due 12/31/2019 (d) 1,000 862
United Mexican States Rights
0.000% due 06/30/2003 1,538 0
--------------
Total Sovereign Issues 1,322
(Cost $1,263) ==============
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (b)(c) 2.2%
- --------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 (e) N$ 300 155
Newcourt Credit Group
7.900% due 08/15/2000 C$ 1,674 1,152
7.625% due 06/28/2001 500 344
Republic of France
3.000% due 07/25/2009 EC 382 392
United Mexican States
1.573% due 12/31/2019 (d) JY 70,000 536
--------------
Total Foreign Currency-Denominated Issues 2,579
(Cost $2,582) ==============
- --------------------------------------------------------------------------------
Purchased Put Options 0.0%
- --------------------------------------------------------------------------------
Euribor Futures (LIFFE)
Strike @ 90.000 Exp. 12/13/1999 EC 10,000 0
--------------
Total Purchased Put Options 0
(Cost $10) ==============
- --------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 1.2%
- --------------------------------------------------------------------------------
Industrial 1.2%
Waste Management, Inc. Cvt. Pfd.
4.000% due 02/01/2002 $ 1,500 1,342
--------------
Total Convertible Bonds & Notes 1,342
(Cost $1,352) ==============
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 3.3%
- --------------------------------------------------------------------------------
Commercial Paper 1.9%
Hewlett-Packard Co.
5.310% due 10/05/1999 100 100
Procter & Gamble Co.
5.370% due 10/20/1999 1,000 997
5.290% due 11/01/1999 1,100 1,095
--------------
2,192
==============
Repurchase Agreement 1.4%
State Street Bank
4.800% due 10/01/19 1,695 1,695
(Dated 09/30/1999. Collateralized by Federal
National Mortgage Association 5.120%
05/26/2000 valued at $1,733,654
Repurchase proceeds are $1,695,226.)
--------------
Total Short-Term Instruments 3,887
(Cost $3,887) ==============
Total Investments (a) 151.9% $ 179,062
(Cost $179,830)
Other Assets and Liabilities (Net) (51.9%) (61,250)
--------------
Net Assets 100.0% $ 117,812
==============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net
unrealized appreciation (depreciation) of
investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of
value over tax cost $ 232
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value (990)
--------------
Unrealized depreciation-net $ (758)
==============
(b) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------
Buy C$ 569 10/1999 $ 7
Sell 569 10/1999 (5)
Sell 523 05/2000 2
Sell 1,711 06/2000 (6)
Sell EC 310 10/1999 (3)
Buy 429 11/1999 (2)
Sell 570 11/1999 62
Sell JY 50,056 02/2000 (18)
Sell N$ 845 10/1999 8
Buy 524 11/1999 (3)
--------
$ 42
========
(c) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
EC - European Currency Unit
JY - Japanese Yen
N$ - New Zealand Dollar
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Principal amount of security is adjusted for inflation.
(f) Subject to financing transaction.
See accompanying notes 63
<PAGE>
Schedule of Investments
Short-Term Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 25.1%
- --------------------------------------------------------------------------------
Banking & Finance 15.8%
Banco Nacional Obra Services
9.625% due 11/15/2003 $ 6,900 $ 6,883
BankBoston Corp.
6.125% due 03/15/2002 1,000 985
Bankers Trust Corp.
5.525% due 05/11/2003 (d) 11,000 10,989
Dean Witter Discover
5.250% due 02/13/2001 (d) 5,000 4,997
Donaldson, Lufkin & Jenrette
6.125% due 05/25/2026 (d) 264 264
Ford Motor Credit Corp.
5.596% due 08/27/2001 (d) 3,000 2,996
5.663% due 03/19/2002 4,295 4,300
5.670% due 12/16/2002 (d) 10,000 9,940
General Motors Acceptance Corp.
5.410% due 01/08/2002 (d) 1,000 996
5.438% due 04/29/2002 (d) 2,450 2,448
5.568% due 08/18/2003 (d) 16,575 16,441
Goldman Sachs Group
5.373% due 07/31/2000 (d) 8,000 7,986
Heller Financial, Inc.
5.240% due 04/22/2002 (d) 15,000 15,048
Korea Development Bank
6.250% due 05/01/2000 585 583
Lehman Brothers Holdings, Inc.
5.390% due 08/11/2000 (d) 3,000 3,014
6.073% due 05/07/2002 (d) 3,000 3,009
Mid-Amercian Funding LLC
5.850% due 03/01/2001 1,000 991
Residential Funding Mortgage Securities, Inc.
6.639% due 12/01/2018 (d) 1,196 1,220
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (f) 3,153 3,069
--------------
96,159
==============
Industrials 4.6%
Amerco, Inc.
6.890% due 10/15/2000 5,000 4,820
Champion International Corp.
7.700% due 12/15/1999 10,000 10,032
COFIRI International, Inc.
5.295% due 10/27/2000 (d) 2,000 1,993
ITT Corp.
6.250% due 11/15/2000 3,000 2,945
Occidental Petroleum
7.650% due 12/01/1999 5,000 5,011
Time Warner, Inc.
6.100% due 12/30/2001 3,000 2,981
--------------
27,782
==============
Utilities 4.7%
Central Maine Power Co.
6.500% due 06/14/2000 7,800 7,772
Duquesne Light Co.
6.450% due 03/01/2000 2,000 2,001
Pennsylvania Power & Light
6.000% due 06/01/2000 19,000 19,013
--------------
28,786
--------------
Total Corporate Bonds & Notes 152,727
==============
(Cost $152,830)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.3%
- --------------------------------------------------------------------------------
Student Loan Marketing Assn.
5.225% due 04/25/2004 (d) 2,198 2,193
5.495% due 04/25/2007 (d) 11,705 11,687
--------------
Total U.S. Government Agencies 13,880
==============
(Cost $13,900)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 2.1%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (f) $ 5,204 $ 5,171
3.625% due 01/15/2008 (f)(g) 5,675 5,494
3.875% due 01/15/2009 (f)(g) 1,931 1,902
--------------
Total U.S. Treasury Obligations 12,567
==============
(Cost $12,648)
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 36.0%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 23.8%
CMC Securities Corp.
7.500% due 02/25/2023 3,826 3,850
Dime Savings
6.810% due 11/01/2018 (d) 305 280
Donaldson, Lufkin & Jenrette
7.040% due 10/17/2020 (d) 650 669
7.762% due 09/01/2021 (d) 39 39
Federal Home Loan Mortgage Corp.
6.210% due 02/25/2000 1,600 1,595
6.000% due 03/15/2005 1,300 1,300
6.000% due 02/15/2007 1,375 1,375
6.500% due 10/25/2014 4,584 4,552
5.750% due 10/15/2016 105 105
6.000% due 07/15/2019 6,419 6,379
Federal National Mortgage Assn.
6.500% due 10/18/2006 384 383
6.000% due 02/25/2008 1,519 1,501
5.254% due 07/25/2008 (d) 1,379 1,367
6.000% due 08/18/2016 44,926 44,641
6.500% due 11/25/2017 3,627 3,615
5.875% due 03/25/2018 161 161
5.850% due 05/25/2019 1,614 1,609
6.000% due 06/25/2020 27 27
6.000% due 08/25/2020 2,813 2,779
5.000% due 02/25/2022 175 173
6.500% due 09/18/2023 2,344 2,330
9.000% due 06/25/2032 11,372 11,802
First Plus Home Loan Trust
6.060% due 09/10/2011 5,000 4,994
GE Capital Mortgage Services, Inc.
6.750% due 12/25/2012 6,915 6,894
Greenwich
7.609% due 04/25/2022 (d) 97 98
6.657% due 10/25/2022 (d) 62 62
Housing Securities, Inc.
6.000% due 02/25/2008 2,022 2,018
Independent National Mortgage Corp.
7.250% due 11/25/2010 4,000 4,020
Prudential Bache
5.740% due 09/01/2018 (d) 27 26
Prudential Home Mortgage Securities
6.950% due 11/25/2022 233 215
Salomon Brothers Mortgage Securities
5.689% due 06/25/2029 (d) 4,862 4,862
Structured Asset Mortgage Investments, Inc.
6.125% due 11/25/2013 18,609 17,862
Structured Asset Securities Corp.
7.000% due 01/20/2021 1,161 1,161
TMA Mortgage Funding Trust
5.719% due 01/25/2029 12,562 12,562
--------------
145,306
==============
Federal Home Loan Mortgage Corporation 0.3%
7.500% due 11/01/2001 1,966 1,988
--------------
Federal National Mortgage Association 4.0%
6.000% due 12/18/2014 9,928 9,884
6.150% due 09/25/2016 7,569 7,527
8.000% due 06/01/2027 4,380 4,477
8.500% due 01/01/2026 2,439 2,534
--------------
24,422
==============
64 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------------
Government National Mortgage Association 7.6%
6.125% due 11/20/2026 (d) $ 16,563 $ 16,672
6.375% due 02/20/2024-04/20/2025 (d)(e) 13,097 13,295
6.625% due 09/20/2023-08/20/2027 (d)(e) 9,500 9,593
8.500% due 06/20/2027 6,574 6,798
--------------
46,358
==============
Other Mortgage-Backed Securities 0.1%
First Nationwide Trust
6.466% due 10/25/2018 (d) 10 10
Resolution Trust Corp.
6.362% due 05/25/2029 (d) 684 665
--------------
675
==============
Stripped Mortgage-Backed Securities 0.2%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 06/15/2019 5,923 576
Federal National Mortgage Association (IO)
7.000% due 07/25/2006 1,828 144
6.500% due 12/25/2006 3,343 137
6.500% due 06/25/2017 1,793 84
6.500% due 10/25/2023 1,824 235
--------------
1,176
--------------
Total Mortgage-Backed Securities 219,925
==============
(Cost $221,733)
- ----------------------------------------------------------------------------
ASSET-BACKED SECURITIES 9.2%
- ----------------------------------------------------------------------------
Advanta Revolving Home Equity Loan Trust
5.750% due 01/25/2024 (d) 300 300
Banc One Auto Grantor Trust
6.290% due 07/20/2004 3,278 3,275
Brazos Student Loan Finance Co.
5.495% due 06/01/2023 (d) 20,000 19,630
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 1,303 1,299
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 6,367 6,370
GE Capital Mortgage Services, Inc.
7.150% due 09/25/2026 1,609 1,608
Salomon Brothers Mortgage Securities
5.960% due 11/10/2029 4,000 4,000
Starwood Hotels & Resorts Worldwide, Inc.
9.133% due 02/23/2003 (d) 10,000 10,000
The Money Store Home Equity Trust
6.635% due 09/15/2014 7,500 7,507
UniCapital Corp.
6.540% due 07/23/2002 2,000 2,000
--------------
Total Asset-Backed Securities 55,989
(Cost $56,270) ==============
- ----------------------------------------------------------------------------
SOVEREIGN ISSUES 4.0%
- ----------------------------------------------------------------------------
Air Canada
6.238% due 07/31/2005 (d) 2,000 1,760
Federal Home Loan Bank
6.000% due 05/12/2000 (d) 10,000 9,869
Korea Development Bank
7.625% due 10/01/2002 1,000 994
Korean Export-Import Bank
6.500% due 05/15/2000 2,170 2,159
Petroleos Mexicanos
9.375% due 12/02/2008 1,000 1,021
United Mexican States
6.768% due 06/27/2002 (d) 9,000 8,739
--------------
Total Sovereign Issues 24,542
(Cost $24,844) ==============
- ----------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (b)(c) 1.3%
- ----------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C
8.750% due 09/28/2000 BP 3,000 4,989
Commonwealth of New Zealand
4.500% due 02/15/2016 (f) N$ 5,400 2,791
-------------
Total Foreign Currency-Denominated Issues 7,780
(Cost $8,506) =============
- ----------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 31.1%
- ----------------------------------------------------------------------------
Certificates of Deposit 3.4%
Commerzbank AG
6.200% due 05/10/2000 10,000 9,924
Sumitomo Bank
5.970% due 01/26/2000 10,500 10,501
--------------
20,425
==============
Commercial Paper 21.8%
Aristar, Inc.
5.880% due 02/01/2000 1,445 1,418
Eastman Kodak Co.
5.720% due 01/26/2000 6,800 6,679
Finova Capital Corp.
5.870% due 01/26/2000 1,000 982
Florida Power Corp.
5.270% due 10/07/1999 3,700 3,697
Ford Motor Credit Corp.
5.690% due 01/26/2000 6,000 5,893
General Electric Capital Corp.
5.690% due 02/09/2000 1,200 1,176
Goldman Sachs Group
5.780% due 01/26/2000 13,100 12,867
5.720% due 02/09/2000 5,000 4,899
Goodyear Tire & Rubber Co.
6.250% due 01/26/2000 14,200 13,912
Heller Financial, Inc.
5.790% due 01/26/2000 3,800 3,732
5.790% due 02/09/2000 3,500 3,430
MCI Worldcom, Inc.
6.140% due 01/27/2000 2,200 2,160
National Rural Utilities Cooperative
5.720% due 01/26/2000 6,000 5,893
Procter & Gamble Co.
5.320% due 10/20/1999 500 499
Province of British Columbia
5.330% due 10/07/1999 3,800 3,797
Raytheon Corp.
5.470% due 10/20/1999 15,900 15,854
Texas Utilities Co.
5.260% due 01/21/2000 1,800 1,769
TRW, Inc.
6.220% due 02/09/2000 12,000 11,759
United Parcel Service Co.
5.410% due 10/04/1999 1,500 1,499
US West Capital Funding
6.260% due 02/08/2000 1,300 1,274
5.960% due 03/24/2000 20,000 19,447
Williams Holdings
5.360% due 01/25/2000 10,000 9,824
Wisconsin Electric
5.320% due 10/20/1999 400 399
--------------
132,859
==============
Repurchase Agreements 5.9%
State Street Bank
4.800% due 10/01/1999 6,198 6,198
(Dated 09/30/1999. Collateralized by Federal
Home Loan Bank 6.315% 08/24/2001 valued at
$6,326,403. Repurchased proceeds are $6,198,826.)
Daiwa Securities
5.000% due 10/01/1999 30,000 30,000
(Dated 09/30/1999. Collateralized by U.S. Treasury
Bond 7.875% 11/15/2007 valued at $30,779,980.
Repurchase proceeds are $30,004,167.)
--------------
36,198
--------------
Total Short-Term Instruments 189,482
==============
(Cost $189,456)
Total Investments (a) 111.1% $676,892
(Cost $680,187)
Other Assets and Liabilities (Net) (11.1%) (67,409)
--------------
Net Assets 100.0% $609,483
==============
See accompanying notes 65
<PAGE>
Schedule of Investments (Cont.)
Short-Term Fund
September 30, 1999 (Unaudited)
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized
appreciation (depreciation) of investments based
on cost for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 665
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (3,960)
--------------
Unrealized depreciation-net $ (3,295)
==============
(b) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- -----------------------------------------------------------------
Sell BP 3,090 10/1999 $ (10)
Sell N$ 5,023 10/1999 42
Sell 286 11/1999 3
-----------
$ 35
===========
(c) Principal amount denoted in indicated currency:
BP - British Pound
N$ - New Zealand Dollar
(d) Variable rate security. The rate listed is as of September 30, 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
66 See accompanying notes
<PAGE>
Schedule of Investments
StocksPLUS Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 39.1%
- --------------------------------------------------------------------------------
Banking & Finance 26.5%
AT&T Capital Corp.
7.110% due 09/13/2001 (d) $ 2,100 $ 2,102
5.561% due 04/23/2002 (d) 5,725 5,614
Bankers Trust Corp.
5.525% due 05/11/2003 (d) 20,000 19,981
CIT Group, Inc.
6.200% due 10/20/2000 10,000 9,985
Finova Capital Corp.
5.426% due 06/18/2003 (d) 25,000 24,680
Ford Motor Credit Corp.
7.020% due 10/10/2000 11,000 11,105
5.663% due 03/19/2002 590 591
5.570% due 07/16/2002 (d) 6,500 6,488
5.670% due 12/16/2002 (d) 3,600 3,578
5.565% due 02/13/2003 (d) 15,000 14,907
General Motors Acceptance Corp.
5.020% due 10/22/2001 (d) 1,600 1,591
5.895% due 12/17/2001 (d) 2,000 2,012
5.566% due 02/25/2002 (d) 1,000 994
5.568% due 08/18/2003 (d) 35,300 35,015
5.560% due 04/05/2004 (d) 5,900 5,879
Goldman Sachs Group
5.740% due 01/16/2001 (d) 5,000 5,005
5.468% due 01/25/2001 (d) 10,000 9,983
5.558% due 02/19/2004 (d) 10,000 10,117
Heller Financial, Inc.
5.846% due 09/25/2000 (d) 15,500 15,480
Household Finance Corp.
5.631% due 06/22/2001 (d) 5,000 4,999
HRPT Properties Trust
6.560% due 07/09/2007 5,000 4,993
Lehman Brothers Holdings, Inc.
5.390% due 08/11/2000 (d) 9,400 9,443
6.110% due 07/15/2002 (d) 2,700 2,700
5.824% due 11/30/2006 (d) 1,910 1,671
MBNA America Bank NA
5.396% due 06/10/2004 (d) 10,000 9,830
MFN Financial Corp.
5.445% due 09/13/2001 (d) 4,000 3,974
Mercury Finance Co.
10.009% due 03/23/2001 16,000 15,030
Merrill Lynch & Co.
5.190% due 10/10/2000 (d) 3,000 3,014
5.980% due 11/20/2000 10,000 10,021
5.246% due 06/18/2001 (d) 10,000 10,007
5.760% due 01/11/2002 (d) 8,550 8,567
5.688% due 02/01/2002 (d) 24,500 24,506
5.564% due 02/04/2003 (d) 6,000 6,024
Nacional Financiera
8.693% due 12/01/2000 (d) 10,000 9,950
Residential Reinsurance
9.163% due 06/01/2000 (d) 5,000 4,984
Salomon, Smith Barney Holdings
5.875% due 02/01/2001 5,000 4,978
3.650% due 02/14/2002 (f) 2,102 2,046
5.588% due 04/02/2002 (d) 3,600 3,604
5.250% due 03/26/2003 5,000 4,973
Tecnost International NV
4.487% due 06/23/2004 (d) 34,100 37,267
------------
367,688
------------
Industrials 9.2%
Amerco, Inc.
6.890% due 10/15/2000 16,800 16,196
Black & Decker
6.060% due 12/20/2001 (d) 7,250 7,273
COFIRI International, Inc
5.295% due 10/27/2000 (d) 2,000 1,993
CSX Corp.
5.790% due 06/15/2000 (d) 10,000 9,981
El Paso Energy Corp.
5.960% due 07/15/2001 (d) 4,600 4,594
Limited, Inc.
6.281% due 11/22/2000 (d) 26,500 26,500
Marlin Water Trust
7.090% due 12/15/2001 4,049 4,049
Merita
5.378% due 12/01/2005 (d) 1,000 1,001
Norfolk Southern Corp.
6.700% due 05/01/2000 2,600 2,611
Petroleos Mexicanos
7.600% due 06/15/2000 2,050 2,063
9.520% due 07/15/2005 (d) 15,000 14,288
Stone Container Corp.
10.750% due 10/01/2002 3,435 3,547
TCI Communications, Inc.
6.150% due 04/03/2002 (d) 11,600 11,785
6.210% due 03/11/2003 (d) 4,000 4,086
Tenneco, Inc.
10.075% due 02/01/2001 1,400 1,452
TRW, Inc.
5.930% due 06/28/2000 (d) 8,900 8,885
Tyco International Group SA
6.203% due 03/05/2001 (d) 3,700 3,693
Williams Co., Inc.
5.950% due 02/15/2000 (d) 4,200 4,198
------------
128,195
============
Utilities 3.4%
Beaver Valley Funding Corp.
8.250% due 06/01/2003 1,804 1,824
Niagara Mohawk Power
7.125% due 07/01/2001 6,805 6,833
North Atlantic Energy
9.050% due 06/01/2002 910 924
Public Service Enterprise Group, Inc.
5.761% due 11/22/2000 (d) 15,000 15,034
Telecom Argentina
9.375% due 06/12/2000 18,100 18,213
Western Massachusetts Electric
7.750% due 12/01/2002 4,000 4,082
------------
46,910
------------
Total Corporate Bonds & Notes 542,793
(Cost $541,482) ============
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.7%
- --------------------------------------------------------------------------------
Student Loan Marketing Assn.
5.483% due 01/25/2003 (d) 3,410 3,409
5.165% due 07/25/2004 (d) 383 380
5.225% due 10/25/2005 (d) 10,429 10,393
5.333% due 04/25/2006 (d) 3,814 3,798
5.395% due 01/25/2007 (d) 10,572 10,551
5.495% due 04/25/2007 (d) 9,052 9,038
------------
Total U.S. Government Agencies 37,569
(Cost $37,503) ============
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 12.1%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities (h)
3.625% due 07/15/2002 99,601 98,979
3.625% due 01/15/2008 10,317 9,989
U.S. Treasury Notes
5.375% due 01/31/2000 (b) 59,385 59,459
------------
Total U.S. Treasury Obligations 168,427
(Cost $168,317) ============
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 17.5%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 9.3%
Bank Mart
6.883% due 03/01/2019 (d)(g) 6,149 6,261
Countrywide Home Loans
6.050% due 04/25/2029 6,600 6,520
Donaldson, Lufkin & Jenrette
7.040% due 10/17/2020 (d) 184 190
Federal Home Loan Mortgage Corp.
5.186% due 05/18/2000 (d) 20,000 19,984
7.000% due 06/15/2023 2,216 2,222
6.500% due 08/15/2023 9,709 9,612
See accompanying notes 67
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------
Federal National Mortgage Assn.
7.417% due 04/25/2020 (d) $ 24 $ 23
6.500% due 05/18/2024 4,329 4,297
GE Capital Mortgage Services, Inc.
6.300% due 09/25/2023 2,000 1,985
6.250% due 10/25/2028 1,062 1,056
Greenwich
6.657% due 10/25/2022 (d) 15 16
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2027 10,456 10,348
ICI Funding Corp. Secured Assets Corp.
7.650% due 07/25/2028 11,146 11,214
Norwest Asset Securities Corp.
6.750% due 08/25/2029 9,651 9,515
PaineWebber Mortgage
6.506% due 02/25/2001 (d) 589 587
PNC Mortgage Securities Corp.
6.625% due 03/25/2028 8,922 8,789
Residential Asset Securitization Trust
6.500% due 03/25/2029 4,792 4,647
Residential Funding Mortgage Securities,
Inc.
6.140% due 03/25/2018 (d) 1,947 1,930
Resolution Trust Corp.
5.838% due 05/25/2029 (d) 174 174
Structured Asset Mortgage Investments,
Inc.
9.054% due 06/25/2029 21,189 22,257
Structured Asset Securities Corp.
5.553% due 12/25/2000 (d) 1,131 1,130
TMA Mortgage Funding Trust
5.719% due 01/25/2029 6,325 6,325
------------
129,082
------------
Federal Home Loan Mortgage Corporation 0.8%
6.371% due 07/01/2019 (d) 2,979 2,939
6.756% due 06/01/2022 (d) 490 505
7.030% due 12/01/2022 (d) 624 640
7.500% due 10/14/2029 7,250 7,283
8.500% due 04/01/2025-06/01/2025 (j) 197 204
------------
11,571
============
Federal National Mortgage Association 1.4%
5.730% due 05/01/2017-11/01/2028 (d)(j) 5,716 5,598
5.737% due 08/01/2029 (d) 333 325
5.740% due 07/01/2018 (d) 573 564
5.746% due 05/01/2036 (d) 271 264
5.753% due 11/01/2035 (d) 498 487
5.754% due 04/01/2018 (d) 118 116
5.758% due 05/01/2036 (d) 5,644 5,504
5.900% due 02/01/2031 (d) 99 97
6.500% due 09/01/2005 5,989 5,953
6.719% due 05/01/2022 (d) 369 380
------------
19,288
============
Government National Mortgage Association 5.4%
6.000% due 11/23/2029 (d) 20,000 19,956
6.125% due 12/20/2022-12/20/2027 (d)(j) 10,664 10,764
6.375% due 02/20/2026-02/20/2028 (d)(j) 23,525 23,773
6.625% due 07/20/2018-07/20/2023 (d)(j) 19,482 19,816
------------
74,309
============
Other Mortgage-Backed Securities 0.5%
Allied Waste North America, Inc.
8.188% due 07/30/2006 (d) 2,273 2,261
8.250% due 07/30/2007 (d) 636 636
8.438% due 07/30/2007 (d) 1,728 1,720
California Federal Savings & Loan
6.609% due 01/01/2019 (d) 27 27
Fund America
6.719% due 06/25/2023 (d) 137 141
J.P. Morgan & Co.
6.813% due 01/25/2018 (d) 614 602
Resolution Trust Corp.
6.642% due 12/25/2023 (d) 20 21
Structured Asset Securities Corp.
6.513% due 09/25/2036 (d) 990 1,010
------------
6,418
============
Stripped Mortgage-Backed Securities 0.1%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 2,897 164
7.500% due 08/15/2019 1,030 50
Federal National Mortgage Assn. (IO)
6.000% due 11/25/2000 $ 301 $ 9
7.000% due 07/25/2006 366 29
6.500% due 02/25/2021 (d) 3,468 267
7.000% due 07/25/2021 833 122
6.500% due 03/25/2023 4,903 574
------------
1,215
------------
Total Mortgage-Backed Securities 241,883
(Cost $242,990) ============
- ----------------------------------------------------------------
ASSET-BACKED SECURITIES 2.8%
- ----------------------------------------------------------------
AFC Home Equity Loan Trust
5.489% due 06/25/2028 (d) 13,908 13,867
Allied Waste North America, Inc.
8.438% due 07/30/2007 (d) 364 364
Argentina Funding Corp.
5.553% due 05/20/2003 (d) 16,000 16,000
Bayview Financial Acquisition
5.889% due 02/25/2029 (d) 6,634 6,638
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 1,521 1,515
------------
Total Asset-Backed Securities 38,384
(Cost $38,404) ============
- ----------------------------------------------------------------
SOVEREIGN ISSUES 3.0%
- ----------------------------------------------------------------
Air Canada
6.238% due 07/31/2005 (d) 12,000 10,560
Cemex SA
10.750% due 07/15/2000 3,650 3,741
Hydro Quebec
5.188% due 09/29/2049 (d) 1,000 831
Nacional Financiera
6.875% due 05/08/2003 (d) 1,000 955
Republic of Argentina
5.938% due 03/31/2005 (d) 186 163
11.447% due 04/10/2005 (d) 7,000 6,169
United Mexican States
6.768% due 06/27/2002 (d) 10,000 9,710
9.060% due 04/07/2004 (d) 9,000 9,050
------------
Total Sovereign Issues 41,179
(Cost $42,911) ============
- ----------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 2.1%
- ----------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 9,750 5,038
Export-Import Bank Korea
3.162% due 10/06/2000 (d) DM 11,370 6,037
Kingdom of Sweden
10.250% due 05/05/2000 SK 1,000 127
Korea Development Bank
2.560% due 06/26/2001 JY 1,000,000 9,548
United Mexican States
8.750% due 05/30/2002 BP 3,000 4,895
7.000% due 06/02/2003 C$ 6,000 3,850
------------
Total Foreign Currency-Denominated Issues 29,495
(Cost $29,438) ============
- ----------------------------------------------------------------
PURCHASED CALL OPTIONS 0.0%
- ----------------------------------------------------------------
U.S. Treasury Bond December Futures (CBOT)
Strike @ 130.00 Exp. 11/20/1999 $ 826 13
------------
Total Purchased Call Options 13
(Cost $30) ============
- ----------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
- ----------------------------------------------------------------
Eurodollar December Futures (CME)
Strike @ 93.000 Exp. 12/13/1999 500 3
Strike @ 92.250 Exp. 12/13/1999 1,270 6
Strike @ 92.000 Exp. 12/13/1999 2,000 10
Strike @ 92.000 Exp. 12/13/1999 2,575 13
------------
Total Purchased Put Options 32
(Cost $104) ============
68 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 21.3%
- --------------------------------------------------------------------------------
Certificates of Deposit 3.0%
Sumitomo Bank
5.970% due 01/26/2000 $ 42,000 $ 42,003
--------------
Commercial Paper 15.3%
American Express Co.
5.650% due 02/09/2000 20,000 19,589
Associates First Capital Corp.
5.690% due 01/27/2000 17,600 17,272
5.750% due 01/27/2000 20,000 19,641
Bellsouth Telecom
5.620% due 02/09/2000 13,100 12,832
Coca Cola Co.
5.280% due 10/29/1999 3,300 3,286
Crown Cork & Seal Co.
6.150% due 02/09/2000 17,500 17,108
Eastman Kodak Co.
5.720% due 01/26/2000 10,000 9,822
Finova Capital Corp.
5.870% due 01/26/2000 7,000 6,875
Ford Motor Credit Corp.
5.690% due 01/26/2000 14,000 13,741
General Electric Capital Corp.
5.670% due 02/09/2000 10,000 9,794
General Motors Acceptance Corp.
5.720% due 02/04/2000 15,000 14,700
Heller Financial, Inc.
5.790% due 01/26/2000 13,900 13,653
5.790% due 02/09/2000 13,800 13,522
KFW International Finance, Inc.
5.280% due 10/13/1999 7,400 7,387
TRW, Inc.
6.220% due 02/09/2000 10,000 9,799
Williams Holdings
5.360% due 01/25/2000 20,000 19,647
Wisconsin Electric
5.280% due 10/20/1999 3,300 3,291
--------------
211,959
==============
Repurchase Agreements 1.3%
State Street Bank
4.800% due 10/01/1999 8,270 8,270
(Dated 09/30/1999. Collateralized by Federal Home
Loan Bank 6.315% 08/24/2001 valued at $8,436,887.
Repurchase proceeds are $8,271,103.
Daiwa Securities
5.000% due 10/01/1999 10,000 10,000
(Dated 09/30/1999. Collateralized by U.S. Treasury
Note 5.625% 12/31/1999 valued at $10,217,647.
Repurchase proceeds are $10,001,389.)
--------------
18,270
==============
U.S. Treasury Bills (b) 1.7%
4.606% due 10/14/1999-01/13/2000 23,590 23,517
--------------
Total Short-Term Instruments 295,749
==============
(Cost $295,669)
Total Investments (a) 100.6% $ 1,395,524
(Cost $1,396,848)
Written Options (c) (0.1% ) (1,576)
(Premiums $1,373)
Other Assets and Liabilities (Net) (0.5%) (7,529)
--------------
Net Assets 100.0% $ 1,386,419
==============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 5,641
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (6,965)
--------------
Unrealized depreciation-net $ (1,324)
==============
(b) Securities with an aggregate market value of $82,976 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at September 30, 1999:
# of Unrealized
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar June Futures (06/2000) 216 $ (612)
Eurodollar September Futures (09/2000) 192 (586)
Eurodollar December Futures (12/2000) 61 (184)
S&P 500 Index (12/1999) 3,472 (53,745)
--------------
$ (55,127)
==============
(c) Premiums received on written options:
# of
Type Contracts Premium Value
- --------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 120.00 Exp. 11/20/1999 652 $ 104 $ 71
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 118.00 Exp. 11/20/1999 215 43 64
Put - CBOT U.S. Treasury December Bond Futures
Strike @ 110.00 Exp. 11/20/1999 761 333 250
Put - OTC U.S.Treasury Note
5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 7,500 31 0
Put - CME Eurodollar December Futures
Strike @ 94.250 Exp. 12/13/1999 2,065 418 537
Put - CME Eurodollar December Futures
Strike @ 94.500 Exp. 12/13/1999 800 137 380
Put - CME Eurodollar December Futures
Strike @ 94.000 Exp. 12/13/1999 2,328 286 256
Put - LIFFE BP 90 Day LIBOR 09/2000
Strike @ 93.000 Exp. 9/20/2000 10,000 21 18
--------------------
$ 1,373 $ 1,576
====================
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- -----------------------------------------------------------
Sell BP 3,022 10/1999 $ (10)
Sell C$ 5,773 10/1999 (46)
Sell EC 40,679 10/1999 (453)
Sell 12,843 01/2000 (246)
Sell 3,340 02/2000 25
Sell JY 1,017,009 02/2000 (202)
Sell N$ 8,553 10/1999 72
Sell 1,251 11/1999 11
Buy PZ 102,100 01/2000 (1,155)
Buy 25,000 02/2000 (341)
---------
$ (2,345)
=========
See accompanying notes 69
<PAGE>
Schedule of Investments (Cont.)
Stocks PLUS Fund
September 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
(f) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
EC - European Currency Unit
JY - Japanese Yen
N$ - New Zealand Dollar
PZ- Polish Zloty
SK- Swedish Krona
(g) Restricted security.
(h) Principal amount of the security is adjusted for inflation.
(i) Swap agreements outstanding at September 30, 1999:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
- --------------------------------------------------------------------------------
Receive total return on S&P 500 Index and pay floating rate based on 1 month
LIBOR plus 0.130% .
Broker: Morgan Stanley & Co.
Exp. 09/29/2000 $ 68,991 $ 0
Receive total return on S&P 500 Index and pay floating rate based on 1 month
LIBOR plus 0.140% .
Broker: J.P. Morgan Securities, Inc.
Exp. 04/28/2000 21,000 0
Receive total return on S&P 500 Index and pay floating rate based on 1 month
LIBOR plus 0.120% .
Broker: Lehman Brothers, Inc.
Exp. 06/30/2000 61,378 0
Receive total return on S&P 500 Index and pay floating rate based on 1 month
LIBOR plus 0.120% .
Broker: J.P. Morgan Securities, Inc.
Exp. 03/17/2000 99,460 0
Receive floating rate based on 6 months LIBOR and pay floating rate based on 6
months LIBOR plus 5.950% . In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to
the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/17/2001 2,400 (25)
Receive floating rate based on 6 months LIBOR and pay floating rate based on 6
months LIBOR plus 6.150% . In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to
the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 1,100 (14)
--------------
$ (39)
==============
(j) Securities grouped by coupon or range of coupons and represent a range of
maturities.
70 See accompanying notes
<PAGE>
Schedule of Investments
Strategic Balanced Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------
CORPORATE BONDS & NOTES 33.0%
- -----------------------------------------------------------------------------
Banking & Finance 20.3%
AT&T Capital Corp.
7.000% due 08/15/2001 $ 300 $ 300
Bank of America Corp.
6.625% due 06/15/2004 1,000 993
Bear Stearns Co., Inc.
6.125% due 02/01/2003 1,100 1,071
Caithness Coso Fund Corp.
6.800% due 12/15/2001 2,000 1,999
Caterpillar Financial Service Corp.
6.875% due 08/01/2004 1,000 1,002
Countrywide Home Loans
6.850% due 06/15/2004 1,000 997
Edison Funding
6.050% due 12/17/1999 1,000 1,000
Finova Capital Corp.
5.426% due 06/18/2003 (d) 2,000 1,974
Ford Motor Credit Corp.
5.790% due 03/21/2001 (d) 500 500
5.570% due 07/16/2002 (d) 300 299
5.460% due 10/15/2002 (d) 1,000 995
5.670% due 12/16/2002 (d) 200 199
5.750% due 02/23/2004 1,000 961
General Motors Acceptance Corp.
5.020% due 10/22/2001 (d) 100 99
5.568% due 08/18/2003 (d) 1,000 992
5.560% due 04/05/2004 (d) 400 399
6.850% due 06/17/2004 1,000 1,001
Hyatt Equities LLC
6.800% due 05/15/2000 2,695 2,697
Lehman Brothers Holdings, Inc.
5.733% due 02/27/2001 (d) 800 801
5.823% due 06/03/2002 (d) 600 595
6.110% due 07/15/2002 (d) 305 305
Merrill Lynch & Co.
5.499% due 10/01/2003 (d) 2,000 1,998
5.920% due 03/17/2004 (d) 100 101
Nacional Financiera
8.693% due 12/01/2000 (d) 500 498
NationsBank Corp.
7.033% due 02/18/2002 (d) 100 96
New England Educational Loan Marketing
5.270% due 06/11/2001 (d) 2,000 1,997
Okobank
6.561% due 09/27/2049 (d) 500 500
Popular, Inc.
6.400% due 08/25/2000 2,000 1,998
Republic New York Corp.
5.279% due 10/28/2002 (d) 100 99
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 1,135 1,105
5.588% due 04/02/2002 (d) 200 200
Wells Fargo Co.
6.625% due 07/15/2004 1,000 994
Westdeutsche Landesbank
6.050% due 01/15/2009 3,000 2,749
---------
31,514
---------
Industrials 8.1%
AMR Corp.
10.000% due 02/01/2001 400 416
9.430% due 05/10/2001 1,000 1,038
Conagra, Inc.
5.711% due 06/12/2000 (d) 2,000 1,997
DaimlerChrysler NA Holdings
6.900% due 09/01/2004 1,000 1,005
DTE Capital Corp.
8.350% due 11/15/2038 (d) 1,000 983
El Paso Energy Corp.
5.960% due 07/15/2001 (d) 200 200
Lockheed Martin Corp.
6.850% due 05/15/2001 2,000 1,998
Norfolk Southern Corp.
6.700% due 05/01/2000 100 100
Occidental Petroleum
5.776% due 04/03/2000 600 600
Reliant Energy, Inc.
6.375% due 11/01/2003 1,000 978
Sequa Corp.
9.625% due 10/15/1999 300 300
Tyco International Group SA
6.203% due 03/05/2001 (d) 300 299
U.S. West Capital Funding
5.960% due 06/15/2000 (d) 1,000 999
Waste Management, Inc.
6.000% due 05/15/2001 1,500 1,443
Williams Co., Inc.
5.950% due 02/15/2000 (d) 200 200
---------
12,556
---------
Utilities 4.6%
Arizona Public Service
5.750% due 09/15/2000 2,000 1,988
Cleveland Electric/Toledo Edison
7.190% due 07/01/2000 500 501
Florida Gas Transmission
8.140% due 11/01/1999 1,000 1,002
New Century Energies, Inc.
5.860% due 05/30/2000 1,000 997
System Energy Resources
7.710% due 08/01/2001 650 659
Texas Utilities Co.
6.064% due 06/25/2001 1,000 997
6.410% due 11/21/2001 1,000 995
---------
7,139
---------
Total Corporate Bonds & Notes 51,209
=========
(Cost $51,515)
- -----------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.9%
- -----------------------------------------------------------------------------
Student Loan Marketing Assn.
5.129% due 06/30/2000 (d) 900 899
5.483% due 01/25/2003 (d) 2,297 2,296
5.225% due 04/25/2004 (d) 220 219
5.395% due 01/25/2007 (d) 591 590
5.495% due 04/25/2007 (d) 468 467
---------
Total U.S. Government Agencies 4,471
=========
(Cost $4,465)
- -----------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 8.7%
- -----------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (g)(h) 4,059 4,034
3.625% due 01/15/2008 (g) 206 200
U.S. Treasury Notes
5.500% due 02/29/2000 (b)(d) 215 215
7.000% due 07/15/2006 (d) 6,900 7,247
5.375% due 01/31/2000 (b)(d) 1,820 1,822
---------
Total U.S. Treasury Obligations 13,518
=========
(Cost $13,486)
- -----------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 34.4%
- -----------------------------------------------------------------------------
Collateralized Mortgage Obligations 14.9%
Countrywide Home Loans
6.050% due 04/25/2029 300 296
Federal Home Loan Mortgage Corp.
5.186% due 05/18/2000 (d) 1,000 999
6.500% due 11/15/2000 52 52
5.500% due 07/15/2005 183 183
10.150% due 04/15/2006 9 9
7.000% due 05/15/2023 1,704 1,607
6.500% due 08/15/2023 187 179
6.500% due 03/15/2024 300 265
Federal National Mortgage Assn.
6.740% due 08/25/2007 145 142
5.700% due 06/25/2017 1,519 1,514
9.500% due 06/25/2018 239 252
6.500% due 06/25/2021 212 204
4.000% due 01/25/2022 126 110
See accompanying notes 71
<PAGE>
Schedule of Investments (Cont.)
Strategic Balanced Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
5.000% due 04/25/2022 $ 48 $ 43
7.000% due 06/25/2023 261 245
6.500% due 12/25/2023 145 129
First Plus Home Loan Trust
6.060% due 09/10/2011 1,000 999
GE Capital Mortgage Services, Inc.
6.250% due 12/25/2028 1,489 1,347
GMAC Commercial Mortgage Securities, Inc.
6.150% due 11/15/2007 282 274
Greenwich
6.685% due 04/25/2022 (d) 426 431
Housing Securities, Inc.
5.864% due 07/25/2032 (d) 834 834
Independent National Mortgage Corp.
7.237% due 11/25/2024 (d) 165 169
7.729% due 11/25/2024 (d) 87 89
8.350% due 06/25/2025 413 415
Morgan Stanley Capital
6.590% due 10/03/2030 944 934
Norwest Asset Securities Corp.
7.000% due 01/25/2028 2,421 2,399
6.500% due 02/25/2029 2,000 1,842
6.750% due 08/25/2029 469 462
PNC Mortgage Securities Corp.
6.625% due 03/25/2028 362 356
6.500% due 11/25/2029 1,000 921
Prudential Securities Secured Financing Corp.
6.955% due 06/15/2008 993 995
Resecuritization Mortgage Trust
5.630% due 04/26/2021 (d) 584 568
Residential Asset Securitization Trust
6.500% due 03/25/2029 240 232
Residential Funding Mortgage Securities, Inc.
6.500% due 11/25/2023 3,000 2,760
Resolution Trust Corp.
8.000% due 06/25/2026 839 847
Structured Asset Securities Corp.
5.553% due 12/25/2000 (d) 108 108
---------
23,211
=========
Federal Home Loan Mortgage Corporation 2.1%
6.500% due 10/14/2028 2,100 2,015
7.500% due 10/14/2029 1,000 1,005
8.500% due 03/01/2023 282 294
--------
3,314
========
Federal Housing Administration 2.6%
6.000% due 03/20/2028 1,895 1,755
6.930% due 07/01/2014 (d) 544 503
7.430% due 01/25/2023 1,744 1,769
--------
4,027
=========
Federal National Mortgage Association 2.3%
5.500% due 10/14/2028 1,000 899
6.130% due 03/01/2029 (d) 382 374
6.500% due 09/01/2005 272 271
6.841% due 12/01/2023 (d) 169 174
8.500% due 07/01/2002-07/01/2025 (j) 1,776 1,838
---------
3,556
=========
Government National Mortgage Association 12.0%
6.000% due 10/21/2029 3,000 2,785
6.375% due 04/20/2023-06/20/2027 (d)(j) 1,527 1,549
6.500% due 01/15/2024-10/21/2029 (j) 5,199 4,946
6.625% due 07/20/2023-08/20/2026 (d)(j) 694 705
6.875% due 01/15/2001-02/01/2040 (j) 1,000 1,016
7.000% due 01/20/2027-11/22/2029 (d)(j) 6,736 6,601
7.250% due 08/24/2024 (d) 400 404
7.500% due 05/15/2017 6 6
8.000% due 09/15/2006-11/15/2026 (j) 263 270
9.500% due 09/15/2009-10/15/2009 (j) 97 104
10.750% due 09/15/2000-10/15/2000 (j) 27 28
16.000% due 10/15/2011-04/15/2012 (j) 151 180
---------
18,594
=========
Other Mortgage-Backed Securities 0.4%
Home Savings of America
5.464% due 05/25/2027 (d) 607 591
---------
Stripped Mortgage-Backed Securities 0.1%
Collateralized Mortgage Obligation Trust (PO)
0.000% due 04/23/2017 $ 15 $ 14
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2016 438 14
7.000% due 02/15/2017 293 5
Federal National Mortgage Assn. (IO)
6.500% due 05/25/2005 877 108
6.500% due 09/25/2008 424 38
---------
179
---------
Total Mortgage-Backed Securities 53,472
=========
(Cost $54,171)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 4.6%
- --------------------------------------------------------------------------------
Arcadia Automobile Receivables Trust
6.500% due 06/17/2002 500 502
Contimortgage Home Equity Loan Trust
6.370% due 10/15/2012 (d) 488 487
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 424 425
Green Tree Financial Corp.
7.860% due 04/01/2031 400 402
Money Store Home Equity Trust
6.550% due 09/15/2021 1,626 1,627
Saxon Asset Securities Trust
5.613% due 05/25/2029 (d) 2,665 2,667
WMC Mortgage Loan
5.591% due 03/20/2028 (d) 1,092 1,095
---------
Total Asset-Backed Securities 7,205
=========
(Cost $7,201)
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 0.8%
- --------------------------------------------------------------------------------
Hydro Quebec
5.188% due 09/29/2049 (d) 200 166
Republic of Korea
8.281% due 04/08/2000 (d) 1,000 1,004
---------
Total Sovereign Issues 1,170
=========
(Cost $1,165)
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(h) 6.3%
- --------------------------------------------------------------------------------
Commonwealth of New Zealand
10.000% due 03/15/2002 N$ 300 169
5.500% due 04/15/2003 600 301
Tecnost International NV
4.487% due 06/23/2004 (d) EC 8,600 9,399
---------
Total Foreign Currency-Denominated Issues 9,869
=========
(Cost $9,579)
- --------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
- --------------------------------------------------------------------------------
Eurodollar December Futures (CME)
Strike @ 92.250 Exp. 12/13/1999 $ 88 0
---------
Total Purchased Put Options 0
=========
(Cost $1)
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 29.7%
- --------------------------------------------------------------------------------
Certificates of Deposit 1.3%
Sumitomo Bank
5.970% due 01/26/2000 2,000 2,000
----------
Commercial Paper 23.1%
Alcoa
5.720% due 03/14/2000 3,500 3,408
American Express
5.730% due 02/09/2000 4,500 4,406
Bank One Corp.
5.750% due 02/09/2000 5,000 4,895
Coca Cola Co.
5.280% due 10/29/1999 300 299
Crown Cork & Seal Co.
6.150% due 02/09/2000 5,000 4,888
72 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Finova Capital Corp.
5.850% due 01/26/2000 $ 5,000 $ 4,905
Goldman Sachs Group
5.720% due 02/09/2000 2,000 1,958
Heller Financial, Inc.
5.790% due 01/26/2000 1,000 981
5.790% due 02/09/2000 1,200 1,175
Monsanto Co.
5.750% due 01/26/2000 5,000 4,907
Procter & Gamble Co.
5.290% due 10/14/1999 400 399
TRW, Inc.
6.220% due 02/09/2000 900 880
US West Capital Funding
5.960% due 03/24/2000 1,000 971
Wisconsin Electric
5.280% due 10/26/1999 1,800 1,793
---------
35,865
---------
Repurchase Agreement 2.1%
State Street Bank
4.800% due 10/01/1999 3,319 3,319
---------
(Dated 09/30/1999. Collateralized
by Federal National Mortgage Association
5.310% 05/18/2001 valued at $3,385,546.
Repurchase proceeds are $3,319,443.)
U.S. Treasury Bills (b)(j) 3.2%
4.634% due 10/14/1999-02/17/2000 5,050 5,009
---------
Total Short-Term Instruments 46,193
=========
(Cost $46,192)
Total Investments (a) 120.4% $187,107
(Cost $187,775)
Written Options (c) (0.0%) (132)
(Premiums $138)
Other Assets and Liabilities (Net) (20.4% ) (31,628)
---------
Net Assets 100.0% $155,347
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 698
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (1,366)
---------
Unrealized depreciation-net $ (668)
=========
(b) Securities with an aggregate market value of $7,046 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at September 30, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar March Futures (03/2000) 1 $ (2)
Eurodollar June Futures (06/2000) 3 (7)
Eurodollar September Futures (09/2000) 19 (6)
Eurodollar December Futures (12/1999) 4 (8)
Eurodollar December Futures (12/2000) 12 2
S&P 500 Index (12/1999) 298 (4,254)
U.S. Treasury 10 Year Note (12/1999) 8 4
---------
$ (4,271)
=========
(c) Premiums received on written options:
# of
Type Contracts Premium Value
- --------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 118.00 Exp. 11/20/1999 16 $ 3 $ 5
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 120.00 Exp. 11/20/1999 73 16 7
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 110.00 Exp. 11/20/1999 79 34 25
Put - OTC U.S.Treasury Note
5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 600 2 0
Call - OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 100.469 Exp. 11/08/1999 10 6 0
Put- OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 99.594 Exp. 11/20/1999 10 6 0
Put - CME Eurodollar December Futures
Strike @ 94.000 Exp. 12/13/1999 133 17 15
Put - CME Eurodollar December Futures
Strike @ 94.250 Exp. 12/13/1999 130 25 34
Put - CME Eurodollar December Futures
Strike @ 94.500 Exp. 12/13/1999 63 11 30
Put - CME Eurodollar December Futures
Strike @ 93.500 Exp. 12/18/2000 43 18 16
---------------------
$ 138 $ 132
=====================
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount
Covered by Settlement Unrealized
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell EC 3,682 10/1999 $ (41)
Sell 5,149 11/1999 (95)
-------
$ (136)
-------
(f) Principal amount denoted in indicated currency:
EC - European Currency Unit
N$ - New Zealand Dollar
(g) Principal amount of the security is adjusted for inflation.
(h) Subject to a financing transaction.
(i) Swap agreements outstanding at September 30, 1999:
Notional Unrealized
Type Amount Appreciation
- --------------------------------------------------------------------------------
Receive total return on S&P 500 Index and pay floating rate based on 1 month
LIBOR plus 0.12%.
Broker: Lehman Brothers
Exp. 07/31/2000 $ 7,615 $ 0
(j) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
See accompanying notes 73
<PAGE>
Schedule of Investments
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ------------------------------------------------------------------------
CORPORATE BONDS & NOTES 43.1%
- ------------------------------------------------------------------------
Banking & Finance 27.5%
Abbey National PLC
6.700% due 06/29/2049 $ 5,000 $ 4,559
Abbey National Treasury Service
6.625% due 05/23/2001 240 241
ABN-AMRO Bank NV
7.250% due 05/31/2005 150 151
Aetna, Inc.
7.250% due 08/15/2023 50 45
Ahmanson (H.F.) & Co.
7.650% due 04/15/2000 175 177
Allstate Corp.
6.750% due 05/15/2018 280 255
6.900% due 05/15/2038 60,400 53,008
American Express
8.500% due 08/15/2001 350 364
5.625% due 01/22/2004 8,700 8,402
6.250% due 08/10/2005 1,000 992
American General Finance
7.250% due 04/15/2000 500 503
6.270% due 06/09/2000 800 801
5.875% due 07/01/2000 75 75
6.050% due 07/02/2001 3,000 2,982
7.450% due 07/01/2002 200 204
6.250% due 12/18/2002 1,080 1,065
6.375% due 03/01/2003 350 345
AON Capital Trust `A'
8.205% due 01/01/2027 725 717
Aristar, Inc.
7.375% due 09/01/2004 20,000 20,085
Associates Corp. of North America
6.750% due 10/15/1999 90 90
7.850% due 10/20/1999 500 500
8.250% due 12/01/1999 200 201
7.250% due 12/17/1999 660 662
7.470% due 03/27/2000 1,000 1,006
6.000% due 06/15/2000 2,684 2,684
6.310% due 06/16/2000 500 501
6.250% due 09/15/2000 200 200
6.625% due 05/15/2001 300 301
6.700% due 05/29/2001 100 101
6.750% due 07/15/2001 24,000 24,154
7.000% due 07/23/2001 500 504
5.596% due 08/27/2001 (d) 13,500 13,466
6.450% due 10/15/2001 23,600 23,627
7.500% due 04/15/2002 185 189
6.500% due 07/15/2002 750 749
5.750% due 11/01/2003 4,175 4,021
5.800% due 04/20/2004 150 144
6.000% due 07/15/2005 60,365 57,485
Associates First Capital Corp.
6.000% due 12/01/2002 500 492
AT&T Capital Corp.
6.230% due 10/15/1999 2,000 2,000
6.160% due 12/03/1999 1,000 1,000
6.470% due 12/03/1999 45 45
5.650% due 03/21/2000 (d) 40,100 40,082
7.500% due 11/15/2000 5,000 5,034
6.875% due 01/16/2001 230 230
6.800% due 02/01/2001 24,900 24,869
6.250% due 05/15/2001 3,000 2,968
7.000% due 08/15/2001 10,300 10,295
6.900% due 01/30/2002 1,000 996
6.750% due 02/04/2002 1,925 1,908
5.561% due 04/23/2002 (d) 74,000 72,571
AVCO Financial Services
6.350% due 09/15/2000 100 100
7.375% due 08/15/2001 300 305
Banco Latino Americano SA
6.310% due 10/18/1999 1,700 1,700
Banco Nacional de Comercio Exterior
8.000% due 04/14/2000 4,600 4,612
7.250% due 02/02/2004 6,590 5,980
Banesto Delaware
8.250% due 07/28/2002 $28,900 $ 29,984
Bank of Hawaii
6.875% due 06/01/2003 750 753
Bank One Corp.
5.360% due 04/19/2001 (d) 2,000 2,007
5.126% due 09/04/2001 (d) 14,000 13,896
5.364% due 06/26/2002 (d) 4,000 3,987
BankAmerica Corp.
5.375% due 04/15/2000 750 748
5.098% due 02/26/2001 (d) 3,000 2,995
5.175% due 03/05/2001 (d) 36,000 35,889
5.093% due 02/20/2002 (d) 35,180 35,100
8.125% due 06/15/2002 350 365
7.750% due 07/15/2002 360 371
7.200% due 09/15/2002 1,000 1,017
7.500% due 10/15/2002 1,000 1,025
6.850% due 03/01/2003 65 65
6.875% due 06/01/2003 100 100
8.950% due 11/15/2004 500 501
6.375% due 05/15/2005 1,000 968
7.125% due 05/01/2006 500 500
8.375% due 05/01/2007 2 2
8.570% due 11/15/2024 125 140
BankBoston Corp.
6.125% due 03/15/2002 12,500 12,317
Bankers Trust Corp.
9.400% due 03/01/2001 385 398
6.750% due 10/03/2001 500 502
8.125% due 05/15/2002 300 309
5.373% due 07/03/2002 (d) 10,000 9,978
7.125% due 07/31/2002 150 151
5.525% due 05/11/2003 (d) 82,800 82,719
6.000% due 10/15/2008 500 455
Banponce Financial Corp.
6.463% due 11/13/2001 13,000 12,918
Bayerische Landesbank NY
6.170% due 05/17/2000 (d) 306,000 304,184
6.200% due 02/09/2006 250 240
Bear Stearns Co., Inc.
6.750% due 08/15/2000 50 50
5.760% due 08/25/2000 (d) 6,300 6,342
5.830% due 08/29/2000 (d) 39,800 40,105
5.800% due 01/02/2001 (d) 3,400 3,411
6.224% due 02/06/2001 (d) 2,900 2,907
5.580% due 02/16/2001 (d) 2,000 2,003
5.575% due 03/02/2001 (d) 7,500 7,513
5.499% due 01/28/2002 (d) 11,250 11,228
5.280% due 04/05/2002 (d) 25,000 24,996
5.688% due 08/01/2002 (d) 52,500 52,343
6.125% due 02/01/2003 25 24
6.750% due 04/15/2003 105 104
5.694% due 05/06/2003 (d) 13,000 12,985
5.778% due 05/16/2003 (d) 30,000 29,957
5.631% due 07/22/2003 (d) 19,000 18,941
6.150% due 03/02/2004 150 145
8.750% due 03/15/2004 75 80
5.923% due 06/01/2004 (d) 9,265 9,251
6.625% due 10/01/2004 250 245
5.551% due 03/18/2005 (d) 37,000 37,003
6.250% due 07/15/2005 25,000 23,825
6.750% due 12/15/2007 2,000 1,921
Bell Atlantic Financial
5.750% due 04/01/2003 1,500 1,506
Beneficial Corp.
5.950% due 07/25/2000 5,000 5,004
5.920% due 01/09/2001 (d) 13,000 12,987
5.359% due 01/09/2002 (d) 500 501
5.170% due 01/23/2002 (d) 5,000 4,993
5.241% due 03/01/2002 (d) 40,000 39,997
8.000% due 06/18/2002 400 412
6.030% due 01/14/2003 320 314
Bombardier Capital, Inc.
6.000% due 01/15/2002 28,000 27,443
74 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Caithness Coso Fund Corp.
6.800% due 12/15/2001 $23,000 $22,989
Capital One Bank
6.001% due 07/28/2003 (d) 2,200 2,197
Case Credit Corp.
5.840% due 02/27/2000 4,000 3,994
Caterpillar Financial Service Corp.
5.093% due 05/27/2001 (d) 10,000 9,988
6.480% due 12/12/2001 575 574
5.299% due 02/11/2002 (d) 700 697
Central Hispano Financial Services
5.496% due 04/28/2005 (d) 5,000 5,018
Chase Manhattan Corp.
8.500% due 02/15/2002 200 209
5.750% due 04/15/2004 150 144
6.000% due 02/15/2009 800 737
Chemical Banking Corp.
6.125% due 11/01/2008 400 372
Chrylser Financial Co. LLC
9.500% due 12/15/1999 900 907
8.460% due 01/19/2000 700 704
5.630% due 07/28/2000 (d) 13,600 13,573
6.625% due 08/15/2000 300 302
5.860% due 01/16/2001 500 498
5.410% due 06/11/2001 (d) 21,400 21,388
5.690% due 11/15/2001 150 148
5.400% due 01/15/2002 15,250 14,870
5.404% due 07/17/2002 (d) 20,000 19,972
5.520% due 08/08/2002 (d) 34,000 33,971
5.459% due 02/03/2003 (d) 25,000 24,942
5.449% due 03/06/2003 (d) 25,000 25,143
5.439% due 03/10/2003 (d) 10,000 10,057
5.399% due 06/18/2003 35,000 34,925
Chubb Capital Corp.
8.750% due 11/15/1999 40 40
6.875% due 02/01/2003 100 102
Cigna Corp.
8.250% due 01/01/2007 250 263
Cincinnati Financial Corp.
6.900% due 05/15/2028 34,125 31,054
CIT Group, Inc.
6.200% due 10/20/2000 1,225 1,223
6.750% due 05/14/2001 30,000 30,120
Citicorp
5.293% due 11/28/2000 (d) 5,000 5,005
5.593% due 02/01/2001 (d) 10,000 10,018
5.625% due 02/15/2001 1,000 992
5.173% due 05/24/2001 (d) 89,000 88,879
5.570% due 09/17/2001 (d) 65 65
5.080% due 11/13/2001 (d) 10,000 9,985
5.314% due 06/27/2002 (d) 11,450 11,402
5.090% due 08/15/2002 (d) 11,500 11,467
5.125% due 11/12/2002 (d) 30,000 29,933
8.000% due 02/01/2003 250 259
7.125% due 09/01/2005 400 400
7.250% due 09/01/2008 500 501
Citifinancial
6.500% due 08/01/2004 400 396
Comerica, Inc.
7.250% due 06/15/2007 200 200
Commercial Credit Co.
6.750% due 05/15/2000 100 101
6.000% due 06/15/2000 300 301
5.550% due 02/15/2001 1,300 1,293
8.250% due 11/01/2001 2,500 2,601
6.875% due 05/01/2002 335 340
7.750% due 03/01/2005 550 574
Conseco Finance Trust
8.796% due 04/01/2027 125 110
Countrywide Home Loans
6.250% due 04/15/2009 600 552
Credit Asset Receivable
6.274% due 10/31/2003 46,489 45,592
Daiwa Securities
6.226% due 09/29/2049 (d) 10,000 7,600
Dean Witter Discover
5.628% due 06/27/2000 (d) 1,900 1,896
6.750% due 08/15/2000 100 100
Deutsche Bank Financial
7.500% due 04/25/2009 3,000 3,004
7.872% due 12/29/2049 5,000 4,783
Donaldson, Lufkin & Jenrette
5.760% due 09/18/2002 (d) 13,600 13,566
6.170% due 07/15/2003 20,000 19,523
Dow Capital BV
7.125% due 01/15/2003 100 101
Dresdner Funding Trust
8.151% due 06/30/2031 12,500 11,759
Duke Capital Corp.
7.250% due 10/01/2004 19,000 19,071
Edison Funding
6.050% due 12/17/1999 8,000 8,001
6.000% due 12/20/1999 14,900 14,841
6.150% due 09/18/2000 12,500 12,501
ERAC USA Finance Co.
8.750% due 12/15/1999 8,500 8,552
Exxon Capital Corp.
7.450% due 12/15/2001 250 257
Finova Capital Corp.
5.760% due 04/08/2003 (d) 300 299
First Chicago Corp.
5.235% due 03/11/2002 (d) 10,000 10,001
5.140% due 02/18/2003 (d) 10,000 9,906
5.121% due 07/28/2003 (d) 50 50
First Interstate Bancorp
8.875% due 01/01/2009 (j) 174 178
First Union Corp.
7.100% due 08/15/2004 3,000 3,010
6.375% due 01/15/2009 500 468
Fleet Financial Group
9.900% due 06/15/2001 200 211
Ford Motor Credit Corp.
6.375% due 10/06/2000 1,000 1,002
7.020% due 10/10/2000 71,250 71,932
6.250% due 11/08/2000 750 751
5.316% due 03/05/2001 (d) 5,000 4,999
7.020% due 06/07/2001 1,000 1,011
5.140% due 07/13/2001 (d) 36,500 36,732
5.596% due 08/27/2001 (d) 27,500 27,466
5.206% due 09/03/2001 (d) 14,000 13,976
7.000% due 09/25/2001 1,125 1,136
5.430% due 10/15/2001 (d) 13,000 12,980
5.435% due 01/17/2002 (d) 53,945 53,778
8.200% due 02/15/2002 500 518
6.500% due 02/28/2002 1,710 1,706
5.663% due 03/19/2002 28,208 28,239
5.156% due 04/29/2002 (d) 33,000 32,861
7.320% due 05/23/2002 14,000 14,045
5.248% due 06/04/2002 (d) 2,000 1,990
5.570% due 07/16/2002 (d) 86,180 86,020
6.550% due 09/10/2002 4,000 3,985
5.460% due 10/15/2002 (d) 14,000 13,935
7.750% due 11/15/2002 5,730 5,917
5.670% due 12/16/2002 (d) 56,000 55,664
6.000% due 01/14/2003 1,000 978
7.500% due 01/15/2003 250 255
5.135% due 02/03/2003 (d) 30,000 29,823
5.100% due 02/13/2003 (d) 100,000 99,742
5.565% due 02/13/2003 (d) 195,985 194,770
6.125% due 04/28/2003 25,580 25,069
6.625% due 06/30/2003 775 770
5.750% due 02/23/2004 290 279
5.266% due 06/02/2004 (d) 1,500 1,490
6.700% due 07/16/2004 91,010 90,533
8.250% due 02/23/2005 2,500 2,655
5.184% due 04/28/2005 (d) 50,000 49,568
6.125% due 01/09/2006 25 24
5.800% due 01/12/2009 155 141
9.500% due 06/01/2010 200 232
See accompanying notes 75
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Fuji Bank
9.870% due 12/31/2049 (d) $ 7,600 $ 7,714
General Electric Capital Corp.
6.875% due 04/15/2000 200 201
8.375% due 03/01/2001 1,415 1,455
6.020% due 05/04/2001 1,000 998
5.500% due 11/01/2001 50 49
5.650% due 03/31/2003 125 122
6.210% due 12/09/2005 400 388
8.300% due 09/20/2009 150 164
General Motors Acceptance Corp.
8.170% due 01/02/2000 225 231
5.475% due 01/12/2000 (d) 10,000 10,005
6.500% due 01/17/2000 46,110 46,211
6.875% due 06/01/2000 4,250 4,282
7.500% due 06/09/2000 1,000 1,010
5.330% due 10/20/2000 1,000 993
5.330% due 11/20/2000 66,690 66,699
5.500% due 01/16/2001 15,000 14,881
8.625% due 01/18/2001 15,000 15,453
8.500% due 01/19/2001 3,675 3,783
5.800% due 04/09/2001 8,340 8,286
6.800% due 04/17/2001 4,800 4,840
5.950% due 04/20/2001 22,150 22,049
6.700% due 04/30/2001 3,000 3,019
7.125% due 05/01/2001 44,395 44,967
6.750% due 06/05/2001 880 886
6.875% due 07/15/2001 1,000 1,010
5.248% due 08/23/2001 (d) 12,500 12,531
5.020% due 10/22/2001 (d) 25,000 24,867
5.861% due 11/26/2001 (d) 19,000 19,116
6.375% due 12/01/2001 265 265
5.619% due 12/10/2001 (d) 2,200 2,190
9.625% due 12/15/2001 5,650 6,020
5.895% due 12/17/2001 (d) 13,000 13,078
5.410% due 01/08/2002 (d) 3,000 3,004
6.625% due 01/10/2002 500 500
6.750% due 02/07/2002 1,590 1,600
5.690% due 03/15/2002 (d) 10,215 10,240
7.750% due 03/25/2002 125 129
5.438% due 04/29/2002 (d) 218,544 218,367
7.000% due 09/15/2002 250 253
6.625% due 10/01/2002 5,000 4,989
5.540% due 11/12/2002 (d) 10,200 10,133
6.200% due 12/15/2002 500 492
6.000% due 01/15/2003 990 969
5.875% due 01/22/2003 30,500 29,675
6.750% due 03/15/2003 40,125 40,132
7.125% due 05/01/2003 36,000 36,384
5.568% due 08/18/2003 (d) 47,640 47,255
5.550% due 09/15/2003 32,000 30,676
6.149% due 09/20/2003 (d) 10,000 10,000
6.625% due 10/20/2003 2,000 1,990
5.750% due 11/10/2003 1,000 962
5.560% due 04/05/2004 (d) 27,900 27,802
5.250% due 05/28/2004 (d) 73,000 73,306
6.109% due 09/20/2004 (d) 21,277 21,277
6.650% due 11/17/2005 500 492
6.150% due 04/05/2007 150 143
8.950% due 07/02/2009 21,500 22,933
Golden State Holdings
6.750% due 08/01/2001 1,950 1,909
Goldman Sachs Group
5.200% due 11/21/2000 (d) 20,000 19,975
5.258% due 11/24/2000 (d) 108,000 108,304
6.200% due 12/15/2000 6,500 6,485
5.329% due 12/22/2000 (d) 17,000 16,963
5.490% due 01/09/2001 (d) 105,000 105,252
5.740% due 01/16/2001 (d) 34,000 34,036
5.468% due 01/25/2001 (d) 77,000 76,870
5.230% due 02/20/2001 (d) 3,000 3,009
5.600% due 04/16/2001 (d) 18,000 17,938
5.366% due 12/07/2001 (d) 25,000 24,950
5.439% due 12/24/2001 (d) 900 898
5.400% due 02/18/2002 (d) 2,300 2,311
5.640% due 01/16/2003 (d) 10,000 10,047
5.690% due 02/10/2004 10,000 9,834
5.700% due 02/09/2009 (d) 10,000 10,342
Hansol Paper Co. Limited
7.079% due 05/24/2001 (d) 20,000 20,002
Hartford Life
6.900% due 06/15/2004 600 597
7.650% due 06/15/2027 15,000 14,604
Helicon Group
11.000% due 11/01/2003 (d) 11,800 12,228
Heller Financial, Inc.
5.179% due 08/25/2000 (d) 15,000 15,022
5.846% due 09/25/2000 (d) 14,500 14,481
5.720% due 02/05/2001 5,000 4,996
6.250% due 03/01/2001 25,000 24,905
5.478% due 06/25/2001 (d) 70,050 69,841
5.750% due 09/25/2001 1,400 1,375
6.500% due 11/01/2001 250 249
5.159% due 05/06/2002 (d) 2,000 2,006
5.459% due 06/24/2002 (d) 5,100 5,097
5.225% due 04/28/2003 (d) 17,000 17,099
5.571% due 04/28/2003 (d) 49,200 49,200
Hitachi Credit America
5.125% due 05/15/2000 25,000 25,021
5.250% due 07/07/2000 (d) 40,000 40,071
Home Savings of America
6.000% due 11/01/2000 14,175 14,080
Household Bank
5.424% due 09/26/2001 (d) 9,000 9,011
5.188% due 10/22/2003 (d) 15,000 14,926
Household Capital Trust
5.350% due 06/26/2004 (d) 13,925 13,621
Household Finance Corp.
5.631% due 06/22/2001 (d) 3,000 2,999
5.145% due 08/01/2001 (d) 1,500 1,499
5.145% due 11/01/2001 (d) 5,000 4,992
5.125% due 05/07/2002 (d) 40,850 40,820
5.249% due 05/24/2002 (d) 113,800 113,575
7.080% due 06/03/2002 15,000 15,214
5.875% due 11/01/2002 200 194
5.439% due 06/24/2003 35,000 34,945
5.775% due 06/24/2003 (d) 31,000 30,941
7.000% due 08/01/2003 20,000 20,053
6.500% due 11/15/2008 2,000 1,885
Household Netherlands BV
6.125% due 03/01/2003 18,100 17,610
Hyatt Equities LLC
6.800% due 05/15/2000 1,040 1,041
Inter-American Development Bank
8.875% due 06/01/2009 200 229
International Lease Finance
5.750% due 12/15/1999 50 50
7.000% due 05/15/2000 500 503
6.420% due 09/11/2000 500 501
5.930% due 07/15/2003 14,000 13,680
J.P. Morgan & Co.
5.750% due 02/25/2004 22,800 21,907
6.250% due 12/15/2005 200 193
6.000% due 01/15/2009 29,000 26,539
Key Bank NA
7.550% due 09/15/2006 350 357
Kimco Realty Corp.
6.500% due 10/01/2003 200 194
Korea Development Bank
6.250% due 05/01/2000 5,000 4,980
7.375% due 09/17/2004 15,000 14,616
6.750% due 12/01/2005 55 51
7.250% due 05/15/2006 50 47
Korean Export-Import Bank
6.500% due 10/06/1999 8,000 8,000
6.500% due 02/10/2002 9,200 8,958
LB Rheinland
5.000% due 02/23/2028 3,400 3,213
Lehman Brothers Holdings, Inc.
5.869% due 07/27/2000 (d) 8,000 8,006
76 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
5.390% due 08/11/2000 (d) 30,000 30,138
6.400% due 08/30/2000 200 200
6.500% due 09/25/2000 11,200 11,201
5.614% due 09/26/2000 (d) 5,000 4,990
5.375% due 11/06/2000 (d) $ 30,910 $ 30,918
5.845% due 12/01/2000 (d) 500 500
6.125% due 02/01/2001 2,000 1,984
5.530% due 02/20/2001 1,500 1,501
5.733% due 02/27/2001 (d) 79,400 79,512
5.405% due 06/01/2001 (d) 101,600 101,348
6.249% due 04/02/2002 (d) 60,050 60,015
6.375% due 05/07/2002 26,395 26,060
6.073% due 05/07/2002 (d) 42,100 42,222
6.110% due 07/15/2002 (d) 43,051 43,045
5.320% due 08/12/2002 (d) 6,500 6,455
5.813% due 08/28/2002 (d) 6,500 6,528
5.369% due 09/03/2002 (d) 14,000 14,010
7.000% due 05/15/2003 150 149
6.625% due 04/01/2004 65 63
7.625% due 06/01/2006 350 350
8.500% due 05/01/2007 1,475 1,546
LG&E Capital Corp.
6.460% due 01/15/2008 3,000 2,891
Liberty Mutual Insurance
8.200% due 05/04/2007 17,510 17,534
Marine Midland
5.250% due 12/16/2000 (d) 3,700 3,693
MBNA Corp.
5.451% due 12/01/1999 (d) 62,600 62,532
5.145% due 05/01/2000 (d) 400 400
5.445% due 09/13/2001 (d) 10,300 10,233
5.538% due 04/25/2002 (d) 1,000 992
6.990% due 05/24/2002 1,000 1,003
5.566% due 09/10/2002 (d) 5,000 4,959
5.471% due 12/10/2002 2,100 2,061
6.875% due 07/15/2004 46,000 45,091
MCN Investment Corp.
6.030% due 02/01/2001 6,850 6,764
7.120% due 01/16/2004 7,500 7,381
6.300% due 04/02/2011 7,500 7,444
Mellon Bank Corp.
6.500% due 08/01/2005 75 73
Mellon Financial Co.
6.300% due 06/01/2000 250 250
Mercury Finance Co.
10.000% due 03/23/2001 2,050 1,937
Merrill Lynch & Co.
8.250% due 11/15/1999 250 251
6.620% due 06/06/2000 500 502
6.450% due 06/20/2000 350 351
6.250% due 07/25/2000 490 491
5.566% due 09/25/2000 (d) 5,000 5,006
5.790% due 12/05/2000 (d) 89,000 89,048
6.000% due 03/01/2001 325 323
6.500% due 04/01/2001 400 400
6.750% due 04/30/2001 2,775 2,795
5.110% due 05/08/2001 54,900 55,014
5.243% due 05/30/2001 (d) 3,800 3,796
5.168% due 06/04/2001 (d) 30,000 29,874
5.393% due 11/01/2001 (d) 35,000 34,892
5.080% due 11/09/2001 (d) 10,000 10,002
5.410% due 01/15/2002 (d) 17,000 17,020
5.688% due 02/01/2002 (d) 33,000 33,008
8.000% due 02/01/2002 400 412
7.375% due 08/17/2002 300 306
8.300% due 11/01/2002 200 209
6.000% due 02/12/2003 500 489
6.875% due 03/01/2003 140 141
5.339% due 06/24/2003 (d) 27,000 26,851
5.499% due 10/01/2003 (d) 9,500 9,490
5.880% due 01/15/2004 600 579
6.550% due 08/01/2004 100 99
7.000% due 03/15/2006 1,500 1,480
6.560% due 12/16/2007 50 48
7.000% due 04/27/2008 100 98
6.375% due 10/15/2008 17,000 16,121
Metropolitan Life Insurance Co.
6.300% due 11/01/2003 6,800 6,612
Mexico Credit Link
10.508% due 02/22/2002 (d) $ 29,500 $ 30,749
MIC Financing Trust
8.375% due 02/01/2027 36,000 33,496
Morgan Stanley Capital
6.375% due 12/15/2003 150 148
7.460% due 02/15/2020 11,450 11,580
Morgan Stanley, Dean Witter,
Discover and Co.
5.820% due 06/19/2000 (d) 152,000 151,762
6.040% due 11/13/2000 (d) 5,000 5,017
5.278% due 02/06/2001 1,190 1,190
5.750% due 02/15/2001 400 397
5.643% due 04/16/2001 (d) 25,000 24,984
6.700% due 05/01/2001 600 604
9.375% due 06/15/2001 300 314
5.315% due 12/19/2001 (d) 19,700 19,691
5.460% due 04/15/2002 (d) 300 300
5.699% due 03/11/2003 (d) 11,500 11,449
5.625% due 01/20/2004 400 382
5.250% due 04/22/2004 (d) 55,000 55,001
Nacional Financiera
8.000% due 06/19/2000 4,500 4,514
8.693% due 12/01/2000 (d) 25,250 25,124
NationsBank Corp.
6.750% due 02/26/2001 500 504
7.000% due 09/15/2001 1,500 1,514
5.294% due 06/17/2002 (d) 10,000 9,991
6.125% due 07/15/2004 600 580
NCNB Corp.
7.750% due 08/01/2002 796 797
Newcourt Credit Group
6.875% due 02/16/2005 7,500 7,358
Nordstom Credit, Inc.
7.250% due 04/30/2002 1,000 1,015
Norwest Financial, Inc.
6.250% due 11/01/2002 100 99
7.000% due 01/15/2003 300 303
6.000% due 02/01/2004 50 49
Okobank
5.398% due 05/23/2006 (d) 10,000 9,944
Orix Credit Alliance
7.640% due 09/17/2001 13,000 13,002
Osprey Trust
8.310% due 01/15/2003 75,000 75,469
Paccar Financial Corp.
6.740% due 09/15/2000 250 251
PaineWebber
5.455% due 10/04/1999 4,000 3,998
7.000% due 03/01/2000 200 201
6.950% due 03/31/2000 120 120
5.405% due 02/18/2002 (d) 5,000 4,954
5.525% due 05/20/2002 (d) 1,000 992
PDVSA Finance Limited
7.400% due 08/15/2016 1,200 892
Pemex Finance Ltd.
6.125% due 11/15/2003 15,000 14,703
PNC Bank Corp.
5.130% due 06/01/2000 (d) 217,000 216,834
5.483% due 01/24/2002 (d) 49,000 48,849
5.331% due 08/15/2002 (d) 5,000 4,996
PNC Funding Corp.
6.875% due 03/01/2003 100 100
7.000% due 09/01/2004 15,000 14,967
Popular, Inc.
6.400% due 08/25/2000 11,123 11,109
6.550% due 10/10/2000 2,485 2,484
7.375% due 09/15/2001 25,000 25,064
6.625% due 01/15/2004 19,500 19,034
Prudential Funding Corp.
4.990% due 08/01/2000 (d) 2,000 1,997
Prudential Insurance Co.
6.375% due 07/23/2006 35,000 33,043
See accompanying notes 77
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
Prudential Property Investment
6.625% due 04/01/2009 $ 17,000 $ 15,872
PSE&G Capital Corp.
6.740% due 10/23/2001 1,400 1,401
Reliance Group Holdings
9.000% due 11/15/2000 19,000 19,300
9.750% due 11/15/2003 10,000 8,875
Residential Reinsurance
9.163% due 06/01/2000 (d) 13,300 13,246
Safeco Corp.
7.260% due 08/12/2002 500 510
Sakura Capital Funding
7.320% due 08/29/2049 20,000 17,800
Salomon, Inc.
6.625% due 11/30/2000 235 236
6.650% due 07/15/2001 600 603
7.000% due 03/04/2002 18,850 19,073
5.400% due 05/16/2002 (d) 23,000 23,018
Salomon, Smith Barney Holdings
5.875% due 02/01/2001 4,000 3,982
5.980% due 03/26/2001 250 249
3.650% due 02/14/2002 (f) 17,866 17,392
5.510% due 04/15/2002 (d) 35,090 35,010
5.180% due 05/14/2002 (d) 26,715 26,685
5.571% due 07/23/2002 (d) 53,400 53,297
6.125% due 01/15/2003 290 284
Sanwa Business Credit
6.540% due 06/20/2000 1,000 1,004
Sears Roebuck Acceptance
5.479% due 06/27/2000 (d) 5,000 5,001
7.110% due 06/19/2001 1,000 1,004
6.860% due 08/06/2001 400 400
6.360% due 12/04/2001 290 287
6.120% due 12/13/2001 260 258
6.950% due 05/15/2002 300 300
6.000% due 03/20/2003 149,750 144,732
7.140% due 05/02/2003 5,000 4,995
6.560% due 11/20/2003 1,178 1,150
6.700% due 11/15/2006 500 478
Security Pacific Corp.
6.000% due 05/01/2000 600 600
11.500% due 11/15/2000 4,000 4,208
Societe Generale
7.400% due 06/01/2006 1,500 1,484
Steers
9.123% due 08/07/2002 (d) 20,000 20,016
Sumitomo
8.500% due 06/15/2009 100 103
9.400% due 12/29/2049 (d) 24,550 24,737
Sun Life of Canada (U.S.)
8.526% due 05/29/2049 250 243
Tecnost International NV
4.487% due 06/23/2004 (d) 44,000 48,087
Telewest Credit Links
7.500% due 04/16/2004 30,000 29,156
Textron Financial Corp.
5.393% due 05/28/2002 (d) 41,900 41,733
Tokai Capital Corp.
9.980% due 12/29/2049 (d) 13,050 13,335
Toyota Motor Credit Corp.
5.967% due 02/15/2002 40,000 38,630
TPSA Finance BV
7.125% due 12/10/2003 12,200 12,024
7.750% due 12/10/2008 10,000 9,728
Transamerica Corp.
5.405% due 09/17/2001 (d) 20,000 20,084
6.125% due 11/01/2001 24,000 23,633
7.250% due 08/15/2002 79,000 79,715
7.500% due 03/15/2004 270 273
6.750% due 11/15/2006 650 631
Travelers Group, Inc.
7.200% due 02/01/2004 38,480 38,767
Trizec Finance Limited
10.875% due 10/15/2005 2,489 2,601
TXU Eastern Funding
6.150% due 05/15/2002 53,800 52,445
U.S. Bancorp
5.409% due 01/16/2002 (d) 49,000 48,953
Wachovia Corp.
7.000% due 12/15/1999 100 100
Washington Mutual, Inc.
6.375% due 07/01/2000 3,000 3,008
Wells Fargo & Co.
5.625% due 02/05/2001 400 397
8.750% due 05/01/2002 100 105
6.625% due 07/15/2004 51,100 50,797
Westdeutsche Landesbank
6.750% due 06/15/2005 4,000 3,933
6.050% due 01/15/2009 52,000 47,658
----------
8,048,635
==========
Industrials 9.7%
Akzo Nobel, Inc.
6.000% due 11/15/2003 32,000 31,008
Albertson's, Inc.
6.375% due 06/01/2000 150 151
Allied Waste North America, Inc.
7.375% due 01/01/2004 18,925 17,411
Amerco, Inc.
7.135% due 10/15/2002 15,000 14,418
American Airlines
10.610% due 03/04/2011 1,895 2,271
6.870% due 07/02/2018 1,990 1,778
American Home Products Corp.
7.700% due 02/15/2000 550 553
Amerigas Partners LP
10.125% due 04/15/2007 1,730 1,795
AMR Corp.
9.750% due 03/15/2000 1,050 1,066
10.610% due 01/11/2001 4,000 4,183
10.570% due 01/15/2001 3,000 3,143
10.590% due 01/31/2001 3,000 3,148
10.000% due 02/01/2001 2,000 2,081
9.400% due 05/08/2001 3,000 3,114
9.500% due 05/15/2001 2,250 2,339
9.130% due 10/25/2001 2,000 2,079
8.470% due 02/20/2002 2,000 2,064
8.500% due 02/26/2002 1,000 1,033
10.210% due 01/01/2010 6,500 7,558
AT&T Canada, Inc.
10.750% due 11/01/2007 1,000 830
Baxter International, Inc.
9.500% due 06/15/2008 200 230
Bayer Corp.
6.500% due 10/01/2002 250 251
Bellat Racers
5.500% due 04/01/2003 20,000 19,969
Bellsouth Telecommunication
6.000% due 06/15/2002 10,000 9,917
BOC Group PLC
5.875% due 01/29/2001 250 249
Boeing Co.
8.375% due 02/15/2001 900 924
6.350% due 06/15/2003 750 742
Boise Cascade Co.
9.900% due 03/15/2000 275 279
BP Amoco PLC
6.250% due 10/15/2004 1,000 994
Bresnan Communications
8.000% due 02/01/2009 3,500 3,439
Browning-Ferris Industries, Inc.
6.080% due 01/18/2002 (d) 51,750 51,445
6.100% due 01/15/2003 6,000 5,433
Campbell Soup Co.
4.750% due 10/01/2003 500 472
Canadian Pacific Limited
9.450% due 08/01/2021 2,750 3,150
Case Credit Corp.
5.209% due 05/05/2000 (d) 10,000 10,006
78 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
Cemex SA
10.000% due 11/05/1999 $ 1,000 $ 1,002
8.500% due 08/31/2000 10,000 10,047
9.250% due 06/17/2002 48,500 48,985
Centerior Fuel Corp.
9.750% due 08/02/2000 (j) 8,000 8,180
Century Communications Corp.
9.500% due 08/15/2000 6,000 6,068
0.000% due 03/15/2003 10,515 7,439
CF Cable TV, Inc.
9.125% due 07/15/2007 1,600 1,737
Circus Circus Enterprises
6.750% due 07/15/2003 4,500 4,118
Coastal Corp.
10.375% due 10/01/2000 8,500 8,802
6.500% due 05/15/2006 275 263
Coca-Cola Co.
6.375% due 08/01/2001 200 200
7.875% due 02/01/2002 600 617
6.000% due 07/15/2003 250 244
Coltec Industries, Inc.
7.500% due 04/15/2008 4,400 4,347
Columbia/HCA Healthcare
6.410% due 06/15/2000 5,000 4,934
8.020% due 08/05/2002 9,000 8,823
8.130% due 08/04/2003 7,300 7,133
6.630% due 07/15/2045 10,000 9,571
6.730% due 07/15/2045 14,760 14,163
Comcast Corp.
9.375% due 05/15/2005 34,995 36,920
9.500% due 01/15/2008 11,350 11,804
Conagra, Inc.
5.711% due 06/12/2000 (d) 74,300 74,180
Conoco, Inc.
6.350% due 04/15/2009 1,900 1,811
Continental Airlines
9.500% due 12/15/2001 200 204
6.954% due 02/02/2011 25,989 25,148
Continental Cablevision
9.500% due 08/01/2013 27,000 29,688
Cox Communications, Inc.
6.500% due 11/15/2002 200 198
CSC Holdings, Inc
7.625% due 07/15/2018 22,000 20,592
CSX Corp.
5.790% due 06/15/2000 (d) 30,500 30,573
9.500% due 08/01/2000 500 513
Cumberland Farms
10.500% due 10/01/2003 1,000 985
Dayton Hudson Corp.
10.000% due 12/01/2000 1,000 1,041
Delphi Auto Systems Corp.
6.125% due 05/01/2004 20,000 19,266
Delta Air Lines, Inc.
9.875% due 05/15/2000 525 538
6.650% due 03/15/2004 13,500 13,141
10.430% due 01/02/2011 850 985
10.140% due 08/14/2012 1,000 1,160
9.200% due 09/23/2014 6,000 6,406
10.500% due 04/30/2016 1,000 1,164
Diamond Cable Communication Co.
0.000% due 12/15/2005 (d) 3,500 3,133
Disney (Walt) Co.
6.375% due 03/30/2001 750 753
6.750% due 03/30/2006 100 100
DTE Capital Corp.
8.350% due 11/15/2038 (d) 52,750 51,840
E.I. Du Pont de Nemours
9.150% due 04/15/2000 100 102
Eastman Chemical Co.
6.375% due 01/15/2004 5,750 5,589
Electric Lightwave, Inc.
6.050% due 05/15/2004 15,700 15,197
Eli Lilly & Co.
8.125% due 02/07/2000 387 389
8.125% due 12/01/2001 500 519
Enron Corp.
5.150% due 11/18/1999 (d) 35,000 34,978
6.400% due 07/15/2006 150 141
Federal Express Corp.
6.845% due 01/15/2019 872 832
Flag Limited
7.150% due 12/15/2004 61 59
Ford Motor Co.
9.000% due 09/15/2001 880 920
6.625% due 10/01/2028 115,800 103,304
Fortune Brands
8.500% due 10/01/2003 500 536
Fred Meyer, Inc.
7.150% due 03/01/2003 11,000 11,010
7.375% due 03/01/2005 39,325 39,421
7.450% due 03/01/2008 300 298
Frontier Corp.
6.250% due 12/15/1999 20,000 20,027
General Motors Acceptance Corp.
9.625% due 12/01/2000 525 544
7.100% due 03/15/2006 250 249
Gillette Co.
6.250% due 10/15/2005 750 748
5.750% due 10/15/2005 1,500 1,436
Global Crossing Holding Limited
9.625% due 05/15/2008 15,000 15,525
Gulf Canada Resources
9.250% due 01/15/2004 7,250 7,298
9.625% due 07/01/2005 2,000 2,060
H.J. Heinz Co.
7.500% due 04/26/2000 150 151
Hanson Overseas BV
6.750% due 09/15/2005 225 221
Harrahs Operating Co., Inc.
7.875% due 12/15/2005 5,000 4,813
Hertz Corp.
6.625% due 07/15/2000 8,875 8,897
Hollinger International Publishing
9.250% due 02/01/2006 3,000 2,978
Houghton Mifflin Co.
5.990% due 12/03/2001 3,000 2,964
Hyder PLC
6.500% due 12/15/2008 10,000 9,167
IBM Corp.
5.050% due 11/01/1999 (d) 35,000 34,902
7.250% due 11/01/2002 200 205
6.450% due 08/01/2007 500 489
7.125% due 12/01/2096 2,500 2,358
ICI Wilmington
6.750% due 09/15/2002 10,000 9,909
Inco Limited
9.875% due 06/15/2019 5,000 5,195
Ingersoll-Rand Co.
6.255% due 02/15/2001 295 295
International Game Technology
7.875% due 05/15/2004 24,500 23,581
International Paper Co.
6.875% due 07/10/2000 4,260 4,278
9.050% due 02/08/2001 100 103
ISP Holdings, Inc.
9.750% due 02/15/2002 4,500 4,545
9.000% due 10/15/2003 5,000 4,950
ITT Corp.
6.250% due 11/15/2000 15,070 14,792
J Seagram & Sons
5.500% due 04/10/2000 (d) 94,000 93,530
5.790% due 04/15/2001 20,000 19,622
6.250% due 12/15/2001 51,000 50,329
Jones International Networks Limited
11.750% due 07/01/2005 55 48
K Mart Corp.
8.190% due 11/24/2003 5,000 4,934
K N Energy, Inc.
6.450% due 03/01/2003 240 234
See accompanying notes 79
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
Kellogg
5.750% due 02/02/2001 $ 86,925 $ 86,449
K-III Communications Co.
8.500% due 02/01/2006 4,000 3,900
KPNQWest BV
8.125% due 06/01/2009 5,000 4,750
Kroger Co.
6.000% due 07/01/2000 13,000 12,973
6.420% due 10/01/2010 (d) 54,000 53,927
Lenfest Communications
8.375% due 11/01/2005 5,000 5,162
Limited, Inc.
7.800% due 05/15/2002 500 512
Lockheed Martin Corp.
6.850% due 05/15/2001 5,000 4,995
Loyola University of Chicago
6.030% due 06/15/2000 (d) 16,100 16,078
LSI Logic Corp.
4.250% due 03/15/2004 1,000 1,834
Lucent Technologies
7.250% due 07/15/2006 150 153
Mallinckrodt, Inc.
6.300% due 03/15/2001 (d) 10,000 9,912
Marlin Water Trust
7.090% due 12/15/2001 20,241 20,243
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (j) 1,980 2,442
McDonald's Corp.
6.500% due 08/01/2007 250 243
McLeodUSA, Inc.
0.000% due 03/01/2007 (i) 5,000 3,963
8.125% due 02/15/2009 1,200 1,122
Mobil Corp.
8.375% due 02/12/2001 340 349
Monsanto Co.
6.000% due 12/01/2005 250 234
Motorola, Inc.
7.600% due 01/01/2007 200 205
Nabisco, Inc.
6.000% due 02/15/2001 (d) 11,240 11,134
6.800% due 09/01/2001 3,000 2,994
6.700% due 06/15/2002 9,000 8,903
6.125% due 02/01/2033 15,000 14,519
Nabors Industries, Inc.
6.800% due 04/15/2004 9,250 9,062
New York Times Co.
7.625% due 03/15/2005 1,000 1,042
News America Holdings Corp.
7.450% due 06/01/2000 3,000 3,019
8.625% due 02/01/2003 750 783
Nike, Inc.
6.510% due 06/16/2000 1,000 1,003
Nisource Capital Markets
6.630% due 09/28/2010 59,000 59,000
Noranda, Inc.
7.000% due 07/15/2005 1,800 1,733
Norfolk Southern Corp.
6.700% due 05/01/2000 3,000 3,013
7.875% due 02/15/2004 50 52
Northwest Airlines, Inc.
8.970% due 01/02/2015 1,691 1,744
Occidental Petroleum
6.400% due 04/01/2003 7,710 7,540
Owens Corning
7.000% due 05/15/2000 200 200
Owens-Illinois, Inc.
7.850% due 05/15/2004 2,600 2,571
7.150% due 05/15/2005 10,000 9,474
Packaging Corp. of America
9.625% due 04/01/2009 2,500 2,538
Pennzoil Co.
9.625% due 11/15/1999 5,000 5,018
Pepsico, Inc.
5.750% due 01/15/2008 500 470
Petroleos Mexicanos
9.520% due 07/15/2005 (d) 67,500 64,294
Philip Morris Cos., Inc.
9.000% due 01/01/2001 300 309
7.250% due 09/15/2001 70 71
7.500% due 01/15/2002 50 51
6.800% due 12/01/2003 48,345 48,018
7.000% due 07/15/2005 1,125 1,108
7.200% due 02/01/2007 32,000 31,471
6.150% due 03/15/2010 25,000 25,056
Phillips Petroleum Co.
6.375% due 03/30/2009 31,000 29,383
7.000% due 03/30/2029 16,000 14,880
Presidio Owner Trust
6.532% due 12/30/1999 (d) 29,419 29,373
Procter & Gamble Co.
5.250% due 09/15/2003 35,000 33,501
Qwest Communications International, Inc.
0.000% due 10/15/2007 (i) 2,500 1,956
Racers
7.000% due 04/28/2003 (d) 30,000 29,325
5.794% due 09/15/2005 (d) 15,000 14,977
Reliant Energy, Inc.
8.930% due 05/14/2001 5,300 5,494
8.920% due 05/15/2001 6,500 6,737
6.375% due 11/01/2003 14,000 13,695
Rogers Cablesystems, Inc.
10.000% due 12/01/2007 5,000 5,350
Rogers Cantel Mobile Communications, Inc.
9.375% due 06/01/2008 2,750 2,901
Saferco
9.630% due 05/31/2000 (j) 6,500 6,665
9.590% due 05/31/2001 (j) 3,000 3,153
Safeway, Inc.
5.750% due 11/15/2000 150 149
6.850% due 09/15/2004 250 248
Sara Lee Corp.
6.300% due 11/07/2005 500 485
Sears Roebuck & Co.
6.800% due 05/07/2001 500 500
6.790% due 05/21/2001 500 504
9.400% due 08/02/2001 250 263
8.390% due 02/14/2002 240 248
7.260% due 04/21/2003 3,000 3,009
6.250% due 01/15/2004 300 294
6.750% due 09/15/2005 785 761
Sequa Corp.
9.375% due 12/15/2003 5,000 5,113
Smithfield Foods
7.625% due 02/15/2008 2,000 1,800
Smithkline Beecham
7.375% due 04/15/2005 150 155
Stone Container Corp.
10.750% due 10/01/2002 2,500 2,581
Swiss Life Financial Limited
2.000% due 05/20/2005 3,000 2,976
TCI Communications, Inc.
5.450% due 02/02/2000 (d) 50,000 49,980
6.085% due 09/11/2000 (d) 48,500 48,385
5.905% due 12/20/2000 (d) 10,000 10,003
6.110% due 03/12/2001 (d) 10,000 10,113
6.375% due 05/01/2003 3,200 3,167
Telecommunications, Inc.
8.250% due 01/15/2003 43,125 45,218
Telewest Communications PLC
9.625% due 10/01/2006 5,000 5,063
Tenet Healthcare Corp.
8.625% due 12/01/2003 1,200 1,192
8.000% due 01/15/2005 2,000 1,910
7.625% due 06/01/2008 27,000 24,435
Texaco Capital
8.500% due 02/15/2003 700 744
6.000% due 06/15/2005 400 387
80 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
Time Warner, Inc.
6.100% due 12/30/2001 $ 34,275 $ 34,055
7.975% due 08/15/2004 53,050 55,058
8.110% due 08/15/2006 123,424 130,003
8.180% due 08/15/2007 44,895 47,134
7.250% due 09/01/2008 125 125
Toyoda Automatic Loom
0.350% due 09/30/2003 200,000 2,057
TRW, Inc.
5.930% due 06/28/2000 (d) 14,200 14,176
U.S. West Capital Funding
5.960% due 06/15/2000 (d) 82,700 82,577
Union Pacific Corp.
5.500% due 05/22/2000 (d) 60,000 59,869
6.930% due 06/01/2003 1,000 996
6.000% due 09/01/2003 8,000 7,726
6.120% due 02/01/2004 250 239
United Airlines
9.000% due 12/15/2003 1,000 1,054
10.670% due 05/01/2004 2,050 2,292
USA Waste Services, Inc.
6.125% due 07/15/2001 23,500 22,542
UST, Inc.
7.250% due 06/01/2009 25,000 24,087
USX Corp.
9.800% due 07/01/2001 300 315
Viacom, Inc.
5.875% due 07/15/2000 6,200 6,181
Wal-Mart Stores, Inc.
9.100% due 07/15/2000 250 256
8.625% due 04/01/2001 2,450 2,535
6.750% due 05/24/2002 170 172
Waste Management, Inc.
6.375% due 12/01/2003 200 184
6.500% due 05/14/2004 58,000 57,403
7.125% due 10/01/2007 1,800 1,622
Westpoint Stevens, Inc.
7.875% due 06/15/2005 8,000 7,520
Westvaco Corp.
9.650% due 03/01/2002 150 160
Whitman Corp.
6.250% due 05/01/2000 15,800 15,840
Williams Co.
5.276% due 01/30/2000 (d) 23,000 23,005
WMX Technologies
6.700% due 05/01/2001 10,000 9,758
7.000% due 10/15/2006 500 450
Wilshire REIT Trust
6.532% due 12/30/1999 (d) 25,802 25,762
Xerox Corp.
6.500% due 06/29/2000 280 285
5.750% due 07/21/2000 500 499
5.400% due 09/11/2000 400 398
7.410% due 05/15/2001 1,000 1,017
----------
2,853,072
==========
Utilities 5.9%
AEP Resources, Inc.
6.500% due 12/01/2003 20,000 19,470
Alabama Power Co.
5.350% due 11/15/2003 1,600 1,525
Appalachian Power Co.
6.350% due 03/01/2000 500 500
6.600% due 05/01/2009 25,000 23,445
AT&T Corp.
7.350% due 08/27/2001 7,200 7,351
7.125% due 01/15/2002 275 279
7.000% due 05/15/2005 200 201
Baltimore Gas & Electric
6.125% due 07/01/2003 150 148
Beaver Valley Funding Corp.
8.250% due 06/01/2003 616 623
8.625% due 06/01/2007 5,000 5,120
BellSouth Telecommunications, Inc.
7.500% due 06/15/2033 185 177
California Energy
9.500% due 09/15/2006 12,040 12,914
Calpine Corp.
9.250% due 02/01/2004 4,150 4,176
7.625% due 04/15/2006 7,000 6,654
7.875% due 04/01/2008 2,500 2,394
Central Maine Power Co.
6.500% due 06/14/2000 5,500 5,480
Chesapeake & Potomac Telephone
5.625% due 03/01/2007 500 460
8.000% due 10/15/2029 1,125 1,209
Cleveland Electric Illuminating Co.
7.850% due 11/01/1999 6,000 6,007
7.420% due 08/01/2001 10,000 10,144
9.500% due 05/15/2005 13,000 13,702
Cleveland Electric/Toledo Edison
7.190% due 07/01/2000 20,400 20,428
CMS Energy
7.375% due 11/15/2000 67,535 67,540
8.000% due 07/01/2001 11,750 11,709
8.125% due 05/15/2002 13,725 13,765
8.375% due 07/01/2003 15,000 14,920
7.000% due 01/15/2005 30,000 28,634
Commonwealth Edison
5.204% due 06/15/2002 (d) 1,000 998
6.625% due 07/15/2003 1,000 995
9.875% due 06/15/2020 11,700 13,109
Connecticut Light & Power Co.
5.750% due 07/01/2000 2,000 1,992
7.875% due 06/01/2001 100 101
7.750% due 06/01/2002 5,000 5,065
8.590% due 06/05/2003 27,000 25,760
Consolidated Edison
7.600% due 01/15/2000 100 100
5.244% due 12/15/2001 (d) 10,000 9,989
6.625% due 02/01/2002 100 100
Consolidated Natural Gas
7.250% due 10/01/2004 43,750 43,787
Cox Enterprises, Inc.
6.625% due 06/14/2002 5,250 5,231
Duke Energy Corp.
8.000% due 11/01/1999 40 40
7.000% due 06/01/2000 700 705
6.750% due 08/01/2025 25 22
East Coast Power LLC
6.737% due 03/31/2008 16,791 16,044
El Paso Electric Co.
9.400% due 05/01/2011 7,455 8,115
Enron Corp.
5.778% due 03/30/2000 13,000 13,001
7.660% due 01/14/2002 5,000 5,110
Entergy Mississippi, Inc.
5.963% due 05/03/2004 (d) 31,000 31,000
Flag Limited
8.250% due 01/30/2008 1,200 1,050
Houston Lighting & Power Co.
6.100% due 03/01/2000 250 250
Indiana Bell Telephone Co., Inc.
5.500% due 04/01/2007 500 458
Indianapolis Power & Light
7.375% due 08/01/2007 225 232
Korea Electric Power
3.882% due 10/31/2002 (d) 18,900 9,906
6.375% due 12/01/2003 170 159
Louisiana Power & Light Co.
7.740% due 07/01/2002 599 603
MCI Communications Corp.
6.125% due 04/15/2002 1,250 1,233
MCI Worldcom, Inc.
5.645% due 08/17/2000 (d) 20,000 19,978
8.875% due 01/15/2006 24,529 25,962
Montana Power Co.
5.560% due 04/06/2001 (d) 15,000 15,003
National Power Corp.
9.625% due 05/15/2028 16,000 13,358
See accompanying notes 81
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
National Rural Utilities Cooperative
6.250% due 04/15/2003 $ 50,000 $ 48,896
New Century Energies, Inc.
5.860% due 05/28/2000 9,400 9,363
5.860% due 05/30/2000 15,000 14,949
New England Telephone & Telegraph Co.
6.375% due 09/01/2008 1,350 1,288
New Jersey Bell Telephone
4.875% due 11/01/2000 800 789
7.850% due 11/15/2029 70 73
New York Telephone Co.
6.250% due 02/15/2004 150 148
6.125% due 01/15/2010 80 75
Niagara Mohawk Power
7.000% due 10/01/2000 57,463 57,696
7.125% due 07/01/2001 20,604 20,690
7.250% due 10/01/2002 24,783 24,979
7.375% due 07/01/2003 38,826 39,050
7.375% due 08/01/2003 1,645 1,675
7.750% due 10/01/2008 25,200 25,662
North Atlantic Energy
9.050% due 06/01/2002 5,995 6,087
Northern Illinois Gas Co.
6.450% due 08/01/2001 1,450 1,443
Northern Telecom Limited
8.750% due 06/12/2001 300 312
Nynex Corp.
9.550% due 05/01/2010 6,516 7,178
Ohio Bell Telephone Co.
5.375% due 03/01/2007 950 866
Ohio Power Co.
7.000% due 07/01/2004 27,000 26,805
Orange PLC
8.750% due 06/01/2006 12,000 12,210
8.000% due 08/01/2008 1,000 968
Pacific Gas & Electric Co.
6.750% due 12/01/2000 3,049 3,059
Pacific Northwest Bell
4.375% due 09/01/2002 50 47
Pennsylvania Power & Light
6.000% due 06/01/2000 500 500
Philadelphia Electric
5.625% due 11/01/2001 17,350 17,087
Philippine Long Distance Telephone Co.
7.850% due 03/06/2007 5,000 4,228
10.500% due 04/15/2009 6,000 5,849
PP&L, Inc.
6.125% due 05/01/2001 (d) 5,000 4,996
6.550% due 03/01/2006 500 491
Public Service
7.625% due 02/01/2000 150 151
7.250% due 04/01/2000 (d) 5,000 5,000
6.500% due 06/01/2000 500 501
6.125% due 08/01/2002 1,000 991
Public Service Enterprise Group, Inc.
6.261% due 11/22/2000 (d) 6,000 6,010
5.910% due 06/15/2001 (d) 156,200 155,886
Queststar Pipeline
9.375% due 06/01/2021 200 214
Reliant Energy, Inc.
8.750% due 03/01/2022 10,000 10,356
Sierra Pacific Power Co.
6.270% due 10/13/2000 29,000 29,000
Sierra Pacific Resources
6.200% due 04/15/2004 20,000 19,279
SK Telecom Co. Limited
7.750% due 04/29/2004 5,000 4,858
Southwestern Bell Telephone Co.
6.125% due 03/01/2000 50 50
Sprint Corp.
8.125% due 07/15/2002 10,378 10,724
5.875% due 05/01/2004 43,000 41,248
System Energy Resources
7.380% due 10/01/2000 5,000 5,033
7.710% due 08/01/2001 14,850 15,065
Teco Energy, Inc.
5.540% due 09/15/2001 44,630 44,051
Tennessee Valley Authority
3.375% due 01/15/2007 10,521 9,720
0.000% due 04/15/2042 (i) 855 332
Texas Utilities Co.
5.558% due 04/24/2000 (d) 60,100 60,099
6.064% due 06/25/2001 125,200 124,866
6.370% due 08/16/2001 1,000 996
6.438% due 09/24/2001 206,800 206,800
5.940% due 10/15/2001 3,000 2,976
6.500% due 08/16/2002 1,000 998
Texas-New Mexico Power
10.750% due 09/15/2003 4,950 5,116
Toledo Edison Co.
7.380% due 03/31/2000 11,000 11,028
8.180% due 07/30/2002 1,400 1,437
8.700% due 09/01/2002 14,500 14,875
7.850% due 03/31/2003 7,000 7,123
7.875% due 08/01/2004 500 506
Tuscon Electric Power
8.500% due 10/01/2009 454 465
U.S. West Communications, Inc.
5.650% due 11/01/2004 9,000 8,562
6.625% due 09/15/2005 400 394
6.125% due 11/15/2005 400 384
Union Electric Co.
8.000% due 12/15/2022 1,000 1,055
United Telecom, Inc.
9.500% due 06/06/2001 150 158
Western Massachusetts Electric
6.875% due 01/01/2000 700 701
7.375% due 07/01/2001 7,000 7,028
Western Resources, Inc.
6.250% due 08/15/2003 13,500 13,253
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/2013 (j) 991 1,070
WorldCom, Inc.
6.125% due 08/15/2001 250 248
6.400% due 08/15/2005 1,000 977
Yorkshire Power Finance
6.154% due 02/25/2003 17,000 16,338
-----------
1,731,812
-----------
Total Corporate Bonds & Notes 12,633,519
(Cost $12,743,263) ===========
- ---------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.1%
- ---------------------------------------------------------------------------
Florida 0.0%
Greater Orlando Aviation Authority,
Orlando Florida Airport Facitities
Revenue Bonds, (FGIC Insured), Series 1999,
5.125% due 10/01/2028 2,000 1,788
-----------
New Mexico 0.0%
Farmington, New Mexico Pollution
Control Revenue Bond, Series A, 5.125%
due 04/01/2029 500 451
-----------
New York 0.1%
New York City Municipal Bond
5.622% due 08/01/2002 (d) 11,058 11,021
New York City, New York Municipal Finance
Authority Water & Sewer System Revenue
Bonds, (FSA Insured), Series 1999, 5.000%
due 06/15/2029 2,500 2,189
-----------
13,210
===========
Pennsylvania 0.0%
Pittsburgh & Allegheny County Pa,
(AMBAC Insured), Series 1999, 5.000%
due 02/01/2029 500 436
Pittsburgh & Allegheny County Pa,
(AMBAC Insured), Series 1999, 5.125% due
02/01/2035 500 441
-----------
877
===========
82 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
Utah 0.0%
Weber County, Utah Hospital Revenue Bonds,
Series 1999, 5.000% due 08/15/2030 $ 500 $ 426
---------
Total Municipal Bonds & Notes 16,752
(Cost $16,926) =========
- ---------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 3.5%
- ---------------------------------------------------------------------------
A.I.D. Housing Guarantee - Peru
9.980% due 08/01/2008 990 1,013
Federal Home Loan Bank
7.510% due 10/26/1999 500 501
5.525% due 01/21/2000 1,000 1,000
6.000% due 05/12/2000 (d) 185,400 184,086
6.540% due 05/25/2000 (d) 500 504
5.500% due 07/14/2000 (d) 1,150 1,148
6.160% due 09/18/2000 (d) 1,000 1,003
5.662% due 09/10/2001 (d) 1,000 989
4.842% due 02/15/2002 (d) 17,000 16,602
6.030% due 04/17/2002 (d) 1,000 992
7.045% due 04/25/2002 (d) 500 501
5.250% due 06/28/2002 (d) 1,000 974
6.260% due 12/23/2002 (d) 1,000 990
6.110% due 04/17/2003 (d) 1,000 986
6.050% due 05/22/2003 (d) 1,000 983
5.805% due 08/28/2003 (d) 1,000 974
6.000% due 06/30/2004 (d) 1,000 978
Federal Home Loan Mortgage Corporation
6.000% due 06/23/2004 (d) 1,000 974
6.345% due 02/15/2006 (d) 1,000 973
7.245% due 04/24/2006 (d) 500 500
Federal National Mortgage Assn.
9.050% due 04/10/2000 (d) 400 407
5.560% due 07/24/2000 (d) 440 439
5.810% due 01/16/2001 (d) 1,000 999
5.160% due 02/02/2001 (d) 800 792
6.350% due 11/23/2001 (d) 1,000 999
6.450% due 02/14/2002 (d) 1,000 998
7.060% due 04/24/2002 (d) 500 502
6.110% due 01/02/2003 (d) 1,000 985
6.000% due 02/18/2003 (d) 1,000 980
6.750% due 03/03/2003 (d) 500 492
5.260% due 10/02/2003 (d) 1,000 960
5.280% due 10/06/2003 (d) 1,000 961
5.500% due 12/01/2003 (d) 1,000 965
8.500% due 02/01/2005 (d) 1,000 1,009
6.560% due 12/10/2007 (d) 190 184
6.875% due 09/10/2012 (d) 25,000 24,477
New York City
5.239% due 08/01/2002 (d) 14,815 14,815
Student Loan Marketing Assn.
4.129% due 02/20/2000 (d) 134,700 134,091
5.129% due 06/30/2000 (d) 63,700 63,641
5.483% due 01/25/2003 (d) 35,494 35,486
5.225% due 04/25/2004 (d) 15,164 15,131
5.175% due 10/25/2004 (d) 22,962 22,896
5.195% due 10/25/2004 (d) 39,851 39,768
5.225% due 10/25/2005 (d) 30,609 30,505
5.291% due 10/25/2005 (d) 20,485 20,407
5.333% due 04/25/2006 (d) 110,189 109,732
5.395% due 01/25/2007 (d) 99,218 99,015
5.495% due 04/25/2007 (d) 180,624 180,358
---------
Total U.S. Government Agencies 1,018,665
(Cost $1,021,594) =========
U.S. TREASURY OBLIGATIONS 6.5%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h)(l) 814,710 809,658
3.625% due 07/15/2002 (h)(l) 276 274
3.375% due 01/15/2007 (h)(l) 163,595 156,285
3.625% due 01/15/2008 (h)(l) 387,579 375,225
3.625% due 01/15/2008 (h) 21,750 21,057
3.875% due 01/15/2009 (h)(l) 246,569 242,794
3.625% due 04/15/2028 (h) 103,685 95,973
3.875% due 04/15/2029 (h)(l) 456 441
U.S. Treasury Bonds
12.375% due 05/15/2004 1,000 1,254
10.375% due 11/15/2012 (l) 11,430 14,345
12.000% due 08/15/2013 6,000 8,291
13.250% due 05/15/2014 16,500 24,652
8.875% due 08/15/2017 (l) 65 81
8.125% due 08/15/2019 10,515 12,454
U.S. Treasury Notes
7.875% due 11/15/1999 500 502
5.500% due 02/29/2000 (b) 109,550 109,755
7.500% due 11/15/2001 600 622
6.125% due 12/31/2001 1,010 1,019
6.375% due 08/15/2002 160 163
5.500% due 01/31/2003 400 397
5.875% due 05/15/2004 1,000 1,055
6.500% due 10/15/2006 1,020 1,043
4.750% due 05/15/2008 36,100 35,062
---------
Total U.S. Treasury Obligations 1,912,392
(Cost $1,932,927) =========
- ---------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 54.6%
- ---------------------------------------------------------------------------
Collateralized Mortgage Obligations 23.4%
ABN AMRO Mortgage Corp.
6.500% due 06/25/2029 7,093 6,505
American Southwest Financial
12.250% due 11/01/2014 40 41
12.500% due 04/01/2015 376 417
12.000% due 05/01/2015 703 722
11.400% due 09/01/2015 615 642
American Southwest Financial Securities Corp.
7.400% due 11/17/2004 41,000 41,555
7.248% due 11/25/2038 50,698 46,118
Bank of America Mortgage Securities
6.250% due 08/25/2028 25,000 22,422
6.500% due 05/25/2029 15,895 14,866
7.250% due 10/25/2029 9,648 8,603
Bankers Trust Co.
8.625% due 04/01/2018 58 58
Bear Stearns Mortgage Securities, Inc.
7.000% due 09/20/2012 34,576 33,506
7.000% due 08/20/2018 10,000 9,812
5.938% due 10/25/2023 (d) 3,718 3,810
10.000% due 08/25/2024 5,000 5,454
7.000% due 03/25/2027 7,000 6,724
7.000% due 02/25/2028 10,000 9,622
Cendant Mortgage Corp.
6.499% due 11/18/2028 (d) 5,578 4,715
6.498% due 11/18/2028 (d) 14,127 13,142
Centre
6.715% due 02/01/2009 31,213 29,667
Chase Mortgage Finance Corp.
7.607% due 10/25/2009 (d) 1,659 1,107
8.250% due 10/25/2010 783 780
6.250% due 05/25/2014 42,955 40,506
7.000% due 07/25/2024 4,411 4,418
7.000% due 08/25/2024 3,232 3,181
6.750% due 03/25/2025 8,197 7,116
6.204% due 04/25/2025 (d) 23,781 21,886
6.550% due 08/25/2028 3,000 2,941
6.350% due 07/25/2029 74,414 73,504
Citicorp Mortgage Securities, Inc.
9.500% due 09/25/2019 231 230
6.633% due 10/25/2022 (d) 12,223 12,304
6.250% due 04/25/2024 11,796 10,187
7.250% due 10/25/2027 20,462 19,694
5.900% due 05/25/2029 26,490 26,302
CMC Securities Corp.
6.423% due 09/25/2023 (d) 5,309 5,339
7.117% due 04/25/2025 (d) 201 202
7.250% due 11/25/2027 9,402 9,217
See accompanying notes 83
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
Collateralized Mortgage Obligation Trust
10.200% due 02/01/2016 $ 400 $ 409
8.000% due 09/20/2021 8,061 8,142
Collateralized Mortgage Securities Corp.
11.450% due 09/01/2015 29 30
11.450% due 11/01/2015 (d) 162 163
8.750% due 04/20/2019 575 594
Comm
6.145% due 02/15/2008 4,832 4,734
Countrywide Home Loans
6.500% due 07/25/2013 5,676 5,266
6.250% due 08/25/2014 35,885 33,806
7.305% due 07/25/2024 (d) 5,120 5,194
6.750% due 11/25/2025 25,567 23,558
7.500% due 06/25/2027 12,300 12,304
7.250% due 12/25/2027 6,224 5,959
7.250% due 02/25/2028 57,846 55,654
6.750% due 06/25/2028 15,103 13,632
6.750% due 08/25/2028 15,564 15,499
6.500% due 03/25/2029 16,744 15,395
6.050% due 04/25/2029 56,000 53,479
Crusade Global Trust
5.844% due 02/15/2030 (d) 100,000 100,000
DLJ Mortgage Acceptance Corp.
4.224% due 05/25/2024 (d) 146 152
6.850% due 12/17/2027 6,605 6,607
6.750% due 06/19/2028 122,753 119,510
Donaldson, Lufkin & Jenrette
7.413% due 08/01/2021 (d)(j) 4,903 4,974
7.225% due 12/25/2022 (d) 2,214 2,275
6.993% due 03/25/2024 (d) 632 656
Drexel Mortgage Funding
9.500% due 11/20/2017 839 842
8.600% due 03/01/2018 251 252
FBS Mortgage Corp.
7.092% due 11/25/2024 692 694
Federal Home Loan Mortgage Corp.
5.125% due 02/26/2002 1,260 1,233
6.750% due 10/15/2003 18,348 18,440
7.000% due 10/15/2003 4,499 4,545
7.500% due 11/01/2003 5,853 5,899
6.000% due 06/15/2005 6,209 6,215
6.500% due 07/25/2005 5,463 5,446
6.500% due 07/15/2006 1,075 1,071
6.500% due 08/15/2006 710 712
7.200% due 11/01/2006 74,000 73,607
5.500% due 10/15/2007 6,969 6,858
6.500% due 05/15/2008 1,000 996
5.675% due 06/15/2008 (d) 185 165
6.000% due 11/15/2008 225 218
6.200% due 12/15/2008 4,218 3,899
6.000% due 03/15/2009 265 259
7.550% due 03/15/2012 180 181
8.500% due 08/15/2013 2,000 2,079
8.500% due 09/15/2013 5,941 6,153
6.000% due 11/15/2014 400 360
5.400% due 05/25/2016 35,096 34,989
7.000% due 11/15/2016 6,130 6,156
6.250% due 10/15/2017 21,354 21,328
5.900% due 03/15/2018 7,398 7,373
6.350% due 03/25/2018 200 199
5.250% due 05/15/2018 471 468
6.500% due 12/15/2018 920 920
6.400% due 02/15/2019 20,000 19,988
6.500% due 05/15/2019 391 391
6.250% due 07/15/2019 37,090 37,041
5.000% due 08/15/2019 152 150
7.500% due 01/15/2020 5,666 5,704
5.250% due 07/15/2020 460 454
5.500% due 10/15/2020 91 90
9.500% due 11/15/2020 4,937 5,132
8.750% due 12/15/2020 1,265 1,298
6.000% due 12/15/2020 320 311
9.000% due 12/15/2020 3,207 3,327
6.250% due 01/15/2021 200 196
8.000% due 04/15/2021 106 109
6.500% due 05/15/2021 134 133
6.500% due 05/17/2021 81 79
8.500% due 06/15/2021 29,166 30,121
9.500% due 07/15/2021 2,320 2,380
6.950% due 07/15/2021 652 650
9.000% due 07/15/2021 2,125 2,234
8.000% due 07/15/2021 10,869 11,046
6.950% due 08/15/2021 185 184
8.000% due 08/15/2021 23,472 23,987
6.200% due 08/15/2021 1,500 1,496
7.000% due 09/15/2021 340 340
8.000% due 09/15/2021 3 3
6.500% due 09/15/2021 30,233 30,042
7.000% due 10/15/2021 15 15
8.000% due 12/15/2021 16,995 17,423
6.850% due 01/15/2022 700 697
8.250% due 06/15/2022 5,000 5,177
7.000% due 07/15/2022 8,788 8,538
8.500% due 10/15/2022 8,638 8,909
7.500% due 01/15/2023 16,359 16,138
7.500% due 07/15/2023 395 401
7.250% due 07/15/2023 4 4
7.000% due 07/15/2023 252 236
6.500% due 07/15/2023 287 279
6.500% due 08/15/2023 183,199 181,369
7.500% due 01/20/2024 163 164
5.000% due 02/15/2024 116 99
6.500% due 02/15/2024 23 23
6.250% due 05/15/2024 12,485 11,165
7.250% due 08/15/2024 190 191
8.000% due 09/15/2024 16,250 16,909
7.000% due 11/17/2025 40 40
6.500% due 03/15/2026 110 104
6.945% due 10/01/2026 (d) 3,542 3,629
6.000% due 11/15/2026 550 509
7.500% due 01/15/2027 23,368 23,102
7.500% due 03/17/2027 20,000 19,631
7.500% due 06/20/2027 18,159 17,300
6.500% due 08/15/2027 14,660 12,299
6.500% due 10/15/2027 32,300 29,759
6.000% due 11/15/2027 665 607
6.500% due 01/25/2028 8,691 7,863
7.000% due 02/15/2028 1,675 1,594
6.500% due 04/15/2028 156,507 144,558
6.500% due 05/15/2028 48,000 45,555
6.500% due 06/15/2028 55,064 49,034
6.500% due 06/20/2028 21,923 19,067
6.500% due 07/15/2028 28,266 23,706
6.500% due 08/15/2028 258,710 219,839
7.000% due 11/15/2028 9,000 8,489
6.500% due 12/15/2028 6,614 5,464
6.000% due 12/15/2028 22,454 18,606
6.500% due 01/15/2029 10,411 9,668
6.000% due 02/15/2029 3,648 2,680
6.500% due 03/15/2029 25,088 22,274
0.000% due 06/15/2029 74,088 46,575
8.000% due 07/15/2029 1,250 1,237
5.940% due 08/15/2032 (d) 31,187 31,753
Federal National Mortgage Assn
9.100% due 02/25/2002 1,828 1,848
7.500% due 05/25/2005 6,700 6,833
7.500% due 02/25/2006 375 380
6.500% due 05/01/2006 217 216
6.500% due 07/25/2006 75 75
8.000% due 11/25/2006 30 31
6.500% due 05/25/2007 9,362 9,330
6.000% due 07/25/2007 300 297
9.028% due 08/25/2007 (d) 12 12
6.270% due 09/25/2007 3,000 2,907
7.000% due 10/25/2007 200 201
6.500% due 05/25/2008 500 499
10.500% due 08/25/2008 7,146 7,723
7.452% due 09/25/2008 (d) 1,606 1,466
6.750% due 11/25/2010 1,300 1,303
84 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
7.000% due 01/25/2011 $ 302 $ 303
6.000% due 03/18/2015 18,505 18,412
8.000% due 12/25/2016 223 226
9.670% due 01/25/2017 5 5
9.300% due 05/25/2018 830 867
5.894% due 06/25/2018 (d) 4 4
9.500% due 06/25/2018 477 503
5.500% due 07/25/2018 54 54
9.500% due 11/25/2018 11,294 11,633
6.000% due 12/25/2018 8 8
6.000% due 02/25/2019 5,000 4,978
6.500% due 03/25/2019 885 874
9.500% due 06/25/2019 1,698 1,785
5.650% due 07/25/2019 2,560 2,547
9.300% due 08/25/2019 93 98
6.350% due 08/25/2019 346 345
8.000% due 10/25/2019 3,135 3,160
9.000% due 12/25/2019 7,379 7,656
7.500% due 12/25/2019 92 92
6.500% due 03/25/2020 1,108 1,107
7.500% due 05/25/2020 4,161 4,210
6.750% due 06/25/2020 1,329 1,331
6.000% due 06/25/2020 269 269
5.000% due 09/25/2020 200 188
7.000% due 09/25/2020 19,398 19,485
9.000% due 09/25/2020 4,445 4,619
8.000% due 12/25/2020 24,277 24,892
8.750% due 01/25/2021 3,922 4,036
9.000% due 01/25/2021 6,909 7,168
5.750% due 02/18/2021 100 95
9.000% due 03/25/2021 598 619
7.500% due 03/25/2021 9,766 9,808
7.000% due 05/25/2021 300 297
6.500% due 06/25/2021 5,531 5,343
7.500% due 06/25/2021 99 100
8.000% due 07/25/2021 18,472 18,691
8.500% due 09/25/2021 6,560 6,730
7.000% due 10/25/2021 8,688 8,565
8.000% due 10/25/2021 22,645 23,213
7.000% due 11/25/2021 24,015 23,976
6.000% due 12/25/2021 58 57
8.000% due 01/25/2022 21,700 22,192
8.000% due 03/25/2022 132 133
7.000% due 04/25/2022 17,091 16,632
10.000% due 05/01/2022 175 190
7.000% due 06/25/2022 1,585 1,562
8.000% due 06/25/2022 3,565 3,702
7.000% due 07/25/2022 6,991 6,918
8.000% due 07/25/2022 56,488 57,621
7.800% due 10/25/2022 4,143 4,149
6.500% due 10/25/2022 3,794 3,469
6.500% due 12/25/2022 251 248
3.663% due 02/25/2023 (d) 15,771 927
7.000% due 03/25/2023 27,100 26,100
6.500% due 05/18/2023 9,107 9,053
6.900% due 05/25/2023 148 138
7.000% due 06/25/2023 4,641 4,323
5.333% due 07/25/2023 (d) 146 130
6.000% due 08/25/2023 13,179 11,399
6.500% due 08/25/2023 49 47
1.000% due 09/25/2023 350 317
6.750% due 09/25/2023 3,713 3,439
6.750% due 10/25/2023 558 492
7.500% due 10/25/2023 67 67
6.500% due 11/25/2023 103 100
6.500% due 12/25/2023 1,089 961
7.100% due 12/25/2023 6,769 6,446
6.500% due 01/25/2024 2,490 2,131
7.250% due 02/25/2024 43 43
6.500% due 02/25/2024 5,150 4,818
7.500% due 06/20/2024 120 121
7.000% due 02/18/2025 140 140
6.600% due 05/18/2025 219 209
7.500% due 11/17/2025 289 295
7.500% due 12/25/2025 360 358
7.000% due 02/15/2026 180 179
7.000% due 07/18/2026 450 434
6.500% due 09/18/2026 120 112
7.000% due 12/18/2026 15,122 13,950
6.000% due 12/25/2026 170 156
6.000% due 03/25/2027 320 294
6.000% due 05/17/2027 5,470 4,709
7.000% due 07/18/2027 460 449
6.500% due 03/01/2028 559 537
6.500% due 06/25/2028 3,400 3,112
6.500% due 07/18/2028 67,412 61,808
9.092% due 09/25/2028 27,550 29,005
6.000% due 04/25/2029 10,181 7,780
6.300% due 10/17/2038 14,453 12,050
First Commonwealth Savings & Loan
10.375% due 04/01/2005 18 19
First Nationwide Trust
6.750% due 07/25/2029 15,821 15,746
6.500% due 10/19/2029 61,642 59,176
First Union Residential Securitization, Inc.
6.750% due 08/25/2028 9,048 8,151
General Electric Capital Mortgage Services, Inc.
6.750% due 12/25/2012 3,285 3,275
6.500% due 09/25/2023 1,175 1,030
6.500% due 12/25/2023 8,631 7,568
6.500% due 01/25/2024 3,895 3,398
6.500% due 02/25/2024 5 5
6.500% due 03/25/2024 57,897 52,782
6.500% due 04/25/2024 62,140 51,311
7.500% due 07/25/2027 10,278 10,131
7.000% due 11/25/2027 37,500 36,098
6.650% due 05/25/2028 8,566 8,538
6.750% due 05/25/2028 23,934 22,179
6.750% due 06/25/2028 1,554 1,551
6.550% due 06/25/2028 23,450 22,605
6.500% due 12/25/2028 19,500 17,954
5.950% due 07/25/2029 24,794 24,445
6.000% due 07/25/2029 18,307 17,950
6.250% due 07/25/2029 132,674 128,696
6.500% due 07/25/2029 95,240 87,290
7.000% due 09/25/2029 3,126 2,777
7.250% due 08/25/2029 8,000 7,642
General Motors Acceptance Corp.
6.150% due 11/15/2007 12,286 11,911
6.700% due 03/15/2008 16,155 15,675
6.974% due 07/15/2032 30,000 30,078
6.570% due 09/15/2033 19,727 19,441
Goldman Sachs Mortgage Corp.
6.000% due 12/31/2007 (j) 9,948 9,416
8.000% due 09/20/2027 40,872 40,846
Government National Mortgage Assn.
6.250% due 06/20/2022 59,840 59,615
7.250% due 12/16/2023 9,829 9,930
7.000% due 01/15/2024 471 464
8.000% due 05/16/2024 115 116
7.000% due 03/20/2026 320 311
7.000% due 08/20/2026 137 134
7.500% due 02/16/2027 38 37
7.500% due 07/16/2027 27,763 27,799
6.500% due 06/20/2028 10,670 9,114
6.500% due 07/20/2028 36,671 30,562
6.500% due 09/20/2028 26,674 22,471
6.500% due 01/20/2029 26,104 21,731
6.500% due 03/20/2029 16,259 14,965
6.000% due 05/20/2029 10,202 8,307
Greenwich
6.685% due 04/25/2022 (d) 806 816
6.514% due 07/25/2022 (d) 2,600 2,629
6.657% due 10/25/2022 (d) 108 109
6.719% due 04/25/2023 (d) 1,480 1,485
7.168% due 04/25/2024 (d) 1,830 1,846
7.528% due 06/25/2024 (d) 1,828 1,863
8.064% due 08/25/2024 (d) 2,703 2,772
8.145% due 11/25/2024 (d) 741 752
See accompanying notes 85
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
GS Mortgage Securities Corp.
6.060% due 10/18/2030 $ 33,872 $ 32,893
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2012 2,693 2,702
7.160% due 12/25/2012 924 927
7.250% due 11/25/2027 5,000 4,948
6.650% due 02/25/2029 161,687 153,429
ICI Funding Corp. Secured Assets Corp.
7.250% due 09/25/2027 18,068 17,820
7.750% due 03/25/2028 1,896 1,894
Imperial CMB Trust
5.695% due 09/25/2026 (d) 8,909 8,956
7.250% due 11/25/2029 161 159
6.650% due 11/25/2029 1,338 1,330
Independent National Mortgage Corp.
6.650% due 10/25/2024 2,723 2,625
7.237% due 11/25/2024 (d) 2,521 2,586
8.750% due 12/25/2024 30 31
7.650% due 01/25/2025 (d) 205 209
8.000% due 06/25/2025 41 41
6.850% due 07/25/2025 (d) 11,118 11,335
7.164% due 07/25/2025 (d) 5,985 6,108
7.500% due 09/25/2025 1,692 1,702
International Mortgage Acceptance Corp.
12.250% due 03/01/2014 337 377
J.P. Morgan Commercial Mortgage Finance Corp.
9.000% due 10/20/2020 12,180 12,286
8.218% due 04/25/2028 1,615 1,579
6.533% due 01/15/2030 20,000 19,478
7.325% due 07/15/2031 55,799 56,516
Kidder Peabody Acceptance Corp.
7.440% due 09/25/2024 (d) 13,304 13,265
LB Mortgage Trust
8.396% due 01/20/2017 12,725 13,256
Marine Midland
8.000% due 10/25/2023 11 11
Mellon Residential Funding Corp.
6.350% due 06/25/2028 22,000 21,529
6.110% due 01/25/2029 23,900 22,584
6.570% due 07/25/2029 44,000 43,849
6.580% due 07/25/2029 55,500 55,223
Merrill Lynch Mortgage
7.263% due 06/15/2021 (d) 5,902 5,891
7.113% due 06/15/2021 2,967 2,949
7.523% due 06/15/2021 (d) 5,537 5,490
6.950% due 06/18/2029 37,775 38,008
Midland Realty Acceptance Corp.
7.020% due 01/25/2029 26,247 26,215
Morgan Stanley Capital
6.860% due 05/15/2006 2,534 2,540
6.190% due 01/15/2007 27,044 26,307
6.160% due 04/03/2009 14,571 14,096
6.590% due 10/03/2030 5,906 5,841
Mortgage Capital Funding, Inc.
7.800% due 04/15/2006 500 513
7.008% due 09/20/2006 15,545 15,278
Mortgage Capital Trust V
8.875% due 04/01/2018 102 101
Nacional Financier
22.000% due 05/20/2002 (d) 300,000 30,933
NationsBanc Montgomery Funding Corp.
6.500% due 07/25/2028 9,000 8,274
6.250% due 10/25/2028 2,000 1,799
Nationslink Funding Corp.
5.805% due 02/10/2001 33,086 33,086
6.096% due 12/10/2001 9,000 8,951
6.333% due 10/22/2004 7,780 7,738
5.638% due 04/10/2007 (d) 9,337 9,337
Nomura Asset Securities Corp.
6.882% due 05/25/2024 (d) 3,799 3,900
7.000% due 10/29/2029 (d) 15,000 14,128
Norwest Asset Securities Corp.
6.750% due 12/25/2012 19,758 19,502
6.250% due 11/25/2013 41,806 40,395
12.250% due 04/01/2014 54 53
6.750% due 09/25/2027 $ 3,970 $ 3,894
6.350% due 04/25/2028 2,500 2,494
6.750% due 10/25/2028 7,427 7,071
6.500% due 12/25/2028 20,000 18,397
6.500% due 02/25/2029 55,000 50,651
6.200% due 04/25/2029 77,385 74,821
5.950% due 04/25/2029 121,792 116,822
6.000% due 04/25/2029 19,713 19,316
5.950% due 04/25/2029 17,152 16,926
6.500% due 04/25/2029 12,200 11,204
6.300% due 04/25/2029 10,384 9,962
6.500% due 06/25/2029 41,178 37,747
PaineWebber Mortgage
6.000% due 04/25/2009 11,951 11,392
PNC Mortgage Securities Corp.
6.750% due 06/25/2016 12,259 12,154
7.000% due 10/25/2027 36,434 35,208
6.500% due 02/25/2028 2,437 2,432
7.000% due 02/25/2028 25,911 24,957
7.000% due 05/25/2028 7,784 7,767
6.750% due 07/25/2028 3,527 3,320
6.550% due 07/25/2028 24,500 24,301
6.750% due 09/25/2028 4,000 3,762
6.200% due 06/25/2029 34,900 34,144
6.500% due 06/25/2029 41,211 37,804
Prudential Bache
5.740% due 09/01/2018 (d) 265 261
8.400% due 03/20/2021 2,567 2,640
Prudential Home Mortgage Securities
7.000% due 01/25/2008 23,860 23,592
6.400% due 04/25/2009 1,748 1,744
6.950% due 11/25/2022 222 205
7.000% due 07/25/2023 13,903 13,833
6.750% due 10/25/2023 8,935 7,390
7.970% due 11/25/2023 (d) 2,048 2,040
5.900% due 12/25/2023 8,696 8,639
6.050% due 04/25/2024 4,634 4,604
6.800% due 05/25/2024 10,193 9,052
6.000% due 05/25/2024 9 9
6.450% due 11/25/2025 5,264 4,628
3.914% due 12/25/2025 (d) 383 370
Prudential Securities Secured Financing Corp.
6.074% due 01/15/2008 14,579 14,085
6.955% due 06/15/2008 14,791 14,822
PSB Financial Corp.
11.050% due 12/01/2015 553 590
Residential Accredit Loans, Inc.
6.250% due 03/25/2014 28,370 27,430
7.250% due 06/25/2027 2,100 2,072
7.500% due 08/25/2027 15,000 14,937
7.000% due 02/25/2028 41,115 39,626
Residential Asset Securities Corp.
7.000% due 03/25/2027 34 34
Residential Asset Securitization Trust
7.375% due 03/25/2027 5,142 5,043
7.000% due 10/25/2027 19,745 18,940
6.750% due 06/25/2028 22,074 22,083
6.500% due 12/25/2028 1,250 1,132
Residential Funding Mortgage Securities, Inc.
7.000% due 08/25/2008 8,379 8,408
6.250% due 10/25/2008 36 36
7.500% due 09/25/2011 19,855 20,030
6.500% due 12/25/2012 18,586 17,905
6.500% due 01/25/2013 144,948 141,709
7.750% due 09/25/2022 558 562
8.000% due 01/25/2023 3,452 3,504
7.500% due 09/25/2025 18,020 18,149
7.500% due 12/25/2025 959 960
7.750% due 11/25/2026 9,000 9,110
7.500% due 06/25/2027 51,535 51,277
7.500% due 07/25/2027 25,265 25,298
7.250% due 10/25/2027 44,000 43,033
7.000% due 11/25/2027 7,000 6,619
6.750% due 02/25/2028 15,201 14,922
6.750% due 05/25/2028 60,741 56,674
86 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
6.750% due 06/25/2028 $ 14,950 $ 14,888
6.750% due 09/25/2028 61,993 58,226
6.500% due 10/25/2028 52,000 47,842
6.250% due 11/25/2028 3,000 2,704
6.500% due 01/25/2029 52,231 48,009
6.200% due 05/25/2029 107,102 106,255
6.500% due 06/25/2029 8,343 6,405
6.750% due 07/25/2029 22,600 21,152
Resolution Trust Corp.
6.278% due 09/25/2020 (d) 12,262 4,537
6.869% due 09/25/2020 (d) 1,915 1,598
8.441% due 06/25/2021 (d) 284 284
8.684% due 08/25/2021 (d) 503 502
8.694% due 08/25/2021 8,000 7,991
6.610% due 09/25/2021 (d) 99 99
8.625% due 10/25/2021 171 170
8.136% due 10/25/2021 (d) 176 175
5.623% due 10/25/2021 (d) 148 146
8.625% due 05/25/2022 (d) 1,746 1,745
7.375% due 08/25/2023 (d) 2,000 2,003
8.835% due 12/25/2023 2,050 2,066
9.450% due 05/25/2024 16,688 16,632
7.100% due 12/25/2024 1,500 1,458
6.941% due 07/25/2028 (d) 14,001 13,977
6.780% due 10/25/2028 (d) 6,994 7,029
6.580% due 10/25/2028 (d) 17,005 17,396
6.877% due 05/25/2029 (d) 3,136 3,195
7.268% due 05/25/2029 (d) 3,573 3,565
RMF Commercial Mortgage Securities, Inc.
6.715% due 01/15/2019 235 229
Rural Housing Trust
3.330% due 10/01/2028 43 40
Ryan Mortgage Acceptance Corp.
9.450% due 10/01/2016 101 106
Ryland Acceptance Corp.
11.500% due 12/25/2016 108 108
8.200% due 09/25/2022 41 42
14.000% due 11/25/2031 1,019 1,096
Ryland Mortgage Securities Corp.
7.200% due 08/25/2022 (d) 2,171 2,201
6.562% due 08/25/2029 (d) 3,596 3,697
6.556% due 10/25/2031 (d) 6,216 6,256
Salomon Brothers Mortgage Securities
6.852% due 11/25/2022 (d) 775 790
7.669% due 07/01/2024 (d) 5,873 5,991
5.615% due 06/25/2027 (d) 728 729
5.719% due 04/25/2029 (d) 8,799 8,781
5.723% due 04/25/2029 (d) 33,398 33,388
Santa Barbara Savings
9.500% due 11/20/2018 2,599 2,598
Saxon Mortgage
7.181% due 08/25/2023 (d) 17,635 18,104
6.500% due 02/25/2024 2,501 2,479
7.622% due 09/25/2024 (d) 6,732 6,972
Securitized Asset Sales, Inc.
6.975% due 10/25/2023 (d) 1,996 2,052
6.966% due 12/26/2023 (d) 1,534 1,526
7.410% due 09/25/2024 (d) 9,900 10,000
Security Pacific National Bank
5.968% due 03/01/2018 (d) 95 95
Small Business Investment Co.
7.540% due 08/10/2009 88,000 87,560
Southern Pacific Secured Assets Corp.
5.509% due 06/25/2028 (d) 57,961 57,643
Starwood Commercial Mortgage
6.600% due 02/03/2009 12,535 12,413
Structured Asset Mortgage Investments, Inc.
6.125% due 11/25/2013 16,748 16,076
6.906% due 06/25/2028 (d) 41,996 42,009
6.250% due 11/25/2028 9,878 8,925
6.750% due 01/25/2029 3,000 2,815
6.300% due 05/25/2029 20,829 20,405
6.584% due 06/25/2029 (d) 32,422 31,591
7.250% due 07/25/2029 32,686 32,608
TMA Mortgage Funding Trust
5.719% due 01/25/2029 $ 41,726 $ 41,726
Union Planters Mortgage Finance Corp.
6.800% due 01/25/2028 15,000 14,701
6.750% due 01/25/2028 4,000 3,856
Vendee Mortgage Trust
7.000% due 02/15/2000 1,127 1,127
7.750% due 03/15/2016 600 605
7.500% due 08/15/2017 370 374
7.750% due 05/15/2018 550 559
6.500% due 05/15/2020 26,946 25,187
Western Federal Savings & Loan
6.430% due 06/25/2021 (d) 4,413 4,442
----------
6,874,323
----------
Federal Home Loan Mortgage Corporation 10.2%
5.125% due 10/15/2008 160 144
5.500% due 04/01/2001-10/14/2029 (g) 269,387 242,341
5.750% due 08/15/2020 300 295
6.000% due 12/01/2000-10/14/2028 (g) 2,237,782 2,105,558
6.055% due 12/01/2026 (d) 6,915 6,816
6.125% due 04/01/2017-06/01/2017 (d)(g) 60 60
6.500% due 07/01/2001-10/14/2029 (g) 369,874 350,555
6.543% due 11/01/2026 (d) 9,478 9,518
6.625% due 01/01/2019 (d) 10 10
6.732% due 11/01/2028 (d) 29,366 29,316
6.750% due 01/17/2025 12,519 12,468
6.775% due 11/01/2003 69 69
6.781% due 07/01/2022 (d) 1,219 1,248
6.849% due 07/01/2023 (d) 641 654
6.856% due 05/01/2023 (d) 1,968 1,991
6.873% due 07/01/2025 (d) 8,301 8,369
6.883% due 09/01/2023 (d) 12,200 12,502
6.919% due 07/01/2023 (d) 2,262 2,324
6.930% due 05/01/2023 (d) 1,246 1,276
6.931% due 09/01/2023 (d) 1,692 1,718
6.934% due 08/01/2023 (d) 6,243 6,339
6.942% due 07/01/2024 (d) 2,184 2,236
6.948% due 08/01/2023 (d) 1,182 1,203
6.978% due 01/01/2024 (d) 555 572
6.984% due 08/01/2024 (d) 375 383
7.000% due 01/01/2000-07/01/2028 (g) 16,809 16,873
7.013% due 01/01/2024 (d) 553 566
7.036% due 04/01/2023 (d) 583 590
7.059% due 08/01/2023 (d) 550 569
7.075% due 05/01/2027 (d) 1,260 1,286
7.095% due 11/01/2023 (d) 419 430
7.102% due 06/01/2024 (d) 1,258 1,293
7.125% due 09/01/2023 (d) 2,693 2,772
7.129% due 08/01/2023 (d) 11 11
7.157% due 10/01/2023 (d) 511 528
7.198% due 10/01/2023 (d) 1,726 1,771
7.208% due 10/01/2023 (d) 1,217 1,258
7.210% due 10/25/2023 (d) 18,319 19,200
7.230% due 11/01/2023 (d) 434 438
7.241% due 04/01/2029 (d) 1,626 1,677
7.270% due 04/01/2024 (d) 8,222 8,453
7.282% due 09/01/2027 (d) 3,185 3,284
7.333% due 11/01/2023 (d) 349 353
7.500% due 09/01/2003-10/14/2029 (g) 59,502 59,867
7.533% due 09/01/2023 (d) 1,717 1,738
7.550% due 10/01/2023 (d) 1,845 1,868
7.555% due 10/01/2023 (d) 1,137 1,151
7.750% due 04/01/2007 30 30
8.000% due 10/01/2007-10/01/2027 (g) 4,650 4,779
8.250% due 08/01/2007-12/01/2009 (g) 224 230
8.500% due 09/01/2001-01/01/2028 (g) 28,637 29,720
8.750% due 02/01/2001-12/01/2010 (g) 184 190
8.900% due 11/15/2020 15,239 15,694
9.000% due 01/01/2002-09/15/2020 (g) 737 767
9.250% due 06/01/2009-11/01/2013 (g) 117 121
9.500% due 08/01/2001-06/01/2021 (g) 1,691 1,787
9.750% due 11/01/2004-05/01/2009 (g) 51 54
10.000% due 06/01/2004-11/15/2019 (g) 860 895
10.250% due 03/15/2009-05/01/2009 (g) 1,361 1,470
11.000% due 09/01/2000-07/01/2019 (g) 724 784
See accompanying notes 87
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
11.250% due 10/01/2009-09/01/2015 (g) $ 138 $ 150
11.500% due 03/01/2000-05/01/2000 (g) 3 3
12.500% due 12/01/2012 21 23
13.250% due 10/01/2013 81 93
14.000% due 04/01/2016 24 28
15.500% due 08/01/2011-11/01/2011 (g) 16 18
16.250% due 05/01/2011 3 3
---------
2,980,780
---------
Federal Housing Administration 1.6%
6.500% due 02/15/2001-03/01/2040 (g)(j) 14,652 14,555
6.630% due 05/28/2039-07/01/2040 (g) 3,091 3,043
6.687% due 07/25/2040 1,491 1,492
6.750% due 02/01/2022-05/28/2039 (g) 11,619 11,692
6.755% due 06/25/2039 16,213 15,560
6.770% due 05/28/2039 19,300 19,451
6.780% due 05/28/2039 6,162 6,172
6.790% due 05/01/2039 10,920 10,489
6.830% due 12/01/2039-08/01/2041 (g) 19,216 19,062
6.875% due 11/01/2015 3,153 3,134
6.880% due 02/01/2041 11,520 11,592
6.896% due 07/01/2020 24,706 24,682
6.900% due 12/01/2040 3,469 3,494
6.930% due 01/01/2036 21,741 21,215
7.000% due 11/15/2040 3,645 3,736
7.050% due 05/28/2039-03/25/2040 (g) 4,517 4,431
7.125% due 03/01/2034 4,444 4,489
7.211% due 12/01/2021 2,792 2,831
7.250% due 12/01/2021-04/30/2039 (g) 20,116 20,516
7.310% due 07/30/2039 23,566 23,785
7.315% due 08/01/2019 34,827 33,270
7.317% due 05/01/2019 4,915 4,931
7.375% due 03/01/2019-01/01/2024 (g) 11,469 11,534
7.400% due 02/01/2021 2,403 2,429
7.430% due 12/01/2016-05/01/2025 (g) 90,545 91,678
7.450% due 04/01/2040 7,616 7,561
7.465% due 11/01/2019 34,279 34,846
7.500% due 03/01/2032-09/30/2039 (g) 20,131 20,119
7.630% due 08/01/2041 2,028 2,038
7.650% due 11/01/2018-11/01/2040 (g) 7,560 7,640
7.700% due 11/15/2039 6,753 6,702
7.750% due 11/15/2039 7,033 7,025
8.250% due 10/01/2039 4,722 4,786
---------
459,980
=========
Federal National Mortgage Association 3.4%
5.500% due 02/01/2014-10/14/2028 (g) 213,191 191,547
5.650% due 04/25/2005 91 91
5.654% due 09/01/2017 (d) 4,708 4,557
5.730% due 05/01/2018-03/01/2033 (d)(g) 17,840 17,453
5.740% due 08/01/2029 (d) 1,067 1,043
5.745% due 09/01/2024 (d) 2,832 2,778
5.746% due 05/01/2036 (d) 1,151 1,122
5.748% due 10/01/2032 (d) 16,800 16,433
5.753% due 11/01/2035-05/01/2036 (d)(g) 107,077 104,560
5.758% due 05/01/2036 (d) 57,590 56,160
6.000% due 05/01/2000-01/01/2029 (g) 126,696 120,378
6.194% due 04/01/2027 (d) 167 167
6.200% due 04/25/2005 379 379
6.250% due 07/25/2007 100 100
6.375% due 10/25/2029 53,570 52,448
6.386% due 09/01/2022 (d) 1,553 1,577
6.390% due 05/25/2036 17,144 13,765
6.407% due 12/01/2023 (d) 1,036 1,056
6.485% due 09/01/2022 (d) 1,549 1,563
6.500% due 11/01/2003-03/01/2029 (g) 74,439 71,816
6.573% due 04/01/2026 (d) 1,419 1,447
6.600% due 09/25/2018 4,894 4,908
6.629% due 01/01/2024 (d) 473 489
6.632% due 02/01/2026 (d) 597 617
6.637% due 12/01/2027 (d) 9,611 9,777
6.690% due 01/01/2024 (d) 919 949
6.691% due 08/01/2027 (d) 50,516 51,155
6.750% due 08/01/2003 380 384
6.759% due 09/01/2024 (d) 1,453 1,484
6.770% due 09/01/2005 225 226
6.793% due 07/01/2024 (d) 5,562 5,677
6.813% due 10/01/2027 (d) $ 6,309 $ 6,412
6.832% due 03/01/2025 (d) 3,816 3,913
6.833% due 11/01/2025 (d) 2,416 2,484
6.835% due 07/01/2003 68 68
6.904% due 01/01/2024 (d) 230 238
6.913% due 03/01/2026 (d) 3,231 3,329
6.950% due 11/01/2023-03/25/2026 (d)(g) 468 473
6.977% due 11/01/2025 (d) 4,612 4,726
6.986% due 01/01/2026 (d) 1,517 1,557
6.989% due 11/01/2025 (d) 1,637 1,672
7.000% due 07/01/2001-07/01/2028 (g) 136,412 135,951
7.070% due 01/01/2024 (d) 2,175 2,240
7.083% due 05/01/2026 (d) 728 749
7.096% due 05/01/2024 (d) 2,609 2,732
7.157% due 11/01/2023 (d) 1,058 1,088
7.195% due 09/01/2025 (d) 2,405 2,460
7.250% due 05/01/2002-01/01/2023 (g) 11,176 11,170
7.276% due 12/01/2023 (d) 1,412 1,452
7.350% due 09/01/2027 (d) 2,233 2,313
7.500% due 08/01/2003-10/14/2029 (g) 61,101 61,562
7.566% due 09/01/2023 (d) 3,370 3,479
7.577% due 10/01/2023 (d) 413 421
7.750% due 06/01/2009 190 195
8.000% due 09/01/2001-12/01/2026 (g) 6,030 6,172
8.250% due 10/01/2008-02/01/2017 (g) 588 609
8.500% due 07/01/2001-05/01/2027 (g) 3,027 3,141
9.000% due 10/01/2004-04/01/2017 (g) 1,112 1,160
9.250% due 10/01/2001 9 9
9.500% due 12/01/2006-07/01/2022 (g) 90 97
9.750% due 11/01/2008 71 77
10.000% due 09/01/2003-05/01/2022 (g) 555 602
10.500% due 12/01/2016-04/01/2022 (g) 587 643
10.750% due 03/01/2014 26 28
12.000% due 05/01/2016 12 13
13.000% due 09/01/2013 37 42
13.250% due 09/01/2011 15 18
14.500% due 11/01/2011-01/01/2013 (g) 55 61
14.750% due 08/01/2012-11/01/2012 (g) 201 234
15.000% due 10/15/2012 111 131
15.500% due 10/01/2012-12/01/2012 (g) 19 22
15.750% due 12/01/2011-08/01/2012 (g) 129 153
16.000% due 09/01/2012 133 157
---------
1,000,159
=========
Government National Mortgage Association 15.3%
5.000% due 07/20/2028-08/20/2028 (d)(g) 23,546 23,304
5.500% due 05/20/2028-06/20/2028 (d)(g) 32,532 32,216
5.650% due 10/15/2012 12 11
6.000% due 10/15/2008-10/21/2029 (d)(g) 555,341 521,513
6.125% due 12/20/2020-12/20/2027 (d)(g) 416,315 421,953
6.375% due 06/20/2021-06/20/2027 (d)(g) 593,637 602,320
6.500% due 05/15/2001-10/15/2038 (g) 2,114,771 2,022,814
6.625% due 12/15/2000-01/15/2040 (d)(g) 471,592 477,171
6.750% due 07/15/2001-06/20/2028 (g) 23,349 20,812
6.800% due 09/15/2001-10/15/2040 (g) 3,000 2,947
6.820% due 09/15/2001 10,931 11,095
6.850% due 10/15/2040 6,191 6,255
6.875% due 04/20/2023 (d) 454 461
7.000% due 10/15/2001-11/22/2029 (g) 291,985 286,459
7.125% due 08/20/2027 (d) 51 51
7.500% due 04/15/2007-10/21/2029 (g) 29,888 30,079
8.000% due 05/15/2001-09/20/2026 (g) 2,409 2,478
8.250% due 08/15/2004-05/15/2022 (g) 519 546
8.500% due 06/15/2001-01/20/2027 (g) 7,786 8,053
8.750% due 03/15/2007-07/15/2007 (g) 104 108
9.000% due 06/15/2001-07/20/2022 (g) 4,891 5,150
9.250% due 10/15/2001-12/20/2016 (g) 272 284
9.500% due 04/15/2001-08/15/2023 (g) 4,371 4,693
9.750% due 09/15/2002-01/15/2021 (g) 172 182
10.000% due 04/15/2001-02/15/2025 (g) 3,622 3,953
10.250% due 10/15/1999-02/20/2019 (g) 28 31
10.500% due 06/15/2004-04/20/2016 (g) 230 246
11.000% due 01/15/2001-03/15/2019 (g) 124 137
11.250% due 03/15/2001-12/20/2015 (g) 38 43
11.500% due 10/15/2010-05/15/2013 (g) 10 12
12.000% due 02/15/2000-01/15/2015 (g) 65 74
88 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
12.500% due 01/15/2011 $ 1 $ 2
13.000% due 12/15/2012-10/15/2014 (g) 25 29
13.250% due 10/20/2014 20 23
13.500% due 11/15/2012-12/15/2012 (g) 6 7
15.000% due 02/15/2012-10/15/2012 (g) 112 134
16.000% due 01/15/2012-05/15/2012 (g) 73 87
17.000% due 11/15/2011-12/15/2011 (g) 77 87
----------
4,485,820
==========
Other Mortgage-Backed Securities 0.6%
Aames Mortgage Trust
7.275% due 05/15/2020 9 9
Allied Waste North America, Inc.
8.188% due 07/30/2006 (d) 27,045 26,910
8.250% due 07/30/2007 (d) 7,573 7,573
8.438% due 07/30/2007 (d) 20,554 20,479
Bank of America
9.000% due 03/01/2008 48 48
Citibank, NA
8.000% due 07/25/2018 56 57
DBL Mortgage Funding
9.500% due 08/01/2019 8 8
Federal Home Loan Mortgage Corp.
11.875% due 06/15/2013 45 48
First Interstate Bancorp
9.125% due 01/01/2009 (j) 11 11
General Electric Credit Corp.
8.000% due 03/01/2002 (j) 33 33
7.250% due 07/25/2011 4,807 4,821
German American Capital Corp.
8.360% due 09/30/2002 1,976 1,972
6.581% due 07/01/2018 (d) 8,665 8,506
Great Western Savings & Loan
5.580% due 08/01/2017 (d) 137 135
Guardian
6.601% due 12/25/2018 (d) 98 85
Home Savings of America
8.464% due 08/01/2006 75 74
5.464% due 05/25/2027 (d) 2,560 2,489
6.121% due 08/20/2029 (d) 9,844 9,906
Imperial Savings & Loan
10.000% due 09/01/2016 122 127
8.238% due 01/25/2017 (d) 69 69
8.828% due 07/25/2017 (d) 279 278
LTC Commercial Corp.
7.100% due 11/28/2012 3,712 3,732
MDC Mortgage Funding
8.031% due 01/25/2025 (d) 208 212
Merrill Lynch Mortgage
7.883% due 06/15/2021 (d) 1,229 1,220
Mid-State Trust
8.330% due 04/01/2030 68,694 70,663
Morgan Stanley Mortgage
8.150% due 07/20/2021 7 7
Resolution Trust Corp.
6.800% due 09/25/2020 (d) 359 338
6.968% due 05/25/2029 (d) 3,940 3,893
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 964 991
Sears Mortgage
12.000% due 02/25/2014 755 756
7.217% due 10/25/2022 (d) 2,708 2,738
Western Federal Savings & Loan
6.269% due 11/25/2018 (d) 27 27
----------
168,215
==========
Stripped Mortgage-Backed Securities 0.1%
Bear Stearns Mortgage Securities, Inc. (IO)
7.200% due 07/25/2024 449 39
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 406 16
6.500% due 11/15/2006 1,022 39
6.500% due 03/15/2007 1,339 48
5.750% due 09/15/2007 (d) 6,401 428
6.000% due 10/15/2007 427 27
6.000% due 01/15/2008 179 11
5.428% due 02/15/2008 (d) 639 59
6.400% due 10/15/2008 115 11
6.500% due 08/15/2016 1,378 43
6.500% due 08/15/2017 305 12
7.000% due 04/15/2018 1,145 81
7.500% due 08/15/2018 68 2
8.845% due 01/15/2021 2 51
9.000% due 05/15/2022 119 29
6.500% due 09/15/2023 391 51
6.500% due 06/15/2029 74,088 24,693
Federal National Mortgage Association (IO)
6.750% due 09/25/2004 1 0
7.000% due 06/25/2005 3 0
6.500% due 07/25/2006 2,191 84
7.272% due 09/25/2006 4 36
6.500% due 02/25/2007 2,181 148
6.500% due 07/25/2007 757 35
6.500% due 09/25/2007 2,818 207
6.500% due 10/25/2007 1,002 62
0.100% due 03/25/2009 (d) 31,999 574
7.000% due 08/25/2015 625 6
7.000% due 08/25/2016 254 5
6.500% due 08/25/2020 2,666 340
10.070% due 01/25/2021 0 4
7.500% due 04/25/2021 1,887 305
9.032% due 08/25/2021 7 182
0.950% due 11/25/2021 (d) 30,703 519
6.500% due 10/25/2022 212 20
6.500% due 01/25/2023 3,321 552
Federal National Mortgage Association (PO)
0.000% due 09/01/2007 846 673
0.000% due 02/25/2021 1,299 1,262
0.000% due 06/25/2022 934 894
0.000% due 08/25/2023 295 196
PaineWebber (IO)
13.595% due 08/01/2019 1 60
Vendee Mortgage Trust (IO)
0.542% due 06/15/2023 (d) 173,629 3,072
----------
34,876
----------
Total Mortgage-Backed Securities 16,004,153
==========
(Cost $16,239,569)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 8.8%
- --------------------------------------------------------------------------------
Advanta Mortgage Loan Trust
5.575% due 05/25/2027 (d) 2,536 2,534
Advanta Revolving Home Equity Loan Trust
5.750% due 01/25/2024 (d) 35,400 35,400
AFC Home Equity Loan Trust
6.623% due 10/25/2026 (d) 3,487 3,518
Allied Waste North America, Inc.
8.438% due 07/30/2007 (d) 4,327 4,327
America West Airlines
10.500% due 01/02/2004 (d) 23 22
American Express Credit Account Master Trust
6.800% due 12/15/2003 1,500 1,504
American Stores
5.613% due 08/30/2004 20,000 19,775
Americredit Automobile Receivable Trust
6.540% due 05/12/2001 352 353
5.304% due 10/12/2002 23,000 22,810
5.780% due 05/12/2003 43,000 42,342
Amresco Residential Securities
5.539% due 10/25/2027 (d) 6,381 6,378
5.494% due 05/25/2028 (d) 11,106 11,139
Arcadia Automobile Receivables Trust
6.300% due 07/16/2001 603 604
6.250% due 09/15/2002 83,500 83,396
5.900% due 11/15/2002 22,725 22,714
6.300% due 07/15/2003 26,025 25,975
6.900% due 12/15/2003 26,800 26,773
Associates Manufactured Housing
7.000% due 03/15/2027 9,086 9,126
Auto Receivables Trust
6.500% due 04/16/2003 4 4
See accompanying notes 89
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Banc One Home Equity Trust
6.460% due 06/25/2029 $53,462 $53,278
Bayview Financial Acquisition
5.889% due 02/25/2029 (d) 6,361 6,365
Brazos Student Loan Finance Co.
5.495% due 06/01/2023 (d) 32,700 32,095
5.200% due 12/01/2025 (d) 24,015 24,000
California Infrastructure
6.150% due 06/25/2002 11,356 11,367
Champion Home Equity Loan Trust
5.599% due 03/25/2029 (d) 6,201 6,155
Charter Commercial Holdings LLC
7.810% due 03/31/2008 20,000 20,000
Charter Communications
7.890% due 03/31/2008 17,000 17,064
Chase Manhattan Auto Owner Trust
5.750% due 10/15/2001 431 431
Chase Manhattan Grantor Trust
5.200% due 02/15/2002 321 320
6.610% due 09/15/2002 1,828 1,836
Chase Mortgage Finance Corp.
6.750% due 10/25/2028 30,000 26,437
CMC Securities Corporation IV
7.250% due 11/25/2027 1,227 1,206
Columbia/HCA Healthcare
7.125% due 06/11/2000 25,000 24,750
Community Program Loan Trust
4.500% due 10/01/2018 26,417 23,891
4.500% due 04/01/2029 26,000 19,500
Conseco
6.650% due 09/25/2029 26,000 26,000
Contimortgage Home Equity Loan Trust
6.370% due 10/15/2012 (d) 13,248 13,222
6.130% due 03/15/2013 5,000 4,989
6.150% due 03/15/2013 (d) 3,428 3,429
6.400% due 07/15/2014 2,000 1,992
6.770% due 01/25/2018 41,700 41,600
6.990% due 03/15/2021 350 351
6.930% due 11/25/2022 36,300 36,093
5.409% due 06/15/2028 (d) 4,707 4,703
5.479% due 08/15/2028 (d) 3,934 3,911
Copelco Capital Funding Corp.
6.340% due 07/20/2004 22 22
CPS Auto Trust
5.995% due 06/15/2002 7,000 6,999
CS First Boston Mortgage Securities Corp.
6.750% due 09/25/2028 6,960 6,586
Daimler-Benz Vehicle Trust
6.050% due 03/31/2005 4,691 4,692
Delta Air Lines Equipment Trust
9.230% due 07/02/2002 (j) 7,081 7,405
10.500% due 01/02/2007 (j) 6,839 7,926
10.570% due 01/02/2007 (j) 15,881 19,156
9.550% due 01/02/2008 (j) 7,773 8,513
10.430% due 01/02/2011 960 1,112
10.000% due 06/05/2013 10,828 12,499
Delta Funding Home Equity Loan
6.140% due 02/15/2018 46,849 46,784
Discover Card Master Trust
5.600% due 05/16/2006 1,600 1,541
5.301% due 10/16/2013 (d) 400 401
Duck Auto Grantor Trust
5.650% due 03/15/2004 12,852 12,775
EQCC Home Equity Loan Trust
6.710% due 07/15/2011 330 331
5.540% due 10/15/2027 (d) 1,211 1,195
Equivantage Home Equity Loan Trust
6.550% due 10/25/2025 104 104
Felco Funding LLC
5.980% due 09/15/2001 500 500
Fidelity Equipment Lease Trust
5.860% due 09/15/2001 27,949 27,818
First Omni Bank
6.650% due 09/15/2003 (d) 1,500 1,510
First Security Auto Grantor Trust
6.100% due 04/15/2003 1,359 1,361
First Security Corp.
5.875% due 11/01/2003 9,000 8,614
First Union Master Credit Card Trust
5.096% due 09/15/2003 88,750 88,860
Flag Limited
7.213% due 12/15/2004 (d) 13,501 13,265
Fleet Financial Credit Association
7.760% due 10/18/2017 28,900 28,781
FMAC Loan Receivables Trust
6.200% due 09/15/2020 330 325
6.500% due 09/15/2020 252 248
6.830% due 09/15/2020 680 621
Ford Credit Auto Owner Trust
5.800% due 10/15/2000 361 361
5.310% due 04/16/2001 209 209
5.770% due 11/15/2001 20,000 19,957
Ford Credit Grantor Trust
6.750% due 09/15/2000 639 639
Ford Motor Credit Corp.
5.500% due 02/15/2003 5,300 5,246
Fred Meyer, Inc.
6.250% due 03/19/2003 (d) 12,405 12,297
General Motors Acceptance Corp.
6.500% due 04/15/2002 12,475 12,487
5.770% due 11/18/2025 (d) 50,000 49,920
Green Tree Financial Corp.
7.150% due 07/15/2027 711 715
6.490% due 03/15/2028 59,750 59,784
6.420% due 11/15/2028 2,854 2,857
6.870% due 04/01/2030 1,105 1,023
6.660% due 06/01/2030 1,405 1,263
Green Tree Floorplan Receivables Master Trust
5.750% due 11/01/2004 46,000 46,000
Green Tree Home Improvement Loan
6.390% due 01/15/2029 16,088 16,122
Green Tree Recreational Equipment
6.430% due 04/17/2006 3,300 3,300
Household Consumer Loan Trust
5.800% due 08/15/2006 (d) 26,231 25,927
IKON Receivables LLC
5.600% due 05/15/2005 31,029 30,917
IMC Home Equity Loan Trust
7.373% due 07/25/2026 (d) 875 879
IMPAC Secured Assets CMN Owner
7.770% due 07/25/2025 2,000 1,980
Indymac Home Equity Loan
5.346% due 10/25/2029 (d) 21,965 21,969
Intergrated Health Services
8.875% due 12/31/2005 (d) 14,775 12,116
LP Timberland Limited
5.725% due 11/13/1999 (d) 10,000 9,850
Korea National Housing
8.438% due 05/23/2001 65,000 65,975
Lyondell Petroleum
8.303% due 06/17/2003 7,500 7,463
8.674% due 06/17/2003 3,448 3,431
8.980% due 12/31/2003 (d) 79,700 79,352
MBNA Master Credit Card Trust
6.050% due 11/15/2002 245 245
Mellon Bank Home Equity
5.900% due 10/25/2010 20,924 20,826
Merit Securities Corp.
6.160% due 07/28/2033 11,052 10,992
7.880% due 12/28/2033 34,400 34,024
Metlife Capital Equipment Loan Trust
6.850% due 05/20/2008 (d) 320 321
Metris Master Trust
5.943% due 04/20/2006 (d) 20,000 20,150
Money Store Home Equity Trust
6.115% due 06/15/2010 1,162 1,160
7.550% due 02/15/2020 500 503
6.345% due 11/15/2021 (d) 2,171 2,168
5.399% due 05/15/2025 (d) 8,800 8,802
90 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Morgan Stanley Capital
5.394% due 07/25/2027 (d) $ 1,438 $ 1,433
MPC Natural Gas Funding Trust
6.200% due 03/15/2013 9,731 9,397
Myra-United Mexican States
5.813% due 10/20/2006 (d) 444 402
5.875% due 12/23/2006 (d) 931 819
6.093% due 12/23/2006 (d) 1,283 1,155
6.063% due 12/23/2006 (d) 1,019 897
5.875% due 12/23/2006 (d) 23 21
5.813% due 12/23/2006 (d) 6,045 5,444
5.875% due 12/23/2006 (d) 3,304 2,865
5.813% due 12/23/2006 (d) 5,253 4,691
5.733% due 12/23/2006 (d) 1,561 1,406
5.875% due 12/23/2006 (d) 2,389 2,103
National Medical Care
6.563% due 09/30/2003 (d) 58,333 57,706
NationsBank Corp.
5.850% due 06/15/2002 615 616
Nationsbank Credit Card Master Trust
6.450% due 04/15/2003 225 226
Newcourt Receivable Asset Trust
6.240% due 12/20/2004 8 8
Nomura CBO Limited
6.670% due 05/15/2009 1,900 1,941
Norwest Asset Securities Corp
6.500% due 04/25/2013 21,149 20,332
6.500% due 06/25/2013 10,957 10,529
7.500% due 03/25/2027 28,340 27,874
6.750% due 05/25/2028 27,707 25,651
6.750% due 07/25/2028 12,657 11,611
6.200% due 09/25/2028 19,077 19,018
NPF XI, Inc.
6.815% due 07/01/2001 8,860 8,886
NPF XII, Inc.
7.050% due 06/01/2003 31,000 30,758
Olympic Automobile Receivable Trust
6.050% due 08/15/2002 19,784 19,814
PP&L Transition Bond Co.
6.830% due 03/25/2007 28,800 28,905
Premiere Auto Trust
6.575% due 10/06/2000 602 603
5.770% due 01/06/2002 13,025 13,018
Primedia, Inc.
8.130% due 07/31/2004 (d) 20,000 19,975
Republic of Korea
8.063% due 04/08/2001 (d) 10,000 10,038
Residential Asset Securities Corp.
6.960% due 07/25/2014 55,000 54,983
6.240% due 02/25/2017 7,170 7,112
6.600% due 01/25/2020 5,200 5,190
8.000% due 10/25/2024 (d) 6,965 6,969
5.464% due 10/25/2027 (d) 3,803 3,783
6.750% due 03/25/2028 40,000 37,166
Residential Funding Mortgage
7.000% due 10/29/2029 26,041 24,706
RJR Nabisco
7.500% due 12/31/2001 (d) 25,000 24,531
Salomon Brothers Mortgage Securities
5.639% due 06/25/2029 (d) 51,646 51,630
5.960% due 11/10/2029 27,900 27,900
Saxon Asset Securities Trust
6.475% due 11/25/2020 31 30
5.613% due 05/25/2029 (d) 13,327 13,337
Sears Credit Account Master Trust
6.050% due 01/16/2008 500 494
7.000% due 07/15/2008 500 508
Starwood Hotels & Resorts Worldwide, Inc.
9.133% due 02/23/2003 (d) 20,000 20,000
Stone Container Corp.
8.750% due 10/01/2003 (d) 5,433 5,446
The Money Store Home Equity Trust
7.380% due 03/15/2017 5,044 5,047
6.490% due 10/15/2026 17,000 16,791
Total Renal Care Holdings
8.125% due 03/31/2008 $ 47,520 $ 47,461
Toyota Auto Lease Trust
6.450% due 04/26/2004 300 300
UCFC Manufactured Housing
5.240% due 01/15/2010 (d) 13,063 13,045
UniCapital Corp.
6.540% due 07/23/2002 39,800 39,800
United Air Lines Equipment Trust
9.200% due 03/22/2008 4,137 4,404
10.360% due 11/13/2012 7,000 8,116
10.020% due 03/22/2014 6,925 7,744
10.850% due 07/05/2014 34,111 41,102
10.850% due 02/19/2015 1,500 1,769
10.125% due 03/22/2015 14,300 16,803
9.060% due 06/17/2015 5,000 5,121
9.210% due 01/21/2017 2,000 2,131
USAA Auto Loan Grantor Trust
6.150% due 05/15/2004 3,139 3,137
5.800% due 01/15/2005 5,353 5,334
WFS Financial Owner Trust
6.050% due 07/20/2001 230 229
6.500% due 09/20/2001 1,095 1,098
WWC Mortgage Loan
5.831% due 09/25/2029 97,000 97,000
Ziff-Davis, Inc.
8.813% due 03/31/2006 15,000 15,009
----------
Total Asset-Backed Securities 2,578,221
----------
(Cost $2,590,257)
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 3.8%
- --------------------------------------------------------------------------------
African Development Bank
9.300% due 07/01/2000 200 205
Alcan Aluminum
5.875% due 04/01/2000 250 250
Banco Nacional de Comercio Exterior
7.500% due 07/01/2000 2,000 2,011
Cemex SA
10.750% due 07/15/2000 6,250 6,406
Central Bank Philippines
6.000% due 06/01/2008 (d) 14,240 13,172
Citibank Nassau
9.750% due 04/26/2000 17,100 17,142
City of Buenos Aires
11.250% due 04/11/2007 5,000 4,218
Credit Lyonnais
5.688% due 07/21/2000 (d) 6,750 6,721
Embotelladora Africa SA
9.875% due 03/15/2006 8,500 8,844
Export-Import Bank Korea
6.500% due 11/15/2006 5,000 4,738
Hellenic Republic
5.828% due 06/06/2001 (d) 20,000 20,091
Hydro Quebec
7.375% due 02/01/2003 150 154
9.400% due 02/01/2021 500 608
8.500% due 12/01/2029 5,085 5,610
9.375% due 04/15/2030 600 727
9.500% due 11/15/2030 2,370 2,911
Kingdom of Sweden
10.250% due 11/01/2015 500 643
Korea Development Bank
6.510% due 10/20/2000 11,000 10,977
8.600% due 03/25/2002 1,600 1,633
6.500% due 11/15/2002 2,040 1,967
7.125% due 04/22/2004 19,125 18,560
Korean Export-Import Bank
7.125% due 09/20/2001 10,000 9,872
Nacional Financiera
8.693% due 12/01/2000 (d) 510 521
9.750% due 03/12/2002 10,000 10,200
6.875% due 05/08/2003 (d) 7,750 7,401
Petroleos Mexicanos
7.750% due 10/29/1999 1,000 1,000
9.375% due 12/02/2008 33,150 33,794
See accompanying notes 91
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Providence of Newfoundland
9.000% due 06/01/2019 $ 500 $ 576
Province of Buenos Aires
12.500% due 03/15/2002 10,400 9,880
Province of Nova Scotia
9.375% due 07/15/2002 1,000 1,069
Province of Ontario
6.125% due 06/28/2000 800 803
7.750% due 06/04/2002 200 207
7.625% due 06/22/2004 1,000 1,042
7.000% due 08/04/2005 1,000 1,015
5.500% due 10/01/2008 10,000 9,130
Province of Quebec
7.500% due 07/15/2002 6,000 6,158
8.800% due 04/15/2003 100 107
5.650% due 06/11/2004 (d) 15,500 15,475
7.125% due 02/09/2024 910 873
Republic of Argentina
10.950% due 11/01/1999 7,575 7,604
14.250% due 11/30/2002 (d) 56,511 53,403
11.447% due 04/10/2005 (d) 143,500 126,474
Republic of Bulgaria
6.500% due 07/28/2011 (d) 5,000 3,545
2.750% due 07/28/2012 (d) 20,000 12,563
6.500% due 07/28/2024 (d) 10,000 6,874
Republic of Chile
6.875% due 04/28/2009 25,000 23,491
Republic of Colombia
8.750% due 10/06/1999 1,000 1,000
7.625% due 02/15/2007 6,200 4,828
8.625% due 04/01/2008 5,000 4,024
Republic of Germany
0.000% due 07/04/2028 61,000 55,643
Republic of Korea
7.594% due 04/08/2000 (d) 88,000 88,330
8.281% due 04/08/2000 (d) 31,044 31,160
Republic of Philippines
6.377% due 01/05/2005 (d) 16,652 15,905
6.000% due 12/01/2007 10,438 9,629
6.500% due 12/01/2017 4,216 3,544
Republic of Poland
5.000% due 10/27/2014 35,265 31,033
3.000% due 10/27/2024 (d) 33,000 20,090
Republica Orient Uruguay
7.250% due 05/04/2009 2,500 2,400
Royal Bank of Scotland Group PLC
6.400% due 04/01/2009 15,000 13,898
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 42,300 43,397
State of Israel
6.200% due 06/14/2003 25 24
State of Qatar
9.500% due 05/21/2009 30,000 30,975
United Mexican States
6.313% due 03/20/2000 (d) 306 304
6.625% due 03/20/2000 (d) 153 150
5.750% due 04/07/2000 (d) 54,645 54,027
6.000% due 04/07/2000 (d) 26,945 26,770
6.768% due 06/27/2002 (d) 101,701 98,922
7.000% due 06/02/2003 200 127
6.263% due 04/07/2004 (d) 17,681 18,899
9.060% due 04/07/2004 (d) 35,486 35,681
6.250% due 12/31/2019 6,250 4,647
5.874% due 12/31/2019 8,000 6,896
5.875% due 12/31/2019 (d) 49,500 42,666
----------
Total Sovereign Issues 1,115,634
(Cost $1,115,536) ==========
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.6%
- --------------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 2,475 2,506
City of Montreal
11.500% due 09/20/2000 C$ 7,000 5,032
Commonwealth of Canada
6.500% due 06/01/2004 1,000 703
Commonwealth of New Zealand
0.000% due 03/15/2002 N$ 132,500 74,468
0.000% due 04/15/2003 105,400 52,959
4.500% due 02/15/2016 23,000 11,886
Export-Import Bank Korea
3.162% due 10/06/2000 (d) DM 5,000 2,655
France Telecom
2.000% due 01/01/2004 FF 9,761 1,824
Interamerican Development Bank
5.750% due 04/15/2004 N$ 35,400 17,115
Korea Development Bank
2.850% due 05/14/2001 (d) DM 50,000 26,622
2.560% due 06/26/2001 JY 2,500,000 23,870
Newcourt Credit Group
7.625% due 06/28/2001 C$ 9,400 6,475
Province of Saskatchewan
9.125% due 02/15/2021 $ 3,000 3,611
Republic of Argentina
5.500% due 03/27/2001 JY 4,290,000 40,130
Republic of Philippines
8.000% due 09/17/2004 EC 10,000 10,982
Reynolds, R.J
6.875% due 11/22/2000 DM 9,500 5,277
United Mexican States
3.100% due 04/24/2002 JY 2,542,000 23,663
8.750% due 05/30/2002 BP 23,000 37,527
7.000% due 06/02/2003 C$ 30,000 19,250
6.630% due 12/31/2019 FF 60,000 8,920
1.573% due 12/31/2019 (d) JY 1,662,500 12,736
3.850% due 12/31/2019 9,145,000 74,267
----------
Total Foreign Currency-Denominated Issues 462,478
(Cost $445,993) ==========
- --------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.3%
- --------------------------------------------------------------------------------
Banking & Finance 0.1%
ACOM Co. Limited
0.000% due 03/31/2002 150,000 1,917
American Express
1.125% due 02/19/2003 1,425 1,731
Bell Atlantic Financial Services
5.750% due 04/01/2003 7,000 7,088
Deutsche Bank Financial
0.000% due 02/12/2017 13,150 6,189
Fuji International Finance Trust
0.250% due 02/01/2002 720,000 6,969
Hellenic Finance
2.000% due 07/15/2003 2,000 2,191
Morgan St. Dean Witter
0.000% due 03/02/2006 5,860 5,450
Swiss Life Finance Limited
2.000% due 05/20/2005 1,500 1,438
-------
32,973
=======
Consumer Discretionary 0.1%
Costco Wholesale Corp.
0.000% due 08/19/2017 2,000 1,730
Home Depot, Inc.
3.250% due 10/01/2001 1,000 2,966
Interpublic Group Co., Inc.
1.870% due 06/01/2006 3,000 2,760
-------
7,456
=======
Energy 0.0%
Devon Energy Corp.
4.900% due 08/15/2008 2,000 1,970
Diamond Offshore Drill
3.750% due 02/15/2007 2,250 2,368
-------
4,338
=======
Health Care 0.0%
Alpharma, Inc.
5.750% due 04/01/2005 1,000 1,325
Athena Neurosciences, Inc.
4.750% due 11/15/2004 2,000 2,248
Wellpoint Health Network
0.000% due 07/02/2019 5,000 2,906
-------
6,479
=======
92 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Industrial 0.0%
Sanmina Corp.
4.250% due 05/01/2004 $ 3,000 $ 3,353
--------
Technology 0.1%
ASM Lithography Holding
2.500% due 04/09/2005 1,500 843
Hewlett-Packard Co.
0.000% due 10/14/2017 5,950 3,600
Intel Corp.
4.000% due 09/01/2004 1,000 2,489
Mindspring Enterprises
5.000% due 04/15/2006 2,000 1,858
Stmicroelectron
0.000% due 09/22/2009 3,500 2,853
U.S. Cellular Corp.
0.000% due 06/15/2015 3,500 2,244
Veritas Software Corp.
1.856% due 08/13/2006 2,500 2,644
Xerox Corp.
0.570% due 04/21/2018 4,000 2,225
--------
18,756
========
Utilities 0.0%
Clear Channel Communications
2.625% due 04/01/2003 2,200 3,091
Telefonos De Mexico SA
4.250% due 06/15/2004 3,400 3,239
--------
6,330
--------
Total Convertible Bonds & Notes 79,685
========
(Cost $75,619)
- --------------------------------------------------------------------------------
PREFERRED STOCK 0.1%
- --------------------------------------------------------------------------------
Shares
Banco Bilbao Vizcaya International
9.750% due 12/31/2049 266,217 6,922
Barclays Bank
11.500% due 12/31/2049 215,500 5,657
CSC Holdings, Inc.
11.125% due 12/31/2049 22,937 2,460
Fresenius Medical Care
7.875% due 02/01/2008 4,000 3,675
Home Ownership Funding
13.331% due 12/31/2049 1,125 934
News Corp. Limited
5.000% due 11/12/2016 100,000 5,831
TCI Communications, Inc.
10.000% due 05/31/2045 49,000 1,277
9.720% due 12/31/2036 622,553 16,381
Unocal Capital Trust
6.250% due 12/31/2049 402 22
-------
Total Preferred Stock 43,159
=======
- --------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK 0.1%
- --------------------------------------------------------------------------------
Banking & Finance 0.0%
Lincoln National Corp. Cvt. Pfd.
7.750% due 08/16/2001 100,000 2,094
Newell Financial Trust Cvt. Pfd.
5.250% due 12/01/2027 50,000 2,025
Tokai Bank Cvt. Pfd.
0.000% due 10/01/2004 72,000 574
Union Pacific Capital Trust Cvt. Pfd.
G250% due 04/01/2028 50,000 2,281
-------
6,974
=======
Energy 0.1%
apache Corp. Cvt. Pfd.
6.500% due 05/15/2002 60,000 2,400
Coastel Corp. Cvt. Pfd.
6.625% due 08/16/2002 135,000 3,518
Kerr-McGee Corp. Cvt. Pfd.
5.500% due 08/01/2004 77,000 3,022
-------
8,940
=======
Industrial 0.0%
Sealed Air Corp. Cvt. Pfd.
4.000% due 04/01/2018 40,000 $ 2,030
-------
Technology 0.0%
Verio, Inc. Cvt. Pfd.
6.750% due 08/01/2007 45,000 1,941
-------
Utilities 0.0%
Cox Communications, Inc. Cvt. Pfd.
7.000% due 08/16/2002 50,000 2,888
Reliant Energy, Inc. Cvt. Pfd. 20,000 2,040
Utilicorp United Cvt. Pfd.
9.750% due 11/16/2002 100,000 2,525
-------
7,453
-------
Total Convertible Preferred Stock 27,338
=======
(Cost $29.024)
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 3.6%
- --------------------------------------------------------------------------------
Principal
Amount
(000s)
Certificates of Deposit 0.3%
Commerzbank AG
6.200% due 05/10/2000 $ 85,500 84,854
-------
Commercial Paper 2.9%
American Express
5.280% due 10/12/1999 1,400 1,388
5.280% due 10/27/1999 22,800 22,703
American Express
5.280% due 10/12/1999 3,400 3,395
Banc One Finance Corp.
5.750% due 02/09/2000 24,000 23,514
Bellsouth Telecom
5.270% due 10/04/1999 3,700 3,698
5.320% due 10/04/1999 1,300 1,299
5.290% due 10/26/1999 5,200 5,181
Coca Cola Co.
5.270% due 10/13/1999 300 299
5.270% due 10/22/1999 6,400 6,380
5.280% due 10/29/1999 2,000 1,992
Crown Cork & Seal Co.
6.250% due 02/11/2000 15,000 14,693
Export Development Corp.
5.270% due 10/04/1999 1,652 1,651
Federal Home Loan Mortgage Corp.
5.190% due 10/07/1999 1,000 999
5.150% due 10/07/1999 900 898
5.200% due 10/28/1999 2,900 2,889
Federal National Mortgage Assn.
5.156% due 10/04/1999 380 380
5.240% due 10/04/1999 200 200
5.160% due 10/27/1999 8,000 7,970
General Electric Capital Corp.
5.300% due 10/18/1999 200 199
5.300% due 10/20/1999 400 399
5.680% due 01/26/2000 5,200 5,107
5.760% due 02/24/2000 25,000 24,416
General Motors Acceptance Corp.
5.300% due 10/19/1999 2,400 2,394
Goodyear Tire & Rubber Co.
6.250% due 01/26/2000 800 784
Hewlett-Packard Co.
5.310% due 10/05/1999 5,400 5,397
5.300% due 10/07/1999 2,400 2,398
IBM Corp.
5.270% due 10/12/1999 1,200 1,198
MCI Worldcom, Inc.
6.180% due 01/27/2000 300 295
5.360% due 01/27/2000 7,500 7,368
5.425% due 01/27/2000 2,100 2,062
5.450% due 01/27/2000 5,000 4,911
5.455% due 01/27/2000 4,800 4,714
See accompanying notes 93
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
5.469% due 01/27/2000 $ 10,800 $ 10,607
5.475% due 01/27/2000 2,600 2,553
5.485% due 01/27/2000 11,500 11,293
5.515% due 01/27/2000 1,300 1,277
6.040% due 01/27/2000 1,000 982
6.090% due 01/27/2000 1,500 1,473
5.130% due 02/18/2000 100,000 99,996
Mobil Australia
5.300% due 10/25/1999 300 299
Orix America, Inc
6.000% 02/09/2000 50,000 48,909
Penzoil Quaker State
5.530% due 02/18/2000 100,000 97,849
Procter & Gamble Co.
5.280% due 10/04/1999 100 100
5.290% due 10/04/1999 400 400
5.310% due 10/04/1999 200 200
5.280% due 10/20/1999 100 100
5.280% due 10/27/1999 1,900 1,893
Province of British Columbia
5.680% due 03/13/2000 10,000 9,743
Southwestern Public Service
5.280% due 10/22/1999 2,100 2,094
5.750% due 01/26/2000 20,000 19,626
Texas Utilities Co.
5.260% due 01/21/2000 12,600 12,386
5.930% due 01/21/2000 400 393
6.290% due 01/21/2000 1,200 1,177
6.090% due 01/21/2000 1,000 983
5.240% due 01/21/2000 10,500 10,322
5.990% due 01/21/2000 800 786
5.510% due 01/21/2000 3,100 3,047
5.400% due 01/21/2000 5,700 5,604
5.360% due 01/21/2000 6,800 6,685
5.260% due 01/21/2000 45,100 44,337
5.400% due 01/21/2000 10,200 10,027
6.070% due 01/21/2000 1,000 983
TRW, Inc.
6.220% due 02/09/2000 4,700 4,605
United Parcel Service Co.
5.330% due 10/04/1999 4,100 4,098
5.250% due 10/04/1999 6,700 6,697
5.270% due 10/04/1999 300 300
US West Capital Funding
5.960% due 03/24/2000 140,300 136,422
US West Communications
6.246% due 02/08/2000 10,900 10,683
6.090% due 03/24/2000 17,700 17,211
6.220% due 03/24/2000 4,300 4,181
6.210% due 03/24/2000 3,000 2,909
6.190% due 03/24/2000 10,100 9,821
6.090% due 03/24/2000 3,000 2,917
5.990% due 03/24/2000 1,000 972
6.140% due 03/24/2000 5,000 4,862
6.120% due 03/24/2000 33,600 32,600
Warner-Lambert Co.
5.270% due 10/05/1999 900 899
Williams Holdings
5.500% due 01/25/2000 3,000 2,947
6.210% due 01/25/2000 20,000 19,647
5.610% due 01/25/2000 600 589
5.500% due 01/25/2000 800 786
5.360% due 01/25/2000 13,400 13,165
5.670% due 01/25/2000 4,800 4,715
5.360% due 01/25/2000 6,400 6,289
Wisconsin Electric
5.270% due 10/01/1999 900 900
5.290% due 10/15/1999 3,550 3,543
5.300% due 11/02/1999 5,200 5,176
--------
864,229
--------
Promissory Note 0.2%
Goldman Sachs Group
6.000% due 02/09/2000 75,000 75,000
--------
Repurchase Agreement 0.1%
State Street Bank
4.800% due 10/01/1999 $ 19,538 $ 19,538
--------
(Dated 09/30/1999. Collateralized by
Federal National Mortgage Association
0.000% 02/01/2000 valued at $19,930,628
Repurchase proceeds are $19,540,605.)
U.S. Treasury Bills (b) 0.1%
4.739% due 01/13/2000-02/17/2000 (g) 18,825 18,500
--------
Total Short-Term Instruments 1,062,121
--------
(Cost $1,062,393)
Total Investments (a) 126.1% $ 36,954,117
(Cost $37,318,886)
Written Options (c) (0.1% ) (27,977)
(Premiums $37,891)
Other Assets and Liabilities (Net) (26.0% ) (7,614,537)
--------
Net Assets 100.0% $ 29,311,603
--------
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $ 158,519
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value (523,288)
--------
Unrealized depreciation-net $ (364,769)
--------
(b) Securities with an aggregate market value of $128,255
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar March Futures (03/2000) 496 $ (1,191)
Eurodollar June Futures (06/2000) 2,973 (6,425)
Eurodollar September Futures (09/2000) 11,420 (7,350)
Eurodollar December Futures (12/1999) 3,544 (6,571)
Eurodollar December Futures (12/2000) 6,715 964
Municipal Bond Index (12/1999) 865 (2,470)
Government of Japan 10 Year Note (3/2000) 100 (2,461)
U.S. Treasury 2 Year Note (12/1999) 38 18
U.S. Treasury 5 Year Note (12/1999) 11,118 (1,894)
U.S. Treasury 10 Year Note (12/1999) 32,964 2,868
U.S. Treasury 10 Year Note (03/2000) 650 284
U.S. Treasury 30 Year Bond (12/1999) 5,387 996
U.S. Treasury 30 Year Bond (03/2000) 100 (38)
----------
$ (23,270)
==========
See accompanying notes 94
<PAGE>
- --------------------------------------------------------------------------------
(c) Premiums received on written options:
# of
Type Contracts Premium Value
- --------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 118.00 Exp. 11/20/1999 900 $ 192 $ 196
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 120.00 Exp. 11/20/1999 21,584 7,215 2,361
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 110.00 Exp. 11/20/1999 18,990 8,323 6,231
Put - OTC U.S.Treasury Note
5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 155,900 646 2
Call - OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 100.406 Exp. 11/08/1999 165,000 877 1,014
Call - OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 100.469 Exp. 11/08/1999 277,000 1,558 1,643
Put- OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 99.594 Exp. 11/20/1999 246,000 1,441 1,720
Put - CME Eurodollar December Futures
Strike @ 94.250 Exp. 12/13/1999 2,628 657 683
Put - CME Eurodollar December Futures
Strike @ 94.500 Exp. 12/13/1999 2,500 595 1,188
Put - CME Eurodollar December Futures
Strike @ 94.000 Exp. 12/13/1999 27,988 4,925 3,079
Put - CME Eurodollar December Futures
Strike @ 93.500 Exp. 12/18/2000 21,665 9,074 7,908
Put - LIFFE BP 90 Day LIBOR
Strike @ 93.000 Exp. 06/21/2000 179 120 98
Put - LIFFE EURIBOR September Futures
Strike @ 96.000 Exp. 09/18/2000 58 51 48
Put - LIFFE BP 90 Day LIBOR
Strike @ 93.000 Exp. 09/20/2000 1,942 2,217 1,806
------------------
$ 37,891 $ 27,977
==================
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell BP 25,834 10/1999 $ (82)
Sell C$ 33,873 10/1999 (292)
Sell 9,841 05/2000 32
Sell EC 114,694 10/1999 (1,284)
Sell 4,359 11/1999 (80)
Sell 6,200 01/2000 (269)
Sell 5,391 02/2000 46
Sell 1,283 03/2000 (36)
Buy JY 2,975,392 02/2000 1,134
Sell 18,182,330 02/2000 (4,883)
Sell 229,202 04/2000 (211)
Sell 4,519,202 04/2000 (4,618)
Buy N$ 7,970 10/1999 12
Sell 49,095 10/1999 494
Buy PZ 45,000 01/2000 (378)
Buy 40,000 02/2000 (480)
Buy 10,000 03/2000 15
-----------
$ (10,880)
===========
(f) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
EC - European Currency Unit
FF - French Franc
JY - Japanese Yen
N$ - New Zealand Dollar
PZ- Polish Zloty
(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 September 30, 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$ (8,325)
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 11,635,000 (3,049)
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 7,563,000 (2,037)
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 7,000,000 2,856
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 5.950%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par
Broker: Deutsche Bank AG New York
Exp. 03/17/2001 $ 70,000 (704)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 5.700% .
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par
Broker: Deutsche Bank AG New York
Exp. 03/28/2001 1,300 (17)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 6.150%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 30,400 (400)
------------
$ (11,676)
============
(l) Subject to a financing transaction.
See accompanying notes 95
<PAGE>
Financial Highlights - A, B, and C Classes
<TABLE>
<CAPTION>
Net Realized /
Net Asset Value Unrealized Gain Total Income Dividends from
Selected Per Share Data for the Beginning of Net Investment (Loss) on from Investment Net Investment
Year or Period Ended: Period Income (Loss) Investments Operations Income
-------------- -------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Convertible Bond Fund
Class A
05/28/1999 - 09/30/1999 (e) $ 10.67 $ (0.05)(a) $ 0.73 (a) $ 0.68 $ 0.00
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
Class B
05/28/1999 - 09/30/1999 (e) 10.67 (0.05)(a) 0.71 (a) 0.66 0.00
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
Class C
05/28/1999 - 09/30/1999 (e) 10.67 (0.05)(a) 0.72 (a) 0.67 0.00
========================================== ============== ============== =============== =============== ===============
Emerging Markets Bond Fund
Class A
09/30/1999 (e) $ 7.51 $ 0.44 (a) $ 0.16 (a) $ 0.60 $ (0.43)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
03/31/1999 9.67 0.83 (a) (2.11)(a) (1.28) (0.83)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
07/31/1997 - 03/31/1998 10.00 0.44 (a) (0.18)(a) 0.26 (0.44)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
Class B
09/30/1999 (e) 7.51 0.40 (a) 0.18 (a) 0.58 (0.41)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
03/31/1999 9.67 0.77 (a) (2.11)(a) (1.34) (0.77)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
07/31/1997 - 03/31/1998 10.00 0.40 (a) (0.20)(a) 0.20 (0.38)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
Class C
09/30/1999 (e) 7.51 0.40 (a) 0.18 (a) 0.58 (0.41)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
03/31/1999 9.67 0.77 (a) (2.11)(a) (1.34) (0.77)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
07/31/1997 - 03/31/1998 10.00 0.38 (a) (0.18)(a) 0.20 (0.38)
========================================== ============== ============== =============== =============== ===============
Foreign Bond Fund
Class A
09/30/1999 (e) $ 10.63 $ 0.29 (a) $ (0.48)(a) $ (0.19) $ (0.30)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
03/31/1999 10.74 0.53 (a) 0.24 (a) 0.77 (0.53)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
03/31/1998 10.41 0.61 (a) 0.62 (a) 1.23 (0.59)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
01/20/1997 - 03/31/1997 10.59 0.59 (0.72) (0.13) (0.05)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
Class B
09/30/1999 (e) 10.63 0.26 (a) (0.49)(a) (0.23) (0.26)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
03/31/1999 10.74 0.46 (a) 0.24 (a) 0.70 (0.46)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
03/31/1998 10.41 0.53 (a) 0.61 (a) 1.14 (0.50)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
01/20/1997 - 03/31/1997 10.59 0.58 (0.72) (0.14) (0.04)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
Class C
09/30/1999 (e) 10.63 0.26 (a) (0.49)(a) (0.23) (0.26)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
03/31/1999 10.74 0.45 (a) 0.24 (a) 0.69 (0.45)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
03/31/1998 10.41 0.52 (a) 0.62 (a) 1.14 (0.50)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
01/20/1997 - 03/31/1997 10.59 0.58 (0.72) (0.14) (0.04)
========================================== ============== ============== =============== =============== ===============
Global Bond Fund II
Class A
09/30/1999 (e) $ 9.89 $ 0.26 (a) $ (0.45) (a) $ (0.19) $ (0.25)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
03/31/1999 9.92 0.48 (a) 0.06 (a) 0.54 (0.48)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
03/31/1998 10.84 0.64 (a) 0.51 (a) 1.15 0.00
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
10/01/1996 - 03/31/1997 10.96 0.66 (0.16) 0.50 (0.22)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
09/30/1996 (a) 10.00 0.32 (b) 0.95 1.27 (0.31)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
Class B
09/30/1999 (e) 9.89 0.22 (a) (0.44) (a) (0.22) (0.22)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
03/31/1999 9.92 0.41 (a) 0.06 (a) 0.47 (0.41)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
03/31/1998 10.84 0.66 (a) 0.41 (a) 1.07 0.00
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
10/01/1996 - 03/31/1997 10.96 0.62 (0.16) 0.46 (0.18)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
09/30/1996 (a) 10.00 0.30 (b) 0.92 1.22 (0.26)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
Class C
09/30/1999 (e) 9.89 0.22 (a) (0.44) (a) (0.22) (0.22)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
03/31/1999 9.92 0.41 (a) 0.06 (a) 0.47 (0.41)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
03/31/1998 10.84 0.55 (a) 0.52 (a) 1.07 0.00
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
10/01/1996 - 03/31/1997 10.96 0.62 (0.16) 0.46 (0.18)
- ------------------------------------------ -------------- -------------- --------------- --------------- ---------------
09/30/1996 (a) 10.00 0.30 (b) 0.92 1.22 (0.26)
========================================== ============== ============== =============== =============== ===============
</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%.
(e) Unaudited
96 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Dividends in Distributions Distributions in
Excess of Net from Net Excess of Net
Investment Realized Capital Realized Capital Total Net Asset Value
Income Gains Gain Distributions End of Period
- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C>
$ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 11.35
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 0.00 0.00 0.00 11.33
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 0.00 0.00 0.00 11.34
- ---------------- ---------------- ---------------- ---------------- ---------------
$ 0.00 $ 0.00 $ 0.00 $ (0.43) $ 7.68
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 0.00 (0.05) (0.88) 7.51
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 (0.15) 0.00 (0.59) 9.67
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 0.00 0.00 (0.41) 7.68
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 0.00 (0.05) (0.82) 7.51
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 (0.15) 0.00 (0.53) 9.67
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 0.00 0.00 (0.41) 7.68
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 0.00 (0.05) (0.82) 7.51
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 (0.15) 0.00 (0.53) 9.67
- ---------------- ---------------- ---------------- ---------------- ---------------
$ 0.00 $ 0.00 $ 0.00 $ (0.30) $ 10.14
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 (0.10) (0.25) (0.88) 10.63
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 (0.31) 0.00 (0.90) 10.74
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 0.00 0.00 (0.05) 10.41
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 0.00 0.00 (0.26) 10.14
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 (0.10) (0.25) (0.81) 10.63
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 (0.31) 0.00 (0.81) 10.74
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 0.00 0.00 (0.04) 10.41
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 0.00 0.00 (0.26) 10.14
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 (0.10) (0.25) (0.80) 10.63
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 (0.31) 0.00 (0.81) 10.74
- ---------------- ---------------- ---------------- ---------------- ---------------
(0.00) 0.00 0.00 (0.04) 10.41
- ---------------- ---------------- ---------------- ---------------- ---------------
$ 0.00 $ 0.00 $ 0.00 $ (0.25) $ 9.45
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 (0.01) (0.08) (0.57) 9.89
- ---------------- ---------------- ---------------- ---------------- ---------------
(0.54) (1.53) 0.00 (2.07) 9.92
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 (0.40) 0.00 (0.62) 10.84
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 0.00 0.00 (0.31) 10.96
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 0.00 0.00 (0.22) 9.45
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 (0.01) (0.08) (0.50) 9.89
- ---------------- ---------------- ---------------- ---------------- ---------------
(0.46) (1.53) 0.00 (1.99) 9.92
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 (0.40) 0.00 (0.58) 10.84
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 0.00 0.00 (0.26) 10.96
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 0.00 0.00 (0.22) 9.45
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 (0.01) (0.08) (0.50) 9.89
- ---------------- ---------------- ---------------- ---------------- ---------------
(0.46) (1.53) 0.00 (1.99) 9.92
- ---------------- ---------------- ---------------- ---------------- ---------------
(0.00) (0.40) 0.00 (0.58) 10.84
- ---------------- ---------------- ---------------- ---------------- ---------------
0.00 0.00 0.00 (0.26) 10.96
- ---------------- ---------------- ---------------- ---------------- ---------------
</TABLE>
<TABLE>
<CAPTION>
Ratio of net
Ratio of Investment
Expenses to Income (Loss)
Net Assets End Average net to Average Portfolio
Total Returns of Period (000s) Assets Net Assets Turnover Rate
- ---------------- ---------------- ---------------- ---------------- --------------
<S> <C> <C> <C> <C>
6.37% $ 270 1.10%+ (f) (0.85)%+ 205%
- ---------------- ---------------- ---------------- ---------------- --------------
6.19 434 1.84+ (1.33)+ 205
- ---------------- ---------------- ---------------- ---------------- --------------
6.28 1,913 1.83+ (1.42)+ 205
- ---------------- ---------------- ---------------- ---------------- --------------
8.23% $ 249 1.31%+ (g) 11.49%+ 188%
- ---------------- ---------------- ---------------- ---------------- --------------
(12.90) 172 1.25 10.26 315
- ---------------- ---------------- ---------------- ---------------- --------------
2.84 317 1.26+ 6.93+ 695
- ---------------- ---------------- ---------------- ---------------- --------------
7.82 894 2.03+ 10.46+ 188
- ---------------- ---------------- ---------------- ---------------- --------------
(13.58) 398 2.00 9.68 315
- ---------------- ---------------- ---------------- ---------------- --------------
2.29 304 2.01+ 6.33+ 695
- ---------------- ---------------- ---------------- ---------------- --------------
7.82 271 2.04+ 10.52+ 188
- ---------------- ---------------- ---------------- ---------------- --------------
(13.57) 229 2.00 9.79 315
- ---------------- ---------------- ---------------- ---------------- --------------
2.29 136 2.01+ 6.11+ 695
- ---------------- ---------------- ---------------- ---------------- --------------
(1.85)% $ 47,318 1.04%+ (h) 5.64%+ 90%
- ---------------- ---------------- ---------------- ---------------- --------------
7.43 29,009 0.95 4.87 376
- ---------------- ---------------- ---------------- ---------------- --------------
12.14 9,582 0.95 5.88 280
- ---------------- ---------------- ---------------- ---------------- --------------
(1.21) 704 0.97+ 4.95+ 984
- ---------------- ---------------- ---------------- ---------------- --------------
(2.22) 23,973 1.79+ (i) 4.92+ 90
- ---------------- ---------------- ---------------- ---------------- --------------
6.69 21,256 1.70 4.14 376
- ---------------- ---------------- ---------------- ---------------- --------------
11.29 10,631 1.70 5.13 280
- ---------------- ---------------- ---------------- ---------------- --------------
(1.34) 1,221 1.75+ 3.73+ 984
- ---------------- ---------------- ---------------- ---------------- --------------
(2.22) 30,950 1.79+ (j) 4.93+ 90
- ---------------- ---------------- ---------------- ---------------- --------------
6.63 29,584 1.70 4.16 376
- ---------------- ---------------- ---------------- ---------------- --------------
11.29 17,080 1.70 5.13 280
- ---------------- ---------------- ---------------- ---------------- --------------
(1.32) 1,788 1.76+ 4.09+ 984
- ---------------- ---------------- ---------------- ---------------- --------------
(1.89)% $ 2,897 0.98%+ 5.40%+ 55%
- ---------------- ---------------- ---------------- ---------------- --------------
5.65 2,728 0.95 5.07 236
- ---------------- ---------------- ---------------- ---------------- --------------
11.21 6,816 0.95 5.88 369
- ---------------- ---------------- ---------------- ---------------- --------------
4.55 7,652 2.05+ 5.60+ 307
- ---------------- ---------------- ---------------- ---------------- --------------
15.01 7,360 1.27 (c) 4.88 (d) 1246
- ---------------- ---------------- ---------------- ---------------- --------------
(2.25) 4,955 1.73+ 4.56+ 55
- ---------------- ---------------- ---------------- ---------------- --------------
4.85 4,909 1.70 4.16 236
- ---------------- ---------------- ---------------- ---------------- --------------
10.39 4,473 1.70 5.12 369
- ---------------- ---------------- ---------------- ---------------- --------------
4.17 3,925 2.57+ 4.22+ 307
- ---------------- ---------------- ---------------- ---------------- --------------
14.54 3,240 2.49 (c) 4.09 (d) 1246
- ---------------- ---------------- ---------------- ---------------- --------------
(2.26) 6,019 1.73+ 4.53+ 55
- ---------------- ---------------- ---------------- ---------------- --------------
4.82 5,863 1.70 4.16 236
- ---------------- ---------------- ---------------- ---------------- --------------
10.39 6,096 1.70 5.12 369
- ---------------- ---------------- ---------------- ---------------- --------------
4.17 5,323 2.43+ 4.14+ 307
- ---------------- ---------------- ---------------- ---------------- --------------
14.54 3,459 2.49 (c) 4.09 (d) 1246
- ---------------- ---------------- ---------------- ---------------- --------------
</TABLE>
(f) Ratio of expenses to average net assets excluding interest expense is 1.05%.
(g) Ratio of expenses to average net assets excluding interest expense is 1.25%.
(h) Ratio of expenses to average net assets excluding interest expense is 1.95%.
(i) Ratio of expenses to average net assets excluding interest expense is 1.70%.
(j) Ratio of expenses to average net assets excluding interest expense is 1.70%.
See accompanying notes 97
<PAGE>
Financial Highlights - A, B, and C Classes (Cont.)
<TABLE>
<CAPTION>
Net Realized/
Net Asset Value Unrealized Gain Total Income Dividends from
Selected Per Share Data for Beginning of Net Investment (Loss) on from Investment Net Investment
the Year or Period Ended: Period Income (Loss) Investments Operations Income
-------------- -------------- --------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
High Yield Fund
Class A
09/30/1999 (e) $ 11.23 $ 0.45 (a) $ (0.51)(a) $ (0.06) $ (0.44)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
03/31/1999 11.66 0.91 (a) (0.43)(a) 0.48 (0.90)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
03/31/1998 11.10 0.93 (a) 0.66 (a) 1.59 (0.94)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
01/13/1997 - 03/31/1997 11.18 0.17 (0.05) 0.12 (0.20)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
Class B
09/30/1999 (e) 11.23 0.40 (a) (0.50)(a) (0.10) (0.40)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
03/31/1999 11.66 0.82 (a) (0.43)(a) 0.39 (0.81)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
03/31/1998 11.10 0.84 (a) 0.66 (a) 1.50 (0.85)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
01/13/1997 - 03/31/1997 11.18 0.15 (0.05) 0.10 (0.18)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
Class C
09/30/1999 (e) 11.23 0.40 (a) (0.50)(a) (0.10) (0.40)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
03/31/1999 11.66 0.82 (a) (0.43)(a) 0.39 (0.81)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
03/31/1998 11.10 0.85 (a) 0.65 (a) 1.50 (0.85)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
01/13/1997 - 03/31/1997 11.18 0.15 (0.05) 0.10 (0.18)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
Long-Term U.S. Government Fund
Class A
09/30/1999 (e) $ 10.30 $ 0.28 (a) $ (0.59)(a) $ (0.31) $ (0.30)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
03/31/1999 10.57 0.59 (a) 0.20 (a) 0.79 (0.60)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
03/31/1998 9.39 0.48 (a) 1.34 (a) 1.82 (0.58)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
01/20/1997 - 03/31/1997 9.67 0.32 (0.47) (0.15) (0.13)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
Class B
09/30/1999 (e) 10.30 0.26 (a) (0.61)(a) (0.35) (0.26)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
03/31/1999 10.57 0.51 (a) 0.20 (a) 0.71 (0.52)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
03/31/1998 9.39 0.39 (a) 1.35 (a) 1.74 (0.50)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
01/20/1997 - 03/31/1997 9.67 0.29 (0.47) (0.18) (0.10)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
Class C
09/30/1999 (e) 10.30 0.26 (a) (0.61)(a) (0.35) (0.26)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
03/31/1999 10.57 0.50 (a) 0.21 (a) 0.71 (0.52)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
03/31/1998 9.39 0.39 (a) 1.35 (a) 1.74 (0.50)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
01/20/1997 - 03/31/1997 9.67 0.29 (0.47) (0.18) (0.10)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
Low Duration Fund
Class A
09/30/1999 (e) $ 10.10 $ 0.29 (a) $ (0.20)(a) $ 0.09 $ (0.29)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
03/31/1999 10.18 0.60 (a) (0.02)(a) 0.58 (0.60)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
03/31/1998 9.98 0.60 (a) 0.23 (a) 0.83 (0.58)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
01/13/1997 - 03/31/1997 10.02 0.12 (0.03) 0.09 (0.12)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
Class B
09/30/1999 (e) 10.10 0.25 (a) (0.20)(a) 0.05 (0.25)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
03/31/1999 10.18 0.52 (a) (0.02)(a) 0.50 (0.52)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
03/31/1998 9.98 0.53 (a) 0.22 (a) 0.75 (0.50)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
01/13/1997 - 03/31/1997 10.02 0.10 (0.03) 0.07 (0.11)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
Class C
09/30/1999 (e) 10.10 0.25 (a) (0.19)(a) 0.06 (0.26)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
03/31/1999 10.18 0.55 (a) (0.02)(a) 0.53 (0.55)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
03/31/1998 9.98 0.55 (a) 0.23 (a) 0.78 (0.53)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
01/13/1997 - 03/31/1997 10.02 0.11 (0.03) 0.08 (0.11)
- -------------------------------------- -------------- -------------- --------------- --------------- --------------
</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%.
(e) Unaudited
(f) Ratio of expenses to average net assets excluding interest expense is 0.90%.
(g) Ratio of expenses to average net assets excluding interest expense is 1.65%.
98 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Dividends in Distributions Distributions in
Excess of Net from Net Excess of Net
Investment Realized Capital Realized Capital Total Net Asset Value
Income Gains Gains Distributions End of Period
- ------------- ---------------- ---------------- ------------- ---------------
<S> <C> <C> <C> <C>
$ 0.00 $ 0.00 $ 0.00 $ (0.44) $ 10.73
- ------------- ---------------- ---------------- ------------- ---------------
(0.01) 0.00 0.00 (0.91) 11.23
- ------------- ---------------- ---------------- ------------- ---------------
0.00 0.00 (0.09) (1.03) 11.66
- ------------- ---------------- ---------------- ------------- ---------------
0.00 0.00 0.00 (0.20) 11.10
- ------------- ---------------- ---------------- ------------- ---------------
0.00 0.00 0.00 (0.40) 10.73
- ------------- ---------------- ---------------- ------------- ---------------
(0.01) 0.00 0.00 (0.82) 11.23
- ------------- ---------------- ---------------- ------------- ---------------
0.00 0.00 (0.09) (0.94) 11.66
- ------------- ---------------- ---------------- ------------- ---------------
0.00 0.00 0.00 (0.18) 11.10
- ------------- ---------------- ---------------- ------------- ---------------
0.00 0.00 0.00 (0.40) 10.73
- ------------- ---------------- ---------------- ------------- ---------------
(0.01) 0.00 0.00 (0.82) 11.23
- ------------- ---------------- ---------------- ------------- ---------------
0.00 0.00 (0.09) (0.94) 11.66
- ------------- ---------------- ---------------- ------------- ---------------
0.00 0.00 0.00 (0.18) 11.10
- ------------- ---------------- ---------------- ------------- ---------------
$ 0.00 $ 0.00 $ 0.00 $ (0.30) $ 9.69
- ------------- ---------------- ---------------- ------------- ---------------
0.00 0.00 (0.46) (1.06) 10.30
- ------------- ---------------- ---------------- ------------- ---------------
0.00 (0.06) 0.00 (0.64) 10.57
- ------------- ---------------- ---------------- ------------- ---------------
0.00 0.00 0.00 (0.13) 9.39
- ------------- ---------------- ---------------- ------------- ---------------
- ------------- ---------------- ---------------- ------------- ---------------
0.00 0.00 0.00 (0.26) 9.69
- ------------- ---------------- ---------------- ------------- ---------------
0.00 0.00 (0.46) (0.98) 10.30
- ------------- ---------------- ---------------- ------------- ---------------
0.00 (0.06) 0.00 (0.56) 10.57
- ------------- ---------------- ---------------- ------------- ---------------
0.00 0.00 0.00 (0.10) 9.39
- ------------- ---------------- ---------------- ------------- ---------------
0.00 0.00 0.00 (0.26) 9.69
- ------------- ---------------- ---------------- ------------- ---------------
0.00 0.00 (0.46) (0.98) 10.30
- ------------- ---------------- ---------------- ------------- ---------------
0.00 (0.06) 0.00 (0.56) 10.57
- ------------- ---------------- ---------------- ------------- ---------------
0.00 0.00 0.00 (0.10) 9.39
- ------------- ---------------- ---------------- ------------- ---------------
$ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 9.90
- ------------- ---------------- ---------------- ------------- ---------------
0.00 (0.01) (0.05) (0.66) 10.10
- ------------- ---------------- ---------------- ------------- ---------------
(0.02) (0.03) 0.00 (0.63) 10.18
- ------------- ---------------- ---------------- ------------- ---------------
(0.01) 0.00 0.00 (0.13) 9.98
- ------------- ---------------- ---------------- ------------- ---------------
0.00 0.00 0.00 (0.25) 9.90
- ------------- ---------------- ---------------- ------------- ---------------
0.00 (0.01) (0.05) (0.58) 10.10
- ------------- ---------------- ---------------- ------------- ---------------
(0.02) (0.03) 0.00 (0.55) 10.18
- ------------- ---------------- ---------------- ------------- ---------------
0.00 0.00 0.00 (0.11) 9.98
- ------------- ---------------- ---------------- ------------- ---------------
0.00 0.00 0.00 (0.26) 9.90
- ------------- ---------------- ---------------- ------------- ---------------
0.00 (0.01) (0.05) (0.61) 10.10
- ------------- ---------------- ---------------- ------------- ---------------
(0.02) (0.03) 0.00 (0.58) 10.18
- ------------- ---------------- ---------------- ------------- ---------------
(0.01) 0.00 0.00 (0.12) 9.98
- ------------- ---------------- ---------------- ------------- ---------------
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Net Assets End Average Net to Average Portfolio
Total Return of Period (000s) Assets Net Assets Turnover Rate
- ------------ ---------------- ----------- ------------- -------------
<S> <C> <C> <C> <C>
(0.52)% $ 185,575 0.90%+ 7.99%+ 17%
- ------------ ---------------- ----------- ------------- -------------
4.32 155,466 0.90 7.94 39
- ------------ ---------------- ----------- ------------- -------------
14.80 70,858 0.90 8.02 37
- ------------ ---------------- ----------- ------------- -------------
1.06 28,873 0.92+ 8.28+ 67
- ------------ ---------------- ----------- ------------- -------------
(0.89) 325,924 1.65+ 7.26+ 17
- ------------ ---------------- ----------- ------------- -------------
3.54 286,198 1.65 7.21 39
- ------------ ---------------- ----------- ------------- -------------
13.94 156,099 1.65 7.27 37
- ------------ ---------------- ----------- ------------- -------------
0.86 60,269 1.67+ 7.52+ 67
- ------------ ---------------- ----------- ------------- -------------
(0.89) 385,876 1.65+ 7.28+ 17
- ------------ ---------------- ----------- ------------- -------------
3.55 370,861 1.65 7.24 39
- ------------ ---------------- ----------- ------------- -------------
13.95 284,836 1.65 7.36 37
- ------------ ---------------- ----------- ------------- -------------
0.88 205,297 1.68+ 7.56+ 67
- ------------ ---------------- ----------- ------------- -------------
(3.08)% $ 29,667 0.95%+ (f) 5.92%+ 167%
- ------------ ---------------- ----------- ------------- -------------
7.34 29,809 1.34 (b) 5.33 364
- ------------ ---------------- ----------- ------------- -------------
19.78 6,161 0.91 4.49 177
- ------------ ---------------- ----------- ------------- -------------
(1.72) 1,204 1.12+ 6.91+ 402
- ------------ ---------------- ----------- ------------- -------------
(3.43) 38,961 1.69+ 5.18+ 167
- ------------ ---------------- ----------- ------------- -------------
6.51 37,946 2.13 (c) 4.53 364
- ------------ ---------------- ----------- ------------- -------------
18.85 7,516 1.66 4.64 177
- ------------ ---------------- ----------- ------------- -------------
(1.92) 454 1.87+ 4.95+ 402
- ------------ ---------------- ----------- ------------- -------------
(3.43) 26,228 1.70+ (g) 5.19+ 167
- ------------ ---------------- ----------- ------------- -------------
6.52 31,653 2.16 (d) 4.50 364
- ------------ ---------------- ----------- ------------- -------------
18.86 7,258 1.66 4.64 177
- ------------ ---------------- ----------- ------------- -------------
(1.83) 275 1.88+ 5.52+ 402
- ------------ ---------------- ----------- ------------- -------------
0.87% $ 235,136 0.90%+ 5.70%+ 52%
- ------------ ---------------- ----------- ------------- -------------
5.86 191,727 0.90 5.85 245
- ------------ ---------------- ----------- ------------- -------------
8.49 109,531 0.90 5.93 309
- ------------ ---------------- ----------- ------------- -------------
0.85 59,348 0.91+ 5.84+ 240
- ------------ ---------------- ----------- ------------- -------------
0.50 74,816 1.65+ 4.95+ 52
- ------------ ---------------- ----------- ------------- -------------
5.07 65,160 1.65 5.03 245
- ------------ ---------------- ----------- ------------- -------------
7.68 17,624 1.65 5.16 309
- ------------ ---------------- ----------- ------------- -------------
0.68 5,296 1.67+ 5.03+ 240
- ------------ ---------------- ----------- ------------- -------------
0.62 121,459 1.40+ 5.22+ 52
- ------------ ---------------- ----------- ------------- -------------
5.33 112,229 1.40 5.35 245
- ------------ ---------------- ----------- ------------- -------------
8.01 68,766 1.40 5.46 309
- ------------ ---------------- ----------- ------------- -------------
0.75 63,606 1.42+ 5.36+ 240
- ------------ ---------------- ----------- ------------- -------------
</TABLE>
See accompanying notes 99
<PAGE>
<TABLE>
<CAPTION>
Financial Highlights - A, B, and C Classes (Cont.)
Net Realized /
Net Asset Value Unrealized Gain Total Income Dividends from
Selected Per Share Data for Beginning of Net Investment (Loss) on from Investment Net Investment
the Year or Period Ended: Period Income (Loss) Investments Operations Income
--------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Money Market Fund
Class A
09/30/1999 (e) $ 1.00 $ 0.02(a) $ 0.00(a) $ 0.02 $ (0.02)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1999 1.00 0.05(a) 0.00(a) 0.05 (0.05)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1998 1.00 0.05(a) 0.00(a) 0.05 (0.05)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
01/13/1997 - 03/31/1997 1.00 0.01 0.00 0.01 (0.01)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
Class B
09/30/1999 (e) 1.00 0.02(a) 0.00(a) 0.02 (0.02)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1999 1.00 0.04(a) 0.00(a) 0.04 (0.04)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1998 1.00 0.04(a) 0.00(a) 0.04 (0.04)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
01/13/1997 - 03/31/1997 1.00 0.01 0.00 0.01 (0.01)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
Class C
09/30/1999 (e) 1.00 0.02(a) 0.00(a) 0.02 (0.02)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1999 1.00 0.05(a) 0.00(a) 0.05 (0.05)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1998 1.00 0.05(a) 0.00(a) 0.05 (0.05)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
01/13/1997 - 03/31/1997 1.00 0.01 0.00 0.01 (0.01)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
Municipal Bond Fund
Class A
09/30/1999 (e) $ 10.12 $ 0.21(a) $ (0.56)(a) $ (0.35) $ (0.21)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1999 9.97 0.41(a) 0.15(a) 0.56 (0.41)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
Class B
09/30/1999 (e) 10.12 0.17(a) (0.56)(a) (0.39) (0.17)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1999 9.97 0.34(a) 0.14(a) 0.48 (0.33)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
Class C
09/30/1999 (e) 10.12 0.17(a) (0.54)(a) (0.37) (0.19)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1999 9.97 0.36(a) 0.15(a) 0.51 (0.36)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
Real Return Bond Fund
Class A
09/30/1999 (e) $ 9.83 $ 0.34(a) $ (0.03)(a) $ 0.31 $ (0.32)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1999 9.77 0.43(a) 0.14(a) 0.57 (0.45)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1998 9.93 0.40(a) 0.03(a) 0.43 (0.42)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
01/29/1997 - 03/31/1997 10.00 0.11(a) (0.10)(a) 0.01 (0.08)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
Class B
09/30/1999 (e) 9.83 0.29(a) (0.01)(a) 0.28 (0.29)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1999 9.77 0.37(a) 0.12(a) 0.49 (0.38)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1998 9.93 0.33(a) 0.03(a) 0.36 (0.36)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
01/29/1997 - 03/31/1997 10.00 0.09 (0.10) (0.01) (0.06)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
Class C
09/30/1999 (e) 9.83 0.29(a) 0.00(a) 0.29 (0.30)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1999 9.77 0.44(a) 0.08(a) 0.52 (0.40)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1998 9.93 0.35(a) 0.04(a) 0.39 (0.38)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
01/29/1997 - 03/31/1997 10.00 0.09 (0.10) (0.01) (0.06)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
Short-Term Fund
Class A
09/30/1999 (e) $ 10.03 $ 0.26(a) $ (0.07)(a) $ 0.19 $ (0.26)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1999 10.06 0.53(a) (0.02)(a) 0.51 (0.53)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1998 10.00 0.55(a) 0.09(a) 0.64 (0.56)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
01/20/1997 - 03/31/1997 10.04 0.10 (0.03) 0.07 (0.10)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
Class B
09/30/1999 (e) 10.03 0.22(a) (0.07)(a) 0.15 (0.22)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1999 10.06 0.45(a) (0.02)(a) 0.43 (0.45)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1998 10.00 0.50(a) 0.08(a) 0.58 (0.50)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
01/20/1997 - 03/31/1997 10.04 0.09 (0.03) 0.06 (0.10)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
Class C
09/30/1999 (e) 10.03 0.22(a) (0.04)(a) 0.18 (0.25)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1999 10.06 0.50(a) (0.02)(a) 0.48 (0.50)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
03/31/1998 10.00 0.54(a) 0.07(a) 0.61 (0.53)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
01/20/1997 - 03/31/1997 10.04 0.09 (0.03) 0.06 (0.10)
- ------------------------------------- --------------- --------------- --------------- --------------- ---------------
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(e) Unaudited
100 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Dividends in Distributions Distributions in
Excess of Net from Net Excess of Net
Investment Realized Capital Realized Capital Total Net Asset Value
Income Gains Gains Distribution End of Period
- ---------------- ---------------- ---------------- ---------------- ----------------
<C> <C> <C> <C> <C>
$ 0.00 $ 0.00 $ 0.00 $ (0.02) $ 1.00
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.05) 1.00
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.05) 1.00
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.01) 1.00
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.02) 1.00
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.04) 1.00
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.04) 1.00
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.01) 1.00
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.02) 1.00
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.05) 1.00
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.05) 1.00
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.01) 1.00
- ---------------- ---------------- ---------------- ---------------- ----------------
$ 0.00 $ 0.00 $ 0.00 $ (0.21) $ 9.56
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.41) 10.12
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.17) 9.56
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.33) 10.12
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.19) 9.56
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.36) 10.12
- ---------------- ---------------- ---------------- ---------------- ----------------
$ 0.00 $ 0.00 $ 0.00 $ (0.32) $ 9.82
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.06) 0.00 0.00 (0.51) 9.83
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.03) (0.14) 0.00 (0.59) 9.77
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.08) 9.93
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.29) 9.82
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.05) 0.00 0.00 (0.43) 9.83
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.02) (0.14) 0.00 (0.52) 9.77
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.06) 9.93
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.30) 9.82
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.06) 0.00 0.00 (0.46) 9.83
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.03) (0.14) 0.00 (0.55) 9.77
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.06) 9.93
- ---------------- ---------------- ---------------- ---------------- ----------------
$ 0.00 $ 0.00 $ 0.00 $ (0.26) $ 9.96
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 (0.01) (0.54) 10.03
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.01) (0.01) 0.00 (0.58) 10.06
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.01) 0.00 0.00 (0.11) 10.00
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.22) 9.96
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 (0.01) (0.46) 10.03
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.01) (0.01) 0.00 (0.52) 10.06
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.10) 10.00
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.25) 9.96
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 (0.01) (0.51) 10.03
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.01) (0.01) 0.00 (0.55) 10.06
- ---------------- ---------------- ---------------- ---------------- ----------------
0.00 0.00 0.00 (0.10) 10.00
- ---------------- ---------------- ---------------- ---------------- ----------------
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Net Assets End Average Net to Average Portfolio
Total Return of Period (000s) Assets Net Assets Turnover Rate
- ---------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
2.24% $ 101,120 0.60%+ 4.47%+ N/A
- ---------------- ---------------- ---------------- ---------------- ----------------
4.76 105,200 0.60 4.78 N/A
- ---------------- ---------------- ---------------- ---------------- ----------------
5.10 41,375 0.60 5.02 N/A
- ---------------- ---------------- ---------------- ---------------- ----------------
1.01 43,589 0.57+ 4.44+ N/A
- ---------------- ---------------- ---------------- ---------------- ----------------
1.76 19,305 1.50+ 3.59+ N/A
- ---------------- ---------------- ---------------- ---------------- ----------------
4.03 14,968 1.50 3.79 N/A
- ---------------- ---------------- ---------------- ---------------- ----------------
4.21 2,937 1.50 4.15 N/A
- ---------------- ---------------- ---------------- ---------------- ----------------
0.83 3,143 1.41+ 3.62+ N/A
- ---------------- ---------------- ---------------- ---------------- ----------------
2.24 88,433 0.60+ 4.50+ N/A
- ---------------- ---------------- ---------------- ---------------- ----------------
4.85 86,159 0.60 4.79 N/A
- ---------------- ---------------- ---------------- ---------------- ----------------
5.14 55,696 0.60 5.05 N/A
- ---------------- ---------------- ---------------- ---------------- ----------------
1.02 85,398 0.58+ 4.47+ N/A
- ---------------- ---------------- ---------------- ---------------- ----------------
(3.48)% $ 9,181 0.86%+ 4.25%+ 48%
- ---------------- ---------------- ---------------- ---------------- ----------------
5.67 7,020 0.86 4.10 70
- ---------------- ---------------- ---------------- ---------------- ----------------
(3.85) 6,007 1.61+ 3.51+ 48
- ---------------- ---------------- ---------------- ---------------- ----------------
4.88 6,070 1.61 3.33 70
- ---------------- ---------------- ---------------- ---------------- ----------------
(3.72) 33,150 1.36+ 1.89+ 48
- ---------------- ---------------- ---------------- ---------------- ----------------
5.13 37,913 1.35 3.60 70
- ---------------- ---------------- ---------------- ---------------- ----------------
3.19% $ 9,288 0.94%+ 6.81%+ 103%
- ---------------- ---------------- ---------------- ---------------- ----------------
5.99 6,250 0.92 4.40 438
- ---------------- ---------------- ---------------- ---------------- ----------------
4.12 370 0.92 4.06 967
- ---------------- ---------------- ---------------- ---------------- ----------------
0.15 1 0.90+ 6.14+ 160
- ---------------- ---------------- ---------------- ---------------- ----------------
2.84 8,064 1.68+ 5.92+ 103
- ---------------- ---------------- ---------------- ---------------- ----------------
5.19 3,646 1.68 3.72 438
- ---------------- ---------------- ---------------- ---------------- ----------------
3.50 1,496 1.67 3.32 967
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.08) 509 1.59+ 3.43+ 160
- ---------------- ---------------- ---------------- ---------------- ----------------
2.94 8,924 1.42+ 5.83+ 103
- ---------------- ---------------- ---------------- ---------------- ----------------
5.46 2,534 1.43 4.49 438
- ---------------- ---------------- ---------------- ---------------- ----------------
3.73 490 1.42 3.56 967
- ---------------- ---------------- ---------------- ---------------- ----------------
(0.07) 148 1.62+ 5.13+ 160
- ---------------- ---------------- ---------------- ---------------- ----------------
1.92% $ 87,591 0.85%+ 5.18%+ 21%
- ---------------- ---------------- ---------------- ---------------- ----------------
5.21 80,787 0.85 5.15 47
- ---------------- ---------------- ---------------- ---------------- ----------------
6.64 24,182 0.85 5.48 48
- ---------------- ---------------- ---------------- ---------------- ----------------
0.66 2,533 0.86+ 5.07+ 77
- ---------------- ---------------- ---------------- ---------------- ----------------
1.54 4,909 1.60+ 4.47+ 21
- ---------------- ---------------- ---------------- ---------------- ----------------
4.43 3,813 1.60 4.45 47
- ---------------- ---------------- ---------------- ---------------- ----------------
5.96 1,258 1.60 4.97 48
- ---------------- ---------------- ---------------- ---------------- ----------------
0.58 114 1.62+ 4.83+ 77
- ---------------- ---------------- ---------------- ---------------- ----------------
1.77 19,303 1.15+ 4.88+ 21
- ---------------- ---------------- ---------------- ---------------- ----------------
4.91 15,589 1.15 4.92 47
- ---------------- ---------------- ---------------- ---------------- ----------------
6.33 6,763 1.15 5.33 48
- ---------------- ---------------- ---------------- ---------------- ----------------
0.63 1,359 1.14+ 4.78+ 77
- ---------------- ---------------- ---------------- ---------------- ----------------
</TABLE>
See accompanying notes 101
<PAGE>
Financial Highlights - A, B, and C Classes (Cont.)
<TABLE>
<CAPTION>
Net Realized/
Net Asset Value Unrealized Gain Total Income Dividends from
Selected Per Share Data for Beginning of Net Investment (Loss) on from Investment Net Investment
the Year or Period Ended: Period Income (Loss) Investments Operations Income
---------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C>
StocksPLUS Fund
Class A
09/30/1999 (e) $ 14.26 $ 0.29(a) $ (0.20)(a) $ 0.09 $ (0.23)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1999 14.06 0.93(a) 1.29(a) 2.22 (0.78)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1998 11.46 1.66(a) 3.41(a) 5.07 (1.38)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
01/20/1997 - 03/31/1997 11.91 (0.10) (0.20) (0.30) (0.15)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Class B
09/30/1999 (e) 14.18 0.23(a) (0.19)(a) 0.04 (0.18)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1999 14.01 0.84(a) 1.26(a) 2.10 (0.69)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1998 11.44 1.61(a) 3.35(a) 4.96 (1.30)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
01/20/1997 - 03/31/1997 11.91 (0.13) (0.20) (0.33) (0.14)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Class C
09/30/1999 (e) 14.21 0.25(a) (0.19)(a) 0.06 (0.19)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1999 14.03 0.86(a) 1.28(a) 2.14 (0.72)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1998 11.45 1.64(a) 3.35(a) 4.99 (1.32)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
01/20/1997 - 03/31/1997 11.91 (0.12) (0.20) (0.32) (0.14)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Strategic Balanced Fund
Class A
05/28/1999 - 09/30/1999 (e) $ 12.80 $ (0.02) $ (0.01) $ (0.03) $ (0.23)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Class B
05/28/1999 - 09/30/1999 (e) 12.80 (0.03) (0.01) (0.04) (0.23)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Class C
05/28/1999 - 09/30/1999 (e) 12.80 (0.03) (0.03) (0.06) (0.23)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Total Return Fund
Class A
09/30/1999 (e) $ 10.36 $ 0.28(a) $ (0.30)(a) $ (0.02) $ (0.28)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1999 10.62 0.58(a) 0.16(a) 0.74 (0.58)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1998 10.27 0.58(a) 0.63(a) 1.21 (0.57)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
01/13/1997 - 03/31/1997 10.40 0.12 (0.12) 0.00 (0.13)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Class B
09/30/1999 (e) 10.36 0.24(a) (0.30)(a) (0.06) (0.24)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1999 10.62 0.50(a) 0.16(a) 0.66 (0.50)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1998 10.27 0.50(a) 0.63(a) 1.13 (0.50)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
01/13/1997 - 03/31/1997 10.40 0.11 (0.12) (0.01) (0.12)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Class C
09/30/1999 (e) 10.36 0.24(a) (0.30)(a) (0.06) (0.24)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1999 10.62 0.50(a) 0.16(a) 0.66 (0.50)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1998 10.27 0.51(a) 0.63(a) 1.14 (0.51)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
01/13/1997 - 03/31/1997 10.40 0.11 (0.12) (0.01) (0.12)
- ----------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(e) Unaudited
102 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Dividends in Distributions Distributions in
Excess of Net from Net Excess of Net
Selected Per Share Data for Investment Realized Capital Realized Capital Total Net Asset Value
the Year or Period Ended: Income Gains Gains Distribution End of Period
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C>
StocksPLUS Fund
Class A
09/30/1999 (e) $ 0.00 $ 0.00 $ 0.00 $ (0.23) $ 14.12
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1999 0.00 (1.24) 0.00 (2.02) 14.26
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1998 0.00 (1.09) 0.00 (2.47) 14.06
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
01/20/1997 - 03/31/1997 0.00 0.00 0.00 (0.15) 11.46
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Class B
09/30/1999 (e) 0.00 0.00 0.00 (0.18) 14.04
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1999 0.00 (1.24) 0.00 (1.93) 14.18
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1998 0.00 (1.09) 0.00 (2.39) 14.01
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
01/20/1997 - 03/31/1997 0.00 0.00 0.00 (0.14) 11.44
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Class C
09/30/1999 (e) 0.00 0.00 0.00 (0.19) 14.08
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1999 0.00 (1.24) 0.00 (1.96) 14.21
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1998 0.00 (1.09) 0.00 (2.41) 14.03
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
01/20/1997 - 03/31/1997 0.00 0.00 0.00 (0.14) 11.45
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Strategic Balanced Fund
Class A
05/28/1999 - 09/30/1999 (e) $ 0.00 $ 0.00 $ 0.00 $ (0.23) $ 12.54
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Class B
05/28/1999 - 09/30/1999 (e) 0.00 0.00 0.00 (0.23) 12.53
- -------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Class C
05/28/1999 - 09/30/1999 (e) 0.00 0.00 0.00 (0.23) 12.51
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Total Return Fund
Class A
09/30/1999 (e) $ 0.00 $ 0.00 $ 0.00 $ (0.28) $ 10.06
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1999 0.00 (0.24) (0.18) (1.00) 10.36
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1998 (0.02) (0.27) 0.00 (0.86) 10.62
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
01/13/1997 - 03/31/1997 0.00 0.00 0.00 (0.13) 10.27
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Class B
09/30/1999 (e) 0.00 0.00 0.00 (0.24) 10.06
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1999 0.00 (0.24) (0.18) (0.92) 10.36
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1998 (0.01) (0.27) 0.00 (0.78) 10.62
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
01/13/1997 - 03/31/1997 0.00 0.00 0.00 (0.12) 10.27
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Class C
09/30/1999 (e) 0.00 0.00 0.00 (0.24) 10.06
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1999 0.00 (0.24) (0.18) (0.92) 10.36
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1998 (0.01) (0.27) 0.00 (0.79) 10.62
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
01/13/1997 - 03/31/1997 0.00 0.00 0.00 (0.12) 10.27
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
<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>
StocksPLUS Fund
Class A
09/30/1999 (e) 0.59% $ 160,487 1.06%+ 3.93%+ 46%
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1999 17.07 148,748 1.05 6.66 81
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1998 47.07 62,970 1.05 13.34 30
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
01/20/1997 - 03/31/1997 (2.59) 5,790 1.10+ 0.00+ 47
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Class B
09/30/1999 (e) 0.23 330,756 1.80+ 3.05+ 46
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1999 16.21 281,930 1.80 6.05 81
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1998 46.11 99,039 1.80 12.60 30
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
01/20/1997 - 03/31/1997 (2.81) 8,281 1.88+ 0.00+ 47
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Class C
09/30/1999 (e) 0.42 293,689 1.55+ 3.29+ 46
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1999 16.48 245,088 1.55 6.19 81
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1998 46.38 96,960 1.55 12.85 30
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
01/20/1997 - 03/31/1997 (2.71) 11,254 1.65+ 0.00+ 47
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Strategic Balanced Fund
Class A
05/28/1999 - 09/30/1999 (e) (0.21)% $ 4,972 1.06%+ (0.52)%+ 34%
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Class B
05/28/1999 - 09/30/1999 (e) (0.34) 12,323 1.82+ (0.62)+ 34
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Class C
05/28/1999 - 09/30/1999 (e) (0.50) 11,895 1.81+ (0.60)+ 34
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Total Return Fund
Class A
09/30/1999 (e) (0.17)% $ 1,634,866 0.93%+ 5.51%+ 46%
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1999 7.09 1,140,606 0.90 5.37 154
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1998 12.11 533,893 0.90 5.46 206
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
01/13/1997 - 03/31/1997 0.02 115,742 0.91+ 6.08+ 173
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Class B
09/30/1999 (e) (0.54) 659,498 1.67+ 4.75+ 46
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1999 6.28 549,478 1.65 4.55 154
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1998 11.26 186,932 1.65 4.74 206
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
01/13/1997 - 03/31/1997 (0.10) 74,130 1.67+ 5.28+ 173
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Class C
09/30/1999 (e) (0.54) 780,644 1.67+ 4.76+ 46
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1999 6.29 715,201 1.65 4.63 154
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/1998 11.28 405,037 1.65 4.83 206
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
01/13/1997 - 03/31/1997 (0.11) 329,104 1.67+ 5.32+ 173
- --------------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
</TABLE>
See accompanying notes 103
<PAGE>
Statements of Assets and Liabilities
September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Emerging
Amounts in thousands, except per Convertible Markets Foreign Global Bond
share amounts Bond Fund Bond Fund Bond Fund Fund II High Yield Fund
--------------- -------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Assets:
Investments, at value $ 38,527 $ 17,827 $ 999,720 $ 61,541 $3,473,714
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Cash and foreign currency 1 43 11,021 987 222
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Receivable for investments and foreign
currency sold 2,949 2 208,441 13,185 39,058
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Receivable for Fund shares sold 55 1 413 25 4,675
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Interest and dividends receivable 164 579 16,030 769 73,808
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Variation margin receivable 0 0 5 11 0
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Other assets 0 1 658 3 21
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
41,696 18,453 1,236,288 76,521 3,591,498
====================================== =============== ============== =============== =============== ===============
Liabilities:
Payable for investments and foreign
currency purchased $ 2,912 $ 352 $ 71,426 $ 8,468 $ 7,365
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Payable for financing transactions 0 582 566,981 24,862 5,615
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Notes payable 0 0 14,490 0 0
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Written options outstanding 0 0 1,416 101 0
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Payable for Fund shares redeemed 0 44 1,051 3 13,675
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Dividends payable 0 4 595 24 5,044
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Accrued investment advisory fee 12 6 119 9 760
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Accrued administration fee 8 6 137 12 874
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Accrued distribution fee 1 3 35 7 496
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Accrued servicing fee 1 0 23 3 189
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Variation margin payable 0 0 0 0 0
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Other liabilities 0 1 495 128 153
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
2,934 998 656,768 33,617 34,171
====================================== =============== ============== =============== =============== ===============
Net Assets $ 38,762 $ 17,455 $ 579,520 $ 42,904 $3,557,327
====================================== =============== ============== =============== =============== ===============
Net Assets Consist of:
Paid in capital $ 37,474 $ 18,485 $ 597,565 $ 45,227 $3,804,235
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Undistributed (overdistributed) net
investment income (88) 0 8,577 (40) (2,253)
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Accumulated undistributed net realized
gain (loss) 636 (609) (6,149) (1,312) (77,712)
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Net unrealized appreciation (depreciation) 740 (421) (20,473) (971) (166,943)
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
$ 38,762 $ 17,455 $ 579,520 $ 42,904 $3,557,327
====================================== =============== ============== =============== =============== ===============
Net Assets:
Class A $ 270 $ 249 $ 47,318 $ 2,897 $ 185,575
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Class B 434 894 23,973 4,955 325,924
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Class C 1,913 271 30,950 6,019 385,876
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Other Classes 36,145 16,041 477,279 29,033 2,659,952
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Shares Issued and Outstanding:
Class A 24 32 4,666 307 17,303
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Class B 38 116 2,364 524 30,389
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Class C 169 35 3,052 636 35,980
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Net Asset Value and Redemption Price* Per Share
(Net Assets Per Share Outstanding)
Class A $ 11.35 $ 7.68 $ 10.14 $ 9.45 $ 10.73
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Class B 11.33 7.68 10.14 9.45 10.73
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Class C 11.34 7.68 10.14 9.45 10.73
- -------------------------------------- --------------- -------------- --------------- --------------- ---------------
Cost of Investments Owned $ 37,742 $ 18,251 $1,006,965 $ 62,041 $3,640,769
====================================== =============== ============== =============== =============== ===============
Cost of Foreign Currency Held $ 0 $ 5 $ 9,276 $ 596 $ 0
====================================== =============== ============== =============== =============== ===============
</TABLE>
* With respect to the Retail Classes, the redemption price varies by the length
of time the shares are held.
104 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Long-Term Low Money Municipal Real Return Short-Term StocksPLUS Strategic Total Return
U.S. Gov't Fund Duration Fund Market Fund Bond Fund Bond Fund Fund Fund Balance Fund Fund
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 513,885 $ 4,775,841 $ 562,029 $ 55,762 $ 179,062 $ 676,892 $ 1,395,524 $ 187,107 $ 36,954,117
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
0 19,198 1 2 103 563 2,780 434 26,082
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
56,797 22,554 0 2,163 6,070 21,150 598 4,671 1,122,209
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
51,495 9,576 4,843 265 567 9,872 4,300 513 65,263
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
4,667 54,614 1,114 818 1,474 3,903 4,560 1,240 307,707
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
602 644 0 0 0 0 15,933 1,370 29,125
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
87 565 0 0 321 0 0 4 9,166
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
627,533 4,882,992 567,987 59,010 187,597 712,380 1,423,695 195,339 38,513,669
=============== ============== ============ ============= ============ ============ ============= ============ ============
$ 94,691 $ 144,619 $ 0 $ 3,067 $ 3,432 $ 6,755 $ 32,501 $ 21,647 $ 5,921,552
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
111,788 80,210 0 0 65,848 30,902 0 6,166 2,658,386
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
0 0 0 0 0 27,142 0 0 413,429
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
0 9,228 0 0 0 0 1,576 132 27,977
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
319 14,430 78,966 314 250 37,227 1,928 11,926 117,878
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
373 3,478 185 67 196 577 1 0 33,415
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
68 938 62 11 20 129 463 58 5,936
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
80 753 111 16 24 117 267 41 4,827
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
48 112 14 18 8 8 338 15 1,404
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
19 89 22 10 6 23 163 7 636
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
0 0 0 0 1 0 0 0 0
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
1 169 0 5 0 17 39 0 16,626
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
207,387 254,026 79,360 3,508 69,785 102,897 37,276 39,992 9,202,066
=============== ============== ============ ============= ============ ============ ============= ============ ============
$ 420,146 $ 4,628,966 $ 488,627 $ 55,502 $ 117,812 $ 609,483 $ 1,386,419 $ 155,347 $ 29,311,603
=============== ============== ============ ============= ============ ============ ============= ============ ============
$ 450,199 $ 4,710,408 $ 488,607 $ 56,011 $ 118,302 $ 613,070 $ 1,296,447 $ 154,711 $ 30,501,872
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
75 (3,954) 20 0 52 369 59,607 2,441 (76,156)
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
(22,142) (39,093) 0 (430) 214 (768) 89,313 3,194 (715,294)
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
(7,986) (38,395) 0 (79) (756) (3,188) (58,948) (4,999) (398,819)
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
$ 420,146 $ 4,628,966 $ 488,627 $ 55,502 $ 117,812 $ 609,483 $ 1,386,419 $ 155,347 $ 29,311,603
=============== ============== ============ ============= ============ ============ ============= ============ ============
$ 29,667 $ 235,136 $ 101,120 $ 9,181 $ 9,288 $ 87,591 $ 160,487 $ 4,972 $ 1,634,866
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
38,961 74,816 19,305 6,007 8,064 4,909 330,756 12,323 659,498
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
26,228 121,459 88,433 33,150 8,924 19,303 293,689 11,895 780,644
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
325,290 4,197,555 279,769 7,164 91,536 497,680 601,487 126,157 26,236,595
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
3,063 23,746 101,120 961 946 8,790 11,364 398 162,532
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
4,022 7,556 19,304 628 821 492 23,556 983 65,564
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
2,709 12,264 88,432 3,467 909 1,938 20,863 950 77,608
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
$ 9.69 $ 9.90 $ 1.00 $ 9.56 $ 9.82 $ 9.96 $ 14.12 $ 12.54 $ 10.06
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
9.69 9.90 1.00 9.56 9.82 9.96 14.04 12.53 10.06
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
9.69 9.90 1.00 9.56 9.82 9.96 14.08 12.51 10.06
- --------------- -------------- ------------ ------------- ------------ ------------ ------------- ------------ ------------
$ 522,033 $ 4,812,209 $ 562,029 $ 55,841 $ 179,830 $ 680,187 $ 1,396,848 $ 187,775 $ 37,318,886
=============== ============== ============ ============= ============ ============ ============= ============ ============
$ 0 $ 5,896 $ 0 $ 0 $ 99 $ 566 $ 2,327 $ 22 $ 9,363
=============== ============== ============ ============= ============ ============ ============= ============ ============
</TABLE>
See accompanying notes 105
<PAGE>
Statements of Operations
For the period ended September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Emerging
Convertible Markets Foreign Global Bond
Amounts in thousands Bond Fund Bond Fund Bond Fund Fund II High Yield Fund
----------- --------- ---------- ----------- ---------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Interest $ (104) $ 718 $ 20,507 $ 1,338 $ 156,549
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Dividends 95 0 0 0 4,185
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Total Income (9) 718 20,507 1,338 160,734
=================================================== =========== ========= ========== =========== ===============
Expenses:
Investment advisory fees 41 25 754 53 4,458
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Administration fees 26 23 853 74 5,123
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Distribution fees - Class B 1 2 86 19 1,168
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Distribution fees - Class C 3 1 114 22 1,429
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Servicing fees - Class A 0 0 44 4 224
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Servicing fees - Class B 0 1 29 6 389
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Servicing fees - Class C 1 1 38 7 476
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Distribution and/or servicing fees - Other Classes 0 5 17 0 369
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Trustees' fees 0 0 2 0 9
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Organization costs 0 0 0 0 0
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Interest Expense 7 3 282 8 50
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Total expenses 79 61 2,219 193 13,695
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Net Investment Income (loss) (88) 657 18,288 1,145 147,039
=================================================== =========== ========= ========== =========== ===============
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 711 (34) (7,430) (1,198) (15,595)
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Net realized gain (loss) on futures contracts and
written options 0 0 1,499 49 0
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Net realized gain (loss) on foreign currency
transactions (75) (15) (51) (26) 0
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Net change in unrealized appreciation
(depreciation) on investments 785 140 (17) (5) (153,619)
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written
options 0 0 (211) (27) 0
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies (45) 2 (22,781) (722) 0
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Net gain (loss) 1,376 93 (28,991) (1,929) (169,214)
- --------------------------------------------------- ----------- --------- ---------- ----------- ---------------
Net Increase (Decrease) in Assets Resulting from
Operations $ 1,288 $ 750 $ (10,703) $ (784) $ (22,175)
=================================================== =========== ========= ========== =========== ===============
</TABLE>
106 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Long-Term Low Money Municipal Real Return
U.S. Gov't Fund Duration Fund Market Fund Bond Fund Bond Fund
- --------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
$ 10,615 $ 131,758 $ 12,705 $ 1,498 $ 2,061
- --------------- --------------- --------------- --------------- ---------------
0 3,620 0 0 0
- --------------- --------------- --------------- --------------- ---------------
10,615 135,378 12,705 1,498 2,061
=============== =============== =============== =============== ===============
384 5,058 370 72 66
- --------------- --------------- --------------- --------------- ---------------
457 4,087 641 98 79
- --------------- --------------- --------------- --------------- ---------------
144 259 56 22 21
- --------------- --------------- --------------- --------------- ---------------
106 295 0 89 11
- --------------- --------------- --------------- --------------- ---------------
37 269 49 11 9
- --------------- --------------- --------------- --------------- ---------------
48 86 19 7 7
- --------------- --------------- --------------- --------------- ---------------
34 148 41 45 5
- --------------- --------------- --------------- --------------- ---------------
43 166 11 3 2
- --------------- --------------- --------------- --------------- ---------------
1 11 1 0 0
- --------------- --------------- --------------- --------------- ---------------
0 0 0 0 1
- --------------- --------------- --------------- --------------- ---------------
84 43 21 5 12
- --------------- --------------- --------------- --------------- ---------------
1,338 10,422 1,209 352 213
- --------------- --------------- --------------- --------------- ---------------
9,277 124,956 11,496 1,146 1,848
=============== =============== =============== =============== ===============
(13,540) (19,309) 0 (424) 220
- --------------- --------------- --------------- --------------- ---------------
(1,346) (1,720) 0 0 34
- --------------- --------------- --------------- --------------- ---------------
0 (5,499) 0 0 (39)
- --------------- --------------- --------------- --------------- ---------------
(3,597) (51,400) 0 (2,904) (654)
- --------------- --------------- --------------- --------------- ---------------
43 (1,926) 0 0 0
- --------------- --------------- --------------- --------------- ---------------
0 409 0 0 15
- --------------- --------------- --------------- --------------- ---------------
(18,440) (79,445) 0 (3,328) (424)
- --------------- --------------- --------------- --------------- ---------------
$ (9,163) $ 45,511 $ 11,496 $ (2,182) $ 1,424
=============== =============== =============== =============== ===============
<CAPTION>
Short-Term StocksPLUS Strategic Total Return
Fund Fund Balance Fund Fund
- --------------- --------------- --------------- ---------------
<C> <C> <C> <C>
$ 18,394 $ 33,195 $ 3,017 $ 896,643
- --------------- --------------- --------------- ---------------
0 0 0 2,002
- --------------- --------------- --------------- ---------------
18,394 33,195 3,017 898,645
=============== =============== =============== ===============
751 2,697 215 34,509
- --------------- --------------- --------------- ---------------
679 2,260 136 27,963
- --------------- --------------- --------------- ---------------
16 1,211 3 2,278
- --------------- --------------- --------------- ---------------
24 705 3 2,829
- --------------- --------------- --------------- ---------------
103 202 1 1,821
- --------------- --------------- --------------- ---------------
5 404 1 759
- --------------- --------------- --------------- ---------------
20 352 1 943
- --------------- --------------- --------------- ---------------
11 36 0 3,040
- --------------- --------------- --------------- ---------------
2 3 0 75
- --------------- --------------- --------------- ---------------
0 0 0 0
- --------------- --------------- --------------- ---------------
20 110 2 4,249
- --------------- --------------- --------------- ---------------
1,631 7,980 362 78,466
- --------------- --------------- --------------- ---------------
16,763 25,215 2,655 820,179
=============== =============== =============== ===============
(458) (2,791) (606) (370,699)
- --------------- --------------- --------------- ---------------
0 38,008 1,825 (137,403)
- --------------- --------------- --------------- ---------------
(185) (2,684) (80) (10,913)
- --------------- --------------- --------------- ---------------
(3,178) 11 (599) (264,964)
- --------------- --------------- --------------- ---------------
0 (57,129) (4,667) (7,121)
- --------------- --------------- --------------- ---------------
41 (2,276) (128) (12,538)
- --------------- --------------- --------------- ---------------
(3,780) (26,861) (4,255) (803,638)
- --------------- --------------- --------------- ---------------
$ 12,983 $ (1,646) $ (1,600) $ 16,541
=============== =============== =============== ===============
</TABLE>
See accompanying notes 107
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Emerging Markets
Amounts in thousands Convertible Bond Fund Bond Fund
--------------------- -----------------------------------
Six Months Ended Six Months Ended Year Ended
Increase (Decrease) in Net Assets from: September 30, 1999 September 30, 1999 March 31, 1999
(Unaudited) (Unaudited)
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ (88) $ 657 $ 464
- ----------------------------------------------------------------- --------------------- -----------------------------------
Net realized gain (loss) 636 (49) (364)
- ----------------------------------------------------------------- --------------------- -----------------------------------
Net change in unrealized appreciation (depreciation) 740 142 (652)
- ----------------------------------------------------------------- --------------------- -----------------------------------
Net increase (decrease) resulting from operations 1,288 750 (552)
================================================================= ===================== ===================================
Distributions to Shareholders:
From net investment income
Class A 0 (12) (21)
- ----------------------------------------------------------------- --------------------- -----------------------------------
Class B 0 (31) (29)
- ----------------------------------------------------------------- --------------------- -----------------------------------
Class C 0 (14) (19)
- ----------------------------------------------------------------- --------------------- -----------------------------------
Other Classes 0 600) (395)
- ----------------------------------------------------------------- --------------------- -----------------------------------
In excess of net investment income
Class A 0 0 0
- ----------------------------------------------------------------- --------------------- -----------------------------------
Class B 0 0 0
- ----------------------------------------------------------------- --------------------- -----------------------------------
Class C 0 0 0
- ----------------------------------------------------------------- --------------------- -----------------------------------
Other Classes 0 0 0
- ----------------------------------------------------------------- --------------------- -----------------------------------
From net realized capital gains
Class A 0 0 0
- ----------------------------------------------------------------- --------------------- -----------------------------------
Class B 0 0 0
- ----------------------------------------------------------------- --------------------- -----------------------------------
Class C 0 0 0
- ----------------------------------------------------------------- --------------------- -----------------------------------
Other Classes 0 0 0
- ----------------------------------------------------------------- --------------------- -----------------------------------
In excess of net realized capital gains
Class A 0 0 (1)
- ----------------------------------------------------------------- --------------------- -----------------------------------
Class B 0 0 (2)
- ----------------------------------------------------------------- --------------------- -----------------------------------
Class C 0 0 (1)
- ----------------------------------------------------------------- --------------------- -----------------------------------
Other Classes 0 0 (24)
- ----------------------------------------------------------------- --------------------- -----------------------------------
Total Distributions 0 (657) (492)
================================================================= ===================== ===================================
Fund Share Transactions:
Receipts for shares sold
Class A 278 63 184
- ----------------------------------------------------------------- --------------------- -----------------------------------
Class B 441 482 502
- ----------------------------------------------------------------- --------------------- -----------------------------------
Class C 1,912 53 273
- ----------------------------------------------------------------- --------------------- -----------------------------------
Other Classes 40,660 26,967 895
- ----------------------------------------------------------------- --------------------- -----------------------------------
Issued in reorganization
Class A 0 0 0
- ----------------------------------------------------------------- --------------------- -----------------------------------
Class B 0 0 0
- ----------------------------------------------------------------- --------------------- -----------------------------------
Class C 0 0 0
- ----------------------------------------------------------------- --------------------- -----------------------------------
Other Classes 0 0 0
- ----------------------------------------------------------------- --------------------- -----------------------------------
Issued as reinvestment of distributions
Class A 0 10 16
- ----------------------------------------------------------------- --------------------- -----------------------------------
Class B 0 16 18
- ----------------------------------------------------------------- --------------------- -----------------------------------
Class C 0 8 11
- ----------------------------------------------------------------- --------------------- -----------------------------------
Other Classes 0 570 405
- ----------------------------------------------------------------- --------------------- -----------------------------------
Cost of shares redeemed
Class A (10) 0 (295)
- ----------------------------------------------------------------- --------------------- -----------------------------------
Class B (11) (15) (372)
- ----------------------------------------------------------------- --------------------- -----------------------------------
Class C (16) (23) (122)
- ----------------------------------------------------------------- --------------------- -----------------------------------
Other Classes (5,780) (15,327) (346)
- ----------------------------------------------------------------- --------------------- -----------------------------------
Net increase (decrease) resulting from Fund share transactions 37,474 12,804 1,169
- ----------------------------------------------------------------- --------------------- -----------------------------------
Total Increase (Decrease) in Net Assets 38,762 12,897 125
================================================================= ===================== ===================================
Net Assets:
Beginning of period 0 4,558 4,433
- ----------------------------------------------------------------- --------------------- -----------------------------------
End of period * $ 38,762 $ 17,455 $ 4,558
- ----------------------------------------------------------------- --------------------- -----------------------------------
*Including net undistributed (overdistributed)
investment income of: $ (88) $ 0 $ 0
- ----------------------------------------------------------------- --------------------- -----------------------------------
<CAPTION>
Amounts in thousands Foreign Bond Fund Global Bond Fund II
----------------------------------- ----------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
Increase (Decrease) in Net Assets from: September 30, 1999 March 31, 1999 September 30, 1999 March 31, 1999
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 18,288 $ 27,910 $ 1,145 $ 2,125
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Net realized gain (loss) (5,982) 5,073 (1,175) 75
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Net change in unrealized appreciation (depreciation) (23,009) 5,504 (754) 200
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Net increase (decrease) resulting from operations (10,703) 38,487 (784) 2,400
==================================================== =================================== ==================================
Distributions to Shareholders:
From net investment income
Class A (1,003) (1,018) (76) (245)
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Class B (571) (681) (114) (188)
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Class C (750) (992) (133) (250)
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Other Classes (15,810) (25,369) (821) (1,435)
- ---------------------------------------------------- ----------------------------------- ----------------------------------
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 (231) 0 (5)
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Class B 0 (171) 0 (6)
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Class C 0 (239) 0 (9)
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Other Classes 0 (4,368) 0 (42)
- ---------------------------------------------------- ----------------------------------- ----------------------------------
In excess of net realized capital gains
Class A 0 (578) 0 (26)
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Class B 0 (429) 0 (34)
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Class C 0 (598) 0 (47)
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Other Classes 0 (10,932) 0 (220)
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Total Distributions (18,134) (45,606) (1,144) (2,507)
==================================================== =================================== ==================================
Fund Share Transactions:
Receipts for shares sold
Class A 26,475 27,767 998 1,024
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Class B 5,613 12,228 760 1,843
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Class C 5,500 18,663 775 1,091
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Other Classes 79,747 301,244 500 4,100
- ---------------------------------------------------- ----------------------------------- ----------------------------------
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 785 1,435 57 218
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Class B 446 1,052 84 157
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Class C 607 1,625 117 266
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Other Classes 12,390 29,769 793 1,643
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Cost of shares redeemed
Class A (7,374) (9,441) (758) (5,295)
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Class B (2,240) (2,428) (567) (1,535)
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Class C (3,319) (7,487) (471) (1,588)
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Other Classes (131,056) (176,331) 0 (1,175)
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Net increase (decrease) resulting from Fund
share transactions (12,426) 198,096 2,288 749
- ---------------------------------------------------- ----------------------------------- ----------------------------------
Total Increase (Decrease) in Net Assets (41,263) 190,977 360 642
==================================================== =================================== ==================================
Net Assets:
Beginning of period 620,783 429,806 42,544 41,902
- ---------------------------------------------------- ----------------------------------- ----------------------------------
End of period * $ 579,520 $ 620,783 $ 42,904 $ 42,544
- ---------------------------------------------------- ----------------------------------- ----------------------------------
*Including net undistributed (overdistributed)
investment income of: $ 8,577 $ 8,423 $ (40) $ (41)
- ---------------------------------------------------- ----------------------------------- ----------------------------------
</TABLE>
108 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
High Yield Fund Long-Term U.S. Gov't Fund
- ----------------------------------- ----------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 1999 March 31, 1999 September 30, 1999 March 31, 1999
(Unaudited) (Unaudited)
<S> <C> <C> <C>
$ 147,039 $ 206,013 $ 9,277 $ 9,135
- ----------------------------------- ----------------------------------
(15,595) (5,689) (14,886) (505)
- ----------------------------------- ----------------------------------
(153,619) (88,818) (3,554) (5,884)
- ----------------------------------- ----------------------------------
(22,175) 111,506 (9,163) 2,746
=================================== ==================================
(7,242) (7,385) (883) (843)
- ----------------------------------- ----------------------------------
(11,406) (14,721) (1,002) (1,044)
- ----------------------------------- ----------------------------------
(13,980) (22,155) (738) (902)
- ----------------------------------- ----------------------------------
(114,380) (159,223) (6,679) (6,348)
- ----------------------------------- ----------------------------------
0 (95) 0 0
- ----------------------------------- ----------------------------------
0 (190) 0 0
- ----------------------------------- ----------------------------------
0 (286) 0 0
- ----------------------------------- ----------------------------------
0 (2,059) 0 0
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
0 0 0 (843)
- ----------------------------------- ----------------------------------
0 0 0 (1,298)
- ----------------------------------- ----------------------------------
0 0 0 (1,162)
- ----------------------------------- ----------------------------------
0 0 0 (4,295)
- ----------------------------------- ----------------------------------
(147,008) (206,114) (9,302) (16,735)
=================================== ==================================
93,051 137,501 13,612 36,432
- ----------------------------------- ----------------------------------
89,982 182,999 11,058 37,608
- ----------------------------------- ----------------------------------
120,738 258,132 7,060 39,974
- ----------------------------------- ----------------------------------
821,954 1,410,720 182,883 196,867
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
4,459 4,421 717 1,202
- ----------------------------------- ----------------------------------
5,876 7,543 736 1,826
- ----------------------------------- ----------------------------------
8,767 13,989 563 1,559
- ----------------------------------- ----------------------------------
103,442 146,326 5,711 9,031
- ----------------------------------- ----------------------------------
(58,839) (54,108) (12,663) (12,413)
- ----------------------------------- ----------------------------------
(41,376) (53,670) (8,423) (6,867)
- ----------------------------------- ----------------------------------
(96,585) (175,112) (11,290) (15,054)
- ----------------------------------- ----------------------------------
(548,209) (771,543) (32,991) (68,977)
- ----------------------------------- ----------------------------------
503,260 1,107,198 156,973 221,188
- ----------------------------------- ----------------------------------
334,077 1,012,590 138,508 207,199
=================================== ==================================
3,223,250 2,210,660 281,638 74,439
- ----------------------------------- ----------------------------------
$ 3,557,327 $ 3,223,250 $ 420,146 $ 281,638
- ----------------------------------- ----------------------------------
$ (2,253) $ (2,284) $ 75 $ 100
- ----------------------------------- ----------------------------------
<CAPTION>
Low Duration Fund Money Market Fund
- ----------------------------------- ----------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 1999 March 31, 1999 September 30, 1999 March 31, 1999
(Unaudited) (Unaudited)
<S> <C> <C> <C>
$ 124,956 $ 217,276 $ 11,496 $ 11,632
- ----------------------------------- ----------------------------------
(26,528) 4,149 0 0
- ----------------------------------- ----------------------------------
(52,917) (10,418) 0 0
- ----------------------------------- ----------------------------------
45,511 211,007 11,496 11,632
=================================== ==================================
(6,190) (8,976) (2,351) (3,793)
- ----------------------------------- ----------------------------------
(1,725) (2,185) (270) (330)
- ----------------------------------- ----------------------------------
(3,103) (4,608) (1,880) (3,648)
- ----------------------------------- ----------------------------------
(113,885) (201,521) (6,989) (3,864)
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
0 (200) 0 0
- ----------------------------------- ----------------------------------
0 (73) 0 0
- ----------------------------------- ----------------------------------
0 (112) 0 0
- ----------------------------------- ----------------------------------
0 (3,748) 0 0
- ----------------------------------- ----------------------------------
0 (837) 0 0
- ----------------------------------- ----------------------------------
0 (305) 0 0
- ----------------------------------- ----------------------------------
0 (469) 0 0
- ----------------------------------- ----------------------------------
0 (15,684) 0 0
- ----------------------------------- ----------------------------------
(124,903) (238,718) (11,490) (11,635)
=================================== ==================================
178,107 508,627 2,251,744 3,795,864
- ----------------------------------- ----------------------------------
27,322 77,162 38,940 43,230
- ----------------------------------- ----------------------------------
30,035 74,325 574,015 1,514,481
- ----------------------------------- ----------------------------------
1,769,605 2,411,822 209,009 848,391
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
5,294 8,716 1,252 2,190
- ----------------------------------- ----------------------------------
1,228 1,938 224 274
- ----------------------------------- ----------------------------------
2,457 4,065 1,507 2,811
- ----------------------------------- ----------------------------------
97,491 186,268 6,800 3,024
- ----------------------------------- ----------------------------------
(135,654) (433,778) (2,257,077) (3,734,230)
- ----------------------------------- ----------------------------------
(17,499) (31,051) (34,828) (31,473)
- ----------------------------------- ----------------------------------
(20,854) (34,148) (573,249) (1,486,828)
- ----------------------------------- ----------------------------------
(1,100,421) (1,876,626) (267,606) (575,933)
- ----------------------------------- ----------------------------------
837,111 897,320 (49,269) 381,801
- ----------------------------------- ----------------------------------
757,719 869,609 (49,263) 381,798
=================================== ==================================
3,871,247 3,001,638 537,890 156,092
- ----------------------------------- ----------------------------------
$ 4,628,966 $ 3,871,247 $ 488,627 $ 537,890
- ----------------------------------- ----------------------------------
$ (3,954) $ (4,007) $ 20 $ 14
- ----------------------------------- ----------------------------------
<CAPTION>
Municipal Bond Fund Real Return Fund
- ----------------------------------- ----------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 1999 March 31, 1999 September 30, 1999 March 31, 1999
(Unaudited) (Unaudited)
<S> <C> <C> <C>
$ 1,146 $ 1,602 $ 1,848 $ 695
- ----------------------------------- ----------------------------------
(424) (6) 215 131
- ----------------------------------- ----------------------------------
(2,904) 2,835 (639) (46)
- ----------------------------------- ----------------------------------
(2,182) 4,431 1,424 780
=================================== ==================================
(188) (231) (225) (105)
- ----------------------------------- ----------------------------------
(103) (135) (162) (109)
- ----------------------------------- ----------------------------------
(680) (1,016) (121) (91)
- ----------------------------------- ----------------------------------
(173) (220) (1,275) (363)
- ----------------------------------- ----------------------------------
0 0 0 (14)
- ----------------------------------- ----------------------------------
0 0 0 (15)
- ----------------------------------- ----------------------------------
0 (2) 0 (13)
- ----------------------------------- ----------------------------------
0 0 0 (51)
- ----------------------------------- ----------------------------------
0 0 0 (2)
- ----------------------------------- ----------------------------------
0 0 0 (1)
- ----------------------------------- ----------------------------------
0 0 0 (1)
- ----------------------------------- ----------------------------------
0 0 0 (3)
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
(1,144) (1,604) (1,783) (768)
=================================== ==================================
3,567 3,043 3,051 6,141
- ----------------------------------- ----------------------------------
1,115 2,929 4,963 3,210
- ----------------------------------- ----------------------------------
1,995 4,471 6,821 3,626
- ----------------------------------- ----------------------------------
2,620 7,840 77,594 11,792
- ----------------------------------- ----------------------------------
0 6,782 0 0
- ----------------------------------- ----------------------------------
0 3,958 0 0
- ----------------------------------- ----------------------------------
0 36,556 0 0
- ----------------------------------- ----------------------------------
0 0 0 0
- ----------------------------------- ----------------------------------
116 140 165 115
- ----------------------------------- ----------------------------------
60 75 114 98
- ----------------------------------- ----------------------------------
501 732 56 33
- ----------------------------------- ----------------------------------
169 214 938 361
- ----------------------------------- ----------------------------------
(1,013) (3,240) (169) (337)
- ----------------------------------- ----------------------------------
(908) (990) (633) (1,174)
- ----------------------------------- ----------------------------------
(5,224) (6,220) (478) (1,626)
- ----------------------------------- ----------------------------------
(2,728) (3,582) (2,462) (1,922)
- ----------------------------------- ----------------------------------
270 52,708 89,960 20,317
- ----------------------------------- ----------------------------------
(3,056) 55,535 89,601 20,329
=================================== ==================================
58,558 3,023 28,211 7,882
- ----------------------------------- ----------------------------------
$ 55,502 $ 58,558 $ 117,812 $ 28,211
- ----------------------------------- ----------------------------------
$ 0 $ (2) $ 52 $ (13)
- ----------------------------------- ----------------------------------
</TABLE>
See accompanying notes 109
<PAGE>
Statements of Changes in Net Assets (Cont.)
<TABLE>
<CAPTION>
Amounts in thousands Short-Term Fund StocksPLUS Fund
----------------------------------- ----------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
Increase (Decrease) in Net Assets from: September 30, 1999 March 31, 1999 September 30, 1999 March 31, 1999
----------------------------------- ----------------------------------
(Unaudited) (Unaudited)
Operations:
<S> <C> <C> <C> <C>
Net investment income (loss) $ 16,763 $ 25,972 $ 25,215 $ 56,693
- --------------------------------------------- ----------------------------------- ----------------------------------
Net realized gain (loss) (643) 217 32,533 107,476
- --------------------------------------------- ----------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) (3,137) (613) (59,394) (10,410)
- --------------------------------------------- ----------------------------------- ----------------------------------
Net increase (decrease) resulting from
operations 12,983 25,576 (1,646) 153,759
- --------------------------------------------- ----------------------------------- ----------------------------------
Distributions to Shareholders:
From net investment income
Class A (2,147) (2,553) (2,684) (5,558)
- --------------------------------------------- ----------------------------------- ----------------------------------
Class B (94) (95) (3,976) (9,623)
- --------------------------------------------- ----------------------------------- ----------------------------------
Class C (396) (547) (3,826) (8,506)
- --------------------------------------------- ----------------------------------- ----------------------------------
Other Classes (14,100) (22,783) (10,095) (27,245)
- --------------------------------------------- ----------------------------------- ----------------------------------
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 (16) 0 (8,585)
- --------------------------------------------- ----------------------------------- ----------------------------------
Class B 0 (1) 0 (16,378)
- --------------------------------------------- ----------------------------------- ----------------------------------
Class C 0 (4) 0 (13,745)
- --------------------------------------------- ----------------------------------- ----------------------------------
Other Classes 0 (113) 0 (38,167)
- --------------------------------------------- ----------------------------------- ----------------------------------
In excess of net realized capital gains
Class A 0 (62) 0 0
- --------------------------------------------- ----------------------------------- ----------------------------------
Class B 0 (3) 0 0
- --------------------------------------------- ----------------------------------- ----------------------------------
Class C 0 (14) 0 0
- --------------------------------------------- ----------------------------------- ----------------------------------
Other Classes 0 (436) 0 0
- --------------------------------------------- ----------------------------------- ----------------------------------
Total Distributions (16,737) (26,627) (20,581) (127,807)
============================================= =================================== ==================================
Fund Share Transactions:
Receipts for shares sold
Class A 37,906 100,568 111,361 130,068
- --------------------------------------------- ----------------------------------- ----------------------------------
Class B 2,993 6,850 83,493 184,202
- --------------------------------------------- ----------------------------------- ----------------------------------
Class C 9,874 47,252 78,352 166,603
- --------------------------------------------- ----------------------------------- ----------------------------------
Other Classes 698,908 890,437 169,808 216,013
- --------------------------------------------- ----------------------------------- ----------------------------------
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 1,899 2,329 2,385 12,348
- --------------------------------------------- ----------------------------------- ----------------------------------
Class B 76 55 3,600 22,233
- --------------------------------------------- ----------------------------------- ----------------------------------
Class C 336 441 3,553 19,336
- --------------------------------------------- ----------------------------------- ----------------------------------
Other Classes 11,239 16,533 9,684 62,137
- --------------------------------------------- ----------------------------------- ----------------------------------
Cost of shares redeemed
Class A (32,489) (46,206) (100,361) (59,680)
- --------------------------------------------- ----------------------------------- ----------------------------------
Class B (1,949) (4,346) (32,588) (29,175)
- --------------------------------------------- ----------------------------------- ----------------------------------
Class C (6,395) (38,830) (28,232) (41,951)
- --------------------------------------------- ----------------------------------- ----------------------------------
Other Classes (711,149) (582,240) (94,151) (184,056)
- --------------------------------------------- ----------------------------------- ----------------------------------
Net increase (decrease) resulting from Fund
share transactions 11,249 392,843 206,904 498,078
- --------------------------------------------- ----------------------------------- ----------------------------------
Total Increase (Decrease) in Net Assets 7,495 391,792 184,677 524,030
============================================= =================================== ==================================
Net Assets:
Beginning of period 601,988 210,196 1,201,742 677,712
- --------------------------------------------- ----------------------------------- ----------------------------------
End of period * $ 609,483 $ 601,988 $ 1,386,419 $ 1,201,742
- --------------------------------------------- ----------------------------------- ----------------------------------
*Including net undistributed (overdistributed)
investment income of: $ 369 $ 343 $ 59,607 $ 54,973
- --------------------------------------------- ----------------------------------- ----------------------------------
<CAPTION>
Amounts in thousands Strategic Balance Fund Total Return Fund
---------------------------------- ----------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
Increase (Decrease) in Net Assets from: September 30, 1999 March 31, 1999 September 30, 1999 March 31, 1999
---------------------------------- ----------------------------------
(Unaudited) (Unaudited)
Operations:
<S> <C> <C> <C> <C>
Net investment income (loss) $ 2,655 $ 3,531 $ 820,179 $ 1,285,330
- --------------------------------------------- ---------------------------------- ----------------------------------
Net realized gain (loss) 1,139 3,599 (519,015) 472,416
- --------------------------------------------- ---------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) (5,394) (31) (284,623) (239,440)
- --------------------------------------------- ---------------------------------- ----------------------------------
Net increase (decrease) resulting from
operations (1,600) 7,099 16,541 1,518,306
- --------------------------------------------- ---------------------------------- ----------------------------------
Distributions to Shareholders:
From net investment income
Class A (74) 0 (40,542) (42,630)
- --------------------------------------------- ---------------------------------- ----------------------------------
Class B (111) 0 (14,557) (15,398)
- --------------------------------------------- ---------------------------------- ----------------------------------
Class C (111) 0 (18,099) (24,602)
- --------------------------------------------- ---------------------------------- ----------------------------------
Other Classes (2,103) (3,144) (746,069) (1,203,263)
- --------------------------------------------- ---------------------------------- ----------------------------------
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 0 (19,342)
- --------------------------------------------- ---------------------------------- ----------------------------------
Class B 0 0 0 (9,103)
- --------------------------------------------- ---------------------------------- ----------------------------------
Class C 0 0 0 (13,017)
- --------------------------------------------- ---------------------------------- ----------------------------------
Other Classes 0 (3,358) 0 (471,102)
- --------------------------------------------- ---------------------------------- ----------------------------------
In excess of net realized capital gains
Class A 0 0 0 (14,512)
- --------------------------------------------- ---------------------------------- ----------------------------------
Class B 0 0 0 (6,829)
- --------------------------------------------- ---------------------------------- ----------------------------------
Class C 0 0 0 (9,766)
- --------------------------------------------- ---------------------------------- ----------------------------------
Other Classes 0 0 0 (353,438)
- --------------------------------------------- ---------------------------------- ----------------------------------
Total Distributions (2,399) (6,502) (819,267) (2,183,002)
============================================= ================================== ==================================
Fund Share Transactions:
Receipts for shares sold
Class A 1,788 0 782,962 854,123
- --------------------------------------------- ---------------------------------- ----------------------------------
Class B 2,813 0 172,709 409,474
- --------------------------------------------- ---------------------------------- ----------------------------------
Class C 2,091 0 184,421 408,975
- --------------------------------------------- ---------------------------------- ----------------------------------
Other Classes 5,226 55,317 5,450,442 11,022,189
- --------------------------------------------- ---------------------------------- ----------------------------------
Issued in reorganization
Class A 8,167 0 0 0
- --------------------------------------------- ---------------------------------- ----------------------------------
Class B 11,192 0 0 0
- --------------------------------------------- ---------------------------------- ----------------------------------
Class C 11,513 0 0 0
- --------------------------------------------- ---------------------------------- ----------------------------------
Other Classes 35,908 0 0 0
- --------------------------------------------- ---------------------------------- ----------------------------------
Issued as reinvestment of distributions
Class A 42 0 35,882 65,979
- --------------------------------------------- ---------------------------------- ----------------------------------
Class B 76 0 10,549 23,537
- --------------------------------------------- ---------------------------------- ----------------------------------
Class C 81 0 13,805 36,630
- --------------------------------------------- ---------------------------------- ----------------------------------
Other Classes 833 4,044 595,042 1,701,985
- --------------------------------------------- ---------------------------------- ----------------------------------
Cost of shares redeemed
Class A (3,542) 0 (280,987) (284,563)
- --------------------------------------------- ---------------------------------- ----------------------------------
Class B (143) 0 (55,618) (54,809)
- --------------------------------------------- ---------------------------------- ----------------------------------
Class C (204) 0 (110,501) (116,385)
- --------------------------------------------- ---------------------------------- ----------------------------------
Other Classes (14,613) (646) (2,808,881)
- --------------------------------------------- ---------------------------------- ----------------------------------
Net increase (decrease) resulting from Fund
share transactions 61,228 58,715 3,989,825 8,697,489
- --------------------------------------------- ---------------------------------- ----------------------------------
Total Increase (Decrease) in Net Assets 57,229 59,312 3,187,099 8,032,793
============================================= ================================== ==================================
Net Assets:
Beginning of period 98,118 38,806 26,124,504 18,091,711
- --------------------------------------------- ---------------------------------- ----------------------------------
End of period * $ 155,347 $ 98,118 $ 29,311,603 $ 26,124,504
- --------------------------------------------- ---------------------------------- ----------------------------------
*Including net undistributed (overdistributed)
investment income of: $ 2,441 $ 2,185 $ (76,156) $ (77,068)
- --------------------------------------------- ---------------------------------- ----------------------------------
</TABLE>
110 See accompanying notes
<PAGE>
Statements of Cash Flows
For the period ended September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Foreign Global Bond Long-Term U.S. Real Return
Amounts in thousands Bond Fund Fund II Government Fund Bond Fund
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Cash and Foreign Currency from:
Financing Activities
Sales of Fund shares $ 119,263 $ 3,102 $ 164,528 $ 92,067
- ------------------------------------------------------ --------------- --------------- --------------- ---------------
Redemptions of Fund shares (145,426) (1,801) (67,793) (3,551)
- ------------------------------------------------------ --------------- --------------- --------------- ---------------
Cash distributions paid (3,922) (89) (1,506) (362)
- ------------------------------------------------------ --------------- --------------- --------------- ---------------
Increase/(decrease) from financing transactions 19,305 1,903 10,238 41,654
- ------------------------------------------------------ --------------- --------------- --------------- ---------------
Net increase (decrease) from financing activities (10,780) 3,115 105,467 129,808
====================================================== =============== =============== =============== ===============
Operating Activities
Purchases of long-term securities and foreign currency (1,886,127) (113,019) (871,309) (225,734)
- ------------------------------------------------------ --------------- --------------- --------------- ---------------
Proceeds from sales of long-term securities and
foreign currency 1,882,144 107,990 754,101 96,515
- ------------------------------------------------------ --------------- --------------- --------------- ---------------
Purchases of short-term securities (net) 35,911 1,570 3,031 (2,344)
- ------------------------------------------------------ --------------- --------------- --------------- ---------------
Net investment income 18,288 1,145 9,277 1,848
- ------------------------------------------------------ --------------- --------------- --------------- ---------------
Change in other receivables/payables (net) (28,415) 58 (567) (878)
- ------------------------------------------------------ --------------- --------------- --------------- ---------------
Net increase (decrease) from operating activities 21,801 (2,256) (105,467) (130,593)
====================================================== =============== =============== =============== ===============
Net Increase in Cash and Foreign Currency 11,021 859 0 (785)
====================================================== =============== =============== =============== ===============
Cash and Foreign Currency
Beginning of period 0 128 0 888
- ------------------------------------------------------ --------------- --------------- --------------- ---------------
End of period $ 11,021 $ 987 $ 0 $ 103
====================================================== =============== =============== =============== ===============
</TABLE>
See accompanying notes 111
<PAGE>
Notes to Financial Statements
September 30, 1999 (Unaudited)
1. Organization
PIMCO Funds: Pacific Investment Management Series (the "Trust") was established
as a Massachusetts business trust on February 19, 1987. The Trust is registered
under the Investment Company Act of 1940 (the "Act"), as amended, as an open-end
investment management company. The Trust currently consists of 28 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 Long Duration
Fund had not commenced operations as of September 30, 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 Convertible Bond, StocksPLUS and
Strategic Balanced Funds, are declared on each day the Trust is open for
business and are distributed to shareholders monthly. Dividends from net
investment income, if any, of the Convertible Bond, 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.
112
<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 Convertible Bond, StocksPLUS and Strategic Balanced Funds, are
allocated daily to each class of shares based on the relative value of settled
shares. Income and non-class specific expenses of the Convertible Bond,
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 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.
113
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 1999 (Unaudited)
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, 0.20% for the Short Duration Municipal Income
Fund, 0.40% for the Convertible Bond, StocksPLUS and Strategic Balanced 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 Retail Classes is charged at the annual
rate of 0.35% for the Money Market, Municipal Bond, Short-Term, Short Duration
Municipal Income, California Intermediate Municipal Bond, New York Intermediate
Municipal Bond Funds, 0.45% for the Foreign Bond and Global Bond II Funds, 0.55%
for the Emerging Markets Bond Fund and 0.40% for all other Funds. The
Administration Fee for the Institutional and Administrative Classes is charged
at an annual rate of 0.18% for the Low Duration and Total Return Funds, 0.19%
for the Short Duration Municipal Income Fund, 0.20% for the Moderate Duration,
Money Market and Short-Term Funds, 0.24% California Intermediate Municipal Bond
and New York Intermediate Municipal Bond Funds, 0.40% for the Emerging Markets
Bond Fund and 0.25% for all other Funds. The Administration Fee for Class D is
charged at the annual rate of 0.25% for Low Duration, Short-Term, and Total
Return Funds, 0.35% for Municipal Bond Fund, 0.45% for Foreign Bond Fund, 0.40%
for all other Funds.
Distribution and Servicing Fees. PIMCO Funds Distributors LLC, ("PFD"), a
wholly-owned subsidiary of PIMCO Advisors L.P., serves as the distributor of the
Trust's shares.
114
<PAGE>
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., Total Return
and Short Duration Municipal
Income 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
Money Market Fund -- 0.10 -- 0.20
Short-Term, California Intermediate
Municipal Bond and New York
Intermediate Municipal Bond Funds 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 September 30,
1999, the funds were informed that PFD received $5,858,339 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; 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 September 30, 1999 were as follows (amounts in thousands):
<TABLE>
<CAPTION>
U.S. Government/Agency All Other
-----------------------------------------------------------
Purchases Sales Purchases Sales
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Convertible Bond Fund $ 0 $ 0 $ 78,016 $ 42,278
Emerging Markets Bond Fund 0 0 33,595 22,062
Foreign Bond Fund 566,643 516,127 1,355,018 1,412,435
Global Bond Fund II 30,998 31,618 84,680 80,334
High Yield Fund 0 0 1,170,815 597,168
Long-Term U.S. Gov't Fund 666,424 757,092 212,143 12,546
Low Duration Fund 1,121,701 1,598,675 1,489,622 536,811
Municipal Bond Fund 0 0 28,197 27,452
Real Return Bond Fund 200,021 90,606 23,217 6,459
Short-Term Fund 24,898 41,101 123,147 62,778
StocksPLUS Fund 386,466 276,094 344,577 169,817
Strategic Balanced Fund 83,397 45,333 43,983 8,667
Total Return Fund 23,255,503 38,945,812 27,139,903 4,360,485
</TABLE>
115
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 1999 (Unaudited)
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>
Convertible
Bond Fund Emerging Markets Bond Fund
------------------- -----------------------------------------
Period Ended Period Ended Year Ended
09/30/1999 09/30/1999 03/31/1999
Shares Amount Shares Amount Shares Amount
- -------------------------------------------------------------- ------------------- ------------------- -------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Class A 25 $ 278 8 $ 63 24 $ 184
- -------------------------------------------------------------- ------------------- ------------------- -------------------
Class B 39 441 63 482 68 502
- -------------------------------------------------------------- ------------------- ------------------- -------------------
Class C 170 1,912 7 53 33 273
- -------------------------------------------------------------- ------------------- ------------------- -------------------
Other Classes 3,686 40,660 3,566 26,967 114 895
- -------------------------------------------------------------- ------------------- ------------------- -------------------
Shares issued in reorganization
Class A 0 0 0 0 0 0
- -------------------------------------------------------------- ------------------- ------------------- -------------------
Class B 0 0 0 0 0 0
- -------------------------------------------------------------- ------------------- ------------------- -------------------
Class C 0 0 0 0 0 0
- -------------------------------------------------------------- ------------------- ------------------- -------------------
Other Classes 0 0 0 0 0 0
- -------------------------------------------------------------- ------------------- ------------------- -------------------
Issued as reinvestment of distributions
Class A 0 0 1 10 2 16
- -------------------------------------------------------------- ------------------- ------------------- -------------------
Class B 0 0 2 16 2 18
- -------------------------------------------------------------- ------------------- ------------------- -------------------
Class C 0 0 1 8 1 11
- -------------------------------------------------------------- ------------------- ------------------- -------------------
Other Classes 0 0 75 570 54 405
- -------------------------------------------------------------- ------------------- ------------------- -------------------
Cost of shares redeemed
Class A (1) (10) 0 0 (37) (295)
- -------------------------------------------------------------- ------------------- ------------------- -------------------
Class B (1) (11) (2) (15) (48) (372)
- -------------------------------------------------------------- ------------------- ------------------- -------------------
Class C (1) (16) (3) (23) (18) (122)
- -------------------------------------------------------------- ------------------- ------------------- -------------------
Other Classes (509) (5,780) (2,052) (15,327) (47) (346)
- -------------------------------------------------------------- ------------------- ------------------- -------------------
Net increase (decrease) resulting from
Fund share transactions 3,408 $ 37,474 1,666 $ 12,804 148 $ 1,169
============================================================== =================== =================== ===================
<CAPTION>
Foreign Bond Fund
-----------------------------------------
Period Ended Year Ended
09/30/1999 03/31/1999
Shares Amount Shares Amount
- --------------------------------------------------------------------------------- ------------------- -------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class A 2,574 $ 26,475 2,580 $ 27,767
- --------------------------------------------------------------------------------- ------------------- -------------------
Class B 538 5,613 1,138 12,228
- --------------------------------------------------------------------------------- ------------------- -------------------
Class C 528 5,500 1,741 18,663
- --------------------------------------------------------------------------------- ------------------- -------------------
Other Classes 7,645 79,747 28,018 301,244
- --------------------------------------------------------------------------------- ------------------- -------------------
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 76 785 135 1,435
- --------------------------------------------------------------------------------- ------------------- -------------------
Class B 43 446 99 1,052
- --------------------------------------------------------------------------------- ------------------- -------------------
Class C 59 607 152 1,625
- --------------------------------------------------------------------------------- ------------------- -------------------
Other Classes 1,198 12,390 2,788 29,769
- --------------------------------------------------------------------------------- ------------------- -------------------
Cost of shares redeemed
Class A (713) (7,374) (878) (9,441)
- --------------------------------------------------------------------------------- ------------------- -------------------
Class B (217) (2,240) (227) (2,428)
- --------------------------------------------------------------------------------- ------------------- -------------------
Class C (319) (3,319) (700) (7,487)
- --------------------------------------------------------------------------------- ------------------- -------------------
Other Classes (12,668) (131,056) (16,477) (176,331)
- --------------------------------------------------------------------------------- ------------------- -------------------
Net increase (decrease) resulting from
Fund share transactions (1,256) $ (12,426) 18,369 $ 198,096
================================================================================= ==================== ===================
</TABLE>
<TABLE>
<CAPTION>
Money Market Fund
-----------------------------------------------------
Period Ended Year Ended
09/30/1999 03/31/1999
Shares Amount Shares Amount
- ----------------------------------------------------------------------- ------------------------- --------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class A 2,251,744 $ 2,251,744 3,795,864 $ 3,795,864
- ----------------------------------------------------------------------- ------------------------- --------------------------
Class B 38,940 38,940 43,230 43,230
- ----------------------------------------------------------------------- ------------------------- --------------------------
Class C 574,015 574,015 1,514,481 1,514,481
- ----------------------------------------------------------------------- ------------------------- --------------------------
Other Classes 209,009 209,009 848,391 848,391
- ----------------------------------------------------------------------- ------------------------- --------------------------
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 1,252 1,252 2,190 2,190
- ----------------------------------------------------------------------- ------------------------- --------------------------
Class B 224 224 274 274
- ----------------------------------------------------------------------- ------------------------- --------------------------
Class C 1,507 1,507 2,811 2,811
- ----------------------------------------------------------------------- ------------------------- --------------------------
Other Classes 6,800 6,800 3,024 3,024
- ----------------------------------------------------------------------- ------------------------- --------------------------
Cost of shares redeemed
Class A (2,257,077) (2,257,077) (3,734,230) (3,734,230)
- ----------------------------------------------------------------------- ------------------------- --------------------------
Class B (34,828) (34,828) (31,473) (31,473)
- ----------------------------------------------------------------------- ------------------------- --------------------------
Class C (573,250) (573,249) (1,486,828) (1,486,828)
- ----------------------------------------------------------------------- ------------------------- --------------------------
Other Classes (267,606) (267,606) (575,933) (575,933)
- ----------------------------------------------------------------------- ------------------------- --------------------------
Net increase (decrease) resulting from
Fund share transactions (49,270) $ (49,269) 381,801 $ 381,801
======================================================================= ========================= ==========================
<CAPTION>
Municipal Bond Fund Real Return Bond Fund
------------------------------------------ --------------------------------------
Period Ended Year Ended Period Ended Year Ended
09/30/1999 03/31/1999 09/30/1999 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
- ---------------------------------------- ------------------- -------------------- ------------------ -----------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Class A 359 $ 3,567 322 $ 3,043 306 $ 3,051 620 $ 6,141
- ---------------------------------------- ------------------- -------------------- ------------------ -----------------
Class B 114 1,115 295 2,929 502 4,963 328 3,210
- ---------------------------------------- ------------------- -------------------- ------------------ -----------------
Class C 201 1,995 644 4,471 693 6,821 371 3,626
- ---------------------------------------- ------------------- -------------------- ------------------ -----------------
Other Classes 264 2,620 772 7,840 7,867 77,594 1,199 11,792
- ---------------------------------------- ------------------- -------------------- ------------------ -----------------
Shares issued in reorganization
Class A 0 0 676 6,782 0 0 0 0
- ---------------------------------------- ------------------- -------------------- ------------------ -----------------
Class B 0 0 395 3,958 0 0 0 0
- ---------------------------------------- ------------------- -------------------- ------------------ -----------------
Class C 0 0 3,645 36,556 0 0 0 0
- ---------------------------------------- ------------------- -------------------- ------------------ -----------------
Other Classes 0 0 0 0 0 0 0 0
- ---------------------------------------- ------------------- -------------------- ------------------ -----------------
Issued as reinvestment of distributions
Class A 12 116 14 140 21 165 12 115
- ---------------------------------------- ------------------- -------------------- ------------------ -----------------
Class B 6 60 7 75 12 114 10 98
- ---------------------------------------- ------------------- -------------------- ------------------ -----------------
Class C 51 501 72 732 6 56 3 33
- ---------------------------------------- ------------------- -------------------- ------------------ -----------------
Other Classes 17 169 22 214 95 938 36 361
- ---------------------------------------- ------------------- -------------------- ------------------ -----------------
Cost of shares redeemed
Class A (104) (1,013) (318) (3,240) (17) (169) (34) (337)
- ---------------------------------------- ------------------- -------------------- ------------------ -----------------
Class B (92) (908) (97) (990) (64) (633) (120) (1,174)
- ---------------------------------------- ------------------- -------------------- ------------------ -----------------
Class C (532) (5,224) (614) (6,220) (48) (478) (166) (1,626)
- ---------------------------------------- ------------------- -------------------- ------------------ -----------------
Other Classes (279) (2,728) (351) (3,582) (249) (2,462) (195) (1,922)
- ---------------------------------------- ------------------- -------------------- ------------------ -----------------
Net increase (decrease) resulting from
Fund share transactions 17 $ 270 5,484 $ 52,708 9,124 $ 89,960 2,064 $ 20,317
======================================== =================== ==================== ================== =================
</TABLE>
116
<PAGE>
<TABLE>
<CAPTION>
Global Bond Fund II High Yield Fund
- ----------------------------------------- -----------------------------------------------
Period Ended Year Ended Period Ended Year Ended
09/30/1999 03/31/1999 09/30/1999 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
- ----------------------------------------- -----------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
103 $ 998 103 $ 1,024 8,440 $ 93,051 12,154 $ 137,501
- ----------------------------------------- -----------------------------------------------
78 760 186 1,843 8,148 89,982 16,167 182,999
- ----------------------------------------- -----------------------------------------------
80 775 110 1,091 10,946 120,738 22,663 258,132
- ----------------------------------------- -----------------------------------------------
52 500 418 4,100 74,081 821,954 124,498 1,410,720
- ----------------------------------------- -----------------------------------------------
0 0 0 0 0 0 0 0
- ----------------------------------------- -----------------------------------------------
0 0 0 0 0 0 0 0
- ----------------------------------------- -----------------------------------------------
0 0 0 0 0 0 0 0
- ----------------------------------------- -----------------------------------------------
0 0 0 0 0 0 0 0
- ----------------------------------------- -----------------------------------------------
6 57 22 218 407 4,459 390 4,421
- ----------------------------------------- -----------------------------------------------
9 84 16 157 535 5,876 666 7,543
- ----------------------------------------- -----------------------------------------------
12 117 27 266 799 8,767 1,234 13,989
- ----------------------------------------- -----------------------------------------------
83 793 166 1,643 9,442 103,442 12,906 146,326
- ----------------------------------------- -----------------------------------------------
(78) (758) (537) (5,295) (5,381) (58,839) (4,784) (54,108)
- ----------------------------------------- -----------------------------------------------
(59) (567) (155) (1,535) (3,768) (41,376) (4,747) (53,670)
- ----------------------------------------- -----------------------------------------------
(49) (471) (160) (1,588) (8,775) (96,585) (15,317) (175,112)
- ----------------------------------------- -----------------------------------------------
0 0 (119) (1,175) (50,088) (548,209) (68,522) (771,543)
- ----------------------------------------- -----------------------------------------------
237 $ 2,288 77 $ 749 44,786 $ 503,260 97,308 $ 1,107,198
========================================= ===============================================
<CAPTION>
Long-Term U.S. Gov't Fund Low Duration Fund
- ------------------------------------------ ---------------------------------------------------
Period Ended Year Ended Period Ended Year Ended
09/30/1999 03/31/1999 09/30/1999 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
- ------------------------------------------ ---------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1,369 $ 13,612 3,332 $ 36,432 17,830 $ 178,107 49,976 $ 508,627
- ------------------------------------------ ---------------------------------------------------
1,109 11,058 3,430 37,608 2,737 27,322 7,581 77,162
- ------------------------------------------ ---------------------------------------------------
707 7,060 3,616 39,974 3,002 30,035 7,307 74,325
- ------------------------------------------ ---------------------------------------------------
18,604 182,883 18,028 196,867 177,766 1,769,605 237,127 2,411,822
- ------------------------------------------ ---------------------------------------------------
0 0 0 0 0 0 0 0
- ------------------------------------------ ---------------------------------------------------
0 0 0 0 0 0 0 0
- ------------------------------------------ ---------------------------------------------------
0 0 0 0 0 0 0 0
- ------------------------------------------ ---------------------------------------------------
0 0 0 0 0 0 0 0
- ------------------------------------------ ---------------------------------------------------
72 717 111 1,202 531 5,294 857 8,716
- ------------------------------------------ ---------------------------------------------------
74 736 168 1,826 123 1,228 191 1,938
- ------------------------------------------ ---------------------------------------------------
57 563 144 1,559 246 2,457 400 4,065
- ------------------------------------------ ---------------------------------------------------
578 5,711 834 9,031 9,788 97,491 18,312 186,268
- ------------------------------------------ ---------------------------------------------------
(1,272) (12,663) (1,132) (12,413) (13,588) (135,654) (42,621) (433,778)
- ------------------------------------------ ---------------------------------------------------
(844) (8,423) (626) (6,867) (1,753) (17,499) (3,055) (31,051)
- ------------------------------------------ ---------------------------------------------------
(1,128) (11,290) (1,373) (15,054) (2,089) (20,854) (3,358) (34,148)
- ------------------------------------------ ---------------------------------------------------
(3,287) (32,991) (6,234) (68,977) (110,213) (1,100,421) (184,542) (1,876,626)
- ------------------------------------------ ---------------------------------------------------
16,039 $ 156,973 20,298 $ 221,188 84,380 $ 837,111 88,175 $ 897,320
========================================== ===================================================
<CAPTION>
Short-Term Fund StocksPLUS Fund
- -------------------------------------------- -------------------------------------------
Period Ended Year Ended Period Ended Year Ended
09/30/1999 03/31/1999 09/30/1999 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
- -------------------------------------------- -------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
3,793 $ 37,906 10,028 $ 100,568 7,538 $ 111,361 9,310 $ 130,068
- -------------------------------------------- -------------------------------------------
300 2,993 682 6,850 5,667 83,493 13,245 184,202
- -------------------------------------------- -------------------------------------------
989 9,874 4,713 47,252 5,307 78,352 11,922 166,603
- -------------------------------------------- -------------------------------------------
70,018 698,908 88,655 890,437 11,389 169,808 15,465 216,013
- -------------------------------------------- -------------------------------------------
0 0 0 0 0 0 0 0
- -------------------------------------------- -------------------------------------------
0 0 0 0 0 0 0 0
- -------------------------------------------- -------------------------------------------
0 0 0 0 0 0 0 0
- -------------------------------------------- -------------------------------------------
0 0 0 0 0 0 0 0
- -------------------------------------------- -------------------------------------------
190 1,899 232 2,329 166 2,385 907 12,348
- -------------------------------------------- -------------------------------------------
7 76 6 55 252 3,600 1,644 22,233
- -------------------------------------------- -------------------------------------------
34 336 44 441 248 3,553 1,426 19,336
- -------------------------------------------- -------------------------------------------
1,126 11,239 1,711 16,533 673 9,684 4,549 62,137
- -------------------------------------------- -------------------------------------------
(3,248) (32,489) (4,608) (46,206) (6,758) (100,361) (4,278) (59,680)
- -------------------------------------------- -------------------------------------------
(195) (1,949) (433) (4,346) (2,219) (32,588) (2,101) (29,175)
- -------------------------------------------- -------------------------------------------
(640) (6,395) (3,874) (38,830) (1,910) (28,232) (3,039) (41,951)
- -------------------------------------------- -------------------------------------------
(71,234) (711,149) (58,021) (582,240) (6,316) (94,151) (13,049) (184,056)
- -------------------------------------------- -------------------------------------------
1,140 $ 11,249 39,135 $ 392,843 14,037 $ 206,904 36,001 $ 498,078
============================================ ===========================================
<CAPTION>
Strategic Balanced Fund Total Return Fund
- ----------------------------------------- ---------------------------------------------------
Period Ended Year Ended Period Ended Year Ended
09/30/1999 03/31/1999 09/30/1999 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
- ----------------------------------------- ---------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
47 $ 1,788 0 $ 0 76,599 $ 782,962 80,262 $ 854,123
- ----------------------------------------- ---------------------------------------------------
126 2,813 0 0 16,964 172,709 38,344 409,474
- ----------------------------------------- ---------------------------------------------------
72 2,091 0 0 18,097 184,421 38,335 408,975
- ----------------------------------------- ---------------------------------------------------
658 5,226 4,335 55,317 537,065 5,450,442 1,033,953 11,022,189
- ----------------------------------------- ---------------------------------------------------
629 8,167 0 0 0 0 0 0
- ----------------------------------------- ---------------------------------------------------
862 11,192 0 0 0 0 0 0
- ----------------------------------------- ---------------------------------------------------
888 11,513 0 0 0 0 0 0
- ----------------------------------------- ---------------------------------------------------
2,758 35,908 0 0 0 0 0 0
- ----------------------------------------- ---------------------------------------------------
3 42 0 0 3,537 35,882 6,210 65,979
- ----------------------------------------- ---------------------------------------------------
6 76 0 0 1,040 10,549 2,219 23,537
- ----------------------------------------- ---------------------------------------------------
6 81 0 0 1,361 13,805 3,450 36,630
- ----------------------------------------- ---------------------------------------------------
65 833 323 4,044 58,763 595,042 160,191 1,701,985
- ----------------------------------------- ---------------------------------------------------
(281) (3,542) 0 0 (27,698) (280,987) (26,665) (284,563)
- ----------------------------------------- ---------------------------------------------------
(11) (143) 0 0 (5,478) (55,618) (5,132) (54,809)
- ----------------------------------------- ---------------------------------------------------
(16) (204) 0 0 (10,884) (110,501) (10,902) (116,385)
- ----------------------------------------- ---------------------------------------------------
(1,154) (14,613) (50) (646) (276,921) (2,808,881) (502,698) (5,369,646)
- ----------------------------------------- ---------------------------------------------------
4,658 $ 61,228 4,608 $ 58,715 392,445 $ 3,989,825 817,567 $ 8,697,489
========================================= ===================================================
</TABLE>
117
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 1999 (Unaudited)
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 Acquired
Shares Value of Total Net Total Net Net Assets Fund's
Issued by Shares Issued Assets of Assets of of Acquiring Unrealized
Acquiring by Acquiring Acquired Acquiring Fund After Appreciation/
Acquiring Fund Acquired Fund Date Fund Fund Fund Fund Acquisition (Depreciation)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
PIMCO Municipal PIMCO Tax Exempt Fund 06/26/1998 4,715 $ 47,296 $ 47,296 $ 4,295 $ 51,585 $ 2,335
Bond Fund
- -----------------------------------------------------------------------------------------------------------------------------------
PIMCO Strategic PIMCO Balanced Fund 09/17/1999 5,137 $ 66,780 $ 66,780 $105,993 $ 172,774 $ (45)
Balanced Fund
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
7. Transactions in Written Call and Put Options
Transactions in written call and put options were as follows (amounts in
thousands):
<TABLE>
<CAPTION>
Long-Term Strategic
Foreign Global Bond U.S. Gov't. Low Duration Real Return StocksPLUS Balanced Total Return
Bond Fund Fund II Fund Fund Fund Fund Fund Fund
- ----------------------------------------------------------------------------------------------------------------------------
Premium
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Balance at 03/31/1999 $ 126 $ 9 $ 224 $ 1,830 $ 0 $ 53 $ 21 $ 35,106
Sales 1,295 102 896 7,749 5 8,344 517 54,967
Closing Buys 0 0 0 0 0 (515) (20) (827)
Expirations (297) (17) (1,109) (454) (5) (6,509) (380) (50,564)
Exercised 0 (4) 0 0 0 0 0 (791)
- ----------------------------------------------------------------------------------------------------------------------------
Balance at 09/30/1999 $ 1,124 $ 90 $ 11 $ 9,125 $ 0 $ 1,373 $ 138 $ 37,891
============================================================================================================================
</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, 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.
Capital Loss Carryforwards
---------------------------------------------
Realized Acquired
Losses Losses Expiration
- --------------------------------------------------------------------------
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
118
<PAGE>
PIMCO Funds: Pacific Investment Management Series
- --------------------------------------------------------------------------------
Manager Pacific Investment Management Company,
840 Newport Center Drive, Suite 300,
Newport Beach, CA 92660
- --------------------------------------------------------------------------------
Distributor PIMCO Funds Distributors LLC,
2187 Atlantic Street,
Stamford, CT 06902
- --------------------------------------------------------------------------------
Custodian Investors Fiduciary Trust Company,
801 Pennsylvania,
Kansas City, MO 64105
- --------------------------------------------------------------------------------
Shareholder First Data Investor Services Group, Inc.,
Servicing Agent and P.O. Box 9688,
Transfer Agent Providence, RI 02940-9688
- --------------------------------------------------------------------------------
Independent PricewaterhouseCoopers LLP,
1055 Broadway,
Accountant Kansas City, 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.
<PAGE>
More Tributes to Bill Gross's Investment Acumen
[PHOTO]
Bill Gross
Managing Director
If you were browsing through any of the leading personal finance magazines this
fall, there's a good chance you came across Bill Gross's name. Money, SmartMoney
and Worth all included Mr. Gross on their investment all-star lists--a tribute
to his achievements as one of the world's leading bond authorities. And he was
the only portfolio manager to make all three lineups. Here's a sampling of what
the magazines had to say:
[ ] In its October cover story, Money reveals its "Ultimate Investment Club
1999." For bond expertise, the magazine turned to Bill Gross, calling him "the
undisputed king of the bond world". And in discussing other bond fund managers,
a fellow member of the Club says "there's Bill Gross, and there's everyone
else."
[ ] Worth sought advice from "Wall Street's 25 Smartest Players" for its October
issue. Bill Gross was one of them. Referring to him simply as "Mister Bond," the
article describes him as "a man whose returns as manager of PIMCO's bond funds
have certainly sent dozens of competing firms looking for models that can at
least match his intuitions."
[ ] In its September issue, SmartMoney named Bill Gross one of "the 30 most
influential people in mutual funds". The write-up on Gross begins with this
assertion: "The numbers tell the tale: One in five dollars invested in bond
funds this year went to Bill Gross's shop." It goes on to say that "Bond fund
managers, well aware of Gross's impeccable record, tend to watch his every
move."
To order reprints of these articles, call your financial advisor or contact
PIMCO Funds at 1-888-87-PIMCO.
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. PZ003.10/99
[LOGO]
BULK RATE
U.S. POSTAGE
PAID
SMITHTOWN, NY
PERMIT NO. 700
PIMCO Funds
Distributors LLC
2187 Atlantic Street
Stamford, CT 06902
<PAGE>
PIMCO Funds Shareholder Update and Semi-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.
September 30, 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]
Investors wishing to ensure their investment portfolios can ride out the waves
of rising and falling inflation will want to read the story on page 4.
Page 2 PIMCO is Morningstar's Choice Once Again This Year
Morningstar Picks PIMCO Funds for its 401(k) Plan
Page 4 Today's Investor
Inflation-Protection Bonds: An Essential Asset Class
Page 6 Market Review
Page 7 Manager Spotlight
Q&A with Bill Gross
Page 8 Fund Spotlight
A Higher Yielding Short-Term Investment
Page 9 In the News
Page 10 Service Update
Introducing the PIMCO Funds Bond Center Online
Page 12 Overview: Comprehensive Fund Family
Page 13 PIMCO Funds Pacific Investment Management Series
Semi-Annual Report
[LOGO OF PIMCO FUNDS]
<PAGE>
Morningstar Picks PIMCO
Morningstar chose two PIMCO Funds for its 401(k) plan--and they're the only bond
funds in it.
When Morningstar announced its new 401(k) lineup in August, only two bond funds
were on the list--PIMCO Total Return and PIMCO High Yield Funds.
Morningstar is the country's leading mutual fund rating service, so the funds it
chooses for its own company retirement plan tend to attract a lot of attention.
In fact, The Wall Street Journal (7/13/99) says "a look at what [Morningstar]
chooses for itself is akin to learning the favorite recipes of a master chef."
As Morningstar itself says (8/99): "with 15 years of experience analyzing
investments, we should know a thing or two about picking funds and building
portfolios."
So how did Morningstar arrive at its 401(k) picks? The company based its
decisions on more than just performance--though strong performance was certainly
a factor. It also placed a premium on the fund manager's experience and
expertise.
"The first step," according to Morningstar, "was to run our entire mutual fund
database through a series of quantitative screens to weed out the weak
offerings. The criteria measured each option relative to its own investment
category, not its asset class, to enable accurate comparisons..." Then
Morningstar applied a rigorous six-step screening process to come up with the
final list of funds (see below). Funds that failed to clear one or more of these
hurdles were dropped from the plan. Obviously, both PIMCO Total Return and High
Yield Funds made the grade.
What's more, both PIMCO Total Return and PIMCO High Yield Funds have earned
Morningstar's overall [FIVE STAR] rating, its highest rating among 1,585 taxable
bond funds for the period ended September 30, 1999. (See page 9 for more
details.)
Morningstar's 401(k) Checklist
Morningstar used the following six-step screening process to select funds for
its retirement plan. Funds had to clear all of these hurdles to be considered.
Both PIMCO Total Return and High Yield Funds cleared them handily.
PIMCO Total PIMCO High
Return Fund Yield Fund
Length of track record--at least 3 years X X
Manager tenure--at least 3 years X X
Performance consistency X X
Style consistency X X
High risk-adjusted performance ranking X X
Expenses in line with the category average X X
2
<PAGE>
Once Again this Year
Earlier this year, Morningstar named Bill Gross and his management team Fixed
Income Manager of the Year.
In case you missed the news, we're happy to repeat that Morningstar named Bill
Gross and his management team 1998 Fixed Income Manager of the Year. Gross is a
PIMCO founder and Managing Director, and Portfolio Manager of PIMCO Total Return
and PIMCO Low Duration Funds.
Morningstar established its Fund Manager of the Year Awards in 1987 to recognize
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" (1/99). Awards are also bestowed on fund
managers in the Domestic Equity and International categories.
In making its announcement, Morningstar (1/99) said, "Gross has set PIMCO apart
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.
Morningstar went on to commend 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."
[PHOTO]
Morningstar's Fixed Income Manager of the Year:
Bill Gross (seated left) and his management team.
Past performance is no guarantee of future results. Investment return will
fluctuate and the value of an investor's shares will fluctuate and may be worth
more or less than original cost when redeemed. Selection of these funds by
Morningstar was not based solely on performance. Morningstar chose Institutional
Class shares for use in its plan. Expense ratios differ by share class. A PIMCO
equity fund was formerly available within Morningstar's 401(k) plan. Morningstar
proprietary ratings reflect historical risk-adjusted performance and are subject
to monthly charges. See page 9 for more details.
3
<PAGE>
Inflation-Protection Bonds: An Essential Asset Class
[GRAPHIC]
Inflation crested in the 1970's, with prices (as measured by the Consumer Price
Index) increasing as much as 13.3% in one year. But starting in the early 80's,
the inflation wave receded to the point where prices rose less than 2% last
year. In the midst of this low-inflation environment, the U.S. government began
issuing TIPS--Treasury Inflation-Protection Securities. Could these bonds be a
worthwhile addition to your portfolio? The answer is probably yes.
Inflation-protection bonds allow your portfolio to stay on course--undisturbed
by inflation's ups and downs.
Introducing inflation-protection bonds
Inflation-protection bonds do what no other asset class does--seek to protect an
investor's purchasing power by offering a fixed "real" (meaning after-inflation)
yield. Specifically, these bonds pay a fixed coupon, but adjust the principal
value of the bonds in accordance with changes in the rate of inflation. That
means that if the Consumer Price Index rises, the bond's principal value will be
increased at the same rate. As a result, the interest income calculated off of
that principal value will also increase at the same rate --maintaining the
investor's purchasing power. Investors should be aware that if the Consumer
Price Index decreased (a situation called deflation), the bond's principal value
and interest income would also decrease. The last time the Consumer Price Index
fell for the year was 1954.
Here's how it works
To really understand how inflation-protection bonds work, consider this example.
Assume a bond was issued in January at an original par value of $1,000 and a
fixed 4% coupon. Also assume that inflation for the year was 2%. At the end of
the year, the par value of the bond would have increased to $1,020, matching the
2% increase in inflation. The annual interest payment from the bond would be
$40.80. So, while prices have gone up, the investor's interest income has gone
up as well, and he or she can still afford to buy the same amount of goods or
services.
Protecting Purchasing Power Hypothetical example
of how TIPs adjust to various inflation rates
<TABLE>
<CAPTION>
January Annual December Annual
Original Par Value Fixed Yield Inflation Rate Year-end Par Value Interest Payment
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$1,000 4% 2% $1,020 $40.80
$1,000 4% 10% $1,100 $44.00
</TABLE>
This example is shown only to illustrate how TIPS respond to changes in
inflation. It is not a reflection or prediction of the return of any PIMCO Fund
and it does not reflect any fees or expenses that would be charged by a fund.
The advantages of investing through a mutual fund
Investing in inflation-protection bonds through a mutual fund can offer
investors numerous advantages.
. Dedicated professionals
Inflation-protection bonds are a new and relatively complex asset class, making
it difficult for most individual investors to get up to speed. Mutual funds are
managed by professionals dedicated to an investment specialty.
. Income distribution
Investors who hold inflation-protection bonds in taxable accounts will owe tax
each year--not just on the income received, but also on the accrued principal.
In many cases, that means they will have to pay taxes on income they won't
receive until the bond matures. Mutual funds can distribute monthly income and
yearly capital gains, so that investors receive the income when they are being
taxed.
. Liquidity
It can be difficult for investors to buy--or more importantly sell--securities
whenever they want. Mutual funds provide easy access to your money, usually
within one business day.
Currently there are only a handful of fund families offering mutual funds
specializing in inflation-protection bonds, including PIMCO's Real Return Bond
Fund.
4
<PAGE>
A core portfolio holding
There are several compelling reasons to make inflation-protection bonds a core
holding of any diversified portfolio--no matter what is happening with
inflation.
1. Competitive returns
As a result of the current low-yield environment, the real yields offered by
TIPS are actually greater than those from equivalent-maturity Treasury bonds.
2. Minimal risk exposure
Bonds, CDs, savings accounts. While these investment options are often touted as
"low risk," investors need to keep in mind that they are still exposed to
inflation risk--the risk that the return on their investment will be eaten away
by rising costs. Inflation-protection bonds offer investors an opportunity to
eliminate inflation risk.
Inflation-Indexed Bonds Have Outperformed
Real yields for TIPS and Treasury bonds as of 9/30/99
Yield - Inflation = Real Return
5 Year Treasury Bond 5.8% 2.3% 3.5%
5 Year Inflation-Protection Bond 3.9% n/a 3.9%
10 Year Treasury Bond 5.9% 2.3% 3.6%
10 Year Inflation-Protection Bond 4.1% n/a 4.1%
Past performance is no guarantee of future results. This example is for
illustrative purposes only and does not reflect or predict the return of any
PIMCO Fund and does not reflect any fees or expenses that would be charged by a
fund. Inflation in this example is measured by the Consumer Price Index (CPI)
and there can be no guarantee that the CPI or other indices will reflect the
exact level of inflation at any given time.
3. Getting in on the ground floor
The prolonged stock market rally has many investors concerned that inflation
will be heating up again.
Recent signs of rising oil prices, international unrest and increasing
employment costs have added fuel to the fire. Over the years, the Federal
Reserve Board has made preemptive strikes to combat inflation threats, but no
one knows for sure what lies ahead. Waiting for prices to start climbing before
you invest in inflation-protection bonds is equivalent to closing the barn door
after the cows get out. To protect your portfolio, you should consider making
these bonds a core holding now. In this way, you will be protected if inflation
does rise, and you will take maximum advantage of the adjustments to principal
that come with an increase in inflation.
4. New market inefficiencies
The U.S. government first issued TIPS in 1997-- not quite 3 years ago. New
markets of this sort can be inefficient.
Jeremey Siegel, Wharton Business School professor and noted author of Stocks for
the Long Run, has been quoted as saying that U.S. government-issued
inflation-protection bonds are "the asset of choice" to combine with stocks in a
long-term portfolio, namely because he sees inflation-protection bonds as such a
"safe alternative to stocks."*
*Source: The Wall Street Journal, 6/21/99
Sophisticated investors, such as portfolio managers, can identify these
inefficiencies and turn them into profitable opportunities.
Find out more
If you would like more information on inflation-protection bonds, go to the
PIMCO funds Web site at www.pimcofunds.com.
While TIPS are issued and guaranteed by the U.S. government, the shares of an
inflation-protection bond fund are not. 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.
5
<PAGE>
Bond Market
Inflation Fears Lift Bond Yields
Long-term interest rates rose during the past six months as inflation fears
continued to dominate the fixed-income marketplace. Bond prices in many sectors
reacted negatively, and by August the 30-year Treasury yield had climbed as high
as 6.28%.
The Federal Reserve raised short-term interest rates twice over the past six
months, taking back two of the three rate cuts of last year. But sentiment
turned positive when it became clear that the Fed was not embarking on a series
of protracted interest rate hikes. However, Alan Greenspan's renewed concerns
about high equity valuations caused the bond market to shift again, leaving
long-term interest rates near two-year highs by the end of September.
Interest rates around the world moved in lock step as the global recovery
continued. Europe's economic prospects remained positive. Asian economies
continued to mend. However, Japan's recovery was jeopardized as the yen's
renewed strength threatened exports and the Bank of Japan failed to respond. In
the U.S., despite significantly lower second quarter GDP figures, consumption
continued to surge, fueled by past stock market gains.
Concerns about liquidity at year-end caused a surge of new issuance in the bond
market during the third quarter. Yield differentials widened as a result. The
high yield and municipal segments, in particular, were negatively affected.
Looking ahead, we see signs that the U.S. economy could slow towards the end of
the year. The backup in interest rates and the recent uncertainty in the stock
market will soon begin to have a negative impact on both consumer and business
spending. In addition, higher gasoline prices are cutting into discretionary
income and much of the investment for Y2K is now behind us.
In our opinion, the worst of the rise in yields may be behind us. Over the next
year we think 30-year Treasury yields will fluctuate between 5.75% and 6.25%.
While still a narrow range, a slowing economy could push Treasury yields to the
lower end.
Long-term interest rates continue to rise.
[GRAPH]
<TABLE>
<CAPTION>
30-Year
U.S. Treasury
Yields (%)
-----------------------
<S> <C>
10/02/1998 4.8
10/09/1998 5.1
10/16/1998 5.0
10/23/1998 5.2
10/30/1998 5.2
11/06/1998 5.4
11/13/1998 5.3
11/20/1998 5.2
11/27/1998 5.2
12/04/1998 5.0
12/11/1998 5.0
12/18/1998 5.0
12/25/1998 5.2
01/01/1999 5.1
01/08/1999 5.3
01/15/1999 5.1
01/22/1999 5.1
01/29/1999 5.1
02/05/1999 5.4
02/12/1999 5.4
02/19/1999 5.4
02/26/1999 5.6
03/05/1999 5.6
03/12/1999 5.5
03/19/1999 5.6
03/26/1999 5.6
04/02/1999 5.6
04/09/1999 5.5
04/16/1999 5.6
04/23/1999 5.6
04/30/1999 5.7
05/07/1999 5.8
05/14/1999 5.9
05/21/1999 5.8
05/28/1999 5.8
06/04/1999 6.0
06/11/1999 6.2
06/18/1999 6.0
06/25/1999 6.2
07/02/1999 6.0
07/09/1999 6.0
07/16/1999 5.9
07/23/1999 6.0
07/30/1999 6.1
08/06/1999 6.2
08/13/1999 6.1
08/20/1999 6.0
08/27/1999 6.0
09/03/1999 6.0
09/10/1999 6.0
09/17/1999 6.1
09/24/1999 6.0
09/30/1999 6.1
</TABLE>
Source: Bloomberg
Stock Market
The Market Broadens and Then Narrows Again
The stock market took investors on a bumpy ride over the six-month period ended
September 30, 1999. After rising to new highs on the coattails of large-cap
growth stocks in the first quarter of 1999, the market rotated in the second
quarter, favoring lower valuation and smaller capitalization issues. The third
quarter saw lackluster performance from nearly all segments of the market, as
performance was held hostage by the specter of inflation and rising interest
rates.
After dominating the market for much of 1998 and the first quarter of 1999,
large-cap growth stocks fell out of favor in the second quarter as interest
rates crept upward. As a result, investors shifted assets into lower valuation,
less interest-rate sensitive cyclical companies. These firms displayed signs of
improvement, due for the most part to the global economic recovery. Then
large-cap growth stocks returned to favor in late June and early July as
interest rates appeared to retreat. However, this trend was short-lived:
interest rates rose in August and this segment of the market ended the third
quarter having lost ground since the first quarter.
The technology sector, with the exception of Internet stocks, was one of the few
areas of the equity market that outperformed in the second and third quarters.
Strong earnings reports helped buoy this sector, despite pressure from rising
interest rates, as these companies were able to justify their valuations with
high earnings growth. Areas of particular excitement in technology included
semiconductor, cell phone handset and fiber optic companies. Internet issues,
with low or no earnings, were unable to justify their valuations in the eyes of
many investors, causing them to underperform in the second and third quarters.
Looking ahead, we are cautiously optimistic that the heightened concern over
interest rates will abate and the market will resume its rise. We are also
hopeful that the market will continue to broaden as the global economy continues
its recovery.
The market continues its ascension.
[GRAPH]
<TABLE>
<CAPTION>
S&P
500
Index
----------------------
<S> <C>
10/02/1998 1002.60
10/09/1998 984.39
10/16/1998 1056.42
10/23/1998 1070.67
10/30/1998 1098.67
11/06/1998 1141.01
11/13/1998 1125.72
11/20/1998 1163.55
11/27/1998 1192.29
12/04/1998 1176.74
12/11/1998 1166.46
12/18/1998 1188.03
12/25/1998 1226.27
01/01/1999 1229.23
01/08/1999 1275.09
01/15/1999 1243.26
01/22/1999 1225.19
01/29/1999 1279.64
02/05/1999 1239.40
02/12/1999 1230.13
02/19/1999 1239.19
02/26/1999 1238.33
03/05/1999 1275.47
03/12/1999 1294.59
03/19/1999 1299.29
03/26/1999 1282.80
04/02/1999 1293.72
04/09/1999 1348.35
04/16/1999 1319.00
04/23/1999 1356.85
04/30/1999 1335.18
05/07/1999 1345.00
05/14/1999 1337.80
05/21/1999 1330.29
05/28/1999 1301.84
06/04/1999 1327.75
06/11/1999 1293.64
06/18/1999 1342.84
06/25/1999 1315.31
07/02/1999 1391.22
07/09/1999 1403.28
07/16/1999 1418.78
07/23/1999 1356.94
07/30/1999 1328.72
08/06/1999 1300.29
08/13/1999 1327.68
08/20/1999 1336.61
08/27/1999 1348.27
09/03/1999 1357.24
09/10/1999 1351.66
09/17/1999 1335.42
09/24/1999 1277.36
09/30/1999 1282.71
</TABLE>
Source: Bloomberg
6
<PAGE>
Managing Director and Portfolio Manager
Q&A with Bill Gross
Manager Spotlight
Bill Gross is a PIMCO founder and Managing Director. He is also the portfolio
manager of the highly rated PIMCO Total Return and Low Duration Funds, and
leader of the team that manages the StocksPLUS Fund. Mr. Gross's views on the
financial markets are regularly featured in The Wall Street Journal, Barron's,
Money and The New York Times. We recently spoke with him about his latest
outlook for the economy and the bond market.
[PHOTO]
Q: Has the bond market stabilized after backing up for most of the year?
A: While long-term interest rates ended the quarter about where they started,
the quarter was anything but stable. Investors heaved a sigh of relief after the
Fed rate hike on June 30. But this relief was short-lived as inflation fears
soon dominated the market again, sending 30-year Treasury yields as high as
6.28%. The market rallied after the August 24 rate hike because wording in the
Fed's statement suggested further tightening was unlikely. However, the good
news didn't last long as new highs in the stock market forced Greenspan to
reiterate his concern about "overvalued" equity prices. And although the
deteriorating trade situation and weakness in the dollar relative to the yen
helped cool off stocks, long-term interest rates remained stuck around 6%.
Q: Where are interest rates headed?
A: I think the worst of the run-up in yields is behind us. Although Treasuries
will probably remain in a narrow range of 5.75% to 6.25%, there is a good chance
the U.S. economy will slow, which will ease inflation pressures, and keep the
Fed from raising short-term interest rates again. By year's end, the mini-bear
market could be over, allowing for positive returns for the bond market.
Q: What leads you to believe the economy will slow?
A: There are four reasons. First, the rise in interest rates that has already
occurred this year will slow spending by both consumers and corporations.
Second, as corporate profit margins are squeezed by higher borrowing costs,
stock prices will likely suffer. This will slow the "wealth effect" consumption
the economy needs to sustain its current growth rate. Third, increases in
gasoline prices may prove to be disinflationary rather than inflationary. That's
because gasoline is an essential commodity and higher prices actually cut into
discretionary spending. Finally, the massive amount of spending to prepare for
Y2K is now largely behind us.
Q: Is the global recovery still on track? Will it lead to higher inflation?
A: The global recovery is still moving forward, but it faces a number of
obstacles. The world remains plagued by over-capacity. Europe's inflexible labor
market makes productivity gains and the implementation of technology difficult.
And, Asia's high personal savings rate is an impediment to increasing consumer
demand, keeping Asian economies focused on exports. As a result, the world
economy is unlikely to achieve its full growth potential, which will likely keep
inflation subdued.
Q: Are there any sectors of the bond market you like right now?
A: I think high-quality "spread" products such as mortgages are attractive. At a
yield of close to 7.5%, GNMA (Government National Mortgage Association) bonds
are a good value. I also recommend TIPS (Treasury Inflation-Protected
Securities) which protect an investor's purchasing power by adjusting their
principle in line with changes in the Consumer Price Index. These securities
offer a real yield of 4%, high by historical standards. Add the adjustment for
inflation--about 2.5% in our view--and the bond provides a "nominal" equivalent
yield of 6.5%.
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 Short-Term Fund
A Higher Yielding Short-Term Investment
Fund
Spotlight
Like many investors, you may have found yourself wondering how long the stock
market's record-breaking bull run can continue. And if you were nervous before,
the Dow's recent 500+ point dip--its biggest weekly point loss ever--probably
added fuel to the fire.
So now, although the market began to recoup its losses as the fourth quarter
began, you may be unsure about what to do with any cash you have on hand. Do you
continue to add to your burgeoning stock portfolio? Or seek a so-called safer
haven--a CD or money market instrument, perhaps?
There is another alternative--one that entails less risk than a stock
investment, yet provides greater yield potential than a CD. Investing in a
short-term bond fund could be the solution you're looking for. And PIMCO
Short-Term Fund is an attractive choice. Here's why:
The potential for higher yield
PIMCO Short-Term Fund has a record of delivering higher yields than government
insured CDs. As Morningstar (1/11/99) says, the Fund has "succeeded where many
of its competitors have failed. Over its 10-plus year history it has beaten the
returns of a six-month CD after expenses." So for investors comfortable taking
on incremental risk in exchange for higher return potential, the Short-Term Fund
may be a sensible option.
A record of low volatility
The Fund's Net Asset Value (NAV) has fluctuated only 3% since inception in 1987.
This is due, in part, to the fact that short-term bonds are less sensitive to
changes in interest rates than longer-term bonds. The Fund's focus on
maintaining a minimum average quality of AA also helps it avoid unnecessary
price fluctuations. So even if the Fed continues to raise interest rates, the
Fund's NAV is likely to steer a comparatively steady course.
Noteworthy performance
PIMCO Short-Term Fund has routinely outperformed both money market funds and
other short-term bond funds. Since inception, the Fund has produced a 6% annual
return, beating that of money market funds (as measured by the Lipper Money
Market Fund Average). It has also outperformed an average of mutual funds with a
similar objective (as measured by the Salomon Bros. 3-Month Treasury Bill Index)
over the last 3-, 5-, 10-year and since inception periods ended 9/30/99. This
has earned the Fund an overall ***** rating from Morningstar as of 9/30/99,
among 1,585 taxable bond funds. (See page 9 for more details.)
An experienced manager
The Fund is managed by short-term bond specialist Paul McCulley. He is also
responsible for supervising short-term securities at PIMCO. McCulley has 16
years of experience, most recently at Warburg Dillon Read where he served as a
Managing Director and Head of both Economic Research for the Americas and Fixed
Income Strategy for the U.S. He holds a BA from Grinnell College and an MBA from
Columbia University.
Part of a long-term investment strategy
We've made the case for PIMCO Short-Term Fund as a good place to invest new
money. But the Fund also can play an invaluable role in a properly allocated
investment portfolio. Over the long term, a short-term bond fund will serve as a
good counterbalance to investments entailing greater risk, such as long-term
bonds and stocks.
To learn more, call us at 1-888-87-PIMCO, or visit our Web site at
www.pimcofunds.com.
PIMCO Short-Term Fund Has Provided Higher Yields
Month-End Yields versus CDs
[GRAPH]
<TABLE>
<CAPTION>
Date. CDs PIMCO Short-Term Fund
<S> <C> <C>
September 1994 2.49% 3.23%
2.58% 3.40%
2.72% 3.43%
2.91% 4.00%
3.05% 4.36%
3.13% 4.69%
3.23% 4.93%
3.31% 4.33%
3.44% 5.03%
3.66% 5.42%
3.88% 6.37%
4.12% 6.03%
4.19% 6.27%
4.34% 6.72%
4.38% 7.01%
4.35% 7.32%
4.28% 7.59%
4.27% 6.90%
4.24% 6.93%
4.22% 6.47%
4.27% 5.90%
4.29% 6.13%
4.26% 6.08%
4.14% 6.13%
4.10% 5.76%
4.07% 5.19%
4.18% 5.69%
4.23% 5.50%
4.12% 5.56%
4.06% 5.58%
4.09% 5.57%
4.10% 5.67%
4.11% 5.58%
4.11% 5.60%
4.11% 5.59%
4.06% 5.56%
4.06% 5.39%
4.07% 4.99%
4.08% 5.14%
4.16% 5.39%
4.18% 5.43%
4.16% 5.44%
4.10% 5.67%
4.11% 5.58%
4.11% 5.60%
4.11% 5.59%
4.06% 5.56%
4.06% 5.39%
4.07% 4.99%
4.08% 5.14%
4.16% 5.39%
4.18% 5.43%
4.16% 5.44%
4.14% 5.43%
4.14% 5.43%
4.13% 5.51%
4.12% 5.43%
4.13% 5.57%
4.11% 5.61%
4.03% 5.53%
4.09% 5.40%
4.10% 5.47%
4.00% 5.10%
4.00% 5.10%
4.00% 5.40%
4.01% 5.20%
4.02% 5.30%
3.93% 5.40%
3.70% 5.10%
3.70% 5.20%
3.70% 5.10%
3.61% 4.98%
3.59% 4.98%
3.56% 4.66%
3.53% 4.93%
3.58% 4.97%
3.62% 5.16%
3.70% 5.03%
3.81% 4.98%
September 1999 3.86% 5.23%
</TABLE>
Past performance is no guarantee of future results. CDs are guaranteed as to
repayment of principal and interest by an agency of the U.S. government.
However, the investment return of bonds and bond funds will fluctuate and the
value of an investor's shares will be worth more or less than the original cost
when redeemed. The Fund's month-end prices and yields are based on monthly
periods for its Institutional Class shares prior to February 1997 and are
calculated in accordance with current Securities and Exchange Commission
regulations. CD yield is the month-end average paid on 3-month retail CDs
offered by major banks. (Source: Banxquote Money Market)
8
<PAGE>
In the News
Recent News on PIMCO Funds
PIMCO Funds and the PIMCO Funds portfolio managers were mentioned in numerous
print and television media during the third quarter of this year. The following
are highlights from a few of those features.
. Bill Gross Repeatedly Recognized Among the Industry Experts PIMCO's Bill Gross
was the only portfolio manager named to three different publications' recent
roundups of leading industry experts. The September issue of SmartMoney ranked
Gross #12 among its 30 Power Brokers, a listing of the most influential people
in the mutual fund industry. Worth's October edition included him as one of Wall
Street's 25 Smartest Players. And Money, in its October issue, placed Gross as
the sole bond manager in its Ultimate Investment Club, "an exclusive group of
world-class investors." Also, a feature article in the October issue of
Individual Investor, entitled "The King of Bonds," highlighted Gross's dominance
in the fixed-income arena and his ability to forecast interest rates.
. Diversity in Technology As Internet stocks continued to confuse investors with
their unstable activity, those funds that diversify across the technology
spectrum drew attention. The PIMCO Innovation Fund was highlighted in an August
5th article in The Wall Street Journal that presented the difference in
volatility between Internet funds and diversified technology portfolios.
. PIMCO Innovation Fund Manager on CNNfn In September, PIMCO Innovation Fund
portfolio manager Dennis McKechnie appeared on CNNfn, sharing his views on the
technology sector. In particular, he focused on telecom and Internet businesses,
which he believes will continue to grow at a rapid pace as Internet and cell
phone subscriptions increase worldwide. Make sure to check www.pimcofunds.com
for notice of upcoming PIMCO Funds TV appearances.
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 September 30, 1999.
- --------------------------------------------------------------------------------
PIMCO STOCK FUNDS Overall 3 Year 5 Year 10 Year
- --------------------------------------------------------------------------------
StocksPLUS ***** 5 5 -
Innovation ***** 5 - -
Capital Appreciation **** 4 4 -
- --------------------------------------------------------------------------------
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 -
Foreign Bond ***** 5 5 -
The chart above is based on September 30, 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 3,210, 2,010 and
751 domestic equity funds and 1,585, 1,153 and 374 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 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. 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>
Service
Update
New Manager of PIMCO Short-Term Fund
Introducing Paul McCulley
[PHOTO]
Paul McCulley
Executive Vice President,
Manager of PIMCO Short-Term Fund
Paul McCulley was recently named manager of PIMCO Short-Term Fund. Early
in his career, he worked at Pacific Investment Management Company as an account
manager and monetary policy specialist. At the time, Bill Gross referred to his
knowledge of Federal Reserve strategy and its effects on bonds as "legendary."
Before his return to PIMCO, McCulley was Managing Director, Chief Economist for
the Americas, and head of U.S. fixed-income strategy for Warburg Dillon Read.
During 1996-1998 he was named to six seats on the Institutional Investor
All-America Fixed-Income Research Team.
In his new position, Mr. McCulley will be responsible for all short-term
portfolios, including PIMCO Short-Term Fund. His talents and background ensure
that he will be a key contributor in developing economic and investment
strategies. He will be sharing his intimate knowledge of Fed policy through a
monthly newsletter entitled "Fed Focus." To read this column, visit PIMCO Funds
at www.pimcofunds.com.
For more detailed information on PIMCO Short-Term Fund, please turn to page 20.
A Word About the Year 2000
We at PIMCO are dedicated to making our computer systems fully operational
before, during, and after 2000. Similarly, our analysts and portfolio managers
take Year 2000 risks into account along with other investment considerations
when making investment decisions, such as choosing counterparties and evaluating
risks associated with portfolio securities. This evaluation often differs for
different issuers and depends upon the investment objectives, policies, and
restrictions applicable to a portfolio. The information available for different
issuers and counterparties varies substantially in accuracy and completeness. In
particular, little information exists about companies that are not registered
with the United States Securities and Exchange Commission and about foreign
issuers, counterparties, markets and other institutions.
While we are dedicated to making a smooth transition to Year 2000, we cannot
guarantee investment performance or that Year 2000 will not result in losses.
Investments in companies with real or perceived Year 2000 problems may decline
in value or fail on scheduled dividend, interest or principal payments. Any such
failures may affect the fund's performance./1/
/1/ This is a Year 2000 Readiness Disclosure.
10
<PAGE>
What's new @ www.pimcofunds.com
Visit the New PIMCO Funds Bond Center for the Best in Online Bond Information
and Analysis
Finally, there's terra firma in cyberspace! Investors looking for bond
information from a bricks and mortar company with a solid reputation can now
access it through the PIMCO Funds Bond Center.
Newly launched in October 1999, the Bond Center offers investors unique access
to the investment analysis and views of PIMCO founder Bill Gross and his team of
experienced fixed-income professionals.
In one place, you'll be able to find interest rate analysis, bond market
commentary, insight into PIMCO's investment philosophy and detailed information
about the PIMCO family of bond funds. The Bond Center takes Bill Gross and his
management team's investment expertise and brings it to your desktop. It's one
of the richest sources of information on bonds and bond mutual funds available.
Here's a quick rundown of highlights from the PIMCO Funds Bond Center:
. Bill Gross's Investment Outlook
A monthly commentary on the bond market, the economy and interest rate trends
from Morningstar's 1998 Fixed Income Manager of the Year. You'll enjoy Mr.
Gross's lively and wide-ranging writing style.
. Regular Fund Manager Updates
Timely reviews and forecasts from the managers of PIMCO's bond funds, with
insight into the Funds themselves and into the managers' respective areas of
expertise.
. Monthly Focus on the Fed
Fed Focus is a regular feature from Paul McCulley, who heads up PIMCO's
short-term desk and manages PIMCO Short-Term Fund. Each month, McCulley will
take you behind the headlines to reveal invaluable insight into the workings of
the Fed.
. PIMCO's Sector-Specific Investment Philosophies
PIMCO's fixed-income investment expertise extends far beyond its total return
investment philosophy. Through the Bond Center, you can access PIMCO white
papers that will give you an in-depth understanding of the sector-specific
strategies guiding the management of PIMCO's bond portfolios.
. And much, much more.
Check out the PIMCO Funds Bond Center today for comprehensive information about
fixed-income investing from America's leading bond manager. To access the Bond
Center, visit our Web site at www.pimcofunds.com, and click on "Bond Center" at
the top of our Home Page.
11
<PAGE>
The PIMCO Funds Family
PIMCO Funds offers unique access to the investment expertise of PIMCO Advisors
L.P. PIMCO manages $256 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
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
- ------------------------------------------------------------------------------------------------------------------------------------
Enhanced Index Tax-Efficient Equity Maximum after-tax growth of capital Stocks of larger-capitalized companies
Funds
StocksPLUS Total return exceeding the S&P 500 Index S&P 500 stock index futures backed by a
portfolio of 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 Low Duration Maximum total return Shorter-term, investment grade bonds (1-3 year
Bond Funds duration)
Short-Term Maximum current income consistent with Money market securities and short-term bonds
preservation of capital and daily (up to 1 year duration)
liquidity
- ------------------------------------------------------------------------------------------------------------------------------------
Intermediate Total Return Maximum total return Intermediate-term, investment grade bonds
Duration (3-6 year duration)
Bond Funds
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
Bond Funds 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 year
Bond Funds federal taxes, preservation of capital duration)
- ------------------------------------------------------------------------------------------------------------------------------------
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 Semi-Annual Report
Dear Fellow Shareholder:
Over the last six months, while the U.S economy continued to steam ahead, the
stock and bond markets have experienced a mix of ups and downs. The stock market
has taken investors on a bit of a roller coaster ride, with the technology
sector (excluding Internet stocks) remaining one of the few areas of the market
to outperform.
It's been a turbulent time for most sectors of the bond market, too, as
they reacted negatively to the continued strength of the U.S. economy and to
rising interest rates. The Fed raised the short-term interest rate twice in the
past six months, bringing it back up to 5.25%, but we are optimistic that this
is not the beginning of a protracted series of rate hikes, such as occurred in
1994.
Yet, despite all this volatility, the funds in the PIMCO Funds Pacific
Management Series have continued to experience strong relative performance
across the board. It's this kind of solid performance--even in difficult
times--that has helped build PIMCO's reputation as America's leading bond
manager. In fact, PIMCO Funds is attracting new investors at a rapid rate: it
recently surpassed the $50 billion mark in assets under management, making it
one of the country's fastest-growing fund families.
There was more good news. After naming Bill Gross and his investment team
Fixed Income Manager of the Year in January, Morningstar announced this summer
that it had selected two PIMCO Funds for inclusion in its 401(k) plan--PIMCO
Total Return and High Yield Funds. And they're the only bond funds in
Morningstar's plan. You may also have noticed Bill Gross's appearance on the
investment "all-star" lists of Money, Worth and SmartMoney--the only portfolio
manager to make all three lineups. (More on this on page 9.)
And now to the business at hand. On the following pages, we present
detailed information on all the Funds in our Pacific Investment Management
Series. I encourage you to review the information and commentary carefully. Once
again, I'd like to thank you for the trust you've placed in us through your
investment. If you have any questions, 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
October 29, 1999
PIMCO Advisors Holdings L.P. (NYSE:PA), its operating subsidiary PIMCO Advisors
L.P. and Allianz AG (EURO:ALV) announced that they have reached a definitive
agreement for Allianz AG to acquire majority ownership of PIMCO Advisors,
including all of the interests held at PIMCO Advisors Holdings L.P. Under the
terms of the agreement, at the closing the units of PA Holdings will be
exchanged by way of a merger and there will be no further public ownership of
PIMCO Advisors. Additionally, key employees at each of PIMCO Advisors'
investment units, including PIMCO's Bill Gross, have significant profit-sharing
and retention arrangements to ensure continuity of the investment process and
staff.
13
<PAGE>
PIMCO Funds Financial Information
We are pleased to present an in-depth review of PIMCO Funds Pacific Investment
Management Series as of September 30, 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 26-79 Schedule of Investments
The Schedule of Investments includes a listing of securities in the Fund's
portfolio as of September 30, 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 31
Low Duration Fund Page 17 Page 36
Municipal Bond Fund Page 18 Page 43
Real Return Bond Fund Page 19 Page 45
Short-Term Fund Page 20 Page 47
StocksPLUS Fund Page 21 Page 50
Strategic Balanced Fund Page 22 Page 54
Total Return Fund Page 23 Page 57
Total Return Mortgage Fund Page 24 Page 79
Pages 80-81 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 82-83 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 84-85 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 86-88 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 89 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.
Pages 90-95 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>
September 30, 1999
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:
12/03/92
TOTAL NET ASSETS:
$579.5 million
PORTFOLIO MANAGER:
Lee Thomas
PIMCO Foreign Bond Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/99
D Shares Lipper Intl. J.P. Morgan
Income Fund Non-U.S.
Average Index (Hedged)
- --------------------------------------------------------------------------------
1 year 0.76% -0.54% 2.16%
3 years 7.91% 3.94% 9.50%
5 years 11.48% 6.83% 11.24%
Inception 9.43% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO J.P. Morgan
MONTH Foreign D Non-U.S. Index
(Hedged)
<S> <C> <C>
12/31/1992 10,000 10,000
01/31/1993 10,079 10,091
02/28/1993 10,297 10,274
03/31/1993 10,332 10,280
04/30/1993 10,328 10,281
05/31/1993 10,417 10,338
06/30/1993 10,660 10,549
07/31/1993 10,824 10,667
08/31/1993 11,083 10,889
09/30/1993 11,123 10,936
10/31/1993 11,284 11,082
11/30/1993 11,312 11,159
12/31/1993 11,590 11,390
01/31/1994 11,601 11,333
02/28/1994 11,290 11,078
03/31/1994 11,089 10,977
04/30/1994 10,981 10,899
05/31/1994 10,816 10,779
06/30/1994 10,613 10,669
07/31/1994 10,675 10,739
08/31/1994 10,566 10,636
09/30/1994 10,580 10,645
10/31/1994 10,617 10,687
11/30/1994 10,770 10,838
12/31/1994 10,696 10,813
01/31/1995 10,764 10,931
02/28/1995 10,831 11,072
03/31/1995 10,834 11,297
04/30/1995 11,095 11,477
05/31/1995 11,527 11,854
06/30/1995 11,453 11,814
07/31/1995 11,667 11,963
08/31/1995 11,885 12,067
09/30/1995 12,051 12,258
10/31/1995 12,248 12,395
11/30/1995 12,725 12,667
12/31/1995 12,909 12,785
01/31/1996 13,222 12,939
02/29/1996 12,936 12,787
03/31/1996 13,142 12,893
04/30/1996 13,456 13,047
05/31/1996 13,503 13,136
06/30/1996 13,651 13,245
07/31/1996 13,780 13,345
08/31/1996 14,113 13,522
09/30/1996 14,504 13,810
10/31/1996 14,858 14,038
11/30/1996 15,213 14,319
12/31/1996 15,289 14,339
01/31/1997 15,528 14,518
02/28/1997 15,607 14,611
03/31/1997 15,407 14,533
04/30/1997 15,546 14,690
05/31/1997 15,622 14,767
06/30/1997 15,931 15,018
07/31/1997 16,162 15,257
08/31/1997 16,091 15,275
09/30/1997 16,434 15,545
10/31/1997 16,237 15,645
11/30/1997 16,451 15,757
12/31/1997 16,686 15,962
01/31/1998 16,922 16,174
02/28/1998 17,072 16,318
03/31/1998 17,280 16,464
04/30/1998 17,336 16,548
05/31/1998 17,476 16,774
06/30/1998 17,560 16,847
07/31/1998 17,834 17,003
08/31/1998 17,686 17,338
09/30/1998 18,086 17,749
10/31/1998 17,706 17,722
11/30/1998 18,032 17,914
12/31/1998 18,279 17,892
01/31/1999 18,648 18,114
02/28/1999 18,460 17,993
03/31/1999 18,567 18,207
04/30/1999 18,801 18,438
05/31/1999 18,500 18,363
06/30/1999 18,268 18,078
07/31/1999 18,270 18,031
08/31/1999 18,133 18,063
09/30/1999 18,224 18,132
</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
- -----------------------------------
1-5 years 37%
- -----------------------------------
5-10 years 44%
- -----------------------------------
10-20 years 11%
- -----------------------------------
20-30 years 8%
- -----------------------------------
Duration 4.70 years
- -----------------------------------
Top 10 Countries
- -----------------------------------
United States 39.4%
- -----------------------------------
Japan 11.5%
- -----------------------------------
Germany 8.8%
- -----------------------------------
Supranational 5.2%
- -----------------------------------
New Zealand 4.2%
- -----------------------------------
Canada 3.8%
- -----------------------------------
Denmark 3.6%
- -----------------------------------
United Kingdom 3.3%
- -----------------------------------
Spain 3.2%
- -----------------------------------
Cayman Islands 1.9%
- -----------------------------------
Quality Breakdown
- -----------------------------------
AAA 69.3%
- -----------------------------------
AA 15.0%
- -----------------------------------
A 5.9%
- -----------------------------------
BBB 5.0%
- -----------------------------------
BB 4.2%
- -----------------------------------
B 0.6%
- -----------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
For the six-month period ended September 30, 1999, the PIMCO Foreign Bond Fund
underperformed the J.P. Morgan Non-U.S. Index (Hedged), with Class D shares
falling 1.85% compared to a decline of 0.41% for the Index. However, the
portfolio has beaten the Lipper International Income Fund Average return over
the 1-, 3-, 5-year and since inception periods ended September 30, 1999.
PIMCO Foreign Bond Fund invests in what we believe to be the safest and most
liquid fixed-income securities outside of the United States. By utilizing
PIMCO's total return approach, the manager aims to deliver a portfolio that is
relatively less volatile than other high yielding, low-quality global bond
funds.
In particular, during the past six months, numerous portfolio strategies were
responsible for the Fund's competitive performance. The Fund's below-Index
duration (interest rate sensitivity) added to returns as interest rates rose
across the globe. Economic data from Europe and Asia continued to improve,
suggesting the emergence of a global recovery. By having a relatively low
duration, the Fund was able to avoid full exposure to the negative effects of
these events.
Certain regional allocations supported the Fund's positive performance.
Emerging market positions aided returns due to their relatively higher yields
and diminished market volatility. Country selection within the dollar bloc was a
slight positive for the portfolio, especially overweight allocation in Australia
and New Zealand--two countries that benefited from low inflation and strong
currencies.
However, other country selection detracted from the Fund's results. Certain
European bloc countries were a slight negative for the Fund. In particular,
emphasis on second round European Monetary Union candidates such as Greece and
Sweden hurt performance as yield premiums widened due to liquidity concerns. An
underweight position in Japan was a negative as Japanese bonds gained, buoyed by
demand from domestic institutional investors.
Going forward, we will continue to target portfolio duration below the
benchmark, particularly in Japan, as improving economic fundamentals lead to
higher interest rates. In core Europe, we will focus on higher yielding
countries such as Spain and Italy, and we will overweight the Euro versus the
U.S. dollar due to improving European economic fundamentals. We will also
maintain a small position in higher-quality emerging market bonds to take
advantage of that region's improving fundamentals.
See page 26 for financial details. 15
<PAGE>
September 30, 1999
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:
$3.6 billion
PORTFOLIO MANAGER:
Ben Trosky
PIMCO High Yield Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/99
D Shares Lipper High Lehman BB
Current Yield Int. Corp.
Fund Average Index
- --------------------------------------------------------------------------------
1 year 4.29% 4.84% 2.46%
3 years 7.89% 5.51% 7.09%
5 years 10.21% 8.16% 9.10%
Inception 10.35% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO Lehman BB
MONTH High Int. Corp.
Yield D Index
<S> <C> <C>
12/31/1992 10,000 10,000
01/31/1993 10,224 10,211
02/28/1993 10,409 10,361
03/31/1993 10,616 10,478
04/30/1993 10,726 10,566
05/31/1993 10,801 10,644
06/30/1993 11,091 10,870
07/31/1993 11,167 10,980
08/31/1993 11,288 11,107
09/30/1993 11,341 11,188
10/31/1993 11,642 11,338
11/30/1993 11,728 11,368
12/31/1993 11,825 11,465
01/31/1994 12,074 11,657
02/28/1994 12,068 11,644
03/31/1994 11,703 11,288
04/30/1994 11,598 11,221
05/31/1994 11,679 11,231
06/30/1994 11,692 11,265
07/31/1994 11,798 11,402
08/31/1994 11,894 11,523
09/30/1994 11,972 11,544
10/31/1994 11,975 11,571
11/30/1994 11,923 11,492
12/31/1994 12,063 11,563
01/31/1995 12,177 11,749
02/28/1995 12,507 12,106
03/31/1995 12,686 12,220
04/30/1995 12,959 12,465
05/31/1995 13,331 12,831
06/30/1995 13,436 12,944
07/31/1995 13,612 13,062
08/31/1995 13,713 13,138
09/30/1995 13,901 13,280
10/31/1995 14,100 13,384
11/30/1995 14,267 13,553
12/31/1995 14,504 13,767
01/31/1996 14,735 13,990
02/29/1996 14,747 13,940
03/31/1996 14,626 13,867
04/30/1996 14,686 13,862
05/31/1996 14,731 13,881
06/30/1996 14,787 14,031
07/31/1996 14,914 14,107
08/31/1996 15,153 14,221
09/30/1996 15,502 14,527
10/31/1996 15,652 14,729
11/30/1996 15,987 15,026
12/31/1996 16,142 15,059
01/31/1997 16,303 15,203
02/28/1997 16,550 15,386
03/31/1997 16,328 15,203
04/30/1997 16,498 15,392
05/31/1997 16,869 15,655
06/30/1997 17,113 15,857
07/31/1997 17,550 16,330
08/31/1997 17,539 16,174
09/30/1997 17,830 16,428
10/31/1997 17,843 16,484
11/30/1997 18,009 16,600
12/31/1997 18,209 16,752
01/31/1998 18,516 16,953
02/28/1998 18,611 17,031
03/31/1998 18,752 17,140
04/30/1998 18,795 17,228
05/31/1998 18,888 17,340
06/30/1998 19,022 17,446
07/31/1998 19,218 17,536
08/31/1998 18,441 17,052
09/30/1998 18,670 17,414
10/31/1998 18,479 17,191
11/30/1998 19,254 17,603
12/31/1998 19,331 17,714
01/31/1999 19,582 17,897
02/28/1999 19,416 17,764
03/31/1999 19,571 17,892
04/30/1999 19,892 18,075
05/31/1999 19,506 17,856
06/30/1999 19,496 17,815
07/31/1999 19,543 17,883
08/31/1999 19,461 17,770
09/30/1999 19,467 17,843
</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 10%
- -----------------------------------
1-5 years 20%
- -----------------------------------
5-10 years 64%
- -----------------------------------
10-20 years 4%
- -----------------------------------
20-30 years 2%
- -----------------------------------
Duration 4.48 years
- -----------------------------------
Sector Breakdown
- -----------------------------------
Corporate Bonds & Notes 86.2%
- -----------------------------------
Asset-Backed Securities 4.2%
- -----------------------------------
Other 9.6%
- -----------------------------------
Quality Breakdown
- -----------------------------------
AAA 1.2%
- -----------------------------------
AA 0.2%
- -----------------------------------
A 1.4%
- -----------------------------------
BBB 11.7%
- -----------------------------------
BB 49.4%
- -----------------------------------
B 36.1%
- -----------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
For the six-month period ended September 30, 1999, the PIMCO High Yield Fund
underperformed the Lehman BB Intermediate Corporate Index, with Class D shares
falling 0.52% compared to a decline of 0.28% for the Index. However, the
portfolio has beaten its benchmark over the 1-, 3-, 5-year and since inception
periods ended September 30, 1999.
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. This strategy assisted returns as
much of the high yield market suffered losses due to investor concern about
economic growth and corporate profits. There was increased uneasiness about the
volatility associated with both the bond and stock markets, and our relatively
conservative portfolio provided some shelter from the storm.
This is not to say that all investment strategies had a positive effect on
the Fund. The portfolio's weighting in single-B bonds detracted from performance
as they underperformed the more conservative BB benchmark. And a
longer-than-benchmark duration (sensitivity to interest rates) hindered returns
since bond prices declined during the trailing six months as interest rates
rose.
However, we were able to mitigate some of the negative effects of the
above-mentioned positions, thanks mostly to our focus on higher quality. In
particular, during the last six months, the manager's preference for
senior-secured bonds was a positive as more speculative unsecured issues
performed poorly. Exposure to the utility and independent-power producer
industry also helped returns as this conservative sector benefited from investor
uneasiness. And holdings of collateralized energy bonds gained as a result of
both a turnaround in the oil and natural gas sectors and an increased investor
preference for secured bonds.
A small allocation to emerging market and European issues contributed to the
Fund's performance as these issues benefited from the recovery in emerging
markets and infrastructure development in Europe.
Going forward, the manager expects to keep average portfolio quality higher
than the benchmark given moderating economic growth and high leverage. Defensive
holdings, such as utilities, publishing and certain telecommunications sectors,
will continue to play an important part in the portfolio. These areas offer more
value given that the additional yield paid by more aggressive sectors does not
adequately compensate for default and downgrade risks.
16 See page 31 for financial details.
<PAGE>
September 30, 1999
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
TOTAL NET ASSETS:
$4.6 billion
FUND INCEPTION DATE:
5/11/87
PORTFOLIO MANAGER:
Bill Gross
PIMCO Low Duration Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/99
D Shares Lipper Shrt. Inv. Merrill Lynch
Grade Debt Fund 1-3 yr. Treas.
Average Index
- --------------------------------------------------------------------------------
1 year 2.66% 2.69% 3.23%
5 years 6.68% 5.79% 6.38%
10 years 7.28% 6.56% 6.83%
Inception 7.54% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO Merrill Lynch
MONTH Low Duration D 1-3 yr. Treas.
Index
<S> <C> <C>
05/31/1987 10,000 10,000
06/30/1987 10,091 10,109
07/31/1987 10,125 10,158
08/31/1987 10,121 10,167
09/30/1987 10,094 10,127
10/31/1987 10,254 10,351
11/30/1987 10,367 10,414
12/31/1987 10,425 10,480
01/31/1988 10,595 10,648
02/29/1988 10,669 10,735
03/31/1988 10,733 10,756
04/30/1988 10,775 10,772
05/31/1988 10,797 10,756
06/30/1988 10,895 10,868
07/31/1988 10,950 10,876
08/31/1988 10,991 10,899
09/30/1988 11,090 11,026
10/31/1988 11,190 11,136
11/30/1988 11,201 11,106
12/31/1988 11,248 11,132
01/31/1989 11,339 11,219
02/28/1989 11,354 11,219
03/31/1989 11,395 11,270
04/30/1989 11,527 11,443
05/31/1989 11,761 11,614
06/30/1989 12,015 11,831
07/31/1989 12,188 12,006
08/31/1989 12,128 11,932
09/30/1989 12,187 12,003
10/31/1989 12,345 12,184
11/30/1989 12,454 12,299
12/31/1989 12,513 12,348
01/31/1990 12,502 12,358
02/28/1990 12,585 12,416
03/31/1990 12,649 12,457
04/30/1990 12,637 12,482
05/31/1990 12,847 12,673
06/30/1990 12,982 12,806
07/31/1990 13,121 12,966
08/31/1990 13,143 13,005
09/30/1990 13,212 13,111
10/31/1990 13,304 13,255
11/30/1990 13,460 13,386
12/31/1990 13,601 13,548
01/31/1991 13,724 13,672
02/28/1991 13,829 13,754
03/31/1991 13,943 13,846
04/30/1991 14,109 13,977
05/31/1991 14,216 14,062
06/30/1991 14,302 14,119
07/31/1991 14,457 14,242
08/31/1991 14,661 14,437
09/30/1991 14,848 14,593
10/31/1991 14,973 14,750
11/30/1991 15,132 14,903
12/31/1991 15,383 15,131
01/31/1992 15,392 15,107
02/29/1992 15,465 15,160
03/31/1992 15,469 15,154
04/30/1992 15,574 15,293
05/31/1992 15,729 15,432
06/30/1992 15,872 15,590
07/31/1992 16,078 15,765
08/31/1992 16,181 15,903
09/30/1992 16,338 16,055
10/31/1992 16,340 15,959
11/30/1992 16,345 15,933
12/31/1992 16,511 16,084
01/31/1993 16,663 16,251
02/28/1993 16,856 16,390
03/31/1993 16,947 16,439
04/30/1993 17,024 16,541
05/31/1993 17,039 16,495
06/30/1993 17,204 16,616
07/31/1993 17,259 16,655
08/31/1993 17,423 16,800
09/30/1993 17,486 16,855
10/31/1993 17,603 16,888
11/30/1993 17,616 16,892
12/31/1993 17,735 16,954
01/31/1994 17,828 17,063
02/28/1994 17,747 16,954
03/31/1994 17,666 16,870
04/30/1994 17,604 16,810
05/31/1994 17,581 16,834
06/30/1994 17,613 16,884
07/31/1994 17,773 17,029
08/31/1994 17,844 17,089
09/30/1994 17,814 17,050
10/31/1994 17,808 17,088
11/30/1994 17,808 17,012
12/31/1994 17,794 17,050
01/31/1995 17,954 17,288
02/28/1995 18,177 17,525
03/31/1995 18,246 17,623
04/30/1995 18,470 17,780
05/31/1995 18,801 18,091
06/30/1995 18,893 18,188
07/31/1995 18,895 18,263
08/31/1995 19,095 18,372
09/30/1995 19,261 18,461
10/31/1995 19,402 18,617
11/30/1995 19,623 18,782
12/31/1995 19,851 18,926
01/31/1996 19,992 19,087
02/29/1996 19,858 19,006
03/31/1996 19,844 18,989
04/30/1996 19,848 19,005
05/31/1996 19,862 19,044
06/30/1996 20,058 19,181
07/31/1996 20,121 19,256
08/31/1996 20,215 19,323
09/30/1996 20,496 19,498
10/31/1996 20,787 19,717
11/30/1996 21,064 19,868
12/31/1996 21,003 19,868
01/31/1997 21,173 19,962
02/28/1997 21,253 20,007
03/31/1997 21,162 20,000
04/30/1997 21,414 20,163
05/31/1997 21,589 20,301
06/30/1997 21,753 20,440
07/31/1997 22,099 20,665
08/31/1997 22,081 20,684
09/30/1997 22,271 20,841
10/31/1997 22,432 20,996
11/30/1997 22,492 21,047
12/31/1997 22,661 21,191
01/31/1998 22,829 21,396
02/28/1998 22,902 21,415
03/31/1998 22,996 21,502
04/30/1998 23,113 21,603
05/31/1998 23,256 21,718
06/30/1998 23,307 21,831
07/31/1998 23,412 21,933
08/31/1998 23,499 22,209
09/30/1998 23,971 22,503
10/31/1998 23,930 22,613
11/30/1998 24,064 22,594
12/31/1998 24,206 22,673
01/31/1999 24,308 22,763
02/28/1999 24,174 22,652
03/31/1999 24,375 22,810
04/30/1999 24,497 22,883
05/31/1999 24,414 22,868
06/30/1999 24,421 22,940
07/31/1999 24,419 23,012
08/31/1999 24,431 23,079
09/30/1999 24,609 23,229
</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 28%
- -----------------------------------
1-5 years 61%
- -----------------------------------
5-10 years 11%
- -----------------------------------
Duration 2.15 years
- -----------------------------------
Sector Breakdown
- -----------------------------------
Corporate Bonds & Notes 41.1%
- -----------------------------------
Mortgage-Backed Securities 35.1%
- -----------------------------------
U.S. Treasury Obligations 8.3%
- -----------------------------------
Asset-Backed Securities 5.2%
- -----------------------------------
Other 10.3%
- -----------------------------------
Quality Breakdown
- -----------------------------------
AAA 50.8%
- -----------------------------------
AA 9.9%
- -----------------------------------
A 18.3%
- -----------------------------------
BBB 14.0%
- -----------------------------------
BB 6.5%
- -----------------------------------
B 0.5%
- -----------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
PIMCO Low Duration Fund invests in a diversified portfolio of fixed-income
securities with an average duration between 1-3 years. The Fund currently has an
average quality of AA- and an average duration of 2.15 years. For the six-month
period ended September 30, 1999, the Fund underperformed the Merrill Lynch 1-3
year Treasury Index, with Class D shares returning 0.95% compared to 1.84% for
the Index.
However, over the long-term the Fund has managed to outperform, ranking first
in the Lipper Short Investment Grade Debt Fund Average over the last 3-,10-year
and since-inception periods.
Historically, the Fund's duration has been longer than the benchmark to take
advantage of the higher yields of longer-maturity securities. As a result, in
the declining interest rate environment of the past few years, Low Duration has
been able to substantially outperform. Yet in 1999, a longer duration has
negatively affected the Fund due to rising short-term interest rates. An
expanding U.S. economy, fueled by robust growth in consumer spending, drove
interest rates on short-term bonds higher during most of the year. Resulting
concern about Federal Reserve tightening brought bond prices lower. Yet we do
not foresee this trend continuing, and we will continue to maintain an
above-benchmark duration.
Our weight in high quality corporates was a slight drag on performance. The
lower-quality section of this market was helped by U.S. growth, as the
possibility of default was decreased in the expanding economic environment, and
the higher yields these bonds paid boosted their overall total return. We
believe this trend will not continue and believe our focus on high credit
quality will succeed.
The Fund's focus on mortgage-backed securities aided performance as these
bonds benefited from rising interest rates. This trend eased supply pressures
and reduced the incentive for homeowners to prepay their mortgages, enabling the
Fund to hold on to these higher-yielding bonds for a longer time period.
Strategically, we will continue to take advantage of the higher yields
offered by going out slightly on the yield curve. We believe domestic expansion
will continue, albeit at a more moderate pace, and interest rate volatility will
decline.
See page 36 for financial details. 17
<PAGE>
September 30, 1999
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:
$55.5 million
PORTFOLIO MANAGER:
Ben Ehlert
PIMCO Municipal Bond Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/99
D Shares Lipper Lehman Bros.General
Gen. Municipal Municipal Bond
Debt Fund Avg. Index
- --------------------------------------------------------------------------------
1 year -2.73% -3.07% -0.70%
Inception 1.54% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO Lehman Bros.
MONTH Municipal Bond D Gen. Muni.
Bond Index
<S> <C> <C>
12/31/1997 10,000 10,000
01/31/1998 10,115 10,103
02/28/1998 10,065 10,106
03/31/1998 10,070 10,115
04/30/1998 10,001 10,070
05/31/1998 10,196 10,229
06/30/1998 10,228 10,269
07/31/1998 10,236 10,294
08/31/1998 10,423 10,454
09/30/1998 10,560 10,585
10/31/1998 10,535 10,585
11/30/1998 10,560 10,622
12/31/1998 10,569 10,648
01/31/1999 10,706 10,775
02/28/1999 10,635 10,727
03/31/1999 10,641 10,742
04/30/1999 10,659 10,769
05/31/1999 10,578 10,707
06/30/1999 10,381 10,553
07/31/1999 10,399 10,591
08/31/1999 10,287 10,506
09/30/1999 10,270 10,510
</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 1%
- -----------------------------------
1-5 years 18%
- -----------------------------------
5-10 years 40%
- -----------------------------------
10-20 years 35%
- -----------------------------------
20-30 years 6%
- -----------------------------------
Duration 7.82 years
Sector Breakdown
- -----------------------------------
Municipal Bonds & Notes 99.8%
- -----------------------------------
Other 0.2%
- -----------------------------------
Quality Breakdown
- -----------------------------------
AAA 47.7%
- -----------------------------------
AA 15.4%
- -----------------------------------
A 18.9%
- -----------------------------------
BBB 10.7%
- -----------------------------------
BB 7.3%
- -----------------------------------
- --------------------------------------------------------------------------------
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.
For the six-month period ended September 30, 1999, the PIMCO Municipal Bond
Fund's Class D shares fell 3.48%, underperforming the Lehman Municipal Bond
Index, which fell 2.16% for the same time period.
Inflation concerns pushed interest rates higher during the second quarter.
And although interest rates were only slightly higher after the third quarter,
yields fluctuated wildly. The Federal Reserve hiked interest rates in June and
again in August but turned neutral, saying that threat of higher inflation
should "markedly diminish" in the coming months. However, the bond market
remained unsettled as a weakening in the dollar threatened to drive up import
prices and renew inflation fears.
In response, municipal bond yields rose dramatically along the intermediate
and long-term portions of the yield curve, reaching three-year highs by the end
of September. As a result, municipal bond price performance was negatively
affected. The Fund's duration (sensitivity to changes in interest rates) was
kept above the benchmark duration, which hurt relative returns as municipal
yields rose.
The Fund's position in general obligation bonds helped performance as these
bonds were among the best performing segments of the municipal market over the
past six months.
Looking ahead, we believe the economy will expand more slowly as higher
borrowing costs for individuals and companies temper growth in consumer and
investment spending. While we expect inflation to remain benign over the longer
term, the inflation rate will likely trend somewhat higher over the next several
months.
Going forward, duration will be kept near the benchmark. Intermediate
maturity securities will be overweighted, because they have firmer investor
support and are likely to have less volatility than longer maturity instruments
in our view. The manager will continue to stress a high quality portfolio in an
effort to offer above-average returns with below-average risk.
18 See page 43 for financial details.
<PAGE>
September 30, 1999
OBJECTIVE:
Maximum real return, consistent with preservation of real capital and prudent
investment management.
PORTFOLIO:
Primarily inflation-indexed bonds.
TOTAL NET ASSETS:
$117.8 million
FUND INCEPTION DATE:
1/29/97
PORTFOLIO MANAGER:
John Brynjolfsson
PIMCO Real Return Bond Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/99
D Shares Lipper Short Lehman Brothers
U.S. Govt. Inflation Linked
Fund Avg. Treas. Index
- --------------------------------------------------------------------------------
1 year 4.84% 2.44% 1.86%
Inception 5.06% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO Lehman Bros.
MONTH Real Return D Infl. Linked
Treas. Index
<S> <C> <C>
01/31/1997 10,000 10,000
02/28/1997 10,031 10,033
03/31/1997 9,938 9,896
04/30/1997 9,996 9,956
05/31/1997 10,053 10,010
06/30/1997 10,028 9,978
07/31/1997 10,149 10,072
08/31/1997 10,167 10,103
09/30/1997 10,183 10,123
10/31/1997 10,308 10,227
11/30/1997 10,359 10,284
12/31/1997 10,302 10,241
01/31/1998 10,359 10,291
02/28/1998 10,344 10,282
03/31/1998 10,364 10,277
04/30/1998 10,417 10,315
05/31/1998 10,456 10,388
06/30/1998 10,489 10,414
07/31/1998 10,566 10,463
08/31/1998 10,570 10,486
09/30/1998 10,812 10,697
10/31/1998 10,865 10,721
11/30/1998 10,846 10,710
12/31/1998 10,796 10,646
01/31/1999 10,951 10,769
02/28/1999 10,923 10,693
03/31/1999 10,985 10,689
04/30/1999 11,163 10,760
05/31/1999 11,240 10,834
06/30/1999 11,223 10,841
07/31/1999 11,239 10,835
08/31/1999 11,293 10,854
09/30/1999 11,337 10,896
</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
- -----------------------------------
1-5 years 2%
- -----------------------------------
5-10 years 80%
- -----------------------------------
10-20 years 2%
- -----------------------------------
20-30 years 16%
- -----------------------------------
Duration 2.38 years
- -----------------------------------
Sector Breakdown
- -----------------------------------
U.S. Treasury Obligations 76.4%
- -----------------------------------
Corporate Bonds & Notes 10.2%
- -----------------------------------
Other 13.4%
- -----------------------------------
Quality Breakdown
- -----------------------------------
AAA 86.3%
- -----------------------------------
AA 2.0%
- -----------------------------------
A 4.5%
- -----------------------------------
BBB 4.6%
- -----------------------------------
BB 2.2%
- -----------------------------------
B 0.4%
- -----------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
This Fund seeks to maximize real return, consistent with preservation of real
capital through investment in inflation-indexed bonds. Treasury Inflation
Protection Securities (TIPS) are offered by the U.S. government and provide
purchasing power protection against the corrosive 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 for investors who hold these bonds to maturity, the government
guarantees the return of the inflation-adjusted initial principal.
Over the past six months ended September 30, 1999, PIMCO Real Return Bond
Fund returned 3.19% for its Class D shares. It handily outperformed its
benchmark, the Lehman Brothers Inflation Linked Treasury Index, which returned
1.93%. And for the one-year period ended September 30, 1999, the Fund returned
4.84% for its Class D shares, beating the Lipper Short U.S. Government Fund
Average return of 2.44%.
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. Over the past six months, as inflation
concerns pushed interest rates higher, inflation-indexed bonds exhibited less
yield volatility than conventional Treasury yields. This boosted the performance
of the asset class relative to conventional Treasuries and other bond classes.
The yield volatility of the inflation-indexed bonds in the portfolio was
further reduced through duration (sensitivity to changes in interest rates)
management. The Fund's real yield duration was kept below the benchmark
duration, aiding relative returns as real yields increased. The Fund's net
interest income exceeded the benchmark due to a small allocation to conventional
bonds in cash-backing strategies.
Looking ahead, we believe the economy will expand more slowly as higher
borrowing costs for individuals and companies temper growth in consumer and
investment spending. While we expect inflation to remain benign over the longer
term, the inflation rate will likely trend somewhat higher over the next several
months after a sharp decline last year. As a result, inflation concerns will
likely remain a significant factor for the bond market over the near term, and
in the manager's view, make inflation-indexed bonds an attractive investment
alternative.
See page 45 for financial details. 19
<PAGE>
September 30, 1999
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:
10/07/87
TOTAL NET ASSETS:
$609.5 million
PORTFOLIO MANAGER:
Paul McCulley
PIMCO Short-Term Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/99
D Shares Lipper Ultra- Salmon Lipper Money
Short Obligation 3 Mo. T-Bill Market Index
Fund Avg. Index
- --------------------------------------------------------------------------------
1 year 4.70% 4.28% 4.63% 4.55%
5 years 6.29% 5.57% 5.21% 5.06%
10 years 5.74% 5.67% 5.13% 4.98%
Inception 6.11% -- -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO Salomon Lipper Money
MONTH Short-Term D 3 Mo. T-Bill Index Market Index
<S> <C> <C> <C>
10/31/1987 10,000 10,000 10,000
11/30/1987 10,056 10,051 10,056
12/31/1987 10,114 10,099 10,114
01/31/1988 10,181 10,148 10,171
02/29/1988 10,222 10,194 10,223
03/31/1988 10,276 10,244 10,277
04/30/1988 10,330 10,294 10,327
05/31/1988 10,386 10,347 10,382
06/30/1988 10,443 10,401 10,439
07/31/1988 10,495 10,460 10,500
08/31/1988 10,560 10,520 10,566
09/30/1988 10,627 10,583 10,632
10/31/1988 10,718 10,648 10,701
11/30/1988 10,787 10,715 10,768
12/31/1988 10,849 10,785 10,842
01/31/1989 10,925 10,858 10,920
02/28/1989 11,000 10,934 10,993
03/31/1989 11,093 11,013 11,078
04/30/1989 11,176 11,095 11,161
05/31/1989 11,275 11,179 11,250
06/30/1989 11,358 11,257 11,335
07/31/1989 11,452 11,336 11,419
08/31/1989 11,511 11,413 11,500
09/30/1989 11,588 11,487 11,578
10/31/1989 11,695 11,565 11,659
11/30/1989 11,771 11,640 11,736
12/31/1989 11,837 11,717 11,815
01/31/1990 11,892 11,794 11,895
02/28/1990 11,964 11,865 11,966
03/31/1990 12,042 11,945 12,044
04/30/1990 12,090 12,022 12,122
05/31/1990 12,202 12,104 12,204
06/30/1990 12,280 12,183 12,281
07/31/1990 12,364 12,263 12,362
08/31/1990 12,428 12,343 12,442
09/30/1990 12,509 12,418 12,517
10/31/1990 12,603 12,495 12,598
11/30/1990 12,702 12,569 12,676
12/31/1990 12,803 12,650 12,756
01/31/1991 12,893 12,723 12,834
02/28/1991 12,962 12,785 12,899
03/31/1991 13,020 12,851 12,966
04/30/1991 13,100 12,913 13,031
05/31/1991 13,172 12,975 13,095
06/30/1991 13,219 13,035 13,153
07/31/1991 13,296 13,097 13,216
08/31/1991 13,379 13,159 13,276
09/30/1991 13,452 13,217 13,334
10/31/1991 13,528 13,275 13,392
11/30/1991 13,561 13,328 13,446
12/31/1991 13,615 13,377 13,501
01/31/1992 13,665 13,424 13,551
02/29/1992 13,691 13,466 13,593
03/31/1992 13,716 13,512 13,636
04/30/1992 13,772 13,555 13,679
05/31/1992 13,814 13,600 13,720
06/30/1992 13,868 13,640 13,759
07/31/1992 13,923 13,681 13,799
08/31/1992 13,958 13,720 13,835
09/30/1992 13,994 13,754 13,868
10/31/1992 14,008 13,788 13,902
11/30/1992 14,025 13,823 13,934
12/31/1992 14,066 13,860 13,969
01/31/1993 14,112 13,897 14,002
02/28/1993 14,149 13,929 14,031
03/31/1993 14,214 13,964 14,064
04/30/1993 14,262 13,998 14,095
05/31/1993 14,318 14,033 14,124
06/30/1993 14,374 14,068 14,155
07/31/1993 14,425 14,104 14,187
08/31/1993 14,463 14,141 14,219
09/30/1993 14,499 14,176 14,250
10/31/1993 14,550 14,213 14,282
11/30/1993 14,604 14,249 14,313
12/31/1993 14,672 14,286 14,346
01/31/1994 14,697 14,323 14,379
02/28/1994 14,713 14,357 14,409
03/31/1994 14,690 14,398 14,444
04/30/1994 14,713 14,441 14,480
05/31/1994 14,724 14,488 14,521
06/30/1994 14,791 14,538 14,563
07/31/1994 14,861 14,590 14,608
08/31/1994 14,919 14,644 14,657
09/30/1994 14,935 14,698 14,707
10/31/1994 14,974 14,758 14,762
11/30/1994 14,986 14,820 14,818
12/31/1994 15,050 14,889 14,882
01/31/1995 15,126 14,957 14,948
02/28/1995 15,265 15,023 15,011
03/31/1995 15,298 15,097 15,082
04/30/1995 15,462 15,169 15,150
05/31/1995 15,618 15,243 15,222
06/30/1995 15,670 15,315 15,292
07/31/1995 15,764 15,388 15,363
08/31/1995 15,836 15,461 15,432
09/30/1995 15,984 15,530 15,500
10/31/1995 16,099 15,602 15,570
11/30/1995 16,248 15,670 15,637
12/31/1995 16,386 15,743 15,705
01/31/1996 16,465 15,813 15,774
02/29/1996 16,495 15,878 15,836
03/31/1996 16,548 15,945 15,899
04/30/1996 16,625 16,010 15,963
05/31/1996 16,712 16,079 16,028
06/30/1996 16,804 16,147 16,091
07/31/1996 16,851 16,216 16,158
08/31/1996 16,957 16,287 16,226
09/30/1996 17,120 16,357 16,290
10/31/1996 17,257 16,429 16,356
11/30/1996 17,412 16,498 16,422
12/31/1996 17,480 16,569 16,491
01/31/1997 17,583 16,641 16,560
02/28/1997 17,662 16,706 16,621
03/31/1997 17,671 16,779 16,689
04/30/1997 17,772 16,851 16,758
05/31/1997 17,900 16,925 16,830
06/30/1997 18,018 16,996 16,901
07/31/1997 18,158 17,070 16,973
08/31/1997 18,213 17,143 17,046
09/30/1997 18,335 17,215 17,118
10/31/1997 18,377 17,291 17,191
11/30/1997 18,460 17,363 17,264
12/31/1997 18,563 17,438 17,340
01/31/1998 18,673 17,515 17,416
02/28/1998 18,738 17,585 17,484
03/31/1998 18,863 17,662 17,559
04/30/1998 18,950 17,736 17,631
05/31/1998 19,036 17,813 17,707
06/30/1998 19,100 17,886 17,779
07/31/1998 19,215 17,961 17,856
08/31/1998 19,223 18,038 17,933
09/30/1998 19,351 18,112 18,006
10/31/1998 19,425 18,184 18,078
11/30/1998 19,491 18,252 18,149
12/31/1998 19,573 18,319 18,219
01/31/1999 19,649 18,387 18,291
02/28/1999 19,730 18,449 18,353
03/31/1999 19,870 18,520 18,422
04/30/1999 19,961 18,588 18,489
05/31/1999 19,965 18,659 18,557
06/30/1999 20,035 18,728 18,624
07/31/1999 20,105 18,801 18,678
08/31/1999 20,171 18,876 18,753
09/30/1999 20,262 18,950 18,826
</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. In future
periodic reports, we will not compare the Fund's performance to the Lipper Money
Market Index since the Lipper Money Market Index is not a short-term index. See
page 25 for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- -----------------------------------
1 year or less 67%
- -----------------------------------
1-5 years 32%
- -----------------------------------
5-10 years 1%
- -----------------------------------
Duration 0.60 years
- -----------------------------------
Sector Breakdown
- -----------------------------------
Mortgage-Backed Securities 32.5%
- -----------------------------------
Short-Term Instruments 28.0%
- -----------------------------------
Corporate Bonds & Notes 22.6%
- -----------------------------------
Asset-Backed Securities 8.3%
- -----------------------------------
Other 8.6%
- -----------------------------------
Quality Breakdown
- -----------------------------------
AAA 59.9%
- -----------------------------------
AA 6.1%
- -----------------------------------
A 15.7%
- -----------------------------------
BBB 12.9%
- -----------------------------------
BB 5.4%
- -----------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
For the six-month period ended September 30, 1999, the PIMCO Short-Term Fund
underperformed the Salomon 3-Month Treasury Bill Index, with Class D shares
returning 1.97% compared to a 2.32% return for the Index. However, the portfolio
has done better over the longer term, beating its benchmark over the 5-, 10-year
and since inception periods ended September 30, 1999.
The Fund's standardized yield on September 30, 1999 was 5.23%. This compares
favorably with the average money market yield of 3.10% and the average six-month
CD yield of 4.36%, according to Banxquote Money Market. Remember that money
market funds attempt to maintain a fixed share price and that CDs are guaranteed
as to repayment of principal and interest. The Fund's shares, on the other hand,
are not guaranteed, and its share price can fluctuate, either up or down,
depending on market conditions.
Inflation concerns pushed interest rates higher during the second and third
quarters. The Federal Reserve hiked interest rates in June and again in August
but turned neutral, saying that threat of higher inflation should "markedly
diminish" in the coming months. However, the bond market remained unsettled as a
weakening in the dollar threatened to drive up import prices and renew inflation
fears.
Over the past six months, high quality asset-backed holdings enhanced
performance due to the extra yield these securities provide. The Fund's
concentration in longer-maturity securities also helped performance as the
incremental income generated from higher yields offset the adverse price impact
of rising interest rates. Limited investments in specific emerging markets aided
returns as the global recovery continued and yield premiums narrowed.
The Fund's small weight to below-investment-grade holdings hurt performance,
as rising default rates in the sector heightened concerns over credit risks.
Looking ahead, we believe the economy will expand more slowly as higher
borrowing costs for individuals and companies temper growth in consumer and
investment spending. While we expect inflation to remain benign over the longer
term, the inflation rate will likely trend somewhat higher over the next several
months after a sharp decline last year.
Given this outlook, strategies and securities that enhance yield and limit
credit risk will continue to be employed. The manager will likely target
duration (sensitivity to changes in interest rates) above the benchmark in order
to capture additional yield and benefit from our belief that the market is
pricing-in more tightening than will occur. Mortgage-related holdings, the
largest weight in the portfolio, will continue to be a favorite area of the
market given the high credit quality and relatively higher yields of these
issues.
20 See page 47 for financial details.
<PAGE>
September 30, 1999
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:
$1.4 billion
PORTFOLIO MANAGER:
Bill Gross
PIMCO StocksPLUS Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/99
D Shares Lipper Large-Cap
Core Fund S&P 500
Average Index
- --------------------------------------------------------------------------------
1 year 26.89% 27.73% 27.81%
3 years 24.25% 21.44% 25.09%
5 years 24.78% 21.66% 25.03%
Inception 21.02% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO S&P 500
MONTH StocksPLUS D Index
<S> <C> <C>
05/31/1993 10,000 10,000
06/30/1993 10,054 10,029
07/31/1993 10,025 9,989
08/31/1993 10,411 10,368
09/30/1993 10,301 10,288
10/31/1993 10,526 10,501
11/30/1993 10,409 10,401
12/31/1993 10,585 10,527
01/31/1994 10,939 10,885
02/28/1994 10,595 10,589
03/31/1994 10,123 10,128
04/30/1994 10,248 10,258
05/31/1994 10,437 10,426
06/30/1994 10,207 10,170
07/31/1994 10,600 10,504
08/31/1994 11,078 10,935
09/30/1994 10,891 10,668
10/31/1994 11,064 10,907
11/30/1994 10,719 10,510
12/31/1994 10,857 10,666
01/31/1995 11,155 10,943
02/28/1995 11,650 11,369
03/31/1995 11,964 11,705
04/30/1995 12,349 12,049
05/31/1995 12,903 12,531
06/30/1995 13,183 12,822
07/31/1995 13,586 13,247
08/31/1995 13,679 13,280
09/30/1995 14,255 13,841
10/31/1995 14,232 13,791
11/30/1995 14,912 14,397
12/31/1995 15,185 14,674
01/31/1996 15,726 15,174
02/29/1996 15,767 15,314
03/31/1996 15,975 15,462
04/30/1996 16,174 15,690
05/31/1996 16,530 16,094
06/30/1996 16,687 16,156
07/31/1996 15,903 15,442
08/31/1996 16,237 15,768
09/30/1996 17,182 16,655
10/31/1996 17,726 17,114
11/30/1996 19,038 18,408
12/31/1996 18,619 18,043
01/31/1997 19,761 19,171
02/28/1997 19,907 19,321
03/31/1997 18,999 18,527
04/30/1997 20,172 19,633
05/31/1997 21,444 20,828
06/30/1997 22,332 21,761
07/31/1997 24,168 23,493
08/31/1997 22,851 22,177
09/30/1997 24,037 23,392
10/31/1997 23,258 22,610
11/30/1997 24,204 23,657
12/31/1997 24,640 24,063
01/31/1998 24,975 24,329
02/28/1998 26,649 26,084
03/31/1998 27,970 27,420
04/30/1998 28,309 27,695
05/31/1998 27,734 27,219
06/30/1998 28,816 28,325
07/31/1998 28,496 28,023
08/31/1998 24,133 23,972
09/30/1998 25,972 25,507
10/31/1998 28,021 27,582
11/30/1998 29,610 29,254
12/31/1998 31,470 30,940
01/31/1999 32,524 32,233
02/28/1999 31,425 31,232
03/31/1999 32,735 32,481
04/30/1999 34,041 33,739
05/31/1999 33,146 32,943
06/30/1999 35,058 34,771
07/31/1999 33,901 33,685
08/31/1999 33,715 33,519
09/30/1999 32,953 32,600
</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 1%
- -----------------------------------
1-5 years 98%
- -----------------------------------
5-10 years 1%
- -----------------------------------
Duration 0.78 years
- -----------------------------------
Sector Breakdown
- -----------------------------------
Corporate Bonds & Notes 38.9%
- -----------------------------------
Short-Term Instruments 21.2%
- -----------------------------------
Mortgage-Backed Securities 17.3%
- -----------------------------------
U.S. Treasury Obligations 12.1%
- -----------------------------------
Other 10.5%
- -----------------------------------
Quality Breakdown
- -----------------------------------
AAA 44.3%
- -----------------------------------
AA 15.6%
- -----------------------------------
A 16.5%
- -----------------------------------
BBB 15.6%
- -----------------------------------
BB 7.8%
- -----------------------------------
B 0.3%
- -----------------------------------
- --------------------------------------------------------------------------------
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) 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.
For the six-month period ended September 30, 1999, the Fund's Class D shares
returned 0.67%, slightly outperforming the S&P 500 Index, which returned 0.37%.
The Fund has outperformed its Lipper Average over the 3- and 5-year periods
ended September 30, 1999, and has outperformed the S&P 500 since inception.
Over the past six months, inflation concerns pushed interest rates higher,
negatively impacting the stock market. During this period, the S&P 500 returned
only 0.37%. The Federal Reserve hiked interest rates in June and again in August
but turned neutral, saying that threat of higher inflation should "markedly
diminish" in the coming months. However, the stock market remained unsettled as
a weakening dollar threatened to drive up import prices and renew inflation
fears.
In the fixed-income portion of the portfolio, yield enhancement strategies,
such as writing options and holding high quality asset-backed bonds, contributed
significantly to relative performance over the past six months.
Inflation-indexed bonds also helped performance as real yields rose less than
comparable Treasuries. Limited investments in specific emerging markets aided
returns as the global recovery continued and yield premiums narrowed.
The Fund's longer duration (sensitivity to changes in interest rates)
detracted from performance as interest rates rose across the yield curve.
Looking ahead, we believe the economy will expand more slowly as higher
borrowing costs for individuals and companies temper growth in consumer and
investment spending. While we expect inflation to remain benign over the longer
term, the inflation rate will likely trend somewhat higher over the next several
months after a sharp decline last year.
Because interest rates now hover just below our long-term forecasted range,
the manager intends to keep the duration of the fixed-income portion of the
portfolio near one year to take advantage of the higher yields. This is in line
with our view that the Fed is unlikely to tighten immediately. Mortgage-related
holdings will continue to be a favorite area given the high credit quality and
relatively higher yields of these issues.
See page 50 for financial details. 21
<PAGE>
September 30, 1999
OBJECTIVE:
Maximum total return, consistent with preservation of capital.
PORTFOLIO:
S&P Index futures and short-and-intermediate term investment grade bonds.
DURATION RANGE:
0-6 years
FUND INCEPTION DATE:
6/28/96
TOTAL NET ASSETS:
$155.3 million
PORTFOLIO MANAGER:
Bill Gross
PIMCO Strategic Balanced Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/99
D Shares Lipper 60% S&P 500 Index Lipper
Balanced 40% Lehman Bros. Balanced S&P 500
Fund Avg. Agg. Bond Index Index Index
- --------------------------------------------------------------------------------
1 year 14.56% 12.54% 16.00% 13.49% 27.81%
3 year 17.14% 13.10% 17.84% 14.04% 25.09%
Inception 16.87% -- -- --
Change in Value of $10,000
Invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO 60% S&P 500/ Lipper S&P 500
MONTH Strategic 40% LBAG. Balanced Index
Balanced D Index
<S> <C> <C> <C> <C>
06/30/1996 10,000 10,000 10,000 10,000
07/31/1996 9,732 9,746 9,743 9,558
08/31/1996 9,881 9,863 9,896 9,760
09/30/1996 10,348 10,264 10,262 10,309
10/31/1996 10,626 10,525 10,480 10,593
11/30/1996 11,213 11,075 10,968 11,394
12/31/1996 11,007 10,902 10,834 11,168
01/31/1997 11,467 11,324 11,165 11,866
02/28/1997 11,532 11,388 11,206 11,959
03/31/1997 11,156 11,057 10,880 11,468
04/30/1997 11,661 11,520 11,208 12,152
05/31/1997 12,145 11,984 11,666 12,892
06/30/1997 12,504 12,363 12,041 13,470
07/31/1997 13,267 13,086 12,726 14,542
08/31/1997 12,798 12,602 12,322 13,727
09/30/1997 13,255 13,090 12,814 14,479
10/31/1997 13,068 12,904 12,581 13,995
11/30/1997 13,409 13,286 12,811 14,643
12/31/1997 13,611 13,477 13,001 14,895
01/31/1998 13,798 13,635 13,092 15,059
02/28/1998 14,345 14,221 13,611 16,145
03/31/1998 14,823 14,678 14,028 16,972
04/30/1998 14,952 14,797 14,125 17,143
05/31/1998 14,787 14,700 13,982 16,848
06/30/1998 15,216 15,109 14,235 17,533
07/31/1998 15,122 15,025 14,068 17,346
08/31/1998 13,711 13,819 12,856 14,838
09/30/1998 14,513 14,480 13,411 15,789
10/31/1998 15,155 15,156 13,913 17,073
11/30/1998 15,631 15,742 14,422 18,108
12/31/1998 16,218 16,305 14,954 19,151
01/31/1999 16,608 16,760 15,193 19,952
02/28/1999 16,063 16,331 14,829 19,332
03/31/1999 16,585 16,759 15,195 20,105
04/30/1999 16,988 17,170 15,693 20,884
05/31/1999 16,636 16,866 15,452 20,391
06/30/1999 17,252 17,406 15,878 21,522
07/31/1999 16,872 17,051 15,581 20,851
08/31/1999 16,806 16,996 15,418 20,747
09/30/1999 16,627 16,796 15,220 20,179
</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. In future periodic reports,
we will not compare the Fund's performance to the Lipper Balanced Index since
the Lipper Balanced Index is not a strategic balanced index. See page 25 for
Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- -----------------------------------
1-5 years 34%
- -----------------------------------
5-10 years 60%
- -----------------------------------
10-20 years 5%
- -----------------------------------
20-30 years 1%
- -----------------------------------
Duration 2.30 years
- -----------------------------------
Sector Breakdown
- -----------------------------------
Corporate Bonds & Notes 32.4%
- -----------------------------------
Mortgage-Backed Securities 28.6%
- -----------------------------------
Short-Term Instruments 24.7%
- -----------------------------------
U.S. Treasury Obligations 7.2%
- -----------------------------------
Other 7.1%
- -----------------------------------
Quality Breakdown
- -----------------------------------
AAA 48.1%
- -----------------------------------
AA 17.1%
- -----------------------------------
A 18.0%
- -----------------------------------
BBB 15.1%
- -----------------------------------
BB 1.7%
- -----------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
Strategic Balanced Fund is designed to provide broad exposure to both stocks and
bonds using PIMCO's unique StocksPLUS and Total Return investment strategies.
The stock portion of the portfolio gains broad-based stock market exposure using
S&P 500 Index futures. It is backed by an actively managed portfolio of
short-term bonds, which enhance return potential. The bond portion of the
portfolio invests in intermediate-term, investment grade bonds, and focuses on
income and capital appreciation.
For the six-month period ended September 30, 1999, the Fund's Class D shares
returned 0.25%, slightly outperforming its benchmark, a blend of 60% S&P 500
Index and 40% Lehman Brothers Aggregate Bond Index, which returned 0.22%. The
Fund's asset allocation at the end of the quarter leaned modestly toward stocks,
with a 65% weight for stocks and 35% for bonds.
Over the past six months, inflation concerns pushed interest rates higher,
negatively impacting both the stock and bond markets. The Federal Reserve hiked
interest rates twice but turned neutral, saying that threat of higher inflation
should "markedly diminish" in the coming months. However, the markets remained
unsettled as a weakening dollar threatened to drive up import prices and renew
inflation fears.
The stock portion of the portfolio exceeded the S&P 500 Index return because
of favorable (although temporary) S&P 500 futures pricing relative to the S&P
500 Index. Enhanced income from higher yields in shorter-duration mortgages and
corporate securities also helped performance.
In the bond portion of the portfolio, mortgage returns held up relatively
well over the past six months as the yield advantage offered by these securities
countered declines in price. Limited investments in specific emerging markets
aided returns as the global recovery continued and yield premiums narrowed.
In the stock portion of the portfolio, the longer duration of the bonds
backing the S&P 500 futures detracted from performance as interest rates rose
across the yield curve. The bond portion's allocation to high-grade corporate
bonds underperformed Treasuries as reduced investor demand drove yield premiums
wider. Below-investment-grade securities, a small weight in the portfolio, also
had poor relative performance as concerns about credit quality grew, default
rates rose and liquidity declined.
Looking ahead, the manager aims to maintain the current asset allocation and
focus on yield enhancement as the key to performance as interest rates remain
range-bound. The Fund will continue to favor mortgages as a source of
incremental yield that presents little additional credit risk. Due to the risk
of further credit quality deterioration in corporate, high yield and emerging
market bonds, investments in these areas will be made selectively.
22 See page 54 for financial details.
<PAGE>
September 30, 1999
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:
$29.3 billion
PORTFOLIO MANAGER:
Bill Gross
PIMCO Total Return Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/99
D Shares Lipper Inter. Lehman Bros.
Inv. Grade Debt Agg. Bond
Fund Avg. Index
- ----------------------------------------------------------------
1 year -0.33% -1.01% -0.37%
5 years 8.25% 6.89% 7.84%
10 years 8.84% 7.32% 8.10%
Inception 8.90% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO Lehman Bros.
MONTH Total Return D Agg. Bond
Index
<S> <C> <C>
05/31/1987 10,000 10,000
06/30/1987 10,125 10,138
07/31/1987 10,098 10,130
08/31/1987 10,072 10,076
09/30/1987 9,819 9,861
10/31/1987 10,129 10,212
11/30/1987 10,201 10,294
12/31/1987 10,291 10,434
01/31/1988 10,708 10,801
02/29/1988 10,828 10,929
03/31/1988 10,729 10,827
04/30/1988 10,671 10,768
05/31/1988 10,615 10,696
06/30/1988 10,867 10,954
07/31/1988 10,849 10,897
08/31/1988 10,899 10,925
09/30/1988 11,103 11,172
10/31/1988 11,275 11,383
11/30/1988 11,172 11,244
12/31/1988 11,218 11,257
01/31/1989 11,354 11,419
02/28/1989 11,279 11,336
03/31/1989 11,330 11,385
04/30/1989 11,580 11,624
05/31/1989 11,859 11,929
06/30/1989 12,256 12,292
07/31/1989 12,512 12,554
08/31/1989 12,293 12,368
09/30/1989 12,352 12,431
10/31/1989 12,645 12,737
11/30/1989 12,752 12,858
12/31/1989 12,775 12,893
01/31/1990 12,558 12,740
02/28/1990 12,588 12,781
03/31/1990 12,575 12,790
04/30/1990 12,394 12,673
05/31/1990 12,797 13,048
06/30/1990 13,011 13,258
07/31/1990 13,219 13,441
08/31/1990 13,007 13,261
09/30/1990 13,018 13,371
10/31/1990 13,195 13,541
11/30/1990 13,525 13,832
12/31/1990 13,759 14,048
01/31/1991 13,892 14,222
02/28/1991 14,083 14,343
03/31/1991 14,257 14,442
04/30/1991 14,487 14,598
05/31/1991 14,591 14,684
06/30/1991 14,610 14,676
07/31/1991 14,817 14,880
08/31/1991 15,216 15,202
09/30/1991 15,572 15,510
10/31/1991 15,728 15,682
11/30/1991 15,860 15,826
12/31/1991 16,396 16,296
01/31/1992 16,258 16,074
02/29/1992 16,398 16,179
03/31/1992 16,331 16,088
04/30/1992 16,412 16,204
05/31/1992 16,749 16,510
06/30/1992 16,957 16,737
07/31/1992 17,367 17,078
08/31/1992 17,511 17,251
09/30/1992 17,784 17,456
10/31/1992 17,624 17,224
11/30/1992 17,635 17,228
12/31/1992 17,940 17,502
01/31/1993 18,266 17,838
02/28/1993 18,670 18,150
03/31/1993 18,775 18,226
04/30/1993 18,934 18,353
05/31/1993 18,974 18,376
06/30/1993 19,382 18,709
07/31/1993 19,496 18,815
08/31/1993 19,935 19,145
09/30/1993 20,011 19,197
10/31/1993 20,149 19,269
11/30/1993 19,967 19,105
12/31/1993 20,129 19,209
01/31/1994 20,369 19,468
02/28/1994 20,000 19,130
03/31/1994 19,572 18,658
04/30/1994 19,374 18,509
05/31/1994 19,277 18,507
06/30/1994 19,202 18,466
07/31/1994 19,592 18,832
08/31/1994 19,643 18,856
09/30/1994 19,390 18,578
10/31/1994 19,362 18,562
11/30/1994 19,361 18,521
12/31/1994 19,349 18,648
01/31/1995 19,691 19,017
02/28/1995 20,148 19,470
03/31/1995 20,336 19,589
04/30/1995 20,687 19,863
05/31/1995 21,337 20,631
06/30/1995 21,320 20,783
07/31/1995 21,326 20,736
08/31/1995 21,651 20,986
09/30/1995 21,917 21,191
10/31/1995 22,243 21,466
11/30/1995 22,719 21,788
12/31/1995 23,106 22,094
01/31/1996 23,290 22,240
02/29/1996 22,718 21,854
03/31/1996 22,536 21,702
04/30/1996 22,437 21,580
05/31/1996 22,372 21,536
06/30/1996 22,725 21,825
07/31/1996 22,780 21,885
08/31/1996 22,754 21,848
09/30/1996 23,271 22,229
10/31/1996 23,869 22,721
11/30/1996 24,428 23,111
12/31/1996 24,117 22,896
01/31/1997 24,202 22,966
02/28/1997 24,250 23,023
03/31/1997 23,950 22,768
04/30/1997 24,376 23,109
05/31/1997 24,620 23,327
06/30/1997 24,903 23,604
07/31/1997 25,592 24,240
08/31/1997 25,365 24,034
09/30/1997 25,771 24,388
10/31/1997 26,075 24,742
11/30/1997 26,189 24,856
12/31/1997 26,491 25,106
01/31/1998 26,896 25,428
02/28/1998 26,815 25,408
03/31/1998 26,898 25,497
04/30/1998 26,998 25,630
05/31/1998 27,306 25,873
06/30/1998 27,565 26,092
07/31/1998 27,650 26,148
08/31/1998 28,085 26,573
09/30/1998 28,919 27,196
10/31/1998 28,716 27,052
11/30/1998 28,817 27,205
12/31/1998 28,987 27,287
01/31/1999 29,155 27,482
02/28/1999 28,613 27,002
03/31/1999 28,850 27,152
04/30/1999 28,986 27,238
05/31/1999 28,667 26,999
06/30/1999 28,612 26,913
07/31/1999 28,498 26,799
08/31/1999 28,515 26,785
09/30/1999 28,826 27,096
</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 4%
- -----------------------------------
1-5 years 36%
- -----------------------------------
5-10 years 38%
- -----------------------------------
10-20 years 16%
- -----------------------------------
20-30 years 6%
- -----------------------------------
Duration 4.60 years
- -----------------------------------
Sector Breakdown
- -----------------------------------
Mortgage-Backed Securities 43.3%
- -----------------------------------
Corporate Bonds & Notes 34.2%
- -----------------------------------
Asset-Backed Securities 7.0%
- -----------------------------------
U.S. Treasury Obligations 5.2%
- -----------------------------------
Other 10.3%
- -----------------------------------
Quality Breakdown
- -----------------------------------
AAA 58.3%
- -----------------------------------
AA 6.7%
- -----------------------------------
A 17.1%
- -----------------------------------
BBB 11.1%
- -----------------------------------
BB 6.4%
- -----------------------------------
B 0.4%
- -----------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
For the six-month period ended September 30, 1999, the Fund's Class D shares
fell 0.09%, slightly outperforming its benchmark, the Lehman Aggregate Bond
Index, which fell 0.21%. In addition, the Fund has outperformed its Lipper
Average and benchmark over the 5, 10-year and since inception periods ended
September 30, 1999.
Concerns about inflation pushed interest rates higher during the second
quarter. And although interest rates were slightly higher after the third
quarter, yields fluctuated widely. After hiking interest rates in June and again
in August, the Federal Reserve turned neutral, saying the threat of higher
inflation should "markedly diminish" in the coming months. However, the bond
market remained unsettled as a weakening in the dollar threatened to drive up
import prices and renew inflation fears.
Mortgage returns held up better than other bond market sectors over the past
six months as the yield advantage offered by these securities offset a decline
in price. Small selective investments in specific emerging markets aided
performance as the global recovery continued and yield premiums narrowed.
Improving credit fundamentals in Mexico and Poland compensated for the negative
reaction to Ecuador's Brady Bond default.
The Fund's allocation to high grade corporate bonds underperformed
Treasuries, as reduced investor demand drove yield premiums wider.
Below-investment-grade securities, a small weight in the portfolio, also
performed relatively poorly as concerns about credit quality grew, default rates
rose and liquidity declined.
Looking ahead, we believe the economy will expand more slowly as higher
borrowing costs for individuals and companies temper growth in consumer and
investment spending. While we expect inflation to remain benign over the longer
term, the inflation rate will likely trend somewhat higher over the next several
months after a sharp decline last year.
In this environment, the manager believes that yield enhancement is the key
to performance as interest rates remain range-bound. Managing credit risk will
also be important as debt levels continue to rise and the economy cools. The
manager will favor mortgages as a source of incremental yield that presents
little credit risk. Due to the risk of further credit quality deterioration in
corporate, high yield and emerging market bonds, investments in these areas will
be made selectively.
See page 57 for financial details. 23
<PAGE>
September 30, 1999
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:
$4.0 million
PORTFOLIO MANAGER:
Pasi Hamaleinen
PIMCO Total Return Mortgage Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/99
D Shares Lipper U.S.Mortgage Lehman Bros.
Fund Average Mortgage Index
- --------------------------------------------------------------------------------
1 year 1.47% 0.82% 2.27%
Inception 5.91% -- --
Change in Value of $10,000
Invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO Lehman Bros.
MONTH Total Return Mortgage Index
Mortgage D
<S> <C> <C>
07/31/1997 10,000 10,000
08/31/1997 10,007 9,976
09/30/1997 10,162 10,103
10/31/1997 10,310 10,215
11/30/1997 10,356 10,248
12/31/1997 10,475 10,342
01/31/1998 10,587 10,445
02/28/1998 10,604 10,467
03/31/1998 10,641 10,511
04/30/1998 10,711 10,570
05/31/1998 10,801 10,641
06/30/1998 10,869 10,691
07/31/1998 10,910 10,746
08/31/1998 11,038 10,843
09/30/1998 11,160 10,974
10/31/1998 11,113 10,960
11/30/1998 11,159 11,015
12/31/1998 11,187 11,061
01/31/1999 11,253 11,140
02/28/1999 11,192 11,096
03/31/1999 11,262 11,170
04/30/1999 11,315 11,222
05/31/1999 11,252 11,159
06/30/1999 11,237 11,120
07/31/1999 11,193 11,045
08/31/1999 11,184 11,044
09/30/1999 11,324 11,223
</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 16%
- -----------------------------------
1-5 years 46%
- -----------------------------------
5-10 years 32%
- -----------------------------------
10-20 years 4%
- -----------------------------------
20-30 years 2%
- -----------------------------------
Duration 3.3 years
- -----------------------------------
Sector Breakdown
- -----------------------------------
Mortgage-Backed Securities 77.4%
- -----------------------------------
Short-Term Instruments 13.2%
- -----------------------------------
U.S. Treasury Obligations 9.4%
- -----------------------------------
Quality Breakdown
- -----------------------------------
AAA 95.5%
- -----------------------------------
AA 3.5%
- -----------------------------------
BBB 1.0%
- -----------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Total Return Mortgage Fund slightly outperformed the Lehman Brothers
Mortgage Index for the six-month period ended September 30, 1999. The Fund's
Class D shares returned 0.54% versus 0.47% for the Lehman Average. Over the same
time period the Lipper U.S. Mortgage Fund Average fell 0.03%.
Inflation concerns pushed interest rates higher during the second quarter.
And although interest rates were slightly higher after the third quarter, yields
fluctuated widely. The Federal Reserve raised interest rates in June and again
in August, but turned neutral saying that threat of higher inflation should
"markedly diminish" in the coming months. However, the bond market remained
unsettled as a weakening in the dollar threatened to drive up import prices and
renew inflation fears.
Mortgage-backed securities held up better than other bond market sectors over
the past six months as the yield advantage offered by these securities offset a
decline in price. The Fund's below-benchmark duration (sensitivity to changes in
interest rates) also helped to lessen the impact of rising interest rates. In
addition, a limited allocation to well structured, yield enhancing
collateralized mortgage obligations added slightly to returns.
The Fund's use of lower coupon mortgages did not help performance over the
past six months as prepayment fears dissipated. Adjustable rate mortgages also
detracted modestly from performance as issuance in this sector increased,
driving prices lower due to oversupply.
Looking ahead, we believe the economy will expand more slowly as higher
borrowing costs for individuals and companies temper growth in consumer and
investment spending. While we expect inflation to remain benign over the longer
term, the inflation rate will likely trend somewhat higher over the next several
months after a sharp decline last year.
In this environment, the manager feels interest rates will likely remain
range-bound and yield enhancement will continue to be the key to performance.
This outlook favors mortgage-backed securities, as they are good sources of
incremental yield and they present little additional credit risk.
24 See page 79 for financial details.
<PAGE>
September 30, 1999
- --------------------------------------------------------------------------------
FOOTNOTES
- --------------------------------------------------------------------------------
A few notes and definitions are needed for a complete understanding of the
performance figures.
Past performance is no guarantee of future results. Investment return will
fluctuate and the value of an investor's shares will fluctuate and may be worth
more or less than original cost when redeemed. 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 September 30,
1999.
Duration is a measurement of a Fund's price sensitivity expressed in years.
The credit quality of the investment in the portfolio does not apply to the
stability or safety of the fund.
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 Intermediate BB Rated
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. The Lehman
Brothers General Municipal Bond Index is an index representative of the
tax-exempt bond market. Salomon 3 month Treasury Bill Index is an index of
monthly return equivalents of yield averages of the last 3-month Treasury bill
issues. 60% S&P 500/ 40% LBAG Index is comprised of the return of the S&P 500
Index and 40% of the Lehman Brothers Aggregate Bond Index. Lipper Balanced Index
is comprised of convertible bonds. Lehman Brothers Mortgage Index is an index of
fixed rate mortgages issued by GNMA, FNMA, and FHLMC.
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.
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 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
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------
ARGENTINA (b)(h) 0.3%
- ----------------------------------------------------------------------
Republic of Argentina
5.000% due 12/20/2002 JY 219,000 $ 2,041
--------
Total Argentina 2,041
(Cost $1,689) ========
- ----------------------------------------------------------------------
AUSTRALIA (b)(h) 1.2%
- ----------------------------------------------------------------------
Asian Development Bank
5.250% due 09/15/2004 (j) A$ 1,000 624
Bankers Trust Australia
5.366% due 06/02/2008 (d) $ 4,800 4,716
Commonwealth of Australia
9.000% due 09/15/2004 (j) A$ 1,880 1,391
--------
Total Australia 6,731
(Cost $6,776) ========
- ----------------------------------------------------------------------
BAHAMAS 0.1%
- ----------------------------------------------------------------------
Citibank NA Nassau
9.750% due 04/26/2000 $ 350 351
--------
Total Bahamas 351
(Cost $350) ========
- ----------------------------------------------------------------------
BELGIUM (b)(h) 0.9%
- ----------------------------------------------------------------------
Kingdom of Belgium
9.000% due 03/28/2003 EC 5 6
6.750% due 11/21/2004 (d) BF 183,200 5,255
--------
Total Belgium 5,261
(Cost $6,069) ========
- ----------------------------------------------------------------------
BULGARIA 0.6%
- ----------------------------------------------------------------------
Republic of Bulgaria
6.500% due 07/28/2011 (d) $ 4,920 3,487
--------
Total Bulgaria 3,487
(Cost $3,496) ========
- ----------------------------------------------------------------------
CANADA (b)(h) 6.5%
- ----------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 3,440 2,357
Commonwealth of Canada
9.000% due 12/01/2004 6,000 4,675
6.625% due 10/03/2007 N$ 20,830 10,071
6.000% due 06/01/2008 (j) C$ 15,950 11,043
Hydro-Quebec
3.527% due 04/25/2000 (d) DM 5,000 2,722
Providence of Manitoba
11.000% due 08/15/2000 C$ 5,000 3,565
Province of Quebec
3.353% due 02/09/2000 (d) DM 5,000 2,729
Sears Canada
11.700% due 07/10/2000 C$ 1,000 710
--------
Total Canada 37,872
(Cost $39,577) ========
- ----------------------------------------------------------------------
CAYMAN ISLANDS (b)(h) 3.3%
- ----------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C.
5.300% due 09/21/2000 JY 200,000 1,946
Capital Credit Card Corp.
5.625% due 10/15/2004 DM 2,800 1,568
MBNA American Euro
2.640% due 05/19/2004 (d) EC 8,100 8,598
Residential Reinsurance
9.163% due 06/01/2000 (d) $ 7,100 7,078
--------
Total Cayman Islands 19,190
(Cost $19,010) ========
- ----------------------------------------------------------------------
COLOMBIA (b)(h) 0.2%
- ----------------------------------------------------------------------
Republic of Colombia
3.000% due 12/22/2000 JY 150,000 $ 1,331
-------
Total Colombia 1,331
(Cost $1,157) =======
- ----------------------------------------------------------------------
DENMARK (b)(h) 6.1%
- ----------------------------------------------------------------------
Danske Kredit Mortgage
5.000% due 10/01/2029 DK 153,662 18,740
Kingdom of Denmark
6.000% due 11/15/2002 53,500 7,986
Nykredit
5.000% due 10/01/2029 485 59
Realkredit Danmark Mortgage
5.000% due 10/01/2029 431 52
Unikredit Realkredit
5.000% due 10/01/2029 71,235 8,696
-------
Total Denmark 35,533
(Cost $38,392) =======
- ----------------------------------------------------------------------
FRANCE (b)(h) 0.9%
- ----------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 835 846
Caisse Autonome de Refinancement
7.750% due 12/06/1999 FF 1,100 180
Republic of France
3.000% due 07/25/2009 6,254 4,336
-------
Total France 5,362
(Cost $5,661) =======
- ----------------------------------------------------------------------
GERMANY (b)(h) 15.1%
- ----------------------------------------------------------------------
Allgemeine Hypobank AG
5.500% due 01/17/2007 EC 2,290 2,479
5.000% due 09/02/2009 (j) 2,200 2,235
Barclays Capital Corp.
3.246% due 12/20/2000 DM 2,000 1,087
Depfa Pfandbriefbank
0.000% due 01/15/2010 (j) EC 23,260 24,616
Dresdner Finance BV
3.179% due 01/11/2000 (d) DM 1,000 545
Hypothekenbank in Essen AG
4.750% due 08/11/2008 (j) EC 2,360 2,382
4.250% due 07/06/2009 8,460 8,135
Republic of Germany
4.500% due 07/04/2009 (j) 26,220 26,580
6.500% due 07/04/2027 (j) 14,170 16,338
Rheinische Hypothekenbank AG
4.000% due 09/15/2006 DK 3,440 3,427
-------
Total Germany 87,824
(Cost $89,292) =======
- ----------------------------------------------------------------------
GREECE (b)(h) 0.6%
- ----------------------------------------------------------------------
Hellenic Finance
2.000% due 07/15/2003 EC 1,600 1,753
Hellenic Republic
10.200% due 05/19/2003 (d) GD 100,000 331
10.180% due 06/17/2003 (d) 107,400 355
13.100% due 10/23/2003 (d) 376,000 1,248
-------
Total Greece 3,687
(Cost $3,946) =======
- ----------------------------------------------------------------------
ITALY (b)(h) 2.8%
- ----------------------------------------------------------------------
Republic of Italy
4.500% due 05/01/2009 (j) EC 3,710 3,731
6.500% due 11/01/2027 (j) 10,916 12,296
-------
Total Italy 16,027
(Cost $17,729) =======
26 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ------------------------------------------------------------------------
JAPAN (b)(h) 19.9%
- ------------------------------------------------------------------------
Government of Japan
4.100% due 12/22/2003 (j) JY 4,063,000 $ 43,341
4.500% due 12/20/2004 (j) 1,294,300 14,308
4.000% due 06/20/2005 (j) 141,300 1,540
3.400% due 06/20/2005 (j) 1,078,300 11,403
3.000% due 09/20/2005 925,000 9,591
3.300% due 06/20/2006 (j) 1,950,000 20,646
0.900% due 12/22/2008 (j) 1,375,700 11,973
SHL Corp. Limited
0.493% due 10/25/2023 (d) 172,022 1,617
0.794% due 12/25/2024 (d) 76,000 715
-------
Total Japan 115,134
(Cost $108,539) =======
- ------------------------------------------------------------------------
MEXICO (h) 2.5%
- ------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 $ 600 544
Petroleos Mexicanos
8.850% due 09/15/2007 1,040 946
9.375% due 12/02/2008 1,290 1,317
United Mexican States
5.750% due 04/07/2000 (d) 6,000 5,932
8.750% due 05/30/2002 BP 270 441
6.768% due 06/27/2002 (d) 670 660
10.375% due 01/29/2003 DM 2,575 1,511
9.060% due 04/07/2004 (d) $ 3,100 3,117
-------
Total Mexico 14,468
(Cost $14,330) =======
- ------------------------------------------------------------------------
NETHERLANDS (b)(h) 2.4%
- ------------------------------------------------------------------------
General Motors Acceptance Corp.
6.875% due 09/09/2004 BP 2,780 4,500
GMAC International Finance BV
7.125% due 02/10/2000 $ 744 1,226
KPNQWest BV
7.125% due 06/01/2009 EC 3,700 3,777
LBW Finance NV
7.000% due 03/08/2000 $ 4,985 2,759
TPSA Finance BV
7.750% due 12/10/2008 1,470 1,430
-------
Total Netherlands 13,692
(Cost $13,859) =======
- ------------------------------------------------------------------------
NEW ZEALAND (b)(h) 7.2%
- ------------------------------------------------------------------------
Commonwealth of New Zealand
10.000% due 03/15/2002 (j) N$ 59,280 33,317
4.500% due 02/15/2016 (j) $ 16,500 8,527
-------
Total New Zealand 41,844
(Cost $43,726) =======
- ------------------------------------------------------------------------
PHILIPPINES (b)(h) 0.7%
- ------------------------------------------------------------------------
Republic of Philippines
8.000% due 09/17/2004 EC 2,420 2,658
6.000% due 12/01/2009 (d) $ 1,436 1,313
-------
Total Philippines 3,971
(Cost $4,004) =======
- ------------------------------------------------------------------------
PORTUGAL (b)(h) 1.9%
- ------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 (j) EC 11,770 11,157
-------
Total Portugal 11,157
(Cost $10,913) =======
- ------------------------------------------------------------------------
SINGAPORE (b)(h) 2.2%
- ------------------------------------------------------------------------
Singapore Government
4.375% due 10/15/2005 S$ 15,800 9,383
4.375% due 01/15/2009 S$ 5,900 $ 3,415
-------
Total Singapore 12,798
(Cost $12,720) =======
- ------------------------------------------------------------------------
SOUTH KOREA (b)(h) 1.8%
- ------------------------------------------------------------------------
Korea Development Bank
2.850% due 05/14/2001 (d) DM 7,310 3,892
2.770% due 05/21/2001 JY 400,000 3,820
1.875% due 02/13/2002 13,000 122
Korean Export-Import Bank
7.250% due 06/25/2001 $ 1,945 1,930
6.500% due 02/10/2002 800 779
-------
Total South Korea 10,543
(Cost $10,026) =======
- ------------------------------------------------------------------------
SPAIN (b)(h) 5.5%
- ------------------------------------------------------------------------
Kingdom of Spain
5.150% due 07/30/2009 (j) EC 27,170 28,615
6.000% due 01/31/2029 (j) 3,123 3,341
-------
Total Spain 31,956
(Cost $32,629) =======
- ------------------------------------------------------------------------
SUPRANATIONAL (b)(h) 9.0%
- ------------------------------------------------------------------------
Asian Development Bank
5.375% due 09/15/2003 A$ 13,300 8,450
Eurofima
5.625% due 11/25/1999 FF 1,000 163
European Investment Bank
12.750% due 02/15/2000 IL 1,262,000 718
7.000% due 12/08/2003 BP 6,300 10,405
6.000% due 11/26/2004 (j) 1,500 2,390
5.375% due 08/28/2007 NK 2,400 295
Inter-American Development Bank
7.125% due 11/26/2004 BP 1,750 2,908
International Bank for Reconstruction &
Development
6.875% due 07/14/2000 BP 2,500 4,135
7.000% due 09/18/2000 N$ 6,400 3,346
7.250% due 04/09/2001 6,400 3,347
7.000% due 06/07/2002 BP 1,100 1,820
7.250% due 05/27/2003 N$ 10,670 5,523
International Finance Corp.
6.340% due 02/17/2000 BP 4,965 8,183
World Bank
10.250% due 04/11/2002 PP 31,000 703
-------
Total Supranational 52,386
(Cost $54,138) =======
- ------------------------------------------------------------------------
SWEDEN (b)(h) 0.4%
- ------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 11,200 1,557
5.500% due 04/12/2002 (j) 6,100 758
-------
Total Sweden 2,315
(Cost $2,412) =======
- ------------------------------------------------------------------------
TUNISIA (b)(h) 0.3%
- ------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 1,500 1,573
-------
Total Tunisia 1,573
(Cost $1,524) =======
- ------------------------------------------------------------------------
UNITED KINGDOM (b)(h) 5.8%
- ------------------------------------------------------------------------
Abbey National Treasury Service
5.250% due 01/21/2004 BP 2,670 4,103
FCE Bank PLC
7.500% due 12/08/1999 DM 9,808 5,384
General Electric Capital Corp.
6.750% due 12/30/1999 BP 1,029 1,697
9.000% due 02/14/2000 1,157 1,922
See accompanying notes 27
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------
SCCR Series 1 Limited
2.589% due 05/15/2000 (d) IL 15,380,000 $ 8,454
United Kingdom Gilt
8.500% due 12/07/2005 (j) BP 6,456 11,858
-------
Total United Kingdom 33,418
(Cost $33,837) =======
- ----------------------------------------------------------------------
UNITED STATES (b)(h) 68.1%
- ----------------------------------------------------------------------
Asset-Backed Securities 7.1%
AFC Home Equity Loan Trust
5.603% due 03/25/2027 (d) $ 1,205 1,210
Americredit Automobile Receivable Trust
5.880% due 12/05/2003 250 249
Banc One Auto Grantor Trust
6.270% due 11/20/2003 623 624
6.290% due 07/20/2004 889 888
Bayview Financial Acquisition
5.889% due 02/25/2029 (d) 454 455
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 457 459
Citibank Credit Card Master Trust
5.279% due 05/15/2002 1,200 1,200
Comed Transitional Funding Trust
5.380% due 03/25/2002 583 583
Contimortgage Home Equity Loan Trust
6.370% due 10/15/2012 (d) 2,092 2,088
6.010% due 12/25/2013 13,765 13,714
Daimler-Benz Vehicle Trust
5.230%due12/20/2001 2,128 2,126
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 1,019 1,018
EQCC Home Equity Loan Trust
5.543% due 03/20/2029 796 796
5.770% due 03/20/2029 3,992 3,995
First Security Auto Owner Trust
5.311% due 04/15/2002 1,528 1,526
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 468 468
MBNA Master Credit Card Trust
6.050% due 11/15/2002 2,070 2,072
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 3,393 3,384
Premier Auto Trust
6.250% due 08/06/2001 908 909
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 1,630 1,628
The Money Store Home Equity Trust
6.490% due 10/15/2026 460 454
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 1,445 1,440
-------
41,286
=======
Corporate Bonds & Notes 19.7%
AES Corp.
10.250% due 07/15/2006 394 396
Associates Corp. of North America
5.596% due 08/27/2001 (d) 5,000 4,987
AT&T Capital Corp.
5.561% due 04/23/2002 (d) 675 662
Bancomext Trust Division
8.000% due 08/05/2003 390 377
Beckman Instruments, Inc.
7.100% due 03/04/2003 344 334
Buckeye Technologies, Inc.
8.000% due 10/15/2010 394 361
Building Materials Corp.
7.750% due 07/15/2005 247 227
8.000% due 10/15/2007 267 245
Calpine Corp.
7.875% due 04/01/2008 485 464
Capital One Bank
6.001% due 07/28/2003 (d) 12,000 11,985
Century Communications Corp.
0.000% due 03/15/2003 537 380
CMS Energy
8.125% due 05/15/2002 385 386
CSC Holdings, Inc.
9.875% due 04/01/2023 385 399
CSFP Credit
5.528% due 11/19/2004 (g) 19,000 19,190
DaimlerChrysler NA Holdings
5.748% due 08/23/2002 (d) 3,900 3,891
Echostar DBS Corp.
9.250% due 02/01/2006 488 482
Flag Limited
8.250% due 01/30/2008 385 337
Ford Credit Auto Owner Trust
5.810% due 03/15/2002 8,000 7,985
Garden State Newspapers
8.750% due 10/01/2009 360 331
General Motors Acceptance Corp.
5.619% due 12/10/2001 (d) $ 2,000 1,991
5.540% due 11/12/2002 (d) 5,100 5,067
5.560% due 04/05/2004 (d) 9,760 9,726
Hollinger International Publishing
8.625% due 03/15/2005 294 291
Household Finance Corp.
5.125% due 06/24/2009 EC 4,900 4,841
J.P. Morgan & Co.
5.459% due 02/15/2012 $ 5,500 4,821
Jones Intercable, Inc.
8.875% due 04/01/2007 427 445
K Mart Corp.
9.350% due 01/02/2020 406 436
Lehman Brothers Holdings, Inc.
5.733% due 02/27/2001 (d) 4,900 4,907
5.824% due 11/30/2006 (d) 1,000 875
McLeodUSA, Inc.
8.125% due 02/15/2009 585 547
Merrill Lynch & Co.
5.393% due 11/01/2001 (d) 6,830 6,809
MGM Grand, Inc.
6.950% due 02/01/2005 180 169
Navistar International Corp.
8.000% due 02/01/2008 329 320
Orange PLC
8.000% due 08/01/2008 294 284
Polymer Group, Inc.
9.000% due 07/01/2007 329 314
Rogers Cantel, Inc.
8.300% due 10/01/2007 385 402
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 12,738 12,400
Silgan Holdings, Inc.
9.000% due 06/01/2009 335 319
Sprint Corp.
5.875% due 05/01/2004 690 662
Texas Utilities Co.
6.438% due 09/24/2001 2,600 2,600
TV Guide, Inc.
8.125% due 03/01/2009 335 317
Unisys Corp.
12.000% due 04/15/2003 485 526
World Color Press, Inc.
8.375% due 11/15/2008 206 199
-------
112,687
=======
Mortgage-Backed Securities 12.4%
Bank of America Mortgage Securities
6.500% due 05/25/2029 314 302
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 3,213 3,206
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 3,801 3,789
6.500% due 03/25/2029 140 128
Crusade Global Trust
5.844% due 02/15/2030 (d) 14,400 14,400
Federal Home Loan Mortgage Corp.
6.000% due 03/15/2008 1,003 996
9.050% due 06/15/2019 73 76
28 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------
6.500% due 09/15/2022 $ 156 $ 155
6.811% due 06/01/2022 (d) 1,520 1,563
7.091% due 08/01/2022 (d) 928 948
Federal National Mortgage Assn.
5.500% due 02/25/2005 104 104
6.903% due 07/01/2021 (d) 1,010 1,041
7.043% due 11/01/2022 (d) 1,217 1,253
6.559% due 01/01/2023 (d) 1,493 1,535
6.599% due 01/01/2023 (d) 2,066 2,120
6.923% due 08/01/2023 (d) 1,173 1,205
GE Capital Mortgage Services, Inc.
6.250% due 07/25/2029 500 485
General Electric Capital Corp.
5.125% due 01/12/2004 6,230 9,550
Government National Mortgage Assn.
6.125% due 11/20/2021-12/20/2026 (d)(e) 13,105 6,977
6.375% due 05/20/2022-04/20/2027 (d)(e) 5,660 2,902
6.625% due 07/20/2022-09/20/2026 (d)(e) 25,636 13,331
7.000% due 11/22/2029 1,200 1,176
Independent National Mortgage Corp.
7.729% due 11/25/2024 (d) 44 44
Morgan Stanley Mortgage
8.150% due 07/20/2021 2 2
Prudential Home Mortgage Securities
6.800% due 05/25/2024 431 382
Residential Funding Mortgage Securities, Inc.
6.500% due 06/25/2029 1,196 1,001
Structured Asset Mortgage Investments, Inc.
6.584% due 06/25/2029 (d) 3,279 3,195
---------
71,866
=========
U.S. Government Agencies 13.0%
Federal Home Loan Bank
6.000% due 05/12/2000 (d) 24,600 24,277
4.842% due 02/15/2002 (d) 14,000 13,672
Federal National Mortgage Assn.
6.500% due 07/10/2002 A$ 16,100 10,654
6.875% due 06/07/2002 (j) BP 10,230 16,898
7.250% due 06/20/2002 (j) N$ 14,850 7,744
5.500% due 12/07/2003 (j) BP 700 1,099
Student Loan Marketing Assn.
5.225% due 04/25/2004 (d) $ 374 373
5.195% due 10/25/2004 (d) 834 832
---------
75,549
=========
U.S. Treasury Obligations 15.9%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (f)(j) 82,272 81,758
U.S. Treasury Bonds
12.500% due 08/15/2014 (j) 6,710 9,719
U.S. Treasury Notes
5.500% due 02/29/2000 790 791
---------
92,268
---------
Total United States 393,656
(Cost $395,384) =========
- -----------------------------------------------------------------------
PURCHASED CALL OPTIONS (b)(h) 1.1%
- -----------------------------------------------------------------------
Japanese Yen vs. Euro (OTC)
Strike @ 114.000 Exp. 12/22/1999 EC 52,900 959
Republic of Germany (OTC)
4.750% due 07/04/2028
Strike @ 65.000 Exp. 01/18/2000 9,940 2,172
United Kingdom Gilt (OTC)
8.000% due 06/10/2003
Strike @ 95.000 Exp. 02/16/2000 BP 18,720 3,030
---------
Total Purchased Call Options 6,161
(Cost $5,728) =========
- -----------------------------------------------------------------------
PURCHASED PUT OPTIONS 3.6%
- -----------------------------------------------------------------------
Interest Rate Swap (OTC)
Strike @ 6.280% Exp. 04/29/2002 $ 9,000 1,033
Japanese Yen vs. Euro (OTC)
Strike @ 125.000 Exp. 10/15/1999 8,350 1
Japanese Yen vs. U.S. Dollar (OTC)
Strike @ 120.000 Exp. 10/15/1999 12,300 0
Japanese Yen vs. U.S. Dollar (OTC)
Strike @ 120.000 Exp. 10/15/1999 8,200 0
U.S. Treasury Note (OTC)
5.250% due 05/31/2001
Strike @ 102.359 Exp. 12/06/1999 119,800 3,430
U.S. Treasury Note (OTC)
5.625% due 05/15/2008
Strike @ 108.812 Exp. 12/06/1999 83,500 9,685
U.S. Treasury Bond (OTC)
5.500% due 08/15/2028
Strike @ 105.406 Exp. 10/01/1999 13,060 2,058
United Kingdom Gilt (OTC)
6.000% due 12/07/2028
Strike @ 160.000 Exp. 02/10/2000 3,900 2,565
United Kingdom Gilt (OTC)
8.000% due 06/07/2021
Strike @ 170.000 Exp. 01/18/2000 4,680 2,314
---------
Total Purchased Put Options 21,086
(Cost $21,137) =========
- -----------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.5%
- -----------------------------------------------------------------------
Certificates of Deposit 1.1%
Commerzbank AG
6.200% due 05/10/2000 (d) 6,550 6,500
---------
Commercial Paper 0.3%
Bellsouth Telecom
5.350% due 10/13/1999 1,500 1,497
---------
Repurchase Agreement 0.1%
State Street Bank
4.800% due 10/01/1999 868 868
(Dated 09/30/1999. Collateralized by Federal
National Mortgage Association 6.000%
07/16/2001 valued at $885,922.
Repurchase proceeds are $868,116.)
---------
Total Short-Term Instruments 8,865
(Cost $8,915) =========
Total Investments (a) 172.5% $ 999,720
(Cost $1,006,965)
Written Options (c) (0.2%) (1,416)
(Premiums $1,124)
---------
Other Assets and Liabilities (Net) (72.3%) (418,784)
---------
Net Assets 100.0% $ 579,520
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 13,096
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (20,341)
---------
Unrealized depreciation-net $ (7,245)
=========
See accompanying notes 29
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
September 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
(b) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Buy A$ 1,741 10/1999 $ 17
Sell 16,763 10/1999 (139)
Buy BP 3,431 10/1999 6
Sell 37,678 10/1999 (307)
Sell 2,880 11/1999 2
Buy C$ 1,420 10/1999 11
Sell 20,030 10/1999 (167)
Sell DK 190,745 10/1999 (660)
Buy 55,805 11/1999 47
Sell 174,832 11/1999 (220)
Buy 14,910 01/2000 25
Sell 34,382 01/2000 28
Buy 50,957 02/2000 175
Sell 29,447 02/2000 (66)
Buy EC 8,102 10/1999 61
Sell 65,364 10/1999 (645)
Buy 24,814 11/1999 506
Sell 19,489 11/1999 (445)
Sell 1,929 01/2000 (61)
Sell 1,154 02/2000 9
Sell 804 03/2000 (17)
Sell GD 721,432 01/2000 (41)
Sell H$ 203,800 02/2000 (84)
Sell 121,638 09/2000 (2)
Sell JY 26,093 10/1999 2
Buy 356,240 02/2000 (78)
Sell 1,589,804 02/2000 (316)
Sell N$ 33,013 10/1999 841
Sell 39,773 11/1999 68
Sell NK 5,691 10/1999 (1)
Buy 1,631 02/2000 6
Buy PZ 14,184 01/2000 (142)
Buy 8,320 02/2000 (69)
Buy 6,300 03/2000 8
Sell S$ 21,466 02/2000 (39)
Buy SK 47,900 10/1999 66
Sell 12,917 10/1999 6
---------
$ (1,615)
=========
(c) Premiums received on written options:
# of
Type Contracts Premium Value
- --------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 120.000 Exp. 11/20/1999 247 $ 135 $ 27
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 110.000 Exp. 11/20/1999 247 87 81
Put - OTC U.S.Treasury Note
5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 3,500 14 0
Put - OTC Japanese Yen vs. US Dollar
Strike @ 120.000 Exp. 10/15/1999 8,200 45 0
Put - OTC Japanese Yen vs. Eurodollar
Strike @ 125.000 Exp. 10/15/1999 8,350 118 1
Put - OTC Eurodollar vs. Japanese Yen
Strike @ 112.000 Exp. 11/26/1999 6,300 86 108
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.280% Exp. 04/29/2000 16,000 634 1,194
Put - LIFFE EURIBOR September Futures
Strike @ 96.000 Exp. 09/18/2000 6,300 5 5
---------------
$1,124 $1,416
===============
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Securities are grouped by coupon or range of coupons and represent
a range of maturities.
(f) Principal amount of the security is adjusted for inflation.
(g) Restricted security.
(h) Principal amount denoted in indicated currency:
A$ - Australian Dollar
BF - Belgian Franc
BP - British Pound
C$ - Canadian Dollar
DK - Danish Krone
DM - German Mark
EC - European Currency Unit
FF - French Franc
GD - Greek Drachma
H$ - Hong Kong Dollar
IL - Italian Lira
JY - Japanese Yen
N$ - New Zealand Dollar
NK - Norwegian Kron
PP - Philippines Peso
PZ - Polish Zloty
S$ - Singapore Dollar
SK - Swedish Krona
(i) Swap agreements outstanding at September 30, 1999:
Notional Unrealized
Type Amount Appreciation
- --------------------------------------------------------------------------------
Receive fixed rate equal to 6.949% and
pay floating rate based on 6 month LIBOR.
Broker: Merrill Lynch
Exp. 08/06/2003 $ 28,900 $ 109
(j) Subject to a financing transaction.
30 See accompanying notes
<PAGE>
Schedule of Investments
High Yield Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------
CORPORATE BONDS & NOTES 84.1%
- ---------------------------------------------------------------------
Banking & Finance 7.2%
Americredit Corp.
9.875% due 04/15/2006 $ 675 $ 682
Arvin Capital
9.500% due 02/01/2027 19,000 18,900
Bay View Capital Corp.
9.125% due 08/15/2007 8,200 7,545
Charter Commercial Holdings LLC
8.250% due 04/01/2007 13,750 12,908
Crown Castle International Corp.
13.250% due 11/15/2007 2,000 1,400
Forest City Enterprises
8.500% due 03/15/2008 12,350 11,671
Fuji Bank
9.870% due 12/31/2049 (d) 36,000 36,540
General Motors Acceptance Corp.
5.438% due 04/29/2002 (d) 800 799
Golden State Holdings
7.000% due 08/01/2003 205 195
7.125% due 08/01/2005 870 807
Host Marriott LP
8.375% due 02/15/2006 5,000 4,725
Mercury Finance Co.
10.009% due 03/23/2001 25,600 24,048
10.000% due 03/23/2001 31,450 29,720
Nextel Partners, Inc.
0.000% due 02/01/2009 17,750 10,473
Presidential Life Insurance Corp.
7.875% due 02/15/2009 12,750 12,395
Reliance Group Holdings
9.000% due 11/15/2000 5,528 5,552
Sumitomo
9.400% due 12/29/2049 (d) 30,300 30,531
TPSA Finance BV
7.750% due 12/10/2008 13,950 13,571
Trizec Finance Limited
10.875% due 10/15/2005 19,461 20,337
Willis Corroon Corp.
9.000% due 02/01/2009 15,700 14,209
--------
257,008
========
Industrials 68.5%
Abbey Healthcare Group
9.500% due 11/01/2002 12,945 13,058
Advanced Lighting
8.000% due 03/15/2008 11,425 10,183
AEI Holding Co.
10.500% due 12/15/2005 12,880 11,592
Agriculture Minerals & Chemicals
10.750% due 09/30/2003 3,000 1,875
Airtrust
0.000% due 06/01/2013 12,942 4,815
Allied Waste Industries
7.875% due 03/15/2005 2,000 1,853
Allied Waste North America, Inc.
7.375% due 01/01/2004 15,100 13,892
7.625% due 01/01/2006 23,225 20,903
10.000% due 08/01/2009 21,250 19,550
American Airlines
10.610% due 03/04/2010 650 775
American Axle & Manufacturing, Inc.
9.750% due 03/01/2009 9,550 9,478
American Standard, Inc.
7.125% due 02/15/2003 300 288
7.375% due 02/01/2008 10,800 9,828
9.250% due 12/01/2016 6,084 6,145
Amerigas Partners LP
10.125% due 04/15/2007 3,000 3,113
Amphenol Corp.
9.875% due 05/15/2007 11,825 11,914
Applied Power, Inc.
8.750% due 04/01/2009 21,280 20,057
Archibald Candy Corp.
10.250% due 07/01/2004 5,000 4,951
AT&T Canada, Inc.
10.625% due 11/01/2008 $ 9,600 $10,992
Ball Corp.
7.750% due 08/01/2006 8,750 8,576
8.250% due 08/01/2008 9,600 9,337
Beckman Instruments, Inc.
7.100% due 03/04/2003 5,000 4,859
7.450% due 03/04/2008 17,950 16,618
Benedek Communications Corp.
0.000% due 05/15/2006 (c) 1,500 1,315
Beverly Enterprises, Inc.
9.000% due 02/15/2006 19,925 17,236
Bresnan Communications
8.000% due 02/01/2009 2,000 1,966
Buckeye Technologies, Inc.
8.000% due 10/15/2010 10,100 9,268
Building Materials Corp.
7.750% due 07/15/2005 15,950 14,674
8.625% due 12/15/2006 1,235 1,187
8.000% due 10/15/2007 2,050 1,881
8.000% due 12/01/2008 22,250 20,414
Cablevision SA
13.750% due 05/01/2009 3,500 3,264
Cadmus Communications Corp.
9.750% due 06/01/2009 6,100 6,108
Call-Net Enterprises, Inc.
8.000% due 08/15/2008 6,900 5,624
9.375% due 05/15/2009 6,400 5,696
Canadian Forest Oil Limited
8.750% due 09/15/2007 4,900 4,742
Century Communications Corp.
9.500% due 08/15/2000 600 607
0.000% due 03/15/2003 10,400 7,359
9.500% due 03/01/2005 2,000 2,000
8.750% due 10/01/2007 6,000 5,836
0.000% due 01/15/2008 5,000 2,175
CF Cable TV, Inc.
9.125% due 07/15/2007 9,000 9,770
Chattem, Inc.
8.875% due 04/01/2008 4,950 4,690
Circus Circus Enterprises
6.750% due 07/15/2003 21,900 20,039
9.250% due 12/01/2005 6,350 6,406
Clark R & M, Inc.
8.375% due 11/15/2007 5,000 4,350
8.625% due 08/15/2008 4,500 3,960
Clearnet Communications
0.000% due 05/01/2009 6,000 3,660
Coltec Industries, Inc.
7.500% due 04/15/2008 32,150 31,761
Columbia/HCA Healthcare
6.125% due 12/15/2000 2,000 1,945
6.910% due 06/15/2005 1,250 1,118
7.000% due 07/01/2007 3,350 2,916
8.360% due 04/15/2024 6,000 5,548
6.730% due 07/15/2045 9,000 8,636
Columbus McKinnon
8.500% due 04/01/2008 17,500 16,319
Comcast Corp.
9.500% due 01/15/2008 6,837 7,110
Consolidated Container Co.
10.125% due 07/15/2009 12,150 12,272
Container Corp. of America
9.750% due 04/01/2003 1,000 1,028
11.250% due 05/01/2004 6,770 7,007
Continental Cablevision
9.500% due 08/01/2013 10,000 10,996
Cross Timbers Oil Co.
9.250% due 04/01/2007 4,440 4,407
8.750% due 11/01/2009 6,000 5,805
CSC Holdings, Inc.
9.875% due 05/15/2006 850 890
9.875% due 02/15/2013 2,000 2,115
10.500% due 05/15/2016 11,000 12,059
7.875% due 02/15/2018 10,000 9,539
See accompanying notes 31
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------
9.875% due 04/01/2023 $ 4,000 $ 4,151
Cumberland Farms
10.500% due 10/01/2003 5,540 5,457
Dade International, Inc.
11.125% due 05/01/2006 3,350 3,471
Delta Air Lines, Inc.
10.790% due 03/26/2014 2,264 2,669
Dial Call Communications
10.250% due 12/15/2005 (d) 6,697 6,806
Diamond Cable Communication Co.
0.000% due 09/30/2004 2,000 2,133
0.000% due 12/15/2005 (d) 10,000 8,950
Dunlop Stand Aero Holdings
11.875% due 05/15/2009 8,000 8,080
Echostar Communications Corp.
9.250% due 02/01/2006 33,650 33,398
9.375% due 02/01/2009 6,875 6,841
Emmis Communications Corp.
8.125% due 03/15/2009 7,150 6,810
Energis PLC
9.750% due 06/15/2009 7,500 7,688
Extended Stay America
9.150% due 03/15/2008 11,500 10,983
Extendicare Health Services
9.350% due 12/15/2007 5,950 3,630
EZ Communication, Inc.
9.750% due 12/01/2005 2,500 2,655
Falcon Holding Group LP
0.000% due 04/15/2010 (c) 11,700 8,366
8.375% due 04/15/2010 7,150 7,096
Federal-Mogul Corp.
7.500% due 07/01/2004 29,000 27,805
7.375% due 01/15/2006 250 232
7.750% due 07/01/2006 11,350 10,661
Ferrellgas Partners LP
9.375% due 06/15/2006 14,286 13,929
Fisher Scientific International
7.125% due 12/15/2005 13,750 12,547
9.000% due 02/01/2008 34,470 32,057
Forest Oil Corp.
10.500% due 01/15/2006 4,835 5,004
Fox/Liberty Networks LLC
0.000% due 08/15/2007 9,750 7,703
Fred Meyer, Inc.
7.450% due 03/01/2008 400 397
Furon Co.
8.125% due 03/01/2008 4,650 4,720
Garden State Newspapers
8.750% due 10/01/2009 24,655 22,683
8.625% due 07/01/2011 6,900 6,245
Globalstar LP
11.375% due 02/15/2004 8,350 5,386
11.250% due 06/15/2004 5,500 3,493
10.750% due 11/01/2004 3,106 1,988
Globe Telecom
13.000% due 08/01/2009 4,350 4,551
Golden Northwest Aluminum
12.000% due 12/15/2006 3,850 3,994
Grupo Televisa SA
11.375% due 05/15/2003 1,300 1,367
0.000% due 05/15/2008 (c) 6,475 5,455
Gulf Canada Resources
9.250% due 01/15/2004 12,575 12,658
9.625% due 07/01/2005 1,680 1,730
8.375% due 11/15/2005 4,000 3,920
Harnischfeger Industrial, Inc.
8.900% due 03/01/2022 6,300 2,930
7.250% due 12/15/2025 9,500 4,418
Harrahs Operating Co., Inc.
7.875% due 12/15/2005 10,400 10,010
7.500% due 01/15/2009 20,675 19,849
Henry Co.
10.000% due 04/15/2008 1,000 675
HMH Properties, Inc.
7.875% due 08/01/2005 20,900 19,333
8.450% due 12/01/2008 6,350 5,906
Hollinger International Publishing
9.250% due 02/01/2006 2,800 2,779
Holmes Products Corp.
9.875% due 11/15/2007 4,200 3,801
Horseshoe Gaming Holding
8.625% due 05/15/2009 23,200 22,098
HS Resources, Inc.
9.250% due 11/15/2006 5,250 5,237
Huntsman Corp.
9.500% due 07/01/2007 12,350 11,455
Huntsman ICI Chemicals
10.125% due 07/01/2009 2,500 2,463
Huntsman Packaging Corp.
9.125% due 10/01/2007 11,050 10,221
Impsat Corp.
12.375% due 06/15/2008 10,900 8,311
Intergrated Health Services
8.563% due 12/31/2005 (d) 50 41
8.813% due 12/31/2005 (d) 9,800 8,036
9.500% due 09/15/2007 2,950 457
Intermedia Communications, Inc.
0.000% due 05/15/2006 (c) 31,535 25,701
International Game Technology
7.875% due 05/15/2004 16,500 15,881
8.375% due 05/15/2009 14,250 13,680
ISP Holdings, Inc.
9.750% due 02/15/2002 250 253
9.000% due 10/15/2003 23,370 23,428
ITC Deltacom, Inc.
11.000% due 06/01/2007 3,250 3,429
9.750% due 11/15/2008 1,750 1,754
IXC Communications, Inc.
9.000% due 04/15/2008 8,500 8,458
J.Q. Hammons Hotels
8.875% due 02/15/2004 4,950 4,579
Jones Intercable, Inc.
8.875% due 04/01/2007 5,060 5,269
JPS Automotive Products
11.125% due 06/15/2001 9,000 9,225
Jupiters Limited
8.500% due 03/01/2006 11,850 11,376
K Mart Corp.
12.350% due 01/01/2008 4,127 4,316
8.800% due 07/01/2010 1,250 1,219
9.350% due 01/02/2020 14,874 15,989
9.780% due 01/05/2020 9,575 9,862
K-III Communications Co.
8.500% due 02/01/2006 15,940 15,542
KPNQWest BV
8.125% due 06/01/2009 31,000 29,450
L-3 Communications Corp.
10.375% due 05/01/2007 5,750 6,009
Lear Corp.
8.250% due 02/01/2002 7,910 7,712
Lenfest Communications
8.375% due 11/01/2005 10,650 10,996
10.500% due 06/15/2006 525 591
Level 3 Communications, Inc.
9.125% due 05/01/2008 32,700 29,675
Levi Strauss & Co.
6.800% due 11/01/2003 32,350 30,261
Leviathan Gas Pipeline Partners, L.P.
10.375% due 06/01/2009 3,750 3,834
Lin Holdings Corp.
0.000% due 03/01/2008 (d) 18,750 12,375
Lin Television Corp.
8.375% due 03/01/2008 9,300 8,719
Lyondell Chemical Co.
9.625% due 05/01/2007 34,500 34,414
Magnum Hunter Resources, Inc.
10.000% due 06/01/2007 1,900 1,777
Mail-Well Corp.
8.750% due12/15/2008 18,780 17,935
32 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------
Mark IV Industries, Inc.
7.500% due 09/01/2007 $ 6,730 $ 6,265
Market Hub Partners
8.250% due 03/01/2008 14,580 14,143
Marsh Supermarkets, Inc.
8.875% due 08/01/2007 9,500 9,381
McLeodUSA, Inc.
0.000% due 03/01/2007 (c) 42,825 33,939
8.375% due 03/15/2008 5,100 4,820
9.500% due 11/01/2008 13,625 13,761
8.125% due 02/15/2009 4,800 4,488
Metromedia Fiber Network
10.000% due 11/15/2008 14,295 13,866
Metronet Communications
0.000% due 06/15/2008 (c) 16,475 12,851
MGM Grand, Inc.
6.950% due 02/01/2005 33,150 31,033
MJD Communications, Inc.
9.500% due 05/01/2008 7,875 7,127
Navistar International Corp.
8.000% due 02/01/2008 5,000 4,863
Newpark Resources, Inc.
8.625% due 12/15/2007 5,050 4,722
Nextel Communications, Inc.
9.750% due 08/15/2004 14,750 14,953
0.000% due 02/15/2008 (c) 38,750 27,222
Nextlink Communications
10.750% due 06/01/2009 12,925 13,022
Nortek, Inc.
9.875% due 03/01/2004 2,205 2,172
NTL, Inc.
12.750% due 04/15/2005 700 686
0.000% due 02/01/2006 21,350 18,681
11.500% due 10/01/2008 6,900 7,478
Nuevo Grupo Iuscell
10.000% due 07/15/2004 1,000 920
Ocean Rig Norway
10.250% due 06/01/2008 6,325 4,965
Octel Developments PLC
10.000% due 05/01/2006 600 611
Optel, Inc.
13.000% due 02/15/2005 1,500 1,058
11.500% due 07/01/2008 5,300 3,419
Orange PLC
9.000% due 06/01/2009 3,000 3,053
Orion Network Systems, Inc.
11.250% due 01/15/2007 16,375 12,691
0.000% due 01/15/2007 (c) 23,100 10,742
Owens & Minor, Inc.
10.875% due 06/01/2006 950 974
P&L Coal Holdings
8.875% due 05/15/2008 36,050 35,419
Packaging Corp. of America
9.625% due 04/01/2009 14,525 14,743
Packard Bioscience Co.
9.375% due 03/01/2007 5,600 5,096
Perry-Judd
10.625% due 12/15/2007 5,845 5,348
Petroleos Mexicanos
9.520% due 07/15/2005 (d) 8,600 8,192
Pharmerica, Inc.
8.375% due 04/01/2008 15,650 15,630
Phar-Mor, Inc.
11.720% due 09/11/2002 8,005 7,925
Physician Sales and Service, Inc.
8.500% due 10/01/2007 10,250 9,994
Piedmont Aviation
10.250% due 03/28/2005 821 857
Pioneer National Resources
8.875% due 04/15/2005 20,100 20,086
8.250% due 08/15/2007 5,750 5,531
6.500% due 01/15/2008 6,950 5,959
Polymer Group, Inc.
9.000% due 07/01/2007 21,005 20,060
8.750% due 03/01/2008 9,700 9,142
Pool Energy Co.
8.625% due 04/01/2008 $11,750 $12,220
Pride International, Inc.
9.375% due 05/01/2007 3,100 3,131
10.000% due 06/01/2009 6,000 6,150
Primedia, Inc.
10.250% due 06/01/2004 4,000 4,180
7.625% due 04/01/2008 8,250 7,755
Qwest Communications International, Inc.
0.000% due 10/15/2007 (c) 13,040 10,204
0.000% due 02/01/2008 (c) 10,550 7,807
R & B Falcon Corp.
6.500% due 04/15/2003 5,200 4,628
9.250% due 04/15/2005 2,500 2,150
R.H. Donnelly, Inc.
9.125% due 06/01/2008 6,175 6,052
Racers
8.375% due 10/01/2007 21,291 19,561
Regal Cinemas, Inc.
9.500% due 06/01/2008 12,150 8,323
8.875% due 12/15/2010 7,475 4,971
Renaissance Media Group
0.000% due 04/15/2008 (c) 21,250 14,663
Revlon Consumer Products
8.125% due 02/01/2006 1,375 1,220
Riviera Holdings Corp.
10.000% due 08/15/2004 1,850 1,600
Rogers Cablesystems Limited
10.000% due 03/15/2005 4,000 4,310
Rogers Cantel Mobile Communications, Inc.
9.375% due 06/01/2008 23,250 24,529
Rogers Cantel, Inc.
8.300% due 10/01/2007 0 0
8.800% due 10/01/2007 1,350 1,384
Safety-Kleen Services
9.250% due 06/01/2008 32,575 32,738
9.250% due 05/15/2009 15,000 14,475
Salem Communications
9.500% due 10/01/2007 5,400 5,420
Satelites Mexicanos
8.750% due 06/30/2004 (d) 8,870 6,874
10.125% due 11/01/2004 1,500 1,174
SC International Services, Inc.
9.250% due 09/01/2007 20,950 20,426
Sequa Corp.
9.375% due 12/15/2003 5,000 5,113
9.000% due 08/01/2009 9,700 9,555
Silgan Holdings, Inc.
9.000% due 06/01/2009 18,410 17,536
Smithfield Foods
7.625% due 02/15/2008 5,950 5,355
Smith's Food & Drug Centers, Inc.
8.640% due 07/02/2012 9,575 9,932
9.200% due 07/02/2018 15,750 16,441
Stater Brothers Holdings
10.750% due 08/15/2006 3,750 3,844
Station Casinos, Inc.
9.750% due 04/15/2007 8,600 8,772
8.875% due 12/01/2008 4,000 3,900
Sterling Chemicals, Inc.
12.375% due 07/15/2006 12,500 11,813
11.750% due 08/15/2006 1,500 938
Stone Container Corp.
9.875% due 02/01/2001 2,000 2,010
10.750% due 10/01/2002 18,150 18,740
11.500% due 10/01/2004 2,000 2,096
Synthetic Industries, Inc.
9.250% due 02/15/2007 14,700 15,141
Telewest Communications PLC
9.625% due 10/01/2006 12,750 12,909
0.000% due 10/01/2007 (d) 10,949 9,827
9.250% due 04/15/2009 20,500 12,505
Tenet Healthcare Corp.
7.875% due 01/15/2003 1,000 963
8.625% due 12/01/2003 1,600 1,589
See accompanying notes 33
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------
8.000% due 01/15/2005 $ 6,550 $ 6,255
8.625% due 01/15/2007 3,500 3,343
7.625% due 06/01/2008 20,000 18,600
TFM SA de CV
0.000% due 06/15/2009 (c) 7,800 4,232
Tierra Industries
10.500% due 06/15/2005 2,000 1,250
Total Renal Care Holdings
7.000% due 05/15/2009 20,100 13,241
Trans-Resources, Inc.
0.000% due 03/15/2008 (c) 5,250 2,651
10.750% due 03/15/2008 14,650 13,258
Triad Hospitals, Inc.
9.270% due 12/31/2005 (d) 9,975 9,975
11.000% due 05/15/2009 2,095 2,085
TV Guide, Inc.
8.125% due 03/01/2009 16,200 15,350
Unisys Corp.
12.000% due 04/15/2003 3,900 4,232
7.875% due 04/01/2008 4,000 3,880
United Defense Industry, Inc.
8.750% due 11/15/2007 9,000 8,775
United Pan-Europ Communications NV
10.875% due 08/01/2009 8,500 8,628
United Refining Co.
10.750% due 06/15/2007 650 476
US Air, Inc.
9.625% due 09/01/2003 16,083 16,059
9.330% due 01/01/2006 6,101 6,119
Vectura Group, Inc.
10.250% due 06/30/2008 5,650 5,579
Vintage Petroleum
9.000% due 12/15/2005 10,490 10,516
8.625% due 02/01/2009 1,000 970
9.750% due 06/30/2009 7,850 8,066
Western Gas Resources
10.000% due 06/15/2009 7,350 7,552
Westinghouse Air Brake
9.375% due 06/15/2005 4,685 4,662
Westpoint Stevens, Inc.
7.875% due 06/15/2005 6,000 5,640
7.875% due 06/15/2008 17,450 15,705
Williams Communications Group
10.700% due 10/01/2007 4,600 4,600
World Color Press, Inc.
8.375% due 11/15/2008 13,650 13,172
7.750% due 02/15/2009 5,750 5,434
Worldwide Fiber, Inc.
12.000% due 08/01/2009 9,750 9,604
Young Broadcasting, Inc.
9.000% due 01/15/2006 20,200 20,023
8.750% due 06/15/2007 4,510 4,431
----------
2,436,963
==========
Utilities 8.4%
AES Corp.
10.250% due 07/15/2006 8,735 8,779
8.500% due 11/01/2007 7,300 6,698
9.500% due 06/01/2009 11,350 11,393
Alestra SA
12.125% due 05/15/2006 11,800 11,358
AMFM, Inc.
8.750% due 06/15/2007 5,650 5,565
12.750% due 02/01/2009 5,550 4,690
Avalon Cable of Michigan
9.375% due 12/01/2008 1,600 1,609
Bayan Telecommunications
13.500% due 07/15/2006 2,000 1,901
Beaver Valley Funding Corp.
9.000% due 06/01/2017 32,000 33,029
Bridas Corp.
12.500% due 11/15/1999 4,500 4,534
Calpine Corp.
9.250% due 02/01/2004 14,250 14,339
15.000% due 03/15/2004 (b) 10,000 11,400
7.625% due 04/15/2006 4,500 4,231
8.750% due 07/15/2007 14,950 15,034
7.875% due 04/01/2008 8,250 7,899
7.750% due 04/15/2009 800 758
CMS Energy
8.125% due 05/15/2002 4,500 4,514
7.000% due 01/15/2005 9,500 9,068
Flag Limited
8.250% due 01/30/2008 37,075 32,441
GST Network
0.000% due 05/01/2008 (c) 8,000 3,880
Intermedia Communication
8.875% due 11/01/2007 800 706
ITC Deltacom, Inc.
8.875% due 03/01/2008 12,300 11,993
Mastec, Inc.
7.750% due 02/01/2008 7,250 6,851
MJD Communications, Inc.
9.160% due 05/01/2008 (d) 6,000 5,640
Niagara Mohawk Power
7.750% due 05/15/2006 1,100 1,123
North Atlantic Energy
9.050% due 06/01/2002 3,921 3,981
Orange PLC
8.000% due 08/01/2008 41,800 40,442
Philippine Long Distance Telephone Co.
10.500% due 04/15/2009 11,550 11,260
Plains Resources Inc.
10.250% due 03/15/2006 2,250 2,261
Qwest Communications
7.250% due 11/01/2008 1,200 1,182
Rural Cellular Corp.
9.625% due 05/15/2008 11,800 12,154
Telewest Communication PLC
11.250% due 11/01/2008 1,000 1,076
Wilmington Trust Co. - Tucson Electric
10.211% due 01/01/2009 (b) 500 523
10.732% due 01/01/2013 (b) 6,993 7,549
Young Broadcasting Corp.
10.125% due 02/15/2005 1,000 1,030
----------
300,891
----------
Total Corporate Bonds & Notes 2,994,862
(Cost $3,139,874) ==========
- --------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 0.1%
- --------------------------------------------------------------------
U.S. Treasury Strips
0.000% due 08/15/2026 29,700 5,668
----------
Total U.S. Treasury Obligations 5,668
(Cost $6,227) ==========
- --------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 2.8%
- --------------------------------------------------------------------
Collateralized Mortgage Obligations 2.5%
Asset Securitization Corp.
7.384% due 08/13/2029 1,500 1,404
Federal Deposit Insurance Corp.
6.420% due 11/25/2026 (d) 400 357
Green Tree Financial Corp.
8.000% due 07/15/2018 7,000 6,484
LTC Commercial Corp.
7.970% due 04/15/2028 5,062 4,757
NationsBanc Mortgage Capital Corp.
8.051% due 05/25/2028 (d) 3,835 2,762
NationsLink Funding Corp.
7.105% due 01/20/2013 10,500 7,782
Red Mountain Funding Corp.
9.150% due 11/28/2027 5,727 4,818
Resolution Trust Corp.
9.250% due 06/25/2023 18 18
9.050% due 08/25/2023 345 343
6.900% due 02/25/2027 6,462 5,906
7.000% due 05/25/2027 5,620 5,585
Sasco Floating Rate Commercial
5.889% due 04/25/2003 (d) 43,900 38,582
Structured Asset Securities Corp.
7.375% due 09/25/2024 10,000 9,799
----------
88,597
==========
34 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
Other Mortgage-Backed Securities 0.2%
LTC Commercial Corp.
9.200% due 08/04/2023 $ 3,235 $ 3,518
Resolution Trust Corp.
6.800% due 09/25/2020 (d) 350 329
9.500% due 05/25/2024 7 6
Structured Asset Securities Corp.
7.050% due 11/25/2007 4,000 3,623
-----------
7,476
===========
Stripped Mortgage-Backed Securities 0.1%
Federal National Mortgage Association (IO)
6.000% due 07/25/2005 509 12
7.000% due 07/25/2008 3,473 427
6.500% due 06/25/2017 998 47
7.000% due 04/25/2019 12,000 1,367
7.000% due 12/25/2021 5,905 657
Fund America (IO)
9.590% due 10/20/2021 8 21
-----------
2,531
-----------
Total Mortgage-Backed Securities 98,604
(Cost $102,268) ===========
- -------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 4.1%
- -------------------------------------------------------------------------------
Airplanes Pass Through Trust
10.875% due 03/15/2019 27,570 26,430
Apria Healthcare Group
8.690% due 08/09/2001 (d) 4,967 4,826
7.938% due 08/09/2001 1,356 1,347
Charter Commercial Holdings LLC
7.810% due 03/31/2008 (d) 8,108 8,108
Charter Communications
7.890% due 03/31/2008 (d) 6,892 6,918
Columbia/HCA Healthcare
7.125% due 06/11/2000 (d) 13,750 13,613
Jefferson Smurfit
8.500% due 03/31/2006 (d) 5,905 5,905
Lyondell Petroleum
8.980% due 12/31/2003 (d) 18,953 18,870
Morgan Stanley Aircraft Finance
8.700% due 03/15/2023 21,750 19,033
Starwood Hotels & Resorts Worldwide, Inc.
9.133% due 02/23/2003 (d) 35,000 35,000
TFM SA de CV
9.240% due 06/30/2003 (d) 3,600 3,492
Varig SA
9.651% due 06/02/2005 (d) 5,847 1,754
8.777% due 06/02/2005 (d) 1,615 485
-----------
Total Asset-Backed Securities 145,781
===========
(Cost $156,304)
- -------------------------------------------------------------------------------
SOVEREIGN ISSUES 0.9%
- -------------------------------------------------------------------------------
Embotelladora Arica SA
9.875% due 03/15/2006 22,000 22,891
Petroleos Mexicanos
9.375% due 12/02/2008 8,000 8,150
-----------
Total Sovereign Issues 31,041
(Cost $29,876) ===========
- -------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.4%
- -------------------------------------------------------------------------------
Industrial 0.4%
Pep Boys-Manny Moe Jack Cvt. Pfd.
0.000% due 09/20/2011 12,500 6,906
Pride International, Inc. Cvt. Pfd.
0.000% due 04/24/2018 18,250 6,159
-----------
Total Convertible Bonds & Notes 13,065
===========
(Cost $11,933)
- -------------------------------------------------------------------------------
PREFERRED STOCK 3.0%
- -------------------------------------------------------------------------------
Shares
CSC Holdings, Inc.
12.070% due 12/31/2049 173,770 18,638
Fresenius Medical Care
7.850% due 02/01/2008 42,900 39,415
9.000% due 12/01/2006 27,245 26,360
News Corp. Limited
5.000% due 11/12/2016 50,000 2,916
Newscorp Overseas Limited
5.000% due 04/01/2010 133,200 3,080
Primedia, Inc.
8.624% due 04/01/2010 50,000 4,513
9.200% due 11/01/2009 70,000 6,528
Sig Capital Trust
0.095% due 08/15/2027 7,000 5,268
-----------
Total Preferred Stock 106,718
(Cost $116,312) ===========
- -------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 2.2%
- -------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 1.9%
American Express
5.280% due 10/27/1999 $ 2,300 2,291
Bellsouth Telecom
5.300% due 10/18/1999 22,000 21,946
Hewlett-Packard Co.
5.400% due 10/05/1999 3,500 3,498
Procter & Gamble Co.
5.340% due 10/14/1999 5,000 4,990
Texas Utilities Co.
5.240% due 01/21/2000 17,500 17,215
US West Communications
6.240% due 03/24/2000 500 485
6.210% due 03/24/2000 3,400 3,297
5.960% due 03/24/2000 5,000 4,855
Williams Holdings
5.360% due 01/25/2000 10,000 9,827
-----------
68,404
===========
Repurchase Agreement 0.3%
State Street Bank
4.800% due 10/01/1999 9,571 9,571
(Dated 09/30/1999. Collateralized by Federal
Home Loan Bank 5.105% 05/15/2005
valued at $9,764,952.
Repurchase proceeds are $9,572,276.)
-----------
Total Short-Term Instruments 77,975
(Cost $77,975) ===========
Total Investments (a) 97.6% $ 3,473,714
(Cost $3,640,769)
Other Assets and Liabilities (Net) 2.4% 83,613
-----------
Net Assets 100.0% $ 3,557,327
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 22,172
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (189,227)
-----------
Unrealized depreciation-net $ (167,055)
===========
(b) Restricted security.
(c) Security becomes interest bearing at a future date.
(d) Variable rate security. The rate listed is as of September 30, 1999.
See accompanying notes 35
<PAGE>
Schedule of Investments
Low Duration Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 42.5%
- -------------------------------------------------------------------------------
Banking & Finance 24.0%
Aristar, Inc.
7.375% due 09/01/2004 $19,000 $19,081
Associates Corp. of North America
5.596% due 08/27/2001 (d) 1,000 998
6.875% due 06/20/2002 20,000 20,516
6.950% due 08/01/2002 1,000 1,008
AT&T Capital Corp.
8.250% due 01/11/2000 7,900 7,945
7.500% due 11/15/2000 6,200 6,244
5.561% due 04/23/2002 (d) 10,000 9,808
Banc One Corp.
7.250% due 08/01/2002 500 506
Banco Latino Americano SA
6.750% due 03/01/2001 1,300 1,288
BankAmerica Corp.
7.200% due 09/15/2002 100 102
7.875% due 12/01/2002 100 104
Bear Stearns Co., Inc.
6.750% due 08/15/2000 5,000 5,023
5.830% due 08/29/2000 (d) 21,000 21,161
6.224% due 02/06/2001 (d) 8,600 8,621
5.650% due 06/28/2001 (d) 2,000 2,003
6.125% due 02/01/2003 3,000 2,920
6.200% due 03/30/2003 9,700 9,452
5.923% due 06/01/2004 (d) 3,000 2,995
Beneficial Corp.
5.359% due 01/09/2002 (d) 10,000 10,025
6.650% due 09/12/2002 5,000 5,005
6.575% due 12/16/2002 5,440 5,427
Boeing Capital Services Corp.
6.480% due 11/10/1999 10,750 10,753
Bombardier Capital, Inc.
6.000% due 01/15/2002 10,000 9,801
Capital One Bank
6.280% due 02/20/2001 6,500 6,481
7.000% due 04/30/2001 300 300
Case Credit Corp.
5.910% due 02/19/2001 4,000 3,966
5.850% due 02/20/2001 (d) 63,000 62,421
5.930% due 02/26/2001 5,000 4,959
5.500% due 08/01/2001 (d) 4,750 4,745
Chase Manhattan Corp.
5.560% due 10/13/2000 (d) 7,500 7,516
5.500% due 02/15/2001 1,000 990
Chrysler Financial Co. LLC
5.850% due 01/26/2001 5,000 4,984
5.520% due 08/08/2002 (d) 8,000 7,993
CIT Group, Inc.
6.200% due 10/20/2000 50,000 49,924
5.875% due 06/18/2001 19,400 19,205
Credit Asset Receivable
6.274% due 10/31/2003 42,086 41,273
Ford Motor Credit Corp.
5.790% due 03/21/2001 (d) 3,000 3,002
5.663% due 03/19/2002 3,107 3,110
5.570% due 07/16/2002 (d) 100 100
6.520% due 08/12/2002 13,000 12,986
6.125% due 04/28/2003 14,000 13,721
General Motors Acceptance Corp.
5.800% due 08/07/2000 520 520
7.125% due 05/01/2001 15,000 15,193
5.533% due 09/19/2001 (d) 5,000 4,992
5.619% due 12/10/2001 (d) 7,400 7,365
5.438% due 04/29/2002 (d) 2,000 1,998
5.540% due 11/12/2002 (d) 17,400 17,286
5.875% due 01/22/2003 500 486
6.149% due 09/20/2003 (d) 15,000 15,000
5.560% due 04/05/2004 (d) 700 698
Goldman Sachs Group
6.200% due 12/15/2000 1,000 998
5.468% due 01/25/2001 (d) 8,000 7,987
Great Western Financial
8.600% due 02/01/2002 4,000 4,174
Heller Financial, Inc.
5.571% due 04/28/2003 (d) 20,000 20,000
Hitachi Credit America
6.100% due 04/24/2001 25,000 24,728
Household Finance Corp.
6.490% due 04/09/2001 20,000 19,960
6.125% due 07/15/2002 10,000 9,820
7.625% due 01/15/2003 10,849 11,076
6.125% due 02/27/2003 1,500 1,457
5.775% due 06/24/2003 (d) 1,500 1,497
Key Bank NA
6.052% due 04/24/2003 12,900 12,620
Korea Development Bank
8.008% due 06/16/2003 (d) 3,500 3,430
6.625% due 11/21/2003 20,000 19,074
Korean Export-Import Bank
6.500% due 02/10/2002 7,200 7,011
7.100% due 03/15/2007 2,000 1,965
Lehman Brothers Holdings, Inc.
5.390% due 08/11/2000 (d) 7,900 7,936
5.405% due 06/01/2001 (d) 1,500 1,496
6.249% due 04/02/2002 (d) 2,000 1,999
6.375% due 05/07/2002 28,345 27,986
6.073% due 05/07/2002 (d) 5,000 5,014
7.000% due 05/15/2003 2,000 1,987
Marsh & McLennan Co., Inc.
6.625% due 06/15/2004 1,000 992
MBNA America Bank NA
6.000% due 12/26/2000 5,000 4,966
6.875% due 07/15/2004 1,900 1,862
Mercury Finance Co.
10.000% due 03/23/2001 4,400 4,158
Merrill Lynch & Co.
6.250% due 07/25/2000 2,150 2,154
5.566% due 09/25/2000 (d) 2,100 2,103
5.378% due 09/30/2000 (d) 8,558 8,543
6.000% due 01/15/2001 1,336 1,331
6.093% due 11/26/2001 (d) 115,000 116,221
5.410% due 01/15/2002 (d) 5,000 5,006
5.748% due 02/08/2002 (d) 25,000 24,997
5.564% due 02/04/2003 (d) 23,000 23,091
6.130% due 04/07/2003 7,770 7,657
Morgan Stanley Capital
7.460% due 02/15/2020 8,100 8,192
Morgan Stanley, Dean Witter, Discover and Co.
5.699% due 03/11/2003 (d) 5,000 4,978
New England Educational Loan Marketing
5.593% due 11/30/1999 (d) 20,000 20,000
Okobank
6.760% due 10/29/2049 (d) 750 751
PaineWebber
7.000% due 03/01/2000 50 50
Pemex Finance Ltd.
6.125% due 11/15/2003 15,000 14,703
PNC Bank Corp.
5.483% due 01/24/2002 (d) 20,000 19,938
Popular North American, Inc.
7.375% due 09/15/2001 20,000 20,052
Prudential Funding Corp.
5.020% due 10/02/2000 (d) 5,000 5,005
Rothmans Holdings
6.500% due 05/06/2003 14,000 13,467
Salomon, Inc.
7.500% due 02/01/2003 3,000 3,067
Salomon, Smith Barney Holdings
5.180% due 05/14/2002 (d) 25,150 25,121
5.571% due 07/23/2002 (d) 5,100 5,090
Security Pacific Corp.
11.500% due 11/15/2000 3,850 4,050
SGE Associates
8.070% due 07/20/2000 (i) 6,371 6,422
36 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------
Spieker Properties
6.650% due 12/15/2000 $ 5,070 $ 5,052
Toyota Motor Credit Corp.
5.967% due 02/15/2002 11,600 11,203
Transamerica Finance Corp.
6.125% due 11/01/2001 5,000 4,924
5.920% due 03/29/2002 52,050 50,827
Travelers Group, Inc.
7.250% due 05/01/2001 3,700 3,755
7.300% due 05/15/2002 15,000 15,299
Wells Fargo Co.
6.750% due 05/12/2000 1,000 1,006
----------
1,110,248
----------
Industrials 9.1%
Allied Waste North America, Inc.
7.375% due 01/01/2004 5,000 4,600
American Home Products Corp.
7.700% due 02/15/2000 100 102
AMR Corp.
9.750% due 03/15/2000 5,000 5,075
9.910% due 03/01/2001 2,500 2,607
9.440% due 05/15/2001 5,000 5,200
9.125% due 10/24/2001 1,000 1,039
Century Communications Corp.
0.000% due 03/15/2003 5,250 3,714
Container Corp. of America
11.250% due 05/01/2004 2,500 2,588
Crown Cork & Seal
7.125% due 09/01/2002 33,000 32,987
CSX Corp.
9.500% due 08/01/2000 380 390
Delta Air Lines, Inc.
9.800% due 12/16/2000 250 258
8.500% due 09/15/2001 205 211
EZ Communication, Inc.
9.750% due 12/01/2005 5,000 5,311
Falcon Holding Group LP
0.000% due 04/15/2010 4,500 3,218
Federal-Mogul Corp.
7.500% due 07/01/2004 28,600 27,422
Ford Motor Co.
9.000% due 09/15/2001 500 523
Fred Meyer, Inc.
7.150% due 03/01/2003 10,500 10,510
Hertz Corp.
6.625% due 07/15/2000 100 100
HMH Properties, Inc.
7.875% due 08/01/2005 5,000 4,625
Houghton Mifflin Co.
5.903% due 12/01/2000 (d) 18,000 18,088
IBM Corp.
6.375% due 06/15/2000 100 100
International Paper Co.
6.875% due 07/10/2000 6,000 6,025
ISP Holdings, Inc.
9.750% due 02/15/2002 3,000 3,030
J Seagram & Sons
6.250% due 12/15/2001 52,000 51,316
Levi Strauss & Co.
6.800% due 11/01/2003 2,500 2,339
Nabisco, Inc.
6.000% due 02/15/2001 (d) 21,000 20,802
6.700% due 06/15/2002 21,100 20,872
Noranda, Inc.
5.750% due 08/18/2000 (d) 1,000 1,004
Occidental Petroleum
10.125% due 11/15/2001 5,000 5,319
6.400% due 04/01/2003 15,945 15,594
Owens-Illinois, Inc.
7.850% due 05/15/2004 15,000 14,833
Petroleos Mexicanos
9.520% due 07/15/2005 (d) 5,000 4,763
Philip Morris Cos., Inc.
9.000% due 01/01/2001 $ 7,000 $ 7,202
7.500% due 01/15/2002 200 203
7.250% due 01/15/2003 4,050 4,092
6.150% due 03/15/2010 23,900 23,954
Starwood Hotel & Resorts
6.750% due 11/15/2005 2,000 1,790
Stone Container Corp.
10.750% due 10/01/2002 11,080 11,440
TCI Communications, Inc.
6.210% due 03/11/2003 (d) 3,000 3,064
Tenet Healthcare Corp.
7.875% due 01/15/2003 4,300 4,139
8.625% due 12/01/2003 1,700 1,688
Union Oil Co. of California
9.100% due 08/15/2001 3,350 3,501
Waste Management, Inc.
6.500% due 05/14/2004 40,000 39,588
Whitman Corp.
6.000% due 05/01/2004 4,500 4,363
Xerox Capital
5.875% due 06/01/2000 3,000 2,995
Yorkshire Power
6.154% due 02/25/2003 40,000 38,270
--------
420,854
--------
Utilities 9.4%
Beaver Valley Funding Corp.
8.250% due 06/01/2003 3,500 3,539
Calpine Corp.
9.250% due 02/01/2004 2,960 2,979
7.625% due 04/15/2006 6,000 5,703
Central Maine Power Co.
6.380% due 02/24/2000 10,000 10,018
Cinergy Corp.
6.125% due 04/15/2004 13,000 12,396
Cleveland Electric Illuminating Co.
8.550% due 11/15/2001 2,075 2,136
7.850% due 07/30/2002 3,500 3,560
CMS Energy
7.375% due 11/15/2000 15,150 15,151
8.125% due 05/15/2002 1,750 1,755
7.625% due 11/15/2004 14,500 13,995
Connecticut Light & Power Co.
7.875% due 06/01/2001 500 506
7.750% due 06/01/2002 11,700 11,853
8.590% due 06/05/2003 10,000 9,541
Flag Limited
8.250% due 01/30/2008 2,000 1,750
Illinois Power Co.
6.250% due 07/15/2002 10,000 9,840
6.000% due 09/15/2003 12,500 11,949
Louisiana Power & Light Co.
7.740% due 07/01/2002 3,308 3,327
MCI Worldcom, Inc.
5.645% due 08/17/2000 (d) 100,000 99,892
8.875% due 01/15/2006 45,170 47,809
New Century Energies, Inc.
5.860% due 05/28/2000 12,100 12,053
New Orleans Public Service
8.000% due 03/01/2006 400 406
Niagara Mohawk Power
7.000% due 10/01/2000 20,717 20,801
7.125% due 07/01/2001 1,512 1,519
7.250% due 10/01/2002 16,634 16,766
North Atlantic Energy
9.050% due 06/01/2002 3,675 3,732
Public Service Enterprise Group, Inc.
5.761% due 11/22/2000 (d) 10,000 10,023
Southwestern Bell Communication Capital Corp.
6.125% due 03/12/2001 2,000 1,993
Texas Utilities Co.
5.940% due 10/15/2001 13,155 13,052
6.750% due 04/01/2003 3,875 3,871
See accompanying notes 37
<PAGE>
Schedule of investments
Low Duration Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------
U.S. West Communications, Inc.
5.650% due 11/01/2004 $ 9,250 $ 8,800
United Illuminating Co.
6.000% due 12/15/2003 13,000 12,371
Western Massachusetts Electric
7.375% due 07/01/2001 5,250 5,271
7.750% due 12/01/2002 10,300 10,512
WorldCom, Inc.
6.125% due 08/15/2001 45,000 44,712
---------
433,581
---------
Total Corporate Bonds & Notes 1,964,683
---------
(Cost $1,976,842)
- -------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.3%
- -------------------------------------------------------------------
New York 0.3%
New York City Refunding Bonds, Series 1998 B
5.900% due 08/01/2000 13,000 13,012
---------
Total Municipal Bonds & Notes 13,012
---------
(Cost $12,998)
- -------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.1%
- -------------------------------------------------------------------
Small Business Administration
7.000% due 01/25/2013 (d) 267 270
6.750% due 02/25/2014 (d) 833 853
Student Loan Marketing Assn
5.129% due 06/30/2000 (d) 46,000 45,958
5.333% due 04/25/2006 (d) 10,347 10,304
5.495% due 04/25/2007 (d) 39,015 38,958
---------
Total U.S. Government Agencies 96,343
---------
(Cost $96,407)
- -------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 8.6%
- -------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h) 11,407 11,335
3.625% due 07/15/2002 (h) 134,092 133,254
3.375% due 01/15/2007 (h)(j) 36,612 34,975
3.625% due 01/15/2008 (h)(j) 28,373 27,469
3.625% due 01/15/2008 (h) 90,794 87,899
3.875% due 01/15/2009 (h)(j) 3,456 3,403
3.875% due 01/15/2009 (h) 91,981 90,572
U.S. Treasury Notes
5.500% due 02/29/2000 (b)(j) 9,670 9,688
---------
Total U.S. Treasury Obligations 398,595
---------
(Cost $399,842)
- -------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 36.2%
- -------------------------------------------------------------------
Collateralized Mortgage Obligations 15.1%
Cendant Mortgage Corp.
6.500% due 09/18/2029 596 591
Chase Commercial Mortgage Securities Corp.
7.600% due 12/18/2005 200 205
6.900% due 09/19/2006 135 135
Chase Mortgage Finance Corp.
10.000% due 11/25/2009 347 353
6.500% due 06/25/2013 7,592 7,503
6.204% due 04/25/2025 (d) 4,172 3,840
6.750% due 07/25/2028 9,950 9,471
6.350% due 07/25/2029 5,000 4,939
CMC Securities Corp. IV
7.250% due 10/25/2027 12,141 11,985
Collateralized Mortgage Obligation Trust
5.750% due 01/20/2003 (d) 9 9
9.500% due 06/25/2020 332 332
Commercial Mortgage Acceptance Corp.
6.790% due 08/15/2008 1,289 1,282
Commercial Trust
6.670% due 12/15/2003 4,890 4,718
Countrywide Funding Corp.
5.750% due 01/25/2035 (d) 4,057 4,064
Countrywide Home Loans
6.250% due 07/25/2009 1,124 1,123
6.900% due 12/25/2027 $18,168 $18,092
6.050% due 04/25/2029 56,626 54,077
Criimi Mae Financial Corp.
7.000% due 01/01/2033 8,599 8,543
CS First Boston Mortgage Securities Corp.
6.400% due 02/17/2004 153 152
6.520% due 07/17/2007 145 140
Dime Savings
6.810% due 11/01/2018 (d) 1,955 1,799
DLJ Mortgage Acceptance Corp.
11.000% due 08/01/2019 889 971
4.224% due 05/25/2024 (d) 1,445 1,506
5.875% due 06/25/2026 (d) 13,915 13,833
6.850% due 12/17/2027 165 165
Enterprise Mortgage Acceptance Co.
6.110% due 07/15/2003 132 131
Federal Home Loan Mortgage Corp.
6.000% due 07/15/2006 3,064 3,060
6.500% due 08/15/2006 3,000 3,008
10.000% due 09/15/2009 3 3
6.375% due 08/15/2011 3,774 3,777
6.500% due 08/15/2011 21,167 20,952
12.500% due 09/30/2013 628 658
6.250% due 07/15/2014 1,752 1,753
10.000% due 07/15/2019 295 312
9.000% due 11/15/2019 832 846
7.500% due 04/15/2020 438 438
10.000% due 05/15/2020 207 218
9.000% due 12/15/2020 3,833 3,974
7.500% due 12/15/2020 1,561 1,574
9.500% due 01/15/2021 1,233 1,285
8.000% due 04/15/2021 1,384 1,420
9.000% due 05/15/2021 244 253
7.500% due 01/20/2024 7,247 7,305
Federal National Mortgage Assn.
8.950% due 05/25/2003 43 44
9.000% due 07/25/2003 331 338
9.400% due 07/25/2003 75 77
6.875% due 06/25/2009 1,949 1,956
7.000% due 09/25/2016 10,368 10,359
8.750% due 05/25/2019 46 47
9.000% due 07/25/2019 43 43
9.500% due 03/25/2020 3,340 3,575
9.500% due 05/25/2020 1,450 1,531
9.000% due 03/25/2021 4,104 4,246
9.000% due 04/25/2021 139 145
8.000% due 03/25/2022 53 53
5.000% due 01/25/2024 169 168
7.000% due 03/25/2024 5,000 4,800
8.500% due 04/01/2025 3,528 3,666
6.455% due 02/01/2028 (d) 7,949 8,025
First Plus Home Loan Trust
6.060% due 09/10/2011 500 499
GE Capital Mortgage Services, Inc.
6.750% due 12/25/2012 3,458 3,447
6.500% due 02/25/2024 10 10
German American Capital Corp.
7.000% due 08/12/2010 6,800 6,940
Glendale Federal Savings & Loan
6.577% due 03/25/2030 (d) 1,407 1,426
Government National Mortgage Assn
7.000% due 10/20/2025 7,000 6,829
Greenwich
8.145% due 11/25/2024 (d) 575 583
Independent National Mortgage Corp.
7.729% due 11/25/2024 (d) 871 885
J.P. Morgan Commercial Mortgage Finance Corp.
7.069% due 09/15/2029 185 186
6.373% due 01/15/2030 138 136
LB Commercial Conduit Mortgage Trust
6.330% due 11/18/2004 135 132
Lehman Large Loan
6.790% due 06/12/2004 162 163
Mellon Residential Funding Corp.
6.400% due 06/26/2028 2,661 2,591
38 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------
6.580% due 07/25/2029 $ 17,411 $ 17,324
Merrill Lynch Mortgage Investors, Inc.
6.310% due 11/15/2026 251 247
Morgan Stanley Capital
6.860% due 07/15/2005 130 128
7.227% due 01/16/2006 230 235
6.220% due 06/03/2030 224 218
Mortgage Capital Funding, Inc.
6.325% due 10/18/2007 23,055 22,575
Nomura Asset Securities Corp.
6.625% due 01/25/2009 1,295 1,295
Norwest Asset Securities Corp.
6.250% due 11/25/2013 16,639 16,078
7.000% due 01/25/2028 34,978 34,651
6.500% due 01/25/2029 6,000 5,616
Norwest Mortgage
12.250% due 04/01/2014 214 213
PNC Mortgage Securities Corp.
6.500% due 02/25/2028 11,669 11,643
6.750% due 05/25/2028 5,694 5,631
Prudential Bache
5.740% due 09/01/2018 (d) 27 26
8.400% due 03/20/2021 4,279 4,401
Prudential Home Mortgage Securities
7.500% due 10/25/2007 878 886
7.000% due 01/25/2008 10,000 9,962
6.750% due 11/25/2008 4,751 4,525
7.000% due 06/25/2023 3,014 2,999
6.050% due 04/25/2024 206 205
6.000% due 05/25/2024 18 18
Resecuritization Mortgage Trust
5.630% due 04/26/2021 (d) 16,076 15,629
Residential Accredit Loans, Inc.
6.500% due 02/25/2029 28,596 27,631
Residential Asset Securitization Trust
6.500% due 09/25/2014 491 478
Residential Funding Mortgage Securities, Inc.
6.500% due 06/25/2008 1,211 1,211
6.500% due 04/25/2009 47 47
6.500% due 08/25/2013 3,680 3,561
5.650% due 07/01/2019 (d) 888 862
7.100% due 07/25/2027 4,220 4,219
7.000% due 10/25/2027 10,000 9,457
7.250% due 10/25/2027 19,500 19,552
6.250% due 11/25/2028 6,000 5,408
Resolution Trust Corp.
6.543% due 09/25/2019 (d) 831 829
8.625% due 10/25/2021 13,661 13,620
5.340% due 10/25/2021 503 505
6.945% due 10/25/2021 (d) 108 108
6.900% due 02/25/2027 4,344 3,971
9.000% due 09/25/2028 167 167
7.354% due 10/25/2028 (d) 104 106
Ryland Acceptance Corp.
8.000% due 03/01/2018 2,051 2,044
Ryland Mortgage Securities Corp.
6.442% due 11/25/2021 1,359 1,365
Salomon Brothers Mortgage Securities
6.972% due 12/25/2017 (d) 1,808 1,814
7.538% due 03/25/2024 (d) 1,568 1,600
Securitized Asset Sales, Inc.
6.750% due 08/25/2025 1,634 1,633
Shearson Lehman
9.600% due 03/25/2021 347 346
Structured Asset Mortgage Investments, Inc.
6.125% due 11/25/2013 37,218 35,725
6.906% due 06/25/2028 (d) 7,139 7,142
9.054% due 06/25/2029 9,696 10,185
6.584% due 06/25/2029 (d) 32,422 31,591
6.750% due 05/02/2030 5,000 4,881
Structured Asset Notes Transactions Limited
6.650% due 08/30/2005 23,709 22,945
Structured Asset Securities Corp.
7.000% due 12/25/2027 51,500 48,715
TMA Mortgage Funding Trust
5.719% due 01/25/2029 (d) 14,670 14,666
Union Planters Mortgage Finance Corp.
6.450% due 01/25/2028 6,000 5,955
-------
700,539
=======
Federal Home Loan Mortgage Corporation 4.5%
4.750% due 06/01/2001 7 7
5.730% due 11/01/2014-07/01/2027 (d)(g) 2,286 2,244
5.740% due 01/01/2030-12/01/2030 (d)(g) 3,074 3,013
5.750% due 01/15/2008-01/01/2020 (d)(g) 7,000 6,947
5.754% due 09/01/2015-10/01/2030 (d)(g) 3,246 3,187
5.756% due 06/01/2030 (d) 511 498
5.820% due 01/01/2020 (d) 594 585
5.836% due 02/01/2016 (d) 84 83
6.000% due 10/23/2006-08/01/2028 (d)(g) 45,531 42,919
6.500% due 04/01/2000-10/01/2028 (g) 9,597 9,616
6.553% due 02/01/2020 (d) 2,590 2,636
6.750% due 06/15/2019 7,723 7,756
6.757% due 03/01/2024 (d) 90 93
6.893% due 07/01/2018 (d) 382 392
6.901% due 10/01/2027 (d) 1,354 1,376
6.978% due 01/01/2024 (d) 1,109 1,142
7.013% due 01/01/2024 (d) 2,220 2,273
7.026% due 11/01/2022 (d) 1,842 1,899
7.102% due 06/01/2024 (d) 786 808
7.156% due 12/01/2022 (d) 786 804
7.337% due 09/01/2023 (d) 305 312
7.500% due 09/01/2006 94 94
7.512% due 11/01/2023 (d) 771 780
7.550% due 10/01/2023 (d) 1,203 1,217
8.000% due 07/01/2006-06/01/2027 (g) 95,583 97,967
8.250% due 10/01/2007-11/01/2007 (g) 33 35
8.500% due 07/01/2001-11/01/2025 (g) 15,698 16,303
8.750% due 02/01/2001-04/01/2002 (g) 31 31
9.000% due 05/01/2002-08/01/2022 (g) 3,834 4,020
9.250% due 07/01/2001 3 3
9.500% due 03/01/2001-12/01/2004 (g) 75 78
9.750% due 03/01/2001-11/01/2008 (g) 763 799
10.000% due 04/01/2001-04/01/2015 (g) 14 15
10.500% due 07/01/2000-02/01/2016 (g) 53 57
10.750% due 10/01/2000-08/01/2011 (g) 391 422
11.500% due 10/01/2015 1 1
11.750% due 11/01/2010-08/01/2015 (g) 15 15
14.000% due 09/01/2012-04/01/2016 (g) 12 14
14.500% due 12/01/2010 4 5
15.000% due 08/01/2011-12/01/2011 (g) 4 4
15.500% due 11/01/2011 0 1
-------
210,451
=======
Federal Housing Administration 1.0%
6.950% due 04/01/2014 2,165 1,955
7.400% due 02/01/2019 127 129
7.421% due 11/01/2019 657 667
7.430% due 10/01/2019-08/01/2022 (g) 40,718 41,320
-------
44,071
=======
Federal National Mortgage Association 6.7%
5.729% due 10/01/2026 (d) 56 54
5.730% due 11/01/2016-10/01/2028 (d)(g) 16,619 16,291
5.734% due 07/01/2024 (d) 1,276 1,252
5.735% due 01/01/2027-08/01/2029 (d)(g) 771 756
5.740% due 08/01/2020-08/01/2029 (d)(g) 1,554 1,525
5.742% due 12/01/2030 (d) 5,662 5,548
5.749% due 07/01/2020 (d) 812 798
5.751% due 02/01/2024 (d) 894 877
5.753% due 05/01/2036 (d) 3,351 3,267
5.754% due 04/01/2019-05/01/2031 (d)(g) 5,954 5,844
5.758% due 05/01/2036 (d) 1,231 1,201
5.770% due 06/01/2014-07/01/2014 (d)(g) 1,245 1,226
5.788% due 04/25/2022 (d) 235 239
5.794% due 06/01/2024 (d) 41 40
5.800% due 08/01/2023 (d) 944 926
5.825% due 04/01/2018 (d) 7,119 6,893
6.000% due 05/01/2011-12/25/2020 (g) 293 286
6.132% due 01/01/2021 (d) 511 511
6.241% due 07/01/2017 (d) 621 633
See accompanying notes 39
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------
6.315% due 09/01/2006 $ 19,999 $ 19,274
6.368% due 11/01/2017 (d) 382 384
6.375% due 10/25/2029 5,200 5,091
6.500% due 10/22/2005-06/01/2008 (g) 10,018 9,883
6.669% due 11/01/2018 (d) 174 178
6.802% due 04/01/2024 (d) 2,419 2,486
6.904% due 01/01/2024 (d) 57 60
6.923% due 01/01/2024 (d) 2,610 2,687
7.000% due 04/01/2002-05/01/2012 (g) 391 392
7.230% due 07/01/2023 (d) 1,524 1,583
7.300% due 10/01/2024 (d) 4,657 4,787
7.500% due 04/01/2024-05/01/2024 (g) 10,416 10,495
8.000% due 03/01/2004-12/01/2025 (g) 7,251 7,427
8.500% due 03/01/2008-08/01/2026 (g) 181,060 187,854
9.500% due 07/01/2025-11/01/2025 (g) 4,752 5,027
10.000% due 02/01/2004-06/01/2019 (g) 1,457 1,563
10.500% due 06/01/2005-11/01/2005 (g) 182 190
11.000% due 09/01/2000 5 5
11.250% due 12/01/2010-10/01/2015 (g) 168 186
11.750% due 02/01/2016 37 42
12.000% due 01/01/2015-10/01/2015 (g) 6 7
12.750% due 03/01/2014 26 29
13.000% due 07/01/2015 8 9
13.250% due 09/01/2011 17 20
13.500% due 04/01/2014 3 4
14.500% due 08/01/2014 40 46
15.500% due 10/01/2012-12/01/2012 (g) 68 79
15.750% due 12/01/2011 34 40
16.000% due 09/01/2012-12/01/2012 (g) 17 19
--------
308,014
========
Government National Mortgage Association 7.2%
6.000% due 11/23/2029 (d) 35,000 34,923
6.125% due 10/20/2023-10/20/2025 (d)(g) 56,328 57,168
6.375% due 04/20/2016-06/20/2027 (d)(g) 52,161 52,849
6.500% due 05/15/2023-10/15/2023 (g) 572 552
6.625% due 08/20/2022-07/20/2027 (d)(g) 94,516 95,707
7.000% due 03/15/2011-04/15/2026 (g) 5,362 5,299
7.500% due 02/15/2022-01/15/2028 (g) 52,586 52,996
8.000% due 07/15/2004-05/15/2025 (g) 30,833 31,895
8.500% due 04/15/2022-03/20/2027 (g) 1,330 1,379
9.750% due 07/15/2013-02/15/2020 (g) 876 943
11.250% due 10/15/2000 2 2
11.750% due 08/15/2013-08/15/2015 (g) 77 86
12.000% due 06/20/2015 14 16
12.250% due 01/15/2014-03/15/2014 (g) 198 225
13.000% due 10/15/2013 6 7
13.500% due 05/15/2011-11/15/2012 (g) 28 32
16.000% due 12/15/2011-04/15/2012 (g) 37 45
--------
334,124
========
Other Mortgage-Backed Securities 1.3%
Allied Waste North America, Inc.
8.188% due 07/30/2006 (d) 13,636 13,569
8.250% due 07/30/2007 (d) 3,818 3,819
8.438% due 07/30/2007 (d) 10,363 10,327
First Boston Mortgage Securities Corp.
8.300% due 08/20/2009 90 90
Glendale Federal Savings & Loan
11.000% due 03/01/2010 17 18
Goldman Sachs Mortgage Securities Corp.
7.750% due 05/19/2027 12,370 12,645
Home Savings of America
5.464% due 05/25/2027 (d) 1,440 1,400
5.539% due 09/25/2028 (d) 1,013 1,002
Imperial Savings & Loan
8.828% due 07/25/2017 (d) 39 39
9.900% due 02/25/2018 408 419
MDC Mortgage Funding
8.031% due 01/25/2025 (d) 218 222
Resolution Trust Corp.
6.004% due 05/25/2019 (d) 3,823 3,790
6.860% due 08/25/2019 (d) 3,633 3,634
10.299% due 08/25/2021 (d) 514 514
9.500% due 05/25/2024 26 26
5.705% due 10/25/2028 (d) 2,150 2,181
6.908% due 05/25/2029 (d) 2,499 2,500
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 482 495
7.372% due 12/25/2017 (d) 184 181
Sears Mortgage
12.000% due 02/25/2014 80 80
7.217% due 10/25/2022 (d) 2,483 2,511
Western Federal Savings & Loan
6.269% due 11/25/2018 (d) 22 21
----------
59,483
==========
Stripped Mortgage-Backed Securities 0.4%
Federal Home Loan Mortgage Corp. (IO)
6.250% due 09/15/2004 282 1
6.000% due 02/15/2006 1,067 44
9.982% due 07/15/2006 21 155
10.195% due 08/15/2006 8 72
11.944% due 12/15/2006 18 197
6.000% due 10/15/2007 1,059 54
6.000% due 02/15/2008 3,368 191
7.000% due 08/15/2018 7,321 754
7.500% due 12/15/2018 363 4
7.000% due 04/15/2019 1,248 56
6.500% due 05/15/2019 7,062 559
6.500% due 06/15/2019 5,405 325
10.496% due 04/15/2021 17 283
6.500% due 04/15/2022 4,427 464
7.000% due 05/15/2023 461 65
4.000% due 01/15/2024 20,919 4,631
Federal National Mortgage Association (IO)
6.000% due 07/25/2005 658 15
7.272% due 09/25/2006 49 468
6.000% due 02/25/2008 4,405 274
256.000% due 11/01/2008 29 164
0.950% due 03/25/2009 (d) 21,960 394
6.500% due 03/25/2009 8,353 876
8.815% due 06/25/2016 9 16
6.533% due 07/25/2017 2,590 2,542
7.500% due 03/25/2019 3,074 263
6.500% due 05/25/2019 10,000 1,171
6.500% due 04/25/2020 12,259 921
7.000% due 05/25/2021 6,759 618
8.598% due 02/25/2022 27 437
6.500% due 03/25/2023 5,051 592
4.875% due 03/25/2024 (d) 7,773 401
Federal National Mortgage Association (PO)
0.000% due 07/25/2022 416 412
0.000% due 09/25/2022 35 30
Prudential Home Mortgage Securities (IO)
0.300% due 04/25/2009 (d) 60,571 387
Resolution Trust Corp. (PO)
0.000% due 09/25/2000 305 306
----------
18,142
----------
Total Mortgage-Backed Securities 1,674,824
==========
(Cost $1,695,182)
- ------------------------------------------------------------------------
ASSET-BACKED SECURITIES 5.3%
- ------------------------------------------------------------------------
Allied Waste North America, Inc.
8.438% due 07/30/2007 (d) 2,182 2,183
AT&T Universal Card Master Trust
5.950% due 10/17/2002 4,000 3,996
Bombardier Capital Mortgage
6.605% due 09/15/2010 11,614 11,614
Capital Asset Research Funding LP
6.400% due 12/15/2004 92 92
Citicorp Mortgage Securities, Inc.
6.750% due 05/25/2028 6,266 5,893
CMC Securities Corporation IV
7.250% due 11/25/2027 8,838 8,685
Community Program Loan Trust
4.500% due 10/01/2018 17,336 15,678
Contimortgage Home Equity Loan Trust
5.360% due 04/15/2028 (d) 304 304
Duck Auto Grantor Trust
5.650% due 03/15/2004 16,064 15,969
40 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------
Empire Funding Home Loan Owner Trust
6.590% due 05/25/2014 $ 25,702 $ 25,600
Federal-Mogul Corp.
7.250% due 12/31/2005 (d) 5,000 5,000
GF Funding Corp.
6.250% due 09/30/2002 27,977 27,977
Green Tree Home Improvement Loan
6.320% due 09/15/2029 21,000 20,980
IMC Home Equity Loan Trust
5.596% due 10/20/2027 (d) 7,414 7,443
Lyondell Petroleum
8.980% due 12/31/2003 (d) 5,000 4,978
Merit Securities Corp.
7.040% due 01/28/2030 35,000 35,131
New York City Tax Lien
6.350% due 04/01/2007 12,855 12,823
Oakwood Mortgage Investors, Inc.
6.950% due 08/15/2027 5,500 5,471
Premiet Auto Trust
5.560% due 04/08/2001 3,163 3,163
Primedia, Inc.
8.130% due 07/31/2004 (d) 15,000 14,981
Prudential Home Mortgage Security
7.000% due 08/25/2009 4,000 4,031
Starwood Hotels & Resorts Worldwide, Inc.
9.133% due 02/23/2003 (d) 10,000 10,000
Stone Container Corp.
8.750% due 10/01/2003 (d) 4,725 4,737
-----------
Total Asset-Backed Securities 246,729
===========
(Cost $247,546)
- ----------------------------------------------------------------------
SOVEREIGN ISSUES 3.3%
- ----------------------------------------------------------------------
Central Bank Philippines
6.000% due 06/01/2008 (d) 11,000 10,175
Hydro Quebec
9.000% due 03/07/2001 10,000 10,357
Korea Development Bank
7.125% due 09/17/2001 5,000 4,966
7.900% due 02/01/2002 1,300 1,308
7.625% due 10/01/2002 36,000 35,797
Nacional Financiera
10.625% due 11/22/2001 7,500 7,774
Petroleos Mexicanos
9.375% due 12/02/2008 5,500 5,612
Province of Quebec
5.000% due 10/25/2001 (d) 250 248
Republic of Argentina
14.250% due 11/30/2002 (d) 4,000 3,781
11.447% due 04/10/2005 (d) 9,000 7,932
Republic of Bulgaria
6.500% due 07/28/2024 (d) 5,000 3,438
Republic of Korea
7.594% due 04/08/2000 (d) 8,500 8,532
Republic of Philippines
6.000% due 12/01/2007 3,000 2,768
State of Qatar
9.500% due 05/21/2009 2,000 2,065
United Mexican States
6.000% due 04/07/2000 (d) 9,206 9,146
5.820% due 06/28/2001 10,500 10,238
6.768% due 06/27/2002 (d) 9,000 8,865
9.060% due 04/07/2004 (d) 5,000 5,050
5.874% due 12/31/2019 15,000 12,929
-----------
Total Sovereign Issues 150,981
===========
(Cost $149,731)
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 0.2%
Commonwealth of Canada
8.750% due 12/01/2005 C$ 1,150 $ 904
United Mexican States
8.750% due 05/30/2002 BP 3,000 4,895
5.000% due 09/30/2002 JY 550,000 5,387
-----------
Total Foreign Currency-Denominated Issues 11,186
===========
(Cost $10,287)
- ----------------------------------------------------------------------
PREFERRED STOCK 1.7%
- ----------------------------------------------------------------------
Shares
Home Ownership Funding
13.330% due 12/31/2049 3,000 $ 2,490
Rhone-Poulenc SA
8.125% due 12/31/2049 13,000 305
SI Financing Trust
9.500% due 06/30/2026 806,600 20,820
TCI Communications, Inc.
10.000% due 05/31/2045 800,300 20,858
9.720% due 12/31/2036 224,700 5,912
8.720% due 01/31/2045 1,170,100 29,399
-----------
Total Preferred Stock 79,784
===========
(Cost $83,777)
- ----------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 3.0%
- ----------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 2.2%
American Express
5.280% due 10/12/1999 $ 3,600 3,595
5.280% due 10/27/1999 2,600 2,591
Bellsouth Telecom
5.270% due 10/05/1999 6,800 6,796
5.250% due 10/06/1999 1,500 1,499
5.290% due 10/26/1999 1,900 1,893
Coca Cola Co.
5.270% due 10/22/1999 11,700 11,664
Ford Motor Credit Corp.
5.300% due 10/12/1999 13,000 12,979
General Electric Capital Corp.
5.300% due 10/05/1999 1,300 1,299
5.370% due 10/20/1999 6,200 6,182
General Motors Acceptance Corp.
5.300% due 10/19/1999 2,500 2,493
Hewlett-Packard Co.
5.300% due 10/07/1999 7,500 7,493
US West Communications
6.250% due 02/08/2000 40,000 39,202
Warner-Lambert Co.
5.270% due 10/05/1999 5,500 5,497
-----------
103,183
===========
Repurchase Agreement 0.6%
State Street Bank
4.800% due 10/01/1999 27,689 27,689
-----------
(Dated 09/30/1999. Collateralized by
Federal National Mortgage Association
0.000% 08/11/2000 valued at $28,247,369
Repurchase proceeds are $27,692,692.)
U.S. Treasury Bills (b) 0.2%
4.710% due 02/17/2000 8,995 8,832
-----------
Total Short-Term Instruments 139,704
===========
(Cost $139,597)
Total Investments (a) 103.2% $ 4,775,841
(Cost $4,812,209)
Written Options (c) (0.2%) (9,228)
(Premiums $9,125)
Other Assets and Liabilities (Net) (3.0%) (137,647)
-----------
Net Assets 100.0% $ 4,628,966
===========
See accompanying notes 41
<PAGE>
Scedule of Investments (Cont.)
Low Duration Fund
September 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 12,335
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (48,703)
---------
Unrealized depreciation-net $(36,368)
=========
(b) Securities with an aggregate market value of $18,520 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at September 30, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar September Futures (09/2000) 210 $ (24)
Eurodollar December Futures (12/1999) 330 (872)
Eurodollar December Futures (03/2000) 120 (288)
Eurodollar December Futures (12/2000) 1,255 (1,298)
U.S. Treasury 5 Year Note (12/1999) 404 123
----------
$ (2,359)
==========
(c) Premiums received on written options:
# of
Type Contracts Premium Value
- --------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 118.00 Exp. 11/20/1999 5,000 $ 2,004 $ 1,484
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 110.00 Exp. 11/20/1999 5,000 1,067 1,641
Put - OTC U.S.Treasury Note
5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 24,000 99 0
Put - CME Eurodollar December Futures
Strike @ 94.250 Exp. 12/13/1999 1,250 197 325
Put - CME Eurodollar December Futures
Strike @ 94.500 Exp. 12/13/1999 5,000 1,177 2,375
Put - CME Eurodollar December Futures
Strike @ 94.000 Exp. 12/13/1999 15,510 3,013 1,706
Put - CME Eurodollar December Futures
Strike @ 93.500 Exp. 12/18/2000 3,750 1,230 1,369
Put - LIFFE BP 90 Day LIBOR 09/2000
Strike @ 93.000 Exp. 09/20/2000 175,000 338 328
---------------------
$ 9,125 $ 9,228
=====================
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- -----------------------------------------------------------------
Sell BP 6,183 10/1999 $ (20)
Sell C$ 1,957 10/1999 (17)
Sell EC 2,780 02/2000 41
Sell JY 581,184 02/2000 128
Buy PZ 20,000 02/2000 (130)
---------
$ 2
=========
(f) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
EC - European Currency Unit
JY - Japanese Yen
PZ - Polish Zloty
(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 September 30, 1999:
Type Notional Unrealized
Amount (Depreciation)
- --------------------------------------------------------------------------------
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 5.950%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/17/2001 $ 3,100 $ (31)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 5.700%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/28/2001 1,500 (20)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 6.150%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 2,000 (26)
---------
$ (77)
=========
42 See accompanying notes
<PAGE>
Schedule of Investments
Municipal Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 100.3%
- ---------------------------------------------------------------------------
Arizona 4.4%
Pima County, Arizona Industrial Development Authority
Multi-Family Revenue Bonds, (HUD SECT 8 Insured),
Series 1998, 5.375% due 06/01/2010 $ 1,210 $ 1,225
Scottsdale, Arizona Industrial Development Authority
Hospital Revenue Bonds, (AMBAC Insured),
Series 1997 A, 6.500% due 09/01/2004 1,130 1,229
-------
2,454
=======
California 14.8%
Alameda, California Harbor Bay Business Pk Assmt
Revenue Bonds, Series 1998, 5.000% due 09/02/2006 360 351
Capistrano, California Unified School District
Special Tax, Series 1999, 5.000% due 09/01/2008 350 340
City of San Jose Redevelopment Agency Merged
Area Project, Tax Allocation Bonds, (MBIA Insured),
Series 1993, 6.000% due 08/01/2015 500 534
Fresno, California Unified School District
General Obligation Unlimited Bonds,
(MBIA Insured), Series 1999, 5.800% due 08/01/2014 445 466
Irvine, California Special Assessment Bond,
Series 1998, 4.800% due 09/02/2004 150 147
Irvine, California Special Assessment Bond,
Series 1998, 4.900% due 09/02/2005 310 301
Irvine, California Special Assessment Bond,
Series 1998, 5.000% due 09/02/2006 150 145
Irvine, California Special Assessment Bond,
Series 1999, 5.000% due 09/02/2005 350 344
Irvine, California Special Assessment Bond,
Series 1999, 5.100% due 09/02/2006 535 524
Irvine, California Special Assessment Bond,
Series 1999, 5.200% due 09/02/2007 255 248
Lake Elsinore California School Refunding Bonds,
Series 1998, 5.000% due 09/01/2006 350 343
Los Angeles County Transportation Commission,
Sales Tax Revenue Refunding Bonds, Series 1991 B
6.500% due 07/01/2013 1,000 1,050
Metropolitan Water District Southern California
General Obligation Unlimited Bond, Series 1998
4.750% due 03/01/2037 1,000 833
Montebello, California Unified School District
General Obligation Unlimited Bonds, (MBIA Insured),
Series 1999, 0.000% due 08/01/2023 895 222
Orange County, California Improvement Bond,
Series 1998 A, 4.900% due 09/02/2005 245 239
Pittsburg, California Infrastructure Refunding Bonds,
Series 1998 A, 4.900% due 09/02/2003 150 152
Pittsburg, California Infrastructure Refunding Bonds,
Series 1998 A, 5.000% due 09/02/2004 150 152
Riverside County, California Special Tax Refunding Bonds,
Series 1999, 4.200% due 09/01/2001 300 297
Riverside County, California Special Tax, Series 1999
4.700% due 09/01/2005 170 166
Roseville, California Special Tax, Series 1999
5.000% due 09/01/2004 350 348
Sacramento County, California Refunding Bonds,
Series 1998, 4.900% due 09/02/2005 300 292
San Pablo, California Redevelopment Agency,
Series 1999, 5.100% due 12/01/2009 360 358
West Sacramento, California Refunding Bonds,
Series 1998, 5.000% due 09/02/2004 350 347
-------
8,199
=======
Colorado 6.4%
Denver, Colorado Health & Hospital Revenue Bonds,
Series 1998 A, 5.000% due 12/01/2009 1,390 1,317
El Paso County, Colorado School District
6.500% due 12/01/2012 2,000 2,215
-------
3,532
=======
Florida 4.4%
Gainesville, Florida Revenue Bonds, Series 1979
6.200% due 10/01/2002 300 305
Jacksonville Electric Authority, Bulk Power Supply
System Revenue Bonds, (Prerefunded 10/01/00),
Scherer 4-1-A Project, Issue One, Series 1991,
6.750% due 10/01/2021 1,000 1,044
Orange County, Florida, Health Facilities Authority
Revenue Bond, Series 1996 A, 6.250% due 10/01/2011 1,000 1,106
-------
2,455
=======
Illinois 1.9%
State of Illinois, Sales Tax Revenue Refunding Bonds,
Series 1992 Q, 6.000% due 06/15/2012 1,000 1,058
-------
Indiana 2.1%
Indiana Local Public Improvement Bonds Bank,
Transportation Revenue Bonds, Series 1992
6.750% due 02/01/2014 1,000 1,130
-------
Louisiana 1.5%
Louisiana Local Government Environment Facility
Community Development Authority Revenue Bonds,
(AMBAC Insured), Series 1999, 4.500% due 12/01/2018 1,000 843
-------
Massachusetts 1.2%
Massachusetts State Development Finance Agency,
(ACA Insured), Series 1999, 4.600% due 03/01/2009 400 384
Massachusetts State Development Finance Agency,
Series 1998, 4.700% due 11/01/2007 210 202
Massachusetts State Development Finance Agency,
Series 1998, 4.800% due 11/01/2008 90 86
-------
672
=======
Michigan 2.2%
Michigan State Environmental Protection General
Obligation Bonds, Series 1992, 6.250% due 11/01/2012 1,100 1,196
-------
Minnesota 1.8%
New Richland, Minnesota Revenue Bond,
Series 1998, 4.500% due 08/01/2004 1,000 992
-------
Missouri 0.7%
Kansas City Missouri Industrial Development Authority
Hospital Revenue Bonds, (MBIA Insured), Series 1985
3.000% due 10/15/2015 (b) 400 400
-------
New Hampshire 2.0%
New Hampshire Turnpike System, Refunding
Revenue Bonds, (FGIC Insured), Series 1991 A
6.750% due 11/01/2011 1,000 1,116
-------
New Jersey 3.5%
New Jersey Economic Development
Authority Revenue Bond, Series 1998,
0.000% due 04/01/2013 1,595 652
New Jersey Economic Development
Authority Revenue Bond, Series 1998
4.750% due 05/15/2002 365 361
New Jersey Economic Development
Authority Revenue Bond, Series 1998
5.600% due 01/01/2012 1,000 953
-------
1,966
=======
See accompanying notes 43
<PAGE>
Schedule of Investments (Cont.)
Municipal Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------
New Mexico 2.5%
Los Alamos County, Utility Revenue Bonds,
Series 1994 A, 6.000% due 07/01/2008 $ 1,000 $ 1,068
Santa Fe County, El Castillo Retirement
Nursing Home Bonds, Series 1998 A
5.250% due 05/15/2007 315 304
-------
1,372
=======
New York 15.5%
New York City General Obligation Bonds,
(LOC-KBC Bank Insured), Series 1993,
4.000% due 08/01/2016 (b) 500 500
New York City General Obligation Bonds,
Series 1995 B, 6.750% due 08/15/2003 1,000 1,075
New York City General Obligation Bonds,
Series 1996 A, 7.000% due 08/01/2007 1,000 1,121
New York City General Obligation Bonds,
Series 1996, 5.875% due 08/01/2024 1,000 994
New York State Dorm Authority Mental Health Services
Revenue Bonds, Series 1997 B, 6.000% due 08/15/2005 1,850 1,955
New York State Environmental Facilities
Special Obligation Revenue Bonds, Series 1996
5.125% due 04/01/2022 1,000 913
State of New York Thruway Authority Revenue Bonds,
(AMBAC-TCRS Insured), Series 1996
6.000% due 04/01/2005 1,000 1,066
State of New York Thruway Authority Revenue Bonds,
(MBIA Insured), Series 1995 A, 5.500% due 04/01/2015 1,000 999
-------
8,623
=======
North Carolina 5.9%
North Carolina Eastern Municipal Power
6.500% due 01/01/2018 1,990 2,219
North Carolina Municipal Power Agency, Catawaba
Electric Revenue Bonds, (AMBAC Insured),
Series 1992, 6.000% due 01/01/2008 1,000 1,068
-------
3,287
=======
North Dakota 1.9%
Mercer County Pollution Control Revenue Bonds,
Series 1991, 6.900% due 02/01/2019 1,000 1,049
-------
Ohio 3.7%
Cleveland Water and Sewer Refunding and
Improvement Revenue Bonds, (MBIA Insured),
Series 1993 G, Number 1, 5.500% due 01/01/2021 1,000 988
Ohio State Water Development Authority Pollution
Control Revenue Bonds, (MBIA Insured),
Series 1995, 6.000% due 06/01/2005 1,000 1,069
-------
2,057
=======
Pennsylvania 2.9%
Delaware County, Pensylvania Hospital Revenue
Bonds, Series 1998, 4.900% due 12/01/2008 100 96
Pittsburgh, Pennsylvania General Obligation Bonds,
(AMBAC Insured), Series 1993 A,
5.500% due 09/01/2014 1,525 1,533
-------
1,629
=======
South Carolina 1.8%
Medical University South Carolina Hospital Facilities
Revenue Bonds, Series 1999, 5.700% due 07/01/2012 1,000 989
-------
Tennessee 3.5%
Memphis-Shelby County Tennessee Airport Authority
Special Facilities and Project Revenue Bonds,
Series 1997, 5.350% due 09/01/2012 1,000 983
Nashville & Davidson County, Tennessee
Revenue Bonds, Series 1998, 4.450% due 08/01/2007 1,000 963
-------
1,946
=======
Texas 10.1%
Bexar, Texas Metro Water District Waterworks
System Revenue Bonds, (MBIA Insured),
Series 1998, 0.000% due 05/01/2035 2,190 257
Board of Regents of the University of Texas System,
Revenue Financing System Refunding Bonds,
Prefunded and Unrefunded Series 1991 B
6.750% due 08/15/2013 735 773
Brazos River Authority Texas Revenue Bonds,
(MBIA Insured), Series 1998, 4.900% due 10/01/2015 1,500 1,378
Houston, Texas, Water & Sewer System Revenue
Bonds, Series 1993 B, 5.000% due 12/01/2018 2,000 1,827
Midlothian Texas Independent School District,
(PSF-GTD Insured), Series 1999
0.000% due 02/15/2018 1,000 324
University of Texas Revenue Bonds, Series 1996
5.250% due 08/15/2007 1,000 1,026
-------
5,585
=======
Washington State 2.1%
Bellevue Washington Convention Center Authority
Special Obligation Revenue Bond, (MBIA Insured),
Series 1994, 0.000% due 02/01/2024 1,000 239
Washington State Public Power Supply System
Nuclear Project Revenue Bonds, (BIG Insured),
Series 1989, 0.000% due 07/01/2014 1,270 554
Washington State General Obligation Bond,
Series 1997, 0.000% due 07/01/2017 1,000 359
-------
1,152
=======
Washington, D.C. 1.5%
Washington D.C. Convention Center Authority
Dedicated Tax Revenue Bonds, (AMBAC Insured),
Series 1998, 4.750% due 10/01/2028 1,000 816
-------
Wisconsin 2.0%
Southeast Wisconsin Professional Baseball Park
District Sales Tax Revenue Bonds, (MBIA Insured),
Series 1998, 5.500% due 12/15/2018 1,150 1,128
-------
Total Municipal Bonds & Notes 55,646
=======
(Cost $55,724)
- -----------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 0.2%
- -----------------------------------------------------------------------------
State Street Global Advisors Tax Free Money Market
3.039%due10/01/1999 117 116
-------
Total Short-Term Instruments 116
=======
(Cost $117)
Total Investments (a) 100.5% $55,762
(Cost $55,841)
Other Assets and Liabilities (Net) (0.5%) (260)
-------
Net Assets 100.0% $55,502
=======
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 974
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (1,053)
-------
Unrealized depreciation-net $ (79)
======
(b) Variable rate security. The rate listed is as of September 30, 1999.
44 See accompanying notes
<PAGE>
Schedule of Investments
Real Return Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 15.4%
- -------------------------------------------------------------------------------
Banking & Finance 11.8%
AT&T Capital Corp.
7.110% due 09/13/2001 (d) $ 500 $ 501
BAT-Crave-800
6.680% due 08/12/2000 190 191
Bear Stearns Co., Inc.
5.688% due 08/01/2002 (d) 500 499
Chase Manhattan Corp.
5.819% due 12/10/2001 (d) 500 505
Daiwa Securities
6.226% due 09/29/2049 (d) 850 646
Ford Motor Credit Corp.
5.570% due 07/16/2002 (d) 1,000 998
5.565% due 02/13/2003 (d) 350 348
General Motors Acceptance Corp.
5.703% due 11/09/2000 (d) 500 503
Heller Financial, Inc.
5.846% due 09/25/2000 (d) 1,000 999
5.720% due 02/05/2001 400 400
HRPT Properties Trust
6.560% due 07/09/2007 1,250 1,248
J.P. Morgan & Co.
5.459% due 02/15/2012 700 614
Juno Reinsurance
9.565% due 06/26/2002 (d) 750 726
Korea Development Bank
8.008% due 06/16/2003 (d) 500 490
Korean Export-Import Bank
6.500% due 10/06/1999 250 250
Lehman Brothers Holdings, Inc.
8.150% due 05/15/2000 230 233
9.875% due 10/15/2000 250 259
6.249% due 04/02/2002 (d) 500 500
5.823% due 06/03/2002 (d) 1,000 992
MBNA America Bank NA
5.538% due 04/25/2002 (d) 500 496
Merrill Lynch & Co.
5.748% due 02/08/2002 (d) 400 400
Morgan Stanley, Dean Witter, Discover and Co.
6.040% due 11/13/2000 (d) 250 251
Residential Reinsurance
9.163% due 06/01/2000 (d) 800 798
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (e) 736 716
Toyota Motor Credit Corp.
5.967% due 02/15/2002 (e) 400 386
-------
13,949
=======
Industrials 2.9%
Ceridian Corp.
7.250% due 06/01/2004 500 497
Conagra, Inc.
5.711% due 06/12/2000 (d) 500 499
CSX Corp.
5.790% due 06/15/2000 (d) 500 501
Limited, Inc.
6.281% due 11/22/2000 (d) 500 500
Petroleos Mexicanos
9.520% due 07/15/2005 (d) 1,000 952
U.S. West Capital Funding
5.960% due 06/15/2000 (d) 500 499
-------
3,448
=======
Utilities 0.7%
Public Service Enterprise Group, Inc.
5.910% due 06/15/2001 (d) 500 499
Texas Utilities Co.
6.064% due 06/25/2001 300 299
-------
798
-------
Total Corporate Bonds & Notes 18,195
=======
(Cost $18,236)
- --------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.1%
- --------------------------------------------------------------------------------
New York 0.1%
New York City Municipal Bond
5.622% due 08/01/2002 (d) $ 138 $ 138
-------
Total Municipal Bonds & Notes 138
=======
(Cost $138)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES (d) 6.5%
- --------------------------------------------------------------------------------
Federal Home Loan Bank
4.842% due 02/15/2002 (e) 2,985 2,915
Federal National Mortgage Assn.
4.310% due 03/13/2002 2,000 1,951
Student Loan Marketing Assn.
4.129% due 02/20/2000 (e) 250 249
5.165% due 07/25/2004 106 106
5.195% due 10/25/2004 130 129
5.333% due 04/25/2006 1,973 1,964
5.395% due 01/25/2007 370 369
-------
Total U.S. Government Agencies 7,683
=======
(Cost $7,672)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 116.1%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities (e)
3.625% due 07/15/2002 (f) 24,255 24,103
3.375% due 01/15/2007 (f) 67,331 64,322
3.625% due 01/15/2008 (f) 26,516 25,671
3.875% due 01/15/2009 4,065 4,003
3.625% due 04/15/2028 (f) 18,550 17,170
3.875% due 04/15/2029 1,521 1,470
U.S. Treasury Notes
5.500% due 02/29/2000 10 10
-------
Total U.S. Treasury Obligations 136,749
=======
(Cost $137,508)
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 1.1%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 0.2%
Federal Home Loan Mortgage Corp.
6.500% due 01/25/2028 100 90
Federal National Mortgage Assn.
6.500% due 02/25/2029 148 126
-------
216
=======
Federal Home Loan Mortgage Corporation 0.1%
7.433% due 02/01/2023 (d) 128 131
-------
Federal Housing Administration 0.2%
7.430% due 12/01/2020 306 306
-------
Federal National Mortgage Association 0.6%
7.252% due 10/01/2024 (d) 678 693
-------
Total Mortgage-Backed Securities 1,346
=======
(Cost $1,357)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 4.9%
- --------------------------------------------------------------------------------
AFC Home Equity Loan Trust
5.603% due 03/25/2027 (d) 301 303
Capital Equipment Recievables Trust
6.120% due 09/15/2000 396 396
Comed Transitional Funding Trust
5.380% due 03/25/2002 177 177
Conti Mortgage Home Equity Loan Trust
6.020% due 01/25/2014 411 409
EQCC Home Equity Loan Trust
5.543% due 03/20/2029 (d) 398 398
GE Capital Mortgage Services, Inc.
7.150% due 09/25/2026 805 804
IMC Home Equity Loan Trust
6.610% due 06/20/2013 500 500
Onyx Acceptance Auto Trust
6.350% due 10/15/2003 884 884
See accompanying notes 45
<PAGE>
Schedule of Investments (Cont.)
Real Return Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ------------------------------------------------------------------
Pacific Southwest Bank
6.060% due 06/15/2002 $ 25 $ 25
Premiere Auto Trust
5.510% due 07/09/2001 493 492
Residential Funding Mortgage
Securities, Inc.
5.460% due 07/25/2029 355 352
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 535 533
WMC Mortgage Loan
5.591% due 03/20/2028 (d) 546 548
--------
Total Asset-Backed Securities 5,821
(Cost $5,825) ========
SOVEREIGN ISSUES 1.1%
Korea Development Bank
5.886% due 11/15/2002 (d) 500 460
United Mexican States
5.875% due 12/31/2019 (d) 1,000 862
United Mexican States Rights
0.000% due 06/30/2003 1,538 0
--------
Total Sovereign Issues 1,322
========
(Cost $1,263)
FOREIGN CURRENCY-DENOMINATED ISSUES (b)(c) 2.2%
Commonwealth of New Zealand
4.500% due 02/15/2016 (e) N$ 300 155
Newcourt Credit Group
7.900% due 08/15/2000 C$ 1,674 1,152
7.625% due 06/28/2001 500 344
Republic of France
3.000% due 07/25/2009 EC 382 392
United Mexican States
1.573% due 12/31/2019 (d) JY 70,000 536
--------
Total Foreign Currency-Denominated Issues 2,579
(Cost $2,582) ========
PURCHASED PUT OPTIONS 0.0%
Euribor Futures (LIFFE)
Strike @ 90.000 Exp. 12/13/1999 EC 10,000 0
--------
Total Purchased Put Options 0
(Cost $10) ========
CONVERTIBLE BONDS & NOTES 1.2%
Industrial 1.2%
Waste Management, Inc. Cvt. Pfd.
4.000% due 02/01/2002 $ 1,500 1,342
--------
Total Convertible Bonds & Notes 1,342
(Cost $1,352) ========
SHORT-TERM INSTRUMENTS 3.3%
Commercial Paper 1.9%
Hewlett-Packard Co.
5.310% due 10/05/1999 100 100
Procter & Gamble Co.
5.370% due 10/20/1999 1,000 997
5.290% due 11/01/1999 1,100 1,095
--------
2,192
========
Repurchase Agreement 1.4%
State Street Bank
4.800% due 10/01/1999 1,695 1,695
(Dated 09/30/1999. Collateralized by Federal
National Mortgage Association 5.120%
05/26/2000 valued at $1,733,654. Repurchase
proceeds are $1,695,226.)
--------
Total Short-Term Instruments 3,887
(Cost $3,887) ========
Total Investments (a) 151.9% $179,062
(Cost $179,830)
Other Assets and Liabilities (Net) (51.9%) (61,250)
--------
Net Assets 100.0% $117,812
========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 232
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (990)
--------
Unrealized depreciation-net $ (758)
========
(b) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- ------------------------------------------------------------------
Buy C$ 569 10/1999 $ 7
Sell 569 10/1999 (5)
Sell 523 05/2000 2
Sell 1,711 06/2000 (6)
Sell EC 310 10/1999 (3)
Buy 429 11/1999 (2)
Sell 570 11/1999 62
Sell JY 50,056 02/2000 (18)
Sell N$ 845 10/1999 8
Buy 524 11/1999 (3)
--------
$ 42
========
(c) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
EC - European Currency Unit
JY - Japanese Yen
N$ - New Zealand Dollar
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Principal amount of security is adjusted for inflation.
(f) Subject to financing transaction.
46 See accompanying notes
<PAGE>
Schedule of Investments
Short-Term Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
CORPORATE BONDS & NOTES 25.1%
Banking & Finance 15.8%
Banco Nacional Obra Services
9.625% due 11/15/2003 $ 6,900 $ 6,883
BankBoston Corp.
6.125% due 03/15/2002 1,000 985
Bankers Trust Corp.
5.525% due 05/11/2003 (d) 11,000 10,989
Dean Witter Discover
5.250% due 02/13/2001 (d) 5,000 4,997
Donaldson, Lufkin & Jenrette
6.125% due 05/25/2026 (d) 264 264
Ford Motor Credit Corp.
5.596% due 08/27/2001 (d) 3,000 2,996
5.663% due 03/19/2002 4,295 4,300
5.670% due 12/16/2002 (d) 10,000 9,940
General Motors Acceptance Corp.
5.410% due 01/08/2002 (d) 1,000 996
5.438% due 04/29/2002 (d) 2,450 2,448
5.568% due 08/18/2003 (d) 16,575 16,441
Goldman Sachs Group
5.373% due 07/31/2000 (d) 8,000 7,986
Heller Financial, Inc.
5.240% due 04/22/2002 (d) 15,000 15,048
Korea Development Bank
6.250% due 05/01/2000 585 583
Lehman Brothers Holdings, Inc.
5.390% due 08/11/2000 (d) 3,000 3,014
6.073% due 05/07/2002 (d) 3,000 3,009
Mid-Amercian Funding LLC
5.850% due 03/01/2001 1,000 991
Residential Funding Mortgage
Securities, Inc.
6.639% due 12/01/2018 (d) 1,196 1,220
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (f) 3,153 3,069
--------
96,159
========
Industrials 4.6%
Amerco, Inc.
6.890% due 10/15/2000 5,000 4,820
Champion International Corp.
7.700% due 12/15/1999 10,000 10,032
COFIRI International, Inc.
5.295% due 10/27/2000 (d) 2,000 1,993
ITT Corp.
6.250% due 11/15/2000 3,000 2,945
Occidental Petroleum
7.650% due 12/01/1999 5,000 5,011
Time Warner, Inc.
6.100% due 12/30/2001 3,000 2,981
--------
27,782
========
Utilities 4.7%
Central Maine Power Co.
6.500% due 06/14/2000 7,800 7,772
Duquesne Light Co.
6.450% due 03/01/2000 2,000 2,001
Pennsylvania Power & Light
6.000% due 06/01/2000 19,000 19,013
--------
28,786
--------
Total Corporate Bonds & Notes 152,727
(Cost $152,830) ========
U.S. GOVERNMENT AGENCIES 2.3%
Student Loan Marketing Assn.
5.225% due 04/25/2004 (d) 2,198 2,193
5.495% due 04/25/2007 (d) 11,705 11,687
--------
Total U.S. Government Agencies 13,880
========
(Cost $13,900)
U.S. TREASURY OBLIGATIONS 2.1%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (f) $ 5,204 $ 5,171
3.625% due 01/15/2008 (f)(g) 5,675 5,494
3.875% due 01/15/2009 (f)(g) 1,931 1,902
--------
Total U.S. Treasury Obligations 12,567
(Cost $12,648) ========
MORTGAGE-BACKED SECURITIES 36.0%
Collateralized Mortgage Obligations 23.8%
CMC Securities Corp.
7.500% due 02/25/2023 3,826 3,850
Dime Savings
6.810% due 11/01/2018 (d) 305 280
Donaldson, Lufkin & Jenrette
7.040% due 10/17/2020 (d) 650 669
7.762% due 09/01/2021 (d) 39 39
Federal Home Loan Mortgage Corp.
6.210% due 02/25/2000 1,600 1,595
6.000% due 03/15/2005 1,300 1,300
6.000% due 02/15/2007 1,375 1,375
6.500% due 10/25/2014 4,584 4,552
5.750% due 10/15/2016 105 105
6.000% due 07/15/2019 6,419 6,379
Federal National Mortgage Assn.
6.500% due 10/18/2006 384 383
6.000% due 02/25/2008 1,519 1,501
5.254% due 07/25/2008 (d) 1,379 1,367
6.000% due 08/18/2016 44,926 44,641
6.500% due 11/25/2017 3,627 3,615
5.875% due 03/25/2018 161 161
5.850% due 05/25/2019 1,614 1,609
6.000% due 06/25/2020 27 27
6.000% due 08/25/2020 2,813 2,779
5.000% due 02/25/2022 175 173
6.500% due 09/18/2023 2,344 2,330
9.000% due 06/25/2032 11,372 11,802
First Plus Home Loan Trust
6.060% due 09/10/2011 5,000 4,994
GE Capital Mortgage Services, Inc.
6.750% due 12/25/2012 6,915 6,894
Greenwich
7.609% due 04/25/2022 (d) 97 98
6.657% due 10/25/2022 (d) 62 62
Housing Securities, Inc.
6.000% due 02/25/2008 2,022 2,018
Independent National Mortgage Corp.
7.250% due 11/25/2010 4,000 4,020
Prudential Bache
5.740% due 09/01/2018 (d) 27 26
Prudential Home Mortgage Securities
6.950% due 11/25/2022 233 215
Salomon Brothers Mortgage Securities
5.689% due 06/25/2029 (d) 4,862 4,862
Structured Asset Mortgage
Investments, Inc.
6.125% due 11/25/2013 18,609 17,862
Structured Asset Securities Corp.
7.000% due 01/20/2021 1,161 1,161
TMA Mortgage Funding Trust
5.719% due 01/25/2029 12,562 12,562
--------
145,306
========
Federal Home Loan Mortgage Corporation 0.3%
7.500% due 11/01/2001 1,966 1,988
--------
Federal National Mortgage Association 4.0%
6.000% due 12/18/2014 9,928 9,884
6.150% due 09/25/2016 7,569 7,527
8.000% due 06/01/2027 4,380 4,477
8.500% due 01/01/2026 2,439 2,534
--------
24,422
========
See accompanying notes 47
<PAGE>
Schedule of Investments (Cont.)
Short-Term Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------
Government National Mortgage Association 7.6%
6.125% due 11/20/2026 (d) $ 16,563 $ 16,672
6.375% due 02/20/2024-04/20/2025 (d)(e) 13,097 13,295
6.625% due 09/20/2023-08/20/2027 (d)(e) 9,500 9,593
8.500% due 06/20/2027 6,574 6,798
----------
46,358
==========
Other Mortgage-Backed Securities 0.1%
First Nationwide Trust
6.466% due 10/25/2018 (d) 10 10
Resolution Trust Corp.
6.362% due 05/25/2029 (d) 684 665
----------
675
==========
Stripped Mortgage-Backed Securities 0.2%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 06/15/2019 5,923 576
Federal National Mortgage Association (IO)
7.000% due 07/25/2006 1,828 144
6.500% due 12/25/2006 3,343 137
6.500% due 06/25/2017 1,793 84
6.500% due 10/25/2023 1,824 235
----------
1,176
----------
Total Mortgage-Backed Securities 219,925
(Cost $221,733) ==========
ASSET-BACKED SECURITIES 9.2%
Advanta Revolving Home Equity Loan Trust
5.750% due 01/25/2024 (d) 300 300
Banc One Auto Grantor Trust
6.290% due 07/20/2004 3,278 3,275
Brazos Student Loan Finance Co.
5.495% due 06/01/2023 (d) 20,000 19,630
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 1,303 1,299
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 6,367 6,370
GE Capital Mortgage Services, Inc.
7.150% due 09/25/2026 1,609 1,608
Salomon Brothers Mortgage Securities
5.960% due 11/10/2029 4,000 4,000
Starwood Hotels & Resorts Worldwide, Inc.
9.133% due 02/23/2003 (d) 10,000 10,000
The Money Store Home Equity Trust
6.635% due 09/15/2014 7,500 7,507
UniCapital Corp.
6.540% due 07/23/2002 2,000 2,000
----------
Total Asset-Backed Securities 55,989
(Cost $56,270) ==========
SOVEREIGN ISSUES 4.0%
Air Canada
6.238% due 07/31/2005 (d) 2,000 1,760
Federal Home Loan Bank
6.000% due 05/12/2000 (d) 10,000 9,869
Korea Development Bank
7.625% due 10/01/2002 1,000 994
Korean Export-Import Bank
6.500% due 05/15/2000 2,170 2,159
Petroleos Mexicanos
9.375% due 12/02/2008 1,000 1,021
United Mexican States
6.768% due 06/27/2002 (d) 9,000 8,739
---------
Total Sovereign Issues 24,542
(Cost $24,844) =========
FOREIGN CURRENCY-DENOMINATED ISSUES (b)(c) 1.3%
Banco Nacional de Comercio Exterior, S.N.C.
8.750% due 09/28/2000 BP 3,000 4,989
Commonwealth of New Zealand
4.500% due 02/15/2016 (f) N$ 5,400 2,791
---------
Total Foreign Currency-Denominated Issues 7,780
(Cost $8,506) =========
SHORT-TERM INSTRUMENTS 31.1%
Certificates of Deposit 3.4%
Commerzbank AG
6.200% due 05/10/2000 $10,000 $ 9,924
Sumitomo Bank
5.970% due 01/26/2000 10,500 10,501
---------
20,425
=========
Commercial Paper 21.8%
Aristar, Inc.
5.880% due 02/01/2000 1,445 1,418
Eastman Kodak Co.
5.720% due 01/26/2000 6,800 6,679
Finova Capital Corp.
5.870% due 01/26/2000 1,000 982
Florida Power Corp.
5.270% due 10/07/1999 3,700 3,697
Ford Motor Credit Corp.
5.690% due 01/26/2000 6,000 5,893
General Electric Capital Corp.
5.690% due 02/09/2000 1,200 1,176
Goldman Sachs Group
5.780% due 01/26/2000 13,100 12,867
5.720% due 02/09/2000 5,000 4,899
Goodyear Tire & Rubber Co.
6.250% due 01/26/2000 14,200 13,912
Heller Financial, Inc.
5.790% due 01/26/2000 3,800 3,732
5.790% due 02/09/2000 3,500 3,430
MCI Worldcom, Inc.
6.140% due 01/27/2000 2,200 2,160
National Rural Utilities Cooperative
5.720% due 01/26/2000 6,000 5,893
Procter & Gamble Co.
5.320% due 10/20/1999 500 499
Province of British Columbia
5.330% due 10/07/1999 3,800 3,797
Raytheon Corp.
5.470% due 10/20/1999 15,900 15,854
Texas Utilities Co.
5.260% due 01/21/2000 1,800 1,769
TRW, Inc.
6.220% due 02/09/2000 12,000 11,759
United Parcel Service Co.
5.410% due 10/04/1999 1,500 1,499
US West Capital Funding
6.260% due 02/08/2000 1,300 1,274
5.960% due 03/24/2000 20,000 19,447
Williams Holdings
5.360% due 01/25/2000 10,000 9,824
Wisconsin Electric
5.320% due 10/20/1999 400 399
---------
132,859
=========
Repurchase Agreements 5.9%
State Street Bank
4.800% due 10/01/1999 6,198 6,198
(Dated 09/30/1999. Collateralized by Federal
Home Loan Bank 6.315% 08/24/2001 valued
at $6,326,403. Repurchased proceeds
are $6,198,826.)
Daiwa Securities
5.000% due 10/01/1999 30,000 30,000
(Dated 09/30/1999. Collateralized by U.S.
Treasury Bond 7.875% 11/15/2007 valued at
$30,779,980. Repurchase proceeds are
$30,004,167.) ---------
36,198
---------
Total Short-Term Instruments 189,482
(Cost $189,456) =========
Total Investments (a) 111.1% $ 676,892
(Cost $680,187)
Other Assets and Liabilities (Net) (11.1%) (67,409)
---------
Net Assets 100.0% $ 609,483
=========
48 See accompanying notes
<PAGE>
- --------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 665
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (3,960)
--------
Unrealized deppreciation-net $ (3,295)
========
(b) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------
Sell BP 3,090 10/1999 $ (10)
Sell N$ 5,023 10/1999 42
Sell 286 11/1999 3
--------
$ 35
========
(c) Principal amount denoted in indicated currency:
BP - British Pound
N$ - New Zealand Dollar
(d) Variable rate security. The rate listed is as of September 30, 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 49
<PAGE>
Schedule of Investments
StocksPLUS Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
CORPORATE BONDS & NOTES 39.1%
Banking & Finance 26.5%
AT&T Capital Corp.
7.110% due 09/13/2001 (d) $ 2,100 $ 2,102
5.561% due 04/23/2002 (d) 5,725 5,614
Bankers Trust Corp.
5.525% due 05/11/2003 (d) 20,000 19,981
CIT Group, Inc.
6.200% due 10/20/2000 10,000 9,985
Finova Capital Corp.
5.426% due 06/18/2003 (d) 25,000 24,680
Ford Motor Credit Corp.
7.020% due 10/10/2000 11,000 11,105
5.663% due 03/19/2002 590 591
5.570% due 07/16/2002 (d) 6,500 6,488
5.670% due 12/16/2002 (d) 3,600 3,578
5.565% due 02/13/2003 (d) 15,000 14,907
General Motors Acceptance Corp.
5.020% due 10/22/2001 (d) 1,600 1,591
5.895% due 12/17/2001 (d) 2,000 2,012
5.566% due 02/25/2002 (d) 1,000 994
5.568% due 08/18/2003 (d) 35,300 35,015
5.560% due 04/05/2004 (d) 5,900 5,879
Goldman Sachs Group
5.740% due 01/16/2001 (d) 5,000 5,005
5.468% due 01/25/2001 (d) 10,000 9,983
5.558% due 02/19/2004 (d) 10,000 10,117
Heller Financial, Inc.
5.846% due 09/25/2000 (d) 15,500 15,480
Household Finance Corp.
5.631% due 06/22/2001 (d) 5,000 4,999
HRPT Properties Trust
6.560% due 07/09/2007 5,000 4,993
Lehman Brothers Holdings, Inc.
5.390% due 08/11/2000 (d) 9,400 9,443
6.110% due 07/15/2002 (d) 2,700 2,700
5.824% due 11/30/2006 (d) 1,910 1,671
MBNA America Bank NA
5.396% due 06/10/2004 (d) 10,000 9,830
MFN Financial Corp.
5.445% due 09/13/2001 (d) 4,000 3,974
Mercury Finance Co.
10.009% due 03/23/2001 16,000 15,030
Merrill Lynch & Co.
5.190% due 10/10/2000 (d) 3,000 3,014
5.980% due 11/20/2000 10,000 10,021
5.246% due 06/18/2001 (d) 10,000 10,007
5.760% due 01/11/2002 (d) 8,550 8,567
5.688% due 02/01/2002 (d) 24,500 24,506
5.564% due 02/04/2003 (d) 6,000 6,024
Nacional Financiera
8.693% due 12/01/2000 (d) 10,000 9,950
Residential Reinsurance
9.163% due 06/01/2000 (d) 5,000 4,984
Salomon, Smith Barney Holdings
5.875% due 02/01/2001 5,000 4,978
3.650% due 02/14/2002 (f) 2,102 2,046
5.588% due 04/02/2002 (d) 3,600 3,604
5.250% due 03/26/2003 5,000 4,973
Tecnost International NV
4.487% due 06/23/2004 (d) 34,100 37,267
--------
367,688
========
Industrials 9.2%
Amerco, Inc.
6.890% due 10/15/2000 16,800 16,196
Black & Decker
6.060% due 12/20/2001 (d) 7,250 7,273
COFIRI International, Inc
5.295% due 10/27/2000 (d) 2,000 1,993
CSX Corp.
5.790% due 06/15/2000 (d) 10,000 9,981
El Paso Energy Corp.
5.960% due 07/15/2001 (d) 4,600 4,594
Limited, Inc.
6.281% due 11/22/2000 (d) 26,500 26,500
Marlin Water Trust
7.090% due 12/15/2001 4,049 4,049
Merita
5.378% due 12/01/2005 (d) 1,000 1,001
Norfolk Southern Corp.
6.700% due 05/01/2000 2,600 2,611
Petroleos Mexicanos
7.600% due 06/15/2000 2,050 2,063
9.520% due 07/15/2005 (d) 15,000 14,288
Stone Container Corp.
10.750% due 10/01/2002 3,435 3,547
TCI Communications, Inc.
6.150% due 04/03/2002 (d) 11,600 11,785
6.210% due 03/11/2003 (d) 4,000 4,086
Tenneco, Inc.
10.075% due 02/01/2001 1,400 1,452
TRW, Inc.
5.930% due 06/28/2000 (d) 8,900 8,885
Tyco International Group SA
6.203% due 03/05/2001 (d) 3,700 3,693
Williams Co., Inc.
5.950% due 02/15/2000 (d) 4,200 4,198
--------
128,195
========
Utilities 3.4%
Beaver Valley Funding Corp.
8.250% due 06/01/2003 1,804 1,824
Niagara Mohawk Power
7.125% due 07/01/2001 6,805 6,833
North Atlantic Energy
9.050% due 06/01/2002 910 924
Public Service Enterprise Group, Inc.
5.761% due 11/22/2000 (d) 15,000 15,034
Telecom Argentina
9.375% due 06/12/2000 18,100 18,213
Western Massachusetts Electric
7.750% due 12/01/2002 4,000 4,082
--------
46,910
--------
Total Corporate Bonds & Notes 542,793
(Cost $541,482) ========
U.S. GOVERNMENT AGENCIES 2.7%
Student Loan Marketing Assn.
5.483% due 01/25/2003 (d) 3,410 3,409
5.165% due 07/25/2004 (d) 383 380
5.225% due 10/25/2005 (d) 10,429 10,393
5.333% due 04/25/2006 (d) 3,814 3,798
5.395% due 01/25/2007 (d) 10,572 10,551
5.495% due 04/25/2007 (d) 9,052 9,038
--------
Total U.S. Government Agencies 37,569
(Cost $37,503) ========
U.S. TREASURY OBLIGATIONS 12.1%
Treasury Inflation Protected Securities (h)
3.625% due 07/15/2002 99,601 98,979
3.625% due 01/15/2008 10,317 9,989
U.S. Treasury Notes
5.375% due 01/31/2000 (b) 59,385 59,459
--------
Total U.S. Treasury Obligations 168,427
(Cost $168,317) ========
MORTGAGE-BACKED SECURITIES 17.5%
Collateralized Mortgage Obligations 9.3%
Bank Mart
6.883% due 03/01/2019 (d)(g) 6,149 6,261
Countrywide Home Loans
6.050% due 04/25/2029 6,600 6,520
Donaldson, Lufkin & Jenrette
7.040% due 10/17/2020 (d) 184 190
Federal Home Loan Mortgage Corp.
5.186% due 05/18/2000 (d) 20,000 19,984
7.000% due 06/15/2023 2,216 2,222
6.500% due 08/15/2023 9,709 9,612
50 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------
Federal National Mortgage Assn.
7.417% due 04/25/2020 (d) $ 24 $ 23
6.500% due 05/18/2024 4,329 4,297
GE Capital Mortgage Services, Inc.
6.300% due 09/25/2023 2,000 1,985
6.250% due 10/25/2028 1,062 1,056
Greenwich
6.657% due 10/25/2022 (d) 15 16
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2027 10,456 10,348
ICI Funding Corp. Secured Assets Corp.
7.650% due 07/25/2028 11,146 11,214
Norwest Asset Securities Corp.
6.750% due 08/25/2029 9,651 9,515
PaineWebber Mortgage
6.506% due 02/25/2001 (d) 589 587
PNC Mortgage Securities Corp.
6.625% due 03/25/2028 8,922 8,789
Residential Asset Securitization Trust
6.500% due 03/25/2029 4,792 4,647
Residential Funding Mortgage Securities, Inc.
6.140% due 03/25/2018 (d) 1,947 1,930
Resolution Trust Corp.
5.838% due 05/25/2029 (d) 174 174
Structured Asset Mortgage Investments, Inc.
9.054% due 06/25/2029 21,189 22,257
Structured Asset Securities Corp.
5.553% due 12/25/2000 (d) 1,131 1,130
TMA Mortgage Funding Trust
5.719% due 01/25/2029 6,325 6,325
--------
129,082
========
Federal Home Loan Mortgage Corporation 0.8%
6.371% due 07/01/2019 (d) 2,979 2,939
6.756% due 06/01/2022 (d) 490 505
7.030% due 12/01/2022 (d) 624 640
7.500% due 10/14/2029 7,250 7,283
8.500% due 04/01/2025-06/01/2025 (j) 197 204
--------
11,571
========
Federal National Mortgage Association 1.4%
5.730% due 05/01/2017-11/01/2028 (d)(j) 5,716 5,598
5.737% due 08/01/2029 (d) 333 325
5.740% due 07/01/2018 (d) 573 564
5.746% due 05/01/2036 (d) 271 264
5.753% due 11/01/2035 (d) 498 487
5.754% due 04/01/2018 (d) 118 116
5.758% due 05/01/2036 (d) 5,644 5,504
5.900% due 02/01/2031 (d) 99 97
6.500% due 09/01/2005 5,989 5,953
6.719% due 05/01/2022 (d) 369 380
--------
19,288
========
Government National Mortgage Association 5.4%
6.000% due 11/23/2029 (d) 20,000 19,956
6.125% due 12/20/2022-12/20/2027 (d)(j) 10,664 10,764
6.375% due 02/20/2026-02/20/2028 (d)(j) 23,525 23,773
6.625% due 07/20/2018-07/20/2023 (d)(j) 19,482 19,816
--------
74,309
========
Other Mortgage-Backed Securities 0.5%
Allied Waste North America, Inc.
8.188% due 07/30/2006 (d) 2,273 2,261
8.250% due 07/30/2007 (d) 636 636
8.438% due 07/30/2007 (d) 1,728 1,720
California Federal Savings & Loan
6.609% due 01/01/2019 (d) 27 27
Fund America
6.719% due 06/25/2023 (d) 137 141
J.P. Morgan & Co.
6.813% due 01/25/2018 (d) 614 602
Resolution Trust Corp.
6.642% due 12/25/2023 (d) 20 21
Structured Asset Securities Corp.
6.513% due 09/25/2036 (d) 990 1,010
--------
6,418
========
Stripped Mortgage-Backed Securities 0.1%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 2,897 164
7.500% due 08/15/2019 1,030 50
Federal National Mortgage Assn. (IO)
6.000% due 11/25/2000 301 9
7.000% due 07/25/2006 366 29
6.500% due 02/25/2021 (d) 3,468 267
7.000% due 07/25/2021 833 122
6.500% due 03/25/2023 4,903 574
--------
1,215
--------
Total Mortgage-Backed Securities 241,883
(Cost $242,990) ========
ASSET-BACKED SECURITIES 2.8%
AFC Home Equity Loan Trust
5.489% due 06/25/2028 (d) 13,908 13,867
Allied Waste North America, Inc.
8.438% due 07/30/2007 (d) 364 364
Argentina Funding Corp.
5.553% due 05/20/2003 (d) 16,000 16,000
Bayview Financial Acquisition
5.889% due 02/25/2029 (d) 6,634 6,638
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 1,521 1,515
--------
Total Asset-Backed Securities 38,384
(Cost $38,404) ========
SOVEREIGN ISSUES 3.0%
Air Canada
6.238% due 07/31/2005 (d) 12,000 10,560
Cemex SA
10.750% due 07/15/2000 3,650 3,741
Hydro Quebec
5.188% due 09/29/2049 (d) 1,000 831
Nacional Financiera
6.875% due 05/08/2003 (d) 1,000 955
Republic of Argentina
5.938% due 03/31/2005 (d) 186 163
11.447% due 04/10/2005 (d) 7,000 6,169
United Mexican States
6.768% due 06/27/2002 (d) 10,000 9,710
9.060% due 04/07/2004 (d) 9,000 9,050
--------
Total Sovereign Issues 41,179
(Cost $42,911) ========
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 2.1%
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 9,750 5,038
Export-Import Bank Korea
3.162% due 10/06/2000 (d) DM 11,370 6,037
Kingdom of Sweden
10.250% due 05/05/2000 SK 1,000 127
Korea Development Bank
2.560% due 06/26/2001 JY 1,000,000 9,548
United Mexican States
8.750% due 05/30/2002 BP 3,000 4,895
7.000% due 06/02/2003 C$ 6,000 3,850
--------
Total Foreign Currency-Denominated Issues 29,495
(Cost $29,438) ========
PURCHASED CALL OPTIONS 0.0%
U.S. Treasury Bond December Futures (CBOT)
Strike @ 130.00 Exp. 11/20/1999 $ 826 13
--------
Total Purchased Call Options 13
(Cost $30) ========
PURCHASED PUT OPTIONS 0.0%
Eurodollar December Futures (CME)
Strike @ 93.000 Exp. 12/13/1999 500 3
Strike @ 92.250 Exp. 12/13/1999 1,270 6
Strike @ 92.000 Exp. 12/13/1999 2,000 10
Strike @ 92.000 Exp. 12/13/1999 2,575 13
--------
Total Purchased Put Options 32
(Cost $104) ========
See accompanying notes 51
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 21.3%
Certificates of Deposit 3.0%
Sumitomo Bank
5.970% due 01/26/2000 $ 42,000 $ 42,003
-----------
Commercial Paper 15.3%
American Express Co.
5.650% due 02/09/2000 20,000 19,589
Associates First Capital Corp.
5.690% due 01/27/2000 17,600 17,272
5.750% due 01/27/2000 20,000 19,641
Bellsouth Telecom
5.620% due 02/09/2000 13,100 12,832
Coca Cola Co.
5.280% due 10/29/1999 3,300 3,286
Crown Cork & Seal Co.
6.150% due 02/09/2000 17,500 17,108
Eastman Kodak Co.
5.720% due 01/26/2000 10,000 9,822
Finova Capital Corp.
5.870% due 01/26/2000 7,000 6,875
Ford Motor Credit Corp.
5.690% due 01/26/2000 14,000 13,741
General Electric Capital Corp.
5.670% due 02/09/2000 10,000 9,794
General Motors Acceptance Corp.
5.720% due 02/04/2000 15,000 14,700
Heller Financial, Inc.
5.790% due 01/26/2000 13,900 13,653
5.790% due 02/09/2000 13,800 13,522
KFW International Finance, Inc.
5.280% due 10/13/1999 7,400 7,387
TRW, Inc.
6.220% due 02/09/2000 10,000 9,799
Williams Holdings
5.360% due 01/25/2000 20,000 19,647
Wisconsin Electric
5.280% due 10/20/1999 3,300 3,291
-----------
211,959
===========
Repurchase Agreements 1.3%
State Street Bank
4.800% due 10/01/1999 8,270 8,270
(Dated 09/30/1999. Collateralized
by Federal Home Loan Bank 6.315%
08/24/2001 valued at $8,436,887
Repurchase proceeds are $8,271,103
Daiwa Securities
5.000% due 10/01/1999 10,000 10,000
(Dated 09/30/1999. Collateralized by
U.S. Treasury Note 5.625% 12/31/1999
valued at $10,217,647. Repurchase proceeds
are $10,001,389.)
-----------
18,270
===========
U.S. Treasury Bills (b) 1.7%
4.606% due 10/14/1999-01/13/2000 23,590 23,517
-----------
Total Short-Term Instruments 295,749
(Cost $295,669) ===========
Total Investments (a) 100.6% $ 1,395,524
(Cost $1,396,848)
Written Options (c) (0.1% ) (1,576)
(Premiums $1,373)
Other Assets and Liabilities (Net)(0.5%) (7,529)
-----------
Net Assets 100.0% $ 1,386,419
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized
appreciation (depreciation) of investments based
on cost for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $ 5,641
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value (6,965)
-----------
Unrealized depreciation-net $ (1,324)
-----------
(b) Securities with an aggregate market value
of $82,976 have been segregated with the custodian
to cover margin requirements for the following
open futures contracts at September 30, 1999:
# of Unrealized
Type Contracts (Depreciation)
- ----------------------------------------------------------------------------
Eurodollar June Futures (06/2000) 216 $ (612)
Eurodollar September Futures (09/2000) 192 (586)
Eurodollar December Futures (12/2000) 61 (184)
S&P 500 Index (12/1999) 3,472 (53,745)
-----------
$ (55,127)
===========
(c) Premiums received on written options:
# of
Type Contracts Premium Value
- ---------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 120.00 Exp. 11/20/1999 652 $ 104 $ 71
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 118.00 Exp. 11/20/1999 215 43 64
Put - CBOT U.S. Treasury December Bond Futures
Strike @ 110.00 Exp. 11/20/1999 761 333 250
Put - OTC U.S. Treasury Note
5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 7,500 31 0
Put - CME Eurodollar December Futures
Strike @ 94.250 Exp. 12/13/1999 2,065 418 537
Put - CME Eurodollar December Futures
Strike @ 94.500 Exp. 12/13/1999 800 137 380
Put - CME Eurodollar December Futures
Strike @ 94.000 Exp. 12/13/1999 2,328 286 256
Put - LIFFE BP 90 Day LIBOR 09/2000
Strike @ 93.000 Exp. 9/20/2000 10,000 21 18
------------------
$ 1,373 $ 1,576
==================
(d) Variable rate security. The rate listed is as of September 30, 1999
(e) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- ---------------------------------------------------------------------------
Sell BP 3,022 10/1999 $ (10)
Sell C$ 5,773 10/1999 (46)
Sell EC 40,679 10/1999 (453)
Sell 12,843 01/2000 (246)
Sell 3,340 02/2000 25
Sell JY 1,017,009 02/2000 (202)
Sell N$ 8,553 10/1999 72
Sell 1,251 11/1999 11
Buy PZ 102,100 01/2000 (1,155)
Buy 25,000 02/2000 (341)
------------
$ (2,345)
============
52 See accompanying notes
<PAGE>
================================================================================
(f) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
EC - European Currency Unit
JY - Japanese Yen
N$ - New Zealand Dollar
PZ - Polish Zloty
SK - Swedish Krona
(g) Restricted security.
(h) Principal amount of the security is adjusted for inflation.
(i) Swap agreements outstanding at September 30, 1999:
Unrealized
Notional Appreciation/
Type Amount Depreciation
- --------------------------------------------------------------------------------
Receive total return on S&P 500 Index and pay
floating rate based on 1 month LIBOR plus 0.130%.
Broker: Morgan Stanley & Co.
Exp. 09/29/2000 $ 68,991 $ 0
Receive total return on S&P 500 Index and pay
floating rate based on 1 month LIBOR plus 0.140%
Broker: J.P. Morgan Securities, Inc.
Exp. 04/28/2000 21,000 0
Receive total return on S&P 500 Index and pay
floating rate based on 1 month LIBOR plus 0.120%
Broker: Lehman Brothers, Inc.
Exp. 06/30/2000 61,378 0
Receive total return on S&P 500 Index and pay
floating rate based on 1 month LIBOR plus 0.120%.
Broker: J.P. Morgan Securities, Inc.
Exp. 03/17/2000 99,460 0
Receive floating rate based on 6 months
LIBOR and pay floating rate based on 6
months LIBOR plus 5.950%. In the event
of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted
Notes, the Fund can put the bond to
the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/17/2001 2,400 (25)
Receive floating rate based on 6 months
LIBOR and pay floating rate based on 6
months LIBOR plus 6.150%. In the event
of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted
Notes, the Fund can put the bond to
the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 1,100 (14)
-------------
$ (39)
=============
(j) Securities grouped by coupon or range of coupons and represent a range of
maturities.
See accompanying notes 53
<PAGE>
Schedule of Investments
Strategic Balanced Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
CORPORATE BONDS & NOTES 33.0%
Banking & Finance 20.3%
AT&T Capital Corp.
7.000% due 08/15/2001 $ 300 $ 300
Bank of America Corp.
6.625% due 06/15/2004 1,000 993
Bear Stearns Co., Inc.
6.125% due 02/01/2003 1,100 1,071
Caithness Coso Fund Corp.
6.800% due 12/15/2001 2,000 1,999
Caterpillar Financial Service Corp.
6.875% due 08/01/2004 1,000 1,002
Countrywide Home Loans
6.850% due 06/15/2004 1,000 997
Edison Funding
6.050% due 12/17/1999 1,000 1,000
Finova Capital Corp.
5.426% due 06/18/2003 (d) 2,000 1,974
Ford Motor Credit Corp.
5.790% due 03/21/2001 (d) 500 500
5.570% due 07/16/2002 (d) 300 299
5.460% due 10/15/2002 (d) 1,000 995
5.670% due 12/16/2002 (d) 200 199
5.750% due 02/23/2004 1,000 961
General Motors Acceptance Corp.
5.020% due 10/22/2001 (d) 100 99
5.568% due 08/18/2003 (d) 1,000 992
5.560% due 04/05/2004 (d) 400 399
6.850% due 06/17/2004 1,000 1,001
Hyatt Equities LLC
6.800% due 05/15/2000 2,695 2,697
Lehman Brothers Holdings, Inc.
5.733% due 02/27/2001 (d) 800 801
5.823% due 06/03/2002 (d) 600 595
6.110% due 07/15/2002 (d) 305 305
Merrill Lynch & Co.
5.499% due 10/01/2003 (d) 2,000 1,998
5.920% due 03/17/2004 (d) 100 101
Nacional Financiera
8.693% due 12/01/2000 (d) 500 498
NationsBank Corp.
7.033% due 02/18/2002 (d) 100 96
New England Educational Loan Marketing
5.270% due 06/11/2001 (d) 2,000 1,997
Okobank
6.561% due 09/27/2049 (d) 500 500
Popular, Inc.
6.400% due 08/25/2000 2,000 1,998
Republic New York Corp.
5.279% due 10/28/2002 (d) 100 99
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 1,135 1,105
5.588% due 04/02/2002 (d) 200 200
Wells Fargo Co.
6.625% due 07/15/2004 1,000 994
Westdeutsche Landesbank
6.050% due 01/15/2009 3,000 2,749
---------
31,514
=========
Industrials 8.1%
AMR Corp.
10.000% due 02/01/2001 400 416
9.430% due 05/10/2001 1,000 1,038
Conagra, Inc.
5.711% due 06/12/2000 (d) 2,000 1,997
DaimlerChrysler NA Holdings
6.900% due 09/01/2004 1,000 1,005
DTE Capital Corp.
8.350% due 11/15/2038 (d) 1,000 983
El Paso Energy Corp.
5.960% due 07/15/2001 (d) 200 200
Lockheed Martin Corp.
6.850% due 05/15/2001 2,000 1,998
Norfolk Southern Corp.
6.700% due 05/01/2000 100 100
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------
Occidental Petroleum
5.776% due 04/03/2000 $ 600 $ 600
Reliant Energy, Inc.
6.375% due 11/01/2003 1,000 978
Sequa Corp.
9.625% due 10/15/1999 300 300
Tyco International Group SA
6.203% due 03/05/2001 (d) 300 299
U.S. West Capital Funding
5.960% due 06/15/2000 (d) 1,000 999
Waste Management, Inc.
6.000% due 05/15/2001 1,500 1,443
Williams Co., Inc.
5.950% due 02/15/2000 (d) 200 200
---------
12,556
=========
Utilities 4.6%
Arizona Public Service
5.750% due 09/15/2000 2,000 1,988
Cleveland Electric/Toledo Edison
7.190% due 07/01/2000 500 501
Florida Gas Transmission
8.140% due 11/01/1999 1,000 1,002
New Century Energies, Inc.
5.860% due 05/30/2000 1,000 997
System Energy Resources
7.710% due 08/01/2001 650 659
Texas Utilities Co.
6.064% due 06/25/2001 1,000 997
6.410% due 11/21/2001 1,000 995
---------
7,139
---------
Total Corporate Bonds & Notes 51,209
(Cost $51,515) =========
U.S. GOVERNMENT AGENCIES 2.9%
Student Loan Marketing Assn.
5.129% due 06/30/2000 (d) 900 899
5.483% due 01/25/2003 (d) 2,297 2,296
5.225% due 04/25/2004 (d) 220 219
5.395% due 01/25/2007 (d) 591 590
5.495% due 04/25/2007 (d) 468 467
---------
Total U.S. Government Agencies 4,471
(Cost $4,465) =========
U.S. TREASURY OBLIGATIONS 8.7%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (g)(h) 4,059 4,034
3.625% due 01/15/2008 (g) 206 200
U.S. Treasury Notes
5.500% due 02/29/2000 (b)(d) 215 215
7.000% due 07/15/2006 (d) 6,900 7,247
5.375% due 01/31/2000 (b)(d) 1,820 1,822
---------
Total U.S. Treasury Obligations 13,518
(Cost $13,486) =========
MORTGAGE-BACKED SECURITIES 34.4%
Collateralized Mortgage Obligations 14.9%
Countrywide Home Loans
6.050% due 04/25/2029 300 296
Federal Home Loan Mortgage Corp.
5.186% due 05/18/2000 (d) 1,000 999
6.500% due 11/15/2000 52 52
5.500% due 07/15/2005 183 183
10.150% due 04/15/2006 9 9
7.000% due 05/15/2023 1,704 1,607
6.500% due 08/15/2023 187 179
6.500% due 03/15/2024 300 265
Federal National Mortgage Assn.
6.740% due 08/25/2007 145 142
5.700% due 06/25/2017 1,519 1,514
9.500% due 06/25/2018 239 252
6.500% due 06/25/2021 212 204
4.000% due 01/25/2022 126 110
54 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
5.000% due 04/25/2022 $ 48 $ 43
7.000% due 06/25/2023 261 245
6.500% due 12/25/2023 145 129
First Plus Home Loan Trust
6.060% due 09/10/2011 1,000 999
GE Capital Mortgage Services, Inc.
6.250% due 12/25/2028 1,489 1,347
GMAC Commercial Mortgage Securities, Inc.
6.150% due 11/15/2007 282 274
Greenwich
6.685% due 04/25/2022 (d) 426 431
Housing Securities, Inc.
5.864% due 07/25/2032 (d) 834 834
Independent National Mortgage Corp.
7.237% due 11/25/2024 (d) 165 169
7.729% due 11/25/2024 (d) 87 89
8.350% due 06/25/2025 413 415
Morgan Stanley Capital
6.590% due 10/03/2030 944 934
Norwest Asset Securities Corp.
7.000% due 01/25/2028 2,421 2,399
6.500% due 02/25/2029 2,000 1,842
6.750% due 08/25/2029 469 462
PNC Mortgage Securities Corp.
6.625% due 03/25/2028 362 356
6.500% due 11/25/2029 1,000 921
Prudential Securities Secured Financing Corp.
6.955% due 06/15/2008 993 995
Resecuritization Mortgage Trust
5.630% due 04/26/2021 (d) 584 568
Residential Asset Securitization Trust
6.500% due 03/25/2029 240 232
Residential Funding Mortgage Securities, Inc.
6.500% due 11/25/2023 3,000 2,760
Resolution Trust Corp.
8.000% due 06/25/2026 839 847
Structured Asset Securities Corp.
5.553% due 12/25/2000 (d) 108 108
---------
23,211
=========
Federal Home Loan Mortgage Corporation 2.1%
6.500% due 10/14/2028 2,100 2,015
7.500% due 10/14/2029 1,000 1,005
8.500% due 03/01/2023 282 294
---------
3,314
=========
Federal Housing Administration 2.6%
6.000% due 03/20/2028 1,895 1,755
6.930% due 07/01/2014 (d) 544 503
7.430% due 01/25/2023 1,744 1,769
---------
4,027
=========
Federal National Mortgage Association 2.3%
5.500% due 10/14/2028 1,000 899
6.130% due 03/01/2029 (d) 382 374
6.500% due 09/01/2005 272 271
6.841% due 12/01/2023 (d) 169 174
8.500% due 07/01/2002-07/01/2025 (j) 1,776 1,838
---------
3,556
=========
Government National Mortgage Association 12.0%
6.000% due 10/21/2029 3,000 2,785
6.375% due 04/20/2023-06/20/2027 (d)(j) 1,527 1,549
6.500% due 01/15/2024-10/21/2029 (j) 5,199 4,946
6.625% due 07/20/2023-08/20/2026 (d)(j) 694 705
6.875% due 01/15/2001-02/01/2040 (j) 1,000 1,016
7.000% due 01/20/2027-11/22/2029 (d)(j) 6,736 6,601
7.250% due 08/24/2024 (d) 400 404
7.500% due 05/15/2017 6 6
8.000% due 09/15/2006-11/15/2026 (j) 263 270
9.500% due 09/15/2009-10/15/2009 (j) 97 104
10.750% due 09/15/2000-10/15/2000 (j) 27 28
16.000% due 10/15/2011-04/15/2012 (j) 151 180
---------
18,594
=========
Other Mortgage-Backed Securities 0.4%
Home Savings of America
5.464% due 05/25/2027 (d) 607 591
---------
Stripped Mortgage-Backed Securities 0.1%
Collateralized Mortgage Obligation Trust (PO)
0.000% due 04/23/2017 $ 15 $ 14
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2016 438 14
7.000% due 02/15/2017 293 5
Federal National Mortgage Assn. (IO)
6.500% due 05/25/2005 877 108
6.500% due 09/25/2008 424 38
---------
179
---------
Total Mortgage-Backed Securities 53,472
(Cost $54,171) =========
ASSET-BACKED SECURITIES 4.6%
Arcadia Automobile Receivables Trust
6.500% due 06/17/2002 500 502
Contimortgage Home Equity Loan Trust
6.370% due 10/15/2012 (d) 488 487
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 424 425
Green Tree Financial Corp.
7.860% due 04/01/2031 400 402
Money Store Home Equity Trust
6.550% due 09/15/2021 1,626 1,627
Saxon Asset Securities Trust
5.613% due 05/25/2029 (d) 2,665 2,667
WMC Mortgage Loan
5.591% due 03/20/2028 (d) 1,092 1,095
---------
Total Asset-Backed Securities 7,205
(Cost $7,201) =========
SOVEREIGN ISSUES 0.8%
Hydro Quebec
5.188% due 09/29/2049 (d) 200 166
Republic of Korea
8.281% due 04/08/2000 (d) 1,000 1,004
--------
Total Sovereign Issues 1,170
(Cost $1,165) ========
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(h) 6.3%
Commonwealth of New Zealand
10.000% due 03/15/2002 N$ 300 169
5.500% due 04/15/2003 600 301
Tecnost International NV
4.487% due 06/23/2004 (d) EC 8,600 9,399
-------
Total Foreign Currency-Denominated Issues 9,869
(Cost $9,579) =======
PURCHASED PUT OPTIONS 0.0%
Eurodollar December Futures (CME)
Strike @ 92.250 Exp. 12/13/1999 $ 88 0
-------
Total Purchased Put Options 0
(Cost $1) =======
SHORT-TERM INSTRUMENTS 29.7%
Certificates of Deposit 1.3%
Sumitomo Bank
5.970% due 01/26/2000 2,000 2,000
-------
Commercial Paper 23.1%
Alcoa
5.720% due 03/14/2000 3,500 3,408
American Express
5.730% due 02/09/2000 4,500 4,406
Bank One Corp.
5.750% due 02/09/2000 5,000 4,895
Coca Cola Co.
5.280% due 10/29/1999 300 299
Crown Cork & Seal Co.
6.150% due 02/09/2000 5,000 4,888
See accompanying notes 55
<PAGE>
Schedule of Investments (Cont.)
Strategic Balanced Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Finova Capital Corp.
5.850% due 01/26/2000 $ 5,000 $ 4,905
Goldman Sachs Group
5.720% due 02/09/2000 2,000 1,958
Heller Financial, Inc.
5.790% due 01/26/2000 1,000 981
5.790% due 02/09/2000 1,200 1,175
Monsanto Co.
5.750% due 01/26/2000 5,000 4,907
Procter & Gamble Co.
5.290% due 10/14/1999 400 399
TRW, Inc.
6.220% due 02/09/2000 900 880
US West Capital Funding
5.960% due 03/24/2000 1,000 971
Wisconsin Electric
5.280% due 10/26/1999 1,800 1,793
---------
35,865
=========
Repurchase Agreement 2.1%
State Street Bank
4.800% due 10/01/1999 3,319 3,319
(Dated 09/30/1999. Collateralized by
Federal National Mortgage Association
5.310% 05/18/2001 valued at $3,385,546
Repurchase proceeds are $3,319,443.)
U.S. Treasury Bills (b)(j) 3.2%
4.634% due 10/14/1999-02/17/2000 5,050 5,009
---------
Total Short-Term Instruments 46,193
(Cost $46,192) =========
Total Investments (a) 120.4% $ 187,107
(Cost $187,775)
Written Options (c) (0.0%) (132)
(Premiums $138)
Other Assets and Liabilities (Net)(20.4%) (31,628)
---------
Net Assets 100.0% $ 155,347
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 698
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (1,366)
---------
Unrealized depreciation-net $ (668)
---------
(b) Securities with an aggregate market value of $7,046
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar March Futures (03/2000) 1 $ (2)
Eurodollar June Futures (06/2000) 3 (7)
Eurodollar September Futures (09/2000) 19 (6)
Eurodollar December Futures (12/1999) 4 (8)
Eurodollar December Futures (12/2000) 12 2
S&P 500 Index (12/1999) 298 (4,254)
U.S. Treasury 10 Year Note (12/1999) 8 4
---------
$ (4,271)
=========
(c) Premiums received on written options:
# of
Type Contracts Premium Value
- --------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 118.00 Exp. 11/20/1999 16 $ 3 $ 5
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 120.00 Exp. 11/20/1999 73 16 7
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 110.00 Exp. 11/20/1999 79 34 25
Put - OTC U.S. Treasury Note
5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 600 2 0
Call - OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 100.469 Exp. 11/08/1999 10 6 0
Put- OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 99.594 Exp. 11/20/1999 10 6 0
Put - CME Eurodollar December Futures
Strike @ 94.000 Exp. 12/13/1999 133 17 15
Put - CME Eurodollar December Futures
Strike @ 94.250 Exp. 12/13/1999 130 25 34
Put - CME Eurodollar December Futures
Strike @ 94.500 Exp. 12/13/1999 63 11 30
Put - CME Eurodollar December Futures
Strike @ 93.500 Exp. 12/18/2000 43 18 16
--------------------
$ 138 $ 132
====================
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount
Covered by Settlement Unrealized
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell EC 3,682 10/1999 $ (41)
Sell 5,149 11/1999 (95)
--------
$ (136)
========
(f) Principal amount denoted in indicated currency:
EC - European Currency Unit
N$ - New Zealand Dollar
(g) Principal amount of the security is adjusted for inflation.
(h) Subject to a financing transaction.
(i) Swap agreements outstanding at September 30, 1999:
Notional Unrealized
Type Amount Appreciation
- --------------------------------------------------------------------------------
Receive total return on S&P 500 Index and pay floating rate based on 1 month
LIBOR plus 0.12% .
Broker: Lehman Brothers
Exp. 07/31/2000 $ 7,615 $ 0
(j) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
56 See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
CORPORATE BONDS & NOTES 43.1%
Banking & Finance 27.5%
Abbey National PLC
6.700% due 06/29/2049 $ 5,000 $ 4,559
Abbey National Treasury Service
6.625% due 05/23/2001 240 241
ABN-AMRO Bank NV
7.250% due 05/31/2005 150 151
Aetna, Inc.
7.250% due 08/15/2023 50 45
Ahmanson (H.F.) & Co.
7.650% due 04/15/2000 175 177
Allstate Corp.
6.750% due 05/15/2018 280 255
6.900% due 05/15/2038 60,400 53,008
American Express
8.500% due 08/15/2001 350 364
5.625% due 01/22/2004 8,700 8,402
6.250% due 08/10/2005 1,000 992
American General Finance
7.250% due 04/15/2000 500 503
6.270% due 06/09/2000 800 801
5.875% due 07/01/2000 75 75
6.050% due 07/02/2001 3,000 2,982
7.450% due 07/01/2002 200 204
6.250% due 12/18/2002 1,080 1,065
6.375% due 03/01/2003 350 345
AON Capital Trust `A'
8.205% due 01/01/2027 725 717
Aristar, Inc.
7.375% due 09/01/2004 20,000 20,085
Associates Corp. of North America
6.750% due 10/15/1999 90 90
7.850% due 10/20/1999 500 500
8.250% due 12/01/1999 200 201
7.250% due 12/17/1999 660 662
7.470% due 03/27/2000 1,000 1,006
6.000% due 06/15/2000 2,684 2,684
6.310% due 06/16/2000 500 501
6.250% due 09/15/2000 200 200
6.625% due 05/15/2001 300 301
6.700% due 05/29/2001 100 101
6.750% due 07/15/2001 24,000 24,154
7.000% due 07/23/2001 500 504
5.596% due 08/27/2001 (d) 13,500 13,466
6.450% due 10/15/2001 23,600 23,627
7.500% due 04/15/2002 185 189
6.500% due 07/15/2002 750 749
5.750% due 11/01/2003 4,175 4,021
5.800% due 04/20/2004 150 144
6.000% due 07/15/2005 60,365 57,485
Associates First Capital Corp.
6.000% due 12/01/2002 500 492
AT&T Capital Corp.
6.230% due 10/15/1999 2,000 2,000
6.160% due 12/03/1999 1,000 1,000
6.470% due 12/03/1999 45 45
5.650% due 03/21/2000 (d) 40,100 40,082
7.500% due 11/15/2000 5,000 5,034
6.875% due 01/16/2001 230 230
6.800% due 02/01/2001 24,900 24,869
6.250% due 05/15/2001 3,000 2,968
7.000% due 08/15/2001 10,300 10,295
6.900% due 01/30/2002 1,000 996
6.750% due 02/04/2002 1,925 1,908
5.561% due 04/23/2002 (d) 74,000 72,571
AVCO Financial Services
6.350% due 09/15/2000 100 100
7.375% due 08/15/2001 300 305
Banco Latino Americano SA
6.310% due 10/18/1999 1,700 1,700
Banco Nacional de Comercio Exterior
8.000% due 04/14/2000 4,600 4,612
7.250% due 02/02/2004 6,590 5,980
Banesto Delaware
8.250% due 07/28/2002 28,900 29,984
Bank of Hawaii
6.875% due 06/01/2003 750 753
Bank One Corp.
5.360% due 04/19/2001 (d) 2,000 2,007
5.126% due 09/04/2001 (d) 14,000 13,896
5.364% due 06/26/2002 (d) 4,000 3,987
BankAmerica Corp.
5.375% due 04/15/2000 750 748
5.098% due 02/26/2001 (d) 3,000 2,995
5.175% due 03/05/2001 (d) 36,000 35,889
5.093% due 02/20/2002 (d) 35,180 35,100
8.125% due 06/15/2002 350 365
7.750% due 07/15/2002 360 371
7.200% due 09/15/2002 1,000 1,017
7.500% due 10/15/2002 1,000 1,025
6.850% due 03/01/2003 65 65
6.875% due 06/01/2003 100 100
8.950% due 11/15/2004 500 501
6.375% due 05/15/2005 1,000 968
7.125% due 05/01/2006 500 500
8.375% due 05/01/2007 2 2
8.570% due 11/15/2024 125 140
BankBoston Corp.
6.125% due 03/15/2002 12,500 12,317
Bankers Trust Corp.
9.400% due 03/01/2001 385 398
6.750% due 10/03/2001 500 502
8.125% due 05/15/2002 300 309
5.373% due 07/03/2002 (d) 10,000 9,978
7.125% due 07/31/2002 150 151
5.525% due 05/11/2003 (d) 82,800 82,719
6.000% due 10/15/2008 500 455
Banponce Financial Corp.
6.463% due 11/13/2001 13,000 12,918
Bayerische Landesbank NY
6.170% due 05/17/2000 (d) 306,000 304,184
6.200% due 02/09/2006 250 240
Bear Stearns Co., Inc.
6.750% due 08/15/2000 50 50
5.760% due 08/25/2000 (d) 6,300 6,342
5.830% due 08/29/2000 (d) 39,800 40,105
5.800% due 01/02/2001 (d) 3,400 3,411
6.224% due 02/06/2001 (d) 2,900 2,907
5.580% due 02/16/2001 (d) 2,000 2,003
5.575% due 03/02/2001 (d) 7,500 7,513
5.499% due 01/28/2002 (d) 11,250 11,228
5.280% due 04/05/2002 (d) 25,000 24,996
5.688% due 08/01/2002 (d) 52,500 52,343
6.125% due 02/01/2003 25 24
6.750% due 04/15/2003 105 104
5.694% due 05/06/2003 (d) 13,000 12,985
5.778% due 05/16/2003 (d) 30,000 29,957
5.631% due 07/22/2003 (d) 19,000 18,941
6.150% due 03/02/2004 150 145
8.750% due 03/15/2004 75 80
5.923% due 06/01/2004 (d) 9,265 9,251
6.625% due 10/01/2004 250 245
5.551% due 03/18/2005 (d) 37,000 37,003
6.250% due 07/15/2005 25,000 23,825
6.750% due 12/15/2007 2,000 1,921
Bell Atlantic Financial
5.750% due 04/01/2003 1,500 1,506
Beneficial Corp.
5.950% due 07/25/2000 5,000 5,004
5.920% due 01/09/2001 (d) 13,000 12,987
5.359% due 01/09/2002 (d) 500 501
5.170% due 01/23/2002 (d) 5,000 4,993
5.241% due 03/01/2002 (d) 40,000 39,997
8.000% due 06/18/2002 400 412
6.030% due 01/14/2003 320 314
Bombardier Capital, Inc.
6.000% due 01/15/2002 28,000 27,443
See accompanying notes 57
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Caithness Coso Fund Corp.
6.800% due 12/15/2001 $ 23,000 $ 22,989
Capital One Bank
6.001% due 07/28/2003 (d) 2,200 2,197
Case Credit Corp.
5.840% due 02/27/2000 4,000 3,994
Caterpillar Financial Service Corp.
5.093% due 05/27/2001 (d) 10,000 9,988
6.480% due 12/12/2001 575 574
5.299% due 02/11/2002 (d) 700 697
Central Hispano Financial Services
5.496% due 04/28/2005 (d) 5,000 5,018
Chase Manhattan Corp.
8.500% due 02/15/2002 200 209
5.750% due 04/15/2004 150 144
6.000% due 02/15/2009 800 737
Chemical Banking Corp.
6.125% due 11/01/2008 400 372
Chrylser Financial Co. LLC
9.500% due 12/15/1999 900 907
8.460% due 01/19/2000 700 704
5.630% due 07/28/2000 (d) 13,600 13,573
6.625% due 08/15/2000 300 302
5.860% due 01/16/2001 500 498
5.410% due 06/11/2001 (d) 21,400 21,388
5.690% due 11/15/2001 150 148
5.400% due 01/15/2002 15,250 14,870
5.404% due 07/17/2002 (d) 20,000 19,972
5.520% due 08/08/2002 (d) 34,000 33,971
5.459% due 02/03/2003 (d) 25,000 24,942
5.449% due 03/06/2003 (d) 25,000 25,143
5.439% due 03/10/2003 (d) 10,000 10,057
5.399% due 06/18/2003 35,000 34,925
Chubb Capital Corp.
8.750% due 11/15/1999 40 40
6.875% due 02/01/2003 100 102
Cigna Corp.
8.250% due 01/01/2007 250 263
Cincinnati Financial Corp.
6.900% due 05/15/2028 34,125 31,054
CIT Group, Inc.
6.200% due 10/20/2000 1,225 1,223
6.750% due 05/14/2001 30,000 30,120
Citicorp
5.293% due 11/28/2000 (d) 5,000 5,005
5.593% due 02/01/2001 (d) 10,000 10,018
5.625% due 02/15/2001 1,000 992
5.173% due 05/24/2001 (d) 89,000 88,879
5.570% due 09/17/2001 (d) 65 65
5.080% due 11/13/2001 (d) 10,000 9,985
5.314% due 06/27/2002 (d) 11,450 11,402
5.090% due 08/15/2002 (d) 11,500 11,467
5.125% due 11/12/2002 (d) 30,000 29,933
8.000% due 02/01/2003 250 259
7.125% due 09/01/2005 400 400
7.250% due 09/01/2008 500 501
Citifinancial
6.500% due 08/01/2004 400 396
Comerica, Inc.
7.250% due 06/15/2007 200 200
Commercial Credit Co.
6.750% due 05/15/2000 100 101
6.000% due 06/15/2000 300 301
5.550% due 02/15/2001 1,300 1,293
8.250% due 11/01/2001 2,500 2,601
6.875% due 05/01/2002 335 340
7.750% due 03/01/2005 550 574
Conseco Finance Trust
8.796% due 04/01/2027 125 110
Countrywide Home Loans
6.250% due 04/15/2009 600 552
Credit Asset Receivable
6.274% due 10/31/2003 46,489 45,592
Daiwa Securities
6.226% due 09/29/2049 (d) 10,000 7,600
Dean Witter Discover
5.628% due 06/27/2000 (d) 1,900 1,896
6.750% due 08/15/2000 100 100
Deutsche Bank Financial
7.500% due 04/25/2009 3,000 3,004
7.872% due 12/29/2049 5,000 4,783
Donaldson, Lufkin & Jenrette
5.760% due 09/18/2002 (d) 13,600 13,566
6.170% due 07/15/2003 20,000 19,523
Dow Capital BV
7.125% due 01/15/2003 100 101
Dresdner Funding Trust
8.151% due 06/30/2031 12,500 11,759
Duke Capital Corp.
7.250% due 10/01/2004 19,000 19,071
Edison Funding
6.050% due 12/17/1999 8,000 8,001
6.000% due 12/20/1999 14,900 14,841
6.150% due 09/18/2000 12,500 12,501
ERAC USA Finance Co.
8.750% due 12/15/1999 8,500 8,552
Exxon Capital Corp.
7.450% due 12/15/2001 250 257
Finova Capital Corp.
5.760% due 04/08/2003 (d) 300 299
First Chicago Corp.
5.235% due 03/11/2002 (d) 10,000 10,001
5.140% due 02/18/2003 (d) 10,000 9,906
5.121% due 07/28/2003 (d) 50 50
First Interstate Bancorp
8.875% due 01/01/2009 (j) 174 178
First Union Corp.
7.100% due 08/15/2004 3,000 3,010
6.375% due 01/15/2009 500 468
Fleet Financial Group
9.900% due 06/15/2001 200 211
Ford Motor Credit Corp.
6.375% due 10/06/2000 1,000 1,002
7.020% due 10/10/2000 71,250 71,932
6.250% due 11/08/2000 750 751
5.316% due 03/05/2001 (d) 5,000 4,999
7.020% due 06/07/2001 1,000 1,011
5.140% due 07/13/2001 (d) 36,500 36,732
5.596% due 08/27/2001 (d) 27,500 27,466
5.206% due 09/03/2001 (d) 14,000 13,976
7.000% due 09/25/2001 1,125 1,136
5.430% due 10/15/2001 (d) 13,000 12,980
5.435% due 01/17/2002 (d) 53,945 53,778
8.200% due 02/15/2002 500 518
6.500% due 02/28/2002 1,710 1,706
5.663% due 03/19/2002 28,208 28,239
5.156% due 04/29/2002 (d) 33,000 32,861
7.320% due 05/23/2002 14,000 14,045
5.248% due 06/04/2002 (d) 2,000 1,990
5.570% due 07/16/2002 (d) 86,180 86,020
6.550% due 09/10/2002 4,000 3,985
5.460% due 10/15/2002 (d) 14,000 13,935
7.750% due 11/15/2002 5,730 5,917
5.670% due 12/16/2002 (d) 56,000 55,664
6.000% due 01/14/2003 1,000 978
7.500% due 01/15/2003 250 255
5.135% due 02/03/2003 (d) 30,000 29,823
5.100% due 02/13/2003 (d) 100,000 99,742
5.565% due 02/13/2003 (d) 195,985 194,770
6.125% due 04/28/2003 25,580 25,069
6.625% due 06/30/2003 775 770
5.750% due 02/23/2004 290 279
5.266% due 06/02/2004 (d) 1,500 1,490
6.700% due 07/16/2004 91,010 90,533
8.250% due 02/23/2005 2,500 2,655
5.184% due 04/28/2005 (d) 50,000 49,568
6.125% due 01/09/2006 25 24
5.800% due 01/12/2009 155 141
9.500% due 06/01/2010 200 232
58 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Fuji Bank
9.870% due 12/31/2049 (d) $ 7,600 $ 7,714
General Electric Capital Corp.
6.875% due 04/15/2000 200 201
8.375% due 03/01/2001 1,415 1,455
6.020% due 05/04/2001 1,000 998
5.500% due 11/01/2001 50 49
5.650% due 03/31/2003 125 122
6.210% due 12/09/2005 400 388
8.300% due 09/20/2009 150 164
General Motors Acceptance Corp.
8.170% due 01/02/2000 225 231
5.475% due 01/12/2000 (d) 10,000 10,005
6.500% due 01/17/2000 46,110 46,211
6.875% due 06/01/2000 4,250 4,282
7.500% due 06/09/2000 1,000 1,010
5.330% due 10/20/2000 1,000 993
5.330% due 11/20/2000 66,690 66,699
5.500% due 01/16/2001 15,000 14,881
8.625% due 01/18/2001 15,000 15,453
8.500% due 01/19/2001 3,675 3,783
5.800% due 04/09/2001 8,340 8,286
6.800% due 04/17/2001 4,800 4,840
5.950% due 04/20/2001 22,150 22,049
6.700% due 04/30/2001 3,000 3,019
7.125% due 05/01/2001 44,395 44,967
6.750% due 06/05/2001 880 886
6.875% due 07/15/2001 1,000 1,010
5.248% due 08/23/2001 (d) 12,500 12,531
5.020% due 10/22/2001 (d) 25,000 24,867
5.861% due 11/26/2001 (d) 19,000 19,116
6.375% due 12/01/2001 265 265
5.619% due 12/10/2001 (d) 2,200 2,190
9.625% due 12/15/2001 5,650 6,020
5.895% due 12/17/2001 (d) 13,000 13,078
5.410% due 01/08/2002 (d) 3,000 3,004
6.625% due 01/10/2002 500 500
6.750% due 02/07/2002 1,590 1,600
5.690% due 03/15/2002 (d) 10,215 10,240
7.750% due 03/25/2002 125 129
5.438% due 04/29/2002 (d) 218,544 218,367
7.000% due 09/15/2002 250 253
6.625% due 10/01/2002 5,000 4,989
5.540% due 11/12/2002 (d) 10,200 10,133
6.200% due 12/15/2002 500 492
6.000% due 01/15/2003 990 969
5.875% due 01/22/2003 30,500 29,675
6.750% due 03/15/2003 40,125 40,132
7.125% due 05/01/2003 36,000 36,384
5.568% due 08/18/2003 (d) 47,640 47,255
5.550% due 09/15/2003 32,000 30,676
6.149% due 09/20/2003 (d) 10,000 10,000
6.625% due 10/20/2003 2,000 1,990
5.750% due 11/10/2003 1,000 962
5.560% due 04/05/2004 (d) 27,900 27,802
5.250% due 05/28/2004 (d) 73,000 73,306
6.109% due 09/20/2004 (d) 21,277 21,277
6.650% due 11/17/2005 500 492
6.150% due 04/05/2007 150 143
8.950% due 07/02/2009 21,500 22,933
Golden State Holdings
6.750% due 08/01/2001 1,950 1,909
Goldman Sachs Group
5.200% due 11/21/2000 (d) 20,000 19,975
5.258% due 11/24/2000 (d) 108,000 108,304
6.200% due 12/15/2000 6,500 6,485
5.329% due 12/22/2000 (d) 17,000 16,963
5.490% due 01/09/2001 (d) 105,000 105,252
5.740% due 01/16/2001 (d) 34,000 34,036
5.468% due 01/25/2001 (d) 77,000 76,870
5.230% due 02/20/2001 (d) 3,000 3,009
5.600% due 04/16/2001 (d) 18,000 17,938
5.366% due 12/07/2001 (d) 25,000 24,950
5.439% due 12/24/2001 (d) 900 898
5.400% due 02/18/2002 (d) 2,300 2,311
5.640% due 01/16/2003 (d) 10,000 10,047
5.690% due 02/10/2004 10,000 9,834
5.700% due 02/09/2009 (d) 10,000 10,342
Hansol Paper Co. Limited
7.079% due 05/24/2001 (d) 20,000 20,002
Hartford Life
6.900% due 06/15/2004 600 597
7.650% due 06/15/2027 15,000 14,604
Helicon Group
11.000% due 11/01/2003 (d) 11,800 12,228
Heller Financial, Inc.
5.179% due 08/25/2000 (d) 15,000 15,022
5.846% due 09/25/2000 (d) 14,500 14,481
5.720% due 02/05/2001 5,000 4,996
6.250% due 03/01/2001 25,000 24,905
5.478% due 06/25/2001 (d) 70,050 69,841
5.750% due 09/25/2001 1,400 1,375
6.500% due 11/01/2001 250 249
5.159% due 05/06/2002 (d) 2,000 2,006
5.459% due 06/24/2002 (d) 5,100 5,097
5.225% due 04/28/2003 (d) 17,000 17,099
5.571% due 04/28/2003 (d) 49,200 49,200
Hitachi Credit America
5.125% due 05/15/2000 25,000 25,021
5.250% due 07/07/2000 (d) 40,000 40,071
Home Savings of America
6.000% due 11/01/2000 14,175 14,080
Household Bank
5.424% due 09/26/2001 (d) 9,000 9,011
5.188% due 10/22/2003 (d) 15,000 14,926
Household Capital Trust
5.350% due 06/26/2004 (d) 13,925 13,621
Household Finance Corp.
5.631% due 06/22/2001 (d) 3,000 2,999
5.145% due 08/01/2001 (d) 1,500 1,499
5.145% due 11/01/2001 (d) 5,000 4,992
5.125% due 05/07/2002 (d) 40,850 40,820
5.249% due 05/24/2002 (d) 113,800 113,575
7.080% due 06/03/2002 15,000 15,214
5.875% due 11/01/2002 200 194
5.439% due 06/24/2003 35,000 34,945
5.775% due 06/24/2003 (d) 31,000 30,941
7.000% due 08/01/2003 20,000 20,053
6.500% due 11/15/2008 2,000 1,885
Household Netherlands BV
6.125% due 03/01/2003 18,100 17,610
Hyatt Equities LLC
6.800% due 05/15/2000 1,040 1,041
Inter-American Development Bank
8.875% due 06/01/2009 200 229
International Lease Finance
5.750% due 12/15/1999 50 50
7.000% due 05/15/2000 500 503
6.420% due 09/11/2000 500 501
5.930% due 07/15/2003 14,000 13,680
J.P. Morgan & Co.
5.750% due 02/25/2004 22,800 21,907
6.250% due 12/15/2005 200 193
6.000% due 01/15/2009 29,000 26,539
Key Bank NA
7.550% due 09/15/2006 350 357
Kimco Realty Corp.
6.500% due 10/01/2003 200 194
Korea Development Bank
6.250% due 05/01/2000 5,000 4,980
7.375% due 09/17/2004 15,000 14,616
6.750% due 12/01/2005 55 51
7.250% due 05/15/2006 50 47
Korean Export-Import Bank
6.500% due 10/06/1999 8,000 8,000
6.500% due 02/10/2002 9,200 8,958
LB Rheinland
5.000% due 02/23/2028 3,400 3,213
Lehman Brothers Holdings, Inc.
5.869% due 07/27/2000 (d) 8,000 8,006
See accompanying notes 59
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------------
5.390% due 08/11/2000 (d) 30,000 30,138
6.400% due 08/30/2000 200 200
6.500% due 09/25/2000 11,200 11,201
5.614% due 09/26/2000 (d) 5,000 4,990
5.375% due 11/06/2000 (d) $ 30,910 $ 30,918
5.845% due 12/01/2000 (d) 500 500
6.125% due 02/01/2001 2,000 1,984
5.530% due 02/20/2001 1,500 1,501
5.733% due 02/27/2001 (d) 79,400 79,512
5.405% due 06/01/2001 (d) 101,600 101,348
6.249% due 04/02/2002 (d) 60,050 60,015
6.375% due 05/07/2002 26,395 26,060
6.073% due 05/07/2002 (d) 42,100 42,222
6.110% due 07/15/2002 (d) 43,051 43,045
5.320% due 08/12/2002 (d) 6,500 6,455
5.813% due 08/28/2002 (d) 6,500 6,528
5.369% due 09/03/2002 (d) 14,000 14,010
7.000% due 05/15/2003 150 149
6.625% due 04/01/2004 65 63
7.625% due 06/01/2006 350 350
8.500% due 05/01/2007 1,475 1,546
LG&E Capital Corp.
6.460% due 01/15/2008 3,000 2,891
Liberty Mutual Insurance
8.200% due 05/04/2007 17,510 17,534
Marine Midland
5.250% due 12/16/2000 (d) 3,700 3,693
MBNA Corp.
5.451% due 12/01/1999 (d) 62,600 62,532
5.145% due 05/01/2000 (d) 400 400
5.445% due 09/13/2001 (d) 10,300 10,233
5.538% due 04/25/2002 (d) 1,000 992
6.990% due 05/24/2002 1,000 1,003
5.566% due 09/10/2002 (d) 5,000 4,959
5.471% due 12/10/2002 2,100 2,061
6.875% due 07/15/2004 46,000 45,091
MCN Investment Corp.
6.030% due 02/01/2001 6,850 6,764
7.120% due 01/16/2004 7,500 7,381
6.300% due 04/02/2011 7,500 7,444
Mellon Bank Corp.
6.500% due 08/01/2005 75 73
Mellon Financial Co.
6.300% due 06/01/2000 250 250
Mercury Finance Co.
10.000% due 03/23/2001 2,050 1,937
Merrill Lynch & Co.
8.250% due 11/15/1999 250 251
6.620% due 06/06/2000 500 502
6.450% due 06/20/2000 350 351
6.250% due 07/25/2000 490 491
5.566% due 09/25/2000 (d) 5,000 5,006
5.790% due 12/05/2000 (d) 89,000 89,048
6.000% due 03/01/2001 325 323
6.500% due 04/01/2001 400 400
6.750% due 04/30/2001 2,775 2,795
5.110% due 05/08/2001 54,900 55,014
5.243% due 05/30/2001 (d) 3,800 3,796
5.168% due 06/04/2001 (d) 30,000 29,874
5.393% due 11/01/2001 (d) 35,000 34,892
5.080% due 11/09/2001 (d) 10,000 10,002
5.410% due 01/15/2002 (d) 17,000 17,020
5.688% due 02/01/2002 (d) 33,000 33,008
8.000% due 02/01/2002 400 412
7.375% due 08/17/2002 300 306
8.300% due 11/01/2002 200 209
6.000% due 02/12/2003 500 489
6.875% due 03/01/2003 140 141
5.339% due 06/24/2003 (d) 27,000 26,851
5.499% due 10/01/2003 (d) 9,500 9,490
5.880% due 01/15/2004 600 579
6.550% due 08/01/2004 100 99
7.000% due 03/15/2006 1,500 1,480
6.560% due 12/16/2007 50 48
7.000% due 04/27/2008 100 98
6.375% due 10/15/2008 17,000 16,121
Metropolitan Life Insurance Co.
6.300% due 11/01/2003 6,800 6,612
Mexico Credit Link
10.508% due 02/22/2002 (d) $ 29,500 $ 30,749
MIC Financing Trust
8.375% due 02/01/2027 36,000 33,496
Morgan Stanley Capital
6.375% due 12/15/2003 150 148
7.460% due 02/15/2020 11,450 11,580
Morgan Stanley, Dean Witter,
Discover and Co.
5.820% due 06/19/2000 (d) 152,000 151,762
6.040% due 11/13/2000 (d) 5,000 5,017
5.278% due 02/06/2001 1,190 1,190
5.750% due 02/15/2001 400 397
5.643% due 04/16/2001 (d) 25,000 24,984
6.700% due 05/01/2001 600 604
9.375% due 06/15/2001 300 314
5.315% due 12/19/2001 (d) 19,700 19,691
5.460% due 04/15/2002 (d) 300 300
5.699% due 03/11/2003 (d) 11,500 11,449
5.625% due 01/20/2004 400 382
5.250% due 04/22/2004 (d) 55,000 55,001
Nacional Financiera
8.000% due 06/19/2000 4,500 4,514
8.693% due 12/01/2000 (d) 25,250 25,124
NationsBank Corp.
6.750% due 02/26/2001 500 504
7.000% due 09/15/2001 1,500 1,514
5.294% due 06/17/2002 (d) 10,000 9,991
6.125% due 07/15/2004 600 580
NCNB Corp.
7.750% due 08/01/2002 796 797
Newcourt Credit Group
6.875% due 02/16/2005 7,500 7,358
Nordstom Credit, Inc.
7.250% due 04/30/2002 1,000 1,015
Norwest Financial, Inc.
6.250% due 11/01/2002 100 99
7.000% due 01/15/2003 300 303
6.000% due 02/01/2004 50 49
Okobank
5.398% due 05/23/2006 (d) 10,000 9,944
Orix Credit Alliance
7.640% due 09/17/2001 13,000 13,002
Osprey Trust
8.310% due 01/15/2003 75,000 75,469
Paccar Financial Corp.
6.740% due 09/15/2000 250 251
PaineWebber
5.455% due 10/04/1999 4,000 3,998
7.000% due 03/01/2000 200 201
6.950% due 03/31/2000 120 120
5.405% due 02/18/2002 (d) 5,000 4,954
5.525% due 05/20/2002 (d) 1,000 992
PDVSA Finance Limited
7.400% due 08/15/2016 1,200 892
Pemex Finance Ltd.
6.125% due 11/15/2003 15,000 14,703
PNC Bank Corp.
5.130% due 06/01/2000 (d) 217,000 216,834
5.483% due 01/24/2002 (d) 49,000 48,849
5.331% due 08/15/2002 (d) 5,000 4,996
PNC Funding Corp.
6.875% due 03/01/2003 100 100
7.000% due 09/01/2004 15,000 14,967
Popular, Inc.
6.400% due 08/25/2000 11,123 11,109
6.550% due 10/10/2000 2,485 2,484
7.375% due 09/15/2001 25,000 25,064
6.625% due 01/15/2004 19,500 19,034
Prudential Funding Corp.
4.990% due 08/01/2000 (d) 2,000 1,997
60 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Prudential Insurance Co.
6.375% due 07/23/2006 $ 35,000 $ 33,043
Prudential Property Investment
6.625% due 04/01/2009 17,000 15,872
PSE&G Capital Corp.
6.740% due 10/23/2001 1,400 1,401
Reliance Group Holdings
9.000% due 11/15/2000 19,000 19,300
9.750% due 11/15/2003 10,000 8,875
Residential Reinsurance
9.163% due 06/01/2000 (d) 13,300 13,246
Safeco Corp.
7.260% due 08/12/2002 500 510
Sakura Capital Funding
7.320% due 08/29/2049 20,000 17,800
Salomon, Inc.
6.625% due 11/30/2000 235 236
6.650% due 07/15/2001 600 603
7.000% due 03/04/2002 18,850 19,073
5.400% due 05/16/2002 (d) 23,000 23,018
Salomon, Smith Barney Holdings
5.875% due 02/01/2001 4,000 3,982
5.980% due 03/26/2001 250 249
3.650% due 02/14/2002 (f) 17,866 17,392
5.510% due 04/15/2002 (d) 35,090 35,010
5.180% due 05/14/2002 (d) 26,715 26,685
5.571% due 07/23/2002 (d) 53,400 53,297
6.125% due 01/15/2003 290 284
Sanwa Business Credit
6.540% due 06/20/2000 1,000 1,004
Sears Roebuck Acceptance
5.479% due 06/27/2000 (d) 5,000 5,001
7.110% due 06/19/2001 1,000 1,004
6.860% due 08/06/2001 400 400
6.360% due 12/04/2001 290 287
6.120% due 12/13/2001 260 258
6.950% due 05/15/2002 300 300
6.000% due 03/20/2003 149,750 144,732
7.140% due 05/02/2003 5,000 4,995
6.560% due 11/20/2003 1,178 1,150
6.700% due 11/15/2006 500 478
Security Pacific Corp.
6.000% due 05/01/2000 600 600
11.500% due 11/15/2000 4,000 4,208
Societe Generale
7.400% due 06/01/2006 1,500 1,484
Steers
9.123% due 08/07/2002 (d) 20,000 20,016
Sumitomo
8.500% due 06/15/2009 100 103
9.400% due 12/29/2049 (d) 24,550 24,737
Sun Life of Canada (U.S.)
8.526% due 05/29/2049 250 243
Tecnost International NV
4.487% due 06/23/2004 (d) 44,000 48,087
Telewest Credit Links
7.500% due 04/16/2004 30,000 29,156
Textron Financial Corp.
5.393% due 05/28/2002 (d) 41,900 41,733
Tokai Capital Corp.
9.980% due 12/29/2049 (d) 13,050 13,335
Toyota Motor Credit Corp.
5.967% due 02/15/2002 40,000 38,630
TPSA Finance BV
7.125% due 12/10/2003 12,200 12,024
7.750% due 12/10/2008 10,000 9,728
Transamerica Corp.
5.405% due 09/17/2001 (d) 20,000 20,084
6.125% due 11/01/2001 24,000 23,633
7.250% due 08/15/2002 79,000 79,715
7.500% due 03/15/2004 270 273
6.750% due 11/15/2006 650 631
Travelers Group, Inc.
7.200% due 02/01/2004 38,480 38,767
Trizec Finance Limited
10.875% due 10/15/2005 $ 2,489 $ 2,601
TXU Eastern Funding
6.150% due 05/15/2002 53,800 52,445
U.S. Bancorp
5.409% due 01/16/2002 (d) 49,000 48,953
Wachovia Corp.
7.000% due 12/15/1999 100 100
Washington Mutual, Inc.
6.375% due 07/01/2000 3,000 3,008
Wells Fargo & Co.
5.625% due 02/05/2001 400 397
8.750% due 05/01/2002 100 105
6.625% due 07/15/2004 51,100 50,797
Westdeutsche Landesbank
6.750% due 06/15/2005 4,000 3,933
6.050% due 01/15/2009 52,000 47,658
---------
8,048,635
---------
Industrials 9.7%
Akzo Nobel, Inc.
6.000% due 11/15/2003 32,000 31,008
Albertson's, Inc.
6.375% due 06/01/2000 150 151
Allied Waste North America, Inc.
7.375% due 01/01/2004 18,925 17,411
Amerco, Inc.
7.135% due 10/15/2002 15,000 14,418
American Airlines
10.610% due 03/04/2011 1,895 2,271
6.870% due 07/02/2018 1,990 1,778
American Home Products Corp.
7.700% due 02/15/2000 550 553
Amerigas Partners LP
10.125% due 04/15/2007 1,730 1,795
AMR Corp.
9.750% due 03/15/2000 1,050 1,066
10.610% due 01/11/2001 4,000 4,183
10.570% due 01/15/2001 3,000 3,143
10.590% due 01/31/2001 3,000 3,148
10.000% due 02/01/2001 2,000 2,081
9.400% due 05/08/2001 3,000 3,114
9.500% due 05/15/2001 2,250 2,339
9.130% due 10/25/2001 2,000 2,079
8.470% due 02/20/2002 2,000 2,064
8.500% due 02/26/2002 1,000 1,033
10.210% due 01/01/2010 6,500 7,558
AT&T Canada, Inc.
10.750% due 11/01/2007 1,000 830
Baxter International, Inc.
9.500% due 06/15/2008 200 230
Bayer Corp.
6.500% due 10/01/2002 250 251
Bellat Racers
5.500% due 04/01/2003 20,000 19,969
Bellsouth Telecommunication
6.000% due 06/15/2002 10,000 9,917
BOC Group PLC
5.875% due 01/29/2001 250 249
Boeing Co.
8.375% due 02/15/2001 900 924
6.350% due 06/15/2003 750 742
Boise Cascade Co.
9.900% due 03/15/2000 275 279
BP Amoco PLC
6.250% due 10/15/2004 1,000 994
Bresnan Communications
8.000% due 02/01/2009 3,500 3,439
Browning-Ferris Industries, Inc.
6.080% due 01/18/2002 (d) 51,750 51,445
6.100% due 01/15/2003 6,000 5,433
Campbell Soup Co.
4.750% due 10/01/2003 500 472
Canadian Pacific Limited
9.450% due 08/01/2021 2,750 3,150
See accompanying notes 61
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Case Credit Corp.
5.209% due 05/05/2000 (d) $ 10,000 $ 10,006
Cemex SA
10.000% due 11/05/1999 1,000 1,002
8.500% due 08/31/2000 10,000 10,047
9.250% due 06/17/2002 48,500 48,985
Centerior Fuel Corp.
9.750% due 08/02/2000 (j) 8,000 8,180
Century Communications Corp.
9.500% due 08/15/2000 6,000 6,068
0.000% due 03/15/2003 10,515 7,439
CF Cable TV, Inc.
9.125% due 07/15/2007 1,600 1,737
Circus Circus Enterprises
6.750% due 07/15/2003 4,500 4,118
Coastal Corp.
10.375% due 10/01/2000 8,500 8,802
6.500% due 05/15/2006 275 263
Coca-Cola Co.
6.375% due 08/01/2001 200 200
7.875% due 02/01/2002 600 617
6.000% due 07/15/2003 250 244
Coltec Industries, Inc.
7.500% due 04/15/2008 4,400 4,347
Columbia/HCA Healthcare
6.410% due 06/15/2000 5,000 4,934
8.020% due 08/05/2002 9,000 8,823
8.130% due 08/04/2003 7,300 7,133
6.630% due 07/15/2045 10,000 9,571
6.730% due 07/15/2045 14,760 14,163
Comcast Corp.
9.375% due 05/15/2005 34,995 36,920
9.500% due 01/15/2008 11,350 11,804
Conagra, Inc.
5.711% due 06/12/2000 (d) 74,300 74,180
Conoco, Inc.
6.350% due 04/15/2009 1,900 1,811
Continental Airlines
9.500% due 12/15/2001 200 204
6.954% due 02/02/2011 25,989 25,148
Continental Cablevision
9.500% due 08/01/2013 27,000 29,688
Cox Communications, Inc.
6.500% due 11/15/2002 200 198
CSC Holdings, Inc
7.625% due 07/15/2018 22,000 20,592
CSX Corp.
5.790% due 06/15/2000 (d) 30,500 30,573
9.500% due 08/01/2000 500 513
Cumberland Farms
10.500% due 10/01/2003 1,000 985
Dayton Hudson Corp.
10.000% due 12/01/2000 1,000 1,041
Delphi Auto Systems Corp.
6.125% due 05/01/2004 20,000 19,266
Delta Air Lines, Inc.
9.875% due 05/15/2000 525 538
6.650% due 03/15/2004 13,500 13,141
10.430% due 01/02/2011 850 985
10.140% due 08/14/2012 1,000 1,160
9.200% due 09/23/2014 6,000 6,406
10.500% due 04/30/2016 1,000 1,164
Diamond Cable Communication Co.
0.000% due 12/15/2005 (d) 3,500 3,133
Disney (Walt) Co.
6.375% due 03/30/2001 750 753
6.750% due 03/30/2006 100 100
DTE Capital Corp.
8.350% due 11/15/2038 (d) 52,750 51,840
E.I. Du Pont de Nemours
9.150% due 04/15/2000 100 102
Eastman Chemical Co.
6.375% due 01/15/2004 5,750 5,589
Electric Lightwave, Inc.
6.050% due 05/15/2004 15,700 15,197
Eli Lilly & Co.
8.125% due 02/07/2000 387 389
8.125% due 12/01/2001 500 519
Enron Corp.
5.150% due 11/18/1999 (d) 35,000 34,978
6.400% due 07/15/2006 150 141
Federal Express Corp.
6.845% due 01/15/2019 872 832
Flag Limited
7.150% due 12/15/2004 61 59
Ford Motor Co.
9.000% due 09/15/2001 880 920
6.625% due 10/01/2028 115,800 103,304
Fortune Brands
8.500% due 10/01/2003 500 536
Fred Meyer, Inc.
7.150% due 03/01/2003 11,000 11,010
7.375% due 03/01/2005 39,325 39,421
7.450% due 03/01/2008 300 298
Frontier Corp.
6.250% due 12/15/1999 20,000 20,027
General Motors Acceptance Corp.
9.625% due 12/01/2000 525 544
7.100% due 03/15/2006 250 249
Gillette Co.
6.250% due 10/15/2005 750 748
5.750% due 10/15/2005 1,500 1,436
Global Crossing Holding Limited
9.625% due 05/15/2008 15,000 15,525
Gulf Canada Resources
9.250% due 01/15/2004 7,250 7,298
9.625% due 07/01/2005 2,000 2,060
H.J. Heinz Co.
7.500% due 04/26/2000 150 151
Hanson Overseas BV
6.750% due 09/15/2005 225 221
Harrahs Operating Co., Inc.
7.875% due 12/15/2005 5,000 4,813
Hertz Corp.
6.625% due 07/15/2000 8,875 8,897
Hollinger International Publishing
9.250% due 02/01/2006 3,000 2,978
Houghton Mifflin Co.
5.990% due 12/03/2001 3,000 2,964
Hyder PLC
6.500% due 12/15/2008 10,000 9,167
IBM Corp.
5.050% due 11/01/1999 (d) 35,000 34,902
7.250% due 11/01/2002 200 205
6.450% due 08/01/2007 500 489
7.125% due 12/01/2096 2,500 2,358
ICI Wilmington
6.750% due 09/15/2002 10,000 9,909
Inco Limited
9.875% due 06/15/2019 5,000 5,195
Ingersoll-Rand Co.
6.255% due 02/15/2001 295 295
International Game Technology
7.875% due 05/15/2004 24,500 23,581
International Paper Co.
6.875% due 07/10/2000 4,260 4,278
9.050% due 02/08/2001 100 103
ISP Holdings, Inc.
9.750% due 02/15/2002 4,500 4,545
9.000% due 10/15/2003 5,000 4,950
ITT Corp.
6.250% due 11/15/2000 15,070 14,792
J Seagram & Sons
5.500% due 04/10/2000 (d) 94,000 93,530
5.790% due 04/15/2001 20,000 19,622
6.250% due 12/15/2001 51,000 50,329
Jones International Networks Limited
11.750% due 07/01/2005 55 48
K Mart Corp.
8.190% due 11/24/2003 5,000 4,934
62 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------
K N Energy, Inc.
6.450% due 03/01/2003 $ 240 $ 234
Kellogg
5.750% due 02/02/2001 86,925 86,449
K-III Communications Co.
8.500% due 02/01/2006 4,000 3,900
KPNQWest BV
8.125% due 06/01/2009 5,000 4,750
Kroger Co.
6.000% due 07/01/2000 13,000 12,973
6.420% due 10/01/2010 (d) 54,000 53,927
Lenfest Communications
8.375% due 11/01/2005 5,000 5,162
Limited, Inc.
7.800% due 05/15/2002 500 512
Lockheed Martin Corp.
6.850% due 05/15/2001 5,000 4,995
Loyola University of Chicago
6.030% due 06/15/2000 (d) 16,100 16,078
LSI Logic Corp.
4.250% due 03/15/2004 1,000 1,834
Lucent Technologies
7.250% due 07/15/2006 150 153
Mallinckrodt, Inc.
6.300% due 03/15/2001 (d) 10,000 9,912
Marlin Water Trust
7.090% due 12/15/2001 20,241 20,243
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (j) 1,980 2,442
McDonald's Corp.
6.500% due 08/01/2007 250 243
McLeodUSA, Inc.
0.000% due 03/01/2007 (i) 5,000 3,963
8.125% due 02/15/2009 1,200 1,122
Mobil Corp.
8.375% due 02/12/2001 340 349
Monsanto Co.
6.000% due 12/01/2005 250 234
Motorola, Inc.
7.600% due 01/01/2007 200 205
Nabisco, Inc.
6.000% due 02/15/2001 (d) 11,240 11,134
6.800% due 09/01/2001 3,000 2,994
6.700% due 06/15/2002 9,000 8,903
6.125% due 02/01/2033 15,000 14,519
Nabors Industries, Inc.
6.800% due 04/15/2004 9,250 9,062
New York Times Co.
7.625% due 03/15/2005 1,000 1,042
News America Holdings Corp.
7.450% due 06/01/2000 3,000 3,019
8.625% due 02/01/2003 750 783
Nike, Inc.
6.510% due 06/16/2000 1,000 1,003
Nisource Capital Markets
6.630% due 09/28/2010 59,000 59,000
Noranda, Inc.
7.000% due 07/15/2005 1,800 1,733
Norfolk Southern Corp.
6.700% due 05/01/2000 3,000 3,013
7.875% due 02/15/2004 50 52
Northwest Airlines, Inc.
8.970% due 01/02/2015 1,691 1,744
Occidental Petroleum
6.400% due 04/01/2003 7,710 7,540
Owens Corning
7.000% due 05/15/2000 200 200
Owens-Illinois, Inc.
7.850% due 05/15/2004 2,600 2,571
7.150% due 05/15/2005 10,000 9,474
Packaging Corp. of America
9.625% due 04/01/2009 2,500 2,538
Pennzoil Co.
9.625% due 11/15/1999 5,000 5,018
Pepsico, Inc.
5.750% due 01/15/2008 500 470
Petroleos Mexicanos
9.520% due 07/15/2005 (d) 67,500 64,294
Philip Morris Cos., Inc.
9.000% due 01/01/2001 300 309
7.250% due 09/15/2001 70 71
7.500% due 01/15/2002 50 51
6.800% due 12/01/2003 48,345 48,018
7.000% due 07/15/2005 1,125 1,108
7.200% due 02/01/2007 32,000 31,471
6.150% due 03/15/2010 25,000 25,056
Phillips Petroleum Co.
6.375% due 03/30/2009 31,000 29,383
7.000% due 03/30/2029 16,000 14,880
Presidio Owner Trust
6.532% due 12/30/1999 (d) 29,419 29,373
Procter & Gamble Co.
5.250% due 09/15/2003 35,000 33,501
Qwest Communications International, Inc.
0.000% due 10/15/2007 (i) 2,500 1,956
Racers
7.000% due 04/28/2003 (d) 30,000 29,325
5.794% due 09/15/2005 (d) 15,000 14,977
Reliant Energy, Inc.
8.930% due 05/14/2001 5,300 5,494
8.920% due 05/15/2001 6,500 6,737
6.375% due 11/01/2003 14,000 13,695
Rogers Cablesystems, Inc.
10.000% due 12/01/2007 5,000 5,350
Rogers Cantel Mobile Communications, Inc.
9.375% due 06/01/2008 2,750 2,901
Saferco
9.630% due 05/31/2000 (j) 6,500 6,665
9.590% due 05/31/2001 (j) 3,000 3,153
Safeway, Inc.
5.750% due 11/15/2000 150 149
6.850% due 09/15/2004 250 248
Sara Lee Corp.
6.300% due 11/07/2005 500 485
Sears Roebuck & Co.
6.800% due 05/07/2001 500 500
6.790% due 05/21/2001 500 504
9.400% due 08/02/2001 250 263
8.390% due 02/14/2002 240 248
7.260% due 04/21/2003 3,000 3,009
6.250% due 01/15/2004 300 294
6.750% due 09/15/2005 785 761
Sequa Corp.
9.375% due 12/15/2003 5,000 5,113
Smithfield Foods
7.625% due 02/15/2008 2,000 1,800
Smithkline Beecham
7.375% due 04/15/2005 150 155
Stone Container Corp.
10.750% due 10/01/2002 2,500 2,581
Swiss Life Financial Limited
2.000% due 05/20/2005 3,000 2,976
TCI Communications, Inc.
5.450% due 02/02/2000 (d) 50,000 49,980
6.085% due 09/11/2000 (d) 48,500 48,385
5.905% due 12/20/2000 (d) 10,000 10,003
6.110% due 03/12/2001 (d) 10,000 10,113
6.375% due 05/01/2003 3,200 3,167
Telecommunications, Inc.
8.250% due 01/15/2003 43,125 45,218
Telewest Communications PLC
9.625% due 10/01/2006 5,000 5,063
Tenet Healthcare Corp.
8.625% due 12/01/2003 1,200 1,192
8.000% due 01/15/2005 2,000 1,910
7.625% due 06/01/2008 27,000 24,435
Texaco Capital
8.500% due 02/15/2003 700 744
6.000% due 06/15/2005 400 387
See accompanying notes 63
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited) Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------
Time Warner, Inc.
6.100% due 12/30/2001 $ 34,275 $ 34,055
7.975% due 08/15/2004 53,050 55,058
8.110% due 08/15/2006 123,424 130,003
8.180% due 08/15/2007 44,895 47,134
7.250% due 09/01/2008 125 125
Toyoda Automatic Loom
0.350% due 09/30/2003 200,000 2,057
TRW, Inc.
5.930% due 06/28/2000 (d) 14,200 14,176
U.S. West Capital Funding
5.960% due 06/15/2000 (d) 82,700 82,577
Union Pacific Corp.
5.500% due 05/22/2000 (d) 60,000 59,869
6.930% due 06/01/2003 1,000 996
6.000% due 09/01/2003 8,000 7,726
6.120% due 02/01/2004 250 239
United Airlines
9.000% due 12/15/2003 1,000 1,054
10.670% due 05/01/2004 2,050 2,292
USA Waste Services, Inc.
6.125% due 07/15/2001 23,500 22,542
UST, Inc.
7.250% due 06/01/2009 25,000 24,087
USX Corp.
9.800% due 07/01/2001 300 315
Viacom, Inc.
5.875% due 07/15/2000 6,200 6,181
Wal-Mart Stores, Inc.
9.100% due 07/15/2000 250 256
8.625% due 04/01/2001 2,450 2,535
6.750% due 05/24/2002 170 172
Waste Management, Inc.
6.375% due 12/01/2003 200 184
6.500% due 05/14/2004 58,000 57,403
7.125% due 10/01/2007 1,800 1,622
Westpoint Stevens, Inc.
7.875% due 06/15/2005 8,000 7,520
Westvaco Corp.
9.650% due 03/01/2002 150 160
Whitman Corp.
6.250% due 05/01/2000 15,800 15,840
Williams Co.
5.276% due 01/30/2000 (d) 23,000 23,005
WMX Technologies
6.700% due 05/01/2001 10,000 9,758
7.000% due 10/15/2006 500 450
Wilshire REIT Trust
6.532% due 12/30/1999 (d) 25,802 25,762
Xerox Corp.
6.500% due 06/29/2000 280 285
5.750% due 07/21/2000 500 499
5.400% due 09/11/2000 400 398
7.410% due 05/15/2001 1,000 1,017
----------
2,853,072
==========
Utilities 5.9%
AEP Resources, Inc.
6.500% due 12/01/2003 20,000 19,470
Alabama Power Co.
5.350% due 11/15/2003 1,600 1,525
Appalachian Power Co.
6.350% due 03/01/2000 500 500
6.600% due 05/01/2009 25,000 23,445
AT&T Corp.
7.350% due 08/27/2001 7,200 7,351
7.125% due 01/15/2002 275 279
7.000% due 05/15/2005 200 201
Baltimore Gas & Electric
6.125% due 07/01/2003 150 148
Beaver Valley Funding Corp.
8.250% due 06/01/2003 616 623
8.625% due 06/01/2007 5,000 5,120
BellSouth Telecommunications, Inc.
7.500% due 06/15/2033 185 177
California Energy
9.500% due 09/15/2006 12,040 12,914
Calpine Corp.
9.250% due 02/01/2004 4,150 4,176
7.625% due 04/15/2006 7,000 6,654
7.875% due 04/01/2008 2,500 2,394
Central Maine Power Co.
6.500% due 06/14/2000 5,500 5,480
Chesapeake & Potomac Telephone
5.625% due 03/01/2007 500 460
8.000% due 10/15/2029 1,125 1,209
Cleveland Electric Illuminating Co.
7.850% due 11/01/1999 6,000 6,007
7.420% due 08/01/2001 10,000 10,144
9.500% due 05/15/2005 13,000 13,702
Cleveland Electric/Toledo Edison
7.190% due 07/01/2000 20,400 20,428
CMS Energy
7.375% due 11/15/2000 67,535 67,540
8.000% due 07/01/2001 11,750 11,709
8.125% due 05/15/2002 13,725 13,765
8.375% due 07/01/2003 15,000 14,920
7.000% due 01/15/2005 30,000 28,634
Commonwealth Edison
5.204% due 06/15/2002 (d) 1,000 998
6.625% due 07/15/2003 1,000 995
9.875% due 06/15/2020 11,700 13,109
Connecticut Light & Power Co.
5.750% due 07/01/2000 2,000 1,992
7.875% due 06/01/2001 100 101
7.750% due 06/01/2002 5,000 5,065
8.590% due 06/05/2003 27,000 25,760
Consolidated Edison
7.600% due 01/15/2000 100 100
5.244% due 12/15/2001 (d) 10,000 9,989
6.625% due 02/01/2002 100 100
Consolidated Natural Gas
7.250% due 10/01/2004 43,750 43,787
Cox Enterprises, Inc.
6.625% due 06/14/2002 5,250 5,231
Duke Energy Corp.
8.000% due 11/01/1999 40 40
7.000% due 06/01/2000 700 705
6.750% due 08/01/2025 25 22
East Coast Power LLC
6.737% due 03/31/2008 16,791 16,044
El Paso Electric Co.
9.400% due 05/01/2011 7,455 8,115
Enron Corp.
5.778% due 03/30/2000 13,000 13,001
7.660% due 01/14/2002 5,000 5,110
Entergy Mississippi, Inc.
5.963% due 05/03/2004 (d) 31,000 31,000
Flag Limited
8.250% due 01/30/2008 1,200 1,050
Houston Lighting & Power Co.
6.100% due 03/01/2000 250 250
Indiana Bell Telephone Co., Inc.
5.500% due 04/01/2007 500 458
Indianapolis Power & Light
7.375% due 08/01/2007 225 232
Korea Electric Power
3.882% due 10/31/2002 (d) 18,900 9,906
6.375% due 12/01/2003 170 159
Louisiana Power & Light Co.
7.740% due 07/01/2002 599 603
MCI Communications Corp.
6.125% due 04/15/2002 1,250 1,233
MCI Worldcom, Inc.
5.645% due 08/17/2000 (d) 20,000 19,978
8.875% due 01/15/2006 24,529 25,962
Montana Power Co.
5.560% due 04/06/2001 (d) 15,000 15,003
National Power Corp.
9.625% due 05/15/2028 16,000 13,358
64 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------------------------
<S> <C> <C>
National Rural Utilities Cooperative
6.250% due 04/15/2003 $ 50,000 $ 48,896
New Century Energies, Inc.
5.860% due 05/28/2000 9,400 9,363
5.860% due 05/30/2000 15,000 14,949
New England Telephone & Telegraph Co.
6.375% due 09/01/2008 1,350 1,288
New Jersey Bell Telephone
4.875% due 11/01/2000 800 789
7.850% due 11/15/2029 70 73
New York Telephone Co.
6.250% due 02/15/2004 150 148
6.125% due 01/15/2010 80 75
Niagara Mohawk Power
7.000% due 10/01/2000 57,463 57,696
7.125% due 07/01/2001 20,604 20,690
7.250% due 10/01/2002 24,783 24,979
7.375% due 07/01/2003 38,826 39,050
7.375% due 08/01/2003 1,645 1,675
7.750% due 10/01/2008 25,200 25,662
North Atlantic Energy
9.050% due 06/01/2002 5,995 6,087
Northern Illinois Gas Co.
6.450% due 08/01/2001 1,450 1,443
Northern Telecom Limited
8.750% due 06/12/2001 300 312
Nynex Corp.
9.550% due 05/01/2010 6,516 7,178
Ohio Bell Telephone Co.
5.375% due 03/01/2007 950 866
Ohio Power Co.
7.000% due 07/01/2004 27,000 26,805
Orange PLC
8.750% due 06/01/2006 12,000 12,210
8.000% due 08/01/2008 1,000 968
Pacific Gas & Electric Co.
6.750% due 12/01/2000 3,049 3,059
Pacific Northwest Bell
4.375% due 09/01/2002 50 47
Pennsylvania Power & Light
6.000% due 06/01/2000 500 500
Philadelphia Electric
5.625% due 11/01/2001 17,350 17,087
Philippine Long Distance Telephone Co.
7.850% due 03/06/2007 5,000 4,228
10.500% due 04/15/2009 6,000 5,849
PP&L, Inc.
6.125% due 05/01/2001 (d) 5,000 4,996
6.550% due 03/01/2006 500 491
Public Service
7.625% due 02/01/2000 150 151
7.250% due 04/01/2000 (d) 5,000 5,000
6.500% due 06/01/2000 500 501
6.125% due 08/01/2002 1,000 991
Public Service Enterprise Group, Inc.
6.261% due 11/22/2000 (d) 6,000 6,010
5.910% due 06/15/2001 (d) 156,200 155,886
Queststar Pipeline
9.375% due 06/01/2021 200 214
Reliant Energy, Inc.
8.750% due 03/01/2022 10,000 10,356
Sierra Pacific Power Co.
6.270% due 10/13/2000 29,000 29,000
Sierra Pacific Resources
6.200% due 04/15/2004 20,000 19,279
SK Telecom Co. Limited
7.750% due 04/29/2004 5,000 4,858
Southwestern Bell Telephone Co.
6.125% due 03/01/2000 50 50
Sprint Corp.
8.125% due 07/15/2002 10,378 10,724
5.875% due 05/01/2004 43,000 41,248
System Energy Resources
7.380% due 10/01/2000 5,000 5,033
7.710% due 08/01/2001 14,850 15,065
Teco Energy, Inc.
5.540% due 09/15/2001 44,630 44,051
Tennessee Valley Authority
3.375% due 01/15/2007 10,521 9,720
0.000% due 04/15/2042 (i) 855 332
Texas Utilities Co.
5.558% due 04/24/2000 (d) 60,100 60,099
6.064% due 06/25/2001 125,200 124,866
6.370% due 08/16/2001 1,000 996
6.438% due 09/24/2001 206,800 206,800
5.940% due 10/15/2001 3,000 2,976
6.500% due 08/16/2002 1,000 998
Texas-New Mexico Power
10.750% due 09/15/2003 4,950 5,116
Toledo Edison Co.
7.380% due 03/31/2000 11,000 11,028
8.180% due 07/30/2002 1,400 1,437
8.700% due 09/01/2002 14,500 14,875
7.850% due 03/31/2003 7,000 7,123
7.875% due 08/01/2004 500 506
Tuscon Electric Power
8.500% due 10/01/2009 454 465
U.S. West Communications, Inc.
5.650% due 11/01/2004 9,000 8,562
6.625% due 09/15/2005 400 394
6.125% due 11/15/2005 400 384
Union Electric Co.
8.000% due 12/15/2022 1,000 1,055
United Telecom, Inc.
9.500% due 06/06/2001 150 158
Western Massachusetts Electric
6.875% due 01/01/2000 700 701
7.375% due 07/01/2001 7,000 7,028
Western Resources, Inc.
6.250% due 08/15/2003 13,500 13,253
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/2013 (j) 991 1,070
WorldCom, Inc.
6.125% due 08/15/2001 250 248
6.400% due 08/15/2005 1,000 977
Yorkshire Power Finance
6.154% due 02/25/2003 17,000 16,338
----------
1,731,812
----------
Total Corporate Bonds & Notes 12,633,519
(Cost $12,743,263) ==========
MUNICIPAL BONDS & NOTES 0.1%
Florida 0.0%
Greater Orlando Aviation Authority,
Orlando Florida Airport Facitities Revenue Bonds,
(FGIC Insured), Series 1999, 5.125% due 10/01/2028 2,000 1,788
----------
New Mexico 0.0%
Farmington, New Mexico Pollution Control
Revenue Bond, Series A, 5.125% due 04/01/2029 500 451
----------
New York 0.1%
New York City Municipal Bond
5.622% due 08/01/2002 (d) 11,058 11,021
New York City, New York Municipal Finance Authority
Water & Sewer System Revenue Bonds, (FSA Insured),
Series 1999, 5.000% due 06/15/2029 2,500 2,189
----------
13,210
==========
Pennsylvania 0.0%
Pittsburgh & Allegheny County Pa, (AMBAC Insured),
Series 1999, 5.000% due 02/01/2029 500 436
Pittsburgh & Allegheny County Pa, (AMBAC Insured),
Series 1999, 5.125% due 02/01/2035 500 441
----------
877
==========
</TABLE>
See accompanying notes 65
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited) Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Utah 0.0%
Weber County, Utah Hospital Revenue Bonds,
Series 1999, 5.000% due 08/15/2030 $ 500 $ 426
----------
Total Municipal Bonds & Notes 16,752
(Cost $16,926) ==========
U.S. GOVERNMENT AGENCIES 3.5%
A.I.D. Housing Guarantee - Peru
9.980% due 08/01/2008 990 1,013
Federal Home Loan Bank
7.510% due 10/26/1999 500 501
5.525% due 01/21/2000 1,000 1,000
6.000% due 05/12/2000 (d) 185,400 184,086
6.540% due 05/25/2000 (d) 500 504
5.500% due 07/14/2000 (d) 1,150 1,148
6.160% due 09/18/2000 (d) 1,000 1,003
5.662% due 09/10/2001 (d) 1,000 989
4.842% due 02/15/2002 (d) 17,000 16,602
6.030% due 04/17/2002 (d) 1,000 992
7.045% due 04/25/2002 (d) 500 501
5.250% due 06/28/2002 (d) 1,000 974
6.260% due 12/23/2002 (d) 1,000 990
6.110% due 04/17/2003 (d) 1,000 986
6.050% due 05/22/2003 (d) 1,000 983
5.805% due 08/28/2003 (d) 1,000 974
6.000% due 06/30/2004 (d) 1,000 978
Federal Home Loan Mortgage Corporation
6.000% due 06/23/2004 (d) 1,000 974
6.345% due 02/15/2006 (d) 1,000 973
7.245% due 04/24/2006 (d) 500 500
Federal National Mortgage Assn.
9.050% due 04/10/2000 (d) 400 407
5.560% due 07/24/2000 (d) 440 439
5.810% due 01/16/2001 (d) 1,000 999
5.160% due 02/02/2001 (d) 800 792
6.350% due 11/23/2001 (d) 1,000 999
6.450% due 02/14/2002 (d) 1,000 998
7.060% due 04/24/2002 (d) 500 502
6.110% due 01/02/2003 (d) 1,000 985
6.000% due 02/18/2003 (d) 1,000 980
6.750% due 03/03/2003 (d) 500 492
5.260% due 10/02/2003 (d) 1,000 960
5.280% due 10/06/2003 (d) 1,000 961
5.500% due 12/01/2003 (d) 1,000 965
8.500% due 02/01/2005 (d) 1,000 1,009
6.560% due 12/10/2007 (d) 190 184
6.875% due 09/10/2012 (d) 25,000 24,477
New York City
5.239% due 08/01/2002 (d) 14,815 14,815
Student Loan Marketing Assn.
4.129% due 02/20/2000 (d) 134,700 134,091
5.129% due 06/30/2000 (d) 63,700 63,641
5.483% due 01/25/2003 (d) 35,494 35,486
5.225% due 04/25/2004 (d) 15,164 15,131
5.175% due 10/25/2004 (d) 22,962 22,896
5.195% due 10/25/2004 (d) 39,851 39,768
5.225% due 10/25/2005 (d) 30,609 30,505
5.291% due 10/25/2005 (d) 20,485 20,407
5.333% due 04/25/2006 (d) 110,189 109,732
5.395% due 01/25/2007 (d) 99,218 99,015
5.495% due 04/25/2007 (d) 180,624 180,358
----------
Total U.S. Government Agencies 1,018,665
(Cost $1,021,594) ==========
U.S. TREASURY OBLIGATIONS 6.5%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h)(l) 814,710 809,648
3.625% due 07/15/2002 (h)(l) 276 274
3.375% due 01/15/2007 (h)(l) 163,595 156,285
3.625% due 01/15/2008 (h)(l) 387,579 375,225
3.625% due 01/15/2008 (h) 21,750 21,057
3.875% due 01/15/2009 (h)(l) 246,569 242,794
3.625% due 04/15/2028 (h) 103,685 95,973
3.875% due 04/15/2029 (h)(l) 456 441
U.S. Treasury Bonds
12.375% due 05/15/2004 1,000 1,254
10.375% due 11/15/2012 (l) 11,430 14,345
12.000% due 08/15/2013 6,000 8,291
13.250% due 05/15/2014 16,500 24,652
8.875% due 08/15/2017 (l) 65 81
8.125% due 08/15/2019 10,515 12,454
U.S. Treasury Notes
7.875% due 11/15/1999 500 502
5.500% due 02/29/2000 (b) 109,550 109,755
7.500% due 11/15/2001 600 622
6.125% due 12/31/2001 1,010 1,019
6.375% due 08/15/2002 160 163
5.500% due 01/31/2003 400 397
5.875% due 05/15/2004 1,000 1,055
6.500% due 10/15/2006 1,020 1,043
4.750% due 05/15/2008 36,100 35,062
----------
Total U.S. Treasury Obligations 1,912,392
(Cost $1,932,927) ==========
MORTGAGE-BACKED SECURITIES 54.6%
Collateralized Mortgage Obligations 23.4%
ABN AMRO Mortgage Corp.
6.500% due 06/25/2029 7,093 6,505
American Southwest Financial
12.250% due 11/01/2014 40 41
12.500% due 04/01/2015 376 417
12.000% due 05/01/2015 703 722
11.400% due 09/01/2015 615 642
American Southwest Financial Securities Corp.
7.400% due 11/17/2004 41,000 41,555
7.248% due 11/25/2038 50,698 46,118
Bank of America Mortgage Securities
6.250% due 08/25/2028 25,000 22,422
6.500% due 05/25/2029 15,895 14,866
7.250% due 10/25/2029 9,648 8,603
Bankers Trust Co.
8.625% due 04/01/2018 58 58
Bear Stearns Mortgage Securities, Inc.
7.000% due 09/20/2012 34,576 33,506
7.000% due 08/20/2018 10,000 9,812
5.938% due 10/25/2023 (d) 3,718 3,810
10.000% due 08/25/2024 5,000 5,454
7.000% due 03/25/2027 7,000 6,724
7.000% due 02/25/2028 10,000 9,622
Cendant Mortgage Corp.
6.499% due 11/18/2028 (d) 5,578 4,715
6.498% due 11/18/2028 (d) 14,127 13,142
Centre
6.715% due 02/01/2009 31,213 29,667
Chase Mortgage Finance Corp.
7.607% due 10/25/2009 (d) 1,659 1,107
8.250% due 10/25/2010 783 780
6.250% due 05/25/2014 42,955 40,506
7.000% due 07/25/2024 4,411 4,418
7.000% due 08/25/2024 3,232 3,181
6.750% due 03/25/2025 8,197 7,116
6.204% due 04/25/2025 (d) 23,781 21,886
6.550% due 08/25/2028 3,000 2,941
6.350% due 07/25/2029 74,414 73,504
Citicorp Mortgage Securities, Inc.
9.500% due 09/25/2019 231 230
6.633% due 10/25/2022 (d) 12,223 12,304
6.250% due 04/25/2024 11,796 10,187
7.250% due 10/25/2027 20,462 19,694
5.900% due 05/25/2029 26,490 26,302
CMC Securities Corp.
6.423% due 09/25/2023 (d) 5,309 5,339
7.117% due 04/25/2025 (d) 201 202
7.250% due 11/25/2027 9,402 9,217
66 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
==============================================================
Collateralized Mortgage Obligation Trust
10.200% due 02/01/2016 $ 400 $ 409
8.000% due 09/20/2021 8,061 8,142
Collateralized Mortgage Securities Corp.
11.450% due 09/01/2015 29 30
11.450% due 11/01/2015 (d) 162 163
8.750% due 04/20/2019 575 594
Comm
6.145% due 02/15/2008 4,832 4,734
Countrywide Home Loans
6.500% due 07/25/2013 5,676 5,266
6.250% due 08/25/2014 35,885 33,806
7.305% due 07/25/2024 (d) 5,120 5,194
6.750% due 11/25/2025 25,567 23,558
7.500% due 06/25/2027 12,300 12,304
7.250% due 12/25/2027 6,224 5,959
7.250% due 02/25/2028 57,846 55,654
6.750% due 06/25/2028 15,103 13,632
6.750% due 08/25/2028 15,564 15,499
6.500% due 03/25/2029 16,744 15,395
6.050% due 04/25/2029 56,000 53,479
Crusade Global Trust
5.844% due 02/15/2030 (d) 100,000 100,000
DLJ Mortgage Acceptance Corp.
4.224% due 05/25/2024 (d) 146 152
6.850% due 12/17/2027 6,605 6,607
6.750% due 06/19/2028 122,753 119,510
Donaldson, Lufkin & Jenrette
7.413% due 08/01/2021 (d)(j) 4,903 4,974
7.225% due 12/25/2022 (d) 2,214 2,275
6.993% due 03/25/2024 (d) 632 656
Drexel Mortgage Funding
9.500% due 11/20/2017 839 842
8.600% due 03/01/2018 251 252
FBS Mortgage Corp.
7.092% due 11/25/2024 692 694
Federal Home Loan Mortgage Corp.
5.125% due 02/26/2002 1,260 1,233
6.750% due 10/15/2003 18,348 18,440
7.000% due 10/15/2003 4,499 4,545
7.500% due 11/01/2003 5,853 5,899
6.000% due 06/15/2005 6,209 6,215
6.500% due 07/25/2005 5,463 5,446
6.500% due 07/15/2006 1,075 1,071
6.500% due 08/15/2006 710 712
7.200% due 11/01/2006 74,000 73,607
5.500% due 10/15/2007 6,969 6,858
6.500% due 05/15/2008 1,000 996
5.675% due 06/15/2008 (d) 185 165
6.000% due 11/15/2008 225 218
6.200% due 12/15/2008 4,218 3,899
6.000% due 03/15/2009 265 259
7.550% due 03/15/2012 180 181
8.500% due 08/15/2013 2,000 2,079
8.500% due 09/15/2013 5,941 6,153
6.000% due 11/15/2014 400 360
5.400% due 05/25/2016 35,096 34,989
7.000% due 11/15/2016 6,130 6,156
6.250% due 10/15/2017 21,354 21,328
5.900% due 03/15/2018 7,398 7,373
6.350% due 03/25/2018 200 199
5.250% due 05/15/2018 471 468
6.500% due 12/15/2018 920 920
6.400% due 02/15/2019 20,000 19,988
6.500% due 05/15/2019 391 391
6.250% due 07/15/2019 37,090 37,041
5.000% due 08/15/2019 152 150
7.500% due 01/15/2020 5,666 5,704
5.250% due 07/15/2020 460 454
5.500% due 10/15/2020 91 90
9.500% due 11/15/2020 4,937 5,132
8.750% due 12/15/2020 1,265 1,298
6.000% due 12/15/2020 320 311
9.000% due 12/15/2020 3,207 3,327
6.250% due 01/15/2021 200 196
8.000% due 04/15/2021 106 109
6.500% due 05/15/2021 134 133
6.500% due 05/17/2021 81 79
8.500% due 06/15/2021 29,166 30,121
9.500% due 07/15/2021 2,320 2,380
6.950% due 07/15/2021 652 650
9.000% due 07/15/2021 2,125 2,234
8.000% due 07/15/2021 10,869 11,046
6.950% due 08/15/2021 185 184
8.000% due 08/15/2021 23,472 23,987
6.200% due 08/15/2021 1,500 1,496
7.000% due 09/15/2021 340 340
8.000% due 09/15/2021 3 3
6.500% due 09/15/2021 30,233 30,042
7.000% due 10/15/2021 15 15
8.000% due 12/15/2021 16,995 17,423
6.850% due 01/15/2022 700 697
8.250% due 06/15/2022 5,000 5,177
7.000% due 07/15/2022 8,788 8,538
8.500% due 10/15/2022 8,638 8,909
7.500% due 01/15/2023 16,359 16,138
7.500% due 07/15/2023 395 401
7.250% due 07/15/2023 4 4
7.000% due 07/15/2023 252 236
6.500% due 07/15/2023 287 279
6.500% due 08/15/2023 183,199 181,369
7.500% due 01/20/2024 163 164
5.000% due 02/15/2024 116 99
6.500% due 02/15/2024 23 23
6.250% due 05/15/2024 12,485 11,165
7.250% due 08/15/2024 190 191
8.000% due 09/15/2024 16,250 16,909
7.000% due 11/17/2025 40 40
6.500% due 03/15/2026 110 104
6.945% due 10/01/2026 (d) 3,542 3,629
6.000% due 11/15/2026 550 509
7.500% due 01/15/2027 23,368 23,102
7.500% due 03/17/2027 20,000 19,631
7.500% due 06/20/2027 18,159 17,300
6.500% due 08/15/2027 14,660 12,299
6.500% due 10/15/2027 32,300 29,759
6.000% due 11/15/2027 665 607
6.500% due 01/25/2028 8,691 7,863
7.000% due 02/15/2028 1,675 1,594
6.500% due 04/15/2028 156,507 144,558
6.500% due 05/15/2028 48,000 45,555
6.500% due 06/15/2028 55,064 49,034
6.500% due 06/20/2028 21,923 19,067
6.500% due 07/15/2028 28,266 23,706
6.500% due 08/15/2028 258,710 219,839
7.000% due 11/15/2028 9,000 8,489
6.500% due 12/15/2028 6,614 5,464
6.000% due 12/15/2028 22,454 18,606
6.500% due 01/15/2029 10,411 9,668
6.000% due 02/15/2029 3,648 2,680
6.500% due 03/15/2029 25,088 22,274
0.000% due 06/15/2029 74,088 46,575
8.000% due 07/15/2029 1,250 1,237
5.940% due 08/15/2032 (d) 31,187 31,753
Federal National Mortgage Assn.
9.100% due 02/25/2002 1,828 1,848
7.500% due 05/25/2005 6,700 6,833
7.500% due 02/25/2006 375 380
6.500% due 05/01/2006 217 216
6.500% due 07/25/2006 75 75
8.000% due 11/25/2006 30 31
6.500% due 05/25/2007 9,362 9,330
6.000% due 07/25/2007 300 297
9.028% due 08/25/2007 (d) 12 12
6.270% due 09/25/2007 3,000 2,907
7.000% due 10/25/2007 200 201
6.500% due 05/25/2008 500 499
10.500% due 08/25/2008 7,146 7,723
7.452% due 09/25/2008 (d) 1,606 1,466
6.750% due 11/25/2010 1,300 1,303
See accompanying notes 67
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited) Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------
7.000% due 01/25/2011 $ 302 $ 303
6.000% due 03/18/2015 18,505 18,412
8.000% due 12/25/2016 223 226
9.670% due 01/25/2017 5 5
9.300% due 05/25/2018 830 867
5.894% due 06/25/2018 (d) 4 4
9.500% due 06/25/2018 477 503
5.500% due 07/25/2018 54 54
9.500% due 11/25/2018 11,294 11,633
6.000% due 12/25/2018 8 8
6.000% due 02/25/2019 5,000 4,978
6.500% due 03/25/2019 885 874
9.500% due 06/25/2019 1,698 1,785
5.650% due 07/25/2019 2,560 2,547
9.300% due 08/25/2019 93 98
6.350% due 08/25/2019 346 345
8.000% due 10/25/2019 3,135 3,160
9.000% due 12/25/2019 7,379 7,656
7.500% due 12/25/2019 92 92
6.500% due 03/25/2020 1,108 1,107
7.500% due 05/25/2020 4,161 4,210
6.750% due 06/25/2020 1,329 1,331
6.000% due 06/25/2020 269 269
5.000% due 09/25/2020 200 188
7.000% due 09/25/2020 19,398 19,485
9.000% due 09/25/2020 4,445 4,619
8.000% due 12/25/2020 24,277 24,892
8.750% due 01/25/2021 3,922 4,036
9.000% due 01/25/2021 6,909 7,168
5.750% due 02/18/2021 100 95
9.000% due 03/25/2021 598 619
7.500% due 03/25/2021 9,766 9,808
7.000% due 05/25/2021 300 297
6.500% due 06/25/2021 5,531 5,343
7.500% due 06/25/2021 99 100
8.000% due 07/25/2021 18,472 18,691
8.500% due 09/25/2021 6,560 6,730
7.000% due 10/25/2021 8,688 8,565
8.000% due 10/25/2021 22,645 23,213
7.000% due 11/25/2021 24,015 23,976
6.000% due 12/25/2021 58 57
8.000% due 01/25/2022 21,700 22,192
8.000% due 03/25/2022 132 133
7.000% due 04/25/2022 17,091 16,632
10.000% due 05/01/2022 175 190
7.000% due 06/25/2022 1,585 1,562
8.000% due 06/25/2022 3,565 3,702
7.000% due 07/25/2022 6,991 6,918
8.000% due 07/25/2022 56,488 57,621
7.800% due 10/25/2022 4,143 4,149
6.500% due 10/25/2022 3,794 3,469
6.500% due 12/25/2022 251 248
3.663% due 02/25/2023 (d) 15,771 927
7.000% due 03/25/2023 27,100 26,100
6.500% due 05/18/2023 9,107 9,053
6.900% due 05/25/2023 148 138
7.000% due 06/25/2023 4,641 4,323
5.333% due 07/25/2023 (d) 146 130
6.000% due 08/25/2023 13,179 11,399
6.500% due 08/25/2023 49 47
1.000% due 09/25/2023 350 317
6.750% due 09/25/2023 3,713 3,439
6.750% due 10/25/2023 558 492
7.500% due 10/25/2023 67 67
6.500% due 11/25/2023 103 100
6.500% due 12/25/2023 1,089 961
7.100% due 12/25/2023 6,769 6,446
6.500% due 01/25/2024 2,490 2,131
7.250% due 02/25/2024 43 43
6.500% due 02/25/2024 5,150 4,818
7.500% due 06/20/2024 120 121
7.000% due 02/18/2025 140 140
6.600% due 05/18/2025 219 209
7.500% due 11/17/2025 289 295
7.500% due 12/25/2025 360 358
7.000% due 02/15/2026 180 179
7.000% due 07/18/2026 450 434
6.500% due 09/18/2026 120 112
7.000% due 12/18/2026 15,122 13,950
6.000% due 12/25/2026 170 156
6.000% due 03/25/2027 320 294
6.000% due 05/17/2027 5,470 4,709
7.000% due 07/18/2027 460 449
6.500% due 03/01/2028 559 537
6.500% due 06/25/2028 3,400 3,112
6.500% due 07/18/2028 67,412 61,808
9.092% due 09/25/2028 27,550 29,005
6.000% due 04/25/2029 10,181 7,780
6.300% due 10/17/2038 14,453 12,050
First Commonwealth Savings & Loan
10.375% due 04/01/2005 18 19
First Nationwide Trust
6.750% due 07/25/2029 15,821 15,746
6.500% due 10/19/2029 61,642 59,176
First Union Residential
Securitization, Inc.
6.750% due 08/25/2028 9,048 8,151
General Electric Capital Mortgage
Services, Inc.
6.750% due 12/25/2012 3,285 3,275
6.500% due 09/25/2023 1,175 1,030
6.500% due 12/25/2023 8,631 7,568
6.500% due 01/25/2024 3,895 3,398
6.500% due 02/25/2024 5 5
6.500% due 03/25/2024 57,897 52,782
6.500% due 04/25/2024 62,140 51,311
7.500% due 07/25/2027 10,278 10,131
7.000% due 11/25/2027 37,500 36,098
6.650% due 05/25/2028 8,566 8,538
6.750% due 05/25/2028 23,934 22,179
6.750% due 06/25/2028 1,554 1,551
6.550% due 06/25/2028 23,450 22,605
6.500% due 12/25/2028 19,500 17,954
5.950% due 07/25/2029 24,794 24,445
6.000% due 07/25/2029 18,307 17,950
6.250% due 07/25/2029 132,674 128,696
6.500% due 07/25/2029 95,240 87,290
7.000% due 09/25/2029 3,126 2,777
7.250% due 08/25/2029 8,000 7,642
General Motors Acceptance Corp.
6.150% due 11/15/2007 12,286 11,911
6.700% due 03/15/2008 16,155 15,675
6.974% due 07/15/2032 30,000 30,078
6.570% due 09/15/2033 19,727 19,441
Goldman Sachs Mortgage Corp.
6.000% due 12/31/2007 (j) 9,948 9,416
8.000% due 09/20/2027 40,872 40,846
Government National Mortgage Assn.
6.250% due 06/20/2022 59,840 59,615
7.250% due 12/16/2023 9,829 9,930
7.000% due 01/15/2024 471 464
8.000% due 05/16/2024 115 116
7.000% due 03/20/2026 320 311
7.000% due 08/20/2026 137 134
7.500% due 02/16/2027 38 37
7.500% due 07/16/2027 27,763 27,799
6.500% due 06/20/2028 10,670 9,114
6.500% due 07/20/2028 36,671 30,562
6.500% due 09/20/2028 26,674 22,471
6.500% due 01/20/2029 26,104 21,731
6.500% due 03/20/2029 16,259 14,965
6.000% due 05/20/2029 10,202 8,307
Greenwich
6.685% due 04/25/2022 (d) 806 816
6.514% due 07/25/2022 (d) 2,600 2,629
6.657% due 10/25/2022 (d) 108 109
6.719% due 04/25/2023 (d) 1,480 1,485
7.168% due 04/25/2024 (d) 1,830 1,846
7.528% due 06/25/2024 (d) 1,828 1,863
8.064% due 08/25/2024 (d) 2,703 2,772
8.145% due 11/25/2024 (d) 741 752
68 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
================================================================================
GS Mortgage Securities Corp.
6.060% due 10/18/2030 $ 33,872 $ 32,893
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2012 2,693 2,702
7.160% due 12/25/2012 924 927
7.250% due 11/25/2027 5,000 4,948
6.650% due 02/25/2029 161,687 153,429
ICI Funding Corp. Secured Assets Corp.
7.250% due 09/25/2027 18,068 17,820
7.750% due 03/25/2028 1,896 1,894
Imperial CMBI Trust
5.695% due 09/25/2026 (d) 8,909 8,956
7.250% due 11/25/2029 161 159
6.650% due 11/25/2029 1,338 1,330
Independent National Mortgage Corp.
6.650% due 10/25/2024 2,723 2,625
7.237% due 11/25/2024 (d) 2,521 2,586
8.750% due 12/25/2024 30 31
7.650% due 01/25/2025 (d) 205 209
8.000% due 06/25/2025 41 41
6.850% due 07/25/2025 (d) 11,118 11,335
7.164% due 07/25/2025 (d) 5,985 6,108
7.500% due 09/25/2025 1,692 1,702
International Mortgage Acceptance Corp.
12.250% due 03/01/2014 337 377
J.P. Morgan Commercial Mortgage Finance Corp.
9.000% due 10/20/2020 12,180 12,286
8.218% due 04/25/2028 1,615 1,579
6.533% due 01/15/2030 20,000 19,478
7.325% due 07/15/2031 55,799 56,516
Kidder Peabody Acceptance Corp.
7.440% due 09/25/2024 (d) 13,304 13,265
LB Mortgage Trust
8.396% due 01/20/2017 12,725 13,256
Marine Midland
8.000% due 10/25/2023 11 11
Mellon Residential Funding Corp.
6.350% due 06/25/2028 22,000 21,529
6.110% due 01/25/2029 23,900 22,584
6.570% due 07/25/2029 44,000 43,849
6.580% due 07/25/2029 55,500 55,223
Merrill Lynch Mortgage
7.263% due 06/15/2021 (d) 5,902 5,891
7.113% due 06/15/2021 2,967 2,949
7.523% due 06/15/2021 (d) 5,537 5,490
6.950% due 06/18/2029 37,775 38,008
Midland Realty Acceptance Corp.
7.020% due 01/25/2029 26,247 26,215
Morgan Stanley Capital
6.860% due 05/15/2006 2,534 2,540
6.190% due 01/15/2007 27,044 26,307
6.160% due 04/03/2009 14,571 14,096
6.590% due 10/03/2030 5,906 5,841
Mortgage Capital Funding, Inc.
7.800% due 04/15/2006 500 513
7.008% due 09/20/2006 15,545 15,278
Mortgage Capital Trust V
8.875% due 04/01/2018 102 101
Nacional Financier
22.000% due 05/20/2002 (d) 300,000 30,933
NationsBanc Montgomery Funding Corp.
6.500% due 07/25/2028 9,000 8,274
6.250% due 10/25/2028 2,000 1,799
Nationslink Funding Corp.
5.805% due 02/10/2001 33,086 33,086
6.096% due 12/10/2001 9,000 8,951
6.333% due 10/22/2004 7,780 7,738
5.638% due 04/10/2007 (d) 9,337 9,337
Nomura Asset Securities Corp.
6.882% due 05/25/2024 (d) 3,799 3,900
7.000% due 10/29/2029 (d) 15,000 14,128
Norwest Asset Securities Corp.
6.750% due 12/25/2012 19,758 19,502
6.250% due 11/25/2013 41,806 40,395
12.250% due 04/01/2014 54 53
6.750% due 09/25/2027 3,970 3,894
6.350% due 04/25/2028 2,500 2,494
6.750% due 10/25/2028 7,427 7,071
6.500% due 12/25/2028 20,000 18,397
6.500% due 02/25/2029 55,000 50,651
6.200% due 04/25/2029 77,385 74,821
5.950% due 04/25/2029 121,792 116,822
6.000% due 04/25/2029 19,713 19,316
5.950% due 04/25/2029 17,152 16,926
6.500% due 04/25/2029 12,200 11,204
6.300% due 04/25/2029 10,384 9,962
6.500% due 06/25/2029 41,178 37,747
PaineWebber Mortgage
6.000% due 04/25/2009 11,951 11,392
PNC Mortgage Securities Corp.
6.750% due 06/25/2016 12,259 12,154
7.000% due 10/25/2027 36,434 35,208
6.500% due 02/25/2028 2,437 2,432
7.000% due 02/25/2028 25,911 24,957
7.000% due 05/25/2028 7,784 7,767
6.750% due 07/25/2028 3,527 3,320
6.550% due 07/25/2028 24,500 24,301
6.750% due 09/25/2028 4,000 3,762
6.200% due 06/25/2029 34,900 34,144
6.500% due 06/25/2029 41,211 37,804
Prudential Bache
5.740% due 09/01/2018 (d) 265 261
8.400% due 03/20/2021 2,567 2,640
Prudential Home Mortgage Securities
7.000% due 01/25/2008 23,860 23,592
6.400% due 04/25/2009 1,748 1,744
6.950% due 11/25/2022 222 205
7.000% due 07/25/2023 13,903 13,833
6.750% due 10/25/2023 8,935 7,390
7.970% due 11/25/2023 (d) 2,048 2,040
5.900% due 12/25/2023 8,696 8,639
6.050% due 04/25/2024 4,634 4,604
6.800% due 05/25/2024 10,193 9,052
6.000% due 05/25/2024 9 9
6.450% due 11/25/2025 5,264 4,628
3.914% due 12/25/2025 (d) 383 370
Prudential Securities Secured Financing Corp.
6.074% due 01/15/2008 14,579 14,085
6.955% due 06/15/2008 14,791 14,822
PSB Financial Corp.
11.050% due 12/01/2015 553 590
Residential Accredit Loans, Inc.
6.250% due 03/25/2014 28,370 27,430
7.250% due 06/25/2027 2,100 2,072
7.500% due 08/25/2027 15,000 14,937
7.000% due 02/25/2028 41,115 39,626
Residential Asset Securities Corp.
7.000% due 03/25/2027 34 34
Residential Asset Securitization Trust
7.375% due 03/25/2027 5,142 5,043
7.000% due 10/25/2027 19,745 18,940
6.750% due 06/25/2028 22,074 22,083
6.500% due 12/25/2028 1,250 1,132
Residential Funding Mortgage Securities, Inc.
7.000% due 08/25/2008 8,379 8,408
6.250% due 10/25/2008 36 36
7.500% due 09/25/2011 19,855 20,030
6.500% due 12/25/2012 18,586 17,905
6.500% due 01/25/2013 144,948 141,709
7.750% due 09/25/2022 558 562
8.000% due 01/25/2023 3,452 3,504
7.500% due 09/25/2025 18,020 18,149
7.500% due 12/25/2025 959 960
7.750% due 11/25/2026 9,000 9,110
7.500% due 06/25/2027 51,535 51,277
7.500% due 07/25/2027 25,265 25,298
7.250% due 10/25/2027 44,000 43,033
7.000% due 11/25/2027 7,000 6,619
6.750% due 02/25/2028 15,201 14,922
6.750% due 05/25/2028 60,741 56,674
See accompanying notes 69
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited) Principal
Amount Value
(000s) (000s)
================================================================================
6.750% due 06/25/2028 $ 14,950 $ 14,888
6.750% due 09/25/2028 61,993 58,226
6.500% due 10/25/2028 52,000 47,842
6.250% due 11/25/2028 3,000 2,704
6.500% due 01/25/2029 52,231 48,009
6.200% due 05/25/2029 107,102 106,255
6.500% due 06/25/2029 8,343 6,405
6.750% due 07/25/2029 22,600 21,152
Resolution Trust Corp.
6.278% due 09/25/2020 (d) 12,262 4,537
6.869% due 09/25/2020 (d) 1,915 1,598
8.441% due 06/25/2021 (d) 284 284
8.684% due 08/25/2021 (d) 503 502
8.694% due 08/25/2021 8,000 7,991
6.610% due 09/25/2021 (d) 99 99
8.625% due 10/25/2021 171 170
8.136% due 10/25/2021 (d) 176 175
5.623% due 10/25/2021 (d) 148 146
8.625% due 05/25/2022 (d) 1,746 1,745
7.375% due 08/25/2023 (d) 2,000 2,003
8.835% due 12/25/2023 2,050 2,066
9.450% due 05/25/2024 16,688 16,632
7.100% due 12/25/2024 1,500 1,458
6.941% due 07/25/2028 (d) 14,001 13,977
6.780% due 10/25/2028 (d) 6,994 7,029
6.580% due 10/25/2028 (d) 17,005 17,396
6.877% due 05/25/2029 (d) 3,136 3,195
7.268% due 05/25/2029 (d) 3,573 3,565
RMF Commercial Mortgage Securities, Inc.
6.715% due 01/15/2019 235 229
Rural Housing Trust
3.330% due 10/01/2028 43 40
Ryan Mortgage Acceptance Corp.
9.450% due 10/01/2016 101 106
Ryland Acceptance Corp.
11.500% due 12/25/2016 108 108
8.200% due 09/25/2022 41 42
14.000% due 11/25/2031 1,019 1,096
Ryland Mortgage Securities Corp.
7.200% due 08/25/2022 (d) 2,171 2,201
6.562% due 08/25/2029 (d) 3,596 3,697
6.556% due 10/25/2031 (d) 6,216 6,256
Salomon Brothers Mortgage Securities
6.852% due 11/25/2022 (d) 775 790
7.669% due 07/01/2024 (d) 5,873 5,991
5.615% due 06/25/2027 (d) 728 729
5.719% due 04/25/2029 (d) 8,799 8,781
5.723% due 04/25/2029 (d) 33,398 33,388
Santa Barbara Savings
9.500% due 11/20/2018 2,599 2,598
Saxon Mortgage
7.181% due 08/25/2023 (d) 17,635 18,104
6.500% due 02/25/2024 2,501 2,479
7.622% due 09/25/2024 (d) 6,732 6,972
Securitized Asset Sales, Inc.
6.975% due 10/25/2023 (d) 1,996 2,052
6.966% due 12/26/2023 (d) 1,534 1,526
7.410% due 09/25/2024 (d) 9,900 10,000
Security Pacific National Bank
5.968% due 03/01/2018 (d) 95 95
Small Business Investment Co.
7.540% due 08/10/2009 88,000 87,560
Southern Pacific Secured Assets Corp.
5.509% due 06/25/2028 (d) 57,961 57,643
Starwood Commercial Mortgage
6.600% due 02/03/2009 12,535 12,413
Structured Asset Mortgage Investments, Inc.
6.125% due 11/25/2013 16,748 16,076
6.906% due 06/25/2028 (d) 41,996 42,009
6.250% due 11/25/2028 9,878 8,925
6.750% due 01/25/2029 3,000 2,815
6.300% due 05/25/2029 20,829 20,405
6.584% due 06/25/2029 (d) 32,422 31,591
7.250% due 07/25/2029 32,686 32,608
TMA Mortgage Funding Trust
5.719% due 01/25/2029 $ 41,726 $ 41,726
Union Planters Mortgage Finance Corp.
6.800% due 01/25/2028 15,000 14,701
6.750% due 01/25/2028 4,000 3,856
Vendee Mortgage Trust
7.000% due 02/15/2000 1,127 1,127
7.750% due 03/15/2016 600 605
7.500% due 08/15/2017 370 374
7.750% due 05/15/2018 550 559
6.500% due 05/15/2020 26,946 25,187
Western Federal Savings & Loan
6.430% due 06/25/2021 (d) 4,413 4,442
---------
6,874,323
=========
Federal Home Loan Mortgage Corporation 10.2%
5.125% due 10/15/2008 160 144
5.500% due 04/01/2001-10/14/2029 (g) 269,387 242,341
5.750% due 08/15/2020 300 295
6.000% due 12/01/2000-10/14/2028 (g) 2,237,782 2,105,558
6.055% due 12/01/2026 (d) 6,915 6,816
6.125% due 04/01/2017-06/01/2017 (d)(g) 60 60
6.500% due 07/01/2001-10/14/2029 (g) 369,874 350,555
6.543% due 11/01/2026 (d) 9,478 9,518
6.625% due 01/01/2019 (d) 10 10
6.732% due 11/01/2028 (d) 29,366 29,316
6.750% due 01/17/2025 12,519 12,468
6.775% due 11/01/2003 69 69
6.781% due 07/01/2022 (d) 1,219 1,248
6.849% due 07/01/2023 (d) 641 654
6.856% due 05/01/2023 (d) 1,968 1,991
6.873% due 07/01/2025 (d) 8,301 8,369
6.883% due 09/01/2023 (d) 12,200 12,502
6.919% due 07/01/2023 (d) 2,262 2,324
6.930% due 05/01/2023 (d) 1,246 1,276
6.931% due 09/01/2023 (d) 1,692 1,718
6.934% due 08/01/2023 (d) 6,243 6,339
6.942% due 07/01/2024 (d) 2,184 2,236
6.948% due 08/01/2023 (d) 1,182 1,203
6.978% due 01/01/2024 (d) 555 572
6.984% due 08/01/2024 (d) 375 383
7.000% due 01/01/2000-07/01/2028 (g) 16,809 16,873
7.013% due 01/01/2024 (d) 553 566
7.036% due 04/01/2023 (d) 583 590
7.059% due 08/01/2023 (d) 550 569
7.075% due 05/01/2027 (d) 1,260 1,286
7.095% due 11/01/2023 (d) 419 430
7.102% due 06/01/2024 (d) 1,258 1,293
7.125% due 09/01/2023 (d) 2,693 2,772
7.129% due 08/01/2023 (d) 11 11
7.157% due 10/01/2023 (d) 511 528
7.198% due 10/01/2023 (d) 1,726 1,771
7.208% due 10/01/2023 (d) 1,217 1,258
7.210% due 10/25/2023 (d) 18,319 19,200
7.230% due 11/01/2023 (d) 434 438
7.241% due 04/01/2029 (d) 1,626 1,677
7.270% due 04/01/2024 (d) 8,222 8,453
7.282% due 09/01/2027 (d) 3,185 3,284
7.333% due 11/01/2023 (d) 349 353
7.500% due 09/01/2003-10/14/2029 (g) 59,502 59,867
7.533% due 09/01/2023 (d) 1,717 1,738
7.550% due 10/01/2023 (d) 1,845 1,868
7.555% due 10/01/2023 (d) 1,137 1,151
7.750% due 04/01/2007 30 30
8.000% due 10/01/2007-10/01/2027 (g) 4,650 4,779
8.250% due 08/01/2007-12/01/2009 (g) 224 230
8.500% due 09/01/2001-01/01/2028 (g) 28,637 29,720
8.750% due 02/01/2001-12/01/2010 (g) 184 190
8.900% due 11/15/2020 15,239 15,694
9.000% due 01/01/2002-09/15/2020 (g) 737 767
9.250% due 06/01/2009-11/01/2013 (g) 117 121
9.500% due 08/01/2001-06/01/2021 (g) 1,691 1,787
9.750% due 11/01/2004-05/01/2009 (g) 51 54
10.000% due 06/01/2004-11/15/2019 (g) 860 895
10.250% due 03/15/2009-05/01/2009 (g) 1,361 1,470
11.000% due 09/01/2000-07/01/2019 (g) 724 784
70 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
=======================================================================
11.250% due 10/01/2009-09/01/2015 (g) $ 138 $ 150
11.500% due 03/01/2000-05/01/2000 (g) 3 3
12.500% due 12/01/2012 21 23
13.250% due 10/01/2013 81 93
14.000% due 04/01/2016 24 28
15.500% due 08/01/2011-11/01/2011 (g) 16 18
16.250% due 05/01/2011 3 3
---------
2,980,780
---------
Federal Housing Administration 1.6%
6.500% due 02/15/2001-03/01/2040 (g)(j) 14,652 14,555
6.630% due 05/28/2039-07/01/2040 (g) 3,091 3,043
6.687% due 07/25/2040 1,491 1,492
6.750% due 02/01/2022-05/28/2039 (g) 11,619 11,692
6.755% due 06/25/2039 16,213 15,560
6.770% due 05/28/2039 19,300 19,451
6.780% due 05/28/2039 6,162 6,172
6.790% due 05/01/2039 10,920 10,489
6.830% due 12/01/2039-08/01/2041 (g) 19,216 19,062
6.875% due 11/01/2015 3,153 3,134
6.880% due 02/01/2041 11,520 11,592
6.896% due 07/01/2020 24,706 24,682
6.900% due 12/01/2040 3,469 3,494
6.930% due 01/01/2036 21,741 21,215
7.000% due 11/15/2040 3,645 3,736
7.050% due 05/28/2039-03/25/2040 (g) 4,517 4,431
7.125% due 03/01/2034 4,444 4,489
7.211% due 12/01/2021 2,792 2,831
7.250% due 12/01/2021-04/30/2039 (g) 20,116 20,516
7.310% due 07/30/2039 23,566 23,785
7.315% due 08/01/2019 34,827 33,270
7.317% due 05/01/2019 4,915 4,931
7.375% due 03/01/2019-01/01/2024 (g) 11,469 11,534
7.400% due 02/01/2021 2,403 2,429
7.430% due 12/01/2016-05/01/2025 (g) 90,545 91,678
7.450% due 04/01/2040 7,616 7,561
7.465% due 11/01/2019 34,279 34,846
7.500% due 03/01/2032-09/30/2039 (g) 20,131 20,119
7.630% due 08/01/2041 2,028 2,038
7.650% due 11/01/2018-11/01/2040 (g) 7,560 7,640
7.700% due 11/15/2039 6,753 6,702
7.750% due 11/15/2039 7,033 7,025
8.250% due 10/01/2039 4,722 4,786
--------
459,980
========
Federal National Mortgage Association 3.4%
5.500% due 02/01/2014-10/14/2028 (g) 213,191 191,547
5.650% due 04/25/2005 91 91
5.654% due 09/01/2017 (d) 4,708 4,557
5.730% due 05/01/2018-03/01/2033 (d)(g) 17,840 17,453
5.740% due 08/01/2029 (d) 1,067 1,043
5.745% due 09/01/2024 (d) 2,832 2,778
5.746% due 05/01/2036 (d) 1,151 1,122
5.748% due 10/01/2032 (d) 16,800 16,433
5.753% due 11/01/2035-05/01/2036 (d)(g) 107,077 104,560
5.758% due 05/01/2036 (d) 57,590 56,160
6.000% due 05/01/2000-01/01/2029 (g) 126,696 120,378
6.194% due 04/01/2027 (d) 167 167
6.200% due 04/25/2005 379 379
6.250% due 07/25/2007 100 100
6.375% due 10/25/2029 53,570 52,448
6.386% due 09/01/2022 (d) 1,553 1,577
6.390% due 05/25/2036 17,144 13,765
6.407% due 12/01/2023 (d) 1,036 1,056
6.485% due 09/01/2022 (d) 1,549 1,563
6.500% due 11/01/2003-03/01/2029 (g) 74,439 71,816
6.573% due 04/01/2026 (d) 1,419 1,447
6.600% due 09/25/2018 4,894 4,908
6.629% due 01/01/2024 (d) 473 489
6.632% due 02/01/2026 (d) 597 617
6.637% due 12/01/2027 (d) 9,611 9,777
6.690% due 01/01/2024 (d) 919 949
6.691% due 08/01/2027 (d) 50,516 51,155
6.750% due 08/01/2003 380 384
6.759% due 09/01/2024 (d) 1,453 1,484
6.770% due 09/01/2005 225 226
6.793% due 07/01/2024 (d) 5,562 5,677
6.813% due 10/01/2027 (d) 6,309 6,412
6.832% due 03/01/2025 (d) 3,816 3,913
6.833% due 11/01/2025 (d) 2,416 2,484
6.835% due 07/01/2003 68 68
6.904% due 01/01/2024 (d) 230 238
6.913% due 03/01/2026 (d) 3,231 3,329
6.950% due 11/01/2023-03/25/2026 (d)(g) 468 473
6.977% due 11/01/2025 (d) 4,612 4,726
6.986% due 01/01/2026 (d) 1,517 1,557
6.989% due 11/01/2025 (d) 1,637 1,672
7.000% due 07/01/2001-07/01/2028 (g) 136,412 135,951
7.070% due 01/01/2024 (d) 2,175 2,240
7.083% due 05/01/2026 (d) 728 749
7.096% due 05/01/2024 (d) 2,609 2,732
7.157% due 11/01/2023 (d) 1,058 1,088
7.195% due 09/01/2025 (d) 2,405 2,460
7.250% due 05/01/2002-01/01/2023 (g) 11,176 11,170
7.276% due 12/01/2023 (d) 1,412 1,452
7.350% due 09/01/2027 (d) 2,233 2,313
7.500% due 08/01/2003-10/14/2029 (g) 61,101 61,562
7.566% due 09/01/2023 (d) 3,370 3,479
7.577% due 10/01/2023 (d) 413 421
7.750% due 06/01/2009 190 195
8.000% due 09/01/2001-12/01/2026 (g) 6,030 6,172
8.250% due 10/01/2008-02/01/2017 (g) 588 609
8.500% due 07/01/2001-05/01/2027 (g) 3,027 3,141
9.000% due 10/01/2004-04/01/2017 (g) 1,112 1,160
9.250% due 10/01/2001 9 9
9.500% due 12/01/2006-07/01/2022 (g) 90 97
9.750% due 11/01/2008 71 77
10.000% due 09/01/2003-05/01/2022 (g) 555 602
10.500% due 12/01/2016-04/01/2022 (g) 587 643
10.750% due 03/01/2014 26 28
12.000% due 05/01/2016 12 13
13.000% due 09/01/2013 37 42
13.250% due 09/01/2011 15 18
14.500% due 11/01/2011-01/01/2013 (g) 55 61
14.750% due 08/01/2012-11/01/2012 (g) 201 234
15.000% due 10/15/2012 111 131
15.500% due 10/01/2012-12/01/2012 (g) 19 22
15.750% due 12/01/2011-08/01/2012 (g) 129 153
16.000% due 09/01/2012 133 157
---------
1,000,159
=========
Government National Mortgage Association 15.3%
5.000% due 07/20/2028-08/20/2028 (d)(g) 23,546 23,304
5.500% due 05/20/2028-06/20/2028 (d)(g) 32,532 32,216
5.650% due 10/15/2012 12 11
6.000% due 10/15/2008-10/21/2029 (d)(g) 555,341 521,513
6.125% due 12/20/2020-12/20/2027 (d)(g) 416,315 421,953
6.375% due 06/20/2021-06/20/2027 (d)(g) 593,637 602,320
6.500% due 05/15/2001-10/15/2038 (g) 2,114,771 2,022,814
6.625% due 12/15/2000-01/15/2040 (d)(g) 471,592 477,171
6.750% due 07/15/2001-06/20/2028 (g) 23,349 20,812
6.800% due 09/15/2001-10/15/2040 (g) 3,000 2,947
6.820% due 09/15/2001 10,931 11,095
6.850% due 10/15/2040 6,191 6,255
6.875% due 04/20/2023 (d) 454 461
7.000% due 10/15/2001-11/22/2029 (g) 291,985 286,459
7.125% due 08/20/2027 (d) 51 51
7.500% due 04/15/2007-10/21/2029 (g) 29,888 30,079
8.000% due 05/15/2001-09/20/2026 (g) 2,409 2,478
8.250% due 08/15/2004-05/15/2022 (g) 519 546
8.500% due 06/15/2001-01/20/2027 (g) 7,786 8,053
8.750% due 03/15/2007-07/15/2007 (g) 104 108
9.000% due 06/15/2001-07/20/2022 (g) 4,891 5,150
9.250% due 10/15/2001-12/20/2016 (g) 272 284
9.500% due 04/15/2001-08/15/2023 (g) 4,371 4,693
9.750% due 09/15/2002-01/15/2021 (g) 172 182
10.000% due 04/15/2001-02/15/2025 (g) 3,622 3,953
10.250% due 10/15/1999-02/20/2019 (g) 28 31
10.500% due 06/15/2004-04/20/2016 (g) 230 246
11.000% due 01/15/2001-03/15/2019 (g) 124 137
11.250% due 03/15/2001-12/20/2015 (g) 38 43
11.500% due 10/15/2010-05/15/2013 (g) 10 12
12.000% due 02/15/2000-01/15/2015 (g) 65 74
See accompanying notes 71
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited) Principal
Amount Value
(000s) (000s)
12.500% due 01/15/2011 $ 1 $ 2
13.000% due 12/15/2012-10/15/2014 (g) 25 29
13.250% due 10/20/2014 20 23
13.500% due 11/15/2012-12/15/2012 (g) 6 7
15.000% due 02/15/2012-10/15/2012 (g) 112 134
16.000% due 01/15/2012-05/15/2012 (g) 73 87
17.000% due 11/15/2011-12/15/2011 (g) 77 87
---------
4,485,820
---------
Other Mortgage-Backed Securities 0.6%
Aames Mortgage Trust
7.275% due 05/15/2020 9 9
Allied Waste North America, Inc.
8.188% due 07/30/2006 (d) 27,045 26,910
8.250% due 07/30/2007 (d) 7,573 7,573
8.438% due 07/30/2007 (d) 20,554 20,479
Bank of America
9.000% due 03/01/2008 48 48
Citibank, NA
8.000% due 07/25/2018 56 57
DBL Mortgage Funding
9.500% due 08/01/2019 8 8
Federal Home Loan Mortgage Corp.
11.875% due 06/15/2013 45 48
First Interstate Bancorp
9.125% due 01/01/2009 (j) 11 11
General Electric Credit Corp.
8.000% due 03/01/2002 (j) 33 33
7.250% due 07/25/2011 4,807 4,821
German American Capital Corp.
8.360% due 09/30/2002 1,976 1,972
6.581% due 07/01/2018 (d) 8,665 8,506
Great Western Savings & Loan
5.580% due 08/01/2017 (d) 137 135
Guardian
6.601% due 12/25/2018 (d) 98 85
Home Savings of America
8.464% due 08/01/2006 75 74
5.464% due 05/25/2027 (d) 2,560 2,489
6.121% due 08/20/2029 (d) 9,844 9,906
Imperial Savings & Loan
10.000% due 09/01/2016 122 127
8.238% due 01/25/2017 (d) 69 69
8.828% due 07/25/2017 (d) 279 278
LTC Commercial Corp.
7.100% due 11/28/2012 3,712 3,732
MDC Mortgage Funding
8.031% due 01/25/2025 (d) 208 212
Merrill Lynch Mortgage
7.883% due 06/15/2021 (d) 1,229 1,220
Mid-State Trust
8.330% due 04/01/2030 68,694 70,663
Morgan Stanley Mortgage
8.150% due 07/20/2021 7 7
Resolution Trust Corp.
6.800% due 09/25/2020 (d) 359 338
6.968% due 05/25/2029 (d) 3,940 3,893
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 964 991
Sears Mortgage
12.000% due 02/25/2014 755 756
7.217% due 10/25/2022 (d) 2,708 2,738
Western Federal Savings & Loan
6.269% due 11/25/2018 (d) 27 27
-------
168,215
-------
Stripped Mortgage-Backed Securities 0.1%
Bear Stearns Mortgage Securities, Inc. (IO)
7.200% due 07/25/2024 449 39
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 406 16
6.500% due 11/15/2006 1,022 39
6.500% due 03/15/2007 1,339 48
5.750% due 09/15/2007 (d) 6,401 428
6.000% due 10/15/2007 427 27
6.000% due 01/15/2008 179 11
5.428% due 02/15/2008 (d) 639 59
6.400% due 10/15/2008 115 11
6.500% due 08/15/2016 1,378 43
6.500% due 08/15/2017 305 12
7.000% due 04/15/2018 1,145 81
7.500% due 08/15/2018 68 2
8.845% due 01/15/2021 2 51
9.000% due 05/15/2022 119 29
6.500% due 09/15/2023 391 51
6.500% due 06/15/2029 74,088 24,693
Federal National Mortgage Association (IO)
6.750% due 09/25/2004 1 0
7.000% due 06/25/2005 3 0
6.500% due 07/25/2006 2,191 84
7.272% due 09/25/2006 4 36
6.500% due 02/25/2007 2,181 148
6.500% due 07/25/2007 757 35
6.500% due 09/25/2007 2,818 207
6.500% due 10/25/2007 1,002 62
0.100% due 03/25/2009 (d) 31,999 574
7.000% due 08/25/2015 625 6
7.000% due 08/25/2016 254 5
6.500% due 08/25/2020 2,666 340
10.070% due 01/25/2021 0 4
7.500% due 04/25/2021 1,887 305
9.032% due 08/25/2021 7 182
0.950% due 11/25/2021 (d) 30,703 519
6.500% due 10/25/2022 212 20
6.500% due 01/25/2023 3,321 552
Federal National Mortgage Association (PO)
0.000% due 09/01/2007 846 673
0.000% due 02/25/2021 1,299 1,262
0.000% due 06/25/2022 934 894
0.000% due 08/25/2023 295 196
PaineWebber (IO)
13.595% due 08/01/2019 1 60
Vendee Mortgage Trust (IO)
0.542% due 06/15/2023 (d) 173,629 3,072
----------
34,876
----------
Total Mortgage-Backed Securities 16,004,153
(Cost $16,239,569) ==========
ASSET-BACKED SECURITIES 8.8%
Advanta Mortgage Loan Trust
5.575% due 05/25/2027 (d) 2,536 2,534
Advanta Revolving Home Equity Loan Trust
5.750% due 01/25/2024 (d) 35,400 35,400
AFC Home Equity Loan Trust
6.623% due 10/25/2026 (d) 3,487 3,518
Allied Waste North America, Inc.
8.438% due 07/30/2007 (d) 4,327 4,327
America West Airlines
10.500% due 01/02/2004 (d) 23 22
American Express Credit Account Master Trust
6.800% due 12/15/2003 1,500 1,504
American Stores
5.613% due 08/30/2004 20,000 19,775
Americredit Automobile Receivable Trust
6.540% due 05/12/2001 352 353
5.304% due 10/12/2002 23,000 22,810
5.780% due 05/12/2003 43,000 42,342
Amresco Residential Securities
5.539% due 10/25/2027 (d) 6,381 6,378
5.494% due 05/25/2028 (d) 11,106 11,139
Arcadia Automobile Receivables Trust
6.300% due 07/16/2001 603 604
6.250% due 09/15/2002 83,500 83,396
5.900% due 11/15/2002 22,725 22,714
6.300% due 07/15/2003 26,025 25,975
6.900% due 12/15/2003 26,800 26,773
Associates Manufactured Housing
7.000% due 03/15/2027 9,086 9,126
Auto Receivables Trust
6.500% due 04/16/2003 4 4
72 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
========================================================================
Banc One Home Equity Trust
6.460% due 06/25/2029 $ 53,462 $ 53,278
Bayview Financial Acquisition
5.889% due 02/25/2029 (d) 6,361 6,365
Brazos Student Loan Finance Co.
5.495% due 06/01/2023 (d) 32,700 32,095
5.200% due 12/01/2025 (d) 24,015 24,000
California Infrastructure
6.150% due 06/25/2002 11,356 11,367
Champion Home Equity Loan Trust
5.599% due 03/25/2029 (d) 6,201 6,155
Charter Commercial Holdings LLC
7.810% due 03/31/2008 20,000 20,000
Charter Communications
7.890% due 03/31/2008 17,000 17,064
Chase Manhattan Auto Owner Trust
5.750% due 10/15/2001 431 431
Chase Manhattan Grantor Trust
5.200% due 02/15/2002 321 320
6.610% due 09/15/2002 1,828 1,836
Chase Mortgage Finance Corp.
6.750% due 10/25/2028 30,000 26,437
CMC Securities Corporation IV
7.250% due 11/25/2027 1,227 1,206
Columbia/HCA Healthcare
7.125% due 06/11/2000 25,000 24,750
Community Program Loan Trust
4.500% due 10/01/2018 26,417 23,891
4.500% due 04/01/2029 26,000 19,500
Conseco
6.650% due 09/25/2029 26,000 26,000
Contimortgage Home Equity Loan Trust
6.370% due 10/15/2012 (d) 13,248 13,222
6.130% due 03/15/2013 5,000 4,989
6.150% due 03/15/2013 (d) 3,428 3,429
6.400% due 07/15/2014 2,000 1,992
6.770% due 01/25/2018 41,700 41,600
6.990% due 03/15/2021 350 351
6.930% due 11/25/2022 36,300 36,093
5.409% due 06/15/2028 (d) 4,707 4,703
5.479% due 08/15/2028 (d) 3,934 3,911
Copelco Capital Funding Corp.
6.340% due 07/20/2004 22 22
CPS Auto Trust
5.995% due 06/15/2002 7,000 6,999
CS First Boston Mortgage Securities Corp.
6.750% due 09/25/2028 6,960 6,586
Daimler-Benz Vehicle Trust
6.050% due 03/31/2005 4,691 4,692
Delta Air Lines Equipment Trust
9.230% due 07/02/2002 (j) 7,081 7,405
10.500% due 01/02/2007 (j) 6,839 7,926
10.570% due 01/02/2007 (j) 15,881 19,156
9.550% due 01/02/2008 (j) 7,773 8,513
10.430% due 01/02/2011 960 1,112
10.000% due 06/05/2013 10,828 12,499
Delta Funding Home Equity Loan
6.140% due 02/15/2018 46,849 46,784
Discover Card Master Trust
5.600% due 05/16/2006 1,600 1,541
5.301% due 10/16/2013 (d) 400 401
Duck Auto Grantor Trust
5.650% due 03/15/2004 12,852 12,775
EQCC Home Equity Loan Trust
6.710% due 07/15/2011 330 331
5.540% due 10/15/2027 (d) 1,211 1,195
Equivantage Home Equity Loan Trust
6.550% due 10/25/2025 104 104
Felco Funding LLC
5.980% due 09/15/2001 500 500
Fidelity Equipment Lease Trust
5.860% due 09/15/2001 27,949 27,818
First Omni Bank
6.650% due 09/15/2003 (d) 1,500 1,510
First Security Auto Grantor Trust
6.100% due 04/15/2003 1,359 1,361
First Security Corp.
5.875% due 11/01/2003 9,000 8,614
First Union Master Credit Card Trust
5.096% due 09/15/2003 88,750 88,860
Flag Limited
7.213% due 12/15/2004 (d) 13,501 13,265
Fleet Financial Credit Association
7.760% due 10/18/2017 28,900 28,781
FMAC Loan Receivables Trust
6.200% due 09/15/2020 330 325
6.500% due 09/15/2020 252 248
6.830% due 09/15/2020 680 621
Ford Credit Auto Owner Trust
5.800% due 10/15/2000 361 361
5.310% due 04/16/2001 209 209
5.770% due 11/15/2001 20,000 19,957
Ford Credit Grantor Trust
6.750% due 09/15/2000 639 639
Ford Motor Credit Corp.
5.500% due 02/15/2003 5,300 5,246
Fred Meyer, Inc.
6.250% due 03/19/2003 (d) 12,405 12,297
General Motors Acceptance Corp.
6.500% due 04/15/2002 12,475 12,487
5.770% due 11/18/2025 (d) 50,000 49,920
Green Tree Financial Corp.
7.150% due 07/15/2027 711 715
6.490% due 03/15/2028 59,750 59,784
6.420% due 11/15/2028 2,854 2,857
6.870% due 04/01/2030 1,105 1,023
6.660% due 06/01/2030 1,405 1,263
Green Tree Floorplan Receivables Master Trust
5.750% due 11/01/2004 46,000 46,000
Green Tree Home Improvement Loan
6.390% due 01/15/2029 16,088 16,122
Green Tree Recreational Equipment
6.430% due 04/17/2006 3,300 3,300
Household Consumer Loan Trust
5.800% due 08/15/2006 (d) 26,231 25,927
IKON Receivables LLC
5.600% due 05/15/2005 31,029 30,917
IMC Home Equity Loan Trust
7.373% due 07/25/2026 (d) 875 879
IMPAC Secured Assets CMN Owner
7.770% due 07/25/2025 2,000 1,980
Indymac Home Equity Loan
5.346% due 10/25/2029 (d) 21,965 21,969
Intergrated Health Services
8.875% due 12/31/2005 (d) 14,775 12,116
LP Timberland Limited
5.725% due 11/13/1999 (d) 10,000 9,850
Korea National Housing
8.438% due 05/23/2001 65,000 65,975
Lyondell Petroleum
8.303% due 06/17/2003 7,500 7,463
8.674% due 06/17/2003 3,448 3,431
8.980% due 12/31/2003 (d) 79,700 79,352
MBNA Master Credit Card Trust
6.050% due 11/15/2002 245 245
Mellon Bank Home Equity
5.900% due 10/25/2010 20,924 20,826
Merit Securities Corp.
6.160% due 07/28/2033 11,052 10,992
7.880% due 12/28/2033 34,400 34,024
Metlife Capital Equipment Loan Trust
6.850% due 05/20/2008 (d) 320 321
Metris Master Trust
5.943% due 04/20/2006 (d) 20,000 20,150
Money Store Home Equity Trust
6.115% due 06/15/2010 1,162 1,160
7.550% due 02/15/2020 500 503
6.345% due 11/15/2021 (d) 2,171 2,168
5.399% due 05/15/2025 (d) 8,800 8,802
See accompanying notes 73
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited) Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Morgan Stanley Capital
5.394% due 07/25/2027 (d) $ 1,438 $ 1,433
MPC Natural Gas Funding Trust
6.200% due 03/15/2013 9,731 9,397
Myra-United Mexican States
5.813% due 10/20/2006 (d) 444 402
5.875% due 12/23/2006 (d) 931 819
6.093% due 12/23/2006 (d) 1,283 1,155
6.063% due 12/23/2006 (d) 1,019 897
5.875% due 12/23/2006 (d) 23 21
5.813% due 12/23/2006 (d) 6,045 5,444
5.875% due 12/23/2006 (d) 3,304 2,865
5.813% due 12/23/2006 (d) 5,253 4,691
5.733% due 12/23/2006 (d) 1,561 1,406
5.875% due 12/23/2006 (d) 2,389 2,103
National Medical Care
6.563% due 09/30/2003 (d) 58,333 57,706
NationsBank Corp.
5.850% due 06/15/2002 615 616
Nationsbank Credit Card Master Trust
6.450% due 04/15/2003 225 226
Newcourt Receivable Asset Trust
6.240% due 12/20/2004 8 8
Nomura CBO Limited
6.670% due 05/15/2009 1,900 1,941
Norwest Asset Securities Corp
6.500% due 04/25/2013 21,149 20,332
6.500% due 06/25/2013 10,957 10,529
7.500% due 03/25/2027 28,340 27,874
6.750% due 05/25/2028 27,707 25,651
6.750% due 07/25/2028 12,657 11,611
6.200% due 09/25/2028 19,077 19,018
NPF XI, Inc.
6.815% due 07/01/2001 8,860 8,886
NPF XII, Inc.
7.050% due 06/01/2003 31,000 30,758
Olympic Automobile Receivable Trust
6.050% due 08/15/2002 19,784 19,814
PP&L Transition Bond Co.
6.830% due 03/25/2007 28,800 28,905
Premiere Auto Trust
6.575% due 10/06/2000 602 603
5.770% due 01/06/2002 13,025 13,018
Primedia, Inc.
8.130% due 07/31/2004 (d) 20,000 19,975
Republic of Korea
8.063% due 04/08/2001 (d) 10,000 10,038
Residential Asset Securities Corp.
6.960% due 07/25/2014 55,000 54,983
6.240% due 02/25/2017 7,170 7,112
6.600% due 01/25/2020 5,200 5,190
8.000% due 10/25/2024 (d) 6,965 6,969
5.464% due 10/25/2027 (d) 3,803 3,783
6.750% due 03/25/2028 40,000 37,166
Residential Funding Mortgage
7.000% due 10/29/2029 26,041 24,706
RJR Nabisco
7.500% due 12/31/2001 (d) 25,000 24,531
Salomon Brothers Mortgage Securities
5.639% due 06/25/2029 (d) 51,646 51,630
5.960% due 11/10/2029 27,900 27,900
Saxon Asset Securities Trust
6.475% due 11/25/2020 31 30
5.613% due 05/25/2029 (d) 13,327 13,337
Sears Credit Account Master Trust
6.050% due 01/16/2008 500 494
7.000% due 07/15/2008 500 508
Starwood Hotels & Resorts Worldwide, Inc.
9.133% due 02/23/2003 (d) 20,000 20,000
Stone Container Corp.
8.750% due 10/01/2003 (d) 5,433 5,446
The Money Store Home Equity Trust
7.380% due 03/15/2017 5,044 5,047
6.490% due 10/15/2026 17,000 16,791
Total Renal Care Holdings
8.125% due 03/31/2008 47,520 47,461
Toyota Auto Lease Trust
6.450% due 04/26/2004 300 300
UCFC Manufactured Housing
5.240% due 01/15/2010 (d) 13,063 13,045
UniCapital Corp.
6.540% due 07/23/2002 39,800 39,800
United Air Lines Equipment Trust
9.200% due 03/22/2008 4,137 4,404
10.360% due 11/13/2012 7,000 8,116
10.020% due 03/22/2014 6,925 7,744
10.850% due 07/05/2014 34,111 41,102
10.850% due 02/19/2015 1,500 1,769
10.125% due 03/22/2015 14,300 16,803
9.060% due 06/17/2015 5,000 5,121
9.210% due 01/21/2017 2,000 2,131
USAA Auto Loan Grantor Trust
6.150% due 05/15/2004 3,139 3,137
5.800% due 01/15/2005 5,353 5,334
WFS Financial Owner Trust
6.050% due 07/20/2001 230 229
6.500% due 09/20/2001 1,095 1,098
WWC Mortgage Loan
5.831% due 09/25/2029 97,000 97,000
Ziff-Davis, Inc.
8.813% due 03/31/2006 15,000 15,009
---------
Total Asset-Backed Securities 2,578,221
(Cost $2,590,257) =========
SOVEREIGN ISSUES 3.8%
African Development Bank
9.300% due 07/01/2000 200 205
Alcan Aluminum
5.875% due 04/01/2000 250 250
Banco Nacional de Comercio Exterior
7.500% due 07/01/2000 2,000 2,011
Cemex SA
10.750% due 07/15/2000 6,250 6,406
Central Bank Philippines
6.000% due 06/01/2008 (d) 14,240 13,172
Citibank Nassau
9.750% due 04/26/2000 17,100 17,142
City of Buenos Aires
11.250% due 04/11/2007 5,000 4,218
Credit Lyonnais
5.688% due 07/21/2000 (d) 6,750 6,721
Embotelladora Africa SA
9.875% due 03/15/2006 8,500 8,844
Export-Import Bank Korea
6.500% due 11/15/2006 5,000 4,738
Hellenic Republic
5.828% due 06/06/2001 (d) 20,000 20,091
Hydro Quebec
7.375% due 02/01/2003 150 154
9.400% due 02/01/2021 500 608
8.500% due 12/01/2029 5,085 5,610
9.375% due 04/15/2030 600 727
9.500% due 11/15/2030 2,370 2,911
Kingdom of Sweden
10.250% due 11/01/2015 500 643
Korea Development Bank
6.510% due 10/20/2000 11,000 10,977
8.600% due 03/25/2002 1,600 1,633
6.500% due 11/15/2002 2,040 1,967
7.125% due 04/22/2004 19,125 18,560
Korean Export-Import Bank
7.125% due 09/20/2001 10,000 9,872
Nacional Financiera
8.693% due 12/01/2000 (d) 510 521
9.750% due 03/12/2002 10,000 10,200
6.875% due 05/08/2003 (d) 7,750 7,401
Petroleos Mexicanos
7.750% due 10/29/1999 1,000 1,000
9.375% due 12/02/2008 33,150 33,794
74 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
================================================================================
Providence of Newfoundland
9.000% due 06/01/2019 $ 500 $ 576
Province of Buenos Aires
12.500% due 03/15/2002 10,400 9,880
Province of Nova Scotia
9.375% due 07/15/2002 1,000 1,069
Province of Ontario
6.125% due 06/28/2000 800 803
7.750% due 06/04/2002 200 207
7.625% due 06/22/2004 1,000 1,042
7.000% due 08/04/2005 1,000 1,015
5.500% due 10/01/2008 10,000 9,130
Province of Quebec
7.500% due 07/15/2002 6,000 6,158
8.800% due 04/15/2003 100 107
5.650% due 06/11/2004 (d) 15,500 15,475
7.125% due 02/09/2024 910 873
Republic of Argentina
10.950% due 11/01/1999 7,575 7,604
14.250% due 11/30/2002 (d) 56,511 53,403
11.447% due 04/10/2005 (d) 143,500 126,474
Republic of Bulgaria
6.500% due 07/28/2011 (d) 5,000 3,545
2.750% due 07/28/2012 (d) 20,000 12,563
6.500% due 07/28/2024 (d) 10,000 6,874
Republic of Chile
6.875% due 04/28/2009 25,000 23,491
Republic of Colombia
8.750% due 10/06/1999 1,000 1,000
7.625% due 02/15/2007 6,200 4,828
8.625% due 04/01/2008 5,000 4,024
Republic of Germany
0.000% due 07/04/2028 61,000 55,643
Republic of Korea
7.594% due 04/08/2000 (d) 88,000 88,330
8.281% due 04/08/2000 (d) 31,044 31,160
Republic of Philippines
6.377% due 01/05/2005 (d) 16,652 15,905
6.000% due 12/01/2007 10,438 9,629
6.500% due 12/01/2017 4,216 3,544
Republic of Poland
5.000% due 10/27/2014 35,265 31,033
3.000% due 10/27/2024 (d) 33,000 20,090
Republica Orient Uruguay
7.250% due 05/04/2009 2,500 2,400
Royal Bank of Scotland Group PLC
6.400% due 04/01/2009 15,000 13,898
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 42,300 43,397
State of Israel
6.200% due 06/14/2003 25 24
State of Qatar
9.500% due 05/21/2009 30,000 30,975
United Mexican States
6.313% due 03/20/2000 (d) 306 304
6.625% due 03/20/2000 (d) 153 150
5.750% due 04/07/2000 (d) 54,645 54,027
6.000% due 04/07/2000 (d) 26,945 26,770
6.768% due 06/27/2002 (d) 101,701 98,922
7.000% due 06/02/2003 200 127
6.263% due 04/07/2004 (d) 17,681 18,899
9.060% due 04/07/2004 (d) 35,486 35,681
6.250% due 12/31/2019 6,250 4,647
5.874% due 12/31/2019 8,000 6,896
5.875%RdueR12/31/2019 (d) 49,500 42,666
----------
Total Sovereign Issues 1,115,634
==========
(Cost $1,115,536)
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.6%
AXA
2.500% due 01/01/2014 EC 2,475 2,506
City of Montreal
11.500% due 09/20/2000 C$ 7,000 5,032
Commonwealth of Canada
6.500% due 06/01/2004 1,000 703
Commonwealth of New Zealand
0.000% due 03/15/2002 N$ 132,500 74,468
0.000% due 04/15/2003 105,400 52,959
4.500 %due 02/15/2016 23,000 11,886
Export-Import Bank Korea
3.162% due 10/06/2000 (d) DM 5,000 2,655
France Telecom
2.000% due 01/01/2004 FF 9,761 1,824
Interamerican Development Bank
5.750% due 04/15/2004 N$ 35,400 17,115
Korea Development Bank
2.850% due 05/14/2001 (d) DM 50,000 26,622
2.560% due 06/26/2001 JY 2,500,000 23,870
Newcourt Credit Group
7.625% due 06/28/2001 C$ 9,400 6,475
Province of Saskatchewan
9.125% due 02/15/2021 $ 3,000 3,611
Republic of Argentina
5.500% due 03/27/2001 JY 4,290,000 40,130
Republic of Philippines
8.000% due 09/17/2004 EC 10,000 10,982
Reynolds, R.J.
6.875% due 11/22/2000 DM 9,500 5,277
United Mexican States
3.100% due 04/24/2002 JY 2,542,000 23,663
8.750% due 05/30/2002 BP 23,000 37,527
7.000% due 06/02/2003 C$ 30,000 19,250
6.630% due 12/31/2019 FF 60,000 8,920
1.573% due 12/31/2019 (d) JY 1,662,500 12,736
3.850% due 12/31/2019 9,145,000 74,267
---------
Total Foreign Currency-Denominated Issues 462,478
(Cost $445,993) =========
CONVERTIBLE BONDS & NOTES 0.3%
Banking & Finance 0.1%
ACOM Co. Limited
0.000% due 03/31/2002 150,000 1,917
American Express
1.125% due 02/19/2003 1,425 1,731
Bell Atlantic Financial Services
5.750% due 04/01/2003 7,000 7,088
Deutsche Bank Financial
0.000% due 02/12/2017 13,150 6,189
Fuji International Finance Trust
0.250% due 02/01/2002 720,000 6,969
Hellenic Finance
2.000% due 07/15/2003 2,000 2,191
Morgan St. Dean Witter
0.000% due 03/02/2006 5,860 5,450
Swiss Life Finance Limited
2.000% due 05/20/2005 1,500 1,438
---------
32,973
=========
Consumer Discretionary 0.1%
Costco Wholesale Corp.
0.000% due 08/19/2017 2,000 1,730
Home Depot, Inc.
3.250% due 10/01/2001 1,000 2,966
Interpublic Group Co., Inc.
1.870% due 06/01/2006 3,000 2,760
--------
7,456
========
Energy 0.0%
Devon Energy Corp.
4.900% due 08/15/2008 2,000 1,970
Diamond Offshore Drill
3.750% due 02/15/2007 2,250 2,368
--------
4,338
========
Health Care 0.0%
Alpharma, Inc.
5.750% due 04/01/2005 1,000 1,325
Athena Neurosciences, Inc.
4.750% due 11/15/2004 2,000 2,248
Wellpoint Health Network
0.000% due 07/02/2019 5,000 2,906
--------
6,479
========
See accompanying notes 75
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited) Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------
Industrial 0.0%
Sanmina Corp.
4.250% due 05/01/2004 $ 3,000 $ 3,353
---------
Technology 0.1%
ASM Lithography Holding
2.500% due 04/09/2005 1,500 843
Hewlett-Packard Co.
0.000% due 10/14/2017 5,950 3,600
Intel Corp.
4.000% due 09/01/2004 1,000 2,489
Mindspring Enterprises
5.000% due 04/15/2006 2,000 1,858
Stmicroelectron
0.000% due 09/22/2009 3,500 2,853
U.S. Cellular Corp.
0.000% due 06/15/2015 3,500 2,244
Veritas Software Corp.
1.856% due 08/13/2006 2,500 2,644
Xerox Corp.
0.570% due 04/21/2018 4,000 2,225
---------
18,756
=========
Utilities 0.0%
Clear Channel Communications
2.625% due 04/01/2003 2,200 3,091
Telefonos De Mexico SA
4.250% due 06/15/2004 3,400 3,239
---------
6,330
---------
Total Convertible Bonds & Notes 79,685
=========
(Cost $75,619)
PREFERRED STOCK 0.1%
Shares
Banco Bilbao Vizcaya International
9.750% due 12/31/2049 266,217 6,922
Barclays Bank
11.500% due 12/31/2049 215,500 5,657
CSC Holdings, Inc.
11.125% due 12/31/2049 22,937 2,460
Fresenius Medical Care
7.875% due 02/01/2008 4,000 3,675
Home Ownership Funding
13.331% due 12/31/2049 1,125 934
News Corp. Limited
5.000% due 11/12/2016 100,000 5,831
TCI Communications, Inc.
10.000% due 05/31/2045 49,000 1,277
9.720% due 12/31/2036 622,553 16,381
Unocal Capital Trust
6.250% due 12/31/2049 402 22
---------
Total Preferred Stock 43,159
(Cost $45,785) =========
CONVERTIBLE PREFERRED STOCK 0.1%
Banking & Finance 0.0%
Lincoln National Corp. Cvt. Pfd.
7.750% due 08/16/2001 100,000 2,094
Newell Financial Trust Cvt. Pfd.
5.250% due 12/01/2027 50,000 2,025
Tokai Bank Cvt. Pfd.
0.000% due 10/01/2004 72,000 574
Union Pacific Capital Trust Cvt. Pfd.
6.250% due 04/01/2028 50,000 2,281
---------
6,974
=========
Energy 0.1%
Apache Corp. Cvt. Pfd.
6.500% due 05/15/2002 60,000 2,400
Coastal Corp. Cvt. Pfd.
6.625% due 08/16/2002 135,000 3,518
Kerr-McGee Corp. Cvt. Pfd.
5.500% due 08/01/2004 77,000 3,022
---------
8,940
=========
Industrial 0.0%
Sealed Air Corp. Cvt. Pfd.
4.000% due 04/01/2018 $ 40,000 $ 2,030
---------
Technology 0.0%
Verio, Inc. Cvt. Pfd.
6.750% due 08/01/2007 45,000 1,941
---------
Utilities 0.0%
Cox Communications, Inc. Cvt. Pfd.
7.000% due 08/16/2002 50,000 2,888
Reliant Energy, Inc. Cvt. Pfd.
7.000% due 07/01/2000 20,000 2,040
Utilicorp United Cvt. Pfd.
9.750% due 11/16/2002 100,000 2,525
---------
7,453
---------
Total Convertible Preferred Stock 27,338
(Cost $29,024) =========
SHORT-TERM INSTRUMENTS 3.6%
Principal
Amount
(000s)
Certificates of Deposit 0.3%
Commerzbank AG
6.200% due 05/10/2000 $ 85,500 84,854
---------
Commercial Paper 2.9%
American Express
5.280% due 10/12/1999 1,400 1,388
5.280% due 10/27/1999 22,800 22,703
Associates First Capital Corp.
5.280% due 10/12/1999 3,400 3,395
Banc One Finance Corp.
5.750% due 02/09/2000 24,000 23,514
Bellsouth Telecom
5.270% due 10/04/1999 3,700 3,698
5.320% due 10/04/1999 1,300 1,299
5.290% due 10/26/1999 5,200 5,181
Coca Cola Co.
5.270% due 10/13/1999 300 299
5.270% due 10/22/1999 6,400 6,380
5.280% due 10/29/1999 2,000 1,992
Crown Cork & Seal Co.
6.250% due 02/11/2000 15,000 14,693
Export Development Corp.
5.270% due 10/04/1999 1,652 1,651
Federal Home Loan Mortgage Corp.
5.190% due 10/07/1999 1,000 999
5.150% due 10/19/1999 900 898
5.200% due 10/28/1999 2,900 2,889
Federal National Mortgage Assn.
5.156% due 10/04/1999 380 380
5.240% due 10/04/1999 200 200
5.160% due 10/27/1999 8,000 7,970
General Electric Capital Corp.
5.300% due 10/18/1999 200 199
5.300% due 10/20/1999 400 399
5.680% due 01/26/2000 5,200 5,107
5.760% due 02/24/2000 25,000 24,416
General Motors Acceptance Corp.
5.300% due 10/19/1999 2,400 2,394
Goodyear Tire & Rubber Co.
6.250% due 01/26/2000 800 784
Hewlett-Packard Co.
5.310% due 10/05/1999 5,400 5,397
5.300% due 10/07/1999 2,400 2,398
IBM Corp.
5.270% due 10/12/1999 1,200 1,198
MCI Worldcom, Inc.
6.180% due 01/27/2000 300 295
5.360% due 01/27/2000 7,500 7,368
5.425% due 01/27/2000 2,100 2,062
5.450% due 01/27/2000 5,000 4,911
5.455% due 01/27/2000 4,800 4,714
76 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------
5.460% due 01/27/2000 $ 10,800 $ 10,607
5.475% due 01/27/2000 2,600 2,553
5.485% due 01/27/2000 11,500 11,293
5.515% due 01/27/2000 1,300 1,277
6.040% due 01/27/2000 1,000 982
6.090% due 01/27/2000 1,500 1,473
5.130% due 02/18/2000 100,000 99,996
Mobil Australia
5.300% due 10/25/1999 300 299
Orix America, Inc.
6.000% due 02/09/2000 50,000 48,909
Pennzoil Quaker State
5.530% due 02/18/2000 100,000 97,849
Procter & Gamble Co.
5.280% due 10/04/1999 100 100
5.290% due 10/04/1999 400 400
5.310% due 10/04/1999 200 200
5.280% due 10/20/1999 100 100
5.280% due 10/27/1999 1,900 1,893
Province of British Columbia
5.680% due 03/13/2000 10,000 9,743
Southwestern Public Service
5.280% due 10/22/1999 2,100 2,094
5.750% due 01/26/2000 20,000 19,626
Texas Utilities Co.
5.260% due 01/21/2000 12,600 12,386
5.930% due 01/21/2000 400 393
6.290% due 01/21/2000 1,200 1,177
6.090% due 01/21/2000 1,000 983
5.240% due 01/21/2000 10,500 10,322
5.990% due 01/21/2000 800 786
5.510% due 01/21/2000 3,100 3,047
5.400% due 01/21/2000 5,700 5,604
5.360% due 01/21/2000 6,800 6,685
5.260% due 01/21/2000 45,100 44,337
5.400% due 01/21/2000 10,200 10,027
6.070% due 01/21/2000 1,000 983
TRW, Inc.
6.220% due 02/09/2000 4,700 4,605
United Parcel Service Co.
5.330% due 10/04/1999 4,100 4,098
5.250% due 10/04/1999 6,700 6,697
5.270% due 10/04/1999 300 300
US West Capital Funding
5.960% due 03/24/2000 140,300 136,422
US West Communications
6.246% due 02/08/2000 10,900 10,683
6.090% due 03/24/2000 17,700 17,211
6.220% due 03/24/2000 4,300 4,181
6.210% due 03/24/2000 3,000 2,909
6.190% due 03/24/2000 10,100 9,821
6.090% due 03/24/2000 3,000 2,917
5.990% due 03/24/2000 1,000 972
6.140% due 03/24/2000 5,000 4,862
6.120% due 03/24/2000 33,600 32,600
Warner-Lambert Co.
5.270% due 10/05/1999 900 899
Williams Holdings
5.500% due 01/25/2000 3,000 2,947
6.210% due 01/25/2000 20,000 19,647
5.610% due 01/25/2000 600 589
5.500% due 01/25/2000 800 786
5.360% due 01/25/2000 13,400 13,165
5.670% due 01/25/2000 4,800 4,715
5.360% due 01/25/2000 6,400 6,289
Wisconsin Electric
5.270% due 10/01/1999 900 900
5.290% due 10/15/1999 3,550 3,543
5.300% due 11/02/1999 5,200 5,176
-----------
864,229
===========
Promissory Note 0.2%
Goldman Sachs Group
6.000% due 02/09/2000 75,000 75,000
-----------
Repurchase Agreement 0.1%
State Street Bank
4.800% due 10/01/1999 19,538 19,538
(Dated 09/30/1999. Collateralized by -----------
Federal National Mortgage Association
0.000% 02/01/2000 valued at $19,930,628.
Repurchase proceeds are $19,540,605.)
U.S. Treasury Bills (b) 0.1%
4.739% due 01/13/2000-02/17/2000 (g) 18,825 18,500
-----------
Total Short-Term Instruments 1,062,121
(Cost $1,062,393) -----------
Total Investments (a) 126.1% $36,954,117
(Cost $37,318,886)
Written Options (c) (0.1%) (27,977)
(Premiums $37,891)
Other Assets and Liabilities (Net) (26.0%) (7,614,537)
------------
Net Assets 100.0% $29,311,603
============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 158,519
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (523,288)
------------
Unrealized depreciation-net $ (364,769)
============
(b) Securities with an aggregate market value of $128,255
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar March Futures (03/2000) 496 $ (1,191)
Eurodollar June Futures (06/2000) 2,973 (6,425)
Eurodollar September Futures (09/2000) 11,420 (7,350)
Eurodollar December Futures (12/1999) 3,544 (6,571)
Eurodollar December Futures (12/2000) 6,715 964
Municipal Bond Index (12/1999) 865 (2,470)
Government of Japan 10 Year Note (3/2000) 100 (2,461)
U.S. Treasury 2 Year Note (12/1999) 38 18
U.S. Treasury 5 Year Note (12/1999) 11,118 (1,894)
U.S. Treasury 10 Year Note (12/1999) 32,964 2,868
U.S. Treasury 10 Year Note (03/2000) 650 284
U.S. Treasury 30 Year Bond (12/1999) 5,387 996
U.S. Treasury 30 Year Bond (03/2000) 100 (38)
----------
$(23,270)
==========
(c) Premiums received on written options:
# of
Type Contracts Premium Value
- --------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 118.00 Exp. 11/20/1999 900 $ 192 $ 196
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 120.00 Exp. 11/20/1999 21,584 7,215 2,361
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 110.00 Exp. 11/20/1999 18,990 8,323 6,231
See accompanying notes 77
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Put - OTC U.S. Treasury Note
5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 155,900 $ 646 $ 2
Call - OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 100.406 Exp. 11/08/1999 165,000 877 1,014
Call - OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 100.469 Exp. 11/08/1999 277,000 1,558 1,643
Put- OTC Federal Home Loan Mortgage
7.500% due 11/2029
Strike @ 99.594 Exp. 11/20/1999 246,000 1,441 1,720
Put - CME Eurodollar December Futures
Strike @ 94.250 Exp. 12/13/1999 2,628 657 683
Put - CME Eurodollar December Futures
Strike @ 94.500 Exp. 12/13/1999 2,500 595 1,188
Put - CME Eurodollar December Futures
Strike @ 94.000 Exp. 12/13/1999 27,988 4,925 3,079
Put - CME Eurodollar December Futures
Strike @ 93.500 Exp. 12/18/2000 21,665 9,074 7,908
Put - LIFFE BP 90 Day LIBOR
Strike @ 93.000 Exp. 06/21/2000 179 120 98
Put - LIFFE EURIBOR September Futures
Strike @ 96.000 Exp. 09/18/2000 58 51 48
Put - LIFFE BP 90 Day LIBOR
Strike @ 93.000 Exp. 09/20/2000 1,942 2,217 1,806
----------------------
$ 37,891 $ 27,977
======================
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell BP 25,834 10/1999 $ (82)
Sell C$ 33,873 10/1999 (292)
Sell 9,841 05/2000 32
Sell EC 114,694 10/1999 (1,284)
Sell 4,359 11/1999 (80)
Sell 6,200 01/2000 (269)
Sell 5,391 02/2000 46
Sell 1,283 03/2000 (36)
Buy JY 2,975,392 02/2000 1,134
Sell 18,182,330 02/2000 (4,883)
Sell 229,202 04/2000 (211)
Sell 4,519,202 04/2000 (4,618)
Buy N$ 7,970 10/1999 12
Sell 49,095 10/1999 494
Buy PZ 45,000 01/2000 (378)
Buy 40,000 02/2000 (480)
Buy 10,000 03/2000 15
--------------
$ (10,880)
==============
(f) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
EC - European Currency Unit
FF - French Franc
JY - Japanese Yen
N$ - New Zealand Dollar
PZ - Polish Zloty
(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 September 30, 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 $ (8,325)
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 11,635,000 (3,049)
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 7,563,000 (2,037)
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 7,000,000 2,856
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 5.950%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/17/2001 $ 70,000 (704)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 5.700%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/28/2001 1,300 (17)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 6.150%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 30,400 (400)
-------------
$ (11,676)
=============
(l) Subject to a financing transaction.
78 See accompanying notes
<PAGE>
Schedule of Investments
Total Return Mortgage Fund
September 30, 1999 (Unaudited) Principal
Amount Value
(000s) (000s)
U.S. TREASURY OBLIGATIONS 11.2%
U.S. Treasury Notes
6.250% due 08/31/2002 $ 250 $ 253
5.500% due 01/31/2003 200 198
--------
Total U.S. Treasury Obligations 451
(Cost $459) ========
MORTGAGE-BACKED SECURITIES 92.0%
Collateralized Mortgage Obligations 32.2%
Countrywide Alternative Loan Trust
6.750% due 08/25/2028 115 113
Countrywide Home Loans
6.750% due 11/25/2027 70 70
Federal Home Loan Mortgage Corp.
5.740% due 02/01/2018 (b) 213 206
4.500% due 03/15/2021 66 61
3.500% due 12/15/2022 10 7
6.500% due 03/15/2024 100 88
8.000% due 06/15/2026 65 67
Federal National Mortgage Assn.
5.600% due 11/25/2016 84 84
11.220% due 03/25/2017 7 27
7.500% due 03/25/2023 89 87
5.969% due 04/25/2023 (b) 25 25
6.500% due 09/25/2023 34 30
6.750% due 09/25/2023 49 46
5.781% due 04/18/2028 (b) 161 164
GE Capital Mortgage Services, Inc.
6.750% due 06/25/2028 200 188
Vendee Mortgage Trust
7.750% due 05/15/2022 35 35
--------
1,298
========
Federal Home Loan Mortgage Corporation 7.2%
6.000% due 10/01/2024 168 159
7.000% due 02/01/2027 134 132
--------
291
========
Federal National Mortgage Association 17.0%
6.234% due 11/01/2018 (b) 56 56
7.554% due 05/01/2023 (b) 190 191
8.500% due 09/01/2026 86 89
9.000% due 01/01/2020 334 351
--------
687
========
Government National Mortgage Association 35.3%
6.125% due 12/20/2021-11/20/2026 (b)(c) 129 132
6.375% due 03/20/2016-03/20/2027 (b)(c) 295 300
6.625% due 07/20/2025 (b) 47 47
7.000% due 10/21/2029 600 589
7.500% due 05/15/2027-10/21/2029 (b)(c) 352 353
--------
1,421
========
Stripped Mortgage-Backed Securities 0.3%
Federal National Mortgage Assn. (IO)
6.500% due 07/25/2007 206 10
7.000% due 12/25/2016 98 2
--------
12
--------
Total Mortgage-Backed Securities 3,709
(Cost $3,738) ========
SHORT-TERM INSTRUMENTS 15.8%
Commercial Paper 11.2%
Federal Home Loan Mortgage Corp.
5.220% due 10/15/1999 300 299
Hewlett-Packard Co.
5.400% due 10/05/1999 100 100
MCI Worldcom, Inc.
5.360% due 01/27/2000 50 49
--------
448
========
Repurchase Agreement 4.6%
State Street Bank
4.800% due 10/01/1999 187 187
(Dated 09/30/1999. Collateralized by
Federal National Mortgage Association
4.820% 12/18/2000 valued at $195,056.
Repurchase proceeds are $187,025.)
--------
Total Short-Term Instruments 635
(Cost $635) ========
Total Investments (a) 119.0% $ 4,795
--------
(Cost $4,832)
Other Assets and Liabilities (Net) (19.0%) (765)
--------
Net Assets 100.0% $ 4,030
========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 14
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (51)
--------
Unrealized depreciation-net $ (37)
========
(b) Variable rate security. The rate listed is as of September 30, 1999.
(c) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
See accompanying notes 79
<PAGE>
Financial Highlights - Class D
<TABLE>
<CAPTION>
Net Realized /
Net Asset Value Unrealized Gain Total Income Dividends from
Selected Per Share Data for the Beginning of Net Investment (Loss) on from Investment Net Investment
Year of Period Ended: Period Income (Loss) (b) Investments (b) Operations Income
----------------- ----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C> <C>
Foreign Bond Fund
09/30/1999 (c) $ 10.63 $ 0.30 $ (0.49) $ (0.19) $ (0.30)
- ---------------------------------- ----------------- ----------------- ----------------- ----------------- -----------------
03/31/1999 (a) 10.83 0.53 0.15 0.68 (0.53)
- ---------------------------------- ----------------- ----------------- ----------------- ----------------- -----------------
High Yield Fund
09/30/1999 (c) $ 11.23 $ 0.44 $ (0.50) $ (0.06) $ (0.44)
- ---------------------------------- ----------------- ----------------- ----------------- ----------------- -----------------
03/31/1999 (a) 11.68 0.89 (0.45) 0.44 (0.88)
- ---------------------------------- ----------------- ----------------- ----------------- ----------------- -----------------
Low Duration Fund
09/30/1999 (c) $ 10.10 $ 0.29 $ (0.20) $ 0.09 $ (0.29)
- ---------------------------------- ----------------- ----------------- ----------------- ----------------- -----------------
03/31/1999 (a) 10.19 0.60 (0.03) 0.57 (0.60)
- ---------------------------------- ----------------- ----------------- ----------------- ----------------- -----------------
Municipal Bond Fund
09/30/1999 (c) $ 10.12 $ 0.21 $ (0.56) $ (0.35) $ (0.21)
- ---------------------------------- ----------------- ----------------- ----------------- ----------------- -----------------
03/31/1999 (a) 9.98 0.40 0.14 0.54 (0.40)
- ---------------------------------- ----------------- ----------------- ----------------- ----------------- -----------------
Real Return Bond Fund
09/30/1999 (c) $ 9.83 $ 0.29 $ 0.02 $ 0.31 $ (0.32)
- ---------------------------------- ----------------- ----------------- ----------------- ----------------- -----------------
03/31/1999 (a) 9.77 0.47 0.09 0.56 (0.44)
- ---------------------------------- ----------------- ----------------- ----------------- ----------------- -----------------
Short-Term Fund
09/30/1999 (c) $ 10.03 $ 0.26 $ (0.06) $ 0.20 $ (0.27)
- ---------------------------------- ----------------- ----------------- ----------------- ----------------- -----------------
03/31/1999 (a) 10.07 0.53 (0.03) 0.50 (0.53)
- ---------------------------------- ----------------- ----------------- ----------------- ----------------- -----------------
StocksPLUS Fund
09/30/1999 (c) $ 14.27 $ 0.26 $ (0.16) $ 0.10 $ (0.23)
- ---------------------------------- ----------------- ----------------- ----------------- ----------------- -----------------
03/31/1999 (a) 14.13 0.79 1.38 2.17 (0.79)
- ---------------------------------- ----------------- ----------------- ----------------- ----------------- -----------------
Strategic Balanced Fund
09/30/1999 (c) $ 12.75 $ 0.30 $ (0.36) $ (0.06) $ (0.11)
- ---------------------------------- ----------------- ----------------- ----------------- ----------------- -----------------
03/31/1999 (a) 12.65 0.79 0.60 1.39 (0.62)
- ---------------------------------- ----------------- ----------------- ----------------- ----------------- -----------------
Total Return Fund
09/30/1999 (c) $ 10.36 $ 0.29 $ (0.30) $ (0.01) $ (0.29)
- ---------------------------------- ----------------- ----------------- ----------------- ----------------- -----------------
03/31/1999 (a) 10.66 0.59 0.12 0.71 (0.59)
- ---------------------------------- ----------------- ----------------- ----------------- ----------------- -----------------
Total Return Mortgage Fund
09/30/1999 (c) $ 10.19 $ 0.27 $ (0.21) $ 0.06 $ (0.27)
- ---------------------------------- ----------------- ----------------- ----------------- ----------------- -----------------
03/31/1999 (a) 10.27 0.53 0.02 0.55 (0.53)
- ---------------------------------- ----------------- ----------------- ----------------- ----------------- -----------------
</TABLE>
+ Annualized
(a) Commenced operations on April 8, 1998.
(b) Per share amounts based on average number of shares outstanding during the
period.
(c) Unaudited
(d) Ratio of expenses to average net assets excluding interest expense is 0.95%.
80 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Distributions Distributions in
Dividends in from Net Excess of Net
Excess of Net Realized Capital Realized Capital Total Net Asset Value Net Assets End
Investment Income Gains Gains Distributions End of Period Total Return of Period (000s)
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
<S> <C> <C> <C> <C> <C> <C>
$ 0.00 $ 0.00 $ 0.00 $ (0.30) $ 10.14 (1.85)% $ 10,940
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
0.00 (0.10) (0.25) (0.88) 10.63 6.46 8,513
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
$ 0.00 $ 0.00 $ 0.00 $ (0.44) $ 10.73 (0.52)% $ 18,947
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
(0.01) 0.00 0.00 (0.89) 11.23 4.00 9,065
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
$ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 9.90 0.95% $ 9,288
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
0.00 (0.01) (0.05) (0.66) 10.10 5.77 6,481
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
$ 0.00 $ 0.00 $ 0.00 $ (0.21) $ 9.56 (3.48)% $ 362
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
0.00 0.00 0.00 (0.40) 10.12 5.47 242
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
$ 0.00 $ 0.00 $ 0.00 $ (0.32) $ 9.82 3.19% $ 5,436
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
(0.06) 0.00 0.00 (0.50) 9.83 5.89 193
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
$ 0.00 $ 0.00 $ 0.00 $ (0.27) $ 9.96 1.97% $ 4,119
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
0.00 0.00 (0.01) (0.54) 10.03 5.10 2,278
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
$ 0.00 $ 0.00 $ 0.00 $ (0.23) $ 14.14 0.67% $ 2,873
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
0.00 (1.24) 0.00 (2.03) 14.27 16.69 1,721
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
$ 0.00 $ 0.00 $ 0.00 $ (0.11) $ 12.58 0.25% $ 223
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
0.00 (0.67) 0.00 (1.29) 12.75 11.45 173
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
$ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 10.06 (0.09)% $ 57,434
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
0.00 (0.24) (0.18) (1.01) 10.36 6.73 34,839
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
$ 0.00 $ 0.00 $ 0.00 $ (0.27) $ 9.98 0.54% $ 129
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
0.00 (0.03) (0.07) (0.63) 10.19 5.41 183
- ----------------- ---------------- ---------------- ------------- --------------- ------------ ----------------
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Average Net to Average Portfolio
Assets Net Assets Turnover Rate
----------- ------------- -------------
<S> <C> <C>
1.04%+(d) 5.70%+ 90%
----------- ------------- -------------
0.95 4.82 376
----------- ------------- -------------
0.90%+ 8.05%+ 17%
----------- ------------- -------------
0.90 8.07 39
----------- ------------- -------------
0.75%+ 5.85%+ 52%
----------- ------------- -------------
0.75 5.81 245
----------- ------------- -------------
0.86%+ 4.24%+ 48%
----------- ------------- -------------
0.85 3.99 70
----------- ------------- -------------
0.92%+ 5.90%+ 103%
----------- ------------- -------------
0.92 4.75 438
----------- ------------- -------------
0.75%+ 5.27%+ 21%
----------- ------------- -------------
0.75 5.05 47
----------- ------------- -------------
1.05%+ 3.52%+ 46%
----------- ------------- -------------
1.05 8.12 81
----------- ------------- -------------
1.05%+ 4.54%+ 34%
----------- ------------- -------------
1.05 6.41 82
----------- ------------- -------------
0.78%+ 5.66%+ 46%
----------- ------------- -------------
0.75 5.21 154
----------- ------------- -------------
0.91%+ 5.34%+ 190%
----------- ------------- -------------
0.90 5.15 158
----------- ------------- -------------
</TABLE>
See accompanying notes 81
<PAGE>
Statements of Assets and Liabilities
September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Amounts in thousands, except per share amounts Foreign Bond Fund High Yield Fund Low Duration Fund Municipal Bond Fund
----------------- --------------- ----------------- -------------------
<S> <C> <C> <C> <C>
Assets:
Investments, at value $ 999,720 $ 3,473,714 $ 4,775,841 $ 55,762
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Cash and foreign currency 11,021 222 19,198 2
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Receivable for investments and foreign currency sold 208,441 39,058 22,554 2,163
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Receivable for Fund shares sold 413 4,675 9,576 265
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Variation margin receivable 5 0 644 0
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Interest and dividends receivable 16,030 73,808 54,614 818
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Other assets 658 21 565 0
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
1,236,288 3,591,498 4,882,992 59,010
====================================================== ================= =============== ================= ===================
Liabilities:
Payable for investments and foreign currency purchased $ 71,426 $ 7,365 $ 144,619 $ 3,067
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Payable for financing transactions 566,981 5,615 80,210 0
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Notes payable 14,490 0 0 0
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Written options outstanding 1,416 0 9,228 0
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Payable for Fund shares redeemed 1,051 13,675 14,430 314
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Dividends payable 595 5,044 3,478 67
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Accrued investment advisory fee 119 760 938 11
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Accrued administration fee 137 874 753 16
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Accrued distribution fee 35 496 112 18
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Accrued servicing fee 23 189 89 10
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Variation margin payable 0 0 0 0
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Other liabilities 495 153 169 5
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
656,768 34,171 254,026 3,508
====================================================== ================= =============== ================= ===================
Net Assets $ 579,520 $ 3,557,327 $ 4,628,966 $ 55,502
====================================================== ================= =============== ================= ===================
Net Assets Consist of:
Paid in capital $ 597,565 $ 3,804,235 $ 4,710,408 $ 56,011
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Undistributed (overdistributed) net investment income 8,577 (2,253) (3,954) 0
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Accumulated undistributed net realized gain (loss) (6,149) (77,712) (39,093) (430)
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Net unrealized (depreciation) (20,473) (166,943) (38,395) (79)
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
$ 579,520 $ 3,557,327 $ 4,628,966 $ 55,502
====================================================== ================= =============== ================= ===================
Net Assets:
Class D $ 10,940 $ 18,947 $ 9,288 $ 362
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Other Classes 568,580 3,538,380 4,619,678 55,140
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Shares Issued and Outstanding:
Class D 1,078 1,767 937 38
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Net Asset Value and Redemption Price Per Share
(Net Assets Per Share Outstanding):
Class D $ 10.14 $ 10.73 $ 9.90 $ 9.56
- ------------------------------------------------------ ----------------- --------------- ----------------- -------------------
Cost of Investments Owned $ 1,006,965 $ 3,640,769 $ 4,812,209 $ 55,841
====================================================== ================= =============== ================= ===================
Cost of Foreign Currency Held $ 9,276 $ 0 $ 5,896 $ 0
====================================================== ================= =============== ================= ===================
</TABLE>
82 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Total Return
Real Return Bond Fund Short-Term Fund StocksPLUS Fund Strategic Balanced Fund Total Return Fund Mortgage Fund
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
<S> <C> <C> <C> <C> <C>
$ 179,062 $ 676,892 $ 1,395,524 $ 187,107 $ 36,954,117 $ 4,795
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
103 563 2,780 434 26,082 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
6,070 21,150 598 4,671 1,122,209 7,225
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
567 9,872 4,300 513 65,263 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
0 0 15,933 1,370 29,125 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
1,474 3,903 4,560 1,240 307,707 27
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
321 0 0 4 9,166 1
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
187,597 712,380 1,423,695 195,339 38,513,669 12,048
===================== =============== =============== ======================= ================= =============
$ 3,432 $ 6,755 $ 32,501 $ 21,647 $ 5,921,552 $ 8,016
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
65,848 30,902 0 6,166 2,658,386 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
0 27,142 0 0 413,429 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
0 0 1,576 132 27,977 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
250 37,227 1,928 11,926 117,878 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
196 577 1 0 33,415 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
20 129 463 58 5,936 1
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
24 117 267 41 4,827 1
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
8 8 338 15 1,404 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
6 23 163 7 636 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
1 0 0 0 0 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
0 17 39 0 16,626 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
69,785 102,897 37,276 39,992 9,202,066 8,018
===================== =============== =============== ======================= ================= =============
$ 117,812 $ 609,483 $ 1,386,419 $ 155,347 $ 29,311,603 $ 4,030
===================== =============== =============== ======================= ================= =============
$ 118,302 $ 613,070 $ 1,296,447 $ 154,711 $ 30,501,872 $ 4,053
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
52 369 59,607 2,441 (76,156) 2
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
214 (768) 89,313 3,194 (715,294) 11
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
(756) (3,188) (58,948) (4,999) (398,819) (36)
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
$ 117,812 $ 609,483 $ 1,386,419 $ 155,347 $ 29,311,603 $ 4,030
===================== =============== =============== ======================= ================= =============
$ 5,436 $ 4,119 $ 2,873 $ 223 $ 57,434 $ 129
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
112,376 605,364 1,383,546 155,124 29,254,169 3,901
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
554 413 203 18 5,710 13
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
$ 9.82 $ 9.96 $ 14.14 $ 12.58 $ 10.06 $ 9.98
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
$ 179,830 $ 680,187 $ 1,396,848 $ 187,775 $ 37,318,886 $ 4,832
===================== =============== =============== ======================= ================= =============
$ 99 $ 566 $ 2,327 $ 22 $ 9,363 $ 0
===================== =============== =============== ======================= ================= =============
</TABLE>
See accompanying notes 83
<PAGE>
Statements of Operations
For the six months ended September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Amounts in thousands Foreign Bond Fund High Yield Fund Low Duration Fund Municipal Bond Fund
----------------- --------------- ----------------- -------------------
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 20,507 $ 156,549 $ 131,758 $ 1,498
- ---------------------------------------------------- ----------------- --------------- ----------------- ------------------
Dividends 0 4,185 3,620 0
- ---------------------------------------------------- ----------------- --------------- ----------------- ------------------
Total Income 20,507 160,734 135,378 1,498
==================================================== ================= =============== ================= ==================
Expenses:
Investment advisory fees 754 4,458 5,058 72
- ---------------------------------------------------- ----------------- --------------- ----------------- ------------------
Administration fees 853 5,123 4,087 98
- ---------------------------------------------------- ----------------- --------------- ----------------- ------------------
Servicing fees - Class D 12 19 10 0
- ---------------------------------------------------- ----------------- --------------- ----------------- ------------------
Distribution and/or servicing fees - Other Classes 316 4,036 1,213 177
- ---------------------------------------------------- ----------------- --------------- ----------------- ------------------
Trustees' fees 2 9 11 0
- ---------------------------------------------------- ----------------- --------------- ----------------- ------------------
Organization costs 0 0 0 0
- ---------------------------------------------------- ----------------- --------------- ----------------- ------------------
Interest Expense 282 50 43 5
- ---------------------------------------------------- ----------------- --------------- ----------------- ------------------
Total Expenses 2,219 13,695 10,422 352
- ---------------------------------------------------- ----------------- --------------- ----------------- ------------------
Net Investment Income 18,288 147,039 124,956 1,146
==================================================== ================= =============== ================= ==================
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (7,430) (15,595) (19,309) (424)
- ---------------------------------------------------- ----------------- --------------- ----------------- ------------------
Net realized gain (loss) on
futures contracts and written options 1,499 0 (1,720) 0
- ---------------------------------------------------- ----------------- --------------- ----------------- ------------------
Net realized gain (loss) on foreign currency
transactions (51) 0 (5,499) 0
- ---------------------------------------------------- ----------------- --------------- ----------------- ------------------
Net change in unrealized appreciation
(depreciation) on investments (17) (153,619) (51,400) (2,904)
- ---------------------------------------------------- ----------------- --------------- ----------------- ------------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written
options (211) 0 (1,926) 0
- ---------------------------------------------------- ----------------- --------------- ----------------- ------------------
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies (22,781) 0 409 0
- ---------------------------------------------------- ----------------- --------------- ----------------- ------------------
Net Gain (Loss) (28,991) (169,214) (79,445) (3,328)
- ---------------------------------------------------- ----------------- --------------- ----------------- ------------------
Net Increase (Decrease) in Assets
Resulting from Operations $ (10,703) $ (22,175) $ 45,511 $ (2,182)
==================================================== ================= =============== ================= ==================
</TABLE>
84 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Total Return
Real Return Bond Fund Short-Term Fund StocksPLUS Fund Strategic Balanced Fund Total Return Fund Mortgage Fund
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
<S> <C> <C> <C> <C> <C>
$2,061 $18,394 $33,195 $3,017 $ 896,643 $126
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
0 0 0 0 2,002 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
2,061 18,394 33,195 3,017 898,645 126
===================== =============== =============== ======================= ================= =============
66 751 2,697 215 34,509 5
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
79 679 2,260 136 27,963 5
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
2 4 3 0 56 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
53 175 2,907 9 11,614 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
0 2 3 0 75 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
1 0 0 0 0 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
12 20 110 2 4,249 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
213 1,631 7,980 362 78,466 10
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
1,848 16,763 25,215 2,655 820,179 116
===================== =============== =============== ======================= ================= =============
220 (458) (2,791) (606) (370,699) 11
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
34 0 38,008 1,825 (137,403) 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
(39) (185) (2,684) (80) (10,913) 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
(654) (3,178) 11 (599) (264,964) (93)
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
0 0 (57,129) (4,667) (7,121) 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
15 41 (2,276) (128) (12,538) 0
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
(424) (3,780) (26,861) (4,255) (803,638) (82)
- --------------------- --------------- --------------- ----------------------- ----------------- -------------
$1,424 $12,983 $ (1,646) $ (1,600) $16,541 $ 34
===================== =============== =============== ======================= ================= =============
</TABLE>
See accompanying notes 85
<PAGE>
Statements of Changes in Net Assets
Amounts in thousands
<TABLE>
<CAPTION>
Foreign Bond
-----------------------------------------
Increase (Decrease) in Net Assets from: Six Months Ended Year Ended
September 30, 1999 March 31, 1999
(Unaudited)
<S> <C> <C>
Operations:
Net investment income $ 18,288 $ 27,910
- ----------------------------------------------------------- ------------------------------------------
Net realized gain (loss) (5,982) 5,073
- ----------------------------------------------------------- ------------------------------------------
Net change in unrealized appreciation (depreciation) (23,009) 5,504
- ----------------------------------------------------------- ------------------------------------------
Net increase (decrease) resulting from operations (10,703) 38,487
=========================================================== ==========================================
Distributions to Shareholders:
From net investment income
Class D (283) (175)
- ----------------------------------------------------------- ------------------------------------------
Other Classes (17,851) (27,885)
- ----------------------------------------------------------- ------------------------------------------
In excess of net investment income
Class D 0 0
- ----------------------------------------------------------- ------------------------------------------
Other Classes 0 0
- ----------------------------------------------------------- ------------------------------------------
From net realized capital gains
Class D 0 (45)
- ----------------------------------------------------------- ------------------------------------------
Other Classes 0 (4,964)
- ----------------------------------------------------------- ------------------------------------------
In excess of net realized capital gains
Class D 0 (111)
- ----------------------------------------------------------- ------------------------------------------
Other Classes 0 (12,426)
- ----------------------------------------------------------- ------------------------------------------
Total Distributions (18,134) (45,606)
=========================================================== ==========================================
Fund Share Transactions:
Receipts for shares sold
Class D 4,140 9,232
- ----------------------------------------------------------- ------------------------------------------
Other Classes 113,195 350,670
- ----------------------------------------------------------- ------------------------------------------
Issued in reorganization
Class D 0 0
- ----------------------------------------------------------- ------------------------------------------
Other Classes 0 0
- ----------------------------------------------------------- ------------------------------------------
Issued as reinvestment of distributions
Class D 283 331
- ----------------------------------------------------------- ------------------------------------------
Other Classes 13,945 33,550
- ----------------------------------------------------------- ------------------------------------------
Cost of shares redeemed
Class D (1,521) (980)
- ----------------------------------------------------------- ------------------------------------------
Other Classes (142,468) (194,707)
- ----------------------------------------------------------- ------------------------------------------
Net increase (decrease) resulting from Fund share
transactions (12,426) 198,096
- ----------------------------------------------------------- ------------------------------------------
Total Increase (Decrease) in Net Assets (41,263) 190,977
=========================================================== ==========================================
Net Assets:
Beginning of period 620,783 429,806
- ----------------------------------------------------------- ------------------------------------------
End of period * $ 579,520 $ 620,783
- ----------------------------------------------------------- ------------------------------------------
*Including net undistributed (overdistributed) investment
income of: $8,577 $ 8,423
- ----------------------------------------------------------- ------------------------------------------
<CAPTION>
High Yield Fund
------------------------------------------
Six Months Ended Year Ended
September 30, 1999 March 31, 1999
(Unaudited)
<S> <C> <C>
Operations:
Net investment income $ 147,039 $ 206,013
- ----------------------------------------------------------- ------------------------------------------
Net realized gain (loss) (15,595) (5,689)
- ----------------------------------------------------------- ------------------------------------------
Net change in unrealized appreciation (depreciation) (153,619) (88,818)
- ----------------------------------------------------------- ------------------------------------------
Net increase (decrease) resulting from operations (22,175) 111,506
=========================================================== ==========================================
Distributions to Shareholders:
From net investment income
Class D (621) (189)
- ----------------------------------------------------------- ------------------------------------------
Other Classes (146,387) (203,295)
- ----------------------------------------------------------- ------------------------------------------
In excess of net investment income
Class D 0 (2)
- ----------------------------------------------------------- ------------------------------------------
Other Classes 0 (2,628)
- ----------------------------------------------------------- ------------------------------------------
From net realized capital gains
Class D 0 0
- ----------------------------------------------------------- ------------------------------------------
Other Classes 0 0
- ----------------------------------------------------------- ------------------------------------------
In excess of net realized capital gains
Class D 0 0
- ----------------------------------------------------------- ------------------------------------------
Other Classes 0 0
- ----------------------------------------------------------- ------------------------------------------
Total Distributions (147,008) (206,114)
=========================================================== ==========================================
Fund Share Transactions:
Receipts for shares sold
Class D 12,585 10,561
- ----------------------------------------------------------- ------------------------------------------
Other Classes 1,113,140 1,978,791
- ----------------------------------------------------------- ------------------------------------------
Issued in reorganization
Class D 0 0
- ----------------------------------------------------------- ------------------------------------------
Other Classes 0 0
- ----------------------------------------------------------- ------------------------------------------
Issued as reinvestment of distributions
Class D 617 189
- ----------------------------------------------------------- ------------------------------------------
Other Classes 121,927 172,090
- ----------------------------------------------------------- ------------------------------------------
Cost of shares redeemed
Class D (2,564) (1,705)
- ----------------------------------------------------------- ------------------------------------------
Other Classes (742,445) (1,052,728)
- ----------------------------------------------------------- ------------------------------------------
Net increase (decrease) resulting from Fund share
transactions 503,260 1,107,198
- ----------------------------------------------------------- ------------------------------------------
Total Increase (Decrease) in Net Assets 334,077 1,012,590
=========================================================== ==========================================
Net Assets:
Beginning of period 3,223,250 2,210,660
- ----------------------------------------------------------- ------------------------------------------
End of period * $ 3,557,327 3,223,250
- ----------------------------------------------------------- ------------------------------------------
*Including net undistributed (overdistributed) investment
income of: $ (2,253) $ (2,284)
=========================================================== ==========================================
<CAPTION>
Low Duration Fund
------------------------------------------
Increase (Decrease) in Net from: Six Months Ended Year Ended
September 30, 1999 March 31, 1999
(Unaudited)
<S> <C> <C>
Operations:
Net investment income $ 124,956 $ 217,276
- ----------------------------------------------------------- ------------------------------------------
Net realized gain (loss) (26,528) 4,149
- ----------------------------------------------------------- ------------------------------------------
Net change in unrealized appreciation (depreciation) (52,917) (10,418)
- ----------------------------------------------------------- ------------------------------------------
Net increase (decrease) resulting from operations 45,511 211,007
=========================================================== ==========================================
Distributions to Shareholders:
From net investment income
Class D (234) (137)
- ----------------------------------------------------------- ------------------------------------------
Other Classes (124,669) (217,153)
- ----------------------------------------------------------- ------------------------------------------
In excess of net investment income
Class D 0 0
- ----------------------------------------------------------- ------------------------------------------
Other Classes 0 0
- ----------------------------------------------------------- ------------------------------------------
From net realized capital gains
Class D 0 (4)
- ----------------------------------------------------------- ------------------------------------------
Other Classes 0 (4,129)
- ----------------------------------------------------------- ------------------------------------------
In excess of net realized capital gains
Class D 0 (16)
- ----------------------------------------------------------- ------------------------------------------
Other Classes 0 (17,279)
- ----------------------------------------------------------- ------------------------------------------
Total Distributions (124,903) (238,718)
=========================================================== ==========================================
Fund Share Transactions:
Receipts for shares sold
Class D 3,738 7,014
- ----------------------------------------------------------- ------------------------------------------
Other Classes 2,001,331 3,064,922
- ----------------------------------------------------------- ------------------------------------------
Issued in reorganization
Class D 0 0
- ----------------------------------------------------------- ------------------------------------------
Other Classes 0 0
- ----------------------------------------------------------- ------------------------------------------
Issued as reinvestment of distributions
Class D 231 153
- ----------------------------------------------------------- ------------------------------------------
Other Classes 106,239 200,834
- ----------------------------------------------------------- ------------------------------------------
Cost of shares redeemed
Class D (1,003) (644)
- ----------------------------------------------------------- ------------------------------------------
Other Classes (1,273,425) (2,374,959)
- ----------------------------------------------------------- ------------------------------------------
Net increase (decrease) resulting from Fund share
transactions 837,111 897,320
- ----------------------------------------------------------- ------------------------------------------
Total Increase (Decrease) in Net Assets 757,719 869,609
=========================================================== ==========================================
Net Assets:
Beginning of period 3,871,247 3,001,638
- ----------------------------------------------------------- ------------------------------------------
End of period * $ 4,628,966 $ 3,871,247
- ----------------------------------------------------------- ------------------------------------------
*Including net undistributed (overdistributed) investment
income of: $ (3,954) $ (4,007)
- ----------------------------------------------------------- ------------------------------------------
</TABLE>
86 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Municipal Bond Fund Real Return bond fund Short-Term Fund
- ---------------------------------- ----------------------------------- ----------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 1999 March 31, 1999 September 30, 1999 March 31, 1999 September 30, 1999 March 31, 1999
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C>
$ 1,146 $ 1,602 $ 1,848 $ 695 $ 16,763 $ 25,972
- ---------------------------------- ----------------------------------- ----------------------------------
(424) (6) 215 131 (643) 217
- ---------------------------------- ----------------------------------- ----------------------------------
(2,904) 2,835 (639) (46) (3,137) (613)
- ---------------------------------- ----------------------------------- ----------------------------------
(2,182) 4,431 1,424 780 12,983 25,576
================================== =================================== ==================================
(6) (7) (39) (5) (95) (33)
- ---------------------------------- ----------------------------------- ----------------------------------
(1,138) (1,595) (1,744) (663) (16,642) (25,945)
- ---------------------------------- ----------------------------------- ----------------------------------
0 0 0 (1) 0 0
- ---------------------------------- ----------------------------------- ----------------------------------
0 (2) 0 (92) 0 0
- ---------------------------------- ----------------------------------- ----------------------------------
0 0 0 0 0 0
- ---------------------------------- ----------------------------------- ----------------------------------
0 0 0 (7) 0 (134)
- ---------------------------------- ----------------------------------- ----------------------------------
0 0 0 0 0 (1)
- ---------------------------------- ----------------------------------- ----------------------------------
0 0 0 0 0 (514)
- ---------------------------------- ----------------------------------- ----------------------------------
(1,144) (1,604) (1,783) (768) (16,737) (26,627)
================================== =================================== ==================================
156 340 5,428 186 2,517 2,535
- ---------------------------------- ----------------------------------- ----------------------------------
9,141 17,943 87,001 24,583 747,164 1,042,572
- ---------------------------------- ----------------------------------- ----------------------------------
0 0 0 0 0 0
- ---------------------------------- ----------------------------------- ----------------------------------
0 47,296 0 0 0 0
- ---------------------------------- ----------------------------------- ----------------------------------
6 6 38 7 95 34
- ---------------------------------- ----------------------------------- ----------------------------------
840 1,155 1,235 600 13,455 19,324
- ---------------------------------- ----------------------------------- ----------------------------------
(26) (105) (215) (1) (748) (294)
- ---------------------------------- ----------------------------------- ----------------------------------
(9,847) (13,927) (3,527) (5,058) (751,234) (671,328)
- ---------------------------------- ----------------------------------- ----------------------------------
270 52,708 89,960 20,317 11,249 392,843
- ---------------------------------- ----------------------------------- ----------------------------------
(3,056) 55,535 89,601 20,329 7,495 391,792
================================== =================================== ==================================
58,558 3,023 28,211 7,882 601,988 210,196
- ---------------------------------- ----------------------------------- ----------------------------------
$ 55,502 $ 58,558 $ 117,812 $ 28,211 $ 609,483 $ 601,988
- ---------------------------------- ----------------------------------- ----------------------------------
$ 0 $ (2) $ 52 $ (13) $ 369 $ 343
- ---------------------------------- ----------------------------------- ----------------------------------
<CAPTION>
StocksPLUS Fund
- ----------------------------------
Six Months Ended Year Ended
September 30, 1999 March 31, 1999
(Unaudited)
<S> <C>
$ 25,215 $ 56,693
- ----------------------------------
32,533 107,476
- ----------------------------------
(59,394) (10,410)
- ----------------------------------
(1,646) 153,759
==================================
(37) (60)
- ----------------------------------
(20,544) (50,872)
- ----------------------------------
0 0
- ----------------------------------
0 0
- ----------------------------------
0 (99)
- ----------------------------------
0 (76,776)
- ----------------------------------
0 0
- ----------------------------------
0 0
- ----------------------------------
(20,581) (127,807)
==================================
1,395 1,948
- ----------------------------------
441,619 694,938
- ----------------------------------
0 0
- ----------------------------------
0 0
- ----------------------------------
36 159
- ----------------------------------
19,186 115,895
- ----------------------------------
(219) (430)
- ----------------------------------
(255,113) (314,432)
- ----------------------------------
206,904 498,078
- ----------------------------------
184,677 524,030
==================================
1,201,742 677,712
- ----------------------------------
$ 1,386,419 $ 1,201,742
- ----------------------------------
$ 59,607 $ 54,973
- ----------------------------------
</TABLE>
See accompanying notes 87
<PAGE>
Statements of Changes in Net Assets (Cont.)
<TABLE>
<CAPTION>
Amounts in thousands Strategic Balanced Fund
---------------------------------------
Six Months Ended Year Ended
Increase (Decrease) in Net Assets from: September 30, 1999 March 31, 1999
(Unaudited)
<S> <C> <C>
Operations :
Net investment income $ 2,655 $ 3,531
- -------------------------------------------------------------------- ---------------------------------------
Net realized gain (loss) 1,139 3,599
- -------------------------------------------------------------------- ---------------------------------------
Net change in unrealized (depreciation) (5,394) (31)
- -------------------------------------------------------------------- ---------------------------------------
Net increase (decrease) resulting from operations (1,600) 7,099
- -------------------------------------------------------------------- ---------------------------------------
Distributions to Shareholders:
From net investment income
Class D (3) (7)
- -------------------------------------------------------------------- ---------------------------------------
Other Classes (2,396) (3,137)
- -------------------------------------------------------------------- ---------------------------------------
In excess of net investment income
Class D 0 0
- -------------------------------------------------------------------- ---------------------------------------
Other Classes 0 0
- -------------------------------------------------------------------- ---------------------------------------
From net realized capital gains
Class D 0 (7)
- -------------------------------------------------------------------- ---------------------------------------
Other Classes 0 (3,351)
- -------------------------------------------------------------------- ---------------------------------------
In excess of net realized capital gains
Class D 0 0
- -------------------------------------------------------------------- ---------------------------------------
Other Classes 0 0
- -------------------------------------------------------------------- ---------------------------------------
Total Distributions (2,399) (6,502)
==================================================================== =======================================
Fund Share Transactions:
Receipts for shares sold
Class D 76 164
- -------------------------------------------------------------------- ---------------------------------------
Other Classes 11,842 55,153
- -------------------------------------------------------------------- ---------------------------------------
Issued in reorganization
Class D 0 0
- -------------------------------------------------------------------- ---------------------------------------
Other Classes 66,780 0
- -------------------------------------------------------------------- ---------------------------------------
Issued as reinvestment of distributions
Class D 3 14
- -------------------------------------------------------------------- ---------------------------------------
Other Classes 1,029 4,030
- -------------------------------------------------------------------- ---------------------------------------
Cost of shares redeemed
Class D (25) (6)
- -------------------------------------------------------------------- ---------------------------------------
Other Classes (18,477) (640)
- -------------------------------------------------------------------- ---------------------------------------
Net increase (decrease) resulting from Fund share transactions 61,228 58,715
- -------------------------------------------------------------------- ---------------------------------------
Total Increase (Decrease) in Net Assets 57,229 59,312
==================================================================== =======================================
Net Assets:
Beginning of period 98,118 38,806
- -------------------------------------------------------------------- ---------------------------------------
End of period * $ 155,347 $ 98,118
- -------------------------------------------------------------------- ---------------------------------------
*Including net undistributed (overdistributed) investment income of: $ 2,441 $ 2,185
- -------------------------------------------------------------------- ---------------------------------------
<CAPTION>
Amounts in thousands Total Return Fund
---------------------------------------
Six Months Ended Year Ended
Increase (Decrease) in Net Assets from: September 30, 1999 March 31, 1999
(Unaudited)
<S> <C> <C>
Operations :
Net investment income $ 820,179 $ 1,285,330
- -------------------------------------------------------------------- ---------------------------------------
Net realized gain (loss) (519,015) 472,416
- -------------------------------------------------------------------- ---------------------------------------
Net change in unrealized (depreciation) (284,623) (239,440)
- -------------------------------------------------------------------- ---------------------------------------
Net increase (decrease) resulting from operations 16,541 1,518,306
==================================================================== =======================================
Distributions to Shareholders:
From net investment income
Class D (1,281) (500)
- -------------------------------------------------------------------- ---------------------------------------
Other Classes (817,986) (1,285,393)
- -------------------------------------------------------------------- ---------------------------------------
In excess of net investment income
Class D 0 0
- -------------------------------------------------------------------- ---------------------------------------
Other Classes 0 0
- -------------------------------------------------------------------- ---------------------------------------
From net realized capital gains
Class D 0 (254)
- -------------------------------------------------------------------- ---------------------------------------
Other Classes 0 (512,310)
- -------------------------------------------------------------------- ---------------------------------------
In excess of net realized capital gains
Class D 0 (190)
- -------------------------------------------------------------------- ---------------------------------------
Other Classes 0 (384,355)
- -------------------------------------------------------------------- ---------------------------------------
Total Distributions (819,267) (2,183,002)
==================================================================== =======================================
Fund Share Transactions:
Receipts for shares sold
Class D 31,007 37,112
- -------------------------------------------------------------------- ---------------------------------------
Other Classes 6,559,527 12,657,649
- -------------------------------------------------------------------- ---------------------------------------
Issued in reorganization
Class D 0 0
- -------------------------------------------------------------------- ---------------------------------------
Other Classes 0 0
- -------------------------------------------------------------------- ---------------------------------------
Issued as reinvestment of distributions
Class D 1,280 944
- -------------------------------------------------------------------- ---------------------------------------
Other Classes 653,998 1,827,187
- -------------------------------------------------------------------- ---------------------------------------
Cost of shares redeemed
Class D (8,425) (2,472)
- -------------------------------------------------------------------- ---------------------------------------
Other Classes (3,247,562) (5,822,931)
- -------------------------------------------------------------------- ---------------------------------------
Net increase (decrease) resulting from Fund share transactions 3,989,825 8,697,489
- -------------------------------------------------------------------- ---------------------------------------
Total Increase (Decrease) in Net Assets 3,187,099 8,032,793
==================================================================== =======================================
Net Assets:
Beginning of period 26,124,504 18,091,711
- -------------------------------------------------------------------- ---------------------------------------
End of period * $ 29,311,603 $ 26,124,504
- -------------------------------------------------------------------- ---------------------------------------
*Including net undistributed (overdistributed) investment income of: $ (76,156) $ (77,068)
- -------------------------------------------------------------------- ---------------------------------------
<CAPTION>
Amounts in thousands Total Return MOrtgage Fund
---------------------------------------
Six Months Ended Year Ended
Increase (Decrease) in Net Assets from: September 30, 1999 March 31, 1999
(Unaudited)
<S> <C> <C>
Operations :
Net investment income $ 116 $ 221
- -------------------------------------------------------------------- ---------------------------------------
Net realized gain (loss) 11 17
- -------------------------------------------------------------------- ---------------------------------------
Net change in unrealized (depreciation) (93) (4)
- -------------------------------------------------------------------- ---------------------------------------
Net increase (decrease) resulting from operations 34 234
==================================================================== =======================================
Distributions to Shareholders:
From net investment income
Class D (3) (6)
- -------------------------------------------------------------------- ---------------------------------------
Other Classes (113) (215)
- -------------------------------------------------------------------- ---------------------------------------
In excess of net investment income
Class D 0 0
- -------------------------------------------------------------------- ---------------------------------------
Other Classes 0 0
- -------------------------------------------------------------------- ---------------------------------------
From net realized capital gains
Class D 0 0
- -------------------------------------------------------------------- ---------------------------------------
Other Classes 0 (12)
- -------------------------------------------------------------------- ---------------------------------------
In excess of net realized capital gains
Class D 0 (1)
- -------------------------------------------------------------------- ---------------------------------------
Other Classes 0 (23)
- -------------------------------------------------------------------- ---------------------------------------
Total Distributions (116) (257)
==================================================================== =======================================
Fund Share Transactions:
Receipts for shares sold
Class D 20 178
- -------------------------------------------------------------------- ---------------------------------------
Other Classes 50 313
- -------------------------------------------------------------------- ---------------------------------------
Issued in reorganization
Class D 0 0
- -------------------------------------------------------------------- ---------------------------------------
Other Classes 0 0
- -------------------------------------------------------------------- ---------------------------------------
Issued as reinvestment of distributions
Class D 3 7
- -------------------------------------------------------------------- ---------------------------------------
Other Classes 113 249
- -------------------------------------------------------------------- ---------------------------------------
Cost of shares redeemed
Class D (75) 0
- -------------------------------------------------------------------- ---------------------------------------
Other Classes (310) (1)
- -------------------------------------------------------------------- ---------------------------------------
Net increase (decrease) resulting from Fund share transactions (199) 746
- -------------------------------------------------------------------- ---------------------------------------
Total Increase (Decrease) in Net Assets (281) 723
==================================================================== =======================================
Net Assets:
Beginning of period 4,311 3,588
- -------------------------------------------------------------------- ---------------------------------------
End of period * $ 4,030 $ 4,311
- -------------------------------------------------------------------- ---------------------------------------
*Including net undistributed (overdistributed) investment income of: $ 2 $ 2
- -------------------------------------------------------------------- ---------------------------------------
</TABLE>
88 See accompanying notes
<PAGE>
Statements of Cash Flows
For the period ended September 30, 1999 (Unaudited)
<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 $ 119,263 $ 92,067
- --------------------------------------------------------------------- ----------------- ---------------------
Redemptions of Fund shares (145,426) (3,551)
- --------------------------------------------------------------------- ----------------- ---------------------
Cash distributions paid (3,922) (362)
- --------------------------------------------------------------------- ----------------- ---------------------
Increase/(decrease) from financing transactions 19,305 41,654
- --------------------------------------------------------------------- ----------------- ---------------------
Net increase (decrease) from financing activities (10,780) 129,808
===================================================================== ================= =====================
Operating Activities
Purchases of long-term securities and foreign currency (1,886,127) (225,734)
- --------------------------------------------------------------------- ----------------- ---------------------
Proceeds from sales of long-term securities and foreign currency 1,882,144 96,515
- --------------------------------------------------------------------- ----------------- ---------------------
Purchases of short-term securities (net) 35,911 (2,344)
- --------------------------------------------------------------------- ----------------- ---------------------
Net investment income 18,288 1,848
- --------------------------------------------------------------------- ----------------- ---------------------
Change in other receivables/payables (net) (28,415) (878)
- --------------------------------------------------------------------- ----------------- ---------------------
Net increase (decrease) from operating activities 21,801 (130,593)
===================================================================== ================= =====================
Net Increase in Cash and Foreign Currency 11,021 (785)
===================================================================== ================= =====================
Cash and Foreign Currency
Beginning of period 0 888
- --------------------------------------------------------------------- ----------------- ---------------------
End of period $ 11,021 $ 103
===================================================================== ================= =====================
</TABLE>
See accompanying notes 89
<PAGE>
Notes to Financial Statements
September 30, 1999 (Unaudited)
1. Organization
PIMCO Funds: Pacific Investment Management Series (the "Trust") was established
as a Massachusetts business trust on February 19, 1987. The Trust is registered
under the Investment Company Act of 1940 (the "Act"), as amended, as an open-end
investment management company. The Trust currently consists of 28 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 Long Duration
Fund had not commenced operations as of September 30, 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.
90
<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, and takes such
fluctuations into account when determining its
91
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 1999 (Unaudited)
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, 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 Short-Term and Municipal Bond 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.
92
<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 September
30, 1999, PFD received $5,401,808 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 September 30, 1999 were as follows (amounts in thousands):
U.S. Government/Agency All Other
-------------------------------------------------------
Purchases Sales Purchases Sales
- --------------------------------------------------------------------------------
Foreign Bond Fund $ 566,643 $ 516,127 $ 1,355,018 $ 1,412,435
High Yield Fund 0 0 1,170,815 597,168
Low Duration Fund 1,121,701 1,598,675 1,489,622 536,811
Municipal Bond Fund 0 0 28,197 27,452
Real Return Bond Fund 200,021 90,606 23,217 6,459
Short-Term Fund 24,898 41,101 123,147 62,778
StocksPLUS Fund 386,466 276,094 344,577 169,817
Strategic Balanced Fund 83,397 45,333 43,983 8,667
Total Return Fund 23,255,503 38,945,812 27,139,903 4,360,485
Total Return Mortgage Fund 20,858 9,016 458 12,121
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>
Shares Value of Total Net
Issued by Shares Issued Assets of
Acquiring by Acquiring Acquired
Acquiring Fund Acquired Fund(s) Date Fund Fund Fund
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PIMCO Municipal Bond Fund PIMCO Tax Exempt Fund 06/26/1998 4,715 $47,296 $47,296
PIMCO Strategic Balanced Fund PIMCO Balanced Fund 09/17/1999 5,137 $66,780 $66,780
<CAPTION>
Total Acquired
Net Assets Fund's
Total Net of Acquiring Unrealized
Assets of Fund After Appreciation/
Acquiring Fund Acquiring Fund Acquisition (Depreciation)
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C>
PIMCO Municipal Bond Fund $4,295 $51,585 $ 2,335
PIMCO Strategic Balanced Fund $105,993 $172,774 $ (45)
</TABLE>
93
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 1999 (Unaudited)
6. Shares of Beneficial Interest
The Trust may issue an unlimited number of shares of beneficial interest with a
$.0001 par value. Changes in shares of beneficial interest were as follows
(shares and amounts in thousands):
<TABLE>
<CAPTION>
Foreign Bond Fund
------------------------------------------------------------
Period Ended 09/30/1999 Year Ended 03/31/1999
Shares Amount Shares Amount
- -------------------------------------------------------------- -----------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 396 $ 4,140 862 $ 9,232
- -------------------------------------------------------------- -----------------------------------------------------------
Other classes 10,889 113,195 32,615 350,670
- -------------------------------------------------------------- -----------------------------------------------------------
Shares issued in reorganization
Class D 0 0 0 0
- -------------------------------------------------------------- -----------------------------------------------------------
Other classes 0 0 0 0
- -------------------------------------------------------------- -----------------------------------------------------------
Issued as reinvestment of distributions
Class D 27 283 31 331
- -------------------------------------------------------------- -----------------------------------------------------------
Other classes 1,349 13,945 3,143 33,550
- -------------------------------------------------------------- -----------------------------------------------------------
Cost of shares redeemed
Class D (146) (1,521) (92) (980)
- -------------------------------------------------------------- -----------------------------------------------------------
Other classes (13,771) (142,468) (18,190) (194,707)
- -------------------------------------------------------------- -----------------------------------------------------------
Net increase (decrease) resulting from Fund share transactions (1,256) $ (12,426) 18,369 $ 198,096
============================================================== ===========================================================
<CAPTION>
High Yield Fund
-----------------------------------------------------------
Period Ended 09/30/1999 Year Ended 03/31/1999
Shares Amount Shares Amount
- -------------------------------------------------------------- -----------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 1,140 $ 12,585 940 $ 10,561
- -------------------------------------------------------------- -----------------------------------------------------------
Other classes 100,475 1,113,140 174,542 1,978,791
- -------------------------------------------------------------- -----------------------------------------------------------
Shares issued in reorganization
Class D 0 0 0 0
- -------------------------------------------------------------- -----------------------------------------------------------
Other classes 0 0 0 0
- -------------------------------------------------------------- -----------------------------------------------------------
Issued as reinvestment of distributions
Class D 56 617 17 189
- -------------------------------------------------------------- -----------------------------------------------------------
Other classes 11,127 121,927 15,179 172,090
- -------------------------------------------------------------- -----------------------------------------------------------
Cost of shares redeemed
Class D (236) (2,564) (150) (1,705)
- -------------------------------------------------------------- -----------------------------------------------------------
Other classes (67,776) (742,445) (93,220) (1,052,728)
- -------------------------------------------------------------- -----------------------------------------------------------
Net increase (decrease) resulting from Fund share transactions 44,786 $ 503,260 97,308 $1,107,198
============================================================== ===========================================================
<CAPTION>
Short-Term Fund
-----------------------------------------------------------
Period Ended 09/30/1999 Year Ended 03/31/1999
Shares Amount Shares Amount
- -------------------------------------------------------------- -----------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 252 $ 2,517 253 $ 2,535
- -------------------------------------------------------------- -----------------------------------------------------------
Other classes 74,848 747,164 103,825 1,042,572
- -------------------------------------------------------------- -----------------------------------------------------------
Shares issued in reorganization
Class D 0 0 0 0
- -------------------------------------------------------------- -----------------------------------------------------------
Other classes 0 0 0 0
- -------------------------------------------------------------- -----------------------------------------------------------
Issued as reinvestment of distributions
Class D 9 95 3 34
- -------------------------------------------------------------- -----------------------------------------------------------
Other classes 1,348 13,455 1,990 19,324
- -------------------------------------------------------------- -----------------------------------------------------------
Cost of shares redeemed
Class D (75) (748) (29) (294)
- -------------------------------------------------------------- -----------------------------------------------------------
Other classes (75,242) (751,234) (66,907) (671,328)
- -------------------------------------------------------------- -----------------------------------------------------------
Net increase (decrease) resulting from Fund share transactions 1,140 $ 11,249 39,135 $ 392,843
============================================================== ===========================================================
<CAPTION>
StocksPLUS Fund
-----------------------------------------------------------
Period Ended 09/30/1999 Year Ended 03/31/1999
Shares Amount Shares Amount
- -------------------------------------------------------------- -----------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 95 $ 1,395 140 $ 1,948
- -------------------------------------------------------------- -----------------------------------------------------------
Other classes 29,806 441,619 49,802 694,938
- -------------------------------------------------------------- -----------------------------------------------------------
Shares issued in reorganization
Class D 0 0 0 0
- -------------------------------------------------------------- -----------------------------------------------------------
Other classes 0 0 0 0
- -------------------------------------------------------------- -----------------------------------------------------------
Issued as reinvestment of distributions
Class D 3 36 11 159
- -------------------------------------------------------------- -----------------------------------------------------------
Other classes 1,336 19,186 8,515 115,895
- -------------------------------------------------------------- -----------------------------------------------------------
Cost of shares redeemed
Class D (15) (219) (31) (430)
- -------------------------------------------------------------- -----------------------------------------------------------
Other classes (17,188) (255,113) (22,436) (314,432)
- -------------------------------------------------------------- -----------------------------------------------------------
Net increase (decrease) resulting from Fund share transactions 14,037 $ 206,904 36,001 $ 498,078
============================================================== ===========================================================
</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 StocksPLUS Balanced Total
Bond Fund Duration Fund Return Fund Term Fund Fund Return Fund
--------------------------------------------------------------------------------------------
Premium
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Balance at 03/31/1999 $ 126 $ 1,830 $0 $ 53 $ 21 $35,106
Sales 1,295 7,749 5 8,344 517 54,967
Closing Buys 0 0 0 (515) (20) (827)
Expirations (297) (454) (5) (6,509) (380) (50,564)
Exercised 0 0 0 0 0 (791)
- ------------------------------------------------------------------------------------------------------------------------
Balance at 09/30/1999 $ 1,124 $ 9,125 $0 $ 1,373 $138 $37,891
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
94
<PAGE>
<TABLE>
<CAPTION>
Low Duration Fund Municipal Bond Fund
- ----------------------------------------------- --------------------------------------------------
Period Ended 09/30/1999 Year Ended 03/31/1999 Period Ended 09/30/1999 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
- ----------------------------------------------- --------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
374 $ 3,738 690 $ 7,014 16 $ 156 33 $ 340
- ----------------------------------------------- --------------------------------------------------
200,961 2,001,331 301,301 3,064,922 922 9,141 2,000 17,943
- ----------------------------------------------- --------------------------------------------------
0 0 0 0 0 0 0 0
- ----------------------------------------------- --------------------------------------------------
0 0 0 0 0 0 4,716 47,296
- ----------------------------------------------- --------------------------------------------------
23 231 15 153 1 6 1 6
- ----------------------------------------------- --------------------------------------------------
10,665 106,239 19,745 200,834 85 840 114 1,155
- ----------------------------------------------- --------------------------------------------------
(101) (1,003) (64) (644) (3) (26) (10) (105)
- ----------------------------------------------- --------------------------------------------------
(127,542) (1,273,425)(233,512) (2,374,959) (1,004) (9,847) (1,370) (13,927)
- ----------------------------------------------- --------------------------------------------------
84,380 $ 837,111 88,175 $ 897,320 17 $ 270 5,484 $ 52,708
=============================================== =================================================
<CAPTION>
Real Return Bond Fund
- --------------------------------------------------
Period Ended 09/30/1999 Year Ended 03/31/1999
Shares Amount Shares Amount
- --------------------------------------------------
<S> <C> <C> <C>
552 $ 5,428 19 $ 186
- --------------------------------------------------
8,816 87,001 2,499 24,583
- --------------------------------------------------
0 0 0 0
- --------------------------------------------------
0 0 0 0
- --------------------------------------------------
4 38 1 7
- --------------------------------------------------
130 1,235 60 600
- --------------------------------------------------
(22) (215) 0 (1)
- --------------------------------------------------
(356) (3,527) (515) (5,058)
- --------------------------------------------------
9,124 $ 89,960 2,064 $ 20,317
==================================================
<CAPTION>
Strategic Balanced Fund Total Return Fund
- ----------------------------------------------- --------------------------------------------------
Period Ended 09/30/1999 Year Ended 03/31/1999 Period Ended 09/30/1999 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
- ----------------------------------------------- --------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
6 $ 76 13 $ 164 3,050 $ 31,007 3,508 $ 37,112
- ----------------------------------------------- --------------------------------------------------
897 11,842 4,322 55,153 645,675 6,559,527 1,187,386 12,657,649
- ----------------------------------------------- --------------------------------------------------
0 0 0 0 0 0 0 0
- ----------------------------------------------- --------------------------------------------------
5,137 66,780 0 0 0 0 0 0
- ----------------------------------------------- --------------------------------------------------
0 3 1 14 127 1,280 90 944
- ----------------------------------------------- --------------------------------------------------
80 1,029 322 4,030 64,574 653,998 171,980 1,827,187
- ----------------------------------------------- --------------------------------------------------
(2) (25) 0 (6) (830) (8,425) (235) (2,472)
- ----------------------------------------------- --------------------------------------------------
(1,460) (18,477) (50) (640) (320,151) (3,247,562) (545,162) (5,822,931)
- ----------------------------------------------- --------------------------------------------------
4,658 $ 61,228 4,608 $ 58,715 392,445 $ 3,989,825 817,567 $ 8,697,489
=============================================== ==================================================
</TABLE>
Total Return Mortgage Fund
- ----------------------------------------------------
Period Ended 09/30/1999 Year Ended 03/31/1999
Shares Amount Shares Amount
- ----------------------------------------------------
2 $ 20 17 $ 178
- ----------------------------------------------------
5 50 31 313
- ----------------------------------------------------
0 0 0 0
- ----------------------------------------------------
0 0 0 0
- ----------------------------------------------------
0 3 1 7
- ----------------------------------------------------
11 113 24 249
- ----------------------------------------------------
(7) (75) 0 0
- ----------------------------------------------------
(30) (310) 0 (1)
- ----------------------------------------------------
(19) $ (199) 73 $ 746
====================================================
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.
Capital Loss Carryforwards
----------------------------------------------------------
Realized Losses Acquired Losses Expiration
- --------------------------------------------------------------------------------
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
95
<PAGE>
PIMCO Funds: Pacific Investment Management Series
- --------------------------------------------------------------------------------
Manager Pacific Investment Management Company, 840 Newport
Center Drive, Suite 300, Newport Beach, CA 92660
- --------------------------------------------------------------------------------
Distributor PIMCO Funds Distributors LLC, 2187 Atlantic Street,
Stamford, CT 06902
- --------------------------------------------------------------------------------
Custodian 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 call
1-800-426-0107. Telephone representatives are available
Monday-Friday 8:30 am to 8:00 pm Eastern Time.
<PAGE>
[PHOTO]
Bill Gross
Managing Director
More Tributes to Bill Gross's Investment Acumen
If you were browsing through any of the leading personal finance magazines this
fall, there's a good chance you came across Bill Gross's name. Money, SmartMoney
and Worth all included Mr. Gross on their investment all-star lists--a tribute
to his achievements as one of the world's leading bond authorities. And he was
the only portfolio manager to make all three lineups. Here's a sampling of what
the magazines had to say:
In its October cover story, Money reveals its "Ultimate Investment Club 1999."
For bond expertise, the magazine turned to Bill Gross, calling him "the
undisputed king of the bond world". And in discussing other bond fund managers,
a fellow member of the Club says "there's Bill Gross, and there's everyone
else."
Worth sought advice from "Wall Street's 25 Smartest Players" for its October
issue. Bill Gross was one of them. Referring to him simply as "Mister Bond," the
article describes him as "a man whose returns as manager of PIMCO's bond funds
have certainly sent dozens of competing firms looking for models that can at
least match his intuitions."
In its September issue, SmartMoney named Bill Gross one of "the 30 most
influential people in mutual funds". The write-up on Gross begins with this
assertion: "The numbers tell the tale: One in five dollars invested in bond
funds this year went to Bill Gross's shop." It goes on to say that "Bond fund
managers, well aware of Gross's impeccable record, tend to watch his every
move."
To order reprints of these articles contact PIMCO Funds at 1-888-87-PIMCO.
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.
PZ017.11/99
[LOGO OF PIMCO FUNDS]
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
SEMI-ANNUAL REPORT
September 30, 1999
<PAGE>
A Word About the Year 2000
We at PIMCO are dedicated to making our computer systems fully operational
before, during, and after 2000. Similarly, our analysts and portfolio managers
take Year 2000 risks into account along with other investment considerations
when making investment decisions, such as choosing counterparties and evaluating
risks associated with portfolio securities. This evaluation often differs for
different issuers and depends upon the investment objectives, policies, and
restrictions applicable to a portfolio. The information available for different
issuers and counterparties varies substantially in accuracy and completeness. In
particular, little information exists about companies that are not registered
with the United States Securities and Exchange Commission and about foreign
issuers, counterparties, markets and other institutions.
While we are dedicated to making a smooth transition to Year 2000, we cannot
guarantee investment performance or that Year 2000 will not result in losses.
Investments in companies with real or perceived Year 2000 problems may decline
in value or fail on scheduled dividend, interest or principal payments. Any such
failures may affect the fund's performance.1
1 This is a Year 2000 Readiness Disclosure.
<PAGE>
Chairman's Letter
Dear PIMCO Funds Shareholder:
The stock and bond markets have produced mixed results over the past six
months despite continued strength in the U.S. economy. The stock market has
taken investors on a bit of a roller coaster ride, with the technology
sector, excluding Internet stocks, remaining one of the few areas of the
market to outperform.
Some sectors of the bond markets experienced turbulence as investors reacted
negatively to the continued strength of the U.S. economy and to rising
interest rates. Investor sentiment was reflected by an increase in U.S.
Treasury rates across the maturity spectrum, with rates on intermediate
maturities rising the most. The yield on the benchmark 30-year Treasury
increased by 0.43% to finish the six-month period at 6.05%.
In an effort to quell the prospect of rising inflation, the Federal Reserve
Board raised the fed funds rate by 0.25% twice during the past six months,
setting the rate at 5.25% and taking away two of the three rate reductions
initiated during autumn of 1998. With the latest increase, the Fed indicated
that they would maintain a neutral policy bias and stated that this increase
"together with the policy action in June and the firming of conditions more
generally in U.S. financial markets over recent months, should markedly
diminish the risk of rising inflation going forward." That wording helped to
reassure investors concerned about the potential for additional Fed rate
hikes.
A considerable worry for investors during the period was the decline of the
U.S. dollar, especially versus the Japanese yen, which threatened to boost
inflation by pushing up import prices. The dollar's decline stemmed from a
record U.S. trade deficit and raised the prospect that international
investors may move capital from the U.S. markets to growing Asian and
European economies. The strength of the dollar is more important now because
of the growing percentage of domestic consumption satisfied by imports.
Despite volatility in the financial markets, the Funds in the Pacific
Investment Management Series have continued to experience strong relative
performance across the board. Also, PIMCO Funds has continued to attract new
bond investors at a rapid rate: we recently surpassed the $50 billion mark in
assets under management, making ours one the country's fastest growing fund
families.
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
October 29, 1999
PIMCO Advisors Holdings L.P. (NYSE:PA), its operating subsidiary PIMCO Advisors
L.P. and Allianz AG (EURO:ALV) announced that they have reached a definitive
agreement for Allianz AG to acquire majority ownership of PIMCO Advisors,
including all of the interests held at PIMCO Advisors Holdings L.P. Under the
terms of the agreement, at the closing the units of PA Holdings will be
exchanged by way of a merger and there will be no further public ownership of
PIMCO Advisors. Additionally, key employees at each of PIMCO Advisors'
investment units, including PIMCO's Bill Gross, have significant profit-sharing
and retention arrangements to ensure continuity of the investment process and
staff.
1999 Semi-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:
3.53 years
Total Net Assets:
$980.1 million
Sector Breakdown:*
[CHART]
United States 57.1%
Germany 9.2%
New Zealand 4.1%
Supranational 4.0%
Canada 4.0%
Short-Term Instruments 3.5%
Other 18.1%
Quality Breakdown:*
[CHART]
AAA 64.3%
AA 14.2%
A 13.0%
BBB 8.5%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 1999
Salomon Brothers World
Inst'l Class Government Bond Index Lehman Brothers
(Incep. 12/13/1989) (Currency Hedged) Aggregate Bond Index
- --------------------------------------------------------------------------------
6 Months -1.40% 0.22% -0.21%
1 Year 0.29% 0.72% -0.37%
3 Years* 7.13% 9.21% 6.82%
5 Years* 10.45% 10.93% 7.84%
Since Inception* 8.39% -- --
* Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
International Bond Salomon Brothers Lehman Brothers
MONTH Fund World Gov't Bond Aggregate Bond
Index Index
<S> <C> <C> <C>
12/31/1989 5,000,000 5,000,000 5,000,000
01/31/1990 4,944,945 4,900,984 4,940,584
02/28/1990 4,859,860 4,827,959 4,956,571
03/31/1990 4,924,925 4,825,552 4,960,222
04/30/1990 4,894,711 4,821,681 4,914,778
05/31/1990 4,980,318 4,942,718 5,060,297
06/30/1990 5,060,889 4,968,415 5,141,490
07/31/1990 5,189,338 4,987,802 5,212,613
08/31/1990 5,101,993 4,920,469 5,143,001
09/30/1990 5,096,855 4,892,917 5,185,549
10/31/1990 5,191,047 5,033,341 5,251,385
11/30/1990 5,295,705 5,115,898 5,364,426
12/31/1990 5,353,791 5,167,065 5,448,011
01/31/1991 5,461,621 5,265,238 5,515,358
02/28/1991 5,537,103 5,342,635 5,562,437
03/31/1991 5,493,971 5,345,843 5,600,705
04/30/1991 5,571,350 5,372,037 5,661,380
05/31/1991 5,598,986 5,403,733 5,694,486
06/30/1991 5,576,878 5,374,552 5,691,591
07/31/1991 5,627,372 5,423,461 5,770,519
08/31/1991 5,756,415 5,493,423 5,895,393
09/30/1991 5,868,626 5,582,966 6,014,854
10/31/1991 5,919,955 5,622,605 6,081,823
11/30/1991 5,937,064 5,640,596 6,137,588
12/31/1991 6,117,563 5,741,001 6,319,864
01/31/1992 6,123,555 5,789,224 6,233,887
02/29/1992 6,153,514 5,808,328 6,274,421
03/31/1992 6,096,592 5,775,221 6,239,048
04/30/1992 6,127,014 5,793,124 6,284,114
05/31/1992 6,212,196 5,855,689 6,402,694
06/30/1992 6,193,943 5,879,698 6,490,811
07/31/1992 6,193,943 5,920,856 6,623,238
08/31/1992 6,193,943 5,939,803 6,690,332
09/30/1992 6,298,508 6,037,215 6,769,637
10/31/1992 6,465,397 6,136,225 6,679,884
11/30/1992 6,465,397 6,128,249 6,681,395
12/31/1992 6,545,751 6,190,758 6,787,638
01/31/1993 6,570,432 6,252,048 6,917,800
02/28/1993 6,704,914 6,386,467 7,038,897
03/31/1993 6,743,338 6,366,030 7,068,228
04/30/1993 6,717,722 6,350,114 7,117,447
05/31/1993 6,763,200 6,361,544 7,126,511
06/30/1993 6,912,627 6,470,328 7,255,665
07/31/1993 6,997,086 6,542,794 7,296,702
08/31/1993 7,128,240 6,662,527 7,424,597
09/30/1993 7,141,356 6,719,825 7,444,990
10/31/1993 7,252,837 6,806,510 7,472,810
11/30/1993 7,292,542 6,890,230 7,409,240
12/31/1993 7,480,184 7,002,540 7,449,396
01/31/1994 7,466,522 6,923,412 7,549,975
02/28/1994 7,271,176 6,796,715 7,418,807
03/31/1994 7,184,356 6,746,420 7,235,901
04/30/1994 7,133,711 6,711,339 7,178,122
05/31/1994 6,943,674 6,671,742 7,177,115
06/30/1994 6,768,255 6,605,690 7,161,254
07/31/1994 6,804,801 6,669,764 7,303,499
08/31/1994 6,723,527 6,615,738 7,312,563
09/30/1994 6,686,585 6,626,323 7,204,935
10/31/1994 6,716,139 6,641,563 7,198,515
11/30/1994 6,775,247 6,733,217 7,182,528
12/31/1994 6,768,742 6,742,644 7,232,125
01/31/1995 6,845,010 6,814,791 7,375,252
02/28/1995 6,940,344 6,919,737 7,550,604
03/31/1995 7,092,879 7,113,491 7,596,928
04/30/1995 7,226,348 7,225,173 7,703,046
05/31/1995 7,283,548 7,465,048 8,001,133
06/30/1995 7,216,814 7,458,328 8,059,794
07/31/1995 7,359,816 7,530,674 8,041,793
08/31/1995 7,512,351 7,572,092 8,138,847
09/30/1995 7,579,085 7,709,146 8,218,026
10/31/1995 7,741,153 7,789,322 8,324,899
11/30/1995 8,028,929 7,953,677 8,449,648
12/31/1995 8,172,816 7,999,014 8,568,228
01/31/1996 8,323,303 8,066,205 8,625,126
02/29/1996 8,071,081 7,968,604 8,475,201
03/31/1996 8,162,452 8,061,039 8,416,289
04/30/1996 8,314,737 8,102,151 8,368,958
05/31/1996 8,294,432 8,165,347 8,351,964
06/30/1996 8,406,606 8,224,955 8,464,124
07/31/1996 8,518,966 8,289,930 8,487,286
08/31/1996 8,682,399 8,414,282 8,473,061
09/30/1996 8,938,478 8,547,224 8,620,720
10/31/1996 9,277,524 8,690,820 8,811,682
11/30/1996 9,585,748 8,836,826 8,962,613
12/31/1996 9,541,698 8,831,524 8,879,280
01/31/1997 9,589,950 8,948,098 8,906,470
02/28/1997 9,650,264 9,032,213 8,928,625
03/31/1997 9,456,645 9,006,922 8,829,683
04/30/1997 9,529,482 9,099,692 8,961,858
05/31/1997 9,711,574 9,149,740 9,046,576
06/30/1997 9,917,871 9,293,391 9,153,953
07/31/1997 10,149,939 9,445,802 9,400,806
08/31/1997 10,027,798 9,476,973 9,320,619
09/30/1997 10,224,042 9,619,128 9,458,082
10/31/1997 10,088,868 9,738,405 9,595,292
11/30/1997 10,150,311 9,786,124 9,639,476
12/31/1997 10,134,127 9,895,728 9,736,531
01/31/1998 10,367,431 10,011,508 9,861,531
02/28/1998 10,323,686 10,098,609 9,853,663
03/31/1998 10,542,817 10,189,496 9,887,966
04/30/1998 10,601,551 10,254,708 9,939,577
05/31/1998 10,807,121 10,404,426 10,033,862
06/30/1998 10,940,178 10,469,973 10,118,958
07/31/1998 10,940,178 10,530,700 10,140,483
08/31/1998 10,688,849 10,772,908 10,305,514
09/30/1998 10,956,920 11,053,001 10,546,828
10/31/1998 10,778,275 11,032,001 10,491,062
11/30/1998 10,867,598 11,084,954 10,550,604
12/31/1998 11,270,457 11,026,205 10,582,326
01/31/1999 11,396,384 11,134,263 10,657,855
02/28/1999 11,097,307 10,997,310 10,471,803
03/31/1999 11,144,530 11,108,384 10,529,834
04/30/1999 11,160,271 11,208,359 10,563,192
05/31/1999 10,939,899 11,162,403 10,470,670
06/30/1999 10,924,617 11,037,385 10,437,311
07/31/1999 10,908,762 11,039,593 10,392,875
08/31/1999 10,861,194 11,058,359 10,387,691
09/30/1999 10,988,621 11,132,451 10,508,182
</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 1/01/1990, 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 six-month period ended September 30, 1999, the International Bond
Fund posted a return of -1.40%, underperforming the -0.21% return of the
benchmark, the Lehman Brothers Aggregate Bond Index.
. The Fund's below-Index duration added to returns as interest rates rose after
economic data from Europe and Asia continued to improve, suggesting global
recovery had emerged.
. An underweight in Japan was negative as Japanese bonds gained, buoyed by
demand from domestic institutional investors such as the Trust Fund Bureau.
. An overweight in the Euro in the latter half of 1999 was positive for returns
after the Euro rallied due to improving growth prospects in Europe.
. Country selection within the European bloc was a slight negative for returns.
Emphasis on second round EMU candidates was negative as yield premiums
widened due to liquidity concerns. An overweight in Danish mortgages was
neutral as their higher yields compensated for adverse price performance.
. Country selection within the dollar bloc was a slight positive for returns.
Overweights in Australia and New Zealand added to returns as low inflation
and strong currencies supported the market.
. Emerging market positions enhanced performance due to their relatively higher
yields and diminished market volatility.
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:
4.58 years
Total Net Assets:
$218.4 million
Sector Breakdown:*
[CHART]
Mexico 24.4%
Philippines 14.8%
South Korea 11.7%
Poland 8.8%
Brazil 5.9%
Oatar 4.8%
Uruguay 4.3%
Bulgaria 4.3%
Short-Term Instruments 1.1%
Other 19.9%
Quality Breakdown:*
[CHART]
AAA 0.6%
AA 1.0%
A 1.1%
BBB 37.0%
BB 49.9%
B 10.4%
*% of Total Investments as of September 30, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 1999
Inst'l Class J.P Morgan Emerging Lehman Brothers
(Incep. 4/03/1998) Markets Plus Index Aggregate Bond Index
- --------------------------------------------------------------------------------
6 Months 3.04% 6.51% -0.21%
1 Year 20.31% 23.02% -0.37%
Since Inception* 5.71% -- --
* Annualized
Cumulative Returns Through september 30, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Emerging Markets J.P. Morgan Lehman Brothers
MONTH Bond Fund II Emerging Markets Aggregate Bond Index
Plus Index
<S> <C> <C> <C>
04/30/1998 5,000,000 5,000,000 5,000,000
05/31/1998 4,944,400 4,829,347 5,047,429
06/30/1998 4,891,710 4,689,782 5,090,236
07/31/1998 5,001,037 4,722,141 5,101,064
08/31/1998 4,265,043 3,364,998 5,184,081
09/30/1998 4,536,231 3,694,095 5,305,471
10/31/1998 4,749,812 3,933,103 5,277,419
11/30/1998 5,137,475 4,164,761 5,307,371
12/31/1998 5,122,302 4,060,642 5,323,328
01/31/1999 5,110,595 3,909,994 5,361,322
02/28/1999 5,142,926 3,966,297 5,267,730
03/31/1999 5,296,664 4,266,545 5,296,922
04/30/1999 5,438,686 4,557,951 5,313,703
05/31/1999 5,274,822 4,298,148 5,267,161
06/30/1999 5,334,460 4,490,275 5,250,380
07/31/1999 5,345,462 4,397,324 5,228,027
08/31/1999 5,349,303 4,391,169 5,225,419
09/30/1999 5,457,620 4,544,422 5,286,031
</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 5/01/1998, the first full month following the Fund's
Institutional Class inception on 4/03/1998, 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
- --------------------------------------------------------------------------------
. The Emerging Markets Bond Fund II significantly outperformed the Lehman
Brothers Aggregate Bond Index for the six-month period ended September 30,
1999, with the Fund returning 3.04% versus the -0.21% for the Index.
. Emerging markets were the best performing bond market sector during the
period.
. An above-benchmark duration was slightly positive for returns as interest
rates in developing countries fell.
. A focus on South Korea and Poland added to returns.
. Mexican holdings performed well due to its stronger economy and an upgrade in
its credit rating.
. Argentina performed well on the prospect of "a new government" with the
impending presidential elections.
. Brazil showed strong performance on signs of improving economic conditions.
1999 Semi-Annual Report 3
<PAGE>
Financial Highlights
International Bond Fund
<TABLE>
<CAPTION>
Selected Per Share Data for the Period
or Year Ended: 09/30/1999(c) 3/31/1999 3/31/1998 3/31/1997 3/31/1996 3/31/1995
------------- ------------ ------------ ---------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value Beginning of Period $ 7.08 $ 7.18 $ 7.79 $ 8.04 $ 7.44 $ 9.93
- ---------------------------------------------- ------------- ------------ ------------ ---------- ---------- -----------
Net Investment Income 0.18 (a) 0.29(a) 0.64(a) 0.84 0.63 2.18
- ---------------------------------------------- ------------- ------------ ------------ ---------- ---------- -----------
Net Realized and Unrealized Gain (Loss) (0.38)(a) 0.11(a) 0.19(a) 0.42 0.49 (2.41)
- ---------------------------------------------- ------------- ------------ ------------ ---------- ---------- -----------
Total Income (Loss) from Investment Operations (0.20) 0.40 0.83 1.26 1.12 (0.23)
- ---------------------------------------------- ------------- ------------ ------------ ---------- ---------- -----------
Dividends from Net Investment Income 0.00 (0.30) (0.25) (0.50) (0.39) (2.26)
- ---------------------------------------------- ------------- ------------ ------------ ---------- ---------- -----------
Dividends in Excess of Net Investment Income 0.00 0.00 0.00 0.00 (0.13) 0.00
- ---------------------------------------------- ------------- ------------ ------------ ---------- ---------- -----------
Distributions from Net Realized Capital Gains 0.00 (0.20) (0.24) (1.01) 0.00 0.00
- ---------------------------------------------- ------------- ------------ ------------ ---------- ---------- -----------
Distributions in Excess of Net Realized
Capital Gains 0.00 0.00 (0.95) 0.00 0.00 0.00
- ---------------------------------------------- ------------- ------------ ------------ ---------- ---------- -----------
Total Distributions 0.00 (0.50) (1.44) (1.51) (0.52) (2.26)
- ---------------------------------------------- ------------- ------------ ------------ ---------- ---------- -----------
Net Asset Value End of Period $ 6.88 $ 7.08 $ 7.18 $ 7.79 $ 8.04 $ 7.44
- ---------------------------------------------- ------------- ------------ ------------ ---------- ---------- -----------
Total Return (1.40%) 5.71% 11.49% 15.86% 15.08% (1.27%)
- ---------------------------------------------- ------------- ------------ ------------ ---------- ---------- -----------
Net Assets End of Period (000s) $ 980,142 $ 720,025 $ 730,622 $ 957,950 $ 2,271,940 $ 45,950
- ---------------------------------------------- ------------- ------------ ------------ ---------- ---------- -----------
Ratio of Expenses to Average Net Assets 0.51%* 0.50% 0.51% 0.50% 0.50% 0.43%
- ---------------------------------------------- ------------- ------------ ------------ ---------- ---------- -----------
Ratio of Net Investment Income to Average
Net Assets 5.19%* 4.04% 8.17% 7.17% 6.09% 5.90%
- ---------------------------------------------- ------------- ------------ ------------ ---------- ---------- -----------
Portfolio Turnover Rate 174% 406% 255% 875% 1046% 674%
- ---------------------------------------------- ------------- ------------ ------------ ---------- ---------- -----------
</TABLE>
Emerging Markets Bond Fund II
<TABLE>
<CAPTION>
Selected Per Share Data for the Period Ended: 09/30/1999(c) 3/31/1999(b)
--------------- -------------
<S> <C> <C>
Net Asset Value Beginning of Period $ 9.63 $ 10.00
- ---------------------------------------------------------------------------------------- --------------- -------------
Net Investment Income 0.40 (a) 0.87 (a)
- ---------------------------------------------------------------------------------------- --------------- -------------
Net Realized and Unrealized Gain (Loss) (0.11)(a) (0.39)(a)
- ---------------------------------------------------------------------------------------- --------------- -------------
Total Income (Loss) from Investment Operations 0.29 0.48
- ---------------------------------------------------------------------------------------- --------------- -------------
Dividends from Net Investment Income (0.40) (0.85)
- ---------------------------------------------------------------------------------------- --------------- -------------
Total Distributions (0.40) (0.85)
- ---------------------------------------------------------------------------------------- --------------- -------------
Net Asset Value End of Period $ 9.52 $ 9.63
- ---------------------------------------------------------------------------------------- --------------- -------------
Total Return 3.04% 5.49%
- ---------------------------------------------------------------------------------------- --------------- -------------
Net Assets End of Period (000s) $ 218,364 $145,530
- ---------------------------------------------------------------------------------------- --------------- -------------
Ratio of Expenses to Average Net Assets 0.90%*(d) 0.85%
- ---------------------------------------------------------------------------------------- --------------- -------------
Ratio of Net Investment Income to Average Net Assets 8.25%* 9.43%
- ---------------------------------------------------------------------------------------- --------------- -------------
Portfolio Turnover Rate 43% 199%
- ---------------------------------------------------------------------------------------- --------------- -------------
</TABLE>
*Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Commenced operations on April 8, 1998.
(c) Unaudited
(d) Ratio of expenses to average net assets excluding interest expense is 0.85%.
4 PIMCO Funds See accompanying notes
<PAGE>
Statements of Assets and Liabilities
September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
International Emerging Markets
Amounts in thousands, except per share amounts Bond Fund Bond Fund II
------------- ----------------
<S> <C> <C>
Assets:
Investments, at value $ 1,510,805 $ 221,089
- ------------------------------------------------------------------------------------------ ------------- ----------------
Cash and foreign currency 115,708 2,665
- ------------------------------------------------------------------------------------------ ------------- ----------------
Receivable for investments and foreign currency sold 495,461 7,244
- ------------------------------------------------------------------------------------------ ------------- ----------------
Variation margin receivable 110 0
- ------------------------------------------------------------------------------------------ ------------- ----------------
Interest and dividends receivable 23,045 4,897
- ------------------------------------------------------------------------------------------ ------------- ----------------
Other assets 0 16
- ------------------------------------------------------------------------------------------ ------------- ----------------
2,145,129 235,911
========================================================================================== ============= ================
Liabilities:
Payable for investments and foreign currency purchased $ 579,861 $ 1,910
- ------------------------------------------------------------------------------------------ ------------- ----------------
Payable for financing transactions 565,932 15,408
- ------------------------------------------------------------------------------------------ ------------- ----------------
Written options outstanding 1,863 0
- ------------------------------------------------------------------------------------------ ------------- ----------------
Dividends payable 0 67
- ------------------------------------------------------------------------------------------ ------------- ----------------
Accrued investment advisory fee 200 78
- ------------------------------------------------------------------------------------------ ------------- ----------------
Accrued administration fee 200 69
- ------------------------------------------------------------------------------------------ ------------- ----------------
Variation margin payable 6 0
- ------------------------------------------------------------------------------------------ ------------- ----------------
Other liabilities 16,925 15
- ------------------------------------------------------------------------------------------ ------------- ----------------
1,164,987 17,547
========================================================================================== ============= ================
Net Assets $ 980,142 $ 218,364
========================================================================================== ============= ================
Net Assets Consist of:
Paid in capital $ 1,014,696 $ 224,824
- ------------------------------------------------------------------------------------------ ------------- ----------------
Undistributed (overdistributed) net investment income 8,125 (22)
- ------------------------------------------------------------------------------------------ ------------- ----------------
Accumulated undistributed net realized gain (loss) (19,714) (8,176)
- ------------------------------------------------------------------------------------------ ------------- ----------------
Net unrealized appreciation (depreciation) (22,965) 1,738
- ------------------------------------------------------------------------------------------ ------------- ----------------
$ 980,142 $ 218,364
========================================================================================== ============= ================
Shares Issued and Outstanding: 142,437 22,944
- ------------------------------------------------------------------------------------------ ------------- ----------------
Net Asset Value and Redemption Price Per Share (Net
Assets Per Share Outstanding) $ 6.88 $ 9.52
- ------------------------------------------------------------------------------------------ ------------- ----------------
Cost of Investments Owned $ 1,517,931 $ 219,219
========================================================================================== ============= ================
Cost of Foreign Currency Held $ 37,971 $ 1,384
========================================================================================== ============= ================
</TABLE>
1999 Semi-Annual Report See accompanying notes 5
<PAGE>
Statements of Operations
For the period ended September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
International Emerging Markets
Amounts in thousands Bond Fund Bond Fund II
-------------- ----------------
<S> <C> <C>
Investment Income:
Interest $ 25,635 $ 8,812
- ----------------------------------------------------------- -------------- ----------------
Expenses:
Investment advisory fees 1,115 428
- ----------------------------------------------------------- -------------- ----------------
Administration fees 1,115 381
- ----------------------------------------------------------- -------------- ----------------
Trustees' fees 2 0
- ----------------------------------------------------------- -------------- ----------------
Interest Expense 65 55
- ----------------------------------------------------------- -------------- ----------------
Total Expenses 2,297 864
- ----------------------------------------------------------- -------------- ----------------
Net Investment Income 23,338 7,948
- ----------------------------------------------------------- -------------- ----------------
Net Realized and Unrealized Gain (Loss):
Net realized (loss) on investments (27,846) (957)
- ----------------------------------------------------------- -------------- ----------------
Net realized gain (loss) on futures contracts and
written options 9,376 (156)
- ----------------------------------------------------------- -------------- ----------------
Net realized (loss) on foreign currency transactions (1,359) (291)
- ----------------------------------------------------------- -------------- ----------------
Net change in unrealized (depreciation) on investments (11,754) (1,224)
- ----------------------------------------------------------- -------------- ----------------
Net change in unrealized appreciation (depreciation)
on futures contracts and written options (1,841) 42
- ----------------------------------------------------------- -------------- ----------------
Net change in unrealized (depreciation) on translation of
assets and liabilities denominated in foreign currencies (1,280) (178)
- ----------------------------------------------------------- -------------- ----------------
Net (Loss) (34,704) (2,764)
- ----------------------------------------------------------- -------------- ----------------
Net Increase (Decrease) in Assets Resulting from Operations $ (11,366) $ 5,184
- ----------------------------------------------------------- -------------- ----------------
</TABLE>
6 PIMCO Funds See accompanying notes
<PAGE>
Statements of Changes in Net Assets
September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
International Bond Fund Emerging Markets Bond Fund II
---------------------------------- ----------------------------------------------
Amounts in thousands Six Months Ended Year Ended Six Months Ended Period from April 3, 1998
September 30, 1999 March 31, 1999 September 30, 1999 to March 31, 1999
Increase (Decrease) in Net Assets from: (Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Operations:
Net investment income $ 23,338 $ 20,775 $ 7,948 $ 6,225
- ---------------------------------------- ---------------------------------- ----------------------------------------------
Net realized (loss) (19,829) (17,214) (1,404) (6,795)
- ---------------------------------------- ---------------------------------- ----------------------------------------------
Net change in unrealized
appreciation (depreciation) (14,875) 24,931 (1,360) 3,098
- ---------------------------------------- ---------------------------------- ----------------------------------------------
Net increase (decrease) resulting
from operations (11,366) 28,492 5,184 2,528
- ---------------------------------------- ---------------------------------- ----------------------------------------------
Distributions to Shareholders:
From net investment income (13,305) (21,310) (7,944) (6,225)
- ---------------------------------------- ---------------------------------- ----------------------------------------------
In excess of net investment income 0 0 0 (3)
- ---------------------------------------- ---------------------------------- ----------------------------------------------
In excess of net realized capital gains 0 (13,429) 0 0
- ---------------------------------------- ---------------------------------- ----------------------------------------------
Total Distributions (13,305) (34,739) (7,944) (6,228)
- ---------------------------------------- ---------------------------------- ----------------------------------------------
Fund Share Transactions:
Receipts for shares sold 290,993 432,838 76,300 210,500
- ---------------------------------------- ---------------------------------- ----------------------------------------------
Issued as reinvestment of distributions 6,055 34,207 7,544 5,755
- ---------------------------------------- ---------------------------------- ----------------------------------------------
Cost of shares redeemed (12,260) (471,395) (8,250) (67,025)
- ---------------------------------------- ---------------------------------- ----------------------------------------------
Net increase (decrease) resulting
from Fund share transactions 284,788 (4,350) 75,594 149,230
- ---------------------------------------- ---------------------------------- ----------------------------------------------
Total Increase (Decrease) in Net Assets 260,117 (10,597) 72,834 145,530
- ---------------------------------------- ---------------------------------- ----------------------------------------------
Net Assets:
Beginning of period 720,025 730,622 145,530 0
- ---------------------------------------- ---------------------------------- ----------------------------------------------
End of period * $ 980,142 $ 720,025 $ 218,364 $ 145,530
- ---------------------------------------- ---------------------------------- ----------------------------------------------
*Including net undistributed
(overdistributed) investment
income of: $ 8,125 $ (1,908) $ (22) $ (26)
- ---------------------------------------- ---------------------------------- ----------------------------------------------
</TABLE>
1999 Semi-Annual Report See accompanying notes 7
<PAGE>
Statement of Cash Flows
For the period ended September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
International
Amounts in thousands Bond Fund
--------------
Increase (Decrease) in Cash and Foreign Currency from:
<S> <C>
Financing Activities
Sales of Fund shares $ 320,994
- ----------------------------------------------------------------- --------------
Redemptions of Fund shares (12,260)
- ----------------------------------------------------------------- --------------
Cash distributions paid (7,250)
- ----------------------------------------------------------------- --------------
Proceeds from financing transactions 423,356
- ----------------------------------------------------------------- --------------
Net increase (decrease) from financing activities 724,840
- ----------------------------------------------------------------- --------------
Operating Activities
Purchases of long-term securities and foreign currency (4,098,211)
- ----------------------------------------------------------------- --------------
Proceeds from sales of long-term securities and foreign currency 3,223,122
- ----------------------------------------------------------------- --------------
Purchases of short-term securities (net) 250,794
- ----------------------------------------------------------------- --------------
Net investment income 23,338
- ----------------------------------------------------------------- --------------
Change in other receivables/payables (net) (13,340)
- ----------------------------------------------------------------- --------------
Net increase (decrease) from operating activities (614,297)
- ----------------------------------------------------------------- --------------
Net Increase in Cash and Foreign Currency 110,543
- ----------------------------------------------------------------- --------------
Cash and Foreign Currency
Beginning of period 5,165
- ----------------------------------------------------------------- --------------
End of period $ 115,708
- ----------------------------------------------------------------- --------------
</TABLE>
8 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
International Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
ARUBA 0.5%
- --------------------------------------------------------------------------------
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 $ 4,800 $ 4,925
-----------
Total Aruba 4,925
===========
(Cost $4,797)
- --------------------------------------------------------------------------------
AUSTRALIA 0.8%
- --------------------------------------------------------------------------------
Bankers Trust Australia
5.366% due 06/02/2008(d) $ 7,700 7,565
-----------
Total Australia 7,565
===========
(Cost $7,570)
- --------------------------------------------------------------------------------
BAHAMAS 0.0%
- --------------------------------------------------------------------------------
Citibank NA Nassau
9.750% due 04/26/2000 $ 350 351
-----------
Total Bahamas 351
===========
(Cost $350)
- --------------------------------------------------------------------------------
BELGIUM (e)(f) 2.9%
- --------------------------------------------------------------------------------
Kingdom of Belgium
3.750% due 03/28/2009 (j) EC 30,000 28,136
-----------
Total Belgium 28,136
===========
(Cost $27,529)
- --------------------------------------------------------------------------------
CANADA (e)(f) 6.2%
- --------------------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 4,070 2,789
Commonwealth of Canada
8.500% due 03/01/2000 20,000 13,808
Province of Alberta
8.000% due 03/01/2000 10,000 6,905
Province of Ontario
4.733% due 09/16/2003(d) 13,000 8,849
Province of Quebec
10.000% due 04/26/2000 40,000 28,024
-----------
Total Canada 60,375
===========
(Cost $58,754)
- --------------------------------------------------------------------------------
CAYMAN ISLANDS (e)(f) 1.1%
- --------------------------------------------------------------------------------
MBNA American Euro
2.640% due 05/19/2004 (d) EC 10,000 10,614
-----------
Total Cayman Islands 10,614
===========
(Cost $10,620)
- --------------------------------------------------------------------------------
DENMARK (e)(f) 2.8%
- --------------------------------------------------------------------------------
Danske Kredit Mortgage
5.000% due 10/01/2029 DK 104,434 12,737
Nykredit
5.000% due 10/01/2029 20,553 2,492
Realkredit Danmark Mortgage
5.000% due 10/01/2029 44,160 5,370
Unikredit Realkredit
5.000% due 10/01/2029 54,046 6,598
-----------
Total Denmark 27,197
===========
(Cost $29,968)
- --------------------------------------------------------------------------------
FRANCE (e)(f) 0.5%
- --------------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 1,385 1,402
Republic of France
3.000% due 07/25/2009 (h) 3,714 3,861
-----------
Total France 5,263
===========
(Cost $5,512)
- --------------------------------------------------------------------------------
GERMANY (e)(f) 14.1%
- --------------------------------------------------------------------------------
Allgemeine Hypobank AG
5.000% due 09/02/2009 (k) EC 3,800 3,860
Depfa Pfandbriefbank
5.500% due 01/15/2010 (k) 50,280 53,212
Hypothekenbank in Essen AG
3.221% due 01/03/2000 (d) 2,340 2,492
4.750% due 08/11/2008 (k) 4,420 4,461
Republic of Germany
4.500% due 07/04/2009 (k) 31,236 31,664
4.750% due 07/04/2028 (k) 40,000 36,488
Rheinische Hypothekenbank AG
5.000% due 04/16/2008 (k) 6,370 6,584
-----------
Total Germany 138,761
===========
(Cost $136,911)
- --------------------------------------------------------------------------------
GREECE (e)(f) 3.1%
- --------------------------------------------------------------------------------
Hellenic Finance
2.000% due 07/15/2003 EC 2,400 2,629
Hellenic Republic
5.828% due 06/06/2001 (d) $ 16,300 16,375
10.200% due 05/19/2003 (d) GD 1,100,000 3,640
10.180% due 06/17/2003 (d) 1,611,700 5,330
13.100% due 10/23/2003 (d) 710,400 2,359
-----------
Total Greece 30,333
===========
(Cost $32,088)
- --------------------------------------------------------------------------------
JAPAN (e)(f) 0.4%
- --------------------------------------------------------------------------------
Nippon Telegraph & Telephone Corp.
7.125% due 03/06/2000 DM 270 149
SHL Corporation Limited
0.493% due 10/25/2023 (d) JY 260,514 2,449
0.794% due 12/25/2024 (d) 116,000 1,091
-----------
Total Japan 3,689
===========
(Cost $3,250)
- --------------------------------------------------------------------------------
MALAYSIA 0.1%
- --------------------------------------------------------------------------------
Republic of Malaysia
6.875% due 05/15/2001 $ 1,200 1,187
-----------
Total Malaysia 1,187
===========
(Cost $1,199)
- --------------------------------------------------------------------------------
NETHERLANDS ANTILLES 0.0%
- --------------------------------------------------------------------------------
Sumitomo Bank International Finance NV
8.500% due 06/15/2009 $ 400 412
-----------
Total Netherlands Antilles 412
===========
(Cost $403)
- --------------------------------------------------------------------------------
NETHERLANDS (e)(f) 1.1%
- --------------------------------------------------------------------------------
Deutsche Bank Financial
5.218% due 12/17/2003 (d) $ 5,000 4,988
Tecnost International NV
4.487% due 06/23/2004 (d) EC 4,000 4,372
TPSA Finance BV
7.750% due 12/10/2008 $ 1,350 1,313
-----------
Total Netherlands 10,673
===========
(Cost $10,490)
- --------------------------------------------------------------------------------
NEW ZEALAND (e)(f) 6.3%
- --------------------------------------------------------------------------------
Commonwealth of New Zealand
7.000% due 07/15/2009 (k) N$ 65,000 33,752
4.500% due 02/15/2016 (h)(k) 54,670 28,252
-----------
Total New Zealand 62,004
===========
(Cost $67,733)
- --------------------------------------------------------------------------------
PORTUGAL (e)(f) 5.3%
- --------------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 (k) EC 54,300 51,471
-----------
Total Portugal 51,471
===========
(Cost $49,793)
1999 Semi-Annual Report See accompanying notes 9
<PAGE>
Schedule of Investments (Cont.)
International Bond Fund
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
SINGAPORE (e)(f) 1.8%
- --------------------------------------------------------------------------------
Singapore Government
4.375% due 10/15/2005 S$ 10,300 $ 6,117
4.375% due 01/15/2009 20,700 11,982
-----------
Total Singapore 18,099
===========
(Cost $18,030)
- --------------------------------------------------------------------------------
SOUTH KOREA (e)(f) 1.6%
- --------------------------------------------------------------------------------
Export-Import Bank Korea
3.179% due 03/20/2002 (d) DM 4,900 2,467
Hansol Paper Co. Limited
7.079% due 05/24/2001 (d) $ 2,000 2,000
Korea Development Bank
8.650% due 01/26/2000 2,010 2,020
9.600% due 12/01/2000 1,400 1,436
2.850% due 05/14/2001 (d) DM 4,540 2,417
2.770% due 05/21/2001 JY 500,000 4,775
1.875% due 02/13/2002 28,000 263
-----------
Total South Korea 15,378
===========
(Cost $14,891)
- --------------------------------------------------------------------------------
SUPRANATIONAL (e)(f) 6.2%
- --------------------------------------------------------------------------------
European Investment Bank
5.375% due 08/28/2007 NK 28,000 3,441
International Bank for Reconstruction & Development
6.875% due 07/14/2000 BP 2,600 4,300
7.000% due 09/18/2000 N$ 66,300 34,658
7.250% due 04/09/2001 22,372 11,701
7.000% due 06/07/2002 BP 2,000 3,310
World Bank
10.250% due 04/11/2002 PP 155,000 3,516
-----------
Total Supranational 60,926
===========
(Cost $64,261)
- --------------------------------------------------------------------------------
SWEDEN (e)(f) 0.4%
- --------------------------------------------------------------------------------
Kingdom of Sweden
10.250% due 05/05/2000 SK 28,000 3,557
-----------
Total Sweden 3,557
===========
(Cost $3,684)
- --------------------------------------------------------------------------------
TUNISIA (e)(f) 0.3%
- --------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 2,800 2,935
-----------
Total Tunisia 2,935
===========
(Cost $2,845)
- --------------------------------------------------------------------------------
UNITED KINGDOM (e)(f) 2.3%
- --------------------------------------------------------------------------------
SCCR Series 1 Limited
2.589% due 05/15/2000 (d) IL 200,000 110
United Kingdom Gilt
8.000% due 06/10/2003 (k) BP 13,000 22,579
-----------
Total United Kingdom 22,689
===========
(Cost $22,636)
- --------------------------------------------------------------------------------
United States (e)(f) 88.1%
- --------------------------------------------------------------------------------
Asset-Backed Securities 6.3%
Argentina Funding Corp.
5.553% due 05/20/2003 (d) $ 700 700
Banc One Auto Grantor Trust
6.270% due 11/20/2003 536 537
Banc One Home Equity Trust
6.460% due 06/25/2029 3,565 3,553
Champion Home Equity Loan Trust
8.267% due 02/25/2028 (d) 3,326 3,395
Charter Financial, Inc.
6.590% due 02/25/2002 9,200 9,194
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 439 441
Comed Transitional Funding Trust
5.380% due 03/25/2002 538 538
Contimortgage Home Equity Loan Trust
6.420% due 04/25/2014 1,825 1,822
Daimler-Benz Vehicle Trust
5.230% due 12/20/2001 1,958 1,956
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 1,050 1,049
Green Tree Home Equity Loan Trust
6.290% due 10/15/2013 7,404 7,392
IKON Receivables LLC
5.600% due 05/15/2005 2,900 2,890
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 431 431
Metris Master Trust
5.943% due 04/20/2006 (d) 2,500 2,519
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 1,324 1,321
Pacific Southwest Bank
6.060% due 06/15/2002 805 805
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 1,930 1,928
Salomon Brothers Mortgage Securities
5.960% due 11/10/2029 4,900 4,900
The Money Store Home Equity Trust
6.490% due 10/15/2026 530 523
United Panam Mortgage Loan Asset Backed Certificate
5.830% due 09/25/2029 15,374 15,374
-----------
61,268
===========
Corporate Bonds & Notes 20.1%
AT&T Capital Corp.
5.561% due 04/23/2002 (d) 4,500 4,413
BankAmerica Corp.
5.420% due 08/01/2002 (d) 3,000 3,009
Bear Stearns Co., Inc.
5.620% due 05/07/2002 (d) 2,300 2,300
5.778% due 05/16/2003 (d) 17,200 17,175
Conagra, Inc.
5.711% due 06/12/2000 (d) 2,000 1,997
CSFP Credit
5.528% due 11/19/2004 (j) 28,450 28,735
CSX Corp.
5.790% due 06/15/2000 (d) 2,000 2,005
DaimlerChrysler NA Holdings
5.748% due 08/23/2002 (d) 8,910 8,890
Ford Credit Auto Owner Trust
5.810% due 03/15/2002 8,000 7,985
General Motors Acceptance Corp.
5.560% due 04/05/2004 (d) 17,040 16,980
Goldman Sachs Group
5.440% due 01/08/2001 (d) 11,000 11,066
Household Finance Corp.
5.749% due 08/06/2002 (d) 5,420 5,411
J.P. Morgan & Co.
5.459% due 02/15/2012 570 500
Lehman Brothers Holdings, Inc.
6.375% due 05/07/2002 15,600 15,402
Limited, Inc.
6.281% due 11/22/2000 (d) 3,800 3,800
Merrill Lynch & Co.
5.393% due 11/01/2001 (d) 1,370 1,366
MGM Grand, Inc.
6.950% due 02/01/2005 490 459
Morgan Stanley, Dean Witter, Discover and Co.
5.250% due 04/22/2004 (d) 15,400 15,400
Prudential Funding Corp.
5.024% due 12/21/2000 (d) 7,900 7,879
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (f) 12,822 12,481
6.160% due 10/21/2002 (d) BP 2,480 4,067
Sprint Corp.
5.875% due 05/01/2004 $ 760 729
Tennessee Valley Authority
3.375% due 01/15/2007 3,645 3,368
10 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Texas Utilities Co.
6.064% due 06/25/2001 $ 11,700 $ 11,669
6.438% due 09/24/2001 4,300 4,300
Toyota Motor Credit Corp.
8.210% due 03/03/2000 IL 3,485,000 1,953
TRW, Inc.
5.930% due 06/28/2000 (d) $ 4,200 4,193
-----------
197,532
===========
Mortgage-Backed Securities 22.1%
Bank of America Mortgage Securities
6.500% due 05/25/2029 500 458
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 2,429 2,423
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 2,416 2,409
6.500% due 03/25/2029 170 156
Countrywide Home Loans
6.750% due 08/25/2028 1,387 1,381
Crusade Global Trust
5.844% due 02/15/2030 (d) 23,800 23,800
Federal Home Loan Mortgage Corp.
6.500% due 08/15/2023 2,961 2,932
6.000% due 10/14/2028 41,600 38,831
Federal National Mortgage Assn.
5.500% due 02/25/2005 101 100
7.000% due 02/25/2020 5,550 5,557
6.813% due 10/01/2027 (d) 10,629 10,744
Government National Mortgage Assn.
6.500% due 10/21/2029 8,300 7,936
7.000% due 10/21/2029-11/22/2029 (g) 14,440 12,992
7.500% due 10/21/2029-12/20/2029 (g) 130,000 100,200
Nationslink Funding Corp.
5.638% due 04/10/2007 (d) 1,867 1,867
Prudential Home Mortgage Securities
6.800% due 05/25/2024 431 382
Residential Funding Mortgage Securities, Inc.
6.750% due 06/25/2028 1,344 1,339
Resolution Trust Corp.
6.290% due 06/25/2021 (d) 918 933
Structured Asset Mortgage Investments, Inc.
6.584% due 06/25/2029 (d) 1,918 1,869
-----------
216,309
===========
U.S. Government Agencies 12.9%
Federal Home Loan Bank
4.842% due 02/15/2002 (d) 31,480 30,743
6.000% due 05/12/2000 (d) 28,200 27,830
Federal National Mortgage Assn.
7.250% due 06/20/2002 (k) N$ 116,650 60,827
Student Loan Marketing Assn.
4.129% due 02/20/2000 (d) $ 1,750 1,742
5.195% due 10/25/2004 (d) 1,512 1,509
5.257% due 10/25/2007 (d) 3,500 3,490
-----------
126,141
===========
U.S. Treasury Obligations 26.7%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h)(k) 36,083 35,858
3.625% due 07/15/2002 (h) 45,096 44,814
U.S. Treasury Bonds
12.500% due 08/15/2014 (k) 61,490 89,064
U.S. Treasury Notes
6.500% due 05/31/2002 (k) 76,000 77,473
5.500% due 02/29/2000 (b) 6,760 6,773
6.000% due 08/15/2004 8,000 8,080
-----------
262,062
-----------
Total United States 863,312
(Cost $864,407) ===========
- --------------------------------------------------------------------------------
PURCHASED CALL OPTIONS (e)(f) 2.3%
- --------------------------------------------------------------------------------
Government of Japan March Futures (OTC)
Strike @ 142.000 Exp. 02/29/2000 JY 190,000 71
Japanese Yen vs. Eurodollar (OTC)
Strike @ 114.00 Exp. 12/22/1999 EC 94,500 1,684
Republic of Germany (OTC)
4.750% due 07/04/2028
Strike @ 65.000 Exp. 01/18/2000 EC 21,250 4,643
United Kingdom Gilt (OTC)
8.000% due 06/10/2003
Strike @ 95.000 Exp. 02/16/2000 BP 100,000 16,188
Eurobond Futures (EUX)
Strike @ 115.000 Exp. 11/24/1999 EC 110,000 12
-----------
Total Purchased Call Options 22,598
(Cost $21,901) ===========
- --------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.6%
- --------------------------------------------------------------------------------
Interest Rate Swap (OTC)
Strike @ 6.280% Exp. 04/29/2002 $ 10,300 1,182
Japanese Yen vs. Euro (OTC)
Strike @ 125.000 Exp. 10/15/1999 13,460 1
Japanese Yen vs. U.S. Dollar (OTC)
Strike @ 120.000 Exp. 10/15/1999 19,900 0
Japanese Yen vs. U.S. Dollar (OTC)
Strike @ 120.000 Exp. 10/15/1999 13,300 0
United Kingdom Gilt (OTC)
8.000% due 06/07/2021
Strike @ 170.000 Exp. 01/18/2000 10,000 4,945
-----------
Total Purchased Put Options 6,128
(Cost $6,029) ===========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 5.3%
- --------------------------------------------------------------------------------
Certificate of Deposit 1.1%
Commerzbank AG
6.200% due 05/10/2000 (d) 11,160 11,076
-----------
Commercial Paper 3.6%
American Express
5.340% due 10/27/1999 1,800 1,793
MCI Worldcom, Inc.
5.360% due 01/27/2000 5,500 5,401
Texas Utilities Co.
5.260% due 01/21/2000 400 393
US West Capital Funding
5.960% due 03/24/2000 10,550 10,258
US West Communications
6.290% due 03/24/2000 2,000 1,945
6.220% due 03/24/2000 6,000 5,834
Williams Holdings
5.360%due01/25/2000 13,500 9,726
-----------
35,350
===========
Repurchase Agreement 0.3%
State Street Bank
4.800% due 10/01/1999 3,202 3,202
-----------
(Dated 09/30/1999. Collateralized by Federal
National Mortgage Association 5.310%
05/18/2001 valued at $3,269,672 Repurchase
proceeds are $3,202,427.)
U.S. Treasury Bills (b)(g) 0.3%
4.800% due 01/13/2000-02/17/2000 2,640 2,599
-----------
Total Short-Term Instruments 52,227
(Cost $52,280) ===========
Total Investments (a) 154.1% $1,510,805
(Cost $1,517,931)
Written Options (c) (0.2%) (1,863)
(Premiums $1,650)
Other Assets and Liabilities (Net) (53.9%) (528,800)
-----------
Net Assets 100.0% $ 980,142
===========
1999 Semi-Annual Report See accompanying notes 11
<PAGE>
Schedule of Investments (Cont.)
International Bond Fund
September 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized
appreciation (depreciation) of investments based
on cost for federal income tax purposes was as
follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 10,515
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (17,641)
-----------
Unrealized depreciation-net $ (7,126)
===========
(b) Securities with an aggregate market value of
$9,372 have been segregated with the custodian to
cover margin requirements for the following open
futures contracts at September 30, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Government of Japan 10 Year Note (03/2000) 190 $ (3,110)
Eurodollar September Futures (09/2000) 70 (40)
Australia 90 Day (09/2000) 110 36
10 Year Eurobond (12/1999) 950 597
-----------
$ (2,517)
===========
(c) Premiums received on written options:
# of
Type Contracts Premium Value
- --------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 120.000 Exp. 11/20/1999 413 $ 224 $ 45
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 110.000 Exp. 11/20/1999 413 146 136
Put - OTC U.S. Treasury Note
5.250% due 05/2004
Strike @ 95.469 Exp. 10/15/1999 5,700 24 0
Put - OTC Japanese Yen vs. US Dollar
Strike @ 120.000 Exp. 10/15/1999 13,300 73 0
Put - OTC Japanese Yen vs. Eurodollar
Strike @ 125.000 Exp. 10/15/1999 13,460 191 1
Put - OTC Eurodollar vs. Japanese Yen
Strike @ 112.000 Exp. 11/26/1999 10,650 145 182
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.280% Exp. 04/29/2000 19,000 752 1,418
Put - LIFFE BP 90 Day LIBOR
Strike @ 93.000 Exp. 09/20/2000 86 95 81
------------------------
$ 1,650 $ 1,863
========================
(d) Variable rate security. The rate listed is as of September 30, 1999.
- --------------------------------------------------------------------------------
(e) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- -------------------------------------------------------------------------------
Buy A$ 24,831 10/1999 $ 510
Sell 17,158 10/1999 (96)
Sell 9,490 01/2000 (18)
Sell BP 21,034 10/1999 (449)
Buy C$ 100,147 10/1999 (789)
Sell DK 251,781 10/1999 (345)
Buy 83,280 11/1999 65
Sell 178,977 11/1999 (190)
Buy 78,508 01/2000 25
Sell 110,323 01/2000 (27)
Buy 48,612 02/2000 167
Sell 18,719 02/2000 (42)
Buy EC 10,870 10/1999 55
Sell 25,534 10/1999 (295)
Buy 32,321 11/1999 602
Sell 14,937 11/1999 (285)
Sell 3,123 01/2000 (99)
Sell 1,992 02/2000 17
Sell 1,386 03/2000 (29)
Sell GD 3,707,366 01/2000 (209)
Sell H$ 337,650 02/2000 (140)
Sell 205,341 09/2000 (4)
Buy JY 7,600 10/1999 (1)
Buy 1,355,259 02/2000 (299)
Sell 3,655,024 02/2000 (315)
Buy N$ 22,364 10/1999 (99)
Sell 132,345 10/1999 732
Sell 98,999 11/1999 593
Sell NK 11,013 10/1999 (2)
Sell 16,715 02/2000 (66)
Buy PZ 22,859 01/2000 (229)
Buy 14,330 02/2000 (118)
Buy 10,870 03/2000 12
Sell S$ 30,806 02/2000 (73)
Buy SK 61,000 10/1999 84
Sell 23,463 10/1999 11
---------------
$ (1,346)
===============
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar
BP - British Pound
C$ - Canadian Dollar
DK - Danish Krone
DM - German Mark
EC - European Currency Unit
GD - Greek Drachma
H$ - Hong Kong Dollar
JY - Japanese Yen
IL - Italian Lira
N$ - New Zealand Dollar
NK - Norwegian Kron
PP - Philippines Peso
PZ - Polish Zloty
S$ - Singapore Dollar
SK - Swedish Krona
(g) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(h) Prinicpal amount of the security is adjusted for inflation.
12 PIMCO Funds See accompanying notes
<PAGE>
- --------------------------------------------------------------------------------
(i) Swap agreements outstanding at September 30, 1999:
Unrealized
Notional Appreciation/
Type Amount Depreciation
- --------------------------------------------------------------------------------
Receive fixed rate equal to 6.032% and pay floating
rate based on 3 month LIBOR.
Broker: Goldman Sachs
Exp. 04/01/2009 $ 55,000 $ (3,132)
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 (2,744)
Receive fixed rate equal to 6.603% and pay floating
rate based on 3 month LIBOR.
Broker: Lehman Brothers, Inc.
Exp. 10/01/2004 50,000 73
Receive fixed rate equal to 5.060% and pay floating
rate based on 3 month
Australian Bank Bill.
Broker: Deutsche Bank AG
Exp. 04/14/2002 A$ 150,000 (2,236)
Receive fixed rate equal to 8.000% and pay floating
rate based on 3 month New
Zealand Bank Bill.
Broker: Deutsche Bank AG
Exp. 09/13/2009 N$ 100,000 227
Receive fixed rate equal to 6.190% and pay floating
rate based on 3 month New
Zealand Bank Bill.
Broker: Deutsche Bank AG
Exp. 06/10/2002 200,000 (1,988)
Receive fixed rate equal to 7.470% and pay floating
rate based on 3 month New
Zealand Bank Bill.
Broker: Citibank
Exp. 08/31/2001 50,000 419
Receive fixed rate equal to 7.710% and pay floating
rate based on 3 month New
Zealand Bank Bill.
Broker: Deutsche Bank AG
Exp. 09/04/2001 50,000 75
Receive fixed rate equal to 7.600% and pay floating
rate based on 3 month New Zealand Bank Bill.
Broker: Deutsche Bank AG
Exp. 09/25/2001 100,000 71
Receive fixed rate equal to 6.750% and pay floating
rate based on 3 month New Zealand Bank Bill.
Broker: Deutsche Bank AG
Exp. 03/15/2002 50,000 (50)
Receive fixed rate equal to 7.470% and pay floating
rate based on 3 month New Zealand Bank Bill.
Broker: Citibank
Exp. 04/15/2004 86,400 (45)
Receive fixed rate equal to 7.870% and pay floating
rate based on 3 month New Zealand Bank Bill.
Broker: Citibank
Exp. 10/05/2009 N$ 50,000 $ (102)
Receive fixed rate equal to 7.880% and pay floating
rate based on 3 month New Zealand Bank Bill.
Broker: Deutsche Bank AG
Exp. 07/15/2009 52,000 (56)
Receive fixed rate equal to 7.910% and pay floating
rate based on 3 month New Zealand Bank Bill.
Broker: Deutsche Bank AG
Exp. 07/15/2009 65,000 62
Receive fixed rate equal to 7.480% and pay floating
rate based on 3 month New Zealand Bank Bill.
Broker: Deutsche Bank AG
Exp. 10/04/2001 100,000 (24)
--------------
$ (9,450)
==============
(j) Restricted security.
(k) Subject to a financing transaction.
1999 Semi-Annual Report See accompanying notes 13
<PAGE>
Schedule of Investments
Emerging Markets Bond Fund II
September 30, 1999 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
ARGENTINA (c) 1.3%
- --------------------------------------------------------------------------------
City of Buenos Aires
10.500% due 05/28/2004 AP 1,000 $ 735
Republic of Argentina
8.750% due 07/10/2002 2,500 2,069
--------------
Total Argentina 2,804
(Cost $2,875) ==============
- --------------------------------------------------------------------------------
BRAZIL 5.9%
- --------------------------------------------------------------------------------
Republic of Brazil
11.625% due 04/15/2004 $ 3,000 2,828
5.875% due 04/15/2006 (d) 6,175 4,894
8.000% due 04/15/2014 8,307 5,286
--------------
Total Brazil 13,008
(Cost $12,679) ==============
- --------------------------------------------------------------------------------
BULGARIA 4.3%
- --------------------------------------------------------------------------------
Republic of Bulgaria
6.500% due 07/28/2011 (d) $ 5,250 3,721
6.500% due 07/28/2024 (d) 8,250 5,672
--------------
Total Bulgaria 9,393
(Cost $9,401) ==============
- --------------------------------------------------------------------------------
CAYMAN ISLANDS 3.5%
- --------------------------------------------------------------------------------
Nacional Financiera
6.875% due 05/08/2003 (d) $ 8,000 7,640
--------------
Total Cayman Islands 7,640
(Cost $7,314) ==============
- --------------------------------------------------------------------------------
CHILE 2.3%
- --------------------------------------------------------------------------------
Embotelladora Arica SA
9.875% due 03/15/2006 $ 2,500 2,601
Republic of Chile
6.875% due 04/28/2009 2,500 2,349
--------------
Total Chile 4,950
(Cost $4,983) ==============
- --------------------------------------------------------------------------------
COLOMBIA 3.4%
- --------------------------------------------------------------------------------
Republic of Colombia
10.875% due 03/09/2004 $ 1,250 1,233
7.625% due 02/15/2007 7,250 5,647
9.750% due 04/23/2009 600 515
--------------
Total Colombia 7,395
(Cost $7,246) ==============
- --------------------------------------------------------------------------------
JORDAN 0.3%
- --------------------------------------------------------------------------------
Kingdom of Jordan
5.500% due 12/23/2023 $ 950 576
--------------
Total Jordan 576
(Cost $571) ==============
- --------------------------------------------------------------------------------
KAZAKHSTAN 0.2%
- --------------------------------------------------------------------------------
Republic of Kazakhstan
13.625% due 10/18/2004 $ 500 495
--------------
Total Kazakhstan 495
(Cost $494) ==============
- --------------------------------------------------------------------------------
MALAYSIA 0.5%
- --------------------------------------------------------------------------------
Malaysia
6.875% due 05/15/2001 $ 1,000 989
--------------
Total Malaysia 989
(Cost $999) ==============
- --------------------------------------------------------------------------------
MEXICO (b)(c) 24.7%
- --------------------------------------------------------------------------------
Alestra SA DE RL DE CV
12.125% due 05/15/2006 $ 2,500 2,406
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 $ 4,500 $ 4,084
Petroleos Mexicanos
9.520% due 07/15/2005 (d) 7,000 6,191
9.375% due 12/02/2008 3,000 3,056
United Mexican States
5.750% due 04/07/2000 (d) 1,000 989
3.100% due 04/24/2002 JY 300,000 2,793
10.375% due 01/29/2003 DM 2,500 1,467
9.060% due 04/07/2004 (d) $ 5,800 5,832
10.375% due 02/17/2009 9,800 9,935
5.875% due 12/31/2019 (d) 5,650 4,869
6.068% due 12/31/2019 (d) 1,750 1,492
6.250% due 12/31/2019 19,800 10,921
--------------
Total Mexico 54,035
(Cost $54,014) ==============
- --------------------------------------------------------------------------------
NETHERLANDS 3.3%
- --------------------------------------------------------------------------------
TPSA Finance BV
7.750% due 12/10/2008 $ 7,360 7,160
--------------
Total Netherlands 7,160
(Cost $7,234) ==============
- --------------------------------------------------------------------------------
PHILIPPINES (b)(c) 14.9%
- --------------------------------------------------------------------------------
Central Bank Philippines
6.000% due 06/01/2008 (d) $ 5,500 5,088
Philippine Long Distance Telephone Co.
10.500% due 04/15/2009 6,000 5,849
Republic of Philippines
8.000% due 09/17/2004 EC 4,000 4,367
6.377% due 01/05/2005 (d) $ 3,667 3,502
6.000% due 12/01/2007 8,000 7,380
8.875% due 04/15/2008 5,750 5,621
6.500% due 12/01/2017 1,000 841
--------------
Total Philippines 32,648
(Cost $32,654) ==============
- --------------------------------------------------------------------------------
POLAND 8.9%
- --------------------------------------------------------------------------------
Republic of Poland
5.000% due 10/27/2014 $ 10,250 9,020
3.000% due 10/27/2024 (d) 14,750 8,980
4.000% due 10/27/2024 2,250 1,451
--------------
Total Poland 19,451
(Cost $19,705) ==============
- --------------------------------------------------------------------------------
QATAR 4.8%
- --------------------------------------------------------------------------------
State of Qatar
6.668% due 02/18/2004 (d) $ 2,000 2,025
9.500% due 05/21/2009 8,250 8,518
--------------
Total Qatar 10,543
(Cost $10,166) ==============
- --------------------------------------------------------------------------------
SOUTH KOREA 11.8%
- --------------------------------------------------------------------------------
Korea Development Bank
8.008% due 06/16/2003 (d) $ 1,000 980
Korean Export-Import Bank
7.100% due 03/15/2007 7,050 6,928
Republic of Korea
7.594% due 04/08/2000 (d) 2,000 2,008
8.875% due 04/15/2008 (e) 9,750 10,075
SK Telecom Co. Limited
7.750% due 04/29/2004 6,000 5,830
--------------
Total South Korea 25,821
(Cost $24,530) ==============
- --------------------------------------------------------------------------------
TUNISIA (b)(c) 2.2%
- --------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 4,700 4,927
--------------
Total Tunisia 4,927
(Cost $4,776) ==============
14 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
UNITED STATES 3.3%
- --------------------------------------------------------------------------------
Corporate Bonds & Notes 3.3%
Bancomext Trust Division
8.000% due 08/05/2003 $ 4,627 $ 4,476
Lehman Brothers Holdings, Inc.
5.824% due 11/30/2006 (d) 1,910 1,671
National Power Corp.
7.625% due 11/15/2000 1,000 999
--------------
Total United States 7,146
(Cost $7,129) ==============
- --------------------------------------------------------------------------------
URUGUAY 4.4%
- --------------------------------------------------------------------------------
Republica Orient Uruguay
7.250% due 05/04/2009 $ 10,000 9,600
--------------
Total Uruguay 9,600
(Cost $9,945) ==============
- --------------------------------------------------------------------------------
VENEZUELA 0.1%
- --------------------------------------------------------------------------------
Republic of Venezuela
9.250% due 09/15/2027 $ 200 132
--------------
Total Venezuela 132
(Cost $129) ==============
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.1%
- --------------------------------------------------------------------------------
Commercial Paper 1.0%
American Express
5.280% due 10/27/1999 $ 1,000 996
Bellsouth Telecom
5.310% due 10/06/1999 700 699
IBM Credit Corp.
5.310% due 10/04/1999 500 500
--------------
2,195
==============
Repurchase Agreement 0.1%
State Street Bank
4.800% due 10/01/1999 181 181
(Dated 09/30/1999. Collateralized by Federal
National Mortgage Association 0.000%
12/13/1999 valued at $188,100. Repurchase
proceeds are $181,024.)
--------------
Total Short-Term Instruments 2,376
(Cost $2,376) ==============
Total Investments (a) 101.2% $ 221,089
(Cost $219,219)
Other Assets and Liabilities (Net) (1.2%) (2,725)
--------------
Net Assets 100.0% $ 218,364
==============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 4,455
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (2,585)
--------------
Unrealized appreciation-net $ 1,870
==============
- --------------------------------------------------------------------------------
(b) Foreign forward currency contracts outstanding at September 30, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell EC 8,292 10/1999 $ (8)
Sell 2,178 11/1999 (40)
Sell 262 02/2000 (6)
Sell 386 03/2000 (11)
Sell JY 304,176 02/2000 (61)
Buy PZ 2,000 02/2000 (13)
Buy 3,000 03/2000 2
--------------
$ (137)
==============
(c) Principal amount denoted in indicated currency:
AP - Argentina Peso
DM - German Mark
EC - European Currency Unit
JY - Japanese Yen
PZ - Polish Zloty
(d) Variable rate security. The rate listed is as of September 30, 1999.
(e) Subject to a financing transaction.
1999 Semi-Annual Report See accompanying notes 15
<PAGE>
Notes to Financial Statements
September 30, 1999 (Unaudited)
1. Organization
PIMCO Funds: Pacific Investment Management Series (the "Trust") was
established as a Massachusetts business trust on February 19, 1987. The
Trust is registered under the Investment Company Act of 1940 (the "Act"), as
amended, as an open-end investment management company. The Trust currently
consists of 28 separate investment funds. The International Bond and
Emerging Markets Bond II Funds (the "Funds") are a series of the Trust. The
following is a summary of significant accounting policies followed in the
preparation of the Funds' financial statements. The policies are in
conformity with generally accepted accounting principles.
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.
16 PIMCO Funds
<PAGE>
Dividends and Distributions to Shareholders. Dividends from net investment
income, if any, of Emerging Markets 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 Semi-Annual Report 17
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 1999 (Unaudited)
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.
18 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 Markets 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 share class'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"), 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 September 30, 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 $2,196,099 $1,797,238 $2,393,934 $1,820,653
Emerging Markets Bond Fund II 0 355 173,390 83,896
</TABLE>
1999 Semi-Annual Report 19
<PAGE>
Notes to Financial Statements
September 30, 1999 (Unaudited)
5. Transactions in Written Call and Put Options
Transactions in written call and put options were as follows (amounts in
thousands):
International Bond Fund
------------------------
Premium
------------------------
Balance at 03/31/1999 $ 46
- ---------------------------------------------------- ------------------------
Sales 1,807
- ---------------------------------------------------- ------------------------
Closing Buys 0
- ---------------------------------------------------- ------------------------
Expirations (203)
- ---------------------------------------------------- ------------------------
Exercised 0
- ---------------------------------------------------- ------------------------
Balance at 09/30/1999 $ 1,650
==================================================== ========================
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>
International Bond Fund Emerging Markets Bond Fund II
----------------------------------------------- ----------------------------------------------
Period Ended 09/30/1999 Year Ended 03/31/1999 Period Ended 09/30/1999 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
- --------------------------------- ----------------------------------------------- ----------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Receipts for shares sold 41,623 $ 290,993 50,859 $ 432,838 7,921 $ 76,300 21,960 $ 210,500
- --------------------------------- ----------------------------------------------- ----------------------------------------------
Issued as reinvestment
of distributions 884 6,055 4,333 34,207 793 7,544 622 5,755
- --------------------------------- ----------------------------------------------- ----------------------------------------------
Cost of shares redeemed (1,755) (12,260) (55,223) (471,395) (877) (8,250) (7,475) (67,025)
- --------------------------------- ----------------------------------------------- ----------------------------------------------
Net increase (decrease) resulting
from Fund share transactions 40,752 $ 284,788 (31) (4,350) 7,837 $ 75,594 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 during the year.
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.
Capital Loss Carryforwards
-----------------------------------------
Realized Losses Expiration
- --------------------------------------------------------------------------------
Emerging Markets Bond Fund II $ 6,667,933 03/31/2007
20 PIMCO Funds
<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 $181 billion on behalf
of mutual fund and institutional clients located around the world.
PIMCO Advisors Holdings L.P. is the nation's third largest publicly traded
investment management firm with assets under management in excess of $256
billion. PIMCO Advisors is recognized for providing consistent performance and
high-quality service to mutual fund and instititutional clients worldwide.
Its investment firms are:
Pacific Investment Management Company/Newport Beach, California
Oppenheimer Capital/New York, New York
Cadence Capital Management/Boston, Massachusetts
NFJ Investment Group/Dallas, Texas
Parametric Portfolio Associates/Seattle, Washington
PIMCO Equity Advisors/New York, New York, a division of PIMCO Advisors L.P.
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>
P I M C O
- ---------
FUNDS
-----
840 NEWPORT CENTER DRIVE, SUITE 300
NEWPORT BEACH, CA 92660
800.927.4648
WWW.PIMCO.COM
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
