<PAGE>
[LOGO OF PIMCO FUNDS]
FIXED-INCOME
[GRAPHIC]
EQUITIES
PACIFIC INVESTMENT MANAGEMENT SERIES
SEMI-ANNUAL REPORT
SEPTEMBER 30, 2000
<PAGE>
[GRAPH]
NASDAQ
Growth of $100
------------------------------------------------------
Date NASDAQ S&P 500 LBAG
31-Mar-2000 100.00 100.00 100.00
03-Apr-2000 92.36 100.49 100.20
04-Apr-2000 90.73 99.75 100.82
05-Apr-2000 91.17 99.26 100.67
06-Apr-2000 93.32 100.21 100.55
07-Apr-2000 97.24 101.21 100.80
10-Apr-2000 91.59 100.42 101.00
11-Apr-2000 88.70 100.17 100.61
12-Apr-2000 82.44 97.94 100.31
13-Apr-2000 80.40 96.16 100.54
14-Apr-2000 72.63 90.56 100.74
17-Apr-2000 77.40 93.56 100.37
18-Apr-2000 82.96 96.24 100.31
19-Apr-2000 81.05 95.30 100.61
20-Apr-2000 79.69 95.77 100.65
24-Apr-2000 76.16 95.46 100.63
25-Apr-2000 81.16 98.64 100.17
26-Apr-2000 79.38 97.55 100.10
27-Apr-2000 82.53 97.82 99.64
28-Apr-2000 84.43 96.99 99.71
01-May-2000 86.56 98.05 99.65
02-May-2000 82.78 96.58 99.47
03-May-2000 81.07 94.51 99.03
04-May-2000 81.36 94.14 98.59
05-May-2000 83.47 95.68 98.32
08-May-2000 80.24 95.13 98.13
09-May-2000 78.40 94.33 98.31
10-May-2000 74.02 92.41 98.55
11-May-2000 76.53 94.08 98.62
12-May-2000 77.17 94.96 98.19
15-May-2000 78.89 97.06 98.42
16-May-2000 81.30 97.98 98.66
17-May-2000 79.71 96.77 98.53
18-May-2000 77.39 96.07 98.19
19-May-2000 74.14 94.05 98.39
22-May-2000 73.57 93.63 98.80
23-May-2000 69.20 91.84 98.76
24-May-2000 71.52 93.52 98.74
25-May-2000 70.10 92.35 99.17
26-May-2000 70.09 92.13 99.46
30-May-2000 75.65 95.11 99.28
31-May-2000 74.37 95.00 99.67
01-Jun-2000 78.34 96.89 100.19
02-Jun-2000 83.39 98.79 100.62
05-Jun-2000 83.58 98.15 100.97
06-Jun-2000 82.15 97.50 100.97
07-Jun-2000 83.96 98.41 100.97
08-Jun-2000 83.66 97.77 100.95
09-Jun-2000 84.74 97.45 100.94
12-Jun-2000 82.40 96.72 101.16
13-Jun-2000 84.22 98.30 101.17
14-Jun-2000 83.04 98.38 101.45
15-Jun-2000 84.10 98.93 101.43
16-Jun-2000 84.42 97.98 101.79
19-Jun-2000 87.25 99.42 101.71
20-Jun-2000 87.77 98.75 101.58
21-Jun-2000 88.87 98.97 101.20
22-Jun-2000 86.09 97.17 101.08
23-Jun-2000 84.09 96.45 100.84
26-Jun-2000 85.55 97.37 101.21
27-Jun-2000 84.39 97.06 101.29
28-Jun-2000 86.17 97.36 101.21
29-Jun-2000 84.79 96.52 101.61
30-Jun-2000 86.73 97.34 101.74
03-Jul-2000 87.30 98.35 101.99
05-Jul-2000 84.48 96.81 102.16
06-Jul-2000 86.61 97.52 101.93
07-Jul-2000 87.98 99.01 102.20
10-Jul-2000 87.04 98.79 102.17
11-Jul-2000 86.52 99.14 102.16
12-Jul-2000 89.65 99.95 102.12
13-Jul-2000 91.30 100.15 102.50
14-Jul-2000 92.86 101.10 102.06
17-Jul-2000 93.48 101.13 101.81
18-Jul-2000 91.35 100.01 101.81
19-Jul-2000 88.69 99.23 101.79
20-Jul-2000 91.51 100.14 102.55
21-Jul-2000 89.54 99.11 102.63
24-Jul-2000 87.07 98.05 102.51
25-Jul-2000 88.12 98.73 102.58
26-Jul-2000 87.20 97.26 102.58
27-Jul-2000 84.02 97.08 102.74
28-Jul-2000 80.10 95.09 102.61
31-Jul-2000 82.38 95.82 102.67
01-Aug-2000 80.60 96.31 102.86
02-Aug-2000 80.00 96.36 102.97
03-Aug-2000 82.22 97.29 103.12
04-Aug-2000 82.82 98.00 103.39
07-Aug-2000 84.48 99.10 103.30
08-Aug-2000 84.16 99.34 103.51
09-Aug-2000 84.27 98.68 103.58
10-Aug-2000 82.22 97.85 103.82
11-Aug-2000 82.87 98.63 103.57
14-Aug-2000 84.19 99.96 103.69
15-Aug-2000 84.23 99.48 103.60
16-Aug-2000 84.44 99.19 103.50
17-Aug-2000 86.18 100.28 103.56
18-Aug-2000 85.95 99.99 103.70
21-Aug-2000 86.45 100.51 103.67
22-Aug-2000 86.56 100.42 103.74
23-Aug-2000 87.71 100.95 104.00
24-Aug-2000 88.64 101.11 104.09
25-Aug-2000 88.41 100.98 104.09
28-Aug-2000 89.02 101.50 103.92
29-Aug-2000 89.27 101.22 103.76
30-Aug-2000 89.74 100.76 103.79
31-Aug-2000 91.99 101.77 104.15
01-Sep-2000 92.60 101.98 104.40
05-Sep-2000 90.60 101.07 104.53
06-Sep-2000 87.76 100.08 104.35
07-Sep-2000 89.62 100.77 104.21
08-Sep-2000 87.00 100.23 104.31
11-Sep-2000 85.21 99.88 104.21
12-Sep-2000 84.18 99.40 104.21
13-Sep-2000 85.15 99.61 104.45
14-Sep-2000 85.59 99.34 104.23
15-Sep-2000 83.87 98.33 104.14
18-Sep-2000 81.49 96.91 104.14
19-Sep-2000 84.53 97.94 104.18
20-Sep-2000 85.23 97.37 104.04
21-Sep-2000 83.73 97.22 104.21
22-Sep-2000 83.18 97.20 104.37
25-Sep-2000 81.81 96.55 104.45
26-Sep-2000 80.67 95.75 104.65
27-Sep-2000 79.96 95.72 104.58
28-Sep-2000 82.63 97.85 104.65
29-Sep-2000 80.32 96.40 104.81
On the cover:
Presented on the cover and in greater detail here are line graphs depicting
performance for the six-month period ended September 30, 2000 for the Lehman
Brothers Aggregate Bond Index (LBAG), the Standard & Poor's 500 Composite Stock
Price Index (S&P 500) and the NASDAQ Composite Price Index (NASDAQ), each an
unmanaged market index. The line graph assumes the investment of $100 on March
31, 2000.
The graph indicates that the LBAG, an index representative of the U.S. taxable
fixed income universe, outperformed the S&P 500 and the NASDAQ indices over the
six-month period with significantly less volatility. This outperformance serves
as a reminder that an investment in bonds can play a valuable role in preserving
capital, providing stability and sometimes, as in the past six months, they
offer higher returns than equity securities. This makes for a compelling
argument for including bonds in a well-diversified investment portfolio.
Past performance is no guarantee of future results. It is not possible to invest
directly in an unmanaged index.
Contents
Chairman's Message ........................................................1
A Conversation with Bill Gross and Paul McCulley ..........................2
Financial Highlights .....................................................32
Statements of Assets and Liabilities .....................................42
Statements of Operations .................................................46
Statements of Changes in Net Assets ......................................50
Statements of Cash Flows .................................................57
Notes to Financial Statements ...........................................175
Fund Schedule of
Summary Investments
Total Return Fund .............................................5 58
Total Return Fund II ..........................................6 86
Total Return Fund III .........................................7 91
Moderate Duration Fund ........................................8 96
Low Duration Fund .............................................9 99
Low Duration Fund II .........................................10 107
Low Duration Fund III ........................................11 110
Short-Term Fund ..............................................12 112
Money Market Fund ............................................13 116
Long-Term U.S. Government Fund ...............................14 117
Investment Grade Corporate Bond Fund .........................15 121
High Yield Fund ..............................................16 123
Total Return Mortgage Fund ...................................17 129
GNMA Fund ....................................................18 131
Real Return Bond Fund ........................................19 132
Foreign Bond Fund ............................................20 136
Global Bond Fund .............................................21 142
Global Bond Fund II ..........................................22 149
Emerging Markets Bond Fund ...................................23 155
Strategic Balanced Fund ......................................24 157
Convertible Fund .............................................25 158
StocksPLUS Fund ..............................................26 160
Municipal Bond Fund ..........................................27 165
Short Duration Municipal Income Fund .........................28 168
California Intermediate Municipal Bond Fund ..................29 170
California Municipal Bond Fund ...............................30 173
New York Municipal Bond Fund .................................31 174
<PAGE>
Chairman's Letter
Dear PIMCO Funds Shareholder:
We are pleased to present you with this semi-annual report for PIMCO Funds:
Pacific Investment Management Series. During the fiscal half-year, assets grew
by $7.7 billion to finish the six-month period ended September 30, 2000 at $58.4
billion.
In sharp contrast to last year, bonds are outperforming stocks in 2000. For the
six-month period ended September 30, 2000, equity indices were in negative
territory with the S&P 500 Composite Stock Price Index at -3.60% and the NASDAQ
Composite Index at -19.68%. However, the Lehman Brothers Aggregate Bond Index,
generally regarded as representative of the bond market as a whole, was up 4.81%
for the six-month period ended September 30, 2000.
Intermediate maturity Treasuries recovered during the semi-annual period with
yields on two, five and ten-year notes falling as much as 0.52%. With yields on
30-year Treasuries remaining virtually unchanged, the long end of the yield
curve reverted to a positive slope for the first time since mid-January 2000.
However, yields on 3-month Treasuries increased by 0.32% to finish the quarter
at 6.20%.
The Federal Reserve raised the federal funds rate by 0.50% to 6.50% on May 16,
2000, the highest level in nine years and the sixth rate increase since June
1999. Since then, signs of a cooling economy have allowed the Fed to leave rates
unchanged. Optimism grew that the Fed's tightening cycle was over and its next
move might be to ease. The potential for a less restrictive Fed boosted demand
for two, five and ten-year notes. For much of this year, investors were anxious
to buy long-term Treasuries because of concern that buybacks financed by the
federal budget surplus would create a scarcity of high quality 30-year bonds.
However, support for the 30-year bond eroded during the third quarter, as the
major presidential candidates' tax cut and spending plans threatened to consume
the surplus.
We are pleased to announce the addition of the Investment Grade Corporate Bond
Fund and the California Municipal Bond Fund to the Pacific Investment Management
Series. The Funds were launched in April and May, respectively, in an effort to
further compliment our product offering and broaden the range of investment
options available to investors.
On the following pages you will find commentary from PIMCO's Bill Gross and Paul
McCulley, plus specific details as to each Fund's portfolio and total return
investment performance including a discussion of those factors that affected
investment performance.
We appreciate the trust you have placed in us through your investments, and we
will continue to focus our efforts to meet your investment needs. If you have
any questions regarding your PIMCO Funds investment, please contact your account
manager, or call one of our shareholder associates at 1-800-927-4648. We also
invite you to visit our Web site at www.pimco.com.
Sincerely,
/s/Brent R. Harris
Brent R. Harris
Chairman of the Board
October 31, 2000
2000 Semi-Annual Report 1
<PAGE>
Economic Outlook
A Conversation with
William Gross and Paul McCulley
Bill Gross is regarded by many as America's most influential authority on the
bond market. He pioneered the "total return" approach to bond investing, and is
the portfolio manager of the PIMCO Total Return Fund--the country's largest bond
fund. Paul McCulley is an economist and monetary policy specialist with 17 years
of investment experience. He is responsible for all short-term bond portfolios
at PIMCO--including the PIMCO Short-Term Fund. We recently had the pleasure of
speaking with them both about their latest outlook for the economy and the bond
market.
Q: What happened in the bond market in the third quarter?
BG: Intermediate maturity Treasuries rallied as the yields on 2-, 5- and
10-year notes fell significantly. With the yield on 30-year Treasuries
remaining flat, the portion of the Treasury yield curve between 10 and 30
years reverted to a positive slope for the first time since mid-January.
The reversion of the long end of the curve came amid shifting market
sentiment about the economy, Fed policy and the budget surplus in
Washington. Mortgages outperformed Treasuries, benefiting from low market
volatility and attractive yield premiums. Investment-grade debt also did
well as investors were drawn to their higher yields. However, the high
yield sector lagged Treasuries amid continued concern about credit weakness
in the sector.
Q: What's your outlook for the economy?
PM: Looking ahead, global economic growth will moderate in response to recent
monetary policy tightening in the U.S., Europe and Japan and the highest
oil prices in a decade. Inflation is likely to creep higher as increased
energy prices seep through economies around the world. In fact, there are
now indications that the economy here at home has started to slow.
Manufacturing activity is slowing. According to the Purchasing Managers
Index, the sector actually contracted in August and September. And
corporate earnings warnings suggest the problem is not confined to just
manufacturing. In addition, consumer spending is cooling, after posting
robust gains at the start of the year.
Q: What does that mean for the Fed?
PM: Well, the Fed will likely stand pat, certainly through the election, and
maybe until next year. While Chairman Greenspan must be happy that the
economy is slowing, he remains concerned about two important issues: the
impact of continued labor market tightness on inflation through higher wage
pressures and concern that higher oil prices will seep into the economy
in the form of secondary and tertiary price increases. So while histori-
cally the Fed has loosened monetary policy when the manufacturing
economy has contracted, this time they may delay easing until inflationary
pressures diminish. In short, the tightening cycle is over, but the Fed
hasn't indicated that easier monetary policy lies ahead.
Q: So, will high oil prices be a major issue for the Fed?
PM: Well, over the short run it is a consideration because supply and demand
tend to be less elastic. However, the current level of oil prices is not
sustainable over the long term. In our opinion, higher oil prices will
dampen demand over the long term by slowing worldwide growth. High prices
will also encourage more drilling, expansion of refining capacity and
rebuilding of inventories from their current low levels. The Fed knows this
and that's why they are willing to put up with higher oil prices now, all
other things being equal.
2 PIMCO Funds
<PAGE>
Q: Will the outcome of the presidential election impact the bond market?
BG: A concern I have is if one party dominates the election by taking both the
White House and Congress, it will be able to enact its promised tax cut.
That would stimulate the consumer and re-ignite the economy, potentially
bringing the Fed back into the picture. Furthermore, the spending
initiatives of either a Bush or Gore administration would most likely turn
forecasted budget surpluses into deficits. That would force the Treasury to
issue new debt, and remove what has been a major stimulus for the Treasury
market this year. I think the bond market would be happiest if the election
resulted in continued stalemate in Washington with one party in control of
the White House and another in control of Congress.
Q: Then is stagflation still an issue?
BG: Yes, over the short term. While the economy is clearly cooling, inflation
should creep higher due to the factors Paul mentioned before. Historically,
normal economic cycles often end with a small dose of stagflation, because
inflation in general is a lagging condition. However, the tech slowdown
that is currently unfolding needs to be watched. If it negatively impacts
productivity growth, then the stagflation story could become a bigger
issue.
Q: What will drive performance in the coming months?
PM: Sector and quality will have more impact on portfolio performance than
interest rate strategies in the current environment of slower growth,
earnings pressure and creeping inflation. High levels of corporate debt and
erosion of credit quality amid slower global growth signal caution toward
longer-maturity corporate and emerging market bonds. Emphasis on
top-quality credits with shorter maturities is one way to avoid mistakes,
though this strategy may sacrifice yield. Mortgages are another
alternative. Still, mortgages are not risk-free because they will be
vulnerable to adverse price performance if interest rate volatility picks
up.
Q: Then are mortgage-backed securities still the favored sector?
BG: They are for two reasons. First, their yields remain attractive relative to
other areas of the bond market with little additional credit risk.
Mortgages are still yielding north of 7%, while Treasuries and
investment-grade corporate bonds are earning between 5% and 6%. Second,
given our outlook for a relatively stable interest rate environment over
the next year, the yield premium paid for prepayment risk is very
attractive right now.
Historically, the Fed has eased when the Purchasing Managers Index drops below
50.
[GRAPH]
Date Purchasing Managers (%) Fed Funds Rate (%)
Jan-82 38.2 13.2
Feb-82 38.3 14.8
Mar-82 36.8 14.7
Apr-82 37.8 14.9
May-82 35.5 14.5
Jun-82 38.3 14.2
Jul-82 38.4 12.6
Aug-82 38.3 10.1
Sep-82 38.8 10.3
Oct-82 39.4 9.7
Nov-82 39.2 9.2
Dec-82 42.8 9.0
Jan-83 46.0 8.7
Feb-83 54.4 8.5
Mar-83 53.9 8.8
Apr-83 54.2 8.8
May-83 56.1 8.6
Jun-83 57.5 9.0
Jul-83 63.6 9.4
Aug-83 63.1 9.6
Sep-83 62.5 9.5
Oct-83 64.4 9.5
Nov-83 66.0 9.3
Dec-83 69.9 9.5
Jan-84 60.5 9.6
Feb-84 61.3 9.6
Mar-84 58.9 9.9
Apr-84 61.0 10.3
May-84 58.6 10.3
Jun-84 58.1 11.1
Jul-84 56.1 11.2
Aug-84 53.0 11.6
Sep-84 50.0 11.3
Oct-84 50.8 10.0
Nov-84 50.3 9.4
Dec-84 50.6 8.4
Jan-85 50.3 8.4
Feb-85 49.9 8.5
Mar-85 47.8 8.6
Apr-85 48.2 8.3
May-85 47.1 8.0
Jun-85 47.8 7.5
Jul-85 47.9 7.9
Aug-85 47.7 7.9
Sep-85 49.9 7.9
Oct-85 50.9 8.0
Nov-85 52.0 8.1
Dec-85 50.7 8.3
Jan-86 51.2 8.1
Feb-86 51.0 7.9
Mar-86 51.0 7.5
Apr-86 49.7 7.0
May-86 53.4 6.9
Jun-86 50.5 6.9
Jul-86 48.0 6.6
Aug-86 52.6 6.2
Sep-86 52.4 5.9
Oct-86 51.2 5.9
Nov-86 51.2 6.0
Dec-86 50.5 6.9
Jan-87 54.9 6.4
Feb-87 52.6 6.1
Mar-87 55.0 6.1
Apr-87 55.5 6.4
May-87 57.2 6.9
Jun-87 57.4 6.7
Jul-87 57.5 6.6
Aug-87 59.3 6.7
Sep-87 60.0 7.2
Oct-87 60.7 7.3
Nov-87 58.8 6.7
Dec-87 61.0 6.8
Jan-88 57.5 6.8
Feb-88 56.2 6.6
Mar-88 54.6 6.6
Apr-88 55.8 6.9
May-88 55.5 7.1
Jun-88 59.3 7.5
Jul-88 58.2 7.8
Aug-88 56.0 8.0
Sep-88 54.5 8.2
Oct-88 55.4 8.3
Nov-88 55.6 8.4
Dec-88 56.0 8.8
Jan-89 54.7 9.1
Feb-89 54.1 9.4
Mar-89 51.5 9.9
Apr-89 52.2 9.8
May-89 49.3 9.8
Jun-89 47.3 9.5
Jul-89 45.9 9.2
Aug-89 45.1 9.0
Sep-89 46.0 9.0
Oct-89 46.8 8.8
Nov-89 46.8 8.6
Dec-89 47.4 8.5
Jan-90 47.2 8.2
Feb-90 49.1 8.2
Mar-90 49.9 8.3
Apr-90 50.0 8.3
May-90 49.5 8.2
Jun-90 49.2 8.3
Jul-90 46.6 8.2
Aug-90 46.1 8.1
Sep-90 44.5 8.2
Oct-90 43.2 8.1
Nov-90 41.3 7.8
Dec-90 40.8 7.3
Jan-91 39.2 6.9
Feb-91 39.4 6.3
Mar-91 40.7 6.1
Apr-91 42.8 5.9
May-91 44.5 5.8
Jun-91 50.3 5.9
Jul-91 50.6 5.8
Aug-91 52.9 5.7
Sep-91 54.9 5.5
Oct-91 53.1 5.2
Nov-91 49.5 4.8
Dec-91 46.8 4.4
Jan-92 47.3 4.0
Feb-92 52.7 4.1
Mar-92 54.6 4.0
Apr-92 52.6 3.7
May-92 55.7 3.8
Jun-92 53.6 3.8
Jul-92 53.9 3.3
Aug-92 53.4 3.3
Sep-92 49.7 3.2
Oct-92 50.3 3.1
Nov-92 53.6 3.1
Dec-92 54.2 2.9
Jan-93 55.8 3.0
Feb-93 55.2 3.0
Mar-93 53.5 3.1
Apr-93 50.2 3.0
May-93 51.2 3.0
Jun-93 49.6 3.0
Jul-93 50.2 3.1
Aug-93 50.7 3.0
Sep-93 50.8 3.1
Oct-93 53.4 3.0
Nov-93 53.8 3.0
Dec-93 55.6 3.0
Jan-94 56.0 3.1
Feb-94 56.5 3.3
Mar-94 56.9 3.3
Apr-94 57.4 3.6
May-94 58.2 4.0
Jun-94 58.8 4.3
Jul-94 58.5 4.3
Aug-94 58.0 4.5
Sep-94 59.0 4.7
Oct-94 59.4 4.8
Nov-94 59.2 5.3
Dec-94 56.1 5.5
Jan-95 57.4 5.5
Feb-95 55.1 5.9
Mar-95 52.1 6.0
Apr-95 51.5 6.1
May-95 46.7 6.0
Jun-95 45.9 6.0
Jul-95 50.7 5.9
Aug-95 47.1 5.7
Sep-95 48.1 5.8
Oct-95 46.7 5.8
Nov-95 45.9 5.8
Dec-95 46.2 5.6
Jan-96 45.5 5.6
Feb-96 45.9 5.2
Mar-96 46.9 5.3
Apr-96 49.3 5.2
May-96 49.1 5.2
Jun-96 53.6 5.3
Jul-96 49.7 5.4
Aug-96 51.6 5.2
Sep-96 51.1 5.3
Oct-96 50.5 5.2
Nov-96 53.0 5.3
Dec-96 55.2 5.3
Jan-97 53.6 5.3
Feb-97 53.3 5.2
Mar-97 54.1 5.4
Apr-97 53.7 5.5
May-97 56.0 5.5
Jun-97 55.2 5.6
Jul-97 57.8 5.5
Aug-97 56.1 5.5
Sep-97 54.0 5.5
Oct-97 56.4 5.5
Nov-97 55.4 5.5
Dec-97 54.3 5.5
Jan-98 53.4 5.5
Feb-98 53.2 5.5
Mar-98 53.4 5.5
Apr-98 52.3 5.5
May-98 50.9 5.5
Jun-98 49.2 5.6
Jul-98 49.4 5.5
Aug-98 49.1 5.6
Sep-98 48.8 5.5
Oct-98 48.6 5.1
Nov-98 47.7 4.8
Dec-98 46.3 4.7
Jan-99 49.9 4.6
Feb-99 52.1 4.8
Mar-99 53.3 4.8
Apr-99 52.7 4.7
May-99 54.4 4.7
Jun-99 56.3 4.8
Jul-99 53.6 5.0
Aug-99 54.4 5.1
Sep-99 57.3 5.2
Oct-99 56.9 5.2
Nov-99 57.1 5.4
Dec-99 56.8 5.3
Jan-00 56.3 5.5
Feb-00 56.9 5.7
Mar-00 55.8 5.9
Apr-00 54.9 6.0
May-00 53.2 6.3
Jun-00 51.8 6.5
Jul-00 51.8 6.6
Aug-00 49.5 6.5
Source: Nat'l Assoc. of Purchasing Mgmt; Federal Reserve
2000 Semi-Annual Report 3
<PAGE>
Economic Outlook (Cont.)
Q: Finally, Bill, you've spoken frequently about the decline of the corporate
sector. Could you elaborate?
BG: First, cyclically, with the economy slowing and default rates in the
corporate credit market high and rising, higher yielding, lower quality
issues will continue to face tough times. Even many investment-grade
issues suffer in this environment. Second, secularly, corporate bond
investing in a New Age economy is a dangerous proposition. That's because
today's economic growth is based on the premise that "creative destruction"
is a good thing. Joseph Schumpeter first introduced the idea that the
greatest good is ultimately accomplished by allowing innovation to flourish
even as it damages some. The U.S. dominates the world economy today because
it embraces change and allows the new to overtake the old. New Age
companies embody the creative part of the concept and tend to raise capital
in the equity markets. That leaves destruction for certain Old Age
companies, which leverage their balance sheet by issuing debt only to use
the proceeds to buy back stock in order to keep their stock price
competitive--a vicious cycle of self-liquidation. The outcome is not good
for debt holders. That's why we are cautious about the corporate market.
For more on our economic outlook on a monthly basis, read Bill Gross's
Investment Outlook and Paul McCulley's Fed Focus online at www.pimco.com.
Past performance is no guarantee of future results. The views of Mr. Gross and
Mr. McCulley are not indicative of the past or future performance of any PIMCO
Fund.
U.S. Corporate Sector Borrowing
Corporations are assuming more and more debt.
The line graph inserted at the bottom of page 4 in the section "Economic
Outlook" is entitled "U.S. Corporate Sector Borrowing" and illustrates the fact
that corporations are assuming more and more debt. The graph shows one line
representing the U.S.$ amount from flow of funds and a second line representing
the %YoY of non-financial credit growth (RHS), both over the ten-year period
from 1990 through 2000.
Source: Datastream
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 maturity fixed income securities
Duration:
5.2 years
Total Net Assets:
$35.5 billion
Sector Breakdown:*
[GRAPH]
Mortgage-Backed Securities 48.2%
Corporate Bonds and Notes 26.9%
U.S. Treasury Obligations 9.0%
Short-Term Instruments 5.5%
Assets-Backed Securities 5.4%
Other 5.0%
Quality Breakdown:*
[GRAPH]
AAA 66.7%
AA 6.2%
A 14.7%
BBB 10.4%
BB 1.4%
B 0.6%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
<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 4.75% 4.62% 4.81% 4.02%
1 Year 7.12% 6.85% 6.99% 5.75%
3 Years* 6.43% 6.16% 5.93% 4.85%
5 Years* 7.35% 7.11% 6.47% 5.54%
10 Years* 9.32% -- 8.05% 7.58%
Since Inception* 9.10% 7.82% -- --
* Annualized
</TABLE>
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2000
[GRAPH]
Total Return Lehman Brothers
Month Fund Aggregate Bond Index
05/31/1987 5,000,000 5,000,000
06/30/1987 5,063,956 5,068,813
07/31/1987 5,051,390 5,064,918
08/31/1987 5,039,534 5,037,815
09/30/1987 4,913,547 4,930,538
10/31/1987 5,070,060 5,106,141
11/30/1987 5,107,024 5,147,040
12/31/1987 5,153,726 5,217,151
01/31/1988 5,364,621 5,400,545
02/29/1988 5,425,978 5,464,652
03/31/1988 5,377,483 5,413,367
04/30/1988 5,349,895 5,384,153
05/31/1988 5,323,746 5,347,962
06/30/1988 5,451,097 5,476,986
07/31/1988 5,444,079 5,448,260
08/31/1988 5,470,463 5,462,542
09/30/1988 5,574,381 5,586,211
10/31/1988 5,662,479 5,691,379
11/30/1988 5,612,027 5,622,241
12/31/1988 5,637,131 5,628,571
01/31/1989 5,706,918 5,709,556
02/28/1989 5,670,892 5,668,171
03/31/1989 5,697,790 5,692,677
04/30/1989 5,825,551 5,811,802
05/31/1989 5,967,305 5,964,522
06/30/1989 6,168,244 6,146,131
07/31/1989 6,298,843 6,276,779
08/31/1989 6,190,418 6,183,783
09/30/1989 6,221,536 6,215,431
10/31/1989 6,371,017 6,368,476
11/30/1989 6,426,949 6,429,174
12/31/1989 6,440,083 6,446,378
01/31/1990 6,332,594 6,369,774
02/28/1990 6,349,652 6,390,386
03/31/1990 6,344,778 6,395,092
04/30/1990 6,255,058 6,336,504
05/31/1990 6,460,283 6,524,117
06/30/1990 6,569,705 6,628,798
07/31/1990 6,676,661 6,720,495
08/31/1990 6,571,662 6,630,745
09/30/1990 6,578,458 6,685,601
10/31/1990 6,669,789 6,770,482
11/30/1990 6,838,024 6,916,223
12/31/1990 6,958,354 7,023,987
01/31/1991 7,027,903 7,110,815
02/28/1991 7,126,178 7,171,514
03/31/1991 7,216,808 7,220,852
04/30/1991 7,335,070 7,299,078
05/31/1991 7,390,178 7,341,762
06/30/1991 7,401,768 7,338,029
07/31/1991 7,508,521 7,439,788
08/31/1991 7,712,232 7,600,786
09/30/1991 7,894,694 7,754,804
10/31/1991 7,975,769 7,841,145
11/30/1991 8,045,044 7,913,042
12/31/1991 8,319,147 8,148,046
01/31/1992 8,251,437 8,037,198
02/29/1992 8,323,957 8,089,457
03/31/1992 8,292,135 8,043,852
04/30/1992 8,335,850 8,101,954
05/31/1992 8,508,487 8,254,836
06/30/1992 8,616,472 8,368,443
07/31/1992 8,827,524 8,539,178
08/31/1992 8,902,987 8,625,682
09/30/1992 9,043,980 8,727,928
10/31/1992 8,965,037 8,612,211
11/30/1992 8,972,362 8,614,159
12/31/1992 9,129,278 8,751,136
01/31/1993 9,297,750 8,918,950
02/28/1993 9,504,901 9,075,078
03/31/1993 9,560,206 9,112,893
04/30/1993 9,643,848 9,176,350
05/31/1993 9,666,306 9,188,036
06/30/1993 9,876,645 9,354,551
07/31/1993 9,937,133 9,407,459
08/31/1993 10,163,538 9,572,351
09/30/1993 10,204,890 9,598,643
10/31/1993 10,277,472 9,634,511
11/30/1993 10,187,745 9,552,551
12/31/1993 10,271,501 9,604,324
01/31/1994 10,396,445 9,733,998
02/28/1994 10,210,928 9,564,886
03/31/1994 9,995,399 9,329,070
04/30/1994 9,896,929 9,254,577
05/31/1994 9,850,224 9,253,278
06/30/1994 9,814,015 9,232,829
07/31/1994 10,015,509 9,416,223
08/31/1994 10,044,623 9,427,908
09/30/1994 9,917,753 9,289,146
10/31/1994 9,906,083 9,280,869
11/30/1994 9,907,443 9,260,257
12/31/1994 9,904,417 9,324,202
01/31/1995 10,082,267 9,508,731
02/28/1995 10,319,048 9,734,809
03/31/1995 10,417,456 9,794,534
04/30/1995 10,600,658 9,931,349
05/31/1995 10,936,213 10,315,665
06/30/1995 10,929,713 10,391,294
07/31/1995 10,936,311 10,368,086
08/31/1995 11,105,123 10,493,216
09/30/1995 11,244,355 10,595,300
10/31/1995 11,415,091 10,733,089
11/30/1995 11,662,396 10,893,924
12/31/1995 11,863,138 11,046,806
01/31/1996 11,960,385 11,120,164
02/29/1996 11,668,778 10,926,870
03/31/1996 11,578,391 10,850,915
04/30/1996 11,530,294 10,789,892
05/31/1996 11,499,480 10,767,982
06/30/1996 11,683,873 10,912,588
07/31/1996 11,714,500 10,942,450
08/31/1996 11,704,501 10,924,111
09/30/1996 11,973,193 11,114,483
10/31/1996 12,284,300 11,360,686
11/30/1996 12,575,406 11,555,278
12/31/1996 12,419,446 11,447,838
01/31/1997 12,465,678 11,482,894
02/28/1997 12,494,013 11,511,458
03/31/1997 12,342,925 11,383,894
04/30/1997 12,565,728 11,554,304
05/31/1997 12,694,757 11,663,529
06/30/1997 12,843,894 11,801,967
07/31/1997 13,203,071 12,120,229
08/31/1997 13,089,168 12,016,846
09/30/1997 13,301,627 12,194,073
10/31/1997 13,461,510 12,370,975
11/30/1997 13,523,400 12,427,941
12/31/1997 13,681,812 12,553,071
01/31/1998 13,893,968 12,714,230
02/28/1998 13,855,371 12,704,087
03/31/1998 13,902,211 12,748,312
04/30/1998 13,957,191 12,814,853
05/31/1998 14,119,833 12,936,413
06/30/1998 14,257,594 13,046,124
07/31/1998 14,305,551 13,073,877
08/31/1998 14,533,176 13,286,646
09/30/1998 14,969,015 13,597,767
10/31/1998 14,869,808 13,525,870
11/30/1998 14,925,950 13,602,636
12/31/1998 15,018,914 13,643,534
01/31/1999 15,109,171 13,740,911
02/28/1999 14,831,091 13,501,039
03/31/1999 14,958,503 13,575,857
04/30/1999 15,032,946 13,618,865
05/31/1999 14,870,656 13,499,578
06/30/1999 14,846,270 13,456,570
07/31/1999 14,790,750 13,399,279
08/31/1999 14,803,007 13,392,596
09/30/1999 14,968,364 13,547,942
10/31/1999 15,018,938 13,597,929
11/30/1999 15,055,090 13,596,955
12/31/1999 14,976,517 13,531,388
01/31/2000 14,900,278 13,487,081
02/29/2000 15,083,651 13,650,188
03/31/2000 15,307,078 13,830,012
04/30/2000 15,264,806 13,790,412
05/31/2000 15,262,467 13,784,082
06/30/2000 15,586,098 14,070,858
07/31/2000 15,729,678 14,198,585
08/31/2000 15,977,572 14,404,375
09/30/2000 16,034,043 14,494,936
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 underperformed the
Lehman Brothers Aggregate Bond Index for the six-month period ended
September 30, 2000, returning 4.75% versus 4.81% for the Index.
. The Fund's duration was held above that of the Index, which had a positive
impact on returns as intermediate rates fell. However, an emphasis on
longer maturities detracted from returns as intermediate maturities
outperformed.
. An overweight in mortgages added to returns due to relatively high yields
and low market volatility.
. An underweight in investment grade corporates helped returns in the second
quarter of the year but was negative in the third quarter as corporates
outperformed Treasuries due to narrowing yield premiums. A small high yield
allocation was modestly negative amid concern about credit quality in the
sector as growth began to slow.
. Within the international sector emerging market bonds helped returns as
yield premiums narrowed due to stronger economies and debt restructuring.
Positions based on an expected rise in the euro were negative as the euro
lost ground relative to the dollar.
2000 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 maturity fixed income securities with quality and
non-U.S. issuer restrictions
Duration:
5.0 years
Total Net Assets:
$1.6 billion
Sector Breakdown:*
[GRAPH]
Mortgage-Backed Securities 45.8%
Corporate Bonds and Notes 34.0%
U.S. Treasury Obligations 11.3%
Other 8.9%
Quality Breakdown:*
[GRAPH]
AAA 60.6%
AA 8.1%
A 24.9%
BBB 6.4%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
<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 4.81% 4.68% 4.81% 4.02%
1 Year 6.85% 6.58% 6.99% 5.75%
3 Years* 6.06% 5.79% 5.93% 4.85%
5 Years* 6.83% 6.54% 6.47% 5.54%
Since Inception * 7.42% 7.99% -- --
* Annualized
</TABLE>
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2000
[GRAPH]
Total Return Lehman Brothers
Month Fund II Aggregate Bond Index
12/31/1991 5,000,000 5,000,000
01/31/1992 4,929,716 4,931,979
02/29/1992 4,951,937 4,964,047
03/31/1992 4,937,873 4,936,062
04/30/1992 4,963,257 4,971,716
05/31/1992 5,075,312 5,065,531
06/30/1992 5,149,979 5,135,245
07/31/1992 5,309,040 5,240,016
08/31/1992 5,355,136 5,293,098
09/30/1992 5,437,041 5,355,841
10/31/1992 5,367,337 5,284,832
11/30/1992 5,383,727 5,286,027
12/31/1992 5,471,600 5,370,083
01/31/1993 5,579,371 5,473,060
02/28/1993 5,705,377 5,568,868
03/31/1993 5,719,997 5,592,073
04/30/1993 5,793,075 5,631,013
05/31/1993 5,790,801 5,638,183
06/30/1993 5,920,354 5,740,365
07/31/1993 5,952,711 5,772,831
08/31/1993 6,070,915 5,874,017
09/30/1993 6,093,002 5,890,150
10/31/1993 6,109,820 5,912,160
11/30/1993 6,049,436 5,861,866
12/31/1993 6,067,802 5,893,636
01/31/1994 6,149,761 5,973,210
02/28/1994 6,050,676 5,869,435
03/31/1994 5,910,178 5,724,729
04/30/1994 5,870,870 5,679,016
05/31/1994 5,858,460 5,678,219
06/30/1994 5,845,104 5,665,671
07/31/1994 5,977,463 5,778,209
08/31/1994 5,984,657 5,785,380
09/30/1994 5,896,835 5,700,229
10/31/1994 5,889,838 5,695,150
11/30/1994 5,888,896 5,682,502
12/31/1994 5,933,421 5,721,741
01/31/1995 6,043,232 5,834,977
02/28/1995 6,182,752 5,973,708
03/31/1995 6,223,522 6,010,358
04/30/1995 6,299,808 6,094,313
05/31/1995 6,523,923 6,330,146
06/30/1995 6,551,569 6,376,556
07/31/1995 6,507,691 6,362,315
08/31/1995 6,628,805 6,439,100
09/30/1995 6,717,353 6,501,743
10/31/1995 6,829,613 6,586,296
11/30/1995 6,952,671 6,684,992
12/31/1995 7,059,284 6,778,807
01/31/1996 7,096,875 6,823,822
02/29/1996 6,956,380 6,705,209
03/31/1996 6,882,877 6,658,600
04/30/1996 6,829,282 6,621,153
05/31/1996 6,805,776 6,607,708
06/30/1996 6,917,299 6,696,445
07/31/1996 6,933,266 6,714,769
08/31/1996 6,916,233 6,703,516
09/30/1996 7,079,837 6,820,337
10/31/1996 7,268,469 6,971,417
11/30/1996 7,416,019 7,090,828
12/31/1996 7,331,446 7,024,898
01/31/1997 7,372,632 7,046,410
02/28/1997 7,387,727 7,063,938
03/31/1997 7,305,831 6,985,659
04/30/1997 7,418,069 7,090,230
05/31/1997 7,488,383 7,157,255
06/30/1997 7,571,276 7,242,207
07/31/1997 7,808,619 7,437,506
08/31/1997 7,730,081 7,374,066
09/30/1997 7,837,156 7,482,820
10/31/1997 7,950,092 7,591,375
11/30/1997 7,972,129 7,626,332
12/31/1997 8,063,867 7,703,117
01/31/1998 8,181,882 7,802,012
02/28/1998 8,157,419 7,795,787
03/31/1998 8,181,806 7,822,926
04/30/1998 8,222,040 7,863,759
05/31/1998 8,310,019 7,938,353
06/30/1998 8,398,686 8,005,677
07/31/1998 8,417,371 8,022,707
08/31/1998 8,634,608 8,153,272
09/30/1998 8,863,669 8,344,189
10/31/1998 8,784,161 8,300,070
11/30/1998 8,790,237 8,347,177
12/31/1998 8,840,354 8,372,274
01/31/1999 8,895,775 8,432,029
02/28/1999 8,717,208 8,284,832
03/31/1999 8,791,829 8,330,744
04/30/1999 8,826,341 8,357,136
05/31/1999 8,716,487 8,283,936
06/30/1999 8,686,621 8,257,544
07/31/1999 8,640,505 8,222,388
08/31/1999 8,645,072 8,218,287
09/30/1999 8,749,143 8,313,614
10/31/1999 8,774,371 8,344,288
11/30/1999 8,789,718 8,343,691
12/31/1999 8,745,555 8,303,456
01/31/2000 8,714,587 8,276,267
02/29/2000 8,804,572 8,376,357
03/31/2000 8,919,699 8,486,705
04/30/2000 8,885,298 8,462,404
05/31/2000 8,910,528 8,458,520
06/30/2000 9,090,806 8,634,499
07/31/2000 9,163,246 8,712,877
08/31/2000 9,307,790 8,839,159
09/30/2000 9,348,802 8,894,732
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 equaled the performance
of the Lehman Brothers Aggregate Bond Index for the six-month period ended
September 30, 2000, with the Fund and the Index returning 4.81%.
. The Fund's duration was held below that of the Index in the second quarter
of the year, which hurt performance. An increase of duration above the
Index in the third quarter had a positive impact on returns as intermediate
rates fell. However, an emphasis on longer maturities detracted from
returns as intermediate maturities outperformed.
. An overweight in mortgages added to returns due to relatively high yields
and low market volatility.
. An underweight in investment grade corporates was negative as corporates
outperformed Treasuries due to narrowing yield premiums.
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 maturity fixed income securities with prohibitions on
firms engaged in socially sensitive practices
Duration:
6.2 years
Total Net Assets:
$819.9 million
Sector Breakdown:*
[GRAPH]
Mortgage-Backed Securities 48.9%
Corporate Bonds and Notes 23.3%
U.S. Treasury Obligations 13.3%
Other 14.5%
Quality Breakdown:*
[GRAPH]
AAA 65.2%
AA 5.3%
A 18.7%
BBB 8.3%
BB 1.3%
B 1.2%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
<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 4.27% 4.14% 4.81% 4.02%
1 Year 5.25% 4.99% 6.99% 5.75%
3 Years* 5.85% 5.59% 5.93% 4.85%
5 Years* 6.87% -- 6.47% 5.54%
Since Inception * 8.41% 7.02% -- --
* Annualized
</TABLE>
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2000
[GRAPH]
Total Return Lehman Brothers
Month Fund III Aggregate Bond Index
04/30/1991 5,000,000 5,000,000
05/31/1991 5,024,573 5,029,239
06/30/1991 5,011,360 5,026,682
07/31/1991 5,091,347 5,096,389
08/31/1991 5,231,902 5,206,675
09/30/1991 5,362,299 5,312,180
10/31/1991 5,419,024 5,371,326
11/30/1991 5,475,902 5,420,576
12/31/1991 5,687,512 5,581,558
01/31/1992 5,605,239 5,505,625
02/29/1992 5,649,578 5,541,424
03/31/1992 5,621,306 5,510,184
04/30/1992 5,643,874 5,549,984
05/31/1992 5,752,958 5,654,712
06/30/1992 5,844,833 5,732,534
07/31/1992 6,028,857 5,849,491
08/31/1992 6,069,916 5,908,747
09/30/1992 6,112,922 5,978,788
10/31/1992 6,061,053 5,899,520
11/30/1992 6,110,005 5,900,854
12/31/1992 6,200,947 5,994,686
01/31/1993 6,262,534 6,109,641
02/28/1993 6,404,215 6,216,592
03/31/1993 6,434,449 6,242,496
04/30/1993 6,497,518 6,285,965
05/31/1993 6,501,189 6,293,970
06/30/1993 6,644,496 6,408,036
07/31/1993 6,697,102 6,444,279
08/31/1993 6,880,114 6,557,233
09/30/1993 6,894,099 6,575,243
10/31/1993 6,957,037 6,599,813
11/30/1993 6,917,372 6,543,670
12/31/1993 6,984,685 6,579,135
01/31/1994 7,060,374 6,667,964
02/28/1994 6,937,795 6,552,119
03/31/1994 6,797,242 6,390,581
04/30/1994 6,731,751 6,339,552
05/31/1994 6,676,376 6,338,662
06/30/1994 6,681,328 6,324,654
07/31/1994 6,815,349 6,450,282
08/31/1994 6,830,651 6,458,287
09/30/1994 6,760,588 6,363,232
10/31/1994 6,777,181 6,357,562
11/30/1994 6,726,341 6,343,443
12/31/1994 6,745,188 6,387,246
01/31/1995 6,870,185 6,513,652
02/28/1995 7,076,265 6,668,520
03/31/1995 7,131,606 6,709,432
04/30/1995 7,251,354 6,803,153
05/31/1995 7,479,227 7,066,416
06/30/1995 7,468,982 7,118,224
07/31/1995 7,469,280 7,102,326
08/31/1995 7,577,254 7,188,042
09/30/1995 7,661,664 7,257,971
10/31/1995 7,778,032 7,352,359
11/30/1995 7,920,241 7,462,534
12/31/1995 8,042,735 7,567,261
01/31/1996 8,110,490 7,617,512
02/29/1996 7,917,045 7,485,103
03/31/1996 7,848,991 7,433,072
04/30/1996 7,813,232 7,391,271
05/31/1996 7,795,663 7,376,262
06/30/1996 7,938,312 7,475,319
07/31/1996 7,953,817 7,495,775
08/31/1996 7,937,131 7,483,213
09/30/1996 8,134,267 7,613,621
10/31/1996 8,353,533 7,782,274
11/30/1996 8,530,260 7,915,573
12/31/1996 8,415,107 7,841,975
01/31/1997 8,452,273 7,865,989
02/28/1997 8,465,767 7,885,556
03/31/1997 8,379,284 7,798,172
04/30/1997 8,523,528 7,914,906
05/31/1997 8,625,020 7,989,727
06/30/1997 8,714,471 8,084,560
07/31/1997 8,945,988 8,302,575
08/31/1997 8,888,809 8,231,756
09/30/1997 9,006,608 8,353,160
10/31/1997 9,140,798 8,474,341
11/30/1997 9,172,684 8,513,363
12/31/1997 9,274,215 8,599,079
01/31/1998 9,418,706 8,709,477
02/28/1998 9,404,616 8,702,528
03/31/1998 9,436,938 8,732,823
04/30/1998 9,472,905 8,778,405
05/31/1998 9,559,386 8,861,676
06/30/1998 9,655,888 8,936,830
07/31/1998 9,697,309 8,955,841
08/31/1998 9,843,713 9,101,592
09/30/1998 10,148,628 9,314,715
10/31/1998 10,097,948 9,265,464
11/30/1998 10,154,614 9,318,050
12/31/1998 10,237,306 9,346,067
01/31/1999 10,291,019 9,412,772
02/28/1999 10,083,482 9,248,455
03/31/1999 10,210,751 9,299,706
04/30/1999 10,264,484 9,329,168
05/31/1999 10,112,792 9,247,454
06/30/1999 10,098,298 9,217,993
07/31/1999 10,060,554 9,178,748
08/31/1999 10,064,068 9,174,170
09/30/1999 10,149,144 9,280,584
10/31/1999 10,190,083 9,314,826
11/30/1999 10,208,038 9,314,159
12/31/1999 10,139,938 9,269,244
01/31/2000 9,971,148 9,238,894
02/29/2000 10,081,292 9,350,625
03/31/2000 10,244,449 9,473,807
04/30/2000 10,191,835 9,446,680
05/31/2000 10,178,995 9,442,344
06/30/2000 10,404,668 9,638,791
07/31/2000 10,480,599 9,726,286
08/31/2000 10,659,083 9,867,257
09/30/2000 10,682,050 9,929,292
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 invest-
ment 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 ended
September 30, 2000, returning 4.27% versus 4.81% for the Index.
. The Fund's duration was held below that of the Index, which had a negative
impact on returns as intermediate rates fell. Also, an emphasis on longer
maturities detracted from returns as intermediate maturities outperformed.
. An overweight in mortgages added to returns due to relatively high yields
and low market volatility.
. An underweight in investment grade corporates helped returns in the second
quarter of the year but was negative in the third quarter as corporates
outperformed Treasuries due to narrowing yield premiums. A small high yield
allocation was modestly negative amid concern about credit quality in the
sector as growth began to slow.
. Within the international sector emerging market bonds helped returns as
yield premiums narrowed due to stronger economies and debt restructuring.
Positions based on an expected rise in the euro were negative as the euro
lost ground relative to the dollar.
2000 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 maturity fixed income securities
Duration:
3.6 years
Total Net Assets:
$444.5 million
Sector Breakdown:*
[GRAPH]
Mortgage-Backed Securities 48.8%
Corporate Bonds and Notes 26.8%
Asset-Backed Instruments 11.0%
Other 13.4%
Quality Breakdown:*
[GRAPH]
AAA 66.8%
AA 7.2%
A 10.2%
BBB 12.1%
BB 1.1%
B 2.6%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
<TABLE>
<CAPTION>
Lehman Brothers Lipper Short Intermediate
Inst'l Class Intermediate Government/ Investment Grade
(Incep. 12/31/1996) Corporate Bond Index Debt Fund Average
<S> <C> <C> <C>
6 Months 5.27% 4.61% 4.00%
1 Year 6.96% 6.23% 5.74%
3 Years* 5.85% 5.68% 4.91%
Since Inception* 6.22% -- --
* Annualized
</TABLE>
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2000
[GRAPH]
Moderate Lehman Brothers
Duration Intermediate Government/
Month Fund Corporate Bond Index
12/31/1996 5,000,000 5,000,000
01/31/1997 5,018,573 5,019,499
02/28/1997 5,025,671 5,029,037
03/31/1997 4,987,552 4,994,337
04/30/1997 5,045,822 5,053,270
05/31/1997 5,078,973 5,095,212
06/30/1997 5,141,280 5,141,578
07/31/1997 5,240,626 5,245,952
08/31/1997 5,220,094 5,219,722
09/30/1997 5,282,529 5,280,271
10/31/1997 5,331,654 5,338,882
11/30/1997 5,354,915 5,350,628
12/31/1997 5,398,734 5,393,432
01/31/1998 5,454,128 5,464,087
02/28/1998 5,448,868 5,459,715
03/31/1998 5,476,199 5,477,186
04/30/1998 5,507,779 5,504,572
05/31/1998 5,547,118 5,544,756
06/30/1998 5,574,030 5,580,242
07/31/1998 5,603,136 5,599,773
08/31/1998 5,657,953 5,687,689
09/30/1998 5,812,116 5,830,450
10/31/1998 5,807,792 5,824,620
11/30/1998 5,807,850 5,824,037
12/31/1998 5,837,909 5,847,334
01/31/1999 5,869,063 5,879,494
02/28/1999 5,778,416 5,793,065
03/31/1999 5,842,985 5,836,513
04/30/1999 5,861,195 5,854,606
05/31/1999 5,823,540 5,809,526
06/30/1999 5,805,584 5,813,592
07/31/1999 5,800,346 5,808,361
08/31/1999 5,804,694 5,813,007
09/30/1999 5,858,013 5,867,068
10/31/1999 5,893,763 5,882,322
11/30/1999 5,912,009 5,889,381
12/31/1999 5,890,158 5,869,946
01/31/2000 5,826,274 5,848,228
02/29/2000 5,873,746 5,896,183
03/31/2000 5,951,786 5,957,503
04/30/2000 5,955,966 5,943,800
05/31/2000 5,995,504 5,953,311
06/30/2000 6,078,846 6,058,088
07/31/2000 6,123,436 6,104,129
08/31/2000 6,204,722 6,176,158
09/30/2000 6,265,532 6,232,361
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 invest-
ment of $5,000,000 on 12/31/1996, the Fund's Institutional Class inception date,
compared to the Lehman Brothers Intermediate Government/Corporate Bond Index, an
unmanaged market index. The Fund may invest in foreign securities which involve
potentially higher risks including foreign currency fluctuations and political
or economic uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Moderate Duration Fund outperformed the Lehman Brothers Intermediate
Government / Corporate Bond Index for the six-month period ended September
30, 2000, returning 5.27% versus 4.61% for the Index.
. The Fund's duration was near that of the Index, which had a neutral impact
on returns. An emphasis on intermediate maturities helped performance as
this portion of the yield curve outperformed.
. An overweight in mortgages added to returns due to relatively high yields
and low market volatility.
. An underweight in investment grade corporates helped returns in the second
quarter of the year but was negative in the third quarter as corporates
outperformed Treasuries due to narrowing yield premiums. A small high yield
allocation was neutral as our focus on upper-tier, shorter maturity issues
offset concern about credit quality in the sector.
. Within the international sector emerging market bonds helped returns as
yield premiums narrowed due to stronger economies and debt restructuring.
Positions based on an expected rise in the euro were negative as the euro
lost ground relative to the U.S. dollar.
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 short maturity fixed income securities
Duration:
1.9 years
Total Net Assets:
$4.2 billion
Sector Breakdown:*
[GRAPH]
Corporate Bonds and Notes 47.2%
Mortgage-Backed Securities 33.2%
U.S.Treasury Obligations 7.7%
Other 11.9%
Quality Breakdown:*
[GRAPH]
AAA 40.8%
AA 8.0%
A 25.8%
BBB 20.7%
BB 4.2%
B 0.5%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
<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 4.04% 3.91% 3.85% 3.71%
1 Year 6.55% 6.29% 5.79% 5.73%
3 Years* 5.81% 5.55% 5.64% 5.05%
5 Years* 6.63% 6.37% 5.89% 5.42%
10 Years* 7.40% -- 6.48% 6.29%
Since Inception* 7.80% 7.01% -- --
* Annualized
</TABLE>
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2000
[GRAPH]
Merrill Lynch
Low Duration 1-3 Year Treasury
Month Fund Index
05/31/1987 5,000,000 5,000,000
06/30/1987 5,019,544 5,023,450
07/31/1987 5,044,724 5,035,003
08/31/1987 5,028,885 5,033,040
09/30/1987 5,074,774 5,074,160
10/31/1987 5,116,879 5,108,766
11/30/1987 5,156,800 5,143,965
12/31/1987 5,193,007 5,200,497
01/31/1988 5,219,920 5,205,281
02/29/1988 5,260,771 5,244,790
03/31/1988 5,310,323 5,283,758
04/30/1988 5,313,692 5,296,598
05/31/1988 5,355,776 5,332,774
06/30/1988 5,393,985 5,384,555
07/31/1988 5,402,862 5,389,186
08/31/1988 5,427,616 5,411,120
09/30/1988 5,458,772 5,436,444
10/31/1988 5,490,624 5,465,421
11/30/1988 5,503,181 5,493,840
12/31/1988 5,527,294 5,519,552
01/31/1989 5,543,567 5,588,932
02/28/1989 5,649,590 5,662,986
03/31/1989 5,656,322 5,690,791
04/30/1989 5,694,733 5,685,840
05/31/1989 5,712,097 5,705,912
06/30/1989 5,732,230 5,728,507
07/31/1989 5,719,966 5,700,552
08/31/1989 5,758,729 5,740,171
09/30/1989 5,794,632 5,758,654
10/31/1989 5,786,934 5,754,968
11/30/1989 5,775,306 5,772,924
12/31/1989 5,775,192 5,791,224
01/31/1990 5,779,894 5,807,961
02/28/1990 5,833,335 5,845,712
03/31/1990 5,851,977 5,861,262
04/30/1990 5,870,819 5,872,339
05/31/1990 5,868,064 5,880,737
06/30/1990 5,860,600 5,878,562
07/31/1990 5,890,024 5,917,713
08/31/1990 5,930,458 5,954,402
09/30/1990 5,948,746 5,969,883
10/31/1990 5,969,290 5,994,419
11/30/1990 6,042,394 6,056,642
12/31/1990 6,085,896 6,094,920
01/31/1991 6,140,202 6,139,839
02/28/1991 6,195,214 6,183,923
03/31/1991 7,057,271 6,923,107
04/30/1991 7,143,402 6,988,670
05/31/1991 7,199,368 7,030,881
06/30/1991 7,245,425 7,059,426
07/31/1991 7,325,646 7,120,914
08/31/1991 7,430,571 7,218,612
09/30/1991 7,527,775 7,296,718
10/31/1991 7,593,269 7,375,086
11/30/1991 7,675,305 7,451,712
12/31/1991 7,804,629 7,565,276
01/31/1992 7,811,724 7,553,701
02/29/1992 7,850,357 7,579,762
03/31/1992 7,854,905 7,577,109
04/30/1992 7,910,379 7,646,439
05/31/1992 7,990,995 7,716,175
06/30/1992 8,065,552 7,794,942
07/31/1992 8,172,756 7,882,416
08/31/1992 8,227,543 7,951,624
09/30/1992 8,309,644 8,027,323
10/31/1992 8,312,516 7,979,320
11/30/1992 8,317,418 7,966,313
12/31/1992 8,404,634 8,041,993
01/31/1993 8,484,134 8,125,469
02/28/1993 8,584,735 8,194,941
03/31/1993 8,633,491 8,219,527
04/30/1993 8,674,838 8,270,487
05/31/1993 8,685,036 8,247,329
06/30/1993 8,771,815 8,308,113
07/31/1993 8,802,074 8,327,387
08/31/1993 8,888,391 8,400,002
09/30/1993 8,922,962 8,427,302
10/31/1993 8,984,843 8,443,819
11/30/1993 8,993,553 8,445,931
12/31/1993 9,056,846 8,477,097
01/31/1994 9,106,228 8,531,519
02/28/1994 9,066,980 8,477,003
03/31/1994 9,027,600 8,434,789
04/30/1994 8,998,069 8,404,930
05/31/1994 8,988,338 8,416,864
06/30/1994 9,007,246 8,441,778
07/31/1994 9,091,298 8,514,377
08/31/1994 9,129,999 8,544,348
09/30/1994 9,116,482 8,524,952
10/31/1994 9,115,926 8,544,133
11/30/1994 9,118,176 8,506,026
12/31/1994 9,113,801 8,525,250
01/31/1995 9,198,589 8,643,921
02/28/1995 9,314,539 8,762,689
03/31/1995 9,352,866 8,811,585
04/30/1995 9,470,326 8,890,096
05/31/1995 9,642,739 9,045,405
06/30/1995 9,692,391 9,094,070
07/31/1995 9,696,402 9,131,718
08/31/1995 9,802,372 9,186,053
09/30/1995 9,890,345 9,230,697
10/31/1995 9,964,908 9,308,604
11/30/1995 10,081,178 9,390,892
12/31/1995 10,201,089 9,463,014
01/31/1996 10,276,453 9,543,450
02/29/1996 10,210,333 9,503,081
03/31/1996 10,206,317 9,494,623
04/30/1996 10,210,668 9,502,599
05/31/1996 10,220,903 9,522,079
06/30/1996 10,324,796 9,590,448
07/31/1996 10,360,157 9,628,235
08/31/1996 10,411,622 9,661,259
09/30/1996 10,559,003 9,748,888
10/31/1996 10,711,509 9,858,660
11/30/1996 10,856,335 9,934,177
12/31/1996 10,827,172 9,934,177
01/31/1997 10,917,928 9,980,768
02/28/1997 10,962,362 10,003,723
03/31/1997 10,918,161 9,999,822
04/30/1997 11,051,403 10,081,520
05/31/1997 11,144,606 10,150,277
06/30/1997 11,232,679 10,220,213
07/31/1997 11,414,133 10,332,533
08/31/1997 11,408,378 10,342,038
09/30/1997 11,508,994 10,420,534
10/31/1997 11,594,791 10,497,958
11/30/1997 11,628,837 10,523,470
12/31/1997 11,718,950 10,595,345
01/31/1998 11,808,398 10,698,225
02/28/1998 11,849,111 10,707,426
03/31/1998 11,900,389 10,751,006
04/30/1998 11,965,788 10,801,320
05/31/1998 12,042,787 10,858,892
06/30/1998 12,072,222 10,915,357
07/31/1998 12,130,281 10,966,441
08/31/1998 12,177,935 11,104,289
09/30/1998 12,426,371 11,251,422
10/31/1998 12,407,993 11,306,666
11/30/1998 12,480,576 11,296,829
12/31/1998 12,558,314 11,336,708
01/31/1999 12,614,507 11,381,600
02/28/1999 12,548,547 11,326,059
03/31/1999 12,656,332 11,404,775
04/30/1999 12,723,248 11,441,498
05/31/1999 12,683,445 11,434,174
06/30/1999 12,690,305 11,469,850
07/31/1999 12,692,072 11,506,210
08/31/1999 12,701,307 11,539,462
09/30/1999 12,796,976 11,614,468
10/31/1999 12,850,766 11,645,363
11/30/1999 12,906,395 11,667,372
12/31/1999 12,931,228 11,684,058
01/31/2000 12,915,977 11,679,735
02/29/2000 13,009,930 11,757,522
03/31/2000 13,106,258 11,830,418
04/30/2000 13,135,290 11,861,176
05/31/2000 13,175,787 11,909,925
06/30/2000 13,335,487 12,033,551
07/31/2000 13,416,218 12,109,603
08/31/2000 13,566,278 12,198,850
09/30/2000 13,635,215 12,286,438
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 invest-
ment of $5,000,000 on 6/01/1987, the first full month following the Fund's
Institutional Class inception on 5/11/1987, compared to the Merrill Lynch 1-3
Year Treasury Index, an unmanaged market index. The performance of the
Administrative Class (shown above) reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 12/31/1994. The Fund may invest in foreign securities
which involve potentially higher risks including foreign currency fluctuations
and political or economic uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Low Duration Fund Institutional Class shares returned 4.04% for the six
months ended September 30, 2000, outperforming the benchmark Merrill Lynch
1-3 Year Treasury Index return of 3.85%.
. The Fund maintained a near-Index duration throughout the period, which had
a neutral impact on performance.
. Ourbroader-than-Index maturity distribution had a positive impact on
performance as intermediate maturity rates fell the most.
. An allocation to mortgage-backed securities was positive for performance as
mortgages outperformed.
. The Fund's investment-grade corporate holdings enhanced performance as
investors sought wide yield premiums for short maturities.
. Below-investment-grade holdings were negative as the sector was hurt by
rising defaults and an increasing risk premium.
. Strategies based on the rise in the euro detracted from returns as the
currency depreciated.
2000 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 short maturity fixed income securities with quality and non-U.S.
issuer restrictions
Duration:
1.7 years
Total Net Assets:
$703.2 million
Sector Breakdown:*
[GRAPH]
Mortgage-Backed Securities 46.4%
Corporate Bonds and Notes 39.7%
Asset-Backed Securities 5.5%
Other 8.4%
Quality Breakdown:*
[GRAPH]
AAA 50.4%
AA 8.6%
A 37.4%
BBB 3.6%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
<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 4.14% 3.97% 3.85% 3.71%
1 Year 6.53% 6.22% 5.79% 5.73%
3 Years* 5.61% -- 5.64% 5.05%
5 Years* 6.14% -- 5.89% 5.42%
Since Inception* 6.21% 4.99% -- --
</TABLE>
* Annualized
[GRAPH]
Merrill Lynch
Low Duration 1-3 Year Treasury
Month Fund II Index
10/31/1991 5,000,000 5,000,000
11/30/1991 5,070,496 5,051,950
12/31/1991 5,150,788 5,128,941
01/31/1992 5,126,506 5,121,094
02/29/1992 5,159,358 5,138,762
03/31/1992 5,157,326 5,136,964
04/30/1992 5,197,109 5,183,966
05/31/1992 5,240,589 5,231,244
06/30/1992 5,302,476 5,284,645
07/31/1992 5,355,736 5,343,949
08/31/1992 5,377,728 5,390,869
09/30/1992 5,426,036 5,442,189
10/31/1992 5,423,401 5,409,645
11/30/1992 5,417,545 5,400,827
12/31/1992 5,471,783 5,452,135
01/31/1993 5,544,427 5,508,728
02/28/1993 5,600,313 5,555,828
03/31/1993 5,619,040 5,572,496
04/30/1993 5,660,962 5,607,045
05/31/1993 5,649,149 5,591,344
06/30/1993 5,710,514 5,632,553
07/31/1993 5,724,808 5,645,621
08/31/1993 5,775,444 5,694,851
09/30/1993 5,794,689 5,713,359
10/31/1993 5,802,333 5,724,557
11/30/1993 5,799,743 5,725,988
12/31/1993 5,831,720 5,747,117
01/31/1994 5,872,093 5,784,014
02/28/1994 5,850,184 5,747,054
03/31/1994 5,796,320 5,718,434
04/30/1994 5,779,212 5,698,191
05/31/1994 5,767,710 5,706,282
06/30/1994 5,772,326 5,723,172
07/31/1994 5,831,607 5,772,392
08/31/1994 5,826,033 5,792,711
09/30/1994 5,810,813 5,779,561
10/31/1994 5,821,529 5,792,565
11/30/1994 5,828,521 5,766,731
12/31/1994 5,850,354 5,779,763
01/31/1995 5,935,515 5,860,217
02/28/1995 6,029,620 5,940,737
03/31/1995 6,074,370 5,973,886
04/30/1995 6,107,608 6,027,114
05/31/1995 6,211,631 6,132,407
06/30/1995 6,235,805 6,165,399
07/31/1995 6,243,368 6,190,923
08/31/1995 6,297,641 6,227,760
09/30/1995 6,346,020 6,258,027
10/31/1995 6,405,255 6,310,844
11/30/1995 6,478,110 6,366,632
12/31/1995 6,539,804 6,415,528
01/31/1996 6,580,351 6,470,061
02/29/1996 6,535,860 6,442,692
03/31/1996 6,518,000 6,436,958
04/30/1996 6,505,764 6,442,365
05/31/1996 6,502,485 6,455,572
06/30/1996 6,575,782 6,501,923
07/31/1996 6,606,321 6,527,541
08/31/1996 6,630,457 6,549,930
09/30/1996 6,719,145 6,609,338
10/31/1996 6,816,464 6,683,760
11/30/1996 6,887,004 6,734,957
12/31/1996 6,881,011 6,734,957
01/31/1997 6,918,655 6,766,544
02/28/1997 6,946,342 6,782,107
03/31/1997 6,930,530 6,779,461
04/30/1997 6,993,758 6,834,850
05/31/1997 7,044,400 6,881,464
06/30/1997 7,099,424 6,928,877
07/31/1997 7,200,340 7,005,026
08/31/1997 7,201,737 7,011,470
09/30/1997 7,257,640 7,064,687
10/31/1997 7,324,878 7,117,177
11/30/1997 7,343,098 7,134,473
12/31/1997 7,405,208 7,183,201
01/31/1998 7,464,768 7,252,950
02/28/1998 7,477,590 7,259,187
03/31/1998 7,505,393 7,288,733
04/30/1998 7,541,498 7,322,844
05/31/1998 7,593,666 7,361,875
06/30/1998 7,623,903 7,400,156
07/31/1998 7,657,543 7,434,789
08/31/1998 7,746,767 7,528,244
09/30/1998 7,854,078 7,627,994
10/31/1998 7,838,078 7,665,447
11/30/1998 7,857,712 7,658,778
12/31/1998 7,893,710 7,685,814
01/31/1999 7,943,452 7,716,249
02/28/1999 7,885,625 7,678,594
03/31/1999 7,947,390 7,731,961
04/30/1999 7,979,520 7,756,857
05/31/1999 7,950,895 7,751,892
06/30/1999 7,933,181 7,776,079
07/31/1999 7,948,712 7,800,729
08/31/1999 7,953,224 7,823,273
09/30/1999 8,024,423 7,874,124
10/31/1999 8,063,922 7,895,070
11/30/1999 8,094,148 7,909,991
12/31/1999 8,095,132 7,921,303
01/31/2000 8,091,435 7,918,372
02/29/2000 8,147,721 7,971,109
03/31/2000 8,208,297 8,020,529
04/30/2000 8,230,192 8,041,382
05/31/2000 8,254,772 8,074,432
06/30/2000 8,344,502 8,158,245
07/31/2000 8,402,661 8,209,805
08/31/2000 8,475,367 8,270,310
09/30/2000 8,548,174 8,329,692
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 4.14% for the
six months ended September 30, 2000, outperforming the benchmark Merrill
Lynch 1-3 Year Treasury Index return of 3.85%.
. The Fund maintained a near-Index duration throughout the period, which had a
neutral impact on performance.
. Our broader-than-Index maturity distribution had a positive impact on
performance as intermediate maturity rates fell the most.
. An allocation to mortgage-backed securities was positive for performance as
mortgages outperformed.
. The Fund's investment-grade corporate holdings enhanced performance as
investors sought wide yield premiums for short maturities.
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 short maturity fixed income securities with prohibitions on firms
engaged in socially sensitive practices
Duration:
1.9 years
Total Net Assets:
$36.7 million
Sector Breakdown:*
[GRAPH]
Corporate Bonds and Notes 50.4%
Mortgage-Backed Securities 41.9%
Other 7.7%
Quality Breakdown:*
[GRAPH]
AAA 42.7%
AA 3.9%
A 17.9%
BBB 29.7%
BB 5.8%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
<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 4.46% 4.34% 3.85% 3.71%
1 Year 6.20% 5.94% 5.79% 5.73%
3 Years* 5.60% -- 5.64% 5.05%
Since Inception* 5.90% 4.73% -- --
</TABLE>
* Annualized
[GRAPH]
Merrill Lynch
Low Duration 1-3 Year Treasury
Month Fund III Index
12/31/1996 5,000,000 5,000,000
01/31/1997 5,019,544 5,023,450
02/28/1997 5,044,724 5,035,003
03/31/1997 5,028,885 5,033,040
04/30/1997 5,074,774 5,074,160
05/31/1997 5,116,879 5,108,766
06/30/1997 5,156,800 5,143,965
07/31/1997 5,193,007 5,200,497
08/31/1997 5,219,920 5,205,281
09/30/1997 5,260,771 5,244,790
10/31/1997 5,310,323 5,283,758
11/30/1997 5,313,692 5,296,598
12/31/1997 5,355,776 5,332,774
01/31/1998 5,393,985 5,384,555
02/28/1998 5,402,862 5,389,186
03/31/1998 5,427,616 5,411,120
04/30/1998 5,458,772 5,436,444
05/31/1998 5,490,624 5,465,421
06/30/1998 5,503,181 5,493,840
07/31/1998 5,527,294 5,519,552
08/31/1998 5,543,567 5,588,932
09/30/1998 5,649,590 5,662,986
10/31/1998 5,656,322 5,690,791
11/30/1998 5,694,733 5,685,840
12/31/1998 5,712,097 5,705,912
01/31/1999 5,732,230 5,728,507
02/28/1999 5,719,966 5,700,552
03/31/1999 5,758,729 5,740,171
04/30/1999 5,794,632 5,758,654
05/31/1999 5,786,934 5,754,968
06/30/1999 5,775,306 5,772,924
07/31/1999 5,775,192 5,791,224
08/31/1999 5,779,894 5,807,961
09/30/1999 5,833,335 5,845,712
10/31/1999 5,851,977 5,861,262
11/30/1999 5,870,819 5,872,339
12/31/1999 5,868,064 5,880,737
01/31/2000 5,860,600 5,878,562
02/29/2000 5,890,024 5,917,713
03/31/2000 5,930,458 5,954,402
04/30/2000 5,948,746 5,969,883
05/31/2000 5,969,290 5,994,419
06/30/2000 6,042,394 6,056,642
07/31/2000 6,085,896 6,094,920
08/31/2000 6,140,202 6,139,839
09/30/2000 6,195,214 6,183,923
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 invest-
ment of $5,000,000 on 12/31/1996, the Fund's Institutional Class inception date,
compared to the Merrill Lynch 1-3 Year Treasury Index, an unmanaged market
index. The performance of the Administrative Class (shown above) reflects the
payment of a service fee in an amount not to exceed 0.25% on an annualized
basis. The Administrative Class commenced operations on 3/19/1999. The Fund may
invest in foreign securities which involve potentially higher risks including
foreign currency fluctuations and political or economic uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Low Duration Fund III Institutional Class shares returned 4.46% for the
six months ended September 30, 2000, outperforming the benchmark Merrill
Lynch 1-3 Year Treasury Index return of 3.85%.
. The Fund maintained a near-Index duration throughout the period, which had
a neutral impact on performance.
. Our broader-than-Index maturity distribution had a positive impact on
performance as intermediate maturity rates fell the most.
. An allocation to mortgage-backed securities was positive for performance as
mortgages outperformed.
. The Fund's investment-grade corporate holdings enhanced performance as
investors sought wide yield premiums for short maturities.
. Below-investment-grade holdings were slightly negative as the sector was
hurt by rising defaults and an increasing risk premium.H
. Strategies based on the rise in the euro detracted from returns as the
currency depreciated.
2000 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 money market instruments and short maturity fixed income securities
Duration:
0.4 years
Total Net Assets:
$690.9 million
Sector Breakdown:*
[GRAPH]
Corporate Bonds and Notes 51.9%
Mortgage-Backed Securities 18.7%
U.S. Government Agencies 8.3%
Asset-Backed Securities 8.2%
Short-Term Instruments 6.4%
Other 6.5%
Quality Breakdown:*
[GRAPH]
AAA 39.8%
AA 11.0%
A 16.6%
BBB 29.3%
BB 2.9%
B 0.4%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
<TABLE>
<CAPTION>
Salomon Lipper Ultra Short
Inst'l Class Admin. Class 3-Month Treasury Obligation
(Incep. 10/07/1987) (Incep. 2/01/1996) Bill Index Fund Average
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
6 Months 3.44% 3.31% 2.94% 3.32%
1 Year 6.55% 6.27% 5.62% 6.02%
3 Years* 5.80% 5.54% 5.15% 5.37%
5 Years* 6.45% -- 5.21% 5.61%
10 Years* 5.89% -- 4.89% 5.47%
Since Inception* 6.45% 5.96% -- --
</TABLE>
* Annualized
[GRAPH]
Salomon 3-Month
Short-Term Treasury Bill
Month Fund Index
10/31/1987 5,000,000 5,000,000
11/30/1987 5,029,461 5,025,505
12/31/1987 5,060,119 5,049,416
01/31/1988 5,094,787 5,074,145
02/29/1988 5,116,116 5,096,972
03/31/1988 5,144,560 5,121,946
04/30/1988 5,173,186 5,147,043
05/31/1988 5,202,593 5,173,283
06/30/1988 5,232,291 5,200,710
07/31/1988 5,259,411 5,229,832
08/31/1988 5,293,423 5,260,160
09/30/1988 5,328,409 5,291,715
10/31/1988 5,375,276 5,323,984
11/30/1988 5,411,635 5,357,521
12/31/1988 5,443,779 5,392,345
01/31/1989 5,483,420 5,429,009
02/28/1989 5,522,499 5,467,021
03/31/1989 5,571,029 5,506,382
04/30/1989 5,613,569 5,547,685
05/31/1989 5,665,094 5,589,294
06/30/1989 5,708,266 5,628,410
07/31/1989 5,756,794 5,667,812
08/31/1989 5,788,039 5,706,356
09/30/1989 5,828,328 5,743,449
10/31/1989 5,883,335 5,782,504
11/30/1989 5,922,983 5,820,087
12/31/1989 5,957,698 5,858,508
01/31/1990 5,987,232 5,897,174
02/28/1990 6,024,238 5,932,550
03/31/1990 6,064,842 5,972,300
04/30/1990 6,090,417 6,011,109
05/31/1990 6,148,665 6,051,983
06/30/1990 6,189,318 6,091,324
07/31/1990 6,232,885 6,131,523
08/31/1990 6,267,095 6,171,375
09/30/1990 6,309,632 6,209,019
10/31/1990 6,358,334 6,247,522
11/30/1990 6,409,912 6,284,390
12/31/1990 6,462,141 6,325,239
01/31/1991 6,509,418 6,361,294
02/28/1991 6,545,494 6,392,464
03/31/1991 6,576,473 6,425,704
04/30/1991 6,618,103 6,456,547
05/31/1991 6,656,338 6,487,540
06/30/1991 6,682,104 6,517,381
07/31/1991 6,722,727 6,548,666
08/31/1991 6,766,617 6,579,444
09/30/1991 6,804,471 6,608,395
10/31/1991 6,844,965 6,637,470
11/30/1991 6,862,973 6,664,021
12/31/1991 6,892,228 6,688,678
01/31/1992 6,919,339 6,712,089
02/29/1992 6,934,403 6,732,895
03/31/1992 6,948,634 6,755,787
04/30/1992 6,979,006 6,777,407
05/31/1992 7,001,946 6,799,771
06/30/1992 7,031,099 6,820,171
07/31/1992 7,061,296 6,840,632
08/31/1992 7,080,606 6,859,785
09/30/1992 7,100,505 6,876,934
10/31/1992 7,109,622 6,894,125
11/30/1992 7,119,728 6,911,360
12/31/1992 7,142,089 6,930,020
01/31/1993 7,167,580 6,948,732
02/28/1993 7,187,715 6,964,714
03/31/1993 7,222,352 6,982,126
04/30/1993 7,248,666 6,998,882
05/31/1993 7,279,042 7,016,380
06/30/1993 7,309,491 7,033,921
07/31/1993 7,337,521 7,052,210
08/31/1993 7,358,333 7,070,546
09/30/1993 7,378,551 7,088,221
10/31/1993 7,406,168 7,106,651
11/30/1993 7,435,531 7,124,417
12/31/1993 7,472,268 7,142,941
01/31/1994 7,487,037 7,161,512
02/28/1994 7,497,133 7,178,699
03/31/1994 7,486,772 7,198,799
04/30/1994 7,500,714 7,220,394
05/31/1994 7,507,684 7,244,222
06/30/1994 7,544,131 7,268,852
07/31/1994 7,581,551 7,295,019
08/31/1994 7,613,244 7,322,010
09/30/1994 7,623,522 7,349,101
10/31/1994 7,645,459 7,379,233
11/30/1994 7,653,660 7,410,225
12/31/1994 7,688,576 7,444,312
01/31/1995 7,728,764 7,478,556
02/28/1995 7,801,580 7,511,461
03/31/1995 7,820,739 7,548,268
04/30/1995 7,906,502 7,584,500
05/31/1995 7,988,187 7,621,664
06/30/1995 8,016,388 7,657,486
07/31/1995 8,066,833 7,694,241
08/31/1995 8,106,191 7,730,404
09/30/1995 8,183,875 7,765,192
10/31/1995 8,244,808 7,800,911
11/30/1995 8,323,417 7,835,235
12/31/1995 8,396,279 7,871,277
01/31/1996 8,438,474 7,906,698
02/29/1996 8,455,531 7,939,115
03/31/1996 8,484,975 7,972,459
04/30/1996 8,526,887 8,005,146
05/31/1996 8,573,734 8,039,568
06/30/1996 8,622,971 8,073,335
07/31/1996 8,649,616 8,108,049
08/31/1996 8,706,604 8,143,726
09/30/1996 8,792,582 8,178,744
10/31/1996 8,865,196 8,214,729
11/30/1996 8,947,374 8,249,233
12/31/1996 8,984,288 8,284,703
01/31/1997 9,039,631 8,320,328
02/28/1997 9,081,953 8,352,778
03/31/1997 9,089,081 8,389,529
04/30/1997 9,142,882 8,425,604
05/31/1997 9,211,364 8,462,676
06/30/1997 9,273,987 8,498,220
07/31/1997 9,348,891 8,534,763
08/31/1997 9,379,554 8,571,461
09/30/1997 9,444,784 8,607,463
10/31/1997 9,469,319 8,645,334
11/30/1997 9,513,992 8,681,646
12/31/1997 9,569,434 8,718,978
01/31/1998 9,628,194 8,757,342
02/28/1998 9,663,998 8,792,371
03/31/1998 9,730,989 8,831,057
04/30/1998 9,777,926 8,868,142
05/31/1998 9,824,621 8,906,281
06/30/1998 9,860,451 8,942,797
07/31/1998 9,921,920 8,980,356
08/31/1998 9,927,830 9,018,971
09/30/1998 9,996,273 9,055,950
10/31/1998 10,036,673 9,092,174
11/30/1998 10,073,050 9,125,815
12/31/1998 10,118,477 9,159,581
01/31/1999 10,160,402 9,193,471
02/28/1999 10,203,832 9,224,729
03/31/1999 10,278,911 9,259,782
04/30/1999 10,329,119 9,294,044
05/31/1999 10,333,674 9,329,361
06/30/1999 10,372,627 9,363,879
07/31/1999 10,411,216 9,400,399
08/31/1999 10,447,798 9,438,001
09/30/1999 10,497,169 9,474,808
10/31/1999 10,550,411 9,513,656
11/30/1999 10,602,935 9,551,709
12/31/1999 10,648,527 9,592,783
01/31/2000 10,677,925 9,634,991
02/29/2000 10,740,147 9,676,420
03/31/2000 10,812,389 9,721,898
04/30/2000 10,854,585 9,767,591
05/31/2000 10,916,030 9,815,452
06/30/2000 10,985,938 9,861,584
07/31/2000 11,045,435 9,908,919
08/31/2000 11,117,564 9,957,968
09/30/2000 11,184,834 10,007,758
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 11/01/1987, the first full month following the
Fund's Institutional Class inception on 10/07/1987, compared to the Salomon
3-Month Treasury Bill Index, an unmanaged market index. Whereas money market
funds attempt to maintain a stable share price, the Short-Term Fund's share
price will fluctuate in response to market conditions. The performance of the
Administrative Class (shown above) reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 2/01/1996. The Fund may invest in foreign securities
which involve potentially higher risks including foreign currency fluctuations
and political or economic uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Short-Term Fund Institutional Class shares returned 3.44% for the six
months ended September 30, 2000, outperforming the Salomon 3-Month Treasury
Bill Index return of 2.94%.
. An above-Index duration detracted from returns as short-term Treasury
interest rates rose over the period.
. An allocation to mortgage-backed securities was positive for performance as
mortgages outperformed due to relatively high yields and low market
volatility.
. The Fund's investment-grade corporate holdings enhanced performance as
investors sought the relatively wide yield premiums for short maturity
corporate securities.
. Below-investment-grade holdings were slightly negative as the sector was
hurt by rising defaults and an increasing risk premium.
. Emerging market bonds helped returns as yield premiums narrowed due to
stronger economies and debt restructuring.
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:
47.5 days
Total Net Assets:
$355.3 million
Sector Breakdown:*
[GRAPH]
Short-Term Instruments 58.3%
Corporate Bonds and Notes 41.7%
Quality Breakdown:*
[GRAPH]
AAA 38.3%
AA 59.5%
A 2.2%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
<TABLE>
<CAPTION>
Lipper Inst'l
Inst'l Class Admin. Class Salomon 3-Month Money Market
(Incep. 3/01/1991) (Incep. 1/24//1995) Treasury Bill Index Fund Average
-------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
7 Day Yield* 6.34% 6.08% -- --
6 Months 3.08% 2.96% 2.94% 3.09%
1 Year 5.94% 5.70% 5.62% 5.89%
3 Years* 5.39% 5.17% 5.15% 5.40%
5 Years* 5.43% 5.19% 5.21% 5.38%
Since Inception* 4.84% 5.24% -- --
</TABLE>
* Annualized
[GRAPH]
Salomon 3-Month
Money Market Treasury Bill
Month Fund Index
02/28/1991 5,000,000 5,000,000
03/31/1991 5,025,170 5,026,000
04/30/1991 5,050,085 5,050,124
05/31/1991 5,075,810 5,074,366
06/30/1991 5,098,544 5,097,707
07/31/1991 5,122,151 5,122,177
08/31/1991 5,146,158 5,146,250
09/30/1991 5,168,071 5,168,895
10/31/1991 5,189,068 5,191,637
11/30/1991 5,209,752 5,212,405
12/31/1991 5,235,296 5,231,691
01/31/1992 5,253,666 5,250,001
02/29/1992 5,269,348 5,266,276
03/31/1992 5,286,316 5,284,181
04/30/1992 5,302,529 5,301,091
05/31/1992 5,318,495 5,318,584
06/30/1992 5,333,833 5,334,540
07/31/1992 5,349,339 5,350,544
08/31/1992 5,362,691 5,365,525
09/30/1992 5,375,416 5,378,938
10/31/1992 5,388,548 5,392,385
11/30/1992 5,400,824 5,405,865
12/31/1992 5,415,417 5,420,461
01/31/1993 5,427,493 5,435,097
02/28/1993 5,439,092 5,447,597
03/31/1993 5,452,504 5,461,217
04/30/1993 5,464,658 5,474,323
05/31/1993 5,475,877 5,488,009
06/30/1993 5,489,090 5,501,729
07/31/1993 5,501,737 5,516,034
08/31/1993 5,515,161 5,530,376
09/30/1993 5,527,714 5,544,202
10/31/1993 5,541,036 5,558,617
11/30/1993 5,554,511 5,572,513
12/31/1993 5,567,081 5,587,002
01/31/1994 5,580,537 5,601,527
02/28/1994 5,592,446 5,614,971
03/31/1994 5,606,276 5,630,692
04/30/1994 5,620,505 5,647,583
05/31/1994 5,637,321 5,666,220
06/30/1994 5,654,814 5,685,485
07/31/1994 5,672,813 5,705,953
08/31/1994 5,694,234 5,727,064
09/30/1994 5,714,049 5,748,254
10/31/1994 5,736,363 5,771,822
11/30/1994 5,759,664 5,796,064
12/31/1994 5,785,415 5,822,725
01/31/1995 5,813,735 5,849,510
02/28/1995 5,839,234 5,875,247
03/31/1995 5,867,023 5,904,036
04/30/1995 5,892,850 5,932,376
05/31/1995 5,923,104 5,961,445
06/30/1995 5,950,960 5,989,464
07/31/1995 5,979,025 6,018,213
08/31/1995 6,006,869 6,046,498
09/30/1995 6,032,542 6,073,708
10/31/1995 6,061,076 6,101,647
11/30/1995 6,105,719 6,128,494
12/31/1995 6,136,175 6,156,685
01/31/1996 6,164,350 6,184,390
02/29/1996 6,191,072 6,209,746
03/31/1996 6,217,237 6,235,827
04/30/1996 6,244,019 6,261,393
05/31/1996 6,273,132 6,288,317
06/30/1996 6,297,220 6,314,729
07/31/1996 6,324,461 6,341,881
08/31/1996 6,354,570 6,369,786
09/30/1996 6,379,780 6,397,177
10/31/1996 6,406,912 6,425,323
11/30/1996 6,433,601 6,452,311
12/31/1996 6,460,353 6,480,054
01/31/1997 6,488,472 6,507,920
02/28/1997 6,513,657 6,533,301
03/31/1997 6,539,911 6,562,047
04/30/1997 6,567,988 6,590,263
05/31/1997 6,598,555 6,619,260
06/30/1997 6,626,256 6,647,062
07/31/1997 6,655,217 6,675,644
08/31/1997 6,686,098 6,704,349
09/30/1997 6,714,110 6,732,508
10/31/1997 6,746,003 6,762,130
11/30/1997 6,773,457 6,790,532
12/31/1997 6,805,247 6,819,732
01/31/1998 6,836,094 6,849,739
02/28/1998 6,863,584 6,877,138
03/31/1998 6,893,016 6,907,397
04/30/1998 6,922,674 6,936,404
05/31/1998 6,953,532 6,966,235
06/30/1998 6,983,538 6,994,797
07/31/1998 7,016,569 7,024,175
08/31/1998 7,045,979 7,054,378
09/30/1998 7,076,192 7,083,302
10/31/1998 7,107,700 7,111,635
11/30/1998 7,136,327 7,137,948
12/31/1998 7,168,594 7,164,359
01/31/1999 7,194,413 7,190,867
02/28/1999 7,219,300 7,215,316
03/31/1999 7,247,024 7,242,733
04/30/1999 7,276,038 7,269,532
05/31/1999 7,301,880 7,297,156
06/30/1999 7,329,104 7,324,155
07/31/1999 7,359,334 7,352,720
08/31/1999 7,388,408 7,382,131
09/30/1999 7,418,652 7,410,920
10/31/1999 7,450,747 7,441,306
11/30/1999 7,482,278 7,471,070
12/31/1999 7,519,731 7,503,197
01/31/2000 7,552,712 7,536,211
02/29/2000 7,586,023 7,568,616
03/31/2000 7,624,519 7,604,187
04/30/2000 7,657,193 7,639,927
05/31/2000 7,694,457 7,677,362
06/30/2000 7,736,374 7,713,445
07/31/2000 7,775,004 7,750,470
08/31/2000 7,817,526 7,788,834
09/30/2000 7,859,326 7,827,778
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. The performance of the Administrative Class (shown above) reflects the
payment of a service fee in an amount not to exceed 0.25% on an annualized
basis. The Administrative Class commenced operations on 1/24/1995. An investment
in the Money Market Fund is neither insured nor guaranteed by the Federal
Deposit Insurance Corporation or any other U.S. Government agency. Although the
fund seeks to preserve the value of your investment at $1.00 per share, it is
possible to lose money by investing in the fund. If there is a material
difference between the quoted total return and the quoted current yield, the
yield quotation more closely reflects the current earnings of the Money Market
Fund than the total return quotation.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Money Market Fund Institutional Class shares returned 3.08% for the six
months ended September 30, 2000, outperforming the Salomon 3-Month Treasury
Bill Index return of 2.94%.
. 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.
. Three-month U.S. Treasury rates rose by 0.32% for the six months ended
September 30, 2000.
. The use of high quality commercial paper as well as corporate and agency
notes added to returns.
. The SEC 7-day and 30-day yields for the Fund were 6.34% and 6.48%,
respectively as of September 30, 2000.
2000 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 long-term maturity fixed income securities
Duration:
10.9 years
Total Net Assets:
$370.3 million
Sector Breakdown:*
[GRAPH]
U.S. Treasury Obligations 41.6%
Mortgage-Backed Securities 40.2%
U.S. Government Agencies 8.6%
Other 9.6%
Quality Breakdown:*
[GRAPH]
AAA 92.4%
AA 3.4%
A 2.4%
BBB 1.8%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
<TABLE>
<CAPTION>
Lehman Lipper General
Inst'l Class Admin. Class Long-Term U.S. Government
(Incep. 7/01/1991) (Incep. 9/23/1997) Treasury Index Fund Average
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
6 Months 4.89% 4.76% 3.80% 4.14%
1 Year 9.37% 9.09% 9.81% 6.12%
3 Years* 7.30% 7.02% 7.36% 4.93%
5 Years* 7.74% -- 7.47% 5.37%
Since Inception* 10.79% 6.93% -- --
</TABLE>
* Annualized
[GRAPH]
Long-Term
U.S. Government Lehman Long-Term
Month Fund Treasury Index
06/30/1991 5,000,000 5,000,000
07/31/1991 5,068,858 5,074,501
08/31/1991 5,265,511 5,249,571
09/30/1991 5,442,627 5,414,932
10/31/1991 5,470,292 5,426,845
11/30/1991 5,543,810 5,457,236
12/31/1991 5,909,199 5,782,486
01/31/1992 5,742,566 5,600,917
02/29/1992 5,771,828 5,633,962
03/31/1992 5,753,678 5,571,988
04/30/1992 5,725,465 5,566,416
05/31/1992 5,930,074 5,721,163
06/30/1992 6,016,162 5,804,119
07/31/1992 6,300,744 6,045,570
08/31/1992 6,427,326 6,087,285
09/30/1992 6,540,767 6,183,464
10/31/1992 6,378,211 6,053,611
11/30/1992 6,445,336 6,076,615
12/31/1992 6,614,191 6,243,115
01/31/1993 6,790,743 6,421,044
02/28/1993 7,063,398 6,635,507
03/31/1993 7,101,318 6,652,095
04/30/1993 7,156,851 6,703,316
05/31/1993 7,184,508 6,725,437
06/30/1993 7,540,954 7,009,924
07/31/1993 7,650,608 7,122,783
08/31/1993 7,942,707 7,409,119
09/30/1993 7,968,888 7,435,051
10/31/1993 8,009,725 7,488,582
11/30/1993 7,792,708 7,296,874
12/31/1993 7,842,784 7,320,224
01/31/1994 8,022,521 7,495,910
02/28/1994 7,708,576 7,188,578
03/31/1994 7,394,709 6,873,000
04/30/1994 7,268,749 6,791,898
05/31/1994 7,246,140 6,747,072
06/30/1994 7,204,478 6,682,974
07/31/1994 7,383,601 6,909,528
08/31/1994 7,399,922 6,858,397
09/30/1994 7,169,097 6,642,358
10/31/1994 7,122,283 6,619,109
11/30/1994 7,100,894 6,658,162
12/31/1994 7,263,266 6,760,697
01/31/1995 7,453,074 6,934,447
02/28/1995 7,711,268 7,131,386
03/31/1995 7,801,463 7,192,715
04/30/1995 7,935,436 7,320,745
05/31/1995 8,543,447 7,882,247
06/30/1995 8,641,206 7,973,681
07/31/1995 8,492,085 7,846,101
08/31/1995 8,683,920 8,020,286
09/30/1995 8,871,163 8,167,858
10/31/1995 9,089,923 8,396,559
11/30/1995 9,313,423 8,606,473
12/31/1995 9,556,575 8,835,405
01/31/1996 9,571,589 8,835,405
02/29/1996 9,125,878 8,408,654
03/31/1996 8,958,506 8,241,322
04/30/1996 8,759,744 8,103,692
05/31/1996 8,771,139 8,061,553
06/30/1996 8,947,395 8,233,264
07/31/1996 8,918,333 8,236,557
08/31/1996 8,856,612 8,133,600
09/30/1996 9,102,968 8,358,088
10/31/1996 9,493,678 8,686,561
11/30/1996 9,851,090 8,976,691
12/31/1996 9,624,385 8,758,559
01/31/1997 9,576,361 8,696,373
02/28/1997 9,598,405 8,699,851
03/31/1997 9,359,770 8,477,135
04/30/1997 9,570,437 8,681,434
05/31/1997 9,684,481 8,778,666
06/30/1997 9,875,451 8,948,094
07/31/1997 10,424,177 9,473,347
08/31/1997 10,161,918 9,209,988
09/30/1997 10,427,124 9,463,263
10/31/1997 10,781,870 9,782,175
11/30/1997 10,884,053 9,912,278
12/31/1997 11,070,318 10,078,804
01/31/1998 11,276,193 10,283,404
02/28/1998 11,199,620 10,209,364
03/31/1998 11,253,545 10,230,803
04/30/1998 11,318,487 10,268,657
05/31/1998 11,539,028 10,464,788
06/30/1998 11,809,161 10,707,571
07/31/1998 11,801,731 10,662,600
08/31/1998 12,300,067 11,143,483
09/30/1998 12,791,270 11,551,334
10/31/1998 12,445,690 11,376,910
11/30/1998 12,490,607 11,464,511
12/31/1998 12,554,165 11,440,436
01/31/1999 12,649,540 11,543,400
02/28/1999 12,075,837 10,975,465
03/31/1999 12,126,451 10,950,221
04/30/1999 12,144,805 10,965,551
05/31/1999 11,926,288 10,793,392
06/30/1999 11,815,966 10,678,982
07/31/1999 11,748,078 10,627,723
08/31/1999 11,657,161 10,586,275
09/30/1999 11,776,658 10,664,613
10/31/1999 11,801,615 10,671,012
11/30/1999 11,726,960 10,598,449
12/31/1999 11,551,451 10,440,533
01/31/2000 11,604,071 10,589,832
02/29/2000 11,954,949 10,909,645
03/31/2000 12,278,865 11,282,755
04/30/2000 12,210,344 11,192,492
05/31/2000 12,145,217 11,152,200
06/30/2000 12,518,123 11,394,202
07/31/2000 12,744,020 11,590,183
08/31/2000 13,030,399 11,854,439
09/30/2000 12,879,831 11,711,000
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 7/01/1991, the Fund's Institutional Class inception
date, compared to the Lehman Long-Term Treasury Index, an unmanaged market
index. The performance of the Administrative Class (shown above) reflects the
payment of a service fee in an amount not to exceed 0.25% on an annual basis.
The Administrative Class commenced operations on 9/23/1997.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Long-Term U.S. Government Fund Institutional Class shares had a total
return of 4.89% versus 3.80% for the Lehman Long-Term Treasury Index for
the six months ended September 30, 2000.
. The Fund's duration was near that of the benchmark, which was neutral for
performance.
. Emphasizing mortgage securities added to returns due to high yields and
narrowing spreads relative to Treasuries.
. Premium income generated from written options aided relative performance.
. Real return bonds added modestly to relative returns due to a favorable
inflation adjustment.
. A modest position in municipal bonds aided returns; municipals outpaced
Treasuries as high tax-adjusted yields attracted strong retail demand.
14 PIMCO Funds
<PAGE>
PIMCO Investment Grade
Corporate Bond Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management
Portfolio:
Primarily corporate fixed income securities
Duration:
5.5 years
Total Net Assets:
$5.3 million
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Sector Breakdown:*
[GRAPH]
Corporate Bonds and Notes 88.2%
Other 11.8%
Quality Breakdown:*
[GRAPH]
AAA 8.7%
AA 6.8%
A 22.6%
BBB 54.0%
BB 7.9%
*% of Total Investments as of September 30, 2000
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 Fund commenced operations on
4/28/2000. The total return performance since inception was 5.95%. The Fund may
invest in foreign securities which involve potentially higher risks including
foreign currency fluctuations and political or economic uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Investment Grade Corporate Bond Fund returned 3.30% for the three-month
period ended September 30, 2000, compared to 3.07% for the benchmark Lehman
Corporate Investment Grade Index, an unmanaged market index.
. An above-benchmark duration had a positive impact on returns during the
quarter as intermediate rates fell.
. Underweighting consumer cyclicals added to returns as excess capacity and
reduced demand caused this sector to underperform.
. An overweight to transportation-related companies, especially Equipment
Trust Certificates (ETCs), boosted returns as strong demand more than offset
higher oil prices.
. An allocation to high yield bonds was negative amid concern about credit
weakness in the sector as growth began to slow.
. A small allocation to mortgage-backed securities was neutral as they
performed similarly to corporates.
2000 Semi-Annual Report 15
<PAGE>
PIMCO High Yield Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management
Portfolio:
Primarily higher yielding fixed income securities
Duration:
3.7 years
Total Net Assets:
$3.1 billion
Sector Breakdown:*
[GRAPH]
Corporate Bonds and Notes 76.3%
Short-Term Instruments 9.4%
Asset-Backed Securities 6.3%
Other 8.0%
Quality Breakdown:*
[GRAPH]
AAA 3.2%
AA 2.2%
A 0.6%
BBB 19.2%
BB 39.8%
B 35.0%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
<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 3.61% 3.49% 5.34% -1.14%
1 Year 3.17% 2.92% 5.31% -0.02%
3 Years* 4.31% 4.05% 4.58% 0.49%
5 Years* 7.95% 7.69% 7.19% 5.49%
Since Inception* 9.77% 9.35% -- --
</TABLE>
* Annualized
[GRAPH]
Lehman Intermediate
High Yield BB rated
Month Fund Corporate Index
12/31/1992 5,000,000 5,000,000
01/31/1993 5,113,886 5,105,500
02/28/1993 5,208,126 5,180,551
03/31/1993 5,313,333 5,239,092
04/30/1993 5,369,686 5,283,100
05/31/1993 5,409,077 5,322,195
06/30/1993 5,556,254 5,435,026
07/31/1993 5,595,567 5,489,919
08/31/1993 5,658,345 5,553,602
09/30/1993 5,686,689 5,594,144
10/31/1993 5,839,376 5,669,106
11/30/1993 5,884,380 5,683,845
12/31/1993 5,935,129 5,732,726
01/31/1994 6,061,596 5,828,463
02/28/1994 6,060,370 5,822,051
03/31/1994 5,879,246 5,643,896
04/30/1994 5,828,068 5,610,598
05/31/1994 5,870,524 5,615,648
06/30/1994 5,878,587 5,632,494
07/31/1994 5,934,013 5,701,210
08/31/1994 5,984,086 5,761,643
09/30/1994 6,025,467 5,772,015
10/31/1994 6,028,706 5,785,289
11/30/1994 6,004,787 5,745,950
12/31/1994 6,077,394 5,781,575
01/31/1995 6,137,436 5,874,658
02/28/1995 6,305,367 6,053,248
03/31/1995 6,397,464 6,110,148
04/30/1995 6,537,390 6,232,351
05/31/1995 6,727,023 6,415,582
06/30/1995 6,781,902 6,472,039
07/31/1995 6,872,762 6,530,935
08/31/1995 6,925,387 6,568,814
09/30/1995 7,022,543 6,639,758
10/31/1995 7,125,446 6,692,211
11/30/1995 7,212,331 6,776,533
12/31/1995 7,334,202 6,883,602
01/31/1996 7,453,084 6,995,117
02/29/1996 7,460,951 6,969,934
03/31/1996 7,402,000 6,933,691
04/30/1996 7,434,433 6,930,917
05/31/1996 7,459,688 6,940,621
06/30/1996 7,490,201 7,015,579
07/31/1996 7,557,060 7,053,463
08/31/1996 7,680,144 7,110,596
09/30/1996 7,858,765 7,263,475
10/31/1996 7,937,607 7,364,437
11/30/1996 8,110,110 7,513,198
12/31/1996 8,191,022 7,529,728
01/31/1997 8,275,049 7,601,259
02/28/1997 8,402,615 7,693,234
03/31/1997 8,292,841 7,601,685
04/30/1997 8,381,534 7,695,946
05/31/1997 8,572,658 7,827,547
06/30/1997 8,699,809 7,928,522
07/31/1997 8,924,236 8,164,792
08/31/1997 8,921,803 8,087,226
09/30/1997 9,072,091 8,214,195
10/31/1997 9,081,530 8,242,125
11/30/1997 9,168,890 8,299,819
12/31/1997 9,273,057 8,376,177
01/31/1998 9,432,639 8,476,692
02/28/1998 9,483,456 8,515,684
03/31/1998 9,557,939 8,570,184
04/30/1998 9,581,967 8,613,893
05/31/1998 9,631,622 8,669,883
06/30/1998 9,702,825 8,722,769
07/31/1998 9,806,262 8,768,128
08/31/1998 9,412,663 8,526,128
09/30/1998 9,532,027 8,706,882
10/31/1998 9,438,479 8,595,433
11/30/1998 9,836,791 8,801,724
12/31/1998 9,879,676 8,857,175
01/31/1999 10,010,006 8,948,403
02/28/1999 9,927,890 8,882,185
03/31/1999 10,010,332 8,946,137
04/30/1999 10,178,603 9,037,387
05/31/1999 9,984,753 8,928,036
06/30/1999 9,982,745 8,907,501
07/31/1999 10,010,514 8,941,350
08/31/1999 9,972,088 8,885,018
09/30/1999 9,978,381 8,921,448
10/31/1999 9,966,545 8,891,114
11/30/1999 10,104,777 8,966,688
12/31/1999 10,158,157 9,051,872
01/31/2000 10,112,740 8,987,604
02/29/2000 10,137,614 9,004,680
03/31/2000 9,935,905 8,919,136
04/30/2000 9,958,025 8,949,460
05/31/2000 9,908,672 8,953,039
06/30/2000 10,098,829 9,146,423
07/31/2000 10,178,729 9,298,253
08/31/2000 10,325,854 9,441,446
09/30/2000 10,294,967 9,395,182
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 Fund may invest in foreign securities
which involve potentially higher risks including foreign currency fluctuations
and political or economic uncertainty. The investments made by the High Yield
Fund may involve high risk and may have speculative characteristics.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The High Yield Fund Institutional Class shares returned 3.61% for the
semi-annual period ended September 30, 2000, compared to 5.34% for the
Lehman Intermediate BB rated Corporate Index.
. The Fund's exposure to B rated issues detracted from performance as B rated
issues significantly underperformed BBs.
. A focus on non-cyclical companies such as healthcare and utilities added to
performance as the U.S economy began to show signs of a slowdown in growth.
. Avoiding retail, restaurants and supermarket issues boosted relative
performance as these sectors were adversely affected by excess capacity and
a reduction in consumer demand.
. A strong underweight to technology and telecom start-up companies was a
positive due their poor performance driven by weak earnings.
. Limited exposure to high quality emerging market credits helped returns as
these issues performed well due to increased growth prospects for many of
these countries.
16 PIMCO Funds
<PAGE>
PIMCO Total Return Mortgage Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management
Portfolio:
Primarily intermediate maturity mortgage-related fixed income securities
Duration:
4.2 years
Total Net Assets:
$16.3 million
Sector Breakdown:*
[GRAPH]
Mortgage-Backed Securities 85.0%
Short-Term Instruments 12.9%
Other 2.1%
Quality Breakdown:*
[GRAPH]
AAA 90.4%
AA 2.9%
BBB 6.7%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Inst'l Class Lehman Brothers Lipper U.S. Mortgage
(Incep. 7/31/1997) Mortgage Index Fund Average
--------------------------------------------------------------------------------
6 Months 5.27% 5.55% 4.76%
1 Year 8.47% 7.42% 6.47%
3 Years* 6.84% 6.07% 5.18%
Since Inception* 7.05% -- --
*Annualized
[GRAPH]
Total Return Lehman Brothers
Mortgage Mortgage
Month Fund Index
07/31/1997 5,000,000 5,000,000
08/31/1997 5,005,044 4,988,118
09/30/1997 5,084,467 5,051,382
10/31/1997 5,160,309 5,107,387
11/30/1997 5,184,726 5,124,151
12/31/1997 5,246,122 5,170,844
01/31/1998 5,304,038 5,222,289
02/28/1998 5,314,354 5,233,336
03/31/1998 5,334,652 5,255,495
04/30/1998 5,371,139 5,285,232
05/31/1998 5,417,855 5,320,364
06/30/1998 5,453,983 5,345,733
07/31/1998 5,476,124 5,372,837
08/31/1998 5,542,715 5,421,585
09/30/1998 5,605,738 5,487,033
10/31/1998 5,584,293 5,479,968
11/30/1998 5,609,572 5,507,264
12/31/1998 5,625,826 5,530,643
01/31/1999 5,660,727 5,570,014
02/28/1999 5,631,600 5,547,984
03/31/1999 5,669,090 5,585,236
04/30/1999 5,697,656 5,610,991
05/31/1999 5,667,354 5,579,648
06/30/1999 5,661,901 5,559,994
07/31/1999 5,641,744 5,522,293
08/31/1999 5,639,123 5,522,100
09/30/1999 5,717,073 5,611,697
10/31/1999 5,745,364 5,644,003
11/30/1999 5,773,781 5,647,086
12/31/1999 5,762,288 5,633,277
01/31/2000 5,725,332 5,584,465
02/29/2000 5,812,378 5,649,206
03/31/2000 5,890,936 5,710,992
04/30/2000 5,871,241 5,714,910
05/31/2000 5,868,917 5,717,543
06/30/2000 5,978,903 5,839,767
07/31/2000 6,038,508 5,877,275
08/31/2000 6,138,873 5,966,358
09/30/2000 6,201,183 6,028,208
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 7/31/1997, the Fund's Institutional Class inception
date, compared to the Lehman Brothers Mortgage Index, an unmanaged market index.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The PIMCO Total Return Mortgage Fund underperformed the Lehman Brothers
Mortgage Index for the six-month period ended September 30, 2000, returning
5.27% versus 5.55% for the Index.
. Year-to-date, however, the Fund has outperformed the Index by 0.61%.
. The Fund's slightly lower-than-Index duration had a negative impact on
performance relative to the benchmark as intermediate rates fell.
. A broader-than-Index maturity distribution hurt returns as issues with long
maturity dates significantly underperformed issues with short maturity
dates.
. The Fund's use of Adjustable Rate Mortgages (ARMs) helped performance as
they enjoyed high yields and strong investor demand.
2000 Semi-Annual Report 17
<PAGE>
PIMCO GNMA Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management
Portfolio:
Primarily short and intermediate maturity mortgage-related fixed income
securities issued by the Government National Mortgage Association
Duration:
1.5 years
Total Net Assets:
$8.0 million
Sector Breakdown:*
[GRAPH]
Mortgage-Backed Securities 90.8%
Short-Term Instruments 5.7%
Other 3.5%
Quality Breakdown:*
[GRAPH]
AAA 94.1%
AA 5.9%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Inst'l Class Merrill Lynch 1-3 Lehman Lipper U.S.
(Incep. Year Treasury GNMA Mortgage Fund
7/31/1997) Index Index Average
--------------------------------------------------------------------------------
6 Months 3.51% 3.85% 5.18% 4.76%
1 Year 6.45% 5.79% 7.70% 6.47%
3 Years* 6.02% 5.64% 6.12% 5.18%
Since Inception* 6.44% -- -- --
*Annualized
[GRAPH]
Merrill Lynch
1-3 Year Lehman Brothers
Month GNMA Fund Treasury Index GNMA Index
07/31/1997 5,000,000 5,000,000 5,000,000
08/31/1997 5,018,286 5,004,600 4,989,337
09/30/1997 5,111,651 5,042,585 5,055,583
10/31/1997 5,159,820 5,080,051 5,108,308
11/30/1997 5,172,284 5,092,396 5,123,990
12/31/1997 5,218,267 5,127,177 5,170,241
01/31/1998 5,260,371 5,176,962 5,220,145
02/28/1998 5,285,796 5,181,414 5,231,813
03/31/1998 5,293,096 5,202,503 5,253,935
04/30/1998 5,311,809 5,226,850 5,284,438
05/31/1998 5,351,927 5,254,709 5,320,546
06/30/1998 5,392,191 5,282,034 5,342,972
07/31/1998 5,408,563 5,306,753 5,373,010
08/31/1998 5,477,311 5,373,459 5,415,391
09/30/1998 5,543,973 5,444,658 5,479,473
10/31/1998 5,519,699 5,471,391 5,474,726
11/30/1998 5,498,845 5,466,631 5,505,690
12/31/1998 5,536,600 5,485,929 5,528,299
01/31/1999 5,578,414 5,507,652 5,567,556
02/28/1999 5,528,744 5,480,775 5,549,893
03/31/1999 5,595,411 5,518,867 5,583,509
04/30/1999 5,622,757 5,536,637 5,610,300
05/31/1999 5,662,331 5,533,094 5,582,000
06/30/1999 5,653,531 5,550,357 5,559,755
07/31/1999 5,659,351 5,567,952 5,523,329
08/31/1999 5,658,931 5,584,043 5,521,445
09/30/1999 5,722,084 5,620,339 5,610,299
10/31/1999 5,740,102 5,635,290 5,643,667
11/30/1999 5,736,548 5,645,940 5,646,093
12/31/1999 5,694,838 5,654,014 5,634,755
01/31/2000 5,747,671 5,651,922 5,583,844
02/29/2000 5,792,796 5,689,564 5,655,255
03/31/2000 5,884,367 5,724,839 5,744,636
04/30/2000 5,873,635 5,739,723 5,739,574
05/31/2000 5,882,556 5,763,314 5,760,408
06/30/2000 5,950,810 5,823,137 5,866,692
07/31/2000 5,991,510 5,859,939 5,897,650
08/31/2000 6,047,328 5,903,126 5,986,789
09/30/2000 6,090,882 5,945,511 6,042,466
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 invest-
ment 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 and the Lehman GNMA Index,
each an unmanaged market index. We will no longer compare the Fund to the
Merrill Lynch 1-3 Year Treasury Index since the Merrill Lynch 1-3 Year Treasury
Index is not a comparable GNMA index.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. Effective September 29, 2000, the Low Duration Mortgage Fund was renamed the
GNMA Fund. The benchmark changed from the Merrill Lynch 1-3 Year Treasury
Index to the Lehman GNMA Index. The duration of the former Index is 1.65
years while the duration of the Lehman GNMA Index is 3.95 years. The Fund's
investment style will remain the same although a minimum of 65% of the
Fund's assets will be invested in GNMA securities.
. The GNMA Fund underperformed the Merrill Lynch 1-3 Year Treasury Index for
the six-month period ending September 30, 2000, returning 3.51% versus 3.85%
for the Merrill Lynch 1-3 Year Treasury Index.
. Year-to-date, however, the Fund has outperformed the Index by 1.79%.
. The portfolio's sensitivity to changes in interest rates was similar to that
of the Index and therefore had little effect on relative performance.
. A broader-than-Index maturity distribution hurt returns as issues with long
maturity dates significantly underperformed issues with short maturity
dates.
. The Fund's use of Adjustable Rate Mortgages (ARMs) helped performance as
they enjoyed high yields and strong investor demand.
. Exposure to Treasury Inflation Protected Securities (TIPS) augmented returns
as the market had undervalued the benefit of the inflation protection
afforded by this asset class.
18 PIMCO Funds
<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 fixed income securities
Duration:
2.0 years
Total Net Assets:
$537.9 million
Sector Breakdown:*
[GRAPH]
U.S. Treasury Obligations 62.4%
Corporate Bonds and Notes 24.3%
Short-Term Instruments 6.7%
Other 6.6%
Quality Breakdown:*
[GRAPH]
AAA 68.5%
AA 5.3%
A 12.2%
BBB 10.9%
BB 2.6%
B 0.5%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Inst'l Class Admin. Class Lehman Brothers Lipper Short U.S.
(Incep. (Incep. Inflation Linked Government
1/29/1997) 4/28/2000) Treasury Index Fund Average
--------------------------------------------------------------------------------
6 Months 5.00% -- 4.52% 3.63%
1 Year 10.05% -- 9.05% 5.68%
3 Years* 7.28% -- 5.49% 4.88%
Since Inception 6.72%* 3.52% -- --
* Annualized
[GRAPH]
Lehman Brothers
Real Return Inflation Linked
Month Bond Fund Treasury Index
01/31/1997 5,000,000 5,000,000
02/28/1997 5,017,061 5,016,499
03/31/1997 4,971,983 4,947,776
04/30/1997 5,002,809 4,977,955
05/31/1997 5,032,748 5,004,838
06/30/1997 5,021,938 4,988,823
07/31/1997 5,083,742 5,036,214
08/31/1997 5,094,469 5,051,322
09/30/1997 5,104,457 5,061,426
10/31/1997 5,169,085 5,113,556
11/30/1997 5,196,006 5,142,195
12/31/1997 5,169,329 5,120,599
01/31/1998 5,199,466 5,145,691
02/28/1998 5,193,833 5,141,057
03/31/1998 5,205,501 5,138,489
04/30/1998 5,233,211 5,157,501
05/31/1998 5,254,770 5,194,120
06/30/1998 5,272,877 5,207,097
07/31/1998 5,313,726 5,231,257
08/31/1998 5,317,549 5,243,132
09/30/1998 5,441,195 5,348,519
10/31/1998 5,469,946 5,360,284
11/30/1998 5,461,835 5,354,923
12/31/1998 5,438,790 5,322,793
01/31/1999 5,518,587 5,384,539
02/28/1999 5,505,806 5,346,309
03/31/1999 5,538,991 5,344,703
04/30/1999 5,630,484 5,379,950
05/31/1999 5,671,234 5,417,047
06/30/1999 5,664,215 5,420,299
07/31/1999 5,674,126 5,417,586
08/31/1999 5,703,057 5,426,798
09/30/1999 5,727,393 5,447,965
10/31/1999 5,738,633 5,458,858
11/30/1999 5,783,160 5,492,160
12/31/1999 5,749,871 5,448,219
01/31/2000 5,784,298 5,472,738
02/29/2000 5,826,798 5,523,636
03/31/2000 6,002,905 5,684,369
04/30/2000 6,079,127 5,759,975
05/31/2000 6,062,274 5,744,998
06/30/2000 6,143,456 5,817,382
07/31/2000 6,192,132 5,867,107
08/31/2000 6,251,051 5,910,524
09/30/2000 6,302,775 5,941,257
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 performance of
the Administrative Class (shown above) reflects the payment of a service fee in
an amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 4/28/2000. The Fund may invest in foreign securities
which involve potentially higher risks including foreign currency fluctuations
and political or economic uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. For the six-month period ended September 30, 2000, the Fund's Institutional
Class shares returned 5.00%, versus 4.52% for the Fund's benchmark, the
Lehman Brothers Inflation Linked Treasury Index.
. The Fund's effective duration was 2.0 years at September 30, 2000, in
contrast to the benchmark's duration of 1.8 years.
. Intermediate and long-term real yields declined marginally by 0.01% to 0.03%
over the six-month period while conventional Treasury yields declined from
0.20% to 0.50% for intermediate maturities and remained relatively stable
for long Treasury maturities.
. Although the rolling 12-month CPI-U rate was 3.5% at September 30, 2000, the
break even yield differential between Treasury Inflation Protection
Securities (TIPS) and conventional Treasuries was only 1.8% for 10-year
maturities and 2.0% for 30-year maturities.
. The Fund's duration remained modestly above that of the benchmark, which
aided performance only slightly as real yields fell from 0.01% to 0.12%.
. Overweighting intermediate real return bonds improved returns as
intermediate yields dropped marginally more than long-term real yields.
. The Fund was able to capture above-Index inflation adjustments, aiding
relative return performance, through substituting intermediate TIPS for
long-term TIPS.
. The Fund's yield was enhanced through the use of cash-backing strategies,
consisting of shorter-duration, high quality corporate and asset-backed
issues.
. Intermediate and long-term TIPS yields were from 3.9% to 4.0% while the
12-month CPI-U increase was 3.5% at September 30, 2000.
2000 Semi-Annual Report 19
<PAGE>
PIMCO Foreign Bond Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management
Portfolio:
Primarily intermediate maturity, hedged non-U.S. fixed income securities
Duration:
3.4 years
Total Net Assets:
$585.1 million
Country Allocation:*
[GRAPH]
United States 53.7%
Italy 6.5%
Germany 4.9%
Short-Term Instruments 7.0%
Other 27.9%
Quality Breakdown:*
[GRAPH]
AAA 63.9%
AA 13.8%
A 8.6%
BBB 10.1%
BB 2.8%
B 0.8%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Inst'l Class Admin. Class J.P. Morgan Lipper Inter-
(Incep. (Incep. Non-U.S. national Income
12/03/1992) 1/28/1997) Index (Hedged) Fund Average
--------------------------------------------------------------------------------
6 Months 3.83% 3.71% 3.47% -2.85%
1 Year 7.63% 7.36% 6.95% -3.90%
3 Years* 6.39% 6.12% 7.65% 1.19%
5 Years* 10.60% -- 9.61% 3.24%
Since Inception* 9.63% 6.66% -- --
* Annualized
[GRAPH]
J.P. Morgan
Foreign Non-U.S. Index
Month Bond Fund (Hedged)
12/31/1992 5,000,000 5,000,000
01/31/1993 5,041,660 5,045,501
02/28/1993 5,152,513 5,136,826
03/31/1993 5,171,807 5,139,908
04/30/1993 5,171,804 5,140,421
05/31/1993 5,218,564 5,169,209
06/30/1993 5,342,019 5,274,661
07/31/1993 5,426,186 5,333,737
08/31/1993 5,558,061 5,444,678
09/30/1993 5,580,127 5,468,090
10/31/1993 5,663,151 5,540,815
11/30/1993 5,679,152 5,579,601
12/31/1993 5,820,067 5,695,098
01/31/1994 5,827,680 5,666,624
02/28/1994 5,673,113 5,539,124
03/31/1994 5,574,498 5,488,718
04/30/1994 5,522,099 5,449,747
05/31/1994 5,441,127 5,389,254
06/30/1994 5,340,992 5,334,283
07/31/1994 5,374,816 5,369,488
08/31/1994 5,322,015 5,317,942
09/30/1994 5,330,821 5,322,728
10/31/1994 5,351,402 5,343,487
11/30/1994 5,430,650 5,418,829
12/31/1994 5,395,132 5,406,367
01/31/1995 5,431,819 5,465,297
02/28/1995 5,467,726 5,535,800
03/31/1995 5,471,621 5,648,728
04/30/1995 5,605,512 5,738,544
05/31/1995 5,825,529 5,926,769
06/30/1995 5,790,386 5,907,210
07/31/1995 5,900,948 5,981,642
08/31/1995 6,013,433 6,033,680
09/30/1995 6,099,110 6,129,012
10/31/1995 6,201,268 6,197,659
11/30/1995 6,444,451 6,333,387
12/31/1995 6,540,017 6,392,287
01/31/1996 6,700,408 6,469,635
02/29/1996 6,557,601 6,393,293
03/31/1996 6,664,336 6,446,357
04/30/1996 6,825,851 6,523,713
05/31/1996 6,852,155 6,568,075
06/30/1996 6,930,027 6,622,589
07/31/1996 6,997,369 6,672,259
08/31/1996 7,169,036 6,761,000
09/30/1996 7,370,202 6,905,010
10/31/1996 7,552,295 7,018,941
11/30/1996 7,735,101 7,159,321
12/31/1996 7,775,388 7,169,345
01/31/1997 7,899,810 7,258,963
02/28/1997 7,942,561 7,305,419
03/31/1997 7,843,570 7,266,703
04/30/1997 7,917,253 7,345,183
05/31/1997 7,958,788 7,383,378
06/30/1997 8,118,878 7,508,894
07/31/1997 8,239,266 7,628,287
08/31/1997 8,206,198 7,637,441
09/30/1997 8,383,475 7,772,623
10/31/1997 8,286,145 7,822,367
11/30/1997 8,398,755 7,878,689
12/31/1997 8,522,040 7,981,113
01/31/1998 8,645,607 8,087,245
02/28/1998 8,725,510 8,159,239
03/31/1998 8,835,222 8,231,855
04/30/1998 8,865,827 8,273,838
05/31/1998 8,942,528 8,387,190
06/30/1998 8,987,048 8,423,255
07/31/1998 9,130,620 8,501,590
08/31/1998 9,058,201 8,669,071
09/30/1998 9,266,649 8,874,530
10/31/1998 9,075,582 8,861,217
11/30/1998 9,245,824 8,956,919
12/31/1998 9,377,213 8,946,169
01/31/1999 9,569,644 9,057,102
02/28/1999 9,476,423 8,996,420
03/31/1999 9,534,902 9,103,477
04/30/1999 9,658,589 9,219,091
05/31/1999 9,507,394 9,181,293
06/30/1999 9,391,681 9,038,983
07/31/1999 9,396,468 9,015,482
08/31/1999 9,329,165 9,031,709
09/30/1999 9,379,607 9,066,031
10/31/1999 9,422,198 9,087,790
11/30/1999 9,440,689 9,140,496
12/31/1999 9,524,187 9,167,918
01/31/2000 9,475,484 9,168,837
02/29/2000 9,584,349 9,236,684
03/31/2000 9,722,350 9,371,538
04/30/2000 9,756,895 9,422,144
05/31/2000 9,815,858 9,497,520
06/30/2000 9,890,070 9,543,107
07/31/2000 9,973,457 9,611,817
08/31/2000 9,963,948 9,613,739
09/30/2000 10,095,126 9,696,417
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 invest-
ment 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, 2000, the Foreign Bond Fund
Institutional Class shares posted a return of 3.83%, outperforming the 3.47%
return of the Fund's benchmark, the J.P. Morgan Non-U.S. Index (Hedged into
USD).
. An underweight in Japan versus the Index was positive as yields rose after
monetary tightening and Moody's government rating downgrade.
. A U.K. underweight was positive as long-term yields rose as tight labor
markets increased concern that wage pressures would stimulate higher
inflation.
. Emphasizing global mortgages was positive as these markets benefited from
high yields and low market volatility.
. Asset backed bonds helped returns as the sector was supported by light new
issuance and minimal delinquencies.
. Small allocations to European corporate bonds aided performance due to their
relatively attractive yields.
. An overweight in the euro was negative as the currency reached record lows
versus the U.S. dollar due to continued capital flows into the U.S.
. An overweight Polish zloty position detracted from returns due to increased
concern over Poland's deteriorating budget and current account deficits.
20 PIMCO Funds
<PAGE>
PIMCO Global Bond Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management
Portfolio:
Primarily U.S. and non-U.S. intermediate maturity fixed income securities
Duration:
4.1 years
Total Net Assets:
$319.5 million
Country Allocation:*
[GRAPH]
United States 52.3%
Short-Term
Instruments 9.6%
Italy 6.2%
United Kingdom 4.7%
Greece 4.3%
Germany 3.5%
Other 19.4%
Quality Breakdown:*
[GRAPH]
AAA 60.8%
AA 15.7%
A 10.7%
BBB 9.4%
BB 2.5%
B 0.8%
Others 0.1%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Inst'l Class Admin. Class J.P. Morgan
(Incep. (Incep. Global Index Lipper Global Income
11/23/1993) 8/01/1996) (Unhedged) Fund Average
--------------------------------------------------------------------------------
6 Months -1.58% -1.71% -2.43% -0.48%
1 Year -2.82% -3.06% -3.63% 0.58%
3 Years* 1.41% 1.20% 2.61% 1.10%
5 Years* 4.25% -- 3.25% 4.16%
Since Inception* 5.53% 2.70% -- --
* Annualized
[GRAPH]
J.P. Morgan
Global Bond Global Index
Month Fund (Unhedged)
11/30/1993 5,000,000 5,000,000
12/31/1993 5,159,354 5,051,001
01/31/1994 5,172,612 5,098,479
02/28/1994 5,050,687 5,042,396
03/31/1994 4,981,799 5,019,201
04/30/1994 4,983,396 5,015,186
05/31/1994 4,957,155 4,973,560
06/30/1994 4,993,232 5,032,746
07/31/1994 5,040,972 5,080,054
08/31/1994 5,023,423 5,066,846
09/30/1994 5,045,769 5,091,673
10/31/1994 5,117,441 5,168,048
11/30/1994 5,070,101 5,102,929
12/31/1994 5,071,554 5,114,666
01/31/1995 5,158,706 5,217,982
02/28/1995 5,306,429 5,352,606
03/31/1995 5,497,439 5,625,054
04/30/1995 5,586,069 5,714,492
05/31/1995 5,774,015 5,873,926
06/30/1995 5,791,402 5,910,344
07/31/1995 5,833,592 5,938,122
08/31/1995 5,749,603 5,773,043
09/30/1995 5,839,678 5,902,936
10/31/1995 5,966,446 5,960,786
11/30/1995 6,121,956 6,027,545
12/31/1995 6,236,009 6,102,287
01/31/1996 6,250,544 6,039,434
02/29/1996 6,152,157 6,004,405
03/31/1996 6,159,100 5,995,399
04/30/1996 6,210,796 5,973,217
05/31/1996 6,191,536 5,979,190
06/30/1996 6,265,488 6,031,208
07/31/1996 6,379,395 6,142,182
08/31/1996 6,491,924 6,167,980
09/30/1996 6,584,759 6,201,904
10/31/1996 6,764,325 6,324,702
11/30/1996 6,923,739 6,415,146
12/31/1996 6,879,967 6,370,239
01/31/1997 6,702,769 6,210,983
02/28/1997 6,656,620 6,168,128
03/31/1997 6,576,929 6,121,249
04/30/1997 6,536,080 6,086,970
05/31/1997 6,699,780 6,230,622
06/30/1997 6,783,140 6,301,651
07/31/1997 6,758,684 6,278,337
08/31/1997 6,721,424 6,270,802
09/30/1997 6,895,854 6,410,014
10/31/1997 6,891,415 6,545,905
11/30/1997 6,834,927 6,467,355
12/31/1997 6,817,845 6,460,241
01/31/1998 6,851,128 6,524,843
02/28/1998 6,915,929 6,573,126
03/31/1998 6,961,654 6,523,829
04/30/1998 7,063,593 6,624,295
05/31/1998 7,059,363 6,652,780
06/30/1998 7,070,889 6,671,407
07/31/1998 7,130,372 6,689,420
08/31/1998 7,124,542 6,874,048
09/30/1998 7,491,180 7,232,874
10/31/1998 7,509,415 7,394,889
11/30/1998 7,456,893 7,311,327
12/31/1998 7,669,954 7,448,780
01/31/1999 7,718,892 7,387,701
02/28/1999 7,459,185 7,140,951
03/31/1999 7,441,983 7,158,805
04/30/1999 7,454,117 7,156,657
05/31/1999 7,250,125 7,030,699
06/30/1999 7,143,749 6,913,286
07/31/1999 7,296,476 7,065,380
08/31/1999 7,283,484 7,083,750
09/30/1999 7,400,295 7,185,754
10/31/1999 7,405,937 7,177,131
11/30/1999 7,291,664 7,091,723
12/31/1999 7,341,262 7,071,158
01/31/2000 7,098,375 6,931,857
02/29/2000 7,116,716 6,897,197
03/31/2000 7,307,538 7,097,904
04/30/2000 7,080,709 6,882,129
05/31/2000 7,153,212 6,932,368
06/30/2000 7,318,062 7,100,825
07/31/2000 7,239,595 6,989,341
08/31/2000 7,170,776 6,939,019
09/30/2000 7,191,731 6,925,141
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 invest-
ment of $5,000,000 on 12/01/1993, the first full month following the Fund's
Institutional Class inception on 11/23/1993, compared to the J.P. Morgan Global
Index (Unhedged), an unmanaged market index. The performance of the
Administrative Class (shown above) reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 8/01/1996. Foreign investing involves potentially higher
risks including foreign currency fluctuations and political or economic
uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. For the six-month period ended September 30, 2000, the Global Bond Fund
Institutional Class shares posted a return of -1.58%, outperforming the
-2.43% return of the Fund's benchmark, the J.P. Morgan Global Bond Index
(Unhedged).
. Absolute returns of both the Fund and the Index were negative after
non-U.S. currencies weakened versus the U.S. dollar as foreign capital
continued to flow into the U.S. as a result of the strength of the U.S.
economy and availability of attractive investment opportunities.
. A U.S. overweight was positive. The U.S. was the best performing market
over the period as bonds were supported by the series of Federal Reserve
rate hikes and the Treasury's buyback program.
. An underweight in Japan was positive as yields rose after monetary
tightening and Moody's government rating downgrade.
. A U.K. underweight was positive as long-term yields rose; tight labor
markets increased concern that wage pressures would stimulate higher
inflation.
. Emphasizing global mortgages was positive as these markets benefited from
high yields and low market volatility.
. Asset backed bonds helped returns as the sector was supported by light new
issuance and minimal delinquencies.
. Small allocations to European corporate bonds aided performance due to
their relatively attractive yields.
. An overweight in the euro was negative as the currency reached record lows
versus the U.S. dollar due to continued capital flows into the U.S.
. An overweight Polish zloty position detracted from returns due to increased
concern over Poland's deteriorating budget and current account deficits.
2000 Semi-Annual Report 21
<PAGE>
PIMCO Global Bond Fund II
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital
Portfolio:
Primarily U.S. and hedged non-U.S. intermediate maturity fixed income securities
Duration:
4.3 years
Total Net Assets:
$72.2 million
Country Allocation:*
[GRAPH]
United States 62.1%
Italy 6.1%
United Kingdom 4.4%
Greece 4.1%
Short-Term
Instruments 3.3%
Other 20.0%
Quality Breakdown:*
[GRAPH]
AAA 65.4%
AA 15.1%
A 9.0%
BBB 7.6%
BB 1.9%
B 0.9%
Others 0.1%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Inst'l Class J.P. Morgan Global Lipper Global Income
(Incep. 2/25/1998) Index (Hedged) Fund Average
--------------------------------------------------------------------------------
6 Months 4.00% 3.64% -0.48%
1 Year 6.96% 7.10% 0.58%
Since Inception* 4.92% -- --
*Annualized
[GRAPH]
J.P. Morgan
Global Bond Global Index
Month Fund II (Hedged)
02/28/1998 5,000,000 5,000,000
03/31/1998 5,069,096 5,032,502
04/30/1998 5,092,746 5,057,159
05/31/1998 5,121,536 5,120,376
06/30/1998 5,146,064 5,157,242
07/31/1998 5,210,272 5,190,249
08/31/1998 5,156,019 5,308,584
09/30/1998 5,273,043 5,443,954
10/31/1998 5,187,282 5,431,977
11/30/1998 5,256,161 5,470,545
12/31/1998 5,303,609 5,470,545
01/31/1999 5,422,839 5,525,796
02/28/1999 5,341,215 5,451,750
03/31/1999 5,376,152 5,501,909
04/30/1999 5,429,327 5,553,624
05/31/1999 5,347,551 5,520,302
06/30/1999 5,283,537 5,457,923
07/31/1999 5,279,879 5,446,462
08/31/1999 5,257,452 5,452,452
09/30/1999 5,285,083 5,480,262
10/31/1999 5,300,795 5,491,222
11/30/1999 5,294,352 5,509,892
12/31/1999 5,318,774 5,510,442
01/31/2000 5,296,692 5,514,850
02/29/2000 5,360,260 5,570,552
03/31/2000 5,435,868 5,663,021
04/30/2000 5,444,990 5,677,180
05/31/2000 5,465,049 5,710,672
06/30/2000 5,525,868 5,760,353
07/31/2000 5,572,330 5,807,011
08/31/2000 5,588,099 5,833,723
09/30/2000 5,653,061 5,869,310
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 invest-
ment 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, 2000, the Global Bond Fund II
posted a return of 4.00%, outperforming the 3.64% return of the Fund's
benchmark, the J.P. Morgan Global Bond Index (Hedged into USD).
. A U.S. overweight was positive. The U.S. was the best performing market
over the period as bonds were supported by the series of Federal Reserve
rate hikes and the Treasury's buyback program.
. An underweight in Japan was positive as yields rose after monetary
tightening and Moody's government rating downgrade.
. A U.K. underweight was positive as long-term yields rose; tight labor
markets increased concern that wage pressures would stimulate higher
inflation.
. Emphasizing global mortgages was positive as these markets benefited from
high yields and low market volatility.
. Asset backed bonds helped returns as the sector was supported by light new
issuance and minimal delinquencies.
. Small allocations to European corporate bonds aided performance due to
their relatively attractive yields.
. An overweight in the euro was negative as the currency reached record lows
versus the U.S. dollar due to continued capital flows into the U.S.
. An overweight Polish zloty position detracted from returns due to increased
concern over Poland's deteriorating budget and current account deficits.
22 PIMCO Funds
<PAGE>
PIMCO Emerging Markets Bond Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management
Portfolio:
Primarily emerging market fixed income securities
Duration:
4.6 years
Total Net Assets:
$51.6 million
Country Allocation:*
[GRAPH]
Brazil 26.5%
Mexico 20.7%
Russia 6.9%
Venezuela 5.5%
Bulgaria 5.3%
Short-Term
Instruments 6.8%
Other 28.3%
Quality Breakdown:*
[GRAPH]
AAA 1.7%
AA 1.2%
BBB 34.3%
BB 20.3%
B 42.5%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Inst'l Class Admin. Class J.P. Morgan Lipper Emerging
(Incep. (Incep. Emerging Markets Markets Debt
7/31/1997) 9/30/1998) Bond Index Plus Fund Average
--------------------------------------------------------------------------------
6 Months 5.40% 5.27% 5.67% 2.54%
1 Year 24.30% 24.02% 28.02% 23.97%
3 Years* 6.17% -- 5.57% 1.98%
Since Inception* 6.37% 25.88% -- --
* Annualized
[GRAPH]
Emerging J.P. Morgan
Markets Emerging Markets
Month Bond Fund Bond Index Plus
07/31/1997 5,000,000 5,000,000
08/31/1997 4,941,202 4,979,763
09/30/1997 5,077,992 5,132,145
10/31/1997 4,500,427 4,540,921
11/30/1997 4,738,197 4,756,615
12/31/1997 4,859,660 4,920,720
01/31/1998 4,866,472 4,910,880
02/28/1998 5,005,158 5,051,329
03/31/1998 5,155,188 5,177,076
04/30/1998 5,168,205 5,189,638
05/31/1998 5,002,060 5,012,513
06/30/1998 4,838,082 4,867,654
07/31/1998 4,912,199 4,901,240
08/31/1998 3,543,793 3,492,624
09/30/1998 3,819,422 3,834,203
10/31/1998 4,019,347 4,082,276
11/30/1998 4,340,414 4,322,720
12/31/1998 4,288,256 4,214,652
01/31/1999 4,139,443 4,058,290
02/28/1999 4,222,136 4,116,729
03/31/1999 4,507,995 4,428,365
04/30/1999 4,883,959 4,730,823
05/31/1999 4,578,472 4,461,166
06/30/1999 4,716,852 4,660,580
07/31/1999 4,686,777 4,564,104
08/31/1999 4,679,209 4,557,715
09/30/1999 4,888,898 4,716,781
10/31/1999 5,046,834 4,898,847
11/30/1999 5,183,471 5,037,484
12/31/1999 5,427,907 5,310,012
01/31/2000 5,308,344 5,204,876
02/29/2000 5,622,784 5,540,069
03/31/2000 5,765,699 5,714,579
04/30/2000 5,656,677 5,605,431
05/31/2000 5,546,802 5,462,491
06/30/2000 5,808,164 5,739,437
07/31/2000 5,949,537 5,912,770
08/31/2000 6,158,003 6,121,489
09/30/2000 6,076,985 6,038,429
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 7/31/1997, the Fund's Institutional Class inception
date, compared to the J.P. Morgan Emerging Markets Bond Index Plus, an unmanaged
market index. The performance of the Administrative Class (shown above) reflects
the payment of a service fee in an amount not to exceed 0.25% on an annualized
basis. The Administrative Class commenced operations on 9/30/1998. The Fund may
invest in foreign securities which involve potentially higher risks including
currency fluctuations and political or economic uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. After a volatile period, emerging markets turned in solid performance on
strong economic and financial conditions, more balanced global growth, and
positive liability management.
. Despite successful conclusions to the Russian and Ecuadorian debt
restructurings, volatility picked up toward the end of the period resulting
from reduced market appetite for risk and noise on the political front.
. Distressed credits, such as Russia and Ecuador, outperformed high quality
credits, driving overall sector returns.
. The Fund's Institutional Class underperformed the J.P. Morgan Emerging
Markets Bond Index Plus for the six-month period ended September 30, 2000,
returning 5.40% versus 5.67% for the Index.
. Our underweights of Ecuador and Colombia detracted from performance.
. An underweight to Argentina benefited performance as continued political
uncertainty weighed on the market.
. Good liability management and further strong economic data supported
Brazilian bonds where our overweight added to performance.
. Near-Index exposure to Mexico was neutral for returns.
. The Fund's overweight of Peru hurt performance due to continued political
uncertainty and a temporary disruption in Brady Bond payments.
. An underweight in Russian bonds was negative as these securities continued
to appreciate, supported by continued debt restructuring and macroeconomic
gains.
. An overweight to Bulgaria was negative as market selling and the impact of
higher energy prices overshadowed continued economic gains.
. Modest allocations to securities and countries not in the benchmark were
positive for relative performance.
2000 Semi-Annual Report 23
<PAGE>
PIMCO Strategic Balanced Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management
Portfolio:
Normally invests between 45% and 75% in the StocksPLUS Fund and between 25% and
55% in the Total Return Fund
Total Net Assets:
$80.6 million
PIMCO Funds Allocation*:
[GRAPH]
StocksPLUS Fund 55.9%
Total Return Fund 40.0%
Short-Term Instruments 4.1%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Inst'l Class Admin. Class 60% S&P 500 Index and Lipper
(Incep. (Incep. 40% Lehman Brothers S&P 500 Balanced
6/28/1996) 6/30/1999) Aggregate Bond Index Index Fund Average
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
6 Months -0.86% -0.85% -0.23% -3.60% 0.63%
1 Year 8.55% 8.45% 11.05% 13.28% 11.31%
3 Years* 11.15% -- 12.53% 16.44% 8.96%
Since Inception* 15.29% 3.64% -- -- --
</TABLE>
* Annualized
[GRAPH]
60% S&P 500
Index and 40%
Strategic Lehman Brothers
Balanced Aggregate S&P 500
Month Fund Bond Index Index
06/30/1996 5,000,000 5,000,000 5,000,000
07/31/1996 4,865,000 4,872,933 4,779,100
08/31/1996 4,940,000 4,931,328 4,879,891
09/30/1996 5,175,000 5,132,224 5,154,532
10/31/1996 5,320,000 5,262,627 5,296,693
11/30/1996 5,615,000 5,537,365 5,697,071
12/31/1996 5,511,545 5,450,953 5,584,212
01/31/1997 5,743,214 5,661,975 5,933,113
02/28/1997 5,775,539 5,694,243 5,979,629
03/31/1997 5,591,600 5,528,617 5,733,926
04/30/1997 5,846,009 5,759,756 6,076,241
05/31/1997 6,089,593 5,991,928 6,446,163
06/30/1997 6,275,398 6,181,439 6,734,951
07/31/1997 6,659,382 6,543,230 7,270,851
08/31/1997 6,423,506 6,300,974 6,863,537
09/30/1997 6,659,150 6,545,208 7,239,453
10/31/1997 6,565,126 6,452,023 6,997,656
11/30/1997 6,736,582 6,643,106 7,321,577
12/31/1997 6,843,897 6,738,297 7,447,289
01/31/1998 6,937,730 6,817,616 7,529,656
02/28/1998 7,213,362 7,110,452 8,072,694
03/31/1998 7,459,339 7,338,829 8,486,097
04/30/1998 7,524,460 7,398,449 8,571,467
05/31/1998 7,447,498 7,350,213 8,424,124
06/30/1998 7,662,852 7,554,287 8,766,312
07/31/1998 7,621,044 7,512,443 8,672,951
08/31/1998 6,904,331 6,909,658 7,419,015
09/30/1998 7,310,278 7,239,956 7,894,278
10/31/1998 7,639,840 7,577,983 8,536,398
11/30/1998 7,885,513 7,870,767 9,053,789
12/31/1998 8,189,101 8,152,341 9,575,468
01/31/1999 8,385,168 8,380,174 9,975,915
02/28/1999 8,117,209 8,165,384 9,665,863
03/31/1999 8,381,044 8,379,502 10,052,594
04/30/1999 8,584,658 8,584,843 10,441,931
05/31/1999 8,407,317 8,433,153 10,195,398
06/30/1999 8,726,038 8,703,230 10,761,242
07/31/1999 8,533,893 8,525,380 10,425,276
08/31/1999 8,507,390 8,498,358 10,373,671
09/30/1999 8,424,034 8,398,023 10,089,329
10/31/1999 8,758,321 8,729,273 10,727,781
11/30/1999 8,845,236 8,835,503 10,945,877
12/31/1999 9,136,140 9,130,707 11,590,589
01/31/2000 8,743,572 8,843,606 11,008,477
02/29/2000 8,679,333 8,785,846 10,799,892
03/31/2000 9,223,089 9,347,855 11,856,445
04/30/2000 9,014,128 9,168,382 11,499,685
05/31/2000 8,956,484 9,053,818 11,263,711
06/30/2000 9,091,403 9,263,069 11,541,362
07/31/2000 9,061,838 9,209,778 11,360,855
08/31/2000 9,475,755 9,606,384 12,066,477
09/30/2000 9,143,966 9,326,269 11,429,488
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 7/01/1996, the first full month following the Fund's
Institutional Class inception on 6/28/1996, compared to a static 60/40 blend of
the Standard and Poor's 500 Index and the Lehman Brothers Aggregate Bond Index,
and the S&P 500 Index, each an unmanaged market index. The performance of the
Administrative Class (shown above) reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 6/30/1999. The Fund may invest in foreign securities
which involve potentially higher risks including foreign currency fluctuations
and political or economic uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Strategic Balanced Fund converted to a fund of funds structure
effective September 29, 2000; the equity portfolio is now the StocksPLUS
Fund, and the fixed income portfolio is now the Total Return Fund.
. For the six-month period ended September 30, 2000, the Fund's Institutional
Class shares returned -0.86% versus -0.23% for the fund's benchmark, a
blend of 60% S&P 500 Index and 40% Lehman Brothers Aggregate Bond Index
(LBAG).
. A slight overweighting of the equity allocation detracted from returns
relative to the benchmark as the LBAG returned 4.8% for the six months
ending on September 30 as compared to a 3.6% decline for the S&P 500.
. After raising the fed funds rate by 0.50% in the second quarter, the
Federal Reserve held policy unchanged in the third quarter amid signs of
slowing growth.
. The equity allocation, employing PIMCO's StocksPLUS strategy,
underperformed the S&P 500 Index mainly due to a rise in interest rates
during the second quarter, causing the cash positions that back the S&P 500
futures to underperform.
. The fixed income portfolio outperformed the LBAG due in part to an
above-benchmark duration and an overweight in mortgage-backed securities.
. The Fund has reduced its modest equity overweight to a neutral 60%/40%
equity/bond mix in light of stock market volatility and the potential for
reduced corporate profits in a slower economy.
. A focus on quality will be critical for superior performance as credit
deterioration continues amid slower growth.
24 PIMCO Funds
<PAGE>
PIMCO Convertible Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Seeks maximum total return, consistent with prudent investment management
Portfolio:
Primarily convertible securities
Duration:
1.5 years
Total Net Assets:
$159.7 million
Sector Breakdown:*
[GRAPH]
Convertible Bonds and Notes 69.8%
Convertible Preferred Stock 22.6%
Other 7.6%
Quality Breakdown:*
[GRAPH]
AAA 8.5%
AA 6.2%
A 13.8%
BBB 37.9%
BB 11.6%
B 22.0%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Inst'l Class Admin. Class First Boston Lipper
(Incep. (Incep. Convertible Convertible Securities
3/31/1999) 8/01/2000) Bond Index Fund Average
--------------------------------------------------------------------------------
6 Months -2.00% -- -1.29% -0.67%
1 Year 38.47% -- 34.90% 30.87%
Since Inception 35.34%* 6.47% -- --
* Annualized
[GRAPH]
Convertible First Boston
Month Fund Convertible Bond Index
03/31/1999 5,000,000 5,000,000
04/30/1999 5,240,000 5,202,500
05/31/1999 5,335,000 5,154,637
06/30/1999 5,625,000 5,376,802
07/31/1999 5,640,000 5,305,828
08/31/1999 5,630,000 5,321,746
09/30/1999 5,685,000 5,335,582
10/31/1999 5,915,000 5,520,194
11/30/1999 6,350,000 5,944,144
12/31/1999 7,109,943 6,847,654
01/31/2000 7,257,010 6,744,254
02/29/2000 8,032,917 7,452,401
03/31/2000 8,032,816 7,292,174
04/30/2000 7,497,974 6,936,316
05/31/2000 7,258,568 6,564,529
06/30/2000 7,620,361 6,991,223
07/31/2000 7,400,886 6,780,089
08/31/2000 7,967,437 7,301,477
09/30/2000 7,872,203 7,197,796
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 3/31/1999, the Fund's Institutional Class inception
date, compared to the First Boston Convertible Bond Index, an unmanaged market
index. The performance of the Administrative Class (shown above) reflects the
payment of a service fee in an amount not to exceed 0.25% on an annualized
basis. The Administrative Class commenced operations on 8/01/2000. The Fund may
invest in foreign securities which involve potentially higher risks including
foreign currency fluctuations and political or economic uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Convertible Fund Institutional Class shares returned -2.00% for the
semi-annual period ended September 30, 2000, compared to -1.29% for the
First Boston Convertible Bond Index.
. The Fund's lower delta, or sensitivity to price movements in the underlying
equities, enhanced relative performance as these equities underperformed
over the past six months.
. The Fund's relatively high average credit quality added to results as
investment-grade convertibles significantly outperformed speculative grade
issues.
. An emphasis on telecommunications was negative for returns as the market
began to favor companies with current cash flow and established earnings.
. Overweights to healthcare, utilities and finance were positive as these
conservative industries outperformed their more aggressive counterparts.
. The use of a proprietary valuation model was instrumental in taking
advantage of security pricing inefficiencies in the market.
2000 Semi-Annual Report 25
<PAGE>
PIMCO StocksPLUS Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Total return which exceeds that of the S&P 500 Index
Portfolio:
Primarily S&P 500 stock index derivatives backed by a portfolio of short-term
fixed income securities
Duration:
0.1 years
Total Net Assets:
$1.4 billion
Sector Breakdown:*
[GRAPH]
Corporate Bonds and Notes 42.6%
Mortgage-Backed Securities 21.7%
Short-Term Instruments 8.7%
U.S. Treasury Obligations 8.3%
Asset-Backed Securities 7.4%
Sovereign Issues 5.8%
Other 5.5%
Quality Breakdown:*
[GRAPH]
AAA 39.7%
AA 6.2%
A 13.8%
BBB 30.9%
BB 4.8%
B 4.6%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Inst'l Class Admin. Class
(Incep. (Incep. Lipper Large-Cap
5/14/1993) 1/07/1997) S&P 500 Index Core Fund Average
--------------------------------------------------------------------------------
6 Months -3.16% -3.29% -3.60% -3.33%
1 Year 13.15% 12.91% 13.28% 17.80%
3 Years* 16.12% 15.70% 16.44% 15.85%
5 Years* 21.61% -- 21.69% 19.84%
Since Inception* 20.39% 19.89% -- --
* Annualized
[GRAPH]
StocksPLUS S&P 500
Month Fund Index
05/31/1993 5,000,000 5,000,000
06/30/1993 5,027,261 5,014,650
07/31/1993 5,017,471 4,994,491
08/31/1993 5,208,380 5,183,982
09/30/1993 5,157,774 5,144,221
10/31/1993 5,271,731 5,250,655
11/30/1993 5,212,275 5,200,616
12/31/1993 5,306,421 5,263,492
01/31/1994 5,480,662 5,442,451
02/28/1994 5,311,701 5,294,743
03/31/1994 5,077,284 5,063,892
04/30/1994 5,141,283 5,128,811
05/31/1994 5,237,282 5,212,974
06/30/1994 5,126,078 5,085,204
07/31/1994 5,325,725 5,252,202
08/31/1994 5,568,540 5,467,543
09/30/1994 5,473,357 5,333,861
10/31/1994 5,561,106 5,453,713
11/30/1994 5,391,092 5,255,089
12/31/1994 5,461,225 5,333,022
01/31/1995 5,612,304 5,471,307
02/28/1995 5,864,102 5,684,524
03/31/1995 6,023,776 5,852,274
04/30/1995 6,219,204 6,024,624
05/31/1995 6,500,850 6,265,428
06/30/1995 6,643,179 6,410,974
07/31/1995 6,854,074 6,623,561
08/31/1995 6,900,939 6,640,187
09/30/1995 7,193,848 6,920,403
10/31/1995 7,181,918 6,895,697
11/30/1995 7,527,891 7,198,418
12/31/1995 7,673,723 7,337,059
01/31/1996 7,949,045 7,586,813
02/29/1996 7,970,224 7,657,142
03/31/1996 8,076,117 7,730,881
04/30/1996 8,177,430 7,844,834
05/31/1996 8,365,584 8,047,152
06/30/1996 8,445,187 8,077,812
07/31/1996 8,052,904 7,720,934
08/31/1996 8,223,140 7,883,768
09/30/1996 8,704,242 8,327,467
10/31/1996 8,981,877 8,557,139
11/30/1996 9,649,702 9,203,973
12/31/1996 9,444,046 9,021,642
01/31/1997 10,025,985 9,585,314
02/28/1997 10,100,806 9,660,463
03/31/1997 9,646,437 9,263,515
04/30/1997 10,244,078 9,816,546
05/31/1997 10,892,224 10,414,178
06/30/1997 11,344,245 10,880,733
07/31/1997 12,278,977 11,746,513
08/31/1997 11,616,167 11,088,473
09/30/1997 12,220,454 11,695,789
10/31/1997 11,832,913 11,305,149
11/30/1997 12,315,186 11,828,465
12/31/1997 12,546,229 12,031,560
01/31/1998 12,716,721 12,164,629
02/28/1998 13,569,183 13,041,941
03/31/1998 14,253,076 13,709,819
04/30/1998 14,425,043 13,847,740
05/31/1998 14,141,803 13,609,698
06/30/1998 14,691,669 14,162,524
07/31/1998 14,528,428 14,011,693
08/31/1998 12,314,475 11,985,882
09/30/1998 13,256,889 12,753,698
10/31/1998 14,302,676 13,791,084
11/30/1998 15,122,901 14,626,961
12/31/1998 16,099,828 15,469,767
01/31/1999 16,648,553 16,116,712
02/28/1999 16,088,153 15,615,805
03/31/1999 16,768,984 16,240,593
04/30/1999 17,436,465 16,869,592
05/31/1999 16,979,768 16,471,301
06/30/1999 17,970,000 17,385,458
07/31/1999 17,379,659 16,842,684
08/31/1999 17,285,204 16,759,312
09/30/1999 16,909,003 16,299,940
10/31/1999 17,981,456 17,331,400
11/30/1999 18,279,360 17,683,747
12/31/1999 19,341,400 18,725,320
01/31/2000 18,343,134 17,784,881
02/29/2000 18,065,838 17,447,899
03/31/2000 19,758,181 19,154,826
04/30/2000 19,143,792 18,578,458
05/31/2000 18,752,817 18,197,228
06/30/2000 19,218,094 18,645,789
07/31/2000 18,978,573 18,354,169
08/31/2000 20,246,629 19,494,147
09/30/2000 19,133,350 18,465,051
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 invest-
ment 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
--------------------------------------------------------------------------------
. In sharp contrast to previous years, the S&P 500 Index returned a negative
3.60% for the semi-annual period ended September 30, 2000 amid investor
concern over the global economy and corporate profitability.
. Despite a challenging market environment, the StocksPLUS Fund Institutional
Class shares outperformed the S&P 500 after fees.
. Increases in three and six month interest rates negatively impacted the
performance of the StocksPLUS Fund relative to the benchmark.
. Corporate issues in the StocksPLUS Fund were negatively impacted by an
increase in credit spreads resulting from mounting credit concerns,
although this negative price impact was largely offset by the attractive
yield premiums provided by these securities.
. Mortgages were positive for performance as these holdings benefited from
both relatively high yield premiums and reduced new issuance.
. Inflation protected bonds and option strategies enhanced the overall return
of the StocksPLUS Fund.
26 PIMCO Funds
<PAGE>
PIMCO Municipal Bond Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
High current income exempt from federal income tax, consistent with preservation
of capital. Capital appreciation is a secondary objective.
Portfolio:
Primarily intermediate and long-term maturity municipal securities
(exempt from federal income tax)
Duration:
7.3 years
Total Net Assets:
$56.2 million
States Breakdown:*
[GRAPH]
California 15.9%
New Jersey 10.2%
New York 9.8%
Texas 7.1%
Colorado 7.0%
Utah 6.8%
Massachusetts 6.8%
Arizona 6.4%
Other States 30.0%
Quality Breakdown:*
[GRAPH]
AAA 38.8%
AA 16.7%
A 18.9%
BBB 15.8%
BB 9.8%
* % of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Lipper General
Inst'l Class Admin. Class Lehman Brothers Municipal
(Incep. (Incep. General Municipal Debt Fund
12/31/1997) 9/30/1998) Bond Index Average
--------------------------------------------------------------------------------
6 Months 4.16% 4.03% 3.97% 3.39%
1 Year 5.78% 5.50% 6.18% 4.74%
Since Inception* 3.30% 1.35% -- --
* Annualized
[GRAPH]
Lehman Brothers
Municipal General Municipal
Month Bond Fund Bond Index
12/31/1997 5,000,000 5,000,000
01/31/1998 5,058,771 5,051,500
02/28/1998 5,035,172 5,053,016
03/31/1998 5,039,379 5,057,562
04/30/1998 5,006,296 5,034,805
05/31/1998 5,105,540 5,114,354
06/30/1998 5,122,719 5,134,299
07/31/1998 5,128,447 5,147,137
08/31/1998 5,223,548 5,226,915
09/30/1998 5,293,484 5,292,252
10/31/1998 5,282,938 5,292,252
11/30/1998 5,296,412 5,310,775
12/31/1998 5,302,933 5,324,053
01/31/1999 5,373,214 5,387,409
02/28/1999 5,338,814 5,363,705
03/31/1999 5,343,842 5,371,213
04/30/1999 5,354,304 5,384,642
05/31/1999 5,314,853 5,353,412
06/30/1999 5,217,784 5,276,322
07/31/1999 5,228,509 5,295,317
08/31/1999 5,173,421 5,252,953
09/30/1999 5,166,761 5,255,056
10/31/1999 5,100,796 5,198,299
11/30/1999 5,153,694 5,253,401
12/31/1999 5,105,896 5,214,003
01/31/2000 5,076,823 5,191,581
02/29/2000 5,130,397 5,251,804
03/31/2000 5,247,153 5,366,818
04/30/2000 5,221,693 5,335,153
05/31/2000 5,198,809 5,307,409
06/30/2000 5,317,548 5,448,053
07/31/2000 5,383,204 5,523,778
08/31/2000 5,469,026 5,608,845
09/30/2000 5,465,577 5,579,681
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 12/31/1997, the Fund's Institutional Class inception
date, compared to the Lehman Brothers General Municipal Bond Index, an unmanaged
market index. Income may be subject to state and local taxes and (if applicable)
the Alternative Minimum Tax. The performance of the Administrative Class (shown
above) reflects the payment of a service fee in an amount not to exceed 0.25% on
an annualized basis. The Administrative Class commenced operations on 9/30/1998.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Municipal Bond Fund Institutional Class shares outperformed its
benchmark, the Lehman Brothers General Municipal Bond Index, for the six
months ended September 30, 2000, returning 4.16% to 3.97% for the Index. In
contrast, the return for the Lipper General Municipal Debt Fund Average was
3.39% for the same time period.
. The Fund's option-adjusted duration was 7.3 years at September 30, 2000,
slightly under the benchmark's duration of 7.5 years.
. The AAA rated general obligation yield curve, considered to be the benchmark
for the national municipal market, steepened from March 31 to September 30
as intermediate yields dropped from 0.20% to 0.30% while long-term yields
fell by 0.05% to 0.10%.
. The Fund's duration was generally under that of the benchmark, which
detracted from performance as yields fell generally throughout the past six
months.
. Overweighting intermediate maturity bonds boosted returns as intermediate
yields decreased more than long-maturity yields.
. Issue selection in discount and premium bonds aided performance as discount
bonds benefited from a reduction in market discount tax exposures and
call-protected higher coupon bonds experienced price appreciation without
being subject to much greater call risks.
. The Fund's yield and performance were enhanced through an overweighting of
higher quality revenue bonds, which have greater yields than general
obligation and pre-refunded bonds.
. The Fund's 30-day SEC yield, after fees, was 4.87% at September 30, implying
a tax-adjusted yield of 8.1% for a shareholder with a federal income tax
rate of 39.6%.
2000 Semi-Annual Report 27
<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:
1.3 years
Total Net Assets:
$13.2 million
States Breakdown:*
[GRAPH]
Florida 13.2%
Texas 11.6%
Hawaii 9.4%
Georgia 7.7%
Missouri 6.3%
Colorado 5.4%
Kansas 5.5%
Other States 40.9%
Quality Breakdown:*
[GRAPH]
AAA 55.8%
AA 19.3%
A 11.7%
BBB 13.1%
Others 0.1%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Inst'l Class Lehman Brothers 1-Year Lipper Short Municipal
(Incep. 8/31/1999) Municipal Bond Index Debt Fund Average
--------------------------------------------------------------------------------
6 Months 2.65% 2.53% 2.44%
1 Year 4.58% 4.31% 3.81%
Since Inception* 4.52% -- --
* Annualized
[GRAPH]
Short Duration Lehman Brothers
Municipal Income 1-Year Municipal
Month Fund Bond Index
08/31/1999 5,000,000 5,000,000
09/30/1999 5,015,118 5,012,000
10/31/1999 5,026,688 5,023,025
11/30/1999 5,043,155 5,038,597
12/31/1999 5,056,562 5,042,629
01/31/2000 5,077,025 5,061,792
02/29/2000 5,086,181 5,076,977
03/31/2000 5,109,575 5,098,804
04/30/2000 5,117,236 5,111,043
05/31/2000 5,126,760 5,119,223
06/30/2000 5,161,314 5,161,199
07/31/2000 5,188,759 5,190,100
08/31/2000 5,219,335 5,216,569
09/30/2000 5,245,011 5,228,047
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 8/31/1999, the Fund's Institutional Class inception
date compared to the Lehman Brothers 1-Year Municipal Bond Index, an unmanaged
market index. Income may be subject to state and local taxes and (if applicable)
the Alternative Minimum Tax.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The primary objective of the Fund is to generate a level of tax-exempt
income above that generally available in tax-exempt money market
investments while attempting to preserve capital.
. The Fund returned 2.65% for the half-year ended September 30, 2000 versus
2.53% for its benchmark, the Lehman Brothers 1-Year Municipal Bond Index.
. Short-term municipal yields (under one year) rose by up to 0.20%, following
the lead of shorter-term Treasuries, as the Federal Reserve raised the fed
funds rate by 1.0% during the first six months of calendar 2000.
. Notwithstanding increases in the fed funds and other money market yields,
the Fund's NAV per share never fell below $9.95 and ended the half year at
$10.04 per share.
. The Fund's duration was 1.3 years at September 30, 2000, which was
marginally under the duration of 1.4 years for the benchmark.
. Although the Fund's below-benchmark duration should have aided returns as
short-term municipal yields rose during the half-year period, a
lower-than-benchmark duration during the municipal market rally of June and
July lowered overall return performance.
. Selecting a modest barbelled maturity structure, consisting of a
combination of under one-year and over two-year duration issues, improved
returns through higher yields and greater price appreciation capture.
. The use of inflation-adjusted municipal issues, having low effective
durations, improved performance due to above-benchmark price performance,
resulting from the capture of relatively high inflation adjustments.
. The Fund's management maintained a high average credit quality (AA+) to
limit any potential price depreciation resulting from widening yield
premiums.
. The Fund's 30-day SEC yield, after fees, was 4.20% at September 30,
resulting in a tax-adjusted yield of 7.0% under a federal income tax rate
of 39.6%.
28 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:
5.6 years
Total Net Assets:
$100.5 million
States Breakdown:*
[GRAPH]
California 83.2%
Puerto Rico 12.1%
Virgin Islands 4.5%
Other 0.2%
Quality Breakdown:*
[GRAPH]
AAA 46.3%
AA 31.3%
A 10.8%
BBB 8.0%
BB 3.6%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
<TABLE>
<CAPTION>
Inst'l Class Admin. Class Lehman Brothers Lipper California
(Incep. (Incep. Intermediate California Intermediate Municipal
8/31/1999) 9/07/1999) Insured Municipal Bond Index Debt Fund Average
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
6 Months 4.66% 4.54% 4.15% 3.89%
1 Year 7.21% 6.93% 6.05% 5.78%
Since Inception* 7.34% 6.94% -- --
</TABLE>
* Annualized
[GRAPH]
Lehman Brothers
California Intermediate Intermediate California
Month Municipal Bond Fund Insured Municipal Bond Index
08/31/1999 5,000,000 5,000,000
09/30/1999 5,035,313 5,031,999
10/31/1999 4,998,038 4,998,789
11/30/1999 5,040,593 5,039,779
12/31/1999 5,018,422 4,993,413
01/31/2000 5,034,390 5,021,873
02/29/2000 5,066,955 5,049,494
03/31/2000 5,158,118 5,123,722
04/30/2000 5,145,459 5,084,783
05/31/2000 5,170,144 5,098,512
06/30/2000 5,268,173 5,213,226
07/31/2000 5,337,733 5,284,647
08/31/2000 5,414,917 5,367,088
09/30/2000 5,398,442 5,336,498
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 8/31/1999, the Fund's Institutional Class inception
date compared to the Lehman Brothers Intermediate California Insured Municipal
Bond Index, an unmanaged market index. Income may be subject to state and local
taxes and (if applicable) the Alternative Minimum Tax. The performance of the
Administrative Class reflects the payment of a service fee in an amount not to
exceed 0.25% on an annualized basis. The Administrative Class commenced
operations on 9/07/1999.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Fund's Institutional Class shares returned 4.66% for the six months
ended September 30, 2000, outperforming its benchmark, the Lehman Brothers
Intermediate California Insured Municipal Index, which returned 4.15%.
. The Fund's option-adjusted duration was 5.6 years at September 30, 2000,
matching the benchmark's duration.
. The California general obligation yield curve steepened substantially from
March 31 to September 30 as short-term (under one year) California yields
increased by up to 0.40% while long-term California yields dropped by over
0.40%.
. Longer-term yields were driven downward by a decreased supply of California
issues and ratings upgrades for the State of California general obligation
issues to AA as rating agencies noted improved economic circumstances and
fiscal conditions of state and local governments.
. The Fund's duration was maintained below the benchmark, lowering relative
performance as intermediate and long-term maturity California yields dropped
during the fiscal half-year.
. Overweighting longer-maturity California issues improved returns
substantially as longer-term yields fell more in response to rating upgrades
for the State of California and diminished supply.
. Allocations to discount and premium bonds boosted returns as longer-term
discount bonds faced much lower market discount tax exposures due to the
yield rally and higher coupon bonds experienced price appreciation without
much greater call risk.
. Portfolio yield was enhanced through overweighting higher quality revenue
bonds, which had greater risk-adjusted yields than general obligation and
pre-refunded bonds.
. The average credit quality was maintained at AA with very small
duration-weighted allocations to below-investment-grade or lower
investment-grade (BBB) issues.
. The Fund's 30-day SEC yield, after fees, was 4.22% at September 30, implying
a tax-adjusted yield of 7.7% for a shareholder with federal and California
income tax rates of 39.6% and 9.3%, respectively.
2000 Semi-Annual Report 29
<PAGE>
PIMCO California Municipal Bond Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Seeks high current income exempt from federal and California income tax. Capital
appreciation is a secondary objective.
Portfolio:
Primarily intermediate to long-term maturity municipal securities (exempt from
federal and California income tax)
Duration:
7.0 years
Total Net Assets:
$9.1 million
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
States Breakdown:*
[GRAPH]
California 68.6%
Puerto Rico 25.7%
Virgin Islands 4.5%
Other 1.2%
Quality Breakdown:*
[GRAPH]
AAA 77.1%
AA 4.1%
A 5.8%
BBB 4.5%
BB 8.5%
*% of Total Investments as of September 30, 2000
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 Fund commenced operations on
5/16/2000. The total return performance since inception was 5.77%. Income may be
subject to state and local taxes and (if applicable) the Alternative Minimum
Tax.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Fund's primary investment objective is to seek high current income that
is exempt from both federal and California income taxes. Capital
appreciation is a secondary objective.
. The Fund's inception date was May 16, 2000.
. The benchmark, the Lehman California Insured Municipal Index, had a
duration of 8.8 years as of September 30, 2000.
. California represented the best performing state municipal market as
measured by Lehman Brothers for the three-month period ended September 30,
2000, with the Lehman California Insured Municipal Index returning 3.26%
versus 2.42% for the national Lehman Municipal Bond Index.
. The California market performance was driven by a decreased supply of
California issues, ratings upgrades for the State of California and heavy
retail demand in the face of a strong local economy and cooling stock
markets.
. The Fund's management will attempt to enhance yield through allocations to
higher rated revenue bonds that have attractive risk-adjusted yields.
. The average credit quality was an AA+ at September 30 with limited
allocations to lower investment-grade (BBB) or below-investment-grade
issues.
. The Fund's 30-day SEC yield, after fees, was 4.74% at September 30,
implying a tax-adjusted yield of 8.7% for a shareholder having marginal
federal and California income tax rates of 39.6% and 9.3%, respectively.
30 PIMCO Funds
<PAGE>
PIMCO New York Municipal Bond Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Seeks high current income exempt from federal and New York income tax. Capital
appreciation is a secondary objective.
Portfolio:
Primarily intermediate to long-term maturity municipal securities (exempt from
federal and New York income tax)
Duration:
4.5 years
Total Net Assets:
$3.2 million
States Breakdown:*
[GRAPH]
New York 98.6%
Other 1.4%
Quality Breakdown:*
[GRAPH]
AAA 70.5%
AA 14.0%
A 10.8%
BBB 4.7%
* % of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
<TABLE>
<CAPTION>
Lehman Brothers
Inst'l Class New York Insured Lehman Brothers Lipper New York
(Incep. Municipal Bond Intermediate New York Intermediate Municipal
8/31/1999) Index Insured Municipal Bond Index Debt Fund Average
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
6 Months 4.96% 4.29% 4.22% 3.58%
1 Year 6.57% 6.79% 5.79% 5.22%
Since Inception* 6.44% -- -- --
</TABLE>
* Annualized
[GRAPH]
Lehman Brothers Lehman Brothers
New York Insured Intermediate New York
New York Municipal Bond Insured Municipal
Month Municipal Bond Fund Index Bond Index
08/31/1999 5,000,000 5,000,000 5,000,000
09/30/1999 5,019,710 4,993,502 5,015,500
10/31/1999 4,980,249 4,924,089 4,991,426
11/30/1999 5,025,490 4,993,028 5,030,857
12/31/1999 5,006,999 4,941,600 5,009,727
01/31/2000 4,983,454 4,912,940 4,991,693
02/29/2000 5,015,826 4,986,631 5,018,647
03/31/2000 5,096,773 5,113,293 5,091,418
04/30/2000 5,067,630 5,064,206 5,073,089
05/31/2000 5,050,517 5,039,895 5,057,871
06/30/2000 5,174,063 5,203,693 5,181,281
07/31/2000 5,232,730 5,272,379 5,249,674
08/31/2000 5,340,170 5,365,700 5,325,796
09/30/2000 5,349,497 5,332,434 5,306,090
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 8/31/1999, the Fund's Institutional Class inception
date compared to the Lehman Brothers New York Insured Municipal Bond Index and
the Lehman Brothers Intermediate New York Insured Municipal Bond Index, each an
unmanaged market index. Income may be subject to state and local taxes and (if
applicable) the Alternative Minimum Tax. We will no longer compare the Fund to
the Lehman Brothers Intermediate New York Insured Municipal Bond Index since the
Lehman Brothers Intermediate New York Insured Municipal Bond Index is not a
comparable New York Municipal index.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Fund's primary investment objective is to seek high current income that
is exempt from both federal and New York income taxes. Capital appreciation
is a secondary objective.
. The Fund returned 4.96% for the six-month period ended September 30, 2000.
The Lehman New York Insured Municipal Index returned 4.29% for the period of
March 31 to September 30, slightly above the return of 3.97% for the
national Lehman Municipal Bond Index.
. The Fund's benchmark changed as of June 1 from the Lehman Brothers New York
Tax- Exempt Intermediate Index to the Lehman New York Insured Municipal
Index.
. Reflecting the influence of retail buyers, intermediate New York yields
dropped more (up to 0.25%) than longer-term New York yields (0.05%) as
retail buyers concentrated their demand in intermediate maturity issues.
. The Fund's duration generally was below that of the benchmark, which
detracted from relative performance as New York intermediate and
long-maturity yields fell during the March to September half-year period.
. Overweighting intermediate-maturity New York issues boosted returns as
intermediate-term yields decreased more due to strong retail demand.
. Portfolio yield was enhanced through the use of non-insured, higher quality
revenue and local general obligation bonds.
. The average credit quality was maintained at AAA with very small
duration-weighted allocations to lower investment-grade (BBB) issues and no
below-investment-grade holdings.
2000 Semi-Annual Report 31
<PAGE>
Financial Highlights - Institutional Classes
<TABLE>
<CAPTION>
Net Asset Net Realized/ Total Dividends Dividends in
Value Unrealized Income from from Net Excess of Net
Beginning Net Investment Gain (Loss) on Investment Investment Investment
Selected Per Share Data for the Year or Period of Period Income (Loss) Investments Operations Income Income
Ended: --------- -------------- -------------- ----------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C>
Total Return Fund
Institutional Class
09/30/2000 (b) $ 9.96 $ 0.33 (a) $ 0.13 (a) $ 0.46 $ (0.33) $ 0.00
03/31/2000 10.36 0.63 (a) (0.40)(a) 0.23 (0.60) (0.03)
03/31/1999 10.62 0.63 (a) 0.16 (a) 0.79 (0.63) 0.00
03/31/1998 10.27 0.64 (a) 0.62 (a) 1.26 (0.62) (0.02)
03/31/1997 10.29 0.68 (0.02) 0.66 (0.66) (0.02)
03/31/1996 10.02 0.81 0.29 1.10 (0.61) (0.10)
Administrative Class
09/30/2000 (b) 9.96 0.32 (a) 0.13 (a) 0.45 (0.32) 0.00
03/31/2000 10.36 0.61 (a) (0.41)(a) 0.20 (0.58) (0.02)
03/31/1999 10.62 0.61 (a) 0.16 (a) 0.77 (0.61) 0.00
03/31/1998 10.27 0.61 (a) 0.63 (a) 1.24 (0.60) (0.02)
03/31/1997 10.29 0.66 (a) (0.02)(a) 0.64 (0.64) (0.02)
03/31/1996 10.01 0.80 0.29 1.09 (0.60) (0.09)
Total Return Fund II
Institutional Class
09/30/2000 (b) $ 9.67 $ 0.31 (a) $ 0.15 (a) $ 0.46 $ (0.31) $ 0.00
03/31/2000 10.11 0.58 (a) (0.44)(a) 0.14 (0.58) 0.00
03/31/1999 10.26 0.59 (a) 0.17 (a) 0.76 (0.59) 0.00
03/31/1998 9.85 0.63 (a) 0.52 (a) 1.15 (0.60) (0.03)
03/31/1997 9.89 0.61 (0.02) 0.59 (0.62) (0.01)
11/01/1995 - 03/31/1996 10.21 0.25 (0.17) 0.08 (0.26) 0.00
Administrative Class
09/30/2000 (b) 9.67 0.29 (a) 0.16 (a) 0.45 (0.30) 0.00
03/31/2000 10.11 0.55 (a) (0.44)(a) 0.11 (0.55) 0.00
03/31/1999 10.26 0.56 (a) 0.17 (a) 0.73 (0.56) 0.00
03/31/1998 9.85 0.60 (a) 0.52 (a) 1.12 (0.57) (0.03)
03/31/1997 9.89 0.59 (0.02) 0.57 (0.60) (0.01)
11/01/1995 - 03/31/1996 10.22 0.24 (0.17) 0.07 (0.26) 0.00
Total Return Fund III
Institutional Class
09/30/2000 (b) $ 8.74 $ 0.29 (a) $ 0.08 (a) $ 0.37 $ (0.29) $ 0.00
03/31/2000 9.27 0.55 (a) (0.53)(a) 0.02 (0.54) (0.01)
03/31/1999 9.55 0.57 (a) 0.20 (a) 0.77 (0.56) 0.00
03/31/1998 9.15 0.57 (a) 0.56 (a) 1.13 (0.54) (0.03)
03/31/1997 9.13 0.55 0.05 0.60 (0.55) (0.02)
03/31/1996 8.99 0.72 0.17 0.89 (0.54) (0.09)
Administrative Class
09/30/2000 (b) 8.74 0.27 (a) 0.09 (a) 0.36 (0.28) 0.00
03/31/2000 9.27 0.54 (a) (0.54)(a) 0.00 (0.52) (0.01)
03/31/1999 9.55 0.55 (a) 0.20 (a) 0.75 (0.54) 0.00
04/11/1997 - 03/31/1998 9.12 0.54 (a) 0.58 (a) 1.12 (0.50) (0.03)
Moderate Duration Fund
Institutional Class
09/30/2000 (b) $ 9.52 $ 0.31 (a) $ 0.18 (a) $ 0.49 $ (0.31) $ 0.00
03/31/2000 9.94 0.60 (a) (0.42)(a) 0.18 (0.58) (0.02)
03/31/1999 10.14 0.60 (a) 0.07 (a) 0.67 (0.60) 0.00
03/31/1998 9.83 0.38 (a) 0.56 (a) 0.94 (0.60) 0.00
12/31/1996 - 03/31/1997 10.00 0.15 (0.17) (0.02) (0.15) 0.00
</TABLE>
+ Annualized
(a)Per share amounts based on average number of shares outstanding during the
period.
(b)Unaudtied
(c)Ratio of expenses to average net assets excluding interest expense is 0.68%.
(d)Ratio of expenses to average net assets excluding interest expense is 0.43%.
32 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Distributions Distributions Ratio of
from Net in Excess of Net Tax Basis Net Asset Expenses to
Realized Realized Capital Return of Total Value End Net Assets End Average Net
Capital Gains Gains Capital Distributions of Period Total Return of Period (000s) Assets
------------- ---------------- --------- ------------- --------- ------------ ---------------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 0.00 $ 0.00 $ 0.00 $ (0.33) $ 10.09 4.75% $27,871,145 0.48%+
0.00 0.00 0.00 (0.63) 9.96 2.33 24,900,321 0.54 (d)
(0.24) (0.18) 0.00 (1.05) 10.36 7.60 21,711,396 0.43
(0.27) 0.00 0.00 (0.91) 10.62 12.63 16,484,119 0.43
0.00 0.00 0.00 (0.68) 10.27 6.60 12,528,536 0.43
(0.12) 0.00 0.00 (0.83) 10.29 11.14 10,247,605 0.42
0.00 0.00 0.00 (0.32) 10.09 4.62 3,808,824 0.73+
0.00 0.00 0.00 (0.60) 9.96 2.07 3,233,785 0.79 (c)
(0.24) (0.18) 0.00 (1.03) 10.36 7.33 1,972,984 0.68
(0.27) 0.00 0.00 (0.89) 10.62 12.36 481,730 0.68
0.00 0.00 0.00 (0.66) 10.27 6.34 151,194 0.68
(0.12) 0.00 0.00 (0.81) 10.29 10.99 104,618 0.68
$ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 9.82 4.81% $ 1,512,326 0.50%+
0.00 0.00 0.00 (0.58) 9.67 1.46 1,263,556 0.50
(0.18) (0.14) 0.00 (0.91) 10.11 7.46 986,690 0.50
(0.11) 0.00 0.00 (0.74) 10.26 11.99 574,587 0.50
0.00 0.00 0.00 (0.63) 9.85 6.15 478,451 0.50
(0.09) (0.05) 0.00 (0.40) 9.89 0.78 455,583 0.51+
0.00 0.00 0.00 (0.30) 9.82 4.68 42,930 0.75+
0.00 0.00 0.00 (0.55) 9.67 1.20 56,755 0.75
(0.18) (0.14) 0.00 (0.88) 10.11 7.19 54,736 0.75
(0.11) 0.00 0.00 (0.71) 10.26 11.71 15,172 0.75
0.00 0.00 0.00 (0.61) 9.85 5.88 5,304 0.75
(0.09) (0.05) 0.00 (0.40) 9.89 0.57 3,320 0.76+
$ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 8.82 4.27% $ 809,356 0.50%+
0.00 0.00 0.00 (0.55) 8.74 0.33 635,592 0.50
(0.24) (0.25) 0.00 (1.05) 9.27 8.20 488,243 0.50
(0.16) 0.00 0.00 (0.73) 9.55 12.62 365,249 0.51
0.00 (0.01) 0.00 (0.58) 9.15 6.76 193,297 0.51
(0.12) 0.00 0.00 (0.75) 9.13 10.06 142,223 0.50
0.00 0.00 0.00 (0.28) 8.82 4.14 10,571 0.75+
0.00 0.00 0.00 (0.53) 8.74 0.08 10,144 0.75
(0.24) (0.25) 0.00 (1.03) 9.27 7.93 1,867 0.75
(0.16) 0.00 0.00 (0.69) 9.55 12.46 178 0.76+
$ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 9.70 5.27% $ 444,493 0.45%+
0.00 0.00 0.00 (0.60) 9.52 1.86 387,126 0.47
(0.11) (0.16) 0.00 (0.87) 9.94 6.70 317,400 0.45
(0.03) 0.00 0.00 (0.63) 10.14 9.80 239,152 0.45
0.00 0.00 0.00 (0.15) 9.83 (0.25) 13,458 0.44+
<CAPTION>
Ratio of Net
Investment
Income (Loss)
to Average Net Portfolio
Assets Turnover Rate
-------------- -------------
<S> <C>
6.67%+ 186%
6.25 223
5.91 154
6.06 206
6.60 173
6.85 221
6.40+ 186
6.01 223
5.52 154
5.74 206
6.35 173
6.64 221
6.30%+ 227%
5.89 142
5.65 213
6.15 361
6.38 293
6.36+ 73
6.05+ 227
5.56 142
5.33 213
5.86 361
6.13 293
6.06+ 73
6.51%+ 158%
6.21 186
5.85 216
5.99 183
6.21 90
6.82 177
6.08+ 158
6.11 186
5.59 216
5.85+ 183
6.55%+ 123%
6.16 129
5.94 169
3.75 96
6.01+ 49
</TABLE>
2000 Semi-Annual Report See accompanying notes 33
<PAGE>
Financial Highlights - Institutional Classes (Cont.)
<TABLE>
<CAPTION>
Net Realized/
Net Asset Unrealized Total Dividends Dividends in
Value Net Investment Income from from Net Excess of Net
Beginning Investment Gain (Loss) on Investment Investment Investment
Selected Per Share Data for the Year or Period of Period Income (Loss) Investments Operations Income Income
Ended: --------- ------------- -------------- ---------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C>
Low Duration Fund
Institutional Class
09/30/2000 (b) $ 9.81 $ 0.34 (a) $ 0.05 (a) $ 0.39 $ (0.34) $ 0.00
03/31/2000 10.10 0.64 (a) (0.29)(a) 0.35 (0.63) (0.01)
03/31/1999 10.18 0.65 (a) (0.02)(a) 0.63 (0.65) 0.00
03/31/1998 9.98 0.65 (a) 0.23 (a) 0.88 (0.63) (0.02)
03/31/1997 9.95 0.64 0.03 0.67 (0.63) (0.01)
03/31/1996 9.76 0.66 0.21 0.87 (0.68) 0.00
Administrative Class
09/30/2000 (b) 9.81 0.30 (a) 0.08 (a) 0.38 (0.33) 0.00
03/31/2000 10.10 0.61 (a) (0.29)(a) 0.32 (0.60) (0.01)
03/31/1999 10.18 0.62 (a) (0.02)(a) 0.60 (0.62) 0.00
03/31/1998 9.98 0.63 (a) 0.22 (a) 0.85 (0.60) (0.02)
03/31/1997 9.95 0.62 0.03 0.65 (0.60) (0.02)
03/31/1996 9.76 0.63 0.21 0.84 (0.65) 0.00
Low Duration Fund II
Institutional Class
09/30/2000 (b) $ 9.69 $ 0.31 (a) $ 0.09 (a) $ 0.40 $ (0.31) $ 0.00
03/31/2000 9.95 0.58 (a) (0.27)(a) 0.31 (0.57) 0.00
03/31/1999 10.00 0.58 (a) 0.00 (a) 0.58 (0.58) 0.00
03/31/1998 9.81 0.22 (a) 0.59 (a) 0.81 (0.56) (0.04)
03/31/1997 9.82 0.62 (0.03) 0.59 (0.58) (0.02)
03/31/1996 9.77 0.66 0.04 0.70 (0.60) (0.03)
Administrative Class
09/30/2000 (b) 9.69 0.28 (a) 0.10 (a) 0.38 (0.29) 0.00
03/31/2000 9.95 0.52 (a) (0.23)(a) 0.29 (0.55) 0.00
03/31/1999 10.00 0.56 (a) 0.00 (a) 0.56 (0.56) 0.00
02/02/1998 - 03/31/1998 10.03 0.14 (a) (0.08)(a) 0.06 (0.08) (0.01)
Low Duration Fund III
Institutional Class
09/30/2000 (b) $ 9.66 $ 0.32 (a) $ 0.10 (a) $ 0.42 $ (0.32) $ 0.00
03/31/2000 9.98 0.61 (a) (0.32)(a) 0.29 (0.61) 0.00
03/31/1999 10.05 0.60 (a) 0.00 (a) 0.60 (0.60) 0.00
03/31/1998 9.91 0.53 (a) 0.24 (a) 0.77 (0.60) 0.00
12/31/1996 - 03/31/1997 10.00 0.15 (0.09) 0.06 (0.15) 0.00
Administrative Class
09/30/2000 (b) 9.66 0.33 (a) 0.08 (a) 0.41 (0.31) 0.00
03/31/2000 9.98 0.57 (a) (0.31) 0.26 (0.58) 0.00
03/19/1999 - 03/31/1999 9.97 0.02 0.01 0.03 (0.02) 0.00
Short-Term Fund
Institutional Class
09/30/2000 (b) $ 9.95 $ 0.32 (a) $ 0.02 (a) $ 0.34 $ (0.32) $ 0.00
03/31/2000 10.03 0.59 (a) (0.08)(a) 0.51 (0.59) 0.00
03/31/1999 10.06 0.57 (a) (0.02)(a) 0.55 (0.57) 0.00
03/31/1998 10.00 0.62 (a) 0.06 (a) 0.68 (0.60) (0.01)
03/31/1997 9.92 0.61 0.08 0.69 (0.59) (0.02)
03/31/1996 9.79 0.69 0.12 0.81 (0.65) (0.03)
Administrative Class
09/30/2000 (b) 9.95 0.30 (a) 0.03 (a) 0.33 (0.31) 0.00
03/31/2000 10.03 0.57 (a) (0.09)(a) 0.48 (0.56) 0.00
03/31/1999 10.06 0.54 (a) (0.02)(a) 0.52 (0.54) 0.00
03/31/1998 10.00 0.59 (a) 0.07 (a) 0.66 (0.58) (0.01)
03/31/1997 9.92 0.58 0.08 0.66 (0.57) (0.01)
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)Unaudtied
(c)Ratio of expenses to average net assets excluding interest expense is 0.75%.
(d)Ratio of expenses to average net assets excluding interest expense is 0.45%.
(e)Ratio of expenses to average net assets excluding interest expense is 0.70%.
(f)Ratio of expenses to average net assets excluding interest expense is 0.50%.
(g)Ratio of expenses to average net assets excluding interest expense is 0.68%.
(h)Ratio of expenses to average net assets excluding interest expense is 0.43%.
34 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Distributions Distributions Ratio of
from Net in Excess of Tax Basis Net Asset Expenses to
Realized Net Realized Return of Total Value End Net Assets End Average Net
Capital Gains Capital Gains Capital Distributions of Period Total Return of Period (000s) Assets
------------- ---------------- --------- ------------- --------- ------------ -------------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 0.00 $ 0.00 $ 0.00 $ (0.34) $ 9.86 4.04% $ 3,634,307 0.44%+
0.00 0.00 0.00 (0.64) 9.81 3.56 3,440,455 0.51 (h)
(0.01) (0.05) 0.00 (0.71) 10.10 6.35 3,367,438 0.43
(0.03) 0.00 0.00 (0.68) 10.18 9.00 2,759,531 0.43
0.00 0.00 0.00 (0.64) 9.98 6.97 2,797,001 0.43
0.00 0.00 0.00 (0.68) 9.95 9.13 2,677,574 0.42
0.00 0.00 0.00 (0.33) 9.86 3.91 135,230 0.69+
0.00 0.00 0.00 (0.61) 9.81 3.30 118,874 0.75 (g)
(0.01) (0.05) 0.00 (0.68) 10.10 6.09 128,212 0.68
(0.03) 0.00 0.00 (0.65) 10.18 8.73 46,186 0.68
0.00 0.00 0.00 (0.62) 9.98 6.71 23,564 0.68
0.00 0.00 0.00 (0.65) 9.95 8.83 2,536 0.69
$ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 9.78 4.14% $ 703,205 0.50%+(f)
0.00 0.00 0.00 (0.57) 9.69 3.28 467,997 0.57 (f)
0.00 (0.05) 0.00 (0.63) 9.95 5.89 414,463 0.57 (f)
(0.02) 0.00 0.00 (0.62) 10.00 8.29 401,204 0.50
0.00 0.00 0.00 (0.60) 9.81 6.33 339,375 0.51
0.00 0.00 (0.02) (0.65) 9.82 7.30 253,299 0.48
0.00 0.00 0.00 (0.29) 9.78 3.97 32 0.75+
0.00 0.00 0.00 (0.55) 9.69 3.01 71 1.17 (c)
0.00 (0.05) 0.00 (0.61) 9.95 5.63 22,594 0.85 (c)
0.00 0.00 0.00 (0.09) 10.00 0.58 56 0.75+
$ 0.00 $ 0.00 $ 0.00 $ (0.32) $ 9.76 4.46% $ 36,738 0.50%+
0.00 0.00 0.00 (0.61) 9.66 2.98 32,349 0.55 (f)
0.00 (0.07) 0.00 (0.67) 9.98 6.10 26,549 0.50
(0.03) 0.00 0.00 (0.63) 10.05 7.93 23,896 0.50
0.00 0.00 0.00 (0.15) 9.91 0.58 10,056 0.49+
0.00 0.00 0.00 (0.31) 9.76 4.34 10 0.75+
0.00 0.00 0.00 (0.58) 9.66 2.71 10 0.82 (c)
0.00 0.00 0.00 (0.02) 9.98 0.15 6 0.75
$ 0.00 $ 0.00 $ 0.00 $ (0.32) $ 9.97 3.44% $ 574,392 0.83%+(d)
0.00 0.00 0.00 (0.59) 9.95 5.19 589,203 0.64 (d)
0.00 (0.01) 0.00 (0.58) 10.03 5.63 495,752 0.45
(0.01) 0.00 0.00 (0.62) 10.06 7.06 172,846 0.45
0.00 0.00 0.00 (0.61) 10.00 7.12 156,515 0.47
0.00 0.00 0.00 (0.68) 9.92 8.49 101,797 0.58
0.00 0.00 0.00 (0.31) 9.97 3.31 4,054 1.04+(e)
0.00 0.00 0.00 (0.56) 9.95 4.91 15,137 0.89 (e)
0.00 (0.01) 0.00 (0.55) 10.03 5.39 3,769 0.70
(0.01) 0.00 0.00 (0.60) 10.06 6.80 5,147 0.70
0.00 0.00 0.00 (0.58) 10.00 6.86 4,513 0.72
0.00 0.00 0.00 (0.10) 9.92 0.41 3,999 0.52+
<CAPTION>
Ratio of Net
Investment
Income (Loss)
to Average Net Portfolio
Assets Turnover Rate
-------------- -------------
<C> <C>
6.95%+ 107%
6.40 82
6.36 245
6.39 309
6.46 240
6.88 209
6.07+ 107
6.13 82
6.09 245
6.16 309
6.21 240
6.73 209
6.26%+ 101%
5.88 117
5.79 322
5.98 335
6.31 237
6.61 225
5.79+ 101
5.30 117
5.47 322
8.53+ 335
6.65%+ 85%
6.20 87
5.94 167
5.98 307
6.00+ 155
6.79+ 85
5.79 87
6.42 167
6.35%+ 62%
5.88 38
5.66 47
6.12 48
6.12 77
6.86 215
5.91+ 62
5.67 38
5.37 47
5.86 48
5.87 77
4.44+ 215
</TABLE>
2000 Semi-Annual Report See accompanying notes 35
<PAGE>
Financial Highlights - Institutional Classes (Cont.)
<TABLE>
<CAPTION>
Net Asset Net Realized/ Total Dividends Dividends in
Value Unrealized Income from from Net Excess of Net
Beginning Net Investment Gain (Loss)on Investment Investment Investment
Selected Per Share Data for the Year or Period of Period Income (Loss) Investments Operations Income Income
Ended: --------- -------------- ------------- ----------- ---------- -------------
Money Market Fund
Institutional Class
<S> <C> <C> <C> <C> <C> <C>
09/30/2000 (b) $ 1.00 $ 0.03 (a) $ 0.00 (a) $ 0.03 $ (0.03) $ 0.00
03/31/2000 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00
03/31/1999 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00
03/31/1998 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00
03/31/1997 1.00 0.05 0.00 0.05 (0.05) 0.00
11/01/1995 - 03/31/1996 1.00 0.02 0.00 0.02 (0.02) 0.00
Administrative Class
09/30/2000 (b) 1.00 0.03 (a) 0.00 (a) 0.03 (0.03) 0.00
03/31/2000 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00
03/31/1999 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00
03/31/1998 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00
03/31/1997 1.00 0.05 0.00 0.05 (0.05) 0.00
11/01/1995 - 03/31/1996 1.00 0.02 0.00 0.02 (0.02) 0.00
Long-Term U.S. Government Fund
Institutional Class
09/30/2000 (b) $ 9.79 $ 0.31 (a) $ 0.16 (a) $ 0.47 $ (0.31) $ 0.00
03/31/2000 10.30 0.61 (a) (0.50)(a) 0.11 (0.62) 0.00
03/31/1999 10.57 0.63 (a) 0.20 (a) 0.83 (0.64) 0.00
03/31/1998 9.39 0.52 (a) 1.34 (a) 1.86 (0.62) 0.00
03/31/1997 9.96 0.79 (0.35) 0.44 (0.68) 0.00
03/31/1996 9.85 0.83 0.66 1.49 (0.68) (0.04)
Administrative Class
09/30/2000 (b) 9.79 0.30 (a) 0.16 (a) 0.46 (0.30) 0.00
03/31/2000 10.30 0.57 (a) (0.49)(a) (0.08) (0.59) 0.00
03/31/1999 10.57 0.60 (a) 0.20 (a) 0.80 (0.61) 0.00
09/23/1997 - 03/31/1998 10.17 0.26 (a) 0.51 (a) 0.77 (0.31) 0.00
Investment Grade Corporate Bond Fund
Institutional Class
04/28/2000 - 09/30/2000 (b) $ 10.00 $ 0.33 (a) $ 0.24 (a) $ 0.57 $ (0.31) $ 0.00
High Yield Fund
Institutional Class
09/30/2000 (b) $ 10.22 $ 0.46 (a) $(0.10)(a) $ 0.36 $ (0.46) $ 0.00
03/31/2000 11.23 0.94 (a) (1.01)(a) (0.07) (0.93) (0.01)
03/31/1999 11.66 0.95 (a) (0.43)(a) 0.52 (0.94) (0.01)
03/31/1998 11.10 0.98 (a) 0.65 (a) 1.63 (0.98) 0.00
03/31/1997 10.94 0.92 0.34 1.26 (0.97) 0.00
03/31/1996 10.42 1.04 0.54 1.58 (1.01) 0.00
Administrative Class
09/30/2000 (b) 10.22 0.45 (a) (0.10)(a) 0.35 (0.45) 0.00
03/31/2000 11.23 0.91 (a) (1.01)(a) (0.10) (0.90) (0.01)
03/31/1999 11.66 0.93 (a) (0.43)(a) 0.50 (0.92) (0.01)
03/31/1998 11.10 0.95 (a) 0.65 (a) 1.60 (0.95) 0.00
03/31/1997 10.94 0.85 (a) 0.38 (a) 1.23 (0.94) 0.00
03/31/1996 10.41 1.02 (a) 0.54 (a) 1.56 (0.98) 0.00
Total Return Mortgage Fund
Institutional Class
09/30/2000 (b) $ 9.97 $ 0.31 (a) $ 0.21 (a) $ 0.52 $ (0.31) $ 0.00
03/31/2000 10.19 0.59 (a) (0.21)(a) 0.38 (0.59) 0.00
03/31/1999 10.24 0.58 (a) 0.05 (a) 0.63 (0.58) 0.00
07/31/1997 - 03/31/1998 10.00 0.41 (a) 0.30 (a) 0.71 (0.46) 0.00
GNMA Fund
Institutional Class
09/30/2000 (b) $ 9.89 $ 0.31 (a) $ 0.03 (a) $ 0.34 $ (0.31) $ 0.00
03/31/2000 10.01 0.62 (a) (0.12)(a) 0.50 (0.62) 0.00
03/31/1999 10.13 0.64 (a) (0.08)(a) 0.56 (0.64) 0.00
07/31/1997 - 03/31/1998 10.00 0.43 (a) 0.14 (a) 0.57 (0.42) 0.00
</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 0.76%.
(d) Ratio of expenses to average net assets excluding interest expense is 0.51%.
36 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Distributions Distributions Ratio of
from Net in Excess of Net Tax Basis Net Asset Expenses to
Realized Realized Capital Return of Total Value End Net Assets End Average Net
Capital Gains Gains Capital Distributions of Period Total Return of Period (000s) Assets
------------- ---------------- --------- ------------- --------- ------------ ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 0.00 $ 0.00 $ 0.00 $ (0.03) $ 1.00 3.08% $ 198,757 0.36%+
0.00 0.00 0.00 (0.05) 1.00 5.21 305,016 0.35
0.00 0.00 0.00 (0.05) 1.00 5.14 322,290 0.35
0.00 0.00 0.00 (0.05) 1.00 5.40 55,335 0.35
0.00 0.00 0.00 (0.05) 1.00 5.19 23,497 0.40
0.00 0.00 0.00 (0.02) 1.00 2.58 25,935 0.33+
0.00 0.00 0.00 (0.03) 1.00 2.96 8,518 0.61+
0.00 0.00 0.00 (0.05) 1.00 4.96 9,791 0.60
0.00 0.00 0.00 (0.05) 1.00 4.93 9,273 0.60
0.00 0.00 0.00 (0.05) 1.00 5.12 749 0.60
0.00 0.00 0.00 (0.05) 1.00 4.94 12 0.66
0.00 0.00 0.00 (0.02) 1.00 2.47 10 0.61+
$ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 9.95 4.89% $ 223,420 0.50%+
0.00 0.00 0.00 (0.62) 9.79 1.26 217,410 0.57 (f)
0.00 (0.46) 0.00 (1.10) 10.30 7.76 170,847 0.89 (f)
(0.06) 0.00 0.00 (0.68) 10.57 20.23 48,547 0.51
0.00 (0.33) 0.00 (1.01) 9.39 4.48 19,995 0.63
(0.50) (0.16) 0.00 (1.38) 9.96 14.83 32,511 0.56
0.00 0.00 0.00 (0.30) 9.95 4.76 41,901 0.75+
0.00 0.00 0.00 (0.59) 9.79 1.01 39,808 0.82 (e)
0.00 (0.46) 0.00 (1.07) 10.30 7.46 11,383 1.15 (c)
(0.06) 0.00 0.00 (0.37) 10.57 7.60 4,957 0.76+
$ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 10.26 5.95% $ 5,300 0.50%+
$ 0.00 $ 0.00 $ 0.00 $ (0.46) $ 10.12 3.61% $1,787,988 0.50%+
0.00 0.00 0.00 (0.94) 10.22 (0.74) 1,960,171 0.50
0.00 0.00 0.00 (0.95) 11.23 4.73 2,162,868 0.50
0.00 (0.09) 0.00 (1.07) 11.66 15.26 1,628,930 0.50
(0.13) 0.00 0.00 (1.10) 11.10 12.04 744,498 0.50
(0.05) 0.00 0.00 (1.06) 10.94 15.70 536,983 0.47
0.00 0.00 0.00 (0.45) 10.12 3.49 427,739 0.75+
0.00 0.00 0.00 (0.91) 10.22 (0.99) 354,296 0.75
0.00 0.00 0.00 (0.93) 11.23 4.49 238,792 0.75
0.00 (0.09) 0.00 (1.04) 11.66 14.98 69,937 0.75
(0.13) 0.00 0.00 (1.07) 11.10 11.76 10,428 0.76
(0.05) 0.00 0.00 (1.03) 10.94 15.54 1,007 0.80
$ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 10.18 5.27% $ 15,888 0.50%+
0.00 (0.01) 0.00 (0.60) 9.97 3.91 3,971 0.50
(0.03) (0.07) 0.00 (0.68) 10.19 6.27 4,128 0.50
(0.01) 0.00 0.00 (0.47) 10.24 6.69 3,588 0.52+
$ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 9.92 3.51% $ 7,990 0.50%+
0.00 0.00 0.00 (0.62) 9.89 5.16 4,308 1.60 (d)
0.00 (0.04) 0.00 (0.68) 10.01 5.71 4,119 2.37 (d)
(0.02) 0.00 0.00 (0.44) 10.13 5.86 3,748 1.81+(f)
<CAPTION>
Ratio of Net
Investment
Income (Loss)
to Average Net Portfolio
Assets Turnover Rate
-------------- -------------
<S> <C>
6.00%+ N/A
5.04 N/A
4.85 N/A
5.29 N/A
5.08 N/A
5.44+ N/A
5.77+ N/A
4.79 N/A
4.44 N/A
5.04 N/A
4.83 N/A
5.95+ N/A
6.26%+ 828%
6.29 320
5.83 364
4.88 177
7.63 402
6.80 238
6.02+ 828
5.82 320
5.58 364
4.87+ 177
7.51%+ 113%
8.99%+ 20%
8.64 39
8.41 39
8.52 37
8.77 67
9.28 66
8.74+ 20
8.40 39
8.17 39
8.21 37
8.48 67
9.16 66
6.18%+ 388%
5.94 1476
5.66 158
6.07+ 593
6.23%+ 3%
6.23 952
6.35 198
6.30+ 486
</TABLE>
(e) Ratio of expenses to average net assets excluding interest expense is 0.75%.
(f) Ratio of expenses to average net assets excluding interest expense is 0.50%.
2000 Semi-Annual Report See accompanying notes 37
<PAGE>
Financial Highlights - Institutional Classes (Cont.)
<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 or Period Beginning Net Investment Gain (Loss) on Investment Investment Investment
Ended: of Period Income (Loss) Investments Operations Income Income
--------- -------------- -------------- ----------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C>
Real Return Bond Fund
Institutional Class
09/30/2000 (b) $ 9.92 $ 0.43 (a) $ 0.05 (a) $ 0.48 $ (0.45) $ 0.00
03/31/2000 9.83 0.68 (a) 0.11 (a) 0.79 (0.68) 0.00
03/31/1999 9.77 0.51 (a) 0.10 (a) 0.61 (0.48) (0.07)
03/31/1998 9.93 0.44 (a) 0.05 (a) 0.49 (0.48) (0.03)
01/29/1997 - 03/31/1997 9.92 0.11 (0.02) 0.09 (0.08) 0.00
Administrative Class
04/28/2000 - 09/30/2000 (b) 9.95 0.35 (a) (0.01)(a) 0.34 (0.34) 0.00
Foreign Bond Fund
Institutional Class
09/30/2000 (b) $ 10.03 $ 0.31 (a) $ 0.07 (a) $ 0.38 $ (0.31) $ 0.00
03/31/2000 10.63 0.64 (a) (0.45)(a) 0.19 (0.64) 0.00
03/31/1999 10.74 0.58 (a) 0.24 (a) 0.82 (0.58) 0.00
03/31/1998 10.41 0.66 (a) 0.61 (a) 1.27 (0.63) 0.00
03/31/1997 10.50 0.80 1.00 1.80 (0.40) 0.00
03/31/1996 9.38 0.96 1.03 1.99 (0.34) (0.25)
Administrative Class
09/30/2000 (b) 10.03 0.30 (a) 0.07 (a) 0.37 (0.30) 0.00
03/31/2000 10.63 0.61 (a) (0.45)(a) 0.16 (0.61) 0.00
03/31/1999 10.74 0.56 (a) 0.24 (a) 0.80 (0.56) 0.00
03/31/1998 10.41 0.63 (a) 0.61 (a) 1.24 (0.60) 0.00
01/28/1997 - 03/31/1997 10.54 0.59 (0.67) (0.08) (0.05) 0.00
Global Bond Fund
Institutional Class
09/30/2000 (b) $ 9.01 $ 0.26 (a) $ (0.40)(a) $ (0.14) $ (0.26) $ 0.00
03/31/2000 9.76 0.57 (a) (0.75)(a) (0.18) (0.46) (0.06)
03/31/1999 9.70 0.52 (a) 0.14 (a) 0.66 (0.36) (0.16)
03/31/1998 9.86 0.66 (a) (0.10)(a) 0.56 (0.53) 0.00
03/31/1997 10.05 0.70 (0.01) 0.69 (0.44) 0.00
03/31/1996 9.87 0.45 0.72 1.17 (0.61) 0.00
Administrative Class
09/30/2000 (b) 9.01 0.25 (a) (0.40)(a) (0.15) (0.25) 0.00
03/31/2000 9.76 0.55 (a) (0.75)(a) (0.20) (0.45) (0.05)
03/31/1999 9.70 0.51 (a) 0.14 (a) 0.65 (0.35) (0.16)
03/31/1998 9.86 0.59 (a) (0.05)(a) 0.54 (0.51) 0.00
08/01/1996 - 03/31/1997 10.28 0.51 (0.23) 0.28 (0.26) 0.00
Global Bond Fund II
Institutional Class
09/30/2000 (b) $ 9.41 $ 0.30 (a) $ 0.07 (a) $ 0.37 $ (0.30) $ 0.00
03/31/2000 9.89 0.56 (a) (0.46)(a) 0.10 (0.55) (0.01)
03/31/1999 9.92 0.52 (a) 0.06 (a) 0.58 (0.52) 0.00
02/25/1998 - 03/31/1998 9.82 0.06 (a) 0.09 (a) 0.15 0.00 (0.05)
Emerging Markets Bond Fund
Institutional Class
09/30/2000 (b) $ 8.61 $ 0.42 (a) $ 0.03 (a) $ 0.45 $ (0.42) $ 0.00
03/31/2000 7.51 0.86 (a) 1.11 (a) 1.97 (0.87) 0.00
03/31/1999 9.67 0.87 (a) (2.11)(a) (1.24) (0.87) 0.00
07/31/1997 - 03/31/1998 10.00 0.46 (a) (0.18)(a) 0.28 (0.46) 0.00
Administrative Class
09/30/2000 (b) 8.61 0.40 (a) 0.04 (a) 0.44 (0.41) 0.00
03/31/2000 7.51 0.83 (a) 1.12 (a) 1.95 (0.85) 0.00
09/30/1998 - 03/31/1999 6.82 0.45 (a) 0.74 (a) 1.19 (0.45) 0.00
</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 0.75%.
(d) Ratio of expenses to average net assets excluding interest expense is 0.55%.
(e) Ratio of expenses to average net assets excluding interest expense is 0.80%.
(f) Ratio of expenses to average net assets excluding interest expense is 0.50%.
38 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Distributions Distributions Ratio of
from Net in Excess of Net Tax Basis Net Asset Expenses to
Realized Realized Capital Return of Total Value End Net Assets End Average Net
Capital Gains Gains Capital Distributions of Period Total Return of Period (000s) Assets
------------- ---------------- --------- ------------- --------- ------------ ---------------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 0.00 $ 0.00 $ 0.00 $ (0.45) $ 9.95 5.00% $ 403,549 0.53%+
(0.02) 0.00 0.00 (0.70) 9.92 8.37 207,826 0.53
0.00 0.00 0.00 (0.55) 9.83 6.41 15,588 0.52
(0.14) 0.00 0.00 (0.65) 9.77 4.70 5,526 0.52
0.00 0.00 0.00 (0.08) 9.93 0.09 5,638 0.51+
0.00 0.00 0.00 (0.34) 9.95 3.52 12,631 0.78+
$ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 10.10 3.83% $ 441,456 0.55%+
(0.15) 0.00 0.00 (0.79) 10.03 1.96 421,831 0.69 (f)
(0.10) (0.25) 0.00 (0.93) 10.63 7.92 530,325 0.50
(0.31) 0.00 0.00 (0.94) 10.74 12.64 392,198 0.50
(1.49) 0.00 0.00 (1.89) 10.41 17.69 234,880 0.50
(0.25) (0.03) 0.00 (0.87) 10.50 21.80 258,493 0.52
0.00 0.00 0.00 (0.30) 10.10 3.71 6,014 0.80+
(0.15) 0.00 0.00 (0.76) 10.03 1.70 4,824 0.97 (c)
(0.10) (0.25) 0.00 (0.91) 10.63 7.65 2,096 0.75
(0.31) 0.00 0.00 (0.91) 10.74 12.34 315 0.75
0.00 0.00 0.00 (0.05) 10.41 (0.72) 30 0.79+
$ 0.00 $ 0.00 $ 0.00 $ (0.26) $ 8.61 (1.58)% $ 317,146 0.57%+
0.00 0.00 (0.05) (0.57) 9.01 (1.81) 271,538 0.71 (d)
(0.08) 0.00 0.00 (0.60) 9.76 6.90 266,984 0.55
0.00 (0.19) 0.00 (0.72) 9.70 5.85 256,274 0.55
(0.44) 0.00 0.00 (0.88) 9.86 6.78 215,631 0.56
(0.21) (0.17) 0.00 (0.99) 10.05 12.04 133,833 0.58
0.00 0.00 0.00 (0.25) 8.61 (1.71) 2,343 0.82+
0.00 0.00 (0.05) (0.55) 9.01 (2.05) 2,238 0.92 (e)
(0.08) 0.00 0.00 (0.59) 9.76 6.78 1,326 0.80
0.00 (0.19) 0.00 (0.70) 9.70 5.57 1,548 0.80
(0.44) 0.00 0.00 (0.70) 9.86 2.97 346 0.78+
$ 0.00 $ 0.00 $ 0.00 $ (0.30) $ 9.48 4.00% $ 61,299 0.55%+
(0.02) 0.00 0.00 (0.58) 9.41 1.11 84,926 0.61 (d)
(0.01) (0.08) 0.00 (0.61) 9.89 6.06 29,044 0.55
0.00 0.00 0.00 (0.05) 9.92 1.02 24,517 0.55+
$ 0.00 $ 0.00 $ 0.00 $ (0.42) $ 8.64 5.40% $ 38,302 0.85%+
0.00 0.00 0.00 (0.87) 8.61 27.90 12,614 0.89
0.00 (0.05) 0.00 (0.92) 7.51 (12.55) 3,641 0.85
(0.15) 0.00 0.00 (0.61) 9.67 3.10 3,676 0.86+
0.00 0.00 0.00 (0.41) 8.64 5.27 11,069 1.10+
0.00 0.00 0.00 (0.85) 8.61 27.60 13,490 1.14
0.00 (0.05) 0.00 (0.50) 7.51 17.88 118 1.10+
<CAPTION>
Ratio of Net
Investment
Income (Loss)
to Average Net Portfolio
Assets Turnover Rate
-------------- -------------
<S> <C>
8.60%+ 179%
6.91 253
5.18 438
4.46 967
6.54+ 160
8.34+ 179
6.23%+ 248%
6.20 330
5.39 376
6.32 280
7.88 984
5.83 1234
5.94+ 248
6.01 330
5.13 376
6.07 280
7.63+ 984
5.96%+ 217%
6.12 301
5.35 143
6.64 389
7.51 911
5.88 1083
5.61+ 217
5.91 301
5.21 143
6.39 389
5.66+ 911
6.29%+ 209%
5.92 290
5.29 236
6.24+ 369
9.85%+ 377%
10.69 328
11.08 315
7.21+ 695
9.43+ 377
10.30 328
6.24+ 315
</TABLE>
2000 Semi-Annual Report See accompanying notes 39
<PAGE>
<TABLE>
<CAPTION>
Financial Highlights - Institutional Classes (Cont.)
Net Asset Net Realized/ Total Dividends Dividends in
Value Unrealized Income from from Net Excess of Net
Beginning Net Investment Gain (Loss)on Investment Investment Investment
Selected Per Share Data for the Year or Period of Period Income (Loss) Investments Operations Income Income
Ended: --------- -------------- ------------- ----------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C>
Strategic Balanced Fund
Institutional Class
09/30/2000 (b) $ 12.80 $ 0.33 (a) $(0.44)(a) $ (0.11) $ (0.43) $ 0.00
03/31/2000 12.76 0.80 (a) 0.44 (a) 1.24 (0.74) 0.00
03/31/1999 12.60 0.89 (a) 0.60 (a) 1.49 (0.66) 0.00
03/31/1998 10.32 1.30 (a) 2.05 (a) 3.35 (0.84) 0.00
06/28/1996 - 03/31/1997 10.00 0.85 0.31 1.16 (0.63) 0.00
Administrative Class
09/30/2000 (b) 12.79 0.31 (a) (0.42)(a) (0.11) (0.42) 0.00
06/30/1999 - 03/31/2000 13.17 0.62 (a) 0.07 (a) 0.69 (0.61) 0.00
Convertible Fund
Institutional Class
09/30/2000 (b) $ 15.77 $ 0.00 (a) $(0.32)(a) $ (0.32) $ (0.12) $ 0.00
03/31/2000 10.00 0.07 (a) 5.97 (a) 6.04 (0.03) (0.15)
Administrative Class
08/01/2000 - 09/30/2000 (b) 14.49 (0.01) (a) 0.95 (a) 0.94 (0.10) 0.00
StocksPLUS Fund
Institutional Class
09/30/2000 (b) $ 14.15 $ 0.23 (a) $ (0.68)(a) $ (0.45) $ (0.26) $ 0.00
03/31/2000 14.32 1.08 (a) 1.33 (a) 2.41 (1.10) 0.00
03/31/1999 14.09 0.97 (a) 1.32 (a) 2.29 (0.82) 0.00
03/31/1998 11.46 1.90 (a) 3.23 (a) 5.13 (1.41) 0.00
03/31/1997 11.16 1.27 0.82 2.09 (1.27) 0.00
03/31/1996 10.48 0.91 2.48 3.39 (1.05) 0.00
Administrative Class
09/30/2000 (b) 14.03 0.22 (a) (0.68)(a) (0.46) (0.25) 0.00
03/31/2000 14.25 1.10 (a) 1.23 (a) 2.33 (1.07) 0.00
03/31/1999 14.06 1.10 (a) 1.13 (a) 2.23 (0.80) 0.00
03/31/1998 11.46 1.89 (a) 3.19 (a) 5.08 (1.39) 0.00
01/07/1997 - 03/31/1997 11.56 0.14 (0.09) 0.05 (0.15) 0.00
Municipal Bond Fund
Institutional Class
09/30/2000 (b) $ 9.47 $ 0.24 (a) $ 0.15 (a) $ 0.39 $ (0.24) $ 0.00
03/31/2000 10.12 0.46 (a) (0.65)(a) (0.19) (0.46) 0.00
03/31/1999 9.97 0.45 (a) 0.14 (a) 0.59 (0.44) 0.00
12/31/1997 - 03/31/1998 10.00 0.11 (a) (0.03)(a) 0.08 (0.11) 0.00
Administrative Class
09/30/2000 (b) 9.47 0.23 (a) 0.15 (a) 0.38 (0.23) 0.00
03/31/2000 10.12 0.44 (a) (0.65)(a) (0.21) (0.44) 0.00
09/30/1998 - 03/31/1999 10.25 0.21 (0.13) 0.08 (0.21) 0.00
Short Duration Municipal Income Fund
Institutional Class
09/30/2000 (b) $ 9.99 $ 0.21 (a) $ 0.05 (a) $ 0.26 $ (0.21) $ 0.00
08/31/1999 - 03/31/2000 10.00 0.23 (a) (0.01)(a) 0.22 (0.23) 0.00
California Intermediate Municipal Bond Fund
Institutional Class
09/30/2000 (b) $ 10.05 $ 0.22 (a) $ 0.24 (a) $ 0.46 $ (0.22) $ 0.00
08/31/1999 - 03/31/2000 10.00 0.25 (a) 0.06 (a) 0.31 (0.24) 0.00
Administrative Class
09/30/2000 (b) 10.05 0.21 (a) 0.24 (a) 0.45 (0.21) 0.00
09/07/1999 - 03/31/2000 10.02 0.22 (a) 0.05 (a) 0.27 (0.22) 0.00
California Municipal Bond Fund
Institutional Class
05/16/2000 - 09/30/2000 (b) $ 10.00 $ 0.18 (a) $ 0.40 (a) $ 0.58 $ (0.20) $ 0.00
New York Municipal Bond Fund
Institutional Class
09/30/2000 (b) $ 9.94 $ 0.22 (a) $ 0.27 (a) $ 0.49 $ (0.22) $ 0.00
08/31/1999 - 03/31/2000 10.00 0.23 (a) (0.04)(a) 0.19 (0.23) 0.00
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Unaudtied
40 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Distributions Distributions Ratio of
from Net in Excess of Net Tax Basis Net Asset Expenses to
Realized Realized Capital Return of Total Value End Net Assets End Average Net
Capital Gains Gains Capital Distributions of Period Total Return of Period (000s) Assets
------------- ---------------- --------- ------------- --------- ------------ ---------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 0.00 $ 0.00 $ 0.00 $ (0.43) $ 12.26 (0.86)% $ 51,699 0.66%+
(0.15) (0.31) 0.00 (1.20) 12.80 10.05 124,934 0.65
(0.67) 0.00 0.00 (1.33) 12.76 12.36 97,945 0.65
(0.23) 0.00 0.00 (1.07) 12.60 33.40 38,806 0.65
(0.21) 0.00 0.00 (0.84) 10.32 11.83 10,360 0.90+
0.00 0.00 0.00 (0.42) 12.26 (0.85) 558 0.91+
(0.15) (0.31) 0.00 (1.07) 12.79 5.47 709 0.90+
$ 0.00 $ 0.00 $ 0.00 $ (0.12) $ 15.33 (2.00)% $ 132,559 0.68%+
(0.09) 0.00 0.00 (0.27) 15.77 60.66 168,224 0.65 (g)
0.00 0.00 0.00 (0.10) 15.33 6.47 434 0.93+
$ 0.00 $ 0.00 $ 0.00 $ (0.26) $ 13.44 (3.16)% $ 633,919 0.65%+
(0.97) (0.51) 0.00 (2.58) 14.15 17.82 620,144 0.65
(1.24) 0.00 0.00 (2.06) 14.32 17.65 512,953 0.65
(1.09) 0.00 0.00 (2.50) 14.09 47.75 416,600 0.65
(0.52) 0.00 0.00 (1.79) 11.46 19.44 235,829 0.65
(1.62) (0.04) 0.00 (2.71) 11.16 34.07 151,869 0.70
0.00 0.00 0.00 (0.25) 13.32 (3.29) 37,866 0.90+
(0.97) (0.51) 0.00 (2.55) 14.03 17.31 28,403 0.90
(1.24) 0.00 0.00 (2.04) 14.25 17.21 11,302 0.90
(1.09) 0.00 0.00 (2.48) 14.06 47.19 2,143 0.90
0.00 0.00 0.00 (0.15) 11.46 0.34 682 0.95+
$ 0.00 $ 0.00 $ 0.00 $ (0.24) $ 9.62 4.16% $ 11,719 0.50%+
0.00 0.00 0.00 (0.46) 9.47 (1.81) 5,684 0.50
0.00 0.00 0.00 (0.44) 10.12 6.04 5,894 0.50
0.00 0.00 0.00 (0.11) 9.97 0.78 3,023 0.50+
0.00 0.00 0.00 (0.23) 9.62 4.03 4,534 0.75+
0.00 0.00 0.00 (0.44) 9.47 (2.07) 3,141 0.75
0.00 0.00 0.00 (0.21) 10.12 0.83 1,419 0.75+
$ 0.00 $ 0.00 $ 0.00 $ (0.21) $ 10.04 2.65% $ 13,149 0.39%+
0.00 0.00 (0.43) (0.23) 9.99 2.19 10,725 0.39+ (c)
$ 0.00 $ 0.00 $ 0.00 $ (0.22) $ 10.29 4.66% $ 67,923 0.49%+
(0.02) 0.00 0.00 (0.26) 10.05 3.16 8,415 0.49+ (d)
0.00 0.00 0.00 (0.21) 10.29 4.54 1,627 0.74+
(0.02) 0.00 0.00 (0.24) 10.05 2.73 10 0.75+ (e)
$ 0.00 $ 0.00 $ 0.00 $ (0.20) $ 10.38 5.77% $ 9,108 0.49%+
$ 0.00 $ 0.00 $ 0.00 $ (0.22) $ 10.21 4.96% $ 3,211 0.49%+
(0.02) 0.00 (0.21) (0.25) 9.94 1.93 3,058 0.49+ (f)
<CAPTION>
Ratio of Net
Investment
Income (Loss)
to Average Net Portfolio
Assets Turnover Rate
-------------- -------------
<S> <C>
5.24%+ 543%
6.19 176
7.00 82
10.84 56
9.72+ 95
4.99+ 543
6.48+ 176
0.03%+ 100%
0.50 247
(0.53)+ 100
3.32%+ 42%
7.42 92
6.92 81
13.74 30
11.78 47
15.23 102
3.21+ 42
7.61 92
7.83 81
13.49 30
4.83+ 47
5.06%+ 150%
4.80 145
4.41 70
4.46+ 60
4.77+ 150
4.58 145
2.11+ 70
4.26%+ 71%
3.92+ 171
4.31%+ 194%
4.22+ 357
4.04+ 194
3.95+ 357
4.75%+ 286%
4.30%+ 623%
4.00+ 270
</TABLE>
(c)Ratio of expenses to average net assets excluding interest expense is 0.62%.
(d)Ratio of expenses to average net assets excluding interest expense is 1.02%.
(e)Ratio of expenses to average net assets excluding interest expense is 1.01%.
(f)Ratio of expenses to average net assets excluding interest expense is 1.30%.
(g)Ratio of expenses to average net assets excluding interest expense is 0.69%.
2000 Semi-Annual Report See accompanying notes 41
<PAGE>
Statements of Assets and Liabilities
September 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Total Total Total Moderate Low
Amounts in thousands, except per share amounts Return Fund Return Fund II Return Fund III Duration Fund Duration Fund
------------ -------------- --------------- ------------- -------------
Assets:
<S> <C> <C> <C> <C> <C>
Investments, at value $ 54,049,779 $ 2,330,433 $ 1,330,576 $ 544,684 $ 5,309,953
Cash and foreign currency 10,032 353 10,728 1,520 0
Receivable for investments sold and forward foreign
currency contracts 644,787 25,579 90,365 49,923 229,584
Receivable for Fund shares sold 192,212 1,670 113 1,543 14,212
Interest and dividends receivable 433,213 14,650 11,672 4,964 64,423
Variation margin receivable 7,095 0 0 75 261
Manager reimbursement receivable 0 0 0 0 0
Other assets 0 138 0 0 961
55,337,118 2,372,823 1,443,454 602,709 5,619,394
------------ ----------- ------------ ----------- --------------
Liabilities:
Payable for investments purchased and forward foreign
currency contracts $ 14,893,787 $ 745,340 $ 513,684 $ 111,126 $ 932,447
Payable for financing transactions 4,370,371 43,503 106,502 35,342 415,375
Notes payable 181,070 0 52 35 28,531
Written options outstanding 35,447 1,015 987 115 1,370
Payable for Fund shares redeemed 237,276 25,280 124 11,219 18,548
Dividends payable 39,459 1,698 379 85 3,433
Accrued investment advisory fee 7,463 333 169 99 906
Accrued administration fee 6,068 333 169 80 733
Accrued distribution fee 1,652 12 2 0 116
Accrued servicing fee 808 0 0 0 94
Variation margin payable 0 53 119 0 0
Other liabilities 15,002 0 1,340 115 333
19,788,403 817,567 623,527 158,216 1,401,886
------------ ----------- ------------ ----------- --------------
Net Assets $ 35,548,715 $ 1,555,256 $ 819,927 $ 444,493 $ 4,217,508
------------ ----------- ------------ ----------- --------------
Net Assets Consist of:
Paid in capital $ 36,552,222 $ 1,590,147 $ 852,888 $ 454,796 $ 4,317,927
Undistributed (overdistributed) net investment income (52,845) (858) (763) (189) (8,388)
Accumulated undistributed net realized gain (loss) (641,460) (29,613) (25,267) (9,840) (59,730)
Net unrealized appreciation (depreciation) (309,202) (4,420) (6,931) (274) (32,301)
$ 35,548,715 $ 1,555,256 $ 819,927 $ 444,493 $ 4,217,508
------------ ----------- ------------ ----------- --------------
Net Assets:
Institutional Class $ 27,871,145 $ 1,512,326 $ 809,356 $ 444,493 $ 3,634,307
Administrative Class 3,808,824 42,930 10,571 0 135,230
Other Classes 3,868,746 0 0 0 447,971
------------ ----------- ------------ ----------- --------------
Shares Issued and Outstanding:
Institutional Class 2,760,532 153,981 91,909 45,841 368,532
Administrative Class 377,249 4,371 1,200 0 13,713
------------ ----------- ------------ ----------- --------------
Net Asset Value and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional Class $ 10.09 $ 9.82 $ 8.82 $ 9.70 $ 9.86
Administrative Class 10.09 9.82 8.82 0.00 9.86
------------ ----------- ------------ ----------- --------------
Cost of Investments Owned $ 54,354,587 $ 2,333,523 $ 1,336,225 $ 545,303 $ 5,347,094
------------ ----------- ------------ ----------- --------------
Cost of Foreign Currency Held $ 55,419 $ 0 $ 10,504 $ 1,470 $ 5,462
------------ ----------- ------------ ----------- --------------
</TABLE>
42 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Investment
Low Low Long-Term Grade
Duration Duration Short-Term Money U.S. Gov't Corporate High Yield Total Return
Fund II Fund III Fund Market Fund Fund Bond Fund Fund Mortgage Fund GNMA Fund
------------ ----------- ------------ ----------- ------------ ---------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 857,465 $ 46,015 $ 855,837 $ 344,932 $ 652,870 $ 5,201 $ 3,037,644 $ 23,894 $ 8,151
0 37 0 317 2,937 0 3,666 0 1
37,701 3,365 78,809 0 701,943 208 28,459 4,985 1
126 0 1,082 10,394 1,304 0 4,419 0 39
6,656 474 9,110 730 10,394 104 62,330 80 58
0 2 0 0 56 1 0 0 0
0 0 0 0 0 0 0 0 0
0 0 56 0 1,065 0 0 1 1
901,948 49,893 944,894 356,373 1,370,569 5,514 3,136,518 28,960 8,251
------------ ----------- ------------ ----------- ------------ ---------- ------------ -------------- ------------
$ 193,484 $ 12,490 $ 41,828 $ 0 $ 493,430 $ 212 $ 66,227 $ 12,541 $ 148
4,346 632 138,588 0 505,316 0 0 0 109
0 0 63,033 0 0 0 0 0 0
83 7 36 0 1 0 0 0 0
230 0 5,949 892 554 0 3,732 65 0
282 0 1,020 34 406 0 4,816 0 0
143 8 148 47 78 1 659 4 2
143 8 132 81 92 1 767 4 2
0 0 10 16 44 0 485 0 0
0 0 24 15 23 0 181 0 0
0 0 0 0 0 0 0 0 0
0 0 3,227 0 397 0 127 0 0
198,711 13,145 253,995 1,085 1,000,341 214 76,994 12,614 261
------------ ----------- ------------ ----------- ------------ ---------- ------------ -------------- ------------
$ 703,237 $ 36,748 $ 690,899 $ 355,288 $ 370,228 $ 5,300 $ 3,059,524 $ 16,346 $ 7,990
------------ ----------- ------------ ----------- ------------ ---------- ------------ -------------- ------------
$ 710,569 $ 37,381 $ 693,777 $ 355,274 $ 393,575 $ 5,166 $ 3,505,695 $ 15,834 $ 7,977
(435) (29) 413 14 15 0 (2,104) 4 39
(6,803) (671) (1,905) 0 (21,583) 21 (214,136) 324 3
(94) 67 (1,386) 0 (1,779) 113 (229,931) 184 (29)
$ 703,237 $ 36,748 $ 690,899 $ 355,288 $ 370,228 $ 5,300 $ 3,059,524 $ 16,346 $ 7,990
------------ ----------- ------------ ----------- ------------ ---------- ------------ -------------- ------------
$ 703,205 $ 36,738 $ 574,392 $ 198,757 $ 223,420 $ 5,300 $ 1,787,988 $ 15,888 $ 7,990
32 10 4,054 8,518 41,901 0 427,739 0 0
0 0 112,453 148,013 104,907 0 843,797 458 0
------------ ----------- ------------ ----------- ------------ ---------- ------------ -------------- ------------
71,906 3,763 57,586 198,760 22,500 516 176,740 1,560 806
3 1 406 8,518 4,165 0 42,281 0 0
------------ ----------- ------------ ----------- ------------ ---------- ------------ -------------- ------------
$ 9.78 $ 9.76 $ 9.97 $ 1.00 $ 9.95 $ 10.26 $ 10.12 $ 10.18 $ 9.92
9.78 9.76 9.97 1.00 9.95 0.00 10.12 0 0.00
------------ ----------- ------------ ----------- ------------ ---------- ------------ -------------- ------------
$ 857,725 $ 45,986 $ 857,422 $ 344,932 $ 655,397 $ 5,072 $ 3,267,577 $ 23,710 $ 8,181
------------ ----------- ------------ ----------- ------------ ---------- ------------ -------------- ------------
$ 0 $ 35 $ 221 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0
------------ ----------- ------------ ----------- ------------ ---------- ------------ -------------- ------------
</TABLE>
<PAGE>
Statements of Assets and Liabilities (Cont.)
September 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Real Return Foreign Global Global
Amounts in thousands, except per share amounts Bond Fund Bond Fund Bond Fund Bond Fund II
----------- ------------ ----------- -------------
<S> <C> <C> <C> <C>
Assets:
Investments, at value $ 1,117,767 $ 1,057,286 $ 566,504 $ 139,326
Cash and foreign currency 900 17,587 9,617 1,283
Receivable for investments sold and forward foreign currency
contracts 40,080 102,376 16,392 5,033
Receivable for Fund shares sold 7,253 1,104 0 132
Interest and dividends receivable 10,330 11,017 5,637 1,364
Variation margin receivable 37 384 44 27
Manager reimbursement receivable 0 0 0 0
Other assets 893 83 97 0
1,177,260 1,189,837 598,291 147,165
----------- ------------ ----------- -------------
Liabilities:
Payable for investments purchased and forward foreign currency
contracts $ 48,227 $ 345,681 $ 145,891 $ 37,957
Payable for financing transactions 589,821 256,309 126,309 36,599
Notes payable 0 0 0 0
Written options outstanding 0 1,096 509 89
Payable for Fund shares redeemed 591 889 5,073 174
Dividends payable 379 397 614 38
Accrued investment advisory fee 112 122 63 15
Accrued administration fee 127 145 76 20
Accrued distribution fee 28 37 0 6
Accrued servicing fee 25 29 0 2
Variation margin payable 0 0 0 0
Other liabilities 5 63 267 20
639,315 604,768 278,802 74,920
----------- ------------ ----------- -------------
Net Assets $ 537,945 $ 585,069 $ 319,489 $ 72,245
----------- ------------ ----------- -------------
Net Assets Consist of:
Paid in capital $ 531,114 $ 605,430 $ 362,525 $ 73,931
Undistributed (overdistributed) net investment income 925 15,404 (9,670) 939
Accumulated undistributed net realized gain (loss) 2,876 (7,166) (16,270) 430
Net unrealized appreciation (depreciation) 3,030 (28,599) (17,096) (3,055)
$ 537,945 $ 585,069 $ 319,489 $ 72,245
----------- ------------ ----------- -------------
Net Assets:
Institutional Class $ 403,549 $ 441,456 $ 317,146 $ 61,299
Administrative Class 12,631 6,014 2,343 0
Other Classes 121,765 137,599 0 10,946
----------- ------------ ----------- -------------
Shares Issued and Outstanding:
Institutional Class 40,776 43,708 36,820 6,464
Administrative Class 1,275 595 271 0
----------- ------------ ----------- -------------
Net Asset Value and Redemption Per Share Price
(Net Assets Per Share Outstanding)
Institutional Class $ 9.95 $ 10.10 $ 8.61 $ 9.48
Administrative Class 9.95 10.10 8.61 0
----------- ------------ ----------- -------------
Cost of Investments Owned $ 1,114,720 $ 1,092,108 $ 583,401 $ 142,734
----------- ------------ ----------- -------------
Cost of Foreign Currency Held $ 464 $ 17,695 $ 9,394 $ 1,438
----------- ------------ ----------- -------------
</TABLE>
44 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
California
Emerging Short Duration Intermediate California New York
Markets Strategic Convertible StocksPLUS Municipal Municipal Municipal Municipal Municipal
Bond Fund Balanced Fund Fund Fund Bond Fund Income Fund Bond Fund Bond Fund Bond Fund
---------- ------------- ----------- ------------ ---------- -------------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 58,286 $ 76,485 $ 164,640 $ 1,568,989 $ 54,626 $ 12,954 $ 100,517 $ 8,991 $ 3,175
82 3,802 23 61,383 15 2 3 2 1
2,320 124,664 2,707 3,926 934 0 0 0 2,802
35 211 298 1,504 88 0 20 0 0
1,249 80 536 0 783 194 1,374 139 38
0 1 0 0 0 0 0 0 0
0 0 14 0 0 14 14 0 14
1 0 0 0 0 0 3 0 0
61,973 205,243 168,218 1,635,802 56,446 13,164 101,931 9,132 6,030
---------- ------------- ----------- ------------ ---------- -------------- ------------ ---------- ------------
$ 2,399 $ 124,516 $ 8,370 $ 174,328 $ 0 $ 0 $ 1,387 $ 0 $ 2,796
7,888 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0
0 0 0 2,266 0 0 0 0 0
15 44 1 3,452 78 0 0 0 0
28 0 67 0 67 1 0 0 0
20 25 53 489 12 2 21 2 1
18 22 37 407 16 2 23 2 1
3 15 12 352 16 0 0 0 0
1 6 5 169 9 0 7 0 0
0 0 0 17,981 0 0 0 0 0
22 0 0 3,027 0 0 2 0 0
10,394 124,628 8,545 202,471 198 5 1,440 4 2,798
---------- ------------- ----------- ------------ ---------- -------------- ------------ ---------- ------------
$ 51,579 $ 80,615 $ 159,673 $ 1,433,331 $ 56,248 $ 13,159 $ 100,491 $ 9,128 $ 3,232
---------- ------------- ----------- ------------ ---------- -------------- ------------ ---------- ------------
$ 48,203 $ 81,117 $ 132,006 $ 1,424,354 $ 56,254 $ 13,098 $ 97,705 $ 8,536 $ 3,164
859 1,892 4,294 35,165 7 3 (37) 0 0
1,137 (1,808) (1,602) 40,145 (583) (5) 331 368 25
1,380 (586) 24,975 (66,333) 570 63 2,492 224 43
$ 51,579 $ 80,615 $ 159,673 $ 1,433,331 $ 56,248 $ 13,159 $ 100,491 $ 9,128 $ 3,232
$ 38,302 $ 51,699 $ 132,559 $ 633,919 $ 11,719 $ 13,149 $ 67,923 $ 9,108 $ 3,211
11,069 558 434 37,866 4,534 0 1,627 0 0
2,208 28,358 26,680 761,546 39,995 10 30,941 20 21
4,431 4,216 8,646 47,149 1,218 1,309 6,602 878 314
1,280 46 28 2,842 471 0 158 0 0
$ 8.64 $ 12.26 $ 15.33 $ 13.44 $ 9.62 $ 10.04 $ 10.29 $ 10.38 $ 10.21
8.64 12.26 15.33 13.32 9.62 0 10.29 0.00 0.00
$ 56,836 $ 77,215 $ 139,705 $ 1,573,217 $ 54,056 $ 12,900 $ 98,049 $ 8,772 $ 3,133
---------- ------------- ----------- ------------ ---------- -------------- ------------ ---------- ------------
$ 0 $ 617 $ 20 $ 6,153 $ 0 $ 0 $ 0 $ 0 $ 0
---------- ------------- ----------- ------------ ---------- -------------- ----------- ---------- ------------
</TABLE>
2000 Semi-Annual Report See accompanying notes 45
<PAGE>
Statements of Operations
For the period ended September 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Total Total Total Moderate Low
Amounts in thousands Return Fund Return Fund II Return Fund III Duration Fund Duration Fund
----------- -------------- --------------- ------------- -------------
Investment Income:
<S> <C> <C> <C> <C> <C>
Interest $ 1,179,263 $ 50,297 $ 25,724 $ 15,421 $ 150,219
Dividends, net of foreign taxes 20,491 2 161 142 3,725
Miscellaneous income 245 0 1 0 0
Total Income 1,199,999 50,299 25,886 15,563 153,944
----------- -------------- --------------- ------------- -------------
Expenses:
Investment advisory fees 41,399 1,828 911 551 5,211
Administration fees 33,656 1,828 911 441 4,224
Distribution and/or servicing
fees - Administrative Class 3,731 74 13 0 166
Distribution and/or servicing
fees - Other Classes 10,336 0 0 0 1,098
Trustees' fees 58 3 1 1 7
Organization costs 0 0 0 0 0
Interest expense 9,703 38 0 2 253
Miscellaneous expense 0 0 1 0 0
Total Expenses 98,883 3,771 1,837 995 10,959
Recoupment of reimbursement 0 0 0 0 0
Net Expenses 98,883 3,771 1,837 995 10,959
Net Investment Income 1,101,116 46,528 24,049 14,568 142,985
----------- -------------- --------------- ------------- -------------
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 345,059 15,130 5,130 2,646 (915)
Net realized gain (loss) on futures
contracts and written options 85,018 5,502 1,498 2,545 (2,880)
Net realized gain (loss) on foreign
currency transactions (13,781) 0 (759) (286) 136
Net change in unrealized appreciation
(depreciation) on investments 69,578 5,966 3,550 3,991 19,415
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options (19,306) (3,663) (1,932) (1,231) 6,013
Net change in unrealized appreciation
(depreciation) on translation of assets
and liabilities denominated in (3,140) 0 (405) 483 2,913
foreign currencies
Net Gain (Loss) 463,428 22,935 7,082 8,148 24,682
Net Increase in Assets
Resulting from Operations $ 1,564,544 $ 69,463 $ 31,131 $ 22,716 $ 167,667
----------- -------------- --------------- ------------- -------------
</TABLE>
46 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Investment
Low Low Long-Term Grade
Duration Duration Short-Term Money U.S. Gov't Corporate High Total Return
Fund II Fund III Fund Market Fund Fund Bond Fund Yield Fund Mortgage Fund GNMA Fund
------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 18,766 $ 1,400 $ 25,753 $ 14,274 $ 11,934 $ 177 $ 141,093 $ 404 $ 229
110 0 0 0 0 0 4,590 0 0
1 0 6 0 0 0 10 0 0
18,877 1,400 25,759 14,274 11,934 177 145,693 404 229
689 48 887 333 436 5 3,839 15 8
689 48 793 589 511 5 4,423 15 8
0 0 12 12 49 0 488 0 0
0 0 194 199 332 0 3,404 0 0
1 0 1 1 1 0 5 0 0
0 0 0 0 0 0 0 0 0
0 0 1,367 19 3 0 3 0 0
0 0 1 0 0 0 0 0 0
1,379 96 3,255 1,153 1,332 10 12,162 30 16
0 0 0 0 0 0 0 0 0
1,379 96 3,255 1,153 1,332 10 12,162 30 16
17,498 1,304 22,504 13,121 10,602 167 133,531 374 213
------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
589 11 86 0 13,002 (7) (81,413) 330 10
(118) 8 (145) 0 (2,359) 34 0 5 0
0 (25) 59 0 0 (6) 0 0 0
5,009 363 1,572 0 (6,804) 130 47,280 208 57
377 30 15 0 1,499 (13) 0 (3) 0
0 23 387 0 0 (4) 0 0 0
5,857 410 1,974 0 5,338 134 (34,133) 540 67
$ 23,355 $ 1,714 $ 24,478 $ 13,121 $ 15,940 $ 301 $ 99,398 $ 914 $ 280
------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
</TABLE>
2000 Semi-Annual Report See accompanying notes 47
<PAGE>
Statements of Operations (Cont.)
For the period ended September 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Real Return Foreign Global Global
Amounts in thousands Bond Fund Bond Fund Bond Fund Bond Fund II
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 19,079 $ 18,745 $ 8,531 $ 2,770
Dividends, net of foreign taxes 0 338 90 37
Miscellaneous income 0 0 0 0
Total Income 19,079 19,083 8,621 2,807
Expenses:
Investment advisory fees 516 697 326 100
Administration fees 582 824 392 128
Distribution and/or servicing fees - Administrative Class 4 7 3 0
Distribution and/or servicing fees - Other Classes 233 364 0 48
Trustees' fees 1 1 0 0
Organization costs 1 0 0 0
Interest expense 74 170 27 1
Miscellaneous expense 0 0 0 0
Total Expenses 1,411 2,063 748 277
Recoupment of reimbursement 0 0 0 0
Net Expenses 1,411 2,063 748 277
Net Investment Income (Loss) 17,668 17,020 7,873 2,530
------------ ------------ ------------ ------------
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 2,525 5,411 1,794 633
Net realized gain (loss) on futures contracts and written options 341 (5,694) 825 469
Net realized gain (loss) on foreign currency transactions 870 3,413 (6,690) 1,351
Net change in unrealized appreciation (depreciation) on
investments (1,041) (2,220) (7,595) (1,813)
Net change in unrealized appreciation (depreciation) on
futures contracts and written options 319 (1,986) (995) (580)
Net change in unrealized appreciation (depreciation) on
translation of assets and liabilities denominated in foreign
currencies 147 4,809 (778) 358
Net Gain (Loss) 3,161 3,733 (13,439) 418
Net Increase (Decrease) in Assets
Resulting from Operations $ 20,829 $ 20,753 $ (5,566) $ 2,948
------------ ------------ ------------ ------------
</TABLE>
48 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
California
Emerging Short Duration Intermediate California New York
Markets Strategic Convertible StocksPLUS Municipal Municipal Municipal Municipal Municipal
Bond Fund Balanced Fund Fund Fund Bond Fund Income Fund Bond Fund Bond Fund Bond Fund
------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 2,293 $ 3,241 $ 0 $ 28,530 $ 1,551 $ 288 $ 1,755 $ 218 $ 75
1 63 826 807 0 0 0 0 0
0 0 0 18 0 0 0 0 0
2,294 3,304 826 29,355 1,551 288 1,755 218 75
96 217 302 2,889 70 12 92 10 4
87 158 204 2,417 90 12 101 10 4
14 1 0 41 5 0 2 0 0
11 124 82 3,096 142 0 27 0 0
0 0 0 3 0 0 0 0 0
0 0 0 0 0 0 0 0 0
1 16 34 1 0 0 0 0 0
0 0 281 0 0 0 0 0 0
209 516 903 8,447 307 24 222 20 8
0 0 4 0 0 0 2 0 0
209 516 907 8,447 307 24 224 20 8
2,085 2,788 (81) 20,908 1,244 264 1,531 198 67
------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
1,381 (1,173) (2,169) (310) 478 20 476 433 27
0 3,916 0 78,988 (136) 0 (133) (65) 8
(77) (1,029) 148 3,591 0 0 0 0 0
8 849 (3,085) (35) 710 57 2,420 224 51
0 (6,478) 0 (154,518) 0 0 0 0 0
(66) 117 94 524 0 0 0 0 0
1,246 (3,798) (5,012) (71,760) 1,052 77 2,763 592 86
$ 3,331 $ (1,010) $ (5,093) $ (50,852) $ 2,296 $ 341 $ 4,294 $ 790 $ 153
------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
</TABLE>
2000 Semi-Annual Report See accompanying notes 49
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Amounts in thousands Total Return Fund Total Return Fund II Total Return Fund III
------------------------------ ------------------------------ ------------------------------
Increase (Decrease) in Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended
Net Assets from: September 30, March 31, September 30, March 31, September 30, March 31,
2000 2000 2000 2000 2000 2000
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Operations:
Net investment income $ 1,101,116 $ 1,778,306 $ 46,528 $ 70,516 $ 24,049 $ 35,645
Net realized gain (loss) 416,296 (847,388) 20,632 (42,778) 5,869 (23,356)
Net change in unrealized
appreciation (depreciation) 47,132 (242,138) 2,303 (7,102) 1,213 (8,493)
Net increase resulting from
operations 1,564,544 688,780 69,463 20,636 31,131 3,796
------------------------------ ------------------------------ ------------------------------
Distributions to Shareholders:
From net investment income
Institutional Class (876,706) (1,382,515) (44,733) (67,517) (24,018) (34,948)
Administrative Class (112,911) (158,773) (1,814) (2,814) 0 (210)
Other Classes (106,450) (159,950) 0 0 0 0
In excess of net investment income
Institutional Class 0 (59,361) 0 (172) 0 (514)
Administrative Class 0 (6,817) 0 (7) 0 (3)
Other Classes 0 (6,868) 0 0 0 0
Total Distributions (1,096,067) (1,774,284) (46,547) (70,510) (24,018) (35,675)
------------------------------ ------------------------------ ------------------------------
Fund Share Transactions:
Receipts for shares sold
Institutional Class 5,002,226 9,137,242 328,206 653,040 173,762 246,232
Administrative Class 830,924 2,193,159 15,806 31,950 101 8,282
Other Classes 889,558 2,171,970 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 724,490 1,172,270 35,067 55,668 21,575 32,584
Administrative Class 85,971 113,239 1,810 2,786 314 195
Other Classes 52,925 128,441 0 0 0 0
Cost of shares redeemed
Institutional Class (3,122,368) (6,242,527) (136,484) (384,235) (28,602) (99,748)
Administrative Class (392,867) (953,360) (32,376) (30,450) (72) (40)
Other Classes (526,894) (1,223,161) 0 0 0 0
Net increase (decrease) resulting
from Fund share transactions 3,543,965 6,497,273 212,029 328,759 167,078 187,505
Total Increase (Decrease) in
Net Assets 4,012,442 5,411,769 234,945 278,885 174,191 155,626
------------------------------ ------------------------------ ------------------------------
Net Assets:
Beginning of period 31,536,273 26,124,504 1,320,311 1,041,426 645,736 490,110
End of period * $ 35,548,715 $31,536,273 $ 1,555,256 $ 1,320,311 $ 819,927 $ 645,736
*Including net undistributed
(overdistributed) investment
income of: $ (52,845) $ (57,894) $ (858) $ (839) $ (763) $ (794)
</TABLE>
50 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Moderate Duration Fund Low Duration Fund Low Duration Fund II Low Duration Fund III
------------------------------ ------------------------------ ------------------------------ ------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended
September 30, March 31, September 30, March 31, September 30, March 31, September 30, March 31,
2000 2000 2000 2000 2000 2000 2000 2000
(Unaudited) (Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C> <C> <C>
$ 14,568 $ 21,172 $ 142,985 $ 265,005 $ 17,498 $ 27,138 $ 1,304 $ 1,716
4,905 (11,288) (3,659) (47,944) 471 (4,803) (6) (484)
3,243 (3,092) 28,341 (75,164) 5,386 (7,461) 416 (416)
22,716 6,792 167,667 141,897 23,355 14,874 1,714 816
------------------------------ ------------------------------ ------------------------------ ------------------------------
(14,521) (20,651) (124,929) (229,827) (17,535) (26,955) (1,305) (1,701)
0 0 (4,442) (7,443) (1) (11) 0 (1)
0 0 (13,613) (23,729) 0 0 0 0
0 (532) 0 (3,479) 0 (132) 0 (13)
0 0 0 (112) 0 0 0 0
0 0 0 (359) 0 0 0 0
(14,521) (21,183) (142,984) (264,949) (17,536) (27,098) (1,305) (1,715)
------------------------------ ------------------------------ ------------------------------ ------------------------------
104,825 200,422 1,264,527 2,852,869 327,020 136,132 8,528 12,807
0 0 39,612 87,882 30 251 0 46
0 0 155,620 534,201 0 0 0 0
14,328 20,913 107,522 199,668 16,072 25,816 1,301 1,702
0 0 4,395 7,388 1 12 0 1
0 0 9,109 18,941 0 0 0 0
(69,981) (137,218) (1,199,533) (2,872,755) (113,702) (96,194) (5,849) (7,810)
0 0 (28,501) (100,890) (71) (22,782) 0 (43)
0 0 (150,254) (485,171) 0 0 0 0
49,172 84,117 202,497 242,133 229,350 43,235 3,980 6,703
57,367 69,726 227,180 119,081 235,169 31,011 4,389 5,804
------------------------------ ------------------------------ ------------------------------ ------------------------------
387,126 317,400 3,990,328 3,871,247 468,068 437,057 32,359 26,555
$ 444,493 $ 387,126 $ 4,217,508 $ 3,990,328 $ 703,237 $ 468,068 $ 36,748 $ 32,359
$ (189) $ (236) $ (8,388) $ (8,390) $ (435) $ (397) $ (29) $ (28)
<CAPTION>
Short-Term Fund
------------------------------
Six Months Ended Year Ended
September 30, March 31,
2000 2000
(Unaudited)
<S> <C>
$ 22,504 $ 37,374
0 (1,776)
1,974 (3,309)
24,478 32,289
------------------------------
(18,808) (31,112)
(282) (342)
(3,357) (5,911)
0 0
0 0
0 0
(22,447) (37,365)
------------------------------
264,774 1,202,372
6,143 17,721
71,902 138,529
14,017 21,902
140 234
1,778 4,967
(295,264) (1,126,670)
(17,394) (6,533)
(66,229) (140,433)
(20,133) 112,089
(18,102) 107,013
------------------------------
709,001 601,988
$ 690,899 $ 709,001
$ 413 $ 356
</TABLE>
2000 Semi-Annual Report See accompanying notes 51
<PAGE>
Statements of Changes in Net Assets (Cont.)
<TABLE>
<CAPTION>
Investment
Grade
Corporate
Amounts in thousands Money Market Fund Long-Term U.S. Gov't Fund Bond Fund
------------------------------- ------------------------------- --------------
Six Months Ended Year Ended Six Months Ended Year Ended Period from
September 30, March 31, September 30, March 31, April 28,
Increase (Decrease) in Net Assets from: 2000 2000 2000 2000 2000 to
(Unaudited) (Unaudited) September 30,
2000
(Unaudited)
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income $ 13,121 $ 24,929 $ 10,602 $ 20,805 $ 167
Net realized gain (loss) 0 0 10,643 (25,059) 21
Net change in unrealized appreciation
(depreciation) 0 0 (5,305) 7,958 113
Net increase (decrease) resulting from operations 13,121 24,929 15,940 3,704 301
------------------------------- ------------------------------- --------------
Distributions to Shareholders:
From net investment income
Institutional Class (7,261) (14,268) (6,661) (13,162) (167)
Administrative Class (272) (431) (1,205) (2,387) 0
Other Classes (5,594) (10,224) (2,766) (5,222) 0
In excess of net investment income
Institutional Class 0 0 0 0 0
Administrative Class 0 0 0 0 0
Other Classes 0 0 0 0 0
From net realized capital gains
Institutional Class 0 0 0 0 0
Administrative Class 0 0 0 0 0
Other Classes 0 0 0 0 0
In excess of net realized capital gains
Institutional Class 0 0 0 0 0
Administrative Class 0 0 0 0 0
Other Classes 0 0 0 0 0
Total Distributions (13,127) (24,923) (10,632) (20,771) (167)
------------------------------- ------------------------------- --------------
Fund Share Transactions:
Receipts for shares sold
Institutional Class 69,548 382,805 41,611 170,823 5,000
Administrative Class 8,818 45,030 11,395 47,739 0
Other Classes 1,717,589 6,791,637 29,877 66,187 0
Issued as reinvestment of distributions
Institutional Class 7,171 14,008 5,321 10,760 166
Administrative Class 269 426 1,204 2,386 0
Other Classes 3,924 6,923 1,702 3,859 0
Cost of shares redeemed
Institutional Class (182,973) (414,090) (43,753) (124,451) 0
Administrative Class (10,360) (44,939) (11,446) (20,024) 0
Other Classes (1,800,215) (6,778,173) (26,238) (66,603) 0
Net increase (decrease) resulting from Fund share (186,229) 3,627 9,673 90,676 5,166
transactions
Total Increase (Decrease) in Net Assets (186,235) 3,633 14,981 73,609 5,300
------------------------------- ------------------------------- --------------
Net Assets:
Beginning of period 541,523 537,890 355,247 281,638 0
End of period * $ 355,288 $ 541,523 $ 370,228 $ 355,247 $ 5,300
* Including net undistributed (overdistributed)
investment income of: $ 14 $ 20 $ 15 $ 45 $ 0
</TABLE>
52 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
High Yield Fund Total Return Mortgage Fund GNMA Fund Real Return Bond Fund
---------------------------- ---------------------------- ---------------------------- -------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended
September 30, March 31, September 30, March 31, September 30, March 31, September 30, March 31,
2000 2000 2000 2000 2000 2000 2000 2000
(Unaudited) (Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C> <C> <C>
$ 133,531 $ 296,022 $ 374 $ 238 $ 213 $ 260 $ 17,668 $ 7,689
(81,413) (70,452) 335 (6) 10 35 3,736 317
47,280 (263,887) 205 (78) 57 (86) (575) 3,722
99,398 (38,317) 914 154 280 209 20,829 11,728
---------------------------- ---------------------------- ---------------------------- -------------------------------
(82,247) (199,017) (367) (232) (213) (260) (14,038) (5,631)
(17,282) (25,769) 0 0 0 0 (152) 0
(34,115) (68,953) (7) (6) 0 0 (3,576) (1,905)
0 (1,453) 0 0 0 0 0 0
0 (188) 0 0 0 0 0 0
0 (503) 0 0 0 0 0 0
0 0 0 0 0 0 0 (226)
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 (67)
0 0 0 (3) 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
(133,644) (295,883) (374) (241) (213) (260) (17,766) (7,829)
---------------------------- ---------------------------- ---------------------------- -------------------------------
357,174 1,221,190 12,500 51 3,497 27 225,852 197,599
91,225 255,416 0 0 0 0 15,833 0
169,763 597,715 292 176 0 0 71,429 55,389
70,251 176,340 366 235 212 261 12,140 4,405
17,253 25,317 0 0 0 0 152 0
17,035 40,061 7 5 0 0 2,363 1,416
(578,600) (1,380,777) (1,481) (342) (94) (48) (44,766) (12,861)
(30,931) (135,307) 0 0 0 0 (3,373) 0
(189,793) (518,612) (15) (212) 0 0 (14,609) (8,197)
(76,623) 281,343 11,669 (87) 3,615 240 265,021 237,751
(110,869) (52,857) 12,209 (174) 3,682 189 268,084 241,650
---------------------------- ---------------------------- ---------------------------- -------------------------------
3,170,393 3,223,250 4,137 4,311 4,308 4,119 269,861 28,211
$ 3,059,524 $3,170,393 $ 16,346 $ 4,137 $ 7,990 $ 4,308 $ 537,945 $ 269,861
$ (2,104) $ (1,991) $ 4 $ 4 $ 39 $ 39 $ 925 $ 1,023
---------------------------- ---------------------------- ---------------------------- -------------------------------
<CAPTION>
Foreign Bond Fund
----------------------------
Six Months Ended Year Ended
September 30, March 31,
2000 2000
(Unaudited)
<S> <C>
$ 17,020 $ 35,220
3,130 4,992
603 (31,738)
20,753 8,474
----------------------------
(13,143) (29,183)
(157) (256)
(3,431) (5,738)
0 0
0 0
0 0
0 (3,818)
0 (40)
0 (967)
0 (2,885)
0 (31)
0 (731)
(16,731) (43,649)
----------------------------
80,970 178,740
2,506 4,784
35,734 76,013
11,333 28,907
156 324
2,777 6,155
(75,719) (286,997)
(1,511) (2,130)
(20,724) (45,879)
35,522 (40,083)
39,544 (75,258)
----------------------------
545,525 620,783
$ 585,069 $ 545,525
$ 15,404 $ 15,115
</TABLE>
2000 Semi-Annual Report See accompanying notes 53
<PAGE>
Statements of Changes in Net Assets (Cont.)
<TABLE>
<CAPTION>
Amounts in thousands Global Bond Fund Global Bond Fund II Emerging Markets Bond Fund
------------------------ ------------------------ --------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
Increase (Decrease) in Net Assets from: September 30, March 31, September 30, March September March 31,
2000 2000 2000 31, 2000 30, 2000 2000
(Unaudited) (Unaudited) (Unaudited)
Operations:
<S> <C> <C> <C> <C> <C> <C>
Net investment income (loss) $ 7,873 $ 16,673 $ 2,530 $ 3,256 $ 2,085 $ 2,012
Net realized gain (loss) (4,071) (18,971) 2,453 (824) 1,304 1,254
Net change in unrealized appreciation (depreciation) (9,368) (2,619) (2,035) (803) (58) 2,001
Net increase (decrease) resulting from operations (5,566) (4,917) 2,948 1,629 3,331 5,267
------------------------ ------------------------ --------------------------
Distributions to Shareholders:
From net investment income
Institutional Class (7,723) (13,418) (2,173) (2,569) (1,437) (968)
Administrative Class (63) (139) 0 0 (557) (914)
Other Classes 0 0 (307) (646) (94) (129)
In excess of net investment income
Institutional Class 0 (1,627) 0 (41) 0 0
Administrative Class 0 (17) 0 0 0 0
Other Classes 0 0 0 (11) 0 0
From net realized capital gains
Institutional Class 0 0 0 0 0 0
Administrative Class 0 0 0 0 0 0
Other Classes 0 0 0 0 0 0
In excess of net realized capital gains
Institutional Class 0 0 0 (95) 0 0
Administrative Class 0 0 0 0 0 0
Other Classes 0 0 0 (26) 0 0
Tax basis return of capital
Institutional Class 0 (1,534) 0 0 0 0
Administrative Class 0 (16) 0 0 0 0
Other Classes 0 0 0 0 0 0
Total Distributions (7,786) (16,751) (2,480) (3,388) (2,088) (2,011)
------------------------ ------------------------ --------------------------
Fund Share Transactions:
Receipts for shares sold
Institutional Class 127,525 90,144 6,908 59,618 23,555 16,701
Administrative Class 1,539 7,497 0 0 378 25,789
Other Classes 0 0 754 4,394 1,404 979
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 4,147 10,736 1,762 2,526 1,337 888
Administrative Class 52 172 0 0 557 915
Other Classes 0 0 233 545 39 73
Cost of shares redeemed
Institutional Class (72,806) (74,885) (32,688) (5,204) (478) (9,797)
Administrative Class (1,392) (6,530) 0 0 (3,300) (15,204)
Other Classes 0 0 (2,241) (5,615) (1,003) (311)
Net increase (decrease) resulting from Fund share 59,065 27,134 (25,272) 56,264 22,489 20,033
transactions
Total Increase (Decrease) in Net Assets 45,713 5,466 (24,804) 54,505 23,732 23,289
------------------------ ------------------------ --------------------------
Net Assets:
Beginning of period 273,776 268,310 97,049 42,544 27,847 4,558
End of period * $ 319,489 $ 273,776 $ 72,245 $ 97,049 $ 51,579 $ 27,847
* Including net undistributed (overdistributed) $ (9,670) $ (9,757) $ 939 $ 889 $ 859 $ 862
investment income of:
</TABLE>
54 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Strategic Balanced Fund Convertible Fund StockPLUS Fund Municipal Bond Fund
--------------------------- ----------------------- ------------------------- -------------------------
Six Months Year Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended Ended Ended
September 30, March 31, September March 31, September 30, March 31, September 30, March 31,
2000 2000 30, 2000 2000 2000 2000 2000 2000
(Unaudited) (Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C> <C> <C>
$ 2,788 $ 8,094 $ (81) $ 293 $ 20,908 $ 98,837 $ 1,244 $ 2,314
1,714 (274) (2,021) 7,821 82,269 38,756 342 (919)
(5,512) 4,531 (2,991) 27,966 (154,029) 87,250 710 (2,965)
(1,010) 12,351 (5,093) 36,080 (50,852) 224,843 2,296 (1,570)
--------------------------- ----------------------- ------------------------- -------------------------
(1,842) (7,057) (1,024) (276) (11,560) (45,176) (280) (244)
(23) (25) (3) 0) (641) (3,216) (90) (115)
(826) (1,345) (110) (17) (11,931) (59,577) (871) (1,949)
0 0 0 (1,195) 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 (76) 0 0 0 0
0 (1,427) 0 (577) 0 (37,300) 0 0
0 (7) 0 0 0 (2,793) 0 0
0 (347) 0 (42) 0 (55,442) 0 0
0 (2,868) 0 0 0 (19,356) 0 0
0 (13) 0 0 0 (1,450) 0 0
0 (698) 0 0 0 (28,771) 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
(2,691) (13,787) (1,137) (2,183) (24,132) (253,081) (1,241) (2,308)
--------------------------- ----------------------- ------------------------- -------------------------
2,032 8,040 38,114 176,112 128,000 218,329 11,878 4,203
70 956 410 0 12,073 63,727 1,601 3,032
4,593 12,505 12,913 14,391 131,710 512,940 5,782 16,283
0 35,908 0 0 0 0 0 0
0 30,872 0 0 0 0 0 0
1,764 7,091 960 1,984 11,241 99,393 278 239
23 45 0 0 635 7,404 90 113
644 2,065 7 120 9,367 133,688 481 1,286
(74,557) (26,925) (68,411) (41,632) (93,861) (201,504) (6,486) (4,329)
(216) (293) 0 0 (1,590) (52,930) (367) (1,268)
(5,035) (11,948) (2,121) (841) (188,055) (455,756) (10,647) (21,656)
(70,682) 58,316 (18,128) 150,134 9,520 325,291 2,610 (2,097)
(74,383) 56,880 (24,358) 184,031 (65,464) 297,053 3,665 (5,975)
--------------------------- ----------------------- ------------------------- -------------------------
154,998 98,118 184,031 0 1,498,795 1,201,742 52,583 58,558
$ 80,615 $ 154,998 $ 159,673 $ 184,031 $ 1,433,331 $ 1,498,795 $ 56,248 $ 52,583
$ 1,892 $ 1,795 $ 4,294 $ 5,512 $ 35,165 $ 38,390 $ 7 $ 4
<CAPTION>
Short Duration
Municipal Income Fund
-----------------------------------
Six Months Period
Ended from
September 30, August 31
2000 1999 to
(Unaudited) March 31, 2000
<S> <C>
$ 264 $ 244
20 (25)
57 6
341 225
-----------------------------------
(264) (241)
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
(264) (241)
-----------------------------------
2,134 10,500
0 0
0 10
0 0
0 0
263 241
0 0
0 0
(50) 0
0 0
0 0
2,347 10,751
2,424 10,735
-----------------------------------
10,735 0
$ 13,159 $ 10,735
$ 3 $ 3
</TABLE>
2000 Semi-Annual Report See accompanying notes 55
<PAGE>
Statements of Changes in Net Assets (Cont.)
<TABLE>
<CAPTION>
California
California Intermediate Municipal New York Municipal
Amounts in thousands Municipal Bond Fund Bond Fund Bond Fund
--------------------------- ------------ -------------------------
Six Months Period from Period from Six Months Period
Increase (Decrease) in Net Assets from: Ended August 31, May 16, 2000 Ended from August
September 30, 1999 to September September 31, 1999
2000 to March 31, 30, 2000 30, 2000 to March
(Unaudited) 2000 (Unaudited) (Unaudited) 31, 2000
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income $ 1,531 $ 106 $ 198 $ 67 $ 70
Net realized gain (loss) 343 (5) 368 35 (4)
Net change in unrealized appreciation
(depreciation) 2,420 72 224 51 (8)
Net increase resulting from operations 4,294 173 790 153 58
--------------------------- ------------ -------------------------
Distributions to Shareholders:
From net investment income
Institutional Class (1,117) (97) (198) (67) (70)
Administrative Class (26) 0 0 0 0
Other Classes (426) (8) 0 0 0
In excess of net realized capital gains
Institutional Class 0 (6) 0 0 (6)
Administrative Class 0 0 0 0 0
Other Classes 0 (1) 0 0 0
Total Distributions (1,569) (112) (198) (67) (76)
--------------------------- ------------ -------------------------
Fund Share Transactions:
Receipts for shares sold
Institutional Class 87,248 8,840 18,619 0 3,000
Administrative Class 1,550 10 0 0 0
Other Classes 31,556 1,889 20 0 20
Issued in reorganization
Other Classes 0 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 1,088 91 183 68 76
Administrative Class 25 0 0 0 0
Other Classes 424 12 0 0 0
Cost of shares redeemed
Institutional Class (30,771) (556) (10,286) 0 0
Administrative Class (10) 0 0 0 0
Other Classes (3,572) (119) 0 0 0
Net increase resulting from Fund share
transactions 87,538 10,167 8,536 68 3,096
Total Increase in Net Assets 90,263 10,228 9,128 154 3,078
--------------------------- ------------ -------------------------
Net Assets:
Beginning of period 10,228 0 0 3,078 0
End of period * $ 100,491 $ 10,228 $ 9,128 $ 3,232 $ 3,078
* Including net undistributed
(overdistributed) investment
income of: $ (37) $ 1 $ 0 $ 0 $ 0
</TABLE>
56 PIMCO Funds See accompanying notes
<PAGE>
Statements of Cash Flows
<TABLE>
<CAPTION>
Long-Term
Amounts in thousands U.S. Gov't Real Return Foreign Global Global
Fund Bond Fund Bond Fund Bond Fund Bond Fund II
---------- ----------- --------- --------- ------------
<S> <C> <C> <C> <C> <C>
Increase (Decrease) in Cash and Foreign Currency from:
Financing Activities
Sales of Fund shares $ 82,252 $ 307,065 $ 119,210 $ 129,079 $ 7,542
Redemptions of Fund shares (81,149) (63,063) (97,844) (69,817) (34,813)
Cash distributions paid (2,866) (3,148) (2,404) (3,676) (436)
Increase (decrease) from financing transactions 224,916 422,249 (43,910) 16,369 14,758
Net increase (decrease) from financing activities 223,153 663,103 (24,948) 71,955 (12,949)
Operating Activities
Purchases of long-term securities and foreign currency (4,335,321) (1,820,178) (1,904,922) (877,972) (259,461)
Proceeds from sales of long-term securities and foreign 4,121,165 1,226,460 1,986,404 847,662 268,516
currency
Purchases of short-term securities (net) (11,644) (68,272) (66,101) (46,269) 468
Net investment income 10,603 17,668 17,021 7,874 2,529
Change in other receivables/payables (net) (5,020) (18,215) 475 (328) (396)
Net increase (decrease) from operating activities (220,217) (662,537) 32,877 (69,033) 11,656
----------- ----------- ----------- --------- --------
Net Increase in Cash and Foreign Currency 2,936 566 7,929 2,922 (1,293)
----------- ----------- ----------- --------- --------
Cash and Foreign Currency
Beginning of period 1 334 9,658 6,695 2,576
End of period $ 2,937 $ 900 $ 17,587 $ 9,617 $ 1,283
</TABLE>
2000 Semi-Annual Report See accompanying notes 57
<PAGE>
Schedule of Investments
Total Return Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
CORPORATE BONDS & NOTES 41.0%
-------------------------------------------------------------------
Banking & Finance 27.9%
AB Spintab
6.800% due 12/29/2049 $ 250 $ 244
Abbey National Capital Trust I
8.960% due 12/29/2049 24,700 24,842
Abbey National PLC
6.700% due 06/29/2049 5,000 4,513
Abbey National Treasury Service
6.630% due 05/23/2001 240 240
ABN AMRO Mortgage Corp.
7.250% due 05/31/2005 150 151
Aetna, Inc.
6.750% due 08/15/2001 250 249
7.250% due 08/15/2023 50 46
Air 2 US
8.030% due 10/01/2020 300 305
Allstate Corp.
6.750% due 05/15/2018 280 252
6.900% due 05/15/2038 87,200 74,575
Amerco, Inc.
7.140% due 10/15/2002 15,000 14,439
American Express
8.500% due 08/15/2001 350 355
5.630% due 01/22/2004 11,900 11,470
7.450% due 08/10/2005 1,000 1,008
American General Finance
6.050% due 07/02/2001 3,000 2,985
6.880% due 12/14/2001 1,600 1,601
7.450% due 07/01/2002 200 202
6.250% due 12/18/2002 1,165 1,149
6.380% due 03/01/2003 350 346
8.130% due 03/15/2046 270 259
American Health Properties, Inc.
7.050% due 01/15/2002 700 683
AON Capital Trust `A'
8.210% due 01/01/2027 725 667
Archstone Communities Trust
6.750% due 10/23/2000 600 600
Aristar, Inc.
7.380% due 09/01/2004 20,000 19,983
Associates Corp. of North America
6.630% due 05/15/2001 1,300 1,299
6.700% due 05/29/2001 100 100
7.000% due 07/23/2001 500 501
6.780% due 08/27/2001 (d) 13,500 13,534
6.450% due 10/15/2001 23,600 23,530
7.500% due 04/15/2002 185 187
6.500% due 07/15/2002 750 747
5.750% due 11/01/2003 5,175 5,015
5.800% due 04/20/2004 450 434
6.630% due 06/15/2005 100 98
Associates First Capital Corp.
6.000% due 12/01/2002 500 493
AT&T Capital Corp.
7.500% due 11/15/2000 5,000 5,004
6.880% due 01/16/2001 230 230
6.250% due 05/15/2001 19,443 19,379
7.000% due 08/15/2001 20,900 20,920
7.110% due 09/13/2001 (d) 1,030 1,032
6.900% due 01/30/2002 1,000 1,000
6.750% due 02/04/2002 1,925 1,921
7.010% due 04/23/2002 (d) 74,000 74,205
AVCO Financial Services
7.380% due 08/15/2001 300 301
5.750% due 01/23/2006 125 125
Banco Latinoamericano SA
6.500% due 04/02/2001 950 947
7.170% due 06/04/2001 5,000 4,998
7.880% due 11/30/2001 9,500 9,528
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 25,050 24,236
11.250% due 09/20/2005 14,250 14,254
Banesto Delaware
8.250% due 07/28/2002 28,900 29,377
Bank of America Corp.
6.730% due 02/26/2001 (d) 3,000 3,001
6.680% due 03/05/2001 (d) 44,000 43,992
9.500% due 04/01/2001 235 238
6.750% due 02/20/2002 (d) 35,180 35,153
8.130% due 06/15/2002 350 357
7.750% due 07/15/2002 360 365
7.200% due 09/15/2002 1,000 1,005
7.500% due 10/15/2002 1,200 1,214
6.850% due 03/01/2003 65 65
6.880% due 06/01/2003 100 100
6.380% due 05/15/2005 1,000 971
7.880% due 05/16/2005 600 621
8.380% due 05/01/2007 1 1
9.380% due 09/15/2009 12,950 14,301
7.800% due 02/15/2010 84,000 86,597
8.570% due 11/15/2024 125 134
Bank of Tokyo - Mitsubishi
8.400% due 04/15/2010 112,200 114,369
Bank One Corp.
6.790% due 04/19/2001 (d) 2,000 2,003
6.730% due 09/04/2001 (d) 14,000 14,005
BankBoston Corp.
6.130% due 03/15/2002 12,500 12,358
6.880% due 07/14/2003 (d) 30,000 29,933
Bankers Trust Corp.
9.400% due 03/01/2001 385 389
6.750% due 10/03/2001 500 499
7.500% due 01/15/2002 250 252
8.130% due 05/15/2002 300 305
7.130% due 07/31/2002 150 150
6.790% due 05/11/2003 (d) 82,800 82,787
6.000% due 10/15/2008 500 448
8.090% due 12/01/2026 275 251
Banponce Financial Corp.
6.460% due 11/13/2001 13,000 12,931
Barclays Bank PLC
8.550% due 09/29/2049 15,000 15,100
Bayerische Landesbank NY
6.200% due 02/09/2006 250 240
Bear Stearns Co., Inc.
9.380% due 06/01/2001 125 127
6.900% due 01/28/2002 (d) 11,250 11,241
7.040% due 04/05/2002 (d) 25,000 25,074
6.960% due 05/07/2002 (d) 4,300 4,299
7.090% due 08/01/2002 (d) 53,600 53,711
7.010% due 12/16/2002 (d) 48,900 48,955
6.130% due 02/01/2003 25 25
7.130% due 03/28/2003 (d) 65,800 65,801
6.750% due 04/15/2003 105 104
7.030% due 05/06/2003 (d) 13,000 13,060
7.010% due 05/16/2003 (d) 40,700 40,895
6.870% due 07/22/2003 (d) 19,000 19,078
6.150% due 03/02/2004 150 145
8.750% due 03/15/2004 75 79
7.100% due 06/01/2004 (d) 9,265 9,329
6.630% due 10/01/2004 250 245
7.360% due 11/30/2004 (d) 400 401
7.040% due 03/18/2005 (d) 37,000 37,081
6.250% due 07/15/2005 25,000 23,968
6.750% due 12/15/2007 2,000 1,911
Beaver Valley Funding Corp.
8.250% due 06/01/2003 405 401
Beneficial Corp.
6.390% due 01/09/2001 (d) 16,000 16,001
6.770% due 01/09/2002 (d) 500 502
6.870% due 03/01/2002 (d) 50,000 50,078
8.000% due 06/18/2002 400 406
6.030% due 01/14/2003 320 313
Bombardier Capital, Inc.
6.000% due 01/15/2002 28,000 27,551
7.300% due 12/15/2002 9,000 8,950
7.210% due 06/09/2032 (d) 16,150 16,008
BTM Holdings
7.160% due 09/29/2049 (d) 6,000 6,000
58 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Caithness Coso Fund Corp.
6.800% due 12/15/2001 $ 9,441 $ 9,348
Case Credit Corp.
5.850% due 02/20/2001 (d) 1,600 1,592
Caterpillar Financial Service Corp.
6.890% due 02/11/2002 (d) 700 701
6.930% due 11/04/2002 (d) 1,000 1,001
6.910% due 12/27/2002 (d) 25,000 24,990
Chase Manhattan Corp.
8.500% due 02/15/2002 200 204
5.750% due 04/15/2004 150 144
Chemical Banking Corp.
6.130% due 11/01/2008 400 367
Chrysler Financial Co. LLC
5.860% due 01/16/2001 500 498
6.650% due 06/11/2001 (d) 21,400 21,411
5.690% due 11/15/2001 650 642
5.400% due 01/15/2002 15,750 15,428
6.950% due 03/25/2002 50 50
6.750% due 07/17/2002 (d) 20,000 20,012
6.760% due 08/08/2002 (d) 37,000 37,049
6.800% due 02/03/2003 (d) 35,000 34,985
6.790% due 03/06/2003 (d) 25,000 25,211
6.780% due 03/10/2003 (d) 10,000 10,084
6.740% due 06/18/2003 35,000 34,990
Chubb Capital Corp.
6.880% due 02/01/2003 100 100
Cincinnati Financial Corp.
6.900% due 05/15/2028 111,870 97,327
CIT Group, Inc.
6.200% due 10/20/2000 525 525
6.810% due 09/13/2002 (d) 1,900 1,900
7.110% due 10/01/2002 (d) 600 602
7.380% due 03/15/2003 500 504
CIT Holdings LLC
6.880% due 02/16/2005 7,500 7,412
Citigroup, Inc.
6.820% due 05/24/2001 (d) 139,000 139,093
6.710% due 09/17/2001 (d) 65 65
6.710% due 06/27/2002 (d) 11,450 11,431
6.380% due 09/15/2002 115 114
6.810% due 11/12/2002 (d) 30,000 29,992
8.000% due 02/01/2003 250 255
5.800% due 03/15/2004 200 194
6.500% due 08/01/2004 400 393
7.750% due 06/15/2006 15,655 16,138
Comerica, Inc.
7.250% due 06/15/2007 200 198
Commercial Credit Co.
5.550% due 02/15/2001 1,300 1,294
8.250% due 11/01/2001 2,500 2,536
6.880% due 05/01/2002 335 335
7.750% due 03/01/2005 550 564
Countrywide Home Loans
6.250% due 04/15/2009 600 547
Credit Asset Receivable
6.270% due 10/31/2003 38,322 37,814
DaimlerChrysler Financial Services
LLC
6.790% due 02/10/2003 (d) 2,000 2,000
DBS Group Holdings Ltd.
7.880% due 08/10/2009 6,000 6,037
Deutsche Bank Capital Trust I
7.870% due 12/29/2049 5,875 5,606
Deutsche Bank Financial
7.500% due 04/25/2009 3,000 3,009
Dillard Investment Co., Inc.
9.250% due 02/01/2001 300 302
Donaldson, Lufkin & Jenrette, Inc.
6.910% due 09/18/2002 (d) 13,600 13,602
6.170% due 07/15/2003 20,000 19,543
5.630% due 02/15/2016 5,000 4,924
Dow Capital BV
7.130% due 01/15/2003 100 100
Dresdner Bank-New York
6.630% due 09/15/2005 1,000 975
Dresdner Funding Trust I
8.150% due 06/30/2031 36,805 33,004
Duke Capital Corp.
7.250% due 10/01/2004 19,000 19,139
Edison Funding
6.950% due 12/19/2000 7,000 6,999
Export-Import Bank Korea
7.250% due 06/25/2001 2,600 2,589
7.130% due 09/20/2001 12,370 12,257
6.500% due 02/10/2002 14,691 14,493
6.500% due 11/15/2006 6,445 6,277
7.100% due 03/15/2007 15,250 15,153
Exxon Capital Corp.
7.450% due 12/15/2001 250 252
6.130% due 09/08/2008 2,000 1,911
Farmers Insurance
8.630% due 05/01/2024 275 271
Finova Capital Corp.
5.880% due 10/15/2001 1,000 845
7.340% due 11/08/2002 (d) 51,350 41,760
7.190% due 04/08/2003 (d) 300 256
6.910% due 06/18/2003 (d) 32,300 28,263
6.330% due 11/24/2003 1,300 979
First Chicago Corp.
9.250% due 11/15/2001 250 256
6.740% due 03/11/2002 (d) 10,000 10,023
6.840% due 07/28/2003 (d) 50 50
First Interstate Bancorp
10.880% due 04/15/2001 200 204
8.880% due 01/01/2009 (l) 152 155
First National Bank Chicago
8.080% due 01/05/2018 250 262
First Security Corp.
5.880% due 11/01/2003 9,325 9,033
First Union Corp.
8.130% due 06/24/2002 150 152
7.100% due 08/15/2004 3,000 2,987
7.700% due 02/15/2005 4,000 4,080
6.380% due 01/15/2009 500 461
Firstar Bank NA
7.800% due 07/05/2010 35,900 36,548
Fleet Financial Group, Inc.
9.900% due 06/15/2001 200 204
Ford Capital BV
9.500% due 06/01/2010 200 221
Ford Motor Credit Corp.
6.380% due 10/06/2000 1,300 1,300
6.250% due 11/08/2000 750 750
7.020% due 06/07/2001 1,000 1,001
6.810% due 09/03/2001 (d) 27,000 27,039
7.000% due 09/25/2001 1,125 1,127
6.850% due 10/15/2001 (d) 13,000 13,012
6.840% due 11/16/2001 (d) 76,800 76,868
8.240% due 01/15/2002 85 86
6.860% due 01/17/2002 (d) 53,945 53,762
8.200% due 02/15/2002 500 508
6.500% due 02/28/2002 1,710 1,702
6.810% due 03/19/2002 (d) 28,208 28,329
6.870% due 04/29/2002 (d) 33,000 33,033
6.900% due 05/21/2002 (d) 4,000 4,004
6.880% due 05/23/2002 14,000 14,001
6.820% due 06/04/2002 (d) 12,000 12,002
6.990% due 07/16/2002 (d) 111,680 111,920
6.910% due 08/01/2002 (d) 36,000 36,002
6.550% due 09/10/2002 4,000 3,979
6.880% due 10/15/2002 (d) 14,000 13,993
7.750% due 11/15/2002 5,730 5,824
6.820% due 12/16/2002 (d) 56,000 55,859
6.000% due 01/14/2003 1,000 978
7.500% due 01/15/2003 250 252
6.860% due 02/03/2003 (d) 30,000 29,925
6.780% due 02/13/2003 (d) 100,000 100,041
6.810% due 02/13/2003 (d) 250,185 249,875
6.850% due 03/17/2003 (d) 21,000 20,973
6.130% due 04/28/2003 26,130 25,566
2000 Semi-Annual Report See accompanying notes 59
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
6.940% due 06/02/2003 (d) $ 38,100 $ 38,142
6.950% due 06/20/2003 (d) 10,000 10,007
6.630% due 06/30/2003 775 766
6.950% due 11/24/2003 (d) 32,000 31,989
5.750% due 02/23/2004 1,620 1,547
6.960% due 04/26/2004 (d) 53,000 52,926
6.890% due 05/21/2004 (d) 22,200 22,102
6.870% due 06/02/2004 (d) 1,500 1,492
6.700% due 07/16/2004 92,905 91,080
7.080% due 07/19/2004 (d) 174,500 174,656
8.250% due 02/23/2005 2,500 2,592
7.500% due 03/15/2005 17,000 17,107
6.900% due 04/28/2005 (d) 58,000 57,841
7.230% due 06/30/2005 (d) 65,000 65,025
7.170% due 07/18/2005 (d) 182,100 182,418
6.780% due 08/27/2006 (d) 27,500 27,503
7.200% due 06/15/2007 25 25
5.800% due 01/12/2009 155 138
Fuji Bank Ltd.
9.870% due 12/31/2049 (d) 25,475 24,953
General Electric Capital Corp.
8.380% due 03/01/2001 1,415 1,423
6.020% due 05/04/2001 1,000 996
5.500% due 11/01/2001 50 49
5.650% due 03/31/2003 125 122
6.210% due 12/09/2005 400 391
7.880% due 12/01/2006 30 32
8.300% due 09/20/2009 1,125 1,198
General Motors Acceptance Corp.
5.800% due 04/09/2001 8,340 8,302
6.800% due 04/17/2001 4,800 4,800
5.950% due 04/20/2001 22,150 22,059
6.700% due 04/30/2001 3,000 2,999
7.130% due 05/01/2001 44,395 44,461
6.750% due 06/05/2001 880 880
6.880% due 07/15/2001 1,000 1,000
6.760% due 10/22/2001 (d) 25,700 25,685
7.070% due 11/26/2001 (d) 19,000 19,119
6.380% due 12/01/2001 765 762
6.760% due 12/10/2001 (d) 2,200 2,200
9.630% due 12/15/2001 5,650 5,824
7.040% due 12/17/2001 (d) 13,000 13,084
6.840% due 01/08/2002 (d) 3,000 3,011
6.630% due 01/10/2002 500 497
6.810% due 01/28/2002 (d) 13,000 13,007
6.800% due 02/01/2002 (d) 36,700 36,724
6.750% due 02/07/2002 1,590 1,587
6.840% due 03/15/2002 (d) 10,215 10,268
7.750% due 03/25/2002 125 127
6.840% due 04/29/2002 (d) 221,144 221,840
7.000% due 09/15/2002 250 251
6.630% due 10/01/2002 5,000 4,968
6.570% due 10/07/2002 (d) 1,100 1,101
6.780% due 11/12/2002 (d) 10,200 10,198
6.880% due 11/12/2002 (d) 22,995 23,022
6.860% due 12/09/2002 (d) 64,050 64,114
6.750% due 12/10/2002 500 499
6.200% due 12/15/2002 500 493
5.480% due 12/16/2002 150 146
6.000% due 01/15/2003 990 971
5.880% due 01/22/2003 75,500 73,769
6.840% due 02/14/2003 (d) 10,000 9,986
6.750% due 03/15/2003 40,125 39,928
7.130% due 05/01/2003 36,000 36,171
7.400% due 07/20/2003 (d) 9,577 9,569
6.790% due 08/18/2003 (d) 102,940 102,690
5.550% due 09/15/2003 32,000 30,830
6.630% due 10/20/2003 2,000 1,982
5.750% due 11/10/2003 1,000 965
7.020% due 04/05/2004 (d) 27,900 27,861
6.930% due 05/28/2004 (d) 73,000 73,801
6.850% due 06/17/2004 1,200 1,190
7.090% due 07/21/2004 (d) 10,000 10,009
7.360% due 09/20/2004 (d) 20,058 20,040
6.650% due 11/17/2005 500 489
6.150% due 04/05/2007 150 140
8.950% due 07/02/2009 19,971 20,803
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Gold Eagle Capital Ltd.
12.130% due 04/15/2001 $ 46,300 $ 46,300
Golden State Holdings
2.280% due 01/01/2000 15 346
6.750% due 08/01/2001 1,950 1,920
Goldman Sachs Group
6.200% due 12/15/2000 6,500 6,489
6.710% due 01/12/2001 (d) 25,000 25,041
6.900% due 01/25/2001 (d) 27,400 27,416
6.920% due 02/20/2001 (d) 3,000 3,004
7.000% due 04/16/2001 (d) 18,000 17,999
6.920% due 12/07/2001 (d) 25,000 25,057
7.090% due 02/18/2002 (d) 2,300 2,315
7.060% due 01/16/2003 (d) 15,000 15,097
6.960% due 01/17/2003 (d) 147,500 147,700
7.070% due 05/23/2003 (d) 75,000 75,074
6.930% due 02/10/2004 (d) 10,000 9,847
7.220% due 02/19/2004 (d) 10,000 10,153
6.920% due 06/02/2004 (d) 15,000 14,743
6.630% due 12/01/2004 275 270
7.630% due 08/17/2005 40,000 40,841
7.390% due 02/09/2009 (d) 10,000 10,432
6.500% due 02/25/2009 140 130
GS Escrow Corp.
7.710% due 08/01/2003 (d) 500 485
Hansol Paper Co. Ltd.
8.940% due 05/24/2001 (d) 20,000 20,200
Hartford Life, Inc.
6.900% due 06/15/2004 600 595
Heller Financial, Inc.
6.250% due 03/01/2001 25,000 24,943
6.920% due 06/25/2001 (d) 76,050 76,106
5.750% due 09/25/2001 1,400 1,380
7.070% due 10/22/2001 (d) 19,200 19,240
6.500% due 11/01/2001 250 249
7.590% due 11/09/2001 (d) 2,500 2,517
6.890% due 04/26/2002 (d) 12,000 11,988
6.850% due 05/07/2002 (d) 2,000 1,998
6.850% due 05/13/2002 (d) 10,000 9,988
7.000% due 05/15/2002 900 897
7.120% due 07/24/2002 (d) 16,200 16,223
6.940% due 04/28/2003 (d) 26,000 25,911
6.970% due 04/28/2003 (d) 55,750 55,509
Hertz Corp.
7.000% due 07/15/2003 13,300 13,155
Home Savings of America
6.000% due 11/01/2000 14,175 14,161
Household Bank
6.820% due 09/26/2001 (d) 9,000 8,999
6.910% due 10/22/2003 (d) 15,000 14,952
Household Capital Trust
7.010% due 06/26/2004 (d) 13,925 13,302
Household Finance Corp.
6.780% due 06/22/2001 (d) 3,000 3,004
6.860% due 08/01/2001 (d) 1,500 1,501
6.860% due 11/01/2001 (d) 3,000 3,000
6.840% due 05/07/2002 (d) 40,850 40,983
6.890% due 05/24/2002 (d) 113,800 113,894
7.080% due 06/03/2002 15,000 15,013
5.880% due 11/01/2002 200 196
6.910% due 06/24/2003 35,000 35,022
6.920% due 06/24/2003 (d) 31,000 31,027
7.000% due 08/01/2003 20,000 19,943
6.500% due 11/15/2008 2,000 1,878
Household Netherlands BV
6.130% due 03/01/2003 18,100 17,646
HSBC Capital Funding LP
10.180% due 12/29/2049 10,000 11,086
10.180% due 12/31/2049 106,400 112,685
HypoVereinsbank
8.740% due 06/30/2031 12,400 11,831
Industrial Bank of Korea
7.100% due 10/15/2001 3,290 3,224
60 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Inter-American Development Bank
8.880% due 06/01/2009 $ 200 $ 227
7.380% due 01/15/2010 4,200 4,374
International Bank for Reconstruction &
Development
7.000% due 01/27/2005 1,000 1,018
International Lease Finance Corp.
5.780% due 03/01/2001 500 498
5.930% due 07/15/2003 14,000 13,613
J.P. Morgan & Co.
5.750% due 02/25/2004 22,800 21,969
6.700% due 11/01/2007 30 29
6.000% due 01/15/2009 37,000 34,095
8.080% due 02/15/2012 600 519
JET Equipment Trust
10.000% due 06/15/2012 80 88
10.690% due 05/01/2015 100 117
John Hancock
7.380% due 02/15/2024 360 333
KBC Bank Fund Trust III
9.860% due 11/29/2049 (d) 5,700 5,965
Key Bank NA
7.550% due 09/15/2006 350 354
Kimco Realty Corp.
6.500% due 10/01/2003 200 195
Korea Development Bank
7.680% due 10/06/2000 (d) 5,000 5,000
6.510% due 10/20/2000 11,000 10,976
7.130% due 09/17/2001 10,055 10,041
8.600% due 03/25/2002 6,600 6,723
6.500% due 11/15/2002 440 431
7.130% due 04/22/2004 19,125 18,771
7.380% due 09/17/2004 16,500 16,264
6.750% due 12/01/2005 55 52
7.250% due 05/15/2006 50 48
LB Rheinland - PFALZ
5.000% due 02/23/2028 3,400 3,230
Lehman Brothers Holdings, Inc.
9.880% due 10/15/2000 150 150
7.250% due 12/01/2000 (d) 500 500
6.130% due 02/01/2001 2,000 1,994
6.000% due 02/26/2001 700 698
7.370% due 07/03/2001 (d) 10,000 10,036
7.680% due 04/02/2002 (d) 64,750 65,327
6.380% due 05/07/2002 28,695 28,481
7.410% due 05/07/2002 (d) 42,100 42,363
8.750% due 05/15/2002 219 225
6.610% due 07/08/2002 (d) 101,600 101,691
7.530% due 07/15/2002 (d) 43,051 43,408
7.000% due 08/12/2002 (d) 6,500 6,499
7.450% due 08/28/2002 (d) 6,500 6,508
6.970% due 09/03/2002 (d) 14,000 13,991
7.210% due 12/12/2002 (d) 57,900 58,152
7.170% due 04/04/2003 (d) 134,300 134,342
7.000% due 05/15/2003 150 150
7.020% due 08/03/2003 (d) 1,500 1,485
6.630% due 04/01/2004 65 64
7.750% due 01/15/2005 150 153
7.630% due 06/01/2006 350 352
8.500% due 05/01/2007 1,475 1,548
LG&E Capital Corp.
6.210% due 05/01/2004 1,000 973
6.460% due 01/15/2008 3,000 2,856
Liberty Mutual Insurance
8.200% due 05/04/2007 17,510 17,252
Limestone Electron Trust
8.630% due 03/15/2003 71,350 72,720
Marine Midland
6.750% due 12/12/2000 (d) 3,700 3,699
MBNA America Bank NA
6.970% due 04/25/2002 (d) 1,000 998
MBNA Corp.
6.990% due 05/24/2002 1,000 1,000
7.130% due 09/10/2002 (d) 5,000 5,024
7.040% due 12/10/2002 4,100 4,044
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
MCN Investment Corp.
6.030% due 02/01/2001 $ 6,850 $ 6,813
7.120% due 01/16/2004 7,500 7,290
6.300% due 04/02/2011 7,500 7,448
Merrill Lynch & Co.
6.830% due 10/03/2000 (d) 2,000 2,000
6.430% due 12/05/2000 (d) 89,000 89,009
6.000% due 03/01/2001 1,325 1,320
6.500% due 04/01/2001 400 399
6.750% due 04/30/2001 2,775 2,773
6.820% due 05/08/2001 (d) 54,900 54,918
6.880% due 05/30/2001 (d) 3,800 3,806
6.790% due 11/01/2001 (d) 35,000 35,035
6.770% due 11/09/2001 (d) 16,000 16,001
6.830% due 01/15/2002 (d) 17,000 16,995
7.090% due 02/01/2002 (d) 33,000 33,111
8.000% due 02/01/2002 400 406
7.380% due 08/17/2002 300 303
8.300% due 11/01/2002 700 720
6.000% due 02/12/2003 500 491
6.880% due 03/01/2003 140 140
6.810% due 06/24/2003 (d) 27,000 26,920
6.990% due 08/01/2003 (d) 800 800
6.920% due 10/01/2003 (d) 18,500 18,497
5.880% due 01/15/2004 600 580
6.550% due 08/01/2004 400 395
7.000% due 03/15/2006 1,500 1,488
7.000% due 04/27/2008 100 98
6.380% due 10/15/2008 35,000 32,955
Merrill Lynch Mortgage Investors, Inc.
5.650% due 12/15/2030 441 424
Metropolitan Life Insurance Co.
6.300% due 11/01/2003 6,800 6,648
Mexico Credit Link
11.380% due 02/22/2002 (d) 29,500 30,760
11.800% due 02/25/2002 2,000 2,119
MFN Financial Corp.
6.980% due 09/13/2001 (d) 10,300 10,305
MIC Financing Trust
8.380% due 02/01/2027 36,000 31,063
Monumental Global Funding II
6.910% due 09/26/2003 (d) 58,500 58,500
Morgan Stanley, Dean Witter, Discover
and Co.
5.750% due 02/15/2001 400 399
6.700% due 05/01/2001 600 600
9.380% due 06/15/2001 300 305
6.840% due 12/17/2001 (d) 5,000 5,006
6.840% due 01/28/2002 (d) 35,700 35,762
6.880% due 04/15/2002 (d) 300 300
6.890% due 02/21/2003 (d) 25,000 25,046
6.850% due 03/11/2003 (d) 11,500 11,484
6.910% due 05/05/2003 (d) 23,000 23,041
6.960% due 08/07/2003 (d) 140,800 140,900
6.380% due 12/15/2003 150 148
5.630% due 01/20/2004 1,100 1,058
6.990% due 04/22/2004 (d) 68,500 68,577
Nacional Financiera
10.560% due 12/01/2000 (d) 10,760 10,712
National Westminster Bank PLC
9.380% due 11/15/2003 200 213
NationsBank Corp.
6.750% due 02/26/2001 500 499
7.000% due 09/15/2001 1,500 1,503
6.810% due 06/17/2002 (d) 10,000 10,003
6.130% due 07/15/2004 600 582
NCNB Corp.
7.750% due 08/01/2002 896 896
Noble Affiliates, Inc.
8.950% due 12/15/2004 11,500 11,525
Nordbanken
7.250% due 11/12/2009 21,250 21,086
2000 Semi-Annual Report See accompanying notes 61
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Nordstrom Credit, Inc.
7.250% due 04/30/2002 $ 1,000 $ 1,006
Northern Rock PLC
2.000% due 01/01/2000 1,060 20,670
Norwest Financial, Inc.
6.380% due 07/16/2002 500 497
6.250% due 11/01/2002 100 99
7.000% due 01/15/2003 380 382
6.000% due 02/01/2004 50 49
Okobank
7.040% due 05/23/2006 (d) 10,000 10,018
Old Kent Bank
7.750% due 08/15/2010 6,500 6,512
Orix Credit Alliance
7.640% due 09/17/2001 13,000 13,077
Osprey Trust
8.310% due 01/15/2003 75,475 76,418
Pacific Mutual Life
7.900% due 12/30/2023 8,000 7,841
PaineWebber
7.030% due 05/20/2002 (d) 1,000 999
7.290% due 07/15/2002 (d) 200 200
Parker Retirement Savings Plan
6.340% due 07/15/2008 841 791
PDVSA Finance Ltd.
7.400% due 08/15/2016 1,200 971
Pemex Finance Limited
6.130% due 11/15/2003 20,222 19,864
PNC Bank Corp.
6.720% due 01/24/2002 (d) 49,000 49,031
6.680% due 08/15/2002 (d) 5,000 5,005
PNC Funding Corp.
6.880% due 03/01/2003 100 100
7.000% due 09/01/2004 15,000 14,889
PNC Institutional Capital
Association
7.950% due 12/15/2026 150 135
Popular North American, Inc.
7.380% due 09/15/2001 25,000 25,120
Popular, Inc.
6.550% due 10/10/2000 2,485 2,485
6.200% due 04/30/2001 3,336 3,325
6.540% due 11/06/2001 18,705 18,625
6.630% due 01/15/2004 19,500 18,949
Prime Property Funding II
7.000% due 08/15/2004 110 107
Protective Life Funding Trust
7.090% due 01/17/2003 (d) 2,000 1,997
Prudential Funding Corp.
6.420% due 10/02/2000 (d) 20,000 20,004
6.630% due 04/01/2009 17,000 15,484
PSE&G Capital Corp.
6.740% due 10/23/2001 1,400 1,398
Qwest Capital Funding, Inc.
6.880% due 08/15/2001 43,200 43,165
7.200% due 07/08/2002 (d) 500 500
Reliance Group Holdings
9.000% due 11/15/2000 (m) 19,000 6,460
9.750% due 11/15/2003 (m) 10,000 1,163
Reliant Energy Financial Co.
7.660% due 12/10/2001 (d) 53,100 52,989
Royal Bank of Scotland PLC
6.400% due 04/01/2009 15,000 13,983
8.820% due 03/31/2049 38,600 40,300
9.120% due 03/31/2049 66,400 69,856
Safeco Corp.
7.260% due 08/12/2002 500 505
Sakura Capital Funding
7.320% due 08/29/2049 20,000 19,244
7.560% due 09/29/2049 (d) 59,000 57,230
Salomon, Inc.
6.630% due 11/30/2000 500 500
6.650% due 07/15/2001 600 598
7.000% due 03/04/2002 18,850 18,894
6.750% due 02/15/2003 450 449
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Salomon, Smith Barney Holdings
5.980% due 03/26/2001 $ 250 $ 249
3.650% due 02/14/2002 (d)(j) 29,708 29,357
6.930% due 04/15/2002 (d) 35,090 35,100
6.860% due 05/14/2002 (d) 34,515 34,514
7.020% due 07/23/2002 (d) 53,400 53,319
6.130% due 01/15/2003 290 285
6.910% due 02/11/2003 (d) 44,200 44,236
6.960% due 04/28/2003 (d) 34,000 34,014
7.060% due 07/18/2003 (d) 55,800 55,897
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 94,740 94,604
Sears Roebuck Acceptance
6.800% due 05/07/2001 500 500
6.790% due 05/21/2001 500 500
7.190% due 06/18/2001 3,880 3,891
7.110% due 06/19/2001 1,000 1,002
9.400% due 08/02/2001 250 255
6.860% due 08/06/2001 400 400
6.710% due 08/13/2001 80 80
6.360% due 12/04/2001 290 289
6.120% due 12/13/2001 260 257
8.390% due 02/14/2002 240 244
6.950% due 05/15/2002 300 299
6.000% due 03/20/2003 149,750 145,584
7.260% due 04/21/2003 3,000 3,002
7.140% due 05/02/2003 5,000 4,988
6.560% due 11/20/2003 1,178 1,152
6.250% due 01/15/2004 300 291
6.750% due 09/15/2005 785 763
6.700% due 11/15/2006 500 480
Security Pacific Corp.
11.500% due 11/15/2000 4,000 4,019
11.000% due 03/01/2001 135 137
Seismic Ltd.
11.270% due 01/01/2002 (d) 32,500 32,500
Simon Property Group, Inc.
9.000% due 03/15/2002 2,000 2,027
Socgen Real Estate LLC
7.640% due 12/29/2049 3,000 2,803
Societe Generale
7.400% due 06/01/2006 1,500 1,503
Sovereign Bancorp, Inc.
6.630% due 03/15/2001 13,500 13,357
Spieker Properties
6.800% due 12/15/2001 5,500 5,456
6.800% due 05/01/2004 1,000 977
Steers
10.460% due 08/07/2002 (d) 20,000 20,114
Sumitomo Bank International Finance NV
8.500% due 06/15/2009 6,600 6,747
Sumitomo Bank Treasury Co.
9.400% due 12/29/2049 (d) 21,050 20,713
Sun Life of Canada (U.S.)
8.530% due 05/29/2049 250 225
Telewest Credit Links
8.500% due 04/16/2004 30,000 28,878
Textron Financial Corp.
7.030% due 05/28/2002 (d) 41,900 41,849
7.030% due 09/17/2002 (d) 2,000 2,003
The Money Store, Inc.
8.050% due 04/15/2002 300 304
7.300% due 12/01/2002 100 101
Tokai Capital Corp.
9.980% due 12/29/2049 (d) 18,050 17,286
Toyota Motor Credit Corp.
7.320% due 02/15/2002 (d) 40,000 39,319
Transamerica Finance Corp.
6.910% due 09/17/2001 (d) 10,000 10,001
6.130% due 11/01/2001 29,000 28,757
6.910% due 12/14/2001 (d) 40,700 40,744
7.250% due 08/15/2002 85,500 85,695
7.500% due 03/15/2004 270 271
6.750% due 11/15/2006 650 637
62 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Travelers Group, Inc.
7.200% due 02/01/2004 $ 38,480 $ 38,677
U.S. Bancorp
6.750% due 01/16/2002 (d) 49,000 49,015
6.940% due 02/03/2003 (d) 18,100 18,111
6.500% due 06/15/2004 600 588
Wachovia Corp.
7.260% due 05/02/2005 (d) 53,100 53,047
Washington Mutual, Inc.
8.210% due 02/01/2027 150 132
8.380% due 06/01/2027 235 212
Wells Fargo & Co.
5.630% due 02/05/2001 400 399
8.750% due 05/01/2002 100 103
6.630% due 07/15/2004 6,500 6,439
7.220% due 05/02/2005 (d) 67,700 67,678
7.800% due 06/15/2010 40,600 41,519
Westdeutsche Landesbank
6.750% due 06/15/2005 36,400 35,796
6.050% due 01/15/2009 123,100 112,682
----------
$9,923,058
==========
Industrials 7.0%
Ahold Finance USA, Inc.
6.880% due 05/01/2029 115 95
Akzo Nobel, Inc.
6.000% due 11/15/2003 32,000 30,896
Albertson's, Inc.
8.350% due 05/01/2010 5,000 5,147
Allied Waste North America, Inc.
7.380% due 01/01/2004 18,925 17,695
Alpha Wind
11.320% due 05/23/2001 17,200 17,200
America West Airlines, Inc.
6.870% due 07/02/2018 1,956 1,789
American Airlines
10.610% due 03/04/2011 1,895 2,165
AMR Corp.
10.610% due 01/11/2001 4,000 4,024
10.570% due 01/15/2001 3,000 3,025
10.590% due 01/31/2001 3,000 3,007
10.000% due 02/01/2001 2,400 2,413
9.400% due 05/08/2001 3,000 3,020
9.430% due 05/10/2001 1,000 1,007
9.500% due 05/15/2001 3,480 3,503
9.130% due 10/25/2001 2,000 2,033
8.470% due 02/20/2002 2,000 2,012
8.500% due 02/26/2002 1,000 1,006
10.210% due 01/01/2010 6,500 7,202
Anheuser-Busch Companies, Inc.
6.750% due 08/01/2003 500 503
Arrow Electronics, Inc.
7.440% due 11/24/2000 (d) 13,200 13,197
Atlas Air, Inc.
9.470% due 04/04/2003 (d) 22,700 22,700
10.470% due 10/04/2004 (d) 3,000 3,000
Aventis SA
8.620% due 01/05/2021 250 261
Baxter International, Inc.
9.500% due 06/15/2008 200 221
Bayer Corp.
6.500% due 10/01/2002 250 248
BOC Group PLC
5.880% due 01/29/2001 250 249
Boeing Co.
8.380% due 02/15/2001 900 904
6.350% due 06/15/2003 750 744
Boise Cascade Co.
7.150% due 05/15/2001 10,000 9,988
BP Amoco PLC
6.250% due 10/15/2004 1,000 991
Browning-Ferris Industries, Inc.
6.100% due 01/15/2003 6,000 5,632
Cabot Corp.
7.280% due 10/21/2027 5,160 4,383
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Campbell Soup Co.
4.750% due 10/01/2003 $ 500 $ 474
Cemex SA
9.250% due 06/17/2002 5,000 5,100
8.630% due 07/18/2003 48,250 48,853
Century Communications Corp.
0.000% due 03/15/2003 10,515 8,044
CF Cable TV, Inc.
9.130% due 07/15/2007 1,600 1,722
Champion International Corp.
9.700% due 05/01/2001 4,000 4,046
Clear Channel Communications, Inc.
7.210% due 06/15/2002 (d) 20,000 20,047
Coastal Corp.
10.380% due 10/01/2000 8,500 8,500
7.290% due 03/01/2002 (d) 145,350 145,350
Coca-Cola Co.
6.380% due 08/01/2001 500 497
7.880% due 02/01/2002 600 605
6.000% due 07/15/2003 250 246
5.750% due 11/01/2008 100 91
Colgate-Palmolive Co.
6.000% due 08/15/2003 45 44
Columbia/HCA Healthcare
8.020% due 08/05/2002 9,000 8,932
8.130% due 08/04/2003 7,300 7,238
6.910% due 06/15/2005 9,500 8,964
6.630% due 07/15/2045 10,000 9,747
6.730% due 07/15/2045 14,760 14,162
Comcast Cable Communications
8.380% due 05/01/2007 145 151
Comdisco, Inc.
6.130% due 08/01/2006 600 588
Conoco, Inc.
6.350% due 04/15/2009 1,900 1,804
Continental Airlines
6.410% due 04/15/2007 342 330
6.800% due 07/02/2007 26 25
6.950% due 02/02/2011 24,520 23,708
6.900% due 01/02/2018 1,511 1,429
Cox Communications, Inc.
6.630% due 06/14/2002 7,250 7,174
6.500% due 11/15/2002 200 198
0.430% due 04/19/2020 25,000 10,500
Cox Enterprises, Inc.
8.000% due 02/15/2007 5,000 5,105
7.610% due 05/01/2033 (d) 500 500
Credit Lyon Capital
2.380% due 01/01/2000 1,912 46,374
CSX Corporation
7.260% due 06/24/2002 (d) 25,100 25,102
DaimlerChrysler Holdings
6.630% due 09/21/2001 1,000 995
6.860% due 01/18/2002 18,900 18,922
7.750% due 05/27/2003 20,000 20,342
7.000% due 08/16/2004 (d) 61,600 61,704
Dayton Hudson Corp.
10.000% due 12/01/2000 1,000 1,004
Delphi Auto Systems Corp.
6.130% due 05/01/2004 20,000 19,103
Delta Air Lines, Inc.
6.650% due 03/15/2004 13,500 12,809
10.430% due 01/02/2011 850 969
10.140% due 08/14/2012 1,000 1,144
9.200% due 09/23/2014 6,000 6,083
10.500% due 04/30/2016 4,550 4,994
Duty Free International, Inc.
7.000% due 01/15/2004 175 169
Eastman Chemical Co.
6.380% due 01/15/2004 5,750 5,535
Electric Lightwave, Inc.
6.050% due 05/15/2004 10,700 10,423
Eli Lilly & Co.
8.130% due 12/01/2001 500 507
6.250% due 03/15/2003 100 99
2000 Semi-Annual Report See accompanying notes 63
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Embotelladora Arica SA
9.880% due 03/15/2006 $ 7,500 $ 7,810
Enron Corp.
7.110% due 09/10/2001 (d) 7,000 7,001
6.450% due 11/15/2001 275 273
7.660% due 01/14/2002 5,000 5,040
8.380% due 05/23/2005 12,000 12,550
Federal Express Corp.
6.850% due 01/15/2019 826 767
Ford Capital BV
9.380% due 05/15/2001 300 304
Ford Motor Co.
9.000% due 09/15/2001 880 893
6.630% due 10/01/2028 115,800 97,647
7.450% due 07/16/2031 10,000 9,325
Fortune Brands, Inc.
8.500% due 10/01/2003 500 521
Fred Meyer, Inc.
7.150% due 03/01/2003 11,000 10,927
7.380% due 03/01/2005 38,100 37,726
7.450% due 03/01/2008 300 291
General Foods Corp.
6.000% due 06/15/2001 200 197
General Motors Acceptance Corp.
6.250% due 05/01/2005 300 291
Gillette Co.
6.250% due 08/15/2003 750 749
5.750% due 10/15/2005 1,500 1,453
Grupo Elektra SA
12.750% due 05/15/2001 1,000 1,035
Gulf Canada Resources Ltd.
9.250% due 01/15/2004 7,250 7,366
Harrahs Operating Co., Inc.
7.880% due 12/15/2005 5,000 4,825
Heinz (H.J.) Co.
6.880% due 01/15/2003 100 101
Hertz Corp.
6.000% due 02/01/2001 75 75
Hilton Hotels Corp.
7.380% due 06/01/2002 1,000 992
Houghton Mifflin Co.
5.990% due 12/03/2001 3,000 2,955
IBM Corp.
7.250% due 11/01/2002 450 455
ICI Wilmington
6.750% due 09/15/2002 10,000 9,882
IMEXSA Export Trust
10.130% due 05/31/2003 7,644 7,618
Imperial Tobacco
7.130% due 04/01/2009 21,785 19,906
Ingersoll-Rand Co.
6.260% due 02/15/2001 295 294
International Game Technology
7.880% due 05/15/2004 24,500 24,071
International Paper Co.
9.050% due 02/08/2001 100 100
7.000% due 06/01/2001 2,000 1,994
ISP Holdings, Inc.
9.750% due 02/15/2002 6,750 6,075
ITT Corp.
6.250% due 11/15/2000 500 499
J Seagram & Sons
5.790% due 04/15/2001 1,800 1,783
6.250% due 12/15/2001 6,545 6,475
K Mart Corp.
8.190% due 11/24/2003 5,000 4,675
Kellogg
5.750% due 02/02/2001 86,925 86,444
Kohls Corp.
7.380% due 10/15/2011 15 14
Kroger Co.
7.560% due 10/01/2010 (d) 54,000 54,098
Limited, Inc.
7.800% due 05/15/2002 500 504
Lockheed Martin Corp.
6.850% due 05/15/2001 30,315 30,205
Mallinckrodt, Inc.
6.300% due 03/15/2011 (d) 23,155 23,046
Mandalay Resort Group
6.750% due 07/15/2003 4,500 4,230
Marlin Water Trust
7.090% due 12/15/2001 11,238 11,174
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (l) 1,980 2,362
Mobil Corp.
8.380% due 02/12/2001 340 341
Nabisco, Inc.
6.000% due 02/15/2001 (d) 11,990 11,900
6.800% due 09/01/2001 3,000 2,962
6.700% due 06/15/2002 9,000 8,811
6.130% due 02/01/2033 15,000 14,356
Nabors Industries, Inc.
6.800% due 04/15/2004 9,250 9,150
News America Holdings Corp.
8.630% due 02/01/2003 750 775
Norfolk Southern Corp.
7.880% due 02/15/2004 50 51
Nortel Networks Corporation
6.880% due 10/01/2002 200 199
Northwest Airlines, Inc.
8.970% due 01/02/2015 1,636 1,659
8.070% due 08/01/2021 400 411
Occidental Petroleum
6.400% due 04/01/2003 7,710 7,520
7.360% due 10/03/2008 30,300 30,262
Park Place Entertainment Corp.
7.950% due 08/01/2003 18,500 18,523
Petroleos Mexicanos
8.130% due 07/15/2005 (d) 100,400 100,651
8.850% due 09/15/2007 1,800 1,787
9.380% due 12/02/2008 14,650 15,090
9.500% due 09/15/2027 31,000 32,008
Philip Morris Cos., Inc.
9.000% due 01/01/2001 300 301
8.750% due 06/01/2001 5,515 5,550
7.250% due 09/15/2001 70 70
7.500% due 01/15/2002 50 50
6.800% due 12/01/2003 48,345 47,340
7.000% due 07/15/2005 1,125 1,093
6.950% due 06/01/2006 9,540 9,495
7.200% due 02/01/2007 34,000 32,649
Philips Petroleum Co.
9.000% due 06/01/2001 2,000 2,016
Premium Asset Trust
7.030% due 09/08/2007 5,000 4,988
Proctor & Gamble Co.
5.250% due 09/15/2003 35,600 34,205
Qwest Corp.
7.200% due 11/01/2004 170 170
Racers
6.930% due 03/03/2003 (d) 282,400 282,400
6.210% due 04/01/2003 20,000 19,956
8.760% due 04/28/2003 (d) 30,000 30,690
6.800% due 09/15/2005 (d) 15,000 14,967
Raytheon Co.
7.310% due 03/01/2002 (d) 8,650 8,668
Rogers Cantel, Inc.
9.380% due 06/01/2008 2,750 2,860
Saferco
9.590% due 05/31/2001 (l) 3,000 3,052
Safeway, Inc.
5.750% due 11/15/2000 3,150 3,144
7.000% due 09/15/2002 1,125 1,124
6.850% due 09/15/2004 250 247
64 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Sara Lee Corp.
6.300% due 11/07/2005 $ 500 $ 486
Scotia Pacific Co. LLC
7.710% due 01/20/2014 305 200
SmithKline Beecham
7.380% due 04/15/2005 150 153
Sprint Capital Corp.
7.010% due 06/10/2002 (d) 1,000 1,000
7.010% due 06/24/2002 (d) 50,000 50,020
Stone Container Corp.
10.750% due 10/01/2002 2,500 2,547
TCI Communications, Inc.
7.260% due 03/12/2001 (d) 14,700 14,756
6.380% due 05/01/2003 3,280 3,234
8.000% due 08/01/2005 450 463
Telecommunications, Inc.
8.250% due 01/15/2003 43,125 44,627
Tenet Healthcare Corp.
7.880% due 01/15/2003 5,000 4,988
8.630% due 12/01/2003 1,200 1,209
Texaco Capital
8.500% due 02/15/2003 700 727
6.000% due 06/15/2005 400 388
Textron, Inc.
6.750% due 09/15/2002 225 224
Time Warner, Inc.
6.100% due 12/30/2001 40,525 39,971
7.980% due 08/15/2004 19,770 20,324
Times Mirror Co.
6.650% due 10/15/2001 300 299
TRW, Inc.
6.630% due 06/01/2004 2,425 2,340
Tyco International Group SA
7.370% due 03/05/2001 (d) 15,000 15,016
6.880% due 09/05/2002 675 674
6.250% due 06/15/2003 16,315 15,880
Union Pacific Corp.
7.880% due 02/15/2002 8,000 8,052
7.330% due 07/01/2002 (d) 25,500 25,531
6.930% due 06/01/2003 1,000 989
6.000% due 09/01/2003 8,000 7,733
6.120% due 02/01/2004 250 241
US Airways
6.850% due 01/30/2018 145 130
USA Waste Services, Inc.
6.130% due 07/15/2001 23,500 23,030
UST, Inc.
7.250% due 06/01/2009 25,000 22,408
USX Corp.
9.800% due 07/01/2001 24,050 24,446
Wal-Mart Stores, Inc.
8.630% due 04/01/2001 2,450 2,473
6.150% due 08/10/2001 450 448
6.750% due 05/24/2002 170 170
6.500% due 06/01/2003 200 199
Walt Disney Co.
6.380% due 03/30/2001 1,100 1,097
5.130% due 12/15/2003 500 475
Waste Management, Inc.
6.380% due 12/01/2003 200 189
6.500% due 05/14/2004 89,000 83,904
Williams Communications Group, Inc.
7.180% due 11/15/2001 10,500 10,507
WMX Technologies
6.700% due 05/01/2001 10,000 9,911
7.000% due 10/15/2006 500 467
Xerox Corp.
7.410% due 05/15/2001 1,000 1,003
Yorkshire Power
6.150% due 02/25/2003 17,000 16,360
---------
2,478,510
=========
Utilities 6.1%
AEP Resources, Inc.
6.500% due 12/01/2003 20,000 19,507
Alabama Power Co.
5.350% due 11/15/2003 1,600 1,528
Arizona Public Service
7.400% due 11/15/2001 (d) 1,000 1,000
Ashland, Inc.
8.450% due 12/05/2001 3,000 3,056
7.250% due 03/07/2003 (d) 300 299
AT&T Corp.
5.130% due 04/01/2001 600 595
7.350% due 08/27/2001 7,200 7,212
7.130% due 01/15/2002 275 276
5.630% due 03/15/2004 350 335
8.650% due 09/15/2004 625 655
7.000% due 05/15/2005 200 199
7.650% due 09/15/2006 140 141
0.000% due 11/01/2007 1,000 877
Baltimore Gas & Electric
6.130% due 07/01/2003 150 147
Bellsouth Telecom
6.000% due 06/15/2002 10,000 9,880
7.500% due 06/15/2033 185 169
Calpine Corp.
9.250% due 02/01/2004 4,150 4,155
7.630% due 04/15/2006 1,800 1,756
CE Electric Funding Company
6.850% due 12/30/2004 250 242
Central Maine Power Co.
7.430% due 08/25/2003 13,000 13,056
Central Power & Light Co.
7.290% due 11/23/2001 (d) 18,100 18,101
Chesapeake & Potomac Telephone
5.630% due 03/01/2007 500 461
8.000% due 10/15/2029 1,125 1,150
Cleveland Electric Illuminating Co.
9.500% due 05/15/2005 33,000 33,794
CMS Energy
8.380% due 07/01/2003 15,000 14,661
8.000% due 07/01/2011 1,000 991
7.000% due 01/15/2005 30,000 27,636
Coastal Corp.
8.130% due 09/15/2002 250 257
Columbus Southern Power Co.
6.850% due 10/03/2005 10,000 9,797
Commonwealth Edison
6.720% due 06/15/2002 (d) 1,000 1,000
6.630% due 07/15/2003 1,000 987
9.880% due 06/15/2020 11,700 12,781
Connecticut Light & Power Co.
7.880% due 06/01/2001 100 100
7.750% due 06/01/2002 5,000 5,048
8.590% due 06/05/2003 27,000 26,646
Consolidated Edison
6.630% due 02/01/2002 100 100
Consolidated Natural Gas Co.
7.250% due 10/01/2004 43,750 43,749
Constellation Energy Group, Inc.
7.220% due 04/04/2003 (d) 15,000 14,961
Deutsche Telekom AG
7.750% due 06/15/2005 134,400 137,718
Dominion Resources, Inc.
7.030% due 01/26/2001 (d) 1,600 1,601
7.600% due 07/15/2003 35,000 35,377
DTE Capital Corp.
8.350% due 11/15/2038 (d) 70,250 68,734
Duke Energy Corp.
5.880% due 06/01/2001 375 373
6.750% due 08/01/2025 25 21
East Coast Power LLC
6.740% due 03/31/2008 17,772 16,968
2000 Semi-Annual Report See accompanying notes 65
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Edison Mission Energy
7.330% due 06/15/2001 (d) $ 1,000 $ 1,000
El Paso Electric Co.
9.400% due 05/01/2011 7,455 7,933
El Paso Energy Corp.
6.630% due 07/15/2001 12,000 11,917
El Paso Natural Gas Co.
7.750% due 01/15/2002 15,000 15,106
Entergy Arkansas, Inc.
7.000% due 03/01/2002 1,580 1,575
7.720% due 03/01/2003 200 202
Entergy Louisiana, Inc.
8.500% due 06/01/2003 3,000 3,084
Entergy Mississippi, Inc.
7.360% due 05/03/2004 (d) 31,000 30,806
Georgia Power Co.
6.670% due 02/22/2002 (d) 15,000 14,990
GTE Corp.
7.250% due 08/01/2002 150 151
5.500% due 01/15/2009 100 88
Gulf States Utilities
6.410% due 08/01/2001 5,800 5,760
Hughes Electric
7.560% due 10/23/2000 (j) 10,000 10,003
Indiana Bell Telephone Co., Inc.
5.500% due 04/01/2007 500 455
Indiana Michigan Power
7.270% due 11/22/2000 (d) 2,500 2,501
Indianapolis Power & Light
7.380% due 08/01/2007 225 227
K N Energy, Inc.
6.450% due 11/30/2001 10,000 9,902
6.450% due 03/01/2003 240 236
Kansai Electric Power Co.
7.250% due 09/25/2006 2,000 2,021
Korea Electric Power
7.000% due 10/01/2002 380 374
6.380% due 12/01/2003 220 211
Louisiana Power & Light Co.
7.740% due 07/01/2002 599 599
MCI Worldcom, Inc.
8.880% due 01/15/2006 34,150 35,261
6.130% due 04/15/2012 1,250 1,235
Montana Power Co.
7.000% due 04/06/2001 (d) 15,000 15,004
National Power Corp.
9.630% due 05/15/2028 16,000 11,631
National Rural Utilities Cooperative
6.880% due 05/31/2002 (d) 10,000 9,996
6.250% due 04/15/2003 50,000 48,982
Nevada Power Co.
7.270% due 08/20/2001 (d) 900 900
New England Telephone & Telegraph Co.
6.380% due 09/01/2008 1,350 1,267
New Jersey Bell Telephone
4.880% due 11/01/2000 800 799
New York Telephone Co.
6.250% due 02/15/2004 150 146
6.000% due 04/15/2008 45 41
Niagara Mohawk Power
7.000% due 10/01/2000 60,235 60,235
6.880% due 03/01/2001 21,538 21,516
7.250% due 10/01/2002 24,783 24,676
7.380% due 07/01/2003 39,162 39,255
7.380% due 08/01/2003 1,645 1,658
North Atlantic Energy
9.050% due 06/01/2002 3,948 3,988
Northern Illinois Gas Co.
6.450% due 08/01/2001 1,450 1,447
Northern Telecom Ltd.
8.750% due 06/12/2001 300 303
NRG Energy, Inc.
8.000% due 11/01/2003 6,000 6,044
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
NRG Northeast Generating LLC
8.070% due 12/15/2004 $ 500 $ 503
Nynex Corp.
9.550% due 05/01/2010 5,941 6,360
Ohio Bell Telephone Co.
5.380% due 03/01/2007 950 865
Ohio Power Co.
7.000% due 07/01/2004 24,000 23,828
Oxymar
7.500% due 02/15/2016 200 149
Pacific Gas & Electric Co.
6.750% due 12/01/2000 3,049 3,048
Pacific Northwest Bell
4.380% due 09/01/2002 50 48
Philadelphia Electric
5.630% due 11/01/2001 22,350 22,026
Philippine Long Distance Telephone
Co.
7.850% due 03/06/2007 5,000 4,088
10.500% due 04/15/2009 5,000 4,515
PP&L, Inc.
6.130% due 05/01/2001 (d) 16,102 15,999
6.550% due 03/01/2006 500 486
PSEG Energy Holdings
9.130% due 02/10/2004 120 123
Public Service Co. of Colorado
6.000% due 04/15/2003 750 732
Public Service Electric & Gas
7.250% due 04/01/2001 (d) 3,191 3,191
6.130% due 08/01/2002 1,000 987
6.250% due 01/01/2007 1,500 1,416
Public Service Enterprise Group, Inc.
7.010% due 11/22/2000 (d) 11,000 11,002
7.040% due 06/15/2001 (d) 156,200 156,262
Queststar Pipeline
9.380% due 06/01/2021 200 208
RAS LAFFAN Liquid Natural Gas
8.290% due 03/15/2014 145 138
Reliant Energy, Inc.
9.380% due 06/01/2001 1,000 1,013
6.380% due 11/01/2003 22,250 21,802
8.750% due 03/01/2022 10,000 10,142
Rochester Telecom
8.950% due 08/07/2001 3,000 3,051
Scana Corp.
7.210% due 02/08/2002 (d) 3,100 3,102
7.380% due 07/15/2002 (d) 27,000 27,037
Sierra Pacific Power Co.
7.160% due 06/12/2001 (d) 39,000 39,000
Sierra Pacific Resources
7.340% due 04/20/2003 (d) 2,000 2,001
6.200% due 04/15/2004 20,000 19,009
SK Telecom Co. Ltd.
7.750% due 04/29/2004 5,000 4,961
Southern Energy
7.900% due 07/15/2009 175 166
Sprint Capital Corp.
6.500% due 11/15/2001 13,365 13,325
6.970% due 11/15/2001 (d) 101,700 101,745
8.130% due 07/15/2002 10,378 10,608
5.880% due 05/01/2004 43,500 41,718
System Energy Resources
7.380% due 10/01/2000 5,000 5,000
7.710% due 08/01/2001 5,800 5,817
Teco Energy, Inc.
5.540% due 09/15/2001 44,630 44,075
Telekomunikacja Polska SA
7.130% due 12/10/2003 12,200 11,935
7.750% due 12/10/2008 13,600 13,117
Tennessee Valley Authority
3.380% due 01/15/2007 (i) 10,893 10,211
0.000% due 04/15/2042 855 366
66 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Texas Utilities Co.
6.660% due 12/01/2000 $ 67,700 $ 67,700
7.210% due 06/25/2001 131,200 131,111
6.370% due 08/16/2001 1,000 990
7.590% due 09/24/2001 208,800 209,907
5.940% due 10/15/2001 3,000 2,961
6.500% due 08/16/2002 2,600 2,578
Toledo Edison Co.
8.180% due 07/30/2002 1,400 1,423
8.700% due 09/01/2002 14,500 14,738
7.850% due 03/31/2003 7,000 7,082
7.880% due 08/01/2004 500 507
TXU Eastern Funding
6.150% due 05/15/2002 53,800 52,657
6.450% due 05/15/2005 18,270 17,321
U.S. West Communications, Inc.
5.650% due 11/01/2004 9,000 8,470
6.630% due 09/15/2005 400 389
6.130% due 11/15/2005 400 380
Union Electric Co.
8.000% due 12/15/2022 1,000 981
United Telecom, Inc.
9.500% due 06/06/2001 150 152
Western Resources, Inc.
6.250% due 08/15/2003 6,600 5,932
Williams Cos., Inc.
6.130% due 02/01/2001 3,000 2,988
6.200% due 08/01/2002 4,000 3,947
Wilmington Trust Co. - Tucson Electric
10.730% due 01/01/2013 (l) 991 1,038
WorldCom, Inc.
6.130% due 08/15/2001 2,030 2,018
6.920% due 11/26/2001 (d) 12,700 12,713
6.400% due 08/15/2005 1,625 1,576
YPF Sociedad Anonima
7.250% due 03/15/2003 16,475 16,146
----------
2,152,502
----------
Total Corporate Bonds & Notes 14,554,070
==========
(Cost $14,785,594)
-------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.8%
-------------------------------------------------------------------
Alabama 0.0%
Jefferson County Alabama Sewer Revenue
Warrants, (FGIC Insured), Series 2000
6.560% due 02/01/2029 4,500 3,718
5.910% due 02/01/2036 625 547
Montgomery Alabama Special Care Facilities
Financing Authority Revenue Bonds,
(MBIA Insured), Series 1998
5.000% due 11/15/2029 2,000 1,743
-----
6,008
-----
California 0.1%
California State Department of Water
Resources Center Valley Project
Revenue Bonds, Series 2000
6.030% due 12/01/2029 2,500 2,056
California State General Obligation,
Series 2000
5.630% due 05/01/2026 5,270 5,342
5.750% due 05/01/2030 1,000 1,023
Cook County Illinois General Obligation
(FGIC Insured), Series 1999
5.000% due 11/15/2028 6,445 5,688
Los Angeles California Wastewater System
Revenue Bonds, (FGIC Insured), Series 2000
5.900% due 06/01/2028 6,500 4,396
Los Angeles County Metropolitan Transportation
Authority Sales Tax Revenue Bonds,
(AMBAC Insured), Series 2000
5.740% due 07/01/2023 3,500 3,071
Orange County School Board, (MBIA Insured),
Series 2000
5.710% due 08/01/2024 3,500 2,866
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Port of Oakland California Revenue Bonds,
(FGIC Insured), Series 2000
5.750% due 11/01/2029 $ 1,000 $ 1,019
San Diego Public Facilities Financing
Authority Revenue Bonds, (FGIC Insured),
Series 1999
5.000% due 05/15/2029 1,000 923
San Francisco California City & County
Airport Community Revenue, (MBIA Insured),
Series 1998
4.500% due 05/01/2028 6,700 5,650
------
32,034
------
Colorado 0.0%
E-470 Public Highway Authority Revenue
Bonds, (MBIA Insured), Series 2000
5.750% due 09/01/2035 2,500 2,497
------
Florida 0.1%
Broward County Florida Airport System
Revenue, (AMBAC Insured), Series 2000
5.030% due 10/01/2023 1,328 1,024
Florida State Board of Education General
Obligation, (FGIC Insured), Series 2000
4.710% due 06/01/2023 3,500 2,310
Florida State Governmental Utility
Authority Utility Revenue, (AMBAC Insured),
Series 2000 5.710% due 10/01/2029 6,453 5,267
Florida State Turnpike Authority
Revenue Bonds, (FGIC Insured), Series 2000
4.440% due 07/01/2027 6,323 4,007
Greater Orlando Aviation Authority, Orlando
Florida Airport Facitities Revenue Bonds,
(FGIC Insured), Series 1999
5.130% due 10/01/2028 2,000 1,800
Lakeland Florida Electric & Water
Revenue, (MBIA Insured),
Series 1999 5.000% due 10/01/2028 5,350 4,790
Modesto Public Financing Authority Lease
Revenue, (AMBAC Insured), Series 2000
5.740% due 09/01/2029 2,500 2,125
Orange Tourist Florida Tourist
Development Tax Revenue Bonds,
(AMBAC Insured), Series 2000
5.500% due 10/01/2031 2,000 1,950
Tampa Florida Guaranteed Entitlement
Revenue, (AMBAC Insured), Series 2001
6.000% due 10/01/2005 2,230 2,322
Tampa Florida Utility Tax & Special
Revenue, (AMBAC Insured), Series 2001
6.000% due 10/01/2005 3,000 3,128
6.000% due 10/01/2008 1,500 1,586
------
30,309
------
Georgia 0.1%
Atlanta Georgia Airport Revenue, (FGIC
Insured), Series 2000
5.500% due 01/01/2026 1,000 975
Atlanta Georgia Water & Wastewater
Revenue, (FGIC Insured), Series 1999
5.000% due 11/01/2038 44,600 39,205
Georgia Local Government Certificate Of
Participation, (MBIA Insured), Series 2000
5.810% due 06/01/2028 9,950 6,866
------
47,046
------
2000 Semi-Annual Report See accompanying notes 67
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
===================================================================
Hawaii 0.0%
Honolulu Hawaii City & County Wastewater System
Revenue, (FGIC Insured), Series 1998
5.000% due 07/01/2023 $ 6,935 $ 6,231
Honolulu Hawaii City & County Wastewater System
Revenue, (FGIC Insured), Series 2000
5.210% due 07/01/2028 7,200 4,941
-------
11,172
=======
Illinois 0.0%
Chicago IIlinois Skyway Toll Bridge Revenue Bonds,
(AMBAC Insured), Series 2000
5.500% due 01/01/2031 2,000 1,920
Chicago Illinois General Obligations Unlimited,
(FGIC Insured), Series 2000
5.500% due 01/01/2040 3,500 3,321
Chicago Illinois Residual General Obligation,
(MBIA Insured), Series 2000
5.960% due 01/01/2028 3,100 2,461
-------
7,702
=======
Kansas 0.0%
Wichita Kansas Hospital Revenue Bonds,
Series 1999
6.250% due 11/15/2024 1,000 1,000
-------
Maryland 0.0%
Maryland St. Health & Higher Educational Facilities
Authority Revenue Bonds, Series 1999
6.000% due 07/01/2039 3,000 3,096
-------
Massachusetts 0.1%
E-470 Public Highway Residual 144a Revenue Bonds,
(MBIA Insured), Series 2000
5.710% due 09/01/2021 2,590 2,104
Massachusetts Bay Transportation Authority
Revenue Bonds, (MBIA Insured), Series 2000
5.260% due 03/01/2021 4,150 3,164
Massachusetts State Turnpike Authority
Revenue Bonds, (AMBAC Insured), Series 2000
5.910% due 01/01/2039 10,250 7,982
Massachusetts State Turnpike Authority
Revenue Bonds, (MBIA Insured), Series 2000
5.910% due 01/01/2037 13,550 10,620
-------
23,870
=======
Minnesota 0.0%
Minnesota Agricultural & Economic
Development Board Revenue Bonds, Series 2000
6.380% due 11/15/2029 1,000 1,003
St. Cloud Minnesota Health Care Revenue Bonds,
Series 2000 5.750% due 05/01/2026 1,000 994
-------
1,997
=======
Mississippi 0.0%
Mississippi Development Bank Special Obligation,
(AMBAC Insured), Series 2000
5.810% due 07/01/2024 2,500 2,103
-------
Nevada 0.1%
Clark County Nevada General Obligations,
(MBIA Insured), Series 2000
8.440% due 07/01/2030 20,913 19,422
Clark County Passenger Facility Charge
Revenue Bonds, (MBIA Insured), Series 2000
5.210% due 07/01/2022 4,750 3,622
-------
23,044
=======
Principal
Amount Value
(000s) (000s)
===================================================================
New Jersey 0.0%
Essex County Improvement Authority Revenue Bonds,
(FGIC Insured), Series 2000
5.750% due 10/01/2030 $ 500 $ 503
New Jersey Health Care Facilities Financing Authority
Revenue Bonds, (MBIA Insured), Series 2000
5.130% due 07/01/2028 2,000 1,363
-------
1,866
=======
New York 0.2%
Long Island Power Authority Revenue Bonds,
(FSA Insured), Series 2000
6.160% due 12/01/2022 4,500 3,876
Long Island Power Authority Revenue Bonds,
(MBIA Insured), Series 2000
6.410% due 12/01/2026 5,500 4,806
New York City Municipal Bond, Series 1997
6.960% due 08/01/2002 (d) 6,108 6,102
New York City Municipal Water Finance Authority,
(MBIA-IBC Insured), Series 2000
5.130% due 06/15/2025 6,565 4,743
New York City Transitional Finance Authority Revenue
Bonds, (FGIC Insured), Series 1998
4.750% due 11/15/2023 5,000 4,321
New York City Transitional Finance Authority
Revenue Bonds, Series 2000
5.500% due 11/01/2024 2,500 2,431
New York City, New York General Obligation,
Series D
6.900% due 08/01/2002 (d) 14,815 14,815
New York State Dorm Authority Lease Revenue Bonds,
(FSA Insured), Series 1998
4.750% due 01/15/2029 3,850 3,267
New York State Dormitory Authority Revenue Bonds,
(MBIA Insured), Series 1998
5.000% due 02/15/2023 5,100 4,582
New York State Thruway Authority General
Obligation, Series 1998
5.000% due 01/01/2025 300 267
Niagara Frontier Airport Revenue Bonds,
(MBIA Insured), Series 1999
5.630% due 04/01/2029 1,000 969
Port Authority of New York & New Jersey Revenue Bonds,
(MBIA Insured), Series 1997
5.750% due 12/01/2022 4,500 4,519
-------
54,698
=======
North Dakota 0.0%
Mercer County Improvement Authority Revenue Bonds,
Series 1978 5.800% due 01/01/2018 6,460 6,678
-------
Ohio 0.0%
Hamilton County Ohio Sales Tax Revenue Bonds,
(MBIA Insured), Series 2000
5.460% due 12/01/2027 3,250 2,637
-------
Pennsylvania 0.0%
Allegheny County Hospital Development Authority
Revenue Bonds, (MBIA Insured), Series 2000 A
6.500% due 11/15/2030 1,000 1,053
Philadelphia School District General Obligation Unlimited,
(MBIA Insured), Series 2000
5.210% due 04/01/2027 3,150 2,217
Pittsburgh & Allegheny County Revenue Bonds,
(AMBAC Insured), Series 1999
5.000% due 02/01/2029 500 446
-------
3,716
=======
68 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
===================================================================
Puerto Rico 0.0%
Puerto Rico Commonwealth General Obligation,
(MBIA Insured), Series 2000
5.875% due 07/01/2035 $ 8,920 $ 9,062
---------
Texas 0.1%
Dallas-Fort Worth International Airport Revenue,
(FGIC Insured), Series 2000
6.000% due 11/01/2028 4,000 4,060
Harris County Health Facilities Development Corporation
Revenue, (MBIA Insured), Series 2000
6.140% due 07/01/2021 3,500 2,993
Houston Independent School District General Obligation,
(PSF Insured), Series 1999
4.750% due 02/15/2026 30,175 25,460
Houston Texas Airport System Revenue, (FGIC Insured),
Series 1998 5.000% due 07/01/2025 5,500 4,904
Houston, Texas, Water & Sewer System Revenue,
(FGIC Insured), Series 2000
5.250% due 12/01/2030 1,000 926
---------
38,343
=========
Utah 0.0%
Weber County, Utah Hospital Revenue Bonds, Series 1999
5.000% due 08/15/2030 500 423
---------
Washington State 0.0%
Seattle Washington General Obligation, Series 2000
5.960% due 12/15/2028 3,000 2,378
---------
Washington, DC 0.0%
Washington D.C. Convention Center Authority Dedicated
Tax Revenue, (AMBAC Insured), Series 2000
5.030% due 10/01/2028 6,500 4,688
---------
Total Municipal Bonds & Notes 316,367
(Cost $315,244) =========
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 0.8%
--------------------------------------------------------------------------------
A.I.D. Housing Guarantee - Peru
9.980% due 08/01/2008 935 957
Federal Farm Credit Bank
6.400% due 01/16/2002 100 100
5.730% due 03/28/2003 300 295
Federal Home Loan Bank
7.270% due 02/15/2002 (d) 17,000 16,788
6.210% due 12/30/2002 200 198
5.130% due 09/15/2003 350 337
5.140% due 09/22/2003 600 576
6.000% due 06/30/2004 1,000 979
6.250% due 08/13/2004 250 248
6.030% due 01/22/2009 275 256
0.000% due 09/29/2017 2,000 487
0.000% due 09/10/2018 15,000 3,711
Federal Home Loan Mortgage Corp.
5.500% due 05/15/2002 435 429
7.000% due 02/15/2003 500 506
7.380% due 05/15/2003 3,500 3,574
6.880% due 01/15/2005 95 96
5.750% due 03/15/2009 1,955 1,824
6.630% due 09/15/2009 1,335 1,321
6.750% due 06/03/2013 400 373
Federal National Mortgage Assn.
0.000% due 08/15/2001 105 99
6.100% due 09/14/2001 100 100
5.380% due 03/15/2002 750 739
6.250% due 11/15/2002 115 114
6.000% due 03/03/2003 500 493
6.100% due 03/20/2003 250 247
5.500% due 12/29/2003 500 485
5.750% due 06/15/2005 900 872
6.560% due 12/10/2007 190 185
5.250% due 01/15/2009 80 72
6.630% due 09/15/2009 1,000 993
Small Business Administration
7.450% due 08/01/2010 107,300 109,273
Student Loan Marketing Assn.
6.840% due 04/25/2004(d) 6,925 6,916
6.480% due 07/25/2004(d) 842 840
6.740% due 10/25/2004(d) 15,532 15,495
6.830% due 10/25/2004(d) 24,678 24,639
6.710% due 10/25/2005(d) 14,542 14,490
6.920% due 04/25/2006(d) 84,060 83,739
---------
Total U.S. Government Agencies 292,846
(Cost $282,885) =========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 13.7%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (i)
3.630% due 07/15/2002 1,118,428 1,118,079
3.380% due 01/15/2007(j) 239,835 231,965
3.630% due 01/15/2008(j) 456,306 445,897
3.880% due 01/15/2009(j) 218,316 216,542
3.630% due 04/15/2028(j) 70,496 67,015
3.880% due 04/15/2029(j) 6,703 6,661
U.S. Treasury Bonds
12.380% due 05/15/2004 1,000 1,206
0.000% due 02/15/2015 188,900 280,812
8.130% due 08/15/2019 31,000 37,859
0.000% due 08/15/2020 349,245 453,691
8.130% due 05/15/2021 57,500 70,887
8.130% due 08/15/2021 134,200 165,653
8.000% due 11/15/2021 142,620 174,264
7.250% due 08/15/2022 275 313
6.250% due 08/15/2023 1,425 1,452
0.000% due 02/15/2026 184,400 182,729
6.130% due 11/15/2027 200 202
5.500% due 08/15/2028 59,900 55,613
6.130% due 08/15/2029 8,000 8,173
6.250% due 05/15/2030 535,200 562,797
U.S. Treasury Notes
6.750% due 05/15/2005 235,000 243,519
5.630% due 05/15/2008 500 491
6.500% due 02/15/2010 320 333
U.S. Treasury Strips
0.000% due 05/15/2013 4,500 2,096
0.000% due 02/15/2014 64,900 28,801
0.000% due 02/15/2015 135,000 56,298
0.000% due 05/16/2015 152,700 62,719
0.000% due 08/15/2015 170,400 68,833
0.000% due 11/15/2018 108,200 35,915
0.000% due 11/15/2021 795,000 222,563
0.000% due 11/15/2024 207,000 49,161
---------
Total U.S. Treasury Obligations 4,852,539
(Cost $4,846,168) =========
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 73.3%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 22.5%
ABN AMRO Mortgage Corp.
6.750% due 09/25/2028 3,765 3,547
6.500% due 06/25/2029 7,093 6,516
ABSC Long Beach Home Equity Loan Trust
6.880% due 08/31/2030(d) 137,705 137,705
American Southwest Financial Securities Corp.
7.400% due 11/17/2004 34,802 35,077
12.250% due 11/01/2014 32 32
12.500% due 04/01/2015 279 281
12.000% due 05/01/2015 498 507
7.250% due 11/25/2038 54,826 53,198
Aurora Loan Services
7.340% due 05/25/2030(d) 42,548 42,481
Banc of America Funding Corporation
6.750% due 11/20/2032 17,000 16,074
Bank of America Mortgage Securities, Inc.
6.250% due 07/25/2014 10,040 9,533
6.250% due 08/25/2028 25,000 22,518
6.500% due 05/25/2029 35,565 32,818
7.250% due 10/25/2029 10,371 9,356
2000 Semi-Annual Report See accompanying notes 69
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Bear Stearns Mortgage Securities, Inc.
7.000% due 08/20/2018 $ 9,999 $ 9,457
7.380% due 10/25/2023 (d) 3,046 3,227
6.350% due 08/25/2024 1,481 1,474
10.000% due 08/25/2024 5,000 5,606
7.000% due 03/25/2027 7,000 6,738
8.130% due 09/25/2027 3,000 3,020
7.450% due 12/25/2027 62 62
7.000% due 02/25/2028 10,000 9,624
7.000% due 05/20/2030 34,574 33,869
7.170% due 06/25/2030 6,890 6,802
Capital Asset Research Funding LP
5.910% due 12/15/2005 153 152
Cendant Mortgage Corp.
7.250% due 04/18/2013 829 827
6.510% due 11/18/2028 (d) 13,739 12,760
6.500% due 11/18/2028 (d) 5,952 5,009
Centre Re
6.720% due 02/01/2009 30,620 29,308
Chase Mortgage Finance Corp.
8.250% due 10/25/2010 231 230
7.000% due 07/25/2024 2,275 2,262
7.000% due 08/25/2024 2,890 2,810
6.750% due 03/25/2025 11,449 9,911
6.320% due 04/25/2025 (d) 17,759 17,939
6.750% due 10/25/2028 39,000 36,712
6.350% due 07/25/2029 70,207 69,509
Chemical Mortgage Securities
7.250% due 01/25/2026 11,477 11,356
Citicorp Mortgage Securities, Inc.
7.650% due 10/25/2022 (d) 9,687 9,709
6.250% due 04/25/2024 11,796 10,407
6.250% due 05/25/2024 3,753 3,726
7.250% due 10/25/2027 20,462 19,666
6.750% due 09/25/2028 8,806 8,354
5.900% due 05/25/2029 12,282 12,199
CMC Securities Corp.
7.520% due 09/25/2023 (d) 0 3,454
8.420% due 04/25/2025 (d) 154 156
7.250% due 11/25/2027 9,293 9,115
6.150% due 05/25/2028 (d) 72 72
6.750% due 05/25/2028 5,000 4,720
CMSI 2000
7.500% due 10/30/2030 11,233 10,524
Collateralized Mortgage Obligation
Trust
10.200% due 02/01/2016 2,259 2,276
7.250% due 04/23/2017 62 62
8.000% due 09/20/2021 6,301 6,293
Collateralized Mortgage Securities
Corp.
11.450% due 09/01/2015 969 979
11.450% due 11/01/2015 (d) 2 2
8.750% due 04/20/2019 403 411
COMM
6.150% due 02/15/2008 15,326 14,896
6.490% due 12/16/2011 (d) 9,000 9,014
Countrywide Alternative Loan Trust
8.000% due 07/25/2030 21,089 21,340
Countrywide Funding Corp.
6.630% due 02/25/2024 33,827 31,226
Countrywide Home Loans
6.500% due 07/25/2013 5,676 5,293
8.790% due 07/25/2024 (d) 2,314 2,332
6.750% due 11/25/2025 25,567 22,795
7.500% due 04/25/2027 1,534 1,533
7.500% due 06/25/2027 12,122 12,142
7.500% due 09/25/2027 20,000 19,704
7.250% due 12/25/2027 6,224 5,965
7.250% due 02/25/2028 57,846 55,542
6.750% due 06/25/2028 15,103 13,461
6.750% due 08/25/2028 10,024 9,945
6.750% due 11/25/2028 3,000 2,803
6.500% due 01/25/2029 24,978 23,306
6.500% due 03/25/2029 21,744 20,032
6.050% due 04/25/2029 1,337 1,320
7.250% due 08/25/2029 5,700 5,381
7.750% due 08/31/2030 29,310 27,761
Crusade Global Trust
7.010% due 05/15/2021 (d) 100,000 100,250
CS First Boston Mortgage Securities Corp.
6.750% due 12/27/2028 12,607 10,467
6.960% due 06/20/2029 124 124
DLJ Commercial Mortgage Corp.
6.880% due 05/05/2003 (d) 31,164 31,183
DLJ Mortgage Acceptance Corp.
8.670% due 05/25/2024 (d) 107 109
6.850% due 12/17/2027 6,605 6,585
Donaldson, Lufkin & Jenrette, Inc.
6.450% due 08/01/2021 (d)(l) 3,985 4,256
8.410% due 12/25/2022 (d) 1,593 1,614
8.580% due 03/25/2024 (d) 460 468
Drexel Mortgage Funding
9.500% due 11/20/2017 622 626
DVI Business Credit Receivable
6.460% due 10/15/2003 (d) 3,850 3,891
FBS Mortgage Corp.
7.140% due 11/25/2024 364 363
Federal Home Loan Mortgage Corp.
8.000% due 03/15/2002 103 103
6.750% due 10/15/2003 14,399 14,364
7.000% due 10/15/2003 3,497 3,498
7.500% due 11/01/2003 4,476 4,513
7.000% due 12/15/2003 89 89
10.150% due 04/15/2006 8 8
6.500% due 07/15/2006 7,832 7,799
6.500% due 08/15/2006 523 520
6.770% due 03/12/2007 400 403
7.500% due 05/01/2007 1,345 1,363
5.500% due 10/15/2007 4,494 4,450
6.500% due 05/15/2008 1,000 993
3.050% due 06/15/2008 (d) 157 144
7.000% due 08/15/2008 3,353 361
6.000% due 11/15/2008 225 218
6.200% due 12/15/2008 4,487 4,164
6.000% due 03/15/2009 265 258
7.550% due 03/15/2012 180 181
8.500% due 08/15/2013 2,000 2,051
8.500% due 09/15/2013 5,941 6,066
6.000% due 11/15/2014 400 360
5.400% due 05/25/2016 1,675 1,664
6.250% due 10/15/2017 16,572 16,466
5.900% due 03/15/2018 3,420 3,399
6.350% due 03/25/2018 179 177
5.250% due 05/15/2018 156 155
10.000% due 08/01/2018 57 60
6.500% due 10/15/2018 480 19
6.400% due 02/15/2019 13,420 13,329
6.500% due 05/15/2019 173 172
5.800% due 06/15/2019 5,032 5,004
6.250% due 07/15/2019 18,216 18,086
5.000% due 08/15/2019 85 84
7.500% due 01/15/2020 2,676 2,671
7.080% due 06/15/2020 (d) 88 88
5.250% due 07/15/2020 304 299
5.500% due 10/15/2020 55 54
9.500% due 11/15/2020 3,189 3,366
9.000% due 12/15/2020 795 822
8.750% due 12/15/2020 1,265 1,295
6.000% due 12/15/2020 252 242
9.000% due 12/15/2020 1,602 1,653
9.500% due 01/15/2021 1,955 2,056
6.250% due 01/15/2021 200 196
8.000% due 04/15/2021 89 91
6.500% due 05/15/2021 104 103
6.500% due 05/17/2021 57 55
8.500% due 06/15/2021 24,203 24,926
6.950% due 07/15/2021 439 441
9.000% due 07/15/2021 1,969 2,051
9.500% due 07/15/2021 1,203 1,310
8.000% due 07/15/2021 9,502 9,533
6.200% due 08/15/2021 1,158 1,148
6.950% due 08/15/2021 157 154
70 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
===================================================================
8.000% due 08/15/2021 $ 23,472 $ 23,808
7.000% due 09/15/2021 274 272
6.500% due 09/15/2021 29,896 29,579
7.000% due 10/15/2021 9 9
8.000% due 12/15/2021 18,405 18,931
6.850% due 01/15/2022 700 692
8.250% due 06/15/2022 5,000 5,101
7.000% due 07/15/2022 9,380 9,144
8.500% due 10/15/2022 7,029 7,303
7.500% due 01/15/2023 17,740 17,313
7.000% due 05/15/2023 10,499 9,810
7.000% due 07/15/2023 270 246
7.500% due 07/15/2023 395 399
6.500% due 07/15/2023 272 266
6.500% due 08/15/2023 141,607 140,328
6.850% due 10/25/2023 3,059 2,992
6.500% due 11/15/2023 135 117
7.500% due 01/20/2024 103 103
5.000% due 02/15/2024 116 97
6.500% due 02/15/2024 21 21
6.500% due 03/15/2024 320 283
8.000% due 04/25/2024 475 484
6.250% due 05/15/2024 13,357 11,838
7.250% due 08/15/2024 190 190
8.000% due 09/15/2024 16,250 16,398
7.500% due 02/15/2025 3,620 3,639
7.000% due 09/17/2025 40 39
6.500% due 03/15/2026 110 104
8.020% due 10/01/2026 (d) 2,926 2,985
6.000% due 11/15/2026 550 510
7.500% due 01/15/2027 25,182 24,035
7.000% due 01/15/2027 61 61
8.000% due 02/15/2027 34,599 34,657
7.500% due 03/17/2027 20,000 19,806
6.750% due 05/15/2027 824 819
7.500% due 06/20/2027 19,568 18,783
6.500% due 08/15/2027 15,642 12,949
6.500% due 10/15/2027 32,300 29,407
6.000% due 11/15/2027 665 616
6.500% due 01/25/2028 8,691 7,893
7.000% due 02/15/2028 1,593 1,520
6.500% due 04/15/2028 158,188 144,424
6.500% due 05/15/2028 48,000 43,284
6.500% due 06/15/2028 61,318 51,465
6.500% due 06/20/2028 23,392 19,621
6.500% due 07/15/2028 70,438 58,390
6.500% due 08/15/2028 275,986 229,683
7.000% due 11/15/2028 9,000 8,570
6.500% due 12/15/2028 7,057 5,506
6.000% due 12/15/2028 23,099 18,817
6.250% due 12/15/2028 1,673 1,376
6.500% due 01/15/2029 10,411 9,614
6.000% due 02/15/2029 3,873 2,877
6.500% due 03/15/2029 25,864 22,421
6.500% due 06/01/2029 106 102
6.500% due 07/01/2029 1,084 1,043
8.000% due 07/15/2029 1,250 1,222
7.500% due 08/15/2030 201 192
7.000% due 09/15/2030 (d) 18,100 15,280
7.120% due 09/30/2030 15,200 15,053
7.500% due 10/15/2030 27,350 25,991
6.500% due 08/15/2032 (d) 26,172 25,687
Federal National Mortgage Assn.
9.100% due 02/25/2002 194 193
7.500% due 05/25/2005 6,700 6,757
7.500% due 02/25/2006 375 377
6.500% due 05/01/2006 142 141
6.500% due 07/25/2006 50 50
8.000% due 11/25/2006 30 30
6.350% due 12/25/2006 8 8
6.000% due 07/25/2007 300 296
5.580% due 08/25/2007 (d) 10 9
6.740% due 08/25/2007 145 142
6.270% due 09/25/2007 3,000 2,852
7.000% due 10/25/2007 200 200
6.500% due 05/25/2008 500 497
10.500% due 08/25/2008 7,146 7,851
6.000% due 08/25/2008 69 68
7.450% due 09/25/2008 (d) 1,606 1,463
6.750% due 11/25/2010 886 881
7.000% due 01/25/2011 100 99
6.000% due 03/18/2015 11,217 11,128
8.000% due 12/25/2016 181 183
9.250% due 04/25/2018 173 182
9.300% due 05/25/2018 672 699
9.500% due 06/25/2018 564 589
7.210% due 06/25/2018 (d) 3 3
9.500% due 11/25/2018 6,998 7,155
6.000% due 02/25/2019 4,242 4,195
6.500% due 03/25/2019 885 872
9.500% due 06/25/2019 1,339 1,400
5.650% due 07/25/2019 457 454
9.300% due 08/25/2019 73 77
6.350% due 08/25/2019 207 205
8.000% due 10/25/2019 620 618
9.000% due 12/25/2019 5,985 6,159
7.500% due 12/25/2019 74 73
7.500% due 05/25/2020 3,225 3,241
6.750% due 06/25/2020 248 247
7.080% due 07/18/2020 (d) 46 46
7.000% due 07/25/2020 327 326
9.000% due 09/25/2020 3,338 3,452
7.000% due 09/25/2020 12,693 12,648
6.500% due 09/25/2020 1,367 1,355
5.000% due 09/25/2020 200 190
8.000% due 12/25/2020 26,225 26,782
7.160% due 12/25/2020 (d) 10 10
8.750% due 01/25/2021 3,151 3,232
9.000% due 01/25/2021 5,264 5,483
5.750% due 02/18/2021 100 96
7.500% due 03/25/2021 2,159 2,150
9.000% due 03/25/2021 459 473
7.000% due 05/25/2021 300 293
7.500% due 06/25/2021 46 46
6.500% due 06/25/2021 6,096 5,834
8.000% due 07/25/2021 14,905 15,091
8.500% due 09/25/2021 5,376 5,544
7.000% due 10/25/2021 9,317 9,113
8.000% due 10/25/2021 22,645 22,940
7.000% due 11/25/2021 23,206 23,031
6.000% due 12/25/2021 34 34
4.000% due 01/25/2022 126 113
8.000% due 01/25/2022 21,700 21,968
8.000% due 03/25/2022 72 72
7.000% due 04/25/2022 17,091 16,299
5.000% due 04/25/2022 48 44
10.000% due 05/01/2022 133 141
7.380% due 05/25/2022 9,227 9,100
7.000% due 06/25/2022 1,276 1,249
8.000% due 06/25/2022 3,861 3,915
8.000% due 07/25/2022 60,892 61,455
7.000% due 07/25/2022 5,582 5,516
6.500% due 10/25/2022 4,048 3,672
7.800% due 10/25/2022 3,328 3,325
6.500% due 12/25/2022 195 192
7.000% due 03/25/2023 28,890 27,361
6.500% due 05/18/2023 10,717 10,601
6.900% due 05/25/2023 159 142
7.000% due 06/25/2023 5,258 4,769
6.000% due 08/25/2023 2,703 2,529
6.500% due 08/25/2023 35 34
6.000% due 08/25/2023 11,122 9,496
1.000% due 09/25/2023 226 204
6.750% due 09/25/2023 3,971 3,558
6.750% due 10/25/2023 597 512
7.500% due 10/25/2023 50 51
6.500% due 11/25/2023 85 83
6.500% due 12/25/2023 1,317 1,145
7.100% due 12/25/2023 6,769 6,465
6.500% due 01/25/2024 2,656 2,386
2000 Semi-Annual Report See accompanying notes 71
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
7.250% due 02/25/2024 $ 17 $ 17
6.500% due 02/25/2024 5,150 4,794
7.500% due 06/20/2024 106 107
6.500% due 08/17/2024 17,000 16,096
7.000% due 02/18/2025 121 121
6.600% due 05/18/2025 219 212
7.500% due 11/17/2025 289 286
7.500% due 12/25/2025 360 354
7.000% due 02/15/2026 180 178
7.000% due 07/18/2026 450 433
6.500% due 09/18/2026 120 114
7.000% due 12/18/2026 16,310 15,014
6.000% due 12/25/2026 170 157
6.000% due 03/25/2027 320 295
6.000% due 05/17/2027 5,470 4,756
6.500% due 07/18/2027 173 148
7.000% due 07/18/2027 460 446
8.000% due 08/18/2027 286 79
7.500% due 08/20/2027 2,503 2,398
6.890% due 02/01/2028 (d) 1,292 1,328
7.020% due 04/18/2028 (d) 3,211 3,216
6.500% due 06/25/2028 4,700 4,325
6.500% due 07/18/2028 67,412 60,818
6.000% due 07/18/2028 8,649 6,778
9.100% due 09/25/2028 20,532 22,196
6.250% due 02/25/2029 500 429
6.000% due 04/25/2029 10,809 7,804
7.120% due 08/25/2030 (d) 94,976 94,925
7.070% due 09/01/2030 (d) 85,000 84,920
6.300% due 10/17/2038 15,471 13,551
First Commonwealth Savings & Loan
10.380% due 04/01/2005 16 17
First Nationwide Trust
6.500% due 03/25/2029 4,400 4,128
6.750% due 07/25/2029 5,498 5,462
7.750% due 09/19/2030 6,000 5,544
First Union Residential Securitization, Inc.
7.000% due 04/25/2025 356 346
6.750% due 08/25/2028 9,048 8,047
Gaston Oaks PLC
6.930% due 01/01/2036 4,922 4,871
General Electric Capital Mortgage Services, Inc.
6.000% due 01/25/2009 1,148 1,140
6.750% due 12/25/2012 2,498 2,479
6.500% due 09/25/2023 1,175 1,019
6.500% due 12/25/2023 8,631 7,454
6.500% due 01/25/2024 3,895 3,339
6.500% due 02/25/2024 1 1
6.500% due 03/25/2024 66,953 61,533
6.500% due 04/25/2024 66,640 55,826
7.250% due 05/25/2026 3,780 3,663
7.500% due 06/25/2027 21,893 21,707
7.500% due 07/25/2027 10,129 9,926
7.000% due 10/25/2027 14,502 13,726
7.000% due 11/25/2027 72,500 69,853
6.650% due 05/25/2028 6,902 6,833
6.750% due 05/25/2028 23,934 21,974
6.750% due 06/25/2028 20,517 19,333
6.550% due 06/25/2028 23,450 22,829
6.600% due 06/25/2028 7,106 7,045
6.750% due 06/25/2028 1,314 1,304
6.750% due 10/25/2028 9,311 8,785
6.250% due 12/25/2028 54,952 49,910
6.500% due 12/25/2028 19,500 18,009
6.500% due 05/25/2029 9,858 9,075
6.750% due 05/25/2029 20,000 18,531
6.500% due 07/25/2029 95,240 87,417
5.950% due 07/25/2029 24,794 24,466
6.000% due 07/25/2029 23,507 23,065
6.250% due 07/25/2029 132,674 128,277
7.250% due 08/25/2029 8,000 7,606
7.000% due 09/25/2029 15,957 15,013
General Motors Acceptance Corp.
6.920% due 07/20/2002 (d) 3,287 3,287
6.700% due 03/15/2008 29,732 28,905
GGP-Homart
7.040% due 06/10/2003 (d) 19,600 19,643
GMAC Commercial Mortgage Securities, Inc.
6.150% due 11/15/2007 264 256
6.970% due 05/15/2008 28,427 28,360
6.570% due 09/15/2033 30,119 29,617
6.950% due 09/15/2033 25,060 24,703
GMAC Mortgage Corporation Loan Trust
7.500% due 05/25/2030 12,000 11,895
Goldman Sachs Mortgage Corp.
6.000% due 12/31/2007 (l) 8,635 8,030
Government National Mortgage Association
6.250% due 06/20/2022 43,622 43,216
7.220% due 06/20/2023 (d) 48,214 48,122
7.250% due 12/16/2023 7,444 7,468
7.000% due 01/15/2024 414 409
8.000% due 05/16/2024 73 73
7.000% due 03/20/2026 320 310
7.000% due 08/20/2026 114 111
7.500% due 02/16/2027 1 1
7.500% due 07/16/2027 29,918 28,903
7.000% due 12/20/2027 18,416 17,479
6.500% due 06/20/2028 30,965 25,382
6.500% due 07/20/2028 39,127 31,695
6.500% due 09/20/2028 28,461 23,948
6.500% due 01/20/2029 27,852 23,106
6.500% due 03/20/2029 16,259 14,914
8.000% due 03/20/2029 7,151 7,305
6.000% due 05/20/2029 10,831 8,518
7.500% due 01/20/2030 315 310
7.500% due 09/20/2030 5,000 4,774
7.130% due 09/20/2030 (d) 13,800 13,797
7.070% due 10/30/2030 58,500 58,518
Greenwich
7.980% due 04/25/2022 (d) 425 424
7.810% due 07/25/2022 (d) 109 108
8.150% due 10/25/2022 (d) 55 55
8.190% due 04/25/2023 (d) 918 915
8.780% due 04/25/2024 (d) 848 858
8.860% due 06/25/2024 (d) 493 500
9.690% due 08/25/2024 (d) 914 923
9.480% due 11/25/2024 (d) 195 195
GS Mortgage Securities Corp.
6.060% due 10/18/2030 0 0
Harborview Mortgage Loan Trust
7.470% due 08/19/2030 22,975 23,176
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2012 2,043 2,043
7.160% due 12/25/2012 775 773
7.250% due 11/25/2027 18,456 18,260
7.000% due 02/25/2028 560 557
ICI Funding Corp. Secured Assets Corp.
7.250% due 09/25/2027 18,068 17,744
7.750% due 03/25/2028 1,868 1,819
Impac CMB Trust
6.870% due 07/25/2028 (d) 1,061 1,062
Impac Secured Assets CMN Owner Trust
7.320% due 10/25/2030 (d) 62,000 62,000
Imperial CMB Trust
6.950% due 09/25/2026 (d) 6,035 6,039
6.650% due 11/25/2029 1,063 1,055
Independent National Mortgage Corp.
6.650% due 10/25/2024 2,723 2,633
9.140% due 11/25/2024 (d) 5 5
8.560% due 11/25/2024 (d) 1,140 1,155
8.750% due 12/25/2024 30 31
9.070% due 01/25/2025 (d) 107 109
8.000% due 06/25/2025 7 7
8.230% due 07/25/2025 (d) 6,762 6,821
7.500% due 09/25/2025 782 780
International Mortgage Acceptance Corp.
12.250% due 03/01/2014 255 291
J.P. Morgan Commercial Mortgage Finance Corp.
8.230% due 02/25/2028 1,615 1,617
6.530% due 01/15/2030 20,000 19,545
72 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Kidder Peabody Acceptance Corp.
8.310% due 09/25/2024 (d) $ 7,392 $ 7,417
LB Mortgage Trust
8.400% due 01/20/2017 38,879 40,339
Mellon Residential Funding Corp.
6.500% due 02/25/2028 10,000 8,663
6.350% due 06/25/2028 22,000 21,585
6.110% due 01/25/2029 23,900 22,922
6.570% due 07/25/2029 44,000 42,688
6.580% due 07/25/2029 55,500 54,805
6.460% due 07/25/2029 6,631 6,602
Merrill Lynch Mortgage Investors, Inc.
7.000% due 06/15/2021 2,182 2,187
7.150% due 06/15/2021 (d) 4,694 4,617
7.410% due 06/15/2021 (d) 4,404 4,340
6.950% due 06/18/2029 36,420 36,421
Midland Realty Acceptance Corp.
7.020% due 01/25/2029 19,667 19,552
MLCC Mortgage Investors, Inc.
6.870% due 09/15/2026 (d) 18,580 18,556
Morgan Stanley Capital
6.860% due 05/15/2006 2,041 2,037
6.190% due 01/15/2007 20,866 20,449
6.160% due 04/03/2009 13,464 13,058
7.460% due 02/15/2020 11,450 11,640
6.590% due 10/03/2030 6,612 6,546
Morgan Stanley, Dean Witter, Discover and Co.
6.850% due 07/25/2027 (d) 677 673
Mortgage Capital Funding, Inc.
7.800% due 04/15/2006 500 510
7.010% due 09/20/2006 15,545 15,399
7.600% due 05/25/2027 12,959 13,133
NationsBanc Montgomery Funding Corp.
6.750% due 06/25/2028 10,000 9,419
6.500% due 07/25/2028 14,470 13,325
6.750% due 08/25/2028 20,009 18,191
6.250% due 10/25/2028 2,000 1,804
Nationslink Funding Corp.
5.810% due 02/10/2001 14,502 14,444
6.330% due 10/22/2004 6,542 6,447
6.650% due 02/10/2006 12,124 11,968
6.970% due 04/10/2007 (d) 7,417 7,419
Nomura Asset Securities Corp.
8.490% due 05/25/2024 (d) 1,701 1,743
Norwest Asset Securities Corp.
6.750% due 12/25/2012 16,624 16,427
6.500% due 06/25/2013 3,129 3,059
7.500% due 03/25/2027 1,943 1,938
6.750% due 09/25/2027 2,957 2,899
6.350% due 04/25/2028 1,747 1,733
6.750% due 05/25/2028 5,000 4,587
6.250% due 08/25/2028 4,355 4,307
6.250% due 09/25/2028 418 377
6.750% due 10/25/2028 18,215 17,208
6.500% due 12/25/2028 20,000 18,448
6.500% due 01/25/2029 373 279
6.500% due 02/25/2029 67,312 62,208
6.500% due 04/25/2029 26,751 24,622
6.300% due 04/25/2029 8,082 7,847
6.200% due 04/25/2029 77,385 74,553
5.950% due 04/25/2029 111,948 108,611
6.000% due 05/25/2029 19,713 19,332
6.250% due 05/25/2029 504 485
6.500% due 06/25/2029 46,178 42,395
6.750% due 08/25/2029 1,267 1,255
7.000% due 09/25/2029 3,451 2,888
6.500% due 10/25/2029 1,980 1,824
7.000% due 11/25/2029 14,870 14,238
7.250% due 02/25/2030 19,756 18,206
PaineWebber Mortgage
6.000% due 04/25/2009 11,951 11,435
PHH Mortgage Services Corp.
7.180% due 11/18/2027 956 911
PNC Mortgage Securities Corp.
6.750% due 06/25/2016 10,346 10,242
7.000% due 10/25/2027 36,034 34,747
6.750% due 12/25/2027 7,230 6,507
6.990% due 02/25/2028 9,574 9,358
6.500% due 02/25/2028 1,221 1,213
7.000% due 02/25/2028 25,604 24,686
6.630% due 03/25/2028 1,750 1,723
7.000% due 05/25/2028 6,422 6,373
6.550% due 07/25/2028 24,500 24,240
6.750% due 07/25/2028 3,527 3,326
6.750% due 09/25/2028 3,996 3,766
6.750% due 10/25/2028 26,133 24,476
6.750% due 12/25/2028 21,709 20,402
6.500% due 01/25/2029 999 922
6.250% due 01/25/2029 9,263 8,352
6.300% due 03/25/2029 10,000 9,051
6.500% due 06/25/2029 48,600 44,628
6.200% due 06/25/2029 50,581 49,496
7.750% due 07/25/2030 78,448 78,300
7.500% due 09/29/2030 500 501
Potomac Gurnee Finance Corp.
6.890% due 12/21/2026 47 46
Prudential Bache
6.710% due 09/01/2018 (d) 215 212
8.400% due 03/20/2021 5,974 6,120
Prudential Home Mortgage Securities
7.000% due 01/25/2008 23,860 23,644
6.750% due 08/25/2008 414 412
6.400% due 04/25/2009 697 692
6.950% due 11/25/2022 222 204
7.000% due 07/25/2023 11,428 11,321
6.750% due 10/25/2023 9,611 7,958
5.900% due 12/25/2023 5,036 4,965
6.050% due 04/25/2024 2,546 2,520
6.800% due 05/25/2024 10,970 9,175
6.450% due 11/25/2025 5,264 4,584
Prudential Securities Secured Financing Corp.
6.070% due 01/15/2008 12,480 12,061
6.960% due 06/15/2008 20,592 20,555
PSB Financial Corp.
11.050% due 12/01/2015 440 448
Resecuritization Mortgage Trust
6.750% due 06/19/2028 18,235 17,146
Residential Accredit Loans, Inc.
7.450% due 04/25/2023 960 956
7.500% due 08/25/2027 15,000 14,866
6.500% due 02/25/2028 20,616 20,459
7.000% due 02/25/2028 41,115 39,716
6.500% due 12/25/2028 400 369
6.500% due 05/25/2029 3,000 2,765
6.750% due 06/25/2029 1,576 1,543
7.000% due 07/25/2029 468 462
7.750% due 03/25/2030 4,389 4,418
Residential Asset Securitization Trust
7.000% due 03/25/2027 10 10
7.380% due 03/25/2027 5,142 5,026
7.000% due 10/25/2027 19,541 19,097
7.000% due 01/25/2028 20,000 18,906
6.750% due 06/25/2028 14,914 14,701
6.500% due 12/25/2028 1,250 1,132
6.500% due 03/25/2029 22,700 21,416
7.320% due 09/25/2030 (d) 16,648 16,768
Residential Funding Mortgage Securities, Inc.
7.000% due 08/25/2008 5,237 5,215
7.500% due 09/25/2011 14,406 14,493
7.000% due 05/25/2012 3,095 3,050
6.500% due 12/25/2012 21,417 20,597
7.750% due 09/25/2022 417 418
8.000% due 01/25/2023 2,725 2,745
8.000% due 02/25/2023 9,675 9,764
6.500% due 11/25/2023 1,660 1,504
6.000% due 03/25/2024 1,418 1,408
7.500% due 09/25/2025 11,897 11,899
7.500% due 12/25/2025 944 947
2000 Semi-Annual Report See accompanying notes 73
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
7.750% due 11/25/2026 $ 9,000 $ 9,122
7.500% due 04/25/2027 6,217 6,160
7.500% due 06/25/2027 53,035 52,584
7.500% due 07/25/2027 25,265 25,405
7.250% due 08/25/2027 16,000 15,602
7.250% due 10/25/2027 42,033 40,796
7.000% due 11/25/2027 17,000 16,291
6.750% due 02/25/2028 12,742 12,486
6.750% due 05/25/2028 60,741 56,513
6.750% due 06/25/2028 69,960 65,112
6.750% due 07/25/2028 9,000 8,471
6.750% due 08/25/2028 10,000 9,347
6.750% due 09/25/2028 66,493 62,546
6.500% due 10/25/2028 52,000 47,981
6.250% due 11/25/2028 3,000 2,716
6.500% due 12/25/2028 23,400 21,578
6.500% due 01/25/2029 72,314 66,473
6.500% due 03/25/2029 6,980 6,500
6.200% due 05/25/2029 66,252 65,527
6.500% due 06/25/2029 11,335 8,559
6.750% due 07/25/2029 22,600 21,152
7.000% due 10/25/2029 25,260 24,140
7.500% due 11/25/2029 12,338 11,890
Resolution Trust Corp.
8.690% due 08/25/2021 6,609 6,582
8.140% due 10/25/2021 (d) 142 141
5.570% due 10/25/2021 (d) 133 130
8.630% due 10/25/2021 129 129
8.710% due 05/25/2022 (d) 1,356 1,329
8.630% due 08/25/2023 (d) 1,850 1,853
8.840% due 12/25/2023 3,300 3,372
9.450% due 05/25/2024 1,431 1,425
8.000% due 04/25/2025 167 161
8.000% due 06/25/2026 253 248
8.170% due 10/25/2028 (d) 5,276 5,399
7.420% due 10/25/2028 (d) 13,604 13,501
7.510% due 05/25/2029 (d) 2,670 2,675
7.030% due 05/25/2029 (d) 2,631 2,588
RMF Commercial Mortgage Securities, Inc.
6.720% due 01/15/2019 235 229
Ryan Mortgage Acceptance Corp.
9.450% due 10/01/2016 78 81
Ryland Acceptance Corp.
11.500% due 12/25/2016 84 90
8.200% due 09/25/2022 17 17
Ryland Mortgage Securities Corp.
8.200% due 06/25/2021 35 35
8.430% due 08/25/2022 (d) 1,803 1,810
8.020% due 08/25/2029 (d) 2,089 2,101
7.240% due 10/25/2031 (d) 3,035 3,018
Salomon Brothers Mortgage Securities
9.110% due 07/01/2024 (d) 4,110 4,135
6.960% due 04/25/2029 (d) 21,863 21,881
7.000% due 04/25/2029 (d) 7,709 7,701
6.920% due 06/25/2029 (d) 40,316 40,319
7.020% due 09/25/2029 (d) 398 400
Salomon Smith Barney Holdings, Inc.
6.630% due 07/01/2002 55 55
Santa Barbara Savings
9.500% due 11/20/2018 2,032 2,058
Saxon Mortgage
6.250% due 04/25/2009 3,169 3,136
6.500% due 02/25/2024 1,820 1,795
9.070% due 09/25/2024 (d) 3,159 3,187
Sears Mortgage Securities
6.280% due 12/25/2028 281 274
Securitized Asset Sales, Inc.
8.500% due 10/25/2023 (d) 1,375 1,370
8.510% due 12/26/2023 (d) 745 753
7.410% due 09/25/2024 (d) 9,900 9,944
Security Pacific National Bank
6.380% due 03/25/2018 (d) 86 83
Sequoia Mortgage Trust
6.350% due 09/25/2025 (d) 6,000 5,847
Small Business Investment Co.
7.540% due 08/10/2009 75,600 77,349
8.020% due 02/10/2010 102,039 107,158
7.640% due 03/10/2010 69,731 71,581
7.450% due 09/01/2010 15,860 15,884
Southern Pacific Secured Assets Corp.
6.790% due 07/25/2029 (d) 39,853 39,621
Starwood Commercial Mortgage
6.600% due 02/03/2009 11,556 11,404
Structured Asset Mortgage Investments, Inc.
6.750% due 03/25/2028 22,519 21,209
6.910% due 06/25/2028 (d) 37,724 36,711
6.250% due 11/25/2028 14,878 13,452
6.750% due 01/25/2029 10,000 9,395
6.300% due 05/25/2029 18,419 17,976
6.580% due 06/25/2029 (d) 30,039 28,797
7.250% due 07/25/2029 23,718 23,660
7.230% due 02/25/2030 955 939
Structured Asset Notes Transactions Ltd.
6.650% due 08/30/2005 18,771 18,114
Structured Asset Securities Corp.
7.000% due 12/25/2027 51,500 48,812
Superannuation Members Home Loans Global Fund
7.020% due 06/15/2026 (d) 19,900 19,894
TMA Mortgage Funding Trust
7.000% due 01/25/2029 (d) 28,816 28,816
Union Planters Mortgage Finance Corp.
6.750% due 01/25/2028 4,000 3,668
6.800% due 01/25/2028 15,000 14,498
Vendee Mortgage Trust
7.750% due 03/15/2016 104 103
7.500% due 08/15/2017 333 334
7.750% due 05/15/2018 550 555
6.500% due 05/15/2020 28,750 27,199
6.830% due 01/15/2030 16,470 16,111
Washington Mutual
6.780% due 07/26/2003 (d) 155,246 155,199
Western Federal Savings & Loan
7.930% due 06/25/2021 (d) 3,229 3,229
---------
7,986,226
=========
Federal Home Loan Mortgage Corporation 2.4%
5.000% due 10/15/2020 1,000 958
5.500% due 04/01/2001-10/14/2029 (k) 3,113 2,863
5.750% due 08/15/2020 300 295
5.900% due 12/01/2026 (d) 5,871 5,751
6.000% due 12/01/2000-10/16/2030 (k) 282,314 264,740
6.500% due 07/01/2001-05/01/2029 (k) 167,130 155,382
6.540% due 11/01/2026 (d) 6,846 6,831
6.720% due 11/01/2028 (d) 23,564 23,205
6.750% due 01/17/2025 8,349 8,304
6.780% due 11/01/2003 68 67
6.930% due 07/01/2025 (d) 6,508 6,588
7.000% due 10/01/2002-11/12/2030 (k) 113,851 111,878
7.280% due 09/01/2027 (d) 2,796 2,782
7.370% due 10/01/2023 (d) 881 900
7.390% due 10/01/2023 (d) 1,546 1,579
7.400% due 10/25/2023 (d) 14,975 15,449
7.500% due 09/01/2001-02/01/2030 (d)(k) 13,182 13,303
7.630% due 06/01/2017-01/01/2019 (d)(k) 26 27
7.650% due 05/01/2025 2,390 2,450
7.670% due 04/01/2029 (d) 1,266 1,302
7.750% due 04/01/2007-04/01/2017 (d)(k) 50 49
7.790% due 04/01/2024 (d) 6,520 6,679
7.810% due 07/01/2030 (d) 140,578 141,539
7.820% due 08/01/2023 (d) 8,540 8,764
7.890% due 08/01/2023-01/01/2024 (d)(k) 414 426
7.910% due 06/01/2024 (d) 1,025 1,051
8.000% due 01/01/2002-09/01/2018 (k) 2,854 2,883
8.040% due 07/01/2024 (d) 1,429 1,464
8.190% due 09/01/2023 (d) 1,499 1,518
8.250% due 08/01/2007-05/01/2023 (d)(k) 1,778 1,804
8.260% due 07/01/2022 (d) 937 960
8.320% due 09/01/2023 (d) 9,655 9,896
8.330% due 04/01/2023 (d) 440 448
8.340% due 07/01/2023 (d) 521 530
74 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
8.360% due 10/01/2023 (d) $ 438 $ 445
8.420% due 05/01/2023-08/01/2023 (d)(k) 5,971 6,126
8.450% due 08/01/2023-11/01/2023 (d)(k) 2,537 2,601
8.480% due 11/01/2023 (d) 143 142
8.500% due 09/01/2001-11/01/2024 (k) 5,047 5,181
8.510% due 10/01/2023 (d) 1,429 1,469
8.520% due 05/01/2027 (d) 634 652
8.580% due 09/01/2023 (d) 2,307 2,376
8.610% due 08/01/2024 (d) 207 213
8.630% due 08/01/2023 (d) 390 393
8.690% due 11/01/2023 (d) 344 346
8.750% due 02/01/2001-12/01/2010 (k) 107 107
8.900% due 11/15/2020 11,207 11,674
9.000% due 01/01/2002-09/15/2020 (k) 532 547
9.250% due 06/01/2009-11/01/2013 (k) 99 100
9.500% due 08/01/2001-12/01/2022 (k) 1,234 1,283
9.750% due 03/01/2001-05/01/2009 (k) 45 46
10.000% due 06/01/2004-03/01/2021(k) 930 971
10.100% due 09/01/2016 241 256
10.250% due 03/15/2009-05/01/2009(k) 1,091 1,159
10.500% due 10/01/2017-01/01/2021(k) 376 403
11.000% due 11/01/2009-05/01/2020(k) 639 684
11.250% due 10/01/2009-09/01/2015(k) 92 100
11.500% due 01/01/2018 72 79
12.500% due 12/01/2012 16 18
13.250% due 10/01/2013 79 89
14.000% due 04/01/2016 19 21
15.500% due 08/01/2011-11/01/2011(k) 13 15
16.250% due 05/01/2011 3 3
---------
840,164
=========
Federal Housing Administration 1.4%
6.000% due 03/20/2028 1,739 1,629
6.500% due 02/15/2001-03/01/2040 (k) 5,956 5,802
6.630% due 05/28/2039-07/01/2040 (k) 3,091 2,905
6.750% due 07/15/2001 2,706 2,595
6.760% due 06/25/2039-03/01/2041 (k) 16,214 15,032
6.780% due 07/25/2040 7,653 7,333
6.790% due 05/01/2039 10,902 10,677
6.830% due 12/01/2039 3,497 3,316
6.880% due 11/01/2015-02/01/2041 (k) 24,874 23,656
6.900% due 07/01/2020-12/01/2040 (k) 47,399 45,466
6.930% due 07/01/2014-01/01/2036 (k) 17,075 16,620
7.000% due 11/15/2040 174 167
7.050% due 03/25/2040 4,516 4,359
7.130% due 03/01/2034 4,411 4,322
7.210% due 12/01/2021 2,700 2,691
7.250% due 06/01/2040 8,304 8,067
7.310% due 06/01/2041 23,567 22,800
7.320% due 05/01/2019-08/01/2019 (k) 37,511 36,697
7.350% due 11/01/2022 6,028 5,985
7.380% due 02/01/2018-01/01/2024 (k) 16,589 16,446
7.400% due 02/01/2021 2,191 2,187
7.430% due 12/01/2016-05/01/2025 (k) 116,022 115,566
7.450% due 12/01/2021 11,589 11,578
7.470% due 11/01/2019 29,797 29,742
7.500% due 03/01/2032-09/30/2039 (k) 6,672 6,569
7.580% due 04/01/2040-12/01/2040 (k) 7,616 7,507
7.630% due 08/01/2041 17,747 17,552
7.650% due 11/01/2018-11/01/2040 (k) 7,559 7,519
7.700% due 03/15/2041 2,720 2,697
7.750% due 11/15/2039 3,100 3,073
7.880% due 12/01/2039-03/01/2041 (k) 13,423 13,479
7.930% due 05/01/2016 1,903 1,906
8.250% due 10/29/2023-01/01/2041 (k) 9,512 9,675
8.380% due 11/01/2012 255 260
8.630% due 08/15/2030 34,293 35,457
---------
501,332
=========
Federal National Mortgage Association 4.4%
4.750% due 11/14/2003 250 238
5.000% due 12/25/2021-04/18/2027 (k) 2,000 1,823
5.500% due 03/01/2013-12/01/2028 (k) 20,616 18,641
5.920% due 11/01/2035 (d) 0 0
6.000% due 12/01/2000-10/16/2030 (k) 377,190 352,973
6.090% due 12/01/2008 49 47
6.180% due 04/01/2027 (d) 110 109
6.250% due 07/25/2007 83 83
6.280% due 09/01/2029 (d) 608 583
6.340% due 09/01/2017-09/01/2024 (d)(k) 6,014 5,883
6.390% due 05/25/2036 29,534 25,210
6.420% due 12/01/2007 150 146
6.450% due 09/25/2016 3,380 3,355
6.500% due 04/01/2003-06/17/2038 (k) 60,401 55,193
6.580% due 04/01/2026 (d) 1,111 1,105
6.600% due 12/01/2003-09/25/2018 (k) 1,993 1,980
6.630% due 12/01/2027 (d) 8,174 8,137
6.690% due 08/01/2027 (d) 39,409 39,604
6.750% due 08/01/2003 223 222
6.840% due 07/01/2003 62 61
6.920% due 10/01/2027 (d) 4,427 4,442
6.950% due 03/25/2026 273 271
7.000% due 07/01/2001-10/16/2030 (k) 550,197 539,989
7.250% due 05/01/2002-01/01/2023 (k) 10,183 10,064
7.350% due 09/01/2027 (d) 1,815 1,849
7.410% due 11/01/2023 (d) 881 901
7.450% due 11/01/2023 (d) 166 170
7.470% due 12/01/2023 (d) 166 169
7.480% due 01/01/2024-07/01/2030 (d)(k) 2,742 2,777
7.500% due 10/01/2002-05/01/2030 (k) 14,581 14,678
7.540% due 10/01/2023 (d) 345 355
7.550% due 05/01/2023 (d) 2,224 2,238
7.560% due 12/01/2023 (d) 882 898
7.570% due 01/01/2024 (d) 395 405
7.630% due 09/01/2022 (d) 958 978
7.660% due 02/01/2026 (d) 550 565
7.680% due 12/01/2023 (d) 1,052 1,089
7.690% due 01/01/2024 (d) 431 441
7.700% due 03/01/2025 (d) 2,940 3,026
7.730% due 11/01/2025 (d) 2,003 2,058
7.750% due 06/01/2009-01/01/2026 (d)(k) 1,448 1,485
7.780% due 01/01/2018 2,239 2,377
7.790% due 09/01/2023-08/01/2027 (d)(k) 3,947 4,053
7.810% due 11/01/2025 (d) 1,236 1,270
7.850% due 07/01/2018-01/01/2024 (d)(k) 6,849 7,310
7.890% due 03/01/2026 (d) 1,979 2,041
7.900% due 09/01/2025 (d) 1,560 1,585
7.920% due 03/01/2018 2,755 2,960
7.930% due 09/01/2022 (d) 1,165 1,181
7.980% due 05/01/2030 6,704 6,843
8.000% due 09/01/2001-10/16/2030 (k) 367,700 372,519
8.020% due 11/01/2025 (d) 3,478 3,580
8.060% due 04/01/2030 1,861 1,877
8.080% due 04/01/2030 1,018 1,028
8.120% due 07/01/2024 (d) 4,245 4,357
8.160% due 09/01/2024 (d) 1,410 1,441
8.250% due 10/01/2008-03/01/2030 (k) 2,247 2,406
8.320% due 05/01/2026 (d) 577 597
8.490% due 06/01/2025 997 1,020
8.500% due 07/01/2001-08/01/2026 (k) 3,079 3,149
8.560% due 05/01/2024 (d) 2,375 2,460
9.000% due 10/01/2004-12/01/2027 (k) 9,369 9,756
9.250% due 10/01/2001 2 2
9.500% due 12/01/2006-07/01/2026 (k) 9,370 9,692
9.750% due 11/01/2008 58 61
10.000% due 09/01/2003-05/01/2022(k) 1,085 1,146
10.500% due 01/01/2016-04/01/2022(k) 533 570
10.750% due 03/01/2014 24 26
11.000% due 09/01/2019-11/01/2020(k) 122 133
11.500% due 08/20/2016-11/01/2019(k) 82 90
12.000% due 05/01/2016 9 10
12.500% due 10/01/2015 29 32
13.000% due 09/01/2013 29 33
13.250% due 09/01/2011 12 14
14.500% due 11/01/2011-01/01/2013(k) 44 49
14.750% due 08/01/2012 167 194
15.000% due 10/01/2012 86 101
15.500% due 10/01/2012-12/01/2012(k) 16 19
15.750% due 12/01/2011-08/01/2012(k) 96 112
16.000% due 09/01/2012 108 123
---------
1,550,458
=========
2000 Semi-Annual Report See accompanying notes 75
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Government National Mortgage Association 42.0%
5.000% due 06/20/2022 (d) $ 327 $ 330
5.500% due 06/20/2026-10/23/2030(d)(k) 70,410 67,522
5.650% due 10/15/2012 11 10
6.000% due 10/15/2008-10/23/2030(d)(k) 1,945,726 1,831,839
6.380% due 05/20/2027 (d) 2,430 2,447
6.500% due 05/15/2001-10/15/2038(d)(k) 5,403,660 5,203,229
6.630% due 01/15/2040 9,612 9,163
6.670% due 10/15/2001-07/16/2038(k) 1,036 1,010
6.750% due 07/15/2001-06/20/2028(d)(k) 411,113 411,178
6.800% due 09/15/2001-10/15/2040(k) 3,000 2,952
6.820% due 09/15/2001-10/15/2040(k) 16,978 16,955
6.880% due 02/20/2016-02/15/2040(d)(k) 1,187 1,156
7.000% due 10/15/2001-10/23/2030(d)(k) 2,305,309 2,271,274
7.120% due 02/16/2030 (d) 13,093 13,154
7.130% due 12/20/2017-12/20/2027(d)(k) 346,703 349,453
7.250% due 08/24/2024-08/20/2027(d)(k) 325 327
7.380% due 05/20/2017-05/20/2028(d)(k) 501,835 505,641
7.500% due 01/15/2003-10/23/2030(k) 2,917,919 2,925,968
7.700% due 02/15/2002 4,034 4,013
7.750% due 07/15/2001 3,958 3,942
7.880% due 04/20/2023 (d) 338 342
8.000% due 05/15/2001-10/23/2030(k) 1,228,446 1,248,773
8.130% due 07/15/2001-12/01/2039(k) 3,681 3,684
8.250% due 08/15/2004-05/15/2022(k) 414 423
8.500% due 06/15/2001-10/23/2030(k) 50,513 51,899
8.750% due 03/15/2007-07/15/2007(k) 92 95
9.000% due 06/15/2001-07/20/2022(k) 5,271 5,529
9.250% due 07/15/2003-12/20/2016(k) 166 170
9.500% due 04/15/2001-08/15/2023(k) 4,631 4,857
9.750% due 09/15/2002-07/15/2004(k) 80 82
10.000% due 04/15/2001-02/15/2025(k) 5,288 5,612
10.250% due 02/20/2019 22 23
10.500% due 06/15/2004-09/15/2021(k) 655 702
11.000% due 01/15/2001-03/15/2019(k) 212 229
11.250% due 03/15/2001-12/20/2015(k) 35 38
11.500% due 10/15/2010-10/15/2013(k) 48 52
12.000% due 11/15/2012-05/15/2016(k) 228 258
12.500% due 01/15/2011 1 1
13.000% due 12/15/2012-10/15/2014(k) 20 21
13.250% due 10/20/2014 19 22
13.500% due 10/15/2012-09/15/2014(k) 78 89
15.000% due 02/15/2012-10/15/2012(k) 97 113
16.000% due 10/15/2011-05/15/2012(k) 197 236
17.000% due 11/15/2011-12/15/2011(k) 60 72
----------
14,944,885
==========
Other Mortgage-Backed Securities 0.6%
Bank of America Corp.
9.000% due 03/01/2008 34 35
CDC Depositor Trust I
7.050% due 01/15/2003 (d) 19,302 19,231
Citibank, NA
8.000% due 07/25/2018 41 42
Commercial Mortgage Asset Trust
6.640% due 09/17/2010 455 439
Countrywide Funding Corp.
6.750% due 03/25/2024 12,260 10,528
DBL Mortgage Funding
9.500% due 08/01/2019 5 5
Federal Home Loan Mortgage Corp.
11.880% due 06/15/2013 97 102
FFCA Secured Lending Corp.
7.850% due 05/18/2017 28,900 28,872
First Interstate Bancorp
9.130% due 01/01/2009 (d)(l) 10 10
General Electric Capital Mortgage Services, Inc.
7.250% due 07/25/2011 1,550 1,544
General Electric Credit Corp.
8.000% due 03/01/2002 (l) 4 4
German American Capital Corp.
8.360% due 09/30/2002 462 445
4.310% due 07/01/2018 (d) 8,197 8,014
Guardian Savings & Loan Assn.
6.910% due 12/25/2018 (d) 20 20
Home Savings of America
8.460% due 08/01/2006 45 44
6.100% due 05/25/2027 (d) 2,589 2,522
6.440% due 08/20/2029 (d) 23,756 23,240
Imperial Savings & Loan
8.230% due 01/25/2017 (d) 59 59
8.850% due 07/25/2017 (d) 219 218
LTC Commercial Corp.
7.100% due 11/28/2012 3,187 3,191
Merrill Lynch Mortgage
7.770% due 06/15/2021 (d) 978 959
Mid-State Trust
8.330% due 04/01/2030 64,877 66,850
Morgan Stanley Mortgage Trust
8.150% due 07/20/2021 2 2
Resolution Trust Corp.
6.930% due 05/25/2029 (d) 3,190 3,186
Ryland Acceptance Corp.
14.000% due 11/25/2031 763 798
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 735 740
8.400% due 11/25/2022 (d) 508 511
Sasco Floating Rate Commercial Mortgage
7.020% due 11/20/2001 (d) 54,440 54,536
Sears Mortgage
12.000% due 02/25/2014 542 560
7.430% due 10/25/2022 (d) 1,844 1,865
---------
228,572
=========
Stripped Mortgage-Backed Securities 0.0%
Bear Stearns Mortgage Securities, Inc. (IO)
7.200% due 07/25/2024 301 29
Chase Mortgage Finance Corp. (IO)
9.000% due 08/25/2023 150 4
Collateralized Mortgage Obligation
Trust (PO)
0.000% due 04/23/2017 12 10
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 89 1
6.500% due 11/15/2006 232 2
6.500% due 03/15/2007 164 1
5.750% due 09/15/2007 (d) 5,084 304
6.000% due 10/15/2007 179 12
6.000% due 01/15/2008 85 4
5.430% due 02/15/2008 (d) 519 40
6.400% due 10/15/2008 61 6
0.000% due 08/15/2016 75 0
6.500% due 08/15/2017 65 0
7.000% due 04/15/2018 640 30
7.500% due 08/15/2018 15 0
8.850% due 01/15/2021 2 34
9.000% due 05/15/2022 94 24
6.500% due 09/15/2023 277 33
Federal National Mortgage Association (IO)
6.500% due 05/25/2005 679 69
6.500% due 07/25/2006 410 16
7.270% due 09/25/2006 2 14
6.500% due 02/25/2007 1,102 59
6.500% due 07/25/2007 218 9
6.500% due 09/25/2007 1,461 83
6.500% due 10/25/2007 407 22
0.100% due 03/25/2009 (d) 23,966 407
6.500% due 08/25/2020 2,649 185
10.070% due 01/25/2021 0 3
7.500% due 04/25/2021 1,486 226
9.030% due 08/25/2021 5 147
0.950% due 11/25/2021 (d) 22,673 362
6.500% due 10/25/2022 122 11
6.500% due 01/25/2023 2,726 430
3.660% due 02/25/2023 (d) 12,307 579
Federal National Mortgage Association (PO)
0.000% due 09/01/2007 667 544
0.000% due 02/25/2021 204 202
0.000% due 06/25/2022 317 308
0.000% due 08/25/2023 295 199
76 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
PaineWebber (IO)
13.600% due 08/01/2019 $ 1 $ 36
Vendee Mortgage Trust (IO)
0.540% due 06/15/2023 (d) 150,746 2,633
----------
7,078
----------
Total Mortgage-Backed Securities 26,058,715
(Cost $25,944,931) ==========
-------------------------------------------------------------------
ASSET-BACKED SECURITIES 8.2%
-------------------------------------------------------------------
Advanta Mortgage Loan Trust
6.820% due 05/25/2027 (d) 667 665
7.020% due 08/25/2029 (d) 2,709 2,719
8.250% due 08/25/2030 7,954 8,147
Advanta Revolving Home Equity Loan Trust
6.990% due 01/25/2024 (d) 27,010 27,099
6.870% due 08/25/2024 (d) 22,782 22,798
6.870% due 02/25/2025 (d) 15,436 15,430
Aerco Ltd.
7.090% due 07/15/2025 (d) 38,200 38,204
Aesop Funding LLC
6.570% due 11/20/2006 15,000 15,000
AFC Home Equity Loan Trust
7.350% due 10/25/2026 (d) 1,628 1,634
Allied Waste Industries, Inc.
9.440% due 07/30/2006 24,774 24,039
9.690% due 07/30/2007 (d) 4,955 4,808
9.750% due 07/30/2007 (d) 3,964 3,846
9.690% due 07/30/2007 (d) 20,809 20,193
American Express Credit Account Master Trust
6.800% due 12/15/2003 1,500 1,502
American Express Master Trust
7.850% due 08/15/2005 220 227
American Stores Co.
7.280% due 08/30/2004 20,000 19,776
Americredit Automobile Receivable Trust
6.540% due 05/12/2001 119 119
5.300% due 10/12/2002 8,246 8,221
5.780% due 05/12/2003 43,000 42,672
Amresco Residential Securities Mortgage Loan Trust
6.820% due 10/25/2027 (d) 1,032 1,033
6.780% due 05/25/2028 (d) 7,676 7,671
Arcadia Automobile Receivables Trust
6.250% due 09/15/2002 23,250 23,247
5.900% due 11/15/2002 7,449 7,442
6.300% due 07/15/2003 26,025 25,922
6.900% due 12/15/2003 19,431 19,482
Associates Manufactured Housing
7.000% due 03/15/2027 3,675 3,676
Banc One Home Equity Trust
6.460% due 06/25/2029 14,711 14,643
Bank One Heloc Trust
6.880% due 04/20/2020 (d) 44,075 44,119
BankBoston Home Equity Loan Trust
6.280% due 11/25/2010 43 43
Bayview Financial Acquisition Trust
7.170% due 02/25/2029 (d) 4,928 4,945
7.030% due 02/25/2030 (d) 22,638 22,511
7.010% due 07/25/2030 (d) 68,003 68,003
BMCA Receivables Master Trust
6.840% due 09/20/2002 (d) 12,000 11,993
Brazos Student Loan Finance Co.
6.900% due 06/01/2023 (d) 52,700 52,179
7.170% due 12/01/2025 (d) 41,215 41,362
Captec Franchise Trust
7.890% due 10/15/2010 1,054 1,076
Champion Home Equity Loan Trust
6.880% due 03/25/2029 (d) 4,872 4,875
Charming Shoppes Master Trust
7.070% due 08/15/2008 (d) 250 252
Charter Commercial Holdings LLC
9.240% due 03/31/2008 22,000 21,971
Chase Credit Card Master Trust
6.660% due 01/15/2007 645 644
Chase Funding Mortgage Loan Asset-Backed Certificates
6.840% due 10/25/2030 (d) 58,500 58,500
Chase Manhattan Auto Owner Trust
5.750% due 10/15/2001 28 28
Chase Manhattan Grantor Trust
5.200% due 02/15/2002 50 50
6.610% due 09/15/2002 564 565
CMC Securities Corp. IV
7.250% due 11/25/2027 1,212 1,193
Community Program Loan Trust
4.500% due 10/01/2018 24,009 21,540
4.500% due 04/01/2029 26,000 19,151
Conseco Finance
7.520% due 05/15/2014 35,901 36,016
6.290% due 10/15/2030 8,418 8,416
6.990% due 10/15/2031 (d) 29,503 29,594
Conseco Finance Home Loan Trust
6.570% due 10/15/2006 26 26
6.980% due 09/28/2030 18,500 18,500
Conseco Finance Lease LLC
7.250% due 04/20/2003 25,000 25,107
Conseco Finance Securitizations Corp.
7.180% due 07/15/2002 23,524 23,153
7.970% due 05/01/2032 5,000 5,070
8.310% due 05/01/2032 48,800 49,689
Contimortgage Home Equity Loan Trust
6.790% due 10/15/2012 (d) 1,361 1,362
6.130% due 03/15/2013 1,584 1,580
6.420% due 04/25/2014 286 285
6.400% due 06/15/2014 2,000 1,993
6.770% due 01/25/2018 41,700 41,391
6.990% due 03/15/2021 350 349
6.930% due 11/25/2022 36,800 36,618
7.220% due 01/15/2028 80 80
6.760% due 06/15/2028 (d) 2,279 2,276
6.830% due 08/15/2028 (d) 243 242
Copelco Capital Funding Corp.
6.340% due 07/20/2004 7 7
CPS Auto Trust
6.000% due 06/15/2002 556 555
6.000% due 08/15/2003 77 76
Cross Country Master Credit
7.150% due 06/15/2006 (d) 300 300
CS First Boston Mortgage Securities Corp.
6.750% due 09/25/2028 6,960 6,560
Daimler-Benz Vehicle Trust
6.050% due 03/31/2005 1,962 1,956
Delta Air Lines Equipment Trust
9.230% due 07/02/2002 (l) 1,956 1,997
10.500% due 01/02/2007 (l) 6,167 6,833
10.570% due 01/02/2007 (l) 15,881 18,150
9.550% due 01/02/2008 (l) 7,773 8,271
10.430% due 01/02/2011 960 1,053
10.000% due 06/05/2013 10,828 11,560
Delta Funding Home Equity Loan Trust
6.140% due 03/15/2018 26,242 26,139
7.030% due 09/15/2029 (d) 10,950 10,996
6.940% due 06/15/2030 (d) 34,344 34,427
Discover Card Master Trust
7.000% due 10/16/2013 (d) 400 404
Duck Auto Grantor Trust
5.650% due 03/15/2004 4,854 4,799
7.260% due 05/15/2005 43,105 43,126
EQCC Home Equity Loan Trust
6.050% due 01/25/2010 150 149
6.550% due 04/25/2010 304 303
5.820% due 10/15/2027 (d) 785 784
5.770% due 03/20/2029 150 149
Equivantage Home Equity Loan Trus
6.550% due 10/25/2025 75 75
Federal Home Loan Mortgage Corp.
6.750% due 08/15/2026 (d) 56,100 56,100
Felco Funding LLC
5.980% due 09/15/2001 175 177
2000 Semi-Annual Report See accompanying notes 77
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
===================================================================
Fidelity Equipment Lease Trust
5.860% due 09/15/2001 $ 8,481 $ 8,453
First Alliance Mortgage Loan Trust
7.000% due 03/20/2031 (d) 14,818 14,827
First Merchants Auto Trust
6.850% due 11/15/2002 14 14
First Omni Bank
6.650% due 09/15/2003 (d) 1,500 1,500
First Security Auto Grantor Trust
6.100% due 04/15/2003 699 698
5.970% due 04/15/2004 120 119
First Union Master Credit Card Trust
6.630% due 09/15/2003 88,750 88,845
First USA Credit Card Master Trust
6.130% due 09/17/2003 (d) 300 300
FMAC Loan Receivables Trust
7.900% due 04/15/2019 20 20
6.830% due 09/15/2020 680 626
6.200% due 09/15/2020 261 253
6.500% due 09/15/2020 237 216
Ford Credit Auto Owner Trust
5.470% due 09/15/2001 175 174
5.770% due 11/15/2001 8,771 8,762
6.200% due 04/15/2002 407 407
Ford Motor Credit Corp.
5.500% due 02/15/2003 5,300 5,278
Fred Meyer, Inc.
7.380% due 03/19/2003 (d) 12,405 12,269
GMAC Mortgage Corp. Loan
7.010% due 11/18/2025 (d) 42,817 42,886
7.930% due 03/25/2030 39,407 36,913
Green Tree Financial Corp.
7.150% due 07/15/2027 221 221
6.490% due 03/15/2028 36,494 36,390
6.420% due 11/15/2028 1,386 1,383
5.850% due 11/01/2029 27 27
6.870% due 04/01/2030 1,105 988
6.660% due 06/01/2030 1,405 1,177
5.600% due 12/01/2030 215 214
5.510% due 02/01/2031 271 270
7.860% due 04/01/2031 400 386
Green Tree Floorplan Receivables Master Trust
6.970% due 11/15/2004 (d) 46,000 46,098
Green Tree Home Equity Loan Trust
5.590% due 02/15/2013 32 32
6.040% due 06/15/2029 49 49
5.990% due 07/15/2030 209 209
Green Tree Home Improvement Loan Trust
5.910% due 08/15/2007 14 14
7.270% due 09/15/2028 (d) 4,162 4,155
6.390% due 01/15/2029 1,945 1,945
Green Tree Lease Finance
6.170% due 09/20/2005 56 56
Green Tree Recreational Equipment
6.430% due 04/17/2006 3,234 3,229
Harley-Davidson Eaglemark
5.250% due 07/15/2003 96 95
Headlands Home Equity Loan Trust
7.270% due 12/15/2024 (d) 529 532
HFC Home Equity Loan
6.830% due 12/20/2016 282 281
Honda Auto Receivables Grantor
5.950% due 05/15/2003 61 61
Household Consumer Loan Trust
7.040% due 08/15/2006 (d) 19,321 19,073
IMC Home Equity Loan Trust
7.250% due 07/25/2026 (d) 725 721
IMPAC Secured Assets CMN Owner
7.770% due 07/25/2025 2,000 1,981
Independent National Mortgage Corp.
8.250% due 05/25/2010 154 157
Indymac Home Equity Loan
6.890% due 10/25/2029 (d) 9,772 9,766
Indymac Manufactured Housing
6.170% due 12/25/2011 5,019 4,973
Long Beach Acceptance Auto
6.940% due 09/19/2007 3,944 3,948
Mellon Bank Home Equity
5.900% due 10/25/2010 14,019 13,905
Merit Securities Corp.
6.160% due 07/28/2033 6,424 6,377
7.880% due 12/28/2033 34,400 33,803
Metlife Capital Equipment Loan Trust
6.850% due 05/20/2008 (d) 320 320
Metris Master Trust
7.270% due 04/20/2006 (d) 20,000 20,099
Metropolitan Asset Funding, Inc.
7.080% due 04/25/2029 (d) 13,174 13,047
MGM Grand Term Loan
7.870% due 05/06/2001 (d) 21,277 21,226
MMCA Automobile Trust
6.300% due 06/15/2002 357 356
Morgan Stanley ABS Capital I
6.930% due 08/25/2030 (d) 157,021 157,021
MPC Natural Gas Funding Trust
6.200% due 03/15/2013 9,546 9,331
MSDWCC Heloc Trust
6.910% due 09/25/2010 (d) 36,465 36,465
Myra Ums Tranche
7.420% due 12/23/2006 1,358 1,321
Myra-United Mexican States
5.810% due 10/20/2006 (d) 402 391
7.800% due 12/23/2006 (d) 6,624 6,443
7.750% due 12/23/2006 (d) 3,489 3,397
7.630% due 12/23/2006 (d) 5,923 5,765
7.060% due 12/23/2006 (d) 929 904
7.800% due 12/23/2006 (d) 928 904
7.630% due 12/23/2006 (d) 29 28
National Medical Care
7.630% due 09/30/2003 (d) 28,486 28,201
7.690% due 09/30/2003 21,972 21,752
New Holland Equipment Receivables
6.390% due 10/15/2002 352 352
Nomura CBO Ltd.
6.670% due 05/15/2009 1,900 1,944
Norwest Asset Securities Corp.
6.500% due 04/25/2013 20,113 19,488
6.500% due 06/25/2013 10,423 10,094
7.500% due 03/25/2027 40,536 39,779
6.750% due 05/25/2028 27,707 25,714
6.750% due 07/25/2028 12,657 11,576
6.200% due 09/25/2028 16,324 16,236
NPF XI, Inc.
6.820% due 07/01/2001 8,326 8,324
NPF XII, Inc.
7.050% due 06/01/2003 31,000 30,714
7.270% due 11/01/2003 (d) 1,000 1,000
Olympic Automobile Receivable Trust
6.050% due 08/15/2002 3,178 3,178
Option One Mortgage Loan Trust
5.880% due 05/25/2029 129 128
6.910% due 09/25/2030 (d) 49,816 49,816
PP&L Transition Bond Co. LLC
6.830% due 03/25/2007 28,800 28,860
Premier Auto Trust
5.770% due 01/06/2002 3,151 3,150
5.820% due 02/08/2002 399 399
Provident Bank Home Equity Loan Trust
6.920% due 06/25/2021 (d) 36,381 36,381
Providian Gateway Master Trust
6.840% due 03/15/2007 28,900 28,900
6.250% due 06/15/2007 25 25
6.900% due 03/16/2009 300 300
Prudential Home Mortgage Securities
6.500% due 01/25/2024 1,225 1,216
Residential Asset Mortgage Products, Inc.
6.910% due 09/25/2030 (d) 50,000 50,000
78 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
===================================================================
Residential Asset Securities Corp.
6.720% due 04/25/2014 (d) $ 249 $ 249
6.960% due 07/25/2014 30,510 30,395
6.240% due 02/25/2017 3,184 3,167
6.600% due 01/25/2020 5,200 5,165
7.080% due 09/25/2020 190 190
8.000% due 10/25/2024 (d) 5,121 5,150
6.920% due 10/25/2027 (d) 2,239 2,238
6.750% due 03/25/2028 40,000 37,212
Residential Funding Mortgage Securities, Inc.
10.930% due 06/01/2001 72,450 72,450
RJR Nabisco
7.500% due 12/31/2001 (d) 24,948 24,948
Ryder Vehicle Lease Trust
6.430% due 01/15/2003 694 693
Saco Trust
8.130% due 07/25/2030 18,119 18,492
Salomon Brothers Mortgage Securities
7.040% due 11/15/2029 (d) 18,965 19,013
7.100% due 12/15/2029 (d) 5,800 5,800
Saxon Asset Securities Trust
6.850% due 05/25/2029 (d) 8,721 8,729
Sears Credit Account Master Trust
6.050% due 01/15/2008 500 493
7.000% due 07/15/2008 500 505
Small Business Administration
7.190% due 12/01/2019 493 493
Standard Credit Card Trust
8.250% due 11/07/2003 80 81
Student Loan Marketing Assn.
6.860% due 10/25/2005 (d) 21,703 21,623
Team Fleet Financing Corp.
7.350% due 05/15/2003 30 30
Texas Cable Partners
8.380% due 06/24/2007 2,500 2,489
8.940% due 06/24/2007 2,500 2,489
The Money Store Home Equity Trust
7.550% due 02/15/2020 321 321
6.350% due 11/15/2021 (d) 719 716
6.750% due 05/15/2025 (d) 34 34
6.490% due 10/15/2026 17,000 16,925
Total Renal Care
12.000% due 03/31/2008 37,442 36,506
Toyota Auto Lease Trust
6.350% due 04/26/2004 60 60
6.450% due 04/26/2004 300 299
UCFC Home Equity Loan
8.200% due 09/15/2027 70 71
6.870% due 07/15/2029 70 66
UCFC Manufactured Housing
6.680% due 01/15/2010 (d) 4,310 4,313
UniCapital Corp.
6.540% due 07/23/2002 26,018 25,977
United Air Lines Equipment Trust
9.200% due 03/22/2008 3,950 4,198
10.360% due 11/13/2012 7,000 7,255
10.020% due 03/22/2014 6,925 7,128
10.850% due 07/05/2014 34,111 36,604
10.850% due 02/19/2015 1,500 1,722
10.130% due 03/22/2015 14,300 14,851
9.060% due 06/17/2015 5,000 4,823
9.210% due 01/21/2017 2,000 1,897
USAA Auto Loan Grantor Trust
6.150% due 05/15/2004 1,180 1,176
5.800% due 01/15/2005 2,681 2,666
WFS Financial Owner Trust
6.410% due 07/20/2002 25,016 25,002
6.920% due 01/20/2004 27,125 27,177
WMC Mortgage Loan
7.070% due 10/15/2029 87,787 87,842
---------
Total Asset-Backed Securities 2,931,252
=========
(Cost $3,229,995)
-------------------------------------------------------------------
SOVEREIGN ISSUES 1.9%
-------------------------------------------------------------------
Central Bank Philippines
7.940% due 06/01/2008 (d) 3,875 3,468
Hellenic Republic
7.280% due 06/06/2001 (d) 20,000 20,294
Hydro-Quebec
7.380% due 02/01/2003 150 152
Kingdom of Jordan
6.000% due 12/23/2023 14,000 10,462
Kingdom of Sweden
10.250% due 11/01/2015 500 593
Nacional Financiera
9.750% due 03/12/2002 10,000 10,325
8.570% due 05/08/2003 (d) 7,750 7,871
Providence of Newfoundland
9.000% due 06/01/2019 500 562
Province of New Brunswick
7.130% due 10/01/2002 1,700 1,712
Province of Nova Scotia
9.380% due 07/15/2002 1,000 1,041
Province of Ontario
7.750% due 06/04/2002 200 203
7.630% due 06/22/2004 1,000 1,032
7.000% due 08/04/2005 1,000 1,012
6.000% due 02/21/2006 1,800 1,734
5.500% due 10/01/2008 12,000 10,999
Province of Quebec
7.500% due 07/15/2002 6,000 6,073
8.800% due 04/15/2003 100 105
6.810% due 06/11/2004 (d) 15,500 15,486
6.620% due 04/09/2026 25,000 24,939
Republic of Argentina
11.600% due 04/10/2005 (d) 1,380 1,283
11.750% due 04/07/2009 30 28
Republic of Brazil
7.880% due 01/01/2001 (d) 3,481 3,481
7.380% due 04/15/2006 187,832 176,807
11.250% due 07/26/2007 5,750 5,773
14.500% due 10/15/2009 6,000 6,615
8.000% due 04/15/2014 31 24
12.250% due 03/06/2030 900 819
11.000% due 08/17/2040 4,462 3,565
Republic of Bulgaria
7.750% due 07/28/2011 (d) 2,000 1,515
3.000% due 07/28/2012 (d) 20,000 14,568
7.750% due 07/28/2024 (d) 86,650 66,287
Republic of Chile
6.880% due 04/28/2009 25,000 23,528
Republic of Colombia
10.880% due 03/09/2004 10,280 9,946
Republic of Croatia
7.000% due 02/27/2002 7,650 7,489
Republic of Panama
7.880% due 02/13/2002 1,850 1,830
7.930% due 05/10/2002 (d) 1,975 1,940
4.500% due 07/17/2014 7,675 6,202
Republic of Peru
3.750% due 03/07/2017 11,000 6,141
4.500% due 03/07/2017 (d) 5,750 3,601
Republic of Philippines
7.810% due 01/05/2005 (d) 8,830 8,337
6.500% due 12/01/2017 3,250 2,506
9.500% due 10/21/2024 2,958 2,817
Republic of Poland
3.500% due 10/27/2024 (d) 64,540 40,660
4.000% due 10/27/2024 3,000 2,040
Republic of Kazakhstan
8.380% due 10/02/2002 5,000 4,936
Republic of Venezuela
7.880% due 12/18/2007 (d) 16,250 13,937
Republica Orient Uruguay
7.250% due 05/04/2009 2,500 2,291
State of Israel
6.200% due 06/14/2003 25 25
2000 Semi-Annual Report See accompanying notes 79
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
===================================================================
United Mexican States
9.780% due 04/07/2004 (d) $ 3,650 $ 3,789
10.020% due 04/07/2004 (d) 5,186 5,393
8.500% due 02/01/2006 107,500 107,554
9.880% due 02/01/2010 10,000 10,655
6.250% due 12/31/2019 8,860 7,913
--------
Total Sovereign Issues 672,358
(Cost $665,775) ========
-------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (f)(g) 2.8%
-------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 (j) N$ 73,000 31,155
Export-Import Bank Korea
3.840% due 10/06/2000 (d) DM 5,000 2,257
Halifax Group Euro Finance
7.630% due 12/29/2049 (d) EC 8,500 7,501
KBC Bank Fund Trust IV
8.220% due 11/29/2049 20,764 18,605
Korea Development Bank
6.000% due 03/07/2001 JY 350,000 3,318
4.800% due 05/14/2001 (d) DM 70,000 31,318
2.560% due 06/26/2001 JY 4,000,000 37,455
Korea Electric Power
3.880% due 10/31/2002 (d) DM 18,900 8,276
Lloyds TSB Capital
7.380% due 02/07/2049 EC 16,000 14,244
Nacional Financiera
22.000% due 05/20/2002 MP 370,000 40,844
Newcourt Credit Group
7.630% due 06/28/2001 C$ 9,400 6,299
Republic of Argentina
5.500% due 03/27/2001 JY 5,640,000 52,320
Republic of Austria
0.000% due 01/15/2010 EC 900 789
Republic of Brazil
8.250% due 11/26/2001 2,000 1,797
Republic of Germany
6.250% due 01/04/2024 26,310 25,082
6.500% due 07/04/2027 111,630 109,577
6.250% due 01/04/2030 47,920 46,473
Republic of Philippines
8.000% due 09/17/2004 10,290 9,171
R.J. Reynolds
6.880% due 11/22/2000 DM 9,500 4,293
Royal Bank of Scotland PLC
0.000% due 01/01/2000 BP 85,000 101,978
6.770% due 03/31/2049 EC 126,500 112,403
Tecnost International NV
6.670% due 06/23/2004 (d) 107,384 95,762
United Mexican States
6.000% due 03/28/2002 JY 100,000 992
3.100% due 04/24/2002 2,542,000 24,052
8.750% due 05/30/2002 BP 23,000 34,446
10.380% due 01/29/2003 DM 200 97
7.000% due 06/02/2003 C$ 30,200 19,388
7.430% due 04/07/2004 (d) EC 18,181 16,775
6.750% due 06/06/2006 JY 2,000,000 21,853
7.500% due 03/08/2010 EC 5,000 4,315
6.630% due 12/31/2019 FF 60,000 7,006
1.100% due 12/31/2019 (d) JY 1,662,500 15,086
3.850% due 12/31/2019 9,145,000 77,905
--------
Total Foreign Currency-Denominated Issues 982,832
(Cost $892,163) ========
-------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.0%
-------------------------------------------------------------------
Eurodollar vs. U.S. Dollar (OTC)
Strike @ 0.81 Exp. 12/21/2000 $ 200,000 16,246
--------
Total Purchased Call Options 16,246
(Cost $16,759) ========
-------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
-------------------------------------------------------------------
Harborview Mortgage Loan Trust (OTC)
7.470% due 08/19/2030
Strike @ 100.00 Exp. 05/01/2005 $ 22,975 $ 0
Interest Rate Swap (OTC)
Strike @ 7.100% Exp. 08/12/2010 10,000 490
--------
Total Purchased Put Options 490
(Cost $380) ========
-------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.0%
-------------------------------------------------------------------
Banking & Finance 0.0%
Bell Atlantic Financial Services
5.750% due 04/01/2003 1,500 1,454
--------
Total Convertible Bonds & Notes 1,454
(Cost $1,539) ========
-------------------------------------------------------------------
PREFERRED SECURITY 1.0%
-------------------------------------------------------------------
Shares
DG Funding Trust
9.030% due 12/29/2049 35,150 352,379
--------
Total Preferred Security 352,379
(Cost $351,502) ========
-------------------------------------------------------------------
PREFERRED STOCK 0.2%
-------------------------------------------------------------------
Banco Bilbao Vizcaya International
9.750% due 11/19/2001 266,217 6,722
Barclays Bank
9.080% due 04/21/2020 215,500 5,549
Centaur Funding Corp.
9.080% due 04/21/2020 125 127
CSC Holdings, Inc.
11.125% due 04/01/2008 25,595 2,719
Fortis Amev NV
6.430% due 12/31/2049 171 20,134
Home Ownership Funding
13.331% due 12/31/2049 1,125 859
SI Financing Trust
9.500% due 06/30/2026 396,194 9,979
TCI Communications, Inc.
9.720% due 12/31/2036 622,553 16,186
--------
10.000% due 05/31/2045 49,000 1,240
--------
Total Preferred Stock 63,515
(Cost $66,709) ========
-------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 8.3%
-------------------------------------------------------------------
Principal
Amount
(000s)
Certificates of Deposit 0.3%
Dominion Resources, Inc.
6.200% due 01/26/2001 $ 98,900 $ 98,989
--------
Commercial Paper 8.0%
Abbey National PLC
6.520% due 11/03/2000 12,700 12,626
6.530% due 11/03/2000 900 895
Alcoa, Inc.
6.470% due 11/29/2000 53,000 52,417
6.450% due 12/21/2000 6,200 6,107
American Electric Power, Inc.
6.700% due 10/04/2000 2,000 1,999
6.760% due 10/04/2000 700 700
6.700% due 10/18/2000 3,000 2,991
6.750% due 10/18/2000 500 499
6.700% due 10/25/2000 1,800 1,792
6.700% due 10/30/2000 25,000 24,870
6.700% due 11/01/2000 3,300 3,282
6.700% due 11/02/2000 22,800 22,668
Anz, Inc.
6.550% due 11/03/2000 100 99
6.520% due 11/03/2000 2,700 2,684
6.480% due 11/28/2000 28,500 28,192
80 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Associated Corp. of North America
6.580% due 11/16/2000 $ 4,600 $ 4,562
6.570% due 11/29/2000 11,000 10,879
AT&T Corp.
6.580% due 10/23/2000 2,600 2,590
6.510% due 11/08/2000 1,500 1,490
6.520% due 11/08/2000 11,500 11,423
6.530% due 11/15/2000 2,500 2,480
6.470% due 11/29/2000 3,600 3,560
6.520% due 11/29/2000 1,900 1,879
6.510% due 12/13/2000 9,500 9,372
6.520% due 12/13/2000 5,000 4,932
6.530% due 12/13/2000 20,000 19,730
6.510% due 12/20/2000 11,800 11,626
Bank One Corp.
6.500% due 11/03/2000 200 199
6.500% due 11/15/2000 8,000 7,936
6.530% due 11/15/2000 300 298
6.470% due 12/06/2000 49,500 48,894
6.480% due 12/06/2000 50,000 49,388
6.470% due 12/19/2000 7,600 7,489
Bellsouth Capital Funding
6.460% due 12/06/2000 19,100 18,866
6.470% due 12/12/2000 17,200 16,971
British Telecom PLC
6.600% due 11/09/2000 20,400 20,258
6.560% due 11/09/2000 400 397
Campbell Soup Co.
6.460% due 12/06/2000 2,700 2,667
6.520% due 12/07/2000 700 691
CBA (de) Finance
6.530% due 10/23/2000 4,700 4,682
CDC
6.520% due 11/01/2000 500 497
Coca-Cola Co.
6.510% due 10/31/2000 2,700 2,686
6.480% due 12/13/2000 8,500 8,385
6.490% due 12/13/2000 4,400 4,341
Compaq Computer Corp.
6.730% due 10/23/2000 20,000 19,921
Conagra, Inc.
6.730% due 10/04/2000 13,100 13,095
6.670% due 10/06/2000 3,000 2,998
6.670% due 10/18/2000 1,000 100
6.680% due 11/08/2000 28,800 28,602
6.670% due 11/15/2000 1,900 1,885
6.670% due 11/16/2000 29,500 29,254
Cox Communications
6.700% due 10/04/2000 26,700 26,690
6.700% due 11/06/2000 50,000 49,674
6.730% due 11/06/2000 36,200 35,963
6.720% due 11/07/2000 21,500 21,356
CSX Corp.
6.740% due 10/10/2000 1,000 999
6.700% due 10/11/2000 21,700 21,663
DaimlerChrysler AG
6.580% due 11/20/2000 7,200 7,136
6.580% due 11/22/2000 3,800 3,765
6.590% due 11/29/2000 3,300 3,264
6.590% due 12/06/2000 14,300 14,125
6.540% due 12/07/2000 3,800 3,753
6.500% due 12/13/2000 200 197
6.520% due 12/13/2000 10,700 10,556
Dominion Resources, Inc.
6.710% due 10/18/2000 11,500 11,466
6.710% due 11/06/2000 5,800 5,762
6.710% due 11/09/2000 800 794
6.710% due 11/16/2000 17,900 17,750
Duke Energy Field Service Corp.
6.700% due 10/19/2000 50,000 49,842
Eastman Kodak Co.
6.490% due 11/01/2000 2,900 2,884
6.540% due 11/01/2000 3,300 3,282
6.480% due 11/16/2000 900 893
Edison Midwest
6.720% due 10/18/2000 40,000 39,881
6.720% due 10/25/2000 10,000 9,957
6.720% due 11/01/2000 1,000 994
6.750% due 11/01/2000 40,035 39,809
6.700% due 11/08/2000 1,400 1,390
6.740% due 11/08/2000 10,700 10,626
6.710% due 11/15/2000 3,300 3,273
6.730% due 11/15/2000 3,800 3,769
6.800% due 11/15/2000 7,900 7,834
6.710% due 11/15/2000 500 496
Federal Home Loan Mortgage Corp.
6.400% due 11/07/2000 745 740
6.410% due 12/07/2000 743 734
Federal National Mortgage Assn.
6.400% due 12/14/2000 1,163 1,147
Florida Power Corp.
6.450% due 12/14/2000 8,500 8,384
6.470% due 12/14/2000 100 99
Gannett Co.
6.500% due 10/25/2000 100 100
6.490% due 11/20/2000 3,700 3,667
6.470% due 11/20/2000 18,900 18,734
6.500% due 11/21/2000 1,800 1,784
General Electric Capital Corp.
6.470% due 12/06/2000 200 198
6.590% due 12/06/2000 11,300 11,162
6.470% due 12/07/2000 25,000 24,689
6.490% due 12/07/2000 300 296
6.470% due 12/13/2000 700 691
6.470% due 12/20/2000 600 591
6.510% due 01/10/2001 7,000 6,870
6.510% due 01/17/2001 900 882
6.500% due 01/24/2001 37,400 36,613
General Motors Acceptance Corp.
6.560% due 11/15/2000 200 198
6.520% due 11/27/2000 8,600 8,513
6.550% due 12/06/2000 2,500 2,469
6.510% due 12/13/2000 25,400 25,057
Gillette Co.
6.460% due 12/12/2000 800 789
Honeywell, Inc.
6.510% due 11/21/2000 20,000 19,819
6.470% due 11/29/2000 5,800 5,736
Houston Industries
6.770% due 10/04/2000 6,200 6,198
6.770% due 10/18/2000 3,700 3,689
6.800% due 11/08/2000 6,200 6,157
6.800% due 11/15/2000 50,000 49,584
Infinity Broadcasting Corp.
6.720% due 11/09/2000 900 894
6.700% due 11/15/2000 600 595
6.700% due 11/16/2000 1,400 1,388
6.710% due 11/21/2000 1,900 1,882
6.720% due 11/21/2000 27,800 27,541
6.710% due 11/22/2000 6,800 6,735
Ingersoll-Rand Co.
6.680% due 10/02/2000 900 900
6.840% due 10/02/2000 23,800 23,800
6.690% due 10/04/2000 33,400 33,388
6.700% due 11/01/2000 2,100 2,088
6.720% due 11/01/2000 1,100 1,094
6.700% due 11/08/2000 11,100 11,024
6.700% due 11/13/2000 16,800 16,669
6.700% due 11/15/2000 4,000 3,967
6.740% due 11/15/2000 600 595
International Paper Co.
6.700% due 10/05/2000 700 700
6.700% due 10/06/2000 34,700 34,674
6.700% due 10/10/2000 4,400 4,393
6.720% due 10/10/2000 700 699
6.700% due 10/11/2000 41,000 40,931
6.720% due 11/17/2000 300 297
6.720% due 11/28/2000 10,600 10,485
2000 Semi-Annual Report See accompanying notes 81
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
KFW International Finance
6.510% due 10/12/2000 $ 1,600 $ 1,597
6.480% due 12/06/2000 800 790
Minnesota Mining & Manufacturing
6.470% due 11/28/2000 1,500 1,484
6.480% due 12/19/2000 700 690
Motorola, Inc.
6.480% due 11/28/2000 13,100 12,958
6.520% due 12/13/2000 4,600 4,538
6.450% due 12/27/2000 3,700 3,641
Nabisco, Inc.
6.700% due 10/18/2000 28,900 28,813
Natural Rural Utilities
6.480% due 10/18/2000 1,000 997
6.480% due 11/07/2000 3,100 3,080
6.520% due 11/15/2000 5,500 5,456
Nike, Inc.
6.480% due 10/12/2000 6,000 5,989
Norfolk Southern Corp.
6.720% due 11/01/2000 30,000 29,832
6.720% due 11/07/2000 37,400 37,149
Pearson
6.730% due 10/25/2000 9,000 8,961
Proctor & Gamble Co.
6.480% due 11/29/2000 200 198
6.510% due 11/29/2000 1,300 1,286
Reseau Ferre De France
6.520% due 10/26/2000 1,800 1,792
6.480% due 11/30/2000 1,000 989
SBC Communications, Inc.
6.470% due 12/06/2000 200 198
6.490% due 12/06/2000 3,100 3,062
Sprint Capital Corp.
6.700% due 10/25/2000 7,300 7,269
6.700% due 11/01/2000 1,900 1,889
6.700% due 11/03/2000 31,600 31,412
6.720% due 11/08/2000 8,000 7,945
Sumitomo Bank
6.720% due 11/01/2000 15,000 14,916
Swedbank, Inc.
6.510% due 01/19/2001 10,000 9,799
Texas Utilities Co.
6.700% due 10/18/2000 7,100 7,079
6.760% due 10/18/2000 3,600 3,589
Tyco International
6.740% due 10/18/2000 73,400 73,180
UBS Finance LLC
6.680% due 10/02/2000 1,000,000 1,000,000
Verizon Global Funding
6.490% due 11/08/2000 1,600 1,589
6.490% due 11/09/2000 8,600 8,541
6.460% due 12/01/2000 7,500 7,415
6.480% due 12/06/2000 50,000 49,388
6.460% due 12/07/2000 200 198
6.460% due 12/11/2000 800 789
6.470% due 12/14/2000 6,000 5,918
Washington Mutual
6.690% due 11/08/2000 12,000 11,917
Yorkshire Building Society
6.490% due 11/14/2000 1,800 1,786
6.480% due 12/11/2000 33,700 33,257
6.470% due 12/20/2000 1,500 1,478
6.460% due 12/21/2000 4,300 4,236
------------
2,854,106
============
U.S. Treasury Bills (b)(k) 0.0%
5.933% due 02/01/2001 1,655 1,621
------------
Total Short-Term Instruments 2,954,716
============
(Cost $2,954,943)
Value
(000s)
--------------------------------------------------------------------
Total Investments (a) 152.0% $ 54,049,779
(Cost $54,354,587)
Written Options (c) (0.1%) (35,447)
(Premiums $40,793)
Other Assets and Liabilities (Net) (51.9%) (18,465,617)
-------------
Net Assets 100.0% $ 35,548,715
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 295,213
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (600,021)
------------
Unrealized depreciation-net $ (304,808)
============
(b) Securities with an aggregate market value of $1,621 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at September 30, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------
Eurodollar December Futures (12/2000) 305 $ (173)
Municipal Bond (12/2000) 2,371 (1,820)
EuroBond 10 Year Note (12/2000) 17,718 1,772
U.S. Treasury 5 Year Note (12/2000) 10,646 (6,488)
U.S. Treasury 10 Year Note (12/2000) 29,648 5,027
U.S. Treasury 30 Year Bond (12/2000) 4,844 (2,214)
EuroBond 10 Year Note Options (11/2000) 22,213 4,080
United Kingdom 10 Year Note (12/2000) 2,731 1,588
-------------
$ 1,772
=============
(c) Premiums received on written options:
# of
Type Contracts Premium Value
-----------------------------------------------------------------------
Call - TSE Government of Japan December Futures
Strike @ 134.00 Exp. 11/30/2000 458 $ 881 $ 916
Put - OTC Japanese Interest Rate Swap December Futures
Strike @ 2.305% Exp. 11/30/2000 10,800,000,000 86 372
Put - OTC Japanese Interest Rate Swap December Futures
Strike @ 2.315% Exp. 11/30/2000 10,800,000,000 101 377
Call - CBOT U.S. Treasury Note December Futures
Strike @ 103.00 Exp. 11/18/2000 10,716 1,364 1,172
Call - CBOT U.S. Treasury Note December Futures
Strike @ 102.00 Exp. 11/18/2000 12,253 3,119 2,872
Put - CBOT U.S. Treasury Note December Futures
Strike @ 98.00 Exp. 11/18/2000 4,528 1,662 778
Put - CBOT U.S. Treasury Note December Futures
Strike @ 97.00 Exp. 11/18/2000 2,991 744 280
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 5,644 5,314 141
82 PIMCO Funds See accompanying notes
<PAGE>
----------------------------------------------------------------------
Call - CME Eurodollar December Futures
Strike @ 92.75 Exp. 12/18/2000 1,195 $ 845 $ 1,479
Put - CME Eurodollar March Futures
Strike @ 92.75 Exp. 03/19/2001 7,127 2,736 267
Call - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 18,834 4,726 13,890
Put - CME Eurodollar March Futures
Strike @ 92.50 Exp. 03/19/2001 7,225 4,582 181
Call - CME Eurodollar March Futures
Strike @ 93.00 Exp. 03/19/2001 5,000 2,098 6,313
Put - CME Eurodollar March Futures
Strike @ 92.25 Exp. 03/19/2001 8,769 5,077 110
Put - CME Eurodollar December Futures
Strike @ 92.25 Exp. 12/18/2000 2,902 1,109 18
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 8.250% Exp. 03/19/2001 560,000,000 2,226 11
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.750% Exp. 03/19/2001 560,000,000 603 2,750
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.500% Exp. 02/23/2001 275,000,000 1,760 1,760
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.500% Exp. 02/22/2001 275,000,000 1,760 1,760
----------------------
$ 40,793 $ 35,477
----------------------
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Reverse repurchase agreements were entered into September 25, 2000 paying
interest at 6.520%. The following securities were segregated with collateral
for reverse repurchase agreements
Type Maturity Value
------------------------------------------------------------------------
Federal National Mortgage Assn. 7.000% 10/01/2003 $ 42,864
Federal National Mortgage Assn. 6.690% 08/01/2027 39,604
Government National Mortgage Assn. 7.130% 10/20/2030 65,131
Government National Mortgage Assn. 6.750% 07/20/2027 41,986
-----------
$ 189,585
-----------
(f) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
------------------------------------------------------------------------
Sell C$ 43,714 10/2000 $ 413
Buy 7,000 10/2000 (54)
Sell EC 295,593 10/2000 8,049
Buy 393,768 10/2000 (1,541)
Buy 276,495 11/2000 502
Sell BP 103,747 10/2000 (5,419)
Buy HF 2,000,000 03/2001 181
Sell JY 4,519,202 04/2001 (1,390)
Sell 20,157,034 10/2000 3,425
Buy 18,843,139 10/2000 71
Sell 18,843,139 11/2000 (100)
Sell N$ 60,917 10/2000 565
Buy PZ 45,000 01/2001 (543)
Buy 40,000 02/2001 (215)
Buy 17,000 03/2001 (168)
------------
$ 3,776
------------
(g) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
EC - Euro
HF - Hungarian Forint
JY - Japanese Yen
N$ - New Zealand Dollar
PZ - Polish Zloty
(h) Swap agreements outstanding at September 30, 2000:
Notional Unrealized
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 JY24,500,000 $ (9,740)
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 1,709
Receive floating rate based on 3-month LIBOR plus 1.600% and pay a fixed rate
equal to 0.426%.
Broker: Lehman Brothers
Exp. 04/19/2005 $ 13,033 1
Receive floating rate based on 3-month LIBOR plus 0.500% and pay a fixed rate
equal to 7.600%.
Broker: Lehman Brothers
Exp. 07/15/2003 35,000 (354)
Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to
5.930%.
Broker: Goldman Sachs
Exp. 08/25/2030 BP 50,000 (579)
Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate
equal to 6.302%.
Broker: Goldman Sachs
Exp. 07/13/2010 C$ 40,000 (258)
Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to
2.295%.
Broker: Goldman Sachs
Exp. 04/14/2008 JY11,635,000 (3,964)
Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to
2.305%.
Broker: Goldman Sachs
Exp. 04/15/2008 7,563,000 (2,621)
Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to
1.669%.
Broker: Goldman Sachs
Exp. 05/18/2007 51,000,000 (1,259)
Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to
6.175%.
Broker: Goldman Sachs
Exp. 05/22/2030 EC 94,820 (953)
2000 Semi-Annual Report See accompanying notes 83
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited)
------------------------------------------------------------------------------
Receive floating rate based on 6-month EURO-LIBOR plus 0.499%
and pay a fixed rate equal to 6.000%.
Broker: J.P. Morgan
Exp. 01/04/2009 EC 123,620 $ 1,945
Receive floating rate based on 6-month EURO-LIBOR minus 0.54%
and pay a fixed rate equal to 6.250%.
Broker: J.P. Morgan
Exp. 01/04/2024 26,270 320
Receive floating rate based on 3-month EURO-LIBOR and pay a
fixed rate equal to 6.010%.
Broker: Morgan Stanley
Exp. 01/04/2030 83,670 (514)
Receive floating rate based on 6-month JY-LIBOR and pay a
fixed rate equal to 2.305%.
Broker: Goldman Sachs
Exp. 04/15/2008 JY 377,000 29
Receive floating rate based on 6-month JY-LIBOR and pay a
fixed rate equal to 1.669%.
Broker: Goldman Sachs
Exp. 05/18/2007 1,500,000 33
Receive floating rate based on 6-month JY-LIBOR and pay a
fixed rate equal to 2.295%.
Broker: Goldman Sachs
Exp. 04/14/2008 580,000 47
Receive floating rate based on 3-month Canadian Bank Bill and
pay a fixed rate equal to 6.317%.
Broker: Goldman Sachs
Exp. 07/12/2010 C$ 30,000 (213)
Receive a fixed rate equal to 7.317% and pay floating rate
based on 3-month LIBOR.
Broker: Morgan Stanley
Exp. 11/15/2003 $ 85,000 1,117
Receive floating rate based on 3-month LIBOR and pay to the
counterparty $187,253 due 11/15/2021.
Broker: Lehman Brothers
Exp. 11/15/2021 42,600 (702)
Receive a fixed rate equal to 9.250% and pay a fixed rate
equal to 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 3,200 0
Receive a fixed rate equal to 9.250% and pay a fixed rate
equal to 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 3,200 (171)
Receive a fixed rate equal to 9.250% and pay a fixed rate
equal to 5.050%. 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. 05/03/2001 6,000 (201)
Receive fixed rate equal to 0.650% and the Fund will pay to
the counterparty at par in the event of default of Niagara
Mohawk Corp. 7.750% due 10/01/2008.
Broker: Lehman Brothers
Exp. 12/31/2004 50,000 3
Receive fixed rate equal to 0.400% and the Fund will pay to the
counterparty at par in the event of default of Time Warner, Inc.
7.400% due 02/01/2004.
Broker: Goldman Sachs
Exp. 11/10/2002 20,000 1
Receive fixed rate equal to 0.510% and the Fund will pay to the
counterparty at par in the event of default of Time Warner, Inc.
7.750% due 06/15/2005.
Broker: Lehman Brothers
Exp. 01/25/2005 10,000 1
Receive fixed rate equal to 0.650% and the Fund will pay to the
counterparty at par in the event of default of Philip Morris Co.
7.200% due 02/01/2007.
Broker: Goldman Sachs
Exp. 12/22/2000 17,000 1
Receive fixed rate equal to 0.250% and the Fund will pay to the
counterparty at par in the event of default of Pacific Gas &
Electric Corp. 6.550% due 12/08/2005.
Broker: J.P. Morgan
Exp. 05/23/2003 22,000 0
Receive fixed rate equal to 5.600% and the Fund will pay to the
counterparty at par in the event of default of the Republic of
Venezuela 9.250% due 09/15/2027.
Broker: Deutsche Bank AG New York
Exp. 04/04/2001 25,000 14
Receive fixed rate equal to 5.850% and the Fund will pay to the
counterparty at par in the event of default of the Republic of
Venezuela 9.250% due 09/15/2027.
Broker: Deutsche Bank AG New York
Exp. 04/17/2001 10,000 6
Receive fixed rate equal to 0.250% and the Fund will pay to the
counterparty at par in the event of default of Wisconsin Electric
Power 6.625% due 11/16/2006.
Broker: Lehman Brothers
Exp. 04/18/2003 25,000 1
Receive fixed rate equal to 1.900% and the Fund will pay to the
counterparty at par in the event of default of the Republic of
Brazil based on 6-month LIBOR plus 0.813% due 04/15/2006.
Broker: Credit Suisse First Boston International
Exp. 05/03/2001 50,000 9
Receive fixed rate equal to 1.300% and the Fund will pay to the
counterparty at par in the event of default of United Mexican
States 9.875% due 01/15/2007.
Broker: Salomon Brothers, Inc.
Exp. 05/09/2002 50,000 7
84 PIMCO Funds See accompanying notes
<PAGE>
-------------------------------------------------------------------------------
Receive fixed rate equal to 0.100% and the Fund will pay to the counterparty at
par in the event of default of Walmart Stores, Inc.
6.875% due 08/10/2009.
Broker: Credit Suisse First Boston
International
Exp. 11/01/2000 $ 100,000 $ 1
Receive fixed rate equal to 0.100% and the Fund will pay to the counterparty at
par in the event of default of General Electric Capital Corp.
7.250% due 02/02/2005.
Broker: J.P. Morgan
Exp. 05/19/2001 50,000 1
Receive fixed rate equal to 1.500% and the Fund will pay to the counterparty at
par in the event of default of United Mexican States
9.875% due 01/15/2007.
Broker: Salomon Brothers, Inc.
Exp. 06/13/2002 50,000 8
Receive fixed rate equal to 0.500% and the Fund will pay to the counterparty at
par in the event of default of Raytheon Co.
6.500% due 07/15/2005.
Broker: Merril Lynch
Exp. 06/30/2001 25,000 1
Receive fixed rate equal to 0.120% and the Fund will pay to the counterparty at
par in the event of default of IBM Corp.
7.250% due 11/01/2002.
Broker: J.P. Morgan
Exp. 12/31/2000 50,000 1
Receive a fixed rate equal to 4.910% and pay floating rate based on 10-year
Municipal Market Dataline Index.
Broker: Morgan Stanley
Exp. 11/07/2000 10,000 361
-------------
$ (15,912)
=============
Fixed Unrealized
Spread Notional Appreciation/
Type (%) Amount Depreciation
-------------------------------------------------------------------------------
Receive the 10-year Swap Spread and pay a fixed spread. The 10-year Swap Spread
is the difference between the 10-year Swap Rate and the 10-year Treasury Rate.
Broker: Goldman Sachs
Exp. 02/15/2005 0.8675 $ 258,500 $ 2,598
Broker: Morgan Stanley
Exp. 02/28/2005 0.9925 25,000 (223)
Receive On-The-Run 30-year Swap Spread and pay a fixed spread. The on the-run
30-year Swap Spread is the difference between the 30-year Swap Rate and the
30-year Treasury Rate.
Broker: Goldman Sachs
Exp. 04/04/2005 1.3900 50,000 (591)
Receive the 30-year Swap Spread and pay a fixed spread. The 30-year Swap Spread
is the difference between the 30-year Swap Rate and the 30-year Treasury Rate.
Broker: Goldman Sachs
Exp. 02/16/2005 1.1120 37,700 (329)
Broker: Goldman Sachs
Exp. 02/15/2005 1.0850 10,000 (155)
Broker: Goldman Sachs
Exp. 02/16/2005 1.1120 3,300 (52)
Receive the 5-year Swap Spread and pay a fixed spread. The 5-year Swap Spread is
the difference between the 5-year Swap Rate and the 5-year Treasury Rate.
Broker: Morgan Stanley 0.9900 107,200 (294)
Exp. 04/07/2005
Broker: Lehman Brothers
Exp. 04/10/2005 0.9500 130,000 (356)
Broker: Bank of America
Exp. 04/11/2005 0.9675 250,000 (263)
Receive On-The-Run 2-year Swap Spread and pay a fixed spread. The On-The-Run
2-year Swap Spread is the difference between the 2-year Swap Rate and the 2-year
Treasury Rate.
Broker: Bank of America
Exp. 07/19/2001 0.9250 100,000 (850)
-------------
$ (515)
=============
(i) Principal amount of the security is adjusted for inflation.
(j) Subject to financing transaction.
(k) Securities are grouped by coupon or range of coupons and represent
a range of maturities.
(l) Restricted security.
(m) Security is in default.
2000 Semi-Annual Report See accompanying notes 85
<PAGE>
Schedule of Investments
Total Return Fund II
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
CORPORATE BONDS & NOTES 50.9%
-------------------------------------------------------------------
Banking & Finance 40.0%
Abbey National Capital Trust I
8.960% due 12/29/2049 $ 1,900 $ 1,911
Aetna, Inc.
6.750% due 08/15/2001 1,715 1,711
Allstate Corp.
6.750% due 06/15/2003 9,300 9,248
7.880% due 05/01/2005 200 206
American Express
5.630% due 01/22/2004 5,000 4,820
Associates Corp. of North America
5.750% due 11/01/2003 600 582
AT&T Capital Corp.
7.010% due 04/23/2002 (d) 30,000 30,083
Bank of America Corp.
6.680% due 03/05/2001 (d) 15,000 14,997
7.500% due 10/15/2002 400 405
7.880% due 05/16/2005 200 207
Bank of Hawaii
6.880% due 06/01/2003 7,750 7,701
Bank of New York
6.630% due 06/15/2003 5,000 4,970
Bank One Corp.
6.900% due 09/26/2003 (d) 12,500 12,493
Bellsouth Savings & Employee Stock Ownership Trust
9.130% due 07/01/2003 18 18
Beneficial Corp.
6.750% due 02/11/2003 10 10
Caterpillar Financial Services Corp.
6.890% due 02/11/2002 (d) 5,000 5,007
5.890% due 06/17/2002 840 829
Chase Manhattan Corp.
7.630% due 01/15/2003 5,000 5,078
Chrysler Financial Co. LLC
6.160% due 06/15/2001 (d) 5,000 5,009
6.950% due 03/25/2002 730 731
CIT Group, Inc.
6.810% due 09/13/2002 (d) 10,000 10,000
Citicorp
7.130% due 06/01/2003 4,000 4,014
Citigroup, Inc.
9.500% due 03/01/2002 200 207
Commercial Credit Co.
5.550% due 02/15/2001 30 30
Deutsche Bank Capital Trust
7.870% due 12/29/2049 19,745 18,842
Donaldson, Lufkin & Jenrette, Inc.
7.250% due 07/18/2003 (d) 12,800 12,833
6.880% due 11/01/2005 225 221
Dresdner Bank-New York
6.630% due 09/15/2005 7,000 6,824
First Chicago Corp.
6.880% due 06/15/2003 4,000 3,972
Ford Motor Credit Corp.
8.200% due 02/15/2002 11,140 11,318
6.810% due 03/19/2002 (d) 35 35
8.000% due 06/15/2002 5,000 5,090
6.860% due 02/03/2003 (d) 10,000 9,975
6.850% due 03/17/2003 (d) 10,000 9,987
6.950% due 11/24/2003 (d) 5,000 4,998
5.750% due 02/23/2004 5,500 5,251
6.700% due 07/16/2004 200 196
7.500% due 03/15/2005 30,000 30,189
General Motors Acceptance Corp.
5.350% due 12/07/2001 600 590
5.500% due 12/15/2001 765 753
6.810% due 01/28/2002 (d) 24,600 24,613
6.840% due 04/29/2002 (d) 225 226
5.480% due 12/16/2002 235 228
6.840% due 02/14/2003 (d) 20,000 19,972
6.790% due 08/18/2003 (d) 1,700 1,696
--------------------------------------------------------------------
Goldman Sachs Group
7.000% due 04/16/2001 (d) 10,000 10,000
7.800% due 07/15/2002 9,500 9,607
5.900% due 01/15/2003 2,000 1,948
6.860% due 03/19/2003 (d) 5,000 5,010
7.010% due 01/20/2009 (d) 5,000 5,014
Heller Financial, Inc.
6.980% due 04/22/2002 (d) 5,000 5,000
6.500% due 07/22/2002 10,000 9,888
6.440% due 10/06/2002 400 395
6.970% due 04/28/2003 (d) 15,000 14,935
7.880% due 05/15/2003 150 152
Household Finance Corp.
6.920% due 06/24/2003 (d) 20,000 20,018
6.250% due 08/15/2003 50 49
5.880% due 09/25/2004 15,000 14,343
J.P. Morgan & Co.
6.000% due 01/15/2009 15,000 13,823
KBC Bank Fund Trust III
9.860% due 11/29/2049 (d) 12,000 12,558
Key Bank
6.680% due 07/23/2001 (d) 5,000 5,004
Lehman Brothers Holdings, Inc.
7.680% due 04/02/2002 (d) 20,000 20,178
Mellon Funding Corp.
5.750% due 11/15/2003 200 193
Merrill Lynch & Co.
7.050% due 06/04/2001 16,175 16,212
6.790% due 11/01/2001 (d) 20,000 20,020
6.810% due 06/24/2003 (d) 20,000 19,941
Morgan Stanley, Dean Witter, Discover and Co.
7.130% due 01/15/2003 275 277
6.910% due 05/05/2003 (d) 20,000 20,036
6.960% due 08/07/2003 (d) 6,200 6,204
NationsBank Corp.
6.200% due 08/15/2003 10,800 10,626
8.630% due 11/15/2003 1,550 1,621
PNC Funding Corp.
6.130% due 09/01/2003 1,400 1,365
Popular North American, Inc.
6.880% due 06/15/2001 7,000 7,004
Qwest Capital Funding
6.880% due 08/15/2001 8,750 8,743
Republic New York Corp.
9.750% due 12/01/2000 25 25
Salomon, Smith Barney Holdings
6.960% due 04/28/2003 (d) 20,000 20,008
Sears Roebuck Acceptance
6.710% due 08/13/2001 40 40
Textron Financial Corp.
7.030% due 05/28/2002 (d) 10,000 9,988
7.030% due 09/17/2002 (d) 28,000 28,036
Transamerica Finance Corp.
6.480% due 03/15/2001 1,000 998
Wachovia Corp.
7.260% due 05/02/2005 (d) 15,000 14,985
Westdeutsche Landesbank
6.050% due 01/15/2009 625 572
--------
622,892
========
INDUSTRIALS 6.0%
AMR Corp.
9.430% due 05/10/2001 1,000 1,007
8.900% due 02/26/2007 6,450 6,676
Coastal Corp.
10.000% due 02/01/2001 5,000 5,044
Conoco, Inc.
5.900% due 04/15/2004 250 242
Continental Cablevision
8.300% due 05/15/2006 100 104
DaimlerChrysler Holdings
6.860% due 01/18/2002 (d) 20,000 20,023
Dow Chemical Co.
8.040% due 07/02/2005 4,800 4,940
Enron Corp.
7.110% due 09/10/2001 (d) 20,000 20,002
86 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------
Ford Motor Co.
9.000% due 09/15/2001 $ 300 $ 304
ICI Wilmington
9.500% due 11/15/2000 700 701
Mattel, Inc.
6.000% due 07/15/2003 250 236
Norfolk Southern Corp.
6.950% due 05/01/2002 3,000 2,990
Occidental Petroleum
7.360% due 10/03/2008 (d) 10,800 10,786
Pharmacia Corp.
7.090% due 12/15/2000 40 40
Philip Morris Cos., Inc.
9.000% due 01/01/2001 100 100
6.000% due 07/15/2001 1,000 983
Phillips Pete Co.
6.650% due 03/01/2003 400 396
Procter & Gamble Co.
5.250% due 09/15/2003 600 577
Raytheon Co.
5.950% due 03/15/2001 6,000 5,957
Sears Roebuck & Co.
8.300% due 10/26/2004 500 516
Time Warner, Inc.
7.980% due 08/15/2004 3,345 3,439
Times Mirror Co.
6.650% due 10/15/2001 300 299
Transcontinental Gas Pipelines
6.130% due 01/15/2005 300 290
United Air Lines Equipment Trust
9.190% due 12/24/2013 7,213 6,923
--------
92,575
========
Utilities 4.9%
Allegheny Energy Supply
7.510% due 05/01/2002 (d) 13,900 13,900
Carolina Power & Light, Inc.
7.230% due 07/29/2002 (d) 9,100 9,134
7.880% due 04/15/2004 400 410
Commonwealth Edison
6.630% due 07/15/2003 288 284
Marlin Water Trust
7.090% due 12/15/2001 808 803
Metropolitan Edison Co.
7.220% due 01/30/2003 2,000 2,021
6.400% due 02/09/2006 2,412 2,372
National Rural Utilities Cooperative
6.070% due 06/05/2002 25 25
Oneok, Inc.
7.390% due 04/24/2002 (d) 5,000 5,006
Pacificorp
7.200% due 08/15/2002 11,000 11,057
Philadelphia Electric
7.130% due 09/01/2002 90 90
6.500% due 05/01/2003 1,840 1,812
Public Service Enterprise Group, Inc.
7.040% due 11/22/2000 (d) 10,000 9,999
Reliant Energy, Inc.
7.880% due 07/01/2002 1,375 1,387
Sprint Capital Corp.
5.700% due 11/15/2003 375 361
Sprint Corp.
9.440% due 08/15/2001 10,000 10,198
Texas Utilities Co.
7.380% due 08/01/2001 1,900 1,904
6.750% due 03/01/2003 5,000 4,967
--------
75,730
--------
Total Corporate Bonds & Notes 791,197
(Cost $794,664) ========
--------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.9%
--------------------------------------------------------------------
Kansas 0.1%
Wichita Kansas Hospital Revenue Bonds,
Series 1999 6.250% due 11/15/2024 1,000 1,000
--------
Massachusetts 0.1%
Massachusetts State Turnpike Authority Metro
Highway System
Revenue Bonds, (AMBAC Insured), Series 1999 A
5.000% due 01/01/2039 1,000 871
--------
Texas 0.3%
Houston Texas Airport System Revenue,
(FGIC Insured),
Series 1998 5.000% due 07/01/2025 5,800 5,104
--------
Washington State 0.4%
Port of Seattle, Washington Revenue Bonds,
(MBIA Insured),
Series 2000 B 5.630% due 02/01/2024 6,400 6,192
--------
Total Municipal Bonds & Notes 13,167
(Cost $13,144) ========
--------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 0.9%
--------------------------------------------------------------------
Federal Home Loan Bank
5.130% due 09/15/2003 200 193
5.140% due 09/22/2003 500 480
5.370% due 12/11/2008 400 362
Federal Home Loan Mortgage Corp.
7.250% due 09/29/2005 200 200
6.890% due 03/01/2011 500 478
Federal National Mortgage Association
5.380% due 03/15/2002 55 54
5.250% due 01/15/2003 60 59
5.750% due 04/15/2003 4,715 4,635
7.400% due 07/01/2004 600 618
7.380% due 05/22/2006 500 500
6.380% due 06/15/2009 450 439
6.630% due 09/15/2009 1,000 993
Small Business Administration
7.450% due 08/01/2010 4,700 4,787
--------
Total U.S. Government Agencies 13,798
(Cost $13,572) ========
--------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 17.0%
--------------------------------------------------------------------
Treasury Inflation Protected Securities (h)
3.625% due 07/15/2002 (b) 57,765 57,747
3.380% due 01/15/2007 2,832 2,739
3.630% due 01/15/2008 2,030 1,984
3.880% due 01/15/2009 842 835
3.880% due 04/15/2029 315 313
U.S. Treasury Bonds
11.250% due 02/15/2015 (g) 20,500 30,475
10.630% due 08/15/2015 14,100 20,251
8.750% due 08/15/2020 (g) 22,700 29,489
8.000% due 11/15/2021 8,600 10,508
6.000% due 02/15/2026 (g) 55,650 55,146
5.500% due 08/15/2028 2,500 2,321
U.S. Treasury Strips
0.000% due 02/15/2014 20,600 9,142
0.000% due 02/15/2019 13,500 4,421
0.000% due 11/15/2021 86,500 24,216
0.000% due 11/15/2024 58,000 13,775
0.000% due 02/15/2026 2,400 534
--------
Total U.S. Treasury Obligations 263,896
(Cost $264,196) ========
--------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 68.6%
--------------------------------------------------------------------
Collateralized Mortgage Obligations 10.5%
Chase Mortgage Finance Corp.
7.000% due 07/25/2028 4,724 4,476
COMM
6.150% due 02/15/2008 4,430 4,305
Dime Savings
7.060% due 11/01/2018 (d) 68 61
2000 Semi-Annual Report See accompanying notes 87
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund II
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------
DLJ Mortgage Acceptance Corp.
11.000% due 08/01/2019 $ 129 $ 140
Federal Home Loan Mortgage Corp.
5.950% due 07/15/2003 123 121
6.500% due 12/01/2010 353 349
8.800% due 12/01/2015 181 185
9.250% due 11/15/2019 25 26
9.000% due 12/15/2020 1,012 1,044
7.000% due 07/15/2022 16,809 16,407
7.500% due 01/15/2023 17,740 17,313
6.750% due 04/25/2024 9,036 8,409
8.000% due 06/15/2030 7,550 7,367
Federal National Mortgage Association
6.000% due 06/25/2001 15 15
6.150% due 09/25/2016 1,518 1,502
9.000% due 06/25/2018 16 17
6.000% due 09/25/2018 76 75
9.250% due 07/25/2019 2,036 2,120
6.000% due 08/25/2020 2,925 2,879
7.000% due 09/25/2020 43 42
6.500% due 05/18/2023 7,473 7,392
Guaranteed Mortgage Corp.
9.300% due 07/20/2019 384 399
Independent National Mortgage Corp.
9.140% due 11/25/2024 (d) 77 78
8.560% due 11/25/2024 (d) 454 460
Mellon Residential Funding Corp.
6.570% due 07/25/2029 4,000 3,881
Nationslink Funding Corp.
6.650% due 02/10/2006 3,000 2,962
6.970% due 04/10/2007 (d) 2,670 2,671
Norwest Asset Securities Corp.
7.500% due 03/25/2027 17,000 16,652
PNC Mortgage Securities Corp.
7.750% due 07/25/2030 24,655 24,609
Residential Accredit Loans, Inc.
7.250% due 11/25/2027 10,083 9,703
Residential Funding Mortgage
Securities, Inc.
7.000% due 11/25/2027 12,115 11,610
Salomon Brothers Mortgage Securities
7.000% due 04/25/2029 (d) 16,312 16,295
----------
163,565
==========
Federal Home Loan Mortgage Corporation 1.1%
5.750% due 11/15/2017 126 125
6.000% due 09/01/2027 57 53
7.000% due 03/01/2007-11/12/2030 (f) 2,017 1,978
7.250% due 03/01/2006 124 125
7.410% due 02/01/2023 (d) 471 476
7.500% due 08/01/2009 8 8
7.810% due 07/01/2030 (d) 10,600 10,672
8.250% due 03/01/2008-05/01/2008 (f) 104 106
8.420% due 12/01/2022 (d) 3,969 4,072
8.500% due 12/01/2001 1 1
9.500% due 02/01/2011 43 45
10.000% due 06/01/2011-03/01/2021 (f) 99 105
10.500% due 04/01/2001 7 8
15.500% due 06/01/2011 1 1
----------
17,775
==========
Federal Housing Administration 2.3%
5.600% due 10/01/2019 357 358
6.000% due 03/20/2028 21,318 19,976
6.650% due 09/15/2001-07/20/2038 (f) 15,500 15,242
8.830% due 05/01/2019 202 208
----------
35,784
==========
Federal National Mortgage Association 4.2%
4.750% due 11/14/2003 730 695
6.000% due 05/15/2008-10/16/2030 (f) 9,618 9,003
6.500% due 02/01/2013 263 259
7.000% due 08/01/2009-10/16/2030 (f) 5,935 5,826
7.470% due 12/01/2023 (d) 497 508
7.480% due 01/01/2024 (d) 879 899
7.500% due 03/01/2030-06/01/2030 (f) 655 655
7.750% due 10/01/2007 129 130
--------------------------------------------------------------------
8.000% due 05/01/2002-10/16/2030 (f) 15,426 15,629
8.070% due 07/01/2020 (d) 790 809
8.200% due 02/01/2023 (d) 1,645 1,666
8.500% due 12/01/2001-10/16/2030 (f) 26,228 26,861
8.650% due 04/01/2024 (d) 1,032 1,061
9.000% due 12/01/2001-06/01/2010 (f) 251 256
11.000% due 09/01/2010 156 169
13.750% due 10/01/2010-11/01/2013 (f) 87 98
14.500% due 03/01/2013 3 3
14.750% due 10/01/2012-11/01/2012 (f) 10 12
----------
64,539
==========
Government National Mortgage
Association 50.5%
6.000% due 11/15/2028-10/23/2030 (d)(f) 86,221 82,241
6.380% due 05/20/2027 (d) 2,652 2,671
6.500% due 01/15/2024-10/23/2030 (d)(f) 265,746 255,986
6.750% due 09/20/2024-08/20/2027 (d)(f) 35,816 36,059
7.000% due 10/23/2030 110,450 108,780
7.380% due 06/20/2023-06/20/2027 (d)(f) 21,365 21,532
7.500% due 03/15/2024-10/23/2030 (f) 191,534 192,073
8.000% due 06/15/2024-10/23/2030 (f) 85,079 86,324
8.500% due 04/15/2030 342 353
12.000% due 01/15/2013-06/15/2015 (f) 15 18
----------
786,037
==========
Other Mortgage-Backed Securities 0.0%
Bank of America Corp.
9.000% due 03/01/2008 29 29
Federal Home Loan Mortgage Corp.
11.880% due 06/15/2013 122 128
Security Pacific National Bank
8.500% due 03/01/2017 32 32
----------
189
----------
Total Mortgage-Backed Securities 1,067,889
(Cost $1,068,055) ==========
--------------------------------------------------------------------
ASSET-BACKED SECURITIES 6.1%
--------------------------------------------------------------------
Advanta Equipment Receivables
7.560% due 02/15/2007 2,953 2,961
AFC Home Equity Loan Trust
7.350% due 10/25/2026 (d) 407 409
Americredit Automobile Receivable Trust
6.770% due 06/12/2005 (d) 5,000 5,009
Banc One Auto Grantor Trust
6.270% due 11/20/2003 2,606 2,600
Bayview Financial Acquisition Trust
7.010% due 07/25/2030 (d) 3,047 3,047
Comed Transitional Funding Trust
5.290% due 06/25/2003 2,400 2,365
Conseco Finance Lease LLC
7.250% due 04/20/2003 19,400 19,483
Conseco Finance Securitizations Corp.
7.890% due 07/15/2018 20,000 20,355
8.170% due 12/15/2025 11,800 12,168
Delta Funding Home Equity Loan Trust
7.260% due 08/25/2018 6,084 6,069
Green Tree Recreational Equipment
6.430% due 04/17/2006 2,254 2,251
Residential Funding Mortgage Securities, Inc.
5.460% due 07/25/2029 2,370 2,360
Sasco Floating Rate Commercial Mortgage
7.200% due 02/25/2001 (d) 3,632 3,638
Student Loan Marketing Assn.
6.840% due 04/25/2004 (d) 2,968 2,964
Summit Acceptance Auto Receivables Trust
7.150% due 02/18/2003 10,000 9,999
--------
Total Asset-Backed Securities 95,678
(Cost $95,017) ========
--------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.0%
--------------------------------------------------------------------
Utilities 0.0%
Alliant Energy Resources, Inc.
4.910% due 01/01/2000 600 36
--------
Total Convertible Bonds & Notes 36
(Cost $41) ========
88 PIMCO Funds See accompanying notes
<PAGE>
Value
Shares (000s)
--------------------------------------------------------------------
PREFERRED STOCK 0.1%
--------------------------------------------------------------------
Fortis Amev NV
0.000% due 01/01/2000 12 $ 1,414
----------
Total Preferred Stock 1,414
(Cost $1,450) ==========
--------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 5.3%
--------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 4.6%
Alcoa, Inc.
6.460% due 12/14/2000 $ 1,100 1,085
Amer Electric Power
6.700% due 10/18/2000 400 399
AT&T Corp.
6.470% due 11/29/2000 300 297
6.480% due 12/13/2000 900 888
Bank One Corp.
6.470% due 12/19/2000 12,000 11,825
Conagra, Inc.
6.670% due 10/04/2000 800 800
6.680% due 10/27/2000 2,700 2,671
6.670% due 11/16/2000 4,100 4,066
Dominion Resources, Inc.
6.710% due 11/16/2000 1,000 992
Edison Midwest
6.710% due 11/15/2000 5,000 4,959
Federal National Mortgage
Association
6.390% due 12/21/2000 1,600 1,577
Infinity Broadcasting Corp.
6.700% due 11/15/2000 1,100 1,091
Ingersoll-Rand Co.
6.680% due 10/02/2000 29,300 29,300
6.700% due 11/01/2000 500 497
6.710% due 11/15/2000 300 297
International Paper Co.
6.720% due 11/07/2000 10,000 9,933
6.710% due 11/30/2000 200 198
SBC Communications, Inc.
6.470% due 12/06/2000 800 790
----------
71,665
==========
Repurchase Agreements 0.7%
J.P. Morgan
6.430% due 10/02/2000 3,000 3,000
(Dated 09/29/2000. Collateralized by U.S. Treasury
Inflation Protected Securities 5.5% due 08/31/2001
valued at $3,061. Repurchase proceeds are $3,002.)
State Street Bank
5.850% due 10/02/2000 8,283 8,283
(Dated 9/29/2000. Collateralized
by Federal National Mortgage Association
6.100% due 08/10/2001 valued at $8,450.
Repurchase proceeds are $8,287)
----------
11,283
==========
U.S. Treasury Bills (b) 0.0%
5.930% due 02/01/2001 420 410
----------
Total Short-Term Instruments 83,358
==========
(Cost $83,384)
Total Investments (a) 149.8% $2,330,433
(Cost $2,333,523)
Written Options (c) (0.0%) (1,015)
(Premiums $1,275)
Other Assets and Liabilities (Net) (49.8%) (774,162)
==========
Net Assets 100.0% $1,555,256
==========
--------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 8,756
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (11,846)
----------
Unrealized depreciation-net $ (3,090)
==========
(b) Securities with an aggregate market value of $4,826 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at September 30, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------
U.S. Treasury 5 Year Note (12/2000) 1,923 $ (1,598)
U.S. Treasury 10 Year Note (12/2000) 1,896 255
U.S. Treasury 30 Year Bond (12/2000) 27 (26)
Municipal Bond (12/2000) 54 (69)
----------
$ (1,438)
==========
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------
Call - CBOT U.S. Treasury Note December
Futures
Strike @ 103.00 Exp. 11/18/2000 459 $ 59 $ 50
Call - CBOT U.S. Treasury Note December
Futures
Strike @ 102.00 Exp. 11/18/2000 526 135 123
Put - CBOT U.S. Treasury Note December Futures
Strike @ 98.00 Exp. 11/18/2000 196 72 34
Put - CBOT U.S. Treasury Note December Futures
Strike @ 97.00 Exp. 11/18/2000 129 32 12
Put - CME Eurodollar March Futures
Strike @ 92.75 Exp. 03/19/2001 287 114 11
Call - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 555 151 409
Put - CME Eurodollar March Futures
Strike @ 92.25 Exp. 03/19/2001 237 142 3
Put - CME Eurodollar December Futures
Strike @ 92.25 Exp. 12/18/2000 130 50 1
Put - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 84 84 16
Put - CME Eurodollar March Futures
Strike @ 93.50 Exp. 03/19/2001 84 108 36
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 8.250%
Exp. 03/19/2001 65,000,000 258 1
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.750%
Exp. 03/19/2001 65,000,000 70 319
--------------------
$ 1,275 $ 1,015
====================
(d) Variable rate security. The rate listed is as of September 30, 2000.
2000 Semi-Annual Report See accompanying notes 89
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund II
September 30, 2000 (Unaudited)
--------------------------------------------------------------------
(e) Swap agreements outstanding at September 30, 2000:
Unrealized
Notional Appreciation/
Type Amount Depreciation
--------------------------------------------------------------------
Receive floating rate based on 3-month
LIBOR and pay to the counterparty
$7,468 due 11/15/2021.
Broker: Goldman Sachs
Exp. 11/15/2021 $ 1,710 $ (23)
Receive floating rate based on 3-month
LIBOR and pay to the counterparty $19,473
at maturity.
Broker: Lehman Brothers
Exp. 11/15/2021 4,430 (73)
Receive floating rate based on 3-month
LIBOR and pay to the counterparty $37,137
due 11/15/2021.
Broker: Bank of America
Exp. 11/15/2021 8,560 85
Receive fixed rate equal to 0.410% and the
Fund will pay to the counterparty at par in
the event of default of Time Warner, Inc.
7.750% due 06/15/2005.
Broker: Goldman Sachs
Exp. 11/10/2002 9,000 1
Receive fixed rate equal to 0.500% and the
Fund will pay to the counterparty at par in
the event of default of Williams Companies,
Inc. 6.625% due 11/15/2004.
Broker: Warburg Dillon Read LLC
Exp. 09/16/2003 20,000 1
---------
$ (9)
=========
(f) Securities are grouped by coupon or range of coupons and represent a
range of maturities.
(g) Subject to financing transaction.
(h) Principal amount of the security is adjusted for inflation.
90 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund III
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
----------------------------------------------------------------------------
CORPORATE BONDS & NOTES 37.8%
----------------------------------------------------------------------------
Banking & Finance 24.4%
Abbey National Capital Trust I
8.963% due 12/29/2049 $ 9,300 $ 9,353
ABN AMRO Mortgage Corp.
7.000% due 04/01/2008 1,000 975
Allied Irish Banks
7.012% due 10/31/2006 7,000 7,012
Associates Corp. of North America
7.240% due 05/17/2006 1,000 1,010
Bank of America Corp.
9.375% due 09/15/2009 1,000 1,104
Bank of Tokyo - Mitsubishi
8.400% due 04/15/2010 2,300 2,344
BankBoston Corp.
6.125% due 03/15/2002 15,000 14,830
Bear Stearns Co., Inc.
7.010% due 12/16/2002 (d) 10,000 10,011
Deutsche Bank Financial
6.700% due 12/13/2006 1,000 972
Export-Import Bank Korea
7.100% due 03/15/2007 50 50
First Union Corp.
7.700% due 02/15/2005 19,000 19,378
Ford Motor Credit Corp.
6.541% due 07/16/2002 (d) 300 301
5.750% due 02/23/2004 2,000 1,909
7.500% due 03/15/2005 30,000 30,189
6.620% due 02/27/2006 1,000 970
General Motors Acceptance Corp.
7.015% due 07/21/2003 (d) 6,500 6,492
7.090% due 07/21/2004 (d) 6,200 6,206
Gold Eagle Capital Ltd.
11.440% due 04/16/2001 6,000 6,000
Household Finance Corp.
6.777% due 05/07/2002 (d) 5,000 5,016
7.020% due 05/24/2002 (d) 500 500
International Lease Finance Corp.
5.450% due 01/04/2002 500 493
John Deere Capital Corp.
6.461% due 04/21/2003 (d) 10,200 10,210
Korea Development Bank
9.450% due 03/15/2001 125 126
7.900% due 02/01/2002 1,875 1,880
7.625% due 10/01/2002 250 250
7.125% due 04/22/2004 250 245
Lehman Brothers Holdings, Inc.
7.190% due 04/02/2002 (d) 10,000 10,089
Merrill Lynch & Co.
6.471% due 11/01/2001 (d) 3,000 3,003
6.375% due 10/15/2008 5,000 4,708
Midamerican Funding LLC
5.850% due 03/01/2001 12,000 11,937
Morgan Stanley, Dean Witter, Discover
and Co.
6.375% due 08/01/2002 1,000 993
Nacional Financiera
10.562% due 12/01/2000 (d) 5,750 5,785
NationsBank Corp.
8.625% due 11/15/2003 25 26
Residential Reinsurance
10.926% due 06/01/2001 4,200 4,200
Spieker Properties
6.950% due 12/15/2002 2,000 1,979
Textron Financial Corp.
7.177% due 05/28/2002 (d) 5,000 4,994
Tokai Capital Corp.
9.980% due 12/29/2049 (d) 400 383
Wachovia Corp.
6.941% due 05/02/2005 (d) 10,000 9,990
Wells Fargo & Co.
6.875% due 08/08/2006 1,000 992
7.800% due 06/15/2010 1,000 1,023
Westdeutsche Landesbank
6.050% due 01/15/2009 1,800 1,648
-----------
199,576
===========
Industrials 5.1%
Cargill, Inc.
6.871% due 01/14/2002 (d) 9,000 9,008
Fred Meyer, Inc.
7.150% due 03/01/2003 50 50
General Motors Acceptance Corp.
9.125% due 07/15/2001 20 20
International Paper Co.
7.600% due 07/08/2002 (d) 2,200 2,206
Mesa Industrial Development Authority
5.625% due 01/01/2029 4,000 3,974
Petroleos Mexicanos
8.131% due 07/15/2005 (d) 5,000 5,013
9.500% due 09/15/2027 6,250 6,453
Time Warner, Inc.
6.100% due 12/30/2001 10,000 9,863
WMX Technologies
6.700% due 05/01/2001 5,500 5,451
-----------
42,038
===========
Utilities 8.3%
Arizona Public Service
7.400% due 11/15/2001 (d) 5,300 5,299
Bell Telephone Co. Pennsylvania
7.375% due 07/15/2007 75 75
Deutsche Telekom AG
7.750% due 06/15/2005 13,000 13,321
GTE Corp.
5.625% due 02/01/2001 300 298
8.875% due 01/15/2006 10,000 10,326
Niagara Mohawk Power
7.125% due 07/01/2001 4,990 4,992
7.250% due 10/01/2002 11,341 11,293
7.375% due 07/01/2003 3,024 3,032
North Atlantic Energy
9.050% due 06/01/2002 267 270
Oneok, Inc.
7.390% due 04/24/2002 (d) 13,000 13,015
Texas Utilities Co.
6.375% due 10/01/2004 1,000 968
WorldCom, Inc.
6.125% due 08/15/2001 5,000 4,970
-----------
67,859
-----------
Total Corporate Bonds & Notes 309,473
(Cost $309,406) ===========
----------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.9%
----------------------------------------------------------------------------
New York 0.5%
New York State Thruway Authority General Obligation
Bond, Series 1998 5.000% due 01/01/2025 2,850 2,537
New York State Thruway Authority, Revenue Bond,
Series 1998 4.750% due 01/01/2019 2,000 1,776
-----------
4,313
===========
Texas 0.4%
Harris County Health Facilities Development
Corporation Revenue Bond 5.375% due 07/01/2029 3,600 3,298
-----------
Total Municipal Bonds & Notes 7,611
(Cost $7,758) ===========
----------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 5.4%
----------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.
6.000% due 07/20/2001 37,700 37,526
7.500% due 07/01/2011 342 346
8.000% due 01/01/2012 159 163
Small Business Administration
7.449% due 08/01/2010 2,400 2,444
Student Loan Marketing Assn.
6.242% due 10/25/2005 (d) 3,702 3,688
-----------
Total U.S. Government Agencies 44,167
(Cost $44,284) ===========
2000 Semi-Annual Report See accompanying notes 91
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund III
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 21.7%
-------------------------------------------------------------------
Treasury Inflation Protected Securities (f)
3.625% due 07/15/2002 (b)(j) $ 15,410 $ 15,406
3.625% due 01/15/2008 7,478 7,308
3.875% due 01/15/2009 23,994 23,799
U.S. Treasury Bonds
11.250% due 02/15/2015 7,900 11,744
8.750% due 08/15/2020 (j) 38,100 49,494
8.000% due 11/15/2021 (j) 4,300 5,254
6.000% due 02/15/2026 25,700 25,467
5.500% due 08/15/2028 13,600 12,627
6.250% due 05/15/2030 (j) 3,000 3,155
U.S. Treasury Strips
0.000% due 02/15/2014 5,000 2,219
0.000% due 02/15/2015 6,500 2,711
0.000% due 11/15/2021 40,800 11,422
0.000% due 11/15/2024 29,500 7,006
------------
Total U.S. Treasury Obligations 177,612
(Cost $177,902) ============
-------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 79.4%
-------------------------------------------------------------------
Collateralized Mortgage Obligations 23.0%
ABN AMRO Mortgage Corp.
6.750% due 11/25/2028 9,750 9,175
Amortizing Residential Collateral Trust
6.880% due 09/25/2030 (d) 3,927 3,927
CMC Securities Corp.
8.419% due 04/25/2025 (d) 771 781
DLJ Mortgage Acceptance Corp.
7.580% due 02/12/2006 (d) 13,600 13,775
Federal Home Loan Mortgage Corp.
7.000% due 11/01/2011 53 53
6.500% due 08/15/2023 7,495 7,428
7.271% due 03/15/2025 (d) 14,131 13,858
7.000% due 02/15/2027 13,753 12,820
6.500% due 09/01/2028 63 60
6.500% due 06/01/2029 94 90
7.000% due 10/01/2029 111 109
Federal National Mortgage Association
6.500% due 12/18/2004 3,531 3,499
7.000% due 09/25/2021 6,508 6,403
General Electric Capital Mortgage Services,
Inc.
6.750% due 12/25/2012 2,629 2,610
7.500% due 03/25/2027 15,000 14,709
6.000% due 07/25/2029 10,400 10,204
Greenwich
9.198% due 11/25/2024 (d) 27 27
Impac Secured Assets CMN Owner Trust
7.750% due 10/25/2030 22,715 21,730
Norwest Asset Securities Corp.
6.250% due 12/25/2028 11,980 9,562
PNC Mortgage Securities Corp.
6.500% due 12/25/2028 6,449 5,948
Prudential Securities Secured Financing
Corp.
6.955% due 06/15/2008 9,403 9,386
Residential Accredit Loans, Inc.
7.050% due 01/25/2026 2,000 1,990
7.250% due 01/25/2026 3,000 2,946
6.500% due 12/25/2028 24,000 22,193
Residential Funding Mortgage Securities,
Inc.
7.750% due 10/25/2030 5,000 4,816
Resolution Trust Corp.
8.835% due 12/25/2023 1,711 1,727
Structured Asset Mortgage Investments,
Inc.
6.581% due 06/25/2029 (d) 9,183 8,803
------------
188,629
============
Federal Home Loan Mortgage Corporation 4.9%
6.000% due 12/01/2099 5,000 4,672
6.750% due 10/01/2006 44 44
7.000% due 01/01/2030-12/01/2099 (h) 31,780 31,203
7.166% due 12/01/2022 (d) 652 668
7.813% due 07/01/2030 (d) 3,100 3,121
8.000% due 02/01/2006-03/01/2028 (h) 164 166
------------
39,874
============
Federal Housing Administration 0.9%
7.430% due 11/25/2019-11/25/2022 (h) 7,745 7,669
------------
Federal National Mortgage Association 9.8%
6.000% due 10/01/2099 10,000 9,338
6.252% due 08/01/2018 (d) 83 82
6.446% due 02/01/2031 (d) 61 60
7.000% due 12/01/2099 45,000 44,072
7.430% due 01/25/2023 7,398 7,345
7.500% due 02/01/2027 3,790 3,802
8.250% due 07/01/2017 57 58
8.500% due 02/01/2007-12/01/2099 (h) 14,849 15,208
9.000% due 07/01/2005-06/01/2025 (h) 25 26
------------
79,991
============
Government National Mortgage Association 40.0%
6.000% due 12/15/2028 650 610
6.500% due 09/15/2023-12/20/2099 (h) 194,502 187,305
6.750% due
09/20/2023-08/20/2027 (d)(h) 5,846 5,899
7.000% due 12/15/2099 73,840 72,732
7.125% due
10/20/2024-12/20/2026 (d)(h) 6,007 6,056
7.375% due
06/20/2022-01/20/2026 (d)(h) 6,706 6,759
7.400% due 10/15/2001-11/01/2039 (h) 7,010 6,940
7.500% due 12/15/2099 33,500 33,594
8.000% due 12/15/2099 7,250 7,379
10.250% due 02/15/2017 616 642
12.750% due 02/20/2015 (h) 4 5
------------
327,921
============
Other Mortgage-Backed Securities 0.8%
Federal Home Loan Mortgage Corp.
6.504% due 08/15/2032 (d) 5,702 5,596
Resolution Trust Corp.
6.920% due 05/25/2029 (d) 1,096 1,095
------------
6,691
============
Stripped Mortgage-Backed Securities 0.0%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 04/15/2022 1,558 165
------------
Total Mortgage-Backed Securities 650,940
(Cost $655,044) ============
-------------------------------------------------------------------
ASSET-BACKED SECURITIES 5.0%
-------------------------------------------------------------------
Advanta Mortgage Loan Trust
7.020% due 08/25/2029 (d) 14,446 14,502
Green Tree Financial Corp.
7.860% due 04/01/2031 600 579
Green Tree Recreational Equipment
6.430% due 04/17/2006 1,960 1,957
NPF XII, Inc.
7.050% due 06/01/2003 3,000 2,972
PP&L Transition Bond Co. LLC
6.410% due 12/26/2003 8,800 8,747
Public Service
1.500% due 04/01/2001 11,500 11,500
Student Loan Marketing Assn.
6.378% due 04/25/2004 (d) 989 988
------------
Total Asset-Backed Securities 41,245
(Cost $41,284) ============
-------------------------------------------------------------------
SOVEREIGN ISSUES 2.8%
-------------------------------------------------------------------
Central Bank Philippines
7.937% due 06/01/2008 1,360 1,217
Province of Quebec
8.800% due 04/15/2003 1,000 1,047
Republic of Argentina
11.595% due 04/10/2005 (d) 400 372
Republic of Brazil
7.375% due 04/15/2006 (d) 9,263 8,740
Republic of Bulgaria
7.062% due 07/28/2024 (d) 2,250 1,721
Republic of Korea
8.750% due 04/15/2003 900 920
92 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Republic of Venezuela
7.875% due 12/18/2007 (d) $ 1,786 $ 1,535
United Mexican States
11.500% due 05/15/2026 6,000 7,260
----------
Total Sovereign Issues 22,812
(Cost $22,654) ==========
-------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(e) 7.5%
-------------------------------------------------------------------
British Telecom PLC
4.726% due 07/27/2001 EC 10,000 8,833
Export-Import Bank Korea
7.250% due 06/25/2001 DM 1,570 1,564
France Telecom
4.587% due 10/11/2001 EC 10,000 8,829
Halifax Group Euro Finance
7.627% due 12/29/2049 9,700 8,575
Koninklijke PTT NV
5.013% due 06/13/2001 8,000 7,068
Korea Development Bank
7.625% due 10/01/2002 $ 2,000 2,004
Nationwide Building Society
4.629% due 03/27/2003 EC 10,000 8,828
Province of Saskatchewan
11.000% due 01/09/2001 C$ 2,000 1,344
Republic of Austria
5.500% due 01/15/2010 (j) EC 1,600 1,410
Republic of Brazil
7.000% due 01/01/2001 2,116 2,116
Republic of Germany
6.250% due 01/04/2024 (j) 570 544
6.500% due 07/04/2027 2,300 2,268
6.250% due 01/04/2030 (j) 980 951
Royal Bank of Scotland PLC
0.000% due 12/01/2003 BP 6,000 7,210
----------
Total Foreign Currency-Denominated Issues 61,544
(Cost $62,475) ==========
-------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.4%
-------------------------------------------------------------------
Industrial 0.4%
Hercules Trust VI
9.225% due 12/29/2000 (d) $ 3,000 2,999
----------
Utilities 0.0%
Alliant Energy Resources, Inc.
7.250% due 02/15/2030 300 19
----------
Total Convertible Bonds & Notes 3,018
(Cost $3,020) ==========
-------------------------------------------------------------------
PREFERRED STOCK 0.4%
-------------------------------------------------------------------
Shares
TCI Communications, Inc.
9.720% due 12/31/2036 132,000 3,432
----------
Total Preferred Stock 3,432
(Cost $3,676) ==========
-------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.0%
-------------------------------------------------------------------
Principal
Amount
(000s)
Repurchase Agreement 1.0%
State Street Bank
5.850% due 10/02/2000 $ 8,511 8,511
(Dated 9/29/2000. ----------
Collateralized by
Federal National Mortgage
Association 6.100% due
08/10/2001 valued at
$8,686. Repurchase
proceeds are $8,515.)
U.S. Treasury Bills (b)(h) 0.0%
5.933% due 02/01/2001 215 211
----------
Total Short-Term Instruments 8,722
(Cost $8,722) ==========
Value
(000s)
--------------------------------------------------------------------
Total Investments (a) 162.3% $ 1,330,576
(Cost $1,336,225)
Written Options (g) (0.1%) (987)
(Premiums $1,093)
Other Assets and Liabilities (Net) (62.2%) (509,662)
-------------
Net Assets 100.0% 819,927
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 7,042
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (12,691)
-------------
Unrealized depreciation-net $ (5,649)
=============
(b) Securities with an aggregate market value of
$4,518 have been segregated with the custodian
to cover margin requirements for the following
open futures contracts at September 30, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
EuroBond 10 Year Note (12/2000) 584 $ 189
U.S. Treasury 5 Year Note (12/2000) 510 (399)
U.S. Treasury 10 Year Note (12/2000) 623 274
U.S. Treasury 30 Year Bond (12/2000) 89 (88)
United Kingdom 10 Year Note (12/2000) 270 (240)
Municipal Bond (12/2000) 10 (2)
EuroBond 10 Year Note Written Put Options
(11/2000) 506 100
------------
$ (166)
============
(c) Foreign forward currency contracts outstanding at
September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
Sell C$ 2,260 10/2000 $ 25
Buy EC 10,413 11/2000 81
Sell 34,338 11/2000 (655)
Buy 14,828 10/2000 (35)
Sell 5,593 10/2000 149
Sell BP 4,716 10/2000 (338)
------------
$ (773)
============
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
EC - Euro
(f) Principal amount of security is adjusted for inflation.
2000 Semi-Annual Report See accompanying notes 93
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund III
September 30, 2000 (Unaudited)
=================================================================
(g) Premiums received on written options:
# of
Type Contracts Premium Value
-----------------------------------------------------------------
Call - CBOT U.S. Treasury Note December Futures
Strike @ 103.00 Exp. 11/18/2000 228 $ 29 $ 25
Call - CBOT U.S. Treasury Note December Futures
Strike @ 102.00 Exp. 11/18/2000 262 210 190
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 16 12 0
Put - CME Eurodollar March Futures
Strike @ 92.75 Exp. 03/19/20001 180 68 7
Call - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 484 120 351
Put - CME Eurodollar March Futures
Strike @ 92.25 Exp. 03/19/2001 288 173 4
Put - CME Eurodollar December Futures
Strike @ 92.25 Exp. 12/18/2000 62 24 0
Put - CBOT U.S. Treasury Note December Futures
Strike @ 98.00 Exp. 11/18/2000 99 119 112
Put - CBOT U.S. Treasury Note December Futures
Strike @ 97.00 Exp. 11/18/2000 65 16 6
Call - TSE Government of Japan December Futures
Strike @ 134.00 Exp. 11/30/2000 11 21 24
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.500% Exp.
02/23/2001 296,000,000 110 87
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.500% Exp.
02/22/2001 311,000,000 187 167
Put - OTC Japanese Interest Rate Swap December Futures
Strike @ 2.305% Exp.
11/30/2000 200,000,000 2 7
Put - OTC Japanese Interest Rate Swap December Futures
Strike @ 2.315% Exp.
11/30/2000 200,000,000 2 7
-----------------------
$ 1,093 $ 987
=======================
(h) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(i) Swap agreements outstanding at September 30, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
-----------------------------------------------------------------
Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate
equal to 6.302%.
Broker: Goldman Sachs
Exp. 07/13/2010 C$ 30,000 $ (437)
Receive floating rate based on 6-month JY-LIBOR and
pay a fixed rate equal to 2.295%.
Broker: Goldman Sachs JY 580,000 (197)
Exp. 04/14/2008
Receive floating rate based on 6-month JY-LIBOR and
pay a fixed rate equal to 2.305%.
Broker: Goldman Sachs 377,000 (130)
Exp. 04/15/2008
Receive floating rate based on 6-month JY-LIBOR and
pay a fixed rate equal to 1.669%.
Broker: Goldman Sachs 1,250,000 (3)
Exp. 05/18/2007
Receive floating rate based on 6-month EURO-LIBOR and
pay fixed rate equal to 6.175%.
Broker: Goldman Sachs EC 1,990 (20)
Exp. 05/22/2030
Receive floating rate based on 6-month EURO-LIBOR
plus 0.499% and pay a fixed rate equal to 6.000%.
Broker: J.P. Morgan 2,650 42
Exp. 01/01/2009
Receive floating rate based on 6-month EURO-LIBOR
minus 0.54% and pay a fixed rate equal to 6.250%.
Broker: J.P. Morgan 570 7
Exp. 01/04/2024
Receive floating rate based on 3-month EURO-LIBOR and
pay a fixed rate equal to 6.010%
Broker: Morgan Stanley 1,700 (11)
Exp. 01/04/2030
Receive floating rate based on 3-month LIBOR and pay
to the counterparty $5,059 due 11/15/2021.
Broker: Lehman Brothers $ 1,150 (19)
Exp. 11/15/2021
Receive floating rate based on 3-month LIBOR and pay
to the counterparty $4,542 due 11/15/2021.
Broker: Goldman Sachs 1,040 (14)
Exp. 11/15/2021
Receive floating rate based on 3-month LIBOR and pay
to the counterparty $11,560 due 11/15/2021.
Broker: Lehman Brothers 2,630 (43)
Exp. 11/15/2021
94 PIMCO Funds See accompanying notes
<PAGE>
--------------------------------------------------------------------
Receive floating rate based on 3-month LIBOR and pay
to the counterparty $30,456 due 11/15/2021.
Broker: Bank of America $ 7,020 $ 70
Exp. 11/15/2021
Receive a fixed rate equal to 9.250% and pay a fixed
rate equal to 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 (16)
Receive fixed rate equal to 0.510% and the Fund
will pay to the counterparty at par in the event
of default of Time Warner, Inc. 7.750% due
06/15/2005.
Broker: Lehman Brothers
Exp. 01/25/2005 5,000 0
Receive fixed rate equal to 1.625% and the Fund
will pay to the counterparty at par in the event
of default of Northeast Utilities Corp. 8.380%
due 03/01/2005.
Broker: Merrill Lynch
Exp. 03/21/2001 15,000 2
Receive a fixed rate equal to 0.250% and the
Fund will pay to the counterparty at par in
the event of default of CIT Group, Inc.
7.125% due 10/15/2004.
Broker: Lehman Brothers
Exp. 04/11/2003 250,000 1
------------
$ (768)
============
(j) Subject to financing transaction.
2000 Semi-Annual Report See accompanying notes 95
<PAGE>
Schedule of Investments
Moderate Duration Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
CORPORATE BONDS & NOTES 32.9%
-------------------------------------------------------------------
Banking & Finance 12.9%
Bear Stearns Co., Inc.
7.125% due 03/28/2003 (d) $ 2,900 $ 2,900
Beaver Valley Funding Corp.
8.250% due 06/01/2003 188 186
CIT Group, Inc.
6.200% due 10/20/2000 1,800 1,800
6.375% due 08/01/2002 850 842
First Union Corp.
7.550% due 08/18/2005 7,000 7,090
Ford Motor Credit Corp.
6.406% due 01/17/2002 (d) 5,000 4,983
5.750% due 02/23/2004 5,596 5,342
General Motors Acceptance Corp.
5.450% due 09/15/2003 1,000 961
Gold Eagle Capital Ltd.
11.440% due 04/16/2001 3,500 3,500
Household Finance Corp.
6.125% due 02/27/2003 3,000 2,927
Lehman Brothers Holdings, Inc.
6.375% due 05/07/2002 600 594
6.690% due 04/04/2003 (d) 5,000 5,002
7.000% due 05/15/2003 2,000 1,995
Nationsbank Corp.
6.681% due 04/15/2003 (d) 5,000 5,001
PSE&G Capital Corp.
6.740% due 10/23/2001 1,100 1,098
Royal Bank of Scotland PLC
8.817% due 03/31/2049 3,600 3,759
Salomon, Smith Barney Holdings
7.020% due 07/23/2002 (d) 2,000 1,997
7.061% due 06/23/2003 (d) 1,000 1,001
Sears Roebuck Acceptance
6.720% due 10/23/2002 3,000 2,972
Wells Fargo & Co.
6.891% due 05/02/2005 (d) 3,200 3,199
-----------
57,149
===========
Industrials 4.1%
Amerco, Inc.
6.890% due 10/15/2000 2,400 2,376
7.230% due 01/21/2027 500 459
Cargill, Inc.
6.871% due 01/14/2002 (d) 5,000 5,004
Hydro-Quebec
6.500% due 09/29/2049 (d) 5,000 4,438
Occidental Petroleum
6.400% due 04/01/2003 2,600 2,536
Philip Morris Cos., Inc.
7.250% due 09/15/2001 850 846
TCI Communications, Inc.
7.401% due 04/03/2002 (d) 250 253
7.550% due 09/02/2003 500 504
Waste Management, Inc.
6.375% due 12/01/2003 2,000 1,893
-----------
18,309
===========
Utilities 15.9%
Central Power & Light Co.
7.420% due 11/23/2001 (d) 10,000 10,001
Cincinnati Gas & Electric Co.
6.350% due 06/15/2003 1,200 1,169
CMS Energy Corp.
8.125% due 05/15/2002 750 745
Deutsche Telekom AG
7.750% due 06/15/2005 15,000 15,369
DTE Capital Corp.
7.110% due 11/15/2038 (d) 7,710 7,544
GTE Corp.
6.540% due 12/01/2005 6,850 6,694
Potomac Edison Co.
8.000% due 06/01/2006 1,000 1,010
Reliant Energy Resources Corp.
8.125% due 07/15/2005 10,000 10,168
System Energy Resources
7.710% due 08/01/2001 2,900 2,909
Texas Utilities Co.
7.315% due 06/25/2001 10,000 9,992
7.697% due 09/24/2001 (d) 5,000 5,027
-----------
70,628
-----------
Total Corporate Bonds & Notes 146,086
(Cost $145,747) ===========
-------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 4.2%
-------------------------------------------------------------------
Federal Home Loan Bank
6.225% due 04/13/2009 400 378
Federal Home Loan Mortgage Corp.
7.737% due 05/15/2003 600 613
Federal National Mortgage Assn.
5.750% due 06/15/2005 250 242
7.020% due 09/27/2007 400 394
6.625% due 09/15/2009 2,000 1,985
Small Business Administration
7.640% due 08/01/2010 15,000 15,276
-----------
Total U.S. Government Agencies 18,888
(Cost $18,544) ===========
-------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 3.9%
-------------------------------------------------------------------
Treasury Inflation Protected Securities (h)
3.625% due 07/15/2002 (b) (j) 9,268 9,265
3.375% due 01/15/2007 (j) 5,011 4,847
3.625% due 01/15/2008 (j) 2,030 1,983
3.875% due 01/15/2009 842 835
U.S. Treasury Strips
0.000% due 11/15/2021 1,200 336
-----------
Total U.S. Treasury Obligations 17,266
(Cost $17,327) ===========
-------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 59.7%
-------------------------------------------------------------------
Collateralized Mortgage Obligations 32.0%
Chase Manhattan Corp.
7.000% due 04/25/2025 445 444
Chase Mortgage Finance Corp.
6.319% due 04/25/2025 (d) 3,116 3,147
Criimi Mae Financial Corp.
7.000% due 01/01/2033 10,928 10,784
Federal Home Loan Mortgage Corp.
7.000% due 10/15/2001 224 224
5.500% due 06/15/2003 239 234
7.000% due 05/15/2004 1,000 1,000
7.000% due 06/15/2005 88 88
7.000% due 11/15/2005 400 401
7.000% due 06/15/2006 300 300
7.250% due 03/15/2007 4 4
6.500% due 10/15/2007 63 61
6.000% due 12/15/2008 5,084 4,988
6.500% due 08/15/2023 3,748 3,714
6.500% due 10/15/2023 1,245 1,143
8.500% due 04/15/2025 2,373 2,493
8.000% due 02/15/2027 463 464
Federal National Mortgage Assn.
6.250% due 04/25/2007 1,000 992
6.000% due 03/25/2009 1,476 1,334
6.500% due 01/18/2019 1,785 1,775
6.500% due 08/25/2021 28,509 27,904
7.000% due 09/25/2021 3,203 3,152
General Electric Capital Mortgage
Services, Inc.
6.000% due 02/25/2024 236 235
7.000% due 10/25/2027 14,327 13,571
General Motors Acceptance Corp.
6.973% due 07/20/2002 13,307 13,307
Government National Mortgage Assn.
7.500% due 04/20/2027 2,582 2,494
Impac Secured Assets CMN Owner Trust
8.000% due 07/25/2030 19,308 19,387
96 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000's) (000's)
-------------------------------------------------------------------
Norwest Asset Securities Corp.
7.000% due 01/25/2028 $ 0 $ 0
PNC Mortgage Securities Corp.
6.500% due 12/25/2028 5,000 4,553
7.000% due 06/25/2030 11,303 10,763
Residential Funding Mortgage Securities,
Inc.
6.981% due 06/25/2008 1,900 1,892
7.000% due 05/25/2012 1,791 1,765
Saco Trust
6.745% due 07/25/2030 (d) 9,961 9,717
-----------
142,330
===========
Federal Home Loan Mortgage Corporation 0.0%
7.750% due 08/01/2001 2 2
-----------
Federal Housing Administration 2.2%
7.430% due 04/01/2022-06/01/2023 (g) 9,984 9,957
-----------
Federal National Mortgage Association 1.6%
6.000% due 05/01/2005-02/01/2014 (g) 846 817
6.210% due 08/01/2018 (d) 269 266
6.440% due 09/01/2017 (d) 440 434
6.644% due 01/01/2027 (d) 559 549
7.000% due 05/01/2012 461 459
7.500% due 08/01/2017-01/01/2027 (g) 2,011 2,024
8.000% due 09/01/2026-10/01/2026 (g) 2,462 2,509
-----------
7,058
===========
Government National Mortgage Association 23.9%
6.000% due 12/15/2028 6,500 6,098
6.500% due 12/15/2099 12,970 12,492
7.000% due 03/15/2029 655 645
7.125% due 11/20/2017-11/20/2025 (d)(g) 566 572
7.375% due 03/20/2020-03/20/2028 (d)(g) 7,680 7,759
7.500% due 12/15/2028-12/20/2099 (d)(g) 60,523 60,669
8.000% due 04/15/2017-12/15/2099 (d)(g) 16,612 17,031
9.000% due 06/15/2009 1,021 1,065
-----------
106,331
-----------
Total Mortgage-Backed Securities 265,678
(Cost $266,206) ===========
-------------------------------------------------------------------
ASSET-BACKED SECURITIES 13.5%
-------------------------------------------------------------------
Aes Funding Term Loan
8.380% due 05/19/2001 1,000 1,000
AFC Home Equity Loan Trust
6.920% due 06/25/2030 (d) 4,841 4,850
Brazos Student Loan Finance Co.
7.210% due 06/01/2023 d) 10,000 9,901
Chase Credit Card Master Trust
6.777% due 05/15/2007 3,257 3,267
Freemont Home Loan Owner Trust
7.016% due 12/25/2029 (d) 10,621 10,603
Green Tree Home Equity Loan Trust
5.590% due 02/15/2013 192 192
Green Tree Home Improvement Loan Trust
5.940% due 06/15/2029 20 20
Green Tree Recreational Equipment
6.430% due 04/17/2006 1,960 1,957
IMC Home Equity Loan Trust
6.800% due 03/25/2027 (d) 74 74
Option One Mortgage Loan Trust
6.915% due 06/25/2030 (d) 9,692 9,707
Provident Bank Home Equity Loan Trust
6.890% due 08/25/2031 (d) 16,693 16,671
The Money Store Home Equity Trust
6.040% due 08/15/2017 732 729
The Money Store Residential Trust
6.215% due 02/15/2011 881 878
-----------
Total Asset-Backed Securities 59,849
(Cost $59,924) ===========
-------------------------------------------------------------------
SOVEREIGN ISSUES 3.5%
-------------------------------------------------------------------
Hydro-Quebec
7.620% due 04/02/2001 1,000 1,003
Republic of Argentina
11.595% due 04/10/2005 (d) 500 465
Republic of Brazil
7.375% due 04/15/2006 (d) $ 11,420 $ 10,753
Republic of Bulgaria
7.750% due 07/28/2024 (d) 2,000 1,530
Republic of Venezuela
7.875% due 12/18/2007 (d) 1,964 1,688
----------
Total Sovereign Issues 15,439
(Cost $15,227) ==========
-------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 2.0%
-------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 6,000 5,430
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 800 341
Republic of Austria
5.500% due 01/15/2010 EC 1,000 881
Republic of Germany
6.250% due 01/04/2024 (j) 370 353
6.500% due 07/04/2027 810 799
6.250% due 01/04/2030 (j) 1,160 1,127
-----------
Total Foreign Currency-Denominated Issues 8,931
(Cost $9,781) ===========
-------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.0%
-------------------------------------------------------------------
Utilities 0.0%
Alliant Energy Resources, Inc.
7.250% due 02/15/2030 400 25
-----------
Total Convertible Bonds & Notes 25
(Cost $27) ===========
-------------------------------------------------------------------
PREFERRED SECURITY 0.9%
-------------------------------------------------------------------
Shares
DG Funding Trust
9.030% due 12/29/2049 (d) 410 4,110
-----------
Total Preferred Security 4,110
(Cost $4,100) ===========
-------------------------------------------------------------------
PREFERRED STOCK 0.2%
-------------------------------------------------------------------
TCI Communications, Inc.
10.000% due 05/31/2045 33,354 844
-----------
Total Preferred Stock 844
(Cost $852) ===========
-------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.7%
-------------------------------------------------------------------
Principal
Amount
(000's)
Commercial Paper 1.2%
Edison Mission Midwest Holdings
6.710% due 11/15/2000 $ 700 694
General Electric Capital Corp.
6.470% due 12/13/2000 500 494
6.470% due 12/20/2000 400 394
Infinity Broadcasting Corp.
6.700% due 11/16/2000 800 793
Ingersoll-Rand Co.
6.840% due 10/02/2000 2,900 2,900
-----------
5,275
===========
Repurchase Agreement 0.5%
State Street Bank
5.850% due 10/02/2000 2,156 2,156
-----------
(Dated 9/29/2000. Collateralized by
Federal Home Loan Bank 7.025% due
03/06/2002 valued at $2,201.
Repurchase proceeds are $2,157.)
U.S. Treasury Bills (b)(g) 0.0%
6.030% due 02/01/2001 140 137
-----------
Total Short-Term Instruments 7,568
(Cost $7,568) ===========
2000 Semi-Annual Report See accompanying notes 97
<PAGE>
Schedule of Investments (Cont.)
Moderate Duration Fund
September 30, 2000 (Unaudited)
Value
(000s)
--------------------------------------------------------------------
Total Investments (a) 122.5% $ 544,684
(Cost $545,303)
Written Options (c) (0.0%) (115)
(Premiums $257)
Other Assets and Liabilities (Net) (22.5%) (100,076)
-------------
Net Assets 100.0% $ 444,493
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 3,040
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (3,660)
--------------
Unrealized depreciation-net $ (620)
==============
(b) Securities with an aggregate market value of $1,752 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at September 30, 2000:
# of Unrealized
Type Contracts Appreciation
-------------------------------------------------------------------------
U.S. Treasury 10 Year Note (12/2000) 502 $ 130
EuroBond 10 Year Note Written Put Options (11/2000) 187 57
-----------
$ 187
===========
(c) Premiums received on written options:
# of
Type Contracts Premium Value
------------------------------------------------------------------------
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 116 $ 87 $ 3
Put - CME Eurodollar March Futures
Strike @ 92.75 Exp. 03/19/2001 79 32 3
Call - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 109 34 79
Put - CME Eurodollar March Futures
Strike @ 92.25 Exp. 03/19/2001 30 18 0
Put - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 35 35 7
Put - CME Eurodollar March Futures
Strike @ 93.50 Exp. 03/19/2001 35 45 16
Call - TSE Government of Japan December Futures
Strike @ 134.00 Exp. 11/30/2000 3 6 7
------------------
$ 257 $ 115
==================
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------
Sell EC 5,405 10/2000 $ 144
Buy 12,600 11/2000 235
Sell 14,390 11/2000 (19)
Sell N$ 827 10/2000 5
-----------
$ 365
===========
(f) Principal amount denoted in indicated currency:
EC - Euro
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, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
---------------------------------------------------------------------
Receive floating rate based on 6-month JY-LIBOR and
pay a fixed rate equal to 1.669%.
Broker: Goldman Sachs
Exp. 05/18/2007 JY 5,000 $ 0
Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to
6.175%.
Broker: Goldman Sachs
Exp. 05/22/2030 EC 1,300 (13)
Receive floating rate based on 6-month EURO-LIBOR minus 0.54% and pay a fixed
rate equal to 6.250%.
Broker: J.P. Morgan
Exp. 01/04/2024 370 5
Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 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 (5)
Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 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 200 (11)
Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 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 200 (10)
Receive fixed rate equal to 0.510% and the Fund will pay to the counterparty at
par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005.
Broker: Lehman Brothers
Exp. 01/25/2005 5,000 0
------------
$ (34)
============
(j) Subject to financing transaction.
98 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Low Duration Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
CORPORATE BONDS & NOTES 59.3%
-------------------------------------------------------------------
Banking & Finance 34.9%
American General Finance
6.880% due 12/14/2001 $ 25,000 $ 25,021
Aristar, Inc.
7.380% due 09/01/2004 19,000 18,984
Associates Corp. of North America
6.700% due 05/29/2001 400 400
6.780% due 08/27/2001 (d) 1,000 1,003
6.880% due 06/20/2002 20,000 19,896
6.950% due 08/01/2002 1,000 1,003
AT&T Capital Corp.
7.500% due 11/15/2000 6,200 6,205
7.010% due 04/23/2002 (d) 10,000 10,028
Banc One Corp.
7.250% due 08/01/2002 500 503
Banco Latinoamericano SA
6.750% due 03/01/2001 1,300 1,298
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 1,800 1,742
Bank of America Corp.
7.200% due 09/15/2002 100 101
7.880% due 12/01/2002 100 102
6.630% due 06/15/2004 1,000 991
Bear Stearns Co., Inc.
6.170% due 06/28/2001 (d) 2,000 2,010
7.010% due 12/16/2002 (d) 21,000 21,024
6.130% due 02/01/2003 3,000 2,941
7.130% due 03/28/2003 (d) 8,600 8,600
6.200% due 03/30/2003 9,700 9,513
7.100% due 06/01/2004 (d) 3,000 3,021
Beaver Valley Funding Corp.
8.250% due 06/01/2003 3,311 3,280
Beneficial Corp.
6.770% due 01/09/2002 (d) 10,000 10,048
6.650% due 09/12/2002 5,000 4,965
6.580% due 12/16/2002 5,440 5,385
Bombardier Capital, Inc.
6.000% due 01/15/2002 10,000 9,840
7.500% due 08/15/2004 1,000 1,007
Capital One Bank
6.280% due 02/20/2001 6,500 6,474
7.000% due 04/30/2001 300 300
7.610% due 06/23/2003 (d) 100 100
Case Credit Corp.
5.910% due 02/19/2001 4,000 3,982
5.850% due 02/20/2001 (d) 63,000 62,693
5.930% due 02/26/2001 5,000 4,976
6.900% due 08/01/2001 (d) 4,750 4,757
Caterpillar Financial Services Corp.
6.930% due 11/04/2002 (d) 25,000 25,017
6.910% due 12/27/2002 (d) 25,000 24,990
6.880% due 08/01/2004 2,000 1,980
Chase Manhattan Corp.
6.530% due 10/13/2000 (d) 7,500 7,500
5.500% due 02/15/2001 1,000 995
Chrysler Financial Co. LLC
5.850% due 01/26/2001 5,000 4,987
6.760% due 08/08/2002 (d) 8,000 8,011
CIT Group, Inc.
6.200% due 10/20/2000 17,300 17,296
6.810% due 09/13/2002 (d) 19,400 19,400
Credit Asset Receivable
6.270% due 10/31/2003 34,267 33,813
Export-Import Bank Korea
6.500% due 02/10/2002 7,500 7,399
6.500% due 11/15/2006 6,700 6,525
7.100% due 03/15/2007 6,700 6,657
Finova Capital Corp.
6.270% due 09/29/2000 2,700 2,700
6.910% due 06/18/2003 (d) 6,000 5,250
First Union Corp.
7.550% due 08/18/2005 42,800 43,353
Ford Motor Credit Corp.
6.810% due 03/19/2002 (d) 18,857 18,938
6.990% due 07/16/2002 (d) 100 100
6.520% due 08/12/2002 13,000 12,905
6.000% due 01/14/2003 15,000 14,677
6.850% due 03/17/2003 (d) 3,000 2,996
6.130% due 04/28/2003 14,000 13,698
6.960% due 04/26/2004 (d) 19,000 18,974
General Motors Acceptance Corp.
7.130% due 05/01/2001 15,000 15,022
6.680% due 09/19/2001 (d) 5,000 5,009
6.760% due 12/10/2001 (d) 7,400 7,401
6.840% due 04/29/2002 (d) 2,000 2,006
6.880% due 11/12/2002 (d) 63,520 63,596
6.780% due 11/12/2002 (d) 17,400 17,397
5.880% due 01/22/2003 500 489
7.400% due 07/20/2003 (d) 14,366 14,353
7.020% due 04/05/2004 (d) 700 699
6.850% due 06/17/2004 1,000 991
Gold Eagle Capital Ltd.
9.000% due 04/15/2001 20,000 19,976
Goldman Sachs Group
6.200% due 12/15/2000 1,000 998
7.630% due 08/17/2005 20,800 21,237
Great Western Financial
8.600% due 02/01/2002 4,000 4,068
Heller Financial, Inc.
6.970% due 04/28/2003 (d) 20,000 19,914
Hitachi Credit America
6.100% due 04/24/2001 25,000 24,891
Household Finance Corp.
6.490% due 04/09/2001 20,000 19,972
7.630% due 01/15/2003 10,849 10,987
6.130% due 02/27/2003 1,500 1,463
6.920% due 06/24/2003 (d) 1,500 1,501
6.130% due 07/15/2012 10,000 9,859
Industrial Bank of Korea
8.380% due 09/30/2002 5,000 5,030
Key Bank NA
6.050% due 04/24/2003 12,900 12,571
Korea Development Bank
7.130% due 09/17/2001 28,963 28,923
7.900% due 02/01/2002 6,100 6,115
7.630% due 10/01/2002 19,500 19,516
6.500% due 11/15/2002 5,898 5,775
8.290% due 06/16/2003 (d) 3,500 3,430
6.630% due 11/21/2003 20,300 19,766
7.130% due 04/22/2004 11,800 11,581
7.380% due 09/17/2004 1,200 1,183
Lehman Brothers Holdings, Inc.
6.630% due 11/15/2000 825 825
7.680% due 04/02/2002 (d) 2,000 2,018
6.380% due 05/07/2002 28,345 28,133
7.410% due 05/07/2002 (d) 5,000 5,031
6.610% due 07/08/2002 (d) 1,500 1,501
7.210% due 12/12/2002 (d) 1,500 1,507
7.170% due 04/04/2003 (d) 7,900 7,902
7.000% due 05/15/2003 3,600 3,590
Marsh & McLennan Co., Inc.
6.630% due 06/15/2004 1,000 984
MBNA America Bank NA
6.000% due 12/26/2000 5,000 4,992
6.880% due 07/15/2004 1,900 1,862
Merrill Lynch & Co.
6.230% due 09/30/2000 (d) 8,558 8,558
6.000% due 01/15/2001 (d) 1,336 1,332
7.280% due 11/26/2001 (d) 115,000 115,671
6.830% due 01/15/2002 (d) 5,000 4,998
7.090% due 02/08/2002 (d) 25,000 25,090
6.920% due 02/04/2003 (d) 23,000 22,988
6.130% due 04/07/2003 7,770 7,640
2000 Semi-Annual Report See accompanying notes 99
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Metropolitan Life Insurance Co.
6.300% due 11/01/2003 $ 17,850 $ 17,450
Mexico Credit Link
11.380% due 02/22/2002 (d) 5,000 5,214
Morgan Stanley, Dean Witter,
Discover and Co.
6.850% due 03/11/2003 (d) 5,000 4,993
Nacional Financiera
8.570% due 05/08/2003 (d) 2,000 2,011
Pemex Finance Ltd.
6.130% due 11/15/2003 13,000 12,770
PNC Bank Corp.
6.720% due 01/24/2002 (d) 20,000 20,013
Popular North American, Inc.
6.880% due 06/15/2001 5,000 5,003
7.380% due 09/15/2001 20,000 20,096
Popular, Inc.
6.200% due 04/30/2001 1,000 997
Prudential Funding Corp.
6.420% due 10/02/2000 (d) 5,000 5,001
Rothmans Holdings
6.500% due 05/06/2003 14,000 13,588
Salomon, Inc.
7.500% due 02/01/2003 3,000 3,038
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (d) 1,088 1,075
6.860% due 05/14/2002 (d) 25,150 25,149
7.020% due 07/23/2002 (d) 5,100 5,092
Security Pacific Corp.
11.500% due 11/15/2000 3,850 3,868
Seismic Ltd.
11.270% due 01/01/2002 (d) 10,000 10,000
Shopping Center Associates
6.750% due 01/15/2004 11,725 11,469
Spieker Properties
6.650% due 12/15/2000 5,070 5,062
6.800% due 05/01/2004 2,000 1,955
Toyota Motor Credit Corp.
7.320% due 02/15/2002 (d) 11,600 11,403
Transamerica Finance Corp.
6.130% due 11/01/2001 5,000 4,958
5.920% due 03/29/2002 52,050 51,351
Travelers Group, Inc.
7.250% due 05/01/2001 3,700 3,704
7.300% due 05/15/2002 15,000 15,082
Wachovia Corp.
7.260% due 05/02/2005 (d) 8,000 7,992
Wells Fargo & Co.
6.630% due 07/15/2004 1,000 991
7.220% due 05/02/2005 (d) 32,700 32,689
-----------
1,472,709
===========
Industrials 14.5%
Abitibi-Consolidated, Inc.
8.300% due 08/01/2005 20,000 20,473
Allied Waste Industries, Inc.
7.380% due 01/01/2004 5,000 4,675
AMR Corp.
9.910% due 03/01/2001 2,500 2,525
9.130% due 10/24/2001 4,250 4,321
Atlas Air, Inc.
8.010% due 01/02/2010 10,817 10,517
Boise Cascade Co.
9.850% due 06/15/2002 3,000 3,065
Burlington North Santa Fe
6.050% due 03/15/2031 2,000 1,985
Caterpillar, Inc.
9.750% due 06/01/2019 13,766 14,415
Cemex SA
8.630% due 07/18/2003 10,000 10,125
Century Communications Corp.
0.000% due 03/15/2003 5,250 4,016
Coastal Corp.
7.290% due 03/01/2002 (d) 32,200 32,200
Columbia/HCA Healthcare
6.130% due 12/15/2000 200 199
8.130% due 08/04/2003 5,000 4,957
6.630% due 07/15/2045 7,000 6,823
Conoco, Inc.
5.900% due 04/15/2004 3,100 3,003
Cox Enterprises, Inc.
6.630% due 06/14/2002 3,000 2,969
7.610% due 05/01/2033 (d) 2,000 1,999
Crown Cork & Seal Co.
7.130% due 09/01/2002 33,000 31,313
Crown Cork & Seal Finance PLC
6.750% due 12/15/2003 7,000 6,373
DaimlerChrysler Holdings
6.900% due 09/01/2004 1,000 997
Delta Air Lines, Inc.
9.800% due 12/16/2000 250 251
8.500% due 09/15/2001 205 207
6.650% due 03/15/2004 2,925 2,775
Eastman Chemical Co.
6.380% due 01/15/2004 250 241
Electric Lightwave, Inc.
6.050% due 05/15/2004 3,000 2,922
EZ Communication, Inc.
9.750% due 12/01/2005 5,000 5,254
Federal-Mogul Corp.
7.500% due 07/01/2004 28,600 12,155
Ford Motor Co.
9.000% due 09/15/2001 500 507
Fred Meyer, Inc.
7.150% due 03/01/2003 13,500 13,411
Global Crossing Ltd.
6.000% due 10/15/2013 7,500 6,929
HMH Properties, Inc.
7.880% due 08/01/2005 5,000 4,738
IMEXSA Export Trust
10.130% due 05/31/2003 7,740 7,713
International Game Technology
7.880% due 05/15/2004 500 491
ISP Holdings, Inc.
9.750% due 02/15/2002 3,000 2,700
Kroger Co.
6.340% due 06/01/2001 5,000 4,982
Lockheed Martin Corp.
6.850% due 05/15/2001 7,300 7,274
Mallinckrodt, Inc.
6.300% due 03/15/2011 (d) 650 647
Nabisco, Inc.
6.000% due 02/15/2001 (d) 21,000 20,842
6.700% due 06/15/2002 21,100 20,657
Occidental Petroleum
6.400% due 04/01/2003 15,945 15,553
Park Place Entertainment Corp.
7.950% due 08/01/2003 15,955 15,975
Petroleos Mexicanos
8.130% due 07/15/2005 (d) 15,873 15,912
9.380% due 12/02/2008 5,500 5,665
Philip Morris Cos., Inc.
9.000% due 01/01/2001 7,000 7,017
7.500% due 01/15/2002 200 199
7.250% due 01/15/2003 4,050 4,003
6.950% due 06/01/2006 25,000 24,883
Philips Petroleum Co.
8.500% due 05/25/2005 2,000 2,114
R & B Falcon Corp.
6.500% due 04/15/2003 11,000 10,546
Rollins Truck Leasing Co.
8.000% due 02/15/2003 3,000 3,020
Starwood Hotels & Resorts
6.750% due 11/15/2005 2,000 1,881
Stone Container Corp.
10.750% due 10/01/2002 11,080 11,288
Supervalu, Inc.
9.750% due 06/15/2004 10,500 11,068
100 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
TCI Communications, Inc.
7.360% due 03/11/2003 (d) $ 3,000 $ 3,060
Tenet Healthcare Corp.
7.880% due 01/15/2003 5,300 5,287
8.630% due 12/01/2003 9,700 9,774
Time Warner, Inc.
7.980% due 08/15/2004 1,200 1,234
TTX Co.
7.820% due 07/21/2003 61,000 62,077
Tyco International Group SA
6.880% due 09/05/2002 18,805 18,766
6.250% due 06/15/2003 5,100 4,964
Union Oil Co. of California
9.100% due 08/15/2001 3,350 3,407
Waste Management, Inc.
6.500% due 05/14/2004 45,000 42,423
Whitman Corp.
6.000% due 05/01/2004 6,500 6,299
Williams Communications Group, Inc.
7.180% due 11/15/2001 (d) 6,200 6,204
Yorkshire Power
6.150% due 02/25/2003 40,000 38,494
----------
612,759
==========
Utilities 9.9%
Arizona Public Service
5.880% due 02/15/2004 3,600 3,439
Arkansas Power & Light
6.000% due 10/01/2003 450 432
AT&T Corp.
5.630% due 03/15/2004 415 397
Calpine Corp.
9.250% due 02/01/2004 2,960 2,964
7.630% due 04/15/2006 2,900 2,828
Cinergy Corp.
6.130% due 04/15/2004 13,000 12,317
Cleveland Electric Illuminating Co.
8.550% due 11/15/2001 2,075 2,106
7.850% due 07/30/2002 3,500 3,536
9.500% due 05/15/2005 2,000 2,048
CMS Energy
8.130% due 05/15/2002 5,000 4,966
7.630% due 11/15/2004 15,400 14,750
8.000% due 07/01/2011 5,000 4,957
Connecticut Light & Power Co.
7.880% due 06/01/2001 500 502
8.590% due 06/05/2003 10,000 9,869
Deutsche Telekom AG
7.750% due 06/15/2005 5,000 5,123
DTE Capital Corp.
8.350% due 11/15/2038 (d) 1,000 978
Entergy Louisiana, Inc.
8.500% due 06/01/2003 4,000 4,112
Entergy Mississippi
7.750% due 02/15/2003 35,000 35,346
GTE Corp.
8.880% due 01/15/2006 45,170 46,640
6.130% due 04/15/2012 4,300 4,249
Hughes Electric
7.560% due 10/23/2000 (d) 28,500 28,509
Illinois Power Co.
6.250% due 07/15/2002 10,000 9,862
6.000% due 09/15/2003 12,500 12,177
Louisiana Power & Light Co.
7.740% due 07/01/2002 3,308 3,308
Niagara Mohawk Power
7.000% due 10/01/2000 20,717 20,717
7.130% due 07/01/2001 1,512 1,513
7.250% due 10/01/2002 16,634 16,563
North Atlantic Energy
9.050% due 06/01/2002 2,678 2,705
Occidental Petroleum
6.240% due 11/24/2000 5,000 4,987
Ohio Edison Co.
8.630% due 09/15/2003 5,000 5,211
Public Service Enterprise Group, Inc.
7.040% due 11/22/2000 (d) 10,000 9,999
Qwest Capital Funding, Inc.
6.130% due 07/15/2002 5,250 5,169
Qwest Corp.
7.630% due 06/09/2003 25,000 25,320
Reliant Energy, Inc.
6.380% due 11/01/2003 2,000 1,960
Southwestern Bell Communication Capital
Corp.
6.130% due 03/12/2001 2,000 1,993
Sprint Corp.
9.500% due 04/01/2003 5,800 6,087
Texas Utilities Co.
5.940% due 10/15/2001 13,155 12,982
9.700% due 02/28/2003 4,695 4,991
6.750% due 03/01/2003 925 919
6.750% due 04/01/2003 3,875 3,849
6.880% due 08/01/2005 2,000 1,964
Toledo Edison Co.
8.180% due 07/30/2002 2,500 2,542
U.S. West Communications, Inc.
5.650% due 11/01/2004 9,250 8,705
United Illuminating Co.
6.000% due 12/15/2003 13,000 12,550
Western Massachusetts Electric
7.750% due 12/01/2002 4,847 4,849
Western Resources, Inc.
6.250% due 08/15/2003 5,450 4,898
WorldCom, Inc.
6.130% due 08/15/2001 45,000 44,726
----------
420,614
----------
Total Corporate Bonds & Notes 2,506,082
(Cost $2,526,932) ==========
-------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 0.8%
-------------------------------------------------------------------
Federal Home Loan Bank
6.240% due 08/24/2001 210 209
6.250% due 11/15/2002 995 991
6.000% due 03/26/2004 10,000 9,774
Federal Home Loan Mortgage Corp.
5.750% due 06/15/2001 750 746
6.000% due 07/20/2001 970 966
6.250% due 10/15/2002 750 746
7.380% due 05/15/2003 5,000 5,105
Federal National Mortgage Association
5.630% due 03/15/2001 3,174 3,160
4.630% due 10/15/2001 535 525
6.500% due 09/05/2002 600 597
6.250% due 11/15/2002 606 603
7.130% due 01/15/2030 28 29
Small Business Administration
8.250% due 01/25/2013 (d) 255 259
8.250% due 02/25/2014 (d) 796 848
Student Loan Marketing Assn.
6.920% due 04/25/2006 (d) 7,893 7,863
----------
Total U.S. Government Agencies 32,421
(Cost $32,139) ==========
-------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 9.7%
-------------------------------------------------------------------
Treasury Inflation Protected Securities (i)
3.630% due 07/15/2002 (b)(j) 155,181 155,132
3.380% due 01/15/2007 (j) 38,184 36,931
3.630% due 01/15/2008 (j) 123,389 120,575
3.880% due 01/15/2009 98,818 98,015
U.S. Treasury Bonds
5.500% due 08/15/2028 100 93
U.S. Treasury Strips
0.000% due 02/15/2019 200 66
----------
Total U.S. Treasury Obligations 410,812
(Cost $410,218) ==========
2000 Semi-Annual Report See accompanying notes 101
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 41.8%
-------------------------------------------------------------------
Collateralized Mortgage Obligations 15.4%
Amortizing Residential Collateral Trust
6.880% due 09/25/2003 (d) $ 16,690 $ 16,690
Bayview Financial Revolving Mortgage
7.920% due 08/25/2029 (d) 6,900 6,785
Cendant Mortgage Corp.
6.500% due 01/18/2016 513 505
Chase Commercial Mortgage Securities Corp.
7.600% due 12/18/2005 156 159
Chase Mortgage Finance Corp.
10.000% due 11/25/2009 87 87
6.500% due 06/25/2013 6,229 6,161
6.320% due 04/25/2025 (d) 3,116 3,147
6.750% due 06/25/2028 11,250 10,810
6.350% due 07/25/2029 4,717 4,670
CMC Securities Corp. IV
7.250% due 10/25/2027 12,141 12,035
Collateralized Mortgage Obligation Trust
6.750% due 01/20/2003 (d) 4 4
Commercial Trust
6.670% due 12/15/2003 3,799 3,575
Countrywide Funding Corp.
6.250% due 01/25/2035 (d) 2,810 2,786
Countrywide Home Loans
6.250% due 07/25/2009 467 464
6.900% due 12/25/2027 18,168 17,481
Criimi Mae Financial Corp.
7.000% due 01/01/2033 8,469 8,358
CS First Boston Mortgage Securities Corp.
6.400% due 01/17/2035 132 131
Dime Savings
7.060% due 11/01/2018 (d) 1,340 1,210
DLJ Mortgage Acceptance Corp.
11.000% due 08/01/2019 697 758
8.670% due 05/25/2024 (d) 1,056 1,079
7.190% due 06/25/2026 (d) 9,473 9,369
6.850% due 12/17/2027 165 165
Enterprise Mortgage Acceptance Co.
6.110% due 01/15/2025 106 105
Federal Home Loan Mortgage Corp.
6.000% due 07/15/2006 1,585 1,574
6.500% due 08/15/2006 2,211 2,199
9.500% due 03/01/2010 23 24
6.500% due 08/15/2011 18,088 17,773
12.500% due 09/30/2013 544 580
9.500% due 08/01/2016 6 6
10.000% due 11/01/2016 18 19
9.500% due 06/01/2019 19 20
10.000% due 07/15/2019 232 244
9.000% due 11/15/2019 485 489
10.000% due 05/15/2020 166 174
9.500% due 07/01/2020 9 9
9.500% due 08/01/2020 28 29
7.500% due 12/15/2020 957 960
9.000% due 12/15/2020 2,821 2,906
9.500% due 01/15/2021 959 996
8.000% due 04/15/2021 1,146 1,168
9.000% due 05/15/2021 193 198
9.500% due 09/01/2021 33 34
7.500% due 01/20/2024 4,574 4,582
Federal National Mortgage Association
8.950% due 05/25/2003 21 22
9.400% due 07/25/2003 43 44
9.000% due 07/25/2003 176 177
6.880% due 06/25/2009 1,294 1,288
7.000% due 09/25/2016 10,368 10,314
8.750% due 05/25/2019 21 21
9.500% due 03/25/2020 3,671 4,000
9.500% due 05/25/2020 1,278 1,329
9.000% due 03/25/2021 3,151 3,243
9.000% due 04/25/2021 107 111
8.000% due 03/25/2022 29 29
5.000% due 01/25/2024 54 53
8.500% due 04/01/2025 2,854 2,934
6.890% due 02/01/2028 (d) 5,771 5,934
General Electric Capital Mortgage
Services, Inc.
6.750% due 12/25/2012 2,629 2,610
6.500% due 02/25/2024 1 1
German American Capital Corp.
7.000% due 08/12/2010 6,800 6,685
Glendale Federal Savings & Loan
7.940% due 03/25/2030 (d) 949 941
Greenwich
9.480% due 11/25/2024 (d) 151 151
Impac Secured Assets CMN Owner Trust
8.000% due 07/25/2030 113,595 114,056
Independent National Mortgage Corp.
9.140% due 11/25/2024 (d) 48 48
J.P. Morgan Commercial Mortgage Finance Corp.
7.070% due 09/15/2029 185 185
6.370% due 01/15/2030 116 114
LB Commercial Conduit Mortgage Trust
6.330% due 11/18/2004 119 118
Mellon Residential Funding Corp.
6.400% due 06/25/2028 2,661 2,589
6.580% due 07/25/2029 (d) 17,411 17,193
Morgan Stanley Capital
7.230% due 01/16/2006 230 232
7.460% due 02/15/2020 8,100 8,234
6.860% due 08/15/2023 121 120
6.220% due 06/01/2030 209 205
Mortgage Capital Funding, Inc.
6.330% due 10/18/2007 21,345 20,895
Nomura Asset Securities Corp.
6.630% due 01/25/2009 463 460
Norwest Asset Securities Corp.
6.500% due 04/25/2028 1,415 1,374
6.500% due 01/25/2029 6,000 5,623
PNC Mortgage Securities Corp.
6.500% due 02/25/2028 5,847 5,808
6.750% due 05/25/2028 4,777 4,723
7.750% due 07/25/2030 60,352 60,239
Prudential Bache
6.710% due 09/01/2018 (d) 22 21
8.400% due 03/20/2021 3,319 3,400
Prudential Home Mortgage Securities
7.500% due 09/25/2007 824 829
7.000% due 01/25/2008 10,000 9,932
6.750% due 11/25/2008 4,941 4,790
7.000% due 06/25/2023 3,014 2,992
6.050% due 04/25/2024 113 112
6.000% due 05/25/2024 1 1
Resecuritization Mortgage Trust
6.870% due 04/26/2021 (d) 9,452 9,263
Residential Accredit Loans, Inc.
6.500% due 02/25/2029 24,140 23,197
7.000% due 07/25/2029 541 533
Residential Asset Securitization Trust
6.500% due 09/25/2014 441 427
Residential Funding Mortgage Securities, Inc.
6.500% due 06/25/2008 176 176
6.500% due 04/25/2009 22 22
5.880% due 07/01/2019 (d) 752 717
7.500% due 08/25/2023 497 498
7.100% due 07/25/2027 4,220 4,200
7.000% due 10/25/2027 10,000 9,451
7.250% due 10/25/2027 17,582 17,526
6.250% due 11/25/2028 6,000 5,432
Resolution Trust Corp.
8.630% due 10/25/2021 10,337 10,297
5.970% due 10/25/2021 435 412
6.940% due 10/25/2021 (d) 68 67
6.900% due 02/25/2027 3,338 3,077
9.000% due 09/25/2028 134 135
7.350% due 10/25/2028 (d) 87 86
102 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Ryland Mortgage Securities Corp.
7.040% due 11/25/2021 $ 664 $ 654
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 368 370
7.160% due 12/25/2017 (d) 1,525 1,532
9.060% due 03/25/2024 (d) 995 1,002
Shearson Lehman
9.600% due 03/25/2021 280 279
Structured Asset Mortgage Investments, Inc.
6.910% due 06/25/2028 (d) 6,413 6,241
9.040% due 06/25/2029 (d) 8,097 8,340
6.580% due 06/25/2029 (d) 29,963 28,724
6.750% due 05/02/2030 4,141 4,024
Structured Asset Securities Corp.
6.750% due 07/25/2029 15,441 15,228
7.750% due 07/25/2030 29,087 29,331
TMA Mortgage Funding Trust
7.000% due 01/25/2029 (d) 10,131 10,131
Torrens Trust
6.880% due 07/15/2031 (d) 6,706 6,706
Union Planters Mortgage Finance Corp.
6.450% due 01/25/2028 6,000 5,909
---------
648,685
=========
Federal Home Loan Mortgage Corporation 1.3%
5.750% due 01/15/2008 4,521 4,471
6.000% due 09/01/2006-03/01/2011 (h) 9,602 9,318
6.500% due 02/01/2005-10/01/2028 (h) 1,160 1,150
6.750% due 06/15/2019 4,062 4,047
6.870% due 10/01/2027 (d) 1,086 1,067
7.000% due 01/01/2017 (d) 39 39
7.380% due 11/01/2022 (d) 1,609 1,643
7.390% due 10/01/2023 (d) 1,008 1,029
7.430% due 11/01/2023 (d) 578 590
7.500% due 09/01/2006-01/01/2024 (d)(h) 2,121 2,160
7.550% due 02/01/2020 (d) 2,164 2,189
7.840% due 03/01/2024 (d) 74 77
7.890% due 01/01/2024 (d) 809 833
7.910% due 06/01/2024 (d) 640 657
8.000% due 07/01/2006-12/01/2024 (h) 5,081 5,177
8.240% due 09/01/2023 (d) 257 263
8.250% due 10/01/2007-11/01/2007 (h) 25 25
8.420% due 12/01/2022 (d) 639 656
8.500% due 07/01/2001-11/01/2025 (h) 12,535 12,912
8.510% due 07/01/2018 (d) 252 258
8.750% due 02/01/2001-04/01/2002 (h) 20 20
9.000% due 05/01/2002-08/01/2022 (h) 3,026 3,136
9.250% due 07/01/2001 2 2
9.500% due 03/01/2001-02/01/2025 (h) 247 253
9.750% due 03/01/2001-11/01/2008 (h) 618 634
10.000% due 04/01/2001-10/01/2019 (h) 76 80
10.500% due 10/01/2000-02/01/2016 (h) 31 32
10.750% due 09/01/2009-08/01/2011 (h) 314 338
11.500% due 10/01/2015-01/01/2016 (h) 43 48
11.750% due 11/01/2010-08/01/2015 (h) 12 14
12.000% due 09/01/2013 2 2
14.000% due 09/01/2012-04/01/2016 (h) 11 11
14.500% due 12/01/2010 3 3
15.000% due 08/01/2011-12/01/2011 (h) 3 4
15.500% due 11/01/2011 0 0
16.000% due 04/01/2012 0 0
---------
53,138
=========
Federal Housing Administration 1.0%
6.950% due 04/01/2014 2,084 1,915
7.400% due 02/01/2019 93 91
7.420% due 11/01/2019 525 515
7.430% due 10/01/2019-07/01/2024 (h) 41,082 40,942
---------
43,463
=========
Federal National Mortgage Association 5.8%
6.000% due 05/01/2011-12/25/2020 (h) 189 185
6.320% due 08/01/2029 19,176 18,204
6.450% due 04/01/2018 (d) 6,233 6,102
6.500% due 06/01/2008 14 13
6.780% due 01/01/2021 (d) 400 396
7.000% due 04/01/2002-05/01/2012 (h) 305 304
7.140% due 11/01/2018 (d) 156 157
7.230% due 04/25/2022 (d) 187 189
7.260% due 07/01/2017 (d) 490 496
7.270% due 11/01/2017 (d) 302 303
7.800% due 01/01/2024 (d) 2,100 2,158
7.850% due 01/01/2024 (d) 28 29
7.910% due 04/01/2024 (d) 1,952 2,004
8.000% due 03/01/2004-10/16/2030 (h) 148,062 150,005
8.290% due 10/01/2024 (d) 3,580 3,700
8.500% due 03/01/2008-10/16/2030 (h) 51,528 52,785
8.700% due 07/01/2023 (d) 1,262 1,297
9.000% due 01/01/2025 4 4
9.500% due 07/01/2024-11/01/2025 (h) 3,696 3,828
10.000% due 02/01/2004-01/01/2025 (h) 1,142 1,194
10.500% due 06/01/2005-12/01/2024 (h) 163 172
11.000% due 11/01/2020 45 49
11.250% due 12/01/2010-10/01/2015 (h) 140 152
11.500% due 12/01/2008-02/01/2020 (h) 64 71
11.750% due 02/01/2016 36 39
12.000% due 01/01/2015-10/01/2015 (h) 6 6
12.750% due 03/01/2014 25 28
13.000% due 07/01/2015 8 9
13.250% due 09/01/2011 13 15
13.500% due 04/01/2014 3 4
15.500% due 10/01/2012-12/01/2012 (h) 56 64
15.750% due 12/01/2011 25 29
16.000% due 09/01/2012-12/01/2012 (h) 11 14
---------
244,005
=========
Government National Mortgage Association 17.7%
6.380% due 05/20/2027 (d) 1,583 1,594
6.500% due 05/15/2023-10/21/2029 (h) 84,534 81,421
6.750% due 08/20/2022-07/20/2027 (d)(h) 75,246 75,919
7.000% due 03/15/2011-10/23/2030 (h) 56,341 55,788
7.130% due 10/20/2023-12/20/2027 (d)(h) 53,892 54,288
7.380% due 04/20/2016-06/20/2027 (d)(h) 40,882 41,200
7.500% due 02/15/2022-10/23/2030 (h) 90,147 90,416
8.000% due 07/15/2004-10/23/2030 (h) 277,487 282,249
8.500% due 04/15/2022-10/23/2030 (h) 62,938 64,684
9.000% due 03/15/2017 14 15
9.500% due 10/15/2016-06/15/2025 (h) 123 129
9.750% due 07/15/2013-10/15/2017 (h) 511 535
10.000% due 10/15/2013-11/15/2025 (h) 129 137
10.500% due 11/15/2019-02/15/2021 (h) 16 17
11.000% due 09/15/2010 8 9
11.500% due 08/15/2018 37 41
11.750% due 08/15/2013-08/15/2015 (h) 56 61
12.000% due 06/20/2015 8 9
12.250% due 01/15/2014 36 40
13.000% due 10/15/2013 6 6
13.500% due 05/15/2011-11/15/2012 (h) 22 27
16.000% due 12/15/2011-04/15/2012 (h) 27 31
---------
748,616
=========
Other Mortgage-Backed Securities 0.3%
First Boston Mortgage Securities Corp.
8.300% due 08/20/2009 3 3
Glendale Federal Savings & Loan
11.000% due 03/01/2010 16 16
Home Savings of America
6.100% due 05/25/2027 (d) 1,177 1,147
Imperial Savings & Loan
8.850% due 07/25/2017 (d) 31 30
9.900% due 02/25/2018 383 379
Resolution Trust Corp.
6.700% due 05/25/2019 (d) 3,312 3,302
6.860% due 08/25/2019 (d) 2,788 2,789
10.300% due 08/25/2021 (d) 402 400
6.050% due 10/25/2028 (d) 1,797 1,851
7.200% due 05/25/2029 (d) 2,127 2,125
Salomon Brothers Mortgage Securities
8.140% due 12/25/2017 (d) 133 133
Sears Mortgage
12.000% due 02/25/2014 57 59
7.430% due 10/25/2022 (d) 1,770 1,790
---------
14,024
=========
2000 Semi-Annual Report See accompanying notes 103
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Stripped Mortgage-Backed Securities 0.3%
Federal Home Loan Mortgage Corp. (IO)
6.000% due 02/15/2006 $ 350 $ 5
9.980% due 07/15/2006 7 37
10.190% due 08/15/2006 3 20
11.940% due 12/15/2006 8 55
6.000% due 10/15/2007 398 14
6.000% due 02/15/2008 1,555 57
7.000% due 08/15/2018 5,516 374
7.000% due 04/15/2019 327 4
6.500% due 05/15/2019 4,111 227
6.500% due 06/15/2019 1,849 117
10.500% due 04/15/2021 13 149
6.500% due 04/15/2022 2,582 273
7.000% due 05/15/2023 324 42
4.000% due 01/15/2024 20,919 4,502
Federal National Mortgage Association (IO)
7.270% due 09/25/2006 32 176
6.000% due 02/25/2008 2,147 98
256.000% due 11/01/2008 22 107
6.500% due 03/25/2009 3,825 371
0.100% due 03/25/2009 (d) 16,057 273
6.500% due 03/25/2009 1,362 140
6.920% due 07/25/2017 2,313 2,299
7.500% due 03/25/2019 2,029 148
6.500% due 05/25/2019 8,730 624
6.500% due 04/25/2020 6,447 360
7.000% due 05/25/2021 3,909 281
8.600% due 02/25/2022 19 272
6.500% due 03/25/2023 3,322 372
4.880% due 03/25/2024 (d) 6,455 271
Federal National Mortgage Association (PO)
0.000% due 09/25/2022 26 22
Prudential Home Mortgage Securities (IO)
0.300% due 04/25/2009 (d) 49,173 312
---------
12,002
---------
Total Mortgage-Backed Securities 1,763,933
(Cost $1,770,729) =========
-------------------------------------------------------------------
ASSET-BACKED SECURITIES 6.2%
-------------------------------------------------------------------
Advanta Mortgage Loan Trust
7.760% due 05/25/2018 21,700 21,935
Allied Waste Industries, Inc.
9.440% due 07/30/2006 11,364 11,026
9.750% due 07/30/2007 (d) 1,818 1,764
9.690% due 07/30/2007 (d) 11,819 11,468
Amresco Residential Securities
Mortgage Loan Trust
6.810% due 07/25/2027 (d) 71 71
AT&T Universal Card Master Trust
5.950% due 10/17/2002 4,000 4,001
Bombardier Capital Mortgage
6.610% due 09/15/2010 8,587 8,544
Capital Asset Research Funding LP
6.400% due 12/15/2004 65 66
CIT Marine Trust
5.800% due 04/15/2010 200 196
Citicorp Mortgage Securities, Inc.
6.750% due 05/25/2028 6,266 5,909
CMC Securities Corp. IV
7.250% due 11/25/2027 8,724 8,593
Community Program Loan Trust
4.500% due 10/01/2018 15,756 14,136
Compucredit Credit Card Trust
6.850% due 03/15/2007 (d) 32,000 32,000
Duck Auto Grantor Trust
5.650% due 03/15/2004 6,067 5,998
Empire Funding Home Loan Owner Trust
6.590% due 05/25/2014 5,438 5,413
Federal-Mogul Corp.
8.700% due 12/31/2005 (d) 14 12
GF Funding Corp.
6.890% due 01/20/2006 20,503 20,372
Green Tree Financial Corp.
6.550% due 02/15/2027 12,387 12,316
7.400% due 06/15/2027 11,748 11,834
Green Tree Home Improvement Loan Trust
6.320% due 08/15/2008 6,753 6,748
IMC Home Equity Loan Trust
6.840% due 10/20/2027 (d) 4,336 4,338
Irwin Home Equity
7.460% due 09/15/2030 18,321 18,343
Merit Securities Corp.
7.040% due 12/28/2033 22,674 22,578
MGM Grand Term Loan
7.870% due 05/06/2001 (d) 8,865 8,844
New York City Tax Lien
6.350% due 07/10/2007 7,395 7,311
Oakwood Mortgage Investors, Inc.
6.950% due 08/15/2027 4,735 4,713
Option One Mortgage Loan Trust
6.910% due 09/25/2030 (d) 5,978 5,978
Prudential Home Mortgage Securities
7.000% due 08/25/2009 4,000 3,994
Saxon Asset Securities Trust
7.210% due 01/25/2019 275 275
6.850% due 05/25/2029 (d) 1,744 1,746
Stone Container Corp.
10.190% due 10/01/2003 2,363 2,371
---------
Total Asset-Backed Securities 262,893
(Cost $264,398) =========
-------------------------------------------------------------------
SOVEREIGN ISSUES 2.0%
-------------------------------------------------------------------
Central Bank Philippines
7.940% due 06/01/2008 (d) 2,993 2,679
Hydro-Quebec
9.000% due 03/07/2001 10,000 10,073
Nacional Financiera
10.630% due 11/22/2001 7,500 7,740
8.570% due 05/08/2003 (d) 5,000 5,078
Province of Quebec
6.380% due 10/25/2001 (d) 250 249
Republic of Brazil
7.380% due 04/15/2006 2,325 2,194
Republic of Argentina
11.600% due 04/10/2005 (d) 1,400 1,302
Republic of Brazil
7.880% due 01/01/2001 (d) 1,181 1,181
7.380% due 04/15/2006 (d) 4,278 4,027
Republic of Philippines
7.810% due 01/05/2005 (d) 1,800 1,699
7.940% due 12/01/2009 (d) 15,352 13,356
United Mexican States
5.820% due 06/28/2001 10,500 10,382
10.500% due 04/07/2004 (d) 14,730 15,290
10.020% due 04/07/2004 (d) 1,800 1,872
9.780% due 04/07/2004 (d) 5,000 5,190
---------
Total Sovereign Issues 82,312
(Cost $82,398) =========
-------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.7%
-------------------------------------------------------------------
British Telecom PLC
4.730% due 07/27/2001 (d) EC 16,000 14,112
Korea Development Bank
4.800% due 05/14/2001 (d) DM 340 152
2.700% due 08/16/2002 JY 2,000,000 19,045
Republic of Austria
5.500% due 01/15/2010 (j) EC 8,900 7,799
Republic of Colombia
7.000% due 03/06/2002 IL 36,220,000 15,866
United Mexican States
6.000% due 03/28/2002 JY 960,000 9,494
8.750% due 05/30/2002 BP 3,000 4,493
---------
Total Foreign Currency-Denominated
Issues 70,961
(Cost $74,194) =========
104 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.0%
-------------------------------------------------------------------
Utilities 0.0%
Alliant Energy Resources, Inc.
4.910% due 01/01/2000 $ 2,000 $ 121
------------
Total Convertible Bonds & Notes 121
(Cost $136) ============
-------------------------------------------------------------------
PREFERRED STOCK 1.9%
-------------------------------------------------------------------
Shares
Home Ownership Funding
13.331% due 12/31/2049 3,000 2,291
Rhone-Poulenc SA
8.125% due 12/31/2049 13,000 292
SI Financing Trust
9.500% due 06/30/2026 806,600 20,316
TCI Communications, Inc.
9.720% due 12/31/2036 224,700 5,842
8.720% due 01/31/2045 1,170,100 29,253
10.000% due 05/31/2045 800,300 20,258
------------
Total Preferred Stock 78,252
(Cost $83,777) ============
-------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 2.5%
-------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 2.4%
Anz, Inc.
6.480% due 11/07/2000 $ 200 199
CDC
6.570% due 11/29/2000 3,000 2,967
Edison Midwest
6.720% due 10/18/2000 9,200 9,172
6.750% due 11/01/2000 850 845
General Electric Capital Corp.
6.520% due 01/19/2001 22,500 22,060
Houston Industries
6.770% due 10/18/2000 5,000 4,985
Ingersoll-Rand Co.
6.680% due 10/02/2000 8,300 8,300
International Paper Co.
6.720% due 11/07/2000 13,700 13,608
Motorola, Inc.
6.480% due 12/26/2000 10,500 10,334
Nabisco, Inc.
6.700% due 10/18/2000 5,700 5,683
Pearson
6.730% due 10/25/2000 3,000 2,987
Sumitomo Bank
6.700% due 10/18/2000 6,600 6,580
Texas Utilities Co.
6.700% due 10/18/2000 11,900 11,865
------------
99,585
============
Repurchase Agreements 0.1%
State Street Bank
5.850% due 10/02/2000 2,444 2,444
------------
(Dated 9/29/2000. Collateralized by
Federal National Mortgage Association
6.100% due 08/10/2001 valued at $2,495.
Repurchase proceeds are $2,445.)
U.S. Treasury Bills (b) 0.0%
5.930% due 02/01/2001 140 137
------------
Total Short-Term Instruments 102,166
(Cost $102,173) ============
Total Investments (a) 125.9% $ 5,309,953
(Cost $5,347,094)
Value
(000s)
-------------------------------------------------------------------
Written Options (c) (0.0%) (1,370)
(Premiums $3,819)
Other Assets and Liabilities (Net) (25.9%) (1,091,075)
------------
Net Assets 100.0% $ 4,217,508
============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 20,659
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (57,800)
------------
Unrealized depreciation-net $ (37,141)
============
(b) Securities with an aggregate market value of
$7,997 have been segregated with the custodian to
cover margin requirements for the following open
futures contracts at September 30, 2000:
# of Unrealized
Type Contracts Appreciation
--------------------------------------------------------------------
U.S. Treasury 10 Year Note (12/2000) 51 $ 0
EuroBond 10 Year Note Written Put Options
(11/2000) 1,714 524
------------
$ 524
============
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------
Put - CME Eurodollar December
Futures
Strike @ 93.00 Exp. 12/18/2000 1,875 $ 1,934 $ 47
Put - CME Eurodollar March Futures
Strike @ 92.75 Exp. 03/19/2001 594 254 22
Call - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 1,468 380 1,082
Put - CME Eurodollar March Futures
Strike @ 92.25 Exp. 03/19/2001 781 468 10
Put - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 341 343 64
Put - CME Eurodollar March Futures
Strike @ 93.50 Exp. 03/19/2001 341 440 145
------------------------
$ 3,819 $ 1,370
========================
2000 Semi-Annual Report See accompanying notes 105
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 2000 (Unaudited)
---------------------------------------------------------------------------
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
---------------------------------------------------------------------------
Sell EC (18,911) 10/2000 $ 523
Buy 124,700 11/2000 2,119
Sell BP (3,283) 10/2000 (65)
Sell JY (3,095,172) 10/2000 151
Buy 581,184 10/2000 (1)
Sell (581,184) 11/2000 (0)
Buy PZ 20,000 02/2001 (74)
-----------
$ 2,653
===========
(f) Principal amount denoted in indicated currency:
BP - British Pound
EC - Euro
JY - Japanese Yen
PZ - Polish Zloty
(g) Swap agreements outstanding at September 30, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
--------------------------------------------------------------------------
Receive a fixed rate equal to 9.250% and pay a
fixed rate equal to 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 $ (69)
Receive a fixed rate equal to 9.250% and pay a
fixed rate equal to 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 (107)
Receive fixed rate equal to 0.430% and the Fund
will pay to the counterparty at par in the event
of default of Time Warner, Inc. 7.750% due
06/15/2005.
Broker: Lehman Brothers
Exp. 07/11/2003 20,000 1
Receive fixed rate equal to 0.510% and the Fund
will pay to the counterparty at par in the event
of default of Time Warner, Inc. 7.750% due
06/15/2005.
Broker: Lehman Brothers
Exp. 01/25/2005 5,000 0
Receive fixed rate equal to 0.230% and the Fund
will pay to the counterparty at par in the event
of default of Associates Corp. 6.000% due
04/15/2003.
Broker: Warburg Dillon Read LLC
Exp. 01/14/2003 43,000 1
Receive floating rate based on 3-month Canadian
Bank Bill and pay a fixed rate equal to 6.302%.
Broker: Goldman Sachs
Exp. 07/13/2010 C$ 30,000 (193)
----------
$ (367)
==========
--------------------------------------------------------------------------
Fixed
Rate Notional Unrealized
Type (%) Amount Appreciation
--------------------------------------------------------------------------
Receive the 10-year Swap Spread and pay a fixed
spread. The 10-year Swap Spread is the
difference between the 10-year Swap Rate and the
10-year Treasury Rate.
Broker: Goldman Sachs
Exp. 02/15/2005 0.8675 $ 49,000 $ 493
(h) Securities are grouped together by coupon or range of
coupons and represent a range of maturities.
(i) Principal amount of the security is adjusted for inflation.
(j) Subject to financing transaction.
106 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Low Duration Fund II
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
CORPORATE BONDS & NOTES 48.4%
-------------------------------------------------------------------
Banking & Finance 42.0%
Associates Corp. of North America
6.750% due 07/15/2001 $ 20,000 $ 20,003
5.750% due 11/01/2003 400 388
Bear Stearns Co., Inc.
7.010% due 12/16/2002 (d) 10,000 10,011
Beneficial Corp.
6.213% due 04/02/2002 (d) 3,000 3,002
Chrysler Financial Co. LLC
6.740% due 06/18/2003 10,000 9,997
CIT Group, Inc.
6.200% due 10/20/2000 5,400 5,399
7.375% due 03/15/2003 18,000 18,146
Countrywide Home Loans
6.850% due 06/15/2004 1,000 990
Donaldson, Lufkin & Jenrette, Inc.
7.250% due 07/18/2003 (d) 4,700 4,712
First Union Corp.
7.550% due 08/18/2005 38,000 38,492
Ford Motor Credit Corp.
6.993% due 07/16/2002 (d) 13,000 13,028
7.750% due 11/15/2002 1,700 1,728
5.750% due 02/23/2004 1,000 955
6.700% due 07/16/2004 900 882
7.173% due 07/18/2005 (d) 12,300 12,321
General Electric Capital Corp.
5.890% due 05/11/2001 800 796
General Motors Acceptance Corp.
7.125% due 05/01/2001 4,000 4,006
6.625% due 01/10/2002 4,000 3,979
5.875% due 01/22/2003 4,000 3,908
7.625% due 05/05/2003 1,100 1,118
6.861% due 08/18/2003 (d) 15,150 15,113
8.950% due 07/02/2009 11,843 12,337
Goldman Sachs Group
6.600% due 07/15/2002 1,500 1,492
6.963% due 01/17/2003 (d) 4,000 4,005
Heller Financial, Inc.
7.115% due 07/24/2002 (d) 15,000 15,022
Hitachi Credit America
6.100% due 04/24/2001 20,000 19,913
Household Finance Corp.
6.700% due 06/15/2002 2,525 2,516
Lehman Brothers Holdings, Inc.
7.190% due 04/02/2002 (d) 9,400 9,484
7.352% due 05/07/2002 (d) 5,200 5,232
Metropolitan Life Insurance Co.
6.300% due 11/01/2003 10,000 9,776
Morgan Stanley, Dean Witter, Discover
and Co.
6.970% due 08/07/2003 (d) 2,400 2,402
Sears Roebuck Acceptance
6.720% due 10/23/2002 20,000 19,810
Wachovia Corp.
7.261% due 05/02/2005 (d) 10,000 9,990
Wells Fargo & Co.
7.221% due 05/02/2005 (d) 9,600 9,597
Westdeutsche Landesbank
6.750% due 06/15/2005 5,000 4,917
-----------
295,467
===========
Industrials 5.4%
Cargill, Inc.
6.871% due 01/14/2002 (d) 5,000 5,004
Caterpillar, Inc.
9.750% due 06/01/2019 3,871 4,053
Philip Morris Cos., Inc.
9.000% due 01/01/2001 8,316 8,337
Premium Asset Trust
7.029% due 09/08/2007 20,000 19,950
Procter & Gamble Co.
5.250% due 09/15/2003 400 384
Times Mirror Co.
6.650% due 10/15/2001 200 199
-----------
37,927
===========
Utilities 1.0%
AT&T Corp.
5.125% due 04/01/2001 900 892
DTE Capital Corp.
6.170% due 06/15/2038 5,000 4,887
Southern California Gas Co.
5.670% due 01/18/2028 1,000 966
------------
6,745
------------
Total Corporate Bonds & Notes 340,139
(Cost $339,397) ============
-------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.5%
-------------------------------------------------------------------
Federal Home Loan Bank
5.625% due 03/19/2001 (b) 13,800 13,740
5.135% due 09/22/2003 400 384
Federal National Mortgage Association
7.500% due 02/11/2002 175 177
5.700% due 01/22/2003 1,500 1,473
6.500% due 08/15/2004 100 100
6.625% due 09/15/2009 1,985
------------
Total U.S. Government Agencies 17,859
(Cost $17,839) ============
-------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 1.1%
-------------------------------------------------------------------
Treasury Inflation Protected Securities (e)
3.625% due 07/15/2002 (b) 4,634 4,632
3.625% due 01/15/2008 1,175 1,148
3.875% due 01/15/2009 2,000 1,983
------------
Total U.S. Treasury Obligations 7,763
(Cost $7,759) ============
-------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 56.6%
-------------------------------------------------------------------
Collateralized Mortgage Obligations 20.7%
Citicorp Mortgage Securities, Inc.
6.920% due 08/25/2027 1 1
CMC Securities Corp.
8.297% due 04/25/2025 (d) 1,543 1,562
Criimi Mae Financial Corp.
7.000% due 01/01/2033 10,928 10,784
DLJ Mortgage Acceptance Corp.
8.618% due 05/25/2024 (d) 533 545
Federal Home Loan Mortgage Corp.
12.900% due 05/01/2014 126 138
9.250% due 10/25/2018 65 68
6.000% due 05/15/2022 4,970 4,904
6.500% due 08/15/2023 7,495 7,428
7.500% due 08/15/2028 1,657 1,632
7.500% due 09/01/2030 10,000 10,002
7.120% due 09/30/2030 14,364 14,363
Federal National Mortgage Association
6.150% due 09/25/2016 3,036 3,004
8.000% due 11/25/2023 4,054 4,154
General Electric Capital Mortgage Services, Inc.
6.750% due 12/25/2012 2,629 2,610
Government National Mortgage Association
7.130% due 09/20/2030 (d) 20,000 19,996
1.000% due 09/20/2030 (d) 3,500 3,499
Nationslink Funding Corp.
6.985% due 04/10/2007 (d) 1,038 1,039
7.030% due 01/20/2008 191 191
Norwest Asset Securities Corp.
6.750% due 12/25/2027 2,443 2,391
PNC Mortgage Securities Corp.
7.750% due 07/25/2030 8,283 8,268
Residential Funding Mortgage
Securities, Inc.
7.500% due 10/25/2022 757 750
Resolution Trust Corp.
7.338% due 10/25/2028 (d) 2,798 2,759
Structured Asset Mortgage Investments, Inc.
9.043% due 06/25/2029 (d) 8,696 8,957
6.750% due 05/02/2030 8,269 8,035
2000 Semi-Annual Report See accompanying notes 107
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund II
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
Structured Asset Securities Corp.
6.750% due 07/25/2029 $ 4,910 $ 4,850
7.750% due 07/25/2030 10,471 10,557
Union Planters Mortgage Finance Corp.
6.600% due 01/25/2028 13,000 12,791
----------
145,278
==========
Federal Home Loan Mortgage Corporation 0.3%
6.500% due 06/01/2001-07/15/2017 (f) 635 630
7.043% due 07/01/2023 (d) 490 504
8.000% due 07/01/2024 290 296
8.500% due 06/01/2009-06/01/2025 (f) 406 416
10.500% due 09/01/2015 9 9
----------
1,855
==========
Federal Housing Administration 3.6%
7.200% due 05/01/2009 1,716 1,732
7.430% due 07/01/2024 23,871 23,638
----------
25,370
==========
Federal National Mortgage Association 12.0%
6.217% due 11/01/2027-09/01/2028 (d)(f) 2,603 2,552
7.500% due 08/01/2029-09/01/2029 (f) 5,123 5,118
7.661% due 01/01/2024 (d) 831 846
8.000% due 12/01/2099 52,000 52,683
8.500% due 12/01/2099 22,000 22,536
10.500% due 05/01/2012 663 711
----------
84,446
==========
Government National Mortgage Association 19.6%
6.375% due 04/20/2022-05/20/2027(d)(f) 12,765 12,861
6.500% due 08/15/2023-12/15/2099(d)(f) 13,261 12,992
6.750% due 07/20/2023 (d) 6,684 6,752
7.000% due 03/15/2022-11/15/2023 (f) 17,524 17,331
7.125% due 10/20/2025 (d) 8,639 8,700
7.500% due 02/15/2022-12/15/2099 (f) 6,010 6,047
8.000% due 03/15/2023-12/20/2099 (f) 46,457 47,163
8.500% due 12/31/2099 25,000 25,695
9.000% due 07/20/2016-12/20/2017 (f) 442 459
----------
138,000
==========
Other Mortgage-Backed Securities 0.4%
American Southwest Financial Securities Corp.
7.500% due 10/01/2018 483 481
Guardian Savings & Loan Assn.
7.775% due 07/25/2019 (d) 50 49
Resolution Trust Corp.
6.696% due 05/25/2019 (d) 720 718
Ryland Acceptance Corp.
14.000% due 11/25/2031 67 70
Salomon Brothers Mortgage Securities
8.401% due 11/25/2022 (d) 812 817
Sears Mortgage
7.431% due 10/25/2022 (d) 738 746
----------
2,881
----------
Total Mortgage-Backed Securities 397,830
(Cost $398,729) ==========
-------------------------------------------------------------------
ASSET-BACKED SECURITIES 6.7%
-------------------------------------------------------------------
Bay View Auto Trust
6.880% due 02/15/2003 5,147 5,153
Countrywide Asset-Backed Certificates
7.230% due 03/25/2031 (d) 89 89
Countrywide Home Equity Loan Trust
6.866% due 08/15/2025 (d) 7,741 7,747
Embarcadero Aircraft Securitization Trust
7.100% due 08/15/2025 (d) 3,200 3,200
First Alliance Mortgage Loan Trust
7.000% due 03/20/2031 (d) 12,297 12,304
Green Tree Financial Corp.
6.750% due 07/15/2025 82 82
Novastar Home Equity Loan
6.900% due 01/25/2031 (d) 8,400 8,397
The Money Store Home Equity Trust
6.490% due 10/15/2026 10,000 9,956
----------
Total Asset-Backed Securities 46,928
(Cost $47,067) ==========
-------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.0%
-------------------------------------------------------------------
Utilities 0.0%
Alliant Energy Resources, Inc.
7.250% due 02/15/2030 $ 200 $ 13
----------
Total Convertible Bonds & Notes 13
(Cost $14) ==========
-------------------------------------------------------------------
PREFERRED SECURITY 0.7%
-------------------------------------------------------------------
Shares
DG Funding Trust
9.030% due 12/29/2049 510 5,113
----------
Total Preferred Security 5,113
(Cost $5,100) ==========
-------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 5.9%
-------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 4.2%
Alcoa, Inc.
6.450% due 12/21/2000 $ 800 789
Conagra, Inc.
6.680% due 10/27/2000 1,600 1,593
DaimlerChrysler Holdings
6.500% due 12/13/2000 400 395
Dominion Resources, Inc.
6.710% due 10/18/2000 1,700 1,695
Edison Mission Midwest Holdings
6.750% due 11/01/2000 1,400 1,392
Infinity Broadcasting Corp.
6.710% due 11/15/2000 8,500 8,430
Ingersoll-Rand Co.
6.700% due 11/01/2000 8,600 8,552
Sprint Capital Corp.
6.700% due 10/25/2000 4,500 4,483
6.720% due 11/08/2000 2,400 2,383
----------
29,712
==========
Repurchase Agreement 1.7%
State Street Bank
5.850% due 10/02/2000 12,108 12,108
(Dated 9/29/2000. Collateralized by
Federal Home Loan Bank
7.025% due 03/06/2002 valued at $12,354.
Repurchase proceeds are $12,114.)
----------
Total Short-Term Instruments 41,820
(Cost $41,820) ==========
Total Investments (a) 121.9% $ 857,465
(Cost $857,725)
Written Options (c) (0.0%) (83)
(Premiums $357)
Other Assets and Liabilities (Net) (21.9%) (154,145)
----------
Net Assets 100.0% $ 703,237
==========
108 PIMCO Funds See accompanying notes
<PAGE>
-------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, the net unrealized
appreciation (depreciation) of investments based on
cost for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 3,325
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (3,585)
--------
Unrealized depreciation-net $ (260)
========
(b) Subject to financing transaction.
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 385 $ 289 $ 10
Put - CME Eurodollar March Futures
Strike @ 92.75 Exp. 03/19/2001 85 34 3
Call - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 97 34 70
--------------------
$ 357 $ 83
====================
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Principal amount of security is adjusted for inflation.
(f) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
2000 Semi-Annual Report See accompanying notes 109
<PAGE>
Schedule of Investments
Low Duration Fund III
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------
CORPORATE BONDS & NOTES 63.2%
-------------------------------------------------------------------
Banking & Finance 16.6%
Bank of America Corp.
8.125% due 02/01/2002 $ 1,000 $ 1,014
CIT Group, Inc.
6.810% due 09/13/2002 (d) 400 400
General Motors Acceptance Corp.
6.840% due 01/08/2002 (d) 1,000 1,004
7.090% due 07/21/2004 (d) 200 200
Goldman Sachs Group
6.200% due 12/15/2000 500 499
7.090% due 02/18/2002 (d) 665 669
Korea Development Bank
7.625% due 10/01/2002 1,000 1,001
Salomon, Smith Barney Holdings
6.900% due 05/14/2002 (d) 325 325
Spieker Properties LP - REITS
7.580% due 12/17/2001 1,000 1,003
---------
6,115
=========
Industrials 17.7%
Cargill, Inc.
6.420% due 01/14/2002 (d) 1,000 1,001
Coastal Corp.
7.290% due 03/01/2002 (d) 1,000 1,000
Cox Communications, Inc.
7.000% due 08/15/2001 1,500 1,492
TRW, Inc.
6.450% due 06/15/2001 1,000 993
Xerox Corp.
7.115% due 10/23/2001 (d) 2,000 2,006
---------
6,492
=========
Utilities 28.9%
Arizona Public Service
5.875% due 02/15/2004 2,000 1,910
Commonwealth Edison
6.720% due 06/15/2002 (d) 500 500
Gulf States Utilities
6.410% due 08/01/2001 1,000 993
Niagara Mohawk Power
7.125% due 07/01/2001 756 756
North Atlantic Energy
9.050% due 06/01/2002 1,354 1,368
Philadelphia Electric
6.500% due 05/01/2003 1,500 1,477
Telekomunikacja Polska SA
7.125% due 12/10/2003 1,000 978
Triton Energy Ltd.
8.750% due 04/15/2002 1,000 1,033
WorldCom, Inc.
6.125% due 08/15/2001 1,600 1,590
---------
10,605
---------
Total Corporate Bonds & Notes 23,212
(Cost $23,130) =========
-------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 3.4%
-------------------------------------------------------------------
Treasury Inflation Protected Securities (h)
3.625% due 07/15/2002 (b) 216 215
3.625% due 01/15/2008 427 418
3.875% due 01/15/2009 631 626
---------
Total U.S. Treasury Obligations 1,259
(Cost $1,267) =========
-------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 52.4%
-------------------------------------------------------------------
Collateralized Mortgage Obligations 16.2%
GMAC Commercial Mortgage Securities, Inc.
6.570% due 09/15/2033 $ 924 $ 908
Independent National Mortgage Corp.
7.250% due 11/25/2010 1,000 1,003
PNC Mortgage Securities Corp.
7.750% due 08/25/2030 585 584
Prudential Home Mortgage Securities
7.500% due 08/25/2024 945 935
Residential Funding Mortgage Securities, Inc.
7.750% due 11/25/2026 1,000 1,014
Structured Asset Securities Corp.
6.750% due 07/25/2029 1,544 1,525
---------
5,969
=========
Federal Home Loan Mortgage Corporation 0.3%
8.750% due 10/01/2001 113 114
---------
Federal National Mortgage Association 9.7%
8.000% due 12/01/2099 2,500 2,533
8.500% due 12/01/2099 1,000 1,024
---------
3,557
=========
Government National Mortgage Association 26.2%
6.500% due 12/15/2099 1,000 963
7.000% due 05/20/2030 (d) 1,979 1,983
7.375% due 06/20/2027 (d) 610 614
7.500% due 12/20/2099 500 499
8.000% due 12/15/2099-12/20/2099 (g) 3,900 3,957
8.500% due 10/20/2026-06/20/2027 (g) 1,583 1,622
---------
9,638
---------
Total Mortgage-Backed Securities 19,278
(Cost $19,325) =========
-------------------------------------------------------------------
ASSET-BACKED SECURITIES 3.8%
-------------------------------------------------------------------
Circuit City Credit Master Trust
6.848% due 02/15/2006 (d) 1,000 1,003
Student Loan Marketing Assn.
6.724% due 10/25/2005 (d) 388 386
---------
Total Asset-Backed Securities 1,389
(Cost $1,387) =========
-------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 2.4%
-------------------------------------------------------------------
Commercial Paper 1.3%
Anz, Inc.
6.500% due 11/28/2000 300 297
General Electric Capital Corp.
6.520% due 01/19/2001 200 196
---------
493
=========
Repurchase Agreement 1.1%
State Street Bank
5.850% due 10/02/2000 384 384
(Dated 9/29/2000. Collateralized by
Federal National Mortgage Association
6.100% due 08/10/2001 valued at $397.
Repurchase proceeds are $384.)
---------
Total Short-Term Instruments 877
(Cost $877) =========
Total Investments (a) 125.2% $ 46,015
(Cost $45,986)
Written Options (c) (0.0%) (7)
(Premiums $24)
Other Assets and Liabilities (Net) (25.2%) (9,260)
---------
Net Assets 100.0% $ 36,748
=========
110 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 175
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (146)
------
Unrealized appreciation-net $ 29
======
(b) Securities with an aggregate market value of $215
have been segregated with the custodian to cover
margin requirements for the following open futures
contracts at September 30, 2000:
# of Unrealized
Type Contracts Appreciation
--------------------------------------------------------------------------------
EuroBond 10 Year Note Written Put Options (11/2000) 16 $ 5
------
(c) Premiums received on written options:
# of
Type Contract Premium Value
--------------------------------------------------------------------------------
Put - Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 25 $ 18 $ 1
Put - Eurodollar March Futures
Strike @ 92.75 Exp. 03/19/2001 7 3 0
Call - Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 8 3 6
------ ----
$ 24 $ 7
====== ====
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Foreign forward currency contracts outstanding at September 30, 2000:
Covered by Settlement Unrealized
Type Currency Contract Month Appreciation
--------------------------------------------------------------------------------
Sell EC 29 10/2000 $ 1
Buy 1,100 11/2000 20
Sell 1,100 11/2000 0
----
$ 21
====
(f) Principal amount denoted in indicated currency:
EC - Euro
(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.
2000 Semi-Annual Report See accompanying notes 111
<PAGE>
Schedule of Investments
Short-Term Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 64.3%
--------------------------------------------------------------------------------
Banking & Finance 43.0%
Allied Irish Banks
7.028% due 09/07/2006 (d) $ 3,000 $ 3,013
Amerco, Inc.
6.890% due 10/15/2000 5,000 4,950
Banco Nacional Obra Services
9.625% due 11/15/2003 6,900 7,150
Bank One Corp.
6.410% due 01/24/2002 (d) 2,000 2,003
BankBoston Corp.
6.125% due 03/15/2002 1,000 989
Bankers Trust Corp.
6.200% due 05/11/2003 (d) 11,000 10,998
Bear Stearns Companies, Inc.
7.048% due 09/21/2004 (d) 3,900 3,896
Citigroup, Inc.
6.565% due 08/19/2003 (d) 11,040 10,814
Dime Bancorp, Inc.
6.375% due 01/30/2001 17,600 17,524
7.000% due 07/25/2001 2,400 2,389
Donaldson, Lufkin & Jenrette, Inc.
7.250% due 07/18/2003 (d) 8,000 8,021
DQE Capital Corp.
6.781% due 01/15/2002 (d) 2,000 1,999
Export-Import Bank Korea
6.500% due 02/10/2002 1,000 985
First USA Bank
6.790% due 05/15/2002 (d) 6,000 6,016
Ford Motor Credit Corp.
6.210% due 08/27/2001 (d) 6,840 6,841
6.927% due 03/19/2002 (d) 4,295 4,313
6.952% due 12/16/2002 (d) 10,000 9,975
7.110% due 06/02/2003 (d) 2,500 2,503
7.173% due 07/18/2005 (d) 10,000 10,017
General Motors Acceptance Corp.
6.840% due 01/08/2002 (d) 1,000 1,000
6.190% due 08/18/2003 (d) 16,575 16,535
Golden State Holdings
6.750% due 08/01/2001 7,000 6,893
Goldman Sachs Group
6.511% due 01/17/2003 (d) 8,000 8,011
Heller Financial, Inc.
6.980% due 04/22/2002 (d) 12,900 12,899
6.500% due 07/22/2002 1,000 989
Korea Development Bank
7.675% due 10/06/2000 (d) 2,000 2,000
7.181% due 10/18/2000 (d) 500 500
9.600% due 12/01/2000 800 803
9.450% due 03/15/2001 375 379
7.900% due 02/01/2002 900 902
7.625% due 10/01/2002 2,500 2,502
Lehman Brothers Holdings, Inc.
7.352% due 05/07/2002 (d) 3,000 3,019
6.690% due 04/04/2003 (d) 3,000 3,001
MBNA Corp.
6.741% due 03/23/2001 (d) 9,500 9,508
Merrill Lynch & Co.
6.991% due 08/01/2003 (d) 4,000 4,002
MFN Financial Corp.
7.130% due 09/13/2001 (d) 5,000 5,002
Midamerican Funding LLC
5.850% due 03/01/2001 1,000 995
Morgan Stanley, Dean Witter, Discover and Co.
6.500% due 01/28/2002 (d) 8,600 8,615
National Consumer Coop Bank
7.528% due 04/02/2001 (d) 16,000 16,013
7.513% due 10/26/2001 (d) 10,000 10,003
PaineWebber
7.290% due 07/15/2002 (d) 10,000 10,006
PP&L Capital Funding, Inc.
5.860% due 10/17/2000 24,000 23,992
Protective Life Funding Trust
7.090% due 01/17/2003 (d) 2,000 1,997
PS Colorado Credit Corp.
7.477% due 05/30/2002 (d) 2,000 1,999
Qwest Capital Funding, Inc.
6.875% due 08/15/2001 15,430 15,418
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (d) 3,265 3,226
7.010% due 07/18/2007 (d) 5,000 5,009
Transamerica Finance Corp.
6.910% due 12/14/2001 (d) 4,000 4,004
U.S. Bancorp
6.941% due 02/03/2003 (d) 3,700 3,702
--------
297,320
========
Industrials 14.9%
Air Canada
6.237% due 07/31/2005 1,818 1,672
Clear Channel Communications, Inc.
7.327% due 06/15/2002 (d) 900 902
COFIRI International, Inc.
6.502% due 10/27/2000 (d) 2,000 1,997
Columbia/HCA Healthcare
8.160% due 09/19/2002 (d) 10,000 10,000
Enron Corp.
7.250% due 09/10/2001 (d) 3,000 3,000
ICI Wilmington
9.500% due 11/15/2000 5,620 5,628
ITT Corp.
6.250% due 11/15/2000 3,000 2,995
J Seagram & Sons
5.790% due 04/15/2001 9,000 8,914
6.250% due 12/15/2001 10,300 10,189
Kroger Co.
6.340% due 06/01/2001 8,250 8,220
Lockheed Martin Corp.
6.850% due 05/15/2001 10,000 9,964
Petroleos Mexicanos
9.375% due 12/02/2008 1,000 1,030
Racers
7.118% due 03/03/2003 (d) 10,000 10,000
Raytheon Co.
7.020% due 08/10/2001 (d) 10,000 10,008
Staples, Inc.
7.670% due 11/26/2001 (d) 1,400 1,400
Time Warner, Inc.
6.100% due 12/30/2001 3,000 2,959
Tyco International Group SA
6.125% due 06/15/2001 6,074 6,020
Williams Communications Group, Inc.
7.220% due 11/15/2001 (d) 7,500 7,505
--------
102,403
========
Utilities 6.4%
Appalachian Power Co.
7.270% due 06/27/2001 (d) 900 900
Central Power & Light Co.
7.268% due 02/22/2002 (d) 2,000 1,999
Coastal Corp.
7.330% due 07/21/2003 (d) 5,000 5,012
Commonwealth Edison Co.
7.285% due 09/30/2003 (d) 2,000 2,000
Deutsche Telekom AG
7.750% due 06/15/2005 5,000 5,123
Dominion Resources, Inc.
7.310% due 09/16/2012 (d) 6,500 6,519
Indiana Michigan Power Co.
7.245% due 09/03/2002 (d) 1,000 1,000
Nevada Power Co.
7.270% due 08/20/2001 (d) 5,000 4,999
Oneok, Inc.
6.960% due 04/24/2002 (d) 5,000 5,006
Sierra Pacific Resources
7.390% due 04/20/2002 (d) 3,000 3,000
7.340% due 04/20/2003 (d) 5,000 5,003
112 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
UGI Utilities, Inc.
6.170% due 03/06/2001 $ 250 $ 249
WorldCom, Inc.
7.050% due 11/26/2001 (d) 3,700 3,704
---------
44,514
---------
Total Corporate Bonds & Notes 444,237
(Cost $443,380) =========
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.3%
--------------------------------------------------------------------------------
North Carolina 0.3%
North Carolina State Education Assistance Authority
Revenue Bonds, (GTD Insured), Series 2000
7.000% due 06/01/2009 (d) 2,000 2,000
---------
Total Municipal Bonds & Notes 2,000
(Cost $2,000) =========
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 10.3%
--------------------------------------------------------------------------------
Federal Home Loan Bank
6.750% due 02/01/2002 70,000 70,252
Federal National Mortgage Association
5.750% due 04/15/2003 850 836
---------
Total U.S. Government Agencies 71,088
(Cost $70,911) =========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 4.6%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (g)
3.625% due 07/15/2002 (h) 29,529 29,520
3.625% due 01/15/2008 2,137 2,088
---------
Total U.S. Treasury Obligations 31,608
(Cost $31,494) =========
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 23.2%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 15.0%
CMC Securities Corp.
7.500% due 02/25/2023 2,089 2,083
Dime Savings
6.937% due 11/01/2018 (d) 209 189
Donaldson, Lufkin & Jenrette, Inc.
7.450% due 10/17/2020 (d) 489 502
7.786% due 09/01/2021 (d) 24 24
7.437% due 05/01/2026 (d) 125 125
Federal Home Loan Mortgage Corp.
6.750% due 03/15/2007 833 831
6.500% due 10/25/2014 3,833 3,767
5.750% due 10/15/2016 12 12
6.000% due 07/15/2019 4,178 4,133
6.875% due 06/15/2023 (d) 474 474
Federal National Mortgage Association
7.256% due 12/25/2000 (d) 339 339
7.250% due 04/25/2007 2,310 2,306
6.000% due 02/25/2008 1,051 1,033
6.206% due 07/25/2008 (d) 1,344 1,326
6.250% due 06/18/2015 1,720 1,709
6.000% due 08/18/2016 30,659 30,351
7.221% due 10/25/2017 (d) 4,992 4,990
5.875% due 03/25/2018 62 62
7.000% due 12/25/2019 11,773 11,736
6.000% due 08/25/2020 1,950 1,919
5.000% due 02/25/2022 59 58
6.500% due 09/18/2023 1,788 1,772
8.936% due 06/25/2032 8,795 9,020
First Nationwide Trust
6.495% due 10/25/2018 (d) 3 3
General Electric Capital Mortgage Services, Inc.
6.750% due 12/25/2012 5,258 5,220
Greenwich
7.647% due 04/25/2022 (d) 62 62
8.149% due 10/25/2022 (d) 31 31
Housing Securities, Inc.
6.000% due 02/25/2008 567 564
Independent National Mortgage Corp.
7.250% due 11/25/2010 4,000 4,011
Prudential Bache
6.252% due 09/01/2018 (d) 22 21
Prudential Home Mortgage Securities
6.950% due 11/25/2022 233 214
Residential Funding Mortgage Securities, Inc.
7.142% due 12/01/2018 1,040 1,061
Resolution Trust Corp.
6.855% due 05/25/2029 (d) 530 525
Saxon Asset Securities Trust
7.585% due 12/25/2014 4,475 4,469
TMA Mortgage Funding Trust
7.000% due 01/25/2029 (d) 8,675 8,675
---------
103,617
=========
Federal Home Loan Mortgage Corporation 0.1%
7.500% due 11/01/2001 856 855
---------
Federal National Mortgage Association 2.0%
6.000% due 12/18/2014 5,305 5,268
6.150% due 09/25/2016 4,554 4,506
7.000% due 06/01/2003 2,089 2,087
8.500% due 01/01/2026 1,635 1,681
---------
13,542
=========
Government National Mortgage Association 5.7%
6.750% due 09/20/2023-08/20/2027 7,376 7,433
(b)(d)
7.125% due 11/20/2026 (d) 12,420 12,508
7.375% due 02/20/2024 (d) 10,308 10,390
7.380% due 04/20/2025 (d) 475 478
8.000% due 10/23/2099 3,950 4,020
8.500% due 06/20/2027 4,704 4,820
---------
39,649
=========
Other Mortgage-Backed Securities 0.3%
CDC Depositor Trust I
7.098% due 12/14/2001 (d) 2,000 2,006
---------
2,006
=========
Stripped Mortgage-Backed Securities 0.1%
ABN AMRO Mortgage Corp. (IO)
6.750% due 08/25/2029 1,192 119
Federal Home Loan Mortgage Corp. (IO)
7.000% due 06/15/2019 3,920 251
Federal National Mortgage Association (IO)
7.000% due 07/25/2006 1,135 55
6.500% due 12/25/2006 883 11
6.500% due 06/25/2017 630 10
6.500% due 10/25/2023 1,302 156
---------
602
---------
Total Mortgage-Backed Securities 160,271
(Cost $161,479) =========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 10.2%
--------------------------------------------------------------------------------
Advanta Revolving Home Equity Loan Trust
6.990% due 01/25/2024 (d) 229 230
American Residential Eagle Trust
6.960% due 07/25/2029 (d) 1,646 1,647
Associates Manufactured Housing
7.000% due 03/15/2027 402 402
Bay View Financial Revolving
7.920% due 08/25/2029 (d) 2,000 1,967
Brazos Student Loan Finance Co.
7.290% due 06/01/2023 (d) 20,000 19,802
Capital Asset Research Funding LP
6.400% due 12/15/2004 1,725 1,743
Chase Manhattan Grantor Trust
5.200% due 02/15/2002 98 98
Columbia/HCA Healthcare
8.437% due 09/13/2001 1,250 1,241
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 435 433
Delta Funding Home Equity Loan Trust
7.036% due 09/15/2029 (d) 1,759 1,766
First Security Auto Owner Trust
5.580% due 06/15/2003 7,896 7,865
2000 Semi-Annual Report See accompanying notes 113
<PAGE>
Schedule of Investments (Cont.)
Short-Term Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Flag Ltd.
8.437% due 02/18/2006 $ 2,083 $ 2,078
Green Tree Home Improvement Loan Trust
6.796% due 08/15/2029 (d) 2,162 2,160
Metris Master Trust
7.270% due 04/20/2006 (d) 6,000 6,030
MLCC Mortgage Investors, Inc.
6.998% due 03/15/2025 (d) 3,153 3,165
Onyx Acceptance Auto Trust
6.180% due 04/15/2002 503 502
Salomon Brothers Mortgage Securities
6.971% due 07/25/2029 (d) 3,409 3,413
7.071% due 11/15/2029 (d) 1,656 1,660
7.102% due 12/15/2029 (d) 2,000 2,000
6.960% due 12/25/2029 (d) 4,578 4,590
The Money Store Home Equity Trust
6.635% due 09/15/2014 5,097 5,082
6.345% due 11/15/2021 (d) 90 89
UAF Auto Grantor Trust
6.100% due 06/15/2004 918 912
UniCapital Corp.
6.540% due 07/23/2002 1,307 1,305
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 321 319
---------
Total Asset-Backed Securities 70,499
(Cost $70,524) =========
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 0.5%
--------------------------------------------------------------------------------
Republic of Brazil
7.375% due 04/15/2006 (d) 3,720 3,510
---------
Total Sovereign Issues 3,510
(Cost $3,488) =========
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 2.3%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 5,400 2,304
Tecnost International NV
6.368% due 06/23/2004 (d) EC 15,000 13,388
---------
Total Foreign Currency-Denominated Issues 15,692
(Cost $17,213) =========
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.3%
--------------------------------------------------------------------------------
Industrial 0.3%
Hercules Trust VI
9.110% due 12/29/2000 (d) $ 2,430 2,428
---------
Total Convertible Bonds & Notes 2,428
(Cost $2,429) =========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 7.9%
--------------------------------------------------------------------------------
Commercial Paper 7.3%
American Electric Power, Inc.
6.700% due 10/18/2000 900 897
Burlington Northern
6.735% due 10/04/2000 24,300 24,291
Conagra, Inc.
6.680% due 10/27/2000 900 896
Dominion Resources, Inc.
6.710% due 11/16/2000 700 694
Houston Industries
6.800% due 11/08/2000 9,400 9,334
Infinity Broadcasting Corp.
6.720% due 11/29/2000 8,200 8,111
Motorola, Inc.
6.470% due 12/27/2000 400 394
Sumitomo Corp. of America
6.740% due 11/01/2000 200 199
Williams Cos., Inc.
7.231% due 04/10/2001 5,600 5,602
---------
50,418
=========
Repurchase Agreement 0.6%
State Street Bank
5.850% due 10/02/2000 4,086 4,086
(Dated 9/29/2000. Collateralized by
Federal Home Loan Mortgage Corp.
7.050% due 09/19/2003 valued at
$4,170. Repurchase proceeds are $4,088.)
---------
Total Short-Term Instruments 54,504
(Cost $54,504) =========
Total Investments (a) 123.9% $ 855,837
(Cost $857,422)
Written Options (c) (0.0%) (36)
(Premiums $52)
Other Assets and Liabilities (Net) (23.9%) (164,902)
---------
Net Assets 100.0% $ 690,899
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, the net unrealized
appreciation (depreciation) of investments based
on cost for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 1,739
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (3,324)
---------
Unrealized depreciation-net $ (1,585)
=========
(b) Securities are grouped by coupon or range of coupons
and represent a range of maturities.
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.750% Exp. 10/05/2000 50,000,000 $ 52 $ 36
------- ---------
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell EC 15,432 10/2000 $ 269
Sell BP 3,327 10/2000 (78)
Buy 3,327 10/2000 56
Sell N$ 6,006 10/2000 114
---------
$ 361
=========
(f) Principal amount denoted in indicated currency:
BP - British Pound
EC - Euro
N$ - New Zealand Dollar
(g) Principal amount of the security is adjusted for inflation.
114 PIMCO Funds See accompanying notes
<PAGE>
--------------------------------------------------------------------------------
(h) Subject to financing transaction.
(i) Swap agreements outstanding at September 30, 2000:
Unrealized
Type Notional Appreciation/
Amount Depreciation
--------------------------------------------------------------------------------
Receive floating rate based on 3-month LIBOR
plus 0.470% and pay a fixed rate equal to 7.750%.
Broker: Morgan Stanley
Exp. 06/15/2005 $ 5,000 $ (107)
Receive fixed rate equal to 0.430% and the Fund
will pay to the counter party at par in the
event of default of Time Warner, Inc. 7.750%
due 06/15/2005.
Broker: Lehman Brothers
Exp. 07/11/2003 5,000 0
Receive fixed rate equal to 0.230% and the Fund
will pay to the counterparty at par in the
event of default of Associates Corp.
6.000% due 04/15/2003.
Broker: Warburg Dillon Read LLC
Exp. 01/14/2003 4,000 0
Receive fixed rate equal to 0.250% and the Fund
will pay to the counterparty at par in the
event of default of Pacific Gas & Electric Corp.
6.550% due 12/08/2005.
Broker: J.P. Morgan
Exp. 05/23/2003 5,000 0
----------
$ (107)
==========
(j) Reverse repurchase agreements were entered into on various days
paying various interest rates. The following securities were
segregated with collateral for reverse repurchase agreements:
Type Maturity Value
--------------------------------------------------------------------------------
Entered into on September 18, 2000
paying interest at 6.570%
Federal National Mortgage Assn. 7.000% 12/25/2019 $ 11,736
Entered into on September 25, 2000
paying interest at 6.520%
Government National Mortgage Assn. 7.375% 02/20/2024 10,390
Government National Mortgage Assn. 7.125% 11/20/2026 12,508
Entered into on September 26, 2000
paying interest at 6.580%
Federal National Mortgage Assn. 6.000% 08/18/2016 30,351
--------
$ 64,985
========
2000 Semi-Annual Report See accompanying notes 115
<PAGE>
Schedule of Investments
Money Market Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 40.5%
--------------------------------------------------------------------------------
Banking & Finance 30.8%
Abbey National PLC
6.520% due 11/03/2000 $ 12,800 $ 12,726
Bank of Scotland Treasury
6.600% due 03/06/2001 (a) 6,000 5,999
Citigroup, Inc.
6.741% due 08/13/2001 (a) 235 235
FCC National Bank
6.690% due 05/10/2001 10,900 10,900
First Chicago NBD Corp.
6.750% due 08/20/2001 (a) 14,300 14,309
First Union National Bank
6.847% due 08/24/2001 18,300 18,327
General Motors Acceptance Corp.
6.913% due 08/06/2001 (a) 6,000 6,011
Goldman Sachs Group
6.550% due 10/18/2000 17,900 17,848
7.180% due 01/08/2001 (a) 1,400 1,402
Merrill Lynch & Co.
6.958% due 03/05/2001 (a) 2,000 2,001
6.760% due 08/10/2001 (a) 1,500 1,501
Morgan Stanley, Dean Witter, Discover
and Co.
6.937% due 02/06/2001 250 250
6.646% due 08/15/2001 (a) 18,000 18,000
--------
109,509
========
Industrials 9.7%
Gannett Co.
6.520% due 11/08/2000 10,000 9,933
6.500% due 11/21/2000 3,500 3,468
Minnesota Mining & Manufacturing Co.
6.450% due 12/19/2000 6,300 6,212
Yorkshire Building Society
6.490% due 12/06/2000 15,000 14,824
--------
34,437
--------
Total Corporate Bonds & Notes 143,946
(Cost $143,946) ========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 56.6%
--------------------------------------------------------------------------------
Commercial Paper 56.3%
Associates Corp. of North America
6.580% due 11/29/2000 5,800 5,738
AT&T Corp.
6.500% due 10/25/2000 12,600 12,548
Bank One Corp.
6.470% due 12/19/2000 14,300 14,099
Becton Dickinson & Co.
6.520% due 10/10/2000 14,500 14,479
Bell South Telecommunications, Inc.
6.460% due 12/06/2000 11,600 11,465
Bellsouth Capital Funding Corp.
6.460% due 12/12/2000 6,300 6,220
CBA (de) Finance
6.590% due 10/23/2000 6,300 6,276
6.460% due 12/12/2000 9,000 8,885
CDC
6.530% due 10/18/2000 18,000 17,948
6.560% due 11/29/2000 800 791
Coca-Cola Co.
6.510% due 10/31/2000 9,800 9,749
DaimlerChrysler Holdings
6.510% due 12/13/2000 12,300 12,140
Dupont De Nemours & Co.
6.460% due 10/06/2000 3,600 3,597
Eastman Kodak Co.
6.470% due 11/16/2000 2,600 2,579
6.460% due 12/06/2000 13,700 13,540
Exxon-Mobil Corp.
6.470% due 11/17/2000 10,300 10,215
General Electric Capital Corp.
6.480% due 10/18/2000 800 798
Reseau Ferre De France
6.500% due 10/26/2000 3,700 3,684
Societe Generale
6.540% due 02/28/2001 24,200 24,195
Swedbank, Inc.
6.510% due 01/19/2001 12,800 12,548
Verizon Global Funding
6.500% due 10/16/2000 3,700 3,691
6.490% due 11/08/2000 2,300 2,285
6.460% due 12/01/2000 2,200 2,176
6.460% due 12/11/2000 400 395
--------
200,041
========
Repurchase Agreement 0.3%
State Street Bank
5.850% due 10/02/2000 945 945
(Dated 9/29/2000. Collateralized by
Federal Home Loan Bank 7.090% due
09/19/2003 valued at $965.
Repurchase proceeds are $945.)
--------
Total Short-Term Instruments 200,986
(Cost $200,986) ========
Total Investments (a) 97.1% 344,932
(Cost $344,932)
Other Assets and Liabilities (Net) 2.9% 10,356
--------
Net Assets 100.0% 355,288
========
Notes to Schedule of Investments (amounts in thousands):
a) Variable rate security. The rate listed is as of September 30, 2000.
116 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Long-Term U.S. Government Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 5.9%
--------------------------------------------------------------------------------
Banking & Finance 4.1%
AESOP Funding II LLC
6.220% due 10/20/2001 $ 1,500 $ 1,501
Associates Corp. of North America
5.800% due 04/20/2004 2,500 2,410
Bank One Corp.
6.790% due 05/07/2002 (d) 2,400 2,402
Countrywide Home Loans
6.850% due 06/15/2004 1,500 1,485
Ford Motor Credit Corp.
6.940% due 06/02/2003 (d) 1,900 1,902
Goldman Sachs Group
7.270% due 01/14/2002 (d) 3,000 3,024
Morgan Stanley, Dean Witter, Discover and Co.
6.990% due 04/22/2004 (d) 2,500 2,503
-------
15,227
=======
Industrials 0.8%
DaimlerChrysler Holdings
7.000% due 08/16/2004 (d) 3,000 3,005
-------
Utilities 1.0%
Detroit Edison Co.
7.020% due 01/29/2001 1,000 998
Scana Corp.
7.380% due 07/15/2002 (d) 2,000 2,003
WorldCom, Inc.
6.920% due 11/26/2001 (d) 700 701
-------
3,702
-------
Total Corporate Bonds & Notes 21,934
(Cost $21,998) =======
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 15.1%
--------------------------------------------------------------------------------
Federal Home Loan Bank
5.950% due 12/10/2008 250 232
6.410% due 09/30/2013 500 455
6.650% due 10/21/2013 300 277
Federal National Mortgage Assn.
7.000% due 07/15/2005 40,000 40,736
6.470% due 04/15/2009 1,000 960
7.130% due 01/15/2030 2,000 2,071
Student Loan Marketing Assn.
6.480% due 07/25/2004 (d) 982 980
Tennessee Valley Authority
7.130% due 05/01/2030 10,000 10,250
-------
Total U.S. Government Agencies 55,961
(Cost $55,225) =======
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 73.3%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (b)
3.630% due 07/15/2002 (f) 17,215 17,209
U.S. Treasury Bonds
11.250% due 02/15/2015 (c) 15,000 22,298
9.880% due 11/15/2015 3,100 4,239
8.750% due 08/15/2020 (c) 15,200 19,746
7.130% due 02/15/2023 12,000 13,481
6.000% due 02/15/2026 (c) 25,900 25,665
6.130% due 11/15/2027 42,600 42,959
5.500% due 08/15/2028 21,000 19,497
6.250% due 05/15/2030 3,900 4,101
U.S. Treasury Notes
6.750% due 05/15/2005 49,000 50,776
U.S. Treasury Strips
0.000% due 08/15/2003 11,200 9,452
0.000% due 05/15/2004 2,100 1,700
0.000% due 05/15/2006 13,400 9,591
0.000% due 05/15/2013 4,200 1,956
0.000% due 02/15/2019 8,600 2,817
0.000% due 05/15/2020 84,800 25,789
-------
Total U.S. Treasury Obligations 271,276
(Cost $270,207) =======
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 70.8%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 27.8%
Bear Stearns Mortgage Securities, Inc.
7.100% due 06/25/2024 $ 385 $ 365
6.350% due 08/25/2024 650 647
7.170% due 06/25/2030 919 907
California Federal Bank
6.680% due 08/25/2030 (d) 640 635
Chase Mortgage Finance Corp.
6.320% due 04/25/2025 (d) 2,031 2,052
CMC Securities Corp.
6.000% due 02/25/2009 165 164
6.150% due 05/25/2028 (d) 215 215
Countrywide Funding Corp.
6.500% due 01/25/2009 837 832
Federal Home Loan Mortgage Corp.
7.000% due 07/01/2002 1,009 1,007
7.500% due 06/01/2004 40 41
7.500% due 07/01/2004 592 599
7.500% due 08/01/2004 70 71
7.500% due 09/01/2004 158 160
9.500% due 01/15/2005 27 28
5.500% due 05/15/2007 11 11
8.000% due 02/15/2015 425 431
4.250% due 12/15/2021 493 463
7.000% due 07/15/2022 1,109 1,082
7.000% due 05/15/2023 270 253
7.000% due 08/15/2023 336 304
6.250% due 09/15/2023 5,000 4,751
7.000% due 09/15/2023 815 769
6.850% due 10/25/2023 1,497 1,464
6.500% due 11/15/2023 151 133
6.000% due 11/15/2023 978 848
6.500% due 11/15/2023 802 706
6.500% due 11/25/2023 635 549
6.500% due 12/15/2023 1,050 951
7.000% due 01/15/2024 100 92
7.500% due 01/20/2024 1,928 1,931
6.500% due 02/15/2024 196 172
6.500% due 03/15/2024 1,165 1,036
6.000% due 10/15/2024 2,425 2,393
6.500% due 12/15/2024 2,830 2,808
8.000% due 12/15/2024 1,000 1,010
7.500% due 02/15/2025 1,810 1,820
6.500% due 03/15/2029 262 194
6.000% due 05/15/2029 108 87
Federal National Mortgage Assn.
7.500% due 02/01/2004 386 391
7.500% due 03/01/2004 222 224
7.500% due 04/01/2004 247 250
7.500% due 05/01/2004 392 396
7.500% due 06/01/2004 410 415
7.500% due 07/01/2004 518 523
7.500% due 08/01/2004 967 978
7.500% due 09/01/2004 196 198
7.500% due 10/01/2004 192 194
5.750% due 06/25/2006 6 6
5.600% due 07/25/2006 12 12
6.250% due 12/25/2013 79 74
7.220% due 10/25/2017 (d) 3,266 3,265
7.000% due 02/25/2020 1,871 1,864
6.950% due 07/25/2020 1,449 1,431
6.750% due 06/25/2021 3,275 262
8.000% due 03/25/2022 7 7
7.000% due 04/25/2022 879 817
7.000% due 06/25/2022 421 388
7.800% due 10/25/2022 448 448
7.000% due 10/25/2022 1,639 1,516
7.000% due 05/25/2023 1,403 1,304
6.900% due 05/25/2023 658 588
7.000% due 06/25/2023 564 529
6.000% due 08/25/2023 141 120
6.500% due 08/25/2023 812 712
4.500% due 10/25/2023 224 119
2000 Semi-Annual Report See accompanying notes 117
<PAGE>
Schedule of Investments (Cont.)
Long-Term U.S. Government Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
6.500% due 11/25/2023 $ 2,000 $ 1,842
6.500% due 12/25/2023 288 250
7.000% due 12/25/2023 1,602 1,450
6.500% due 12/25/2023 3,562 2,991
6.500% due 01/25/2024 210 184
6.500% due 02/25/2024 305 264
6.000% due 05/17/2027 2,500 2,174
7.000% due 05/18/2027 1,600 1,436
9.000% due 06/01/2027 1,506 1,568
6.890% due 02/01/2028 (d) 431 443
First Boston Mortgage Securities Corp.
7.300% due 07/25/2023 1,485 1,349
General Electric Capital Mortgage Services, Inc.
9.000% due 10/25/2023 267 270
6.500% due 11/25/2023 3,000 2,729
6.500% due 01/25/2024 4,614 3,727
6.500% due 03/25/2024 904 836
7.000% due 10/25/2027 689 685
6.650% due 05/25/2028 5,330 5,277
German American Capital Corp.
7.000% due 08/12/2010 3,000 2,949
Government National Mortgage Assn.
7.000% due 03/16/2029 278 227
Independent National Mortgage Corp.
9.070% due 01/25/2025 (d) 54 55
6.930% due 05/25/2026 612 608
Mellon Residential Funding Corp.
6.460% due 07/25/2029 1,243 1,238
Merrill Lynch Mortgage Investors, Inc.
6.050% due 10/15/2008 2,578 2,483
6.210% due 03/20/2017 523 521
Norwest Asset Securities Corp.
6.750% due 10/25/2028 979 925
PNC Mortgage Securities Corp.
7.500% due 01/25/2015 1,533 1,474
7.500% due 02/25/2027 1,764 1,765
6.750% due 04/25/2028 3,000 2,924
Prudential Home Mortgage Securities
7.630% due 02/25/2023 36 36
6.950% due 09/25/2023 70 57
6.500% due 11/25/2023 102 92
6.500% due 01/25/2024 1,447 1,236
8.000% due 06/25/2024 746 752
Residential Accredit Loans, Inc.
7.000% due 02/25/2028 2,000 1,932
Residential Funding Mortgage Securities, Inc.
8.950% due 03/25/2025 (d) 65 66
7.750% due 09/25/2026 1,100 1,096
7.500% due 04/25/2027 1,913 1,895
Resolution Trust Corp.
6.730% due 05/25/2029 (d) 732 724
7.690% due 09/25/2029 1,334 1,336
Vendee Mortgage Trust
6.500% due 06/15/2024 2,237 1,914
-----------
102,792
===========
Federal Home Loan Mortgage Corporation 7.2%
6.250% due 12/15/2023 512 454
6.360% due 01/01/2028 (d) 2,674 2,654
6.500% due 11/15/2023-01/15/2028 (h) 10,269 8,879
6.760% due 09/01/2027 (d) 3,557 3,489
6.930% due 01/01/2028 (d) 1,655 1,631
7.320% due 02/01/2028 (d) 1,870 1,860
7.500% due 10/01/2004 1,961 1,963
7.780% due 05/01/2022 (d) 100 103
7.930% due 10/01/2026 (d) 822 837
8.000% due 05/01/2004 3,550 3,578
8.350% due 06/01/2022 (d) 58 60
8.590% due 12/01/2024 (d) 1,321 1,363
-----------
26,871
===========
Federal Housing Administration 8.3%
6.900% due 07/01/2020 3,656 3,517
7.000% due 11/25/2019 4,539 4,554
7.400% due 12/18/2018 1,559 1,544
7.420% due 11/01/2019 119 117
7.430% due 08/01/2019-06/01/2024 (h) 19,320 19,262
7.450% due 03/25/2022 1,666 1,667
-----------
30,661
===========
Federal National Mortgage Association 10.2%
6.500% due 05/01/2003-01/25/2024 (h) 4,620 4,483
6.630% due 12/01/2027 (d) 2,325 2,314
7.000% due 03/01/2004-07/25/2023 (h) 15,691 15,697
7.380% due 01/01/2026 (d) 980 985
7.460% due 10/01/2024 (d) 1,705 1,722
7.480% due 05/01/2025 (d) 1,505 1,515
7.710% due 04/01/2028 (d) 2,494 2,536
7.920% due 11/01/2023 (d) 2,653 2,712
8.250% due 08/01/2026 (d) 183 186
8.440% due 08/01/2026 (d) 516 531
8.500% due 04/01/2028 1,556 1,601
8.760% due 10/01/2024 (d) 91 93
9.000% due 07/01/2005-08/01/2021 (h) 3,606 3,580
-----------
37,955
===========
Government National Mortgage Association 14.2%
6.500% due 05/20/2030 (d) 16,000 15,916
6.630% due 12/15/2000-02/15/2040 (h) 1,895 1,894
6.750% due 09/20/2017-09/20/2026 (d)(h) 7,182 7,250
6.800% due 09/15/2001-10/15/2040 (h) 2,000 1,968
7.000% due 05/15/2002-10/15/2040 (d)(h) 7,894 7,889
7.130% due 12/20/2017-10/20/2027 (d)(h) 3,382 3,407
7.380% due 02/20/2017-01/20/2028 (d)(h) 14,253 14,362
-----------
52,686
===========
Other Mortgage-Backed Securities 2.0%
Countrywide Funding Corp.
7.000% due 05/25/2024 8,000 7,324
-----------
7,324
===========
Stripped Mortgage-Backed Securities 1.1%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 03/15/2003 928 75
6.500% due 11/15/2003 1,596 152
7.000% due 02/15/2006 47 1
6.500% due 08/15/2006 22 0
6.500% due 10/15/2006 114 7
6.500% due 11/15/2006 46 0
8.190% due 02/15/2007 4 60
7.500% due 06/15/2007 290 29
6.500% due 10/15/2007 857 63
6.000% due 10/15/2007 79 5
6.500% due 11/15/2008 722 108
7.000% due 12/15/2023 1,599 218
Federal National Mortgage Association (IO)
11.880% due 08/25/2006 4 30
6.500% due 02/25/2007 63 3
6.500% due 07/25/2007 535 23
11.980% due 08/25/2007 6 151
10.150% due 09/25/2007 3 76
6.500% due 08/25/2020 153 11
6.500% due 09/25/2021 404 44
7.000% due 12/25/2021 156 21
Federal National Mortgage Association (PO)
0.000% due 03/25/2009 2,944 2,035
0.000% due 09/25/2023 1,509 811
First Plus Home Loan Trust (IO)
6.000% due 10/10/2000 1,200 8
Norwest Asset Securities Corp. (IO)
7.250% due 02/25/2012 957 133
-----------
4,064
-----------
Total Mortgage-Backed Securities 262,353
(Cost $266,277) ===========
118 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 3.8%
--------------------------------------------------------------------------------
Chase Credit Card Master Trust
6.780% due 05/15/2007 $ 1,320 $ 1,324
Chase Manhattan Corp.
6.750% due 08/25/2028 1,850 1,676
Discover Card Trust
6.790% due 04/16/2010 1,117 1,109
Green Tree Floorplan Receivables
Master Trust
6.970% due 11/15/2004 (d) 3,000 3,006
Norwest Asset Securities Corp.
6.750% due 07/25/2028 3,000 2,744
Residential Funding Mortgage
Securities, Inc.
6.290% due 07/25/2013 1,617 1,606
SMS Student Loan Trust
6.110% due 10/27/2025 (d) 2,000 1,958
Student Loan Marketing Assn.
6.700% due 01/25/2007 (d) 584 584
-------
Total Asset-Backed Securities 14,007
(Cost $14,337) =======
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
--------------------------------------------------------------------------------
U.S. Treasury Note December
Futures (CBOT)
Strike @ 94.00 Exp. 11/18/2000 1,100 0
Strike @ 91.00 Exp. 11/18/2000 165,000 26
-------
Total Purchased Put Options 26
(Cost $35) =======
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 7.4%
--------------------------------------------------------------------------------
Commercial Paper 6.1%
Conagra, Inc.
6.680% due 10/27/2000 2,300 2,289
6.670% due 11/15/2000 2,400 2,380
6.670% due 11/16/2000 2,900 2,876
Dominion Resources, Inc.
6.710% due 11/09/2000 1,000 993
Edison Midwest
6.700% due 11/08/2000 1,300 1,291
GE Capital Corp.
6.520% due 01/19/2001 1,600 1,569
Ingersoll-Rand Co.
6.700% due 11/01/2000 1,900 1,889
International Paper Co.
6.720% due 11/17/2000 500 496
Verizon Global Funding
6.470% due 12/04/2000 2,900 2,866
6.460% due 12/05/2000 5,000 4,940
6.460% due 12/07/2000 900 889
-------
22,478
=======
Repurchase Agreements 1.1%
State Street Bank
5.850% due 10/02/2000 3,984 3,984
-------
(Dated 9/29/2000.
Collateralized by
Federal Home Loan Mortgage Corp.
7.050% due 09/19/2003 valued at
$4,065.
Repurchase proceeds are $3,986.)
U.S. Treasury Bills (b) 0.2%
6.010% due 02/01/2001 870 851
---------
Total Short-Term Instruments 27,313
(Cost $27,318) =========
Total Investments (a) 176.3% $ 652,870
(Cost $655,397)
Written Options (c) (0.0%) (1)
(Premiums $7)
Other Assets and Liabilities (Net)(76.3%) (282,641)
---------
Net Assets 100.0% $ 370,228
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 4,012
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (6,539)
---------
Unrealized depreciation-net $ (2,527)
=========
(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, 2000.
(e) Premiums received on written options:
# of
Type Contracts Premium Value
---------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond
December Futures Strike
@ 106.00 Exp. 11/18/2000 50 $ 7 $ 1
------ ------
(f) Securities with an aggregate market value of $18,060
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
---------------------------------------------------------------------
U.S. Treasury 10 Year Note (12/2000) 132 $ (10)
U.S. Treasury 30 Year Note (12/2000) 403 63
Municipal Bond (12/2000) 54 (68)
-------------
$ (15)
=============
(g) Swap agreements outstanding at September 30,
2000:
Unrealized
Notional Appreciation/
Type Amount Depreciation
---------------------------------------------------------------------
Receive a fixed rate equal to 8.000% and
pay floating rate equal to 3-month LIBOR.
Broker: J.P. Morgan
Exp. 09/15/2010 $ 21,500 $ 1,259
Receive floating rate based on 3-month
LIBOR and pay a fixed rate equal to 8.000%.
Broker: Goldman Sachs
Exp. 09/15/2010 5,000 (282)
Receive floating rate based on 3-month
LIBOR and pay a fixed rate equal to 8.000%.
Broker: Morgan Stanley
Exp. 09/15/2010 1,500 (61)
Receive floating rate based on 3-month
LIBOR and pay a fixed rate equal to 8.000%.
Broker: Goldman Sachs
Exp. 09/15/2010 2,000 (72)
2000 Semi-Annual Report See accompanying notes 119
<PAGE>
Schedule of Investments (Cont.)
Long-Term U.S. Government Fund
September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Unrealized
Notional Appreciation/
Type Amount Depreciation
--------------------------------------------------------------------------------
Receive floating rate based on 3-month LIBOR
and pay a fixed rate equal to 8.000%.
Broker: Morgan Stanley
Exp. 09/15/2010 $ 2,500 $ (74)
Receive fixed rate equal to 8.000% and pay
floating rate based on 3-month LIBOR.
Broker: Lehman Brothers
Exp. 09/15/2010 2,500 94
Receive floating rate based on 3-month
LIBOR and pay a fixed rate equal to 7.000%.
Broker: Morgan Stanley
Exp. 09/15/2010 2,500 (50)
Receive a fixed rate equal to 7.317%
and pay floating rate based on 3-month LIBOR.
Broker: Morgan Stanley
Exp. 11/15/2003 21,250 279
Receive fixed rate equal to 0.230% and the
Fund will pay to the counterparty at par
in the event of default of Associates Corp.
6.000% due 04/15/2003.
Broker: Warburg Dillon Read LLC
Exp. 01/14/2003 3,000 0
Receive fixed rate equal to 0.650% and
the Fund will pay to the counterparty at
par in the event of default of Philip Morris
Co. 7.200% due 02/01/2007.
Broker: Goldman Sachs
Exp. 12/22/2000 3,000 0
Receive fixed rate equal to 0.250% and the
Fund will pay to the counterparty at par
in the event of default of Pacific Gas &
Electric Corp. 6.550% due 12/08/2005.
Broker: J.P. Morgan
Exp. 05/23/2003 3,000 0
--------------
$ 1,093
==============
Fixed
Rate Notional Unrealized
Type (%) Amount Appreciation
--------------------------------------------------------------------------------
Receive the 30-year Swap Spread and pay a fixed spread.
The 30-year Swap Spread is the difference between the
30-year Swap Rate and the 30-year Treasury Rate.
Broker: Goldman Sachs
Exp. 02/15/2005 1.0850 $ 9,500 $ 9
Broker: Goldman Sachs
Exp. 02/16/2005 1.1120 24,400 (2)
Receive the 5-year Swap Spread and pay a fixed spread.
The 5-year Swap Spread is the difference between the
5-year Swap Rate and the 5-year Treasury Rate.
Broker: Lehman Brothers
Exp. 04/10/2005 0.9500 27,000 (19)
Receive On-The-Run 10-year Swap Spread and pay a
fixed spread. The On-The-Run 10-year Swap Spread
is the difference between the 10-year Swap Rate
and the 10-year Treasury Rate.
Broker: Bank of America
Exp. 06/17/2002 1.3100 53,750 (510)
Receive the 10-year Swap Spread and pay a fixed
spread. The 10-year Swap Spread is the difference
between the 10-year Swap Rate and the 10-year
Treasury Rate.
Broker: Morgan Stanley
Exp. 06/29/2015 1.3367 30,000 (325)
Receive a fixed spread and pay On-The-Run 10-year
Swap Spread. The On-The-Run 10-year Swap Spread
is the difference between the 10-year Swap Rate
and the 10-year Treasury Rate.
Broker: Bank of America
Exp. 06/15/2001 1.3200 50,000 500
Broker: Morgan Stanley
Exp. 07/29/2011 1.3000 50,000 450
Receive On-The-Run 2-year Swap Spread and pay a
fixed spread. The On-The-Run 2-year Swap Spread
is the difference between the 2-year Swap Rate
and the 2-year Treasury Rate.
Broker: Bank of America
Exp. 07/19/2001 0.9250 25,000 (212)
-------
$ (109)
=======
(h) Securities are grouped by coupon or range of coupons and represent
a range of maturities.
120 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Investment Grade Corporate Bond Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 86.5%
--------------------------------------------------------------------------------
Banking & Finance 27.8%
Associates Corp. of North America
6.875% due 11/15/2008 $ 100 $ 98
Bank One Corp.
6.000% due 02/17/2009 100 91
Chase Manhattan Corp.
6.500% due 01/15/2009 100 95
CIT Group, Inc.
5.500% due 02/15/2004 100 95
First Union National Bank
7.875% due 02/15/2010 100 101
GATX Capital Corp.
7.713% due 08/01/2002 (d) 100 100
General Electric Global Insurance
Holdings Corp.
7.750% due 06/15/2030 100 101
Goldman Sachs Group
6.500% due 02/25/2009 100 93
J.P. Morgan & Co.
6.875% due 01/15/2007 100 98
Morgan Stanley, Dean Witter, Discover
and Co.
6.560% due 04/22/2004 (d) 100 100
PP&L Capital Funding, Inc.
7.750% due 04/15/2005 100 101
Republic New York Corp.
6.653% due 08/07/2002 (d) 100 99
Royal Bank of Scotland PLC
9.118% due 03/31/2049 110 116
Wachovia Corp.
6.375% due 02/01/2009 100 94
Wells Fargo & Co.
6.250% due 04/15/2008 100 93
--------
1,475
========
Industrials 49.1%
Abitibi-Consolidated, Inc.
8.300% due 08/01/2005 100 102
Columbia/HCA Healthcare
8.160% due 09/19/2002 (d) 100 100
Comcast Cable Communications
6.200% due 11/15/2008 100 93
Comcast Corp.
10.250% due 10/15/2001 28 29
Cox Communications, Inc.
7.000% due 08/15/2001 140 139
Delta Air Lines, Inc.
10.500% due 04/30/2016 200 220
Ford Motor Co.
7.450% due 07/16/2031 100 93
Gulf Canada Resources Ltd.
8.350% due 08/01/2006 35 35
Harrahs Operating Co., Inc.
7.500% due 01/15/2009 100 94
International Paper Co.
7.000% due 06/01/2001 100 100
Kroger Co.
6.340% due 06/01/2001 100 99
MGM Grand, Inc.
6.950% due 02/01/2005 240 231
Mirage Resorts, Inc.
6.625% due 02/01/2005 100 95
Northwest Airlines, Inc.
8.520% due 04/07/2004 200 195
Park Place Entertainment Corp.
7.950% due 08/01/2003 150 150
RJ Reynolds Tobacco Holdings, Inc.
7.625% due 09/15/2003 100 94
Staples, Inc.
7.670% due 11/26/2001 (d) 100 100
Starwood Hotels & Resorts
6.750% due 11/15/2005 100 94
Tenet Healthcare Corp.
7.875% due 01/15/2003 120 120
Turner Broadcasting System, Inc.
7.400% due 02/01/2004 115 116
US Airways, Inc.
8.020% due 02/05/2019 100 102
Waste Management, Inc.
7.700% due 10/01/2002 100 99
WorldCom, Inc.
7.550% due 04/01/2004 100 101
--------
2,601
========
Utilities 9.6%
AT&T Corp.
12.000% due 08/15/2007 100 112
CMS Panhandle Holding Co.
6.125% due 03/15/2004 100 96
Dominion Resources, Inc.
8.125% due 06/15/2010 100 104
Niagara Mohawk Power
7.625% due 10/01/2005 76 76
Texas Utilities Co.
5.940% due 10/15/2001 125 123
--------
511
--------
Total Corporate Bonds & Notes 4,587
(Cost $4,468) ========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 4.1%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (c)
3.625% due 07/15/2002 (b) 216 215
--------
Total U.S. Treasury Obligations 215
(Cost $216) ========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 4.5%
--------------------------------------------------------------------------------
Conseco Finance Securitizations Corp.
8.850% due 12/01/2031 130 137
United Air Lines Equipment Trust
10.125% due 03/22/2015 100 104
--------
Total Asset-Backed Securities 241
(Cost $233) ========
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 2.0%
--------------------------------------------------------------------------------
United Mexican States
9.750% due 04/06/2005 100 106
--------
Total Sovereign Issues 106
(Cost $103) ========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.0%
--------------------------------------------------------------------------------
Repurchase Agreement 1.0%
State Street Bank
5.850% due 10/02/2000 52 52
(Dated 9/29/2000.
Collateralized by
Federal National Mortgage Association
6.500% due 08/15/2004 valued at $55.
Repurchase proceeds are $52.)
--------
Total Short-Term Instruments 52
(Cost $52) ========
Total Investments (a) 98.1% $ 5,201
(Cost $5,072)
Other Assets and Liabilities (Net) 1.9% 99
--------
Net Assets 100.0% $ 5,300
========
2000 Semi-Annual Report See accompanying notes 121
<PAGE>
Schedule of Investments (Cont.)
Investment Grade Corporate Bond Fund
September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 131
--------
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (1)
--------
Unrealized appreciation-net $ 130
========
(b) Securities with an aggregate market
value of $215 have been segregated with
the custodian to cover margin
requirements for the following open futures
contracts at September 30, 2000:
# of Unrealized
Type Contracts Depreciation
--------------------------------------------------------------------------------
U.S. Treasury 30 Year Note (12/2000) 8 $ (12)
--------
(c) Principal amount of the security is adjusted for
inflation.
(d) Variable rate security. The rate listed is as of
September 30, 2000.
(e) Foreign forward currency contracts outstanding at September 30,
2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Buy EC 170 10/2000 $ (4)
Buy 60 11/2000 0
--------
$ (4)
========
(f) Principal amount denoted in indicated currency:
EC - Euro
122 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
High Yield Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 75.8%
--------------------------------------------------------------------------------
Banking & Finance 8.1%
Americo Life, Inc.
9.250% due 06/01/2005 $ 250 $ 234
Amethyst Financial Co. Ltd.
11.750% due 10/29/2001 5,000 5,000
Arvin Capital
9.500% due 02/01/2027 19,000 17,561
Bay View Capital Corp.
9.130% due 08/15/2007 6,400 4,896
Beaver Valley Funding Corp.
8.630% due 06/01/2007 18,000 18,322
9.000% due 06/01/2017 15,235 15,737
DLJ Secured Loan Trust
10.130% due 07/07/2007 10,000 10,491
Forest City Enterprises
8.500% due 03/15/2008 13,400 12,931
Fuji Bank Ltd.
9.870% due 12/31/2049 (d) 9,800 9,599
General Motors Acceptance Corp.
6.840% due 04/29/2002 (d) 800 803
Golden State Holdings
6.750% due 08/01/2001 6,250 6,155
7.000% due 08/01/2003 3,705 3,546
7.130% due 08/01/2005 870 811
Host Marriott LP
8.380% due 02/15/2006 11,660 11,252
Imperial Credit Industries, Inc.
9.880% due 01/15/2007 200 91
Mercury Finance Co.
10.000% due 03/23/2001 21,100 20,573
11.160% due 03/23/2001 21,350 20,709
Presidential Life Insurance Corp.
7.880% due 02/15/2009 13,250 12,226
Reliance Group Holdings
9.000% due 11/15/2000 (e) 4,778 1,625
Sovereign Bancorp, Inc.
6.630% due 03/15/2001 (d) 14,450 14,297
Sumitomo Bank Treasury Co.
9.400% due 12/29/2049 (d) 29,600 29,126
Telewest Credit Link
10.880% due 02/07/2005 5,000 5,151
Trizec Finance Ltd.
10.880% due 10/15/2005 17,461 17,810
Willis Corroon Corp.
9.000% due 02/01/2009 10,700 9,924
----------
248,870
==========
Industrials 60.3%
360 Networks, Inc.
13.000% due 05/01/2008 7,150 6,542
Abbey Healthcare Group
9.500% due 11/01/2002 14,195 14,177
Adelphia Business Solution
12.250% due 09/01/2004 7,200 6,552
Advanced Lighting
8.000% due 03/15/2008 10,425 7,467
AEI Holding Co.
10.500% due 12/15/2005 11,380 1,764
Allied Waste Industries, Inc.
7.380% due 01/01/2004 15,100 14,118
7.630% due 01/01/2006 9,430 8,487
American Airlines
10.610% due 03/04/2010 650 737
American Media Operation, Inc.
10.250% due 05/01/2009 1,000 978
American Standard, Inc.
7.130% due 02/15/2003 200 197
7.380% due 04/15/2005 5,700 5,472
9.250% due 12/01/2016 2,778 2,792
Amerigas Partners LP
10.130% due 04/15/2007 3,000 3,011
AM-FM, Inc.
8.750% due 06/15/2007 5,650 5,777
8.000% due 11/01/2008 5,000 5,063
Amphenol Corp.
9.880% due 05/15/2007 6,795 6,965
Archibald Candy Corp.
10.250% due 07/01/2004 4,000 2,240
Arco Chemical Co.
9.380% due 12/15/2005 4,215 4,191
Ball Corp.
7.750% due 08/01/2006 8,100 7,918
8.250% due 08/01/2008 7,600 7,401
Beckman Instruments, Inc.
7.100% due 03/04/2003 6,431 6,271
7.450% due 03/04/2008 15,870 14,624
Benedek Communications Corp.
0.000% due 05/15/2006 (c) 1,500 1,320
Beverly Enterprises, Inc.
9.000% due 02/15/2006 18,075 17,081
Boyd Gaming Corp.
9.500% due 07/15/2007 2,000 1,880
British Sky Broadcasting PLC
7.300% due 10/15/2006 1,000 925
8.200% due 07/15/2009 4,000 3,790
Browning-Ferris Industries, Inc.
6.100% due 01/15/2003 (d) 4,100 3,848
7.880% due 03/15/2005 2,000 1,868
Building Materials Corp.
7.750% due 07/15/2005 13,656 8,945
8.630% due 12/15/2006 1,250 831
8.000% due 10/15/2007 1,276 798
8.000% due 12/01/2008 18,250 11,224
Cadmus Communications Corp.
9.750% due 06/01/2009 6,700 6,600
Call-Net Enterprises, Inc.
8.000% due 08/15/2008 8,450 4,014
Canadian Forest Oil Ltd.
8.750% due 09/15/2007 5,650 5,509
Century Communications Corp.
9.750% due 02/15/2002 650 650
0.000% due 03/15/2003 19,960 15,269
8.750% due 10/01/2007 3,800 3,420
CF Cable TV, Inc.
9.130% due 07/15/2007 9,000 9,685
Charter Communications Holding LLC
8.250% due 04/01/2007 13,750 12,530
10.000% due 04/01/2009 7,150 7,034
Clark R & M, Inc.
8.380% due 11/15/2007 3,000 2,430
Clearnet Communications
0.000% due 05/01/2009 (c) 6,000 4,785
Cliffs Drilling Co.
10.250% due 05/15/2003 750 773
Columbia/HCA Healthcare
6.130% due 12/15/2000 2,000 1,990
6.870% due 09/15/2003 1,300 1,247
6.910% due 06/15/2005 1,250 1,179
7.000% due 07/01/2007 3,350 3,110
8.360% due 04/15/2024 6,000 5,585
6.730% due 07/15/2045 5,000 4,797
Columbus McKinnon
8.500% due 04/01/2008 14,750 13,035
Consolidated Container
10.130% due 07/15/2009 8,150 8,201
Container Corp. of America
9.750% due 04/01/2003 1,000 1,010
11.250% due 05/01/2004 6,920 6,989
Continental Cablevision
9.500% due 08/01/2013 10,000 10,656
Cross Timbers Oil Co.
9.250% due 04/01/2007 1,440 1,440
Crown Castle International Corp.
13.250% due 11/15/2007 2,250 1,766
10.750% due 08/01/2011 4,000 4,130
Crown Cork & Seal Co.
7.130% due 09/01/2002 4,115 3,905
2000 Semi-Annual Report See accompanying notes 123
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CSC Holdings, Inc.
9.250% due 11/01/2005 $ 1,000 $ 1,013
9.880% due 05/15/2006 850 873
7.880% due 12/15/2007 100 99
9.880% due 02/15/2013 3,100 3,193
9.880% due 04/01/2023 4,000 4,120
Cumberland Farms
10.500% due 10/01/2003 5,784 5,596
Dade International, Inc.
11.130% due 05/01/2006 500 133
Delta Air Lines, Inc.
10.790% due 03/26/2014 2,264 2,548
Diamond Cable Communication Co.
13.250% due 09/30/2004 (c) 1,500 1,575
0.000% due 12/15/2005 (c)(d) 10,000 9,450
10.750% due 02/15/2007 (c) 10,100 7,626
Dunlop Stand Aerospace Holdings
11.880% due 05/15/2009 3,900 3,944
Echostar Broadband Corp.
10.380% due 10/01/2007 2,000 2,000
Echostar Communications Corp.
9.250% due 02/01/2006 23,046 22,844
9.380% due 02/01/2009 11,000 10,835
Embotelladora Arica S.A.
9.880% due 03/15/2006 16,050 16,712
Emmis Communications Corp.
8.130% due 03/15/2009 200 191
Energis PLC
9.750% due 06/15/2009 7,500 7,425
Extended Stay America
9.150% due 03/15/2008 6,350 6,033
Extendicare Health Services
9.350% due 12/15/2007 2,050 1,210
EZ Communication, Inc.
9.750% due 12/01/2005 2,500 2,627
Fairpoint Communications, Inc.
9.500% due 05/01/2008 7,875 6,891
10.320% due 05/01/2008 (d) 4,500 4,247
12.500% due 05/01/2010 4,200 4,074
Federal-Mogul Corp.
7.500% due 07/01/2004 22,650 9,626
7.380% due 01/15/2006 150 59
7.750% due 07/01/2006 11,350 4,483
Ferrellgas Partners LP
9.380% due 06/15/2006 14,936 14,712
Fisher Scientific International
7.130% due 12/15/2005 13,750 12,237
9.000% due 02/01/2008 17,895 16,554
Flag Telecom Holding Ltd.
11.630% due 03/30/2010 19,200 16,512
Forest Oil Corp.
10.500% due 01/15/2006 3,585 3,710
Fox/Liberty Networks LLC
0.000% due 08/15/2007 (c) 9,750 8,312
Fred Meyer, Inc.
7.450% due 03/01/2008 400 387
Frontiervision L.P.
11.000% due 10/15/2006 2,000 2,005
Garden State Newspapers
8.750% due 10/01/2009 3,955 3,698
8.630% due 07/01/2011 3,900 3,656
Georgia Gulf Corp.
7.630% due 11/15/2005 1,250 1,217
Global Crossing Ltd.
6.000% due 10/15/2013 12,385 11,442
Golden Northwest Aluminum
12.000% due 12/15/2006 2,850 2,814
Gulf Canada Resources Ltd.
9.250% due 01/15/2004 10,975 11,151
9.630% due 07/01/2005 2,830 2,904
8.380% due 11/15/2005 4,000 4,020
Harrahs Operating Co., Inc.
7.880% due 12/15/2005 6,600 6,369
7.500% due 01/15/2009 20,675 19,507
HMH Properties, Inc.
7.880% due 08/01/2005 32,120 30,434
Hollinger International Publishing
8.630% due 03/15/2005 250 249
9.250% due 02/01/2006 4,600 4,629
9.250% due 03/15/2007 680 687
Holmes Products Corp.
9.880% due 11/15/2007 950 565
Horseshoe Gaming Holding
8.630% due 05/15/2009 17,750 17,484
HS Resources, Inc.
9.880% due 12/01/2003 3,650 3,687
9.250% due 11/15/2006 5,250 5,276
Huntsman Corp.
9.500% due 07/01/2007 12,700 10,223
Huntsman ICI Chemicals LLC
10.130% due 07/01/2009 5,400 5,326
Huntsman Polymers Corp.
11.750% due 12/01/2004 4,600 4,669
Impsat Corp.
12.380% due 06/15/2008 8,900 6,964
Intermedia Communications, Inc.
0.000% due 05/15/2006 (c) 25,535 24,386
International Game Technology
7.880% due 05/15/2004 14,800 14,541
8.380% due 05/15/2009 14,100 13,853
Isle of Capri Casinos, Inc.
8.750% due 04/15/2009 500 468
ISP Holdings, Inc.
9.750% due 02/15/2002 4,750 4,274
9.000% due 10/15/2003 24,570 23,587
ITT Corp.
6.250% due 11/15/2000 1,500 1,497
John Q. Hammons Hotels
8.880% due 02/15/2004 2,550 2,384
9.750% due 10/01/2005 200 191
Jones Intercable, Inc.
8.880% due 04/01/2007 5,060 5,309
Jupiters Ltd.
8.500% due 03/01/2006 12,800 12,352
K Mart Corp.
8.130% due 12/16/2003 300 281
12.350% due 01/01/2008 3,920 3,974
8.800% due 07/01/2010 1,144 1,078
9.350% due 01/02/2020 12,936 11,504
9.780% due 01/05/2020 9,575 7,828
Keebler Corp.
10.750% due 07/01/2006 6,000 6,354
KPNQWest BV
8.130% due 06/01/2009 27,600 25,530
L-3 Communications Corp.
10.380% due 05/01/2007 6,450 6,627
8.500% due 05/15/2008 400 374
Lear Corp.
8.250% due 02/01/2002 6,410 6,378
7.960% due 05/15/2005 3,125 2,979
Lenfest Communications
8.380% due 11/01/2005 10,650 11,179
10.500% due 06/15/2006 525 594
Level 3 Communications, Inc.
11.000% due 03/15/2008 5,500 5,280
9.130% due 05/01/2008 31,450 27,204
11.250% due 03/15/2010 1,000 960
Levi Strauss & Co.
6.800% due 11/01/2003 25,350 21,547
Leviathan Gas Corp.
10.380% due 06/01/2009 3,325 3,525
Lin Television Corp.
8.380% due 03/01/2008 9,300 8,882
Lyondell Chemical Co.
9.630% due 05/01/2007 15,435 15,107
Mail-Well Corp.
8.750% due 12/15/2008 20,930 18,314
124 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Mandalay Resort Group
6.750% due 07/15/2003 $ 19,750 $ 18,565
9.250% due 12/01/2005 6,100 6,070
6.450% due 02/01/2006 100 88
10.250% due 08/01/2007 250 258
9.500% due 08/01/2008 500 513
Mark IV Industries, Inc.
7.500% due 09/01/2007 6,730 5,260
Market Hub Partners
8.250% due 03/01/2008 11,580 11,783
Marsh Supermarkets, Inc.
8.880% due 08/01/2007 9,500 8,978
McLeodUSA, Inc.
0.000% due 03/01/2007 (c) 43,525 35,908
8.380% due 03/15/2008 5,100 4,487
9.500% due 11/01/2008 13,625 12,808
8.130% due 02/15/2009 4,837 4,196
Metromedia Fiber Network, Inc.
10.000% due 11/15/2008 14,645 13,766
10.000% due 12/15/2009 15,100 14,194
Metronet Communications
0.000% due 06/15/2008 (c) 16,475 13,460
MGM Grand, Inc.
6.950% due 02/01/2005 30,420 29,244
Mirage Resorts, Inc.
6.630% due 02/01/2005 3,500 3,328
7.250% due 10/15/2006 2,670 2,551
Newpark Resources, Inc.
8.630% due 12/15/2007 4,050 3,827
Nextel Communications, Inc.
9.380% due 11/15/2009 46,700 45,766
Nextel Partners, Inc.
0.000% due 02/01/2009 (c) 11,538 8,163
11.000% due 03/15/2010 200 202
Nextlink Communications, Inc.
9.630% due 10/01/2007 9,000 8,168
10.750% due 06/01/2009 2,425 2,255
10.500% due 12/01/2009 10,000 9,200
NL Industries, Inc.
11.750% due 10/15/2003 1,950 1,989
Nortek, Inc.
9.130% due 09/01/2007 500 475
8.880% due 08/01/2008 750 694
NTL, Inc.
12.750% due 04/15/2005 (c) 700 707
0.000% due 02/01/2006 (c) 20,600 19,570
11.500% due 10/01/2008 7,400 7,178
Octel Developments PLC
10.000% due 05/01/2006 900 851
Orion Network Systems, Inc.
0.000% due 01/15/2007 (c) 13,800 4,761
11.250% due 01/15/2007 14,625 7,678
Owens-Illinois, Inc.
7.850% due 05/15/2004 2,650 2,381
P&L Coal Holdings
8.880% due 05/15/2008 19,050 18,907
Packaging Corp. of America
9.630% due 04/01/2009 3,125 3,180
Park Place Entertainment Corp.
8.880% due 09/15/2008 6,000 5,993
Perry-Judd
10.630% due 12/15/2007 2,320 2,076
Petroleos Mexicanos
9.380% due 12/02/2008 8,000 8,240
PharMerica, Inc.
8.380% due 04/01/2008 15,650 11,503
Phar-Mor, Inc.
11.720% due 09/11/2002 5,905 3,757
Physician Sales and Service, Inc.
8.500% due 10/01/2007 9,250 8,371
Piedmont Aviation, Inc.
10.250% due 03/28/2005 571 559
9.900% due 11/08/2006 716 686
Pioneer National Resources
8.880% due 04/15/2005 20,100 20,573
8.250% due 08/15/2007 6,500 6,368
6.500% due 01/15/2008 6,950 6,157
Polymer Group, Inc.
9.000% due 07/01/2007 11,178 8,663
8.750% due 03/01/2008 10,950 8,705
Price Communications Wireless, Inc.
9.130% due 12/15/2006 8,075 8,196
Pride International, Inc.
9.380% due 05/01/2007 3,100 3,170
Primedia, Inc.
10.250% due 06/01/2004 4,000 4,020
8.500% due 02/01/2006 10,740 10,257
7.630% due 04/01/2008 8,250 7,508
R & B Falcon Corp.
6.500% due 04/15/2003 7,500 7,163
9.250% due 04/15/2005 4,525 4,248
R.H. Donnelly, Inc.
9.130% due 06/01/2008 6,725 6,624
Racers
8.380% due 10/01/2007 21,606 19,952
Renaissance Media Group
0.000% due 04/15/2008 (c) 21,250 14,981
Rogers Cablesystems Ltd.
10.000% due 03/15/2005 4,000 4,250
Rogers Cantel, Inc.
8.300% due 10/01/2007 4,316 4,294
8.800% due 10/01/2007 1,350 1,360
9.380% due 06/01/2008 23,550 24,492
Rural Cellular Corp.
9.630% due 05/15/2008 12,300 11,808
Safety-Kleen Services
9.250% due 06/01/2008 (e) 28,475 1,032
9.250% due 05/15/2009 (e) 14,000 508
Salem Communications
9.500% due 10/01/2007 1,400 1,379
Satelites Mexicanos
11.280% due 06/30/2004 (d) 7,875 5,473
SC International Services, Inc.
9.250% due 09/01/2007 19,450 19,061
Scotia Pacific Co. LLC
7.710% due 01/20/2014 (d) 180 118
Sequa Corp.
9.000% due 08/01/2009 7,550 7,456
Silgan Holdings, Inc.
9.000% due 06/01/2009 14,525 13,254
Smithfield Foods
7.630% due 02/15/2008 2,215 1,999
Smith's Food & Drug Centers, Inc.
8.640% due 07/02/2012 299 316
Station Casinos, Inc.
10.130% due 03/15/2006 2,000 2,010
9.750% due 04/15/2007 6,850 6,867
8.880% due 12/01/2008 800 775
9.880% due 07/01/2010 1,000 1,008
Sterling Chemicals, Inc.
12.380% due 07/15/2006 10,740 10,901
Stone Container Corp.
10.750% due 10/01/2002 12,346 12,577
11.500% due 10/01/2004 2,000 2,065
11.500% due 08/15/2006 4,850 5,020
TeleCorp PCS, Inc.
10.630% due 07/15/2010 1,125 1,142
Telewest Communications PLC
9.630% due 10/01/2006 11,250 10,519
0.000% due 10/01/2007 (c)(d) 10,949 10,538
11.250% due 11/01/2008 1,000 975
9.250% due 04/15/2009 (c) 19,330 10,390
9.880% due 02/01/2010 7,750 7,130
Tenet Healthcare Corp.
7.880% due 01/15/2003 1,000 998
8.630% due 12/01/2003 1,500 1,511
8.000% due 01/15/2005 7,095 7,033
8.630% due 01/15/2007 3,500 3,483
7.630% due 06/01/2008 20,090 19,111
2000 Semi-Annual Report See accompanying notes 125
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Terra Industries
10.500% due 06/15/2005 $ 2,000 $ 1,265
TFM SA de CV
0.000% due 06/15/2009 (c) 8,250 6,249
Triad Hospitals, Inc.
11.000% due 05/15/2009 2,095 2,158
U.S. Air, Inc.
9.630% due 09/01/2003 16,403 15,924
9.330% due 01/01/2006 4,510 4,200
United Defense Industries, Inc.
8.750% due 11/15/2007 1,000 943
United Pan-Europe Communications NV
10.880% due 11/01/2007 11,500 10,062
0.000% due 02/01/2009 (c) 7,990 4,674
10.880% due 08/01/2009 13,800 11,799
Vectura Group, Inc.
10.250% due 06/30/2008 275 235
Vintage Petroleum, Inc.
9.000% due 12/15/2005 9,840 9,988
9.750% due 06/30/2009 6,350 6,636
Voicestream Wireless Holding Corp.
10.380% due 11/15/2009 4,000 4,340
Waste Management, Inc.
7.000% due 05/15/2005 650 618
Western Gas Resources, Inc.
10.000% due 06/15/2009 7,100 7,455
Westinghouse Air Brake
9.380% due 06/15/2005 3,685 3,574
Westpoint Stevens, Inc.
7.880% due 06/15/2008 3,220 2,415
Williams Communications Group, Inc.
7.180% due 11/15/2001 (d) 6,100 6,104
10.700% due 10/01/2007 4,500 4,219
10.880% due 10/01/2009 5,750 5,290
World Color Press, Inc.
8.380% due 11/15/2008 650 633
7.750% due 02/15/2009 1,750 1,634
Worldwide Fiber, Inc.
12.000% due 08/01/2009 7,250 6,489
Young Broadcasting, Inc.
9.000% due 01/15/2006 18,625 17,973
8.750% due 06/15/2007 160 152
-----------
1,841,222
===========
Utilities 7.4%
AES Corp.
10.250% due 07/15/2006 2,661 2,734
8.500% due 11/01/2007 7,800 7,488
9.500% due 06/01/2009 6,585 6,733
Alestra SA
12.130% due 05/15/2006 12,100 11,767
AT&T Corp.
10.630% due 11/01/2008 9,600 10,672
Azurix Corp.
10.380% due 02/15/2007 16,600 15,687
Calpine Corp.
9.250% due 02/01/2004 13,000 13,017
15.000% due 03/15/2004 10,000 10,759
7.630% due 04/15/2006 4,500 4,389
8.750% due 07/15/2007 24,250 24,414
7.880% due 04/01/2008 7,287 7,012
7.750% due 04/15/2009 1,000 953
Carolina Power & Light Co.
7.230% due 07/29/2002 (d) 2,900 2,911
CMS Energy
8.130% due 05/15/2002 4,537 4,506
6.750% due 01/15/2004 750 704
7.000% due 01/15/2005 10,000 9,212
Flag Ltd.
8.250% due 01/30/2008 27,375 24,227
ITC Deltacom, Inc.
11.000% due 06/01/2007 5,385 4,873
8.880% due 03/01/2008 13,300 10,840
Mastec, Inc.
7.750% due 02/01/2008 7,250 6,924
North Atlantic Energy
9.050% due 06/01/2002 9 9
Philippine Long Distance Telephone Co.
10.500% due 04/15/2009 11,150 10,069
Qwest Communications International, Inc.
0.000% due 10/15/2007 (c) 13,040 11,424
0.000% due 02/01/2008 (c) 10,550 8,689
7.500% due 11/01/2008 7,500 7,481
Telekomunikacja Polska SA
7.750% due 12/10/2008 80 77
Wilmington Trust Co. - Tucson Electric
10.210% due 01/01/2009 (b) 500 500
10.730% due 01/01/2013 (b) 8,866 9,359
-----------
227,430
-----------
Total Corporate Bonds & Notes 2,317,522
(Cost $2,532,215) ===========
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 2.3%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 1.8%
Asset Securitization Corp.
7.380% due 08/13/2029 1,500 1,438
Federal Deposit Insurance Corp.
7.860% due 11/25/2026 (d) 400 400
LTC Commercial Corp.
7.970% due 04/15/2028 5,062 4,734
Red Mountain Funding Corp.
9.150% due 11/28/2027 5,727 3,901
Resolution Trust Corp.
6.900% due 02/25/2027 5,428 5,004
7.000% due 05/25/2027 5,734 5,641
Sasco Floating Rate Commercial Mortgage
7.170% due 04/25/2003 (d) 29,800 29,220
Structured Asset Securities Corp.
7.050% due 11/25/2007 4,000 3,837
-----------
54,175
===========
Other Mortgage-Backed Securities 0.5%
LTC Commercial Corp.
9.200% due 08/04/2012 3,235 3,300
NationsBanc Mortgage Capital Corp.
8.040% due 05/25/2028 (d) 3,835 2,732
Nationslink Funding Corp.
7.110% due 01/20/2013 10,500 8,150
-----------
14,182
===========
Stripped Mortgage-Backed Securities 0.0%
Federal National Mortgage Association (IO)
7.000% due 07/25/2008 2,190 278
6.500% due 06/25/2017 351 6
7.000% due 04/25/2019 10,367 640
7.000% due 12/25/2021 3,129 416
Fund America (IO)
9.590% due 10/20/2021 6 57
-----------
1,397
-----------
Total Mortgage-Backed Securities 69,754
(Cost $70,505) ===========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 6.3%
--------------------------------------------------------------------------------
Airplanes Pass Through Trust
10.880% due 03/15/2019 28,515 23,211
Airtrust
6.340% due 06/01/2013 12,942 5,039
AM-FM, Inc.
12.750% due 02/01/2009 (c) 5,550 5,321
Bergen Brunswig Term Loan A
9.120% due 03/31/2005 1,141 1,138
9.190% due 03/31/2005 106 106
9.220% due 03/31/2005 3,423 3,415
9.330% due 03/31/2005 1,141 1,138
Charter Commercial Holdings LLC
9.240% due 03/31/2008 5,000 4,994
Columbia/HCA Healthcare
8.380% due 09/15/2001 7,500 7,444
126 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Conseco Finance
9.300% due 10/15/2030 $ 10,000 $ 10,344
Crown Castle
9.370% due 03/31/2008 3,000 3,010
Global Crossing Ltd.
9.440% due 08/15/2006 3,000 3,020
Green Tree Financial Corp.
8.000% due 07/15/2018 7,000 5,843
Huntsman Corp.
9.750% due 12/31/2005 3,000 2,976
Impress Metal Term Loan G
9.940% due 12/01/2006 2,500 2,520
Jefferson Smurfit
9.940% due 03/31/2006 1,512 1,516
Levi Strauss & Co. Term Loan
9.940% due 02/01/2002 282 277
9.890% due 02/01/2002 960 941
9.930% due 02/01/2002 3,562 3,491
McLeodUSA Loan Term B
9.620% due 05/26/2008 5,000 5,011
Morgan Stanley Aircraft Finance
8.700% due 03/15/2023 22,300 19,683
Primedia, Inc.
9.000% due 07/31/2004 5,000 4,991
Starwood Hotels & Resorts
9.370% due 02/23/2003 8,501 8,518
Stone Container Corp.
10.190% due 10/01/2003 11,204 11,242
10.190% due 10/01/2005 4,759 4,762
9.940% due 10/01/2005 4,377 4,389
Total Renal Care Revolver
9.880% due 03/31/2003 960 909
10.000% due 03/31/2003 4,506 4,393
10.130% due 03/31/2003 133 126
9.880% due 03/31/2003 1,697 1,607
Total Renal Care Term Loan A
9.880% due 03/31/2003 1,017 1,001
Triad Hospitals, Inc.
10.620% due 11/11/2005 (d) 6,882 6,917
Voicestream Term Loan A
9.410% due 12/31/2007 5,000 4,989
Voicestream Term Loan B
9.660% due 02/15/2009 7,500 7,482
Voicestream Vendor Facility
9.660% due 06/30/2009 21,000 20,843
----------
Total Asset-Backed Securities 192,607
(Cost $202,066) ==========
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 0.8%
--------------------------------------------------------------------------------
Republic of Brazil
7.380% due 04/15/2006 (d) 4,650 4,377
United Mexican States
8.500% due 02/01/2006 10,000 10,005
9.880% due 02/01/2010 10,000 10,655
----------
Total Sovereign Issues 25,037
(Cost $24,295) ==========
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 1.8%
--------------------------------------------------------------------------------
Health Care 0.6%
Tenet Healthcare Corp.
6.000% due 12/01/2005 3,250 2,714
Total Renal Care Holdings
7.000% due 05/15/2009 20,100 14,371
----------
17,085
==========
Industrial 1.2%
Aes Drox Energy Ltd.
11.500% due 08/30/2010 3,000 3,188
Hercules Trust VI
9.230% due 12/29/2000 (d) 25,550 25,543
Hilton Hotels Corp.
5.000% due 05/15/2006 1,000 844
Pride International, Inc.
0.000% due 04/24/2018 11,750 5,523
Waste Management, Inc.
4.000% due 02/01/2002 (d) 2,500 2,334
----------
37,432
----------
Total Convertible Bonds & Notes 54,517
(Cost $54,816) ==========
--------------------------------------------------------------------------------
PREFERRED STOCK 3.0%
--------------------------------------------------------------------------------
Shares
CSC Holdings, Inc.
11.125% due 04/01/2008 199,314 21,177
Fresenius Medical Care
9.000% due 12/01/2006 29,995 29,920
7.875% due 02/01/2008 29,900 28,330
Newscorp Overseas Ltd.
8.625% due 12/31/2049 133,200 3,097
Primedia, Inc.
9.200% due 11/01/2009 70,000 6,248
8.625% due 04/01/2010 50,000 4,213
----------
Total Preferred Stock 92,985
(Cost $98,374) ==========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 9.3%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 9.2%
American Electric Power, Inc.
6.700% due 11/01/2000 $ 5,300 5,270
Anz, Inc.
6.520% due 11/03/2000 1,500 1,491
6.480% due 11/07/2000 7,900 7,849
6.480% due 11/28/2000 4,200 4,153
AT&T Corp.
6.510% due 11/08/2000 25,600 25,428
6.530% due 11/15/2000 7,800 7,738
6.470% due 12/13/2000 2,100 2,072
6.510% due 12/13/2000 6,300 6,212
Bank One Corp.
6.500% due 11/15/2000 7,200 7,143
Bell Atlantic Financial Services
6.530% due 11/01/2000 6,300 6,266
Bellsouth Capital Funding
6.490% due 12/06/2000 11,700 11,549
CDC
6.530% due 10/18/2000 600 598
Cox Communications
6.730% due 11/06/2000 24,000 23,843
CSX Corp.
6.700% due 10/10/2000 13,500 13,480
Dominion Resources, Inc.
6.710% due 11/16/2000 4,400 4,363
Edison Midwest
6.720% due 11/01/2000 2,400 2,387
6.700% due 11/08/2000 5,000 4,966
6.730% due 11/15/2000 3,100 3,075
Federal Home Loan Bank
6.440% due 10/11/2000 2,800 2,795
Ford Motor Credit Corp.
6.550% due 10/18/2000 400 399
General Electric Capital Corp.
6.520% due 10/25/2000 1,300 1,295
6.470% due 12/14/2000 7,400 7,295
6.510% due 01/24/2001 500 489
Gillette Co.
6.460% due 12/12/2000 3,600 3,550
Houston Industries
6.800% due 11/08/2000 6,300 6,256
2000 Semi-Annual Report See accompanying notes 127
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
September 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Prinicipal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
<S> <C> <C>
Infinity Broadcasting Corp.
6.700% due 11/15/2000 $ 1,100 $ 1,091
6.700% due 11/16/2000 5,600 5,553
6.700% due 11/17/2000 25,400 25,182
6.710% due 11/21/2000 6,100 6,043
Ingersoll-Rand Co.
6.700% due 11/15/2000 14,600 14,480
International Paper Co.
6.700% due 10/10/2000 4,600 4,593
6.720% due 11/17/2000 4,200 4,164
Nabisco, Inc.
6.700% due 10/18/2000 9,600 9,572
SBC Communications, Inc.
6.460% due 12/06/2000 2,200 2,173
Swedbank, Inc.
6.510% due 01/19/2001 17,900 17,532
Texas Utilities Co.
6.700% due 10/18/2000 7,300 7,278
Verizon Global Funding
6.460% due 12/07/2000 9,600 9,476
6.470% due 12/14/2000 3,300 3,252
Yorkshire Building Society
6.460% due 12/21/2000 12,300 12,109
-----------
282,460
===========
Repurchase Agreements 0.1%
State Street Bank
5.850% due 10/02/2000 2,762 2,762
(Dated 9/29/2000. Collateralized by
Federal National Mortgage Association
6.100% due 08/10/2001 valued at $2,822.
Repurchase proceeds are $2,763.)
-----------
Total Short-Term Instruments 285,222
(Cost $285,306) ===========
Total Investments (a) 99.3% $ 3,037,644
(Cost $3,267,577)
Other Assets and Liabilities (Net) 0.7% 21,880
-----------
Net Assets 100.0% $ 3,059,524
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 21,883
Aggregate gross unrealized depreciation
for all investments in which there was an
excess of tax cost over value. (251,816)
-----------
Unrealized depreciation-net $ (229,933)
===========
</TABLE>
(b) Restricted security.
(c) Security becomes interest bearing at a future date.
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Security is in default.
128 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Total Return Mortgage Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 0.3%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (e)
3.625% due 07/15/2002 $ 54 $ 54
--------
Total U.S. Treasury Obligations 54
(Cost $54) ========
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 124.2%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 52.8%
Chase Mortgage Finance Corp.
7.000% due 07/25/2024 607 603
7.000% due 12/25/2028 334 308
Countrywide Alternative Loan Trust
6.750% due 08/25/2028 95 93
Countrywide Home Loans
6.750% due 11/25/2027 38 38
DLJ Mortgage Acceptance Corp.
7.000% due 06/25/2028 138 130
Federal Home Loan Mortgage Corp.
6.000% due 06/15/2008 432 423
6.328% due 02/01/2018 (d) 172 168
4.500% due 03/15/2021 52 47
6.750% due 08/15/2021 1,000 986
3.500% due 12/15/2022 10 7
6.500% due 12/15/2023 46 42
6.500% due 03/15/2024 107 94
6.900% due 04/15/2026 1,035 1,022
8.000% due 06/15/2026 70 71
6.500% due 05/15/2027 73 66
7.000% due 01/15/2028 150 131
6.000% due 10/15/2028 153 131
Federal National Mortgage Assn.
6.900% due 08/25/2011 100 97
6.500% due 02/25/2019 1,044 1,035
7.750% due 08/25/2022 63 64
7.500% due 03/25/2023 96 94
7.625% due 04/25/2023 (d) 25 26
6.500% due 09/25/2023 36 32
6.750% due 09/25/2023 53 47
7.000% due 09/25/2023 16 15
6.500% due 10/25/2023 217 199
6.500% due 12/25/2023 170 143
7.100% due 12/25/2023 41 39
7.020% due 04/18/2028 (d) 124 124
General Electric Capital Mortgage Services, Inc.
7.000% due 01/25/2028 100 92
6.750% due 06/25/2028 200 188
Government National Mortgage Assn.
7.500% due 12/20/2022 149 149
Norwest Asset Securities Corp.
6.250% due 01/25/2029 174 162
PNC Mortgage Securities Corp.
6.750% due 09/25/2028 1,099 1,036
Residential Accredit Loans, Inc.
7.000% due 01/25/2028 386 384
Superannuation Members Home Loans Global Fund
6.915% due 06/15/2026 (d) 300 300
Vendee Mortgage Trust
7.750% due 05/15/2022 38 38
--------
8,624
========
Federal Home Loan Mortgage Corporation 3.1%
5.500% due 02/01/2001 154 151
6.000% due 10/01/2024 150 142
7.000% due 02/01/2027 113 111
7.556% due 11/01/2028 (d) 107 109
--------
513
========
Federal National Mortgage Association 22.4%
5.805% due 10/01/2028 (d) 494 476
6.000% due 10/01/2099 700 654
6.483% due 11/01/2018 (d) 43 43
7.500% due 12/01/2099 2,000 1,995
7.519% due 05/01/2023 (d) 168 169
9.000% due 01/01/2020 304 317
--------
3,654
========
Government National Mortgage Association 44.9%
6.375% due 03/20/2027 (d) 9 9
6.750% due 07/20/2022-07/20/2025 (c)(d) 538 543
7.125% due 12/20/2021-11/20/2026 (c)(d) 392 395
7.375% due 03/20/2016-01/20/2027 (c)(d) 1,326 1,335
7.500% due 05/15/2027-08/15/2027 (c) 124 124
8.000% due 12/15/2099 4,450 4,529
8.500% due 12/31/2099 400 411
--------
7,346
========
Stripped Mortgage-Backed Securities 1.0%
Federal National Mortgage Association (IO)
6.500% due 07/25/2007 59 3
Federal National Mortgage Association (PO)
0.000% due 07/25/2022 264 162
--------
165
--------
Total Mortgage-Backed Securities 20,302
(Cost $20,119) ========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 2.8%
--------------------------------------------------------------------------------
Bayview Financial Acquisition Trust
7.011% due 07/25/2030 (d) 197 197
MLCC Mortgage Investors, Inc.
6.998% due 03/15/2025 (d) 253 254
--------
Total Asset-Backed Securities 451
(Cost $450) ========
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.1%
--------------------------------------------------------------------------------
Technology 0.1%
Clear Channel Communications, Inc.
1.500% due 12/01/2002 10 9
--------
Total Convertible Bonds & Notes 9
(Cost $10) ========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 18.8%
--------------------------------------------------------------------------------
Commercial Paper 17.0%
Alcoa, Inc.
6.450% due 12/21/2000 200 197
American Electric Power, Inc.
6.760% due 10/04/2000 400 400
AT&T Corp.
6.510% due 12/13/2000 200 197
Conagra, Inc.
6.670% due 10/04/2000 600 600
6.670% due 11/15/2000 300 298
Eastman Kodak Co.
6.460% due 12/04/2000 200 198
General Electric Capital Corp.
6.470% due 12/20/2000 200 197
Ingersoll-Rand Co.
6.690% due 10/04/2000 300 300
KFW International Finance
6.460% due 12/06/2000 300 297
Yorkshire Building Society
6.490% due 11/14/2000 100 99
--------
2,783
========
Repurchase Agreement 1.7%
State Street Bank
5.850% due 10/02/2000 285 285
(Dated 9/29/2000. Collateralized by --------
Federal Home Loan Mortgage Corp.
7.050% due 09/19/2003 valued at $295.
Repurchase proceeds are $285.)
U.S. Treasury Bills (b) 0.1%
5.925% due 02/01/2001 10 10
--------
Total Short-Term Instruments 3,078
(Cost $3,077) ========
2000 Semi-Annual Report See accompanying notes 129
<PAGE>
Schedule of Investments (Cont.)
Total Return Mortgage Fund
September 30, 2000 (Unaudited)
Value
(000s)
--------------------------------------------------------------------------------
Total Investments (a) 146.2% $ 23,894
(Cost $23,710)
Other Assets and Liabilities (Net) (46.2%) (7,548)
--------
Net Assets 100.0% $ 16,346
========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 229
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (45)
--------
Unrealized appreciation-net $ 184
========
(b) Securities with an aggregate market value of $10 have been segregated with
the custodian to cover margin requirements for the following open futures
contracts at September 30, 2000:
# of Unrealized
Type Contracts Appreciation
--------------------------------------------------------------------------------
U.S. Treasury 10 Year Note (12/2000) 1 $ 0
--------
(c) Securities are grouped by coupon or range of coupons
and represent a range of maturities.
(d) Variable rate security. The rate listed is as of
September 30, 2000.
(e) Principal amount of the security is adjusted for inflation.
130 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
GNMA Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 2.7%
Treasury Inflation Protected Securities (d)
3.625% due 07/15/2002 (e) $ 108 $ 108
3.625% due 01/15/2008 107 104
--------
Total U.S. Treasury Obligations 212
(Cost $213) ========
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 92.6%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 69.8%
ABN AMRO Mortgage Corp.
6.750% due 04/25/2029 221 161
Countrywide Home Loans
6.500% due 02/25/2009 338 336
Federal Home Loan Mortgage Corp.
6.750% due 03/15/2019 381 380
Federal Housing Administration
7.430% due 03/01/2022 164 165
8.130% due 09/01/2040 90 90
8.137% due 09/01/2040 385 385
Federal National Mortgage Assn.
7.000% due 05/25/2006 126 125
6.000% due 11/18/2017 158 156
6.500% due 02/25/2019 1,740 1,725
6.000% due 03/25/2020 1,179 1,167
6.500% due 09/25/2023 283 247
General Electric Capital Mortgage
Services, Inc.
6.750% due 06/25/2028 50 47
Residential Accredit Loans, Inc.
7.000% due 01/25/2028 598 595
--------
5,579
========
Federal National Mortgage Association 0.8%
9.000% due 07/01/2018 65 67
--------
Government National Mortgage Association 22.0%
6.750% due 07/20/2018-08/20/2025 (b)(c) 321 325
7.125% due 12/20/2017 (b) 87 88
7.375% due 05/20/2016-02/20/2026 (b)(c) 1,200 1,212
11.250% due 07/20/2015 119 128
--------
1,753
========
Stripped Mortgage-Backed Securities 0.0%
Federal Home Loan Mortgage Corp. (IO)
0.000% due 05/15/2010 139 1
--------
Total Mortgage-Backed Securities 7,400
(Cost $7,429) ========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 0.9%
--------------------------------------------------------------------------------
CS First Boston Mortgage Securities Corp.
6.620% due 09/25/2009 59 58
The Money Store Home Equity Trust
6.345% due 11/15/2021 (b) 18 18
--------
Total Asset-Backed Securities 76
(Cost $76) ========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 5.8%
--------------------------------------------------------------------------------
Commercial Paper 2.5%
Alcoa, Inc.
6.450% due 12/21/2000 200 197
--------
Repurchase Agreement 3.3%
State Street Bank
5.850% due 10/02/2000 266 266
(Dated 9/29/2000. Collateralized by
Federal Home Loan Mortgage Corp.
7.050% due 09/19/2003 valued at $275.
Repurchase proceeds are $266.)
--------
Total Short-Term Instruments 463
(Cost $463) ========
Total Investments (a) 102.0% $ 8,151
(Cost $8,181)
Other Assets and Liabilities (Net) (2.0%) (161)
--------
Net Assets 100.0% $ 7,990
========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 52
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (82)
--------
Unrealized depreciation-net $ (30)
========
(b) Variable rate security. The rate listed is as of September 30, 2000.
(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 financing transaction.
2000 Semi-Annual Report See accompanying notes 131
<PAGE>
Schedule of Investments
Real Return Bond Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 50.4%
--------------------------------------------------------------------------------
Banking & Finance 29.8%
Allied Irish Banks
7.030% due 09/07/2006 (d) $ 1,200 $ 1,205
Allstate Financial Global Funding
7.130% due 09/26/2005 2,500 2,501
Associates Corp. of North America
6.780% due 08/27/2001 (d) 1,500 1,504
6.960% due 05/08/2003 (d) 1,500 1,499
AT&T Capital Corp.
7.110% due 09/13/2001 (d) 500 501
7.010% due 04/23/2002 (d) 1,000 1,003
Bank One Corp.
6.900% due 09/26/2003 (d) 5,000 4,997
Bear Stearns Co., Inc.
7.090% due 08/01/2002 (d) 500 501
7.130% due 03/28/2003 (d) 6,000 6,000
7.050% due 09/21/2004 (d) 1,000 999
Chase Manhattan Corp.
6.960% due 12/10/2001 (d) 500 504
CIT Group, Inc.
6.750% due 05/14/2001 1,000 1,000
Citigroup, Inc.
6.710% due 09/17/2001 (d) 335 336
Dime Bancorp, Inc.
7.000% due 07/25/2001 4,225 4,206
Donaldson, Lufkin & Jenrette, Inc.
6.760% due 04/25/2003 (d) 7,500 7,497
DQE Capital Corp.
7.230% due 01/15/2002 (d) 1,000 1,000
Export-Import Bank Korea
6.500% due 11/15/2006 2,500 2,435
Finova Capital Corp.
7.340% due 11/08/2002 (d) 2,800 2,277
First Union Corp.
7.550% due 08/18/2005 10,000 10,129
Florida Windstorm
6.700% due 08/25/2004 500 494
Ford Motor Credit Corp.
6.990% due 07/16/2002 (d) 1,000 1,002
6.810% due 02/13/2003 (d) 350 350
6.950% due 06/20/2003 (d) 15,500 15,511
General Motors Acceptance Corp.
6.910% due 12/15/2000 (d) 1,500 1,500
6.920% due 07/20/2002 6,475 6,475
6.860% due 12/09/2002 (d) 2,000 2,002
Gold Eagle Capital Ltd.
9.000% due 04/15/2001 1,000 999
12.130% due 04/15/2001 2,440 2,440
Heller Financial, Inc.
7.060% due 02/05/2001 400 400
6.890% due 04/26/2002 (d) 250 250
6.500% due 07/22/2002 1,000 989
7.500% due 08/23/2002 5,700 5,739
6.970% due 04/28/2003 (d) 3,000 2,987
Household Finance Corp.
7.090% due 08/06/2002 (d) 2,000 2,006
J.P. Morgan & Co.
8.080% due 02/15/2012 3,470 3,002
Juno Reinsurance
10.370% due 06/26/2002 (d) 750 728
Korea Development Bank
5.890% due 03/01/2002 (d) 500 471
8.290% due 06/16/2003 (d) 500 490
Lehman Brothers Holdings, Inc.
9.880% due 10/15/2000 250 250
6.130% due 02/01/2001 2,600 2,592
7.680% due 04/02/2002 (d) 500 504
6.970% due 06/03/2002 (d) 2,500 2,498
7.530% due 07/15/2002 (d) 600 605
6.970% due 09/03/2002 (d) 2,000 1,999
MBNA America Bank NA
6.970% due 04/25/2002 (d) 500 499
Merrill Lynch & Co.
6.790% due 11/01/2001 (d) $ 3,000 $ 3,003
7.090% due 02/08/2002 (d) 400 401
6.920% due 02/04/2003 (d) 2,000 1,999
6.990% due 08/01/2003 (d) 4,000 4,002
Monumental Global Funding II
6.910% due 09/26/2003 (d) 2,000 2,000
Morgan Stanley, Dean Witter, Discover
and Co.
6.840% due 12/17/2001 (d) 300 300
6.880% due 04/15/2002 (d) 1,000 1,001
6.890% due 02/21/2003 (d) 1,500 1,503
6.850% due 03/11/2003 (d) 2,000 1,997
National Westminster Bank
7.160% due 09/16/2002 (d) 3,500 3,514
NeHi, Inc.
11.310% due 06/09/2003 (d) 4,000 4,020
Old Kent Bank
7.460% due 11/01/2005 (d) 1,000 999
Pemex Finance Ltd.
6.130% due 11/15/2003 433 426
Protective Life Funding Trust
7.090% due 01/17/2003 (d) 1,000 999
Prudential Funding Corp.
6.960% due 10/18/2001 (d) 3,000 3,005
6.380% due 07/23/2006 2,000 1,901
PS Colorado Credit Corp.
7.480% due 05/30/2002 (d) 1,300 1,299
Qwest Capital Funding, Inc.
7.200% due 07/08/2002 (d) 1,000 1,001
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (d) 2,797 2,764
6.960% due 04/28/2003 (d) 3,000 3,001
Seismic Ltd.
11.270% due 01/01/2002 (d) 2,500 2,500
Textron Financial Corp.
6.960% due 10/26/2001 (d) 2,500 2,505
7.030% due 09/17/2002 (d) 5,000 5,006
7.150% due 12/09/2002 (d) 4,000 4,001
Toyota Motor Credit Corp.
7.320% due 02/15/2002 (d) 400 393
--------
160,416
========
Industrials 11.0%
AIC Corp.
6.150% due 10/02/2002 (d) 250 249
Alpha Wind
11.320% due 05/23/2001 (d) 1,500 1,500
Arrow Electronics, Inc.
7.440% due 11/24/2000 (d) 1,500 1,500
Atlas Air, Inc.
10.470% due 10/04/2004 (d) 4,400 4,400
Columbia/HCA Healthcare
8.160% due 09/19/2002 (d) 8,000 8,000
Cox Enterprises, Inc.
7.610% due 05/01/2033 (d) 2,000 1,999
DaimlerChrysler Holdings
7.000% due 08/16/2004 (d) 5,000 5,008
Delta Air Lines, Inc.
8.540% due 01/02/2007 3,932 4,042
Enron Corp.
7.110% due 09/10/2001 (d) 2,500 2,500
8.000% due 08/15/2005 3,000 3,046
Global Crossing Ltd.
6.000% due 10/15/2013 1,250 1,155
Packaging Corp. of America
8.630% due 06/20/2007 37 37
Petroleos Mexicanos
9.500% due 09/15/2027 4,750 4,904
Philip Morris Cos., Inc.
9.000% due 01/01/2001 1,000 1,002
7.250% due 09/15/2001 1,000 995
Raytheon Co.
5.950% due 03/15/2001 4,000 3,971
7.020% due 08/10/2001 (d) 1,600 1,601
Staples, Inc.
7.670% due 11/26/2001 (d) 2,000 2,000
132 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Tyco International Group SA
7.370% due 03/05/2001 (d) $ 2,000 $ 2,002
United Air Lines, Inc.
6.890% due 12/02/2002 (d) 1,189 1,182
Vodafone AirTouch PLC
6.860% due 12/19/2001 (d) 6,500 6,509
Waste Management, Inc.
7.100% due 08/01/2026 1,500 1,450
--------
59,052
========
Utilities 9.6%
Coastal Corp.
7.330% due 07/21/2003 (d) 5,000 5,012
Commonwealth Edison Co.
7.160% due 09/30/2002 (d) 1,000 1,000
Deutsche Telekom AG
7.750% due 06/15/2005 10,000 10,247
Dominion Resources, Inc.
7.600% due 07/15/2003 5,000 5,054
Entergy Gulf States, Inc.
8.040% due 06/02/2003 (d) 2,500 2,502
Hawaiian Electric Industries, Inc.
7.780% due 04/15/2003 (d) 2,000 2,002
Hughes Electric
7.560% due 10/23/2000 3,500 3,501
Nabors Industries, Inc.
0.000% due 06/20/2020 5,000 3,488
National Rural Utilities Cooperative
6.880% due 05/31/2002 (d) 1,900 1,899
Oneok, Inc.
7.390% due 04/24/2002 (d) 2,000 2,002
Public Service Enterprise Group, Inc.
7.040% due 06/15/2001 500 500
Scana Corp.
7.210% due 02/08/2002 (d) 1,900 1,901
7.380% due 07/15/2002 (d) 3,900 3,905
Sierra Pacific Resources
7.390% due 04/20/2002 (d) 1,000 1,000
7.340% due 04/20/2003 (d) 2,000 2,001
Sprint Capital Corp.
6.970% due 11/15/2001 (d) 1,000 1,000
7.010% due 06/10/2002 (d) 3,000 3,001
Texas Utilities Co.
7.210% due 06/25/2001 (d) 1,300 1,299
7.590% due 09/24/2001 (d) 500 503
--------
51,817
--------
Total Corporate Bonds & Notes 271,285
(Cost $270,393) ========
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 1.0%
--------------------------------------------------------------------------------
Florida 0.7%
Tampa Florida Utility Tax & Special
Revenue Bond,
(AMBAC Insured), Series 2000
6.000% due 10/01/2004 3,580 3,701
--------
New Mexico 0.1%
New Mexico Mortgage Finance Authorities Revenue
Bonds,
(GNMA, FNMA, FHLMC Insured), Series 1997
7.000% due 07/01/2006 350 351
--------
New York 0.0%
New York City Municipal Bond, Series 1997
6.960% due 08/01/2002 (d) 76 76
--------
Ohio 0.2%
Hamilton Ohio School Districts Gas Supply Revenue
Bonds,
Northern Ohio, (MBIA Insured), Series
1999
6.910% due 08/01/2001 1,500 1,504
--------
Total Municipal Bonds & Notes 5,632
(Cost $5,645) ========
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 1.3%
--------------------------------------------------------------------------------
Federal Farm Credit Bank
6.360% due 02/14/2002 (d) $ 600 $ 591
Federal Home Loan Bank
7.270% due 02/15/2002 (d) 2,485 2,454
Federal National Mortgage Association
7.860% due 03/13/2002 (d) 2,000 1,972
Student Loan Marketing Assn.
6.480% due 07/25/2004 (d) 70 70
6.830% due 10/25/2004 (d) 80 80
6.920% due 04/25/2006 (d) 1,505 1,499
6.700% due 01/25/2007 (d) 292 292
--------
Total U.S. Government Agencies 6,958
(Cost $6,943) ========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 129.6%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities
(c)
3.630% due 07/15/2002 (b)(h) 187,839 187,781
3.380% due 01/15/2007 (h) 145,100 140,340
3.630% due 01/15/2008 (h) 211,738 206,909
3.880% due 01/15/2009 (h) 43,253 42,902
4.250% due 01/15/2010 1,026 1,048
3.630% due 04/15/2028 (h) 54,101 51,431
3.880% due 04/15/2029 66,981 66,563
--------
Total U.S. Treasury Obligations 696,974
(Cost $694,182) ========
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 0.9%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 0.6%
Federal Home Loan Mortgage Corp.
7.000% due 07/15/2022 2,941 2,937
6.500% due 01/25/2028 100 91
Federal National Mortgage Association
7.060% due 10/25/2008 (d) 261 261
6.500% due 02/25/2029 121 86
--------
3,375
========
Federal Home Loan Mortgage Corporation 0.1%
7.430% due 12/01/2020-02/01/2023 (d)(i) 425 426
--------
Federal National Mortgage Association 0.1%
8.520% due 10/01/2024 (d) 412 423
--------
Other Mortgage-Backed Securities 0.1%
CMC Securities Corp.
6.000% due 11/25/2008 532 529
--------
Total Mortgage-Backed Securities 4,753
(Cost $4,773) ========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 8.7%
--------------------------------------------------------------------------------
Aesop Funding LLC
6.570% due 11/20/2006 14,000 14,000
AFC Home Equity Loan Trust
6.840% due 03/25/2027 (d) 201 201
American Residential Eagle Trust
6.960% due 07/25/2029 (d) 6,173 6,175
Asset Backed Securities Corp. Home Equity
6.990% due 06/21/2029 (d) 5,979 5,998
Conseco Finance
7.890% due 07/15/2018 2,000 2,035
8.170% due 12/15/2025 2,000 2,062
6.290% due 10/15/2030 809 809
Conseco Finance Home Loan Trust
8.880% due 06/15/2024 750 763
Contimortgage Home Equity Loan Trust
6.020% due 01/25/2014 101 100
EQCC Home Equity Loan Trust
6.870% due 03/20/2029 219 219
Huntsman Corp.
9.750% due 12/31/2005 1,000 992
IMC Home Equity Loan Trust
6.610% due 06/20/2013 124 124
2000 Semi-Annual Report See accompanying notes 133
<PAGE>
Schedule of Investments (Cont.)
Real Return Bond Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MMCA Automobile Trust
6.300% due 06/15/2002 $ 1,840 $ 1,840
Oakwood Mortgage Investors, Inc.
6.450% due 11/15/2027 359 358
Onyx Acceptance Auto Trust
6.590% due 09/15/2002 1,166 1,167
6.350% due 10/15/2003 395 394
Pacific Southwest Bank
6.060% due 06/15/2002 6 6
Premier Auto Trust
5.500% due 07/09/2001 26 26
Residential Funding Mortgage
Securities, Inc.
10.930% due 06/01/2001 4,000 4,000
5.460% due 07/25/2029 43 43
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 268 267
Voicestream Vendor Facility
9.660% due 06/30/2009 5,000 4,963
WMC Mortgage Loan
6.830% due 03/20/2028 (d) 83 83
-----------
Total Asset-Backed Securities 46,625
(Cost $46,510) ===========
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 0.3%
--------------------------------------------------------------------------------
Central Bank Philippines
7.940% due 06/01/2008 (d) 1,778 1,591
United Mexican States Recovery Rights
0.000% due 06/30/2003 3,025 0
-----------
Total Sovereign Issues 1,591
(Cost $1,616) ===========
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(f) 1.6%
--------------------------------------------------------------------------------
Caisse D'amort Dette Soc
3.800% due 07/25/2006 EC 5,070 4,490
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 5,800 2,475
Kingdom of Sweden
0.000% due 04/01/2004 SK 7,427 718
Newcourt Credit Group
7.630% due 06/28/2001 C$ 500 335
United Mexican States
1.100% due 12/31/2019 (d) JY 70,000 635
-----------
Total Foreign Currency-Denominated Issues 8,653
(Cost $9,324) ===========
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
--------------------------------------------------------------------------------
U.S. Treasury Inflation Protected
Securities (OTC)
Strike @ 96.50 Exp. 01/29/2001 $ 100,000 0
-----------
Total Purchased Put Options 0
(Cost $33) ===========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 14.0%
--------------------------------------------------------------------------------
Commercial Paper 11.0%
Alcoa, Inc.
6.450% due 12/21/2000 2,100 2,069
Cba (de) Finance
6.460% due 12/14/2000 500 493
Cox Communications
6.730% due 11/06/2000 2,000 1,987
CSX Corp.
6.710% due 12/14/2000 1,200 1,198
DaimlerChrysler AG
6.460% due 12/19/2000 200 197
Dominion Resources, Inc.
6.710% due 11/06/2000 4,000 3,974
6.710% due 11/16/2000 4,000 3,966
Edison Midwest
6.740% due 11/08/2000 8,300 8,243
Federal Home Loan Mortgage Corp.
6.440% due 10/12/2000 7,000 6,987
Gannett Co.
6.490% due 11/20/2000 1,000 991
Ingersoll-Rand Co.
6.700% due 11/08/2000 13,000 12,910
International Paper Co.
6.700% due 11/01/2000 8,800 8,751
Motorola, Inc.
6.480% due 12/26/2000 7,000 6,889
Texas Utilities Co.
6.700% due 10/18/2000 500 499
-----------
59,154
===========
Repurchase Agreements 3.0%
State Street Bank
5.850% due 10/02/2000 16,142 16,142
(Dated 9/29/2000. Collateralized
by Federal National Mortgage Association
7.050% due 02/28/2002 valued at $16,467.
Repurchase proceeds are $16,150.)
-----------
Total Short-Term Instruments 75,296
(Cost $75,301) ===========
Total Investments (a) 207.8% $ 1,117,767
(Cost $1,114,720)
Other Assets and Liabilities (Net) (107.8%) (579,822)
-----------
Net Assets 100.0% $ 537,945
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 4,706
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (1,659)
-----------
Unrealized appreciation-net $ 3,047
===========
(b) Securities with an aggregate market value of $862 have been segregated with
the custodian to cover margin requirements for the following open futures
contracts at September 30, 2000:
# of Unrealized
Type Contracts Appreciation
--------------------------------------------------------------------------------
U.S. Treasury 10 Year Note (12/2000) 200 $ 101
EuroBond 10 Year Note Written Put Options (11/2000) 121 44
-----------
$ 145
===========
(c) Principal amount of the security is adjusted for inflation.
(d) Variable rate security. The rate listed is as of September 30, 2000.
134 PIMCO Funds See accompanying notes
<PAGE>
--------------------------------------------------------------------------------
(e) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell C$ 560 10/2000 $ 5
Sell EC 5,284 11/2000 (9)
Buy JY 82,319 10/2000 (14)
Sell 243,632 10/2000 3
Buy 82,319 11/2000 0
Sell N$ 5,688 10/2000 131
Sell 539 11/2000 3
Sell SK 6,170 10/2000 12
-----------
$ 131
===========
(f) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
EC - Euro
JY - Japanese Yen
N$ - New Zealand Dollar
SK - Swedish Krona
(g) Swap agreements outstanding at September 30, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive floating rate based on 3-month
LIBOR plus 0.470% and pay a fixed rate
equal to 7.750%.
Broker: Morgan Stanley
Exp. 06/15/2005 $ 10,000 $ (215)
Receive floating rate based on 3-month
LIBOR plus 0.500% and pay a fixed rate
equal to 7.600%.
Broker: Lehman Brothers
Exp. 07/15/2003 5,000 (50)
Receive floating rate based on 3-month
LIBOR plus 1.000% and pay to the
counterparty the notional amount of
$5,000 in exchange for shares of Nabors
Industries, Inc. due 06/20/2020 when
the convertible debentures mature.
Broker: Morgan Stanley
Exp. 06/20/2003 3,042 (1)
Receive floating rate based on 3-month
LIBOR and pay a fixed rate equal to
7.005%.
Broker: Goldman Sachs
Exp. 08/17/2005 10,000 (109)
Receive fixed rate equal to 0.410% and the
Fund will pay to the counterparty at
par in the event of default of Time Warner, Inc.
7.750% due 06/15/2005.
Broker: Goldman Sachs
Exp. 11/10/2002 1,000 0
-----------
$ (375)
===========
(h) Subject to financing transaction.
(i) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
2000 Semi-Annual Report See accompanying notes 135
<PAGE>
Schedule of Investments
Foreign Bond Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ARGENTINA (f)(g) 0.3%
--------------------------------------------------------------------------------
Republic of Argentina
5.000% due 12/20/2002 JY 219,000 $ 2,041
-------------
Total Argentina 2,041
(Cost $1,741) =============
--------------------------------------------------------------------------------
ARUBA (f)(g) 0.3%
--------------------------------------------------------------------------------
YTP Finance (Aruba)
3.500% due 07/18/2012 JY 200,000 1,901
-------------
Total Aruba 1,901
(Cost $1,899) =============
--------------------------------------------------------------------------------
AUSTRALIA (f)(g) 3.7%
--------------------------------------------------------------------------------
Bankers Trust Corp.
6.970% due 06/02/2008 (d) $ 4,800 4,672
General Electric Capital Funding
6.750% due 09/15/2007 A$ 750 410
General Motors Acceptance Corp.
5.020% due 03/25/2002 EC 10,300 9,080
Registered Australian Mortgage Securities
4.770% due 09/26/1932 (d) 4,761 4,203
Torrens Trust
6.880% due 07/15/2031 (d) $ 3,211 3,211
-------------
Total Australia 21,576
(Cost $22,819) =============
--------------------------------------------------------------------------------
AUSTRIA (f)(g) 0.2%
--------------------------------------------------------------------------------
Republic of Austria
5.500% due 01/15/2010 EC 1,200 1,052
-------------
Total Austria 1,052
(Cost $1,041) =============
--------------------------------------------------------------------------------
BELGIUM (f)(g) 0.7%
--------------------------------------------------------------------------------
Kingdom of Belgium
9.000% due 03/28/2003 EC 5 5
6.750% due 11/21/2004 (d) BF 183,200 4,215
-------------
Total Belgium 4,220
(Cost $6,060) =============
--------------------------------------------------------------------------------
BRAZIL (f)(g) 0.2%
--------------------------------------------------------------------------------
Republic of Brazil
7.880% due 01/01/2001 (d) $ 148 148
7.380% due 04/15/2006 (d) 10 9
11.250% due 07/26/2007 1,000 1,004
14.500% due 10/15/2009 200 221
-------------
Total Brazil 1,382
(Cost $1,325) =============
--------------------------------------------------------------------------------
BULGARIA (f)(g) 0.8%
--------------------------------------------------------------------------------
Republic of Bulgaria
7.750% due 07/28/2011 (d) $ 2,670 2,023
2.750% due 07/28/2012 (d) 1,300 947
7.750% due 07/28/2024 (d) 2,600 1,989
-------------
Total Bulgaria 4,959
(Cost $4,909) =============
--------------------------------------------------------------------------------
CANADA (f)(g) 0.5%
--------------------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 3,440 2,292
Commonwealth of Canada
5.250% due 09/01/2003 640 419
-------------
Total Canada 2,711
(Cost $2,813) =============
--------------------------------------------------------------------------------
CAYMAN ISLANDS (f)(g) 2.9%
--------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C
5.300% due 09/21/2000 JY 200,000 1,852
Capital Credit Card Corp.
5.630% due 10/15/2004 DM 2,800 1,266
Daiwa International Finance Cayman
5.000% due 12/28/2004 JY 300,000 2,806
Fuji Finance (Cayman)
7.290% due 04/15/2010 (d) $ 1,900 1,894
MBNA American Euro
4.980% due 05/19/2004 (d) EC 8,100 7,465
Sakura Capital Funding
7.560% due 09/29/2049 (d) $ 1,600 1,552
-------------
Total Cayman Islands 16,835
(Cost $18,212) =============
--------------------------------------------------------------------------------
COLOMBIA (f)(g) 0.2%
--------------------------------------------------------------------------------
Republic of Colombia
3.000% due 12/22/2000 JY 150,000 1,373
-------------
Total Colombia 1,373
(Cost $1,151) =============
--------------------------------------------------------------------------------
DENMARK (f)(g) 2.8%
--------------------------------------------------------------------------------
Nykredit
5.000% due 10/01/2029 DK 58,900 6,054
Realkredit Danmark Mortgage
5.000% due 10/01/2029 25,627 2,633
6.000% due 10/01/2029 24,500 2,710
Unikredit Realkredit
6.000% due 07/01/2029 20,700 2,291
5.000% due 10/01/2029 27,697 2,855
-------------
Total Denmark 16,543
(Cost $18,073) =============
--------------------------------------------------------------------------------
FRANCE (f)(g) 8.3%
--------------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 835 767
France Government Bond (OAT)
4.000% due 04/25/2009 8,250 6,622
5.500% due 04/25/2010 13,960 12,418
Republic of France
3.000% due 07/25/2009 (h)(i) 3,105 2,586
4.000% due 10/25/2009 32,950 26,255
-------------
Total France 48,648
(Cost $53,005) =============
--------------------------------------------------------------------------------
GERMANY (f)(g) 8.8%
--------------------------------------------------------------------------------
Barclays Capital Corp.
3.250% due 12/20/2000 DM 2,000 902
Depfa Pfandbriefbank
4.750% due 07/15/2008 EC 3,590 2,976
5.750% due 03/04/2009 (i) DM 3,560 3,133
Republic of Germany
6.000% due 07/04/2007 EC 22,450 20,661
5.250% due 01/04/2008 26,450 23,360
4.500% due 07/04/2009 20 17
6.250% due 01/04/2024 680 648
-------------
Total Germany 51,697
(Cost $52,483) =============
--------------------------------------------------------------------------------
GREECE (f)(g) 3.8%
--------------------------------------------------------------------------------
CSFP Credit
7.420% due 11/19/2004 (d)(k) $ 19,000 19,171
Hellenic Finance
2.000% due 07/15/2003 EC 1,600 1,417
Hellenic Republic
7.850% due 05/19/2003 (d) GD 100,000 270
7.890% due 06/17/2003 (d) 107,400 290
10.240% due 10/23/2003 (d) 376,000 1,013
-------------
Total Greece 22,161
(Cost $22,932) =============
136 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ITALY (f)(g) 11.7%
--------------------------------------------------------------------------------
Finmeccanica SpA
2.000% due 06/08/2005 EC 544 $ 473
First Italian Auto Transaction
4.820% due 07/01/2008 (d) 4,800 4,241
Island Finance
5.490% due 03/30/2015 (d) 2,819 2,492
Republic of Italy
4.500% due 05/01/2009 31,710 26,043
4.250% due 11/01/2009 5,560 4,466
5.500% due 11/01/2010 13,320 11,733
6.500% due 11/01/2027 11,420 10,772
5.250% due 11/01/2029 10,520 8,417
-------------
Total Italy 68,637
(Cost $71,444) =============
--------------------------------------------------------------------------------
JAPAN (f)(g) 2.5%
--------------------------------------------------------------------------------
Government of Japan Ten-Year Bond
0.900% due 12/22/2008 JY 907,400 7,751
International Credit Receivable Japan
0.750% due 08/25/2005 50,000 463
International Credit Receivable Japan 1 Tranche A
0.720% due 11/22/2004 (d) 56,460 523
0.650% due 08/25/2005 230,000 2,130
International Credit Receivable Japan 1 Tranche B
0.820% due 11/22/2004 (d) 200,000 1,852
SHL Corp. Ltd.
0.530% due 12/25/2024 (d) 121,113 1,122
0.830% due 12/25/2024 (d) 76,000 704
-------------
Total Japan 14,545
(Cost $14,662) =============
--------------------------------------------------------------------------------
MEXICO (f)(g) 1.3%
--------------------------------------------------------------------------------
Petroleos Mexicanos
8.850% due 09/15/2007 $ 1,040 1,032
9.380% due 12/02/2008 1,290 1,329
United Mexican States
8.750% due 05/30/2002 BP 270 404
10.380% due 01/29/2003 DM 2,575 1,248
4.000% due 03/11/2004 JY 130,000 1,205
9.880% due 02/01/2010 $ 2,250 2,397
-------------
Total Mexico 7,615
(Cost $7,849) =============
--------------------------------------------------------------------------------
NETHERLANDS (f)(g) 1.1%
--------------------------------------------------------------------------------
Mannesmann Finance BV
4.750% due 05/27/2009 EC 3,700 2,903
Tecnost International NV
6.670% due 06/23/2004 (d) 1,430 1,275
Telekomunikacja Polska SA
7.750% due 12/10/2008 $ 2,120 2,045
-------------
Total Netherlands 6,223
(Cost $6,856) =============
--------------------------------------------------------------------------------
NEW ZEALAND (f)(g) 1.1%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 (i) N$ 15,300 6,530
-------------
Total New Zealand 6,530
(Cost $8,639) =============
--------------------------------------------------------------------------------
PANAMA (f)(g) 0.2%
--------------------------------------------------------------------------------
Republic of Panama
8.880% due 09/30/2027 $ 1,100 921
-------------
Total Panama 921
(Cost $976) =============
--------------------------------------------------------------------------------
PERU (f)(g) 0.3%
--------------------------------------------------------------------------------
Republic of Peru
4.500% due 03/07/2017 (d) 2,700 1,691
-------------
Total Peru 1,691
(Cost $1,841) =============
--------------------------------------------------------------------------------
PHILIPPINES (f)(g) 0.6%
--------------------------------------------------------------------------------
Republic of Philippines
8.000% due 09/17/2004 EC 2,420 2,157
7.940% due 12/01/2009 (d) $ 1,300 1,131
-------------
Total Philippines 3,288
(Cost $3,860) =============
--------------------------------------------------------------------------------
POLAND (f)(g) 0.0%
--------------------------------------------------------------------------------
Republic of Poland
3.500% due 10/27/2024 (d) $ 105 66
-------------
Total Poland 66
(Cost $65) =============
--------------------------------------------------------------------------------
PORTUGAL (f)(g) 1.6%
--------------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 EC 11,770 9,261
-------------
Total Portugal 9,261
(Cost $11,042) =============
--------------------------------------------------------------------------------
SOUTH KOREA (f)(g) 1.7%
--------------------------------------------------------------------------------
Export-Import Bank Korea
7.250% due 06/25/2001 $ 1,945 1,937
6.500% due 02/10/2002 800 789
Korea Development Bank
4.800% due 05/14/2001 (d) DM 7,310 3,270
2.770% due 05/21/2001 JY 400,000 3,778
1.880% due 02/13/2002 13,000 120
-------------
Total South Korea 9,894
(Cost $10,158) =============
--------------------------------------------------------------------------------
SPAIN (f)(g) 3.2%
--------------------------------------------------------------------------------
Kingdom of Spain
5.150% due 07/30/2009 (i) EC 21,730 18,714
-------------
Total Spain 18,714
(Cost $22,578) =============
--------------------------------------------------------------------------------
SUPRANATIONAL (f)(g) 2.2%
--------------------------------------------------------------------------------
Eurofima
4.750% due 07/07/2004 SK 60,900 6,149
5.000% due 10/01/2029 32,859 3,381
European Investment Bank
5.380% due 08/28/2007 NK 2,400 244
International Bank for Reconstruction & Development
7.250% due 04/09/2001 N$ 6,400 2,613
World Bank
10.250% due 04/11/2002 PP 31,000 624
-------------
Total Supranational 13,011
(Cost $15,979) =============
--------------------------------------------------------------------------------
SWEDEN (f)(g) 0.5%
--------------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 11,200 1,230
0.000% due 04/01/2004 19,097 1,845
-------------
Total Sweden 3,075
(Cost $3,575) =============
--------------------------------------------------------------------------------
TUNISIA (f)(g) 0.2%
--------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 1,500 1,356
-------------
Total Tunisia 1,356
(Cost $1,525) =============
2000 Semi-Annual Report See accompanying notes 137
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
UNITED KINGDOM (f)(g) 6.4%
--------------------------------------------------------------------------------
Abbey National Treasury Service
7.630% due 12/30/2002 BP 1,770 $ 2,678
5.250% due 01/21/2004 2,670 3,811
Bank of Scotland Capital Fund
8.120% due 03/31/2049 850 1,254
Halifax Group Euro Finance
7.630% due 12/29/2049 (d) EC 1,040 918
Halifax Group Sterling Finance
7.880% due 12/29/2049 (d) BP 3,960 6,283
HAUS Ltd.
5.010% due 12/10/2037 (d) EC 8,500 7,505
International Credit Receivable
5.390% due 03/15/2010 JY 1,800 1,589
Lloyds TSB Capital
7.380% due 02/07/2049 500 445
SCCR Series 1 Ltd.
5.020% due 12/15/2031 2,041 1,806
Polestar Corp. PLC
10.500% due 05/30/2008 BP 170 188
United Kingdom Gilt
5.750% due 12/07/2009 7,150 10,980
-----------
Total United Kingdom 37,457
(Cost $39,831) ===========
--------------------------------------------------------------------------------
UNITED STATES (f)(g) 97.2%
--------------------------------------------------------------------------------
Asset-Backed Securities 6.7%
AES Corp.
8.690% due 05/19/2001 $ 1,500 1,500
AFC Home Equity Loan Trust
6.840% due 03/25/2027 (d) 805 806
Americredit Automobile Receivable Trust
5.880% due 12/05/2003 216 215
Amresco Residential Securities Mortgage Loan Trust
7.090% due 06/25/2029 (d) 5,354 5,373
Banc One Auto Grantor Trust
6.270% due 11/20/2003 272 271
6.290% due 07/20/2004 466 463
Bayview Financial Acquisition Trust
7.170% due 02/25/2029 (d) 352 352
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 141 141
Conseco Finance
6.990% due 10/15/2031 (d) 1,278 1,281
Contimortgage Home Equity Loan Trust
6.790% due 10/15/2012 (d) 212 212
6.010% due 12/25/2013 3,780 3,761
EQCC Home Equity Loan Trust
5.770% due 03/20/2029 1,664 1,655
6.870% due 03/20/2029 437 437
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 1,688 1,674
Providian Gateway Master Trust
6.840% due 03/15/2007 5,800 5,800
Providian Home Equity Loan Trust
6.910% due 06/25/2025 (d) 4,043 4,047
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 1,630 1,619
Residential Funding Mortgage Securities, Inc.
10.930% due 06/01/2001 (d) 7,100 7,100
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 724 720
Voicestream
9.660% due 02/15/2009 2,000 1,995
-----------
39,422
===========
Corporate Bonds & Notes 19.6%
Abbey National Capital Trust I
8.960% due 12/29/2049 2,000 2,011
AESOP Funding II LLC
6.220% due 10/20/2001 567 567
Allegheny Energy Supply
7.510% due 05/01/2002 (d) 2,900 2,900
Alpha Wind
11.320% due 05/23/2001 (d) 2,000 2,000
Associates Corp. of North America
6.780% due 08/27/2001 (d) 5,000 5,013
AT&T Capital Corp.
7.010% due 04/23/2002 (d) 675 677
Bancomext Trust Division
8.000% due 08/05/2003 390 390
Bear Stearns Co., Inc.
7.130% due 03/28/2003 (d) 2,670 2,670
Beckman Instruments, Inc.
7.100% due 03/04/2003 344 334
Capital One Bank
7.090% due 07/28/2003 (d) 12,000 12,045
CMS Energy Corp.
8.130% due 05/15/2002 546 542
DaimlerChrysler Holdings
6.960% due 08/23/2002 (d) 3,900 3,914
DQE Capital Corp.
7.230% due 01/15/2002 (d) 800 800
Finova Capital Corp.
6.910% due 06/18/2003 (d) 5,700 4,988
Ford Motor Credit Corp.
1.000% due 12/22/2003 JY 107,000 984
7.080% due 07/19/2004 (d) $ 2,800 2,803
1.200% due 02/07/2005 JY 619,000 5,641
General Motors Acceptance Corp.
7.020% due 04/05/2004 (d) $ 2,800 2,796
7.020% due 04/05/2004 (d) 16,420 16,399
6.880% due 09/09/2004 BP 4,080 6,040
1.250% due 12/20/2004 JY 208,000 1,912
Gold Eagle Capital Ltd.
12.130% due 04/15/2001 $ 2,500 2,500
Goldman Sachs Group
7.220% due 02/19/2004 (d) 1,430 1,452
Household Finance Corp.
5.130% due 06/24/2009 (i) EC 4,900 3,901
International Game Technology
7.880% due 05/15/2004 $ 1,700 1,670
J.P. Morgan & Co.
8.080% due 02/15/2012 (d) 6,780 5,865
Jones Intercable, Inc.
8.880% due 04/01/2007 427 448
KBC Bank Fund Trust IV
8.220% due 11/29/2049 EC 2,800 2,509
Lehman Brothers Holdings, Inc.
6.700% due 11/30/2006 (d) $ 848 784
MGM Grand, Inc.
6.950% due 02/01/2005 180 173
NeHi, Inc.
11.310% due 06/09/2003 (d) 2,000 2,010
Protective Life Funding Trust
7.090% due 01/17/2003 (d) 1,200 1,198
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (d)(i) 13,189 13,033
6.910% due 02/11/2003 (d) 400 400
Sprint Capital Corp.
5.880% due 05/01/2004 690 662
Texas Utilities Co.
7.590% due 09/24/2001 (d) 2,600 2,614
-----------
114,645
===========
Mortgage-Backed Securities 50.0%
Bank of America Mortgage Securities, Inc.
6.500% due 05/25/2029 299 281
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 2,407 2,387
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 2,184 2,161
6.500% due 03/25/2029 140 129
Crusade Global Trust
7.010% due 05/15/2021 (d) 14,400 14,436
138 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.
6.000% due 03/15/2008 $ 773 $ 766
8.270% due 06/01/2022 (d) 1,124 1,131
8.400% due 08/01/2022 (d) 675 693
9.050% due 06/15/2019 55 57
Federal National Mortgage Assn
8.500% due 07/01/2021 (d) 794 820
7.420% due 11/01/2022 (d) 848 875
7.580% due 01/01/2023 (d) 1,305 1,345
8.120% due 08/01/2023 (d) 991 1,020
General Electric Capital Mortgage Services, Inc.
6.250% due 07/25/2029 500 483
Government National Mortgage Assn
6.000% due 04/20/1930-10/23/2030 (d)(e) 404,388 194,802
7.000% due 04/20/1930-05/20/2030 (d)(e) 8,209 4,804
7.130% due 11/20/2021 (d) 537 541
7.380% due 05/20/2022 (d) 49 50
6.750% due 07/20/2022 (d) 548 554
6.750% due 09/20/2022 (d) 360 364
7.380% due 05/20/2023 (d) 541 545
6.750% due 07/20/2023 (d) 294 297
6.750% due 07/20/2023 (d) 607 613
6.750% due 08/20/2023 (d) 272 275
6.750% due 09/20/2023 (d) 1,611 1,627
6.750% due 09/20/2023 (d) 709 716
7.130% due 10/20/2023 (d) 2,977 2,999
7.130% due 10/20/2024 (d) 240 242
7.380% due 04/20/2025 (d) 178 179
6.750% due 07/20/2025 (d) 3,990 4,029
6.750% due 09/20/2025 (d) 764 771
7.130% due 12/20/2025 (d) 292 294
6.750% due 09/20/2026 (d) 625 631
7.380% due 04/20/2027 (d) 1,518 1,529
6.500% due 10/21/2029 23,450 22,585
Independent National Mortgage Corp.
9.140% due 11/25/2024 (d) 2 2
Medallion Trust
6.960% due 07/12/2031 (d) 5,497 5,497
Morgan Stanley Mortgage Trust
8.150% due 07/20/2021 1 1
Prudential Home Mortgage Securities
6.800% due 05/25/2024 464 388
Residential Funding Mortgage Securities, Inc.
6.500% due 06/25/2029 1,276 1,055
7.090% due 05/12/2032 (d) 14,854 14,854
Sasco Floating Rate Commercial Mortgage
7.020% due 11/20/2001 (d) 2,802 2,807
Structured Asset Mortgage Investments, Inc.
6.580% due 06/25/2029 (d) 3,038 2,912
-------------
292,547
=============
Municipal Bonds & Notes 0.1%
Massachusetts State Turnpike Authority Metro Highway
System Revenue Bonds, (MBIA Insured), Series 1997
5.000% due 01/01/2037 1,000 873
U.S. Government Agencies 3.7%
Federal Home Loan Bank
7.270% due 02/15/2002 (d) 14,000 13,825
Federal National Mortgage Assn
6.500% due 07/10/2002 (i) A$ 14,100 7,617
-------------
21,442
=============
U.S. Treasury Obligations 15.9%
Treasury Inflation Protected Securities (h)
3.630% due 07/15/2002 (b) $ 87,332 87,305
U.S. Treasury Bond
6.250% due 08/15/2023 5,400 5,501
-------------
92,806
=============
Shares
Preferred Security 1.1%
DG Funding Trust
9.060% due 12/29/2049 (d) 1 6,416
-------------
Total United States 568,151
(Cost $571,535) =============
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 2.7%
--------------------------------------------------------------------------------
Eurodollar March Futures (CME)
Strike @ 90.75 Exp. 03/19/2000 200,000 1
General National Mortgage Assn. (OTC)
6.000% due 10/20/2030
Strike @ 85.84 Exp. 11/13/2000 192,700 2
General National Mortgage Assn. (OTC)
6.500% due 11/23/2030
Strike @ 89.359 Exp. 11/13/2000 114,950 1
Interest Rate Swap (OTC)
Strike @ 7.500% Exp. 04/29/2002 11,200 232
U.S. Treasury Inflation Protected Securities (OTC)
3.625% due 07/15/2002
Strike @ 96.50 Exp. 01/29/2001 77,240 0
U.S. Treasury Note (OTC)
5.625% due 05/15/2008
Strike @ 105.44 Exp. 11/01/2000 102,100 7,283
U.S. Treasury Note (OTC)
6.000% due 08/15/2009
Strike @ 110.09 Exp. 11/06/2000 53,160 4,991
U.S. Treasury Note (OTC)
6.375% due 04/30/2002
Strike @ 103.125 Exp. 11/01/2000 119,800 3,187
-------------
Total Purchased Put Options 15,697
(Cost $17,168) =============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 12.7%
--------------------------------------------------------------------------------
Commercial Paper 12.7%
Abbey National PLC
6.520% due 11/03/2000 $ 1,400 1,392
American Electric Power, Inc.
6.700% due 10/18/2000-11/01/2000 (e) 5,400 4,684
AT&T Corp.
6.500% due 11/08/2000 900 894
6.470% due 11/29/2000 8,500 8,407
Bank One Corp.
6.540% due 10/31/2000 9,500 9,449
Coca-Cola Co.
6.490% due 12/13/2000 300 296
Conagra, Inc.
6.680% due 10/27/2000 1,100 1,095
6.670% due 11/15/2000-11/16/2000 (e) 6,600 5,356
DaimlerChrysler AG
6.500% due 10/25/2000 3,000 2,988
Edison Midwest
6.750% due 11/01/2000 8,900 5,668
6.730% due 11/15/2000 1,300 1,289
Gannett Co.
6.490% due 11/08/2000 2,900 2,881
General Electric Capital Corp.
6.470% due 12/13/2000 600 592
Honeywell, Inc.
6.510% due 11/21/2000 1,000 991
Houston Industries
6.820% due 10/04/2000 900 900
6.770% due 10/18/2000 5,000 4,985
Infinity Broadcasting Corp.
6.720% due 11/09/2000 2,000 1,986
6.700% due 11/16/2000 3,800 3,768
International Paper Co.
6.700% due 10/05/2000 1,100 1,099
6.720% due 10/10/2000 4,400 4,393
6.700% due 11/01/2000 4,100 4,077
Minnesota Mining & Manufacturing
6.470% due 11/28/2000 1,200 1,187
Nike, Inc.
6.490% due 10/10/2000 500 499
Swedbank, Inc.
6.570% due 10/18/2000 1,200 1,196
Texas Utilities Co.
6.700% due 10/18/2000 1,800 1,795
Yorkshire Building Society
6.470% due 12/20/2000 2,200 2,168
-------------
74,035
=============
2000 Semi-Annual Report See accompanying notes 139
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
U.S. Treasury Bills (b) 0.0%
6.470% due 02/01/2001 $ 20 $ 20
-------------
Total Short-Term Instruments 74,055
(Cost $74,062) =============
Total Investments (a) 180.7% $ 1,057,286
(Cost $1,092,108)
Written Options (c) (0.2%) (1,096)
(Premiums $855)
Other Assets and Liabilities (Net) (80.5%) (471,121)
-------------
Net Assets 100.0% $ 585,069
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 4,595
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (39,417)
-------------
Unrealized depreciation-net $ (34,822)
=============
(b) Securities with an aggregate market value of $4,109
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
EuroBond (12/2000) 275 $ 94
Government of Japan 10 Year Note (12/2000) 137 (353)
United Kingdom 10 Year Note (12/2000) 137 (121)
United Kingdom 90 Day LIBOR Futures (06/2001) 119 (5)
EuroBond 10 Year Note Options (11/2000) 228 74
-------------
$ (311)
=============
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Note December Futures
Strike @ 103.00 Exp. 11/18/2000 48 $ 7 $ 5
Call - CBOT U.S. Treasury Note December Futures
Strike @ 102.00 Exp. 11/18/2000 48 14 11
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.84 Exp. 10/10/2000 14,300,000 72 3
Call - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.90 Exp. 10/10/2000 14,300,000 62 31
Put - CME Eurodollar March Futures
Strike @ 92.75 Exp. 03/19/2001 28 19 1
Call - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 50 13 37
Put - CME Eurodollar March Futures
Strike @ 92.25 Exp. 03/19/2001 22 13 0
Put - CBOT U.S. Treasury Note December Futures
Strike @ 98.00 Exp. 11/18/2000 24 15 4
Put - CBOT U.S. Treasury Note December Futures
Strike @ 97.00 Exp. 11/18/2000 24 9 2
Call - TSE Government of Japan December Futures
Strike @ 134.00 Exp. 11/30/2000 18 34 37
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.81 Exp. 12/21/2000 16,200,000 58 35
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.85 Exp. 10/24/2000 7,200,000 35 18
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.500% Exp. 02/23/2001 7,900,000 41 33
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.85 Exp. 10/24/2000 21,600,000 100 55
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 7.500% Exp. 04/29/2002 16,000,000 363 824
--------------------
$ 855 $ 1,096
====================
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Securities are grouped together by coupon or range of coupons and represent
a range of maturities.
(f) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Buy AP 730 02/2001 $ 5
Buy A$ 4,654 10/2000 (203)
Sell 1,560 10/2000 53
Sell 8,245 11/2000 10
Buy 3,283 11/2000 2
Buy BR 1,339 01/2001 (5)
Buy 1,057 03/2001 8
Sell C$ 5,007 10/2000 47
Buy 1,200 10/2000 (7)
Sell SF 20,620 10/2000 (179)
Buy 10,050 10/2000 11
Sell 10,050 11/2000 (8)
Buy CL 349,600 10/2000 (29)
Buy 117,900 03/2001 0
Sell DK 130,823 10/2000 182
Buy 46,548 10/2000 (2)
Sell 46,548 11/2000 3
Sell EC 2,810 01/2001 201
Sell 101,808 10/2000 1,888
Buy 797,671 10/2000 (254)
Sell 12,504 11/2000 (74)
Sell BP 17,042 10/2000 (339)
Buy GD 2,550,004 01/2001 (179)
Sell 719,346 12/2000 (4)
Sell H$ 48,140 10/2000 (33)
Buy 48,140 10/2000 (5)
Sell 223,800 08/2001 103
Buy 111,900 08/2001 (14)
Buy HF 1,248,000 01/2001 (686)
Sell 1,248,000 01/2001 313
Buy 341,600 02/2001 (49)
Buy IR 8,560,000 10/2000 66
Buy JY 2,136,556 10/2000 (205)
Sell 4,133,801 10/2000 417
Sell 1,036,463 11/2000 5
Buy KW 1,262,100 10/2000 5
Buy MP 6,880 10/2000 34
Buy 6,715 01/2001 15
Sell 6,880 10/2000 (20)
140 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell NK 4,160 10/2000 $ (12)
Sell N$ 85,230 10/2000 2,538
Buy 64,271 10/2000 (1,014)
Sell 3,866 11/2000 24
Buy PN 3,880 02/2001 (5)
Buy 908 03/2001 3
Buy PP 33,140 03/2001 12
Buy PZ 14,414 01/2001 (171)
Buy 8,090 02/2001 (30)
Buy 26,046 03/2001 (87)
Sell 13,704 01/2001 (56)
Sell 8,090 02/2001 (30)
Sell 3,640 03/2001 (55)
Buy 25,080 10/2000 (186)
Sell SK 33,780 10/2000 66
Buy TB 28,140 10/2000 (40)
Buy TD 21,403 10/2000 (14)
Buy VB 500,950 10/2000 35
Buy 144,970 12/2000 4
Buy SR 7,235 03/2001 12
Buy CP 1,365,400 02/2001 0
Buy TL 882,000,000 02/2001 0
----------
$ 2,067
==========
(g) Principal amount denoted in indicated currency:
AP - Argentine Peso
A$ - Australian Dollar
BP - British Pound
BR - Brazilian Real
CL - Chilean Peso
CP - Colombian Peso
C$ - Canadian Dollar
DK - Danish Krone
EC - Euro
GD - Greek Drachma
HF - Hungarian Forint
H$ - Hong Kong Dollar
IR - Indonesian Rupiah
JY - Japanese Yen
MP - Mexican Peso
N$ - New Zealand Dollar
NK - Norwegian Kron
PN - Peruvian New Sol
PP - Philippines Peso
PZ - Polish Zloty
KW - South Korean Won
SF - Swiss Franc
SK - Swedish Krona
SR - South Africa Rand
TD - Taiwan Dollar
TB - Thai Baht
TL - Turkish Lira
VB - Venezuelan Bolivar
(h) Principal amount of the security is adjusted for inflation.
(i) Subject to financing transaction.
(j) Swap agreements outstanding at September 30, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive fixed rate equal to 6.949% and
pay floating rate based on 6-month BP-LIBOR.
Broker: Merrill Lynch
Exp. 08/06/2003 BP 4,500 $ 107
Receive floating rate based on 6-month Australian Bank Bill and
pay a fixed rate equal to 6.667%.
Broker: Morgan Stanley
Exp. 09/20/2005 A$ 31,500 6
Receive floating rate based on 3-month Canadian Bank Bill and
pay a fixed rate equal to 6.346%.
Broker: Goldman Sachs
Exp. 07/19/2005 C$ 22,500 (187)
Receive floating rate based on 3-month Canadian Bank Bill and
pay fixed rate equal to 6.248%.
Broker: Royal Bank of Canada
Exp. 08/02/2005 60,600 (356)
Receive floating rate based on 3-month Canadian Bank Bill
and pay fixed rate equal to 6.515%.
Broker: J.P. Morgan
Exp. 05/10/2002 24,330 (160)
Receive floating rate based on 6-month JY-LIBOR and
pay fixed rate equal to 2.020%.
Broker: Goldman Sachs
Exp. 05/18/2010 JY 1,776,000 28
Receive floating rate based on 6-month
EURO-LIBOR and pay fixed rate equal to
6.175%.
Broker: Goldman Sachs
Exp. 05/22/2030 EC 9,440 (95)
Receive floating rate based on 6-month EURO-LIBOR minus 0.54% and
pay a fixed rate equal to 6.250%.
Broker: J.P. Morgan
Exp. 01/04/2024 680 8
Receive a fixed rate equal to 7.291% and
pay floating rate based on 3-month LIBOR.
Broker: Goldman Sachs
Exp. 07/21/2005 $ 14,500 330
Receive a fixed rate equal to 7.010% and
pay floating rate based on 6-month LIBOR.
Broker: Morgan Stanley
Exp. 09/20/2005 18,500 208
Receive floating rate based on 6-month EURO-LIBOR and
pay fixed rate equal to 6.069%.
Broker: Morgan Stanley
Exp. 08/25/2030 EC 7,900 58
-------------
$ (53)
=============
(k) Restricted security.
2000 Semi-Annual Report See accompanying notes 141
<PAGE>
Schedule of Investments
Global Bond Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ARUBA (e)(f) 0.3%
--------------------------------------------------------------------------------
YTP Finance (Aruba)
3.500% due 07/18/2012 JY 100,000 $ 950
-------------
Total Aruba 950
(Cost $950) =============
--------------------------------------------------------------------------------
AUSTRALIA (e)(f) 3.4%
--------------------------------------------------------------------------------
Bankers Trust Corp.
6.970% due 06/02/2008 (d) $ 2,300 2,239
General Motors Acceptance Corp.
5.020% due 03/25/2002 (d) EC 5,300 4,672
Registered Australian Mortgage Securities
4.770% due 09/26/2032 (d) 1,029 908
Superannuation Members Home Loans Global Fund
7.020% due 06/15/2026 (d) $ 1,600 1,600
Torrens Trust
6.880% due 07/15/2031 (d) 1,606 1,606
-------------
Total Australia 11,025
(Cost $11,615) =============
--------------------------------------------------------------------------------
AUSTRIA (e)(f) 0.2%
--------------------------------------------------------------------------------
Republic of Austria
5.500% due 01/15/2010 (i) EC 600 526
-------------
Total Austria 526
(Cost $520) =============
--------------------------------------------------------------------------------
BELGIUM (e)(f) 0.7%
--------------------------------------------------------------------------------
Kingdom of Belgium
6.750% due 11/21/2004 (d) BF 95,900 2,206
-------------
Total Belgium 2,206
(Cost $3,156) =============
--------------------------------------------------------------------------------
BRAZIL 0.5%
--------------------------------------------------------------------------------
Republic of Brazil
7.880% due 01/01/2001 (d) 258 258
7.380% due 04/15/2006 (d) $ 1,367 1,287
-------------
Total Brazil 1,545
(Cost $1,499) =============
--------------------------------------------------------------------------------
BULGARIA 0.9%
--------------------------------------------------------------------------------
Republic of Bulgaria
7.750% due 07/28/2011 (d) $ 480 364
2.750% due 07/28/2012 (d) 1,276 930
3.000% due 07/28/2012 (d) 465 339
7.750% due 07/28/2024 (d) 1,780 1,362
-------------
Total Bulgaria 2,995
(Cost $2,970) =============
--------------------------------------------------------------------------------
CANADA (e)(f) 0.4%
--------------------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 1,460 973
Canadian Imperial Bank
3.380% due 10/16/2000 (d) DM 700 316
-------------
Total Canada 1,289
(Cost $1,408) =============
--------------------------------------------------------------------------------
CAYMAN ISLANDS (e)(f) 1.1%
--------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C
5.300% due 09/21/2000 JY 80,000 741
Daiwa International Finance Cayman
5.000% due 12/28/2004 100,000 935
Fuji Finance (Cayman)
7.290% due 04/15/2010 (d) $ 1,000 997
Sakura Capital Funding
7.560% due 09/29/2049 (d) 1,000 970
-------------
Total Cayman Islands 3,643
(Cost $3,605) =============
--------------------------------------------------------------------------------
COLOMBIA (e)(f) 0.4%
--------------------------------------------------------------------------------
Republic of Colombia
3.000% due 12/22/2000 JY 150,000 1,374
-------------
Total Colombia 1,374
(Cost $1,218) =============
--------------------------------------------------------------------------------
DENMARK (e)(f) 3.0%
--------------------------------------------------------------------------------
Danske Kredit Mortgage
5.000% due 10/01/2029 DK 12,792 1,316
Kingdom of Denmark
4.000% due 02/15/2001 (i) 11,400 1,338
Nykredit
5.000% due 10/01/2029 33,760 3,470
Realkredit Danmark Mortgage
5.000% due 10/01/2029 10,713 1,101
6.000% due 10/01/2029 9,900 1,095
Unikredit Realkredit
5.000% due 10/01/2029 12,937 1,333
-------------
Total Denmark 9,653
(Cost $10,927) =============
--------------------------------------------------------------------------------
FRANCE (e)(f) 3.4%
--------------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 405 371
Republic of France
4.000% due 04/25/2009 (i) 2,260 1,814
3.000% due 07/25/2009 1,858 1,547
4.000% due 10/25/2009 (i) 6,780 5,402
5.500% due 04/25/2010 1,920 1,708
-------------
Total France 10,842
(Cost $11,699) =============
--------------------------------------------------------------------------------
GERMANY (e)(f) 6.2%
--------------------------------------------------------------------------------
Commerzbank AG
3.870% due 09/21/2001 EC 2,300 2,028
Depfa Pfandbriefbank
4.750% due 07/15/2008 860 713
5.750% due 03/04/2009 (i) DM 860 757
Republic of Germany
6.000% due 07/04/2007 EC 7,280 6,700
5.250% due 01/04/2008 10,360 9,150
4.500% due 07/04/2009 10 8
6.250% due 01/04/2024 330 315
-------------
Total Germany 19,671
(Cost $20,071) =============
--------------------------------------------------------------------------------
GREECE (e)(f) 7.7%
--------------------------------------------------------------------------------
CSFP Credit
7.420% due 11/19/2004 (d)(j) $ 11,000 11,099
Hellenic Finance
2.000% due 07/15/2003 EC 500 443
Hellenic Republic
7.850% due 05/19/2003 (d) GD 150,000 404
7.890% due 06/17/2003 (d) 118,000 318
10.240% due 10/23/2003 (d) 543,400 1,464
6.600% due 01/15/2004 (i) 4,046,400 10,792
-------------
Total Greece 24,520
(Cost $25,832) =============
142 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ITALY (e)(f) 11.0%
--------------------------------------------------------------------------------
Finmeccanica SpA
2.000% due 06/08/2005 EC 1,538 $ 1,337
First Italian Auto Transaction
4.820% due 07/01/2008 (d) 2,600 2,297
Island Finance
5.490% due 03/30/2015 (d) 1,653 1,461
Republic of Italy
4.750% due 07/01/2005 (i) 6,690 5,762
4.500% due 05/01/2009 (i) 14,100 11,580
4.250% due 11/01/2009 (i) 2,470 1,984
5.500% due 11/01/2010 (i) 2,350 2,070
6.500% due 11/01/2027 3,900 3,679
5.250% due 11/01/2029 (i) 6,140 4,913
-------------
Total Italy 35,083
(Cost $36,412) =============
--------------------------------------------------------------------------------
JAPAN (e)(f) 4.6%
--------------------------------------------------------------------------------
Government of Japan
3.400% due 06/20/2005 (i) JY 15,500 158
4.000% due 06/20/2005 32,700 341
2.900% due 12/20/2006 115,000 1,152
0.900% due 12/22/2008 (i) 1,066,900 9,114
International Credit Receivable Japan
0.750% due 08/25/2005 20,000 185
International Credit Receivable Japan 1 Tranche A
0.720% due 11/22/2004 (d) 97,436 902
0.650% due 08/25/2005 110,000 1,019
International Credit Receivable Japan 1 Tranche B
0.820% due 11/22/2004 (d) 100,000 926
SHL Corp. Ltd.
0.530% due 12/25/2024 (d) 67,001 621
0.830% due 12/25/2024 (d) 41,000 380
-------------
Total Japan 14,798
(Cost $14,995) =============
--------------------------------------------------------------------------------
MEXICO (e)(f) 1.3%
--------------------------------------------------------------------------------
Cemex SA
8.630% due 07/18/2003 $ 260 263
Petroleos Mexicanos
8.850% due 09/15/2007 480 477
9.380% due 12/02/2008 650 670
United Mexican States
9.380% due 11/02/2000 DM 300 136
8.750% due 05/30/2002 BP 150 225
10.380% due 01/29/2003 DM 3,654 1,771
4.000% due 03/11/2004 JY 73,000 677
-------------
Total Mexico 4,219
(Cost $4,538) =============
--------------------------------------------------------------------------------
NETHERLANDS (e)(f) 1.0%
--------------------------------------------------------------------------------
Deutsche Bank Financial
6.720% due 12/17/2003 (d) $ 1,800 1,798
Tecnost International NV
6.670% due 06/23/2004 (d) EC 690 615
Telekomunikacja Polska SA
7.750% due 12/10/2008 $ 960 926
-------------
Total Netherlands 3,339
(Cost $3,468) =============
--------------------------------------------------------------------------------
NEW ZEALAND (e)(f) 2.0%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
5.500% due 04/15/2003 N$ 1,900 752
4.500% due 02/15/2016 13,081 5,583
-------------
Total New Zealand 6,335
(Cost $8,017) =============
--------------------------------------------------------------------------------
PANAMA 0.2%
--------------------------------------------------------------------------------
Republic of Panama
4.500% due 07/17/2014 $ 660 $ 533
-------------
Total Panama 533
(Cost $529) =============
--------------------------------------------------------------------------------
PERU 0.3%
--------------------------------------------------------------------------------
Republic of Peru
4.500% due 03/07/2017 (d) $ 1,700 1,064
-------------
Total Peru 1,064
(Cost $1,164) =============
--------------------------------------------------------------------------------
PHILIPPINES (e)(f) 0.8%
--------------------------------------------------------------------------------
Republic of Philippines
8.000% due 09/17/2004 EC 2,035 1,814
7.940% due 12/01/2009 (d) $ 722 628
6.500% due 12/01/2017 140 108
-------------
Total Philippines 2,550
(Cost $2,935) =============
--------------------------------------------------------------------------------
POLAND 0.1%
--------------------------------------------------------------------------------
Republic of Poland
3.500% due 10/27/2024 (d) 330 208
-------------
Total Poland 208
(Cost $206) =============
--------------------------------------------------------------------------------
PORTUGAL (e)(f) 1.0%
--------------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 (i) EC 3,950 3,108
-------------
Total Portugal 3,108
(Cost $3,660) =============
--------------------------------------------------------------------------------
QATAR (e)(f) 0.2%
--------------------------------------------------------------------------------
International Credit Receivable
5.390% due 03/15/2010 JY 800 706
-------------
Total Qatar 706
(Cost $740) =============
--------------------------------------------------------------------------------
SOUTH KOREA (e)(f) 0.9%
--------------------------------------------------------------------------------
Export-Import Bank Korea
7.250% due 06/25/2001 $ 1,810 1,803
6.500% due 02/10/2002 500 493
KBC Bank Fund Trust IV
8.220% due 11/29/2049 EC 500 448
Korea Development Bank
4.800% due 05/14/2001 (d) DM 520 233
-------------
Total South Korea 2,977
(Cost $3,072) =============
--------------------------------------------------------------------------------
SPAIN (e)(f) 3.7%
--------------------------------------------------------------------------------
Kingdom of Spain
4.950% due 07/30/2005 (i) EC 6,480 5,620
5.150% due 07/30/2009 6,140 5,288
4.000% due 01/31/2010 (i) 980 772
-------------
Total Spain 11,680
(Cost $11,999) =============
2000 Semi-Annual Report See accompanying notes 143
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
SUPRANATIONAL (e)(f) 1.5%
--------------------------------------------------------------------------------
Asian Development Bank
2.300% due 09/15/2003 A$ 2,300 $ 1,211
Eurofima
4.750% due 07/07/2004 SK 4,700 475
European Investment Bank
5.380% due 08/28/2007 NK 5,000 508
International Bank for Reconstruction & Development
7.250% due 04/09/2001 N$ 4,000 1,633
World Bank
10.250% due 04/11/2002 PP 46,000 926
-------------
Total Supranational 4,753
(Cost $6,069) =============
--------------------------------------------------------------------------------
SWEDEN (e)(f) 1.3%
--------------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 10,300 1,131
0.000% due 04/01/2004 31,829 3,076
-------------
Total Sweden 4,207
(Cost $4,778) =============
--------------------------------------------------------------------------------
TUNISIA (e)(f) 0.2%
--------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 800 723
-------------
Total Tunisia 723
(Cost $807) =============
--------------------------------------------------------------------------------
UNITED KINGDOM (e)(f) 8.4%
--------------------------------------------------------------------------------
Abbey National Treasury Service
7.630% due 12/30/2002 BP 250 378
5.250% due 01/21/2004 150 214
Bank of Scotland Capital Fund
8.120% due 03/31/2049 1,180 1,741
BG Transco Holdings PLC
7.060% due 12/14/2009 (d) 1,060 1,576
Cadbury Schweppes PLC
8.000% due 12/29/2000 1,000 1,481
Equitable
8.000% due 08/29/2049 6,100 9,071
Halifax Group Euro Finance
7.630% due 12/29/2049 EC 500 441
Haus Ltd.
4.520% due 12/10/2015 (d) 1,050 927
5.010% due 12/10/2037 (d) 4,200 3,708
Lloyds TSB Bank PLC
5.630% due 07/15/2049 2,410 1,928
Royal Bank of Scotland PLC
6.770% due 03/31/2049 2,200 1,955
SCCR Series 1 Ltd.
5.020% due 12/15/2031 (d) BP 2,032 1,798
United Kingdom Gilt
5.750% due 12/07/2009 (d) 660 1,014
Vodafone AirTouch PLC
6.860% due 12/19/2001 (d) $ 500 501
Westlb Finance Curacao NV
8.500% due 03/31/2049 BP 110 169
-------------
Total United Kingdom 26,902
(Cost $29,486) =============
--------------------------------------------------------------------------------
UNITED STATES (e)(f) 92.8%
--------------------------------------------------------------------------------
Asset-Backed Securities 6.4%
AFC Home Equity Loan Trust
6.930% due 12/22/2027 (d) $ 739 740
Americredit Automobile Receivable Trust
5.880% due 12/05/2003 227 226
Amresco Residential Securities Mortgage Loan Trust
7.090% due 06/25/2029 (d) 3,145 3,156
Argentina Funding Corp.
6.880% due 05/20/2003 (d) 300 301
Banc One Auto Grantor Trust
6.270% due 11/20/2003 143 143
6.290% due 07/20/2004 233 232
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 79 79
Contimortgage Home Equity Loan Trust
6.790% due 10/15/2012 (d) 103 103
6.010% due 12/25/2013 1,595 1,587
GMAC Mortgage Corporation Loan Trust
6.820% due 11/18/2015 (d) 2,074 2,074
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 769 762
Novastar Home Equity Loan
6.900% due 04/25/2028 (d) 2,616 2,612
Pacific Southwest Bank
6.060% due 06/15/2002 92 92
Providian Gateway Master Trust
6.840% due 03/15/2007 3,000 3,000
Providian Home Equity Loan Trust
6.910% due 06/25/2025 (d) 385 386
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 720 715
Residential Asset Securities Corp.
6.760% due 12/25/2013 (d) 737 737
Residential Funding Mortgage Securities, Inc.
10.930% due 06/01/2001 2,800 2,800
Student Loan Marketing Assn.
6.840% due 04/25/2004 (d) 307 306
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 429 427
-----------
20,478
===========
Corporate Bonds & Notes 16.2%
Abbey National Capital Trust I
8.960% due 12/29/2049 1,000 1,006
AESOP Funding II LLC
6.220% due 10/20/2001 (d) 233 234
Allegheny Energy Supply
7.510% due 05/01/2002 (d) 1,400 1,400
Alpha Wind
11.320% due 05/23/2001 1,000 1,000
Associates Corp. of North America
6.780% due 08/27/2001 (d) 600 602
2.730% due 06/30/2003 (d) EC 800 709
AT&T Capital Corp.
7.010% due 04/23/2002 (d) $ 1,800 1,805
Bancomext Trust Division
8.000% due 08/05/2003 180 181
Bear Stearns Co., Inc.
7.130% due 03/28/2003 (d) 1,390 1,390
Beckman Instruments, Inc.
7.100% due 03/04/2003 138 135
Capital One Bank
7.090% due 07/28/2003 (d) 500 502
CMS Energy
8.130% due 05/15/2002 164 163
DaimlerChrysler Holdings
6.960% due 08/23/2002 (d) 480 482
DQE Capital Corp.
7.230% due 01/15/2002 (d) 400 400
Finova Capital Corp.
7.340% due 11/08/2002 (d) 1,920 1,562
7.190% due 04/08/2003 (d) 1,100 937
Ford Motor Credit Corp.
1.000% due 12/22/2003 JY 55,000 506
7.080% due 07/19/2004 (d) $ 300 300
1.200% due 02/07/2005 JY 326,000 2,971
7.170% due 07/18/2005 (d) $ 2,400 2,404
Fuji Bank Ltd.
9.870% due 12/31/2049 (d) 100 98
General Motors Acceptance Corp.
9.000% due 10/15/2002 1,140 1,186
7.020% due 04/05/2004 (d) 1,200 1,198
6.880% due 09/09/2004 BP 730 1,081
5.000% due 01/18/2005 EC 800 699
5.500% due 02/02/2005 2,500 2,168
144 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Gold Eagle Capital Ltd.
12.130% due 04/15/2001 $ 1,500 $ 1,500
Hewlett Packard Finance
5.630% due 11/20/2000 DM 2,600 1,174
Household Finance Corp.
7.090% due 08/06/2002 (d) $ 850 853
5.130% due 06/24/2009 EC 1,600 1,274
International Game Technology
7.880% due 05/15/2004 $ 1,800 1,769
J.P. Morgan & Co.
8.080% due 02/15/2012 760 657
Jones Intercable, Inc.
8.880% due 04/01/2007 164 172
Lehman Brothers Holdings, Inc.
7.530% due 07/15/2002 (d) 500 504
6.700% due 11/30/2006 (d) 509 470
Merrill Lynch & Co.
6.230% due 09/30/2000 (d) 540 540
6.790% due 11/01/2001 (d) 700 701
MGM Grand, Inc.
6.950% due 02/01/2005 80 77
Morgan Stanley, Dean Witter, Discover and Co.
6.840% due 01/28/2002 (d) 1,000 1,002
Protective Life Funding Trust
7.090% due 01/17/2003 (d) 600 599
Rollins Truck Leasing Co.
8.250% due 05/01/2002 1,000 1,003
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (d) 8,706 8,603
6.720% due 10/21/2002 (d) BP 90 133
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 $ 1,500 1,498
Sprint Capital Corp.
5.880% due 05/01/2004 280 269
TCI Communications, Inc.
7.440% due 04/01/2002 (d) 2,600 2,635
Tennessee Valley Authority
3.380% due 01/15/2007 (i) 1,471 1,379
-------------
51,931
=============
Mortgage-Backed Securities 47.8%
American Southwest Financial Securities Corp.
12.250% due 11/01/2014 127 127
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 1,590 1,577
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 3,063 3,030
6.500% due 03/25/2029 60 55
Crusade Global Trust
7.010% due 05/15/2021 (d) 7,000 7,018
Federal Home Loan Mortgage Corp.
6.000% due 03/15/2008 515 511
8.230% due 05/01/2023 (d) 457 467
Federal Housing Administration
7.400% due 02/01/2021 1,315 1,312
7.430% due 12/01/2021-01/01/2024 (g) 876 601
Federal National Mortgage Association
7.500% due 11/01/2001 73 73
7.500% due 01/01/2002 196 197
7.000% due 01/01/2005 741 740
6.500% due 04/01/2009 394 390
15.750% due 12/01/2011 6 7
13.000% due 09/01/2013 22 25
9.000% due 04/01/2016 231 241
7.600% due 11/01/2023 (d) 204 210
8.020% due 03/01/2024 (d) 114 117
General Electric Capital Mortgage Services, Inc.
6.250% due 07/25/2029 450 435
Government National Mortgage Association
13.500% due 02/15/2011 11 12
7.380% due 05/20/2022 (d) 25 25
6.750% due 07/20/2022 (d) 265 268
6.750% due 09/20/2022 (d) 157 159
6.750% due 09/20/2022 (d) 394 398
7.380% due 05/20/2023 (d) 320 322
7.380% due 06/20/2023 (d) 250 252
6.750% due 07/20/2023 (d) 336 340
6.750% due 07/20/2023 (d) 284 286
6.750% due 09/20/2023 (d) 567 573
6.750% due 09/20/2023 (d) 208 211
7.130% due 12/20/2023 (d) 323 326
7.130% due 10/20/2024 (d) 210 212
7.130% due 12/20/2025 (d) 146 147
6.750% due 09/20/2026 (d) 250 253
7.130% due 11/20/2026 (d) 425 429
7.130% due 12/20/2026 (d) 505 510
6.500% due 10/21/2029 5,950 5,731
7.220% due 02/16/2030 (d) 4,908 4,922
7.000% due 04/20/2030-10/23/2030 (d)(g) 174,013 86,110
6.000% due 05/20/2030-10/23/2030 (d)(g) 58,216 27,831
Independent National Mortgage Corp.
9.140% due 11/25/2024 (d) 1 1
8.230% due 07/25/2025 (d) 337 340
J.P. Morgan Commercial Mortgage Finance Corp.
6.900% due 04/15/2010 (d) 500 500
Medallion Trust
6.960% due 07/12/2031 (d) 559 559
Residential Funding Mortgage Securities, Inc.
8.950% due 03/25/2025 (d) 649 659
Sasco Floating Rate Commercial Mortgage
7.020% due 11/20/2001 (d) 1,601 1,604
Small Business Investment Co.
7.640% due 03/10/2010 994 1,020
Structured Asset Mortgage Investments, Inc.
6.580% due 06/25/2029 (d) 1,593 1,527
-------------
152,660
=============
Municipal Bonds & Notes 0.3%
California State General
Obligation, (FGIC Insured),
Series 1997 4.750% due 12/01/2028 800 700
Los Angeles, California Wastewater System Revenue Bonds,
(FGIC Insured), Series 2000 5.900% due 06/01/2028 140 95
Massachusetts Bay Transportation Authority, (MBIA Insured),
Series 1998 4.750% due 03/01/2021 250 218
-------------
1,013
=============
U.S. Government Agencies 0.7%
Federal National Mortgage Association
6.500% due 07/10/2002 (i) A$ 3,700 1,999
Student Loan Marketing Assn.
6.830% due 10/25/2004 (d) $ 117 117
-------------
2,116
=============
U.S. Treasury Obligations 20.7%
Treasury Inflation Protected Securities (h)
3.630% due 07/15/2002 (b) 50,897 50,881
U.S. Treasury Bonds
8.750% due 08/15/2020 (i) 400 520
8.125% due 08/15/2021 3,000 3,703
8.000% due 11/15/2021 0 0
U.S. Treasury Strips
0.000% due 02/15/2015 21,300 8,870
0.000% due 02/15/2015 4,900 2,044
-------------
66,018
=============
Shares
Preferred Security 0.4%
DG Funding Trust
9.030% due 12/29/2049 (d) 130 1,303
-------------
Preferred Stock 0.3%
Pinto Totta International Finance
77.700% due 12/29/2049 1,000 915
-------------
Total United States 296,434
(Cost $298,177) =============
2000 Semi-Annual Report See accompanying notes 145
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.8%
--------------------------------------------------------------------------------
Eurodollar March Futures (CME)
Strike @ 90.75 Exp. 03/19/2001 $ 615 $ 2
Eurodollar vs. U.S. Dollar (OTC)
Strike @ 0.850 Exp. 10/01/2000 0 0
General National Mortgage Association (OTC)
6.000% due 10/20/2030
Strike @ 85.84 Exp. 11/13/2000 286 0
General National Mortgage Association (OTC)
6.500% due 11/23/2030
Strike @ 89.359 Exp. 11/13/2000 60 0
General National Mortgage Association (OTC)
7.000% due 10/23/2030
Strike @ 89.00 Exp. 10/16/2000 84,900 0
Interest Rate Swap (OTC)
Strike @ 7.500% Exp. 04/29/2002 4,900 102
Japanese Yen vs. U.S. Dollar (OTC)
Strike @ 120.00 Exp. 10/02/2000 48,000 45
U.S. Treasury Inflation Protected Securities (OTC)
3.625% due 07/15/2002
Strike @ 96.50 Exp. 01/29/2001 45,630 0
U.S. Treasury Note (OTC)
6.000% due 08/15/2009
Strike @ 110.09 Exp. 11/06/2000 24,180 2,270
-------------
Total Purchased Put Options 2,419
(Cost $2,629) =============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 17.0%
--------------------------------------------------------------------------------
Commercial Paper 13.8%
Abbey National PLC
6.520% due 11/03/2000 200 199
Anz, Inc.
6.480% due 11/07/2000 200 199
AT&T Corp.
6.500% due 10/25/2000 200 199
6.520% due 11/08/2000 400 397
6.470% due 11/29/2000 2,000 1,978
Conagra, Inc.
6.740% due 10/18/2000 1,100 1,097
6.670% due 11/15/2000-11/16/2000 (g) 6,200 5,538
Dominion Resources, Inc.
6.710% due 10/18/2000 4,300 4,287
Edison Midwest
6.750% due 11/01/2000 3,700 3,679
6.730% due 11/15/2000 400 397
6.710% due 11/15/2000 900 890
Federal Home Loan Mortgage Corp.
6.440% due 10/12/2000 16,000 15,971
General Electric Capital Corp.
6.520% due 10/25/2000 100 100
6.480% due 11/29/2000 400 396
6.470% due 12/06/2000 600 593
6.490% due 12/07/2000 300 296
Houston Industries
6.770% due 10/04/2000 3,000 2,999
Infinity Broadcasting Corp.
6.700% due 11/16/2000 1,500 1,488
International Paper Co.
6.700% due 11/01/2000 1,700 1,690
KFW International Finance
6.480% due 12/06/2000 500 494
Natural Rural Utilities
6.480% due 10/18/2000-11/15/2000 (g) 700 547
Yorkshire Building Society
6.490% due 11/14/2000 500 494
-------------
43,928
=============
Repurchase Agreements 3.2%
State Street Bank
5.850% due 10/02/2000 10,299 10,299
(Dated 9/29/2000. Collateralized by
Federal National Mortgage Association
6.100% due 08/10/2001 valued at $10,509.
Repurchase proceeds are $10,304.)
-------------
Total Short-Term Instruments 54,227
(Cost $54,249) =============
Total Investments (a) 177.3% $ 566,504
(Cost $583,400)
Written Options (c) (0.1%) (509)
(Premiums $417)
Other Assets and Liabilities (Net) (77.2%) (246,506)
-------------
Net Assets 100.0% $ 319,489
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 1,894
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (18,790)
-------------
Unrealized depreciation-net $ (16,896)
(b) Securities with an aggregate market value of $1,721
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
U.S. Treasury 10 Year Note (12/2000) 10 $ (1)
Municipal Bond (12/2000) 5 (6)
Government of Japan 5 Year Note (12/2000) 1 2
Government of Japan 10 Year Note (12/2000) 46 (98)
United Kingdom 90 Day LIBOR Future (06/2001) 61 (2)
United Kingdom 10 Year Note (12/2000) 65 (61)
EuroBond 10 Year Note Written Put Options (11/2000) 108 35
-------------
$ (131)
=============
(c) Premiums received on written options:
146 PIMCO Funds See accompanying notes
<PAGE>
(c) Premiums received on written options:
# of
Type Contracts Premium Value
-------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Note December Futures
Strike @ 103.00 Exp. 24 $ 4 $ 3
11/18/2000
Call - CBOT U. S. Treasury Note December Futures
Strike @ 102.00 Exp. 24 7 6
11/18/2000
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.84 Exp.10/10/2000 7,480,000 37 2
Call - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.90 Exp. 10/10/2000 7,480,000 32 16
Put - CME Eurodollar March Futures
Strike @ 92.75 Exp. 13 9 0
03/19/2001
Call - CME Eurodollar March Futures
Strike @ 93.25 Exp. 13 4 10
03/19/2001
Put - CBOT U.S. Treasury Note December Futures
Strike @ 98.00 Exp. 11 7 2
11/18/2000
Put - CBOT U.S. Treasury Note December Futures
Strike @ 97.00 Exp. 11 4 1
11/18/2000
Call - TSE Government of Japan December Futures
Strike @ 134.00 Exp. 19 35 37
11/30/2000
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.81 Exp. 12/21/2000 8,200,000 30 18
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.85 Exp. 10/24/2000 3,700,000 18 9
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.500% Exp. 3,900,000 20 16
02/23/2001
Put- OTC Eurodollar vs. U.S. Dollar
Strike @ 0.85 Exp. 10/24/2000 11,000,000 51 28
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 7.500% Exp. 7,000,000 159 361
04/29/2002 -------------------
$ 417 $ 509
===================
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Buy AP 424 02/2001 $ 3
Buy A$ 5,704 10/2000 (164)
Sell 147 10/2000 5
Sell 4,492 11/2000 7
Buy 2,006 11/2000 (3)
Buy BR 760 01/2001 (3)
Buy 450 03/2001 4
Buy C$ 11,289 10/2000 (105)
Sell SF 10,550 10/2000 (92)
Buy 5,130 10/2000 5
Sell 5,130 11/2000 (4)
Buy CL 209,900 10/2000 (15)
Buy 37,200 03/2001 0
Buy CP 794,400 02/2001 (1)
Buy DK 7,414 10/2000 (43)
Sell 36,193 10/2000 (27)
Buy 7,414 11/2000 (1)
Sell EC 1,460 01/2001 98
Buy 257,359 10/2000 (1,636)
Sell 16,142 10/2000 170
Sell 9,810 11/2000 (15)
Buy 1,494 11/2000 3
Sell BP 1,216 10/2000 (20)
Buy 1,560 10/2000 43
Buy GD 1,328,232 01/2001 (86)
Sell 633,212 12/2000 (4)
Sell H$ 33,710 10/2000 (18)
Buy 33,710 10/2000 (4)
Sell 107,700 08/2001 49
Buy 53,800 08/2001 (7)
Buy HF 714,000 01/2001 (347)
Sell 714,000 01/2001 169
Buy 198,700 02/2001 (29)
Buy IR 4,410,000 10/2000 30
Sell JY 1,113,180 10/2000 74
Buy 1,109,300 10/2000 (209)
Buy 7,096,776 11/2000 (121)
Sell 54,718 11/2000 3
Buy KW 662,500 10/2000 13
Buy MP 4,110 10/2000 18
Buy 3,540 01/2001 7
Sell 4,110 10/2000 (11)
Sell NK 5,100 10/2000 (15)
Sell N$ 41,865 10/2000 788
Buy 23,307 10/2000 (350)
Sell 2,378 11/2000 15
Buy PN 2,250 02/2001 (3)
Buy 250 03/2001 1
Buy PP 16,170 03/2001 6
Buy PZ 8,057 01/2001 (87)
Buy 4,850 02/2001 (19)
Buy 12,560 03/2001 (50)
Sell 4,850 02/2001 (12)
Sell 7,737 01/2001 (23)
Sell 2,500 03/2001 (30)
Buy 13,050 10/2000 (90)
Sell SK 17,287 10/2000 34
Buy TB 13,700 10/2000 (17)
Buy TL 319,000,000 02/2001 (32)
Buy TD 11,241 10/2000 (7)
Buy VB 300,170 10/2000 19
Buy 46,750 12/2000 2
Buy SR 3,810 03/2001 15
---------
$ (2,119)
---------
2000 Semi-Annual Report See accompanying notes 147
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund
September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
(f) Principal amount denoted in indicated currency:
AP - Argentine Peso
A$ - Australian Dollar
BP - British Pound
BR - Brazilian Real
CL - Chilean Peso
CP - Columbian Peso
C$ - Canadian Dollar
DK - Danish Krone
EC - Euro
GD - Greek Drachma
HF - Hungarian Forint
H$ - Hong Kong Dollar
IR - Indonesian Rupiah
JY - Japanese Yen
MP - Mexican Peso
N$ - New Zealand Dollar
NK - Norwegian Kron
PN - Peruvian New Sol
PP - Philippine Peso
PZ - Polish Zloty
KW - South Korean Won
SF - Swiss Franc
SK - Swedish Krona
SR - South Africa Rand
TD - Taiwan Dollar
TB - Thai Baht
VB - Venezuelan Bolivar
(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, 2000:
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 $ (121)
Receive floating rate based on 6-month
Australian Bank Bill and pay a fixed rate
equal to 6.667%.
Broker: Morgan Stanley
Exp. 09/20/2005 A$ 15,200 3
Receive floating rate based on 3-month
Canadian Bank Bill and pay a fixed rate
equal to 6.346%.
Broker: Goldman Sachs
Exp. 07/19/2005 C$ 9,000 (75)
Receive floating rate based on 3-month
Canadian Bank Bill and pay fixed rate
equal to 6.248%.
Broker: Royal Bank of Canada
Exp. 08/02/2005 29,700 (174)
Receive floating rate based on 3-month
Canadian Bank Bill and pay fixed rate
equal to 6.515%.
Broker: J.P. Morgan
Exp. 05/10/2002 11,910 (78)
Receive floating rate based on 6-month
JY-LIBOR and pay a fixed rate equal to
2.035%.
Broker: Goldman Sachs
Exp. 05/18/2010 JY 1,160,000 4
Receive floating rate based on 6-month
EURO-LIBOR and pay fixed rate equal to
6.175%.
Broker: Goldman Sachs
Exp. 05/22/2030 EC 4,620 (47)
Receive floating rate based on 6-month
EURO-LIBOR minus 0.54% and pay a fixed
rate equal to 6.250%.
Broker: J.P. Morgan
Exp. 01/04/2024 330 4
Receive floating rate based on 6-month
JY-LIBOR and pay a fixed rate equal to 1.310%.
Broker: Goldman Sachs
Exp. 07/14/2005 JY 693,000 (18)
Receive a fixed rate equal to 7.291% and
pay floating rate based on 3-month LIBOR.
Broker: Goldman Sachs
Exp. 07/21/2005 $ 6,000 137
Receive a fixed rate equal to 7.010% and
pay floating rate based on 6-month LIBOR.
Broker: Morgan Stanley
Exp. 09/20/2005 8,900 100
Receive floating rate based on 6-month
EURO-LIBOR and pay fixed rate equal to 6.069%.
Broker: Morgan Stanley
Exp. 08/25/2030 EC 3,900 28
--------
$ (237)
========
148 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Global Bond Fund II
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ARGENTINA (e)(f) 0.1%
--------------------------------------------------------------------------------
Republic of Argentina
5.000% due 12/20/2002 JY 10,000 $ 93
--------
Total Argentina 93
(Cost $95) ========
--------------------------------------------------------------------------------
AUSTRALIA (e)(f) 4.4%
--------------------------------------------------------------------------------
Bankers Trust Corp.
6.970% due 06/02/2008 (d) $ 700 681
General Motors Acceptance Corp.
5.020% due 03/25/2002 EC 1,200 1,058
Registered Australian Mortgage Securities
4.770% due 09/26/2032 (d) 661 584
Superannuation Members Home Loans Global Fund
7.020% due 06/15/2026 (d) $ 400 400
Torrens Trust
6.880% due 07/15/2031 (d) 472 472
--------
Total Australia 3,195
(Cost $3,329) ========
--------------------------------------------------------------------------------
AUSTRIA (e)(f) 0.1%
--------------------------------------------------------------------------------
Republic of Austria
5.500% due 01/15/2010 (j) EC 100 88
--------
Total Austria 88
(Cost $87) ========
--------------------------------------------------------------------------------
BELGIUM (e)(f) 0.2%
--------------------------------------------------------------------------------
Kingdom of Belgium
6.750% due 11/21/2004 (d) BF 5,800 133
--------
Total Belgium 133
(Cost $190) ========
--------------------------------------------------------------------------------
BRAZIL 0.6%
--------------------------------------------------------------------------------
Republic of Brazil
7.880% due 01/01/2001 (d) $ 25 25
7.380% due 04/15/2006 (d) 419 394
--------
Total Brazil 419
(Cost $405) ========
--------------------------------------------------------------------------------
BULGARIA 1.3%
--------------------------------------------------------------------------------
Republic of Bulgaria
2.750% due 07/28/2012 (d) $ 682 497
7.750% due 07/28/2024 (d) 580 444
--------
Total Bulgaria 941
(Cost $938) ========
--------------------------------------------------------------------------------
CANADA (e)(f) 0.3%
--------------------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 330 220
--------
Total Canada 220
(Cost $227) ========
--------------------------------------------------------------------------------
CAYMAN ISLANDS (e)(f) 0.3%
--------------------------------------------------------------------------------
MBNA American Euro
4.980% due 05/19/2004 (d) EC 280 258
--------
Total Cayman Islands 258
(Cost $294) ========
--------------------------------------------------------------------------------
DENMARK (e)(f) 3.8%
--------------------------------------------------------------------------------
Danske Kredit Mortgage
5.000% due 10/01/2029 DK 2,417 $ 250
Denmark Government Bond
4.000% due 02/15/2001 (j) 3,800 446
Nykredit
5.000% due 10/01/2029 8,100 833
Realkredit Danmark Mortgage
5.000% due 10/01/2029 3,603 370
6.000% due 10/01/2029 3,300 365
Unikredit Realkredit
5.000% due 10/01/2029 4,310 446
--------
Total Denmark 2,710
(Cost $3,004) ========
--------------------------------------------------------------------------------
FRANCE (e)(f) 6.4%
--------------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 62 56
Compagnie Financiere de CIC-UE
6.890% due 10/29/2049 (d) $ 300 286
France Government Bond (OAT)
4.000% due 04/25/2009 (j) EC 1,170 939
5.500% due 04/25/2010 330 294
Republic of France
3.000% due 07/25/2009 309 257
4.000% due 10/25/2009 (j) 3,510 2,797
--------
Total France 4,629
(Cost $4,955) ========
--------------------------------------------------------------------------------
GERMANY (e)(f) 2.0%
--------------------------------------------------------------------------------
Commerzbank AG
3.870% due 09/21/2001 EC 440 388
Depfa Pfandbriefbank
4.750% due 07/15/2008 130 108
5.750% due 03/04/2009 (j) 130 114
Republic of Germany
6.000% due 07/04/2007 430 396
5.250% due 01/04/2008 430 380
6.250% due 01/04/2024 90 86
--------
Total Germany 1,472
(Cost $1,570) ========
--------------------------------------------------------------------------------
GREECE (e)(f) 8.0%
--------------------------------------------------------------------------------
CSFP Credit
7.420% due 11/19/2004 (d)(k) $ 1,750 1,766
Hellenic Republic
7.280% due 06/06/2001 (d) 400 406
7.890% due 06/17/2003 (d) GD 7,400 20
10.240% due 10/23/2003 (d) 33,600 90
6.600% due 01/15/2004 (j) 1,300,000 3,467
--------
Total Greece 5,749
(Cost $5,984) ========
--------------------------------------------------------------------------------
ITALY (e)(f) 11.7%
--------------------------------------------------------------------------------
Finmeccanica SpA
2.000% due 06/08/2005 EC 188 163
Island Finance
5.490% due 03/30/2015 (d) 389 344
Republic of Italy
4.750% due 07/01/2005 (j) 1,680 1,447
4.500% due 05/01/2009 (j) 4,080 3,351
4.250% due 11/01/2009 (j) 720 578
5.500% due 11/01/2010 (j) 390 344
6.500% due 11/01/2027 1,100 1,038
5.250% due 11/01/2029 (j) 1,470 1,176
--------
Total Italy 8,441
(Cost $8,804) ========
2000 Semi-Annual Report See accompanying notes 149
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund II
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
JAPAN (e)(f) 2.9%
--------------------------------------------------------------------------------
Government of Japan
4.000% due 06/20/2005 JY 11,000 $ 115
3.400% due 06/20/2005 (j) 28,000 285
0.900% due 12/22/2008 (j) 103,600 885
International Credit Receivable
Japan
0.750% due 08/25/2005 10,000 93
International Credit Receivable
Japan 1 Tranche A
0.720% due 11/22/2004 (d) 7,364 68
0.650% due 08/25/2005 30,000 278
International Credit Receivable
Japan 1 Tranche B
0.820% due 11/22/2004 (d) 20,000 185
SHL Corp. Ltd.
0.530% due 12/25/2024 (d) 14,813 136
0.830% due 12/25/2024 (d) 5,000 46
--------
Total Japan 2,091
(Cost $2,075) ========
--------------------------------------------------------------------------------
MEXICO (e)(f) 1.7%
--------------------------------------------------------------------------------
Petroleos Mexicanos
8.850% due 09/15/2007 $ 140 139
9.380% due 12/02/2008 190 196
United Mexican States
8.750% due 05/30/2002 BP 250 374
5.000% due 09/30/2002 JY 25,000 244
10.380% due 01/29/2003 DM 200 97
4.000% due 03/11/2004 JY 20,000 186
--------
Total Mexico 1,236
(Cost $1,275) ========
--------------------------------------------------------------------------------
NETHERLANDS (e)(f) 0.9%
--------------------------------------------------------------------------------
Deutsche Bank Financial
6.720% due 12/17/2003 (d) $ 200 200
Tecnost International NV
6.670% due 06/23/2004 (d) EC 520 464
--------
Total Netherlands 664
(Cost $752) ========
--------------------------------------------------------------------------------
NEW ZEALAND (e)(f) 0.7%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 1,200 512
--------
Total New Zealand 512
(Cost $678) ========
--------------------------------------------------------------------------------
PANAMA 0.3%
--------------------------------------------------------------------------------
Republic of Panama
4.500% due 07/17/2014 $ 250 202
--------
Total Panama 202
(Cost $193) ========
--------------------------------------------------------------------------------
PERU 0.7%
--------------------------------------------------------------------------------
Republic of Peru
3.750% due 03/07/2017 $ 250 140
4.500% due 03/07/2017 (d) 550 344
--------
Total Peru 484
(Cost $545) ========
--------------------------------------------------------------------------------
PHILIPPINES (e)(f) 1.0%
--------------------------------------------------------------------------------
Republic of Philippines
8.000% due 09/17/2004 EC 570 508
7.940% due 12/01/2009 (d) $ 99 86
6.500% due 12/01/2017 120 93
--------
Total Philippines 687
(Cost $799) ========
--------------------------------------------------------------------------------
POLAND 0.1%
--------------------------------------------------------------------------------
Republic of Poland
3.500% due 10/27/2024 (d) 160 101
--------
Total Poland 101
(Cost $100) ========
--------------------------------------------------------------------------------
PORTUGAL (e)(f) 0.7%
--------------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 (j) EC 650 511
--------
Total Portugal 511
(Cost $608) ========
--------------------------------------------------------------------------------
QATAR (e)(f) 0.4%
--------------------------------------------------------------------------------
International Credit Receivable
5.390% due 03/15/2010 JY 300 265
--------
Total Qatar 265
(Cost $277) ========
--------------------------------------------------------------------------------
SOUTH KOREA (e)(f) 1.2%
--------------------------------------------------------------------------------
Export-Import Bank Korea
7.250% due 06/25/2001 $ 260 259
Korea Development Bank
4.800% due 05/14/2001 (d) DM 440 197
1.880% due 02/13/2002 JY 42,000 389
--------
Total South Korea 845
(Cost $871) ========
--------------------------------------------------------------------------------
SPAIN (e)(f) 4.3%
--------------------------------------------------------------------------------
Kingdom of Spain
4.950% due 07/30/2005 (j) EC 1,620 1,405
5.150% due 07/30/2009 1,990 1,714
--------
Total Spain 3,119
(Cost $3,212) ========
--------------------------------------------------------------------------------
SUPRANATIONAL (e)(f) 2.8%
--------------------------------------------------------------------------------
Asian Development Bank
2.300% due 09/15/2003 A$ 600 316
5.250% due 09/15/2004 600 311
Eurofima
4.750% due 07/07/2004 SK 7,200 727
European Investment Bank
5.380% due 08/28/2007 NK 500 51
International Bank for Reconstruction &
Development
7.250% due 04/09/2001 N$ 1,376 562
World Bank
10.250% due 04/11/2002 PP 2,000 40
--------
Total Supranational 2,007
(Cost $2,379) ========
--------------------------------------------------------------------------------
SWEDEN (e)(f) 0.1%
--------------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 900 99
--------
Total Sweden 99
(Cost $125) ========
--------------------------------------------------------------------------------
TUNISIA (e)(f) 0.1%
--------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 100 90
--------
Total Tunisia 90
(Cost $102) ========
150 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
UNITED KINGDOM (e)(f) 8.5%
--------------------------------------------------------------------------------
Abbey National Treasury Service
7.630% due 12/30/2002 BP 280 $ 424
Bank of Scotland Capital Fund
8.120% due 03/31/2049 1,060 1,564
Equitable
8.000% due 08/29/2049 700 1,041
HAUS Ltd.
5.010% due 12/10/2037 (d) EC 1,500 1,324
Lloyds TSB Bank PLC
5.630% due 07/15/2049 590 472
Royal Bank of Scotland PLC
6.770% due 03/31/2049 1,000 888
SCCR Series 1 Ltd.
5.020% due 12/15/2031 156 138
United Kingdom Gilt
5.750% due 12/07/2009 BP 190 292
--------
Total United Kingdom 6,143
(Cost $6,694) ========
--------------------------------------------------------------------------------
UNITED STATES 119.8%
--------------------------------------------------------------------------------
Corporate Bonds & Notes (e)(f) 14.3%
AESOP Funding II LLC
6.220% due 10/20/2001 83 83
Alpha Wind
11.320% due 05/23/2001 500 500
Associates Corp. of North America
6.780% due 08/27/2001 (d) 400 401
Bancomext Trust Division
8.000% due 08/05/2003 70 70
Bear Stearns Co., Inc.
7.130% due 03/28/2003 (d) 380 380
Beckman Instruments, Inc.
7.100% due 03/04/2003 22 21
Capital One Bank
7.090% due 07/28/2003 (d) 500 502
CMS Energy Corp.
8.130% due 05/15/2002 26 26
Finova Capital Corp.
7.340% due 11/08/2002 (d) 1,250 1,016
7.190% due 04/08/2003 (d) 700 596
Ford Motor Credit Corp.
1.000% due 12/22/2003 JY 14,000 129
1.200% due 02/07/2005 98,000 893
Gold Eagle Capital Ltd.
12.130% due 04/15/2001 $ 500 500
Goldman Sachs Group
6.470% due 01/08/2001 (d) 300 300
Hewlett Packard Finance
5.630% due 11/20/2000 DM 100 45
Household Finance Corp.
7.090% due 08/06/2002 (d) $ 230 231
J.P. Morgan & Co.
8.080% due 02/15/2012 100 87
Jones Intercable, Inc.
8.880% due 04/01/2007 26 27
Kroger Co.
7.560% due 10/01/2010 (d) 200 200
Lehman Brothers Holdings, Inc.
7.530% due 07/15/2002 (d) 400 403
MGM Grand, Inc.
6.950% due 02/01/2005 10 10
Prudential Funding Corp.
6.850% due 12/21/2000 (d) 500 500
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (d) 2,013 1,989
6.720% due 10/21/2002 (d) BP 200 295
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 $ 200 200
Sprint Capital Corp.
5.880% due 05/01/2004 50 48
TCI Communications, Inc.
7.440% due 04/01/2002 (d) 300 304
Tennessee Valley Authority
3.380% due 01/15/2007 (h) 185 174
Texas Utilities Co.
7.210% due 06/25/2001 200 200
7.590% due 09/24/2001 (d) 200 201
--------
10,331
========
Mortgage-Backed Securities 68.0%
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 530 526
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 315 312
6.500% due 03/25/2029 10 9
Crusade Global Trust
7.010% due 05/15/2021 (d) 1,540 1,544
Federal National Mortgage Association
7.000% due 02/25/2020 122 121
Government National Mortgage
Association
7.000% due 10/23/2030-05/20/2030 23,338 20,970
(d)(g)
7.130% due 11/20/2021 (d) 40 41
6.750% due 07/20/2022 (d) 635 642
6.750% due 09/20/2023 (d) 397 401
6.750% due 07/20/2025 (d) 344 347
6.750% due 09/20/2025 (d) 40 40
7.130% due 12/20/2025 (d) 21 21
6.750% due 09/20/2026 (d) 25 25
7.130% due 11/20/2026 (d) 637 643
7.130% due 11/20/2026 (d) 294 296
7.130% due 12/20/2026 (d) 59 60
7.220% due 02/16/2030 (d) 1,402 1,406
7.300% due 02/16/2030 (d) 1,464 1,466
6.000% due 06/20/2030-10/23/2030 29,077 14,195
(d)(g)
Medallion Trust
6.960% due 07/12/2031 (d) 932 932
Puma Finance Ltd.
6.420% due 04/15/2031 (k) 400 399
Residential Funding Mortgage
Securities, Inc.
7.090% due 05/12/2032 (d) 2,604 2,604
Sasco Floating Rate Commercial Mortgage
7.020% due 11/20/2001 (d) 560 561
Structured Asset Mortgage Investments,
Inc.
6.580% due 06/25/2029 (d) 211 202
Structured Asset Securities Corp.
6.550% due 02/25/2030 (d) 1,366 1,368
--------
49,131
========
Asset-Backed Securities 6.4%
AFC Home Equity Loan Trust
6.930% due 12/22/2027 (d) 362 362
Amresco Residential Securities Mortgage
Loan Trust
7.090% due 06/25/2029 (d) 510 512
Banc One Auto Grantor Trust
6.270% due 11/20/2003 13 13
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 11 11
Contimortgage Home Equity Loan Trust
6.010% due 12/25/2013 307 305
EQCC Home Equity Loan Trust
5.770% due 03/20/2029 233 232
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 60 59
Providian Gateway Master Trust
6.840% due 03/15/2007 800 800
Providian Home Equity Loan Trust
6.910% due 06/25/2025 (d) 578 578
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 110 109
Residential Asset Securities Corp.
6.760% due 12/25/2013 (d) 230 230
Residential Funding Mortgage
Securities, Inc.
10.930% due 06/01/2001 300 300
Salomon Brothers Mortgage Securities
7.040% due 11/15/2029 (d) 166 166
United Panama Mortgage Loan Asset
Backed
7.070% due 10/25/2029 (d) 758 757
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 172 171
--------
4,605
========
2000 Semi-Annual Report See accompanying notes 151
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund II
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Municipal Bonds & Notes 0.7%
California State General Obligation,
(FGIC Insured),
Series 1997 4.750% due 12/01/2028 $ 300 $ 262
Long Island Power Authority New York
Electric System,
(FSA Insured), Series 1998, 5.125% due 300 277
12/01/2022 --------
539
========
U.S. Government Agencies (e)(f) 3.3%
Federal National Mortgage Association
6.500% due 07/10/2002 (j) A$ 200 108
Student Loan Marketing Assn.
6.520% due 04/25/2007 (d) $ 1,361 1,356
6.590% due 10/25/2007 (d) 900 897
--------
2,361
========
U.S. Treasury Obligations 26.1%
Treasury Inflation Protected Securities
3.630% due 07/15/2002 (b)(h) 15,540 15,535
U.S. Treasury Bonds
8.750% due 08/15/2020 (j) 500 650
8.000% due 11/15/2021 600 733
6.250% due 08/15/2023 1,000 1,019
U.S. Treasury Strips
0.000% due 02/15/2015 2,200 917
--------
18,854
========
Preferred Security 1.0%
Shares
DG Funding Trust
9.030% due 12/29/2049 (d) 70 702
--------
Total United States 86,523
(Cost $86,715) ========
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 1.0%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
General National Mortgage Association (OTC)
6.000% due 10/20/2030
Strike @ 85.84 Exp. 11/13/2000 $ 14,000 0
General National Mortgage Association (OTC)
7.000% due 10/23/2030
Strike @ 89.00 Exp. 10/16/2000 23,170 0
Interest Rate Swap (OTC)
Strike @ 7.500% Exp. 04/29/2002 700 14
U.S. Treasury Note (OTC)
5.625% due 05/15/2008
Strike @ 105.44 Exp. 11/01/2000 1,100 78
U.S. Treasury Note (OTC)
6.000% due 08/15/2009
Strike @ 110.09 Exp. 11/06/2000 6,910 649
--------
Total Purchased Put Options 741
(Cost $793) ========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 6.4%
--------------------------------------------------------------------------------
Commercial Paper 6.4%
Alcoa, Inc.
6.450% due 12/06/2000 1,400 1,383
Conagra, Inc.
6.670% due 11/16/2000 400 396
Ingersoll-Rand Co.
6.700% due 11/15/2000 500 496
Procter & Gamble Co.
6.500% due 11/29/2000 200 198
Sprint Capital Corp.
6.720% due 11/08/2000 2,200 2,185
--------
Total Short-Term Instruments 4,658
(Cost $4,659) ========
Total Investments (a) 192.8% $139,326
(Cost $142,734)
Written Options (c) ( 0.1%) (89)
(Premiums $89)
Other Assets and Liabilities (Net) (92.7%) (66,992)
---------
Net Assets 100.0% $ 72,245
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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 tax
cost over value. $ 495
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (3,903)
---------
Unrealized depreciation-net $ (3,408)
=========
(b) Securities with an aggregate market
value of $860 have been segregated with
the custodian to cover margin requirements
for the following open futures
contracts at September 30, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
-------------------------------------------------------------------------------
EuroBond 10 Year Note (12/2000) 23 $ 8
Government of Japan 10 Year Note (12/2000) 13 (37)
U.S. Treasury 10 Year Note (12/2000) 30 7
U.S. Treasury 30 Year Note (12/2000) 12 (14)
United Kingdom 10 Year Note (12/2000) 18 (17)
United Kingdom 90 Day LIBOR Future 15 1
(06/2001)
EuroBond 10 Year Written Put Note Options 32 10
(11/2000) --------
$ (42)
========
152 PIMCO Funds See accompanying notes
<PAGE>
(c) Premiums received on written
options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Note December Futures
Strike @ 103.00 Exp. 11/18/2000 7 $ 1 $ 1
Call - CBOT U. S. Treasury Note December Futures
Strike @ 102.00 Exp. 11/18/2000 7 2 2
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.84 Exp.10/10/2000 1,790,000 9 0
Call - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.90 Exp. 10/10/2000 1,790,000 8 4
Put - CME Eurodollar March Futures
Strike @ 92.75 Exp. 03/19/2001 5 3 0
Call - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 5 2 4
Put - CBOT U.S. Treasury Note December
Futures
Strike @ 98.00 Exp. 11/18/2000 3 2 1
Put - CBOT U.S. Treasury Note December
Futures
Strike @ 97.00 Exp. 11/18/2000 3 1 0
Call - TSE Government of Japan December
Futures
Strike @ 134.00 Exp. 11/30/2000 4 7 8
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.81 Exp. 12/21/2000 2,100,000 7 4
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.85 Exp. 10/24/2000 900,000 4 2
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.500% Exp. 02/23/2001 1,100,000 6 5
Put- OTC Eurodollar vs. U.S. Dollar
Strike @ 0.85 Exp. 10/24/2000 2,800,000 13 7
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 7.500% Exp. 04/29/2002 1,000,000 24 51
-----------------
$ 89 $ 89
=================
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Buy AP 102 02/2001 $ 1
Buy A$ 860 10/2000 (40)
Sell 150 10/2000 5
Sell 960 11/2000 1
Buy 169 11/2000 0
Buy BR 230 01/2001 (1)
Buy 90 03/2001 1
Sell C$ 400 10/2000 4
Buy 130 10/2000 (1)
Sell SF 2,560 10/2000 (20)
Buy 1,400 10/2000 1
Sell 1,400 11/2000 (1)
Buy CL 62,700 10/2000 (5)
Buy 4,400 03/2001 0
Buy CP 190,800 02/2001 0
Sell DK 13,519 10/2000 11
Sell 3,366 11/2000 0
Buy 3,366 10/2000 0
Sell EC 400 01/2001 28
Sell 11,854 10/2000 259
Buy 88,805 10/2000 (26)
Sell 1,159 11/2000 (2)
Sell BP 3,064 10/2000 (61)
Buy 460 10/2000 13
Buy GD 360,498 01/2001 (25)
Sell 50,518 12/2000 0
Sell H$ 3,810 10/2000 (3)
Buy 3,810 10/2000 0
Sell 31,200 08/2001 14
Buy 15,600 08/2001 (2)
Buy HF 197,000 01/2001 (109)
Sell 197,000 01/2001 49
Buy 47,700 02/2001 (7)
Buy IR 1,180,000 10/2000 (9)
Sell JY 414,425 10/2000 47
Buy 268,820 10/2000 (28)
Sell 149,236 11/2000 1
Buy KW 181,300 10/2000 1
Buy MP 1,220 10/2000 6
Buy 960 01/2001 2
Sell 1,220 10/2000 (3)
Sell N$ 4,126 10/2000 64
Buy 2,800 10/2000 (49)
Sell 1,373 11/2000 8
Buy PN 540 02/2001 (1)
Buy 120 03/2001 0
Buy PP 4,450 03/2001 2
Buy PZ 1,067 01/2001 (13)
Buy 2,780 02/2001 (19)
Buy 3,213 03/2001 (7)
Sell 2,780 02/2001 7
Sell 667 01/2001 (4)
Sell 270 03/2001 (4)
Buy 3,560 10/2000 (26)
Sell SK 1,364 10/2000 3
Buy TB 3,800 10/2000 (5)
Buy TL 125,000,000 02/2001 (12)
Buy TD 3,092 10/2000 (2)
Buy VB 89,550 10/2000 6
Buy 4,010 12/2000 0
Buy SR 1,030 03/2001 2
--------
$ 51
========
2000 Semi-Annual Report See accompanying notes 153
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund II
September 30, 2000 (Unaudited)
(f) Principal amount denoted in indicated currency:
AP - Argentine Peso
A$ - Australian Dollar
BP - British Pound
BR - Brazilian Real
CL - Chilean Peso
CP Columbian Peso
C$ - Canadian Dollar
DK - Danish Krone
EC - Euro
GD - Greek Drachma
HF - Hungarian Forint
H$ - Hong Kong Dollar
IR - Indonesian Rupiah
JY - Japanese Yen
MP - Mexican Peso
N$ - New Zealand Dollar
PN - Peruvian New Sol
PP - Philippine Peso
PZ - Polish Zloty
KW - South Korean Won
SF - Swiss Franc
SK - Swedish Krona
SR - South Africa Rand
TD - Taiwan Dollar
TB - Thai Baht
VB - Venezuelan Bolivar
(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, 2000:
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 $ (28)
Receive floating rate based on 6-month
Australian Bank Bill and pay a fixed rate
equal to 6.667%.
Broker: Morgan Stanley
Exp. 09/20/2005 A$ 4,400 1
Receive floating rate based on 3-month
Canadian Bank Bill and pay a fixed rate
equal to 6.346%.
Broker: Goldman Sachs
Exp. 07/19/2005 C$ 3,000 (25)
Receive floating rate based on 3-month
Canadian Bank Bill and pay fixed rate
equal to 6.248%.
Broker: Royal Bank of Canada
Exp. 08/02/2005 8,500 (50)
Receive floating rate based on 3-month
Canadian Bank Bill and pay fixed rate
equal to 6.515%.
Broker: J.P. Morgan
Exp. 05/10/2002 3,400 (22)
Receive floating rate based on 6-month
JY-LIBOR and pay fixed rate equal to
2.020%.
Broker: Goldman Sachs
Exp. 05/18/2010 JY 226,000 4
Receive floating rate based on 6-month
EURO-LIBOR and pay fixed rate equal to
6.175%.
Broker: Goldman Sachs
Exp. 05/22/2030 EC 1,320 $ (13)
Receive floating rate based on 6-month
EURO-LIBOR minus 0.54% and pay a fixed
rate equal to 6.250%.
Broker: J.P. Morgan
Exp. 01/04/2024 90 1
Receive floating rate based on 6-month
JY-LIBOR and pay a fixed rate equal to
1.310%.
Broker: Goldman Sachs
Exp. 07/14/2005 JY 232,000 (6)
Receive a fixed rate equal to 7.291% and
pay floating rate based on 3-month LIBOR.
Broker: Goldman Sachs
Exp. 07/21/2005 $ 2,000 46
Receive a fixed rate equal to 7.010% and
pay floating rate based on 6-month LIBOR.
Broker: Morgan Stanley
Exp. 09/20/2005 2,600 29
Receive floating rate based on 6-month
EURO-LIBOR and pay fixed rate equal to
6.069%.
Broker: Morgan Stanley
Exp. 08/25/2030 EC 1,100 8
----------
$ (55)
==========
(j) Subject to financing transaction.
(k) Restricted security.
154 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Emerging Markets Bond Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ARGENTINA 3.5%
--------------------------------------------------------------------------------
Republic of Argentina
7.375% due 03/31/2005 (d) $ 540 $ 498
11.375% due 01/30/2017 (f) 1,100 985
6.875% due 03/31/2023 500 343
--------
Total Argentina 1,826
(Cost $1,818) ========
--------------------------------------------------------------------------------
BERMUDA 0.4%
--------------------------------------------------------------------------------
IMEXA Export Trust
10.125% due 05/31/2003 $ 214 213
--------
Total Bermuda 213
(Cost $210) ========
--------------------------------------------------------------------------------
BRAZIL 29.9%
--------------------------------------------------------------------------------
Republic of Brazil
7.375% due 04/15/2006 (d)(f) $ 6,354 5,996
14.500% due 10/15/2009 (f) 2,300 2,536
7.437% due 04/15/2012 500 385
8.000% due 04/15/2014 (f) 868 669
6.937% due 04/15/2024 400 319
12.250% due 03/06/2030 (f) 4,950 4,505
11.000% due 08/17/2040 1,297 1,036
--------
Total Brazil 15,446
(Cost $15,215) ========
--------------------------------------------------------------------------------
BULGARIA 6.0%
--------------------------------------------------------------------------------
Republic of Bulgaria
7.062% due 07/28/2011 $ 1,250 947
7.062% due 07/28/2024 (d) 2,810 2,150
--------
Total Bulgaria 3,097
(Cost $3,185) ========
--------------------------------------------------------------------------------
COLOMBIA 1.0%
--------------------------------------------------------------------------------
Republic of Colombia
7.625% due 02/15/2007 $ 420 322
8.700% due 02/15/2016 130 89
11.750% due 02/25/2020 100 85
--------
Total Colombia 496
(Cost $504) ========
--------------------------------------------------------------------------------
JORDAN 2.5%
--------------------------------------------------------------------------------
Kingdom of Jordan
6.000% due 12/23/2023 $ 1,700 1,270
--------
Total Jordan 1,270
(Cost $1,190) ========
--------------------------------------------------------------------------------
MALAYSIA 5.0%
--------------------------------------------------------------------------------
Republic of Malaysia
6.875% due 05/15/2001 $ 1,500 1,500
8.750% due 06/01/2009 1,000 1,052
--------
Total Malaysia 2,552
(Cost $2,541) ========
--------------------------------------------------------------------------------
MEXICO 23.4%
--------------------------------------------------------------------------------
Nacional Financiera
8.565% due 05/08/2003 $ 1,500 1,523
United Mexican States
8.500% due 02/01/2006 1,500 1,501
10.375% due 02/17/2009 650 709
9.875% due 02/01/2010 1,250 1,332
6.250% due 12/31/2019 2,900 2,607
7.312% due 12/31/2019 1,650 1,724
7.925% due 12/31/2019 525 549
11.500% due 05/15/2026 1,725 2,098
United Mexican States Recovery Rights
0.000% due 06/30/2003 3,980 0
--------
Total Mexico 12,043
(Cost $11,588) ========
--------------------------------------------------------------------------------
MOROCCO 1.2%
--------------------------------------------------------------------------------
Republic of Morocco
7.750% due 01/01/2009 $ 699 619
--------
Total Morocco 619
(Cost $626) ========
--------------------------------------------------------------------------------
NIGERIA 0.8%
--------------------------------------------------------------------------------
Central Bank of Nigeria
6.250% due 11/15/2020 $ 750 433
Central Bank of Nigeria - Warrant
0.000% due 11/15/2020 1 0
--------
Total Nigeria 433
(Cost $421) ========
--------------------------------------------------------------------------------
PANAMA 4.2%
--------------------------------------------------------------------------------
Republic of Panama
7.930% due 05/10/2002 $ 92 91
4.500% due 07/17/2014 1,750 1,414
8.875% due 09/30/2027 335 281
9.375% due 04/01/2029 400 385
--------
Total Panama 2,171
(Cost $2,186) ========
--------------------------------------------------------------------------------
PERU 3.9%
--------------------------------------------------------------------------------
Republic of Peru
3.750% due 03/07/2017 $ 2,100 1,174
4.500% due 03/07/2017 1,310 817
--------
Total Peru 1,991
(Cost $2,105) ========
--------------------------------------------------------------------------------
PHILIPPINES 1.2%
--------------------------------------------------------------------------------
Republic of Philippines
7.937% due 12/01/2007 $ 66 53
9.875% due 01/15/2019 275 225
9.875% due 01/15/2019 (f) 410 337
--------
Total Philippines 615
(Cost $642) ========
--------------------------------------------------------------------------------
POLAND 2.9%
--------------------------------------------------------------------------------
Republic of Poland
6.000% due 10/27/2014 $ 615 566
3.500% due 10/27/2024 1,475 929
--------
Total Poland 1,495
(Cost $1,447) ========
--------------------------------------------------------------------------------
RUSSIA 7.8%
--------------------------------------------------------------------------------
Russian Federation
9.250% due 11/27/2001 $ 100 97
8.750% due 07/24/2005 700 555
6.057% due 12/15/2015 505 175
11.000% due 07/24/2018 650 475
0.000% due 12/15/2020 3,300 1,122
12.750% due 06/24/2028 1,850 1,615
--------
Total Russia 4,039
(Cost $3,319) ========
--------------------------------------------------------------------------------
SOUTH KOREA 4.8%
--------------------------------------------------------------------------------
Hanvit Bank
11.750% due 03/01/2010 $ 200 199
12.750% due 03/01/2010 250 255
Korea Development Bank
9.450% due 03/15/2001 500 506
7.125% due 09/17/2001 500 499
Republic of Korea
8.875% due 04/15/2008 975 1,024
--------
Total South Korea 2,483
(Cost $2,436) ========
2000 Semi-Annual Report See accompanying notes 155
<PAGE>
Schedule of Investments (Cont.)
Emerging Markets Bond Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
TURKEY 0.6%
--------------------------------------------------------------------------------
Export Credit Bank of Turkey
11.500% due 02/25/2005 $ 100 $ 99
Republic of Turkey
11.875% due 11/05/2004 215 224
--------
Total Turkey 323
(Cost $321) ========
--------------------------------------------------------------------------------
VENEZUELA 6.2%
--------------------------------------------------------------------------------
Republic of Venezuela
7.875% due 12/18/2007 (d) $ 1,607 1,381
6.750% due 03/31/2020 1,100 825
9.250% due 09/15/2027 1,500 1,014
Republic of Venezuela - Warrant
0.000% due 04/15/2020 6 0
--------
Total Venezuela 3,220
(Cost $3,133) ========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 7.7%
--------------------------------------------------------------------------------
Commercial Paper 5.6%
Alcoa, Inc.
6.450% due 12/06/2000 $ 200 198
General Electric Capital Corp.
6.470% due 12/13/2000-12/20/2000 (e) 1,400 888
Ingersoll-Rand Co.
6.740% due 11/15/2000 400 397
International Paper Co.
6.700% due 10/05/2000 400 400
National Power Corp.
7.625% due 11/15/2000 1,000 1,000
--------
2,883
========
Repurchase Agreement 2.1%
State Street Bank
5.850% due 10/02/2000 1,071 1,071
(Dated 9/29/2000.
Collateralized by Federal
National Mortgage Association
7.050% due 02/28/2002 valued at
$1,097 Repurchase proceeds are $1,072.)
--------
Total Short-Term Instruments 3,954
(Cost $3,950) ========
Total Investments (a) 113.0% $ 58,286
(Cost $56,836)
Other Assets and Liabilities (Net) (13.0%) (6,707)
========
Net Assets 100.0% $ 51,579
========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 2,065
Aggregate gross unrealized depreciation
for all investments in which there was an excess
of tax cost over value. (615)
--------
Unrealized appreciation-net $ 1,450
========
(b) Foreign forward currency contracts outstanding at
September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Buy CP 67,438 12/2000 $ (5)
Buy EC 186 11/2000 (34)
Buy 496 10/2000 (13)
Sell 93 11/2000 18
Buy HF 165,000 11/2000 (33)
Buy PZ 750 11/2000 2
Buy 2,000 12/2000 (7)
Buy 1,000 01/2001 (8)
------------
$ (80)
============
(c) Principal amount denoted in indicated currency:
CP - Chilean Peso
EC - European Currency Unit
HF - Hugarian Forint
PZ - Polish Zloty
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(f) Subject to financing transaction.
156 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Strategic Balanced Fund
September 30, 2000 (Unaudited)
Value
Shares (000s)
--------------------------------------------------------------------------------
PIMCO FUNDS (d) 91.0%
--------------------------------------------------------------------------------
StocksPLUS 3,181,221 $ 42,755
Total Return 3,032,284 30,596
--------
Total PIMCO Funds 73,351
(Cost $74,081) ========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 3.9%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Repurchase Agreements 3.9%
State Street Bank
5.850% due 10/02/2000 $ 3,134 3,134
(Dated 9/29/2000. Collateralized by
Federal National Mortgage Association
6.100% due 08/10/2001 valued at
$3,198. Repurchase proceeds are $3,136.)
--------
Total Short-Term Instruments 3,134
(Cost $3,134) ========
Total Investments (a) 94.9% $ 76,485
(Cost $77,215)
Other Assets and Liabilities (Net) 5.1% 4,130
--------
Net Assets 100.0% $ 80,615
========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 833
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (2,370)
--------
Unrealized depreciation-net $ (1,537)
========
(b) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell EC 18,311 10/2000 $ 278
Buy 18,311 10/2000 (137)
Buy HF 300,000 03/2001 27
Sell 300,000 03/2001 17
-----------
$ 185
===========
(c) Principal amount denoted in indicated currency:
EC - Euro
HF - Hugarian Forint
(d) Institutional Class shares of each PIMCO Fund.
2000 Semi-Annual Report See accompanying notes 157
<PAGE>
Schedule of Investments
Convertible Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 71.9%
--------------------------------------------------------------------------------
Banking & Finance 5.8%
ACOM Co. Ltd.
0.000% due 03/31/2002 $ 50,000 $ 501
Exchangeable Certificates Corp.
0.250% due 04/12/2005 5,950 5,783
Hellenic Finance
2.000% due 07/15/2003 500 443
JMH Finance Ltd.
4.750% due 09/06/2007 1,200 1,237
Merrill Lynch & Co.
1.000% due 07/20/2006 1,775 1,356
-------------
9,320
=============
Energy 1.8%
Diamond Offshore Drilling
3.750% due 02/15/2007 2,560 2,902
-------------
Health Care 16.4%
Alza Corp.
0.000% due 07/28/2020 7,750 5,406
Athena Neurosciences, Inc.
4.750% due 11/15/2004 750 1,150
Centocor, Inc.
4.750% due 02/15/2005 2,100 2,698
Ivax Corp.
5.500% due 05/15/2007 2,300 3,355
Mercury Interactive Corp.
4.750% due 07/01/2007 1,800 2,786
Millennium Pharmaceuticals
5.500% due 01/15/2007 1,500 2,837
Roche Holdings, Inc.
0.000% due 01/19/2015 2,950 2,817
Vertex Pharmaceuticals
5.000% due 03/14/2007 3,000 3,495
Wellpoint Health Network, Inc.
0.000% due 07/02/2019 2,000 1,573
-------------
26,117
=============
Industrial 5.0%
Celestica, Inc.
0.000% due 08/01/2020 3,500 1,750
Dupont Photomasks, Inc.
0.000% due 07/24/2004 800 774
Kohls Corp.
0.000% due 06/12/2020 2,500 1,469
Solectron Corp.
0.000% due 01/27/2019 2,000 1,475
Young & Rubicam, Inc.
3.000% due 01/15/2005 2,500 2,466
-------------
7,934
=============
Technology 36.3%
Analog Devices, Inc.
4.750% due 10/01/2005 3,200 3,353
ASM Lithography Holding
4.250% due 11/30/2004 2,000 2,250
2.500% due 04/09/2005 1,500 1,160
AT&T - Liberty Media Group
4.000% due 11/15/2029 3,200 3,004
Clear Channel Communications, Inc.
1.500% due 12/01/2002 650 604
2.630% due 04/01/2003 3,300 3,622
Comverse Technology, Inc.
4.500% due 07/01/2005 1,040 5,305
Exodus Communications, Inc.
4.750% due 07/15/2008 2,000 3,075
Hewlett Packard Co.
0.000% due 10/14/2017 4,450 3,271
I2 Technologies, Inc.
5.250% due 12/15/2006 2,500 6,653
Juniper Networks, Inc.
4.750% due 03/15/2007 2,000 3,082
Lattice Semiconductor Co.
4.750% due 11/01/2006 1,600 2,318
LSI Logic Corp.
4.250% due 03/15/2004 500 990
Nextel Communications, Inc.
5.250% due 01/15/2010 3,000 2,828
Sanmina Corp.
4.250% due 05/01/2004 700 1,579
0.000% due 09/12/2020 7,000 3,103
SCI Systems, Inc.
3.000% due 03/15/2007 2,750 2,753
Stmicroelectron
0.000% due 09/22/2009 1,900 2,522
U.S. Cellular Corp.
0.000% due 06/15/2015 3,600 2,466
Veritas Software Corp.
1.860% due 08/13/2006 1,000 4,110
-------------
58,048
=============
Utilities 6.6%
AES Corp.
4.500% due 08/15/2005 750 1,932
AES Trust VII
6.000% due 01/01/2000 24 1,995
Alliant Energy Resources, Inc.
4.910% due 01/01/2000 33 1,982
Kerr-McGee Corp.
5.250% due 02/15/2010 1,000 1,247
Nabors Industries, Inc.
0.000% due 06/20/2020 4,900 3,418
-------------
10,574
-------------
Total Convertible Bonds & Notes 114,895
(Cost $99,333) =============
--------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK 23.3%
--------------------------------------------------------------------------------
Shares
Banking & Finance 3.2%
Metlife Capital Trust I Cvt. Pfd.
5.680% due 01/01/2000 61,000 5,078
-------------
Energy 6.4%
Apache Corp. Cvt. Pfd.
6.500% due 05/15/2002 17,000 872
Coastal Corp. Cvt. Pfd.
6.625% due 08/16/2002 10,000 416
Kerr-McGee Corp. Cvt. Pfd.
5.500% due 08/01/2004 108,900 5,918
Valero Energy Cvt. Pfd.
7.750% due 08/18/2003 100,500 2,952
-------------
10,158
=============
Industrial 5.2%
Decs Trust VI Cvt. Pfd.
6.250% due 11/15/2002 40,000 1,800
Qwest Trends Trust Cvt. Pfd.
2.400% due 01/01/2000 25,000 1,969
Sealed Air Corp. Cvt. Pfd.
4.000% due 04/01/2018 2,000 90
Times Mirror Co. Cvt. Pfd.
4.250% due 03/15/2001 4,000 339
Tribune Co. Cvt. Pfd.
2.000% due 05/15/2029 35,100 4,168
-------------
8,366
=============
Utilities 8.5%
Calpine Capital Trust III Cvt. Pfd.
5.000% due 01/01/2000 70,000 4,489
Enron Corp. Cvt. Pfd.
7.000% due 07/31/2002 108,000 3,841
MediaOne Group, Inc. Cvt. Pfd.
6.250% due 08/15/2001 9,500 791
SEI Trust I Cvt. Pfd.
6.250% due 10/01/2030 50,000 3,294
Weatherford International, Inc. Cvt. Pfd.
5.000% due 11/01/2027 25,000 1,191
-------------
13,606
-------------
Total Convertible Preferred Stock 37,208
(Cost $30,604) =============
158 PIMCO Funds See accompanying notes
<PAGE>
Value
Shares (000s)
--------------------------------------------------------------------------------
COMMON STOCKS 5.0%
--------------------------------------------------------------------------------
Communications 0.0%
Leap Wireless International, Inc. 344 $ 22
Consumer Discretionary 1.2%
Time Warner, Inc. 24,792 1,940
Technology 3.8%
EMC Corp. 60,668 6,014
-------------
Total Common Stocks 7,976
(Cost $5,207) =============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 2.9%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 2.5%
Federal Home Loan Mortgage Corp.
6.440% due 10/12/2000 $ 2,600 2,595
General Electric Capital Corp.
6.470% due 12/20/2000 700 690
Ingersoll-Rand Co.
6.840% due 10/02/2000 700 700
-------------
3,985
=============
Repurchase Agreements 0.4%
State Street Bank
5.850% due 10/02/2000 576 576
(Dated 9/29/2000. Collateralized by
Federal Home Loan Bank 7.090% due
09/19/2003 valued at $590.
Repurchase proceeds are $576.)
-------------
Total Short-Term Instruments 4,561
(Cost $4,561) =============
Total Investments (a) 103.1% $164,640
(Cost $139,705)
Other Assets and Liabilities (Net) (3.1%) (4,967)
-------------
Net Assets 100.0% $ 159,673
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 29,506
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (4,571)
-------------
Unrealized appreciation-net $ 24,935
=============
2000 Semi-Annual Report See accompanying notes 159
<PAGE>
Schedule of Investments
StocksPLUS Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 46.6%
--------------------------------------------------------------------------------
Banking & Finance 19.2%
Associates Corp. of North America
6.960% due 05/08/2003 (d) $ 11,800 $ 11,791
AT&T Capital Corp.
7.110% due 09/13/2001 (d) 2,100 2,104
7.010% due 04/23/2002 (d) 5,725 5,741
Bear Stearns Co., Inc.
6.130% due 02/01/2003 (d) 1,100 1,078
7.050% due 09/21/2004 (d) 16,800 16,783
Beaver Valley Funding Corp.
8.250% due 06/01/2003 1,193 1,182
Capital One Bank
7.610% due 06/23/2003 (d) 5,400 5,400
CIT Group, Inc.
6.200% due 10/20/2000 3,600 3,599
DaimlerChrysler Financial Services LLC
6.790% due 02/10/2003 (d) 9,600 9,602
Donaldson, Lufkin & Jenrette, Inc.
6.760% due 04/25/2003 (d) 6,900 6,898
Ford Motor Credit Corp.
6.840% due 11/16/2001 (d) 11,000 11,010
6.810% due 03/19/2002 (d) 590 593
6.990% due 07/16/2002 (d) 6,800 6,815
6.820% due 12/16/2002 (d) 3,800 3,790
6.810% due 02/13/2003 (d) 15,000 14,981
6.850% due 03/17/2003 (d) 500 499
General Motors Acceptance Corp.
6.190% due 02/25/2002 (d) 1,000 1,000
Gold Eagle Capital Ltd.
12.130% due 04/15/2001 10,000 10,000
Goldman Sachs Group
7.090% due 03/04/2002 (d) 9,000 9,018
GS Escrow Corp.
7.710% due 08/01/2003 (d) 6,000 5,823
Heller Financial, Inc.
7.070% due 10/22/2001 (d) 10,800 10,823
Household Finance Corp.
6.780% due 06/22/2001 (d) 5,000 5,006
Lehman Brothers Holdings, Inc.
6.970% due 06/03/2002 (d) 600 600
7.530% due 07/15/2002 (d) 3,005 3,030
7.170% due 04/04/2003 (d) 10,200 10,203
6.700% due 11/30/2006 (d) 1,910 1,767
LG&E Capital Corp.
7.490% due 06/18/2001 (d) 6,400 6,402
MBNA America Bank NA
6.960% due 06/10/2004 (d) 10,000 10,007
Merrill Lynch & Co.
6.520% due 10/10/2000 (d) 3,000 3,001
6.730% due 06/18/2001 (d) 10,000 9,999
6.730% due 01/11/2002 (d) 8,550 8,591
6.920% due 02/04/2003 (d) 6,000 5,997
7.180% due 03/17/2004 (d) 100 100
MFN Financial Corp.
6.980% due 09/13/2001 (d) 4,000 4,002
Nacional Financiera
10.560% due 12/01/2000 (d) 10,500 10,448
National Australia Bank Ltd.
7.320% due 05/19/2010 (d) 11,700 11,810
NationsBank Corp.
7.030% due 02/18/2002 (d) 100 98
Old Kent Bank
7.460% due 11/01/2005 4,500 4,496
Qwest Capital Funding, Inc.
7.200% due 07/08/2002 (d) 17,500 17,516
Republic New York Corp.
5.280% due 10/28/2002 (d) 100 99
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 3,352 3,312
6.510% due 04/02/2002 (d) 3,800 3,817
6.910% due 02/11/2003 (d) 5,000 5,004
6.530% due 03/26/2003 (d) 5,000 5,007
Wells Fargo & Co.
7.220% due 05/02/2005 (d) 6,400 6,398
-------------
275,240
=============
Industrials 17.2%
Air Canada
6.800% due 07/31/2005 (d) 10,909 10,033
Amerco, Inc.
6.890% due 10/15/2000 16,800 16,632
Arrow Electronics, Inc.
7.440% due 11/24/2000 (d) 15,000 14,997
Atlas Air, Inc.
10.470% due 10/04/2004 (d) 7,000 7,000
Black & Decker Corp.
7.640% due 12/20/2001 (d) 7,250 7,289
Cemex SA
9.250% due 06/17/2002 300 306
Clear Channel Communications, Inc.
7.210% due 06/15/2002 (d) 5,600 5,613
COFIRI International, Inc.
6.630% due 10/27/2000 (d) 2,000 1,997
Columbia/HCA Healthcare
8.160% due 09/19/2002 (d) 37,800 37,800
CSX Corp.
7.260% due 06/24/2002 (d) 6,900 6,901
El Paso Energy Corp.
6.930% due 07/15/2001 (d) 4,800 4,803
Enron Corp.
7.110% due 09/10/2001 (d) 1,000 1,000
8.000% due 08/15/2005 1,100 1,117
ITT Corp.
6.250% due 11/15/2000 24,065 24,022
Kroger Co.
6.340% due 06/01/2001 2,000 1,993
Marlin Water Trust
7.090% due 12/15/2001 4,049 4,026
Merita
6.470% due 12/01/2005 (d) 1,000 1,005
Occidental Petroleum
7.360% due 10/03/2008 (d) 600 599
Petroleos Mexicanos
8.130% due 07/15/2005 (d) 18,000 18,045
Raytheon Co.
7.020% due 08/10/2001 (d) 8,900 8,907
Rollins Truck Leasing Co.
8.250% due 05/01/2002 29,900 29,982
Stone Container Corp.
10.750% due 10/01/2002 3,435 3,499
TCI Communications, Inc.
7.300% due 04/03/2002 (d) 11,600 11,752
7.360% due 03/11/2003 (d) 4,000 4,079
TRW, Inc.
6.450% due 06/15/2001 400 397
Tyco International Group SA
7.370% due 03/05/2001 (d) 14,500 14,516
Waste Management, Inc.
6.000% due 05/15/2001 1,500 1,470
Williams Communications Group, Inc.
7.180% due 11/15/2001 (d) 6,900 6,904
-------------
246,684
=============
Utilities 10.2%
Appalachian Power Co.
7.270% due 06/27/2001 (d) 12,000 12,003
Central Power & Light Co.
7.290% due 11/23/2001 (d) 3,600 3,600
Dominion Resources, Inc.
7.030% due 01/26/2001 (d) 400 400
Entergy Arkansas, Inc.
7.720% due 03/01/2003 (d) 3,700 3,739
Hughes Electric
7.560% due 10/23/2000 (d) 4,500 4,501
Montana Power Co.
7.000% due 04/06/2001 (d) 1,200 1,200
Nevada Power Co.
7.210% due 06/12/2001 (d) 13,000 13,000
Niagara Mohawk Power
7.130% due 07/01/2001 6,805 6,807
North Atlantic Energy
9.050% due 06/01/2002 599 605
160 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Public Service Enterprise Group, Inc.
7.040% due 11/22/2000 (d) $ 15,000 $ 14,999
Scana Corp.
7.380% due 07/15/2002 (d) 11,300 11,316
Sprint Capital Corp.
6.970% due 11/15/2001 (d) 25,600 25,611
7.010% due 06/10/2002 (d) 1,100 1,101
System Energy Resources
7.710% due 08/01/2001 250 251
Texas Utilities Co.
7.210% due 06/25/2001 (d) 1,900 1,899
7.590% due 09/24/2001 (d) 14,000 14,074
5.940% due 10/15/2001 28,725 28,348
6.410% due 11/21/2001 1,000 993
Western Massachusetts Electric
7.750% due 12/01/2002 1,882 1,883
-------------
146,330
-------------
Total Corporate Bonds & Notes 668,254
(Cost $667,130) =============
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 0.2%
--------------------------------------------------------------------------------
Student Loan Marketing Assn.
6.480% due 07/25/2004 (d) 252 252
6.920% due 04/25/2006 (d) 2,910 2,898
-------------
Total U.S. Government Agencies 3,150
(Cost $3,136) =============
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 9.0%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (b)(c)
3.630% due 07/15/2002 111,105 111,070
3.630% due 01/15/2008 18,802 18,373
-------------
Total U.S. Treasury Obligations 129,443
(Cost $128,947) =============
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 23.8%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 10.0%
Bank Mart
6.880% due 03/01/2019 (d)(i) 4,483 4,544
Countrywide Home Loans
6.050% due 04/25/2029 5,768 5,692
CS First Boston Mortgage Securities Corp.
6.960% due 06/20/2029 2,486 2,483
Donaldson, Lufkin & Jenrette, Inc.
7.910% due 10/17/2020 (d) 139 142
Federal Home Loan Mortgage Corp.
7.000% due 06/15/2023 745 743
6.500% due 08/15/2023 7,495 7,428
Federal National Mortgage Assn.
5.700% due 06/25/2017 534 529
6.760% due 04/25/2020 (d) 18 18
6.500% due 05/18/2024 3,411 3,377
General Electric Capital Mortgage Services, Inc.
6.300% due 09/25/2023 2,000 1,977
6.250% due 10/25/2028 794 785
6.250% due 12/25/2028 1,472 1,337
Government National Mortgage Assn.
7.300% due 09/20/2030 (d) 20,919 20,912
7.020% due 09/29/2030 (d) 300 300
7.300% due 02/16/2030 (d) 15,008 15,023
7.220% due 02/16/2030 (d) 26,654 26,729
Greenwich
7.980% due 04/25/2022 (d) 225 224
8.150% due 10/25/2022 (d) 8 8
Housing Securities, Inc.
7.320% due 07/25/2032 (d) 425 425
ICI Funding Corp. Secured Assets Corp.
7.650% due 07/25/2028 3,569 3,555
Independent National Mortgage Corp.
8.350% due 06/25/2025 67 66
Norwest Asset Securities Corp.
6.750% due 08/25/2029 8,551 8,474
PaineWebber Mortgage
6.430% due 02/25/2001 (d) 251 249
PNC Mortgage Securities Corp.
6.630% due 03/25/2028 7,352 7,237
7.500% due 10/25/2030 6,200 6,208
Resecuritization Mortgage Trust
6.870% due 04/26/2021 (d) 318 312
Residential Funding Mortgage Securities, Inc.
6.280% due 03/25/2018 (d) 1,552 1,504
Resolution Trust Corp.
8.000% due 06/25/2026 822 827
7.590% due 05/25/2029 (d) 13 13
Structured Asset Mortgage Investments, Inc.
9.040% due 06/25/2029 (d) 17,693 18,225
Structured Asset Securities Corp.
6.790% due 12/25/2000 (d) 298 298
TMA Mortgage Funding Trust
7.000% due 01/25/2029 (d) 4,368 4,368
-------------
144,012
=============
Federal Home Loan Mortgage Corporation 0.3%
6.770% due 07/01/2019 (d) 2,554 2,537
7.620% due 12/01/2022 (d) 532 543
8.160% due 06/01/2022 (d) 350 358
8.500% due 04/01/2025-06/01/2025 (j) 183 188
-------------
3,626
=============
Federal National Mortgage Association 0.7%
6.130% due 03/01/2029 (d) 345 338
6.440% due 05/01/2017 (d) 245 241
6.450% due 07/01/2018-02/01/2031 (d)(j) 3,306 3,245
6.500% due 09/01/2005 5,187 5,135
6.610% due 04/01/2018 (d) 93 92
7.900% due 05/01/2022 (d) 280 284
-------------
9,335
=============
Government National Mortgage Association 12.7%
6.750% due 07/20/2018-08/20/2026 (d)(j) 16,603 16,777
7.000% due 10/23/2030 101,400 99,879
7.120% due 02/16/2030 (d) 27,543 27,672
7.130% due 12/20/2022-12/20/2027 (d)(j) 7,942 8,000
7.380% due 02/20/2026-02/20/2028 (d)(j) 17,952 18,086
7.500% due 10/23/2030 11,800 11,833
-------------
182,247
=============
Other Mortgage-Backed Securities 0.1%
California Federal Savings & Loan
6.780% due 07/25/2018 (d) 20 20
Fund America
7.550% due 06/25/2023 (d) 114 114
J.P. Morgan & Co.
6.820% due 01/25/2018 (d) 301 295
Resolution Trust Corp.
7.540% due 12/25/2023 (d) 2 2
Structured Asset Securities Corp.
7.110% due 09/25/2036 (d) 804 797
-------------
1,228
=============
Stripped Mortgage-Backed Securities 0.0%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 1,199 55
6.500% due 08/15/2016 24 0
7.500% due 08/15/2019 281 4
Federal National Mortgage Association (IO)
6.000% due 11/25/2000 61 0
7.000% due 07/25/2006 227 11
6.500% due 09/25/2008 219 18
6.500% due 02/25/2021 1,992 109
7.000% due 07/25/2021 628 89
6.500% due 03/25/2023 3,225 361
-------------
647
-------------
Total Mortgage-Backed Securities 341,095
(Cost $341,483) =============
2000 Semi-Annual Report See accompanying notes 161
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 8.1%
--------------------------------------------------------------------------------
AFC Home Equity Loan Trust
6.770% due 06/25/2028 (d) $ 7,862 $ 7,851
Allied Waste Industries, Inc.
9.440% due 07/30/2006 2,274 2,205
9.690% due 07/30/2007 (d) 2,364 2,294
9.750% due 07/30/2007 (d) 364 353
Amresco Residential Securities Mortgage Loan Trust
6.810% due 07/25/2027 (d) 15 15
6.780% due 05/25/2028 (d) 711 710
Arcadia Automobile Receivables Trust
6.500% due 06/17/2002 70 70
Argentina Funding Corp.
6.880% due 05/20/2003 16,000 16,050
Bayview Financial Acquisition Trust
7.170% due 02/25/2029 5,140 5,157
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 508 505
Contimortgage Home Equity Loan Trust
6.790% due 10/15/2012 (d) 32 32
Cross Country Master Credit
7.150% due 06/15/2006 15,400 15,400
Green Tree Home Improvement Loan Trust
6.740% due 11/15/2029 (d) 7,775 7,780
Green Tree Recreational Equipment
6.430% due 04/17/2006 1,960 1,957
MGM Grand Term Loan
7.870% due 05/06/2001 (d) 9,709 9,686
Novastar Home Equity Loan
6.900% due 04/25/2028 (d) 3,291 3,286
Salomon Brothers Mortgage Securities
6.960% due 02/25/2030 (d) 21,700 21,756
Student Loan Marketing Assn.
6.860% due 10/25/2005 (d) 7,395 7,367
The Money Store Home Equity Trust
6.550% due 09/15/2021 583 582
6.350% due 11/15/2021 (d) 180 179
USAA Auto Loan Grantor Trust
6.100% due 02/15/2006 12,551 12,475
WMC Mortgage Loan
6.830% due 03/20/2028 (d) 166 166
-------------
Total Asset-Backed Securities 115,876
(Cost $115,769) =============
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 6.3%
--------------------------------------------------------------------------------
Hydro-Quebec
6.500% due 09/29/2049 (d) 1,200 1,065
Nacional Financiera
8.570% due 05/08/2003 (d) 6,000 6,094
Republic of Argentina
7.380% due 03/31/2005 (d) 160 147
11.600% due 04/10/2005 (d) 1,400 1,302
Republic of Brazil
7.880% due 01/01/2001 (d) 680 680
7.380% due 04/15/2006 (d) 69,983 65,875
Republic of Bulgaria
7.750% due 07/28/2011 (d) 3,000 2,273
Republic of Croatia
7.000% due 02/27/2002 3,000 2,937
Republic of Panama
7.930% due 05/10/2002 (d) 1,099 1,085
United Mexican States
10.020% due 04/07/2004 (d) 9,000 9,360
-------------
Total Sovereign Issues 90,818
(Cost $89,502) =============
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (f)(g) 4.1%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 9,750 4,161
Export-Import Bank Korea
3.840% due 10/06/2000 (d) DM 11,370 5,132
Korea Development Bank
2.560% due 06/26/2001 JY 1,000,000 9,364
Tecnost International NV
6.670% due 06/23/2004 (d) EC 36,100 32,193
United Mexican States
8.750% due 05/30/2002 BP 3,000 4,493
7.000% due 06/02/2003 C$ 6,000 3,852
-------------
Total Foreign Currency-Denominated Issues 59,195
(Cost $66,217) =============
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
--------------------------------------------------------------------------------
S&P 500 Index December Futures
Strike @ 850.00 Exp. 12/15/2000 $ 20 0
Strike @ 800.00 Exp. 12/15/2000 100 0
Strike @ 750.00 Exp. 12/15/2000 713 0
Strike @ 700.00 Exp. 12/15/2000 13 0
-------------
Total Purchased Put Options 0
(Cost $75) =============
--------------------------------------------------------------------------------
PREFERRED SECURITY 0.1%
--------------------------------------------------------------------------------
Shares
DG Funding Trust
9.030% due 12/29/2049 (d) 110 1,103
-------------
Total Preferred Security 1,103
(Cost $1,103) =============
--------------------------------------------------------------------------------
PREFERRED STOCK 0.6%
--------------------------------------------------------------------------------
TCI Communications, Inc.
9.720% due 12/31/2036 303,565 7,893
-------------
Total Preferred Stock 7,893
(Cost $7,996) =============
--------------------------------------------------------------------------------
COMMON STOCKS 1.1%
--------------------------------------------------------------------------------
Utilities 1.1%
Eastern Enterprises 2,700 171
Florida Progress Corp. 300 164
LG&E Energy Corp. 11,000 268
MCN Energy Group, Inc. 392,500 10,051
Northeast Utilities 241,900 5,239
-------------
Total Common Stocks 15,893
(Cost $15,578) =============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 9.5%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 8.8%
Alcoa, Inc.
6.500% due 12/21/2000 $ 900 887
American Electric Power, Inc.
6.760% due 10/04/2000 4,700 4,698
6.700% due 10/25/2000 9,000 8,961
Associated Corp. of North America
6.580% due 11/16/2000 800 793
AT&T Corp.
6.510% due 12/13/2000 5,900 5,830
Becton Dickinson & Co.
6.520% due 11/30/2000 2,200 2,175
Cba (de) Finance
6.460% due 12/12/2000 200 197
CDC
6.570% due 11/29/2000 3,200 3,165
Conagra, Inc.
6.680% due 10/27/2000 7,000 6,967
6.670% due 11/16/2000 1,600 1,587
CSX Corp.
6.710% due 10/11/2000 3,800 3,794
Dominion Resources, Inc.
6.720% due 10/04/2000 3,000 2,999
6.710% due 11/16/2000 8,000 7,933
6.770% due 11/16/2000 400 397
Edison Midwest
6.790% due 11/01/2000 300 298
162 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Gannett Co.
6.500% due 11/21/2000 $ 5,300 $ 5,243
General Electric Capital Corp.
6.500% due 01/24/2001 9,000 8,810
Gillette Co.
6.460% due 12/12/2000 7,400 7,301
Houston Industries
6.820% due 10/04/2000 1,000 1,000
6.770% due 10/18/2000 5,000 4,985
6.800% due 11/08/2000 15,000 14,895
Infinity Broadcasting Corp.
6.700% due 11/15/2000 1,000 992
Ingersoll-Rand Co.
6.690% due 10/04/2000 2,300 2,299
6.700% due 10/18/2000 8,900 8,873
International Paper Co.
6.700% due 10/06/2000 4,300 4,297
6.700% due 10/10/2000 3,200 3,195
Minnesota Mining & Manufacturing
6.520% due 11/28/2000 100 99
Sprint Capital Corp.
6.720% due 11/08/2000 5,000 4,965
Texas Utilities Co.
6.700% due 10/18/2000 4,100 4,088
World Bank
6.350% due 10/27/2000 2,300 2,290
Yorkshire Building Society
6.490% due 12/06/2000 2,100 2,074
-------------
126,087
=============
Repurchase Agreements 0.7%
Daiwa Securities
6.430% due 10/02/2000 6,000 6,000
(Dated 09/29/2000. Collateralized by U.S. Treasury
Inflation Protected Securities
6.0% due 02/15/2026 valued at $6,142.
Repurchase proceeds are $6,003.)
State Street Bank
5.850% due 10/02/2000 4,130 4,130
(Dated 9/29/2000. Collateralized by
Federal National Mortgage Association
7.050% due 02/28/2002 valued at $4,216.
Repurchase proceeds are $4,132.)
-------------
10,130
=============
U.S. Treasury Bills 0.0%
5.930% due 02/01/2001 (b)(c) 50 49
-------------
Total Short-Term Instruments 136,266
(Cost $136,281) =============
Total Investments (a) 109.4% $ 1,568,989
(Cost $1,573,217)
Written Options (e) (0.1%) (2,266)
(Premiums $2,050)
Other Assets and Liabilities (Net) (9.3%) (133,392)
-------------
Net Assets 100.0% $ 1,433,331
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 6,715
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (10,978)
-------------
Unrealized depreciation-net $ (4,263)
=============
(b) Securities with an aggregate market value of $81,946
have been segregated with the custodian to cover margin
requirements for the following open futures
contracts at September 30, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Government of Japan 10 Year Note 25 $ 15
(12/2000)
S&P 500 Index (12/2000) 3,137 (61,995)
United Kingdom 10 Year Note (12/2000) 490 (540)
EuroBond 10 Year Note Options (11/2000) 585 179
-------------
$ (62,341)
=============
(c) Principal amount of the security is adjusted for inflation.
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Premiums received on written options:
<TABLE>
<CAPTION>
# of
Type Contracts Premium Value
---------------------------------------------------------------------------------
<S> <C> <C> <C>
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.750% Exp.10/10/2000 125,100,000 $ 137 $ 101
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.800% Exp. 10/12/2000 118,400,000 112 159
Put- CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 111 83 3
Call - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 160 63 114
Call - CME Eurodollar December Futures
Strike @ 92.75 Exp. 12/18/2000 80 55 99
Put - CME Eurodollar March Futures
Strike @ 92.75 Exp. 03/19/2000 159 74 6
Call - CME Eurodollar March Futures
Strike @ 93.25 Exp. 3/19/2000 879 175 648
Put - CME Eurodollar March Futures
Strike @ 92.50 Exp. 03/19/2000 301 179 8
Call - CME Eurodollar March Futures
Strike @ 93.00 Exp. 03/19/2000 301 126 380
Put - CME Eurodollar March Futures
Strike @ 92.25 Exp. 03/19/2000 720 446 9
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.750% Exp. 10/05/2000 63,900,000 65 46
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.750% Exp. 10/05/2000 63,900,000 64 46
Call - TSE Government of Japan December Futures
Strike @ 134.00 Exp. 11/30/2000 16 31 32
Put - CME S&P 500 Index December Futures
Strike @ 1400.00 Exp. 12/15/2000 82 440 615
-------------------
$ 2,050 $ 2,266
===================
</TABLE>
2000 Semi-Annual Report See accompanying notes 163
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
September 30, 2000 (Unaudited)
(f) Foreign forward currency contracts outstanding at
September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell C$ 5,773 10/2000 $ 55
Sell EC 49,991 10/2000 1,235
Buy 3,085 10/2000 (4)
Sell BP 3,828 10/2000 (76)
Buy HF 2,300,000 03/2001 182
Sell JY 1,089,759 10/2000 20
Sell N$ 10,942 10/2000 207
Buy PZ 102,100 01/2001 (1,117)
Buy 25,000 02/2001 (139)
Sell 61,000 01/2001 370
----------
$ 733
==========
(g) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
EC - Euro
HF - Hungarian Forint
JY - Japanese Yen
N$ - New Zealand Dollar
PZ - Polish Zloty
(h) Swap agreements outstanding at September 30, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive total Return on S&P 500 Index and pay
floating rate based on 1-month LIBOR plus 0.200%.
Broker: Morgan Stanley
Exp. 06/29/2001 $ 33 $ 0
Receive total Return on S&P 500 Index and pay floating rate based on 1-month
LIBOR plus 0.300%.
Broker: Lehman Brothers
Exp. 07/31/2001 4 0
Receive total Return on S&P 500 Index and pay floating rate based on 1-month
LIBOR plus 0.250%.
Broker: Morgan Stanley
Exp. 09/28/2001 39 0
Receive total return on S&P 500 Index and pay floating rate based on 1 month
LIBOR plus 0.180%.
Broker: J.P. Morgan Securities, Inc.
Exp. 03/16/2001 55 0
Receive floating rate based on JY-LIBOR and pay a fixed rate equal to 1.743%.
Broker: J.P. Morgan
Exp. 09/20/2007 JY 3,150,000 (100)
Receive total return on S&P 500 Index and pay floating rate based on 1 month
LIBOR plus 0.180%.
Broker: J.P. Morgan
Exp. 05/03/2001 $ 12 0
Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 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 (46)
Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 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 500 (27)
Receive a fixed rate equal to 1.290% and the Fund will pay to the counterparty
at par in the event of default in of the United Mexican States at 9.750% due
04/06/2005.
Broker: J.P. Morgan
Exp. 06/19/2002 15,500 2
Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty
at par in the event of default of Enron Corp. 7.875% due 06/15/2003.
Broker: Morgan Stanley
Exp. 06/16/2001 50,000 2
--------
$ (169)
========
(i) Restricted security.
(j) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
164 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Municipal Bond Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 96.9%
--------------------------------------------------------------------------------
Arizona 6.2%
Phoenix Industrial Development Authority Revenue
Bonds, (GNMA/FNMA/FHLMC Insured), Series 2000-1A
5.875% due 06/01/2016 $ 1,000 $ 1,028
Pima County, Arizona Industrial Development
Authority Multi-Family Revenue Bonds, (HUD SECT 8
Insured), Series 1998 5.375% due 06/01/2010 1,210 1,235
Scottsdale, Arizona Industrial Development
Authority Hospital Revenue Bonds, (AMBAC Insured),
Series 1997 A 6.500% due 09/01/2004 1,130 1,206
--------
3,469
========
California 15.5%
Alameda, California Harbor Bay Business Park
Assessment Revenue Bonds, Series 1998
5.000% due 09/02/2006 360 360
Capistrano, California Unified School
District Special Tax, Series 1999 5.000% due
09/01/2008 350 350
Foothill/Eastern Corridor Agency California
Toll Road Revenue Bonds, (MBIA-IBC), Series 1999
0.000% due 01/15/2026 1,565 936
Irvine, California Special Assessment Bond,
Series 1998
4.800% due 09/02/2004 150 150
4.900% due 09/02/2005 160 160
4.900% due 09/02/2005 150 149
5.000% due 09/02/2006 150 149
Irvine, California Special Assessment Bond,
Series 1999
5.000% due 09/02/2005 350 350
5.100% due 09/02/2006 350 349
5.100% due 09/02/2006 185 185
5.200% due 09/02/2007 180 180
5.200% due 09/02/2007 75 75
Knox Middle School Building Corp. Revenue Bonds,
Series 2000 5.700% due 07/15/2010 260 276
Lake Elsinore, California School Refunding Bonds,
Series 1998 5.000% due 09/01/2006 350 349
Los Angeles Community Redevelopment Agency
Certificates of Partnership Revenue Bonds,
Series 1984 7.550% due 11/01/2008 1,150 1,275
Los Angeles County Transportation Commission,
Sales Tax Revenue Refunding Bonds,
Series 1991 B 6.500% due 07/01/2013 1,000 1,036
Orange County, California Improvement Bond,
Series 1998 A 4.900% due 09/02/2005 245 244
Pittsburg, California Infrastructure
Refunding Bonds, Series 1998 A
4.900% due 09/02/2003 150 151
5.000% due 09/02/2004 150 152
Riverside County, California Special Tax Refunding
Bonds, Series 1999
4.200% due 09/01/2001 300 300
4.700% due 09/01/2005 170 170
Roseville, California Special Tax, Series 1999
5.000% due 09/01/2004 350 351
Sacramento County, California Refunding Bonds,
Series 1998 4.900% due 09/02/2005 300 298
South Tahoe California Powers Financing Authority
Revenue Bonds, Series 1999
7.300% due 10/01/2007 350 359
West Sacramento, California Refunding Bonds,
Series 1998 5.000% due 09/02/2004 350 353
--------
8,707
========
Colorado 6.8%
Colorado Housing & Finance Authority
Revenue Bonds, (FHA/VA Mortgages Insured) Series 2000-C3
5.700% due 10/01/2022 1,000 1,020
Colorado Housing & Finance Authority
Revenue Bonds, Series 2000-D3 6.750% due 04/01/2015 250 272
Colorado Housing & Finance Authority,
Series 2000-B3 6.700% due 10/01/2016 250 272
Colorado Springs, Colorado Hospital Revenue Bond,
Series 2000 6.375% due 12/15/2030 1,000 994
Denver, Colorado Health & Hospital Revenue Bonds,
Series 1998 A 5.000% due 12/01/2009 1,390 1,258
--------
3,816
========
Florida 1.1%
Gainesville, Florida Revenue Bonds, Series 1979
6.200% due 10/01/2002 300 304
Orange County, Florida Health Facilities Authority
Revenue Bonds, (MBIA Insured), Series 1996
6.250% due 10/01/2011 290 319
--------
623
========
Georgia 0.4%
Georgia Municipal Electric Authority
Revenue Bonds, (MBIA-IBC Insured), Series 1997
6.500% due 01/01/2012 200 224
--------
Hawaii 1.8%
Honolulu Hawaii City & County General Obligation,
(MBIA-IBC), Series 1993
5.450% due 09/11/2008 1,000 1,039
--------
Indiana 2.0%
Indiana Local Public Improvement Bonds Bank,
Transportation Revenue Bonds, Series 1992
6.750% due 02/01/2014 1,000 1,125
--------
Kansas 1.8%
Wichita Kansas Hospital Revenue Bonds,
Series 1999
6.250% due 11/15/2024 1,000 1,000
--------
Louisiana 0.5%
Louisiana Local Government Revenue Bonds,
(MBIA Insured), Series 2000
5.700% due 01/01/2010 250 259
--------
Massachusetts 6.6%
Massachusetts Housing Finance Agency
Revenue Bonds, (AMBAC Insured), Series 1993
5.950% due 10/01/2008 1,500 1,559
Massachusetts State Development Finance Agency
Revenue Bonds, (ACA Insured), Series 1999
4.600% due 03/01/2009 400 378
Massachusetts State Development Finance Agency
Revenue Bonds, Series 1998
4.700% due 11/01/2007 210 202
4.800% due 11/01/2008 90 87
Massachusetts State General Obligation,
Series 2000
6.000% due 02/01/2013 1,000 1,076
Massachusetts State Health Facilities
Authority Revenue Bonds, Series 1993
5.500% due 10/01/2002 400 389
--------
3,691
========
2000 Semi-Annual Report See accompanying notes 165
<PAGE>
Schedule of Investments (Cont.)
Municipal Bond Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Michigan 2.5%
Farmington Hills Michigan Hospital, Revenue Bond,
(MBIA Insured), Series 1991 B
5.700% due 02/15/2016 (b) $ 200 $ 200
Michigan State Environmental Protection
General Obligation Bonds, Series 1992
6.250% due 11/01/2012 1,100 1,216
-----------
1,416
===========
Minnesota 1.9%
Minneapolis & St. Paul Housing & Redevelopment Authority
Health Care Revenue Bonds, (FSA Insured), Series 1995
5.700% due 08/15/2025 100 100
New Richland, Minnesota Revenue Bonds, Series 1998
4.500% due 08/01/2004 1,000 993
-----------
1,093
===========
New Jersey 9.9%
New Jersey Economic Development Authority
Revenue Bond, Series 1998 A
0.010% due 04/01/2013 1,595 686
New Jersey Economic Development Authority
Revenue Bond, Series 1998
5.600% due 01/01/2012 1,000 885
6.375% due 04/01/2031 2,000 1,964
New Jersey Economic Development Authority
Revenue Bonds, Series 1999
6.625% due 09/15/2012 2,000 2,042
-----------
5,577
===========
New Mexico 2.4%
Los Alamos County, Utility Revenue Bonds,
Series 1994 A
6.000% due 07/01/2008 1,000 1,056
Santa Fe County, El Castillo Retirement
Nursing Home Bonds, Series 1998 A
5.250% due 05/15/2007 315 291
-----------
1,347
===========
New York 9.5%
Nassau County, New York Tobacco Settlement
Corp. Revenue Bonds, Series 1999
5.250% due 07/15/2011 1,000 1,003
New York City General Obligation Bonds,
Series 1996 A
7.000% due 08/01/2007 1,000 1,117
New York State Dorm Authority Revenue Bonds,
(ACA Insured), Series 2000
5.850% due 07/01/2010 1,000 1,027
New York State Dorm Authority Revenue Bonds,
(MBIA Insured), Series 1996
5.600% due 07/01/2016 1,250 1,264
New York State Environmental Facilities
Special Obligation Revenue Bonds, Series 1996
5.125% due 04/01/2022 1,000 936
-----------
5,347
===========
North Carolina 1.9%
North Carolina Municipal Power Agency,
Catawaba Electric Revenue Bonds,
(AMBAC Insured), Series 1992
6.000% due 01/01/2008 1,000 1,068
-----------
North Dakota 3.7%
Mercer County Pollution Control Revenue Bonds,
Series 1991 6.900% due 02/01/2019 2,000 2,054
-----------
Pennsylvania 2.0%
Allegheny County Hospital Development Authority
Revenue Bonds, (MBIA Insured), Series 2000 A
6.500% due 11/15/2030 1,000 1,053
Delaware County, Pennsylvania Hospital Revenue
Bonds, Series 1998
4.900% due 12/01/2008 100 90
-----------
1,143
===========
South Carolina 1.7%
Medical University South Carolina Hospital Facilities
Revenue Bonds, Series 1999
5.700% due 07/01/2012 1,000 982
-----------
Tennessee 3.1%
Nashville & Davidson County, Tennessee
Revenue Bonds, Series 1998
4.450% due 08/01/2007 1,000 960
Sullivan County, Tennessee Industrial
Development Revenue Bonds, (GNMA Insured), Series 1995
6.250% due 07/20/2015 750 787
-----------
1,747
===========
Texas 6.9%
Bexar, Texas Metro Water District Waterworks System
Revenue Bonds, (MBIA Insured), Series 1998
0.000% due 05/01/2035 2,190 281
Brazos River Authority Texas Revenue Bonds,
(MBIA Insured), Series 1998
4.900% due 10/01/2015 1,500 1,402
Dallas-Fort Worth International Airport Facility
Improvement Corp. Revenue Bonds, Series 2000
5.950% due 05/01/2029 1,000 1,003
Houston Independent School District General
Obligation, (PSF Insured), Series 1999
4.750% due 02/15/2026 1,000 844
Midlothian Texas Independent School District
General Obligation, (PSF-GTD Insured),
Series 1999
0.010% due 02/15/2018 1,000 346
-----------
3,876
===========
Utah 6.6%
Intermountain Power Agency Utah Power Supply
Revenue Bonds, (MBIA Insured), Series 1996
6.500% due 07/01/2009 1,925 2,143
Intermountain Power Agency Utah Power Supply
Revenue Bonds, Series 1996 D
5.000% due 07/01/2021 1,710 1,547
-----------
3,690
===========
West Virginia 2.1%
West Virginia State Parkways Economic Development &
Tourism Authority Revenue Bonds, (FGIC Insured),
Series 1993
5.831% due 05/16/2019 1,200 1,208
-----------
Total Municipal Bonds & Notes 54,501
(Cost $53,931) ===========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 0.2%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (c)
3.625% due 07/15/2002 108 108
-----------
Total U.S. Treasury Obligations 108
(Cost $108) ===========
166 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 0.0%
--------------------------------------------------------------------------------
Commercial Paper 0.0%
SSgA Tax Free Money Market
4.570% due 10/02/2000 $ 17 $ 17
-----------
Total Short-Term Instruments 17
(Cost $17) ===========
Total Investments (a) 97.1% $ 54,626
(Cost $54,056)
Other Assets and Liabilities (Net) 2.9% 1,622
-----------
Net Assets 100.0% $ 56,248
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, the net
unrealized appreciation (depreciation) of
investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 1,170
Aggregate gross unrealized depreciation for all
investments in which there was an excess
of tax cost over value. (600)
-----------
Unrealized appreciation-net $ 570
===========
(b) Variable rate security. The rate listed is as of September 30, 2000.
(c) Principal amount of the security is adjusted for inflation.
2000 Semi-Annual Report See accompanying notes 167
<PAGE>
Schedule of Investments
Short Duration Municipal Income Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 98.0%
--------------------------------------------------------------------------------
Arkansas 0.8%
Arkansas Development Finance Authority Health
Care Facilities Revenue, Series 2000-B
5.600% due 06/01/2012 $ 100 $ 100
-----------
Colorado 5.3%
Denver, Colorado City and County Airport Revenue
Bonds, Series 1990
8.100% due 11/15/2000 200 201
Denver, Colorado Health & Hospital Revenue
Bonds, Series 1998-A
5.000% due 12/01/2002 500 494
-----------
695
===========
Florida 13.0%
Atlantic Beach Florida Health Care Revenue Bonds,
(ACA Insured)
5.000% due 10/01/2001 500 501
Gulf Breeze Florida Revenue Bonds,
(MBIA Insured), Series 1997
4.372% due 12/01/2017 (b) 500 478
Orlando Florida, Waste Water System Revenue
Bonds, Series 1997-A
3.750% due 10/01/2000 (b) 50 49
6.112% due 10/01/2015 (b) 750 681
-----------
1,709
===========
Georgia 7.6%
Dalton, Georgia Utilities Revenue Bonds,
(MBIA Insured), Series 1997
4.750% due 10/01/2000 500 501
Fulton County Georgia Water & Sewer Revenue Bonds,
(FGIC Insured), Series 1992
5.625% due 01/01/2001 500 502
-----------
1,003
===========
Hawaii 9.2%
Hawaii Airport Systems Revenue Bonds, (MBIA Insured),
6.600% due 07/01/2004 500 516
Hawaii State General Obligation Bonds, Series 1993
5.500% due 07/01/2001 500 504
Hawaii State Housing Finance & Development Corp.
Revenue Bonds, Series 1998
4.250% due 07/01/2001 195 195
-----------
1,215
===========
Indiana 1.9%
Indiana State Educational Facilities Authority
Revenue Bonds, Series 1998
4.000% due 10/15/2000 250 250
-----------
Iowa 3.8%
Iowa Finance Authority, (FSA Insured),
Series 2000
5.700% due 06/01/2027 500 500
-----------
Kansas 5.4%
Burlington Kansas Pollution Control Revenue Bonds,
(MBIA Insured), Series 1991
7.000% due 06/01/2031 500 517
Kansas Development Finance Authority Health
Facilities Revenue Bonds, (MBIA Insured),
Series 1998
5.700% due 11/15/2023 200 200
-----------
717
===========
Maine 4.2%
Eastport Maine Industrial Development Revenue
Bonds, (LOC-Wachovia Bank), Series 1989
4.750% due 11/15/2001 250 251
5.100% due 11/15/2003 300 300
-----------
551
===========
Massachusetts 2.0%
Massachusetts Housing Finance Agency
Revenue Bonds, (AMBAC Insured), Series 1993
5.950% due 10/01/2008 250 259
-----------
Minnesota 2.8%
Minneapolis & St. Paul Housing & Redevelopment Authority
Health Care Revenue Bonds, (FSA Insured), Series 1995
5.700% due 08/15/2025 100 100
Minnesota State Higher Education Facilities
Authority Revenue Bonds, Series 1998
4.500% due 03/01/2001 270 270
-----------
370
===========
Missouri 6.2%
Missouri State Health Facilities Revenue Bonds,
Series 1999
5.700% due 10/01/2009 100 100
Missouri State Housing Development Community Mortgage
Revenue Bonds, (GNMA/FNMA Insured), Series 1996
7.100% due 09/01/2027 195 211
St. Louis Missouri Airport Revenue Bonds,
Series 2000
6.250% due 01/01/2002 500 505
-----------
816
===========
Nevada 3.7%
Carson City, Nevada School District General
Obligation Bond, (FGIC Insured), Series 1990
6.600% due 04/01/2001 485 490
-----------
New York 3.8%
New York State Dormitory Authority Revenue Bonds,
(MBIA Insured), Series 1999
4.300% due 07/01/2002 500 497
-----------
Ohio 2.3%
Ohio State Air Quality Development Authority
Revenue Bonds, Series 1985
5.500% due 12/01/2015 300 300
-----------
Oregon 1.5%
Multnomah County, Oregon Higher Education Revenue Bonds,
(Allied Irish Bank PLC Insured), Series 2000
5.700% due 12/01/2029 (b) 200 200
-----------
Pennsylvania 3.8%
Dauphin County, Pennsylvania General Authority Bond,
(AMBAC Insured),
4.450% due 09/01/2032 500 500
-----------
Rhode Island 3.9%
Convention Center Authority Rhode Island
Revenue Bonds, (MBIA Insured), Series 1991
6.700% due 05/15/2020 500 517
-----------
Texas 11.4%
Dallas-Fort Worth International Airport Facility
Improvement Corp. Revenue Bonds, Series 2000
5.950% due 05/01/2029 500 502
Midlothian Texas Independent School District General
Obligation, (PSF-GTD Insured), Series 1999
0.010% due 02/15/2001 500 492
Tarrant County, Texas Water Control & Refund &
Import Revenue Bonds, (AMBAC Insured),
Series 1992
5.750% due 03/01/2013 500 503
-----------
1,497
===========
Washington 1.5%
Washington Economic Development Finance
Authority Revenue Bonds, Series 1998
5.750% due 09/01/2018 200 200
-----------
168 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Wisconsin 3.9%
Oshkosh Water Revenue Bonds, Series 1999
4.700% due 01/01/2002 $ 265 $ 265
Wisconsin State Health & Education Facilities
Authority Revenue Bond, (MBIA Insured), Series 1991
6.000% due 11/15/2000 150 150
Wisconsin State Health & Education
Facilities Authority
Revenue Bonds, (Loc-Allied Irish Bank
PLC Insured),
Series 1997 5.700% due 11/01/2017 (b) 100 100
-----------
515
-----------
Total Municipal Bonds & Notes 12,901
(Cost $12,847) ===========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 0.4%
--------------------------------------------------------------------------------
Commercial Paper 0.4%
SSgA Tax Free Money Market
4.570% due 10/02/2000 53 53
-----------
Total Short-Term Instruments 53
(Cost $53) ===========
Total Investments (a) 98.4% $ 12,954
(Cost $12,900)
Other Assets and Liabilities (Net) 1.6% 205
-----------
Net Assets 100.0% $ 13,159
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 65
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (11)
-----------
Unrealized appreciation-net $ 54
===========
(b) Variable rate security. The rate listed is as of
September 30, 2000.
2000 Semi-Annual Report See accompanying notes 169
<PAGE>
Schedule of Investments
California Intermediate Municipal Bond Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 99.9%
--------------------------------------------------------------------------------
California 83.3%
Anaheim, California Public Financing Authority
Revenue Bonds, (AMBAC Insured), Series 1999
4.625% due 10/01/2027 $ 150 $ 152
Antioch, California Public Financing Authority
Reassessment Revenue Bonds, Series 1998-B
5.500% due 09/02/2008 495 503
California Educational Facilities
Authority Revenue Bonds, Series 1997-A
5.700% due 10/01/2015 135 141
California Health Facilities Financing Authority
Revenue Bonds, (AMBAC Insured), Series 1996-B
4.750% due 07/01/2012 (b) 1,100 1,100
California Health Facilities Financing Authority
Revenue Bonds, (MBIA Insured), Series 1998
4.750% due 09/01/2028 (b) 2,000 2,000
5.375% due 08/15/2030 1,100 1,070
California Health Facilities Financing Authority
Revenue Bonds, Series 1998-B
5.250% due 10/01/2014 3,000 2,907
California Housing Finance Agency Revenue Bonds,
(FNMA Insured), Series 1993
4.500% due 07/15/2013 (b) 100 100
California Housing Finance Agency Revenue Bonds,
(SPA-Landesbank Hessen Insured), Series 2000-B
4.500% due 02/01/2035 (b) 400 400
California Housing Financial Agency Revenue Bonds,
(AMBAC FHA Insured), Series 1996
5.950% due 02/01/2011 100 106
California Pollution Control Financing Authority
Revenue Bonds, Series 1999-A
4.500% due 08/01/2003 150 150
California State Department of Water Resources
Central Valley Project Revenue Bonds, Series 1998-U
5.000% due 12/01/2029 2,500 2,272
California State Department Veteran Affairs Home
Revenue Bonds, Series 2000-B
4.900% due 12/01/2005 500 505
California State Economic Development Financing
Authority Industrial Development Revenue Bonds,
(LOC-U.S. Bank Insured), Series 1997
5.150% due 08/01/2027 (b) 780 780
California State General Obligation Bonds,
(AMBAC Insured), Series 1991
6.500% due 09/01/2006 2,500 2,781
California State General Obligation Bonds,
(FGIC Insured), Series 1997
5.000% due 10/01/2004 325 334
California State General Obligation Bonds,
(MBIA Insured), Series 1991
6.600% due 02/01/2011 1,000 1,163
California State General Obligation Bonds,
(MBIA Insured), Series 1992
7.500% due 10/01/2007 400 474
California State General Obligation Bonds,
Series 1991
6.500% due 09/01/2010 1,730 1,997
California State General Obligation Bonds,
Series 1997-BL
5.300% due 12/01/2012 400 411
California State General Obligation Bonds,
Series 2000
5.250% due 03/01/2005 100 104
5.500% due 05/01/2011 3,250 3,478
5.250% due 03/01/2013 300 310
4.850% due 01/01/2027 (b) 1,500 1,313
California State Public Works Board Lease Revenue
Bonds, Series 1994-A
6.375% due 11/01/2014 500 549
California Statewide Communities Development Authority
Apartment Development Revenue Bonds,
Series 1998-A-3
5.100% due 05/15/2025 2,000 1,955
California Statewide Communities Development Authority
Certificates of Participation, (AMBAC Insured),
Series 1995
4.750% due 07/01/2015 (b) 400 400
California Statewide Communities Development Authority
Certificates of Participation, Series 1994
6.500% due 07/01/2015 1,000 1,096
Capistrano, California Unified School District Community
Facilities District Special Tax Bonds,
Series 1997
7.100% due 09/01/2021 2,000 2,290
Capistrano, California Unified School District Community
Facilities District Special Tax Bonds,
Series 1999
5.700% due 09/01/2020 1,500 1,457
Chico, California Public Financing Authority Revenue
Bonds, (FSA Insured), Series 1996
5.200% due 04/01/2011 485 504
Chula Vista, California Special Tax Bonds,
Series 2000-1
6.350% due 09/01/2017 230 235
6.400% due 09/01/2018 120 123
Contra Costa County, California Multifamily Mortgage
Revenue Bonds, (LOC-Bank of America NT & SA Insured),
Series 1987-A 4.400% due 12/01/2017 (b) 1,300 1,300
Corona, California Community Facilities District
Special Tax Bonds, Series 1998
5.875% due 09/01/2023 1,000 978
East Bay, California Regional Park District General
Obligation Bonds, Series 1998
5.000% due 09/01/2017 2,000 1,960
Evergreen, California School District General Obligation
Bonds, (FGIC Insured), Series 2000-C
10.000% due 09/01/2005 465 579
10.000% due 09/01/2006 380 490
Foothill Eastern Transportation Corridor Agency Toll
Road Revenue Bonds, (MBIA Insured), Series 1999
5.875% due 01/15/2027 2,500 1,490
Irvine Ranch, California Water District Revenue Bonds,
(LOC-Landesbank Hessen-Thrgn Insured), Series 1985
4.750% due 10/01/2010 (b) 1,300 1,300
Irvine, California Improvement Bond Act 1915
Revenue Bonds, (LOC-Societe Generale Insured),
Series 1997
4.750% due 09/02/2022 (b) 2,668 2,668
Irvine, California Improvement Bond Act 1915
Special Assessment, (LOC-KBC Bank N.V. Insured),
Series 1996-A
4.750% due 09/02/2021 (b) 400 400
170 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Irvine, California Improvement Bond Act 1915
Special Assessment, (LOC-KBC Bank N.V. Insured),
Series 1999
4.750% due 09/02/2024 (b) $ 1,600 $ 1,600
Livermore Valley, California Joint Unified
School District General Obligation Bonds,
(MBIA Insured), Series 2000
6.500% due 08/01/2003 1,000 1,061
Long Beach, California Harbor Revenue
Bonds, (MBIA Insured), Series 1995
6.500% due 05/15/2005 220 238
Long Beach, California Harbor Revenue Bonds,
Series 1993
4.700% due 05/15/2004 150 151
Los Angeles County, California Transportation
Commission Certificates of Participation,
Series 1992-B
6.250% due 07/01/2004 500 525
Los Angeles, California Community
Redevelopment Agency Certificates of
Participation Revenue Bonds, Series 1984
7.550% due 11/01/2008 415 460
Los Angeles, California Department of Water
& Power Electric Plant Revenue Bonds,
Series 2000 276
3.480% due 11/15/2010 (b) 200 200
Los Angeles, California Department of Water
& Power Waterworks Revenue Bonds, (MBIA Insured),
Series 1994
6.375% due 07/01/2034 2,150 2,333
Los Angeles, California State Building
Authority Lease Revenue Bonds, Series 1999-A
4.600% due 10/01/2007 150 151
Los Angeles, California Unified School District
General Obligation Bonds, (MBIA Insured),
Series 1999-C
4.750% due 07/01/2010 30 31
Los Angeles, California Wastewater System Revenue
Bonds, (MBIA Insured), Series 1998-C
4.000% due 06/01/2015 1,770 1,542
Metropolitan Water District Southern California
General Obligation Bonds, Series 1993-A1
7.250% due 03/01/2007 150 174
Metropolitan Water District Southern California
Revenue Bonds, (SPA-Westdeutsche Landesbank Insured),
Series 2000 4.700% due 07/01/2035 (b) 200 200
Metropolitan Water District Southern California
Revenue Bonds, Series 1993
6.050% due 10/30/2020 (b) 600 592
Newport Beach, California Revenue Bonds,
(SPA-Bank of America NT & SA Insured), Series 1996-A
5.400% due 10/01/2026 (b) 300 300
Newport Beach, California Revenue Bonds,
(SPA-Bank of America NT & SA Insured),
Series 1996-B
5.350% due 10/01/2026 (b) 100 100
Newport Beach, California Revenue Bonds,
(SPA-Bank of America NT & SA Insured),
Series 1996-C
5.400% due 10/01/2026 (b) 100 100
Orange County, California Airport Revenue Bonds,
(MBIA Insured), Series 1993
5.250% due 07/01/2006 1,565 1,612
Orange County, California Improvement Bond
Special Assessment, (LOC-Societe Generale &
LOC-KBC Bank N.V. Insured), Series 1988
4.750% due 09/02/2018 (b) 1,900 1,900
Orange County, California Local Transportation
Authority Sales Tax Revenue Bonds, (AMBAC-TCRS Insured),
Series 1992
6.200% due 02/14/2011 3,250 3,640
Orange County, California Revenue Bonds,
(MBIA Insured), Series 1995-A
6.000% due 06/01/2010 1,000 1,114
Orange County, California Sanitation District
Certificates of Participation,
(LOC-National Westminster Insured), Series 1990
4.750% due 08/01/2015 (b) 3,665 3,665
Orange County, California Water District
Certificates of Participation,
(LOC-Bayerishe Landesbank Insured), Series 1990
4.500% due 08/15/2015 (b) 700 700
Otay, California Water District Certificates
of Participation, (LOC-Landesbank Hessen-Thrgn
Insured), Series 1996
4.400% due 09/01/2026 (b) 200 200
Oxnard, California Improvement Bond Act 1915
Special Assessment, Series 1997
5.500% due 09/02/2004 1,215 1,234
Pacific Housing & Finance Agency, California
Revenue Bonds, (MBIA Insured), Series 1999
4.625% due 12/01/2004 250 253
Pioneers Memorial Healthcare District,
California General Obligation Bonds, (AMBAC Insured),
Series 1998
5.125% due 10/01/2024 1,000 949
Port of Oakland, California Revenue Bonds,
(FGIC Insured), Series 2000
5.500% due 11/01/2009 500 530
Redding, California Electric System Revenue
Certificates of Participation,
(FGIC Insured), Series 1993
5.684% due 06/28/2019 500 507
Riverside County, California Asset Leasing
Corp. Revenue Bonds, (MBIA Insured), Series 2000
5.200% due 11/01/2010 250 263
Sacramento County, California Sanitation District
Financing Authority Revenue Bonds,
(LOC-Credit Agricole Indosez Insured), Series 2000
4.500% due 12/01/2030 (b) 1,900 1,900
Sacramento County, California Sanitation District
Financing Authority Revenue Bonds, Series 2000-A
4.900% due 12/01/2007 1,000 1,032
5.100% due 12/01/2009 1,000 1,048
5.100% due 12/01/2010 1,000 1,046
Sacramento, California Municipal Utility District
Revenue Bonds, Series 1983-M
9.000% due 04/01/2013 960 1,245
San Bernardino County, California Housing Authority
Multifamily Housing Revenue Bonds, (LOC-California
Federal Bank & LOC-Federal Home Loan Bank Insured),
Series 1993
3.250% due 02/01/2023 (b) 400 400
San Francisco, California City & County Airport
Commission International Airport Revenue Bonds,
(FGIC Insured), Series 1996,-12-A
5.625% due 05/01/2005 400 418
San Francisco, California City & County Airport
Commission International Airport Revenue Bonds,
(FSA Insured), Series 1998-16A
5.500% due 05/01/2015 300 306
2000 Semi-Annual Report See accompanying notes 171
<PAGE>
Schedule of Investments (Cont.)
California Intermediate Municipal Bond Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
San Francisco, California City & County Airport
Commission International Airport Revenue Bonds,
(MBIA Insured), Series 1996-14A
8.000% due 05/01/2005 $ 500 $ 569
San Francisco, California City & County Public
Utilities Commission Revenue Bonds, Series 1992-A
6.400% due 11/01/2007 2,500 2,647
San Jose, California Multifamily Housing Revenue
Bonds, (LOC-Bay View Bank N.A. &
LOC-Federal Home Loan Bank Insured), Series 1999
4.950% due 06/01/2039 1,000 1,003
San Jose, California Redevelopment Agency Tax
Allocation, (MBIA Insured), Series 1993
6.000% due 08/01/2010 600 669
San Pablo, California Redevelopment Agency
Revenue Bonds, Series 1979
8.000% due 10/01/2011 145 168
Santa Margarita/Dana Point Authority, California
Revenue Bonds, (MBIA Insured), Series 1994-A
7.250% due 08/01/2006 150 172
Santa Rosa, California Multifamily Housing
Revenue Bonds, (LOC-U.S. Bank N.A. Insured),
Series 1997-A 4.600% due 06/01/2027 (b) 100 100
South Tahoe, California Joint Powers Financing
Authority Revenue Bonds, Series 1999-A
7.300% due 10/01/2007 150 154
Stockton, California Certificates of
Participation,
Series 1999 4.750% due 08/01/2006 120 121
--------
83,648
========
Puerto Rico 12.1%
Puerto Rico Commonwealth Aqueduct & Sewer Authority
Revenue Bonds, (FSA Surety Bond Insured), Series
1985-A
9.000% due 07/01/2009 3,000 3,459
Puerto Rico Commonwealth General Obligation
Bonds,(MBIA Insured), Series 1995
5.200% due 07/01/2006 410 429
Puerto Rico Commonwealth Highway & Transportation
Authority Highway Revenue Bonds, Series 1993-X
5.350% due 07/01/2005 5,000 5,137
Puerto Rico Commonwealth Highway & Transportation
Authority Revenue Bonds, Series 1993-X
5.200% due 07/01/2003 500 510
Puerto Rico Commonwealth Infrastructure
Financing Authority Revenue Bonds, (AMBAC Insured),
Series 1998-A 5.250% due 07/01/2010 150 157
Puerto Rico Electric Power Authority
Power Revenue Bonds, Series 1995-X
6.125% due 07/01/2021 500 548
Puerto Rico Industrial Tourist Educational,
Medical & Environmental Control Facilities
Revenue Bonds, Series 2000
5.300% due 11/15/2005 250 255
Puerto Rico Industrial Tourist Environmental Central
Facilities Revenue Bonds, Series 2000
5.300% due 11/15/2004 150 153
Puerto Rico Municipal Finance Agency General
Obligation Bonds, (FSA Insured), Series 1999-A
5.000% due 08/01/2004 1,000 1,027
Puerto Rico Public Finance Corp. Revenue Bonds,
(AMBAC Insured), Series 1998-A
5.000% due 06/01/2007 500 517
--------
12,192
========
Virgin Islands 4.5%
Virgin Islands Public Finance Authority
Revenue Bonds, Series 1998-C
5.500% due 10/01/2008 3,000 3,015
5.500% due 10/01/2007 1,500 1,508
--------
4,523
--------
Total Municipal Bonds & Notes 100,363
(Cost $97,895) ========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 0.1%
--------------------------------------------------------------------------------
Commercial Paper 0.1%
R & T California Money Market
3.710% due 10/02/2000 154 154
--------
Total Short-Term Instruments 154
(Cost $154) ========
Total Investments (a) 100% $100,517
(Cost $98,049)
Other Assets and Liabilities (Net) (0.0%) (26)
--------
Net Assets 100.0% $100,491
========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 2,491
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (23)
--------
Unrealized appreciation-net $ 2,468
========
(b) Variable rate security. The rate listed is as of September 30, 2000.
172 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
California Municipal Bond Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 97.3%
--------------------------------------------------------------------------------
California 67.6%
California State Department Water Center
Revenue Bonds, Series 1993
8.375% due 12/01/2003 $ 150 $ 168
California State General Obligation,
(FGIC Insured), Series 1997
6.600% due 02/01/2011 500 581
Capistrano Unified School District
Community Facilities District Special Tax Bond,
Series 1999
5.700% due 09/01/2020 500 486
Chula Vista California Special Tax Bond,
Series 2000-1
6.400% due 09/01/2018 125 128
Corona Community Facilities District
Special Tax Bond, Series 1998
5.875% due 09/01/2023 150 147
East Bay Municipal Utility District
Wastewater Treatment
System Revenue Bonds, (AMBAC Insured),
Series 1993
6.420% due 06/01/2013 400 415
Foothill Eastern Transportation Corridor
Agency Toll Road Revenue Bonds, (MBIA-IBC Insured),
Series 1999
0.000% due 01/15/2027 500 298
Los Angeles County Transportation Commission
Certificates of Partnership, Series 1992
6.250% due 07/01/2004 500 525
Los Angeles Department of Water & Power Waterworks
Revenue Bonds, (MBIA Insured), Series 1994
6.375% due 07/01/2034 350 380
Los Angeles, California Wastewater System
Revenue Bonds, (MBIA Insured), Series 1998-C
4.000% due 06/01/2015 400 348
Metropolitan Water District Southern California
Revenue Bonds, Series 1993
6.253% due 10/30/2020 200 197
Orange County California Revenue Bonds,
Series 1995
6.000% due 06/01/2010 750 835
Orange County Local Transportation Authority
Sales Tax Revenue Bonds, (AMBAC-TCRS Insured),
Series 1992
6.200% due 02/14/2011 750 840
Pioneers Memorial Healthcare District
General Obligation, Series 1998
5.125% due 10/01/2024 400 380
San Jose Redevelopment Agency Tax
Allocation, (MBIA Insured), Series 1993
6.000% due 08/01/2010 300 335
Southern California Public Power Authority
Revenue Bonds, (FSA-CR Insured), Series 1993
5.000% due 07/01/2015 110 107
--------
6,170
========
Puerto Rico 25.3%
Puerto Rico Aqueduct & Sewer Authority Revenue
Bonds, (FSA Surety Bond Insured), Series 1985-A
9.000% due 07/01/2009 2,000 2,306
--------
Virgin Islands 4.4%
Virgin Islands Public Finance Authority
Revenue Bonds, Series 1998-C
5.500% due 10/01/2008 405 407
--------
Total Municipal Bonds & Notes 8,883
(Cost $8,665) ========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 1.2%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (b)
3.625% due 07/15/2002 108 108
--------
Total U.S. Treasury Obligations 108
(Cost $107) ========
Total Investments (a) 98.5% $ 8,991
(Cost $8,772)
Other Assets and Liabilities (Net) 1.5% 137
--------
Net Assets 100.0% $ 9,128
========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 219
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. 0
--------
Unrealized appreciation-net $ 219
========
(b) Principal amount of the security is adjusted for inflation.
2000 Semi-Annual Report See accompanying notes 173
<PAGE>
Schedule of Investments
New York Municipal Bond Fund
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 96.8%
-------------------------------------------------------------------------------
New York 96.8%
Amherst, New York General Obligation, (FGIC
Insured), Series A
5.500% due 12/01/2008 $ 150 $ 158
Edmeston, New York Central School District
General Obligation, (MBIA Insured), Series 1999
5.100% due 06/15/2007 150 153
Erie County New York General Obligation,
(AMBAC Insured), Series 2000
5.750% due 07/01/2010 250 267
Long Island Power Authority Revenue Bonds,
Series 1998
5.500% due 05/01/2033 100 100
Nassau County, New York Tobacco Settlement
Corp. Revenue Bonds, Series 1999
5.250% due 07/15/2011 150 151
New York City General Obligation, Series 1997
5.300% due 06/01/2012 150 152
New York City Municipal Water Finance
Authority Revenue Bonds, (FGIC Insured), Series 1994
5.500% due 06/15/2024 100 100
New York General Obligation Bond,
(Bayerische Landesbank Insured), Series 1995-F5
5.500% due 02/15/2016 (b) 100 100
New York General Obligation Bond,
(FGIC Insured), Series 1992-B
5.500% due 10/01/2020 100 100
New York General Obligation, Series 1997-D
5.250% due 08/01/2021 100 94
New York State Dormitory Authority
Revenue Bonds, (AMBAC Insured), Series 1998
5.000% due 07/01/2002 150 151
New York State Dormitory Authority
Revenue Bonds, (FSA Insured), Series 1998
4.750% due 07/01/2008 150 150
New York State Dormitory Authority
Revenue Bonds, (MBIA Insured), Series 1999
4.750% due 07/01/2006 150 150
New York State Energy Research & Development
Revenue Bonds, Series 1985
5.500% due 12/01/2025 200 200
New York State Local Government Assistance Corp.
Revenue Bonds, (MBIA Insured), Series 1997-B
5.125% due 04/01/2013 150 149
New York State Power Authority Revenue &
General Purpose, Series 1972-E
5.500% due 01/01/2010 135 139
New York State Thruway Authority Service Contract
Revenue Bonds, (MBIA Insured), Series 1999
4.900% due 04/01/2008 150 151
New York State Urban Development Corp.
Revenue Bonds, Series 1999
5.000% due 01/01/2005 150 151
New York, New York General Obligation,
Series 1997 5.750% due 08/01/2009 250 267
Ontario County Industrial Development
Agency Revenue Bonds, Series 1985
5.650% due 08/01/2015 100 100
Rockland County New York Solid Waste Management
Authority Revenue Bonds, Series 1999 A
4.800% due 12/15/2005 145 147
--------
Total Municipal Bonds & Notes 3,130
(Cost $3,088) ========
-------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.4%
-------------------------------------------------------------------------------
Commercial Paper 1.4%
R & T New York Money Market
4.550% due 10/02/2000 45 45
--------
Total Short-Term Instruments 45
(Cost $45) ========
Total Investments (a) 98.2% $ 3,175
(Cost $3,133)
Other Assets and Liabilities (Net) 1.8% 57
--------
Net Assets 100.0% $ 3,232
========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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
overtax cost. $ 44
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (2)
--------
Unrealized appreciation-net $ 42
========
(b) Variable rate security. The rate listed is as of
September 30, 2000.
174 PIMCO Funds See accompanying notes
<PAGE>
Notes to Financial Statements
September 30, 2000 (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 35 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, 2000. Information
presented in these financial statements pertains to the Institutional and
Administrative Classes (the "Institutional Classes") of the Trust. Certain
detailed financial information for the A, B, C and D Classes (the "Other
Classes") is provided separately and is available upon request.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements in
conformity with accounting principles generally accepted in the United States.
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States 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 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 and StocksPLUS Funds are declared
and distributed to shareholders quarterly. Net realized capital gains earned by
a Fund, if any, will be distributed no less frequently than once each year.
Income dividends and capital gain distributions are determined in
accordance with income tax regulations which may differ from accounting
principles generally accepted in the United States. 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.
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 and StocksPLUS Funds, are
allocated daily to each class of shares based on the relative value of settled
shares. Income and non-class specific expenses of the Strategic Balanced,
Convertible and StocksPLUS Funds are allocated daily to each class of shares
based on the relative net assets of each class. Realized and unrealized capital
gains and losses of each Fund are allocated daily to each class of shares based
on the relative net assets of each class.
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.
2000 Semi-Annual Report 175
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 2000 (Unaudited)
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 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.
176 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. and serves as
investment adviser (the "Adviser") to the Trust, pursuant to an investment
advisory contract. The Adviser receives a monthly fee from each Fund at an
annual rate based on average daily net assets of the Fund. The Advisory Fee is
charged at an annual rate of 0.15% for the Money Market Fund, 0.20% for the
Short Duration Municipal Income Fund, 0.40% for the Strategic Balanced,
Convertible and StocksPLUS Funds, 0.45% for the Emerging Markets Bond and 0.25%
for all other Funds.
Administration Fee. PIMCO serves as administrator (the "Administrator"), and
provides administrative services to the Trust for which it receives from each
Fund a monthly administrative fee based on each share class' average daily net
assets. The Administration Fee for the Institutional Classes is charged at the
annual rate of 0.18% for the Total Return and Low Duration Funds, 0.19% for the
Short Duration Municipal Income Fund, 0.20% for the Moderate Duration,
Short-Term and Money Market Funds, 0.24% for the California Intermediate
Municipal Bond and New York Municipal Bond Funds, 0.30% for the Global Bond and
Global Bond II Funds, 0.40% for the Emerging Markets Bond Fund and 0.25% for all
other Funds. The Administration Fee for the A, B and C Classes is charged at an
annual rate of 0.35% for the Short-Term, Money Market, Municipal Bond,
California Intermediate Municipal Bond and New York 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 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, Short Duration Municipal Income,
California Intermediate Municipal Bond and New York 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"), a
wholly-owned subsidiary of PIMCO Advisors L.P., serves as the distributor of the
Trust's shares. The Trust is permitted to reimburse, out of the Administrative
Class assets of each Fund offering Administrative Class shares in an amount up
to 0.25% on an annual basis of the average daily net assets of that class,
financial intermediaries that provide services in connection with the
distribution of shares or administration of plans or programs that use Fund
shares as their funding medium. The effective rate paid to PFD was 0.25% during
current fiscal year.
Pursuant to the Distribution and Servicing Plans adopted by the A, B, C and
D Classes of the Trust, the Trust compensates PFD or an affiliate with respect
to Class D for services provided and expenses incurred in connection with
assistance rendered in the sale of shares and services rendered to shareholders
and for maintenance of shareholder accounts of the A, B, C and D Classes. The
Trust paid PFD distribution and servicing fees at an effective rate as set forth
below (calculated as a percentage of each Fund's average daily net assets
attributable to each class):
Distribution Servicing Fee
Fee (%) (%)
--------------------------------------------------------------------------------
Class A
Money Market Fund -- 0.10
All other Funds -- 0.25
Class B
All Funds 0.75 0.25
Class C
Total Return, Long-Term U.S. Gov't.,
High Yield, Total Return Mortgage,
Foreign Bond, Global Bond II,
Emerging Markets Bond,
Strategic Balanced and
Convertible Funds 0.75 0.25
Low Duration, Real Return Bond,
StocksPLUS and Municipal Bond Funds 0.50 0.25
Short-Term Fund 0.30 0.25
Money Market Fund -- 0.10
Class D
All Funds -- 0.25
PFD also receives the proceeds of the initial sales charges paid by the
shareholders upon the purchase of Class A shares, except for the Money Market
Fund, and the contingent deferred sales charges paid by the shareholders upon
certain redemptions of A, B and C Class shares. For the period ended September
30, 2000, PFD received $5,987,857 representing commissions (sales charges) and
contingent deferred sales charges.
2000 Semi-Annual Report 177
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 2000 (Unaudited)
Expenses. The Trust is responsible for the following expenses: (i) salaries and
other compensation of any of the Trust's executive officers and employees who
are not officers, directors, stockholders or employees of PIMCO or its
subsidiaries or affiliates; (ii) taxes and governmental fees; (iii) brokerage
fees and commissions and other portfolio transaction expenses; (iv) the costs of
borrowing money, including interest expense; (v) fees and expenses of the
Trustees who are not "interested persons" of PIMCO or the Trust, and any counsel
retained exclusively for their benefit; (vi) extraordinary expenses, including
costs of litigation and indemnification expenses; (vii) organization expense and
(viii) any expenses allocated or allocable to a specific class of shares, which
include service fees payable with respect to the Administrative Class shares and
may include certain other expenses as permitted by the Trust's Multiple Class
Plan adopted pursuant to Rule 18f-3 under the Act and subject to review and
approval by the Trustees. The ratio of expenses to average net assets per share
class, as disclosed in Financial Highlights, may differ from the annual fund
operating expenses per share class as disclosed in the Prospectus for the
reasons set forth above. PIMCO has agreed to waive a portion of Investment Grade
Corporate Bond, Convertible, Short Duration Municipal Income, California
Intermediate Municipal Bond and New York Intermediate Municipal Bond Funds
administrative fees to the extent that the payment of each Fund's pro rate share
of Trustee fees and organizational expenses cause the actual expense ratios to
rise above the rates disclosed in the then-current prospectus plus 0.49 basis
points as set forth below (calculated as a percentage of each Fund's average
daily net assets attributable to each class):
<TABLE>
<CAPTION>
Inst'l Class Admn. Class Class A Class B Class C Class D
-----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Investment Grade Corporate Bond Fund 0.50% 0.75% -- -- -- --
Convertible Fund 0.65% 0.90% 1.05% 1.80% 1.80% 0.80%
Short Duration Municipal Income Fund 0.39% 0.64% -- -- -- 0.80%
California Intermediate Municipal Bond Fund 0.49% 0.74% 0.85% -- -- 0.85%
New York Municipal Bond Fund 0.49% 0.74% 0.85% -- -- 0.85%
</TABLE>
PIMCO may be reimbursed for these waived amounts in future periods. 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, 2000, 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 $ 83,997,342 $ 74,490,752 $ 9,558,193 $ 7,800,637
Total Return Fund II 4,692,286 4,176,115 338,341 181,715
Total Return Fund III 2,605,146 2,337,978 208,076 107,314
Moderate Duration Fund 483,097 482,497 194,111 77,826
Low Duration Fund 3,758,313 3,762,409 1,465,574 692,820
Low Duration Fund II 620,534 547,497 215,935 34,325
Low Duration Fund III 31,193 26,421 7,836 6,977
Short-Term Fund 260,258 282,834 406,785 82,275
Long-Term U.S. Government Fund 4,766,985 4,741,902 40,867 24,116
Investment Grade Corporate Bond Fund 4,735 4,498 7,738 2,963
High Yield Fund 0 6,402 474,059 747,037
Total Return Mortgage Fund 65,795 52,731 5,445 1,769
GNMA Fund 4,354 200 697 299
Real Return Bond Fund 1,351,736 1,175,196 493,404 43,416
Foreign Bond Fund 1,600,643 1,431,459 624,510 574,400
Global Bond Fund 721,535 611,958 259,438 197,330
Global Bond Fund II 11,651 7,517 227,962 219,090
Emerging Markets Bond Fund 0 0 179,931 158,831
Strategic Balanced Fund 457,515 496,735 112,546 140,586
Convertible Fund 0 0 153,607 160,927
StocksPLUS Fund 300,346 252,736 514,580 247,174
Municipal Bond Fund 108 0 83,024 84,009
Short Duration Municipal Income Fund 0 0 11,142 8,768
California Intermediate Municipal Bond Fund 0 0 212,882 135,822
California Municipal Bond Fund 108 0 41,539 33,295
New York Municipal Bond Fund 0 0 19,752 19,614
</TABLE>
178 PIMCO Funds
<PAGE>
5. Transactions in Written Call and Put Options
Transactions in written call and put options were as follows (amounts in
thousands):
<TABLE>
<CAPTION>
Total Return Total Return Total Return Moderate Duration Low Duration
Fund Fund II Fund III Fund Fund
------------------------------------------------------------------------------------
Premium
------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Balance at 03/31/2000 $ 31,722 $ 1,090 $ 558 $ 250 $ 3,873
Sales 57,025 1,509 4,658 264 2,116
Closing Buys (29,554) (708) (3,275) (51) (78)
Expirations (18,184) (616) (649) (206) (2,092)
Exercised (216) 0 (199) 0 0
------------------------------------------------------------------------------------
Balance at 09/30/2000 $ 40,793 $ 1,275 $ 1,093 $ 257 $ 3,819
------------------------------------------------------------------------------------
Low Duration Low Duration Long-Term Foreign Bond Global Bond
Fund II Fund III U.S. Gov't Fund Fund Fund
------------------------------------------------------------------------------------
Premium
------------------------------------------------------------------------------------
Balance at 03/31/2000 $ 289 $ 23 $ 579 $ 473 $ 213
Sales 122 24 2,073 1,602 572
Closing Buys (54) (3) (2,357) (363) (89)
Expirations 0 (13) (288) (857) (279)
Exercised 0 (7) 0 0 0
-----------------------------------------------------------------------------------
Balance at 09/30/2000 $ 357 $ 24 $ 7 $ 855 $ 417
------------------------------------------------------------------------------------
</TABLE>
Global Bond Strategic StocksPLUS
Fund II Balanced Fund Fund
--------------------------------------------------
Premium
--------------------------------------------------
Balance at 03/31/2000 $ 40 $ 692 $ 1,231
Sales 220 643 6,831
Closing Buys (58) (275) 3,943
Expirations (113) (1,060) (9,955)
Exercised 0 0 0
--------------------------------------------------
Balance at 09/30/2000 $ 89 $ 0 $ 2,050
--------------------------------------------------
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):
<PAGE>
<TABLE>
<CAPTION>
Value of Total Net
Shares Shares Total Net Total Net Assets of Acquired
Issued by Issued by Assets of Assets of Acquiring Fund's
Acquiring Acquiring Acquired Acquiring Fund Unrealized After
Acquiring Fund Acquired Fund Date Fund Fund Fund Fund Acquisition Depreciation
------------------------------------------------------------------------------------------------------------------------------------
PIMCO PIMCO
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Strategic Balanced Fund Balanced Fund 09/17/1999 5,137 $ 66,780 $ 66,780 $ 105,993 $ 172,774 $ (45)
</TABLE>
7. Line of Credit
Effective December 14, 1999, the funds, along with certain other funds managed
by PIMCO, entered into an unsecured $100,000,000 bank line of credit agreement
with State Street Bank & Trust Company. Borrowings under the agreement bear
interest at the Fed Funds plus 50 basis points or the Base Rate, which is
typically the Prime Rate. The funds may borrow money solely for temporary
purposes to fund shareholder redemptions. The funds did not borrow from the line
during the period April 1, 2000 through September 30, 2000.
8. Acquisition by Allianz AG
On May 5, 2000, Allianz AG completed the acquisition of approximately 70% of the
outstanding partnership interest in PIMCO Advisors L.P. ("PIMCO Advisors"), of
which PIMCO is a subsidiary partnership. As a result of this transaction, PIMCO
Advisors, and its subsidiaries, are now controlled by Allianz AG, a leading
provider of financial services, particularly in Europe. PIMCO remains
operationally independent, continues to operate under its existing name, and now
leads the global fixed-income efforts of Allianz AG. Key employees at each PIMCO
Advisors' investment units, including PIMCO's Bill Gross, have signed long-term
employment contracts and have significant profit-sharing and retention
arrangements to ensure continuity of the investment process and staff. With the
addition of PIMCO Advisors, the Allianz Group manages assets of approximately
US$650 billion, including more than 300 mutual funds for retail and
institutional clients around the world.
2000 Semi-Annual Report 179
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 2000 (Unaudited)
9. 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
------------------------------------------------------
Period Ended 09/30/2000 Year Ended 03/31/2000
Shares Amount Shares Amount
------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 501,752 $ 5,002,226 911,222 $ 9,137,242
Administrative Class 83,277 830,924 218,285 2,193,159
Other Classes 89,167 889,558 215,631 2,171,970
Issued as reinvestment of distributions
Institutional Class 72,576 724,490 116,974 1,172,270
Administrative Class 8,610 85,971 11,320 113,239
Other Classes 5,302 52,925 12,790 128,441
Cost of shares redeemed
Institutional Class (314,048) (3,122,368) (623,571) (6,242,527)
Administrative Class (39,346) (392,867) (95,333) (953,360)
Other Classes (52,897) (526,894) (122,336) (1,223,161)
Net increase (decrease) resulting from
Fund share transactions 354,393 $ 3,543,965 644,982 $ 6,497,273
------------------------------------------------------
<CAPTION>
Total Return Fund II
-------------------------------------------------------
Period Ended 09/30/2000 Year Ended 03/31/2000
Shares Amount Shares Amount
-------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 33,819 $ 328,206 66,740 $ 653,040
Administrative Class 1,623 15,806 3,294 31,950
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 3,612 35,067 5,709 55,668
Administrative Class 186 1,810 286 2,786
Other Classes 0 0 0 0
Cost of shares redeemed
Institutional Class (14,100) (136,484) (39,438) (384,235)
Administrative Class (3,311) (32,376) (3,124) (30,450)
Other Classes 0 0 0 0
Net increase (decrease) resulting from
Fund share transactions 21,829 $ 212,029 33,467 $ 328,759
-------------------------------------------------------
<CAPTION>
Total Return Fund III
-------------------------------------------------------
Period Ended 09/30/2000 Year Ended 03/31/2000
Shares Amount Shares Amount
-------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 19,958 $ 173,762 27,684 $ 246,232
Administrative Class 11 101 942 8,282
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 2,470 21,575 3,669 32,584
Administrative Class 36 314 22 195
Other Classes 0 0 0 0
Cost of shares redeemed
Institutional Class (3,269) (28,602) (11,285) (99,748)
Administrative Class (8) (72) (5) (40)
Other Classes 0 0 0 0
Net increase (decrease) resulting from
Fund share transactions 19,198 $ 167,078 21,027 $ 187,505
-------------------------------------------------------
<CAPTION>
Short-Term Fund
-------------------------------------------------------
Period Ended 09/30/2000 Year Ended 03/31/2000
Shares Amount Shares Amount
-------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 26,597 $ 264,774 120,611 $ 1,202,372
Administrative Class 618 6,143 1,778 17,721
Other Classes 7,225 71,902 13,899 138,529
Issued as reinvestment of distributions
Institutional Class 1,408 14,017 2,198 21,902
Administrative Class 14 140 24 234
Other Classes 179 1,778 499 4,967
Cost of shares redeemed
Institutional Class (29,655) (295,264) (113,004) (1,126,670)
Administrative Class (1,748) (17,394) (656) (6,533)
Other Classes (6,652) (66,229) (14,093) (140,433)
Net increase (decrease) resulting from
Fund share transactions (2,014) $ (20,133) 11,256 $ 112,089
-------------------------------------------------------
<CAPTION>
Money Market Fund
---------------------------------------------------------
Period Ended 09/30/2000 Year Ended 03/31/2000
Shares Amount Shares Amount
---------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 69,546 $ 69,548 382,805 $ 382,805
Administrative Class 8,818 8,818 45,030 45,030
Other Classes 1,717,589 1,717,589 6,791,637 6,791,637
Issued as reinvestment of distributions
Institutional Class 7,171 7,171 14,007 14,008
Administrative Class 269 269 426 426
Other Classes 3,924 3,924 6,923 6,923
Cost of shares redeemed
Institutional Class (182,973) (182,973) (414,090) (414,090)
Administrative Class (10,360) (10,360) (44,939) (44,939)
Other Classes (1,800,215) (1,800,215) (6,778,173) (6,778,173)
Net increase (decrease) resulting from
Fund share transactions (186,231) $ (186,229) 3,626 $ 3,627
----------------------------------------------------------
<CAPTION>
Long-Term U.S. Government Fund
-------------------------------------------------------
Period Ended 09/30/2000 Year Ended 03/31/2000
Shares Amount Shares Amount
-------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 4,228 $ 41,611 17,536 $ 170,823
Administrative Class 1,155 11,395 4,792 47,739
Other Classes 3,029 29,877 6,812 66,187
Issued as reinvestment of distributions
Institutional Class 540 5,321 1,110 10,760
Administrative Class 122 1,204 246 2,386
Other Classes 173 1,702 396 3,859
Cost of shares redeemed
Institutional Class (4,483) (43,753) (13,014) (124,451)
Administrative Class (1,180) (11,446) (2,075) (20,024)
Other Classes (2,675) (26,238) (6,842) (66,603)
Net increase (decrease) resulting from
Fund share transactions 909 $ 9,673 8,961 $ 90,676
-------------------------------------------------------
</TABLE>
180 PIMCO Funds
<PAGE>
<TABLE>
<CAPTION>
Moderate Duration Fund Low Duration Fund
---------------------------------------------------------- ----------------------------------------------------------
Period Ended 09/30/2000 Year Ended 03/31/2000 Period Ended 09/30/2000 Year Ended 03/31/2000
Shares Amount Shares Amount Shares Amount Shares Amount
---------------------------------------------------------- ----------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10,973 $ 104,825 20,710 $ 200,422 128,962 $ 1,264,527 287,904 $ 2,852,869
0 0 0 0 4,040 39,612 8,814 87,882
0 0 0 0 15,855 155,620 53,936 534,201
1,494 14,328 2,170 20,913 10,953 107,522 20,182 199,668
0 0 0 0 448 4,395 747 7,388
0 0 0 0 928 9,109 1,912 18,941
(7,279) (69,981) (14,158) (137,218) (122,259) (1,199,533) (290,438) (2,872,755)
0 0 0 0 (2,899) (28,501) (10,124) (100,890)
0 0 0 0 (15,314) (150,254) (49,060) (485,171)
5,188 $ 49,172 8,722 $ 84,117 20,714 $ 202,497 23,873 $ 242,133
---------------------------------------------------------- ----------------------------------------------------------
<CAPTION>
Low Duration Fund II Low Duration Fund III
---------------------------------------------------------- ---------------------------------------------------------
Period Ended 09/30/2000 Year Ended 03/31/2000 Period Ended 09/30/2000 Year Ended 03/31/2000
Shares Amount Shares Amount Shares Amount Shares Amount
---------------------------------------------------------- ---------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
33,659 $ 327,020 13,865 $ 136,132 883 $ 8,528 1,305 $ 12,807
3 30 26 251 0 0 4 46
0 0 0 0 0 0 0 0
1,654 16,072 2,647 25,816 133 1,301 174 1,702
0 1 1 12 0 0 0 1
0 0 0 0 0 0 0 0
(11,697) (113,702) (9,884) (96,194) (603) (5,849) (791) (7,810)
(7) (71) (2,291) (22,782) 0 0 (4) (43)
0 0 0 0 0 0 0 0
23,612 $ 229,350 4,364 $ 43,235 413 $ 3,980 688 $ 6,703
---------------------------------------------------------- ---------------------------------------------------------
<CAPTION>
Investment Grade
Corporate
Bond Fund High Yield Fund
------------------------- ---------------------------------------------------------
Period from 04/28/2000
to 09/30/2000 Period Ended 09/30/2000 Year Ended 03/31/2000
Shares Amount Shares Amount Shares Amount
------------------------- ---------------------------------------------------------
<S> <C> <C> <C> <C> <C>
500 $ 5,000 35,180 $ 357,174 112,421 $ 1,221,190
0 0 8,972 91,225 23,707 255,416
0 0 16,681 169,763 55,214 597,715
16 166 6,925 70,251 16,391 176,340
0 0 1,701 17,253 2,363 25,317
0 0 1,679 17,035 3,722 40,061
0 0 (57,060) (578,600) (129,621) (1,380,777)
0 0 (3,040) (30,931) (12,693) (135,307)
0 0 (18,656) (189,793) (48,358) (518,612)
516 $ 5,166 (7,618) $ (76,623) 23,146 $ 281,343
------------------------- ---------------------------------------------------------
<CAPTION>
Total Return Mortgage Fund GNMA Fund
---------------------------------------------------------- ---------------------------------------------------------
Period Ended 09/30/2000 Year Ended 03/31/2000 Period Ended 09/30/2000 Year Ended 03/31/2000
Shares Amount Shares Amount Shares Amount Shares Amount
---------------------------------------------------------- ---------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1,272 $ 12,500 5 $ 51 360 $ 3,497 3 $ 27
0 0 0 0 0 0 0 0
27 292 18 176 0 0 0 0
36 366 24 235 21 212 26 261
0 0 0 0 0 0 0 0
1 7 1 5 0 0 0 0
(146) (1,481) (34) (342) (10) (94) (5) (48)
0 0 0 0 0 0 0 0
(1) (15) (21) (212) 0 0 0 0
1,189 $ 11,669 (7) $ (87) 371 $ 3,615 24 $ 240
---------------------------------------------------------- ---------------------------------------------------------
</TABLE>
2000 Semi-Annual Report 181
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 2000 (Unaudited)
9. 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>
Real Return Bond Fund
-------------------------------------------------------
Period Ended 09/30/2000 Year Ended 03/31/2000
Shares Amount Shares Amount
-------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 23,299 $ 225,851 20,255 $ 197,599
Administrative Class 1,598 15,833 0 0
Other Classes 7,286 71,429 5,672 55,389
Shares issued in reorganization
Institutional Class 0 0 0 0
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 1,416 12,140 451 4,405
Administrative Class 21 152 0 0
Other Classes 274 2,363 145 1,416
Cost of shares redeemed
Institutional Class (4,911) (44,766) (1,320) (12,861)
Administrative Class (344) (3,373) 0 0
Other Classes (1,485) (14,609) (841) (8,197)
Net increase (decrease) resulting from
Fund share transactions 27,154 $ 265,020 24,362 $ 237,751
--------------------------------------------------------
<CAPTION>
Foreign Bond Fund
-------------------------------------------------------
Period Ended 09/30/2000 Year Ended 03/31/2000
Shares Amount Shares Amount
-------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 8,056 $ 80,971 17,555 $ 178,740
Administrative Class 248 2,506 463 4,784
Other Classes 3,553 35,734 7,466 76,013
Shares issued in reorganization
Institutional Class 0 0 0 0
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 1,127 11,333 2,850 28,907
Administrative Class 16 156 32 324
Other Classes 276 2,777 609 6,155
Cost of shares redeemed
Institutional Class (7,540) (75,719) (28,226) (286,997)
Administrative Class (150) (1,511) (211) (2,130)
Other Classes (2,061) (20,724) (4,535) (45,879)
Net increase (decrease) resulting from
Fund share transactions 3,525 $ 35,523 (3,997) $ (40,083)
--------------------------------------------------------
<CAPTION>
Global Bond Fund
-------------------------------------------------------
Period Ended 09/30/2000 Year Ended 03/31/2000
Shares Amount Shares Amount
-------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 14,533 $ 127,525 9,839 $ 90,144
Administrative Class 177 1,539 795 7,497
Other Classes 0 0 0 0
Shares issued in reorganization
Institutional Class 0 0 0 0
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 582 4,147 1,162 10,736
Administrative Class 6 52 19 172
Other Classes 0 0 0 0
Cost of shares redeemed
Institutional Class (8,453) (72,806) (8,187) (74,885)
Administrative Class (161) (1,392) (701) (6,530)
Other Classes 0 0 0 0
Net increase (decrease) resulting from
Fund share transactions 6,684 $ 59,065 2,927 $ 27,134
--------------------------------------------------------
<CAPTION>
StocksPLUS Fund
-------------------------------------------------------
Period Ended 09/30/2000 Year Ended 03/31/2000
Shares Amount Shares Amount
-------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 9,311 $ 128,000 15,093 $ 218,329
Administrative Class 887 12,073 4,321 63,727
Other Classes 9,634 131,710 35,815 512,940
Issued as reinvestment of distributions
Institutional Class 828 11,241 7,047 99,393
Administrative Class 47 635 530 7,404
Other Classes 698 9,367 9,584 133,688
Cost of shares redeemed
Institutional Class (6,818) (93,861) (14,080) (201,504)
Administrative Class (116) (1,590) (3,619) (52,930)
Other Classes (13,792) (188,055) (32,255) (455,756)
Net increase (decrease) resulting from
Fund share transactions 679 $ 9,520 22,436 $ 325,291
-------------------------------------------------------
<CAPTION>
Municipal Bond Fund
-------------------------------------------------------
Period Ended 09/30/2000 Year Ended 03/31/2000
Shares Amount Shares Amount
-------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 1,268 $ 11,878 443 $ 4,203
Administrative Class 168 1,601 315 3,032
Other Classes 610 5,782 1,697 16,283
Issued as reinvestment of distributions
Institutional Class 29 278 25 239
Administrative Class 9 90 12 113
Other Classes 52 481 134 1,286
Cost of shares redeemed
Institutional Class (679) (6,486) (450) (4,329)
Administrative Class (38) (367) (135) (1,268)
Other Classes (1,124) (10,647) (2,276) (21,656)
Net increase (decrease) resulting from
Fund share transactions 295 $ 2,610 (235) $ (2,097)
<CAPTION>
Short Duration Municipal Income Fund
-------------------------------------------------------
Period from 08/31/1999
Period Ended 09/30/2000 to 03/31/2000
Shares Amount Shares Amount
-------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 214 $ 2,134 1,050 $ 10,500
Administrative Class 0 0 0 0
Other Classes 0 0 1 10
Issued as reinvestment of distributions
Institutional Class 26 263 24 241
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
Cost of shares redeemed
Institutional Class (50) 0 0 0
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
Net increase (decrease) resulting from
Fund share transactions 235 $ 2,347 1,075 $ 10,751
-------------------------------------------------------
</TABLE>
182 PIMCO Funds
<PAGE>
<TABLE>
<CAPTION>
Global Bond Fund II Emerging Markets Bond Fund
------------------------------------------------------ ----------------------------------------------------
Period Ended 09/30/2000 Year Ended 03/31/2000 Period Ended 09/30/2000 Year Ended 03/31/2000
Shares Amount Shares Amount Shares Amount Shares Amount
------------------------------------------------------ ----------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
733 $ 6,908 6,377 $ 59,618 2,867 $ 23,553 2,116 $ 16,701
0 0 0 0 44 378 3,429 25,789
80 754 460 4,394 163 1,404 125 979
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
187 1,762 268 2,526 156 1,337 111 888
0 0 0 0 66 557 114 915
24 233 58 545 4 39 9 73
(3,479) (32,688) (558) (5,204) (56) (478) (1,248) (9,797)
0 0 0 0 (396) (3,300) (1,993) (15,204)
(238) (2,241) (595) (5,615) (115) (1,003) (37) (311)
(2,693) $ (25,272) 6,010 $ 56,264 2,733 $ 22,487 2,626 $ 20,033
------------------------------------------------------ ----------------------------------------------------
<CAPTION>
Strategic Balanced Fund Convertible Fund
------------------------------------------------------ ----------------------------------------------------
Period Ended 09/30/2000 Year Ended 03/31/2000 Period Ended 09/30/2000 Year Ended 03/31/2000
Shares Amount Shares Amount Shares Amount Shares Amount
------------------------------------------------------ ----------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
162 $ 2,032 880 $ 8,040 2,571 $ 38,114 13,295 $ 176,112
6 70 75 956 28 410 0 0
367 4,593 704 12,505 878 12,913 1,059 14,391
0 0 2,758 35,908 0 0 0 0
0 0 0 0 0 0 0 0
0 0 2,379 30,872 0 0 0 0
144 1,764 552 7,091 64 960 137 1,984
2 23 3 45 0 0 0 0
57 644 161 2,065 5 7 8 120
(5,853) (74,557) (2,101) (26,925) (4,658) (68,411) (2,763) (41,632)
(17) (216) (23) (293) 0 0 0 0
(404) (5,035) (949) (11,948) (145) (2,121) (61) (841)
(5,536) $ (70,682) 4,439 $ 58,316 (1,257) $ (18,128) 11,675 $ 150,134
------------------------------------------------------ ----------------------------------------------------
<CAPTION>
California
California Intermediate Municipal
Municipal Bond Fund Bond Fund New York Municipal Bond Fund
------------------------------------------------- ---------------------- -----------------------------------------------
Period from 08/31/1999 Period from 05/16/2000 Period from 08/31/1999
Period Ended 09/30/2000 to 03/31/2000 to 09/30/2000 Period Ended 09/30/2000 to 03/31/2000
Shares Amount Shares Amount Shares Amount Shares Amount Shares Amount
------------------------------------------------- ---------------------- -----------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
8,707 $ 87,248 885 $ 8,840 1,861 $ 18,619 0 $ 0 300 $ 3,000
156 1,550 1 10 0 0 0 0 0 0
3,145 31,556 190 1,889 2 20 0 0 2 20
107 1,088 9 91 18 183 6 67 8 76
2 25 0 0 0 0 0 0 0 0
41 424 1 12 0 0 0 0 0 0
(3,050) (30,771) (56) (556) (1,002) (10,286) 0 0 0 0
(1) (10) 0 0 0 0 0 0 0 0
(358) (3,572) (12) (119) 0 0 0 0 0 0
8,749 $ 87,538 1,018 $ 10,167 879 $ 8,536 6 $ 67 310 $ 3,096
------------------------------------------------- ---------------------- -----------------------------------------------
</TABLE>
2000 Semi-Annual Report 183
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 2000 (Unaudited)
10. Federal Income Tax Matters
As of March 31, 2000, 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 Fund, 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, Total Return Mortgage, Low Duration
Mortgage, Real Return, Global Bond, Global Bond II, Emerging Markets, Municipal
Bond, Short Duration Municipal Income, California Intermediate Municipal Bond
and New York Intermediate Municipal Bond Funds realized capital losses and/or
foreign currency losses during the period November 1, 1999 through March 31,
2000 which the Fund elected to defer to the following year pursuant to income
tax regulations. The amounts are $243,968,849, $14,717,058, $11,710,797,
$4,459,710, $17,470,237, $1,573,997, $337,027, $1,382,953, $10,332,768,
$43,449,654, $5,145, $5,416, $342,135, $10,503,749, $406,361, $24,335, $526,178,
$22,082, $12,205 and $10,244, respectively.
Each Fund will resume capital gain distributions in the future to the
extent gains are realized in excess of available carryforwards.
<TABLE>
<CAPTION>
Capital Loss Carryforwards
--------------------------------
Realized Losses Acquired Losses Expiration
-----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Total Return Fund $ 750,096,993 $ 0 03/31/2008
Total Return Fund II 33,030,778 0 03/31/2008
Total Return Fund III 16,925,544 0 03/31/2008
Moderate Duration Fund 8,886,672 0 03/31/2008
Low Duration Fund 42,174,597 0 03/31/2008
Low Duration Fund II 5,796,635 0 03/31/2008
Low Duration Fund III 336,265 0 03/31/2008
Short-Term Fund 412,413 0 03/31/2008
Short-Term Fund 109,956 0 03/31/2007
Long-Term U.S. Government Fund 23,250,622 0 03/31/2008
High Yield Fund 39,492,722 0 03/31/2008
High Yield Fund 0 48,559,227 03/31/2002
Total Return Mortgage Fund 1,080 0 03/31/2008
Foreign Bond Fund 10,316,442 0 03/31/2008
Global Bond Fund 8,590,309 0 03/31/2008
Global Bond Fund II 1,342,527 0 03/31/2008
Municipal Bond Fund 391,768 0 03/31/2008
Municipal Bond Fund 5,734 0 03/31/2007
Short Duration Municipal Income Fund 2,501 0 03/31/2008
</TABLE>
184 PIMCO Funds
<PAGE>
Pacific Investment Management Company is responsible for the management and
administration of the PIMCO Funds: Pacific Investment Management Series. Founded
in 1971, Pacific Investment Management Company currently manages assets in
excess of $207 billion on behalf of mutual fund and institutional clients
located around the world. Renowned for its fixed income management expertise,
Pacific Investment manages assets for many of the largest corporations,
foundations, endowments, and governmental bodies in the United States and the
world.
Trustees and Officers
Brent R. Harris Chairman and Trustee
R. Wesley Burns President and Trustee
Guilford C. Babcock Trustee
E. Philip Cannon Trustee
Vern O. Curtis Trustee
J. Michael Hagan Trustee
Thomas P. Kemp Trustee
William J. Popejoy Trustee
Garlin G. Flynn Secretary
John P. Hardaway Treasurer
Investment Adviser and Administrator
Pacific Investment Management Company
840 Newport Center Drive, Suite 300
Newport Beach, CA 92660
Custodian
State Street Bank & Trust Company
801 Pennsylvania
Kansas City, MO 64105
Transfer Agent
National Financial Data Services
330 W. 9th Street, 4th Floor
Kansas City, MO 64105
Counsel
Dechert Price & Rhoads
1775 Eye Street, N.W.
Washington, D.C. 20006-2401
Independent Accountants
PricewaterhouseCoopers LLP
1055 Broadway
Kansas City, MO 64105
<PAGE>
PIMCO Funds Distributors LLC
2197 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.
[LOGO OF 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.
September 30, 2000
Pacific
Investment
Management
Series
Share Classes
A B C
California Intermediate
Municipal Bond
CA Muni Bond
Convertible
Emerging Markets
Bond
Foreign Bond
Global Bond II
High Yield
Long-Term U.S.
Government
Low Duration
Money Market
Municipal Bond
New York
Municipal Bond
Real Return Bond
Short-Term
StocksPLUS
Strategic Balanced
Total Return
Total Return Mortgage
[GRAPHIC]
Although stocks have taken center stage in recent years, bonds have been star
performers in 2000. Story on page 1.
Page 1 Today's Investor
Bonds Deserve a Little Limelight--and a Place in Your Portfolio
Page 3 PIMCO Funds Update
What's News
Page 4 Manager Commentary
A Conversation with Bill Gross and Paul McCulley
Page 6 Web Update
Bookmark the PIMCO Funds Bond Center
Page 7 Overview: Comprehensive Fund Family
Page 8 PIMCO Funds: Pacific Investment Management Series
Semi-Annual Report
PIMCO
FUNDS
<PAGE>
Today's
Investor
Bonds Deserve a Little Limelight--and a Place in Your Portfolio
[GRAPHIC]
Bonds are the Rodney Dangerfield of the investment world. Sometimes they just
don't get much respect. Despite the fact that, on average, they're outperforming
stocks so far this year, they're not getting the attention they deserve.
The fact of the matter is, bonds are hard working securities that do a very good
job of preserving capital, providing stability and sometimes--like this
year--they even offer higher returns than stocks. And all of that makes a
compelling argument for including them in a diversified investment portfolio.
Bonds topping stocks in 2000
Bonds are on track to outperform stocks this year--a big change from last year's
scenario. In 1999 the S&P 500 ended the year up 21.04%, while the tech-heavy
NASDAQ closed the year up a phenomenal 85.59%. At the end of September this
year, however, both indexes were in negative territory--the S&P 500 at -1.39%
and the NASDAQ at -9.74%. By contrast, at the end of the third quarter the
Lehman Aggregate Bond Index--generally regarded as representative of the bond
market as a whole--was up an impressive 7.12% year to date.
After last year's sky-high stock market returns, who could have predicted this
turn of events? No one. And that's exactly the rationale for portfolio
diversification. Since nobody can foretell which way the financial markets will
head from year to year, the sensible solution is to maintain a diversified
investment portfolio to protect against the markets' innate volatility.
Is your portfolio allocation out of whack?
As a result of the run-up in stocks over the last 5 years, many investors will
find that their portfolios are no longer properly diversified. The chart below
shows what happened to a hypothetical portfolio with 65% invested in stocks and
35% invested in bonds between September 30, 1995 and September 30, 2000.
Having a larger portion of your portfolio invested in stocks last year, when
stock prices were rising, was a beautiful thing. But with this year's
unprecedented stock market volatility, a top-heavy stock portfolio is likely not
faring so well.
Time to boost your bond quotient?
The strong performance of the bond market makes this a particularly good time to
invest in bonds. If you're receiving this report, you're already investing in a
PIMCO bond fund. That's a good start. The next step is to determine if the
percentage of your bond holdings matches your financial goals and risk
tolerance.
If you need to increase your portfolio's bond allocation, you have a wide range
of bond funds from which to choose, from high quality,
"These slow-and-steady performers [bonds] are anything but dull. They offer many
intriguing opportunities and the chance to outpace stocks in coming years."
-- Money, August 2000
intermediate duration core funds to more specialized options. Diversifying your
bond holdings will allow you to take advantage of the potential risk/reward
tradeoff each offers. You might consider, for example, these sectors of the bond
market, each currently offering compelling reasons to invest. Continued
You may be less diversified than you think
Initial Allocation (9/30/95) Resulting Allocation (9/30/00)
Stocks $ 65,000 65% $ 173,445 78%
Bonds $ 35,000 35% $ 47,875 22%
Source: Wiesenberger. Returns are based on total return performance from
9/30/95--9/30/00. Stocks represented by the S&P 500 Index, an unmanaged index of
common stocks. Bonds are represented by the Lehman Aggregate Bond Index, an
unmanaged index of bonds. It is not possible to invest directly in an unmanaged
index, and results are not indicative of any PIMCO Fund.
1
<PAGE>
. Mortgage-backed securities Bill Gross, PIMCO's renowned bond guru, has been
touting the virtues of mortgage-backed securities (MBS) for a good part of this
year.
Government National Mortgage Association (GNMA) securities--or Ginnie Maes--are
a particularly attractive member of this asset group as they're backed by the
full faith and credit of the U.S. government. And other MBSs, though not
guaranteed by the Treasury, nevertheless offer AAA credit ratings.
"Long live the Queen--Ginnie Mae. You'll not find a better investment in the
bond market today."
--Bill Gross, May 2000
Historically, MBSs have offered higher yields than Treasuries or investment
grade corporate bonds of comparable maturity, with little additional risk. And
currently they're yielding over 7%, while Treasuries and investment-grade
corporate bonds are yielding between 5% and 6%.
. Municipal bonds For tax-sensitive investors, the municipal (muni) bond
market is currently providing attractive opportunities. Munis, which are exempt
from Federal taxes and from state and local taxes for residents within the
issuing state, are currently offering impressive after-tax yields relative to
Treasuries.
What's more, the average municipal bond fund has topped the average taxable bond
fund so far this year. According to leading fund analyst Lipper, Inc., muni
funds have returned 5.99% year-to-date, while taxable bond funds have returned
3.79%--and that's not even taking the tax consequences into consideration.
Additionally, credit quality conditions in the municipal sector have rarely been
more favorable. In fact, Barron's (Oct. 23, 2000) recently reported that "there
were 4.1 upgrades for every downgrade among municipals in the third quarter.
Among investment grade securities, there were 1.03 upgrades for every
downgrade."
. Inflation-protected bonds After years of relatively steady prices, many
investors have forgotten how harmful inflation can be. In fact, it's one of the
most serious threats investors face. And despite the Federal Reserve's recent
series of interest rate hikes, the inflation rate --as measured by the Consumer
Price Index--has still risen 3.5% for the year ended September 30, 2000.
Only one investment vehicle eliminates the risk of inflation
entirely--inflation-protected bonds. The principal value of inflation-protected
bonds changes in step with the rate of inflation, and as the principal
increases, so does the amount of interest paid. Treasury Inflation-Protected
Securities (TIPS) are one of the most attractive members of this asset class,
combining inflation protection with the guarantee of the U.S. government.
Investing in these securities now, while inflation remains at relatively low
levels, allows investors to take maximum advantage of the adjustments to
principal that will occur when inflation eventually rises.
PIMCO Funds offers funds specializing in these three bond classes. To find out
about them, contact your financial advisor. He or she can also help you review
your portfolio to determine what bond allocation is right for you.
Past performance is no guarantee of future results. The opinions expressed in
this article are opinions only and are not indicative of the past or future
performance of any PIMCO Fund. It is not possible to invest directly in any
unmanaged index. Mortgage-backed securities may be sensitive to changes in
prevailing interest rates, when they rise the value generally declines. GNMA's
government guarantee is to the timely repayment of principal and interest of a
mutual fund's portfolio securities and not to the shares of the mutual fund,
which will fluctuate in value. There is no assurance that the private guarantors
or insurers will meet their obligations. Government bonds and Treasury bills are
guaranteed by the U.S. government and, if held to maturity, offer a fixed rate
of return and fixed principal value. Corporate debt securities are subject to
the risk of the issuer's inability to meet principal and interest payments on
the obligation and may also be subject to price volatility due to such factors
as interest rate sensitivity, market perception of the creditworthiness of the
issuer and general market liquidity. Income from municipal bond funds is subject
to state and local taxes & may at times be subject to the alternative minimum
tax. It's important to note that a fund concentrating in a single state is
subject to greater risk of adverse economic conditions and regulatory changes
than a fund with broader geographical diversification. The Consumer Price Index
is an unmanaged index representing the rate of inflation of the US consumer
prices as determined by the US Department of Labor Statistics. There can be no
guarantee that the CPI or other indexes will reflect the exact level of
inflation at any given time. Treasury Inflation Protected Securities (TIPS) are
guaranteed by the US government, however the shares of the Fund are not.
2
<PAGE>
PIMCO Funds
Update
What's News
PIMCO Total Return Mortgage Fund
By virtue of their high credit quality and attractive yield potential, mortgage-
backed securities (MBSs) have become an increasingly important component of the
bond market. In fact, Bill Gross, PIMCO's renowned bond chief, considers MBSs--
and more specifically, Ginnie Maes--to be the best investment in the bond market
today.
Launched on August 1, 2000, PIMCO Total Return Mortgage Fund lets you take
advantage of this unique opportunity. Here are some of the Fund's highlights:
. Invests in MBSs, which have historically outperformed Treasuries and
investment-grade corporates with comparable durations.
. Offers high average credit quality and an intermediate duration, making the
Fund an attractive core bond holding.
. Managed by Scott Simon, a leading mortgage expert with over 17 years of
investment experience.
. Backed by PIMCO, the country's largest MBS manager, with nearly $90 billion
in assets under management in this sector.
. Employs PIMCO's signature total return philosophy and process.
PIMCO California Municipal Bond Fund
"There are compelling opportunities in today's muni market," according to
PIMCO's municipal manager, Mark McCray. Currently, McCray finds that municipal
yields are very attractive compared to the after-tax yields of comparable
Treasuries and corporates. This is especially true in the large California
market, which has outperformed the national muni market so far this year.
PIMCO California Municipal Bond Fund, launched on August 1, 2000, offers a
portfolio of federal and California tax-exempt bonds with a 3- to 12-year
duration. These are some of the Fund's key features:
. Provides monthly income free from federal and California taxes.
. High credit quality--most issues ranging from A to AAA.
. Diversified across a wide range of California industry sectors.
. Managed by Mark McCray, an expert with an extensive background in municipal
securities.
. Backed by PIMCO's state-of the-art analytical tools and bond management
resources.
PIMCO Bond Funds--Head and Shoulders Above the Crowd
Here's a compelling statistic: all but one of PIMCO's bond funds outperformed
their Lipper peer group averages over the 1-year period ended 9/30/00 (see chart
below). And the one that didn't--PIMCO Emerging Markets Bond Fund--still
returned an impressive 23.81%. What does this mean for investors? By entrusting
their assets to PIMCO, investors can participate in a wide range of fixed-income
strategies within one fund family--and expect the same high-quality investment
management across the board.
PIMCO Bond Funds 1-Year Returns for the Period Ended 9/30/00
<TABLE>
<CAPTION>
PIMCO Fund 1-Year (%) Lipper Avg. (%) Difference
<S> <C> <C> <C>
Foreign Bond 7.13 -3.90 +11.03%
Convertible 38.39 30.87 +7.52%
Global Bond II 6.53 0.58 +5.95%
Real Return Bond 9.59 5.68 +3.91%
Long-Term U.S. Government 8.93 6.12 +2.81%
High Yield 2.77 -0.02 +2.79%
Total Return Mortgage 8.01 6.47 +1.54%
California Interm. Municipal Bond 6.81 5.78 +1.03%
New York Municipal Bond 6.18 5.22 +0.96%
Total Return 6.62 5.75 +0.87%
Municipal Bond 5.41 4.74 +0.67%
Low Duration 6.05 5.73 +0.32%
Short-Term 6.12 6.02 +0.10%
Emerging Markets Bond 23.81 23.97 -0.16%
</TABLE>
Past performance is no guarantee of future results. Fund returns represent the
performance of Class A shares at NAV. Please refer to the appropriate pages for
standardized returns and complete risk disclosures for all of the above Funds.
Treasury securities are guaranteed by the U.S. government. Lipper averages are
calculated by Lipper, Inc., a nationally recognized mutual fund performance
evaluation firm. They are performance averages of the funds Lipper tracks, with
the investment objective noted. Lipper rankings are based on total returns, not
adjusted for sales charges.
3
<PAGE>
Manager
Commentary
Economic Outlook
Bill Gross is regarded by many as America's most influential authority on the
bond market. He pioneered the "total return" approach to bond investing, and is
the portfolio manager of PIMCO Total Return Fund--the country's largest bond
fund. Paul McCulley is an economist and monetary policy specialist with 17 years
of investment experience. He is responsible for all short-term bond portfolios
at PIMCO--including PIMCO Short-Term Fund. We recently had the pleasure of
speaking with them both about their latest outlook for the economy and the bond
market.
Q: What happened in the bond market in the third quarter?
BG: Intermediate maturity Treasuries rallied as the yields on 2-, 5- and 10-year
notes fell significantly. With the yield on 30-year Treasuries remaining flat,
the portion of the Treasury yield curve between 10 and 30 years reverted to a
positive slope for the first time since mid-January. The reversion of the long
end of the curve came amid shifting market sentiment about the economy, Fed
policy and the budget surplus in Washington. Mortgages outperformed Treasuries,
benefiting from low market volatility and attractive yield premiums. Investment-
grade debt also did well as investors were drawn to their higher yields.
However, the high yield sector lagged Treasuries amid continued concern about
credit weakness in the sector.
Q: What's your outlook for the economy?
PM: Looking ahead, global economic growth will moderate in response to recent
monetary policy tightening in the U.S., Europe and Japan and the highest oil
prices in a decade. Inflation is likely to creep higher as increased energy
prices seep through economies around the world. In fact, there are now
indications that the economy here at home has started to slow. Manufacturing
activity is slowing. According to the Purchasing Managers Index, the sector
actually contracted in August and September. And corporate earnings warnings
suggest the problem is not confined to just manufacturing. In addition, consumer
spending is cooling, after posting robust gains at the start of the year.
Q: What does that mean for the Fed?
PM: Well, the Fed will likely stand pat, certainly through the election, and
maybe until next year. While Chairman Greenspan must be happy that the economy
is slowing, he remains concerned about two important issues, the impact of
continued labor market tightness on inflation through higher wage pressures and
concern that higher oil prices will seep into the economy in the form of
secondary and tertiary price increases. So while historically the Fed has
loosened monetary policy when the manufacturing economy has contracted, this
time they may delay easing until inflationary pressures diminish. In short, the
tightening cycle is over, but the Fed hasn't indicated that easier monetary
policy lies ahead.
Q: So, will high oil prices be a major issue for the Fed?
PM: Well, over the short run it is a consideration because supply and demand
tend to be less elastic. However, the current level of oil prices is not
sustainable over the long term. In our opinion, higher oil prices will dampen
demand over the long term by slowing worldwide growth. High prices will also
encourage more drilling, expansion of refining capacity and rebuilding of
inventories from their current low levels. The Fed knows this and that's why
they are willing to put up with higher oil prices now, all other things being
equal.
Q: Will the outcome of the presidential election impact the bond market?
BG: A concern I have is if one party dominates the election by taking both the
White House and Congress, it will be able to enact its promised tax cut. That
would stimulate the consumer and re-ignite the economy, potentially bringing the
Historically, the Fed has eased when the Purchasing Managers Index drops below
50.
[GRAPH]
Retail Page 4
DATE Purchasing Managers (%) Fed Funds Rate (%)
------ ----------------------- ------------------
Jan-82 38.2 13.2
Feb-82 38.3 14.8
Mar-82 36.8 14.7
Apr-82 37.8 14.9
May-82 35.5 14.5
Jun-82 38.3 14.2
Jul-82 38.4 12.6
Aug-82 38.3 10.1
Sep-82 38.8 10.3
Oct-82 39.4 9.7
Nov-82 39.2 9.2
Dec-82 42.8 9.0
Jan-83 46.0 8.7
Feb-83 54.4 8.5
Mar-83 53.9 8.8
Apr-83 54.2 8.8
May-83 56.1 8.6
Jun-83 57.5 9.0
Jul-83 63.6 9.4
Aug-83 63.1 9.6
Sep-83 62.5 9.5
Oct-83 64.4 9.5
Nov-83 66.0 9.3
Dec-83 69.9 9.5
Jan-84 60.5 9.6
Feb-84 61.3 9.6
Mar-84 58.9 9.9
Apr-84 61.0 10.3
May-84 58.6 10.3
Jun-84 58.1 11.1
Jul-84 56.1 11.2
Aug-84 53.0 11.6
Sep-84 50.0 11.3
Oct-84 50.8 10.0
Nov-84 50.3 9.4
Dec-84 50.6 8.4
Jan-85 50.3 8.4
Feb-85 49.9 8.5
Mar-85 47.8 8.6
Apr-85 48.2 8.3
May-85 47.1 8.0
Jun-85 47.8 7.5
Jul-85 47.9 7.9
Aug-85 47.7 7.9
Sep-85 49.9 7.9
Oct-85 50.9 8.0
Nov-85 52.0 8.1
Dec-85 50.7 8.3
Jan-86 51.2 8.1
Feb-86 51.0 7.9
Mar-86 51.0 7.5
Apr-86 49.7 7.0
May-86 53.4 6.9
Jun-86 50.5 6.9
Jul-86 48.0 6.6
Aug-86 52.6 6.2
Sep-86 52.4 5.9
Oct-86 51.2 5.9
Nov-86 51.2 6.0
Dec-86 50.5 6.9
Jan-87 54.9 6.4
Feb-87 52.6 6.1
Mar-87 55.0 6.1
Apr-87 55.5 6.4
May-87 57.2 6.9
Jun-87 57.4 6.7
Jul-87 57.5 6.6
Aug-87 59.3 6.7
Sep-87 60.0 7.2
Oct-87 60.7 7.3
Nov-87 58.8 6.7
Dec-87 61.0 6.8
Jan-88 57.5 6.8
Feb-88 56.2 6.6
Mar-88 54.6 6.6
Apr-88 55.8 6.9
May-88 55.5 7.1
Jun-88 59.3 7.5
Jul-88 58.2 7.8
Aug-88 56.0 8.0
Sep-88 54.5 8.2
Oct-88 55.4 8.3
Nov-88 55.6 8.4
Dec-88 56.0 8.8
Jan-89 54.7 9.1
Feb-89 54.1 9.4
Mar-89 51.5 9.9
Apr-89 52.2 9.8
May-89 49.3 9.8
Jun-89 47.3 9.5
Jul-89 45.9 9.2
Aug-89 45.1 9.0
Sep-89 46.0 9.0
Oct-89 46.8 8.8
Nov-89 46.8 8.6
Dec-89 47.4 8.5
Jan-90 47.2 8.2
Feb-90 49.1 8.2
Mar-90 49.9 8.3
Apr-90 50.0 8.3
May-90 49.5 8.2
Jun-90 49.2 8.3
Jul-90 46.6 8.2
Aug-90 46.1 8.1
Sep-90 44.5 8.2
Oct-90 43.2 8.1
Nov-90 41.3 7.8
Dec-90 40.8 7.3
Jan-91 39.2 6.9
Feb-91 39.4 6.3
Mar-91 40.7 6.1
Apr-91 42.8 5.9
May-91 44.5 5.8
Jun-91 50.3 5.9
Jul-91 50.6 5.8
Aug-91 52.9 5.7
Sep-91 54.9 5.5
Oct-91 53.1 5.2
Nov-91 49.5 4.8
Dec-91 46.8 4.4
Jan-92 47.3 4.0
Feb-92 52.7 4.1
Mar-92 54.6 4.0
Apr-92 52.6 3.7
May-92 55.7 3.8
Jun-92 53.6 3.8
Jul-92 53.9 3.3
Aug-92 53.4 3.3
Sep-92 49.7 3.2
Oct-92 50.3 3.1
Nov-92 53.6 3.1
Dec-92 54.2 2.9
Jan-93 55.8 3.0
Feb-93 55.2 3.0
Mar-93 53.5 3.1
Apr-93 50.2 3.0
May-93 51.2 3.0
Jun-93 49.6 3.0
Jul-93 50.2 3.1
Aug-93 50.7 3.0
Sep-93 50.8 3.1
Oct-93 53.4 3.0
Nov-93 53.8 3.0
Dec-93 55.6 3.0
Jan-94 56.0 3.1
Feb-94 56.5 3.3
Mar-94 56.9 3.3
Apr-94 57.4 3.6
May-94 58.2 4.0
Jun-94 58.8 4.3
Jul-94 58.5 4.3
Aug-94 58.0 4.5
Sep-94 59.0 4.7
Oct-94 59.4 4.8
Nov-94 59.2 5.3
Dec-94 56.1 5.5
Jan-95 57.4 5.5
Feb-95 55.1 5.9
Mar-95 52.1 6.0
Apr-95 51.5 6.1
May-95 46.7 6.0
Jun-95 45.9 6.0
Jul-95 50.7 5.9
Aug-95 47.1 5.7
Sep-95 48.1 5.8
Oct-95 46.7 5.8
Nov-95 45.9 5.8
Dec-95 46.2 5.6
Jan-96 45.5 5.6
Feb-96 45.9 5.2
Mar-96 46.9 5.3
Apr-96 49.3 5.2
May-96 49.1 5.2
Jun-96 53.6 5.3
Jul-96 49.7 5.4
Aug-96 51.6 5.2
Sep-96 51.1 5.3
Oct-96 50.5 5.2
Nov-96 53.0 5.3
Dec-96 55.2 5.3
Jan-97 53.6 5.3
Feb-97 53.3 5.2
Mar-97 54.1 5.4
Apr-97 53.7 5.5
May-97 56.0 5.5
Jun-97 55.2 5.6
Jul-97 57.8 5.5
Aug-97 56.1 5.5
Sep-97 54.0 5.5
Oct-97 56.4 5.5
Nov-97 55.4 5.5
Dec-97 54.3 5.5
Jan-98 53.4 5.5
Feb-98 53.2 5.5
Mar-98 53.4 5.5
Apr-98 52.3 5.5
May-98 50.9 5.5
Jun-98 49.2 5.6
Jul-98 49.4 5.5
Aug-98 49.1 5.6
Sep-98 48.8 5.5
Oct-98 48.6 5.1
Nov-98 47.7 4.8
Dec-98 46.3 4.7
Jan-99 49.9 4.6
Feb-99 52.1 4.8
Mar-99 53.3 4.8
Apr-99 52.7 4.7
May-99 54.4 4.7
Jun-99 56.3 4.8
Jul-99 53.6 5.0
Aug-99 54.4 5.1
Sep-99 57.3 5.2
Oct-99 56.9 5.2
Nov-99 57.1 5.4
Dec-99 56.8 5.3
Jan-00 56.3 5.5
Feb-00 56.9 5.7
Mar-00 55.8 5.9
Apr-00 54.9 6.0
May-00 53.2 6.3
Jun-00 51.8 6.5
Jul-00 51.8 6.6
Aug-00 49.5 6.5
Source: Nat'l Assoc. of Purchasing Mgmt.; Federal Reserve.
4
<PAGE>
Fed back into the picture. Furthermore, the spending initiatives of either a
Bush or Gore administration would most likely turn forecasted budget surpluses
into deficits. That would force the Treasury to issue new debt, and remove what
has been a major stimulus for the Treasury market this year. I think the bond
market would be happiest if the election resulted in continued stalemate in
Washington with one party in control of the White House and another in control
of Congress.
Q: Then is stagflation still an issue?
BG: Yes, over the short term. While the economy is clearly cooling, inflation
should creep higher due to the factors Paul mentioned before. Historically,
normal economic cycles often end with a small dose of stagflation, because
inflation in general is a lagging condition. However, the tech slowdown that is
currently unfolding needs to be watched. If it negatively impacts productivity
growth, then the stagflation story could become a bigger issue.
Q: What will drive performance in the coming months?
PM: Sector and quality will have more impact on portfolio performance than
interest rate strategies in the current environment of slower growth, earnings
pressure and creeping inflation. High levels of corporate debt and erosion of
credit quality amid slower global growth signal caution toward longer-maturity
corporate and emerging market bonds. Emphasis on top-quality credits with
shorter maturities is one way to avoid mistakes, though this strategy may
sacrifice yield. Mortgages are another alternative. Still, mortgages are not
risk-free because they will be vulnerable to adverse price performance if
interest rate volatility picks up.
U.S. Corporate Sector Borrowing
Corporations are assuming more and more debt.
The line graph inserted at the bottom of page 4 in the section "Economic
Outlook" is entitled "U.S. Corporate Sector Borrowing" and illustrates the fact
that corporations are assuming more and more debt. The graph shows one line
representing the U.S.$ amount from flow of funds and a second line representing
the %YoY of non-financial credit growth (RHS), both over the ten-year period
from 1990 through 2000.
Source: Datastream.
Q: Then are mortgage-backed securities still the favored sector?
BG: They are for two reasons. First, their yields remain attractive relative to
other areas of the bond market with little additional credit risk. Mortgages are
still yielding north of 7%, while Treasuries and investment-grade corporate
bonds are earning between 5% and 6%. Second, given our outlook for a relatively
stable interest rate environment over the next year, the yield premium paid for
prepayment risk is very attractive right now.
Q: Finally, Bill, you've spoken frequently about the decline of the corporate
sector. Could you elaborate?
BG: First, cyclically, with the economy slowing and default rates in the
corporate credit market high and rising, higher yielding, lower quality issues
will continue to face tough times. Even many investment-grade issues suffer in
this environment. Second, secularly, corporate bond investing in a New Age
economy is a dangerous proposition. That's because today's economic growth is
based on the premise that "creative destruction" is a good thing. Joseph
Schumpeter first introduced the idea that the greatest good is ultimately
accomplished by allowing innovation to flourish even as it damages some. The
U.S. dominates the world economy today because it embraces change and allows the
new to overtake the old. New Age companies embody the creative part of the
concept and tend to raise capital in the equity markets. That leaves destruction
for certain Old Age companies, which leverage their balance sheet by issuing
debt only to use the proceeds to buy back stock in order to keep their stock
price competitive--a vicious cycle of self-liquidation. The outcome is not good
for debt holders. That's why we are cautious about the corporate market.
For more on our economic outlook on a monthly basis, read Bill Gross's
Investment Outlook and Paul McCulley's Fed Focus online at www.pimcofunds.com.
Past performance is no guarantee of future results. The views of Mr. Gross and
Mr. McCulley are not indicative of the past or future performance of any PIMCO
Fund.
5
<PAGE>
Web
Update
Looking for the Best in Online Bond Information?
Bookmark the PIMCO Funds Bond Center
at www.pimcofunds.com/bondcenter
[GRAPHIC]
Visit the PIMCO Funds Bond Center at www.pimcofunds/bondcenter.com for
comprehensive, reliable, up-to-date information on bonds and bond mutual funds.
Now you can get even more detailed, easy-to-access information about PIMCO's
bond funds when you visit the online PIMCO Funds Bond Center. And of course, the
Center continues to deliver the best research and news about bonds and bond
investing. Rely on the Bond Center to bring you the latest information from our
world-class team of investment professionals led by PIMCO founder Bill Gross.
Resources to Keep You In-the-Know
The Bond Center contains a wealth of resources to keep you up-to-date on the
economy, the bond markets and related investment opportunities. Regular features
include:
. Investment Outlook--Bill Gross's monthly newsletter on economic and interest
rate trends.
. Manager Commentary--Read insight from PIMCO bond managers on the economy and
its impact on their funds.
. Sector Strategy White Papers--PIMCO Fund managers provide in-depth
examinations of fund sectors and discuss strategy.
. Economic Data Analysis--Timely analysis of recent economic trends and data
from PIMCO's point of view.
. Media Highlights--Stay abreast of PIMCO Fund manager appearances and
coverage of our Funds.
Enhanced Fund Information
Getting the facts you need about any PIMCO bond fund is faster and easier than
ever. Now, everything relating to a Fund is conveniently organized in one place:
. Performance--Class-specific, in-depth performance data, including daily
price and performance, month-end numbers and average annual returns.
. Fund Overviews--Highlighting the unique advantages each Fund offers.
. Statistics at a Glance--Including objective, primary portfolio and assets
under management.
. Ratings/Rankings--Current Morningstar ratings and Lipper rankings.
. Portfolio Analysis--Breakdown of Fund holdings plus quality and maturity
analyses, updated monthly.
. Manager Commentary--Managers' investment insight and market analysis.
. Investment Process--Step-by-step explanations of each manager's investment
strategy.
. Literature--Categorized by Fund, to download or order by mail.
6
<PAGE>
The PIMCO Funds Family
<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 Select Growth Long-term growth of capital Stocks of larger-capitalized companies
Target Capital appreciation Stocks of medium-capitalized companies
Opportunity Capital appreciation Stocks of smaller-capitalized companies
--------------------------------------------------------------------------------------------------------------------------------
Blend Growth & Income Long-term growth of capital, with Stocks of larger-capitalized companies
Stock Funds current income as a secondary
objective
Capital Appreciation Growth of capital Stocks of larger-capitalized companies the
manager believes are reasonably valued
Mid-Cap Growth of capital Stocks of medium-capitalized companies the
manager believes are reasonably valued
Equity Income Current income and long-term growth Stocks of companies with below-average P/Es
and above-average dividends
--------------------------------------------------------------------------------------------------------------------------------
Value Value Long-term growth of capital and Stocks of larger-capitalized companies with
Stock Funds income below-average P/Es
Renaissance Long-term growth of capital and Stocks with below-average
income valuations
Small-Cap Value Long-term growth of capital and Stocks of smaller-capitalized companies with
income below-average P/Es
--------------------------------------------------------------------------------------------------------------------------------
Enhanced Index Tax-Efficient Equity Maximum after-tax growth of capital Stocks of larger-capitalized companies
Stock Funds
StocksPLUS Total return exceeding the S&P 500 S&P 500 stock index futures backed by a
Index portfolio of short-term,
fixed-income securities
--------------------------------------------------------------------------------------------------------------------------------
International International Capital appreciation Stocks of non-U.S. companies in developed and
Stock Funds emerging markets
--------------------------------------------------------------------------------------------------------------------------------
Sector Related Innovation Capital appreciation Stocks of technology-related companies
Stock Funds
Global Innovation Capital appreciation Stocks of U.S. and non-U.S. technology related
companies
--------------------------------------------------------------------------------------------------------------------------------
Short Duration Money Market Maximum current income, consistent Money market securities (LESS THAN/EQUAL TO)
Bond Funds with preservation of capital 90 days)
and daily liquidity
Short-Term Maximum current income consistent Money market securities and short-term bonds
with preservation of capital and (up to 1 year duration)
daily liquidity
Low Duration Maximum total return Short maturity fixed income (1-3 year duration)
securities
--------------------------------------------------------------------------------------------------------------------------------
Intermediate Total Return Maximum total return Intermediate maturity fixed income securities
Duration (3-6 year duration)
Bond Funds Total Return Mortgage Maximum total return Intermediate maturity mortgage-related fixed
income securities
(2-6 year duration)
--------------------------------------------------------------------------------------------------------------------------------
Long Duration Long-Term U.S. Maximum total return Long-term maturity fixed income securities
Bond Funds Government (8+ year duration)
--------------------------------------------------------------------------------------------------------------------------------
International Global Bond II Maximum total return U.S.and hedged non-U.S. intermediate maturity
Bond Funds fixed income securities (3-7 year duration)
Foreign Bond Maximum total return Intermediate maturity hedged non-U.S. fixed
income securities (3-7 year duration)
Emerging Markets Bond Maximum total return Emerging market fixed income securities (0-8
year duration)
--------------------------------------------------------------------------------------------------------------------------------
High Yield Bond Fund High Yield Maximum total return Higher yielding fixed income securities
(2-6 year duration)
--------------------------------------------------------------------------------------------------------------------------------
Inflation-Indexed Real Return Bond Maximum real return Inflation-indexed fixed income securities
Bond Fund
--------------------------------------------------------------------------------------------------------------------------------
Convertible Convertible Maximum total return Convertible securities
Bond Fund
--------------------------------------------------------------------------------------------------------------------------------
Tax Exempt Municipal Bond High current income exempt from Intermediate to long-term maturity municipal
Bond Funds federal taxes, preservation of securities, exempt from federal income tax
capital (3-10 year duration)
California High current income exempt from Intermediate to long-term maturity municipal
Municipal Bond federal and California income tax securities (3-12 year duration)
California Intermediate High current income exempt from Intermediate maturity municipal securities
Municipal Bond federal and California income tax (3-7 year duration)
New York High current income exempt from Intermediate to long-term maturity municipal
Municipal Bond federal and New York income tax securities (3-12 year duration)
--------------------------------------------------------------------------------------------------------------------------------
Stock and Bond Funds Strategic Balanced Maximum total return Intermediate maturity fixed-income securities
and S&P 500 stock index derivatives (0-6 years
duration)
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>
7
<PAGE>
Pacific
Investment
Management
Series
PIMCO Funds Semi-Annual Report
Dear Shareholder:
What a difference a year makes. This time last year the stock market was
hurtling toward one of its strongest showings ever, with many stock funds
reporting double- and even triple-digit returns. At the end of the third quarter
of 2000, however, most of the major stock indexes were down and the average U.S.
equity fund, according to Morningstar, was returning just 3.48%.
The bond market, on the other hand, has had a good year so far--a contrast to
the turbulence of 1999. All bond classes, with the exception of high yield,
experienced a bounce in the third quarter, strengthened by the perception that
the economy has slowed and that the Fed may have finished raising interest rates
for now. Year-to-date, the Lehman Aggregate Bond Index, a broad measure of bond
market performance, is up 7.12% and the average bond fund is up 4.90%, again
according to Morningstar. In short, the average bond fund is outperforming the
average stock fund, and doing it with a lot less volatility.
All of this just serves to illustrate that last year's laggards may be this
year's winners. And that it's more important than ever to remember a few
time-honored principles...Maintain a diversified investment portfolio. Have a
healthy respect for risk. Keep your focus on the long term. Or as Bill
Gross--PIMCO's oft-quoted bond chief--has said "Set your sights on a horizon and
sail until you get there."
Those who can stick with these precepts will be able to ride out market
volatility and ultimately reach their investment goals. And at PIMCO, we're
committed to providing investors with the kind of high quality investment
vehicles that can help them get there.
How have PIMCO's bond funds fared? Well, I'm pleased to say that they've all
reported strong relative performance. In fact, all of our bond funds but one
have outperformed their Lipper Averages over the last year. And the one that
didn't--PIMCO Emerging Markets Bond Fund--still returned an impressive 23.81%,
just slightly behind its average.
I encourage you to review the fund information and commentary on the following
pages carefully. And once again, I'd like to thank you for the trust you've
placed in us. If you have any questions regarding your investment, contact your
financial advisor, or call us at 1-800-426-0107. Or visit our Web site at
www.pimcofunds.com.
Sincerely,
/s/ Brent R. Harris
Brent R. Harris
Chairman of the Board
October 31, 2000
8
<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, 2000. 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 10-26 Fund Summaries
A summary of a Fund's performance record and portfolio composition, and a review
from the Fund's investment manager.
Pages 27-105 Schedule of Investments
The Schedule of Investments includes a listing of securities in the Fund's
portfolio as of September 30, 2000, including the number of shares or principal
amount and value as of that date.
<TABLE>
<CAPTION>
Schedule of
Fund Name Fund Summary Investments
<S> <C> <C>
California Inter. Muni. Bond Fund Page 10 Page 29
California Municipal Bond Fund Page 11 Page 32
Convertible Fund Page 12 Page 33
Emerging Markets Bond Fund Page 13 Page 35
Foreign Bond Fund Page 14 Page 37
Global Bond Fund II Page 15 Page 43
High Yield Fund Page 16 Page 49
Long-Term U.S. Government Fund Page 17 Page 55
Low Duration Fund Page 18 Page 59
Money Market Fund Page 19 Page 67
Municipal Bond Fund Page 20 Page 68
New York Municipal Bond Fund Page 21 Page 71
Real Return Bond Fund Page 22 Page 72
Short-Term Fund Page 23 Page 76
StocksPLUS Fund Page 24 Page 80
Strategic Balanced Fund Page 25 Page 85
Total Return Fund Page 26 Page 86
Total Return Mortgage Fund Page 27 Page 114
</TABLE>
Pages 106-107 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 108-109 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 110-111 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 112-115 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 116 Statements 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 117-124 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.
9
<PAGE>
PIMCO CA Intermediate Municipal Bond Fund
September 30, 2000
OBJECTIVE:
Seek high current income exempt from federal and California income tax.
PORTFOLIO:
Intermediate maturity municipal securities.
DURATION RANGE:
3-7 years
FUND INCEPTION DATE:
8/31/99
TOTAL NET ASSETS:
$100.5 million
PORTFOLIO MANAGER:
Mark McCray
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
A Shares Lipper California Lehman Bros.
Intermediate Muni. Interm. CA Insured
Adjusted Debt Fund Avg. Bond Index
--------------------------------------------------------------------------------
1 year 6.81% 3.60% 5.78% 7.82%
Inception 6.94% 3.97% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO Lehman Brothers
CA Intermediate Intermediate CA
Municipal Bond Insured Municipal
A Bond Index
---------------------------------------------------
08/31/1999 9,700 10,000
09/30/1999 9,766 10,064
10/31/1999 9,691 9,998
11/30/1999 9,770 10,080
12/31/1999 9,724 9,987
01/31/2000 9,753 10,044
02/29/2000 9,813 10,099
03/31/2000 9,986 10,247
04/30/2000 9,959 10,170
05/31/2000 10,003 10,197
06/30/2000 10,189 10,426
07/31/2000 10,320 10,569
08/31/2000 10,466 10,734
09/30/2000 10,431 10,673
*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
10/31/99) 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 October 1999. Income from the Fund may be subject to state and local
taxes and (if applicable) the Alternative Minimum Tax. See page 28 for
Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 21%
--------------------------------------------------------------------------------
1-5 years 26%
--------------------------------------------------------------------------------
5-10 years 28%
--------------------------------------------------------------------------------
10-20 years 16%
--------------------------------------------------------------------------------
20-30 years 9%
--------------------------------------------------------------------------------
Duration: 5.6 years
--------------------------------------------------------------------------------
Regional Breakdown
--------------------------------------------------------------------------------
California 83.2%
--------------------------------------------------------------------------------
Puerto Rico 12.1%
--------------------------------------------------------------------------------
Virgin Islands 4.5%
--------------------------------------------------------------------------------
Other 0.2%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 46.3%
--------------------------------------------------------------------------------
AA 31.3%
--------------------------------------------------------------------------------
A 10.8%
--------------------------------------------------------------------------------
BBB 8.0%
--------------------------------------------------------------------------------
BB 3.6%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class A shares
returned 4.46%, outperforming the Lipper Average, which returned 3.89%. Over the
same time period, the Fund slightly outperformed its benchmark, the Lehman
Intermediate Califorina Insured Index, which returned 4.15%. Looking longer
term, the Fund outperformed both the Lipper Average and the benchmark over the
one-year and since inception periods ended September 30, 2000.
The Federal Reserve lifted short-term interest rates by 50 basis points at
its May meeting, bringing its total tightening tally for this cycle to six, as
concern remained that inflationary pressures were building. Supporting the
concern, oil prices surged to their highest level in a decade. But the
cumulative impact of 175 basis points of tightening began to slow the economy,
as signs emerged that consumer and investment spending was slowing and that the
housing sector was cooling.
California municipal bond yields fell along with those in other higher
quality bond markets due to a state credit rating upgrade, strong retail demand
and reduced new issuance. In fact, the California municipal market was the
second best performing individual state market during the third quarter and
year-to-date.
The Fund's overweight position in longer maturity issues was positive for
performance as this area of the yield curve experienced the biggest drop during
the quarter. Superior issue selection within the general obligation and
pre-refunded sectors improved relative returns as well. Finally, overweighting
deep discount bonds also enhanced performance, because falling interest rates
reduced their potential tax exposure and boosted investor demand. However, our
conservative below-benchmark duration exposure during the third quarter held
back relative performance as California municipal yields dropped across the
maturity spectrum.
Looking ahead, we expect growth will continue to moderate worldwide. We
also expect inflation to creep higher in the face of continued wage pressures
and escalating energy costs. More Fed tightening is unlikely now that U.S.
growth is slowing, but the central bank will also refrain from easing to avoid
igniting inflation. A focus on quality will continue to be critical for superior
performance as credit deterioration continues.
As a result, we anticipate continuing our high quality focus, targeting an
average credit quality of AA and limiting below-investment-grade exposure due to
narrow credit premiums. We expect to maintain an overweight position in longer
maturities, which offer compelling value as they are overlooked by many retail
investors. Duration may be moved closer to the benchmark as we expect municipal
yields to remain relatively stable in the near term.
10
<PAGE>
PIMCO CA Municipal Bond Fund
September 30, 2000
OBJECTIVE:
Seek high current income exempt from federal and California income tax.
PORTFOLIO:
Investment grade municipal bonds.
DURATION RANGE:
3-7 years
FUND INCEPTION DATE:
5/16/00
TOTAL NET ASSETS:
$9.1 million
PORTFOLIO MANAGER:
Mark McCray
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
A Shares
Lipper General Lehman Bros.
Muni. General Muni.
Adjusted Debt Fund Avg. Bond Index
--------------------------------------------------------------------------------
Inception 15.69% 6.65% -- --
*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
5/16/00) 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 August 2000.Income from the Fund may be subject to state and local
taxes and (if applicable) the Alternative Minimum Tax. See page 28 for
Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 3%
--------------------------------------------------------------------------------
1-5 years 37%
--------------------------------------------------------------------------------
5-10 years 17%
--------------------------------------------------------------------------------
10-20 years 30%
--------------------------------------------------------------------------------
20-30 years 13%
--------------------------------------------------------------------------------
Duration: 7.0 years
--------------------------------------------------------------------------------
Regional Breakdown
--------------------------------------------------------------------------------
California 68.6%
--------------------------------------------------------------------------------
Puerto Rico 25.7%
--------------------------------------------------------------------------------
Virgin Islands 4.5%
--------------------------------------------------------------------------------
Other 1.2%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 77.1%
--------------------------------------------------------------------------------
AA 4.1%
--------------------------------------------------------------------------------
A 5.8%
--------------------------------------------------------------------------------
BBB 4.5%
--------------------------------------------------------------------------------
BB 8.5%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
The California Municipal Bond Fund's primary investment objective is to seek
high current income that would be exempt from federal and California income
taxes. The Fund's inception date is May 16, 2000.
The Federal Reserve lifted short-term interest rates by 50 basis points at
its May meeting, bringing its total tightening tally for this cycle to six, as
concern remained that inflationary pressures were building. Supporting the
concern, oil prices surged to their highest level in a decade. But the
cumulative impact of 175 basis points of tightening began to slow the economy,
as signs emerged that consumer and investment spending was slowing and that the
housing sector was cooling.
California municipal bond market performance was driven by a decreased
supply of California issues, ratings upgrades for the State of California and
heavy retail demand in the face of a strong local economy and cooling stock
markets. In fact, during the third quarter the California municipal market was
the second best performing individual state market.
In keeping with our high quality focus, the Fund's average credit quality
for the period ended September 30, 2000 was AA+ with a majority of the portfolio
invested in AAA rated municipals and a limited allocation to lower
investment-grade and below-investment grade issues. Over the same time period,
the Fund's average maturity was relatively longer term at 10.94 years.
Looking ahead, we expect growth will continue to moderate worldwide. We
also expect inflation to creep higher in the face of continued wage pressures
and escalating energy costs. More Fed tightening is unlikely now that U.S.
growth is slowing, but the central bank will also refrain from easing to avoid
igniting inflation. A focus on quality will continue to be critical for superior
performance as credit deterioration continues.
As a result, we anticipate maintaining a high quality focus, targeting an
average credit quality of AA and limiting below-investment-grade exposure due to
narrow credit premiums. Going forward, we hope to enhance yield through
allocations to higher rated revenue bonds that have attractive risk-adjusted
yields.
11
<PAGE>
PIMCO Convertible Fund
September 30, 2000
OBJECTIVE:
Maximum total return.
PORTFOLIO:
Convertible Securities.
FUND INCEPTION DATE:
3/31/99
TOTAL NET ASSETS:
$159.7 million
PORTFOLIO MANAGER:
Sandra Durn
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
<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>
1 year 38.39% 32.16% 37.35% 32.35% 36.34% 30.87% 34.90%
Inception 35.02% 30.95% 34.09% 31.78% 34.16% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO PIMCO PIMCO First Boston
Convertible Convertible Convertible Convertible
A B C Bond Index
-------------------------------------------------------------------------
03/31/1999 9,550 10,000 10,000 10,000
04/30/1999 10,006 10,471 10,471 10,405
05/31/1999 10,184 10,650 10,650 10,309
06/30/1999 10,727 11,219 11,229 10,754
07/31/1999 10,747 11,239 11,240 10,612
08/31/1999 10,727 11,199 11,209 10,643
09/30/1999 10,833 11,308 11,319 10,671
10/31/1999 11,263 11,747 11,758 11,040
11/30/1999 12,084 12,595 12,607 11,888
12/31/1999 13,523 14,083 14,105 13,695
01/31/2000 13,814 14,346 14,357 13,489
02/29/2000 15,285 15,871 15,882 14,905
03/31/2000 15,314 15,885 15,904 14,584
04/30/2000 14,283 14,811 14,831 13,873
05/31/2000 13,836 14,334 14,355 13,129
06/30/2000 14,585 15,107 15,117 13,982
07/31/2000 14,156 14,661 14,671 13,560
08/31/2000 15,246 15,765 15,785 14,603
09/30/2000 14,991 15,133 15,545 14,396
*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 28 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 3%
--------------------------------------------------------------------------------
1-5 years 39%
--------------------------------------------------------------------------------
5-10 years 3%
--------------------------------------------------------------------------------
10-20 years 49%
--------------------------------------------------------------------------------
20-30 years 6%
--------------------------------------------------------------------------------
Duration: 1.5 years
--------------------------------------------------------------------------------
Sector Breakdown
--------------------------------------------------------------------------------
Convertible Bonds & Notes 69.8%
--------------------------------------------------------------------------------
Convertible Preferred Stock 22.6%
--------------------------------------------------------------------------------
Other 7.6%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 8.5%
--------------------------------------------------------------------------------
AA 6.2%
--------------------------------------------------------------------------------
A 13.8%
--------------------------------------------------------------------------------
BBB 37.9%
--------------------------------------------------------------------------------
BB 11.6%
--------------------------------------------------------------------------------
B 22.0%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class A shares
fell 2.10%, underperforming the Credit Suisse First Boston Convertible Bond
Index, which fell 1.29%. The Fund also underperformed its Lipper Average which
fell 0.66%. However, the Fund continues to outperform over the longer-term,
beating both its benchmark and its Lipper Average over the last year and since
the Fund's inception.
Over the last six months, the Federal Reserve raised rates once, in May,
continuing its efforts to prevent the economy from overheating and creating
inflationary pressures. However, since that 50 basis point increase, the Federal
Reserve has remained on hold based on evidence that economic growth is
moderating to a pace more in line with the economy's potential to produce. As a
result, yields fell across many sectors of the bond market. However, convertible
performance was mixed as the equity market performed poorly.
Below-benchmark delta (price sensitivity to changes in the underlying stock
value) helped performance as the equity markets experienced a significant
downturn. Higher credit quality helped returns as these issues significantly
outperformed speculative-grade convertibles. Overweights in financials and
utilities enhanced returns, as `old economy' issues outperformed their `new
economy' counterparts. An emphasis in telecommunications issues hurt performance
as this sector experienced a market correction due mostly to weaker-than-
expected earnings. The Fund's underweight in consumer staples also hurt
performance as this sector rebounded from a strong first quarter.
Going forward, we believe that the U.S. economy will decelerate as rising
rates and higher energy costs curb worldwide economic growth. We expect
inflation to creep higher in the face of wage pressures and rising energy costs.
We believe that further Fed tightening is unlikely now due to moderating U.S.
economic growth; however, the central bank will also refrain from easing to
avoid igniting accelerated consumer spending via the stock and housing markets.
In light of this environment, we intend to continue to keep delta below the
benchmark to protect against adverse conditions in the equity markets and take
advantage of the downside protection offered by the bond characteristics of
convertibles. We also hope to continue our focus on holding non-cyclical issues
that can withstand a slowdown in the U.S economy, such as utilities and
financials. We expect to maintain a high credit quality portfolio as rising
short-term rates and a slowing economy continue to put pressure on corporate
profits.
12
<PAGE>
PIMCO Emerging Markets Bond Fund
September 30, 2000
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:
$51.6 million
PORTFOLIO MANAGER:
Mohamed El-Erian
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Return For periods ended 9/30/00
A Shares B Shares C Shares Lipper J.P. Morgan
Emerg. Mkts. Emerg. Mkts.
Adjusted Adjusted Adjusted Debt Fund Avg. Index Plus
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 23.81% 18.24% 22.83% 17.83% 22.03% 23.97% 28.02%
3 year 5.75% 4.14% 4.92% 4.14% 4.99% 1.98% 5.57%
Inception 5.93% 4.41% 5.10% 4.36% 5.16% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO J.P. Morgan Emerging
Emerging Markets Emerging Markets Emerging Markets Markets Index Plus
A B C
----------------------------------------------------------------------------------------------------
<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 9,529 9,533 9,434
10/31/1999 9,557 9,828 9,832 9,798
11/30/1999 9,814 10,087 10,090 10,075
12/31/1999 10,273 10,552 10,556 10,620
01/31/2000 10,044 10,310 10,314 10,410
02/29/2000 10,635 10,911 10,915 11,080
03/31/2000 10,899 11,175 11,184 11,429
04/30/2000 10,690 10,947 10,970 11,211
05/31/2000 10,479 10,724 10,746 10,925
06/30/2000 10,969 11,218 11,242 11,479
07/31/2000 11,232 11,481 11,505 11,826
08/31/2000 11,621 11,872 11,897 12,243
09/30/2000 11,465 11,448 11,729 12,077
</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 28 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 33%
--------------------------------------------------------------------------------
1-5 years 4%
--------------------------------------------------------------------------------
5-10 years 29%
--------------------------------------------------------------------------------
10-20 years 15%
--------------------------------------------------------------------------------
20-30 years 17%
--------------------------------------------------------------------------------
Over 30 years 2%
--------------------------------------------------------------------------------
Duration: 4.6 years
--------------------------------------------------------------------------------
Country Allocation
--------------------------------------------------------------------------------
Brazil 26.5%
--------------------------------------------------------------------------------
Mexico 20.7%
--------------------------------------------------------------------------------
Russia 6.9%
--------------------------------------------------------------------------------
Venezuela 5.5%
--------------------------------------------------------------------------------
Bulgaria 5.3%
--------------------------------------------------------------------------------
Short-Term Instruments 6.8%
--------------------------------------------------------------------------------
Other 28.3%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 1.7%
--------------------------------------------------------------------------------
AA 1.2%
--------------------------------------------------------------------------------
BBB 34.3%
--------------------------------------------------------------------------------
BB 20.3%
--------------------------------------------------------------------------------
B 42.5%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class A shares
returned 5.19%, slightly underperforming the J.P. Morgan Emerging Market Bond
Index, which returned 5.67%. The Fund has slightly under-performed its Lipper
Average for the 1-year period but significantly outperformed the average for the
3-year and since inception periods.
Emerging market bonds performed favorably for the past six months as
positive fundamental changes helped drive prices higher. Emerging market bonds
benefited from strong economic and financial performance, rebalanced global
growth, positive liability management and the successful conclusions to the
Russian and Ecuadorian debt restructuring. Volatility picked up however, due to
a reduced appetite for risk, noise on the political front and fears of a global
slowdown.
Performance was aided by our underweight in Argentina, as continued
political uncertainty weighed heavily on the market.
More responsible fiscal policies and continued strong economic data supported
Brazilian bonds where our overweight aided performance. Favorable rating
actions, specifically relating to Mexico and Brazil, are expected to drive
prices higher. This trend confirms the progress these countries have made in
strengthening domestic institutions and broadening popular support for economic
reforms. Venezuelan and Colombian bonds have also benefited the rise in oil
prices as they are large oil exporters.
Our overweights in Bulgaria and Peru were detriments towards performance.
Bulgarian bonds suffered as higher energy prices overshadowed continued economic
gains. Peruvian bonds continued to under-perform due to political uncertainty,
as to the predecessor of President Fujimori, and temporarily suspended payments
on Brady bonds renewed shareholder concerns.
Within Latin America we are maintaining our overweight position in Mexico
where the government continues to deliver strong economic reform. The political
transition from President Zedillo to Vicente Fox has remained smooth,
accompanied by reassurances that economic reform remains on track. In the
near-term, 2001 budget negotiations and the external environment warrant some
caution. We will continue to overweight Brazil, as economic activity driven by
exports, capital spending and fiscal disciplines remain strong. We will also
continue to underweight Argentina as growth prospects and political tensions
rise.
We continue to emphasize liquid markets and instruments allowing us the
opportunity to modify exposure in response to a changing market environment. We
will also continue to overweight top tier credits as it remains too early to
alter our cautious approach towards those countries where high oil prices
exacerbate deteriorating domestic conditions and unstable socio-political
environments.
13
<PAGE>
PIMCO Foreign Bond Fund
September 30, 2000
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:
$585.1 million
PORTFOLIO MANAGER:
Lee Thomas
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Return For periods ended 9/30/00
A Shares B Shares C Shares Lipper Intl. J.P. Morgan
Income Fund Non-U.S.
Adjusted Adjusted Adjusted Average Index (Hedged)
-----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 7.13% 2.30% 6.25% 1.27% 5.27% -3.90% 6.95%
3 years 5.90% 4.29% 5.11% 4.26% 5.09% 1.19% 7.65%
5 years 10.11% 9.10% 9.30% 9.02% 9.30% 3.24% 9.61%
Inception 9.12% 8.48% 8.41% 8.41% 8.31% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO PIMCO PIMCO J.P. Morgan
Foreign Bond Foreign Bond Foreign Bond Non-U.S. Index
A B C (Hedged)
---------------------------------------------------------------------------
12/31/1992 9,550 10,000 10,000 10,000
01/31/1993 9,625 10,073 10,073 10,091
02/28/1993 9,833 10,286 10,286 10,274
03/31/1993 9,867 10,314 10,314 10,280
04/30/1993 9,863 10,304 10,304 10,281
05/31/1993 9,949 10,387 10,387 10,338
06/30/1993 10,180 10,623 10,623 10,549
07/31/1993 10,337 10,781 10,781 10,667
08/31/1993 10,584 11,033 11,033 10,889
09/30/1993 10,622 11,067 11,067 10,936
10/31/1993 10,776 11,221 11,221 11,082
11/30/1993 10,803 11,242 11,242 11,159
12/31/1993 11,068 11,511 11,511 11,390
01/31/1994 11,079 11,515 11,515 11,333
02/28/1994 10,782 11,200 11,200 11,078
03/31/1994 10,590 10,994 10,994 10,977
04/30/1994 10,486 10,879 10,879 10,899
05/31/1994 10,329 10,709 10,709 10,779
06/30/1994 10,135 10,501 10,501 10,669
07/31/1994 10,195 10,557 10,557 10,739
08/31/1994 10,091 10,442 10,442 10,636
09/30/1994 10,104 10,448 10,448 10,645
10/31/1994 10,139 10,477 10,477 10,687
11/30/1994 10,285 10,622 10,622 10,838
12/31/1994 10,214 10,541 10,541 10,813
01/31/1995 10,280 10,601 10,601 10,931
02/28/1995 10,343 10,660 10,660 11,072
03/31/1995 10,347 10,656 10,656 11,297
04/30/1995 10,596 10,905 10,905 11,477
05/31/1995 11,008 11,322 11,322 11,854
06/30/1995 10,938 11,243 11,243 11,814
07/31/1995 11,142 11,445 11,445 11,963
08/31/1995 11,351 11,651 11,651 12,067
09/30/1995 11,508 11,806 11,806 12,258
10/31/1995 11,697 11,991 11,991 12,395
11/30/1995 12,152 12,450 12,450 12,667
12/31/1995 12,328 12,623 12,623 12,785
01/31/1996 12,627 12,919 12,919 12,939
02/29/1996 12,354 12,632 12,632 12,787
03/31/1996 12,550 12,826 12,826 12,893
04/30/1996 12,850 13,125 13,125 13,047
05/31/1996 12,895 13,163 13,163 13,136
06/30/1996 13,037 13,299 13,299 13,245
07/31/1996 13,160 13,417 13,417 13,345
08/31/1996 13,478 13,733 13,733 13,522
09/30/1996 13,851 14,107 14,107 13,810
10/31/1996 14,189 14,442 14,442 14,038
11/30/1996 14,528 14,780 14,780 14,319
12/31/1996 14,601 14,845 14,845 14,339
01/31/1997 14,826 15,067 15,070 14,518
02/28/1997 14,900 15,133 15,136 14,611
03/31/1997 14,708 14,929 14,932 14,533
04/30/1997 14,840 15,054 15,057 14,690
05/31/1997 14,912 15,117 15,120 14,767
06/30/1997 15,205 15,406 15,409 15,018
07/31/1997 15,424 15,619 15,622 15,257
08/31/1997 15,356 15,539 15,542 15,275
09/30/1997 15,683 15,859 15,862 15,545
10/31/1997 15,495 15,658 15,661 15,645
11/30/1997 15,700 15,856 15,860 15,757
12/31/1997 15,924 16,072 16,075 15,962
01/31/1998 16,149 16,289 16,292 16,174
02/28/1998 16,293 16,424 16,428 16,318
03/31/1998 16,491 16,615 16,618 16,464
04/30/1998 16,542 16,666 16,660 16,548
05/31/1998 16,680 16,793 16,786 16,774
06/30/1998 16,756 16,860 16,853 16,847
07/31/1998 17,016 17,111 17,104 17,003
08/31/1998 16,875 16,959 16,952 17,338
09/30/1998 17,256 17,332 17,325 17,749
10/31/1998 16,894 16,956 16,949 17,722
11/30/1998 17,205 17,258 17,251 17,914
12/31/1998 17,441 17,482 17,475 17,892
01/31/1999 17,793 17,825 17,818 18,114
02/28/1999 17,613 17,634 17,627 17,993
03/31/1999 17,715 17,726 17,719 18,207
04/30/1999 17,938 17,937 17,930 18,438
05/31/1999 17,651 17,639 17,632 18,363
06/30/1999 17,431 17,406 17,399 18,078
07/31/1999 17,433 17,397 17,391 18,031
08/31/1999 17,302 17,257 17,250 18,063
09/30/1999 17,388 17,333 17,326 18,132
10/31/1999 17,461 17,395 17,388 18,176
11/30/1999 17,489 17,412 17,405 18,281
12/31/1999 17,636 17,546 17,539 18,336
01/31/2000 17,539 17,450 17,432 18,338
02/29/2000 17,734 17,644 17,615 18,473
03/31/2000 17,982 17,891 17,848 18,743
04/30/2000 18,038 17,946 17,885 18,844
05/31/2000 18,141 18,048 17,975 18,995
06/30/2000 18,271 18,178 18,092 19,086
07/31/2000 18,419 18,326 18,227 19,224
08/31/2000 18,395 18,302 18,191 19,227
09/30/2000 18,631 18,536 18,413 19,393
*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 28 for Footnotes, which include additional
details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
5-10 years 58%
--------------------------------------------------------------------------------
10-20 years 36%
--------------------------------------------------------------------------------
20-30 years 5%
--------------------------------------------------------------------------------
Over 30 years 1%
--------------------------------------------------------------------------------
Duration: 3.4 years
--------------------------------------------------------------------------------
Country Allocation
--------------------------------------------------------------------------------
United States 53.7%
--------------------------------------------------------------------------------
Italy 6.5%
--------------------------------------------------------------------------------
Germany 4.9%
--------------------------------------------------------------------------------
Short-Term Instruments 7.0%
--------------------------------------------------------------------------------
Other 27.9%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 63.9%
--------------------------------------------------------------------------------
AA 13.8%
--------------------------------------------------------------------------------
A 8.6%
--------------------------------------------------------------------------------
BBB 10.1%
--------------------------------------------------------------------------------
BB 2.8%
--------------------------------------------------------------------------------
B 0.8%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class A shares
returned 3.59%, outperforming the J.P. Morgan Non-U.S. (Hedged) Index, which
returned 3.47%. The Fund has outperformed its Lipper Average over the
year-to-date, 1-year, 3-year and since inception periods.
Japanese bonds continue to underperform as the first rate increase in 10
years drove bond prices lower. Continued fiscal stimulus has brought concern
about an increase in bond supply and although intended to boost economic growth,
it has caused Moody's to downgrade government debt to Aa2.
Emerging market bonds added to performance amid positive investor response
to sound policy improvements and increased IMF and World Bank support. In
particular, more responsible fiscal policies and continued strong economic data
supported Brazilian bonds where our overweight aided performance. As well,
favorable rating actions, specifically relating to Mexico and Brazil, are
expected to drive prices higher.
European bonds underperformed U.S. Treasuries. Higher oil prices and the
weak Euro, which fell to new record lows versus the U.S. dollar, contributed to
a slight rise in inflation. To combat the Euro weakness, which jeopardizes
global stability, the central banks of leading nations coordinated Euro
purchases in order to support the currency. The Danish "no" vote, ending
prospects for Denmark entering the European Monetary Union (EMU), further added
to Euro pressures, as investors believed other strong European economies would
also avoid entering EMU.
Going forward, we are looking to maintain our underweight in Japan due to
high debt levels and prospects for increased bond issuance to pay for fiscal
stimulus. Both Canadian and Australian positions are underweight due to
unattractive yields and risks that weak currencies will increase inflationary
prospects. We are maintaining our limited position in emerging markets,
primarily looking for highly liquid, top-quality issues amid increased
volatility.
Within core Europe we are overweight in areas such as Austria, Italy and
Spain to capitalize on favorable yields relative to Germany. We are emphasizing
longer maturities as the sale of mobile phone licenses and better fiscal
balances will lead to reduced long-term bond issuance.
Our hedging strategy, which limits our currency exposure, was a positive
contributor due to continued strength in the dollar. We will continue to hedge
the majority of our currency exposure because of both the short-term volatility
and unpredictability of foreign currencies.
14
<PAGE>
PIMCO Global Bond Fund II
September 30, 2000
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:
$72.2 million
PORTFOLIO MANAGER:
Lee Thomas
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Return For periods ended 9/30/00
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 6.53% 1.74% 5.74% 0.74% 4.74% 0.58% 7.10%
3 Years 4.56% 2.96% 3.78% 3.00% 3.77% 1.10% 7.18%
Inception 8.09% 7.09% 7.26% 6.97% 7.26% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO PIMCO PIMCO J.P. Morgan
Global Bond II Global Bond II Global Bond II Global Bond
A B C Index
---------------------------------------------------------------------------
10/31/1995 9,550 10,000 10,000 10,000
11/30/1995 9,869 10,334 10,334 10,191
12/31/1995 10,030 10,502 10,502 10,302
01/31/1996 10,220 10,702 10,702 10,406
02/29/1996 10,026 10,499 10,499 10,257
03/31/1996 10,045 10,512 10,512 10,279
04/30/1996 10,170 10,625 10,625 10,334
05/31/1996 10,162 10,606 10,596 10,373
06/30/1996 10,256 10,677 10,677 10,471
07/31/1996 10,299 10,718 10,718 10,530
08/31/1996 10,552 10,964 10,964 10,614
09/30/1996 10,799 11,214 11,214 10,814
10/31/1996 11,031 11,458 11,448 11,009
11/30/1996 11,303 11,724 11,724 11,215
12/31/1996 11,274 11,697 11,686 11,188
01/31/1997 11,370 11,778 11,778 11,283
02/28/1997 11,448 11,852 11,852 11,334
03/31/1997 11,290 11,681 11,681 11,255
04/30/1997 11,424 11,812 11,812 11,392
05/31/1997 11,514 11,896 11,896 11,468
06/30/1997 11,710 12,092 12,092 11,638
07/31/1997 11,954 12,335 12,335 11,886
08/31/1997 11,910 12,282 12,282 11,844
09/30/1997 12,131 12,502 12,503 12,043
10/31/1997 11,989 12,347 12,348 12,176
11/30/1997 12,074 12,427 12,428 12,254
12/31/1997 12,208 12,558 12,559 12,405
01/31/1998 12,318 12,665 12,664 12,581
02/28/1998 12,389 12,729 12,729 12,632
03/31/1998 12,556 12,893 12,893 12,714
04/30/1998 12,610 12,941 12,941 12,777
05/31/1998 12,677 13,002 13,002 12,936
06/30/1998 12,734 13,053 13,049 13,030
07/31/1998 12,888 13,201 13,197 13,113
08/31/1998 12,750 13,052 13,048 13,412
09/30/1998 13,034 13,337 13,333 13,754
10/31/1998 12,818 13,106 13,102 13,724
11/30/1998 12,986 13,269 13,264 13,821
12/31/1998 13,097 13,373 13,369 13,821
01/31/1999 13,388 13,662 13,658 13,961
02/28/1999 13,182 13,445 13,441 13,774
03/31/1999 13,264 13,520 13,516 13,900
04/30/1999 13,390 13,641 13,636 14,031
05/31/1999 13,184 13,422 13,418 13,947
06/30/1999 13,021 13,249 13,245 13,789
07/31/1999 13,008 13,227 13,223 13,760
08/31/1999 12,948 13,158 13,154 13,775
09/30/1999 13,012 13,215 13,210 13,846
10/31/1999 13,046 13,241 13,237 13,873
11/30/1999 13,025 13,212 13,208 13,921
12/31/1999 13,080 13,259 13,255 13,922
01/31/2000 13,021 13,192 13,188 13,933
02/29/2000 13,173 13,338 13,334 14,074
03/31/2000 13,354 13,513 13,509 14,307
04/30/2000 13,372 13,524 13,519 14,343
05/31/2000 13,418 13,560 13,556 14,428
06/30/2000 13,563 13,697 13,693 14,553
07/31/2000 13,672 13,800 13,796 14,671
08/31/2000 13,707 13,826 13,822 14,739
09/30/2000 13,862 13,786 13,970 14,829
* 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 28 for Footnotes, which include additional
details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 0%
--------------------------------------------------------------------------------
1-5 years 5%
--------------------------------------------------------------------------------
5-10 years 67%
--------------------------------------------------------------------------------
10-20 years 21%
--------------------------------------------------------------------------------
20-30 years 7%
--------------------------------------------------------------------------------
Duration: 4.3 years
--------------------------------------------------------------------------------
Country Allocation
--------------------------------------------------------------------------------
United States 62.1%
--------------------------------------------------------------------------------
Italy 6.1%
--------------------------------------------------------------------------------
United Kingdom 4.4%
--------------------------------------------------------------------------------
Greece 4.1%
--------------------------------------------------------------------------------
Short-Term Instruments 3.3%
--------------------------------------------------------------------------------
Other 20.0%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 65.4%
--------------------------------------------------------------------------------
AA 15.1%
--------------------------------------------------------------------------------
A 9.0%
--------------------------------------------------------------------------------
BBB 7.6%
--------------------------------------------------------------------------------
BB 1.9%
--------------------------------------------------------------------------------
B 0.9%
--------------------------------------------------------------------------------
Others 0.1%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class A shares
returned 3.79%, slightly underperforming the J.P. Morgan Global Index (Hedged),
which returned 3.64%. The Fund has outperformed its Lipper Average over the
year-to-date, 1-year, 3-year and since inception periods.
Rates continued to rise in the United States but cooled by summer end as
evidence surfaced that the economy was slowing down. As a result, the yield
curve became positively sloped, with the 30-year Treasury yield higher than the
10-year. This may provide further evidence of continued economic weakness.
The U.S. was the best performing bond market as the economy began to slow
following the Fed's 175 basis points in rate hikes since the middle of last
year. The Fed remained on hold the third quarter, as the six previous rate hikes
and continuing productivity gains limited inflationary expectations.
Japanese bonds continued to underperform as the first rate increase in 10
years drove bond prices lower. Continued fiscal stimulus has brought concern
about an increase in bond supply and although intended to boost economic growth,
it has caused Moody's to downgrade that country's government debt to Aa2.
One area that lagged performance was European bonds as they underperformed
U.S. Treasuries. Higher oil prices and the weak Euro, which fell to new record
lows versus the U.S. dollar, contributed to a slight rise in inflation. To
combat the Euro weakness, which jeopardizes global stability, the central banks
of leading nations coordinated Euro purchases in order to support the currency.
The Danish "no" vote, ending prospects for Denmark entering the European
Monetary Union (EMU), further added to Euro pressures, as investors believed
other strong European economies would also avoid entering EMU.
Going forward, we are looking to maintain our underweight in Japan due to
high debt levels and prospects for increased bond issuance to pay for fiscal
stimulus. U.S. bonds will be overweighted, emphasizing mortgages, where credit
risk is minimal and attractive yield premiums provide a cushion against adverse
price performance. We are focusing on higher-grade bonds as credit quality and
high default rates on corporate bonds remain a concern.
Within core Europe we are overweight in areas such as Austria, Italy and
Spain to capitalize on favorable yields relative to Germany. We are emphasizing
longer maturities as the sale of mobile phone licenses and better fiscal
balances will lead to reduced long-term bond issuance.
Our hedging strategy, which limits our currency exposure, was a positive
contributor due to continued strength in the dollar. We will continue to hedge
the majority of our currency exposure because of both the short-term volatility
and unpredictability of foreign currencies.
15
<PAGE>
September 30, 2000
PIMCO High Yield Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Primarily high yield bonds.
DURATION RANGE:
2-6 years
FUND INCEPTION DATE:
12/16/92
TOTAL NET ASSETS:
$3.1 billion
PORTFOLIO MANAGER:
Ben Trosky
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper High Lehman Int.
Current Yield BB Corp
Adjusted Adjusted Adjusted Fund Avg. Index
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 2.77% -1.86% 2.00% -2.72% 1.06% -0.02% 5.31%
3 years 3.89% 2.31% 3.12% 2.29% 3.12% 0.49% 4.58%
5 years 7.54% 6.55% 6.75% 6.46% 6.75% 5.49% 7.19%
Inception 9.33% 8.69% 8.62% 8.62% 8.54% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO PIMCO PIMCO Lehman
High Yield High Yield High Yield Intermediate BB
A B C Corporate Index
-----------------------------------------------------------------------------
12/31/1992 9,550 10,000 10,000 10,000
01/31/1993 9,764 10,218 10,218 10,211
02/28/1993 9,941 10,398 10,398 10,361
03/31/1993 10,138 10,597 10,597 10,478
04/30/1993 10,243 10,700 10,700 10,566
05/31/1993 10,315 10,769 10,769 10,644
06/30/1993 10,592 11,052 11,052 10,870
07/31/1993 10,664 11,120 11,120 10,980
08/31/1993 10,780 11,235 11,235 11,107
09/30/1993 10,831 11,281 11,281 11,188
10/31/1993 11,118 11,573 11,573 11,338
11/30/1993 11,200 11,652 11,652 11,368
12/31/1993 11,293 11,742 11,742 11,465
01/31/1994 11,530 11,981 11,981 11,657
02/28/1994 11,525 11,969 11,969 11,644
03/31/1994 11,177 11,601 11,601 11,288
04/30/1994 11,076 11,489 11,489 11,221
05/31/1994 11,154 11,562 11,562 11,231
06/30/1994 11,166 11,567 11,567 11,265
07/31/1994 11,267 11,666 11,666 11,402
08/31/1994 11,359 11,753 11,753 11,523
09/30/1994 11,434 11,824 11,824 11,544
10/31/1994 11,436 11,819 11,819 11,571
11/30/1994 11,387 11,761 11,761 11,492
12/31/1994 11,520 11,892 11,892 11,563
01/31/1995 11,629 11,997 11,997 11,749
02/28/1995 11,945 12,315 12,315 12,106
03/31/1995 12,115 12,484 12,484 12,220
04/30/1995 12,376 12,746 12,746 12,465
05/31/1995 12,731 13,104 13,104 12,831
06/30/1995 12,832 13,200 13,200 12,944
07/31/1995 13,000 13,365 13,365 13,062
08/31/1995 13,096 13,456 13,456 13,138
09/30/1995 13,275 13,634 13,634 13,280
10/31/1995 13,465 13,822 13,822 13,384
11/30/1995 13,625 13,978 13,978 13,553
12/31/1995 13,852 14,202 14,202 13,767
01/31/1996 14,072 14,419 14,419 13,990
02/29/1996 14,083 14,422 14,422 13,940
03/31/1996 13,968 14,295 14,295 13,867
04/30/1996 14,025 14,345 14,345 13,862
05/31/1996 14,068 14,381 14,381 13,881
06/30/1996 14,122 14,427 14,427 14,031
07/31/1996 14,243 14,542 14,542 14,107
08/31/1996 14,471 14,766 14,766 14,221
09/30/1996 14,804 15,097 15,097 14,527
10/31/1996 14,948 15,236 15,236 14,729
11/30/1996 15,267 15,554 15,554 15,026
12/31/1996 15,416 15,696 15,696 15,059
01/31/1997 15,570 15,837 15,842 15,203
02/28/1997 15,805 16,067 16,071 15,386
03/31/1997 15,593 15,842 15,846 15,203
04/30/1997 15,755 15,997 16,002 15,392
05/31/1997 16,110 16,346 16,351 15,655
06/30/1997 16,343 16,573 16,578 15,857
07/31/1997 16,760 16,984 16,989 16,330
08/31/1997 16,750 16,962 16,967 16,174
09/30/1997 17,026 17,232 17,237 16,428
10/31/1997 17,038 17,232 17,237 16,484
11/30/1997 17,197 17,381 17,387 16,600
12/31/1997 17,386 17,562 17,567 16,752
01/31/1998 17,680 17,847 17,852 16,953
02/28/1998 17,770 17,927 17,932 17,031
03/31/1998 17,903 18,051 18,056 17,140
04/30/1998 17,943 18,080 18,085 17,228
05/31/1998 18,029 18,156 18,161 17,340
06/30/1998 18,157 18,272 18,279 17,446
07/31/1998 18,344 18,447 18,454 17,536
08/31/1998 17,603 17,691 17,698 17,052
09/30/1998 17,821 17,898 17,905 17,414
10/31/1998 17,639 17,705 17,712 17,191
11/30/1998 18,378 18,436 18,443 17,603
12/31/1998 18,452 18,497 18,504 17,714
01/31/1999 18,690 18,724 18,731 17,897
02/28/1999 18,531 18,554 18,561 17,764
03/31/1999 18,679 18,689 18,697 17,892
04/30/1999 18,985 18,984 18,992 18,075
05/31/1999 18,617 18,605 18,612 17,856
06/30/1999 18,608 18,584 18,592 17,815
07/31/1999 18,652 18,618 18,625 17,883
08/31/1999 18,574 18,528 18,536 17,770
09/30/1999 18,580 18,523 18,530 17,843
10/31/1999 18,552 18,484 18,491 17,782
11/30/1999 18,802 18,722 18,730 17,933
12/31/1999 18,894 18,803 18,810 18,104
01/31/2000 18,804 18,713 18,709 17,975
02/29/2000 18,843 18,752 18,739 18,009
03/31/2000 18,463 18,373 18,347 17,838
04/30/2000 18,498 18,408 18,371 17,899
05/31/2000 18,400 18,310 18,262 17,906
06/30/2000 18,746 18,655 18,595 18,293
07/31/2000 18,888 18,796 18,725 18,597
08/31/2000 19,154 19,061 18,978 18,883
09/30/2000 19,091 18,999 18,902 18,790
* 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 28 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 16%
--------------------------------------------------------------------------------
1-5 years 25%
--------------------------------------------------------------------------------
5-10 years 55%
--------------------------------------------------------------------------------
10-20 years 3%
--------------------------------------------------------------------------------
20-30 years 1%
--------------------------------------------------------------------------------
Duration: 3.7 years
--------------------------------------------------------------------------------
Sector Breakdown
--------------------------------------------------------------------------------
Corporate Bonds & Notes 76.3%
--------------------------------------------------------------------------------
Short-Term Instruments 9.4%
--------------------------------------------------------------------------------
Asset-Backed Securities 6.3%
--------------------------------------------------------------------------------
Other 8.0%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 3.2%
--------------------------------------------------------------------------------
AA 2.2%
--------------------------------------------------------------------------------
A 0.6%
--------------------------------------------------------------------------------
BBB 19.2%
--------------------------------------------------------------------------------
BB 39.8%
--------------------------------------------------------------------------------
B 35.0%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class A shares
rose 3.45%, outperforming the Lipper High Current Yield Average, which fell
1.14%. However, the Fund did underperform its benchmark, the Lehman Intermediate
BB Corporate Index, which rose 5.33%. Over the long term, the Fund continues to
outperform both the Lipper Average and its Lehman benchmark for the five-year
and since inception periods ended September 30, 2000.
Over the last six months the Federal Reserve raised interest rates once, in
May, in order to continue its ongoing efforts to prevent the economy from
overheating and creating inflationary pressures. Since that 50 basis point
increase, the Federal Reserve has remained on hold, based on evidence that
economic growth is moderating to a pace more in line with the economy's
potential to produce. As a result, intermediate maturity interest rates fell.
However, high yield issues lagged higher-quality bonds as lingering concerns
about defaults, profits and fund redemptions put selling pressure on the market.
Defensive strategies and a focus on the energy services sector enhanced
performance. The Fund's strategy of avoiding cyclical issues, such as autos and
steel, added to relative performance as these sectors suffered under slowing
consumer spending and accumulating inventory. However, the Fund's limited
exposure to B-rated issues detracted from performance as these credits
significantly underperformed BB-rated issues.
Going forward, we believe that economic growth will moderate worldwide. We
expect inflation to creep higher in the face of wage pressures and rising energy
costs. More Fed tightening is unlikely now that U.S. economic growth is
moderating; however, the central bank will also refrain from easing to avoid
igniting accelerated consumer spending via the stock and housing markets. As
U.S. growth slows, lower profits cut into the ability of corporate America to
service its debt. This causes credit conditions to deteriorate, and spreads to
widen, driving down prices. In light of this environment, we believe that
maintaining a defensive posture will be instrumental in preserving capital while
providing superior relative performance.
While the high yield market has already incorporated a lot of bad news, we
feel it is too early to become bullish due to significant near-term risks. We
expect to maintain average quality higher than the benchmark. We intend to
continue to hold defensive positions, such as publishing and utilities, and we
hope to be overweight in areas we believe to have improving fundamentals, such
as the chemical sector. We intend to use senior-secured, syndicated bank loans
selectively to add income while preserving principal.
16
<PAGE>
September 30, 2000
PIMCO Long-Term U.S. Government Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Primarily longer-term U.S. Government securities.
DURATION RANGE:
Greater than or equal to 8 years
FUND INCEPTION DATE:
7/01/91
TOTAL NET ASSETS:
$370.3 million
PORTFOLIO MANAGER:
Jim Keller
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Gen. Lehman
U.S. Govt. Long-Term
Adjusted Adjusted Adjusted Fund Avg. Treas. Index
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 8.93% 4.03% 8.12% 3.12% 7.12% 6.12% 9.81%
3 years 6.88% 5.25% 6.07% 5.19% 6.07% 4.93% 7.36%
5 years 7.33% 6.34% 6.51% 6.22% 6.53% 5.37% 7.47%
Inception 10.36% 9.81% 9.74% 9.74% 9.56% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO PIMCO PIMCO Lehman
Long-Term Long-Term Long-Term Long-Term
U.S. Gov. U.S. Gov. U.S. Gov. Treasury Index
A B C
--------------------------------------------------------------------------------
06/30/1991 9,550 10,000 10,000 10,000
07/31/1991 9,678 10,128 10,128 10,149
08/31/1991 10,051 10,511 10,511 10,499
09/30/1991 10,385 10,855 10,855 10,830
10/31/1991 10,435 10,900 10,900 10,854
11/30/1991 10,572 11,037 11,037 10,914
12/31/1991 11,265 11,755 11,755 11,565
01/31/1992 10,944 11,413 11,413 11,202
02/29/1992 10,997 11,462 11,462 11,268
03/31/1992 10,958 11,416 11,416 11,144
04/30/1992 10,901 11,350 11,350 11,133
05/31/1992 11,287 11,745 11,745 11,442
06/30/1992 11,447 11,906 11,906 11,608
07/31/1992 11,986 12,458 12,458 12,091
08/31/1992 12,223 12,697 12,697 12,175
09/30/1992 12,436 12,911 12,911 12,367
10/31/1992 12,123 12,579 12,579 12,107
11/30/1992 12,247 12,701 12,701 12,153
12/31/1992 12,567 13,025 13,025 12,486
01/31/1993 12,898 13,361 13,361 12,842
02/28/1993 13,413 13,886 13,886 13,271
03/31/1993 13,482 13,948 13,948 13,304
04/30/1993 13,583 14,046 14,046 13,407
05/31/1993 13,632 14,088 14,088 13,451
06/30/1993 14,304 14,776 14,776 14,020
07/31/1993 14,508 14,978 14,978 14,246
08/31/1993 15,058 15,538 15,538 14,818
09/30/1993 15,103 15,577 15,577 14,870
10/31/1993 15,177 15,644 15,644 14,977
11/30/1993 14,761 15,208 15,208 14,594
12/31/1993 14,856 15,296 15,296 14,640
01/31/1994 15,191 15,632 15,632 14,992
02/28/1994 14,593 15,009 15,009 14,377
03/31/1994 13,995 14,383 14,383 13,746
04/30/1994 13,751 14,124 14,124 13,584
05/31/1994 13,703 14,066 14,066 13,494
06/30/1994 13,619 13,972 13,972 13,366
07/31/1994 13,953 14,304 14,304 13,819
08/31/1994 13,980 14,321 14,321 13,717
09/30/1994 13,539 13,860 13,860 13,285
10/31/1994 13,446 13,755 13,755 13,238
11/30/1994 13,400 13,700 13,700 13,316
12/31/1994 13,702 13,999 13,999 13,521
01/31/1995 14,055 14,350 14,350 13,869
02/28/1995 14,537 14,833 14,833 14,263
03/31/1995 14,701 14,992 14,992 14,385
04/30/1995 14,948 15,235 15,235 14,641
05/31/1995 16,089 16,387 16,387 15,764
06/30/1995 16,268 16,561 16,561 15,947
07/31/1995 15,981 16,259 16,259 15,692
08/31/1995 16,338 16,612 16,612 16,041
09/30/1995 16,686 16,956 16,956 16,336
10/31/1995 17,091 17,359 17,359 16,793
11/30/1995 17,506 17,771 17,771 17,213
12/31/1995 17,960 18,220 18,220 17,671
01/31/1996 17,983 18,233 18,233 17,671
02/29/1996 17,140 17,369 17,369 16,817
03/31/1996 16,819 17,034 17,034 16,483
04/30/1996 16,441 16,640 16,640 16,207
05/31/1996 16,457 16,645 16,645 16,123
06/30/1996 16,783 16,963 16,963 16,467
07/31/1996 16,723 16,892 16,892 16,473
08/31/1996 16,601 16,758 16,758 16,267
09/30/1996 17,057 17,208 17,208 16,716
10/31/1996 17,784 17,929 17,929 17,373
11/30/1996 18,447 18,587 18,587 17,953
12/31/1996 18,017 18,142 18,142 17,517
01/31/1997 17,924 18,026 18,043 17,393
02/28/1997 17,959 18,050 18,068 17,400
03/31/1997 17,507 17,586 17,602 16,954
04/30/1997 17,897 17,966 17,980 17,363
05/31/1997 18,103 18,161 18,176 17,557
06/30/1997 18,454 18,503 18,518 17,896
07/31/1997 19,473 19,513 19,527 18,947
08/31/1997 18,976 19,002 19,017 18,420
09/30/1997 19,466 19,481 19,497 18,927
10/31/1997 20,122 20,124 20,140 19,564
11/30/1997 20,307 20,295 20,313 19,825
12/31/1997 20,648 20,621 20,640 20,158
01/31/1998 21,026 20,984 21,003 20,567
02/28/1998 20,877 20,823 20,842 20,419
03/31/1998 20,971 20,904 20,923 20,462
04/30/1998 21,084 21,004 21,023 20,537
05/31/1998 21,487 21,393 21,412 20,930
06/30/1998 21,983 21,874 21,892 21,415
07/31/1998 21,961 21,852 21,855 21,325
08/31/1998 22,881 22,768 22,757 22,287
09/30/1998 23,801 23,683 23,643 23,103
10/31/1998 23,149 23,034 22,981 22,754
11/30/1998 23,230 23,115 23,043 22,929
12/31/1998 23,337 23,221 23,133 22,881
01/31/1999 23,507 23,391 23,290 23,087
02/28/1999 22,435 22,324 22,214 21,951
03/31/1999 22,521 22,409 22,285 21,900
04/30/1999 22,548 22,436 22,296 21,931
05/31/1999 22,135 22,025 21,875 21,587
06/30/1999 21,922 21,814 21,652 21,358
07/31/1999 21,789 21,681 21,504 21,255
08/31/1999 21,612 21,505 21,317 21,173
09/30/1999 21,828 21,720 21,518 21,329
10/31/1999 21,868 21,759 21,544 21,342
11/30/1999 21,721 21,614 21,386 21,197
12/31/1999 21,389 21,283 21,044 20,881
01/31/2000 21,479 21,372 21,122 21,180
02/29/2000 22,121 22,011 21,741 21,819
03/31/2000 22,712 22,599 22,306 22,566
04/30/2000 22,578 22,466 22,161 22,385
05/31/2000 22,449 22,338 22,021 22,304
06/30/2000 23,129 23,014 22,675 22,788
07/31/2000 23,538 23,422 23,063 23,180
08/31/2000 24,059 23,939 23,559 23,709
09/30/2000 23,772 23,655 23,265 23,422
* 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 28 for
Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1-5 years 16%
--------------------------------------------------------------------------------
5-10 years 10%
--------------------------------------------------------------------------------
10-20 years 24%
--------------------------------------------------------------------------------
20-30 years 50%
--------------------------------------------------------------------------------
Duration: 10.9 years
--------------------------------------------------------------------------------
Sector Breakdown
--------------------------------------------------------------------------------
U.S. Treasury Obligations 41.6%
--------------------------------------------------------------------------------
Mortgage-Backed Securities 40.2%
--------------------------------------------------------------------------------
U.S. Government Agencies 8.6%
--------------------------------------------------------------------------------
Other 9.6%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 92.4%
--------------------------------------------------------------------------------
AA 3.4%
--------------------------------------------------------------------------------
A 2.4%
--------------------------------------------------------------------------------
BBB 1.8%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class A shares
rose 4.69%, outperforming the Lehman Long-Term Treasury Index, which returned
3.80%. The Fund also outperformed its Lipper Average, which returned 4.14%. The
Fund continues to outperform over the longer-term, beating its Lipper Average
over the three-year, five-year, and since inception periods.
Over the last six months the Federal Reserve raised interest rates once, in
May, in order to continue its ongoing efforts to prevent the economy from
overheating and creating inflationary pressures. Since that 50 basis point
increase, the Federal Reserve has left rates unchanged based on mounting
evidence that economic growth is moderating to a pace more in line with the
economy's potential to produce. As a result, intermediate maturity interest
rates fell, causing the yield curve to revert to a positive slope.
The Fund's focus on yield-gathering strategies and intermediate-term issues
were key to performance over the past six months. Amid optimism that the Fed was
close to the end of its tightening cycle, intermediate-maturity yields fell. An
emphasis on mortgages also enhanced returns due to high yields and narrowing
spreads relative to Treasuries. A small exposure to municipals also added to
returns, as yields became more attractive relative to Treasuries on an after-tax
basis.
Going forward, based on recent monetary policy tightening and higher oil
prices, we believe that economic growth will moderate worldwide. We expect
inflation to creep higher in the face of wage pressures and rising energy costs.
We believe that further Fed tightening is unlikely now due to moderating U.S.
economic growth; however, the central bank will also refrain from easing to
avoid igniting accelerated consumer spending via the stock and housing markets.
In our opinion, an over-leveraged private sector combined with public budget
surpluses will continue to cause credit quality to deteriorate and keep the
Treasury curve flatter than it otherwise would be.
In light of this environment, we expect to extend duration slightly beyond
the benchmark as slower economic growth eases pressure on interest rates. We
intend to continue our emphasis on mortgages because of their superior credit
quality and relatively attractive yields. We hope to broaden our maturity mix in
order to take advantage of what we anticipate will be a decrease in rates across
the yield curve due to slower economic growth. In addition, we may continue to
hold a small position in longer maturity municipal bonds having attractive
tax-adjusted yields relative to Treasuries.
17
<PAGE>
September 30, 2000
PIMCO Low Duration Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Primarily shorter-term, investment grade bonds.
DURATION RANGE:
1-3 years
FUND INCEPTION DATE:
5/11/87
TOTAL NET ASSETS:
$4.2 billion
PORTFOLIO MANAGER:
Bill Gross
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
<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 6.05% 2.87% 5.26% 0.28% 4.53% 5.73% 5.79%
5 years 6.14% 5.49% 5.34% 5.02% 5.62% 5.42% 5.89%
10 years 6.90% 6.58% 6.35% 6.35% 6.38% 6.29% 6.48%
Inception 7.28% 7.04% 6.86% 6.86% 6.76% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO PIMCO PIMCO Merrill Lynch
Low Duration Low Duration Low Duration 1-3 yr. Treasury
A B C Index
--------------------------------------------------------------------------------
05/31/1987 9,700 10,000 10,000 10,000
06/30/1987 9,786 10,083 10,085 10,109
07/31/1987 9,819 10,109 10,114 10,158
08/31/1987 9,813 10,097 10,104 10,167
09/30/1987 9,785 10,063 10,072 10,127
10/31/1987 9,940 10,215 10,227 10,351
11/30/1987 10,048 10,320 10,334 10,414
12/31/1987 10,103 10,370 10,387 10,480
01/31/1988 10,266 10,531 10,550 10,648
02/29/1988 10,337 10,598 10,619 10,735
03/31/1988 10,398 10,653 10,677 10,756
04/30/1988 10,437 10,687 10,713 10,772
05/31/1988 10,457 10,700 10,728 10,756
06/30/1988 10,551 10,788 10,821 10,868
07/31/1988 10,603 10,835 10,869 10,876
08/31/1988 10,641 10,867 10,904 10,899
09/30/1988 10,735 10,956 10,996 11,026
10/31/1988 10,830 11,046 11,088 11,136
11/30/1988 10,840 11,050 11,094 11,106
12/31/1988 10,884 11,087 11,134 11,132
01/31/1989 10,970 11,168 11,217 11,219
02/28/1989 10,983 11,175 11,226 11,219
03/31/1989 11,021 11,206 11,260 11,270
04/30/1989 11,147 11,327 11,384 11,443
05/31/1989 11,372 11,548 11,608 11,614
06/30/1989 11,615 11,788 11,852 11,831
07/31/1989 11,781 11,948 12,015 12,006
08/31/1989 11,723 11,882 11,950 11,932
09/30/1989 11,778 11,929 12,000 12,003
10/31/1989 11,928 12,075 12,149 12,184
11/30/1989 12,032 12,172 12,250 12,299
12/31/1989 12,089 12,222 12,303 12,348
01/31/1990 12,077 12,202 12,284 12,358
02/28/1990 12,155 12,274 12,359 12,416
03/31/1990 12,216 12,328 12,416 12,457
04/30/1990 12,204 12,308 12,399 12,482
05/31/1990 12,405 12,502 12,597 12,673
06/30/1990 12,534 12,625 12,723 12,806
07/31/1990 12,667 12,750 12,853 12,966
08/31/1990 12,687 12,761 12,867 13,005
09/30/1990 12,752 12,819 12,927 13,111
10/31/1990 12,840 12,898 13,010 13,255
11/30/1990 12,988 13,039 13,155 13,386
12/31/1990 13,123 13,167 13,286 13,548
01/31/1991 13,238 13,275 13,398 13,672
02/28/1991 13,339 13,367 13,494 13,754
03/31/1991 13,447 13,468 13,598 13,846
04/30/1991 13,605 13,619 13,753 13,977
05/31/1991 13,706 13,711 13,849 14,062
06/30/1991 13,788 13,785 13,927 14,119
07/31/1991 13,936 13,924 14,070 14,242
08/31/1991 14,130 14,110 14,260 14,437
09/30/1991 14,309 14,280 14,436 14,593
10/31/1991 14,428 14,390 14,550 14,750
11/30/1991 14,578 14,531 14,695 14,903
12/31/1991 14,817 14,761 14,930 15,131
01/31/1992 14,824 14,759 14,932 15,107
02/29/1992 14,893 14,818 14,995 15,160
03/31/1992 14,895 14,813 14,992 15,154
04/30/1992 14,995 14,903 15,086 15,293
05/31/1992 15,142 15,040 15,228 15,432
06/30/1992 15,279 15,166 15,359 15,590
07/31/1992 15,476 15,353 15,551 15,765
08/31/1992 15,573 15,440 15,643 15,903
09/30/1992 15,723 15,579 15,786 16,055
10/31/1992 15,723 15,568 15,780 15,959
11/30/1992 15,726 15,562 15,777 15,933
12/31/1992 15,885 15,710 15,930 16,084
01/31/1993 16,029 15,842 16,067 16,251
02/28/1993 16,213 16,015 16,245 16,390
03/31/1993 16,299 16,090 16,325 16,439
04/30/1993 16,371 16,151 16,390 16,541
05/31/1993 16,384 16,154 16,397 16,495
06/30/1993 16,541 16,300 16,548 16,616
07/31/1993 16,593 16,339 16,591 16,655
08/31/1993 16,749 16,483 16,740 16,800
09/30/1993 16,807 16,530 16,792 16,855
10/31/1993 16,917 16,628 16,894 16,888
11/30/1993 16,927 16,628 16,898 16,892
12/31/1993 17,040 16,728 17,002 16,954
01/31/1994 17,127 16,801 17,081 17,063
02/28/1994 17,047 16,714 16,995 16,954
03/31/1994 16,966 16,624 16,907 16,870
04/30/1994 16,904 16,552 16,838 16,810
05/31/1994 16,878 16,517 16,806 16,834
06/30/1994 16,907 16,546 16,827 16,884
07/31/1994 17,057 16,693 16,970 17,029
08/31/1994 17,124 16,758 17,028 17,089
09/30/1994 17,091 16,726 16,989 17,050
10/31/1994 17,083 16,718 16,974 17,088
11/30/1994 17,080 16,714 16,964 17,012
12/31/1994 17,064 16,699 16,942 17,050
01/31/1995 17,216 16,848 17,086 17,288
02/28/1995 17,426 17,053 17,287 17,525
03/31/1995 17,491 17,117 17,344 17,623
04/30/1995 17,704 17,325 17,547 17,780
05/31/1995 18,019 17,634 17,852 18,091
06/30/1995 18,106 17,718 17,931 18,188
07/31/1995 18,106 17,718 17,924 18,263
08/31/1995 18,296 17,904 18,105 18,372
09/30/1995 18,453 18,058 18,253 18,461
10/31/1995 18,584 18,187 18,376 18,617
11/30/1995 18,794 18,392 18,576 18,782
12/31/1995 19,010 18,604 18,782 18,926
01/31/1996 19,143 18,734 18,906 19,087
02/29/1996 19,013 18,607 18,770 19,006
03/31/1996 18,998 18,592 18,747 18,989
04/30/1996 18,998 18,592 18,740 19,005
05/31/1996 19,009 18,603 18,744 19,044
06/30/1996 19,196 18,785 18,920 19,181
07/31/1996 19,253 18,841 18,969 19,256
08/31/1996 19,342 18,928 19,047 19,323
09/30/1996 19,609 19,189 19,302 19,498
10/31/1996 19,883 19,458 19,565 19,717
11/30/1996 20,144 19,713 19,813 19,868
12/31/1996 20,081 19,652 19,744 19,868
01/31/1997 20,242 19,809 19,896 19,962
02/28/1997 20,317 19,882 19,961 20,007
03/31/1997 20,227 19,795 19,866 20,000
04/30/1997 20,466 20,028 20,092 20,163
05/31/1997 20,630 20,189 20,245 20,301
06/30/1997 20,784 20,340 20,388 20,440
07/31/1997 21,113 20,661 20,700 20,665
08/31/1997 21,094 20,643 20,671 20,684
09/30/1997 21,271 20,816 20,837 20,841
10/31/1997 21,420 20,962 20,976 20,996
11/30/1997 21,476 21,016 21,029 21,047
12/31/1997 21,632 21,170 21,176 21,191
01/31/1998 21,790 21,324 21,320 21,396
02/28/1998 21,858 21,390 21,378 21,415
03/31/1998 21,943 21,474 21,452 21,502
04/30/1998 22,055 21,583 21,553 21,603
05/31/1998 22,187 21,713 21,674 21,718
06/30/1998 22,234 21,759 21,709 21,831
07/31/1998 22,332 21,854 21,793 21,933
08/31/1998 22,412 21,933 21,863 22,209
09/30/1998 22,860 22,372 22,291 22,503
10/31/1998 22,817 22,329 22,240 22,613
11/30/1998 22,942 22,452 22,354 22,594
12/31/1998 23,075 22,582 22,472 22,673
01/31/1999 23,170 22,675 22,555 22,763
02/28/1999 23,040 22,548 22,420 22,652
03/31/1999 23,229 22,733 22,595 22,810
04/30/1999 23,343 22,844 22,694 22,883
05/31/1999 23,261 22,764 22,606 22,868
06/30/1999 23,266 22,769 22,599 22,940
07/31/1999 23,259 22,762 22,583 23,012
08/31/1999 23,266 22,769 22,581 23,079
09/30/1999 23,431 22,930 22,732 23,229
10/31/1999 23,520 23,017 22,809 23,291
11/30/1999 23,612 23,107 22,889 23,335
12/31/1999 23,647 23,142 22,914 23,368
01/31/2000 23,610 23,105 22,871 23,359
02/29/2000 23,772 23,264 23,020 23,515
03/31/2000 23,939 23,427 23,169 23,661
04/30/2000 23,984 23,472 23,204 23,722
05/31/2000 24,049 23,535 23,257 23,820
06/30/2000 24,331 23,810 23,520 24,067
07/31/2000 24,469 23,946 23,645 24,219
08/31/2000 24,733 24,205 23,891 24,398
09/30/2000 24,850 24,318 23,993 24,573
* 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 28 for
Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 29%
--------------------------------------------------------------------------------
1-5 years 58%
--------------------------------------------------------------------------------
5-10 years 13%
--------------------------------------------------------------------------------
Duration: 1.9 years
--------------------------------------------------------------------------------
Sector Breakdown
--------------------------------------------------------------------------------
Corporate Bonds & Notes 47.2%
--------------------------------------------------------------------------------
Mortgage-Backed Securities 33.2%
--------------------------------------------------------------------------------
U.S. Treasury Obligations 7.7%
--------------------------------------------------------------------------------
Other 11.9%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 40.8%
--------------------------------------------------------------------------------
AA 8.0%
--------------------------------------------------------------------------------
A 25.8%
--------------------------------------------------------------------------------
BBB 20.7%
--------------------------------------------------------------------------------
BB 4.2%
--------------------------------------------------------------------------------
B 0.5%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class A shares
returned 3.79%, underperforming the Merrill Lynch 1-3 Year Treasury Index, which
returned 3.85%. The Fund also outperformed its Lipper Average, which returned
3.71%. Over the longer term, the Fund continues to outperform both its Lipper
Average and its benchmark over the 5-, 10-year and since inception periods ended
September 30, 2000.
Over the past year six months, the Federal Reserve discontinued its
tightening policy by mid-summer as evidence surfaced that the U.S. economy was
slowing. Intermediate rates fell, causing the long end of the yield curve to
revert to a positive slope, amid optimism that rate fears are over. Oil prices
continue to rise to their highest levels in a decade raising fears about
accelerating inflation, but the Fed remained on hold due to continued signs of
slowing growth. Higher yielding mortgages, investment-grade corporates and
emerging market bonds outperformed Treasuries.
The Fund's position in high grade corporate debt enhanced performance over
the past six months as economic growth and corporate issuance continued to slow.
In addition, our allocation to mortgage-backed securities, especially AAA/AA
issues, benefited from Treasury scarcity and strong demand for high quality
short-term holdings. Selective emerging market investments contributed to
performance as fundamentals in a broad set of countries continued to improve.
The portfolio's above-index average duration (sensitivity to changes in
interest rates) over the past six months slightly helped returns as interest
rate fears subsided. A small weight in below-investment-grade securities and the
euro hurt performance due to cash outflows amid concerns about deteriorating
credit quality and a preference for dollars over euros as evidence of a global
slowdown made investors cautious.
We believe the economy will continue to slow moderately, but the central
bank will also refrain from easing to avoid igniting inflation in the stock and
housing markets. Growth should moderate worldwide due to recent monetary
tightening and higher oil prices. Inflation should creep slightly higher in the
face of wage pressures and escalating energy costs. An over-leveraged private
sector combined with public budget surpluses should continue to cause lower
quality corporate bonds to deteriorate.
Strategically, we expect to keep the duration of the Fund in line with the
benchmark due to the unlikely event of intermediate rates falling further. In
addition, we anticipate maintaining a broad maturity structure, with exposure to
both shorter- and longer-term instruments, in order to capture value across the
yield curve. Mortgage-backed securities will continue to be favored over
investment-grade corporate credits because of their higher quality and
attractive yields.
18
<PAGE>
September 30, 2000
PIMCO Money Market Fund
OBJECTIVE:
Maximum current income, consistent with preservation of capital and daily
liquidity.
PORTFOLIO:
Primarily money market instruments.
DURATION RANGE:
Less than or equal to 90 days
FUND INCEPTION DATE:
3/01/91
TOTAL NET ASSETS:
$355.3 million
PORTFOLIO MANAGER:
Leslie Barbi
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
A Shares B Shares C Shares Lipper Money Salomon
Market Fund 3 Mo. T-Bill
Average Index
--------------------------------------------------------------------------------
1 year 5.65% 4.74% 5.68% 5.89% 5.62%
3 years 5.07% 4.21% 5.12% 5.40% 5.15%
5 years 5.13% 4.25% 5.17% 5.38% 5.21%
Inception 4.55% 3.65% 4.57% -- --
Change in Value $10,000 invested at the
Fund's inception
[GRAPH]
PIMCO PIMCO PIMCO Salomon
Money Market Money Market Money Market 3-Month Treasury
A B C Bill Index
--------------------------------------------------------------------------------
02/28/1991 10,000 10,000 10,000 10,000
03/31/1991 10,048 10,041 10,048 10,052
04/30/1991 10,096 10,081 10,096 10,100
05/31/1991 10,146 10,122 10,146 10,149
06/30/1991 10,189 10,158 10,189 10,195
07/31/1991 10,234 10,196 10,234 10,244
08/31/1991 10,280 10,233 10,280 10,293
09/30/1991 10,322 10,267 10,322 10,338
10/31/1991 10,363 10,299 10,363 10,383
11/30/1991 10,402 10,330 10,402 10,425
12/31/1991 10,451 10,370 10,451 10,463
01/31/1992 10,485 10,396 10,485 10,500
02/29/1992 10,515 10,418 10,515 10,533
03/31/1992 10,546 10,441 10,546 10,568
04/30/1992 10,577 10,463 10,577 10,602
05/31/1992 10,606 10,484 10,606 10,637
06/30/1992 10,635 10,503 10,635 10,669
07/31/1992 10,664 10,523 10,664 10,701
08/31/1992 10,688 10,539 10,688 10,731
09/30/1992 10,712 10,554 10,712 10,758
10/31/1992 10,735 10,570 10,735 10,785
11/30/1992 10,758 10,584 10,758 10,812
12/31/1992 10,785 10,602 10,785 10,841
01/31/1993 10,806 10,615 10,806 10,870
02/28/1993 10,827 10,629 10,827 10,895
03/31/1993 10,852 10,645 10,852 10,922
04/30/1993 10,874 10,659 10,874 10,949
05/31/1993 10,893 10,671 10,893 10,976
06/30/1993 10,917 10,687 10,917 11,003
07/31/1993 10,940 10,701 10,940 11,032
08/31/1993 10,964 10,717 10,964 11,061
09/30/1993 10,987 10,730 10,987 11,088
10/31/1993 11,011 10,746 11,011 11,117
11/30/1993 11,036 10,762 11,036 11,145
12/31/1993 11,059 10,776 11,059 11,174
01/31/1994 11,083 10,791 11,083 11,203
02/28/1994 11,104 10,805 11,104 11,230
03/31/1994 11,130 10,821 11,130 11,261
04/30/1994 11,155 10,838 11,155 11,295
05/31/1994 11,186 10,860 11,186 11,332
06/30/1994 11,219 10,884 11,219 11,371
07/31/1994 11,253 10,908 11,253 11,412
08/31/1994 11,293 10,938 11,293 11,454
09/30/1994 11,330 10,966 11,330 11,497
10/31/1994 11,372 10,997 11,372 11,544
11/30/1994 11,417 11,032 11,417 11,592
12/31/1994 11,466 11,070 11,466 11,645
01/31/1995 11,520 11,113 11,520 11,699
02/28/1995 11,568 11,152 11,568 11,750
03/31/1995 11,620 11,195 11,620 11,808
04/30/1995 11,669 11,234 11,669 11,865
05/31/1995 11,726 11,281 11,726 11,923
06/30/1995 11,779 11,324 11,779 11,979
07/31/1995 11,832 11,366 11,832 12,036
08/31/1995 11,884 11,408 11,884 12,093
09/30/1995 11,933 11,445 11,933 12,147
10/31/1995 11,986 11,489 11,986 12,203
11/30/1995 12,073 11,562 12,073 12,257
12/31/1995 12,131 11,609 12,131 12,313
01/31/1996 12,184 11,650 12,184 12,369
02/29/1996 12,234 11,690 12,234 12,419
03/31/1996 12,283 11,729 12,283 12,472
04/30/1996 12,333 11,769 12,333 12,523
05/31/1996 12,389 11,812 12,389 12,577
06/30/1996 12,433 11,846 12,433 12,629
07/31/1996 12,484 11,885 12,484 12,684
08/31/1996 12,540 11,931 12,540 12,740
09/30/1996 12,588 11,966 12,588 12,794
10/31/1996 12,638 12,006 12,638 12,851
11/30/1996 12,689 12,044 12,689 12,905
12/31/1996 12,738 12,083 12,738 12,960
01/31/1997 12,791 12,124 12,791 13,016
02/28/1997 12,837 12,160 12,838 13,067
03/31/1997 12,885 12,199 12,887 13,124
04/30/1997 12,938 12,241 12,940 13,181
05/31/1997 12,995 12,286 12,998 13,239
06/30/1997 13,046 12,327 13,050 13,294
07/31/1997 13,101 12,368 13,105 13,351
08/31/1997 13,160 12,414 13,162 13,409
09/30/1997 13,211 12,455 13,215 13,465
10/31/1997 13,270 12,500 13,274 13,524
11/30/1997 13,321 12,540 13,326 13,581
12/31/1997 13,381 12,586 13,386 13,639
01/31/1998 13,438 12,632 13,444 13,699
02/28/1998 13,489 12,671 13,496 13,754
03/31/1998 13,543 12,722 13,551 13,815
04/30/1998 13,599 12,774 13,607 13,873
05/31/1998 13,656 12,827 13,666 13,932
06/30/1998 13,712 12,880 13,722 13,990
07/31/1998 13,770 12,934 13,782 14,048
08/31/1998 13,825 12,986 13,837 14,109
09/30/1998 13,881 13,039 13,894 14,167
10/31/1998 13,934 13,089 13,952 14,223
11/30/1998 13,987 13,138 14,004 14,276
12/31/1998 14,046 13,194 14,064 14,329
01/31/1999 14,094 13,238 14,112 14,382
02/28/1999 14,139 13,281 14,158 14,431
03/31/1999 14,188 13,327 14,209 14,485
04/30/1999 14,242 13,378 14,263 14,539
05/31/1999 14,290 13,423 14,312 14,594
06/30/1999 14,341 13,470 14,362 14,648
07/31/1999 14,396 13,523 14,418 14,705
08/31/1999 14,450 13,573 14,473 14,764
09/30/1999 14,506 13,626 14,529 14,822
10/31/1999 14,566 13,682 14,589 14,883
11/30/1999 14,624 13,736 14,647 14,942
12/31/1999 14,694 13,802 14,717 15,006
01/31/2000 14,754 13,859 14,779 15,072
02/29/2000 14,815 13,916 14,841 15,137
03/31/2000 14,886 13,983 14,914 15,208
04/30/2000 14,947 14,040 14,975 15,280
05/31/2000 15,017 14,106 15,046 15,355
06/30/2000 15,095 14,179 15,124 15,427
07/31/2000 15,168 14,247 15,196 15,501
08/31/2000 15,247 14,321 15,277 15,578
09/30/2000 15,324 14,394 15,355 15,656
* 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.
We will no longer compare the Fund to the Lipper Money Market Index since the
Lipper Money Market Index is not a Money Market Index. See page 28 for
Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 100%
--------------------------------------------------------------------------------
Duration: 47.5 days
--------------------------------------------------------------------------------
Sector Breakdown
--------------------------------------------------------------------------------
Short-Term Instruments 58.3%
--------------------------------------------------------------------------------
Corporate Bonds & Notes 41.7%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 38.3%
--------------------------------------------------------------------------------
AA 59.5%
--------------------------------------------------------------------------------
A 2.2%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
PIMCO Money Market Fund seeks current income consistent with capital
preservation and liquidity through investment in short-term, fixed-income
securities.
The Money Market Fund's Class A shares returned 2.95% for the six-months
ended September 30, 2000, slightly outperforming its benchmark, the Salomon
3-Month T-Bill Index, which returned 2.94% for the period. The average coupon
for the Fund's Class A shares was 6.58% as of September 30, 2000.
The Fund, which has an AA+ money market fund rating by Moody's 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 and short maturity corporates narrowed, boosting relative performance.
Looking ahead, the Fund's manager expects to continue to emphasize liquid,
high-quality commercial paper, which offer higher yields than Treasuries with
minimal additional risk. High-quality, short-maturity corporates will also
maintain their allocation within the portfolio in an attempt to improve
portfolio yield while minimizing interest rate and credit risk. In addition, the
manager anticipates continuing to have an average maturity of 45 days, as the
additional yield obtained from holding longer maturities does not warrant the
extra risk.
19
<PAGE>
PIMCO Municipal Bond Fund
OBJECTIVE:
High current income exempt from federal income tax, consistent with preservation
of capital.
PORTFOLIO:
Investment grade municipal bonds.
DURATION RANGE:
3-10 years
FUND INCEPTION DATE:
12/31/97
TOTAL NET ASSETS:
$56.2 million
PORTFOLIO MANAGER:
Mark McCray
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Return For periods ended 9/30/00
A Shares B Shares C Shares
Lipper Gen. Muni. Lehman Bros. Gen.
Adjusted Adjusted Adjusted Debt. Fund Avg. Muni. Bond Index
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 5.41% 2.25% 4.63% -0.37% -3.90% 4.74% 6.18%
Inception 2.93% 1.80% 2.16% 1.14% 2.42% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO PIMCO PIMCO Lehman Brothers
Municipal Bond Municipal Bond Municipal Bond General Municipal
A B C Bond Index
--------------------------------------------------------------------------------
12/31/1997 9,700 10,000 10,000 10,000
01/31/1998 9,812 10,108 10,110 10,103
02/28/1998 9,763 10,052 10,056 10,106
03/31/1998 9,768 10,051 10,057 10,115
04/30/1998 9,700 9,976 9,984 10,070
05/31/1998 9,890 10,164 10,174 10,229
06/30/1998 9,921 10,188 10,201 10,269
07/31/1998 9,928 10,189 10,205 10,294
08/31/1998 10,109 10,369 10,388 10,454
09/30/1998 10,242 10,499 10,520 10,585
10/31/1998 10,218 10,467 10,491 10,585
11/30/1998 10,242 10,485 10,511 10,622
12/31/1998 10,251 10,487 10,516 10,648
01/31/1999 10,384 10,617 10,648 10,775
02/28/1999 10,316 10,541 10,572 10,727
03/31/1999 10,322 10,541 10,575 10,742
04/30/1999 10,338 10,551 10,587 10,769
05/31/1999 10,260 10,465 10,503 10,707
06/30/1999 10,070 10,264 10,303 10,553
07/31/1999 10,088 10,275 10,316 10,591
08/31/1999 9,979 10,158 10,201 10,506
09/30/1999 9,963 10,136 10,180 10,510
10/31/1999 9,833 9,997 10,043 10,397
11/30/1999 9,932 10,092 10,140 10,507
12/31/1999 9,837 9,988 10,039 10,428
01/31/2000 9,778 9,922 9,975 10,383
02/29/2000 9,878 10,018 10,074 10,504
03/31/2000 10,101 10,237 10,295 10,734
04/30/2000 10,049 10,178 10,239 10,670
05/31/2000 10,002 10,124 10,186 10,615
06/30/2000 10,227 10,345 10,411 10,896
07/31/2000 10,351 10,464 10,533 11,048
08/31/2000 10,512 10,621 10,693 11,218
09/30/2000 10,503 10,316 10,679 11,159
* 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 28 for
Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 3%
--------------------------------------------------------------------------------
1-5 years 24%
--------------------------------------------------------------------------------
5-10 years 31%
--------------------------------------------------------------------------------
10-20 years 27%
--------------------------------------------------------------------------------
20-30 years 15%
--------------------------------------------------------------------------------
Duration: 7.3 years
--------------------------------------------------------------------------------
Regional Breakdown
--------------------------------------------------------------------------------
California 15.9%
--------------------------------------------------------------------------------
New Jersey 10.2%
--------------------------------------------------------------------------------
New York 9.8%
--------------------------------------------------------------------------------
Texas 7.1%
--------------------------------------------------------------------------------
Colorado 7.0%
--------------------------------------------------------------------------------
Utah 6.8%
--------------------------------------------------------------------------------
Massachusetts 6.8%
--------------------------------------------------------------------------------
Arizona 6.4%
--------------------------------------------------------------------------------
Other States 30.0%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 38.8%
--------------------------------------------------------------------------------
AA 16.7%
--------------------------------------------------------------------------------
A 18.9%
--------------------------------------------------------------------------------
BBB 15.8%
--------------------------------------------------------------------------------
BB 9.8%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class A shares
returned 3.98%, outperforming the Lipper Average, which returned 3.39%. Over the
same time period, the Fund just about matched the performance of its benchmark,
the Lehman General Municipal Index, which returned 3.97%. Looking longer term,
the Fund outperformed its Lipper Average over the 1-year and since inception
periods ended September 30, 2000.
The Federal Reserve lifted short-term interest rates by 50 basis points at
their May meeting, bringing its total tightening tally for this cycle to six, as
concern remained that inflationary pressures were building. Supporting the
concern, oil prices surged to their highest level in a decade. But the
cumulative impact of 175 basis points of tightening began to slow the economy,
as signs emerged that consumer and investment spending was slowing and that the
housing sector was cooling.
Municipal bonds, supported by strong surpluses at the state and local
level, rallied along with other higher quality sectors of the bond market, such
as Treasuries and mortgage-backed securities. In fact, on a tax-adjusted basis
municipal bonds actually modestly outperformed broad investment-grade taxable
debt sectors during the third quarter.
Our overweight position in intermediate-maturity municipal bonds boosted
returns as these yields fell the most during the period. Holdings of bonds
priced at a discount by the market also improved returns as these issues had
superior price performance as the overall municipal market rallied. In
particular, the Fund's allocations to specific issues within the hospital and
housing sectors enhanced performance. However, our conservative below-benchmark
duration exposure during the third quarter held back relative performance.
Looking ahead, we expect growth will continue to moderate worldwide. We
also expect inflation to creep higher in the face of continued wage pressures
and escalating energy costs. More Fed tightening is unlikely now that U.S.
growth is slowing, but the central bank will also refrain from easing to avoid
igniting inflation. A focus on quality will continue to be critical for superior
performance as credit deterioration continues.
As a result, we anticipate continuing our high quality focus, targeting an
average credit quality of AA. We expect to maintain an overweight position in
intermediate maturities because they currently offer yields close to those of
longer maturities with less interest rate risk. Duration may be moved closer to
the benchmark as we expect municipal yields to remain relatively stable in the
near term.
20
<PAGE>
September 30, 2000
PIMCO NY Municipal Bond Fund
OBJECTIVE:
Seek high current income exempt from federal and New York income tax. Capital
appreciation is a secondary objective.
PORTFOLIO:
Primarily intermediate maturity municipal securities (exempt from federal and
New York income tax).
DURATION RANGE:
3-12 years
FUND INCEPTION DATE:
8/31/99
TOTAL NET ASSETS:
$3.2 million
PORTFOLIO MANAGER:
Mark McCray
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
<TABLE>
<CAPTION>
A Shares Lipper New York Lehman Bros. Lehman Bros.
Interm. Muni N.Y. Insured Interm. N.Y.
Debt Fund Muni. Insured
Adjust Average Bond Index Muni. Bond Index
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1 year 6.18% 2.99% 5.22% 6.79% 5.79%
Inception 6.06% 3.11% -- -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO Lehman Brothers Lehman Brothers
NY Municipal Bond Intermediate NY Insured NY Insured
A Municipal Bond Municipal Bond
Index Index
--------------------------------------------------------------------------------
08/31/1999 9,700 10,000 10,000
09/30/1999 9,735 10,031 9,987
10/31/1999 9,655 9,983 9,848
11/30/1999 9,740 10,062 9,986
12/31/1999 9,701 10,019 9,883
01/31/2000 9,653 9,983 9,826
02/29/2000 9,712 10,037 9,973
03/31/2000 9,866 10,183 10,227
04/30/2000 9,807 10,146 10,128
05/31/2000 9,770 10,116 10,080
06/30/2000 10,006 10,363 10,407
07/31/2000 10,117 10,499 10,545
08/31/2000 10,321 10,652 10,731
09/30/2000 10,337 10,612 10,665
* 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
10/31/99) 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 October 1999. Income from the Fund may be subject to state and
local taxes and (if applicable) the Alternative Minimum Tax. We will no longer
compare the Fund to the Lehman Brothers Intermediate New York Insured
Municipal Bond Index since the Lehman Brothers Intermediate New York Insured
Municipal Bond Index is not a comparable New York Municipal index. See page 28
for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 25%
--------------------------------------------------------------------------------
1-5 years 10%
--------------------------------------------------------------------------------
5-10 years 49%
--------------------------------------------------------------------------------
10-20 years 13%
--------------------------------------------------------------------------------
20-30 years 3%
--------------------------------------------------------------------------------
Duration: 4.5 years
--------------------------------------------------------------------------------
Regional Breakdown
--------------------------------------------------------------------------------
New York 98.6%
--------------------------------------------------------------------------------
Other 1.4%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 70.5%
--------------------------------------------------------------------------------
AA 14.0%
--------------------------------------------------------------------------------
A 10.8%
--------------------------------------------------------------------------------
BBB 4.7%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class A shares
returned 4.77%, outperforming the Lipper Average, which returned 3.58%. Over the
same time period, the Fund slightly outperformed its benchmark, the Lehman New
York Insured Municipal Index, which returned 4.29%. Looking longer term, the
Fund outperformed the Lipper Average over the one-year and since inception
periods ended September 30, 2000.
The Federal Reserve lifted short-term interest rates by 50 basis points at
their May meeting, bringing its total tightening tally for this cycle to six, as
concern remained that inflationary pressures were building. Supporting this
concern, oil prices surged to their highest level in a decade. But the
cumulative impact of 175 basis points of tightening began to slow the economy,
as signs emerged that consumer and investment spending was slowing and that the
housing sector was cooling.
New York municipal bonds rallied along with those in other higher quality
areas of the bond market as strong retail demand and reduced new issuance
propelled yields lower.
Our overweight position in intermediate-maturity New York issues boosted
returns as yields in this area of the curve decreased the most due to strong
retail demand. Portfolio yield was also enhanced through the use of non-insured,
higher quality revenue and local general obligation bonds. The Fund's duration
generally was kept below that of the benchmark, which detracted from relative
returns as long-maturity municipal yields also fell over the past six months.
Looking ahead, we expect growth will continue to moderate worldwide. We
also expect inflation to creep higher in the face of continued wage pressures
and escalating energy costs. More Fed tightening is unlikely now that U.S.
growth is slowing, but the central bank will also refrain from easing to avoid
igniting inflation. A focus on quality will continue to be critical for superior
performance as credit deterioration continues.
As a result, we anticipate continuing our high quality focus, targeting an
average credit quality of AAA and limiting below-investment-grade exposure to a
very small allocation where we see value. We expect to maintain an overweight
position in intermediate maturities, which offer compelling value today and
retail demand in this area should be strong. Duration may be moved closer to the
benchmark as we expect municipal yields to remain relatively stable in the near
term.
21
<PAGE>
PIMCO Real Return Bond Fund
September 30, 2000
OBJECTIVE:
Maximum real return, consistent with preservation of real capital and prudent
investment management.
PORTFOLIO:
Primarily inflation-indexed bonds.
FUND INCEPTION DATE:
1/29/97
TOTAL NET ASSETS:
$537.9 million
PORTFOLIO MANAGER:
John Brynjolfsson
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
<TABLE>
<CAPTION>
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 9.59% 6.30% 8.79% 3.79% 8.05% 5.68% 9.05%
3 years 6.84% 5.76% 6.07% 5.17% 6.32% 4.88% 5.49%
Inception 6.27% 5.39% 5.50% 4.79% 5.74% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO Lehman Brothers
Real Return Bond Real Return Bond Real Return Bond Inflation Linked
A B C Treasury 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 11,111 11,178 10,896
10/31/1999 11,007 11,122 11,191 10,918
11/30/1999 11,088 11,198 11,269 10,984
12/31/1999 11,021 11,122 11,195 10,896
01/31/2000 11,084 11,178 11,254 10,945
02/29/2000 11,161 11,250 11,329 11,047
03/31/2000 11,494 11,578 11,662 11,369
04/30/2000 11,636 11,715 11,802 11,520
05/31/2000 11,600 11,672 11,760 11,490
06/30/2000 11,751 11,816 11,909 11,635
07/31/2000 11,840 11,899 11,994 11,734
08/31/2000 11,949 12,000 12,099 11,821
09/30/2000 12,044 11,795 12,189 11,883
</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 28 for Footnotes,
which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1-5 years 0%
--------------------------------------------------------------------------------
5-10 years 73%
--------------------------------------------------------------------------------
10-20 years 5%
--------------------------------------------------------------------------------
20-30 years 22%
--------------------------------------------------------------------------------
Duration: 2.0 years
--------------------------------------------------------------------------------
Sector Breakdown
--------------------------------------------------------------------------------
U.S. Treasury Obligations 62.4%
--------------------------------------------------------------------------------
Corporate Bonds & Notes 24.3%
--------------------------------------------------------------------------------
Short-Term Instruments 6.7%
--------------------------------------------------------------------------------
Other 6.6%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 68.5%
--------------------------------------------------------------------------------
AA 5.3%
--------------------------------------------------------------------------------
A 12.2%
--------------------------------------------------------------------------------
BBB 10.9%
--------------------------------------------------------------------------------
BB 2.6%
--------------------------------------------------------------------------------
B 0.5%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class A shares
returned 4.78%, outperforming the Lipper Average, which returned 3.63%, and the
benchmark, the Lehman Inflation-Linked Index, which returned 4.52%. Looking
longer term, the Fund outperformed both the Lipper Average and the benchmark
over the 1-, 3-year and since inception periods ended September 30, 2000.
The Federal Reserve lifted short-term interest rates by 50 basis points at
their May meeting, bringing its total tightening tally for this cycle to six, as
concern remained that inflationary pressures were building. Supporting the
concern, oil prices surged to their highest level in a decade. But the
cumulative impact of 175 basis points of tightening began to slow the economy,
as signs emerged that consumer and investment spending was slowing and that the
housing sector was cooling. In this environment, Treasury Inflation Protected
Securities performed well as investors looked for a hedge against higher prices.
The Fund's continued concentration in Treasury Inflation Protection
Securities (TIPS) boosted returns over the past six months as these securities
outperformed other bonds due to mounting inflation fears. A modest above
benchmark duration improved results as real yield fell across short and
intermediate maturities. An overweighting in intermediate real return bonds
enhanced returns as these yields dropped while long-term real yields rose.
Looking ahead, we expect growth will continue to moderate worldwide. We
also expect inflation to creep higher in the face of continued wage pressures
and escalating energy costs. More Fed tightening is unlikely now that U.S.
growth is slowing, but the central bank will also refrain from easing to avoid
igniting inflation. As a result, real return bonds continue to remain
attractive, as they will benefit from slower growth and higher inflation
adjustments.
We anticipate continuing to emphasize TIPS as their real yield ranks highly
among entire fixed income market. The effective duration of the Fund will be
targeted modestly above the benchmark, and intermediate maturities may be
slightly overweighted to take advantage of higher real yields and inflation
adjustments.
22
<PAGE>
PIMCO Short-Term Fund
September 30, 2000
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:
$690.9 million
PORTFOLIO MANAGER:
Paul McCulley
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Ultra- Salomon
Short Oblig. 3 Mo. T Bill
Adjusted Adjusted Adjusted Fund Avg. Index
---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 6.12% 4.00% 5.34% 0.34% 4.80% 6.02% 5.62%
5 years 6.02% 5.59% 5.27% 4.94% 5.71% 5.61% 5.21%
10 years 5.47% 5.26% 4.93% 4.93% 5.16% 5.47% 4.89%
Inception 6.01% 5.85% 5.58% 5.58% 5.70% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO PIMCO PIMCO Salomon
Short-Term Short-Term Short-Term 3-Month Treasury
A B C Bill Index
--------------------------------------------------------------------------------
10/31/1987 9,800 10,000 10,000 10,000
11/30/1987 9,855 10,049 10,053 10,051
12/31/1987 9,912 10,100 10,108 10,099
01/31/1988 9,976 10,160 10,172 10,148
02/29/1988 10,015 10,193 10,209 10,194
03/31/1988 10,067 10,240 10,260 10,244
04/30/1988 10,120 10,287 10,311 10,294
05/31/1988 10,173 10,336 10,364 10,347
06/30/1988 10,228 10,385 10,416 10,401
07/31/1988 10,277 10,429 10,464 10,460
08/31/1988 10,340 10,486 10,526 10,520
09/30/1988 10,405 10,546 10,589 10,583
10/31/1988 10,494 10,628 10,676 10,648
11/30/1988 10,561 10,690 10,742 10,715
12/31/1988 10,620 10,743 10,799 10,785
01/31/1989 10,693 10,811 10,871 10,858
02/28/1989 10,766 10,878 10,943 10,934
03/31/1989 10,858 10,963 11,033 11,013
04/30/1989 10,937 11,036 11,111 11,095
05/31/1989 11,033 11,127 11,207 11,179
06/30/1989 11,114 11,201 11,285 11,257
07/31/1989 11,205 11,286 11,374 11,336
08/31/1989 11,262 11,335 11,429 11,413
09/30/1989 11,336 11,403 11,502 11,487
10/31/1989 11,439 11,500 11,603 11,565
11/30/1989 11,513 11,567 11,675 11,640
12/31/1989 11,576 11,623 11,737 11,717
01/31/1990 11,629 11,670 11,789 11,794
02/28/1990 11,698 11,732 11,855 11,865
03/31/1990 11,773 11,800 11,927 11,945
04/30/1990 11,819 11,839 11,970 12,022
05/31/1990 11,927 11,941 12,078 12,104
06/30/1990 12,002 12,009 12,150 12,183
07/31/1990 12,083 12,082 12,228 12,263
08/31/1990 12,144 12,136 12,288 12,343
09/30/1990 12,223 12,207 12,364 12,418
10/31/1990 12,314 12,288 12,452 12,495
11/30/1990 12,410 12,377 12,545 12,569
12/31/1990 12,507 12,466 12,641 12,650
01/31/1991 12,594 12,545 12,725 12,723
02/28/1991 12,660 12,604 12,789 12,785
03/31/1991 12,715 12,651 12,842 12,851
04/30/1991 12,792 12,720 12,915 12,913
05/31/1991 12,861 12,781 12,982 12,975
06/30/1991 12,906 12,818 13,025 13,035
07/31/1991 12,979 12,883 13,096 13,097
08/31/1991 13,060 12,955 13,174 13,159
09/30/1991 13,129 13,016 13,239 13,217
10/31/1991 13,203 13,081 13,311 13,275
11/30/1991 13,233 13,104 13,339 13,328
12/31/1991 13,285 13,147 13,388 13,377
01/31/1992 13,332 13,186 13,432 13,424
02/29/1992 13,358 13,203 13,454 13,466
03/31/1992 13,380 13,218 13,474 13,512
04/30/1992 13,434 13,263 13,525 13,555
05/31/1992 13,473 13,293 13,562 13,600
06/30/1992 13,524 13,336 13,611 13,640
07/31/1992 13,578 13,380 13,661 13,681
08/31/1992 13,611 13,404 13,690 13,720
09/30/1992 13,645 13,430 13,720 13,754
10/31/1992 13,657 13,434 13,729 13,788
11/30/1992 13,672 13,440 13,740 13,823
12/31/1992 13,710 13,470 13,775 13,860
01/31/1993 13,754 13,505 13,816 13,897
02/28/1993 13,789 13,531 13,848 13,929
03/31/1993 13,851 13,582 13,906 13,964
04/30/1993 13,896 13,619 13,949 13,998
05/31/1993 13,949 13,662 13,999 14,033
06/30/1993 14,004 13,706 14,050 14,068
07/31/1993 14,053 13,746 14,095 14,104
08/31/1993 14,088 13,772 14,126 14,141
09/30/1993 14,122 13,797 14,157 14,176
10/31/1993 14,170 13,835 14,201 14,213
11/30/1993 14,221 13,877 14,249 14,249
12/31/1993 14,286 13,932 14,310 14,286
01/31/1994 14,309 13,946 14,330 14,323
02/28/1994 14,323 13,953 14,342 14,357
03/31/1994 14,299 13,920 14,313 14,398
04/30/1994 14,320 13,932 14,332 14,441
05/31/1994 14,329 13,931 14,336 14,488
06/30/1994 14,393 13,985 14,398 14,538
07/31/1994 14,460 14,041 14,461 14,590
08/31/1994 14,515 14,086 14,513 14,644
09/30/1994 14,529 14,092 14,525 14,698
10/31/1994 14,565 14,127 14,558 14,758
11/30/1994 14,576 14,137 14,565 14,820
12/31/1994 14,637 14,196 14,624 14,889
01/31/1995 14,708 14,266 14,691 14,957
02/28/1995 14,842 14,395 14,822 15,023
03/31/1995 14,873 14,426 14,848 15,097
04/30/1995 15,031 14,579 15,003 15,169
05/31/1995 15,181 14,724 15,148 15,243
06/30/1995 15,230 14,771 15,194 15,315
07/31/1995 15,321 14,860 15,280 15,388
08/31/1995 15,390 14,927 15,346 15,461
09/30/1995 15,533 15,066 15,484 15,530
10/31/1995 15,644 15,173 15,589 15,602
11/30/1995 15,788 15,312 15,728 15,670
12/31/1995 15,920 15,441 15,857 15,743
01/31/1996 15,995 15,514 15,927 15,813
02/29/1996 16,022 15,540 15,951 15,878
03/31/1996 16,072 15,588 15,997 15,945
04/30/1996 16,146 15,660 16,067 16,010
05/31/1996 16,228 15,740 16,146 16,079
06/30/1996 16,316 15,825 16,230 16,147
07/31/1996 16,362 15,869 16,271 16,216
08/31/1996 16,463 15,967 16,368 16,287
09/30/1996 16,619 16,119 16,521 16,357
10/31/1996 16,751 16,246 16,648 16,429
11/30/1996 16,900 16,391 16,793 16,498
12/31/1996 16,964 16,453 16,851 16,569
01/31/1997 17,064 16,550 16,946 16,641
02/28/1997 17,138 16,622 17,015 16,706
03/31/1997 17,144 16,628 17,020 16,779
04/30/1997 17,240 16,721 17,112 16,851
05/31/1997 17,363 16,840 17,230 16,925
06/30/1997 17,477 16,951 17,337 16,996
07/31/1997 17,612 17,082 17,467 17,070
08/31/1997 17,663 17,131 17,514 17,143
09/30/1997 17,780 17,244 17,626 17,215
10/31/1997 17,819 17,282 17,662 17,291
11/30/1997 17,895 17,357 17,736 17,363
12/31/1997 17,994 17,452 17,828 17,438
01/31/1998 18,098 17,553 17,928 17,515
02/28/1998 18,160 17,613 17,985 17,585
03/31/1998 18,280 17,729 18,100 17,662
04/30/1998 18,362 17,809 18,178 17,736
05/31/1998 18,443 17,887 18,255 17,813
06/30/1998 18,505 17,948 18,311 17,886
07/31/1998 18,614 18,054 18,414 17,961
08/31/1998 18,620 18,059 18,416 18,038
09/30/1998 18,743 18,179 18,532 18,112
10/31/1998 18,812 18,246 18,595 18,184
11/30/1998 18,874 18,306 18,652 18,252
12/31/1998 18,952 18,381 18,725 18,319
01/31/1999 19,024 18,451 18,792 18,387
02/28/1999 19,100 18,525 18,862 18,449
03/31/1999 19,234 18,654 18,990 18,520
04/30/1999 19,320 18,738 19,072 18,588
05/31/1999 19,322 18,740 19,070 18,659
06/30/1999 19,388 18,804 19,131 18,728
07/31/1999 19,454 18,868 19,190 18,801
08/31/1999 19,516 18,928 19,246 18,876
09/30/1999 19,602 19,012 19,325 18,950
10/31/1999 19,694 19,101 19,410 19,027
11/30/1999 19,786 19,191 19,495 19,103
12/31/1999 19,864 19,266 19,567 19,186
01/31/2000 19,917 19,318 19,620 19,270
02/29/2000 20,021 19,418 19,712 19,353
03/31/2000 20,149 19,542 19,833 19,444
04/30/2000 20,221 19,613 19,900 19,535
05/31/2000 20,329 19,717 20,002 19,631
06/30/2000 20,453 19,837 20,118 19,723
07/31/2000 20,557 19,938 20,216 19,818
08/31/2000 20,684 20,062 20,335 19,916
09/30/2000 20,802 20,176 20,447 20,016
*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 28 for Footnotes,
which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 80%
--------------------------------------------------------------------------------
1-5 years 18%
--------------------------------------------------------------------------------
5-10 years 1%
--------------------------------------------------------------------------------
10-20 years 1%
--------------------------------------------------------------------------------
Duration: 0.4 years
--------------------------------------------------------------------------------
Sector Breakdown
--------------------------------------------------------------------------------
Corporate Bonds & Notes 51.9%
--------------------------------------------------------------------------------
Mortgage-Backed Securities 18.7%
--------------------------------------------------------------------------------
U.S. Government Agencies 8.3%
--------------------------------------------------------------------------------
Asset-Backed Securities 8.2%
--------------------------------------------------------------------------------
Short-Term Instruments 6.4%
--------------------------------------------------------------------------------
Other 6.5%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 39.8%
--------------------------------------------------------------------------------
AA 11.0%
--------------------------------------------------------------------------------
A 16.6%
--------------------------------------------------------------------------------
BBB 29.3%
--------------------------------------------------------------------------------
BB 2.9%
--------------------------------------------------------------------------------
B 0.4%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class A shares
returned 3.25%, outperforming the Salomon 3-Month Treasury Bill Index, which
returned 2.94%. The Fund, however, slightly underperformed the Lipper
Ultra-Short Obligations Fund Average, which returned 3.32%.
Over the past six months, the Federal Reserve (Fed) discontinued its
tightening policy as evidence surfaced that the U.S. economy was slowing.
Intermediate rates fell, causing the long end of the yield curve to revert to a
positive slope, amid optimism that further rate increases are over. Oil prices
continued to rise to their highest levels in a decade raising fears about
accelerating inflation, but the Fed remained on hold due to continued signs of
slowing growth. Higher-yielding mortgages, investment-grade corporates and
emerging market bonds outperformed Treasuries.
The Fund's above-average duration and maturity had a slightly negative
impact on returns as short-term Treasury yields rose.
An emphasis on mortgages enhanced performance as their attractive yields
coupled with good credit quality drove prices up. Investors are becoming more
risk adverse preferring higher quality and short-term instruments over higher
yielding and lower quality bonds. Recently, our concentration in GNMAs played
well with investor demand, as they are U.S. government guaranteed. The Fund's
allocation to Treasury Inflation Protection Securities aided returns as these
bonds outperformed their conventional Treasury counterparts.
We believe that growth should moderate worldwide due to recent monetary
tightening and higher oil prices. Inflation should creep higher in the face of
wage pressures and escalating energy costs. Fed tightening is unlikely now that
U.S. growth is slowing, but the central bank should also refrain from easing to
avoid igniting inflation in the stock and housing markets. In our opinion, we
will focus on quality for superior performance, as credit deterioration should
continue amid slower growth. An over-leveraged private sector combined with
public budget surpluses should continue to put pressure on lower quality
corporate bonds.
We are targeting the Funds duration slightly above the benchmark to capture
incremental yield from mortgage and high quality corporate issues. We will
continue to emphasize mortgages, where credit risk is minimal and yield premiums
remain attractive. Within emerging markets, we remain cautious as global growth
cools, concentrating on liquid and top-tier credits. Real return bonds are still
attractive as moderating growth and a neutral Fed put downward pressure on real
yields.
Given this outlook, strategies that enhance yield remain key to
performance. We expect to continue to favor asset-backed securities, especially
AAA/AA issues, which will benefit from Treasury scarcity and strong demand for
high quality short-term holdings.
23
<PAGE>
PIMCO StocksPLUS Fund
September 30, 2000
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
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper
Large-Cap Core S&P 500
Adjusted Adjusted Fund Average Index
---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 12.64% 9.26% 11.78% 7.06% 11.13% 17.80% 13.28%
3 years 15.57% 14.41% 14.72% 14.00% 15.03% 15.85% 16.44%
5 years 21.08% 20.34% 20.19% 19.99% 20.49% 19.84% 21.69%
Inception 19.84% 19.35% 18.99% 18.99% 19.25% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO PIMCO PIMCO S&P 500
StocksPLUS StocksPLUS StocksPLUS Index
A B 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
10/31/1999 33,990 33,398 33,958 34,663
11/30/1999 34,534 33,889 34,481 35,367
12/31/1999 36,488 35,807 36,422 37,451
01/31/2000 34,620 33,935 34,525 35,570
02/29/2000 34,066 33,361 33,972 34,896
03/31/2000 37,248 36,470 37,115 38,310
04/30/2000 36,082 35,322 35,949 37,157
05/31/2000 35,339 34,537 35,180 36,394
06/30/2000 36,187 35,370 36,042 37,292
07/31/2000 35,706 34,899 35,534 36,708
08/31/2000 38,084 37,224 37,882 38,988
09/30/2000 35,989 35,176 35,795 36,930
*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 28 for Footnotes,
which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1-5 years 93%
--------------------------------------------------------------------------------
5-10 years 7%
--------------------------------------------------------------------------------
Duration: 0.1 years
--------------------------------------------------------------------------------
Sector Breakdown
--------------------------------------------------------------------------------
Corporate Bonds & Notes 42.6%
--------------------------------------------------------------------------------
Mortgage-Backed Securities 21.7%
--------------------------------------------------------------------------------
Short-Term Instruments 8.7%
--------------------------------------------------------------------------------
U.S. Treasury Obligations 8.3%
--------------------------------------------------------------------------------
Asset-Backed Securities 7.4%
--------------------------------------------------------------------------------
Sovereign Issues 5.8%
--------------------------------------------------------------------------------
Other 5.5%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 39.7%
--------------------------------------------------------------------------------
AA 6.2%
--------------------------------------------------------------------------------
A 13.8%
--------------------------------------------------------------------------------
BBB 30.9%
--------------------------------------------------------------------------------
BB 4.8%
--------------------------------------------------------------------------------
B 4.6%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
StocksPLUS is an 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, 2000, the Fund's Class A
shares returned -3.38%, outperforming the S&P 500, which returned -3.60%. The
Fund performed in line with its Lipper Average. Longer term, the Fund has
outperformed the Lipper Average over the 5-year and since inception periods
ended September 30, 2000. Since inception the Fund has met its objective of
outperforming the S&P 500.
Over the past six months intermediate maturity Treasuries rallied as yields
on two-, five- and 10-year notes fell from their earlier levels. As a result,
the long-portion of the yield curve reverted to a positive slope for the first
time since mid-January. This disinversion came amid shifting market sentiment
about the economy, Federal reserve policy and the U.S. budget surplus. Earlier
in the period the Fed concluded their tightening policy with their sixth
interest rate increase, but have recently left the fed funds rate unchanged as
signs of a cooling economy increased.
Investment grade corporate holdings boosted returns as credit premiums
narrowed. Mortgage-backed securities also added to the Fund's outperformance due
to relatively high yields and low market volatility. A small position within
emerging market bonds helped returns as stronger economies and debt
restructuring brought dividend yields lower.
We believe global growth will moderate in response to recent monetary
tightening by central banks in the U.S., Europe and Japan and the highest oil
prices in a decade. We expect inflation to rise as these increased energy prices
filter through economies worldwide. The Feds' recent tightening cycle is likely
over not that economic growth is cooling, and despite this slowdown, they will
remain on the sidelines instead of moving to an easing trend.
Given this outlook, strategies that enhance yield remain key to
performance. We will look to extend duration as near term risks tilt toward
slower-than-expected growth and lower rates. Our emphasis will remain on
mortgage-backed securities because of superior credit quality and relatively
higher yields, but we will selectively take advantage of wide yield premiums on
short-maturity, higher-rated corporate issues.
24
<PAGE>
PIMCO Strategic Balanced Fund
September 30, 2000
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:
$80.6 million
PORTFOLIO MANAGER:
Bill Gross
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
<TABLE>
<CAPTION>
A Shares B Shares C Shares
Lipper Bal. 60% S&P 500 S&P 500
Adjusted Adjusted Adjusted Fund Avg. 40% LBAG Index
------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 year 8.30% 3.43% 7.39% 2.53% 6.46% 11.31% 11.05% 13.28%
3 years 10.67% 8.98% 9.85% 9.02% 9.81% 8.96% 12.53% 16.44%
Inception 14.75% 13.52% 13.91% 13.60% 13.87% -- -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO 60% S&P 500 S&P 500
Strategic Balanced Strategic Balanced Strategic Balanced 40% Lehman Brothers Index
A B C Aggregate Bond
Index
--------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
06/30/1996 9,550 10,000 10,000 10,000 10,000
07/31/1996 9,289 9,720 9,720 9,746 9,558
08/31/1996 9,430 9,860 9,860 9,863 9,760
09/30/1996 9,875 10,319 10,319 10,264 10,309
10/31/1996 10,148 10,598 10,598 10,525 10,593
11/30/1996 10,707 11,176 11,176 11,075 11,394
12/31/1996 10,506 10,959 10,959 10,902 11,168
01/31/1997 10,944 11,409 11,409 11,324 11,866
02/28/1997 11,002 11,463 11,463 11,388 11,959
03/31/1997 10,648 11,087 11,087 11,057 11,468
04/30/1997 11,129 11,581 11,581 11,520 12,152
05/31/1997 11,589 12,053 12,053 11,984 12,892
06/30/1997 11,939 12,410 12,410 12,363 13,470
07/31/1997 12,666 13,157 13,157 13,086 14,542
08/31/1997 12,212 12,678 12,678 12,602 13,727
09/30/1997 12,657 13,130 13,130 13,090 14,479
10/31/1997 12,473 12,932 12,932 12,904 13,995
11/30/1997 12,795 13,258 13,258 13,286 14,643
12/31/1997 12,995 13,457 13,457 13,477 14,895
01/31/1998 13,169 13,628 13,628 13,635 15,059
02/28/1998 13,688 14,158 14,158 14,221 16,145
03/31/1998 14,150 14,626 14,626 14,678 16,972
04/30/1998 14,269 14,740 14,740 14,797 17,143
05/31/1998 14,118 14,575 14,575 14,700 16,848
06/30/1998 14,522 14,983 14,983 15,109 17,533
07/31/1998 14,438 14,888 14,888 15,025 17,346
08/31/1998 13,075 13,473 13,473 13,819 14,838
09/30/1998 13,840 14,253 14,253 14,480 15,789
10/31/1998 14,458 14,882 14,882 15,156 17,073
11/30/1998 14,918 15,346 15,346 15,742 18,108
12/31/1998 15,486 15,922 15,922 16,305 19,151
01/31/1999 15,852 16,288 16,288 16,760 19,952
02/28/1999 15,340 15,754 15,754 16,331 19,332
03/31/1999 15,834 16,250 16,250 16,759 20,105
04/30/1999 16,214 16,630 16,630 17,170 20,884
05/31/1999 15,873 16,271 16,271 16,866 20,391
06/30/1999 16,465 16,871 16,871 17,406 21,522
07/31/1999 16,103 16,487 16,461 17,051 20,851
08/31/1999 16,040 16,422 16,397 16,996 20,747
09/30/1999 15,840 16,215 16,189 16,796 20,179
10/31/1999 16,472 16,850 16,824 17,459 21,456
11/30/1999 16,623 16,991 16,967 17,671 21,892
12/31/1999 17,165 17,543 17,518 18,261 23,181
01/31/2000 16,424 16,771 16,745 17,687 22,017
02/29/2000 16,289 16,634 16,608 17,572 21,600
03/31/2000 17,314 17,650 17,628 18,696 23,713
04/30/2000 16,919 17,248 17,212 18,337 22,999
05/31/2000 16,811 17,110 17,086 18,108 22,527
06/30/2000 17,046 17,363 17,325 18,526 23,083
07/31/2000 16,990 17,292 17,268 18,420 22,722
08/31/2000 17,785 18,060 18,037 19,213 24,133
09/30/2000 17,155 17,208 17,393 18,653 22,859
</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 28 for Footnotes,
which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
PIMCO Funds
--------------------------------------------------------------------------------
StocksPlus 55.9%
--------------------------------------------------------------------------------
Total Return 40.0%
--------------------------------------------------------------------------------
Short-Term Instruments 4.1%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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 equity portion of the portfolio gains broad-based stock market exposure
using S&P 500 Index futures, which is backed by an actively managed portfolio of
short-term bonds. The fixed-income portion of the portfolio invests primarily in
intermediate-term, investment-grade bonds, focusing on both income and capital
appreciation.
For the six-month period ended September 30, 2000, the Fund's Class A
shares returned -.91%, slightly underperforming the Lipper Balanced Fund
Average, which returned -.50%. However, the Fund has outperformed the Lipper
Average over the 3-year and since inception periods ended September 30, 2000.
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 intermediate maturity Treasuries rallied as yields
on two-, five- and 10-year notes fell from their earlier levels. As a result,
the long-portion of the yield curve reverted to a positive slope for the first
time since mid-January. This disinversion came amid shifting market sentiment
about the economy, Federal reserve policy and the U.S. budget surplus. An
overweight fixed income allocation improved performance relative to the
benchmark as the Lehman Aggregate Index returned 4.81% as compared to -3.60% for
the S&P 500 index over the past six months.
The equity allocation performed in line with the S&P 500 Index mainly due
to the solid performance of mortgage-backed securities (which are held as part
of cash backing the S&P 500 futures). The fixed-income portion performed in line
with its index as well due to an above-benchmark duration that had a positive
effect in a falling interest rate environment.
We believe global growth will moderate in response to recent monetary
tightening by central banks in the U.S., Europe and Japan and the highest oil
prices in a decade. We expect inflation to rise as these increased energy prices
filter through economies worldwide. The Feds' recent tightening cycle is likely
over not that economic growth is cooling, and despite this slowdown, they will
remain on the sidelines instead of moving to an easing trend.
Looking ahead, we expect to move to a neutral 60% equity/40% bond mix in
light of stock market volatility and the potential for reduced corporate profits
in a slowing economy. On the equity side, we will continue to emphasize
mortgages in cash backing strategies because of superior credit quality and
higher yields. On the fixed-income side, we will extend duration .25 years above
the benchmark as risks tilt toward slower-than-expected growth and lower
interest rates.
25
<PAGE>
PIMCO Total Return Fund
September 30, 2000
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:
$35.5 billion
PORTFOLIO MANAGER:
Bill Gross
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
<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 6.62% 1.82% 5.82% 0.82% 4.82% 5.75% 6.99%
5 years 6.86% 5.88% 6.07% 5.76% 6.08% 5.54% 6.47%
10 years 8.82% 8.32% 8.28% 8.28% 8.04% 7.58% 8.05%
Inception 8.58% 8.21% 8.16% 8.16% 7.79% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO PIMCO PIMCO Lehman Brothers
Total Return Total Return Total Return Aggregate Bond
A B C Index
----------------------------------------------------------------------------
05/31/1987 9,550 10,000 10,000 10,000
06/30/1987 9,668 10,117 10,117 10,138
07/31/1987 9,641 10,082 10,082 10,130
08/31/1987 9,615 10,048 10,048 10,076
09/30/1987 9,371 9,787 9,787 9,861
10/31/1987 9,666 10,089 10,089 10,212
11/30/1987 9,733 10,152 10,152 10,294
12/31/1987 9,818 10,233 10,233 10,434
01/31/1988 10,215 10,642 10,642 10,801
02/29/1988 10,329 10,753 10,753 10,929
03/31/1988 10,233 10,646 10,646 10,827
04/30/1988 10,176 10,581 10,581 10,768
05/31/1988 10,122 10,518 10,518 10,696
06/30/1988 10,360 10,759 10,759 10,954
07/31/1988 10,343 10,735 10,735 10,897
08/31/1988 10,388 10,775 10,775 10,925
09/30/1988 10,581 10,969 10,969 11,172
10/31/1988 10,744 11,132 11,132 11,383
11/30/1988 10,644 11,021 11,021 11,244
12/31/1988 10,688 11,059 11,059 11,257
01/31/1989 10,816 11,184 11,184 11,419
02/28/1989 10,744 11,102 11,102 11,336
03/31/1989 10,790 11,143 11,143 11,385
04/30/1989 11,027 11,382 11,382 11,624
05/31/1989 11,291 11,647 11,647 11,929
06/30/1989 11,667 12,028 12,028 12,292
07/31/1989 11,910 12,271 12,271 12,554
08/31/1989 11,700 12,047 12,047 12,368
09/30/1989 11,754 12,096 12,096 12,431
10/31/1989 12,031 12,374 12,374 12,737
11/30/1989 12,132 12,470 12,470 12,858
12/31/1989 12,152 12,483 12,483 12,893
01/31/1990 11,944 12,262 12,262 12,740
02/28/1990 11,971 12,283 12,283 12,781
03/31/1990 11,957 12,261 12,261 12,790
04/30/1990 11,784 12,074 12,074 12,673
05/31/1990 12,165 12,457 12,457 13,048
06/30/1990 12,366 12,655 12,655 13,258
07/31/1990 12,563 12,847 12,847 13,441
08/31/1990 12,361 12,632 12,632 13,261
09/30/1990 12,368 12,632 12,632 13,371
10/31/1990 12,535 12,793 12,793 13,541
11/30/1990 12,846 13,103 13,103 13,832
12/31/1990 13,067 13,320 13,320 14,048
01/31/1991 13,192 13,440 13,440 14,222
02/28/1991 13,372 13,615 13,615 14,343
03/31/1991 13,536 13,774 13,774 14,442
04/30/1991 13,753 13,986 13,986 14,598
05/31/1991 13,850 14,077 14,077 14,684
06/30/1991 13,867 14,086 14,086 14,676
07/31/1991 14,061 14,275 14,275 14,880
08/31/1991 14,436 14,647 14,647 15,202
09/30/1991 14,773 14,980 14,980 15,510
10/31/1991 14,919 15,119 15,119 15,682
11/30/1991 15,043 15,235 15,235 15,826
12/31/1991 15,550 15,740 15,740 16,296
01/31/1992 15,418 15,596 15,596 16,074
02/29/1992 15,547 15,720 15,720 16,179
03/31/1992 15,482 15,644 15,644 16,088
04/30/1992 15,558 15,711 15,711 16,204
05/31/1992 15,874 16,021 16,021 16,510
06/30/1992 16,069 16,210 16,210 16,737
07/31/1992 16,456 16,591 16,591 17,078
08/31/1992 16,591 16,717 16,717 17,251
09/30/1992 16,848 16,966 16,966 17,456
10/31/1992 16,695 16,802 16,802 17,224
11/30/1992 16,703 16,800 16,800 17,228
12/31/1992 16,990 17,079 17,079 17,502
01/31/1993 17,298 17,378 17,378 17,838
02/28/1993 17,677 17,749 17,749 18,150
03/31/1993 17,772 17,836 17,836 18,226
04/30/1993 17,922 17,976 17,976 18,353
05/31/1993 17,957 18,001 18,001 18,376
06/30/1993 18,342 18,375 18,375 18,709
07/31/1993 18,448 18,471 18,471 18,815
08/31/1993 18,861 18,873 18,873 19,145
09/30/1993 18,931 18,934 18,934 19,197
10/31/1993 19,060 19,051 19,051 19,269
11/30/1993 18,886 18,868 18,868 19,105
12/31/1993 19,038 19,008 19,008 19,209
01/31/1994 19,262 19,221 19,221 19,468
02/28/1994 18,912 18,861 18,861 19,130
03/31/1994 18,505 18,444 18,444 18,658
04/30/1994 18,316 18,245 18,245 18,509
05/31/1994 18,223 18,141 18,141 18,507
06/30/1994 18,148 18,067 18,056 18,466
07/31/1994 18,513 18,430 18,408 18,832
08/31/1994 18,559 18,476 18,443 18,856
09/30/1994 18,318 18,236 18,192 18,578
10/31/1994 18,289 18,207 18,152 18,562
11/30/1994 18,283 18,201 18,136 18,521
12/31/1994 18,270 18,189 18,111 18,648
01/31/1995 18,590 18,507 18,417 19,017
02/28/1995 19,019 18,934 18,831 19,470
03/31/1995 19,193 19,107 18,991 19,589
04/30/1995 19,523 19,435 19,306 19,863
05/31/1995 20,134 20,044 19,897 20,631
06/30/1995 20,114 20,024 19,865 20,783
07/31/1995 20,118 20,028 19,857 20,736
08/31/1995 20,419 20,328 20,143 20,986
09/30/1995 20,668 20,576 20,377 21,191
10/31/1995 20,974 20,881 20,666 21,466
11/30/1995 21,421 21,325 21,094 21,788
12/31/1995 21,781 21,684 21,436 22,094
01/31/1996 21,951 21,853 21,590 22,240
02/29/1996 21,409 21,313 21,044 21,854
03/31/1996 21,235 21,140 20,861 21,702
04/30/1996 21,140 21,045 20,754 21,580
05/31/1996 21,074 20,980 20,678 21,536
06/30/1996 21,403 21,307 20,988 21,825
07/31/1996 21,450 21,354 21,021 21,885
08/31/1996 21,424 21,328 20,981 21,848
09/30/1996 21,908 21,810 21,443 22,229
10/31/1996 22,469 22,369 21,979 22,721
11/30/1996 22,993 22,890 22,478 23,111
12/31/1996 22,699 22,597 22,177 22,896
01/31/1997 22,771 22,669 22,241 22,966
02/28/1997 22,814 22,712 22,270 23,023
03/31/1997 22,532 22,431 21,980 22,768
04/30/1997 22,930 22,828 22,354 23,109
05/31/1997 23,157 23,054 22,560 23,327
06/30/1997 23,421 23,317 22,803 23,604
07/31/1997 24,068 23,960 23,417 24,240
08/31/1997 23,851 23,745 23,190 24,034
09/30/1997 24,230 24,122 23,545 24,388
10/31/1997 24,512 24,402 23,801 24,742
11/30/1997 24,614 24,504 23,889 24,856
12/31/1997 24,893 24,781 24,142 25,106
01/31/1998 25,268 25,155 24,493 25,428
02/28/1998 25,190 25,077 24,402 25,408
03/31/1998 25,266 25,153 24,460 25,497
04/30/1998 25,354 25,241 24,534 25,630
05/31/1998 25,641 25,526 24,794 25,873
06/30/1998 25,882 25,766 25,012 26,092
07/31/1998 25,957 25,841 25,070 26,148
08/31/1998 26,359 26,241 25,443 26,573
09/30/1998 27,139 27,018 26,181 27,196
10/31/1998 26,949 26,829 25,979 27,052
11/30/1998 27,041 26,920 26,052 27,205
12/31/1998 27,195 27,073 26,182 27,287
01/31/1999 27,347 27,225 26,316 27,482
02/28/1999 26,833 26,713 25,808 27,002
03/31/1999 27,053 26,932 26,004 27,152
04/30/1999 27,178 27,056 26,106 27,238
05/31/1999 26,873 26,753 25,798 26,999
06/30/1999 26,820 26,700 25,730 26,913
07/31/1999 26,710 26,590 25,607 26,799
08/31/1999 26,723 26,603 25,602 26,785
09/30/1999 27,012 26,891 25,863 27,096
10/31/1999 27,093 26,971 25,925 27,196
11/30/1999 27,147 27,025 25,961 27,194
12/31/1999 26,995 26,874 25,798 27,063
01/31/2000 26,846 26,726 25,640 26,974
02/29/2000 27,166 27,044 25,930 27,300
03/31/2000 27,557 27,434 26,285 27,660
04/30/2000 27,472 27,349 26,188 27,581
05/31/2000 27,458 27,335 26,157 27,568
06/30/2000 28,029 27,904 26,682 28,142
07/31/2000 28,276 28,149 26,901 28,397
08/31/2000 28,711 28,583 27,297 28,809
09/30/2000 28,800 28,671 27,365 28,990
* 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 28 for
Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 1%
--------------------------------------------------------------------------------
1-5 years 32%
--------------------------------------------------------------------------------
5-10 years 40%
--------------------------------------------------------------------------------
10-20 years 16%
--------------------------------------------------------------------------------
20-30 years 10%
--------------------------------------------------------------------------------
Over 30 years 1%
--------------------------------------------------------------------------------
Duration: 5.2 years
--------------------------------------------------------------------------------
Sector Breakdown
--------------------------------------------------------------------------------
Mortgage-Backed Securities 48.2%
--------------------------------------------------------------------------------
Corporate Bonds & Notes 26.9%
--------------------------------------------------------------------------------
U.S. Treasury Obligations 9.0%
--------------------------------------------------------------------------------
Short-Term Instruments 5.5%
--------------------------------------------------------------------------------
Asset-Backed Securities 5.4%
--------------------------------------------------------------------------------
Other 5.0%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 66.7%
--------------------------------------------------------------------------------
AA 6.2%
--------------------------------------------------------------------------------
A 14.7%
--------------------------------------------------------------------------------
BBB 10.4%
--------------------------------------------------------------------------------
BB 1.4%
--------------------------------------------------------------------------------
B 0.6%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class A shares
returned 4.51%, outperforming the Lipper Average, which returned 4.02%. Over the
same time period, the Fund slightly underperformed its benchmark, the Lehman
Aggregate Bond Index, which returned 4.81%. Looking longer term, the Fund
outperformed both the Lipper Average and the benchmark over the five-, ten-year
and since inception periods ended September 30, 2000.
The Federal Reserve lifted short-term interest rates by 50 basis points at
their May meeting, bringing its total tightening tally for this cycle to six, as
concern remained that inflationary pressures were building. Supporting the
concern, oil prices surged to their highest level in a decade. But the
cumulative impact of 175 basis points of tightening began to slow the economy,
as signs emerged that consumer and investment spending was slowing and that the
housing sector was cooling.
During the past six months intermediate maturity Treasury yields fell as
optimism grew that the Fed was finished tightening. In general, higher quality
bonds outperformed other areas of the bond market, particularly the high yield
sector, as concern grew that corporate earnings would slow as the economy
cooled.
As a result, sector strategies were key to performance. An emphasis on
mortgage-backed securities enhanced returns due to relatively attractive yields
and lower market volatility. Real return bonds also added modestly to relative
performance due to a favorable inflation adjustment. A small position in
shorter-term, top tier emerging market bonds, acting as a substitute for high
yield bonds, had a positive impact as yield premiums narrowed due to stronger
economies and debt restructuring. The Fund's near benchmark duration hurt
performance slightly as intermediate maturity yields fell.
Looking ahead, we expect growth will continue to moderate worldwide. We
also expect inflation to creep higher in the face of continued wage pressures
and escalating energy costs. More Fed tightening is unlikely now that U.S.
growth is slowing, but the central bank will also refrain from easing to avoid
igniting inflation. A focus on quality will continue to be critical for superior
performance as credit deterioration continues.
Going forward, we anticipate extending duration slightly above the
benchmark as near term risks tilt toward slower-than-expected growth and lower
interest rates. However, mortgage will continue to be emphasized because of
their superior credit quality and relatively high yields. Where possible, we
expect to reduce exposure to corporate bonds, which may see price declines as
the economy slows.
26
<PAGE>
PIMCO Total Return Mortgage Fund
September 30, 2000
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Primarily an intermediate-term portfolio of mortgage-backed securities.
DURATION RANGE:
3-6 years
FUND INCEPTION DATE:
7/31/97
TOTAL NET ASSETS:
$16.3 billion
PORTFOLIO MANAGER:
W.S. Simon
Average Annual Total Return For periods ended 9/30/00
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper U.S.
Mortgage Fund Lehman Bros.
Adjusted Adjusted Adjusted Average Mortgage Index
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 8.01% 3.16% 7.23% 2.23% 6.23% 6.47% 7.42%
3 years 6.41% 4.80% 5.62% 4.72% 5.62% 5.18% 6.07%
Inception 6.60% 5.07% 5.81% 4.97% 5.81% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO Lehman Brothers
Total Return Mortgage Total Return Mortgage Total Return Mortgage Mortgage Index
A B C
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
07/31/1997 9,550 10,000 10,000 10,000
08/31/1997 9,557 10,000 10,000 9,976
09/30/1997 9,705 10,149 10,149 10,103
10/31/1997 9,847 10,290 10,290 10,215
11/30/1997 9,890 10,329 10,329 10,248
12/31/1997 10,004 10,442 10,442 10,342
01/31/1998 10,111 10,547 10,547 10,445
02/28/1998 10,127 10,559 10,559 10,467
03/31/1998 10,162 10,588 10,588 10,511
04/30/1998 10,228 10,651 10,651 10,570
05/31/1998 10,314 10,733 10,733 10,641
06/30/1998 10,379 10,794 10,794 10,691
07/31/1998 10,418 10,828 10,828 10,746
08/31/1998 10,541 10,949 10,949 10,843
09/30/1998 10,656 11,063 11,063 10,974
10/31/1998 10,612 11,010 11,010 10,960
11/30/1998 10,656 11,049 11,049 11,015
12/31/1998 10,684 11,070 11,070 11,061
01/31/1999 10,747 11,128 11,128 11,140
02/28/1999 10,688 11,061 11,061 11,096
03/31/1999 10,755 11,124 11,124 11,170
04/30/1999 10,806 11,170 11,170 11,222
05/31/1999 10,744 11,099 11,099 11,159
06/30/1999 10,730 11,078 11,078 11,120
07/31/1999 10,688 11,028 11,028 11,045
08/31/1999 10,680 11,013 11,013 11,044
09/30/1999 10,824 11,155 11,155 11,223
10/31/1999 10,874 11,200 11,200 11,288
11/30/1999 10,924 11,244 11,244 11,294
12/31/1999 10,899 11,211 11,211 11,267
01/31/2000 10,825 11,128 11,128 11,169
02/29/2000 10,986 11,287 11,287 11,298
03/31/2000 11,131 11,428 11,428 11,422
04/30/2000 11,090 11,379 11,379 11,430
05/31/2000 11,082 11,363 11,363 11,435
06/30/2000 11,286 11,565 11,565 11,680
07/31/2000 11,394 11,669 11,669 11,755
08/31/2000 11,578 11,851 11,851 11,933
09/30/2000 11,691 11,660 11,960 12,056
</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 8/1/00) 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. This Fund concentrates on
investments in Mortgage securities, which may entail greater risk than a fully
diversified fund. See page 28 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1-5 years 72%
--------------------------------------------------------------------------------
5-10 years 15%
--------------------------------------------------------------------------------
10-20 years 10%
--------------------------------------------------------------------------------
20-30 years 2%
--------------------------------------------------------------------------------
Over 30 years 1%
--------------------------------------------------------------------------------
Duration: 4.2 years
--------------------------------------------------------------------------------
Sector Breakdown
--------------------------------------------------------------------------------
Mortgage-Backed Securities 85.0%
--------------------------------------------------------------------------------
Short-Term Instruments 12.9%
--------------------------------------------------------------------------------
Other 2.1%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 90.4%
--------------------------------------------------------------------------------
AA 2.9%
--------------------------------------------------------------------------------
BBB 6.7%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class A shares
returned 5.04%, outperforming the Lipper Average, which returned 4.76%. Over the
same time period, the Fund underperformed its benchmark, the Lehman Mortgage
Index, which returned 5.55%. Looking longer term, however, the Fund has
outperformed both the Lipper Average and the benchmark over the one-, three-year
and since inception periods ended September 30, 2000.
The Federal Reserve lifted short-term interest rates by 50 basis points at
their May meeting, bringing its total tightening tally for this cycle to six, as
concern remained that inflationary pressures were building. Supporting the
concern, oil prices surged to their highest level in a decade. But the
cumulative impact of 175 basis points of tightening began to slow the economy
over the past six months, as signs emerged that consumer spending, capital
investment and the housing sector were cooling.
Mortgage-backed securities outpaced Treasuries as investors continued to
favor securities with superior credit quality, lower market volatility and
attractive yield premiums. Conventional mortgages slightly outperformed GNMAs
amid profit taking in GNMAs after their superior performance so far this year.
The Fund's above-index duration (sensitivity to changes in interest rates)
helped performance as intermediate-maturity interest rates fell. Our exposure to
GNMA ARMs also enhanced returns as yield spreads of these securities tightened
relative to other mortgage securities. The Fund's use of mortgage forward
contracts, such as GNMA TBAs, added to returns as the cash backing this exposure
was put to work at higher short-term interest rates.
Looking ahead, we expect growth will continue to moderate worldwide. We
also expect inflation to creep higher in the face of continued wage pressures
and escalating energy costs. More Fed tightening is unlikely now that U.S.
growth is slowing, but the central bank will also refrain from easing to avoid
igniting inflation. A focus on quality will continue to be critical for superior
performance as credit deterioration continues.
As a result, we expect to keep duration modestly above the benchmark as
near term risks tilt toward lower interest rates in general. We hope to increase
our concentration in high coupon mortgages as they offer higher yields at lower
durations and are cheaper than they have been historically compared to low
coupon issues. We intend to maintain exposure to GNMAs, which have better credit
quality than conventional mortgages and trade at similar prices. Finally, we
expect to continue to buy mortgages that settle in the future, investing the
purchase amount at higher short-term interest rates.
27
<PAGE>
September 30,2000
--------------------------------------------------------------------------------
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,
2000.
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 (General, CA & N.Y.) Indexes
are indexes 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. Lehman Bros. is an index of mortgages.
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,
1-800-426-0107. Please read the prospectus carefully before you invest or send
money.
28
<PAGE>
Schedule of Investments
California Intermediate Municipal Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 99.9%
--------------------------------------------------------------------------------
California 83.3%
Anaheim, California Public Financing Authority
Revenue Bonds, (AMBAC Insured), Series 1999
4.625% due 10/01/2027 $ 150 $ 152
Antioch, California Public Financing Authority Reassessment
Revenue Bonds, Series 1998-B
5.500% due 09/02/2008 495 503
California Educational Facilities Authority Revenue
Bonds, Series 1997-A
5.700% due 10/01/2015 135 141
California Health Facilities Financing Authority
Revenue Bonds, (AMBAC Insured), Series 1996-B
4.750% due 07/01/2012 (b) 1,100 1,100
California Health Facilities Financing Authority
Revenue Bonds, (MBIA Insured), Series 1998
4.750% due 09/01/2028 (b) 2,000 2,000
5.375% due 08/15/2030 1,100 1,070
California Health Facilities Financing Authority
Revenue Bonds, Series 1998-B
5.250% due 10/01/2014 3,000 2,907
California Housing Finance Agency Revenue Bonds,
(FNMA Insured), Series 1993
4.500% due 07/15/2013 (b) 100 100
California Housing Finance Agency Revenue Bonds,
(SPA-Landesbank Hessen Insured), Series 2000-B
4.500% due 02/01/2035 (b) 400 400
California Housing Financial Agency Revenue Bonds,
(AMBAC FHA Insured), Series 1996
5.950% due 02/01/20 100 106
California Pollution Control Financing Authority
Revenue Bonds, Series 1999-A
4.500% due 08/01/20 150 150
California State Department of Water Resources
Central Valley Project Revenue Bonds, Series 1998-U
5.000% due 12/01/2029 2,500 2,272
California State Department Veteran Affairs Home
Revenue Bonds, Series 2000-B
4.900% due 12/01/2005 500 505
California State Economic Development Financing
Authority Industrial Development Revenue Bonds,
(LOC-U.S. Bank Insured), Series 1997
5.150% due 08/01/2027 (b) 780 780
California State General Obligation Bonds,
(AMBAC Insured), Series 1991
6.500% due 09/01/2006 2,500 2,781
California State General Obligation Bonds,
(FGIC Insured), Series 1997
5.000% due 10/01/2004 325 334
California State General Obligation Bonds,
(MBIA Insured), Series 1991
6.600% due 02/01/2011 1,000 1,163
California State General Obligation Bonds,
(MBIA Insured), Series 1992
7.500% due 10/01/2007 400 474
California State General Obligation Bonds, Series 1991
6.500% due 09/01/2010 1,730 1,997
California State General Obligation Bonds, Series 1997-BL
5.300% due 12/01/2012 400 411
California State General Obligation Bonds, Series 2000
5.250% due 03/01/2005 100 104
5.500% due 05/01/2011 3,250 3,478
5.250% due 03/01/2013 300 310
4.850% due 01/01/2027 (b) 1,500 1,313
California State Public Works Board Lease Revenue
Bonds, Series 1994-A
6.375% due 11/01/2014 500 549
California Statewide Communities Development Authority
Apartment Development Revenue Bonds, Series 1998-A-3
5.100% due 05/15/2025 2,000 1,955
California Statewide Communities Development Authority
Certificates of Participation, (AMBAC Insured), Series 1995
4.750% due 07/01/2015 (b) 400 400
California Statewide Communities Development Authority
Certificates of Participation, Series 1994
6.500% due 07/01/2015 1,000 1,096
Capistrano, California Unified School District Community
Facilities District Special Tax Bonds, Series 1997
7.100% due 09/01/2021 2,000 2,290
Capistrano, California Unified School District Community
Facilities District Special Tax Bonds, Series 1999
5.700% due 09/01/2020 1,500 1,457
Chico, California Public Financing Authority Revenue
Bonds, (FSA Insured), Series 1996
5.200% due 04/01/2011 485 504
Chula Vista, California Special Tax Bonds, Series 2000-1
6.350% due 09/01/2017 230 235
6.400% due 09/01/2018 120 123
Contra Costa County, California Multifamily Mortgage
Revenue Bonds, (LOC-Bank of America NT & SA Insured),
Series 1987-A 4.400% due 12/01/2017 (b) 1,300 1,300
Corona, California Community Facilities District
Special Tax Bonds, Series 1998
5.875% due 09/01/2023 1,000 978
East Bay, California Regional Park District General
Obligation Bonds, Series 1998
5.000% due 09/01/2017 2,000 1,960
Evergreen, California School District General Obligation
Bonds, (FGIC Insured), Series 2000-C
10.000% due 09/01/2005 465 579
10.000% due 09/01/2006 380 490
Foothill Eastern Transportation Corridor Agency Toll
Road Revenue Bonds, (MBIA Insured), Series 1999
5.875% due 01/15/2027 2,500 1,490
Irvine Ranch, California Water District Revenue Bonds,
(LOC-Landesbank Hessen-Thrgn Insured), Series 1985
4.750% due 10/01/2010 (b) 1,300 1,300
Irvine, California Improvement Bond Act 1915
Revenue Bonds, (LOC-Societe Generale Insured), Series 1997
4.750% due 09/02/2022 (b) 2,668 2,668
Irvine, California Improvement Bond Act 1915 Special
Assessment, (LOC-KBC Bank N.V. Insured), Series 1996-A
4.750% due 09/02/2021 (b) 400 400
See accompanying notes 29
<PAGE>
Schedule of Investments (Cont.)
California Intermediate Municipal Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
================================================================================
Irvine, California Improvement Bond Act 1915 Special
Assessment, (LOC-KBC Bank N.V. Insured), Series 1999
4.750% due 09/02/2024 (b) $ 1,600 $ 1,600
Livermore Valley, California Joint Unified School District
General Obligation Bonds, (MBIA Insured), Series 2000
6.500% due 08/01/2003 1,000 1,061
Long Beach, California Harbor Revenue Bonds,
(MBIA Insured), Series 1995
6.500% due 05/15/2005 220 238
Long Beach, California Harbor Revenue Bonds, Series 1993
4.700% due 05/15/2004 150 151
Los Angeles County, California Transportation
Commission Certificates of Participation, Series 1992-B
6.250% due 07/01/2004 500 525
Los Angeles, California Community Redevelopment Agency
Certificates of Participation Revenue Bonds, Series 1984
7.550% due 11/01/2008 415 460
Los Angeles, California Department of Water & Power
Electric Plant Revenue Bonds, Series 2000 276
3.480% due 11/15/2010 (b) 200 200
Los Angeles, California Department of Water & Power
Waterworks Revenue Bonds, (MBIA Insured), Series 1994
6.375% due 07/01/2034 2,150 2,333
Los Angeles, California State Building Authority Lease
Revenue Bonds, Series 1999-A
4.600% due 10/01/2007 150 151
Los Angeles, California Unified School District General
Obligation Bonds, (MBIA Insured), Series 1999-C
4.750% due 07/01/2010 30 31
Los Angeles, California Wastewater System Revenue
Bonds, (MBIA Insured), Series 1998-C
4.000% due 06/01/2015 1,770 1,542
Metropolitan Water District Southern California
General Obligation Bonds, Series 1993-A1
7.250% due 03/01/2007 150 174
Metropolitan Water District Southern California
Revenue Bonds, (SPA-Westdeutsche Landesbank Insured),
Series 2000 4.700% due 07/01/2035 (b) 200 200
Metropolitan Water District Southern California
Revenue Bonds, Series 1993
6.050% due 10/30/2020 (b) 600 592
Newport Beach, California Revenue Bonds,
(SPA-Bank of America NT & SA Insured), Series 1996-A
5.400% due 10/01/2026 (b) 300 300
Newport Beach, California Revenue Bonds,
(SPA-Bank of America NT & SA Insured), Series 1996-B
5.350% due 10/01/2026 (b) 100 100
Newport Beach, California Revenue Bonds,
(SPA-Bank of America NT & SA Insured), Series 1996-C
5.400% due 10/01/2026 (b) 100 100
Orange County, California Airport Revenue Bonds,
(MBIA Insured), Series 1993
5.250% due 07/01/2006 1,565 1,612
Orange County, California Improvement Bond
Special Assessment, (LOC-Societe Generale &
LOC-KBC Bank N.V. Insured), Series 1988
4.750% due 09/02/2018 (b) 1,900 1,900
Orange County, California Local Transportation Authority
Sales Tax Revenue Bonds, (AMBAC-TCRS Insured), Series 1992
6.200% due 02/14/2011 3,250 3,640
Orange County, California Revenue Bonds,
(MBIA Insured), Series 1995-A
6.000% due 06/01/2010 1,000 1,114
Orange County, California Sanitation District
Certificates of Participation, (LOC-National
Westminster Insured), Series 1990
4.750% due 08/01/2015 (b) 3,665 3,665
Orange County, California Water District
Certificates of Participation, (LOC-Bayerishe
Landesbank Insured), Series 1990
4.500% due 08/15/2015 (b) 700 700
Otay, California Water District Certificates of
Participation, (LOC-Landesbank Hessen-Thrgn
Insured), Series 1996
4.400% due 09/01/2026 (b) 200 200
Oxnard, California Improvement Bond Act 1915 Special
Assessment, Series 1997
5.500% due 09/02/2004 1,215 1,234
Pacific Housing & Finance Agency, California Revenue
Bonds, (MBIA Insured), Series 1999
4.625% due 12/01/2004 250 253
Pioneers Memorial Healthcare District, California General
Obligation Bonds, (AMBAC Insured), Series 1998
5.125% due 10/01/2024 1,000 949
Port of Oakland, California Revenue Bonds,
(FGIC Insured), Series 2000
5.500% due 11/01/2009 500 530
Redding, California Electric System Revenue
Certificates of Participation, (FGIC Insured), Series 1993
5.684% due 06/28/2019 500 507
Riverside County, California Asset Leasing Corp.
Revenue Bonds, (MBIA Insured), Series 2000
5.200% due 11/01/2010 250 263
Sacramento County, California Sanitation District
Financing Authority Revenue Bonds,
(LOC-Credit Agricole Indosez Insured), Series 2000
4.500% due 12/01/2030 (b) 1,900 1,900
Sacramento County, California Sanitation District
Financing Authority Revenue Bonds, Series 2000-A
4.900% due 12/01/2007 1,000 1,032
5.100% due 12/01/2009 1,000 1,048
5.100% due 12/01/2010 1,000 1,046
Sacramento, California Municipal Utility District
Revenue Bonds, Series 1983-M
9.000% due 04/01/2013 960 1,245
San Bernardino County, California Housing Authority
Multifamily Housing Revenue Bonds, (LOC-California
Federal Bank & LOC-Federal Home Loan Bank Insured),
Series 1993
3.250% due 02/01/2023 (b) 400 400
San Francisco, California City & County Airport
Commission International Airport Revenue Bonds,
(FGIC Insured), Series 1996,-12-A
5.625% due 05/01/2005 400 418
San Francisco, California City & County Airport
Commission International Airport Revenue Bonds,
(FSA Insured), Series 1998-16A
5.500% due 05/01/2015 300 306
30 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
================================================================================
San Francisco, California City & County Airport
Commission International Airport Revenue Bonds,
(MBIA Insured), Series 1996-14A
8.000% due 05/01/2005 $ 500 $ 569
San Francisco, California City & County Public
Utilities Commission Revenue Bonds, Series 1992-A
6.400% due 11/01/2007 2,500 2,647
San Jose, California Multifamily Housing Revenue
Bonds, (LOC-Bay View Bank N.A. & LOC-Federal Home
Loan Bank Insured), Series 1999
4.950% due 06/01/2039 1,000 1,003
San Jose, California Redevelopment Agency Tax
Allocation, (MBIA Insured), Series 1993
6.000% due 08/01/2010 600 669
San Pablo, California Redevelopment Agency
Revenue Bonds, Series 1979
8.000% due 10/01/2011 145 168
Santa Margarita/Dana Point Authority, California
Revenue Bonds, (MBIA Insured), Series 1994-A
7.250% due 08/01/2006 150 172
Santa Rosa, California Multifamily Housing
Revenue Bonds, (LOC-U.S. Bank N.A. Insured),
Series 1997-A 4.600% due 06/01/2027 (b) 100 100
South Tahoe, California Joint Powers Financing
Authority Revenue Bonds, Series 1999-A
7.300% due 10/01/2007 150 154
Stockton, California Certificates of Participation,
Series 1999 4.750% due 08/01/2006 120 121
----------
83,648
==========
Puerto Rico 12.1%
Puerto Rico Commonwealth Aqueduct & Sewer Authority
Revenue Bonds, (FSA Surety Bond Insured), Series 1985-A
9.000% due 07/01/2009 3,000 3,459
Puerto Rico Commonwealth General Obligation Bonds,
(MBIA Insured), Series 1995
5.200% due 07/01/2006 410 429
Puerto Rico Commonwealth Highway & Transportation
Authority Highway Revenue Bonds, Series 1993-X
5.350% due 07/01/2005 5,000 5,137
Puerto Rico Commonwealth Highway & Transportation
Authority Revenue Bonds, Series 1993-X
5.200% due 07/01/2003 500 510
Puerto Rico Commonwealth Infrastructure Financing
Authority Revenue Bonds, (AMBAC Insured),
Series 1998-A 5.250% due 07/01/2010 150 157
Puerto Rico Electric Power Authority Power Revenue
Bonds, Series 1995-X
6.125% due 07/01/2021 500 548
Puerto Rico Industrial Tourist Educational, Medical &
Environmental Control Facilities Revenue Bonds,
Series 2000 5.300% due 11/15/2005 250 255
Puerto Rico Industrial Tourist Environmental Central
Facilities Revenue Bonds, Series 2000
5.300% due 11/15/2004 150 153
Puerto Rico Municipal Finance Agency General
Obligation Bonds, (FSA Insured), Series 1999-A
5.000% due 08/01/2004 1,000 1,027
Puerto Rico Public Finance Corp. Revenue Bonds,
(AMBAC Insured), Series 1998-A
5.000% due 06/01/2007 500 517
----------
12,192
==========
Virgin Islands 4.5%
Virgin Islands Public Finance Authority Revenue Bonds,
Series 1998-C
5.500% due 10/01/2008 3,000 3,015
5.500% due 10/01/2007 1,500 1,508
----------
4,523
----------
Total Municipal Bonds & Notes 100,363
(Cost $97,895) ==========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 0.1%
--------------------------------------------------------------------------------
Commercial Paper 0.1%
R & T California Money Market
3.710% due 10/02/2000 154 154
----------
Total Short-Term Instruments 154
(Cost $154) ==========
Total Investments (a) 100% $ 100,517
(Cost $98,049)
Other Assets and Liabilities (Net) (0.0%) (26)
----------
Net Assets 100.0% $ 100,491
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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 $ 2,491
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value (23)
----------
Unrealized appreciation-net $ 2,468
==========
(b) Variable rate security. The rate listed is as of September 30, 2000.
See accompanying notes 31
<PAGE>
Schedule of Investments
California Municipal Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 97.3%
--------------------------------------------------------------------------------
California 67.6%
California State Department Water Center
Revenue Bonds, Series 1993
8.375% due 12/01/2003 $ 150 $ 168
California State General Obligation,
(FGIC Insured), Series 1997
6.600% due 02/01/2011 500 581
Capistrano Unified School District Community
Facilities District Special Tax Bond, Series 1999
5.700% due 09/01/2020 500 486
Chula Vista California Special Tax Bond, Series 2000-1
6.400% due 09/01/2018 125 128
Corona Community Facilities District Special
Tax Bond, Series 1998
5.875% due 09/01/2023 150 147
East Bay Municipal Utility District Wastewater Treatment
System Revenue Bonds, (AMBAC Insured), Series 1993
6.420% due 06/01/2013 400 415
Foothill Eastern Transportation Corridor Agency Toll
Road Revenue Bonds, (MBIA-IBC Insured), Series 1999
0.000% due 01/15/2027 500 298
Los Angeles County Transportation Commission
Certificates of Partnership, Series 1992
6.250% due 07/01/2004 500 525
Los Angeles Department of Water & Power Waterworks
Revenue Bonds, (MBIA Insured), Series 1994
6.375% due 07/01/2034 350 380
Los Angeles, California Wastewater System
Revenue Bonds, (MBIA Insured), Series 1998-C
4.000% due 06/01/2015 400 348
Metropolitan Water District Southern California
Revenue Bonds, Series 1993
6.253% due 10/30/2020 200 197
Orange County California Revenue Bonds, Series 1995
6.000% due 06/01/2010 750 835
Orange County Local Transportation Authority Sales Tax
Revenue Bonds, (AMBAC-TCRS Insured), Series 1992
6.200% due 02/14/2011 750 840
Pioneers Memorial Healthcare District
General Obligation, Series 1998
5.125% due 10/01/2024 400 380
San Jose Redevelopment Agency Tax
Allocation, (MBIA Insured), Series 1993
6.000% due 08/01/2010 300 335
Southern California Public Power Authority
Revenue Bonds, (FSA-CR Insured), Series 1993
5.000% due 07/01/2015 110 107
----------
6,170
==========
Puerto Rico 25.3%
Puerto Rico Aqueduct & Sewer Authority Revenue
Bonds, (FSA Surety Bond Insured), Series 1985-A
9.000% due 07/01/2009 2,000 2,306
----------
Virgin Islands 4.4%
Virgin Islands Public Finance Authority Revenue Bonds,
Series 1998-C 5.500% due 10/01/2008 405 407
----------
Total Municipal Bonds & Notes 8,883
(Cost $8,665) ==========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 1.2%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (b)
3.625% due 07/15/2002 108 108
----------
Total U.S. Treasury Obligations 108
(Cost $107) ==========
Total Investments (a) 98.5% $ 8,991
(Cost $8,772)
Other Assets and Liabilities (Net) 1.5% 137
----------
Net Assets 100.0% $ 9,128
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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 $ 219
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value 0
----------
Unrealized appreciation-net $ 219
==========
(b) Principal amount of the security is adjusted for inflation.
32 See accompanying notes
<PAGE>
Schedule of Investments
Convertible Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 71.9%
--------------------------------------------------------------------------------
Banking & Finance 5.8%
ACOM Co. Ltd.
0.000% due 03/31/2002 $ 50,000 $ 501
Exchangeable Certificates Corp.
0.250% due 04/12/2005 5,950 5,783
Hellenic Finance
2.000% due 07/15/2003 500 443
JMH Finance Ltd.
4.750% due 09/06/2007 1,200 1,237
Merrill Lynch & Co.
1.000% due 07/20/2006 1,775 1,356
----------
9,320
==========
Energy 1.8%
Diamond Offshore Drilling
3.750% due 02/15/2007 2,560 2,902
----------
Health Care 16.4%
Alza Corp.
0.000% due 07/28/2020 7,750 5,406
Athena Neurosciences, Inc.
4.750% due 11/15/2004 750 1,150
Centocor, Inc.
4.750% due 02/15/2005 2,100 2,698
Ivax Corp.
5.500% due 05/15/2007 2,300 3,355
Mercury Interactive Corp.
4.750% due 07/01/2007 1,800 2,786
Millennium Pharmaceuticals
5.500% due 01/15/2007 1,500 2,837
Roche Holdings, Inc.
0.000% due 01/19/2015 2,950 2,817
Vertex Pharmaceuticals
5.000% due 03/14/2007 3,000 3,495
Wellpoint Health Network, Inc.
0.000% due 07/02/2019 2,000 1,573
----------
26,117
==========
Industrial 5.0%
Celestica, Inc.
0.000% due 08/01/2020 3,500 1,750
Dupont Photomasks, Inc.
0.000% due 07/24/2004 800 774
Kohls Corp.
0.000% due 06/12/2020 2,500 1,469
Solectron Corp.
0.000% due 01/27/2019 2,000 1,475
Young & Rubicam, Inc.
3.000% due 01/15/2005 2,500 2,466
----------
7,934
==========
Technology 36.3%
Analog Devices, Inc.
4.750% due 10/01/2005 3,200 3,353
ASM Lithography Holding
4.250% due 11/30/2004 2,000 2,250
2.500% due 04/09/2005 1,500 1,160
AT&T - Liberty Media Group
4.000% due 11/15/2029 3,200 3,004
Clear Channel Communications, Inc.
1.500% due 12/01/2002 650 604
2.630% due 04/01/2003 3,300 3,622
Comverse Technology, Inc.
4.500% due 07/01/2005 1,040 5,305
Exodus Communications, Inc.
4.750% due 07/15/2008 2,000 3,075
Hewlett Packard Co.
0.000% due 10/14/2017 4,450 3,271
I2 Technologies, Inc.
5.250% due 12/15/2006 2,500 6,653
Juniper Networks, Inc.
4.750% due 03/15/2007 2,000 3,082
Lattice Semiconductor Co.
4.750% due 11/01/2006 1,600 2,318
LSI Logic Corp.
4.250% due 03/15/2004 500 990
Nextel Communications, Inc.
5.250% due 01/15/2010 3,000 2,828
Sanmina Corp.
4.250% due 05/01/2004 700 1,579
0.000% due 09/12/2020 7,000 3,103
SCI Systems, Inc.
3.000% due 03/15/2007 2,750 2,753
Stmicroelectron
0.000% due 09/22/2009 1,900 2,522
U.S. Cellular Corp.
0.000% due 06/15/2015 3,600 2,466
Veritas Software Corp.
1.860% due 08/13/2006 1,000 4,110
----------
58,048
==========
Utilities 6.6%
AES Corp.
4.500% due 08/15/2005 750 1,932
AES Trust VII
6.000% due 01/01/2000 24 1,995
Alliant Energy Resources, Inc.
4.910% due 01/01/2000 33 1,982
Kerr-McGee Corp.
5.250% due 02/15/2010 1,000 1,247
Nabors Industries, Inc.
0.000% due 06/20/2020 4,900 3,418
----------
10,574
----------
Total Convertible Bonds & Notes 114,895
(Cost $99,333) ==========
--------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK 23.3%
--------------------------------------------------------------------------------
Shares
Banking & Finance 3.2%
Metlife Capital Trust I Cvt. Pfd.
5.680% due 01/01/2000 61,000 5,078
----------
Energy 6.4%
Apache Corp. Cvt. Pfd.
6.500% due 05/15/2002 17,000 872
Coastal Corp. Cvt. Pfd.
6.625% due 08/16/2002 10,000 416
Kerr-McGee Corp. Cvt. Pfd.
5.500% due 08/01/2004 108,900 5,918
Valero Energy Cvt. Pfd.
7.750% due 08/18/2003 100,500 2,952
----------
10,158
==========
Industrial 5.2%
Decs Trust VI Cvt. Pfd.
6.250% due 11/15/2002 40,000 1,800
Qwest Trends Trust Cvt. Pfd.
2.400% due 01/01/2000 25,000 1,969
Sealed Air Corp. Cvt. Pfd.
4.000% due 04/01/2018 2,000 90
Times Mirror Co. Cvt. Pfd.
4.250% due 03/15/2001 4,000 339
Tribune Co. Cvt. Pfd.
2.000% due 05/15/2029 35,100 4,168
----------
8,366
==========
Utilities 8.5%
Calpine Capital Trust III Cvt. Pfd.
5.000% due 01/01/2000 70,000 4,489
Enron Corp. Cvt. Pfd.
7.000% due 07/31/2002 108,000 3,841
MediaOne Group, Inc. Cvt. Pfd.
6.250% due 08/15/2001 9,500 791
SEI Trust I Cvt. Pfd.
6.250% due 10/01/2030 50,000 3,294
Weatherford International, Inc. Cvt. Pfd.
5.000% due 11/01/2027 25,000 1,191
----------
13,606
----------
Total Convertible Preferred Stock 37,208
(Cost $30,604) ==========
See accompanying notes 33
<PAGE>
Schedule of Investments
Convertible Fund
September 30, 2000 (Unaudited)
Value
Shares (000s)
--------------------------------------------------------------------------------
COMMON STOCKS 5.0%
--------------------------------------------------------------------------------
Communications 0.0%
Leap Wireless International, Inc. 344 $ 22
Consumer Discretionary 1.2%
Time Warner, Inc. 24,792 1,940
Technology 3.8%
EMC Corp. 60,668 6,014
----------
Total Common Stocks 7,976
(Cost $5,207) ==========
SHORT-TERM INSTRUMENTS 2.9%
Principal
Amount
(000s)
Commercial Paper 2.5%
Federal Home Loan Mortgage Corp.
6.440%due10/12/2000 $ 2,600 2,595
General Electric Capital Corp.
6.470% due 12/20/2000 700 690
Ingersoll-Rand Co.
6.840% due 10/02/2000 700 700
----------
3,985
==========
Repurchase Agreements 0.4%
State Street Bank
5.850% due 10/02/2000 576 576
(Dated 9/29/2000. Collateralized by
Federal Home Loan Bank
7.090% due 09/19/2003 valued at $590.
Repurchase proceeds are $576.)
----------
Total Short-Term Instruments 4,561
(Cost $4,561) ==========
Total Investments (a) 103.1% $ 164,640
(Cost $139,705)
Other Assets and Liabilities (Net) (3.1%) (4,967)
----------
Net Assets 100.0% $ 159,673
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 29,506
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (4,571)
----------
Unrealized appreciation-net $ 24,935
==========
34 See accompanying notes
<PAGE>
Schedule of Investments
Emerging Markets Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ARGENTINA 3.5%
--------------------------------------------------------------------------------
Republic of Argentina
7.375% due 03/31/2005 (d) $ 540 $ 498
11.375% due 01/30/2017 (f) 1,100 985
6.875% due 03/31/2023 500 343
------------
Total Argentina 1,826
(Cost $1,818) ============
--------------------------------------------------------------------------------
BERMUDA 0.4%
--------------------------------------------------------------------------------
IMEXA Export Trust
10.125% due 05/31/2003 $ 214 213
------------
Total Bermuda 213
(Cost $210) ============
--------------------------------------------------------------------------------
BRAZIL 29.9%
--------------------------------------------------------------------------------
Republic of Brazil
7.375% due 04/15/2006 (d)(f) $ 6,354 5,996
14.500% due 10/15/2009 (f) 2,300 2,536
7.437% due 04/15/2012 500 385
8.000% due 04/15/2014 (f) 868 669
6.937% due 04/15/2024 400 319
12.250% due 03/06/2030 (f) 4,950 4,505
11.000% due 08/17/2040 1,297 1,036
------------
Total Brazil 15,446
(Cost $15,215) ============
--------------------------------------------------------------------------------
BULGARIA 6.0%
--------------------------------------------------------------------------------
Republic of Bulgaria
7.062% due 07/28/2011 $ 1,250 947
7.062% due 07/28/2024 (d) 2,810 2,150
------------
Total Bulgaria 3,097
(Cost $3,185) ============
--------------------------------------------------------------------------------
COLOMBIA 1.0%
--------------------------------------------------------------------------------
Republic of Colombia
7.625% due 02/15/2007 $ 420 322
8.700% due 02/15/2016 130 89
11.750% due 02/25/2020 100 85
------------
Total Colombia 496
(Cost $504) ============
--------------------------------------------------------------------------------
JORDAN 2.5%
--------------------------------------------------------------------------------
Kingdom of Jordan
6.000% due 12/23/2023 $ 1,700 1,270
------------
Total Jordan 1,270
(Cost $1,190) ============
--------------------------------------------------------------------------------
MALAYSIA 5.0%
--------------------------------------------------------------------------------
Republic of Malaysia
6.875% due 05/15/2001 $ 1,500 1,500
8.750% due 06/01/2009 1,000 1,052
------------
Total Malaysia 2,552
(Cost $2,541) ============
--------------------------------------------------------------------------------
MEXICO 23.4%
--------------------------------------------------------------------------------
Nacional Financiera
8.565% due 05/08/2003 $ 1,500 1,523
United Mexican States
8.500% due 02/01/2006 1,500 1,501
10.375% due 02/17/2009 650 709
9.875% due 02/01/2010 1,250 1,332
6.250% due 12/31/2019 2,900 2,607
7.312% due 12/31/2019 1,650 1,724
7.925% due 12/31/2019 525 549
11.500% due 05/15/2026 1,725 2,098
United Mexican States Recovery Rights
0.000% due 06/30/2003 3,980 0
------------
Total Mexico 12,043
(Cost $11,588) ============
--------------------------------------------------------------------------------
MOROCCO 1.2%
--------------------------------------------------------------------------------
Republic of Morocco
7.750% due 01/01/2009 $ 699 $ 619
------------
Total Morocco 619
(Cost $626) ============
--------------------------------------------------------------------------------
NIGERIA 0.8%
--------------------------------------------------------------------------------
Central Bank of Nigeria
6.250% due 11/15/2020 $ 750 433
Central Bank of Nigeria - Warrant
0.000% due 11/15/2020 1 0
------------
Total Nigeria 433
(Cost $421) ============
--------------------------------------------------------------------------------
PANAMA 4.2%
--------------------------------------------------------------------------------
Republic of Panama
7.930% due 05/10/2002 $ 92 91
4.500% due 07/17/2014 1,750 1,414
8.875% due 09/30/2027 335 281
9.375% due 04/01/2029 400 385
------------
Total Panama 2,171
(Cost $2,186) ============
--------------------------------------------------------------------------------
PERU 3.9%
--------------------------------------------------------------------------------
Republic of Peru
3.750% due 03/07/2017 $ 2,100 1,174
4.500% due 03/07/2017 1,310 817
------------
Total Peru 1,991
(Cost $2,105) ============
--------------------------------------------------------------------------------
PHILIPPINES 1.2%
--------------------------------------------------------------------------------
Republic of Philippines
7.937% due 12/01/2007 $ 66 53
9.875% due 01/15/2019 275 225
9.875% due 01/15/2019 (f) 410 337
------------
Total Philippines 615
(Cost $642) ============
--------------------------------------------------------------------------------
POLAND 2.9%
--------------------------------------------------------------------------------
Republic of Poland
6.000% due 10/27/2014 $ 615 566
3.500% due 10/27/2024 1,475 929
------------
Total Poland 1,495
(Cost $1,447) ============
--------------------------------------------------------------------------------
RUSSIA 7.8%
--------------------------------------------------------------------------------
Russian Federation
9.250% due 11/27/2001 $ 100 97
8.750% due 07/24/2005 700 555
6.057% due 12/15/2015 505 175
11.000% due 07/24/2018 650 475
0.000% due 12/15/2020 3,300 1,122
12.750% due 06/24/2028 1,850 1,615
------------
Total Russia 4,039
(Cost $3,319) ============
--------------------------------------------------------------------------------
SOUTH KOREA 4.8%
--------------------------------------------------------------------------------
Hanvit Bank
11.750% due 03/01/2010 $ 200 199
12.750% due 03/01/2010 250 255
Korea Development Bank
9.450% due 03/15/2001 500 506
7.125% due 09/17/2001 500 499
Republic of Korea
8.875% due 04/15/2008 975 1,024
------------
Total South Korea 2,483
(Cost $2,436) ============
See accompanying notes 35
<PAGE>
Schedule of Investments
Emerging Markets Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
TURKEY 0.6%
--------------------------------------------------------------------------------
Export Credit Bank of Turkey
11.500% due 02/25/2005 $ 100 $ 99
Republic of Turkey
11.875% due 11/05/2004 215 224
------------
Total Turkey 323
(Cost $321) ============
--------------------------------------------------------------------------------
VENEZUELA 6.2%
--------------------------------------------------------------------------------
Republic of Venezuela
7.875% due 12/18/2007 (d) $ 1,607 1,381
6.750% due 03/31/2020 1,100 825
9.250% due 09/15/2027 1,500 1,014
Republic of Venezuela - Warrant
0.000% due 04/15/2020 6 0
------------
Total Venezuela 3,220
(Cost $3,133) ============
Short-Term Instruments 7.7%
Commercial Paper 5.6%
Alcoa, Inc.
6.450% due 12/06/2000 $ 200 198
General Electric Capital Corp.
6.470% due 12/13/2000-12/20/2000 (e) 1,400 888
Ingersoll-Rand Co.
6.740% due 11/15/2000 400 397
International Paper Co.
6.700% due 10/05/2000 400 400
National Power Corp.
7.625% due 11/15/2000 1,000 1,000
------------
2,883
============
Repurchase Agreement 2.1%
State Street Bank
5.850% due 10/02/2000 1,071 1,071
(Dated 9/29/2000. Collateralized by Federal
National Mortgage Association
7.050% due 02/28/2002 valued at $1,097
Repurchase proceeds are $1,072.)
------------
Total Short-Term Instruments 3,954
(Cost $3,950) ============
Total Investments (a) 113.0% $ 58,286
(Cost $56,836)
Other Assets and Liabilities (Net) (13.0%) (6,707)
------------
Net Assets 100.0% $ 51,579
============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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 $ 2,065
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value (615)
------------
Unrealized appreciation-net $ 1,450
============
(b) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Buy CP 67,438 12/2000 $ (5)
Buy EC 186 11/2000 (34)
Buy 496 10/2000 (13)
Sell 93 11/2000 18
Buy HF 165,000 11/2000 (33)
Buy PZ 750 11/2000 2
Buy 2,000 12/2000 (7)
Buy 1,000 01/2001 (8)
---------
$ (80)
=========
(c) Principal amount denoted in indicated currency:
CP - Chilean Peso
EC - European Currency Unit
HF - Hugarian Forint
PZ - Polish Zloty
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Securities are grouped by coupon or range of coupons and represent
a range of maturities.
(f) Subject to financing transaction.
36 See accompanying notes
<PAGE>
Schedule of Investments
Foreign Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ARGENTINA (f)(g) 0.3%
--------------------------------------------------------------------------------
Republic of Argentina
5.000% due 12/20/2002 JY 219,000 $ 2,041
------------
Total Argentina 2,041
(Cost $1,741) ============
--------------------------------------------------------------------------------
ARUBA (f)(g) 0.3%
--------------------------------------------------------------------------------
YTP Finance (Aruba)
3.500% due 07/18/2012 JY 200,000 1,901
------------
Total Aruba 1,901
(Cost $1,899) ============
--------------------------------------------------------------------------------
AUSTRALIA (f)(g) 3.7%
--------------------------------------------------------------------------------
Bankers Trust Corp.
6.970% due 06/02/2008 (d) $ 4,800 4,672
General Electric Capital Funding
6.750% due 09/15/2007 A$ 750 410
General Motors Acceptance Corp.
5.020% due 03/25/2002 EC 10,300 9,080
Registered Australian Mortgage Securities
4.770% due 09/26/1932 (d) 4,761 4,203
Torrens Trust
6.880% due 07/15/2031 (d) $ 3,211 3,211
------------
Total Australia 21,576
(Cost $22,819) ============
--------------------------------------------------------------------------------
AUSTRIA (f)(g) 0.2%
--------------------------------------------------------------------------------
Republic of Austria
5.500% due 01/15/2010 EC 1,200 1,052
------------
Total Austria 1,052
(Cost $1,041) ============
--------------------------------------------------------------------------------
BELGIUM (f)(g) 0.7%
--------------------------------------------------------------------------------
Kingdom of Belgium
9.000% due 03/28/2003 EC 5 5
6.750% due 11/21/2004 (d) BF 183,200 4,215
------------
Total Belgium 4,220
(Cost $6,060) ============
--------------------------------------------------------------------------------
BRAZIL (f)(g) 0.2%
--------------------------------------------------------------------------------
Republic of Brazil
7.880% due 01/01/2001 (d) $ 148 148
7.380% due 04/15/2006 (d) 10 9
11.250% due 07/26/2007 1,000 1,004
14.500% due 10/15/2009 200 221
------------
Total Brazil 1,382
(Cost $1,325) ============
--------------------------------------------------------------------------------
BULGARIA (f)(g) 0.8%
--------------------------------------------------------------------------------
Republic of Bulgaria
7.750% due 07/28/2011 (d) $ 2,670 2,023
2.750% due 07/28/2012 (d) 1,300 947
7.750% due 07/28/2024 (d) 2,600 1,989
------------
Total Bulgaria 4,959
(Cost $4,909) ============
--------------------------------------------------------------------------------
CANADA (f)(g) 0.5%
--------------------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 3,440 2,292
Commonwealth of Canada
5.250% due 09/01/2003 640 419
------------
Total Canada 2,711
(Cost $2,813) ============
--------------------------------------------------------------------------------
CAYMAN ISLANDS (f)(g) 2.9%
--------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C.
5.300% due 09/21/2000 JY 200,000 $ 1,852
Capital Credit Card Corp.
5.630% due 10/15/2004 DM 2,800 1,266
Daiwa International Finance Cayman
5.000% due 12/28/2004 JY 300,000 2,806
Fuji Finance (Cayman)
7.290% due 04/15/2010 (d) $ 1,900 1,894
MBNA American Euro
4.980% due 05/19/2004 (d) EC 8,100 7,465
Sakura Capital Funding
7.560% due 09/29/2049 (d) $ 1,600 1,552
------------
Total Cayman Islands 16,835
(Cost $18,212) ============
--------------------------------------------------------------------------------
COLOMBIA (f)(g) 0.2%
--------------------------------------------------------------------------------
Republic of Colombia
3.000% due 12/22/2000 JY 150,000 1,373
------------
Total Colombia 1,373
(Cost $1,151) ============
--------------------------------------------------------------------------------
DENMARK (f)(g) 2.8%
--------------------------------------------------------------------------------
Nykredit
5.000% due 10/01/2029 DK 58,900 6,054
Realkredit Danmark Mortgage
5.000% due 10/01/2029 25,627 2,633
6.000% due 10/01/2029 24,500 2,710
Unikredit Realkredit
6.000% due 07/01/2029 20,700 2,291
5.000% due 10/01/2029 27,697 2,855
------------
Total Denmark 16,543
(Cost $18,073) ============
--------------------------------------------------------------------------------
FRANCE (f)(g) 8.3%
--------------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 835 767
France Government Bond (OAT)
4.000% due 04/25/2009 8,250 6,622
5.500% due 04/25/2010 13,960 12,418
Republic of France
3.000% due 07/25/2009 (h)(i) 3,105 2,586
4.000% due 10/25/2009 32,950 26,255
------------
Total France 48,648
(Cost $53,005) ============
--------------------------------------------------------------------------------
GERMANY (f)(g) 8.8%
--------------------------------------------------------------------------------
Barclays Capital Corp.
3.250% due 12/20/2000 DM 2,000 902
Depfa Pfandbriefbank
4.750% due 07/15/2008 EC 3,590 2,976
5.750% due 03/04/2009 (i) DM 3,560 3,133
Republic of Germany
6.000% due 07/04/2007 EC 22,450 20,661
5.250% due 01/04/2008 26,450 23,360
4.500% due 07/04/2009 20 17
6.250% due 01/04/2024 680 648
------------
Total Germany 51,697
(Cost $52,483) ============
--------------------------------------------------------------------------------
GREECE (f)(g) 3.8%
--------------------------------------------------------------------------------
CSFP Credit
7.420% due 11/19/2004 (d)(k) $ 19,000 19,171
Hellenic Finance
2.000% due 07/15/2003 EC 1,600 1,417
Hellenic Republic
7.850% due 05/19/2003 (d) GD 100,000 270
7.890% due 06/17/2003 (d) 107,400 290
10.240% due 10/23/2003 (d) 376,000 1,013
------------
Total Greece 22,161
(Cost $22,932) ============
See accompanying notes 37
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ITALY (f)(g) 11.7%
--------------------------------------------------------------------------------
Finmeccanica SpA
2.000% due 06/08/2005 EC 544 $ 473
First Italian Auto Transaction
4.820% due 07/01/2008 (d) 4,800 4,241
Island Finance
5.490% due 03/30/2015 (d) 2,819 2,492
Republic of Italy
4.500% due 05/01/2009 31,710 26,043
4.250% due 11/01/2009 5,560 4,466
5.500% due 11/01/2010 13,320 11,733
6.500% due 11/01/2027 11,420 10,772
5.250% due 11/01/2029 10,520 8,417
------------
Total Italy 68,637
(Cost $71,444) ============
--------------------------------------------------------------------------------
JAPAN (f)(g) 2.5%
--------------------------------------------------------------------------------
Government of Japan Ten-Year Bond
0.900% due 12/22/2008 JY 907,400 7,751
International Credit Receivable Japan
0.750% due 08/25/2005 50,000 463
International Credit Receivable Japan 1 Tranche A
0.720% due 11/22/2004 (d) 56,460 523
0.650% due 08/25/2005 230,000 2,130
International Credit Receivable Japan 1 Tranche B
0.820% due 11/22/2004 (d) 200,000 1,852
SHL Corp. Ltd.
0.530% due 12/25/2024 (d) 121,113 1,122
0.830% due 12/25/2024 (d) 76,000 704
------------
Total Japan 14,545
(Cost $14,662) ============
--------------------------------------------------------------------------------
MEXICO (f)(g) 1.3%
--------------------------------------------------------------------------------
Petroleos Mexicanos
8.850% due 09/15/2007 $ 1,040 1,032
9.380% due 12/02/2008 1,290 1,329
United Mexican States
8.750% due 05/30/2002 BP 270 404
10.380% due 01/29/2003 DM 2,575 1,248
4.000% due 03/11/2004 JY 130,000 1,205
9.880% due 02/01/2010 $ 2,250 2,397
------------
Total Mexico 7,615
(Cost $7,849) ============
--------------------------------------------------------------------------------
NETHERLANDS (f)(g) 1.1%
--------------------------------------------------------------------------------
Mannesmann Finance BV
4.750% due 05/27/2009 EC 3,700 2,903
Tecnost International NV
6.670% due 06/23/2004 (d) 1,430 1,275
Telekomunikacja Polska SA
7.750% due 12/10/2008 $ 2,120 2,045
------------
Total Netherlands 6,223
(Cost $6,856) ============
--------------------------------------------------------------------------------
NEW ZEALAND (f)(g) 1.1%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 (i) N$ 15,300 6,530
------------
Total New Zealand 6,530
(Cost $8,639) ============
--------------------------------------------------------------------------------
PANAMA (f)(g) 0.2%
--------------------------------------------------------------------------------
Republic of Panama
8.880% due 09/30/2027 $ 1,100 921
------------
Total Panama 921
(Cost $976) ============
--------------------------------------------------------------------------------
PERU (f)(g) 0.3%
--------------------------------------------------------------------------------
Republic of Peru
4.500% due 03/07/2017 (d) $ 2,700 1,691
------------
Total Peru 1,691
(Cost $1,841) ============
--------------------------------------------------------------------------------
PHILIPPINES (f)(g) 0.6%
--------------------------------------------------------------------------------
Republic of Philippines
8.000% due 09/17/2004 EC 2,420 2,157
7.940% due 12/01/2009 (d) $ 1,300 1,131
------------
Total Philippines 3,288
(Cost $3,860) ============
--------------------------------------------------------------------------------
POLAND (f)(g) 0.0%
--------------------------------------------------------------------------------
Republic of Poland
3.500% due 10/27/2024(d) $ 105 66
------------
Total Poland 66
(Cost $65) ============
--------------------------------------------------------------------------------
PORTUGAL (f)(g) 1.6%
--------------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 EC 11,770 9,261
------------
Total Portugal 9,261
(Cost $11,042) ============
--------------------------------------------------------------------------------
SOUTH KOREA (f)(g) 1.7%
--------------------------------------------------------------------------------
Export-Import Bank Korea
7.250% due 06/25/2001 $ 1,945 1,937
6.500% due 02/10/2002 800 789
Korea Development Bank
4.800% due 05/14/2001 (d) DM 7,310 3,270
2.770% due 05/21/2001 JY 400,000 3,778
1.880% due 02/13/2002 13,000 120
------------
Total South Korea 9,894
(Cost $10,158) ============
--------------------------------------------------------------------------------
SPAIN (f)(g) 3.2%
--------------------------------------------------------------------------------
Kingdom of Spain
5.150% due 07/30/2009 (i) EC 21,730 18,714
------------
Total Spain 18,714
(Cost $22,578) ============
--------------------------------------------------------------------------------
SUPRANATIONAL (f)(g) 2.2%
--------------------------------------------------------------------------------
Eurofima
4.750% due 07/07/2004 SK 60,900 6,149
5.000% due 10/01/2029 32,859 3,381
European Investment Bank
5.380% due 08/28/2007 NK 2,400 244
International Bank for Reconstruction & Development
7.250% due 04/09/2001 N$ 6,400 2,613
World Bank
10.250% due 04/11/2002 PP 31,000 624
------------
Total Supranational 13,011
(Cost $15,979) ============
--------------------------------------------------------------------------------
SWEDEN (f)(g) 0.5%
--------------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 11,200 1,230
0.000% due 04/01/2004 19,097 1,845
------------
Total Sweden 3,075
(Cost $3,575) ============
--------------------------------------------------------------------------------
TUNISIA (f)(g) 0.2%
--------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 1,500 1,356
------------
Total Tunisia 1,356
(Cost $1,525) ============
38 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
UNITED KINGDOM (f)(g) 6.4%
--------------------------------------------------------------------------------
Abbey National Treasury Service
7.630% due 12/30/2002 BP 1,770 $ 2,678
5.250% due 01/21/2004 2,670 3,811
Bank of Scotland Capital Fund
8.120% due 03/31/2049 850 1,254
Halifax Group Euro Finance
7.630% due 12/29/2049 (d) EC 1,040 918
Halifax Group Sterling Finance
7.880% due 12/29/2049 (d) BP 3,960 6,283
HAUS Ltd.
5.010% due 12/10/2037 (d) EC 8,500 7,505
International Credit Receivable
5.390% due 03/15/2010 JY 1,800 1,589
Lloyds TSB Capital
7.380% due 02/07/2049 500 445
SCCR Series 1 Ltd.
5.020% due 12/15/2031 2,041 1,806
Polestar Corp. PLC
10.500% due 05/30/2008 BP 170 188
United Kingdom Gilt
5.750% due 12/07/2009 7,150 10,980
------------
Total United Kingdom 37,457
(Cost $39,831) ============
--------------------------------------------------------------------------------
United States (f)(g) 97.2%
--------------------------------------------------------------------------------
Asset-Backed Securities 6.7%
AES Corp. 8.690% due 05/19/2001 $ 1,500 1,500
AFC Home Equity Loan Trust
6.840% due 03/25/2027 (d) 805 806
Americredit Automobile Receivable Trust
5.880% due 12/05/2003 216 215
Amresco Residential Securities Mortgage Loan Trust
7.090% due 06/25/2029 (d) 5,354 5,373
Banc One Auto Grantor Trust
6.270% due 11/20/2003 272 271
6.290% due 07/20/2004 466 463
Bayview Financial Acquisition Trust
7.170% due 02/25/2029 (d) 352 352
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 141 141
Conseco Finance
6.990% due 10/15/2031 (d) 1,278 1,281
Contimortgage Home Equity Loan Trust
6.790% due 10/15/2012 (d) 212 212
6.010% due 12/25/2013 3,780 3,761
EQCC Home Equity Loan Trust
5.770% due 03/20/2029 1,664 1,655
6.870% due 03/20/2029 437 437
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 1,688 1,674
Providian Gateway Master Trust
6.840% due 03/15/2007 5,800 5,800
Providian Home Equity Loan Trust
6.910% due 06/25/2025 (d) 4,043 4,047
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 1,630 1,619
Residential Funding Mortgage Securities, Inc.
10.930% due 06/01/2001 (d) 7,100 7,100
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 724 720
Voicestream
9.660% due 02/15/2009 2,000 1,995
------------
39,422
============
Corporate Bonds & Notes 19.6%
Abbey National Capital Trust I
8.960% due 12/29/2049 2,000 2,011
AESOP Funding II LLC
6.220% due 10/20/2001 567 567
Allegheny Energy Supply
7.510% due 05/01/2002 (d) 2,900 2,900
Alpha Wind
11.320% due 05/23/2001 (d) 2,000 2,000
Associates Corp. of North America
6.780% due 08/27/2001 (d) 5,000 5,013
AT&T Capital Corp.
7.010% due 04/23/2002 (d) 675 677
Bancomext Trust Division
8.000% due 08/05/2003 390 390
Bear Stearns Co., Inc.
7.130% due 03/28/2003 (d) 2,670 2,670
Beckman Instruments, Inc.
7.100% due 03/04/2003 344 334
Capital One Bank
7.090% due 07/28/2003 (d) 12,000 12,045
CMS Energy Corp.
8.130% due 05/15/2002 546 542
DaimlerChrysler Holdings
6.960% due 08/23/2002 (d) 3,900 3,914
DQE Capital Corp.
7.230% due 01/15/2002 (d) 800 800
Finova Capital Corp.
6.910% due 06/18/2003 (d) 5,700 4,988
Ford Motor Credit Corp.
1.000% due 12/22/2003 JY 107,000 984
7.080% due 07/19/2004 (d) $ 2,800 2,803
1.200% due 02/07/2005 JY 619,000 5,641
General Motors Acceptance Corp.
7.020% due 04/05/2004 (d)$ $ 2,800 2,796
7.020% due 04/05/2004 (d) 16,420 16,399
6.880% due 09/09/2004 BP 4,080 6,040
1.250% due 12/20/2004 JY 208,000 1,912
Gold Eagle Capital Ltd.
12.130% due 04/15/2001 $ 2,500 2,500
Goldman Sachs Group
7.220% due 02/19/2004 (d) 1,430 1,452
Household Finance Corp.
5.130% due 06/24/2009 (i) EC 4,900 3,901
International Game Technology
7.880% due 05/15/2004 $ 1,700 1,670
J.P. Morgan & Co.
8.080% due 02/15/2012 (d) 6,780 5,865
Jones Intercable, Inc.
8.880% due 04/01/2007 427 448
KBC Bank Fund Trust IV
8.220% due 11/29/2049 EC 2,800 2,509
Lehman Brothers Holdings, Inc.
6.700% due 11/30/2006 (d) $ 848 784
MGM Grand, Inc.
6.950% due 02/01/2005 180 173
NeHi, Inc.
11.310% due 06/09/2003 (d) 2,000 2,010
Protective Life Funding Trust
7.090% due 01/17/2003 (d) 1,200 1,198
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (d)(i) 13,189 13,033
6.910% due 02/11/2003 (d) 400 400
Sprint Capital Corp.
5.880% due 05/01/2004 690 662
Texas Utilities Co.
7.590% due 09/24/2001 (d) 2,600 2,614
------------
114,645
============
Mortgage-Backed Securities 50.0%
Bank of America Mortgage Securities, Inc.
6.500% due 05/25/2029 299 281
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 2,407 2,387
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 2,184 2,161
6.500% due 03/25/2029 140 129
Crusade Global Trust
7.010% due 05/15/2021 (d) 14,400 14,436
See accompanying notes 39
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.
6.000% due 03/15/2008 $ 773 $ 766
8.270% due 06/01/2022 (d) 1,124 1,131
8.400% due 08/01/2022 (d) 675 693
9.050% due 06/15/2019 55 57
Federal National Mortgage Assn.
8.500% due 07/01/2021 (d) 794 820
7.420% due 11/01/2022 (d) 848 875
7.580% due 01/01/2023 (d) 1,305 1,345
8.120% due 08/01/2023 (d) 991 1,020
General Electric Capital Mortgage Services, Inc.
6.250% due 07/25/2029 500 483
Government National Mortgage Assn.
6.000% due 04/20/1930-10/23/2030 (d)(e) 404,388 194,802
7.000% due 04/20/1930-05/20/2030 (d)(e) 8,209 4,804
7.130% due 11/20/2021 (d) 537 541
7.380% due 05/20/2022 (d) 49 50
6.750% due 07/20/2022 (d) 548 554
6.750% due 09/20/2022 (d) 360 364
7.380% due 05/20/2023 (d) 541 545
6.750% due 07/20/2023 (d) 294 297
6.750% due 07/20/2023 (d) 607 613
6.750% due 08/20/2023 (d) 272 275
6.750% due 09/20/2023 (d) 1,611 1,627
6.750% due 09/20/2023 (d) 709 716
7.130% due 10/20/2023 (d) 2,977 2,999
7.130% due 10/20/2024 (d) 240 242
7.380% due 04/20/2025 (d) 178 179
6.750% due 07/20/2025 (d) 3,990 4,029
6.750% due 09/20/2025 (d) 764 771
7.130% due 12/20/2025 (d) 292 294
6.750% due 09/20/2026 (d) 625 631
7.380% due 04/20/2027 (d) 1,518 1,529
6.500% due 10/21/2029 23,450 22,585
Independent National Mortgage Corp.
9.140% due 11/25/2024 (d) 2 2
Medallion Trust
6.960% due 07/12/2031 (d) 5,497 5,497
Morgan Stanley Mortgage Trust
8.150% due 07/20/2021 1 1
Prudential Home Mortgage Securities
6.800% due 05/25/2024 464 388
Residential Funding Mortgage Securities, Inc.
6.500% due 06/25/2029 1,276 1,055
7.090% due 05/12/2032 (d) 14,854 14,854
Sasco Floating Rate Commercial Mortgage
7.020% due 11/20/2001 (d) 2,802 2,807
Structured Asset Mortgage Investments, Inc.
6.580% due 06/25/2029 (d) 3,038 2,912
----------
292,547
==========
--------------------------------------------------------------------------------
Municipal Bonds & Notes 0.1%
--------------------------------------------------------------------------------
Massachusetts State Turnpike Authority Metro Highway
System Revenue Bonds, (MBIA Insured), Series 1997
5.000% due 01/01/2037 1,000 873
----------
--------------------------------------------------------------------------------
U.S. Government Agencies 3.7%
--------------------------------------------------------------------------------
Federal Home Loan Bank
7.270% due 02/15/2002 (d) 14,000 13,825
Federal National Mortgage Assn.
6.500% due 07/10/2002 (i) A$ 14,100 7,617
----------
21,442
==========
--------------------------------------------------------------------------------
U.S. Treasury Obligations 15.9%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (h)
3.630% due 07/15/2002 (b) $ 87,332 87,305
U.S. Treasury Bond
6.250% due 08/15/2023 5,400 5,501
----------
92,806
==========
Shares
Preferred Security 1.1%
DG Funding Trust
9.060% due 12/29/2049 (d) 1 6,416
----------
Total United States 568,151
(Cost $571,535) ==========
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 2.7%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Eurodollar March Futures (CME)
Strike @ 90.75 Exp. 03/19/2000 200,000 1
General National Mortgage Assn. (OTC)
6.000% due 10/20/2030
Strike @ 85.84 Exp. 11/13/2000 192,700 2
General National Mortgage Assn. (OTC)
6.500% due 11/23/2030
Strike @ 89.359 Exp. 11/13/2000 114,950 1
Interest Rate Swap (OTC)
Strike @ 7.500% Exp. 04/29/2002 11,200 232
U.S. Treasury Inflation Protected Securities (OTC)
3.625% due 07/15/2002
Strike @ 96.50 Exp. 01/29/2001 77,240 0
U.S. Treasury Note (OTC)
5.625% due 05/15/2008
Strike @ 105.44 Exp. 11/01/2000 102,100 7,283
U.S. Treasury Note (OTC)
6.000% due 08/15/2009
Strike @ 110.09 Exp. 11/06/2000 53,160 4,991
U.S. Treasury Note (OTC)
6.375% due 04/30/2002
Strike @ 103.125 Exp. 11/01/2000 119,800 3,187
----------
Total Purchased Put Options 15,697
(Cost $17,168) ==========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 12.7%
--------------------------------------------------------------------------------
Commercial Paper 12.7%
Abbey National PLC
6.520% due 11/03/2000 $ 1,400 1,392
American Electric Power, Inc.
6.700% due 10/18/2000-11/01/2000 (e) 5,400 4,684
AT&T Corp.
6.500% due 11/08/2000 900 894
6.470% due 11/29/2000 8,500 8,407
Bank One Corp.
6.540% due 10/31/2000 9,500 9,449
Coca-Cola Co.
6.490% due 12/13/2000 300 296
Conagra, Inc.
6.680% due 10/27/2000 1,100 1,095
6.670% due 11/15/2000-11/16/2000 (e) 6,600 5,356
DaimlerChrysler AG
6.500% due 10/25/2000 3,000 2,988
Edison Midwest
6.750% due 11/01/2000 8,900 5,668
6.730% due 11/15/2000 1,300 1,289
Gannett Co.
6.490% due 11/08/2000 2,900 2,881
General Electric Capital Corp.
6.470% due 12/13/2000 600 592
Honeywell, Inc.
6.510% due 11/21/2000 1,000 991
Houston Industries
6.820% due 10/04/2000 900 900
6.770% due 10/18/2000 5,000 4,985
Infinity Broadcasting Corp.
6.720% due 11/09/2000 2,000 1,986
6.700% due 11/16/2000 3,800 3,768
International Paper Co.
6.700% due 10/05/2000 1,100 1,099
6.720% due 10/10/2000 4,400 4,393
6.700% due 11/01/2000 4,100 4,077
Minnesota Mining & Manufacturing
6.470% due 11/28/2000 1,200 1,187
Nike, Inc.
6.490% due 10/10/2000 500 499
Swedbank, Inc.
6.570% due 10/18/2000 1,200 1,196
Texas Utilities Co.
6.700% due 10/18/2000 1,800 1,795
Yorkshire Building Society
6.470% due 12/20/2000 2,200 2,168
----------
74,035
==========
40 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
U.S. Treasury Bills (b) 0.0%
6.470% due 02/01/2001 $ 20 $ 20
----------
Total Short-Term Instruments 74,055
(Cost $74,062) ==========
Total Investments (a) 180.7% $1,057,286
(Cost $1,092,108)
Written Options (c) (0.2%) (1,096)
(Premiums $855)
Other Assets and Liabilities (Net) (80.5%) (471,121)
----------
Net Assets 100.0% $ 585,069
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 4,595
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (39,417)
----------
Unrealized depreciation-net $ (34,822)
==========
(b) Securities with an aggregate market value of $4,109 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at September 30, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
EuroBond (12/2000) 275 $ 94
Government of Japan 10 Year Note (12/2000) 137 (353)
United Kingdom 10 Year Note (12/2000) 137 (121)
United Kingdom 90 Day LIBOR Futures (06/2001) 119 (5)
EuroBond 10 Year Note Options (11/2000) 228 74
----------
$ (311)
==========
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Note December Futures
Strike @ 103.00 Exp. 11/18/2000 48 $ 7 $ 5
Call - CBOT U.S. Treasury Note December Futures
Strike @ 102.00 Exp. 11/18/2000 48 14 11
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.84 Exp. 10/10/2000 14,300,000 72 3
Call - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.90 Exp. 10/10/2000 14,300,000 62 31
Put - CME Eurodollar March Futures
Strike @ 92.75 Exp. 03/19/2001 28 19 1
Call - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 50 13 37
Put - CME Eurodollar March Futures
Strike @ 92.25 Exp. 03/19/2001 22 13 0
Put - CBOT U.S. Treasury Note December Futures
Strike @ 98.00 Exp. 11/18/2000 24 15 4
Put - CBOT U.S. Treasury Note December Futures
Strike @ 97.00 Exp. 11/18/2000 24 9 2
Call - TSE Government of Japan December Futures
Strike @ 134.00 Exp. 11/30/2000 18 34 37
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.81 Exp.12/21/2000 16,200,000 58 35
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.85 Exp. 10/24/2000 7,200,000 35 18
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.500% Exp. 02/23/2001 7,900,000 41 33
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.85 Exp. 10/24/2000 21,600,000 100 55
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 7.500% Exp. 04/29/2002 16,000,000 363 824
----------------------
$ 855 $ 1,096
======================
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Securities are grouped together by coupon or range of coupons and represent
a range of maturities.
(f) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Buy AP 730 02/2001 $ 5
Buy A$ 4,654 10/2000 (203)
Sell 1,560 10/2000 53
Sell 8,245 11/2000 10
Buy 3,283 11/2000 2
Buy BR 1,339 01/2001 (5)
Buy 1,057 03/2001 8
Sell C$ 5,007 10/2000 47
Buy 1,200 10/2000 (7)
Sell SF 20,620 10/2000 (179)
Buy 10,050 10/2000 11
Sell 10,050 11/2000 (8)
Buy CL 349,600 10/2000 (29)
Buy 117,900 03/2001 0
Sell DK 130,823 10/2000 182
Buy 46,548 10/2000 (2)
Sell 46,548 11/2000 3
Sell EC 2,810 01/2001 201
Sell 101,808 10/2000 1,888
Buy 797,671 10/2000 (254)
Sell 12,504 11/2000 (74)
Sell BP 17,042 10/2000 (339)
Buy GD 2,550,004 01/2001 (179)
Sell 719,346 12/2000 (4)
Sell H$ 48,140 10/2000 (33)
Buy 48,140 10/2000 (5)
Sell 223,800 08/2001 103
Buy 111,900 08/2001 (14)
Buy HF 1,248,000 01/2001 (686)
Sell 1,248,000 01/2001 313
Buy 341,600 02/2001 (49)
Buy IR 8,560,000 10/2000 66
Buy JY 2,136,556 10/2000 (205)
Sell 4,133,801 10/2000 417
Sell 1,036,463 11/2000 5
Buy KW 1,262,100 10/2000 5
Buy MP 6,880 10/2000 34
Buy 6,715 01/2001 15
Sell 6,880 10/2000 (20)
See accompanying notes 41
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
September 30, 2000 (Unaudited)
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell NK 4,160 10/2000 $ (12)
Sell N$ 85,230 10/2000 2,538
Buy 64,271 10/2000 (1,014)
Sell 3,866 11/2000 24
Buy PN 3,880 02/2001 (5)
Buy 908 03/2001 3
Buy PP 33,140 03/2001 12
Buy PZ 14,414 01/2001 (171)
Buy 8,090 02/2001 (30)
Buy 26,046 03/2001 (87)
Sell 13,704 01/2001 (56)
Sell 8,090 02/2001 (30)
Sell 3,640 03/2001 (55)
Buy 25,080 10/2000 (186)
Sell SK 33,780 10/2000 66
Buy TB 28,140 10/2000 (40)
Buy TD 21,403 10/2000 (14)
Buy VB 500,950 10/2000 35
Buy 144,970 12/2000 4
Buy SR 7,235 03/2001 12
Buy CP 1,365,400 02/2001 0
Buy TL 882,000,000 02/2001 0
----------
$ 2,067
==========
(g) Principal amount denoted in indicated currency:
AP - Argentine Peso
A$ - Australian Dollar
BP - British Pound
BR - Brazilian Real
CL - Chilean Peso
CP - Colombian Peso
C$ - Canadian Dollar
DK - Danish Krone
EC - Euro
GD - Greek Drachma
HF - Hungarian Forint
H$ - Hong Kong Dollar
IR - Indonesian Rupiah
JY - Japanese Yen
MP - Mexican Peso
N$ - New Zealand Dollar
NK - Norwegian Kron
PN - Peruvian New Sol
PP - Philippines Peso
PZ - Polish Zloty
KW - South Korean Won
SF - Swiss Franc
SK - Swedish Krona
SR - South Africa Rand
TD - Taiwan Dollar
TB - Thai Baht
TL - Turkish Lira
VB - Venezuelan Bolivar
(h) Principal amount of the security is adjusted for inflation.
(i) Subject to financing transaction.
(j) Swap agreements outstanding at September 30, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive fixed rate equal to 6.949% and pay floating rate based on 6-month
BP-LIBOR.
Broker: Merrill Lynch
Exp. 08/06/2003 BP 4,500 $ 107
Receive floating rate based on 6-month Australian Bank Bill and pay a fixed rate
equal to 6.667%.
Broker: Morgan Stanley
Exp. 09/20/2005 A$ 31,500 6
Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate
equal to 6.346%.
Broker: Goldman Sachs
Exp. 07/19/2005 C$ 22,500 (187)
Receive floating rate based on 3-month Canadian Bank Bill and pay fixed rate
equal to 6.248%.
Broker: Royal Bank of Canada
Exp. 08/02/2005 60,600 (356)
Receive floating rate based on 3-month Canadian Bank Bill and pay fixed rate
equal to 6.515%.
Broker: J.P. Morgan
Exp. 05/10/2002 24,330 (160)
Receive floating rate based on 6-month JY-LIBOR and pay fixed rate equal to
2.020%.
Broker: Goldman Sachs
Exp. 05/18/2010 JY 1,776,000 28
Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to
6.175%.
Broker: Goldman Sachs
Exp. 05/22/2030 EC 9,440 (95)
Receive floating rate based on 6-month EURO-LIBOR minus 0.54% and pay a fixed
rate equal to 6.250%.
Broker: J.P. Morgan
Exp. 01/04/2024 680 8
Receive a fixed rate equal to 7.291% and pay floating rate based on 3-month
LIBOR.
Broker: Goldman Sachs
Exp. 07/21/2005 $ 14,500 330
Receive a fixed rate equal to 7.010% and pay floating rate based on 6-month
LIBOR.
Broker: Morgan Stanley
Exp. 09/20/2005 18,500 208
Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to
6.069%.
Broker: Morgan Stanley
Exp. 08/25/2030 EC 7,900 58
----------
$ (53)
==========
(k) Restricted security.
42 See accompanying notes
<PAGE>
Schedule of Investments
Global Bond Fund II
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ARGENTINA (e)(f) 0.1%
--------------------------------------------------------------------------------
Republic of Argentina
5.000% due 12/20/2002 JY 10,000 $ 93
----------
Total Argentina 93
(Cost $95) ==========
--------------------------------------------------------------------------------
AUSTRALIA (e)(f) 4.4%
--------------------------------------------------------------------------------
Bankers Trust Corp.
6.970% due 06/02/2008 (d) $ 700 681
General Motors Acceptance Corp.
5.020% due 03/25/2002 EC 1,200 1,058
Registered Australian Mortgage Securities
4.770% due 09/26/2032 (d) 661 584
Superannuation Members Home Loans Global Fund
7.020% due 06/15/2026 (d) $ 400 400
Torrens Trust
6.880% due 07/15/2031 (d) 472 472
----------
Total Australia 3,195
(Cost $3,329) ==========
--------------------------------------------------------------------------------
AUSTRIA (e)(f) 0.1%
--------------------------------------------------------------------------------
Republic of Austria
5.500% due 01/15/2010 (j) EC 100 88
----------
Total Austria 88
(Cost $87) ==========
--------------------------------------------------------------------------------
BELGIUM (e)(f) 0.2%
--------------------------------------------------------------------------------
Kingdom of Belgium
6.750% due 11/21/2004 (d) BF 5,800 133
----------
Total Belgium 133
(Cost $190) ==========
--------------------------------------------------------------------------------
BRAZIL 0.6%
--------------------------------------------------------------------------------
Republic of Brazil
7.880% due 01/01/2001 (d) $ 25 25
7.380% due 04/15/2006 (d) 419 394
----------
Total Brazil 419
(Cost $405) ==========
--------------------------------------------------------------------------------
BULGARIA 1.3%
--------------------------------------------------------------------------------
Republic of Bulgaria
2.750% due 07/28/2012 (d) $ 682 497
7.750% due 07/28/2024 (d) 580 444
----------
Total Bulgaria 941
(Cost $938) ==========
--------------------------------------------------------------------------------
CANADA (e)(f) 0.3%
--------------------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 330 220
----------
Total Canada 220
(Cost $227) ==========
--------------------------------------------------------------------------------
CAYMAN ISLANDS (e)(f) 0.3%
--------------------------------------------------------------------------------
MBNA American Euro
4.980% due 05/19/2004 (d) EC 280 258
----------
Total Cayman Islands 258
(Cost $294) ==========
--------------------------------------------------------------------------------
DENMARK (e)(f) 3.8%
--------------------------------------------------------------------------------
Danske Kredit Mortgage
5.000% due 10/01/2029 DK 2,417 $ 250
Denmark Government Bond
4.000% due 02/15/2001 (j) 3,800 446
Nykredit
5.000% due 10/01/2029 8,100 833
Realkredit Danmark Mortgage
5.000% due 10/01/2029 3,603 370
6.000% due 10/01/2029 3,300 365
Unikredit Realkredit
5.000% due 10/01/2029 4,310 446
----------
Total Denmark 2,710
(Cost $3,004) ==========
--------------------------------------------------------------------------------
FRANCE (e)(f) 6.4%
--------------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 62 56
Compagnie Financiere de CIC-UE
6.890% due 10/29/2049 (d) $ 300 286
France Government Bond (OAT)
4.000% due 04/25/2009 (j) EC 1,170 939
5.500% due 04/25/2010 330 294
Republic of France
3.000% due 07/25/2009 309 257
4.000% due 10/25/2009 (j) 3,510 2,797
----------
Total France 4,629
(Cost $4,955) ==========
--------------------------------------------------------------------------------
GERMANY (e)(f) 2.0%
--------------------------------------------------------------------------------
Commerzbank AG
3.870% due 09/21/2001 EC 440 388
Depfa Pfandbriefbank
4.750% due 07/15/2008 130 108
5.750% due 03/04/2009 (j) 130 114
Republic of Germany
6.000% due 07/04/2007 430 396
5.250% due 01/04/2008 430 380
6.250% due 01/04/2024 90 86
----------
Total Germany 1,472
(Cost $1,570) ==========
--------------------------------------------------------------------------------
GREECE (e)(f) 8.0%
--------------------------------------------------------------------------------
CSFP Credit
7.420% due 11/19/2004 (d)(k) $ 1,750 1,766
Hellenic Republic
7.280% due 06/06/2001 (d) 400 406
7.890% due 06/17/2003 (d) GD 7,400 20
10.240% due 10/23/2003 (d) 33,600 90
6.600% due 01/15/2004 (j) 1,300,000 3,467
----------
Total Greece 5,749
(Cost $5,984) ==========
--------------------------------------------------------------------------------
ITALY (e)(f) 11.7%
--------------------------------------------------------------------------------
Finmeccanica SpA
2.000% due 06/08/2005 EC 188 163
Island Finance
5.490% due 03/30/2015 (d) 389 344
Republic of Italy
4.750% due 07/01/2005 (j) 1,680 1,447
4.500% due 05/01/2009 (j) 4,080 3,351
4.250% due 11/01/2009 (j) 720 578
5.500% due 11/01/2010 (j) 390 344
6.500% due 11/01/2027 1,100 1,038
5.250% due 11/01/2029 (j) 1,470 1,176
----------
Total Italy 8,441
(Cost $8,804) ==========
See accompanying notes 43
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund II
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
JAPAN (e)(f) 2.9%
--------------------------------------------------------------------------------
Government of Japan
4.000% due 06/20/2005 JY 11,000 $ 115
3.400% due 06/20/2005 (j) 28,000 285
0.900% due 12/22/2008 (j) 103,600 885
International Credit Receivable Japan
0.750% due 08/25/2005 10,000 93
International Credit Receivable Japan 1 Tranche A
0.720% due 11/22/2004 (d) 7,364 68
0.650% due 08/25/2005 30,000 278
International Credit Receivable Japan 1 Tranche B
0.820% due 11/22/2004 (d) 20,000 185
SHL Corp. Ltd.
0.530% due 12/25/2024 (d) 14,813 136
0.830% due 12/25/2024 (d) 5,000 46
----------
Total Japan 2,091
(Cost $2,075) ==========
--------------------------------------------------------------------------------
MEXICO (e)(f) 1.7%
--------------------------------------------------------------------------------
Petroleos Mexicanos
8.850% due 09/15/2007 $ 140 139
9.380% due 12/02/2008 190 196
United Mexican States
8.750% due 05/30/2002 BP 250 374
5.000% due 09/30/2002 JY 25,000 244
10.380% due 01/29/2003 DM 200 97
4.000% due 03/11/2004 JY 20,000 186
----------
Total Mexico 1,236
(Cost $1,275) ==========
--------------------------------------------------------------------------------
NETHERLANDS (e)(f) 0.9%
--------------------------------------------------------------------------------
Deutsche Bank Financial
6.720% due 12/17/2003 (d) $ 200 200
Tecnost International NV
6.670% due 06/23/2004 (d) EC 520 464
----------
Total Netherlands 664
(Cost $752) ==========
--------------------------------------------------------------------------------
NEW ZEALAND (e)(f) 0.7%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 1,200 512
----------
Total New Zealand 512
(Cost $678) ==========
--------------------------------------------------------------------------------
PANAMA 0.3%
--------------------------------------------------------------------------------
Republic of Panama
4.500% due 07/17/2014 $ 250 202
----------
Total Panama 202
(Cost $193) ==========
--------------------------------------------------------------------------------
PERU 0.7%
--------------------------------------------------------------------------------
Republic of Peru
3.750% due 03/07/2017 $ 250 140
4.500% due 03/07/2017 (d) 550 344
----------
Total Peru 484
(Cost $545) ==========
--------------------------------------------------------------------------------
PHILIPPINES (e)(f) 1.0%
--------------------------------------------------------------------------------
Republic of Philippines
8.000% due 09/17/2004 EC 570 508
7.940% due 12/01/2009 (d) $ 99 86
6.500% due 12/01/2017 120 93
----------
Total Philippines 687
(Cost $799) ==========
--------------------------------------------------------------------------------
POLAND 0.1%
--------------------------------------------------------------------------------
Republic of Poland
3.500% due 10/27/2024 (d) $ 160 101
----------
Total Poland 101
(Cost $100) ==========
--------------------------------------------------------------------------------
PORTUGAL (e)(f) 0.7%
--------------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 (j) EC 650 511
----------
Total Portugal 511
(Cost $608) ==========
--------------------------------------------------------------------------------
QATAR (e)(f) 0.4%
--------------------------------------------------------------------------------
International Credit Receivable
5.390% due 03/15/2010 JY 300 265
----------
Total Qatar 265
(Cost $277) ==========
--------------------------------------------------------------------------------
SOUTH KOREA (e)(f) 1.2%
--------------------------------------------------------------------------------
Export-Import Bank Korea
7.250% due 06/25/2001 $ 260 259
Korea Development Bank
4.800% due 05/14/2001 (d) DM 440 197
1.880% due 02/13/2002 JY 42,000 389
----------
Total South Korea 845
(Cost $871) ==========
--------------------------------------------------------------------------------
SPAIN (e)(f) 4.3%
--------------------------------------------------------------------------------
Kingdom of Spain
4.950% due 07/30/2005 (j) EC 1,620 1,405
5.150% due 07/30/2009 1,990 1,714
----------
Total Spain 3,119
(Cost $3,212) ==========
--------------------------------------------------------------------------------
SUPRANATIONAL (e)(f) 2.8%
--------------------------------------------------------------------------------
Asian Development Bank
2.300% due 09/15/2003 A$ 600 316
5.250% due 09/15/2004 600 311
Eurofima
4.750% due 07/07/2004 SK 7,200 727
European Investment Bank
5.380% due 08/28/2007 NK 500 51
International Bank for Reconstruction & Development
7.250% due 04/09/2001 N$ 1,376 562
World Bank
10.250% due 04/11/2002 PP 2,000 40
----------
Total Supranational 2,007
(Cost $2,379) ==========
--------------------------------------------------------------------------------
SWEDEN (e)(f) 0.1%
--------------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 900 99
----------
Total Sweden 99
(Cost $125) ==========
--------------------------------------------------------------------------------
TUNISIA (e)(f) 0.1%
--------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 100 90
----------
Total Tunisia 90
(Cost $102) ==========
44 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
UNITED KINGDOM (e)(f) 8.5%
--------------------------------------------------------------------------------
Abbey National Treasury Service
7.630% due 12/30/2002 BP 280 $ 424
Bank of Scotland Capital Fund
8.120% due 03/31/2049 1,060 1,564
Equitable
8.000% due 08/29/2049 700 1,041
HAUS Ltd.
5.010% due 12/10/2037 (d) EC 1,500 1,324
Lloyds TSB Bank PLC
5.630% due 07/15/2049 590 472
Royal Bank of Scotland PLC
6.770% due 03/31/2049 1,000 888
SCCR Series 1 Ltd.
5.020% due 12/15/2031 156 138
United Kingdom Gilt
5.750% due 12/07/2009 BP 190 292
----------
Total United Kingdom 6,143
(Cost $6,694) ==========
--------------------------------------------------------------------------------
UNITED STATES 119.8%
--------------------------------------------------------------------------------
Corporate Bonds & Notes (e)(f) 14.3%
AESOP Funding II LLC
6.220% due 10/20/2001 $ 83 83
Alpha Wind
11.320% due 05/23/2001 500 500
Associates Corp. of North America
6.780% due 08/27/2001 (d) 400 401
Bancomext Trust Division
8.000% due 08/05/2003 70 70
Bear Stearns Co., Inc.
7.130% due 03/28/2003 (d) 380 380
Beckman Instruments, Inc.
7.100% due 03/04/2003 22 21
Capital One Bank
7.090% due 07/28/2003 (d) 500 502
CMS Energy Corp.
8.130% due 05/15/2002 26 26
Finova Capital Corp.
7.340% due 11/08/2002 (d) 1,250 1,016
7.190% due 04/08/2003 (d) 700 596
Ford Motor Credit Corp.
1.000% due 12/22/2003 JY 14,000 129
1.200% due 02/07/2005 98,000 893
Gold Eagle Capital Ltd.
12.130% due 04/15/2001 $ 500 500
Goldman Sachs Group
6.470% due 01/08/2001 (d) 300 300
Hewlett Packard Finance
5.630% due 11/20/2000 DM 100 45
Household Finance Corp.
7.090% due 08/06/2002 (d) $ 230 231
J.P. Morgan & Co.
8.080% due 02/15/2012 100 87
Jones Intercable, Inc.
8.880% due 04/01/2007 26 27
Kroger Co.
7.560% due 10/01/2010 (d) 200 200
Lehman Brothers Holdings, Inc.
7.530% due 07/15/2002 (d) 400 403
MGM Grand, Inc.
6.950% due 02/01/2005 10 10
Prudential Funding Corp.
6.850% due 12/21/2000 (d) 500 500
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (d) 2,013 1,989
6.720% due 10/21/2002 (d) BP 200 295
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 $ 200 200
Sprint Capital Corp.
5.880% due 05/01/2004 50 48
TCI Communications, Inc.
7.440% due 04/01/2002 (d) 300 304
Tennessee Valley Authority
3.380% due 01/15/2007 (h) 185 174
Texas Utilities Co.
7.210% due 06/25/2001 200 200
7.590% due 09/24/2001 (d) 200 201
----------
10,331
==========
Mortgage-Backed Securities 68.0%
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 530 526
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 315 312
6.500% due 03/25/2029 10 9
Crusade Global Trust
7.010% due 05/15/2021 (d) 1,540 1,544
Federal National Mortgage Association
7.000% due 02/25/2020 122 121
Government National Mortgage Association
7.000% due 10/23/2030-05/20/2030 (d)(g) 23,338 20,970
7.130% due 11/20/2021 (d) 40 41
6.750% due 07/20/2022 (d) 635 642
6.750% due 09/20/2023 (d) 397 401
6.750% due 07/20/2025 (d) 344 347
6.750% due 09/20/2025 (d) 40 40
7.130% due 12/20/2025 (d) 21 21
6.750% due 09/20/2026 (d) 25 25
7.130% due 11/20/2026 (d) 637 643
7.130% due 11/20/2026 (d) 294 296
7.130% due 12/20/2026 (d) 59 60
7.220% due 02/16/2030 (d) 1,402 1,406
7.300% due 02/16/2030 (d) 1,464 1,466
6.000% due 06/20/2030-10/23/2030 (d)(g) 29,077 14,195
Medallion Trust
6.960% due 07/12/2031 (d) 932 932
Puma Finance Ltd.
6.420% due 04/15/2031 (k) 400 399
Residential Funding Mortgage Securities, Inc.
7.090% due 05/12/2032 (d) 2,604 2,604
Sasco Floating Rate Commercial Mortgage
7.020% due 11/20/2001 (d) 560 561
Structured Asset Mortgage Investments, Inc.
6.580% due 06/25/2029 (d) 211 202
Structured Asset Securities Corp.
6.550% due 02/25/2030 (d) 1,366 1,368
----------
49,131
==========
Asset-Backed Securities 6.4%
AFC Home Equity Loan Trust
6.930% due 12/22/2027 (d) 362 362
Amresco Residential Securities Mortgage Loan Trust
7.090% due 06/25/2029 (d) 510 512
Banc One Auto Grantor Trust
6.270% due 11/20/2003 13 13
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 11 11
Contimortgage Home Equity Loan Trust
6.010% due 12/25/2013 307 305
EQCC Home Equity Loan Trust
5.770% due 03/20/2029 233 232
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 60 59
Providian Gateway Master Trust
6.840% due 03/15/2007 800 800
Providian Home Equity Loan Trust
6.910% due 06/25/2025 (d) 578 578
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 110 109
Residential Asset Securities Corp.
6.760% due 12/25/2013 (d) 230 230
Residential Funding Mortgage Securities, Inc.
10.930% due 06/01/2001 300 300
Salomon Brothers Mortgage Securities
7.040% due 11/15/2029 (d) 166 166
United Panama Mortgage Loan Asset Backed
7.070% due 10/25/2029 (d) 758 757
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 172 171
---------
4,605
=========
See accompanying notes 45
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund II
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Municipal Bonds & Notes 0.7%
California State General Obligation, (FGIC Insured),
Series 1997 4.750% due 12/01/2028 $ 300 $ 262
Long Island Power Authority New York Electric System,
(FSA Insured), Series 1998, 5.125% due 12/01/2022 300 277
----------
539
==========
U.S. Government Agencies (e)(f) 3.3%
Federal National Mortgage Association
6.500% due 07/10/2002 (j) A$ 200 108
Student Loan Marketing Assn.
6.520% due 04/25/2007 (d) $ 1,361 1,356
6.590% due 10/25/2007 (d) 900 897
----------
2,361
==========
U.S. Treasury Obligations 26.1%
Treasury Inflation Protected Securities
3.630% due 07/15/2002 (b)(h) 15,540 15,535
U.S. Treasury Bonds
8.750% due 08/15/2020 (j) 500 650
8.000% due 11/15/2021 600 733
6.250% due 08/15/2023 1,000 1,019
U.S. Treasury Strips
0.000% due 02/15/2015 2,200 917
----------
18,854
==========
Preferred Security 1.0%
Shares
DG Funding Trust
9.030% due 12/29/2049 (d) 70 702
----------
Total United States 86,523
(Cost $86,715) ==========
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 1.0%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
General National Mortgage Association (OTC)
6.000% due 10/20/2030
Strike @ 85.84 Exp. 11/13/2000 $ 14,000 0
General National Mortgage Association (OTC)
7.000% due 10/23/2030
Strike @ 89.00 Exp. 10/16/2000 23,170 0
Interest Rate Swap (OTC)
Strike @ 7.500% Exp. 04/29/2002 700 14
U.S. Treasury Note (OTC)
5.625% due 05/15/2008
Strike @ 105.44 Exp. 11/01/2000 1,100 78
U.S. Treasury Note (OTC)
6.000% due 08/15/2009
Strike @ 110.09 Exp. 11/06/2000 6,910 649
-----------
Total Purchased Put Options 741
(Cost $793) ===========
Short-Term Instruments 6.4%
Commercial Paper 6.4%
Alcoa, Inc.
6.450% due 12/06/2000 1,400 1,383
Conagra, Inc.
6.670% due 11/16/2000 400 396
Ingersoll-Rand Co.
6.700% due 11/15/2000 500 496
Procter & Gamble Co.
6.500% due 11/29/2000 200 198
Sprint Capital Corp.
6.720% due 11/08/2000 2,200 2,185
-----------
Total Short-Term Instruments 4,658
(Cost $4,659) ===========
Total Investments (a) 192.8% $ 139,326
(Cost $142,734)
Written Options (c) (0.1%) (89)
(Premiums $89)
Other Assets and Liabilities (Net) (92.7%) (66,992)
----------
Net Assets 100.0% $ 72,245
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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 tax
cost over value. $ 495
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (3,903)
-----------
Unrealized depreciation-net $ (3,408)
===========
(b) Securities with an aggregate market value of $860
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
EuroBond 10 Year Note (12/2000) 23 $ 8
Government of Japan 10 Year Note (12/2000) 13 (37)
U.S. Treasury 10 Year Note (12/2000) 30 7
U.S. Treasury 30 Year Note (12/2000) 12 (14)
United Kingdom 10 Year Note (12/2000) 18 (17)
United Kingdom 90 Day LIBOR Future (06/2001) 15 1
EuroBond 10 Year Written Put Note Options (11/2000) 32 10
-----------
$ (42)
===========
46 See accompanying notes
<PAGE>
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Note December Futures
Strike @ 103.00 Exp. 11/18/2000 7 $ 1 $ 1
Call - CBOT U. S. Treasury Note December Futures
Strike @ 102.00 Exp. 11/18/2000 7 2 2
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.84 Exp.10/10/2000 1,790,000 9 0
Call - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.90 Exp. 10/10/2000 1,790,000 8 4
Put - CME Eurodollar March Futures
Strike @ 92.75 Exp. 03/19/2001 5 3 0
Call - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 5 2 4
Put - CBOT U.S. Treasury Note December Futures
Strike @ 98.00 Exp. 11/18/2000 3 2 1
Put - CBOT U.S. Treasury Note December Futures
Strike @ 97.00 Exp. 11/18/2000 3 1 0
Call - TSE Government of Japan December Futures
Strike @ 134.00 Exp. 11/30/2000 4 7 8
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.81 Exp. 12/21/2000 2,100,000 7 4
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.85 Exp. 10/24/2000 900,000 4 2
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.500% Exp. 02/23/2001 1,100,000 6 5
Put- OTC Eurodollar vs. U.S. Dollar
Strike @ 0.85 Exp. 10/24/2000 2,800,000 13 7
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 7.500% Exp. 04/29/2002 1,000,000 24 51
---------------------
$ 89 $ 89
=====================
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Buy AP 102 02/2001 $ 1
Buy A$ 860 10/2000 (40)
Sell 150 10/2000 5
Sell 960 11/2000 1
Buy 169 11/2000 0
Buy BR 230 01/2001 (1)
Buy 90 03/2001 1
Sell C$ 400 10/2000 4
Buy 130 10/2000 (1)
Sell SF 2,560 10/2000 (20)
Buy 1,400 10/2000 1
Sell 1,400 11/2000 (1)
Buy CL 62,700 10/2000 (5)
Buy 4,400 03/2001 0
Buy CP 190,800 02/2001 0
Sell DK 13,519 10/2000 11
Sell 3,366 11/2000 0
Buy 3,366 10/2000 0
Sell EC 400 01/2001 28
Sell 11,854 10/2000 259
Buy 88,805 10/2000 (26)
Sell 1,159 11/2000 (2)
Sell BP 3,064 10/2000 (61)
Buy 460 10/2000 13
Buy GD 360,498 01/2001 (25)
Sell 50,518 12/2000 0
Sell H$ 3,810 10/2000 (3)
Buy 3,810 10/2000 0
Sell 31,200 08/2001 14
Buy 15,600 08/2001 (2)
Buy HF 197,000 01/2001 (109)
Sell 197,000 01/2001 49
Buy 47,700 02/2001 (7)
Buy IR 1,180,000 10/2000 (9)
Sell JY 414,425 10/2000 47
Buy 268,820 10/2000 (28)
Sell 149,236 11/2000 1
Buy KW 181,300 10/2000 1
Buy MP 1,220 10/2000 6
Buy 960 01/2001 2
Sell 1,220 10/2000 (3)
Sell N$ 4,126 10/2000 64
Buy 2,800 10/2000 (49)
Sell 1,373 11/2000 8
Buy PN 540 02/2001 (1)
Buy 120 03/2001 0
Buy PP 4,450 03/2001 2
Buy PZ 1,067 01/2001 (13)
Buy 2,780 02/2001 (19)
Buy 3,213 03/2001 (7)
Sell 2,780 02/2001 7
Sell 667 01/2001 (4)
Sell 270 03/2001 (4)
Buy 3,560 10/2000 (26)
Sell SK 1,364 10/2000 3
Buy TB 3,800 10/2000 (5)
Buy TL 125,000,000 02/2001 (12)
Buy TD 3,092 10/2000 (2)
Buy VB 89,550 10/2000 6
Buy 4,010 12/2000 0
Buy SR 1,030 03/2001 2
----------
$ 51
==========
See accompanying notes 47
<PAGE>
(f) Principal amount denoted in indicated currency:
AP - Argentine Peso
A$ - Australian Dollar
BP - British Pound
BR - Brazilian Real
CL - Chilean Peso
CP Columbian Peso
C$ - Canadian Dollar
DK - Danish Krone
EC - Euro
GD - Greek Drachma
HF - Hungarian Forint
H$ - Hong Kong Dollar
IR - Indonesian Rupiah
JY - Japanese Yen
MP - Mexican Peso
N$ - New Zealand Dollar
PN - Peruvian New Sol
PP - Philippine Peso
PZ - Polish Zloty
KW - South Korean Won
SF - Swiss Franc
SK - Swedish Krona
SR - South Africa Rand
TD - Taiwan Dollar
TB - Thai Baht
VB - Venezuelan Bolivar
(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, 2000:
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 $ (28)
Receive floating rate based on 6-month Australian Bank Bill and
pay a fixed rate equal to 6.667%.
Broker: Morgan Stanley
Exp. 09/20/2005 A$ 4,400 1
Receive floating rate based on 3-month Canadian Bank Bill
and pay a fixed rate equal to 6.346%.
Broker: Goldman Sachs
Exp. 07/19/2005 C$ 3,000 (25)
Receive floating rate based on 3-month Canadian Bank Bill
and pay fixed rate equal to 6.248%.
Broker: Royal Bank of Canada
Exp. 08/02/2005 8,500 (50)
Receive floating rate based on 3-month Canadian Bank Bill
and pay fixed rate equal to 6.515%.
Broker: J.P. Morgan
Exp. 05/10/2002 3,400 (22)
Receive floating rate based on 6-month JY-LIBOR and
pay fixed rate equal to 2.020%.
Broker: Goldman Sachs
Exp. 05/18/2010 JY 226,000 4
Receive floating rate based on 6-month EURO-LIBOR and
pay fixed rate equal to 6.175%.
Broker: Goldman Sachs
Exp. 05/22/2030 EC 1,320 $ (13)
Receive floating rate based on 6-month EURO-LIBOR minus 0.54%
and pay a fixed rate equal to 6.250%.
Broker: J.P. Morgan
Exp. 01/04/2024 90 1
Receive floating rate based on 6-month JY-LIBOR and
pay a fixed rate equal to 1.310%.
Broker: Goldman Sachs
Exp. 07/14/2005 JY 232,000 (6)
Receive a fixed rate equal to 7.291% and
pay floating rate based on 3-month LIBOR.
Broker: Goldman Sachs
Exp. 07/21/2005 $ 2,000 46
Receive a fixed rate equal to 7.010% and
pay floating rate based on 6-month LIBOR.
Broker: Morgan Stanley
Exp. 09/20/2005 2,600 29
Receive floating rate based on 6-month EURO-LIBOR and
pay fixed rate equal to 6.069%.
Broker: Morgan Stanley
Exp. 08/25/2030 EC 1,100 8
-----------
$ (55)
===========
(j) Subject to financing transaction.
(k) Restricted security.
48 See accompanying notes
<PAGE>
Schedule of Investments
High Yield Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 75.8%
--------------------------------------------------------------------------------
Banking & Finance 8.1%
Americo Life, Inc.
9.250% due 06/01/2005 $ 250 $ 234
Amethyst Financial Co. Ltd.
11.750% due 10/29/2001 5,000 5,000
Arvin Capital
9.500% due 02/01/2027 19,000 17,561
Bay View Capital Corp.
9.130% due 08/15/2007 6,400 4,896
Beaver Valley Funding Corp.
8.630% due 06/01/2007 18,000 18,322
9.000% due 06/01/2017 15,235 15,737
DLJ Secured Loan Trust
10.130% due 07/07/2007 10,000 10,491
Forest City Enterprises
8.500% due 03/15/2008 13,400 12,931
Fuji Bank Ltd.
9.870% due 12/31/2049 (d) 9,800 9,599
General Motors Acceptance Corp.
6.840% due 04/29/2002 (d) 800 803
Golden State Holdings
6.750% due 08/01/2001 6,250 6,155
7.000% due 08/01/2003 3,705 3,546
7.130% due 08/01/2005 870 811
Host Marriott LP
8.380% due 02/15/2006 11,660 11,252
Imperial Credit Industries, Inc.
9.880% due 01/15/2007 200 91
Mercury Finance Co.
10.000% due 03/23/2001 21,100 20,573
11.160% due 03/23/2001 21,350 20,709
Presidential Life Insurance Corp.
7.880% due 02/15/2009 13,250 12,226
Reliance Group Holdings
9.000% due 11/15/2000 (e) 4,778 1,625
Sovereign Bancorp, Inc.
6.630% due 03/15/2001 (d) 14,450 14,297
Sumitomo Bank Treasury Co.
9.400% due 12/29/2049 (d) 29,600 29,126
Telewest Credit Link
10.880% due 02/07/2005 5,000 5,151
Trizec Finance Ltd.
10.880% due 10/15/2005 17,461 17,810
Willis Corroon Corp.
9.000% due 02/01/2009 10,700 9,924
----------
248,870
==========
Industrials 60.3%
360 Networks, Inc.
13.000% due 05/01/2008 7,150 6,542
Abbey Healthcare Group
9.500% due 11/01/2002 14,195 14,177
Adelphia Business Solution
12.250% due 09/01/2004 7,200 6,552
Advanced Lighting
8.000% due 03/15/2008 10,425 7,467
AEI Holding Co.
10.500% due 12/15/2005 11,380 1,764
Allied Waste Industries, Inc.
7.380% due 01/01/2004 15,100 14,118
7.630% due 01/01/2006 9,430 8,487
American Airlines
10.610% due 03/04/2010 650 737
American Media Operation, Inc.
10.250% due 05/01/2009 1,000 978
American Standard, Inc.
7.130% due 02/15/2003 200 197
7.380% due 04/15/2005 5,700 5,472
9.250% due 12/01/2016 2,778 2,792
Amerigas Partners LP
10.130% due 04/15/2007 3,000 3,011
AM-FM, Inc.
8.750% due 06/15/2007 5,650 5,777
8.000% due 11/01/2008 5,000 5,063
Amphenol Corp.
9.880% due 05/15/2007 6,795 6,965
Archibald Candy Corp.
10.250% due 07/01/2004 4,000 2,240
Arco Chemical Co.
9.380% due 12/15/2005 4,215 4,191
Ball Corp.
7.750% due 08/01/2006 8,100 7,918
8.250% due 08/01/2008 7,600 7,401
Beckman Instruments, Inc.
7.100% due 03/04/2003 6,431 6,271
7.450% due 03/04/2008 15,870 14,624
Benedek Communications Corp.
0.000% due 05/15/2006 (c) 1,500 1,320
Beverly Enterprises, Inc.
9.000% due 02/15/2006 18,075 17,081
Boyd Gaming Corp.
9.500% due 07/15/2007 2,000 1,880
British Sky Broadcasting PLC
7.300% due 10/15/2006 1,000 925
8.200% due 07/15/2009 4,000 3,790
Browning-Ferris Industries, Inc.
6.100% due 01/15/2003 (d) 4,100 3,848
7.880% due 03/15/2005 2,000 1,868
Building Materials Corp.
7.750% due 07/15/2005 13,656 8,945
8.630% due 12/15/2006 1,250 831
8.000% due 10/15/2007 1,276 798
8.000% due 12/01/2008 18,250 11,224
Cadmus Communications Corp.
9.750% due 06/01/2009 6,700 6,600
Call-Net Enterprises, Inc.
8.000% due 08/15/2008 8,450 4,014
Canadian Forest Oil Ltd.
8.750% due 09/15/2007 5,650 5,509
Century Communications Corp.
9.750% due 02/15/2002 650 650
0.000% due 03/15/2003 19,960 15,269
8.750% due 10/01/2007 3,800 3,420
CF Cable TV, Inc.
9.130% due 07/15/2007 9,000 9,685
Charter Communications Holding LLC
8.250% due 04/01/2007 13,750 12,530
10.000% due 04/01/2009 7,150 7,034
Clark R & M, Inc.
8.380% due 11/15/2007 3,000 2,430
Clearnet Communications
0.000% due 05/01/2009 (c) 6,000 4,785
Cliffs Drilling Co.
10.250% due 05/15/2003 750 773
Columbia/HCA Healthcare
6.130% due 12/15/2000 2,000 1,990
6.870% due 09/15/2003 1,300 1,247
6.910% due 06/15/2005 1,250 1,179
7.000% due 07/01/2007 3,350 3,110
8.360% due 04/15/2024 6,000 5,585
6.730% due 07/15/2045 5,000 4,797
Columbus McKinnon
8.500% due 04/01/2008 14,750 13,035
Consolidated Container
10.130% due 07/15/2009 8,150 8,201
Container Corp. of America
9.750% due 04/01/2003 1,000 1,010
11.250% due 05/01/2004 6,920 6,989
Continental Cablevision
9.500% due 08/01/2013 10,000 10,656
Cross Timbers Oil Co.
9.250% due 04/01/2007 1,440 1,440
Crown Castle International Corp.
13.250% due 11/15/2007 2,250 1,766
10.750% due 08/01/2011 4,000 4,130
Crown Cork & Seal Co.
7.130% due 09/01/2002 4,115 3,905
See accompanying notes 49
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CSC Holdings, Inc.
9.250% due 11/01/2005 $ 1,000 $ 1,013
9.880% due 05/15/2006 850 873
7.880% due 12/15/2007 100 99
9.880% due 02/15/2013 3,100 3,193
9.880% due 04/01/2023 4,000 4,120
Cumberland Farms
10.500% due 10/01/2003 5,784 5,596
Dade International, Inc.
11.130% due 05/01/2006 500 133
Delta Air Lines, Inc.
10.790% due 03/26/2014 2,264 2,548
Diamond Cable Communication Co.
13.250% due 09/30/2004 (c) 1,500 1,575
0.000% due 12/15/2005 (c)(d) 10,000 9,450
10.750% due 02/15/2007 (c) 10,100 7,626
Dunlop Stand Aerospace Holdings
11.880% due 05/15/2009 3,900 3,944
Echostar Broadband Corp.
10.380% due 10/01/2007 2,000 2,000
Echostar Communications Corp.
9.250% due 02/01/2006 23,046 22,844
9.380% due 02/01/2009 11,000 10,835
Embotelladora Arica S.A
9.880% due 03/15/2006 16,050 16,712
Emmis Communications Corp.
8.130% due 03/15/2009 200 191
Energis PLC
9.750% due 06/15/2009 7,500 7,425
Extended Stay America
9.150% due 03/15/2008 6,350 6,033
Extendicare Health Services
9.350% due 12/15/2007 2,050 1,210
EZ Communication, Inc.
9.750% due 12/01/2005 2,500 2,627
Fairpoint Communications, Inc.
9.500% due 05/01/2008 7,875 6,891
10.320% due 05/01/2008 (d) 4,500 4,247
12.500% due 05/01/2010 4,200 4,074
Federal-Mogul Corp.
7.500% due 07/01/2004 22,650 9,626
7.380% due 01/15/2006 150 59
7.750% due 07/01/2006 11,350 4,483
Ferrellgas Partners LP
9.380% due 06/15/2006 14,936 14,712
Fisher Scientific International
7.130% due 12/15/2005 13,750 12,237
9.000% due 02/01/2008 17,895 16,554
Flag Telecom Holding Ltd.
11.630% due 03/30/2010 19,200 16,512
Forest Oil Corp.
10.500% due 01/15/2006 3,585 3,710
Fox/Liberty Networks LLC
0.000% due 08/15/2007 (c) 9,750 8,312
Fred Meyer, Inc.
7.450% due 03/01/2008 400 387
Frontiervision L.P.
11.000% due 10/15/2006 2,000 2,005
Garden State Newspapers
8.750% due 10/01/2009 3,955 3,698
8.630% due 07/01/2011 3,900 3,656
Georgia Gulf Corp.
7.630% due 11/15/2005 1,250 1,217
Global Crossing Ltd.
6.000% due 10/15/2013 12,385 11,442
Golden Northwest Aluminum
12.000% due 12/15/2006 2,850 2,814
Gulf Canada Resources Ltd.
9.250% due 01/15/2004 10,975 11,151
9.630% due 07/01/2005 2,830 2,904
8.380% due 11/15/2005 4,000 4,020
Harrahs Operating Co., Inc.
7.880% due 12/15/2005 6,600 6,369
7.500% due 01/15/2009 20,675 19,507
HMH Properties, Inc.
7.880% due 08/01/2005 32,120 30,434
Hollinger International Publishing
8.630% due 03/15/2005 250 249
9.250% due 02/01/2006 4,600 4,629
9.250% due 03/15/2007 680 687
Holmes Products Corp.
9.880% due 11/15/2007 950 565
Horseshoe Gaming Holding
8.630% due 05/15/2009 17,750 17,484
HS Resources, Inc.
9.880% due 12/01/2003 3,650 3,687
9.250% due 11/15/2006 5,250 5,276
Huntsman Corp.
9.500% due 07/01/2007 12,700 10,223
Huntsman ICI Chemicals LLC
10.130% due 07/01/2009 5,400 5,326
Huntsman Polymers Corp.
11.750% due 12/01/2004 4,600 4,669
Impsat Corp.
12.380% due 06/15/2008 8,900 6,964
Intermedia Communications, Inc.
0.000% due 05/15/2006 (c) 25,535 24,386
International Game Technology
7.880% due 05/15/2004 14,800 14,541
8.380% due 05/15/2009 14,100 13,853
Isle of Capri Casinos, Inc.
8.750% due 04/15/2009 500 468
ISP Holdings, Inc.
9.750% due 02/15/2002 4,750 4,274
9.000% due 10/15/2003 24,570 23,587
ITT Corp.
6.250% due 11/15/2000 1,500 1,497
John Q. Hammons Hotels
8.880% due 02/15/2004 2,550 2,384
9.750% due 10/01/2005 200 191
Jones Intercable, Inc.
8.880% due 04/01/2007 5,060 5,309
Jupiters Ltd.
8.500% due 03/01/2006 12,800 12,352
K Mart Corp.
8.130% due 12/16/2003 300 281
12.350% due 01/01/2008 3,920 3,974
8.800% due 07/01/2010 1,144 1,078
9.350% due 01/02/2020 12,936 11,504
9.780% due 01/05/2020 9,575 7,828
Keebler Corp.
10.750% due 07/01/2006 6,000 6,354
KPNQWest BV
8.130% due 06/01/2009 27,600 25,530
L-3 Communications Corp.
10.380% due 05/01/2007 6,450 6,627
8.500% due 05/15/2008 400 374
Lear Corp.
8.250% due 02/01/2002 6,410 6,378
7.960% due 05/15/2005 3,125 2,979
Lenfest Communications
8.380% due 11/01/2005 10,650 11,179
10.500% due 06/15/2006 525 594
Level 3 Communications, Inc.
11.000% due 03/15/2008 5,500 5,280
9.130% due 05/01/2008 31,450 27,204
11.250% due 03/15/2010 1,000 960
Levi Strauss & Co.
6.800% due 11/01/2003 25,350 21,547
Leviathan Gas Corp.
10.380% due 06/01/2009 3,325 3,525
Lin Television Corp.
8.380% due 03/01/2008 9,300 8,882
Lyondell Chemical Co.
9.630% due 05/01/2007 15,435 15,107
Mail-Well Corp.
8.750% due 12/15/2008 20,930 18,314
50 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Mandalay Resort Group
6.750% due 07/15/2003 $ 19,750 $ 18,565
9.250% due 12/01/2005 6,100 6,070
6.450% due 02/01/2006 100 88
10.250% due 08/01/2007 250 258
9.500% due 08/01/2008 500 513
Mark IV Industries, Inc.
7.500% due 09/01/2007 6,730 5,260
Market Hub Partners
8.250% due 03/01/2008 11,580 11,783
Marsh Supermarkets, Inc.
8.880% due 08/01/2007 9,500 8,978
McLeodUSA, Inc.
0.000% due 03/01/2007 (c) 43,525 35,908
8.380% due 03/15/2008 5,100 4,487
9.500% due 11/01/2008 13,625 12,808
8.130% due 02/15/2009 4,837 4,196
Metromedia Fiber Network, Inc.
10.000% due 11/15/2008 14,645 13,766
10.000% due 12/15/2009 15,100 14,194
Metronet Communications
0.000% due 06/15/2008 (c) 16,475 13,460
MGM Grand, Inc.
6.950% due 02/01/2005 30,420 29,244
Mirage Resorts, Inc.
6.630% due 02/01/2005 3,500 3,328
7.250% due 10/15/2006 2,670 2,551
Newpark Resources, Inc.
8.630% due 12/15/2007 4,050 3,827
Nextel Communications, Inc.
9.380% due 11/15/2009 46,700 45,766
Nextel Partners, Inc.
0.000% due 02/01/2009 (c) 11,538 8,163
11.000% due 03/15/2010 200 202
Nextlink Communications, Inc.
9.630% due 10/01/2007 9,000 8,168
10.750% due 06/01/2009 2,425 2,255
10.500% due 12/01/2009 10,000 9,200
NL Industries, Inc.
11.750% due 10/15/2003 1,950 1,989
Nortek, Inc.
9.130% due 09/01/2007 500 475
8.880% due 08/01/2008 750 694
NTL, Inc.
12.750% due 04/15/2005 (c) 700 707
0.000% due 02/01/2006 (c) 20,600 19,570
11.500% due 10/01/2008 7,400 7,178
Octel Developments PLC
10.000% due 05/01/2006 900 851
Orion Network Systems, Inc.
0.000% due 01/15/2007 (c) 13,800 4,761
11.250% due 01/15/2007 14,625 7,678
Owens-Illinois, Inc.
7.850% due 05/15/2004 2,650 2,381
P&L Coal Holdings
8.880% due 05/15/2008 19,050 18,907
Packaging Corp. of America
9.630% due 04/01/2009 3,125 3,180
Park Place Entertainment Corp.
8.880% due 09/15/2008 6,000 5,993
Perry-Judd
10.630% due 12/15/2007 2,320 2,076
Petroleos Mexicanos
9.380% due 12/02/2008 8,000 8,240
PharMerica, Inc.
8.380% due 04/01/2008 15,650 11,503
Phar-Mor, Inc.
11.720% due 09/11/2002 5,905 3,757
Physician Sales and Service, Inc.
8.500% due 10/01/2007 9,250 8,371
Piedmont Aviation, Inc.
10.250% due 03/28/2005 571 559
9.900% due 11/08/2006 716 686
Pioneer National Resources
8.880% due 04/15/2005 20,100 20,573
8.250% due 08/15/2007 6,500 6,368
6.500% due 01/15/2008 6,950 6,157
Polymer Group, Inc.
9.000% due 07/01/2007 11,178 8,663
8.750% due 03/01/2008 10,950 8,705
Price Communications Wireless, Inc.
9.130% due 12/15/2006 8,075 8,196
Pride International, Inc.
9.380% due 05/01/2007 3,100 3,170
Primedia, Inc.
10.250% due 06/01/2004 4,000 4,020
8.500% due 02/01/2006 10,740 10,257
7.630% due 04/01/2008 8,250 7,508
R & B Falcon Corp.
6.500% due 04/15/2003 7,500 7,163
9.250% due 04/15/2005 4,525 4,248
R.H. Donnelly, Inc.
9.130% due 06/01/2008 6,725 6,624
Racers
8.380% due 10/01/2007 21,606 19,952
Renaissance Media Group
0.000% due 04/15/2008 (c) 21,250 14,981
Rogers Cablesystems Ltd.
10.000% due 03/15/2005 4,000 4,250
Rogers Cantel, Inc.
8.300% due 10/01/2007 4,316 4,294
8.800% due 10/01/2007 1,350 1,360
9.380% due 06/01/2008 23,550 24,492
Rural Cellular Corp.
9.630% due 05/15/2008 12,300 11,808
Safety-Kleen Services
9.250% due 06/01/2008 (e) 28,475 1,032
9.250% due 05/15/2009 (e) 14,000 508
Salem Communications
9.500% due 10/01/2007 1,400 1,379
Satelites Mexicanos
11.280% due 06/30/2004 (d) 7,875 5,473
SC International Services, Inc.
9.250% due 09/01/2007 19,450 19,061
Scotia Pacific Co. LLC
7.710% due 01/20/2014 (d) 180 118
Sequa Corp.
9.000% due 08/01/2009 7,550 7,456
Silgan Holdings, Inc.
9.000% due 06/01/2009 14,525 13,254
Smithfield Foods
7.630% due 02/15/2008 2,215 1,999
Smiths Food & Drug Centers, Inc.
8.640% due 07/02/2012 299 316
Station Casinos, Inc.
10.130% due 03/15/2006 2,000 2,010
9.750% due 04/15/2007 6,850 6,867
8.880% due 12/01/2008 800 775
9.880% due 07/01/2010 1,000 1,008
Sterling Chemicals, Inc.
12.380% due 07/15/2006 10,740 10,901
Stone Container Corp.
10.750% due 10/01/2002 12,346 12,577
11.500% due 10/01/2004 2,000 2,065
11.500% due 08/15/2006 4,850 5,020
TeleCorp PCS, Inc.
10.630% due 07/15/2010 1,125 1,142
Telewest Communications PLC
9.630% due 10/01/2006 11,250 10,519
0.000% due 10/01/2007 (c)(d) 10,949 10,538
11.250% due 11/01/2008 1,000 975
9.250% due 04/15/2009 (c) 19,330 10,390
9.880% due 02/01/2010 7,750 7,130
Tenet Healthcare Corp.
7.880% due 01/15/2003 1,000 998
8.630% due 12/01/2003 1,500 1,511
8.000% due 01/15/2005 7,095 7,033
8.630% due 01/15/2007 3,500 3,483
7.630% due 06/01/2008 20,090 19,111
See acompanying notes 51
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Terra Industries
10.500% due 06/15/2005 $ 2,000 $ 1,265
TFM SA de CV
0.000% due 06/15/2009 (c) 8,250 6,249
Triad Hospitals, Inc.
11.000% due 05/15/2009 2,095 2,158
U.S. Air, Inc.
9.630% due 09/01/2003 16,403 15,924
9.330% due 01/01/2006 4,510 4,200
United Defense Industries, Inc.
8.750% due 11/15/2007 1,000 943
United Pan-Europe Communications NV
10.880% due 11/01/2007 11,500 10,062
0.000% due 02/01/2009 (c) 7,990 4,674
10.880% due 08/01/2009 13,800 11,799
Vectura Group, Inc.
10.250% due 06/30/2008 275 235
Vintage Petroleum, Inc.
9.000% due 12/15/2005 9,840 9,988
9.750% due 06/30/2009 6,350 6,636
Voicestream Wireless Holding Corp.
10.380% due 11/15/2009 4,000 4,340
Waste Management, Inc.
7.000% due 05/15/2005 650 618
Western Gas Resources, Inc.
10.000% due 06/15/2009 7,100 7,455
Westinghouse Air Brake
9.380% due 06/15/2005 3,685 3,574
Westpoint Stevens, Inc.
7.880% due 06/15/2008 3,220 2,415
Williams Communications Group, Inc.
7.180% due 11/15/2001 (d) 6,100 6,104
10.700% due 10/01/2007 4,500 4,219
10.880% due 10/01/2009 5,750 5,290
World Color Press, Inc.
8.380% due 11/15/2008 650 633
7.750% due 02/15/2009 1,750 1,634
Worldwide Fiber, Inc.
12.000% due 08/01/2009 7,250 6,489
Young Broadcasting, Inc.
9.000% due 01/15/2006 18,625 17,973
8.750% due 06/15/2007 160 152
----------
1,841,222
==========
Utilities 7.4%
AES Corp.
10.250% due 07/15/2006 2,661 2,734
8.500% due 11/01/2007 7,800 7,488
9.500% due 06/01/2009 6,585 6,733
Alestra SA
12.130% due 05/15/2006 12,100 11,767
AT&T Corp.
10.630% due 11/01/2008 9,600 10,672
Azurix Corporation
10.380% due 02/15/2007 16,600 15,687
Calpine Corp.
9.250% due 02/01/2004 13,000 13,017
15.000% due 03/15/2004 10,000 10,759
7.630% due 04/15/2006 4,500 4,389
8.750% due 07/15/2007 24,250 24,414
7.880% due 04/01/2008 7,287 7,012
7.750% due 04/15/2009 1,000 953
Carolina Power & Light Co.
7.230% due 07/29/2002 (d) 2,900 2,911
CMS Energy
8.130% due 05/15/2002 4,537 4,506
6.750% due 01/15/2004 750 704
7.000% due 01/15/2005 10,000 9,212
Flag Ltd.
8.250% due 01/30/2008 27,375 24,227
ITC Deltacom, Inc.
11.000% due 06/01/2007 5,385 4,873
8.880% due 03/01/2008 13,300 10,840
Mastec, Inc.
7.750% due 02/01/2008 7,250 6,924
North Atlantic Energy
9.050% due 06/01/2002 9 9
Philippine Long Distance Telephone Co.
10.500% due 04/15/2009 11,150 10,069
Qwest Communications International, Inc.
0.000% due 10/15/2007 (c) 13,040 11,424
0.000% due 02/01/2008 (c) 10,550 8,689
7.500% due 11/01/2008 7,500 7,481
Telekomunikacja Polska SA
7.750% due 12/10/2008 80 77
Wilmington Trust Co. - Tucson Electric
10.210% due 01/01/2009 (b) 500 500
10.730% due 01/01/2013 (b) 8,866 9,359
----------
227,430
----------
Total Corporate Bonds & Notes 2,317,522
(Cost $2,532,215) ==========
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 2.3%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 1.8%
Asset Securitization Corp.
7.380% due 08/13/2029 1,500 1,438
Federal Deposit Insurance Corp.
7.860% due 11/25/2026 (d) 400 400
LTC Commercial Corp.
7.970% due 04/15/2028 5,062 4,734
Red Mountain Funding Corp.
9.150% due 11/28/2027 5,727 3,901
Resolution Trust Corp.
6.900% due 02/25/2027 5,428 5,004
7.000% due 05/25/2027 5,734 5,641
Sasco Floating Rate Commercial Mortgage
7.170% due 04/25/2003 (d) 29,800 29,220
Structured Asset Securities Corp.
7.050% due 11/25/2007 4,000 3,837
----------
54,175
==========
Other Mortgage-Backed Securities 0.5%
LTC Commercial Corp.
9.200% due 08/04/2012 3,235 3,300
NationsBanc Mortgage Capital Corp.
8.040% due 05/25/2028 (d) 3,835 2,732
Nationslink Funding Corp.
7.110% due 01/20/2013 10,500 8,150
----------
14,182
==========
Stripped Mortgage-Backed Securities 0.0%
Federal National Mortgage Association (IO)
7.000% due 07/25/2008 2,190 278
6.500% due 06/25/2017 351 6
7.000% due 04/25/2019 10,367 640
7.000% due 12/25/2021 3,129 416
Fund America (IO)
9.590% due 10/20/2021 6 57
----------
1,397
----------
Total Mortgage-Backed Securities 69,754
(Cost $70,505) ==========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 6.3%
--------------------------------------------------------------------------------
Airplanes Pass Through Trust
10.880% due 03/15/2019 28,515 23,211
Airtrust
6.340% due 06/01/2013 12,942 5,039
AM-FM, Inc.
12.750% due 02/01/2009 (c) 5,550 5,321
Bergen Brunswig Term Loan A
9.120% due 03/31/2005 1,141 1,138
9.190% due 03/31/2005 106 106
9.220% due 03/31/2005 3,423 3,415
9.330% due 03/31/2005 1,141 1,138
Charter Commercial Holdings LLC
9.240% due 03/31/2008 5,000 4,994
Columbia/HCA Healthcare
8.380% due 09/15/2001 7,500 7,444
52 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Conseco Finance
9.300% due 10/15/2030 $ 10,000 $ 10,344
Crown Castle
9.370% due 03/31/2008 3,000 3,010
Global Crossing Ltd.
9.440% due 08/15/2006 3,000 3,020
Green Tree Financial Corp.
8.000% due 07/15/2018 7,000 5,843
Huntsman Corp.
9.750% due 12/31/2005 3,000 2,976
Impress Metal Term Loan G
9.940% due 12/01/2006 2,500 2,520
Jefferson Smurfit
9.940% due 03/31/2006 1,512 1,516
Levi Strauss & Co. Term Loan
9.940% due 02/01/2002 282 277
9.890% due 02/01/2002 960 941
9.930% due 02/01/2002 3,562 3,491
McLeodUSA Loan Term B
9.620% due 05/26/2008 5,000 5,011
Morgan Stanley Aircraft Finance
8.700% due 03/15/2023 22,300 19,683
Primedia, Inc.
9.000% due 07/31/2004 5,000 4,991
Starwood Hotels & Resorts
9.370% due 02/23/2003 8,501 8,518
Stone Container Corp.
10.190% due 10/01/2003 11,204 11,242
10.190% due 10/01/2005 4,759 4,762
9.940% due 10/01/2005 4,377 4,389
Total Renal Care Revolver
9.880% due 03/31/2003 960 909
10.000% due 03/31/2003 4,506 4,393
10.130% due 03/31/2003 133 126
9.880% due 03/31/2003 1,697 1,607
Total Renal Care Term Loan A
9.880% due 03/31/2003 1,017 1,001
Triad Hospitals, Inc.
10.620% due 11/11/2005 (d) 6,882 6,917
Voicestream Term Loan A
9.410% due 12/31/2007 5,000 4,989
Voicestream Term Loan B
9.660% due 02/15/2009 7,500 7,482
Voicestream Vendor Facility
9.660% due 06/30/2009 21,000 20,843
----------
Total Asset-Backed Securities 192,607
(Cost $202,066) ==========
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 0.8%
--------------------------------------------------------------------------------
Republic of Brazil
7.380% due 04/15/2006 (d) 4,650 4,377
United Mexican States
8.500% due 02/01/2006 10,000 10,005
9.880% due 02/01/2010 10,000 10,655
----------
Total Sovereign Issues 25,037
(Cost $24,295) ==========
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 1.8%
--------------------------------------------------------------------------------
Health Care 0.6%
Tenet Healthcare Corp.
6.000% due 12/01/2005 3,250 2,714
Total Renal Care Holdings
7.000% due 05/15/2009 20,100 14,371
----------
17,085
==========
Industrial 1.2%
Aes Drox Energy Ltd.
11.500% due 08/30/2010 3,000 3,188
Hercules Trust VI
9.230% due 12/29/2000 (d) 25,550 25,543
Hilton Hotels Corp.
5.000% due 05/15/2006 1,000 844
Pride International, Inc.
0.000% due 04/24/2018 11,750 5,523
Waste Management, Inc.
4.000% due 02/01/2002 (d) 2,500 2,334
----------
37,432
----------
Total Convertible Bonds & Notes 54,517
(Cost $54,816) ==========
--------------------------------------------------------------------------------
PREFERRED STOCK 3.0%
--------------------------------------------------------------------------------
Shares
CSC Holdings, Inc.
11.125% due 04/01/2008 199,314 21,177
Fresenius Medical Care
9.000% due 12/01/2006 29,995 29,920
7.875% due 02/01/2008 29,900 28,330
Newscorp Overseas Ltd.
8.625% due 12/31/2049 133,200 3,097
Primedia, Inc.
9.200% due 11/01/2009 70,000 6,248
8.625% due 04/01/2010 50,000 4,213
----------
Total Preferred Stock 92,985
(Cost $98,374) ==========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 9.3%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 9.2%
American Electric Power, Inc.
6.700% due 11/01/2000 $ 5,300 5,270
Anz, Inc.
6.520% due 11/03/2000 1,500 1,491
6.480% due 11/07/2000 7,900 7,849
6.480% due 11/28/2000 4,200 4,153
AT&T Corp.
6.510% due 11/08/2000 25,600 25,428
6.530% due 11/15/2000 7,800 7,738
6.470% due 12/13/2000 2,100 2,072
6.510% due 12/13/2000 6,300 6,212
Bank One Corp.
6.500% due 11/15/2000 7,200 7,143
Bell Atlantic Financial Services
6.530% due 11/01/2000 6,300 6,266
Bellsouth Capital Funding
6.490% due 12/06/2000 11,700 11,549
CDC
6.530% due 10/18/2000 600 598
Cox Communications
6.730% due 11/06/2000 24,000 23,843
CSX Corp.
6.700% due 10/10/2000 13,500 13,480
Dominion Resources, Inc.
6.710% due 11/16/2000 4,400 4,363
Edison Midwest
6.720% due 11/01/2000 2,400 2,387
6.700% due 11/08/2000 5,000 4,966
6.730% due 11/15/2000 3,100 3,075
Federal Home Loan Bank
6.440% due 10/11/2000 2,800 2,795
Ford Motor Credit Corp.
6.550% due 10/18/2000 400 399
General Electric Capital Corp.
6.520% due 10/25/2000 1,300 1,295
6.470% due 12/14/2000 7,400 7,295
6.510% due 01/24/2001 500 489
Gillette Co.
6.460% due 12/12/2000 3,600 3,550
Houston Industries
6.800% due 11/08/2000 6,300 6,256
See accompanying notes 53
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
September 30, 2000 (Unaudited)
Value
Shares (000s)
--------------------------------------------------------------------------------
Infinity Broadcasting Corp.
6.700% due 11/15/2000 $ 1,100 $ 1,091
6.700% due 11/16/2000 5,600 5,553
6.700% due 11/17/2000 25,400 25,182
6.710% due 11/21/2000 6,100 6,043
Ingersoll-Rand Co.
6.700% due 11/15/2000 14,600 14,480
International Paper Co.
6.700% due 10/10/2000 4,600 4,593
6.720% due 11/17/2000 4,200 4,164
Nabisco, Inc.
6.700% due 10/18/2000 9,600 9,572
SBC Communications, Inc.
6.460% due 12/06/2000 2,200 2,173
Swedbank, Inc.
6.510% due 01/19/2001 17,900 17,532
Texas Utilities Co.
6.700% due 10/18/2000 7,300 7,278
Verizon Global Funding
6.460% due 12/07/2000 9,600 9,476
6.470% due 12/14/2000 3,300 3,252
Yorkshire Building Society
6.460% due 12/21/2000 12,300 12,109
----------
282,460
==========
Repurchase Agreements 0.1%
State Street Bank
5.850% due 10/02/2000 2,762 2,762
(Dated 9/29/2000. Collateralized by
Federal National Mortgage Association
6.100% due 08/10/2001 valued at $2,822.
Repurchase proceeds are $2,763.)
----------
Total Short-Term Instruments 285,222
(Cost $285,306) ==========
Total Investments (a) 99.3% $3,037,644
(Cost $3,267,577)
Other Assets and Liabilities (Net) 0.7% 21,880
----------
Net Assets 100.0% $3,059,524
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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 $ 21,883
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value (251,816)
-----------
Unrealized depreciation-net $ (229,933)
===========
(b) Restricted security.
(c) Security becomes interest bearing at a future date.
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Security is in default.
54 See accompanying notes
<PAGE>
Schedule of Investments
Long-Term U.S. Government Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 5.9%
--------------------------------------------------------------------------------
Banking & Finance 4.1%
AESOP Funding II LLC
6.220% due 10/20/2001 $ 1,500 $ 1,501
Associates Corp. of North America
5.800% due 04/20/2004 2,500 2,410
Bank One Corp.
6.790% due 05/07/2002 (d) 2,400 2,402
Countrywide Home Loans
6.850% due 06/15/2004 1,500 1,485
Ford Motor Credit Corp.
6.940% due 06/02/2003 (d) 1,900 1,902
Goldman Sachs Group
7.270% due 01/14/2002 (d) 3,000 3,024
Morgan Stanley, Dean Witter, Discover and Co.
6.990% due 04/22/2004 (d) 2,500 2,503
----------
15,227
==========
Industrials 0.8%
DaimlerChrysler Holdings
7.000% due 08/16/2004 (d) 3,000 3,005
----------
Utilities 1.0%
Detroit Edison Co.
7.020% due 01/29/2001 1,000 998
Scana Corp.
7.380% due 07/15/2002 (d) 2,000 2,003
WorldCom, Inc.
6.920% due 11/26/2001 (d) 700 701
----------
3,702
----------
Total Corporate Bonds & Notes 21,934
(Cost $21,998) ==========
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 15.1%
--------------------------------------------------------------------------------
Federal Home Loan Bank
5.950% due 12/10/2008 250 232
6.410% due 09/30/2013 500 455
6.650% due 10/21/2013 300 277
Federal National Mortgage Assn.
7.000% due 07/15/2005 40,000 40,736
6.470% due 04/15/2009 1,000 960
7.130% due 01/15/2030 2,000 2,071
Student Loan Marketing Assn.
6.480% due 07/25/2004 (d) 982 980
Tennessee Valley Authority
7.130% due 05/01/2030 10,000 10,250
----------
Total U.S. Government Agencies 55,961
(Cost $55,225) ==========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 73.3%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (b)
3.630% due 07/15/2002 (f) 17,215 17,209
U.S. Treasury Bonds
11.250% due 02/15/2015 (c) 15,000 22,298
9.880% due 11/15/2015 3,100 4,239
8.750% due 08/15/2020 (c) 15,200 19,746
7.130% due 02/15/2023 12,000 13,481
6.000% due 02/15/2026 (c) 25,900 25,665
6.130% due 11/15/2027 42,600 42,959
5.500% due 08/15/2028 21,000 19,497
6.250% due 05/15/2030 3,900 4,101
U.S. Treasury Notes
6.750% due 05/15/2005 49,000 50,776
U.S. Treasury Strips
0.000% due 08/15/2003 11,200 9,452
0.000% due 05/15/2004 2,100 1,700
0.000% due 05/15/2006 13,400 9,591
0.000% due 05/15/2013 4,200 1,956
0.000% due 02/15/2019 8,600 2,817
0.000% due 05/15/2020 84,800 25,789
----------
Total U.S. Treasury Obligations 271,276
(Cost $270,207) ==========
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 70.8%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 27.8%
Bear Stearns Mortgage Securities, Inc.
7.100% due 06/25/2024 385 365
6.350% due 08/25/2024 650 647
7.170% due 06/25/2030 919 907
California Federal Bank
6.680% due 08/25/2030 (d) 640 635
Chase Mortgage Finance Corp.
6.320% due 04/25/2025 (d) 2,031 2,052
CMC Securities Corp.
6.000% due 02/25/2009 165 164
6.150% due 05/25/2028 (d) 215 215
Countrywide Funding Corp.
6.500% due 01/25/2009 837 832
Federal Home Loan Mortgage Corp.
7.000% due 07/01/2002 1,009 1,007
7.500% due 06/01/2004 40 41
7.500% due 07/01/2004 592 599
7.500% due 08/01/2004 70 71
7.500% due 09/01/2004 158 160
9.500% due 01/15/2005 27 28
5.500% due 05/15/2007 11 11
8.000% due 02/15/2015 425 431
4.250% due 12/15/2021 493 463
7.000% due 07/15/2022 1,109 1,082
7.000% due 05/15/2023 270 253
7.000% due 08/15/2023 336 304
6.250% due 09/15/2023 5,000 4,751
7.000% due 09/15/2023 815 769
6.850% due 10/25/2023 1,497 1,464
6.500% due 11/15/2023 151 133
6.000% due 11/15/2023 978 848
6.500% due 11/15/2023 802 706
6.500% due 11/25/2023 635 549
6.500% due 12/15/2023 1,050 951
7.000% due 01/15/2024 100 92
7.500% due 01/20/2024 1,928 1,931
6.500% due 02/15/2024 196 172
6.500% due 03/15/2024 1,165 1,036
6.000% due 10/15/2024 2,425 2,393
6.500% due 12/15/2024 2,830 2,808
8.000% due 12/15/2024 1,000 1,010
7.500% due 02/15/2025 1,810 1,820
6.500% due 03/15/2029 262 194
6.000% due 05/15/2029 108 87
Federal National Mortgage Assn.
7.500% due 02/01/2004 386 391
7.500% due 03/01/2004 222 224
7.500% due 04/01/2004 247 250
7.500% due 05/01/2004 392 396
7.500% due 06/01/2004 410 415
7.500% due 07/01/2004 518 523
7.500% due 08/01/2004 967 978
7.500% due 09/01/2004 196 198
7.500% due 10/01/2004 192 194
5.750% due 06/25/2006 6 6
5.600% due 07/25/2006 12 12
6.250% due 12/25/2013 79 74
7.220% due 10/25/2017 (d) 3,266 3,265
7.000% due 02/25/2020 1,871 1,864
6.950% due 07/25/2020 1,449 1,431
6.750% due 06/25/2021 3,275 262
8.000% due 03/25/2022 7 7
7.000% due 04/25/2022 879 817
7.000% due 06/25/2022 421 388
7.800% due 10/25/2022 448 448
7.000% due 10/25/2022 1,639 1,516
7.000% due 05/25/2023 1,403 1,304
6.900% due 05/25/2023 658 588
7.000% due 06/25/2023 564 529
6.000% due 08/25/2023 141 120
6.500% due 08/25/2023 812 712
4.500% due 10/25/2023 224 119
See accompanying notes 55
<PAGE>
Schedule of Investments (Cont.)
Long-Term U.S. Government Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
6.500% due 11/25/2023 $ 2,000 $ 1,842
6.500% due 12/25/2023 288 250
7.000% due 12/25/2023 1,602 1,450
6.500% due 12/25/2023 3,562 2,991
6.500% due 01/25/2024 210 184
6.500% due 02/25/2024 305 264
6.000% due 05/17/2027 2,500 2,174
7.000% due 05/18/2027 1,600 1,436
9.000% due 06/01/2027 1,506 1,568
6.890% due 02/01/2028 (d) 431 443
First Boston Mortgage Securities Corp.
7.300% due 07/25/2023 1,485 1,349
General Electric Capital Mortgage Services, Inc.
9.000% due 10/25/2023 267 270
6.500% due 11/25/2023 3,000 2,729
6.500% due 01/25/2024 4,614 3,727
6.500% due 03/25/2024 904 836
7.000% due 10/25/2027 689 685
6.650% due 05/25/2028 5,330 5,277
German American Capital Corp.
7.000% due 08/12/2010 3,000 2,949
Government National Mortgage Assn.
7.000% due 03/16/2029 278 227
Independent National Mortgage Corp.
9.070% due 01/25/2025 (d) 54 55
6.930% due 05/25/2026 612 608
Mellon Residential Funding Corp.
6.460% due 07/25/2029 1,243 1,238
Merrill Lynch Mortgage Investors, Inc.
6.050% due 10/15/2008 2,578 2,483
6.210% due 03/20/2017 523 521
Norwest Asset Securities Corp.
6.750% due 10/25/2028 979 925
PNC Mortgage Securities Corp.
7.500% due 01/25/2015 1,533 1,474
7.500% due 02/25/2027 1,764 1,765
6.750% due 04/25/2028 3,000 2,924
Prudential Home Mortgage Securities
7.630% due 02/25/2023 36 36
6.950% due 09/25/2023 70 57
6.500% due 11/25/2023 102 92
6.500% due 01/25/2024 1,447 1,236
8.000% due 06/25/2024 746 752
Residential Accredit Loans, Inc.
7.000% due 02/25/2028 2,000 1,932
Residential Funding Mortgage Securities, Inc.
8.950% due 03/25/2025 (d) 65 66
7.750% due 09/25/2026 1,100 1,096
7.500% due 04/25/2027 1,913 1,895
Resolution Trust Corp.
6.730% due 05/25/2029 (d) 732 724
7.690% due 09/25/2029 1,334 1,336
Vendee Mortgage Trust
6.500% due 06/15/2024 2,237 1,914
----------
102,792
==========
Federal Home Loan Mortgage Corporation 7.2%
6.250% due 12/15/2023 512 454
6.360% due 01/01/2028 (d) 2,674 2,654
6.500% due 11/15/2023-01/15/2028 (h) 10,269 8,879
6.760% due 09/01/2027 (d) 3,557 3,489
6.930% due 01/01/2028 (d) 1,655 1,631
7.320% due 02/01/2028 (d) 1,870 1,860
7.500% due 10/01/2004 1,961 1,963
7.780% due 05/01/2022 (d) 100 103
7.930% due 10/01/2026 (d) 822 837
8.000% due 05/01/2004 3,550 3,578
8.350% due 06/01/2022 (d) 58 60
8.590% due 12/01/2024 (d) 1,321 1,363
----------
26,871
==========
Federal Housing Administration 8.3%
6.900% due 07/01/2020 3,656 3,517
7.000% due 11/25/2019 4,539 4,554
7.400% due 12/18/2018 1,559 1,544
7.420% due 11/01/2019 119 117
7.430% due 08/01/2019-06/01/2024 (h) 19,320 19,262
7.450% due 03/25/2022 1,666 1,667
----------
30,661
==========
Federal National Mortgage Association 10.2%
6.500% due 05/01/2003-01/25/2024 (h) 4,620 4,483
6.630% due 12/01/2027 (d) 2,325 2,314
7.000% due 03/01/2004-07/25/2023 (h) 15,691 15,697
7.380% due 01/01/2026 (d) 980 985
7.460% due 10/01/2024 (d) 1,705 1,722
7.480% due 05/01/2025 (d) 1,505 1,515
7.710% due 04/01/2028 (d) 2,494 2,536
7.920% due 11/01/2023 (d) 2,653 2,712
8.250% due 08/01/2026 (d) 183 186
8.440% due 08/01/2026 (d) 516 531
8.500% due 04/01/2028 1,556 1,601
8.760% due 10/01/2024 (d) 91 93
9.000% due 07/01/2005-08/01/2021 (h) 3,606 3,580
----------
37,955
==========
Government National Mortgage Association 14.2%
6.500% due 05/20/2030 (d) 16,000 15,916
6.630% due 12/15/2000-02/15/2040 (h) 1,895 1,894
6.750% due 09/20/2017-09/20/2026 (d)(h) 7,182 7,250
6.800% due 09/15/2001-10/15/2040 (h) 2,000 1,968
7.000% due 05/15/2002-10/15/2040 (d)(h) 7,894 7,889
7.130% due 12/20/2017-10/20/2027 (d)(h) 3,382 3,407
7.380% due 02/20/2017-01/20/2028 (d)(h) 14,253 14,362
----------
52,686
==========
Other Mortgage-Backed Securities 2.0%
Countrywide Funding Corp.
7.000% due 05/25/2024 8,000 7,324
----------
7,324
==========
Stripped Mortgage-Backed Securities 1.1%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 03/15/2003 928 75
6.500% due 11/15/2003 1,596 152
7.000% due 02/15/2006 47 1
6.500% due 08/15/2006 22 0
6.500% due 10/15/2006 114 7
6.500% due 11/15/2006 46 0
8.190% due 02/15/2007 4 60
7.500% due 06/15/2007 290 29
6.500% due 10/15/2007 857 63
6.000% due 10/15/2007 79 5
6.500% due 11/15/2008 722 108
7.000% due 12/15/2023 1,599 218
Federal National Mortgage Association (IO)
11.880% due 08/25/2006 4 30
6.500% due 02/25/2007 63 3
6.500% due 07/25/2007 535 23
11.980% due 08/25/2007 6 151
10.150% due 09/25/2007 3 76
6.500% due 08/25/2020 153 11
6.500% due 09/25/2021 404 44
7.000% due 12/25/2021 156 21
Federal National Mortgage Association (PO)
0.000% due 03/25/2009 2,944 2,035
0.000% due 09/25/2023 1,509 811
First Plus Home Loan Trust (IO)
6.000% due 10/10/2000 1,200 8
Norwest Asset Securities Corp. (IO)
7.250% due 02/25/2012 957 133
----------
4,064
----------
Total Mortgage-Backed Securities 262,353
(Cost $266,277) ==========
56 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 3.8%
------------------------------------------------------------------------------
Chase Credit Card Master Trust
6.780% due 05/15/2007 $ 1,320 $ 1,324
Chase Manhattan Corp.
6.750% due 08/25/2028 1,850 1,676
Discover Card Trust
6.790% due 04/16/2010 1,117 1,109
Green Tree Floorplan Receivables Master Trust
6.970% due 11/15/2004 (d) 3,000 3,006
Norwest Asset Securities Corp.
6.750% due 07/25/2028 3,000 2,744
Residential Funding Mortgage Securities, Inc.
6.290% due 07/25/2013 1,617 1,606
SMS Student Loan Trust
6.110% due 10/27/2025 (d) 2,000 1,958
Student Loan Marketing Assn
6.700% due 01/25/2007 (d) 584 584
----------
Total Asset-Backed Securities 14,007
(Cost $14,337) ==========
------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
------------------------------------------------------------------------------
U.S. Treasury Note December Futures (CBOT)
Strike @ 94.00 Exp. 11/18/2000 1,100 0
Strike @ 91.00 Exp. 11/18/2000 165,000 26
----------
Total Purchased Put Options 26
(Cost $35) ==========
------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 7.4%
------------------------------------------------------------------------------
Commercial Paper 6.1%
Conagra, Inc.
6.680% due 10/27/2000 2,300 2,289
6.670% due 11/15/2000 2,400 2,380
6.670% due 11/16/2000 2,900 2,876
Dominion Resources, Inc.
6.710% due 11/09/2000 1,000 993
Edison Midwest
6.700% due 11/08/2000 1,300 1,291
GE Capital Corp.
6.520% due 01/19/2001 1,600 1,569
Ingersoll-Rand Co.
6.700% due 11/01/2000 1,900 1,889
International Paper Co.
6.720% due 11/17/2000 500 496
Verizon Global Funding
6.470% due 12/04/2000 2,900 2,866
6.460% due 12/05/2000 5,000 4,940
6.460% due 12/07/2000 900 889
----------
22,478
==========
Repurchase Agreements 1.1%
State Street Bank
5.850% due 10/02/2000 3,984 3,984
(Dated 9/29/2000. Collateralized by ----------
Federal Home Loan Mortgage Corp.
7.050% due 09/19/2003 valued at $4,065
Repurchase proceeds are $3,986.)
U.S. Treasury Bills (b) 0.2%
6.010% due 02/01/2001 870 851
----------
Total Short-Term Instruments 27,313
(Cost $27,318) ==========
Total Investments (a) 176.3% $ 652,870
(Cost $655,397)
Written Options (c) (0.0%) (1)
(Premiums $7)
Other Assets and Liabilities (Net) (76.3%) (282,641)
----------
Net Assets 100.0% $ 370,228
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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 $ 4,012
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value (6,539)
----------
Unrealized depreciation-net $ (2,527)
==========
(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, 2000.
(e) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 106.00 Exp. 11/18/2000 50 $ 7 $ 1
-----------------
(f) Securities with an aggregate market value of $18,060 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at September 30, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
U.S. Treasury 10 Year Note (12/2000) 132 $ (10)
U.S. Treasury 30 Year Note (12/2000) 403 63
Municipal Bond (12/2000) 54 (68)
----------
$ (15)
==========
(g) Swap agreements outstanding at September 30, 2000:
Unrealized
Notional Appreciation/
Type Amount Depreciation
--------------------------------------------------------------------------------
Receive a fixed rate equal to 8.000% and pay floating rate equal to 3-month
LIBOR.
Broker: J.P. Morgan
Exp. 09/15/2010 $ 21,500 $ 1,259
Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to
8.000%.
Broker: Goldman Sachs
Exp. 09/15/2010 5,000 (282)
Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to
8.000%.
Broker: Morgan Stanley
Exp. 09/15/2010 1,500 (61)
Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to
8.000%.
Broker: Goldman Sachs
Exp. 09/15/2010 2,000 (72)
See accompanying notes 57
<PAGE>
Schedule of Investments
Long-Term U.S. Government Fund
September 30, 2000 (Unaudited)
Unrealized
Notional Appreciation/
Type Amount Depreciation
--------------------------------------------------------------------------------
Receive floating rate based on 3-month LIBOR and
pay a fixed rate equal to 8.000%.
Broker: Morgan Stanley
Exp. 09/15/2010 $ 2,500 $ (74)
Receive fixed rate equal to 8.000% and
pay floating rate based on 3-month LIBOR.
Broker: Lehman Brothers
Exp. 09/15/2010 2,500 94
Receive floating rate based on 3-month LIBOR and
pay a fixed rate equal to 7.000%.
Broker: Morgan Stanley
Exp. 09/15/2010 2,500 (50)
Receive a fixed rate equal to 7.317% and
pay floating rate based on 3-month LIBOR.
Broker: Morgan Stanley
Exp. 11/15/2003 21,250 279
Receive fixed rate equal to 0.230% and the Fund
will pay to the counterparty at par in the event of
default of Associates Corp. 6.000% due 04/15/2003.
Broker: Warburg Dillon Read LLC
Exp. 01/14/2003 3,000 0
Receive fixed rate equal to 0.650% and the Fund
will pay to the counterparty at par in the event of
default of Philip Morris Co. 7.200% due 02/01/2007.
Broker: Goldman Sachs
Exp. 12/22/2000 3,000 0
Receive fixed rate equal to 0.250% and the Fund
will pay to the counterparty at par in the event of
default of Pacific Gas & Electric Corp. 6.550% due 12/08/2005.
Broker: J.P. Morgan
Exp. 05/23/2003 3,000 0
----------
$ 1,093
==========
Fixed
Rate Notional Unrealized
Type (%) Amount Appreciation
--------------------------------------------------------------------------------
Receive the 30-year Swap Spread and pay a fixed spread.
The 30-year Swap Spread is the difference between the
30-year Swap Rate and the 30-year Treasury Rate.
Broker: Goldman Sachs
Exp. 02/15/2005 1.0850 $ 9,500 $ 9
Broker: Goldman Sachs
Exp. 02/16/2005 1.1120 24,400 (2)
Receive the 5-year Swap Spread and pay a fixed spread.
The 5-year Swap Spread is the difference between the
5-year Swap Rate and the 5-year Treasury Rate.
Broker: Lehman Brothers
Exp. 04/10/2005 0.9500 27,000 (19)
Receive On-The-Run 10-year Swap Spread and pay a fixed spread.
The On-The-Run 10-year Swap Spread is the difference between the
10-year Swap Rate and the 10-year Treasury Rate.
Broker: Bank of America
Exp. 06/17/2002 1.3100 53,750 (510)
Receive the 10-year Swap Spread and pay a fixed spread.
The 10-year Swap Spread is the difference between the
10-year Swap Rate and the 10-year Treasury Rate.
Broker: Morgan Stanley
Exp. 06/29/2015 1.3367 30,000 (325)
Receive a fixed spread and pay On-The-Run 10-year Swap Spread.
The On-The-Run 10-year Swap Spread is the difference between the
10-year Swap Rate and the 10-year Treasury Rate.
Broker: Bank of America
Exp. 06/15/2001 1.3200 50,000 500
Broker: Morgan Stanley
Exp. 07/29/2011 1.3000 50,000 450
Receive On-The-Run 2-year Swap Spread and pay a fixed spread.
The On-The-Run 2-year Swap Spread is the difference between the
2-year Swap Rate and the 2-year Treasury Rate.
Broker: Bank of America
Exp. 07/19/2001 0.9250 25,000 (212)
----------
$ (109)
==========
(h) Securities are grouped by coupon or range of coupons and represent
a range of maturities.
58 See accompanying notes
<PAGE>
Schedule of Investments
Low Duration Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 59.3%
------------------------------------------------------------------------------
Banking & Finance 34.9%
American General Finance
6.880% due 12/14/2001 $ 25,000 $ 25,021
Aristar, Inc.
7.380% due 09/01/2004 19,000 18,984
Associates Corp. of North America
6.700% due 05/29/2001 400 400
6.780% due 08/27/2001 (d) 1,000 1,003
6.880% due 06/20/2002 20,000 19,896
6.950% due 08/01/2002 1,000 1,003
AT&T Capital Corp.
7.500% due 11/15/2000 6,200 6,205
7.010% due 04/23/2002 (d) 10,000 10,028
Banc One Corp.
7.250% due 08/01/2002 500 503
Banco Latinoamericano SA
6.750% due 03/01/2001 1,300 1,298
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 1,800 1,742
Bank of America Corp.
7.200% due 09/15/2002 100 101
7.880% due 12/01/2002 100 102
6.630% due 06/15/2004 1,000 991
Bear Stearns Co., Inc.
6.170% due 06/28/2001 (d) 2,000 2,010
7.010% due 12/16/2002 (d) 21,000 21,024
6.130% due 02/01/2003 3,000 2,941
7.130% due 03/28/2003 (d) 8,600 8,600
6.200% due 03/30/2003 9,700 9,513
7.100% due 06/01/2004 (d) 3,000 3,021
Beaver Valley Funding Corp.
8.250% due 06/01/2003 3,311 3,280
Beneficial Corp.
6.770% due 01/09/2002 (d) 10,000 10,048
6.650% due 09/12/2002 5,000 4,965
6.580% due 12/16/2002 5,440 5,385
Bombardier Capital, Inc.
6.000% due 01/15/2002 10,000 9,840
7.500% due 08/15/2004 1,000 1,007
Capital One Bank
6.280% due 02/20/2001 6,500 6,474
7.000% due 04/30/2001 300 300
7.610% due 06/23/2003 (d) 100 100
Case Credit Corp.
5.910% due 02/19/2001 4,000 3,982
5.850% due 02/20/2001 (d) 63,000 62,693
5.930% due 02/26/2001 5,000 4,976
6.900% due 08/01/2001 (d) 4,750 4,757
Caterpillar Financial Services Corp.
6.930% due 11/04/2002 (d) 25,000 25,017
6.910% due 12/27/2002 (d) 25,000 24,990
6.880% due 08/01/2004 2,000 1,980
Chase Manhattan Corp.
6.530% due 10/13/2000 (d) 7,500 7,500
5.500% due 02/15/2001 1,000 995
Chrysler Financial Co. LLC
5.850% due 01/26/2001 5,000 4,987
6.760% due 08/08/2002 (d) 8,000 8,011
CIT Group, Inc.
6.200% due 10/20/2000 17,300 17,296
6.810% due 09/13/2002 (d) 19,400 19,400
Credit Asset Receivable
6.270% due 10/31/2003 34,267 33,813
Export-Import Bank Korea
6.500% due 02/10/2002 7,500 7,399
6.500% due 11/15/2006 6,700 6,525
7.100% due 03/15/2007 6,700 6,657
Finova Capital Corp.
6.270% due 09/29/2000 2,700 2,700
6.910% due 06/18/2003 (d) 6,000 5,250
First Union Corp.
7.550% due 08/18/2005 42,800 43,353
Ford Motor Credit Corp.
6.810% due 03/19/2002 (d) 18,857 18,938
6.990% due 07/16/2002 (d) 100 100
6.520% due 08/12/2002 13,000 12,905
6.000% due 01/14/2003 15,000 14,677
6.850% due 03/17/2003 (d) 3,000 2,996
6.130% due 04/28/2003 14,000 13,698
6.960% due 04/26/2004 (d) 19,000 18,974
General Motors Acceptance Corp.
7.130% due 05/01/2001 15,000 15,022
6.680% due 09/19/2001 (d) 5,000 5,009
6.760% due 12/10/2001 (d) 7,400 7,401
6.840% due 04/29/2002 (d) 2,000 2,006
6.880% due 11/12/2002 (d) 63,520 63,596
6.780% due 11/12/2002 (d) 17,400 17,397
5.880% due 01/22/2003 500 489
7.400% due 07/20/2003 (d) 14,366 14,353
7.020% due 04/05/2004 (d) 700 699
6.850% due 06/17/2004 1,000 991
Gold Eagle Capital Ltd.
9.000% due 04/15/2001 20,000 19,976
Goldman Sachs Group
6.200% due 12/15/2000 1,000 998
7.630% due 08/17/2005 20,800 21,237
Great Western Financial
8.600% due 02/01/2002 4,000 4,068
Heller Financial, Inc.
6.970% due 04/28/2003 (d) 20,000 19,914
Hitachi Credit America
6.100% due 04/24/2001 25,000 24,891
Household Finance Corp.
6.490% due 04/09/2001 20,000 19,972
7.630% due 01/15/2003 10,849 10,987
6.130% due 02/27/2003 1,500 1,463
6.920% due 06/24/2003 (d) 1,500 1,501
6.130% due 07/15/2012 10,000 9,859
Industrial Bank of Korea
8.380% due 09/30/2002 5,000 5,030
Key Bank NA
6.050% due 04/24/2003 12,900 12,571
Korea Development Bank
7.130% due 09/17/2001 28,963 28,923
7.900% due 02/01/2002 6,100 6,115
7.630% due 10/01/2002 19,500 19,516
6.500% due 11/15/2002 5,898 5,775
8.290% due 06/16/2003 (d) 3,500 3,430
6.630% due 11/21/2003 20,300 19,766
7.130% due 04/22/2004 11,800 11,581
7.380% due 09/17/2004 1,200 1,183
Lehman Brothers Holdings, Inc.
6.630% due 11/15/2000 825 825
7.680% due 04/02/2002 (d) 2,000 2,018
6.380% due 05/07/2002 28,345 28,133
7.410% due 05/07/2002 (d) 5,000 5,031
6.610% due 07/08/2002 (d) 1,500 1,501
7.210% due 12/12/2002 (d) 1,500 1,507
7.170% due 04/04/2003 (d) 7,900 7,902
7.000% due 05/15/2003 3,600 3,590
Marsh & McLennan Co., Inc.
6.630% due 06/15/2004 1,000 984
MBNA America Bank NA
6.000% due 12/26/2000 5,000 4,992
6.880% due 07/15/2004 1,900 1,862
Merrill Lynch & Co.
6.230% due 09/30/2000 (d) 8,558 8,558
6.000% due 01/15/2001 (d) 1,336 1,332
7.280% due 11/26/2001 (d) 115,000 115,671
6.830% due 01/15/2002 (d) 5,000 4,998
7.090% due 02/08/2002 (d) 25,000 25,090
6.920% due 02/04/2003 (d) 23,000 22,988
6.130% due 04/07/2003 7,770 7,640
See accompanying notes 59
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Metropolitan Life Insurance Co.
6.300% due 11/01/2003 $ 17,850 $ 17,450
Mexico Credit Link
11.380% due 02/22/2002 (d) 5,000 5,214
Morgan Stanley, Dean Witter, Discover and Co.
6.850% due 03/11/2003 (d) 5,000 4,993
Nacional Financiera
8.570% due 05/08/2003 (d) 2,000 2,011
Pemex Finance Ltd.
6.130% due 11/15/2003 13,000 12,770
PNC Bank Corp.
6.720% due 01/24/2002 (d) 20,000 20,013
Popular North American, Inc.
6.880% due 06/15/2001 5,000 5,003
7.380% due 09/15/2001 20,000 20,096
Popular, Inc.
6.200% due 04/30/2001 1,000 997
Prudential Funding Corp.
6.420% due 10/02/2000 (d) 5,000 5,001
Rothmans Holdings
6.500% due 05/06/2003 14,000 13,588
Salomon, Inc.
7.500% due 02/01/2003 3,000 3,038
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (d) 1,088 1,075
6.860% due 05/14/2002 (d) 25,150 25,149
7.020% due 07/23/2002 (d) 5,100 5,092
Security Pacific Corp.
11.500% due 11/15/2000 3,850 3,868
Seismic Ltd.
11.270% due 01/01/2002 (d) 10,000 10,000
Shopping Center Associates
6.750% due 01/15/2004 11,725 11,469
Spieker Properties
6.650% due 12/15/2000 5,070 5,062
6.800% due 05/01/2004 2,000 1,955
Toyota Motor Credit Corp.
7.320% due 02/15/2002 (d) 11,600 11,403
Transamerica Finance Corp.
6.130% due 11/01/2001 5,000 4,958
5.920% due 03/29/2002 52,050 51,351
Travelers Group, Inc.
7.250% due 05/01/2001 3,700 3,704
7.300% due 05/15/2002 15,000 15,082
Wachovia Corp.
7.260% due 05/02/2005 (d) 8,000 7,992
Wells Fargo & Co.
6.630% due 07/15/2004 1,000 991
7.220% due 05/02/2005 (d) 32,700 32,689
----------
1,472,709
==========
Industrials 14.5%
Abitibi-Consolidated, Inc.
8.300% due 08/01/2005 20,000 20,473
Allied Waste Industries, Inc.
7.380% due 01/01/2004 5,000 4,675
AMR Corp.
9.910% due 03/01/2001 2,500 2,525
9.130% due 10/24/2001 4,250 4,321
Atlas Air, Inc.
8.010% due 01/02/2010 10,817 10,517
Boise Cascade Co.
9.850% due 06/15/2002 3,000 3,065
Burlington North Santa Fe
6.050% due 03/15/2031 2,000 1,985
Caterpillar, Inc.
9.750% due 06/01/2019 13,766 14,415
Cemex SA
8.630% due 07/18/2003 10,000 10,125
Century Communications Corp.
0.000% due 03/15/2003 5,250 4,016
Coastal Corp.
7.290% due 03/01/2002 (d) 32,200 32,200
Columbia/HCA Healthcare
6.130% due 12/15/2000 200 199
8.130% due 08/04/2003 5,000 4,957
6.630% due 07/15/2045 7,000 6,823
Conoco, Inc.
5.900% due 04/15/2004 3,100 3,003
Cox Enterprises, Inc.
6.630% due 06/14/2002 3,000 2,969
7.610% due 05/01/2033 (d) 2,000 1,999
Crown Cork & Seal Co.
7.130% due 09/01/2002 33,000 31,313
Crown Cork & Seal Finance PLC
6.750% due 12/15/2003 7,000 6,373
DaimlerChrysler Holdings
6.900% due 09/01/2004 1,000 997
Delta Air Lines, Inc.
9.800% due 12/16/2000 250 251
8.500% due 09/15/2001 205 207
6.650% due 03/15/2004 2,925 2,775
Eastman Chemical Co.
6.380% due 01/15/2004 250 241
Electric Lightwave, Inc.
6.050% due 05/15/2004 3,000 2,922
EZ Communication, Inc.
9.750% due 12/01/2005 5,000 5,254
Federal-Mogul Corp.
7.500% due 07/01/2004 28,600 12,155
Ford Motor Co.
9.000% due 09/15/2001 500 507
Fred Meyer, Inc.
7.150% due 03/01/2003 13,500 13,411
Global Crossing Ltd.
6.000% due 10/15/2013 7,500 6,929
HMH Properties, Inc.
7.880% due 08/01/2005 5,000 4,738
IMEXSA Export Trust
10.130% due 05/31/2003 7,740 7,713
International Game Technology
7.880% due 05/15/2004 500 491
ISP Holdings, Inc.
9.750% due 02/15/2002 3,000 2,700
Kroger Co.
6.340% due 06/01/2001 5,000 4,982
Lockheed Martin Corp.
6.850% due 05/15/2001 7,300 7,274
Mallinckrodt, Inc.
6.300% due 03/15/2011 (d) 650 647
Nabisco, Inc.
6.000% due 02/15/2001 (d) 21,000 20,842
6.700% due 06/15/2002 21,100 20,657
Occidental Petroleum
6.400% due 04/01/2003 15,945 15,553
Park Place Entertainment Corp.
7.950% due 08/01/2003 15,955 15,975
Petroleos Mexicanos
8.130% due 07/15/2005 (d) 15,873 15,912
9.380% due 12/02/2008 5,500 5,665
Philip Morris Cos., Inc.
9.000% due 01/01/2001 7,000 7,017
7.500% due 01/15/2002 200 199
7.250% due 01/15/2003 4,050 4,003
6.950% due 06/01/2006 25,000 24,883
Philips Petroleum Co.
8.500% due 05/25/2005 2,000 2,114
R & B Falcon Corp.
6.500% due 04/15/2003 11,000 10,546
Rollins Truck Leasing Co.
8.000% due 02/15/2003 3,000 3,020
Starwood Hotels & Resorts
6.750% due 11/15/2005 2,000 1,881
Stone Container Corp.
10.750% due 10/01/2002 11,080 11,288
Supervalu, Inc.
9.750% due 06/15/2004 10,500 11,068
60 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
TCI Communications, Inc.
7.360% due 03/11/2003 (d) $ 3,000 $ 3,060
Tenet Healthcare Corp.
7.880% due 01/15/2003 5,300 5,287
8.630% due 12/01/2003 9,700 9,774
Time Warner, Inc.
7.980% due 08/15/2004 1,200 1,234
TTX Co.
7.820% due 07/21/2003 61,000 62,077
Tyco International Group SA
6.880% due 09/05/2002 18,805 18,766
6.250% due 06/15/2003 5,100 4,964
Union Oil Co. of California
9.100% due 08/15/2001 3,350 3,407
Waste Management, Inc.
6.500% due 05/14/2004 45,000 42,423
Whitman Corp.
6.000% due 05/01/2004 6,500 6,299
Williams Communications Group, Inc.
7.180% due 11/15/2001 (d) 6,200 6,204
Yorkshire Power
6.150% due 02/25/2003 40,000 38,494
----------
612,759
==========
Utilities 9.9%
Arizona Public Service
5.880% due 02/15/2004 3,600 3,439
Arkansas Power & Light
6.000% due 10/01/2003 450 432
AT&T Corp.
5.630% due 03/15/2004 415 397
Calpine Corp.
9.250% due 02/01/2004 2,960 2,964
7.630% due 04/15/2006 2,900 2,828
Cinergy Corp.
6.130% due 04/15/2004 13,000 12,317
Cleveland Electric Illuminating Co.
8.550% due 11/15/2001 2,075 2,106
7.850% due 07/30/2002 3,500 3,536
9.500% due 05/15/2005 2,000 2,048
CMS Energy
8.130% due 05/15/2002 5,000 4,966
7.630% due 11/15/2004 15,400 14,750
8.000% due 07/01/2011 5,000 4,957
Connecticut Light & Power Co.
7.880% due 06/01/2001 500 502
8.590% due 06/05/2003 10,000 9,869
Deutsche Telekom AG
7.750% due 06/15/2005 5,000 5,123
DTE Capital Corp.
8.350% due 11/15/2038 (d) 1,000 978
Entergy Louisiana, Inc.
8.500% due 06/01/2003 4,000 4,112
Entergy Mississippi
7.750% due 02/15/2003 35,000 35,346
GTE Corp.
8.880% due 01/15/2006 45,170 46,640
6.130% due 04/15/2012 4,300 4,249
Hughes Electric
7.560% due 10/23/2000 (d) 28,500 28,509
Illinois Power Co.
6.250% due 07/15/2002 10,000 9,862
6.000% due 09/15/2003 12,500 12,177
Louisiana Power & Light Co.
7.740% due 07/01/2002 3,308 3,308
Niagara Mohawk Power
7.000% due 10/01/2000 20,717 20,717
7.130% due 07/01/2001 1,512 1,513
7.250% due 10/01/2002 16,634 16,563
North Atlantic Energy
9.050% due 06/01/2002 2,678 2,705
Occidental Petroleum
6.240% due 11/24/2000 5,000 4,987
Ohio Edison Co.
8.630% due 09/15/2003 5,000 5,211
Public Service Enterprise Group, Inc.
7.040% due 11/22/2000 (d) 10,000 9,999
Qwest Capital Funding, Inc.
6.130% due 07/15/2002 5,250 5,169
Qwest Corp.
7.630% due 06/09/2003 25,000 25,320
Reliant Energy, Inc.
6.380% due 11/01/2003 2,000 1,960
Southwestern Bell Communication Capital Corp.
6.130% due 03/12/2001 2,000 1,993
Sprint Corp.
9.500% due 04/01/2003 5,800 6,087
Texas Utilities Co.
5.940% due 10/15/2001 13,155 12,982
9.700% due 02/28/2003 4,695 4,991
6.750% due 03/01/2003 925 919
6.750% due 04/01/2003 3,875 3,849
6.880% due 08/01/2005 2,000 1,964
Toledo Edison Co.
8.180% due 07/30/2002 2,500 2,542
U.S. West Communications, Inc.
5.650% due 11/01/2004 9,250 8,705
United Illuminating Co.
6.000% due 12/15/2003 13,000 12,550
Western Massachusetts Electric
7.750% due 12/01/2002 4,847 4,849
Western Resources, Inc.
6.250% due 08/15/2003 5,450 4,898
WorldCom, Inc.
6.130% due 08/15/2001 45,000 44,726
----------
420,614
----------
Total Corporate Bonds & Notes 2,506,082
(Cost $2,526,932) ==========
------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 0.8%
------------------------------------------------------------------------------
Federal Home Loan Bank
6.240% due 08/24/2001 210 209
6.250% due 11/15/2002 995 991
6.000% due 03/26/2004 10,000 9,774
Federal Home Loan Mortgage Corp.
5.750% due 06/15/2001 750 746
6.000% due 07/20/2001 970 966
6.250% due 10/15/2002 750 746
7.380% due 05/15/2003 5,000 5,105
Federal National Mortgage Association
5.630% due 03/15/2001 3,174 3,160
4.630% due 10/15/2001 535 525
6.500% due 09/05/2002 600 597
6.250% due 11/15/2002 606 603
7.130% due 01/15/2030 28 29
Small Business Administration
8.250% due 01/25/2013 (d) 255 259
8.250% due 02/25/2014 (d) 796 848
Student Loan Marketing Assn.
6.920% due 04/25/2006 (d) 7,893 7,863
----------
Total U.S. Government Agencies 32,421
(Cost $32,139) ==========
------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 9.7%
------------------------------------------------------------------------------
Treasury Inflation Protected Securities (i)
3.630% due 07/15/2002 (b)(j) 155,181 155,132
3.380% due 01/15/2007 (j) 38,184 36,931
3.630% due 01/15/2008 (j) 123,389 120,575
3.880% due 01/15/2009 98,818 98,015
U.S. Treasury Bonds
5.500% due 08/15/2028 100 93
U.S. Treasury Strips
0.000% due 02/15/2019 200 66
----------
Total U.S. Treasury Obligations 410,812
(cost $410,218) ==========
See accompanying notes 61
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 41.8%
------------------------------------------------------------------------------
Collateralized Mortgage Obligations 15.4%
Amortizing Residential Collateral Trust
6.880% due 09/25/2003 (d) $ 16,690 $ 16,690
Bayview Financial Revolving Mortgage
7.920% due 08/25/2029 (d) 6,900 6,785
Cendant Mortgage Corp.
6.500% due 01/18/2016 513 505
Chase Commercial Mortgage Securities Corp.
7.600% due 12/18/2005 156 159
Chase Mortgage Finance Corp.
10.000% due 11/25/2009 87 87
6.500% due 06/25/2013 6,229 6,161
6.320% due 04/25/2025 (d) 3,116 3,147
6.750% due 06/25/2028 11,250 10,810
6.350% due 07/25/2029 4,717 4,670
CMC Securities Corp. IV
7.250% due 10/25/2027 12,141 12,035
Collateralized Mortgage Obligation Trust
6.750% due 01/20/2003 (d) 4 4
Commercial Trust
6.670% due 12/15/2003 3,799 3,575
Countrywide Funding Corp.
6.250% due 01/25/2035 (d) 2,810 2,786
Countrywide Home Loans
6.250% due 07/25/2009 467 464
6.900% due 12/25/2027 18,168 17,481
Criimi Mae Financial Corp.
7.000% due 01/01/2033 8,469 8,358
CS First Boston Mortgage Securities Corp.
6.400% due 01/17/2035 132 131
Dime Savings
7.060% due 11/01/2018 (d) 1,340 1,210
DLJ Mortgage Acceptance Corp.
11.000% due 08/01/2019 697 758
8.670% due 05/25/2024 (d) 1,056 1,079
7.190% due 06/25/2026 (d) 9,473 9,369
6.850% due 12/17/2027 165 165
Enterprise Mortgage Acceptance Co.
6.110% due 01/15/2025 106 105
Federal Home Loan Mortgage Corp.
6.000% due 07/15/2006 1,585 1,574
6.500% due 08/15/2006 2,211 2,199
9.500% due 03/01/2010 23 24
6.500% due 08/15/2011 18,088 17,773
12.500% due 09/30/2013 544 580
9.500% due 08/01/2016 6 6
10.000% due 11/01/2016 18 19
9.500% due 06/01/2019 19 20
10.000% due 07/15/2019 232 244
9.000% due 11/15/2019 485 489
10.000% due 05/15/2020 166 174
9.500% due 07/01/2020 9 9
9.500% due 08/01/2020 28 29
7.500% due 12/15/2020 957 960
9.000% due 12/15/2020 2,821 2,906
9.500% due 01/15/2021 959 996
8.000% due 04/15/2021 1,146 1,168
9.000% due 05/15/2021 193 198
9.500% due 09/01/2021 33 34
7.500% due 01/20/2024 4,574 4,582
Federal National Mortgage Association
8.950% due 05/25/2003 21 22
9.400% due 07/25/2003 43 44
9.000% due 07/25/2003 176 177
6.880% due 06/25/2009 1,294 1,288
7.000% due 09/25/2016 10,368 10,314
8.750% due 05/25/2019 21 21
9.500% due 03/25/2020 3,671 4,000
9.500% due 05/25/2020 1,278 1,329
9.000% due 03/25/2021 3,151 3,243
9.000% due 04/25/2021 107 111
8.000% due 03/25/2022 29 29
5.000% due 01/25/2024 54 53
8.500% due 04/01/2025 2,854 2,934
6.890% due 02/01/2028 (d) 5,771 5,934
General Electric Capital Mortgage Services, Inc.
6.750% due 12/25/2012 2,629 2,610
6.500% due 02/25/2024 1 1
German American Capital Corp.
7.000% due 08/12/2010 6,800 6,685
Glendale Federal Savings & Loan
7.940% due 03/25/2030 (d) 949 941
Greenwich
9.480% due 11/25/2024 (d) 151 151
Impac Secured Assets CMN Owner Trust
8.000% due 07/25/2030 113,595 114,056
Independent National Mortgage Corp.
9.140% due 11/25/2024 (d) 48 48
J.P. Morgan Commercial Mortgage Finance Corp.
7.070% due 09/15/2029 185 185
6.370% due 01/15/2030 116 114
LB Commercial Conduit Mortgage Trust
6.330% due 11/18/2004 119 118
Mellon Residential Funding Corp.
6.400% due 06/25/2028 2,661 2,589
6.580% due 07/25/2029 (d) 17,411 17,193
Morgan Stanley Capital
7.230% due 01/16/2006 230 232
7.460% due 02/15/2020 8,100 8,234
6.860% due 08/15/2023 121 120
6.220% due 06/01/2030 209 205
Mortgage Capital Funding, Inc.
6.330% due 10/18/2007 21,345 20,895
Nomura Asset Securities Corp.
6.630% due 01/25/2009 463 460
Norwest Asset Securities Corp.
6.500% due 04/25/2028 1,415 1,374
6.500% due 01/25/2029 6,000 5,623
PNC Mortgage Securities Corp.
6.500% due 02/25/2028 5,847 5,808
6.750% due 05/25/2028 4,777 4,723
7.750% due 07/25/2030 60,352 60,239
Prudential Bache
6.710% due 09/01/2018 (d) 22 21
8.400% due 03/20/2021 3,319 3,400
Prudential Home Mortgage Securities
7.500% due 09/25/2007 824 829
7.000% due 01/25/2008 10,000 9,932
6.750% due 11/25/2008 4,941 4,790
7.000% due 06/25/2023 3,014 2,992
6.050% due 04/25/2024 113 112
6.000% due 05/25/2024 1 1
Resecuritization Mortgage Trust
6.870% due 04/26/2021 (d) 9,452 9,263
Residential Accredit Loans, Inc.
6.500% due 02/25/2029 24,140 23,197
7.000% due 07/25/2029 541 533
Residential Asset Securitization Trust
6.500% due 09/25/2014 441 427
Residential Funding Mortgage Securities, Inc.
6.500% due 06/25/2008 176 176
6.500% due 04/25/2009 22 22
5.880% due 07/01/2019 (d) 752 717
7.500% due 08/25/2023 497 498
7.100% due 07/25/2027 4,220 4,200
7.000% due 10/25/2027 10,000 9,451
7.250% due 10/25/2027 17,582 17,526
6.250% due 11/25/2028 6,000 5,432
Resolution Trust Corp.
8.630% due 10/25/2021 10,337 10,297
5.970% due 10/25/2021 435 412
6.940% due 10/25/2021 (d) 68 67
6.900% due 02/25/2027 3,338 3,077
9.000% due 09/25/2028 134 135
7.350% due 10/25/2028 (d) 87 86
62 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Ryland Mortgage Securities Corp.
7.040% due 11/25/2021 $ 664 $ 654
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 368 370
7.160% due 12/25/2017 (d) 1,525 1,532
9.060% due 03/25/2024 (d) 995 1,002
Shearson Lehman
9.600% due 03/25/2021 280 279
Structured Asset Mortgage Investments, Inc.
6.910% due 06/25/2028 (d) 6,413 6,241
9.040% due 06/25/2029 (d) 8,097 8,340
6.580% due 06/25/2029 (d) 29,963 28,724
6.750% due 05/02/2030 4,141 4,024
Structured Asset Securities Corp.
6.750% due 07/25/2029 15,441 15,228
7.750% due 07/25/2030 29,087 29,331
TMA Mortgage Funding Trust
7.000% due 01/25/2029 (d) 10,131 10,131
Torrens Trust
6.880% due 07/15/2031 (d) 6,706 6,706
Union Planters Mortgage Finance Corp.
6.450% due 01/25/2028 6,000 5,909
----------
648,685
==========
Federal Home Loan Mortgage Corporation 1.3%
5.750% due 01/15/2008 4,521 4,471
6.000% due 09/01/2006-03/01/2011 (h) 9,602 9,318
6.500% due 02/01/2005-10/01/2028 (h) 1,160 1,150
6.750% due 06/15/2019 4,062 4,047
6.870% due 10/01/2027 (d) 1,086 1,067
7.000% due 01/01/2017 (d) 39 39
7.380% due 11/01/2022 (d) 1,609 1,643
7.390% due 10/01/2023 (d) 1,008 1,029
7.430% due 11/01/2023 (d) 578 590
7.500% due 09/01/2006-01/01/2024 (d)(h) 2,121 2,160
7.550% due 02/01/2020 (d) 2,164 2,189
7.840% due 03/01/2024 (d) 74 77
7.890% due 01/01/2024 (d) 809 833
7.910% due 06/01/2024 (d) 640 657
8.000% due 07/01/2006-12/01/2024 (h) 5,081 5,177
8.240% due 09/01/2023 (d) 257 263
8.250% due 10/01/2007-11/01/2007 (h) 25 25
8.420% due 12/01/2022 (d) 639 656
8.500% due 07/01/2001-11/01/2025 (h) 12,535 12,912
8.510% due 07/01/2018 (d) 252 258
8.750% due 02/01/2001-04/01/2002 (h) 20 20
9.000% due 05/01/2002-08/01/2022 (h) 3,026 3,136
9.250% due 07/01/2001 2 2
9.500% due 03/01/2001-02/01/2025 (h) 247 253
9.750% due 03/01/2001-11/01/2008 (h) 618 634
10.000% due 04/01/2001-10/01/2019 (h) 76 80
10.500% due 10/01/2000-02/01/2016 (h) 31 32
10.750% due 09/01/2009-08/01/2011 (h) 314 338
11.500% due 10/01/2015-01/01/2016 (h) 43 48
11.750% due 11/01/2010-08/01/2015 (h) 12 14
12.000% due 09/01/2013 2 2
14.000% due 09/01/2012-04/01/2016 (h) 11 11
14.500% due 12/01/2010 3 3
15.000% due 08/01/2011-12/01/2011 (h) 3 4
15.500% due 11/01/2011 0 0
16.000% due 04/01/2012 0 0
----------
53,138
==========
Federal Housing Administration 1.0%
6.950% due 04/01/2014 2,084 1,915
7.400% due 02/01/2019 93 91
7.420% due 11/01/2019 525 515
7.430% due 10/01/2019-07/01/2024 (h) 41,082 40,942
----------
43,463
==========
Federal National Mortgage Association 5.8%
6.000% due 05/01/2011-12/25/2020 (h) 189 185
6.320% due 08/01/2029 19,176 18,204
6.450% due 04/01/2018 (d) 6,233 6,102
6.500% due 06/01/2008 14 13
6.780% due 01/01/2021 (d) 400 396
7.000% due 04/01/2002-05/01/2012 (h) 305 304
7.140% due 11/01/2018 (d) 156 157
7.230% due 04/25/2022 (d) 187 189
7.260% due 07/01/2017 (d) 490 496
7.270% due 11/01/2017 (d) 302 303
7.800% due 01/01/2024 (d) 2,100 2,158
7.850% due 01/01/2024 (d) 28 29
7.910% due 04/01/2024 (d) 1,952 2,004
8.000% due 03/01/2004-10/16/2030 (h) 148,062 150,005
8.290% due 10/01/2024 (d) 3,580 3,700
8.500% due 03/01/2008-10/16/2030 (h) 51,528 52,785
8.700% due 07/01/2023 (d) 1,262 1,297
9.000% due 01/01/2025 4 4
9.500% due 07/01/2024-11/01/2025 (h) 3,696 3,828
10.000% due 02/01/2004-01/01/2025 (h) 1,142 1,194
10.500% due 06/01/2005-12/01/2024 (h) 163 172
11.000% due 11/01/2020 45 49
11.250% due 12/01/2010-10/01/2015 (h) 140 152
11.500% due 12/01/2008-02/01/2020 (h) 64 71
11.750% due 02/01/2016 36 39
12.000% due 01/01/2015-10/01/2015 (h) 6 6
12.750% due 03/01/2014 25 28
13.000% due 07/01/2015 8 9
13.250% due 09/01/2011 13 15
13.500% due 04/01/2014 3 4
15.500% due 10/01/2012-12/01/2012 (h) 56 64
15.750% due 12/01/2011 25 29
16.000% due 09/01/2012-12/01/2012 (h) 11 14
----------
244,005
==========
Government National Mortgage Association 17.7%
6.380% due 05/20/2027 (d) 1,583 1,594
6.500% due 05/15/2023-10/21/2029 (h) 84,534 81,421
6.750% due 08/20/2022-07/20/2027 (d)(h) 75,246 75,919
7.000% due 03/15/2011-10/23/2030 (h) 56,341 55,788
7.130% due 10/20/2023-12/20/2027 (d)(h) 53,892 54,288
7.380% due 04/20/2016-06/20/2027 (d)(h) 40,882 41,200
7.500% due 02/15/2022-10/23/2030 (h) 90,147 90,416
8.000% due 07/15/2004-10/23/2030 (h) 277,487 282,249
8.500% due 04/15/2022-10/23/2030 (h) 62,938 64,684
9.000% due 03/15/2017 14 15
9.500% due 10/15/2016-06/15/2025 (h) 123 129
9.750% due 07/15/2013-10/15/2017 (h) 511 535
10.000% due 10/15/2013-11/15/2025 (h) 129 137
10.500% due 11/15/2019-02/15/2021 (h) 16 17
11.000% due 09/15/2010 8 9
11.500% due 08/15/2018 37 41
11.750% due 08/15/2013-08/15/2015 (h) 56 61
12.000% due 06/20/2015 8 9
12.250% due 01/15/2014 36 40
13.000% due 10/15/2013 6 6
13.500% due 05/15/2011-11/15/2012 (h) 22 27
16.000% due 12/15/2011-04/15/2012 (h) 27 31
----------
748,616
==========
Other Mortgage-Backed Securities 0.3%
First Boston Mortgage Securities Corp.
8.300% due 08/20/2009 3 3
Glendale Federal Savings & Loan
11.000% due 03/01/2010 16 16
Home Savings of America
6.100% due 05/25/2027 (d) 1,177 1,147
Imperial Savings & Loan
8.850% due 07/25/2017 (d) 31 30
9.900% due 02/25/2018 383 379
Resolution Trust Corp.
6.700% due 05/25/2019 (d) 3,312 3,302
6.860% due 08/25/2019 (d) 2,788 2,789
10.300% due 08/25/2021 (d) 402 400
6.050% due 10/25/2028 (d) 1,797 1,851
7.200% due 05/25/2029 (d) 2,127 2,125
Salomon Brothers Mortgage Securities
8.140% due 12/25/2017 (d) 133 133
Sears Mortgage
12.000% due 02/25/2014 57 59
7.430% due 10/25/2022 (d) 1,770 1,790
----------
14,024
==========
See accompanying notes 63
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Stripped Mortgage-Backed Securities 0.3%
Federal Home Loan Mortgage Corp. (IO)
6.000% due 02/15/2006 $ 350 $ 5
9.980% due 07/15/2006 7 37
10.190% due 08/15/2006 3 20
11.940% due 12/15/2006 8 55
6.000% due 10/15/2007 398 14
6.000% due 02/15/2008 1,555 57
7.000% due 08/15/2018 5,516 374
7.000% due 04/15/2019 327 4
6.500% due 05/15/2019 4,111 227
6.500% due 06/15/2019 1,849 117
10.500% due 04/15/2021 13 149
6.500% due 04/15/2022 2,582 273
7.000% due 05/15/2023 324 42
4.000% due 01/15/2024 20,919 4,502
Federal National Mortgage Association (IO)
7.270% due 09/25/2006 32 176
6.000% due 02/25/2008 2,147 98
256.000% due 11/01/2008 22 107
6.500% due 03/25/2009 3,825 371
0.100% due 03/25/2009 (d) 16,057 273
6.500% due 03/25/2009 1,362 140
6.920% due 07/25/2017 2,313 2,299
7.500% due 03/25/2019 2,029 148
6.500% due 05/25/2019 8,730 624
6.500% due 04/25/2020 6,447 360
7.000% due 05/25/2021 3,909 281
8.600% due 02/25/2022 19 272
6.500% due 03/25/2023 3,322 372
4.880% due 03/25/2024 (d) 6,455 271
Federal National Mortgage Association (PO)
0.000% due 09/25/2022 26 22
Prudential Home Mortgage Securities (IO)
0.300% due 04/25/2009 (d) 49,173 312
----------
12,002
----------
Total Mortgage-Backed Securities 1,763,933
(Cost $1,770,729) ==========
------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 6.2%
------------------------------------------------------------------------------
Advanta Mortgage Loan Trust
7.760% due 05/25/2018 21,700 21,935
Allied Waste Industries, Inc.
9.440% due 07/30/2006 11,364 11,026
9.750% due 07/30/2007 (d) 1,818 1,764
9.690% due 07/30/2007 (d) 11,819 11,468
Amresco Residential Securities Mortgage Loan Trust
6.810% due 07/25/2027 (d) 71 71
AT&T Universal Card Master Trust
5.950% due 10/17/2002 4,000 4,001
Bombardier Capital Mortgage
6.610% due 09/15/2010 8,587 8,544
Capital Asset Research Funding LP
6.400% due 12/15/2004 65 66
CIT Marine Trust
5.800% due 04/15/2010 200 196
Citicorp Mortgage Securities, Inc.
6.750% due 05/25/2028 6,266 5,909
CMC Securities Corp. IV
7.250% due 11/25/2027 8,724 8,593
Community Program Loan Trust
4.500% due 10/01/2018 15,756 14,136
Compucredit Credit Card Trust
6.850% due 03/15/2007 (d) 32,000 32,000
Duck Auto Grantor Trust
5.650% due 03/15/2004 6,067 5,998
Empire Funding Home Loan Owner Trust
6.590% due 05/25/2014 5,438 5,413
Federal-Mogul Corp.
8.700% due 12/31/2005 (d) 14 12
GF Funding Corp.
6.890% due 01/20/2006 20,503 20,372
Green Tree Financial Corp.
6.550% due 02/15/2027 12,387 12,316
7.400% due 06/15/2027 11,748 11,834
Green Tree Home Improvement Loan Trust
6.320% due 08/15/2008 6,753 6,748
IMC Home Equity Loan Trust
6.840% due 10/20/2027 (d) 4,336 4,338
Irwin Home Equity
7.460% due 09/15/2030 18,321 18,343
Merit Securities Corp.
7.040% due 12/28/2033 22,674 22,578
MGM Grand Term Loan
7.870% due 05/06/2001 (d) 8,865 8,844
New York City Tax Lien
6.350% due 07/10/2007 7,395 7,311
Oakwood Mortgage Investors, Inc.
6.950% due 08/15/2027 4,735 4,713
Option One Mortgage Loan Trust
6.910% due 09/25/2030 (d) 5,978 5,978
Prudential Home Mortgage Securities
7.000% due 08/25/2009 4,000 3,994
Saxon Asset Securities Trust
7.210% due 01/25/2019 275 275
6.850% due 05/25/2029 (d) 1,744 1,746
Stone Container Corp.
10.190% due 10/01/2003 2,363 2,371
----------
Total Asset-Backed Securities 262,893
(Cost $264,398) ==========
------------------------------------------------------------------------------
SOVEREIGN ISSUES 2.0%
------------------------------------------------------------------------------
Central Bank Philippines
7.940% due 06/01/2008 (d) 2,993 2,679
Hydro-Quebec
9.000% due 03/07/2001 10,000 10,073
Nacional Financiera
10.630% due 11/22/2001 7,500 7,740
8.570% due 05/08/2003 (d) 5,000 5,078
Province of Quebec
6.380% due 10/25/2001 (d) 250 249
Republic of Brazil
7.380% due 04/15/2006 2,325 2,194
Republic of Argentina
11.600% due 04/10/2005 (d) 1,400 1,302
Republic of Brazil
7.880% due 01/01/2001 (d) 1,181 1,181
7.380% due 04/15/2006 (d) 4,278 4,027
Republic of Philippines
7.810% due 01/05/2005 (d) 1,800 1,699
7.940% due 12/01/2009 (d) 15,352 13,356
United Mexican States
5.820% due 06/28/2001 10,500 10,382
10.500% due 04/07/2004 (d) 14,730 15,290
10.020% due 04/07/2004 (d) 1,800 1,872
9.780% due 04/07/2004 (d) 5,000 5,190
----------
Total Sovereign Issues 82,312
(Cost $82,398) ==========
------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.7%
------------------------------------------------------------------------------
British Telecom PLC
4.730% due 07/27/2001 (d) EC 16,000 14,112
Korea Development Bank
4.800% due 05/14/2001 (d) DM 340 152
2.700% due 08/16/2002 JY 2,000,000 19,045
Republic of Austria
5.500% due 01/15/2010 (j) EC 8,900 7,799
Republic of Colombia
7.000% due 03/06/2002 IL 36,220,000 15,866
United Mexican States
6.000% due 03/28/2002 JY 960,000 9,494
8.750% due 05/30/2002 BP 3,000 4,493
----------
Total Foreign Currency-Denominated Issues 70,961
(Cost $74,194) ==========
64 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.0%
Utilities 0.0%
Alliant Energy Resources, Inc.
4.910% due 01/01/2000 $ 2,000 $ 121
-----------
Total Convertible Bonds & Notes 121
(Cost $136) ===========
PREFERRED STOCK 1.9%
Shares
Home Ownership Funding
13.331% due 12/31/2049 3,000 2,291
Rhone-Poulenc SA
8.125% due 12/31/2049 13,000 292
SI Financing Trust
9.500% due 06/30/2026 806,600 20,316
TCI Communications, Inc.
9.720% due 12/31/2036 224,700 5,842
8.720% due 01/31/2045 1,170,100 29,253
10.000% due 05/31/2045 800,300 20,258
-----------
Total Preferred Stock 78,252
(Cost $83,777) ===========
SHORT-TERM INSTRUMENTS 2.5%
Principal
Amount
(000s)
Commercial Paper 2.4%
Anz, Inc.
6.480% due 11/07/2000 $ 200 199
CDC
6.570% due 11/29/2000 3,000 2,967
Edison Midwest
6.720% due 10/18/2000 9,200 9,172
6.750% due 11/01/2000 850 845
General Electric Capital Corp.
6.520% due 01/19/2001 22,500 22,060
Houston Industries
6.770% due 10/18/2000 5,000 4,985
Ingersoll-Rand Co.
6.680% due 10/02/2000 8,300 8,300
International Paper Co.
6.720% due 11/07/2000 13,700 13,608
Motorola, Inc.
6.480% due 12/26/2000 10,500 10,334
Nabisco, Inc.
6.700% due 10/18/2000 5,700 5,683
Pearson
6.730% due 10/25/2000 3,000 2,987
Sumitomo Bank
6.700% due 10/18/2000 6,600 6,580
Texas Utilities Co.
6.700% due 10/18/2000 11,900 11,865
-----------
99,585
===========
Repurchase Agreements 0.1%
State Street Bank
5.850% due 10/02/2000 2,444 2,444
(Dated 9/29/2000. Collateralized by -----------
Federal National Mortgage Association
6.100% due 08/10/2001 valued at $2,495.
Repurchase proceeds are $2,445.)
U.S. Treasury Bills (b) 0.0%
5.930% due 02/01/2001 140 137
-----------
Total Short-Term Instruments 102,166
(Cost $102,173) ===========
Total Investments (a) 125.9% $ 5,309,953
(Cost $5,347,094)
Written Options (c) (0.0%) (1,370)
(Premiums $3,819)
Other Assets and Liabilities (Net) (25.9%) (1,091,075)
-----------
Net Assets 100.0% $ 4,217,508
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 20,659
Aggregate gross unrealized depreciation for all
investments in which there was an excess of value
tax cost over value. (57,800)
-----------
Unrealized depreciation-net $ (37,141)
===========
(b) Securities with an aggregate market value of $7,997
have been segregated with the custodian to cover margin
requirements for the following open futures contracts
at September 30, 2000:
# of Unrealized
Type Contracts Appreciation
--------------------------------------------------------------------------------
U.S. Treasury 10 Year Note (12/2000) 51 $ 0
EuroBond 10 Year Note Written Put Options (11/2000) 1,714 524
-----------
$ 524
===========
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 1,875 $ 1,934 $ 47
Put - CME Eurodollar March Futures
Strike @ 92.75 Exp. 03/19/2001 594 254 22
Call - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 1,468 380 1,082
Put - CME Eurodollar March Futures
Strike @ 92.25 Exp. 03/19/2001 781 468 10
Put - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 341 343 64
Put - CME Eurodollar March Futures
Strike @ 93.50 Exp. 03/19/2001 341 440 145
-------- --------
$ 3,819 $ 1,370
======== ========
(d) Variable rate security. The rate listed is as of September 30, 2000.
See accompanying notes 65
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 2000 (Unaudited)
(e) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell EC (18,911) 10/2000 $ 523
Buy 124,700 11/2000 2,119
Sell BP (3,283) 10/2000 (65)
Sell JY (3,095,172) 10/2000 151
Buy 581,184 10/2000 (1)
Sell (581,184) 11/2000 (0)
Buy PZ 20,000 02/2001 (74)
------------
$ 2,653
============
(f) Principal amount denoted in indicated currency:
BP - British Pound
EC - Euro
JY - Japanese Yen
PZ - Polish Zloty
(g) Swap agreements outstanding at September 30, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive a fixed rate equal to 9.250% and pay a fixed rate
equal to 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 $ (69)
Receive a fixed rate equal to 9.250% and pay a fixed rate
equal to 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 (107)
Receive fixed rate equal to 0.430% and the Fund will pay to
the counterparty at par in the event of default of
Time Warner, Inc. 7.750% due 06/15/2005.
Broker: Lehman Brothers
Exp. 07/11/2003 20,000 1
Receive fixed rate equal to 0.510% and the Fund will pay to the
counterparty at par in the event of default of Time Warner, Inc.
7.750% due 06/15/2005.
Broker: Lehman Brothers
Exp. 01/25/2005 5,000 0
Receive fixed rate equal to 0.230% and the Fund will pay to the
counterparty at par in the event of default of Associates Corp.
6.000% due 04/15/2003.
Broker: Warburg Dillon Read LLC
Exp. 01/14/2003 43,000 1
Receive floating rate based on 3-month Canadian Bank Bill
and pay a fixed rate equal to 6.302%.
Broker: Goldman Sachs
Exp. 07/13/2010 C$ 30,000 (193)
------------
$ (367)
============
Fixed
Rate Notional Unrealized
Type (%) Amount Appreciation
--------------------------------------------------------------------------------
Receive the 10-year Swap Spread and pay a fixed spread.
The 10-year Swap Spread is the difference between the
10-year Swap Rate and the 10-year Treasury Rate.
Broker: Goldman Sachs
Exp. 02/15/2005 0.8675 $ 49,000 $ 493
(h) Securities are grouped together by coupon or range of coupons and
represent a range of maturities.
(i) Principal amount of the security is adjusted for inflation.
(j) Subject to financing transaction.
66 See accompanying notes
<PAGE>
Schedule of Investments
Money Market Fund
September 30, 2000 (Unaudited) Principal
Amount Value
------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 40.5%
------------------------------------------------------------------------------
Banking & Finance 30.8%
Abbey National PLC
6.520% due 11/03/2000 $ 12,800 $ 12,726
Bank of Scotland Treasury
6.600% due 03/06/2001 (a) 6,000 5,999
Citigroup, Inc.
6.741% due 08/13/2001 (a) 235 235
FCC National Bank
6.690% due 05/10/2001 10,900 10,900
First Chicago NBD Corp.
6.750% due 08/20/2001 (a) 14,300 14,309
First Union National Bank
6.847% due 08/24/2001 18,300 18,327
General Motors Acceptance Corp.
6.913% due 08/06/2001 (a) 6,000 6,011
Goldman Sachs Group
6.550% due 10/18/2000 17,900 17,848
7.180% due 01/08/2001 (a) 1,400 1,402
Merrill Lynch & Co.
6.958% due 03/05/2001 (a) 2,000 2,001
6.760% due 08/10/2001 (a) 1,500 1,501
Morgan Stanley, Dean Witter, Discover and Co.
6.937% due 02/06/2001 250 250
6.646% due 08/15/2001 (a) 18,000 18,000
-----------
109,509
===========
Industrials 9.7%
Gannett Co.
6.520% due 11/08/2000 10,000 9,933
6.500% due 11/21/2000 3,500 3,468
Minnesota Mining & Manufacturing Co.
6.450% due 12/19/2000 6,300 6,212
Yorkshire Building Society
6.490% due 12/06/2000 15,000 14,824
---------
34,437
---------
Total Corporate Bonds & Notes 143,946
(Cost $143,946) =========
------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 56.6%
------------------------------------------------------------------------------
Commercial Paper 56.3%
Associates Corp. of North America
6.580% due 11/29/2000 5,800 5,738
AT&T Corp.
6.500% due 10/25/2000 12,600 12,548
Bank One Corp.
6.470% due 12/19/2000 14,300 14,099
Becton Dickinson & Co.
6.520% due 10/10/2000 14,500 14,479
Bell South Telecommunications, Inc.
6.460% due 12/06/2000 11,600 11,465
Bellsouth Capital Funding Corp.
6.460% due 12/12/2000 6,300 6,220
CBA (de) Finance
6.590% due 10/23/2000 6,300 6,276
6.460% due 12/12/2000 9,000 8,885
CDC
6.530% due 10/18/2000 18,000 17,948
6.560% due 11/29/2000 800 791
Coca-Cola Co.
6.510% due 10/31/2000 9,800 9,749
DaimlerChrysler Holdings
6.510% due 12/13/2000 12,300 12,140
Dupont De Nemours & Co.
6.460% due 10/06/2000 3,600 3,597
Eastman Kodak Co.
6.470% due 11/16/2000 2,600 2,579
6.460% due 12/06/2000 13,700 13,540
Exxon-Mobil Corp.
6.470% due 11/17/2000 10,300 10,215
General Electric Capital Corp.
6.480% due 10/18/2000 800 798
Reseau Ferre De France
6.500% due 10/26/2000 3,700 3,684
Societe Generale
6.540% due 02/28/2001 24,200 24,195
Swedbank, Inc.
6.510% due 01/19/2001 12,800 12,548
Verizon Global Funding
6.500% due 10/16/2000 3,700 3,691
6.490% due 11/08/2000 2,300 2,285
6.460% due 12/01/2000 2,200 2,176
6.460% due 12/11/2000 400 395
-----------
200,041
Repurchase Agreement 0.3% ===========
State Street Bank
5.850% due 10/02/2000 945 945
(Dated 9/29/2000. Collateralized by
Federal Home Loan Bank
7.090% due 09/19/2003 valued at $965
Repurchase proceeds are $945.)
-----------
Total Short-Term Instruments 200,986
(Cost $200,986) ===========
Total Investments (a) 97.1% $ 344,932
(Cost $344,932)
Other Assets and Liabilities (Net) 2.9% 10,356
-----------
Net Assets 100.0% $ 355,288
===========
Notes to Schedule of Investments (amounts in thousands):
a) Variable rate security. The rate listed is as of September 30, 2000.
See accompanying notes 67
<PAGE>
Schedule of Investments
Municipal Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 96.9%
--------------------------------------------------------------------------------
Arizona 6.2%
Phoenix Industrial Development Authority Revenue Bonds,
(GNMA/FNMA/FHLMC Insured), Series 2000-1A
5.875% due 06/01/2016 $ 1,000 $ 1,028
Pima County, Arizona Industrial Development Authority
Multi-Family Revenue Bonds, (HUD SECT 8 Insured),
Series 1998 5.375% due 06/01/2010 1,210 1,235
Scottsdale, Arizona Industrial Development Authority
Hospital Revenue Bonds, (AMBAC Insured),
Series 1997 A 6.500% due 09/01/2004 1,130 1,206
-----------
3,469
===========
California 15.5%
Alameda, California Harbor Bay Business Park
Assessment Revenue Bonds, Series 1998
5.000% due 09/02/2006 360 360
Capistrano, California Unified School District
Special Tax, Series 1999 5.000% due 09/01/2008 350 350
Foothill/Eastern Corridor Agency California Toll Road
Revenue Bonds, (MBIA-IBC), Series 1999
0.000% due 01/15/2026 1,565 936
Irvine, California Special Assessment Bond, Series 1998
4.800% due 09/02/2004 150 150
4.900% due 09/02/2005 160 160
4.900% due 09/02/2005 150 149
5.000% due 09/02/2006 150 149
Irvine, California Special Assessment Bond, Series 1999
5.000% due 09/02/2005 350 350
5.100% due 09/02/2006 350 349
5.100% due 09/02/2006 185 185
5.200% due 09/02/2007 180 180
5.200% due 09/02/2007 75 75
Knox Middle School Building Corp. Revenue Bonds,
Series 2000 5.700% due 07/15/2010 260 276
Lake Elsinore, California School Refunding Bonds,
Series 1998 5.000% due 09/01/2006 350 349
Los Angeles Community Redevelopment Agency
Certificates of Partnership Revenue Bonds,
Series 1984 7.550% due 11/01/2008 1,150 1,275
Los Angeles County Transportation Commission,
Sales Tax Revenue Refunding Bonds,
Series 1991 B 6.500% due 07/01/2013 1,000 1,036
Orange County, California Improvement Bond,
Series 1998 A 4.900% due 09/02/2005 245 244
Pittsburg, California Infrastructure Refunding Bonds,
Series 1998 A 4.900% due 09/02/2003 150 151
5.000% due 09/02/2004 150 152
Riverside County, California Special Tax Refunding Bonds,
Series 1999 4.200% due 09/01/2001 300 300
4.700% due 09/01/2005 170 170
Roseville, California Special Tax, Series 1999
5.000% due 09/01/2004 350 351
Sacramento County, California Refunding Bonds,
Series 1998 4.900% due 09/02/2005 300 298
South Tahoe California Powers Financing Authority
Revenue Bonds, Series 1999
7.300% due 10/01/2007 350 359
West Sacramento, California Refunding Bonds,
Series 1998 5.000% due 09/02/2004 350 353
-----------
8,707
===========
Colorado 6.8%
Colorado Housing & Finance Authority Revenue Bonds,
(FHA/VA Mortgages Insured) Series 2000-C3
5.700% due 10/01/2022 1,000 1,020
Colorado Housing & Finance Authority Revenue Bonds,
Series 2000-D3 6.750% due 04/01/2015 250 272
Colorado Housing & Finance Authority,
Series 2000-B3 6.700% due 10/01/2016 250 272
Colorado Springs, Colorado Hospital Revenue Bond,
Series 2000 6.375% due 12/15/2030 1,000 994
Denver, Colorado Health & Hospital Revenue Bonds,
Series 1998 A 5.000% due 12/01/2009 1,390 1,258
-----------
3,816
===========
Florida 1.1%
Gainesville, Florida Revenue Bonds, Series 1979
6.200% due 10/01/2002 300 304
Orange County, Florida Health Facilities Authority
Revenue Bonds, (MBIA Insured), Series 1996
6.250% due 10/01/2011 290 319
-----------
623
===========
Georgia 0.4%
Georgia Municipal Electric Authority Revenue Bonds,
(MBIA-IBC Insured), Series 1997
6.500% due 01/01/2012 200 224
-----------
Hawaii 1.8%
Honolulu Hawaii City & County General Obligation,
(MBIA-IBC), Series 1993
5.450% due 09/11/2008 1,000 1,039
-----------
Indiana 2.0%
Indiana Local Public Improvement Bonds Bank,
Transportation Revenue Bonds, Series 1992
6.750% due 02/01/2014 1,000 1,125
-----------
Kansas 1.8%
Wichita Kansas Hospital Revenue Bonds, Series 1999
6.250% due 11/15/2024 1,000 1,000
-----------
Louisiana 0.5%
Louisiana Local Government Revenue Bonds,
(MBIA Insured), Series 2000
5.700% due 01/01/2010 250 259
-----------
Massachusetts 6.6%
Massachusetts Housing Finance Agency Revenue Bonds,
(AMBAC Insured), Series 1993
5.950% due 10/01/2008 1,500 1,559
Massachusetts State Development Finance Agency
Revenue Bonds, (ACA Insured), Series 1999
4.600% due 03/01/2009 400 378
Massachusetts State Development Finance Agency
Revenue Bonds, Series 1998
4.700% due 11/01/2007 210 202
4.800% due 11/01/2008 90 87
Massachusetts State General Obligation, Series 2000
6.000% due 02/01/2013 1,000 1,076
Massachusetts State Health Facilities Authority
Revenue Bonds, Series 1993
5.500% due 10/01/2002 400 389
-----------
3,691
===========
68 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Michigan 2.5%
Farmington Hills Michigan Hospital, Revenue Bond,
(MBIA Insured), Series 1991 B
5.700% due 02/15/2016 (b) $ 200 $ 200
Michigan State Environmental Protection General
Obligation Bonds, Series 1992
6.250% due 11/01/2012 1,100 1,216
-----------
1,416
===========
Minnesota 1.9%
Minneapolis & St. Paul Housing & Redevelopment Authority
Health Care Revenue Bonds, (FSA Insured), Series 1995
5.700% due 08/15/2025 100 100
New Richland, Minnesota Revenue Bonds, Series 1998
4.500% due 08/01/2004 1,000 993
-----------
1,093
===========
New Jersey 9.9%
New Jersey Economic Development Authority
Revenue Bond, Series 1998 A
0.010% due 04/01/2013 1,595 686
New Jersey Economic Development Authority
Revenue Bond, Series 1998
5.600% due 01/01/2012 1,000 885
6.375% due 04/01/2031 2,000 1,964
New Jersey Economic Development Authority Revenue
Bonds, Series 1999 6.625% due 09/15/2012 2,000 2,042
-----------
5,577
===========
New Mexico 2.4%
Los Alamos County, Utility Revenue Bonds,
Series 1994 A 6.000% due 07/01/2008 1,000 1,056
Santa Fe County, El Castillo Retirement Nursing Home
Bonds, Series 1998 A 5.250% due 05/15/2007 315 291
-----------
1,347
===========
New York 9.5%
Nassau County, New York Tobacco Settlement Corp.
Revenue Bonds, Series 1999
5.250% due 07/15/2011 1,000 1,003
New York City General Obligation Bonds, Series 1996 A
7.000% due 08/01/2007 1,000 1,117
New York State Dorm Authority Revenue Bonds,
(ACA Insured), Series 2000
5.850% due 07/01/2010 1,000 1,027
New York State Dorm Authority Revenue Bonds,
(MBIA Insured), Series 1996
5.600% due 07/01/2016 1,250 1,264
New York State Environmental Facilities Special
Obligation Revenue Bonds, Series 1996
5.125% due 04/01/2022 1,000 936
-----------
5,347
===========
North Carolina 1.9%
North Carolina Municipal Power Agency,
Catawaba Electric Revenue Bonds,
(AMBAC Insured), Series 1992
6.000% due 01/01/2008 1,000 1,068
-----------
North Dakota 3.7%
Mercer County Pollution Control Revenue Bonds,
Series 1991 6.900% due 02/01/2019 2,000 2,054
-----------
Pennsylvania 2.0%
Allegheny County Hospital Development Authority Revenue Bonds,
(MBIA Insured), Series 2000 A
6.500% due 11/15/2030 1,000 1,053
Delaware County, Pennsylvania Hospital Revenue
Bonds, Series 1998
4.900% due 12/01/2008 100 90
-----------
1,143
===========
South Carolina 1.7%
Medical University South Carolina Hospital Facilities
Revenue Bonds, Series 1999
5.700% due 07/01/2012 1,000 982
-----------
Tennessee 3.1%
Nashville & Davidson County, Tennessee
Revenue Bonds, Series 1998
4.450% due 08/01/2007 1,000 960
Sullivan County, Tennessee Industrial Development
Revenue Bonds, (GNMA Insured), Series 1995
6.250% due 07/20/2015 750 787
-----------
1,747
===========
Texas 6.9%
Bexar, Texas Metro Water District Waterworks System
Revenue Bonds, (MBIA Insured), Series 1998
0.000% due 05/01/2035 2,190 281
Brazos River Authority Texas Revenue Bonds,
(MBIA Insured), Series 1998
4.900% due 10/01/2015 1,500 1,402
Dallas-Fort Worth International Airport Facility
Improvement Corp. Revenue Bonds, Series 2000
5.950% due 05/01/2029 1,000 1,003
Houston Independent School District General
Obligation, (PSF Insured), Series 1999
4.750% due 02/15/2026 1,000 844
Midlothian Texas Independent School District
General Obligation, (PSF-GTD Insured), Series 1999
0.010% due 02/15/2018 1,000 346
-----------
3,876
===========
Utah 6.6%
Intermountain Power Agency Utah Power Supply
Revenue Bonds, (MBIA Insured), Series 1996
6.500%due 07/01/2009 1,925 2,143
Intermountain Power Agency Utah Power Supply
Revenue Bonds, Series 1996 D
5.000% 0due 07/01/2021 1,710 1,547
----------
3,690
==========
West Virginia 2.1%
West Virginia State Parkways Economic Development &
Tourism Authority Revenue Bonds, (FGIC Insured), Series 1993
5.831% due 05/16/2019 1,200 1,208
-----------
Total Municipal Bonds & Notes 54,501
(Cost $53,931) ===========
-------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 0.2%
-------------------------------------------------------------------------------
Treasury Inflation Protected Securities (c)
3.625% due 07/15/2002 108 108
-----------
Total U.S. Treasury Obligations 108
(Cost $108) ===========
See accompanying notes 69
<PAGE>
Schedule of Investments (Cont.)
Municipal Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 0.0%
Commercial Paper 0.0%
SSgA Tax Free Money Market
4.570% due 10/02/2000 $ 17 $ 17
-----------
Total Short-Term Instruments 17
(Cost $17) ===========
Total Investments (a) 97.1% $ 54,626
(Cost $54,056)
Other Assets and Liabilities (Net) 2.9% 1,622
-----------
Net Assets 100.0% $ 56,248
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 1,170
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (600)
-----------
Unrealized appreciation-net $ 570
===========
(b) Variable rate security. The rate listed is as of September 30, 2000.
(c) Principal amount of the security is adjusted for inflation.
70 See accompanying notes
<PAGE>
Schedule of Investments
New York Municipal Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 96.8%
--------------------------------------------------------------------------------
New York 96.8%
Amherst, New York General Obligation, (FGIC Insured),
Series A 5.500% due 12/01/2008 $ 150 $ 158
Edmeston, New York Central School District
General Obligation, (MBIA Insured), Series 1999
5.100% due 06/15/2007 150 153
Erie County New York General Obligation,
(AMBAC Insured), Series 2000
5.750% due 07/01/2010 250 267
Long Island Power Authority Revenue Bonds,
Series 1998 5.500% due 05/01/2033 100 100
Nassau County, New York Tobacco Settlement
Corp. Revenue Bonds, Series 1999
5.250% due 07/15/2011 150 151
New York City General Obligation, Series 1997
5.300% due 06/01/2012 150 152
New York City Municipal Water Finance Authority
Revenue Bonds, (FGIC Insured), Series 1994
5.500% due 06/15/2024 100 100
New York General Obligation Bond,
(Bayerische Landesbank Insured), Series 1995-F5
5.500% due 02/15/2016 (b) 100 100
New York General Obligation Bond,
(FGIC Insured), Series 1992-B
5.500% due 10/01/2020 100 100
New York General Obligation, Series 1997-D
5.250% due 08/01/2021 100 94
New York State Dormitory Authority
Revenue Bonds, (AMBAC Insured), Series 1998
5.000% due 07/01/2002 150 151
New York State Dormitory Authority
Revenue Bonds, (FSA Insured), Series 1998
4.750% due 07/01/2008 150 150
New York State Dormitory Authority
Revenue Bonds, (MBIA Insured), Series 1999
4.750% due 07/01/2006 150 150
New York State Energy Research & Development
Revenue Bonds, Series 1985
5.500% due 12/01/2025 200 200
New York State Local Government Assistance Corp.
Revenue Bonds, (MBIA Insured), Series 1997-B
5.125% due 04/01/2013 150 149
New York State Power Authority Revenue &
General Purpose, Series 1972-E
5.500% due 01/01/2010 135 139
New York State Thruway Authority Service Contract
Revenue Bonds, (MBIA Insured), Series 1999
4.900% due 04/01/2008 150 151
New York State Urban Development Corp.
Revenue Bonds, Series 1999
5.000% due 01/01/2005 150 151
New York, New York General Obligation,
Series 1997 5.750% due 08/01/2009 250 267
Ontario County Industrial Development Agency
Revenue Bonds, Series 1985
5.650% due 08/01/2015 100 100
Rockland County New York Solid Waste Management
Authority Revenue Bonds, Series 1999 A
4.800% due 12/15/2005 145 147
-----------
Total Municipal Bonds & Notes 3,130
(Cost $3,088) ===========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.4%
--------------------------------------------------------------------------------
Commercial Paper 1.4%
R & T New York Money Market
4.550% due 10/02/2000 45 45
-----------
Total Short-Term Instruments 45
(Cost $45) ===========
Total Investments (a) 98.2% $ 3,175
(Cost $3,133)
Other Assets and Liabilities (Net) 1.8% 57
-----------
Net Assets 100.0% $ 3,232
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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
overtax cost $ 44
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value (2)
-----------
Unrealized appreciation-net $ 42
===========
(b) Variable rate security. The rate listed is as of September 30, 2000.
See accompanying notes 71
<PAGE>
Schedule of Investments
Real Return Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 50.4%
Banking & Finance 29.8%
Allied Irish Banks
7.030% due 09/07/2006 (d) $ 1,200 $ 1,205
Allstate Financial Global Funding
7.130% due 09/26/2005 2,500 2,501
Associates Corp. of North America
6.780% due 08/27/2001 (d) 1,500 1,504
6.960% due 05/08/2003 (d) 1,500 1,499
AT&T Capital Corp.
7.110% due 09/13/2001 (d) 500 501
7.010% due 04/23/2002 (d) 1,000 1,003
Bank One Corp.
6.900% due 09/26/2003 (d) 5,000 4,997
Bear Stearns Co., Inc.
7.090% due 08/01/2002 (d) 500 501
7.130% due 03/28/2003 (d) 6,000 6,000
7.050% due 09/21/2004 (d) 1,000 999
Chase Manhattan Corp.
6.960% due 12/10/2001 (d) 500 504
CIT Group, Inc.
6.750% due 05/14/2001 1,000 1,000
Citigroup, Inc.
6.710% due 09/17/2001 (d) 335 336
Dime Bancorp, Inc.
7.000% due 07/25/2001 4,225 4,206
Donaldson, Lufkin & Jenrette, Inc.
6.760% due 04/25/2003 (d) 7,500 7,497
DQE Capital Corp.
7.230% due 01/15/2002 (d) 1,000 1,000
Export-Import Bank Korea
6.500% due 11/15/2006 2,500 2,435
Finova Capital Corp.
7.340% due 11/08/2002 (d) 2,800 2,277
First Union Corp.
7.550% due 08/18/2005 10,000 10,129
Florida Windstorm
6.700% due 08/25/2004 500 494
Ford Motor Credit Corp.
6.990% due 07/16/2002 (d) 1,000 1,002
6.810% due 02/13/2003 (d) 350 350
6.950% due 06/20/2003 (d) 15,500 15,511
General Motors Acceptance Corp.
6.910% due 12/15/2000 (d) 1,500 1,500
6.920% due 07/20/2002 6,475 6,475
6.860% due 12/09/2002 (d) 2,000 2,002
Gold Eagle Capital Ltd.
9.000% due 04/15/2001 1,000 999
12.130% due 04/15/2001 2,440 2,440
Heller Financial, Inc.
7.060% due 02/05/2001 400 400
6.890% due 04/26/2002 (d) 250 250
6.500% due 07/22/2002 1,000 989
7.500% due 08/23/2002 5,700 5,739
6.970% due 04/28/2003 (d) 3,000 2,987
Household Finance Corp.
7.090% due 08/06/2002 (d) 2,000 2,006
J.P. Morgan & Co.
8.080% due 02/15/2012 3,470 3,002
Juno Reinsurance
10.370% due 06/26/2002 (d) 750 728
Korea Development Bank
5.890% due 03/01/2002 (d) 500 471
8.290% due 06/16/2003 (d) 500 490
Lehman Brothers Holdings, Inc.
9.880% due 10/15/2000 250 250
6.130% due 02/01/2001 2,600 2,592
7.680% due 04/02/2002 (d) 500 504
6.970% due 06/03/2002 (d) 2,500 2,498
7.530% due 07/15/2002 (d) 600 605
6.970% due 09/03/2002 (d) 2,000 1,999
MBNA America Bank NA
6.970% due 04/25/2002 (d) 500 499
Merrill Lynch & Co.
6.790% due 11/01/2001 (d) 3,000 3,003
7.090% due 02/08/2002 (d) 400 401
6.920% due 02/04/2003 (d) 2,000 1,999
6.990% due 08/01/2003 (d) 4,000 4,002
Monumental Global Funding II
6.910% due 09/26/2003 (d) 2,000 2,000
Morgan Stanley, Dean Witter, Discover and Co.
6.840% due 12/17/2001 (d) 300 300
6.880% due 04/15/2002 (d) 1,000 1,001
6.890% due 02/21/2003 (d) 1,500 1,503
6.850% due 03/11/2003 (d) 2,000 1,997
National Westminster Bank
7.160% due 09/16/2002 (d) 3,500 3,514
NeHi, Inc.
11.310% due 06/09/2003 (d) 4,000 4,020
Old Kent Bank
7.460% due 11/01/2005 (d) 1,000 999
Pemex Finance Ltd.
6.130% due 11/15/2003 433 426
Protective Life Funding Trust
7.090% due 01/17/2003 (d) 1,000 999
Prudential Funding Corp.
6.960% due 10/18/2001 (d) 3,000 3,005
6.380% due 07/23/2006 2,000 1,901
PS Colorado Credit Corp.
7.480% due 05/30/2002 (d) 1,300 1,299
Qwest Capital Funding, Inc.
7.200% due 07/08/2002 (d) 1,000 1,001
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (d) 2,797 2,764
6.960% due 04/28/2003 (d) 3,000 3,001
Seismic Ltd.
11.270% due 01/01/2002 (d) 2,500 2,500
Textron Financial Corp.
6.960% due 10/26/2001 (d) 2,500 2,505
7.030% due 09/17/2002 (d) 5,000 5,006
7.150% due 12/09/2002 (d) 4,000 4,001
Toyota Motor Credit Corp.
7.320% due 02/15/2002 (d) 400 393
-----------
160,416
===========
Industrials 11.0%
AIC Corp.
6.150% due 10/02/2002 (d) 250 249
Alpha Wind
11.320% due 05/23/2001 (d) 1,500 1,500
Arrow Electronics, Inc.
7.440% due 11/24/2000 (d) 1,500 1,500
Atlas Air, Inc.
10.470% due 10/04/2004 (d) 4,400 4,400
Columbia/HCA Healthcare
8.160% due 09/19/2002 (d) 8,000 8,000
Cox Enterprises, Inc.
7.610% due 05/01/2033 (d) 2,000 1,999
DaimlerChrysler Holdings
7.000% due 08/16/2004 (d) 5,000 5,008
Delta Air Lines, Inc.
8.540% due 01/02/2007 3,932 4,042
Enron Corp.
7.110% due 09/10/2001 (d) 2,500 2,500
8.000% due 08/15/2005 3,000 3,046
Global Crossing Ltd.
6.000% due 10/15/2013 1,250 1,155
Packaging Corp. of America
8.630% due 06/20/2007 37 37
Petroleos Mexicanos
9.500% due 09/15/2027 4,750 4,904
Philip Morris Cos., Inc.
9.000% due 01/01/2001 1,000 1,002
7.250% due 09/15/2001 1,000 995
Raytheon Co.
5.950% due 03/15/2001 4,000 3,971
7.020% due 08/10/2001 (d) 1,600 1,601
Staples, Inc.
7.670% due 11/26/2001 (d) 2,000 2,000
72 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Tyco International Group SA
7.370% due 03/05/2001 (d) $ 2,000 $ 2,002
United Air Lines, Inc.
6.890% due 12/02/2002 (d) 1,189 1,182
Vodafone AirTouch PLC
6.860% due 12/19/2001 (d) 6,500 6,509
Waste Management, Inc.
7.100% due 08/01/2026 1,500 1,450
-----------
59,052
===========
Utilities 9.6%
Coastal Corp.
7.330% due 07/21/2003 (d) 5,000 5,012
Commonwealth Edison Co.
7.160% due 09/30/2002 (d) 1,000 1,000
Deutsche Telekom AG
7.750% due 06/15/2005 10,000 10,247
Dominion Resources, Inc.
7.600% due 07/15/2003 5,000 5,054
Entergy Gulf States, Inc.
8.040% due 06/02/2003 (d) 2,500 2,502
Hawaiian Electric Industries, Inc.
7.780% due 04/15/2003 (d) 2,000 2,002
Hughes Electric
7.560% due 10/23/2000 3,500 3,501
Nabors Industries, Inc.
0.000% due 06/20/2020 5,000 3,488
National Rural Utilities Cooperative
6.880% due 05/31/2002 (d) 1,900 1,899
Oneok, Inc.
7.390% due 04/24/2002 (d) 2,000 2,002
Public Service Enterprise Group, Inc.
7.040% due 06/15/2001 500 500
Scana Corp.
7.210% due 02/08/2002 (d) 1,900 1,901
7.380% due 07/15/2002 (d) 3,900 3,905
Sierra Pacific Resources
7.390% due 04/20/2002 (d) 1,000 1,000
7.340% due 04/20/2003 (d) 2,000 2,001
Sprint Capital Corp.
6.970% due 11/15/2001 (d) 1,000 1,000
7.010% due 06/10/2002 (d) 3,000 3,001
Texas Utilities Co.
7.210% due 06/25/2001 (d) 1,300 1,299
7.590% due 09/24/2001 (d) 500 503
-----------
51,817
-----------
Total Corporate Bonds & Notes 271,285
(Cost $270,393) ===========
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 1.0%
--------------------------------------------------------------------------------
Florida 0.7%
Tampa Florida Utility Tax & Special Revenue Bond,
(AMBAC Insured), Series 2000
6.000% due 10/01/2004 3,580 3,701
-----------
New Mexico 0.1%
New Mexico Mortgage Finance Authorities Revenue Bonds,
(GNMA, FNMA, FHLMC Insured), Series 1997
7.000% due 07/01/2006 350 351
-----------
New York 0.0%
New York City Municipal Bond, Series 1997
6.960% due 08/01/2002 (d) 76 76
-----------
Ohio 0.2%
Hamilton Ohio School Districts Gas Supply Revenue Bonds,
Northern Ohio, (MBIA Insured), Series 1999
6.910% due 08/01/2001 1,500 1,504
-----------
Total Municipal Bonds & Notes 5,632
(Cost $5,645) ===========
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 1.3%
--------------------------------------------------------------------------------
Federal Farm Credit Bank
6.360% due 02/14/2002 (d) 600 591
Federal Home Loan Bank
7.270% due 02/15/2002 (d) 2,485 2,454
Federal National Mortgage Association
7.860% due 03/13/2002 (d) 2,000 1,972
Student Loan Marketing Assn
6.480% due 07/25/2004 (d) 70 70
6.830% due 10/25/2004 (d) 80 80
6.920% due 04/25/2006 (d) 1,505 1,499
6.700% due 01/25/2007 (d) 292 292
-----------
Total U.S. Government Agencies 6,958
(Cost $6,943) ===========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 129.6%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (c)
3.630% due 07/15/2002 (b)(h) 187,839 187,781
3.380% due 01/15/2007 (h) 145,100 140,340
3.630% due 01/15/2008 (h) 211,738 206,909
3.880% due 01/15/2009 (h) 43,253 42,902
4.250% due 01/15/2010 1,026 1,048
3.630% due 04/15/2028 (h) 54,101 51,431
3.880% due 04/15/2029 66,981 66,563
-----------
Total U.S. Treasury Obligations 696,974
(Cost $694,182) ===========
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 0.9%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 0.6%
Federal Home Loan Mortgage Corp.
7.000% due 07/15/2022 2,941 2,937
6.500% due 01/25/2028 100 91
Federal National Mortgage Association
7.060% due 10/25/2008 (d) 261 261
6.500% due 02/25/2029 121 86
-----------
3,375
===========
Federal Home Loan Mortgage Corporation 0.1%
7.430% due 12/01/2020-02/01/2023 (d)(i) 425 426
-----------
Federal National Mortgage Association 0.1%
8.520% due 10/01/2024 (d) 412 423
-----------
Other Mortgage-Backed Securities 0.1%
CMC Securities Corp.
6.000% due 11/25/2008 532 529
-----------
Total Mortgage-Backed Securities 4,753
(Cost $4,773) ===========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 8.7%
--------------------------------------------------------------------------------
Aesop Funding LLC
6.570% due 11/20/2006 14,000 14,000
AFC Home Equity Loan Trust
6.840% due 03/25/2027 (d) 201 201
American Residential Eagle Trust
6.960% due 07/25/2029 (d) 6,173 6,175
Asset Backed Securities Corp. Home Equity
6.990% due 06/21/2029 (d) 5,979 5,998
Conseco Finance
7.890% due 07/15/2018 2,000 2,035
8.170% due 12/15/2025 2,000 2,062
6.290% due 10/15/2030 809 809
Conseco Finance Home Loan Trust
8.880% due 06/15/2024 750 763
Contimortgage Home Equity Loan Trust
6.020% due 01/25/2014 101 100
EQCC Home Equity Loan Trust
6.870% due 03/20/2029 219 219
Huntsman Corp.
9.750% due 12/31/2005 1,000 992
IMC Home Equity Loan Trust
6.610% due 06/20/2013 124 124
See accompanying notes 73
<PAGE>
Schedule of Investments (Cont.)
Real Return Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MMCA Automobile Trust
6.300% due 06/15/2002 $ 1,840 $ 1,840
Oakwood Mortgage Investors, Inc.
6.450% due 11/15/2027 359 358
Onyx Acceptance Auto Trust
6.590% due 09/15/2002 1,166 1,167
6.350% due 10/15/2003 395 394
Pacific Southwest Bank
6.060% due 06/15/2002 6 6
Premier Auto Trust
5.500% due 07/09/2001 26 26
Residential Funding Mortgage Securities, Inc.
10.930% due 06/01/2001 4,000 4,000
5.460% due 07/25/2029 43 43
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 268 267
Voicestream Vendor Facility
9.660% due 06/30/2009 5,000 4,963
WMC Mortgage Loan
6.830% due 03/20/2028 (d) 83 83
-----------
Total Asset-Backed Securities 46,625
(Cost $46,510) ===========
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 0.3%
--------------------------------------------------------------------------------
Central Bank Philippines
7.940% due 06/01/2008 (d) 1,778 1,591
United Mexican States Recovery Rights
0.000% due 06/30/2003 3,025 0
-----------
Total Sovereign Issues 1,591
(Cost $1,616) ===========
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(f) 1.6%
--------------------------------------------------------------------------------
Caisse D'amort Dette Soc
3.800% due 07/25/2006 EC 5,070 4,490
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 5,800 2,475
Kingdom of Sweden
0.000% due 04/01/2004 SK 7,427 718
Newcourt Credit Group
7.630% due 06/28/2001 C$ 500 335
United Mexican States
1.100% due 12/31/2019 (d) JY 70,000 635
-----------
Total Foreign Currency-Denominated Issues 8,653
(Cost $9,324) ===========
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
--------------------------------------------------------------------------------
U.S. Treasury Inflation Protected Securities (OTC)
Strike @ 96.50 Exp. 01/29/2001$ $ 100,000 0
-----------
Total Purchased Put Options 0
(Cost $33) ===========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 14.0%
--------------------------------------------------------------------------------
Commercial Paper 11.0%
Alcoa, Inc.
6.450% due 12/21/2000 2,100 2,069
Cba (de) Finance
6.460% due 12/14/2000 500 493
Cox Communications
6.730% due 11/06/2000 2,000 1,987
CSX Corp.
6.710% due 12/14/2000 1,200 1,198
DaimlerChrysler AG
6.460% due 12/19/2000 200 197
Dominion Resources, Inc.
6.710% due 11/06/2000 4,000 3,974
6.710% due 11/16/2000 4,000 3,966
Edison Midwest
6.740% due 11/08/2000 8,300 8,243
Federal Home Loan Mortgage Corp.
6.440% due 10/12/2000 7,000 6,987
Gannett Co.
6.490% due 11/20/2000 1,000 991
Ingersoll-Rand Co.
6.700% due 11/08/2000 13,000 12,910
International Paper Co.
6.700% due 11/01/2000 8,800 8,751
Motorola, Inc.
6.480% due 12/26/2000 7,000 6,889
Texas Utilities Co.
6.700% due 10/18/2000 500 499
-----------
59,154
===========
Repurchase Agreements 3.0%
State Street Bank
5.850% due 10/02/2000 16,142 16,142
(Dated 9/29/2000. Collateralized by
Federal National Mortgage Association
7.050% due 02/28/2002 valued at $16,467
Repurchase proceeds are $16,150.)
-----------
Total Short-Term Instruments 75,296
(Cost $75,301) ===========
Total Investments (a) 207.8% $1,117,767
(Cost $1,114,720)
Other Assets and Liabilities (Net) (107.8%) (579,822)
-----------
Net Assets 100.0% $ 537,945
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 4,706
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (1,659)
-----------
Unrealized appreciation-net $ 3,047
===========
(b) Securities with an aggregate market value of $862
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 2000:
# of Unrealized
Type Contracts Appreciation
--------------------------------------------------------------------------------
U.S. Treasury 10 Year Note (12/2000) 200 $ 101
EuroBond 10 Year Note Written Put Options (11/2000) 121 44
-----------
$ 145
===========
(c) Principal amount of the security is adjusted for inflation.
(d) Variable rate security. The rate listed is as of September 30, 2000.
74 See accompanying notes
<PAGE>
(e) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell C$ 560 10/2000 $ 5
Sell EC 5,284 11/2000 (9)
Buy JY 82,319 10/2000 (14)
Sell 243,632 10/2000 3
Buy 82,319 11/2000 0
Sell N$ 5,688 10/2000 131
Sell 539 11/2000 3
Sell SK 6,170 10/2000 12
------------
$ 131
============
(f) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
EC - Euro
JY - Japanese Yen
N$ - New Zealand Dollar
SK - Swedish Krona
(g) Swap agreements outstanding at September 30, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive floating rate based on 3-month LIBOR plus 0.470%
and pay a fixed rate equal to 7.750%.
Broker: Morgan Stanley
Exp. 06/15/2005 $ 10,000 $ (215)
Receive floating rate based on 3-month LIBOR plus 0.500%
and pay a fixed rate equal to 7.600%.
Broker: Lehman Brothers
Exp. 07/15/2003 5,000 (50)
Receive floating rate based on 3-month LIBOR plus 1.000%
and pay to the counterparty the notional amount of $5,000
in exchange for shares of Nabors Industries, Inc. due 06/20/2020
when the convertible debentures mature.
Broker: Morgan Stanley
Exp. 06/20/2003 3,042 (1)
Receive floating rate based on 3-month LIBOR and
pay a fixed rate equal to 7.005%.
Broker: Goldman Sachs
Exp. 08/17/2005 10,000 (109)
Receive fixed rate equal to 0.410% and the Fund will pay to the
counterparty at par in the event of default of Time Warner, Inc.
7.750% due 06/15/2005.
Broker: Goldman Sachs
Exp. 11/10/2002 1,000 0
-----------
$ (375)
===========
(h) Subject to financing transaction.
(i) Securities are grouped by coupon or range of coupons and
represent a range of maturities.
See accompanying notes 75
<PAGE>
Schedule of Investments
Short-Term Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 64.3%
--------------------------------------------------------------------------------
Banking & Finance 43.0%
Allied Irish Banks
7.028% due 09/07/2006 (d) $ 3,000 $ 3,013
Amerco, Inc.
6.890% due 10/15/2000 5,000 4,950
Banco Nacional Obra Services
9.625% due 11/15/2003 6,900 7,150
Bank One Corp.
6.410% due 01/24/2002 (d) 2,000 2,003
BankBoston Corp.
6.125% due 03/15/2002 1,000 989
Bankers Trust Corp.
6.200% due 05/11/2003 (d) 11,000 10,998
Bear Stearns Companies, Inc.
7.048% due 09/21/2004 (d) 3,900 3,896
Citigroup, Inc.
6.565% due 08/19/2003 (d) 11,040 10,814
Dime Bancorp, Inc.
6.375% due 01/30/2001 17,600 17,524
7.000% due 07/25/2001 2,400 2,389
Donaldson, Lufkin & Jenrette, Inc.
7.250% due 07/18/2003 (d) 8,000 8,021
DQE Capital Corp.
6.781% due 01/15/2002 (d) 2,000 1,999
Export-Import Bank Korea
6.500% due 02/10/2002 1,000 985
First USA Bank
6.790% due 05/15/2002 (d) 6,000 6,016
Ford Motor Credit Corp.
6.210% due 08/27/2001 (d) 6,840 6,841
6.927% due 03/19/2002 (d) 4,295 4,313
6.952% due 12/16/2002 (d) 10,000 9,975
7.110% due 06/02/2003 (d) 2,500 2,503
7.173% due 07/18/2005 (d) 10,000 10,017
General Motors Acceptance Corp.
6.840% due 01/08/2002 (d) 1,000 1,000
6.190% due 08/18/2003 (d) 16,575 16,535
Golden State Holdings
6.750% due 08/01/2001 7,000 6,893
Goldman Sachs Group
6.511% due 01/17/2003 (d) 8,000 8,011
Heller Financial, Inc.
6.980% due 04/22/2002 (d) 12,900 12,899
6.500% due 07/22/2002 1,000 989
Korea Development Bank
7.675% due 10/06/2000 (d) 2,000 2,000
7.181% due 10/18/2000 (d) 500 500
9.600% due 12/01/2000 800 803
9.450% due 03/15/2001 375 379
7.900% due 02/01/2002 900 902
7.625% due 10/01/2002 2,500 2,502
Lehman Brothers Holdings, Inc.
7.352% due 05/07/2002 (d) 3,000 3,019
6.690% due 04/04/2003 (d) 3,000 3,001
MBNA Corp.
6.741% due 03/23/2001 (d) 9,500 9,508
Merrill Lynch & Co.
6.991% due 08/01/2003 (d) 4,000 4,002
MFN Financial Corp.
7.130% due 09/13/2001 (d) 5,000 5,002
Midamerican Funding LLC
5.850% due 03/01/2001 1,000 995
Morgan Stanley, Dean Witter, Discover and Co.
6.500% due 01/28/2002 (d) 8,600 8,615
National Consumer Coop Bank
7.528% due 04/02/2001 (d) 16,000 16,013
7.513% due 10/26/2001 (d) 10,000 10,003
PaineWebber
7.290% due 07/15/2002 (d) 10,000 10,006
PP&L Capital Funding, Inc.
5.860% due 10/17/2000 24,000 23,992
Protective Life Funding Trust
7.090% due 01/17/2003 (d) 2,000 1,997
PS Colorado Credit Corp.
7.477% due 05/30/2002 (d) 2,000 1,999
Qwest Capital Funding, Inc.
6.875% due 08/15/2001 15,430 15,418
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (d) 3,265 3,226
7.010% due 07/18/2007 (d) 5,000 5,009
Transamerica Finance Corp.
6.910% due 12/14/2001 (d) 4,000 4,004
U.S. Bancorp
6.941% due 02/03/2003 (d) 3,700 3,702
-----------
297,320
===========
Industrials 14.9%
Air Canada
6.237% due 07/31/2005 1,818 1,672
Clear Channel Communications, Inc.
7.327% due 06/15/2002 (d) 900 902
COFIRI International, Inc.
6.502% due 10/27/2000 (d) 2,000 1,997
Columbia/HCA Healthcare
8.160% due 09/19/2002 (d) 10,000 10,000
Enron Corp.
7.250% due 09/10/2001 (d) 3,000 3,000
ICI Wilmington
9.500% due 11/15/2000 5,620 5,628
ITT Corp.
6.250% due 11/15/2000 3,000 2,995
J Seagram & Sons
5.790% due 04/15/2001 9,000 8,914
6.250% due 12/15/2001 10,300 10,189
Kroger Co.
6.340% due 06/01/2001 8,250 8,220
Lockheed Martin Corp.
6.850% due 05/15/2001 10,000 9,964
Petroleos Mexicanos
9.375% due 12/02/2008 1,000 1,030
Racers
7.118% due 03/03/2003 (d) 10,000 10,000
Raytheon Co.
7.020% due 08/10/2001 (d) 10,000 10,008
Staples, Inc.
7.670% due 11/26/2001 (d) 1,400 1,400
Time Warner, Inc.
6.100% due 12/30/2001 3,000 2,959
Tyco International Group SA
6.125% due 06/15/2001 6,074 6,020
Williams Communications Group, Inc.
7.220% due 11/15/2001 (d) 7,500 7,505
-----------
102,403
===========
Utilities 6.4%
Appalachian Power Co.
7.270% due 06/27/2001 (d) 900 900
Central Power & Light Co.
7.268% due 02/22/2002 (d) 2,000 1,999
Coastal Corp.
7.330% due 07/21/2003 (d) 5,000 5,012
Commonwealth Edison Co.
7.285% due 09/30/2003 (d) 2,000 2,000
Deutsche Telekom AG
7.750% due 06/15/2005 5,000 5,123
Dominion Resources, Inc.
7.310% due 09/16/2012 (d) 6,500 6,519
Indiana Michigan Power Co.
7.245% due 09/03/2002 (d) 1,000 1,000
Nevada Power Co.
7.270% due 08/20/2001 (d) 5,000 4,999
Oneok, Inc.
6.960% due 04/24/2002 (d) 5,000 5,006
Sierra Pacific Resources
7.390% due 04/20/2002 (d) 3,000 3,000
7.340% due 04/20/2003 (d) 5,000 5,003
76 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
UGI Utilities, Inc.
6.170% due 03/06/2001 $ 250 $ 249
WorldCom, Inc.
7.050% due 11/26/2001 (d) 3,700 3,704
-----------
44,514
-----------
Total Corporate Bonds & Notes 444,237
(Cost $443,380) ==========
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.3%
--------------------------------------------------------------------------------
North Carolina 0.3%
North Carolina State Education Assistance Authority
Revenue Bonds, (GTD Insured), Series 2000
7.000% due 06/01/2009 (d) 2,000 2,000
-----------
Total Municipal Bonds & Notes 2,000
(Cost $2,000) ===========
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 10.3%
--------------------------------------------------------------------------------
Federal Home Loan Bank
6.750% due 02/01/2002 70,000 70,252
Federal National Mortgage Association
5.750% due 04/15/2003 850 836
-----------
Total U.S. Government Agencies 71,088
(Cost $70,911) ===========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 4.6%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (g)
3.625% due 07/15/2002 (h) 29,529 29,520
3.625% due 01/15/2008 2,137 2,088
-----------
Total U.S. Treasury Obligations 31,608
(Cost $31,494) ===========
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 23.2%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 15.0%
CMC Securities Corp.
7.500% due 02/25/2023 2,089 2,083
Dime Savings
6.937% due 11/01/2018 (d) 209 189
Donaldson, Lufkin & Jenrette, Inc.
7.450% due 10/17/2020 (d) 489 502
7.786% due 09/01/2021 (d) 24 24
7.437% due 05/01/2026 (d) 125 125
Federal Home Loan Mortgage Corp.
6.750% due 03/15/2007 833 831
6.500% due 10/25/2014 3,833 3,767
5.750% due 10/15/2016 12 12
6.000% due 07/15/2019 4,178 4,133
6.875% due 06/15/2023 (d) 474 474
Federal National Mortgage Association
7.256% due 12/25/2000 (d) 339 339
7.250% due 04/25/2007 2,310 2,306
6.000% due 02/25/2008 1,051 1,033
6.206% due 07/25/2008 (d) 1,344 1,326
6.250% due 06/18/2015 1,720 1,709
6.000% due 08/18/2016 30,659 30,351
7.221% due 10/25/2017 (d) 4,992 4,990
5.875% due 03/25/2018 62 62
7.000% due 12/25/2019 11,773 11,736
6.000% due 08/25/2020 1,950 1,919
5.000% due 02/25/2022 59 58
6.500% due 09/18/2023 1,788 1,772
8.936% due 06/25/2032 8,795 9,020
First Nationwide Trust
6.495% due 10/25/2018 (d) 3 3
General Electric Capital Mortgage Services, Inc.
6.750% due 12/25/2012 5,258 5,220
Greenwich
7.647% due 04/25/2022 (d) 62 62
8.149% due 10/25/2022 (d) 31 31
Housing Securities, Inc.
6.000% due 02/25/2008 567 564
Independent National Mortgage Corp.
7.250% due 11/25/2010 4,000 4,011
Prudential Bache
6.252% due 09/01/2018 (d) 22 21
Prudential Home Mortgage Securities
6.950% due 11/25/2022 233 214
Residential Funding Mortgage Securities, Inc.
7.142% due 12/01/2018 1,040 1,061
Resolution Trust Corp.
6.855% due 05/25/2029 (d) 530 525
Saxon Asset Securities Trust
7.585% due 12/25/2014 4,475 4,469
TMA Mortgage Funding Trust
7.000% due 01/25/2029 (d) 8,675 8,675
-----------
103,617
===========
Federal Home Loan Mortgage Corporation 0.1%
7.500% due 11/01/2001 856 855
-----------
Federal National Mortgage Association 2.0%
6.000% due 12/18/2014 5,305 5,268
6.150% due 09/25/2016 4,554 4,506
7.000% due 06/01/2003 2,089 2,087
8.500% due 01/01/2026 1,635 1,681
-----------
13,542
===========
Government National Mortgage Association 5.7%
6.750% due 09/20/2023-08/20/2027 (b)(d) 7,376 7,433
7.125% due 11/20/2026 (d) 12,420 12,508
7.375% due 02/20/2024 (d) 10,308 10,390
7.380% due 04/20/2025 (d) 475 478
8.000% due 10/23/2099 3,950 4,020
8.500% due 06/20/2027 4,704 4,820
-----------
39,649
===========
Other Mortgage-Backed Securities 0.3%
CDC Depositor Trust I
7.098% due 12/14/2001 (d) 2,000 2,006
-----------
2,006
===========
Stripped Mortgage-Backed Securities 0.1%
ABN AMRO Mortgage Corp. (IO)
6.750% due 08/25/2029 1,192 119
Federal Home Loan Mortgage Corp. (IO)
7.000% due 06/15/2019 3,920 251
Federal National Mortgage Association (IO)
7.000% due 07/25/2006 1,135 55
6.500% due 12/25/2006 883 11
6.500% due 06/25/2017 630 10
6.500% due 10/25/2023 1,302 156
-----------
602
-----------
Total Mortgage-Backed Securities 160,271
(Cost $161,479) ===========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 10.2%
--------------------------------------------------------------------------------
Advanta Revolving Home Equity Loan Trust
6.990% due 01/25/2024 (d) 229 230
American Residential Eagle Trust
6.960% due 07/25/2029 (d) 1,646 1,647
Associates Manufactured Housing
7.000% due 03/15/2027 402 402
Bay View Financial Revolving
7.920% due 08/25/2029 (d) 2,000 1,967
Brazos Student Loan Finance Co.
7.290% due 06/01/2023 (d) 20,000 19,802
Capital Asset Research Funding LP
6.400% due12/15/2004 1,725 1,743
Chase Manhattan Grantor Trust
5.200% due 02/15/2002 98 98
Columbia/HCA Healthcare
8.437% due 09/13/2001 1,250 1,241
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 435 433
Delta Funding Home Equity Loan Trust
7.036% due 09/15/2029 (d) 1,759 1,766
First Security Auto Owner Trust
5.580% due 06/15/2003 7,896 7,865
See accompanying notes 77
<PAGE>
Schedule of Investments (Cont.)
Short-Term Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Flag Ltd.
8.437% due 02/18/2006 $ 2,083 $ 2,078
Green Tree Home Improvement Loan Trust
6.796% due 08/15/2029 (d) 2,162 2,160
Metris Master Trust
7.270% due 04/20/2006 (d) 6,000 6,030
MLCC Mortgage Investors, Inc.
6.998% due 03/15/2025 (d) 3,153 3,165
Onyx Acceptance Auto Trust
6.180% due 04/15/2002 503 502
Salomon Brothers Mortgage Securities
6.971% due 07/25/2029 (d) 3,409 3,413
7.071% due 11/15/2029 (d) 1,656 1,660
7.102% due 12/15/2029 (d) 2,000 2,000
6.960% due 12/25/2029 (d) 4,578 4,590
The Money Store Home Equity Trust
6.635% due 09/15/2014 5,097 5,082
6.345% due 11/15/2021 (d) 90 89
UAF Auto Grantor Trust
6.100% due 06/15/2004 918 912
UniCapital Corp.
6.540% due 07/23/2002 1,307 1,305
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 321 319
-----------
Total Asset-Backed Securities 70,499
(Cost $70,524) ===========
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 0.5%
--------------------------------------------------------------------------------
Republic of Brazil
7.375% due 04/15/2006 (d) 3,720 3,510
-----------
Total Sovereign Issues 3,510
(Cost $3,488) ===========
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 2.3%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 5,400 2,304
Tecnost International NV
6.368% due 06/23/2004 (d) EC 15,000 13,388
-----------
Total Foreign Currency-Denominated Issues 15,692
(Cost $17,213) ===========
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.3%
--------------------------------------------------------------------------------
Industrial 0.3%
Hercules Trust VI
9.110% due 12/29/2000 (d) $ 2,430 2,428
-----------
Total Convertible Bonds & Notes 2,428
(Cost $2,429) ===========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 7.9%
--------------------------------------------------------------------------------
Commercial Paper 7.3%
American Electric Power, Inc.
6.700% due 10/18/2000 900 897
Burlington Northern
6.735% due 10/04/2000 24,300 24,291
Conagra, Inc.
6.680% due 10/27/2000 900 896
Dominion Resources, Inc.
6.710% due 11/16/2000 700 694
Houston Industries
6.800% due 11/08/2000 9,400 9,334
Infinity Broadcasting Corp.
6.720% due 11/29/2000 8,200 8,111
Motorola, Inc.
6.470% due 12/27/2000 400 394
Sumitomo Corp. of America
6.740% due 11/01/2000 200 199
Williams Cos., Inc.
7.231% due 04/10/2001 5,600 5,602
-----------
50,418
===========
Repurchase Agreement 0.6%
State Street Bank
5.850% due 10/02/2000 4,086 4,086
(Dated 9/29/2000. Collateralized by
Federal Home Loan Mortgage Corp.
7.050% due 09/19/2003 valued at $4,170
Repurchase proceeds are $4,088.)
-----------
Total Short-Term Instruments 54,504
(Cost $54,504) ===========
Total Investments (a) 123.9% $ 855,837
(Cost $857,422)
Written Options (c) (0.0%) (36)
(Premiums $52)
Other Assets and Liabilities (Net) (23.9%) (164,902)
-----------
Net Assets 100.0% $ 690,899
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost $ 1,739
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value (3,324)
-----------
Unrealized depreciation-net $ (1,585)
===========
(b) Securities are grouped by coupon or range of coupons and represent
a range of maturities.
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.750% Exp. 10/05/2000 50,000,000 $ 52 $ 36
---------------------------------
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell EC 15,432 10/2000 $ 269
Sell BP 3,327 10/2000 (78)
Buy 3,327 10/2000 56
Sell N$ 6,006 10/2000 114
---------------
$ 361
===============
(f) Principal amount denoted in indicated currency:
BP- British Pound
EC- Euro
N$- New Zealand Dollar
(g) Principal amount of the security is adjusted for inflation.
78 See accompanying notes
<PAGE>
--------------------------------------------------------------------------------
(h) Subject to financing transaction.
(i) Swap agreements outstanding at September 30, 2000:
Unrealized
Notional Appreciation/
Type Amount Depreciation
--------------------------------------------------------------------------------
Receive floating rate based on 3-month LIBOR
plus 0.470% and pay a fixed rate equal to 7.750%.
Broker: Morgan Stanley
Exp. 06/15/2005 $ 5,000 $ (107)
Receive fixed rate equal to 0.430% and the Fund
will pay to the counterparty at par in the
event of default of Time Warner, Inc. 7.750%
due 06/15/2005.
Broker: Lehman Brothers
Exp. 07/11/2003 5,000 0
Receive fixed rate equal to 0.230% and the Fund
will pay to the counterparty at par in the
event of default of Associates Corp.
6.000% due 04/15/2003.
Broker: Warburg Dillon Read LLC
Exp. 01/14/2003 4,000 0
Receive fixed rate equal to 0.250% and the Fund
will pay to the counterparty at par in the
event of default of Pacific Gas & Electric Corp.
6.550% due 12/08/2005.
Broker: J.P. Morgan
Exp. 05/23/2003 5,000 0
-------------
$ (107)
=============
(j) Reverse repurchase agreements were entered into on various days
paying various interest rates. The following securities were
segregated with collateral for reverse repurchase agreements:
Type Maturity Value
--------------------------------------------------------------------------------
Entered into on September 18, 2000
paying interest at 6.570%
Federal National Mortgage Assn. 7.000% 12/25/2019 $ 11,736
Entered into on September 25, 2000
paying interest at 6.520%
Government National Mortgage Assn. 7.375% 02/20/2024 10,390
Government National Mortgage Assn. 7.125% 11/20/2026 12,508
Entered into on September 26, 2000
paying interest at 6.580%
Federal National Mortgage Assn. 6.000% 08/18/2016 30,351
------------
$ 64,985
============
See accompanying notes 79
<PAGE>
Schedule of Investments
StocksPLUS Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 46.6%
--------------------------------------------------------------------------------
Banking & Finance 19.2%
Associates Corp. of North America
6.960% due 05/08/2003 (d) $ 11,800 $ 11,791
AT&T Capital Corp.
7.110% due 09/13/2001 (d) 2,100 2,104
7.010% due 04/23/2002 (d) 5,725 5,741
Bear Stearns Co., Inc.
6.130% due 02/01/2003 (d) 1,100 1,078
7.050% due 09/21/2004 (d) 16,800 16,783
Beaver Valley Funding Corp.
8.250% due 06/01/2003 1,193 1,182
Capital One Bank
7.610% due 06/23/2003 (d) 5,400 5,400
CIT Group, Inc.
6.200% due 10/20/2000 3,600 3,599
DaimlerChrysler Financial Services LLC
6.790% due 02/10/2003 (d) 9,600 9,602
Donaldson, Lufkin & Jenrette, Inc.
6.760% due 04/25/2003 (d) 6,900 6,898
Ford Motor Credit Corp.
6.840% due 11/16/2001 (d) 11,000 11,010
6.810% due 03/19/2002 (d) 590 593
6.990% due 07/16/2002 (d) 6,800 6,815
6.820% due 12/16/2002 (d) 3,800 3,790
6.810% due 02/13/2003 (d) 15,000 14,981
6.850% due 03/17/2003 (d) 500 499
General Motors Acceptance Corp.
6.190% due 02/25/2002 (d) 1,000 1,000
Gold Eagle Capital Ltd.
12.130% due 04/15/2001 10,000 10,000
Goldman Sachs Group
7.090% due 03/04/2002 (d) 9,000 9,018
GS Escrow Corp.
7.710% due 08/01/2003 (d) 6,000 5,823
Heller Financial, Inc.
7.070% due 10/22/2001 (d) 10,800 10,823
Household Finance Corp.
6.780% due 06/22/2001 (d) 5,000 5,006
Lehman Brothers Holdings, Inc.
6.970% due 06/03/2002 (d) 600 600
7.530% due 07/15/2002 (d) 3,005 3,030
7.170% due 04/04/2003 (d) 10,200 10,203
6.700% due 11/30/2006 (d) 1,910 1,767
LG&E Capital Corp.
7.490% due 06/18/2001 (d) 6,400 6,402
MBNA America Bank NA
6.960% due 06/10/2004 (d) 10,000 10,007
Merrill Lynch & Co.
6.520% due 10/10/2000 (d) 3,000 3,001
6.730% due 06/18/2001 (d) 10,000 9,999
6.730% due 01/11/2002 (d) 8,550 8,591
6.920% due 02/04/2003 (d) 6,000 5,997
7.180% due 03/17/2004 (d) 100 100
MFN Financial Corp.
6.980% due 09/13/2001 (d) 4,000 4,002
Nacional Financiera
10.560% due 12/01/2000 (d) 10,500 10,448
National Australia Bank Ltd.
7.320% due 05/19/2010 (d) 11,700 11,810
NationsBank Corp.
7.030% due 02/18/2002 (d) 100 98
Old Kent Bank
7.460% due 11/01/2005 4,500 4,496
Qwest Capital Funding, Inc.
7.200% due 07/08/2002 (d) 17,500 17,516
Republic New York Corp.
5.280% due 10/28/2002 (d) 100 99
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 3,352 3,312
6.510% due 04/02/2002 (d) 3,800 3,817
6.910% due 02/11/2003 (d) 5,000 5,004
6.530% due 03/26/2003 (d) 5,000 5,007
Wells Fargo & Co.
7.220% due 05/02/2005 (d) 6,400 6,398
---------------
275,240
===============
Industrials 17.2%
Air Canada
6.800% due 07/31/2005 (d) 10,909 10,033
Amerco, Inc.
6.890% due 10/15/2000 16,800 16,632
Arrow Electronics, Inc.
7.440% due 11/24/2000 (d) 15,000 14,997
Atlas Air, Inc.
10.470% due 10/04/2004 (d) 7,000 7,000
Black & Decker Corp.
7.640% due 12/20/2001 (d) 7,250 7,289
Cemex SA
9.250% due 06/17/2002 300 306
Clear Channel Communications, Inc.
7.210% due 06/15/2002 (d) 5,600 5,613
COFIRI International, Inc.
6.630% due 10/27/2000 (d) 2,000 1,997
Columbia/HCA Healthcare
8.160% due 09/19/2002 (d) 37,800 37,800
CSX Corp.
7.260% due 06/24/2002 (d) 6,900 6,901
El Paso Energy Corp.
6.930% due 07/15/2001 (d) 4,800 4,803
Enron Corp.
7.110% due 09/10/2001 (d) 1,000 1,000
8.000% due 08/15/2005 1,100 1,117
ITT Corp.
6.250% due 11/15/2000 24,065 24,022
Kroger Co.
6.340% due 06/01/2001 2,000 1,993
Marlin Water Trust
7.090% due 12/15/2001 4,049 4,026
Merita
6.470% due 12/01/2005 (d) 1,000 1,005
Occidental Petroleum
7.360% due 10/03/2008 (d) 600 599
Petroleos Mexicanos
8.130% due 07/15/2005 (d) 18,000 18,045
Raytheon Co.
7.020% due 08/10/2001 (d) 8,900 8,907
Rollins Truck Leasing Co.
8.250% due 05/01/2002 29,900 29,982
Stone Container Corp.
10.750% due 10/01/2002 3,435 3,499
TCI Communications, Inc.
7.300% due 04/03/2002 (d) 11,600 11,752
7.360% due 03/11/2003 (d) 4,000 4,079
TRW, Inc.
6.450% due 06/15/2001 400 397
Tyco International Group SA
7.370% due 03/05/2001 (d) 14,500 14,516
Waste Management, Inc.
6.000% due 05/15/2001 1,500 1,470
Williams Communications Group, Inc.
7.180% due 11/15/2001 (d) 6,900 6,904
---------------
246,684
===============
Utilities 10.2%
Appalachian Power Co.
7.270% due 06/27/2001 (d) 12,000 12,003
Central Power & Light Co.
7.290% due 11/23/2001 (d) 3,600 3,600
Dominion Resources, Inc.
7.030% due 01/26/2001 (d) 400 400
Entergy Arkansas, Inc.
7.720% due 03/01/2003 (d) 3,700 3,739
Hughes Electric
7.560% due 10/23/2000 (d) 4,500 4,501
Montana Power Co.
7.000% due 04/06/2001 (d) 1,200 1,200
Nevada Power Co.
7.210% due 06/12/2001 (d) 13,000 13,000
Niagara Mohawk Power
7.130% due 07/01/2001 6,805 6,807
North Atlantic Energy
9.050% due 06/01/2002 599 605
80 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
================================================================================
Public Service Enterprise Group, Inc.
7.040% due 11/22/2000 (d) $ 15,000 $ 14,999
Scana Corp.
7.380% due 07/15/2002 (d) 11,300 11,316
Sprint Capital Corp.
6.970% due 11/15/2001 (d) 25,600 25,611
7.010% due 06/10/2002 (d) 1,100 1,101
System Energy Resources
7.710% due 08/01/2001 250 251
Texas Utilities Co.
7.210% due 06/25/2001 (d) 1,900 1,899
7.590% due 09/24/2001 (d) 14,000 14,074
5.940% due 10/15/2001 28,725 28,348
6.410% due 11/21/2001 1,000 993
Western Massachusetts Electric
7.750% due 12/01/2002 1,882 1,883
---------------
146,330
---------------
Total Corporate Bonds & Notes 668,254
(Cost $667,130) ===============
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 0.2%
--------------------------------------------------------------------------------
Student Loan Marketing Assn.
6.480% due 07/25/2004 (d) 252 252
6.920% due 04/25/2006 (d) 2,910 2,898
---------------
Total U.S. Government Agencies 3,150
(Cost $3,136) ===============
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 9.0%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (b)(c)
3.630% due 07/15/2002 111,105 111,070
3.630% due 01/15/2008 18,802 18,373
---------------
Total U.S. Treasury Obligations 129,443
(Cost $128,947) ===============
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 23.8%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 10.0%
Bank Mart
6.880% due 03/01/2019 (d)(i) 4,483 4,544
Countrywide Home Loans
6.050% due 04/25/2029 5,768 5,692
CS First Boston Mortgage Securities Corp.
6.960% due 06/20/2029 2,486 2,483
Donaldson, Lufkin & Jenrette, Inc.
7.910% due 10/17/2020 (d) 139 142
Federal Home Loan Mortgage Corp.
7.000% due 06/15/2023 745 743
6.500% due 08/15/2023 7,495 7,428
Federal National Mortgage Assn.
5.700% due 06/25/2017 534 529
6.760% due 04/25/2020 (d) 18 18
6.500% due 05/18/2024 3,411 3,377
General Electric Capital Mortgage Services, Inc.
6.300% due 09/25/2023 2,000 1,977
6.250% due 10/25/2028 794 785
6.250% due 12/25/2028 1,472 1,337
Government National Mortgage Assn.
7.300% due 09/20/2030 (d) 20,919 20,912
7.020% due 09/29/2030 (d) 300 300
7.300% due 02/16/2030 (d) 15,008 15,023
7.220% due 02/16/2030 (d) 26,654 26,729
Greenwich
7.980% due 04/25/2022 (d) 225 224
8.150% due 10/25/2022 (d) 8 8
Housing Securities, Inc.
7.320% due 07/25/2032 (d) 425 425
ICI Funding Corp. Secured Assets Corp.
7.650% due 07/25/2028 3,569 3,555
Independent National Mortgage Corp.
8.350% due 06/25/2025 67 66
Norwest Asset Securities Corp.
6.750% due 08/25/2029 8,551 8,474
PaineWebber Mortgage
6.430% due 02/25/2001 (d) 251 249
PNC Mortgage Securities Corp.
6.630% due 03/25/2028 7,352 7,237
7.500% due 10/25/2030 6,200 6,208
Resecuritization Mortgage Trust
6.870% due 04/26/2021 (d) 318 312
Residential Funding Mortgage Securities, Inc.
6.280% due 03/25/2018 (d) 1,552 1,504
Resolution Trust Corp.
8.000% due 06/25/2026 822 827
7.590% due 05/25/2029 (d) 13 13
Structured Asset Mortgage Investments, Inc.
9.040% due 06/25/2029 (d) 17,693 18,225
Structured Asset Securities Corp.
6.790% due 12/25/2000 (d) 298 298
TMA Mortgage Funding Trust
7.000% due 01/25/2029 (d) 4,368 4,368
---------------
144,012
===============
Federal Home Loan Mortgage Corporation 0.3%
6.770% due 07/01/2019 (d) 2,554 2,537
7.620% due 12/01/2022 (d) 532 543
8.160% due 06/01/2022 (d) 350 358
8.500% due 04/01/2025-06/01/2025 (j) 183 188
---------------
3,626
===============
Federal National Mortgage Association 0.7%
6.130% due 03/01/2029 (d) 345 338
6.440% due 05/01/2017 (d) 245 241
6.450% due 07/01/2018-02/01/2031 (d)(j) 3,306 3,245
6.500% due 09/01/2005 5,187 5,135
6.610% due 04/01/2018 (d) 93 92
7.900% due 05/01/2022 (d) 280 284
---------------
9,335
===============
Government National Mortgage Association 12.7%
6.750% due 07/20/2018-08/20/2026 (d)(j) 16,603 16,777
7.000% due 10/23/2030 101,400 99,879
7.120% due 02/16/2030 (d) 27,543 27,672
7.130% due 12/20/2022-12/20/2027 (d)(j) 7,942 8,000
7.380% due 02/20/2026-02/20/2028 (d)(j) 17,952 18,086
7.500% due 10/23/2030 11,800 11,833
---------------
182,247
===============
Other Mortgage-Backed Securities 0.1%
California Federal Savings & Loan
6.780% due 07/25/2018 (d) 20 20
Fund America
7.550% due 06/25/2023 (d) 114 114
J.P. Morgan & Co.
6.820% due 01/25/2018 (d) 301 295
Resolution Trust Corp.
7.540% due 12/25/2023 (d) 2 2
Structured Asset Securities Corp.
7.110% due 09/25/2036 (d) 804 797
---------------
1,228
===============
Stripped Mortgage-Backed Securities 0.0%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 1,199 55
6.500% due 08/15/2016 24 0
7.500% due 08/15/2019 281 4
Federal National Mortgage Association (IO)
6.000% due 11/25/2000 61 0
7.000% due 07/25/2006 227 11
6.500% due 09/25/2008 219 18
6.500% due 02/25/2021 1,992 109
7.000% due 07/25/2021 628 89
6.500% due 03/25/2023 3,225 361
---------------
647
---------------
Total Mortgage-Backed Securities 341,095
(Cost $341,483) ===============
See accompanying notes 81
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 8.1%
------------------------------------------------------------------------------
AFC Home Equity Loan Trust
6.770% due 06/25/2028 (d) $ 7,862 $ 7,851
Allied Waste Industries, Inc.
9.440% due 07/30/2006 2,274 2,205
9.690% due 07/30/2007 (d) 2,364 2,294
9.750% due 07/30/2007 (d) 364 353
Amresco Residential Securities Mortgage Loan Trust
6.810% due 07/25/2027 (d) 15 15
6.780% due 05/25/2028 (d) 711 710
Arcadia Automobile Receivables Trust
6.500% due 06/17/2002 70 70
Argentina Funding Corp.
6.880% due 05/20/2003 16,000 16,050
Bayview Financial Acquisition Trust
7.170% due 02/25/2029 5,140 5,157
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 508 505
Contimortgage Home Equity Loan Trust
6.790% due 10/15/2012 (d) 32 32
Cross Country Master Credit
7.150% due 06/15/2006 15,400 15,400
Green Tree Home Improvement Loan Trust
6.740% due 11/15/2029 (d) 7,775 7,780
Green Tree Recreational Equipment
6.430% due 04/17/2006 1,960 1,957
MGM Grand Term Loan
7.870% due 05/06/2001 (d) 9,709 9,686
Novastar Home Equity Loan
6.900% due 04/25/2028 (d) 3,291 3,286
Salomon Brothers Mortgage Securities
6.960% due 02/25/2030 (d) 21,700 21,756
Student Loan Marketing Assn
6.860% due 10/25/2005 (d) 7,395 7,367
The Money Store Home Equity Trust
6.550% due 09/15/2021 583 582
6.350% due 11/15/2021 (d) 180 179
USAA Auto Loan Grantor Trust
6.100% due 02/15/2006 12,551 12,475
WMC Mortgage Loan
6.830% due 03/20/2028 (d) 166 166
-----------
Total Asset-Backed Securities 115,876
(Cost $115,769) ===========
------------------------------------------------------------------------------
SOVEREIGN ISSUES 6.3%
------------------------------------------------------------------------------
Hydro-Quebec
6.500% due 09/29/2049 (d) 1,200 1,065
Nacional Financiera
8.570% due 05/08/2003 (d) 6,000 6,094
Republic of Argentina
7.380% due 03/31/2005 (d) 160 147
11.600% due 04/10/2005 (d) 1,400 1,302
Republic of Brazil
7.880% due 01/01/2001 (d) 680 680
7.380% due 04/15/2006 (d) 69,983 65,875
Republic of Bulgaria
7.750% due 07/28/2011 (d) 3,000 2,273
Republic of Croatia
7.000% due 02/27/2002 3,000 2,937
Republic of Panama
7.930% due 05/10/2002 (d) 1,099 1,085
United Mexican States
10.020% due 04/07/2004 (d) 9,000 9,360
-----------
Total Sovereign Issues 90,818
(Cost $89,502) ===========
------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (f)(g) 4.1%
------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 9,750 4,161
Export-Import Bank Korea
3.840% due 10/06/2000 (d) DM 11,370 5,132
Korea Development Bank
2.560% due 06/26/2001 JY 1,000,000 9,364
Tecnost International NV
6.670% due 06/23/2004 (d) EC 36,100 32,193
United Mexican States
8.750% due 05/30/2002 BP 3,000 4,493
7.000% due 06/02/2003 C$ 6,000 3,852
-----------
Total Foreign Currency-Denominated Issues 59,195
(Cost $66,217) ===========
------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
------------------------------------------------------------------------------
S&P 500 Index December Futures
Strike @ 850.00 Exp. 12/15/2000 $ 20 0
Strike @ 800.00 Exp. 12/15/2000 100 0
Strike @ 750.00 Exp. 12/15/2000 713 0
Strike @ 700.00 Exp. 12/15/2000 13 0
-----------
Total Purchased Put Options 0
(Cost $75) ===========
------------------------------------------------------------------------------
PREFERRED SECURITY 0.1%
------------------------------------------------------------------------------
Shares
DG Funding Trust
9.030% due 12/29/2049 (d) 110 1,103
-----------
Total Preferred Security 1,103
(Cost $1,103) ===========
------------------------------------------------------------------------------
PREFERRED STOCK 0.6%
------------------------------------------------------------------------------
TCI Communications, Inc.
9.720% due 12/31/2036 303,565 7,893
-----------
Total Preferred Stock 7,893
(Cost $7,996) ===========
------------------------------------------------------------------------------
COMMON STOCKS 1.1%
------------------------------------------------------------------------------
Utilities 1.1%
Eastern Enterprises 2,700 171
Florida Progress Corp. 300 164
LG&E Energy Corp. 11,000 268
MCN Energy Group, Inc. 392,500 10,051
Northeast Utilities 241,900 5,239
-----------
Total Common Stocks 15,893
(Cost $15,578) ===========
------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 9.5%
------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 8.8%
Alcoa, Inc.
6.500% due 12/21/2000 $ 900 887
American Electric Power, Inc.
6.760% due 10/04/2000 4,700 4,698
6.700% due 10/25/2000 9,000 8,961
Associated Corp. of North America
6.580% due 11/16/2000 800 793
AT&T Corp.
6.510% due 12/13/2000 5,900 5,830
Becton Dickinson & Co.
6.520% due 11/30/2000 2,200 2,175
Cba (de) Finance
6.460% due 12/12/2000 200 197
CDC
6.570% due 11/29/2000 3,200 3,165
Conagra, Inc.
6.680% due 10/27/2000 7,000 6,967
6.670% due 11/16/2000 1,600 1,587
CSX Corp.
6.710% due 10/11/2000 3,800 3,794
Dominion Resources, Inc.
6.720% due 10/04/2000 3,000 2,999
6.710% due 11/16/2000 8,000 7,933
6.770% due 11/16/2000 400 397
Edison Midwest
6.790% due 11/01/2000 300 298
82 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
Gannett Co.
6.500% due 11/21/2000 $ 5,300 $ 5,243
General Electric Capital Corp.
6.500% due 01/24/2001 9,000 8,810
Gillette Co.
6.460% due 12/12/2000 7,400 7,301
Houston Industries
6.820% due 10/04/2000 1,000 1,000
6.770% due 10/18/2000 5,000 4,985
6.800% due 11/08/2000 15,000 14,895
Infinity Broadcasting Corp.
6.700% due 11/15/2000 1,000 992
Ingersoll-Rand Co.
6.690% due 10/04/2000 2,300 2,299
6.700% due 10/18/2000 8,900 8,873
International Paper Co.
6.700% due 10/06/2000 4,300 4,297
6.700% due 10/10/2000 3,200 3,195
Minnesota Mining & Manufacturing
6.520% due 11/28/2000 100 99
Sprint Capital Corp.
6.720% due 11/08/2000 5,000 4,965
Texas Utilities Co.
6.700% due 10/18/2000 4,100 4,088
World Bank
6.350% due 10/27/2000 2,300 2,290
Yorkshire Building Society
6.490% due 12/06/2000 2,100 2,074
-----------
126,087
===========
Repurchase Agreements 0.7%
Daiwa Securities
6.430% due 10/02/2000 6,000 6,000
(Dated 09/29/2000. Collateralized by U.S. Treasury
Inflation Protected Securities
6.0% due 02/15/2026 valued at $6,142.
Repurchase proceeds are $6,003.)
State Street Bank
5.850% due 10/02/2000 4,130 4,130
(Dated 9/29/2000. Collateralized by
Federal National Mortgage Association
7.050% due 02/28/2002 valued at $4,216.
Repurchase proceeds are $4,132.)
-----------
10,130
===========
U.S. Treasury Bills 0.0%
5.930% due 02/01/2001 (b)(c) 50 49
-----------
Total Short-Term Instruments 136,266
(Cost $136,281) ===========
Total Investments (a) 109.4% $ 1,568,989
(Cost $1,573,217)
Written Options (e) (0.1%) (2,266)
(Premiums $2,050)
Other Assets and Liabilities (Net) (9.3%) (133,392)
-----------
Net Assets 100.0% $ 1,433,331
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 6,715
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (10,978)
-----------
Unrealized depreciation-net $ (4,263)
===========
(b) Securities with an aggregate market value of $81,946
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Government of Japan 10 Year Note (12/2000) 25 $ 15
S&P 500 Index (12/2000) 3,137 (61,995)
United Kingdom 10 Year Note (12/2000) 490 (540)
EuroBond 10 Year Note Options (11/2000) 585 179
-----------
$ (62,341)
===========
(c) Principal amount of the security is adjusted for inflation.
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.750% Exp.10/10/2000 125,100,000 $ 137 $ 101
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.800% Exp. 10/12/2000 118,400,000 112 159
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 111 83 3
Call - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 160 63 114
Call - CME Eurodollar December Futures
Strike @ 92.75 Exp. 12/18/2000 80 55 99
Put - CME Eurodollar March Futures
Strike @ 92.75 Exp. 03/19/2000 159 74 6
Call - CME Eurodollar March Futures
Strike @ 93.25 Exp. 3/19/2000 879 175 648
Put - CME Eurodollar March Futures
Strike @ 92.50 Exp. 03/19/2000 301 179 8
Call - CME Eurodollar March Futures
Strike @ 93.00 Exp. 03/19/2000 301 126 380
Put - CME Eurodollar March Futures
Strike @ 92.25 Exp. 03/19/2000 720 446 9
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.750% Exp. 10/05/2000 63,900,000 65 46
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.750% Exp. 10/05/2000 63,900,000 64 46
Call - TSE Government of Japan December Futures
Strike @ 134.00 Exp. 11/30/2000 16 31 32
Put - CME S&P 500 Index December Futures
Strike @ 1400.00 Exp. 12/15/2000 82 440 615
---------------------
$ 2,050 $ 2,266
=====================
See accompanying notes 83
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
September 30, 2000 (Unaudited)
(f) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell C$ 5,773 10/2000 $ 55
Sell EC 49,991 10/2000 1,235
Buy 3,085 10/2000 (4)
Sell BP 3,828 10/2000 (76)
Buy HF 2,300,000 03/2001 182
Sell JY 1,089,759 10/2000 20
Sell N$ 10,942 10/2000 207
Buy PZ 102,100 01/2001 (1,117)
Buy 25,000 02/2001 (139)
Sell 61,000 01/2001 370
----------
$ 733
==========
(g) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
EC - Euro
HF - Hungarian Forint
JY - Japanese Yen
N$ - New Zealand Dollar
PZ - Polish Zloty
(h) Swap agreements outstanding at September 30, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive total Return on S&P 500 Index and
pay floating rate based on 1-month LIBOR plus 0.200%.
Broker: Morgan Stanley
Exp. 06/29/2001 $ 33 $ 0
Receive total Return on S&P 500 Index and
pay floating rate based on 1-month LIBOR plus 0.300%.
Broker: Lehman Brothers
Exp. 07/31/2001 4 0
Receive total Return on S&P 500 Index and
pay floating rate based on 1-month LIBOR plus 0.250%.
Broker: Morgan Stanley
Exp. 09/28/2001 39 0
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR plus 0.180%.
Broker: J.P. Morgan Securities, Inc.
Exp. 03/16/2001 55 0
Receive floating rate based on JY-LIBOR and
pay a fixed rate equal to 1.743%.
Broker: J.P. Morgan
Exp. 09/20/2007 JY 3,150,000 (100)
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR plus 0.180%.
Broker: J.P. Morgan
Exp. 05/03/2001 $ 12 0
Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 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 (46)
Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 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 500 (27)
Receive a fixed rate equal to 1.290% and the Fund will pay to the
counterparty at par in the event of default in of the United Mexican States
at 9.750% due 04/06/2005.
Broker: J.P. Morgan
Exp. 06/19/2002 15,500 2
Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty
at par in the event of default of Enron Corp. 7.875% due 06/15/2003.
Broker: Morgan Stanley
Exp. 06/16/2001 50,000 2
----------
$ (169)
==========
(i) Restricted security.
(j) Securities are grouped by coupon or range of coupons and represent a
range of maturities.
84 See accompanying notes
<PAGE>
Schedule of Investments
Strategic Balanced Fund
September 30, 2000 (Unaudited)
Share's Value
(000s) (000s)
PIMCO FUNDS (d) 91.0%
StocksPLUS 3,181,221 $ 42,755
Total Return 3,032,284 30,596
-----------
Total PIMCO Funds 73,351
(Cost $74,081) ===========
SHORT-TERM INSTRUMENTS 3.9%
Principal
Amount
(000s)
Repurchase Agreements 3.9%
State Street Bank
5.850% due 10/02/2000 $ 3,134 3,134
(Dated 9/29/2000. Collateralized by
Federal National Mortgage Association
6.100% due 08/10/2001 valued at $3,198.
Repurchase proceeds are $3,136.)
-----------
Total Short-Term Instruments 3,134
(Cost $3,134) ===========
Total Investments (a) 94.9% $ 76,485
(Cost $77,215)
Other Assets and Liabilities (Net) 5.1% 4,130
-----------
Net Assets 100.0% $ 80,615
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 833
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (2,370)
-----------
Unrealized depreciation-net $ (1,537)
===========
(b) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell EC 18,311 10/2000 $ 278
Buy 18,311 10/2000 (137)
Buy HF 300,000 03/2001 27
Sell 300,000 03/2001 17
-----------
$ 185
===========
(c) Principal amount denoted in indicated currency:
EC - Euro
HF - Hugarian Forint
(d) Institutional Class shares of each PIMCO Fund.
See accompanying notes 85
<PAGE>
Schedule of Investments
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 41.0%
------------------------------------------------------------------------------
Banking & Finance 27.9%
AB Spintab
6.800% due 12/29/2049 $ 250 $ 244
Abbey National Capital Trust I
8.960% due 12/29/2049 24,700 24,842
Abbey National PLC
6.700% due 06/29/2049 5,000 4,513
Abbey National Treasury Service
6.630% due 05/23/2001 240 240
ABN AMRO Mortgage Corp.
7.250% due 05/31/2005 150 151
Aetna, Inc.
6.750% due 08/15/2001 250 249
7.250% due 08/15/2023 50 46
Air 2 US
8.030% due 10/01/2020 300 305
Allstate Corp.
6.750% due 05/15/2018 280 252
6.900% due 05/15/2038 87,200 74,575
Amerco, Inc.
7.140% due 10/15/2002 15,000 14,439
American Express
8.500% due 08/15/2001 350 355
5.630% due 01/22/2004 11,900 11,470
7.450% due 08/10/2005 1,000 1,008
American General Finance
6.050% due 07/02/2001 3,000 2,985
6.880% due 12/14/2001 1,600 1,601
7.450% due 07/01/2002 200 202
6.250% due 12/18/2002 1,165 1,149
6.380% due 03/01/2003 350 346
8.130% due 03/15/2046 270 259
American Health Properties, Inc.
7.050% due 01/15/2002 700 683
AON Capital Trust 'A'
8.210% due 01/01/2027 725 667
Archstone Communities Trust
6.750% due 10/23/2000 600 600
Aristar, Inc.
7.380% due 09/01/2004 20,000 19,983
Associates Corp. of North America
6.630% due 05/15/2001 1,300 1,299
6.700% due 05/29/2001 100 100
7.000% due 07/23/2001 500 501
6.780% due 08/27/2001 (d) 13,500 13,534
6.450% due 10/15/2001 23,600 23,530
7.500% due 04/15/2002 185 187
6.500% due 07/15/2002 750 747
5.750% due 11/01/2003 5,175 5,015
5.800% due 04/20/2004 450 434
6.630% due 06/15/2005 100 98
Associates First Capital Corp.
6.000% due 12/01/2002 500 493
AT&T Capital Corp.
7.500% due 11/15/2000 5,000 5,004
6.880% due 01/16/2001 230 230
6.250% due 05/15/2001 19,443 19,379
7.000% due 08/15/2001 20,900 20,920
7.110% due 09/13/2001 (d) 1,030 1,032
6.900% due 01/30/2002 1,000 1,000
6.750% due 02/04/2002 1,925 1,921
7.010% due 04/23/2002 (d) 74,000 74,205
AVCO Financial Services
7.380% due 08/15/2001 300 301
5.750% due 01/23/2006 125 125
Banco Latinoamericano SA
6.500% due 04/02/2001 950 947
7.170% due 06/04/2001 5,000 4,998
7.880% due 11/30/2001 9,500 9,528
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 25,050 24,236
11.250% due 09/20/2005 14,250 14,254
Banesto Delaware
8.250% due 07/28/2002 28,900 29,377
Bank of America Corp.
6.730% due 02/26/2001 (d) 3,000 3,001
6.680% due 03/05/2001 (d) 44,000 43,992
9.500% due 04/01/2001 235 238
6.750% due 02/20/2002 (d) 35,180 35,153
8.130% due 06/15/2002 350 357
7.750% due 07/15/2002 360 365
7.200% due 09/15/2002 1,000 1,005
7.500% due 10/15/2002 1,200 1,214
6.850% due 03/01/2003 65 65
6.880% due 06/01/2003 100 100
6.380% due 05/15/2005 1,000 971
7.880% due 05/16/2005 600 621
8.380% due 05/01/2007 1 1
9.380% due 09/15/2009 12,950 14,301
7.800% due 02/15/2010 84,000 86,597
8.570% due 11/15/2024 125 134
Bank of Tokyo - Mitsubishi
8.400% due 04/15/2010 112,200 114,369
Bank One Corp.
6.790% due 04/19/2001 (d) 2,000 2,003
6.730% due 09/04/2001 (d) 14,000 14,005
BankBoston Corp.
6.130% due 03/15/2002 12,500 12,358
6.880% due 07/14/2003 (d) 30,000 29,933
Bankers Trust Corp.
9.400% due 03/01/2001 385 389
6.750% due 10/03/2001 500 499
7.500% due 01/15/2002 250 252
8.130% due 05/15/2002 300 305
7.130% due 07/31/2002 150 150
6.790% due 05/11/2003 (d) 82,800 82,787
6.000% due 10/15/2008 500 448
8.090% due 12/01/2026 275 251
Banponce Financial Corp.
6.460% due 11/13/2001 13,000 12,931
Barclays Bank PLC
8.550% due 09/29/2049 15,000 15,100
Bayerische Landesbank NY
6.200% due 02/09/2006 250 240
Bear Stearns Co., Inc.
9.380% due 06/01/2001 125 127
6.900% due 01/28/2002 (d) 11,250 11,241
7.040% due 04/05/2002 (d) 25,000 25,074
6.960% due 05/07/2002 (d) 4,300 4,299
7.090% due 08/01/2002 (d) 53,600 53,711
7.010% due 12/16/2002 (d) 48,900 48,955
6.130% due 02/01/2003 25 25
7.130% due 03/28/2003 (d) 65,800 65,801
6.750% due 04/15/2003 105 104
7.030% due 05/06/2003 (d) 13,000 13,060
7.010% due 05/16/2003 (d) 40,700 40,895
6.870% due 07/22/2003 (d) 19,000 19,078
6.150% due 03/02/2004 150 145
8.750% due 03/15/2004 75 79
7.100% due 06/01/2004 (d) 9,265 9,329
6.630% due 10/01/2004 250 245
7.360% due 11/30/2004 (d) 400 401
7.040% due 03/18/2005 (d) 37,000 37,081
6.250% due 07/15/2005 25,000 23,968
6.750% due 12/15/2007 2,000 1,911
Beaver Valley Funding Corp.
8.250% due 06/01/2003 405 401
Beneficial Corp.
6.390% due 01/09/2001 (d) 16,000 16,001
6.770% due 01/09/2002 (d) 500 502
6.870% due 03/01/2002 (d) 50,000 50,078
8.000% due 06/18/2002 400 406
6.030% due 01/14/2003 320 313
Bombardier Capital, Inc.
6.000% due 01/15/2002 28,000 27,551
7.300% due 12/15/2002 9,000 8,950
7.210% due 06/09/2032 (d) 16,150 16,008
BTM Holdings
7.160% due 09/29/2049 (d) 6,000 6,000
86 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------
Caithness Coso Fund Corp.
6.800% due 12/15/2001 $ 9,441 $ 9,348
Case Credit Corp.
5.850% due 02/20/2001 (d) 1,600 1,592
Caterpillar Financial Service Corp.
6.890% due 02/11/2002 (d) 700 701
6.930% due 11/04/2002 (d) 1,000 1,001
6.910% due 12/27/2002 (d) 25,000 24,990
Chase Manhattan Corp.
8.500% due 02/15/2002 200 204
5.750% due 04/15/2004 150 144
Chemical Banking Corp.
6.130% due 11/01/2008 400 367
Chrysler Financial Co. LLC
5.860% due 01/16/2001 500 498
6.650% due 06/11/2001 (d) 21,400 21,411
5.690% due 11/15/2001 650 642
5.400% due 01/15/2002 15,750 15,428
6.950% due 03/25/2002 50 50
6.750% due 07/17/2002 (d) 20,000 20,012
6.760% due 08/08/2002 (d) 37,000 37,049
6.800% due 02/03/2003 (d) 35,000 34,985
6.790% due 03/06/2003 (d) 25,000 25,211
6.780% due 03/10/2003 (d) 10,000 10,084
6.740% due 06/18/2003 35,000 34,990
Chubb Capital Corp.
6.880% due 02/01/2003 100 100
Cincinnati Financial Corp.
6.900% due 05/15/2028 111,870 97,327
CIT Group, Inc.
6.200% due 10/20/2000 525 525
6.810% due 09/13/2002 (d) 1,900 1,900
7.110% due 10/01/2002 (d) 600 602
7.380% due 03/15/2003 500 504
CIT Holdings LLC
6.880% due 02/16/2005 7,500 7,412
Citigroup, Inc.
6.820% due 05/24/2001 (d) 139,000 139,093
6.710% due 09/17/2001 (d) 65 65
6.710% due 06/27/2002 (d) 11,450 11,431
6.380% due 09/15/2002 115 114
6.810% due 11/12/2002 (d) 30,000 29,992
8.000% due 02/01/2003 250 255
5.800% due 03/15/2004 200 194
6.500% due 08/01/2004 400 393
7.750% due 06/15/2006 15,655 16,138
Comerica, Inc.
7.250% due 06/15/2007 200 198
Commercial Credit Co.
5.550% due 02/15/2001 1,300 1,294
8.250% due 11/01/2001 2,500 2,536
6.880% due 05/01/2002 335 335
7.750% due 03/01/2005 550 564
Countrywide Home Loans
6.250% due 04/15/2009 600 547
Credit Asset Receivable
6.270% due 10/31/2003 38,322 37,814
DaimlerChrysler Financial Services
LLC
6.790% due 02/10/2003 (d) 2,000 2,000
DBS Group Holdings Ltd.
7.880% due 08/10/2009 6,000 6,037
Deutsche Bank Capital Trust I
7.870% due 12/29/2049 5,875 5,606
Deutsche Bank Financial
7.500% due 04/25/2009 3,000 3,009
Dillard Investment Co., Inc.
9.250% due 02/01/2001 300 302
Donaldson, Lufkin & Jenrette, Inc.
6.910% due 09/18/2002 (d) 13,600 13,602
6.170% due 07/15/2003 20,000 19,543
5.630% due 02/15/2016 5,000 4,924
Dow Capital BV
7.130% due 01/15/2003 100 100
Dresdner Bank-New York
6.630% due 09/15/2005 1,000 975
Dresdner Funding Trust I
8.150% due 06/30/2031 36,805 33,004
Duke Capital Corp.
7.250% due 10/01/2004 19,000 19,139
Edison Funding
6.950% due 12/19/2000 7,000 6,999
Export-Import Bank Korea
7.250% due 06/25/2001 2,600 2,589
7.130% due 09/20/2001 12,370 12,257
6.500% due 02/10/2002 14,691 14,493
6.500% due 11/15/2006 6,445 6,277
7.100% due 03/15/2007 15,250 15,153
Exxon Capital Corp.
7.450% due 12/15/2001 250 252
6.130% due 09/08/2008 2,000 1,911
Farmers Insurance
8.630% due 05/01/2024 275 271
Finova Capital Corp.
5.880% due 10/15/2001 1,000 845
7.340% due 11/08/2002 (d) 51,350 41,760
7.190% due 04/08/2003 (d) 300 256
6.910% due 06/18/2003 (d) 32,300 28,263
6.330% due 11/24/2003 1,300 979
First Chicago Corp.
9.250% due 11/15/2001 250 256
6.740% due 03/11/2002 (d) 10,000 10,023
6.840% due 07/28/2003 (d) 50 50
First Interstate Bancorp
10.880% due 04/15/2001 200 204
8.880% due 01/01/2009 (l) 152 155
First National Bank Chicago
8.080% due 01/05/2018 250 262
First Security Corp.
5.880% due 11/01/2003 9,325 9,033
First Union Corp.
8.130% due 06/24/2002 150 152
7.100% due 08/15/2004 3,000 2,987
7.700% due 02/15/2005 4,000 4,080
6.380% due 01/15/2009 500 461
Firstar Bank NA
7.800% due 07/05/2010 35,900 36,548
Fleet Financial Group, Inc.
9.900% due 06/15/2001 200 204
Ford Capital BV
9.500% due 06/01/2010 200 221
Ford Motor Credit Corp.
6.380% due 10/06/2000 1,300 1,300
6.250% due 11/08/2000 750 750
7.020% due 06/07/2001 1,000 1,001
6.810% due 09/03/2001 (d) 27,000 27,039
7.000% due 09/25/2001 1,125 1,127
6.850% due 10/15/2001 (d) 13,000 13,012
6.840% due 11/16/2001 (d) 76,800 76,868
8.240% due 01/15/2002 85 86
6.860% due 01/17/2002 (d) 53,945 53,762
8.200% due 02/15/2002 500 508
6.500% due 02/28/2002 1,710 1,702
6.810% due 03/19/2002 (d) 28,208 28,329
6.870% due 04/29/2002 (d) 33,000 33,033
6.900% due 05/21/2002 (d) 4,000 4,004
6.880% due 05/23/2002 14,000 14,001
6.820% due 06/04/2002 (d) 12,000 12,002
6.990% due 07/16/2002 (d) 111,680 111,920
6.910% due 08/01/2002 (d) 36,000 36,002
6.550% due 09/10/2002 4,000 3,979
6.880% due 10/15/2002 (d) 14,000 13,993
7.750% due 11/15/2002 5,730 5,824
6.820% due 12/16/2002 (d) 56,000 55,859
6.000% due 01/14/2003 1,000 978
7.500% due 01/15/2003 250 252
6.860% due 02/03/2003 (d) 30,000 29,925
6.780% due 02/13/2003 (d) 100,000 100,041
6.810% due 02/13/2003 (d) 250,185 249,875
6.850% due 03/17/2003 (d) 21,000 20,973
6.130% due 04/28/2003 26,130 25,566
See accompanying notes 87
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------
6.940% due 06/02/2003 (d) $ 38,100 $ 38,142
6.950% due 06/20/2003 (d) 10,000 10,007
6.630% due 06/30/2003 775 766
6.950% due 11/24/2003 (d) 32,000 31,989
5.750% due 02/23/2004 1,620 1,547
6.960% due 04/26/2004 (d) 53,000 52,926
6.890% due 05/21/2004 (d) 22,200 22,102
6.870% due 06/02/2004 (d) 1,500 1,492
6.700% due 07/16/2004 92,905 91,080
7.080% due 07/19/2004 (d) 174,500 174,656
8.250% due 02/23/2005 2,500 2,592
7.500% due 03/15/2005 17,000 17,107
6.900% due 04/28/2005 (d) 58,000 57,841
7.230% due 06/30/2005 (d) 65,000 65,025
7.170% due 07/18/2005 (d) 182,100 182,418
6.780% due 08/27/2006 (d) 27,500 27,503
7.200% due 06/15/2007 25 25
5.800% due 01/12/2009 155 138
Fuji Bank Ltd.
9.870% due 12/31/2049 (d) 25,475 24,953
General Electric Capital Corp.
8.380% due 03/01/2001 1,415 1,423
6.020% due 05/04/2001 1,000 996
5.500% due 11/01/2001 50 49
5.650% due 03/31/2003 125 122
6.210% due 12/09/2005 400 391
7.880% due 12/01/2006 30 32
8.300% due 09/20/2009 1,125 1,198
General Motors Acceptance Corp.
5.800% due 04/09/2001 8,340 8,302
6.800% due 04/17/2001 4,800 4,800
5.950% due 04/20/2001 22,150 22,059
6.700% due 04/30/2001 3,000 2,999
7.130% due 05/01/2001 44,395 44,461
6.750% due 06/05/2001 880 880
6.880% due 07/15/2001 1,000 1,000
6.760% due 10/22/2001 (d) 25,700 25,685
7.070% due 11/26/2001 (d) 19,000 19,119
6.380% due 12/01/2001 765 762
6.760% due 12/10/2001 (d) 2,200 2,200
9.630% due 12/15/2001 5,650 5,824
7.040% due 12/17/2001 (d) 13,000 13,084
6.840% due 01/08/2002 (d) 3,000 3,011
6.630% due 01/10/2002 500 497
6.810% due 01/28/2002 (d) 13,000 13,007
6.800% due 02/01/2002 (d) 36,700 36,724
6.750% due 02/07/2002 1,590 1,587
6.840% due 03/15/2002 (d) 10,215 10,268
7.750% due 03/25/2002 125 127
6.840% due 04/29/2002 (d) 221,144 221,840
7.000% due 09/15/2002 250 251
6.630% due 10/01/2002 5,000 4,968
6.570% due 10/07/2002 (d) 1,100 1,101
6.780% due 11/12/2002 (d) 10,200 10,198
6.880% due 11/12/2002 (d) 22,995 23,022
6.860% due 12/09/2002 (d) 64,050 64,114
6.750% due 12/10/2002 500 499
6.200% due 12/15/2002 500 493
5.480% due 12/16/2002 150 146
6.000% due 01/15/2003 990 971
5.880% due 01/22/2003 75,500 73,769
6.840% due 02/14/2003 (d) 10,000 9,986
6.750% due 03/15/2003 40,125 39,928
7.130% due 05/01/2003 36,000 36,171
7.400% due 07/20/2003 (d) 9,577 9,569
6.790% due 08/18/2003 (d) 102,940 102,690
5.550% due 09/15/2003 32,000 30,830
6.630% due 10/20/2003 2,000 1,982
5.750% due 11/10/2003 1,000 965
7.020% due 04/05/2004 (d) 27,900 27,861
6.930% due 05/28/2004 (d) 73,000 73,801
6.850% due 06/17/2004 1,200 1,190
7.090% due 07/21/2004 (d) 10,000 10,009
7.360% due 09/20/2004 (d) 20,058 20,040
6.650% due 11/17/2005 500 489
6.150% due 04/05/2007 150 140
8.950% due 07/02/2009 19,971 20,803
Gold Eagle Capital Ltd.
12.130% due 04/15/2001 46,300 46,300
Golden State Holdings
2.280% due 01/01/2000 15 346
6.750% due 08/01/2001 1,950 1,920
Goldman Sachs Group
6.200% due 12/15/2000 6,500 6,489
6.710% due 01/12/2001 (d) 25,000 25,041
6.900% due 01/25/2001 (d) 27,400 27,416
6.920% due 02/20/2001 (d) 3,000 3,004
7.000% due 04/16/2001 (d) 18,000 17,999
6.920% due 12/07/2001 (d) 25,000 25,057
7.090% due 02/18/2002 (d) 2,300 2,315
7.060% due 01/16/2003 (d) 15,000 15,097
6.960% due 01/17/2003 (d) 147,500 147,700
7.070% due 05/23/2003 (d) 75,000 75,074
6.930% due 02/10/2004 (d) 10,000 9,847
7.220% due 02/19/2004 (d) 10,000 10,153
6.920% due 06/02/2004 (d) 15,000 14,743
6.630% due 12/01/2004 275 270
7.630% due 08/17/2005 40,000 40,841
7.390% due 02/09/2009 (d) 10,000 10,432
6.500% due 02/25/2009 140 130
GS Escrow Corp.
7.710% due 08/01/2003 (d) 500 485
Hansol Paper Co. Ltd.
8.940% due 05/24/2001 (d) 20,000 20,200
Hartford Life, Inc.
6.900% due 06/15/2004 600 595
Heller Financial, Inc.
6.250% due 03/01/2001 25,000 24,943
6.920% due 06/25/2001 (d) 76,050 76,106
5.750% due 09/25/2001 1,400 1,380
7.070% due 10/22/2001 (d) 19,200 19,240
6.500% due 11/01/2001 250 249
7.590% due 11/09/2001 (d) 2,500 2,517
6.890% due 04/26/2002 (d) 12,000 11,988
6.850% due 05/07/2002 (d) 2,000 1,998
6.850% due 05/13/2002 (d) 10,000 9,988
7.000% due 05/15/2002 900 897
7.120% due 07/24/2002 (d) 16,200 16,223
6.940% due 04/28/2003 (d) 26,000 25,911
6.970% due 04/28/2003 (d) 55,750 55,509
Hertz Corp.
7.000% due 07/15/2003 13,300 13,155
Home Savings of America
6.000% due 11/01/2000 14,175 14,161
Household Bank
6.820% due 09/26/2001 (d) 9,000 8,999
6.910% due 10/22/2003 (d) 15,000 14,952
Household Capital Trust
7.010% due 06/26/2004 (d) 13,925 13,302
Household Finance Corp.
6.780% due 06/22/2001 (d) 3,000 3,004
6.860% due 08/01/2001 (d) 1,500 1,501
6.860% due 11/01/2001 (d) 3,000 3,000
6.840% due 05/07/2002 (d) 40,850 40,983
6.890% due 05/24/2002 (d) 113,800 113,894
7.080% due 06/03/2002 15,000 15,013
5.880% due 11/01/2002 200 196
6.910% due 06/24/2003 35,000 35,022
6.920% due 06/24/2003 (d) 31,000 31,027
7.000% due 08/01/2003 20,000 19,943
6.500% due 11/15/2008 2,000 1,878
Household Netherlands BV
6.130% due 03/01/2003 18,100 17,646
HSBC Capital Funding LP
10.180% due 12/29/2049 10,000 11,086
10.180% due 12/31/2049 106,400 112,685
HypoVereinsbank
8.740% due 06/30/2031 12,400 11,831
Industrial Bank of Korea
7.100% due 10/15/2001 3,290 3,224
88 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------
Inter-American Development Bank
8.880% due 06/01/2009 $ 200 $ 227
7.380% due 01/15/2010 4,200 4,374
International Bank for Reconstruction &
Development
7.000% due 01/27/2005 1,000 1,018
International Lease Finance Corp.
5.780% due 03/01/2001 500 498
5.930% due 07/15/2003 14,000 13,613
J.P. Morgan & Co.
5.750% due 02/25/2004 22,800 21,969
6.700% due 11/01/2007 30 29
6.000% due 01/15/2009 37,000 34,095
8.080% due 02/15/2012 600 519
JET Equipment Trust
10.000% due 06/15/2012 80 88
10.690% due 05/01/2015 100 117
John Hancock
7.380% due 02/15/2024 360 333
KBC Bank Fund Trust III
9.860% due 11/29/2049 (d) 5,700 5,965
Key Bank NA
7.550% due 09/15/2006 350 354
Kimco Realty Corp.
6.500% due 10/01/2003 200 195
Korea Development Bank
7.680% due 10/06/2000 (d) 5,000 5,000
6.510% due 10/20/2000 11,000 10,976
7.130% due 09/17/2001 10,055 10,041
8.600% due 03/25/2002 6,600 6,723
6.500% due 11/15/2002 440 431
7.130% due 04/22/2004 19,125 18,771
7.380% due 09/17/2004 16,500 16,264
6.750% due 12/01/2005 55 52
7.250% due 05/15/2006 50 48
LB Rheinland - PFALZ
5.000% due 02/23/2028 3,400 3,230
Lehman Brothers Holdings, Inc.
9.880% due 10/15/2000 150 150
7.250% due 12/01/2000 (d) 500 500
6.130% due 02/01/2001 2,000 1,994
6.000% due 02/26/2001 700 698
7.370% due 07/03/2001 (d) 10,000 10,036
7.680% due 04/02/2002 (d) 64,750 65,327
6.380% due 05/07/2002 28,695 28,481
7.410% due 05/07/2002 (d) 42,100 42,363
8.750% due 05/15/2002 219 225
6.610% due 07/08/2002 (d) 101,600 101,691
7.530% due 07/15/2002 (d) 43,051 43,408
7.000% due 08/12/2002 (d) 6,500 6,499
7.450% due 08/28/2002 (d) 6,500 6,508
6.970% due 09/03/2002 (d) 14,000 13,991
7.210% due 12/12/2002 (d) 57,900 58,152
7.170% due 04/04/2003 (d) 134,300 134,342
7.000% due 05/15/2003 150 150
7.020% due 08/03/2003 (d) 1,500 1,485
6.630% due 04/01/2004 65 64
7.750% due 01/15/2005 150 153
7.630% due 06/01/2006 350 352
8.500% due 05/01/2007 1,475 1,548
LG&E Capital Corp.
6.210% due 05/01/2004 1,000 973
6.460% due 01/15/2008 3,000 2,856
Liberty Mutual Insurance
8.200% due 05/04/2007 17,510 17,252
Limestone Electron Trust
8.630% due 03/15/2003 71,350 72,720
Marine Midland
6.750% due 12/12/2000 (d) 3,700 3,699
MBNA America Bank NA
6.970% due 04/25/2002 (d) 1,000 998
MBNA Corp.
6.990% due 05/24/2002 1,000 1,000
7.130% due 09/10/2002 (d) 5,000 5,024
7.040% due 12/10/2002 4,100 4,044
MCN Investment Corp.
6.030% due 02/01/2001 6,850 6,813
7.120% due 01/16/2004 7,500 7,290
6.300% due 04/02/2011 7,500 7,448
Merrill Lynch & Co.
6.830% due 10/03/2000 (d) 2,000 2,000
6.430% due 12/05/2000 (d) 89,000 89,009
6.000% due 03/01/2001 1,325 1,320
6.500% due 04/01/2001 400 399
6.750% due 04/30/2001 2,775 2,773
6.820% due 05/08/2001 (d) 54,900 54,918
6.880% due 05/30/2001 (d) 3,800 3,806
6.790% due 11/01/2001 (d) 35,000 35,035
6.770% due 11/09/2001 (d) 16,000 16,001
6.830% due 01/15/2002 (d) 17,000 16,995
7.090% due 02/01/2002 (d) 33,000 33,111
8.000% due 02/01/2002 400 406
7.380% due 08/17/2002 300 303
8.300% due 11/01/2002 700 720
6.000% due 02/12/2003 500 491
6.880% due 03/01/2003 140 140
6.810% due 06/24/2003 (d) 27,000 26,920
6.990% due 08/01/2003 (d) 800 800
6.920% due 10/01/2003 (d) 18,500 18,497
5.880% due 01/15/2004 600 580
6.550% due 08/01/2004 400 395
7.000% due 03/15/2006 1,500 1,488
7.000% due 04/27/2008 100 98
6.380% due 10/15/2008 35,000 32,955
Merrill Lynch Mortgage Investors, Inc.
5.650% due 12/15/2030 441 424
Metropolitan Life Insurance Co.
6.300% due 11/01/2003 6,800 6,648
Mexico Credit Link
11.380% due 02/22/2002 (d) 29,500 30,760
11.800% due 02/25/2002 2,000 2,119
MFN Financial Corp.
6.980% due 09/13/2001 (d) 10,300 10,305
MIC Financing Trust
8.380% due 02/01/2027 36,000 31,063
Monumental Global Funding II
6.910% due 09/26/2003 (d) 58,500 58,500
Morgan Stanley, Dean Witter, Discover
and Co.
5.750% due 02/15/2001 400 399
6.700% due 05/01/2001 600 600
9.380% due 06/15/2001 300 305
6.840% due 12/17/2001 (d) 5,000 5,006
6.840% due 01/28/2002 (d) 35,700 35,762
6.880% due 04/15/2002 (d) 300 300
6.890% due 02/21/2003 (d) 25,000 25,046
6.850% due 03/11/2003 (d) 11,500 11,484
6.910% due 05/05/2003 (d) 23,000 23,041
6.960% due 08/07/2003 (d) 140,800 140,900
6.380% due 12/15/2003 150 148
5.630% due 01/20/2004 1,100 1,058
6.990% due 04/22/2004 (d) 68,500 68,577
Nacional Financiera
10.560% due 12/01/2000 (d) 10,760 10,712
National Westminster Bank PLC
9.380% due 11/15/2003 200 213
NationsBank Corp.
6.750% due 02/26/2001 500 499
7.000% due 09/15/2001 1,500 1,503
6.810% due 06/17/2002 (d) 10,000 10,003
6.130% due 07/15/2004 600 582
NCNB Corp.
7.750% due 08/01/2002 896 896
Noble Affiliates, Inc.
8.950% due 12/15/2004 11,500 11,525
Nordbanken
7.250% due 11/12/2009 21,250 21,086
See accompanying notes 89
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------
Nordstrom Credit, Inc.
7.250% due 04/30/2002 $ 1,000 $ 1,006
Northern Rock PLC
2.000% due 01/01/2000 1,060 20,670
Norwest Financial, Inc.
6.380% due 07/16/2002 500 497
6.250% due 11/01/2002 100 99
7.000% due 01/15/2003 380 382
6.000% due 02/01/2004 50 49
Okobank
7.040% due 05/23/2006 (d) 10,000 10,018
Old Kent Bank
7.750% due 08/15/2010 6,500 6,512
Orix Credit Alliance
7.640% due 09/17/2001 13,000 13,077
Osprey Trust
8.310% due 01/15/2003 75,475 76,418
Pacific Mutual Life
7.900% due 12/30/2023 8,000 7,841
PaineWebber
7.030% due 05/20/2002 (d) 1,000 999
7.290% due 07/15/2002 (d) 200 200
Parker Retirement Savings Plan
6.340% due 07/15/2008 841 791
PDVSA Finance Ltd.
7.400% due 08/15/2016 1,200 971
Pemex Finance Limited
6.130% due 11/15/2003 20,222 19,864
PNC Bank Corp.
6.720% due 01/24/2002 (d) 49,000 49,031
6.680% due 08/15/2002 (d) 5,000 5,005
PNC Funding Corp.
6.880% due 03/01/2003 100 100
7.000% due 09/01/2004 15,000 14,889
PNC Institutional Capital Association
7.950% due 12/15/2026 150 135
Popular North American, Inc.
7.380% due 09/15/2001 25,000 25,120
Popular, Inc.
6.550% due 10/10/2000 2,485 2,485
6.200% due 04/30/2001 3,336 3,325
6.540% due 11/06/2001 18,705 18,625
6.630% due 01/15/2004 19,500 18,949
Prime Property Funding II
7.000% due 08/15/2004 110 107
Protective Life Funding Trust
7.090% due 01/17/2003 (d) 2,000 1,997
Prudential Funding Corp.
6.420% due 10/02/2000 (d) 20,000 20,004
6.630% due 04/01/2009 17,000 15,484
PSE&G Capital Corp.
6.740% due 10/23/2001 1,400 1,398
Qwest Capital Funding, Inc.
6.880% due 08/15/2001 43,200 43,165
7.200% due 07/08/2002 (d) 500 500
Reliance Group Holdings
9.000% due 11/15/2000 (m) 19,000 6,460
9.750% due 11/15/2003 (m) 10,000 1,163
Reliant Energy Financial Co.
7.660% due 12/10/2001 (d) 53,100 52,989
Royal Bank of Scotland PLC
6.400% due 04/01/2009 15,000 13,983
8.820% due 03/31/2049 38,600 40,300
9.120% due 03/31/2049 66,400 69,856
Safeco Corp.
7.260% due 08/12/2002 500 505
Sakura Capital Funding
7.320% due 08/29/2049 20,000 19,244
7.560% due 09/29/2049 (d) 59,000 57,230
Salomon, Inc.
6.630% due 11/30/2000 500 500
6.650% due 07/15/2001 600 598
7.000% due 03/04/2002 18,850 18,894
6.750% due 02/15/2003 450 449
Salomon, Smith Barney Holdings
5.980% due 03/26/2001 250 249
3.650% due 02/14/2002 (d)(j) 29,708 29,357
6.930% due 04/15/2002 (d) 35,090 35,100
6.860% due 05/14/2002 (d) 34,515 34,514
7.020% due 07/23/2002 (d) 53,400 53,319
6.130% due 01/15/2003 290 285
6.910% due 02/11/2003 (d) 44,200 44,236
6.960% due 04/28/2003 (d) 34,000 34,014
7.060% due 07/18/2003 (d) 55,800 55,897
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 94,740 94,604
Sears Roebuck Acceptance
6.800% due 05/07/2001 500 500
6.790% due 05/21/2001 500 500
7.190% due 06/18/2001 3,880 3,891
7.110% due 06/19/2001 1,000 1,002
9.400% due 08/02/2001 250 255
6.860% due 08/06/2001 400 400
6.710% due 08/13/2001 80 80
6.360% due 12/04/2001 290 289
6.120% due 12/13/2001 260 257
8.390% due 02/14/2002 240 244
6.950% due 05/15/2002 300 299
6.000% due 03/20/2003 149,750 145,584
7.260% due 04/21/2003 3,000 3,002
7.140% due 05/02/2003 5,000 4,988
6.560% due 11/20/2003 1,178 1,152
6.250% due 01/15/2004 300 291
6.750% due 09/15/2005 785 763
6.700% due 11/15/2006 500 480
Security Pacific Corp.
11.500% due 11/15/2000 4,000 4,019
11.000% due 03/01/2001 135 137
Seismic Ltd.
11.270% due 01/01/2002 (d) 32,500 32,500
Simon Property Group, Inc.
9.000% due 03/15/2002 2,000 2,027
Socgen Real Estate LLC
7.640% due 12/29/2049 3,000 2,803
Societe Generale
7.400% due 06/01/2006 1,500 1,503
Sovereign Bancorp, Inc.
6.630% due 03/15/2001 13,500 13,357
Spieker Properties
6.800% due 12/15/2001 5,500 5,456
6.800% due 05/01/2004 1,000 977
Steers
10.460% due 08/07/2002 (d) 20,000 20,114
Sumitomo Bank International Finance NV
8.500% due 06/15/2009 6,600 6,747
Sumitomo Bank Treasury Co.
9.400% due 12/29/2049 (d) 21,050 20,713
Sun Life of Canada (U.S.)
8.530% due 05/29/2049 250 225
Telewest Credit Links
8.500% due 04/16/2004 30,000 28,878
Textron Financial Corp.
7.030% due 05/28/2002 (d) 41,900 41,849
7.030% due 09/17/2002 (d) 2,000 2,003
The Money Store, Inc.
8.050% due 04/15/2002 300 304
7.300% due 12/01/2002 100 101
Tokai Capital Corp.
9.980% due 12/29/2049 (d) 18,050 17,286
Toyota Motor Credit Corp.
7.320% due 02/15/2002 (d) 40,000 39,319
Transamerica Finance Corp.
6.910% due 09/17/2001 (d) 10,000 10,001
6.130% due 11/01/2001 29,000 28,757
6.910% due 12/14/2001 (d) 40,700 40,744
7.250% due 08/15/2002 85,500 85,695
7.500% due 03/15/2004 270 271
6.750% due 11/15/2006 650 637
90 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------
Travelers Group, Inc.
7.200% due 02/01/2004 $ 38,480 $ 38,677
U.S. Bancorp
6.750% due 01/16/2002 (d) 49,000 49,015
6.940% due 02/03/2003 (d) 18,100 18,111
6.500% due 06/15/2004 600 588
Wachovia Corp.
7.260% due 05/02/2005 (d) 53,100 53,047
Washington Mutual, Inc.
8.210% due 02/01/2027 150 132
8.380% due 06/01/2027 235 212
Wells Fargo & Co.
5.630% due 02/05/2001 400 399
8.750% due 05/01/2002 100 103
6.630% due 07/15/2004 6,500 6,439
7.220% due 05/02/2005 (d) 67,700 67,678
7.800% due 06/15/2010 40,600 41,519
Westdeutsche Landesbank
6.750% due 06/15/2005 36,400 35,796
6.050% due 01/15/2009 123,100 112,682
-------------
$ 9,923,058
=============
Industrials 7.0%
Ahold Finance USA, Inc.
6.880% due 05/01/2029 115 95
Akzo Nobel, Inc.
6.000% due 11/15/2003 32,000 30,896
Albertson's, Inc.
8.350% due 05/01/2010 5,000 5,147
Allied Waste North America, Inc.
7.380% due 01/01/2004 18,925 17,695
Alpha Wind
11.320% due 05/23/2001 17,200 17,200
America West Airlines, Inc.
6.870% due 07/02/2018 1,956 1,789
American Airlines
10.610% due 03/04/2011 1,895 2,165
AMR Corp.
10.610% due 01/11/2001 4,000 4,024
10.570% due 01/15/2001 3,000 3,025
10.590% due 01/31/2001 3,000 3,007
10.000% due 02/01/2001 2,400 2,413
9.400% due 05/08/2001 3,000 3,020
9.430% due 05/10/2001 1,000 1,007
9.500% due 05/15/2001 3,480 3,503
9.130% due 10/25/2001 2,000 2,033
8.470% due 02/20/2002 2,000 2,012
8.500% due 02/26/2002 1,000 1,006
10.210% due 01/01/2010 6,500 7,202
Anheuser-Busch Companies, Inc.
6.750% due 08/01/2003 500 503
Arrow Electronics, Inc.
7.440% due 11/24/2000 (d) 13,200 13,197
Atlas Air, Inc.
9.470% due 04/04/2003 (d) 22,700 22,700
10.470% due 10/04/2004 (d) 3,000 3,000
Aventis SA
8.620% due 01/05/2021 250 261
Baxter International, Inc.
9.500% due 06/15/2008 200 221
Bayer Corp.
6.500% due 10/01/2002 250 248
BOC Group PLC
5.880% due 01/29/2001 250 249
Boeing Co.
8.380% due 02/15/2001 900 904
6.350% due 06/15/2003 750 744
Boise Cascade Co.
7.150% due 05/15/2001 10,000 9,988
BP Amoco PLC
6.250% due 10/15/2004 1,000 991
Browning-Ferris Industries, Inc.
6.100% due 01/15/2003 6,000 5,632
Cabot Corp.
7.280% due 10/21/2027 5,160 4,383
Campbell Soup Co.
4.750% due 10/01/2003 500 474
Cemex SA
9.250% due 06/17/2002 5,000 5,100
8.630% due 07/18/2003 48,250 48,853
Century Communications Corp.
0.000% due 03/15/2003 10,515 8,044
CF Cable TV, Inc.
9.130% due 07/15/2007 1,600 1,722
Champion International Corp.
9.700% due 05/01/2001 4,000 4,046
Clear Channel Communications, Inc.
7.210% due 06/15/2002 (d) 20,000 20,047
Coastal Corp.
10.380% due 10/01/2000 8,500 8,500
7.290% due 03/01/2002 (d) 145,350 145,350
Coca-Cola Co.
6.380% due 08/01/2001 500 497
7.880% due 02/01/2002 600 605
6.000% due 07/15/2003 250 246
5.750% due 11/01/2008 100 91
Colgate-Palmolive Co.
6.000% due 08/15/2003 45 44
Columbia/HCA Healthcare
8.020% due 08/05/2002 9,000 8,932
8.130% due 08/04/2003 7,300 7,238
6.910% due 06/15/2005 9,500 8,964
6.630% due 07/15/2045 10,000 9,747
6.730% due 07/15/2045 14,760 14,162
Comcast Cable Communications
8.380% due 05/01/2007 145 151
Comdisco, Inc.
6.130% due 08/01/2006 600 588
Conoco, Inc.
6.350% due 04/15/2009 1,900 1,804
Continental Airlines
6.410% due 04/15/2007 342 330
6.800% due 07/02/2007 26 25
6.950% due 02/02/2011 24,520 23,708
6.900% due 01/02/2018 1,511 1,429
Cox Communications, Inc.
6.630% due 06/14/2002 7,250 7,174
6.500% due 11/15/2002 200 198
0.430% due 04/19/2020 25,000 10,500
Cox Enterprises, Inc.
8.000% due 02/15/2007 5,000 5,105
7.610% due 05/01/2033 (d) 500 500
Credit Lyon Capital
2.380% due 01/01/2000 1,912 46,374
CSX Corporation
7.260% due 06/24/2002 (d) 25,100 25,102
DaimlerChrysler Holdings
6.630% due 09/21/2001 1,000 995
6.860% due 01/18/2002 18,900 18,922
7.750% due 05/27/2003 20,000 20,342
7.000% due 08/16/2004 (d) 61,600 61,704
Dayton Hudson Corp.
10.000% due 12/01/2000 1,000 1,004
Delphi Auto Systems Corp.
6.130% due 05/01/2004 20,000 19,103
Delta Air Lines, Inc.
6.650% due 03/15/2004 13,500 12,809
10.430% due 01/02/2011 850 969
10.140% due 08/14/2012 1,000 1,144
9.200% due 09/23/2014 6,000 6,083
10.500% due 04/30/2016 4,550 4,994
Duty Free International, Inc.
7.000% due 01/15/2004 175 169
Eastman Chemical Co.
6.380% due 01/15/2004 5,750 5,535
Electric Lightwave, Inc.
6.050% due 05/15/2004 10,700 10,423
Eli Lilly & Co.
8.130% due 12/01/2001 500 507
6.250% due 03/15/2003 100 99
See accompanying notes 91
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------
Embotelladora Arica SA
9.880% due 03/15/2006 $ 7,500 $ 7,810
Enron Corp.
7.110% due 09/10/2001 (d) 7,000 7,001
6.450% due 11/15/2001 275 273
7.660% due 01/14/2002 5,000 5,040
8.380% due 05/23/2005 12,000 12,550
Federal Express Corp.
6.850% due 01/15/2019 826 767
Ford Capital BV
9.380% due 05/15/2001 300 304
Ford Motor Co.
9.000% due 09/15/2001 880 893
6.630% due 10/01/2028 115,800 97,647
7.450% due 07/16/2031 10,000 9,325
Fortune Brands, Inc.
8.500% due 10/01/2003 500 521
Fred Meyer, Inc.
7.150% due 03/01/2003 11,000 10,927
7.380% due 03/01/2005 38,100 37,726
7.450% due 03/01/2008 300 291
General Foods Corp.
6.000% due 06/15/2001 200 197
General Motors Acceptance Corp.
6.250% due 05/01/2005 300 291
Gillette Co.
6.250% due 08/15/2003 750 749
5.750% due 10/15/2005 1,500 1,453
Grupo Elektra SA
12.750% due 05/15/2001 1,000 1,035
Gulf Canada Resources Ltd.
9.250% due 01/15/2004 7,250 7,366
Harrahs Operating Co., Inc.
7.880% due 12/15/2005 5,000 4,825
Heinz (H.J.) Co.
6.880% due 01/15/2003 100 101
Hertz Corp.
6.000% due 02/01/2001 75 75
Hilton Hotels Corp.
7.380% due 06/01/2002 1,000 992
Houghton Mifflin Co.
5.990% due 12/03/2001 3,000 2,955
IBM Corp.
7.250% due 11/01/2002 450 455
ICI Wilmington
6.750% due 09/15/2002 10,000 9,882
IMEXSA Export Trust
10.130% due 05/31/2003 7,644 7,618
Imperial Tobacco
7.130% due 04/01/2009 21,785 19,906
Ingersoll-Rand Co.
6.260% due 02/15/2001 295 294
International Game Technology
7.880% due 05/15/2004 24,500 24,071
International Paper Co.
9.050% due 02/08/2001 100 100
7.000% due 06/01/2001 2,000 1,994
ISP Holdings, Inc.
9.750% due 02/15/2002 6,750 6,075
ITT Corp.
6.250% due 11/15/2000 500 499
J Seagram & Sons
5.790% due 04/15/2001 1,800 1,783
6.250% due 12/15/2001 6,545 6,475
K Mart Corp.
8.190% due 11/24/2003 5,000 4,675
Kellogg
5.750% due 02/02/2001 86,925 86,444
Kohls Corp.
7.380% due 10/15/2011 15 14
Kroger Co.
7.560% due 10/01/2010 (d) 54,000 54,098
Limited, Inc.
7.800% due 05/15/2002 500 504
Lockheed Martin Corp.
6.850% due 05/15/2001 30,315 30,205
Mallinckrodt, Inc.
6.300% due 03/15/2011 (d) 23,155 23,046
Mandalay Resort Group
6.750% due 07/15/2003 4,500 4,230
Marlin Water Trust
7.090% due 12/15/2001 11,238 11,174
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (l) 1,980 2,362
Mobil Corp.
8.380% due 02/12/2001 340 341
Nabisco, Inc.
6.000% due 02/15/2001 (d) 11,990 11,900
6.800% due 09/01/2001 3,000 2,962
6.700% due 06/15/2002 9,000 8,811
6.130% due 02/01/2033 15,000 14,356
Nabors Industries, Inc.
6.800% due 04/15/2004 9,250 9,150
News America Holdings Corp.
8.630% due 02/01/2003 750 775
Norfolk Southern Corp.
7.880% due 02/15/2004 50 51
Nortel Networks Corporation
6.880% due 10/01/2002 200 199
Northwest Airlines, Inc.
8.970% due 01/02/2015 1,636 1,659
8.070% due 08/01/2021 400 411
Occidental Petroleum
6.400% due 04/01/2003 7,710 7,520
7.360% due 10/03/2008 30,300 30,262
Park Place Entertainment Corp.
7.950% due 08/01/2003 18,500 18,523
Petroleos Mexicanos
8.130% due 07/15/2005 (d) 100,400 100,651
8.850% due 09/15/2007 1,800 1,787
9.380% due 12/02/2008 14,650 15,090
9.500% due 09/15/2027 31,000 32,008
Philip Morris Cos., Inc.
9.000% due 01/01/2001 300 301
8.750% due 06/01/2001 5,515 5,550
7.250% due 09/15/2001 70 70
7.500% due 01/15/2002 50 50
6.800% due 12/01/2003 48,345 47,340
7.000% due 07/15/2005 1,125 1,093
6.950% due 06/01/2006 9,540 9,495
7.200% due 02/01/2007 34,000 32,649
Philips Petroleum Co.
9.000% due 06/01/2001 2,000 2,016
Premium Asset Trust
7.030% due 09/08/2007 5,000 4,988
Proctor & Gamble Co.
5.250% due 09/15/2003 35,600 34,205
Qwest Corp.
7.200% due 11/01/2004 170 170
Racers
6.930% due 03/03/2003 (d) 282,400 282,400
6.210% due 04/01/2003 20,000 19,956
8.760% due 04/28/2003 (d) 30,000 30,690
6.800% due 09/15/2005 (d) 15,000 14,967
Raytheon Co.
7.310% due 03/01/2002 (d) 8,650 8,668
Rogers Cantel, Inc.
9.380% due 06/01/2008 2,750 2,860
Saferco
9.590% due 05/31/2001 (l) 3,000 3,052
Safeway, Inc.
5.750% due 11/15/2000 3,150 3,144
7.000% due 09/15/2002 1,125 1,124
6.850% due 09/15/2004 250 247
92 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------
Sara Lee Corp.
6.300% due 11/07/2005 $ 500 $ 486
Scotia Pacific Co. LLC
7.710% due 01/20/2014 305 200
SmithKline Beecham
7.380% due 04/15/2005 150 153
Sprint Capital Corp.
7.010% due 06/10/2002 (d) 1,000 1,000
7.010% due 06/24/2002 (d) 50,000 50,020
Stone Container Corp.
10.750% due 10/01/2002 2,500 2,547
TCI Communications, Inc.
7.260% due 03/12/2001 (d) 14,700 14,756
6.380% due 05/01/2003 3,280 3,234
8.000% due 08/01/2005 450 463
Telecommunications, Inc.
8.250% due 01/15/2003 43,125 44,627
Tenet Healthcare Corp.
7.880% due 01/15/2003 5,000 4,988
8.630% due 12/01/2003 1,200 1,209
Texaco Capital
8.500% due 02/15/2003 700 727
6.000% due 06/15/2005 400 388
Textron, Inc.
6.750% due 09/15/2002 225 224
Time Warner, Inc.
6.100% due 12/30/2001 40,525 39,971
7.980% due 08/15/2004 19,770 20,324
Times Mirror Co.
6.650% due 10/15/2001 300 299
TRW, Inc.
6.630% due 06/01/2004 2,425 2,340
Tyco International Group SA
7.370% due 03/05/2001 (d) 15,000 15,016
6.880% due 09/05/2002 675 674
6.250% due 06/15/2003 16,315 15,880
Union Pacific Corp.
7.880% due 02/15/2002 8,000 8,052
7.330% due 07/01/2002 (d) 25,500 25,531
6.930% due 06/01/2003 1,000 989
6.000% due 09/01/2003 8,000 7,733
6.120% due 02/01/2004 250 241
US Airways
6.850% due 01/30/2018 145 130
USA Waste Services, Inc.
6.130% due 07/15/2001 23,500 23,030
UST, Inc.
7.250% due 06/01/2009 25,000 22,408
USX Corp.
9.800% due 07/01/2001 24,050 24,446
Wal-Mart Stores, Inc.
8.630% due 04/01/2001 2,450 2,473
6.150% due 08/10/2001 450 448
6.750% due 05/24/2002 170 170
6.500% due 06/01/2003 200 199
Walt Disney Co.
6.380% due 03/30/2001 1,100 1,097
5.130% due 12/15/2003 500 475
Waste Management, Inc.
6.380% due 12/01/2003 200 189
6.500% due 05/14/2004 89,000 83,904
Williams Communications Group, Inc.
7.180% due 11/15/2001 10,500 10,507
WMX Technologies
6.700% due 05/01/2001 10,000 9,911
7.000% due 10/15/2006 500 467
Xerox Corp.
7.410% due 05/15/2001 1,000 1,003
Yorkshire Power
6.150% due 02/25/2003 17,000 16,360
-------------
2,478,510
=============
Utilities 6.1%
AEP Resources, Inc.
6.500% due 12/01/2003 20,000 19,507
Alabama Power Co.
5.350% due 11/15/2003 1,600 1,528
Arizona Public Service
7.400% due 11/15/2001 (d) 1,000 1,000
Ashland, Inc.
8.450% due 12/05/2001 3,000 3,056
7.250% due 03/07/2003 (d) 300 299
AT&T Corp.
5.130% due 04/01/2001 600 595
7.350% due 08/27/2001 7,200 7,212
7.130% due 01/15/2002 275 276
5.630% due 03/15/2004 350 335
8.650% due 09/15/2004 625 655
7.000% due 05/15/2005 200 199
7.650% due 09/15/2006 140 141
0.000% due 11/01/2007 1,000 877
Baltimore Gas & Electric
6.130% due 07/01/2003 150 147
Bellsouth Telecom
6.000% due 06/15/2002 10,000 9,880
7.500% due 06/15/2033 185 169
Calpine Corp.
9.250% due 02/01/2004 4,150 4,155
7.630% due 04/15/2006 1,800 1,756
CE Electric Funding Company
6.850% due 12/30/2004 250 242
Central Maine Power Co.
7.430% due 08/25/2003 13,000 13,056
Central Power & Light Co.
7.290% due 11/23/2001 (d) 18,100 18,101
Chesapeake & Potomac Telephone
5.630% due 03/01/2007 500 461
8.000% due 10/15/2029 1,125 1,150
Cleveland Electric Illuminating Co.
9.500% due 05/15/2005 33,000 33,794
CMS Energy
8.380% due 07/01/2003 15,000 14,661
8.000% due 07/01/2011 1,000 991
7.000% due 01/15/2005 30,000 27,636
Coastal Corp.
8.130% due 09/15/2002 250 257
Columbus Southern Power Co.
6.850% due 10/03/2005 10,000 9,797
Commonwealth Edison
6.720% due 06/15/2002 (d) 1,000 1,000
6.630% due 07/15/2003 1,000 987
9.880% due 06/15/2020 11,700 12,781
Connecticut Light & Power Co.
7.880% due 06/01/2001 100 100
7.750% due 06/01/2002 5,000 5,048
8.590% due 06/05/2003 27,000 26,646
Consolidated Edison
6.630% due 02/01/2002 100 100
Consolidated Natural Gas Co.
7.250% due 10/01/2004 43,750 43,749
Constellation Energy Group, Inc.
7.220% due 04/04/2003 (d) 15,000 14,961
Deutsche Telekom AG
7.750% due 06/15/2005 134,400 137,718
Dominion Resources, Inc.
7.030% due 01/26/2001 (d) 1,600 1,601
7.600% due 07/15/2003 35,000 35,377
DTE Capital Corp.
8.350% due 11/15/2038 (d) 70,250 68,734
Duke Energy Corp.
5.880% due 06/01/2001 375 373
6.750% due 08/01/2025 25 21
East Coast Power LLC
6.740% due 03/31/2008 17,772 16,968
See accompanying notes 93
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Edison Mission Energy
7.330% due 06/15/2001 (d) $ 1,000 $ 1,000
El Paso Electric Co.
9.400% due 05/01/2011 7,455 7,933
El Paso Energy Corp.
6.630% due 07/15/2001 12,000 11,917
El Paso Natural Gas Co.
7.750% due 01/15/2002 15,000 15,106
Entergy Arkansas, Inc.
7.000% due 03/01/2002 1,580 1,575
7.720% due 03/01/2003 200 202
Entergy Louisiana, Inc.
8.500% due 06/01/2003 3,000 3,084
Entergy Mississippi, Inc.
7.360% due 05/03/2004 (d) 31,000 30,806
Georgia Power Co.
6.670% due 02/22/2002 (d) 15,000 14,990
GTE Corp.
7.250% due 08/01/2002 150 151
5.500% due 01/15/2009 100 88
Gulf States Utilities
6.410% due 08/01/2001 5,800 5,760
Hughes Electric
7.560% due 10/23/2000 (j) 10,000 10,003
Indiana Bell Telephone Co., Inc.
5.500% due 04/01/2007 500 455
Indiana Michigan Power
7.270% due 11/22/2000 (d) 2,500 2,501
Indianapolis Power & Light
7.380% due 08/01/2007 225 227
K N Energy, Inc.
6.450% due 11/30/2001 10,000 9,902
6.450% due 03/01/2003 240 236
Kansai Electric Power Co.
7.250% due 09/25/2006 2,000 2,021
Korea Electric Power
7.000% due 10/01/2002 380 374
6.380% due 12/01/2003 220 211
Louisiana Power & Light Co.
7.740% due 07/01/2002 599 599
MCI Worldcom, Inc.
8.880% due 01/15/2006 34,150 35,261
6.130% due 04/15/2012 1,250 1,235
Montana Power Co.
7.000% due 04/06/2001 (d) 15,000 15,004
National Power Corp.
9.630% due 05/15/2028 16,000 11,631
National Rural Utilities Cooperative
6.880% due 05/31/2002 (d) 10,000 9,996
6.250% due 04/15/2003 50,000 48,982
Nevada Power Co.
7.270% due 08/20/2001 (d) 900 900
New England Telephone & Telegraph Co.
6.380% due 09/01/2008 1,350 1,267
New Jersey Bell Telephone
4.880% due 11/01/2000 800 799
New York Telephone Co.
6.250% due 02/15/2004 150 146
6.000% due 04/15/2008 45 41
Niagara Mohawk Power
7.000% due 10/01/2000 60,235 60,235
6.880% due 03/01/2001 21,538 21,516
7.250% due 10/01/2002 24,783 24,676
7.380% due 07/01/2003 39,162 39,255
7.380% due 08/01/2003 1,645 1,658
North Atlantic Energy
9.050% due 06/01/2002 3,948 3,988
Northern Illinois Gas Co.
6.450% due 08/01/2001 1,450 1,447
Northern Telecom Ltd.
8.750% due 06/12/2001 300 303
NRG Energy, Inc.
8.000% due 11/01/2003 6,000 6,044
NRG Northeast Generating LLC
8.070% due 12/15/2004 500 503
Nynex Corp.
9.550% due 05/01/2010 5,941 6,360
Ohio Bell Telephone Co.
5.380% due 03/01/2007 950 865
Ohio Power Co.
7.000% due 07/01/2004 24,000 23,828
Oxymar
7.500% due 02/15/2016 200 149
Pacific Gas & Electric Co.
6.750% due 12/01/2000 3,049 3,048
Pacific Northwest Bell
4.380% due 09/01/2002 50 48
Philadelphia Electric
5.630% due 11/01/2001 22,350 22,026
Philippine Long Distance Telephone Co.
7.850% due 03/06/2007 5,000 4,088
10.500% due 04/15/2009 5,000 4,515
PP&L, Inc.
6.130% due 05/01/2001 (d) 16,102 15,999
6.550% due 03/01/2006 500 486
PSEG Energy Holdings
9.130% due 02/10/2004 120 123
Public Service Co. of Colorado
6.000% due 04/15/2003 750 732
Public Service Electric & Gas
7.250% due 04/01/2001 (d) 3,191 3,191
6.130% due 08/01/2002 1,000 987
6.250% due 01/01/2007 1,500 1,416
Public Service Enterprise Group, Inc.
7.010% due 11/22/2000 (d) 11,000 11,002
7.040% due 06/15/2001 (d) 156,200 156,262
Queststar Pipeline
9.380% due 06/01/2021 200 208
RAS LAFFAN Liquid Natural Gas
8.290% due 03/15/2014 145 138
Reliant Energy, Inc.
9.380% due 06/01/2001 1,000 1,013
6.380% due 11/01/2003 22,250 21,802
8.750% due 03/01/2022 10,000 10,142
Rochester Telecom
8.950% due 08/07/2001 3,000 3,051
Scana Corp.
7.210% due 02/08/2002 (d) 3,100 3,102
7.380% due 07/15/2002 (d) 27,000 27,037
Sierra Pacific Power Co.
7.160% due 06/12/2001 (d) 39,000 39,000
Sierra Pacific Resources
7.340% due 04/20/2003 (d) 2,000 2,001
6.200% due 04/15/2004 20,000 19,009
SK Telecom Co. Ltd.
7.750% due 04/29/2004 5,000 4,961
Southern Energy
7.900% due 07/15/2009 175 166
Sprint Capital Corp.
6.500% due 11/15/2001 13,365 13,325
6.970% due 11/15/2001 (d) 101,700 101,745
8.130% due 07/15/2002 10,378 10,608
5.880% due 05/01/2004 43,500 41,718
System Energy Resources
7.380% due 10/01/2000 5,000 5,000
7.710% due 08/01/2001 5,800 5,817
Teco Energy, Inc.
5.540% due 09/15/2001 44,630 44,075
Telekomunikacja Polska SA
7.130% due 12/10/2003 12,200 11,935
7.750% due 12/10/2008 13,600 13,117
Tennessee Valley Authority
3.380% due 01/15/2007 (i) 10,893 10,211
0.000% due 04/15/2042 855 366
94 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------
Texas Utilities Co.
6.660% due 12/01/2000 $ 67,700 $ 67,700
7.210% due 06/25/2001 131,200 131,111
6.370% due 08/16/2001 1,000 990
7.590% due 09/24/2001 208,800 209,907
5.940% due 10/15/2001 3,000 2,961
6.500% due 08/16/2002 2,600 2,578
Toledo Edison Co.
8.180% due 07/30/2002 1,400 1,423
8.700% due 09/01/2002 14,500 14,738
7.850% due 03/31/2003 7,000 7,082
7.880% due 08/01/2004 500 507
TXU Eastern Funding
6.150% due 05/15/2002 53,800 52,657
6.450% due 05/15/2005 18,270 17,321
U.S. West Communications, Inc.
5.650% due 11/01/2004 9,000 8,470
6.630% due 09/15/2005 400 389
6.130% due 11/15/2005 400 380
Union Electric Co.
8.000% due 12/15/2022 1,000 981
United Telecom, Inc.
9.500% due 06/06/2001 150 152
Western Resources, Inc.
6.250% due 08/15/2003 6,600 5,932
Williams Cos., Inc.
6.130% due 02/01/2001 3,000 2,988
6.200% due 08/01/2002 4,000 3,947
Wilmington Trust Co. - Tucson
Electric
10.730% due 01/01/2013 (l) 991 1,038
WorldCom, Inc.
6.130% due 08/15/2001 2,030 2,018
6.920% due 11/26/2001 (d) 12,700 12,713
6.400% due 08/15/2005 1,625 1,576
YPF Sociedad Anonima
7.250% due 03/15/2003 16,475 16,146
-------------
2,152,502
-------------
Total Corporate Bonds & Notes 14,554,070
(Cost $14,785,594) =============
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.8%
--------------------------------------------------------------------------------
Alabama 0.0%
Jefferson County Alabama Sewer Revenue Warrants,
(FGIC Insured), Series 2000
6.560% due 02/01/2029 4,500 3,718
5.910% due 02/01/2036 625 547
Montgomery Alabama Special Care Facilities Financing
Authority Revenue Bonds, (MBIA Insured), Series 1998
5.000% due 11/15/2029 2,000 1,743
-----------
6,008
===========
California 0.1%
California State Department of Water Resources Center
Valley Project Revenue Bonds, Series 2000
6.030% due 12/01/2029 2,500 2,056
California State General Obligation, Series 2000
5.630% due 05/01/2026 5,270 5,342
5.750% due 05/01/2030 1,000 1,023
Cook County Illinois General Obligation (FGIC
Insured),
Series 1999 5.000% due 11/15/2028 6,445 5,688
Los Angeles California Wastewater System
Revenue Bonds, (FGIC Insured), Series 2000
5.900% due 06/01/2028 6,500 4,396
Los Angeles County Metropolitan Transportation
Authority
Sales Tax Revenue Bonds, (AMBAC Insured), Series 2000
5.740% due 07/01/2023 3,500 3,071
Orange County School Board, (MBIA Insured), Series
2000
5.710% due 08/01/2024 3,500 2,866
Port of Oakland California Revenue Bonds, (FGIC
Insured),
Series 2000 5.750% due 11/01/2029 1,000 1,019
San Diego Public Facilities Financing
Authority
Revenue Bonds, (FGIC Insured), Series 1999
5.000% due 05/15/2029 1,000 923
San Francisco California City & County Airport
Community
Revenue, (MBIA Insured), Series 1998
4.500% due 05/01/2028 6,700 5,650
-----------
32,034
===========
Colorado 0.0%
E-470 Public Highway Authority Revenue Bonds,
(MBIA Insured), Series 2000
5.750% due 09/01/2035 2,500 2,497
-----------
Florida 0.1%
Broward County Florida Airport System Revenue,
(AMBAC Insured), Series 2000
5.030% due 10/01/2023 1,328 1,024
Florida State Board of Education General Obligation,
(FGIC Insured), Series 2000
4.710% due 06/01/2023 3,500 2,310
Florida State Governmental Utility Authority
Utility Revenue, (AMBAC Insured), Series 2000
5.710% due 10/01/2029 6,453 5,267
Florida State Turnpike Authority Revenue
Bonds,
(FGIC Insured), Series 2000
4.440% due 07/01/2027 6,323 4,007
Greater Orlando Aviation Authority, Orlando Florida
Airport
Facitities Revenue Bonds, (FGIC Insured), Series 1999
5.130% due 10/01/2028 2,000 1,800
Lakeland Florida Electric & Water Revenue,
(MBIA Insured), Series 1999 5.000% due 10/01/2028 5,350 4,790
Modesto Public Financing Authority Lease Revenue,
(AMBAC Insured), Series 2000
5.740% due 09/01/2029 2,500 2,125
Orange Tourist Florida Tourist Development
Tax Revenue Bonds, (AMBAC Insured), Series
2000
5.500% due 10/01/2031 2,000 1,950
Tampa Florida Guaranteed Entitlement Revenue,
(AMBAC Insured), Series 2001
6.000% due 10/01/2005 2,230 2,322
Tampa Florida Utility Tax & Special Revenue,
(AMBAC Insured), Series 2001
6.000% due 10/01/2005 3,000 3,128
6.000% due 10/01/2008 1,500 1,586
-----------
30,309
===========
Georgia 0.1%
Atlanta Georgia Airport Revenue, (FGIC
Insured),
Series 2000 5.500% due 01/01/2026 1,000 975
Atlanta Georgia Water & Wastewater Revenue,
(FGIC Insured), Series 1999
5.000% due 11/01/2038 44,600 39,205
Georgia Local Government Certificate Of
Participation,
(MBIA Insured), Series 2000
5.810% due 06/01/2028 9,950 6,866
-----------
47,046
===========
See accompanying notes 95
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Hawaii 0.0%
Honolulu Hawaii City & County Wastewater System
Revenue, (FGIC Insured), Series 1998
5.000% due 07/01/2023 $ 6,935 $ 6,231
Honolulu Hawaii City & County Wastewater System
Revenue, (FGIC Insured), Series 2000
5.210% due 07/01/2028 7,200 4,941
----------
11,172
==========
Illinois 0.0%
Chicago Illinois Skyway Toll Bridge Revenue Bonds,
(AMBAC Insured), Series 2000
5.500% due 01/01/2031 2,000 1,920
Chicago Illinois General Obligations Unlimited,
(FGIC Insured), Series 2000
5.500% due 01/01/2040 3,500 3,321
Chicago Illinois Residual General Obligation,
(MBIA Insured), Series 2000
5.960% due 01/01/2028 3,100 2,461
----------
7,702
==========
Kansas 0.0%
Wichita Kansas Hospital Revenue Bonds, Series 1999
6.250% due 11/15/2024 1,000 1,000
----------
Maryland 0.0%
Maryland St. Health & Higher Educational
Facilities
Authority Revenue Bonds, Series 1999
6.000% due 07/01/2039 3,000 3,096
----------
Massachusetts 0.1%
E-470 Public Highway Residual 144a Revenue Bonds,
(MBIA Insured), Series 2000
5.710% due 09/01/2021 2,590 2,104
Massachusetts Bay Transportation Authority
Revenue Bonds, (MBIA Insured), Series 2000
5.260% due 03/01/2021 4,150 3,164
Massachusetts State Turnpike Authority Revenue
Bonds,
(AMBAC Insured), Series 2000
5.910% due 01/01/2039 10,250 7,982
Massachusetts State Turnpike Authority Revenue Bonds,
(MBIA Insured), Series 2000
5.910% due 01/01/2037 13,550 10,620
----------
23,870
==========
Minnesota 0.0%
Minnesota Agricultural & Economic Development Board
Revenue Bonds, Series 2000
6.380% due 11/15/2029 1,000 1,003
St. Cloud Minnesota Health Care Revenue Bonds,
Series 2000 5.750% due 05/01/2026 1,000 994
----------
1,997
==========
Mississippi 0.0%
Mississippi Development Bank Special Obligation,
(AMBAC Insured), Series 2000
5.810% due 07/01/2024 2,500 2,103
----------
Nevada 0.1%
Clark County Nevada General Obligations, (MBIA Insured),
Series 2000 8.440% due 07/01/2030 20,913 19,422
Clark County Passenger Facility Charge Revenue
Bonds,
(MBIA Insured), Series 2000
5.210% due 07/01/2022 4,750 3,622
----------
23,044
==========
New Jersey 0.0%
Essex County Improvement Authority Revenue Bonds,
(FGIC Insured), Series 2000
5.750% due 10/01/2030 500 503
New Jersey Health Care Facilities Financing Authority
Revenue Bonds, (MBIA Insured), Series 2000
5.130% due 07/01/2028 2,000 1,363
----------
1,866
==========
New York 0.2%
Long Island Power Authority Revenue Bonds,
(FSA Insured), Series 2000 6.160% due 12/01/2022 4,500 3,876
Long Island Power Authority Revenue Bonds,
(MBIA Insured), Series 2000
6.410% due 12/01/2026 5,500 4,806
New York City Municipal Bond, Series 1997
6.960% due 08/01/2002 (d) 6,108 6,102
New York City Municipal Water Finance Authority,
(MBIA-IBC Insured), Series 2000
5.130% due 06/15/2025 6,565 4,743
New York City Transitional Finance Authority Revenue
Bonds, (FGIC Insured), Series 1998
4.750% due 11/15/2023 5,000 4,321
New York City Transitional Finance Authority
Revenue Bonds, Series 2000
5.500% due 11/01/2024 2,500 2,431
New York City, New York General Obligation, Series D
6.900% due 08/01/2002 (d) 14,815 14,815
New York State Dorm Authority Lease Revenue Bonds,
(FSA Insured), Series 1998
4.750% due 01/15/2029 3,850 3,267
New York State Dormitory Authority Revenue Bonds,
(MBIA Insured), Series 1998
5.000% due 02/15/2023 5,100 4,582
New York State Thruway Authority General Obligation,
Series 1998 5.000% due 01/01/2025 300 267
Niagara Frontier Airport Revenue Bonds, (MBIA Insured),
Series 1999 5.630% due 04/01/2029 1,000 969
Port Authority of New York & New Jersey Revenue Bonds,
(MBIA Insured), Series 1997
5.750% due 12/01/2022 4,500 4,519
----------
54,698
==========
North Dakota 0.0%
Mercer County Improvement Authority Revenue Bonds,
Series 1978 5.800% due 01/01/2018 6,460 6,678
----------
Ohio 0.0%
Hamilton County Ohio Sales Tax Revenue Bonds,
(MBIA Insured), Series 2000
5.460% due 12/01/2027 3,250 2,637
----------
Pennsylvania 0.0%
Allegheny County Hospital Development Authority
Revenue Bonds, (MBIA Insured), Series 2000 A
6.500% due 11/15/2030 1,000 1,053
Philadelphia School District General Obligation Unlimited,
(MBIA Insured), Series 2000
5.210% due 04/01/2027 3,150 2,217
Pittsburgh & Allegheny County Revenue Bonds,
(AMBAC Insured), Series 1999
5.000% due 02/01/2029 500 446
----------
3,716
==========
96 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Puerto Rico 0.0%
Puerto Rico Commonwealth General Obligation,
(MBIA Insured), Series 2000
5.875% due 07/01/2035 $ 8,920 $ 9,062
-----------
Texas 0.1%
Dallas-Fort Worth International Airport Revenue,
(FGIC Insured), Series 2000
6.000% due 11/01/2028 4,000 4,060
Harris County Health Facilities Development Corporation
Revenue, (MBIA Insured), Series 2000
6.140% due 07/01/2021 3,500 2,993
Houston Independent School District General Obligation,
(PSF Insured), Series 1999
4.750% due 02/15/2026 30,175 25,460
Houston Texas Airport System Revenue, (FGIC Insured),
Series 1998 5.000% due 07/01/2025 5,500 4,904
Houston, Texas, Water & Sewer System Revenue,
(FGIC Insured), Series 2000
5.250% due 12/01/2030 1,000 926
-----------
38,343
===========
Utah 0.0%
Weber County, Utah Hospital Revenue Bonds, Series 1999
5.000% due 08/15/2030 500 423
-----------
Washington State 0.0%
Seattle Washington General Obligation, Series 2000
5.960% due 12/15/2028 3,000 2,378
-----------
Washington, DC 0.0%
Washington D.C. Convention Center Authority Dedicated
Tax Revenue, (AMBAC Insured), Series 2000
5.030% due 10/01/2028 6,500 4,688
-----------
Total Municipal Bonds & Notes 316,367
(Cost $315,244) ===========
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 0.8%
--------------------------------------------------------------------------------
A.I.D. Housing Guarantee - Peru
9.980% due 08/01/2008 935 957
Federal Farm Credit Bank
6.400% due 01/16/2002 100 100
5.730% due 03/28/2003 300 295
Federal Home Loan Bank
7.270% due 02/15/2002 (d) 17,000 16,788
6.210% due 12/30/2002 200 198
5.130% due 09/15/2003 350 337
5.140% due 09/22/2003 600 576
6.000% due 06/30/2004 1,000 979
6.250% due 08/13/2004 250 248
6.030% due 01/22/2009 275 256
0.000% due 09/29/2017 2,000 487
0.000% due 09/10/2018 15,000 3,711
Federal Home Loan Mortgage Corp.
5.500% due 05/15/2002 435 429
7.000% due 02/15/2003 500 506
7.380% due 05/15/2003 3,500 3,574
6.880% due 01/15/2005 95 96
5.750% due 03/15/2009 1,955 1,824
6.630% due 09/15/2009 1,335 1,321
6.750% due 06/03/2013 400 373
Federal National Mortgage Assn.
0.000% due 08/15/2001 105 99
6.100% due 09/14/2001 100 100
5.380% due 03/15/2002 750 739
6.250% due 11/15/2002 115 114
6.000% due 03/03/2003 500 493
6.100% due 03/20/2003 250 247
5.500% due 12/29/2003 500 485
5.750% due 06/15/2005 900 872
6.560% due 12/10/2007 190 185
5.250% due 01/15/2009 80 72
6.630% due 09/15/2009 1,000 993
Small Business Administration
7.450% due 08/01/2010 107,300 109,273
Student Loan Marketing Assn.
6.840% due 04/25/2004 (d) 6,925 6,916
6.480% due 07/25/2004 (d) 842 840
6.740% due 10/25/2004 (d) 15,532 15,495
6.830% due 10/25/2004 (d) 24,678 24,639
6.710% due 10/25/2005 (d) 14,542 14,490
6.920% due 04/25/2006 (d) 84,060 83,739
-----------
Total U.S. Government Agencies 292,846
(Cost $282,885) ===========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 13.7%
--------------------------------------------------------------------------------
Treasury Inflation Protected
Securities (i)
3.630% due 07/15/2002 1,118,428 1,118,079
3.380% due 01/15/2007 (j) 239,835 231,965
3.630% due 01/15/2008 (j) 456,306 445,897
3.880% due 01/15/2009 (j) 218,316 216,542
3.630% due 04/15/2028 (j) 70,496 67,015
3.880% due 04/15/2029 (j) 6,703 6,661
U.S. Treasury Bonds
12.380% due 05/15/2004 1,000 1,206
0.000% due 02/15/2015 188,900 280,812
8.130% due 08/15/2019 31,000 37,859
0.000% due 08/15/2020 349,245 453,691
8.130% due 05/15/2021 57,500 70,887
8.130% due 08/15/2021 134,200 165,653
8.000% due 11/15/2021 142,620 174,264
7.250% due 08/15/2022 275 313
6.250% due 08/15/2023 1,425 1,452
0.000% due 02/15/2026 184,400 182,729
6.130% due 11/15/2027 200 202
5.500% due 08/15/2028 59,900 55,613
6.130% due 08/15/2029 8,000 8,173
6.250% due 05/15/2030 535,200 562,797
U.S. Treasury Notes
6.750% due 05/15/2005 235,000 243,519
5.630% due 05/15/2008 500 491
6.500% due 02/15/2010 320 333
U.S. Treasury Strips
0.000% due 05/15/2013 4,500 2,096
0.000% due 02/15/2014 64,900 28,801
0.000% due 02/15/2015 135,000 56,298
0.000% due 05/16/2015 152,700 62,719
0.000% due 08/15/2015 170,400 68,833
0.000% due 11/15/2018 108,200 35,915
0.000% due 11/15/2021 795,000 222,563
0.000% due 11/15/2024 207,000 49,161
-----------
Total U.S. Treasury Obligations 4,852,539
(Cost $4,846,168) ===========
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 73.3%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 22.5%
ABN AMRO Mortgage Corp.
6.750% due 09/25/2028 3,765 3,547
6.500% due 06/25/2029 7,093 6,516
ABSC Long Beach Home Equity Loan Trust
6.880% due 08/31/2030 (d) 137,705 137,705
American Southwest Financial Securities Corp.
7.400% due 11/17/2004 34,802 35,077
12.250% due 11/01/2014 32 32
12.500% due 04/01/2015 279 281
12.000% due 05/01/2015 498 507
7.250% due 11/25/2038 54,826 53,198
Aurora Loan Services
7.340% due 05/25/2030 (d) 42,548 42,481
Banc of America Funding Corporation
6.750% due 11/20/2032 17,000 16,074
Bank of America Mortgage Securities, Inc.
6.250% due 07/25/2014 10,040 9,533
6.250% due 08/25/2028 25,000 22,518
6.500% due 05/25/2029 35,565 32,818
7.250% due 10/25/2029 10,371 9,356
See accompanying notes 97
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Bear Stearns Mortgage Securities, Inc.
7.000% due 08/20/2018 $ 9,999 $ 9,457
7.380% due 10/25/2023 (d) 3,046 3,227
6.350% due 08/25/2024 1,481 1,474
10.000% due 08/25/2024 5,000 5,606
7.000% due 03/25/2027 7,000 6,738
8.130% due 09/25/2027 3,000 3,020
7.450% due 12/25/2027 62 62
7.000% due 02/25/2028 10,000 9,624
7.000% due 05/20/2030 34,574 33,869
7.170% due 06/25/2030 6,890 6,802
Capital Asset Research Funding LP
5.910% due 12/15/2005 153 152
Cendant Mortgage Corp.
7.250% due 04/18/2013 829 827
6.510% due 11/18/2028 (d) 13,739 12,760
6.500% due 11/18/2028 (d) 5,952 5,009
Centre Re
6.720% due 02/01/2009 30,620 29,308
Chase Mortgage Finance Corp.
8.250% due 10/25/2010 231 230
7.000% due 07/25/2024 2,275 2,262
7.000% due 08/25/2024 2,890 2,810
6.750% due 03/25/2025 11,449 9,911
6.320% due 04/25/2025 (d) 17,759 17,939
6.750% due 10/25/2028 39,000 36,712
6.350% due 07/25/2029 70,207 69,509
Chemical Mortgage Securities
7.250% due 01/25/2026 11,477 11,356
Citicorp Mortgage Securities, Inc.
7.650% due 10/25/2022 (d) 9,687 9,709
6.250% due 04/25/2024 11,796 10,407
6.250% due 05/25/2024 3,753 3,726
7.250% due 10/25/2027 20,462 19,666
6.750% due 09/25/2028 8,806 8,354
5.900% due 05/25/2029 12,282 12,199
CMC Securities Corp.
7.520% due 09/25/2023 (d) 0 3,454
8.420% due 04/25/2025 (d) 154 156
7.250% due 11/25/2027 9,293 9,115
6.150% due 05/25/2028 (d) 72 72
6.750% due 05/25/2028 5,000 4,720
CMSI 2000
7.500% due 10/30/2030 11,233 10,524
Collateralized Mortgage Obligation Trust
10.200% due 02/01/2016 2,259 2,276
7.250% due 04/23/2017 62 62
8.000% due 09/20/2021 6,301 6,293
Collateralized Mortgage Securities Corp.
11.450% due 09/01/2015 969 979
11.450% due 11/01/2015 (d) 2 2
8.750% due 04/20/2019 403 411
COMM
6.150% due 02/15/2008 15,326 14,896
6.490% due 12/16/2011 (d) 9,000 9,014
Countrywide Alternative Loan Trust
8.000% due 07/25/2030 21,089 21,340
Countrywide Funding Corp.
6.630% due 02/25/2024 33,827 31,226
Countrywide Home Loans
6.500% due 07/25/2013 5,676 5,293
8.790% due 07/25/2024 (d) 2,314 2,332
6.750% due 11/25/2025 25,567 22,795
7.500% due 04/25/2027 1,534 1,533
7.500% due 06/25/2027 12,122 12,142
7.500% due 09/25/2027 20,000 19,704
7.250% due 12/25/2027 6,224 5,965
7.250% due 02/25/2028 57,846 55,542
6.750% due 06/25/2028 15,103 13,461
6.750% due 08/25/2028 10,024 9,945
6.750% due 11/25/2028 3,000 2,803
6.500% due 01/25/2029 24,978 23,306
6.500% due 03/25/2029 21,744 20,032
6.050% due 04/25/2029 1,337 1,320
7.250% due 08/25/2029 5,700 5,381
7.750% due 08/31/2030 29,310 27,761
Crusade Global Trust
7.010% due 05/15/2021 (d) 100,000 100,250
CS First Boston Mortgage Securities Corp.
6.750% due 12/27/2028 12,607 10,467
6.960% due 06/20/2029 124 124
DLJ Commercial Mortgage Corp.
6.880% due 05/05/2003 (d) 31,164 31,183
DLJ Mortgage Acceptance Corp.
8.670% due 05/25/2024 (d) 107 109
6.850% due 12/17/2027 6,605 6,585
Donaldson, Lufkin & Jenrette, Inc.
6.450% due 08/01/2021 (d)(l) 3,985 4,256
8.410% due 12/25/2022 (d) 1,593 1,614
8.580% due 03/25/2024 (d) 460 468
Drexel Mortgage Funding
9.500% due 11/20/2017 622 626
DVI Business Credit Receivable
6.460% due 10/15/2003 (d) 3,850 3,891
FBS Mortgage Corp.
7.140% due 11/25/2024 364 363
Federal Home Loan Mortgage Corp.
8.000% due 03/15/2002 103 103
6.750% due 10/15/2003 14,399 14,364
7.000% due 10/15/2003 3,497 3,498
7.500% due 11/01/2003 4,476 4,513
7.000% due 12/15/2003 89 89
10.150% due 04/15/2006 8 8
6.500% due 07/15/2006 7,832 7,799
6.500% due 08/15/2006 523 520
6.770% due 03/12/2007 400 403
7.500% due 05/01/2007 1,345 1,363
5.500% due 10/15/2007 4,494 4,450
6.500% due 05/15/2008 1,000 993
3.050% due 06/15/2008 (d) 157 144
7.000% due 08/15/2008 3,353 361
6.000% due 11/15/2008 225 218
6.200% due 12/15/2008 4,487 4,164
6.000% due 03/15/2009 265 258
7.550% due 03/15/2012 180 181
8.500% due 08/15/2013 2,000 2,051
8.500% due 09/15/2013 5,941 6,066
6.000% due 11/15/2014 400 360
5.400% due 05/25/2016 1,675 1,664
6.250% due 10/15/2017 16,572 16,466
5.900% due 03/15/2018 3,420 3,399
6.350% due 03/25/2018 179 177
5.250% due 05/15/2018 156 155
10.000% due 08/01/2018 57 60
6.500% due 10/15/2018 480 19
6.400% due 02/15/2019 13,420 13,329
6.500% due 05/15/2019 173 172
5.800% due 06/15/2019 5,032 5,004
6.250% due 07/15/2019 18,216 18,086
5.000% due 08/15/2019 85 84
7.500% due 01/15/2020 2,676 2,671
7.080% due 06/15/2020 (d) 88 88
5.250% due 07/15/2020 304 299
5.500% due 10/15/2020 55 54
9.500% due 11/15/2020 3,189 3,366
9.000% due 12/15/2020 795 822
8.750% due 12/15/2020 1,265 1,295
6.000% due 12/15/2020 252 242
9.000% due 12/15/2020 1,602 1,653
9.500% due 01/15/2021 1,955 2,056
6.250% due 01/15/2021 200 196
8.000% due 04/15/2021 89 91
6.500% due 05/15/2021 104 103
6.500% due 05/17/2021 57 55
8.500% due 06/15/2021 24,203 24,926
6.950% due 07/15/2021 439 441
9.000% due 07/15/2021 1,969 2,051
9.500% due 07/15/2021 1,203 1,310
8.000% due 07/15/2021 9,502 9,533
6.200% due 08/15/2021 1,158 1,148
6.950% due 08/15/2021 157 154
98 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------
8.000% due 08/15/2021 $ 23,472 $ 23,808
7.000% due 09/15/2021 274 272
6.500% due 09/15/2021 29,896 29,579
7.000% due 10/15/2021 9 9
8.000% due 12/15/2021 18,405 18,931
6.850% due 01/15/2022 700 692
8.250% due 06/15/2022 5,000 5,101
7.000% due 07/15/2022 9,380 9,144
8.500% due 10/15/2022 7,029 7,303
7.500% due 01/15/2023 17,740 17,313
7.000% due 05/15/2023 10,499 9,810
7.000% due 07/15/2023 270 246
7.500% due 07/15/2023 395 399
6.500% due 07/15/2023 272 266
6.500% due 08/15/2023 141,607 140,328
6.850% due 10/25/2023 3,059 2,992
6.500% due 11/15/2023 135 117
7.500% due 01/20/2024 103 103
5.000% due 02/15/2024 116 97
6.500% due 02/15/2024 21 21
6.500% due 03/15/2024 320 283
8.000% due 04/25/2024 475 484
6.250% due 05/15/2024 13,357 11,838
7.250% due 08/15/2024 190 190
8.000% due 09/15/2024 16,250 16,398
7.500% due 02/15/2025 3,620 3,639
7.000% due 09/17/2025 40 39
6.500% due 03/15/2026 110 104
8.020% due 10/01/2026 (d) 2,926 2,985
6.000% due 11/15/2026 550 510
7.500% due 01/15/2027 25,182 24,035
7.000% due 01/15/2027 61 61
8.000% due 02/15/2027 34,599 34,657
7.500% due 03/17/2027 20,000 19,806
6.750% due 05/15/2027 824 819
7.500% due 06/20/2027 19,568 18,783
6.500% due 08/15/2027 15,642 12,949
6.500% due 10/15/2027 32,300 29,407
6.000% due 11/15/2027 665 616
6.500% due 01/25/2028 8,691 7,893
7.000% due 02/15/2028 1,593 1,520
6.500% due 04/15/2028 158,188 144,424
6.500% due 05/15/2028 48,000 43,284
6.500% due 06/15/2028 61,318 51,465
6.500% due 06/20/2028 23,392 19,621
6.500% due 07/15/2028 70,438 58,390
6.500% due 08/15/2028 275,986 229,683
7.000% due 11/15/2028 9,000 8,570
6.500% due 12/15/2028 7,057 5,506
6.000% due 12/15/2028 23,099 18,817
6.250% due 12/15/2028 1,673 1,376
6.500% due 01/15/2029 10,411 9,614
6.000% due 02/15/2029 3,873 2,877
6.500% due 03/15/2029 25,864 22,421
6.500% due 06/01/2029 106 102
6.500% due 07/01/2029 1,084 1,043
8.000% due 07/15/2029 1,250 1,222
7.500% due 08/15/2030 201 192
7.000% due 09/15/2030 (d) 18,100 15,280
7.120% due 09/30/2030 15,200 15,053
7.500% due 10/15/2030 27,350 25,991
6.500% due 08/15/2032 (d) 26,172 25,687
Federal National Mortgage Assn.
9.100% due 02/25/2002 194 193
7.500% due 05/25/2005 6,700 6,757
7.500% due 02/25/2006 375 377
6.500% due 05/01/2006 142 141
6.500% due 07/25/2006 50 50
8.000% due 11/25/2006 30 30
6.350% due 12/25/2006 8 8
6.000% due 07/25/2007 300 296
5.580% due 08/25/2007 (d) 10 9
6.740% due 08/25/2007 145 142
6.270% due 09/25/2007 3,000 2,852
7.000% due 10/25/2007 200 200
6.500% due 05/25/2008 500 497
10.500% due 08/25/2008 7,146 7,851
6.000% due 08/25/2008 69 68
7.450% due 09/25/2008 (d) 1,606 1,463
6.750% due 11/25/2010 886 881
7.000% due 01/25/2011 100 99
6.000% due 03/18/2015 11,217 11,128
8.000% due 12/25/2016 181 183
9.250% due 04/25/2018 173 182
9.300% due 05/25/2018 672 699
9.500% due 06/25/2018 564 589
7.210% due 06/25/2018 (d) 3 3
9.500% due 11/25/2018 6,998 7,155
6.000% due 02/25/2019 4,242 4,195
6.500% due 03/25/2019 885 872
9.500% due 06/25/2019 1,339 1,400
5.650% due 07/25/2019 457 454
9.300% due 08/25/2019 73 77
6.350% due 08/25/2019 207 205
8.000% due 10/25/2019 620 618
9.000% due 12/25/2019 5,985 6,159
7.500% due 12/25/2019 74 73
7.500% due 05/25/2020 3,225 3,241
6.750% due 06/25/2020 248 247
7.080% due 07/18/2020 (d) 46 46
7.000% due 07/25/2020 327 326
9.000% due 09/25/2020 3,338 3,452
7.000% due 09/25/2020 12,693 12,648
6.500% due 09/25/2020 1,367 1,355
5.000% due 09/25/2020 200 190
8.000% due 12/25/2020 26,225 26,782
7.160% due 12/25/2020 (d) 10 10
8.750% due 01/25/2021 3,151 3,232
9.000% due 01/25/2021 5,264 5,483
5.750% due 02/18/2021 100 96
7.500% due 03/25/2021 2,159 2,150
9.000% due 03/25/2021 459 473
7.000% due 05/25/2021 300 293
7.500% due 06/25/2021 46 46
6.500% due 06/25/2021 6,096 5,834
8.000% due 07/25/2021 14,905 15,091
8.500% due 09/25/2021 5,376 5,544
7.000% due 10/25/2021 9,317 9,113
8.000% due 10/25/2021 22,645 22,940
7.000% due 11/25/2021 23,206 23,031
6.000% due 12/25/2021 34 34
4.000% due 01/25/2022 126 113
8.000% due 01/25/2022 21,700 21,968
8.000% due 03/25/2022 72 72
7.000% due 04/25/2022 17,091 16,299
5.000% due 04/25/2022 48 44
10.000% due 05/01/2022 133 141
7.380% due 05/25/2022 9,227 9,100
7.000% due 06/25/2022 1,276 1,249
8.000% due 06/25/2022 3,861 3,915
8.000% due 07/25/2022 60,892 61,455
7.000% due 07/25/2022 5,582 5,516
6.500% due 10/25/2022 4,048 3,672
7.800% due 10/25/2022 3,328 3,325
6.500% due 12/25/2022 195 192
7.000% due 03/25/2023 28,890 27,361
6.500% due 05/18/2023 10,717 10,601
6.900% due 05/25/2023 159 142
7.000% due 06/25/2023 5,258 4,769
6.000% due 08/25/2023 2,703 2,529
6.500% due 08/25/2023 35 34
6.000% due 08/25/2023 11,122 9,496
1.000% due 09/25/2023 226 204
6.750% due 09/25/2023 3,971 3,558
6.750% due 10/25/2023 597 512
7.500% due 10/25/2023 50 51
6.500% due 11/25/2023 85 83
6.500% due 12/25/2023 1,317 1,145
7.100% due 12/25/2023 6,769 6,465
6.500% due 01/25/2024 2,656 2,386
See accompanying notes 99
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
7.250% due 02/25/2024 $ 17 $ 17
6.500% due 02/25/2024 5,150 4,794
7.500% due 06/20/2024 106 107
6.500% due 08/17/2024 17,000 16,096
7.000% due 02/18/2025 121 121
6.600% due 05/18/2025 219 212
7.500% due 11/17/2025 289 286
7.500% due 12/25/2025 360 354
7.000% due 02/15/2026 180 178
7.000% due 07/18/2026 450 433
6.500% due 09/18/2026 120 114
7.000% due 12/18/2026 16,310 15,014
6.000% due 12/25/2026 170 157
6.000% due 03/25/2027 320 295
6.000% due 05/17/2027 5,470 4,756
6.500% due 07/18/2027 173 148
7.000% due 07/18/2027 460 446
8.000% due 08/18/2027 286 79
7.500% due 08/20/2027 2,503 2,398
6.890% due 02/01/2028 (d) 1,292 1,328
7.020% due 04/18/2028 (d) 3,211 3,216
6.500% due 06/25/2028 4,700 4,325
6.500% due 07/18/2028 67,412 60,818
6.000% due 07/18/2028 8,649 6,778
9.100% due 09/25/2028 20,532 22,196
6.250% due 02/25/2029 500 429
6.000% due 04/25/2029 10,809 7,804
7.120% due 08/25/2030 (d) 94,976 94,925
7.070% due 09/01/2030 (d) 85,000 84,920
6.300% due 10/17/2038 15,471 13,551
First Commonwealth Savings & Loan
10.380% due 04/01/2005 16 17
First Nationwide Trust
6.500% due 03/25/2029 4,400 4,128
6.750% due 07/25/2029 5,498 5,462
7.750% due 09/19/2030 6,000 5,544
First Union Residential Securitization, Inc.
7.000% due 04/25/2025 356 346
6.750% due 08/25/2028 9,048 8,047
Gaston Oaks PLC
6.930% due 01/01/2036 4,922 4,871
General Electric Capital Mortgage Services, Inc.
6.000% due 01/25/2009 1,148 1,140
6.750% due 12/25/2012 2,498 2,479
6.500% due 09/25/2023 1,175 1,019
6.500% due 12/25/2023 8,631 7,454
6.500% due 01/25/2024 3,895 3,339
6.500% due 02/25/2024 1 1
6.500% due 03/25/2024 66,953 61,533
6.500% due 04/25/2024 66,640 55,826
7.250% due 05/25/2026 3,780 3,663
7.500% due 06/25/2027 21,893 21,707
7.500% due 07/25/2027 10,129 9,926
7.000% due 10/25/2027 14,502 13,726
7.000% due 11/25/2027 72,500 69,853
6.650% due 05/25/2028 6,902 6,833
6.750% due 05/25/2028 23,934 21,974
6.750% due 06/25/2028 20,517 19,333
6.550% due 06/25/2028 23,450 22,829
6.600% due 06/25/2028 7,106 7,045
6.750% due 06/25/2028 1,314 1,304
6.750% due 10/25/2028 9,311 8,785
6.250% due 12/25/2028 54,952 49,910
6.500% due 12/25/2028 19,500 18,009
6.500% due 05/25/2029 9,858 9,075
6.750% due 05/25/2029 20,000 18,531
6.500% due 07/25/2029 95,240 87,417
5.950% due 07/25/2029 24,794 24,466
6.000% due 07/25/2029 23,507 23,065
6.250% due 07/25/2029 132,674 128,277
7.250% due 08/25/2029 8,000 7,606
7.000% due 09/25/2029 15,957 15,013
General Motors Acceptance Corp.
6.920% due 07/20/2002 (d) 3,287 3,287
6.700% due 03/15/2008 29,732 28,905
GGP-Homart
7.040% due 06/10/2003 (d) 19,600 19,643
GMAC Commercial Mortgage Securities, Inc.
6.150% due 11/15/2007 264 256
6.970% due 05/15/2008 28,427 28,360
6.570% due 09/15/2033 30,119 29,617
6.950% due 09/15/2033 25,060 24,703
GMAC Mortgage Corporation Loan Trust
7.500% due 05/25/2030 12,000 11,895
Goldman Sachs Mortgage Corp.
6.000% due 12/31/2007 (l) 8,635 8,030
Government National Mortgage Association
6.250% due 06/20/2022 43,622 43,216
7.220% due 06/20/2023 (d) 48,214 48,122
7.250% due 12/16/2023 7,444 7,468
7.000% due 01/15/2024 414 409
8.000% due 05/16/2024 73 73
7.000% due 03/20/2026 320 310
7.000% due 08/20/2026 114 111
7.500% due 02/16/2027 1 1
7.500% due 07/16/2027 29,918 28,903
7.000% due 12/20/2027 18,416 17,479
6.500% due 06/20/2028 30,965 25,382
6.500% due 07/20/2028 39,127 31,695
6.500% due 09/20/2028 28,461 23,948
6.500% due 01/20/2029 27,852 23,106
6.500% due 03/20/2029 16,259 14,914
8.000% due 03/20/2029 7,151 7,305
6.000% due 05/20/2029 10,831 8,518
7.500% due 01/20/2030 315 310
7.500% due 09/20/2030 5,000 4,774
7.130% due 09/20/2030 (d) 13,800 13,797
7.070% due 10/30/2030 58,500 58,518
Greenwich
7.980% due 04/25/2022 (d) 425 424
7.810% due 07/25/2022 (d) 109 108
8.150% due 10/25/2022 (d) 55 55
8.190% due 04/25/2023 (d) 918 915
8.780% due 04/25/2024 (d) 848 858
8.860% due 06/25/2024 (d) 493 500
9.690% due 08/25/2024 (d) 914 923
9.480% due 11/25/2024 (d) 195 195
GS Mortgage Securities Corp.
6.060% due 10/18/2030 0 0
Harborview Mortgage Loan Trust
7.470% due 08/19/2030 22,975 23,176
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2012 2,043 2,043
7.160% due 12/25/2012 775 773
7.250% due 11/25/2027 18,456 18,260
7.000% due 02/25/2028 560 557
ICI Funding Corp. Secured Assets Corp.
7.250% due 09/25/2027 18,068 17,744
7.750% due 03/25/2028 1,868 1,819
Impac CMB Trust
6.870% due 07/25/2028 (d) 1,061 1,062
Impac Secured Assets CMN Owner Trust
7.320% due 10/25/2030 (d) 62,000 62,000
Imperial CMB Trust
6.950% due 09/25/2026 (d) 6,035 6,039
6.650% due 11/25/2029 1,063 1,055
Independent National Mortgage Corp.
6.650% due 10/25/2024 2,723 2,633
9.140% due 11/25/2024 (d) 5 5
8.560% due 11/25/2024 (d) 1,140 1,155
8.750% due 12/25/2024 30 31
9.070% due 01/25/2025 (d) 107 109
8.000% due 06/25/2025 7 7
8.230% due 07/25/2025 (d) 6,762 6,821
7.500% due 09/25/2025 782 780
International Mortgage Acceptance Corp.
12.250% due 03/01/2014 255 291
J.P. Morgan Commercial Mortgage Finance Corp.
8.230% due 02/25/2028 1,615 1,617
6.530% due 01/15/2030 20,000 19,545
100 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
Kidder Peabody Acceptance Corp.
8.310% due 09/25/2024 (d) $ 7,392 $ 7,417
LB Mortgage Trust
8.400% due 01/20/2017 38,879 40,339
Mellon Residential Funding Corp.
6.500% due 02/25/2028 10,000 8,663
6.350% due 06/25/2028 22,000 21,585
6.110% due 01/25/2029 23,900 22,922
6.570% due 07/25/2029 44,000 42,688
6.580% due 07/25/2029 55,500 54,805
6.460% due 07/25/2029 6,631 6,602
Merrill Lynch Mortgage Investors, Inc.
7.000% due 06/15/2021 2,182 2,187
7.150% due 06/15/2021 (d) 4,694 4,617
7.410% due 06/15/2021 (d) 4,404 4,340
6.950% due 06/18/2029 36,420 36,421
Midland Realty Acceptance Corp.
7.020% due 01/25/2029 19,667 19,552
MLCC Mortgage Investors, Inc.
6.870% due 09/15/2026 (d) 18,580 18,556
Morgan Stanley Capital
6.860% due 05/15/2006 2,041 2,037
6.190% due 01/15/2007 20,866 20,449
6.160% due 04/03/2009 13,464 13,058
7.460% due 02/15/2020 11,450 11,640
6.590% due 10/03/2030 6,612 6,546
Morgan Stanley, Dean Witter, Discover and Co.
6.850% due 07/25/2027 (d) 677 673
Mortgage Capital Funding, Inc.
7.800% due 04/15/2006 500 510
7.010% due 09/20/2006 15,545 15,399
7.600% due 05/25/2027 12,959 13,133
NationsBanc Montgomery Funding Corp.
6.750% due 06/25/2028 10,000 9,419
6.500% due 07/25/2028 14,470 13,325
6.750% due 08/25/2028 20,009 18,191
6.250% due 10/25/2028 2,000 1,804
Nationslink Funding Corp.
5.810% due 02/10/2001 14,502 14,444
6.330% due 10/22/2004 6,542 6,447
6.650% due 02/10/2006 12,124 11,968
6.970% due 04/10/2007 (d) 7,417 7,419
Nomura Asset Securities Corp.
8.490% due 05/25/2024 (d) 1,701 1,743
Norwest Asset Securities Corp.
6.750% due 12/25/2012 16,624 16,427
6.500% due 06/25/2013 3,129 3,059
7.500% due 03/25/2027 1,943 1,938
6.750% due 09/25/2027 2,957 2,899
6.350% due 04/25/2028 1,747 1,733
6.750% due 05/25/2028 5,000 4,587
6.250% due 08/25/2028 4,355 4,307
6.250% due 09/25/2028 418 377
6.750% due 10/25/2028 18,215 17,208
6.500% due 12/25/2028 20,000 18,448
6.500% due 01/25/2029 373 279
6.500% due 02/25/2029 67,312 62,208
6.500% due 04/25/2029 26,751 24,622
6.300% due 04/25/2029 8,082 7,847
6.200% due 04/25/2029 77,385 74,553
5.950% due 04/25/2029 111,948 108,611
6.000% due 05/25/2029 19,713 19,332
6.250% due 05/25/2029 504 485
6.500% due 06/25/2029 46,178 42,395
6.750% due 08/25/2029 1,267 1,255
7.000% due 09/25/2029 3,451 2,888
6.500% due 10/25/2029 1,980 1,824
7.000% due 11/25/2029 14,870 14,238
7.250% due 02/25/2030 19,756 18,206
PaineWebber Mortgage
6.000% due 04/25/2009 11,951 11,435
PHH Mortgage Services Corp.
7.180% due 11/18/2027 956 911
PNC Mortgage Securities Corp.
6.750% due 06/25/2016 10,346 10,242
7.000% due 10/25/2027 36,034 34,747
6.750% due 12/25/2027 7,230 6,507
6.990% due 02/25/2028 9,574 9,358
6.500% due 02/25/2028 1,221 1,213
7.000% due 02/25/2028 25,604 24,686
6.630% due 03/25/2028 1,750 1,723
7.000% due 05/25/2028 6,422 6,373
6.550% due 07/25/2028 24,500 24,240
6.750% due 07/25/2028 3,527 3,326
6.750% due 09/25/2028 3,996 3,766
6.750% due 10/25/2028 26,133 24,476
6.750% due 12/25/2028 21,709 20,402
6.500% due 01/25/2029 999 922
6.250% due 01/25/2029 9,263 8,352
6.300% due 03/25/2029 10,000 9,051
6.500% due 06/25/2029 48,600 44,628
6.200% due 06/25/2029 50,581 49,496
7.750% due 07/25/2030 78,448 78,300
7.500% due 09/29/2030 500 501
Potomac Gurnee Finance Corp.
6.890% due 12/21/2026 47 46
Prudential Bache
6.710% due 09/01/2018 (d) 215 212
8.400% due 03/20/2021 5,974 6,120
Prudential Home Mortgage Securities
7.000% due 01/25/2008 23,860 23,644
6.750% due 08/25/2008 414 412
6.400% due 04/25/2009 697 692
6.950% due 11/25/2022 222 204
7.000% due 07/25/2023 11,428 11,321
6.750% due 10/25/2023 9,611 7,958
5.900% due 12/25/2023 5,036 4,965
6.050% due 04/25/2024 2,546 2,520
6.800% due 05/25/2024 10,970 9,175
6.450% due 11/25/2025 5,264 4,584
Prudential Securities Secured Financing
Corp.
6.070% due 01/15/2008 12,480 12,061
6.960% due 06/15/2008 20,592 20,555
PSB Financial Corp.
11.050% due 12/01/2015 440 448
Resecuritization Mortgage Trust
6.750% due 06/19/2028 18,235 17,146
Residential Accredit Loans, Inc.
7.450% due 04/25/2023 960 956
7.500% due 08/25/2027 15,000 14,866
6.500% due 02/25/2028 20,616 20,459
7.000% due 02/25/2028 41,115 39,716
6.500% due 12/25/2028 400 369
6.500% due 05/25/2029 3,000 2,765
6.750% due 06/25/2029 1,576 1,543
7.000% due 07/25/2029 468 462
7.750% due 03/25/2030 4,389 4,418
Residential Asset Securitization Trust
7.000% due 03/25/2027 10 10
7.380% due 03/25/2027 5,142 5,026
7.000% due 10/25/2027 19,541 19,097
7.000% due 01/25/2028 20,000 18,906
6.750% due 06/25/2028 14,914 14,701
6.500% due 12/25/2028 1,250 1,132
6.500% due 03/25/2029 22,700 21,416
7.320% due 09/25/2030 (d) 16,648 16,768
Residential Funding Mortgage Securities, Inc.
7.000% due 08/25/2008 5,237 5,215
7.500% due 09/25/2011 14,406 14,493
7.000% due 05/25/2012 3,095 3,050
6.500% due 12/25/2012 21,417 20,597
7.750% due 09/25/2022 417 418
8.000% due 01/25/2023 2,725 2,745
8.000% due 02/25/2023 9,675 9,764
6.500% due 11/25/2023 1,660 1,504
6.000% due 03/25/2024 1,418 1,408
7.500% due 09/25/2025 11,897 11,899
7.500% due 12/25/2025 944 947
See accompanying notes 101
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
7.750% due 11/25/2026 $ 9,000 $ 9,122
7.500% due 04/25/2027 6,217 6,160
7.500% due 06/25/2027 53,035 52,584
7.500% due 07/25/2027 25,265 25,405
7.250% due 08/25/2027 16,000 15,602
7.250% due 10/25/2027 42,033 40,796
7.000% due 11/25/2027 17,000 16,291
6.750% due 02/25/2028 12,742 12,486
6.750% due 05/25/2028 60,741 56,513
6.750% due 06/25/2028 69,960 65,112
6.750% due 07/25/2028 9,000 8,471
6.750% due 08/25/2028 10,000 9,347
6.750% due 09/25/2028 66,493 62,546
6.500% due 10/25/2028 52,000 47,981
6.250% due 11/25/2028 3,000 2,716
6.500% due 12/25/2028 23,400 21,578
6.500% due 01/25/2029 72,314 66,473
6.500% due 03/25/2029 6,980 6,500
6.200% due 05/25/2029 66,252 65,527
6.500% due 06/25/2029 11,335 8,559
6.750% due 07/25/2029 22,600 21,152
7.000% due 10/25/2029 25,260 24,140
7.500% due 11/25/2029 12,338 11,890
Resolution Trust Corp.
8.690% due 08/25/2021 6,609 6,582
8.140% due 10/25/2021 (d) 142 141
5.570% due 10/25/2021 (d) 133 130
8.630% due 10/25/2021 129 129
8.710% due 05/25/2022 (d) 1,356 1,329
8.630% due 08/25/2023 (d) 1,850 1,853
8.840% due 12/25/2023 3,300 3,372
9.450% due 05/25/2024 1,431 1,425
8.000% due 04/25/2025 167 161
8.000% due 06/25/2026 253 248
8.170% due 10/25/2028 (d) 5,276 5,399
7.420% due 10/25/2028 (d) 13,604 13,501
7.510% due 05/25/2029 (d) 2,670 2,675
7.030% due 05/25/2029 (d) 2,631 2,588
RMF Commercial Mortgage Securities, Inc.
6.720% due 01/15/2019 235 229
Ryan Mortgage Acceptance Corp.
9.450% due 10/01/2016 78 81
Ryland Acceptance Corp.
11.500% due 12/25/2016 84 90
8.200% due 09/25/2022 17 17
Ryland Mortgage Securities Corp.
8.200% due 06/25/2021 35 35
8.430% due 08/25/2022 (d) 1,803 1,810
8.020% due 08/25/2029 (d) 2,089 2,101
7.240% due 10/25/2031 (d) 3,035 3,018
Salomon Brothers Mortgage Securities
9.110% due 07/01/2024 (d) 4,110 4,135
6.960% due 04/25/2029 (d) 21,863 21,881
7.000% due 04/25/2029 (d) 7,709 7,701
6.920% due 06/25/2029 (d) 40,316 40,319
7.020% due 09/25/2029 (d) 398 400
Salomon Smith Barney Holdings, Inc.
6.630% due 07/01/2002 55 55
Santa Barbara Savings
9.500% due 11/20/2018 2,032 2,058
Saxon Mortgage
6.250% due 04/25/2009 3,169 3,136
6.500% due 02/25/2024 1,820 1,795
9.070% due 09/25/2024 (d) 3,159 3,187
Sears Mortgage Securities
6.280% due 12/25/2028 281 274
Securitized Asset Sales, Inc.
8.500% due 10/25/2023 (d) 1,375 1,370
8.510% due 12/26/2023 (d) 745 753
7.410% due 09/25/2024 (d) 9,900 9,944
Security Pacific National Bank
6.380% due 03/25/2018 (d) 86 83
Sequoia Mortgage Trust
6.350% due 09/25/2025 (d) 6,000 5,847
Small Business Investment Co.
7.540% due 08/10/2009 75,600 77,349
8.020% due 02/10/2010 102,039 107,158
7.640% due 03/10/2010 69,731 71,581
7.450% due 09/01/2010 15,860 15,884
Southern Pacific Secured Assets Corp.
6.790% due 07/25/2029 (d) 39,853 39,621
Starwood Commercial Mortgage
6.600% due 02/03/2009 11,556 11,404
Structured Asset Mortgage Investments, Inc.
6.750% due 03/25/2028 22,519 21,209
6.910% due 06/25/2028 (d) 37,724 36,711
6.250% due 11/25/2028 14,878 13,452
6.750% due 01/25/2029 10,000 9,395
6.300% due 05/25/2029 18,419 17,976
6.580% due 06/25/2029 (d) 30,039 28,797
7.250% due 07/25/2029 23,718 23,660
7.230% due 02/25/2030 955 939
Structured Asset Notes Transactions Ltd.
6.650% due 08/30/2005 18,771 18,114
Structured Asset Securities Corp.
7.000% due 12/25/2027 51,500 48,812
Superannuation Members Home Loans Global Fund
7.020% due 06/15/2026 (d) 19,900 19,894
TMA Mortgage Funding Trust
7.000% due 01/25/2029 (d) 28,816 28,816
Union Planters Mortgage Finance Corp.
6.750% due 01/25/2028 4,000 3,668
6.800% due 01/25/2028 15,000 14,498
Vendee Mortgage Trust
7.750% due 03/15/2016 104 103
7.500% due 08/15/2017 333 334
7.750% due 05/15/2018 550 555
6.500% due 05/15/2020 28,750 27,199
6.830% due 01/15/2030 16,470 16,111
Washington Mutual
6.780% due 07/26/2003 (d) 155,246 155,199
Western Federal Savings & Loan
7.930% due 06/25/2021 (d) 3,229 3,229
-----------
7,986,226
===========
Federal Home Loan Mortgage Corporation 2.4%
5.000% due 10/15/2020 1,000 958
5.500% due 04/01/2001-10/14/2029 (k) 3,113 2,863
5.750% due 08/15/2020 300 295
5.900% due 12/01/2026 (d) 5,871 5,751
6.000% due 12/01/2000-10/16/2030 (k) 282,314 264,740
6.500% due 07/01/2001-05/01/2029 (k) 167,130 155,382
6.540% due 11/01/2026 (d) 6,846 6,831
6.720% due 11/01/2028 (d) 23,564 23,205
6.750% due 01/17/2025 8,349 8,304
6.780% due 11/01/2003 68 67
6.930% due 07/01/2025 (d) 6,508 6,588
7.000% due 10/01/2002-11/12/2030 (k) 113,851 111,878
7.280% due 09/01/2027 (d) 2,796 2,782
7.370% due 10/01/2023 (d) 881 900
7.390% due 10/01/2023 (d) 1,546 1,579
7.400% due 10/25/2023 (d) 14,975 15,449
7.500% due 09/01/2001-02/01/2030 (d)(k) 13,182 13,303
7.630% due 06/01/2017-01/01/2019 (d)(k) 26 27
7.650% due 05/01/2025 2,390 2,450
7.670% due 04/01/2029 (d) 1,266 1,302
7.750% due 04/01/2007-04/01/2017 (d)(k) 50 49
7.790% due 04/01/2024 (d) 6,520 6,679
7.810% due 07/01/2030 (d) 140,578 141,539
7.820% due 08/01/2023 (d) 8,540 8,764
7.890% due 08/01/2023-01/01/2024 (d)(k) 414 426
7.910% due 06/01/2024 (d) 1,025 1,051
8.000% due 01/01/2002-09/01/2018 (k) 2,854 2,883
8.040% due 07/01/2024 (d) 1,429 1,464
8.190% due 09/01/2023 (d) 1,499 1,518
8.250% due 08/01/2007-05/01/2023 (d)(k) 1,778 1,804
8.260% due 07/01/2022 (d) 937 960
8.320% due 09/01/2023 (d) 9,655 9,896
8.330% due 04/01/2023 (d) 440 448
8.340% due 07/01/2023 (d) 521 530
102 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
8.360% due 10/01/2023 (d) $ 438 $ 445
8.420% due 05/01/2023-08/01/2023 (d)(k) 5,971 6,126
8.450% due 08/01/2023-11/01/2023 (d)(k) 2,537 2,601
8.480% due 11/01/2023 (d) 143 142
8.500% due 09/01/2001-11/01/2024 (k) 5,047 5,181
8.510% due 10/01/2023 (d) 1,429 1,469
8.520% due 05/01/2027 (d) 634 652
8.580% due 09/01/2023 (d) 2,307 2,376
8.610% due 08/01/2024 (d) 207 213
8.630% due 08/01/2023 (d) 390 393
8.690% due 11/01/2023 (d) 344 346
8.750% due 02/01/2001-12/01/2010 (k) 107 107
8.900% due 11/15/2020 11,207 11,674
9.000% due 01/01/2002-09/15/2020 (k) 532 547
9.250% due 06/01/2009-11/01/2013 (k) 99 100
9.500% due 08/01/2001-12/01/2022 (k) 1,234 1,283
9.750% due 03/01/2001-05/01/2009 (k) 45 46
10.000% due 06/01/2004-03/01/2021 (k) 930 971
10.100% due 09/01/2016 241 256
10.250% due 03/15/2009-05/01/2009 (k) 1,091 1,159
10.500% due 10/01/2017-01/01/2021 (k) 376 403
11.000% due 11/01/2009-05/01/2020 (k) 639 684
11.250% due 10/01/2009-09/01/2015 (k) 92 100
11.500% due 01/01/2018 72 79
12.500% due 12/01/2012 16 18
13.250% due 10/01/2013 79 89
14.000% due 04/01/2016 19 21
15.500% due 08/01/2011-11/01/2011 (k) 13 15
16.250% due 05/01/2011 3 3
------------
840,164
============
Federal Housing Administration 1.4%
6.000% due 03/20/2028 1,739 1,629
6.500% due 02/15/2001-03/01/2040 (k) 5,956 5,802
6.630% due 05/28/2039-07/01/2040 (k) 3,091 2,905
6.750% due 07/15/2001 2,706 2,595
6.760% due 06/25/2039-03/01/2041 (k) 16,214 15,032
6.780% due 07/25/2040 7,653 7,333
6.790% due 05/01/2039 10,902 10,677
6.830% due 12/01/2039 3,497 3,316
6.880% due 11/01/2015-02/01/2041 (k) 24,874 23,656
6.900% due 07/01/2020-12/01/2040 (k) 47,399 45,466
6.930% due 07/01/2014-01/01/2036 (k) 17,075 16,620
7.000% due 11/15/2040 174 167
7.050% due 03/25/2040 4,516 4,359
7.130% due 03/01/2034 4,411 4,322
7.210% due 12/01/2021 2,700 2,691
7.250% due 06/01/2040 8,304 8,067
7.310% due 06/01/2041 23,567 22,800
7.320% due 05/01/2019-08/01/2019 (k) 37,511 36,697
7.350% due 11/01/2022 6,028 5,985
7.380% due 02/01/2018-01/01/2024 (k) 16,589 16,446
7.400% due 02/01/2021 2,191 2,187
7.430% due 12/01/2016-05/01/2025 (k) 116,022 115,566
7.450% due 12/01/2021 11,589 11,578
7.470% due 11/01/2019 29,797 29,742
7.500% due 03/01/2032-09/30/2039 (k) 6,672 6,569
7.580% due 04/01/2040-12/01/2040 (k) 7,616 7,507
7.630% due 08/01/2041 17,747 17,552
7.650% due 11/01/2018-11/01/2040 (k) 7,559 7,519
7.700% due 03/15/2041 2,720 2,697
7.750% due 11/15/2039 3,100 3,073
7.880% due 12/01/2039-03/01/2041 (k) 13,423 13,479
7.930% due 05/01/2016 1,903 1,906
8.250% due 10/29/2023-01/01/2041 (k) 9,512 9,675
8.380% due 11/01/2012 255 260
8.630% due 08/15/2030 34,293 35,457
------------
501,332
============
Federal National Mortgage Association 4.4%
4.750% due 11/14/2003 250 238
5.000% due 12/25/2021-04/18/2027 (k) 2,000 1,823
5.500% due 03/01/2013-12/01/2028 (k) 20,616 18,641
5.920% due 11/01/2035 (d) 0 0
6.000% due 12/01/2000-10/16/2030 (k) 377,190 352,973
6.090% due 12/01/2008 49 47
6.180% due 04/01/2027 (d) 110 109
6.250% due 07/25/2007 83 83
6.280% due 09/01/2029 (d) 608 583
6.340% due 09/01/2017-09/01/2024 (d)(k) 6,014 5,883
6.390% due 05/25/2036 29,534 25,210
6.420% due 12/01/2007 150 146
6.450% due 09/25/2016 3,380 3,355
6.500% due 04/01/2003-06/17/2038 (k) 60,401 55,193
6.580% due 04/01/2026 (d) 1,111 1,105
6.600% due 12/01/2003-09/25/2018 (k) 1,993 1,980
6.630% due 12/01/2027 (d) 8,174 8,137
6.690% due 08/01/2027 (d) 39,409 39,604
6.750% due 08/01/2003 223 222
6.840% due 07/01/2003 62 61
6.920% due 10/01/2027 (d) 4,427 4,442
6.950% due 03/25/2026 273 271
7.000% due 07/01/2001-10/16/2030 (k) 550,197 539,989
7.250% due 05/01/2002-01/01/2023 (k) 10,183 10,064
7.350% due 09/01/2027 (d) 1,815 1,849
7.410% due 11/01/2023 (d) 881 901
7.450% due 11/01/2023 (d) 166 170
7.470% due 12/01/2023 (d) 166 169
7.480% due 01/01/2024-07/01/2030 (d)(k) 2,742 2,777
7.500% due 10/01/2002-05/01/2030 (k) 14,581 14,678
7.540% due 10/01/2023 (d) 345 355
7.550% due 05/01/2023 (d) 2,224 2,238
7.560% due 12/01/2023 (d) 882 898
7.570% due 01/01/2024 (d) 395 405
7.630% due 09/01/2022 (d) 958 978
7.660% due 02/01/2026 (d) 550 565
7.680% due 12/01/2023 (d) 1,052 1,089
7.690% due 01/01/2024 (d) 431 441
7.700% due 03/01/2025 (d) 2,940 3,026
7.730% due 11/01/2025 (d) 2,003 2,058
7.750% due 06/01/2009-01/01/2026 (d)(k) 1,448 1,485
7.780% due 01/01/2018 2,239 2,377
7.790% due 09/01/2023-08/01/2027 (d)(k) 3,947 4,053
7.810% due 11/01/2025 (d) 1,236 1,270
7.850% due 07/01/2018-01/01/2024 (d)(k) 6,849 7,310
7.890% due 03/01/2026 (d) 1,979 2,041
7.900% due 09/01/2025 (d) 1,560 1,585
7.920% due 03/01/2018 2,755 2,960
7.930% due 09/01/2022 (d) 1,165 1,181
7.980% due 05/01/2030 6,704 6,843
8.000% due 09/01/2001-10/16/2030 (k) 367,700 372,519
8.020% due 11/01/2025 (d) 3,478 3,580
8.060% due 04/01/2030 1,861 1,877
8.080% due 04/01/2030 1,018 1,028
8.120% due 07/01/2024 (d) 4,245 4,357
8.160% due 09/01/2024 (d) 1,410 1,441
8.250% due 10/01/2008-03/01/2030 (k) 2,247 2,406
8.320% due 05/01/2026 (d) 577 597
8.490% due 06/01/2025 997 1,020
8.500% due 07/01/2001-08/01/2026 (k) 3,079 3,149
8.560% due 05/01/2024 (d) 2,375 2,460
9.000% due 10/01/2004-12/01/2027 (k) 9,369 9,756
9.250% due 10/01/2001 2 2
9.500% due 12/01/2006-07/01/2026 (k) 9,370 9,692
9.750% due 11/01/2008 58 61
10.000% due 09/01/2003-05/01/2022 (k) 1,085 1,146
10.500% due 01/01/2016-04/01/2022 (k) 533 570
10.750% due 03/01/2014 24 26
11.000% due 09/01/2019-11/01/2020 (k) 122 133
11.500% due 08/20/2016-11/01/2019 (k) 82 90
12.000% due 05/01/2016 9 10
12.500% due 10/01/2015 29 32
13.000% due 09/01/2013 29 33
13.250% due 09/01/2011 12 14
14.500% due 11/01/2011-01/01/2013 (k) 44 49
14.750% due 08/01/2012 167 194
15.000% due 10/01/2012 86 101
15.500% due 10/01/2012-12/01/2012 (k) 16 19
15.750% due 12/01/2011-08/01/2012 (k) 96 112
16.000% due 09/01/2012 108 123
------------
1,550,458
============
See accompanying notes 103
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Government National Mortgage Association 42.0%
5.000% due 06/20/2022 (d) $ 327 $ 330
5.500% due 06/20/2026-10/23/2030 (d)(k) 70,410 67,522
5.650% due 10/15/2012 11 10
6.000% due 10/15/2008-10/23/2030 (d)(k) 1,945,726 1,831,839
6.380% due 05/20/2027 (d) 2,430 2,447
6.500% due 05/15/2001-10/15/2038 (d)(k) 5,403,660 5,203,229
6.630% due 01/15/2040 9,612 9,163
6.670% due 10/15/2001-07/16/2038 (k) 1,036 1,010
6.750% due 07/15/2001-06/20/2028 (d)(k) 411,113 411,178
6.800% due 09/15/2001-10/15/2040 (k) 3,000 2,952
6.820% due 09/15/2001-10/15/2040 (k) 16,978 16,955
6.880% due 02/20/2016-02/15/2040 (d)(k) 1,187 1,156
7.000% due 10/15/2001-10/23/2030 (d)(k) 2,305,309 2,271,274
7.120% due 02/16/2030 (d) 13,093 13,154
7.130% due 12/20/2017-12/20/2027 (d)(k) 346,703 349,453
7.250% due 08/24/2024-08/20/2027 (d)(k) 325 327
7.380% due 05/20/2017-05/20/2028 (d)(k) 501,835 505,641
7.500% due 01/15/2003-10/23/2030 (k) 2,917,919 2,925,968
7.700% due 02/15/2002 4,034 4,013
7.750% due 07/15/2001 3,958 3,942
7.880% due 04/20/2023 (d) 338 342
8.000% due 05/15/2001-10/23/2030 (k) 1,228,446 1,248,773
8.130% due 07/15/2001-12/01/2039 (k) 3,681 3,684
8.250% due 08/15/2004-05/15/2022 (k) 414 423
8.500% due 06/15/2001-10/23/2030 (k) 50,513 51,899
8.750% due 03/15/2007-07/15/2007 (k) 92 95
9.000% due 06/15/2001-07/20/2022 (k) 5,271 5,529
9.250% due 07/15/2003-12/20/2016 (k) 166 170
9.500% due 04/15/2001-08/15/2023 (k) 4,631 4,857
9.750% due 09/15/2002-07/15/2004 (k) 80 82
10.000% due 04/15/2001-02/15/2025 (k) 5,288 5,612
10.250% due 02/20/2019 22 23
10.500% due 06/15/2004-09/15/2021 (k) 655 702
11.000% due 01/15/2001-03/15/2019 (k) 212 229
11.250% due 03/15/2001-12/20/2015 (k) 35 38
11.500% due 10/15/2010-10/15/2013 (k) 48 52
12.000% due 11/15/2012-05/15/2016 (k) 228 258
12.500% due 01/15/2011 1 1
13.000% due 12/15/2012-10/15/2014 (k) 20 21
13.250% due 10/20/2014 19 22
13.500% due 10/15/2012-09/15/2014 (k) 78 89
15.000% due 02/15/2012-10/15/2012 (k) 97 113
16.000% due 10/15/2011-05/15/2012 (k) 197 236
17.000% due 11/15/2011-12/15/2011 (k) 60 72
-----------
14,944,885
===========
Other Mortgage-Backed Securities 0.6%
Bank of America Corp.
9.000% due 03/01/2008 34 35
CDC Depositor Trust I
7.050% due 01/15/2003 (d) 19,302 19,231
Citibank, NA
8.000% due 07/25/2018 41 42
Commercial Mortgage Asset Trust
6.640% due 09/17/2010 455 439
Countrywide Funding Corp.
6.750% due 03/25/2024 12,260 10,528
DBL Mortgage Funding
9.500% due 08/01/2019 5 5
Federal Home Loan Mortgage Corp.
11.880% due 06/15/2013 97 102
FFCA Secured Lending Corp.
7.850% due 05/18/2017 28,900 28,872
First Interstate Bancorp
9.130% due 01/01/2009 (d)(l) 10 10
General Electric Capital Mortgage Services, Inc.
7.250% due 07/25/2011 1,550 1,544
General Electric Credit Corp.
8.000% due 03/01/2002 (l) 4 4
German American Capital Corp.
8.360% due 09/30/2002 462 445
4.310% due 07/01/2018 (d) 8,197 8,014
Guardian Savings & Loan Assn.
6.910% due 12/25/2018 (d) 20 20
Home Savings of America
8.460% due 08/01/2006 45 44
6.100% due 05/25/2027 (d) 2,589 2,522
6.440% due 08/20/2029 (d) 23,756 23,240
Imperial Savings & Loan
8.230% due 01/25/2017 (d) 59 59
8.850% due 07/25/2017 (d) 219 218
LTC Commercial Corp.
7.100% due 11/28/2012 3,187 3,191
Merrill Lynch Mortgage
7.770% due 06/15/2021 (d) 978 959
Mid-State Trust
8.330% due 04/01/2030 64,877 66,850
Morgan Stanley Mortgage Trust
8.150% due 07/20/2021 2 2
Resolution Trust Corp.
6.930% due 05/25/2029 (d) 3,190 3,186
Ryland Acceptance Corp.
14.000% due 11/25/2031 763 798
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 735 740
8.400% due 11/25/2022 (d) 508 511
Sasco Floating Rate Commercial Mortgage
7.020% due 11/20/2001 (d) 54,440 54,536
Sears Mortgage
12.000% due 02/25/2014 542 560
7.430% due 10/25/2022 (d) 1,844 1,865
------------
228,572
============
Stripped Mortgage-Backed Securities 0.0%
Bear Stearns Mortgage Securities, Inc. (IO)
7.200% due 07/25/2024 301 29
Chase Mortgage Finance Corp. (IO)
9.000% due 08/25/2023 150 4
Collateralized Mortgage Obligation Trust (PO)
0.000% due 04/23/2017 12 10
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 89 1
6.500% due 11/15/2006 232 2
6.500% due 03/15/2007 164 1
5.750% due 09/15/2007 (d) 5,084 304
6.000% due 10/15/2007 179 12
6.000% due 01/15/2008 85 4
5.430% due 02/15/2008 (d) 519 40
6.400% due 10/15/2008 61 6
0.000% due 08/15/2016 75 0
6.500% due 08/15/2017 65 0
7.000% due 04/15/2018 640 30
7.500% due 08/15/2018 15 0
8.850% due 01/15/2021 2 34
9.000% due 05/15/2022 94 24
6.500% due 09/15/2023 277 33
Federal National Mortgage Association (IO)
6.500% due 05/25/2005 679 69
6.500% due 07/25/2006 410 16
7.270% due 09/25/2006 2 14
6.500% due 02/25/2007 1,102 59
6.500% due 07/25/2007 218 9
6.500% due 09/25/2007 1,461 83
6.500% due 10/25/2007 407 22
0.100% due 03/25/2009 (d) 23,966 407
6.500% due 08/25/2020 2,649 185
10.070% due 01/25/2021 0 3
7.500% due 04/25/2021 1,486 226
9.030% due 08/25/2021 5 147
0.950% due 11/25/2021 (d) 22,673 362
6.500% due 10/25/2022 122 11
6.500% due 01/25/2023 2,726 430
3.660% due 02/25/2023 (d) 12,307 579
Federal National Mortgage Association (PO)
0.000% due 09/01/2007 667 544
0.000% due 02/25/2021 204 202
0.000% due 06/25/2022 317 308
0.000% due 08/25/2023 295 199
104 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
PaineWebber (IO)
13.600% due 08/01/2019 $ 1 $ 36
Vendee Mortgage Trust (IO)
0.540% due 06/15/2023 (d) 150,746 2,633
------------
7,078
------------
Total Mortgage-Backed Securities 26,058,715
(Cost $25,944,931) ============
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 8.2%
--------------------------------------------------------------------------------
Advanta Mortgage Loan Trust
6.820% due 05/25/2027 (d) 667 665
7.020% due 08/25/2029 (d) 2,709 2,719
8.250% due 08/25/2030 7,954 8,147
Advanta Revolving Home Equity Loan Trust
6.990% due 01/25/2024 (d) 27,010 27,099
6.870% due 08/25/2024 (d) 22,782 22,798
6.870% due 02/25/2025 (d) 15,436 15,430
Aerco Ltd.
7.090% due 07/15/2025 (d) 38,200 38,204
Aesop Funding LLC
6.570% due 11/20/2006 15,000 15,000
AFC Home Equity Loan Trust
7.350% due 10/25/2026 (d) 1,628 1,634
Allied Waste Industries, Inc.
9.440% due 07/30/2006 24,774 24,039
9.690% due 07/30/2007 (d) 4,955 4,808
9.750% due 07/30/2007 (d) 3,964 3,846
9.690% due 07/30/2007 (d) 20,809 20,193
American Express Credit Account Master Trust
6.800% due 12/15/2003 1,500 1,502
American Express Master Trust
7.850% due 08/15/2005 220 227
American Stores Co.
7.280% due 08/30/2004 20,000 19,776
Americredit Automobile Receivable Trust
6.540% due 05/12/2001 119 119
5.300% due 10/12/2002 8,246 8,221
5.780% due 05/12/2003 43,000 42,672
Amresco Residential Securities Mortgage Loan
Trust
6.820% due 10/25/2027 (d) 1,032 1,033
6.780% due 05/25/2028 (d) 7,676 7,671
Arcadia Automobile Receivables Trust
6.250% due 09/15/2002 23,250 23,247
5.900% due 11/15/2002 7,449 7,442
6.300% due 07/15/2003 26,025 25,922
6.900% due 12/15/2003 19,431 19,482
Associates Manufactured Housing
7.000% due 03/15/2027 3,675 3,676
Banc One Home Equity Trust
6.460% due 06/25/2029 14,711 14,643
Bank One Heloc Trust
6.880% due 04/20/2020 (d) 44,075 44,119
BankBoston Home Equity Loan Trust
6.280% due 11/25/2010 43 43
Bayview Financial Acquisition Trust
7.170% due 02/25/2029 (d) 4,928 4,945
7.030% due 02/25/2030 (d) 22,638 22,511
7.010% due 07/25/2030 (d) 68,003 68,003
BMCA Receivables Master Trust
6.840% due 09/20/2002 (d) 12,000 11,993
Brazos Student Loan Finance Co.
6.900% due 06/01/2023 (d) 52,700 52,179
7.170% due 12/01/2025 (d) 41,215 41,362
Captec Franchise Trust
7.890% due 10/15/2010 1,054 1,076
Champion Home Equity Loan Trust
6.880% due 03/25/2029 (d) 4,872 4,875
Charming Shoppes Master Trust
7.070% due 08/15/2008 (d) 250 252
Charter Commercial Holdings LLC
9.240% due 03/31/2008 22,000 21,971
Chase Credit Card Master Trust
6.660% due 01/15/2007 645 644
Chase Funding Mortgage Loan Asset-Backed
Certificates
6.840% due 10/25/2030 (d) 58,500 58,500
Chase Manhattan Auto Owner Trust
5.750% due 10/15/2001 28 28
Chase Manhattan Grantor Trust
5.200% due 02/15/2002 50 50
6.610% due 09/15/2002 564 565
CMC Securities Corp. IV
7.250% due 11/25/2027 1,212 1,193
Community Program Loan Trust
4.500% due 10/01/2018 24,009 21,540
4.500% due 04/01/2029 26,000 19,151
Conseco Finance
7.520% due 05/15/2014 35,901 36,016
6.290% due 10/15/2030 8,418 8,416
6.990% due 10/15/2031 (d) 29,503 29,594
Conseco Finance Home Loan Trust
6.570% due 10/15/2006 26 26
6.980% due 09/28/2030 18,500 18,500
Conseco Finance Lease LLC
7.250% due 04/20/2003 25,000 25,107
Conseco Finance Securitizations Corp.
7.180% due 07/15/2002 23,524 23,153
7.970% due 05/01/2032 5,000 5,070
8.310% due 05/01/2032 48,800 49,689
Contimortgage Home Equity Loan Trust
6.790% due 10/15/2012 (d) 1,361 1,362
6.130% due 03/15/2013 1,584 1,580
6.420% due 04/25/2014 286 285
6.400% due 06/15/2014 2,000 1,993
6.770% due 01/25/2018 41,700 41,391
6.990% due 03/15/2021 350 349
6.930% due 11/25/2022 36,800 36,618
7.220% due 01/15/2028 80 80
6.760% due 06/15/2028 (d) 2,279 2,276
6.830% due 08/15/2028 (d) 243 242
Copelco Capital Funding Corp.
6.340% due 07/20/2004 7 7
CPS Auto Trust
6.000% due 06/15/2002 556 555
6.000% due 08/15/2003 77 76
Cross Country Master Credit
7.150% due 06/15/2006 (d) 300 300
CS First Boston Mortgage Securities Corp.
6.750% due 09/25/2028 6,960 6,560
Daimler-Benz Vehicle Trust
6.050% due 03/31/2005 1,962 1,956
Delta Air Lines Equipment Trust
9.230% due 07/02/2002 (l) 1,956 1,997
10.500% due 01/02/2007 (l) 6,167 6,833
10.570% due 01/02/2007 (l) 15,881 18,150
9.550% due 01/02/2008 (l) 7,773 8,271
10.430% due 01/02/2011 960 1,053
10.000% due 06/05/2013 10,828 11,560
Delta Funding Home Equity Loan Trust
6.140% due 03/15/2018 26,242 26,139
7.030% due 09/15/2029 (d) 10,950 10,996
6.940% due 06/15/2030 (d) 34,344 34,427
Discover Card Master Trust
7.000% due 10/16/2013 (d) 400 404
Duck Auto Grantor Trust
5.650% due 03/15/2004 4,854 4,799
7.260% due 05/15/2005 43,105 43,126
EQCC Home Equity Loan Trust
6.050% due 01/25/2010 150 149
6.550% due 04/25/2010 304 303
5.820% due 10/15/2027 (d) 785 784
5.770% due 03/20/2029 150 149
Equivantage Home Equity Loan Trust
6.550% due 10/25/2025 75 75
Federal Home Loan Mortgage Corp.
6.750% due 08/15/2026 (d) 56,100 56,100
Felco Funding LLC
5.980% due 09/15/2001 175 177
See accompanying notes 105
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
------------------------------------------------------------------------
Fidelity Equipment Lease Trust
5.860% due 09/15/2001 $ 8,481 $ 8,453
First Alliance Mortgage Loan Trust
7.000% due 03/20/2031 (d) 14,818 14,827
First Merchants Auto Trust
6.850% due 11/15/2002 14 14
First Omni Bank
6.650% due 09/15/2003 (d) 1,500 1,500
First Security Auto Grantor Trust
6.100% due 04/15/2003 699 698
5.970% due 04/15/2004 120 119
First Union Master Credit Card Trust
6.630% due 09/15/2003 88,750 88,845
First USA Credit Card Master Trust
6.130% due 09/17/2003 (d) 300 300
FMAC Loan Receivables Trust
7.900% due 04/15/2019 20 20
6.830% due 09/15/2020 680 626
6.200% due 09/15/2020 261 253
6.500% due 09/15/2020 237 216
Ford Credit Auto Owner Trust
5.470% due 09/15/2001 175 174
5.770% due 11/15/2001 8,771 8,762
6.200% due 04/15/2002 407 407
Ford Motor Credit Corp.
5.500% due 02/15/2003 5,300 5,278
Fred Meyer, Inc.
7.380% due 03/19/2003 (d) 12,405 12,269
GMAC Mortgage Corp. Loan
7.010% due 11/18/2025 (d) 42,817 42,886
7.930% due 03/25/2030 39,407 36,913
Green Tree Financial Corp.
7.150% due 07/15/2027 221 221
6.490% due 03/15/2028 36,494 36,390
6.420% due 11/15/2028 1,386 1,383
5.850% due 11/01/2029 27 27
6.870% due 04/01/2030 1,105 988
6.660% due 06/01/2030 1,405 1,177
5.600% due 12/01/2030 215 214
5.510% due 02/01/2031 271 270
7.860% due 04/01/2031 400 386
Green Tree Floorplan Receivables Master
Trust
6.970% due 11/15/2004 (d) 46,000 46,098
Green Tree Home Equity Loan Trust
5.590% due 02/15/2013 32 32
6.040% due 06/15/2029 49 49
5.990% due 07/15/2030 209 209
Green Tree Home Improvement Loan Trust
5.910% due 08/15/2007 14 14
7.270% due 09/15/2028 (d) 4,162 4,155
6.390% due 01/15/2029 1,945 1,945
Green Tree Lease Finance
6.170% due 09/20/2005 56 56
Green Tree Recreational Equipment
6.430% due 04/17/2006 3,234 3,229
Harley-Davidson Eaglemark
5.250% due 07/15/2003 96 95
Headlands Home Equity Loan Trust
7.270% due 12/15/2024 (d) 529 532
HFC Home Equity Loan
6.830% due 12/20/2016 282 281
Honda Auto Receivables Grantor
5.950% due 05/15/2003 61 61
Household Consumer Loan Trust
7.040% due 08/15/2006 (d) 19,321 19,073
IMC Home Equity Loan Trust
7.250% due 07/25/2026 (d) 725 721
IMPAC Secured Assets CMN Owner
7.770% due 07/25/2025 2,000 1,981
Independent National Mortgage Corp.
8.250% due 05/25/2010 154 157
Indymac Home Equity Loan
6.890% due 10/25/2029 (d) 9,772 9,766
Indymac Manufactured Housing
6.170% due 12/25/2011 5,019 4,973
Long Beach Acceptance Auto
6.940% due 09/19/2007 3,944 3,948
Mellon Bank Home Equity
5.900% due 10/25/2010 14,019 13,905
Merit Securities Corp.
6.160% due 07/28/2033 6,424 6,377
7.880% due 12/28/2033 34,400 33,803
Metlife Capital Equipment Loan Trust
6.850% due 05/20/2008 (d) 320 320
Metris Master Trust
7.270% due 04/20/2006 (d) 20,000 20,099
Metropolitan Asset Funding, Inc.
7.080% due 04/25/2029 (d) 13,174 13,047
MGM Grand Term Loan
7.870% due 05/06/2001 (d) 21,277 21,226
MMCA Automobile Trust
6.300% due 06/15/2002 357 356
Morgan Stanley ABS Capital I
6.930% due 08/25/2030 (d) 157,021 157,021
MPC Natural Gas Funding Trust
6.200% due 03/15/2013 9,546 9,331
MSDWCC Heloc Trust
6.910% due 09/25/2010 (d) 36,465 36,465
Myra Ums Tranche
7.420% due 12/23/2006 1,358 1,321
Myra-United Mexican States
5.810% due 10/20/2006 (d) 402 391
7.800% due 12/23/2006 (d) 6,624 6,443
7.750% due 12/23/2006 (d) 3,489 3,397
7.630% due 12/23/2006 (d) 5,923 5,765
7.060% due 12/23/2006 (d) 929 904
7.800% due 12/23/2006 (d) 928 904
7.630% due 12/23/2006 (d) 29 28
National Medical Care
7.630% due 09/30/2003 (d) 28,486 28,201
7.690% due 09/30/2003 21,972 21,752
New Holland Equipment Receivables
6.390% due 10/15/2002 352 352
Nomura CBO Ltd.
6.670% due 05/15/2009 1,900 1,944
Norwest Asset Securities Corp.
6.500% due 04/25/2013 20,113 19,488
6.500% due 06/25/2013 10,423 10,094
7.500% due 03/25/2027 40,536 39,779
6.750% due 05/25/2028 27,707 25,714
6.750% due 07/25/2028 12,657 11,576
6.200% due 09/25/2028 16,324 16,236
NPF XI, Inc.
6.820% due 07/01/2001 8,326 8,324
NPF XII, Inc.
7.050% due 06/01/2003 31,000 30,714
7.270% due 11/01/2003 (d) 1,000 1,000
Olympic Automobile Receivable Trust
6.050% due 08/15/2002 3,178 3,178
Option One Mortgage Loan Trust
5.880% due 05/25/2029 129 128
6.910% due 09/25/2030 (d) 49,816 49,816
PP&L Transition Bond Co. LLC
6.830% due 03/25/2007 28,800 28,860
Premier Auto Trust
5.770% due 01/06/2002 3,151 3,150
5.820% due 02/08/2002 399 399
Provident Bank Home Equity Loan Trust
6.920% due 06/25/2021 (d) 36,381 36,381
Providian Gateway Master Trust
6.840% due 03/15/2007 28,900 28,900
6.250% due 06/15/2007 25 25
6.900% due 03/16/2009 300 300
Prudential Home Mortgage Securities
6.500% due 01/25/2024 1,225 1,216
Residential Asset Mortgage Products, Inc.
6.910% due 09/25/2030 (d) 50,000 50,000
106 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Residential Asset Securities Corp.
6.720% due 04/25/2014 (d) $ 249 $ 249
6.960% due 07/25/2014 30,510 30,395
6.240% due 02/25/2017 3,184 3,167
6.600% due 01/25/2020 5,200 5,165
7.080% due 09/25/2020 190 190
8.000% due 10/25/2024 (d) 5,121 5,150
6.920% due 10/25/2027 (d) 2,239 2,238
6.750% due 03/25/2028 40,000 37,212
Residential Funding Mortgage Securities, Inc.
10.930% due 06/01/2001 72,450 72,450
RJR Nabisco
7.500% due 12/31/2001 (d) 24,948 24,948
Ryder Vehicle Lease Trust
6.430% due 01/15/2003 694 693
Saco Trust
8.130% due 07/25/2030 18,119 18,492
Salomon Brothers Mortgage Securities
7.040% due 11/15/2029 (d) 18,965 19,013
7.100% due 12/15/2029 (d) 5,800 5,800
Saxon Asset Securities Trust
6.850% due 05/25/2029 (d) 8,721 8,729
Sears Credit Account Master Trust
6.050% due 01/15/2008 500 493
7.000% due 07/15/2008 500 505
Small Business Administration
7.190% due 12/01/2019 493 493
Standard Credit Card Trust
8.250% due 11/07/2003 80 81
Student Loan Marketing Assn.
6.860% due 10/25/2005 (d) 21,703 21,623
Team Fleet Financing Corp.
7.350% due 05/15/2003 30 30
Texas Cable Partners
8.380% due 06/24/2007 2,500 2,489
8.940% due 06/24/2007 2,500 2,489
The Money Store Home Equity Trust
7.550% due 02/15/2020 321 321
6.350% due 11/15/2021 (d) 719 716
6.750% due 05/15/2025 (d) 34 34
6.490% due 10/15/2026 17,000 16,925
Total Renal Care
12.000% due 03/31/2008 37,442 36,506
Toyota Auto Lease Trust
6.350% due 04/26/2004 60 60
6.450% due 04/26/2004 300 299
UCFC Home Equity Loan
8.200% due 09/15/2027 70 71
6.870% due 07/15/2029 70 66
UCFC Manufactured Housing
6.680% due 01/15/2010 (d) 4,310 4,313
UniCapital Corp.
6.540% due 07/23/2002 26,018 25,977
United Air Lines Equipment Trust
9.200% due 03/22/2008 3,950 4,198
10.360% due 11/13/2012 7,000 7,255
10.020% due 03/22/2014 6,925 7,128
10.850% due 07/05/2014 34,111 36,604
10.850% due 02/19/2015 1,500 1,722
10.130% due 03/22/2015 14,300 14,851
9.060% due 06/17/2015 5,000 4,823
9.210% due 01/21/2017 2,000 1,897
USAA Auto Loan Grantor Trust
6.150% due 05/15/2004 1,180 1,176
5.800% due 01/15/2005 2,681 2,666
WFS Financial Owner Trust
6.410% due 07/20/2002 25,016 25,002
6.920% due 01/20/2004 27,125 27,177
WMC Mortgage Loan
7.070% due 10/15/2029 87,787 87,842
------------
Total Asset-Backed Securities 2,931,252
(Cost $3,229,995) ============
-----------------------------------------------------------------------
SOVEREIGN ISSUES 1.9%
-----------------------------------------------------------------------
Central Bank Philippines
7.940% due 06/01/2008 (d) 3,875 3,468
Hellenic Republic
7.280% due 06/06/2001 (d) 20,000 20,294
Hydro-Quebec
7.380% due 02/01/2003 150 152
Kingdom of Jordan
6.000% due 12/23/2023 14,000 10,462
Kingdom of Sweden
10.250% due 11/01/2015 500 593
Nacional Financiera
9.750% due 03/12/2002 10,000 10,325
8.570% due 05/08/2003 (d) 7,750 7,871
Providence of Newfoundland
9.000% due 06/01/2019 500 562
Province of New Brunswick
7.130% due 10/01/2002 1,700 1,712
Province of Nova Scotia
9.380% due 07/15/2002 1,000 1,041
Province of Ontario
7.750% due 06/04/2002 200 203
7.630% due 06/22/2004 1,000 1,032
7.000% due 08/04/2005 1,000 1,012
6.000% due 02/21/2006 1,800 1,734
5.500% due 10/01/2008 12,000 10,999
Province of Quebec
7.500% due 07/15/2002 6,000 6,073
8.800% due 04/15/2003 100 105
6.810% due 06/11/2004 (d) 15,500 15,486
6.620% due 04/09/2026 25,000 24,939
Republic of Argentina
11.600% due 04/10/2005 (d) 1,380 1,283
11.750% due 04/07/2009 30 28
Republic of Brazil
7.880% due 01/01/2001 (d) 3,481 3,481
7.380% due 04/15/2006 187,832 176,807
11.250% due 07/26/2007 5,750 5,773
14.500% due 10/15/2009 6,000 6,615
8.000% due 04/15/2014 31 24
12.250% due 03/06/2030 900 819
11.000% due 08/17/2040 4,462 3,565
Republic of Bulgaria
7.750% due 07/28/2011 (d) 2,000 1,515
3.000% due 07/28/2012 (d) 20,000 14,568
7.750% due 07/28/2024 (d) 86,650 66,287
Republic of Chile
6.880% due 04/28/2009 25,000 23,528
Republic of Colombia
10.880% due 03/09/2004 10,280 9,946
Republic of Croatia
7.000% due 02/27/2002 7,650 7,489
Republic of Panama
7.880% due 02/13/2002 1,850 1,830
7.930% due 05/10/2002 (d) 1,975 1,940
4.500% due 07/17/2014 7,675 6,202
Republic of Peru
3.750% due 03/07/2017 11,000 6,141
4.500% due 03/07/2017 (d) 5,750 3,601
Republic of Philippines
7.810% due 01/05/2005 (d) 8,830 8,337
6.500% due 12/01/2017 3,250 2,506
9.500% due 10/21/2024 2,958 2,817
Republic of Poland
3.500% due 10/27/2024 (d) 64,540 40,660
4.000% due 10/27/2024 3,000 2,040
Republic of Kazakhstan
8.380% due 10/02/2002 5,000 4,936
Republic of Venezuela
7.880% due 12/18/2007 (d) 16,250 13,937
Republica Orient Uruguay
7.250% due 05/04/2009 2,500 2,291
State of Israel
6.200% due 06/14/2003 25 25
See accompanying notes 107
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------
United Mexican States
9.780% due 04/07/2004 (d) $ 3,650 $ 3,789
10.020% due 04/07/2004 (d) 5,186 5,393
8.500% due 02/01/2006 107,500 107,554
9.880% due 02/01/2010 10,000 10,655
6.250% due 12/31/2019 8,860 7,913
------------
Total Sovereign Issues 672,358
(Cost $665,775) ============
--------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (f)(g) 2.8%
--------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 (j) N$ 73,000 31,155
Export-Import Bank Korea
3.840% due 10/06/2000 (d) DM 5,000 2,257
Halifax Group Euro Finance
7.630% due 12/29/2049 (d) EC 8,500 7,501
KBC Bank Fund Trust IV
8.220% due 11/29/2049 20,764 18,605
Korea Development Bank
6.000% due 03/07/2001 JY 350,000 3,318
4.800% due 05/14/2001 (d) DM 70,000 31,318
2.560% due 06/26/2001 JY 4,000,000 37,455
Korea Electric Power
3.880% due 10/31/2002 (d) DM 18,900 8,276
Lloyds TSB Capital
7.380% due 02/07/2049 EC 16,000 14,244
Nacional Financiera
22.000% due 05/20/2002 MP 370,000 40,844
Newcourt Credit Group
7.630% due 06/28/2001 C$ 9,400 6,299
Republic of Argentina
5.500% due 03/27/2001 JY 5,640,000 52,320
Republic of Austria
0.000% due 01/15/2010 EC 900 789
Republic of Brazil
8.250% due 11/26/2001 2,000 1,797
Republic of Germany
6.250% due 01/04/2024 26,310 25,082
6.500% due 07/04/2027 111,630 109,577
6.250% due 01/04/2030 47,920 46,473
Republic of Philippines
8.000% due 09/17/2004 10,290 9,171
R. J. Reynolds
6.880% due 11/22/2000 DM 9,500 4,293
Royal Bank of Scotland PLC
0.000% due 01/01/2000 BP 85,000 101,978
6.770% due 03/31/2049 EC 126,500 112,403
Tecnost International NV
6.670% due 06/23/2004 (d) 107,384 95,762
United Mexican States
6.000% due 03/28/2002 JY 100,000 992
3.100% due 04/24/2002 2,542,000 24,052
8.750% due 05/30/2002 BP 23,000 34,446
10.380% due 01/29/2003 DM 200 97
7.000% due 06/02/2003 C$ 30,200 19,388
7.430% due 04/07/2004 (d) EC 18,181 16,775
6.750% due 06/06/2006 JY 2,000,000 21,853
7.500% due 03/08/2010 EC 5,000 4,315
6.630% due 12/31/2019 FF 60,000 7,006
1.100% due 12/31/2019 (d) JY 1,662,500 15,086
3.850% due 12/31/2019 9,145,000 77,905
------------
Total Foreign Currency-Denominated Issues 982,832
(Cost $892,163) ============
--------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.0%
--------------------------------------------------------------------------
Eurodollar vs. U.S. Dollar (OTC)
Strike @ 0.81 Exp. 12/21/2000 $ 200,000 16,246
------------
Total Purchased Call Options 16,246
(Cost $16,759) ============
--------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
--------------------------------------------------------------------------
Harborview Mortgage Loan Trust (OTC)
7.470% due 08/19/2030
Strike @ 100.00 Exp. 05/01/2005 22,975 0
Interest Rate Swap (OTC)
Strike @ 7.100% Exp. 08/12/2010 10,000 490
----------
Total Purchased Put Options 490
(Cost $380) ==========
--------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.0%
--------------------------------------------------------------------------
Banking & Finance 0.0%
Bell Atlantic Financial Services
5.750% due 04/01/2003 1,500 1,454
----------
Total Convertible Bonds & Notes 1,454
(Cost $1,539) ==========
--------------------------------------------------------------------------
PREFERRED SECURITY 1.0%
--------------------------------------------------------------------------
Shares
DG Funding Trust
9.030% due 12/29/2049 35,150 352,379
----------
Total Preferred Security 352,379
(Cost $351,502) ==========
--------------------------------------------------------------------------
PREFERRED STOCK 0.2%
--------------------------------------------------------------------------
Banco Bilbao Vizcaya International
9.750% due 11/19/2001 266,217 6,722
Barclays Bank
9.080% due 04/21/2020 215,500 5,549
Centaur Funding Corp.
9.080% due 04/21/2020 125 127
CSC Holdings, Inc.
11.125% due 04/01/2008 25,595 2,719
Fortis Amev NV
6.430% due 12/31/2049 171 20,134
Home Ownership Funding
13.331% due 12/31/2049 1,125 859
SI Financing Trust
9.500% due 06/30/2026 396,194 9,979
TCI Communications, Inc.
9.720% due 12/31/2036 622,553 16,186
10.000% due 05/31/2045 49,000 1,240
----------
Total Preferred Stock 63,515
(Cost $66,709) ==========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 8.3%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Certificates of Deposit 0.3%
Dominion Resources, Inc.
6.200% due 01/26/2001 $ 98,900 98,989
----------
Commercial Paper 8.0%
Abbey National PLC
6.520% due 11/03/2000 12,700 12,626
6.530% due 11/03/2000 900 895
Alcoa, Inc.
6.470% due 11/29/2000 53,000 52,417
6.450% due 12/21/2000 6,200 6,107
American Electric Power, Inc.
6.700% due 10/04/2000 2,000 1,999
6.760% due 10/04/2000 700 700
6.700% due 10/18/2000 3,000 2,991
6.750% due 10/18/2000 500 499
6.700% due 10/25/2000 1,800 1,792
6.700% due 10/30/2000 25,000 24,870
6.700% due 11/01/2000 3,300 3,282
6.700% due 11/02/2000 22,800 22,668
Anz, Inc.
6.550% due 11/03/2000 100 99
6.520% due 11/03/2000 2,700 2,684
6.480% due 11/28/2000 28,500 28,192
108 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Associated Corp. of North America
6.580% due 11/16/2000 $ 4,600 $ 4,562
6.570% due 11/29/2000 11,000 10,879
AT&T Corp.
6.580% due 10/23/2000 2,600 2,590
6.510% due 11/08/2000 1,500 1,490
6.520% due 11/08/2000 11,500 11,423
6.530% due 11/15/2000 2,500 2,480
6.470% due 11/29/2000 3,600 3,560
6.520% due 11/29/2000 1,900 1,879
6.510% due 12/13/2000 9,500 9,372
6.520% due 12/13/2000 5,000 4,932
6.530% due 12/13/2000 20,000 19,730
6.510% due 12/20/2000 11,800 11,626
Bank One Corp.
6.500% due 11/03/2000 200 199
6.500% due 11/15/2000 8,000 7,936
6.530% due 11/15/2000 300 298
6.470% due 12/06/2000 49,500 48,894
6.480% due 12/06/2000 50,000 49,388
6.470% due 12/19/2000 7,600 7,489
Bellsouth Capital Funding
6.460% due 12/06/2000 19,100 18,866
6.470% due 12/12/2000 17,200 16,971
British Telecom PLC
6.600% due 11/09/2000 20,400 20,258
6.560% due 11/09/2000 400 397
Campbell Soup Co.
6.460% due 12/06/2000 2,700 2,667
6.520% due 12/07/2000 700 691
CBA (de) Finance
6.530% due 10/23/2000 4,700 4,682
CDC
6.520% due 11/01/2000 500 497
Coca-Cola Co.
6.510% due 10/31/2000 2,700 2,686
6.480% due 12/13/2000 8,500 8,385
6.490% due 12/13/2000 4,400 4,341
Compaq Computer Corp.
6.730% due 10/23/2000 20,000 19,921
Conagra, Inc.
6.730% due 10/04/2000 13,100 13,095
6.670% due 10/06/2000 3,000 2,998
6.670% due 10/18/2000 1,000 100
6.680% due 11/08/2000 28,800 28,602
6.670% due 11/15/2000 1,900 1,885
6.670% due 11/16/2000 29,500 29,254
Cox Communications
6.700% due 10/04/2000 26,700 26,690
6.700% due 11/06/2000 50,000 49,674
6.730% due 11/06/2000 36,200 35,963
6.720% due 11/07/2000 21,500 21,356
CSX Corp.
6.740% due 10/10/2000 1,000 999
6.700% due 10/11/2000 21,700 21,663
DaimlerChrysler AG
6.580% due 11/20/2000 7,200 7,136
6.580% due 11/22/2000 3,800 3,765
6.590% due 11/29/2000 3,300 3,264
6.590% due 12/06/2000 14,300 14,125
6.540% due 12/07/2000 3,800 3,753
6.500% due 12/13/2000 200 197
6.520% due 12/13/2000 10,700 10,556
Dominion Resources, Inc.
6.710% due 10/18/2000 11,500 11,466
6.710% due 11/06/2000 5,800 5,762
6.710% due 11/09/2000 800 794
6.710% due 11/16/2000 17,900 17,750
Duke Energy Field Service Corp.
6.700% due 10/19/2000 50,000 49,842
Eastman Kodak Co.
6.490% due 11/01/2000 2,900 2,884
6.540% due 11/01/2000 3,300 3,282
6.480% due 11/16/2000 900 893
Edison Midwest
6.720% due 10/18/2000 40,000 39,881
6.720% due 10/25/2000 10,000 9,957
6.720% due 11/01/2000 1,000 994
6.750% due 11/01/2000 40,035 39,809
6.700% due 11/08/2000 1,400 1,390
6.740% due 11/08/2000 10,700 10,626
6.710% due 11/15/2000 3,300 3,273
6.730% due 11/15/2000 3,800 3,769
6.800% due 11/15/2000 7,900 7,834
6.710% due 11/15/2000 500 496
Federal Home Loan Mortgage Corp.
6.400% due 11/07/2000 745 740
6.410% due 12/07/2000 743 734
Federal National Mortgage Assn.
6.400% due 12/14/2000 1,163 1,147
Florida Power Corp.
6.450% due 12/14/2000 8,500 8,384
6.470% due 12/14/2000 100 99
Gannett Co.
6.500% due 10/25/2000 100 100
6.490% due 11/20/2000 3,700 3,667
6.470% due 11/20/2000 18,900 18,734
6.500% due 11/21/2000 1,800 1,784
General Electric Capital Corp.
6.470% due 12/06/2000 200 198
6.590% due 12/06/2000 11,300 11,162
6.470% due 12/07/2000 25,000 24,689
6.490% due 12/07/2000 300 296
6.470% due 12/13/2000 700 691
6.470% due 12/20/2000 600 591
6.510% due 01/10/2001 7,000 6,870
6.510% due 01/17/2001 900 882
6.500% due 01/24/2001 37,400 36,613
General Motors Acceptance Corp.
6.560% due 11/15/2000 200 198
6.520% due 11/27/2000 8,600 8,513
6.550% due 12/06/2000 2,500 2,469
6.510% due 12/13/2000 25,400 25,057
Gillette Co.
6.460% due 12/12/2000 800 789
Honeywell, Inc.
6.510% due 11/21/2000 20,000 19,819
6.470% due 11/29/2000 5,800 5,736
Houston Industries
6.770% due 10/04/2000 6,200 6,198
6.770% due 10/18/2000 3,700 3,689
6.800% due 11/08/2000 6,200 6,157
6.800% due 11/15/2000 50,000 49,584
Infinity Broadcasting Corp.
6.720% due 11/09/2000 900 894
6.700% due 11/15/2000 600 595
6.700% due 11/16/2000 1,400 1,388
6.710% due 11/21/2000 1,900 1,882
6.720% due 11/21/2000 27,800 27,541
6.710% due 11/22/2000 6,800 6,735
Ingersoll-Rand Co.
6.680% due 10/02/2000 900 900
6.840% due 10/02/2000 23,800 23,800
6.690% due 10/04/2000 33,400 33,388
6.700% due 11/01/2000 2,100 2,088
6.720% due 11/01/2000 1,100 1,094
6.700% due 11/08/2000 11,100 11,024
6.700% due 11/13/2000 16,800 16,669
6.700% due 11/15/2000 4,000 3,967
6.740% due 11/15/2000 600 595
International Paper Co.
6.700% due 10/05/2000 700 700
6.700% due 10/06/2000 34,700 34,674
6.700% due 10/10/2000 4,400 4,393
6.720% due 10/10/2000 700 699
6.700% due 10/11/2000 41,000 40,931
6.720% due 11/17/2000 300 297
6.720% due 11/28/2000 10,600 10,485
See accompanying notes 109
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------
KFW International Finance
6.510% due 10/12/2000 $ 1,600 $ 1,597
6.480% due 12/06/2000 800 790
Minnesota Mining & Manufacturing
6.470% due 11/28/2000 1,500 1,484
6.480% due 12/19/2000 700 690
Motorola, Inc.
6.480% due 11/28/2000 13,100 12,958
6.520% due 12/13/2000 4,600 4,538
6.450% due 12/27/2000 3,700 3,641
Nabisco, Inc.
6.700% due 10/18/2000 28,900 28,813
Natural Rural Utilities
6.480% due 10/18/2000 1,000 997
6.480% due 11/07/2000 3,100 3,080
6.520% due 11/15/2000 5,500 5,456
Nike, Inc.
6.480% due 10/12/2000 6,000 5,989
Norfolk Southern Corp.
6.720% due 11/01/2000 30,000 29,832
6.720% due 11/07/2000 37,400 37,149
Pearson
6.730% due 10/25/2000 9,000 8,961
Proctor & Gamble Co.
6.480% due 11/29/2000 200 198
6.510% due 11/29/2000 1,300 1,286
Reseau Ferre De France
6.520% due 10/26/2000 1,800 1,792
6.480% due 11/30/2000 1,000 989
SBC Communications, Inc.
6.470% due 12/06/2000 200 198
6.490% due 12/06/2000 3,100 3,062
Sprint Capital Corp.
6.700% due 10/25/2000 7,300 7,269
6.700% due 11/01/2000 1,900 1,889
6.700% due 11/03/2000 31,600 31,412
6.720% due 11/08/2000 8,000 7,945
Sumitomo Bank
6.720% due 11/01/2000 15,000 14,916
Swedbank, Inc.
6.510% due 01/19/2001 10,000 9,799
Texas Utilities Co.
6.700% due 10/18/2000 7,100 7,079
6.760% due 10/18/2000 3,600 3,589
Tyco International
6.740% due 10/18/2000 73,400 73,180
UBS Finance LLC
6.680% due 10/02/2000 1,000,000 1,000,000
Verizon Global Funding
6.490% due 11/08/2000 1,600 1,589
6.490% due 11/09/2000 8,600 8,541
6.460% due 12/01/2000 7,500 7,415
6.480% due 12/06/2000 50,000 49,388
6.460% due 12/07/2000 200 198
6.460% due 12/11/2000 800 789
6.470% due 12/14/2000 6,000 5,918
Washington Mutual
6.690% due 11/08/2000 12,000 11,917
Yorkshire Building Society
6.490% due 11/14/2000 1,800 1,786
6.480% due 12/11/2000 33,700 33,257
6.470% due 12/20/2000 1,500 1,478
6.460% due 12/21/2000 4,300 4,236
-----------
2,854,106
===========
U.S. Treasury Bills (b)(k) 0.0%
5.933% due 02/01/2001 1,655 1,621
-----------
Total Short-Term Instruments 2,954,716
(Cost $2,954,943) ===========
Value
(000s)
--------------------------------------------------------------------------
Total Investments (a) 152.0% $ 54,049,779
(Cost $54,354,587)
Written Options (c) (0.1%) (35,447)
(Premiums $40,793)
Other Assets and Liabilities (Net) (51.9%) (18,465,617)
------------
Net Assets 100.0% $ 35,548,715
============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 295,213
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (600,021)
------------
Unrealized depreciation-net $ (304,808)
============
(b) Securities with an aggregate market value of $1,621 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at September 30, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
----------------------------------------------------------------------------
Eurodollar December Futures (12/2000) 305 $ (173)
Municipal Bond (12/2000) 2,371 (1,820)
EuroBond 10 Year Note (12/2000) 17,718 1,772
U.S. Treasury 5 Year Note (12/2000) 10,646 (6,488)
U.S. Treasury 10 Year Note (12/2000) 29,648 5,027
U.S. Treasury 30 Year Bond (12/2000) 4,844 (2,214)
EuroBond 10 Year Note Options (11/2000) 22,213 4,080
United Kingdom 10 Year Note (12/2000) 2,731 1,588
--------------
$ 1,772
==============
(c) Premiums received on written options:
# of
Type Contracts Premium Value
----------------------------------------------------------------------------
Call - TSE Government of Japan December Futures
Strike @ 134.00 Exp. 11/30/2000 458 $ 881 $ 916
Put - OTC Japanese Interest Rate Swap December Futures
Strike @ 2.305% Exp. 11/30/2000 10,800,000,000 86 372
Put - OTC Japanese Interest Rate Swap December Futures
Strike @ 2.315% Exp. 11/30/2000 10,800,000,000 101 377
Call - CBOT U.S. Treasury Note December Futures
Strike @ 103.00 Exp. 11/18/2000 10,716 1,364 1,172
Call - CBOT U.S. Treasury Note December Futures
Strike @ 102.00 Exp. 11/18/2000 12,253 3,119 2,872
Put - CBOT U.S. Treasury Note December Futures
Strike @ 98.00 Exp. 11/18/2000 4,528 1,662 778
Put - CBOT U.S. Treasury Note December Futures
Strike @ 97.00 Exp. 11/18/2000 2,991 744 280
Put - CME Eurodollar December
Futures
Strike @ 93.00 Exp. 12/18/2000 5,644 5,314 141
110 See accompanying notes
<PAGE>
Call - CME Eurodollar December
Futures
Strike @ 92.75 Exp. 1,195 $ 845 $ 1,479
12/18/2000
Put - CME Eurodollar March
Futures
Strike @ 92.75 Exp. 7,127 2,736 267
03/19/2001
Call - CME Eurodollar March
Futures
Strike @ 93.25 Exp. 18,834 4,726 13,890
03/19/2001
Put - CME Eurodollar March
Futures
Strike @ 92.50 Exp. 7,225 4,582 181
03/19/2001
Call - CME Eurodollar March
Futures
Strike @ 93.00 Exp. 5,000 2,098 6,313
03/19/2001
Put - CME Eurodollar March
Futures
Strike @ 92.25 Exp. 8,769 5,077 110
03/19/2001
Put - CME Eurodollar December
Futures
Strike @ 92.25 Exp. 2,902 1,109 18
12/18/2000
Put - OTC 3 Month LIBOR
Interest Rate Swap
Strike @ 8.250% Exp. 560,000,000 2,226 11
03/19/2001
Call - OTC 3 Month LIBOR
Interest Rate Swap
Strike @ 6.750% Exp. 560,000,000 603 2,750
03/19/2001
Call - OTC 3 Month LIBOR
Interest Rate Swap
Strike @ 6.500% Exp. 275,000,000 1,760 1,760
02/23/2001
Call - OTC 3 Month LIBOR
Interest Rate Swap
Strike @ 6.500% Exp. 275,000,000 1,760 1,760
02/22/2001 -----------------------
$ 40,793 $ 35,477
=======================
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Reverse repurchase agreements were entered into September 25, 2000 paying
interest at 6.520%. The following securities were segregated with collateral for
reverse repurchase agreements
Type Maturity Value
-----------------------------------------------------------------------
Federal National Mortgage Assn. 7.000% 10/01/2003 $ 42,864
Federal National Mortgage Assn. 6.690% 08/01/2027 39,604
Government National Mortgage Assn. 7.130% 10/20/2030 65,131
Government National Mortgage Assn. 6.750% 07/20/2027 41,986
----------
$ 189,585
==========
(f) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell C$ 43,714 10/2000 $ 413
Buy 7,000 10/2000 (54)
Sell EC 295,593 10/2000 8,049
Buy 393,768 10/2000 (1,541)
Buy 276,495 11/2000 502
Sell BP 103,747 10/2000 (5,419)
Buy HF 2,000,000 03/2001 181
Sell JY 4,519,202 04/2001 (1,390)
Sell 20,157,034 10/2000 3,425
Buy 18,843,139 10/2000 71
Sell 18,843,139 11/2000 (100)
Sell N$ 60,917 10/2000 565
Buy PZ 45,000 01/2001 (543)
Buy 40,000 02/2001 (215)
Buy 17,000 03/2001 (168)
------------
$ 3,776
============
(g) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
EC - Euro
HF - Hungarian Forint
JY - Japanese Yen
N$ - New Zealand Dollar
PZ - Polish Zloty
(h) Swap agreements outstanding at September 30, 2000:
Notional Unrealized
Type Amount Depreciation
--------------------------------------------------------------------------------
Receive floating rate based on 6-month
JY-LIBOR and pay fixed rate equal to
2.340%.
Broker: Deutsche Bank AG New York
Exp. 10/08/2007 JY 24,500,000 $ (9,740)
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 1,709
Receive floating rate based on 3-month
LIBOR plus 1.600% and pay a fixed rate
equal to 0.426%.
Broker: Lehman Brothers
Exp. 04/19/2005 $ 13,033 1
Receive floating rate based on 3-month
LIBOR plus 0.500% and pay a fixed rate
equal to 7.600%.
Broker: Lehman Brothers
Exp. 07/15/2003 35,000 (354)
Receive floating rate based on 6-month
BP-LIBOR and pay a fixed rate equal to
5.930%.
Broker: Goldman Sachs
Exp. 08/25/2030 BP 50,000 (579)
Receive floating rate based on 3-month
Canadian Bank Bill and pay a fixed rate
equal to 6.302%.
Broker: Goldman Sachs
Exp. 07/13/2010 C$ 40,000 (258)
Receive floating rate based on 6-month
JY-LIBOR and pay a fixed rate equal to
2.295%.
Broker: Goldman Sachs
Exp. 04/14/2008 JY 11,635,000 (3,964)
Receive floating rate based on 6-month
JY-LIBOR and pay a fixed rate equal to
2.305%.
Broker: Goldman Sachs
Exp. 04/15/2008 7,563,000 (2,621)
Receive floating rate based on 6-month
JY-LIBOR and pay a fixed rate equal to
1.669%.
Broker: Goldman Sachs
Exp. 05/18/2007 51,000,000 (1,259)
Receive floating rate based on 6-month
EURO-LIBOR and pay fixed rate equal to
6.175%.
Broker: Goldman Sachs
Exp. 05/22/2030 EC 94,820 (953)
See accompanying notes 111
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited)
Receive floating rate based on 6-month EURO-LIBOR plus 0.499%
and pay a fixed rate equal to 6.000%.
Broker: J.P. Morgan
Exp. 01/04/2009 EC 123,620 $ 1,945
Receive floating rate based on 6-month EURO-LIBOR minus 0.54%
and pay a fixed rate equal to 6.250%.
Broker: J.P. Morgan
Exp. 01/04/2024 26,270 320
Receive floating rate based on 3-month EURO-LIBOR and
pay a fixed rate equal to 6.010%.
Broker: Morgan Stanley
Exp. 01/04/2030 83,670 (514)
Receive floating rate based on 6-month JY-LIBOR and
pay a fixed rate equal to 2.305%.
Broker: Goldman Sachs
Exp. 04/15/2008 JY 377,000 29
Receive floating rate based on 6-month JY-LIBOR and
pay a fixed rate equal to 1.669%.
Broker: Goldman Sachs
Exp. 05/18/2007 1,500,000 33
Receive floating rate based on 6-month JY-LIBOR and
pay a fixed rate equal to 2.295%.
Broker: Goldman Sachs
Exp. 04/14/2008 580,000 47
Receive floating rate based on 3-month Canadian Bank Bill and
pay a fixed rate equal to 6.317%.
Broker: Goldman Sachs
Exp. 07/12/2010 C$ 30,000 (213)
Receive a fixed rate equal to 7.317% and
pay floating rate based on 3-month LIBOR.
Broker: Morgan Stanley
Exp. 11/15/2003 $ 85,000 1,117
Receive floating rate based on 3-month LIBOR and
pay to the counterparty $187,253 due 11/15/2021.
Broker: Lehman Brothers
Exp. 11/15/2021 42,600 (702)
Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 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 3,200 0
Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 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 3,200 (171)
Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 5.050%.
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. 05/03/2001 6,000 (201)
Receive fixed rate equal to 0.650% and the Fund will pay to the
counterparty at par in the event of default of Niagara Mohawk Corp.
7.750% due 10/01/2008.
Broker: Lehman Brothers
Exp. 12/31/2004 50,000 3
Receive fixed rate equal to 0.400% and the Fund will pay to the
counterparty at par in the event of default of Time Warner, Inc.
7.400% due 02/01/2004.
Broker: Goldman Sachs
Exp. 11/10/2002 20,000 1
Receive fixed rate equal to 0.510% and the Fund will pay to the
counterparty at par in the event of default of Time Warner, Inc.
7.750% due 06/15/2005.
Broker: Lehman Brothers
Exp. 01/25/2005 10,000 1
Receive fixed rate equal to 0.650% and the Fund will pay to the
counterparty at par in the event of default of Philip Morris Co.
7.200% due 02/01/2007.
Broker: Goldman Sachs
Exp. 12/22/2000 17,000 1
Receive fixed rate equal to 0.250% and the Fund will pay to the
counterparty at par in the event of default of Pacific Gas & Electric Corp.
6.550% due 12/08/2005.
Broker: J.P. Morgan
Exp. 05/23/2003 22,000 0
Receive fixed rate equal to 5.600% and the Fund will pay to the
counterparty at par in the event of default of the Republic of Venezuela
9.250% due 09/15/2027.
Broker: Deutsche Bank AG New York
Exp. 04/04/2001 25,000 14
Receive fixed rate equal to 5.850% and the Fund will pay to the
counterparty at par in the event of default of the Republic of Venezuela
9.250% due 09/15/2027.
Broker: Deutsche Bank AG New York
Exp. 04/17/2001 10,000 6
Receive fixed rate equal to 0.250% and the Fund will pay to the
counterparty at par in the event of default of Wisconsin Electric Power
6.625% due 11/16/2006.
Broker: Lehman Brothers
Exp. 04/18/2003 25,000 1
Receive fixed rate equal to 1.900% and the Fund will pay to the
counterparty at par in the event of default of the Republic of Brazil
based on 6-month LIBOR plus 0.813% due 04/15/2006.
Broker: Credit Suisse First Boston International
Exp. 05/03/2001 50,000 9
Receive fixed rate equal to 1.300% and the Fund will pay to the
counterparty at par in the event of default of United Mexican States
9.875% due 01/15/2007.
Broker: Salomon Brothers, Inc.
Exp. 05/09/2002 50,000 7
112 See accompanying notes
<PAGE>
Receive fixed rate equal to 0.100% and the Fund will pay to the
counterparty at par in the event of default of Walmart Stores, Inc.
6.875% due 08/10/2009.
Broker: Credit Suisse First Boston
International
Exp. 11/01/2000 $ 100,000 $ 1
Receive fixed rate equal to 0.100% and the Fund will pay to the
counterparty at par in the event of default of General Electric Capital Corp.
7.250% due 02/02/2005.
Broker: J.P. Morgan
Exp. 05/19/2001 50,000 1
Receive fixed rate equal to 1.500% and the Fund will pay to the
counterparty at par in the event of default of United Mexican States
9.875% due 01/15/2007.
Broker: Salomon Brothers, Inc.
Exp. 06/13/2002 50,000 8
Receive fixed rate equal to 0.500% and the Fund will pay to the
counterparty at par in the event of default of Raytheon Co.
6.500% due 07/15/2005.
Broker: Merril Lynch
Exp. 06/30/2001 25,000 1
Receive fixed rate equal to 0.120% and the Fund will pay to the
counterparty at par in the event of default of IBM Corp.
7.250% due 11/01/2002.
Broker: J.P. Morgan
Exp. 12/31/2000 50,000 1
Receive a fixed rate equal to 4.910% and pay floating
rate based on 10-year Municipal Market Dataline Index.
Broker: Morgan Stanley
Exp. 11/07/2000 10,000 361
---------
$ (15,912)
=========
Fixed Unrealized
Spread Notional Appreciation/
Type (%) Amount Depreciation
--------------------------------------------------------------------------------
Receive the 10-year Swap Spread and pay a fixed spread.
The 10-year Swap Spread is the difference between the
10-year Swap Rate and the 10-year Treasury Rate.
Broker: Goldman Sachs
Exp. 02/15/2005 0.8675 $ 258,500 $ 2,598
Broker: Morgan Stanley
Exp. 02/28/2005 0.9925 25,000 (223)
Receive On-The-Run 30-year Swap Spread and pay a fixed spread.
The on the-run 30-year Swap Spread is the difference between
the 30-year Swap Rate and the 30-year Treasury Rate.
Broker: Goldman Sachs
Exp. 04/04/2005 1.3900 50,000 (591)
Receive the 30-year Swap Spread and pay a fixed spread.
The 30-year Swap Spread is the difference between the
30-year Swap Rate and the 30-year Treasury Rate.
Broker: Goldman Sachs
Exp. 02/16/2005 1.1120 37,700 (329)
Broker: Goldman Sachs
Exp. 02/15/2005 1.0850 10,000 (155)
Broker: Goldman Sachs
Exp. 02/16/2005 1.1120 3,300 (52)
Receive the 5-year Swap Spread and pay a fixed spread.
The 5-year Swap Spread is the difference between the
5-year Swap Rate and the 5-year Treasury Rate.
Broker: Morgan Stanley 0.9900 107,200 (294)
Exp. 04/07/2005
Broker: Lehman Brothers
Exp. 04/10/2005 0.9500 130,000 (356)
Broker: Bank of America
Exp. 04/11/2005 0.9675 250,000 (263)
Receive On-The-Run 2-year Swap Spread and pay a fixed spread.
The On-The-Run 2-year Swap Spread is the difference between the
2-year Swap Rate and the 2-year Treasury Rate.
Broker: Bank of America
Exp. 07/19/2001 0.9250 100,000 (850)
---------
$ (515)
=========
(i) Principal amount of the security is adjusted for inflation.
(j) Subject to financing transaction.
(k) Securities are grouped by coupon or range of coupons and represent
a range of maturities.
(l) Restricted security.
(m) Security is in default.
See accompanying notes 113
<PAGE>
Schedule of Investments
Total Return Mortgage Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 0.3%
--------------------------------------------------------------------
Treasury Inflation Protected Securities
(e)
3.625% due 07/15/2002 $ 54 $ 54
----------
Total U.S. Treasury Obligations 54
(Cost $54) ==========
--------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 124.2%
--------------------------------------------------------------------
Collateralized Mortgage Obligations 52.8%
Chase Mortgage Finance Corp.
7.000% due 07/25/2024 607 603
7.000% due 12/25/2028 334 308
Countrywide Alternative Loan Trust
6.750% due 08/25/2028 95 93
Countrywide Home Loans
6.750% due 11/25/2027 38 38
DLJ Mortgage Acceptance Corp.
7.000% due 06/25/2028 138 130
Federal Home Loan Mortgage Corp.
6.000% due 06/15/2008 432 423
6.328% due 02/01/2018 (d) 172 168
4.500% due 03/15/2021 52 47
6.750% due 08/15/2021 1,000 986
3.500% due 12/15/2022 10 7
6.500% due 12/15/2023 46 42
6.500% due 03/15/2024 107 94
6.900% due 04/15/2026 1,035 1,022
8.000% due 06/15/2026 70 71
6.500% due 05/15/2027 73 66
7.000% due 01/15/2028 150 131
6.000% due 10/15/2028 153 131
Federal National Mortgage Assn.
6.900% due 08/25/2011 100 97
6.500% due 02/25/2019 1,044 1,035
7.750% due 08/25/2022 63 64
7.500% due 03/25/2023 96 94
7.625% due 04/25/2023 (d) 25 26
6.500% due 09/25/2023 36 32
6.750% due 09/25/2023 53 47
7.000% due 09/25/2023 16 15
6.500% due 10/25/2023 217 199
6.500% due 12/25/2023 170 143
7.100% due 12/25/2023 41 39
7.020% due 04/18/2028 (d) 124 124
General Electric Capital Mortgage
Services, Inc.
7.000% due 01/25/2028 100 92
6.750% due 06/25/2028 200 188
Government National Mortgage Assn.
7.500% due 12/20/2022 149 149
Norwest Asset Securities Corp.
6.250% due 01/25/2029 174 162
PNC Mortgage Securities Corp.
6.750% due 09/25/2028 1,099 1,036
Residential Accredit Loans, Inc.
7.000% due 01/25/2028 386 384
Superannuation Members Home Loans Global
Fund
6.915% due 06/15/2026 (d) 300 300
Vendee Mortgage Trust
7.750% due 05/15/2022 38 38
----------
8,624
==========
Federal Home Loan Mortgage Corporation 3.1%
5.500% due 02/01/2001 154 151
6.000% due 10/01/2024 150 142
7.000% due 02/01/2027 113 111
7.556% due 11/01/2028 (d) 107 109
----------
513
==========
Federal National Mortgage Association 22.4%
5.805% due 10/01/2028 (d) 494 476
6.000% due 10/01/2099 700 654
6.483% due 11/01/2018 (d) 43 43
7.500% due 12/01/2099 2,000 1,995
7.519% due 05/01/2023 (d) 168 169
9.000% due 01/01/2020 304 317
----------
3,654
==========
Government National Mortgage Association 44.9%
6.375% due 03/20/2027 (d) 9 9
6.750% due 07/20/2022-07/20/2025 538 543
(c)(d)
7.125% due 12/20/2021-11/20/2026 392 395
(c)(d)
7.375% due 03/20/2016-01/20/2027 1,326 1,335
(c)(d)
7.500% due 05/15/2027-08/15/2027 (c) 124 124
8.000% due 12/15/2099 4,450 4,529
8.500% due 12/31/2099 400 411
-----------
7,346
===========
Stripped Mortgage-Backed Securities 1.0%
Federal National Mortgage Association
(IO)
6.500% due 07/25/2007 59 3
Federal National Mortgage Association
(PO)
0.000% due 07/25/2022 264 162
-----------
165
-----------
Total Mortgage-Backed Securities 20,302
(Cost $20,119) ===========
--------------------------------------------------------------------
ASSET-BACKED SECURITIES 2.8%
--------------------------------------------------------------------
Bayview Financial Acquisition Trust
7.011% due 07/25/2030 (d) 197 197
MLCC Mortgage Investors, Inc.
6.998% due 03/15/2025 (d) 253 254
-----------
Total Asset-Backed Securities 451
(Cost $450) ===========
--------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.1%
--------------------------------------------------------------------
Technology 0.1%
Clear Channel Communications, Inc.
1.500% due 12/01/2002 10 9
-----------
Total Convertible Bonds & Notes 9
(Cost $10) ===========
--------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 18.8%
--------------------------------------------------------------------
Commercial Paper 17.0%
Alcoa, Inc.
6.450% due 12/21/2000 200 197
American Electric Power, Inc.
6.760% due 10/04/2000 400 400
AT&T Corp.
6.510% due 12/13/2000 200 197
Conagra, Inc.
6.670% due 10/04/2000 600 600
6.670% due 11/15/2000 300 298
Eastman Kodak Co.
6.460% due 12/04/2000 200 198
General Electric Capital Corp.
6.470% due 12/20/2000 200 197
Ingersoll-Rand Co.
6.690% due 10/04/2000 300 300
KFW International Finance
6.460% due 12/06/2000 300 297
Yorkshire Building Society
6.490% due 11/14/2000 100 99
----------
2,783
==========
Repurchase Agreement 1.7%
State Street Bank
5.850% due 10/02/2000 285 285
(Dated 9/29/2000. Collateralized by ----------
Federal Home Loan Mortgage Corp.
7.050% due 09/19/2003 valued at $295.
Repurchase proceeds are $285.)
U.S. Treasury Bills (b) 0.1%
5.925% due 02/01/2001 10 10
----------
Total Short-Term Instruments 3,078
(Cost $3,077) ==========
114 See accompanying notes
<PAGE>
Value
(000s)
------------------------------------------------------------------------
Total Investments (a) 146.2% $ 23,894
(Cost $23,710)
Other Assets and Liabilities (Net) (46.2%) (7,548)
-------------
Net Assets 100.0% $ 16,346
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 229
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (45)
-------------
Unrealized appreciation-net $ 184
=============
(b) Securities with an aggregate market value of
$10 have been segregated with the custodian to cover
margin requirements for the following open futures
contracts at September 30, 2000:
# of Unrealized
Type Contracts Appreciation
------------------------------------------------------------------------
U.S. Treasury 10 Year Note (12/2000) 1 $ 0
-------------
(c) Securities are grouped by coupon or range of coupons and
represent a range of maturities.
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Principal amount of the security is adjusted for inflation.
See accompanying notes 115
<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 Year Beginning of Net Investment (Loss) on from Investment Net Investment
or Period Ended: Period Income (Loss) Investments Operations Income
--------------- -------------- --------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
California Intermediate Municipal Bond Fund
Class A
09/30/2000 (b) $ 10.05 $ 0.19(a) $ 0.25(a) $ 0.44 $ (0.20)
10/19/1999 - 03/31/2000 9.94 0.18(a) 0.12(a) 0.30 (0.17)
California Municipal Bond Fund
Class A
07/31/2000 - 09/30/2000 (b) $ 10.35 $ 0.08(a) $ 0.04(a) $ 0.12 $ (0.09)
Convertible Fund
Class A
09/30/2000 (b) $ 15.76 $ 0.00(a) $ (0.33)(a) $ (0.33) $ (0.10)
05/28/1999 - 03/31/2000 10.67 0.00(a) 5.35(a) 5.35 (0.03)
Class B
09/30/2000 (b) 15.68 (0.09)(a) (0.26)(a) (0.35) (0.06)
05/28/1999 - 03/31/2000 10.67 (0.07)(a) 5.29(a) 5.22 (0.02)
Class C
09/30/2000 (b) 15.71 (0.09)(a) (0.27)(a) (0.36) (0.05)
05/28/1999 - 03/31/2000 10.67 (0.07)(a) 5.31(a) 5.24 (0.02)
Emerging Markets Bond Fund
Class A
09/30/2000 (b) $ 8.61 $ 0.41(a) $ 0.02(a) $ 0.43 $ (0.40)
03/31/2000 7.51 0.84(a) 1.10(a) 1.94 (0.84)
03/31/1999 9.67 0.83(a) (2.11)(a) (1.28) (0.83)
07/31/1997 - 03/31/1998 10.00 0.44(a) (0.18)(a) 0.26 (0.44)
Class B
09/30/2000 (b) 8.61 0.37(a) 0.03(a) 0.40 (0.37)
03/31/2000 7.51 0.77(a) 1.11(a) 1.88 (0.78)
03/31/1999 9.67 0.77(a) (2.11)(a) (1.34) (0.77)
07/31/1997 - 03/31/1998 10.00 0.40(a) (0.20)(a) 0.20 (0.38)
Class C
09/30/2000 (b) 8.61 0.37(a) 0.04(a) 0.41 (0.38)
03/31/2000 7.51 0.78(a) 1.10(a) 1.88 (0.78)
03/31/1999 9.67 0.77(a) (2.11)(a) (1.34) (0.77)
07/31/1997 - 03/31/1998 10.00 0.38(a) (0.18)(a) 0.20 (0.38)
Foreign Bond Fund
Class A
09/30/2000 (b) $ 10.03 $ 0.29(a) $ 0.07(a) $ 0.36 $ (0.29)
03/31/2000 10.63 0.59(a) (0.45)(a) 0.14 (0.59)
03/31/1999 10.74 0.53(a) 0.24(a) 0.77 (0.53)
03/31/1998 10.41 0.61(a) 0.62(a) 1.23 (0.59)
01/20/1997 - 03/31/1997 10.59 0.59 (0.72) (0.13) (0.05)
Class B
09/30/2000 (b) 10.03 0.25(a) 0.06(a) 0.31 (0.24)
03/31/2000 10.63 0.51(a) (0.45)(a) 0.06 (0.51)
03/31/1999 10.74 0.46(a) 0.24(a) 0.70 (0.46)
03/31/1998 10.41 0.53(a) 0.61(a) 1.14 (0.50)
01/20/1997 - 03/31/1997 10.59 0.58 (0.72) (0.14) (0.04)
Class C
09/30/2000 (b) 10.03 0.25(a) 0.06(a) 0.31 (0.24)
03/31/2000 10.63 0.51(a) (0.45)(a) 0.06 (0.51)
03/31/1999 10.74 0.45(a) 0.24(a) 0.69 (0.45)
03/31/1998 10.41 0.52(a) 0.62(a) 1.14 (0.50)
01/20/1997 - 03/31/1997 10.59 0.58 (0.72) (0.14) (0.04)
</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 1.70%.
(d) If the investment manager had not reimbursed expenses, the ratio of expenses
to average net assets would have been 1.08%.
116 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 Net Assets End
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 $ (0.20) $ 10.29 4.46% $ 30,905
0.00 (0.02) 0.00 (0.19) 10.05 2.94 1,793
$ 0.00 $ 0.00 $ 0.00 $ (0.09) $ 10.38 1.51% $ 10
$ 0.00 $ 0.00 $ 0.00 $ (0.10) $ 15.33 (2.10)% $ 7,029
(0.14) (0.09) 0.00 (0.26) 15.76 50.36 5,327
0.00 0.00 0.00 (0.06) 15.27 (2.23) 5,513
(0.10) (0.09) 0.00 (0.21) 15.68 49.18 2,437
0.00 0.00 0.00 (0.05) 15.30 (2.25) 14,129
(0.09) (0.09) 0.00 (0.20) 15.71 49.33 7,924
$ 0.00 $ 0.00 $ 0.00 $ (0.40) $ 8.64 5.19% $ 321
0.00 0.00 0.00 (0.84) 8.61 27.39 316
0.00 0.00 (0.05) (0.88) 7.51 (12.90) 172
0.00 (0.15) 0.00 (0.59) 9.67 2.84 317
0.00 0.00 0.00 (0.37) 8.64 4.75 1,320
0.00 0.00 0.00 (0.78) 8.61 26.43 1,168
0.00 0.00 (0.05) (0.82) 7.51 (13.58) 398
0.00 (0.15) 0.00 (0.53) 9.67 2.29 304
0.00 0.00 0.00 (0.38) 8.64 4.88 556
0.00 0.00 0.00 (0.78) 8.61 26.49 249
0.00 0.00 (0.05) (0.82) 7.51 (13.57) 229
0.00 (0.15) 0.00 (0.53) 9.67 2.29 136
$ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 10.10 3.59% $ 65,845
0.00 (0.15) 0.00 (0.74) 10.03 1.50 54,299
0.00 (0.10) (0.25) (0.88) 10.63 7.43 29,009
0.00 (0.31) 0.00 (0.90) 10.74 12.14 9,582
0.00 0.00 0.00 (0.05) 10.41 (1.21) 704
0.00 0.00 0.00 (0.24) 10.10 3.15 25,730
0.00 (0.15) 0.00 (0.66) 10.03 0.72 24,402
0.00 (0.10) (0.25) (0.81) 10.63 6.69 21,256
0.00 (0.31) 0.00 (0.81) 10.74 11.29 10,631
0.00 0.00 0.00 (0.04) 10.41 (1.34) 1,221
0.00 0.00 0.00 (0.24) 10.10 3.16 30,961
0.00 (0.15) 0.00 (0.66) 10.03 0.73 30,214
0.00 (0.10) (0.25) (0.80) 10.63 6.63 29,584
0.00 (0.31) 0.00 (0.81) 10.74 11.29 17,080
0.00 0.00 0.00 (0.04) 10.41 (1.32) 1,788
</TABLE>
<TABLE>
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Average Net to Average Portfolio
Assets Net Assets Turnover Rate
----------- ------------ -------------
<S> <C> <C>
0.85%+ 3.78%+ 194%
0.85+(f) 3.96+ 357
0.85%+ 4.73%+ 286%
1.08%+ (0.41)%+ 100%
1.05+(d) 0.15+ 247
1.83+ (1.21)+ 100
1.80+(e) (0.58)+ 247
1.83+ 0.03+ 100
1.80+(e) (0.59)+ 247
1.25%+ 9.44%+ 377%
1.29 10.59 328
1.25 10.26 315
1.26+ 6.93+ 695
2.00+ 8.63+ 377
2.04 9.57 328
2.00 9.68 315
2.01+ 6.33+ 695
2.00+ 8.74+ 377
2.04 9.87 328
2.00 9.79 315
2.01+ 6.11+ 695
1.00%+ 5.72%+ 248%
1.19 (g) 5.75 330
0.95 4.87 376
0.95 5.88 280
0.97+ 4.95+ 984
1.75+ 5.00+ 248
1.91 (c) 5.00 330
1.70 4.14 376
1.70 5.13 280
1.75+ 3.73+ 984
1.75+ 5.01+ 248
1.91 (c) 5.01 330
1.70 4.16 376
1.70 5.13 280
1.76+ 4.09+ 984
</TABLE>
(e) If the investment manager had not reimbursed expenses, the ratio of expenses
to average net assets would have been 1.83%.
(f) If the investment manager had not reimbursed expenses, the ratio of expenses
to average net assets would have been 1.63%.
(g) Ratio of expenses to average net assets excluding interest expense is 0.95%.
See accompanying notes 117
<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 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>
Global Bond Fund II
Class A
09/30/2000 (b) $ 9.41 $ 0.28 (a) $ 0.07 (a) $ 0.35 $ (0.28)
03/31/2000 9.89 0.52 (a) (0.46) (a) 0.06 (0.51)
03/31/1999 9.92 0.48 (a) 0.06 (a) 0.54 (0.48)
03/31/1998 10.84 0.64 (a) 0.51 (a) 1.15 0.00
10/01/1996 - 03/31/1997 10.96 0.66 (0.16) 0.50 (0.22)
09/30/1996 10.00 0.32 (e) 0.95 1.27 (0.31)
Class B
09/30/2000 (b) 9.41 0.25 (a) 0.07 (a) 0.32 (0.25)
03/31/2000 9.89 0.45 (a) (0.46) (a) (0.01) (0.44)
03/31/1999 9.92 0.41 (a) 0.06 (a) 0.47 (0.41)
03/31/1998 10.84 0.66 (a) 0.41 (a) 1.07 0.00
10/01/1996 - 03/31/1997 10.96 0.62 (0.16) 0.46 (0.18)
09/30/1996 10.00 0.30 (e) 0.92 1.22 (0.26)
Class C
09/30/2000 (b) 9.41 0.25 (a) 0.07 (a) 0.32 (0.25)
03/31/2000 9.89 0.45 (a) (0.46) (a) (0.01) (0.44)
03/31/1999 9.92 0.41 (a) 0.06 (a) 0.47 (0.41)
03/31/1998 10.84 0.55 (a) 0.52 (a) 1.07 0.00
10/01/1996 - 03/31/1997 10.96 0.62 (0.16) 0.46 (0.18)
09/30/1996 10.00 0.30 (e) 0.92 1.22 (0.26)
High Yield Fund
Class A
09/30/2000 (b) $ 10.22 $ 0.44 (a) $ (0.10) (a) $ 0.34 $ (0.44)
03/31/2000 11.23 0.89 (a) (1.01) (a) (0.12) (0.88)
03/31/1999 11.66 0.91 (a) (0.43) (a) 0.48 (0.90)
03/31/1998 11.10 0.93 (a) 0.66 (a) 1.59 (0.94)
01/13/1997 - 03/31/1997 11.18 0.17 (0.05) 0.12 (0.20)
Class B
09/30/2000 (b) 10.22 0.40 (a) (0.10) (a) 0.30 (0.40)
03/31/2000 11.23 0.81 (a) (1.01) (a) (0.20) (0.80)
03/31/1999 11.66 0.82 (a) (0.43) (a) 0.39 (0.81)
03/31/1998 11.10 0.84 (a) 0.66 (a) 1.50 (0.85)
01/13/1997 - 03/31/1997 11.18 0.15 (0.05) 0.10 (0.18)
Class C
09/30/2000 (b) 10.22 0.40 (a) (0.10) (a) 0.30 (0.40)
03/31/2000 11.23 0.81 (a) (1.01) (a) (0.20) (0.80)
03/31/1999 11.66 0.82 (a) (0.43) (a) 0.39 (0.81)
03/31/1998 11.10 0.85 (a) 0.65 (a) 1.50 (0.85)
01/13/1997 - 03/31/1997 11.18 0.15 (0.05) 0.10 (0.18)
</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 without the waiver would have been
1.57%.
(d) Ratio of net investment income to average net assets without the waiver
would have been 4.58%.
(e) Reflects voluntary waiver of investment advisory fee of $12,041 (0.01 per
share) by the Advisor.
118 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 Net Assets End
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 $ (0.28) $ 9.48 3.79% $ 1,876
(0.01) (0.02) 0.00 (0.54) 9.41 0.71 2,279
0.00 (0.01) (0.08) (0.57) 9.89 5.65 2,728
(0.54) (1.53) 0.00 (2.07) 9.92 11.21 6,816
0.00 (0.40) 0.00 (0.62) 10.84 4.55 7,652
0.00 0.00 0.00 (0.31) 10.96 15.01 7,360
0.00 0.00 0.00 (0.25) 9.48 3.41 4,405
(0.01) (0.02) 0.00 (0.47) 9.41 (0.05) 4,590
0.00 (0.01) (0.08) (0.50) 9.89 4.85 4,909
(0.46) (1.53) 0.00 (1.99) 9.92 10.39 4,473
0.00 (0.40) 0.00 (0.58) 10.84 4.17 3,925
0.00 0.00 0.00 (0.26) 10.96 14.54 3,240
0.00 0.00 0.00 (0.25) 9.48 3.41 4,665
(0.01) (0.02) 0.00 (0.47) 9.41 (0.05) 5,254
0.00 (0.01) (0.08) (0.50) 9.89 4.82 5,863
(0.46) (1.53) 0.00 (1.99) 9.92 10.39 6,096
0.00 (0.40) 0.00 (0.58) 10.84 4.17 5,323
0.00 0.00 0.00 (0.26) 10.96 14.54 3,459
$ 0.00 $ 0.00 $ 0.00 $ (0.44) $ 10.12 3.41% $ 194,060
(0.01) 0.00 0.00 (0.89) 10.22 (1.15) 187,039
(0.01) 0.00 0.00 (0.91) 11.23 4.32 155,466
0.00 0.00 (0.09) (1.03) 11.66 14.80 70,858
0.00 0.00 0.00 (0.20) 11.10 1.06 28,873
0.00 0.00 0.00 (0.40) 10.12 3.03 295,258
(0.01) 0.00 0.00 (0.81) 10.22 (1.89) 303,333
(0.01) 0.00 0.00 (0.82) 11.23 3.54 286,198
0.00 0.00 (0.09) (0.94) 11.66 13.94 156,099
0.00 0.00 0.00 (0.18) 11.10 0.86 60,269
0.00 0.00 0.00 (0.40) 10.12 3.03 331,227
(0.01) 0.00 0.00 (0.81) 10.22 (1.89) 341,953
(0.01) 0.00 0.00 (0.82) 11.23 3.55 370,861
0.00 0.00 (0.09) (0.94) 11.66 13.95 284,836
0.00 0.00 0.00 (0.18) 11.10 0.88 205,297
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Average Net to Average Portfolio
Assets Net Assets Turnover Rate
----------- ------------- -------------
<S> <C> <C>
0.95%+ 6.00%+ 209%
0.98 5.45 290
0.95 5.07 236
0.95 5.88 369
2.05+ 5.60+ 307
1.27 (c) 4.88 (d) 1246
1.70+ 5.25+ 209
1.73 4.72 290
1.70 4.16 236
1.70 5.12 369
2.57+ 4.22+ 307
2.49 (c) 4.09 (d) 1246
1.70+ 5.26+ 209
1.73 4.71 290
1.70 4.16 236
1.70 5.12 369
2.43+ 4.14+ 307
2.49 (c) 4.09 (d) 1246
0.90%+ 8.59%+ 20%
0.90 8.23 39
0.90 7.94 39
0.90 8.02 37
0.92+ 8.28+ 67
1.65+ 7.85+ 20
1.65 7.48 39
1.65 7.21 39
1.65 7.27 37
1.67+ 7.52+ 67
1.65+ 7.85+ 20
1.65 7.49 39
1.65 7.24 39
1.65 7.36 37
1.68+ 7.56+ 67
</TABLE>
See accompanying notes 119
<PAGE>
Financial Highlights - A, B, and C Classes (Cont.)
<TABLE>
<CAPTION>
Net Realized /
Net Asset Value Unrealized Gain Total Income Dividends from
Beginning of Net Investment (Loss) on from Investment Net Investment
Selected Per Share Data for the Year or Period Ended: Period Income (Loss) Investments Operations Income
-------------- -------------- --------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
Long-Term U.S. Government Fund
Class A
09/30/2000 (b) $ 9.79 $ 0.29 (a) $ 0.16 (a) $ 0.45 $ (0.29)
03/31/2000 10.30 0.58 (a) (0.51)(a) 0.07 (0.58)
03/31/1999 10.57 0.59 (a) 0.20 (a) 0.79 (0.60)
03/31/1998 9.39 0.48 (a) 1.34 (a) 1.82 (0.58)
01/20/1997 - 03/31/1997 9.67 0.32 (0.47) (0.15) (0.13)
Class B
09/30/2000 (b) 9.79 0.25 (a) 0.17 (a) 0.42 (0.26)
03/31/2000 10.30 0.50 (a) (0.50)(a) (0.00) (0.51)
03/31/1999 10.57 0.51 (a) 0.20 (a) 0.71 (0.52)
03/31/1998 9.39 0.39 (a) 1.35 (a) 1.74 (0.50)
01/20/1997 - 03/31/1997 9.67 0.29 (0.47) (0.18) (0.10)
Class C
09/30/2000 (b) 9.79 0.25 (a) (0.17)(a) 0.42 (0.26)
03/31/2000 10.30 0.51 (a) (0.51)(a) (0.00) (0.51)
03/31/1999 10.57 0.50 (a) 0.21 (a) 0.71 (0.52)
03/31/1998 9.39 0.39 (a) 1.35 (a) 1.74 (0.50)
01/20/1997 - 03/31/1997 9.67 0.29 (0.47) (0.18) (0.10)
Low Duration Fund
Class A
09/30/2000 (b) $ 9.81 $ 0.29 (a) $ 0.08 (a) $ 0.37 $ (0.32)
03/31/2000 10.10 0.59 (a) (0.29)(a) 0.30 (0.58)
03/31/1999 10.18 0.60 (a) (0.02)(a) 0.58 (0.60)
03/31/1998 9.98 0.60 (a) 0.23 (a) 0.83 (0.58)
01/13/1997 - 03/31/1997 10.02 0.12 (0.03) 0.09 (0.12)
Class B
09/30/2000 (b) 9.81 0.25 (a) 0.08 (a) 0.33 (0.28)
03/31/2000 10.10 0.51 (a) (0.29)(a) 0.22 (0.50)
03/31/1999 10.18 0.52 (a) (0.02)(a) 0.50 (0.52)
03/31/1998 9.98 0.53 (a) 0.22 (a) 0.75 (0.50)
01/13/1997 - 03/31/1997 10.02 0.10 (0.03) 0.07 (0.11)
Class C
09/30/2000 (b) 9.81 0.27 (a) 0.07 (a) 0.34 (0.29)
03/31/2000 10.10 0.54 (a) (0.29)(a) 0.25 (0.53)
03/31/1999 10.18 0.55 (a) (0.02)(a) 0.53 (0.55)
03/31/1998 9.98 0.55 (a) 0.23 (a) 0.78 (0.53)
01/13/1997 - 03/31/1997 10.02 0.11 (0.03) 0.08 (0.11)
Money Market Fund
Class A
09/30/2000 (b) $ 1.00 $ 0.03 (a) $ 0.00 (a) $ 0.03 $ (0.03)
03/31/2000 1.00 0.05 (a) 0.00 (a) 0.05 (0.05)
03/31/1999 1.00 0.05 (a) 0.00 (a) 0.05 (0.05)
03/31/1998 1.00 0.05 (a) 0.00 (a) 0.05 (0.05)
01/13/1997 - 03/31/1997 1.00 0.01 0.00 0.01 (0.01)
Class B
09/30/2000 (b) 1.00 0.02 (a) 0.00 (a) 0.02 (0.02)
03/31/2000 1.00 0.04 (a) 0.00 (a) 0.04 (0.04)
03/31/1999 1.00 0.04 (a) 0.00 (a) 0.04 (0.04)
03/31/1998 1.00 0.04 (a) 0.00 (a) 0.04 (0.04)
01/13/1997 - 03/31/1997 1.00 0.01 0.00 0.01 (0.01)
Class C
09/30/2000 (b) 1.00 0.03 (a) 0.00 (a) 0.03 (0.03)
03/31/2000 1.00 0.05 (a) 0.00 (a) 0.05 (0.05)
03/31/1999 1.00 0.05 (a) 0.00 (a) 0.05 (0.05)
03/31/1998 1.00 0.05 (a) 0.00 (a) 0.05 (0.05)
01/13/1997 - 03/31/1997 1.00 0.01 0.00 0.01 (0.01)
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Unaudited
120 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 Net Assets End
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 $ (0.29) $ 9.95 4.69% $ 46,694
0.00 0.00 0.00 (0.58) 9.79 0.86 42,773
0.00 0.00 (0.46) (1.06) 10.30 7.34 29,809
0.00 (0.06) 0.00 (0.64) 10.57 19.78 6,161
0.00 0.00 0.00 (0.13) 9.39 (1.72) 1,204
0.00 0.00 0.00 (0.26) 9.95 4.30 35,627
0.00 0.00 0.00 (0.51) 9.79 0.11 34,301
0.00 0.00 (0.46) (0.98) 10.30 6.51 37,946
0.00 (0.06) 0.00 (0.56) 10.57 18.85 7,516
0.00 0.00 0.00 (0.10) 9.39 (1.92) 454
0.00 0.00 0.00 (0.26) 9.95 4.30 22,586
0.00 0.00 0.00 (0.51) 9.79 0.11 20,955
0.00 0.00 (0.46) (0.98) 10.30 6.52 31,653
0.00 (0.06) 0.00 (0.56) 10.57 18.86 7,258
0.00 0.00 0.00 (0.10) 9.39 (1.83) 275
$ 0.00 $ 0.00 $ 0.00 $ (0.32) $ 9.86 3.79% $ 247,747
(0.01) 0.00 0.00 (0.59) 9.81 3.07 235,413
0.00 (0.01) (0.05) (0.66) 10.10 5.86 191,727
(0.02) (0.03) 0.00 (0.63) 10.18 8.49 109,531
(0.01) 0.00 0.00 (0.13) 9.98 0.85 59,348
0.00 0.00 0.00 (0.28) 9.86 3.41 76,229
(0.01) 0.00 0.00 (0.51) 9.81 2.30 73,121
0.00 (0.01) (0.05) (0.58) 10.10 5.07 65,160
(0.02) (0.03) 0.00 (0.55) 10.18 7.68 17,624
0.00 0.00 0.00 (0.11) 9.98 0.68 5,296
0.00 0.00 0.00 (0.29) 9.86 3.54 110,046
(0.01) 0.00 0.00 (0.54) 9.81 2.55 110,447
0.00 (0.01) (0.05) (0.61) 10.10 5.33 112,229
(0.02) (0.03) 0.00 (0.58) 10.18 8.01 68,766
(0.01) 0.00 0.00 (0.12) 9.98 0.75 63,606
$ 0.00 $ 0.00 $ 0.00 $ (0.03) $ 1.00 2.95% $ 44,467
0.00 0.00 0.00 (0.05) 1.00 4.92 101,734
0.00 0.00 0.00 (0.05) 1.00 4.76 105,200
0.00 0.00 0.00 (0.05) 1.00 5.10 41,375
0.00 0.00 0.00 (0.01) 1.00 1.01 43,589
0.00 0.00 0.00 (0.02) 1.00 2.50 20,669
0.00 0.00 0.00 (0.04) 1.00 3.99 25,507
0.00 0.00 0.00 (0.04) 1.00 4.03 14,968
0.00 0.00 0.00 (0.04) 1.00 4.21 2,937
0.00 0.00 0.00 (0.01) 1.00 0.83 3,143
0.00 0.00 0.00 (0.03) 1.00 2.95 82,877
0.00 0.00 0.00 (0.05) 1.00 4.95 99,475
0.00 0.00 0.00 (0.05) 1.00 4.85 86,159
0.00 0.00 0.00 (0.05) 1.00 5.14 55,696
0.00 0.00 0.00 (0.01) 1.00 1.02 85,398
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Average Net to Average Portfolio
Assets Net Assets Turnover Rate
----------- ------------- -------------
<S> <C> <C>
0.90%+ 5.88%+ 828%
0.99 (e) 5.96 320
1.34 (e) 5.33 364
0.91 4.49 177
1.12+ 6.91+ 402
1.65+ 5.12+ 828
1.72 (c) 5.16 320
2.13 (c) 4.53 364
1.66 4.64 177
1.87+ 4.95+ 402
1.65+ 5.12+ 828
1.71 (c) 5.16 320
2.16 (c) 4.50 364
1.66 4.64 177
1.88+ 5.52+ 402
0.91%+ 5.84%+ 107%
0.98 (e) 5.91 82
0.90 5.85 245
0.90 5.93 309
0.91+ 5.84+ 240
1.65+ 5.09+ 107
1.73 (c) 5.16 82
1.65 5.03 245
1.65 5.16 309
1.67+ 5.03+ 240
1.40+ 5.36+ 107
1.48 (d) 5.42 82
1.40 5.35 245
1.40 5.46 309
1.42+ 5.36+ 240
0.61%+ 5.90%+ N/A
0.60 4.90 N/A
0.60 4.78 N/A
0.60 5.02 N/A
0.57+ 4.44+ N/A
1.51+ 4.91+ N/A
1.50 4.05 N/A
1.50 3.79 N/A
1.50 4.15 N/A
1.41+ 3.62+ N/A
0.61+ 5.78+ N/A
0.60 4.78 N/A
0.60 4.79 N/A
0.60 5.05 N/A
0.58+ 4.47+ N/A
</TABLE>
(c) Ratio of expenses to average net assets excluding interest expense is 1.65%.
(d) Ratio of expenses to average net assets excluding interest expense is 1.40%.
(e) Ratio of expenses to average net assets excluding interest expense is 0.90%.
See accompanying notes 121
<PAGE>
Financial Highlights - A, B, and C Classes (Cont.)
<TABLE>
<CAPTION>
Net Realized /
Net Asset Value Unrealized Gain Total Income Dividends from
Beginning of Net Investment (Loss) on from Investment Net Investment
Selected Per Share Data for the Year or Period Ended: Period Income (Loss) Investments Operations Income
-------------- -------------- -------------- --------------- --------------
Municipal Bond Fund
Class A
<S> <C> <C> <C> <C> <C> <C>
09/30/2000 (b) $ 9.47 $ 0.22 (a) $ 0.15 (a) $ 0.37 $ (0.22)
03/31/2000 10.12 0.43 (a) (0.65) (a) (0.22) (0.43)
03/31/1999 9.97 0.41 (a) 0.15 (a) 0.56 (0.41)
Class B
09/30/2000 (b) 9.47 0.19 (a) 0.15 (a) 0.34 (0.19)
03/31/2000 10.12 0.36 (a) (0.65) (a) (0.29) (0.36)
03/31/1999 9.97 0.34 (a) 0.14 (a) 0.48 (0.33)
Class C
09/30/2000 (b) 9.47 0.20 (a) 0.15 (a) 0.35 (0.20)
03/31/2000 10.12 0.38 (a) (0.65) (a) (0.27) (0.38)
03/31/1999 9.97 0.36 (a) 0.15 (a) 0.51 (0.36)
New York Intermediate Municipal Bond Fund
Class A
09/30/2000 (b) $ 9.94 $ 0.20 (a) $ 0.27 (a) $ 0.47 $ (0.20)
10/19/1999 - 03/31/2000 9.90 0.16 (a) 0.07 (a) 0.23 (0.17)
Real Return Bond Fund
Class A
09/30/2000 (b) $ 9.92 $ 0.41 (a) $ 0.05 (a) $ 0.46 $ (0.43)
03/31/2000 9.83 0.64 (a) 0.11 (a) 0.75 (0.64)
03/31/1999 9.77 0.43 (a) 0.14 (a) 0.57 (0.45)
03/31/1998 9.93 0.40 (a) 0.03 (a) 0.43 (0.42)
01/29/1997 - 03/31/1997 10.00 0.11 (a) (0.10) (a) 0.01 (0.08)
Class B
09/30/2000 (b) 9.92 0.38 (a) 0.05 (a) 0.43 (0.40)
03/31/2000 9.83 0.57 (a) 0.11 (a) 0.68 (0.57)
03/31/1999 9.77 0.37 (a) 0.12 (a) 0.49 (0.38)
03/31/1998 9.93 0.33 (a) 0.03 (a) 0.36 (0.36)
01/29/1997 - 03/31/1997 10.00 0.09 (0.10) (0.01) (0.06)
Class C
09/30/2000 (b) 9.92 0.39 (a) 0.05 (a) 0.44 (0.41)
03/31/2000 9.83 0.58 (a) 0.12 (a) 0.70 (0.59)
03/31/1999 9.77 0.44 (a) 0.08 (a) 0.52 (0.40)
03/31/1998 9.93 0.35 (a) 0.04 (a) 0.39 (0.38)
01/29/1997 - 03/31/1997 10.00 0.09 (0.10) (0.01) (0.06)
Short-Term Fund
Class A
09/30/2000 (b) $ 9.95 $ 0.30 (a) $ 0.02 (a) $ 0.32 $ (0.30)
03/31/2000 10.03 0.55 (a) (0.09) (a) 0.46 (0.54)
03/31/1999 10.06 0.53 (a) (0.02) (a) 0.51 (0.53)
03/31/1998 10.00 0.55 (a) 0.09 (a) 0.64 (0.56)
01/20/1997 - 03/31/1997 10.04 0.10 (0.03) 0.07 (0.10)
Class B
09/30/2000 (b) 9.95 0.26 (a) 0.02 (a) 0.28 (0.26)
03/31/2000 10.03 0.48 (a) (0.09) (a) 0.39 (0.47)
03/31/1999 10.06 0.45 (a) (0.02) (a) 0.43 (0.45)
03/31/1998 10.00 0.50 (a) 0.08 (a) 0.58 (0.50)
01/20/1997 - 03/31/1997 10.04 0.09 (0.03) 0.06 (0.10)
Class C
09/30/2000 (b) 9.95 0.28 (a) 0.02 (a) 0.30 (0.28)
03/31/2000 10.03 0.52 (a) (0.09) (a) 0.43 (0.51)
03/31/1999 10.06 0.50 (a) (0.02) (a) 0.48 (0.50)
03/31/1998 10.00 0.54 (a) 0.07 (a) 0.61 (0.53)
01/20/1997 - 03/31/1997 10.04 0.09 (0.03) 0.06 (0.10)
</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 1.60%.
122 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 Net Assets End
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 $ (0.22) $ 9.62 3.98% $ 6,473
0.00 0.00 0.00 (0.43) 9.47 (2.16) 8,666
0.00 0.00 0.00 (0.41) 10.12 5.67 7,020
0.00 0.00 0.00 (0.19) 9.62 3.60 4,979
0.00 0.00 0.00 (0.36) 9.47 (2.89) 5,314
0.00 0.00 0.00 (0.33) 10.12 4.88 6,070
0.00 0.00 0.00 (0.20) 9.62 3.73 27,907
0.00 0.00 0.00 (0.38) 9.47 (2.64) 28,674
0.00 0.00 0.00 (0.36) 10.12 5.13 37,913
$ 0.00 $ 0.00 $ 0.00 $ (0.20) $ 10.21 4.77% $ 10
0.00 (0.02) 0.00 (0.19) 9.94 2.30 10
$ 0.00 $ 0.00 $ 0.00 $ (0.43) $ 9.95 4.78% $ 37,719
0.00 (0.02) 0.00 (0.66) 9.92 7.93 17,676
(0.06) 0.00 0.00 (0.51) 9.83 5.99 6,250
(0.03) (0.14) 0.00 (0.59) 9.77 4.12 370
0.00 0.00 0.00 (0.08) 9.93 0.15 1
0.00 0.00 0.00 (0.40) 9.95 4.40 21,856
0.00 (0.02) 0.00 (0.59) 9.92 7.16 11,463
(0.05) 0.00 0.00 (0.43) 9.83 5.19 3,646
(0.02) (0.14) 0.00 (0.52) 9.77 3.50 1,496
0.00 0.00 0.00 (0.06) 9.93 (0.08) 509
0.00 0.00 0.00 (0.41) 9.95 4.53 32,547
0.00 (0.02) 0.00 (0.61) 9.92 7.40 17,336
(0.06) 0.00 0.00 (0.46) 9.83 5.46 2,534
(0.03) (0.14) 0.00 (0.55) 9.77 3.73 490
0.00 0.00 0.00 (0.06) 9.93 (0.07) 148
$ 0.00 $ 0.00 $ 0.00 $ (0.30) $ 9.97 3.24% $ 82,311
0.00 0.00 0.00 (0.54) 9.95 4.76 75,671
0.00 0.00 (0.01) (0.54) 10.03 5.21 80,787
(0.01) (0.01) 0.00 (0.58) 10.06 6.64 24,182
(0.01) 0.00 0.00 (0.11) 10.00 0.66 2,533
0.00 0.00 0.00 (0.26) 9.97 2.86 6,229
0.00 0.00 0.00 (0.47) 9.95 4.00 6,694
0.00 0.00 (0.01) (0.46) 10.03 4.43 3,813
(0.01) (0.01) 0.00 (0.52) 10.06 5.96 1,258
0.00 0.00 0.00 (0.10) 10.00 0.58 114
0.00 0.00 0.00 (0.28) 9.97 3.09 18,479
0.00 0.00 0.00 (0.51) 9.95 4.45 18,935
0.00 0.00 (0.01) (0.51) 10.03 4.91 15,589
(0.01) (0.01) 0.00 (0.55) 10.06 6.33 6,763
0.00 0.00 0.00 (0.10) 10.00 0.63 1,359
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Average Net to Average Portfolio
Assets Net Assets Turnover Rate
----------- ------------- -------------
<S> <C> <C>
0.85%+ 4.64%+ 150%
0.85 4.44 145
0.86 4.10 70
1.60+ 3.90+ 150
1.60 3.69 145
1.61 3.33 70
1.35+ 4.15+ 150
1.35 3.94 145
1.35 3.60 70
0.85%+ 3.95%+ 623%
0.89+(e) 3.68+ 270
0.93%+ 8.16%+ 179%
0.93 6.57 253
0.92 4.40 438
0.92 4.06 967
0.90+ 6.14+ 160
1.68+ 7.53+ 179
1.68 5.82 253
1.68 3.72 438
1.67 3.32 967
1.59+ 3.43+ 160
1.43+ 7.77+ 179
1.43 5.90 253
1.43 4.49 438
1.42 3.56 967
1.62+ 5.13+ 160
1.23%+(f) 5.96%+ 62%
1.03 (f) 5.45 38
0.85 5.15 47
0.85 5.48 48
0.86+ 5.07+ 77
1.97+(c) 5.20+ 62
1.80 (c) 4.77 38
1.60 4.45 47
1.60 4.97 48
1.62+ 4.83+ 77
1.52+(d) 5.65+ 62
1.34 (d) 5.17 38
1.15 4.92 47
1.15 5.33 48
1.14+ 4.78+ 77
</TABLE>
(d) Ratio of expenses to average net assets excluding interest expense is 1.15%.
(e) If the investment manager had not reimbursed expenses, the ratio of
expenses to average net assets would have been 1.88%.
(f) Ratio of expenses to average net assets excluding interest expense is 0.85%.
See accompanying notes 123
<PAGE>
Financial Highlights - A, B, and C Classes (Cont.)
<TABLE>
<CAPTION>
Net Realized /
Net Asset Value Unrealized Gain Total Income Dividends from
Beginning of Net Investment (Loss) on from Investment Net Investment
Selected Per Share Data for the Year or Period Ended: Period Income (Loss) Investments Operations Income
-------------- -------------- --------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
StocksPLUS Fund
Class A
09/30/2000 (b) $ 14.06 $ 0.20 (a) $ (0.67)(a) $ (0.47) $ (0.24)
03/31/2000 14.26 1.05 (a) 1.27 (a) 2.32 (1.04)
03/31/1999 14.06 0.93 (a) 1.29 (a) 2.22 (0.78)
03/31/1998 11.46 1.66 (a) 3.41 (a) 5.07 (1.38)
01/20/1997 - 03/31/1997 11.91 (0.10) (0.20) (0.30) (0.15)
Class B
09/30/2000 (b) 13.96 0.16 (a) (0.68)(a) (0.52) (0.19)
03/31/2000 14.18 0.90 (a) 1.30 (a) 2.20 (0.94)
03/31/1999 14.01 0.84 (a) 1.26 (a) 2.10 (0.69)
03/31/1998 11.44 1.61 (a) 3.35 (a) 4.96 (1.30)
01/20/1997 - 03/31/1997 11.91 (0.13) (0.20) (0.33) (0.14)
Class C
09/30/2000 (b) 14.00 0.17 (a) (0.67)(a) (0.50) (0.20)
03/31/2000 14.21 0.94 (a) 1.30 (a) 2.24 (0.97)
03/31/1999 14.03 0.86 (a) 1.28 (a) 2.14 (0.72)
03/31/1998 11.45 1.64 (a) 3.35 (a) 4.99 (1.32)
01/20/1997 - 03/31/1997 11.91 (0.12) (a) (0.20)(a) (0.32) (0.14)
Strategic Balanced Fund
Class A
09/30/2000 (b) $ 12.74 $ 0.31 (a) $ (0.43)(a) $ (0.12) $ (0.41)
05/28/1999 -03/31/2000 12.80 0.64 (a) 0.48 (a) 1.12 (0.72)
Class B
09/30/2000 (b) 12.72 0.26 (a) (0.43)(a) (0.17) (0.37)
05/28/1999 -03/31/2000 12.80 0.60 (a) 0.45 (a) 1.05 (0.67)
Class C
09/30/2000 (b) 12.70 0.26 (a) (0.43)(a) (0.17) (0.37)
05/28/1999 -03/31/2000 12.80 0.61 (a) 0.42 (a) 1.03 (0.67)
Total Return Fund
Class A
09/30/2000 (b) $ 9.96 $ 0.31 (a) $ 0.13 (a) $ 0.44 $ (0.31)
03/31/2000 10.36 0.58 (a) (0.40)(a) 0.18 (0.56)
03/31/1999 10.62 0.58 (a) 0.16 (a) 0.74 (0.58)
03/31/1998 10.27 0.58 (a) 0.63 (a) 1.21 (0.57)
01/13/1997 - 03/31/1997 10.40 0.12 (0.12) 0.00 (0.13)
Class B
09/30/2000 (b) 9.96 0.27 (a) 0.13 (a) 0.40 (0.27)
03/31/2000 10.36 0.51 (a) (0.41)(a) 0.10 (0.48)
03/31/1999 10.62 0.50 (a) 0.16 (a) 0.66 (0.50)
03/31/1998 10.27 0.50 (a) 0.63 (a) 1.13 (0.50)
01/13/1997 - 03/31/1997 10.40 0.11 (0.12) (0.01) (0.12)
Class C
09/30/2000 (b) 9.96 0.28 (a) 0.12 (a) 0.40 (0.27)
03/31/2000 10.36 0.51 (a) (0.41)(a) 0.10 (0.48)
03/31/1999 10.62 0.50 (a) 0.16 (a) 0.66 (0.50)
03/31/1998 10.27 0.51 (a) 0.63 (a) 1.14 (0.51)
01/13/1997 - 03/31/1997 10.40 0.11 (0.12) (0.01) (0.12)
Total Return Mortgage Fund
Class A
07/31/2000 - 09/30/2000 (b) $ 10.02 $ 0.09 (a) $ 0.17 (a) $ 0.26 $ (0.10)
Class B
07/31/2000 - 09/30/2000 (b) 10.02 0.09 (a) 0.16 (a) 0.25 (0.09)
Class C
07/31/2000 - 09/30/2000 (b) 10.02 0.09 (a) 0.16 (a) 0.25 (0.09)
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Unaudited
124 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 Net Assets End
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 $ (0.24) $ 13.35 (3.38)% $ 147,695
0.00 (0.97) (0.51) (2.52) 14.06 17.26 160,847
0.00 (1.24) 0.00 (2.02) 14.26 17.07 148,748
0.00 (1.09) 0.00 (2.47) 14.06 47.07 62,970
0.00 0.00 0.00 (0.15) 11.46 (2.59) 5,790
0.00 0.00 0.00 (0.19) 13.25 (3.75) 335,065
0.00 (0.97) (0.51) (2.42) 13.96 16.40 374,171
0.00 (1.24) 0.00 (1.93) 14.18 16.21 281,930
0.00 (1.09) 0.00 (2.39) 14.01 46.11 99,039
0.00 0.00 0.00 (0.14) 11.44 (2.81) 8,281
0.00 0.00 0.00 (0.20) 13.30 (3.55) 275,662
0.00 (0.97) (0.51) (2.45) 14.00 16.69 311,942
0.00 (1.24) 0.00 (1.96) 14.21 16.48 245,088
0.00 (1.09) 0.00 (2.41) 14.03 46.38 96,960
0.00 0.00 0.00 (0.14) 11.45 (2.71) 11,254
$ 0.00 $ 0.00 $ 0.00 $ (0.41) $ 12.21 (0.91)% $ 4,148
(0.15) (0.31) 0.00 (1.18) 12.74 9.34 4,468
0.00 0.00 0.00 (0.37) 12.18 (1.35) 10,451
(0.15) (0.31) 0.00 (1.13) 12.72 8.61 11,604
0.00 0.00 0.00 (0.37) 12.16 (1.34) 13,460
(0.15) (0.31) 0.00 (1.13) 12.70 8.47 13,116
$ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 10.09 4.51% $ 2,248,922
(0.02) 0.00 0.00 (0.58) 9.96 1.85 1,947,405
0.00 (0.24) (0.18) (1.00) 10.36 7.09 1,140,606
(0.02) (0.27) 0.00 (0.86) 10.62 12.11 533,893
0.00 0.00 0.00 (0.13) 10.27 0.02 115,742
0.00 0.00 0.00 (0.27) 10.09 4.12 708,451
(0.02) 0.00 0.00 (0.50) 9.96 1.08 654,104
0.00 (0.24) (0.18) (0.92) 10.36 6.28 549,478
(0.01) (0.27) 0.00 (0.78) 10.62 11.26 186,932
0.00 0.00 0.00 (0.12) 10.27 (0.10) 74,130
0.00 0.00 0.00 (0.27) 10.09 4.12 775,765
(0.02) 0.00 0.00 (0.50) 9.96 1.09 720,199
0.00 (0.24) (0.18) (0.92) 10.36 6.29 715,201
(0.01) (0.27) 0.00 (0.79) 10.62 11.28 405,037
0.00 0.00 0.00 (0.12) 10.27 (0.11) 329,104
$ 0.00 $ 0.00 $ 0.00 $ (0.10) $ 10.18 5.04% $ 39
0.00 0.00 0.00 (0.09) 10.18 4.66 10
0.00 0.00 0.00 (0.09) 10.18 4.66 10
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Average Net to Average Portfolio
Assets Net Assets Turnover Rate
----------- ------------- -------------
<S> <C> <C>
1.05%+ 2.95%+ 42%
1.05 7.21 92
1.05 6.66 81
1.05 13.34 30
1.10+ (10.69)+ 47
1.80+ 2.31+ 42
1.80 6.27 92
1.80 6.05 81
1.80 12.60 30
1.88+ (15.13)+ 47
1.55+ 2.52+ 42
1.55 6.47 92
1.55 6.19 81
1.55 12.85 30
1.65+ (12.79)+ 47
1.06%+ 4.84%+ 543%
1.05+ 5.99+ 176
1.81+ 4.10+ 543
1.80+ 5.61+ 176
1.81+ 4.10+ 543
1.80+ 5.66+ 176
0.95%+ 6.17%+ 186%
1.01 (d) 5.79 223
0.90 5.37 154
0.90 5.46 206
0.91+ 6.08+ 173
1.70+ 5.45+ 186
1.76 (c) 5.01 223
1.65 4.55 154
1.65 4.74 206
1.67+ 5.28+ 173
1.70+ 5.47+ 186
1.75 (c) 5.01 223
1.65 4.63 154
1.65 4.83 206
1.67+ 5.32+ 173
0.90%+ 5.22%+ 388%
1.65+ 5.13+ 388
1.65+ 5.13+ 388
</TABLE>
(c) Ratio of expenses to average net assets excluding interest expense is 1.65%.
(d) Ratio of expenses to average net assets excluding interest expense is 0.90%.
See accompanying notes 125
<PAGE>
Statements of Assets and Liabilities
September 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
California
Intermediate California
Amounts in thousands, except per share amounts Municipal Municipal Emerging Markets Foreign
Bond Fund Bond Fund Convertible Fund Bond Fund Bond Fund
------------ ----------- ---------------- ---------------- -------------
<S> <C> <C> <C> <C> <C>
Assets:
Investments, at value $ 100,517 $ 8,991 $ 164,640 $ 58,286 $ 1,057,286
Cash and foreign currency 3 2 23 82 17,587
Receivable for investments sold and
forward foreign currency contracts 0 0 2,707 2,320 102,376
Receivable for Fund shares sold 20 0 298 35 1,104
Interest and dividends receivable 1,374 139 536 1,249 11,017
Variation margin receivable 0 0 0 0 384
Manager reimbursement receivable 14 0 14 0 0
Other assets 3 0 0 1 83
------------ ------------ ------------ ------------ ------------
101,931 9,132 168,218 61,973 1,189,837
------------ ------------ ------------ ------------ ------------
Liabilities:
Payable for investments purchased and
forward foreign currency contracts $ 1,387 $ 0 $ 8,370 $ 2,399 $ 345,681
Payable for financing transactions 0 0 0 7,888 256,309
Notes payable 0 0 0 0 0
Written options outstanding 0 0 0 0 1,096
Payable for Fund shares redeemed 0 0 1 15 889
Dividends payable 0 0 67 28 397
Accrued investment advisory fee 21 2 53 20 122
Accrued administration fee 23 2 37 18 145
Accrued distribution fee 0 0 12 3 37
Accrued servicing fee 7 0 5 1 29
Variation margin payable 0 0 0 0 0
Other liabilities 2 0 0 22 63
1,440 4 8,545 10,394 604,768
------------ ------------ ------------ ------------ ------------
Net Assets $ 100,491 $ 9,128 $ 159,673 $ 51,579 $ 585,069
------------ ------------ ------------ ------------ ------------
Net Assets Consist of:
Paid in capital $ 97,705 $ 8,536 $ 132,006 $ 48,203 $ 605,430
Undistributed (overdistributed) net investment
income (37) 0 4,294 859 15,404
Accumulated undistributed net realized gain
(loss) 331 368 (1,602) 1,137 (7,166)
Net unrealized appreciation (depreciation) 2,492 224 24,975 1,380 (28,599)
------------ ------------ ------------ ------------ ------------
$ 100,491 $ 9,128 $ 159,673 $ 51,579 $ 585,069
------------ ------------ ------------ ------------ ------------
Net Assets:
Class A $ 30,905 $ 10 $ 7,029 $ 321 $ 65,845
Class B 0 0 5,513 1,320 25,730
Class C 0 0 14,129 556 30,961
Other Classes 69,586 9,118 133,002 49,382 462,533
Shares Issued and Outstanding:
Class A 3,004 1 459 37 6,519
Class B 0 0 361 153 2,547
Class C 0 0 923 64 3,065
Net Asset Value and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Class A $ 10.29 $ 10.38 $ 15.33 $ 8.64 $ 10.10
Class B 0.00 0.00 15.27 8.64 10.10
Class C 0.00 0.00 15.30 8.64 10.10
Cost of Investments Owned $ 98,049 $ 8,772 $ 139,705 $ 56,836 $ 1,092,108
------------ ------------ ------------ ------------ ------------
Cost of Foreign Currency Held $ 0 $ 0 $ 20 $ 0 $ 17,695
------------ ------------ ------------ ------------ ------------
</TABLE>
126 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
New York
Global Bond Long-Term Low Money Municipal Municipal Real Return
Fund II High Yield Fund U.S. Gov't Fund Duration Fund Market Fund Bond Fund Bond Fund Bond Fund
----------------- --------------- --------------- ------------- ------------ ----------- --------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 139,326 $ 3,037,644 $ 652,870 $ 5,309,953 $ 344,932 $ 54,626 $ 3,175 $ 1,117,767
1,283 3,666 2,937 0 317 15 1 900
5,033 28,459 701,943 229,584 0 934 2,802 40,080
132 4,419 1,304 14,212 10,394 88 0 7,253
1,364 62,330 10,394 64,423 730 783 38 10,330
27 0 56 261 0 0 0 37
0 0 0 0 0 0 14 0
0 0 1,065 961 0 0 0 893
------------ ------------- ------------ ------------- ------------ ----------- --------- -------------
147,165 3,136,518 1,370,569 5,619,394 356,373 56,446 6,030 1,177,260
------------ ------------- ------------ ------------- ------------ ----------- --------- -------------
$ 37,957 $ 66,227 $ 493,430 $ 932,447 $ 0 $ 0 $ 2,796 $ 48,227
36,599 0 505,316 415,375 0 0 0 589,821
0 0 0 28,531 0 0 0 0
89 0 1 1,370 0 0 0 0
174 3,732 554 18,548 892 78 0 591
38 4,816 406 3,433 34 67 0 379
15 659 78 906 47 12 1 112
20 767 92 733 81 16 1 127
6 485 44 116 16 16 0 28
2 181 23 94 15 9 0 25
0 0 0 0 0 0 0 0
20 127 397 333 0 0 0 5
74,920 76,994 1,000,341 1,401,886 1,085 198 2,798 639,315
------------ ------------- ------------ ------------- ------------ ----------- --------- -------------
$ 72,245 $ 3,059,524 $ 370,228 $ 4,217,508 $ 355,288 $ 56,248 $ 3,232 $ 537,945
------------ ------------- ------------ ------------- ------------ ----------- --------- -------------
$ 73,931 $ 3,505,695 $ 393,575 $ 4,317,927 $ 355,274 $ 56,254 $ 3,164 $ 531,114
939 (2,104) 15 (8,388) 14 7 0 925
430 (214,136) (21,583) (59,730) 0 (583) 25 2,876
(3,055) (229,931) (1,779) (32,301) 0 570 43 3,030
------------ ------------- ------------ ------------- ------------ ----------- --------- -------------
$ 72,245 $ 3,059,524 $ 370,228 $ 4,217,508 $ 355,288 $ 56,248 $ 3,232 $ 537,945
------------ ------------- ------------ ------------- ------------ ----------- --------- -------------
$ 1,876 $ 194,060 $ 46,694 $ 247,747 $ 44,467 $ 6,473 $ 10 $ 37,719
4,405 295,258 35,627 76,229 20,669 4,979 0 21,856
4,665 331,227 22,586 110,046 82,877 27,907 0 32,547
61,299 2,238,979 265,321 3,783,486 207,275 16,889 3,222 445,823
198 19,183 4,693 25,122 44,467 673 1 3,821
464 29,186 3,580 7,730 20,669 518 0 2,217
492 32,741 2,270 11,159 82,878 2,901 0 3,295
$ 9.48 $ 10.12 $ 9.95 $ 9.86 $ 1.00 $ 9.62 $ 10.21 $ 9.95
9.48 10.12 9.95 9.86 1.00 9.62 0.00 9.95
9.48 10.12 9.95 9.86 1.00 9.62 0.00 9.95
$ 142,734 $ 3,267,577 $ 655,397 $ 5,347,094 $ 344,932 $ 54,056 $ 3,133 $ 1,114,720
------------ ------------- ------------ ------------- ------------ ----------- --------- -------------
$ 1,438 $ 0 $ 0 $ 5,462 $ 0 $ 0 $ 0 $ 464
------------ ------------- ------------ ------------- ------------ ----------- --------- -------------
</TABLE>
See accompanying notes 127
<PAGE>
Statements of Assets and Liabilities (Cont.)
September 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Amounts in thousands, except per share amounts Short-Term StocksPLUS Strategic Total Return Total Return
Fund Fund Balanced Fund Fund Mortgage Fund
------------ ------------ ------------- ------------- --------------
<S> <C> <C> <C> <C> <C>
Assets:
Investments, at value $ 855,837 $ 1,568,989 $ 76,485 $ 54,049,779 $ 23,894
Cash and foreign currency 0 61,383 3,802 10,032 0
Receivable for investments sold and
forward foreign currency contracts 78,809 3,926 124,664 644,787 4,985
Receivable for Fund shares sold 1,082 1,504 211 192,212 0
Interest and dividends receivable 9,110 0 80 433,213 80
Variation margin receivable 0 0 1 7,095 0
Manager reimbursement receivable 0 0 0 0 0
Other assets 56 0 0 0 1
------------ ------------ ------------ ------------- --------------
944,894 1,635,802 205,243 55,337,118 28,960
------------ ------------ ------------ ------------- --------------
Liabilities:
Payable for investments purchased and
forward foreign currency contracts $ 41,828 $ 174,328 $ 124,516 $ 14,893,787 $ 12,541
Payable for financing transactions 138,588 0 0 4,370,371 0
Notes payable 63,033 0 0 181,070 0
Written options outstanding 36 2,266 0 35,447 0
Payable for Fund shares redeemed 5,949 3,452 44 237,276 65
Dividends payable 1,020 0 0 39,459 0
Accrued investment advisory fee 148 489 25 7,463 4
Accrued administration fee 132 407 22 6,068 4
Accrued distribution fee 10 352 15 1,652 0
Accrued servicing fee 24 169 6 808 0
Variation margin payable 0 17,981 0 0 0
Other liabilities 3,227 3,027 0 15,002 0
253,995 202,471 124,628 19,788,403 12,614
------------ ------------ ------------ ------------- --------------
Net Assets $ 690,899 $ 1,433,331 $ 80,615 $ 35,548,715 $ 16,346
------------ ------------ ------------ ------------- --------------
Net Assets Consist of:
Paid in capital $ 693,777 $ 1,424,354 $ 81,117 $ 36,552,222 $ 15,834
Undistributed (overdistributed) net investment
income 413 35,165 1,892 (52,845) 4
Accumulated undistributed net realized gain (loss) (1,905) 40,145 (1,808) (641,460) 324
Net unrealized appreciation (depreciation) (1,386) (66,333) (586) (309,202) 184
------------ ------------ ------------ ------------- --------------
$ 690,899 $ 1,433,331 $ 80,615 $ 35,548,715 $ 16,346
------------ ------------ ------------ ------------- --------------
Net Assets:
Class A $ 82,311 $ 147,695 $ 4,148 $ 2,248,922 $ 39
Class B 6,229 335,065 10,451 708,451 10
Class C 18,479 275,662 13,460 775,765 10
Other Classes 583,880 674,909 52,556 31,815,577 16,287
Shares Issued and Outstanding:
Class A 8,252 11,059 340 222,748 4
Class B 624 25,277 858 70,169 1
Class C 1,853 20,726 1,107 76,837 1
Net Asset Value and Redemption Price* Per Share
(Net Assets Per Share Outstanding)
Class A $ 9.97 $ 13.35 $ 12.21 $ 10.09 $ 10.18
Class B 9.97 13.25 12.18 10.09 10.18
Class C 9.97 13.30 12.16 10.09 10.18
Cost of Investments Owned $ 857,422 $ 1,573,217 $ 77,215 $ 54,354,587 $ 23,710
------------ ------------ ------------ ------------- --------------
Cost of Foreign Currency Held $ 221 $ 6,153 $ 617 $ 55,419 $ 0
------------ ------------ ------------ ------------- --------------
</TABLE>
* With respect to the Retail Classes, the redemption price varies by the length
of time the shares are held.
128 See accompanying notes
<PAGE>
Statements of Operations
For the period ended September 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
California
Intermediate California
Amounts in thousands Municipal Municipal Emerging Markets Foreign
Bond Fund Bond Fund Convertible Fund Bond Fund Bond Fund
------------ --------- ---------------- ---------------- -----------
<S> <C> <C> <C> <C> <C>
Investment Income:
Interest $ 1,755 $ 218 $ 0 $ 2,293 $ 18,745
Dividends, net of foreign taxes 0 0 826 1 338
Miscellaneous income 0 0 0 0 0
----------- --------- -------------- ------------ -----------
Total Income 1,755 218 826 2,294 19,083
----------- --------- -------------- ------------ -----------
Expenses:
Investment advisory fees 92 10 302 96 697
Administration fees 101 10 204 87 824
Distribution fees - Class A 0 0 0 0 0
Distribution fees - Class B 0 0 14 5 93
Distribution fees - Class C 0 0 42 2 112
Servicing fees - Class A 27 0 7 1 76
Servicing fees - Class B 0 0 5 2 31
Servicing fees - Class C 0 0 14 1 37
Distribution and/or servicing fees - Other Classes 2 0 0 14 22
Trustees' fees 0 0 0 0 1
Organization costs 0 0 0 0 0
Interest expense 0 0 34 1 170
Miscellaneous expense 0 0 281 0 0
Total expenses 222 20 903 209 2,063
Recoupment of reimbursement 2 0 4 0 0
Net Expenses 224 20 907 209 2,063
----------- --------- -------------- ------------ -----------
Net Investment Income (loss) 1,531 198 (81) 2,085 17,020
----------- --------- -------------- ------------ -----------
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 476 433 (2,169) 1,381 5,411
Net realized gain (loss) on futures contracts and
written options (133) (65) 0 0 (5,694)
Net realized gain (loss) on foreign currency
transactions 0 0 148 (77) 3,413
Net change in unrealized appreciation (depreciation)
on investments 2,420 224 (3,085) 8 (2,220)
Net change in unrealized appreciation (depreciation)
on futures contracts and written options 0 0 0 0 (1,986)
Net change in unrealized appreciation (depreciation)
on translation of assets and liabilities
denominated in foreign currencies 0 0 94 (66) 4,809
Net gain (loss) 2,763 592 (5,012) 1,246 3,733
Net Increase (Decrease) in Assets ----------- --------- -------------- ------------ -----------
Resulting from Operations $ 4,294 $ 790 $ (5,093) $ 3,331 $ 20,753
----------- --------- -------------- ------------ -----------
</TABLE>
See accompanying notes 129
<PAGE>
Statements of Operations (Cont.)
For the period ended September 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Amounts in thousands Global Long-Term Low Money
Bond Fund II High Yield Fund U.S. Gov't Fund Duration Fund Market Fund
------------ --------------- --------------- ------------- -------------
Investment Income:
<S> <C> <C> <C> <C> <C>
Interest $ 2,770 $ 141,093 $ 11,934 $ 150,219 $ 14,274
Dividends, net of foreign taxes 37 4,590 0 3,725 0
Miscellaneous income 0 10 0 0 0
------------ ------------ ----------- ----------- --------------
Total Income 2,807 145,693 11,934 153,944 14,274
------------ ------------ ----------- ----------- --------------
Expenses:
Investment advisory fees 100 3,839 436 5,211 333
Administration fees 128 4,423 511 4,224 589
Distribution fees - Class A 0 0 0 0 0
Distribution fees - Class B 16 1,109 129 277 85
Distribution fees - Class C 18 1,247 78 274 0
Servicing fees - Class A 3 230 56 302 41
Servicing fees - Class B 5 370 43 92 28
Servicing fees - Class C 6 416 26 137 45
Distribution and/or servicing fees - Other Classes 0 520 49 182 12
Trustees' fees 0 5 1 7 1
Organization costs 0 0 0 0 0
Interest expense 1 3 3 253 19
Miscellaneous expense 0 0 0 0 0
Total expenses 277 12,162 1,332 10,959 1,153
Recoupment of reimbursement 0 0 0 0 0
Net Expenses 277 12,162 1,332 10,959 1,153
------------ ------------ ----------- ----------- --------------
Net Investment Income 2,530 133,531 10,602 142,985 13,121
------------ ------------ ----------- ----------- --------------
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 633 (81,413) 13,002 (915) 0
Net realized gain (loss) on futures contracts and
written options 469 0 (2,359) (2,880) 0
Net realized gain (loss) on foreign currency
transactions 1,351 0 0 136 0
Net change in unrealized appreciation (depreciation)
on investments (1,813) 47,280 (6,804) 19,415 0
Net change in unrealized appreciation (depreciation)
on futures contracts and written options (580) 0 1,499 6,013 0
Net change in unrealized appreciation (depreciation)
on translation of assets and liabilities
denominated in foreign currencies 358 0 0 2,913 0
Net gain (loss) 418 (34,133) 5,338 24,682 0
Net Increase (Decrease) in Assets ------------ ------------ ----------- ------------ --------------
Resulting from Operations $ 2,948 $ 99,398 $ 15,940 $ 167,667 $ 13,121
------------ ------------ ----------- ----------- --------------
</TABLE>
130 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
New York
Municipal Municipal Real Return Short-Term StocksPLUS Strategic Total Total Return
Bond Fund Bond Fund Bond Fund Fund Fund Balanced Fund Return Fund Mortgage Fund
----------- --------- ------------ ------------ ------------ ------------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 1,551 $ 75 $ 19,079 $ 25,753 $ 28,530 $ 3,241 $ 1,179,263 $ 404
0 0 0 0 807 63 20,491 0
0 0 0 6 18 245 0
----------- ------- ------------ ------------ ------------ ----------- ------------ ------------
1,551 75 19,079 25,759 29,355 3,304 1,199,999 404
----------- ------- ------------ ------------ ------------ ----------- ------------ ------------
70 4 516 887 2,889 217 41,399 15
90 4 582 793 2,417 158 33,656 15
0 0 0 0 0 0 631 0
20 0 61 25 1,346 41 2,513 0
70 0 62 28 731 48 2,728 0
9 0 31 104 200 5 2,583 0
7 0 20 8 449 14 838 0
35 0 31 23 366 16 909 0
6 0 32 18 45 1 3,865 0
0 0 1 1 3 0 58 0
0 0 1 0 0 0 0 0
0 0 74 1,367 1 16 9,703 0
0 0 0 1 0 0 0 0
307 8 1,411 3,255 8,447 516 98,883 30
0 0 0 0 0 0 0 0
307 8 1,411 3,255 8,447 516 98,883 30
----------- ------- ------------ ------------ ------------ ----------- ------------ ------------
1,244 67 17,668 22,504 20,908 2,788 1,101,116 374
----------- ------- ------------ ------------ ------------ ----------- ------------ ------------
478 27 2,525 86 (310) (1,173) 345,059 330
(136) 8 341 (145) 78,988 3,916 85,018 5
0 0 870 59 3,591 (1,029) (13,781) 0
710 51 (1,041) 1,572 (35) 849 69,578 208
0 0 319 15 (154,518) (6,478) (19,306) (3)
0 0 147 387 524 117 (3,140) 0
1,052 86 3,161 1,974 (71,760) (3,798) 463,428 540
----------- ------- ------------ ------------ ------------ ----------- ------------ ------------
$ 2,296 $ 153 $ 20,829 $ 24,478 $ (50,852) $ (1,010) $ 1,564,544 $ 914
----------- ------- ------------ ------------ ------------ ----------- ------------ ------------
</TABLE>
See accompanying notes 131
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
California
California Intermediate Municipal
Amounts in thousands Municipal Bond Fund Bond Fund Convertible Fund
----------------------------- --------------- --------------------------
Six Months Ended Period from Period from Six Months Year Ended
Increase (Decrease) in Net Assets from: September 30, August 31, May 16, 2000 to Ended March 31,
2000 1999 to September 30, September 30, 2000
(Unaudited) March 31, 2000 2000
2000 (Unaudited) (Unaudited)
Operations
<S> <C> <C> <C> <C> <C>
Net investment income (loss) $ 1,531 $ 106 $ 198 $ (81) $ 293
Net realized gain (loss) 343 (5) 368 (2,021) 7,821
Net change in unrealized appreciation (depreciation) 2,420 72 224 (2,991) 27,966
---------- ------- ---------- ----------- ---------
Net increase (decrease) resulting from operations 4,294 173 790 (5,093) 36,080
---------- ------- ---------- ----------- ---------
Distributions to Shareholders:
From net investment income
Class A (426) (8) 0 (41) (8)
Class B 0 0 0 (20) (2)
Class C 0 0 0 (49) (7)
Other Classes (1,143) (97) (198) (1,027) (276)
In excess of net investment income
Class A 0 0 0 0 (34)
Class B 0 0 0 0 (10)
Class C 0 0 0 0 (32)
Other Classes 0 0 0 0 (1,195)
From net realized capital gains
Class A 0 0 0 0 (17)
Class B 0 0 0 0 (6)
Class C 0 0 0 0 (19)
Other Classes 0 0 0 0 (577)
In excess of net realized capital gains
Class A 0 (1) 0 0 0
Class B 0 0 0 0 0
Class C 0 0 0 0 0
Other Classes 0 (6) 0 0 0
---------- ------- ---------- ----------- ---------
Total Distributions (1,569) (112) (198) (1,137) (2,183)
---------- ------- ---------- ----------- ---------
Fund Share Transactions
Receipts for shares sold
Class A 31,531 1,879 10 2,970 4,800
Class B 0 0 0 3,107 2,593
Class C 0 0 0 6,836 6,988
Other Classes 88,823 8,860 18,629 38,524 176,122
Issued as reinvestment of distributions
Class A 424 12 0 5 58
Class B 0 0 0 0 13
Class C 0 0 0 2 49
Other Classes 1,113 91 183 960 1,984
Cost of shares redeemed
Class A (3,572) (119) 0 (1,039) (363)
Class B 0 0 0 (204) (337)
Class C 0 0 0 (878) (141)
Other Classes (30,781) (556) (10,286) (68,411) (41,632)
Net increase (decrease) resulting from Fund
share transactions 87,538 10,167 8,536 (18,128) 150,134
---------- ------- ---------- ----------- ---------
Total Increase (Decrease) in Net Assets 90,263 10,228 9,128 (24,358) 184,031
---------- ------- ---------- ----------- ---------
Net Assets
Beginning of period 10,228 0 0 184,031 0
End of period * $ 100,491 $10,228 $ 9,128 $ 159,673 $ 184,031
---------- ------- ---------- ----------- ---------
*Including net undistributed (overdistributed)
investment income of: $ (37) $ 1 $ 0 $ 4,294 $ 5,512
</TABLE>
132 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Emerging Markets
Bond Fund Foreign Bond Fund Global Bond Fund II
------------------------------------ ------------------------------------ ------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C>
$ 2,085 $ 2,012 $ 17,020 $ 35,220 $ 2,530 $ 3,256
1,304 1,254 3,130 4,992 2,453 (824)
(58) 2,001 603 (31,738) (2,035) (803)
---------- ---------- ------------- ----------- ------------- ---------
3,331 5,267 20,753 8,474 2,948 1,629
---------- ---------- ------------- ----------- ------------- ---------
(21) (25) (1,729) (2,482) (63) (149)
(55) (78) (616) (1,179) (115) (229)
(18) (26) (744) (1,515) (129) (268)
(1,994) (1,882) (13,642) (30,001) (2,173) (2,569)
0 0 0 0 0 (2)
0 0 0 0 0 (4)
0 0 0 0 0 (5)
0 0 0 0 0 (41)
0 0 0 (416) 0 0
0 0 0 (209) 0 0
0 0 0 (262) 0 0
0 0 0 (3,938) 0 0
0 0 0 (315) 0 (6)
0 0 0 (158) 0 (9)
0 0 0 (198) 0 (11)
0 0 0 (2,976) 0 (95)
---------- ---------- ------------- ----------- ------------- ---------
(2,088) (2,011) (16,731) (43,649) (2,480) (3,388)
---------- ---------- ------------- ----------- ------------- ---------
735 185 23,385 47,005 136 1,600
337 716 2,767 10,650 334 1,267
332 68 3,817 10,346 284 1,527
23,933 42,500 89,241 191,536 6,908 59,618
12 20 1,427 2,623 51 124
21 39 444 1,204 79 177
6 14 571 1,630 103 244
1,894 1,803 11,824 29,929 1,762 2,526
(744) (95) (13,719) (22,268) (605) (2,026)
(220) (118) (2,061) (7,337) (627) (1,506)
(39) (98) (3,860) (9,583) (1,009) (2,083)
(3,778) (25,001) (78,314) (295,818) (32,688) (5,204)
22,489 20,033 35,522 (40,083) (25,272) 56,264
---------- ---------- ------------- ----------- ------------- ---------
23,732 23,289 39,544 (75,258) (24,804) 54,505
---------- ---------- ------------- ----------- ------------- ---------
27,847 4,558 545,525 620,783 97,049 42,544
$ 51,579 $ 27,847 $ 585,069 $ 545,525 $ 72,245 $ 97,049
---------- ---------- ------------- ----------- ------------- ---------
$ 859 $ 862 $ 15,404 $ 15,115 $ 939 $ 889
</TABLE>
High Yield Fund Long-Term U.S. Gov't Fund
----------------------------------- ------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000
(Unaudited) (Unaudited)
$ 133,531 $ 296,022 $ 10,602 $ 20,805
(81,413) (70,452) 10,643 (25,059)
47,280 (263,887) (5,305) 7,958
----------- ----------- ---------------- ------------
99,398 (38,317) 15,940 3,704
----------- ----------- ---------------- ------------
(7,988) (15,406) (1,333) (1,946)
(11,777) (23,625) (892) (1,936)
(13,249) (28,389) (541) (1,340)
(100,630) (226,319) (7,866) (15,549)
0 (113) 0 0
0 (172) 0 0
0 (207) 0 0
0 (1,652) 0 0
0 0 0 0
0 0 0 0
0 0 0 0
0 0 0 0
0 0 0 0
0 0 0 0
0 0 0 0
0 0 0 0
----------- ----------- ---------------- ------------
(133,644) (295,883) (10,632) (20,771)
----------- ----------- ---------------- ------------
76,209 214,375 15,812 39,235
33,510 141,755 7,784 16,036
42,467 217,795 6,281 10,916
465,976 1,500,396 53,006 218,562
4,324 9,497 897 1,509
4,687 11,679 458 1,334
6,986 17,370 347 1,016
88,542 203,172 6,525 13,146
(71,412) (174,492) (13,440) (26,743)
(43,074) (106,519) (7,469) (18,920)
(56,574) (228,700) (5,329) (20,940)
(628,264) (1,524,985) (55,199) (144,475)
(76,623) 281,343 9,673 90,676
----------- ----------- ---------------- ------------
(110,869) (52,857) 14,981 73,609
----------- ----------- ---------------- ------------
3,170,393 3,223,250 355,247 281,638
$ 3,059,524 $ 3,170,393 $ 370,228 $ 355,247
$ (2,104) $ (1,991) $ 15 $ 45
See accompanying notes 133
<PAGE>
Statements of Changes in Net Assets (Cont.)
<TABLE>
<CAPTION>
Amounts in thousands Low Duration Fund Money Market Fund
------------------------------------ -------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
Increase (Decrease) in Net Assets from: September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Operations
Net investment income $ 142,985 $ 265,005 $ 13,121 $ 24,929
Net realized gain (loss) (3,659) (47,944) 0 0
Net change in unrealized appreciation (depreciation) 28,341 (75,164) 0 0
------------ ------------ ------------- -------------
Net increase (decrease) resulting from operations 167,667 141,897 13,121 24,929
------------ ------------ ------------- -------------
Distributions to Shareholders:
From net investment income
Class A (7,814) (13,205) (2,401) (5,341)
Class B (2,109) (3,668) (568) (735)
Class C (3,275) (6,311) (2,625) (4,148)
Other Classes (129,786) (237,815) (7,533) (14,699)
In excess of net investment income
Class A 0 (200) 0 0
Class B 0 (55) 0 0
Class C 0 (96) 0 0
Other Classes 0 (3,599) 0 0
From net realized capital gains
Class A 0 0 0 0
Class B 0 0 0 0
Class C 0 0 0 0
Other Classes 0 0 0 0
In excess of net realized capital gains
Class A 0 0 0 0
Class B 0 0 0 0
Class C 0 0 0 0
Other Classes 0 0 0 0
------------ ------------ ------------- -------------
Total Distributions (142,984) (264,949) (13,127) (24,923)
------------ ------------ ------------- -------------
Fund Share Transactions
Receipts for shares sold
Class A 114,419 415,786 1,272,215 5,545,908
Class B 17,326 53,258 36,550 110,792
Class C 19,969 55,588 408,824 1,134,937
Other Classes 1,308,045 2,950,320 78,366 427,835
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 5,379 10,938 1,225 2,941
Class B 1,189 2,556 488 615
Class C 2,133 4,903 2,211 3,367
Other Classes 112,325 207,600 7,440 14,434
Cost of shares redeemed
Class A (108,840) (376,451) (1,330,707) (5,552,316)
Class B (15,840) (45,716) (41,876) (100,869)
Class C (23,121) (58,675) (427,632) (1,124,988)
Other Classes (1,230,487) (2,977,974) (193,333) (459,029)
Net increase (decrease) resulting from Fund share
transactions 202,497 242,133 (186,229) 3,627
------------ ------------ ------------- -------------
Total Increase (Decrease) in Net Assets 227,180 119,081 (186,235) 3,633
------------ ------------ ------------- -------------
Net Assets
Beginning of period 3,990,328 3,871,247 541,523 537,890
End of period * $ 4,217,508 $ 3,990,328 $ 355,288 $ 541,523
*Including net undistributed (overdistributed)
investment income of: $ (8,388) $ (8,390) $ 14 $ 20
</TABLE>
<TABLE>
<CAPTION>
Amounts in thousands Municipal Bond Fund
----------------------------------------
Six Months Ended Year Ended
Increase (Decrease) in Net Assets from: September 30, 2000 March 31, 2000
(Unaudited)
<S> <C> <C>
Operations
Net investment income $ 1,244 $ 2,314
Net realized gain (loss) 342 (919)
Net change in unrealized appreciation (depreciation) 710 (2,965)
------------- ------------
Net increase (decrease) resulting from operations 2,296 (1,570)
------------- ------------
Distributions to Shareholders:
From net investment income
Class A (160) (403)
Class B (106) (214)
Class C (587) (1,311)
Other Classes (388) (380)
In excess of net investment income
Class A 0 0
Class B 0 0
Class C 0 0
Other Classes 0 0
From net realized capital gains
Class A 0 0
Class B 0 0
Class C 0 0
Other Classes 0 0
In excess of net realized capital gains
Class A 0 0
Class B 0 0
Class C 0 0
Other Classes 0 0
------------- ------------
Total Distributions (1,241) (2,308)
------------- ------------
Fund Share Transactions
Receipts for shares sold
Class A 536 7,221
Class B 910 3,559
Class C 1,107 3,130
Other Classes 16,708 9,608
Issued in reorganization
Class A 0 0
Class B 0 0
Class C 0 0
Other Classes 0 0
Issued as reinvestment of distributions
Class A 34 211
Class B 44 112
Class C 388 945
Other Classes 383 370
Cost of shares redeemed
Class A (2,828) (5,201)
Class B (1,386) (4,031)
Class C (2,695) (10,912)
Other Classes (10,591) (7,109)
Net increase (decrease) resulting from Fund share
transactions 2,610 (2,097)
------------- ------------
Total Increase (Decrease) in Net Assets 3,665 (5,975)
------------- ------------
Net Assets
Beginning of period 52,583 58,558
End of period * $ 56,248 $ 52,583
*Including net undistributed (overdistributed)
investment income of: $ 7 $ 4
</TABLE>
134 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
New York
Municipal Bond Fund Real Return Bond Fund Short-Term Fund
--------------------------------------- ------------------------------------- ------------------------------------
Six Months Ended Period from Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 2000 August 31, 1999 to September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000
(Unaudited) March 31, 2000 (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C>
$ 67 $ 70 $ 17,668 $ 7,689 $ 22,504 $ 37,374
35 (4) 3,736 317 0 (1,776)
51 (8) (575) 3,722 1,974 (3,309)
153 58 20,829 11,728 24,478 32,289
--------- --------- ------------ ------------- ------------- ------------
0 0 (1,041) (649) (2,506) (4,576)
0 0 (625) (442) (174) (228)
0 0 (974) (493) (532) (909)
(67) (70) (15,126) (5,952) (19,235) (31,652)
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 (19) 0 0
0 0 0 (12) 0 0
0 0 0 (19) 0 0
0 0 0 (243) 0 0
0 0 0 0 0 0
0 0 0 0 0 0
0 0 0 0 0 0
0 (6) 0 0 0 0
--------- --------- ------------ ------------- ------------- ------------
(67) (76) (17,766) (7,829) (22,447) (37,365)
--------- --------- ------------ ------------- ------------- ------------
0 10 24,716 11,806 58,950 102,581
0 0 12,122 9,829 2,696 8,403
0 0 18,073 17,048 7,170 22,931
0 3,010 258,203 214,305 274,003 1,224,707
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 0 691 506 1,501 3,855
0 0 325 307 109 180
0 0 449 284 39 737
68 76 13,190 4,724 14,286 22,331
0 0 (5,521) (1,110) (54,066) (110,878)
0 0 (2,157) (2,416) (3,288) (5,669)
0 0 (3,451) (2,761) (7,716) (20,188)
0 0 (51,619) (14,771) (313,817) (1,136,901)
68 3,096 265,021 237,751 (20,133) 112,089
--------- --------- ------------ ------------- ------------- ------------
154 3,078 268,084 241,650 (18,102) 107,013
--------- --------- ------------ ------------- ------------- ------------
3,078 0 269,861 28,211 709,001 601,988
$ 3,232 $ 3,078 $ 537,945 $ 269,861 $ 690,899 $ 709,001
$ 0 $ 0 $ 925 $ 1,023 $ 413 $ 356
</TABLE>
<TABLE>
<CAPTION>
StocksPLUS Fund Strategic Balanced Fun
------------------------------------------ ------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000
(Unaudited) (Unaudited)
<S> <C> <C> <C>
$ 20,908 $ 98,837 $ 2,788 $ 8,094
82,269 38,756 1,714 (274)
(154,029) 87,250 (5,512) 4,531
------------- ------------ ----------- -------------
(50,852) 224,843 (1,010) 12,351
------------- ------------ ----------- -------------
(2,688) (12,776) (131) (241)
(4,878) (24,377) (323) (542)
(4,310) (22,197) (367) (553)
(12,256) (48,619) (1,870) (7,091)
0 0 0 0
0 0 0 0
0 0 0 0
0 0 0 0
0 (10,979) 0 (52)
0 (23,440) 0 (145)
0 (20,814) 0 (147)
0 (40,302) 0 (1,436)
0 (5,698) 0 (105)
0 (12,164) 0 (293)
0 (10,800) 0 (296)
0 (20,915) 0 (2,886)
------------- ------------ ----------- -------------
(24,132) (253,081) (2,691) (13,787)
------------- ------------ ----------- -------------
80,476 225,386 914 2,703
27,894 145,530 530 4,146
22,974 139,471 2,898 5,532
140,439 284,609 2,353 9,120
0 0 0 8,167
0 0 0 11,192
0 0 0 11,513
0 0 0 35,908
2,082 27,851 113 336
3,694 54,645 239 821
3,539 50,658 287 893
11,928 107,331 1,792 7,151
(87,194) (240,512) (1,180) (5,306)
(52,617) (99,404) (1,451) (3,077)
(47,824) (114,424) (2,287) (3,424)
(95,871) (255,850) (74,890) (27,359)
9,520 325,291 (70,682) 58,316
(65,464) 297,053 (74,383) 56,880
------------- ------------ ----------- -------------
1,498,795 1,201,742 154,998 98,118
$ 1,433,331 $ 1,498,795 $ 80,615 $ 154,998
$ 35,165 $ 38,389 $ 1,89 $ 1,795
</TABLE>
See accompanying notes 135
<PAGE>
Statements of Changes in Net Assets (Cont.)
<TABLE>
<CAPTION>
Amounts in thousands Total Return Fund Total Return Mortgage Fund
----------------------------------- ----------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
Increase (Decrease) in Net Assets from: September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Operations
Net investment income $ 1,101,116 $ 1,778,306 $ 374 $ 238
Net realized gain (loss) 416,296 (847,388) 335 (6)
Net change in unrealized appreciation (depreciation) 47,132 (242,138) 205 (78)
------------ ------------ ---------- -------------
Net increase resulting from operations 1,564,544 688,780 914 154
------------ ------------ ---------- -------------
Distributions to Shareholders:
From net investment income
Class A (64,581) (89,782) 0 0
Class B (18,424) (30,635) 0 0
Class C (20,007) (36,340) 0 0
Other Classes (993,055) (1,544,481) (374) (238)
In excess of net investment income
Class A 0 (3,855) 0 0
Class B 0 (1,315) 0 0
Class C 0 (1,560) 0 0
Other Classes 0 (66,316) 0 0
In excess of net realized capital gains
Class A 0 0 0 0
Class B 0 0 0 0
Class C 0 0 0 0
Other Classes 0 0 0 (3)
------------ ------------ ---------- -------------
Total Distributions (1,096,067) (1,774,284) (374) (241)
------------ ------------ ---------- -------------
Fund Share Transactions
Receipts for shares sold
Class A 581,308 1,506,055 38 0
Class B 103,730 282,282 10 0
Class C 139,679 312,021 10 0
Other Classes 5,897,991 11,402,013 12,734 227
Issued as reinvestment of distributions
Class A 28,905 75,662 0 0
Class B 9,389 21,883 0 0
Class C 11,224 27,579 0 0
Other Classes 813,868 1,288,826 373 240
Cost of shares redeemed
Class A (338,474) (716,288) 0 0
Class B (68,217) (175,145) 0 0
Class C (105,375) (304,175) 0 0
Other Classes (3,530,063) (7,223,440) (1,496) (554)
Net increase (decrease) resulting from Fund share transactions 3,543,965 6,497,273 11,669 (87)
------------ ------------ ---------- -------------
Total Increase (Decrease) in Net Assets 4,012,442 5,411,769 12,209 (174)
------------ ------------ ---------- -------------
Net Assets
Beginning of period 31,536,273 26,124,504 4,137 4,311
End of period * $ 35,548,715 $ 31,536,273 $ 16,346 $ 4,137
*Including net undistributed (overdistributed)
investment income of: $ (52,845) $ (57,894) $ 4 $ 4
</TABLE>
136 See accompanying notes
<PAGE>
Statements of Cash Flows
<TABLE>
<CAPTION>
Foreign Global Bond Long-Term U.S. Real Return
Amounts in thousands Bond Fund Fund II Government Fund Bond Fund
------------ ------------ --------------- ---------------
Increase (Decrease) in Cash and Foreign Currency from:
<S> <C> <C> <C> <C>
Financing Activities
Sales of Fund shares $ 119,210 $ 7,542 $ 82,252 $ 307,065
Redemptions of Fund shares (97,844) (34,813) (81,149) (63,063)
Cash distributions paid (2,404) (436) (2,866) (3,148)
Increase (decrease) from financing transactions (43,910) 4,758 224,916 422,249
Net increase (decrease) from financing activities (24,948) (12,949) 223,153 663,103
Operating Activities
Purchases of long-term securities and foreign currency (1,904,922) (259,461) (4,335,321) (1,820,178)
Proceeds from sales of long-term securities and foreign
currency 1,986,404 268,516 4,121,165 1,226,460
Purchases of short-term securities (net) (66,101) 468 (11,644) (68,272)
Net investment income 17,021 2,529 10,603 17,668
Change in other receivables/payables (net) 475 (396) (5,020) (18,215)
Net increase (decrease) from operating activities 32,877 11,656 (220,217) (662,537)
------------ ----------- ------------- ---------------
Net Increase in Cash and Foreign Currency 7,929 (1,293) 2,936 566
------------ ----------- ------------- ---------------
Cash and Foreign Currency
Beginning of period 9,658 2,576 1 334
End of period $ 17,587 $ 1,283 $ 2,937 $ 900
</TABLE>
See accompanying notes 137
<PAGE>
Notes to Financial Statements
September 30, 2000 (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 35 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, 2000. Information
presented in these financial statements pertains to the A, B and C Classes (the
"Retail Classes") of the Trust. Certain detailed financial information for the
Institutional, Administrative and D Classes (the "Other Classes") is provided
separately and is available upon request.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements in
conformity with accounting principles generally accepted in the United States.
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States 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, StocksPLUS and Strategic
Balanced Funds, are declared on each day the Trust is open for business and are
distributed to shareholders monthly. Dividends from net investment income, if
any, of the Convertible, StocksPLUS and Strategic Balanced Funds are declared
and distributed to shareholders quarterly. Net realized capital gains earned by
a Fund, if any, will be distributed no less frequently than once each year.
Income dividends and capital gain distributions are determined in
accordance with income tax regulations which may differ from accounting
principles generally accepted in the United States. 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.
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.
138
<PAGE>
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.
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.
139
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 2000 (Unaudited)
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. and serves as
investment adviser (the "Adviser") to the Trust, pursuant to an investment
advisory contract. The Adviser receives a monthly fee from each Fund at an
annual rate based on average daily net assets of the Fund. The Advisory Fee is
charged at an annual rate of 0.15% for the Money Market Fund; 0.40% for the
Convertible, 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' average daily net
assets. The Administration Fee for the Retail Classes is charged at the annual
rate of 0.35% for the Money Market, Municipal Bond, Short-Term, California
Intermediate Municipal Bond and New York 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, 0.20% for the Moderate Duration, Money Market
and Short-Term Funds; 0.24% for the California Intermediate Municipal Bond and
New York Municipal Bond, 0.40% for the Emerging Markets Bond and 0.25% for all
other funds. The Administration Fee for Class D is charged at the annual rate of
0.25% for Low Duration, Short-Term and Total Return Funds; 0.35% for the
California Intermediate Municipal Bond, Municipal Bond and Short Duration
Municipal Income Funds, 0.45% for the Foreign Bond Fund, 0.55% for Emerging
Markets Bond, 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 the current
fiscal year.
Pursuant to the Distribution and Servicing Plans adopted by the Retail and
D Classes of the Trust, the Trust compensates PFD or an affiliate with respect
to Class D for services provided and expenses incurred in connection with
assistance rendered in the sale of shares and services rendered to shareholders
and for maintenance of shareholder accounts of the Retail and D Classes. The
Trust paid PFD distribution and servicing fees at an effective rate as set forth
below (calculated as a percentage of each Fund's average daily net assets
attributable to each class):
Allowable Rate
--------------------------
Distribution Servicing
Fee (%) Fee (%)
--------------------------------------------------------------------------------
Class A
Money Market Fund -- 0.10
All other Funds -- 0.25
Class B
All Funds 0.75 0.25
Class C
Municipal Bond, Real Return Bond and StocksPLUS
and Low Duration Funds 0.50 0.25
Money Market Fund -- 0.10
Short-Term Fund 0.30 0.25
All other Funds 0.75 0.25
Class D
All Funds -- 0.25
PFD also receives the proceeds of the initial sales charges paid by the
shareholders upon the purchase of Class A shares, except for the Money Market
Fund, and the contingent deferred sales charges paid by the shareholders upon
certain redemptions of Retail Classes shares. For the period ended September 30,
2000, the funds were informed that PFD received $5,987,857 representing
commissions (sales charges) and contingent deferred sales charges.
140
<PAGE>
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.
PIMCO has agreed to waive a portion of Convertible, California Intermediate
Municipal Bond and New York Municipal Bond Funds administrative fees to the
extent that the payment of each Fund's pro rata share of Trustee fees and
organizational expenses cause the actual expense ratio to rise above the rates
disclosed in the current prospectus plus 0.49% basis points as set forth below
(calculated as a percentage of each Fund's average daily net assets attributable
to each class):
Inst'l Admn.
Class Class Class A Class B Class C Class D
--------------------------------------------------------------------------------
Convertible Fund 0.65% 0.90% 1.05% 1.80% 1.80% --
California Intermediate
Municipal Bond Fund 0.49% 0.74% 0.85% -- -- 0.85%
New York Municipal
Bond Fund 0.49% 0.74% 0.85% -- -- 0.85%
PIMCO may be reimbursed for these waived amounts in future periods.
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, 2000 were as follows (amounts in thousands):
U.S. Government/Agency All Other
--------------------------------------------------
Purchases Sales Purchases Sales
--------------------------------------------------------------------------------
CA Int. Municipal Bond Fund $ 0 $ 0 $ 212,882 $ 135,822
CA Municipal Bond Fund 108 0 41,539 33,295
Convertible Fund 0 0 153,607 160,927
Emerging Markets Bond Fund 0 0 179,931 158,831
Foreign Bond Fund 1,600,643 1,431,459 624,510 574,400
Global Bond Fund II 11,651 7,517 227,962 219,090
High Yield Fund 0 6,402 474,059 747,037
Long-Term U.S. Gov't Fund 4,766,985 4,741,902 40,867 24,116
Low Duration Fund 3,758,313 3,762,409 1,465,574 692,820
Municipal Bond Fund 108 0 83,024 84,009
NY Municipal Bond Fund 0 0 19,752 19,614
Real Return Bond Fund 1,351,736 1,175,196 493,404 43,416
Short-Term Fund 260,258 282,834 406,785 82,275
StocksPLUS Fund 300,346 252,736 514,580 247,174
Strategic Balanced Fund 457,515 496,735 112,546 140,586
Total Return Fund 83,997,342 74,490,752 9,558,193 7,800,637
Total Return Mortgage Fund 65,795 52,731 5,445 1,769
5. Federal Income Tax Matters
As of March 31, 2000, the Funds listed in the table below had remaining capital
loss carryforwards that were realized or acquired in prior years. Use of the
acquired capital loss carryforwards may be limited under current tax laws.
Additionally, the California Intermediate Municipal Bond, Emerging Markets,
Global Bond II, High Yield, Long-Term U.S. Government, Low Duration, Municipal
Bond, New York Intermediate Municipal Bond, Real Return, Short-Term and Total
Return Funds realized capital losses and/or foreign currency losses during the
period November 1, 1999 through March 31, 2000 which the Fund elected to defer
to the following year pursuant to income tax regulations. The amounts are
$12,205, $24,335, $406,361, $43,449,654, $10,332,768, $17,470,237, $526,178,
$10,244, $342,135, $1,382,953, and $243,968,849, 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 3/31/2007
Foreign Bond Fund 10,316,442 0 3/31/2008
Global Bond Fund II 1,342,527 0 3/31/2008
High Yield Fund 39,492,722 0 3/31/2008
High Yield Fund 0 48,559,227 3/31/2002
Long-Term U.S. Government Fund 23,250,622 0 3/31/2008
Low Duration Fund 42,174,597 0 3/31/2008
Municipal Bond Fund 391,768 0 3/31/2008
Municipal Bond Fund 5,734 0 3/31/2007
Short-Term Fund 412,413 0 3/31/2008
Short-Term Fund 109,956 0 3/31/2007
Total Return Fund 750,096,993 0 3/31/2008
141
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 2000 (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>
California
California Intermediate Municipal
Municipal Bond Fund Bond Fund Convertible Fund
------------------------------------ --------------- -------------------------------------
Period from Period from
Period Ended 08/31/1999 05/16/2000 Period Ended Year Ended
09/30/2000 to 03/31/2000 to 09/30/2000 09/30/2000 03/31/2000
Shares Amount Shares Amount Shares Amount Shares Amount Shares Amount
------------------ ------------------- --------------- -------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Class A 3,143 $31,531 189 $ 1,879 1 $ 10 198 $ 2,970 353 $ 4,800
Class B 0 0 0 0 0 0 209 3,107 188 2,593
Class C 0 0 0 0 0 0 471 6,836 517 6,988
Other Classes 8,865 88,823 887 8,860 1,862 18,629 2,599 38,52 13,296 176,122
Shares issued in reorganization
Class A 0 0 0 0 0 0 0 0 0 0
Class B 0 0 0 0 0 0 0 0 0 0
Class C 0 0 0 0 0 0 0 0 0 0
Other Classes 0 0 0 0 0 0 0 0 0 0
Issued as reinvestment of distributions
Class A 41 424 1 12 0 0 2 5 4 58
Class B 0 0 0 0 0 0 1 0 1 13
Class C 0 0 0 0 0 0 2 2 3 49
Other Classes 109 1,113 9 91 18 183 64 960 137 1,984
Cost of shares redeemed
Class A (358) (3,572) (12) (119) 0 0 (71) (1,039) (27) (363)
Class B 0 0 0 0 0 0 (14) (204) (24) (337)
Class C 0 0 0 0 0 0 (60) (878) (10) (141)
Other Classes (3,051) (30,781) (56) (556)(1,002) (10,286) (4,658) (68,411) (2,763) (41,632)
Net increase (decrease) resulting from ------------------ ------------------- --------------- -------------------------------------
Fund share transactions 8,749 $87,538 1,018 $ 10,167 879 $ 8,536 (1,257)$(18,128) 11,675 $ 150,134
------------------ ------------------- --------------- -------------------------------------
<CAPTION>
Long-Term U.S. Gov't Fund Low Duration Fund
------------------------------------------- -----------------------------------------------
Period Ended Year Ended Period Ended Year Ended
09/30/2000 03/31/2000 09/30/2000 03/31/2000
Shares Amount Shares Amount Shares Amount Shares Amount
-------------------- ----------------------- -------------------------------------------------
Receipts for shares sold
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A 1,600 $ 15,812 4,070 $ 39,235 11,658 $ 114,419 41,997 $ 415,786
Class B 792 7,784 1,632 16,036 1,766 17,326 5,371 53,258
Class C 637 6,281 1,110 10,916 2,035 19,969 5,600 55,588
Other Classes 5,383 53,006 22,328 218,562 133,398 1,308,045 297,686 2,950,320
Issued as reinvestment of
distributions
Class A 91 897 155 1,509 548 5,379 1,104 10,938
Class B 47 458 137 1,334 121 1,189 258 2,556
Class C 35 347 104 1,016 217 2,133 495 4,903
Other Classes 662 6,525 1,356 13,146 11,443 112,325 20,984 207,600
Cost of shares redeemed
Class A (1,368) (13,440) (2,749 (26,743) (11,093) (108,840) (38,065) (376,451)
Class B (764) (7,469) (1,947 (18,920) (1,614) (15,840) (4,621) (45,716)
Class C (543) (5,329) (2,146) (20,940) (2,357) (23,121) (5,936) (58,675)
Other Classes (5,663) (55,199) (15,089) (144,475) (125,408) (1,230,487) (301,000) (2,977,974)
Net increase (decrease)
resulting from Fund share -------------------- ----------------------- -------------------------------------------------
transactions 909 $ 9,673 8,961 $ 90,676 20,714 $ 202,497 23,873 $ 242,133
-------------------- ----------------------- -------------------------------------------------
<CAPTION>
Money Market Fund
---------------------------------------------
Period Ended Year Ended
09/30/2000 03/31/2000
Shares Amount Shares Amount
---------------------------------------------
<S> <C> <C> <C>
1,272,215 $ 1,272,215 5,545,908 $ 5,545,908
36,550 36,550 110,792 110,792
408,824 408,824 1,134,937 1,134,937
78,364 78,366 427,835 427,835
1,225 1,225 2,941 2,941
488 488 615 615
2,211 2,211 3,367 3,367
7,440 7,440 14,433 14,434
1,330,707) (1,330,707)(5,552,316) (5,552,316)
(41,876) (41,876) (100,869) (100,869)
(427,632) (427,632)(1,124,988) (1,124,988)
(193,333) (193,333) (459,029) (459,029)
------------------------------------------------
(186,231) $ (186,229) 3,626 $ 3,627
------------------------------------------------
</TABLE>
142
<PAGE>
<TABLE>
<CAPTION>
Emerging Markets Bond Fund Foreign Bond Fund Global Bond Fund II
------------------------------------------- -------------------------------------------- ---------------------------------------
Period Ended Year Ended Period Ended Year Ended Period Ended Year Ended
09/30/2000 03/31/2000 09/30/2000 03/31/2000 09/30/2000 03/31/2000
Shares Amount Shares Amount Shares Amount Shares Amount Shares Amount Shares Amount
----------- --------- ------- --------- -------- --------- ------- ---------- ------- --------- ------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
84 $ 735 23 $ 185 2,326 $ 23,385 4,628 $ 47,005 15 $ 136 167 $ 1,600
41 337 92 716 275 2,767 1,041 10,650 35 334 133 1,267
38 332 9 68 379 3,817 1,012 10,346 30 284 160 1,527
2,911 23,931 5,546 42,500 8,877 89,242 18,803 191,536 733 6,908 6,377 59,618
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
1 12 2 20 142 1,427 260 2,623 5 51 13 124
2 21 5 39 44 444 119 1,204 8 79 19 177
1 6 2 14 57 571 161 1,630 11 103 26 244
222 1,894 225 1,803 1,176 11,824 2,951 29,929 187 1,762 268 2,526
(85) (744) (11) (95) (1,364) (13,719) (2,202) (22,268) (64) (605) (214) (2,026)
(26) (220) (14) (118) (205) (2,061) (727) (7,337) (67) (627) (160) (1,506)
(4) (39) (12) (98) (384) (3,860) (944) (9,583) (107) (1,009) (221) (2,083)
(452) (3,778) (3,241) (25,001) (7,798) (78,314) (29,099) (295,818) (3,479) (32,688) (558) (5,204)
----------- --------- ------- --------- -------- --------- ------- ---------- ------- --------- ------- ----------
2,733 $ 22,487 2,626 $ 20,033 3,525 $ 35,523 (3,997) $ (40,083) (2,693) (25,272) 6,010 $ 56,264
<CAPTION>
High Yield Fund
--------------------------------------------------
Period Ended Year Ended
09/30/2000 03/31/2000
Shares Amount Shares Amount
--------- ---------- --------- -----------
<S> <C> <C> <C>
7,483 $ 76,209 19,896 $ 214,375
3,297 33,510 13,027 141,755
4,175 42,467 20,097 217,795
45,878 465,976 138,322 1,500,396
0 0 0 0
0 0 0 0
0 0 0 0
0 0 0 0
426 4,324 883 9,497
462 4,687 1,084 11,679
689 6,986 1,613 17,370
8,728 88,542 18,896 203,172
(7,017) (71,412) (16,324) (174,492)
(4,237) (43,074) (9,920) (106,519)
(5,564) (56,574) (21,279) (228,700)
(61,938) (628,264) (143,149) (1,524,985)
----------- --------- ------- -----------
(7,618) $ (76,623) 23,146 $ 281,343
<CAPTION>
New York
Municipal Bond Fund Municipal Bond Fund Real Return Bond Fund
-------------------------------------------- --------------------------------------- -----------------------------------------
Period from
Period Ended Year Ended Period Ended 08/31/1999 Period Ended Year Ended
09/30/2000 03/31/2000 09/30/2000 to 03/31/2000 09/30/2000 03/31/2000
Shares Amount Shares Amount Shares Amount Shares Amount Shares Amount Shares Amount
----------- --------- ------ --------- ------ -------- ------ --------- ------- --------- ------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
56 $ 536 750 $ 7,221 0 $ 0 1 $ 10 2,521 $ 24,716 1,210 $ 11,806
97 910 374 3,559 0 0 0 0 1,241 12,122 1,003 9,829
116 1,107 322 3,130 0 0 0 0 1,844 18,073 1,745 17,048
1,777 16,708 1,009 9,608 0 0 301 3,010 26,577 258,202 21,969 214,305
4 34 22 211 0 0 0 0 82 691 52 506
5 44 12 112 0 0 0 0 37 325 31 307
41 388 98 945 0 0 0 0 51 449 29 284
40 383 39 370 6 67 8 76 1,541 13,190 484 4,724
(302) (2,828) (551) (5,201) 0 0 0 0 (566) (5,521) (114) (1,110)
(145) (1,386) (425) (4,031) 0 0 0 0 (218) (2,157) (248) (2,416)
(284) (2,695) (1,139) (10,912) 0 0 0 0 (350) (3,451) (282) (2,761)
(1,110) (10,591) (746) (7,109) 0 0 0 0 (5,606) (51,619) (1,517) (14,771)
----------- --------- ------- --------- ----- -------- ------ --------- ------- --------- ------- ---------
295 $ 2,610 (235) $ (2,097) 6 $ 67 310 $ 3,096 27,154 $ 265,020 24,362 $ 237,751
<CAPTION>
Short-Term Fund
------------------------------------------------------
Period Ended Year Ended
09/30/2000 03/31/2000
Shares Amount Shares Amount
------- ---------- -------- -------------
<S> <C> <C> <C>
5,924 $ 58,950 10,292 $ 102,581
270 2,696 844 8,403
721 7,170 2,301 22,931
27,525 274,003 122,851 1,224,707
151 1,501 387 3,855
11 109 18 180
4 39 74 737
1,435 14,286 2,242 22,331
(5,431) (54,066) (11,127) (110,878)
(330) (3,288) (569) (5,669)
(775) (7,716) (2,026) (20,188)
(31,519) (313,817) (114,031) (1,136,901)
------ --------- -------- -------------
(2,014) $ (20,133) 11,256 $ 112,089
</TABLE>
143
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 2000 (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>
StocksPLUS Fund Strategic Balanced Fund
---------------------------------------- ------------------------------------
Period Ended Year Ended Period Ended Year Ended
09/30/2000 03/31/2000 09/30/2000 03/31/2000
Shares Amount Shares Amount Shares Amount Shares Amount
---------------------------------------------- ------- --------- ------- ----------- ------- --------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Class A 5,867 $ 80,476 15,869 $ 225,386 74 $ 914 118 $ 2,703
Class B 2,054 27,894 10,113 145,530 43 530 231 4,146
Class C 1,686 22,974 9,655 139,471 230 2,898 346 5,532
Other Classes 10,225 140,439 19,592 284,609 188 2,353 964 9,120
Shares issued in reorganization
Class A 0 0 0 0 0 0 629 8,167
Class B 0 0 0 0 0 0 862 11,192
Class C 0 0 0 0 0 0 888 11,513
Other Classes 0 0 0 0 0 0 2,758 35,908
Issued as reinvestment of distributions
Class A 154 2,082 1,987 27,851 9 113 26 336
Class B 276 3,694 3,929 54,645 20 239 64 821
Class C 264 3,539 3,630 50,658 28 287 70 893
Other Classes 879 11,928 7,615 107,331 146 1,792 556 7,151
Cost of shares redeemed
Class A (6,403) (87,194) (16,833) (240,512) (94) (1,180) (422) (5,306)
Class B (3,860) (52,617) (7,092) (99,404) (117) (1,451) (245) (3,077)
Class C (3,499) (47,824) (8,227) (114,424) (184) (2,287) (271) (3,424)
Other Classes (6,964) (95,871) (17,802) (255,850) (5,879) (74,890) (2,135) (27,359)
Net increase (decrease) resulting from ---------------------------------------- -------------------------------------
Fund share transactions 679 $ 9,520 22,436 $ 325,291 (5,536) $(70,682) 4,439 $ 58,316
---------------------------------------- -------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Total Return
Total Return Fund Mortgage Fund
-------------------------------------------- -------------------------------------
Period Ended Year Ended Period Ended Year Ended
09/30/2000 03/31/2000 09/30/2000 03/31/2000
Shares Amount Shares Amount Shares Amount Shares Amount
----------------------------------------------- --------- ----------- -------- --------- ------ --------- ------- ---------
Receipts for shares sold
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A 58,293 $ 581,308 149,542 $ 1,506,055 4 $ 38 0 $ 0
Class B 10,390 103,730 27,995 282,282 1 10 0 0
Class C 13,986 139,679 30,951 312,021 1 10 0 0
Other Classes 591,527 5,897,991 1,136,650 11,402,013 1,293 12,734 23 227
Issued as reinvestment of distributions
Class A 2,895 28,905 7,532 75,662 0 0 0 0
Class B 941 9,389 2,180 21,883 0 0 0 0
Class C 1,125 11,224 2,746 27,579 0 0 0 0
Other Classes 81,527 813,868 128,626 1,288,826 37 373 25 240
Cost of shares redeemed
Class A (33,980) (338,474) (71,628) (716,288) 0 0 0 0
Class B (6,841) (68,217) (17,534) (175,145) 0 0 0 0
Class C (10,590) (105,375) (30,415) (304,175) 0 0 0 0
Other Classes (354,880) (3,530,063) (721,663) (7,223,440) (147) (1,496) (55) (554)
---------------------------------------------- -----------------------------------
Net increase (decrease) resulting from
Fund share transactions 354,393 $ 3,543,965 644,982 $ 6,497,273 1,189 $ 11,669 (7) $ (87)
---------------------------------------------- -----------------------------------
</TABLE>
144
<PAGE>
7. Reorganization
The Acquiring Fund, as listed below, acquired the assets and certain liabilities
of the Acquired Fund, also listed below, in a tax-free exchange for shares of
the Acquiring Fund, pursuant to a plan of reorganization approved by the
Acquired Fund's shareholders (amounts in thousands):
<TABLE>
<CAPTION>
Shares Value of Total Net Total Net
Issued by Shares Issued Assets of Assets of
Acquiring by Acquiring Acquired Acquiring
Acquiring Fund Acquired Fund Date Fund Fund Fund Fund
<S> <C> <C> <C> <C> <C> <C>
PIMCO Strategic Balanced Fund PIMCO Balanced Fund 09/17/1999 5,137 $ 66,780 $ 66,780 $ 105,993
<CAPTION>
Total
Net Assets Acquired
of Acquiring Fund's
Fund After Unrealized
Acquisition (Depreciation)
<S> <C>
$ 172,774 $ (45)
</TABLE>
8. 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 StocksPLUS Balanced Total Return
Bond Fund Fund II Fund Fund Fund Fund Fund
--------------------------------------------------------------------------------------------
Premium
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Balance at 03/31/2000 $ 473 $ 40 $ 579 $ 3,873 $ 1,231 $ 692 $ 31,722
Sales 1,602 220 2,073 2,116 6,831 643 57,025
Closing Buys (363) (58) (2,357) (78) 3,943 (275) (29,554)
Expirations (857) (113) (288) (2,092) (9,955) (1,060) (18,184)
Exercised 0 0 0 0 0 0 (216)
------------------------------------------------------------------------------------------------------------------------------
Balance at 09/30/2000 $ 855 $ 89 $ 7 $ 3,819 $ 2,050 $ 0 $ 40,793
==============================================================================================================================
</TABLE>
9. Line of Credit
Effective December 30, 1999, the funds, along with certain other funds managed
by PIMCO, entered into an unsecured $100,000,000 bank line of credit agreement
with State Street Bank & Trust Company. Borrowings under the agreement bear
interest at the Fed Funds plus 50 basis points or the Base Rate, which is
typically the Prime Rate. The funds may borrow money solely for temporary
purposes to fund shareholder redemptions. The funds did not borrow from the line
during the period April 1, 2000 to September 30, 2000.
10. Acquisition by Allianz AG
On May 5, 2000, Allianz AG completed the acquisition of approximately 70% of the
outstanding partnership interest in PIMCO Advisors L.P. ("PIMCO Advisors"), of
which PIMCO is a subsidiary partnership. As a result of this transaction, PIMCO
Advisors, and its subsidiaries, are now controlled by Allianz AG, a leading
provider of financial services, particularly in Europe. PIMCO remains
operationally independent, continues to operate under its existing name, and now
leads the global fixed-income efforts of Allianz AG. Key employees at each PIMCO
Advisors' investment units, including PIMCO's Bill Gross, have signed long-term
employment contracts and have significant profit-sharing and retention
arrangements to ensure continuity of the investment process and staff. With the
addition of PIMCO Advisors, the Allianz Group manages assets of approximately
US$650 billion, including more than 300 mutual funds for retail and
institutional clients around the world.
145
<PAGE>
(This Page Intentionally Left Blank)
<PAGE>
PIMCO Funds: Pacific Investment Management Series
<TABLE>
------------------------------------------------------------------------------------------------
<S> <C>
Manager Pacific Investment Management Company, 840 Newport Center Drive, Suite
300, Newport Beach, CA 92660
------------------------------------------------------------------------------------------------
Distributor PIMCO Funds Distributors LLC, 2187 Atlantic Street, Stamford, CT 06902
------------------------------------------------------------------------------------------------
Custodian State Street Bank & Trust Co., 801 Pennsylvania, Kansas City, MO 64105
------------------------------------------------------------------------------------------------
Shareholder PFPC Global Fund Services, Inc., P.O. Box 9688, Providence, RI 02940-9688
Servicing Agent and
Transfer Agent
------------------------------------------------------------------------------------------------
Independent PricewaterhouseCoopers LLP, 1055 Broadway, Kansas City, MO, 64105
Accountant
------------------------------------------------------------------------------------------------
Legal Counsel Dechert Price & Rhoads, 1775 Eye Street, Washington, DC, 20006
------------------------------------------------------------------------------------------------
For Account For PIMCO Funds account information contact your financial advisor, or
Information 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.
</TABLE>
<PAGE>
For the Best in Online Bond Information,
Visit www.pimcofunds.com/bondcenter
[GRAPHIC]
For comprehensive, up-to-date information on bonds and bond investing, visit
the PIMCO Funds Bond Center at www.pimcofunds.com. Rely on the Bond Center to
bring you the latest information from PIMCO's world-class team of investment
professionals led by PIMCO founder Bill Gross. Highlights include:
. Investment Outlook-Bill Gross's monthly newsletter on economic and
interest rate trends.
. Manager Commentary-Read insight from PIMCO bond managers on the economy and
its impact on their funds.
. Sector Strategy White Papers-PIMCO Fund managers provide in-depth
examinations of fund sectors and discuss strategy.
. Economic Data Analysis-Timely analysis of recent economic trends and
data from PIMCO's point of view.
. Media Highlights-Stay abreast of PIMCO Fund manager appearances and
coverage of our Funds.
How to get there
To visit the Bond Center, point your browser to www.pimcofunds.com/bondcenter.
More inside-for a complete update on the PIMCO Funds Bond Center, turn to page
6.
PZ000.9/00
[LOGO OF PIMCO FUNDS]
---------------
PIMCO Funds BULK RATE
Distributors LLC U.S. POSTAGE
PAID
2187 Atlantic Street SMITHTOWN, NY
Stamford, CT 06902 PERMIT NO. 700
---------------
<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]
Stocks may have taken center stage in recent years, but bonds have been star
performers in 2000. Story on page 1.
September 30, 2000 Page 1 Today's Investor
Pacific
Investment Bonds Deserve a Little Limelight--and a Place in
Management Your Portfolio
Series
Share Class
D Page 3 PIMCO Funds Update
What's News
California Intermediate
Municipal Bond Page 4 Manager Commentary
A Conversation with Bill Gross and Paul McCulley
CA Muni Bond
Convertible Page 6 Web Update
Bookmark the PIMCO Funds Bond Center
Emerging Markets
Bond
Page 7 Overview: Comprehensive Fund Family
Foreign Bond
High Yield Page 8 PIMCO Funds: Pacific Investment Management
Series
Low Duration
Semi-Annual Report
Municipal Bond
New York
Municipal Bond
Real Return Bond
Short Duration
Muni Income
Short-Term
StocksPLUS
Strategic Balanced
Total Return
Total Return Mortgage
[LOGO OF PIMCO FUNDS]
<PAGE>
(This Page Intentionally Left Blank)
<PAGE>
Today's Investor
Bonds Deserve a Little Limelight--and a Place in Your Portfolio
Bonds are the Rodney Dangerfield of the investment world. Sometimes they just
don't get much respect. Despite the fact that, on average, they're outperforming
stocks so far this year, they're not getting the attention they deserve.
The fact of the matter is, bonds are hard working securities that do a very good
job of preserving capital, providing stability and sometimes--like this
year--they even offer higher returns than stocks. And all of that makes a
compelling argument for including them in a diversified investment portfolio.
Bonds topping stocks in 2000
Bonds are on track to outperform stocks this year--a big change from last year's
scenario. In 1999 the S&P 500 ended the year up 21.04%, while the tech-heavy
NASDAQ closed the year up a phenomenal 85.59%. At the end of September this
year, however, both indexes were in negative territory--the S&P 500 at -1.39%
and the NASDAQ at -9.74%. By contrast, at the end of the third quarter the
Lehman Aggregate Bond Index--generally regarded as representative of the bond
market as a whole--was up an impressive 7.12% year to date.
After last year's sky-high stock market returns, who could have predicted this
turn of events? No one. And that's exactly the rationale for portfolio
diversification. Since nobody can foretell which way the financial markets will
head from year to year, the sensible solution is to maintain a diversified
investment portfolio to protect against the markets' innate volatility.
Is your portfolio allocation out of whack?
As a result of the run-up in stocks over the last 5 years, many investors will
find that their portfolios are no longer properly diversified. The chart below
shows what happened to a hypothetical portfolio with 65% invested in stocks and
35% invested in bonds between September 30, 1995 and September 30, 2000.
Having a larger portion of your portfolio invested in stocks last year, when
stock prices were rising, was a beautiful thing. But with this year's
unprecedented stock market volatility, a top-heavy stock portfolio is likely not
faring so well.
Time to boost your bond quotient?
The strong performance of the bond market makes this a particularly good time to
invest in bonds. If you're receiving this report, you're already investing in a
PIMCO bond fund. That's a good start. The next step is to determine if the
percentage of your bond holdings matches your financial goals and risk
tolerance.
If you need to increase your portfolio's bond allocation, you have a wide range
of bond funds from
"These slow-and-steady performers [bonds] are anything but dull. They offer many
intriguing opportunities and the chance to outpace stocks in coming years."
-- Money, August 2000
which to choose, from high quality, intermediate duration core funds to more
specialized options. Diversifying your bond holdings will allow you to take
advantage of the potential risk/reward tradeoff each offers. You might consider,
for example, these sectors of the bond market, each currently offering
compelling reasons to invest.
Continued
You may be less diversified than you think
Initial Allocation (9/30/95) Resulting Allocation (9/30/00)
Stocks $65,000 65% $173,445 78%
Bonds $35,000 35% $47,875 22%
Source: Wiesenberger. Returns are based on total return performance from
9/30/95--9/30/00. Stocks represented by the S&P 500 Index, an unmanaged index of
common stocks. Bonds are represented by the Lehman Aggregate Bond Index, an
unmanaged index of bonds. It is not possible to invest directly in an unmanaged
index, and results are not indicative of any PIMCO Fund.
1
<PAGE>
[_] Mortgage-backed securities Bill Gross, PIMCO's renowned bond guru, has been
touting the virtues of mortgage-backed securities (MBS) for a good part of this
year. Government National Mortgage Association (GNMA) securities--or Ginnie
Maes--are a particularly attractive member of this asset group as they're backed
by the full faith and credit of the U.S. government. And other MBSs, though not
guaranteed by the Treasury, nevertheless offer AAA credit ratings.
"Long live the Queen--Ginnie Mae. You'll not find a better investment in the
bond market today."
--Bill Gross, May 2000
Historically, MBSs have offered higher yields than Treasuries or investment
grade corporate bonds of comparable maturity, with little additional risk. And
currently they're yielding over 7%, while Treasuries and investment-grade
corporate bonds are yielding between 5% and 6%.
[_] Municipal bonds For tax-sensitive investors, the municipal (muni) bond
market is currently providing attractive opportunities. Munis, which are exempt
from Federal taxes and from state and local taxes for residents within the
issuing state, are currently offering impressive after-tax yields relative to
Treasuries.
What's more, the average municipal bond fund has topped the average taxable bond
fund so far this year. According to leading fund analyst Lipper, Inc., muni
funds have returned 5.99% year-to-date, while taxable bond funds have returned
3.79%--and that's not even taking the tax consequences into consideration.
Additionally, credit quality conditions in the municipal sector have rarely been
more favorable. In fact, Barron's (Oct. 23, 2000) recently reported that "there
were 4.1 upgrades for every downgrade among municipals in the third quarter.
Among investment grade securities, there were 1.03 upgrades for every
downgrade."
[_] Inflation-protected bonds After years of relatively steady prices, many
investors have forgotten how harmful inflation can be. In fact, it's one of the
most serious threats investors face. And despite the Federal Reserve's recent
series of interest rate hikes, the inflation rate--as measured by the Consumer
Price Index--has still risen 3.5% for the year ended September 30, 2000.
Only one investment vehicle eliminates the risk of inflation entirely--
inflation-protected bonds. The principal value of inflation-protected bonds
changes in step with the rate of inflation, and as the principal increases, so
does the amount of interest paid. Treasury Inflation-Protected Securities (TIPS)
are one of the most attractive members of this asset class, combining inflation
protection with the guarantee of the U.S. government.
Investing in these securities now, while inflation remains at relatively low
levels, allows investors to take maximum advantage of the adjustments to
principal that will occur when inflation eventually rises.
PIMCO Funds offers funds specializing in these three bond classes. To find out
about them, call 1-800-426-0107 or visit the PIMCO Funds Web site at
www.pimcofunds.com.
Past performance is no guarantee of future results. The opinions expressed in
this article are opinions only and are not indicative of the past or future
performance of any PIMCO Fund. It is not possible to invest directly in any
unmanaged index. Mortgage-backed securities may be sensitive to changes in
prevailing interest rates, when they rise the value generally declines. GNMA's
government guarantee is to the timely repayment of principal and interest of a
mutual fund's portfolio securities and not to the shares of the mutual fund,
which will fluctuate in value. There is no assurance that the private guarantors
or insurers will meet their obligations. Government bonds and Treasury bills are
guaranteed by the U.S. government and, if held to maturity, offer a fixed rate
of return and fixed principal value. Corporate debt securities are subject to
the risk of the issuer's inability to meet principal and interest payments on
the obligation and may also be subject to price volatility due to such factors
as interest rate sensitivity, market perception of the creditworthiness of the
issuer and general market liquidity. Income from municipal bond funds is subject
to state and local taxes & may at times be subject to the alternative minimum
tax. It's important to note that a fund concentrating in a single state is
subject to greater risk of adverse economic conditions and regulatory changes
than a fund with broader geographical diversification. The Consumer Price Index
is an unmanaged index representing the rate of inflation of the US consumer
prices as determined by the US Department of Labor Statistics. There can be no
guarantee that the CPI or other indexes will reflect the exact level of
inflation at any given time. Treasury Inflation Protected Securities (TIPS) are
guaranteed by the US government, however the shares of the Fund are not.
2
<PAGE>
PIMCO Funds Update
What's News
PIMCO Total Return Mortgage Fund
By virtue of their high credit quality and attractive yield potential,
mortgage-backed securities (MBSs) have become an increasingly important
component of the bond market. In fact, Bill Gross, PIMCO's renowned bond chief,
considers MBSs--and more specifically, Ginnie Maes--to be the best investment in
the bond market today.
Launched on August 1, 2000, PIMCO Total Return Mortgage Fund lets you take
advantage of this unique opportunity. Here are some of the Fund's highlights:
[_] Invests in MBSs, which have historically outperformed Treasuries and
investment-grade corporates with comparable durations.
[_] Offers high average credit quality and an intermediate duration, making the
Fund an attractive core bond holding.
[_] Managed by Scott Simon, a leading mortgage expert with over 17 years of
investment experience.
[_] Backed by PIMCO, the country's largest MBS manager, with nearly $90 billion
in assets under management in this sector.
[_] Employs PIMCO's signature total return philosophy and process.
PIMCO California Municipal Bond Fund
"There are compelling opportunities in today's muni market," according to
PIMCO's municipal manager, Mark McCray. Currently, McCray finds that municipal
yields are very attractive compared to the after-tax yields of comparable
Treasuries and corporates. This is especially true in the large California
market, which has outperformed the national muni market so far this year.
PIMCO California Municipal Bond Fund, launched on August 1, 2000, offers a
portfolio of federal and California tax-exempt bonds with a 3- to 12-year
duration. These are some of the Fund's key features:
[_] Provides monthly income free from federal and California taxes.
[_] High credit quality--most issues ranging from A to AAA.
[_] Diversified across a wide range of California industry sectors.
[_] Managed by Mark McCray, an expert with an extensive background in municipal
securities.
[_] Backed by PIMCO's state-of the-art analytical tools and bond management
resources.
PIMCO Bond Funds--Head and Shoulders Above the Crowd
Here's a compelling statistic: all but one of PIMCO's bond funds outperformed
their Lipper peer group averages over the 1-year period ended 9/30/00 (see chart
below). And the one that didn't--PIMCO Emerging Markets Bond Fund--still
returned an impressive 23.81%. What does this mean for investors? By entrusting
their assets to PIMCO, investors can participate in a wide range of fixed-income
strategies within one fund family--and expect the same high-quality investment
management across the board.
PIMCO Bond Funds 1-Year Returns for the Period Ended 9/30/00
PIMCO Fund 1-Year (%) Lipper Avg. (%) Difference
Foreign Bond 7.13 -3.90 +11.03%
Convertible 38.39 30.87 +7.52%
Global Bond II 6.53 0.58 +5.95%
Real Return Bond 9.59 5.68 +3.91%
Long-Term U.S. Government 8.93 6.12 +2.81%
High Yield 2.77 -0.02 +2.79%
Total Return Mortgage 8.01 6.47 +1.54%
California Interm. Municipal Bond 6.81 5.78 +1.03%
New York Municipal Bond 6.18 5.22 +0.96%
Total Return 6.62 5.75 +0.87%
Municipal Bond 5.41 4.74 +0.67%
Low Duration 6.05 5.73 +0.32%
Short-Term 6.12 6.02 +0.10%
Emerging Markets Bond 23.81 23.97 -0.16%
Past performance is no guarantee of future results. Fund returns represent the
performance of Class A shares at NAV. Please refer to the appropriate pages for
standardized returns and complete risk disclosures for all of the above Funds.
Treasury securities are guaranteed by the U.S. government. Lipper averages are
calculated by Lipper, Inc., a nationally recognized mutual fund performance
evaluation firm. They are performance averages of the funds Lipper tracks, with
the investment objective noted. Lipper rankings are based on total returns, not
adjusted for sales charges.
3
<PAGE>
Manager Commentary
Economic Outlook
Bill Gross is regarded by many as America's most influential authority on the
bond market. He pioneered the "total return" approach to bond investing, and is
the portfolio manager of PIMCO Total Return Fund--the country's largest bond
fund. Paul McCulley is an economist and monetary policy specialist with 17 years
of investment experience. He is responsible for all short-term bond portfolios
at PIMCO--including PIMCO Short-Term Fund. We recently had the pleasure of
speaking with them both about their latest outlook for the economy and the bond
market.
Q: What happened in the bond market in the third quarter?
BG: Intermediate maturity Treasuries rallied as the yields on 2-, 5- and 10-year
notes fell significantly. With the yield on 30-year Treasuries remaining flat,
the portion of the Treasury yield curve between 10 and 30 years reverted to a
positive slope for the first time since mid-January. The reversion of the long
end of the curve came amid shifting market sentiment about the economy, Fed
policy and the budget surplus in Washington. Mortgages outperformed Treasuries,
benefiting from low market volatility and attractive yield premiums.
Investment-grade debt also did well as investors were drawn to their higher
yields. However, the high yield sector lagged Treasuries amid continued concern
about credit weakness in the sector.
Q: What's your outlook for the economy?
PM: Looking ahead, global economic growth will moderate in response to recent
monetary policy tightening in the U.S., Europe and Japan and the highest oil
prices in a decade. Inflation is likely to creep higher as increased energy
prices seep through economies around the world. In fact, there are now
indications that the economy here at home has started to slow.
Manufacturing activity is slowing. According to the Purchasing Managers Index,
the sector actually contracted in August and September. And corporate earnings
warnings suggest the problem is not confined to just manufacturing. In addition,
consumer spending is cooling, after posting robust gains at the start of the
year.
Q: What does that mean for the Fed?
PM: Well, the Fed will likely stand pat, certainly through the election, and
maybe until next year. While Chairman Greenspan must be happy that the economy
is slowing, he remains concerned about two important issues: the impact of
continued labor market tightness on inflation through higher wage pressures and
concern that higher oil prices will seep into the economy in the form of
secondary and tertiary price increases. So while historically the Fed has
loosened monetary policy when the manufacturing economy has contracted, this
time they may delay easing until inflationary pressures diminish. In short, the
tightening cycle is over, but the Fed hasn't indicated that easier monetary
policy lies ahead.
Q: So, will high oil prices be a major issue for the Fed?
PM: Well, over the short run it is a consideration because supply and demand
tend to be less elastic. However, the current level of oil prices is not
sustainable over the long term. In our opinion, higher oil prices will dampen
demand over the long term by slowing worldwide growth. High prices will also
encourage more drilling, expansion of refining capacity and rebuilding of
inventories from their current low levels. The Fed knows this and that's why
they are willing to put up with higher oil prices now, all other things being
equal.
Q: Will the outcome of the presidential election impact the bond market?
BG: A concern I have is if one party dominates the election by taking both the
White House and Congress, it will be able to enact its promised tax cut. That
would stimulate the consumer and re-ignite the economy, potentially bringing the
Historically, the Fed has eased when the Purchasing Managers Index drops below
50.
[GRAPH]
DATE Purchasing Managers (%) Fed Funds Rate (%)
Jan-82 38.2 13.2
Feb-82 38.3 14.8
Mar-82 36.8 14.7
Apr-82 37.8 14.9
May-82 35.5 14.5
Jun-82 38.3 14.2
Jul-82 38.4 12.6
Aug-82 38.3 10.1
Sep-82 38.8 10.3
Oct-82 39.4 9.7
Nov-82 39.2 9.2
Dec-82 42.8 9.0
Jan-83 46.0 8.7
Feb-83 54.4 8.5
Mar-83 53.9 8.8
Apr-83 54.2 8.8
May-83 56.1 8.6
Jun-83 57.5 9.0
Jul-83 63.6 9.4
Aug-83 63.1 9.6
Sep-83 62.5 9.5
Oct-83 64.4 9.5
Nov-83 66.0 9.3
Dec-83 69.9 9.5
Jan-84 60.5 9.6
Feb-84 61.3 9.6
Mar-84 58.9 9.9
Apr-84 61.0 10.3
May-84 58.6 10.3
Jun-84 58.1 11.1
Jul-84 56.1 11.2
Aug-84 53.0 11.6
Sep-84 50.0 11.3
Oct-84 50.8 10.0
Nov-84 50.3 9.4
Dec-84 50.6 8.4
Jan-85 50.3 8.4
Feb-85 49.9 8.5
Mar-85 47.8 8.6
Apr-85 48.2 8.3
May-85 47.1 8.0
Jun-85 47.8 7.5
Jul-85 47.9 7.9
Aug-85 47.7 7.9
Sep-85 49.9 7.9
Oct-85 50.9 8.0
Nov-85 52.0 8.1
Dec-85 50.7 8.3
Jan-86 51.2 8.1
Feb-86 51.0 7.9
Mar-86 51.0 7.5
Apr-86 49.7 7.0
May-86 53.4 6.9
Jun-86 50.5 6.9
Jul-86 48.0 6.6
Aug-86 52.6 6.2
Sep-86 52.4 5.9
Oct-86 51.2 5.9
Nov-86 51.2 6.0
Dec-86 50.5 6.9
Jan-87 54.9 6.4
Feb-87 52.6 6.1
Mar-87 55.0 6.1
Apr-87 55.5 6.4
May-87 57.2 6.9
Jun-87 57.4 6.7
Jul-87 57.5 6.6
Aug-87 59.3 6.7
Sep-87 60.0 7.2
Oct-87 60.7 7.3
Nov-87 58.8 6.7
Dec-87 61.0 6.8
Jan-88 57.5 6.8
Feb-88 56.2 6.6
Mar-88 54.6 6.6
Apr-88 55.8 6.9
May-88 55.5 7.1
Jun-88 59.3 7.5
Jul-88 58.2 7.8
Aug-88 56.0 8.0
Sep-88 54.5 8.2
Oct-88 55.4 8.3
Nov-88 55.6 8.4
Dec-88 56.0 8.8
Jan-89 54.7 9.1
Feb-89 54.1 9.4
Mar-89 51.5 9.9
Apr-89 52.2 9.8
May-89 49.3 9.8
Jun-89 47.3 9.5
Jul-89 45.9 9.2
Aug-89 45.1 9.0
Sep-89 46.0 9.0
Oct-89 46.8 8.8
Nov-89 46.8 8.6
Dec-89 47.4 8.5
Jan-90 47.2 8.2
Feb-90 49.1 8.2
Mar-90 49.9 8.3
Apr-90 50.0 8.3
May-90 49.5 8.2
Jun-90 49.2 8.3
Jul-90 46.6 8.2
Aug-90 46.1 8.1
Sep-90 44.5 8.2
Oct-90 43.2 8.1
Nov-90 41.3 7.8
Dec-90 40.8 7.3
Jan-91 39.2 6.9
Feb-91 39.4 6.3
Mar-91 40.7 6.1
Apr-91 42.8 5.9
May-91 44.5 5.8
Jun-91 50.3 5.9
Jul-91 50.6 5.8
Aug-91 52.9 5.7
Sep-91 54.9 5.5
Oct-91 53.1 5.2
Nov-91 49.5 4.8
Dec-91 46.8 4.4
Jan-92 47.3 4.0
Feb-92 52.7 4.1
Mar-92 54.6 4.0
Apr-92 52.6 3.7
May-92 55.7 3.8
Jun-92 53.6 3.8
Jul-92 53.9 3.3
Aug-92 53.4 3.3
Sep-92 49.7 3.2
Oct-92 50.3 3.1
Nov-92 53.6 3.1
Dec-92 54.2 2.9
Jan-93 55.8 3.0
Feb-93 55.2 3.0
Mar-93 53.5 3.1
Apr-93 50.2 3.0
May-93 51.2 3.0
Jun-93 49.6 3.0
Jul-93 50.2 3.1
Aug-93 50.7 3.0
Sep-93 50.8 3.1
Oct-93 53.4 3.0
Nov-93 53.8 3.0
Dec-93 55.6 3.0
Jan-94 56.0 3.1
Feb-94 56.5 3.3
Mar-94 56.9 3.3
Apr-94 57.4 3.6
May-94 58.2 4.0
Jun-94 58.8 4.3
Jul-94 58.5 4.3
Aug-94 58.0 4.5
Sep-94 59.0 4.7
Oct-94 59.4 4.8
Nov-94 59.2 5.3
Dec-94 56.1 5.5
Jan-95 57.4 5.5
Feb-95 55.1 5.9
Mar-95 52.1 6.0
Apr-95 51.5 6.1
May-95 46.7 6.0
Jun-95 45.9 6.0
Jul-95 50.7 5.9
Aug-95 47.1 5.7
Sep-95 48.1 5.8
Oct-95 46.7 5.8
Nov-95 45.9 5.8
Dec-95 46.2 5.6
Jan-96 45.5 5.6
Feb-96 45.9 5.2
Mar-96 46.9 5.3
Apr-96 49.3 5.2
May-96 49.1 5.2
Jun-96 53.6 5.3
Jul-96 49.7 5.4
Aug-96 51.6 5.2
Sep-96 51.1 5.3
Oct-96 50.5 5.2
Nov-96 53.0 5.3
Dec-96 55.2 5.3
Jan-97 53.6 5.3
Feb-97 53.3 5.2
Mar-97 54.1 5.4
Apr-97 53.7 5.5
May-97 56.0 5.5
Jun-97 55.2 5.6
Jul-97 57.8 5.5
Aug-97 56.1 5.5
Sep-97 54.0 5.5
Oct-97 56.4 5.5
Nov-97 55.4 5.5
Dec-97 54.3 5.5
Jan-98 53.4 5.5
Feb-98 53.2 5.5
Mar-98 53.4 5.5
Apr-98 52.3 5.5
May-98 50.9 5.5
Jun-98 49.2 5.6
Jul-98 49.4 5.5
Aug-98 49.1 5.6
Sep-98 48.8 5.5
Oct-98 48.6 5.1
Nov-98 47.7 4.8
Dec-98 46.3 4.7
Jan-99 49.9 4.6
Feb-99 52.1 4.8
Mar-99 53.3 4.8
Apr-99 52.7 4.7
May-99 54.4 4.7
Jun-99 56.3 4.8
Jul-99 53.6 5.0
Aug-99 54.4 5.1
Sep-99 57.3 5.2
Oct-99 56.9 5.2
Nov-99 57.1 5.4
Dec-99 56.8 5.3
Jan-00 56.3 5.5
Feb-00 56.9 5.7
Mar-00 55.8 5.9
Apr-00 54.9 6.0
May-00 53.2 6.3
Jun-00 51.8 6.5
Jul-00 51.8 6.6
Aug-00 49.5 6.5
Source: Nat'l Assoc. of Purchasing Mgmt.; Federal Reserve.
4
<PAGE>
Fed back into the picture. Furthermore, the spending initiatives of either a
Bush or Gore administration would most likely turn forecasted budget surpluses
into deficits. That would force the Treasury to issue new debt, and remove what
has been a major stimulus for the Treasury market this year. I think the bond
market would be happiest if the election resulted in continued stalemate in
Washington with one party in control of the White House and another in control
of Congress.
Q: Then is stagflation still an issue?
BG: Yes, over the short term. While the economy is clearly cooling, inflation
should creep higher due to the factors Paul mentioned before. Historically,
normal economic cycles often end with a small dose of stagflation, because
inflation in general is a lagging condition. However, the tech slowdown that is
currently unfolding needs to be watched. If it negatively impacts productivity
growth, then the stagflation story could become a bigger issue.
Q: What will drive performance in the coming months?
PM: Sector and quality will have more impact on portfolio performance than
interest rate strategies in the current environment of slower growth, earnings
pressure and creeping inflation. High levels of corporate debt and erosion of
credit quality amid slower global growth signal caution toward longer-maturity
corporate and emerging market bonds. Emphasis on top-quality credits with
shorter maturities is one way to avoid mistakes, though this strategy may
sacrifice yield. Mortgages are another alternative. Still, mortgages are not
risk-free because they will be vulnerable to adverse price performance if
interest rate volatility picks up.
U.S. Corporate Sector Borrowing
Corporations are assuming more and more debt.
The line graph inserted at the bottom of page 4 in the section "Economic
Outlook" is entitled "U.S. Corporate Sector Borrowing" and illustrates the fact
that corporations are assuming more and more debt. The graph shows one line
representing the U.S.$ amount from flow of funds and a second line representing
the %YoY of non-financial credit growth (RHS), both over the ten-year period
from 1990 through 2000.
Q: Then are mortgage-backed securities still the favored sector?
BG: They are for two reasons. First, their yields remain attractive relative to
other areas of the bond market with little additional credit risk. Mortgages are
still yielding north of 7%, while Treasuries and investment-grade corporate
bonds are earning between 5% and 6%. Second, given our outlook for a relatively
stable interest rate environment over the next year, the yield premium paid for
prepayment risk is very attractive right now.
Q: Finally, Bill, you've spoken frequently about the decline of the corporate
sector. Could you elaborate?
BG: First, cyclically, with the economy slowing and default rates in the
corporate credit market high and rising, higher yielding, lower quality issues
will continue to face tough times. Even many investment-grade issues suffer in
this environment. Second, secularly, corporate bond investing in a New Age
economy is a dangerous proposition. That's because today's economic growth is
based on the premise that "creative destruction" is a good thing. Joseph
Schumpeter first introduced the idea that the greatest good is ultimately
accomplished by allowing innovation to flourish even as it damages some. The
U.S. dominates the world economy today because it embraces change and allows the
new to overtake the old. New Age companies embody the creative part of the
concept and tend to raise capital in the equity markets. That leaves destruction
for certain Old Age companies, which leverage their balance sheet by issuing
debt only to use the proceeds to buy back stock in order to keep their stock
price competitive--a vicious cycle of self-liquidation. The outcome is not good
for debt holders. That's why we are cautious about the corporate market.
For more on our economic outlook on a monthly basis, read Bill Gross's
Investment Outlook and Paul McCulley's Fed Focus online at
www.pimcofunds.com.
Past performance is no guarantee of future results. The views of Mr. Gross and
Mr. McCulley are not indicative of the past or future performance of any PIMCO
Fund.
5
<PAGE>
Web Update
Looking for the Best in Online Bond Information?
Bookmark the PIMCO Funds Bond Center at www.pimcofunds.com/bondcenter
[GRAPHIC]
Visit the PIMCO Funds Bond Center at www.pimcofunds/bondcenter.com for
comprehensive, reliable, up-to-date information on bonds and bond mutual funds.
Now you can get even more detailed, easy-to-access information about PIMCO's
bond funds when you visit the online PIMCO Funds Bond Center. And of course, the
Center continues to deliver the best research and news about bonds and bond
investing. Rely on the Bond Center to bring you the latest information from our
world-class team of investment professionals led by PIMCO founder Bill Gross.
Resources to Keep You In-the-Know
The Bond Center contains a wealth of resources to keep you up-to-date on the
economy, the bond markets and related investment opportunities. Regular features
include:
[_] Investment Outlook--Bill Gross's monthly newsletter on economic and interest
rate trends.
[_] Manager Commentary--Read insight from PIMCO bond managers on the economy and
its impact on their funds.
[_] Sector Strategy White Papers--PIMCO Fund managers provide in-depth
examinations of fund sectors and discuss strategy.
[_] Economic Data Analysis--Timely analysis of recent economic trends and data
from PIMCO's point of view.
[_] Media Highlights--Stay abreast of PIMCO Fund manager appearances and
coverage of our Funds.
Enhanced Fund Information
Getting the facts you need about any PIMCO bond fund is faster and easier than
ever. Now, everything relating to a Fund is conveniently organized in one place:
[_] Performance--Class-specific, in-depth performance data, including daily
price and performance, month-end numbers and average annual returns.
[_] Fund Overviews--Highlighting the unique advantages each Fund offers.
[_] Statistics at a Glance--Including objective, primary portfolio and assets
under management.
[_] Ratings/Rankings--Current Morningstar ratings and Lipper
rankings.
[_] Portfolio Analysis--Breakdown of Fund holdings plus quality and maturity
analyses, updated monthly.
[_] Manager Commentary--Managers' investment insight and market analysis.
[_] Investment Process--Step-by-step explanations of each manager's investment
strategy.
[_] Literature--Categorized by Fund, to download or order by mail.
6
<PAGE>
The PIMCO Funds Family
<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
Select Growth Long-term growth of capital Stocks of larger-capitalized companies
Target Capital appreciation Stocks of medium-capitalized companies
--------------------------------------------------------------------------------------------------------------------------------
Blend Capital Appreciation Growth of capital Stocks of larger-capitalized companies the
Stock Funds manager believes are reasonably valued
Mid-Cap Growth of capital Stocks of medium-capitalized companies the
manager believes are reasonably valued
Equity Income Current income and long-term growth Stocks of larger-capitalized companies with
above-average dividends
Growth & Income Capital appreciation Stocks of larger-capitalized companies with
above-average dividends
--------------------------------------------------------------------------------------------------------------------------------
Value Value Long-term growth of capital and Stocks of larger-capitalized companies with
Stock Funds income below-average P/Es
Renaissance Long-term growth of capital and Stocks with below-average
income valuations
--------------------------------------------------------------------------------------------------------------------------------
Enhanced Index Tax-Efficient Equity Maximum after-tax growth of capital Stocks of larger-capitalized companies
Stock Funds
StocksPLUS Total return exceeding the S&P 500 S&P 500 stock index futures backed by a
Index portfolio of short-term, fixed-income
securities
--------------------------------------------------------------------------------------------------------------------------------
Sector Related Innovation Capital appreciation Stocks of technology-related companies
Stock Funds
Global Innovation Capital appreciation Stocks of U.S. and non-U.S. technology
related companies
--------------------------------------------------------------------------------------------------------------------------------
Short Duration Short-Term Maximum current income consistent Money market securities and short-term bonds
Bond Funds with preservation of capital and (up to 1 year duration)
daily liquidity
Low Duration Maximum total return Short maturity fixed income securities
(1-3 year duration)
--------------------------------------------------------------------------------------------------------------------------------
Intermediate Duration Total Return Maximum total return Intermediate maturity fixed income securities
Bond Funds (3-6 year duration)
Total Return Mortgage Maximum total return Intermediate maturity mortgage-related fixed
income securities (2-6 year duration)
--------------------------------------------------------------------------------------------------------------------------------
International Foreign Bond Maximum total return Intermediate maturity hedged non-U.S. fixed
Bond Funds income securities (3-7 year duration)
Emerging Markets Bond Maximum total return Emerging market fixed income securities
(0-8 year duration)
--------------------------------------------------------------------------------------------------------------------------------
High Yield Bond Fund High Yield Maximum total return Higher yielding fixed income securities
(2-6 year duration)
--------------------------------------------------------------------------------------------------------------------------------
Inflation-Indexed Real Return Bond Maximum real return Inflation-indexed fixed income securities
Bond Fund
--------------------------------------------------------------------------------------------------------------------------------
Convertible Convertible Maximum total return Convertible securities
Bond Fund
--------------------------------------------------------------------------------------------------------------------------------
Tax Exempt Municipal Bond High current income exempt from Intermediate to long-term maturity municipal
Bond Funds federal taxes, preservation of securities, exempt from federal income tax
capital (3-10 year duration)
California High current income exempt from Intermediate to long-term maturity municipal
Municipal Bond federal and California income securities (3-12 year duration)
tax
California Intermediate High current income exempt from Intermediate maturity municipal securities
Municipal Bond federal and California income tax (3-7 year duration)
New York High current income exempt from Intermediate to long-term maturity municipal
Municipal Bond federal and New York income tax securities (3-12 year duration)
Short Duration High current income exempt from Short to Intermediate-term maturity municipal
Municipal Income federal income tax securities (0-2 year duration)
--------------------------------------------------------------------------------------------------------------------------------
Stock and Bond Funds Strategic Balanced Maximum total return Intermediate maturity fixed-income securities
and S&P 500 stock index derivatives (0-6
years duration)
</TABLE>
7
<PAGE>
Pacific Investment Management Series
PIMCO Funds Semi-Annual Report
Dear Shareholder:
What a difference a year makes. This time last year the stock market was
hurtling toward one of its strongest showings ever, with many stock funds
reporting double- and even triple-digit returns. At the end of the third quarter
of 2000, however, most of the major stock indexes were down and the average U.S.
equity fund, according to Morningstar, was returning just 3.48%.
The bond market, on the other hand, has had a good year so far--a contrast to
the turbulence of 1999. All bond classes, with the exception of high yield,
experienced a bounce in the third quarter, strengthened by the perception that
the economy has slowed and that the Fed may have finished raising interest rates
for now. Year-to-date, the Lehman Aggregate Bond Index, a broad measure of bond
market performance, is up 7.12% and the average bond fund is up 4.90%, again
according to Morningstar. In short, the average bond fund is outperforming the
average stock fund, and doing it with a lot less volatility.
All of this just serves to illustrate that last year's laggards may be this
year's winners. And that it's more important than ever to remember a few
time-honored principles...Maintain a diversified investment portfolio. Have a
healthy respect for risk. Keep your focus on the long term. Or as Bill
Gross--PIMCO's oft-quoted bond chief--has said "Set your sights on a horizon and
sail until you get there."
Those who can stick with these precepts will be able to ride out market
volatility and ultimately reach their investment goals. And at PIMCO, we're
committed to providing investors with the kind of high quality investment
vehicles that can help them get there.
How have PIMCO's bond funds fared? Well, I'm pleased to say that they've all
reported strong relative performance. In fact, all of our bond funds but one
have outperformed their Lipper Averages over the last year. And the one that
didn't--PIMCO Emerging Markets Bond Fund--still returned an impressive 23.82%,
just slightly behind its average.
I encourage you to review the fund information and commentary on the following
pages carefully. And once again, I'd like to thank you for the trust you've
placed in us. If you have any questions regarding your investment, call us at
1-800-426-0107. Or visit our Web site at www.pimcofunds.com.
Sincerely,
/s/ Brent R. Harris
Brent R. Harris
Chairman of the Board
October 31, 2000
8
<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, 2000. 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 10-26 Fund Summaries
A summary of a Fund's performance record and portfolio composition, and a review
from the Fund's investment manager.
Pages 27-105 Schedule of Investments
The Schedule of Investments includes a listing of securities in the Fund's
portfolio as of September 30, 2000, including the number of shares or principal
amount and value as of that date.
Schedule of
Fund Name Fund Summary Investments
California Inter. Muni. Bond Fund Page 10 Page 27
California Municipal Bond Fund Page 11 Page 30
Convertible Fund Page 12 Page 31
Emerging Markets Bond Fund Page 13 Page 33
Foreign Bond Fund Page 14 Page 35
High Yield Fund Page 15 Page 41
Low Duration Fund Page 16 Page 47
Municipal Bond Fund Page 17 Page 55
New York Municipal Bond Fund Page 18 Page 58
Real Return Bond Fund Page 19 Page 59
Short Duration Municipal Income Fund Page 20 Page 63
Short-Term Fund Page 21 Page 65
StocksPLUS Fund Page 22 Page 69
Strategic Balanced Fund Page 23 Page 74
Total Return Fund Page 24 Page 75
Total Return Mortgage Fund Page 25 Page 104
Pages 106-107 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 108-109 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 110-111 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 112-115 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 116 Statements 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 117-124 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.
9
<PAGE>
PIMCO CA Intermediate Municipal Bond Fund
September 30, 2000
OBJECTIVE:
Seek high current income exempt from federal and California income tax.
PORTFOLIO:
Intermediate maturity municipal securities.
DURATION RANGE:
3-7 years
FUND INCEPTION DATE:
8/31/99
TOTAL NET ASSETS:
$100.5 million
PORTFOLIO MANAGER:
Mark McCray
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
D Shares Lipper Lehman Bros.
California Lehman Bros.
Intermediate Interm. CA
Muni. Insured
Debt Fund Bond Index
Avg.
--------------------------------------------------------------------------------
1 year 6.80% 5.78% 7.82%
Inception 6.93% -- --
[GRAPH]
PIMCO Lehman Brothers
CA Intermediate Intermediate California
Municipal Bond Insured Bond Index
D
08/31/1999 10,000 10,000
09/30/1999 10,067 10,064
10/31/1999 9,989 9,998
11/30/1999 10,071 10,080
12/31/1999 10,024 9,987
01/31/2000 10,052 10,044
02/29/2000 10,114 10,099
03/31/2000 10,292 10,247
04/30/2000 10,265 10,170
05/31/2000 10,311 10,197
06/30/2000 10,503 10,426
07/31/2000 10,638 10,569
08/31/2000 10,789 10,734
09/30/2000 10,754 10,673
Change in Value
$10,000 invested at the Fund's inception
*Past performance is no guarantee of future results. Returns represent the
blended performance of the Fund's Class D shares and the prior performance of
the Fund's Instl shares. Class D shares were first offered in 1/31/00. Income
from the Fund may be subject to state and local taxes and (if applicable) the
Alternative Minimum Tax. See page 26 for Footnotes, which include additional
details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 21%
--------------------------------------------------------------------------------
1-5 years 26%
--------------------------------------------------------------------------------
5-10 years 28%
--------------------------------------------------------------------------------
10-20 years 16%
--------------------------------------------------------------------------------
20-30 years 9%
--------------------------------------------------------------------------------
Duration: 5.6 years
--------------------------------------------------------------------------------
Regional Breakdown
--------------------------------------------------------------------------------
California 83.2%
--------------------------------------------------------------------------------
Puerto Rico 12.1%
--------------------------------------------------------------------------------
Virgin Islands 4.5%
--------------------------------------------------------------------------------
Other 0.2%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 46.3%
--------------------------------------------------------------------------------
AA 31.3%
--------------------------------------------------------------------------------
A 10.8%
--------------------------------------------------------------------------------
BBB 8.0%
--------------------------------------------------------------------------------
BB 3.6%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class D shares
returned 4.47%, outperforming the Lipper Average, which returned 3.89%. Over the
same time period, the Fund slightly outperformed its benchmark, the Lehman
Intermediate California Insured Bond Index, which returned 4.15%. Looking longer
term, the Fund outperformed both the Lipper Average and the benchmark over the
one-year and since inception periods ended September 30, 2000.
The Federal Reserve lifted short-term interest rates by 50 basis points at
their May meeting, bringing its total tightening tally for this cycle to six, as
concern remained that inflationary pressures were building. Supporting the
concern, oil prices surged to their highest level in a decade. But the
cumulative impact of 175 basis points of tightening began to slow the economy,
as signs emerged that consumer and investment spending was slowing and that the
housing sector was cooling.
California municipal bond yields fell along with those in other higher
quality bond markets due to a state credit rating upgrade, strong retail demand
and reduced new issuance. In fact, the California municipal market was the
second best performing individual state market during the third quarter and
year-to-date.
The Fund's overweight position in longer maturity issues was positive for
performance as this area of the yield curve experienced the biggest drop during
the quarter. Superior issue selection within the general obligation and
pre-refunded sectors improved relative returns as well. Finally, overweighting
deep discount bonds also enhanced performance, because falling interest rates
reduced their potential tax exposure and boosted investor demand. However, our
conservative below-benchmark duration exposure during the third quarter held
back relative performance as California municipal yields dropped across the
maturity spectrum.
Looking ahead, we expect growth will continue to moderate worldwide. We
also expect inflation to creep higher in the face of continued wage pressures
and escalating energy costs. More Fed tightening is unlikely now that U.S.
growth is slowing, but the central bank will also refrain from easing to avoid
igniting inflation. A focus on quality will continue to be critical for superior
performance as credit deterioration continues.
As a result, we anticipate continuing our high quality focus, targeting an
average credit quality of AA and limiting below-investment-grade exposure due to
narrow credit premiums. We expect to maintain an overweight position in longer
maturities, which offer compelling value as they are overlooked by many retail
investors. Duration may be moved closer to the benchmark as we expect municipal
yields to remain relatively stable in the near term.
10
<PAGE>
PIMCO CA Municipal Bond Fund
September 30, 2000
OBJECTIVE:
Seek high current income exempt from federal and California income tax.
PORTFOLIO:
Investment grade municipal bonds.
DURATION RANGE:
3-7 years
FUND INCEPTION DATE:
5/16/00
TOTAL NET ASSETS:
$9.1 million
PORTFOLIO MANAGER:
Mark McCray
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
D Shares Lipper Lehman Bros.
General Muni. General Muni.
Debt Fund Avg. Bond Index
--------------------------------------------------------------------------------
Inception 15.69% -- --
*Past performance is no guarantee of future results. Returns represent the
blended performance of the Fund's Class D shares and the prior performance of
the Fund's institutional class shares. Class D shares were first offered in
7/31/00. Income from the Fund may be subject to state and local taxes and (if
applicable) the Alternative Minimum Tax. See page 26 for Footnotes, which
include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 3%
--------------------------------------------------------------------------------
1-5 years 37%
--------------------------------------------------------------------------------
5-10 years 17%
--------------------------------------------------------------------------------
10-20 years 30%
--------------------------------------------------------------------------------
20-30 years 13%
--------------------------------------------------------------------------------
Duration: 7.0 years
--------------------------------------------------------------------------------
Regional Breakdown
--------------------------------------------------------------------------------
California 68.6%
--------------------------------------------------------------------------------
Puerto Rico 25.7%
--------------------------------------------------------------------------------
Virgin Islands 4.5%
--------------------------------------------------------------------------------
Other 1.2%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 77.1%
--------------------------------------------------------------------------------
AA 4.1%
--------------------------------------------------------------------------------
A 5.8%
--------------------------------------------------------------------------------
BBB 4.5%
--------------------------------------------------------------------------------
BB 8.5%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
The California Municipal Bond Fund's primary investment objective is to seek
high current income that would be exempt from federal and California income
taxes. The Fund's inception date is May 16, 2000.
The Federal Reserve lifted short-term interest rates by 50 basis points at
their May meeting, bringing its total tightening tally for this cycle to six, as
concern remained that inflationary pressures were building. Supporting the
concern, oil prices surged to their highest level in a decade. But the
cumulative impact of 175 basis points of tightening began to slow the economy,
as signs emerged that consumer and investment spending was slowing and that the
housing sector was cooling.
California municipal bond market performance was driven by a decreased
supply of California issues, ratings upgrades for the State of California and
heavy retail demand in the face of a strong local economy and cooling stock
markets. In fact, during the third quarter the California municipal market was
the second best performing individual state market.
In keeping with our high quality focus, the Fund's average credit quality
for the period ended September 30, 2000 was AA+ with a majority of the portfolio
invested in AAA rated municipals and a limited allocation to lower
investment-grade and below-investment grade issues. Over the same time period,
the Fund's average maturity was relatively longer term at 10.94 years.
Looking ahead, we expect growth will continue to moderate worldwide. We
also expect inflation to creep higher in the face of continued wage pressures
and escalating energy costs. More Fed tightening is unlikely now that U.S.
growth is slowing, but the central bank will also refrain from easing to avoid
igniting inflation. A focus on quality will continue to be critical for superior
performance as credit deterioration continues.
As a result, we anticipate maintaining a high quality focus, targeting an
average credit quality of AA and limiting below-investment-grade exposure due to
narrow credit premiums. Going forward, we hope to enhance yield through
allocations to higher rated revenue bonds that have attractive risk-adjusted
yields.
11
<PAGE>
PIMCO Convertible Fund
September 30, 2000
OBJECTIVE:
Maximum total return.
PORTFOLIO:
Convertible Securities.
FUND INCEPTION DATE:
3/31/99
TOTAL NET ASSETS:
$159.7 million
PORTFOLIO MANAGER:
Sandra Durn
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
D Shares Lipper First Boston
Convertible Convertible
Sec. Fund Avg. Bond Index
--------------------------------------------------------------------------------
1 year 37.97% 30.89% 34.90%
Inception 34.79% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO First Boston
Convertible Convertible
D Bond Index
03/31/1999 10,000 10,000
04/30/1999 10,477 10,405
05/31/1999 10,663 10,309
06/30/1999 11,239 10,754
07/31/1999 11,265 10,612
08/31/1999 11,242 10,643
09/30/1999 11,347 10,671
10/31/1999 11,802 11,040
11/30/1999 12,666 11,888
12/31/1999 14,177 13,695
01/31/2000 14,466 13,489
02/29/2000 16,009 14,905
03/31/2000 16,005 14,584
04/30/2000 14,930 13,873
05/31/2000 14,462 13,129
06/30/2000 15,243 13,982
07/31/2000 14,806 13,560
08/31/2000 15,934 14,603
09/30/2000 15,655 14,396
*Past performance is no guarantee of future results. 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 The Fund may have to convert securities before it would otherwise choose
to, which may have an adverse effect on the Fund's ability to achieve its
investment objective. See page 26 for Footnotes, which include additional
details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 3%
--------------------------------------------------------------------------------
1-5 years 39%
--------------------------------------------------------------------------------
5-10 years 3%
--------------------------------------------------------------------------------
10-20 years 49%
--------------------------------------------------------------------------------
20-30 years 6%
--------------------------------------------------------------------------------
Duration: 1.5 years
--------------------------------------------------------------------------------
Sector Breakdown
--------------------------------------------------------------------------------
Convertible Bonds & Notes 69.8%
--------------------------------------------------------------------------------
Convertible Preferred Stock 22.6%
--------------------------------------------------------------------------------
Other 7.6%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 8.5%
--------------------------------------------------------------------------------
AA 6.2%
--------------------------------------------------------------------------------
A 13.8%
--------------------------------------------------------------------------------
BBB 37.9%
--------------------------------------------------------------------------------
BB 11.6%
--------------------------------------------------------------------------------
B 22.0%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class D shares
fell 2.19%, underperforming the CS First Boston Convertible Bond Index, which
fell 1.29%. The Fund also underperformed its Lipper Average, which fell 0.66%.
However, the Fund continues to outperform over the longer-term, beating both its
benchmark and its Lipper Average over the last year and since the Fund's
inception.
Over the last six months, the Federal Reserve raised rates once, in May,
continuing its efforts to prevent the economy from overheating and creating
inflationary pressures. However, since that 50 basis point increase, the Federal
Reserve has remained on hold based on evidence that economic growth is
moderating to a pace more in line with the economy's potential to produce. As a
result, yields fell across many sectors of the bond market. However, convertible
performance was mixed as the equity market performed poorly.
Below-benchmark delta (price sensitivity to changes in the underlying stock
value) helped performance as the equity markets experienced a significant
downturn. Higher credit quality helped returns as these issues significantly
outperformed speculative-grade convertibles. Overweights in financials and
utilities enhanced returns, as `old economy' issues outperformed their `new
economy' counterparts. An emphasis in telecommunications issues hurt performance
as this sector experienced a market correction due mostly to
weaker-than-expected earnings. The Fund's underweight in consumer staples also
hurt performance as this sector rebounded from a strong first quarter.
Going forward, we believe that the U.S. economy will decelerate as rising
rates and higher energy costs curb worldwide economic growth. We expect
inflation to creep higher in the face of wage pressures and rising energy costs.
We believe that further Fed tightening is unlikely now due to moderating U.S.
economic growth; however, the central bank will also refrain from easing to
avoid igniting accelerated consumer spending via the stock and housing markets.
In light of this environment, we intend to continue to keep delta below the
benchmark to protect against adverse conditions in the equity markets and take
advantage of the downside protection offered by the bond characteristics of
convertibles. We also hope to continue our focus on holding non-cyclical issues
that can withstand a slowdown in the U.S economy, such as utilities and
financials. We expect to maintain a high credit quality portfolio as rising
short-term rates and a slowing economy continue to put pressure on corporate
profits.
12
<PAGE>
PIMCO Emerging Markets Bond Fund
September 30, 2000
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:
$51.6 million
PORTFOLIO MANAGER:
Mohamed El-Erian
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
D Shares Lipper J.P. Morgan
Emerg. Mkts. Emerg. Mkts.
Debt Fund Avg. Index Plus
--------------------------------------------------------------------------------
1 year 23.82% 23.97% 28.02%
3 year 5.75% 1.98% 5.57%
Inception 5.93% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO J.P. Morgan
Emerging Markets Bond Emerging Markets
D Index Plus
07/31/1997 10,000 10,000
08/31/1997 9,879 9,960
09/30/1997 10,150 10,264
10/31/1997 8,992 9,082
11/30/1997 9,464 9,513
12/31/1997 9,703 9,841
01/31/1998 9,714 9,822
02/28/1998 9,988 10,103
03/31/1998 10,283 10,354
04/30/1998 10,306 10,379
05/31/1998 9,971 10,025
06/30/1998 9,641 9,735
07/31/1998 9,786 9,802
08/31/1998 7,056 6,985
09/30/1998 7,603 7,668
10/31/1998 7,999 8,165
11/30/1998 8,635 8,645
12/31/1998 8,529 8,429
01/31/1999 8,231 8,117
02/28/1999 8,393 8,233
03/31/1999 8,958 8,857
04/30/1999 9,703 9,462
05/31/1999 9,093 8,922
06/30/1999 9,364 9,321
07/31/1999 9,302 9,128
08/31/1999 9,283 9,115
09/30/1999 9,696 9,434
10/31/1999 10,006 9,798
11/30/1999 10,274 10,075
12/31/1999 10,754 10,620
01/31/2000 10,514 10,410
02/29/2000 11,133 11,080
03/31/2000 11,412 11,429
04/30/2000 11,193 11,211
05/31/2000 10,973 10,925
06/30/2000 11,485 11,479
07/31/2000 11,761 11,826
08/31/2000 12,169 12,243
09/30/2000 12,006 12,077
*Past performance is no guarantee of future results. 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 26 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 33%
--------------------------------------------------------------------------------
1-5 years 4%
--------------------------------------------------------------------------------
5-10 years 29%
--------------------------------------------------------------------------------
10-20 years 15%
--------------------------------------------------------------------------------
20-30 years 17%
--------------------------------------------------------------------------------
Over 30 years 2%
--------------------------------------------------------------------------------
Duration: 4.6 years
--------------------------------------------------------------------------------
Country Allocation
--------------------------------------------------------------------------------
Brazil 26.5%
--------------------------------------------------------------------------------
Mexico 20.7%
--------------------------------------------------------------------------------
Russia 6.9%
--------------------------------------------------------------------------------
Venezuela 5.5%
--------------------------------------------------------------------------------
Bulgaria 5.3%
--------------------------------------------------------------------------------
Short-Term Instruments 6.8%
--------------------------------------------------------------------------------
Other 28.3%
Quality Breakdown
--------------------------------------------------------------------------------
AAA 1.7%
--------------------------------------------------------------------------------
AA 1.2%
--------------------------------------------------------------------------------
BBB 34.3%
--------------------------------------------------------------------------------
BB 20.3%
--------------------------------------------------------------------------------
B 42.5%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class D shares
returned 5.20%, slightly underperforming the J.P. Morgan Emerging Market Bond
Index, which returned 5.67%. The Fund has slightly underperformed its Lipper
Average for the 1-year period but significantly outperformed the average for the
3-year and since inception periods.
Emerging market bonds performed favorably for the past six months as
positive fundamental changes helped drive prices higher. Emerging market bonds
benefited from strong economic and financial performance, rebalanced global
growth, positive liability management and the successful conclusions to the
Russian and Ecuadorian debt restructuring. Volatility picked up however, due to
a reduced appetite for risk, noise on the political front and fears of a global
slowdown.
Performance was aided by our underweight in Argentina, as continued
political uncertainty weighed heavily on the market. More responsible fiscal
policies and continued strong economic data supported Brazilian bonds where our
overweight aided performance. Favorable rating actions, specifically relating to
Mexico and Brazil, are expected to drive prices higher. This trend confirms the
progress these countries have made in strengthening domestic institutions and
broadening popular support for economic reforms. Venezuelan and Colombian bonds
have also benefited the rise in oil prices as they are large oil exporters.
Our overweights in Bulgaria and Peru were detriments towards performance.
Bulgarian bonds suffered as higher energy prices overshadowed continued economic
gains. Peruvian bonds continued to underperform due to political uncertainty,
as to the predecessor of President Fujimori, and temporarily suspended payments
on brady bonds renewed shareholder concerns.
Within Latin America we are maintaining our overweight position in Mexico
where the government continues to deliver strong economic reform. The political
transition from President Zedillo to Vicente Fox has remained smooth,
accompanied by reassurances that economic reform remains on track. In the
near-term, 2001 budget negotiations and the external environment warrant some
caution. We will continue to overweight Brazil, as economic activity driven by
exports, capital spending and fiscal disciplines remain strong. We will also
continue to underweight Argentina as growth prospects and political tensions
rise.
We continue to emphasize liquid markets and instruments allowing us the
opportunity to modify exposure in response to a changing market environment. We
will also continue to overweight top tier credits as it remains too early to
alter our cautious approach towards those countries where high oil prices
exacerbate deteriorating domestic conditions and unstable socio-political
environments.
13
<PAGE>
PIMCO Foreign Bond Fund
September 30, 2000
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:
$585.1 million
PORTFOLIO MANAGER:
Lee Thomas
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
D Shares Lipper Intl. J.P. Morgan
Income Fund Non-U.S.
Average Index (Hedged)
--------------------------------------------------------------------------------
1 year 7.15% -3.90% 6.95%
3 years 5.92% 1.19% 7.65%
5 years 10.13% 3.24% 9.61%
Inception 9.13% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO J.P. Morgan
Foreign Bond Non-U.S. Index
D (Hedged)
12/31/1992 10,000 10,000
01/31/1993 10,079 10,091
02/28/1993 10,297 10,274
03/31/1993 10,332 10,280
04/30/1993 10,328 10,281
05/31/1993 10,417 10,338
06/30/1993 10,660 10,549
07/31/1993 10,824 10,667
08/31/1993 11,083 10,889
09/30/1993 11,123 10,936
10/31/1993 11,284 11,082
11/30/1993 11,312 11,159
12/31/1993 11,590 11,390
01/31/1994 11,601 11,333
02/28/1994 11,290 11,078
03/31/1994 11,089 10,977
04/30/1994 10,981 10,899
05/31/1994 10,816 10,779
06/30/1994 10,613 10,669
07/31/1994 10,675 10,739
08/31/1994 10,566 10,636
09/30/1994 10,580 10,645
10/31/1994 10,617 10,687
11/30/1994 10,770 10,838
12/31/1994 10,696 10,813
01/31/1995 10,764 10,931
02/28/1995 10,831 11,072
03/31/1995 10,834 11,297
04/30/1995 11,095 11,477
05/31/1995 11,527 11,854
06/30/1995 11,453 11,814
07/31/1995 11,667 11,963
08/31/1995 11,885 12,067
09/30/1995 12,051 12,258
10/31/1995 12,248 12,395
11/30/1995 12,725 12,667
12/31/1995 12,909 12,785
01/31/1996 13,222 12,939
02/29/1996 12,936 12,787
03/31/1996 13,142 12,893
04/30/1996 13,456 13,047
05/31/1996 13,503 13,136
06/30/1996 13,651 13,245
07/31/1996 13,780 13,345
08/31/1996 14,113 13,522
09/30/1996 14,504 13,810
10/31/1996 14,858 14,038
11/30/1996 15,213 14,319
12/31/1996 15,289 14,339
01/31/1997 15,528 14,518
02/28/1997 15,607 14,611
03/31/1997 15,407 14,533
04/30/1997 15,546 14,690
05/31/1997 15,622 14,767
06/30/1997 15,931 15,018
07/31/1997 16,162 15,257
08/31/1997 16,091 15,275
09/30/1997 16,434 15,545
10/31/1997 16,237 15,645
11/30/1997 16,451 15,757
12/31/1997 16,686 15,962
01/31/1998 16,922 16,174
02/28/1998 17,072 16,318
03/31/1998 17,280 16,464
04/30/1998 17,336 16,548
05/31/1998 17,476 16,774
06/30/1998 17,560 16,847
07/31/1998 17,834 17,003
08/31/1998 17,686 17,338
09/30/1998 18,086 17,749
10/31/1998 17,706 17,722
11/30/1998 18,032 17,914
12/31/1998 18,279 17,892
01/31/1999 18,648 18,114
02/28/1999 18,460 17,993
03/31/1999 18,567 18,207
04/30/1999 18,801 18,438
05/31/1999 18,500 18,363
06/30/1999 18,268 18,078
07/31/1999 18,270 18,031
08/31/1999 18,133 18,063
09/30/1999 18,224 18,132
10/31/1999 18,300 18,176
11/30/1999 18,330 18,281
12/31/1999 18,484 18,336
01/31/2000 18,382 18,338
02/29/2000 18,586 18,473
03/31/2000 18,846 18,743
04/30/2000 18,907 18,844
05/31/2000 19,014 18,995
06/30/2000 19,151 19,086
07/31/2000 19,306 19,224
08/31/2000 19,281 19,227
09/30/2000 19,528 19,393
*Past performance is no guarantee of future results. Returns represent the
blended performance of the Fund's Class D shares and the prior performance of
the Fund's Instl shares. Class D shares were first offered in 4/8/98. Foreign
investing involves potentially higher risks including foreign currency
fluctuations and political or economic uncertainty. See page 26 for Footnotes,
which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
5-10 years 58%
--------------------------------------------------------------------------------
10-20 years 36%
--------------------------------------------------------------------------------
20-30 years 5%
--------------------------------------------------------------------------------
Over 30 years 1%
--------------------------------------------------------------------------------
Duration: 3.4 years
--------------------------------------------------------------------------------
Country Allocation
--------------------------------------------------------------------------------
United States 53.7%
--------------------------------------------------------------------------------
Italy 6.5%
--------------------------------------------------------------------------------
Germany 4.9%
--------------------------------------------------------------------------------
Short-Term Instruments 7.0%
--------------------------------------------------------------------------------
Other 27.9%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 63.9%
--------------------------------------------------------------------------------
AA 13.8%
--------------------------------------------------------------------------------
A 8.6%
--------------------------------------------------------------------------------
BBB 10.1%
--------------------------------------------------------------------------------
BB 2.8%
--------------------------------------------------------------------------------
B 0.8%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class D shares
returned 3.60%, outperforming the J.P. Morgan Non-U.S. (Hedged), Index which
returned 3.47%. The Fund has outperformed its Lipper Average over the
year-to-date, 1-year, 3-year and since inception periods.
Japanese bonds continue to underperform as the first rate increase in 10
years drove bond prices lower. Continued fiscal stimulus has brought concern
about an increase in bond supply and although intended to boost economic growth,
it has caused Moody's to downgrade government debt to Aa2.
Emerging market bonds added to performance amid positive investor response
to sound policy improvements and increased IMF and World Bank support. In
particular, more responsible fiscal policies and continued strong economic data
supported Brazilian bonds where our overweight aided performance. As well as
favorable rating actions, specifically relating to Mexico and Brazil, are
expected to drive prices higher.
European bonds underperformed U.S. Treasuries. Higher oil prices and the weak
Euro, which fell to new record lows versus the U.S. dollar, contributed to a
slight rise in inflation. To combat the Euro weakness, which jeopardizes global
stability, the central banks of leading nations coordinated Euro purchases in
order to support the currency. The Danish "no" vote, ending prospects for
Denmark entering the European Monetary Union (EMU), further added to Euro
pressures, as investors believed other strong European economies would also
avoid entering EMU.
Going forward, we are looking to maintain our underweight in Japan due to
high debt levels and prospects for increased bond issuance to pay for fiscal
stimulus. Both Canadian and Australian positions are underweight due to
unattractive yields and risks that weak currencies will increase inflationary
prospects. We are maintaining out limited position in emerging markets,
primarily looking for highly liquid, top-quality issues amid increased
volatility.
Within core Europe we are overweight areas such as Austria, Italy and Spain
to capitalize on favorable yields relative to Germany. We are emphasizing longer
maturities as the sale of mobile phone licenses and better fiscal balances will
lead to reduced long-term bond issuance.
Our hedging strategy, which limits our currency exposure, was a positive
contributor due to continued strength in the dollar. We will continue to hedge
the majority of our currency exposure because of both the short-term volatility
and unpredictability of foreign currencies.
14
<PAGE>
PIMCO High Yield Fund
September 30, 2000
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:
$3.1 billion
PORTFOLIO MANAGER:
Ben Trosky
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
D Shares Lipper High Lehman Int.
Current Yield BB Corp.
Fund Avg. Index
--------------------------------------------------------------------------------
1 year 2.76% -0.02% 5.31%
3 years 3.91% 0.49% 4.58%
5 years 7.55% 5.49% 7.19%
Inception 9.34% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO Lehman Intermediate
High Yield BB Corporate
D Index
12/31/1992 10,000 10,000
01/31/1993 10,224 10,211
02/28/1993 10,409 10,361
03/31/1993 10,616 10,478
04/30/1993 10,726 10,566
05/31/1993 10,801 10,644
06/30/1993 11,091 10,870
07/31/1993 11,167 10,980
08/31/1993 11,288 11,107
09/30/1993 11,341 11,188
10/31/1993 11,642 11,338
11/30/1993 11,728 11,368
12/31/1993 11,825 11,465
01/31/1994 12,074 11,657
02/28/1994 12,068 11,644
03/31/1994 11,703 11,288
04/30/1994 11,598 11,221
05/31/1994 11,679 11,231
06/30/1994 11,692 11,265
07/31/1994 11,798 11,402
08/31/1994 11,894 11,523
09/30/1994 11,972 11,544
10/31/1994 11,975 11,571
11/30/1994 11,923 11,492
12/31/1994 12,063 11,563
01/31/1995 12,177 11,749
02/28/1995 12,507 12,106
03/31/1995 12,686 12,220
04/30/1995 12,959 12,465
05/31/1995 13,331 12,831
06/30/1995 13,436 12,944
07/31/1995 13,612 13,062
08/31/1995 13,713 13,138
09/30/1995 13,901 13,280
10/31/1995 14,100 13,384
11/30/1995 14,267 13,553
12/31/1995 14,504 13,767
01/31/1996 14,735 13,990
02/29/1996 14,747 13,940
03/31/1996 14,626 13,867
04/30/1996 14,686 13,862
05/31/1996 14,731 13,881
06/30/1996 14,787 14,031
07/31/1996 14,914 14,107
08/31/1996 15,153 14,221
09/30/1996 15,502 14,527
10/31/1996 15,652 14,729
11/30/1996 15,987 15,026
12/31/1996 16,142 15,059
01/31/1997 16,303 15,203
02/28/1997 16,550 15,386
03/31/1997 16,328 15,203
04/30/1997 16,498 15,392
05/31/1997 16,869 15,655
06/30/1997 17,113 15,857
07/31/1997 17,550 16,330
08/31/1997 17,539 16,174
09/30/1997 17,830 16,428
10/31/1997 17,843 16,484
11/30/1997 18,009 16,600
12/31/1997 18,209 16,752
01/31/1998 18,516 16,953
02/28/1998 18,611 17,031
03/31/1998 18,752 17,140
04/30/1998 18,795 17,228
05/31/1998 18,888 17,340
06/30/1998 19,022 17,446
07/31/1998 19,218 17,536
08/31/1998 18,441 17,052
09/30/1998 18,670 17,414
10/31/1998 18,479 17,191
11/30/1998 19,254 17,603
12/31/1998 19,331 17,714
01/31/1999 19,582 17,897
02/28/1999 19,416 17,764
03/31/1999 19,571 17,892
04/30/1999 19,892 18,075
05/31/1999 19,506 17,856
06/30/1999 19,496 17,815
07/31/1999 19,543 17,883
08/31/1999 19,461 17,770
09/30/1999 19,467 17,843
10/31/1999 19,438 17,782
11/30/1999 19,700 17,933
12/31/1999 19,796 18,104
01/31/2000 19,701 17,975
02/29/2000 19,743 18,009
03/31/2000 19,342 17,838
04/30/2000 19,379 17,899
05/31/2000 19,276 17,906
06/30/2000 19,638 18,293
07/31/2000 19,788 18,597
08/31/2000 20,069 18,883
09/30/2000 20,003 18,790
*Past performance is no guarantee of future results. Returns represent the
blended performance of the Fund's Class D shares and the prior performance of
the Fund's Instl shares. Class D shares were first offered in 4/8/98. The
investments made by the High Yield Fund may involve high risk and may have
speculative characteristics. See page 26 for Footnotes, which include additional
details.
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 16%
--------------------------------------------------------------------------------
1-5 years 25%
--------------------------------------------------------------------------------
5-10 years 55%
--------------------------------------------------------------------------------
10-20 years 3%
--------------------------------------------------------------------------------
20-30 years 1%
--------------------------------------------------------------------------------
Duration: 3.7 years
--------------------------------------------------------------------------------
Sector Breakdown
--------------------------------------------------------------------------------
Corporate Bonds & Notes 76.3%
--------------------------------------------------------------------------------
Short-Term Instruments 9.4%
--------------------------------------------------------------------------------
Asset-Backed Securities 6.3%
--------------------------------------------------------------------------------
Other 8.0%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 3.2%
--------------------------------------------------------------------------------
AA 2.2%
--------------------------------------------------------------------------------
A 0.6%
--------------------------------------------------------------------------------
BBB 19.2%
--------------------------------------------------------------------------------
BB 39.8%
--------------------------------------------------------------------------------
B 35.0%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class D shares
rose 3.41%, outperforming the Lipper High Current Yield Average, which fell
1.14%. However, the Fund did underperform its benchmark, the Lehman Intermediate
BB Corporate Index, which rose 5.33%. Over the long-term, the Fund continues to
outperform both the Lipper Average and its Lehman benchmark for the five-year
and since inception periods ended September 30, 2000.
Over the last six months the Federal Reserve raised interest rates once, in
May, in order to continue its ongoing efforts to prevent the economy from
overheating and creating inflationary pressures. Since that 50 basis point
increase, the Federal Reserve has remained on hold, based on evidence that
economic growth is moderating to a pace more in line with the economy's
potential to produce. As a result, intermediate maturity interest rates fell.
However, high yield issues lagged higher-quality bonds as lingering concerns
about defaults, profits and fund redemptions put selling pressure on the market.
Defensive strategies and a focus on the energy services sector enhanced
performance. The Fund's strategy of avoiding cyclical issues, such as autos and
steel, added to relative performance as these sectors suffered under slowing
consumer spending and accumulating inventory. However, the Fund's limited
exposure to B-rated issues detracted from performance as these credits
significantly underperformed BB-rated issues.
Going forward, we believe that economic growth will moderate worldwide. We
expect inflation to creep higher in the face of wage pressures and rising energy
costs. More Fed tightening is unlikely now that U.S. economic growth is
moderating; however, the central bank will also refrain from easing to avoid
igniting accelerated consumer spending via the stock and housing markets. As
U.S. growth slows, lower profits cut into the ability of corporate America to
service its debt. This causes credit conditions to deteriorate, and spreads to
widen, driving down prices. In light of this environment, we believe that
maintaining a defensive posture will be instrumental in preserving capital while
providing superior relative performance.
While the high yield market has already incorporated a lot of bad news, we
feel it is too early to become bullish due to significant near-term risks. We
expect to maintain average quality higher than the benchmark. We intend to
continue to hold defensive positions, such as publishing and utilities, and we
hope to be overweight in areas we believe to have improving fundamentals, such
as the chemical sector. We intend to use senior-secured, syndicated bank loans
selectively to add income while preserving principal.
15
<PAGE>
PIMCO Low Duration Fund
September 30, 2000
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Primarily shorter-term, investment grade bonds.
DURATION RANGE:
1-3 years
FUND INCEPTION DATE:
5/11/87
TOTAL NET ASSETS:
$4.2 billion
PORTFOLIO MANAGER:
Bill Gross
PERFORMANCE*
Average Annual Total Return For periods ended 9/30/00
D Shares Lipper Shrt. Inv. Merrill Lynch
Grade Debt Fund 1-3 yr. Treas.
Average Index
--------------------------------------------------------------------------------
1 year 6.21% 5.73% 5.79%
5 years 6.29% 5.42% 5.89%
10 years 7.06% 6.29% 6.48%
Inception 7.44% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO Merrill Lynch
Low Duration 1-3 yr. Treasury
D Index
05/31/1987 10,000 10,000
06/30/1987 10,091 10,109
07/31/1987 10,125 10,158
08/31/1987 10,121 10,167
09/30/1987 10,094 10,127
10/31/1987 10,254 10,351
11/30/1987 10,367 10,414
12/31/1987 10,425 10,480
01/31/1988 10,595 10,648
02/29/1988 10,669 10,735
03/31/1988 10,733 10,756
04/30/1988 10,775 10,772
05/31/1988 10,797 10,756
06/30/1988 10,895 10,868
07/31/1988 10,950 10,876
08/31/1988 10,991 10,899
09/30/1988 11,090 11,026
10/31/1988 11,190 11,136
11/30/1988 11,201 11,106
12/31/1988 11,248 11,132
01/31/1989 11,339 11,219
02/28/1989 11,354 11,219
03/31/1989 11,395 11,270
04/30/1989 11,527 11,443
05/31/1989 11,761 11,614
06/30/1989 12,015 11,831
07/31/1989 12,188 12,006
08/31/1989 12,128 11,932
09/30/1989 12,187 12,003
10/31/1989 12,345 12,184
11/30/1989 12,454 12,299
12/31/1989 12,513 12,348
01/31/1990 12,502 12,358
02/28/1990 12,585 12,416
03/31/1990 12,649 12,457
04/30/1990 12,637 12,482
05/31/1990 12,847 12,673
06/30/1990 12,982 12,806
07/31/1990 13,121 12,966
08/31/1990 13,143 13,005
09/30/1990 13,212 13,111
10/31/1990 13,304 13,255
11/30/1990 13,460 13,386
12/31/1990 13,601 13,548
01/31/1991 13,724 13,672
02/28/1991 13,829 13,754
03/31/1991 13,943 13,846
04/30/1991 14,109 13,977
05/31/1991 14,216 14,062
06/30/1991 14,302 14,119
07/31/1991 14,457 14,242
08/31/1991 14,661 14,437
09/30/1991 14,848 14,593
10/31/1991 14,973 14,750
11/30/1991 15,132 14,903
12/31/1991 15,383 15,131
01/31/1992 15,392 15,107
02/29/1992 15,465 15,160
03/31/1992 15,469 15,154
04/30/1992 15,574 15,293
05/31/1992 15,729 15,432
06/30/1992 15,872 15,590
07/31/1992 16,078 15,765
08/31/1992 16,181 15,903
09/30/1992 16,338 16,055
10/31/1992 16,340 15,959
11/30/1992 16,345 15,933
12/31/1992 16,511 16,084
01/31/1993 16,663 16,251
02/28/1993 16,856 16,390
03/31/1993 16,947 16,439
04/30/1993 17,024 16,541
05/31/1993 17,039 16,495
06/30/1993 17,204 16,616
07/31/1993 17,259 16,655
08/31/1993 17,423 16,800
09/30/1993 17,486 16,855
10/31/1993 17,603 16,888
11/30/1993 17,616 16,892
12/31/1993 17,735 16,954
01/31/1994 17,828 17,063
02/28/1994 17,747 16,954
03/31/1994 17,666 16,870
04/30/1994 17,604 16,810
05/31/1994 17,581 16,834
06/30/1994 17,613 16,884
07/31/1994 17,773 17,029
08/31/1994 17,844 17,089
09/30/1994 17,814 17,050
10/31/1994 17,808 17,088
11/30/1994 17,808 17,012
12/31/1994 17,794 17,050
01/31/1995 17,954 17,288
02/28/1995 18,177 17,525
03/31/1995 18,246 17,623
04/30/1995 18,470 17,780
05/31/1995 18,801 18,091
06/30/1995 18,893 18,188
07/31/1995 18,895 18,263
08/31/1995 19,095 18,372
09/30/1995 19,261 18,461
10/31/1995 19,402 18,617
11/30/1995 19,623 18,782
12/31/1995 19,851 18,926
01/31/1996 19,992 19,087
02/29/1996 19,858 19,006
03/31/1996 19,844 18,989
04/30/1996 19,848 19,005
05/31/1996 19,862 19,044
06/30/1996 20,058 19,181
07/31/1996 20,121 19,256
08/31/1996 20,215 19,323
09/30/1996 20,496 19,498
10/31/1996 20,787 19,717
11/30/1996 21,064 19,868
12/31/1996 21,003 19,868
01/31/1997 21,173 19,962
02/28/1997 21,253 20,007
03/31/1997 21,162 20,000
04/30/1997 21,414 20,163
05/31/1997 21,589 20,301
06/30/1997 21,753 20,440
07/31/1997 22,099 20,665
08/31/1997 22,081 20,684
09/30/1997 22,271 20,841
10/31/1997 22,432 20,996
11/30/1997 22,492 21,047
12/31/1997 22,661 21,191
01/31/1998 22,829 21,396
02/28/1998 22,902 21,415
03/31/1998 22,996 21,502
04/30/1998 23,113 21,603
05/31/1998 23,256 21,718
06/30/1998 23,307 21,831
07/31/1998 23,412 21,933
08/31/1998 23,499 22,209
09/30/1998 23,971 22,503
10/31/1998 23,930 22,613
11/30/1998 24,064 22,594
12/31/1998 24,206 22,673
01/31/1999 24,308 22,763
02/28/1999 24,174 22,652
03/31/1999 24,375 22,810
04/30/1999 24,497 22,883
05/31/1999 24,414 22,868
06/30/1999 24,421 22,940
07/31/1999 24,419 23,012
08/31/1999 24,431 23,079
09/30/1999 24,609 23,229
10/31/1999 24,705 23,291
11/30/1999 24,806 23,335
12/31/1999 24,849 23,368
01/31/2000 24,814 23,359
02/29/2000 24,987 23,515
03/31/2000 25,165 23,661
04/30/2000 25,215 23,722
05/31/2000 25,286 23,820
06/30/2000 25,584 24,067
07/31/2000 25,733 24,219
08/31/2000 26,013 24,398
09/30/2000 26,138 24,573
*Past performance is no guarantee of future results. Returns represent the
blended performance of the Fund's Class D shares and the prior performance of
the Fund's Instl shares. Class D shares were first offered in 4/8/98. The fund
may invest in foreign securities, which may entail greater risk due to foreign
economic and political developments. See page 26 for Footnotes, which include
additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 29%
--------------------------------------------------------------------------------
1-5 years 58%
--------------------------------------------------------------------------------
5-10 years 13%
--------------------------------------------------------------------------------
Duration: 1.9 years
--------------------------------------------------------------------------------
Sector Breakdown
--------------------------------------------------------------------------------
Corporate Bonds & Notes 47.4%
--------------------------------------------------------------------------------
Mortgage-Backed Securities 33.2%
--------------------------------------------------------------------------------
U.S. Treasury Obligations 7.7%
--------------------------------------------------------------------------------
Other 11.7%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 40.8%
--------------------------------------------------------------------------------
AA 8.0%
--------------------------------------------------------------------------------
A 25.8%
--------------------------------------------------------------------------------
BBB 20.7%
--------------------------------------------------------------------------------
BB 4.2%
--------------------------------------------------------------------------------
B 0.5%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class D shares
returned 3.87%, slightly outperforming the Merrill Lynch 1-3 Year Treasury
Index, which returned 3.85%. The Fund also outperformed its Lipper Average,
which returned 3.71%. Over the longer-term, the Fund continues to outperform
both its Lipper Average and its benchmark over the five-, ten-year and since
inception periods ended September 30, 2000.
Over the past year six months, the Federal Reserve discontinued its
tightening policy by mid-summer as evidence surfaced that the U.S. economy was
slowing. Intermediate rates fell, causing the long end of the yield curve to
revert to a positive slope, amid optimism that rate fears are over. Oil prices
continue to rise to their highest levels in a decade raising fears about
accelerating inflation, but the Fed remained on hold due to continued signs of
slowing growth. Higher yielding mortgages, investment-grade corporates and
emerging market bonds outperformed Treasuries.
The Fund's position in high grade corporate debt enhanced performance over
the past six months as economic growth and corporate issuance continued to slow.
In addition, our allocation to mortgage-backed securities, especially AAA/AA
issues, benefited from Treasury scarcity and strong demand for high quality
short-term holdings. Selective emerging market investments contributed to
performance as fundamentals in a broad set of countries continued to improve.
The portfolio's above-index average duration (sensitivity to changes in
interest rates) over the past six months slightly helped returns as interest
rate fears subsided. A small weight in below-investment-grade securities and the
euro hurt performance due to cash outflows amid concerns about deteriorating
credit quality and a preference for dollars over euros as evidence of a global
slowdown made investors cautious.
We believe the economy will continue to slow moderately, but the central
bank will also refrain from easing to avoid igniting inflation in the stock and
housing markets. Growth should moderate worldwide due to recent monetary
tightening and higher oil prices. Inflation should creep slightly higher in the
face of wage pressures and escalating energy costs. An over-leveraged private
sector combined with public budget surpluses should continue to cause lower
quality corporate bonds to deteriorate.
Strategically, we expect to keep the duration of the Fund in line with the
benchmark due to the unlikely event of intermediate rates falling further. In
addition, we anticipate maintaining a broad maturity structure, with exposure to
both shorter- and longer-term instruments, in order to capture value across the
yield curve. Mortgage-backed securities will continue to be favored over
investment-grade corporate credits because of their higher quality and
attractive yields.
16
<PAGE>
PIMCO Municipal Bond Fund
September 30, 2000
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:
$56.2 million
PORTFOLIO MANAGER:
Mark McCray
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
D Shares
Lipper Gen. Muni. Lehman Bros. Gen.
Debt. Fund Avg. Muni. Bond Index
--------------------------------------------------------------------------------
1 year 5.40% 4.74% 6.18%
Inception 2.92% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO Lehman Brothers
Municipal Bond General Municipal
D Bond Index
12/31/1997 10,000 10,000
01/31/1998 10,115 10,103
02/28/1998 10,065 10,106
03/31/1998 10,070 10,115
04/30/1998 10,001 10,070
05/31/1998 10,196 10,229
06/30/1998 10,228 10,269
07/31/1998 10,236 10,294
08/31/1998 10,423 10,454
09/30/1998 10,560 10,585
10/31/1998 10,535 10,585
11/30/1998 10,560 10,622
12/31/1998 10,569 10,648
01/31/1999 10,706 10,775
02/28/1999 10,635 10,727
03/31/1999 10,641 10,742
04/30/1999 10,659 10,769
05/31/1999 10,578 10,707
06/30/1999 10,381 10,553
07/31/1999 10,399 10,591
08/31/1999 10,287 10,506
09/30/1999 10,270 10,510
10/31/1999 10,136 10,397
11/30/1999 10,238 10,507
12/31/1999 10,139 10,428
01/31/2000 10,078 10,383
02/29/2000 10,182 10,504
03/31/2000 10,411 10,734
04/30/2000 10,358 10,670
05/31/2000 10,309 10,615
06/30/2000 10,541 10,896
07/31/2000 10,668 11,048
08/31/2000 10,834 11,218
09/30/2000 10,824 11,159
*Past performance is no guarantee of future results. Returns represent the
blended performance of the Fund's Class D shares and the prior performance of
the Fund's Instl shares. Class D shares were first offered in 4/8/98. Income
from the Fund may be subject to state and local taxes and (if applicable) the
Alternative Minimum Tax. See page 26 for Footnotes, which include additional
details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 3%
--------------------------------------------------------------------------------
1-5 years 24%
--------------------------------------------------------------------------------
5-10 years 31%
--------------------------------------------------------------------------------
10-20 years 27%
--------------------------------------------------------------------------------
20-30 years 15%
--------------------------------------------------------------------------------
Duration: 7.3 years
--------------------------------------------------------------------------------
Regional Breakdown
--------------------------------------------------------------------------------
California 15.9%
--------------------------------------------------------------------------------
New Jersey 10.2%
--------------------------------------------------------------------------------
New York 9.8%
--------------------------------------------------------------------------------
Texas 7.1%
--------------------------------------------------------------------------------
Colorado 7.0%
--------------------------------------------------------------------------------
Utah 6.8%
--------------------------------------------------------------------------------
Massachusetts 6.8%
--------------------------------------------------------------------------------
Arizona 6.4%
--------------------------------------------------------------------------------
Other States 30.0%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 38.8%
--------------------------------------------------------------------------------
AA 16.7%
--------------------------------------------------------------------------------
A 18.9%
--------------------------------------------------------------------------------
BBB 15.8%
--------------------------------------------------------------------------------
BB 9.8%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class D shares
returned 3.97%, outperforming the Lipper Average, which returned 3.39%. Over the
same time period, the Fund matched the performance of its benchmark, the Lehman
General Municipal Index. Looking longer term, the Fund outperformed its Lipper
Average over the one-year and since inception periods ended September 30, 2000.
The Federal Reserve lifted short-term interest rates by 50 basis points at
their May meeting, bringing its total tightening tally for this cycle to six, as
concern remained that inflationary pressures were building. Supporting the
concern, oil prices surged to their highest level in a decade. But the
cumulative impact of 175 basis points of tightening began to slow the economy,
as signs emerged that consumer and investment spending was slowing and that the
housing sector was cooling.
Municipal bonds, supported by strong surpluses at the state and local
level, rallied along with other higher quality sectors of the bond market, such
as Treasuries and mortgage-backed securities. In fact, on a tax-adjusted basis
municipal bonds actually modestly outperformed broad investment-grade taxable
debt sectors during the third quarter.
Our overweight position in intermediate-maturity municipal bonds boosted
returns as these yields fell the most during the period. Holdings of bonds
priced at a discount by the market also improved returns as these issues had
superior price performance as the overall municipal market rallied. In
particular, the Fund's allocations to specific issues within the hospital and
housing sectors enhanced performance. However, our conservative below-benchmark
duration exposure during the third quarter held back relative performance.
Looking ahead, we expect growth will continue to moderate worldwide. We
also expect inflation to creep higher in the face of continued wage pressures
and escalating energy costs. More Fed tightening is unlikely now that U.S.
growth is slowing, but the central bank will also refrain from easing to avoid
igniting inflation. A focus on quality will continue to be critical for superior
performance as credit deterioration continues.
As a result, we anticipate continuing our high quality focus, targeting an
average credit quality of AA. We expect to maintain an overweight position in
intermediate maturities because they currently offer yields close to those of
longer maturities with less interest rate risk. Duration may be moved closer to
the benchmark as we expect municipal yields to remain relatively stable in the
near term.
17
<PAGE>
PIMCO NY Municipal Bond Fund
September 30, 2000
OBJECTIVE:
Seek 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 RANGE:
3-12 years
FUND INCEPTION DATE:
8/31/99
TOTAL NET ASSETS:
$3.2 million
PORTFOLIO MANAGER:
Mark McCray
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
D Shares Lipper New York Lehman Bros. Lehman Bros.
Interm. Muni N.Y. Insured Interm. N.Y.
Debt Fund Muni. Bond Insured Muni.
Average Index Bond Index
--------------------------------------------------------------------------------
1 year 6.17% 5.22% 6.79% 5.79%
Inception 6.04% -- -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
Lehman Brothers
PIMCO Intermediate Lehman Brothers
NY Municipal NY Insured NY Insured
Bond Municipal Municipal
D Bond Index Bond Index
08/31/1999 10,000 10,000 10,000
09/30/1999 10,036 10,031 9,987
10/31/1999 9,954 9,983 9,848
11/30/1999 10,041 10,062 9,986
12/31/1999 10,001 10,019 9,883
01/31/2000 9,951 9,983 9,826
02/29/2000 10,013 10,037 9,973
03/31/2000 10,171 10,183 10,227
04/30/2000 10,110 10,146 10,128
05/31/2000 10,073 10,116 10,080
06/30/2000 10,315 10,363 10,407
07/31/2000 10,430 10,499 10,545
08/31/2000 10,641 10,652 10,731
09/30/2000 10,656 10,612 10,665
*Past performance is no guarantee of future results. Returns represent the
blended performance of the Fund's Class D shares and the prior performance of
the Fund's Instl shares. Class D shares were first offered in 1/31/00. Income
from the Fund may be subject to state and local taxes and (if applicable) the
Alternative Minimum Tax. We will no longer compare the Fund to the Lehman
Brothers Intermediate New York Insured Municipal Bond Index since the Lehman
Brothers Intermediate New York Insured Municipal Bond Index is not a comparable
New York Municipal index. See page 26 for Footnotes, which include additional
details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 25%
--------------------------------------------------------------------------------
1-5 years 10%
--------------------------------------------------------------------------------
5-10 years 49%
--------------------------------------------------------------------------------
10-20 years 13%
--------------------------------------------------------------------------------
20-30 years 3%
--------------------------------------------------------------------------------
Duration: 4.5 years
--------------------------------------------------------------------------------
Regional Breakdown
--------------------------------------------------------------------------------
New York 98.6%
--------------------------------------------------------------------------------
Other 1.4%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 70.5%
--------------------------------------------------------------------------------
AA 14.0%
--------------------------------------------------------------------------------
A 10.8%
--------------------------------------------------------------------------------
BBB 4.7%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class D shares
returned 4.78%, outperforming the Lipper Average, which returned 3.58%. Over the
same time period, the Fund slightly outperformed its benchmark, the Lehman New
York Insured Municipal Index, which returned 4.29%. Looking longer term, the
Fund outperformed the Lipper Average over the one-year and since inception
periods ended September 30, 2000.
The Federal Reserve lifted short-term interest rates by 50 basis points at
their May meeting, bringing its total tightening tally for this cycle to six, as
concern remained that inflationary pressures were building. Supporting this
concern, oil prices surged to their highest level in a decade. But the
cumulative impact of 175 basis points of tightening began to slow the economy,
as signs emerged that consumer and investment spending was slowing and that the
housing sector was cooling.
New York municipal bonds rallied along with those in other higher quality
areas of the bond market as strong retail demand and reduced new issuance
propelled yields lower.
Our overweight position in intermediate-maturity New York issues boosted
returns as yields in this area of the curve decreased the most due to strong
retail demand. Portfolio yield was also enhanced through the use of non-insured,
higher quality revenue and local general obligation bonds. The Fund's duration
generally was kept below that of the benchmark, which detracted from relative
returns as long-maturity municipal yields also fell over the past six months.
Looking ahead, we expect growth will continue to moderate worldwide. We
also expect inflation to creep higher in the face of continued wage pressures
and escalating energy costs. More Fed tightening is unlikely now that U.S.
growth is slowing, but the central bank will also refrain from easing to avoid
igniting inflation. A focus on quality will continue to be critical for superior
performance as credit deterioration continues.
As a result, we anticipate continuing our high quality focus, targeting an
average credit quality of AAA and limiting below-investment-grade exposure to a
very small allocation where we see value. We expect to maintain an overweight
position in intermediate maturities, which offer compelling value today and
retail demand in this area should be strong. Duration may be moved closer to the
benchmark as we expect municipal yields to remain relatively stable in the near
term.
18
<PAGE>
PIMCO Real Return Bond Fund
September 30, 2000
OBJECTIVE:
Maximum real return, consistent with preservation of real capital and prudent
investment management.
PORTFOLIO:
Primarily inflation-indexed bonds.
FUND INCEPTION DATE:
1/29/97
TOTAL NET ASSETS:
$537.9 million
PORTFOLIO MANAGER:
John Brynjolfsson
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
D Shares Lipper Short Lehman Bros.
U.S. Govt. Inflation Linked
Fund Avg. Treas. Index
--------------------------------------------------------------------------------
1 year 9.60% 5.68% 9.05%
3 years 6.85% 4.88% 5.49%
Inception 6.28% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO Lehman Brothers
Real Return Bond Inflation Linked
D Treasury Index
01/31/1997 10,000 10,000
02/28/1997 10,031 10,033
03/31/1997 9,938 9,896
04/30/1997 9,996 9,956
05/31/1997 10,053 10,010
06/30/1997 10,028 9,978
07/31/1997 10,149 10,072
08/31/1997 10,167 10,103
09/30/1997 10,183 10,123
10/31/1997 10,308 10,227
11/30/1997 10,359 10,284
12/31/1997 10,302 10,241
01/31/1998 10,359 10,291
02/28/1998 10,344 10,282
03/31/1998 10,364 10,277
04/30/1998 10,417 10,315
05/31/1998 10,456 10,388
06/30/1998 10,489 10,414
07/31/1998 10,566 10,463
08/31/1998 10,570 10,486
09/30/1998 10,812 10,697
10/31/1998 10,865 10,721
11/30/1998 10,846 10,710
12/31/1998 10,796 10,646
01/31/1999 10,951 10,769
02/28/1999 10,923 10,693
03/31/1999 10,985 10,689
04/30/1999 11,163 10,760
05/31/1999 11,240 10,834
06/30/1999 11,223 10,841
07/31/1999 11,239 10,835
08/31/1999 11,293 10,854
09/30/1999 11,337 10,896
10/31/1999 11,355 10,918
11/30/1999 11,439 10,984
12/31/1999 11,369 10,896
01/31/2000 11,434 10,945
02/29/2000 11,514 11,047
03/31/2000 11,857 11,369
04/30/2000 12,004 11,520
05/31/2000 11,967 11,490
06/30/2000 12,123 11,635
07/31/2000 12,215 11,734
08/31/2000 12,327 11,821
09/30/2000 12,425 11,883
*Past performance is no guarantee of future results. Returns represent the
blended performance of the Fund's Class D shares and the prior performance of
the Fund's Instl shares. Class D shares were first offered in 4/8/98. The Fund
may invest in foreign securities which involve potentially higher risks
including foreign currency fluctuations and political or economic uncertainty.
See page 26 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
5-10 years 73%
--------------------------------------------------------------------------------
10-20 years 5%
--------------------------------------------------------------------------------
20-30 years 22%
--------------------------------------------------------------------------------
Duration: 2.0 years
--------------------------------------------------------------------------------
Sector Breakdown
--------------------------------------------------------------------------------
U.S. Treasury Obligations 62.4%
--------------------------------------------------------------------------------
Corporate Bonds & Notes 24.3%
--------------------------------------------------------------------------------
Short-Term Instruments 6.7%
--------------------------------------------------------------------------------
Other 6.6%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 68.5%
--------------------------------------------------------------------------------
AA 5.3%
--------------------------------------------------------------------------------
A 12.2%
--------------------------------------------------------------------------------
BBB 10.9%
--------------------------------------------------------------------------------
BB 2.6%
--------------------------------------------------------------------------------
B 0.5%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class D shares
returned 4.79%, outperforming the Lipper Average, which returned 3.63%, and the
benchmark, the Lehman Inflation-Linked Index, which returned 4.52%. Looking
longer term, the Fund outperformed both the Lipper Average and the benchmark
over the one-, three-year and since inception periods ended September 30, 2000.
The Federal Reserve lifted short-term interest rates by 50 basis points at
their May meeting, bringing its total tightening tally for this cycle to six, as
concern remained that inflationary pressures were building. Supporting the
concern, oil prices surged to their highest level in a decade. But the
cumulative impact of 175 basis points of tightening began to slow the economy,
as signs emerged that consumer and investment spending was slowing and that the
housing sector was cooling. In this environment, Treasury Inflation Protected
Securities performed well as investors looked for a hedge against higher prices.
The Fund's continued concentration in Treasury Inflation Protection
Securities (TIPS) boosted returns over the past six months as these securities
outperformed other bonds due to mounting inflation fears. A modest above
benchmark duration improved results as real yield fell across short and
intermediate maturities. An overweighting in intermediate real return bonds
enhanced returns as these yields dropped while long-term real yields rose.
Looking ahead, we expect growth will continue to moderate worldwide. We
also expect inflation to creep higher in the face of continued wage pressures
and escalating energy costs. More Fed tightening is unlikely now that U.S.
growth is slowing, but the central bank will also refrain from easing to avoid
igniting inflation. As a result, real return bonds continue to remain
attractive, as they will benefit from slower growth and higher inflation
adjustments.
We anticipate continuing to emphasize TIPS as their real yield ranks highly
among entire fixed income market. The effective duration of the Fund will be
targeted modestly above the benchmark, and intermediate maturities may be
slightly overweighted to take advantage of higher real yields and inflation
adjustments.
19
<PAGE>
PIMCO Short Duration Municipal Income Fund
September 30, 2000
OBJECTIVE:
Seek high current income exempt from federal income tax consistent with
preservation of capital.
PORTFOLIO:
Short-term municipal securities.
DURATION RANGE:
0-2 year
FUND INCEPTION DATE:
8/31/99
TOTAL NET ASSETS:
$13.2 million
PORTFOLIO MANAGER:
Mark McCray
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
D Shares Lipper Short Muni. Lehman Bros. 1-Year
Bond Index Muni. Bond Index
--------------------------------------------------------------------------------
1 year 4.16% 3.81% 4.31%
Inception 4.10% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO Lehman Brothers
Short Duration 1-Year Municipal
Municipal Income Index
D
08/31/1999 10,000 10,000
09/30/1999 10,027 10,024
10/31/1999 10,047 10,046
11/30/1999 10,076 10,077
12/31/1999 10,099 10,085
01/31/2000 10,137 10,124
02/29/2000 10,152 10,154
03/31/2000 10,195 10,198
04/30/2000 10,207 10,222
05/31/2000 10,222 10,238
06/30/2000 10,288 10,322
07/31/2000 10,339 10,380
08/31/2000 10,396 10,433
09/30/2000 10,445 10,456
*Past performance is no guarantee of future results. Returns represent the
blended performance of the Fund's Class D shares and the prior performance of
the Fund's Instl shares. Class D shares were first offered in 1/31/00. Income
from the Fund is subject to state and local taxes & may at times be subject to
the alternative minimum tax. See page 26 for Footnotes, which include additional
details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 44%
--------------------------------------------------------------------------------
5-10 years 56%
--------------------------------------------------------------------------------
Duration: 1.3 years
--------------------------------------------------------------------------------
Regional Breakdown:
--------------------------------------------------------------------------------
Florida 13.2%
--------------------------------------------------------------------------------
Texas 11.6%
--------------------------------------------------------------------------------
Hawaii 9.4%
--------------------------------------------------------------------------------
Georgia 7.7%
--------------------------------------------------------------------------------
Missouri 6.3%
--------------------------------------------------------------------------------
Kansas 5.5%
--------------------------------------------------------------------------------
Colorado 5.4%
--------------------------------------------------------------------------------
Other States 40.9%
--------------------------------------------------------------------------------
Quality Breakdown:
--------------------------------------------------------------------------------
AAA 55.8%
--------------------------------------------------------------------------------
AA 19.3%
--------------------------------------------------------------------------------
A 11.7%
--------------------------------------------------------------------------------
BBB 13.1%
--------------------------------------------------------------------------------
Others 0.1%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class D shares
returned 2.44%, matching the Lipper Average, which returned 2.44%. Over the same
time period, the Fund also slightly underperformed its benchmark, the Lehman 1
Year Municipal Index. However, since inception the Fund has outperformed both
the Lipper Average and its benchmark.
The Federal Reserve lifted short-term interest rates by 50 basis points at
their May meeting, bringing its total tightening tally for this cycle to six, as
concern remained that inflationary pressures were building. Supporting the
concern, oil prices surged to their highest level in a decade. But the
cumulative impact of 175 basis points of tightening began to slow the economy,
as signs emerged that consumer and investment spending was slowing and that the
housing sector was cooling.
Municipal bonds, supported by strong surpluses at the state and local
level, rallied along with other higher quality sectors of the bond market, such
as Treasuries and mortgage-backed securities. In fact, on a tax-adjusted basis
municipal bonds actually modestly outperformed broad investment-grade taxable
debt sectors during the third quarter.
A broader-than-index maturity structure aided returns as intermediate
municipal yields decreased more than short-term municipal yields. Favorable
security selection among revenue bonds, including inflation-indexed municipals,
also enhanced returns. Although duration was moved to an above-benchmark
position by the end of the period, overall below-benchmark duration exposure
detracted from performance during the period.
Looking ahead, we expect growth will continue to moderate worldwide. We
also expect inflation to creep higher in the face of continued wage pressures
and escalating energy costs. More Fed tightening is unlikely now that U.S.
growth is slowing, but the central bank will also refrain from easing to avoid
igniting inflation. A focus on quality will continue to be critical for superior
performance as credit deterioration continues.
We anticipate continuing our high quality focus, targeting insured and
revenue issues, which offer relatively attractive yields. We expect keep
duration near the benchmark as we think shorter-term municipal yields could
remain relatively stable in the near term. We intend to continue to hold
inflation-indexed municipals fitting with our view that real yields could
decline as the economy moderates.
20
<PAGE>
PIMCO Short-Term Fund
September 30, 2000
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:
$690.9 million
PORTFOLIO MANAGER:
Paul McCulley
PIMCO Short-Term Fund
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
D Shares Lipper Ultra- Salomon
Short Oblig. 3 Mo. T-Bill
Fund Avg. Index
--------------------------------------------------------------------------------
1 year 6.23% 6.02% 5.62%
5 years 6.13% 5.61% 5.21%
10 years 5.58% 5.47% 4.89%
Inception 6.12% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO Salomon
Short-Term 3-Month T-Bill
D Index
10/31/1987 10,000 10,000
11/30/1987 10,056 10,051
12/31/1987 10,114 10,099
01/31/1988 10,181 10,148
02/29/1988 10,222 10,194
03/31/1988 10,276 10,244
04/30/1988 10,330 10,294
05/31/1988 10,386 10,347
06/30/1988 10,443 10,401
07/31/1988 10,495 10,460
08/31/1988 10,560 10,520
09/30/1988 10,627 10,583
10/31/1988 10,718 10,648
11/30/1988 10,787 10,715
12/31/1988 10,849 10,785
01/31/1989 10,925 10,858
02/28/1989 11,000 10,934
03/31/1989 11,093 11,013
04/30/1989 11,176 11,095
05/31/1989 11,275 11,179
06/30/1989 11,358 11,257
07/31/1989 11,452 11,336
08/31/1989 11,511 11,413
09/30/1989 11,588 11,487
10/31/1989 11,695 11,565
11/30/1989 11,771 11,640
12/31/1989 11,837 11,717
01/31/1990 11,892 11,794
02/28/1990 11,964 11,865
03/31/1990 12,042 11,945
04/30/1990 12,090 12,022
05/31/1990 12,202 12,104
06/30/1990 12,280 12,183
07/31/1990 12,364 12,263
08/31/1990 12,428 12,343
09/30/1990 12,509 12,418
10/31/1990 12,603 12,495
11/30/1990 12,702 12,569
12/31/1990 12,803 12,650
01/31/1991 12,893 12,723
02/28/1991 12,962 12,785
03/31/1991 13,020 12,851
04/30/1991 13,100 12,913
05/31/1991 13,172 12,975
06/30/1991 13,219 13,035
07/31/1991 13,296 13,097
08/31/1991 13,379 13,159
09/30/1991 13,452 13,217
10/31/1991 13,528 13,275
11/30/1991 13,561 13,328
12/31/1991 13,615 13,377
01/31/1992 13,665 13,424
02/29/1992 13,691 13,466
03/31/1992 13,716 13,512
04/30/1992 13,772 13,555
05/31/1992 13,814 13,600
06/30/1992 13,868 13,640
07/31/1992 13,923 13,681
08/31/1992 13,958 13,720
09/30/1992 13,994 13,754
10/31/1992 14,008 13,788
11/30/1992 14,025 13,823
12/31/1992 14,066 13,860
01/31/1993 14,112 13,897
02/28/1993 14,149 13,929
03/31/1993 14,214 13,964
04/30/1993 14,262 13,998
05/31/1993 14,318 14,033
06/30/1993 14,374 14,068
07/31/1993 14,425 14,104
08/31/1993 14,463 14,141
09/30/1993 14,499 14,176
10/31/1993 14,550 14,213
11/30/1993 14,604 14,249
12/31/1993 14,672 14,286
01/31/1994 14,697 14,323
02/28/1994 14,713 14,357
03/31/1994 14,690 14,398
04/30/1994 14,713 14,441
05/31/1994 14,724 14,488
06/30/1994 14,791 14,538
07/31/1994 14,861 14,590
08/31/1994 14,919 14,644
09/30/1994 14,935 14,698
10/31/1994 14,974 14,758
11/30/1994 14,986 14,820
12/31/1994 15,050 14,889
01/31/1995 15,126 14,957
02/28/1995 15,265 15,023
03/31/1995 15,298 15,097
04/30/1995 15,462 15,169
05/31/1995 15,618 15,243
06/30/1995 15,670 15,315
07/31/1995 15,764 15,388
08/31/1995 15,836 15,461
09/30/1995 15,984 15,530
10/31/1995 16,099 15,602
11/30/1995 16,248 15,670
12/31/1995 16,386 15,743
01/31/1996 16,465 15,813
02/29/1996 16,495 15,878
03/31/1996 16,548 15,945
04/30/1996 16,625 16,010
05/31/1996 16,712 16,079
06/30/1996 16,804 16,147
07/31/1996 16,851 16,216
08/31/1996 16,957 16,287
09/30/1996 17,120 16,357
10/31/1996 17,257 16,429
11/30/1996 17,412 16,498
12/31/1996 17,480 16,569
01/31/1997 17,583 16,641
02/28/1997 17,662 16,706
03/31/1997 17,671 16,779
04/30/1997 17,772 16,851
05/31/1997 17,900 16,925
06/30/1997 18,018 16,996
07/31/1997 18,158 17,070
08/31/1997 18,213 17,143
09/30/1997 18,335 17,215
10/31/1997 18,377 17,291
11/30/1997 18,460 17,363
12/31/1997 18,563 17,438
01/31/1998 18,673 17,515
02/28/1998 18,738 17,585
03/31/1998 18,863 17,662
04/30/1998 18,950 17,736
05/31/1998 19,036 17,813
06/30/1998 19,100 17,886
07/31/1998 19,215 17,961
08/31/1998 19,223 18,038
09/30/1998 19,351 18,112
10/31/1998 19,425 18,184
11/30/1998 19,491 18,252
12/31/1998 19,573 18,319
01/31/1999 19,649 18,387
02/28/1999 19,730 18,449
03/31/1999 19,870 18,520
04/30/1999 19,961 18,588
05/31/1999 19,965 18,659
06/30/1999 20,035 18,728
07/31/1999 20,105 18,801
08/31/1999 20,171 18,876
09/30/1999 20,262 18,950
10/31/1999 20,360 19,027
11/30/1999 20,455 19,103
12/31/1999 20,537 19,186
01/31/2000 20,584 19,270
02/29/2000 20,704 19,353
03/31/2000 20,838 19,444
04/30/2000 20,915 19,535
05/31/2000 21,028 19,631
06/30/2000 21,159 19,723
07/31/2000 21,269 19,818
08/31/2000 21,403 19,916
09/30/2000 21,527 20,016
*Past performance is no guarantee of future results. Returns represent the
blended performance of the Fund's Class D shares and the prior performance of
the Fund's Instl shares. Class D shares were first offered in 4/8/98. The Fund
may invest in foreign securities which involve potentially higher risks
including foreign currency fluctuations and political or economic uncertainty.
See page 26 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 80%
--------------------------------------------------------------------------------
1-5 years 18%
--------------------------------------------------------------------------------
5-10 years 1%
--------------------------------------------------------------------------------
10-20 years 1%
--------------------------------------------------------------------------------
Duration: 0.4 years
--------------------------------------------------------------------------------
Sector Breakdown
--------------------------------------------------------------------------------
Corporate Bonds & Notes 51.9%
--------------------------------------------------------------------------------
Mortgage-Backed Securities 18.7%
--------------------------------------------------------------------------------
U.S. Government Agencies 8.3%
--------------------------------------------------------------------------------
Asset-Backed Securities 8.2%
--------------------------------------------------------------------------------
Short-Term Instruments 6.4%
--------------------------------------------------------------------------------
Other 6.5%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 39.8%
--------------------------------------------------------------------------------
AA 11.0%
--------------------------------------------------------------------------------
A 16.6%
--------------------------------------------------------------------------------
BBB 29.3%
--------------------------------------------------------------------------------
BB 2.9%
--------------------------------------------------------------------------------
B 0.4%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class D shares
returned 3.29%, outperforming the Salomon 3-Month Treasury Bill Index, which
returned 2.94%. The Fund, however, just slightly underperformed the Lipper
Ultra-Short Obligations Fund Average, which returned 3.32%.
Over the past six months, the Federal Reserve (Fed) discontinued its
tightening policy as evidence surfaced that the U.S. economy was slowing.
Intermediate rates fell, causing the long end of the yield curve to revert to a
positive slope, amid optimism that further rate increases are over. Oil prices
continued to rise to their highest levels in a decade raising fears about
accelerating inflation, but the Fed remained on hold due to continued signs of
slowing growth. Higher-yielding mortgages, investment-grade corporates and
emerging market bonds outperformed Treasuries.
The Fund's above-average duration and maturity had a slightly negative
impact on returns as short-term Treasury yields rose.
An emphasis on mortgages enhanced performance as their attractive yields coupled
with good credit quality drove prices up. Investors are becoming more risk
adverse preferring higher quality and short-term instruments over higher
yielding and lower quality bonds. Recently, our concentration in GNMAs played
well with investor demand, as they are U.S. government guaranteed. The Fund's
allocation to Treasury Inflation Protection Securities aided returns as these
bonds outperformed their conventional Treasury counterparts.
We believe that growth should moderate worldwide due to recent monetary
tightening and higher oil prices. Inflation should creep higher in the face of
wage pressures and escalating energy costs. Fed tightening is unlikely now that
U.S. growth is slowing, but the central bank should also refrain from easing to
avoid igniting inflation in the stock and housing markets. In our opinion, we
will focus on quality for superior performance, as credit deterioration should
continue amid slower growth. An over-leveraged private sector combined with
public budget surpluses should continue to put pressure on lower quality
corporate bonds.
We are targeting the Funds duration slightly above the benchmark to capture
incremental yield from mortgage and high quality corporate issues. We will
continue to emphasize mortgages, where credit risk is minimal and yield premiums
remain attractive. Within emerging markets, we remain cautious as global growth
cools, concentrating on liquid and top-tier credits. Real return bonds are still
attractive as moderating growth and a neutral Fed put downward pressure on real
yields.
Given this outlook, strategies that enhance yield remain key to
performance. We expect to continue to favor asset-backed securities, especially
AAA/AA issues, which will benefit from Treasury scarcity and strong demand for
high quality short-term holdings.
21
<PAGE>
PIMCO StocksPLUS Fund
September 30, 2000
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
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
D Shares Lipper
Large-Cap
Core S&P 500
Fund Average Index
--------------------------------------------------------------------------------
1 year 12.61% 17.80% 13.28%
3 years 15.58% 15.85% 16.44%
5 years 21.09% 19.84% 21.69%
Inception 19.84% -- --
Change in Value $10,000 invested at the Fund's inception
[GRAPH]
PIMCO S&P 500
StocksPLUS Index
D
05/31/1993 10,000 10,000
06/30/1993 10,054 10,029
07/31/1993 10,025 9,989
08/31/1993 10,411 10,368
09/30/1993 10,301 10,288
10/31/1993 10,526 10,501
11/30/1993 10,409 10,401
12/31/1993 10,585 10,527
01/31/1994 10,939 10,885
02/28/1994 10,595 10,589
03/31/1994 10,123 10,128
04/30/1994 10,248 10,258
05/31/1994 10,437 10,426
06/30/1994 10,207 10,170
07/31/1994 10,600 10,504
08/31/1994 11,078 10,935
09/30/1994 10,891 10,668
10/31/1994 11,064 10,907
11/30/1994 10,719 10,510
12/31/1994 10,857 10,666
01/31/1995 11,155 10,943
02/28/1995 11,650 11,369
03/31/1995 11,964 11,705
04/30/1995 12,349 12,049
05/31/1995 12,903 12,531
06/30/1995 13,183 12,822
07/31/1995 13,586 13,247
08/31/1995 13,679 13,280
09/30/1995 14,255 13,841
10/31/1995 14,232 13,791
11/30/1995 14,912 14,397
12/31/1995 15,185 14,674
01/31/1996 15,726 15,174
02/29/1996 15,767 15,314
03/31/1996 15,975 15,462
04/30/1996 16,174 15,690
05/31/1996 16,530 16,094
06/30/1996 16,687 16,156
07/31/1996 15,903 15,442
08/31/1996 16,237 15,768
09/30/1996 17,182 16,655
10/31/1996 17,726 17,114
11/30/1996 19,038 18,408
12/31/1996 18,619 18,043
01/31/1997 19,761 19,171
02/28/1997 19,907 19,321
03/31/1997 18,999 18,527
04/30/1997 20,172 19,633
05/31/1997 21,444 20,828
06/30/1997 22,332 21,761
07/31/1997 24,168 23,493
08/31/1997 22,851 22,177
09/30/1997 24,037 23,392
10/31/1997 23,258 22,610
11/30/1997 24,204 23,657
12/31/1997 24,640 24,063
01/31/1998 24,975 24,329
02/28/1998 26,649 26,084
03/31/1998 27,970 27,420
04/30/1998 28,309 27,695
05/31/1998 27,734 27,219
06/30/1998 28,816 28,325
07/31/1998 28,496 28,023
08/31/1998 24,133 23,972
09/30/1998 25,972 25,507
10/31/1998 28,021 27,582
11/30/1998 29,610 29,254
12/31/1998 31,470 30,940
01/31/1999 32,524 32,233
02/28/1999 31,425 31,232
03/31/1999 32,735 32,481
04/30/1999 34,041 33,739
05/31/1999 33,146 32,943
06/30/1999 35,058 34,771
07/31/1999 33,901 33,685
08/31/1999 33,715 33,519
09/30/1999 32,953 32,600
10/31/1999 35,049 34,663
11/30/1999 35,610 35,367
12/31/1999 37,625 37,451
01/31/2000 35,672 35,570
02/29/2000 35,102 34,896
03/31/2000 38,401 38,310
04/30/2000 37,203 37,157
05/31/2000 36,411 36,394
06/30/2000 37,314 37,292
07/31/2000 36,817 36,708
08/31/2000 39,266 38,988
09/30/2000 37,110 36,930
*Past performance is no guarantee of future results. Returns represent the
blended performance of the Fund's Class D shares and the prior performance of
the Fund's Instl shares. Class D shares were first offered in 4/8/98. The Fund
may invest in foreign securities which involve potentially higher risks
including foreign currency fluctuations and political or economic uncertainty.
This Fund may invest substantially all of its assets in S&P 500 derivatives,
backed by a portfolio of Fixed Income Instruments.
See page 26 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1-5 years 93%
--------------------------------------------------------------------------------
5-10 years 7%
--------------------------------------------------------------------------------
Duration: 0.1 years
--------------------------------------------------------------------------------
Sector Breakdown
--------------------------------------------------------------------------------
Corporate Bonds & Notes 42.6%
--------------------------------------------------------------------------------
Mortgage-Backed Securities 21.7%
--------------------------------------------------------------------------------
Short-Term Instruments 8.7%
--------------------------------------------------------------------------------
U.S. Treasury Obligations 8.3%
--------------------------------------------------------------------------------
Asset-Backed Securities 7.4%
--------------------------------------------------------------------------------
Sovereign Issues 5.8%
--------------------------------------------------------------------------------
Other 5.5%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 39.7%
--------------------------------------------------------------------------------
AA 6.2%
--------------------------------------------------------------------------------
A 13.8%
--------------------------------------------------------------------------------
BBB 30.9%
--------------------------------------------------------------------------------
BB 4.8%
--------------------------------------------------------------------------------
B 4.6%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
StocksPLUS is an 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, 2000, the Fund's Class D
shares returned -3.37%, outperforming the S&P 500, which returned -3.60%. The
Fund performed in line with its Lipper Average. Longer term, the Fund has
outperformed the Lipper Average over the five-year and since inception periods
ended September 30, 2000. Since inception the Fund has met its objective of
outperforming the S&P 500.
Over the past six months intermediate maturity Treasuries rallied as yields
on two-, five- and 10-year notes fell from their earlier levels. As a result,
the long-portion of the yield curve reverted to a positive slope for the first
time since mid-January. This disinversion came amid shifting market sentiment
about the economy, Federal reserve policy and the U.S. budget surplus. Earlier
in the period the Fed concluded their tightening policy with their sixth
interest rate increase, but have recently left the fed funds rate unchanged as
signs of a cooling economy increased.
Investment grade corporate holdings boosted returns as credit premiums
narrowed. Mortgage-backed securities also added to the Fund's outperformance due
to relatively high yields and low market volatility. A small position within
emerging market bonds helped returns as stronger economies and debt
restructuring brought dividend yields lower.
We believe global growth will moderate in response to recent monetary
tightening by central banks in the U.S., Europe and Japan and the highest oil
prices in a decade. We expect inflation to rise as these increased energy prices
filter through economies worldwide. The Feds' recent tightening cycle is likely
over not that economic growth is cooling, and despite this slowdown, they will
remain on the sidelines instead of moving to an easing trend.
Given this outlook, strategies that enhance yield remain key to
performance. We will look to extend duration as near term risks tilt toward
slower-than-expected growth and lower rates. Our emphasis will remain on
mortgage-backed securities because of superior credit quality and relatively
higher yields, but we will selectively take advantage of wide yield premiums on
short-maturity, higher-rated corporate issues.
22
<PAGE>
PIMCO Strategic Balanced Fund
September 30, 2000
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:
$80.6 million
PORTFOLIO MANAGER:
Bill Gross
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
D Shares
Lipper 60% S&P500 S&P 500
Bal.
Fund Aug. 40% LBAG Index
--------------------------------------------------------------------------------
1 year 8.21% 11.31% 11.05% 13.28%
3 years 10.71% 8.96% 12.53% 16.44%
Inception 14.78% -- -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO 60% S&P 500 S&P 500
Strategic Balanced 40% Lehman Brothers Index
D Aggregate Bond Index
06/30/1996 10,000 10,000 10,000
07/31/1996 9,732 9,746 9,558
08/31/1996 9,881 9,863 9,760
09/30/1996 10,348 10,264 10,309
10/31/1996 10,626 10,525 10,593
11/30/1996 11,213 11,075 11,394
12/31/1996 11,007 10,902 11,168
01/31/1997 11,467 11,324 11,866
02/28/1997 11,532 11,388 11,959
03/31/1997 11,156 11,057 11,468
04/30/1997 11,661 11,520 12,152
05/31/1997 12,145 11,984 12,892
06/30/1997 12,504 12,363 13,470
07/31/1997 13,267 13,086 14,542
08/31/1997 12,798 12,602 13,727
09/30/1997 13,255 13,090 14,479
10/31/1997 13,068 12,904 13,995
11/30/1997 13,409 13,286 14,643
12/31/1997 13,611 13,477 14,895
01/31/1998 13,798 13,635 15,059
02/28/1998 14,345 14,221 16,145
03/31/1998 14,823 14,678 16,972
04/30/1998 14,952 14,797 17,143
05/31/1998 14,787 14,700 16,848
06/30/1998 15,216 15,109 17,533
07/31/1998 15,122 15,025 17,346
08/31/1998 13,711 13,819 14,838
09/30/1998 14,513 14,480 15,789
10/31/1998 15,155 15,156 17,073
11/30/1998 15,631 15,742 18,108
12/31/1998 16,218 16,305 19,151
01/31/1999 16,608 16,760 19,952
02/28/1999 16,063 16,331 19,332
03/31/1999 16,585 16,759 20,105
04/30/1999 16,988 17,170 20,884
05/31/1999 16,636 16,866 20,391
06/30/1999 17,252 17,406 21,522
07/31/1999 16,872 17,051 20,851
08/31/1999 16,806 16,996 20,747
09/30/1999 16,627 16,796 20,179
10/31/1999 17,287 17,459 21,456
11/30/1999 17,458 17,671 21,892
12/31/1999 18,013 18,261 23,181
01/31/2000 17,238 17,687 22,017
02/29/2000 17,097 17,572 21,600
03/31/2000 18,169 18,696 23,713
04/30/2000 17,757 18,337 22,999
05/31/2000 17,643 18,108 22,527
06/30/2000 17,890 18,526 23,083
07/31/2000 17,847 18,420 22,722
08/31/2000 18,648 19,213 24,133
09/30/2000 17,992 18,653 22,859
*Past performance is no guarantee of future results. Returns represent the
blended performance of the Fund's Class D shares and the prior performance of
the Fund's Instl shares. Class D shares were first offered in 4/8/98. The Fund
may invest in foreign securities which involve potentially higher risks
including foreign currency fluctuations and political or economic uncertainty.
See page 26 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
PIMCO Funds
--------------------------------------------------------------------------------
StocksPlus 55.9%
--------------------------------------------------------------------------------
Total Return 40.0%
--------------------------------------------------------------------------------
Short-Term Instruments 4.1%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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.
For the six-month period ended September 30, 2000, the Fund's Class D
shares returned -0.98%, slightly underperforming the Lipper Balanced Fund
Average, which returned -0.50%. However, the Fund has outperformed the Lipper
Average over the three-year and since inception periods ended September 30,
2000. 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 intermediate maturity Treasuries rallied. As a
result, the long-portion of the yield curve reverted to a positive slope for the
first time since mid-January. This disinversion came amid shifting market
sentiment about the economy, Federal reserve policy and the U.S. budget surplus.
An overweight fixed income allocation improved performance relative to the
benchmark as the Lehman Aggregate Index returned 4.81% as compared to -3.60% for
the S&P 500 index over the past six months.
The equity allocation performed in line with the S&P 500 Index mainly due
to the solid performance of mortgage-backed securities (which are held as part
of cash backing the S&P 500 futures). The fixed-income portion performed in line
with its index as well due to an above-benchmark duration that had a positive
effect in a falling interest rate environment.
We believe global growth will moderate in response to recent monetary
tightening by central banks in the U.S., Europe and Japan and the highest oil
prices in a decade. We expect inflation to rise as these increased energy prices
filter through economies worldwide. The Feds' recent tightening cycle is likely
over not that economic growth is cooling, and despite this slowdown, they will
remain on the sidelines instead of moving to an easing trend.
Looking ahead, we expect to move to a neutral 60% equity/40% bond mix in
light of stock market volatility and the potential for reduced corporate profits
in a slowing economy. On the equity side, we will continue to emphasize
mortgages in cash backing strategies because of superior credit quality and
higher yields. On the fixed-income side, we will extend duration .25 years above
the benchmark as risks tilt toward slower-than-expected growth and lower
interest rates.
23
<PAGE>
PIMCO Total Return Fund
September 30, 2000
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:
$35.5 billion
PORTFOLIO MANAGER:
Bill Gross
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
D Shares Lipper Inter. Lehman Bros.
Inv. Grade Debt Agg. Bond
Fund Avg. Index
--------------------------------------------------------------------------------
1 year 6.78% 5.75% 6.99%
5 years 7.02% 5.54% 6.47%
10 years 8.98% 7.58% 8.05%
Inception 8.74% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO Lehman Brothers
Total Return Aggregate Bond
D Index
05/31/1987 10,000 10,000
06/30/1987 10,125 10,138
07/31/1987 10,098 10,130
08/31/1987 10,072 10,076
09/30/1987 9,819 9,861
10/31/1987 10,129 10,212
11/30/1987 10,201 10,294
12/31/1987 10,291 10,434
01/31/1988 10,708 10,801
02/29/1988 10,828 10,929
03/31/1988 10,729 10,827
04/30/1988 10,671 10,768
05/31/1988 10,615 10,696
06/30/1988 10,867 10,954
07/31/1988 10,849 10,897
08/31/1988 10,899 10,925
09/30/1988 11,103 11,172
10/31/1988 11,275 11,383
11/30/1988 11,172 11,244
12/31/1988 11,218 11,257
01/31/1989 11,354 11,419
02/28/1989 11,279 11,336
03/31/1989 11,330 11,385
04/30/1989 11,580 11,624
05/31/1989 11,859 11,929
06/30/1989 12,256 12,292
07/31/1989 12,512 12,554
08/31/1989 12,293 12,368
09/30/1989 12,352 12,431
10/31/1989 12,645 12,737
11/30/1989 12,752 12,858
12/31/1989 12,775 12,893
01/31/1990 12,558 12,740
02/28/1990 12,588 12,781
03/31/1990 12,575 12,790
04/30/1990 12,394 12,673
05/31/1990 12,797 13,048
06/30/1990 13,011 13,258
07/31/1990 13,219 13,441
08/31/1990 13,007 13,261
09/30/1990 13,018 13,371
10/31/1990 13,195 13,541
11/30/1990 13,525 13,832
12/31/1990 13,759 14,048
01/31/1991 13,892 14,222
02/28/1991 14,083 14,343
03/31/1991 14,257 14,442
04/30/1991 14,487 14,598
05/31/1991 14,591 14,684
06/30/1991 14,610 14,676
07/31/1991 14,817 14,880
08/31/1991 15,216 15,202
09/30/1991 15,572 15,510
10/31/1991 15,728 15,682
11/30/1991 15,860 15,826
12/31/1991 16,396 16,296
01/31/1992 16,258 16,074
02/29/1992 16,398 16,179
03/31/1992 16,331 16,088
04/30/1992 16,412 16,204
05/31/1992 16,749 16,510
06/30/1992 16,957 16,737
07/31/1992 17,367 17,078
08/31/1992 17,511 17,251
09/30/1992 17,784 17,456
10/31/1992 17,624 17,224
11/30/1992 17,635 17,228
12/31/1992 17,940 17,502
01/31/1993 18,266 17,838
02/28/1993 18,670 18,150
03/31/1993 18,775 18,226
04/30/1993 18,934 18,353
05/31/1993 18,974 18,376
06/30/1993 19,382 18,709
07/31/1993 19,496 18,815
08/31/1993 19,935 19,145
09/30/1993 20,011 19,197
10/31/1993 20,149 19,269
11/30/1993 19,967 19,105
12/31/1993 20,129 19,209
01/31/1994 20,369 19,468
02/28/1994 20,000 19,130
03/31/1994 19,572 18,658
04/30/1994 19,374 18,509
05/31/1994 19,277 18,507
06/30/1994 19,202 18,466
07/31/1994 19,592 18,832
08/31/1994 19,643 18,856
09/30/1994 19,390 18,578
10/31/1994 19,362 18,562
11/30/1994 19,361 18,521
12/31/1994 19,349 18,648
01/31/1995 19,691 19,017
02/28/1995 20,148 19,470
03/31/1995 20,336 19,589
04/30/1995 20,687 19,863
05/31/1995 21,337 20,631
06/30/1995 21,320 20,783
07/31/1995 21,326 20,736
08/31/1995 21,651 20,986
09/30/1995 21,917 21,191
10/31/1995 22,243 21,466
11/30/1995 22,719 21,788
12/31/1995 23,106 22,094
01/31/1996 23,290 22,240
02/29/1996 22,718 21,854
03/31/1996 22,536 21,702
04/30/1996 22,437 21,580
05/31/1996 22,372 21,536
06/30/1996 22,725 21,825
07/31/1996 22,780 21,885
08/31/1996 22,754 21,848
09/30/1996 23,271 22,229
10/31/1996 23,869 22,721
11/30/1996 24,428 23,111
12/31/1996 24,117 22,896
01/31/1997 24,202 22,966
02/28/1997 24,250 23,023
03/31/1997 23,950 22,768
04/30/1997 24,376 23,109
05/31/1997 24,620 23,327
06/30/1997 24,903 23,604
07/31/1997 25,592 24,240
08/31/1997 25,365 24,034
09/30/1997 25,771 24,388
10/31/1997 26,075 24,742
11/30/1997 26,189 24,856
12/31/1997 26,491 25,106
01/31/1998 26,896 25,428
02/28/1998 26,815 25,408
03/31/1998 26,898 25,497
04/30/1998 26,998 25,630
05/31/1998 27,306 25,873
06/30/1998 27,565 26,092
07/31/1998 27,650 26,148
08/31/1998 28,085 26,573
09/30/1998 28,919 27,196
10/31/1998 28,716 27,052
11/30/1998 28,817 27,205
12/31/1998 28,987 27,287
01/31/1999 29,155 27,482
02/28/1999 28,613 27,002
03/31/1999 28,850 27,152
04/30/1999 28,986 27,238
05/31/1999 28,667 26,999
06/30/1999 28,612 26,913
07/31/1999 28,498 26,799
08/31/1999 28,515 26,785
09/30/1999 28,826 27,096
10/31/1999 28,915 27,196
11/30/1999 28,976 27,194
12/31/1999 28,817 27,063
01/31/2000 28,664 26,974
02/29/2000 29,011 27,300
03/31/2000 29,431 27,660
04/30/2000 29,343 27,581
05/31/2000 29,331 27,568
06/30/2000 29,944 28,142
07/31/2000 30,214 28,397
08/31/2000 30,682 28,809
09/30/2000 30,783 28,990
*Past performance is no guarantee of future results. Returns represent the
blended performance of the Fund's Class D shares and the prior performance of
the Fund's Instl shares. Class D shares were first offered in 4/8/98. The Fund
may invest in foreign securities which involve potentially higher risks
including foreign currency fluctuations and political or economic uncertainty.
See page 26 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1 year or less 1%
--------------------------------------------------------------------------------
1-5 years 32%
--------------------------------------------------------------------------------
5-10 years 40%
--------------------------------------------------------------------------------
10-20 years 16%
--------------------------------------------------------------------------------
20-30 years 10%
--------------------------------------------------------------------------------
Over 30 years 1%
--------------------------------------------------------------------------------
Duration: 5.2 years
--------------------------------------------------------------------------------
Sector Breakdown
--------------------------------------------------------------------------------
Mortgage-Backed Securities 48.2%
--------------------------------------------------------------------------------
Corporate Bonds & Notes 26.9%
--------------------------------------------------------------------------------
U.S. Treasury Obligations 9.0%
--------------------------------------------------------------------------------
Short-Term Instruments 5.5%
--------------------------------------------------------------------------------
Asset-Backed Securities 5.4%
--------------------------------------------------------------------------------
Other 5.0%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 66.7%
--------------------------------------------------------------------------------
AA 6.2%
--------------------------------------------------------------------------------
A 14.7%
--------------------------------------------------------------------------------
BBB 10.4%
--------------------------------------------------------------------------------
BB 1.4%
--------------------------------------------------------------------------------
B 0.6%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class D shares
returned 4.58%, outperforming the Lipper Average, which returned 4.02%. Over the
same time period, the Fund slightly underperformed its benchmark, the Lehman
Aggregate Bond Index, which returned 4.81%. Looking longer term, the Fund
outperformed both the Lipper Average and the benchmark over the three-, five-,
ten-year and since inception periods ended September 30, 2000.
The Federal Reserve lifted short-term interest rates by 50 basis points at
their May meeting, bringing its total tightening tally for this cycle to six, as
concern remained that inflationary pressures were building. Supporting the
concern, oil prices surged to their highest level in a decade. But the
cumulative impact of 175 basis points of tightening began to slow the economy,
as signs emerged that consumer and investment spending was slowing and that the
housing sector was cooling.
During the past six months intermediate maturity Treasury yields fell as
optimism grew that the Fed was finished tightening. In general, higher quality
bonds outperformed other areas of the bond market, particularly the high yield
sector, as concern grew that corporate earnings would slow as the economy
cooled.
As a result, sector strategies were key to performance. An emphasis on
mortgage-backed securities enhanced returns due to relatively attractive yields
and lower market volatility. Real return bonds also added modestly to relative
performance due to a favorable inflation adjustment. A small position in
shorter-term, top tier emerging market bonds, acting as a substitute for high
yield bonds, had a positive impact as yield premiums narrowed due to stronger
economies and debt restructuring. The Fund's near benchmark duration hurt
performance slightly as intermediate maturity yields fell.
Looking ahead, we expect growth will continue to moderate worldwide. We
also expect inflation to creep higher in the face of continued wage pressures
and escalating energy costs. More Fed tightening is unlikely now that U.S.
growth is slowing, but the central bank will also refrain from easing to avoid
igniting inflation. A focus on quality will continue to be critical for superior
performance as credit deterioration continues.
Going forward, we anticipate extending duration slightly above the
benchmark as near term risks tilt toward slower-than-expected growth and lower
interest rates. However, mortgage will continue to be emphasized because of
their superior credit quality and relatively high yields. Where possible, we
expect to reduce exposure to corporate bonds, which may see price declines as
the economy slows.
24
<PAGE>
PIMCO Total Return Mortgage Fund
September 30, 2000
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Primarily an intermediate-term portfolio of mortgage-backed securities.
DURATION RANGE:
3-6 years
FUND INCEPTION DATE:
7/31/97
TOTAL NET ASSETS:
$16.3 million
PORTFOLIO MANAGER:
W.S. Simon
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00
D Shares Lipper U.S.
Mortgage Fund Lehman Bros.
Average Mortgage Index
--------------------------------------------------------------------------------
1 year 8.01% 6.47% 7.42%
3 years 6.41% 5.18% 6.07%
Inception 6.60% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
PIMCO Lehman Brothers
Total Return Mortgage Index
Mortgage
D
07/31/1997 10,000 10,000
08/31/1997 10,007 9,976
09/30/1997 10,162 10,103
10/31/1997 10,310 10,215
11/30/1997 10,356 10,248
12/31/1997 10,475 10,342
01/31/1998 10,587 10,445
02/28/1998 10,604 10,467
03/31/1998 10,641 10,511
04/30/1998 10,711 10,570
05/31/1998 10,801 10,641
06/30/1998 10,869 10,691
07/31/1998 10,910 10,746
08/31/1998 11,038 10,843
09/30/1998 11,160 10,974
10/31/1998 11,113 10,960
11/30/1998 11,159 11,015
12/31/1998 11,187 11,061
01/31/1999 11,253 11,140
02/28/1999 11,192 11,096
03/31/1999 11,262 11,170
04/30/1999 11,315 11,222
05/31/1999 11,252 11,159
06/30/1999 11,237 11,120
07/31/1999 11,193 11,045
08/31/1999 11,184 11,044
09/30/1999 11,324 11,223
10/31/1999 11,386 11,288
11/30/1999 11,439 11,294
12/31/1999 11,411 11,267
01/31/2000 11,335 11,169
02/29/2000 11,502 11,298
03/31/2000 11,653 11,422
04/30/2000 11,611 11,430
05/31/2000 11,603 11,435
06/30/2000 11,817 11,680
07/31/2000 11,931 11,755
08/31/2000 12,126 11,933
09/30/2000 12,245 12,056
*Past performance is no guarantee of future results. Returns represent the
blended performance of the Fund's Class D shares and the prior performance of
the Fund's Instl shares. Class D shares were first offered in 4/8/98. This Fund
concentrates on investments in Mortgage securities, which may entail greater
risk than a fully diversified fund. See page 26 for Footnotes, which include
additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
--------------------------------------------------------------------------------
1-5 years 72%
--------------------------------------------------------------------------------
5-10 years 15%
--------------------------------------------------------------------------------
10-20 years 10%
--------------------------------------------------------------------------------
20-30 years 2%
--------------------------------------------------------------------------------
Over 30 years 1%
--------------------------------------------------------------------------------
Duration: 4.2 years
--------------------------------------------------------------------------------
Sector Breakdown
--------------------------------------------------------------------------------
Mortgage-Backed Securities 85.0%
--------------------------------------------------------------------------------
Short-Term Instruments 12.9%
--------------------------------------------------------------------------------
Other 2.1%
--------------------------------------------------------------------------------
Quality Breakdown
--------------------------------------------------------------------------------
AAA 90.4%
--------------------------------------------------------------------------------
AA 2.9%
--------------------------------------------------------------------------------
BBB 6.7%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the six-month period ended September 30, 2000, the Fund's Class D shares
returned 5.06%, outperforming the Lipper Average, which returned 4.76%. Over the
same time period, the Fund underperformed its benchmark, the Lehman Mortgage
Index, which returned 5.55%. Looking longer term, however, the Fund has
outperformed both the Lipper Average and the benchmark over the one-, three-year
and since inception periods ended September 30, 2000.
The Federal Reserve lifted short-term interest rates by 50 basis points at
their May meeting, bringing its total tightening tally for this cycle to six, as
concern remained that inflationary pressures were building. Supporting the
concern, oil prices surged to their highest level in a decade. But the
cumulative impact of 175 basis points of tightening began to slow the economy
over the past six months, as signs emerged that consumer spending, capital
investment and the housing sector were cooling.
Mortgage-backed securities outpaced Treasuries as investors continued to
favor securities with superior credit quality, lower market volatility and
attractive yield premiums. Conventional mortgages slightly outperformed GNMAs
amid profit taking in GNMAs after their superior performance so far this year.
The Fund's above-index duration (sensitivity to changes in interest rates)
helped performance as intermediate-maturity interest rates fell. Our exposure to
GNMA ARMs also enhanced returns as yield spreads of these securities tightened
relative to other mortgage securities. The Fund's use of mortgage forward
contracts, such as GNMA TBAs, added to returns as the cash backing this exposure
was put to work at higher short-term interest rates.
Looking ahead, we expect growth will continue to moderate worldwide. We
also expect inflation to creep higher in the face of continued wage pressures
and escalating energy costs. More Fed tightening is unlikely now that U.S.
growth is slowing, but the central bank will also refrain from easing to avoid
igniting inflation. A focus on quality will continue to be critical for superior
performance as credit deterioration continues.
As a result, we expect to keep duration modestly above the benchmark as
near term risks tilt toward lower interest rates in general. We hope to increase
our concentration in high coupon mortgages as they offer higher yields at lower
durations and are cheaper than they have been historically compared to low
coupon issues. We intend to maintain exposure to GNMAs, which have better credit
quality than conventional mortgages and trade at similar prices. Finally, we
expect to continue to buy mortgages that settle in the future, investing the
purchase amount at higher short-term interest rates.
25
<PAGE>
September 30, 2000
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,
2000.
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 (General, CA & N.Y.) Indexes
are indexes 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. Lehman Bros. is an index of mortgages.
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,
1-800-426-0107. Please read the prospectus carefully before you invest or send
money.
26
<PAGE>
Schedule of Investments
California Intermediate Municipal Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 99.9%
--------------------------------------------------------------------------------
California 83.3%
Anaheim, California Public Financing Authority
Revenue Bonds, (AMBAC Insured), Series 1999
4.625% due 10/01/2027 $ 150 $ 152
Antioch, California Public Financing Authority Reassessment
Revenue Bonds, Series 1998-B
5.500% due 09/02/2008 495 503
California Educational Facilities Authority Revenue
Bonds, Series 1997-A
5.700% due 10/01/2015 135 141
California Health Facilities Financing Authority
Revenue Bonds, (AMBAC Insured), Series 1996-B
4.750% due 07/01/2012 (b) 1,100 1,100
California Health Facilities Financing Authority
Revenue Bonds, (MBIA Insured), Series 1998
4.750% due 09/01/2028 (b) 2,000 2,000
5.375% due 08/15/2030 1,100 1,070
California Health Facilities Financing Authority
Revenue Bonds, Series 1998-B
5.250% due 10/01/2014 3,000 2,907
California Housing Finance Agency Revenue Bonds,
(FNMA Insured), Series 1993
4.500% due 07/15/2013 (b) 100 100
California Housing Finance Agency Revenue Bonds,
(SPA-Landesbank Hessen Insured), Series 2000-B
4.500% due 02/01/2035 (b) 400 400
California Housing Financial Agency Revenue Bonds,
(AMBAC FHA Insured), Series 1996
5.950% due 02/01/2011 100 106
California Pollution Control Financing Authority
Revenue Bonds, Series 1999-A
4.500% due 08/01/2003 150 150
California State Department of Water Resources
Central Valley Project Revenue Bonds, Series 1998-U
5.000% due 12/01/2029 2,500 2,272
California State Department Veteran Affairs Home
Revenue Bonds, Series 2000-B
4.900% due 12/01/2005 500 505
California State Economic Development Financing
Authority Industrial Development Revenue Bonds,
(LOC-U.S. Bank Insured), Series 1997
5.150% due 08/01/2027 (b) 780 780
California State General Obligation Bonds,
(AMBAC Insured), Series 1991
6.500% due 09/01/2006 2,500 2,781
California State General Obligation Bonds,
(FGIC Insured), Series 1997
5.000% due 10/01/2004 325 334
California State General Obligation Bonds,
(MBIA Insured), Series 1991
6.600% due 02/01/2011 1,000 1,163
California State General Obligation Bonds,
(MBIA Insured), Series 1992
7.500% due 10/01/2007 400 474
California State General Obligation Bonds,
Series 1991
6.500% due 09/01/2010 1,730 1,997
California State General Obligation
Bonds, Series 1997-BL
5.300% due12/01/2012 400 411
California State General Obligation
Bonds, Series 2000
5.250% due 03/01/2005 100 104
5.500% due 05/01/2011 3,250 3,478
5.250% due 03/01/2013 300 310
4.850% due 01/01/2027 (b) 1,500 1,313
California State Public Works Board Lease
Revenue Bonds, Series 1994-A
6.375% due 11/01/2014 500 549
California Statewide Communities
Development Authority
Apartment Development Revenue Bonds,
Series 1998-A-3
5.100% due 05/15/2025 2,000 1,955
California Statewide Communities
Development Authority Certificates
of Participation, (AMBAC Insured), Series 1995
4.750% due 07/01/2015 (b) 400 400
California Statewide Communities
Development Authority Certificates
of Participation, Series 1994
6.500% due 07/01/2015 1,000 1,096
Capistrano, California Unified School
District Community Facilities
District Special Tax Bonds, Series 1997
7.100% due 09/01/2021 2,000 2,290
Capistrano, California Unified School
District Community Facilities
District Special Tax Bonds, Series 1999
5.700% due 09/01/2020 1,500 1,457
Chico, California Public Financing
Authority Revenue Bonds,
(FSA Insured), Series 1996
5.200% due 04/01/2011 485 504
Chula Vista, California Special Tax
Bonds, Series 2000-1
6.350% due 09/01/2017 230 235
6.400% due 09/01/2018 120 123
Contra Costa County, California
Multifamily Mortgage Revenue Bonds,
(LOC-Bank of America NT & SA Insured),
Series 1987-A 4.400% due 12/01/2017 (b) 1,300 1,300
Corona, California Community Facilities District
Special Tax Bonds, Series 1998
5.875% due 09/01/2023 1,000 978
East Bay, California Regional Park
District General Obligation Bonds, Series 1998
5.000% due 09/01/2017 2,000 1,960
Evergreen, California School District
General Obligation Bonds,
(FGIC Insured), Series 2000-C
10.000% due 09/01/2005 465 579
10.000% due 09/01/2006 380 490
Foothill Eastern Transportation Corridor
Agency Toll Road Revenue Bonds, (MBIA Insured),
Series 1999
5.875% due 01/15/2027 2,500 1,490
Irvine Ranch, California Water District
Revenue Bonds, (LOC-Landesbank Hessen-Thrgn Insured),
Series 1985
4.750% due 10/01/2010 (b) 1,300 1,300
Irvine, California Improvement Bond Act 1915
Revenue Bonds, (LOC-Societe Generale Insured),
Series 1997
4.750% due 09/02/2022 (b) 2,668 2,668
Irvine, California Improvement Bond Act
1915 Special Assessment,
(LOC-KBC Bank N.V. Insured),
Series 1996-A
4.750% due 09/02/2021 (b) 400 400
See accompanying notes 27
<PAGE>
Schedule of Investments (Cont.)
California Intermediate Municipal Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Irvine, California Improvement Bond Act 1915 Special
Assessment, (LOC-KBC Bank N.V. Insured), Series 1999
4.750% due 09/02/2024 (b) $1,600 $1,600
Livermore Valley, California Joint Unified School District
General Obligation Bonds, (MBIA Insured), Series 2000
6.500% due 08/01/2003 1,000 1,061
Long Beach, California Harbor Revenue Bonds,
(MBIA Insured), Series 1995
6.500% due 05/15/2005 220 238
Long Beach, California Harbor Revenue Bonds, Series 1993
4.700% due 05/15/2004 150 151
Los Angeles County, California Transportation
Commission Certificates of Participation, Series 1992-B
6.250% due 07/01/2004 500 525
Los Angeles, California Community Redevelopment Agency
Certificates of Participation Revenue Bonds, Series 1984
7.550% due 11/01/2008 415 460
Los Angeles, California Department of Water & Power
Electric Plant Revenue Bonds, Series 2000 276
3.480% due 11/15/2010 (b) 200 200
Los Angeles, California Department of Water & Power
Waterworks Revenue Bonds, (MBIA Insured), Series 1994
6.375% due 07/01/2034 2,150 2,333
Los Angeles, California State Building Authority Lease
Revenue Bonds, Series 1999-A
4.600% due 10/01/2007 150 151
Los Angeles, California Unified School District General
Obligation Bonds, (MBIA Insured), Series 1999-C
4.750% due 07/01/2010 30 31
Los Angeles, California Wastewater System Revenue
Bonds, (MBIA Insured), Series 1998-C
4.000% due 06/01/2015 1,770 1,542
Metropolitan Water District Southern California
General Obligation Bonds, Series 1993-A1
7.250% due 03/01/2007 150 174
Metropolitan Water District Southern California
Revenue Bonds, (SPA-Westdeutsche Landesbank Insured),
Series 2000 4.700% due 07/01/2035 (b) 200 200
Metropolitan Water District Southern California
Revenue Bonds, Series 1993
6.050% due 10/30/2020 (b) 600 592
Newport Beach, California Revenue Bonds,
(SPA-Bank of America NT & SA Insured), Series 1996-A
5.400% due 10/01/2026 (b) 300 300
Newport Beach, California Revenue Bonds,
(SPA-Bank of America NT & SA Insured), Series 1996-B
5.350% due 10/01/2026 (b) 100 100
Newport Beach, California Revenue Bonds,
(SPA-Bank of America NT & SA Insured), Series 1996-C
5.400% due 10/01/2026 (b) 100 100
Orange County, California Airport Revenue Bonds,
(MBIA Insured), Series 1993
5.250% due 07/01/2006 1,565 1,612
Orange County, California Improvement Bond
Special Assessment, (LOC-Societe Generale &
LOC-KBC Bank N.V. Insured), Series 1988
4.750% due 09/02/2018 (b) 1,900 1,900
Orange County, California Local Transportation Authority
Sales Tax Revenue Bonds, (AMBAC-TCRS Insured),
Series 1992 6.200% due 02/14/2011 $3,250 $3,640
Orange County, California Revenue Bonds,
(MBIA Insured), Series 1995-A
6.000% due 06/01/2010 1,000 1,114
Orange County, California Sanitation District
Certificates of Participation, (LOC-National
Westminster Insured), Series 1990
4.750% due 08/01/2015 (b) 3,665 3,665
Orange County, California Water District
Certificates of Participation, (LOC-Bayerishe
Landesbank Insured), Series 1990
4.500% due 08/15/2015 (b) 700 700
Otay, California Water District Certificates of
Participation, (LOC-Landesbank Hessen-Thrgn Insured),
Series 1996
4.400% due 09/01/2026 (b) 200 200
Oxnard, California Improvement Bond Act 1915
Special Assessment, Series 1997
5.500% due 09/02/2004 1,215 1,234
Pacific Housing & Finance Agency, California
Revenue Bonds, (MBIA Insured), Series 1999
4.625% due 12/01/2004 250 253
Pioneers Memorial Healthcare District, California
General Obligation Bonds, (AMBAC Insured),
Series 1998
5.125% due 10/01/2024 1,000 949
Port of Oakland, California Revenue
Bonds, (FGIC Insured), Series 2000
5.500% due 11/01/2009 500 530
Redding, California Electric System
Revenue Certificates of Participation, (FGIC
Insured), Series 1993
5.684% due 06/28/2019 500 507
Riverside County, California Asset Leasing
Corp. Revenue Bonds, (MBIA Insured), Series 2000
5.200% due 11/01/2010 250 263
Sacramento County, California Sanitation District
Financing Authority Revenue Bonds,
(LOC-Credit Agricole Indosez Insured),
Series 2000
4.500% due 12/01/2030 (b) 1,900 1,900
Sacramento County, California Sanitation District
Financing Authority Revenue Bonds,
Series 2000-A
4.900% due 12/01/2007 1,000 1,032
5.100% due 12/01/2009 1,000 1,048
5.100% due 12/01/2010 1,000 1,046
Sacramento, California Municipal Utility
District Revenue Bonds, Series 1983-M
9.000% due 04/01/2013 960 1,245
San Bernardino County, California Housing Authority
Multifamily Housing Revenue Bonds, (LOC-California
Federal Bank & LOC-Federal Home Loan Bank Insured),
Series 1993
3.250% due 02/01/2023 (b) 400 400
San Francisco, California City & County Airport
Commission International Airport Revenue Bonds
(FGIC Insured), Series 1996,-12-A
5.625% due 05/01/2005 400 418
San Francisco, California City & County Airport
Commission International Airport Revenue Bonds,
(FSA Insured), Series 1998-16A
5.500% due 05/01/2015 300 306
28 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
San Francisco, California City & County Airport
Commission International Airport Revenue Bonds,
(MBIA Insured), Series 1996-14A
8.000% due 05/01/2005 $ 500 $ 569
San Francisco, California City & County Public
Utilities Commission Revenue Bonds,
Series 1992-A
6.400% due 11/01/2007 2,500 2,647
San Jose, California Multifamily Housing Revenue
Bonds, (LOC-Bay View Bank N.A. & LOC-Federal Home
Loan Bank Insured), Series 1999
4.950% due 06/01/2039 1,000 1,003
San Jose, California Redevelopment Agency Tax
Allocation, (MBIA Insured), Series 1993
6.000% due 08/01/2010 600 669
San Pablo, California Redevelopment Agency
Revenue Bonds, Series 1979
8.000% due 10/01/2011 145 168
Santa Margarita/Dana Point Authority, California
Revenue Bonds, (MBIA Insured), Series 1994-A
7.250% due 08/01/2006 150 172
Santa Rosa, California Multifamily Housing
Revenue Bonds, (LOC-U.S. Bank N.A. Insured),
Series 1997-A 4.600% due 06/01/2027 (b) 100 100
South Tahoe, California Joint Powers Financing
Authority Revenue Bonds, Series 1999-A
7.300% due 10/01/2007 150 154
Stockton, California Certificates of Participation,
Series 1999 4.750% due 08/01/2006 120 121
--------
83,648
========
Puerto Rico 12.1%
Puerto Rico Commonwealth Aqueduct & Sewer Authority
Revenue Bonds, (FSA Surety Bond Insured), Series 1985-A
9.000% due 07/01/2009 3,000 3,459
Puerto Rico Commonwealth General Obligation Bonds,
(MBIA Insured), Series 1995
5.200% due 07/01/2006 410 429
Puerto Rico Commonwealth Highway & Transportation
Authority Highway Revenue Bonds, Series 1993-X
5.350% due 07/01/2005 5,000 5,137
Puerto Rico Commonwealth Highway & Transportation
Authority Revenue Bonds, Series 1993-X
5.200% due 07/01/2003 500 510
Puerto Rico Commonwealth Infrastructure Financing
Authority Revenue Bonds, (AMBAC Insured),
Series 1998-A 5.250% due 07/01/2010 150 157
Puerto Rico Electric Power Authority Power Revenue
Bonds, Series 1995-X
6.125% due 07/01/2021 500 548
Puerto Rico Industrial Tourist Educational, Medical &
Environmental Control Facilities Revenue Bonds,
Series 2000 5.300% due 11/15/2005 250 255
Puerto Rico Industrial Tourist Environmental Central
Facilities Revenue Bonds, Series 2000
5.300% due 11/15/2004 150 153
Puerto Rico Municipal Finance Agency General
Obligation Bonds, (FSA Insured), Series 1999-A
5.000% due 08/01/2004 $ 1,000 $ 1,027
Puerto Rico Public Finance Corp. Revenue Bonds,
(AMBAC Insured), Series 1998-A
5.000% due 06/01/2007 500 517
---------
12,192
=========
Virgin Islands 4.5%
Virgin Islands Public Finance Authority
Revenue Bonds, Series 1998-C
5.500% due 10/01/2008 3,000 3,015
5.500% due 10/01/2007 1,500 1,508
---------
4,523
---------
Total Municipal Bonds & Notes 100,363
(Cost $97,895) =========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 0.1%
--------------------------------------------------------------------------------
Commercial Paper 0.1%
R & T California Money Market
3.710% due 10/02/2000 154 154
---------
Total Short-Term Instruments 154
(Cost $154) =========
Total Investments (a) 100% $ 100,517
(Cost $98,049)
Other Assets and Liabilities (Net) (0.0%) (26)
---------
Net Assets 100.0% $ 100,491
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 2,491
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (23)
---------
Unrealized appreciation-net $ 2,468
=========
(b) Variable rate security. The rate listed is as of
September 30, 2000.
See accompanying notes 29
<PAGE>
Schedule of Investments
California Municipal Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 97.3%
--------------------------------------------------------------------------------
California 67.6%
California State Department Water Center
Revenue Bonds, Series 1993
8.375% due 12/01/2003 $ 150 $ 168
California State General Obligation,
(FGIC Insured), Series 1997
6.600% due 02/01/2011 500 581
Capistrano Unified School District Community
Facilities District Special Tax Bond, Series 1999
5.700% due 09/01/2020 500 486
Chula Vista California Special Tax Bond, Series 2000-1
6.400% due 09/01/2018 125 128
Corona Community Facilities District Special
Tax Bond, Series 1998
5.875% due 09/01/2023 150 147
East Bay Municipal Utility District Wastewater Treatment
System Revenue Bonds, (AMBAC Insured), Series 1993
6.420% due 06/01/2013 400 415
Foothill Eastern Transportation Corridor Agency Toll
Road Revenue Bonds, (MBIA-IBC Insured), Series 1999
0.000% due 01/15/2027 500 298
Los Angeles County Transportation Commission
Certificates of Partnership, Series 1992
6.250% due 07/01/2004 500 525
Los Angeles Department of Water & Power Waterworks
Revenue Bonds, (MBIA Insured), Series 1994
6.375% due 07/01/2034 350 380
Los Angeles, California Wastewater System
Revenue Bonds, (MBIA Insured), Series 1998-C
4.000% due 06/01/2015 400 348
Metropolitan Water District Southern California
Revenue Bonds, Series 1993
6.253% due 10/30/2020 200 197
Orange County California Revenue Bonds, Series 1995
6.000% due 06/01/2010 750 835
Orange County Local Transportation Authority Sales Tax
Revenue Bonds, (AMBAC-TCRS Insured), Series 1992
6.200% due 02/14/2011 750 840
Pioneers Memorial Healthcare District
General Obligation, Series 1998
5.125% due 10/01/2024 400 380
San Jose Redevelopment Agency Tax
Allocation, (MBIA Insured), Series 1993
6.000% due 08/01/2010 300 335
Southern California Public Power Authority
Revenue Bonds, (FSA-CR Insured), Series 1993
5.000% due 07/01/2015 110 107
------
6,170
======
Puerto Rico 25.3%
Puerto Rico Aqueduct & Sewer Authority Revenue
Bonds, (FSA Surety Bond Insured), Series 1985-A
9.000% due 07/01/2009 2,000 2,306
--------
Virgin Islands 4.4%
Virgin Islands Public Finance Authority Revenue Bonds,
Series 1998-C 5.500% due 10/01/2008 405 407
--------
Total Municipal Bonds & Notes 8,883
(Cost $8,665) ========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 1.2%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (b)
3.625% due 07/15/2002 108 108
--------
Total U.S. Treasury Obligations 108
(Cost $107) ========
Total Investments (a) 98.5% $ 8,991
(Cost $8,772)
Other Assets and Liabilities (Net) 1.5% 137
--------
Net Assets 100.0% $ 9,128
========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 219
Aggregate gross unrealized depreciation
for all investments in which there was an excess
of tax cost over value. 0
--------
Unrealized appreciation-net $ 219
========
(b) Principal amount of the security is adjusted for
inflation.
30 See accompanying notes
<PAGE>
Schedule of Investments
Convertible Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 71.9%
--------------------------------------------------------------------------------
Banking & Finance 5.8%
ACOM Co. Ltd.
0.000% due 03/31/2002 $ 50,000 $ 501
Exchangeable Certificates Corp.
0.250% due 04/12/2005 5,950 5,783
Hellenic Finance
2.000% due 07/15/2003 500 443
JMH Finance Ltd.
4.750% due 09/06/2007 1,200 1,237
Merrill Lynch & Co.
1.000% due 07/20/2006 1,775 1,356
-------
9,320
=======
Energy 1.8%
Diamond Offshore Drilling
3.750% due 02/15/2007 2,560 2,902
-------
Health Care 16.4%
Alza Corp.
0.000% due 07/28/2020 7,750 5,406
Athena Neurosciences, Inc.
4.750% due 11/15/2004 750 1,150
Centocor, Inc.
4.750% due 02/15/2005 2,100 2,698
Ivax Corp.
5.500% due 05/15/2007 2,300 3,355
Mercury Interactive Corp.
4.750% due 07/01/2007 1,800 2,786
Millennium Pharmaceuticals
5.500% due 01/15/2007 1,500 2,837
Roche Holdings, Inc.
0.000% due 01/19/2015 2,950 2,817
Vertex Pharmaceuticals
5.000% due 03/14/2007 3,000 3,495
Wellpoint Health Network, Inc.
0.000% due 07/02/2019 2,000 1,573
-------
26,117
=======
Industrial 5.0%
Celestica, Inc.
0.000% due 08/01/2020 3,500 1,750
Dupont Photomasks, Inc.
0.000% due 07/24/2004 800 774
Kohls Corp.
0.000% due 06/12/2020 2,500 1,469
Solectron Corp.
0.000% due 01/27/2019 2,000 1,475
Young & Rubicam, Inc.
3.000% due 01/15/2005 2,500 2,466
-------
7,934
=======
Technology 36.3%
Analog Devices, Inc.
4.750% due 10/01/2005 3,200 3,353
ASM Lithography Holding
4.250% due 11/30/2004 2,000 2,250
2.500% due 04/09/2005 1,500 1,160
AT&T - Liberty Media Group
4.000% due 11/15/2029 3,200 3,004
Clear Channel Communications, Inc.
1.500% due 12/01/2002 650 604
2.630% due 04/01/2003 3,300 3,622
Comverse Technology, Inc.
4.500% due 07/01/2005 1,040 5,305
Exodus Communications, Inc.
4.750% due 07/15/2008 2,000 3,075
Hewlett Packard Co.
0.000% due 10/14/2017 4,450 3,271
I2 Technologies, Inc.
5.250% due 12/15/2006 2,500 6,653
Juniper Networks, Inc.
4.750% due 03/15/2007 2,000 3,082
Lattice Semiconductor Co.
4.750% due 11/01/2006 1,600 2,318
LSI Logic Corp.
4.250% due 03/15/2004 500 990
Nextel Communications, Inc.
5.250% due 01/15/2010 3,000 2,828
Sanmina Corp.
4.250% due 05/01/2004 700 1,579
0.000% due 09/12/2020 7,000 3,103
SCI Systems, Inc.
3.000% due 03/15/2007 2,750 2,753
Stmicroelectron
0.000% due 09/22/2009 1,900 2,522
U.S. Cellular Corp.
0.000% due 06/15/2015 3,600 2,466
Veritas Software Corp.
1.860% due 08/13/2006 1,000 4,110
--------
58,048
========
Utilities 6.6%
AES Corp.
4.500% due 08/15/2005 750 1,932
AES Trust VII
6.000% due 01/01/2000 24 1,995
Alliant Energy Resources, Inc.
4.910% due 01/01/2000 33 1,982
Kerr-McGee Corp.
5.250% due 02/15/2010 1,000 1,247
Nabors Industries, Inc.
0.000% due 06/20/2020 4,900 3,418
--------
10,574
--------
Total Convertible Bonds & Notes 114,895
(Cost $99,333) ========
--------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK 23.3%
--------------------------------------------------------------------------------
Shares
Banking & Finance 3.2%
Metlife Capital Trust I Cvt. Pfd.
5.680% due 01/01/2000 61,000 5,078
--------
Energy 6.4%
Apache Corp. Cvt. Pfd.
6.500% due 05/15/2002 17,000 872
Coastal Corp. Cvt. Pfd.
6.625% due 08/16/2002 10,000 416
Kerr-McGee Corp. Cvt. Pfd.
5.500% due 08/01/2004 108,900 5,918
Valero Energy Cvt. Pfd.
7.750% due 08/18/2003 100,500 2,952
--------
10,158
========
Industrial 5.2%
Decs Trust VI Cvt. Pfd.
6.250% due 11/15/2002 40,000 1,800
Qwest Trends Trust Cvt. Pfd.
2.400% due 01/01/2000 25,000 1,969
Sealed Air Corp. Cvt. Pfd.
4.000% due 04/01/2018 2,000 90
Times Mirror Co. Cvt. Pfd.
4.250% due 03/15/2001 4,000 339
Tribune Co. Cvt. Pfd.
2.000% due 05/15/2029 35,100 4,168
--------
8,366
Utilities 8.5% ========
Calpine Capital Trust III Cvt. Pfd.
5.000% due 01/01/2000 70,000 4,489
Enron Corp. Cvt. Pfd.
7.000% due 07/31/2002 108,000 3,841
MediaOne Group, Inc. Cvt. Pfd.
6.250% due 08/15/2001 9,500 791
SEI Trust I Cvt. Pfd.
6.250% due 10/01/2030 50,000 3,294
Weatherford International, Inc. Cvt Pfd.
5.000% due 11/01/2027 25,000 1,191
--------
13,606
--------
Total Convertible Preferred Stock 37,208
(Cost $30,604) ========
See accompanying notes 31
<PAGE>
Schedule of Investments (Cont.)
Convertible Fund
September 30, 2000 (Unaudited)
Value
Shares (000s)
--------------------------------------------------------------------------------
COMMON STOCKS 5.0%
--------------------------------------------------------------------------------
Communications 0.0%
Leap Wireless International, Inc. 344 $ 22
Consumer Discretionary 1.2%
Time Warner, Inc. 24,792 1,940
Technology 3.8%
EMC Corp. 60,668 6,014
--------
Total Common Stocks 7,976
(Cost $5,207) ========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 2.9%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 2.5%
Federal Home Loan Mortgage Corp.
6.440% due 10/12/2000 $ 2,600 2,595
General Electric Capital Corp.
6.470% due 12/20/2000 700 690
Ingersoll-Rand Co.
6.840% due 10/02/2000 700 700
--------
3,985
Repurchase Agreements 0.4% ========
State Street Bank
5.850% due 10/02/2000 576 576
(Dated 9/29/2000. Collateralized
by Federal Home Loan Bank
7.090% due 09/19/2003 valued at $590.
Repurchase proceeds are $576.)
--------
Total Short-Term Instruments 4,561
(Cost $4,561) ========
Total Investments (a) 103.1% $ 164,640
(Cost $139,705)
Other Assets and Liabilities (Net) (3.1%) (4,967)
----------
Net Assets 100.0% $ 159,673
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 29,506
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (4,571)
----------
Unrealized appreciation-net $ 24,935
==========
32 See accompanying notes
<PAGE>
Schedule of Investments
Emerging Markets Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ARGENTINA 3.5%
--------------------------------------------------------------------------------
Republic of Argentina
7.375% due 03/31/2005 (d) $ 540 $ 498
11.375% due 01/30/2017 (f) 1,100 985
6.875% due 03/31/2023 500 343
-------------
Total Argentina 1,826
(Cost $1,818) =============
--------------------------------------------------------------------------------
BERMUDA 0.4%
--------------------------------------------------------------------------------
IMEXA Export Trust
10.125% due 05/31/2003 $ 214 213
-------------
Total Bermuda 213
(Cost $210) =============
--------------------------------------------------------------------------------
BRAZIL 29.9%
--------------------------------------------------------------------------------
Republic of Brazil
7.375% due 04/15/2006 (d)(f) $ 6,354 5,996
14.500% due 10/15/2009 (f) 2,300 2,536
7.437% due 04/15/2012 500 385
8.000% due 04/15/2014 (f) 868 669
6.937% due 04/15/2024 400 319
12.250% due 03/06/2030 (f) 4,950 4,505
11.000% due 08/17/2040 1,297 1,036
-------------
Total Brazil 15,446
(Cost $15,215) =============
--------------------------------------------------------------------------------
BULGARIA 6.0%
--------------------------------------------------------------------------------
Republic of Bulgaria
7.062% due 07/28/2011 $ 1,250 947
7.062% due 07/28/2024 (d) 2,810 2,150
-------------
Total Bulgaria 3,097
(Cost $3,185) =============
--------------------------------------------------------------------------------
COLOMBIA 1.0%
--------------------------------------------------------------------------------
Republic of Colombia
7.625% due 02/15/2007 $ 420 322
8.700% due 02/15/2016 130 89
11.750% due 02/25/2020 100 85
-------------
Total Colombia 496
(Cost $504) =============
--------------------------------------------------------------------------------
JORDAN 2.5%
--------------------------------------------------------------------------------
Kingdom of Jordan
6.000% due 12/23/2023 $ 1,700 1,270
-------------
Total Jordan 1,270
(Cost $1,190) =============
--------------------------------------------------------------------------------
MALAYSIA 5.0%
--------------------------------------------------------------------------------
Republic of Malaysia
6.875% due 05/15/2001 $ 1,500 1,500
8.750% due 06/01/2009 1,000 1,052
-------------
Total Malaysia 2,552
(Cost $2,541) =============
--------------------------------------------------------------------------------
MEXICO 23.4%
--------------------------------------------------------------------------------
Nacional Financiera
8.565% due 05/08/2003 $ 1,500 1,523
United Mexican States
8.500% due 02/01/2006 1,500 1,501
10.375% due 02/17/2009 650 709
9.875% due 02/01/2010 1,250 1,332
6.250% due 12/31/2019 2,900 2,607
7.312% due 12/31/2019 1,650 1,724
7.925% due 12/31/2019 525 549
11.500% due 05/15/2026 1,725 2,098
United Mexican States Recovery Rights
0.000% due 06/30/2003 3,980 0
-------------
Total Mexico 12,043
(Cost $11,588) =============
--------------------------------------------------------------------------------
MOROCCO 1.2%
--------------------------------------------------------------------------------
Republic of Morocco
7.750% due 01/01/2009 $ 699 $ 619
-------------
Total Morocco 619
(Cost $626) =============
--------------------------------------------------------------------------------
NIGERIA 0.8%
--------------------------------------------------------------------------------
Central Bank of Nigeria
6.250% due 11/15/2020 $ 750 433
Central Bank of Nigeria - Warrant
0.000% due 11/15/2020 1 0
-------------
Total Nigeria 433
(Cost $421) =============
--------------------------------------------------------------------------------
PANAMA 4.2%
--------------------------------------------------------------------------------
Republic of Panama
7.930% due 05/10/2002 $ 92 91
4.500% due 07/17/2014 1,750 1,414
8.875% due 09/30/2027 335 281
9.375% due 04/01/2029 400 385
-------------
Total Panama 2,171
(Cost $2,186) =============
--------------------------------------------------------------------------------
PERU 3.9%
--------------------------------------------------------------------------------
Republic of Peru
3.750% due 03/07/2017 $ 2,100 1,174
4.500% due 03/07/2017 1,310 817
-------------
Total Peru 1,991
(Cost $2,105) =============
--------------------------------------------------------------------------------
PHILIPPINES 1.2%
--------------------------------------------------------------------------------
Republic of Philippines
7.937% due 12/01/2007 $ 66 53
9.875% due 01/15/2019 275 225
9.875% due 01/15/2019 (f) 410 337
-------------
Total Philippines 615
(Cost $642) =============
--------------------------------------------------------------------------------
POLAND 2.9%
--------------------------------------------------------------------------------
Republic of Poland
6.000% due 10/27/2014 $ 615 566
3.500% due 10/27/2024 1,475 929
-------------
Total Poland 1,495
(Cost $1,447) =============
--------------------------------------------------------------------------------
RUSSIA 7.8%
--------------------------------------------------------------------------------
Russian Federation
9.250% due 11/27/2001 100 97
8.750% due 07/24/2005 700 555
6.057% due 12/15/2015 505 175
11.000% due 07/24/2018 650 475
0.000% due 12/15/2020 3,300 1,122
12.750% due 06/24/2028 1,850 1,615
-------------
Total Russia 4,039
(Cost $3,319) =============
--------------------------------------------------------------------------------
SOUTH KOREA 4.8%
--------------------------------------------------------------------------------
Hanvit Bank
11.750% due 03/01/2010 $ 200 199
12.750% due 03/01/2010 250 255
Korea Development Bank
9.450% due 03/15/2001 500 506
7.125% due 09/17/2001 500 499
Republic of Korea
8.875% due 04/15/2008 975 1,024
-------------
Total South Korea 2,483
(Cost $2,436) =============
See accompanying notes 33
<PAGE>
Schedule of Investments
Emerging Markets Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
TURKEY 0.6%
--------------------------------------------------------------------------------
Export Credit Bank of Turkey
11.500% due 02/25/2005 $ 100 $ 99
Republic of Turkey
11.875% due 11/05/2004 215 224
-------------
Total Turkey 323
(Cost $321) =============
--------------------------------------------------------------------------------
VENEZUELA 6.2%
--------------------------------------------------------------------------------
Republic of Venezuela
7.875% due 12/18/2007 (d) $ 1,607 1,381
6.750% due 03/31/2020 1,100 825
9.250% due 09/15/2027 1,500 1,014
Republic of Venezuela - Warrant
0.000% due 04/15/2020 6 0
-------------
Total Venezuela 3,220
(Cost $3,133) =============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 7.7%
--------------------------------------------------------------------------------
Commercial Paper 5.6%
Alcoa, Inc.
6.450% due 12/06/2000 $ 200 198
General Electric Capital Corp.
6.470% due 12/13/2000-12/20/2000 (e) 1,400 888
Ingersoll-Rand Co.
6.740% due 11/15/2000 400 397
International Paper Co.
6.700% due 10/05/2000 400 400
National Power Corp.
7.625% due 11/15/2000 1,000 1,000
-------------
2,883
=============
Repurchase Agreement 2.1%
State Street Bank
5.850% due 10/02/2000 1,071 1,071
(Dated 9/29/2000.
Collateralized by Federal
National Mortgage Association
7.050% due 02/28/2002 valued at
$1,097 Repurchase proceeds are
$1,072.)
-------------
Total Short-Term Instruments 3,954
(Cost $3,950) =============
Total Investments (a) 113.0% $ 58,286
(Cost $56,836)
Other Assets and Liabilities (Net)(13.0%) (6,707)
-------------
Net Assets 100.0% $ 51,579
=============
--------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 2,065
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (615)
-------------
Unrealized appreciation-net $ 1,450
=============
(b) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Buy CP 67,438 12/2000 $ (5)
Buy EC 186 11/2000 (34)
Buy 496 10/2000 (13)
Sell 93 11/2000 18
Buy HF 165,000 11/2000 (33)
Buy PZ 750 11/2000 2
Buy 2,000 12/2000 (7)
Buy 1,000 01/2001 (8)
-------------
$ (80)
=============
(c) Principal amount denoted in indicated currency:
CP - Chilean Peso
EC - European Currency Unit
HF - Hugarian Forint
PZ - Polish Zloty
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(f) Subject to financing transaction.
34 See accompanying notes
<PAGE>
Schedule of Investments
Foreign Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ARGENTINA (f)(g) 0.3%
--------------------------------------------------------------------------------
Republic of Argentina
5.000% due 12/20/2002 JY 219,000 $ 2,041
-------------
Total Argentina 2,041
(Cost $1,741) =============
--------------------------------------------------------------------------------
ARUBA (f)(g) 0.3%
--------------------------------------------------------------------------------
YTP Finance (Aruba)
3.500% due 07/18/2012 JY 200,000 1,901
-------------
Total Aruba 1,901
(Cost $1,899) =============
--------------------------------------------------------------------------------
AUSTRALIA (f)(g) 3.7%
--------------------------------------------------------------------------------
Bankers Trust Corp.
6.970% due 06/02/2008 (d) $ 4,800 4,672
General Electric Capital Funding
6.750% due 09/15/2007 A$ 750 410
General Motors Acceptance Corp.
5.020% due 03/25/2002 EC 10,300 9,080
Registered Australian Mortgage
Securities
4.770% due 09/26/1932 (d) 4,761 4,203
Torrens Trust
6.880% due 07/15/2031 (d) $ 3,211 3,211
-------------
Total Australia 21,576
(Cost $22,819) =============
--------------------------------------------------------------------------------
AUSTRIA (f)(g) 0.2%
--------------------------------------------------------------------------------
Republic of Austria
5.500% due 01/15/2010 EC 1,200 1,052
-------------
Total Austria 1,052
(Cost $1,041) =============
--------------------------------------------------------------------------------
BELGIUM (f)(g) 0.7%
--------------------------------------------------------------------------------
Kingdom of Belgium
9.000% due 03/28/2003 EC 5 5
6.750% due 11/21/2004 (d) BF 183,200 4,215
-------------
Total Belgium 4,220
(Cost $6,060) =============
--------------------------------------------------------------------------------
BRAZIL (f)(g) 0.2%
--------------------------------------------------------------------------------
Republic of Brazil
7.880% due 01/01/2001 (d) $ 148 148
7.380% due 04/15/2006 (d) 10 9
11.250% due 07/26/2007 1,000 1,004
14.500% due 10/15/2009 200 221
-------------
Total Brazil 1,382
(Cost $1,325) =============
--------------------------------------------------------------------------------
BULGARIA (f)(g) 0.8%
--------------------------------------------------------------------------------
Republic of Bulgaria
7.750% due 07/28/2011 (d) $ 2,670 2,023
2.750% due 07/28/2012 (d) 1,300 947
7.750% due 07/28/2024 (d) 2,600 1,989
-------------
Total Bulgaria 4,959
(Cost $4,909) =============
--------------------------------------------------------------------------------
CANADA (f)(g) 0.5%
--------------------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 3,440 2,292
Commonwealth of Canada
5.250% due 09/01/2003 640 419
-------------
Total Canada 2,711
(Cost $2,813) =============
--------------------------------------------------------------------------------
CAYMAN ISLANDS (f)(g) 2.9%
--------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C.
5.300% due 09/21/2000 JY 200,000 $ 1,852
Capital Credit Card Corp.
5.630% due 10/15/2004 DM 2,800 1,266
Daiwa International Finance Cayman
5.000% due 12/28/2004 JY 300,000 2,806
Fuji Finance (Cayman)
7.290% due 04/15/2010 (d) $ 1,900 1,894
MBNA American Euro
4.980% due 05/19/2004 (d) EC 8,100 7,465
Sakura Capital Funding
7.560% due 09/29/2049 (d) $ 1,600 1,552
-------------
Total Cayman Islands 16,835
(Cost $18,212) =============
--------------------------------------------------------------------------------
COLOMBIA (f)(g) 0.2%
--------------------------------------------------------------------------------
Republic of Colombia
3.000% due 12/22/2000 JY 150,000 1,373
-------------
Total Colombia 1,373
(Cost $1,151) =============
--------------------------------------------------------------------------------
DENMARK (f)(g) 2.8%
--------------------------------------------------------------------------------
Nykredit
5.000% due 10/01/2029 DK 58,900 6,054
Realkredit Danmark Mortgage
5.000% due 10/01/2029 25,627 2,633
6.000% due 10/01/2029 24,500 2,710
Unikredit Realkredit
6.000% due 07/01/2029 20,700 2,291
5.000% due 10/01/2029 27,697 2,855
-------------
Total Denmark 16,543
(Cost $18,073) =============
--------------------------------------------------------------------------------
FRANCE (f)(g) 8.3%
--------------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 835 767
France Government Bond (OAT)
4.000% due 04/25/2009 8,250 6,622
5.500% due 04/25/2010 13,960 12,418
Republic of France
3.000% due 07/25/2009 (h)(i) 3,105 2,586
4.000% due 10/25/2009 32,950 26,255
-------------
Total France 48,648
(Cost $53,005) =============
--------------------------------------------------------------------------------
GERMANY (f)(g) 8.8%
--------------------------------------------------------------------------------
Barclays Capital Corp.
3.250% due 12/20/2000 DM 2,000 902
Depfa Pfandbriefbank
4.750% due 07/15/2008 EC 3,590 2,976
5.750% due 03/04/2009 (i) DM 3,560 3,133
Republic of Germany
6.000% due 07/04/2007 EC 22,450 20,661
5.250% due 01/04/2008 26,450 23,360
4.500% due 07/04/2009 20 17
6.250% due 01/04/2024 680 648
-------------
Total Germany 51,697
(Cost $52,483) =============
--------------------------------------------------------------------------------
GREECE (f)(g) 3.8%
--------------------------------------------------------------------------------
CSFP Credit
7.420% due 11/19/2004 (d)(k) $ 19,000 19,171
Hellenic Finance
2.000% due 07/15/2003 EC 1,600 1,417
Hellenic Republic
7.850% due 05/19/2003 (d) GD 100,000 270
7.890% due 06/17/2003 (d) 107,400 290
10.240% due 10/23/2003 (d) 376,000 1,013
-------------
Total Greece 22,161
(Cost $22,932) =============
See accompanying notes 35
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ITALY (f)(g) 11.7%
--------------------------------------------------------------------------------
Finmeccanica SpA
2.000% due 06/08/2005 EC 544 $ 473
First Italian Auto Transaction
4.820% due 07/01/2008 (d) 4,800 4,241
Island Finance
5.490% due 03/30/2015 (d) 2,819 2,492
Republic of Italy
4.500% due 05/01/2009 31,710 26,043
4.250% due 11/01/2009 5,560 4,466
5.500% due 11/01/2010 13,320 11,733
6.500% due 11/01/2027 11,420 10,772
5.250% due 11/01/2029 10,520 8,417
-------------
Total Italy 68,637
(Cost $71,444) =============
--------------------------------------------------------------------------------
JAPAN (f)(g) 2.5%
--------------------------------------------------------------------------------
Government of Japan Ten-Year Bond
0.900% due 12/22/2008 JY 907,400 7,751
International Credit Receivable Japan
0.750% due 08/25/2005 50,000 463
International Credit Receivable
Japan 1 Tranche A
0.720% due 11/22/2004 (d) 56,460 523
0.650% due 08/25/2005 230,000 2,130
International Credit Receivable
Japan 1 Tranche B
0.820% due 11/22/2004 (d) 200,000 1,852
SHL Corp. Ltd.
0.530% due 12/25/2024 (d) 121,113 1,122
0.830% due 12/25/2024 (d) 76,000 704
-------------
Total Japan 14,545
(Cost $14,662) =============
--------------------------------------------------------------------------------
MEXICO (f)(g) 1.3%
--------------------------------------------------------------------------------
Petroleos Mexicanos
8.850% due 09/15/2007 $ 1,040 1,032
9.380% due 12/02/2008 1,290 1,329
United Mexican States
8.750% due 05/30/2002 BP 270 404
10.380% due 01/29/2003 DM 2,575 1,248
4.000% due 03/11/2004 JY 130,000 1,205
9.880% due 02/01/2010 $ 2,250 2,397
-------------
Total Mexico 7,615
(Cost $7,849) =============
--------------------------------------------------------------------------------
NETHERLANDS (f)(g) 1.1%
--------------------------------------------------------------------------------
Mannesmann Finance BV
4.750% due 05/27/2009 EC 3,700 2,903
Tecnost International NV
6.670% due 06/23/2004 (d) 1,430 1,275
Telekomunikacja Polska SA
7.750% due 12/10/2008 $ 2,120 2,045
-------------
Total Netherlands 6,223
(Cost $6,856) =============
--------------------------------------------------------------------------------
NEW ZEALAND (f)(g) 1.1%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 (i) N$ 15,300 6,530
-------------
Total New Zealand 6,530
(Cost $8,639) =============
--------------------------------------------------------------------------------
PANAMA (f)(g) 0.2%
--------------------------------------------------------------------------------
Republic of Panama
8.880% due 09/30/2027 $ 1,100 921
-------------
Total Panama 921
(Cost $976) =============
--------------------------------------------------------------------------------
PERU (f)(g) 0.3%
--------------------------------------------------------------------------------
Republic of Peru
4.500% due 03/07/2017 (d) $ 2,700 $ 1,691
-------------
Total Peru 1,691
(Cost $1,841) =============
--------------------------------------------------------------------------------
PHILIPPINES (f)(g) 0.6%
--------------------------------------------------------------------------------
Republic of Philippines
8.000% due 09/17/2004 EC 2,420 2,157
7.940% due 12/01/2009 (d) $ 1,300 1,131
-------------
Total Philippines 3,288
(Cost $3,860) =============
--------------------------------------------------------------------------------
POLAND (f)(g) 0.0%
--------------------------------------------------------------------------------
Republic of Poland
3.500% due 10/27/2024 (d) $ 105 66
-------------
Total Poland 66
(Cost $65) =============
--------------------------------------------------------------------------------
PORTUGAL (f)(g) 1.6%
--------------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 EC 11,770 9,261
-------------
Total Portugal 9,261
(Cost $11,042) =============
--------------------------------------------------------------------------------
SOUTH KOREA (f)(g) 1.7%
--------------------------------------------------------------------------------
Export-Import Bank Korea
7.250% due 06/25/2001 $ 1,945 1,937
6.500% due 02/10/2002 800 789
Korea Development Bank
4.800% due 05/14/2001 (d) DM 7,310 3,270
2.770% due 05/21/2001 JY 400,000 3,778
1.880% due 02/13/2002 13,000 120
-------------
Total South Korea 9,894
(Cost $10,158) =============
--------------------------------------------------------------------------------
SPAIN (f)(g) 3.2%
--------------------------------------------------------------------------------
Kingdom of Spain
5.150% due 07/30/2009 (i) EC 21,730 18,714
-------------
Total Spain 18,714
(Cost $22,578) =============
--------------------------------------------------------------------------------
SUPRANATIONAL (f)(g) 2.2%
--------------------------------------------------------------------------------
Eurofima
4.750% due 07/07/2004 SK 60,900 6,149
5.000% due 10/01/2029 32,859 3,381
European Investment Bank
5.380% due 08/28/2007 NK 2,400 244
International Bank for Reconstruction &
Development
7.250% due 04/09/2001 N$ 6,400 2,613
World Bank
10.250% due 04/11/2002 PP 31,000 624
-------------
Total Supranational 13,011
(Cost $15,979) =============
--------------------------------------------------------------------------------
SWEDEN (f)(g) 0.5%
--------------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 11,200 1,230
0.000% due 04/01/2004 19,097 1,845
-------------
Total Sweden 3,075
(Cost $3,575) =============
--------------------------------------------------------------------------------
TUNISIA (f)(g) 0.2%
--------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 1,500 1,356
-------------
Total Tunisia 1,356
(Cost $1,525) =============
36 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
UNITED KINGDOM (f)(g) 6.4%
--------------------------------------------------------------------------------
Abbey National Treasury Service
7.630% due 12/30/2002 BP 1,770 $ 2,678
5.250% due 01/21/2004 2,670 3,811
Bank of Scotland Capital Fund
8.120% due 03/31/2049 850 1,254
Halifax Group Euro Finance
7.630% due 12/29/2049 (d) EC 1,040 918
Halifax Group Sterling Finance
7.880% due 12/29/2049 (d) BP 3,960 6,283
HAUS Ltd.
5.010% due 12/10/2037 (d) EC 8,500 7,505
International Credit Receivable
5.390% due 03/15/2010 JY 1,800 1,589
Lloyds TSB Capital
7.380% due 02/07/2049 500 445
SCCR Series 1 Ltd.
5.020% due 12/15/2031 2,041 1,806
Polestar Corp. PLC
10.500% due 05/30/2008 BP 170 188
United Kingdom Gilt
5.750% due 12/07/2009 7,150 10,980
-------------
Total United Kingdom 37,457
(Cost $39,831) =============
--------------------------------------------------------------------------------
UNITED STATES (f)(g) 97.2%
--------------------------------------------------------------------------------
Asset-Backed Securities 6.7%
AES Corp.
8.690% due 05/19/2001 $ 1,500 1,500
AFC Home Equity Loan Trust
6.840% due 03/25/2027 (d) 805 806
Americredit Automobile Receivable Trust
5.880% due 12/05/2003 216 215
Amresco Residential Securities Mortgage
Loan Trust
7.090% due 06/25/2029 (d) 5,354 5,373
Banc One Auto Grantor Trust
6.270% due 11/20/2003 272 271
6.290% due 07/20/2004 466 463
Bayview Financial Acquisition Trust
7.170% due 02/25/2029 (d) 352 352
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 141 141
Conseco Finance
6.990% due 10/15/2031 (d) 1,278 1,281
Contimortgage Home Equity Loan Trust
6.790% due 10/15/2012 (d) 212 212
6.010% due 12/25/2013 3,780 3,761
EQCC Home Equity Loan Trust
5.770% due 03/20/2029 1,664 1,655
6.870% due 03/20/2029 437 437
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 1,688 1,674
Providian Gateway Master Trust
6.840% due 03/15/2007 5,800 5,800
Providian Home Equity Loan Trust
6.910% due 06/25/2025 (d) 4,043 4,047
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 1,630 1,619
Residential Funding Mortgage Securities, Inc.
10.930% due 06/01/2001 (d) 7,100 7,100
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 724 720
Voicestream
9.660% due 02/15/2009 2,000 1,995
-------------
39,422
=============
Corporate Bonds & Notes 19.6%
Abbey National Capital Trust I
8.960% due 12/29/2049 2,000 2,011
AESOP Funding II LLC
6.220% due 10/20/2001 567 567
Allegheny Energy Supply
7.510% due 05/01/2002 (d) 2,900 2,900
Alpha Wind
11.320% due 05/23/2001 (d) 2,000 2,000
Associates Corp. of North America
6.780% due 08/27/2001 (d) 5,000 5,013
AT&T Capital Corp.
7.010% due 04/23/2002 (d) 675 677
Bancomext Trust Division
8.000% due 08/05/2003 390 390
Bear Stearns Co., Inc.
7.130% due 03/28/2003 (d) 2,670 2,670
Beckman Instruments, Inc.
7.100% due 03/04/2003 344 334
Capital One Bank
7.090% due 07/28/2003 (d) 12,000 12,045
CMS Energy Corp.
8.130% due 05/15/2002 546 542
DaimlerChrysler Holdings
6.960% due 08/23/2002 (d) 3,900 3,914
DQE Capital Corp.
7.230% due 01/15/2002 (d) 800 800
Finova Capital Corp.
6.910% due 06/18/2003 (d) 5,700 4,988
Ford Motor Credit Corp.
1.000% due 12/22/2003 JY 107,000 984
7.080% due 07/19/2004 (d) $ 2,800 2,803
1.200% due 02/07/2005 JY 619,000 5,641
General Motors Acceptance Corp.
7.020% due 04/05/2004 (d) $ 2,800 2,796
7.020% due 04/05/2004 (d) 16,420 16,399
6.880% due 09/09/2004 BP 4,080 6,040
1.250% due 12/20/2004 JY 208,000 1,912
Gold Eagle Capital Ltd.
12.130% due 04/15/2001 $ 2,500 2,500
Goldman Sachs Group
7.220% due 02/19/2004 (d) 1,430 1,452
Household Finance Corp.
5.130% due 06/24/2009 (i) EC 4,900 3,901
International Game Technology
7.880% due 05/15/2004 $ 1,700 1,670
J.P. Morgan & Co.
8.080% due 02/15/2012 (d) 6,780 5,865
Jones Intercable, Inc.
8.880% due 04/01/2007 427 448
KBC Bank Fund Trust IV
8.220% due 11/29/2049 EC 2,800 2,509
Lehman Brothers Holdings, Inc.
6.700% due 11/30/2006 (d) $ 848 784
MGM Grand, Inc.
6.950% due 02/01/2005 180 173
NeHi, Inc.
11.310% due 06/09/2003 (d) 2,000 2,010
Protective Life Funding Trust
7.090% due 01/17/2003 (d) 1,200 1,198
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (d)(i) 13,189 13,033
6.910% due 02/11/2003 (d) 400 400
Sprint Capital Corp.
5.880% due 05/01/2004 690 662
Texas Utilities Co.
7.590% due 09/24/2001 (d) 2,600 2,614
-------------
114,645
=============
Mortgage-Backed Securities 50.0%
Bank of America Mortgage Securities, Inc.
6.500% due 05/25/2029 299 281
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 2,407 2,387
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 2,184 2,161
6.500% due 03/25/2029 140 129
Crusade Global Trust
7.010% due 05/15/2021 (d) 14,400 14,436
See accompanying notes 37
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.
6.000% due 03/15/2008 $ 773 $ 766
8.270% due 06/01/2022 (d) 1,124 1,131
8.400% due 08/01/2022 (d) 675 693
9.050% due 06/15/2019 55 57
Federal National Mortgage Assn.
8.500% due 07/01/2021 (d) 794 820
7.420% due 11/01/2022 (d) 848 875
7.580% due 01/01/2023 (d) 1,305 1,345
8.120% due 08/01/2023 (d) 991 1,020
General Electric Capital Mortgage
Services, Inc.
6.250% due 07/25/2029 500 483
Government National Mortgage Assn.
6.000% due 04/20/1930-10/23/2030 (d)(e) 404,388 194,802
7.000% due 04/20/1930-05/20/2030 (d)(e) 8,209 4,804
7.130% due 11/20/2021 (d) 537 541
7.380% due 05/20/2022 (d) 49 50
6.750% due 07/20/2022 (d) 548 554
6.750% due 09/20/2022 (d) 360 364
7.380% due 05/20/2023 (d) 541 545
6.750% due 07/20/2023 (d) 294 297
6.750% due 07/20/2023 (d) 607 613
6.750% due 08/20/2023 (d) 272 275
6.750% due 09/20/2023 (d) 1,611 1,627
6.750% due 09/20/2023 (d) 709 716
7.130% due 10/20/2023 (d) 2,977 2,999
7.130% due 10/20/2024 (d) 240 242
7.380% due 04/20/2025 (d) 178 179
6.750% due 07/20/2025 (d) 3,990 4,029
6.750% due 09/20/2025 (d) 764 771
7.130% due 12/20/2025 (d) 292 294
6.750% due 09/20/2026 (d) 625 631
7.380% due 04/20/2027 (d) 1,518 1,529
6.500% due 10/21/2029 23,450 22,585
Independent National Mortgage Corp.
9.140% due 11/25/2024 (d) 2 2
Medallion Trust
6.960% due 07/12/2031 (d) 5,497 5,497
Morgan Stanley Mortgage Trust
8.150% due 07/20/2021 1 1
Prudential Home Mortgage Securities
6.800% due 05/25/2024 464 388
Residential Funding Mortgage
Securities, Inc.
6.500% due 06/25/2029 1,276 1,055
7.090% due 05/12/2032 (d) 4,854 14,854
Sasco Floating Rate Commercial Mortgage
7.020% due 11/20/2001 (d) 2,802 2,807
Structured Asset Mortgage Investments, Inc.
6.580% due 06/25/2029 (d) 3,038 2,912
-------------
292,547
=============
Municipal Bonds & Notes 0.1%
Massachusetts State Turnpike Authority
Metro Highway System Revenue Bonds,
(MBIA Insured), Series 1997
5.000% due 01/01/2037 1,000 873
-------------
U.S. Government Agencies 3.7%
Federal Home Loan Bank
7.270% due 02/15/2002 (d) 14,000 13,825
Federal National Mortgage Assn.
6.500% due 07/10/2002 (i) A$ 14,100 7,617
-------------
21,442
=============
U.S. Treasury Obligations 15.9%
Treasury Inflation Protected
Securities (h)
3.630% due 07/15/2002 (b) $ 87,332 87,305
U.S. Treasury Bond
6.250% due 08/15/2023 5,400 5,501
-------------
92,806
=============
Shares
Preferred Security 1.1%
DG Funding Trust
9.060% due 12/29/2049 (d) 1 6,416
-------------
Total United States 568,151
(Cost $571,535) =============
Principal
Amount
(000s)
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 2.7%
--------------------------------------------------------------------------------
Eurodollar March Futures (CME)
Strike @ 90.75 Exp. 03/19/2000 $ 200,000 $ 1
General National Mortgage Assn. (OTC)
6.000% due 10/20/2030
Strike @ 85.84 Exp. 11/13/2000 192,700 2
General National Mortgage Assn. (OTC)
6.500% due 11/23/2030
Strike @ 89.359 Exp. 11/13/2000 114,950 1
Interest Rate Swap (OTC)
Strike @ 7.500% Exp. 04/29/2002 11,200 232
U.S. Treasury Inflation Protected Securities (OTC)
3.625% due 07/15/2002
Strike @ 96.50 Exp. 01/29/2001 77,240 0
U.S. Treasury Note (OTC)
5.625% due 05/15/2008
Strike @ 105.44 Exp. 11/01/2000 102,100 7,283
U.S. Treasury Note (OTC)
6.000% due 08/15/2009
Strike @ 110.09 Exp. 11/06/2000 53,160 4,991
U.S. Treasury Note (OTC)
6.375% due 04/30/2002
Strike @ 103.125 Exp. 11/01/2000 119,800 3,187
-------------
Total Purchased Put Options 15,697
(Cost $17,168) =============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 12.7%
--------------------------------------------------------------------------------
Commercial Paper 12.7%
Abbey National PLC
6.520% due 11/03/2000 $ 1,400 1,392
American Electric Power, Inc.
6.700% due 10/18/2000-11/01/2000 (e) 5,400 4,684
AT&T Corp.
6.500% due 11/08/2000 900 894
6.470% due 11/29/2000 8,500 8,407
Bank One Corp.
6.540% due 10/31/2000 9,500 9,449
Coca-Cola Co.
6.490% due 12/13/2000 300 296
Conagra, Inc.
6.680% due 10/27/2000 1,100 1,095
6.670% due 11/15/2000-11/16/2000 (e) 6,600 5,356
DaimlerChrysler AG
6.500% due 10/25/2000 3,000 2,988
Edison Midwest
6.750% due 11/01/2000 8,900 5,668
6.730% due 11/15/2000 1,300 1,289
Gannett Co.
6.490% due 11/08/2000 2,900 2,881
General Electric Capital Corp.
6.470% due 12/13/2000 600 592
Honeywell, Inc.
6.510% due 11/21/2000 1,000 991
Houston Industries
6.820% due 10/04/2000 900 900
6.770% due 10/18/2000 5,000 4,985
Infinity Broadcasting Corp.
6.720% due 11/09/2000 2,000 1,986
6.700% due 11/16/2000 3,800 3,768
International Paper Co.
6.700% due 10/05/2000 1,100 1,099
6.720% due 10/10/2000 4,400 4,393
6.700% due 11/01/2000 4,100 4,077
Minnesota Mining & Manufacturing
6.470% due 11/28/2000 1,200 1,187
Nike, Inc.
6.490% due 10/10/2000 500 499
Swedbank, Inc.
6.570% due 10/18/2000 1,200 1,196
Texas Utilities Co.
6.700% due 10/18/2000 1,800 1,795
Yorkshire Building Society
6.470% due 12/20/2000 2,200 2,168
-------------
74,035
=============
38 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
U.S. Treasury Bills (b) 0.0%
6.470% due 02/01/2001 $ 20 $ 20
-------------
Total Short-Term Instruments 74,055
(Cost $74,062) =============
Total Investments (a) 180.7% $ 1,057,286
(Cost $1,092,108)
Written Options (c) (0.2%) (1,096)
(Premiums $855)
Other Assets and Liabilities (Net) (80.5%) (471,121)
-------------
Net Assets 100.0% $ 585,069
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 4,595
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (39,417)
-------------
Unrealized depreciation-net $ (34,822)
=============
(b) Securities with an aggregate market value of $4,109
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
EuroBond (12/2000) 275 $ 94
Government of Japan 10 Year Note (12/2000) 137 (353)
United Kingdom 10 Year Note (12/2000) 137 (121)
United Kingdom 90 Day LIBOR Futures (06/2001) 119 (5)
EuroBond 10 Year Note Options (11/2000) 228 74
-------------
$ (311)
=============
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Note December Futures
Strike @ 103.00 Exp. 11/18/2000 48 $ 7 $ 5
Call - CBOT U.S. Treasury Note December Futures
Strike @ 102.00 Exp. 11/18/2000 48 14 11
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.84 Exp. 10/10/2000 14,300,000 72 3
Call - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.90 Exp. 10/10/2000 14,300,000 62 31
Put - CME Eurodollar March Futures
Strike @ 92.75 Exp. 03/19/2001 28 19 1
Call - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 50 13 37
Put - CME Eurodollar March Futures
Strike @ 92.25 Exp. 03/19/2001 22 13 0
Put - CBOT U.S. Treasury Note December Futures
Strike @ 98.00 Exp. 11/18/2000 24 15 4
Put - CBOT U.S. Treasury Note December Futures
Strike @ 97.00 Exp.11/18/2000 24 9 2
Call - TSE Government of Japan December Futures
Strike @ 134.00 Exp. 11/30/2000 18 34 37
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.81 Exp.12/21/2000 16,200,000 58 35
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.85 Exp. 10/24/2000 7,200,000 35 18
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.500% Exp. 02/23/2001 7,900,000 41 33
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.85 Exp. 10/24/2000 21,600,000 100 55
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 7.500% Exp. 04/29/2002 16,000,000 363 824
----------------------
$ 855 $ 1,096
======================
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Securities are grouped together by coupon or range of coupons and represent
a range of maturities.
(f) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Buy AP 730 02/2001 $ 5
Buy A$ 4,654 10/2000 (203)
Sell 1,560 10/2000 53
Sell 8,245 11/2000 10
Buy 3,283 11/2000 2
Buy BR 1,339 01/2001 (5)
Buy 1,057 03/2001 8
Sell C$ 5,007 10/2000 47
Buy 1,200 10/2000 (7)
Sell SF 20,620 10/2000 (179)
Buy 10,050 10/2000 11
Sell 10,050 11/2000 (8)
Buy CL 349,600 10/2000 (29)
Buy 117,900 03/2001 0
Sell DK 130,823 10/2000 182
Buy 46,548 10/2000 (2)
Sell 46,548 11/2000 3
Sell EC 2,810 01/2001 201
Sell 101,808 10/2000 1,888
Buy 797,671 10/2000 (254)
Sell 12,504 11/2000 (74)
Sell BP 17,042 10/2000 (339)
Buy GD 2,550,004 01/2001 (179)
Sell 719,346 12/2000 (4)
Sell H$ 48,140 10/2000 (33)
Buy 48,140 10/2000 (5)
Sell 223,800 08/2001 103
Buy 111,900 08/2001 (14)
Buy HF 1,248,000 01/2001 (686)
Sell 1,248,000 01/2001 313
Buy 341,600 02/2001 (49)
Buy IR 8,560,000 10/2000 66
Buy JY 2,136,556 10/2000 (205)
Sell 4,133,801 10/2000 417
Sell 1,036,463 11/2000 5
Buy KW 1,262,100 10/2000 5
Buy MP 6,880 10/2000 34
Buy 6,715 01/2001 15
Sell 6,880 10/2000 (20)
See accompanying notes 39
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
September 30, 2000 (Unaudited)
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell NK 4,160 10/2000 $ (12)
Sell N$ 85,230 10/2000 2,538
Buy 64,271 10/2000 (1,014)
Sell 3,866 11/2000 24
Buy PN 3,880 02/2001 (5)
Buy 908 03/2001 3
Buy PP 33,140 03/2001 12
Buy PZ 14,414 01/2001 (171)
Buy 8,090 02/2001 (30)
Buy 26,046 03/2001 (87)
Sell 13,704 01/2001 (56)
Sell 8,090 02/2001 (30)
Sell 3,640 03/2001 (55)
Buy 25,080 10/2000 (186)
Sell SK 33,780 10/2000 66
Buy TB 28,140 10/2000 (40)
Buy TD 21,403 10/2000 (14)
Buy VB 500,950 10/2000 35
Buy 144,970 12/2000 4
Buy SR 7,235 03/2001 12
Buy CP 1,365,400 02/2001 0
Buy TL 882,000,000 02/2001 0
-------------
$ 2,067
=============
(g) Principal amount denoted in indicated currency:
AP - Argentine Peso
A$ - Australian Dollar
BP - British Pound
BR - Brazilian Real
CL - Chilean Peso
CP - Colombian Peso
C$ - Canadian Dollar
DK - Danish Krone
EC - Euro
GD - Greek Drachma
HF - Hungarian Forint
H$ - Hong Kong Dollar
IR - Indonesian Rupiah
JY - Japanese Yen
MP - Mexican Peso
N$ - New Zealand Dollar
NK - Norwegian Kron
PN - Peruvian New Sol
PP - Philippines Peso
PZ - Polish Zloty
KW - South Korean Won
SF - Swiss Franc
SK - Swedish Krona
SR - South Africa Rand
TD - Taiwan Dollar
TB - Thai Baht
TL - Turkish Lira
VB - Venezuelan Bolivar
(h) Principal amount of the security is adjusted for inflation.
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
(i) Subject to financing transaction.
(j) Swap agreements outstanding at September 30, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive fixed rate equal to 6.949% and
pay floating rate based on 6-month BP-LIBOR.
Broker: Merrill Lynch
Exp. 08/06/2003 BP 4,500 $ 107
Receive floating rate based on 6-month Australian Bank Bill and
pay a fixed rate equal to 6.667%.
Broker: Morgan Stanley
Exp. 09/20/2005 A$ 31,500 6
Receive floating rate based on 3-month Canadian Bank Bill and
pay a fixed rate equal to 6.346%.
Broker: Goldman Sachs
Exp. 07/19/2005 C$ 22,500 (187)
Receive floating rate based on 3-month Canadian Bank Bill and
pay fixed rate equal to 6.248%.
Broker: Royal Bank of Canada
Exp. 08/02/2005 60,600 (356)
Receive floating rate based on 3-month Canadian Bank Bill and
pay fixed rate equal to 6.515%.
Broker: J.P. Morgan
Exp. 05/10/2002 24,330 (160)
Receive floating rate based on 6-month JY-LIBOR and
pay fixed rate equal to 2.020%.
Broker: Goldman Sachs
Exp. 05/18/2010 JY 1,776,000 28
Receive floating rate based on 6-month EURO-LIBOR and
pay fixed rate equal to 6.175%.
Broker: Goldman Sachs
Exp. 05/22/2030 EC 9,440 (95)
Receive floating rate based on 6-month EURO-LIBOR minus 0.54% and
pay a fixed rate equal to 6.250%.
Broker: J.P. Morgan
Exp. 01/04/2024 680 8
Receive a fixed rate equal to 7.291% and
pay floating rate based on 3-month LIBOR.
Broker: Goldman Sachs
Exp. 07/21/2005 $ 14,500 330
Receive a fixed rate equal to 7.010% and
pay floating rate based on 6-month LIBOR.
Broker: Morgan Stanley
Exp. 09/20/2005 18,500 208
Receive floating rate based on 6-month EURO-LIBOR and
pay fixed rate equal to 6.069%.
Broker: Morgan Stanley
Exp. 08/25/2030 EC 7,900 58
-------------
$ (53)
=============
(k) Restricted security.
40 See accompanying notes
<PAGE>
Schedule of Investments
High Yield Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 75.8%
--------------------------------------------------------------------------------
Banking & Finance 8.1%
Americo Life, Inc.
9.250% due 06/01/2005 $ 250 $ 234
Amethyst Financial Co. Ltd.
11.750% due 10/29/2001 5,000 5,000
Arvin Capital
9.500% due 02/01/2027 19,000 17,561
Bay View Capital Corp.
9.130% due 08/15/2007 6,400 4,896
Beaver Valley Funding Corp.
8.630% due 06/01/2007 18,000 18,322
9.000% due 06/01/2017 15,235 15,737
DLJ Secured Loan Trust
10.130% due 07/07/2007 10,000 10,491
Forest City Enterprises
8.500% due 03/15/2008 13,400 12,931
Fuji Bank Ltd.
9.870% due 12/31/2049 (d) 9,800 9,599
General Motors Acceptance Corp.
6.840% due 04/29/2002 (d) 800 803
Golden State Holdings
6.750% due 08/01/2001 6,250 6,155
7.000% due 08/01/2003 3,705 3,546
7.130% due 08/01/2005 870 811
Host Marriott LP
8.380% due 02/15/2006 11,660 11,252
Imperial Credit Industries, Inc.
9.880% due 01/15/2007 200 91
Mercury Finance Co.
10.000% due 03/23/2001 21,100 20,573
11.160% due 03/23/2001 21,350 20,709
Presidential Life Insurance Corp.
7.880% due 02/15/2009 13,250 12,226
Reliance Group Holdings
9.000% due 11/15/2000 (e) 4,778 1,625
Sovereign Bancorp, Inc.
6.630% due 03/15/2001 (d) 14,450 14,297
Sumitomo Bank Treasury Co.
9.400% due 12/29/2049 (d) 29,600 29,126
Telewest Credit Link
10.880% due 02/07/2005 5,000 5,151
Trizec Finance Ltd.
10.880% due 10/15/2005 17,461 17,810
Willis Corroon Corp.
9.000% due 02/01/2009 10,700 9,924
-------------
248,870
=============
Industrials 60.3%
360 Networks, Inc.
13.000% due 05/01/2008 7,150 6,542
Abbey Healthcare Group
9.500% due 11/01/2002 14,195 14,177
Adelphia Business Solution
12.250% due 09/01/2004 7,200 6,552
Advanced Lighting
8.000% due 03/15/2008 10,425 7,467
AEI Holding Co.
10.500% due 12/15/2005 11,380 1,764
Allied Waste Industries, Inc.
7.380% due 01/01/2004 15,100 14,118
7.630% due 01/01/2006 9,430 8,487
American Airlines
10.610% due 03/04/2010 650 737
American Media Operation, Inc.
10.250% due 05/01/2009 1,000 978
American Standard, Inc.
7.130% due 02/15/2003 200 197
7.380% due 04/15/2005 5,700 5,472
9.250% due 12/01/2016 2,778 2,792
Amerigas Partners LP
10.130% due 04/15/2007 3,000 3,011
AM-FM, Inc.
8.750% due 06/15/2007 5,650 5,777
8.000% due 11/01/2008 5,000 5,063
Amphenol Corp.
9.880% due 05/15/2007 6,795 6,965
Archibald Candy Corp.
10.250% due 07/01/2004 4,000 2,240
Arco Chemical Co.
9.380% due 12/15/2005 4,215 4,191
Ball Corp.
7.750% due 08/01/2006 8,100 7,918
8.250% due 08/01/2008 7,600 7,401
Beckman Instruments, Inc.
7.100% due 03/04/2003 6,431 6,271
7.450% due 03/04/2008 15,870 14,624
Benedek Communications Corp.
0.000% due 05/15/2006 (c) 1,500 1,320
Beverly Enterprises, Inc.
9.000% due 02/15/2006 18,075 17,081
Boyd Gaming Corp.
9.500% due 07/15/2007 2,000 1,880
British Sky Broadcasting PLC
7.300% due 10/15/2006 1,000 925
8.200% due 07/15/2009 4,000 3,790
Browning-Ferris Industries, Inc.
6.100% due 01/15/2003 (d) 4,100 3,848
7.880% due 03/15/2005 2,000 1,868
Building Materials Corp.
7.750% due 07/15/2005 13,656 8,945
8.630% due 12/15/2006 1,250 831
8.000% due 10/15/2007 1,276 798
8.000% due 12/01/2008 18,250 11,224
Cadmus Communications Corp.
9.750% due 06/01/2009 6,700 6,600
Call-Net Enterprises, Inc.
8.000% due 08/15/2008 8,450 4,014
Canadian Forest Oil Ltd.
8.750% due 09/15/2007 5,650 5,509
Century Communications Corp.
9.750% due 02/15/2002 650 650
0.000% due 03/15/2003 19,960 15,269
8.750% due 10/01/2007 3,800 3,420
CF Cable TV, Inc.
9.130% due 07/15/2007 9,000 9,685
Charter Communications Holding LLC
8.250% due 04/01/2007 13,750 12,530
10.000% due 04/01/2009 7,150 7,034
Clark R & M, Inc.
8.380% due 11/15/2007 3,000 2,430
Clearnet Communications
0.000% due 05/01/2009 (c) 6,000 4,785
Cliffs Drilling Co.
10.250% due 05/15/2003 750 773
Columbia/HCA Healthcare
6.130% due 12/15/2000 2,000 1,990
6.870% due 09/15/2003 1,300 1,247
6.910% due 06/15/2005 1,250 1,179
7.000% due 07/01/2007 3,350 3,110
8.360% due 04/15/2024 6,000 5,585
6.730% due 07/15/2045 5,000 4,797
Columbus McKinnon
8.500% due 04/01/2008 14,750 13,035
Consolidated Container
10.130% due 07/15/2009 8,150 8,201
Container Corp. of America
9.750% due 04/01/2003 1,000 1,010
11.250% due 05/01/2004 6,920 6,989
Continental Cablevision
9.500% due 08/01/2013 10,000 10,656
Cross Timbers Oil Co.
9.250% due 04/01/2007 1,440 1,440
Crown Castle International Corp.
13.250% due 11/15/2007 2,250 1,766
10.750% due 08/01/2011 4,000 4,130
Crown Cork & Seal Co.
7.130% due 09/01/2002 4,115 3,905
See accompanying notes 41
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CSC Holdings, Inc.
9.250% due 11/01/2005 $ 1,000 $ 1,013
9.880% due 05/15/2006 850 873
7.880% due 12/15/2007 100 99
9.880% due 02/15/2013 3,100 3,193
9.880% due 04/01/2023 4,000 4,120
Cumberland Farms
10.500% due 10/01/2003 5,784 5,596
Dade International, Inc.
11.130% due 05/01/2006 500 133
Delta Air Lines, Inc.
10.790% due 03/26/2014 2,264 2,548
Diamond Cable Communication Co.
13.250% due 09/30/2004 (c) 1,500 1,575
0.000% due 12/15/2005 (c)(d) 10,000 9,450
10.750% due 02/15/2007 (c) 10,100 7,626
Dunlop Stand Aerospace Holdings
11.880% due 05/15/2009 3,900 3,944
Echostar Broadband Corp.
10.380% due 10/01/2007 2,000 2,000
Echostar Communications Corp.
9.250% due 02/01/2006 23,046 22,844
9.380% due 02/01/2009 11,000 10,835
Embotelladora Arica S.A
9.880% due 03/15/2006 16,050 16,712
Emmis Communications Corp.
8.130% due 03/15/2009 200 191
Energis PLC
9.750% due 06/15/2009 7,500 7,425
Extended Stay America
9.150% due 03/15/2008 6,350 6,033
Extendicare Health Services
9.350% due 12/15/2007 2,050 1,210
EZ Communication, Inc.
9.750% due 12/01/2005 2,500 2,627
Fairpoint Communications, Inc.
9.500% due 05/01/2008 7,875 6,891
10.320% due 05/01/2008 (d) 4,500 4,247
12.500% due 05/01/2010 4,200 4,074
Federal-Mogul Corp.
7.500% due 07/01/2004 22,650 9,626
7.380% due 01/15/2006 150 59
7.750% due 07/01/2006 11,350 4,483
Ferrellgas Partners LP
9.380% due 06/15/2006 14,936 14,712
Fisher Scientific International
7.130% due 12/15/2005 13,750 12,237
9.000% due 02/01/2008 17,895 16,554
Flag Telecom Holding Ltd.
11.630% due 03/30/2010 19,200 16,512
Forest Oil Corp.
10.500% due 01/15/2006 3,585 3,710
Fox/Liberty Networks LLC
0.000% due 08/15/2007 (c) 9,750 8,312
Fred Meyer, Inc.
7.450% due 03/01/2008 400 387
Frontiervision L.P.
11.000% due 10/15/2006 2,000 2,005
Garden State Newspapers
8.750% due 10/01/2009 3,955 3,698
8.630% due 07/01/2011 3,900 3,656
Georgia Gulf Corp.
7.630% due 11/15/2005 1,250 1,217
Global Crossing Ltd.
6.000% due 10/15/2013 12,385 11,442
Golden Northwest Aluminum
12.000% due 12/15/2006 2,850 2,814
Gulf Canada Resources Ltd.
9.250% due 01/15/2004 10,975 11,151
9.630% due 07/01/2005 2,830 2,904
8.380% due 11/15/2005 4,000 4,020
Harrahs Operating Co., Inc.
7.880% due 12/15/2005 6,600 6,369
7.500% due 01/15/2009 20,675 19,507
HMH Properties, Inc.
7.880% due 08/01/2005 32,120 30,434
Hollinger International Publishing
8.630% due 03/15/2005 250 249
9.250% due 02/01/2006 4,600 4,629
9.250% due 03/15/2007 680 687
Holmes Products Corp.
9.880% due 11/15/2007 950 565
Horseshoe Gaming Holding
8.630% due 05/15/2009 17,750 17,484
HS Resources, Inc.
9.880% due 12/01/2003 3,650 3,687
9.250% due 11/15/2006 5,250 5,276
Huntsman Corp.
9.500% due 07/01/2007 12,700 10,223
Huntsman ICI Chemicals LLC
10.130% due 07/01/2009 5,400 5,326
Huntsman Polymers Corp.
11.750% due 12/01/2004 4,600 4,669
Impsat Corp.
12.380% due 06/15/2008 8,900 6,964
Intermedia Communications, Inc.
0.000% due 05/15/2006 (c) 25,535 24,386
International Game Technology
7.880% due 05/15/2004 14,800 14,541
8.380% due 05/15/2009 14,100 13,853
Isle of Capri Casinos, Inc.
8.750% due 04/15/2009 500 468
ISP Holdings, Inc.
9.750% due 02/15/2002 4,750 4,274
9.000% due 10/15/2003 24,570 23,587
ITT Corp.
6.250% due 11/15/2000 1,500 1,497
John Q. Hammons Hotels
8.880% due 02/15/2004 2,550 2,384
9.750% due 10/01/2005 200 191
Jones Intercable, Inc.
8.880% due 04/01/2007 5,060 5,309
Jupiters Ltd.
8.500% due 03/01/2006 12,800 12,352
K Mart Corp.
8.130% due 12/16/2003 300 281
12.350% due 01/01/2008 3,920 3,974
8.800% due 07/01/2010 1,144 1,078
9.350% due 01/02/2020 12,936 11,504
9.780% due 01/05/2020 9,575 7,828
Keebler Corp.
10.750% due 07/01/2006 6,000 6,354
KPNQWest BV
8.130% due 06/01/2009 27,600 25,530
L-3 Communications Corp.
10.380% due 05/01/2007 6,450 6,627
8.500% due 05/15/2008 400 374
Lear Corp.
8.250% due 02/01/2002 6,410 6,378
7.960% due 05/15/2005 3,125 2,979
Lenfest Communications
8.380% due 11/01/2005 10,650 11,179
10.500% due 06/15/2006 525 594
Level 3 Communications, Inc.
11.000% due 03/15/2008 5,500 5,280
9.130% due 05/01/2008 31,450 27,204
11.250% due 03/15/2010 1,000 960
Levi Strauss & Co.
6.800% due 11/01/2003 25,350 21,547
Leviathan Gas Corp.
10.380% due 06/01/2009 3,325 3,525
Lin Television Corp.
8.380% due 03/01/2008 9,300 8,882
Lyondell Chemical Co.
9.630% due 05/01/2007 15,435 15,107
Mail-Well Corp.
8.750% due 12/15/2008 20,930 18,314
42 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Mandalay Resort Group
6.750% due 07/15/2003 $ 19,750 $ 18,565
9.250% due 12/01/2005 6,100 6,070
6.450% due 02/01/2006 100 88
10.250% due 08/01/2007 250 258
9.500% due 08/01/2008 500 513
Mark IV Industries, Inc.
7.500% due 09/01/2007 6,730 5,260
Market Hub Partners
8.250% due 03/01/2008 11,580 11,783
Marsh Supermarkets, Inc.
8.880% due 08/01/2007 9,500 8,978
McLeodUSA, Inc.
0.000% due 03/01/2007 (c) 43,525 35,908
8.380% due 03/15/2008 5,100 4,487
9.500% due 11/01/2008 13,625 12,808
8.130% due 02/15/2009 4,837 4,196
Metromedia Fiber Network, Inc.
10.000% due 11/15/2008 14,645 13,766
10.000% due 12/15/2009 15,100 14,194
Metronet Communications
0.000% due 06/15/2008 (c) 16,475 13,460
MGM Grand, Inc.
6.950% due 02/01/2005 30,420 29,244
Mirage Resorts, Inc.
6.630% due 02/01/2005 3,500 3,328
7.250% due 10/15/2006 2,670 2,551
Newpark Resources, Inc.
8.630% due 12/15/2007 4,050 3,827
Nextel Communications, Inc.
9.380% due 11/15/2009 46,700 45,766
Nextel Partners, Inc.
0.000% due 02/01/2009 (c) 11,538 8,163
11.000% due 03/15/2010 200 202
Nextlink Communications, Inc.
9.630% due 10/01/2007 9,000 8,168
10.750% due 06/01/2009 2,425 2,255
10.500% due 12/01/2009 10,000 9,200
NL Industries, Inc.
11.750% due 10/15/2003 1,950 1,989
Nortek, Inc.
9.130% due 09/01/2007 500 475
8.880% due 08/01/2008 750 694
NTL, Inc.
12.750% due 04/15/2005 (c) 700 707
0.000% due 02/01/2006 (c) 20,600 19,570
11.500% due 10/01/2008 7,400 7,178
Octel Developments PLC
10.000% due 05/01/2006 900 851
Orion Network Systems, Inc.
0.000% due 01/15/2007 (c) 13,800 4,761
11.250% due 01/15/2007 14,625 7,678
Owens-Illinois, Inc.
7.850% due 05/15/2004 2,650 2,381
P&L Coal Holdings
8.880% due 05/15/2008 19,050 18,907
Packaging Corp. of America
9.630% due 04/01/2009 3,125 3,180
Park Place Entertainment Corp.
8.880% due 09/15/2008 6,000 5,993
Perry-Judd
10.630% due 12/15/2007 2,320 2,076
Petroleos Mexicanos
9.380% due 12/02/2008 8,000 8,240
PharMerica, Inc.
8.380% due 04/01/2008 15,650 11,503
Phar-Mor, Inc.
11.720% due 09/11/2002 5,905 3,757
Physician Sales and Service, Inc.
8.500% due 10/01/2007 9,250 8,371
Piedmont Aviation, Inc.
10.250% due 03/28/2005 571 559
9.900% due 11/08/2006 716 686
Pioneer National Resources
8.880% due 04/15/2005 20,100 20,573
8.250% due 08/15/2007 6,500 6,368
6.500% due 01/15/2008 6,950 6,157
Polymer Group, Inc.
9.000% due 07/01/2007 11,178 8,663
8.750% due 03/01/2008 10,950 8,705
Price Communications Wireless, Inc.
9.130% due 12/15/2006 8,075 8,196
Pride International, Inc.
9.380% due 05/01/2007 3,100 3,170
Primedia, Inc.
10.250% due 06/01/2004 4,000 4,020
8.500% due 02/01/2006 10,740 10,257
7.630% due 04/01/2008 8,250 7,508
R & B Falcon Corp.
6.500% due 04/15/2003 7,500 7,163
9.250% due 04/15/2005 4,525 4,248
R.H. Donnelly, Inc.
9.130% due 06/01/2008 6,725 6,624
Racers
8.380% due 10/01/2007 21,606 19,952
Renaissance Media Group
0.000% due 04/15/2008 (c) 21,250 14,981
Rogers Cablesystems Ltd.
10.000% due 03/15/2005 4,000 4,250
Rogers Cantel, Inc.
8.300% due 10/01/2007 4,316 4,294
8.800% due 10/01/2007 1,350 1,360
9.380% due 06/01/2008 23,550 24,492
Rural Cellular Corp.
9.630% due 05/15/2008 12,300 11,808
Safety-Kleen Services
9.250% due 06/01/2008 (e) 28,475 1,032
9.250% due 05/15/2009 (e) 14,000 508
Salem Communications
9.500% due 10/01/2007 1,400 1,379
Satelites Mexicanos
11.280% due 06/30/2004 (d) 7,875 5,473
SC International Services, Inc.
9.250% due 09/01/2007 19,450 19,061
Scotia Pacific Co. LLC
7.710% due 01/20/2014 (d) 180 118
Sequa Corp.
9.000% due 08/01/2009 7,550 7,456
Silgan Holdings, Inc.
9.000% due 06/01/2009 14,525 13,254
Smithfield Foods
7.630% due 02/15/2008 2,215 1,999
Smith's Food & Drug Centers, Inc.
8.640% due 07/02/2012 299 316
Station Casinos, Inc.
10.130% due 03/15/2006 2,000 2,010
9.750% due 04/15/2007 6,850 6,867
8.880% due 12/01/2008 800 775
9.880% due 07/01/2010 1,000 1,008
Sterling Chemicals, Inc.
12.380% due 07/15/2006 10,740 10,901
Stone Container Corp.
10.750% due 10/01/2002 12,346 12,577
11.500% due 10/01/2004 2,000 2,065
11.500% due 08/15/2006 4,850 5,020
TeleCorp PCS, Inc.
10.630% due 07/15/2010 1,125 1,142
Telewest Communications PLC
9.630% due 10/01/2006 11,250 10,519
0.000% due 10/01/2007 (c)(d) 10,949 10,538
11.250% due 11/01/2008 1,000 975
9.250% due 04/15/2009 (c) 19,330 10,390
9.880% due 02/01/2010 7,750 7,130
Tenet Healthcare Corp.
7.880% due 01/15/2003 1,000 998
8.630% due 12/01/2003 1,500 1,511
8.000% due 01/15/2005 7,095 7,033
8.630% due 01/15/2007 3,500 3,483
7.630% due 06/01/2008 20,090 19,111
See accompanying notes 43
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Terra Industries
10.500% due 06/15/2005 $ 2,000 $ 1,265
TFM SA de CV
0.000% due 06/15/2009 (c) 8,250 6,249
Triad Hospitals, Inc.
11.000% due 05/15/2009 2,095 2,158
U.S. Air, Inc.
9.630% due 09/01/2003 16,403 15,924
9.330% due 01/01/2006 4,510 4,200
United Defense Industries, Inc.
8.750% due 11/15/2007 1,000 943
United Pan-Europe Communications NV
10.880% due 11/01/2007 11,500 10,062
0.000% due 02/01/2009 (c) 7,990 4,674
10.880% due 08/01/2009 13,800 11,799
Vectura Group, Inc.
10.250% due 06/30/2008 275 235
Vintage Petroleum, Inc.
9.000% due 12/15/2005 9,840 9,988
9.750% due 06/30/2009 6,350 6,636
Voicestream Wireless Holding Corp.
10.380% due 11/15/2009 4,000 4,340
Waste Management, Inc.
7.000% due 05/15/2005 650 618
Western Gas Resources, Inc.
10.000% due 06/15/2009 7,100 7,455
Westinghouse Air Brake
9.380% due 06/15/2005 3,685 3,574
Westpoint Stevens, Inc.
7.880% due 06/15/2008 3,220 2,415
Williams Communications Group, Inc.
7.180% due 11/15/2001 (d) 6,100 6,104
10.700% due 10/01/2007 4,500 4,219
10.880% due 10/01/2009 5,750 5,290
World Color Press, Inc.
8.380% due 11/15/2008 650 633
7.750% due 02/15/2009 1,750 1,634
Worldwide Fiber, Inc.
12.000% due 08/01/2009 7,250 6,489
Young Broadcasting, Inc.
9.000% due 01/15/2006 18,625 17,973
8.750% due 06/15/2007 160 152
-------------
1,841,222
=============
Utilities 7.4%
AES Corp.
10.250% due 07/15/2006 2,661 2,734
8.500% due 11/01/2007 7,800 7,488
9.500% due 06/01/2009 6,585 6,733
Alestra SA
12.130% due 05/15/2006 12,100 11,767
AT&T Corp.
10.630% due 11/01/2008 9,600 10,672
Azurix Corporation
10.380% due 02/15/2007 16,600 15,687
Calpine Corp.
9.250% due 02/01/2004 13,000 13,017
15.000% due 03/15/2004 10,000 10,759
7.630% due 04/15/2006 4,500 4,389
8.750% due 07/15/2007 24,250 24,414
7.880% due 04/01/2008 7,287 7,012
7.750% due 04/15/2009 1,000 953
Carolina Power & Light Co.
7.230% due 07/29/2002 (d) 2,900 2,911
CMS Energy
8.130% due 05/15/2002 4,537 4,506
6.750% due 01/15/2004 750 704
7.000% due 01/15/2005 10,000 9,212
Flag Ltd.
8.250% due 01/30/2008 27,375 24,227
ITC Deltacom, Inc.
11.000% due 06/01/2007 5,385 4,873
8.880% due 03/01/2008 13,300 10,840
Mastec, Inc.
7.750% due 02/01/2008 7,250 6,924
North Atlantic Energy
9.050% due 06/01/2002 9 9
Philippine Long Distance Telephone Co.
10.500% due 04/15/2009 11,150 10,069
Qwest Communications International, Inc.
0.000% due 10/15/2007 (c) 13,040 11,424
0.000% due 02/01/2008 (c) 10,550 8,689
7.500% due 11/01/2008 7,500 7,481
Telekomunikacja Polska SA
7.750% due 12/10/2008 80 77
Wilmington Trust Co. - Tucson Electric
10.210% due 01/01/2009 (b) 500 500
10.730% due 01/01/2013 (b) 8,866 9,359
-------------
227,430
-------------
Total Corporate Bonds & Notes 2,317,522
(Cost $2,532,215) =============
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 2.3%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 1.8%
Asset Securitization Corp.
7.380% due 08/13/2029 1,500 1,438
Federal Deposit Insurance Corp.
7.860% due 11/25/2026 (d) 400 400
LTC Commercial Corp.
7.970% due 04/15/2028 5,062 4,734
Red Mountain Funding Corp.
9.150% due 11/28/2027 5,727 3,901
Resolution Trust Corp.
6.900% due 02/25/2027 5,428 5,004
7.000% due 05/25/2027 5,734 5,641
Sasco Floating Rate Commercial Mortgage
7.170% due 04/25/2003 (d) 29,800 29,220
Structured Asset Securities Corp.
7.050% due 11/25/2007 4,000 3,837
-------------
54,175
=============
Other Mortgage-Backed Securities 0.5%
LTC Commercial Corp.
9.200% due 08/04/2012 3,235 3,300
NationsBanc Mortgage Capital Corp.
8.040% due 05/25/2028 (d) 3,835 2,732
Nationslink Funding Corp.
7.110% due 01/20/2013 10,500 8,150
-------------
14,182
=============
Stripped Mortgage-Backed Securities 0.0%
Federal National Mortgage Association (IO)
7.000% due 07/25/2008 2,190 278
6.500% due 06/25/2017 351 6
7.000% due 04/25/2019 10,367 640
7.000% due 12/25/2021 3,129 416
Fund America (IO)
9.590% due 10/20/2021 6 57
-------------
1,397
-------------
Total Mortgage-Backed Securities 69,754
(Cost $70,505) =============
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 6.3%
--------------------------------------------------------------------------------
Airplanes Pass Through Trust
10.880% due 03/15/2019 28,515 23,211
Airtrust
6.340% due 06/01/2013 12,942 5,039
AM-FM, Inc.
12.750% due 02/01/2009 (c) 5,550 5,321
Bergen Brunswig Term Loan A
9.120% due 03/31/2005 1,141 1,138
9.190% due 03/31/2005 106 106
9.220% due 03/31/2005 3,423 3,415
9.330% due 03/31/2005 1,141 1,138
Charter Commercial Holdings LLC
9.240% due 03/31/2008 5,000 4,994
Columbia/HCA Healthcare
8.380% due 09/15/2001 7,500 7,444
44 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Conseco Finance
9.300% due 10/15/2030 $ 10,000 $ 10,344
Crown Castle
9.370% due 03/31/2008 3,000 3,010
Global Crossing Ltd.
9.440% due 08/15/2006 3,000 3,020
Green Tree Financial Corp.
8.000% due 07/15/2018 7,000 5,843
Huntsman Corp.
9.750% due 12/31/2005 3,000 2,976
Impress Metal Term Loan G
9.940% due 12/01/2006 2,500 2,520
Jefferson Smurfit
9.940% due 03/31/2006 1,512 1,516
Levi Strauss & Co. Term Loan
9.940% due 02/01/2002 282 277
9.890% due 02/01/2002 960 941
9.930% due 02/01/2002 3,562 3,491
McLeodUSA Loan Term B
9.620% due 05/26/2008 5,000 5,011
Morgan Stanley Aircraft Finance
8.700% due 03/15/2023 22,300 19,683
Primedia, Inc.
9.000% due 07/31/2004 5,000 4,991
Starwood Hotels & Resorts
9.370% due 02/23/2003 8,501 8,518
Stone Container Corp.
10.190% due 10/01/2003 11,204 11,242
10.190% due 10/01/2005 4,759 4,762
9.940% due 10/01/2005 4,377 4,389
Total Renal Care Revolver
9.880% due 03/31/2003 960 909
10.000% due 03/31/2003 4,506 4,393
10.130% due 03/31/2003 133 126
9.880% due 03/31/2003 1,697 1,607
Total Renal Care Term Loan A
9.880% due 03/31/2003 1,017 1,001
Triad Hospitals, Inc.
10.620% due 11/11/2005 (d) 6,882 6,917
Voicestream Term Loan A
9.410% due 12/31/2007 5,000 4,989
Voicestream Term Loan B
9.660% due 02/15/2009 7,500 7,482
Voicestream Vendor Facility
9.660% due 06/30/2009 21,000 20,843
-------------
Total Asset-Backed Securities 192,607
(Cost $202,066) =============
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 0.8%
--------------------------------------------------------------------------------
Republic of Brazil
7.380% due 04/15/2006 (d) 4,650 4,377
United Mexican States
8.500% due 02/01/2006 10,000 10,005
9.880% due 02/01/2010 10,000 10,655
-------------
Total Sovereign Issues 25,037
(Cost $24,295) =============
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 1.8%
--------------------------------------------------------------------------------
Health Care 0.6%
Tenet Healthcare Corp.
6.000% due 12/01/2005 3,250 2,714
Total Renal Care Holdings
7.000% due 05/15/2009 20,100 14,371
-------------
17,085
=============
Industrial 1.2%
Aes Drox Energy Ltd.
11.500% due 08/30/2010 3,000 3,188
Hercules Trust VI
9.230% due 12/29/2000 (d) 25,550 25,543
Hilton Hotels Corp.
5.000% due 05/15/2006 1,000 844
Pride International, Inc.
0.000% due 04/24/2018 11,750 5,523
Waste Management, Inc.
4.000% due 02/01/2002 (d) 2,500 2,334
-------------
37,432
-------------
Total Convertible Bonds & Notes 54,517
(Cost $54,816) =============
--------------------------------------------------------------------------------
PREFERRED STOCK 3.0%
--------------------------------------------------------------------------------
Shares
CSC Holdings, Inc.
11.125% due 04/01/2008 199,314 21,177
Fresenius Medical Care
9.000% due 12/01/2006 29,995 29,920
7.875% due 02/01/2008 29,900 28,330
Newscorp Overseas Ltd.
8.625% due 12/31/2049 133,200 3,097
Primedia, Inc.
9.200% due 11/01/2009 70,000 6,248
8.625% due 04/01/2010 50,000 4,213
-------------
Total Preferred Stock 92,985
(Cost $98,374) =============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 9.3%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 9.2%
American Electric Power, Inc.
6.700% due 11/01/2000 $ 5,300 5,270
Anz, Inc.
6.520% due 11/03/2000 1,500 1,491
6.480% due 11/07/2000 7,900 7,849
6.480% due 11/28/2000 4,200 4,153
AT&T Corp.
6.510% due 11/08/2000 25,600 25,428
6.530% due 11/15/2000 7,800 7,738
6.470% due 12/13/2000 2,100 2,072
6.510% due 12/13/2000 6,300 6,212
Bank One Corp.
6.500% due 11/15/2000 7,200 7,143
Bell Atlantic Financial Services
6.530% due 11/01/2000 6,300 6,266
Bellsouth Capital Funding
6.490% due 12/06/2000 11,700 11,549
CDC
6.530% due 10/18/2000 600 598
Cox Communications
6.730% due 11/06/2000 24,000 23,843
CSX Corp.
6.700% due 10/10/2000 13,500 13,480
Dominion Resources, Inc.
6.710% due 11/16/2000 4,400 4,363
Edison Midwest
6.720% due 11/01/2000 2,400 2,387
6.700% due 11/08/2000 5,000 4,966
6.730% due 11/15/2000 3,100 3,075
Federal Home Loan Bank
6.440% due 10/11/2000 2,800 2,795
Ford Motor Credit Corp.
6.550% due 10/18/2000 400 399
General Electric Capital Corp.
6.520% due 10/25/2000 1,300 1,295
6.470% due 12/14/2000 7,400 7,295
6.510% due 01/24/2001 500 489
Gillette Co.
6.460% due 12/12/2000 3,600 3,550
Houston Industries
6.800% due 11/08/2000 6,300 6,256
See accompanying notes 45
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
September 30, 2000 (Unaudited)
Value
Shares (000s)
--------------------------------------------------------------------------------
Infinity Broadcasting Corp.
6.700% due 11/15/2000 $ 1,100 $ 1,091
6.700% due 11/16/2000 5,600 5,553
6.700% due 11/17/2000 25,400 25,182
6.710% due 11/21/2000 6,100 6,043
Ingersoll-Rand Co.
6.700% due 11/15/2000 14,600 14,480
International Paper Co.
6.700% due 10/10/2000 4,600 4,593
6.720% due 11/17/2000 4,200 4,164
Nabisco, Inc.
6.700% due 10/18/2000 9,600 9,572
SBC Communications, Inc.
6.460% due 12/06/2000 2,200 2,173
Swedbank, Inc.
6.510% due 01/19/2001 17,900 17,532
Texas Utilities Co.
6.700% due 10/18/2000 7,300 7,278
Verizon Global Funding
6.460% due 12/07/2000 9,600 9,476
6.470% due 12/14/2000 3,300 3,252
Yorkshire Building Society
6.460% due 12/21/2000 12,300 12,109
-------------
282,460
=============
Repurchase Agreements 0.1%
State Street Bank
5.850% due 10/02/2000 2,762 2,762
(Dated 9/29/2000. Collateralized by
Federal National Mortgage Association
6.100% due 08/10/2001 valued at $2,822.
Repurchase proceeds are $2,763.)
-------------
Total Short-Term Instruments 285,222
(Cost $285,306) =============
Total Investments (a) 99.3% $ 3,037,644
(Cost $3,267,577)
Other Assets and Liabilities (Net) 0.7% 21,880
-------------
Net Assets 100.0% $ 3,059,524
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 21,883
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (251,816)
-------------
Unrealized depreciation-net $ (229,933)
=============
(b) Restricted security.
(c) Security becomes interest bearing at a future date.
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Security is in default.
46 See accompanying notes
<PAGE>
Schedule of Investments
Low Duration Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 59.3%
--------------------------------------------------------------------------------
Banking & Finance 34.9%
American General Finance
6.880% due 12/14/2001 $ 25,000 $ 25,021
Aristar, Inc.
7.380% due 09/01/2004 19,000 18,984
Associates Corp. of North America
6.700% due 05/29/2001 400 400
6.780% due 08/27/2001 (d) 1,000 1,003
6.880% due 06/20/2002 20,000 19,896
6.950% due 08/01/2002 1,000 1,003
AT&T Capital Corp.
7.500% due 11/15/2000 6,200 6,205
7.010% due 04/23/2002 (d) 10,000 10,028
Banc One Corp.
7.250% due 08/01/2002 500 503
Banco Latinoamericano SA
6.750% due 03/01/2001 1,300 1,298
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 1,800 1,742
Bank of America Corp.
7.200% due 09/15/2002 100 101
7.880% due 12/01/2002 100 102
6.630% due 06/15/2004 1,000 991
Bear Stearns Co., Inc.
6.170% due 06/28/2001 (d) 2,000 2,010
7.010% due 12/16/2002 (d) 21,000 21,024
6.130% due 02/01/2003 3,000 2,941
7.130% due 03/28/2003 (d) 8,600 8,600
6.200% due 03/30/2003 9,700 9,513
7.100% due 06/01/2004 (d) 3,000 3,021
Beaver Valley Funding Corp.
8.250% due 06/01/2003 3,311 3,280
Beneficial Corp.
6.770% due 01/09/2002 (d) 10,000 10,048
6.650% due 09/12/2002 5,000 4,965
6.580% due 12/16/2002 5,440 5,385
Bombardier Capital, Inc.
6.000% due 01/15/2002 10,000 9,840
7.500% due 08/15/2004 1,000 1,007
Capital One Bank
6.280% due 02/20/2001 6,500 6,474
7.000% due 04/30/2001 300 300
7.610% due 06/23/2003 (d) 100 100
Case Credit Corp.
5.910% due 02/19/2001 4,000 3,982
5.850% due 02/20/2001 (d) 63,000 62,693
5.930% due 02/26/2001 5,000 4,976
6.900% due 08/01/2001 (d) 4,750 4,757
Caterpillar Financial Services Corp.
6.930% due 11/04/2002 (d) 25,000 25,017
6.910% due 12/27/2002 (d) 25,000 24,990
6.880% due 08/01/2004 2,000 1,980
Chase Manhattan Corp.
6.530% due 10/13/2000 (d) 7,500 7,500
5.500% due 02/15/2001 1,000 995
Chrysler Financial Co. LLC
5.850% due 01/26/2001 5,000 4,987
6.760% due 08/08/2002 (d) 8,000 8,011
CIT Group, Inc.
6.200% due 10/20/2000 17,300 17,296
6.810% due 09/13/2002 (d) 19,400 19,400
Credit Asset Receivable
6.270% due 10/31/2003 34,267 33,813
Export-Import Bank Korea
6.500% due 02/10/2002 7,500 7,399
6.500% due 11/15/2006 6,700 6,525
7.100% due 03/15/2007 6,700 6,657
Finova Capital Corp.
6.270% due 09/29/2000 2,700 2,700
6.910% due 06/18/2003 (d) 6,000 5,250
First Union Corp.
7.550% due 08/18/2005 42,800 43,353
Ford Motor Credit Corp.
6.810% due 03/19/2002 (d) 18,857 18,938
6.990% due 07/16/2002 (d) 100 100
6.520% due 08/12/2002 13,000 12,905
6.000% due 01/14/2003 15,000 14,677
6.850% due 03/17/2003 (d) 3,000 2,996
6.130% due 04/28/2003 14,000 13,698
6.960% due 04/26/2004 (d) 19,000 18,974
General Motors Acceptance Corp.
7.130% due 05/01/2001 15,000 15,022
6.680% due 09/19/2001 (d) 5,000 5,009
6.760% due 12/10/2001 (d) 7,400 7,401
6.840% due 04/29/2002 (d) 2,000 2,006
6.880% due 11/12/2002 (d) 63,520 63,596
6.780% due 11/12/2002 (d) 17,400 17,397
5.880% due 01/22/2003 500 489
7.400% due 07/20/2003 (d) 14,366 14,353
7.020% due 04/05/2004 (d) 700 699
6.850% due 06/17/2004 1,000 991
Gold Eagle Capital Ltd.
9.000% due 04/15/2001 20,000 19,976
Goldman Sachs Group
6.200% due 12/15/2000 1,000 998
7.630% due 08/17/2005 20,800 21,237
Great Western Financial
8.600% due 02/01/2002 4,000 4,068
Heller Financial, Inc.
6.970% due 04/28/2003 (d) 20,000 19,914
Hitachi Credit America
6.100% due 04/24/2001 25,000 24,891
Household Finance Corp.
6.490% due 04/09/2001 20,000 19,972
7.630% due 01/15/2003 10,849 10,987
6.130% due 02/27/2003 1,500 1,463
6.920% due 06/24/2003 (d) 1,500 1,501
6.130% due 07/15/2012 10,000 9,859
Industrial Bank of Korea
8.380% due 09/30/2002 5,000 5,030
Key Bank NA
6.050% due 04/24/2003 12,900 12,571
Korea Development Bank
7.130% due 09/17/2001 28,963 28,923
7.900% due 02/01/2002 6,100 6,115
7.630% due 10/01/2002 19,500 19,516
6.500% due 11/15/2002 5,898 5,775
8.290% due 06/16/2003 (d) 3,500 3,430
6.630% due 11/21/2003 20,300 19,766
7.130% due 04/22/2004 11,800 11,581
7.380% due 09/17/2004 1,200 1,183
Lehman Brothers Holdings, Inc.
6.630% due 11/15/2000 825 825
7.680% due 04/02/2002 (d) 2,000 2,018
6.380% due 05/07/2002 28,345 28,133
7.410% due 05/07/2002 (d) 5,000 5,031
6.610% due 07/08/2002 (d) 1,500 1,501
7.210% due 12/12/2002 (d) 1,500 1,507
7.170% due 04/04/2003 (d) 7,900 7,902
7.000% due 05/15/2003 3,600 3,590
Marsh & McLennan Co., Inc.
6.630% due 06/15/2004 1,000 984
MBNA America Bank NA
6.000% due 12/26/2000 5,000 4,992
6.880% due 07/15/2004 1,900 1,862
Merrill Lynch & Co.
6.230% due 09/30/2000 (d) 8,558 8,558
6.000% due 01/15/2001 (d) 1,336 1,332
7.280% due 11/26/2001 (d) 115,000 115,671
6.830% due 01/15/2002 (d) 5,000 4,998
7.090% due 02/08/2002 (d) 25,000 25,090
6.920% due 02/04/2003 (d) 23,000 22,988
6.130% due 04/07/2003 7,770 7,640
See accompanying notes 47
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Metropolitan Life Insurance Co.
6.300% due 11/01/2003 $ 17,850 $ 17,450
Mexico Credit Link
11.380% due 02/22/2002 (d) 5,000 5,214
Morgan Stanley, Dean Witter, Discover and Co.
6.850% due 03/11/2003 (d) 5,000 4,993
Nacional Financiera
8.570% due 05/08/2003 (d) 2,000 2,011
Pemex Finance Ltd.
6.130% due 11/15/2003 13,000 12,770
PNC Bank Corp.
6.720% due 01/24/2002 (d) 20,000 20,013
Popular North American, Inc.
6.880% due 06/15/2001 5,000 5,003
7.380% due 09/15/2001 20,000 20,096
Popular, Inc.
6.200% due 04/30/2001 1,000 997
Prudential Funding Corp.
6.420% due 10/02/2000 (d) 5,000 5,001
Rothmans Holdings
6.500% due 05/06/2003 14,000 13,588
Salomon, Inc.
7.500% due 02/01/2003 3,000 3,038
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (d) 1,088 1,075
6.860% due 05/14/2002 (d) 25,150 25,149
7.020% due 07/23/2002 (d) 5,100 5,092
Security Pacific Corp.
11.500% due 11/15/2000 3,850 3,868
Seismic Ltd.
11.270% due 01/01/2002 (d) 10,000 10,000
Shopping Center Associates
6.750% due 01/15/2004 11,725 11,469
Spieker Properties
6.650% due 12/15/2000 5,070 5,062
6.800% due 05/01/2004 2,000 1,955
Toyota Motor Credit Corp.
7.320% due 02/15/2002 (d) 11,600 11,403
Transamerica Finance Corp.
6.130% due 11/01/2001 5,000 4,958
5.920% due 03/29/2002 52,050 51,351
Travelers Group, Inc.
7.250% due 05/01/2001 3,700 3,704
7.300% due 05/15/2002 15,000 15,082
Wachovia Corp.
7.260% due 05/02/2005 (d) 8,000 7,992
Wells Fargo & Co.
6.630% due 07/15/2004 1,000 991
7.220% due 05/02/2005 (d) 32,700 32,689
-------------
1,472,709
=============
Industrials 14.5%
Abitibi-Consolidated, Inc.
8.300% due 08/01/2005 20,000 20,473
Allied Waste Industries, Inc.
7.380% due 01/01/2004 5,000 4,675
AMR Corp.
9.910% due 03/01/2001 2,500 2,525
9.130% due 10/24/2001 4,250 4,321
Atlas Air, Inc.
8.010% due 01/02/2010 10,817 10,517
Boise Cascade Co.
9.850% due 06/15/2002 3,000 3,065
Burlington North Santa Fe
6.050% due 03/15/2031 2,000 1,985
Caterpillar, Inc.
9.750% due 06/01/2019 13,766 14,415
Cemex SA
8.630% due 07/18/2003 10,000 10,125
Century Communications Corp.
0.000% due 03/15/2003 5,250 4,016
Coastal Corp.
7.290% due 03/01/2002 (d) 32,200 32,200
Columbia/HCA Healthcare
6.130% due 12/15/2000 200 199
8.130% due 08/04/2003 5,000 4,957
6.630% due 07/15/2045 7,000 6,823
Conoco, Inc.
5.900% due 04/15/2004 3,100 3,003
Cox Enterprises, Inc.
6.630% due 06/14/2002 3,000 2,969
7.610% due 05/01/2033 (d) 2,000 1,999
Crown Cork & Seal Co.
7.130% due 09/01/2002 33,000 31,313
Crown Cork & Seal Finance PLC
6.750% due 12/15/2003 7,000 6,373
DaimlerChrysler Holdings
6.900% due 09/01/2004 1,000 997
Delta Air Lines, Inc.
9.800% due 12/16/2000 250 251
8.500% due 09/15/2001 205 207
6.650% due 03/15/2004 2,925 2,775
Eastman Chemical Co.
6.380% due 01/15/2004 250 241
Electric Lightwave, Inc.
6.050% due 05/15/2004 3,000 2,922
EZ Communication, Inc.
9.750% due 12/01/2005 5,000 5,254
Federal-Mogul Corp.
7.500% due 07/01/2004 28,600 12,155
Ford Motor Co.
9.000% due 09/15/2001 500 507
Fred Meyer, Inc.
7.150% due 03/01/2003 13,500 13,411
Global Crossing Ltd.
6.000% due 10/15/2013 7,500 6,929
HMH Properties, Inc.
7.880% due 08/01/2005 5,000 4,738
IMEXSA Export Trust
10.130% due 05/31/2003 7,740 7,713
International Game Technology
7.880% due 05/15/2004 500 491
ISP Holdings, Inc.
9.750% due 02/15/2002 3,000 2,700
Kroger Co.
6.340% due 06/01/2001 5,000 4,982
Lockheed Martin Corp.
6.850% due 05/15/2001 7,300 7,274
Mallinckrodt, Inc.
6.300% due 03/15/2011 (d) 650 647
Nabisco, Inc.
6.000% due 02/15/2001 (d) 21,000 20,842
6.700% due 06/15/2002 21,100 20,657
Occidental Petroleum
6.400% due 04/01/2003 15,945 15,553
Park Place Entertainment Corp.
7.950% due 08/01/2003 15,955 15,975
Petroleos Mexicanos
8.130% due 07/15/2005 (d) 15,873 15,912
9.380% due 12/02/2008 5,500 5,665
Philip Morris Cos., Inc.
9.000% due 01/01/2001 7,000 7,017
7.500% due 01/15/2002 200 199
7.250% due 01/15/2003 4,050 4,003
6.950% due 06/01/2006 25,000 24,883
Philips Petroleum Co.
8.500% due 05/25/2005 2,000 2,114
R & B Falcon Corp.
6.500% due 04/15/2003 11,000 10,546
Rollins Truck Leasing Co.
8.000% due 02/15/2003 3,000 3,020
Starwood Hotels & Resorts
6.750% due 11/15/2005 2,000 1,881
Stone Container Corp.
10.750% due 10/01/2002 11,080 11,288
Supervalu, Inc.
9.750% due 06/15/2004 10,500 11,068
48 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
TCI Communications, Inc.
7.360% due 03/11/2003 (d) $ 3,000 $ 3,060
Tenet Healthcare Corp.
7.880% due 01/15/2003 5,300 5,287
8.630% due 12/01/2003 9,700 9,774
Time Warner, Inc.
7.980% due 08/15/2004 1,200 1,234
TTX Co.
7.820% due 07/21/2003 61,000 62,077
Tyco International Group SA
6.880% due 09/05/2002 18,805 18,766
6.250% due 06/15/2003 5,100 4,964
Union Oil Co. of California
9.100% due 08/15/2001 3,350 3,407
Waste Management, Inc.
6.500% due 05/14/2004 45,000 42,423
Whitman Corp.
6.000% due 05/01/2004 6,500 6,299
Williams Communications Group, Inc.
7.180% due 11/15/2001 (d) 6,200 6,204
Yorkshire Power
6.150% due 02/25/2003 40,000 38,494
-------------
612,759
=============
Utilities 9.9%
Arizona Public Service
5.880% due 02/15/2004 3,600 3,439
Arkansas Power & Light
6.000% due 10/01/2003 450 432
AT&T Corp.
5.630% due 03/15/2004 415 397
Calpine Corp.
9.250% due 02/01/2004 2,960 2,964
7.630% due 04/15/2006 2,900 2,828
Cinergy Corp.
6.130% due 04/15/2004 13,000 12,317
Cleveland Electric Illuminating Co.
8.550% due 11/15/2001 2,075 2,106
7.850% due 07/30/2002 3,500 3,536
9.500% due 05/15/2005 2,000 2,048
CMS Energy
8.130% due 05/15/2002 5,000 4,966
7.630% due 11/15/2004 15,400 14,750
8.000% due 07/01/2011 5,000 4,957
Connecticut Light & Power Co.
7.880% due 06/01/2001 500 502
8.590% due 06/05/2003 10,000 9,869
Deutsche Telekom AG
7.750% due 06/15/2005 5,000 5,123
DTE Capital Corp.
8.350% due 11/15/2038 (d) 1,000 978
Entergy Louisiana, Inc.
8.500% due 06/01/2003 4,000 4,112
Entergy Mississippi
7.750% due 02/15/2003 35,000 35,346
GTE Corp.
8.880% due 01/15/2006 45,170 46,640
6.130% due 04/15/2012 4,300 4,249
Hughes Electric
7.560% due 10/23/2000 (d) 28,500 28,509
Illinois Power Co.
6.250% due 07/15/2002 10,000 9,862
6.000% due 09/15/2003 12,500 12,177
Louisiana Power & Light Co.
7.740% due 07/01/2002 3,308 3,308
Niagara Mohawk Power
7.000% due 10/01/2000 20,717 20,717
7.130% due 07/01/2001 1,512 1,513
7.250% due 10/01/2002 16,634 16,563
North Atlantic Energy
9.050% due 06/01/2002 2,678 2,705
Occidental Petroleum
6.240% due 11/24/2000 5,000 4,987
Ohio Edison Co.
8.630% due 09/15/2003 5,000 5,211
Public Service Enterprise Group, Inc.
7.040% due 11/22/2000 (d) 10,000 9,999
Qwest Capital Funding, Inc.
6.130% due 07/15/2002 5,250 5,169
Qwest Corp.
7.630% due 06/09/2003 25,000 25,320
Reliant Energy, Inc.
6.380% due 11/01/2003 2,000 1,960
Southwestern Bell Communication Capital
Corp.
6.130% due 03/12/2001 2,000 1,993
Sprint Corp.
9.500% due 04/01/2003 5,800 6,087
Texas Utilities Co.
5.940% due 10/15/2001 13,155 12,982
9.700% due 02/28/2003 4,695 4,991
6.750% due 03/01/2003 925 919
6.750% due 04/01/2003 3,875 3,849
6.880% due 08/01/2005 2,000 1,964
Toledo Edison Co.
8.180% due 07/30/2002 2,500 2,542
U.S. West Communications, Inc.
5.650% due 11/01/2004 9,250 8,705
United Illuminating Co.
6.000% due 12/15/2003 13,000 12,550
Western Massachusetts Electric
7.750% due 12/01/2002 4,847 4,849
Western Resources, Inc.
6.250% due 08/15/2003 5,450 4,898
WorldCom, Inc.
6.130% due 08/15/2001 45,000 44,726
-------------
420,614
-------------
Total Corporate Bonds & Notes 2,506,082
(Cost $2,526,932) =============
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 0.8%
--------------------------------------------------------------------------------
Federal Home Loan Bank
6.240% due 08/24/2001 210 209
6.250% due 11/15/2002 995 991
6.000% due 03/26/2004 10,000 9,774
Federal Home Loan Mortgage Corp.
5.750% due 06/15/2001 750 746
6.000% due 07/20/2001 970 966
6.250% due 10/15/2002 750 746
7.380% due 05/15/2003 5,000 5,105
Federal National Mortgage Association
5.630% due 03/15/2001 3,174 3,160
4.630% due 10/15/2001 535 525
6.500% due 09/05/2002 600 597
6.250% due 11/15/2002 606 603
7.130% due 01/15/2030 28 29
Small Business Administration
8.250% due 01/25/2013 (d) 255 259
8.250% due 02/25/2014 (d) 796 848
Student Loan Marketing Assn.
6.920% due 04/25/2006 (d) 7,893 7,863
-------------
Total U.S. Government Agencies 32,421
(Cost $32,139) =============
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 9.7%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (i)
3.630% due 07/15/2002 (b)(j) 155,181 155,132
3.380% due 01/15/2007 (j) 38,184 36,931
3.630% due 01/15/2008 (j) 123,389 120,575
3.880% due 01/15/2009 98,818 98,015
U.S. Treasury Bonds
5.500% due 08/15/2028 100 93
U.S. Treasury Strips
0.000% due 02/15/2019 200 66
-------------
Total U.S. Treasury Obligations 410,812
(Cost $410,218) =============
See accompanying notes 49
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 41.8%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 15.4%
Amortizing Residential Collateral Trust
6.880% due 09/25/2003 (d) $ 16,690 $ 16,690
Bayview Financial Revolving Mortgage
7.920% due 08/25/2029 (d) 6,900 6,785
Cendant Mortgage Corp.
6.500% due 01/18/2016 513 505
Chase Commercial Mortgage Securities Corp.
7.600% due 12/18/2005 156 159
Chase Mortgage Finance Corp.
10.000% due 11/25/2009 87 87
6.500% due 06/25/2013 6,229 6,161
6.320% due 04/25/2025 (d) 3,116 3,147
6.750% due 06/25/2028 11,250 10,810
6.350% due 07/25/2029 4,717 4,670
CMC Securities Corp. IV
7.250% due 10/25/2027 12,141 12,035
Collateralized Mortgage Obligation Trust
6.750% due 01/20/2003 (d) 4 4
Commercial Trust
6.670% due 12/15/2003 3,799 3,575
Countrywide Funding Corp.
6.250% due 01/25/2035 (d) 2,810 2,786
Countrywide Home Loans
6.250% due 07/25/2009 467 464
6.900% due 12/25/2027 18,168 17,481
Criimi Mae Financial Corp.
7.000% due 01/01/2033 8,469 8,358
CS First Boston Mortgage Securities Corp.
6.400% due 01/17/2035 132 131
Dime Savings
7.060% due 11/01/2018 (d) 1,340 1,210
DLJ Mortgage Acceptance Corp.
11.000% due 08/01/2019 697 758
8.670% due 05/25/2024 (d) 1,056 1,079
7.190% due 06/25/2026 (d) 9,473 9,369
6.850% due 12/17/2027 165 165
Enterprise Mortgage Acceptance Co.
6.110% due 01/15/2025 106 105
Federal Home Loan Mortgage Corp.
6.000% due 07/15/2006 1,585 1,574
6.500% due 08/15/2006 2,211 2,199
9.500% due 03/01/2010 23 24
6.500% due 08/15/2011 18,088 17,773
12.500% due 09/30/2013 544 580
9.500% due 08/01/2016 6 6
10.000% due 11/01/2016 18 19
9.500% due 06/01/2019 19 20
10.000% due 07/15/2019 232 244
9.000% due 11/15/2019 485 489
10.000% due 05/15/2020 166 174
9.500% due 07/01/2020 9 9
9.500% due 08/01/2020 28 29
7.500% due 12/15/2020 957 960
9.000% due 12/15/2020 2,821 2,906
9.500% due 01/15/2021 959 996
8.000% due 04/15/2021 1,146 1,168
9.000% due 05/15/2021 193 198
9.500% due 09/01/2021 33 34
7.500% due 01/20/2024 4,574 4,582
Federal National Mortgage Association
8.950% due 05/25/2003 21 22
9.400% due 07/25/2003 43 44
9.000% due 07/25/2003 176 177
6.880% due 06/25/2009 1,294 1,288
7.000% due 09/25/2016 10,368 10,314
8.750% due 05/25/2019 21 21
9.500% due 03/25/2020 3,671 4,000
9.500% due 05/25/2020 1,278 1,329
9.000% due 03/25/2021 3,151 3,243
9.000% due 04/25/2021 107 111
8.000% due 03/25/2022 29 29
5.000% due 01/25/2024 54 53
8.500% due 04/01/2025 2,854 2,934
6.890% due 02/01/2028 (d) 5,771 5,934
General Electric Capital Mortgage Services, Inc.
6.750% due 12/25/2012 2,629 2,610
6.500% due 02/25/2024 1 1
German American Capital Corp.
7.000% due 08/12/2010 6,800 6,685
Glendale Federal Savings & Loan
7.940% due 03/25/2030 (d) 949 941
Greenwich
9.480% due 11/25/2024 (d) 151 151
Impac Secured Assets CMN Owner Trust
8.000% due 07/25/2030 113,595 114,056
Independent National Mortgage Corp.
9.140% due 11/25/2024 (d) 48 48
J.P. Morgan Commercial Mortgage Finance Corp.
7.070% due 09/15/2029 185 185
6.370% due 01/15/2030 116 114
LB Commercial Conduit Mortgage Trust
6.330% due 11/18/2004 119 118
Mellon Residential Funding Corp.
6.400% due 06/25/2028 2,661 2,589
6.580% due 07/25/2029 (d) 17,411 17,193
Morgan Stanley Capital
7.230% due 01/16/2006 230 232
7.460% due 02/15/2020 8,100 8,234
6.860% due 08/15/2023 121 120
6.220% due 06/01/2030 209 205
Mortgage Capital Funding, Inc.
6.330% due 10/18/2007 21,345 20,895
Nomura Asset Securities Corp.
6.630% due 01/25/2009 463 460
Norwest Asset Securities Corp.
6.500% due 04/25/2028 1,415 1,374
6.500% due 01/25/2029 6,000 5,623
PNC Mortgage Securities Corp.
6.500% due 02/25/2028 5,847 5,808
6.750% due 05/25/2028 4,777 4,723
7.750% due 07/25/2030 60,352 60,239
Prudential Bache
6.710% due 09/01/2018 (d) 22 21
8.400% due 03/20/2021 3,319 3,400
Prudential Home Mortgage Securities
7.500% due 09/25/2007 824 829
7.000% due 01/25/2008 10,000 9,932
6.750% due 11/25/2008 4,941 4,790
7.000% due 06/25/2023 3,014 2,992
6.050% due 04/25/2024 113 112
6.000% due 05/25/2024 1 1
Resecuritization Mortgage Trust
6.870% due 04/26/2021 (d) 9,452 9,263
Residential Accredit Loans, Inc.
6.500% due 02/25/2029 24,140 23,197
7.000% due 07/25/2029 541 533
Residential Asset Securitization Trust
6.500% due 09/25/2014 441 427
Residential Funding Mortgage Securities, Inc.
6.500% due 06/25/2008 176 176
6.500% due 04/25/2009 22 22
5.880% due 07/01/2019 (d) 752 717
7.500% due 08/25/2023 497 498
7.100% due 07/25/2027 4,220 4,200
7.000% due 10/25/2027 10,000 9,451
7.250% due 10/25/2027 17,582 17,526
6.250% due 11/25/2028 6,000 5,432
Resolution Trust Corp.
8.630% due 10/25/2021 10,337 10,297
5.970% due 10/25/2021 435 412
6.940% due 10/25/2021 (d) 68 67
6.900% due 02/25/2027 3,338 3,077
9.000% due 09/25/2028 134 135
7.350% due 10/25/2028 (d) 87 86
50 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Ryland Mortgage Securities Corp.
7.040% due 11/25/2021 $ 664 $ 654
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 368 370
7.160% due 12/25/2017 (d) 1,525 1,532
9.060% due 03/25/2024 (d) 995 1,002
Shearson Lehman
9.600% due 03/25/2021 280 279
Structured Asset Mortgage Investments, Inc.
6.910% due 06/25/2028 (d) 6,413 6,241
9.040% due 06/25/2029 (d) 8,097 8,340
6.580% due 06/25/2029 (d) 29,963 28,724
6.750% due 05/02/2030 4,141 4,024
Structured Asset Securities Corp.
6.750% due 07/25/2029 15,441 15,228
7.750% due 07/25/2030 29,087 29,331
TMA Mortgage Funding Trust
7.000% due 01/25/2029 (d) 10,131 10,131
Torrens Trust
6.880% due 07/15/2031 (d) 6,706 6,706
Union Planters Mortgage Finance Corp.
6.450% due 01/25/2028 6,000 5,909
-------------
648,685
=============
Federal Home Loan Mortgage Corporation 1.3%
5.750% due 01/15/2008 4,521 4,471
6.000% due 09/01/2006-03/01/2011 (h) 9,602 9,318
6.500% due 02/01/2005-10/01/2028 (h) 1,160 1,150
6.750% due 06/15/2019 4,062 4,047
6.870% due 10/01/2027 (d) 1,086 1,067
7.000% due 01/01/2017 (d) 39 39
7.380% due 11/01/2022 (d) 1,609 1,643
7.390% due 10/01/2023 (d) 1,008 1,029
7.430% due 11/01/2023 (d) 578 590
7.500% due 09/01/2006-01/01/2024 (d)(h) 2,121 2,160
7.550% due 02/01/2020 (d) 2,164 2,189
7.840% due 03/01/2024 (d) 74 77
7.890% due 01/01/2024 (d) 809 833
7.910% due 06/01/2024 (d) 640 657
8.000% due 07/01/2006-12/01/2024 (h) 5,081 5,177
8.240% due 09/01/2023 (d) 257 263
8.250% due 10/01/2007-11/01/2007 (h) 25 25
8.420% due 12/01/2022 (d) 639 656
8.500% due 07/01/2001-11/01/2025 (h) 12,535 12,912
8.510% due 07/01/2018 (d) 252 258
8.750% due 02/01/2001-04/01/2002 (h) 20 20
9.000% due 05/01/2002-08/01/2022 (h) 3,026 3,136
9.250% due 07/01/2001 2 2
9.500% due 03/01/2001-02/01/2025 (h) 247 253
9.750% due 03/01/2001-11/01/2008 (h) 618 634
10.000% due 04/01/2001-10/01/2019 (h) 76 80
10.500% due 10/01/2000-02/01/2016 (h) 31 32
10.750% due 09/01/2009-08/01/2011 (h) 314 338
11.500% due 10/01/2015-01/01/2016 (h) 43 48
11.750% due 11/01/2010-08/01/2015 (h) 12 14
12.000% due 09/01/2013 2 2
14.000% due 09/01/2012-04/01/2016 (h) 11 11
14.500% due 12/01/2010 3 3
15.000% due 08/01/2011-12/01/2011 (h) 3 4
15.500% due 11/01/2011 0 0
16.000% due 04/01/2012 0 0
-------------
53,138
=============
Federal Housing Administration 1.0%
6.950% due 04/01/2014 2,084 1,915
7.400% due 02/01/2019 93 91
7.420% due 11/01/2019 525 515
7.430% due 10/01/2019-07/01/2024 (h) 41,082 40,942
-------------
43,463
=============
Federal National Mortgage Association 5.8%
6.000% due 05/01/2011-12/25/2020 (h) 189 185
6.320% due 08/01/2029 19,176 18,204
6.450% due 04/01/2018 (d) 6,233 6,102
6.500% due 06/01/2008 14 13
6.780% due 01/01/2021 (d) 400 396
7.000% due 04/01/2002-05/01/2012 (h) 305 304
7.140% due 11/01/2018 (d) 156 157
7.230% due 04/25/2022 (d) 187 189
7.260% due 07/01/2017 (d) 490 496
7.270% due 11/01/2017 (d) 302 303
7.800% due 01/01/2024 (d) 2,100 2,158
7.850% due 01/01/2024 (d) 28 29
7.910% due 04/01/2024 (d) 1,952 2,004
8.000% due 03/01/2004-10/16/2030 (h) 148,062 150,005
8.290% due 10/01/2024 (d) 3,580 3,700
8.500% due 03/01/2008-10/16/2030 (h) 51,528 52,785
8.700% due 07/01/2023 (d) 1,262 1,297
9.000% due 01/01/2025 4 4
9.500% due 07/01/2024-11/01/2025 (h) 3,696 3,828
10.000% due 02/01/2004-01/01/2025 (h) 1,142 1,194
10.500% due 06/01/2005-12/01/2024 (h) 163 172
11.000% due 11/01/2020 45 49
11.250% due 12/01/2010-10/01/2015 (h) 140 152
11.500% due 12/01/2008-02/01/2020 (h) 64 71
11.750% due 02/01/2016 36 39
12.000% due 01/01/2015-10/01/2015 (h) 6 6
12.750% due 03/01/2014 25 28
13.000% due 07/01/2015 8 9
13.250% due 09/01/2011 13 15
13.500% due 04/01/2014 3 4
15.500% due 10/01/2012-12/01/2012 (h) 56 64
15.750% due 12/01/2011 25 29
16.000% due 09/01/2012-12/01/2012 (h) 11 14
-------------
244,005
=============
Government National Mortgage Association 17.7%
6.380% due 05/20/2027 (d) 1,583 1,594
6.500% due 05/15/2023-10/21/2029 (h) 84,534 81,421
6.750% due 08/20/2022-07/20/2027 (d)(h) 75,246 75,919
7.000% due 03/15/2011-10/23/2030 (h) 56,341 55,788
7.130% due 10/20/2023-12/20/2027 (d)(h) 53,892 54,288
7.380% due 04/20/2016-06/20/2027 (d)(h) 40,882 41,200
7.500% due 02/15/2022-10/23/2030 (h) 90,147 90,416
8.000% due 07/15/2004-10/23/2030 (h) 277,487 282,249
8.500% due 04/15/2022-10/23/2030 (h) 62,938 64,684
9.000% due 03/15/2017 14 15
9.500% due 10/15/2016-06/15/2025 (h) 123 129
9.750% due 07/15/2013-10/15/2017 (h) 511 535
10.000% due 10/15/2013-11/15/2025 (h) 129 137
10.500% due 11/15/2019-02/15/2021 (h) 16 17
11.000% due 09/15/2010 8 9
11.500% due 08/15/2018 37 41
11.750% due 08/15/2013-08/15/2015 (h) 56 61
12.000% due 06/20/2015 8 9
12.250% due 01/15/2014 36 40
13.000% due 10/15/2013 6 6
13.500% due 05/15/2011-11/15/2012 (h) 22 27
16.000% due 12/15/2011-04/15/2012 (h) 27 31
-------------
748,616
=============
Other Mortgage-Backed Securities 0.3%
First Boston Mortgage Securities Corp.
8.300% due 08/20/2009 3 3
Glendale Federal Savings & Loan
11.000% due 03/01/2010 16 16
Home Savings of America
6.100% due 05/25/2027 (d) 1,177 1,147
Imperial Savings & Loan
8.850% due 07/25/2017 (d) 31 30
9.900% due 02/25/2018 383 379
Resolution Trust Corp.
6.700% due 05/25/2019 (d) 3,312 3,302
6.860% due 08/25/2019 (d) 2,788 2,789
10.300% due 08/25/2021 (d) 402 400
6.050% due 10/25/2028 (d) 1,797 1,851
7.200% due 05/25/2029 (d) 2,127 2,125
Salomon Brothers Mortgage Securities
8.140% due 12/25/2017 (d) 133 133
Sears Mortgage
12.000% due 02/25/2014 57 59
7.430% due 10/25/2022 (d) 1,770 1,790
-------------
14,024
=============
See accompanying notes 51
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Stripped Mortgage-Backed Securities 0.3%
Federal Home Loan Mortgage Corp. (IO)
6.000% due 02/15/2006 $ 350 $ 5
9.980% due 07/15/2006 7 37
10.190% due 08/15/2006 3 20
11.940% due 12/15/2006 8 55
6.000% due 10/15/2007 398 14
6.000% due 02/15/2008 1,555 57
7.000% due 08/15/2018 5,516 374
7.000% due 04/15/2019 327 4
6.500% due 05/15/2019 4,111 227
6.500% due 06/15/2019 1,849 117
10.500% due 04/15/2021 13 149
6.500% due 04/15/2022 2,582 273
7.000% due 05/15/2023 324 42
4.000% due 01/15/2024 20,919 4,502
Federal National Mortgage Association (IO)
7.270% due 09/25/2006 32 176
6.000% due 02/25/2008 2,147 98
256.000% due 11/01/2008 22 107
6.500% due 03/25/2009 3,825 371
0.100% due 03/25/2009 (d) 16,057 273
6.500% due 03/25/2009 1,362 140
6.920% due 07/25/2017 2,313 2,299
7.500% due 03/25/2019 2,029 148
6.500% due 05/25/2019 8,730 624
6.500% due 04/25/2020 6,447 360
7.000% due 05/25/2021 3,909 281
8.600% due 02/25/2022 19 272
6.500% due 03/25/2023 3,322 372
4.880% due 03/25/2024 (d) 6,455 271
Federal National Mortgage Association (PO)
0.000% due 09/25/2022 26 22
Prudential Home Mortgage Securities (IO)
0.300% due 04/25/2009 (d) 49,173 312
-------------
12,002
-------------
Total Mortgage-Backed Securities 1,763,933
(Cost $1,770,729) =============
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 6.2%
--------------------------------------------------------------------------------
Advanta Mortgage Loan Trust
7.760% due 05/25/2018 21,700 21,935
Allied Waste Industries, Inc.
9.440% due 07/30/2006 11,364 11,026
9.750% due 07/30/2007 (d) 1,818 1,764
9.690% due 07/30/2007 (d) 11,819 11,468
Amresco Residential Securities Mortgage Loan Trust
6.810% due 07/25/2027 (d) 71 71
AT&T Universal Card Master Trust
5.950% due 10/17/2002 4,000 4,001
Bombardier Capital Mortgage
6.610% due 09/15/2010 8,587 8,544
Capital Asset Research Funding LP
6.400% due 12/15/2004 65 66
CIT Marine Trust
5.800% due 04/15/2010 200 196
Citicorp Mortgage Securities, Inc.
6.750% due 05/25/2028 6,266 5,909
CMC Securities Corp. IV
7.250% due 11/25/2027 8,724 8,593
Community Program Loan Trust
4.500% due 10/01/2018 15,756 14,136
Compucredit Credit Card Trust
6.850% due 03/15/2007 (d) 32,000 32,000
Duck Auto Grantor Trust
5.650% due 03/15/2004 6,067 5,998
Empire Funding Home Loan Owner Trust
6.590% due 05/25/2014 5,438 5,413
Federal-Mogul Corp.
8.700% due 12/31/2005 (d) 14 12
GF Funding Corp.
6.890% due 01/20/2006 20,503 20,372
Green Tree Financial Corp.
6.550% due 02/15/2027 12,387 12,316
7.400% due 06/15/2027 11,748 11,834
Green Tree Home Improvement Loan Trust
6.320% due 08/15/2008 6,753 6,748
IMC Home Equity Loan Trust
6.840% due 10/20/2027 (d) 4,336 4,338
Irwin Home Equity
7.460% due 09/15/2030 18,321 18,343
Merit Securities Corp.
7.040% due 12/28/2033 22,674 22,578
MGM Grand Term Loan
7.870% due 05/06/2001 (d) 8,865 8,844
New York City Tax Lien
6.350% due 07/10/2007 7,395 7,311
Oakwood Mortgage Investors, Inc.
6.950% due 08/15/2027 4,735 4,713
Option One Mortgage Loan Trust
6.910% due 09/25/2030 (d) 5,978 5,978
Prudential Home Mortgage Securities
7.000% due 08/25/2009 4,000 3,994
Saxon Asset Securities Trust
7.210% due 01/25/2019 275 275
6.850% due 05/25/2029 (d) 1,744 1,746
Stone Container Corp.
10.190% due 10/01/2003 2,363 2,371
-------------
Total Asset-Backed Securities 262,893
(Cost $264,398) =============
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 2.0%
--------------------------------------------------------------------------------
Central Bank Philippines
7.940% due 06/01/2008 (d) 2,993 2,679
Hydro-Quebec
9.000% due 03/07/2001 10,000 10,073
Nacional Financiera
10.630% due 11/22/2001 7,500 7,740
8.570% due 05/08/2003 (d) 5,000 5,078
Province of Quebec
6.380% due 10/25/2001 (d) 250 249
Republic of Brazil
7.380% due 04/15/2006 2,325 2,194
Republic of Argentina
11.600% due 04/10/2005 (d) 1,400 1,302
Republic of Brazil
7.880% due 01/01/2001 (d) 1,181 1,181
7.380% due 04/15/2006 (d) 4,278 4,027
Republic of Philippines
7.810% due 01/05/2005 (d) 1,800 1,699
7.940% due 12/01/2009 (d) 15,352 13,356
United Mexican States
5.820% due 06/28/2001 10,500 10,382
10.500% due 04/07/2004 (d) 14,730 15,290
10.020% due 04/07/2004 (d) 1,800 1,872
9.780% due 04/07/2004 (d) 5,000 5,190
-------------
Total Sovereign Issues 82,312
(Cost $82,398) =============
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.7%
--------------------------------------------------------------------------------
British Telecom PLC
4.730% due 07/27/2001 (d) EC 16,000 14,112
Korea Development Bank
4.800% due 05/14/2001 (d) DM 340 152
2.700% due 08/16/2002 JY 2,000,000 19,045
Republic of Austria
5.500% due 01/15/2010 (j) EC 8,900 7,799
Republic of Colombia
7.000% due 03/06/2002 IL 36,220,000 15,866
United Mexican States
6.000% due 03/28/2002 JY 960,000 9,494
8.750% due 05/30/2002 BP 3,000 4,493
-------------
Total Foreign Currency-Denominated Issues 70,961
(Cost $74,194) =============
52 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.0%
--------------------------------------------------------------------------------
Utilities 0.0%
Alliant Energy Resources, Inc.
4.910% due 01/01/2000 $ 2,000 $ 121
-------------
Total Convertible Bonds & Notes 121
(Cost $136) =============
--------------------------------------------------------------------------------
PREFERRED STOCK 1.9%
--------------------------------------------------------------------------------
Shares
Home Ownership Funding
13.331% due 12/31/2049 3,000 2,291
Rhone-Poulenc SA
8.125% due 12/31/2049 13,000 292
SI Financing Trust
9.500% due 06/30/2026 806,600 20,316
TCI Communications, Inc.
9.720% due 12/31/2036 224,700 5,842
8.720% due 01/31/2045 1,170,100 29,253
10.000% due 05/31/2045 800,300 20,258
-------------
Total Preferred Stock 78,252
(Cost $83,777) =============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 2.5%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 2.4%
Anz, Inc.
6.480% due 11/07/2000 $ 200 199
CDC
6.570% due 11/29/2000 3,000 2,967
Edison Midwest
6.720% due 10/18/2000 9,200 9,172
6.750% due 11/01/2000 850 845
General Electric Capital Corp.
6.520% due 01/19/2001 22,500 22,060
Houston Industries
6.770% due 10/18/2000 5,000 4,985
Ingersoll-Rand Co.
6.680% due 10/02/2000 8,300 8,300
International Paper Co.
6.720% due 11/07/2000 13,700 13,608
Motorola, Inc.
6.480% due 12/26/2000 10,500 10,334
Nabisco, Inc.
6.700% due 10/18/2000 5,700 5,683
Pearson
6.730% due 10/25/2000 3,000 2,987
Sumitomo Bank
6.700% due 10/18/2000 6,600 6,580
Texas Utilities Co.
6.700% due 10/18/2000 11,900 11,865
-------------
99,585
=============
Repurchase Agreements 0.1%
State Street Bank
5.850% due 10/02/2000 2,444 2,444
(Dated 9/29/2000. Collateralized by -------------
Federal National Mortgage Association
6.100% due 08/10/2001 valued at $2,495.
Repurchase proceeds are $2,445.)
U.S. Treasury Bills (b) 0.0%
5.930% due 02/01/2001 140 137
-------------
Total Short-Term Instruments 102,166
(Cost $102,173) =============
Total Investments (a) 125.9% $ 5,309,953
(Cost $5,347,094)
Written Options (c) (0.0%) (1,370)
(Premiums $3,819)
Other Assets and Liabilities (Net) (25.9%) (1,091,075)
-------------
Net Assets 100.0% $ 4,217,508
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 20,659
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (57,800)
-------------
Unrealized depreciation-net $ (37,141)
=============
(b) Securities with an aggregate market value of $7,997
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 2000:
# of Unrealized
Type Contracts Appreciation
--------------------------------------------------------------------------------
U.S. Treasury 10 Year Note (12/2000) 51 $ 0
EuroBond 10 Year Note Written Put Options (11/2000) 1,714 524
-------------
$ 524
=============
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 1,875 $ 1,934 $ 47
Put - CME Eurodollar March Futures
Strike @ 92.75 Exp. 03/19/2001 594 254 22
Call - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 1,468 380 1,082
Put - CME Eurodollar March Futures
Strike @ 92.25 Exp. 03/19/2001 781 468 10
Put - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 341 343 64
Put - CME Eurodollar March Futures
Strike @ 93.50 Exp. 03/19/2001 341 440 145
----------------------
$ 3,819 $ 1,370
======================
(d) Variable rate security. The rate listed is as of September 30, 2000.
See accompanying notes 53
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 2000 (Unaudited)
-------------------------------------------------------------------------------
(e) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
-------------------------------------------------------------------------------
Sell EC (18,911) 10/2000 $ 523
Buy 124,700 11/2000 2,119
Sell BP (3,283) 10/2000 (65)
Sell JY (3,095,172) 10/2000 151
Buy 581,184 10/2000 (1)
Sell (581,184) 11/2000 (0)
Buy PZ 20,000 02/2001 (74)
---------------
$ 2,653
===============
(f) Principal amount denoted in indicated currency:
BP - British Pound
EC - Euro
JY - Japanese Yen
PZ - Polish Zloty
(g) Swap agreements outstanding at September 30, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive a fixed rate equal to 9.250% and pay a fixed rate
equal to 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 $ (69)
Receive a fixed rate equal to 9.250% and pay a fixed rate
equal to 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 (107)
Receive fixed rate equal to 0.430% and the Fund will pay to
the counterparty at par in the event of default of
Time Warner, Inc. 7.750% due 06/15/2005.
Broker: Lehman Brothers
Exp. 07/11/2003 20,000 1
Receive fixed rate equal to 0.510% and the Fund will pay to the
counterparty at par in the event of default of Time Warner, Inc.
7.750% due 06/15/2005.
Broker: Lehman Brothers
Exp. 01/25/2005 5,000 0
Receive fixed rate equal to 0.230% and the Fund will pay to the
counterparty at par in the event of default of Associates Corp.
6.000% due 04/15/2003.
Broker: Warburg Dillon Read LLC
Exp. 01/14/2003 43,000 1
Receive floating rate based on 3-month Canadian Bank Bill
and pay a fixed rate equal to 6.302%.
Broker: Goldman Sachs
Exp. 07/13/2010 C$ 30,000 (193)
------------
$ (367)
============
Fixed
Rate Notional Unrealized
Type (%) Amount Appreciation
--------------------------------------------------------------------------------
Receive the 10-year Swap Spread and pay a fixed spread.
The 10-year Swap Spread is the difference between the
10-year Swap Rate and the 10-year Treasury Rate.
Broker: Goldman Sachs
Exp. 02/15/2005 0.8675 $ 49,000 $ 493
(h) Securities are grouped together by coupon or range of coupons and represent
a range of maturities.
(i) Principal amount of the security is adjusted for inflation.
(j) Subject to financing transaction.
54 See accompanying notes
<PAGE>
Schedule of Investments
Municipal Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 96.9%
--------------------------------------------------------------------------------
Arizona 6.2%
Phoenix Industrial Development Authority Revenue Bonds,
(GNMA/FNMA/FHLMC Insured), Series 2000-1A
5.875% due 06/01/2016 $ 1,000 $ 1,028
Pima County, Arizona Industrial Development Authority
Multi-Family Revenue Bonds, (HUD SECT 8 Insured),
Series 1998 5.375% due 06/01/2010 1,210 1,235
Scottsdale, Arizona Industrial Development Authority
Hospital Revenue Bonds, (AMBAC Insured),
Series 1997 A 6.500% due 09/01/2004 1,130 1,206
-----------
3,469
===========
California 15.5%
Alameda, California Harbor Bay Business Park
Assessment Revenue Bonds, Series 1998
5.000% due 09/02/2006 360 360
Capistrano, California Unified School District
Special Tax, Series 1999 5.000% due 350 350
09/01/2008
Foothill/Eastern Corridor Agency California Toll Road
Revenue Bonds, (MBIA-IBC), Series 1999
0.000% due 01/15/2026 1,565 936
Irvine, California Special Assessment Bond, Series 1998
4.800% due 09/02/2004 150 150
4.900% due 09/02/2005 160 160
4.900% due 09/02/2005 150 149
5.000% due 09/02/2006 150 149
Irvine, California Special Assessment Bond, Series 1999
5.000% due 09/02/2005 350 350
5.100% due 09/02/2006 350 349
5.100% due 09/02/2006 185 185
5.200% due 09/02/2007 180 180
5.200% due 09/02/2007 75 75
Knox Middle School Building Corp. Revenue Bonds,
Series 2000 5.700% due 07/15/2010 260 276
Lake Elsinore, California School Refunding Bonds,
Series 1998 5.000% due 09/01/2006 350 349
Los Angeles Community Redevelopment Agency
Certificates of Partnership Revenue Bonds,
Series 1984 7.550% due 11/01/2008 1,150 1,275
Los Angeles County Transportation Commission,
Sales Tax Revenue Refunding Bonds,
Series 1991 B 6.500% due 07/01/2013 1,000 1,036
Orange County, California Improvement Bond,
Series 1998 A 4.900% due 09/02/2005 245 244
Pittsburg, California Infrastructure Refunding Bonds,
Series 1998 A 4.900% due 09/02/2003 150 151
5.000% due 09/02/2004 150 152
Riverside County, California Special Tax Refunding Bonds,
Series 1999 4.200% due 09/01/2001 300 300
4.700% due 09/01/2005 170 170
Roseville, California Special Tax, Series 1999
5.000% due 09/01/2004 350 351
Sacramento County, California Refunding Bonds,
Series 1998 4.900% due 09/02/2005 300 298
South Tahoe California Powers Financing Authority
Revenue Bonds, Series 1999
7.300% due 10/01/2007 350 359
West Sacramento, California Refunding Bonds,
Series 1998 5.000% due 09/02/2004 350 353
-----------
8,707
===========
Colorado 6.8%
Colorado Housing & Finance Authority Revenue Bonds,
(FHA/VA Mortgages Insured) Series 2000-C3
5.700% due 10/01/2022 1,000 1,020
Colorado Housing & Finance Authority Revenue Bonds,
Series 2000-D3 6.750% due 04/01/2015 250 272
Colorado Housing & Finance Authority,
Series 2000-B3 6.700% due 10/01/2016 250 272
Colorado Springs, Colorado Hospital Revenue Bond,
Series 2000 6.375% due 12/15/2030 1,000 994
Denver, Colorado Health & Hospital Revenue Bonds,
Series 1998 A 5.000% due 12/01/2009 1,390 1,258
-----------
3,816
===========
Florida 1.1%
Gainesville, Florida Revenue Bonds, Series 1979
6.200% due 10/01/2002 300 304
Orange County, Florida Health Facilities Authority
Revenue Bonds, (MBIA Insured), Series 1996
6.250% due 10/01/2011 290 319
-----------
623
===========
Georgia 0.4%
Georgia Municipal Electric Authority Revenue Bonds,
(MBIA-IBC Insured), Series 1997
6.500% due 01/01/2012 200 224
-----------
Hawaii 1.8%
Honolulu Hawaii City & County General Obligation,
(MBIA-IBC), Series 1993
5.450% due 09/11/2008 1,000 1,039
-----------
Indiana 2.0%
Indiana Local Public Improvement Bonds Bank,
Transportation Revenue Bonds, Series 1992
6.750% due 02/01/2014 1,000 1,125
-----------
Kansas 1.8%
Wichita Kansas Hospital Revenue Bonds, Series 1999
6.250% due 11/15/2024 1,000 1,000
-----------
Louisiana 0.5%
Louisiana Local Government Revenue Bonds,
(MBIA Insured), Series 2000
5.700% due 01/01/2010 250 259
-----------
Massachusetts 6.6%
Massachusetts Housing Finance Agency Revenue Bonds,
(AMBAC Insured), Series 1993
5.950% due 10/01/2008 1,500 1,559
Massachusetts State Development Finance Agency
Revenue Bonds, (ACA Insured), Series 1999
4.600% due 03/01/2009 400 378
Massachusetts State Development Finance Agency
Revenue Bonds, Series 1998
4.700% due 11/01/2007 210 202
4.800% due 11/01/2008 90 87
Massachusetts State General Obligation, Series 2000
6.000% due 02/01/2013 1,000 1,076
Massachusetts State Health Facilities Authority
Revenue Bonds, Series 1993
5.500% due 10/01/2002 400 389
-----------
3,691
===========
See accompanying notes 55
<PAGE>
Schedule of Investments (Cont.)
Municipal Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Michigan 2.5%
Farmington Hills Michigan Hospital, Revenue Bond,
(MBIA Insured), Series 1991 B
5.700% due 02/15/2016 (b) $ 200 $ 200
Michigan State Environmental Protection General
Obligation Bonds, Series 1992
6.250% due 11/01/2012 1,100 1,216
-----------
1,416
===========
Minnesota 1.9%
Minneapolis & St. Paul Housing & Redevelopment Authority
Health Care Revenue Bonds, (FSA Insured), Series 1995
5.700% due 08/15/2025 100 100
New Richland, Minnesota Revenue Bonds, Series 1998
4.500% due 08/01/2004 1,000 993
-----------
1,093
===========
New Jersey 9.9%
New Jersey Economic Development Authority
Revenue Bond, Series 1998 A
0.010% due 04/01/2013 1,595 686
New Jersey Economic Development Authority
Revenue Bond, Series 1998
5.600% due 01/01/2012 1,000 885
6.375% due 04/01/2031 2,000 1,964
New Jersey Economic Development Authority Revenue
Bonds, Series 1999 6.625% due 09/15/2012 2,000 2,042
-----------
5,577
===========
New Mexico 2.4%
Los Alamos County, Utility Revenue Bonds,
Series 1994 A 6.000% due 07/01/2008 1,000 1,056
Santa Fe County, El Castillo Retirement Nursing Home
Bonds, Series 1998 A 5.250% due 05/15/2007 315 291
-----------
1,347
===========
New York 9.5%
Nassau County, New York Tobacco Settlement Corp.
Revenue Bonds, Series 1999
5.250% due 07/15/2011 1,000 1,003
New York City General Obligation Bonds, Series 1996 A
7.000% due 08/01/2007 1,000 1,117
New York State Dorm Authority Revenue Bonds,
(ACA Insured), Series 2000
5.850% due 07/01/2010 1,000 1,027
New York State Dorm Authority Revenue Bonds,
(MBIA Insured), Series 1996
5.600% due 07/01/2016 1,250 1,264
New York State Environmental Facilities Special
Obligation Revenue Bonds, Series 1996
5.125% due 04/01/2022 1,000 936
-----------
5,347
===========
North Carolina 1.9%
North Carolina Municipal Power Agency,
Catawaba Electric Revenue Bonds,
(AMBAC Insured), Series 1992
6.000% due 01/01/2008 1,000 1,068
-----------
North Dakota 3.7%
Mercer County Pollution Control Revenue
Bonds,
Series 1991 6.900% due 02/01/2019 2,000 2,054
-----------
Pennsylvania 2.0%
Allegheny County Hospital Development Authority Revenue Bonds,
(MBIA Insured), Series 2000 A
6.500% due 11/15/2030 1,000 1,053
Delaware County, Pennsylvania Hospital Revenue
Bonds, Series 1998
4.900% due 12/01/2008 100 90
-----------
1,143
===========
South Carolina 1.7%
Medical University South Carolina Hospital Facilities
Revenue Bonds, Series 1999
5.700% due 07/01/2012 1,000 982
-----------
Tennessee 3.1%
Nashville & Davidson County, Tennessee
Revenue Bonds, Series 1998
4.450% due 08/01/2007 1,000 960
Sullivan County, Tennessee Industrial Development
Revenue Bonds, (GNMA Insured), Series 1995
6.250% due 07/20/2015 750 787
-----------
1,747
===========
Texas 6.9%
Bexar, Texas Metro Water District Waterworks System
Revenue Bonds, (MBIA Insured), Series 1998
0.000% due 05/01/2035 2,190 281
Brazos River Authority Texas Revenue Bonds,
(MBIA Insured), Series 1998
4.900% due 10/01/2015 1,500 1,402
Dallas-Fort Worth International Airport Facility
Improvement Corp. Revenue Bonds, Series 2000
5.950% due 05/01/2029 1,000 1,003
Houston Independent School District General
Obligation, (PSF Insured), Series 1999
4.750% due 02/15/2026 1,000 844
Midlothian Texas Independent School District
General Obligation, (PSF-GTD Insured), Series 1999
0.010% due 02/15/2018 1,000 346
-----------
3,876
===========
Utah 6.6%
Intermountain Power Agency Utah Power Supply
Revenue Bonds, (MBIA Insured), Series 1996
6.500% due 07/01/2009 1,925 2,143
Intermountain Power Agency Utah Power Supply
Revenue Bonds, Series 1996 D
5.000% due 07/01/2021 1,710 1,547
-----------
3,690
===========
West Virginia 2.1%
West Virginia State Parkways Economic Development &
Tourism Authority Revenue Bonds, (FGIC Insured), Series 1993
5.831% due 05/16/2019 1,200 1,208
-----------
Total Municipal Bonds & Notes 54,501
(Cost $53,931) ===========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 0.2%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (c)
3.625% due 07/15/2002 108 108
-----------
Total U.S. Treasury Obligations 108
(Cost $108) ===========
56 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 0.0%
--------------------------------------------------------------------------------
Commercial Paper 0.0%
SSgA Tax Free Money Market
4.570% due 10/02/2000 $ 17 $ 17
-----------
Total Short-Term Instruments 17
(Cost $17) ===========
Total Investments (a) 97.1% $ 54,626
(Cost $54,056)
Other Assets and Liabilities (Net) 2.9% 1,622
-----------
Net Assets 100.0% $ 56,248
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 1,170
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (600)
-----------
Unrealized appreciation-net $ 570
===========
(b) Variable rate security. The rate listed is as of September 30, 2000.
(c) Principal amount of the security is adjusted for inflation.
See accompanying notes 57
<PAGE>
Schedule of Investments
New York Municipal Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 96.8%
--------------------------------------------------------------------------------
New York 96.8%
Amherst, New York General Obligation, (FGIC Insured),
Series A 5.500% due 12/01/2008 $ 150 $ 158
Edmeston, New York Central School District
General Obligation, (MBIA Insured), Series 1999
5.100% due 06/15/2007 150 153
Erie County New York General Obligation,
(AMBAC Insured), Series 2000
5.750% due 07/01/2010 250 267
Long Island Power Authority Revenue Bonds,
Series 1998 5.500% due 05/01/2033 100 100
Nassau County, New York Tobacco Settlement
Corp. Revenue Bonds, Series 1999
5.250% due 07/15/2011 150 151
New York City General Obligation, Series 1997
5.300% due 06/01/2012 150 152
New York City Municipal Water Finance Authority
Revenue Bonds, (FGIC Insured), Series 1994
5.500% due 06/15/2024 100 100
New York General Obligation Bond,
(Bayerische Landesbank Insured), Series 1995-F5
5.500% due 02/15/2016 (b) 100 100
New York General Obligation Bond,
(FGIC Insured), Series 1992-B
5.500% due 10/01/2020 100 100
New York General Obligation, Series 1997-D
5.250% due 08/01/2021 100 94
New York State Dormitory Authority
Revenue Bonds, (AMBAC Insured), Series 1998
5.000% due 07/01/2002 150 151
New York State Dormitory Authority
Revenue Bonds, (FSA Insured), Series 1998
4.750% due 07/01/2008 150 150
New York State Dormitory Authority
Revenue Bonds, (MBIA Insured), Series 1999
4.750% due 07/01/2006 150 150
New York State Energy Research & Development
Revenue Bonds, Series 1985
5.500% due 12/01/2025 200 200
New York State Local Government Assistance Corp.
Revenue Bonds, (MBIA Insured), Series 1997-B
5.125% due 04/01/2013 150 149
New York State Power Authority Revenue &
General Purpose, Series 1972-E
5.500% due 01/01/2010 135 139
New York State Thruway Authority Service Contract
Revenue Bonds, (MBIA Insured), Series 1999
4.900% due 04/01/2008 150 151
New York State Urban Development Corp.
Revenue Bonds, Series 1999
5.000% due 01/01/2005 150 151
New York, New York General Obligation,
Series 1997 5.750% due 08/01/2009 250 267
Ontario County Industrial Development Agency
Revenue Bonds, Series 1985
5.650% due 08/01/2015 100 100
Rockland County New York Solid Waste Management
Authority Revenue Bonds, Series 1999 A
4.800% due 12/15/2005 145 147
-----------
Total Municipal Bonds & Notes 3,130
===========
(Cost $3,088)
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.4%
--------------------------------------------------------------------------------
Commercial Paper 1.4%
R & T New York Money Market
4.550% due 10/02/2000 45 45
-----------
Total Short-Term Instruments 45
(Cost $45) ===========
Total Investments (a) 98.2% $ 3,175
(Cost $3,133)
Other Assets and Liabilities (Net) 1.8% 57
-----------
Net Assets 100.0% $ 3,232
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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
overtax cost $ 44
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value (2)
-----------
Unrealized appreciation-net $ 42
===========
(b) Variable rate security. The rate listed is as of September 30, 2000.
58 See accompanying notes
<PAGE>
Schedule of Investments
Real Return Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 50.4%
------------------------------------------------------------------------------
Banking & Finance 29.8%
Allied Irish Banks
7.030% due 09/07/2006 (d) $ 1,200 $ 1,205
Allstate Financial Global Funding
7.130% due 09/26/2005 2,500 2,501
Associates Corp. of North America
6.780% due 08/27/2001 (d) 1,500 1,504
6.960% due 05/08/2003 (d) 1,500 1,499
AT&T Capital Corp.
7.110% due 09/13/2001 (d) 500 501
7.010% due 04/23/2002 (d) 1,000 1,003
Bank One Corp.
6.900% due 09/26/2003 (d) 5,000 4,997
Bear Stearns Co., Inc.
7.090% due 08/01/2002 (d) 500 501
7.130% due 03/28/2003 (d) 6,000 6,000
7.050% due 09/21/2004 (d) 1,000 999
Chase Manhattan Corp.
6.960% due 12/10/2001 (d) 500 504
CIT Group, Inc.
6.750% due 05/14/2001 1,000 1,000
Citigroup, Inc.
6.710% due 09/17/2001 (d) 335 336
Dime Bancorp, Inc.
7.000% due 07/25/2001 4,225 4,206
Donaldson, Lufkin & Jenrette, Inc.
6.760% due 04/25/2003 (d) 7,500 7,497
DQE Capital Corp.
7.230% due 01/15/2002 (d) 1,000 1,000
Export-Import Bank Korea
6.500% due 11/15/2006 2,500 2,435
Finova Capital Corp.
7.340% due 11/08/2002 (d) 2,800 2,277
First Union Corp.
7.550% due 08/18/2005 10,000 10,129
Florida Windstorm
6.700% due 08/25/2004 500 494
Ford Motor Credit Corp.
6.990% due 07/16/2002 (d) 1,000 1,002
6.810% due 02/13/2003 (d) 350 350
6.950% due 06/20/2003 (d) 15,500 15,511
General Motors Acceptance Corp.
6.910% due 12/15/2000 (d) 1,500 1,500
6.920% due 07/20/2002 6,475 6,475
6.860% due 12/09/2002 (d) 2,000 2,002
Gold Eagle Capital Ltd.
9.000% due 04/15/2001 1,000 999
12.130% due 04/15/2001 2,440 2,440
Heller Financial, Inc.
7.060% due 02/05/2001 400 400
6.890% due 04/26/2002 (d) 250 250
6.500% due 07/22/2002 1,000 989
7.500% due 08/23/2002 5,700 5,739
6.970% due 04/28/2003 (d) 3,000 2,987
Household Finance Corp.
7.090% due 08/06/2002 (d) 2,000 2,006
J.P. Morgan & Co.
8.080% due 02/15/2012 3,470 3,002
Juno Reinsurance
10.370% due 06/26/2002 (d) 750 728
Korea Development Bank
5.890% due 03/01/2002 (d) 500 471
8.290% due 06/16/2003 (d) 500 490
Lehman Brothers Holdings, Inc.
9.880% due 10/15/2000 250 250
6.130% due 02/01/2001 2,600 2,592
7.680% due 04/02/2002 (d) 500 504
6.970% due 06/03/2002 (d) 2,500 2,498
7.530% due 07/15/2002 (d) 600 605
6.970% due 09/03/2002 (d) 2,000 1,999
MBNA America Bank NA
6.970% due 04/25/2002 (d) 500 499
Merrill Lynch & Co.
6.790% due 11/01/2001 (d) 3,000 3,003
7.090% due 02/08/2002 (d) 400 401
6.920% due 02/04/2003 (d) 2,000 1,999
6.990% due 08/01/2003 (d) 4,000 4,002
Monumental Global Funding II
6.910% due 09/26/2003 (d) 2,000 2,000
Morgan Stanley, Dean Witter, Discover and Co.
6.840% due 12/17/2001 (d) 300 300
6.880% due 04/15/2002 (d) 1,000 1,001
6.890% due 02/21/2003 (d) 1,500 1,503
6.850% due 03/11/2003 (d) 2,000 1,997
National Westminster Bank
7.160% due 09/16/2002 (d) 3,500 3,514
NeHi, Inc.
11.310% due 06/09/2003 (d) 4,000 4,020
Old Kent Bank
7.460% due 11/01/2005 (d) 1,000 999
Pemex Finance Ltd.
6.130% due 11/15/2003 433 426
Protective Life Funding Trust
7.090% due 01/17/2003 (d) 1,000 999
Prudential Funding Corp.
6.960% due 10/18/2001 (d) 3,000 3,005
6.380% due 07/23/2006 2,000 1,901
PS Colorado Credit Corp.
7.480% due 05/30/2002 (d) 1,300 1,299
Qwest Capital Funding, Inc.
7.200% due 07/08/2002 (d) 1,000 1,001
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (d) 2,797 2,764
6.960% due 04/28/2003 (d) 3,000 3,001
Seismic Ltd.
11.270% due 01/01/2002 (d) 2,500 2,500
Textron Financial Corp.
6.960% due 10/26/2001 (d) 2,500 2,505
7.030% due 09/17/2002 (d) 5,000 5,006
7.150% due 12/09/2002 (d) 4,000 4,001
Toyota Motor Credit Corp.
7.320% due 02/15/2002 (d) 400 393
-----------
160,416
-----------
Industrials 11.0%
AIC Corp.
6.150% due 10/02/2002 (d) 250 249
Alpha Wind
11.320% due 05/23/2001 (d) 1,500 1,500
Arrow Electronics, Inc.
7.440% due 11/24/2000 (d) 1,500 1,500
Atlas Air, Inc.
10.470% due 10/04/2004 (d) 4,400 4,400
Columbia/HCA Healthcare
8.160% due 09/19/2002 (d) 8,000 8,000
Cox Enterprises, Inc.
7.610% due 05/01/2033 (d) 2,000 1,999
DaimlerChrysler Holdings
7.000% due 08/16/2004 (d) 5,000 5,008
Delta Air Lines, Inc.
8.540% due 01/02/2007 3,932 4,042
Enron Corp.
7.110% due 09/10/2001 (d) 2,500 2,500
8.000% due 08/15/2005 3,000 3,046
Global Crossing Ltd.
6.000% due 10/15/2013 1,250 1,155
Packaging Corp. of America
8.630% due 06/20/2007 37 37
Petroleos Mexicanos
9.500% due 09/15/2027 4,750 4,904
Philip Morris Cos., Inc.
9.000% due 01/01/2001 1,000 1,002
7.250% due 09/15/2001 1,000 995
Raytheon Co.
5.950% due 03/15/2001 4,000 3,971
7.020% due 08/10/2001 (d) 1,600 1,601
Staples, Inc.
7.670% due 11/26/2001 (d) 2,000 2,000
See accompanying notes 59
<PAGE>
Schedule of Investments (Cont.)
Real Return Bond Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
Tyco International Group SA
7.370% due 03/05/2001 (d) $ 2,000 $ 2,002
United Air Lines, Inc.
6.890% due 12/02/2002 (d) 1,189 1,182
Vodafone AirTouch PLC
6.860% due 12/19/2001 (d) 6,500 6,509
Waste Management, Inc.
7.100% due 08/01/2026 1,500 1,450
-----------
59,052
Utilities 9.6% ===========
Coastal Corp.
7.330% due 07/21/2003 (d) 5,000 5,012
Commonwealth Edison Co.
7.160% due 09/30/2002 (d) 1,000 1,000
Deutsche Telekom AG
7.750% due 06/15/2005 10,000 10,247
Dominion Resources, Inc.
7.600% due 07/15/2003 5,000 5,054
Entergy Gulf States, Inc.
8.040% due 06/02/2003 (d) 2,500 2,502
Hawaiian Electric Industries, Inc.
7.780% due 04/15/2003 (d) 2,000 2,002
Hughes Electric
7.560% due 10/23/2000 3,500 3,501
Nabors Industries, Inc.
0.000% due 06/20/2020 5,000 3,488
National Rural Utilities Cooperative
6.880% due 05/31/2002 (d) 1,900 1,899
Oneok, Inc.
7.390% due 04/24/2002 (d) 2,000 2,002
Public Service Enterprise Group, Inc.
7.040% due 06/15/2001 500 500
Scana Corp.
7.210% due 02/08/2002 (d) 1,900 1,901
7.380% due 07/15/2002 (d) 3,900 3,905
Sierra Pacific Resources
7.390% due 04/20/2002 (d) 1,000 1,000
7.340% due 04/20/2003 (d) 2,000 2,001
Sprint Capital Corp.
6.970% due 11/15/2001 (d) 1,000 1,000
7.010% due 06/10/2002 (d) 3,000 3,001
Texas Utilities Co.
7.210% due 06/25/2001 (d) 1,300 1,299
7.590% due 09/24/2001 (d) 500 503
-----------
51,817
-----------
Total Corporate Bonds & Notes 271,285
(Cost $270,393) ===========
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 1.0%
--------------------------------------------------------------------------------
Florida 0.7%
Tampa Florida Utility Tax & Special Revenue Bond,
(AMBAC Insured), Series 2000
6.000% due 10/01/2004 3,580 3,701
-----------
New Mexico 0.1%
New Mexico Mortgage Finance Authorities Revenue Bonds,
(GNMA, FNMA, FHLMC Insured), Series 1997
7.000% due 07/01/2006 350 351
-----------
New York 0.0%
New York City Municipal Bond, Series 1997
6.960% due 08/01/2002 (d) 76 76
-----------
Ohio 0.2%
Hamilton Ohio School Districts Gas Supply Revenue Bonds,
Northern Ohio, (MBIA Insured), Series 1999
6.910% due 08/01/2001 1,500 1,504
-----------
Total Municipal Bonds & Notes 5,632
(Cost $5,645) ===========
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 1.3%
--------------------------------------------------------------------------------
Federal Farm Credit Bank
6.360% due 02/14/2002 (d) 600 591
Federal Home Loan Bank
7.270% due 02/15/2002 (d) 2,485 2,454
Federal National Mortgage Association
7.860% due 03/13/2002 (d) 2,000 1,972
Student Loan Marketing Assn
6.480% due 07/25/2004 (d) 70 70
6.830% due 10/25/2004 (d) 80 80
6.920% due 04/25/2006 (d) 1,505 1,499
6.700% due 01/25/2007 (d) 292 292
-----------
Total U.S. Government Agencies 6,958
(Cost $6,943) ===========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 129.6%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (c)
3.630% due 07/15/2002 (b)(h) 187,839 187,781
3.380% due 01/15/2007 (h) 145,100 140,340
3.630% due 01/15/2008 (h) 211,738 206,909
3.880% due 01/15/2009 (h) 43,253 42,902
4.250% due 01/15/2010 1,026 1,048
3.630% due 04/15/2028 (h) 54,101 51,431
3.880% due 04/15/2029 66,981 66,563
-----------
Total U.S. Treasury Obligations 696,974
(Cost $694,182) ===========
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 0.9%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 0.6%
Federal Home Loan Mortgage Corp.
7.000% due 07/15/2022 2,941 2,937
6.500% due 01/25/2028 100 91
Federal National Mortgage Association
7.060% due 10/25/2008 (d) 261 261
6.500% due 02/25/2029 121 86
-----------
3,375
Federal Home Loan Mortgage Corporation 0.1% ===========
7.430% due 12/01/2020-02/01/2023 (d)(i) 425 426
-----------
Federal National Mortgage Association 0.1%
8.520% due 10/01/2024 (d) 412 423
-----------
Other Mortgage-Backed Securities 0.1%
CMC Securities Corp.
6.000% due 11/25/2008 532 529
-----------
Total Mortgage-Backed Securities 4,753
(Cost $4,773) ===========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 8.7%
--------------------------------------------------------------------------------
Aesop Funding LLC
6.570% due 11/20/2006 14,000 14,000
AFC Home Equity Loan Trust
6.840% due 03/25/2027 (d) 201 201
American Residential Eagle Trust
6.960% due 07/25/2029 (d) 6,173 6,175
Asset Backed Securities Corp. Home Equity
6.990% due 06/21/2029 (d) 5,979 5,998
Conseco Finance
7.890% due 07/15/2018 2,000 2,035
8.170% due 12/15/2025 2,000 2,062
6.290% due 10/15/2030 809 809
Conseco Finance Home Loan Trust
8.880% due 06/15/2024 750 763
Contimortgage Home Equity Loan Trust
6.020% due 01/25/2014 101 100
EQCC Home Equity Loan Trust
6.870% due 03/20/2029 219 219
Huntsman Corp.
9.750% due 12/31/2005 1,000 992
IMC Home Equity Loan Trust
6.610% due 06/20/2013 124 124
60 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
MMCA Automobile Trust
6.300% due 06/15/2002 $ 1,840 $ 1,840
Oakwood Mortgage Investors, Inc.
6.450% due 11/15/2027 359 358
Onyx Acceptance Auto Trust
6.590% due 09/15/2002 1,166 1,167
6.350% due 10/15/2003 395 394
Pacific Southwest Bank
6.060% due 06/15/2002 6 6
Premier Auto Trust
5.500% due 07/09/2001 26 26
Residential Funding Mortgage Securities, Inc.
10.930% due 06/01/2001 4,000 4,000
5.460% due 07/25/2029 43 43
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 268 267
Voicestream Vendor Facility
9.660% due 06/30/2009 5,000 4,963
WMC Mortgage Loan
6.830% due 03/20/2028 (d) 83 83
-----------
Total Asset-Backed Securities 46,625
(Cost $46,510) ===========
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 0.3%
--------------------------------------------------------------------------------
Central Bank Philippines
7.940% due 06/01/2008 (d) 1,778 1,591
United Mexican States Recovery Rights
0.000% due 06/30/2003 3,025 0
-----------
Total Sovereign Issues 1,591
(Cost $1,616) ===========
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(f) 1.6%
--------------------------------------------------------------------------------
Caisse D'amort Dette Soc
3.800% due 07/25/2006 EC 5,070 4,490
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 5,800 2,475
Kingdom of Sweden
0.000% due 04/01/2004 SK 7,427 718
Newcourt Credit Group
7.630% due 06/28/2001 C$ 500 335
United Mexican States
1.100% due 12/31/2019 (d) JY 70,000 635
-----------
Total Foreign Currency-Denominated Issues 8,653
(Cost $9,324) ===========
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
--------------------------------------------------------------------------------
U.S. Treasury Inflation Protected Securities (OTC)
Strike @ 96.50 Exp. 01/29/2001 $ 100,000 0
-----------
Total Purchased Put Options 0
(Cost $33) ===========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 14.0%
--------------------------------------------------------------------------------
Commercial Paper 11.0%
Alcoa, Inc.
6.450% due 12/21/2000 2,100 2,069
Cba (de) Finance
6.460% due 12/14/2000 500 493
Cox Communications
6.730% due 11/06/2000 2,000 1,987
CSX Corp.
6.710% due 12/14/2000 1,200 1,198
DaimlerChrysler AG
6.460% due 12/19/2000 200 197
Dominion Resources, Inc.
6.710% due 11/06/2000 4,000 3,974
6.710% due 11/16/2000 4,000 3,966
Edison Midwest
6.740% due 11/08/2000 8,300 8,243
Federal Home Loan Mortgage Corp.
6.440% due 10/12/2000 7,000 6,987
Gannett Co.
6.490% due 11/20/2000 1,000 991
Ingersoll-Rand Co.
6.700% due 11/08/2000 13,000 12,910
International Paper Co.
6.700% due 11/01/2000 8,800 8,751
Motorola, Inc.
6.480% due 12/26/2000 7,000 6,889
Texas Utilities Co.
6.700% due 10/18/2000 500 499
-----------
59,154
===========
Repurchase Agreements 3.0%
State Street Bank
5.850% due 10/02/2000 16,142 16,142
(Dated 9/29/2000. Collateralized by
Federal National Mortgage Association
7.050% due 02/28/2002 valued at $16,467
Repurchase proceeds are $16,150.)
-----------
Total Short-Term Instruments 75,296
(Cost $75,301) ===========
Total Investments (a) 207.8% $ 1,117,767
(Cost $1,114,720)
Other Assets and Liabilities (Net) (107.8%) (579,822)
-----------
Net Assets 100.0% $ 537,945
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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 $ 4,706
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value (1,659)
-----------
Unrealized appreciation-net $ 3,047
===========
(b) Securities with an aggregate market value of $862
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 2000:
# of Unrealized
Type Contracts Appreciation
--------------------------------------------------------------------------------
U.S. Treasury 10 Year Note (12/2000) 200 $ 101
EuroBond 10 Year Note Written Put Options (11/2000) 121 44
-----------
$ 145
===========
(c) Principal amount of the security is adjusted for inflation.
(d) Variable rate security. The rate listed is as of September 30, 2000.
See accompanying notes 61
<PAGE>
Schedule of Investments (Cont.)
Real Return Bond Fund
September 30, 2000 (Unaudited)
(e) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell C$ 560 10/2000 $ 5
Sell EC 5,284 11/2000 (9)
Buy JY 82,319 10/2000 (14)
Sell 243,632 10/2000 3
Buy 82,319 11/2000 0
Sell N$ 5,688 10/2000 131
Sell 539 11/2000 3
Sell SK 6,170 10/2000 12
-----------
$ 131
===========
(f) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
EC - Euro
JY - Japanese Yen
N$ - New Zealand Dollar
SK - Swedish Krona
(g) Swap agreements outstanding at September 30, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive floating rate based on 3-month LIBOR plus
0.470% and pay a fixed rate equal to 7.750%.
Broker: Morgan Stanley
Exp. 06/15/2005 $ 10,000 $ (215)
Receive floating rate based on 3-month LIBOR plus 0.500%
and pay a fixed rate equal to 7.600%.
Broker: Lehman Brothers
Exp. 07/15/2003 5,000 (50)
Receive floating rate based on 3-month LIBOR plus 1.000% and
pay to the counterparty the notional amount of $5,000 in exchange
for the shares of Nabors Industries, Inc. due 6/20/2020 when the
convertible debentures mature.
Broker: Morgan Stanley
Exp. 06/20/2003 3,042 (1)
Receive floating rate based on 3-month LIBOR and
pay a fixed rate equal to 7.005%.
Broker: Goldman Sachs
Exp. 08/17/2005 10,000 (109)
Receive fixed rate equal to 0.410% and the Fund will pay to the
counterparty at par in the event of default of Time Warner, Inc.
7.750% due 06/15/2005.
Broker: Goldman Sachs
Exp. 11/10/2002 1,000 0
-----------
$ (375)
===========
(h) Subject to financing transaction.
(i) Securities are grouped by coupon or range of coupons and
represent a range of maturities.
62 See accompanying notes
<PAGE>
Schedule of Investments
Short Duration Municipal Income Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 98.0%
-------------------------------------------------------------------------------
Arkansas 0.8%
Arkansas Development Finance Authority Health
Care Facilities Revenue, Series 2000-B
5.600% due 06/01/2012 $ 100 $ 100
---------
Colorado 5.3%
Denver, Colorado City and County Airport Revenue
Bonds, Series 1990
8.100% due 11/15/2000 200 201
Denver, Colorado Health & Hospital Revenue
Bonds, Series 1998-A
5.000% due 12/01/2002 500 494
---------
695
=========
Florida 13.0%
Atlantic Beach Florida Health Care Revenue Bonds,
(ACA Insured)
5.000% due 10/01/2001 500 501
Gulf Breeze Florida Revenue Bonds,
(MBIA Insured), Series 1997
4.372% due 12/01/2017 (b) 500 478
Orlando Florida, Waste Water System Revenue
Bonds, Series 1997-A
3.750% due 10/01/2000 (b) 50 49
6.112% due 10/01/2015 (b) 750 681
---------
1,709
=========
Georgia 7.6%
Dalton, Georgia Utilities Revenue Bonds,
(MBIA Insured), Series 1997
4.750% due 10/01/2000 500 501
Fulton County Georgia Water & Sewer Revenue Bonds,
(FGIC Insured), Series 1992
5.625% due 01/01/2001 500 502
---------
1,003
=========
Hawaii 9.2%
Hawaii Airport Systems Revenue Bonds, (MBIA Insured),
6.600% due 07/01/2004 500 516
Hawaii State General Obligation Bonds, Series 1993
5.500% due 07/01/2001 500 504
Hawaii State Housing Finance & Development Corp.
Revenue Bonds, Series 1998
4.250% due 07/01/2001 195 195
---------
1,215
=========
Indiana 1.9%
Indiana State Educational Facilities Authority
Revenue Bonds, Series 1998
4.000% due 10/15/2000 250 250
---------
Iowa 3.8%
Iowa Finance Authority, (FSA Insured), Series 2000
5.700% due 06/01/2027 500 500
---------
Kansas 5.4%
Burlington Kansas Pollution Control Revenue Bonds,
(MBIA Insured), Series 1991
7.000% due 06/01/2031 500 517
Kansas Development Finance Authority Health
Facilities Revenue Bonds, (MBIA Insured), Series 1998
5.700% due 11/15/2023 200 200
---------
717
=========
Maine 4.2%
Eastport Maine Industrial Development Revenue
Bonds, (LOC-Wachovia Bank), Series 1989
4.750% due 11/15/2001 250 251
5.100% due 11/15/2003 300 300
---------
551
=========
Massachusetts 2.0%
Massachusetts Housing Finance Agency
Revenue Bonds, (AMBAC Insured), Series 1993
5.950% due 10/01/2008 250 259
---------
Minnesota 2.8%
Minneapolis & St. Paul Housing & Redevelopment Authority
Health Care Revenue Bonds, (FSA Insured), Series 1995
5.700% due 08/15/2025 100 100
Minnesota State Higher Education Facilities Authority
Revenue Bonds, Series 1998
4.500% due 03/01/2001 270 270
---------
370
Missouri 6.2% =========
Missouri State Health Facilities Revenue Bonds, Series 1999
5.700% due 10/01/2009 100 100
Missouri State Housing Development Community Mortgage
Revenue Bonds, (GNMA/FNMA Insured), Series 1996
7.100% due 09/01/2027 195 211
St. Louis Missouri Airport Revenue Bonds, Series 2000
6.250% due 01/01/2002 500 505
---------
816
Nevada 3.7% =========
Carson City, Nevada School District General
Obligation Bond, (FGIC Insured), Series 1990
6.600% due 04/01/2001 485 490
---------
New York 3.8%
New York State Dormitory Authority Revenue Bonds,
(MBIA Insured), Series 1999
4.300% due 07/01/2002 500 497
---------
Ohio 2.3%
Ohio State Air Quality Development Authority
Revenue Bonds, Series 1985
5.500% due 12/01/2015 300 300
---------
Oregon 1.5%
Multnomah County, Oregon Higher Education Revenue Bonds,
(Allied Irish Bank PLC Insured), Series 2000
5.700% due 12/01/2029 (b) 200 200
---------
Pennsylvania 3.8%
Dauphin County, Pennsylvania General Authority Bond,
(AMBAC Insured),
4.450% due 09/01/2032 500 500
---------
Rhode Island 3.9%
Convention Center Authority Rhode Island
Revenue Bonds, (MBIA Insured), Series 1991
6.700% due 05/15/2020 500 517
---------
Texas 11.4%
Dallas-Fort Worth International Airport Facility
Improvement Corp. Revenue Bonds, Series 2000
5.950% due 05/01/2029 500 502
Midlothian Texas Independent School District General
Obligation, (PSF-GTD Insured), Series 1999
0.010% due 02/15/2001 500 492
Tarrant County, Texas Water Control & Refund &
Import Revenue Bonds, (AMBAC Insured), Series 1992
5.750% due 03/01/2013 500 503
---------
1,497
=========
Washington 1.5%
Washington Economic Development Finance
Authority Revenue Bonds, Series 1998
5.750% due 09/01/2018 200 200
---------
See accompanying notes 63
<PAGE>
Schedule of Investments (Cont.)
Short Duration Municipal Income Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Wisconsin 3.9%
Oshkosh Water Revenue Bonds, Series 1999
4.700% due 01/01/2002 $ 265 $ 265
Wisconsin State Health & Education Facilities
Authority Revenue Bond, (MBIA Insured), Series 1991
6.000% due 11/15/2000 150 150
Wisconsin State Health & Education Facilities Authority
Revenue Bonds, (Loc-Allied Irish Bank PLC Insured),
Series 1997 5.700% due 11/01/2017 (b) 100 100
-----------
515
-----------
Total Municipal Bonds & Notes 12,901
(Cost $12,847) ===========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 0.4%
--------------------------------------------------------------------------------
Commercial Paper 0.4%
SSgA Tax Free Money Market
4.570% due 10/02/2000 53 53
-----------
Total Short-Term Instruments 53
(Cost $53) ===========
Total Investments (a) 98.4% $ 12,954
(Cost $12,900)
Other Assets and Liabilities (Net) 1.6% 205
-----------
Net Assets 100.0% $ 13,159
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 65
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (11)
-----------
Unrealized appreciation-net $ 54
===========
(b) Variable rate security. The rate listed is as of September 30, 2000.
64 See accompanying notes
<PAGE>
Schedule of Investments
Short-Term Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 64.3%
--------------------------------------------------------------------------------
Banking & Finance 43.0%
Allied Irish Banks
7.028% due 09/07/2006 (d) $ 3,000 $ 3,013
Amerco, Inc.
6.890% due 10/15/2000 5,000 4,950
Banco Nacional Obra Services
9.625% due 11/15/2003 6,900 7,150
Bank One Corp.
6.410% due 01/24/2002 (d) 2,000 2,003
BankBoston Corp.
6.125% due 03/15/2002 1,000 989
Bankers Trust Corp.
6.200% due 05/11/2003 (d) 11,000 10,998
Bear Stearns Companies, Inc.
7.048% due 09/21/2004 (d) 3,900 3,896
Citigroup, Inc.
6.565% due 08/19/2003 (d) 11,040 10,814
Dime Bancorp, Inc.
6.375% due 01/30/2001 17,600 17,524
7.000% due 07/25/2001 2,400 2,389
Donaldson, Lufkin & Jenrette, Inc.
7.250% due 07/18/2003 (d) 8,000 8,021
DQE Capital Corp.
6.781% due 01/15/2002 (d) 2,000 1,999
Export-Import Bank Korea
6.500% due 02/10/2002 1,000 985
First USA Bank
6.790% due 05/15/2002 (d) 6,000 6,016
Ford Motor Credit Corp.
6.210% due 08/27/2001 (d) 6,840 6,841
6.927% due 03/19/2002 (d) 4,295 4,313
6.952% due 12/16/2002 (d) 10,000 9,975
7.110% due 06/02/2003 (d) 2,500 2,503
7.173% due 07/18/2005 (d) 10,000 10,017
General Motors Acceptance Corp.
6.840% due 01/08/2002 (d) 1,000 1,000
6.190% due 08/18/2003 (d) 16,575 16,535
Golden State Holdings
6.750% due 08/01/2001 7,000 6,893
Goldman Sachs Group
6.511% due 01/17/2003 (d) 8,000 8,011
Heller Financial, Inc.
6.980% due 04/22/2002 (d) 12,900 12,899
6.500% due 07/22/2002 1,000 989
Korea Development Bank
7.675% due 10/06/2000 (d) 2,000 2,000
7.181% due 10/18/2000 (d) 500 500
9.600% due 12/01/2000 800 803
9.450% due 03/15/2001 375 379
7.900% due 02/01/2002 900 902
7.625% due 10/01/2002 2,500 2,502
Lehman Brothers Holdings, Inc.
7.352% due 05/07/2002 (d) 3,000 3,019
6.690% due 04/04/2003 (d) 3,000 3,001
MBNA Corp.
6.741% due 03/23/2001 (d) 9,500 9,508
Merrill Lynch & Co.
6.991% due 08/01/2003 (d) 4,000 4,002
MFN Financial Corp.
7.130% due 09/13/2001 (d) 5,000 5,002
Midamerican Funding LLC
5.850% due 03/01/2001 1,000 995
Morgan Stanley, Dean Witter, Discover and Co.
6.500% due 01/28/2002 (d) 8,600 8,615
National Consumer Coop Bank
7.528% due 04/02/2001 (d) 16,000 16,013
7.513% due 10/26/2001 (d) 10,000 10,003
PaineWebber
7.290% due 07/15/2002 (d) 10,000 10,006
PP&L Capital Funding, Inc.
5.860% due 10/17/2000 24,000 23,992
Protective Life Funding Trust
7.090% due 01/17/2003 (d) 2,000 1,997
PS Colorado Credit Corp.
7.477% due 05/30/2002 (d) 2,000 1,999
Qwest Capital Funding, Inc.
6.875% due 08/15/2001 15,430 15,418
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (d) 3,265 3,226
7.010% due 07/18/2007 (d) 5,000 5,009
Transamerica Finance Corp.
6.910% due 12/14/2001 (d) 4,000 4,004
U.S. Bancorp
6.941% due 02/03/2003 (d) 3,700 3,702
-----------
297,320
===========
Industrials 14.9%
Air Canada
6.237% due 07/31/2005 1,818 1,672
Clear Channel Communications, Inc.
7.327% due 06/15/2002 (d) 900 902
COFIRI International, Inc.
6.502% due 10/27/2000 (d) 2,000 1,997
Columbia/HCA Healthcare
8.160% due 09/19/2002 (d) 10,000 10,000
Enron Corp.
7.250% due 09/10/2001 (d) 3,000 3,000
ICI Wilmington
9.500% due 11/15/2000 5,620 5,628
ITT Corp.
6.250% due 11/15/2000 3,000 2,995
J Seagram & Sons
5.790% due 04/15/2001 9,000 8,914
6.250% due 12/15/2001 10,300 10,189
Kroger Co.
6.340% due 06/01/2001 8,250 8,220
Lockheed Martin Corp.
6.850% due 05/15/2001 10,000 9,964
Petroleos Mexicanos
9.375% due 12/02/2008 1,000 1,030
Racers
7.118% due 03/03/2003 (d) 10,000 10,000
Raytheon Co.
7.020% due 08/10/2001 (d) 10,000 10,008
Staples, Inc.
7.670% due 11/26/2001 (d) 1,400 1,400
Time Warner, Inc.
6.100% due 12/30/2001 3,000 2,959
Tyco International Group SA
6.125% due 06/15/2001 6,074 6,020
Williams Communications Group, Inc.
7.220% due 11/15/2001 (d) 7,500 7,505
-----------
102,403
===========
Utilities 6.4%
Appalachian Power Co.
7.270% due 06/27/2001 (d) 900 900
Central Power & Light Co.
7.268% due 02/22/2002 (d) 2,000 1,999
Coastal Corp.
7.330% due 07/21/2003 (d) 5,000 5,012
Commonwealth Edison Co.
7.285% due 09/30/2003 (d) 2,000 2,000
Deutsche Telekom AG
7.750% due 06/15/2005 5,000 5,123
Dominion Resources, Inc.
7.310% due 09/16/2012 (d) 6,500 6,519
Indiana Michigan Power Co.
7.245% due 09/03/2002 (d) 1,000 1,000
Nevada Power Co.
7.270% due 08/20/2001 (d) 5,000 4,999
Oneok, Inc.
6.960% due 04/24/2002 (d) 5,000 5,006
Sierra Pacific Resources
7.390% due 04/20/2002 (d) 3,000 3,000
7.340% due 04/20/2003 (d) 5,000 5,003
See accompanying notes 65
<PAGE>
Schedule of Investments (Cont.)
Short-Term Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
UGI Utilities, Inc.
6.170% due 03/06/2001 $ 250 $ 249
WorldCom, Inc.
7.050% due 11/26/2001 (d) 3,700 3,704
-----------
44,514
-----------
Total Corporate Bonds & Notes 444,237
(Cost $443,380) ===========
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.3%
--------------------------------------------------------------------------------
North Carolina 0.3%
North Carolina State Education Assistance Authority
Revenue Bonds, (GTD Insured), Series 2000
7.000% due 06/01/2009 (d) 2,000 2,000
-----------
Total Municipal Bonds & Notes 2,000
(Cost $2,000) ===========
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 10.3%
--------------------------------------------------------------------------------
Federal Home Loan Bank
6.750% due 02/01/2002 70,000 70,252
Federal National Mortgage Association
5.750% due 04/15/2003 850 836
-----------
Total U.S. Government Agencies 71,088
(Cost $70,911) ===========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 4.6%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (g)
3.625% due 07/15/2002 (h) 29,529 29,520
3.625% due 01/15/2008 2,137 2,088
-----------
Total U.S. Treasury Obligations 31,608
(Cost $31,494) ===========
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 23.2%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 15.0%
CMC Securities Corp.
7.500% due 02/25/2023 2,089 2,083
Dime Savings
6.937% due 11/01/2018 (d) 209 189
Donaldson, Lufkin & Jenrette, Inc.
7.450% due 10/17/2020 (d) 489 502
7.786% due 09/01/2021 (d) 24 24
7.437% due 05/01/2026 (d) 125 125
Federal Home Loan Mortgage Corp.
6.750% due 03/15/2007 833 831
6.500% due 10/25/2014 3,833 3,767
5.750% due 10/15/2016 12 12
6.000% due 07/15/2019 4,178 4,133
6.875% due 06/15/2023 (d) 474 474
Federal National Mortgage Association
7.256% due 12/25/2000 (d) 339 339
7.250% due 04/25/2007 2,310 2,306
6.000% due 02/25/2008 1,051 1,033
6.206% due 07/25/2008 (d) 1,344 1,326
6.250% due 06/18/2015 1,720 1,709
6.000% due 08/18/2016 30,659 30,351
7.221% due 10/25/2017 (d) 4,992 4,990
5.875% due 03/25/2018 62 62
7.000% due 12/25/2019 11,773 11,736
6.000% due 08/25/2020 1,950 1,919
5.000% due 02/25/2022 59 58
6.500% due 09/18/2023 1,788 1,772
8.936% due 06/25/2032 8,795 9,020
First Nationwide Trust
6.495% due 10/25/2018 (d) 3 3
General Electric Capital Mortgage Services, Inc.
6.750% due 12/25/2012 5,258 5,220
Greenwich
7.647% due 04/25/2022 (d) 62 62
8.149% due 10/25/2022 (d) 31 31
Housing Securities, Inc.
6.000% due 02/25/2008 567 564
Independent National Mortgage Corp.
7.250% due 11/25/2010 4,000 4,011
Prudential Bache
6.252% due 09/01/2018 (d) 22 21
Prudential Home Mortgage Securities
6.950% due 11/25/2022 233 214
Residential Funding Mortgage Securities, Inc.
7.142% due 12/01/2018 1,040 1,061
Resolution Trust Corp.
6.855% due 05/25/2029 (d) 530 525
Saxon Asset Securities Trust
7.585% due 12/25/2014 4,475 4,469
TMA Mortgage Funding Trust
7.000% due 01/25/2029 (d) 8,675 8,675
-----------
103,617
===========
Federal Home Loan Mortgage Corporation 0.1%
7.500% due 11/01/2001 856 855
Federal National Mortgage Association 2.0%
6.000% due 12/18/2014 5,305 5,268
6.150% due 09/25/2016 4,554 4,506
7.000% due 06/01/2003 2,089 2,087
8.500% due 01/01/2026 1,635 1,681
-----------
13,542
===========
Government National Mortgage Association 5.7%
6.750% due 09/20/2023-08/20/2027 (b)(d) 7,376 7,433
7.125% due 11/20/2026 (d) 12,420 12,508
7.375% due 02/20/2024 (d) 10,308 10,390
7.380% due 04/20/2025 (d) 475 478
8.000% due 10/23/2099 3,950 4,020
8.500% due 06/20/2027 4,704 4,820
-----------
39,649
===========
Other Mortgage-Backed Securities 0.3%
CDC Depositor Trust I
7.098% due 12/14/2001 (d) 2,000 2,006
-----------
2,006
===========
Stripped Mortgage-Backed Securities 0.1%
ABN AMRO Mortgage Corp. (IO)
6.750% due 08/25/2029 1,192 119
Federal Home Loan Mortgage Corp. (IO)
7.000% due 06/15/2019 3,920 251
Federal National Mortgage Association (IO)
7.000% due 07/25/2006 1,135 55
6.500% due 12/25/2006 883 11
6.500% due 06/25/2017 630 10
6.500% due 10/25/2023 1,302 156
-----------
602
-----------
Total Mortgage-Backed Securities 160,271
(Cost $161,479) ===========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 10.2%
--------------------------------------------------------------------------------
Advanta Revolving Home Equity Loan Trust
6.990% due 01/25/2024 (d) 229 230
American Residential Eagle Trust
6.960% due 07/25/2029 (d) 1,646 1,647
Associates Manufactured Housing
7.000% due 03/15/2027 402 402
Bay View Financial Revolving
7.920% due 08/25/2029 (d) 2,000 1,967
Brazos Student Loan Finance Co.
7.290% due 06/01/2023 (d) 20,000 19,802
Capital Asset Research Funding LP
6.400% due 12/15/2004 1,725 1,743
Chase Manhattan Grantor Trust
5.200% due 02/15/2002 98 98
Columbia/HCA Healthcare
8.437% due 09/13/2001 1,250 1,241
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 435 433
Delta Funding Home Equity Loan Trust
7.036% due 09/15/2029 (d) 1,759 1,766
First Security Auto Owner Trust
5.580% due 06/15/2003 7,896 7,865
66 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
------------------------------------------------------------------------------
Flag Ltd.
8.437% due 02/18/2006 $ 2,083 $ 2,078
Green Tree Home Improvement Loan Trust
6.796% due 08/15/2029 (d) 2,162 2,160
Metris Master Trust
7.270% due 04/20/2006 (d) 6,000 6,030
MLCC Mortgage Investors, Inc.
6.998% due 03/15/2025 (d) 3,153 3,165
Onyx Acceptance Auto Trust
6.180% due 04/15/2002 503 502
Salomon Brothers Mortgage Securities
6.971% due 07/25/2029 (d) 3,409 3,413
7.071% due 11/15/2029 (d) 1,656 1,660
7.102% due 12/15/2029 (d) 2,000 2,000
6.960% due 12/25/2029 (d) 4,578 4,590
The Money Store Home Equity Trust
6.635% due 09/15/2014 5,097 5,082
6.345% due 11/15/2021 (d) 90 89
UAF Auto Grantor Trust
6.100% due 06/15/2004 918 912
UniCapital Corp.
6.540% due 07/23/2002 1,307 1,305
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 321 319
-----------
Total Asset-Backed Securities 70,499
(Cost $70,524) ===========
------------------------------------------------------------------------------
SOVEREIGN ISSUES 0.5%
------------------------------------------------------------------------------
Republic of Brazil
7.375% due 04/15/2006 (d) 3,720 3,510
-----------
Total Sovereign Issues 3,510
(Cost $3,488) ===========
------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 2.3%
------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 5,400 2,304
Tecnost International NV
6.368% due 06/23/2004 (d) EC 15,000 13,388
-----------
Total Foreign Currency-Denominated Issues 15,692
(Cost $17,213) ===========
------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.3%
------------------------------------------------------------------------------
Industrial 0.3%
Hercules Trust VI
9.110% due 12/29/2000 (d) $ 2,430 2,428
-----------
Total Convertible Bonds & Notes 2,428
(Cost $2,429) ===========
------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 7.9%
------------------------------------------------------------------------------
Commercial Paper 7.3%
American Electric Power, Inc.
6.700% due 10/18/2000 900 897
Burlington Northern
6.735% due 10/04/2000 24,300 24,291
Conagra, Inc.
6.680% due 10/27/2000 900 896
Dominion Resources, Inc.
6.710% due 11/16/2000 700 694
Houston Industries
6.800% due 11/08/2000 9,400 9,334
Infinity Broadcasting Corp.
6.720% due 11/29/2000 8,200 8,111
Motorola, Inc.
6.470% due 12/27/2000 400 394
Sumitomo Corp. of America
6.740% due 11/01/2000 200 199
Williams Cos., Inc.
7.231% due 04/10/2001 5,600 5,602
-----------
50,418
===========
Repurchase Agreement 0.6%
State Street Bank
5.850% due 10/02/2000 4,086 4,086
(Dated 9/29/2000. Collateralized by
Federal Home Loan Mortgage Corp.
7.050% due 09/19/2003 valued at $4,170
Repurchase proceeds are $4,088.)
-----------
Total Short-Term Instruments 54,504
(Cost $54,504) ===========
Total Investments (a) 123.9% $ 855,837
(Cost $857,422)
Written Options (c) (0.0%) (36)
(Premiums $52)
Other Assets and Liabilities (Net) (23.9%) (164,902)
-----------
Net Assets 100.0% $ 690,899
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost $ 1,739
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value (3,324)
-----------
Unrealized depreciation-net $ (1,585)
===========
(b) Securities are grouped by coupon or range of coupons and represent
a range of maturities.
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.750% Exp. 10/05/2000 50,000,000 $ 52 $ 36
---------------------
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell EC 15,432 10/2000 $ 269
Sell BP 3,327 10/2000 (78)
Buy 3,327 10/2000 56
Sell N$ 6,006 10/2000 114
-----------
$ 361
===========
(f) Principal amount denoted in indicated currency:
BP - British Pound
EC - Euro
N$ - New Zealand Dollar
(g) Principal amount of the security is adjusted for inflation.
See accompanying notes 67
<PAGE>
Schedule of Investments (Cont.)
Short-Term Fund
September 30, 2000 (Unaudited)
(h) Subject to financing transaction.
(i) Swap agreements outstanding at September 30, 2000:
Unrealized
Notional Appreciation/
Type Amount Depreciation
--------------------------------------------------------------------------------
Receive floating rate based on 3-month LIBOR plus
0.470% and pay a fixed rate equal to 7.750%.
Broker: Morgan Stanley
Exp. 06/15/2005 $ 5,000 $ (107)
Receive fixed rate equal to 0.430% and the Fund
will pay to the counterparty at par in the
event of default of Time Warner, Inc. 7.750%
due 06/15/2005.
Broker: Lehman Brothers
Exp. 07/11/2003 5,000 0
Receive fixed rate equal to 0.230% and the Fund
will pay to the counterparty at par in the
event of default of Associates Corp. 6.000%
due 04/15/2003.
Broker: Warburg Dillon Read LLC
Exp. 01/14/2003 4,000 0
Receive fixed rate equal to 0.250% and the Fund
will pay to the counterparty at par in the
event of default of Pacific Gas & Electric Corp.
6.550% due 12/08/2005.
Broker: J.P. Morgan
Exp. 05/23/2003 5,000 0
-----------
$ (107)
===========
(j) Reverse repurchase agreements were entered into on various days
paying various interest rates. The following securities were
segregated with collateral for reverse repurchase agreements:
Type Maturity Value
--------------------------------------------------------------------------------
Entered into on September 18, 2000
paying interest at 6.570%
Federal National Mortgage Assn. 7.000% 12/25/2019 $ 11,736
Entered into on September 25, 2000
paying interest at 6.520%
Government National Mortgage Assn. 7.375% 02/20/2024 10,390
Government National Mortgage Assn. 7.125% 11/20/2026 12,508
Entered into on September 26, 2000
paying interest at 6.580%
Federal National Mortgage Assn. 6.000% 08/18/2016 30,351
-----------
$ 64,985
===========
68 See accompanying notes
<PAGE>
Schedule of Investments
StocksPLUS Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 46.6%
--------------------------------------------------------------------------------
Banking & Finance 19.2%
Associates Corp. of North America
6.960% due 05/08/2003 (d) $ 11,800 $ 11,791
AT&T Capital Corp.
7.110% due 09/13/2001 (d) 2,100 2,104
7.010% due 04/23/2002 (d) 5,725 5,741
Bear Stearns Co., Inc.
6.130% due 02/01/2003 (d) 1,100 1,078
7.050% due 09/21/2004 (d) 16,800 16,783
Beaver Valley Funding Corp.
8.250% due 06/01/2003 1,193 1,182
Capital One Bank
7.610% due 06/23/2003 (d) 5,400 5,400
CIT Group, Inc.
6.200% due 10/20/2000 3,600 3,599
DaimlerChrysler Financial Services LLC
6.790% due 02/10/2003 (d) 9,600 9,602
Donaldson, Lufkin & Jenrette, Inc.
6.760% due 04/25/2003 (d) 6,900 6,898
Ford Motor Credit Corp.
6.840% due 11/16/2001 (d) 11,000 11,010
6.810% due 03/19/2002 (d) 590 593
6.990% due 07/16/2002 (d) 6,800 6,815
6.820% due 12/16/2002 (d) 3,800 3,790
6.810% due 02/13/2003 (d) 15,000 14,981
6.850% due 03/17/2003 (d) 500 499
General Motors Acceptance Corp.
6.190% due 02/25/2002 (d) 1,000 1,000
Gold Eagle Capital Ltd.
12.130% due 04/15/2001 10,000 10,000
Goldman Sachs Group
7.090% due 03/04/2002 (d) 9,000 9,018
GS Escrow Corp.
7.710% due 08/01/2003 (d) 6,000 5,823
Heller Financial, Inc.
7.070% due 10/22/2001 (d) 10,800 10,823
Household Finance Corp.
6.780% due 06/22/2001 (d) 5,000 5,006
Lehman Brothers Holdings, Inc.
6.970% due 06/03/2002 (d) 600 600
7.530% due 07/15/2002 (d) 3,005 3,030
7.170% due 04/04/2003 (d) 10,200 10,203
6.700% due 11/30/2006 (d) 1,910 1,767
LG&E Capital Corp.
7.490% due 06/18/2001 (d) 6,400 6,402
MBNA America Bank NA
6.960% due 06/10/2004 (d) 10,000 10,007
Merrill Lynch & Co.
6.520% due 10/10/2000 (d) 3,000 3,001
6.730% due 06/18/2001 (d) 10,000 9,999
6.730% due 01/11/2002 (d) 8,550 8,591
6.920% due 02/04/2003 (d) 6,000 5,997
7.180% due 03/17/2004 (d) 100 100
MFN Financial Corp.
6.980% due 09/13/2001 (d) 4,000 4,002
Nacional Financiera
10.560% due 12/01/2000 (d) 10,500 10,448
National Australia Bank Ltd.
7.320% due 05/19/2010 (d) 11,700 11,810
NationsBank Corp.
7.030% due 02/18/2002 (d) 100 98
Old Kent Bank
7.460% due 11/01/2005 4,500 4,496
Qwest Capital Funding, Inc.
7.200% due 07/08/2002 (d) 17,500 17,516
Republic New York Corp.
5.280% due 10/28/2002 (d) 100 99
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 3,352 3,312
6.510% due 04/02/2002 (d) 3,800 3,817
6.910% due 02/11/2003 (d) 5,000 5,004
6.530% due 03/26/2003 (d) 5,000 5,007
Wells Fargo & Co.
7.220% due 05/02/2005 (d) 6,400 6,398
-----------
275,240
===========
Industrials 17.2%
Air Canada
6.800% due 07/31/2005 (d) 10,909 10,033
Amerco, Inc.
6.890% due 10/15/2000 16,800 16,632
Arrow Electronics, Inc.
7.440% due 11/24/2000 (d) 15,000 14,997
Atlas Air, Inc.
10.470% due 10/04/2004 (d) 7,000 7,000
Black & Decker Corp.
7.640% due 12/20/2001 (d) 7,250 7,289
Cemex SA
9.250% due 06/17/2002 300 306
Clear Channel Communications, Inc.
7.210% due 06/15/2002 (d) 5,600 5,613
COFIRI International, Inc.
6.630% due 10/27/2000 (d) 2,000 1,997
Columbia/HCA Healthcare
8.160% due 09/19/2002 (d) 37,800 37,800
CSX Corp.
7.260% due 06/24/2002 (d) 6,900 6,901
El Paso Energy Corp.
6.930% due 07/15/2001 (d) 4,800 4,803
Enron Corp.
7.110% due 09/10/2001 (d) 1,000 1,000
8.000% due 08/15/2005 1,100 1,117
ITT Corp.
6.250% due 11/15/2000 24,065 24,022
Kroger Co.
6.340% due 06/01/2001 2,000 1,993
Marlin Water Trust
7.090% due 12/15/2001 4,049 4,026
Merita
6.470% due 12/01/2005 (d) 1,000 1,005
Occidental Petroleum
7.360% due 10/03/2008 (d) 600 599
Petroleos Mexicanos
8.130% due 07/15/2005 (d) 18,000 18,045
Raytheon Co.
7.020% due 08/10/2001 (d) 8,900 8,907
Rollins Truck Leasing Co.
8.250% due 05/01/2002 29,900 29,982
Stone Container Corp.
10.750% due 10/01/2002 3,435 3,499
TCI Communications, Inc.
7.300% due 04/03/2002 (d) 11,600 11,752
7.360% due 03/11/2003 (d) 4,000 4,079
TRW, Inc.
6.450% due 06/15/2001 400 397
Tyco International Group SA
7.370% due 03/05/2001 (d) 14,500 14,516
Waste Management, Inc.
6.000% due 05/15/2001 1,500 1,470
Williams Communications Group, Inc.
7.180% due 11/15/2001 (d) 6,900 6,904
-----------
246,684
===========
Utilities 10.2%
Appalachian Power Co.
7.270% due 06/27/2001 (d) 12,000 12,003
Central Power & Light Co.
7.290% due 11/23/2001 (d) 3,600 3,600
Dominion Resources, Inc.
7.030% due 01/26/2001 (d) 400 400
Entergy Arkansas, Inc.
7.720% due 03/01/2003 (d) 3,700 3,739
Hughes Electric
7.560% due 10/23/2000 (d) 4,500 4,501
Montana Power Co.
7.000% due 04/06/2001 (d) 1,200 1,200
Nevada Power Co.
7.210% due 06/12/2001 (d) 13,000 13,000
Niagara Mohawk Power
7.130% due 07/01/2001 6,805 6,807
North Atlantic Energy
9.050% due 06/01/2002 599 605
See accompanying notes 69
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
------------------------------------------------------------------------------
Public Service Enterprise Group, Inc.
7.040% due 11/22/2000 (d) $ 15,000 $ 14,999
Scana Corp.
7.380% due 07/15/2002 (d) 11,300 11,316
Sprint Capital Corp.
6.970% due 11/15/2001 (d) 25,600 25,611
7.010% due 06/10/2002 (d) 1,100 1,101
System Energy Resources
7.710% due 08/01/2001 250 251
Texas Utilities Co.
7.210% due 06/25/2001 (d) 1,900 1,899
7.590% due 09/24/2001 (d) 14,000 14,074
5.940% due 10/15/2001 28,725 28,348
6.410% due 11/21/2001 1,000 993
Western Massachusetts Electric
7.750% due 12/01/2002 1,882 1,883
-----------
146,330
-----------
Total Corporate Bonds & Notes 668,254
(Cost $667,130) ===========
------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 0.2%
------------------------------------------------------------------------------
Student Loan Marketing Assn
6.480% due 07/25/2004 (d) 252 252
6.920% due 04/25/2006 (d) 2,910 2,898
-----------
Total U.S. Government Agencies 3,150
(Cost $3,136) ===========
------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 9.0%
------------------------------------------------------------------------------
Treasury Inflation Protected Securities (b)(c)
3.630% due 07/15/2002 111,105 111,070
3.630% due 01/15/2008 18,802 18,373
-----------
Total U.S. Treasury Obligations 129,443
(Cost $128,947) ===========
------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 23.8%
------------------------------------------------------------------------------
Collateralized Mortgage Obligations 10.0%
Bank Mart
6.880% due 03/01/2019 (d)(i) 4,483 4,544
Countrywide Home Loans
6.050% due 04/25/2029 5,768 5,692
CS First Boston Mortgage Securities Corp.
6.960% due 06/20/2029 2,486 2,483
Donaldson, Lufkin & Jenrette, Inc.
7.910% due 10/17/2020 (d) 139 142
Federal Home Loan Mortgage Corp.
7.000% due 06/15/2023 745 743
6.500% due 08/15/2023 7,495 7,428
Federal National Mortgage Assn
5.700% due 06/25/2017 534 529
6.760% due 04/25/2020 (d) 18 18
6.500% due 05/18/2024 3,411 3,377
General Electric Capital Mortgage Services, Inc.
6.300% due 09/25/2023 2,000 1,977
6.250% due 10/25/2028 794 785
6.250% due 12/25/2028 1,472 1,337
Government National Mortgage Assn
7.300% due 09/20/2030 (d) 20,919 20,912
7.020% due 09/29/2030 (d) 300 300
7.300% due 02/16/2030 (d) 15,008 15,023
7.220% due 02/16/2030 (d) 26,654 26,729
Greenwich
7.980% due 04/25/2022 (d) 225 224
8.150% due 10/25/2022 (d) 8 8
Housing Securities, Inc.
7.320% due 07/25/2032 (d) 425 425
ICI Funding Corp. Secured Assets Corp.
7.650% due 07/25/2028 3,569 3,555
Independent National Mortgage Corp.
8.350% due 06/25/2025 67 66
Norwest Asset Securities Corp.
6.750% due 08/25/2029 8,551 8,474
PaineWebber Mortgage
6.430% due 02/25/2001 (d) 251 249
PNC Mortgage Securities Corp.
6.630% due 03/25/2028 7,352 7,237
7.500% due 10/25/2030 6,200 6,208
Resecuritization Mortgage Trust
6.870% due 04/26/2021 (d) 318 312
Residential Funding Mortgage Securities, Inc.
6.280% due 03/25/2018 (d) 1,552 1,504
Resolution Trust Corp.
8.000% due 06/25/2026 822 827
7.590% due 05/25/2029 (d) 13 13
Structured Asset Mortgage Investments, Inc.
9.040% due 06/25/2029 (d) 17,693 18,225
Structured Asset Securities Corp.
6.790% due 12/25/2000 (d) 298 298
TMA Mortgage Funding Trust
7.000% due 01/25/2029 (d) 4,368 4,368
-----------
144,012
===========
Federal Home Loan Mortgage Corporation 0.3%
6.770% due 07/01/2019 (d) 2,554 2,537
7.620% due 12/01/2022 (d) 532 543
8.160% due 06/01/2022 (d) 350 358
8.500% due 04/01/2025-06/01/2025 (j) 183 188
-----------
3,626
===========
Federal National Mortgage Association 0.7%
6.130% due 03/01/2029 (d) 345 338
6.440% due 05/01/2017 (d) 245 241
6.450% due 07/01/2018-02/01/2031 (d)(j) 3,306 3,245
6.500% due 09/01/2005 5,187 5,135
6.610% due 04/01/2018 (d) 93 92
7.900% due 05/01/2022 (d) 280 284
-----------
9,335
===========
Government National Mortgage Association 12.7%
6.750% due 07/20/2018-08/20/2026 (d)(j) 16,603 16,777
7.000% due 10/23/2030 101,400 99,879
7.120% due 02/16/2030 (d) 27,543 27,672
7.130% due 12/20/2022-12/20/2027 (d)(j) 7,942 8,000
7.380% due 02/20/2026-02/20/2028 (d)(j) 17,952 18,086
7.500% due 10/23/2030 11,800 11,833
-----------
182,247
===========
Other Mortgage-Backed Securities 0.1%
California Federal Savings & Loan
6.780% due 07/25/2018 (d) 20 20
Fund America
7.550% due 06/25/2023 (d) 114 114
J.P. Morgan & Co.
6.820% due 01/25/2018 (d) 301 295
Resolution Trust Corp.
7.540% due 12/25/2023 (d) 2 2
Structured Asset Securities Corp.
7.110% due 09/25/2036 (d) 804 797
-----------
1,228
===========
Stripped Mortgage-Backed Securities 0.0%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 1,199 55
6.500% due 08/15/2016 24 0
7.500% due 08/15/2019 281 4
Federal National Mortgage Association (IO)
6.000% due 11/25/2000 61 0
7.000% due 07/25/2006 227 11
6.500% due 09/25/2008 219 18
6.500% due 02/25/2021 1,992 109
7.000% due 07/25/2021 628 89
6.500% due 03/25/2023 3,225 361
-----------
647
-----------
Total Mortgage-Backed Securities 341,095
(Cost $341,483) ===========
70 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 8.1%
--------------------------------------------------------------------------------
AFC Home Equity Loan Trust
6.770% due 06/25/2028 (d) $ 7,862 $ 7,851
Allied Waste Industries, Inc.
9.440% due 07/30/2006 2,274 2,205
9.690% due 07/30/2007 (d) 2,364 2,294
9.750% due 07/30/2007 (d) 364 353
Amresco Residential Securities Mortgage Loan Trust
6.810% due 07/25/2027 (d) 15 15
6.780% due 05/25/2028 (d) 711 710
Arcadia Automobile Receivables Trust
6.500% due 06/17/2002 70 70
Argentina Funding Corp.
6.880% due 05/20/2003 16,000 16,050
Bayview Financial Acquisition Trust
7.170% due 02/25/2029 5,140 5,157
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 508 505
Contimortgage Home Equity Loan Trust
6.790% due 10/15/2012 (d) 32 32
Cross Country Master Credit
7.150% due 06/15/2006 15,400 15,400
Green Tree Home Improvement Loan Trust
6.740% due 11/15/2029 (d) 7,775 7,780
Green Tree Recreational Equipment
6.430% due 04/17/2006 1,960 1,957
MGM Grand Term Loan
7.870% due 05/06/2001 (d) 9,709 9,686
Novastar Home Equity Loan
6.900% due 04/25/2028 (d) 3,291 3,286
Salomon Brothers Mortgage Securities
6.960% due 02/25/2030 (d) 21,700 21,756
Student Loan Marketing Assn
6.860% due 10/25/2005 (d) 7,395 7,367
The Money Store Home Equity Trust
6.550% due 09/15/2021 583 582
6.350% due 11/15/2021 (d) 180 179
USAA Auto Loan Grantor Trust
6.100% due 02/15/2006 12,551 12,475
WMC Mortgage Loan
6.830% due 03/20/2028 (d) 166 166
-----------
Total Asset-Backed Securities 115,876
(Cost $115,769) ===========
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 6.3%
--------------------------------------------------------------------------------
Hydro-Quebec
6.500% due 09/29/2049 (d) 1,200 1,065
Nacional Financiera
8.570% due 05/08/2003 (d) 6,000 6,094
Republic of Argentina
7.380% due 03/31/2005 (d) 160 147
11.600% due 04/10/2005 (d) 1,400 1,302
Republic of Brazil
7.880% due 01/01/2001 (d) 680 680
7.380% due 04/15/2006 (d) 69,983 65,875
Republic of Bulgaria
7.750% due 07/28/2011 (d) 3,000 2,273
Republic of Croatia
7.000% due 02/27/2002 3,000 2,937
Republic of Panama
7.930% due 05/10/2002 (d) 1,099 1,085
United Mexican States
10.020% due 04/07/2004 (d) 9,000 9,360
-----------
Total Sovereign Issues 90,818
(Cost $89,502) ===========
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (f)(g) 4.1%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 9,750 4,161
Export-Import Bank Korea
3.840% due 10/06/2000 (d) DM 11,370 5,132
Korea Development Bank
2.560% due 06/26/2001 JY 1,000,000 9,364
Tecnost International NV
6.670% due 06/23/2004 (d) EC 36,100 32,193
United Mexican States
8.750% due 05/30/2002 BP 3,000 4,493
7.000% due 06/02/2003 C$ 6,000 3,852
-----------
Total Foreign Currency-Denominated Issues 59,195
(Cost $66,217) ===========
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
--------------------------------------------------------------------------------
S&P 500 Index December Futures
Strike @ 850.00 Exp. 12/15/2000 $ 20 0
Strike @ 800.00 Exp. 12/15/2000 100 0
Strike @ 750.00 Exp. 12/15/2000 713 0
Strike @ 700.00 Exp. 12/15/2000 13 0
-----------
Total Purchased Put Options 0
(Cost $75) ===========
--------------------------------------------------------------------------------
PREFERRED SECURITY 0.1%
--------------------------------------------------------------------------------
Shares
DG Funding Trust
9.030% due 12/29/2049 (d) 110 1,103
-----------
Total Preferred Security 1,103
(Cost $1,103) ===========
--------------------------------------------------------------------------------
PREFERRED STOCK 0.6%
--------------------------------------------------------------------------------
TCI Communications, Inc.
9.720% due 12/31/2036 303,565 7,893
-----------
Total Preferred Stock 7,893
(Cost $7,996) ===========
--------------------------------------------------------------------------------
COMMON STOCKS 1.1%
--------------------------------------------------------------------------------
Utilities 1.1%
Eastern Enterprises 2,700 171
Florida Progress Corp. 300 164
LG&E Energy Corp. 11,000 268
MCN Energy Group, Inc. 392,500 10,051
Northeast Utilities 241,900 5,239
-----------
Total Common Stocks 15,893
(Cost $15,578) ===========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 9.5%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 8.8%
Alcoa, Inc.
6.500% due 12/21/2000 $ 900 887
American Electric Power, Inc.
6.760% due 10/04/2000 4,700 4,698
6.700% due 10/25/2000 9,000 8,961
Associated Corp. of North America
6.580% due 11/16/2000 800 793
AT&T Corp.
6.510% due 12/13/2000 5,900 5,830
Becton Dickinson & Co.
6.520% due 11/30/2000 2,200 2,175
Cba (de) Finance
6.460% due 12/12/2000 200 197
CDC
6.570% due 11/29/2000 3,200 3,165
Conagra, Inc.
6.680% due 10/27/2000 7,000 6,967
6.670% due 11/16/2000 1,600 1,587
CSX Corp.
6.710% due 10/11/2000 3,800 3,794
Dominion Resources, Inc.
6.720% due 10/04/2000 3,000 2,999
6.710% due 11/16/2000 8,000 7,933
6.770% due 11/16/2000 400 397
Edison Midwest
6.790% due 11/01/2000 300 298
See accompanying notes 71
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Gannett Co.
6.500% due 11/21/2000 $ 5,300 $ 5,243
General Electric Capital Corp.
6.500% due 01/24/2001 9,000 8,810
Gillette Co.
6.460% due 12/12/2000 7,400 7,301
Houston Industries
6.820% due 10/04/2000 1,000 1,000
6.770% due 10/18/2000 5,000 4,985
6.800% due 11/08/2000 15,000 14,895
Infinity Broadcasting Corp.
6.700% due 11/15/2000 1,000 992
Ingersoll-Rand Co.
6.690% due 10/04/2000 2,300 2,299
6.700% due 10/18/2000 8,900 8,873
International Paper Co.
6.700% due 10/06/2000 4,300 4,297
6.700% due 10/10/2000 3,200 3,195
Minnesota Mining & Manufacturing
6.520% due 11/28/2000 100 99
Sprint Capital Corp.
6.720% due 11/08/2000 5,000 4,965
Texas Utilities Co.
6.700% due 10/18/2000 4,100 4,088
World Bank
6.350% due 10/27/2000 2,300 2,290
Yorkshire Building Society
6.490% due 12/06/2000 2,100 2,074
-----------
126,087
===========
Repurchase Agreements 0.7%
Daiwa Securities
6.430% due 10/02/2000 6,000 6,000
(Dated 09/29/2000. Collateralized by U.S. Treasury
Inflation Protected Securities
6.0% due 02/15/2026 valued at $6,142
Repurchase proceeds are $6,003.)
State Street Bank
5.850% due 10/02/2000 4,130 4,130
(Dated 9/29/2000. Collateralized by
Federal National Mortgage Association
7.050% due 02/28/2002 valued at $4,216
Repurchase proceeds are $4,132.) -----------
10,130
===========
U.S. Treasury Bills 0.0%
5.930% due 02/01/2001 (b)(c) 50 49
-----------
Total Short-Term Instruments 136,266
(Cost $136,281) ===========
Total Investments (a) 109.4% $ 1,568,989
(Cost $1,573,217)
Written Options (e) (0.1%) (2,266)
(Premiums $2,050)
Other Assets and Liabilities (Net) (9.3%) (133,392)
-----------
Net Assets 100.0% $ 1,433,331
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 6,715
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (10,978)
-----------
Unrealized depreciation-net $ (4,263)
===========
(b) Securities with an aggregate market value of $81,946
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Government of Japan 10 Year Note (12/2000) 25 $ 15
S&P 500 Index (12/2000) 3,137 (61,995)
United Kingdom 10 Year Note (12/2000) 490 (540)
EuroBond 10 Year Note Options (11/2000) 585 179
-----------
$ (62,341)
===========
(c) Principal amount of the security is adjusted for inflation.
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.750% Exp.10/10/2000 125,100,000 $ 137 $ 101
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.800% Exp. 10/12/2000 118,400,000 112 159
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 111 83 3
Call - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 160 63 114
Call - CME Eurodollar December Futures
Strike @ 92.75 Exp. 12/18/2000 80 55 99
Put - CME Eurodollar March Futures
Strike @ 92.75 Exp. 03/19/2000 159 74 6
Call - CME Eurodollar March Futures
Strike @ 93.25 Exp. 3/19/2000 879 175 648
Put - CME Eurodollar March Futures
Strike @ 92.50 Exp. 03/19/2000 301 179 8
Call - CME Eurodollar March Futures
Strike @ 93.00 Exp. 03/19/2000 301 126 380
Put - CME Eurodollar March Futures
Strike @ 92.25 Exp. 03/19/2000 720 446 9
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.750% Exp. 10/05/2000 63,900,000 65 46
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.750% Exp. 10/05/2000 63,900,000 64 46
Call - TSE Government of Japan December Futures
Strike @ 134.00 Exp. 11/30/2000 16 31 32
Put - CME S&P 500 Index December Futures
Strike @ 1400.00 Exp. 12/15/2000 82 440 615
------------------
$ 2,050 $ 2,266
==================
72 See accompanying notes
<PAGE>
(f) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell C$ 5,773 10/2000 $ 55
Sell EC 49,991 10/2000 1,235
Buy 3,085 10/2000 (4)
Sell BP 3,828 10/2000 (76)
Buy HF 2,300,000 03/2001 182
Sell JY 1,089,759 10/2000 20
Sell N$ 10,942 10/2000 207
Buy PZ 102,100 01/2001 (1,117)
Buy 25,000 02/2001 (139)
Sell 61,000 01/2001 370
-----------
$ 733
===========
(g) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
EC - Euro
HF - Hungarian Forint
JY - Japanese Yen
N$ - New Zealand Dollar
PZ - Polish Zloty
(h) Swap agreements outstanding at September 30, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive total Return on S&P 500 Index and
pay floating rate based on 1-month LIBOR plus 0.200%.
Broker: Morgan Stanley
Exp. 06/29/2001 $ 33 $ 0
Receive total Return on S&P 500 Index and
pay floating rate based on 1-month LIBOR plus 0.300%.
Broker: Lehman Brothers
Exp. 07/31/2001 4 0
Receive total Return on S&P 500 Index and
pay floating rate based on 1-month LIBOR plus 0.250%.
Broker: Morgan Stanley
Exp. 09/28/2001 39 0
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR plus 0.180%.
Broker: J.P. Morgan Securities, Inc.
Exp. 03/16/2001 55 0
Receive floating rate based on JY-LIBOR and
pay a fixed rate equal to 1.743%.
Broker: J.P. Morgan
Exp. 09/20/2007 JY 3,150,000 (100)
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR plus 0.180%.
Broker: J.P. Morgan
Exp. 05/03/2001 $ 12 0
Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 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 (46)
Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 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 500 (27)
Receive a fixed rate equal to 1.290% and the Fund will pay to the counterparty
at par in the event of default in of the United Mexican States at 9.750% due
04/06/2005.
Broker: J.P. Morgan
Exp. 06/19/2002 15,500 2
Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty
at par in the event of default of Enron Corp. 7.875% due 06/15/2003.
Broker: Morgan Stanley
Exp. 06/16/2001 50,000 2
-----------
$ (169)
===========
(i) Restricted security.
(j) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
See accompanying notes 73
<PAGE>
Schedule of Investments
Strategic Balanced Fund
September 30, 2000 (Unaudited)
Share's Value
(000s) (000s)
--------------------------------------------------------------------------------
PIMCO FUNDS (d) 91.0%
--------------------------------------------------------------------------------
StocksPLUS 3,181,221 $ 42,755
Total Return 3,032,284 30,596
-----------
Total PIMCO Funds 73,351
(Cost $74,081) ===========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 3.9%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Repurchase Agreements 3.9%
State Street Bank
5.850% due 10/02/2000 $ 3,134 3,134
(Dated 9/29/2000. Collateralized by
Federal National Mortgage Association
6.100% due 08/10/2001 valued at $3,198.
Repurchase proceeds are $3,136.)
-----------
Total Short-Term Instruments 3,134
(Cost $3,134) ===========
Total Investments (a) 94.9% $ 76,485
(Cost $77,215)
Other Assets and Liabilities (Net) 5.1% 4,130
-----------
Net Assets 100.0% $ 80,615
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 833
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (2,370)
-----------
Unrealized depreciation-net $ (1,537)
===========
(b) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell EC 18,311 10/2000 $ 278
Buy 18,311 10/2000 (137)
Buy HF 300,000 03/2001 27
Sell 300,000 03/2001 17
-----------
$ 185
===========
(c) Principal amount denoted in indicated currency:
EC - Euro
HF - Hugarian Forint
(d) Institutional Class shares of each PIMCO Fund.
74 See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 41.0%
--------------------------------------------------------------------------------
Banking & Finance 27.9%
AB Spintab
6.800% due 12/29/2049 $ 250 $ 244
Abbey National Capital Trust I
8.960% due 12/29/2049 24,700 24,842
Abbey National PLC
6.700% due 06/29/2049 5,000 4,513
Abbey National Treasury Service
6.630% due 05/23/2001 240 240
ABN AMRO Mortgage Corp.
7.250% due 05/31/2005 150 151
Aetna, Inc.
6.750% due 08/15/2001 250 249
7.250% due 08/15/2023 50 46
Air 2 US
8.030% due 10/01/2020 300 305
Allstate Corp.
6.750% due 05/15/2018 280 252
6.900% due 05/15/2038 87,200 74,575
Amerco, Inc.
7.140% due 10/15/2002 15,000 14,439
American Express
8.500% due 08/15/2001 350 355
5.630% due 01/22/2004 11,900 11,470
7.450% due 08/10/2005 1,000 1,008
American General Finance
6.050% due 07/02/2001 3,000 2,985
6.880% due 12/14/2001 1,600 1,601
7.450% due 07/01/2002 200 202
6.250% due 12/18/2002 1,165 1,149
6.380% due 03/01/2003 350 346
8.130% due 03/15/2046 270 259
American Health Properties, Inc.
7.050% due 01/15/2002 700 683
AON Capital Trust `A'
8.210% due 01/01/2027 725 667
Archstone Communities Trust
6.750% due 10/23/2000 600 600
Aristar, Inc.
7.380% due 09/01/2004 20,000 19,983
Associates Corp. of North America
6.630% due 05/15/2001 1,300 1,299
6.700% due 05/29/2001 100 100
7.000% due 07/23/2001 500 501
6.780% due 08/27/2001 (d) 13,500 13,534
6.450% due 10/15/2001 23,600 23,530
7.500% due 04/15/2002 185 187
6.500% due 07/15/2002 750 747
5.750% due 11/01/2003 5,175 5,015
5.800% due 04/20/2004 450 434
6.630% due 06/15/2005 100 98
Associates First Capital Corp.
6.000% due 12/01/2002 500 493
AT&T Capital Corp.
7.500% due 11/15/2000 5,000 5,004
6.880% due 01/16/2001 230 230
6.250% due 05/15/2001 19,443 19,379
7.000% due 08/15/2001 20,900 20,920
7.110% due 09/13/2001 (d) 1,030 1,032
6.900% due 01/30/2002 1,000 1,000
6.750% due 02/04/2002 1,925 1,921
7.010% due 04/23/2002 (d) 74,000 74,205
AVCO Financial Services
7.380% due 08/15/2001 300 301
5.750% due 01/23/2006 125 125
Banco Latinoamericano SA
6.500% due 04/02/2001 950 947
7.170% due 06/04/2001 5,000 4,998
7.880% due 11/30/2001 9,500 9,528
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 25,050 24,236
11.250% due 09/20/2005 14,250 14,254
Banesto Delaware
8.250% due 07/28/2002 28,900 29,377
Bank of America Corp.
6.730% due 02/26/2001 (d) 3,000 3,001
6.680% due 03/05/2001 (d) 44,000 43,992
9.500% due 04/01/2001 235 238
6.750% due 02/20/2002 (d) 35,180 35,153
8.130% due 06/15/2002 350 357
7.750% due 07/15/2002 360 365
7.200% due 09/15/2002 1,000 1,005
7.500% due 10/15/2002 1,200 1,214
6.850% due 03/01/2003 65 65
6.880% due 06/01/2003 100 100
6.380% due 05/15/2005 1,000 971
7.880% due 05/16/2005 600 621
8.380% due 05/01/2007 1 1
9.380% due 09/15/2009 12,950 14,301
7.800% due 02/15/2010 84,000 86,597
8.570% due 11/15/2024 125 134
Bank of Tokyo - Mitsubishi
8.400% due 04/15/2010 112,200 114,369
Bank One Corp.
6.790% due 04/19/2001 (d) 2,000 2,003
6.730% due 09/04/2001 (d) 14,000 14,005
BankBoston Corp.
6.130% due 03/15/2002 12,500 12,358
6.880% due 07/14/2003 (d) 30,000 29,933
Bankers Trust Corp.
9.400% due 03/01/2001 385 389
6.750% due 10/03/2001 500 499
7.500% due 01/15/2002 250 252
8.130% due 05/15/2002 300 305
7.130% due 07/31/2002 150 150
6.790% due 05/11/2003 (d) 82,800 82,787
6.000% due 10/15/2008 500 448
8.090% due 12/01/2026 275 251
Banponce Financial Corp.
6.460% due 11/13/2001 13,000 12,931
Barclays Bank PLC
8.550% due 09/29/2049 15,000 15,100
Bayerische Landesbank NY
6.200% due 02/09/2006 250 240
Bear Stearns Co., Inc.
9.380% due 06/01/2001 125 127
6.900% due 01/28/2002 (d) 11,250 11,241
7.040% due 04/05/2002 (d) 25,000 25,074
6.960% due 05/07/2002 (d) 4,300 4,299
7.090% due 08/01/2002 (d) 53,600 53,711
7.010% due 12/16/2002 (d) 48,900 48,955
6.130% due 02/01/2003 25 25
7.130% due 03/28/2003 (d) 65,800 65,801
6.750% due 04/15/2003 105 104
7.030% due 05/06/2003 (d) 13,000 13,060
7.010% due 05/16/2003 (d) 40,700 40,895
6.870% due 07/22/2003 (d) 19,000 19,078
6.150% due 03/02/2004 150 145
8.750% due 03/15/2004 75 79
7.100% due 06/01/2004 (d) 9,265 9,329
6.630% due 10/01/2004 250 245
7.360% due 11/30/2004 (d) 400 401
7.040% due 03/18/2005 (d) 37,000 37,081
6.250% due 07/15/2005 25,000 23,968
6.750% due 12/15/2007 2,000 1,911
Beaver Valley Funding Corp.
8.250% due 06/01/2003 405 401
Beneficial Corp.
6.390% due 01/09/2001 (d) 16,000 16,001
6.770% due 01/09/2002 (d) 500 502
6.870% due 03/01/2002 (d) 50,000 50,078
8.000% due 06/18/2002 400 406
6.030% due 01/14/2003 320 313
See accompanying notes 75
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
Bombardier Capital, Inc.
6.000% due 01/15/2002 $ 28,000 $ 27,551
7.300% due 12/15/2002 9,000 8,950
7.210% due 06/09/2032 (d) 16,150 16,008
BTM Holdings
7.160% due 09/29/2049 (d) 6,000 6,000
Caithness Coso Fund Corp.
6.800% due 12/15/2001 9,441 9,348
Case Credit Corp.
5.850% due 02/20/2001 (d) 1,600 1,592
Caterpillar Financial Service Corp.
6.890% due 02/11/2002 (d) 700 701
6.930% due 11/04/2002 (d) 1,000 1,001
6.910% due 12/27/2002 (d) 25,000 24,990
Chase Manhattan Corp.
8.500% due 02/15/2002 200 204
5.750% due 04/15/2004 150 144
Chemical Banking Corp.
6.130% due 11/01/2008 400 367
Chrysler Financial Co. LLC
5.860% due 01/16/2001 500 498
6.650% due 06/11/2001 (d) 21,400 21,411
5.690% due 11/15/2001 650 642
5.400% due 01/15/2002 15,750 15,428
6.950% due 03/25/2002 50 50
6.750% due 07/17/2002 (d) 20,000 20,012
6.760% due 08/08/2002 (d) 37,000 37,049
6.800% due 02/03/2003 (d) 35,000 34,985
6.790% due 03/06/2003 (d) 25,000 25,211
6.780% due 03/10/2003 (d) 10,000 10,084
6.740% due 06/18/2003 35,000 34,990
Chubb Capital Corp.
6.880% due 02/01/2003 100 100
Cincinnati Financial Corp.
6.900% due 05/15/2028 111,870 97,327
CIT Group, Inc.
6.200% due 10/20/2000 525 525
6.810% due 09/13/2002 (d) 1,900 1,900
7.110% due 10/01/2002 (d) 600 602
7.380% due 03/15/2003 500 504
CIT Holdings LLC
6.880% due 02/16/2005 7,500 7,412
Citigroup, Inc.
6.820% due 05/24/2001 (d) 139,000 139,093
6.710% due 09/17/2001 (d) 65 65
6.710% due 06/27/2002 (d) 11,450 11,431
6.380% due 09/15/2002 115 114
6.810% due 11/12/2002 (d) 30,000 29,992
8.000% due 02/01/2003 250 255
5.800% due 03/15/2004 200 194
6.500% due 08/01/2004 400 393
7.750% due 06/15/2006 15,655 16,138
Comerica, Inc.
7.250% due 06/15/2007 200 198
Commercial Credit Co.
5.550% due 02/15/2001 1,300 1,294
8.250% due 11/01/2001 2,500 2,536
6.880% due 05/01/2002 335 335
7.750% due 03/01/2005 550 564
Countrywide Home Loans
6.250% due 04/15/2009 600 547
Credit Asset Receivable
6.270% due 10/31/2003 38,322 37,814
DaimlerChrysler Financial Services LLC
6.790% due 02/10/2003 (d) 2,000 2,000
DBS Group Holdings Ltd.
7.880% due 08/10/2009 6,000 6,037
Deutsche Bank Capital Trust I
7.870% due 12/29/2049 5,875 5,606
Deutsche Bank Financial
7.500% due 04/25/2009 3,000 3,009
Dillard Investment Co., Inc.
9.250% due 02/01/2001 300 302
Donaldson, Lufkin & Jenrette, Inc.
6.910% due 09/18/2002 (d) 13,600 13,602
6.170% due 07/15/2003 20,000 19,543
5.630% due 02/15/2016 5,000 4,924
Dow Capital BV
7.130% due 01/15/2003 100 100
Dresdner Bank-New York
6.630% due 09/15/2005 1,000 975
Dresdner Funding Trust I
8.150% due 06/30/2031 36,805 33,004
Duke Capital Corp.
7.250% due 10/01/2004 19,000 19,139
Edison Funding
6.950% due 12/19/2000 7,000 6,999
Export-Import Bank Korea
7.250% due 06/25/2001 2,600 2,589
7.130% due 09/20/2001 12,370 12,257
6.500% due 02/10/2002 14,691 14,493
6.500% due 11/15/2006 6,445 6,277
7.100% due 03/15/2007 15,250 15,153
Exxon Capital Corp.
7.450% due 12/15/2001 250 252
6.130% due 09/08/2008 2,000 1,911
Farmers Insurance
8.630% due 05/01/2024 275 271
Finova Capital Corp.
5.880% due 10/15/2001 1,000 845
7.340% due 11/08/2002 (d) 51,350 41,760
7.190% due 04/08/2003 (d) 300 256
6.910% due 06/18/2003 (d) 32,300 28,263
6.330% due 11/24/2003 1,300 979
First Chicago Corp.
9.250% due 11/15/2001 250 256
6.740% due 03/11/2002 (d) 10,000 10,023
6.840% due 07/28/2003 (d) 50 50
First Interstate Bancorp
10.880% due 04/15/2001 200 204
8.880% due 01/01/2009 (l) 152 155
First National Bank Chicago
8.080% due 01/05/2018 250 262
First Security Corp.
5.880% due 11/01/2003 9,325 9,033
First Union Corp.
8.130% due 06/24/2002 150 152
7.100% due 08/15/2004 3,000 2,987
7.700% due 02/15/2005 4,000 4,080
6.380% due 01/15/2009 500 461
Firstar Bank NA
7.800% due 07/05/2010 35,900 36,548
Fleet Financial Group, Inc.
9.900% due 06/15/2001 200 204
Ford Capital BV
9.500% due 06/01/2010 200 221
Ford Motor Credit Corp.
6.380% due 10/06/2000 1,300 1,300
6.250% due 11/08/2000 750 750
7.020% due 06/07/2001 1,000 1,001
6.810% due 09/03/2001 (d) 27,000 27,039
7.000% due 09/25/2001 1,125 1,127
6.850% due 10/15/2001 (d) 13,000 13,012
6.840% due 11/16/2001 (d) 76,800 76,868
8.240% due 01/15/2002 85 86
6.860% due 01/17/2002 (d) 53,945 53,762
8.200% due 02/15/2002 500 508
6.500% due 02/28/2002 1,710 1,702
6.810% due 03/19/2002 (d) 28,208 28,329
6.870% due 04/29/2002 (d) 33,000 33,033
6.900% due 05/21/2002 (d) 4,000 4,004
6.880% due 05/23/2002 14,000 14,001
6.820% due 06/04/2002 (d) 12,000 12,002
6.990% due 07/16/2002 (d) 111,680 111,920
6.910% due 08/01/2002 (d) 36,000 36,002
6.550% due 09/10/2002 4,000 3,979
76 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
6.880% due 10/15/2002 (d) $ 14,000 $ 13,993
7.750% due 11/15/2002 5,730 5,824
6.820% due 12/16/2002 (d) 56,000 55,859
6.000% due 01/14/2003 1,000 978
7.500% due 01/15/2003 250 252
6.860% due 02/03/2003 (d) 30,000 29,925
6.780% due 02/13/2003 (d) 100,000 100,041
6.810% due 02/13/2003 (d) 250,185 249,875
6.850% due 03/17/2003 (d) 21,000 20,973
6.130% due 04/28/2003 26,130 25,566
6.940% due 06/02/2003 (d) 38,100 38,142
6.950% due 06/20/2003 (d) 10,000 10,007
6.630% due 06/30/2003 775 766
6.950% due 11/24/2003 (d) 32,000 31,989
5.750% due 02/23/2004 1,620 1,547
6.960% due 04/26/2004 (d) 53,000 52,926
6.890% due 05/21/2004 (d) 22,200 22,102
6.870% due 06/02/2004 (d) 1,500 1,492
6.700% due 07/16/2004 92,905 91,080
7.080% due 07/19/2004 (d) 174,500 174,656
8.250% due 02/23/2005 2,500 2,592
7.500% due 03/15/2005 17,000 17,107
6.900% due 04/28/2005 (d) 58,000 57,841
7.230% due 06/30/2005 (d) 65,000 65,025
7.170% due 07/18/2005 (d) 182,100 182,418
6.780% due 08/27/2006 (d) 27,500 27,503
7.200% due 06/15/2007 25 25
5.800% due 01/12/2009 155 138
Fuji Bank Ltd.
9.870% due 12/31/2049 (d) 25,475 24,953
General Electric Capital Corp.
8.380% due 03/01/2001 1,415 1,423
6.020% due 05/04/2001 1,000 996
5.500% due 11/01/2001 50 49
5.650% due 03/31/2003 125 122
6.210% due 12/09/2005 400 391
7.880% due 12/01/2006 30 32
8.300% due 09/20/2009 1,125 1,198
General Motors Acceptance Corp.
5.800% due 04/09/2001 8,340 8,302
6.800% due 04/17/2001 4,800 4,800
5.950% due 04/20/2001 22,150 22,059
6.700% due 04/30/2001 3,000 2,999
7.130% due 05/01/2001 44,395 44,461
6.750% due 06/05/2001 880 880
6.880% due 07/15/2001 1,000 1,000
6.760% due 10/22/2001 (d) 25,700 25,685
7.070% due 11/26/2001 (d) 19,000 19,119
6.380% due 12/01/2001 765 762
6.760% due 12/10/2001 (d) 2,200 2,200
9.630% due 12/15/2001 5,650 5,824
7.040% due 12/17/2001 (d) 13,000 13,084
6.840% due 01/08/2002 (d) 3,000 3,011
6.630% due 01/10/2002 500 497
6.810% due 01/28/2002 (d) 13,000 13,007
6.800% due 02/01/2002 (d) 36,700 36,724
6.750% due 02/07/2002 1,590 1,587
6.840% due 03/15/2002 (d) 10,215 10,268
7.750% due 03/25/2002 125 127
6.840% due 04/29/2002 (d) 221,144 221,840
7.000% due 09/15/2002 250 251
6.630% due 10/01/2002 5,000 4,968
6.570% due 10/07/2002 (d) 1,100 1,101
6.780% due 11/12/2002 (d) 10,200 10,198
6.880% due 11/12/2002 (d) 22,995 23,022
6.860% due 12/09/2002 (d) 64,050 64,114
6.750% due 12/10/2002 500 499
6.200% due 12/15/2002 500 493
5.480% due 12/16/2002 150 146
6.000% due 01/15/2003 990 971
5.880% due 01/22/2003 75,500 73,769
6.840% due 02/14/2003 (d) 10,000 9,986
6.750% due 03/15/2003 40,125 39,928
7.130% due 05/01/2003 36,000 36,171
7.400% due 07/20/2003 (d) 9,577 9,569
6.790% due 08/18/2003 (d) 102,940 102,690
5.550% due 09/15/2003 32,000 30,830
6.630% due 10/20/2003 2,000 1,982
5.750% due 11/10/2003 1,000 965
7.020% due 04/05/2004 (d) 27,900 27,861
6.930% due 05/28/2004 (d) 73,000 73,801
6.850% due 06/17/2004 1,200 1,190
7.090% due 07/21/2004 (d) 10,000 10,009
7.360% due 09/20/2004 (d) 20,058 20,040
6.650% due 11/17/2005 500 489
6.150% due 04/05/2007 150 140
8.950% due 07/02/2009 19,971 20,803
Gold Eagle Capital Ltd.
12.130% due 04/15/2001 46,300 46,300
Golden State Holdings
2.280% due 01/01/2000 15 346
6.750% due 08/01/2001 1,950 1,920
Goldman Sachs Group
6.200% due 12/15/2000 6,500 6,489
6.710% due 01/12/2001 (d) 25,000 25,041
6.900% due 01/25/2001 (d) 27,400 27,416
6.920% due 02/20/2001 (d) 3,000 3,004
7.000% due 04/16/2001 (d) 18,000 17,999
6.920% due 12/07/2001 (d) 25,000 25,057
7.090% due 02/18/2002 (d) 2,300 2,315
7.060% due 01/16/2003 (d) 15,000 15,097
6.960% due 01/17/2003 (d) 147,500 147,700
7.070% due 05/23/2003 (d) 75,000 75,074
6.930% due 02/10/2004 (d) 10,000 9,847
7.220% due 02/19/2004 (d) 10,000 10,153
6.920% due 06/02/2004 (d) 15,000 14,743
6.630% due 12/01/2004 275 270
7.630% due 08/17/2005 40,000 40,841
7.390% due 02/09/2009 (d) 10,000 10,432
6.500% due 02/25/2009 140 130
GS Escrow Corp.
7.710% due 08/01/2003 (d) 500 485
Hansol Paper Co. Ltd.
8.940% due 05/24/2001 (d) 20,000 20,200
Hartford Life, Inc.
6.900% due 06/15/2004 600 595
Heller Financial, Inc.
6.250% due 03/01/2001 25,000 24,943
6.920% due 06/25/2001 (d) 76,050 76,106
5.750% due 09/25/2001 1,400 1,380
7.070% due 10/22/2001 (d) 19,200 19,240
6.500% due 11/01/2001 250 249
7.590% due 11/09/2001 (d) 2,500 2,517
6.890% due 04/26/2002 (d) 12,000 11,988
6.850% due 05/07/2002 (d) 2,000 1,998
6.850% due 05/13/2002 (d) 10,000 9,988
7.000% due 05/15/2002 900 897
7.120% due 07/24/2002 (d) 16,200 16,223
6.940% due 04/28/2003 (d) 26,000 25,911
6.970% due 04/28/2003 (d) 55,750 55,509
Hertz Corp.
7.000% due 07/15/2003 13,300 13,155
Home Savings of America
6.000% due 11/01/2000 14,175 14,161
Household Bank
6.820% due 09/26/2001 (d) 9,000 8,999
6.910% due 10/22/2003 (d) 15,000 14,952
Household Capital Trust
7.010% due 06/26/2004 (d) 13,925 13,302
Household Finance Corp.
6.780% due 06/22/2001 (d) 3,000 3,004
6.860% due 08/01/2001 (d) 1,500 1,501
6.860% due 11/01/2001 (d) 3,000 3,000
6.840% due 05/07/2002 (d) 40,850 40,983
6.890% due 05/24/2002 (d) 113,800 113,894
7.080% due 06/03/2002 15,000 15,013
5.880% due 11/01/2002 200 196
6.910% due 06/24/2003 35,000 35,022
6.920% due 06/24/2003 (d) 31,000 31,027
7.000% due 08/01/2003 20,000 19,943
6.500% due 11/15/2008 2,000 1,878
See accompanying notes 77
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
Household Netherlands BV
6.130% due 03/01/2003 $ 18,100 $ 17,646
HSBC Capital Funding LP
10.180% due 12/29/2049 10,000 11,086
10.180% due 12/31/2049 106,400 112,685
HypoVereinsbank
8.740% due 06/30/2031 12,400 11,831
Industrial Bank of Korea
7.100% due 10/15/2001 3,290 3,224
Inter-American Development Bank
8.880% due 06/01/2009 200 227
7.380% due 01/15/2010 4,200 4,374
International Bank for Reconstruction &
Development
7.000% due 01/27/2005 1,000 1,018
International Lease Finance Corp.
5.780% due 03/01/2001 500 498
5.930% due 07/15/2003 14,000 13,613
J.P. Morgan & Co.
5.750% due 02/25/2004 22,800 21,969
6.700% due 11/01/2007 30 29
6.000% due 01/15/2009 37,000 34,095
8.080% due 02/15/2012 600 519
JET Equipment Trust
10.000% due 06/15/2012 80 88
10.690% due 05/01/2015 100 117
John Hancock
7.380% due 02/15/2024 360 333
KBC Bank Fund Trust III
9.860% due 11/29/2049 (d) 5,700 5,965
Key Bank NA
7.550% due 09/15/2006 350 354
Kimco Realty Corp.
6.500% due 10/01/2003 200 195
Korea Development Bank
7.680% due 10/06/2000 (d) 5,000 5,000
6.510% due 10/20/2000 11,000 10,976
7.130% due 09/17/2001 10,055 10,041
8.600% due 03/25/2002 6,600 6,723
6.500% due 11/15/2002 440 431
7.130% due 04/22/2004 19,125 18,771
7.380% due 09/17/2004 16,500 16,264
6.750% due 12/01/2005 55 52
7.250% due 05/15/2006 50 48
LB Rheinland - PFALZ
5.000% due 02/23/2028 3,400 3,230
Lehman Brothers Holdings, Inc.
9.880% due 10/15/2000 150 150
7.250% due 12/01/2000 (d) 500 500
6.130% due 02/01/2001 2,000 1,994
6.000% due 02/26/2001 700 698
7.370% due 07/03/2001 (d) 10,000 10,036
7.680% due 04/02/2002 (d) 64,750 65,327
6.380% due 05/07/2002 28,695 28,481
7.410% due 05/07/2002 (d) 42,100 42,363
8.750% due 05/15/2002 219 225
6.610% due 07/08/2002 (d) 101,600 101,691
7.530% due 07/15/2002 (d) 43,051 43,408
7.000% due 08/12/2002 (d) 6,500 6,499
7.450% due 08/28/2002 (d) 6,500 6,508
6.970% due 09/03/2002 (d) 14,000 13,991
7.210% due 12/12/2002 (d) 57,900 58,152
7.170% due 04/04/2003 (d) 134,300 134,342
7.000% due 05/15/2003 150 150
7.020% due 08/03/2003 (d) 1,500 1,485
6.630% due 04/01/2004 65 64
7.750% due 01/15/2005 150 153
7.630% due 06/01/2006 350 352
8.500% due 05/01/2007 1,475 1,548
LG&E Capital Corp.
6.210% due 05/01/2004 1,000 973
6.460% due 01/15/2008 3,000 2,856
Liberty Mutual Insurance
8.200% due 05/04/2007 17,510 17,252
Limestone Electron Trust
8.630% due 03/15/2003 71,350 72,720
Marine Midland
6.750% due 12/12/2000 (d) 3,700 3,699
MBNA America Bank NA
6.970% due 04/25/2002 (d) 1,000 998
MBNA Corp.
6.990% due 05/24/2002 1,000 1,000
7.130% due 09/10/2002 (d) 5,000 5,024
7.040% due 12/10/2002 4,100 4,044
MCN Investment Corp.
6.030% due 02/01/2001 6,850 6,813
7.120% due 01/16/2004 7,500 7,290
6.300% due 04/02/2011 7,500 7,448
Merrill Lynch & Co.
6.830% due 10/03/2000 (d) 2,000 2,000
6.430% due 12/05/2000 (d) 89,000 89,009
6.000% due 03/01/2001 1,325 1,320
6.500% due 04/01/2001 400 399
6.750% due 04/30/2001 2,775 2,773
6.820% due 05/08/2001 (d) 54,900 54,918
6.880% due 05/30/2001 (d) 3,800 3,806
6.790% due 11/01/2001 (d) 35,000 35,035
6.770% due 11/09/2001 (d) 16,000 16,001
6.830% due 01/15/2002 (d) 17,000 16,995
7.090% due 02/01/2002 (d) 33,000 33,111
8.000% due 02/01/2002 400 406
7.380% due 08/17/2002 300 303
8.300% due 11/01/2002 700 720
6.000% due 02/12/2003 500 491
6.880% due 03/01/2003 140 140
6.810% due 06/24/2003 (d) 27,000 26,920
6.990% due 08/01/2003 (d) 800 800
6.920% due 10/01/2003 (d) 18,500 18,497
5.880% due 01/15/2004 600 580
6.550% due 08/01/2004 400 395
7.000% due 03/15/2006 1,500 1,488
7.000% due 04/27/2008 100 98
6.380% due 10/15/2008 35,000 32,955
Merrill Lynch Mortgage Investors, Inc.
5.650% due 12/15/2030 441 424
Metropolitan Life Insurance Co.
6.300% due 11/01/2003 6,800 6,648
Mexico Credit Link
11.380% due 02/22/2002 (d) 29,500 30,760
11.800% due 02/25/2002 2,000 2,119
MFN Financial Corp.
6.980% due 09/13/2001 (d) 10,300 10,305
MIC Financing Trust
8.380% due 02/01/2027 36,000 31,063
Monumental Global Funding II
6.910% due 09/26/2003 (d) 58,500 58,500
Morgan Stanley, Dean Witter, Discover and Co.
5.750% due 02/15/2001 400 399
6.700% due 05/01/2001 600 600
9.380% due 06/15/2001 300 305
6.840% due 12/17/2001 (d) 5,000 5,006
6.840% due 01/28/2002 (d) 35,700 35,762
6.880% due 04/15/2002 (d) 300 300
6.890% due 02/21/2003 (d) 25,000 25,046
6.850% due 03/11/2003 (d) 11,500 11,484
6.910% due 05/05/2003 (d) 23,000 23,041
6.960% due 08/07/2003 (d) 140,800 140,900
6.380% due 12/15/2003 150 148
5.630% due 01/20/2004 1,100 1,058
6.990% due 04/22/2004 (d) 68,500 68,577
Nacional Financiera
10.560% due 12/01/2000 (d) 10,760 10,712
National Westminster Bank PLC
9.380% due 11/15/2003 200 213
78 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
NationsBank Corp.
6.750% due 02/26/2001 $ 500 $ 499
7.000% due 09/15/2001 1,500 1,503
6.810% due 06/17/2002 (d) 10,000 10,003
6.130% due 07/15/2004 600 582
NCNB Corp.
7.750% due 08/01/2002 896 896
Noble Affiliates, Inc.
8.950% due 12/15/2004 11,500 11,525
Nordbanken
7.250% due 11/12/2009 21,250 21,086
Nordstrom Credit, Inc.
7.250% due 04/30/2002 1,000 1,006
Northern Rock PLC
2.000% due 01/01/2000 1,060 20,670
Norwest Financial, Inc.
6.380% due 07/16/2002 500 497
6.250% due 11/01/2002 100 99
7.000% due 01/15/2003 380 382
6.000% due 02/01/2004 50 49
Okobank
7.040% due 05/23/2006 (d) 10,000 10,018
Old Kent Bank
7.750% due 08/15/2010 6,500 6,512
Orix Credit Alliance
7.640% due 09/17/2001 13,000 13,077
Osprey Trust
8.310% due 01/15/2003 75,475 76,418
Pacific Mutual Life
7.900% due 12/30/2023 8,000 7,841
PaineWebber
7.030% due 05/20/2002 (d) 1,000 999
7.290% due 07/15/2002 (d) 200 200
Parker Retirement Savings Plan
6.340% due 07/15/2008 841 791
PDVSA Finance Ltd.
7.400% due 08/15/2016 1,200 971
Pemex Finance Limited
6.130% due 11/15/2003 20,222 19,864
PNC Bank Corp.
6.720% due 01/24/2002 (d) 49,000 49,031
6.680% due 08/15/2002 (d) 5,000 5,005
PNC Funding Corp.
6.880% due 03/01/2003 100 100
7.000% due 09/01/2004 15,000 14,889
PNC Institutional Capital
Association
7.950% due 12/15/2026 150 135
Popular North American, Inc.
7.380% due 09/15/2001 25,000 25,120
Popular, Inc.
6.550% due 10/10/2000 2,485 2,485
6.200% due 04/30/2001 3,336 3,325
6.540% due 11/06/2001 18,705 18,625
6.630% due 01/15/2004 19,500 18,949
Prime Property Funding II
7.000% due 08/15/2004 110 107
Protective Life Funding Trust
7.090% due 01/17/2003 (d) 2,000 1,997
Prudential Funding Corp.
6.420% due 10/02/2000 (d) 20,000 20,004
6.630% due 04/01/2009 17,000 15,484
PSE&G Capital Corp.
6.740% due 10/23/2001 1,400 1,398
Qwest Capital Funding, Inc.
6.880% due 08/15/2001 43,200 43,165
7.200% due 07/08/2002 (d) 500 500
Reliance Group Holdings
9.000% due 11/15/2000 (m) 19,000 6,460
9.750% due 11/15/2003 (m) 10,000 1,163
Reliant Energy Financial Co.
7.660% due 12/10/2001 (d) 53,100 52,989
Royal Bank of Scotland PLC
6.400% due 04/01/2009 15,000 13,983
8.820% due 03/31/2049 38,600 40,300
9.120% due 03/31/2049 66,400 69,856
Safeco Corp.
7.260% due 08/12/2002 500 505
Sakura Capital Funding
7.320% due 08/29/2049 20,000 19,244
7.560% due 09/29/2049 (d) 59,000 57,230
Salomon, Inc.
6.630% due 11/30/2000 500 500
6.650% due 07/15/2001 600 598
7.000% due 03/04/2002 18,850 18,894
6.750% due 02/15/2003 450 449
Salomon, Smith Barney Holdings
5.980% due 03/26/2001 250 249
3.650% due 02/14/2002 (d)(j) 29,708 29,357
6.930% due 04/15/2002 (d) 35,090 35,100
6.860% due 05/14/2002 (d) 34,515 34,514
7.020% due 07/23/2002 (d) 53,400 53,319
6.130% due 01/15/2003 290 285
6.910% due 02/11/2003 (d) 44,200 44,236
6.960% due 04/28/2003 (d) 34,000 34,014
7.060% due 07/18/2003 (d) 55,800 55,897
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 94,740 94,604
Sears Roebuck Acceptance
6.800% due 05/07/2001 500 500
6.790% due 05/21/2001 500 500
7.190% due 06/18/2001 3,880 3,891
7.110% due 06/19/2001 1,000 1,002
9.400% due 08/02/2001 250 255
6.860% due 08/06/2001 400 400
6.710% due 08/13/2001 80 80
6.360% due 12/04/2001 290 289
6.120% due 12/13/2001 260 257
8.390% due 02/14/2002 240 244
6.950% due 05/15/2002 300 299
6.000% due 03/20/2003 149,750 145,584
7.260% due 04/21/2003 3,000 3,002
7.140% due 05/02/2003 5,000 4,988
6.560% due 11/20/2003 1,178 1,152
6.250% due 01/15/2004 300 291
6.750% due 09/15/2005 785 763
6.700% due 11/15/2006 500 480
Security Pacific Corp.
11.500% due 11/15/2000 4,000 4,019
11.000% due 03/01/2001 135 137
Seismic Ltd.
11.270% due 01/01/2002 (d) 32,500 32,500
Simon Property Group, Inc.
9.000% due 03/15/2002 2,000 2,027
Socgen Real Estate LLC
7.640% due 12/29/2049 3,000 2,803
Societe Generale
7.400% due 06/01/2006 1,500 1,503
Sovereign Bancorp, Inc.
6.630% due 03/15/2001 13,500 13,357
Spieker Properties
6.800% due 12/15/2001 5,500 5,456
6.800% due 05/01/2004 1,000 977
Steers
10.460% due 08/07/2002 (d) 20,000 20,114
Sumitomo Bank International Finance NV
8.500% due 06/15/2009 6,600 6,747
Sumitomo Bank Treasury Co.
9.400% due 12/29/2049 (d) 21,050 20,713
Sun Life of Canada (U.S.)
8.530% due 05/29/2049 250 225
Telewest Credit Links
8.500% due 04/16/2004 30,000 28,878
Textron Financial Corp.
7.030% due 05/28/2002 (d) 41,900 41,849
7.030% due 09/17/2002 (d) 2,000 2,003
The Money Store, Inc.
8.050% due 04/15/2002 300 304
7.300% due 12/01/2002 100 101
See accompanying notes 79
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Tokai Capital Corp.
9.980% due 12/29/2049 (d) $ 18,050 $ 17,286
Toyota Motor Credit Corp.
7.320% due 02/15/2002 (d) 40,000 39,319
Transamerica Finance Corp.
6.910% due 09/17/2001 (d) 10,000 10,001
6.130% due 11/01/2001 29,000 28,757
6.910% due 12/14/2001 (d) 40,700 40,744
7.250% due 08/15/2002 85,500 85,695
7.500% due 03/15/2004 270 271
6.750% due 11/15/2006 650 637
Travelers Group, Inc.
7.200% due 02/01/2004 38,480 38,677
U.S. Bancorp
6.750% due 01/16/2002 (d) 49,000 49,015
6.940% due 02/03/2003 (d) 18,100 18,111
6.500% due 06/15/2004 600 588
Wachovia Corp.
7.260% due 05/02/2005 (d) 53,100 53,047
Washington Mutual, Inc.
8.210% due 02/01/2027 150 132
8.380% due 06/01/2027 235 212
Wells Fargo & Co.
5.630% due 02/05/2001 400 399
8.750% due 05/01/2002 100 103
6.630% due 07/15/2004 6,500 6,439
7.220% due 05/02/2005 (d) 67,700 67,678
7.800% due 06/15/2010 40,600 41,519
Westdeutsche Landesbank
6.750% due 06/15/2005 36,400 35,796
6.050% due 01/15/2009 123,100 112,682
-----------
$9,923,058
===========
Industrials 7.0%
Ahold Finance USA, Inc.
6.880% due 05/01/2029 115 95
Akzo Nobel, Inc.
6.000% due 11/15/2003 32,000 30,896
Albertson's, Inc.
8.350% due 05/01/2010 5,000 5,147
Allied Waste North America, Inc.
7.380% due 01/01/2004 18,925 17,695
Alpha Wind
11.320% due 05/23/2001 17,200 17,200
America West Airlines, Inc.
6.870% due 07/02/2018 1,956 1,789
American Airlines
10.610% due 03/04/2011 1,895 2,165
AMR Corp.
10.610% due 01/11/2001 4,000 4,024
10.570% due 01/15/2001 3,000 3,025
10.590% due 01/31/2001 3,000 3,007
10.000% due 02/01/2001 2,400 2,413
9.400% due 05/08/2001 3,000 3,020
9.430% due 05/10/2001 1,000 1,007
9.500% due 05/15/2001 3,480 3,503
9.130% due 10/25/2001 2,000 2,033
8.470% due 02/20/2002 2,000 2,012
8.500% due 02/26/2002 1,000 1,006
10.210% due 01/01/2010 6,500 7,202
Anheuser-Busch Companies, Inc.
6.750% due 08/01/2003 500 503
Arrow Electronics, Inc.
7.440% due 11/24/2000 (d) 13,200 13,197
Atlas Air, Inc.
9.470% due 04/04/2003 (d) 22,700 22,700
10.470% due 10/04/2004 (d) 3,000 3,000
Aventis SA
8.620% due 01/05/2021 250 261
Baxter International, Inc.
9.500% due 06/15/2008 200 221
Bayer Corp.
6.500% due 10/01/2002 250 248
BOC Group PLC
5.880% due 01/29/2001 250 249
Boeing Co.
8.380% due 02/15/2001 900 904
6.350% due 06/15/2003 750 744
Boise Cascade Co.
7.150% due 05/15/2001 10,000 9,988
BP Amoco PLC
6.250% due 10/15/2004 1,000 991
Browning-Ferris Industries, Inc.
6.100% due 01/15/2003 6,000 5,632
Cabot Corp.
7.280% due 10/21/2027 5,160 4,383
Campbell Soup Co.
4.750% due 10/01/2003 500 474
Cemex SA
9.250% due 06/17/2002 5,000 5,100
8.630% due 07/18/2003 48,250 48,853
Century Communications Corp.
0.000% due 03/15/2003 10,515 8,044
CF Cable TV, Inc.
9.130% due 07/15/2007 1,600 1,722
Champion International Corp.
9.700% due 05/01/2001 4,000 4,046
Clear Channel Communications, Inc.
7.210% due 06/15/2002 (d) 20,000 20,047
Coastal Corp.
10.380% due 10/01/2000 8,500 8,500
7.290% due 03/01/2002 (d) 145,350 145,350
Coca-Cola Co.
6.380% due 08/01/2001 500 497
7.880% due 02/01/2002 600 605
6.000% due 07/15/2003 250 246
5.750% due 11/01/2008 100 91
Colgate-Palmolive Co.
6.000% due 08/15/2003 45 44
Columbia/HCA Healthcare
8.020% due 08/05/2002 9,000 8,932
8.130% due 08/04/2003 7,300 7,238
6.910% due 06/15/2005 9,500 8,964
6.630% due 07/15/2045 10,000 9,747
6.730% due 07/15/2045 14,760 14,162
Comcast Cable Communications
8.380% due 05/01/2007 145 151
Comdisco, Inc.
6.130% due 08/01/2006 600 588
Conoco, Inc.
6.350% due 04/15/2009 1,900 1,804
Continental Airlines
6.410% due 04/15/2007 342 330
6.800% due 07/02/2007 26 25
6.950% due 02/02/2011 24,520 23,708
6.900% due 01/02/2018 1,511 1,429
Cox Communications, Inc.
6.630% due 06/14/2002 7,250 7,174
6.500% due 11/15/2002 200 198
0.430% due 04/19/2020 25,000 10,500
Cox Enterprises, Inc.
8.000% due 02/15/2007 5,000 5,105
7.610% due 05/01/2033 (d) 500 500
Credit Lyon Capital
2.380% due 01/01/2000 1,912 46,374
CSX Corporation
7.260% due 06/24/2002 (d) 25,100 25,102
DaimlerChrysler Holdings
6.630% due 09/21/2001 1,000 995
6.860% due 01/18/2002 18,900 18,922
7.750% due 05/27/2003 20,000 20,342
7.000% due 08/16/2004 (d) 61,600 61,704
Dayton Hudson Corp.
10.000% due 12/01/2000 1,000 1,004
Delphi Auto Systems Corp.
6.130% due 05/01/2004 20,000 19,103
80 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Delta Air Lines, Inc.
6.650% due 03/15/2004 $ 13,500 $ 12,809
10.430% due 01/02/2011 850 969
10.140% due 08/14/2012 1,000 1,144
9.200% due 09/23/2014 6,000 6,083
10.500% due 04/30/2016 4,550 4,994
Duty Free International, Inc.
7.000% due 01/15/2004 175 169
Eastman Chemical Co.
6.380% due 01/15/2004 5,750 5,535
Electric Lightwave, Inc.
6.050% due 05/15/2004 10,700 10,423
Eli Lilly & Co.
8.130% due 12/01/2001 500 507
6.250% due 03/15/2003 100 99
Embotelladora Arica SA
9.880% due 03/15/2006 7,500 7,810
Enron Corp.
7.110% due 09/10/2001 (d) 7,000 7,001
6.450% due 11/15/2001 275 273
7.660% due 01/14/2002 5,000 5,040
8.380% due 05/23/2005 12,000 12,550
Federal Express Corp.
6.850% due 01/15/2019 826 767
Ford Capital BV
9.380% due 05/15/2001 300 304
Ford Motor Co.
9.000% due 09/15/2001 880 893
6.630% due 10/01/2028 115,800 97,647
7.450% due 07/16/2031 10,000 9,325
Fortune Brands, Inc.
8.500% due 10/01/2003 500 521
Fred Meyer, Inc.
7.150% due 03/01/2003 11,000 10,927
7.380% due 03/01/2005 38,100 37,726
7.450% due 03/01/2008 300 291
General Foods Corp.
6.000% due 06/15/2001 200 197
General Motors Acceptance Corp.
6.250% due 05/01/2005 300 291
Gillette Co.
6.250% due 08/15/2003 750 749
5.750% due 10/15/2005 1,500 1,453
Grupo Elektra SA
12.750% due 05/15/2001 1,000 1,035
Gulf Canada Resources Ltd.
9.250% due 01/15/2004 7,250 7,366
Harrahs Operating Co., Inc.
7.880% due 12/15/2005 5,000 4,825
Heinz (H.J.) Co.
6.880% due 01/15/2003 100 101
Hertz Corp.
6.000% due 02/01/2001 75 75
Hilton Hotels Corp.
7.380% due 06/01/2002 1,000 992
Houghton Mifflin Co.
5.990% due 12/03/2001 3,000 2,955
IBM Corp.
7.250% due 11/01/2002 450 455
ICI Wilmington
6.750% due 09/15/2002 10,000 9,882
IMEXSA Export Trust
10.130% due 05/31/2003 7,644 7,618
Imperial Tobacco
7.130% due 04/01/2009 21,785 19,906
Ingersoll-Rand Co.
6.260% due 02/15/2001 295 294
International Game Technology
7.880% due 05/15/2004 24,500 24,071
International Paper Co.
9.050% due 02/08/2001 100 100
7.000% due 06/01/2001 2,000 1,994
ISP Holdings, Inc.
9.750% due 02/15/2002 6,750 6,075
ITT Corp.
6.250% due 11/15/2000 500 499
J Seagram & Sons
5.790% due 04/15/2001 1,800 1,783
6.250% due 12/15/2001 6,545 6,475
K Mart Corp.
8.190% due 11/24/2003 5,000 4,675
Kellogg
5.750% due 02/02/2001 86,925 86,444
Kohls Corp.
7.380% due 10/15/2011 15 14
Kroger Co.
7.560% due 10/01/2010 (d) 54,000 54,098
Limited, Inc.
7.800% due 05/15/2002 500 504
Lockheed Martin Corp.
6.850% due 05/15/2001 30,315 30,205
Mallinckrodt, Inc.
6.300% due 03/15/2011 (d) 23,155 23,046
Mandalay Resort Group
6.750% due 07/15/2003 4,500 4,230
Marlin Water Trust
7.090% due 12/15/2001 11,238 11,174
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (l) 1,980 2,362
Mobil Corp.
8.380% due 02/12/2001 340 341
Nabisco, Inc.
6.000% due 02/15/2001 (d) 11,990 11,900
6.800% due 09/01/2001 3,000 2,962
6.700% due 06/15/2002 9,000 8,811
6.130% due 02/01/2033 15,000 14,356
Nabors Industries, Inc.
6.800% due 04/15/2004 9,250 9,150
News America Holdings Corp.
8.630% due 02/01/2003 750 775
Norfolk Southern Corp.
7.880% due 02/15/2004 50 51
Nortel Networks Corporation
6.880% due 10/01/2002 200 199
Northwest Airlines, Inc.
8.970% due 01/02/2015 1,636 1,659
8.070% due 08/01/2021 400 411
Occidental Petroleum
6.400% due 04/01/2003 7,710 7,520
7.360% due 10/03/2008 30,300 30,262
Park Place Entertainment Corp.
7.950% due 08/01/2003 18,500 18,523
Petroleos Mexicanos
8.130% due 07/15/2005 (d) 100,400 100,651
8.850% due 09/15/2007 1,800 1,787
9.380% due 12/02/2008 14,650 15,090
9.500% due 09/15/2027 31,000 32,008
Philip Morris Cos., Inc.
9.000% due 01/01/2001 300 301
8.750% due 06/01/2001 5,515 5,550
7.250% due 09/15/2001 70 70
7.500% due 01/15/2002 50 50
6.800% due 12/01/2003 48,345 47,340
7.000% due 07/15/2005 1,125 1,093
6.950% due 06/01/2006 9,540 9,495
7.200% due 02/01/2007 34,000 32,649
Philips Petroleum Co.
9.000% due 06/01/2001 2,000 2,016
Premium Asset Trust
7.030% due 09/08/2007 5,000 4,988
Proctor & Gamble Co.
5.250% due 09/15/2003 35,600 34,205
Qwest Corp.
7.200% due 11/01/2004 170 170
See accompanying notes 81
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Racers
6.930% due 03/03/2003 (d) $ 282,400 $ 282,400
6.210% due 04/01/2003 20,000 19,956
8.760% due 04/28/2003 (d) 30,000 30,690
6.800% due 09/15/2005 (d) 15,000 14,967
Raytheon Co.
7.310% due 03/01/2002 (d) 8,650 8,668
Rogers Cantel, Inc.
9.380% due 06/01/2008 2,750 2,860
Saferco
9.590% due 05/31/2001 (l) 3,000 3,052
Safeway, Inc.
5.750% due 11/15/2000 3,150 3,144
7.000% due 09/15/2002 1,125 1,124
6.850% due 09/15/2004 250 247
Sara Lee Corp.
6.300% due 11/07/2005 500 486
Scotia Pacific Co. LLC
7.710% due 01/20/2014 305 200
SmithKline Beecham
7.380% due 04/15/2005 150 153
Sprint Capital Corp.
7.010% due 06/10/2002 (d) 1,000 1,000
7.010% due 06/24/2002 (d) 50,000 50,020
Stone Container Corp.
10.750% due 10/01/2002 2,500 2,547
TCI Communications, Inc.
7.260% due 03/12/2001 (d) 14,700 14,756
6.380% due 05/01/2003 3,280 3,234
8.000% due 08/01/2005 450 463
Telecommunications, Inc.
8.250% due 01/15/2003 43,125 44,627
Tenet Healthcare Corp.
7.880% due 01/15/2003 5,000 4,988
8.630% due 12/01/2003 1,200 1,209
Texaco Capital
8.500% due 02/15/2003 700 727
6.000% due 06/15/2005 400 388
Textron, Inc.
6.750% due 09/15/2002 225 224
Time Warner, Inc.
6.100% due 12/30/2001 40,525 39,971
7.980% due 08/15/2004 19,770 20,324
Times Mirror Co.
6.650% due 10/15/2001 300 299
TRW, Inc.
6.630% due 06/01/2004 2,425 2,340
Tyco International Group SA
7.370% due 03/05/2001 (d) 15,000 15,016
6.880% due 09/05/2002 675 674
6.250% due 06/15/2003 16,315 15,880
Union Pacific Corp.
7.880% due 02/15/2002 8,000 8,052
7.330% due 07/01/2002 (d) 25,500 25,531
6.930% due 06/01/2003 1,000 989
6.000% due 09/01/2003 8,000 7,733
6.120% due 02/01/2004 250 241
US Airways
6.850% due 01/30/2018 145 130
USA Waste Services, Inc.
6.130% due 07/15/2001 23,500 23,030
UST, Inc.
7.250% due 06/01/2009 25,000 22,408
USX Corp.
9.800% due 07/01/2001 24,050 24,446
Wal-Mart Stores, Inc.
8.630% due 04/01/2001 2,450 2,473
6.150% due 08/10/2001 450 448
6.750% due 05/24/2002 170 170
6.500% due 06/01/2003 200 199
Walt Disney Co.
6.380% due 03/30/2001 1,100 1,097
5.130% due 12/15/2003 500 475
Waste Management, Inc.
6.380% due 12/01/2003 200 189
6.500% due 05/14/2004 89,000 83,904
Williams Communications Group, Inc.
7.180% due 11/15/2001 10,500 10,507
WMX Technologies
6.700% due 05/01/2001 10,000 9,911
7.000% due 10/15/2006 500 467
Xerox Corp.
7.410% due 05/15/2001 1,000 1,003
Yorkshire Power
6.150% due 02/25/2003 17,000 16,360
-----------
2,478,510
===========
Utilities 6.1%
AEP Resources, Inc.
6.500% due 12/01/2003 20,000 19,507
Alabama Power Co.
5.350% due 11/15/2003 1,600 1,528
Arizona Public Service
7.400% due 11/15/2001 (d) 1,000 1,000
Ashland, Inc.
8.450% due 12/05/2001 3,000 3,056
7.250% due 03/07/2003 (d) 300 299
AT&T Corp.
5.130% due 04/01/2001 600 595
7.350% due 08/27/2001 7,200 7,212
7.130% due 01/15/2002 275 276
5.630% due 03/15/2004 350 335
8.650% due 09/15/2004 625 655
7.000% due 05/15/2005 200 199
7.650% due 09/15/2006 140 141
0.000% due 11/01/2007 1,000 877
Baltimore Gas & Electric
6.130% due 07/01/2003 150 147
Bellsouth Telecom
6.000% due 06/15/2002 10,000 9,880
7.500% due 06/15/2033 185 169
Calpine Corp.
9.250% due 02/01/2004 4,150 4,155
7.630% due 04/15/2006 1,800 1,756
CE Electric Funding Company
6.850% due 12/30/2004 250 242
Central Maine Power Co.
7.430% due 08/25/2003 13,000 13,056
Central Power & Light Co.
7.290% due 11/23/2001 (d) 18,100 18,101
Chesapeake & Potomac Telephone
5.630% due 03/01/2007 500 461
8.000% due 10/15/2029 1,125 1,150
Cleveland Electric Illuminating Co.
9.500% due 05/15/2005 33,000 33,794
CMS Energy
8.380% due 07/01/2003 15,000 14,661
8.000% due 07/01/2011 1,000 991
7.000% due 01/15/2005 30,000 27,636
Coastal Corp.
8.130% due 09/15/2002 250 257
Columbus Southern Power Co.
6.850% due 10/03/2005 10,000 9,797
Commonwealth Edison
6.720% due 06/15/2002 (d) 1,000 1,000
6.630% due 07/15/2003 1,000 987
9.880% due 06/15/2020 11,700 12,781
Connecticut Light & Power Co.
7.880% due 06/01/2001 100 100
7.750% due 06/01/2002 5,000 5,048
8.590% due 06/05/2003 27,000 26,646
Consolidated Edison
6.630% due 02/01/2002 100 100
Consolidated Natural Gas Co.
7.250% due 10/01/2004 43,750 43,749
82 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
Constellation Energy Group, Inc.
7.220% due 04/04/2003 (d) $ 15,000 $ 14,961
Deutsche Telekom AG
7.750% due 06/15/2005 134,400 137,718
Dominion Resources, Inc.
7.030% due 01/26/2001 (d) 1,600 1,601
7.600% due 07/15/2003 35,000 35,377
DTE Capital Corp.
8.350% due 11/15/2038 (d) 70,250 68,734
Duke Energy Corp.
5.880% due 06/01/2001 375 373
6.750% due 08/01/2025 25 21
East Coast Power LLC
6.740% due 03/31/2008 17,772 16,968
Edison Mission Energy
7.330% due 06/15/2001 (d) 1,000 1,000
El Paso Electric Co.
9.400% due 05/01/2011 7,455 7,933
El Paso Energy Corp.
6.630% due 07/15/2001 12,000 11,917
El Paso Natural Gas Co.
7.750% due 01/15/2002 15,000 15,106
Entergy Arkansas, Inc.
7.000% due 03/01/2002 1,580 1,575
7.720% due 03/01/2003 200 202
Entergy Louisiana, Inc.
8.500% due 06/01/2003 3,000 3,084
Entergy Mississippi, Inc.
7.360% due 05/03/2004 (d) 31,000 30,806
Georgia Power Co.
6.670% due 02/22/2002 (d) 15,000 14,990
GTE Corp.
7.250% due 08/01/2002 150 151
5.500% due 01/15/2009 100 88
Gulf States Utilities
6.410% due 08/01/2001 5,800 5,760
Hughes Electric
7.560% due 10/23/2000 (j) 10,000 10,003
Indiana Bell Telephone Co., Inc.
5.500% due 04/01/2007 500 455
Indiana Michigan Power
7.270% due 11/22/2000 (d) 2,500 2,501
Indianapolis Power & Light
7.380% due 08/01/2007 225 227
K N Energy, Inc.
6.450% due 11/30/2001 10,000 9,902
6.450% due 03/01/2003 240 236
Kansai Electric Power Co.
7.250% due 09/25/2006 2,000 2,021
Korea Electric Power
7.000% due 10/01/2002 380 374
6.380% due 12/01/2003 220 211
Louisiana Power & Light Co.
7.740% due 07/01/2002 599 599
MCI Worldcom, Inc.
8.880% due 01/15/2006 34,150 35,261
6.130% due 04/15/2012 1,250 1,235
Montana Power Co.
7.000% due 04/06/2001 (d) 15,000 15,004
National Power Corp.
9.630% due 05/15/2028 16,000 11,631
National Rural Utilities Cooperative
6.880% due 05/31/2002 (d) 10,000 9,996
6.250% due 04/15/2003 50,000 48,982
Nevada Power Co.
7.270% due 08/20/2001 (d) 900 900
New England Telephone & Telegraph Co.
6.380% due 09/01/2008 1,350 1,267
New Jersey Bell Telephone
4.880% due 11/01/2000 800 799
New York Telephone Co.
6.250% due 02/15/2004 150 146
6.000% due 04/15/2008 45 41
Niagara Mohawk Power
7.000% due 10/01/2000 60,235 60,235
6.880% due 03/01/2001 21,538 21,516
7.250% due 10/01/2002 24,783 24,676
7.380% due 07/01/2003 39,162 39,255
7.380% due 08/01/2003 1,645 1,658
North Atlantic Energy
9.050% due 06/01/2002 3,948 3,988
Northern Illinois Gas Co.
6.450% due 08/01/2001 1,450 1,447
Northern Telecom Ltd.
8.750% due 06/12/2001 300 303
NRG Energy, Inc.
8.000% due 11/01/2003 6,000 6,044
NRG Northeast Generating LLC
8.070% due 12/15/2004 500 503
Nynex Corp.
9.550% due 05/01/2010 5,941 6,360
Ohio Bell Telephone Co.
5.380% due 03/01/2007 950 865
Ohio Power Co.
7.000% due 07/01/2004 24,000 23,828
Oxymar
7.500% due 02/15/2016 200 149
Pacific Gas & Electric Co.
6.750% due 12/01/2000 3,049 3,048
Pacific Northwest Bell
4.380% due 09/01/2002 50 48
Philadelphia Electric
5.630% due 11/01/2001 22,350 22,026
Philippine Long Distance Telephone Co.
7.850% due 03/06/2007 5,000 4,088
10.500% due 04/15/2009 5,000 4,515
PP&L, Inc.
6.130% due 05/01/2001 (d) 16,102 15,999
6.550% due 03/01/2006 500 486
PSEG Energy Holdings
9.130% due 02/10/2004 120 123
Public Service Co. of Colorado
6.000% due 04/15/2003 750 732
Public Service Electric & Gas
7.250% due 04/01/2001 (d) 3,191 3,191
6.130% due 08/01/2002 1,000 987
6.250% due 01/01/2007 1,500 1,416
Public Service Enterprise Group, Inc.
7.010% due 11/22/2000 (d) 11,000 11,002
7.040% due 06/15/2001 (d) 156,200 156,262
Queststar Pipeline
9.380% due 06/01/2021 200 208
RAS LAFFAN Liquid Natural Gas
8.290% due 03/15/2014 145 138
Reliant Energy, Inc.
9.380% due 06/01/2001 1,000 1,013
6.380% due 11/01/2003 22,250 21,802
8.750% due 03/01/2022 10,000 10,142
Rochester Telecom
8.950% due 08/07/2001 3,000 3,051
Scana Corp.
7.210% due 02/08/2002 (d) 3,100 3,102
7.380% due 07/15/2002 (d) 27,000 27,037
Sierra Pacific Power Co.
7.160% due 06/12/2001 (d) 39,000 39,000
Sierra Pacific Resources
7.340% due 04/20/2003 (d) 2,000 2,001
6.200% due 04/15/2004 20,000 19,009
SK Telecom Co. Ltd.
7.750% due 04/29/2004 5,000 4,961
Southern Energy
7.900% due 07/15/2009 175 166
Sprint Capital Corp.
6.500% due 11/15/2001 13,365 13,325
6.970% due 11/15/2001 (d) 101,700 101,745
8.130% due 07/15/2002 10,378 10,608
5.880% due 05/01/2004 43,500 41,718
See accompanying notes 83
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
System Energy Resources
7.380% due 10/01/2000 $ 5,000 $ 5,000
7.710% due 08/01/2001 5,800 5,817
Teco Energy, Inc.
5.540% due 09/15/2001 44,630 44,075
Telekomunikacja Polska SA
7.130% due 12/10/2003 12,200 11,935
7.750% due 12/10/2008 13,600 13,117
Tennessee Valley Authority
3.380% due 01/15/2007 (i) 10,893 10,211
0.000% due 04/15/2042 855 366
Texas Utilities Co.
6.660% due 12/01/2000 67,700 67,700
7.210% due 06/25/2001 131,200 131,111
6.370% due 08/16/2001 1,000 990
7.590% due 09/24/2001 208,800 209,907
5.940% due 10/15/2001 3,000 2,961
6.500% due 08/16/2002 2,600 2,578
Toledo Edison Co.
8.180% due 07/30/2002 1,400 1,423
8.700% due 09/01/2002 14,500 14,738
7.850% due 03/31/2003 7,000 7,082
7.880% due 08/01/2004 500 507
TXU Eastern Funding
6.150% due 05/15/2002 53,800 52,657
6.450% due 05/15/2005 18,270 17,321
U.S. West Communications, Inc.
5.650% due 11/01/2004 9,000 8,470
6.630% due 09/15/2005 400 389
6.130% due 11/15/2005 400 380
Union Electric Co.
8.000% due 12/15/2022 1,000 981
United Telecom, Inc.
9.500% due 06/06/2001 150 152
Western Resources, Inc.
6.250% due 08/15/2003 6,600 5,932
Williams Cos., Inc.
6.130% due 02/01/2001 3,000 2,988
6.200% due 08/01/2002 4,000 3,947
Wilmington Trust Co. - Tucson Electric
10.730% due 01/01/2013 (l) 991 1,038
WorldCom, Inc.
6.130% due 08/15/2001 2,030 2,018
6.920% due 11/26/2001 (d) 12,700 12,713
6.400% due 08/15/2005 1,625 1,576
YPF Sociedad Anonima
7.250% due 03/15/2003 16,475 16,146
-------------
2,152,502
-------------
Total Corporate Bonds & Notes 14,554,070
(Cost $14,785,594) =============
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.8%
--------------------------------------------------------------------------------
Alabama 0.0%
Jefferson County AIabama Sewer Revenue
Warrants,
(FGIC Insured), Series 2000
6.560% due 02/01/2029 4,500 3,718
5.910% due 02/01/2036 625 547
Montgomery Alabama Special Care Facilities
Financing Authority Revenue Bonds,
(MBIA Insured), Series 1998
5.000% due 11/15/2029 2,000 1,743
-------------
6,008
=============
California 0.1%
California State Department of Water
Resources Center
Valley Project Revenue Bonds, Series
2000
6.030% due 12/01/2029 2,500 2,056
California State General Obligation,
Series 2000
5.630% due 05/01/2026 5,270 5,342
5.750% due 05/01/2030 1,000 1,023
Cook County Illinois General Obligation
(FGIC Insured),
Series 1999 5.000% due 11/15/2028 6,445 5,688
Los Angeles California Wastewater System
Revenue Bonds, (FGIC Insured), Series
2000
5.900% due 06/01/2028 6,500 4,396
Los Angeles County Metropolitan Transportation
Authority
Sales Tax Revenue Bonds, (AMBAC Insured),
Series 2000
5.740% due 07/01/2023 3,500 3,071
Orange County School Board, (MBIA Insured),
Series 2000
5.710% due 08/01/2024 3,500 2,866
Port of Oakland California Revenue Bonds, (FGIC
Insured),
Series 2000 5.750% due 11/01/2029 1,000 1,019
San Diego Public Facilities Financing
Authority
Revenue Bonds, (FGIC Insured), Series
1999
5.000% due 05/15/2029 1,000 923
San Francisco California City & County Airport
Community
Revenue, (MBIA Insured), Series 1998
4.500% due 05/01/2028 6,700 5,650
-------------
32,034
=============
Colorado 0.0%
E-470 Public Highway Authority Revenue
Bonds,
(MBIA Insured), Series 2000
5.750% due 09/01/2035 2,500 2,497
-------------
Florida 0.1%
Broward County Florida Airport System
Revenue,
(AMBAC Insured), Series 2000
5.030% due 10/01/2023 1,328 1,024
Florida State Board of Education General
Obligation,
(FGIC Insured), Series 2000
4.710% due 06/01/2023 3,500 2,310
Florida State Governmental Utility
Authority
Utility Revenue, (AMBAC Insured), Series
2000
5.710% due 10/01/2029 6,453 5,267
Florida State Turnpike Authority Revenue
Bonds,
(FGIC Insured), Series 2000
4.440% due 07/01/2027 6,323 4,007
Greater Orlando Aviation Authority, Orlando Florida
Airport
Facitities Revenue Bonds, (FGIC Insured),
Series 1999
5.130% due 10/01/2028 2,000 1,800
Lakeland Florida Electric & Water
Revenue,
(MBIA Insured), Series 1999 5.000% due 5,350 4,790
10/01/2028
Modesto Public Financing Authority Lease
Revenue,
(AMBAC Insured), Series 2000
5.740% due 09/01/2029 2,500 2,125
Orange Tourist Florida Tourist
Development
Tax Revenue Bonds, (AMBAC Insured),
Series 2000
5.500% due 10/01/2031 2,000 1,950
Tampa Florida Guaranteed Entitlement
Revenue,
(AMBAC Insured), Series 2001
6.000% due 10/01/2005 2,230 2,322
Tampa Florida Utility Tax & Special
Revenue,
(AMBAC Insured), Series 2001
6.000% due 10/01/2005 3,000 3,128
6.000% due 10/01/2008 1,500 1,586
-------------
30,309
=============
84 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Georgia 0.1%
Atlanta Georgia Airport Revenue, (FGIC
Insured),
Series 2000 5.500% due 01/01/2026 $ 1,000 $ 975
Atlanta Georgia Water & Wastewater Revenue,
(FGIC Insured), Series 1999
5.000% due 11/01/2038 44,600 39,205
Georgia Local Government Certificate Of
Participation,
(MBIA Insured), Series 2000
5.810% due 06/01/2028 9,950 6,866
-------------
47,046
=============
Hawaii 0.0%
Honolulu Hawaii City & County Wastewater
System
Revenue, (FGIC Insured), Series 1998
5.000% due 07/01/2023 6,935 6,231
Honolulu Hawaii City & County Wastewater
System
Revenue, (FGIC Insured), Series 2000
5.210% due 07/01/2028 7,200 4,941
-------------
11,172
=============
Illinois 0.0%
Chicago IIlinois Skyway Toll Bridge Revenue
Bonds,
(AMBAC Insured), Series 2000
5.500% due 01/01/2031 2,000 1,920
Chicago Illinois General Obligations
Unlimited,
(FGIC Insured), Series 2000
5.500% due 01/01/2040 3,500 3,321
Chicago Illinois Residual General Obligation,
(MBIA Insured), Series 2000
5.960% due 01/01/2028 3,100 2,461
-------------
7,702
=============
Kansas 0.0%
Wichita Kansas Hospital Revenue Bonds,
Series 1999
6.250% due 11/15/2024 1,000 1,000
-------------
Maryland 0.0%
Maryland St. Health & Higher Educational
Facilities
Authority Revenue Bonds, Series 1999
6.000% due 07/01/2039 3,000 3,096
-------------
Massachusetts 0.1%
E-470 Public Highway Residual 144a Revenue
Bonds,
(MBIA Insured), Series 2000
5.710% due 09/01/2021 2,590 2,104
Massachusetts Bay Transportation Authority
Revenue Bonds, (MBIA Insured), Series 2000
5.260% due 03/01/2021 4,150 3,164
Massachusetts State Turnpike Authority
Revenue Bonds,
(AMBAC Insured), Series 2000
5.910% due 01/01/2039 10,250 7,982
Massachusetts State Turnpike Authority
Revenue Bonds,
(MBIA Insured), Series 2000
5.910% due 01/01/2037 13,550 10,620
-------------
23,870
=============
Minnesota 0.0%
Minnesota Agricultural & Economic
Development Board
Revenue Bonds, Series 2000
6.380% due 11/15/2029 1,000 1,003
St. Cloud Minnesota Health Care Revenue
Bonds,
Series 2000 5.750% due 05/01/2026 1,000 994
-------------
1,997
=============
Mississippi 0.0%
Mississippi Development Bank Special
Obligation,
(AMBAC Insured), Series 2000
5.810% due 07/01/2024 2,500 2,103
-------------
Nevada 0.1%
Clark County Nevada General Obligations,
(MBIA Insured),
Series 2000 8.440% due 07/01/2030 $ 20,913 $ 19,422
Clark County Passenger Facility Charge
Revenue Bonds, (MBIA Insured), Series 2000
5.210% due 07/01/2022 4,750 3,622
-------------
23,044
=============
New Jersey 0.0%
Essex County Improvement Authority Revenue
Bonds, (FGIC Insured), Series 2000
5.750% due 10/01/2030 500 503
New Jersey Health Care Facilities Financing
Authority Revenue Bonds, (MBIA Insured),
Series 2000
5.130% due 07/01/2028 2,000 1,363
-------------
1,866
=============
New York 0.2%
Long Island Power Authority Revenue
Bonds, (FSA Insured), Series 2000
12/01/2022 6.160% due 4,500 3,876
Long Island Power Authority Revenue
Bonds,
(MBIA Insured), Series 2000
6.410% due 12/01/2026 5,500 4,806
New York City Municipal Bond, Series 1997
6.960% due 08/01/2002 (d) 6,108 6,102
New York City Municipal Water Finance
Authority,
(MBIA-IBC Insured), Series 2000
5.130% due 06/15/2025 6,565 4,743
New York City Transitional Finance Authority
Revenue
Bonds, (FGIC Insured), Series 1998
4.750% due 11/15/2023 5,000 4,321
New York City Transitional Finance
Authority
Revenue Bonds, Series 2000
5.500% due 11/01/2024 2,500 2,431
New York City, New York General Obligation,
Series D
6.900% due 08/01/2002 (d) 14,815 14,815
New York State Dorm Authority Lease Revenue
Bonds,
(FSA Insured), Series 1998
4.750% due 01/15/2029 3,850 3,267
New York State Dormitory Authority Revenue
Bonds,
(MBIA Insured), Series 1998
5.000% due 02/15/2023 5,100 4,582
New York State Thruway Authority General
Obligation,
Series 1998 5.000% due 01/01/2025 300 267
Niagara Frontier Airport Revenue Bonds,
(MBIA Insured),
Series 1999 5.630% due 04/01/2029 1,000 969
Port Authority of New York & New Jersey Revenue
Bonds,
(MBIA Insured), Series 1997
5.750% due 12/01/2022 4,500 4,519
-------------
54,698
=============
North Dakota 0.0%
Mercer County Improvement Authority Revenue
Bonds,
Series 1978 5.800% due 01/01/2018 6,460 6,678
-------------
Ohio 0.0%
Hamilton County Ohio Sales Tax Revenue
Bonds,
(MBIA Insured), Series 2000
5.460% due 12/01/2027 3,250 2,637
-------------
Pennsylvania 0.0%
Allegheny County Hospital Development
Authority
Revenue Bonds, (MBIA Insured), Series
2000 A
6.500% due 11/15/2030 1,000 1,053
See accompanying notes 85
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
Philadelphia School District General Obligation
Unlimited,
(MBIA Insured), Series 2000
5.210% due 04/01/2027 $ 3,150 $ 2,217
Pittsburgh & Allegheny County Revenue Bonds,
(AMBAC Insured), Series 1999
5.000% due 02/01/2029 500 446
-------------
3,716
=============
Puerto Rico 0.0%
Puerto Rico Commonwealth General Obligation,
(MBIA Insured), Series 2000
5.875% due 07/01/2035 8,920 9,062
-------------
Texas 0.1%
Dallas-Fort Worth International Airport
Revenue,
(FGIC Insured), Series 2000
6.000% due 11/01/2028 4,000 4,060
Harris County Health Facilities Development
Corporation
Revenue, (MBIA Insured), Series 2000
6.140% due 07/01/2021 3,500 2,993
Houston Independent School District General
Obligation,
(PSF Insured), Series 1999
4.750% due 02/15/2026 30,175 25,460
Houston Texas Airport System Revenue, (FGIC
Insured),
Series 1998 5.000% due 07/01/2025 5,500 4,904
Houston, Texas, Water & Sewer System Revenue,
(FGIC Insured), Series 2000
5.250% due 12/01/2030 1,000 926
-------------
38,343
=============
Utah 0.0%
Weber County, Utah Hospital Revenue Bonds, Series
1999
5.000% due 08/15/2030 500 423
-------------
Washington State 0.0%
Seattle Washington General Obligation,
Series 2000
5.960% due 12/15/2028 3,000 2,378
-------------
Washington, DC 0.0%
Washington D.C. Convention Center Authority
Dedicated
Tax Revenue, (AMBAC Insured), Series 2000
5.030% due 10/01/2028 6,500 4,688
-------------
Total Municipal Bonds & Notes 316,367
(Cost $315,244) =============
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 0.8%
--------------------------------------------------------------------------------
A.I.D. Housing Guarantee - Peru
9.980% due 08/01/2008 935 957
Federal Farm Credit Bank
6.400% due 01/16/2002 100 100
5.730% due 03/28/2003 300 295
Federal Home Loan Bank
7.270% due 02/15/2002 (d) 17,000 16,788
6.210% due 12/30/2002 200 198
5.130% due 09/15/2003 350 337
5.140% due 09/22/2003 600 576
6.000% due 06/30/2004 1,000 979
6.250% due 08/13/2004 250 248
6.030% due 01/22/2009 275 256
0.000% due 09/29/2017 2,000 487
0.000% due 09/10/2018 15,000 3,711
Federal Home Loan Mortgage Corp.
5.500% due 05/15/2002 435 429
7.000% due 02/15/2003 500 506
7.380% due 05/15/2003 3,500 3,574
6.880% due 01/15/2005 95 96
5.750% due 03/15/2009 1,955 1,824
6.630% due 09/15/2009 1,335 1,321
6.750% due 06/03/2013 400 373
Federal National Mortgage Assn.
0.000% due 08/15/2001 105 99
6.100% due 09/14/2001 100 100
5.380% due 03/15/2002 750 739
6.250% due 11/15/2002 115 114
6.000% due 03/03/2003 500 493
6.100% due 03/20/2003 250 247
5.500% due 12/29/2003 500 485
5.750% due 06/15/2005 900 872
6.560% due 12/10/2007 190 185
5.250% due 01/15/2009 80 72
6.630% due 09/15/2009 1,000 993
Small Business Administration
7.450% due 08/01/2010 107,300 109,273
Student Loan Marketing Assn.
6.840% due 04/25/2004 (d) 6,925 6,916
6.480% due 07/25/2004 (d) 842 840
6.740% due 10/25/2004 (d) 15,532 15,495
6.830% due 10/25/2004 (d) 24,678 24,639
6.710% due 10/25/2005 (d) 14,542 14,490
6.920% due 04/25/2006 (d) 84,060 83,739
-------------
Total U.S. Government Agencies 292,846
(Cost $282,885) =============
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 13.7%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (i)
3.630% due 07/15/2002 1,118,428 1,118,079
3.380% due 01/15/2007 (j) 239,835 231,965
3.630% due 01/15/2008 (j) 456,306 445,897
3.880% due 01/15/2009 (j) 218,316 216,542
3.630% due 04/15/2028 (j) 70,496 67,015
3.880% due 04/15/2029 (j) 6,703 6,661
U.S. Treasury Bonds
12.380% due 05/15/2004 1,000 1,206
0.000% due 02/15/2015 188,900 280,812
8.130% due 08/15/2019 31,000 37,859
0.000% due 08/15/2020 349,245 453,691
8.130% due 05/15/2021 57,500 70,887
8.130% due 08/15/2021 134,200 165,653
8.000% due 11/15/2021 142,620 174,264
7.250% due 08/15/2022 275 313
6.250% due 08/15/2023 1,425 1,452
0.000% due 02/15/2026 184,400 182,729
6.130% due 11/15/2027 200 202
5.500% due 08/15/2028 59,900 55,613
6.130% due 08/15/2029 8,000 8,173
6.250% due 05/15/2030 535,200 562,797
U.S. Treasury Notes
6.750% due 05/15/2005 235,000 243,519
5.630% due 05/15/2008 500 491
6.500% due 02/15/2010 320 333
U.S. Treasury Strips
0.000% due 05/15/2013 4,500 2,096
0.000% due 02/15/2014 64,900 28,801
0.000% due 02/15/2015 135,000 56,298
0.000% due 05/16/2015 152,700 62,719
0.000% due 08/15/2015 170,400 68,833
0.000% due 11/15/2018 108,200 35,915
0.000% due 11/15/2021 795,000 222,563
0.000% due 11/15/2024 207,000 49,161
-------------
Total U.S. Treasury Obligations 4,852,539
(Cost $4,846,168) =============
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 73.3%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 22.5%
ABN AMRO Mortgage Corp.
6.750% due 09/25/2028 3,765 3,547
6.500% due 06/25/2029 7,093 6,516
ABSC Long Beach Home Equity Loan Trust
6.880% due 08/31/2030 (d) 137,705 137,705
86 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
American Southwest Financial
Securities Corp.
7.400% due 11/17/2004 $ 34,802 $ 35,077
12.250% due 11/01/2014 32 32
12.500% due 04/01/2015 279 281
12.000% due 05/01/2015 498 507
7.250% due 11/25/2038 54,826 53,198
Aurora Loan Services
7.340% due 05/25/2030 (d) 42,548 42,481
Banc of America Funding Corporation
6.750% due 11/20/2032 17,000 16,074
Bank of America Mortgage Securities, Inc.
6.250% due 07/25/2014 10,040 9,533
6.250% due 08/25/2028 25,000 22,518
6.500% due 05/25/2029 35,565 32,818
7.250% due 10/25/2029 10,371 9,356
Bear Stearns Mortgage Securities, Inc.
7.000% due 08/20/2018 9,999 9,457
7.380% due 10/25/2023 (d) 3,046 3,227
6.350% due 08/25/2024 1,481 1,474
10.000% due 08/25/2024 5,000 5,606
7.000% due 03/25/2027 7,000 6,738
8.130% due 09/25/2027 3,000 3,020
7.450% due 12/25/2027 62 62
7.000% due 02/25/2028 10,000 9,624
7.000% due 05/20/2030 34,574 33,869
7.170% due 06/25/2030 6,890 6,802
Capital Asset Research Funding LP
5.910% due 12/15/2005 153 152
Cendant Mortgage Corp.
7.250% due 04/18/2013 829 827
6.510% due 11/18/2028 (d) 13,739 12,760
6.500% due 11/18/2028 (d) 5,952 5,009
Centre Re
6.720% due 02/01/2009 30,620 29,308
Chase Mortgage Finance Corp.
8.250% due 10/25/2010 231 230
7.000% due 07/25/2024 2,275 2,262
7.000% due 08/25/2024 2,890 2,810
6.750% due 03/25/2025 11,449 9,911
6.320% due 04/25/2025 (d) 17,759 17,939
6.750% due 10/25/2028 39,000 36,712
6.350% due 07/25/2029 70,207 69,509
Chemical Mortgage Securities
7.250% due 01/25/2026 11,477 11,356
Citicorp Mortgage Securities, Inc.
7.650% due 10/25/2022 (d) 9,687 9,709
6.250% due 04/25/2024 11,796 10,407
6.250% due 05/25/2024 3,753 3,726
7.250% due 10/25/2027 20,462 19,666
6.750% due 09/25/2028 8,806 8,354
5.900% due 05/25/2029 12,282 12,199
CMC Securities Corp.
7.520% due 09/25/2023 (d) 0 3,454
8.420% due 04/25/2025 (d) 154 156
7.250% due 11/25/2027 9,293 9,115
6.150% due 05/25/2028 (d) 72 72
6.750% due 05/25/2028 5,000 4,720
CMSI 2000
7.500% due 10/30/2030 11,233 10,524
Collateralized Mortgage Obligation Trust
10.200% due 02/01/2016 2,259 2,276
7.250% due 04/23/2017 62 62
8.000% due 09/20/2021 6,301 6,293
Collateralized Mortgage Securities Corp.
11.450% due 09/01/2015 969 979
11.450% due 11/01/2015 (d) 2 2
8.750% due 04/20/2019 403 411
COMM
6.150% due 02/15/2008 15,326 14,896
6.490% due 12/16/2011 (d) 9,000 9,014
Countrywide Alternative Loan Trust
8.000% due 07/25/2030 21,089 21,340
Countrywide Funding Corp.
6.630% due 02/25/2024 33,827 31,226
Countrywide Home Loans
6.500% due 07/25/2013 5,676 5,293
8.790% due 07/25/2024 (d) 2,314 2,332
6.750% due 11/25/2025 25,567 22,795
7.500% due 04/25/2027 1,534 1,533
7.500% due 06/25/2027 12,122 12,142
7.500% due 09/25/2027 20,000 19,704
7.250% due 12/25/2027 6,224 5,965
7.250% due 02/25/2028 57,846 55,542
6.750% due 06/25/2028 15,103 13,461
6.750% due 08/25/2028 10,024 9,945
6.750% due 11/25/2028 3,000 2,803
6.500% due 01/25/2029 24,978 23,306
6.500% due 03/25/2029 21,744 20,032
6.050% due 04/25/2029 1,337 1,320
7.250% due 08/25/2029 5,700 5,381
7.750% due 08/31/2030 29,310 27,761
Crusade Global Trust
7.010% due 05/15/2021 (d) 100,000 100,250
CS First Boston Mortgage Securities Corp.
6.750% due 12/27/2028 12,607 10,467
6.960% due 06/20/2029 124 124
DLJ Commercial Mortgage Corp.
6.880% due 05/05/2003 (d) 31,164 31,183
DLJ Mortgage Acceptance Corp.
8.670% due 05/25/2024 (d) 107 109
6.850% due 12/17/2027 6,605 6,585
Donaldson, Lufkin & Jenrette, Inc.
6.450% due 08/01/2021 (d)(l) 3,985 4,256
8.410% due 12/25/2022 (d) 1,593 1,614
8.580% due 03/25/2024 (d) 460 468
Drexel Mortgage Funding
9.500% due 11/20/2017 622 626
DVI Business Credit Receivable
6.460% due 10/15/2003 (d) 3,850 3,891
FBS Mortgage Corp.
7.140% due 11/25/2024 364 363
Federal Home Loan Mortgage Corp.
8.000% due 03/15/2002 103 103
6.750% due 10/15/2003 14,399 14,364
7.000% due 10/15/2003 3,497 3,498
7.500% due 11/01/2003 4,476 4,513
7.000% due 12/15/2003 89 89
10.150% due 04/15/2006 8 8
6.500% due 07/15/2006 7,832 7,799
6.500% due 08/15/2006 523 520
6.770% due 03/12/2007 400 403
7.500% due 05/01/2007 1,345 1,363
5.500% due 10/15/2007 4,494 4,450
6.500% due 05/15/2008 1,000 993
3.050% due 06/15/2008 (d) 157 144
7.000% due 08/15/2008 3,353 361
6.000% due 11/15/2008 225 218
6.200% due 12/15/2008 4,487 4,164
6.000% due 03/15/2009 265 258
7.550% due 03/15/2012 180 181
8.500% due 08/15/2013 2,000 2,051
8.500% due 09/15/2013 5,941 6,066
6.000% due 11/15/2014 400 360
5.400% due 05/25/2016 1,675 1,664
6.250% due 10/15/2017 16,572 16,466
5.900% due 03/15/2018 3,420 3,399
6.350% due 03/25/2018 179 177
5.250% due 05/15/2018 156 155
10.000% due 08/01/2018 57 60
6.500% due 10/15/2018 480 19
6.400% due 02/15/2019 13,420 13,329
6.500% due 05/15/2019 173 172
5.800% due 06/15/2019 5,032 5,004
6.250% due 07/15/2019 18,216 18,086
5.000% due 08/15/2019 85 84
7.500% due 01/15/2020 2,676 2,671
7.080% due 06/15/2020 (d) 88 88
5.250% due 07/15/2020 304 299
See accompanying notes 87
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
5.500% due 10/15/2020 $ 55 $ 54
9.500% due 11/15/2020 3,189 3,366
9.000% due 12/15/2020 795 822
8.750% due 12/15/2020 1,265 1,295
6.000% due 12/15/2020 252 242
9.000% due 12/15/2020 1,602 1,653
9.500% due 01/15/2021 1,955 2,056
6.250% due 01/15/2021 200 196
8.000% due 04/15/2021 89 91
6.500% due 05/15/2021 104 103
6.500% due 05/17/2021 57 55
8.500% due 06/15/2021 24,203 24,926
6.950% due 07/15/2021 439 441
9.000% due 07/15/2021 1,969 2,051
9.500% due 07/15/2021 1,203 1,310
8.000% due 07/15/2021 9,502 9,533
6.200% due 08/15/2021 1,158 1,148
6.950% due 08/15/2021 157 154
8.000% due 08/15/2021 23,472 23,808
7.000% due 09/15/2021 274 272
6.500% due 09/15/2021 29,896 29,579
7.000% due 10/15/2021 9 9
8.000% due 12/15/2021 18,405 18,931
6.850% due 01/15/2022 700 692
8.250% due 06/15/2022 5,000 5,101
7.000% due 07/15/2022 9,380 9,144
8.500% due 10/15/2022 7,029 7,303
7.500% due 01/15/2023 17,740 17,313
7.000% due 05/15/2023 10,499 9,810
7.000% due 07/15/2023 270 246
7.500% due 07/15/2023 395 399
6.500% due 07/15/2023 272 266
6.500% due 08/15/2023 141,607 140,328
6.850% due 10/25/2023 3,059 2,992
6.500% due 11/15/2023 135 117
7.500% due 01/20/2024 103 103
5.000% due 02/15/2024 116 97
6.500% due 02/15/2024 21 21
6.500% due 03/15/2024 320 283
8.000% due 04/25/2024 475 484
6.250% due 05/15/2024 13,357 11,838
7.250% due 08/15/2024 190 190
8.000% due 09/15/2024 16,250 16,398
7.500% due 02/15/2025 3,620 3,639
7.000% due 09/17/2025 40 39
6.500% due 03/15/2026 110 104
8.020% due 10/01/2026 (d) 2,926 2,985
6.000% due 11/15/2026 550 510
7.500% due 01/15/2027 25,182 24,035
7.000% due 01/15/2027 61 61
8.000% due 02/15/2027 34,599 34,657
7.500% due 03/17/2027 20,000 19,806
6.750% due 05/15/2027 824 819
7.500% due 06/20/2027 19,568 18,783
6.500% due 08/15/2027 15,642 12,949
6.500% due 10/15/2027 32,300 29,407
6.000% due 11/15/2027 665 616
6.500% due 01/25/2028 8,691 7,893
7.000% due 02/15/2028 1,593 1,520
6.500% due 04/15/2028 158,188 144,424
6.500% due 05/15/2028 48,000 43,284
6.500% due 06/15/2028 61,318 51,465
6.500% due 06/20/2028 23,392 19,621
6.500% due 07/15/2028 70,438 58,390
6.500% due 08/15/2028 275,986 229,683
7.000% due 11/15/2028 9,000 8,570
6.500% due 12/15/2028 7,057 5,506
6.000% due 12/15/2028 23,099 18,817
6.250% due 12/15/2028 1,673 1,376
6.500% due 01/15/2029 10,411 9,614
6.000% due 02/15/2029 3,873 2,877
6.500% due 03/15/2029 25,864 22,421
6.500% due 06/01/2029 106 102
6.500% due 07/01/2029 1,084 1,043
Principal
Amount Value
(000s) (000s)
8.000% due 07/15/2029 $ 1,250 $ 1,222
7.500% due 08/15/2030 201 192
7.000% due 09/15/2030 (d) 18,100 15,280
7.120% due 09/30/2030 15,200 15,053
7.500% due 10/15/2030 27,350 25,991
6.500% due 08/15/2032 (d) 26,172 25,687
Federal National Mortgage Assn.
9.100% due 02/25/2002 194 193
7.500% due 05/25/2005 6,700 6,757
7.500% due 02/25/2006 375 377
6.500% due 05/01/2006 142 141
6.500% due 07/25/2006 50 50
8.000% due 11/25/2006 30 30
6.350% due 12/25/2006 8 8
6.000% due 07/25/2007 300 296
5.580% due 08/25/2007 (d) 10 9
6.740% due 08/25/2007 145 142
6.270% due 09/25/2007 3,000 2,852
7.000% due 10/25/2007 200 200
6.500% due 05/25/2008 500 497
10.500% due 08/25/2008 7,146 7,851
6.000% due 08/25/2008 69 68
7.450% due 09/25/2008 (d) 1,606 1,463
6.750% due 11/25/2010 886 881
7.000% due 01/25/2011 100 99
6.000% due 03/18/2015 11,217 11,128
8.000% due 12/25/2016 181 183
9.250% due 04/25/2018 173 182
9.300% due 05/25/2018 672 699
9.500% due 06/25/2018 564 589
7.210% due 06/25/2018 (d) 3 3
9.500% due 11/25/2018 6,998 7,155
6.000% due 02/25/2019 4,242 4,195
6.500% due 03/25/2019 885 872
9.500% due 06/25/2019 1,339 1,400
5.650% due 07/25/2019 457 454
9.300% due 08/25/2019 73 77
6.350% due 08/25/2019 207 205
8.000% due 10/25/2019 620 618
9.000% due 12/25/2019 5,985 6,159
7.500% due 12/25/2019 74 73
7.500% due 05/25/2020 3,225 3,241
6.750% due 06/25/2020 248 247
7.080% due 07/18/2020 (d) 46 46
7.000% due 07/25/2020 327 326
9.000% due 09/25/2020 3,338 3,452
7.000% due 09/25/2020 12,693 12,648
6.500% due 09/25/2020 1,367 1,355
5.000% due 09/25/2020 200 190
8.000% due 12/25/2020 26,225 26,782
7.160% due 12/25/2020 (d) 10 10
8.750% due 01/25/2021 3,151 3,232
9.000% due 01/25/2021 5,264 5,483
5.750% due 02/18/2021 100 96
7.500% due 03/25/2021 2,159 2,150
9.000% due 03/25/2021 459 473
7.000% due 05/25/2021 300 293
7.500% due 06/25/2021 46 46
6.500% due 06/25/2021 6,096 5,834
8.000% due 07/25/2021 14,905 15,091
8.500% due 09/25/2021 5,376 5,544
7.000% due 10/25/2021 9,317 9,113
8.000% due 10/25/2021 22,645 22,940
7.000% due 11/25/2021 23,206 23,031
6.000% due 12/25/2021 34 34
4.000% due 01/25/2022 126 113
8.000% due 01/25/2022 21,700 21,968
8.000% due 03/25/2022 72 72
7.000% due 04/25/2022 17,091 16,299
5.000% due 04/25/2022 48 44
10.000% due 05/01/2022 133 141
7.380% due 05/25/2022 9,227 9,100
7.000% due 06/25/2022 1,276 1,249
8.000% due 06/25/2022 3,861 3,915
88 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
8.000% due 07/25/2022 $ 60,892 $ 61,455
7.000% due 07/25/2022 5,582 5,516
6.500% due 10/25/2022 4,048 3,672
7.800% due 10/25/2022 3,328 3,325
6.500% due 12/25/2022 195 192
7.000% due 03/25/2023 28,890 27,361
6.500% due 05/18/2023 10,717 10,601
6.900% due 05/25/2023 159 142
7.000% due 06/25/2023 5,258 4,769
6.000% due 08/25/2023 2,703 2,529
6.500% due 08/25/2023 35 34
6.000% due 08/25/2023 11,122 9,496
1.000% due 09/25/2023 226 204
6.750% due 09/25/2023 3,971 3,558
6.750% due 10/25/2023 597 512
7.500% due 10/25/2023 50 51
6.500% due 11/25/2023 85 83
6.500% due 12/25/2023 1,317 1,145
7.100% due 12/25/2023 6,769 6,465
6.500% due 01/25/2024 2,656 2,386
7.250% due 02/25/2024 17 17
6.500% due 02/25/2024 5,150 4,794
7.500% due 06/20/2024 106 107
6.500% due 08/17/2024 17,000 16,096
7.000% due 02/18/2025 121 121
6.600% due 05/18/2025 219 212
7.500% due 11/17/2025 289 286
7.500% due 12/25/2025 360 354
7.000% due 02/15/2026 180 178
7.000% due 07/18/2026 450 433
6.500% due 09/18/2026 120 114
7.000% due 12/18/2026 16,310 15,014
6.000% due 12/25/2026 170 157
6.000% due 03/25/2027 320 295
6.000% due 05/17/2027 5,470 4,756
6.500% due 07/18/2027 173 148
7.000% due 07/18/2027 460 446
8.000% due 08/18/2027 286 79
7.500% due 08/20/2027 2,503 2,398
6.890% due 02/01/2028 (d) 1,292 1,328
7.020% due 04/18/2028 (d) 3,211 3,216
6.500% due 06/25/2028 4,700 4,325
6.500% due 07/18/2028 67,412 60,818
6.000% due 07/18/2028 8,649 6,778
9.100% due 09/25/2028 20,532 22,196
6.250% due 02/25/2029 500 429
6.000% due 04/25/2029 10,809 7,804
7.120% due 08/25/2030 (d) 94,976 94,925
7.070% due 09/01/2030 (d) 85,000 84,920
6.300% due 10/17/2038 15,471 13,551
First Commonwealth Savings & Loan
10.380% due 04/01/2005 16 17
First Nationwide Trust
6.500% due 03/25/2029 4,400 4,128
6.750% due 07/25/2029 5,498 5,462
7.750% due 09/19/2030 6,000 5,544
First Union Residential Securitization, Inc.
7.000% due 04/25/2025 356 346
6.750% due 08/25/2028 9,048 8,047
Gaston Oaks PLC
6.930% due 01/01/2036 4,922 4,871
General Electric Capital Mortgage Services, Inc.
6.000% due 01/25/2009 1,148 1,140
6.750% due 12/25/2012 2,498 2,479
6.500% due 09/25/2023 1,175 1,019
6.500% due 12/25/2023 8,631 7,454
6.500% due 01/25/2024 3,895 3,339
6.500% due 02/25/2024 1 1
6.500% due 03/25/2024 66,953 61,533
6.500% due 04/25/2024 66,640 55,826
7.250% due 05/25/2026 3,780 3,663
7.500% due 06/25/2027 21,893 21,707
7.500% due 07/25/2027 10,129 9,926
7.000% due 10/25/2027 14,502 13,726
Principal
Amount Value
(000s) (000s)
7.000% due 11/25/2027 $ 72,500 $ 69,853
6.650% due 05/25/2028 6,902 6,833
6.750% due 05/25/2028 23,934 21,974
6.750% due 06/25/2028 20,517 19,333
6.550% due 06/25/2028 23,450 22,829
6.600% due 06/25/2028 7,106 7,045
6.750% due 06/25/2028 1,314 1,304
6.750% due 10/25/2028 9,311 8,785
6.250% due 12/25/2028 54,952 49,910
6.500% due 12/25/2028 19,500 18,009
6.500% due 05/25/2029 9,858 9,075
6.750% due 05/25/2029 20,000 18,531
6.500% due 07/25/2029 95,240 87,417
5.950% due 07/25/2029 24,794 24,466
6.000% due 07/25/2029 23,507 23,065
6.250% due 07/25/2029 132,674 128,277
7.250% due 08/25/2029 8,000 7,606
7.000% due 09/25/2029 15,957 15,013
General Motors Acceptance Corp.
6.920% due 07/20/2002 (d) 3,287 3,287
6.700% due 03/15/2008 29,732 28,905
GGP-Homart
7.040% due 06/10/2003 (d) 19,600 19,643
GMAC Commercial Mortgage Securities, Inc.
6.150% due 11/15/2007 264 256
6.970% due 05/15/2008 28,427 28,360
6.570% due 09/15/2033 30,119 29,617
6.950% due 09/15/2033 25,060 24,703
GMAC Mortgage Corporation Loan Trust
7.500% due 05/25/2030 12,000 11,895
Goldman Sachs Mortgage Corp.
6.000% due 12/31/2007 (l) 8,635 8,030
Government National Mortgage Association
6.250% due 06/20/2022 43,622 43,216
7.220% due 06/20/2023 (d) 48,214 48,122
7.250% due 12/16/2023 7,444 7,468
7.000% due 01/15/2024 414 409
8.000% due 05/16/2024 73 73
7.000% due 03/20/2026 320 310
7.000% due 08/20/2026 114 111
7.500% due 02/16/2027 1 1
7.500% due 07/16/2027 29,918 28,903
7.000% due 12/20/2027 18,416 17,479
6.500% due 06/20/2028 30,965 25,382
6.500% due 07/20/2028 39,127 31,695
6.500% due 09/20/2028 28,461 23,948
6.500% due 01/20/2029 27,852 23,106
6.500% due 03/20/2029 16,259 14,914
8.000% due 03/20/2029 7,151 7,305
6.000% due 05/20/2029 10,831 8,518
7.500% due 01/20/2030 315 310
7.500% due 09/20/2030 5,000 4,774
7.130% due 09/20/2030 (d) 13,800 13,797
7.070% due 10/30/2030 58,500 58,518
Greenwich
7.980% due 04/25/2022 (d) 425 424
7.810% due 07/25/2022 (d) 109 108
8.150% due 10/25/2022 (d) 55 55
8.190% due 04/25/2023 (d) 918 915
8.780% due 04/25/2024 (d) 848 858
8.860% due 06/25/2024 (d) 493 500
9.690% due 08/25/2024 (d) 914 923
9.480% due 11/25/2024 (d) 195 195
GS Mortgage Securities Corp.
6.060% due 10/18/2030 0 0
Harborview Mortgage Loan Trust
7.470% due 08/19/2030 22,975 23,176
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2012 2,043 2,043
7.160% due 12/25/2012 775 773
7.250% due 11/25/2027 18,456 18,260
7.000% due 02/25/2028 560 557
See accompanying notes 89
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
ICI Funding Corp. Secured Assets Corp.
7.250% due 09/25/2027 $ 18,068 $ 17,744
7.750% due 03/25/2028 1,868 1,819
Impac CMB Trust
6.870% due 07/25/2028 (d) 1,061 1,062
Impac Secured Assets CMN Owner Trust
7.320% due 10/25/2030 (d) 62,000 62,000
Imperial CMB Trust
6.950% due 09/25/2026 (d) 6,035 6,039
6.650% due 11/25/2029 1,063 1,055
Independent National Mortgage Corp.
6.650% due 10/25/2024 2,723 2,633
9.140% due 11/25/2024 (d) 5 5
8.560% due 11/25/2024 (d) 1,140 1,155
8.750% due 12/25/2024 30 31
9.070% due 01/25/2025 (d) 107 109
8.000% due 06/25/2025 7 7
8.230% due 07/25/2025 (d) 6,762 6,821
7.500% due 09/25/2025 782 780
International Mortgage Acceptance Corp.
12.250% due 03/01/2014 255 291
J.P. Morgan Commercial Mortgage Finance Corp.
8.230% due 02/25/2028 1,615 1,617
6.530% due 01/15/2030 20,000 19,545
Kidder Peabody Acceptance Corp.
8.310% due 09/25/2024 (d) 7,392 7,417
LB Mortgage Trust
8.400% due 01/20/2017 38,879 40,339
Mellon Residential Funding Corp.
6.500% due 02/25/2028 10,000 8,663
6.350% due 06/25/2028 22,000 21,585
6.110% due 01/25/2029 23,900 22,922
6.570% due 07/25/2029 44,000 42,688
6.580% due 07/25/2029 55,500 54,805
6.460% due 07/25/2029 6,631 6,602
Merrill Lynch Mortgage Investors, Inc.
7.000% due 06/15/2021 2,182 2,187
7.150% due 06/15/2021 (d) 4,694 4,617
7.410% due 06/15/2021 (d) 4,404 4,340
6.950% due 06/18/2029 36,420 36,421
Midland Realty Acceptance Corp.
7.020% due 01/25/2029 19,667 19,552
MLCC Mortgage Investors, Inc.
6.870% due 09/15/2026 (d) 18,580 18,556
Morgan Stanley Capital
6.860% due 05/15/2006 2,041 2,037
6.190% due 01/15/2007 20,866 20,449
6.160% due 04/03/2009 13,464 13,058
7.460% due 02/15/2020 11,450 11,640
6.590% due 10/03/2030 6,612 6,546
Morgan Stanley, Dean Witter, Discover and Co.
6.850% due 07/25/2027 (d) 677 673
Mortgage Capital Funding, Inc.
7.800% due 04/15/2006 500 510
7.010% due 09/20/2006 15,545 15,399
7.600% due 05/25/2027 12,959 13,133
NationsBanc Montgomery Funding Corp.
6.750% due 06/25/2028 10,000 9,419
6.500% due 07/25/2028 14,470 13,325
6.750% due 08/25/2028 20,009 18,191
6.250% due 10/25/2028 2,000 1,804
Nationslink Funding Corp.
5.810% due 02/10/2001 14,502 14,444
6.330% due 10/22/2004 6,542 6,447
6.650% due 02/10/2006 12,124 11,968
6.970% due 04/10/2007 (d) 7,417 7,419
Nomura Asset Securities Corp.
8.490% due 05/25/2024 (d) 1,701 1,743
Norwest Asset Securities Corp.
6.750% due 12/25/2012 16,624 16,427
6.500% due 06/25/2013 3,129 3,059
7.500% due 03/25/2027 1,943 1,938
6.750% due 09/25/2027 2,957 2,899
Principal
Amount Value
(000s) (000s)
6.350% due 04/25/2028 $ 1,747 $ 1,733
6.750% due 05/25/2028 5,000 4,587
6.250% due 08/25/2028 4,355 4,307
6.250% due 09/25/2028 418 377
6.750% due 10/25/2028 18,215 17,208
6.500% due 12/25/2028 20,000 18,448
6.500% due 01/25/2029 373 279
6.500% due 02/25/2029 67,312 62,208
6.500% due 04/25/2029 26,751 24,622
6.300% due 04/25/2029 8,082 7,847
6.200% due 04/25/2029 77,385 74,553
5.950% due 04/25/2029 111,948 108,611
6.000% due 05/25/2029 19,713 19,332
6.250% due 05/25/2029 504 485
6.500% due 06/25/2029 46,178 42,395
6.750% due 08/25/2029 1,267 1,255
7.000% due 09/25/2029 3,451 2,888
6.500% due 10/25/2029 1,980 1,824
7.000% due 11/25/2029 14,870 14,238
7.250% due 02/25/2030 19,756 18,206
PaineWebber Mortgage
6.000% due 04/25/2009 11,951 11,435
PHH Mortgage Services Corp.
7.180% due 11/18/2027 956 911
PNC Mortgage Securities Corp.
6.750% due 06/25/2016 10,346 10,242
7.000% due 10/25/2027 36,034 34,747
6.750% due 12/25/2027 7,230 6,507
6.990% due 02/25/2028 9,574 9,358
6.500% due 02/25/2028 1,221 1,213
7.000% due 02/25/2028 25,604 24,686
6.630% due 03/25/2028 1,750 1,723
7.000% due 05/25/2028 6,422 6,373
6.550% due 07/25/2028 24,500 24,240
6.750% due 07/25/2028 3,527 3,326
6.750% due 09/25/2028 3,996 3,766
6.750% due 10/25/2028 26,133 24,476
6.750% due 12/25/2028 21,709 20,402
6.500% due 01/25/2029 999 922
6.250% due 01/25/2029 9,263 8,352
6.300% due 03/25/2029 10,000 9,051
6.500% due 06/25/2029 48,600 44,628
6.200% due 06/25/2029 50,581 49,496
7.750% due 07/25/2030 78,448 78,300
7.500% due 09/29/2030 500 501
Potomac Gurnee Finance Corp.
6.890% due 12/21/2026 47 46
Prudential Bache
6.710% due 09/01/2018 (d) 215 212
8.400% due 03/20/2021 5,974 6,120
Prudential Home Mortgage Securities
7.000% due 01/25/2008 23,860 23,644
6.750% due 08/25/2008 414 412
6.400% due 04/25/2009 697 692
6.950% due 11/25/2022 222 204
7.000% due 07/25/2023 11,428 11,321
6.750% due 10/25/2023 9,611 7,958
5.900% due 12/25/2023 5,036 4,965
6.050% due 04/25/2024 2,546 2,520
6.800% due 05/25/2024 10,970 9,175
6.450% due 11/25/2025 5,264 4,584
Prudential Securities Secured Financing Corp.
6.070% due 01/15/2008 12,480 12,061
6.960% due 06/15/2008 20,592 20,555
PSB Financial Corp.
11.050% due 12/01/2015 440 448
Resecuritization Mortgage Trust
6.750% due 06/19/2028 18,235 17,146
Residential Accredit Loans, Inc.
7.450% due 04/25/2023 960 956
7.500% due 08/25/2027 15,000 14,866
6.500% due 02/25/2028 20,616 20,459
7.000% due 02/25/2028 41,115 39,716
90 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
6.500% due 12/25/2028 $ 400 $ 369
6.500% due 05/25/2029 3,000 2,765
6.750% due 06/25/2029 1,576 1,543
7.000% due 07/25/2029 468 462
7.750% due 03/25/2030 4,389 4,418
Residential Asset Securitization Trust
7.000% due 03/25/2027 10 10
7.380% due 03/25/2027 5,142 5,026
7.000% due 10/25/2027 19,541 19,097
7.000% due 01/25/2028 20,000 18,906
6.750% due 06/25/2028 14,914 14,701
6.500% due 12/25/2028 1,250 1,132
6.500% due 03/25/2029 22,700 21,416
7.320% due 09/25/2030 (d) 16,648 16,768
Residential Funding Mortgage Securities, Inc.
7.000% due 08/25/2008 5,237 5,215
7.500% due 09/25/2011 14,406 14,493
7.000% due 05/25/2012 3,095 3,050
6.500% due 12/25/2012 21,417 20,597
7.750% due 09/25/2022 417 418
8.000% due 01/25/2023 2,725 2,745
8.000% due 02/25/2023 9,675 9,764
6.500% due 11/25/2023 1,660 1,504
6.000% due 03/25/2024 1,418 1,408
7.500% due 09/25/2025 11,897 11,899
7.500% due 12/25/2025 944 947
7.750% due 11/25/2026 9,000 9,122
7.500% due 04/25/2027 6,217 6,160
7.500% due 06/25/2027 53,035 52,584
7.500% due 07/25/2027 25,265 25,405
7.250% due 08/25/2027 16,000 15,602
7.250% due 10/25/2027 42,033 40,796
7.000% due 11/25/2027 17,000 16,291
6.750% due 02/25/2028 12,742 12,486
6.750% due 05/25/2028 60,741 56,513
6.750% due 06/25/2028 69,960 65,112
6.750% due 07/25/2028 9,000 8,471
6.750% due 08/25/2028 10,000 9,347
6.750% due 09/25/2028 66,493 62,546
6.500% due 10/25/2028 52,000 47,981
6.250% due 11/25/2028 3,000 2,716
6.500% due 12/25/2028 23,400 21,578
6.500% due 01/25/2029 72,314 66,473
6.500% due 03/25/2029 6,980 6,500
6.200% due 05/25/2029 66,252 65,527
6.500% due 06/25/2029 11,335 8,559
6.750% due 07/25/2029 22,600 21,152
7.000% due 10/25/2029 25,260 24,140
7.500% due 11/25/2029 12,338 11,890
Resolution Trust Corp.
8.690% due 08/25/2021 6,609 6,582
8.140% due 10/25/2021 (d) 142 141
5.570% due 10/25/2021 (d) 133 130
8.630% due 10/25/2021 129 129
8.710% due 05/25/2022 (d) 1,356 1,329
8.630% due 08/25/2023 (d) 1,850 1,853
8.840% due 12/25/2023 3,300 3,372
9.450% due 05/25/2024 1,431 1,425
8.000% due 04/25/2025 167 161
8.000% due 06/25/2026 253 248
8.170% due 10/25/2028 (d) 5,276 5,399
7.420% due 10/25/2028 (d) 13,604 13,501
7.510% due 05/25/2029 (d) 2,670 2,675
7.030% due 05/25/2029 (d) 2,631 2,588
RMF Commercial Mortgage Securities, Inc.
6.720% due 01/15/2019 235 229
Ryan Mortgage Acceptance Corp.
9.450% due 10/01/2016 78 81
Ryland Acceptance Corp.
11.500% due 12/25/2016 84 90
8.200% due 09/25/2022 17 17
Ryland Mortgage Securities Corp.
8.200% due 06/25/2021 35 35
8.430% due 08/25/2022 (d) 1,803 1,810
8.020% due 08/25/2029 (d) 2,089 2,101
7.240% due 10/25/2031 (d) 3,035 3,018
Salomon Brothers Mortgage Securities
9.110% due 07/01/2024 (d) 4,110 4,135
6.960% due 04/25/2029 (d) 21,863 21,881
7.000% due 04/25/2029 (d) 7,709 7,701
6.920% due 06/25/2029 (d) 40,316 40,319
7.020% due 09/25/2029 (d) 398 400
Salomon Smith Barney Holdings, Inc.
6.630% due 07/01/2002 55 55
Santa Barbara Savings
9.500% due 11/20/2018 2,032 2,058
Saxon Mortgage
6.250% due 04/25/2009 3,169 3,136
6.500% due 02/25/2024 1,820 1,795
9.070% due 09/25/2024 (d) 3,159 3,187
Sears Mortgage Securities
6.280% due 12/25/2028 281 274
Securitized Asset Sales, Inc.
8.500% due 10/25/2023 (d) 1,375 1,370
8.510% due 12/26/2023 (d) 745 753
7.410% due 09/25/2024 (d) 9,900 9,944
Security Pacific National Bank
6.380% due 03/25/2018 (d) 86 83
Sequoia Mortgage Trust
6.350% due 09/25/2025 (d) 6,000 5,847
Small Business Investment Co.
7.540% due 08/10/2009 75,600 77,349
8.020% due 02/10/2010 102,039 107,158
7.640% due 03/10/2010 69,731 71,581
7.450% due 09/01/2010 15,860 15,884
Southern Pacific Secured Assets Corp.
6.790% due 07/25/2029 (d) 39,853 39,621
Starwood Commercial Mortgage
6.600% due 02/03/2009 11,556 11,404
Structured Asset Mortgage Investments, Inc.
6.750% due 03/25/2028 22,519 21,209
6.910% due 06/25/2028 (d) 37,724 36,711
6.250% due 11/25/2028 14,878 13,452
6.750% due 01/25/2029 10,000 9,395
6.300% due 05/25/2029 18,419 17,976
6.580% due 06/25/2029 (d) 30,039 28,797
7.250% due 07/25/2029 23,718 23,660
7.230% due 02/25/2030 955 939
Structured Asset Notes Transactions Ltd.
6.650% due 08/30/2005 18,771 18,114
Structured Asset Securities Corp.
7.000% due 12/25/2027 51,500 48,812
Superannuation Members Home Loans Global Fund
7.020% due 06/15/2026 (d) 19,900 19,894
TMA Mortgage Funding Trust
7.000% due 01/25/2029 (d) 28,816 28,816
Union Planters Mortgage Finance Corp.
6.750% due 01/25/2028 4,000 3,668
6.800% due 01/25/2028 15,000 14,498
Vendee Mortgage Trust
7.750% due 03/15/2016 104 103
7.500% due 08/15/2017 333 334
7.750% due 05/15/2018 550 555
6.500% due 05/15/2020 28,750 27,199
6.830% due 01/15/2030 16,470 16,111
Washington Mutual
6.780% due 07/26/2003 (d) 155,246 155,199
Western Federal Savings & Loan
7.930% due 06/25/2021 (d) 3,229 3,229
-------------
7,986,226
=============
Federal Home Loan Mortgage Corporation 2.4%
5.000% due 10/15/2020 1,000 958
5.500% due 04/01/2001-10/14/2029 (k) 3,113 2,863
5.750% due 08/15/2020 300 295
5.900% due 12/01/2026 (d) 5,871 5,751
See accompanying notes 91
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
6.000% due 12/01/2000-10/16/2030 (k) $ 282,314 $ 264,740
6.500% due 07/01/2001-05/01/2029 (k) 167,130 155,382
6.540% due 11/01/2026 (d) 6,846 6,831
6.720% due 11/01/2028 (d) 23,564 23,205
6.750% due 01/17/2025 8,349 8,304
6.780% due 11/01/2003 68 67
6.930% due 07/01/2025 (d) 6,508 6,588
7.000% due 10/01/2002-11/12/2030 (k) 113,851 111,878
7.280% due 09/01/2027 (d) 2,796 2,782
7.370% due 10/01/2023 (d) 881 900
7.390% due 10/01/2023 (d) 1,546 1,579
7.400% due 10/25/2023 (d) 14,975 15,449
7.500% due 09/01/2001-02/01/2030 (d)(k) 13,182 13,303
7.630% due 06/01/2017-01/01/2019 (d)(k) 26 27
7.650% due 05/01/2025 2,390 2,450
7.670% due 04/01/2029 (d) 1,266 1,302
7.750% due 04/01/2007-04/01/2017 (d)(k) 50 49
7.790% due 04/01/2024 (d) 6,520 6,679
7.810% due 07/01/2030 (d) 140,578 141,539
7.820% due 08/01/2023 (d) 8,540 8,764
7.890% due 08/01/2023-01/01/2024 (d)(k) 414 426
7.910% due 06/01/2024 (d) 1,025 1,051
8.000% due 01/01/2002-09/01/2018 (k) 2,854 2,883
8.040% due 07/01/2024 (d) 1,429 1,464
8.190% due 09/01/2023 (d) 1,499 1,518
8.250% due 08/01/2007-05/01/2023 (d)(k) 1,778 1,804
8.260% due 07/01/2022 (d) 937 960
8.320% due 09/01/2023 (d) 9,655 9,896
8.330% due 04/01/2023 (d) 440 448
8.340% due 07/01/2023 (d) 521 530
8.360% due 10/01/2023 (d) 438 445
8.420% due 05/01/2023-08/01/2023 (d)(k) 5,971 6,126
8.450% due 08/01/2023-11/01/2023 (d)(k) 2,537 2,601
8.480% due 11/01/2023 (d) 143 142
8.500% due 09/01/2001-11/01/2024 (k) 5,047 5,181
8.510% due 10/01/2023 (d) 1,429 1,469
8.520% due 05/01/2027 (d) 634 652
8.580% due 09/01/2023 (d) 2,307 2,376
8.610% due 08/01/2024 (d) 207 213
8.630% due 08/01/2023 (d) 390 393
8.690% due 11/01/2023 (d) 344 346
8.750% due 02/01/2001-12/01/2010 (k) 107 107
8.900% due 11/15/2020 11,207 11,674
9.000% due 01/01/2002-09/15/2020 (k) 532 547
9.250% due 06/01/2009-11/01/2013 (k) 99 100
9.500% due 08/01/2001-12/01/2022 (k) 1,234 1,283
9.750% due 03/01/2001-05/01/2009 (k) 45 46
10.000% due 06/01/2004-03/01/2021 (k) 930 971
10.100% due 09/01/2016 241 256
10.250% due 03/15/2009-05/01/2009 (k) 1,091 1,159
10.500% due 10/01/2017-01/01/2021 (k) 376 403
11.000% due 11/01/2009-05/01/2020 (k) 639 684
11.250% due 10/01/2009-09/01/2015 (k) 92 100
11.500% due 01/01/2018 72 79
12.500% due 12/01/2012 16 18
13.250% due 10/01/2013 79 89
14.000% due 04/01/2016 19 21
15.500% due 08/01/2011-11/01/2011 (k) 13 15
16.250% due 05/01/2011 3 3
-------------
840,164
=============
Federal Housing Administration 1.4%
6.000% due 03/20/2028 1,739 1,629
6.500% due 02/15/2001-03/01/2040 (k) 5,956 5,802
6.630% due 05/28/2039-07/01/2040 (k) 3,091 2,905
6.750% due 07/15/2001 2,706 2,595
6.760% due 06/25/2039-03/01/2041 (k) 16,214 15,032
6.780% due 07/25/2040 7,653 7,333
6.790% due 05/01/2039 10,902 10,677
6.830% due 12/01/2039 3,497 3,316
6.880% due 11/01/2015-02/01/2041 (k) 24,874 23,656
6.900% due 07/01/2020-12/01/2040 (k) 47,399 45,466
6.930% due 07/01/2014-01/01/2036 (k) 17,075 16,620
7.000% due 11/15/2040 174 167
7.050% due 03/25/2040 4,516 4,359
7.130% due 03/01/2034 4,411 4,322
7.210% due 12/01/2021 2,700 2,691
7.250% due 06/01/2040 8,304 8,067
7.310% due 06/01/2041 23,567 22,800
7.320% due 05/01/2019-08/01/2019 (k) 37,511 36,697
7.350% due 11/01/2022 6,028 5,985
7.380% due 02/01/2018-01/01/2024 (k) 16,589 16,446
7.400% due 02/01/2021 2,191 2,187
7.430% due 12/01/2016-05/01/2025 (k) 116,022 115,566
7.450% due 12/01/2021 11,589 11,578
7.470% due 11/01/2019 29,797 29,742
7.500% due 03/01/2032-09/30/2039 (k) 6,672 6,569
7.580% due 04/01/2040-12/01/2040 (k) 7,616 7,507
7.630% due 08/01/2041 17,747 17,552
7.650% due 11/01/2018-11/01/2040 (k) 7,559 7,519
7.700% due 03/15/2041 2,720 2,697
7.750% due 11/15/2039 3,100 3,073
7.880% due 12/01/2039-03/01/2041 (k) 13,423 13,479
7.930% due 05/01/2016 1,903 1,906
8.250% due 10/29/2023-01/01/2041 (k) 9,512 9,675
8.380% due 11/01/2012 255 260
8.630% due 08/15/2030 34,293 35,457
-------------
501,332
=============
Federal National Mortgage Association 4.4%
4.750% due 11/14/2003 250 238
5.000% due 12/25/2021-04/18/2027 (k) 2,000 1,823
5.500% due 03/01/2013-12/01/2028 (k) 20,616 18,641
5.920% due 11/01/2035 (d) 0 0
6.000% due 12/01/2000-10/16/2030 (k) 377,190 352,973
6.090% due 12/01/2008 49 47
6.180% due 04/01/2027 (d) 110 109
6.250% due 07/25/2007 83 83
6.280% due 09/01/2029 (d) 608 583
6.340% due 09/01/2017-09/01/2024 (d)(k) 6,014 5,883
6.390% due 05/25/2036 29,534 25,210
6.420% due 12/01/2007 150 146
6.450% due 09/25/2016 3,380 3,355
6.500% due 04/01/2003-06/17/2038 (k) 60,401 55,193
6.580% due 04/01/2026 (d) 1,111 1,105
6.600% due 12/01/2003-09/25/2018 (k) 1,993 1,980
6.630% due 12/01/2027 (d) 8,174 8,137
6.690% due 08/01/2027 (d) 39,409 39,604
6.750% due 08/01/2003 223 222
6.840% due 07/01/2003 62 61
6.920% due 10/01/2027 (d) 4,427 4,442
6.950% due 03/25/2026 273 271
7.000% due 07/01/2001-10/16/2030 (k) 550,197 539,989
7.250% due 05/01/2002-01/01/2023 (k) 10,183 10,064
7.350% due 09/01/2027 (d) 1,815 1,849
7.410% due 11/01/2023 (d) 881 901
7.450% due 11/01/2023 (d) 166 170
7.470% due 12/01/2023 (d) 166 169
7.480% due 01/01/2024-07/01/2030 (d)(k) 2,742 2,777
7.500% due 10/01/2002-05/01/2030 (k) 14,581 14,678
7.540% due 10/01/2023 (d) 345 355
7.550% due 05/01/2023 (d) 2,224 2,238
7.560% due 12/01/2023 (d) 882 898
7.570% due 01/01/2024 (d) 395 405
7.630% due 09/01/2022 (d) 958 978
7.660% due 02/01/2026 (d) 550 565
7.680% due 12/01/2023 (d) 1,052 1,089
7.690% due 01/01/2024 (d) 431 441
7.700% due 03/01/2025 (d) 2,940 3,026
7.730% due 11/01/2025 (d) 2,003 2,058
7.750% due 06/01/2009-01/01/2026 (d)(k) 1,448 1,485
7.780% due 01/01/2018 2,239 2,377
7.790% due 09/01/2023-08/01/2027 (d)(k) 3,947 4,053
7.810% due 11/01/2025 (d) 1,236 1,270
7.850% due 07/01/2018-01/01/2024 (d)(k) 6,849 7,310
7.890% due 03/01/2026 (d) 1,979 2,041
7.900% due 09/01/2025 (d) 1,560 1,585
7.920% due 03/01/2018 2,755 2,960
7.930% due 09/01/2022 (d) 1,165 1,181
7.980% due 05/01/2030 6,704 6,843
92 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
8.000% due 09/01/2001-10/16/2030 (k) $ 367,700 $ 372,519
8.020% due 11/01/2025 (d) 3,478 3,580
8.060% due 04/01/2030 1,861 1,877
8.080% due 04/01/2030 1,018 1,028
8.120% due 07/01/2024 (d) 4,245 4,357
8.160% due 09/01/2024 (d) 1,410 1,441
8.250% due 10/01/2008-03/01/2030 (k) 2,247 2,406
8.320% due 05/01/2026 (d) 577 597
8.490% due 06/01/2025 997 1,020
8.500% due 07/01/2001-08/01/2026 (k) 3,079 3,149
8.560% due 05/01/2024 (d) 2,375 2,460
9.000% due 10/01/2004-12/01/2027 (k) 9,369 9,756
9.250% due 10/01/2001 2 2
9.500% due 12/01/2006-07/01/2026 (k) 9,370 9,692
9.750% due 11/01/2008 58 61
10.000% due 09/01/2003-05/01/2022 (k) 1,085 1,146
10.500% due 01/01/2016-04/01/2022 (k) 533 570
10.750% due 03/01/2014 24 26
11.000% due 09/01/2019-11/01/2020 (k) 122 133
11.500% due 08/20/2016-11/01/2019 (k) 82 90
12.000% due 05/01/2016 9 10
12.500% due 10/01/2015 29 32
13.000% due 09/01/2013 29 33
13.250% due 09/01/2011 12 14
14.500% due 11/01/2011-01/01/2013 (k) 44 49
14.750% due 08/01/2012 167 194
15.000% due 10/01/2012 86 101
15.500% due 10/01/2012-12/01/2012 (k) 16 19
15.750% due 12/01/2011-08/01/2012 (k) 96 112
16.000% due 09/01/2012 108 123
-------------
1,550,458
=============
Government National Mortgage Association 42.0%
5.000% due 06/20/2022 (d) 327 330
5.500% due 06/20/2026-10/23/2030 (d)(k) 70,410 67,522
5.650% due 10/15/2012 11 10
6.000% due 10/15/2008-10/23/2030 (d)(k) 1,945,726 1,831,839
6.380% due 05/20/2027 (d) 2,430 2,447
6.500% due 05/15/2001-10/15/2038 (d)(k) 5,403,660 5,203,229
6.630% due 01/15/2040 9,612 9,163
6.670% due 10/15/2001-07/16/2038 (k) 1,036 1,010
6.750% due 07/15/2001-06/20/2028 (d)(k) 411,113 411,178
6.800% due 09/15/2001-10/15/2040 (k) 3,000 2,952
6.820% due 09/15/2001-10/15/2040 (k) 16,978 16,955
6.880% due 02/20/2016-02/15/2040 (d)(k) 1,187 1,156
7.000% due 10/15/2001-10/23/2030 (d)(k) 2,305,309 2,271,274
7.120% due 02/16/2030 (d) 13,093 13,154
7.130% due 12/20/2017-12/20/2027 (d)(k) 346,703 349,453
7.250% due 08/24/2024-08/20/2027 (d)(k) 325 327
7.380% due 05/20/2017-05/20/2028 (d)(k) 501,835 505,641
7.500% due 01/15/2003-10/23/2030 (k) 2,917,919 2,925,968
7.700% due 02/15/2002 4,034 4,013
7.750% due 07/15/2001 3,958 3,942
7.880% due 04/20/2023 (d) 338 342
8.000% due 05/15/2001-10/23/2030 (k) 1,228,446 1,248,773
8.130% due 07/15/2001-12/01/2039 (k) 3,681 3,684
8.250% due 08/15/2004-05/15/2022 (k) 414 423
8.500% due 06/15/2001-10/23/2030 (k) 50,513 51,899
8.750% due 03/15/2007-07/15/2007 (k) 92 95
9.000% due 06/15/2001-07/20/2022 (k) 5,271 5,529
9.250% due 07/15/2003-12/20/2016 (k) 166 170
9.500% due 04/15/2001-08/15/2023 (k) 4,631 4,857
9.750% due 09/15/2002-07/15/2004 (k) 80 82
10.000% due 04/15/2001-02/15/2025 (k) 5,288 5,612
10.250% due 02/20/2019 22 23
10.500% due 06/15/2004-09/15/2021 (k) 655 702
11.000% due 01/15/2001-03/15/2019 (k) 212 229
11.250% due 03/15/2001-12/20/2015 (k) 35 38
11.500% due 10/15/2010-10/15/2013 (k) 48 52
12.000% due 11/15/2012-05/15/2016 (k) 228 258
12.500% due 01/15/2011 1 1
13.000% due 12/15/2012-10/15/2014 (k) 20 21
13.250% due 10/20/2014 19 22
13.500% due 10/15/2012-09/15/2014 (k) 78 89
15.000% due 02/15/2012-10/15/2012 (k) 97 113
16.000% due 10/15/2011-05/15/2012 (k) 197 236
17.000% due 11/15/2011-12/15/2011 (k) 60 72
-------------
14,944,885
=============
Other Mortgage-Backed Securities 0.6%
Bank of America Corp.
9.000% due 03/01/2008 34 35
CDC Depositor Trust I
7.050% due 01/15/2003 (d) 19,302 19,231
Citibank, NA
8.000% due 07/25/2018 41 42
Commercial Mortgage Asset Trust
6.640% due 09/17/2010 455 439
Countrywide Funding Corp.
6.750% due 03/25/2024 12,260 10,528
DBL Mortgage Funding
9.500% due 08/01/2019 5 5
Federal Home Loan Mortgage Corp.
11.880% due 06/15/2013 97 102
FFCA Secured Lending Corp.
7.850% due 05/18/2017 28,900 28,872
First Interstate Bancorp
9.130% due 01/01/2009 (d)(l) 10 10
General Electric Capital Mortgage Services, Inc.
7.250% due 07/25/2011 1,550 1,544
General Electric Credit Corp.
8.000% due 03/01/2002 (l) 4 4
German American Capital Corp.
8.360% due 09/30/2002 462 445
4.310% due 07/01/2018 (d) 8,197 8,014
Guardian Savings & Loan Assn.
6.910% due 12/25/2018 (d) 20 20
Home Savings of America
8.460% due 08/01/2006 45 44
6.100% due 05/25/2027 (d) 2,589 2,522
6.440% due 08/20/2029 (d) 23,756 23,240
Imperial Savings & Loan
8.230% due 01/25/2017 (d) 59 59
8.850% due 07/25/2017 (d) 219 218
LTC Commercial Corp.
7.100% due 11/28/2012 3,187 3,191
Merrill Lynch Mortgage
7.770% due 06/15/2021 (d) 978 959
Mid-State Trust
8.330% due 04/01/2030 64,877 66,850
Morgan Stanley Mortgage Trust
8.150% due 07/20/2021 2 2
Resolution Trust Corp.
6.930% due 05/25/2029 (d) 3,190 3,186
Ryland Acceptance Corp.
14.000% due 11/25/2031 763 798
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 735 740
8.400% due 11/25/2022 (d) 508 511
Sasco Floating Rate Commercial Mortgage
7.020% due 11/20/2001 (d) 54,440 54,536
Sears Mortgage
12.000% due 02/25/2014 542 560
7.430% due 10/25/2022 (d) 1,844 1,865
-------------
228,572
=============
Stripped Mortgage-Backed Securities 0.0%
Bear Stearns Mortgage Securities, Inc. (IO)
7.200% due 07/25/2024 301 29
Chase Mortgage Finance Corp. (IO)
9.000% due 08/25/2023 150 4
Collateralized Mortgage Obligation Trust (PO)
0.000% due 04/23/2017 12 10
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 89 1
6.500% due 11/15/2006 232 2
6.500% due 03/15/2007 164 1
5.750% due 09/15/2007 (d) 5,084 304
See accompanying notes 93
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
6.000% due 10/15/2007 $ 179 $ 12
6.000% due 01/15/2008 85 4
5.430% due 02/15/2008 (d) 519 40
6.400% due 10/15/2008 61 6
0.000% due 08/15/2016 75 0
6.500% due 08/15/2017 65 0
7.000% due 04/15/2018 640 30
7.500% due 08/15/2018 15 0
8.850% due 01/15/2021 2 34
9.000% due 05/15/2022 94 24
6.500% due 09/15/2023 277 33
Federal National Mortgage Association (IO)
6.500% due 05/25/2005 679 69
6.500% due 07/25/2006 410 16
7.270% due 09/25/2006 2 14
6.500% due 02/25/2007 1,102 59
6.500% due 07/25/2007 218 9
6.500% due 09/25/2007 1,461 83
6.500% due 10/25/2007 407 22
0.100% due 03/25/2009 (d) 23,966 407
6.500% due 08/25/2020 2,649 185
10.070% due 01/25/2021 0 3
7.500% due 04/25/2021 1,486 226
9.030% due 08/25/2021 5 147
0.950% due 11/25/2021 (d) 22,673 362
6.500% due 10/25/2022 122 11
6.500% due 01/25/2023 2,726 430
3.660% due 02/25/2023 (d) 12,307 579
Federal National Mortgage Association (PO)
0.000% due 09/01/2007 667 544
0.000% due 02/25/2021 204 202
0.000% due 06/25/2022 317 308
0.000% due 08/25/2023 295 199
PaineWebber (IO)
13.600% due 08/01/2019 1 36
Vendee Mortgage Trust (IO)
0.540% due 06/15/2023 (d) 150,746 2,633
-------------
7,078
-------------
Total Mortgage-Backed Securities 26,058,715
(Cost $25,944,931) =============
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 8.2%
--------------------------------------------------------------------------------
Advanta Mortgage Loan Trust
6.820% due 05/25/2027 (d) 667 665
7.020% due 08/25/2029 (d) 2,709 2,719
8.250% due 08/25/2030 7,954 8,147
Advanta Revolving Home Equity Loan Trust
6.990% due 01/25/2024 (d) 27,010 27,099
6.870% due 08/25/2024 (d) 22,782 22,798
6.870% due 02/25/2025 (d) 15,436 15,430
Aerco Ltd.
7.090% due 07/15/2025 (d) 38,200 38,204
Aesop Funding LLC
6.570% due 11/20/2006 15,000 15,000
AFC Home Equity Loan Trust
7.350% due 10/25/2026 (d) 1,628 1,634
Allied Waste Industries, Inc.
9.440% due 07/30/2006 24,774 24,039
9.690% due 07/30/2007 (d) 4,955 4,808
9.750% due 07/30/2007 (d) 3,964 3,846
9.690% due 07/30/2007 (d) 20,809 20,193
American Express Credit Account Master Trust
6.800% due 12/15/2003 1,500 1,502
American Express Master Trust
7.850% due 08/15/2005 220 227
American Stores Co.
7.280% due 08/30/2004 20,000 19,776
Americredit Automobile Receivable Trust
6.540% due 05/12/2001 119 119
5.300% due 10/12/2002 8,246 8,221
5.780% due 05/12/2003 43,000 42,672
Amresco Residential Securities Mortgage Loan Trust
6.820% due 10/25/2027 (d) 1,032 1,033
6.780% due 05/25/2028 (d) 7,676 7,671
Arcadia Automobile Receivables Trust
6.250% due 09/15/2002 23,250 23,247
5.900% due 11/15/2002 7,449 7,442
6.300% due 07/15/2003 26,025 25,922
6.900% due 12/15/2003 19,431 19,482
Associates Manufactured Housing
7.000% due 03/15/2027 3,675 3,676
Banc One Home Equity Trust
6.460% due 06/25/2029 14,711 14,643
Bank One Heloc Trust
6.880% due 04/20/2020 (d) 44,075 44,119
BankBoston Home Equity Loan Trust
6.280% due 11/25/2010 43 43
Bayview Financial Acquisition Trust
7.170% due 02/25/2029 (d) 4,928 4,945
7.030% due 02/25/2030 (d) 22,638 22,511
7.010% due 07/25/2030 (d) 68,003 68,003
BMCA Receivables Master Trust
6.840% due 09/20/2002 (d) 12,000 11,993
Brazos Student Loan Finance Co.
6.900% due 06/01/2023 (d) 52,700 52,179
7.170% due 12/01/2025 (d) 41,215 41,362
Captec Franchise Trust
7.890% due 10/15/2010 1,054 1,076
Champion Home Equity Loan Trust
6.880% due 03/25/2029 (d) 4,872 4,875
Charming Shoppes Master Trust
7.070% due 08/15/2008 (d) 250 252
Charter Commercial Holdings LLC
9.240% due 03/31/2008 22,000 21,971
Chase Credit Card Master Trust
6.660% due 01/15/2007 645 644
Chase Funding Mortgage Loan Asset-Backed
Certificates
6.840% due 10/25/2030 (d) 58,500 58,500
Chase Manhattan Auto Owner Trust
5.750% due 10/15/2001 28 28
Chase Manhattan Grantor Trust
5.200% due 02/15/2002 50 50
6.610% due 09/15/2002 564 565
CMC Securities Corp. IV
7.250% due 11/25/2027 1,212 1,193
Community Program Loan Trust
4.500% due 10/01/2018 24,009 21,540
4.500% due 04/01/2029 26,000 19,151
Conseco Finance
7.520% due 05/15/2014 35,901 36,016
6.290% due 10/15/2030 8,418 8,416
6.990% due 10/15/2031 (d) 29,503 29,594
Conseco Finance Home Loan Trust
6.570% due 10/15/2006 26 26
6.980% due 09/28/2030 18,500 18,500
Conseco Finance Lease LLC
7.250% due 04/20/2003 25,000 25,107
Conseco Finance Securitizations Corp.
7.180% due 07/15/2002 23,524 23,153
7.970% due 05/01/2032 5,000 5,070
8.310% due 05/01/2032 48,800 49,689
Contimortgage Home Equity Loan Trust
6.790% due 10/15/2012 (d) 1,361 1,362
6.130% due 03/15/2013 1,584 1,580
6.420% due 04/25/2014 286 285
6.400% due 06/15/2014 2,000 1,993
6.770% due 01/25/2018 41,700 41,391
6.990% due 03/15/2021 350 349
6.930% due 11/25/2022 36,800 36,618
7.220% due 01/15/2028 80 80
6.760% due 06/15/2028 (d) 2,279 2,276
6.830% due 08/15/2028 (d) 243 242
Copelco Capital Funding Corp.
6.340% due 07/20/2004 7 7
94 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CPS Auto Trust
6.000% due 06/15/2002 $ 556 $ 555
6.000% due 08/15/2003 77 76
Cross Country Master Credit
7.150% due 06/15/2006 (d) 300 300
CS First Boston Mortgage Securities
Corp.
6.750% due 09/25/2028 6,960 6,560
Daimler-Benz Vehicle Trust
6.050% due 03/31/2005 1,962 1,956
Delta Air Lines Equipment Trust
9.230% due 07/02/2002 (l) 1,956 1,997
10.500% due 01/02/2007 (l) 6,167 6,833
10.570% due 01/02/2007 (l) 15,881 18,150
9.550% due 01/02/2008 (l) 7,773 8,271
10.430% due 01/02/2011 960 1,053
10.000% due 06/05/2013 10,828 11,560
Delta Funding Home Equity Loan Trust
6.140% due 03/15/2018 26,242 26,139
7.030% due 09/15/2029 (d) 10,950 10,996
6.940% due 06/15/2030 (d) 34,344 34,427
Discover Card Master Trust
7.000% due 10/16/2013 (d) 400 404
Duck Auto Grantor Trust
5.650% due 03/15/2004 4,854 4,799
7.260% due 05/15/2005 43,105 43,126
EQCC Home Equity Loan Trust
6.050% due 01/25/2010 150 149
6.550% due 04/25/2010 304 303
5.820% due 10/15/2027 (d) 785 784
5.770% due 03/20/2029 150 149
Equivantage Home Equity Loan Trust
6.550% due 10/25/2025 75 75
Federal Home Loan Mortgage Corp.
6.750% due 08/15/2026 (d) 56,100 56,100
Felco Funding LLC
5.980% due 09/15/2001 175 177
Fidelity Equipment Lease Trust
5.860% due 09/15/2001 8,481 8,453
First Alliance Mortgage Loan Trust
7.000% due 03/20/2031 (d) 14,818 14,827
First Merchants Auto Trust
6.850% due 11/15/2002 14 14
First Omni Bank
6.650% due 09/15/2003 (d) 1,500 1,500
First Security Auto Grantor Trust
6.100% due 04/15/2003 699 698
5.970% due 04/15/2004 120 119
First Union Master Credit Card Trust
6.630% due 09/15/2003 88,750 88,845
First USA Credit Card Master Trust
6.130% due 09/17/2003 (d) 300 300
FMAC Loan Receivables Trust
7.900% due 04/15/2019 20 20
6.830% due 09/15/2020 680 626
6.200% due 09/15/2020 261 253
6.500% due 09/15/2020 237 216
Ford Credit Auto Owner Trust
5.470% due 09/15/2001 175 174
5.770% due 11/15/2001 8,771 8,762
6.200% due 04/15/2002 407 407
Ford Motor Credit Corp.
5.500% due 02/15/2003 5,300 5,278
Fred Meyer, Inc.
7.380% due 03/19/2003 (d) 12,405 12,269
GMAC Mortgage Corp. Loan
7.010% due 11/18/2025 (d) 42,817 42,886
7.930% due 03/25/2030 39,407 36,913
Green Tree Financial Corp.
7.150% due 07/15/2027 221 221
6.490% due 03/15/2028 36,494 36,390
6.420% due 11/15/2028 1,386 1,383
5.850% due 11/01/2029 27 27
6.870% due 04/01/2030 1,105 988
6.660% due 06/01/2030 1,405 1,177
5.600% due 12/01/2030 215 214
5.510% due 02/01/2031 271 270
7.860% due 04/01/2031 400 386
Green Tree Floorplan Receivables Master Trust
6.970% due 11/15/2004 (d) 46,000 46,098
Green Tree Home Equity Loan Trust
5.590% due 02/15/2013 32 32
6.040% due 06/15/2029 49 49
5.990% due 07/15/2030 209 209
Green Tree Home Improvement Loan Trust
5.910% due 08/15/2007 14 14
7.270% due 09/15/2028 (d) 4,162 4,155
6.390% due 01/15/2029 1,945 1,945
Green Tree Lease Finance
6.170% due 09/20/2005 56 56
Green Tree Recreational Equipment
6.430% due 04/17/2006 3,234 3,229
Harley-Davidson Eaglemark
5.250% due 07/15/2003 96 95
Headlands Home Equity Loan Trust
7.270% due 12/15/2024 (d) 529 532
HFC Home Equity Loan
6.830% due 12/20/2016 282 281
Honda Auto Receivables Grantor
5.950% due 05/15/2003 61 61
Household Consumer Loan Trust
7.040% due 08/15/2006 (d) 19,321 19,073
IMC Home Equity Loan Trust
7.250% due 07/25/2026 (d) 725 721
IMPAC Secured Assets CMN Owner
7.770% due 07/25/2025 2,000 1,981
Independent National Mortgage Corp.
8.250% due 05/25/2010 154 157
Indymac Home Equity Loan
6.890% due 10/25/2029 (d) 9,772 9,766
Indymac Manufactured Housing
6.170% due 12/25/2011 5,019 4,973
Long Beach Acceptance Auto
6.940% due 09/19/2007 3,944 3,948
Mellon Bank Home Equity
5.900% due 10/25/2010 14,019 13,905
Merit Securities Corp.
6.160% due 07/28/2033 6,424 6,377
7.880% due 12/28/2033 34,400 33,803
Metlife Capital Equipment Loan Trust
6.850% due 05/20/2008 (d) 320 320
Metris Master Trust
7.270% due 04/20/2006 (d) 20,000 20,099
Metropolitan Asset Funding, Inc.
7.080% due 04/25/2029 (d) 13,174 13,047
MGM Grand Term Loan
7.870% due 05/06/2001 (d) 21,277 21,226
MMCA Automobile Trust
6.300% due 06/15/2002 357 356
Morgan Stanley ABS Capital I
6.930% due 08/25/2030 (d) 157,021 157,021
MPC Natural Gas Funding Trust
6.200% due 03/15/2013 9,546 9,331
MSDWCC Heloc Trust
6.910% due 09/25/2010 (d) 36,465 36,465
Myra Ums Tranche
7.420% due 12/23/2006 1,358 1,321
Myra-United Mexican States
5.810% due 10/20/2006 (d) 402 391
7.800% due 12/23/2006 (d) 6,624 6,443
7.750% due 12/23/2006 (d) 3,489 3,397
7.630% due 12/23/2006 (d) 5,923 5,765
7.060% due 12/23/2006 (d) 929 904
7.800% due 12/23/2006 (d) 928 904
7.630% due 12/23/2006 (d) 29 28
See accompanying notes 95
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
National Medical Care
7.630% due 09/30/2003 (d) $ 28,486 $ 28,201
7.690% due 09/30/2003 21,972 21,752
New Holland Equipment Receivables
6.390% due 10/15/2002 352 352
Nomura CBO Ltd.
6.670% due 05/15/2009 1,900 1,944
Norwest Asset Securities Corp.
6.500% due 04/25/2013 20,113 19,488
6.500% due 06/25/2013 10,423 10,094
7.500% due 03/25/2027 40,536 39,779
6.750% due 05/25/2028 27,707 25,714
6.750% due 07/25/2028 12,657 11,576
6.200% due 09/25/2028 16,324 16,236
NPF XI, Inc.
6.820% due 07/01/2001 8,326 8,324
NPF XII, Inc.
7.050% due 06/01/2003 31,000 30,714
7.270% due 11/01/2003 (d) 1,000 1,000
Olympic Automobile Receivable Trust
6.050% due 08/15/2002 3,178 3,178
Option One Mortgage Loan Trust
5.880% due 05/25/2029 129 128
6.910% due 09/25/2030 (d) 49,816 49,816
PP&L Transition Bond Co. LLC
6.830% due 03/25/2007 28,800 28,860
Premier Auto Trust
5.770% due 01/06/2002 3,151 3,150
5.820% due 02/08/2002 399 399
Provident Bank Home Equity Loan Trust
6.920% due 06/25/2021 (d) 36,381 36,381
Providian Gateway Master Trust
6.840% due 03/15/2007 28,900 28,900
6.250% due 06/15/2007 25 25
6.900% due 03/16/2009 300 300
Prudential Home Mortgage Securities
6.500% due 01/25/2024 1,225 1,216
Residential Asset Mortgage Products, Inc.
6.910% due 09/25/2030 (d) 50,000 50,000
Residential Asset Securities Corp.
6.720% due 04/25/2014 (d) 249 249
6.960% due 07/25/2014 30,510 30,395
6.240% due 02/25/2017 3,184 3,167
6.600% due 01/25/2020 5,200 5,165
7.080% due 09/25/2020 190 190
8.000% due 10/25/2024 (d) 5,121 5,150
6.920% due 10/25/2027 (d) 2,239 2,238
6.750% due 03/25/2028 40,000 37,212
Residential Funding Mortgage Securities, Inc.
10.930% due 06/01/2001 72,450 72,450
RJR Nabisco
7.500% due 12/31/2001 (d) 24,948 24,948
Ryder Vehicle Lease Trust
6.430% due 01/15/2003 694 693
Saco Trust
8.130% due 07/25/2030 18,119 18,492
Salomon Brothers Mortgage Securities
7.040% due 11/15/2029 (d) 18,965 19,013
7.100% due 12/15/2029 (d) 5,800 5,800
Saxon Asset Securities Trust
6.850% due 05/25/2029 (d) 8,721 8,729
Sears Credit Account Master Trust
6.050% due 01/15/2008 500 493
7.000% due 07/15/2008 500 505
Small Business Administration
7.190% due 12/01/2019 493 493
Standard Credit Card Trust
8.250% due 11/07/2003 80 81
Student Loan Marketing Assn.
6.860% due 10/25/2005 (d) 21,703 21,623
Team Fleet Financing Corp.
7.350% due 05/15/2003 30 30
Texas Cable Partners
8.380% due 06/24/2007 2,500 2,489
8.940% due 06/24/2007 2,500 2,489
The Money Store Home Equity Trust
7.550% due 02/15/2020 321 321
6.350% due 11/15/2021 (d) 719 716
6.750% due 05/15/2025 (d) 34 34
6.490% due 10/15/2026 17,000 16,925
Total Renal Care
12.000% due 03/31/2008 37,442 36,506
Toyota Auto Lease Trust
6.350% due 04/26/2004 60 60
6.450% due 04/26/2004 300 299
UCFC Home Equity Loan
8.200% due 09/15/2027 70 71
6.870% due 07/15/2029 70 66
UCFC Manufactured Housing
6.680% due 01/15/2010 (d) 4,310 4,313
UniCapital Corp.
6.540% due 07/23/2002 26,018 25,977
United Air Lines Equipment Trust
9.200% due 03/22/2008 3,950 4,198
10.360% due 11/13/2012 7,000 7,255
10.020% due 03/22/2014 6,925 7,128
10.850% due 07/05/2014 34,111 36,604
10.850% due 02/19/2015 1,500 1,722
10.130% due 03/22/2015 14,300 14,851
9.060% due 06/17/2015 5,000 4,823
9.210% due 01/21/2017 2,000 1,897
USAA Auto Loan Grantor Trust
6.150% due 05/15/2004 1,180 1,176
5.800% due 01/15/2005 2,681 2,666
WFS Financial Owner Trust
6.410% due 07/20/2002 25,016 25,002
6.920% due 01/20/2004 27,125 27,177
WMC Mortgage Loan
7.070% due 10/15/2029 87,787 87,842
-------------
Total Asset-Backed Securities 2,931,252
(Cost $3,229,995) =============
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 1.9%
--------------------------------------------------------------------------------
Central Bank Philippines
7.940% due 06/01/2008 (d) 3,875 3,468
Hellenic Republic
7.280% due 06/06/2001 (d) 20,000 20,294
Hydro-Quebec
7.380% due 02/01/2003 150 152
Kingdom of Jordan
6.000% due 12/23/2023 14,000 10,462
Kingdom of Sweden
10.250% due 11/01/2015 500 593
Nacional Financiera
9.750% due 03/12/2002 10,000 10,325
8.570% due 05/08/2003 (d) 7,750 7,871
Providence of Newfoundland
9.000% due 06/01/2019 500 562
Province of New Brunswick
7.130% due 10/01/2002 1,700 1,712
Province of Nova Scotia
9.380% due 07/15/2002 1,000 1,041
Province of Ontario
7.750% due 06/04/2002 200 203
7.630% due 06/22/2004 1,000 1,032
7.000% due 08/04/2005 1,000 1,012
6.000% due 02/21/2006 1,800 1,734
5.500% due 10/01/2008 12,000 10,999
Province of Quebec
7.500% due 07/15/2002 6,000 6,073
8.800% due 04/15/2003 100 105
6.810% due 06/11/2004 (d) 15,500 15,486
6.620% due 04/09/2026 25,000 24,939
Republic of Argentina
11.600% due 04/10/2005 (d) 1,380 1,283
11.750% due 04/07/2009 30 28
96 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Republic of Brazil
7.880% due 01/01/2001 (d) $ 3,481 $ 3,481
7.380% due 04/15/2006 187,832 176,807
11.250% due 07/26/2007 5,750 5,773
14.500% due 10/15/2009 6,000 6,615
8.000% due 04/15/2014 31 24
12.250% due 03/06/2030 900 819
11.000% due 08/17/2040 4,462 3,565
Republic of Bulgaria
7.750% due 07/28/2011 (d) 2,000 1,515
3.000% due 07/28/2012 (d) 20,000 14,568
7.750% due 07/28/2024 (d) 86,650 66,287
Republic of Chile
6.880% due 04/28/2009 25,000 23,528
Republic of Colombia
10.880% due 03/09/2004 10,280 9,946
Republic of Croatia
7.000% due 02/27/2002 7,650 7,489
Republic of Panama
7.880% due 02/13/2002 1,850 1,830
7.930% due 05/10/2002 (d) 1,975 1,940
4.500% due 07/17/2014 7,675 6,202
Republic of Peru
3.750% due 03/07/2017 11,000 6,141
4.500% due 03/07/2017 (d) 5,750 3,601
Republic of Philippines
7.810% due 01/05/2005 (d) 8,830 8,337
6.500% due 12/01/2017 3,250 2,506
9.500% due 10/21/2024 2,958 2,817
Republic of Poland
3.500% due 10/27/2024 (d) 64,540 40,660
4.000% due 10/27/2024 3,000 2,040
Republic of Kazakhstan
8.380% due 10/02/2002 5,000 4,936
Republic of Venezuela
7.880% due 12/18/2007 (d) 16,250 13,937
Republica Orient Uruguay
7.250% due 05/04/2009 2,500 2,291
State of Israel
6.200% due 06/14/2003 25 25
United Mexican States
9.780% due 04/07/2004 (d) 3,650 3,789
10.020% due 04/07/2004 (d) 5,186 5,393
8.500% due 02/01/2006 107,500 107,554
9.880% due 02/01/2010 10,000 10,655
6.250% due 12/31/2019 8,860 7,913
-------------
Total Sovereign Issues 672,358
(Cost $665,775) =============
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (f)(g) 2.8%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 (j) N$ 73,000 31,155
Export-Import Bank Korea
3.840% due 10/06/2000 (d) DM 5,000 2,257
Halifax Group Euro Finance
7.630% due 12/29/2049 (d) EC 8,500 7,501
KBC Bank Fund Trust IV
8.220% due 11/29/2049 20,764 18,605
Korea Development Bank
6.000% due 03/07/2001 JY 350,000 3,318
4.800% due 05/14/2001 (d) DM 70,000 31,318
2.560% due 06/26/2001 JY 4,000,000 37,455
Korea Electric Power
3.880% due 10/31/2002 (d) DM 18,900 8,276
Lloyds TSB Capital
7.380% due 02/07/2049 EC 16,000 14,244
Nacional Financiera
22.000% due 05/20/2002 MP 370,000 40,844
Newcourt Credit Group
7.630% due 06/28/2001 C$ 9,400 6,299
Republic of Argentina
5.500% due 03/27/2001 JY 5,640,000 52,320
Republic of Austria
0.000% due 01/15/2010 EC 900 789
Republic of Brazil
8.250% due 11/26/2001 2,000 1,797
Republic of Germany
6.250% due 01/04/2024 26,310 25,082
6.500% due 07/04/2027 111,630 109,577
6.250% due 01/04/2030 47,920 46,473
Republic of Philippines
8.000% due 09/17/2004 10,290 9,171
R.J. Reynolds
6.880% due 11/22/2000 DM 9,500 4,293
Royal Bank of Scotland PLC
0.000% due 01/01/2000 BP 85,000 101,978
6.770% due 03/31/2049 EC 126,500 112,403
Tecnost International NV
6.670% due 06/23/2004 (d) 107,384 95,762
United Mexican States
6.000% due 03/28/2002 JY 100,000 992
3.100% due 04/24/2002 2,542,000 24,052
8.750% due 05/30/2002 BP 23,000 34,446
10.380% due 01/29/2003 DM 200 97
7.000% due 06/02/2003 C$ 30,200 19,388
7.430% due 04/07/2004 (d) EC 18,181 16,775
6.750% due 06/06/2006 JY 2,000,000 21,853
7.500% due 03/08/2010 EC 5,000 4,315
6.630% due 12/31/2019 FF 60,000 7,006
1.100% due 12/31/2019 (d) JY 1,662,500 15,086
3.850% due 12/31/2019 9,145,000 77,905
-------------
Total Foreign Currency-Denominated Issues 982,832
(Cost $892,163) =============
--------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.0%
--------------------------------------------------------------------------------
Eurodollar vs. U.S. Dollar (OTC)
Strike @ 0.81 Exp. 12/21/2000 $ 200,000 16,246
-------------
Total Purchased Call Options 16,246
(Cost $16,759) =============
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
--------------------------------------------------------------------------------
Harborview Mortgage Loan Trust (OTC)
7.470% due 08/19/2030
Strike @ 100.00 Exp. 05/01/2005 22,975 0
Interest Rate Swap (OTC)
Strike @ 7.100% Exp. 08/12/2010 10,000 490
-------------
Total Purchased Put Options 490
(Cost $380) =============
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.0%
--------------------------------------------------------------------------------
Banking & Finance 0.0%
Bell Atlantic Financial Services
5.750% due 04/01/2003 1,500 1,454
-------------
Total Convertible Bonds & Notes 1,454
(Cost $1,539) =============
--------------------------------------------------------------------------------
PREFERRED SECURITY 1.0%
--------------------------------------------------------------------------------
Shares
DG Funding Trust
9.030% due 12/29/2049 35,150 352,379
-------------
Total Preferred Security 352,379
(Cost $351,502) =============
--------------------------------------------------------------------------------
PREFERRED STOCK 0.2%
--------------------------------------------------------------------------------
Banco Bilbao Vizcaya International
9.750% due 11/19/2001 266,217 6,722
Barclays Bank
9.080% due 04/21/2020 215,500 5,549
See accompanying notes 97
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited)
Value
Shares (000s)
--------------------------------------------------------------------------------
Centaur Funding Corp.
9.080% due 04/21/2020 125 $ 127
CSC Holdings, Inc.
11.125% due 04/01/2008 25,595 2,719
Fortis Amev NV
6.430% due 12/31/2049 171 20,134
Home Ownership Funding
13.331% due 12/31/2049 1,125 859
SI Financing Trust
9.500% due 06/30/2026 396,194 9,979
TCI Communications, Inc.
9.720% due 12/31/2036 622,553 16,186
10.000% due 05/31/2045 49,000 1,240
-------------
Total Preferred Stock 63,515
(Cost $66,709) =============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 8.3%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Certificates of Deposit 0.3%
Dominion Resources, Inc.
6.200% due 01/26/2001 $ 98,900 98,989
-------------
Commercial Paper 8.0%
Abbey National PLC
6.520% due 11/03/2000 12,700 12,626
6.530% due 11/03/2000 900 895
Alcoa, Inc.
6.470% due 11/29/2000 53,000 52,417
6.450% due 12/21/2000 6,200 6,107
American Electric Power, Inc.
6.700% due 10/04/2000 2,000 1,999
6.760% due 10/04/2000 700 700
6.700% due 10/18/2000 3,000 2,991
6.750% due 10/18/2000 500 499
6.700% due 10/25/2000 1,800 1,792
6.700% due 10/30/2000 25,000 24,870
6.700% due 11/01/2000 3,300 3,282
6.700% due 11/02/2000 22,800 22,668
Anz, Inc.
6.550% due 11/03/2000 100 99
6.520% due 11/03/2000 2,700 2,684
6.480% due 11/28/2000 28,500 28,192
Associated Corp. of North America
6.580% due 11/16/2000 4,600 4,562
6.570% due 11/29/2000 11,000 10,879
AT&T Corp.
6.580% due 10/23/2000 2,600 2,590
6.510% due 11/08/2000 1,500 1,490
6.520% due 11/08/2000 11,500 11,423
6.530% due 11/15/2000 2,500 2,480
6.470% due 11/29/2000 3,600 3,560
6.520% due 11/29/2000 1,900 1,879
6.510% due 12/13/2000 9,500 9,372
6.520% due 12/13/2000 5,000 4,932
6.530% due 12/13/2000 20,000 19,730
6.510% due 12/20/2000 11,800 11,626
Bank One Corp.
6.500% due 11/03/2000 200 199
6.500% due 11/15/2000 8,000 7,936
6.530% due 11/15/2000 300 298
6.470% due 12/06/2000 49,500 48,894
6.480% due 12/06/2000 50,000 49,388
6.470% due 12/19/2000 7,600 7,489
Bellsouth Capital Funding
6.460% due 12/06/2000 19,100 18,866
6.470% due 12/12/2000 17,200 16,971
British Telecom PLC
6.600% due 11/09/2000 20,400 20,258
6.560% due 11/09/2000 400 397
Campbell Soup Co.
6.460% due 12/06/2000 2,700 2,667
6.520% due 12/07/2000 700 691
CBA (de) Finance
6.530% due 10/23/2000 4,700 4,682
CDC
6.520% due 11/01/2000 500 497
Coca-Cola Co.
6.510% due 10/31/2000 2,700 2,686
6.480% due 12/13/2000 8,500 8,385
6.490% due 12/13/2000 4,400 4,341
Compaq Computer Corp.
6.730% due 10/23/2000 20,000 19,921
Conagra, Inc.
6.730% due 10/04/2000 13,100 13,095
6.670% due 10/06/2000 3,000 2,998
6.670% due 10/18/2000 1,000 100
6.680% due 11/08/2000 28,800 28,602
6.670% due 11/15/2000 1,900 1,885
6.670% due 11/16/2000 29,500 29,254
Cox Communications
6.700% due 10/04/2000 26,700 26,690
6.700% due 11/06/2000 50,000 49,674
6.730% due 11/06/2000 36,200 35,963
6.720% due 11/07/2000 21,500 21,356
CSX Corp.
6.740% due 10/10/2000 1,000 999
6.700% due 10/11/2000 21,700 21,663
DaimlerChrysler AG
6.580% due 11/20/2000 7,200 7,136
6.580% due 11/22/2000 3,800 3,765
6.590% due 11/29/2000 3,300 3,264
6.590% due 12/06/2000 14,300 14,125
6.540% due 12/07/2000 3,800 3,753
6.500% due 12/13/2000 200 197
6.520% due 12/13/2000 10,700 10,556
Dominion Resources, Inc.
6.710% due 10/18/2000 11,500 11,466
6.710% due 11/06/2000 5,800 5,762
6.710% due 11/09/2000 800 794
6.710% due 11/16/2000 17,900 17,750
Duke Energy Field Service Corp.
6.700% due 10/19/2000 50,000 49,842
Eastman Kodak Co.
6.490% due 11/01/2000 2,900 2,884
6.540% due 11/01/2000 3,300 3,282
6.480% due 11/16/2000 900 893
Edison Midwest
6.720% due 10/18/2000 40,000 39,881
6.720% due 10/25/2000 10,000 9,957
6.720% due 11/01/2000 1,000 994
6.750% due 11/01/2000 40,035 39,809
6.700% due 11/08/2000 1,400 1,390
6.740% due 11/08/2000 10,700 10,626
6.710% due 11/15/2000 3,300 3,273
6.730% due 11/15/2000 3,800 3,769
6.800% due 11/15/2000 7,900 7,834
6.710% due 11/15/2000 500 496
Federal Home Loan Mortgage Corp.
6.400% due 11/07/2000 745 740
6.410% due 12/07/2000 743 734
Federal National Mortgage Assn.
6.400% due 12/14/2000 1,163 1,147
Florida Power Corp.
6.450% due 12/14/2000 8,500 8,384
6.470% due 12/14/2000 100 99
Gannett Co.
6.500% due 10/25/2000 100 100
6.490% due 11/20/2000 3,700 3,667
6.470% due 11/20/2000 18,900 18,734
6.500% due 11/21/2000 1,800 1,784
General Electric Capital Corp.
6.470% due 12/06/2000 200 198
6.590% due 12/06/2000 11,300 11,162
6.470% due 12/07/2000 25,000 24,689
6.490% due 12/07/2000 300 296
6.470% due 12/13/2000 700 691
98 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
6.470% due 12/20/2000 $ 600 $ 591
6.510% due 01/10/2001 7,000 6,870
6.510% due 01/17/2001 900 882
6.500% due 01/24/2001 37,400 36,613
General Motors Acceptance Corp.
6.560% due 11/15/2000 200 198
6.520% due 11/27/2000 8,600 8,513
6.550% due 12/06/2000 2,500 2,469
6.510% due 12/13/2000 25,400 25,057
Gillette Co.
6.460% due 12/12/2000 800 789
Honeywell, Inc.
6.510% due 11/21/2000 20,000 19,819
6.470% due 11/29/2000 5,800 5,736
Houston Industries
6.770% due 10/04/2000 6,200 6,198
6.770% due 10/18/2000 3,700 3,689
6.800% due 11/08/2000 6,200 6,157
6.800% due 11/15/2000 50,000 49,584
Infinity Broadcasting Corp.
6.720% due 11/09/2000 900 894
6.700% due 11/15/2000 600 595
6.700% due 11/16/2000 1,400 1,388
6.710% due 11/21/2000 1,900 1,882
6.720% due 11/21/2000 27,800 27,541
6.710% due 11/22/2000 6,800 6,735
Ingersoll-Rand Co.
6.680% due 10/02/2000 900 900
6.840% due 10/02/2000 23,800 23,800
6.690% due 10/04/2000 33,400 33,388
6.700% due 11/01/2000 2,100 2,088
6.720% due 11/01/2000 1,100 1,094
6.700% due 11/08/2000 11,100 11,024
6.700% due 11/13/2000 16,800 16,669
6.700% due 11/15/2000 4,000 3,967
6.740% due 11/15/2000 600 595
International Paper Co.
6.700% due 10/05/2000 700 700
6.700% due 10/06/2000 34,700 34,674
6.700% due 10/10/2000 4,400 4,393
6.720% due 10/10/2000 700 699
6.700% due 10/11/2000 41,000 40,931
6.720% due 11/17/2000 300 297
6.720% due 11/28/2000 10,600 10,485
KFW International Finance
6.510% due 10/12/2000 1,600 1,597
6.480% due 12/06/2000 800 790
Minnesota Mining & Manufacturing
6.470% due 11/28/2000 1,500 1,484
6.480% due 12/19/2000 700 690
Motorola, Inc.
6.480% due 11/28/2000 13,100 12,958
6.520% due 12/13/2000 4,600 4,538
6.450% due 12/27/2000 3,700 3,641
Nabisco, Inc.
6.700% due 10/18/2000 28,900 28,813
Natural Rural Utilities
6.480% due 10/18/2000 1,000 997
6.480% due 11/07/2000 3,100 3,080
6.520% due 11/15/2000 5,500 5,456
Nike, Inc.
6.480% due 10/12/2000 6,000 5,989
Norfolk Southern Corp.
6.720% due 11/01/2000 30,000 29,832
6.720% due 11/07/2000 37,400 37,149
Pearson
6.730% due 10/25/2000 9,000 8,961
Proctor & Gamble Co.
6.480% due 11/29/2000 200 198
6.510% due 11/29/2000 1,300 1,286
Reseau Ferre De France
6.520% due 10/26/2000 1,800 1,792
6.480% due 11/30/2000 1,000 989
SBC Communications, Inc.
6.470% due 12/06/2000 200 198
6.490% due 12/06/2000 3,100 3,062
Sprint Capital Corp.
6.700% due 10/25/2000 7,300 7,269
6.700% due 11/01/2000 1,900 1,889
6.700% due 11/03/2000 31,600 31,412
6.720% due 11/08/2000 8,000 7,945
Sumitomo Bank
6.720% due 11/01/2000 15,000 14,916
Swedbank, Inc.
6.510% due 01/19/2001 10,000 9,799
Texas Utilities Co.
6.700% due 10/18/2000 7,100 7,079
6.760% due 10/18/2000 3,600 3,589
Tyco International
6.740% due 10/18/2000 73,400 73,180
UBS Finance LLC
6.680% due 10/02/2000 1,000,000 1,000,000
Verizon Global Funding
6.490% due 11/08/2000 1,600 1,589
6.490% due 11/09/2000 8,600 8,541
6.460% due 12/01/2000 7,500 7,415
6.480% due 12/06/2000 50,000 49,388
6.460% due 12/07/2000 200 198
6.460% due 12/11/2000 800 789
6.470% due 12/14/2000 6,000 5,918
Washington Mutual
6.690% due 11/08/2000 12,000 11,917
Yorkshire Building Society
6.490% due 11/14/2000 1,800 1,786
6.480% due 12/11/2000 33,700 33,257
6.470% due 12/20/2000 1,500 1,478
6.460% due 12/21/2000 4,300 4,236
-------------
2,854,106
=============
U.S. Treasury Bills (b)(k) 0.0%
5.933% due 02/01/2001 1,655 1,621
-------------
Total Short-Term Instruments 2,954,716
(Cost $2,954,943) =============
Total Investments (a) 152.0% $54,049,779
(Cost $54,354,587)
Written Options (c) (0.1%) (35,447)
(Premiums $40,793)
Other Assets and Liabilities (Net)(51.9%) (18,465,617)
-------------
Net Assets 100.0% $35,548,715
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 295,213
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value. (600,021)
-------------
Unrealized depreciation-net $ (304,808)
=============
See accompanying notes 99
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
(b) Securities with an aggregate market value of $1,621 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at September 30, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Eurodollar December Futures (12/2000) 305 $ (173)
Municipal Bond (12/2000) 2,371 (1,820)
EuroBond 10 Year Note (12/2000) 17,718 1,772
U.S. Treasury 5 Year Note (12/2000) 10,646 (6,488)
U.S. Treasury 10 Year Note (12/2000) 29,648 5,027
U.S. Treasury 30 Year Bond (12/2000) 4,844 (2,214)
EuroBond 10 Year Note Options (11/2000) 22,213 4,080
United Kingdom 10 Year Note (12/2000) 2,731 1,588
--------------
$ 1,772
==============
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - TSE Government of Japan December
Futures Strike @ 134.00 Exp. 11/30/2000 458 $ 881 $ 916
Put - OTC Japanese Interest Rate Swap
December Futures Strike @ 2.305% Exp.
11/30/2000 10,800,000,000 86 372
Put - OTC Japanese Interest Rate Swap
December Futures Strike @ 2.315% Exp.
11/30/2000 10,800,000,000 101 377
Call - CBOT U.S. Treasury Note December Futures
Strike @ 103.00 Exp. 11/18/2000 10,716 1,364 1,172
Call - CBOT U.S. Treasury Note December Futures
Strike @ 102.00 Exp. 11/18/2000 12,253 3,119 2,872
Put - CBOT U.S. Treasury Note December Futures
Strike @ 98.00 Exp. 11/18/2000 4,528 1,662 778
Put - CBOT U.S. Treasury Note December Futures
Strike @ 97.00 Exp. 11/18/2000 2,991 744 280
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 5,644 5,314 141
Call - CME Eurodollar December Futures
Strike @ 92.75 Exp. 12/18/2000 1,195 845 1,479
Put - CME Eurodollar March Futures
Strike @ 92.75 Exp. 03/19/2001 7,127 2,736 267
Call - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 18,834 4,726 13,890
Put - CME Eurodollar March Futures
Strike @ 92.50 Exp. 03/19/2001 7,225 4,582 181
Call - CME Eurodollar March Futures
Strike @ 93.00 Exp. 03/19/2001 5,000 2,098 6,313
Put - CME Eurodollar March Futures
Strike @ 92.25 Exp. 03/19/2001 8,769 5,077 110
Put - CME Eurodollar December Futures
Strike @ 92.25 Exp. 12/18/2000 2,902 1,109 18
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 8.250% Exp. 03/19/2001 560,000,000 $ 2,226 $ 11
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.750% Exp. 03/19/2001 560,000,000 603 2,750
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.500% Exp. 02/23/2001 275,000,000 1,760 1,760
Call - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 6.500% Exp. 02/22/2001 275,000,000 1,760 1,760
------------------------
$ 40,793 $ 35,477
========================
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Reverse repurchase agreements were entered into September 25, 2000
paying interest at 6.520%. The following securities were segregated
with collateral for reverse repurchase agreements
Type Maturity Value
--------------------------------------------------------------------------------
Federal National Mortgage Assn. 7.000% 10/01/2003 $ 42,864
Federal National Mortgage Assn. 6.690% 08/01/2027 39,604
Government National Mortgage Assn. 7.130% 10/20/2030 65,131
Government National Mortgage Assn. 6.750% 07/20/2027 41,986
------------
$ 189,585
============
(f) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell C$ 43,714 10/2000 $ 413
Buy 7,000 10/2000 (54)
Sell EC 295,593 10/2000 8,049
Buy 393,768 10/2000 (1,541)
Buy 276,495 11/2000 502
Sell BP 103,747 10/2000 (5,419)
Buy HF 2,000,000 03/2001 181
Sell JY 4,519,202 04/2001 (1,390)
Sell 20,157,034 10/2000 3,425
Buy 18,843,139 10/2000 71
Sell 18,843,139 11/2000 (100)
Sell N$ 60,917 10/2000 565
Buy PZ 45,000 01/2001 (543)
Buy 40,000 02/2001 (215)
Buy 17,000 03/2001 (168)
--------------
$ 3,776
==============
(g) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
EC - Euro
HF - Hungarian Forint
JY - Japanese Yen
N$ - New Zealand Dollar
PZ - Polish Zloty
100 See accompanying notes
<PAGE>
(h) Swap agreements outstanding at September 30,
2000:
Notional Unrealized
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 JY24,500,000 $ (9,740)
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 1,709
Receive floating rate based on 3-month LIBOR plus 1.600% and
pay a fixed rate equal to 0.426%.
Broker: Lehman Brothers
Exp. 04/19/2005 $ 13,033 1
Receive floating rate based on 3-month LIBOR plus 0.500% and
pay a fixed rate equal to 7.600%.
Broker: Lehman Brothers
Exp. 07/15/2003 35,000 (354)
Receive floating rate based on 6-month BP-LIBOR and
pay a fixed rate equal to 5.930%.
Broker: Goldman Sachs
Exp. 08/25/2030 BP 50,000 (579)
Receive floating rate based on 3-month Canadian Bank Bill and
pay a fixed rate equal to 6.302%.
Broker: Goldman Sachs
Exp. 07/13/2010 C$ 40,000 (258)
Receive floating rate based on 6-month JY-LIBOR and
pay a fixed rate equal to 2.295%.
Broker: Goldman Sachs
Exp. 04/14/2008 JY11,635,000 (3,964)
Receive floating rate based on 6-month JY-LIBOR and
pay a fixed rate equal to 2.305%.
Broker: Goldman Sachs
Exp. 04/15/2008 7,563,000 (2,621)
Receive floating rate based on 6-month JY-LIBOR and
pay a fixed rate equal to 1.669%.
Broker: Goldman Sachs
Exp. 05/18/2007 51,000,000 (1,259)
Receive floating rate based on 6-month EURO-LIBOR and
pay fixed rate equal to 6.175%.
Broker: Goldman Sachs
Exp. 05/22/2030 EC 94,820 (953)
Receive floating rate based on 6-month EURO-LIBOR plus 0.499%
and pay a fixed rate equal to 6.000%.
Broker: J.P. Morgan
Exp. 01/04/2009 123,620 1,945
Receive floating rate based on 6-month EURO-LIBOR minus 0.54%
and pay a fixed rate equal to 6.250%.
Broker: J.P. Morgan
Exp. 01/04/2024 EC 26,270 $ 320
Receive floating rate based on 3-month EURO-LIBOR and
pay a fixed rate equal to 6.010%.
Broker: Morgan Stanley
Exp. 01/04/2030 83,670 (514)
Receive floating rate based on 6-month JY-LIBOR and
pay a fixed rate equal to 2.305%.
Broker: Goldman Sachs
Exp. 04/15/2008 JY 377,000 29
Receive floating rate based on 6-month JY-LIBOR and
pay a fixed rate equal to 1.669%.
Broker: Goldman Sachs
Exp. 05/18/2007 1,500,000 33
Receive floating rate based on 6-month JY-LIBOR and
pay a fixed rate equal to 2.295%.
Broker: Goldman Sachs
Exp. 04/14/2008 580,000 47
Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate
equal to 6.317%.
Broker: Goldman Sachs
Exp. 07/12/2010 C$ 30,000 (213)
Receive a fixed rate equal to 7.317% and
pay floating rate based on 3-month LIBOR.
Broker: Morgan Stanley
Exp. 11/15/2003 $ 85,000 1,117
Receive floating rate based on 3-month LIBOR and
pay to the counterparty $187,253 due 11/15/2021.
Broker: Lehman Brothers
Exp. 11/15/2021 42,600 (702)
Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 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 3,200 0
Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 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 3,200 (171)
Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 5.050%.
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. 05/03/2001 6,000 (201)
See accompanying notes 101
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Receive fixed rate equal to 0.650% and the Fund will pay to the
counterparty at par in the event of default of Niagara Mohawk Corp.
7.750% due 10/01/2008.
Broker: Lehman Brothers
Exp. 12/31/2004 $ 50,000 $ 3
Receive fixed rate equal to 0.400% and the Fund will pay to the
counterparty at par in the event of default of Time Warner, Inc.
7.400% due 02/01/2004.
Broker: Goldman Sachs
Exp. 11/10/2002 20,000 1
Receive fixed rate equal to 0.510% and the Fund will pay to the
counterparty at par in the event of default of Time Warner, Inc.
7.750% due 06/15/2005.
Broker: Lehman Brothers
Exp. 01/25/2005 10,000 1
Receive fixed rate equal to 0.650% and the Fund will pay to the
counterparty at par in the event of default of Philip Morris Co.
7.200% due 02/01/2007.
Broker: Goldman Sachs
Exp. 12/22/2000 17,000 1
Receive fixed rate equal to 0.250% and the Fund will pay to the
counterparty at par in the event of default of Pacific Gas & Electric Corp.
6.550% due 12/08/2005.
Broker: J.P. Morgan
Exp. 05/23/2003 22,000 0
Receive fixed rate equal to 5.600% and the Fund will pay to the
counterparty at par in the event of default of the Republic of Venezuela
9.250% due 09/15/2027.
Broker: Deutsche Bank AG New York
Exp. 04/04/2001 25,000 14
Receive fixed rate equal to 5.850% and the Fund will pay to the
counterparty at par in the event of default of the Republic of Venezuela
9.250% due 09/15/2027.
Broker: Deutsche Bank AG New York
Exp. 04/17/2001 10,000 6
Receive fixed rate equal to 0.250% and the Fund will pay to the
counterparty at par in the event of default of Wisconsin Electric Power
6.625% due 11/16/2006.
Broker: Lehman Brothers
Exp. 04/18/2003 25,000 1
Receive fixed rate equal to 1.900% and the Fund will pay to the
counterparty at par in the event of default of the Republic of Brazil
based on 6-month LIBOR
plus 0.813% due 04/15/2006.
Broker: Credit Suisse First Boston International
Exp. 05/03/2001 50,000 9
Receive fixed rate equal to 1.300% and the Fund will pay to the
counterparty at par in the event of default of United Mexican States
9.875% due 01/15/2007
Broker: Salomon Brothers, Inc.
Exp. 05/09/2002 50,000 7
Receive fixed rate equal to 0.100% and the Fund will pay to the
counterparty at par in the event of default of Walmart Stores, Inc.
6.875% due 08/10/2009.
Broker: Credit Suisse First Boston International
Exp. 11/01/2000 $ 100,000 $ 1
Receive fixed rate equal to 0.100% and the Fund will pay to the
counterparty at par in the event of default of General Electric Capital Corp.
7.250% due 02/02/2005.
Broker: J.P. Morgan
Exp. 05/19/2001 50,000 1
Receive fixed rate equal to 1.500% and the Fund will pay to the
counterparty at par in the event of default of United Mexican States
9.875% due 01/15/2007
Broker: Salomon Brothers, Inc.
Exp. 06/13/2002 50,000 8
Receive fixed rate equal to 0.500% and the Fund will pay to the
counterparty at par in the event of default of Raytheon Co.
6.500% due 07/15/2005.
Broker: Merril Lynch
Exp. 06/30/2001 25,000 1
Receive fixed rate equal to 0.120% and the Fund will pay to the
counterparty at par in the event of default of IBM Corp.
7.250% due 11/01/2002.
Broker: J.P. Morgan
Exp. 12/31/2000 50,000 1
Receive a fixed rate equal to 4.910% and pay floating
rate based on 10-year Municipal Market Dataline Index.
Broker: Morgan Stanley
Exp. 11/07/2000 10,000 361
-------------
$ (15,912)
=============
102 See accompanying notes
<PAGE>
--------------------------------------------------------------------------------
Fixed Unrealized
Spread Notional Appreciation/
Type (%) Amount Depreciation
--------------------------------------------------------------------------------
Receive the 10-year Swap Spread and pay a fixed spread.
The 10-year Swap Spread is the difference between the
10-year Swap Rate and the 10-year Treasury Rate.
Broker: Goldman Sachs
Exp. 02/15/2005 0.8675 $ 258,500 $ 2,598
Broker: Morgan Stanley
Exp. 02/28/2005 0.9925 25,000 (223)
Receive On-The-Run 30-year Swap Spread and pay a fixed spread.
The on the-run 30-year Swap Spread is the difference between the
30-year Swap Rate and the 30-year Treasury Rate.
Broker: Goldman Sachs
Exp. 04/04/2005 1.3900 50,000 (591)
Receive the 30-year Swap Spread and pay a fixed spread.
The 30-year Swap Spread is the difference between the
30-year Swap Rate and the 30-year Treasury Rate.
Broker: Goldman Sachs
Exp. 02/16/2005 1.1120 37,700 (329)
Broker: Goldman Sachs
Exp. 02/15/2005 1.0850 10,000 (155)
Broker: Goldman Sachs
Exp. 02/16/2005 1.1120 3,300 (52)
Receive the 5-year Swap Spread and pay a fixed spread.
The 5-year Swap Spread is the difference between the
5-year Swap Rate and the 5-year Treasury Rate.
Broker: Morgan Stanley 0.9900 107,200 (294)
Exp. 04/07/2005
Broker: Lehman Brothers
Exp. 04/10/2005 0.9500 130,000 (356)
Broker: Bank of America
Exp. 04/11/2005 0.9675 250,000 (263)
Receive On-The-Run 2-year Swap Spread and pay a fixed spread.
The On-The-Run 2-year Swap Spread is the difference between the
2-year Swap Rate and the 2-year Treasury Rate.
Broker: Bank of America
Exp. 07/19/2001 0.9250 100,000 (850)
---------
$ (515)
=========
(i) Principal amount of the security is adjusted for inflation.
(j) Subject to financing transaction.
(k) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(l) Restricted security.
(m) Security is in default.
See accompanying notes 103
<PAGE>
Schedule of Investments
Total Return Mortgage Fund
September 30, 2000 (Unaudited) Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 0.3%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (e)
3.625% due 07/15/2002 $ 54 $ 54
-------------
Total U.S. Treasury Obligations 54
(Cost $54) =============
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 124.2%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 52.8%
Chase Mortgage Finance Corp.
7.000% due 07/25/2024 607 603
7.000% due 12/25/2028 334 308
Countrywide Alternative Loan Trust
6.750% due 08/25/2028 95 93
Countrywide Home Loans
6.750% due 11/25/2027 38 38
DLJ Mortgage Acceptance Corp.
7.000% due 06/25/2028 138 130
Federal Home Loan Mortgage Corp.
6.000% due 06/15/2008 432 423
6.328% due 02/01/2018 (d) 172 168
4.500% due 03/15/2021 52 47
6.750% due 08/15/2021 1,000 986
3.500% due 12/15/2022 10 7
6.500% due 12/15/2023 46 42
6.500% due 03/15/2024 107 94
6.900% due 04/15/2026 1,035 1,022
8.000% due 06/15/2026 70 71
6.500% due 05/15/2027 73 66
7.000% due 01/15/2028 150 131
6.000% due 10/15/2028 153 131
Federal National Mortgage Assn.
6.900% due 08/25/2011 100 97
6.500% due 02/25/2019 1,044 1,035
7.750% due 08/25/2022 63 64
7.500% due 03/25/2023 96 94
7.625% due 04/25/2023 (d) 25 26
6.500% due 09/25/2023 36 32
6.750% due 09/25/2023 53 47
7.000% due 09/25/2023 16 15
6.500% due 10/25/2023 217 199
6.500% due 12/25/2023 170 143
7.100% due 12/25/2023 41 39
7.020% due 04/18/2028 (d) 124 124
General Electric Capital Mortgage Services, Inc.
7.000% due 01/25/2028 100 92
6.750% due 06/25/2028 200 188
Government National Mortgage Assn.
7.500% due 12/20/2022 149 149
Norwest Asset Securities Corp.
6.250% due 01/25/2029 174 162
PNC Mortgage Securities Corp.
6.750% due 09/25/2028 1,099 1,036
Residential Accredit Loans, Inc.
7.000% due 01/25/2028 386 384
Superannuation Members Home Loans Global Fund
6.915% due 06/15/2026 (d) 300 300
Vendee Mortgage Trust
7.750% due 05/15/2022 38 38
-------------
8,624
=============
Federal Home Loan Mortgage Corporation 3.1%
5.500% due 02/01/2001 154 151
6.000% due 10/01/2024 150 142
7.000% due 02/01/2027 113 111
7.556% due 11/01/2028 (d) 107 109
-------------
513
=============
Federal National Mortgage Association 22.4%
5.805% due 10/01/2028 (d) 494 476
6.000% due 10/01/2099 700 654
6.483% due 11/01/2018 (d) 43 43
7.500% due 12/01/2099 2,000 1,995
7.519% due 05/01/2023 (d) 168 169
9.000% due 01/01/2020 304 317
-------------
3,654
=============
Government National Mortgage Association 44.9%
6.375% due 03/20/2027 (d) 9 9
6.750% due 07/20/2022-07/20/2025 (c)(d) 538 543
7.125% due 12/20/2021-11/20/2026 (c)(d) 392 395
7.375% due 03/20/2016-01/20/2027 (c)(d) 1,326 1,335
7.500% due 05/15/2027-08/15/2027 (c) 124 124
8.000% due 12/15/2099 4,450 4,529
8.500% due 12/31/2099 400 411
-------------
7,346
=============
Stripped Mortgage-Backed Securities 1.0%
Federal National Mortgage Association (IO)
6.500% due 07/25/2007 59 3
Federal National Mortgage Association (PO)
0.000% due 07/25/2022 264 162
-------------
165
-------------
Total Mortgage-Backed Securities 20,302
(Cost $20,119) =============
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 2.8%
--------------------------------------------------------------------------------
Bayview Financial Acquisition Trust
7.011% due 07/25/2030 (d) 197 197
MLCC Mortgage Investors, Inc.
6.998% due 03/15/2025 (d) 253 254
-------------
Total Asset-Backed Securities 451
(Cost $450) =============
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.1%
--------------------------------------------------------------------------------
Technology 0.1%
Clear Channel Communications, Inc.
1.500% due 12/01/2002 10 9
-------------
Total Convertible Bonds & Notes 9
(Cost $10) =============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 18.8%
--------------------------------------------------------------------------------
Commercial Paper 17.0%
Alcoa, Inc.
6.450% due 12/21/2000 200 197
American Electric Power, Inc.
6.760% due 10/04/2000 400 400
AT&T Corp.
6.510% due 12/13/2000 200 197
Conagra, Inc.
6.670% due 10/04/2000 600 600
6.670% due 11/15/2000 300 298
Eastman Kodak Co.
6.460% due 12/04/2000 200 198
General Electric Capital Corp.
6.470% due 12/20/2000 200 197
Ingersoll-Rand Co.
6.690% due 10/04/2000 300 300
KFW International Finance
6.460% due 12/06/2000 300 297
Yorkshire Building Society
6.490% due 11/14/2000 100 99
-------------
2,783
=============
Repurchase Agreement 1.7%
State Street Bank
5.850% due 10/02/2000 285 285
-------------
(Dated 9/29/2000. Collateralized by
Federal Home Loan Mortgage Corp.
7.050% due 09/19/2003 valued at $295.
Repurchase proceeds are $285.)
U.S. Treasury Bills (b) 0.1%
5.925% due 02/01/2001 10 10
-------------
Total Short-Term Instruments 3,078
(Cost $3,077) =============
104 See accompanying notes
<PAGE>
Value
(000s)
--------------------------------------------------------------------------------
Total Investments (a) 146.2% $ 23,894
(Cost $23,710)
Other Assets and Liabilities (Net) (46.2%) (7,548)
-------------
Net Assets 100.0% $ 16,346
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 229
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (45)
-------------
Unrealized appreciation-net $ 184
=============
(b) Securities with an aggregate market value of $10
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 2000:
# of Unrealized
Type Contracts Appreciation
--------------------------------------------------------------------------------
U.S. Treasury 10 Year Note (12/2000) 1 $ 0
-------------
(c) Securities are grouped by coupon or range of coupons and
represent a range of maturities.
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Principal amount of the security is adjusted for inflation.
See accompanying notes 105
<PAGE>
Financial Highlights - Class D
<TABLE>
<CAPTION>
Net Realized /
Net Asset Value Unrealized Gain Total Income Dividends from
Beginning of Net Investment (Loss) on from Investment Net Investment
Selected Per Share Data for the Year or Period Ended: Period Income (Loss) Investments Operations Income
--------------- -------------- --------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
California Intermediate Municipal Bond Fund
09/30/2000 (b) $ 10.05 $ 0.20 (a) $ 0.25 (a) $ 0.45 $ (0.21)
01/31/2000 - 03/31/2000 9.88 0.06 (a) 0.18 (a) 0.24 (0.07)
California Municipal Bond Fund
07/31/2000 - 09/30/2000 (b) $ 10.35 $ 0.08 (a) $ 0.04 (a) $ 0.12 $ (0.09)
Convertible Fund
08/01/2000 - 09/30/2000 (b) $ 15.77 $(0.02)(a) $(0.33) (a) $ (0.35) $ (0.09)
Emerging Markets Bond Fund
03/31/2000 - 09/30/2000 (b) $ 8.61 $ 0.40 (a) $ 0.03 (a) $ 0.43 $ (0.40)
Foreign Bond Fund
09/30/2000 (b) $ 10.03 $ 0.30 (a) $ 0.06 (a) $ 0.36 $ (0.29)
03/31/2000 10.63 0.59 (a) (0.45) (a) 0.14 (0.59)
04/08/1998 - 03/31/1999 10.83 0.53 (a) 0.15 (a) 0.68 (0.53)
High Yield Fund
09/30/2000 (b) $ 10.22 $ 0.44 (a) $(0.10) (a) $ 0.34 $ (0.44)
03/31/2000 11.23 0.89 (a) (1.01) (a) (0.12) (0.88)
04/08/1998 - 03/31/1999 11.68 0.89 (a) (0.45) (a) 0.44 (0.88)
Low Duration Fund
09/30/2000 (b) $ 9.81 $ 0.30 (a) $ 0.07 (a) $ 0.37 $ (0.32)
03/31/2000 10.10 0.61 (a) (0.29) (a) 0.32 (0.60)
04/08/1998 - 03/31/1999 10.19 0.60 (a) (0.03) (a) 0.57 (0.60)
Municipal Bond Fund
09/30/2000 (b) $ 9.47 $ 0.21 (a) $ 0.16 (a) $ 0.37 $ (0.22)
03/31/2000 10.12 0.42 (a) (0.64) (a) (0.22) (0.43)
04/08/1998 - 03/31/1999 9.98 0.40 (a) 0.14 (a) 0.54 (0.40)
New York Intermediate Municipal Bond Fund
09/30/2000 (b) $ 9.94 $ 0.20 (a) $ 0.27 (a) $ 0.47 $ (0.20)
01/31/2000 - 03/31/2000 9.79 0.07 (a) 0.15 (a) 0.22 (0.07)
Real Return Bond Fund
09/30/2000 (b) $ 9.92 $ 0.41 (a) $ 0.05 (a) $ 0.46 $ (0.43)
03/31/2000 9.83 0.63 (a) 0.12 (a) 0.75 (0.64)
04/08/1998 - 03/31/1999 9.77 0.47 (a) 0.09 (a) 0.56 (0.44)
Short Duration Municipal Income Fund
09/30/2000 (b) $ 9.98 $ 0.19 (a) $ 0.06 (a) $ 0.25 $ (0.19)
01/31/2000 - 03/31/2000 9.99 0.06 (a) (0.01) (a) 0.05 (0.06)
Short-Term Fund
09/30/2000 (b) $ 9.95 $ 0.30 (a) $ 0.02 (a) $ 0.32 $ (0.30)
03/31/2000 10.03 0.55 (a) (0.08) (a) 0.47 (0.55)
04/08/1998 - 03/31/1999 10.07 0.53 (a) (0.03) (a) 0.50 (0.53)
StocksPLUS Fund
09/30/2000 (b) $ 14.08 $ 0.21 (a) $(0.68) (a) $ (0.47) $ (0.24)
03/31/2000 14.27 1.04 (a) 1.29 (a) 2.33 (1.04)
04/08/1998 - 03/31/1999 14.13 0.79 (a) 1.38 (a) 2.17 (0.79)
Strategic Balanced Fund
09/30/2000 (b) $ 12.78 $ 0.30 (a) $(0.43) (a) $ (0.13) $ (0.41)
03/31/2000 12.75 0.71 (a) 0.47 (a) 1.18 (0.69)
04/08/1998 - 03/31/1999 12.65 0.79 (a) 0.60 (a) 1.39 (0.62)
Total Return Fund
09/30/2000 (b) $ 9.96 $ 0.32 (a) $ 0.13 (a) $ 0.45 $ (0.32)
03/31/2000 10.36 0.60 (a) (0.40) (a) 0.20 (0.58)
04/08/1998 - 03/31/1999 10.66 0.59 (a) 0.12 (a) 0.71 (0.59)
Total Return Mortgage Fund
09/30/2000 (b) $ 9.97 $ 0.29 (a) $ 0.21 (a) $ 0.50 $ (0.29)
03/31/2000 10.19 0.54 (a) (0.20) (a) 0.34 (0.55)
04/08/1998 - 03/31/1999 10.27 0.53 (a) 0.02 (a) 0.55 (0.53)
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Unaudited
106 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Dividends Distributions Distributions Ratio of Net
in Excess from Net in Excess of Net Asset Net Assets Ratio of Investment
of Net Realized Net Realized Value End of Expenses to Income (Loss)
Investment Capital Capital Total End of Total Period Average Net to Average Portfolio
Income Gains Gains Distributions Period Return (000s) Assets Net Assets Turnover Rate
---------- ------------- ------------ ------------- --------- ------ ---------- ------------ ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 0.00 $ 0.00 $ 0.00 $ (0.21) $ 10.29 4.47% $ 36 0.85%+ 3.85%+ 194%
0.00 0.00 0.00 (0.07) 10.05 2.39 10 0.85+ (e) 3.88+ 357
$ 0.00 $ 0.00 $ 0.00 $ (0.09) $ 10.38 1.51% $ 10 0.85%+ 4.73%+ 286%
$ 0.00 $ 0.00 $ 0.00 $ (0.09) $ 15.33 (2.19)% $ 9 1.08%+ (0.33)%+ 100%
$ 0.00 $ 0.00 $ 0.00 $ (0.40) $ 8.64 5.20% $ 11 1.25%+ 9.35%+ 377%
$ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 10.10 3.60% $ 15,063 1.00%+ 5.82%+ 248%
0.00 (0.15) 0.00 (0.74) 10.03 1.51 9,955 1.16 (c) 5.77 330
0.00 (0.10) (0.25) (0.88) 10.63 6.46 8,513 0.95+ 4.82+ 376
$ 0.00 $ 0.00 $ 0.00 $ (0.44) $ 10.12 3.41% $ 23,252 0.90%+ 8.59%+ 20%
(0.01) 0.00 0.00 (0.89) 10.22 (1.14) 23,601 0.90 8.29 39
(0.01) 0.00 0.00 (0.89) 11.23 4.00 9,065 0.90+ 8.07+ 39
$ 0.00 $ 0.00 $ 0.00 $ (0.32) $ 9.86 3.87% $ 13,949 0.76%+ 5.95%+ 107%
(0.01) 0.00 0.00 (0.61) 9.81 3.22 12,018 0.83 (g) 6.11 82
0.00 (0.01) (0.05) (0.66) 10.10 5.77 6,481 0.75+ 5.81+ 245
$ 0.00 $ 0.00 $ 0.00 $ (0.22) $ 9.62 3.97% $ 636 0.85%+ 4.41%+ 150%
0.00 0.00 0.00 (0.43) 9.47 (2.16) 1,104 0.85 4.46 145
0.00 0.00 0.00 (0.40) 10.12 5.47 242 0.85+ 3.99+ 70
$ 0.00 $ 0.00 $ 0.00 $ (0.20) $ 10.21 4.78% $ 11 0.85%+ 3.95%+ 623%
0.00 0.00 0.00 (0.07) 9.94 2.21 10 0.87+ (f) 4.02+ 270
$ 0.00 $ 0.00 $ 0.00 $ (0.43) $ 9.95 4.79% $ 29,643 0.93%+ 8.26%+ 179%
0.00 (0.02) 0.00 (0.66) 9.92 7.93 15,560 0.93 6.44 253
(0.06) 0.00 0.00 (0.50) 9.83 5.89 193 0.92+ 4.75+ 438
$ 0.00 $ 0.00 $ 0.00 $ (0.19) $ 10.04 2.44% $ 10 0.80%+ 3.81%+ 71%
0.00 0.00 0.00 (0.06) 9.98 0.47 10 0.80+ (d) 3.51+ 171
$ 0.00 $ 0.00 $ 0.00 $ (0.30) $ 9.97 3.29% $ 5,434 1.14%+ (g) 6.04%+ 62%
0.00 0.00 0.00 (0.55) 9.95 4.87 3,361 0.93 (g) 5.54 38
0.00 0.00 (0.01) (0.54) 10.03 5.10 2,278 0.75+ 5.05+ 47
$ 0.00 $ 0.00 $ 0.00 $ (0.24) $ 13.37 (3.37)% $ 3,124 1.05%+ 3.01%+ 42%
(0.97) (0.51) 0.00 (2.52) 14.08 17.32 3,288 1.05 7.16 92
0.00 (1.24) 0.00 (2.03) 14.27 16.69 1,721 1.05+ 8.12+ 81
$ 0.00 $ 0.00 $ 0.00 $ (0.41) $ 12.24 (0.98)% $ 299 1.06%+ 4.83%+ 543%
0.00 (0.15) (0.31) (1.15) 12.78 9.55 167 1.05 5.49 176
0.00 (0.67) 0.00 (1.29) 12.75 11.45 173 1.05+ 6.41+ 82
$ 0.00 $ 0.00 $ 0.00 $ (0.32) $ 10.09 4.58% $ 135,608 0.80%+ (g) 6.36%+ 186%
(0.02) 0.00 0.00 (0.60) 9.96 2.00 80,459 0.87 (g) 5.97 223
0.00 (0.24) (0.18) (1.01) 10.36 6.73 34,839 0.75+ 5.21+ 154
$ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 10.18 5.06% $ 399 0.90%+ 5.70%+ 388%
(0.01) 0.00 0.00 (0.56) 9.97 3.47 166 0.90 5.38 1476
0.00 (0.03) (0.07) (0.63) 10.19 5.41 183 0.90+ 5.15+ 158
</TABLE>
(c) Ratio of expenses to average net assets excluding interest expense is
0.95%.
(d) If the investment manager had not reimbursed expenses, the ratio of
expenses0 to average net assets would have been 1.29%.
(e) If the investment manager had not reimbursed expenses, the ratio of
expenses to average net assets would have been 1.74%.
(f) If the investment manager had not reimbursed expenses, the ratio of
expenses to average net assets would have been 2.52%.
(g) Ratio of expenses to average net assets excluding interest expense is
0.75%.
See accompanying notes 107
<PAGE>
Statements of Assets and Liabilities
September 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
California
Intermediate California Emerging
Amounts in thousands, Municipal Municipal Convertible Markets Foreign Low
except per share amounts Bond Fund Bond Fund Fund Bond Fund Bond Fund High Yield Fund Duration Fund
------------ ---------- ----------- --------- --------- --------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
Assets:
Investments, at value $ 100,517 $ 8,991 $ 164,640 $ 58,286 $ 1,057,286 $ 3,037,644 $ 5,309,953
Cash and foreign currency 3 2 23 82 17,587 3,666 0
Receivable for investments sold
and forward foreign currency
contracts 0 0 2,707 2,320 102,376 28,459 229,584
Receivable for Fund shares sold 20 0 298 35 1,104 4,419 14,212
Interest and dividends receivable 1,374 139 536 1,249 11,017 62,330 64,423
Variation margin receivable 0 0 0 0 384 0 261
Manager reimbursement receivable 14 0 14 0 0 0 0
Other assets 3 0 0 1 83 0 961
---------- ---------- ---------- --------- ----------- --------------- ------------
101,931 9,132 168,218 61,973 1,189,837 3,136,518 5,619,394
---------- ---------- ---------- --------- ----------- --------------- ------------
Liabilities:
Payable for investments
purchased and forward foreign
currency contracts $ 1,387 $ 0 $ 8,370 $ 2,399 $ 345,681 $ 66,227 $ 932,447
Payable for financing 0 0 0 7,888 256,309 0 415,375
transactions
Notes payable 0 0 0 0 0 0 28,531
Written options outstanding 0 0 0 0 1,096 0 1,370
Payable for Fund shares redeemed 0 0 1 15 889 3,732 18,548
Dividends payable 0 0 67 28 397 4,816 3,433
Accrued investment advisory fee 21 2 53 20 122 659 906
Accrued administration fee 23 2 37 18 145 767 733
Accrued distribution fee 0 0 12 3 37 485 116
Accrued servicing fee 7 0 5 1 29 181 94
Variation margin payable 0 0 0 0 0 0 0
Other liabilities 2 0 0 22 63 127 333
1,440 4 8,545 10,394 604,768 76,994 1,401,886
---------- ---------- ---------- --------- ----------- --------------- ------------
Net Assets $ 100,491 $ 9,128 $ 159,673 $ 51,579 $ 585,069 $ 3,059,524 $ 4,217,508
---------- ---------- ---------- --------- ----------- --------------- ------------
Net Assets Consist of:
Paid in capital $ 97,705 $ 8,536 $ 132,006 $ 48,203 $ 605,430 $ 3,505,695 $ 4,317,927
Undistributed (overdistributed)
net investment income (37) 0 4,294 859 15,404 (2,104) (8,388)
Accumulated undistributed
net realized gain (loss) 331 368 (1,602) 1,137 (7,166) (214,136) (59,730)
Net unrealized
appreciation (depreciation) 2,492 224 24,975 1,380 (28,599) (229,931) (32,301)
---------- ---------- ---------- --------- ----------- --------------- ------------
$ 100,491 $ 9,128 $ 159,673 $ 51,579 $ 585,069 $ 3,059,524 $ 4,217,508
---------- ---------- ---------- --------- ----------- --------------- ------------
Net Assets:
Class D $ 36 $ 10 $ 9 $ 11 $ 15,063 $ 23,252 $ 13,949
Other Classes 100,455 9,118 159,664 51,568 570,006 3,036,272 4,203,559
Shares Issued and Outstanding:
Class D 3 1 1 1 1,491 2,298 1,414
Net Asset Value and Redemption
Price Per Share (Net Assets
Per Share Outstanding)
Class D $ 10.29 $ 10.38 $ 15.33 $ 8.64 $ 10.10 $ 10.12 $ 9.86
Cost of Investments Owned $ 98,049 $ 8,772 $ 139,705 $ 56,836 $ 1,092,108 $ 3,267,577 $ 5,347,094
---------- ---------- ---------- --------- ----------- --------------- ------------
Cost of Foreign Currency Held $ 0 $ 0 $ 20 $ 0 $ 17,695 $ 0 $ 5,462
---------- ---------- ---------- --------- ----------- --------------- ------------
</TABLE>
108 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
New York Short Duration Strategic
Municipal Municipal Real Return Municipal Short-Term StocksPLUS Balanced Total Return Total Return
Bond Fund Bond Fund Bond Fund Income Fund Fund Fund Fund Fund Mortgage Fund
--------- --------- ----------- -------------- ---------- ---------- --------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 54,626 $ 3,175 $ 1,117,767 $ 12,954 $ 855,837 $ 1,568,989 $ 76,485 $ 54,049,779 $ 23,894
15 1 900 2 0 61,383 3,802 10,032 0
934 2,802 40,080 0 78,809 3,926 124,664 644,787 4,985
88 0 7,253 0 1,082 1,504 211 192,212 0
783 38 10,330 194 9,110 0 80 433,213 80
0 0 37 0 0 0 1 7,095 0
0 14 0 14 0 0 0 0 0
0 0 893 0 56 0 0 0 1
---------- ---------- ------------ ------------ ---------- ------------ ----------- ------------- ------------
56,446 6,030 1,177,260 13,164 944,894 1,635,802 205,243 55,337,118 28,960
---------- ---------- ------------ ------------ ---------- ------------ ----------- ------------- ------------
$ 0 $ 2,796 $ 48,227 $ 0 $ 41,828 $ 174,328 $ 124,516 $ 14,893,787 $ 12,541
0 0 589,821 0 138,588 0 0 4,370,371 0
0 0 0 0 63,033 0 0 181,070 0
0 0 0 0 36 2,266 0 35,447 0
78 0 591 0 5,949 3,452 44 237,276 65
67 0 379 1 1,020 0 0 39,459 0
12 1 112 2 148 489 25 7,463 4
16 1 127 2 132 407 22 6,068 4
16 0 28 0 10 352 15 1,652 0
9 0 25 0 24 169 6 808 0
0 0 0 0 0 17,981 0 0 0
0 0 5 0 3,227 3,027 0 15,002 0
198 2,798 639,315 5 253,995 202,471 124,628 19,788,403 12,614
---------- ---------- ------------ ------------ ---------- ------------ ----------- ------------- ------------
$ 56,248 $ 3,232 $ 537,945 $ 13,159 $ 690,899 $ 1,433,331 $ 80,615 $ 35,548,715 $ 16,346
---------- ---------- ------------ ------------ ---------- ------------ ----------- ------------- ------------
$ 56,254 $ 3,164 $ 531,114 $ 13,098 $ 693,777 $ 1,424,354 $ 81,117 $ 36,552,222 $ 15,834
7 0 925 3 413 35,165 1,892 (52,845) 4
(583) 25 2,876 (5) (1,905) 40,145 (1,808) (641,460) 324
570 43 3,030 63 (1,386) (66,333) (586) (309,202) 184
---------- ---------- ------------ ------------ ---------- ------------ ----------- ------------- ------------
$ 56,248 $ 3,232 $ 537,945 $ 13,159 $ 690,899 $ 1,433,331 $ 80,615 $ 35,548,715 $ 16,346
---------- ---------- ------------ ------------ ---------- ------------ ----------- ------------- ------------
$ 636 $ 11 $ 29,643 $ 10 $ 5,434 $ 3,124 $ 299 $ 135,608 $ 399
55,612 3,221 508,302 13,149 685,465 1,430,207 80,316 35,413,107 15,947
66 1 3,003 1 545 234 24 13,432 39
$ 9.62 $ 10.21 $ 9.95 $ 10.04 $ 9.97 $ 13.37 $ 12.24 $ 10.09 $ 10.18
$ 54,056 $ 3,133 $ 1,114,720 $ 12,900 $ 857,422 $ 1,573,217 $ 77,215 $ 54,354,587 $ 23,710
---------- ---------- ------------ ------------ ---------- ------------ ----------- ------------- ------------
$ 0 $ 0 $ 464 $ 0 $ 221 $ 6,153 $ 617 $ 55,419 $ 0
---------- ---------- ------------ ------------ ---------- ------------ ----------- ------------- ------------
</TABLE>
See accompanying notes 109
<PAGE>
Statements of Operations
For the six months ended September 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
California
Intermediate California Emerging
Amounts in thousands Municipal Municipal Convertible Markets Foreign High Yield Low
Bond Fund Bond Fund Fund Bond Fund Bond Fund Fund Duration Fund
---------- --------- ---------- ----------- ----------- ----------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
Investment Income:
Interest $ 1,755 $ 218 $ 0 $ 2,293 $ 18,745 $ 141,093 $ 150,219
Dividends, net of foreign taxes 0 0 826 1 338 4,590 3,725
Miscellaneous income 0 0 0 0 0 10 0
---------- --------- ---------- ----------- ----------- ----------- -------------
Total Income 1,755 218 826 2,294 19,083 145,693 153,944
---------- --------- ---------- ----------- ----------- ----------- -------------
Expenses:
Investment advisory fees 92 10 302 96 697 3,839 5,211
Administration fees 101 10 204 87 824 4,423 4,224
Servicing fees - Class D 0 0 0 0 15 32 16
Distribution and/or servicing
fees -
Other Classes 29 0 82 25 356 3,860 1,248
Trustees' fees 0 0 0 0 1 5 7
Organization costs 0 0 0 0 0 0 0
Interest expense 0 0 34 1 170 3 253
Miscellaneous expense 0 0 281 0 0 0 0
Total Expenses 222 20 903 209 2,063 12,162 10,959
Recoupment of reimbursement 2 0 4 0 0 0 0
Net Expenses 224 20 907 209 2,063 12,162 10,959
---------- --------- ---------- ----------- ----------- ----------- -------------
Net Investment Income (Loss) 1,531 198 (81) 2,085 17,020 133,531 142,985
---------- --------- ---------- ----------- ----------- ----------- -------------
Net Realized and
Unrealized Gain (Loss):
Net realized gain (loss) on
investments 476 433 (2,169) 1,381 5,411 (81,413) (915)
Net realized gain (loss) on
futures contracts and
written options (133) (65) 0 0 (5,694) 0 (2,880)
Net realized gain (loss) on
foreign currency transactions 0 0 148 (77) 3,413 0 136
Net change in unrealized
appreciation (depreciation) on
investments 2,420 224 (3,085) 8 (2,220) 47,280 19,415
Net change in unrealized
appreciation (depreciation) on
futures contracts
and written options 0 0 0 0 (1,986) 0 6,013
Net change in unrealized
appreciation (depreciation) on
translation of assets and
liabilities denominated
in foreign currencies 0 0 94 (66) 4,809 0 2,913
Net Gain (Loss) 2,763 592 (5,012) 1,246 3,733 (34,133) 24,682
Net Increase (Decrease) in Assets
---------- --------- ---------- ----------- ----------- ----------- -------------
Resulting from Operations $ 4,294 $ 790 $ (5,093) $ 3,331 $ 20,753 $ 99,398 $ 167,667
---------- --------- ---------- ----------- ----------- ----------- -------------
</TABLE>
110 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
New York Short Duration Strategic
Municipal Municipal Real Return Municipal Short-Term StocksPLUS Balanced Total Return Total Return
Bond Fund Bond Fund Bond Fund Income Fund Fund Fund Fund Fund Mortgage Fund
--------- --------- ----------- -------------- ----------- ----------- ----------- -------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 1,551 $ 75 $ 19,079 $ 288 $ 25,753 $ 28,530 $ 3,241 $ 1,179,263 $ 404
0 0 0 0 0 807 63 20,491 0
0 0 0 0 6 18 0 245 0
--------- --------- ------------ ----------- ----------- ----------- ---------- -------------- ------------
1,551 75 19,079 288 25,759 29,355 3,304 1,199,999 404
--------- --------- ----------- ----------- ----------- ----------- ---------- -------------- ------------
70 4 516 12 887 2,889 217 41,399 15
90 4 582 12 793 2,417 158 33,656 15
1 0 28 0 6 4 0 134 0
146 0 209 0 200 3,133 125 13,933 0
0 0 1 0 1 3 0 58 0
0 0 1 0 0 0 0 0 0
0 0 74 0 1,367 1 16 9,703 0
0 0 0 0 1 0 0 0 0
307 8 1,411 24 3,255 8,447 516 98,883 30
0 0 0 0 0 0 0 0 0
307 8 1,411 24 3,255 8,447 516 98,883 30
--------- --------- ----------- -------------- ----------- ----------- ----------- -------------- -------------
1,244 67 17,668 264 22,504 20,908 2,788 1,101,116 374
--------- --------- ----------- -------------- ----------- ----------- ----------- -------------- -------------
478 27 2,525 20 86 (310) (1,173) 345,059 330
(136) 8 341 0 (145) 78,988 3,916 85,018 5
0 0 870 0 59 3,591 (1,029) (13,781) 0
710 51 (1,041) 57 1,572 (35) 849 69,578 208
0 0 319 0 15 (154,518) (6,478) (19,306) (3)
0 0 147 0 387 524 117 (3,140) 0
1,052 86 3,161 77 1,974 (71,760) (3,798) 463,428 540
--------- --------- ----------- -------------- ----------- ----------- ----------- -------------- -------------
$ 2,296 $ 153 $ 20,829 $ 341 $ 24,478 $ (50,852) $ (1,010) $ 1,564,544 $ 914
--------- --------- ----------- -------------- ----------- ----------- ----------- -------------- -------------
See accompanying notes 111
</TABLE>
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
California
California Intermediate Municipal
Amounts in thousands Municipal Bond Fund Bond Fund
---------------------------------------- ------------------
Six Months Ended Period from Period from
September 30, 2000 August 31, 1999 to May 16, 2000 to
Increase (Decrease) in Net Assets from: (Unaudited) March 31, 2000 September 30, 2000
(Unaudited)
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 1,531 $ 106 $ 198
Net realized gain (loss) 343 (5) 368
Net change in unrealized appreciation (depreciation) 2,420 72 224
---------------- -------------- ---------------
Net increase (decrease) resulting from operations 4,294 173 790
---------------- -------------- ---------------
Distributions to Shareholders:
From net investment income
Class D 0 0 0
Other Classes (1,569) (105) (198)
In excess of net investment income
Class D 0 0 0
Other Classes 0 0 0
From net realized capital gains
Class D 0 0 0
Other Classes 0 0 0
In excess of net realized capital gains
Class D 0 0 0
Other Classes 0 (7) 0
---------------- -------------- ---------------
Total Distributions (1,569) (112) (198)
---------------- -------------- ---------------
Fund Share Transactions:
Receipts for shares sold
Class D 25 10 10
Other Classes 120,329 10,729 18,629
Issued in reorganization
Class D 0 0 0
Other Classes 0 0 0
Issued as reinvestment of distributions
Class D 0 0 0
Other Classes 1,537 103 183
Cost of shares redeemed
Class D 0 0 0
Other Classes (34,353) (675) (10,286)
Net increase (decrease) resulting from Fund share transactions 87,538 10,167 8,536
---------------- -------------- ---------------
Total Increase (Decrease) in Net Assets 90,263 10,228 9,128
---------------- -------------- ---------------
Net Assets:
Beginning of period 10,228 0 0
End of period * $ 100,491 $ 10,228 $ 9,128
*Including net undistributed (overdistributed) investment income of: $ (37) $ 1 $ 0
</TABLE>
<TABLE>
<CAPTION>
Amounts in thousands Convertible Fund
-------------------------------------
Six Months Ended Year Ended
September 30, 2000 March 31, 2000
Increase (Decrease) in Net Assets from: (Unaudited)
<S> <C> <C>
Operations:
Net investment income (loss) $ (81) $ 293
Net realized gain (loss) (2,021) 7,821
Net change in unrealized appreciation (depreciation) (2,991) 27,966
-------------- --------------
Net increase (decrease) resulting from operations (5,093) 36,080
-------------- --------------
Distributions to Shareholders:
From net investment income
Class D 0 0
Other Classes (1,137) (293)
In excess of net investment income
Class D 0 0
Other Classes 0 (1,271)
From net realized capital gains
Class D 0 0
Other Classes 0 (619)
In excess of net realized capital gains
Class D 0 0
Other Classes 0 0
-------------- --------------
Total Distributions (1,137) (2,183)
-------------- --------------
Fund Share Transactions:
Receipts for shares sold
Class D 0 0
Other Classes 51,437 190,503
Issued in reorganization
Class D 0 0
Other Classes 0 0
Issued as reinvestment of distributions
Class D 0 0
Other Classes 967 2,104
Cost of shares redeemed
Class D 0 0
Other Classes (70,532) (42,473)
Net increase (decrease) resulting from Fund share transactions (18,128) 150,134
-------------- --------------
Total Increase (Decrease) in Net Assets (24,358) 184,031
-------------- --------------
Net Assets:
Beginning of period 184,031 0
End of period * $ 159,673 $ 184,031
*Including net undistributed (overdistributed) investment income of: $ 4,294 $ 5,512
</TABLE>
112 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Emerging Markets
Bond Fund Foreign Bond Fund High Yield Fund
----------------------------------- ----------------------------------- -----------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C>
$ 2,085 $ 2,012 $ 17,020 $ 35,220 $ 133,531 $ 296,022
1,304 1,254 3,130 4,992 (81,413) (70,452)
(58) 2,001 603 (31,738) 47,280 (263,887)
----------------------------------- ----------------------------------- -----------------------------------
3,331 5,267 20,753 8,474 99,398 (38,317)
----------------------------------- ----------------------------------- -----------------------------------
0 0 (342) (562) (1,101) (1,533)
(2,088) (2,011) (16,389) (34,615) (132,543) (292,206)
0 0 0 0 0 (11)
0 0 0 0 0 (2,133)
0 0 0 (80) 0 0
0 0 0 (4,745) 0 0
0 0 0 (60) 0 0
0 0 0 (3,587) 0 0
----------------------------------- ----------------------------------- -----------------------------------
(2,088) (2,011) (16,731) (43,649) (133,644) (295,883)
----------------------------------- ----------------------------------- -----------------------------------
0 0 5,765 8,012 17,577 23,790
25,337 43,469 113,445 251,525 600,585 2,050,531
0 0 0 0 0 0
0 0 0 0 0 0
0 0 335 698 1,038 1,515
1,933 1,876 13,931 34,688 103,501 240,203
0 0 (1,084) (6,691) (18,733) (8,901)
(4,781) (25,312) (96,870) (328,315) (780,591) (2,025,795)
22,489 20,033 35,522 (40,083) (76,623) 281,343
----------------------------------- ----------------------------------- -----------------------------------
23,732 23,289 39,544 (75,258) (110,869) (52,857)
----------------------------------- ----------------------------------- -----------------------------------
27,847 4,558 545,525 620,783 3,170,393 3,223,250
$ 51,579 $ 27,847 $ 585,069 $ 545,525 $ 3,059,524 $ 3,170,393
$ 859 $ 862 $ 15,404 $ 15,115 $ (2,104) $ (1,991)
</TABLE>
<TABLE>
<CAPTION>
Low Duration Fund Municipal Bond Fund
------------------------------------ --------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000
(Unaudited) (Unaudited)
<S> <C> <C> <C>
$ 142,985 $ 265,005 $ 1,244 $ 2,314
(3,659) (47,944) 342 (919)
28,341 (75,164) 710 (2,965)
------------------------------------ --------------------------------------
167,667 141,897 2,296 (1,570)
------------------------------------ --------------------------------------
(415) (545) (18) (21)
(142,569) (260,454) (1,223) (2,287)
0 (8) 0 0
0 (3,942) 0 0
0 0 0 0
0 0 0 0
0 0 0 0
0 0 0 0
------------------------------------ --------------------------------------
(142,984) (264,949) (1,241) (2,308)
------------------------------------ --------------------------------------
3,906 9,569 3,229 2,373
1,455,853 3,465,383 16,032 21,145
0 0 0 0
0 0 0 0
408 544 15 18
120,618 225,453 834 1,620
(2,453) (4,329) (3,738) (1,512)
(1,375,835) (3,454,487) (13,762) (25,741)
202,497 242,133 2,610 (2,097)
------------------------------------ --------------------------------------
227,180 119,081 3,665 (5,975)
------------------------------------ --------------------------------------
3,990,328 3,871,247 52,583 58,558
$ 4,217,508 $ 3,990,328 $ 56,248 $ 52,583
$ (8,388) $ (8,390) $ 7 $ 4
</TABLE>
See accompanying notes 113
<PAGE>
Statements of Changes in Net Assets (Cont.)
<TABLE>
<CAPTION>
New York Municipal
Amounts in thousands Bond Fund Real Return Bond Fund
------------------------------------- ----------------------------------
Six Months Ended Period from Six Months Ended Year Ended
Increase (Decrease) in Net Assets from: September 30, 2000 August 31, 1999 September 30, 2000 March 31, 2000
(Unaudited) to March 31, 2000 (Unaudited)
------------------------------------- ----------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 67 $ 70 $ 17,668 $ 7,689
Net realized gain (loss) 35 (4) 3,736 317
Net change in unrealized appreciation (depreciation) 51 (8) (575) 3,722
------------------------------------- ----------------------------------
Net increase (decrease) resulting from operations 153 58 20,829 11,728
------------------------------------- ----------------------------------
Distributions to Shareholders:
From net investment income
Class D 0 0 (936) (321)
Other Classes (67) (70) (16,830) (7,215)
In excess of net investment income
Class D 0 0 0 0
Other Classes 0 0 0 0
From net realized capital gains
Class D 0 0 0 (17)
Other Classes 0 0 0 (276)
In excess of net realized capital gains
Class D 0 0 0 0
Other Classes 0 (6) 0 0
------------------------------------- ----------------------------------
Total Distributions (67) (76) (17,766) (7,829)
------------------------------------- ----------------------------------
Fund Share Transactions:
Receipts for shares sold
Class D 0 10 16,518 16,706
Other Classes 0 3,010 296,596 236,282
Issued in reorganization
Class D 0 0 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Class D 0 0 898 319
Other Classes 68 76 13,757 5,502
Cost of shares redeemed
Class D 0 0 (3,480) (1,910)
Other Classes 0 0 (59,268) (19,148)
------------------------------------- ----------------------------------
Net increase (decrease) resulting from Fund share
transactions 68 3,096 265,021 237,751
------------------------------------- ----------------------------------
Net Assets:
Beginning of period 3,078 0 269,861 28,211
End of period * $ 3,232$ $ 3,078 $ 537,945 $ 269,861
*Including net undistributed (overdistributed)
investment income of: $ 0 $ 0 $ 925 $ 1,023
</TABLE>
<TABLE>
<CAPTION>
Short Duration
Amounts in thousands Municipal Income Fund
-----------------------------------------
Six Months Ended Period from
September 30, 2000 August 31, 2000
Increase (Decrease) in Net Assets from: (Unaudited) to March 31, 2000
-----------------------------------------
<S> <C> <C>
Operations:
Net investment income (loss) $ 264 $ 244
Net realized gain (loss) 20 (25)
Net change in unrealized appreciation (depreciation) 57 6
-----------------------------------------
Net increase (decrease) resulting from operations 341 225
-----------------------------------------
Distributions to Shareholders:
From net investment income
Class D 0 0
Other Classes (264) (241)
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 0
In excess of net realized capital gains
Class D 0 0
Other Classes 0 0
-----------------------------------------
Total Distributions (264) (241)
-----------------------------------------
Fund Share Transactions:
Receipts for shares sold
Class D 0 10
Other Classes 2,134 10,500
Issued in reorganization
Class D 0 0
Other Classes 0 0
Issued as reinvestment of distributions
Class D 0 0
Other Classes 263 241
Cost of shares redeemed
Class D 0 0
Other Classes (50) 0
Net increase (decrease) resulting from Fund share transactions 2,347 10,751
-----------------------------------------
Total Increase (Decrease) in Net Assets: 2,424 10,735
-----------------------------------------
Net Assets:
Beginning of period 10,735 0
End of period * $ 13,159 $ 10,735
*Including net undistributed (overdistributed) investment income of: $ 3 $ 3
</TABLE>
114 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Short-Term Fund StocksPLUS Fund Strategic Balanced Fund
------------------------------------- -------------------------------------- ------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C>
$ 22,504 $ 37,374 $ 20,908 $ 98,837 $ 2,788 $ 8,094
0 (1,776) 82,269 38,756 1,714 (274)
1,974 (3,309) (154,029) 87,250 (5,512) 4,531
------------------------------------- -------------------------------------- ------------------------------------
24,478 32,289 (50,852) 224,843 (1,010) 12,351
------------------------------------- -------------------------------------- ------------------------------------
(145) (198) (55) (227) (5) (9)
(22,302) (37,167) (24,077) (107,742) (2,686) (8,418)
0 0 0 0 0 0
0 0 0 0 0 0
0 0 0 (209) 0 (2)
0 0 0 (95,326) 0 (1,779)
0 0 0 (109) 0 (4)
0 0 0 (49,468) 0 (3,575)
------------------------------------- -------------------------------------- ------------------------------------
(22,447) (37,365) (24,132) (253,081) (2,691) (13,787)
------------------------------------- -------------------------------------- ------------------------------------
3,086 4,614 366 2,553 251 124
339,733 1,354,008 271,417 792,443 6,444 21,377
0 0 0 0 0 0
0 0 0 0 0 66,780
129 195 52 534 5 15
15,806 26,908 21,191 239,951 2,426 9,186
(1,159) (3,698) (420) (1,416) (117) (141)
(377,728) (1,269,938) (283,086) (708,774) (79,691) (39,025)
(20,133) 112,089 9,520 325,291 (70,682) 58,316
------------------------------------- -------------------------------------- ------------------------------------
(18,102) 107,013 (65,464) 297,053 (74,383) 56,880
------------------------------------- -------------------------------------- ------------------------------------
709,001 601,988 1,498,795 1,201,742 154,998 98,118
$ 690,899 $ 709,001 $ 1,433,331 $ 1,498,795 $ 80,615 $ 154,998
$ 413 $ 356 $ 35,165 $ 38,389 $ 1,892 $ 1,795
<CAPTION>
Total Return Fund Total Return Mortgage Fund
------------------------------------- -------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000
(Unaudited) (Unaudited)
<S> <C> <C> <C>
$ 1,101,116 $ 1,778,306 $ 374 $ 238
416,296 (847,388) 335 (6)
47,132 (242,138) 205 (78)
------------------------------------- -------------------------------------
1,564,544 688,780 914 154
------------------------------------- -------------------------------------
(3,438) (3,193) (7) (6)
(1,092,629) (1,698,045) (367) (232)
0 (138) 0 0
0 (72,908) 0 0
0 0 0 0
0 0 0 (3)
0 0 0 0
0 0 0 0
------------------------------------- -------------------------------------
(1,096,067) (1,774,284) (374) (241)
------------------------------------- -------------------------------------
64,841 71,612 234 176
6,657,867 13,430,759 12,558 51
0 0 0 0
0 0 0 0
3,407 3,317 7 5
859,979 1,410,633 366 235
(14,828) (27,553) (15) (212)
(4,027,301) (8,391,495) (1,481) (342)
3,543,965 6,497,273 11,669 (87)
------------------------------------- -------------------------------------
4,012,442 5,411,769 12,209 (174)
------------------------------------- -------------------------------------
31,536,273 26,124,504 4,137 4,311
$ 35,548,715 $ 31,536,273 $ 16,346 $ 4,137
$ (52,845) $ (57,894) $ 4 $ 4
</TABLE>
See accompanying notes 115
<PAGE>
Statements of Cash Flows
For the period ended September 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Amounts in thousands Foreign Real Return
Bond Fund Bond Fund
------------ ------------
<S> <C> <C>
Increase (Decrease) in Cash and Foreign Currency from:
Financing Activities
Sales of Fund shares $ 119,210 $ 307,065
Redemptions of Fund shares (97,844) (63,063)
Cash distributions paid (2,404) (3,148)
Increase (decrease) from financing transactions (43,910) 422,249
------------ ------------
Net increase (decrease) from financing activities (24,948) 663,103
============ ============
Operating Activities
Purchases of long-term securities and foreign currency (1,904,922) (1,820,178)
Proceeds from sales of long-term securities and foreign currency 1,986,404 1,226,460
Purchases of short-term securities (net) (66,101) (68,272)
Net investment income 17,021 17,668
Change in other receivables/payables (net) 475 (18,215)
------------ ------------
Net increase (decrease) from operating activities 32,877 (662,537)
============ ============
Net Increase in Cash and Foreign Currency 7,929 566
============ ============
Cash and Foreign Currency
Beginning of period 9,658 334
End of period $ 17,587 $ 900
------------ ------------
</TABLE>
116 See accompanying notes
<PAGE>
Notes to Financial Statements
September 30, 2000 (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 35 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, 2000. Information
presented in these financial statements pertains to the Class D shares of the
Trust. Certain detailed financial information for the Institutional,
Administrative, A, B, and C Classes (the "Other Classes") is provided separately
and is available upon request.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements in
conformity with accounting principles generally accepted in the United States.
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States 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 accounting principles
generally accepted in the United States. 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.
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.
117
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 2000 (Unaudited)
Federal Income Taxes. Each Fund intends to qualify as a regulated investment
company and distribute substantially all of its taxable income and net realized
gains, if applicable, to shareholders. Accordingly, no provision for Federal
income taxes has been made.
Financing Transactions. 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 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.
118
<PAGE>
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. and serves as
investment adviser (the "Adviser") to the Trust, pursuant to an investment
advisory contract. The Adviser receives a monthly fee from each Fund at an
annual rate based on average daily net assets of the Fund. The Advisory Fee is
charged at an annual rate of 0.20% for the Short Duration Municipal Income Fund;
0.40% for the Convertible, StocksPLUS and Strategic Balanced Funds; 0.45% for
Emerging Markets Bond Fund; 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' average daily net assets. The Administration Fee for Class D
is charged at the annual rate of 0.25% for the Low Duration, Short-Term, and
Total Return Funds; 0.35% for the Municipal Bond, California Intermediate
Municipal Bond, New York Municipal Bond and Short Duration Municipal Income
Funds; 0.45% for the Foreign Bond Fund; 0.55% for Emerging Markets Bond Fund;
and 0.40% for all other Funds. The Administration Fee for the Institutional and
Administrative Class is charged at the annual rate of 0.18% for the Low Duration
and Total Return Funds; 0.19% for the Short Duration Municipal Income Fund;
0.20% for the Short-Term Fund; 0.24% for the California Intermediate Municipal
Bond and New York Municipal Bond Funds; 0.40% for Emerging Markets Bond Fund;
and 0.25% for all other Funds. The Administration Fee for the A, B and C Classes
is charged at an annual rate of 0.35% for the California Intermediate Municipal
Bond, Municipal Bond, New York Intermediate Municipal Bond and Short-Term Funds;
0.45% for Foreign Bond Fund; 0.55% for Emerging Markets 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., serve as the distributor of the Trust's shares.
The Trust is permitted to reimburse, out of the Administrative Class assets
of each Fund offering Administrative Class shares in an amount up to 0.25% on an
annual basis of the average daily net assets of that class, financial
intermediaries that provide services in connection with the distribution of
shares or administration of plans or programs that use Fund shares as their
funding medium. The effective rate paid to PFD was 0.25% during current fiscal
year.
Pursuant to the Distribution and Serving Plans adopted by the A, B, C and D
Classes of the Trust, the Trust compensates PFD or an affiliate with respect to
Class D for services provided and expenses incurred in connection with
assistance rendered in the sales of shares and services rendered to shareholders
and for maintenance of shareholder accounts of the A, B, C, and D Classes. The
Trust paid PFD distribution and servicing fees at effective rate as set forth
below (calculated as a percentage of each Fund's average daily net assets
attributable to each class):
Allowable Rate
-----------------------------
Distribution Servicing
Fee (%) Fee (%)
-----------------------------------------------------------------------------
Class A
Money Market Fund -- 0.10
All other Funds -- 0.25
Class B
All Funds 0.75 0.25
Class C
Foreign Bond, High Yield
and Total Return Funds 0.75 0.25
Municipal Bond, Real Return Bond
Low Duration and StocksPLUS Funds 0.50 0.25
Short-Term Fund 0.30 0.25
Money Market Fund -- 0.10
Class D
All Funds -- 0.25
119
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 2000 (Unaudited)
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, 2000, PFD received $4,781,893 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. PIMCO has agreed to waive a portion of Convertible, Short Duration
Municipal Income, California Intermediate Municipal Bond and New York Municipal
Bond Funds administrative fees to the extent that the payment of each Fund's pro
rata share of Trustee fees and organizational expenses causes the actual expense
ratio to rise above the rates disclosed in the then-current prospectus plus 0.49
basic points as set forth below (calculated as a percentage of each Fund's
average daily net assets attributable to each class):
<TABLE>
<CAPTION>
Institutional Administrative Class A Class B Class C Class D
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Investment Grade
Corporate Bond Fund 0.50% 0.75% -- -- -- --
Convertible Fund 0.65% 0.90% 1.05% 1.80% 1.80% --
Short Duration Municipal
Income Fund 0.39% 0.64% -- -- -- 0.80%
California Intermediate
Municipal Bond Fund 0.49% 0.74% 0.85% -- -- 0.85%
New York Municipal
Bond Fund 0.49% 0.74% 0.85% -- -- 0.85%
</TABLE>
PIMCO may be reimbursed for these waived amounts in the future periods.
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, 2000 were as follows (amounts in thousands):
U.S. Government/Agency All Other
---------------------------------------------------
Purchases Sales Purchases Sales
--------------------------------------------------------------------------------
California Intermediate
Municipal Bond Fund $ 0 $ 0 $ 212,882 $ 135,822
California Municipal
Bond Fund 108 0 41,539 33,295
Convertible Fund 0 0 153,607 160,927
Foreign Bond Fund 1,600,643 1,431,459 624,510 574,400
High Yield Fund 0 6,402 474,059 747,037
Low Duration Fund 3,758,313 3,762,409 1,465,574 692,820
Municipal Bond Fund 108 0 83,024 84,009
New York Municipal
Bond Fund 0 0 19,752 19,614
Real Return Bond Fund 1,351,736 1,175,196 493,404 43,416
Short Duration
Municipal Income Fund 0 0 11,142 8,768
Short-Term Fund 260,278 282,834 406,785 82,275
StocksPLUS Fund 300,346 252,736 514,580 247,174
Strategic Balanced Fund 457,515 496,735 112,546 140,586
Total Return Fund 83,997,342 74,490,752 9,558,193 7,800,637
Total Return Mortgage Fund 65,795 52,731 5,445 1,769
5. Federal Income Tax Matters
As March 31, 2000, the Funds listed in the table below had remaining capital
loss carryforwards that were realized or acquired in prior years. Use of the
acquired capital loss carryforwards may be limited under current tax laws.
Additionally, the California Intermediate Municipal Bond, High Yield, Low
Duration, Municipal Bond, New York Intermediate Municipal Bond, Real Return,
Short Duration Municipal Income, Short-Term, Total Return, and Total Return
Mortgage Funds realized capital losses and/or foreign currency losses during the
period November 1, 1999 through March 31, 2000 which the Fund elected to defer
to the following fiscal year pursuant to income tax regulations. The amounts are
$12,205, $43,449,654, $17,470,237, $526,178, $10,244, $342,135, $22,082,
$1,382,953, $243,968,849, and $5,145 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
--------------------------------------------
Foreign Bond Fund $ 10,316,442 $ 0 03/31/2008
High Yield Fund 39,492,722 0 03/31/2008
High Yield Fund 0 48,559,227 03/31/2002
Low Duration Fund 42,174,597 0 03/31/2008
Municipal Bond Fund 391,768 0 03/31/2008
Municipal Bond Fund 5,734 0 03/31/2007
Short Duration Municipal Income Fund 2,501 0 03/31/2008
Short-Term Fund 412,413 0 03/31/2008
Short-Term Fund 109,956 0 03/31/2007
Total Return Fund 750,096,993 0 03/31/2008
Total Return Mortgage Fund 1,080 0 03/31/2008
120
<PAGE>
6. Transactions in Written Call and Put Options
Transactions in written call and put options were as follows (amounts in
thousands):
<TABLE>
<CAPTION>
Foreign Bond Low Duration StocksPLUS Strategic Balanced Total Return
Fund Fund Fund Fund Fund
------------------------------------------------------------------------------------
Premium
------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Balance at 03/31/2000 $ 473 $ 3,873 $ 1,231 $ 692 $ 31,722
Sales 1,602 2,116 6,831 643 57,025
Closing Buys (363) (78) 3,943 (275) (29,554)
Expirations (857) (2,092) (9,955) (1,060) (18,184)
Exercised 0 0 0 0 (216)
------------------------------------------------------------------------------------
Balance at 09/30/2000 $ 855 $ 3,819 $ 2,050 $ (0) $ 40,793
====================================================================================
</TABLE>
7. 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>
Value of Total Net
Shares Shares Total Net Total Net Assets of Acquired
Issued by Issued by Assets of Assets of Acquiring Fund's
Acquiring Acquiring Acquired Acquiring Fund After Unrealized
Acquiring Fund Acquired Fund Date Fund Fund Fund Fund Acquisition Depreciation
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
PIMCO PIMCO
Strategic Balanced Fund Balanced Fund 09/17/1999 5,137 $ 66,780 $ 66,780 $ 105,993 $ 172,774 $ (45)
</TABLE>
8. Line of Credit
Effective December 30, 1999, the funds, along with certain other funds managed
by PIMCO, entered into an unsecured $100,000,000 bank line of credit agreement
with State Street Bank & Trust Company. Borrowings under the agreement bear
interest at the Fed Funds plus 50 basis points or the Base Rate, which is
typically the Prime Rate. The funds may borrow money solely for temporary
purposes to fund shareholder redemptions. The funds did not borrow from the line
during the period April 1, 2000 through September 30, 2000.
9. Acquisition by Allianz AG
On May 5, 2000, Allianz AG completed the acquisition of approximately 70% of the
outstanding partnership interest in PIMCO Advisors L.P. ("PIMCO Advisors"), of
which PIMCO is a subsidiary partnership. As a result of this transaction, PIMCO
Advisors, and its subsidiaries, are now controlled by Allianz AG, a leading
provider of financial services, particularly in Europe. PIMCO remains
operationally independent, continues to operate under its existing name, and now
leads the global fixed-income efforts of Allianz AG. Key employees at each PIMCO
Advisors' investment units, including PIMCO's Bill Gross, have signed long-term
employment contracts and have significant profit-sharing and retention
arrangements to ensure continuity of the investment process and staff. With the
addition of PIMCO Advisors, the Allianz Group manages assets of approximately
US$650 billion, including more than 300 mutual funds for retail and
institutional clients around the world.
121
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 2000
10. 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>
California
California Intermediate Municipal
Municipal Bond Fund Bond Fund
--------------------------------------------- -----------------
Period Ended Period from 01/31/2000 Period Ended
09/30/2000 to 03/31/2000 09/30/2000
Shares Amount Shares Amount Shares Amount
--------------------------------------------- -----------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Class D 2 $ 25 1 $ 10 1 $ 10
Other classes 12,006 120,329 1,075 10,729 1,862 18,629
Shares issued in reorganization
Class D 0 0 0 0 0 0
Other classes 0 0 0 0 0 0
Issued as reinvestment of distributions
Class D 0 0 0 0 0 0
Other classes 150 1,537 10 103 18 183
Cost of shares redeemed
Class D 0 0 0 0 0 0
Other classes (3,409) (34,353) (68) (675) (1,002) (10,286)
--------------------------------------------- ----------------
Net increase (decrease) resulting from Fund share
transactions 8,749 $ 87,538 1,018 $ 10,167 879 $ 8,536
============================================= =================
<CAPTION>
Convertible Fund
----------------------------------------------
Period Ended Period from 01/31/2000
09/30/2000 to 03/31/2000
Shares Amount Shares Amount
----------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 0 $ 0 1 $ 10
Other classes 3,477 51,437 14,353 190,493
Shares issued in reorganization
Class D 0 0 0 0
Other classes 0 0 0 0
Issued as reinvestment of distributions
Class D 0 0 0 0
Other classes 69 967 145 2,104
Cost of shares redeemed
Class D 0 0 0 0
Other classes (4,803) (70,532) (2,824) (42,473)
----------------------------------------------
Net increase (decrease) resulting from Fund share
transactions (1,257) $ (18,128) 11,675 $ 150,134
==============================================
</TABLE>
<TABLE>
<CAPTION>
New York
Municipal Bond Fund Municipal Bond Fund
-------------------------------------- --------------------------------------
Period Ended Year Ended Period Ended Period from 01/31/2000
09/30/2000 03/31/2000 09/30/2000 to 03/31/2000
Shares Amount Shares Amount Shares Amount Shares Amount
-------------------------------------- --------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Class D 341 $ 3,229 251 $ 2,373 0 $ 0 1 $ 10
Other classes 1,705 16,032 2,204 21,145 0 0 301 3,010
Shares issued in reorganization
Class D 0 0 0 0 0 0 0 0
Other classes 0 0 0 0 0 0 0 0
Issued as reinvestment of distributions
Class D 2 15 2 18 0 0 0 0
Other classes 88 834 169 1,620 6 67 8 76
Cost of shares redeemed
Class D (393) (3,738) (161) (1,512) 0 0 0 0
Other classes (1,448) (13,762) (2,700) (25,741) 0 0 0 0
-------------------------------------- --------------------------------------
Net increase (decrease) resulting from Fund share
transactions 295 $ 2,610 (235) $ (2,097) 6 $ 67 310 $ 3,096
-------------------------------------- --------------------------------------
</TABLE>
122
<PAGE>
<TABLE>
<CAPTION>
Emerging Markets Bond Fund Foreign Bond Fund
---------------------------------------------------- --------------------------------------------------
Period Ended Year Ended Period Ended Year Ended
09/30/2000 03/31/2000 09/30/2000 03/31/2000
Amount Shares Amount Shares Amount Shares Amount Shares
---------------------------------------------------- --------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
0 $ 0 1 $ 10 573 $ 5,765 785 $ 8,012
3,074 25,335 5,669 43,459 11,284 113,446 24,699 251,525
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 33 335 69 698
226 1,933 234 1,876 1,386 13,931 3,422 34,688
0 0 0 0 (108) (1,084) (662) (6,691)
(567) (4,781) (3,278) (25,312) (9,643) (96,870) (32,310) (328,315)
---------------------------------------------------- --------------------------------------------------
2,733 $ 22,487 2,626 $ 20,033 3,525 $ 35,523 (3,997) $ (40,083)
==================================================== ==================================================
<CAPTION>
High Yield Fund Low Duration Fund
---------------------------------------------------- --------------------------------------------------
Period Ended Year Ended Period Ended Year Ended
09/30/2000 03/31/2000 09/30/2000 03/31/2000
Amount Shares Amount Shares Amount Shares Amount Shares
---------------------------------------------------- --------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1,726 $ 17,577 2,194 $ 23,790 396 $ 3,906 968 $ 9,569
59,107 600,585 189,148 2,050,531 148,461 1,455,853 349,686 3,465,383
0 0 0 0 0 0 0
0 0 0 0 0 0 0
102 1,038 142 1,515 42 408 55 544
10,203 103,501 22,334 240,203 12,287 120,618 22,786 225,453
(1,838) (18,733) (835) (8,901) (250) (2,453) (438) (4,329)
(76,918) (780,591) (189,837) (2,025,795) (140,222) (1,375,83) (349,184) (3,454,487)
---------------------------------------------------- --------------------------------------------------
(7,618) $ (76,623) 23,146 $ 281,343 20,714 $ 202,497 23,873 $ 242,133
==================================================== ==================================================
</TABLE>
<TABLE>
<CAPTION>
Short Duration
Real Return Bond Fund Municipal Income Fund
---------------------------------------------------- --------------------------------------------------
Period Ended Year Ended Period Ended Year Ended
09/30/2000 03/31/2000 09/30/2000 to 03/31/2000
Amount Shares Amount Shares Amount Shares Amount Shares
---------------------------------------------------- --------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1,680 $ 16,518 1,714 $ 16,706 0 $ 0 1 $ 10
30,503 296,595 24,213 236,282 214 2,134 1,050 10,500
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
104 898 33 319 0 0 0 0
1,607 13,757 563 5,502 26 263 24 241
(351) (3,480) (197) (1,910) 0 0 0 0
(6,389) (59,268) (1,964) (19,148) (5) (50) 0 0
---------------------------------------------------- --------------------------------------------------
27,154 $ 265,020 24,362 $ 237,751 235 $ 2,347 1,075 $ 10,751
==================================================== ==================================================
<CAPTION>
Short-Term Fund StocksPLUS Fund
---------------------------------------------------- --------------------------------------------------
Period Ended Year Ended Period Ended Year Ended
09/30/2000 03/31/2000 09/30/2000 03/31/2000
Amount Shares Amount Shares Amount Shares Amount Shares
---------------------------------------------------- --------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
310 $ 3,086 462 $ 4,614 27 $ 366 178 $ 2,553
34,130 339,733 135,826 1,354,008 19,805 271,417 55,051 792,443
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
13 129 20 195 4 52 38 534
1,588 15,806 2,701 26,908 1,569 21,191 17,123 239,951
(116) (1,159) (371) (3,698) (30) (420) (103) (1,416)
(37,939) (377,728) (127,382) (1,269,938) (20,696) (283,086) (49,851) (708,774)
---------------------------------------------------- --------------------------------------------------
(2,014) $ (20,133) 11,256 $ 112,089 679 $ 9,520 22,436 $ 325,291
==================================================== ==================================================
</TABLE>
123
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 2000
10. 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>
Strategic Balanced Fund Total Return Fund
------------------------------------------- ----------------------
Period Ended Year Ended Period Ended
09/30/2000 03/31/2000 09/30/2000
Shares Amount Shares Amount Shares Amount
------------------------------------------- ----------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Class D 20 $ 251 9 $ 124 6,498 $ 64,841
Other classes 515 6,444 1,650 21,377 667,698 6,657,867
Shares issued in reorganization
Class D 0 0 0 0 0 0
Other classes 0 0 5,137 66,780 0 0
Issued as reinvestment of
distributions
Class D 0 5 1 15 341 3,407
Other classes 203 2,426 715 9,186 86,147 859,979
Cost of shares redeemed
Class D (9) (117) (11) (141) (1,486) (14,828)
Other classes (6,265) (79,691) (3,062) (39,025) (404,805) (4,027,301)
------------------------------------------- ----------------------
Net increase (decrease) resulting from
Fund share transactions (5,536) $ (70,682) 4,439 $ 58,316 354,393 $ 3,543,965
=========================================== ======================
<CAPTION>
Total Return Fund Total Return Mortgage Fund
------------------------ ---------------------------------------------------
Year Ended Period Ended Year Ended
03/31/2000 09/30/2000 03/31/2000
Shares Amount Shares Amount Shares Amount
------------------------ ---------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Class D 7,143 $ 71,612 21 $ 234 18 $ 176
Other classes 1,337,991 3,430,759 1,278 12,558 5 51
Shares issued in reorganization
Class D 0 0 0 0 0 0
Other classes 0 0 0 0 0 0
Issued as reinvestment of
distributions
Class D 332 3,317 1 7 1 5
Other classes 140,752 1,410,633 36 366 24 235
Cost of shares redeemed
Class D (2,759) (27,553) (1) (15) (21) (212)
Other classes (838,481) (8,391,495) (146) (1,481) (34) (342)
------------------------ ---------------------------------------------------
Net increase (decrease) resulting from
Fund share transactions 644,982 $ 6,497,273 1,189 $ 11,669 (7) $ (87)
======================== ===================================================
</TABLE>
124
<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 State Street Bank & Trust Co., 801 Pennsylvania, Kansas
City, MO 64105
--------------------------------------------------------------------------------
Shareholder PFPC Global Fund Services, Inc., P.O. Box 9688,
Servicing Agent and Providence, RI 02940-9688
Transfer Agent
--------------------------------------------------------------------------------
Independent PricewaterhouseCoopers LLP, 1055 Broadway, Kansas City,
Accountant MO, 64105
--------------------------------------------------------------------------------
Legal Counsel Dechert Price & Rhoads, 1775 Eye Street, Washington,
DC, 20006
--------------------------------------------------------------------------------
For Account For PIMCO Funds account information contact your
Information financial advisor, or if you receive account statements
directly from PIMCO Funds, you can also call
1-800-426-0107. Telephone representatives are available
Monday - Friday 8:30 am to 8:00 pm Eastern Time.
<PAGE>
For the Best in Online Bond Information,
Visit www.pimcofunds.com/bondcenter
For comprehensive, up-to-date information on bonds and bond investing, visit the
PIMCO Funds Bond Center at www.pimcofunds.com. Rely on the Bond Center to bring
you the latest information from PIMCO's world-class team of investment
professionals led by PIMCO founder Bill Gross. Highlights include:
|_| Investment Outlook--Bill Gross's monthly newsletter on economic and interest
rate trends.
|_| Manager Commentary--Read insight from PIMCO bond managers on the economy and
its impact on their funds.
|_| Sector Strategy White Papers--PIMCO Fund managers provide in-depth
examinations of fund sectors and discuss strategy.
|_|Economic Data Analysis--Timely analysis of recent economic trends and data
from PIMCO's point of view.
|_| Media Highlights--Stay abreast of PIMCO Fund manager appearances and
coverage of our Funds.
How to get there
To visit the Bond Center, point your browser to www.pimcofunds.com/bondcenter.
More inside--for a complete update on the PIMCO Funds Bond Center, turn to
page 6.
PZ017.9/00
--------------
BULK RATE
U.S. POSTAGE
[LOGO OF PIMCO FUNDS] PAID
SMITHTOWN, NY
PERMIT NO. 700
--------------
PIMCO Funds
Distributors LLC
2187 Atlantic Street
Stamford, CT 06902
<PAGE>
[LOGO OF PIMCO FUNDS]
PRIVATE ACCOUNT PORTFOLIO SERIES
SEMI-ANNUAL REPORT
September 30, 2000
The Portfolios issue shares only in private placement transactions in
accordance with Regulation D or other applicable exemptions under the Securities
Act of 1933, as amended (the "Securities Act"). The enclosed report is not an
offer to sell, or a solicitation of any offer to buy, any security to the public
within the meaning of the Securities Act.
<PAGE>
Contents
Chairman's Message .............................1
Financial Highlights ..........................10
Statements of Assets and Liabilities ..........12
Statements of Operations ......................14
Statements of Changes in Net Assets ...........16
Statements of Cash Flows ......................18
Notes to Financial Statements .................51
Fund Schedule of
Summary Investments
Short-Term Portfolio ...........................2 19
U.S. Government Sector Portfolio ...............3 21
Mortgage Portfolio .............................4 25
Real Return Bond Portfolio .....................5 34
Investment Grade Corporate Portfolio ...........6 36
Municipal Sector Portfolio .....................7 40
International Portfolio ........................8 42
Emerging Markets Portfolio .....................9 48
<PAGE>
Chairman's Letter
Dear PIMCO Funds Shareholder:
We are pleased to present you with this semi-annual report for the Private
Account Portfolio Series, the separate portfolios of the PIMCO Funds: Pacific
Investment Management Series. The Private Account Portfolio Series grew to more
than $5.5 billion in assets through the half-year period ended September 30,
2000.
In sharp contrast to last year, bonds are outperforming stocks in 2000. For the
six-month period ended September 30, 2000, equity indices were in negative
territory with the S&P 500 Composite Stock Price Index at -3.60% and the NASDAQ
Composite Index at -19.68%. However, the Lehman Brothers Aggregate Bond Index,
generally regarded as representative of the bond market as a whole, was up 4.81%
for the six-month period ended September 30, 2000.
Intermediate maturity Treasuries rallied during the semi-annual period with
yields on two, five and ten-year notes falling as much as 0.52%. With yields on
30-year Treasuries remaining virtually unchanged, the long end of the yield
curve reverted to a positive slope for the first time since mid-January 2000.
However, yields on 3-month Treasuries increased by 0.32% to finish the quarter
at 6.20%.
The Federal Reserve raised the federal funds rate by 0.50% to 6.50% on May 16,
2000, the highest level in nine years and the sixth rate increase since June
1999. Since then, signs of a cooling economy have allowed the Fed to leave rates
unchanged. Optimism grew that the Fed's tightening cycle was over and its next
move might be to ease. The potential for a less restrictive Fed boosted demand
for two, five and ten-year notes. For much of this year, investors were anxious
to buy long-term Treasuries because of concern that buybacks financed by the
federal budget surplus would create a scarcity of high quality 30-year bonds.
However, support for the 30-year bond eroded during the third quarter, as the
major presidential candidates' tax cut and spending plans threatened to consume
the surplus.
We are pleased to announce the addition of three fixed income portfolios to the
Private Account Portfolio Series during the six-month period ended September 30,
2000: the Short-Term, Real Return Bond and Municipal Sector Portfolios. The
Portfolios were launched in an effort to further compliment our product offering
and broaden the range of investment options available to investors.
On the following pages you will find specific details as to each Portfolio's
composition and total return investment performance including a discussion of
those factors that affected investment performance.
We appreciate the trust you have placed in us through your investments, and we
will continue to focus our efforts to meet your investment needs. If you have
any questions regarding your PIMCO Funds investment, please contact your account
manager, or call one of our shareholder associates at 1-800-927-4648. We also
invite you to visit our Web site at www.pimco.com.
Sincerely,
/s/ Brent R. Harris
Brent R. Harris
Chairman of the Board
October 31, 2000
2000 Semi-Annual Report 1
<PAGE>
PIMCO Short-Term Portfolio
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and daily
liquidity
Portfolio:
Primarily money market instruments and short duration fixed income securities
Duration:
0.6 years
Total Net Assets:
$103.7 million
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Sector Breakdown:*
[GRAPH]
Corporate Bonds & Notes 57.6%
Mortgage-Backed Securities 28.3%
U.S. Government Agencies 6.8%
Asset-Backed Securities 6.1%
Other 1.2%
Quality Breakdown:*
[GRAPH]
AAA 41.3%
AA 4.0%
A 15.5%
BBB 39.2%
*% of Total Investments as of September 30, 2000
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that Portfolio shares, when redeemed, may be
worth more or less than their original cost. The Portfolio commenced operations
on 4/20/2000. The total return performance since inception was 3.73%. The
Portfolio's benchmark is the Salomon 3-Month Treasury Bill Index.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Short-Term Portfolio returned 3.73% since inception through September
30, 2000.
. An above-Index duration detracted from returns as short-term Treasury
interest rates rose over the period.
. An allocation to mortgage-backed securities was positive for performance as
mortgages outperformed due to relatively high yields and low market
volatility.
. The Portfolio's investment-grade corporate holdings enhanced performance as
investors sought the relatively wide yield premiums for short maturities.
. Emerging market bonds helped returns as yield premiums narrowed due to
stronger economies and debt restructuring.
2 PIMCO Funds
<PAGE>
PIMCO U.S. Government Sector Portfolio
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with prudent investment management
Portfolio:
Primarily U.S. government securities
Duration:
10.6 years
Total Net Assets:
$735.4 million
Sector Breakdown:*
[GRAPH]
U.S. Treasury Obligations 45.4%
U.S. Government Agencies 20.9%
Corporate Bonds and Notes 19.8%
Asset-Backed Securities 5.8%
Other 8.1%
Quality Breakdown:*
[GRAPH]
AAA 76.2%
AA 4.9%
A 13.4%
BBB 5.5%
* % of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
U.S. Government Salomon 3-Month Lehman Brothers
Sector Portfolio Treasury Bill Long-Term Government
(Incep. 1/31/2000) Index Index
--------------------------------------------------------------------------------
6 Months 5.78% 2.94% 3.94%
Since Inception 12.77% -- --
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2000
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Salomon Lehman Brothers
Month U.S. Government 3-Month Treasury Long-Term Government
Sector Portfolio Bill Index Index
<S> <C> <C> <C>
01/31/2000 5,000,000 5,000,000 5,000,000
02/29/2000 5,135,000 5,021,499 5,146,501
03/31/2000 5,330,522 5,045,100 5,313,765
04/30/2000 5,295,386 5,068,812 5,269,127
05/31/2000 5,290,367 5,093,649 5,246,995
06/30/2000 5,466,324 5,117,588 5,365,576
07/31/2000 5,537,250 5,142,153 5,456,790
08/31/2000 5,668,968 5,167,606 5,583,386
09/30/2000 5,638,655 5,193,444 5,523,085
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that Portfolio shares, when redeemed, may be
worth more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 2/01/2000, the first full month following the
Portfolio's inception date on 1/31/2000, compared to the Salomon 3-Month
Treasury Bill Index and the Lehman Brothers Long-Term Government Index, each an
unmanaged market index.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The U.S. Government Sector Portfolio's investment objective is to seek
maximum total return, consistent with prudent investment management.
. The Portfolio normally invests at least 65% of its assets in a portfolio of
U.S. government securities of varying maturities, which may be represented
by certain derivative instruments.
. The U.S. Government Sector Portfolio had a total return of 5.78% for the
six-month period ended September 30, 2000.
. Emphasis on intermediate maturities during the later part of the
performance period helped returns as this portion of the yield curve
outperformed.
. Premium income generated from written options added modestly to performance
despite heightened interest rate volatility.
2000 Semi-Annual Report 3
<PAGE>
PIMCO Mortgage Portfolio
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with prudent investment management
Portfolio:
Primarily mortgage-related fixed income securities
Duration:
4.1 years
Total Net Assets:
$3.6 billion
Sector Breakdown:*
[GRAPH]
Mortgage-Backed Securities 76.1%
Asset-Backed Securities 13.9%
Corporate Bonds & Notes 6.0%
Other 4.0%
Quality Breakdown:*
[GRAPH]
AAA 88.9%
AA 3.3%
A 4.5%
BBB 3.3%
* % of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Mortgage Salomon 3-Month Lehman Brothers
Portfolio Treasury Bill Mortgage
(Incep. 1/31/2000) Index Index
--------------------------------------------------------------------------------
6 Months 4.72% 2.94% 5.55%
Since Inception 8.08% -- --
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2000
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Salomon
Month Mortgage 3-Month Treasury Lehman Brothers
Portfolio Bill Index Mortgage Index
<S> <C> <C> <C>
01/31/2000 5,000,000 5,000,000 5,000,000
02/29/2000 5,085,000 5,021,499 5,057,965
03/31/2000 5,160,295 5,045,100 5,113,285
04/30/2000 5,155,266 5,068,812 5,116,793
05/31/2000 5,150,236 5,093,649 5,119,150
06/30/2000 5,251,091 5,117,588 5,228,582
07/31/2000 5,286,605 5,142,153 5,262,165
08/31/2000 5,357,635 5,167,606 5,341,925
09/30/2000 5,403,807 5,193,444 5,397,302
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that Portfolio shares, when redeemed, may be
worth more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 2/01/2000, the first full month following the
Portfolio's inception date on 1/31/2000, compared to the Salomon 3-Month
Treasury Bill Index and the Lehman Brothers Mortgage Index, each an unmanaged
market index.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The PIMCO Private Account Portfolio Series Mortgage Portfolio returned
4.72% for the six-month period ended September 30, 2000, outperforming the
2.94% return of the Salomon 3-Month Treasury Bill Index.
. The Portfolio's holdings of GNMA mortgages hurt performance as GNMA's gave
back some of the gains they had generated earlier in the year versus
conventional mortgages.
. The Portfolio's slightly lowered duration had a negative impact on
performance as intermediate rates fell.
. A broader maturity distribution hurt returns as issues with long maturity
dates significantly underperformed issues with short maturity dates.
. The Portfolio's use of Adjustable Rate Mortgages (ARMs) helped performance
as they enjoyed high yields and strong investor demand.
4 PIMCO Funds
<PAGE>
PIMCO Real Return Bond Portfolio
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with prudent investment management
Portfolio:
Primarily inflation-indexed fixed income securities
Duration:
3.4 years
Total Net Assets:
$140.6 million
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Sector Breakdown:*
[GRAPH]
U.S. Treasury Obligations 73.4%
Corporate Bonds & Notes 17.1%
Other 9.5%
Quality Breakdown:*
[GRAPH]
AAA 80.3%
AA 9.1%
A 5.3%
BBB 5.3%
* % of Total Investments as of September 30, 2000
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that Portfolio shares, when redeemed, may be
worth more or less than their original cost. The Portfolio commenced operations
on 4/28/2000. The total return performance since inception was 4.22%. The
Portfolio may invest in foreign securities which involve potentially higher
risks including foreign currency fluctuations and political or economic
uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Real Return Bond Portfolio returned 4.22% from its inception on April
28, 2000 through September 30, 2000.
. The Portfolio will normally invest at least 65% of its assets in
inflation-indexed debt securities.
. The Portfolio's intermediate real yield duration did not affect performance
significantly as real yields changed only marginally.
. The Portfolio's holdings of intermediate maturities benefited performance
as intermediate real yields dropped slightly for the May to September
period, while long-maturity real yields rose marginally.
. Holdings of intermediate maturities allowed for an increased capture of
inflation as intermediate Treasury Inflation Protection Securities (TIPS)
have lower real yield durations but receive the same inflation adjustments
as long-maturity TIPS.
. The use of short duration, high quality cash-backing portfolios and TIPS
buy-forwards boosted performance as conventional interest rates declined
during the May to September time period.
2000 Semi-Annual Report 5
<PAGE>
PIMCO Investment Grade Corporate Portfolio
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with prudent investment management
Portfolio:
Primarily corporate fixed income securities
Duration:
3.9 years
Total Net Assets:
$506.7 million
Sector Breakdown:*
[GRAPH]
Corporate Bonds and Notes 92.3%
Other 7.7%
Quality Breakdown:*
[GRAPH]
AAA 7.4%
AA 6.1%
A 38.5%
BBB 47.8%
BB 0.2%
* % of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Investment Grade Salomon 3-Month Lehman Brothers
Corporate Portfolio Treasury Bill Intermediate Credit
(Incep. 1/26/2000) Index Index
--------------------------------------------------------------------------------
6 Months 4.41% 2.94% 4.69%
Since Inception 6.61% -- --
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2000
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Investment Grade Salomon Lehman Brothers
Month Corporate 3-Month Treasury Intermediate Credit
Portfolio Bill Index Index
<S> <C> <C> <C>
01/31/2000 5,000,000 5,000,000 5,000,000
02/29/2000 5,060,120 5,021,499 5,040,872
03/31/2000 5,115,509 5,045,100 5,083,626
04/30/2000 5,080,160 5,068,812 5,054,370
05/31/2000 5,090,260 5,093,649 5,052,015
06/30/2000 5,186,549 5,117,588 5,157,097
07/31/2000 5,227,630 5,142,153 5,204,542
08/31/2000 5,294,388 5,167,606 5,271,160
09/30/2000 5,341,134 5,193,444 5,322,291
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that Portfolio shares, when redeemed, may be
worth more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 2/01/2000, the first full month following the
Portfolio's inception date on 1/26/2000, compared to the Salomon 3-Month
Treasury Bill Index and the Lehman Brothers Intermediate Credit Index, each an
unmanaged market index.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Investment Grade Corporate Portfolio returned 4.41% for the six-month
period ended September 30, 2000, compared to 2.94% for the Salomon 3-Month
Treasury Bill Index.
. An elevated duration had a positive impact on returns during the period as
intermediate rates fell.
. Reducing consumer cyclicals added to returns as excess capacity and reduced
demand caused this sector to underperform.
. Holdings of transportation-related companies, especially Equipment Trust
Certificates (ETCs), boosted returns as strong demand more-than-offset
higher oil prices.
. An allocation to high yield bonds was negative amid concern about credit
weakness in the sector as growth began to slow.
. A small allocation to mortgage-backed securities was neutral as they
performed similarly to corporates.
6 PIMCO Funds
<PAGE>
PIMCO Municipal Sector Portfolio
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with prudent investment management
Portfolio:
Primarily municipal securities
Duration:
4.3 years
Total Net Assets:
$26.8 million
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Regional Breakdown:*
[GRAPH]
Alabama 16.5%
Texas 13.7%
New York 10.5%
California 7.4%
Florida 6.8%
Mississippi 6.3%
Massachusetts 6.2%
Kansas 5.3%
Other 27.3%
Quality Breakdown:*
[GRAPH]
AAA 62.3%
AA 35.1%
A 2.6%
*% of Total Investments as of September 30, 2000
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that Portfolio shares, when redeemed, may be
worth more or less than their original cost. The Portfolio commenced operations
on 8/21/2000. The total return performance since inception was -0.70%.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Municipal Sector Portfolio commenced operations on August 21, 2000.
. The Portfolio will not seek to minimize taxable income and realized capital
gains and, as a result, may generate substantial taxable income and capital
gains.
. The Portfolio will normally invest at least 65% of its assets in debt
securities issued by state and local governments or their agencies,
authorities or other instrumentalities.
. The Portfolio, which can only invest in investment-grade securities, had an
average AAA credit quality at September 30, 2000.
. At September 30, the Portfolio consisted mostly of longer duration current
coupon or discount municipal issues, having attractive risk-adjusted yields
compared to similar duration Treasuries.
2000 Semi-Annual Report 7
<PAGE>
PIMCO International Portfolio
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with prudent investment management
Portfolio:
Primarily non-U.S. fixed income securities
Duration:
3.5 years
Total Net Assets:
$1.5 billion
Country Allocation:*
[GRAPH]
United States 49.2%
Italy 6.3%
Short-Term Instruments 17.7%
Other 26.8%
Quality Breakdown:*
[GRAPH]
AAA 61.0%
AA 21.4%
A 10.6%
BBB 7.0%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
<TABLE>
<CAPTION>
International Salomon Salomon Bros. Lehman
Portfolio 3-Month J.P. Morgan World Gov. Brothers
(Incep. Treasury Bill Non-U.S. Index Bond Index Aggregate
12/13/1989) Index (Hedged) (Currency Hedged) Bond Index
----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
6 Months 2.84% 2.94% 3.47% 4.34% 4.81%
1 Year 3.60% 5.62% 6.95% 7.86% 6.99%
3 Years* 3.65% 5.15% 7.65% 7.96% 5.93%
5 Years* 8.48% 5.21% 9.61% 9.38% 6.47%
10 Years* 8.37% 4.89% 9.16% 9.45% 8.05%
Since Inception* 7.96% -- -- -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2000
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Salomon Bros. Lehman
Salomon World Gov. Brothers
International 3-Month Treasury J.P. Morgan Non-U.S. Bond Index Aggregate
Month Portfolio Bill Index Index (Hedged) (Currency Hedged) Bond Index
<S> <C> <C> <C> <C> <C>
12/31/1989 5,000,000 5,000,000 5,000,000 5,000,000 5,000,000
01/31/1990 4,944,945 5,033,000 4,894,002 4,901,150 4,940,584
02/28/1990 4,859,860 5,063,192 4,822,549 4,828,122 4,956,571
03/31/1990 4,924,925 5,097,117 4,826,888 4,825,757 4,960,222
04/30/1990 4,894,711 5,130,239 4,824,957 4,821,703 4,914,778
05/31/1990 4,980,318 5,165,123 4,945,583 4,941,474 5,060,297
06/30/1990 5,060,889 5,198,699 4,971,299 4,967,367 5,141,490
07/31/1990 5,189,338 5,233,007 4,995,162 4,986,841 5,212,613
08/31/1990 5,101,993 5,267,019 4,923,731 4,919,619 5,143,001
09/30/1990 5,096,855 5,299,147 4,900,097 4,892,214 5,185,549
10/31/1990 5,191,047 5,332,008 5,035,831 5,032,474 5,251,385
11/30/1990 5,295,705 5,363,473 5,113,886 5,114,856 5,364,426
12/31/1990 5,353,791 5,398,336 5,164,511 5,165,902 5,448,011
01/31/1991 5,461,621 5,429,107 5,262,640 5,264,004 5,515,358
02/28/1991 5,537,103 5,455,710 5,343,157 5,341,333 5,562,437
03/31/1991 5,493,971 5,484,079 5,351,704 5,344,163 5,600,705
04/30/1991 5,571,350 5,510,402 5,390,773 5,370,404 5,661,380
05/31/1991 5,598,986 5,536,853 5,432,283 5,402,195 5,694,486
06/30/1991 5,576,878 5,562,322 5,392,084 5,372,971 5,691,591
07/31/1991 5,627,372 5,589,022 5,422,820 5,421,916 5,770,519
08/31/1991 5,756,415 5,615,290 5,504,703 5,492,130 5,895,393
09/30/1991 5,868,626 5,639,998 5,585,071 5,581,764 6,014,854
10/31/1991 5,919,955 5,664,813 5,629,192 5,621,505 6,081,823
11/30/1991 5,937,064 5,687,473 5,634,259 5,639,437 6,137,588
12/31/1991 6,117,563 5,708,517 5,727,223 5,739,764 6,319,864
01/31/1992 6,123,555 5,728,497 5,781,061 5,787,804 6,233,887
02/29/1992 6,153,514 5,746,254 5,800,139 5,807,080 6,274,421
03/31/1992 6,096,592 5,765,791 5,758,379 5,774,154 6,239,048
04/30/1992 6,127,014 5,784,243 5,783,140 5,792,167 6,284,114
05/31/1992 6,212,196 5,803,330 5,836,343 5,854,548 6,402,694
06/30/1992 6,193,943 5,820,740 5,828,173 5,878,729 6,490,811
07/31/1992 6,193,943 5,838,203 5,809,522 5,919,996 6,623,238
08/31/1992 6,193,943 5,854,550 5,810,685 5,938,706 6,690,332
09/30/1992 6,298,508 5,869,185 5,890,873 6,036,160 6,769,637
10/31/1992 6,465,397 5,883,857 6,010,455 6,134,909 6,679,884
11/30/1992 6,465,397 5,898,566 6,001,441 6,126,997 6,681,395
12/31/1992 6,545,751 5,914,493 6,069,258 6,189,491 6,787,638
01/31/1993 6,570,432 5,930,462 6,124,490 6,250,890 6,917,800
02/28/1993 6,704,914 5,944,102 6,235,345 6,385,411 7,038,897
03/31/1993 6,743,338 5,958,963 6,239,086 6,365,170 7,068,228
04/30/1993 6,717,722 5,973,263 6,239,709 6,349,320 7,117,447
05/31/1993 6,763,200 5,988,197 6,274,653 6,361,067 7,126,511
06/30/1993 6,912,627 6,003,167 6,402,655 6,470,093 7,255,665
07/31/1993 6,997,086 6,018,776 6,474,365 6,542,559 7,296,702
08/31/1993 7,128,240 6,034,425 6,609,031 6,662,418 7,424,597
09/30/1993 7,141,356 6,049,511 6,637,449 6,720,049 7,444,990
10/31/1993 7,252,837 6,065,240 6,725,728 6,806,806 7,472,810
11/30/1993 7,292,542 6,080,402 6,772,807 6,890,597 7,409,240
12/31/1993 7,480,184 6,096,212 6,913,004 7,003,256 7,449,396
01/31/1994 7,466,522 6,112,061 6,878,440 6,924,050 7,549,975
02/28/1994 7,271,176 6,126,730 6,723,674 6,797,340 7,418,807
03/31/1994 7,184,356 6,143,884 6,662,489 6,746,973 7,235,901
04/30/1994 7,133,711 6,162,315 6,615,184 6,712,023 7,178,122
05/31/1994 6,943,674 6,182,650 6,541,754 6,672,357 7,177,115
06/30/1994 6,768,255 6,203,672 6,475,028 6,606,433 7,161,254
07/31/1994 6,804,801 6,226,004 6,517,762 6,670,382 7,303,499
08/31/1994 6,723,527 6,249,040 6,455,193 6,616,352 7,312,563
09/30/1994 6,686,585 6,272,161 6,461,002 6,626,675 7,204,935
10/31/1994 6,716,139 6,297,877 6,486,200 6,641,718 7,198,515
11/30/1994 6,775,247 6,324,328 6,577,654 6,733,703 7,182,528
12/31/1994 6,768,742 6,353,419 6,562,527 6,742,861 7,232,125
01/31/1995 6,845,010 6,382,645 6,634,060 6,814,943 7,375,252
02/28/1995 6,940,344 6,410,729 6,719,640 6,919,622 7,550,604
03/31/1995 7,092,879 6,442,142 6,856,718 7,113,649 7,596,928
04/30/1995 7,226,348 6,473,064 6,965,740 7,225,046 7,703,046
05/31/1995 7,283,548 6,504,783 7,194,219 7,464,774 8,001,133
06/30/1995 7,216,814 6,535,355 7,170,476 7,457,832 8,059,794
07/31/1995 7,359,816 6,566,724 7,260,826 7,530,545 8,041,793
08/31/1995 7,512,351 6,597,588 7,323,992 7,572,264 8,138,847
09/30/1995 7,579,085 6,627,277 7,439,711 7,709,248 8,218,026
10/31/1995 7,741,153 6,657,763 7,523,038 7,789,499 8,324,899
11/30/1995 8,028,929 6,687,056 7,687,792 7,953,859 8,449,648
12/31/1995 8,172,816 6,717,817 7,759,288 7,998,959 8,568,228
01/31/1996 8,323,303 6,748,047 7,853,176 8,066,389 8,625,126
02/29/1996 8,071,081 6,775,714 7,760,509 7,968,867 8,475,201
03/31/1996 8,162,452 6,804,172 7,824,921 8,061,304 8,416,289
04/30/1996 8,314,737 6,832,069 7,918,820 8,102,659 8,368,958
05/31/1996 8,294,432 6,861,446 7,972,668 8,166,185 8,351,964
06/30/1996 8,406,606 6,890,266 8,038,841 8,226,123 8,464,124
07/31/1996 8,518,966 6,919,893 8,099,132 8,291,523 8,487,286
08/31/1996 8,682,399 6,950,341 8,206,850 8,415,894 8,473,061
09/30/1996 8,938,478 6,980,228 8,381,658 8,563,256 8,620,720
10/31/1996 9,277,524 7,010,940 8,519,953 8,707,033 8,811,682
11/30/1996 9,585,748 7,040,387 8,690,353 8,853,051 8,962,613
12/31/1996 9,541,698 7,070,659 8,702,521 8,847,827 8,879,280
01/31/1997 9,589,950 7,101,064 8,811,304 8,964,175 8,906,470
02/28/1997 9,650,264 7,128,758 8,867,695 9,048,171 8,928,625
03/31/1997 9,456,645 7,160,124 8,820,698 9,022,564 8,829,683
04/30/1997 9,529,482 7,190,913 8,915,963 9,094,113 8,961,858
05/31/1997 9,711,574 7,222,552 8,962,325 9,124,215 9,046,576
06/30/1997 9,917,871 7,252,888 9,114,683 9,267,283 9,153,953
07/31/1997 10,149,939 7,284,075 9,259,609 9,419,453 9,400,806
08/31/1997 10,027,798 7,315,396 9,270,720 9,450,818 9,320,619
09/30/1997 10,224,042 7,346,122 9,434,811 9,590,974 9,458,082
10/31/1997 10,088,868 7,378,443 9,495,192 9,678,635 9,595,292
11/30/1997 10,150,311 7,409,434 9,563,560 9,725,963 9,639,476
12/31/1997 10,134,127 7,441,296 9,687,886 9,834,895 9,736,531
01/31/1998 10,367,431 7,474,038 9,816,715 9,949,568 9,861,531
02/28/1998 10,323,686 7,503,933 9,904,106 10,036,231 9,853,663
03/31/1998 10,542,817 7,536,951 9,992,250 10,126,154 9,887,966
04/30/1998 10,601,551 7,568,601 10,043,212 10,190,861 9,939,577
05/31/1998 10,807,121 7,601,151 10,180,804 10,339,853 10,033,862
06/30/1998 10,940,178 7,632,316 10,224,581 10,368,081 10,118,958
07/31/1998 10,940,178 7,664,371 10,319,668 10,458,180 10,140,483
08/31/1998 10,688,849 7,697,328 10,522,966 10,672,467 10,305,514
09/30/1998 10,956,920 7,728,887 10,772,362 10,936,503 10,546,828
10/31/1998 10,778,275 7,759,803 10,756,203 10,925,894 10,491,062
11/30/1998 10,867,598 7,788,514 10,872,370 11,007,730 10,550,604
12/31/1998 11,270,457 7,817,332 10,859,322 10,902,936 10,582,326
01/31/1999 11,396,384 7,846,256 10,993,977 11,032,464 10,657,855
02/28/1999 11,097,307 7,872,934 10,920,319 10,989,769 10,471,803
03/31/1999 11,144,530 7,902,850 11,050,270 11,138,129 10,529,834
04/30/1999 11,160,271 7,932,091 11,190,608 11,281,477 10,563,192
05/31/1999 10,939,899 7,962,233 11,144,727 11,265,119 10,470,670
06/30/1999 10,924,617 7,991,692 10,971,984 11,083,976 10,437,311
07/31/1999 10,908,762 8,022,861 10,943,457 11,092,288 10,392,875
08/31/1999 10,861,194 8,054,953 10,963,155 11,119,355 10,387,691
09/30/1999 10,988,621 8,086,366 11,004,817 11,187,738 10,508,182
10/31/1999 10,972,649 8,119,521 11,031,228 11,217,050 10,546,954
11/30/1999 10,924,733 8,151,998 11,095,206 11,274,033 10,546,198
12/31/1999 11,003,998 8,187,053 11,128,492 11,335,588 10,495,342
01/31/2000 10,938,693 8,223,076 11,129,607 11,349,079 10,460,977
02/29/2000 10,922,366 8,258,434 11,211,964 11,420,917 10,587,487
03/31/2000 11,069,547 8,297,248 11,375,657 11,565,507 10,726,964
04/30/2000 11,020,203 8,336,244 11,437,085 11,633,048 10,696,249
05/31/2000 11,135,340 8,377,092 11,528,579 11,738,908 10,691,339
06/30/2000 11,250,597 8,416,463 11,583,916 11,841,034 10,913,771
07/31/2000 11,300,305 8,456,863 11,667,320 11,941,686 11,012,840
08/31/2000 11,300,305 8,498,723 11,669,652 11,996,617 11,172,457
09/30/2000 11,383,888 8,541,217 11,770,012 12,067,397 11,242,699
</TABLE>
Past performance is not an indication of future results. Investment return and
principal value will fluctuate so that Portfolio shares, when redeemed, may be
worth more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 1/01/1990, the first full month following the
Portfolio's inception on 12/13/1989, compared to the Salomon 3-Month Treasury
Bill Index, the J.P. Morgan Non-U.S. Index (Hedged), 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. We will no longer compare the Portfolio to the Salomon Brothers
World Government Bond (Currency Hedged) and Lehman Brothers Aggregate Bond
Indexes since these indexes are not a comparable International Portfolio index.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. For the six-month period ended September 30, 2000, the International
Portfolio posted a return of 2.84%, underperforming the 2.94% return of the
Salomon 3-Month Treasury Bill Index.
. An exposure to Japan aided returns as yields rose after monetary tightening
and Moody's government rating downgrade.
. Emphasizing global mortgages was positive as these markets benefited from
high yields and low market volatility.
. Asset backed bonds helped returns as the sector was supported by light new
issuance and minimal delinquencies.
. Small allocations to European corporate bonds aided performance due to
their relatively attractive yields.
. A long euro position was negative as the currency reached record lows
versus the U.S. dollar due to continued capital flows into the U.S.
. A long Polish zloty position detracted from returns due to increased
concern over Poland's deteriorating budget and current account deficits.
8 PIMCO Funds
<PAGE>
PIMCO Emerging Markets Portfolio
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with prudent investment management
Portfolio:
Primarily emerging market fixed income securities
Duration:
5.2 years
Total Net Assets:
$527.8 million
Country Allocation:*
[GRAPH]
Mexico 17.4%
South Korea 14.2%
Bulgaria 10.1%
Poland 9.8%
Brazil 8.7%
Philippines 5.9%
Panama 5.4%
Short-Term Instruments 10.3%
Other 18.2%
Quality Breakdown:*
[GRAPH]
AAA 3.0%
AA 0.3%
A 0.5%
BBB 52.4%
BB 23.7%
B 20.1%
*% of Total Investments as of September 30, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Emerging Lehman
Markets Port. Salomon 3-Month J.P. Morgan Brothers
(Incep. Treasury Bill Emerging Markets Aggregate Bond
4/03/1998) Index Index Plus Index
------------------------------------------------------------------------------
6 Months 3.29% 2.94% 5.67% 4.81%
1 Year 11.22% 5.62% 28.02% 6.99%
Since Inception* 7.90% -- -- --
* Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2000
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Salomon Lehman Brothers
Month Emerging Markets 3-Month Treasury J.P. Morgan Emerging Aggregate Bond
Portfolio Bill Index Markets Plus Index Plus Index
<S> <C> <C> <C> <C>
04/30/1998 5,000,000 5,000,000 5,000,000 5,000,000
05/31/1998 4,944,400 5,021,503 4,829,347 5,047,429
06/30/1998 4,891,710 5,042,092 4,689,782 5,090,236
07/31/1998 5,001,037 5,063,268 4,722,141 5,101,064
08/31/1998 4,265,043 5,085,040 3,364,998 5,184,081
09/30/1998 4,536,231 5,105,889 3,694,095 5,305,471
10/31/1998 4,749,812 5,126,313 3,933,103 5,277,419
11/30/1998 5,137,475 5,145,280 4,164,761 5,307,371
12/31/1998 5,122,302 5,164,318 4,060,642 5,323,328
01/31/1999 5,110,595 5,183,426 3,909,994 5,361,322
02/28/1999 5,142,926 5,201,049 3,966,297 5,267,730
03/31/1999 5,296,664 5,220,813 4,266,545 5,296,922
04/30/1999 5,438,686 5,240,131 4,557,951 5,313,703
05/31/1999 5,274,822 5,260,043 4,298,148 5,267,161
06/30/1999 5,334,460 5,279,504 4,490,275 5,250,380
07/31/1999 5,345,462 5,300,095 4,397,324 5,228,027
08/31/1999 5,349,303 5,321,296 4,391,169 5,225,419
09/30/1999 5,457,620 5,342,048 4,544,422 5,286,031
10/31/1999 5,547,013 5,363,951 4,719,835 5,305,534
11/30/1999 5,655,067 5,385,406 4,853,406 5,305,155
12/31/1999 5,752,317 5,408,564 5,115,975 5,279,572
01/31/2000 5,696,409 5,432,362 5,014,681 5,262,285
02/29/2000 5,851,645 5,455,720 5,337,625 5,325,925
03/31/2000 5,876,326 5,481,362 5,505,758 5,396,087
04/30/2000 5,786,748 5,507,124 5,400,599 5,380,636
05/31/2000 5,655,366 5,534,108 5,262,883 5,378,166
06/30/2000 5,882,949 5,560,118 5,529,709 5,490,058
07/31/2000 6,004,247 5,586,807 5,696,708 5,539,894
08/31/2000 6,180,129 5,614,461 5,897,800 5,620,187
09/30/2000 6,069,929 5,642,534 5,817,775 5,655,522
</TABLE>
Past performance is not an indication of future results. Investment return and
principal value will fluctuate so that Portfolio shares, when redeemed, may be
worth more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 5/01/1998, the first full month following the
Portfolio's inception date on 4/03/1998, compared to the Salomon 3-Month
Treasury Bill Index, the J.P. Morgan Emerging Markets Index Plus and the Lehman
Brothers Aggregate Bond Index, each an unmanaged market index. The Portfolio may
invest in foreign securities which involve potentially higher risks including
currency fluctuations and political or economic uncertainty. We will no longer
compare the Portfolio to the Lehman Brothers Aggregate Bond Index since the
Lehman Brothers Aggregate Bond Index is not a comparable Emerging Markets index.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. After a volatile period, emerging markets turned in a strong performance on
strong economic and financial conditions, more balanced global growth, and
positive liability management.
. Despite successful conclusions to the Russian and Ecuadorian debt
restructurings, volatility picked up toward the end of the quarter
resulting from reduced market appetite for risk and noise on the political
front.
. Distressed credits, such as Russia and Ecuador, outperformed high quality
credits, driving overall sector returns.
. The Portfolio outperformed the Salomon 3-Month Treasury Bill Index for the
six-month period ended September 30, 2000, returning 3.29% versus 2.94% for
the Index.
. A modest exposure to Mexico was positive for performance as Mexico
benefited from favorable rating actions as a result of improved economic
conditions.
. Good liability management and further strong economic data supported
Brazilian bonds where the Portfolio's holdings added to performance.
. An exposure to Bulgaria was negative as market selling and the impact of
higher energy prices overshadowed continued economic gains.
. The Portfolio's limited holdings in South Korea were negative as the
country outperformed on account of strong import growth and high levels of
international reserves.
2000 Semi-Annual Report 9
<PAGE>
Financial Highlights
<TABLE>
<CAPTION>
Net Asset Net Realized/ Total Dividends
Value Unrealized Income from from Net
Selected Per Share Data for Beginning Net Investment Gain (Loss) on Investment Investment
the Year or Period Ended: of Period Income (Loss) Investments Operations Income
--------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Short-Term Portfolio
04/20/2000 - 09/30/2000 (b) $ 10.00 $ 0.31 (a) $ 0.06 (a) $ 0.37 $ (0.27)
U.S. Government Sector Portfolio
09/30/2000 (b) $ 10.62 $ 0.35 (a) $ 0.26 (a) $ 0.61 $ (0.28)
01/31/2000 - 03/31/2000 10.00 0.12 (a) 0.54 (a) 0.66 (0.04)
Mortgage Portfolio
09/30/2000 (b) $ 10.26 $ 0.39 (a) $ 0.09 (a) $ 0.48 $ (0.24)
01/31/2000 - 03/31/2000 10.00 0.12 (a) 0.20 (a) 0.32 (0.06)
Real Return Bond Portfolio
04/28/2000 - 09/30/2000 (b) $ 10.00 $ 0.32 (a) $ 0.10 (a) $ 0.42 $ (0.19)
Investment Grade Corporate Portfolio
09/30/2000 (b) $ 10.13 $ 0.39 (a) $ 0.05 (a) $ 0.44 $ (0.32)
01/26/2000 - 03/31/2000 10.00 0.14 (a) 0.07 (a) 0.21 (0.08)
Municipal Sector Portfolio
08/21/2000 - 09/30/2000 (b) $ 10.00 $ 0.06 (a) $ (0.13) (a) $ (0.07) $ (0.02)
International Portfolio
09/30/2000 (b) $ 6.73 $ 0.22 (a) $ (0.03) (a) $ 0.19 $ (0.10)
03/31/2000 7.08 0.39 (a) (0.44) (a) (0.05) (0.30)
03/31/1999 7.18 0.29 (a) 0.11 (a) 0.40 (0.30)
03/31/1998 7.79 0.64 (a) 0.19 (a) 0.83 (0.25)
03/31/1997 8.04 0.84 0.42 1.26 (0.50)
03/31/1996 7.44 0.63 0.49 1.12 (0.39)
Emerging Markets Portfolio
09/30/2000 (b) $ 9.84 $ 0.19 (a) $ 0.13 (a) $ 0.32 $ (0.36)
03/31/2000 9.63 0.80 (a) 0.21 (a) 1.01 (0.80)
04/03/1998 - 03/31/1999 10.00 0.87 (a) (0.39) (a) 0.48 (0.85)
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Unaudited
(c) If the investment manager had not reimbursed expenses, the ratio of
expenses to average net assets would have been 0.07%.
(d) If the investment manager had not reimbursed expenses, the ratio of
expenses to average net assets would have been 0.10%.
(e) If the investment manager had not reimbursed expenses, the ratio of
expenses to average net assets would have been 0.09%.
10 PIMCO Funds
<PAGE>
<TABLE>
<CAPTION>
Dividends in Distributions Distributions
Excess of Net from Net in Excess of Net Net Asset
Investment Realized Realized Capital Total Value End Net Assets End
Income Capital Gains Gains Distributions of Period Total Return of Period (000s)
------------- -------------- ---------------- ------------- ---------- ------------ ----------------
<S> <C> <C> <C> <C> <C> <C>
$ 0.00 $ 0.00 $ 0.00 $ (0.27) $ 10.10 3.73% $ 103,741
$ 0.00 $ 0.00 $ 0.00 $ (0.28) $ 10.95 5.78% $ 735,369
0.00 0.00 0.00 (0.04) 10.62 6.61 311,652
$ 0.00 $ 0.00 $ 0.00 $ (0.24) $ 10.50 4.72% $3,629,196
0.00 0.00 0.00 (0.06) 10.26 3.21 985,563
$ 0.00 $ 0.00 $ 0.00 $ (0.19) $ 10.23 4.22% $ 140,647
$ 0.00 $ 0.00 $ 0.00 $ (0.32) $ 10.25 4.41% $ 506,713
0.00 0.00 0.00 (0.08) 10.13 2.11 316,279
$ 0.00 $ 0.00 $ 0.00 $ (0.02) $ 9.91 (0.70)% $ 26,753
$ 0.00 $ 0.00 $ 0.00 $ (0.10) $ 6.82 2.84% $1,498,229
0.00 0.00 0.00 (0.30) 6.73 (0.67) 1,142,215
0.00 0.00 (0.20) (0.50) 7.08 5.71 720,025
0.00 (0.24) (0.95) (1.44) 7.18 11.49 730,622
0.00 (1.01) 0.00 (1.51) 7.79 15.86 957,950
(0.13) 0.00 0.00 (0.52) 8.04 15.08 2,271,940
$ 0.00 $ 0.00 $ 0.00 $ (0.36) $ 9.80 3.29% $ 527,832
0.00 0.00 0.00 (0.80) 9.84 10.94 354,371
0.00 0.00 0.00 (0.85) 9.63 5.49 145,530
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Average Net to Average Net Portfolio
Assets Assets Turnover Rate
----------- -------------- --------------
<S> <C> <C>
1.13%+ 6.75%+ 69%
0.05%+ 6.56%+ 817%
0.05+(e) 6.86+ 283
0.37%+ 7.50%+ 376%
0.05+(c) 7.13+ 156
0.05%+ 7.46%+ 187%
0.05%+ 7.74%+ 70%
0.05+(d) 7.65+ 65
0.05%+ 5.02%+ 28%
0.16%+ 6.56%+ 169%
0.50 5.61 369
0.50 4.04 406
0.51 8.17 255
0.50 7.17 875
0.50 6.09 1046
0.12%+ 9.23%+ 74%
0.85 8.20 159
0.85+ 9.43+ 199
</TABLE>
2000 Semi-Annual Report 11
<PAGE>
Statements of Assets and Liabilities
September 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Short-Term U.S. Government Mortgage
Amounts in thousands, except per share amounts Portfolio Sector Portfolio Portfolio
---------------- ---------------- ----------------
<S> <C> <C> <C>
Assets:
Investments, at value $ 147,826 $1,188,657 $7,046,317
Cash and foreign currency 195 9,810 39,096
Receivable for investments sold and forward foreign currency contracts 34 98,280 845,398
Receivable for Portfolio shares sold 0 1,500 1,500
Interest and dividends receivable 1,384 12,802 37,216
Variation margin receivable 0 320 0
Manager reimbursement receivable 0 16 16
Other assets 8 1,519 0
---------------- ---------------- ----------------
149,447 1,312,904 7,969,543
---------------- ---------------- ----------------
Liabilities:
Payable for investments purchased and
forward foreign currency contracts $ 59 $ 20,272 $3,812,032
Payable for financing transactions 10,028 556,481 172,408
Notes Payable 35,495 0 340,700
Written options outstanding 0 1 1,353
Payable for Portfolio shares redeemed 8 750 0
Dividends payable 0 0 0
Accrued investment advisory fee 2 12 58
Accrued administration fee 3 19 87
Accrued distribution fee 0 0 0
Accrued servicing fee 0 0 0
Variation margin payable 4 0 1,113
Other liabilities 107 0 12,596
45,706 577,535 4,340,347
---------------- ---------------- ----------------
Net Assets $ 103,741 $ 735,369 $3,629,196
---------------- ---------------- ----------------
Net Assets Consist of:
Paid in capital $ 102,715 $ 702,557 $3,557,464
Undistributed (overdistributed) net investment income 385 5,160 21,397
Accumulated undistributed net realized gain (loss) 81 21,154 10,558
Net unrealized appreciation (depreciation) 560 6,498 39,777
---------------- ---------------- ----------------
$ 103,741 $ 735,369 $3,629,196
---------------- ---------------- ----------------
Shares Issued and Outstanding: 10,270 67,133 345,653
Net Asset Value and Redemption Price
Per Share (Net Assets Per Share Outstanding) $ 10.10 $ 10.95 $ 10.50
Cost of Investments Owned $ 147,111 $1,183,062 $6,990,354
---------------- ---------------- ----------------
Cost of Foreign Currency Held $ 0 $ 0 $ 0
---------------- ---------------- ----------------
</TABLE>
12 PIMCO Funds
<PAGE>
<TABLE>
<CAPTION>
Real Return Investment Grade Municipal International Emerging Markets
Bond Portfolio Corporate Portfolio Sector Portfolio Portfolio Portfolio
--------------------- --------------------- --------------------- --------------------- ---------------------
<S> <C> <C> <C> <C>
$ 277,723 $ 508,277 $ 28,467 $ 2,388,199 $ 604,220
42 0 1,293 27,360 1,014
491 3,625 3,582 62,265 34,155
0 0 0 0 0
2,538 8,633 318 19,924 13,174
0 28 0 1 0
0 16 0 0 0
292 0 0 387 3
--------------------- --------------------- --------------------- --------------------- ---------------------
281,086 520,579 33,660 2,498,136 652,566
--------------------- --------------------- --------------------- --------------------- ---------------------
$ 4,042 $ 13,785 $ 6,906 $ 431,774 $ 37,049
136,337 0 0 566,831 87,631
0 0 0 0 0
0 0 0 691 0
0 0 0 0 0
0 0 0 0 0
2 8 0 19 9
3 13 1 97 45
0 0 0 0 0
0 0 0 0 0
0 0 0 312 0
55 60 0 183 0
140,439 13,866 6,907 999,907 124,734
--------------------- --------------------- --------------------- --------------------- ---------------------
$ 140,647 $ 506,713 $ 26,753 $ 1,498,229 $ 527,832
--------------------- --------------------- --------------------- --------------------- ---------------------
$ 139,022 $ 499,116 $ 26,940 $ 1,538,918 $ 526,248
471 3,067 61 36,708 4,620
81 (504) (56) (16,179) 2,689
1,073 5,034 (192) (61,218) (5,725)
--------------------- --------------------- --------------------- --------------------- ---------------------
$ 140,647 $ 506,713 $ 26,753 $ 1,498,229 $ 527,832
--------------------- --------------------- --------------------- --------------------- ---------------------
13,751 49,436 2,698 219,712 53,867
$ 10.23 $ 10.25 $ 9.91 $ 6.82 $ 9.80
$ 276,646 $ 502,916 $ 28,660 $ 2,456,839 $ 609,662
--------------------- --------------------- --------------------- --------------------- ---------------------
$ 5 $ 0 $ 0 $ 26,954 $ 835
--------------------- --------------------- --------------------- --------------------- ---------------------
</TABLE>
2000 Semi-Annual Report 13
<PAGE>
Statements of Operations
For the period ended September 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Short-Term U.S. Government Mortgage
Amounts in thousands Portfolio Sector Portfolio Portfolio
---------- ---------------- ---------
<S> <C> <C> <C>
Investment Income:
Interest $ 3,621 $ 19,026 $ 90,303
Miscellaneous income 0 0 0
---------- ---------------- ---------
Total Income 3,621 19,026 90,303
---------- ---------------- ---------
Expenses:
Investment advisory fees 9 58 231
Administration fees 13 86 346
Trustees' fees 0 0 0
Organization costs 8 0 0
Interest expense 498 0 3,647
Total expenses 528 144 4,224
Recoupment of reimbursement/(Reimbursement by manager) (8) 1 6
Net expenses 520 145 4,230
---------- ---------------- ---------
Net Investment Income 3,101 18,881 86,073
---------- ---------------- ---------
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 81 11,631 13,401
Net realized gain (loss) on futures contracts and written options 0 6,255 (3,026)
Net realized gain (loss) on foreign currency transactions 0 0 0
Net change in unrealized appreciation (depreciation) on investments 598 (1,618) 34,474
Net change in unrealized appreciation (depreciation) on
future contracts and written options (38) 1,005 (5,088)
Net change in unrealized appreciation (depreciation) on translation
of assets and liabilities denominated in foreign currencies 0 0 0
Net Gain (Loss) 641 17,273 39,761
---------- ---------------- ---------
Net Increase (Decrease) in Assets Resulting from Operations $ 3,742 $ 36,154 $ 125,834
---------- ---------------- ---------
</TABLE>
14 Pimco Funds
<PAGE>
<TABLE>
<CAPTION>
Investment Grade Emerging Markets
Real Return Bond Portfolio Corporate Portfolio Municipal Sector Portfolio International Portfolio Portfolio
-------------------------- ------------------- -------------------------- ----------------------- ----------------
<S> <C> <C> <C> <C>
$ 2,708 $ 14,802 $ 107 $ 38,880 $ 20,802
0 0 0 19 9
-------------------------- ------------------- -------------------------- ----------------------- ----------------
2,708 14,802 107 38,899 20,811
-------------------------- ------------------- -------------------------- ----------------------- ----------------
7 38 0 114 44
10 56 1 571 222
0 0 0 2 1
0 0 0 0 0
0 0 0 231 0
17 94 1 918 267
0 1 0 0 0
17 95 1 918 267
-------------------------- ------------------- -------------------------- ----------------------- ----------------
2,691 14,707 106 37,981 20,544
-------------------------- ------------------- -------------------------- ----------------------- ----------------
81 (201) (82) 2,701 3,104
(41) (303) 26 4,341 0
41 0 0 19,925 (244)
1,060 3,805 (192) (34,697) (7,187)
0 (318) 0 (3,689) 0
13 0 0 7,397 (254)
1,154 2,983 (248) (4,022) (4,581)
-------------------------- ------------------- -------------------------- ----------------------- ----------------
$ 3,845 $ 17,690 $ (142) $ 33,959 $ 15,963
-------------------------- ------------------- -------------------------- ----------------------- ----------------
</TABLE>
2000 Semi-Annual Report 15
<PAGE>
Statements of Changes in Net Assets
September 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Short-Term U.S. Government
Amounts in thousands Portfolio Sector Portfolio
------------------ ------------------------------------------
Period From Six Months Ended Period From
Increase (Decrease) in Net Assets from: April 20, 2000 to September 30, 2000 January 31, 2000 to
September 30, 2000 (Unaudited) March 31, 2000
Operations: (Unaudited)
<S> <C> <C> <C>
Net investment income $ 3,101 $ 18,881 $ 2,590
Net realized gain (loss) 81 17,886 6,051
Net change in unrealized appreciation (depreciation) 560 (613) 7,111
------------------ ------------------------------------------
Net increase (decrease) resulting from operations 3,742 36,154 15,752
------------------ ------------------------------------------
Distributions to Shareholders:
From net investment income (2,716) (17,873) (1,221)
In excess of net investment income 0 0 0
------------------ ------------------------------------------
Total Distributions (2,716) (17,873) (1,221)
------------------ ------------------------------------------
Portfolio Share Transactions:
Receipts for shares sold 99,999 614,003 319,000
Issued as reinvestment of distributions 2,716 17,140 1,221
Cost of shares redeemed 0 (225,707) (23,100)
Net increase resulting from Portfolio share transactions 102,715 405,436 297,121
------------------ ------------------------------------------
Total Increase in Net Assets 103,741 423,717 311,652
------------------ ------------------------------------------
Net Assets:
Beginning of period 0 311,652 0
End of period * $ 103,741 $ 735,369 $ 311,652
------------------ ------------------------------------------
*Including net undistributed investment income of: $ 385 $ 5,160 $ 4,152
------------------ ------------------------------------------
</TABLE>
16 PIMCO Funds
<PAGE>
<TABLE>
<CAPTION>
Real Return Investment Grade
Mortgage Portfolio Bond Portfolio Corporate Portfolio
-------------------------------------- ------------------ --------------------------------------
Six Months Ended Period From Period From Six Months Ended Period from
September 30, 2000 January 31, 2000 April 28, 2000 to September 30, 2000 January 26, 2000
(Unaudited) to March 31, 2000 September 30, 2000 (Unaudited) to March 31, 2000
(Unaudited)
<S> <C> <C> <C> <C>
$ 86,073 $ 5,716 $ 2,691 $ 14,707 $ 2,702
10,375 1,927 81 (504) 254
29,386 10,391 1,073 3,487 1,547
-------------------------------------- ------------------ --------------------------------------
125,834 18,034 3,845 17,690 4,503
-------------------------------------- ------------------ --------------------------------------
(68,996) (3,140) (2,220) (13,128) (1,468)
0 0 0 0 0
-------------------------------------- ------------------ --------------------------------------
(68,996) (3,140) (2,220) (13,128) (1,468)
-------------------------------------- ------------------ --------------------------------------
3,043,727 967,529 144,974 369,851 362,126
63,728 3,140 1,623 12,060 1,468
(520,660) 0 (7,575) (196,039) (50,350)
2,586,795 970,669 139,022 185,872 313,244
-------------------------------------- ------------------ --------------------------------------
2,643,633 985,563 140,647 190,434 316,279
-------------------------------------- ------------------ --------------------------------------
985,563 0 0 316,279 0
$ 3,629,196 $ 985,563 $ 140,647 $ 506,713 $ 316,279
$ 21,397 $ 4,320 $ 471 $ 3,067 $ 1,488
<CAPTION>
Municipal
Sector
Portfolio International Portfolio Emerging Markets Portfolio
------------------ ----------------------------------- -----------------------------------
Period From Six Months Ended Year Ended Six Months Ended Year Ended
August 21, 2000 to September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000
September 30, 2000 (Unaudited) (Unaudited)
(Unaudited)
<S> <C> <C> <C> <C>
$ 106 $ 37,981 $ 51,425 $ 20,544 $ 20,454
(56) 26,967 (33,794) 2,860 8,157
(192) (30,989) (22,139) (7,441) (1,382)
(142) 33,959 (4,508) 15,963 27,229
------------------ ----------------------------------- -----------------------------------
(45) (17,110) (43,147) (17,458) (20,428)
0 0 0 0 (22)
(45) (17,110) (43,147) (17,458) (20,450)
------------------ ----------------------------------- -----------------------------------
26,914 396,979 679,200 210,625 226,178
26 16,304 41,675 16,671 19,552
0 (74,118) (251,030) (52,340) (43,668)
26,940 339,165 469,845 174,956 202,062
26,753 356,014 422,190 173,461 208,841
------------------ ----------------------------------- -----------------------------------
0 1,142,215 720,025 354,371 145,530
$ 26,753 $ 1,498,229 $ 1,142,215 $ 527,832 $ 354,371
$ 61 $ 36,708 $ 15,837 $ 4,620 $ 1,534
</TABLE>
2000 Semi-Annual Report 17
<PAGE>
Statements of Cash Flows
<TABLE>
<CAPTION>
U.S. Government Real Return
Amounts in thousands Sector Portfolio Bond Portfolio International Portfolio
---------------- -------------- -----------------------
<S> <C> <C> <C>
Increase (Decrease) in Cash and Foreign Currency from:
Financing Activities
Sales of Portfolio shares $ 612,503 $ 144,974 $ 402,179
Redemptions of Portfolio shares (231,857) (7,575) (75,118)
Cash distributions paid (733) (597) (806)
Increase (decrease) from financing transactions 422,572 136,337 60,548
Net increase (decrease) from financing activities 802,485 273,139 386,803
Operating Activities
Purchases of long-term securities and foreign currency (6,853,434) (481,534) (2,601,876)
Proceeds from sales of long-term securities and foreign currency 6,034,592 218,057 2,460,868
Purchases of short-term securities (net) 10,028 (9,320) (283,405)
Net investment income 18,881 2,691 37,980
Change in other receivables/payables (net) (2,742) (2,991) (1,633)
Net increase (decrease) from operating activities (792,675) (273,097) (388,066)
---------------- -------------- -----------------------
Net Increase in Cash and Foreign Currency 9,810 42 (1,263)
---------------- -------------- -----------------------
Cash and Foreign Currency
Beginning of period 0 0 28,623
End of period $ 9,810 $ 42 $ 27,360
---------------- -------------- -----------------------
</TABLE>
18 PIMCO Funds
<PAGE>
Schedule of Investments
Short Term Portfolio
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 82.1%
--------------------------------------------------------------------------------
Banking & Finance 24.2%
Export-Import Bank Korea
6.500% due 02/10/2002 $ 1,000 $ 985
First Chicago Corp.
10.250% due 05/01/2001 1,000 1,017
Ford Motor Credit Corp.
6.780% due 08/27/2001 (d) 2,400 2,400
Heller Financial, Inc.
6.500% due 07/22/2002 1,000 989
Industrial Bank of Korea
7.100% due 10/15/2001 1,500 1,470
Korea Development Bank
7.125% due 09/17/2001 400 399
MBNA Corp.
7.220% due 02/09/2001 (d) 2,600 2,603
MFN Financial Corp.
6.980% due 09/13/2001 (d) 1,515 1,516
Nacional Financiera
7.975% due 05/08/2003 2,500 2,539
National Consumer Coop Bank
7.513% due 10/26/2001 (d) 4,900 4,901
PaineWebber
6.585% due 07/23/2001 400 399
PS Colorado Credit Corp.
7.330% due 05/30/2002 (d) 1,900 1,899
Qwest Capital Funding, Inc.
6.875% due 08/15/2001 4,000 3,997
------------
25,114
============
Industrials 29.5%
Cemex SA
8.625% due 07/18/2003 1,500 1,519
Clear Channel Communications, Inc.
7.210% due 06/15/2002 (d) 4,000 4,009
Enron Corp.
6.580% due 09/10/2001 (d) 1,000 1,000
ICI Wilmington
9.500% due 11/15/2000 4,000 4,006
J Seagram & Sons
6.250% due 12/15/2001 2,000 1,978
Kroger Co.
6.340% due 06/01/2001 4,450 4,416
Lockheed Martin Corp.
6.850% due 05/15/2001 3,000 2,989
Meridan Co.
6.408% due 07/18/2002 (d) 100 100
Norfolk Southern Corp.
6.875% due 05/01/2001 900 898
Philip Morris Cos., Inc.
9.000% due 01/01/2001 900 903
Raytheon Co.
5.950% due 03/15/2001 2,000 1,986
Staples, Inc.
7.670% due 11/26/2001 (d) 2,000 2,000
Temple-Inland, Inc.
9.000% due 05/01/2001 400 403
Tyco International Group SA
6.125% due 06/15/2001 4,000 3,964
Viacom, Inc.
8.875% due 06/01/2001 465 469
------------
30,640
============
Utilities 28.4%
Appalachian Power Co.
7.160% due 06/27/2001 (d) 5,000 5,001
Carolina Power & Light Co.
7.232% due 07/29/2002 (d) 4,900 4,919
Commonwealth Edison Co.
7.160% due 09/30/2002 (d) 2,000 2,000
Deutsche Telekom AG
7.750% due 06/15/2005 5,000 5,123
Indiana Michigan Power Co.
7.245% due 09/03/2002 (d) 3,900 3,900
Nabors Industries, Inc.
0.010% due 06/20/2020 3,000 2,093
Public Service Enterprise Group, Inc.
7.038% due 11/22/2000 (d) 900 900
Scana Corp.
7.393% due 07/15/2002 (d) 4,900 4,907
Williams Cos., Inc.
6.125% due 02/01/2001 595 593
------------
29,436
------------
Total Corporate Bonds & Notes 85,190
(Cost $84,673) ============
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 9.7%
--------------------------------------------------------------------------------
Federal Home Loan Bank
6.750% due 02/01/2002 (g) 10,000 10,036
------------
Total U.S. Government Agencies 10,036
(Cost $10,012) ============
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 0.1%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (e)
3.625% due 07/15/2002 (b) 108 108
------------
Total U.S. Treasury Obligations 108
(Cost $108) ============
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 40.3%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 25.4%
Chase Mortgage Finance Corp.
6.500% due 06/25/2028 2,972 2,944
Federal Home Loan Mortgage Corp.
8.000% due 04/15/2003 135 135
6.000% due 07/15/2006 4,953 4,919
7.250% due 06/15/2007 1,480 1,484
7.250% due 09/15/2023 3,101 3,097
Federal National Mortgage Assn
6.500% due 10/25/2007 247 245
6.150% due 10/25/2007 41 41
6.856% due 06/25/2008 (d) 179 179
6.000% due 06/25/2019 993 978
7.000% due 12/25/2019 4,488 4,474
7.150% due 08/25/2020 112 112
7.000% due 01/18/2023 7,355 7,337
7.250% due 04/18/2024 51 51
Residential Asset Securitization Corp.
7.250% due 12/25/2027 409 407
------------
26,403
============
Federal Home Loan Mortgage Corporation 8.4%
6.500% due 08/01/2002 8,804 8,732
------------
Federal National Mortgage Association 6.5%
6.000% due 08/01/2001 65 64
7.000% due 05/01/2001-02/20/2030 (d)(h) 6,631 6,653
------------
6,717
------------
Total Mortgage-Backed Securities 41,852
(Cost $41,770) ============
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 8.7%
--------------------------------------------------------------------------------
Capital Asset Research Funding LP
6.400% due 12/15/2004 4,687 4,736
EQCC Home Equity Loan Trust
8.340% due 08/15/2025 3,900 3,935
Premier Auto Trust
6.350% due 04/06/2002 324 324
------------
Total Asset-Backed Securities 8,995
(Cost $8,901) ============
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 1.0%
--------------------------------------------------------------------------------
Republic of Panama
7.125% due 09/20/2001 1,000 991
------------
Total Sovereign Issues 991
(Cost $993) ============
2000 Semi-Annual Report 19
<PAGE>
Schedule of Investments (Cont.)
Short Term Portfolio
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 0.6%
--------------------------------------------------------------------------------
Commercial Paper 0.4%
Coca-Cola Co.
6.480% due 12/13/2000 $ 400 $ 395
------------
Repurchase Agreement 0.2%
State Street Bank
5.850% due 10/02/2000 259 259
(Dated 9/29/2000. Collateralized by
Federal Home Loan Mortgage Corp.
7.050% due 09/19/2003 valued at $265.
Repurchase proceeds are $259.)
------------
Total Short-Term Instruments 654
(Cost $654) ============
Total Investments (a) 142.5% $ 147,826
(Cost $147,111)
Other Assets and Liabilities (Net) (42.5%) (44,085)
------------
Net Assets 100.0% $ 103,741
============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 749
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (34)
------------
Unrealized appreciation-net $ 715
============
(b) Securities with an aggregate market value of $108
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 2000:
# of Unrealized
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Eurodollar September Futures (09/2001) 26 $ (38)
------------
(c) Reverse repurchase agreements were entered into on various days
paying various interest rates. The following securities were
segregated with collateral for reverse repurchase agreements:
Type Maturity Value
--------------------------------------------------------------------------------
Entered into on September 18, 2000 paying interest at 6.570%
Federal National Mortgage Assn. 7.000% 12/25/2019 $ 4,474
Entered into on September 21, 2000 paying interest at 6.570%
Federal Home Loan Mortgage Corp. 7.250% 06/15/2007 1,484
Entered into on September 25, 2000 paying interest at 6.520%
Government National Mortgage Assn. 7.000% 02/20/2030 6,572
Entered into on September 26, 2000 paying interest at 6.580%
Federal National Mortgage Assn. 7.000% 01/18/2023 7,337
Federal Home Loan Mortgage Corp. 6.500% 08/01/2002 8,732
Federal Home Loan Mortgage Corp. 7.250% 09/15/2023 3,097
Federal Home Loan Mortgage Corp. 6.000% 07/15/2006 4,919
------------
$ 36,615
============
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Principal amount of the security is adjusted for inflation.
(f) Swap agreements outstanding at September 30, 2000:
Notional Unrealized
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive floating rate based on 3-month LIBOR plus 0.470% and pay a fixed rate
equal to 7.750%.
Broker: Morgan Stanley
Exp. 06/15/2005 $ 5,000 $ (107)
Receive floating rate based on 3-month LIBOR plus 1.000% and pay to the
counterparty the notional amount of $3,000 in exchange for shares of Nabors
Industries, Inc. due 6/20/2020 when the convertible debentures mature.
Broker: Morgan Stanley
Exp. 06/20/2003 $ 1,825 (1)
------------
$ (108)
============
(g) Subject to financing transaction.
(h) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
20 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
U.S. Government Sector Portfolio
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 32.0%
--------------------------------------------------------------------------------
Banking & Finance 16.9%
AESOP Funding II LLC
6.220% due 10/20/2001 $ 942 $ 942
AT&T Capital Corp.
6.310% due 04/23/2002 (d) 1,000 1,003
Bank One Corp.
9.798% due 05/07/2002 (d) 2,400 2,402
Bear Stearns Co., Inc.
7.125% due 03/28/2003 (d) 7,000 7,000
6.530% due 06/01/2004 (d) 2,000 2,014
Beneficial Corp.
7.030% due 03/01/2002 (d) 5,000 5,008
Bombardier Capital, Inc.
7.210% due 06/09/2032 (d) 2,500 2,478
Caterpillar Finance
6.771% due 02/12/2001 (d) 7,000 7,002
Chase Manhattan Corp.
6.440% due 05/15/2001 (d) 3,500 3,498
Donaldson, Lufkin & Jenrette, Inc.
7.250% due 07/18/2003 (d) 3,000 3,008
Ford Motor Credit Corp.
6.806% due 02/13/2003 (d) 3,000 2,996
6.850% due 03/17/2003 (d) 5,000 4,994
7.110% due 06/02/2003 (d) 1,900 1,902
7.051% due 06/20/2003 (d) 15,000 15,010
7.083% due 07/19/2004 (d) 1,800 1,802
7.173% due 07/18/2005 (d) 6,300 6,311
General Motors Acceptance Corp.
6.913% due 08/06/2001 (d) 3,500 3,506
6.950% due 03/10/2003 (d) 2,800 2,798
7.015% due 07/21/2003 (d) 4,900 4,894
6.251% due 04/05/2004 (d) 800 799
Goldman Sachs Group
6.923% due 12/07/2001 (d) 8,000 8,018
Household Bank
6.227% due 10/22/2003 (d) 3,000 2,990
Lehman Brothers Holdings, Inc.
6.690% due 04/04/2003 (d) 2,100 2,101
MBNA America Bank NA
6.290% due 04/25/2002 (d) 800 798
7.038% due 11/19/2003 (d) 1,600 1,584
Meridian Funding Co. LLC
6.762% due 07/30/2004 (d) 2,300 2,300
Merrill Lynch & Co.
6.791% due 11/01/2001 (d) 4,000 4,004
Morgan Stanley, Dean Witter, Discover and Co.
6.837% due 01/28/2002 (d) 2,600 2,604
6.990% due 04/22/2004 (d) 5,800 5,807
National Australia Bank Ltd.
7.315% due 05/19/2010 (d) 2,500 2,523
Orix Credit Alliance
6.785% due 04/16/2001 4,750 4,743
PaineWebber
7.260% due 11/27/2000 (d) 1,600 1,600
Protective Life Funding Trust
7.090% due 01/17/2003 (d) 1,500 1,498
Qwest Capital Funding, Inc.
6.875% due 08/15/2001 4,000 3,997
------------
123,934
============
Industrials 7.9%
Clear Channel Communications, Inc.
7.327% due 06/15/2002 (d) 5,000 5,012
Cox Enterprises, Inc.
7.611% due 05/01/2033 (d) 2,000 1,999
DaimlerChrysler Holdings
7.001% due 08/16/2004 (d) 7,000 7,012
International Paper Co.
7.670% due 07/08/2002 (d) 1,500 1,504
Kroger Co.
7.661% due 10/01/2010 (d) 2,000 2,004
TCI Communications, Inc.
7.260% due 03/12/2001 (d) 1,500 1,501
TRW, Inc.
7.090% due 03/25/2002 (d) 9,000 8,993
Tyco International Group SA
7.568% due 03/05/2001 (d) 3,500 3,504
Vodafone AirTouch PLC
6.961% due 12/19/2001 (d) 26,800 26,836
------------
58,365
============
Utilities 7.2%
Arizona Public Service
7.440% due 11/15/2001 (d) 1,500 1,500
Central Power & Light Co.
7.268% due 02/22/2002 (d) 2,000 1,999
Deutsche Telekom AG
7.750% due 06/15/2005 10,000 10,247
Hughes Electric
7.560% due 10/23/2000 (d) 3,800 3,801
Kentucky Power Co.
7.270% due 11/02/2000 (d) 1,200 1,200
Nabors Industries, Inc.
0.010% due 06/20/2020 10,000 6,975
Public Service Enterprise Group, Inc.
7.138% due 11/22/2000 (d) 2,500 2,500
Scana Corp.
7.393% due 07/15/2002 (d) 2,900 2,904
System Energy Resources
7.380% due 10/01/2000 1,100 1,100
Texas Utilities Co.
7.315% due 06/25/2001 (d) 11,500 11,492
7.697% due 09/24/2001 (d) 7,100 7,138
WorldCom, Inc.
7.050% due 11/26/2001 (d) 2,000 2,002
------------
52,858
------------
Total Corporate Bonds & Notes 235,157
(Cost $233,767) ============
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 33.7%
--------------------------------------------------------------------------------
Federal Home Loan Bank
6.750% due 02/01/2002 35,000 35,126
5.950% due 12/10/2008 400 372
0.000% due 01/28/2019 7,900 1,900
Federal Home Loan Mortgage Corp.
6.250% due 08/05/2008 500 474
6.000% due 12/29/2008 250 233
6.875% due 09/15/2010 (h) 20,000 20,158
6.450% due 12/09/2013 1,000 912
6.750% due 09/15/2029 28,000 27,667
Federal National Mortgage Assn.
7.000% due 07/15/2005 (h) 80,000 81,471
6.480% due 03/26/2008 500 482
6.500% due 03/12/2009 44,900 43,133
6.625% due 09/15/2009 25,600 25,409
6.810% due 08/05/2013 500 475
Tennessee Valley Authority
7.125% due 05/01/2030 10,000 10,250
------------
Total U.S. Government Agencies 248,062
(Cost $244,469) ============
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 73.3%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (f)
3.625% due 07/15/2002 (b) 89,466 89,438
3.375% due 01/15/2007 5,447 5,268
U.S. Treasury Bonds
9.875% due 11/15/2015 (h) 37,800 51,692
8.750% due 08/15/2020 (h) 54,000 70,149
7.125% due 02/15/2023 (h) 30,500 34,265
6.250% due 08/15/2023 4,600 4,686
6.000% due 02/15/2026 (h) 74,800 74,122
5.500% due 08/15/2028 10,000 9,284
6.250% due 05/15/2030 21,550 22,661
U.S. Treasury Notes
4.250% due 11/15/2003 21,250 20,112
6.750% due 05/15/2005 50,000 51,609
5.750% due 08/15/2010 (h) 40,000 40,088
2000 Semi-Annual Report See accompanying notes 21
<PAGE>
Schedule of Investments (Cont.)
U.S. Government Sector Portfolio
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
U.S. Treasury Strips
0.000% due 08/15/2003 $ 11,200 $ 9,452
0.000% due 05/15/2004 2,100 1,700
0.000% due 02/15/2006 7,800 5,670
0.000% due 05/15/2006 13,500 9,663
0.000% due 05/15/2013 20,700 9,626
0.000% due 02/15/2015 3,500 1,458
0.000% due 05/15/2015 37,300 15,320
0.000% due 02/15/2019 16,600 5,437
0.000% due 08/15/2020 2,400 720
0.000% due 11/15/2024 25,000 5,937
0.000% due 02/15/2026 3,500 779
------------
Total U.S. Treasury Obligations 539,136
(Cost $539,383) ============
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 7.1%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 2.5%
Federal Home Loan Mortgage Corp.
6.500% due 10/15/2016 5,549 5,521
6.000% due 12/15/2028 10,916 8,384
6.000% due 05/15/2029 108 87
Federal National Mortgage Association
7.000% due 01/25/2020 1,096 1,091
Merrill Lynch Mortgage Investors, Inc.
6.210% due 03/20/2017 1,047 1,043
Residential Asset Securitization Trust
7.750% due 07/25/2027 862 858
Sears Mortgage Securities
6.410% due 07/25/2019 1,809 1,736
------------
18,720
============
Federal National Mortgage Association 0.4%
6.972% due 01/01/2029 (d) 2,286 2,256
7.343% due 12/01/2022 (d) 453 466
------------
2,722
============
Government National Mortgage Association 4.2%
6.375% due 04/20/2023-05/20/2024 (d)(e) 10,637 10,718
6.750% due 07/20/2025-08/20/2026 (d)(e) 3,416 3,447
7.000% due 05/20/2030 (d) 9,894 9,915
7.125% due 10/20/2023-10/20/2024 (d)(e) 2,502 2,521
7.375% due 02/20/2024-02/20/2026 (d)(e) 4,403 4,436
------------
31,037
------------
Total Mortgage-Backed Securities 52,479
(Cost $52,710) ============
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 9.5%
--------------------------------------------------------------------------------
Advanta Revolving Home Equity Loan Trust
6.990% due 01/25/2024 (d) 1,831 1,837
AFC Home Equity Loan Trust
6.951% due 06/25/2030 (d) 19,363 19,400
Contimortgage Home Equity Loan Trust
6.828% due 08/15/2028 (d) 100 100
Empire Funding Home Loan Owner Trust
6.860% due 04/25/2016 9,490 9,421
EQCC Home Equity Loan Trust
8.340% due 08/15/2025 4,000 4,036
Household Consumer Loan Trust
7.038% due 08/15/2006 (d) 2,078 2,072
Metris Master Trust
7.270% due 04/20/2006 (d) 1,700 1,708
NPF XII, Inc.
7.337% due 11/01/2003 (d) 10,000 10,000
PacificAmerica Home Equity Loan
6.821% due 06/26/2028 (d) 946 945
Residential Asset Securities Corp.
6.960% due 07/25/2014 3,776 3,762
7.615% due 01/25/2015 3,079 3,077
Signet HELOC Trust
6.838% due 06/20/2004 (d) 2,012 2,015
Student Loan Marketing Assn.
6.781% due 01/25/2007 (d) 1,169 1,169
6.751% due 04/25/2007 (d) 4,252 4,238
The Money Store Home Equity Trust
6.798% due 06/15/2029 (d) 4,674 4,677
WMC Mortgage Loan
6.790% due 06/20/2028 (d) 1,022 1,020
------------
Total Asset-Backed Securities 69,477
(Cost $69,390) ============
--------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.6%
--------------------------------------------------------------------------------
Interest Rate Swap (OTC)
Strike @ 7.000% Exp. 08/12/2010 100,000 4,683
------------
Total Purchased Call Options 4,683
(Cost $3,671) ============
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
--------------------------------------------------------------------------------
Eurodollar December Futures (CME)
Strike @ 90.75 Exp. 12/18/2000 400,000 6
U.S. Treasury Note December Futures (CBOT)
Strike @ 91.00 Exp. 11/18/2000 95,000 17
------------
Total Purchased Put Options 23
(Cost $32) ============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 5.4%
--------------------------------------------------------------------------------
Commercial Paper 5.4%
American Electric Power, Inc.
6.700% due 10/18/2000 600 598
AT&T Corp.
6.470% due 11/29/2000 200 198
Conagra, Inc.
6.670% due 10/18/2000 900 897
6.670% due 11/15/2000 5,300 5,257
Detroit Edison Co.
7.017% due 01/29/2001 2,800 2,797
Dominion Resources, Inc.
6.710% due 10/18/2000 5,700 5,683
Edison Mission Midwest Holdings
6.720% due 10/18/2000 3,300 3,290
Ingersoll-Rand Co.
6.700% due 11/01/2000 900 895
International Paper Co.
6.700% due 10/10/2000 1,200 1,198
6.720% due 11/17/2000 3,300 3,272
Sprint Capital Corp.
6.720% due 11/08/2000 3,600 3,575
Sumitomo Corporation of America
6.700% due 10/18/2000 200 199
UBS AG
6.680% due 10/02/2000 10,000 10,000
Williams Cos., Inc.
7.231% due 04/10/2001 1,600 1,600
------------
39,459
============
U.S. Treasury Bills (b) 0.0%
5.940% due 02/01/2001 185 181
------------
Total Short-Term Instruments 39,640
(Cost $39,640) ============
Total Investments (a) 161.6% $1,188,657
(Cost $1,183,062)
Written Options (c) (0.0%) (1)
(Premiums $7)
Other Assets and Liabilities (Net) (61.6%) (453,287)
------------
Net Assets 100.0% $ 735,369
============
22 PIMCO Funds See accompanying notes
<PAGE>
--------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 7,883
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (2,288)
------------
Unrealized appreciation-net $ 5,595
============
(b) Securities with an aggregate market value of $13,214
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
U.S. Treasury 10 Year Note (12/2000) 1,628 $ 104
U.S. Treasury 30 Year Note (12/2000) 1,040 (414)
Municipal Bond (12/2000) 54 (69)
------------
$ (379)
============
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 106.00 Exp.11/18/2000 50 $ 7 $ 1
-------------------
(d) Variable rate security. The rate listed is as of September 30, 2000.
(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) Swap agreements outstanding at September 30, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive floating rate based on 3-month LIBOR plus
0.470% and pay a fixed rate equal to 7.750%.
Broker: Morgan Stanley
Exp. 06/15/2005 $ 10,000 $ (215)
Receive floating rate based on 3-month LIBOR plus 1.000% and
pay to the counterparty the notional amount of $10,000 in exchange
for shares of Nabors Industries, Inc. due 6/20/2020 when the
convertible debentures mature.
Broker: Morgan Stanley
Exp. 06/20/2003 6,084 (2)
Receive a fixed rate equal to 7.415% and
pay floating rate based on 3-month LIBOR.
Broker: Deutsche Bank AG New York
Exp. 05/03/2010 6,200 231
Receive a fixed rate equal to 8.000% and
pay floating rate equal to 3-month LIBOR.
Broker: J.P. Morgan
Exp. 09/15/2010 24,500 1,433
Receive floating rate based on 3-month LIBOR and
pay a fixed rate equal to 8.000%.
Broker: Goldman Sachs
Exp. 09/15/2010 5,000 (282)
Receive floating rate based on 3-month LIBOR and
pay a fixed rate equal to 8.000%.
Broker: Morgan Stanley
Exp. 09/15/2010 1,500 (61)
Receive floating rate based on 3-month LIBOR and
pay a fixed rate equal to 8.000%.
Broker: Goldman Sachs
Exp. 09/15/2010 2,000 (72)
Receive floating rate based on 3-month LIBOR and
pay a fixed rate equal to 8.000%.
Broker: Morgan Stanley
Exp. 09/15/2010 2,500 (76)
Receive fixed rate equal to 8.000% and
pay floating rate based on 3-month LIBOR.
Broker: Lehman Brothers
Exp. 09/15/2010 2,500 94
Receive floating rate based on 3-month LIBOR
and pay a fixed rate equal to 7.000%.
Broker: Morgan Stanley
Exp. 09/15/2010 2,500 (50)
Receive a fixed rate equal to 7.317% and
pay floating rate based on 3-month LIBOR.
Broker: Morgan Stanley
Exp. 11/15/2003 21,250 279
------------
$ 1,279
============
2000 Semi-Annual Report See accompanying notes 23
<PAGE>
Schedule of Investments (Cont.)
U.S. Government Sector Portfolio
September 30, 2000 (Unaudited)
Fixed Unrealized
Rate Notional Appreciation/
Type (%) Amount (Depreciation)
--------------------------------------------------------------------------------
Receive the 5-year Swap Spread and pay a fixed spread.
The 5-year Swap Spread is the difference between the
5-year Swap Rate and the 5-year Treasury Rate.
Broker: Lehman Brothers
Exp. 04/10/2005 0.950 $ 27,000 $ (37)
Receive On-The-Run 10-year Swap Spread and pay a fixed spread.
The On-The-Run 10-year Swap Spread is the difference between the
10-year Swap Rate and the 10-year Treasury Rate.
Broker: Bank of America
Exp. 06/17/2002 1.310 53,750 (511)
Receive the 10-year Swap Spread and pay a fixed spread.
The 10-year Swap Spread is the difference between the
10-year Swap Rate and the 10-year Treasury Rate.
Broker: Morgan Stanley
Exp. 06/29/2015 1.3367 20,000 (217)
Receive a fixed spread and pay On-The-Run 10-year Swap Spread.
The On-The-Run 10-year Swap Spread is the difference between the
10-year Swap Rate and the 10-year Treasury Rate.
Broker: Bank of America
Exp. 06/15/2001 1.320 50,000 500
Broker: Morgan Stanley
Exp. 07/27/2001 1.300 50,000 450
Receive On-The-Run 2-year Swap Spread and pay a fixed spread.
The On-The-Run 2-year Swap Spread is the difference between the
2-year Swap Rate and the 2-year Treasury Rate.
Broker: Bank of America
Exp. 07/19/2001 0.925 25,000 (211)
------------
$ (26)
============
(h) Subject to financing transaction.
24 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Mortgage Portfolio
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 11.6%
--------------------------------------------------------------------------------
Banking & Finance 6.0%
AESOP Funding II LLC
6.220% due 10/20/2001 $ 500 $ 500
Bank of America Corp.
7.750% due 10/30/2030 13,170 12,534
Bear Stearns Co., Inc.
7.086% due 08/01/2002 (d) 5,600 5,612
7.125% due 03/28/2003 (d) 3,700 3,700
6.972% due 05/06/2003 (d) 1,300 1,301
7.058% due 05/16/2003 (d) 2,500 2,512
6.870% due 07/22/2003 (d) 3,200 3,213
7.100% due 06/01/2004 (d) 2,700 2,719
7.210% due 11/30/2004 (d) 6,200 6,213
Beneficial Corp.
6.870% due 03/01/2002 (d) 7,000 7,011
Capital One Bank
7.583% due 01/27/2004 (d) 9,800 9,920
Credit Suisse First Boston Mortgage
8.618% due 11/15/2001 (d) 3,795 3,813
Donaldson, Lufkin & Jenrette, Inc.
7.030% due 03/15/2002 (d) 1,600 1,600
Finova Capital Corp.
7.340% due 11/08/2002 (d) 3,500 2,846
First Chicago Corp.
6.740% due 03/11/2002 (d) 10,000 10,023
Ford Credit Auto Owner Trust
5.810% due 03/15/2002 863 861
Ford Motor Credit Corp.
6.620% due 07/13/2001 (d) 5,900 5,896
6.950% due 11/24/2003 (d) 3,000 2,999
7.083% due 07/19/2004 (d) 4,000 4,004
General Motors Acceptance Corp.
6.880% due 02/14/2003 (d) 4,500 4,494
7.388% due 07/20/2003 (d) 958 957
6.540% due 04/05/2004 (d) 14,600 14,580
7.348% due 09/20/2004 (d) 943 942
Goldman Sachs Group
6.810% due 10/02/2002 (d) 8,000 7,997
6.511% due 01/17/2003 (d) 1,000 1,001
Heller Financial, Inc.
7.070% due 10/22/2001 (d) 600 601
6.910% due 03/20/2002 (d) 1,800 1,800
6.890% due 06/10/2002 3,000 3,003
Household Bank
6.227% due 10/22/2003 (d) 7,000 6,977
Korea Development Bank
7.675% due 10/06/2000 (d) 19,700 19,700
Lehman Brothers Holdings, Inc.
7.678% due 04/02/2002 (d) 17,500 17,657
7.533% due 07/15/2002 (d) 3,700 3,732
6.410% due 09/03/2002 (d) 2,900 2,898
7.210% due 12/12/2002 (d) 1,700 1,707
7.169% due 04/04/2003 (d) 6,100 6,102
MBNA America Bank
6.852% due 08/07/2001 (d) 100 100
6.505% due 12/10/2002 (d) 7,250 7,152
Morgan Stanley, Dean Witter, Discover and Co.
6.890% due 02/21/2003 (d) 1,500 1,503
Popular, Inc.
6.550% due 10/10/2000 2,335 2,335
Protective Life Funding Trust
7.090% due 01/17/2003 (d) 2,000 1,997
Qwest Capital Funding, Inc.
7.195% due 07/08/2002 (d) 4,000 4,004
Racers
6.930% due 03/03/2003 (d) 8,200 8,200
Salomon, Smith Barney Holdings
6.938% due 02/11/2003 (d) 1,200 1,201
Transamerica Finance Corp.
6.910% due 09/17/2001 (d) 1,000 1,000
U.S. Bancorp
6.941% due 02/03/2003 (d) 4,800 4,803
Wachovia Corp.
7.261% due 05/02/2005 (d) 4,500 4,496
------------
218,216
============
Industrials 2.0%
AMR Corp.
10.000% due 02/01/2001 2,250 2,262
Bellat Racers
6.208% due 04/01/2003 (d) 10,000 9,978
Boise Cascade Co.
10.390% due 11/10/2000 1,050 1,051
Coastal Corp.
10.375% due 10/01/2000 2,670 2,670
6.568% due 03/06/2002 (d) 8,100 8,100
Cox Enterprises, Inc.
7.611% due 05/01/2033 (d) 3,500 3,498
Crompton Corp.
7.653% due 03/07/2001 (d) 1,700 1,700
Kroger Co.
7.661% due 10/01/2010 (d) 500 501
Northwest Airlines, Inc.
8.072% due 10/01/2019 15,000 15,414
Occidental Petroleum
7.360% due 10/03/2008 (d) 1,800 1,798
Petroleos Mexicanos
8.314% due 07/15/2005 (d) 4,700 4,712
Staples, Inc.
7.540% due 11/26/2001 (d) 9,000 9,001
TCI Communications, Inc.
7.360% due 03/11/2003 (d) 1,000 1,001
Union Pacific Corp.
7.327% due 07/01/2002 (d) 10,000 10,012
Williams Communications Group, Inc.
6.596% due 11/15/2001 (d) 2,600 2,602
------------
74,300
============
Utilities 3.6%
Arizona Public Service
7.440% due 10/15/2001 (d) 2,800 2,800
Central Power & Light Co.
7.140% due 02/22/2002 (d) 5,000 4,999
Dominion Resources, Inc.
7.600% due 07/15/2003 5,000 5,054
El Paso Energy Corp.
6.931% due 07/15/2001 (d) 8,600 8,605
Entergy Gulf States, Inc.
8.040% due 06/02/2003 (d) 1,100 1,101
Hawaiian Electric Industries, Inc.
7.783% due 04/15/2003 (d) 3,000 3,002
Indiana Michigan Power
7.270% due 11/22/2000 (d) 3,750 3,752
Nabors Industries, Inc.
0.010% due 06/20/2020 46,000 32,086
Oneok, Inc.
7.390% due 04/24/2002 (d) 4,000 4,005
Public Service Enterprise Group, Inc.
6.910% due 11/22/2000 (d) 3,000 3,000
7.010% due 11/22/2000 (d) 3,500 3,501
Sierra Pacific Resources
7.390% due 04/20/2002 (d) 24,000 24,000
Sprint Capital Corp.
7.010% due 06/10/2002 (d) 1,000 1,000
System Energy Resources
7.380% due 10/01/2000 1,900 1,900
Texas Utilities Co.
6.310% due 12/01/2000 (d) 10,200 10,200
7.315% due 06/25/2001 (d) 16,400 16,389
7.571% due 09/24/2001 (d) 4,000 4,021
------------
129,415
------------
Total Corporate Bonds & Notes 421,931
(Cost $419,362) ============
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.1%
--------------------------------------------------------------------------------
Louisiana 0.1%
Louisiana Housing Finance Agency Mortgage Revenue,
(GNMA Insured), Series 2000 7.330% due 12/01/2030 5,000 5,000
------------
Total Municipal Bonds & Notes 5,000
(Cost $5,000) ============
2000 Semi-Annual Report See accompanying notes 25
<PAGE>
Schedule of Investments (Cont.)
Mortgage Portfolio
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 0.3%
--------------------------------------------------------------------------------
Federal Home Loan Bank
6.750% due 08/27/2013 $ 1,000 $ 931
6.500% due 10/07/2013 500 458
6.100% due 10/28/2013 1,000 892
6.375% due 11/05/2013 500 454
6.320% due 11/05/2013 500 452
6.500% due 11/18/2013 500 458
6.500% due 01/06/2014 500 457
6.330% due 01/07/2014 1,000 904
6.515% due 02/24/2014 500 457
Small Business Administration
8.000% due 07/01/2014 3,810 3,921
------------
Total U.S. Government Agencies 9,384
(Cost $9,245) ============
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 5.0%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (h)
3.625% due 07/15/2002 (b) 14,911 14,907
U.S. Treasury Bonds
6.000% due 02/15/2026 (g) 149,500 148,146
U.S. Treasury Notes
5.750% due 08/15/2010 16,600 16,654
U.S. Treasury Strips
0.000% due 02/15/2015 1,400 583
------------
Total U.S. Treasury Obligations 180,290
(Cost $180,648) ============
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 147.7%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 37.5%
ABN AMRO Mortgage Corp.
6.750% due 09/25/2028 8,142 7,671
6.500% due 06/25/2029 2,100 1,929
Aetna Commercial Trust
7.100% due 12/26/2030 4,000 3,981
Allied Capital Commercial Mortgage Trust
6.310% due 09/25/2003 103 101
American Southwest Financial Securities Corp.
7.248% due 11/25/2038 1,684 1,634
Banc of America Funding Corp.
7.070% due 05/12/2005 (d) 29,500 29,500
6.750% due 11/20/2032 20,000 18,911
Bank of America Mortgage Securities, Inc.
6.250% due 07/25/2014 2,747 2,608
6.650% due 07/25/2028 741 735
6.500% due 05/25/2029 1,000 918
7.750% due 10/25/2030 11,010 10,443
Bayview Financial Revolving Mortgage
7.110% due 08/25/2029 (d) 17,600 17,600
7.920% due 08/25/2029 (d) 4,300 4,229
Bear Stearns Mortgage Securities, Inc.
6.980% due 06/26/0403 (d) 2,067 2,041
7.062% due 05/25/2023 (d) 2,122 2,074
6.500% due 12/28/2023 5,200 4,748
6.350% due 08/25/2024 289 288
7.000% due 08/25/2024 1,000 985
7.000% due 01/25/2028 13,886 13,365
7.000% due 02/25/2028 2,500 2,406
6.200% due 03/25/2028 2,500 2,469
CDC Depositor Trust I
7.051% due 01/15/2003 (d) 3,522 3,509
Cendant Mortgage Corp.
6.750% due 05/18/2012 (d) 8,350 8,180
7.250% due 04/18/2013 (d) 12,074 12,040
7.250% due 05/18/2013 (d) 7,350 7,297
6.500% due 01/15/2016 1,283 1,263
7.500% due 06/18/2030 (d) 6,000 5,839
7.147% due 06/30/2030 (d) 7,465 7,465
Chase Commercial Mortgage Securities Corp.
7.600% due 12/18/2005 1,456 1,483
Chase Mortgage Finance Corp.
6.750% due 11/25/2024 1,000 883
6.750% due 06/25/2028 2,000 1,922
6.500% due 07/25/2028 (d) 1,383 1,369
6.100% due 02/25/2029 3,810 3,755
6.350% due 07/25/2029 7,654 7,578
7.750% due 04/25/2030 8,900 8,914
Citicorp Mortgage Securities, Inc.
6.000% due 01/25/2009 1,410 1,395
6.500% due 02/25/2024 (d) 7,958 6,649
6.250% due 04/25/2024 10,561 10,467
6.250% due 08/25/2024 490 430
6.500% due 03/25/2029 2,000 1,840
6.250% due 10/25/2029 6,800 6,259
CMC Securities Corp. III
6.750% due 11/25/2023 1,741 1,729
6.150% due 05/25/2028 1,900 1,885
CMC Securities Corp. IV
7.250% due 11/25/2027 3,470 3,418
Collateralized Mortgage Securities Corp.
10.950% due 02/01/2014 939 940
COMM
6.922% due 10/16/2002 (d) 1,184 1,183
Commercial Mortgage Asset Trust
6.250% due 08/17/2006 (d) 1,377 1,343
6.640% due 09/17/2010 3,000 2,893
Countrywide Funding Corp.
6.000% due 05/25/2009 1,568 1,551
6.500% due 02/25/2024 8,500 7,840
6.630% due 02/25/2024 7,300 6,882
6.880% due 03/25/2024 2,000 1,894
Countrywide Home Loans
6.500% due 07/25/2013 1,802 1,745
6.750% due 08/25/2028 4,084 4,052
6.000% due 08/25/2029 900 888
Countrywide Mortgage Backed Securities, Inc.
6.750% due 05/25/2024 2,500 2,346
CS First Boston Mortgage Securities Corp.
6.850% due 12/17/2007 22,000 21,337
6.960% due 06/20/2029 4,598 4,593
6.400% due 01/17/2035 1,223 1,212
DLJ Commercial Mortgage Corp.
7.377% due 09/05/2001 (d) 3,500 3,533
DLJ Mortgage Acceptance Corp.
7.580% due 02/12/2006 (d) 4,800 4,862
8.030% due 11/25/2023 (d) 712 731
8.625% due 10/25/2024 (d) 670 684
6.850% due 12/17/2027 265 264
DVI Business Credit Receivable
7.298% due 10/15/2003 (d) 6,150 6,215
Enterprise Mortgage Acceptance Co.
6.110% due 01/15/2005 821 808
Fairfax Funding Trust
6.483% due 04/02/2013 250 239
FDIC Remic Trust
6.750% due 05/25/2026 80 80
Federal Agricultural Mortgage Corp.
8.314% due 04/25/2030 8,334 8,472
Federal Home Loan Mortgage Corp.
8.000% due 09/15/2006 1,479 1,483
5.500% due 06/15/2016 1 1
6.500% due 10/15/2016 1,110 1,104
5.900% due 06/15/2017 251 250
5.800% due 06/15/2019 872 867
6.300% due 10/15/2019 1,383 1,371
9.000% due 12/15/2020 337 348
6.250% due 01/15/2021 313 306
9.000% due 02/15/2021 4,891 5,051
6.000% due 04/15/2021 9,000 8,797
9.500% due 07/15/2021 1,171 1,194
7.000% due 10/15/2021 176 176
7.000% due 08/15/2022 6,635 6,268
6.000% due 10/15/2022 450 432
6.500% due 12/17/2022 793 761
7.500% due 03/15/2023 1,741 1,692
26 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
7.000% due 05/15/2023 $ 300 $ 276
7.000% due 07/15/2023 624 566
7.500% due 07/15/2023 2,281 2,306
7.000% due 07/15/2023 2,705 2,458
6.250% due 09/15/2023 4,746 4,181
6.000% due 12/15/2023 417 378
6.500% due 01/15/2024 1,372 1,198
6.800% due 02/15/2024 1,326 1,177
6.500% due 03/15/2024 1,524 1,337
6.250% due 07/15/2024 2,255 2,181
8.500% due 03/15/2025 2,122 2,208
7.000% due 04/15/2026 2,722 2,394
6.250% due 11/15/2026 2,200 2,093
6.500% due 06/15/2027 1,000 928
7.022% due 02/15/2028 (d) 5,094 5,091
6.500% due 04/15/2028 2,000 1,805
6.000% due 05/15/2028 3,200 2,739
6.500% due 06/15/2028 2,843 2,387
6.500% due 08/15/2028 886 745
6.500% due 10/15/2028 2,471 2,028
6.000% due 11/25/2028 542 421
6.000% due 12/15/2028 4,000 3,408
6.250% due 12/15/2028 1,975 1,625
6.000% due 02/15/2029 2,166 1,609
6.500% due 03/15/2029 8,122 6,890
7.500% due 09/15/2029 5,288 4,906
7.500% due 06/15/2030 8,151 7,779
7.000% due 09/17/2031 4,846 4,802
Federal National Mortgage Association
6.270% due 09/25/2007 3,000 2,852
6.500% due 05/25/2008 500 497
6.000% due 12/25/2008 138 138
4.000% due 02/25/2009 800 715
6.500% due 02/25/2009 1,352 1,270
6.000% due 03/25/2009 295 267
6.250% due 12/25/2013 13,708 12,770
6.500% due 07/25/2015 1,072 1,066
6.500% due 04/25/2019 1,979 1,948
6.350% due 06/25/2020 1,000 925
9.000% due 06/25/2020 3,482 3,604
6.500% due 09/25/2020 1,231 1,219
6.500% due 05/25/2021 262 254
6.100% due 08/25/2021 4,065 4,007
6.500% due 04/25/2022 202 196
7.000% due 10/25/2022 1,252 1,194
7.800% due 10/25/2022 896 906
7.500% due 03/25/2023 1,757 1,700
5.000% due 04/25/2023 230 185
6.500% due 05/25/2023 2,500 2,337
6.000% due 08/25/2023 1,483 1,266
6.500% due 09/18/2023 3,576 3,543
7.500% due 09/20/2023 2,093 2,101
7.175% due 09/25/2023 (d) 8,469 8,287
7.000% due 09/25/2023 4,890 4,367
7.000% due 10/25/2023 137 127
7.000% due 12/25/2023 943 854
5.000% due 01/25/2024 64 64
6.500% due 01/25/2024 1,632 1,466
6.500% due 02/25/2024 2,532 2,258
7.000% due 04/25/2024 2,347 2,186
6.600% due 05/18/2025 1,256 1,216
7.500% due 11/17/2025 968 956
7.500% due 11/20/2026 8,399 8,122
7.000% due 11/25/2026 2,629 2,372
7.000% due 12/25/2026 1,307 1,197
7.500% due 01/18/2027 10,285 9,873
7.500% due 04/18/2027 2,211 2,110
7.000% due 12/20/2027 2,395 2,188
6.500% due 04/18/2028 514 474
6.500% due 05/18/2028 3,452 2,921
6.500% due 06/25/2028 6,000 5,521
6.000% due 07/18/2028 6,650 5,212
5.000% due 11/25/2028 264 147
6.290% due 02/25/2029 1,500 1,285
7.500% due 02/25/2030 1,051 1,005
8.946% due 06/25/2032 4,581 4,853
6.500% due 12/17/2035 13,021 10,230
6.390% due 05/25/2036 1,124 959
7.413% due 01/17/2037 189 185
6.500% due 09/17/2038 2,204 1,901
7.368% due 01/17/2040 (d) 4,099 3,579
7.500% due 12/31/2049 8,500 7,926
FFCA Secured Lending Corp.
7.130% due 02/18/2009 (d) 445 443
7.850% due 05/18/2017 (d) 16,900 16,883
First Boston Mortgage Securities Corp.
6.750% due 09/25/2006 1,415 1,409
First Nationwide Trust
6.500% due 03/25/2029 1,200 1,126
8.000% due 10/25/2030 2,175 2,067
General Electric Capital Mortgage Services, Inc.
7.000% due 11/25/2007 2,158 2,132
6.380% due 05/25/2014 1,021 1,016
6.500% due 09/25/2023 1,000 867
6.500% due 11/25/2023 17,000 15,955
6.500% due 03/25/2024 8 7
7.500% due 03/25/2027 2,800 2,746
7.000% due 10/25/2027 10,628 10,062
7.000% due 11/25/2027 15,143 14,590
6.250% due 01/25/2028 1,422 1,415
6.500% due 05/25/2029 900 829
6.750% due 08/25/2029 4,445 4,404
7.750% due 04/25/2030 2,000 1,964
General Motors Acceptance Corp.
6.411% due 11/15/2007 1,195 1,173
6.700% due 03/15/2008 19,700 19,153
GMAC Commercial Mortgage Securities, Inc.
7.070% due 02/20/2003 (d) 1,095 1,096
7.000% due 09/20/2005 (d) 4,200 4,201
7.151% due 02/15/2008 (d) 15,266 15,314
6.420% due 08/15/2008 589 561
6.570% due 09/15/2033 610 600
6.945% due 09/15/2033 17,500 17,251
Government Lease Trust
4.000% due 05/18/2011 6,300 4,729
Government National Mortgage Association
8.000% due 11/01/2013 3,164 3,147
5.650% due 10/20/2018 1,064 1,045
7.250% due 12/16/2023 6,084 6,104
7.120% due 06/16/2026 5,712 5,675
7.000% due 07/16/2026 1,338 1,241
6.500% due 09/20/2028 2,265 1,880
6.500% due 01/20/2029 3,342 2,773
6.250% due 03/16/2029 2,500 2,165
6.500% due 03/20/2029 2,400 2,202
6.500% due 04/20/2029 4,659 3,862
6.500% due 08/20/2029 14,263 12,047
8.000% due 01/16/2030 2,109 2,172
7.120% due 02/16/2030 (d) 2,132 2,142
7.500% due 02/20/2030 2,000 1,988
8.000% due 03/20/2030 2,000 2,098
Housing Securities, Inc.
6.000% due 02/25/2008 227 225
6.500% due 07/25/2009 489 482
Impac CMB Trust
6.805% due 07/25/2028 (d) 2,123 2,124
Independent National Mortgage Corp.
9.071% due 01/25/2025 (d) 214 219
J.P. Morgan Commercial Mortgage Finance Corp.
6.898% due 04/15/2010 (d) 1,500 1,500
6.373% due 01/15/2030 1,181 1,168
6.533% due 01/15/2030 30,000 29,318
6.180% due 10/15/2035 0 0
LB Mortgage Trust
8.396% due 01/20/2017 (d) 3,706 3,845
LTC Commercial Mortgage
6.029% due 05/28/2030 (d) 1,493 1,442
2000 Semi-Annual Report See accompanying notes 27
<PAGE>
Schedule of Investments (Cont.)
Mortgage Portfolio
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Mellon Residential Funding Corp.
5.652% due 06/26/2028 $ 2,000 $ 1,972
6.200% due 06/26/2028 1,125 1,119
6.580% due 07/25/2029 (d) 15,000 14,812
6.460% due 07/25/2029 (d) 916 912
Merrill Lynch Mortgage Investors, Inc.
6.050% due 10/15/2008 3,223 3,124
6.500% due 09/28/2015 11,566 10,550
7.068% due 12/26/2025 300 300
6.950% due 06/18/2029 3,049 3,049
6.220% due 02/15/2030 1,584 1,553
Morgan Stanley Capital
7.229% due 01/16/2006 2,135 2,158
6.860% due 05/15/2006 (d) 2,177 2,172
6.190% due 01/15/2007 3,794 3,718
7.460% due 02/15/2020 5,400 5,489
6.860% due 08/15/2023 4,825 4,757
Morgan Stanley Capital I
6.440% due 11/15/2002 133 132
5.990% due 01/15/2028 207 202
Morgan Stanley, Dean Witter Capital Trust
7.730% due 03/15/2016 (d) 12,000 12,012
Morgan Stanley, Dean Witter, Discover and Co.
7.520% due 07/15/2010 (d) 27,000 27,222
Mortgage Capital Funding, Inc.
6.325% due 10/18/2007 1,708 1,672
NationsBanc Montgomery Funding Corp.
6.500% due 07/25/2028 3,000 2,763
Nationslink Funding Corp.
6.333% due 10/22/2004 3,094 3,049
6.654% due 02/10/2006 16,000 15,794
7.181% due 12/20/2006 23,298 23,482
6.970% due 04/10/2007 (d) 2,967 2,968
Nomura Depositor Trust
6.898% due 01/15/2003 (d) 261 261
Norwest Asset Securities Corp.
6.500% due 03/25/2014 31,184 30,088
6.250% due 06/25/2014 3,492 3,321
7.500% due 03/25/2027 1,166 1,163
7.250% due 10/25/2027 8,400 8,249
6.250% due 08/25/2028 1,682 1,664
6.750% due 10/25/2028 8,716 8,234
6.250% due 12/25/2028 2,000 1,801
6.500% due 01/25/2029 6,500 6,120
6.100% due 02/25/2029 5,324 5,086
6.500% due 03/25/2029 10,000 9,199
6.250% due 05/25/2029 500 419
6.000% due 07/25/2029 5,600 5,290
6.500% due 10/25/2029 990 912
7.250% due 02/25/2030 3,257 3,047
Norwest Integrated Structured Assets, Inc.
7.000% due 06/25/2028 3,000 2,888
7.000% due 09/25/2029 2,808 2,688
PaineWebber Mortgage Acceptance Corp.
7.750% due 09/25/2030 10,000 9,840
PHH Mortgage Services Corp.
7.181% due 11/18/2027 1,916 1,825
PNC Mortgage Securities Corp.
7.000% due 12/25/2027 5,190 4,901
6.625% due 03/25/2028 1,655 1,629
6.750% due 10/25/2028 7,362 6,738
6.750% due 04/25/2029 200 188
6.750% due 08/25/2029 2,903 2,882
7.250% due 10/25/2029 2,498 2,435
Prudential Home Mortgage Securities
6.750% due 11/25/2007 1,431 1,422
7.000% due 01/25/2008 400 396
6.000% due 02/25/2009 19,735 17,959
6.600% due 08/25/2023 2,167 2,144
6.800% due 05/25/2024 3,841 3,212
8.000% due 05/25/2024 6 6
Prudential Securities Secured Financing Corp.
6.105% due 11/15/2002 111 110
6.955% due 06/15/2008 3,103 3,097
7.000% due 09/25/2020 1,671 1,656
Residential Accredit Loans, Inc.
7.750% due 04/25/2027 1,033 1,031
6.750% due 06/25/2029 3,000 2,822
7.750% due 03/25/2030 3,182 3,203
Residential Asset Securitization Trust
6.500% due 09/25/2014 4,041 3,911
7.500% due 09/25/2027 66 65
6.750% due 03/25/2028 2,022 2,011
6.750% due 04/25/2028 486 483
6.250% due 11/25/2028 4,000 3,766
6.500% due 12/25/2028 7,625 6,906
Residential Funding Mortgage Securities I
7.750% due 09/25/2030 4,600 4,377
Residential Funding Mortgage Securities II
6.500% due 02/09/2020 (d) 5,000 5,000
6.650% due 02/09/2028 (d) 25,000 25,000
Residential Funding Mortgage Securities, Inc.
6.981% due 06/25/2008 5,600 5,578
6.478% due 10/25/2008 412 409
7.000% due 05/25/2012 2,687 2,648
6.500% due 12/25/2012 9,435 9,036
6.250% due 03/25/2014 936 891
6.200% due 11/25/2023 157 156
8.766% due 03/25/2025 (d) 974 988
7.000% due 03/25/2026 4,626 4,514
7.000% due 11/25/2027 7,600 7,283
7.000% due 12/25/2027 2,906 2,749
6.750% due 03/25/2028 2,000 1,889
6.750% due 05/25/2028 2,170 2,019
6.750% due 06/25/2028 3,435 3,372
6.250% due 11/25/2028 6,000 5,432
6.500% due 01/25/2029 19,000 17,485
6.500% due 03/25/2029 5,000 4,656
6.500% due 04/25/2029 4,200 3,862
7.500% due 11/25/2029 3,000 2,891
Resolution Trust Corp.
8.630% due 08/25/2023 (d) 1,850 1,853
7.383% due 01/25/2025 (d) 104 103
8.000% due 06/25/2026 2,465 2,482
RMF Commercial Mortgage Securities, Inc.
7.086% due 01/15/2019 (d) 1,400 1,367
7.100% due 11/28/2027 (d) 1,784 1,784
Saco I, Inc.
7.057% due 09/25/2040 (d) 490 490
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 294 296
7.000% due 04/25/2029 (d) 4,187 4,182
6.920% due 06/25/2029 (d) 1,521 1,521
7.020% due 09/25/2029 (d) 796 799
Sasco Floating Rate Commercial Mortgage
7.170% due 03/25/2002 (d) 3,714 3,683
8.070% due 07/22/2002 (d) 4,742 4,721
Saxon Asset Securities Trust
7.585% due 12/25/2014 407 406
Securitized Asset Sales, Inc.
6.250% due 12/25/2023 324 322
7.000% due 07/25/2024 564 561
Starwood Asset Receivable Trust
6.920% due 08/25/2003 (d) 2,542 2,544
7.620% due 01/25/2004 (d) 20,000 19,928
7.120% due 09/25/2022 (d) 40,000 40,015
Starwood Commercial Mortgage Trust
6.600% due 02/03/2009 (d) 3,823 3,772
Structured Asset Mortgage Investments, Inc.
6.816% due 05/25/2022 (d) 14,663 14,337
Structured Asset Notes Transactions Ltd.
6.650% due 08/30/2005 (d) 995 960
Structured Asset Securities Corp.
6.790% due 12/25/2000 (d) 324 324
7.375% due 09/25/2024 1,100 1,090
7.000% due 12/25/2027 4,300 4,139
6.750% due 07/25/2029 2,702 2,669
7.370% due 02/25/2030 (d) 4,474 4,519
28 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
TMA Mortgage Funding Trust
7.000% due 01/25/2029 (d) $ 4,701 $ 4,701
Union Planters Mortgage Finance Corp.
6.350% due 01/25/2028 380 377
6.600% due 01/25/2028 4,000 3,936
Vendee Mortgage Trust
7.750% due 05/15/2022 6,134 6,194
6.500% due 03/15/2029 2,500 2,303
Washington Mutual, Inc.
7.500% due 11/19/2029 2,000 1,888
------------
1,361,017
============
Federal Home Loan Mortgage Corporation 7.2%
5.000% due 12/01/2001 1 1
5.500% due 12/31/2099 26,300 23,794
6.000% due 09/01/2006-12/01/2099 (e) 63,461 59,349
6.250% due 04/01/2003 131 128
6.350% due 01/01/2028 (d) 1,733 1,720
6.468% due 12/01/2029 (d) 10,630 10,801
6.500% due 03/01/2005-04/15/2028 (e) 13,277 11,051
6.667% due 12/01/2029 (d) 52,138 50,267
6.700% due 09/01/2028 (d) 1,059 1,062
6.706% due 11/01/2027 (d) 1,037 1,046
6.758% due 09/01/2027 (d) 2,676 2,625
6.775% due 11/01/2003 175 171
6.877% due 10/01/2027 (d) 1,103 1,085
6.905% due 07/01/2027 (d) 2,541 2,564
6.973% due 12/01/2026 (d) 1,332 1,327
7.000% due 09/01/2006-12/01/2099 (e) 13,242 13,182
7.228% due 10/01/2024 (d) 809 825
7.344% due 10/01/2023 (d) 958 956
7.400% due 02/01/2021 2,902 2,895
7.414% due 02/01/2027 (d) 4,038 4,127
7.431% due 06/01/2024 (d) 384 394
7.450% due 03/25/2022 2,499 2,500
7.466% due 10/01/2024 (d) 1,198 1,196
7.475% due 03/01/2029 (d) 1,806 1,829
7.499% due 03/01/2027 (d) 536 549
7.500% due 07/01/2009-12/01/2099 (e) 49,331 49,258
7.679% due 09/01/2026 (d) 3,259 3,353
7.950% due 03/31/2030 4,689 4,694
8.000% due 01/01/2005-11/01/2013 (e) 986 995
8.250% due 06/01/2008-12/01/2008 (e) 335 338
8.346% due 06/01/2022 (d) 58 60
8.500% due 05/01/2001-12/31/2099 (e) 2,428 2,493
9.500% due 12/01/2001-12/15/2020 (e) 3,810 3,951
10.000% due 10/01/2005-12/01/2005 (e) 265 272
10.250% due 05/01/2009 2 3
10.750% due 05/01/2010 8 8
------------
260,869
============
Federal Housing Administration 2.6%
1.000% due 07/01/2018-07/01/2025 (e) 40,283 39,936
6.670% due 07/16/2038 295 270
6.875% due 12/01/2016 715 688
6.896% due 07/01/2020 912 877
7.250% due 07/30/2039 634 611
7.400% due 03/15/2019 2,643 2,602
7.430% due 10/01/2018-05/01/2024 (e) 28,309 28,146
7.450% due 05/01/2021 1,224 1,221
7.500% due 12/01/2030-09/01/2034 (e) 2,117 2,069
7.510% due 05/01/2040 2,500 2,456
7.590% due 12/01/2017 3,930 3,947
7.625% due 12/01/2016 460 462
7.630% due 09/01/2039 7,036 6,993
7.750% due 01/01/2016-05/01/2028 (e) 1,334 1,329
8.250% due 05/01/2022 1,017 1,028
8.530% due 02/01/2039 3,217 3,287
------------
95,922
============
Federal National Mortgage Association 44.1%
1.000% due 05/01/2030 (d) 19,738 19,659
5.000% due 07/01/2014 9,722 8,938
5.500% due 12/01/2028-05/01/2029 (e) 1,188 1,073
6.000% due 04/01/2004-10/01/2099 (e) 82,987 77,553
6.130% due 08/01/2005 2,986 2,892
6.250% due 07/01/2003 92 91
6.255% due 09/01/2013 1,800 1,695
6.262% due 02/01/2009 4,845 4,577
6.380% due 10/01/2018 1,963 1,867
6.450% due 09/01/2016 3,921 3,747
6.500% due 09/01/2005-06/17/2038 (e) 6,051 5,326
6.750% due 11/01/2007 86 85
6.784% due 01/01/2027 (d) 1,823 1,806
6.885% due 02/01/2018 (d) 1,738 1,709
6.981% due 06/01/2007 1,121 1,128
7.000% due 06/01/2003-12/01/2099 (e) 42,578 42,001
7.039% due 01/01/2030 (d) 12,804 12,468
7.040% due 03/01/2007 218 219
7.052% due 08/01/2009 1,785 1,771
7.060% due 11/01/2003 280 279
7.086% due 09/01/2003 2,887 2,887
7.131% due 09/01/2007 4,567 4,625
7.235% due 10/01/2003 236 237
7.250% due 01/01/2003-12/01/2022 (d)(e) 564 568
7.310% due 07/01/2003 237 238
7.339% due 12/01/2024 (d) 969 989
7.396% due 02/01/2027 (d) 1,157 1,188
7.430% due 01/25/2023 3,519 3,494
7.460% due 03/01/2030 (d) 17,225 17,192
7.500% due 10/01/2028-12/01/2099 (e) 1,235,583 1,232,553
7.630% due 07/01/2024 (d) 635 650
7.727% due 11/01/2025 (d) 1,079 1,108
7.740% due 11/01/2025 (d) 1,130 1,154
7.750% due 02/01/2008 148 150
7.841% due 05/01/2026 (d) 450 465
7.875% due 12/01/2023 (d) 1,493 1,544
7.896% due 01/01/2024 (d) 106 109
8.000% due 07/01/2007-12/01/2099 (e) 125,433 127,082
8.014% due 03/01/2024 (d) 210 215
8.247% due 02/01/2024 (d) 512 527
8.250% due 05/01/2001 3 3
8.500% due 04/01/2008-11/01/2026 (e) 845 868
8.750% due 04/01/2018 35 36
9.000% due 11/01/2026-06/01/2027 (e) 2,123 2,212
9.250% due 05/01/2010 82 85
9.500% due 11/25/2020-04/01/2025 (e) 10,914 11,421
10.000% due 04/01/2020 428 454
15.500% due 10/01/2012 6 7
15.750% due 12/01/2011 3 4
------------
1,600,949
============
Government National Mortgage Association 55.5%
1.000% due 06/20/2023-12/20/2099 (d)(e) 96,993 96,828
5.500% due 04/20/2030-05/20/2030 (d)(e) 2,979 2,896
6.000% due 12/15/2023-06/20/2030 (d)(e) 1,345 1,312
6.375% due 04/20/2022-05/20/2028 (d)(e) 32,330 32,566
6.500% due 09/15/2023-12/20/2099 (d)(e) 142,640 141,888
6.670% due 10/15/2001 2,705 2,663
6.720% due 11/15/2000 2,334 2,203
6.750% due 07/20/2020-09/20/2027 (d)(e) 89,042 89,846
7.000% due 04/20/2017-12/20/2099 (d)(e) 243,743 243,926
7.125% due 12/20/2018-10/20/2027 (d)(e) 86,388 87,038
7.140% due 02/16/2030 (d) 1,522 1,526
7.250% due 02/15/2001 10,340 10,344
7.270% due 02/16/2030 (d) 3,752 3,756
7.375% due 03/20/2021-06/20/2027 (d)(e) 23,530 23,720
7.500% due 03/15/2001-12/20/2099 (d)(e) 74,364 74,353
7.700% due 06/15/2001 2,386 2,379
7.750% due 10/15/2025-11/15/2025 (e) 790 796
8.000% due 09/15/2005-12/20/2099 (e) 729,585 741,928
8.250% due 07/15/2008 237 243
8.500% due 12/31/2099 427,800 437,667
9.000% due 09/15/2006-08/20/2030 (e) 12,324 12,723
9.500% due 09/15/2009-12/15/2021 (e) 2,707 2,853
11.000% due 07/15/2010 20 22
------------
2,013,476
============
2000 Semi-Annual Report See accompanying notes 29
<PAGE>
Schedule of Investments (Cont.)
Mortgage Portfolio
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------
Other Mortgage-Backed Securities 0.6%
Federal Home Loan Mortgage Corp.
10.000% due 07/01/2005 $ 96 $ 97
6.216% due 08/15/2032 (d) 11,569 11,354
Guardian Savings & Loan Assn.
8.217% due 07/25/2019 (d) 100 98
Salomon Brothers Mortgage Securities
8.046% due 11/25/2022 (d) 406 408
Sasco Floating Rate Commercial Mortgage
7.023% due 11/20/2001 (d) 3,803 3,809
Securitized Asset Sales, Inc.
8.489% due 12/26/2023 (d) 143 144
Structured Asset Mortgage Investments,
Inc.
7.242% due 02/25/2030 (d) 5,903 5,804
---------
21,714
=========
Stripped Mortgage-Backed Securities 0.2%
Bear Stearns Mortgage Securities, Inc.
(IO)
7.000% due 08/25/2024 331 27
Chase Mortgage Finance Corp. (PO)
0.000% due 01/25/2030 115 56
Collateralized Mortgage Obligation Trust
(PO)
0.000% due 09/23/2017 50 41
Federal Home Loan Mortgage Corp. (IO)
6.000% due 01/15/2006 100 1
6.500% due 07/15/2006 323 18
6.500% due 08/15/2006 67 1
6.500% due 11/15/2006 232 2
1088.940% due 03/15/2007 3 28
6.500% due 05/15/2007 227 15
6.500% due 07/15/2007 536 22
1170.443% due 07/15/2018 6 52
7.000% due 08/15/2018 1,507 102
7.500% due 08/15/2018 38 0
6.500% due 01/15/2023 1,652 214
7.000% due 10/25/2023 1,633 356
1.487% due 12/15/2023 (d) 2,189 66
Federal National Mortgage Association
(IO)
727.220% due 09/25/2006 12 67
6.500% due 02/25/2007 386 20
7.000% due 04/25/2008 764 102
6.000% due 07/25/2008 103 2
7.000% due 04/25/2019 3,368 208
6.500% due 05/25/2019 3,492 250
7.000% due 08/25/2019 519 36
6.500% due 03/25/2020 846 59
6.500% due 08/25/2020 153 11
839.670% due 08/25/2020 2 33
6.500% due 09/25/2021 606 66
6.500% due 03/25/2022 2,385 243
Federal National Mortgage Association
(PO)
0.000% due 06/25/2022 33 32
0.000% due 08/25/2022 255 191
0.000% due 04/25/2023 4,360 1,847
Government National Mortgage Association (PO)
0.000% due 02/26/2019 883 817
Merrill Lynch Mortgage Investors, Inc.
(IO)
1.000% due 04/25/2028 (d) 38,333 1,639
---------
6,624
---------
Total Mortgage-Backed Securities 5,360,571
(Cost $5,312,022)
--------------------------------------------------------------------
ASSET-BACKED SECURITIES 27.0%
--------------------------------------------------------------------
Aames Mortgage Trust
7.018% due 07/15/2029 (d) 5,955 5,968
7.076% due 10/15/2029 (d) 2,094 2,098
ABFS Equipment Contract Trust
6.100% due 10/15/2005 196 194
ABSC Long Beach Home Equity Loan Trust
7.727% due 06/21/2030 (d) 15,287 15,287
Advanta Mortgage Loan Trust
7.570% due 05/25/2027 3,342 3,329
6.995% due 11/25/2029 (d) 911 912
8.250% due 08/25/2030 10,000 10,243
Aerco Ltd.
7.081% due 07/15/2025 (d) 2,800 2,800
AESOP Funding LLC
6.870% due 11/20/2006 (d) 10,000 10,000
AFC Home Equity Loan Trust
7.030% due 06/24/2029 (d) 7,916 7,946
American Residential Eagle Trust
6.970% due 04/25/2029 (d) 1,172 1,178
Americredit Automobile Receivable
Trust
5.304% due 10/12/2002 3,729 3,717
7.100% due 09/05/2006 (d) 1,000 1,003
Ameriquest Mortgage Securities, Inc.
6.918% due 07/15/2030 (d) 5,742 5,753
Amresco Residential Securities Mortgage Loan Trust
6.820% due 10/25/2027 (d) 640 640
Arcadia Automobile Receivables Trust
6.300% due 07/15/2003 4,700 4,681
Argentina Funding Corp.
6.890% due 05/20/2003 (d) 1,000 1,003
Associates Manufactured Housing
7.000% due 03/15/2027 72 72
Banc One Auto Grantor Trust
6.290% due 07/20/2004 1,946 1,938
Banc One Home Equity Trust
6.460% due 06/25/2029 844 840
Bayview Financial Acquisition Trust
7.220% due 11/25/2029 (d) 1,091 1,091
6.990% due 02/25/2030 (d) 7,697 7,654
7.291% due 07/25/2030 (d) 25,098 25,052
Block Mortgage Finance, Inc.
7.049% due 04/25/2014 2,150 2,142
7.122% due 08/25/2022 1,862 1,856
7.061% due 12/25/2028 (d) 2,300 2,304
Bridgestone/Firestone Master Trust
6.170% due 07/01/2003 443 443
Capital Asset Research Funding LP
6.400% due 12/15/2004 1,598 1,615
5.905% due 12/15/2005 2,082 2,065
Captec Franchise Trust
7.892% due 10/15/2010 5,751 5,870
Case Equipment Loan Trust
5.810% due 05/15/2003 239 239
Centex Home Equity
7.990% due 10/25/2030 14,840 14,907
7.540% due 10/25/2030 29,000 29,099
Centrex Auto Trust
6.150% due 09/15/2004 1,709 1,698
Chase Funding Mortgage Loan
7.170% due 10/25/2030 (d) 15,000 15,000
Chase Loan Obligations Trust
6.888% due 02/15/2006 (d) 1,000 1,001
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 401 401
Chevy Chase Auto Receivables Trust
6.200% due 03/20/2004 1,107 1,102
Circuit City Credit Card Master Trust
6.625% due 08/15/2005 2,000 2,001
6.851% due 02/15/2006 (d) 4,000 4,010
CIT Equipment Collateral
7.520% due 07/20/2011 6,000 6,001
CNL Funding
7.721% due 08/25/2009 23,630 23,957
Commercial Mortgage Acceptance Corp.
5.800% due 03/15/2006 228 220
Community Program Loan Trust
4.500% due 10/01/2018 25,097 22,746
Conseco Finance
7.118% due 02/15/2031 (d) 1,000 1,001
Conseco Finance Lease LLC
7.880% due 08/20/2005 12,967 12,981
8.560% due 07/20/2008 19,091 19,186
Conseco Finance Securitizations Corp.
1.000% due 10/01/2030 1,700 1,699
7.038% due 10/15/2030 (d) 2,589 2,580
30 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------
8.410% due 10/15/2031 $ 11,000 $ 11,439
8.850% due 12/01/2031 22,995 24,221
0.000% due 02/01/2032 40,000 40,156
7.970% due 05/01/2032 13,800 13,992
8.310% due 05/01/2032 25,000 25,456
Contimortgage Home Equity Loan Trust
5.870% due 09/15/2008 812 801
6.791% due 10/15/2012 (d) 389 389
6.020% due 01/25/2014 1,162 1,156
6.420% due 04/25/2014 869 865
6.770% due 01/25/2018 2,000 1,985
6.761% due 06/15/2028 (d) 1,820 1,818
6.831% due 08/15/2028 (d) 149 149
Copelco Capital Funding Corp.
5.780% due 08/15/2001 63 63
6.340% due 07/20/2004 26 26
Cross Country Master Credit
7.121% due 06/15/2006 1,900 1,900
CS First Boston Mortgage Securities Corp.
7.590% due 07/25/2026 8,700 8,771
Delta Funding Home Equity Loan Trust
7.036% due 09/15/2029 (d) 880 883
6.280% due 05/25/2030 516 513
Denver Arena Trust
6.940% due 11/15/2019 6,817 6,211
Embarcadero Aircraft Securitization Trust
7.100% due 08/15/2025 (d) 20,000 20,000
7.720% due 08/15/2025 (d) 10,000 10,000
EQCC Home Equity Loan Trust
6.050% due 02/25/2010 1,596 1,587
5.770% due 05/20/2010 499 497
6.781% due 10/15/2027 (d) 841 840
Felco Funding LLC
5.980% due 09/15/2001 114 115
Fingerhut Master Trust
7.451% due 02/15/2005 (d) 7,400 7,382
First Plus Home Loan Trust
6.040% due 10/10/2013 90 90
6.860% due 10/10/2013 2,355 2,353
6.870% due 08/10/2014 5,992 5,983
6.950% due 10/10/2022 3,500 3,368
First USA Credit Card Master Trust
7.042% due 02/18/2004 (d) 3,500 3,493
FMAC Loan Receivables Trust
1.000% due 12/15/2019 1,449 1,420
6.729% due 12/15/2019 2,700 2,534
Ford Credit Auto Owner Trust
5.770% due 11/15/2001 7,718 7,710
Ford Motor Credit Corp.
5.500% due 02/15/2003 250 249
GMAC Mortgage Corp.
7.950% due 03/25/2030 4,691 4,394
Government Lease Trust
5.860% due 04/18/2003 1,674 1,647
Government National Mortgage Association
7.896% due 06/20/2032 20,000 20,047
1.000% due 06/20/2032 (d) 5,000 5,000
Green Tree Financial Corp.
6.600% due 01/15/2019 2,615 2,602
9.100% due 04/15/2020 11,468 11,603
8.400% due 06/15/2025 185 186
6.420% due 11/15/2028 1,386 1,383
6.470% due 01/15/2029 198 198
6.650% due 02/15/2029 2,496 2,491
6.970% due 04/01/2031 7,000 6,996
7.860% due 04/01/2031 1,100 1,061
Green Tree Floorplan Receivables Master Trust
6.980% due 11/13/2003 (d) 2,500 2,505
Green Tree Home Equity Loan Trust
5.590% due 02/15/2013 359 359
7.180% due 07/15/2030 7,925 7,817
7.610% due 09/15/2030 8,000 8,165
6.290% due 09/15/2030 7,345 7,337
Green Tree Home Improvement Loan Trust
5.940% due 06/15/2029 40 40
5.960% due 08/15/2029 1,905 1,904
6.788% due 08/15/2029 (d) 821 821
Green Tree Lease Finance
6.170% due 09/20/2005 54 54
Green Tree Recreational Equipment
6.430% due 04/17/2006 2,156 2,153
Greenpoint Manufactured Housing
6.750% due 04/15/2011 10,613 10,575
Greenwich
6.715% due 02/01/2009 1,379 1,320
Honda Auto Lease Trust
5.875% due 10/15/2001 530 530
Ikon Receivables LLC
6.808% due 03/15/2004 (d) 4,000 4,004
IMC Home Equity Loan Trust
7.110% due 08/25/2014 3,580 3,564
6.410% due 04/20/2018 1,577 1,568
6.880% due 11/20/2028 10,000 9,899
Irwin Home Equity
7.520% due 06/25/2021 (d) 4,000 4,000
7.960% due 04/25/2026 9,000 9,045
Long Beach Acceptance Auto Grantor Trust
6.190% due 01/25/2004 1,000 989
Long Beach Home Equity Loan Trust
7.220% due 08/31/2030 24,000 24,000
Mellon Auto Grantor Trust
5.460% due 10/17/2005 1,613 1,593
Metris Master Trust
7.270% due 04/20/2006 (d) 3,200 3,216
Metropolitan Asset Funding, Inc.
7.080% due 04/25/2029 (d) 1,953 1,934
6.913% due 12/25/2029 (d) 12,065 12,065
Mid-State Trust
8.330% due 04/01/2030 5,142 5,302
7.791% due 03/15/2038 1,914 1,944
MLCC Mortgage Investors, Inc.
7.001% due 03/15/2025 (d) 2,489 2,499
New York City Tax Lien
6.460% due 05/25/2005 45 45
6.650% due 05/25/2005 17 17
5.930% due 07/25/2006 799 782
Oakwood Mortgage Investors, Inc.
7.500% due 01/15/2021 1,000 963
6.650% due 05/15/2027 1,158 1,154
Ocwen Mortgage Loan
6.935% due 10/25/2029 (d) 2,809 2,811
7.300% due 03/25/2031 (d) 12,504 12,513
Onyx Acceptance Grantor Trust
6.300% due 05/15/2004 3,190 3,182
Option One Mortgage Loan Trust
7.187% due 02/25/2029 (d) 13,120 13,136
6.020% due 05/25/2029 600 586
Pacific Southwest Bank
6.060% due 06/15/2002 408 406
PacificAmerica Home Equity Loan
6.790% due 06/26/2028 (d) 1,514 1,512
Peco Energy Transition Trust
5.480% due 03/01/2003 493 490
Pegasus Aviation Lease Securitization
7.245% due 03/01/2015 (d) 29,200 29,209
PP&L Transition Bond Co. LLC
6.080% due 03/25/2003 1,211 1,207
6.410% due 12/26/2003 1,900 1,889
Residential Asset Mortgage Products, Inc.
8.360% due 06/25/2030 22,728 23,225
8.000% due 09/25/2030 24,150 24,263
Residential Asset Securities Corp.
7.615% due 12/25/2014 6,159 6,153
8.000% due 10/25/2024 (d) 1,082 1,088
Residential Funding Mortgage
Securities II
7.850% due 12/25/2024 7,000 7,056
7.980% due 09/25/2025 15,999 16,134
2000 Semi-Annual Report See accompanying notes 31
<PAGE>
Schedule of Investments (Cont.)
Mortgage Portfolio
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
Residential Mortgage Loan Trust
7.375% due 09/25/2029 (d) $ 6,960 $ 7,020
Ryder Vehicle Lease Trust
6.430% due 01/15/2003 7,288 7,275
Salomon Brothers Mortgage Securities
7.325% due 09/25/2027 (d) 3,000 3,010
6.930% due 08/25/2028 2,572 2,474
7.320% due 01/25/2029 (d) 35,476 35,498
6.970% due 07/25/2029 (d) 1,423 1,425
7.038% due 11/15/2029 (d) 16,697 16,739
8.118% due 11/15/2029 (d) 17,600 18,073
7.198% due 11/15/2029 (d) 2,000 2,000
6.960% due 02/25/2030 (d) 3,479 3,488
Saxon Asset Securities Trust
6.920% due 02/25/2029 (d) 575 575
6.850% due 05/25/2029 (d) 1,860 1,862
Sears Credit Account Master Trust
7.000% due 10/15/2004 33 33
SLM Student Loan Trust
7.210% due 07/25/2016 (d) 17,907 17,907
Southern Pacific Secured Assets Corp.
6.790% due 07/25/2029 (d) 1,793 1,783
Student Loan Marketing Assn.
6.646% due 04/25/2004 (d) 1,286 1,285
6.771% due 07/25/2004 (d) 561 560
The Money Store Home Equity Trust
7.550% due 02/15/2020 1,157 1,156
7.600% due 07/15/2021 1,528 1,529
6.345% due 11/15/2021 360 358
6.490% due 10/15/2026 9,895 9,851
6.771% due 08/15/2029 (d) 774 775
The Money Store Residential Trust
6.215% due 02/15/2011 857 855
United Panama Mortgage Loan
6.940% due 04/25/2030 (d) 3,674 3,682
WFS Financial Owner Trust
6.411% due 07/20/2002 4,066 4,063
6.150% due 09/20/2002 632 632
6.900% due 12/20/2003 652 653
6.920% due 01/20/2004 800 802
WMC Mortgage Loan
6.830% due 03/20/2028 (d) 390 390
6.790% due 06/20/2028 (d) 520 519
-----------
Total Asset-Backed Securities 978,841
(Cost $971,720) ===========
-------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.0%
-------------------------------------------------------------------------------
U.S. Treasury Bond (OTC) 6.250% due 05/15/2030
Strike @ 107.63 Exp. 11/08/2000 100,000 402
U.S. Treasury Notes March Futures (CBOT)
Strike @ 108.00 Exp. 02/17/2001 500,000 78
-----------
Total Purchased Call Options 480
(Cost $2,498) ===========
-------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
-------------------------------------------------------------------------------
Federal National Mortgage Association (OTC)
7.500% due 11/13/2030
Strike @ 93.36 Exp. 11/06/2000 275,000 4
-----------
Total Purchased Put Options 4
(Cost $43) ===========
-------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 2.4%
-------------------------------------------------------------------------------
Commercial Paper 2.4% CDC
6.570% due 11/29/2000 32,600 32,255
Detroit Edison Co.
7.040% due 01/29/2001 4,000 3,996
Federal Home Loan Mortgage Corp.
6.440% due 10/12/2000 1,800 1,797
Ingersoll-Rand Co.
6.740% due 11/15/2000 6,200 6,149
International Paper Co.
6.710% due 11/30/2000 18,400 18,198
Motorola, Inc.
6.480% due 12/26/2000 3,200 3,151
Verizon Global Funding
6.510% due 12/01/2000 12,000 11,870
6.490% due 12/19/2000 11,200 11,043
-----------
88,459
===========
U.S. Treasury Bills (b) 0.0%
5.925% due 02/01/2001 1,385 1,357
-----------
Total Short-Term Instruments 89,816
(Cost $89,816) ===========
Total Investments (a) 194.1% $ 7,046,317
(Cost $6,990,354)
Written Options (c) (0.0%) (1,353)
(Premiums $2,363)
Other Assets and Liabilities (Net) (94.1%) (3,415,768)
-----------
Net Assets 100.0% $ 3,629,196
===========
Notes to Schedule of Investments (amounts in thousands):
(a ) At September 30, 2000, the net unrealized
appreciation (depreciation) of investments based on
co st 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. $ 61,511
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (5,548)
-----------
Unrealized appreciation-net $ 55,963
===========
(b) Securities with an aggregate market value of $9,327
have been segregated with the custodian to cover margin
requirements for the following open futures contracts
at September 30, 2000:
# of Unrealized
Type Contracts (Depreciation)
-------------------------------------------------------------------------------
Eurodollar September Futures (09/2001) 1,500 $ (2,143)
U.S. Treasury 5 Year Note (12/2000) 7,220 (4,150)
U.S. Treasury 10 Year Note (12/2000) 41 (3)
-----------
$ (6,296)
===========
(c) Premiums received on written options:
# of
Type Contracts Premium Value
-------------------------------------------------------------------------------
Call - OTC U.S. Treasury Note
Strike @ 104.34 Exp. 11/08/2000 189,000,000 $ 2,363 $ 1,353
-------------------------
(d) Variable rate security. The rate listed is as of September 30, 2000.
32 PIMCO Funds See accompanying notes
<PAGE>
(e) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(f) Swap agreements outstanding at September 30, 2000:
Notional Unrealized
Type Amount (Depreciation)
-------------------------------------------------------------------------------
Receive floating rate based on 3-month
LIBOR plus 0.500% and pay a fixed rate
equal to 7.600%.
Broker: Lehman Brothers
Exp. 07/15/2003 $ 5,000 $ (51)
Receive floating rate based on 3-month LIBOR
plus 1.000% and pay to the counterparty the
notional amount of $15,000 in exchange for
shares of Nabors Industries, Inc. due 6/20/2020
when the convertible debentures mature.
Broker: Morgan Stanley
Exp. 06/20/2003 9,126 (4)
Receive floating rate based on 3-month LIBOR
plus 1.100% and pay a fixed rate equal to 0.000%.
Broker: Bear Stearns
Exp. 06/20/2003 20,321 (62)
Receive floating rate based on 3-month LIBOR
and pay a fixed rate equal to 7.206%.
Broker: Goldman Sachs
Exp. 02/01/2006 245,600 (4,787)
Receive floating rate based on 3-month LIBOR
and pay a fixed rate equal to 7.012%.
Broker: Morgan Stanley
Exp. 08/08/2005 155,200 (1,770)
Receive floating rate based on 3-month LIBOR
and pay a fixed rate equal to 7.007%.
Broker: Bank of America
Exp. 08/22/2005 250,000 (2,725)
------------
$ (9,399)
============
Fixed
Spread Notional Unrealized
Type (%) Amount Appreciation
-------------------------------------------------------------------------------
Receive the 30-year Swap Spread and pay a fixed spread.
The 30-year Swap Spread is the difference between the
30-year Swap Rate and the 30-year Treasury Rate.
Broker: Goldman Sachs
Exp. 02/15/2005 1.085 $ 8,000 $ 8
Receive the 10-year Swap Spread and pay a fixed spread.
The 10-year Swap Spread is the difference between the
10-year Swap Rate and the 10-year Treasury Rate.
Broker: Goldman Sachs
Exp. 02/15/2005 0.868 13,000 131
------------
$ 139
============
(g) Subject to financing transaction.
(h) Principal amount of the security is adjusted for inflation.
(i) Reverse repurchase agreements were entered into on various days
paying various interest rates. The following securities were
segregated with collateral for reverse repurchase agreements:
Type Maturity Value
--------------------------------------------------------------------------------
Entered into on September 26, 2000 paying interest at 6.520%
Government National Mortgage Assn. 7.000% 07/20/2030 $ 138,563
Government National Mortgage Assn. 7.000% 05/20/2030 28,789
Government National Mortgage Assn. 7.000% 06/20/2030 62,512
Entered into on September 27, 2000 paying interest at 6.540%
Government National Mortgage Assn. 6.500% 05/20/2030 44,817
Government National Mortgage Assn. 6.500% 04/20/2030 66,250
------------
$ 340,931
============
2000 Semi-Annual Report See accompanying notes 33
<PAGE>
Schedule of Investments
Real Return Bond Portfolio
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 33.9%
--------------------------------------------------------------------------------
Banking & Finance 26.6%
Allstate Financial Global Funding
7.125% due 09/26/2005 $ 2,500 $ 2,501
Associates Corp. of North America
6.960% due 05/08/2003 (d) 500 500
Bank One Corp.
6.798% due 05/07/2002 (d) 1,000 1,001
Bankers Trust Corp.
6.818% due 05/11/2003 (d) 1,000 1,000
Bear Stearns Co., Inc.
7.125% due 03/28/2003 (d) 2,000 2,000
Countrywide Home Loan
6.810% due 03/22/2002 (d) 3,000 3,000
Dime Bancorp, Inc.
7.000% due 07/25/2001 4,500 4,480
First Union Corp.
7.550% due 08/18/2005 5,000 5,065
Ford Motor Credit Corp.
7.051% due 06/20/2003 (d) 3,500 3,502
6.780% due 08/27/2006 (d) 1,000 1,000
General Motors Acceptance Corp.
7.015% due 07/21/2003 (d) 3,000 2,996
Morgan Stanley, Dean Witter, Discover and Co.
6.500% due 01/28/2002 (d) 1,000 1,002
National Australia Bank Ltd.
7.315% due 05/19/2010 (d) 200 202
Prudential Funding Corp.
6.375% due 07/23/2006 1,000 951
Qwest Capital Funding, Inc.
7.245% due 07/08/2002 (d) 3,000 3,003
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (d) 5,223 5,165
------------
37,368
============
Industrials 4.3%
Enron Corp.
7.110% due 09/10/2001 (d) 500 500
Petroleos Mexicanos
9.500% due 09/15/2027 1,500 1,549
Sprint Capital Corp.
7.147% due 06/10/2002 (d) 250 250
TRW, Inc.
7.090% due 03/25/2002 (d) 3,000 2,998
Vodafone AirTouch PLC
6.860% due 12/19/2001 (d) 250 250
Waste Management, Inc.
7.100% due 08/01/2026 500 483
------------
6,030
============
Utilities 3.0%
Appalachian Power Co.
7.160% due 06/27/2001 (d) 1,000 1,000
Commonwealth Edison Co.
7.160% due 09/30/2002 (d) 1,000 1,000
Entergy Gulf States, Inc.
7.880% due 06/02/2003 (d) 500 500
Scana Corp.
7.393% due 07/15/2002 (d) 700 701
Williams Cos., Inc.
6.125% due 02/01/2001 1,000 996
------------
4,197
------------
Total Corporate Bonds & Notes 47,595
(Cost $47,389) ============
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 1.1%
--------------------------------------------------------------------------------
Florida 1.1%
Tampa Florida Guaranteed Entitlement Revenue,
(AMPAC Insured), 6.000% due 10/01/2004 1,515 1,567
------------
Total Municipal Bonds & Notes 1,567
(Cost $1,574) ============
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 9.0%
--------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.
7.000% due 03/15/2010 12,500 12,709
------------
Total U.S. Government Agencies 12,709
(Cost $12,430) ============
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 144.9%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (e)
3.625% due 07/15/2002 (g) 60,348 60,329
3.375% due 01/15/2007 (g) 49,832 48,197
3.625% due 01/15/2008 (g) 44,869 43,845
3.875% due 01/15/2009 12,418 12,317
4.250% due 01/15/2010 (g) 11,284 11,531
3.625% due 04/15/2028 7,768 7,385
3.875% due 04/15/2029 20,315 20,188
------------
Total U.S. Treasury Obligations 203,792
(Cost $203,145) ============
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 1.0%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 0.7%
General Motors Acceptance Corp.
6.920% due 06/01/2005 (d) 996 996
------------
996
============
Federal National Mortgage Association 0.3%
8.068% due 09/01/2018 (d) 372 384
------------
Total Mortgage-Backed Securities 1,380
(Cost $1,369) ============
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (b)(c) 0.3%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 1,000 427
------------
Total Foreign Currency-Denominated Issues 427
(Cost $473) ============
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
--------------------------------------------------------------------------------
U.S. Treasury Inflation Protected Securities (OTC)
3.625% due 07/15/2002
Strike @ 96.50 Exp. 01/29/2001 $ 25,000 0
------------
Total Purchased Put Options 0
(Cost $8) ============
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.7%
--------------------------------------------------------------------------------
Industrial 0.7%
Waste Management, Inc.
4.000% due 02/01/2002 1,000,000 934
------------
Total Convertible Bonds & Notes 934
(Cost $939) ============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 6.6%
--------------------------------------------------------------------------------
Commercial Paper 4.9%
Conagra, Inc.
6.680% due 10/27/2000 500 498
Dominion Resources, Inc.
6.710% due 11/09/2000 400 397
Edison Mission Midwest Holdings
6.750% due 11/01/2000 500 497
Federal Home Loan Mortgage Corp.
6.440% due 10/12/2000 1,500 1,497
General Electric Capital Corp.
6.520% due 01/19/2001 2,100 2,059
Motorola, Inc.
6.480% due 12/26/2000 1,100 1,083
Sprint Capital Corp.
6.720% due 11/08/2000 800 794
-----------
6,825
===========
34 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------
Repurchase Agreement 1.7%
State Street Bank
5.850% due 10/02/2000 $ 2,494 $ 2,494
(Dated 9/29/2000. Collateralized by
Federal Home Loan Bank 7.025% due
03/06/2002 valued at $2,548.
Repurchase proceeds are $2,495.)
-----------
Total Short-Term Instruments 9,319
(Cost $9,319) ===========
Total Investments (a) 197.5% $ 277,723
(Cost $276,646)
Other Assets and Liabilities (Net) (137,076)
(97.5%) -----------
Net Assets 100.0% $ 140,647
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, the net unrealized
appreciation (depreciation) of investments based
on cost for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 1,247
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (170)
------------
Unrealized appreciation-net $ 1,077
============
(b) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount
Covered by Settlement Unrealized
Type Currency Contract Month Appreciation
------------------------------------------------------------------
Sell N$ 1,005 10/2000 $ 23
-----------
(c) Principal amount denoted in indicated currency:
N$ - New Zealand Dollar
(d) Variable rate security. The rate listed is as of September
30, 2000.
(e) Principal amount of the security is adjusted for
inflation.
(f) Swap agreements outstanding at September 30, 2000:
Notional Unrealized
Type Amount (Depreciation)
------------------------------------------------------------------
Receive floating rate based on 3-month LIBOR and pay
a fixed rate equal to 7.005%.
Broker: Goldman Sachs
Exp. 08/17/2005 $ 5,000 $ (54)
-----------
(g) Subject to financing transaction.
2000 Semi-Annual Report See accompanying notes 35
<PAGE>
Schedule of Investments
Investment Grade Portfolio
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 92.6%
--------------------------------------------------------------------------------
Banking & Finance 42.1%
Ahmanson & Co.
8.250% due 10/01/2002 $ 600 $ 611
Allstate Corp.
7.875% due 05/01/2005 2,400 2,476
Amerco, Inc.
7.200% due 04/01/2002 1,000 960
Aristar, Inc.
7.375% due 09/01/2004 1,800 1,798
AT&T Capital Corp.
6.580% due 04/23/2002 (d) 5,400 5,415
Bank of America Corp.
6.875% due 02/15/2005 605 601
7.125% due 09/15/2006 2,000 2,002
9.375% due 09/15/2009 300 331
Bank of Tokyo - Mitsubishi
8.400% due 04/15/2010 2,000 2,039
Bear Stearns Co., Inc.
6.125% due 02/01/2003 2,000 1,961
7.125% due 03/28/2003 (d) 2,000 2,000
7.058% due 05/16/2003 (d) 3,000 2,995
6.150% due 03/02/2004 2,300 2,230
Beneficial Corp.
8.400% due 05/15/2008 140 144
Bombardier Capital, Inc.
7.500% due 08/15/2004 7,300 7,348
Capital One Bank
6.760% due 07/23/2002 800 793
CIT Group, Inc.
7.125% due 10/15/2004 2,500 2,496
Credit Asset Receivable
6.274% due 10/31/2003 383 378
Deutsche Bank Capital Trust
8.080% due 12/22/2049 2,000 1,996
Diageo Capital PLC
6.625% due 06/24/2004 2,000 1,979
Duke Capital Corp.
7.250% due 10/01/2004 700 705
Export-Import Bank Korea
7.100% due 03/15/2007 2,000 1,985
Federal Home Loan Bank
6.530% due 12/30/2013 1,000 916
Finova Capital Corp.
6.080% due 03/12/2002 1,750 1,416
First Security Corp.
5.875% due 11/01/2003 1,000 969
First Union National Bank
7.800% due 08/18/2010 9,000 9,084
Fleet Boston Financial Corp.
7.250% due 09/15/2005 2,900 2,923
Ford Motor Credit Corp.
6.125% due 04/28/2003 2,400 2,348
5.750% due 02/23/2004 2,500 2,387
6.700% due 07/16/2004 1,100 1,078
7.500% due 03/15/2005 8,100 8,151
6.750% due 05/15/2005 1,000 977
7.375% due 10/28/2009 2,500 2,451
General Motors Acceptance Corp.
9.625% due 12/15/2001 300 309
6.837% due 04/29/2002 (d) 2,334 2,335
6.880% due 02/14/2003 (d) 4,000 3,994
7.020% due 04/05/2004 (d) 5,300 5,293
7.625% due 06/15/2004 1,500 1,524
6.850% due 06/17/2004 3,000 2,974
7.500% due 07/15/2005 3,250 3,296
Goldman Sachs Group
5.900% due 01/15/2003 1,000 975
7.240% due 12/01/2004 (d) 2,000 1,998
7.625% due 08/17/2005 7,100 7,249
Heller Financial, Inc.
7.125% due 09/28/2004 4,900 4,852
Household Finance Corp.
7.000% due 08/01/2003 3,300 3,291
6.000% due 05/01/2004 7,800 7,514
5.875% due 09/25/2004 2,000 1,912
IBM Credit Corp.
7.000% due 11/05/2007 500 493
KBC Bank Fund Trust III
9.860% due 11/29/2049 (d) 5,000 5,232
Korea Development Bank
7.900% due 02/01/2002 1,000 1,002
7.625% due 10/01/2002 5,750 5,755
7.125% due 04/22/2004 2,000 1,963
7.375% due 09/17/2004 2,000 1,971
Lehman Brothers Holdings, Inc.
7.352% due 05/07/2002 (d) 200 201
6.375% due 05/07/2002 2,800 2,779
6.500% due 10/01/2002 230 228
0.000% due 03/25/2028 1,381 119
LG&E Capital Corp.
6.205% due 05/01/2004 1,000 973
Limestone Electron Trust
8.625% due 03/15/2003 7,500 7,644
Marsh & McLennan Co., Inc.
6.625% due 06/15/2004 1,000 984
MBNA America Bank NA
6.875% due 07/15/2004 800 784
Merrill Lynch & Co.
6.922% due 06/24/2003 (d) 3,000 2,991
6.375% due 10/15/2008 5,000 4,711
Morgan Stanley, Dean Witter, Discover and Co.
7.000% due 05/28/2019 300 285
National City Corp.
6.875% due 05/15/2019 415 370
Nordbanken
7.250% due 11/12/2009 2,700 2,679
Osprey Trust
8.310% due 01/15/2003 5,900 5,975
PaineWebber
8.010% due 12/01/2003 (d) 1,200 1,227
Popular North American, Inc.
7.375% due 09/15/2001 1,900 1,909
PP&L Capital Funding, Inc.
7.750% due 04/15/2005 13,000 13,128
Royal Bank of Scotland PLC
9.118% due 03/31/2049 5,000 5,260
Salomon, Smith Barney Holdings
6.938% due 02/11/2003 (d) 300 300
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 3,900 3,894
Sears Roebuck Acceptance
6.625% due 02/25/2002 5,000 4,952
6.620% due 07/09/2002 900 892
6.990% due 09/30/2002 600 599
Secured Finance, Inc.
9.050% due 12/15/2004 250 270
Societe Generale
9.875% due 07/15/2003 1,900 2,026
Source One Mortgage Corporation
9.000% due 06/01/2012 200 216
Sprint Spectrum LP
0.000% due 08/15/2006 200 199
Sumitomo Bank Treasury Co.
9.400% due 12/29/2049 (d) 1,000 984
Wells Fargo & Co.
7.221% due 05/02/2005 (d) 2,900 2,899
7.250% due 08/24/2005 3,900 3,951
----------
213,304
==========
Industrials 32.4%
Abitibi-Consolidated, Inc.
8.300% due 08/01/2005 1,500 1,536
America West Airlines, Inc.
9.244% due 07/02/2006 5,000 5,060
American Airlines
9.710% due 01/30/2007 2,569 2,732
Cable & Wireless Optus Finance Property Ltd.
8.000% due 06/22/2010 1,000 1,008
36 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------
Coca-Cola Co.
8.500% due 02/01/2012 $ 300 $ 320
Cox Communications, Inc.
6.500% due 11/15/2002 740 732
Cox Enterprises, Inc.
6.625% due 06/14/2002 700 693
8.000% due 02/15/2007 3,000 3,063
Crown Cork & Seal Co.
7.125% due 09/01/2002 7,200 6,832
6.750% due 04/15/2003 3,000 2,758
Delphi Auto Systems Corp.
6.125% due 05/01/2004 1,500 1,433
Delta Air Lines, Inc.
10.570% due 01/02/2007 (f) 7,006 8,007
10.430% due 01/02/2011 1,141 1,301
10.140% due 08/14/2012 4,000 4,577
10.500% due 04/30/2016 3,400 3,732
Fred Meyer, Inc.
7.375% due 03/01/2005 18,000 17,822
7.450% due 03/01/2008 4,500 4,359
Harrahs Operating Co., Inc.
7.500% due 01/15/2009 3,000 2,831
Hertz Corp.
6.500% due 05/15/2006 1,000 957
Houghton Mifflin Co.
5.970% due 12/03/2001 1,000 985
ICI Wilmington
7.500% due 01/15/2002 2,000 1,989
ITT Corp.
6.250% due 11/15/2000 230 230
J Seagram & Sons
6.250% due 12/15/2001 700 692
Koninklijke NV
8.000% due 10/01/2010 2,000 2,000
Lehman Brothers Holdings, Inc.
8.800% due 03/01/2015 700 742
Marlin Water Trust
7.090% due 12/15/2001 4,197 4,173
MGM Grand, Inc.
6.950% due 02/01/2005 2,300 2,211
Midwest Generation LLC
8.560% due 01/02/2016 5,000 4,933
Nabisco, Inc.
6.000% due 02/15/2001 (d) 3,250 3,225
6.125% due 02/01/2033 800 766
Occidental Petroleum
6.400% due 04/01/2003 2,500 2,438
Owens Corning
7.500% due 05/01/2005 500 203
Park Place Entertainment Corp.
7.950% due 08/01/2003 5,000 5,006
Petroleos Mexicanos
8.314% due 07/15/2005 (d) 3,100 3,108
Philip Morris Cos., Inc.
9.000% due 01/01/2001 210 211
7.250% due 09/15/2001 115 114
7.625% due 05/15/2002 1,400 1,394
6.800% due 12/01/2003 3,000 2,938
7.500% due 04/01/2004 2,900 2,882
7.125% due 10/01/2004 2,000 1,964
7.000% due 07/15/2005 2,900 2,818
Spieker Properties LP
8.000% due 07/19/2005 500 511
Target Corp.
7.500% due 08/15/2010 3,200 3,208
Telecommunications, Inc.
8.250% due 01/15/2003 5,000 5,156
Time Warner, Inc.
6.850% due 01/15/2026 300 298
TRW, Inc.
6.625% due 06/01/2004 4,200 4,055
Union Pacific Corp.
9.625% due 12/15/2002 300 316
United Air Lines, Inc.
9.000% due 12/15/2003 4,500 4,532
11.080% due 03/26/2010 14,163 15,310
11.080% due 03/26/2011 2,835 3,138
US Airways, Inc.
8.020% due 02/05/2019 4,800 4,892
Vodafone AirTouch PLC
6.860% due 12/19/2001 (d) 1,000 1,001
7.625% due 02/15/2005 1,500 1,530
Vodafone Group PLC
7.500% due 07/15/2006 1,020 1,028
Wal-Mart Stores, Inc.
8.875% due 06/29/2011 300 311
Waste Management, Inc.
6.500% due 05/14/2004 2,500 2,357
Williams Communications Group, Inc.
7.220% due 11/15/2001 (d) 2,000 2,001
-----------
164,419
===========
Utilities 18.1%
AT&T Corp.
9.650% due 10/01/2003 3,182 3,282
Cincinnati Gas & Electric Co.
6.450% due 02/15/2004 3,000 2,910
6.900% due 06/01/2025 2,000 1,959
Cleveland Electric Illuminum Co.
7.130% due 07/01/2007 150 148
Detroit Edison Co.
7.500% due 02/01/2005 3,000 3,037
Dominion Resources, Inc.
7.600% due 07/15/2003 5,000 5,054
Duke Energy Field Services LLC
7.875% due 08/16/2010 9,000 9,166
El Paso Energy Corp.
7.383% due 07/15/2001 (d) 200 200
K N Energy, Inc.
6.450% due 11/30/2001 6,685 6,620
MCI WorldCom, Inc.
6.125% due 04/15/2002 6,100 6,028
8.875% due 01/15/2006 4,900 5,059
Niagara Mohawk Power
6.875% due 03/01/2001 1,000 999
7.125% due 07/01/2001 2,193 2,193
5.875% due 09/01/2002 2,600 2,546
7.375% due 07/01/2003 1,512 1,516
7.625% due 10/01/2005 2,230 2,249
Ohio Power Co.
7.000% due 07/01/2004 3,400 3,376
Philadelphia Electric
5.625% due 11/01/2001 1,700 1,675
PP&L, Inc.
7.700% due 11/15/2002 2,800 2,864
Reliant Energy, Inc.
6.375% due 11/01/2003 9,000 8,813
Sprint Capital Corp.
5.875% due 05/01/2004 3,690 3,539
Sprint Spectrum LP
11.000% due 08/15/2006 2,250 2,418
Texas Utilities Co.
7.697% due 09/24/2001 (d) 1,900 1,910
5.940% due 10/15/2001 10,400 10,262
TXU Eastern Funding
6.150% due 05/15/2002 2,700 2,641
Western Resources, Inc.
6.250% due 08/15/2003 1,000 899
-----------
91,363
-----------
Total Corporate Bonds & Notes 469,086
(Cost $464,117) ===========
2000 Semi-Annual Report See accompanying notes 37
<PAGE>
Schedule of Investments (Cont.)
Investment Grade Portfolio
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.3%
--------------------------------------------------------------------
New York 0.3%
New York City Municipal Water Finance Authority Revenue Bond,
(FGIC Insured), Series 2000-A
5.000% due 06/15/2027 $1,875 $ 1,671
------------
Total Municipal Bonds & Notes 1,671
(Cost $1,683) ============
--------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 0.1%
--------------------------------------------------------------------
Treasury Inflation Protected Securities (c)
3.625% due 07/15/2002 (b) 539 539
------------
Total U.S. Treasury Obligations 539
(Cost $538) ============
--------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 3.0%
--------------------------------------------------------------------
Collateralized Mortgage Obligations 0.0%
Bank of America Mortgage Securities
6.500% due 04/25/2029 149 137
------------
Federal Home Loan Mortgage Corporation 0.5%
6.250% due 03/15/2028 3,000 2,729
------------
Federal National Mortgage Association 0.3%
7.500% due 12/01/2099 1,500 1,496
------------
Government National Mortgage Association 2.0%
8.500% due 12/31/2099 10,000 10,278
------------
Other Mortgage-Backed Securities 0.1%
Dillards, Inc.
9.500% due 10/15/2001 300 296
Target Corp.
9.250% due 03/01/2006 250 251
------------
547
------------
Total Mortgage-Backed Securities 15,187
(Cost $15,102) ============
--------------------------------------------------------------------
ASSET-BACKED SECURITIES 3.3%
--------------------------------------------------------------------
Conseco Finance Securitizations Corp.
8.310% due 05/01/2032 7,000 7,128
7.970% due 05/01/2032 2,000 2,028
Delta Air Lines Equipment Trust
10.430% due 01/02/2011 1,288 1,412
Denver Arena Trust
6.940% due 11/15/2019 3,116 2,839
United Air Lines Equipment Trust
10.850% due 02/19/2015 1,000 1,148
10.125% due 03/22/2015 2,300 2,384
------------
Total Asset-Backed Securities 16,939
(Cost $16,621) ============
--------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.0%
--------------------------------------------------------------------
Commercial Paper 0.8%
Becton Dickinson & Co.
6.520% due 10/16/2000 167 167
Conagra, Inc.
6.670% due 11/16/2000 800 793
Dominion Resources, Inc.
6.710% due 10/18/2000 300 299
Edison Mission Midwest Holdings
6.710% due 11/15/2000 900 893
International Paper Co.
6.720% due 11/17/2000 1,100 1,091
Verizon Global Funding
6.460% due 12/07/2000 200 198
Williams Cos., Inc.
7.231% due 04/10/2001 800 800
------------
4,241
============
Repurchase Agreement 0.1%
State Street Bank
5.850% due 10/02/2000 $ 614 $ 614
(Dated 9/29/2000. Collateralized by
Federal National Mortgage Association
6.400% due 12/14/2001 valued at $630.
Repurchase proceeds are $614.)
------------
Total Short-Term Instruments 4,855
(Cost $4,855) ============
Total Investments (a) 100.3% $ 508,277
(Cost $502,916)
Other Assets and Liabilities (Net) (0.3%) (1,564)
------------
Net Assets 100.0% $ 506,713
============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost. $ 6,544
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value. $ (1,183)
-------------
Unrealized appreciation-net $ 5,361
=============
(b) Securities with an aggregate market value of $539 have been segregated with
the custodian to cover margin requirements for the following open futures
contracts at September 30, 2000:
# of Unrealized
Type Contracts (Depreciation)
----------------------------------------------------------------------
U.S. Treasury 30 Year Note (12/2000) 180 $ (318)
-------------
(c) Principal amount of the security is adjusted for inflation.
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Swap agreements outstanding at September 30, 2000:
Notional Unrealized
Type Amount (Depreciation)
--------------------------------------------------------------------
Receive floating rate based on 3-month LIBOR plus 0.500% and pay a
fixed rate equal to 7.600%.
Broker: Lehman Brothers
Exp. 07/15/2003 $ 5,000 $ (50)
-----------
38 PIMCO Funds See accompanying notes
<PAGE>
Fixed
Spread Notional Unrealized
Type (%) Amount Appreciation
--------------------------------------------------------------------
Receive the 30-year Swap Spread and pay a fixed spread. The 30-year
Swap Spread is the difference between the 30-year Swap Rate and the
30-year Treasury Rate.
Broker: Goldman Sachs
Exp. 02/15/2005 1.0850 $ 2,000 $ 2
Receive the 10-year Swap Spread and pay a fixed spread. The 10-year
SwapSpread is the difference between the 10-year Swap Rate and the
10-year Treasury Rate.
Broker: Goldman Sachs
Exp. 02/15/2005 0.8675 4,000 40
-------------
$ 42
=============
(f) Restricted security.
2000 Semi-Annual Report See accompanying notes 39
<PAGE>
Schedule of Investments
Municipal Sector Portfolio
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 106.0%
--------------------------------------------------------------------
Alabama 17.5%
Jefferson County, Alabama Sewer Revenue Bonds Warrants,
(FGIC Insured), Series 2000-323
5.430% due 02/01/2029 (b) $ 1,500 $ 1,239
Jefferson County, AIabama Sewer Revenue Bonds Warrants,
(FGIC Insured), Series 2000-352
5.802% due 02/01/2036 (b) 3,500 2,580
Jefferson County, Alabama Sewer Revenue Bonds Warrants,
(FGIC Insured), Series 1999-A
5.000% due 02/01/2033 1,000 865
-----------
4,684
===========
California 7.9%
California State General Obligation,
(MBIA Insured),
Series 1998 4.250% due 10/01/2026 1,000 806
California State General Obligation, Series 2000-387
4.850% due 01/01/2027 (b) 1,500 1,313
-----------
2,119
===========
Colorado 3.3%
Denver, Colorado City & County Airport
Revenue Bonds,
(FSA Insured), Series 1998-B
5.000% due 11/15/2025 1,000 878
-----------
Florida 7.3%
Lee County, Florida Airport Revenue Bonds,
(FSA Insured), Series 2000-A 6.000% due 1,000 1,034
10/01/2029
Orange County, Florida School Board
Certificates of Participation,
(MBIA Insured),
Series 1999-A 5.000% due 08/01/2024 1,000 909
-----------
1,943
===========
Georgia 3.3%
Atlanta, Georgia Water & Wastewater Revenue Bonds,
(FGIC Insured), Series 1999-A
5.000% due 11/01/2038 1,000 879
-----------
Illinois 3.4%
Chicago, Illinois Lakefront Millennium Package
Facilities
General Obligation, (MBIA Insured), Series 1998
5.125% due 01/01/2028 1,000 907
-----------
Kansas 5.6%
Kansas State Development Finance
Authority Health
Facilities Revenue Bonds, (MBIA Insured),
Series 1998-M
5.700% due 11/15/2023 (b) 1,500 1,500
-----------
Maryland 3.9%
Maryland State Health & Higher Educational
Facilities Authority Revenue Bonds,
Series 1999
6.000% due 07/01/2039 1,000 1,032
-----------
Massachusetts 6.6%
Massachusetts Bay Transportation Authority
Massachusetts General Transportation System Revenue Bonds,
Series 1998-B 5.000% due 03/01/2028 1,000 883
Massachusetts State Turnpike Authority Metro Highway
System Revenue Bonds, (AMBAC Insured), Series 1999-A
5.000% due 01/01/2039 1,000 871
-----------
1,754
===========
Mississippi 6.7%
Perry County, Mississippi Pollution Control Revenue Bonds,
(Loc-Wachovia Bank Insured), Series 1992
5.500% due 03/01/2002 (b) 1,800 1,800
-----------
New York 11.1%
Long Island Power Authority New York Electrical System
Revenue Bonds, (LOC-ABN Amro Ban N.V. Insured),
Series 1998-6 5.450% due 05/01/2033 (b) 1,000 1,000
New York City, New York Transitional Finance Authority
Revenue Bonds, Series 2000-C
5.500% due 11/01/2024 $ 1,000 $ 973
Port Authority of New York & New Jersey
Special Obligation Revenue Bonds, (MBIA Insured),
Series 1997 5.750% due 12/01/2022 1,000 1,004
-----------
2,977
===========
Oregon 3.7%
Port of Portland, Oregon Special Obligation Revenue Bonds,
(LOC-Bank of Montreal Insured), Series 1997
5.550% due 06/15/2027 (b) 1,000 1,000
-----------
Pennsylvania 3.4%
Pittsburgh, Pennsylvania Water & Sewer Authority
Water & Sewer System Revenue Bonds, (FSA Insured),
Series 1998-C 5.100% due 09/01/2021 1,000 922
-----------
Texas 14.6%
Arlington, Texas Independent School District
General Obligation, (PSF-FTD Insured),
Series 1999 5.000% due 02/15/2024 1,000 896
Harris County, Texas Health Facilities Development
Corporation Revenue Bonds, Series 1997-A
5.500% due 02/15/2027 (b) 1,000 1,000
Harris County, Texas Industrial Development Corporation
Revenue Bonds, Series 1984
5.600% due 03/01/2024 (b) 1,000 1,000
North Central Texas Health Facility Development
Corporation Revenue Bonds, (MBIA Insured),
Series 1985-D 5.500% due 12/01/2015 (b) 1,000 1,000
-----------
3,896
===========
Washington State 3.6%
Port Of Seattle, Washington Revenue Bonds,
(MBIA Insured), Series 2000-B
5.625% due 02/01/2024 1,000 968
-----------
Wisconsin 4.1%
Brothertown, Wisconsin Industrial Development Revenue
Bonds, (LOC-Associated Bank Lakeshore Insured),
Series 1998 5.850% due 12/01/2013 (b) 700 700
Wisconsin State Health & Education Facilities Authority
Revenue Bonds, (LOC-Allied Irish Bank PLC Insured),
Series 1997 5.700% due 11/01/2017 (b) 400 400
-----------
1,100
-----------
Total Municipal Bonds & Notes 28,359
(Cost $28,552) ===========
-----------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 0.4%
-----------------------------------------------------------------
Treasury Inflation Protected Securities (d)
3.625% due 07/15/2002 108 108
-----------
Total U.S. Treasury Obligations 108
(Cost $108) ===========
Total Investments (a) 106.4% $ 28,467
(Cost $28,660)
Other Assets and Liabilities (Net) (6.4%) (1,714)
-----------
Net Assets 100.0% $ 26,753
===========
40 PIMCO Funds See accompanying notes
<PAGE>
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 58
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (251)
--------------
Unrealized depreciation-net $ (193)
==============
(b) Variable rate security. The rate listed is as of September 30, 2000.
(c) Swap agreements outstanding at September 30, 2000:
Notional Unrealized
Type Amount Appreciation
---------------------------------------------------------------------
Receive a floating rate based on the 30-year Municipal Market Data
AAA Index and pay a fixed rate equal to 5.625%.
Broker: Merril Lynch
Exp. 12/13/2000 10,000 $ 0
-------------
(d) Principal amount of the security is adjusted for inflation.
2000 Semi-Annual Report See accompanying notes 41
<PAGE>
Schedule of Investments
International Portfolio
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
---------------------------------------------------------------------
AUSTRALIA (e)(f) 4.3%
---------------------------------------------------------------------
Bankers Trust Corp.
6.970% due 06/02/2008 (d) $ 7,700 $ 7,495
Commonwealth of Australia
8.750% due 08/15/2008 (j) A$ 3,500 2,195
7.500% due 09/15/2009 (j) 50,000 29,509
General Motors Acceptance Corp.
5.020% due 03/25/2002 (d) EC 14,300 12,607
National Australia Bank Ltd.
7.320% due 05/19/2010 (d) $ 310 313
Registered Australian Mortgage
Securities
4.770% due 09/26/2032 (d) EC 6,909 6,099
Torrens Trust
6.880% due 07/15/2031 (d) $ 6,328 6,328
-----------
Total Australia 64,546
(Cost $70,107) ===========
---------------------------------------------------------------------
AUSTRIA (e)(f) 1.0%
---------------------------------------------------------------------
Republic of Austria
5.500% due 01/15/2010 (j) EC 17,720 15,528
-----------
Total Austria 15,528
(Cost $15,411) ===========
---------------------------------------------------------------------
CANADA (e)(f) 0.4%
---------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 4,070 2,711
Commonwealth of Canada
9.000% due 12/01/2004 245 182
8.000% due 06/01/2027 500 432
Royal Bank of Canada
6.200% due 02/07/2005 (d) $ 2,500 2,498
-----------
Total Canada 5,823
(Cost $5,935) ===========
CAYMAN ISLANDS (e)(f) 1.0%
Fuji Finance (Cayman)
7.290% due 04/15/2010 (d) $ 5,700 5,682
MBNA American Euro
4.980% due 05/19/2004 (d) EC 10,600 9,769
-----------
Total Cayman Islands 15,451
(Cost $16,889) ===========
---------------------------------------------------------------------
CROATIA (e)(f) 0.1%
---------------------------------------------------------------------
Republic of Croatia
7.000% due 03/28/2005 EC 1,840 1,609
-----------
Total Croatia 1,609
(Cost $1,766) ===========
---------------------------------------------------------------------
DENMARK (e)(f) 2.0%
---------------------------------------------------------------------
Danske Kredit Mortgage
5.000% due 10/01/2029 DK 2,513 259
Nykredit
5.000% due 10/01/2029 166,200 17,084
Realkredit Danmark Mortgage
5.000% due 10/01/2029 56,257 5,779
6.000% due 10/01/2029 67,700 7,488
-----------
Total Denmark 30,610
(Cost $32,506) ===========
---------------------------------------------------------------------
FRANCE (e)(f) 5.8%
---------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 1,385 $ 1,271
Compagnie Financiere de CIC-UE
6.890% due 10/29/2049 (d) $ 3,700 3,534
Republic of France
4.000% due 04/25/2009 (j) EC 56,780 45,575
3.000% due 07/25/2009 3,780 3,148
4.000% due 10/25/2009 (j) 38,340 30,550
5.500% due 04/25/2010 3,030 2,695
----------
Total France 86,773
(Cost $92,449) ==========
---------------------------------------------------------------------
GERMANY (e)(f) 0.5%
---------------------------------------------------------------------
Depfa Pfandbriefbank
4.750% due 07/15/2008 EC 2,990 2,478
5.750% due 03/04/2009 (j) DM 3,020 2,658
Republic of Germany
4.750% due 07/04/2028 EC 3,420 2,657
----------
Total Germany 7,793
(Cost $8,649) ==========
---------------------------------------------------------------------
GREECE 4.0%
---------------------------------------------------------------------
CSFP Credit
7.420% due 11/19/2004 (d)(k) $ 29,450 29,715
Hellenic Finance
2.000% due 07/15/2003 EC 2,400 2,125
Hellenic Republic
7.280% due 06/06/2001 (d) $ 16,300 16,540
7.850% due 05/19/2003 (d) GD 1,100,000 2,965
7.890% due 06/17/2003 (d) 1,611,700 4,346
10.240% due 10/23/2003 (d) 710,400 1,914
6.600% due 01/15/2004 (j) 1,124,800 3,000
----------
Total Greece 60,605
(Cost $64,661) ==========
---------------------------------------------------------------------
ITALY 10.0%
---------------------------------------------------------------------
Finmeccanica SpA
2.000% due 06/08/2005 EC 2,687 2,337
Island Finance
5.490% due 03/30/2015 (d) 8,556 7,561
Republic of Italy
9.750% due 07/01/2005 (j) 26,970 23,231
4.500% due 05/01/2009 (j) 60,390 49,597
4.250% due 11/01/2009 (j) 10,580 8,498
5.500% due 11/01/2010 (j) 30,190 26,593
6.500% due 11/01/2027 14,700 13,866
5.250% due 11/01/2029 (j) 22,960 18,370
----------
Total Italy 150,053
(Cost $155,338) ==========
---------------------------------------------------------------------
JAPAN (e)(f) 0.9%
---------------------------------------------------------------------
Government of Japan
0.900% due 12/22/2008 (j) JY 175,000 1,495
International Credit RJapan
0.750% due 08/25/2005 (d) 110,000 1,018
International Credit Receivable Japan 1
Tranche A
0.720% due 11/22/2004 (d) 73,643 682
0.650% due 08/25/2005 650,000 6,019
International Credit Receivable Japan 1
Tranche B
0.820% due 11/22/2004 (d) 230,000 2,130
SHL Corp. Ltd.
0.530% due 12/25/2024 (d) 168,372 1,559
0.830% due 12/25/2024 (d) 126,000 1,167
----------
Total Japan 14,070
(Cost $13,952) ==========
42 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MEXICO (e)(f) 1.3%
--------------------------------------------------------------------------------
United Mexican States
9.380% due 11/02/2000 DM 12,600 $ 5,699
5.000% due 09/30/2002 JY 1,194,000 11,635
9.880% due 02/01/2010 $ 400 426
8.630% due 09/15/2016 1,250 1,456
------------
Total Mexico 19,216
(Cost $19,559) ============
--------------------------------------------------------------------------------
NETHERLANDS 1.1%
--------------------------------------------------------------------------------
Deutsche Bank Financial
6.720% due 12/17/2003 (d) $ 5,000 4,995
Koninklijke Ahold NV
4.000% due 05/19/2005 EC 1,000 994
Mannesmann Finance BV
4.750% due 05/27/2009 6,400 5,021
Tecnost International NV
6.670% due 06/23/2004 (d) 6,540 5,832
------------
Total Netherlands 16,842
(Cost $18,452) ============
--------------------------------------------------------------------------------
NEW ZEALAND 1.7%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 59,670 25,466
------------
Total New Zealand 25,466
(Cost $36,256) ============
--------------------------------------------------------------------------------
POLAND 1.2%
--------------------------------------------------------------------------------
Republic of Poland
15.180% due 07/18/2001 (j) EC 88,000 16,977
4.000% due 10/27/2024 500 340
3.500% due 10/27/2024 (d) $ 1,650 1,040
------------
Total Poland 18,357
(Cost $19,319) ============
--------------------------------------------------------------------------------
PORTUGAL (e)(f) 3.9%
--------------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 (j) EC 74,300 58,462
------------
Total Portugal 58,462
(Cost $68,661) ============
--------------------------------------------------------------------------------
QATAR (e)(f) 0.3%
--------------------------------------------------------------------------------
International Credit Receivable
5.390% due 03/15/2010 JY 4,400 3,885
------------
Total Qatar 3,885
(Cost $4,070) ============
--------------------------------------------------------------------------------
SOUTH KOREA (e)(f) 2.1%
--------------------------------------------------------------------------------
Export-Import Bank Korea
4.620% due 03/20/2002 (d) DM 4,900 2,140
Hansol Paper Co. Ltd.
8.940% due 05/24/2001 (d) $ 2,000 2,020
KBC Bank Fund Trust IV
8.220% due 11/29/2049 EC 3,130 2,805
Korea Development Bank
9.600% due 12/01/2000 1,400 1,404
4.800% due 05/14/2001 (d) DM 4,540 2,031
2.770% due 05/21/2001 JY 500,000 4,723
1.880% due 02/13/2002 2,800 259
2.700% due 08/16/2002 991,000 9,437
4.700% due 03/18/2004 710,000 7,024
------------
Total South Korea 31,843
(Cost $32,833) ============
--------------------------------------------------------------------------------
SPAIN (e)(f) 3.9%
--------------------------------------------------------------------------------
Kingdom of Spain
4.950% due 07/30/2005 (j) EC 25,030 $ 21,707
5.150% due 07/30/2009 42,400 36,514
-----------
Total Spain 58,221
(Cost $62,021) ===========
--------------------------------------------------------------------------------
SUPRANATIONAL (e)(f) 2.4%
--------------------------------------------------------------------------------
Eurofima
4.750% due 07/07/2004 SK 4,000 404
European Investment Bank
5.380% due 08/28/2007 NK 28,000 2,843
5.500% due 12/07/2009 BP 12,000 17,031
International Bank for Reconstruction & Development
7.250% due 04/09/2001 N$ 22,372 9,132
World Bank
10.250% due 04/11/2002 PP 155,000 3,118
-----------
Total Supranational 32,528
(Cost $39,595) ===========
--------------------------------------------------------------------------------
TUNISIA (e)(f) 0.2%
--------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 2,800 2,532
-----------
Total Tunisia 2,532
(Cost $2,846) ===========
--------------------------------------------------------------------------------
UNITED KINGDOM (e)(f) 4.7%
--------------------------------------------------------------------------------
Abbey National Treasury Service
7.630% due 12/30/2002 BP 4,170 6,309
Bank of Scotland Capital Fund
8.120% due 03/31/2049 3,180 4,691
BG Transco Holdings PLC
7.060% due 12/14/2009 (d) 5,230 7,778
Halifax Group Euro Finance
7.630% due 12/29/2049 EC 6,000 5,295
HAUS Limited
5.010% due 12/10/2037 (d) 12,800 11,301
Lloyds TSB Bank PLC
7.000% due 11/29/2049 (d) $ 1,100 909
Lloyds TSB Capital
7.380% due 02/07/2049 EC 9,250 8,235
SCCR Series 1 Ltd.
6.500% due 04/15/1932 (d) BP 183 270
5.020% due 12/15/2031 (d) 8,989 7,952
United Kingdom Gilt
5.750% due 12/07/2009 (d) 11,830 18,167
-----------
Total United Kingdom 70,907
(Cost $75,432) ===========
--------------------------------------------------------------------------------
UNITED STATES (e)(f) 78.4%
--------------------------------------------------------------------------------
Asset-Backed Securities 7.4%
Advanta Mortgage Loan Trust
7.000% due 11/25/2029 (d) $ 2,734 2,737
AFC Home Equity Loan Trust
6.840% due 03/25/2027 (d) 3,181 3,182
Amresco Residential Securities Mortgage Loan Trust
7.090% due 06/25/2029 (d) 7,479 7,505
Argentina Funding Corp.
6.880% due 05/20/2003 (d) 700 702
Banc One Auto Grantor Trust
6.270% due 11/20/2003 235 234
Banc One Home Equity Trust
6.460% due 06/25/2029 981 976
Champion Home Equity Loan Trust
8.030% due 02/25/2028 (d) 2,504 2,555
Charter Financial, Inc.
6.590% due 02/25/2002 5,684 5,686
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 135 136
Contimortgage Home Equity Loan Trust
6.420% due 04/25/2014 790 786
2000 Semi-Annual Report See accompanying notes 43
<PAGE>
Schedule of Investments (Cont.)
International Portfolio
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
GMAC Mortgage Corporation Loan Trust
6.820% due 11/18/2015 (d) $ 9,107 $ 9,108
Green Tree Financial Corp.
6.450% due 01/15/2026 10 10
6.800% due 10/15/2027 2,307 2,308
Green Tree Home Equity Loan Trust
6.290% due 10/15/2013 3,148 3,144
Metris Master Trust
7.270% due 04/20/2006 (d) 2,500 2,512
MLCC Mortgage Investors, Inc.
7.000% due 03/15/2025 (d) 11,865 11,911
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 659 653
Novastar Home Equity Loan
6.900% due 04/25/2028 (d) 16,455 16,429
Pacific Southwest Bank
6.060% due 06/15/2002 184 183
Providian Home Equity Loan Trust
6.910% due 06/25/2025 (d) 1,733 1,734
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 1,930 1,917
Salomon Brothers Mortgage Securities
7.040% due 11/15/2029 (d) 4,058 4,068
6.960% due 02/25/2030 (d) 17,854 17,901
United Panama Mortgage Loan
7.070% due 10/25/2029 (d) 14,424 14,415
------------
110,792
============
Corporate Bonds & Notes 16.0%
AESOP Funding II LLC
6.220% due 10/20/2001 (d) 183 183
Associates Corp. of North America
6.960% due 05/08/2003 (d) 3,720 3,717
AT&T Capital Corp.
7.010% due 04/23/2002 (d) 4,500 4,512
Bear Stearns Co., Inc.
7.130% due 03/28/2003 (d) 5,750 5,750
BTM Holdings
7.160% due 09/29/2049 (d) 500 500
Coastal Corp.
7.290% due 03/01/2002 (d) 10,000 10,000
Donaldson, Lufkin & Jenrette, Inc.
6.760% due 04/25/2003 (d) 4,140 4,139
DQE Capital Corp.
7.230% due 01/15/2002 (d) 1,400 1,399
Enron Corp.
7.110% due 09/10/2001 (d) 3,500 3,500
Finova Capital Corp.
7.340% due 11/08/2002 (d) 5,260 4,278
7.190% due 04/08/2003 (d) 2,900 2,471
Ford Motor Credit Corp.
1.000% due 12/22/2003 JY 44,000 404
7.080% due 07/19/2004 (d) $ 4,100 4,104
1.200% due 02/07/2005 JY 458,000 4,174
General Motors Acceptance Corp.
6.810% due 01/28/2002 (d) $ 5,100 5,103
0.300% due 07/26/2002 341,000 3,157
6.880% due 11/12/2002 (d) 3,000 3,004
7.020% due 04/05/2004 (d) 1,160 1,158
7.020% due 04/05/2004 (d) 32,860 32,819
6.880% due 09/09/2004 BP 7,290 10,791
5.500% due 02/02/2005 EC 16,900 14,652
Gold Eagle Capital Ltd.
9.000% due 04/15/2001 $ 7,000 6,992
Lehman Brothers Holdings, Inc.
7.170% due 04/04/2003 (d) 4,900 4,902
Merrill Lynch & Co.
6.790% due 11/01/2001 (d) 7,710 7,718
Morgan Stanley, Dean Witter, Discover and Co.
6.840% due 01/28/2002 (d) 20,400 20,435
6.910% due 05/05/2003 (d) 1,000 1,002
Procter & Gamble Co.
1.500% due 12/07/2005 JY 1,000,000 9,258
Protective Life Funding Trust
7.090% due 01/17/2003 (d) $ 2,100 2,097
Prudential Funding Corp.
6.850% due 12/21/2000 (d) 7,900 7,900
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (d) 13,276 13,119
6.720% due 10/21/2002 (d) BP 2,480 3,656
6.910% due 02/11/2003 (d) $ 400 400
Sierra Pacific Resources
7.390% due 04/20/2002 (d) 400 400
Sprint Spectrum LP
11.000% due 08/15/2006 6,845 7,357
Texas Utilities Co.
7.210% due 06/25/2001 (d) 17,700 17,688
7.590% due 09/24/2001 (d) 4,300 4,323
Williams Communications Group, Inc.
7.180% due 11/15/2001 (d) 13,200 13,209
-----------
240,271
===========
Mortgage-Backed Securities 39.4%
CDC Depositor Trust I
7.100% due 12/14/2001 (d) 8,400 8,426
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 1,820 1,805
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 1,854 1,834
Countrywide Home Loans
6.750% due 08/25/2028 893 886
Crusade Global Trust
7.010% due 05/15/2021 (d) 26,100 26,165
Federal National Mortgage Association
7.000% due 01/01/2005-02/25/2020 (g) 11,767 6,553
Government National Mortgage Association
7.000% due 06/20/1930-10/23/2030 (d)(g) 358,016 181,767
6.750% due 07/20/2025 (d) 963 973
6.750% due 09/20/2025 (d) 476 481
7.380% due 05/20/2026 (d) 1,908 1,922
6.000% due 10/23/2030 99,000 92,875
7.500% due 10/23/2030 39,700 39,812
8.000% due 10/23/2030 160,000 162,850
J.P. Morgan Commercial Mortgage Finance Corp.
6.900% due 04/15/2010 (d) 12,198 12,198
Medallion Trust
6.960% due 07/12/2031 (d) 11,460 11,460
Nationslink Funding Corp.
6.970% due 04/10/2007 (d) 1,483 1,484
Residential Funding Mortgage Securities, Inc.
6.750% due 06/25/2028 950 942
7.090% due 05/12/2032 (d) 30,479 30,479
Sasco Floating Rate Commercial Mortgage
7.020% due 11/20/2001 (d) 3,923 3,930
Starwood Asset Receivable Trust
6.920% due 09/25/2022 (d) 2,990 2,993
-----------
589,835
===========
U.S. Government Agencies 2.4%
Federal Home Loan Bank
7.270% due 02/15/2002 (d) 31,480 31,087
Student Loan Marketing Assn.
6.830% due 10/25/2004 (d) 936 935
6.590% due 10/25/2007 (d) 3,500 3,487
-----------
35,509
===========
U.S. Treasury Obligations 13.2%
Treasury Inflation Protected Securities (h)
3.630% due 07/15/2002 142,637 142,593
U.S. Treasury Bonds
8.750% due 08/15/2020 (j) 29,800 38,712
U.S. Treasury Strips
0.000% due 02/15/2015 39,400 16,431
-----------
197,736
-----------
Total United States 1,174,143
(Cost $1,777,080) ===========
44 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
--------------------------------------------------------------------------------
General National Mortgage Association (OTC)
6.000% due 12/20/2030
Strike @ 84.77 Exp. 12/13/2000 $ 99,000 $ 15
General National Mortgage Association (OTC)
7.000% due 12/20/2030
Strike @ 93.11 Exp. 12/13/2000 133,920 21
General National Mortgage Association (OTC)
7.500% due 12/20/2030
Strike @ 93.11 Exp. 12/13/2000 39,700 6
General National Mortgage Association (OTC)
8.000% due 12/20/2030
Strike @ 95.08 Exp. 12/13/2000 160,000 25
------------
Total Purchased Put Options 67
(Cost $68) ============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 28.2%
--------------------------------------------------------------------------------
Commercial Paper 28.1%
Alcoa, Inc.
6.500% due 12/06/2000 12,000 11,853
6.490% due 12/12/2000-12/14/2000 (g) 41,000 28,214
American Electric Power, Inc.
6.700% due 10/18/2000 300 299
Anz, Inc.
6.540% due 11/07/2000-11/08/2000 (g) 63,800 56,427
Bank One Corp.
6.470% due 12/19/2000 8,800 8,672
Cba (de) Finance
6.460% due 12/14/2000 2,600 2,564
Coca-Cola Co.
6.490% due 12/11/2000-12/13/2000 (g) 14,300 13,618
Conagra, Inc.
6.670% due 10/18/2000 4,600 4,586
6.680% due 10/27/2000 2,600 2,588
6.670% due 11/15/2000 2,200 2,182
Dominion Resources, Inc.
6.710% due 10/18/2000 1,500 1,496
6.770% due 11/06/2000 11,300 11,226
6.710% due 11/09/2000 1,700 1,688
Edison Midwest
6.750% due 11/01/2000 5,000 4,972
6.710% due 11/15/2000 4,000 3,967
Federal Home Loan Mortgage Corp.
6.440% due 10/24/2000 39,400 39,245
6.410% due 11/30/2000 14,800 14,635
General Electric Capital Corp.
6.470% due 12/20/2000 1,000 985
6.500% due 12/20/2000 13,300 13,104
Gillette Co.
6.520% due 12/12/2000 45,100 44,499
Ingersoll-Rand Co.
6.740% due 11/15/2000 5,100 5,058
International Business Machines Corp.
6.540% due 11/01/2000 7,400 7,360
International Paper Co.
6.700% due 10/05/2000 17,400 17,390
Minnesota Mining & Manufacturing
6.470% due 11/28/2000 500 494
Motorola, Inc.
6.470% due 12/27/2000 3,100 3,050
6.490% due 12/27/2000 300 295
Natural Rural Utilities
6.520% due 11/15/2000 18,100 17,956
SBC Communications, Inc.
6.470% due 12/06/2000 15,700 15,508
6.490% due 12/06/2000 1,500 1,482
Sprint Capital Corp.
6.700% due 10/25/2000 4,000 3,983
Swedbank, Inc.
6.590% due 10/18/2000 16,200 16,153
Verizon Global Funding
6.500% due 12/11/2000 7,600 7,500
6.470% due 12/14/2000-12/20/2000 (g) 96,700 47,981
Williams Holdings
7.230% due 04/10/2001 9,500 9,504
Yorkshire Building Society
6.470% due 12/20/2000 1,000 986
------------
421,520
============
Repurchase Agreements 0.1%
State Street Bank
5.850% due 10/02/2000 1,310 1,310
(Dated 9/29/2000. Collateralized by ------------
Federal National Mortgage Association
6.100% due 08/10/2001 valued at $1,341.
Repurchase proceeds are $1,311.)
U.S. Treasury Bills (b) 0.0%
U.S. Treasury Bills
5.850% due 02/01/2001 40 39
------------
Total Short-Term Instruments 422,869
(Cost $422,984) ============
Total Investments (a) 159.4% $ 2,388,199
(Cost $2,456,839)
Written Options (c) (0.0%) (691)
(Premiums $1,181)
Other Assets and Liabilities (Net) (59.4%) (889,279)
------------
Net Assets 100.0% $ 1,498,229
============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, 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. $ 5,348
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (73,988)
-----------
Unrealized depreciation-net $ (68,640)
===========
(b) Securities with an aggregate market value of
$4,985 have been segregated with the custodian
to cover margin requirements for the following
open futures contracts at September 30, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
------------------------------------------------------------------------
Canada 10 Year Note (12/2000) 432 $ (211)
EuroBond 10 Year Note (12/2000) 3,061 702
U.S. Treasury 10 Year Note (12/2000) 9 0
Government of Japan 10 Year Note (12/2000) 34 (76)
United Kingdom 10 Year Note (12/2000) 922 (814)
United Kingdom 90 Day LIBOR Futures (06/2001) 295 (10)
EuroBond 10 Year Note Written Put Options (11/2000) 451 146
------------
$ (263)
============
2000 Semi-Annual Report See accompanying notes 45
<PAGE>
Schedule of Investments (Cont.)
International Portfolio
September 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
(c) Premiums received on written options:
# of
Type Contracts Premium Value
-----------------------------------------------------------------------------
Call - CBOT U.S. Treasury Note December Futures
Strike @ 103.00 Exp. 11/18/2000 94 $ 14 $ 11
Call - CBOT U.S. Treasury Note December Futures
Strike @ 102.00 Exp. 11/18/2000 94 27 22
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.84 Exp. 10/10/2000 28,180,000 141 6
Call - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.90 Exp. 10/10/2000 28,180,000 122 61
Put - CME Eurodollar March Futures
Strike @ 92.75 Exp. 03/19/2001 58 40 2
Call - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 156 38 116
Put - CME Eurodollar March Futures
Strike @ 92.25 Exp. 03/19/2001 98 57 1
Put - CBOT U.S. Treasury Note December Futures
Strike @ 98.00 Exp. 11/18/2000 46 29 8
Put - CBOT U.S. Treasury Note December Futures
Strike @ 97.00 Exp. 11/18/2000 46 17 4
Call - TSE Government of Japan December Futures
Strike @ 134.00 Exp. 11/30/2000 77 143 154
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.81 Exp. 12/21/2000 37,500,000 135 81
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.85 Exp. 10/24/2000 22,200,000 109 56
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.85 Exp. 10/24/2000 66,700,000 309 169
-------------------
$ 1,181 $ 691
===================
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
------------------------------------------------------------------
Sell A$ $ 10,615 10/2000 $ 410
Buy 829 10/2000 (10)
Buy 19,156 11/2000 (26)
Sell 11,191 11/2000 (8)
Sell C$ 14,355 10/2000 139
Buy 8,900 10/2000 (66)
Sell SF 40,540 10/2000 (350)
Buy 19,770 10/2000 19
Sell 19,770 11/2000 (15)
Sell DK 177,858 10/2000 (129)
Buy 6,304 10/2000 14
Sell EC 6,740 01/2001 483
Buy 49,312 10/2000 (1,000)
Sell 49,128 10/2000 (229)
Sell 46,221 11/2000 (121)
Sell BP 42,922 10/2000 (845)
Sell 1,343 03/2001 (31)
Buy GD 6,063,766 01/2001 (419)
Sell 3,962,359 12/2000 (20)
Sell H$ 438,783 08/2001 201
Buy 200,100 08/2001 (25)
Buy HF 2,169,000 01/2001 (1,180)
Sell 2,169,000 01/2001 544
Buy 3,570,000 02/2001 (410)
Buy JY 8,675,492 10/2000 (100)
Sell 7,971,968 10/2000 1,401
Sell 7,251,955 11/2000 (2)
Buy MP 14,423 10/2000 72
Sell 14,423 10/2000 (41)
Sell NK 28,984 10/2000 (80)
Sell N$ 147,177 10/2000 3,310
Buy 123,976 10/2000 (1,510)
Sell 66,354 11/2000 406
Buy PZ 23,629 01/2001 (270)
Buy 95,275 02/2001 (508)
Buy 21,950 03/2001 (220)
Sell 60,960 02/2001 (20)
Sell 12,119 01/2001 (130)
Sell 16,470 03/2001 (240)
Sell SK 3,922 10/2000 8
Buy VB 1,053,720 10/2000 74
-----------
$ (924)
===========
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar
BP - British Pound
C$ - Canadian Dollar
DK - Danish Krone
EC - Euro
GD - Greek Drachma
H$ - Hong Kong Dollar
HF - Hungarian Forint
JY - Japanese Yen
MP - Mexican Peso
N$ - New Zealand Dollar
NK - Norwegian Kron
PZ - Polish Zloty
SF - Swiss Franc
SK - Swedish Krona
VB - Venezuelan Bolivar
(g) Securities are grouped by coupon or range of coupons and represent
a range of maturities.
46 PIMCO Funds See accompanying notes
<PAGE>
------------------------------------------------------------------
(h) Principal amount of the security is adjusted for inflation.
(i) Swap agreements outstanding at September 30, 2000:
Unrealized
Notional Appreciation/
Type Amount Depreciation
------------------------------------------------------------------
Receive floating rate based on 6-month Australian Bank
Bill and pay a fixed rate equal to 6.667%.
Broker: Morgan Stanley
Exp. 09/20/2005 A$ 66,500 $ 14
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 N$ 50,000 384
Receive floating rate based on 3-month Canadian Bank Bill and pay
a fixed rate equal to 6.346%.
Broker: Goldman Sachs
Exp. 07/19/2005 C$ 44,000 (365)
Receive floating rate based on 3-month Canadian Bank Bill and pay
fixed rate equal to 6.248%.
Broker: Royal Bank of Canada
Exp. 08/02/2005 133,300 (739)
Receive floating rate based on 3-month Canadian Bank Bill and pay
fixed rate equal to 6.515%.
Broker: J.P. Morgan
Exp. 05/10/2002 51,990 (342)
Receive floating rate based on 6-month JY-LIBOR and pay fixed rate
equal to 2.020%.
Broker: Goldman Sachs
Exp. 05/18/2010 JY 7,436,060 116
Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate
equal to 6.175%.
Broker: Goldman Sachs
Exp. 05/22/2030 EC 20,260 (204)
Receive a fixed rate equal to 7.291% and pay floating rate based on
3-month LIBOR.
Broker: Goldman Sachs
Exp. 07/21/2005 $ 29,500 672
Receive a fixed rate equal to 7.010% and pay floating rate based on
6-month LIBOR.
Broker: Morgan Stanley
Exp. 09/20/2005 39,000 438
Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate
equal to 6.069%.
Broker: Morgan Stanley
Exp. 08/25/2030 EC 15,500 113
----------
$ 87
==========
(j) Subject to financing transaction.
(k) Restricted security.
2000 Semi-Annual Report See accompanying notes 47
<PAGE>
Schedule of Investments
Emerging Markets Portfolio
September 30, 2000 (Unaudited)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------
ARGENTINA 0.2%
--------------------------------------------------------------------
Republic of Argentina
0.000% due 04/15/2001 $ 600 $ 578
11.375% due 01/30/2017 350 313
6.000% due 03/31/2023 450 309
----------
Total Argentina 1,200
(Cost $1,191) ==========
--------------------------------------------------------------------
BALTIC NATIONS 0.0%
--------------------------------------------------------------------
Republic of Kazakhstan
8.375% due 10/02/2002 $ 200 197
----------
Total Baltic Nations 197
(Cost $198) ==========
--------------------------------------------------------------------
BERMUDA 0.3%
--------------------------------------------------------------------
IMEXA Export Trust
10.125% due 05/31/2003 $ 1,772 1,766
----------
Total Bermuda 1,766
(Cost $1,734) ==========
--------------------------------------------------------------------
BRAZIL 10.0%
--------------------------------------------------------------------
Republic of Brazil
0.000% due 04/15/2006 (d) $ 22,371 21,109
7.437% due 04/15/2009 (d) 3,500 3,073
14.500% due 10/15/2009 4,700 5,194
8.000% due 04/15/2014 2,487 1,903
6.000% due 04/15/2024 10,250 6,868
12.250% due 03/06/2030 13,750 12,513
11.000% due 08/17/2040 2,635 2,105
----------
Total Brazil 52,765
(Cost $52,109) ==========
--------------------------------------------------------------------
BULGARIA 11.5%
--------------------------------------------------------------------
Republic of Bulgaria
7.062% due 07/28/2011 (d) $ 12,250 9,279
2.750% due 07/28/2012 (d) 10,406 7,580
7.750% due 07/28/2024 (d) 57,550 44,025
----------
Total Bulgaria 60,884
(Cost $63,102) ==========
--------------------------------------------------------------------
CHILE 0.6%
--------------------------------------------------------------------
Republic of Chile
6.875% due 04/28/2009 $ 3,350 3,153
----------
Total Chile 3,153
(Cost $3,162) ==========
--------------------------------------------------------------------
COLOMBIA 2.7%
--------------------------------------------------------------------
Republic of Colombia
10.875% due 03/09/2004 $ 2,430 2,351
12.832% due 08/13/2005 (d) 60 59
7.625% due 02/15/2007 2,480 1,903
9.750% due 04/23/2009 5,600 4,621
11.750% due 02/25/2020 6,500 5,517
----------
Total Colombia 14,451
(Cost $15,211) ==========
--------------------------------------------------------------------
CROATIA 2.0%
--------------------------------------------------------------------
Republic of Croatia
7.000% due 02/27/2002 $ 4,000 3,916
7.000% due 03/28/2005 EC 1,000 878
7.750% due 07/31/2006 $ 6,058 5,679
----------
Total Croatia 10,473
(Cost $10,668) ==========
--------------------------------------------------------------------
IVORY COAST 0.2%
--------------------------------------------------------------------
Ivory Coast
1.900% due 03/30/2018 FF 44,650 $ 1,023
----------
Total Ivory Coast 1,023
(Cost $1,838) ==========
--------------------------------------------------------------------
JORDAN 2.0%
--------------------------------------------------------------------
Kingdom of Jordan
6.000% due 12/23/2023 $ 14,150 10,574
----------
Total Jordan 10,574
(Cost $9,600) ==========
--------------------------------------------------------------------
MALAYSIA 1.0%
--------------------------------------------------------------------
Republic of Malaysia
6.875% due 05/15/2001 $ 900 900
8.750% due 06/01/2009 4,000 4,208
----------
Total Malaysia 5,108
(Cost $5,086) ==========
--------------------------------------------------------------------
MEXICO 19.9%
--------------------------------------------------------------------
Banco Nacional de Comercio Exterior
8.000% due 08/05/2003 $ 3,627 3,641
Cemex SA
8.625% due 07/18/2003 3,250 3,291
Grupo Iusacell SA De CV
14.250% due 12/01/2006 3,000 3,188
Grupo Televisa SA
1.000% due 05/15/2008 (f) 0 0
Myra-Lehman Brothers Holdings, Inc.
6.700% due 11/30/2006 (d) 1,695 1,568
Nacional Financiera
10.562% due 12/01/2000 (d) 500 498
9.750% due 03/12/2002 100 104
Petroleos Mexicanos
8.131% due 07/15/2005 (d) 950 952
9.375% due 12/02/2008 500 515
United Mexican States
1.000% due 04/07/2004 EC 3,500 3,232
10.375% due 02/17/2009 $ 750 818
9.875% due 02/01/2010 5,950 6,326
7.925% due 12/31/2019 (d) 10,000 10,449
6.250% due 12/31/2019 30,500 27,337
7.312% due 12/31/2019 5,175 5,407
7.800% due 12/31/2019 2,500 2,612
11.500% due 05/15/2026 28,550 34,938
United Mexican States Recovery Rights
0.000% due 06/30/2003 28,728 0
----------
Total Mexico 104,876
(Cost $102,496) ==========
--------------------------------------------------------------------
MOROCCO 0.7%
--------------------------------------------------------------------
Morocco Restructured Tranche A
6.937% due 01/01/2009 $ 4,190 3,708
----------
Total Morocco 3,708
(Cost $3,698) ==========
--------------------------------------------------------------------
PANAMA 6.2%
--------------------------------------------------------------------
Republic of Panama
7.875% due 02/13/2002 $ 188 186
7.930% due 05/10/2002 151 148
4.500% due 07/17/2014 28,375 22,930
8.875% due 09/30/2027 5,000 4,188
9.375% due 04/01/2029 5,250 5,053
----------
Total Panama 32,505
(Cost $32,812) ==========
48 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------
PERU 5.6%
--------------------------------------------------------------------
Republic of Peru
4.500% due 03/07/2017 (d) $ 38,438 $ 23,986
3.750% due 03/07/2017 10,350 5,791
----------
Total Peru 29,777
(Cost $33,391) ==========
--------------------------------------------------------------------
PHILIPPINES 6.8%
--------------------------------------------------------------------
Bangko Sentral Pilipinas
8.600% due 06/15/2027 $ 175 119
Central Bank Philippines
6.937% due 01/05/2005 (d) 5,350 5,051
7.937% due 06/01/2008 1,497 1,340
Republic of Philippines
8.000% due 09/17/2004 EC 4,000 3,553
7.937% due 12/01/2007 $ 2,493 2,006
6.500% due 12/01/2017 12,800 9,871
9.875% due 01/15/2019 16,740 13,769
----------
Total Philippines 35,709
(Cost $38,231) ==========
--------------------------------------------------------------------
POLAND 11.2%
--------------------------------------------------------------------
Republic of Poland
6.000% due 10/27/2014 $ 24,500 22,540
4.000% due 10/27/2024 6,650 4,522
3.500% due 10/27/2024 51,240 32,281
----------
Total Poland 59,343
(Cost $58,642) ==========
--------------------------------------------------------------------
QATAR 1.9%
--------------------------------------------------------------------
State of Qatar
7.270% due 02/18/2004 (d) $ 1,000 993
9.750% due 06/15/2030 8,750 9,002
----------
Total Qatar 9,995
(Cost $9,859) ==========
--------------------------------------------------------------------
SLOVAKIA 0.1%
--------------------------------------------------------------------
Slovak Wireless
11.250% due 03/30/2007 EC 500 444
----------
Total Slovakia 444
(Cost $485) ==========
--------------------------------------------------------------------
SOUTH KOREA 16.3%
--------------------------------------------------------------------
Cho Hung Bank
11.875% due 04/01/2010 $ 3,000 2,985
Export-Import Bank Korea
6.500% due 11/15/2006 2,500 2,435
7.100% due 03/15/2007 10,821 10,752
Hanvit Bank
11.750% due 03/01/2010 4,800 4,776
12.750% due 03/01/2010 3,750 3,831
Korea Development Bank
7.675% due 10/06/2000 (d) 5,500 5,500
7.125% due 09/17/2001 5,604 5,593
7.625% due 10/01/2002 1,300 1,301
8.294% due 06/16/2003 (d) 3,000 2,940
6.625% due 11/21/2003 2,900 2,824
7.125% due 04/22/2004 5,150 5,054
7.375% due 09/17/2004 8,000 7,886
Korea National Housing
10.343% du05/23/2001 11,000 11,220
Republic of Korea
8.875% due 04/15/2008 12,240 12,852
SK Telecom Co. Ltd.
7.750% due 04/29/2004 6,000 5,954
----------
Total South Korea 85,903
(Cost $85,113) ==========
--------------------------------------------------------------------
TUNISIA 1.3%
--------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 2,700 2,444
8.250% due 09/19/2027 4,750 4,144
----------
Total Tunisia 6,588
(Cost $6,724) ==========
--------------------------------------------------------------------
TURKEY 0.3%
--------------------------------------------------------------------
Export Credit Bank of Turkey
11.500% due 02/25/2005 $ 900 891
Republic of Turkey
11.875% due 11/05/2004 400 417
----------
Total Turkey 1,308
(Cost $1,310) ==========
--------------------------------------------------------------------
URUGUAY 1.7%
--------------------------------------------------------------------
Banco Central Del Uruguay
8.062% due 02/19/2006 (d) $ 162 147
Republica Oriental Del Uruguay
7.250% due 05/04/2009 9,500 8,704
----------
Total Uruguay 8,851
(Cost $9,463) ==========
--------------------------------------------------------------------
VENEZUELA 0.2%
--------------------------------------------------------------------
Republic of Venezuela
7.437% due 03/31/2007 $ 929 785
9.250% due 09/15/2027 750 507
----------
Total Venezuela 1,292
(Cost $1,212) ==========
--------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 11.8%
--------------------------------------------------------------------
Commercial Paper 11.3%
American Electric Power, Inc.
6.700% due 10/18/2000 $ 3,900 3,888
Bell South Telecommunications, Inc.
6.490% due 11/01/2000 200 199
Campbell Soup Co.
6.490% due 12/04/2000 14,200 14,039
Conagra, Inc.
6.700% due 10/18/2000 1,100 1,097
6.670% due 11/15/2000 5,000 4,959
Dominion Resources, Inc.
6.710% due 10/18/2000 5,400 5,384
General Electric Capital Corp.
6.490% due 12/07/2000 600 593
6.470% due 12/13/2000 500 494
6.520% due 01/19/2001 1,800 1,764
Infinity Broadcasting Corp.
6.710% due 11/15/2000 7,000 6,943
Ingersoll-Rand Co.
6.690% due 10/04/2000 1,000 1,000
International Paper Co.
6.700% due 10/05/2000 4,000 3,998
6.720% due 11/28/2000 15,000 14,840
Motorola, Inc.
6.480% due 12/26/2000 300 295
----------
59,493
Repurchase Agreement 0.5% ==========
State Street Bank
5.850% due 10/02/2000 2,834 2,834
(Dated 9/29/2000.
Collateralized by
Federal Home Loan Bank
7.025% due 03/06/2002 valued
at $2,895. Repurchase proceeds
are $2,835.)
----------
Total Short-Term Instruments 62,327
(Cost $62,327) ==========
2000 Semi-Annual Report See accompanying notes 49
<PAGE>
Schedule of Investments (Cont.)
Emerging Markets Portfolio
September 30, 2000 (Unaudited)
Value
(000s)
--------------------------------------------------------------------
Total Investments (a) 114.5% $ 604,220
(Cost $609,662)
Other Assets and Liabilities (Net) (14.5%) (76,388)
----------
Net Assets 100.0% $ 527,832
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal income tax
purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 6,666
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (12,108)
----------
Unrealized depreciation-net $ (5,442)
==========
(b) Foreign forward currency contracts outstanding at September 30, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------
Buy CL 674,375 12/2000 $ (53)
Sell EC 13,145 10/2000 382
Buy 3,316 10/2000 (88)
Buy 527 11/2000 (89)
Sell 527 11/2000 100
Buy HF 1,990,000 11/2000 (392)
Buy PZ 13,250 11/2000 64
Buy 15,000 12/2000 (53)
Buy 7,000 01/2001 (59)
Buy 4,500 02/2001 (29)
Buy 5,000 03/2001 (59)
----------
$ (276)
==========
(c) Principal amount denoted in indicated currency:
CL - Chilean Peso
EC - Euro
HF - Hugarian Forint
PZ - Polish Zloty
(d) Variable rate security. The rate listed is as of September 30, 2000.
(e) Swap agreements outstanding at September 30, 2000:
Notional Unrealized
Type Amount Appreciation
--------------------------------------------------------------------
Receive fixed rate equal to 6.000% and the
Fund will pay to the counterparty at par
in the event of default of the Republic of
Venezuela 9.250% due 09/15/2027.
Broker: Deutsche Bank AG New York
Exp. 03/31/2001 $ 3,500 $ 2
----------
(f) Security becomes interest bearing at a future date.
50 PIMCO Funds See accompanying notes
<PAGE>
Notes to Financial Statements
September 30, 2000 (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 35 separate
investment portfolios. The Short-Term, U.S. Government Sector, Mortgage, Real
Return Bond, Investment Grade Corporate, Municipal Sector, International, and
Emerging Market Bond Portfolios (the "Portfolios") are a series of the Trust.
The following is a summary of significant accounting policies followed in the
preparation of the Portfolios' financial statements. The policies are in
conformity with accounting principles generally accepted in the United States.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements in
conformity with accounting principles generally accepted in the United States.
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States 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 Portfolio is informed of the ex-dividend date.
Interest income, adjusted for the accretion of discounts and amortization of
premiums, is recorded on the accrual basis.
Dividends and Distributions to Shareholders. Dividends from net investment
income, if any, are declared and distributed on a quarterly basis to
shareholders. Net realized capital gains earned by a Portfolio, if any, will be
distributed no less frequently than once each year.
Income dividends and capital gain distributions are determined in
accordance with income tax regulations which may differ from accounting
principles generally accepted in the United States. 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 Portfolio intends to qualify as a regulated
investment company and distribute all of its taxable income and net realized
gains, if applicable, to shareholders. Accordingly, no provision for Federal
income taxes has been made.
2000 Semi-Annual Report See accompanying notes 51
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 2000 (Unaudited)
Financing Transactions. A Portfolio may enter into financing transactions
consisting of the sale by the Portfolio of securities, together with a
commitment to repurchase similar securities at a future date. The difference
between the selling price and the future purchase price is an adjustment to
interest income. If the counterparty to whom the Portfolio sells the security
becomes insolvent, a Portfolio's right to repurchase the security may be
restricted; the value of the security may change over the term of the financing
transaction; and the return earned by a Portfolio with the proceeds of a
financing transaction may not exceed transaction costs.
Futures and Options. The Portfolios are authorized to enter into futures
contracts and options. A Portfolio may use futures contracts and options to
manage its exposure to the securities markets or to movements in interest rates
and currency values. The primary risks associated with the use of futures
contracts and options are imperfect correlation between the change in market
value of the securities held by a Portfolio and the prices of futures contracts
and options, the possibility of an illiquid market, and the inability of the
counterparty to meet the terms of the contract. Futures contracts and purchased
options are valued based upon their quoted daily settlement prices. The premium
received for a written option is recorded as an asset with an equal liability
which is marked to market based on the option's quoted daily settlement price.
Fluctuations in the value of such instruments are recorded as unrealized
appreciation (depreciation) until terminated, at which time realized gains and
losses are recognized.
Forward Currency Contracts. The Portfolios are authorized to enter into forward
foreign exchange contracts for the purpose of hedging against foreign exchange
risk arising from the Portfolio's investment or anticipated investment in
securities denominated in foreign currencies. A Portfolio also may enter into
these contracts for purposes of increasing exposure to a foreign currency or to
shift exposure to foreign currency fluctuations from one country to another. All
commitments are marked to market daily at the applicable translation rates and
any resulting unrealized gains or losses are recorded. Realized gains or losses
are recorded at the time the forward contract matures or by delivery of the
currency. Risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of a foreign currency relative to the U.S.
dollar.
Swaps. The Portfolios are authorized to enter into interest rate, total return
and currency exchange swap agreements in order to obtain a desired return at a
lower cost than if the Portfolio had invested directly in the asset that yielded
the desired return. Swaps involve commitments to exchange components of income
(generally interest or returns) pegged to the underlying assets based on a
notional principal amount. Swaps are marked to market daily based upon
quotations from market makers and the change, if any, is recorded as unrealized
gains or losses in the Statements of Operations. A Portfolio bears the risk of
loss of the amount expected to be received under a swap agreement in the event
of the default or bankruptcy of a counterparty.
Delayed Delivery Transactions. A Portfolio may purchase or sell securities on a
when-issued or delayed delivery basis. These transactions involve a commitment
by a Portfolio to purchase or sell securities for a predetermined price or
yield, with payment and delivery taking place beyond the customary settlement
period. When delayed delivery purchases are outstanding, a Portfolio will set
aside and maintain until the settlement date in a segregated account, liquid
assets in an amount sufficient to meet the purchase price. When purchasing a
security on a delayed delivery basis, a Portfolio assumes the rights and risks
of ownership of the security, including the risk of price and yield
fluctuations, and takes such fluctuations into account when determining its net
asset value. A Portfolio may dispose of or renegotiate a delayed delivery
transaction after it is entered into, and may sell when-issued securities before
they are delivered, which may result in a capital gain or loss. When the
Portfolio has sold a security on a delayed delivery basis, the Portfolio does
not participate in future gains and losses with respect to the security. Forward
sales commitments are accounted for by the Portfolio in the same manner as
forward currency contracts discussed above.
Inflation-Indexed Bonds. Inflation-indexed bonds are fixed income securities
whose principal value is periodically adjusted to the rate of inflation. The
interest rate on these bonds is generally fixed at issuance at a rate lower than
typical bonds. Over the life of an inflation-indexed bond, however, interest
will be paid based on a principal value which is adjusted for inflation. Any
increase in the principal amount of an inflation-indexed bond will be considered
interest income, even though principal is not received until maturity.
Repurchase Agreements. Each Portfolio may engage in repurchase transactions.
Under the terms of a typical repurchase agreement, the Portfolio takes
possession of an underlying debt obligation subject to an obligation of the
seller to repurchase, and the Portfolio to resell, the obligation at an
agreed-upon price and time. The market value of the collateral must be equal at
all times to the total amount of the repurchase obligations, including interest.
Generally, in the event of counterparty default, the Portfolio has the right to
use the collateral to offset losses incurred.
52 PIMCO Funds
<PAGE>
Restricted Securities. Certain Portfolios are permitted to invest in securities
that are subject to legal or contractual restrictions on resale. These
securities generally may be resold in transactions exempt from registration or
to the public if the securities are registered. Disposal of these securities may
involve time-consuming negotiations and expense, and prompt sale at an
acceptable price may be difficult.
3. Fees, Expenses, and Related Party Transactions
Investment Advisory Fee. Pacific Investment Management Company (PIMCO) is a
wholly owned subsidiary partnership of PIMCO Advisors L.P. which serves as
investment adviser (the Adviser) to the Trust, pursuant to an investment
advisory contract. The Adviser receives a monthly fee from each Portfolio at an
annual rate based on average daily net assets of the Portfolio. The Advisory Fee
is charged at the annual rate of 0.02% for all Portfolios.
Administration Fee. PIMCO serves as administrator (the Administrator), and
provides administrative services to the Trust for which it receives from each
Portfolio a monthly administrative fee based on each Portfolio's average daily
net assets. The Administration Fee is charged at the annual rate of 0.10% for
International and Emerging Markets Portfolios; and 0.03% for all other
Portfolios.
Reorganization on Advisory and Administration Fee. On March 3, 2000, the
shareholders of the Former PIMCO International Bond Fund and PIMCO Emerging
Markets Bond Fund II approved for the reorganization of these funds as a
corresponding new PIMCO Funds: Private Account Series. The shareholders approved
a new management agreement with PIMCO Private Account Portfolio Series effective
March 31, 2000, which replaced the previous contract.
The fees under the PIMCO Private Account Series as of April 1, 2000, for the
Institutional Share Class will be as follows:
Portfolio Advisory Admin Total Operating
--------------------------------------------------------------------------------
International 0.02% 0.10% 0.12%
Emerging Markets 0.02% 0.10% 0.12%
All Other Portfolios 0.02% 0.03% 0.05%
The previous fees under the Pacific Investment Management Series for the
Institutional Share Class were:
Portfolio Advisory Admin Total Operating
--------------------------------------------------------------------------------
International Portfolio 0.25% 0.25% 0.50%
Emerging Markets Portfolio 0.45% 0.40% 0.85%
Expenses. The Trust is responsible for the following expenses: (i) salaries and
other compensation of any of the Trust's executive officers and employees who
are not officers, directors, stockholders or employees of PIMCO or its
subsidiaries or affiliates; (ii) taxes and governmental fees; (iii) brokerage
fees and commissions and other portfolio transaction expenses; (iv) the costs of
borrowing money, including interest expenses; (v) fees and expenses of the
Trustees who are not interested persons of PIMCO or the Trust, and any counsel
retained exclusively for their benefit; (vi) extraordinary expenses, including
costs of litigation and indemnification expenses; (vii) organization expenses
and (viii) expenses, such as organizational expenses. PIMCO has agreed to waive
a portion of Short-Term, U.S. Government Sector, Mortgage, Real Return Bond and
Investment Grade Municipal Sector Portfolios administrative fees to the extent
that the payment of each Portfolio's pro rata share of Trustee fees and
organizational expenses cause the actual expense ratios to rise above the rates
disclosed then-current in the prospectus plus 0.49 basis points (calculated as a
percentage of each Portfolio's average daily net assets). PIMCO may be
reimbursed for these waived amounts in future periods. Each unaffiliated Trustee
receives an annual retainer of $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
Portfolios of the Trust according to their respective net assets.
Distributor. PIMCO Funds Distributors LLC, (PFD), a wholly-owned subsidiary of
PIMCO Advisors L.P., serves as the distributor of the Portfolios' shares.
2000 Semi-Annual Report 53
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 2000 (Unaudited)
4. Shares of Beneficial Interest
The Trust may issue an unlimited number of shares of beneficial interest with a
$.0001 par value. Changes in shares of beneficial interest were as follows
(shares and amounts in thousands):
<TABLE>
<CAPTION>
Short Term Portfolio U.S. Government Sector Portfolio
-------------------- ------------------------------------
Period Ended Period Ended Year Ended
09/30/2000 09/30/2000 03/31/2000
Shares Amount Shares Amount Shares Amount
-------------------- ------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold 10,000 $ 99,999 57,107 $ 614,003 31,467 $319,000
Issued as reinvestment of distributions 270 2,716 1,577 17,140 118 1,221
Cost of shares redeemed 0 0 (20,906) (225,707) (2,230) (23,100)
Net increase (decrease) resulting
from Portfolio share transactions 10,270 $102,715 37,778 $ 405,436 29,355 $297,121
Mortgage Portfolio
----------------------------------------
Period Ended Year Ended
09/30/2000 03/31/2000
Shares Amount Shares Amount
----------------------------------------
Receipts for shares sold 293,821 $3,043,727 95,695 $ 967,529
Issued as reinvestment of distributions 6,130 63,728 309 3,140
Cost of shares redeemed (50,302) (520,660) 0 0
Net increase (decrease) resulting from
Portfolio share transactions 249,649 $2,586,795 96,004 $ 970,669
</TABLE>
<TABLE>
<CAPTION>
Real Return Municipal Sector
Bond Portfolio Investment Grade Corporate Portfolio Portfolio
---------------------- ------------------------------------ ----------------------
Period from 04/28/2000 Period from 08/21/2000
to Period Ended Year Ended to
09/30/2000 09/30/2000 03/31/2000 09/30/2000
Shares Amount Shares Amount Shares Amount Shares Amount
---------------------- ------------------------------------ ----------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Receipts for shares sold 14,339 $ 144,974 36,414 $ 369,851 36,070 $ 362,126 2,696 $ 26,914
Issued as reinvestment of distributions 160 1,623 1,191 12,060 146 1,468 2 26
Cost of shares redeemed (748) (7,575) (19,398) (196,039 (4,987) (50,350) 0 0
Net increase (decrease) resulting
from Portfolio share transactions 13,751 $ 139,022 18,207 $ 185,872 31,229 $ 313,244 2,698 $ 26,940
</TABLE>
<TABLE>
<CAPTION>
International Portfolio Emerging Markets Portfolio
--------------------------------------- -------------------------------------
Period Ended Year Ended Period Ended Year Ended
09/30/2000 03/31/2000 09/30/2000 03/31/2000
Shares Amount Shares Amount Shares Amount Shares Amount
--------------------------------------- -------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Receipts for shares sold 58,432 $ 396,979 98,595 $679,200 21,567 $210,625 23,345 $ 226,178
Issued as reinvestment of distributions 2,408 16,304 6,156 41,675 1,703 16,671 2,022 19,552
Cost of shares redeemed (10,922) (74,118) (36,642) (251,030) (5,405) (52,340) (4,472) (43,668)
Net increase (decrease) resulting
from Portfolio share transactions 49,918 $ 339,165 68,109 $469,845 17,865 $174,956 20,895 $ 202,062
</TABLE>
54 PIMCO Funds
<PAGE>
5. Purchases and Sales of Securities
Purchases and sales of investment securities (excluding short-term instruments)
for the period ended September 30, 2000 were as follows (amounts in thousands):
<TABLE>
<CAPTION>
U.S. Government/Agency All Other
----------------------------------------------------------------------
Purchases Sales Purchases Sales
-------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Short Term Portfolio $ 63,263 $ 462 $ 131,601 $ 35,005
U.S. Government Sector Portfolio 6,107,074 5,893,352 213,893 46,572
Mortgage Portfolio 19,939,487 17,574,194 2,128,361 107,280
Real Return Bond Portfolio 430,342 234,322 53,290 2,888
Investment Grade Corporate Portfolio 33,641 23,944 428,314 229,657
Municipal Sector Portfolio 108 0 35,056 6,424
International Portfolio 1,438,316 957,829 1,520,623 1,334,078
Emerging Markets Portfolio 0 0 498,104 321,301
</TABLE>
6. Transactions in Written Call and Put Options
Transactions in written call and put options were as follows (amounts in
thousands):
<TABLE>
<CAPTION>
U.S. Government Mortgage International Investment Grade
Sector Portfolio Portfolio Portfolio Corporate Portfolio
----------------------------------------------------------------------------
Premium
----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Balance at 03/31/2000 $ 383 $ 182 $ 165 $ 0
Sales 2,073 4,471 3,460 26
Closing Buys (1,947) (806) (689) (26)
Expirations (502) (1,484) (1,755) 0
Exercised 0 0 0 0
-------------- ---------------- ----------- ----------
Balance at 09/30/2000 $ 7 $ 2,363 $ 1,181 $ 0
------------------------------------------------------------------------------------------------------
</TABLE>
7. Federal Income Tax Matters
As of March 31, 2000, the Portfolio listed in the table below had remaining
capital loss carryforwards that were realized or acquired in prior years. Use of
the acquired capital loss carryforwards may be limited under current tax laws.
Additionally, the International Portfolio realized capital losses and/or foreign
currency losses of $23,291,834 during the period of November 1, 1999 through
March 31, 2000 which the Portfolio elected to defer to the following fiscal year
pursuant to income tax regulations.
The Portfolio 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>
International Portfolio $ 19,625,557 $ 0 03/31/2008
</TABLE>
8. Acquisition by Allianz AG
On May 5, 2000, Allianz AG completed the acquisition of approximately 70% of the
outstanding partnership interest in PIMCO Advisors L.P. ("PIMCO Advisors"), of
which PIMCO is a subsidiary partnership. As a result of this transaction, PIMCO
Advisors, and its subsidiaries, are now controlled by Allianz AG, a leading
provider of financial services, particularly in Europe. PIMCO remains
operationally independent, continues to operate under its existing name, and now
leads the global fixed-income efforts of Allianz AG. Key employees at each PIMCO
Advisors' investment units, including PIMCO's Bill Gross, have signed long-term
employment contracts and have significant profit-sharing and retention
arrangements to ensure continuity of the investment process and staff. With the
addition of PIMCO Advisors, the Allianz Group manages assets of approximately
US$650 billion, including more than 300 mutual funds for retail and
institutional clients around the world.
2000 Semi-Annual Report 55
<PAGE>
Pacific Investment Management Company is responsible for the management and
administration of the PIMCO Funds: Pacific Investment Management Series. Founded
in 1971, Pacific Investment Management Company currently manages assets in
excess of $207 billion on behalf of mutual fund and institutional clients
located around the world. Renowned for its fixed income management expertise,
Pacific Investment manages assets for many of the largest corporations,
foundations, endowments, and governmental bodies in the United States and the
world.
Trustees and Officers
Brent R. Harris Chairman and Trustee
R. Wesley Burns President and Trustee
Guilford C. Babcock Trustee
E. Philip Cannon Trustee
Vern O. Curtis Trustee
J. Michael Hagan Trustee
Thomas P. Kemp Trustee
William J. Popejoy Trustee
Garlin G. Flynn Secretary
John P. Hardaway Treasurer
Investment Adviser and Administrator
Pacific Investment Management Company
840 Newport Center Drive, Suite 300
Newport Beach, CA 92660
Custodian
State Street Bank & Trust Company
801 Pennsylvania
Kansas City, MO 64105
Transfer Agent
National Financial Data Services
330 W. 9th Street, 4th Floor
Kansas City, MO 64105
Counsel
Dechert Price & Rhoads
1775 Eye Street, N.W.
Washington, D.C. 20006-2401
Independent Accountants
PricewaterhouseCoopers LLP
1055 Broadway
Kansas City, MO 64105
<PAGE>
[LOGO OF PIMCO FUNDS]
840 NEWPORT CENTER DRIVE, SUITE 300
NEWPORT BEACH, CA 92660
The Portfolios issue shares only in private placement transactions in accordance
with Regulation D or other applicable exemptions under the Securities Act of
1933, as amended (the "Securities Act"). The enclosed report is not an offer to
sell, or a solicitation of any offer to buy, any security to the public within
the meaning of the Securities Act.
This report is submitted for the general information of the shareholders of the
PIMCO Funds: Private Account Portfolio Series. It is not authorized for
distribution to prospective investors unless accompanied or preceded by an
effective offering memorandum for the PIMCO Funds: Private Account Portfolio
Series, which contains information covering its investment policies as well as
other pertinent information.
PIMCO Funds Distributors LLC
2187 Atlantic Street, Stamford, CT 06902
