<PAGE>
[LOGO OF PIMCO FUNDS]
[GRAPH]
PACIFIC INVESTMENT MANAGEMENT SERIES
ANNUAL REPORT
MARCH 31, 2000
<PAGE>
--------------------------------------------------------------------------------
Treasury Yield Curves
--------------------------------------------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
3/31/1999 3/31/2000
<S> <C> <C>
3 Months 4.470 5.886
6 Months 4.522 6.140
1 Year 4.705 6.239
2 Years 4.975 6.483
3 Years 5.038 6.402
5 Years 5.100 6.320
10 Years 5.231 6.015
30 Years 5.621 5.837
</TABLE>
On the cover:
Presented on the front cover and in greater detail here are U.S. Treasury yield
curves depicting the term structure of interest rates at two different snapshots
in time. The graph compares the yield curve as of March 31, 1999 with that of
March 31, 2000, corresponding with the beginning and end of the Trust's fiscal
year. Historical graphs such as this assist PIMCO in evaluating longer-term
trends in the financial markets.
As the graph illustrates, U.S. Treasury yields increased across all maturities
during the Trust's fiscal year, especially for shorter maturity securities.
These increases came in response to continued strength of the economy, increased
inflation expectations and higher interest rates, including the five fed fund
rate increases during the course of the year. An inverted yield curve developed
during the first quarter of 2000 as investors perceived a potential supply and
demand imbalance resulting from the U.S. government's debt buyback program.
The U.S. is vulnerable to higher interest rates and/or declining asset prices
because of financial imbalances. Non-U.S. investors may eventually require
higher rates to finance the record U.S. current account deficit. Current high
levels of consumer and corporate debt will be hard to sustain if the assets
backing the debt (stocks, for example) fall in value. Avoiding adverse price
performance arising from credit deterioration will be critical for earning
superior returns in the coming period. Longer maturity Treasuries, which will
benefit from U.S. budget surpluses and debt buybacks, are favored in this
environment.
Contents
Chairman's Message .........................................1
A Conversation with Bill Gross and Paul McCulley ...........2
Service Update .............................................4
Financial Highlights ......................................30
Statements of Assets and Liabilities ......................40
Statements of Operations ..................................44
Statements of Changes in Net Assets .......................48
Statements of Cash Flows ..................................54
Notes to Financial Statements ............................158
Fund Schedule of
Summary Investments
Total Return Fund ..........................................5 55
Total Return Fund II .......................................6 81
Total Return Fund III ......................................7 86
Moderate Duration Fund .....................................8 90
Low Duration Fund ..........................................9 93
Low Duration Fund II ......................................10 101
Low Duration Fund III .....................................11 103
Short-Term Fund ...........................................12 105
Money Market Fund .........................................13 108
Long-Term U.S. Government Fund ............................14 109
High Yield Fund ...........................................15 113
Total Return Mortgage Fund ................................16 119
Low Duration Mortgage Fund ................................17 120
Real Return Bond Fund .....................................18 121
Foreign Bond Fund .........................................19 124
Global Bond Fund ..........................................20 129
Global Bond Fund II .......................................21 134
Emerging Markets Bond Fund ................................22 139
Strategic Balanced Fund ...................................23 141
Convertible Fund ..........................................24 145
StocksPLUS Fund ...........................................25 147
Municipal Bond Fund .......................................26 151
Short Duration Municipal Income Fund ......................27 154
California Intermediate Municipal Bond Fund ...............28 155
New York Intermediate Municipal Bond Fund .................29 157
<PAGE>
Chairman's Letter
Dear PIMCO Funds Shareholder:
We are pleased to present you with this annual report for PIMCO Funds: Pacific
Investment Management Series. During the fiscal year, assets grew by $10.5
billion to finish the one-year period ended March 31, 2000 at $50.7 billion.
Most bond sectors reacted negatively to the continued strength of the economy
and to rising interest rates during 1999. U.S. Treasury yields increased across
the maturity spectrum during the last three quarters of calendar 1999 with the
yield on the benchmark 30-year Treasury increasing by 0.86% to finish the year
at 6.48%. These increases came as robust economic expansion in the U.S. and
accelerating growth in Europe and Asia boosted demand for capital worldwide and
caused inflation to rise from lows reached in the previous year.
However, the short and the long ends of the Treasury market diverged during the
first quarter of 2000. Short-term Treasury yields rose as much as 0.57% in
anticipation of more tightening by the Federal Reserve. In marked contrast, the
30-year Treasury yield fell 0.64%, closing the first quarter at 5.84%, as
investors grew concerned that the U.S. government's debt buyback would create a
scarcity of long-term Treasuries. Yields on mortgages and corporate bonds did
not fall in line with long-term Treasuries, which caused yield premiums on
non-Treasury sectors to widen.
Major central banks began hiking rates in the second half of 1999 as global
economic growth improved and prospects for inflation increased. In an effort to
temper the high-flying U.S. economy and combat the prospect of rising inflation,
the Federal Reserve raised the fed funds rate on five separate occasions to
finish the fiscal year ended March 31, 2000 at 6.00%. In a press release
accompanying the most recent action on March 21, 2000, the Fed suggested that
more rate hikes are in the offing because "increases in demand will continue to
exceed the growth in potential supply, which could foster inflationary
imbalances that would undermine the record economic expansion."
Those "imbalances" include the record U.S. trade deficit, high corporate and
individual debt levels and tight labor markets. Strong equity and housing
markets also represent a potential threat because they create a wealth effect
that fuels consumer demand. Still, actual inflation remained relatively subdued
during the period. While effects of increased energy prices showed up in higher
headline consumer price inflation, the core rate outside of energy and food
costs was little changed.
On the following pages you will find commentary from PIMCO's Bill Gross and Paul
McCulley and specific details as to each Fund's portfolio and total returns
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
April 28, 2000
2000 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 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 were the reasons behind the big drop in bond yields in the first
quarter of 2000?
BG: The dramatic rise in bond yields in 1999 has created opportunities in 2000.
In mid-January, Treasury bonds began rallying as the market realized that
the government was poised to begin buying back longer-dated Treasuries.
This led to concern that these securities would become scarce. Panic buying
ensued. As a result, 30-year Treasury yields declined by roughly 90 basis
points by the end of the quarter.
PM: The rally was limited to Treasury bonds, however. Corporate and
mortgage-backed securities didn't participate. In fact, their yield spreads
widened as flight-to-quality selling drove investors to Treasuries. In
addition, intermediate Treasuries didn't initially participate, as that
part of the curve was held back by interest rate hikes by the Fed at their
February and March meetings. As a result, the yield curve for Treasuries
inverted.
Q: But isn't the curve inversion counter-productive to the Fed's goal to slow
the economy?
PM: I suppose the drop in yields could restart housing and capital investment,
making Mr. Greenspan's job tougher. But, intermediate rates and other
sectors of the bond market haven't participated, suggesting the Treasury
rally is isolated and driven by other forces.
BG: The forces driving the inversion are secular. The Treasury buy-back
program has potentially created a long-term shortage of bonds, much like an
inversion that has been in existence in the United Kingdom. While the U.K.
situation came about for different reasons, it does prove that long-term
supply/demand distortions can invert a country's yield curve for long
stretches of time. As the projected U.S. budget surplus grows larger,
future years' Treasury repurchases promise to be larger and larger. As a
result, the inversion could be with us for quite a while.
The inversion of the Treasury yield curve is driven by secular forces
[GRAPH]
<TABLE>
<CAPTION>
Treasury Yield Curve on 9/30/99 Treasury Yield Curve on 3/31/00
<S> <C> <C>
3 Month 4.86% 5.90%
6 Month 4.96% 6.14%
1 Year 5.18% 6.24%
2 Year 5.60% 6.49%
5 Year 5.76% 6.33%
10 Year 5.88% 6.03%
30 Year 6.05% 5.84%
</TABLE>
Q: Any thoughts on Greenspan's apparent targeting of the stock market?
PM: Mr. Greenspan has extraordinary skill as an economist and deftness as a
policymaker. But, scrutinizing the man's every word as I do, it's clear
that he has been less then forthright about his view of the stock market's
role in current policy formulation. It appears that policy is being geared
toward capping gains in equity prices, yet he declares that the Fed is not
targeting them. Put another way, Mr. Greenspan says that the
stock-market-driven wealth effect is the skunk at the aggregate demand
picnic and that he's going to scotch it; and then in the next breath, he
says that the equity market is only a distant relative of the skunk
family. This simply doesn't square. His less-than-clear policy is going to
be tested by the markets as long as he argues that the wealth effect needs
to be curbed but is not closely linked to the stock market.
Q: So how many more interest rate hikes can we expect?
PM: The Fed will continue lifting rates until it sees that demand moderates. It
remains concerned that "wealth effect" spending is outstripping supply,
which will eventually generate higher inflation. According to Mr.
Greenspan, even strong productivity growth won't contain inflation because
productivity gains are actually raising investor's expectations for
corporate earnings, driving stock prices higher and stimulating more
"wealth effect" consumption, which means....
BG: Two or three more quarter-point rate hikes by year's end.
2 PIMCO Funds
<PAGE>
How the stock market creates the "wealth effect"
This chart shows the correlation of household net worth to the stock market
[GRAPH]
<TABLE>
<CAPTION>
Household Net Worth as a
Quarter Ratio of Disposable Income (LHS) Month S&P 500 (RHS)
<S> <C> <C> <C>
1980-01 3.62 1980-01 110.87
1980-02 3.76 1980-02 115.34
1980-03 3.82 1980-03 104.69
1980-04 3.82 1980-04 102.97
1981-01 3.80 1980-05 107.69
1981-02 3.82 1980-06 114.55
1981-03 3.68 1980-07 119.83
1981-04 3.76 1980-08 123.50
1982-01 3.73 1980-09 126.51
1982-02 3.72 1980-10 130.22
1982-03 3.76 1980-11 135.65
1982-04 3.84 1980-12 133.48
1983-01 3.91 1981-01 132.97
1983-02 3.96 1981-02 128.40
1983-03 3.89 1981-03 133.19
1983-04 3.79 1981-04 134.43
1984-01 3.70 1981-05 131.73
1984-02 3.64 1981-06 132.28
1984-03 3.66 1981-07 129.13
1984-04 3.69 1981-08 129.63
1985-01 3.78 1981-09 118.27
1985-02 3.78 1981-10 119.80
1985-03 3.80 1981-11 122.92
1985-04 3.92 1981-12 123.79
1986-01 4.01 1982-01 117.28
1986-02 4.06 1982-02 114.50
1986-03 4.00 1982-03 110.84
1986-04 4.13 1982-04 116.31
1987-01 4.25 1982-05 116.35
1987-02 4.31 1982-06 109.70
1987-03 4.29 1982-07 109.38
1987-04 4.07 1982-08 109.65
1988-01 4.11 1982-09 122.43
1988-02 4.12 1982-10 132.66
1988-03 4.09 1982-11 138.10
1988-04 4.11 1982-12 139.37
1989-01 4.13 1983-01 144.27
1989-02 4.19 1983-02 146.80
1989-03 4.28 1983-03 151.88
1989-04 4.29 1983-04 157.71
1990-01 4.16 1983-05 164.10
1990-02 4.15 1983-06 166.39
1990-03 4.01 1983-07 166.96
1990-04 4.10 1983-08 162.42
1991-01 4.21 1983-09 167.16
1991-02 4.15 1983-10 167.65
1991-03 4.17 1983-11 165.23
1991-04 4.25 1983-12 164.36
1992-01 4.15 1984-01 166.39
1992-02 4.10 1984-02 157.25
1992-03 4.12 1984-03 157.44
1992-04 4.14 1984-04 157.60
1993-01 4.26 1984-05 156.55
1993-02 4.20 1984-06 153.12
1993-03 4.24 1984-07 151.08
1993-04 4.21 1984-08 164.42
1994-01 4.23 1984-09 166.11
1994-02 4.15 1984-10 164.82
1994-03 4.16 1984-11 166.27
1994-04 4.12 1984-12 164.48
1995-01 4.19 1985-01 171.61
1995-02 4.29 1985-02 180.88
1995-03 4.38 1985-03 179.42
1995-04 4.45 1985-04 180.62
1996-01 4.52 1985-05 184.90
1996-02 4.57 1985-06 188.89
1996-03 4.57 1985-07 192.54
1996-04 4.65 1985-08 188.31
1997-01 4.63 1985-09 184.06
1997-02 4.87 1985-10 186.18
1997-03 4.99 1985-11 197.45
1997-04 5.01 1985-12 207.26
1998-01 5.26 1986-01 208.19
1998-02 5.25 1986-02 219.37
1998-03 4.95 1986-03 232.33
1998-04 5.24 1986-04 237.98
1999-01 5.29 1986-05 238.46
1999-02 5.40 1986-06 245.30
1999-03 5.25 1986-07 240.18
1999-04 5.62 1986-08 245.00
1986-09 238.27
1986-10 237.36
1986-11 245.09
1986-12 248.61
1987-01 264.51
1987-02 280.93
1987-03 292.47
1987-04 289.32
1987-05 289.12
1987-06 301.38
1987-07 310.09
1987-08 329.36
1987-09 318.66
1987-10 280.16
1987-11 245.01
1987-12 240.96
1988-01 250.48
1988-02 258.13
1988-03 265.74
1988-04 262.61
1988-05 256.12
1988-06 270.68
1988-07 269.05
1988-08 263.73
1988-09 267.97
1988-10 277.40
1988-11 271.02
1988-12 276.51
1989-01 285.41
1989-02 294.01
1989-03 292.71
1989-04 302.25
1989-05 313.93
1989-06 323.73
1989-07 331.93
1989-08 346.61
1989-09 347.33
1989-10 347.40
1989-11 340.22
1989-12 348.57
1990-01 339.97
1990-02 330.45
1990-03 338.47
1990-04 338.18
1990-05 350.25
1990-06 360.39
1990-07 360.03
1990-08 330.75
1990-09 315.41
1990-10 307.12
1990-11 315.29
1990-12 328.75
1991-01 325.49
1991-02 362.26
1991-03 372.28
1991-04 379.68
1991-05 377.99
1991-06 378.29
1991-07 380.23
1991-08 389.40
1991-09 387.20
1991-10 386.88
1991-11 385.92
1991-12 388.51
1992-01 416.08
1992-02 412.56
1992-03 407.36
1992-04 407.41
1992-05 414.81
1992-06 408.27
1992-07 415.05
1992-08 417.93
1992-09 418.48
1992-10 412.50
1992-11 422.84
1992-12 435.64
1993-01 435.23
1993-02 441.70
1993-03 450.16
1993-04 443.08
1993-05 445.25
1993-06 448.06
1993-07 447.29
1993-08 454.13
1993-09 459.24
1993-10 463.90
1993-11 462.89
1993-12 465.95
1994-01 472.99
1994-02 471.58
1994-03 463.81
1994-04 447.23
1994-05 450.90
1994-06 454.83
1994-07 451.40
1994-08 464.24
1994-09 466.96
1994-10 463.81
1994-11 461.01
1994-12 455.19
1995-01 465.25
1995-02 481.92
1995-03 493.15
1995-04 507.91
1995-05 523.81
1995-06 539.35
1995-07 557.37
1995-08 559.11
1995-09 578.77
1995-10 582.92
1995-11 595.53
1995-12 614.57
1996-01 614.42
1996-02 649.54
1996-03 647.07
1996-04 647.17
1996-05 661.23
1996-06 668.50
1996-07 644.07
1996-08 662.68
1996-09 674.88
1996-10 701.46
1996-11 735.67
1996-12 743.25
1997-01 766.22
1997-02 798.39
1997-03 792.15
1997-04 763.93
1997-05 833.09
1997-06 876.29
1997-07 925.29
1997-08 927.73
1997-09 937.02
1997-10 951.16
1997-11 938.92
1997-12 962.36
1998-01 963.36
1998-02 1,023.74
1998-03 1,076.82
1998-04 1,112.20
1998-05 1,108.42
1998-06 1,108.39
1998-07 1,156.58
1998-08 1,074.62
1998-09 1,020.64
1998-10 1,032.47
1998-11 1,144.43
1998-12 1,190.05
1999-01 1,248.77
1999-02 1,246.58
1999-03 1,281.66
1999-04 1,334.76
1999-05 1,332.07
1999-06 1,322.55
1999-07 1,380.99
1999-08 1,327.49
1999-09 1,318.17
1999-10 1,300.01
1999-11 1,391.00
1999-12 1,428.68
</TABLE>
Q: The Fed has already tightened five times with little effect. When do you
see demand beginning to slow?
BG: We see a moderation in economic activity by the end of the year as higher
interest rates temper growth in housing and capital spending. Mortgage
rates remain near 8% and have begun to temper new home sales and have the
potential to slow consumer spending through a reduction in durable goods
purchases. Investment spending, a significant contributor to overall growth
during this expansion, will also moderate as higher rates raise the cost of
capital investment.
PM: It's important to remember that monetary policy works its way through the
system with a lag. Estimates vary on how long that lag is, but it's safe to
say roughly 6 to 12 months. The Fed began its current tightening cycle last
June so the effects of the first rate hike are only now beginning to be
felt, and the cumulative impact of tighter policy won't be felt until
around year-end.
Q: Does OPEC's agreement to increase production mean the threat of higher
inflation is behind us?
PM: No it doesn't. Short term, higher oil prices will feed through the economy
this summer in the form of higher prices at the pump. Longer term,
increasing import prices, slowing domestic capacity growth and a recovering
global economy will also put an upward tilt on inflation. However,
inflation won't break out given that many of the forces which drove
inflation lower in the 1990s, including globalization, technology
innovation and sound fiscal and monetary policies, remain firmly in place.
These structural themes will cancel out the cyclical trends and keep
inflation stable over the longer run.
Q: What forces are likely to influence the bond market and our strategy over
the next year?
BG: Bond prices, from a macro-perspective, will be determined by the
resolution of imbalances that have formed over the past several years,
including the over-exuberance of the stock market, the fate of the U.S
budget surplus, our bloated trade deficit, the strength of the dollar and
the fiscal deficits in Japan. At the root of each of these imbalances is an
excessive use of debt. Given the surpluses now being generated by the
Treasury, it's a good time to emphasize Treasury over corporate debt. In
other words, upgrade the quality of our portfolios. At the same time we've
adjusted the yield curve position of the portfolio, taking a small step
away from a concentration in intermediate maturity securities and
increasing exposure to both short-term instruments and long-term
Treasuries. This allows us to collect incremental yield at the short end of
the curve and benefit from falling yields at the long end.
PM: The strategy of swapping for higher quality extends to our mortgage
exposure as well. We still like mortgages due to their high quality and
attractive yields, but we have become more selective, favoring Ginnie Mae
securities over other types of government sponsored agency debt, such as
Fannie Maes and Freddie Macs. This subtle preference has worked well. The
full faith and credit of the U.S. government back Ginnie Mae securities.
Fannie Maes and Freddie Macs have an implicit guarantee through small,
never-been-used lines of credit, but that support has come under pressure
recently as Congress mulls legislation to clarify the government's role in
these enterprises.
Q: Where are bond yields headed from here?
BG: Although long-term Treasury yields have peaked, I don't think they will
move much lower over the near term. The economy remains too strong for the
Fed, so short-term rates will be moving higher, perhaps to 6.50%. It's hard
to believe that 30-year Treasuries could trade far below that, so 5.75% or
so on the long end is about it for the next nine months. For now it will be
tough for intermediate-term bonds as they continue to feel the brunt of
the Fed's tightening. Eventually, with Fed tightening behind us and the
economy slowing, I think we could see a more generalized rally in the bond
market, where we'd look to extend our duration some.
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.
2000 Annual Report 3
<PAGE>
Service Update
New Manager of PIMCO Municipal Bond Funds
Introducing Mark McCray
[PHOTO]
Mark McCray
Last quarter, PIMCO strengthened its commitment to the municipal bond arena by
hiring Mark McCray, formerly of Goldman Sachs, as Senior Vice President and
Portfolio Manager for all municipal bond portfolios at PIMCO.
In his new position, Mr. McCray will be responsible for the two year-old PIMCO
Municipal Bond Fund and three portfolios introduced in August 1999: Short
Duration Municipal Income Fund, California Intermediate Municipal Bond Fund and
New York Intermediate Municipal Bond Fund.
At Goldman Sachs, Mr. McCray was Vice President and Co-Head of Municipal Bond
Trading and was responsible for the firm's proprietary tax-exempt accounts. He
also directed the daily activity and risk positions of seven municipal traders.
He started his fixed-income career as a financial analyst in the mergers and
acquisitions department at Merrill Lynch and moved to the fixed-income division
of Goldman Sachs in 1992. He holds a bachelor's degree from Temple University
and an MBA from the Wharton School at the University of Pennsylvania.
PIMCO's expansion into municipal bonds has been a natural evolution of the
company's focus on taxable debt, and its expertise and investment process. The
strength of PIMCO's credit analysis group --a team that has been integral to the
strong performance of PIMCO's High Yield and Convertible Funds--will be an added
benefit in managing the municipal bond portfolios.
Mr. McCray's first priority is to produce the highest possible risk-adjusted
returns for PIMCO clients by applying the company's core strategy of total
return to its municipal portfolios. The three municipal funds will seek to
pinpoint securities that allow for an efficient balance of yield and risk.
Allianz AG
On May 5, 2000, Allianz AG completed the acquisition of approximately 70% of the
outstanding partnership interests 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 investment efforts of Allianz AG. Key employees at
each of 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 $650 billion, including more than 300 mutual funds for retail and
institutional clients around the world.
4 PIMCO Funds
<PAGE>
PIMCO Funds PIMCO Total Return Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily intermediate-term investment grade bonds.
Duration:
4.5 years
Total Net Assets:
$31.5 billion
Sector Breakdown:*
[GRAPH]
Mortgage-Backed Securities 38.8%
Corporate Bonds and Notes 35.7%
U.S. Treasury Obligations 9.5%
Asset-Backed Securities 6.0%
Other 10.0%
Quality Breakdown:*
[GRAPH]
AAA 58.6%
AA 7.2%
A 18.1%
BBB 12.2%
BB 3.4%
B 0.5%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 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>
1 Year 2.33% 2.07% 1.87% 0.99%
3 Years* 7.44% 7.17% 6.70% 5.72%
5 Years* 8.00% 7.76% 7.14% 6.25%
10 Years* 9.21% -- 8.02% 7.44%
Since Inception* 9.07% 7.68% -- --
* Annualized
</TABLE>
CUMULATIVE RETURNS THROUGH MARCH 31, 2000
$5,000,000 invested at inception
[GRAPH]
Total Return Lehman Brothers
Fund Aggregate Bond Index
5/31/1987 5,000,000 5,000,000
6/30/1987 5,063,956 5,068,813
7/31/1987 5,051,390 5,064,918
8/31/1987 5,039,534 5,037,815
9/30/1987 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
1/31/1988 5,364,621 5,400,545
2/29/1988 5,425,978 5,464,652
3/31/1988 5,377,483 5,413,367
4/30/1988 5,349,895 5,384,153
5/31/1988 5,323,746 5,347,962
6/30/1988 5,451,097 5,476,986
7/31/1988 5,444,079 5,448,260
8/31/1988 5,470,463 5,462,542
9/30/1988 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
1/31/1989 5,706,918 5,709,556
2/28/1989 5,670,892 5,668,171
3/31/1989 5,697,790 5,692,677
4/30/1989 5,825,551 5,811,802
5/31/1989 5,967,305 5,964,522
6/30/1989 6,168,244 6,146,131
7/31/1989 6,298,843 6,276,779
8/31/1989 6,190,418 6,183,783
9/30/1989 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
1/31/1990 6,332,594 6,369,774
2/28/1990 6,349,652 6,390,386
3/31/1990 6,344,778 6,395,092
4/30/1990 6,255,058 6,336,504
5/31/1990 6,460,283 6,524,117
6/30/1990 6,569,705 6,628,798
7/31/1990 6,676,661 6,720,495
8/31/1990 6,571,662 6,630,745
9/30/1990 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
1/31/1991 7,027,903 7,110,815
2/28/1991 7,126,178 7,171,514
3/31/1991 7,216,808 7,220,852
4/30/1991 7,335,070 7,299,078
5/31/1991 7,390,178 7,341,762
6/30/1991 7,401,768 7,338,029
7/31/1991 7,508,521 7,439,788
8/31/1991 7,712,232 7,600,786
9/30/1991 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
1/31/1992 8,251,437 8,037,198
2/29/1992 8,323,957 8,089,457
3/31/1992 8,292,135 8,043,852
4/30/1992 8,335,850 8,101,954
5/31/1992 8,508,487 8,254,836
6/30/1992 8,616,472 8,368,443
7/31/1992 8,827,524 8,539,178
8/31/1992 8,902,987 8,625,682
9/30/1992 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
1/31/1993 9,297,750 8,918,950
2/28/1993 9,504,901 9,075,078
3/31/1993 9,560,206 9,112,893
4/30/1993 9,643,848 9,176,350
5/31/1993 9,666,306 9,188,036
6/30/1993 9,876,645 9,354,551
7/31/1993 9,937,133 9,407,459
8/31/1993 10,163,538 9,572,351
9/30/1993 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
1/31/1994 10,396,445 9,733,998
2/28/1994 10,210,928 9,564,886
3/31/1994 9,995,399 9,329,070
4/30/1994 9,896,929 9,254,577
5/31/1994 9,850,224 9,253,278
6/30/1994 9,814,015 9,232,829
7/31/1994 10,015,509 9,416,223
8/31/1994 10,044,623 9,427,908
9/30/1994 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
1/31/1995 10,082,267 9,508,731
2/28/1995 10,319,048 9,734,809
3/31/1995 10,417,456 9,794,534
4/30/1995 10,600,658 9,931,349
5/31/1995 10,936,213 10,315,665
6/30/1995 10,929,713 10,391,294
7/31/1995 10,936,311 10,368,086
8/31/1995 11,105,123 10,493,216
9/30/1995 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
1/31/1996 11,960,385 11,120,164
2/29/1996 11,668,778 10,926,870
3/31/1996 11,578,391 10,850,915
4/30/1996 11,530,294 10,789,892
5/31/1996 11,499,480 10,767,982
6/30/1996 11,683,873 10,912,588
7/31/1996 11,714,500 10,942,450
8/31/1996 11,704,501 10,924,111
9/30/1996 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
1/31/1997 12,465,678 11,482,894
2/28/1997 12,494,013 11,511,458
3/31/1997 12,342,925 11,383,894
4/30/1997 12,565,728 11,554,304
5/31/1997 12,694,757 11,663,529
6/30/1997 12,843,894 11,801,967
7/31/1997 13,203,071 12,120,229
8/31/1997 13,089,168 12,016,846
9/30/1997 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
1/31/1998 13,893,968 12,714,230
2/28/1998 13,855,371 12,704,087
3/31/1998 13,902,211 12,748,312
4/30/1998 13,957,191 12,814,853
5/31/1998 14,119,833 12,936,413
6/30/1998 14,257,594 13,046,124
7/31/1998 14,305,551 13,073,877
8/31/1998 14,533,176 13,286,646
9/30/1998 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
1/31/1999 15,109,171 13,740,911
2/28/1999 14,831,091 13,501,039
3/31/1999 14,958,503 13,575,857
4/30/1999 15,032,946 13,618,865
5/31/1999 14,870,656 13,499,578
6/30/1999 14,846,270 13,456,570
7/31/1999 14,790,750 13,399,279
8/31/1999 14,803,007 13,392,596
9/30/1999 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
1/31/2000 14,900,278 13,487,081
2/29/2000 15,083,651 13,650,188
3/31/2000 15,307,078 13,830,012
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 6/01/1987, the first full month following the Fund's
Institutional Class inception on 5/11/1987, compared to the Lehman Brothers
Aggregate Bond Index, an unmanaged market index. The performance of the
Administrative Class (shown above) reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 9/07/1994. The Fund may invest in foreign securities
which involve potentially higher risks including foreign currency fluctuations
and political or economic uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
The Total Return Fund's Institutional Class shares outperformed the Lehman
Brothers Aggregate Bond Index for the one-year period ended March 31, 2000,
returning 2.33% versus 1.87% for the Index.
. The Fund's duration was held below that of the Index, which benefited returns
as yields rose by as much as 1.62% amid concerns that the Federal Reserve
would hike interest rates and signs of increased world wide economic
stability. Also, a shift towards longer maturity U.S. Treasuries was positive
for performance as a result of the inverted yield curve catalyzed by the
Treasury Department's buyback program.
. An overweight in mortgages was a slight negative as general price declines in
this sector due to increased volatility were offset by increased holdings of
"full faith and credit" GNMA's that benefited from the reduced supply of
Treasuries.
. An underweight in investment grade corporates was a significant positive as
yield premiums widened due to concerns about increasing corporate debt
levels, the possibility of a slower economy resulting from Fed tightening and
historically high default rates.
. Emerging market bonds were positive for returns as yield premiums declined
amid global growth and stability. Our holdings of Mexican debt benefited from
a credit upgrade to investment grade status.
2000 Annual Report 5
<PAGE>
PIMCO Total Return Fund II
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily intermediate-term investment grade bonds with quality and foreign
issuer restrictions.
Duration:
4.3 years
Total Net Assets:
$1.3 billion
Sector Breakdown:*
[GRAPH]
Corporate Bonds and Notes 42.4%
Mortgage-Backed Securities 32.4%
U.S. Treasury Obligations 12.0%
Short-Term Instruments 8.2%
Other 5.0%
Quality Breakdown:*
[GRAPH]
AAA 51.5%
AA 11.4%
A 30.2%
BBB 6.9%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 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>
1 Year 1.45% 1.20% 1.87% 0.99%
3 Years* 6.88% 6.61% 6.70% 5.72%
5 Years* 7.46% 7.19% 7.14% 6.25%
Since Inception * 7.28% 7.84% -- --
* Annualized
</TABLE>
Cumulative Returns Through March 31, 2000
$5,000,000 invested at inception
[GRAPH]
<TABLE>
<CAPTION>
Total Return Lehman Brothers
Fund II Aggregate Bond Index
<S> <C> <C>
12/31/1991 5,000,000 5,000,000
1/31/1992 4,929,716 4,931,979
2/29/1992 4,951,937 4,964,047
3/31/1992 4,937,873 4,936,062
4/30/1992 4,963,257 4,971,716
5/31/1992 5,075,312 5,065,531
6/30/1992 5,149,979 5,135,245
7/31/1992 5,309,040 5,240,016
8/31/1992 5,355,136 5,293,098
9/30/1992 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
1/31/1993 5,579,371 5,473,060
2/28/1993 5,705,377 5,568,868
3/31/1993 5,719,997 5,592,073
4/30/1993 5,793,075 5,631,013
5/31/1993 5,790,801 5,638,183
6/30/1993 5,920,354 5,740,365
7/31/1993 5,952,711 5,772,831
8/31/1993 6,070,915 5,874,017
9/30/1993 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
1/31/1994 6,149,761 5,973,210
2/28/1994 6,050,676 5,869,435
3/31/1994 5,910,178 5,724,729
4/30/1994 5,870,870 5,679,016
5/31/1994 5,858,460 5,678,219
6/30/1994 5,845,104 5,665,671
7/31/1994 5,977,463 5,778,209
8/31/1994 5,984,657 5,785,380
9/30/1994 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
1/31/1995 6,043,232 5,834,977
2/28/1995 6,182,752 5,973,708
3/31/1995 6,223,522 6,010,358
4/30/1995 6,299,808 6,094,313
5/31/1995 6,523,923 6,330,146
6/30/1995 6,551,569 6,376,556
7/31/1995 6,507,691 6,362,315
8/31/1995 6,628,805 6,439,100
9/30/1995 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
1/31/1996 7,096,875 6,823,822
2/29/1996 6,956,380 6,705,209
3/31/1996 6,882,877 6,658,600
4/30/1996 6,829,282 6,621,153
5/31/1996 6,805,776 6,607,708
6/30/1996 6,917,299 6,696,445
7/31/1996 6,933,266 6,714,769
8/31/1996 6,916,233 6,703,516
9/30/1996 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
1/31/1997 7,372,632 7,046,410
2/28/1997 7,387,727 7,063,938
3/31/1997 7,305,831 6,985,659
4/30/1997 7,418,069 7,090,230
5/31/1997 7,488,383 7,157,255
6/30/1997 7,571,276 7,242,207
7/31/1997 7,808,619 7,437,506
8/31/1997 7,730,081 7,374,066
9/30/1997 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
1/31/1998 8,181,882 7,802,012
2/28/1998 8,157,419 7,795,787
3/31/1998 8,181,806 7,822,926
4/30/1998 8,222,040 7,863,759
5/31/1998 8,310,019 7,938,353
6/30/1998 8,398,686 8,005,677
7/31/1998 8,417,371 8,022,707
8/31/1998 8,634,608 8,153,272
9/30/1998 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
1/31/1999 8,895,775 8,432,029
2/28/1999 8,717,208 8,284,832
3/31/1999 8,791,829 8,330,744
4/30/1999 8,826,341 8,357,136
5/31/1999 8,716,487 8,283,936
6/30/1999 8,686,621 8,257,544
7/31/1999 8,640,505 8,222,388
8/31/1999 8,645,072 8,218,287
9/30/1999 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
1/31/2000 8,714,587 8,276,267
2/29/2000 8,804,572 8,376,357
3/31/2000 8,919,699 8,486,705
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 1/01/1992, the first full month following the Fund's
Institutional Class inception on 12/30/1991, compared to the Lehman Brothers
Aggregate Bond Index, an unmanaged market index. The performance of the
Administrative Class (shown above) reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 11/30/1994.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Total Return Fund II Institutional Class shares underperformed the Lehman
Brothers Aggregate Bond Index for the one-year period ended March 31, 2000,
returning 1.45% versus 1.87% for the Index.
. The Fund's duration was held below that of the Index, which benefited returns
as interest rates rose by as much as 1.62% amid concerns that the Federal
Reserve would hike interest rates and signs of increased world wide economic
stability. Also, a shift towards longer maturity Treasuries was positive as
the yield curve inverted because of the Treasury Department's buyback
program.
. A slight duration underweight in investment grade corporates was neutral as
yield premiums widened due to concerns about increasing corporate debt
levels, the possibility of a slower economy resulting from Fed tightening and
historically high default rates.
. An overweight in mortgages was negative as general price declines in this
sector due to increased volatility were offset by increased holdings of "full
faith and credit" GNMA's that benefited from the reduced supply of
Treasuries.
6 PIMCO Funds
<PAGE>
PIMCO Total Return Fund III
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily intermediate-term investment
grade bonds with prohibitions on firms engaged in socially sensitive practices.
Duration:
4.6 years
Total Net Assets:
$645.8 million
Sector Breakdown:*
[GRAPH]
Mortgage-Backed Securities 32.9%
Corporate Bonds and Notes 32.2%
U.S. Treasury Obligations 13.1%
U.S. Government Agencies 5.8%
Asset-Backed Securities 5.6%
Other 10.4%
Quality Breakdown:*
[GRAPH]
AAA 55.9%
AA 10.3%
A 18.1%
BBB 11.5%
BB 2.4%
B 1.8%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 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>
1 Year 0.33% 0.08% 1.87% 0.99%
3 Years* 6.93% -- 6.70% 5.72%
5 Years* 7.51% -- 7.14% 6.25%
Since Inception * 8.39% 6.78% -- --
* Annualized
</TABLE>
Cumulative Returns Through March 31, 2000
$5,000,000 invested at inception
[GRAPH]
<TABLE>
<CAPTION>
Total Return Lehman Brothers
Fund III Aggregate Bond Index
<S> <C> <C>
4/30/1991 5,000,000 5,000,000
5/31/1991 5,024,573 5,029,239
6/30/1991 5,011,360 5,026,682
7/31/1991 5,091,347 5,096,389
8/31/1991 5,231,902 5,206,675
9/30/1991 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
1/31/1992 5,605,239 5,505,625
2/29/1992 5,649,578 5,541,424
3/31/1992 5,621,306 5,510,184
4/30/1992 5,643,874 5,549,984
5/31/1992 5,752,958 5,654,712
6/30/1992 5,844,833 5,732,534
7/31/1992 6,028,857 5,849,491
8/31/1992 6,069,916 5,908,747
9/30/1992 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
1/31/1993 6,262,534 6,109,641
2/28/1993 6,404,215 6,216,592
3/31/1993 6,434,449 6,242,496
4/30/1993 6,497,518 6,285,965
5/31/1993 6,501,189 6,293,970
6/30/1993 6,644,496 6,408,036
7/31/1993 6,697,102 6,444,279
8/31/1993 6,880,114 6,557,233
9/30/1993 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
1/31/1994 7,060,374 6,667,964
2/28/1994 6,937,795 6,552,119
3/31/1994 6,797,242 6,390,581
4/30/1994 6,731,751 6,339,552
5/31/1994 6,676,376 6,338,662
6/30/1994 6,681,328 6,324,654
7/31/1994 6,815,349 6,450,282
8/31/1994 6,830,651 6,458,287
9/30/1994 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
1/31/1995 6,870,185 6,513,652
2/28/1995 7,076,265 6,668,520
3/31/1995 7,131,606 6,709,432
4/30/1995 7,251,354 6,803,153
5/31/1995 7,479,227 7,066,416
6/30/1995 7,468,982 7,118,224
7/31/1995 7,469,280 7,102,326
8/31/1995 7,577,254 7,188,042
9/30/1995 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
1/31/1996 8,110,490 7,617,512
2/29/1996 7,917,045 7,485,103
3/31/1996 7,848,991 7,433,072
4/30/1996 7,813,232 7,391,271
5/31/1996 7,795,663 7,376,262
6/30/1996 7,938,312 7,475,319
7/31/1996 7,953,817 7,495,775
8/31/1996 7,937,131 7,483,213
9/30/1996 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
1/31/1997 8,452,273 7,865,989
2/28/1997 8,465,767 7,885,556
3/31/1997 8,379,284 7,798,172
4/30/1997 8,523,528 7,914,906
5/31/1997 8,625,020 7,989,727
6/30/1997 8,714,471 8,084,560
7/31/1997 8,945,988 8,302,575
8/31/1997 8,888,809 8,231,756
9/30/1997 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
1/31/1998 9,418,706 8,709,477
2/28/1998 9,404,616 8,702,528
3/31/1998 9,436,938 8,732,823
4/30/1998 9,472,905 8,778,405
5/31/1998 9,559,386 8,861,676
6/30/1998 9,655,888 8,936,830
7/31/1998 9,697,309 8,955,841
8/31/1998 9,843,713 9,101,592
9/30/1998 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
1/31/1999 10,291,019 9,412,772
2/28/1999 10,083,482 9,248,455
3/31/1999 10,210,751 9,299,706
4/30/1999 10,264,484 9,329,168
5/31/1999 10,112,792 9,247,454
6/30/1999 10,098,298 9,217,993
7/31/1999 10,060,554 9,178,748
8/31/1999 10,064,068 9,174,170
9/30/1999 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
1/31/2000 9,971,148 9,238,894
2/29/2000 10,081,292 9,350,625
3/31/2000 10,244,449 9,473,807
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 5/01/1991, the Fund's Institutional Class inception
date, compared to the Lehman Brothers Aggregate Bond Index, an unmanaged market
index. The performance of the Administrative Class (shown above) reflects the
payment of a service fee in an amount not to exceed 0.25% on an annualized
basis. The Administrative Class commenced operations on 4/11/1997. The Fund may
invest in foreign securities which involve potentially higher risks including
foreign currency fluctuations and political or economic uncertainty.
--------------------------------------------------------------------------------
Portfolio insights
--------------------------------------------------------------------------------
. The Total Return Fund III Institutional Class shares underperformed the
Lehman Brothers Aggregate Bond Index for the one-year period ended March 31,
2000, returning 0.33% versus 1.87% for the Index.
. The Fund's duration was held below that of the Index, which benefited returns
as interest rates rose by as much as 1.62% amid concerns that the Federal
Reserve would hike interest rates and signs of increased world wide economic
stability. Also, a shift towards longer maturity Treasuries was positive as
the yield curve inverted because of the Treasury Department's buyback
program.
. An overweight in mortgages was a slight negative as general price declines in
this sector due to increased volatility were offset by increased holdings of
"full faith and credit" GNMA's that benefited from the reduced supply of
Treasuries.
. An underweight in investment grade corporates was a significant positive as
yield premiums widened due to concerns about increasing corporate debt
levels, the possibility of a slower economy resulting from Fed tightening and
historically high default rates.
. Emerging market bonds were positive for returns as yield premiums declined
amid global growth and stability. Our holdings of Mexican debt benefited from
a credit upgrade to investment grade status.
. International strategies had a significant negative impact on performance as
positions designed to benefit from a stronger euro were hurt by capital
outflows to the U.S.
2000 Annual Report 7
<PAGE>
PIMCO Moderate Duration Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily short- and intermediate-term investment grade bonds.
Duration:
2.9 years
Total Net Assets:
$387.1 million
Sector Breakdown:*
[GRAPH]
Mortgage-Backed Securities 33.9%
Corporate Bonds and Notes 32.9%
Short-Term Instruments 9.2%
Asset-Backed Securities 6.7%
U.S. Treasury Obligations 5.6%
Sovereign Issues 5.1%
Other 6.6%
Quality Breakdown:*
[GRAPH]
AAA 53.6%
AA 9.3%
A 17.6%
BBB 15.3%
BB 4.2%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 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>
1 Year 1.86% 2.07% 2.18%
3 Years 6.07% 6.05% 5.18%
Since Inception* 5.52% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH MARCH 31, 2000
$5,000,000 invested at inception
[GRAPH]
<TABLE>
<CAPTION>
Moderate Lehman Brothers
Duration Intermed. Gov't/
Fund Corporate Bond Index
<S> <C> <C>
12/31/1996 5,000,000 5,000,000
1/31/1997 5,018,573 5,019,499
2/28/1997 5,025,671 5,029,037
3/31/1997 4,987,552 4,994,337
4/30/1997 5,045,822 5,053,270
5/31/1997 5,078,973 5,095,212
6/30/1997 5,141,280 5,141,578
7/31/1997 5,240,626 5,245,952
8/31/1997 5,220,094 5,219,722
9/30/1997 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
1/31/1998 5,454,128 5,464,087
2/28/1998 5,448,868 5,459,715
3/31/1998 5,476,199 5,477,186
4/30/1998 5,507,779 5,504,572
5/31/1998 5,547,118 5,544,756
6/30/1998 5,574,030 5,580,242
7/31/1998 5,603,136 5,599,773
8/31/1998 5,657,953 5,687,689
9/30/1998 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
1/31/1999 5,869,063 5,879,494
2/28/1999 5,778,416 5,793,065
3/31/1999 5,842,985 5,836,513
4/30/1999 5,861,195 5,854,606
5/31/1999 5,823,540 5,809,526
6/30/1999 5,805,584 5,813,592
7/31/1999 5,800,346 5,808,361
8/31/1999 5,804,694 5,813,007
9/30/1999 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
1/31/2000 5,826,274 5,848,228
2/29/2000 5,873,746 5,896,183
3/31/2000 5,951,786 5,957,503
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 12/31/1996, the Fund's Institutional Class inception
date, compared to the Lehman Brothers Intermediate Government/Corporate Bond
Index, an unmanaged market index. The Fund may invest in foreign securities
which involve potentially higher risks including foreign currency fluctuations
and political or economic uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Moderate Duration Fund underperformed the Lehman Brothers Intermediate
Government / Corporate Bond Index for the one-year period ended March 31,
2000, returning 1.86% versus 2.07% for the Index.
. Average duration that was slightly above the benchmark was negative for
performance as interest rates rose by as much as 1.62% amid concerns that the
Federal Reserve would hike interest rates and indications of increased world
wide economic stability.
. An emphasis in mortgages was a slight negative as general price declines in
this sector due to increased volatility were offset by increased holdings of
"full faith and credit" GNMA's that benefited from the reduced supply of
Treasuries.
. An underweight in investment grade corporates was a positive as yield
premiums widened due to concerns about increasing corporate debt levels, the
possibility of a slower economy resulting from Fed tightening and
historically high default rates.
. Emerging market bonds were positive for returns as yield premiums declined
amid global growth and stability. Our holdings of Mexican debt benefited from
a credit upgrade to investment grade status.
. International strategies had a significant negative impact on performance as
positions designed to benefit from a stronger euro were hurt by capital
outflows to the U.S.
8 PIMCO Funds
<PAGE>
PIMCO Low Duration Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily shorter-term investment grade bonds.
Duration:
1.9 years
Total Net Assets:
$4.0 billion
Sector Breakdown:*
[GRAPH]
Corporate Bonds and Note 50.3%
Mortgage-Backed Securities 25.4%
U.S. Treasury Obligations 9.4%
Other 14.9%
Quality Breakdown:*
[GRAPH]
AAA 40.7%
AA 9.4%
A 22.2%
BBB 21.2%
BB 5.9%
B 0.6%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
Performance
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 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>
1 Year 3.56% 3.30% 3.73% 3.27%
3 Years* 6.28% 6.02% 5.76% 5.17%
5 Years* 6.98% 6.71% 6.07% 5.64%
10 Years* 7.46% -- 6.63% 6.44%
Since Inception* 7.78% 6.92% -- --
</TABLE>
* Annualized
Cumulative Returns Through March 31, 2000
$5,000,000 invested at inception
[GRAPH]
Low Duration Merrill Lynch
Fund 1-3 Year Treasury
Index
5/31/1987 5,000,000 5,000,000
6/30/1987 5,046,628 5,054,486
7/31/1987 5,065,090 5,079,247
8/31/1987 5,064,335 5,083,277
9/30/1987 5,052,060 5,063,694
10/31/1987 5,133,989 5,175,497
11/30/1987 5,191,951 5,206,753
12/31/1987 5,222,390 5,239,924
1/31/1988 5,308,798 5,323,917
2/29/1988 5,347,411 5,367,579
3/31/1988 5,380,986 5,378,053
4/30/1988 5,403,325 5,385,796
5/31/1988 5,415,511 5,378,103
6/30/1988 5,466,198 5,433,788
7/31/1988 5,495,264 5,437,868
8/31/1988 5,517,425 5,449,457
9/30/1988 5,568,286 5,512,752
10/31/1988 5,619,832 5,567,754
11/30/1988 5,626,975 5,552,801
12/31/1988 5,652,043 5,565,872
1/31/1989 5,699,277 5,609,584
2/28/1989 5,708,130 5,609,468
3/31/1989 5,730,286 5,635,162
4/30/1989 5,798,151 5,721,387
5/31/1989 5,917,401 5,806,895
6/30/1989 6,046,639 5,915,301
7/31/1989 6,135,363 6,002,808
8/31/1989 6,107,180 5,965,890
9/30/1989 6,137,963 6,001,276
10/31/1989 6,219,093 6,091,880
11/30/1989 6,275,483 6,149,263
12/31/1989 6,307,554 6,173,858
1/31/1990 6,303,536 6,178,987
2/28/1990 6,346,767 6,207,779
3/31/1990 6,381,164 6,228,694
4/30/1990 6,377,250 6,240,900
5/31/1990 6,484,898 6,336,383
6/30/1990 6,554,775 6,403,041
7/31/1990 6,626,735 6,482,955
8/31/1990 6,639,802 6,502,338
9/30/1990 6,676,368 6,555,691
10/31/1990 6,724,978 6,627,712
11/30/1990 6,805,177 6,692,922
12/31/1990 6,878,682 6,774,101
1/31/1991 6,942,193 6,836,151
2/28/1991 6,997,644 6,876,758
3/31/1991 7,057,271 6,923,107
4/30/1991 7,143,402 6,988,670
5/31/1991 7,199,368 7,030,881
6/30/1991 7,245,425 7,059,426
7/31/1991 7,325,646 7,120,914
8/31/1991 7,430,571 7,218,612
9/30/1991 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
1/31/1992 7,811,724 7,553,701
2/29/1992 7,850,357 7,579,762
3/31/1992 7,854,905 7,577,109
4/30/1992 7,910,379 7,646,439
5/31/1992 7,990,995 7,716,175
6/30/1992 8,065,552 7,794,942
7/31/1992 8,172,756 7,882,416
8/31/1992 8,227,543 7,951,624
9/30/1992 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
1/31/1993 8,484,134 8,125,469
2/28/1993 8,584,735 8,194,941
3/31/1993 8,633,491 8,219,527
4/30/1993 8,674,838 8,270,487
5/31/1993 8,685,036 8,247,329
6/30/1993 8,771,815 8,308,113
7/31/1993 8,802,074 8,327,387
8/31/1993 8,888,391 8,400,002
9/30/1993 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
1/31/1994 9,106,228 8,531,519
2/28/1994 9,066,980 8,477,003
3/31/1994 9,027,600 8,434,789
4/30/1994 8,998,069 8,404,930
5/31/1994 8,988,338 8,416,864
6/30/1994 9,007,246 8,441,778
7/31/1994 9,091,298 8,514,377
8/31/1994 9,129,999 8,544,348
9/30/1994 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
1/31/1995 9,198,589 8,643,921
2/28/1995 9,314,539 8,762,689
3/31/1995 9,352,866 8,811,585
4/30/1995 9,470,326 8,890,096
5/31/1995 9,642,739 9,045,405
6/30/1995 9,692,391 9,094,070
7/31/1995 9,696,402 9,131,718
8/31/1995 9,802,372 9,186,053
9/30/1995 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
1/31/1996 10,276,453 9,543,450
2/29/1996 10,210,333 9,503,081
3/31/1996 10,206,317 9,494,623
4/30/1996 10,210,668 9,502,599
5/31/1996 10,220,903 9,522,079
6/30/1996 10,324,796 9,590,448
7/31/1996 10,360,157 9,628,235
8/31/1996 10,411,622 9,661,259
9/30/1996 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
1/31/1997 10,917,928 9,980,768
2/28/1997 10,962,362 10,003,723
3/31/1997 10,918,161 9,999,822
4/30/1997 11,051,403 10,081,520
5/31/1997 11,144,606 10,150,277
6/30/1997 11,232,679 10,220,213
7/31/1997 11,414,133 10,332,533
8/31/1997 11,408,378 10,342,038
9/30/1997 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
1/31/1998 11,808,398 10,698,225
2/28/1998 11,849,111 10,707,426
3/31/1998 11,900,389 10,751,006
4/30/1998 11,965,788 10,801,320
5/31/1998 12,042,787 10,858,892
6/30/1998 12,072,222 10,915,357
7/31/1998 12,130,281 10,966,441
8/31/1998 12,177,935 11,104,289
9/30/1998 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
1/31/1999 12,614,507 11,381,600
2/28/1999 12,548,547 11,326,059
3/31/1999 12,656,332 11,404,775
4/30/1999 12,723,248 11,441,498
5/31/1999 12,683,445 11,434,174
6/30/1999 12,690,305 11,469,850
7/31/1999 12,692,072 11,506,210
8/31/1999 12,701,307 11,539,462
9/30/1999 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
1/31/2000 12,915,977 11,679,735
2/29/2000 13,009,930 11,757,522
3/31/2000 13,106,258 11,830,418
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 6/01/1987, the first full month following the Fund's
Institutional Class inception on 5/11/1987, compared to the Merrill Lynch 1-3
Year Treasury Index, an unmanaged market index. The performance of the
Administrative Class (shown above) reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 12/31/1994. The Fund may invest in foreign securities
which involve potentially higher risks including foreign currency fluctuations
and political or economic uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Low Duration Fund Institutional Class shares returned 3.56% for the
annual period ended March 31, 2000, underperforming the benchmark Merrill
Lynch 1-3 Year Treasury Index return of 3.73%.
. The Fund maintained an above-Index duration throughout the period, which hurt
returns as interest rates increased approximately 1.5% on short- to
intermediate-maturity instruments.
. An allocation to mortgage-backed securities was neutral for performance as
higher yields offset widening yield premiums.
. The Fund's investment-grade corporate holdings enhanced performance amid
strong growth and reduced issuance.
. Below-investment-grade holdings were negative due to cash outflows from the
sector amid concerns about credit quality.
. Limited holdings of U.S. dollar-denominated emerging markets bonds were
positive as fundamentals in a broad set of countries continued to improve.
2000 Annual Report 9
<PAGE>
PIMCO Low Duration Fund II
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily shorter-term investment grade bonds with quality and foreign issuer
restrictions.
Duration:
1.9 years
Total Net Assets:
$468.1 million
Sector Breakdown:*
[GRAPH]
Mortgage-Backed Securities 43.1%
Corporate Bonds and Notes 39.3%
Asset-Backed Securities 8.0%
Other 9.6%
Quality Breakdown:*
[GRAPH]
AAA 59.8%
AA 9.7%
A 30.4%
BBB 0.1%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 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>
1 Year 3.28% 3.01% 3.73% 3.27%
3 Years* 5.80% -- 5.76% 5.17%
5 Years* 6.21% -- 6.07% 5.64%
Since Inception* 6.08% 4.28% -- --
* Annualized
</TABLE>
Cumulative Returns Through March 31, 2000
$5,000,000 invested at inception
[GRAPH]
<TABLE>
<CAPTION>
Low Merrill Lynch
Duration 1-3 Year Treasury
Fund II Index
<S> <C> <C>
10/31/1991 5,000,000 5,000,000
11/30/1991 5,070,496 5,051,950
12/31/1991 5,150,788 5,128,941
1/31/1992 5,126,506 5,121,094
2/29/1992 5,159,358 5,138,762
3/31/1992 5,157,326 5,136,964
4/30/1992 5,197,109 5,183,966
5/31/1992 5,240,589 5,231,244
6/30/1992 5,302,476 5,284,645
7/31/1992 5,355,736 5,343,949
8/31/1992 5,377,728 5,390,869
9/30/1992 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
1/31/1993 5,544,427 5,508,728
2/28/1993 5,600,313 5,555,828
3/31/1993 5,619,040 5,572,496
4/30/1993 5,660,962 5,607,045
5/31/1993 5,649,149 5,591,344
6/30/1993 5,710,514 5,632,553
7/31/1993 5,724,808 5,645,621
8/31/1993 5,775,444 5,694,851
9/30/1993 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
1/31/1994 5,872,093 5,784,014
2/28/1994 5,850,184 5,747,054
3/31/1994 5,796,320 5,718,434
4/30/1994 5,779,212 5,698,191
5/31/1994 5,767,710 5,706,282
6/30/1994 5,772,326 5,723,172
7/31/1994 5,831,607 5,772,392
8/31/1994 5,826,033 5,792,711
9/30/1994 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
1/31/1995 5,935,515 5,860,217
2/28/1995 6,029,620 5,940,737
3/31/1995 6,074,370 5,973,886
4/30/1995 6,107,608 6,027,114
5/31/1995 6,211,631 6,132,407
6/30/1995 6,235,805 6,165,399
7/31/1995 6,243,368 6,190,923
8/31/1995 6,297,641 6,227,760
9/30/1995 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
1/31/1996 6,580,351 6,470,061
2/29/1996 6,535,860 6,442,692
3/31/1996 6,518,000 6,436,958
4/30/1996 6,505,764 6,442,365
5/31/1996 6,502,485 6,455,572
6/30/1996 6,575,782 6,501,923
7/31/1996 6,606,321 6,527,541
8/31/1996 6,630,457 6,549,930
9/30/1996 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
1/31/1997 6,918,655 6,766,544
2/28/1997 6,946,342 6,782,107
3/31/1997 6,930,530 6,779,461
4/30/1997 6,993,758 6,834,850
5/31/1997 7,044,400 6,881,464
6/30/1997 7,099,424 6,928,877
7/31/1997 7,200,340 7,005,026
8/31/1997 7,201,737 7,011,470
9/30/1997 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
1/31/1998 7,464,768 7,252,950
2/28/1998 7,477,590 7,259,187
3/31/1998 7,505,393 7,288,733
4/30/1998 7,541,498 7,322,844
5/31/1998 7,593,666 7,361,875
6/30/1998 7,623,903 7,400,156
7/31/1998 7,657,543 7,434,789
8/31/1998 7,746,767 7,528,244
9/30/1998 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
1/31/1999 7,943,452 7,716,249
2/28/1999 7,885,625 7,678,594
3/31/1999 7,947,390 7,731,961
4/30/1999 7,979,520 7,756,857
5/31/1999 7,950,895 7,751,892
6/30/1999 7,933,181 7,776,079
7/31/1999 7,948,712 7,800,729
8/31/1999 7,953,224 7,823,273
9/30/1999 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
1/31/2000 8,091,435 7,918,372
2/29/2000 8,147,721 7,971,109
3/31/2000 8,208,297 8,020,529
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 11/01/1991, the Fund's Institutional Class inception
date, compared to the Merrill Lynch 1-3 Year Treasury Index, an unmanaged market
index. The performance of the Administrative Class (shown above) reflects the
payment of a service fee in an amount not to exceed 0.25% on an annual basis.
The Administrative Class commenced operations on 2/02/1998.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Low Duration Fund II Institutional Class shares returned 3.28% for the
annual period ended March 31, 2000, underperforming the benchmark Merrill
Lynch 1-3 Year Treasury Index return of 3.73%.
. The Fund maintained an above-Index duration throughout the period, which hurt
returns as interest rates increased approximately 1.5% on short- to
intermediate-maturity instruments.
. Concentrating on a broader-than-Index maturity mix was positive for
performance as long rates rose less than short rates.
. An allocation to mortgage-backed securities was neutral for performance as
higher yields offset widening yield premiums.
. The Fund's investment-grade corporate holdings were slightly positive amid
strong growth and reduced issuance.
10 PIMCO Funds
<PAGE>
PIMCO Low Duration Fund III
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily shorter-term investment grade bonds with prohibitions on firms engaged
in socially sensitive practices.
Duration:
1.9 years
Total Net Assets:
$32.3 million
Sector Breakdown:*
[GRAPH]
Corporate Bonds and Notes 65.3%
Mortgage-Backed Securities 22.4%
Other 12.3%
Quality Breakdown:*
[GRAPH]
AAA 37.2%
AA 6.2%
A 18.6%
BBB 28.8%
BB 9.2%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 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>
1 Year 2.98% 2.71% 3.73% 3.27%
3 Years 5.65% -- 5.76% 5.17%
Since Inception* 5.41% 2.78% -- --
* Annualized
</TABLE>
Cumulative Returns Through March 31, 2000
$5,000,000 invested at inception
[GRAPH]
<TABLE>
<CAPTION>
Low Merrill Lynch
Duration 1-3 Year Treasury
Fund III Index
<S> <C> <C>
12/31/1996 5,000,000 5,000,000
1/31/1997 5,019,544 5,023,450
2/28/1997 5,044,724 5,035,003
3/31/1997 5,028,885 5,033,040
4/30/1997 5,074,774 5,074,160
5/31/1997 5,116,879 5,108,766
6/30/1997 5,156,800 5,143,965
7/31/1997 5,193,007 5,200,497
8/31/1997 5,219,920 5,205,281
9/30/1997 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
1/31/1998 5,393,985 5,384,555
2/28/1998 5,402,862 5,389,186
3/31/1998 5,427,616 5,411,120
4/30/1998 5,458,772 5,436,444
5/31/1998 5,490,624 5,465,421
6/30/1998 5,503,181 5,493,840
7/31/1998 5,527,294 5,519,552
8/31/1998 5,543,567 5,588,932
9/30/1998 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
1/31/1999 5,732,230 5,728,507
2/28/1999 5,719,966 5,700,552
3/31/1999 5,758,729 5,740,171
4/30/1999 5,794,632 5,758,654
5/31/1999 5,786,934 5,754,968
6/30/1999 5,775,306 5,772,924
7/31/1999 5,775,192 5,791,224
8/31/1999 5,779,894 5,807,961
9/30/1999 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
1/31/2000 5,860,600 5,878,562
2/29/2000 5,890,024 5,917,713
3/31/2000 5,930,458 5,954,402
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 12/31/1996, the Fund's Institutional Class inception
date, compared to the Merrill Lynch 1-3 Year Treasury Index, an unmanaged market
index. The performance of the Administrative Class (shown above) reflects the
payment of a service fee in an amount not to exceed 0.25% on an annualized
basis. The Administrative Class commenced operations on 3/19/1999. The Fund may
invest in foreign securities which involve potentially higher risks including
foreign currency fluctuations and political or economic uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Low Duration Fund III Institutional Class shares returned 2.98% for the
annual period ended March 31, 2000, underperforming the benchmark Merrill
Lynch 1-3 Year Treasury Index return of 3.73%.
. The Fund maintained an above-Index duration throughout the period, which hurt
returns as interest rates increased approximately 1.5% on short- to
intermediate-maturity instruments.
. An allocation to mortgage-backed securities was negative for performance due
to a continued widening of yield premiums versus Treasuries.
. The Fund's investment-grade corporate holdings enhanced performance amid
strong growth and reduced issuance.
. Below-investment-grade holdings were negative due to cash outflows from the
sector amid concerns about credit quality.
. Limited holdings of U.S. dollar-denominated emerging markets bonds were
positive as fundamentals in a broad set of countries continued to improve.
2000 Annual Report 11
<PAGE>
PIMCO Short-Term Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum current income, consistent with preservation of capital and daily
liquidity.
Portfolio:
Primarily short-term investment grade bonds.
Duration:
0.5 years
Total Net Assets:
$709.0 million
Sector Breakdown:*
[GRAPH]
Short-Term Instruments 33.2%
Corporate Bonds and Notes 24.5%
Mortgage-Backed Securities 20.2%
Asset-Backed Securities 10.8%
U.S. Government Agencies 6.9%
Other 4.4%
Quality Breakdown:*
[GRAPH]
AAA 41.6%
AA 14.1%
A 16.8%
BBB 26.0%
BB 1.5%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
Total Return Investment Performance For the Period Ended March 31, 2000
<TABLE>
<CAPTION>
Salomon Lipper Ultra Short
Inst'l Class Admin. Class 3-Month Treasury Lipper Money Obligation
(Incep. 10/07/1987) (Incep. 2/01/1996) Bill Index Market Index Fund Average
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1 Year 5.19% 4.92% 4.99% 4.89% 4.69%
3 Years* 5.96% 5.70% 5.04% 5.00% 5.29%
5 Years* 6.69% -- 5.19% 5.08% 5.52%
10 Years* 5.95% -- 4.99% 4.84% 5.56%
Since Inception* 6.43% 5.86% -- -- --
* Annualized
</TABLE>
Cumulative Returns Through March 31, 2000
$5,000,000 invested at inception
[GRAPH]
<TABLE>
<CAPTION>
Salomon 3-Month Lipper
Short-Term Treasury Bill Money Market
Fund Index Index
<S> <C> <C> <C>
10/31/1987 5,000,000 5,000,000 5,000,000
11/30/1987 5,029,461 5,025,505 5,028,003
12/31/1987 5,060,119 5,049,416 5,057,166
1/31/1988 5,094,787 5,074,145 5,085,483
2/29/1988 5,116,116 5,096,972 5,111,420
3/31/1988 5,144,560 5,121,946 5,138,509
4/30/1988 5,173,186 5,147,043 5,163,690
5/31/1988 5,202,593 5,173,283 5,191,059
6/30/1988 5,232,291 5,200,710 5,219,609
7/31/1988 5,259,411 5,229,832 5,249,882
8/31/1988 5,293,423 5,260,160 5,282,958
9/30/1988 5,328,409 5,291,715 5,316,238
10/31/1988 5,375,276 5,323,984 5,350,261
11/30/1988 5,411,635 5,357,521 5,383,970
12/31/1988 5,443,779 5,392,345 5,421,120
1/31/1989 5,483,420 5,429,009 5,460,149
2/28/1989 5,522,499 5,467,021 5,496,732
3/31/1989 5,571,029 5,506,382 5,539,060
4/30/1989 5,613,569 5,547,685 5,580,602
5/31/1989 5,665,094 5,589,294 5,625,247
6/30/1989 5,708,266 5,628,410 5,667,437
7/31/1989 5,756,794 5,667,812 5,709,374
8/31/1989 5,788,039 5,706,356 5,749,912
9/30/1989 5,828,328 5,743,449 5,789,009
10/31/1989 5,883,335 5,782,504 5,829,532
11/30/1989 5,922,983 5,820,087 5,868,010
12/31/1989 5,957,698 5,858,508 5,907,325
1/31/1990 5,987,232 5,897,174 5,947,492
2/28/1990 6,024,238 5,932,550 5,983,180
3/31/1990 6,064,842 5,972,300 6,022,072
4/30/1990 6,090,417 6,011,109 6,061,216
5/31/1990 6,148,665 6,051,983 6,101,825
6/30/1990 6,189,318 6,091,324 6,140,264
7/31/1990 6,232,885 6,131,523 6,180,788
8/31/1990 6,267,095 6,171,375 6,220,965
9/30/1990 6,309,632 6,209,019 6,258,290
10/31/1990 6,358,334 6,247,522 6,298,971
11/30/1990 6,409,912 6,284,390 6,338,025
12/31/1990 6,462,141 6,325,239 6,377,954
1/31/1991 6,509,418 6,361,294 6,416,859
2/28/1991 6,545,494 6,392,464 6,449,583
3/31/1991 6,576,473 6,425,704 6,483,125
4/30/1991 6,618,103 6,456,547 6,515,539
5/31/1991 6,656,338 6,487,540 6,547,464
6/30/1991 6,682,104 6,517,381 6,576,275
7/31/1991 6,722,727 6,548,666 6,607,838
8/31/1991 6,766,617 6,579,444 6,638,234
9/30/1991 6,804,471 6,608,395 6,666,779
10/31/1991 6,844,965 6,637,470 6,696,114
11/30/1991 6,862,973 6,664,021 6,722,899
12/31/1991 6,892,228 6,688,678 6,750,464
1/31/1992 6,919,339 6,712,089 6,775,439
2/29/1992 6,934,403 6,732,895 6,796,441
3/31/1992 6,948,634 6,755,787 6,818,190
4/30/1992 6,979,006 6,777,407 6,839,326
5/31/1992 7,001,946 6,799,771 6,859,847
6/30/1992 7,031,099 6,820,171 6,879,740
7/31/1992 7,061,296 6,840,632 6,899,690
8/31/1992 7,080,606 6,859,785 6,917,632
9/30/1992 7,100,505 6,876,934 6,934,232
10/31/1992 7,109,622 6,894,125 6,950,875
11/30/1992 7,119,728 6,911,360 6,966,860
12/31/1992 7,142,089 6,930,020 6,984,279
1/31/1993 7,167,580 6,948,732 7,001,040
2/28/1993 7,187,715 6,964,714 7,015,741
3/31/1993 7,222,352 6,982,126 7,031,879
4/30/1993 7,248,666 6,998,882 7,047,351
5/31/1993 7,279,042 7,016,380 7,062,147
6/30/1993 7,309,491 7,033,921 7,077,686
7/31/1993 7,337,521 7,052,210 7,093,258
8/31/1993 7,358,333 7,070,546 7,109,572
9/30/1993 7,378,551 7,088,221 7,125,210
10/31/1993 7,406,168 7,106,651 7,140,887
11/30/1993 7,435,531 7,124,417 7,156,597
12/31/1993 7,472,268 7,142,941 7,173,058
1/31/1994 7,487,037 7,161,512 7,189,554
2/28/1994 7,497,133 7,178,699 7,204,654
3/31/1994 7,486,772 7,198,799 7,221,944
4/30/1994 7,500,714 7,220,394 7,240,000
5/31/1994 7,507,684 7,244,222 7,260,269
6/30/1994 7,544,131 7,268,852 7,281,328
7/31/1994 7,581,551 7,295,019 7,303,901
8/31/1994 7,613,244 7,322,010 7,328,734
9/30/1994 7,623,522 7,349,101 7,353,648
10/31/1994 7,645,459 7,379,233 7,380,856
11/30/1994 7,653,660 7,410,225 7,408,906
12/31/1994 7,688,576 7,444,312 7,440,763
1/31/1995 7,728,764 7,478,556 7,474,248
2/28/1995 7,801,580 7,511,461 7,505,640
3/31/1995 7,820,739 7,548,268 7,540,914
4/30/1995 7,906,502 7,584,500 7,574,851
5/31/1995 7,988,187 7,621,664 7,611,211
6/30/1995 8,016,388 7,657,486 7,646,219
7/31/1995 8,066,833 7,694,241 7,681,394
8/31/1995 8,106,191 7,730,404 7,715,959
9/30/1995 8,183,875 7,765,192 7,749,906
10/31/1995 8,244,808 7,800,911 7,784,781
11/30/1995 8,323,417 7,835,235 7,818,256
12/31/1995 8,396,279 7,871,277 7,852,655
1/31/1996 8,438,474 7,906,698 7,887,206
2/29/1996 8,455,531 7,939,115 7,917,969
3/31/1996 8,484,975 7,972,459 7,949,641
4/30/1996 8,526,887 8,005,146 7,981,437
5/31/1996 8,573,734 8,039,568 8,014,160
6/30/1996 8,622,971 8,073,335 8,045,418
7/31/1996 8,649,616 8,108,049 8,079,208
8/31/1996 8,706,604 8,143,726 8,113,140
9/30/1996 8,792,582 8,178,744 8,144,784
10/31/1996 8,865,196 8,214,729 8,178,174
11/30/1996 8,947,374 8,249,233 8,210,888
12/31/1996 8,984,288 8,284,703 8,245,372
1/31/1997 9,039,631 8,320,328 8,280,004
2/28/1997 9,081,953 8,352,778 8,310,639
3/31/1997 9,089,081 8,389,529 8,344,714
4/30/1997 9,142,882 8,425,604 8,378,927
5/31/1997 9,211,364 8,462,676 8,414,958
6/30/1997 9,273,987 8,498,220 8,450,300
7/31/1997 9,348,891 8,534,763 8,486,635
8/31/1997 9,379,554 8,571,461 8,523,128
9/30/1997 9,444,784 8,607,463 8,558,926
10/31/1997 9,469,319 8,645,334 8,595,729
11/30/1997 9,513,992 8,681,646 8,631,831
12/31/1997 9,569,434 8,718,978 8,669,809
1/31/1998 9,628,194 8,757,342 8,707,958
2/28/1998 9,663,998 8,792,371 8,741,919
3/31/1998 9,730,989 8,831,057 8,779,511
4/30/1998 9,777,926 8,868,142 8,815,504
5/31/1998 9,824,621 8,906,281 8,853,411
6/30/1998 9,860,451 8,942,797 8,889,709
7/31/1998 9,921,920 8,980,356 8,927,934
8/31/1998 9,927,830 9,018,971 8,966,325
9/30/1998 9,996,273 9,055,950 9,003,090
10/31/1998 10,036,673 9,092,174 9,039,102
11/30/1998 10,073,050 9,125,815 9,074,353
12/31/1998 10,118,477 9,159,581 9,109,741
1/31/1999 10,160,402 9,193,471 9,145,273
2/28/1999 10,203,832 9,224,729 9,176,364
3/31/1999 10,278,911 9,259,782 9,211,234
4/30/1999 10,329,119 9,294,044 9,244,396
5/31/1999 10,333,674 9,329,361 9,278,599
6/30/1999 10,372,627 9,363,879 9,312,004
7/31/1999 10,411,216 9,400,399 9,339,007
8/31/1999 10,447,798 9,438,001 9,376,361
9/30/1999 10,497,169 9,474,808 9,412,930
10/31/1999 10,550,411 9,513,656 9,451,527
11/30/1999 10,602,935 9,551,709 9,491,222
12/31/1999 10,648,527 9,592,783 9,532,984
1/31/2000 10,677,925 9,634,991 9,575,882
2/29/2000 10,740,147 9,676,420 9,617,058
3/31/2000 10,812,389 9,721,898 9,661,296
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 11/01/1987, the first full month following the
Fund's Institutional Class inception on 10/07/1987, compared to the Salomon
3-Month Treasury Bill Index, an unmanaged market index and the Lipper Money
Market Index, an index consisting of the 30 largest equally weighted Money
Market Funds. Whereas money market funds attempt to maintain a stable share
price, the Short-Term Fund's share price will fluctuate in response to market
conditions. The performance of the Administrative Class (shown above) reflects
the payment of a service fee in an amount not to exceed 0.25% on an annualized
basis. The Administrative Class commenced operations on 2/01/1996. The Fund may
invest in foreign securities which involve potentially higher risks including
foreign currency fluctuations and political or economic uncertainty. We will no
longer compare the Fund to the Lipper Money Market Index since the Lipper Money
Market Index is not a comparable short-term index.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Short-Term Fund Institutional Class shares returned 5.19% for the annual
period ended March 31, 2000, outperforming the Salomon 3-Month Treasury Bill
Index return of 4.99%.
. While an above-Index duration benefited the Fund given the higher yields
offered in a positively sloped yield curve, the price depreciation resulting
from the 1.4% rise in three-month interest rates detracted from returns.
. An allocation to mortgage-backed securities was neutral for performance as
higher yields offset widening yield premiums.
. The Fund's investment-grade corporate holdings enhanced performance amid
strong growth and reduced issuance.
. Below-investment-grade holdings were negative due to cash outflows from the
sector amid concerns about credit quality.
. Limited holdings of U.S. dollar-denominated emerging markets bonds were
positive as fundamentals in a broad set of countries continued to improve.
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:
44.0 days
Total Net Assets:
$541.5 million
Quality Breakdown:*
[GRAPH]
AAA 60.0%
AA 38.7%
A 1.3%
*% of Total Investments as of March 31,2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 2000
<TABLE>
<CAPTION>
Lipper Inst'l
Inst'l Class Admin. Class Salomon 3-Month Lipper Money Money Market
(Incep. 3/01/1991) (Incep. 1/24/1995) Treasury Bill Index Market Index Fund Average
---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
7 Day Yield* 5.85% 5.59% -- -- --
1 Year 5.21% 4.96% 4.99% 4.89% 4.94%
3 Years* 5.25% 5.01% 5.04% 5.00% 5.00%
5 Years* 5.38% 5.13% 5.19% 5.08% 5.13%
Since Inception* 4.76% 5.17% -- -- --
</TABLE>
* Annualized
Cumulative Returns Through March 31, 2000
$5,000,000 invested at inception
[GRAPH]
<TABLE>
<CAPTION>
Salomon 3-Month Lipper
Money Market Treasury Bill Money Market
Fund Index Index
<S> <C> <C> <C>
2/28/1991 5,000,000 5,000,000 5,000,000
3/31/1991 5,025,170 5,026,000 5,026,003
4/30/1991 5,050,085 5,050,124 5,051,132
5/31/1991 5,075,810 5,074,366 5,075,881
6/30/1991 5,098,544 5,097,707 5,098,217
7/31/1991 5,122,151 5,122,177 5,122,686
8/31/1991 5,146,158 5,146,250 5,146,251
9/30/1991 5,168,071 5,168,895 5,168,380
10/31/1991 5,189,068 5,191,637 5,191,122
11/30/1991 5,209,752 5,212,405 5,211,886
12/31/1991 5,235,296 5,231,691 5,233,256
1/31/1992 5,253,666 5,250,001 5,252,618
2/29/1992 5,269,348 5,266,276 5,268,900
3/31/1992 5,286,316 5,284,181 5,285,761
4/30/1992 5,302,529 5,301,091 5,302,146
5/31/1992 5,318,495 5,318,584 5,318,055
6/30/1992 5,333,833 5,334,540 5,333,477
7/31/1992 5,349,339 5,350,544 5,348,943
8/31/1992 5,362,691 5,365,525 5,362,852
9/30/1992 5,375,416 5,378,938 5,375,721
10/31/1992 5,388,548 5,392,385 5,388,623
11/30/1992 5,400,824 5,405,865 5,401,016
12/31/1992 5,415,417 5,420,461 5,414,520
1/31/1993 5,427,493 5,435,097 5,427,514
2/28/1993 5,439,092 5,447,597 5,438,911
3/31/1993 5,452,504 5,461,217 5,451,422
4/30/1993 5,464,658 5,474,323 5,463,416
5/31/1993 5,475,877 5,488,009 5,474,887
6/30/1993 5,489,090 5,501,729 5,486,933
7/31/1993 5,501,737 5,516,034 5,499,005
8/31/1993 5,515,161 5,530,376 5,511,652
9/30/1993 5,527,714 5,544,202 5,523,776
10/31/1993 5,541,036 5,558,617 5,535,929
11/30/1993 5,554,511 5,572,513 5,548,108
12/31/1993 5,567,081 5,587,002 5,560,870
1/31/1994 5,580,537 5,601,527 5,573,658
2/28/1994 5,592,446 5,614,971 5,585,364
3/31/1994 5,606,276 5,630,692 5,598,768
4/30/1994 5,620,505 5,647,583 5,612,766
5/31/1994 5,637,321 5,666,220 5,628,480
6/30/1994 5,654,814 5,685,485 5,644,806
7/31/1994 5,672,813 5,705,953 5,662,305
8/31/1994 5,694,234 5,727,064 5,681,556
9/30/1994 5,714,049 5,748,254 5,700,871
10/31/1994 5,736,363 5,771,822 5,721,964
11/30/1994 5,759,664 5,796,064 5,743,709
12/31/1994 5,785,415 5,822,725 5,768,407
1/31/1995 5,813,735 5,849,510 5,794,366
2/28/1995 5,839,234 5,875,247 5,818,701
3/31/1995 5,867,023 5,904,036 5,846,048
4/30/1995 5,892,850 5,932,376 5,872,358
5/31/1995 5,923,104 5,961,445 5,900,545
6/30/1995 5,950,960 5,989,464 5,927,685
7/31/1995 5,979,025 6,018,213 5,954,954
8/31/1995 6,006,869 6,046,498 5,981,750
9/30/1995 6,032,542 6,073,708 6,008,067
10/31/1995 6,061,076 6,101,647 6,035,104
11/30/1995 6,105,719 6,128,494 6,061,056
12/31/1995 6,136,175 6,156,685 6,087,723
1/31/1996 6,164,350 6,184,390 6,114,509
2/29/1996 6,191,072 6,209,746 6,138,357
3/31/1996 6,217,237 6,235,827 6,162,911
4/30/1996 6,244,019 6,261,393 6,187,560
5/31/1996 6,273,132 6,288,317 6,212,929
6/30/1996 6,297,220 6,314,729 6,237,162
7/31/1996 6,324,461 6,341,881 6,263,357
8/31/1996 6,354,570 6,369,786 6,289,663
9/30/1996 6,379,780 6,397,177 6,314,194
10/31/1996 6,406,912 6,425,323 6,340,079
11/30/1996 6,433,601 6,452,311 6,365,441
12/31/1996 6,460,353 6,480,054 6,392,175
1/31/1997 6,488,472 6,507,920 6,419,023
2/28/1997 6,513,657 6,533,301 6,442,772
3/31/1997 6,539,911 6,562,047 6,469,189
4/30/1997 6,567,988 6,590,263 6,495,712
5/31/1997 6,598,555 6,619,260 6,523,645
6/30/1997 6,626,256 6,647,062 6,551,043
7/31/1997 6,655,217 6,675,644 6,579,213
8/31/1997 6,686,098 6,704,349 6,607,504
9/30/1997 6,714,110 6,732,508 6,635,256
10/31/1997 6,746,003 6,762,130 6,663,786
11/30/1997 6,773,457 6,790,532 6,691,775
12/31/1997 6,805,247 6,819,732 6,721,217
1/31/1998 6,836,094 6,849,739 6,750,792
2/28/1998 6,863,584 6,877,138 6,777,120
3/31/1998 6,893,016 6,907,397 6,806,263
4/30/1998 6,922,674 6,936,404 6,834,166
5/31/1998 6,953,532 6,966,235 6,863,553
6/30/1998 6,983,538 6,994,797 6,891,693
7/31/1998 7,016,569 7,024,175 6,921,326
8/31/1998 7,045,979 7,054,378 6,951,089
9/30/1998 7,076,192 7,083,302 6,979,591
10/31/1998 7,107,700 7,111,635 7,007,509
11/30/1998 7,136,327 7,137,948 7,034,837
12/31/1998 7,168,594 7,164,359 7,062,272
1/31/1999 7,194,413 7,190,867 7,089,817
2/28/1999 7,219,300 7,215,316 7,113,921
3/31/1999 7,247,024 7,242,733 7,140,953
4/30/1999 7,276,038 7,269,532 7,166,662
5/31/1999 7,301,880 7,297,156 7,193,178
6/30/1999 7,329,104 7,324,155 7,219,074
7/31/1999 7,359,334 7,352,720 7,240,008
8/31/1999 7,388,408 7,382,131 7,268,967
9/30/1999 7,418,652 7,410,920 7,297,317
10/31/1999 7,450,747 7,441,306 7,327,239
11/30/1999 7,482,278 7,471,070 7,358,012
12/31/1999 7,519,731 7,503,197 7,390,388
1/31/2000 7,552,712 7,536,211 7,423,645
2/29/2000 7,586,023 7,568,616 7,455,566
3/31/2000 7,624,519 7,604,187 7,489,861
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 3/01/1991, the Fund's Institutional Class inception
date, compared to the Salomon 3-Month Treasury Bill Index, an unmanaged market
index, and the Lipper Money Market Index, an index consisting of the 30 largest
equally weighted Money Market Funds. The performance of the Administrative Class
(shown above) reflects the payment of a service fee in an amount not to exceed
0.25% on an annualized basis. The Administrative Class commenced operations on
1/24/1995. An investment in the Money Market Fund is neither insured nor
guaranteed by the Federal Deposit Insurance Corporation or any other U.S.
Government agency. Although the fund seeks to preserve the value of your
investment at $1.00 per share, it is possible to lose money by investing in the
fund. If there is a material difference between the quoted total return and the
quoted current yield, the yield quotation more closely reflects the current
earnings of the Money Market Fund than the total return quotation. We will no
longer compare the Fund to the Lipper Money Market Index since the Lipper Money
Market Index is not a comparable money market index.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Money Market Fund Institutional Class shares returned 5.21% for the
annual period ended March 31, 2000, outperforming the Salomon 3-Month
Treasury Bill Index return of 4.99%.
. The Fund, which has a Aaa money market fund rating by Moody's Investors
Service, emphasizes high quality commercial paper, shorter-term agency and
high quality corporate debt issues due to strong liquidity, attractive yields
and limited credit risks.
. High quality (A1/P1) commercial paper yields rose by approximately 1.3% for
three-month maturities, reflecting five Federal Reserve rate increases
totaling 1.25%.
. Three-month commercial paper yields relative to Treasuries tightened by 0.07%
to become approximately 0.4% on March 31.
. The SEC 7-day and 30-day yields for the Fund were 5.85% and 5.76%,
respectively as of March 31, 2000.
2000 Annual Report 13
<PAGE>
PIMCO Long-Term U.S. Government Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily longer-term U.S. government bonds.
Duration:
10.2 years
Total Net Assets:
$355.2 million
Sector Breakdown:*
[GRAPH]
Mortgage-Backed Securities 47.7%
U.S. Treasury Obligations 43.8%
Other 8.5%
Quality Breakdown:*
[GRAPH]
AAA 96.1%
AA 2.8%
A 1.1%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 2000
<TABLE>
<CAPTION>
Lehman LB Int. & Lehman Brothers Lipper General
Inst'l Class Admin. Class Long-Term 20+Year Aggregate U.S. Government
(Incep. 7/01/1991) (Incep. 9/23/1997) Treasury Index Treasury Index Bond Index Fund Average
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1 Year 1.26% 1.02% 3.04% 3.20% 1.87% 0.75%
3 Years* 9.47% -- 10.00% 9.73% 6.70% 5.77%
5 Years* 9.50% -- 9.42% 9.13% 7.14% 6.11%
Since Inception* 10.84% 6.37% -- -- -- --
</TABLE>
* Annualized
Cumulative Returns Through March 31, 2000
$5,000,000 invested at inception
[GRAPH]
<TABLE>
<CAPTION>
Long Term Lehman Long Term LB Lehman Brothers
U.S. Gov't Treasury Index Int. & 20+ Year Aggregate
Fund Treasury Index Bond Index
<S> <C> <C> <C> <C>
6/30/1991 5,000,000 5,000,000 5,000,000 5,000,000
7/31/1991 5,068,858 5,074,501 5,078,653 5,069,337
8/31/1991 5,265,511 5,249,571 5,253,833 5,179,037
9/30/1991 5,442,627 5,414,932 5,415,685 5,283,983
10/31/1991 5,470,292 5,426,845 5,423,958 5,342,814
11/30/1991 5,543,810 5,457,236 5,449,855 5,391,803
12/31/1991 5,909,199 5,782,486 5,774,939 5,551,931
1/31/1992 5,742,566 5,600,917 5,595,656 5,476,401
2/29/1992 5,771,828 5,633,962 5,625,075 5,512,010
3/31/1992 5,753,678 5,571,988 5,562,934 5,480,935
4/30/1992 5,725,465 5,566,416 5,551,125 5,520,525
5/31/1992 5,930,074 5,721,163 5,707,247 5,624,696
6/30/1992 6,016,162 5,804,119 5,781,880 5,702,106
7/31/1992 6,300,744 6,045,570 6,023,037 5,818,441
8/31/1992 6,427,326 6,087,285 6,061,588 5,877,383
9/30/1992 6,540,767 6,183,464 6,149,824 5,947,052
10/31/1992 6,378,211 6,053,611 6,022,902 5,868,205
11/30/1992 6,445,336 6,076,615 6,055,985 5,869,532
12/31/1992 6,614,191 6,243,115 6,221,353 5,962,865
1/31/1993 6,790,743 6,421,044 6,388,329 6,077,211
2/28/1993 7,063,398 6,635,507 6,593,498 6,183,594
3/31/1993 7,101,318 6,652,095 6,608,592 6,209,360
4/30/1993 7,156,851 6,703,316 6,657,303 6,252,599
5/31/1993 7,184,508 6,725,437 6,685,270 6,260,561
6/30/1993 7,540,954 7,009,924 6,950,671 6,374,021
7/31/1993 7,650,608 7,122,783 7,066,676 6,410,072
8/31/1993 7,942,707 7,409,119 7,331,491 6,522,427
9/30/1993 7,968,888 7,435,051 7,351,540 6,540,341
10/31/1993 8,009,725 7,488,582 7,404,297 6,564,781
11/30/1993 7,792,708 7,296,874 7,233,849 6,508,935
12/31/1993 7,842,784 7,320,224 7,252,703 6,544,212
1/31/1994 8,022,521 7,495,910 7,413,784 6,632,570
2/28/1994 7,708,576 7,188,578 7,126,553 6,517,340
3/31/1994 7,394,709 6,873,000 6,825,285 6,356,659
4/30/1994 7,268,749 6,791,898 6,744,159 6,305,901
5/31/1994 7,246,140 6,747,072 6,693,854 6,305,016
6/30/1994 7,204,478 6,682,974 6,629,252 6,291,082
7/31/1994 7,383,601 6,909,528 6,861,152 6,416,044
8/31/1994 7,399,922 6,858,397 6,802,522 6,424,006
9/30/1994 7,169,097 6,642,358 6,580,310 6,329,455
10/31/1994 7,122,283 6,619,109 6,559,449 6,323,816
11/30/1994 7,100,894 6,658,162 6,601,562 6,309,771
12/31/1994 7,263,266 6,760,697 6,705,670 6,353,342
1/31/1995 7,453,074 6,934,447 6,883,563 6,479,077
2/28/1995 7,711,268 7,131,386 7,070,315 6,633,122
3/31/1995 7,801,463 7,192,715 7,134,690 6,673,818
4/30/1995 7,935,436 7,320,745 7,258,496 6,767,041
5/31/1995 8,543,447 7,882,247 7,792,055 7,028,907
6/30/1995 8,641,206 7,973,681 7,879,508 7,080,440
7/31/1995 8,492,085 7,846,101 7,759,077 7,064,626
8/31/1995 8,683,920 8,020,286 7,924,423 7,149,887
9/30/1995 8,871,163 8,167,858 8,063,754 7,219,445
10/31/1995 9,089,923 8,396,559 8,278,998 7,313,332
11/30/1995 9,313,423 8,606,473 8,471,111 7,422,922
12/31/1995 9,556,575 8,835,405 8,682,059 7,527,093
1/31/1996 9,571,589 8,835,405 8,688,221 7,577,078
2/29/1996 9,125,878 8,408,654 8,293,222 7,445,371
3/31/1996 8,958,506 8,241,322 8,135,410 7,393,617
4/30/1996 8,759,744 8,103,692 8,006,952 7,352,037
5/31/1996 8,771,139 8,061,553 7,969,721 7,337,108
6/30/1996 8,947,395 8,233,264 8,133,816 7,435,639
7/31/1996 8,918,333 8,236,557 8,136,866 7,455,987
8/31/1996 8,856,612 8,133,600 8,036,207 7,443,491
9/30/1996 9,102,968 8,358,088 8,252,684 7,573,207
10/31/1996 9,493,678 8,686,561 8,566,251 7,740,965
11/30/1996 9,851,090 8,976,691 8,833,466 7,873,557
12/31/1996 9,624,385 8,758,559 8,631,621 7,800,349
1/31/1997 9,576,361 8,696,373 8,569,404 7,824,236
2/28/1997 9,598,405 8,699,851 8,572,900 7,843,699
3/31/1997 9,359,770 8,477,135 8,360,698 7,756,779
4/30/1997 9,570,437 8,681,434 8,557,405 7,872,893
5/31/1997 9,684,481 8,778,666 8,651,795 7,947,317
6/30/1997 9,875,451 8,948,094 8,816,262 8,041,646
7/31/1997 10,424,177 9,473,347 9,309,083 8,258,504
8/31/1997 10,161,918 9,209,988 9,067,905 8,188,061
9/30/1997 10,427,124 9,463,263 9,303,828 8,308,820
10/31/1997 10,781,870 9,782,175 9,598,856 8,429,358
11/30/1997 10,884,053 9,912,278 9,721,316 8,468,174
12/31/1997 11,070,318 10,078,804 9,873,400 8,553,435
1/31/1998 11,276,193 10,283,404 10,064,364 8,663,246
2/28/1998 11,199,620 10,209,364 9,999,353 8,656,334
3/31/1998 11,253,545 10,230,803 10,021,549 8,686,469
4/30/1998 11,318,487 10,268,657 10,058,381 8,731,809
5/31/1998 11,539,028 10,464,788 10,237,616 8,814,637
6/30/1998 11,809,161 10,707,571 10,459,638 8,889,393
7/31/1998 11,801,731 10,662,600 10,422,257 8,908,303
8/31/1998 12,300,067 11,143,483 10,851,859 9,053,280
9/30/1998 12,791,270 11,551,334 11,213,683 9,265,272
10/31/1998 12,445,690 11,376,910 11,077,410 9,216,283
11/30/1998 12,490,607 11,464,511 11,140,516 9,268,589
12/31/1998 12,554,165 11,440,436 11,132,558 9,296,457
1/31/1999 12,649,540 11,543,400 11,223,803 9,362,808
2/28/1999 12,075,837 10,975,465 10,721,119 9,199,363
3/31/1999 12,126,451 10,950,221 10,703,044 9,250,343
4/30/1999 12,144,805 10,965,551 10,716,653 9,279,648
5/31/1999 11,926,288 10,793,392 10,567,784 9,198,368
6/30/1999 11,815,966 10,678,982 10,469,791 9,169,063
7/31/1999 11,748,078 10,627,723 10,423,519 9,130,026
8/31/1999 11,657,161 10,586,275 10,389,572 9,125,472
9/30/1999 11,776,658 10,664,613 10,465,680 9,231,322
10/31/1999 11,801,615 10,671,012 10,469,195 9,265,382
11/30/1999 11,726,960 10,598,449 10,405,814 9,264,719
12/31/1999 11,551,451 10,440,533 10,248,084 9,220,042
1/31/2000 11,604,071 10,589,832 10,392,681 9,189,853
2/29/2000 11,954,949 10,909,645 10,702,730 9,300,991
3/31/2000 12,278,865 11,282,755 11,045,749 9,423,519
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 7/01/1991, the Fund's Institutional Class inception
date, compared to the Lehman Long-Term Treasury Index, the Lehman Brothers
Aggregate Bond Index, and a 10 year duration blend of the Lehman Brothers
Intermediate and 20+Yr. Treasury Indices, each an unmanaged market index. The
performance of the Administrative Class (shown above) reflects the payment of a
service fee in an amount not to exceed 0.25% on an annual basis. The
Administrative Class commenced operations on 9/23/1997. We will no longer
compare the Fund to the Lehman Brothers Intermediate & 20+ Year Treasury Index
since the Lehman Brothers Intermediate & 20+ Year Treasury Index is not a
comparable long-term U.S. government index.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Long-Term U.S. Government Fund Institutional Class shares had a total
return of 1.26% versus 3.04% for the Lehman Long-Term Treasury Index for the
year ended March 31, 2000.
. Treasury yields increased across all maturities with short-term yields
increasing most as the Federal Reserve raised the fed funds rate five times
for a cumulative increase of 1.25%.
. The Fund's duration was under that of the benchmark, which aided relative
performance as interest rates increased.
. Overweighting intermediate maturities detracted from relative returns as
long-term Treasuries rallied during the first quarter of 2000 and the yield
curve inverted.
. Emphasizing mortgage securities reduced relative returns as yield increases
caused mortgage durations to extend which affected price performance
adversely.
. Premium income generated from written options aided relative performance.
14 PIMCO Funds
<PAGE>
PIMCO High Yield Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily high yield bonds.
Duration:
4.4 years
Total Net Assets:
$3.2 billion
Sector Breakdown:*
[GRAPH]
Corporate Bonds and Notes 86.2%
Asset-Backed Securities 5.5%
Other 8.3%
Quality Breakdown:*
[GRAPH]
AAA 0.1%
A 0.5%
BBB 12.8%
BB 43.5%
B 42.8%
CCC 0.2%
CC 0.1%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 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>
1 Year -0.74% -0.99% -0.30% 0.06%
3 Years* 6.21% 5.95% 5.47% 4.32%
5 Years* 9.20% 8.96% 7.86% 7.70%
Since Inception* 9.94% 9.57% -- --
</TABLE>
* Annualized
Cumulative Returns Through March 31, 2000
$5,000,000 invested at inception
[GRAPH]
<TABLE>
<CAPTION>
High Yield Lehman
Fund Intermed. BB rated
Corp. Index
<S> <C> <C>
12/31/1992 5,000,000 5,000,000
1/31/1993 5,113,886 5,105,500
2/28/1993 5,208,126 5,180,551
3/31/1993 5,313,333 5,239,092
4/30/1993 5,369,686 5,283,100
5/31/1993 5,409,077 5,322,195
6/30/1993 5,556,254 5,435,026
7/31/1993 5,595,567 5,489,919
8/31/1993 5,658,345 5,553,602
9/30/1993 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
1/31/1994 6,061,596 5,828,463
2/28/1994 6,060,370 5,822,051
3/31/1994 5,879,246 5,643,896
4/30/1994 5,828,068 5,610,598
5/31/1994 5,870,524 5,615,648
6/30/1994 5,878,587 5,632,494
7/31/1994 5,934,013 5,701,210
8/31/1994 5,984,086 5,761,643
9/30/1994 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
1/31/1995 6,137,436 5,874,658
2/28/1995 6,305,367 6,053,248
3/31/1995 6,397,464 6,110,148
4/30/1995 6,537,390 6,232,351
5/31/1995 6,727,023 6,415,582
6/30/1995 6,781,902 6,472,039
7/31/1995 6,872,762 6,530,935
8/31/1995 6,925,387 6,568,814
9/30/1995 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
1/31/1996 7,453,084 6,995,117
2/29/1996 7,460,951 6,969,934
3/31/1996 7,402,000 6,933,691
4/30/1996 7,434,433 6,930,917
5/31/1996 7,459,688 6,940,621
6/30/1996 7,490,201 7,015,579
7/31/1996 7,557,060 7,053,463
8/31/1996 7,680,144 7,110,596
9/30/1996 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
1/31/1997 8,275,049 7,601,259
2/28/1997 8,402,615 7,693,234
3/31/1997 8,292,841 7,601,685
4/30/1997 8,381,534 7,695,946
5/31/1997 8,572,658 7,827,547
6/30/1997 8,699,809 7,928,522
7/31/1997 8,924,236 8,164,792
8/31/1997 8,921,803 8,087,226
9/30/1997 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
1/31/1998 9,432,639 8,476,692
2/28/1998 9,483,456 8,515,684
3/31/1998 9,557,939 8,570,184
4/30/1998 9,581,967 8,613,893
5/31/1998 9,631,622 8,669,883
6/30/1998 9,702,825 8,722,769
7/31/1998 9,806,262 8,768,128
8/31/1998 9,412,663 8,526,128
9/30/1998 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
1/31/1999 10,010,006 8,948,403
2/28/1999 9,927,890 8,882,185
3/31/1999 10,010,331 8,946,137
4/30/1999 10,178,603 9,037,387
5/31/1999 9,984,753 8,928,036
6/30/1999 9,982,745 8,907,501
7/31/1999 10,010,514 8,941,350
8/31/1999 9,972,088 8,885,018
9/30/1999 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
1/31/2000 10,112,740 8,987,604
2/29/2000 10,137,614 9,004,680
3/31/2000 9,935,905 8,919,136
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 1/01/1993, the first full month following the Fund's
Institutional Class inception on 12/16/1992, compared to the Lehman Intermediate
BB rated Corporate Index, an unmanaged market index. The performance of the
Administrative Class (shown above) reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 1/16/1995. The 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 -0.74% for the
fiscal year ended March 31, 2000, compared to -0.30% for the benchmark Lehman
Intermediate BB rated Corporate Index.
. The Fund's exposure to B rated issues detracted from performance as B rated
issues significantly underperformed BBs, especially in the first quarter of
2000.
. Significant credit deterioration of Safety Kleen, one of the Fund's larger
holdings, negatively impacted performance as the company is currently being
investigated for accounting fraud.
. A strategy of avoiding retail and supermarket issues added to relative
performance as these sectors were adversely affected by excess capacity and
intense competition.
. Healthcare holdings were poor performers due to the negative impact of
regulatory changes.
. Limited exposure to high quality issues in emerging market countries,
especially Mexico, added to returns as these countries benefited from rising
commodity prices and improved prospects for economic growth.
2000 Annual Report 15
<PAGE>
PIMCO Total Return Mortgage Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily intermediate-term mortgage-related securities.
Duration:
4.3 years
Total Net Assets:
$4.1 million
Sector Breakdown:*
[GRAPH]
Mortgage-Backed Securities 74.3%
Short-Term Instruments 25.5%
Other 0.2%
Quality Breakdown:*
[GRAPH]
AAA 84.0%
AA 13.8%
BBB 2.2%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 2000
Inst'l Class Lehman Brothers Lipper U.S. Mortgage
(Incep. 7/31/1997) Mortgage Index Fund Average
--------------------------------------------------------------------------------
1 Year 3.91% 2.25% 1.67%
Since Inception* 6.36% -- --
*Annualized
[GRAPH]
CUMULATIVE RETURNS THROUGH MARCH 31, 2000
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Total Return Lehman Brothers
Mortgage Mortgage
Fund Index
<S> <C> <C>
7/31/1997 5,000,000 5,000,000
8/31/1997 5,005,044 4,988,118
9/30/1997 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
1/31/1998 5,304,038 5,222,289
2/28/1998 5,314,354 5,233,336
3/31/1998 5,334,652 5,255,495
4/30/1998 5,371,139 5,285,232
5/31/1998 5,417,855 5,320,364
6/30/1998 5,453,983 5,345,733
7/31/1998 5,476,124 5,372,837
8/31/1998 5,542,715 5,421,585
9/30/1998 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
1/31/1999 5,660,727 5,570,014
2/28/1999 5,631,600 5,547,984
3/31/1999 5,669,090 5,585,236
4/30/1999 5,697,656 5,610,991
5/31/1999 5,667,354 5,579,648
6/30/1999 5,661,901 5,559,994
7/31/1999 5,641,744 5,522,293
8/31/1999 5,639,123 5,522,100
9/30/1999 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
1/31/2000 5,725,332 5,584,465
2/29/2000 5,812,378 5,649,206
3/31/2000 5,890,936 5,710,992
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 7/31/1997, the Fund's Institutional Class inception
date, compared to the Lehman Brothers Mortgage Index, an unmanaged market index.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Total Return Mortgage Fund strongly outperformed its benchmark, the
Lehman Brothers Mortgage Index, by 1.66%, returning 3.91% for the 12 months
ended March 31, 2000 versus 2.25% for the Index.
. The Fund's lower-than-Index duration was beneficial for returns as interest
rates rose.
. The Fund's broader-than-Index maturity distribution added slightly to returns
as the yield curve flattened.
. An overweight of GNMA securities added to performance as investors preferred
the higher credit quality of these issues.
. Limited exposure to collateralized mortgage obligations (CMOs) added slightly
to returns due to positive price performance and relatively high yields.
. The Fund's use of adjustable rate mortgages (ARMs) was positive as prepayment
rates continued to be modest over the period.
16 PIMCO Funds
<PAGE>
PIMCO Low Duration Mortgage Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily short- and intermediate-term mortgage-related securities.
Duration:
1.7 years
Total Net Assets:
$4.3 million
Sector Breakdown:*
[GRAPH]
Mortgage-Backed Securities 86.3%
U.S. Treasury Obligations 4.5%
Corporate Bonds and Notes 4.3%
Other 4.9%
Quality Breakdown:*
[GRAPH]
AAA 95.6%
A 4.4%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 2000
<TABLE>
<CAPTION>
Inst'l Class Merrill Lynch 1-3 Lipper U.S. Mortgage
(Incep. 7/31/1997) Year Treasury Index Fund Average
---------------------------------------------------------------------------------------
<S> <C> <C> <C>
1 Year 5.16% 3.73% 1.67%
Since Inception* 6.31% -- --
</TABLE>
*Annualized
Cumulative Returns Through March 31, 2000
$5,000,000 invested at inception
[GRAPH]
<TABLE>
<CAPTION>
Merrill Lynch
Low Duration 1-3 Year
Mortgage Fund Treasury Index
<S> <C> <C>
7/31/1997 5,000,000 5,000,000
8/31/1997 5,018,286 5,004,600
9/30/1997 5,111,651 5,042,585
10/31/1997 5,159,820 5,080,051
11/30/1997 5,172,284 5,092,396
12/31/1997 5,218,267 5,127,177
1/31/1998 5,260,371 5,176,962
2/28/1998 5,285,796 5,181,414
3/31/1998 5,293,096 5,202,503
4/30/1998 5,311,809 5,226,850
5/31/1998 5,351,927 5,254,709
6/30/1998 5,392,191 5,282,034
7/31/1998 5,408,563 5,306,753
8/31/1998 5,477,311 5,373,459
9/30/1998 5,543,973 5,444,658
10/31/1998 5,519,699 5,471,391
11/30/1998 5,498,845 5,466,631
12/31/1998 5,536,600 5,485,929
1/31/1999 5,578,414 5,507,652
2/28/1999 5,528,744 5,480,775
3/31/1999 5,595,411 5,518,867
4/30/1999 5,622,757 5,536,637
5/31/1999 5,662,331 5,533,094
6/30/1999 5,653,531 5,550,357
7/31/1999 5,659,351 5,567,952
8/31/1999 5,658,931 5,584,043
9/30/1999 5,722,084 5,620,339
10/31/1999 5,740,102 5,635,290
11/30/1999 5,736,548 5,645,940
12/31/1999 5,694,838 5,654,014
1/31/2000 5,747,671 5,651,922
2/29/2000 5,792,796 5,689,564
3/31/2000 5,884,367 5,724,839
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 7/31/1997, the Fund's Institutional Class inception
date, compared to the Merrill Lynch 1-3 Year Treasury Index, an unmanaged market
index.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The PIMCO Low Duration Mortgage Fund strongly outperformed the Merrill Lynch
1-3 Year Treasury Index for the 12-month period ended March 31, 2000,
returning 5.16% versus 3.73% for the Index.
. The Fund's near-Index duration had little impact on relative returns.
. A broader-than-Index maturity distribution added strongly to returns as the
yield curve flattened.
. Limited exposure to collateralized mortgage obligations (CMOs) added to
returns because of relatively high yields.
. The Fund's use of adjustable rate mortgages (ARMs) added to returns as
prepayments fell and increased investor demand helped boost prices.
2000 Annual Report 17
<PAGE>
PIMCO Real Return Bond Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum real return, consistent with preservation of real capital and prudent
investment management.
Portfolio:
Primarily inflation-indexed bonds.
Duration:
2.9 years
Total Net Assets:
$269.9 million
Sector Breakdown:*
[GRAPH]
U.S. Treasury Obligations 63.3%
Corporate Bonds and Notes 21.4%
Asset-Backed Securities 4.7%
Other 10.6%
Quality Breakdown:*
[GRAPH]
AAA 77.8%
AA 2.5%
A 10.3%
BBB 7.2%
BB 2.2%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 2000
<TABLE>
<CAPTION>
Inst'l Class Lehman Brothers Inflation Lipper Short U.S.
(Incep. 1/29/1997) Linked Treasury Index Government Fund Average
-----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1 Year 8.38% 6.36% 3.27%
3 Years* 6.48% 4.73% 4.86%
Since Inception* 6.17% -- --
</TABLE>
* Annualized
Cumulative Returns Through March 31, 2000
$5,000,000 invested at inception
[GRAPH]
<TABLE>
<CAPTION>
Lehman Brothers
Real Return Inflation Linked
Bond Fund Treasury Index
<S> <C> <C>
1/31/1997 5,000,000 5,000,000
2/28/1997 5,017,061 5,016,499
3/31/1997 4,971,983 4,947,776
4/30/1997 5,002,809 4,977,955
5/31/1997 5,032,748 5,004,838
6/30/1997 5,021,938 4,988,823
7/31/1997 5,083,742 5,036,214
8/31/1997 5,094,469 5,051,322
9/30/1997 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
1/31/1998 5,199,466 5,145,691
2/28/1998 5,193,833 5,141,057
3/31/1998 5,205,501 5,138,489
4/30/1998 5,233,211 5,157,501
5/31/1998 5,254,770 5,194,120
6/30/1998 5,272,877 5,207,097
7/31/1998 5,313,726 5,231,257
8/31/1998 5,317,549 5,243,132
9/30/1998 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
1/31/1999 5,518,587 5,384,539
2/28/1999 5,505,806 5,346,309
3/31/1999 5,538,991 5,344,703
4/30/1999 5,630,484 5,379,950
5/31/1999 5,671,234 5,417,047
6/30/1999 5,664,215 5,420,299
7/31/1999 5,674,126 5,417,586
8/31/1999 5,703,057 5,426,798
9/30/1999 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
1/31/2000 5,784,298 5,472,738
2/29/2000 5,826,798 5,523,636
3/31/2000 6,002,905 5,684,369
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 2/01/1997, the first full month following the Fund's
Institutional Class inception date on 1/29/1997, compared to the Lehman Brothers
Inflation Linked Treasury Index, an unmanaged market index. The Fund may invest
in foreign securities which involve potentially higher risks including foreign
currency fluctuations and political or economic uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. For the year ended March 31, 2000, the Fund's Institutional Class shares
returned 8.38%, outperforming the 6.36% return of the Fund's benchmark, the
Lehman Brothers Inflation Linked Treasury Index.
. The Fund's effective duration was 2.9 years at March 31, 2000, in contrast to
the effective duration of 3.2 years for the Fund's benchmark.
. Real yields remained relatively steady over the fiscal year with 10- and
30-year real yields rising by only 0.05% to 0.08%, while conventional
Treasury yields increased by 0.75% and 0.20% for 10-year and 30-year
maturities, respectively.
. The breakeven yield differentials between conventional Treasuries and
Treasury Inflation Protection Securities rose over the fiscal year from 1.3%
to 2.0% for 10-year maturities and from 1.8% to 1.9% for 30-year maturities.
Over the same period, rolling 12-month CPI-U percentage increases rose from
1.7% to 3.7%.
. The effective duration of the Fund was managed on average to be close to that
of the benchmark, which had a neutral effect on performance.
. An underweighting of long-term maturities lowered relative returns as real
yields increased less for longer maturities than for intermediate maturities.
. The Fund's portfolio yield was enhanced through the use of cash-backing
strategies, employing short duration corporate and asset-backed securities.
. The Fund gained above-benchmark exposures to inflation adjustments, which
benefited performance as the CPI-U increased throughout the calendar year.
. Modest holdings of emerging market bonds enhanced returns as stronger global
growth boosted commodity prices and benefited exporters.
. Real yields at March 31, 2000 were 4.0% for 10-year maturities and 3.9% for
30-year maturities.
18 PIMCO Funds
<PAGE>
PIMCO Foreign Bond Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily investment grade intermediate maturity, hedged non-U.S. bonds.
Duration:
4.4 years
Total Net Assets:
$545.5 million
Country Allocation:*
[GRAPH]
United States 51.1%
Supranational 5.1%
Spain 4.3%
Germany 4.3%
United Kingdom 4.0%
Canada 3.9%
Cayman Islands 3.1%
Short-Term Instruments 1.0%
Other 23.2%
Quality Breakdown:*
[GRAPH]
AAA 59.5%
AA 15.7%
A 10.6%
BBB 8.3%
BB 4.6%
B 1.3%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 2000
<TABLE>
<CAPTION>
Inst'l Class Admin. Class J.P. Morgan Non- Lipper International
(Incep. 12/03/1992) (Incep. 1/28/1997) U.S. Index (Hedged) Income Fund Average
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 Year 1.97% 1.71% 2.94% -2.29%
3 Years* 7.42% 7.14% 8.85% 3.50%
5 Years* 12.18% -- 10.66% 4.52%
Since Inception* 9.75% 6.52% -- --
* Annualized
</TABLE>
Cumulative Returns Through March 31, 2000
$5,000,000 invested at inception
[GRAPH]
<TABLE>
<CAPTION>
J.P. Morgan
Foreign Non-U.S. Index
Bond Fund (Hedged)
<S> <C> <C>
12/31/1992 5,000,000 5,000,000
1/31/1993 5,041,660 5,045,501
2/28/1993 5,152,513 5,136,826
3/31/1993 5,171,807 5,139,908
4/30/1993 5,171,804 5,140,421
5/31/1993 5,218,564 5,169,209
6/30/1993 5,342,019 5,274,661
7/31/1993 5,426,186 5,333,737
8/31/1993 5,558,061 5,444,678
9/30/1993 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
1/31/1994 5,827,680 5,666,624
2/28/1994 5,673,113 5,539,124
3/31/1994 5,574,498 5,488,718
4/30/1994 5,522,099 5,449,747
5/31/1994 5,441,127 5,389,254
6/30/1994 5,340,992 5,334,283
7/31/1994 5,374,816 5,369,488
8/31/1994 5,322,015 5,317,942
9/30/1994 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
1/31/1995 5,431,819 5,465,297
2/28/1995 5,467,726 5,535,800
3/31/1995 5,471,621 5,648,728
4/30/1995 5,605,512 5,738,544
5/31/1995 5,825,529 5,926,769
6/30/1995 5,790,386 5,907,210
7/31/1995 5,900,948 5,981,642
8/31/1995 6,013,433 6,033,680
9/30/1995 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
1/31/1996 6,700,408 6,469,635
2/29/1996 6,557,601 6,393,293
3/31/1996 6,664,336 6,446,357
4/30/1996 6,825,851 6,523,713
5/31/1996 6,852,155 6,568,075
6/30/1996 6,930,027 6,622,589
7/31/1996 6,997,369 6,672,259
8/31/1996 7,169,036 6,761,000
9/30/1996 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
1/31/1997 7,899,810 7,258,963
2/28/1997 7,942,561 7,305,419
3/31/1997 7,843,570 7,266,703
4/30/1997 7,917,253 7,345,183
5/31/1997 7,958,788 7,383,378
6/30/1997 8,118,878 7,508,894
7/31/1997 8,239,266 7,628,287
8/31/1997 8,206,198 7,637,441
9/30/1997 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
1/31/1998 8,645,607 8,087,245
2/28/1998 8,725,510 8,159,239
3/31/1998 8,835,222 8,231,855
4/30/1998 8,865,827 8,273,838
5/31/1998 8,942,528 8,387,190
6/30/1998 8,987,048 8,423,255
7/31/1998 9,130,620 8,501,590
8/31/1998 9,058,201 8,669,071
9/30/1998 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
1/31/1999 9,569,644 9,057,102
2/28/1999 9,476,423 8,996,420
3/31/1999 9,534,902 9,103,477
4/30/1999 9,658,589 9,219,091
5/31/1999 9,507,394 9,181,293
6/30/1999 9,391,681 9,038,983
7/31/1999 9,396,468 9,015,482
8/31/1999 9,329,165 9,031,709
9/30/1999 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
1/31/2000 9,475,484 9,168,837
2/29/2000 9,584,349 9,236,684
3/31/2000 9,722,350 9,371,538
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 1/01/1993, the first full month following the Fund's
Institutional Class inception on 12/03/1992, compared to the J.P. Morgan
Non-U.S. Index (Hedged), an unmanaged market index. The performance of the
Administrative Class (shown above) reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 1/28/1997. Foreign investing involves potentially higher
risks including foreign currency fluctuations and political or economic
uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. For the 12-month period ended March 31, 2000, the Foreign Bond Fund
Institutional Class shares posted a return of 1.97%, underperforming the
2.94% return of the Fund's benchmark, the J.P. Morgan Non-U.S. Index
(Hedged).
. Below-Index duration detracted from returns as longer-term bond yields in
most countries fell over the first quarter of 2000 amid positive responses to
central bank rate increases.
. An underweight in core Europe detracted from returns after bonds rallied
following the European central bank's rate hikes.
. An overweight in Australia added to returns as bond yields declined in the
face of falling growth forecasts and decreasing consumer demand.
. An overweight in New Zealand helped returns as yields fell amid expectations
that further central bank tightening would restrain inflation.
. An overweight in the euro versus the U.S. dollar was negative for returns
after the U.S. dollar rallied in response to the strong U.S. economy.
. Emerging market positions were positive due to improving fundamentals and
enhanced growth prospects.
2000 Annual Report 19
<PAGE>
PIMCO Global Bond Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily investment grade U.S.
and non-U.S. intermediate bonds.
Duration:
4.8 years
Total Net Assets:
$273.8 million
Country Allocation:*
[GRAPH]
United States 55.2%
United Kingdom 7.2%
Supranational 5.5%
Greece 3.6%
Germany 3.4%
Short-Term Instruments 2.2%
Other 22.9%
Quality Breakdown:*
[GRAPH]
AAA 55.5%
AA 14.7%
A 14.7%
BBB 9.2%
BB 4.5%
B 1.4%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 2000
<TABLE>
<CAPTION>
J.P. Morgan Lipper
Inst'l Class Admin. Class Global Index Global Income
(Incep. 11/23/1993) (Incep. 8/01/1996) (Unhedged) Fund Average
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 Year -1.81% -2.05% -0.85% -0.47%
3 Years* 3.57% 3.36% 5.06% 2.99%
5 Years* 5.86% -- 4.76% 5.66%
Since Inception* 6.24% 3.56% -- --
* Annualized
</TABLE>
Cumulative Returns Through March 31, 2000
$5,000,000 invested at inception
[GRAPH]
<TABLE>
<CAPTION>
J.P. Morgan
Global Bond Global Index
Fund (Unhedged)
<S> <C> <C>
11/30/1993 5,000,000 5,000,000
12/31/1993 5,159,354 5,051,001
1/31/1994 5,172,612 5,098,479
2/28/1994 5,050,687 5,042,396
3/31/1994 4,981,799 5,019,201
4/30/1994 4,983,396 5,015,186
5/31/1994 4,957,155 4,973,560
6/30/1994 4,993,232 5,032,746
7/31/1994 5,040,972 5,080,054
8/31/1994 5,023,423 5,066,846
9/30/1994 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
1/31/1995 5,158,706 5,217,982
2/28/1995 5,306,429 5,352,606
3/31/1995 5,497,439 5,625,054
4/30/1995 5,586,069 5,714,492
5/31/1995 5,774,015 5,873,926
6/30/1995 5,791,402 5,910,344
7/31/1995 5,833,592 5,938,122
8/31/1995 5,749,603 5,773,043
9/30/1995 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
1/31/1996 6,250,544 6,039,434
2/29/1996 6,152,157 6,004,405
3/31/1996 6,159,100 5,995,399
4/30/1996 6,210,796 5,973,217
5/31/1996 6,191,536 5,979,190
6/30/1996 6,265,488 6,031,208
7/31/1996 6,379,395 6,142,182
8/31/1996 6,491,924 6,167,980
9/30/1996 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
1/31/1997 6,702,769 6,210,983
2/28/1997 6,656,620 6,168,128
3/31/1997 6,576,929 6,121,249
4/30/1997 6,536,080 6,086,970
5/31/1997 6,699,780 6,230,622
6/30/1997 6,783,140 6,301,651
7/31/1997 6,758,684 6,278,337
8/31/1997 6,721,424 6,270,802
9/30/1997 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
1/31/1998 6,851,128 6,524,843
2/28/1998 6,915,929 6,573,126
3/31/1998 6,961,654 6,523,829
4/30/1998 7,063,593 6,624,295
5/31/1998 7,059,363 6,652,780
6/30/1998 7,070,889 6,671,407
7/31/1998 7,130,372 6,689,420
8/31/1998 7,124,542 6,874,048
9/30/1998 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
1/31/1999 7,718,892 7,387,701
2/28/1999 7,459,185 7,140,951
3/31/1999 7,441,983 7,158,805
4/30/1999 7,454,117 7,156,657
5/31/1999 7,250,125 7,030,699
6/30/1999 7,143,749 6,913,286
7/31/1999 7,296,476 7,065,380
8/31/1999 7,283,484 7,083,750
9/30/1999 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
1/31/2000 7,098,375 6,931,857
2/29/2000 7,116,716 6,897,197
3/31/2000 7,307,538 7,097,904
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 12/01/1993, the first full month following the
Fund's Institutional Class inception on 11/23/1993, compared to the J.P. Morgan
Global Index (Unhedged), an unmanaged market index. The performance of the
Administrative Class (shown above) reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 8/01/1996. Foreign investing involves potentially higher
risks including foreign currency fluctuations and political or economic
uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. For the 12-month period ended March 31, 2000, the Global Bond Fund
Institutional Class shares posted a return of -1.81%, underperforming the
-0.85% return of the Fund's benchmark index, the J.P. Morgan Global Bond
Index (Unhedged).
. Below-Index duration detracted from returns as longer-term bond yields in
most countries fell over the first quarter of 2000 amid positive responses to
central bank rate increases.
. An underweight in U.S. Treasuries detracted from performance after long-term
bond yields fell over the first quarter 2000 in response to the Treasury's
debt buyback.
. An underweight in core Europe detracted from returns after bonds rallied
following the European central bank's rate hikes.
. An overweight in Australia added to returns as bond yields declined in the
face of falling growth forecasts and decreasing consumer demand.
. An overweight in New Zealand helped returns as yields fell amid expectations
that further central bank tightening would restrain inflation.
. The Fund's overall return was hampered over the period by the continuing
strength of the U.S. dollar.
. An overweight in the euro versus the U.S. dollar was negative for returns
after the U.S. dollar rallied in response to the strong U.S. economy.
. Emerging market positions were positive due to improving fundamentals and
enhanced growth prospects.
20 PIMCO Funds
<PAGE>
PIMCO Global Bond Fund II
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital.
Portfolio:
Primarily investment grade U.S.
and hedged foreign intermediate
maturity bonds.
Duration:
4.8 years
Total Net Assets:
$97.0 million
Country Allocation:*
[GRAPH]
United States 62.9%
United Kingdom 6.1%
Supranational 5.2%
Short-Term Instruments 4.4%
Other 21.4%
Quality Breakdown:*
[GRAPH]
AAA 60.5%
AA 12.3%
A 14.3%
BBB 8.4%
BB 2.9%
B 1.6%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 2000
Inst'l Class J.P. Morgan Global Lipper Global Income
(Incep. 2/25/1998) Index (Hedged) Fund Average
--------------------------------------------------------------------------------
1 Year 1.11% 2.93% -0.47%
Since Inception* 4.16% -- --
*Annualized
Cumulative Returns Through MARCH 31, 2000
$5,000,000 invested at inception
[GRAPH]
<TABLE>
<CAPTION>
J.P. Morgan
Global Bond Global Index
Fund II (Hedged)
<S> <C> <C>
2/28/1998 5,000,000 5,000,000
3/31/1998 5,069,096 5,032,502
4/30/1998 5,092,746 5,057,159
5/31/1998 5,121,536 5,120,376
6/30/1998 5,146,064 5,157,242
7/31/1998 5,210,272 5,190,249
8/31/1998 5,156,019 5,308,584
9/30/1998 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
1/31/1999 5,422,839 5,525,796
2/28/1999 5,341,215 5,451,750
3/31/1999 5,376,152 5,501,909
4/30/1999 5,429,327 5,553,624
5/31/1999 5,347,551 5,520,302
6/30/1999 5,283,537 5,457,923
7/31/1999 5,279,879 5,446,462
8/31/1999 5,257,452 5,452,452
9/30/1999 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
1/31/2000 5,296,692 5,514,850
2/29/2000 5,360,260 5,570,552
3/31/2000 5,435,868 5,663,021
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 3/01/1998, the first full month following the Fund's
Institutional Class inception on 2/25/1998, compared to the J.P. Morgan Global
Index (Hedged), an unmanaged market index. Foreign investing involves
potentially higher risks including foreign currency fluctuations and political
or economic uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. For the 12-month period ended March 31, 2000, the Global Bond Fund II posted
a return of 1.11%, underperforming the 2.93% return of the Fund's benchmark
index, the J.P. Morgan Global Bond Index (Hedged).
. Below-Index duration detracted from returns as longer-term bond yields in
most countries fell over the first quarter of 2000 amid positive responses to
central bank rate increases.
. An underweight in U.S. Treasuries detracted from performance after long-term
bond yields fell over the first quarter 2000 in response to the Treasury's
debt buyback program.
. An underweight in core Europe detracted from returns after bonds rallied
following the European central bank's rate hikes.
. An overweight in Australia added to returns as bond yields declined in the
face of falling growth forecasts and decreasing consumer demand.
. An overweight in New Zealand helped returns as yields fell amid expectations
that further central bank tightening would restrain inflation.
. An overweight in the euro versus the U.S. dollar was negative for returns
after the U.S. dollar rallied in response to the strong U.S. economy.
. Emerging market positions were positive due to improving fundamentals and
enhanced growth prospects.
2000 Annual Report 21
<PAGE>
PIMCO Emerging Markets Bond Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily emerging market bonds.
Duration:
3.6 years
Total Net Assets:
$27.8 million
Country Allocation:*
[GRAPH]
Brazil 24.3%
Mexico 17.5%
Venezuela 6.8%
Peru 6.6%
Russia 6.4%
Argentina 5.9%
Short-Term Instruments 5.2%
Other 27.3%
Quality Breakdown:*
[GRAPH]
AAA 16.8%
AA 2.6%
BBB 21.3%
BB 26.5%
B 32.8%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 2000
<TABLE>
<CAPTION>
J.P. Morgan
Inst'l Class Admin. Class Emerging Markets Lipper Emerging Markets
(Incep. 7/31/1997) (Incep. 9/30/1998) Bond Index Plus Debt Fund Average
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 Year 27.90% 27.60% 29.04% 27.77%
Since Inception* 5.50% 31.35% -- --
* Annualized
</TABLE>
Cumulative Returns Through March 31, 2000
$5,000,000 invested at inception
[GRAPH]
<TABLE>
<CAPTION>
Emerging J.P. Morgan
Markets Emerging Markets
Bond Fund Bond Index Plus
<S> <C> <C>
7/31/1997 5,000,000 5,000,000
8/31/1997 4,941,202 4,979,763
9/30/1997 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
1/31/1998 4,866,472 4,910,880
2/28/1998 5,005,158 5,051,329
3/31/1998 5,155,188 5,177,076
4/30/1998 5,168,205 5,189,638
5/31/1998 5,002,060 5,012,513
6/30/1998 4,838,082 4,867,654
7/31/1998 4,912,199 4,901,240
8/31/1998 3,543,793 3,492,624
9/30/1998 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
1/31/1999 4,139,443 4,058,290
2/28/1999 4,222,136 4,116,729
3/31/1999 4,507,995 4,428,365
4/30/1999 4,883,959 4,730,823
5/31/1999 4,578,472 4,461,166
6/30/1999 4,716,852 4,660,580
7/31/1999 4,686,777 4,564,104
8/31/1999 4,679,209 4,557,715
9/30/1999 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
1/31/2000 5,308,344 5,204,876
2/29/2000 5,622,784 5,540,069
3/31/2000 5,765,699 5,714,579
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 7/31/1997, the Fund's Institutional Class inception
date, compared to the J.P. Morgan Emerging Markets 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
--------------------------------------------------------------------------------
. Emerging markets was the best performing bond market sector during the fiscal
period due to stronger global growth and higher commodity prices.
. A series of favorable credit rating announcements reinforced the view that
financial and economic conditions are improving across the sector.
. Distressed credits, such as Russia and Ecuador, outperformed high quality
credits, driving overall sector returns.
. The Fund underperformed the benchmark J.P. Morgan Emerging Markets Bond Index
Plus for the 12-month period ended March 31, 2000, returning 27.90% versus
29.04% for the Index.
. An above-benchmark duration was positive for returns as interest rates in
most developing countries fell.
. Our underweight in Russian bonds was negative as these securities continued
to appreciate, supported by enhanced political stability and higher oil
prices.
. A modest overweight to Brazil was positive for returns amid signs of
improving economic conditions and a rating upgrade.
. An underweight in Argentina aided returns as the country underperformed on
indications that the economy remained sluggish.
. A modest overweight to Mexico proved negative for performance as Mexico
under-performed, suffering from uncertainty surrounding the direction of
U.S. interest rates.
. Overweighting South Korea was negative as higher-quality underperformed
lower-quality credits.
. Rising fiscal and current account deficits and threats of higher inflation
caused Poland to underperform, thus our overweight detracted from
performance.
22 PIMCO Funds
<PAGE>
PIMCO Strategic Balanced Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily a combination of short- and intermediate-term investment grade bonds,
and S&P 500 Index futures.
Duration:
1.8 years
Total Net Assets:
$155.0 million
Sector Breakdown:*
[GRAPH]
Corporate Bonds & Notes 37.4%
Mortgage-Backed Securities 22.0%
Short-Term Instruments 13.7%
U.S. Treasury Obligations 11.7%
Foreign Currency Denominated Issues 5.2%
Other 10.0%
Quality Breakdown:*
[GRAPH]
AAA 48.8%
AA 11.9%
A 19.7%
BBB 16.2%
BB 2.8%
B 0.6%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 2000
<TABLE>
<CAPTION>
60% S&P 500 Index and Lipper Lipper
Inst'l Class Admin. Class 40% Lehman Brothers Balanced S&P 500 Balanced
(Incep. 6/28/1996) (Incep. 6/30/1999) Aggregate Bond Index Index Index Fund Average
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1 Year 10.05% -- 11.56% 10.47% 17.94% 10.48%
3 Years* 18.15% -- 19.13% 15.55% 27.40% 14.74%
Since Inception 17.77%* 5.47% -- -- -- --
* Annualized
</TABLE>
CUMULATIVE RETURNS THROUGH MARCH 31, 2000
$5,000,000 invested at inception
[GRAPH]
<TABLE>
<CAPTION>
60% S&P 500
Strategic Index and 40% Lipper S&P 500
Balanced Lehman Brothers Balanced Index
Fund Aggregate Index
Bond Index
<S> <C> <C> <C> <C>
6/30/1996 5,000,000 5,000,000 5,000,000 5,000,000
7/31/1996 4,865,000 4,872,933 4,871,300 4,779,100
8/31/1996 4,940,000 4,931,328 4,948,159 4,879,891
9/30/1996 5,175,000 5,132,224 5,131,196 5,154,532
10/31/1996 5,320,000 5,262,627 5,240,029 5,296,693
11/30/1996 5,615,000 5,537,365 5,484,214 5,697,071
12/31/1996 5,511,545 5,450,953 5,416,758 5,584,212
1/31/1997 5,743,214 5,661,975 5,582,512 5,933,113
2/28/1997 5,775,539 5,694,243 5,603,167 5,979,629
3/31/1997 5,591,600 5,528,617 5,440,115 5,733,926
4/30/1997 5,846,009 5,759,756 5,603,862 6,076,241
5/31/1997 6,089,593 5,991,928 5,833,060 6,446,163
6/30/1997 6,275,398 6,181,439 6,020,301 6,734,951
7/31/1997 6,659,382 6,543,230 6,362,857 7,270,851
8/31/1997 6,423,506 6,300,974 6,161,154 6,863,537
9/30/1997 6,659,150 6,545,208 6,406,984 7,239,453
10/31/1997 6,565,126 6,452,023 6,290,376 6,997,656
11/30/1997 6,736,582 6,643,106 6,405,490 7,321,577
12/31/1997 6,843,897 6,738,297 6,500,291 7,447,289
1/31/1998 6,937,730 6,817,616 6,545,793 7,529,656
2/28/1998 7,213,362 7,110,452 6,805,661 8,072,694
3/31/1998 7,459,339 7,338,829 7,013,914 8,486,097
4/30/1998 7,524,460 7,398,449 7,062,310 8,571,467
5/31/1998 7,447,498 7,350,213 6,990,981 8,424,124
6/30/1998 7,662,852 7,554,287 7,117,518 8,766,312
7/31/1998 7,621,044 7,512,443 7,034,243 8,672,951
8/31/1998 6,904,331 6,909,658 6,427,891 7,419,015
9/30/1998 7,310,278 7,239,956 6,705,576 7,894,278
10/31/1998 7,639,840 7,577,983 6,956,364 8,536,398
11/30/1998 8,239,043 7,870,767 7,210,967 9,053,789
12/31/1998 8,189,101 8,152,341 7,477,052 9,575,468
1/31/1999 8,385,168 8,380,174 7,596,685 9,975,915
2/28/1999 8,117,209 8,165,384 7,414,365 9,665,863
3/31/1999 8,381,044 8,379,502 7,597,499 10,052,594
4/30/1999 8,584,658 8,584,843 7,846,697 10,441,931
5/31/1999 8,407,317 8,433,153 7,725,858 10,195,398
6/30/1999 8,726,038 8,703,230 7,939,092 10,761,242
7/31/1999 8,533,893 8,525,380 7,790,630 10,425,276
8/31/1999 8,507,390 8,498,358 7,708,829 10,373,671
9/30/1999 8,424,034 8,398,023 7,610,156 10,089,329
10/31/1999 8,758,321 8,729,273 7,830,851 10,727,781
11/30/1999 8,845,236 8,835,503 7,915,423 10,945,877
12/31/1999 9,136,140 9,130,707 8,149,720 11,590,589
1/31/2000 8,743,572 8,843,606 7,945,162 11,008,477
2/29/2000 8,679,333 8,785,846 7,926,095 10,799,892
3/31/2000 9,223,089 9,347,855 8,392,941 11,856,445
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 7/01/1996, the first full month following the 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,
the Lipper Balanced Index and the S&P 500 Index each an unmanaged market index.
The performance of the Administrative Class (shown above) reflects the payment
of a service fee in an amount not to exceed 0.25% on an annualized basis. The
Administrative Class commenced operations on 6/30/1999. The Fund may invest in
foreign securities which involve potentially higher risks including foreign
currency fluctuations and political or economic uncertainty. We will no longer
compare the Fund to the Lipper Balanced Index since the Lipper Balanced Index is
not a comparable strategic balanced index.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. For the 12-month period ended March 31, 2000, the Fund's Institutional Class
shares returned 10.05% after fees versus 11.56% for the Fund's benchmark, a
blend of 60% S&P 500 Index and 40% Lehman Brothers Aggregate Index (LBAG).
. An overweighting of the equity allocation improved returns relative to the
benchmark as the S&P 500 Index returned 17.9% for the fiscal year as compared
to 1.9% for the LBAG.
. The Federal Reserve raised the fed funds rate by 1.25% over the fiscal year,
causing short and intermediate maturity yields to increase by 1.00% or more.
. The equity allocation, employing PIMCO's StocksPLUS strategy, underperformed
the S&P 500 Index due mainly to the rapid run-up in interest rates, causing
cash-backing positions supporting S&P futures positions to lose value.
. The fixed income allocation underperformed the LBAG because of an
underweighting of longer maturities where yields rose less and an
overweighting of corporate securities, which underperformed Treasuries due to
higher yield premiums demanded by investors.
2000 Annual Report 23
<PAGE>
PIMCO Convertible Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Seeks maximum total return, consistent with prudent investment management.
Portfolio:
Primarily convertible securities.
Duration:
1.6 years
Total Net Assets:
$184.0 million
Sector Breakdown:*
[GRAPH]
Convertible Bonds and Notes 76.0%
Convertible Preferred Stock 17.1%
Short-Term Intruments 6.1%
Other 0.8%
Quality Breakdown:*
[GRAPH]
AAA 4.4%
AA 8.0%
A 17.4%
BBB 38.5%
B 26.8%
CCC 4.9%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 2000
<TABLE>
<CAPTION>
Lipper
Inst'l Class First Boston Convertible Securities
(Incep. 3/31/1999) Convertible Bond Index Fund Average
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1 Year 60.66% 45.84% 40.26%
Since Inception 60.66% -- --
</TABLE>
[GRAPH]
CUMULATIVE RETURNS THROUGH MARCH 31, 2000
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Convertible First Boston
Fund Convertible Bond Index
<S> <C> <C>
3/31/1999 5,000,000 5,000,000
4/30/1999 5,240,000 5,202,500
5/31/1999 5,335,000 5,154,637
6/30/1999 5,625,000 5,376,802
7/31/1999 5,640,000 5,305,828
8/31/1999 5,630,000 5,321,746
9/30/1999 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
1/31/2000 7,257,010 6,744,254
2/29/2000 8,032,917 7,452,401
3/31/2000 8,032,816 7,292,174
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 3/31/1999, the Fund's Institutional Class inception
date, compared to the First Boston Convertible Bond Index, an unmanaged market
index. The Fund may invest in foreign securities which involve potentially
higher risks including foreign currency fluctuations and political or economic
uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Convertible Fund Institutional Class shares returned 60.66% for the
12-month period ended March 31, 2000, strongly outperforming the 45.84%
return of the benchmark First Boston Convertible Bond Index.
. The Fund's lower delta, or sensitivity to price movements in the underlying
equities, detracted from relative performance as these equities posted strong
performance over the past fiscal year.
. An emphasis on Technology and Telecommunications was positive for returns as
"new economy" issues outperformed their "old economy" counterparts.
. An overweight in the Utility and Energy sectors was positive, especially
later in the year as energy prices rose and demand continued to be strong.
. Healthcare holdings were poor performers due to the negative impact of
regulatory changes.
. The use of a proprietary valuation model was instrumental in determining
relative value among different issues and resulted in strong performance from
security selection.
24 PIMCO Funds
<PAGE>
PIMCO StocksPLUS Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Total return which exceeds that of the S&P 500 Index.
Portfolio:
Primarily S&P 500 Index futures backed by a portfolio of short-term bonds.
Duration:
0.5 years
Total Net Assets:
$1.5 billion
Sector Breakdown:*
[GRAPH]
Corporate Bonds & Notes 34.2%
Short-Term Instruments 20.2%
Mortgage-Backed Securities 17.6%
U.S. Obligations 11.8%
Asset-Backed Securities 5.6%
Other 10.6%
Quality Breakdown:*
[GRAPH]
AAA 43.9%
AA 14.3%
A 9.4%
BBB 27.3%
BB 3.7%
B 1.4%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 2000
<TABLE>
<CAPTION>
Inst'l Class Admin. Class Lipper Large-Cap
(Incep. 5/14/1993) (Incep. 1/07/1997) S&P 500 Index Core Fund Average
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 Year 17.83% 17.32% 17.94% 21.70%
3 Years* 27.00% 26.49% 27.40% 26.08%
5 Years* 26.82% -- 26.76% 24.42%
Since Inception* 22.60% 24.60% -- --
* Annualized
</TABLE>
CUMULATIVE RETURNS THROUGH MARCH 31, 2000
$5,000,000 invested at inception
[GRAPH]
<TABLE>
<CAPTION>
StocksPLUS S&P 500
Fund Index
<S> <C> <C>
5/31/1993 5,000,000 5,000,000
6/30/1993 5,027,261 5,014,650
7/31/1993 5,017,471 4,994,491
8/31/1993 5,208,380 5,183,982
9/30/1993 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
1/31/1994 5,480,662 5,442,451
2/28/1994 5,311,701 5,294,743
3/31/1994 5,077,284 5,063,892
4/30/1994 5,141,283 5,128,811
5/31/1994 5,237,282 5,212,974
6/30/1994 5,126,078 5,085,204
7/31/1994 5,325,725 5,252,202
8/31/1994 5,568,540 5,467,543
9/30/1994 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
1/31/1995 5,612,304 5,471,307
2/28/1995 5,864,102 5,684,524
3/31/1995 6,023,776 5,852,274
4/30/1995 6,219,204 6,024,624
5/31/1995 6,500,850 6,265,428
6/30/1995 6,643,179 6,410,974
7/31/1995 6,854,074 6,623,561
8/31/1995 6,900,939 6,640,187
9/30/1995 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
1/31/1996 7,949,045 7,586,813
2/29/1996 7,970,224 7,657,142
3/31/1996 8,076,117 7,730,881
4/30/1996 8,177,430 7,844,834
5/31/1996 8,365,584 8,047,152
6/30/1996 8,445,187 8,077,812
7/31/1996 8,052,904 7,720,934
8/31/1996 8,223,140 7,883,768
9/30/1996 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
1/31/1997 10,025,985 9,585,314
2/28/1997 10,100,806 9,660,463
3/31/1997 9,646,437 9,263,515
4/30/1997 10,244,078 9,816,546
5/31/1997 10,892,224 10,414,178
6/30/1997 11,344,245 10,880,733
7/31/1997 12,278,977 11,746,513
8/31/1997 11,616,167 11,088,473
9/30/1997 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
1/31/1998 12,716,721 12,164,629
2/28/1998 13,569,183 13,041,941
3/31/1998 14,253,076 13,709,819
4/30/1998 14,425,043 13,847,740
5/31/1998 14,141,803 13,609,698
6/30/1998 14,691,669 14,162,524
7/31/1998 14,528,428 14,011,693
8/31/1998 12,314,475 11,985,882
9/30/1998 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
1/31/1999 16,648,553 16,116,712
2/28/1999 16,088,153 15,615,805
3/31/1999 16,768,984 16,240,593
4/30/1999 17,436,465 16,869,592
5/31/1999 16,979,768 16,471,301
6/30/1999 17,970,000 17,385,458
7/31/1999 17,379,659 16,842,684
8/31/1999 17,285,204 16,759,312
9/30/1999 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
1/31/2000 18,343,134 17,784,881
2/29/2000 18,065,838 17,447,899
3/31/2000 19,758,181 19,154,826
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 6/01/1993, the first full month following the Fund's
Institutional Class inception on 5/14/1993, compared to the Standard and Poor's
500 Index, an unmanaged market index. The performance of the Administrative
Class (shown above) reflects the payment of a service fee in an amount not to
exceed 0.25% on an annualized basis. The Administrative Class commenced
operations on 1/07/1997. The Fund may invest in foreign securities which involve
potentially higher risks including foreign currency fluctuations and political
or economic uncertainty.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. Despite heightened volatility and a rough first couple of months in
2000, the S&P 500 Index delivered total returns of just under 18% for the 12
months ended March 31, 2000. The performance of the StocksPLUS Fund was in
line with the S&P 500 during this period.
. Short-term interest rates continued to rise as the Federal Reserve raised the
Federal Funds rate in 0.25% increments and investors anticipated additional
tightening in the near future. Rising interest rates hurt the performance of
the Fund as the duration (interest rate sensitivity) of the Fund was greater
than that of the S&P 500 futures and swaps.
. Corporate issues in the StocksPLUS Fund were negatively impacted by an
overall increase in credit yield premiums resulting from heightened credit
concerns and supply pressures.
. Mortgages were positive for relative performance, as were short option
strategies, due primarily to the extra yield provided by these holdings.
. A limited allocation to upper-tier emerging market issues also enhanced
returns as these securities benefited from improving global economic
conditions and high relative yields.
2000 Annual Report 25
<PAGE>
PIMCO Municipal Bond Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
High current income exempt from federal income tax, consistent with preservation
of capital. Capital appreciation is a secondary objective.
Portfolio:
Primarily debt securities whose interest is exempt from federal income tax.
Duration:
6.5 years
Total Net Assets:
$52.6 million
Sector Breakdown:*
[GRAPH]
Municipal Bonds and Notes 99.9%
Other 0.1%
Quality Breakdown:*
[GRAPH]
AAA 45.1%
AA 19.4%
A 13.4%
BBB 12.1
BB 10.0%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 2000
<TABLE>
<CAPTION>
Lehman Brothers Lipper General
Inst'l Class Admin. Class General Municipal Municipal
(Incep. 12/31/1997) (Incep. 9/30/1998) Bond Index Debt Fund Average
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 Year -1.81% -2.07% -0.08% -2.40%
Since Inception* 2.17% -0.84% -- --
* Annualized
</TABLE>
CUMULATIVE RETURNS THROUGH MARCH 31, 2000
$5,000,000 invested at inception
[GRAPH]
<TABLE>
<CAPTION>
Municipal Lehman Brothers
Bond Fund General Municipal
Bond Index
<S> <C> <C>
12/31/1997 5,000,000 5,000,000
1/31/1998 5,058,771 5,051,500
2/28/1998 5,035,172 5,053,016
3/31/1998 5,039,379 5,057,562
4/30/1998 5,006,296 5,034,805
5/31/1998 5,105,540 5,114,354
6/30/1998 5,122,719 5,134,299
7/31/1998 5,128,447 5,147,137
8/31/1998 5,223,548 5,226,915
9/30/1998 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
1/31/1999 5,373,214 5,387,409
2/28/1999 5,338,814 5,363,705
3/31/1999 5,343,842 5,371,213
4/30/1999 5,354,304 5,384,642
5/31/1999 5,314,853 5,353,412
6/30/1999 5,217,784 5,276,322
7/31/1999 5,228,509 5,295,317
8/31/1999 5,173,421 5,252,953
9/30/1999 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
1/31/2000 5,076,823 5,191,581
2/29/2000 5,130,397 5,251,804
3/31/2000 5,247,153 5,366,818
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 12/31/1997, the Fund's Institutional Class inception
date, compared to the Lehman Brothers General Municipal Bond Index, an unmanaged
market index. Income may be subject to state and local taxes and (if applicable)
the Alternative Minimum Tax. The performance of the Administrative Class (shown
above) reflects the payment of a service fee in an amount not to exceed 0.25% on
an annualized basis. The Administrative Class commenced operations on 9/30/1998.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. While the return of the Fund's Institutional Class shares for the one-year
period ended March 31, 2000 was less than that of the benchmark, the return
was 0.59% greater than the average of the Lipper General Municipal Debt Fund
Average.
. The Fund's duration was 6.5 years at March 31, 2000, which was lower than the
7.4-year duration of the benchmark.
. From March 31, 1999 through March 31, 2000, the municipal yield curve
flattened as shorter-term yields rose by 1.00% while long-term yields climbed
by 0.60% to 0.70%.
. The Fund maintained an above-benchmark duration during most of the fiscal
year, lowering performance due to the general rise in municipal yields.
. An underweighting of long-term maturities lowered relative returns as yields
increased the least for the longest maturities.
. Holdings of longer-term, AAA insured bonds detracted from performance as
yield premiums on these bonds widened relative to AAA general obligation
bonds.
. The Fund maintained a high average credit quality of AA during the past
fiscal year, which benefited returns as credit premiums widened amid
heightened investor focus on credit quality.
. The SEC yield after fees at March 31 was 5.34%, or a fully tax-adjusted 8.84%
under a tax rate of 39.6%.
26 PIMCO Funds
<PAGE>
PIMCO Short Duration Municipal Income Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Seeks high current income exempt from federal income tax, consistent with
preservation of capital.
Portfolio:
Primarily short and intermediate maturity municipal securities (exempt from
federal income tax).
Duration:
1.3 years
Total Net Assets:
$10.7 million
Sector Breakdown:*
[GRAPH]
Municipal Bonds and Notes 99.0%
Other 1.0%
Quality Breakdown:*
[GRAPH]
AAA 59.4%
AA 16.3%
A 17.4%
BBB 6.9%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 2000
Inst'l Class Lehman Brothers 1-Year
(Incep. 8/31/1999) Municipal Bond Index
--------------------------------------------------------------------------------
6 Months -1.88% 1.73%
Since Inception 2.19% --
[GRAPH]
CUMULATIVE RETURNS THROUGH MARCH 31, 2000
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Short Duration Lehman Brothers
Municipal Income 1-Year Municipal
Fund Bond Index
<S> <C> <C>
8/31/1999 5,000,000 5,000,000
9/30/1999 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
1/31/2000 5,077,025 5,061,792
2/29/2000 5,086,181 5,076,977
3/31/2000 5,109,575 5,098,804
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 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 Fund's primary objective is to generate a high level of interest income
that is exempt from federal income taxes, consistent with the preservation of
capital.
. From its inception on August 31, 1999 through March 31, 2000, the
Institutional Class shares of the Fund have gained 2.19% cumulatively, or
0.21% greater than the Fund's benchmark, the Lehman Brothers 1-Year Municipal
Bond Index.
. The Fund's duration was 1.3 years at March 31, 2000, which was identical to
that of its benchmark.
. From the inception date through March 31, 2000, shorter-term national
municipal yields have risen by up to 0.60%, essentially following the
Treasury yield curve.
. The Fund's NAV did not fall below $9.97 from inception through March 31,
despite the general rise in municipal yields.
. The Fund's allocations to maturities longer than the benchmark improved
returns as yields on these maturities rose less.
. An above-benchmark allocation to revenue bonds added to portfolio returns due
to their relatively high yields.
. An overweight to insured bonds detracted from performance as yield premiums
on these bonds widened.
. The Fund's average credit quality was maintained at AAA or AA+, which
improved returns as credit premiums widened amid heightened investor focus on
credit quality.
. The SEC yield after fees at March 31 was 4.18%, or a fully tax-adjusted 6.92%
under a tax rate of 39.6%.
2000 Annual Report 27
<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:
6.4 years
Total Net Assets:
$10.2 million
Sector Breakdown:*
[GRAPH]
Municipal Bonds and Notes 99.2%
Other 0.8%
Quality Breakdown:*
[GRAPH]
AAA 63.9%
AA 21.0%
A 9.6%
BB 5.5%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 2000
<TABLE>
<CAPTION>
Lehman Brothers
Inst'l Class Admin. Class California Tax-Exempt
(Incep. 8/31/1999) (Incep. 9/07/1999) Intermediate Index
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
6 Months 2.44% 2.29% 1.82%
Since Inception 3.16% 2.73% --
</TABLE>
Cumulative Returns Through March 31, 2000
$5,000,000 invested at inception
[GRAPH]
<TABLE>
<CAPTION>
California Intermed. Lehman Brothers
Municipal Bond Fund California Tax-Exempt
Intermed. Index
<S> <C> <C>
8/31/1999 5,000,000 5,000,000
9/30/1999 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
1/31/2000 5,034,390 5,021,873
2/29/2000 5,066,955 5,049,494
3/31/2000 5,158,118 5,123,722
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 8/31/1999, the Fund's Institutional Class inception
date compared to the Lehman Brothers California Tax-Exempt Intermediate 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 primary objective is to generate a high level of interest income
that is exempt from both federal and California state income taxes.
. From its inception on August 31, 1999 through March 31, 2000, the Fund's
Institutional Class shares have gained 3.16% cumulatively, or 0.69% greater
than the Fund's benchmark, the Lehman Brothers California Tax-Exempt
Intermediate Index.
. The Fund's duration was 6.4 years at March 31, 2000, which was greater than
the benchmark duration of 5.6 years.
. From the inception date through March 31, 2000, California yields rose by up
to 0.30% for shorter maturities and from 0.10% to 0.15% for intermediate
maturities. These increases were less than national municipal yield
increases.
. The Lehman Brothers California State Municipal Index was the best performing
state index for the first quarter of 2000.
. The Fund's performance was positively affected by allocations to longer
maturities (beyond 10 years) as longer maturity yields rose less than
shorter-term yields.
. Selections of longer-term insured and pre-refunded issues with call
protection were positive for performance.
. Allocations to higher rated and insured credits helped returns because
investors displayed a preference for these issues amid heightened investor
focus on credit quality.
. The Fund had a high average credit quality of AA at March 31, 2000 with
limited allocations of 6% to below-investment-grade bonds.
28 PIMCO Funds
<PAGE>
PIMCO New York Intermediate Municipal Bond Fund
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Seeks high current income exempt from federal and New York income tax. Capital
appreciation is a secondary objective.
Portfolio:
Primarily intermediate maturity municipal securities (exempt from federal and
New York income tax).
Duration:
5.4 years
Total Net Assets:
$3.0 million
Sector Breakdown:*
[GRAPH]
Municipal Bonds and Notes 96.6%
Other 3.4%
Quality Breakdown:*
[GRAPH]
AAA 67.2%
AA 14.6%
A 13.2%
BB 5.0%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 2000
Lehman Brothers
Inst'l Class New York Tax-Exempt
(Incep. 8/31/1999) Intermediate Index
--------------------------------------------------------------------------------
6 Months 1.54% 1.51%
Since Inception 1.93% --
Cumulative Returns Through March 31, 2000
$5,000,000 invested at inception
[GRAPH]
<TABLE>
<CAPTION>
New York Intermed. Lehman Brothers
Municipal Bond Fund New York Tax-Exempt
Intermed. Index
<S> <C> <C>
8/31/1999 5,000,000 5,000,000
9/30/1999 5,019,710 5,015,500
10/31/1999 4,980,249 4,991,426
11/30/1999 5,025,490 5,030,857
12/31/1999 5,006,999 5,009,727
1/31/2000 4,983,454 4,991,693
2/29/2000 5,015,826 5,018,647
3/31/2000 5,096,773 5,091,418
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The Institutional Class commenced
operations on 8/31/1999. The total return performance of the Institutional Class
since inception was 0.39%. Income may be subject to state and local taxes and
(if applicable) the Alternative Minimum Tax.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Fund's primary objective is to generate a high level of interest income
that is exempt from both federal and New York state income taxes.
. From its inception on August 31, 1999 through March 31, 2000, the
Institutional Class shares of the Fund have gained 1.93% cumulatively, or
0.11% higher than the Fund's benchmark, the Lehman Brothers New York
Tax-Exempt Intermediate Index.
. The Fund's duration was 5.4 years at March 31, 2000, which was slightly under
the benchmark duration of 5.5 years.
. From inception through March 31, 2000, the New York state yield curve
flattened, following the lead of the Treasury curve, as shorter-term yields
rose by 0.40% or more while longer term yields rose only marginally.
. The Fund's performance was positively affected by allocations to longer
maturities (beyond 10 years) as yields in this maturity range rose much less
than shorter-term yields.
. The Fund maintained a higher average credit quality of AA+ versus the
benchmark's average quality A+, which boosted results as credit premiums
widened marginally.
. The Fund's 30-day SEC yield for Institutional Class shares at March 31, 2000
was 4.49% after fees, representing a fully tax-adjusted yield of 7.98%1 that
would equal the Fund's yield if subjected fully to both Federal and New York
state income taxes.
-------------------------------
1 Assumes Federal tax rate of 39.6% and New York state tax rate of 6.85%.
Federal tax benefit is taken for New York state taxes.
2000 Annual Report 29
<PAGE>
Financial Highlights - Institutional Classes
<TABLE>
<CAPTION>
Net Asset Net Realized/ Total Dividends Dividends in
Value Unrealized Income from from Net Excess of Net
Selected Per Share Data for Beginning Net Investment Gain (Loss) on Investment Investment Investment
the Year or Period Ended: of Period Income (Loss) Investments Operations Income Income
<S> <C> <C> <C> <C> <C> <C>
Total Return Fund
Institutional Class
03/31/2000 $ 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
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
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
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
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
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
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) Ratio of expenses to average net assets excluding interest expense is 0.43%.
(c) Ratio of expenses to average net assets excluding interest expense is 0.68%.
30 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 $ (0.63) $ 9.96 2.33% $ 24,900,321 0.54%(b)
(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 (0.60) 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 $ (0.58) $ 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 (0.55) 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 $ (0.55) $ 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 (0.53) 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 $ (0.60) $ 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>
6.25% 223%
5.91 154
6.06 206
6.60 173
6.85 221
6.01 223
5.52 154
5.74 206
6.35 173
6.64 221
5.89% 142%
5.65 213
6.15 361
6.38 293
6.36+ 73
5.56 142
5.33 213
5.86 361
6.13 293
6.06+ 73
6.21% 186%
5.85 216
5.99 183
6.21 90
6.82 177
6.11 186
5.59 216
5.85+ 183
6.16% 129%
5.94 169
3.75 96
6.01+ 49
</TABLE>
2000 Annual Report See accompanying notes 31
<PAGE>
Financial Highlights - Institutional Classes (Cont.)
<TABLE>
<CAPTION>
Net Realized/ Total Dividends
Net Asset Value Unrealized Income from from Net
Beginning Net Investment Gain (Loss) on Investment Investment
Selected Per Share Data for the Year or Period Ended: of Period Income (Loss) Investments Operations Income
<S> <C> <C> <C> <C> <C>
Low Duration Fund
Institutional Class
03/31/2000 $ 10.10 $ 0.64 (a) $ (0.29)(a) $ 0.35 $ (0.63)
03/31/1999 10.18 0.65 (a) (0.02)(a) 0.63 (0.65)
03/31/1998 9.98 0.65 (a) 0.23 (a) 0.88 (0.63)
03/31/1997 9.95 0.64 0.03 0.67 (0.63)
03/31/1996 9.76 0.66 0.21 0.87 (0.68)
Administrative Class
03/31/2000 10.10 0.61 (a) (0.29)(a) 0.32 (0.60)
03/31/1999 10.18 0.62 (a) (0.02)(a) 0.60 (0.62)
03/31/1998 9.98 0.63 (a) 0.22 (a) 0.85 (0.60)
03/31/1997 9.95 0.62 0.03 0.65 (0.60)
03/31/1996 9.76 0.63 0.21 0.84 (0.65)
Low Duration Fund II
Institutional Class
03/31/2000 $ 9.95 $ 0.58 (a) $ (0.27)(a) $ 0.31 $ (0.57)
03/31/1999 10.00 0.58 (a) 0.00 (a) 0.58 (0.58)
03/31/1998 9.81 0.22 (a) 0.59 (a) 0.81 (0.56)
03/31/1997 9.82 0.62 (0.03) 0.59 (0.58)
03/31/1996 9.77 0.66 0.04 0.70 (0.60)
Administrative Class
03/31/2000 9.95 0.52 (a) (0.23)(a) 0.29 (0.55)
03/31/1999 10.00 0.56 (a) 0.00 (a) 0.56 (0.56)
02/02/1998 - 03/31/1998 10.03 0.14 (a) (0.08)(a) 0.06 (0.08)
Low Duration Fund III
Institutional Class
03/31/2000 $ 9.98 $ 0.61 (a) $ (0.32)(a) $ 0.29 $ (0.61)
03/31/1999 10.05 0.60 (a) 0.00 (a) 0.60 (0.60)
03/31/1998 9.91 0.53 (a) 0.24 (a) 0.77 (0.60)
12/31/1996 - 03/31/1997 10.00 0.15 (0.09) 0.06 (0.15)
Administrative Class
03/31/2000 9.98 0.57 (a) (0.31) 0.26 (0.58)
03/19/1999 - 03/31/1999 9.97 0.02 0.01 0.03 (0.02)
Short-Term Fund
Institutional Class
03/31/2000 $ 10.03 $ 0.59 (a) $ (0.08)(a) $ 0.51 $ (0.59)
03/31/1999 10.06 0.57 (a) (0.02)(a) 0.55 (0.57)
03/31/1998 10.00 0.62 (a) 0.06 (a) 0.68 (0.60)
03/31/1997 9.92 0.61 0.08 0.69 (0.59)
03/31/1996 9.79 0.69 0.12 0.81 (0.65)
Administrative Class
03/31/2000 10.03 0.57 (a) (0.09)(a) 0.48 (0.56)
03/31/1999 10.06 0.54 (a) (0.02)(a) 0.52 (0.54)
03/31/1998 10.00 0.59 (a) 0.07 (a) 0.66 (0.58)
03/31/1997 9.92 0.58 0.08 0.66 (0.57)
02/01/1996 - 03/31/1996 9.98 0.11 (0.07) 0.04 (0.10)
<CAPTION>
Dividends in
Excess of Net
Investment
Income
<S> <C>
Low Duration Fund
Institutional Class
03/31/2000 $ (0.01)
03/31/1999 0.00
03/31/1998 (0.02)
03/31/1997 (0.01)
03/31/1996 0.00
Administrative Class
03/31/2000 (0.01)
03/31/1999 0.00
03/31/1998 (0.02)
03/31/1997 (0.02)
03/31/1996 0.00
Low Duration Fund II
Institutional Class
03/31/2000 $ 0.00
03/31/1999 0.00
03/31/1998 (0.04)
03/31/1997 (0.02)
03/31/1996 (0.03)
Administrative Class
03/31/2000 0.00
03/31/1999 0.00
02/02/1998 - 03/31/1998 (0.01)
Low Duration Fund III
Institutional Class
03/31/2000 $ 0.00
03/31/1999 0.00
03/31/1998 0.00
12/31/1996 - 03/31/1997 0.00
Administrative Class
03/31/2000 0.00
03/19/1999 - 03/31/1999 0.00
Short-Term Fund
Institutional Class
03/31/2000 $ 0.00
03/31/1999 0.00
03/31/1998 (0.01)
03/31/1997 (0.02)
03/31/1996 (0.03)
Administrative Class
03/31/2000 0.00
03/31/1999 0.00
03/31/1998 (0.01)
03/31/1997 (0.01)
02/01/1996 - 03/31/1996 0.00
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Ratio of expenses to average net assets excluding interest expense is 0.43%.
(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%.
32 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
$ 0.00 $ 0.00 $ 0.00 $ (0.64) $ 9.81 3.56% $ 3,440,455 0.51%(b)
(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 (0.61) 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 $ (0.57) $ 9.69 3.28% $ 467,997 0.57%(e)
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 (0.55) 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 $ (0.61) $ 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 (0.58) 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 $ (0.59) $ 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 (0.56) 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
<S> <C>
6.40% 82%
6.36 245
6.39 309
6.46 240
6.88 209
6.13 82
6.09 245
6.16 309
6.21 240
6.73 209
5.88% 117%
5.79 322
5.98 335
6.31 237
6.61 225
5.30 117
5.47 322
8.53+ 335
6.20% 87%
5.94 167
5.98 307
6.00+ 155
5.79 87
6.42 167
5.88% 38%
5.66 47
6.12 48
6.12 77
6.86 215
5.67 38
5.37 47
5.86 48
5.87 77
4.44+ 215
</TABLE>
(g) Ratio of expenses to average net assets excluding interest expense is 0.68%.
2000 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 Gain (Loss) Income from from Net Excess of Net
Beginning Investment on Investment Investment Investment
Selected Per Share Data for the Year or Period Ended: of Period Income (Loss) Investments Operations Income Income
<S> <C> <C> <C> <C> <C> <C>
Money Market Fund
Institutional Class
03/31/2000 $ 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
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
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
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
High Yield Fund
Institutional Class
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
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
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
Low Duration Mortgage Fund
Institutional Class
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) Ratio of expenses to average net assets excluding interest
expense is 0.50%.
(c) Ratio of expenses to average net assets excluding interest
expense is 0.76%.
(d) Ratio of expenses to average net assets excluding interest
expense is 0.51%
34 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Ratio of Ratio of Net
Expenses Investment
Distributions Distributions Net Assets to Income (Loss)
from Net in Excess of Tax Basis Net Asset End Average to Average Portfolio
Realized Net Realized Return of Total Value End of Period Net Net Turnover
Capital Gains Capital Gains Capital Distributions of Period Total Return (000s) Assets Assets Rate
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 0.00 $ 0.00 $ 0.00 $ (0.05) $ 1.00 5.21% $ 305,016 0.35% 5.04% N/A
0.00 0.00 0.00 (0.05) 1.00 5.14 322,290 0.35 4.85 N/A
0.00 0.00 0.00 (0.05) 1.00 5.40 55,335 0.35 5.29 N/A
0.00 0.00 0.00 (0.05) 1.00 5.19 23,497 0.40 5.08 N/A
0.00 0.00 0.00 (0.02) 1.00 2.58 25,935 0.33+ 5.44+ N/A
0.00 0.00 0.00 (0.05) 1.00 4.96 9,791 0.60 4.79 N/A
0.00 0.00 0.00 (0.05) 1.00 4.93 9,273 0.60 4.44 N/A
0.00 0.00 0.00 (0.05) 1.00 5.12 749 0.60 5.04 N/A
0.00 0.00 0.00 (0.05) 1.00 4.94 12 0.66 4.83 N/A
0.00 0.00 0.00 (0.02) 1.00 2.47 10 0.61+ 5.95+ N/A
$ 0.00 $ 0.00 $ 0.00 $ (0.62) $ 9.79 1.26% $ 217,410 0.57%(b) 6.29% 320%
0.00 (0.46) 0.00 (1.10) 10.30 7.76 170,847 0.89 (b) 5.83 364
(0.06) 0.00 0.00 (0.68) 10.57 20.23 48,547 0.51 4.88 177
0.00 (0.33) 0.00 (1.01) 9.39 4.48 19,995 0.63 7.63 402
(0.50) (0.16) 0.00 (1.38) 9.96 14.83 32,511 0.56 6.80 238
0.00 0.00 0.00 (0.59) 9.79 1.01 39,808 0.82 (e) 5.82 320
0.00 (0.46) 0.00 (1.07) 10.30 7.46 11,383 1.15 (c) 5.58 364
(0.06) 0.00 0.00 (0.37) 10.57 7.60 4,957 0.76+ 4.87+ 177
$ 0.00 $ 0.00 $ 0.00 $ (0.94) $ 10.22 (0.74)% $ 1,960,171 0.50% 8.64% 39%
0.00 0.00 0.00 (0.95) 11.23 4.73 2,162,868 0.50 8.41 39
0.00 (0.09) 0.00 (1.07) 11.66 15.26 1,628,930 0.50 8.52 37
(0.13) 0.00 0.00 (1.10) 11.10 12.04 744,498 0.50 8.77 67
(0.05) 0.00 0.00 (1.06) 10.94 15.70 536,983 0.47 9.28 66
0.00 0.00 0.00 (0.91) 10.22 (0.99) 354,296 0.75 8.40 39
0.00 0.00 0.00 (0.93) 11.23 4.49 238,792 0.75 8.17 39
0.00 (0.09) 0.00 (1.04) 11.66 14.98 69,937 0.75 8.21 37
(0.13) 0.00 0.00 (1.07) 11.10 11.76 10,428 0.76 8.48 67
(0.05) 0.00 0.00 (1.03) 10.94 15.54 1,007 0.80 9.16 66
$ 0.00 $ (0.01) $ 0.00 $ (0.60) $ 9.97 3.91% $ 3,971 0.50% 5.94% 1476%
(0.03) (0.07) 0.00 (0.68) 10.19 6.27 4,128 0.50 5.66 158
(0.01) 0.00 0.00 (0.47) 10.24 6.69 3,588 0.52+ 6.07+ 593
$ 0.00 $ 0.00 $ 0.00 $ (0.62) $ 9.89 5.16% $ 4,308 1.60%(d) 6.23% 952%
0.00 (0.04) 0.00 (0.68) 10.01 5.71 4,119 2.37 (d) 6.35 198
(0.02) 0.00 0.00 (0.44) 10.13 5.86 3,748 1.81+(b) 6.30+ 486
(e) Ratio of expenses to average net assets excluding interest
expense is 0.75%.
</TABLE>
2000 Annual Report See accompanying notes 35
<PAGE>
Financial Highlights - Institutional Classes (Cont.)
<TABLE>
<CAPTION>
Net Realized/
Net Asset Unrealized Total Dividends Dividends in
Value Net Gain (Loss) Income from from Net Excess of Net
Selected Per Share Data for the Year Beginning Investment on Investment Investment Investment
or Period Ended: of Period Income (Loss) Investments Operations Income Income
<S> <C> <C> <C> <C> <C> <C>
Real Return Bond Fund
Institutional Class
03/31/2000 $ 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
Foreign Bond Fund
Institutional Class
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
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
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
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
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
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
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) Ratio of expenses to average net assets excluding interest expense is 0.50%.
(c) Ratio of expenses to average net assets excluding interest expense is 0.75%.
(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%.
36 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Ratio of Net
Distributions Distributions Ratio of Investment
from Net in Excess of Tax Basis Net Asset Net Assets Expenses to Income (Loss) Portfolio
Realized Net Realized Return of Total Value End End of Average Net to Average Turnover
Capital Gains Capital Gains Capital Distributions of Period Total Return Period (000s) Assets Net Assets Rate
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ (0.02) $ 0.00 $ 0.00 $ (0.70) $ 9.92 8.37% $ 207,826 0.53% 6.91% 253%
0.00 0.00 0.00 (0.55) 9.83 6.41 15,588 0.52 5.18 438
(0.14) 0.00 0.00 (0.65) 9.77 4.70 5,526 0.52 4.46 967
0.00 0.00 0.00 (0.08) 9.93 0.09 5,638 0.51+ 6.54+ 160
$ (0.15) $ 0.00 $ 0.00 $ (0.79) $ 10.03 1.96% $ 421,831 0.69%(b) 6.20% 330%
(0.10) (0.25) 0.00 (0.93) 10.63 7.92 530,325 0.50 5.39 376
(0.31) 0.00 0.00 (0.94) 10.74 12.64 392,198 0.50 6.32 280
(1.49) 0.00 0.00 (1.89) 10.41 17.69 234,880 0.50 7.88 984
(0.25) (0.03) 0.00 (0.87) 10.50 21.80 258,493 0.52 5.83 1234
(0.15) 0.00 0.00 (0.76) 10.03 1.70 4,824 0.97 (c) 6.01 330
(0.10) (0.25) 0.00 (0.91) 10.63 7.65 2,096 0.75 5.13 376
(0.31) 0.00 0.00 (0.91) 10.74 12.34 315 0.75 6.07 280
0.00 0.00 0.00 (0.05) 10.41 (0.72) 30 0.79+ 7.63+ 984
$ 0.00 $ 0.00 $ (0.05) $ (0.57) $ 9.01 (1.81)% $ 271,538 0.71%(d) 6.12% 301%
(0.08) 0.00 0.00 (0.60) 9.76 6.90 266,984 0.55 5.35 143
0.00 (0.19) 0.00 (0.72) 9.70 5.85 256,274 0.55 6.64 389
(0.44) 0.00 0.00 (0.88) 9.86 6.78 215,631 0.56 7.51 911
(0.21) (0.17) 0.00 (0.99) 10.05 12.04 133,833 0.58 5.88 1083
0.00 0.00 (0.05) (0.55) 9.01 (2.05) 2,238 0.92 (e) 5.91 301
(0.08) 0.00 0.00 (0.59) 9.76 6.78 1,326 0.80 5.21 143
0.00 (0.19) 0.00 (0.70) 9.70 5.57 1,548 0.80 6.39 389
(0.44) 0.00 0.00 (0.70) 9.86 2.97 346 0.78+ 5.66+ 911
$ (0.02) $ 0.00 $ 0.00 $ (0.58) $ 9.41 1.11% $ 84,926 0.61%(d) 5.92% 290%
(0.01) (0.08) 0.00 (0.61) 9.89 6.06 29,044 0.55 5.29 236
0.00 0.00 0.00 (0.05) 9.92 1.02 24,517 0.55+ 6.24+ 369
$ 0.00 $ 0.00 $ 0.00 $ (0.87) $ 8.61 27.90% $ 12,614 0.89% 10.69% 328%
0.00 (0.05) 0.00 (0.92) 7.51 (12.55) 3,641 0.85 11.08 315
(0.15) 0.00 0.00 (0.61) 9.67 3.10 3,676 0.86+ 7.21+ 695
0.00 0.00 0.00 (0.85) 8.61 27.60 13,490 1.14 10.30 328
0.00 (0.05) 0.00 (0.50) 7.51 17.88 118 1.10+ 6.24+ 315
</TABLE>
2000 Annual Report See accompanying notes 37
<PAGE>
Financial Highlights - Institutional Classes (Cont.)
<TABLE>
<CAPTION>
Net Realized/
Net Asset Unrealized Total Dividends Dividends in
Value Net Gain (Loss) Income from from Net Excess of Net
Selected Per Share Data for Beginning Investment on Investment Investment Investment
the Year or Period Ended: of Period Income (Loss) Investments Operations Income Income
<S> <C> <C> <C> <C> <C> <C>
Strategic Balanced Fund
Institutional Class
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
6/30/1999 - 03/31/2000 13.17 0.62 (a) 0.07 (a) 0.69 (0.61) 0.00
Convertible Fund
Institutional Class
03/31/2000 $ 10.00 $ 0.07 (a) $ 5.97 (a) $ 6.04 $ (0.03) $ (0.15)
StocksPLUS Fund
Institutional Class
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
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
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
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
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
08/31/1999 - 03/31/2000 $ 10.00 $ 0.25 (a) $ 0.06 (a) $ 0.31 $ (0.24) $ 0.00
Administrative Class
09/07/1999 - 03/31/2000 10.02 0.22 (a) 0.05 (a) 0.27 (0.22) 0.00
New York Intermediate Municipal Bond Fund
Institutional Class
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) If the investment manager had not reimbursed expenses, the ratio of expenses
to average net assets would have been 0.69%.
(c) If the investment manager had not reimbursed expenses, the ratio of expenses
to average net assets would have been 0.62%.
(d) If the investment manager had not reimbursed expenses, the ratio of expenses
to average net assets would have been 1.02%.
(e) If the investment manager had not reimbursed expenses, the ratio of expenses
to average net assets would have been 1.01%.
(f) If the investment manager had not reimbursed expenses, the ratio of expenses
to average net assets would have been 1.30%.
38 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Distributions Distributions
Expenses to in Excess of Tax Basis Net Asset
Realized Net Realized Return of Total Value End
Capital Gains Capital Gains Capital Distributions of Period Total Return
<S> <C> <C> <C> <C> <C>
$ (0.15) $ (0.31) $ 0.00 $ (1.20) $ 12.80 10.05%
(0.67) 0.00 0.00 (1.33) 12.76 12.36
(0.23) 0.00 0.00 (1.07) 12.60 33.40
(0.21) 0.00 0.00 (0.84) 10.32 11.83
(0.15) (0.31) 0.00 (1.07) 12.79 5.47
$ (0.09) $ 0.00 $ 0.00 $ (0.27) $ 15.77 60.66%
$ (0.97) $ (0.51) $ 0.00 $ (2.58) $ 14.15 17.82%
(1.24) 0.00 0.00 (2.06) 14.32 17.65
(1.09) 0.00 0.00 (2.50) 14.09 47.75
(0.52) 0.00 0.00 (1.79) 11.46 19.44
(1.62) (0.04) 0.00 (2.71) 11.16 34.07
(0.97) (0.51) 0.00 (2.55) 14.03 17.31
(1.24) 0.00 0.00 (2.04) 14.25 17.21
(1.09) 0.00 0.00 (2.48) 14.06 47.19
0.00 0.00 0.00 (0.15) 11.46 0.34
$ 0.00 $ 0.00 $ 0.00 $ (0.46) $ 9.47 (1.81)%
0.00 0.00 0.00 (0.44) 10.12 6.04
0.00 0.00 0.00 (0.11) 9.97 0.78
0.00 0.00 0.00 (0.44) 9.47 (2.07)
0.00 0.00 0.00 (0.21) 10.12 0.83
$ 0.00 $ 0.00 $ 0.00 $ (0.23) $ 9.99 2.19%
$ (0.02) $ 0.00 $ 0.00 $ (0.26) $ 10.05 3.16%
(0.02) 0.00 0.00 (0.24) 10.05 2.73
$ (0.02) $ 0.00 $ 0.00 $ (0.25) $ 9.94 1.93%
</TABLE>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Net Assets End Average Net to Average Net Portfolio
of Period (000s) Assets Assets Turnover Rate
$ 124,934 0.65% 6.19% 176%
97,945 0.65 7.00 82
38,806 0.65 10.84 56
10,360 0.90+ 9.72+ 95
709 0.90+ 6.48+ 176
$ 168,224 0.65% (b) 0.50% 247%
$ 620,144 0.65% 7.42% 92%
512,953 0.65 6.92 81
416,600 0.65 13.74 30
235,829 0.65 11.78 47
151,869 0.70 15.23 102
28,403 0.90 7.61 92
11,302 0.90 7.83 81
2,143 0.90 13.49 30
682 0.95+ 4.83+ 47
$ 5,684 0.50% 4.80% 145%
5,894 0.50 4.41 70
3,023 0.50+ 4.46+ 60
3,141 0.75 4.58 145
1,419 0.75+ 2.11+ 70
$ 10,725 0.39%+(c) 3.92%+ 171%
$ 8,415 0.49%+(d) 4.22%+ 357%
10 0.75+ (e) 3.95+ 357
$ 3,058 0.49%+(f) 4.00%+ 270%
2000 Annual Report See accompanying notes 39
<PAGE>
Statements of Assets and Liabilities
March 31, 2000
<TABLE>
<CAPTION>
Total Total Total Moderate
Amounts in thousands, except per share amounts Return Fund Return Fund II Return Fund III Duration Fund
<S> <C> <C> <C> <C>
Assets:
Investments, at value $ 41,494,212 $ 1,732,966 $ 841,854 $ 398,972
Cash and foreign currency 12,437 0 1,958 948
Receivable for investments sold and forward
foreign currency contracts 702,805 53,925 25,731 5,412
Receivable for Fund shares sold 112,052 11,361 258 8,004
Variation margin receivable 12,351 345 300 180
Interest and dividends receivable 375,681 14,589 7,452 3,520
Other assets 2,610 8 18 0
42,712,148 1,813,194 877,571 417,036
Liabilities:
Payable for investments purchased and forward foreign
currency contracts $ 6,321,535 346,536 $ 105,186 $ 29,112
Payable for financing transactions 4,055,744 141,278 120,847 0
Notes payable 551,828 0 0 0
Written options outstanding 45,441 1,707 835 332
Payable for Fund shares redeemed 116,224 428 3,471 47
Dividends payable 38,087 1,590 305 8
Accrued investment advisory fee 6,927 285 144 84
Accrued administration fee 5,644 285 144 67
Accrued distribution fee 1,566 10 1 0
Accrued servicing fee 758 0 0 0
Variation margin payable 14,848 0 298 113
Other liabilities 17,273 764 604 147
11,175,875 492,883 231,835 29,910
Net Assets $ 31,536,273 $ 1,320,311 $ 645,736 $ 387,126
Net Assets Consist of:
Paid in capital $ 33,008,257 $ 1,378,118 $ 685,810 $ 405,624
Undistributed (overdistributed) net investment income (57,894) (839) (794) (236)
Accumulated undistributed net realized gain (loss) (1,057,756) (50,245) (31,136) (14,745)
Net unrealized appreciation (depreciation) (356,334) (6,723) (8,144) (3,517)
$ 31,536,273 $ 1,320,311 $ 645,736 $ 387,126
Net Assets:
Institutional Class $ 24,900,321 $ 1,263,556 $ 635,592 $ 387,126
Administrative Class 3,233,785 56,755 10,144 0
Other Classes 3,402,167 0 0 0
Shares Issued and Outstanding:
Institutional Class 2,500,252 130,650 72,750 40,653
Administrative Class 324,708 5,873 1,161 0
Net Asset Value and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional Class $ 9.96 $ 9.67 $ 8.74 $ 9.52
Administrative Class 9.96 9.67 8.74 0.00
Cost of Investments Owned $ 41,850,196 $ 1,741,801 $ 851,006 $ 403,478
Cost of Foreign Currency Held $ 57,001 $ 0 $ 1,949 $ 1,264
</TABLE>
40 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Low Low Low Money Long-Term Total Return Low Duration
Duration Duration Duration Short-Term Market U.S. Gov't High Yield Mortgage Mortgage
Fund Fund II Fund III Fund Fund Fund Fund Fund Fund
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 4,680,289 $ 513,544 $ 33,635 $ 828,011 $ 661,271 $ 631,400 $ 3,109,102 $ 5,150 $ 4,557
4,533 70 0 628 1 1 0 0 492
55,920 8,366 429 3,113 0 20,535 68,806 1 0
10,471 164 0 1,381 31,748 673 60,159 0 0
45 4 0 0 0 0 0 0 0
56,136 4,250 444 6,343 862 5,994 69,303 20 36
1,673 0 0 0 0 266 0 1 1
4,809,067 526,398 34,508 839,476 693,882 658,869 3,307,370 5,172 5,086
$ 310,670 $ 51,177 $ 993 $ 23,006 $ 0 $ 20,916 $ 19,065 $ 1,018 $ 775
428,637 0 1,022 41,087 0 280,400 0 0 0
32,863 0 0 37,158 0 0 0 0 0
5,042 332 24 0 0 664 0 0 0
34,891 6,484 0 25,092 151,808 843 96,956 15 1
4,398 129 1 3,604 303 460 5,500 0 0
906 104 7 161 73 77 730 1 1
736 104 7 143 132 89 894 1 1
117 0 0 11 17 45 524 0 0
97 0 0 25 26 21 199 0 0
234 0 0 0 0 99 0 0 0
148 0 95 188 0 8 13,109 0 0
818,739 58,330 2,149 130,475 152,359 303,622 136,977 1,035 778
$ 3,990,328 $ 468,068 $ 32,359 $ 709,001 $ 541,523 $ 355,247 $ 3,170,393 $ 4,137 $ 4,308
$ 4,115,430 $ 481,219 $ 33,401 $ 713,910 $ 541,503 $ 383,902 $ 3,582,318 $ 4,165 $ 4,362
(8,390) (397) (28) 356 20 45 (1,991) 4 39
(56,070) (7,274) (665) (1,905) 0 (32,226) (132,723) (11) (7)
(60,642) (5,480) (349) (3,360) 0 3,526 (277,211) (21) (86)
$ 3,990,328 $ 468,068 $ 32,359 $ 709,001 $ 541,523 $ 355,247 $ 3,170,393 $ 4,137 $ 4,308
$ 3,440,455 $ 467,997 $ 32,349 $ 589,203 $ 305,016 $ 217,410 $ 1,960,171 $ 3,971 $ 4,308
118,874 71 10 15,137 9,791 39,808 354,296 0 0
430,999 0 0 104,661 226,716 98,029 855,926 166 0
350,876 48,290 3,350 59,236 305,016 22,215 191,695 398 435
12,124 7 1 1,522 9,791 4,068 34,648 0 0
$ 9.81 $ 9.69 $ 9.66 $ 9.95 $ 1.00 $ 9.79 $ 10.22 $ 9.97 $ 9.89
9.81 9.69 9.66 9.95 1.00 9.79 10.22 0.00 0.00
$ 4,738,588 $ 518,921 $ 33,976 $ 831,318 $ 661,271 $ 626,636 $ 3,386,320 $ 5,173 $ 4,643
$ 3,817 $ 0 $ 33 $ 607 $ 0 $ 0 $ 0 $ 0 $ 0
</TABLE>
2000 Annual Report See accompanying notes 41
<PAGE>
Statements of Assets and Liabilities (Cont.)
March 31, 2000
<TABLE>
<CAPTION>
Real Return Foreign Global
Amounts in thousands, except per share amounts Bond Fund Bond Fund Bond Fund
<S> <C> <C> <C>
Assets:
Investments, at value $ 420,273 $ 786,477 $ 363,973
Cash and foreign currency 334 9,657 6,695
Receivable for investments sold and forward foreign currency contracts 36,154 60,151 42,454
Receivable for Fund shares sold 1,205 1,567 14
Variation margin receivable 0 1,239 515
Interest and dividends receivable 4,228 13,781 6,242
Manager reimbursement receivable 0 0 0
Other assets 271 6 0
462,465 872,878 419,893
Liabilities:
Payable for investments purchased and forward foreign currency contracts $ 24,167 $ 20,917 $ 32,153
Payable for financing transactions 167,573 299,128 111,830
Notes payable 0 4,459 0
Written options outstanding 0 806 361
Payable for Fund shares redeemed 277 999 692
Dividends payable 416 499 526
Accrued investment advisory fee 55 123 61
Accrued administration fee 63 144 73
Accrued distribution fee 15 38 0
Accrued servicing fee 13 26 0
Variation margin payable 25 4 7
Other liabilities 0 210 414
192,604 327,353 146,117
Net Assets $ 269,861 $ 545,525 $ 273,776
Net Assets Consist of:
Paid in capital $ 266,093 $ 569,908 $ 303,460
Undistributed (overdistributed) net investment income 1,023 15,115 (9,757)
Accumulated undistributed net realized gain (loss) (860) (10,296) (12,199)
Net unrealized appreciation (depreciation) 3,605 (29,202) (7,728)
$ 269,861 $ 545,525 $ 273,776
Net Assets:
Institutional Class $ 207,826 $ 421,831 $ 271,538
Administrative Class 0 4,824 2,238
Other Classes 62,035 118,870 0
Shares Issued and Outstanding:
Institutional Class 20,972 42,065 30,158
Administrative Class 0 481 249
Net Asset Value and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional Class $ 9.92 $ 10.03 $ 9.01
Administrative Class 0.00 10.03 9.01
Cost of Investments Owned $ 416,252 $ 819,213 $ 373,188
Cost of Foreign Currency Held $ 136 $ 9,460 $ 6,687
</TABLE>
42 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
California New York
Emerging Short Duration Intermediate Intermediate
Global Markets Strategic Convertible StocksPLUS Municipal Municipal Municipal Municipal
Bond Fund II Bond Fund Balanced Fund Fund Fund Bond Fund Income Fund Bond Fund Bond Fund
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 115,754 $ 27,281 $ 170,878 $ 187,384 $ 1,457,437 $ 54,338 $ 10,576 $ 12,789 $ 3,018
2,576 176 425 0 4,838 0 1 201 0
12,749 37 5,207 57 10,537 0 0 500 0
10 15 90 6,160 7,924 305 0 0 0
222 0 663 0 8,757 0 0 0 0
1,353 617 2,346 795 29,774 638 148 137 48
0 0 0 17 0 0 14 14 14
3 1 5 0 0 0 0 0 0
132,667 28,127 179,614 194,413 1,519,267 55,281 10,739 13,641 3,080
$ 12,571 $ 186 $ 14,812 $ 8,984 $ 11,355 $ 2,412 $ 0 $ 3,408 $ 0
22,650 0 8,386 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0
70 0 1,022 0 1,436 0 0 0 0
57 44 183 1,269 6,102 156 0 0 0
87 25 0 0 0 75 0 1 0
21 11 55 65 535 12 2 2 1
27 10 39 43 447 16 2 2 1
6 4 17 6 394 17 0 0 0
3 0 7 3 189 10 0 0 0
0 0 52 0 0 0 0 0 0
126 0 43 12 14 0 0 0 0
35,618 280 24,616 10,382 20,472 2,698 4 3,413 2
$ 97,049 $ 27,847 $ 154,998 $ 184,031 $ 1,498,795 $ 52,583 $ 10,735 $ 10,228 $ 3,078
$ 99,203 $ 25,714 $ 151,799 $ 150,134 $ 1,414,834 $ 53,644 $ 10,751 $ 10,167 $ 3,096
889 862 1,795 5,512 38,389 4 3 1 0
(2,023) (167) (3,522) 419 (42,124) (925) (25) (12) (10)
(1,020) 1,438 4,926 27,966 87,696 (140) 6 72 (8)
$ 97,049 $ 27,847 $ 154,998 $ 184,031 $ 1,498,795 $ 52,583 $ 10,735 $ 10,228 $ 3,078
$ 84,926 $ 12,614 $ 124,934 $ 168,224 $ 620,144 $ 5,684 $ 10,725 $ 8,415 $ 3,058
0 13,490 709 0 28,403 3,141 0 10 0
12,123 1,743 29,355 15,807 850,248 43,758 10 1,803 20
9,023 1,464 9,763 10,669 43,829 600 1,074 838 308
0 1,566 55 0 2,024 332 0 1 0
$ 9.41 $ 8.61 $ 12.80 $ 15.77 $ 14.15 $ 9.47 $ 9.99 $ 10.05 $ 9.94
0.00 8.61 12.79 0.00 14.03 9.47 0.00 10.05 0.00
$ 117,333 $ 25,829 $ 172,415 $ 159,363 $ 1,461,824 $ 54,478 $ 10,570 $ 12,717 $ 3,026
$ 2,563 $ 1 $ 446 $ 0 $ 3,182 $ 0 $ 0 $ 0 $ 0
</TABLE>
2000 Annual Report See accompanying notes 43
<PAGE>
Statements of Operations
For the year or period ended March 31, 2000
<TABLE>
<CAPTION>
Total Total Total Moderate
Amounts in thousands Return Fund Return Fund II Return Fund III Duration Fund
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 1,949,659 $ 76,685 $ 38,263 $ 22,724
Dividends 14,565 0 321 63
Miscellaneous income 626 0 0 8
Total Income 1,964,850 76,685 38,584 22,795
Expenses:
Investment advisory fees 72,342 2,998 1,435 860
Administration fees 58,765 2,998 1,436 688
Distribution and/or servicing fees - Administrative Class 6,891 126 9 0
Distribution and/or servicing fees - Other Classes 18,157 0 0 0
Trustees' fees 189 8 4 2
Organization costs 0 0 0 0
Interest expense 30,200 39 55 73
Miscellaneous expense 0 0 0 0
Total Expenses 186,544 6,169 2,939 1,623
Reimbursement by manager 0 0 0 0
Net Expenses 186,544 6,169 2,939 1,623
Net Investment Income 1,778,306 70,516 35,645 21,172
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (499,631) (30,402) (7,353) (4,127)
Net realized gain (loss) on futures contracts and written options (365,560) (12,376) (15,799) (7,554)
Net realized gain (loss) on foreign currency transactions 17,803 0 (204) 393
Net change in unrealized appreciation (depreciation) on investments (260,654) (9,883) (10,475) (4,513)
Net change in unrealized appreciation (depreciation) on
futures contracts and written options 32,658 2,781 2,016 1,478
Net change in unrealized appreciation (depreciation) on
translation of assets and liabilities denominated in foreign
currencies (14,142) 0 (34) (57)
Net Gain (Loss) (1,089,526) (49,880) (31,849) (14,380)
Net Increase (Decrease) in Assets
Resulting from Operations $ 688,780 $ 20,636 $ 3,796 $ 6,792
</TABLE>
44 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Low Low Low Money Long-Term Total Return Low Duration
Duration Fund Duration Duration Fund Short-Term Market U.S. Gov't High Yield Mortgage Mortgage
Fund Fund II Fund III Fund Fund Fund Fund Fund Fund
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 282,089 $ 29,672 $ 1,869 $ 42,026 $ 27,418 $ 23,730 $ 313,448 $ 259 $ 327
7,439 119 0 0 0 0 9,839 0 0
59 0 0 2 0 0 48 0 0
289,587 29,791 1,869 42,028 27,418 23,730 323,335 259 327
10,481 1,155 69 1,611 755 863 8,797 10 10
8,469 1,155 69 1,446 1,326 1,008 10,201 10 10
308 1 0 15 23 99 773 0 0
2,197 0 0 364 377 717 7,519 0 0
28 3 0 4 3 2 23 0 0
0 0 0 0 0 0 0 0 1
3,099 339 15 1,214 5 236 0 1 46
0 0 0 0 0 0 0 0 0
24,582 2,653 153 4,654 2,489 2,925 27,313 21 67
0 0 0 0 0 0 0 0 0
24,582 2,653 153 4,654 2,489 2,925 27,313 21 67
265,005 27,138 1,716 37,374 24,929 20,805 296,022 238 260
(36,229) (5,480) (443) (1,929) 0 (20,325) (70,452) 0 35
(9,212) 677 (41) 0 0 (4,734) 0 (6) 0
(2,503) 0 0 153 0 0 0 0 0
(72,657) (7,232) (408) (3,284) 0 9,491 (263,887) (80) (86)
(2,504) (229) (7) 0 0 (1,533) 0 2 0
(3) 0 (1) (25) 0 0 0 0 0
(123,108) (12,264) (900) (5,085) 0 (17,101) (334,339) (84) (51)
$ 141,897 $ 14,874 $ 816 $ 32,289 $ 24,929 $ 3,704 $ (38,317) $ 154 $ 209
</TABLE>
2000 Annual Report See accompanying notes 45
<PAGE>
Statements of Operations (Cont.)
For the year or period ended March 31, 2000
<TABLE>
<CAPTION>
Real Return Foreign Global
Amounts in thousands Bond Fund Bond Fund Bond Fund
<S> <C> <C> <C>
Investment Income:
Interest $ 8,522 $ 40,038 $ 18,615
Dividends 0 99 11
Miscellaneous income 0 0 0
Total Income 8,522 40,137 18,626
Expenses:
Investment advisory fees 286 1,455 682
Administration fees 334 1,669 819
Distribution and/or servicing fees - Administrative Class 0 11 7
Distribution and/or servicing fees - Other Classes 179 671 0
Trustees' fees 1 4 2
Organization costs 2 0 0
Interest expense 31 1,107 443
Miscellaneous expense 0 0 0
Total Expenses 833 4,917 1,953
Reimbursement by manager 0 0 0
Net Expenses 833 4,917 1,953
Net Investment Income 7,689 35,220 16,673
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 405 (9,133) (10,346)
Net realized gain (loss) on futures contracts and written options (210) 389 (115)
Net realized gain (loss) on foreign currency transactions 122 13,736 (8,510)
Net change in unrealized appreciation (depreciation) on investments 4,115 (25,580) (5,743)
Net change in unrealized appreciation (depreciation) on
futures contracts and written options (173) 1,514 630
Net change in unrealized appreciation (depreciation) on
translation of assets and liabilities denominated in foreign currencies (220) (7,672) 2,494
Net Gain (Loss) 4,039 (26,746) (21,590)
Net Increase (Decrease) in Assets
Resulting from Operations $ 11,728 $ 8,474 $ (4,917)
</TABLE>
46 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
California New York
Emerging Short Duration Intermediate Intermediate
Global Markets Strategic Convertible StocksPLUS Municipal Municipal Municipal Municipal
Bond Fund II Bond Fund Balanced Fund Fund Fund Bond Fund Income Fund Bond Fund Bond Fund
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 3,723 $ 2,224 $ 9,071 $ 191 $ 115,401 $ 2,988 $ 267 $ 120 $ 79
11 0 40 572 219 0 0 0 0
0 0 4 7 35 0 1 0 0
3,734 2,224 9,115 770 115,655 2,988 268 120 79
143 87 527 266 5,710 141 12 6 5
192 79 353 173 4,784 189 12 7 4
0 22 1 0 95 6 0 0 0
114 12 139 35 6,124 333 0 1 0
0 0 1 0 9 0 0 0 0
0 0 0 20 0 0 14 14 14
29 12 0 0 96 5 0 0 0
0 0 0 0 0 0 0 0 0
478 212 1,021 494 16,818 674 38 28 23
0 0 0 (17) 0 0 (14) (14) (14)
478 212 1,021 477 16,818 674 24 14 9
3,256 2,012 8,094 293 98,837 2,314 244 106 70
(1,702) 1,273 (1,099) 7,735 (1,165) (919) (25) (5) (4)
(137) 0 104 0 37,328 0 0 0 0
1,015 (19) 721 86 2,593 0 0 0 0
(1,078) 2,015 (1,574) 28,021 (3,086) (2,965) 6 72 (8)
517 0 6,078 0 90,165 0 0 0 0
(242) (14) 27 (55) 171 0 0 0 0
(1,627) 3,255 4,257 35,787 126,006 (3,884) (19) 67 (12)
$ 1,629 $ 5,267 $ 12,351 $ 36,080 $ 224,843 $ (1,570) $ 225 $ 173 $ 58
</TABLE>
2000 Annual Report See accompanying notes 47
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Amounts in thousands Total Return Fund Total Return Fund II
Year Ended Year Ended Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 2000 March 31, 1999 March 31, 2000 March 31, 1999
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 1,778,306 $ 1,285,330 $ 70,516 $ 47,526
Net realized gain (loss) (847,388) 472,416 (42,778) 13,185
Net change in unrealized appreciation (depreciation) (242,138) (239,440) (7,102) (5,801)
Net increase (decrease) resulting from operations 688,780 1,518,306 20,636 54,910
Distributions to Shareholders:
From net investment income
Institutional Class (1,382,515) (1,140,361) (67,517) (44,589)
Administrative Class (158,773) (62,402) (2,814) (2,906)
Other Classes (159,950) (83,130) 0 0
In excess of net investment income
Institutional Class (59,361) 0 (172) 0
Administrative Class (6,817) 0 (7) 0
Other Classes (6,868) 0 0 0
From net realized capital gains
Institutional Class 0 (438,875) 0 (14,103)
Administrative Class 0 (31,973) 0 (1,325)
Other Classes 0 (41,716) 0 0
In excess of net realized capital gains
Institutional Class 0 (329,261) 0 (11,297)
Administrative Class 0 (23,987) 0 (1,061)
Other Classes 0 (31,297) 0 0
Total Distributions (1,774,284) (2,183,002) (70,510) (75,281)
Fund Share Transactions:
Receipts for shares sold
Institutional Class 9,137,242 9,217,995 653,040 496,483
Administrative Class 2,193,159 1,767,082 31,950 79,589
Other Classes 2,171,970 1,709,684 0 0
Issued as reinvestment of distributions
Institutional Class 1,172,270 1,621,248 55,668 64,838
Administrative Class 113,239 79,793 2,786 5,036
Other Classes 128,441 127,090 0 0
Cost of shares redeemed
Institutional Class (6,242,527) (5,071,068) (384,235) (131,415)
Administrative Class (953,360) (296,106) (30,450) (42,493)
Other Classes (1,223,161) (458,229) 0 0
Net increase (decrease) resulting from Fund share
transactions 6,497,273 8,697,489 328,759 472,038
Total Increase (Decrease) in Net Assets 5,411,769 8,032,793 278,885 451,667
Net Assets:
Beginning of period 26,124,504 18,091,711 1,041,426 589,759
End of period * $ 31,536,273 $ 26,124,504 $ 1,320,311 $ 1,041,426
*Including net undistributed (overdistributed)
investment income of: $ (57,894) $ (77,068) $ (839) $ (185)
<CAPTION>
Amounts in thousands Total Return Fund III
Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 2000 March 31, 1999
<S> <C> <C>
Operations:
Net investment income (loss) $ 35,645 $ 24,451
Net realized gain (loss) (23,356) 9,463
Net change in unrealized appreciation (depreciation) (8,493) (2,710)
Net increase (decrease) resulting from operations 3,796 31,204
Distributions to Shareholders:
From net investment income
Institutional Class (34,948) (24,338)
Administrative Class (210) (80)
Other Classes 0 0
In excess of net investment income
Institutional Class (514) 0
Administrative Class (3) 0
Other Classes 0 0
From net realized capital gains
Institutional Class 0 (10,085)
Administrative Class 0 (44)
Other Classes 0 0
In excess of net realized capital gains
Institutional Class 0 (10,226)
Administrative Class 0 (44)
Other Classes 0 0
Total Distributions (35,675) (44,817)
Fund Share Transactions:
Receipts for shares sold
Institutional Class 246,232 175,032
Administrative Class 8,282 1,618
Other Classes 0 0
Issued as reinvestment of distributions
Institutional Class 32,584 40,765
Administrative Class 195 151
Other Classes 0 0
Cost of shares redeemed
Institutional Class (99,748) (79,250)
Administrative Class (40) (20)
Other Classes 0 0
Net increase (decrease) resulting from Fund share
transactions 187,505 138,296
Total Increase (Decrease) in Net Assets 155,626 124,683
Net Assets:
Beginning of period 490,110 365,427
End of period * $ 645,736 $ 490,110
*Including net undistributed (overdistributed)
investment income of: $ (794) $ (488)
</TABLE>
48 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Moderate Duration Fund Low Duration Fund Low Duration Fund II
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
March 31, 2000 March 31, 1999 March 31, 2000 March 31, 1999 March 31, 2000 March 31, 1999
<S> <C> <C> <C> <C> <C>
$ 21,172 $ 16,161 $ 265,005 $ 217,276 $ 27,138 $ 24,509
(11,288) 2,537 (47,944) 4,149 (4,803) (622)
(3,092) (1,392) (75,164) (10,418) (7,461) 140
6,792 17,306 141,897 211,007 14,874 24,027
(20,651) (16,162) (229,827) (194,128) (26,955) (23,889)
0 0 (7,443) (7,256) (11) (618)
0 0 (23,729) (15,906) 0 0
(532) 0 (3,479) 0 (132) 0
0 0 (112) 0 0 0
0 0 (359) 0 0 0
0 (2,339) 0 (3,587) 0 0
0 0 0 (157) 0 0
0 0 0 (389) 0 0
0 (4,241) 0 (15,011) 0 (1,940)
0 0 0 (657) 0 (98)
0 0 0 (1,627) 0 0
(21,183) (22,742) (264,949) (238,718) (27,098) (26,545)
200,422 192,700 2,852,869 2,244,772 136,132 87,842
0 0 87,882 160,036 251 22,291
0 0 534,201 667,128 0 0
20,913 20,722 199,668 178,085 25,816 24,013
0 0 7,388 8,030 12 719
0 0 18,941 14,872 0 0
(137,218) (129,738) (2,872,755) (1,790,902) (96,194) (96,356)
0 0 (100,890) (85,080) (22,782) (194)
0 0 (485,171) (499,621) 0 0
84,117 83,684 242,133 897,320 43,235 38,315
69,726 78,248 119,081 869,609 31,011 35,797
317,400 239,152 3,871,247 3,001,638 437,057 401,260
$ 387,126 $ 317,400 $ 3,990,328 $ 3,871,247 $ 468,068 $ 437,057
$ (236) $ (521) $ (8,390) $ (4,007) $ (397) $ (172)
<CAPTION>
Low Duration Fund III Short-Term Fund
Year Ended Year Ended Year Ended Year Ended
March 31, 2000 March 31, 1999 March 31, 2000 March 31, 1999
<S> <C> <C> <C>
$ 1,716 $ 1,473 $ 37,374 $ 25,972
(484) (46) (1,776) 217
(416) 14 (3,309) (613)
816 1,441 32,289 25,576
(1,701) (1,473) (31,112) (22,390)
(1) 0 (342) (360)
0 0 (5,911) (3,228)
(13) 0 0 0
0 0 0 0
0 0 0 0
0 0 0 (110)
0 0 0 (3)
0 0 0 (21)
0 (174) 0 (425)
0 0 0 (10)
0 0 0 (80)
(1,715) (1,647) (37,365) (26,627)
12,807 2,570 1,202,372 860,075
46 7 17,721 27,827
0 0 138,529 157,205
1,702 1,637 21,902 16,198
1 0 234 301
0 0 4,967 2,859
(7,810) (1,349) (1,126,670) (552,459)
(43) 0 (6,533) (29,487)
0 0 (140,433) (89,676)
6,703 2,865 112,089 392,843
5,804 2,659 107,013 391,792
26,555 23,896 601,988 210,196
$ 32,359 $ 26,555 $ 709,001 $ 601,988
$ (28) $ (14) $ 356 $ 343
</TABLE>
2000 Annual Report See accompanying notes 49
<PAGE>
Statements of Changes in Net Assets (Cont.)
<TABLE>
<CAPTION>
Amounts in thousands Money Market Fund Long-Term U.S. Gov't Fund High Yield Fund
----------------------- ------------------------- -----------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
March 31, March 31, March 31, March 31, March 31, March 31,
Increase (Decrease) in Net Assets from: 2000 1999 2000 1999 2000 1999
<S> <C> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 24,929 $ 11,632 $ 20,805 $ 9,135 $ 296,022 $ 206,013
Net realized gain (loss) 0 0 (25,059) (505) (70,452) (5,689)
Net change in unrealized appreciation (depreciation) 0 0 7,958 (5,884) (263,887) (88,818)
Net increase (decrease) resulting from operations 24,929 11,632 3,704 2,746 (38,317) 111,506
Distributions to Shareholders:
From net investment income
Institutional Class (14,268) (3,682) (13,162) (6,013) (199,017) (148,151)
Administrative Class (431) (182) (2,387) (335) (25,769) (10,883)
Other Classes (10,224) (7,771) (5,222) (2,789) (68,953) (44,450)
In excess of net investment income
Institutional Class 0 0 0 0 (1,453) (1,916)
Administrative Class 0 0 0 0 (188) (141)
Other Classes 0 0 0 0 (503) (573)
From net realized capital gains
Institutional Class 0 0 0 0 0 0
Administrative Class 0 0 0 0 0 0
Other Classes 0 0 0 0 0 0
In excess of net realized capital gains
Institutional Class 0 0 0 (4,038) 0 0
Administrative Class 0 0 0 (257) 0 0
Other Classes 0 0 0 (3,303) 0 0
Tax basis return of capital
Institutional Class 0 0 0 0 0 0
Administrative Class 0 0 0 0 0 0
Other Classes 0 0 0 0 0 0
Total Distributions (24,923) (11,635) (20,771) (16,735) (295,883) (206,114)
Fund Share Transactions:
Receipts for shares sold
Institutional Class 382,805 808,199 170,823 187,435 1,221,190 1,188,947
Administrative Class 45,030 40,192 47,739 9,432 255,416 211,212
Other Classes 6,791,637 5,353,575 66,187 114,014 597,715 589,193
Issued as reinvestment of distributions
Institutional Class 14,008 2,847 10,760 8,444 176,340 136,088
Administrative Class 426 177 2,386 587 25,317 10,049
Other Classes 6,923 5,275 3,859 4,587 40,061 26,142
Cost of shares redeemed
Institutional Class (414,090) (544,088) (124,451) (65,866) (1,380,777) (721,757)
Administrative Class (44,939) (31,845) (20,024) (3,111) (135,307) (48,081)
Other Classes (6,778,173) (5,252,531) (66,603) (34,334) (518,612) (284,595)
Net increase (decrease) resulting from Fund share
transactions 3,627 381,801 90,676 221,188 281,343 1,107,198
Total Increase (Decrease) in Net Assets 3,633 381,798 73,609 207,199 (52,857) 1,012,590
Net Assets:
Beginning of period 537,890 156,092 281,638 74,439 3,223,250 2,210,660
End of period * $ 541,523 $ 537,890 $ 355,247 $ 281,638 $ 3,170,393 $ 3,223,250
*Including net undistributed (overdistributed)
investment income of: $ 20 $ 14 $ 45 $ 100 $ (1,991) $ (2,284)
</TABLE>
50 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Total Return Mortgage Fund Low Duration Mortgage Fund Real Return Bond Fund Foreign Bond Fund Global Bond Fund
-------------------------- -------------------------- ----------------------- ----------------------- -----------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
March 31, March 31, March 31, March 31, March 31, March 31, March 31, March 31, March 31, March 31,
2000 1999 2000 1999 2000 1999 2000 1999 2000 1999
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 238 $ 221 $ 260 $ 246 $ 7,689 $ 695 $ 35,220 $ 27,910 $ 16,673 $ 14,277
(6) 17 35 (2) 317 131 4,992 5,073 (18,971) 2,111
(78) (4) (86) (28) 3,722 (46) (31,738) 5,504 (2,619) 1,023
154 234 209 216 11,728 780 8,474 38,487 (4,917) 17,411
(232) (215) (260) (247) (5,631) (358) (29,183) (25,130) (13,418) (9,599)
0 0 0 0 0 0 (256) (64) (139) (42)
(6) (6) 0 0 (1,905) (309) (5,738) (2,866) 0 0
0 0 0 0 0 (50) 0 0 (1,627) (4,449)
0 0 0 0 0 0 0 0 (17) (19)
0 0 0 0 0 (44) 0 0 0 0
(0) (12) 0 0 (226) (3) (3,818) (4,309) 0 (2,103)
0 0 0 0 0 0 (40) (14) 0 (9)
0 0 0 0 (67) (4) (967) (686) 0 0
(3) (23) 0 (16) 0 0 (2,885) (10,785) 0 0
0 0 0 0 0 0 (31) (36) 0 0
0 (1) 0 0 0 0 (731) (1,716) 0 0
0 0 0 0 0 0 0 0 (1,534) 0
0 0 0 0 0 0 0 0 (16) 0
0 0 0 0 0 0 0 0 0 0
(241) (257) (260) (263) (7,829) (768) (43,649) (45,606) (16,751) (16,221)
51 313 27 174 197,599 11,606 178,740 289,812 90,144 70,516
0 0 0 0 0 0 4,784 2,200 7,497 1,116
176 178 0 0 55,389 13,163 76,013 67,890 0 0
235 249 261 263 4,405 354 28,907 29,323 10,736 12,222
0 0 0 0 0 0 324 115 172 70
5 7 0 0 1,416 253 6,155 4,443 0 0
(342) (1) (48) (19) (12,861) (1,921) (286,997) (174,844) (74,885) (73,227)
0 0 0 0 0 0 (2,130) (507) (6,530) (1,398)
(212) 0 0 0 (8,197) (3,138) (45,879) (20,336) 0 0
(87) 746 240 418 237,751 20,317 (40,083) 198,096 27,134 9,299
(174) 723 189 371 241,650 20,329 (75,258) 190,977 5,466 10,489
4,311 3,588 4,119 3,748 28,211 7,882 620,783 429,806 268,310 257,821
$ 4,137 $ 4,311 $ 4,308 $ 4,119 $ 269,861 $ 28,211 $ 545,525 $ 620,783 $ 273,776 $ 268,310
$ 4 $ 2 $ 39 $ 5 $ 1,023 $ (13) $ 15,115 $ 8,423 $ (9,757) $ (3,116)
</TABLE>
2000 Annual Report See accompanying notes 51
<PAGE>
Statements of Changes in Net Assets (Cont.)
<TABLE>
<CAPTION>
Amounts in thousands Global Bond Fund II Emerging Markets Bond Fund
Year Ended Year Ended Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 2000 March 31, 1999 March 31, 2000 March 31, 1999
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 3,256 $ 2,125 $ 2,012 $ 464
Net realized gain (loss) (824) 75 1,254 (364)
Net change in unrealized appreciation (depreciation) (803) 200 2,001 (652)
Net increase (decrease) resulting from operations 1,629 2,400 5,267 (552)
Distributions to Shareholders:
From net investment income
Institutional Class (2,569) (1,435) (968) (388)
Administrative Class 0 0 (914) (7)
Other Classes (646) (683) (129) (69)
In excess of net investment income
Institutional Class (41) 0 0 0
Administrative Class 0 0 0 0
Other Classes (11) 0 0 0
From net realized capital gains
Institutional Class 0 (42) 0 0
Administrative Class 0 0 0 0
Other Classes 0 (20) 0 0
In excess of net realized capital gains
Institutional Class (95) (220) 0 (23)
Administrative Class 0 0 0 (1)
Other Classes (26) (107) 0 (4)
Total Distributions (3,388) (2,507) (2,011) (492)
Fund Share Transactions:
Receipts for shares sold
Institutional Class 59,618 4,100 16,701 794
Administrative Class 0 0 25,789 101
Other Classes 4,394 3,958 979 959
Issued in reorganization
Institutional Class 0 0 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 2,526 1,643 888 397
Administrative Class 0 0 915 8
Other Classes 545 641 73 45
Cost of shares redeemed
Institutional Class (5,204) (1,175) (9,797) (346)
Administrative Class 0 0 (15,204) 0
Other Classes (5,615) (8,418) (311) (789)
Net increase (decrease) resulting from Fund share
transactions 56,264 749 20,033 1,169
Total Increase (Decrease) in Net Assets 54,505 642 23,289 125
Net Assets:
Beginning of period 42,544 41,902 4,558 4,433
End of period * $ 97,049 $ 42,544 $ 27,847 $ 4,558
*Including net undistributed (overdistributed) investment
income of: $ 889 $ (41) $ 862 $ 0
</TABLE>
52 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Short California New York
Duration Intermediate Intermediate
Convertible Municipal Municipal Municipal
Strategic Balanced Fund Fund StockPLUS Fund Municipal Bond Fund Income Fund Bond Fund Bond Fund
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Period from Period from Period from
March 31, March 31, March 31, March 31, March 31, March 31, March 31, August 31, August 31, August 31,
2000 1999 2000 2000 1999 2000 1999 1999 to 1999 to 1999 to
March 31, March 31, March 31,
2000 2000 2000
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 8,094 $ 3,531 $ 293 $ 98,837 $ 56,693 $ 2,314 $ 1,602 $ 244 $ 106 $ 70
(274) 3,599 7,821 38,756 107,476 (919) (6) (25) (5) (4)
4,531 (31) 27,966 87,250 (10,410) (2,965) 2,835 6 72 (8)
12,351 7,099 36,080 224,843 153,759 (1,570) 4,431 225 173 58
(7,057) (3,137) (276) (45,176) (26,793) (244) (205) (241) (97) (70)
(25) 0 0 (3,216) (392) (115) (8) 0 0 0
(1,345) (7) (17) (59,577) (23,747) (1,949) (1,389) 0 (8) 0
0 0 (1,195) 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0
0 0 (76) 0 0 0 (2) 0 0 0
(1,427) (3,351) (577) (37,300) (37,459) 0 0 0 0 0
(7) 0 0 (2,793) (609) 0 0 0 0 0
(347) (7) (42) (55,442) (38,807) 0 0 0 0 0
(2,868) 0 0 (19,356) 0 0 0 0 (6) (6)
(13) 0 0 (1,450) 0 0 0 0 0 0
(698) 0 0 (28,771) 0 0 0 0 (1) 0
(13,787) (6,502) (2,183) (253,081) (127,807) (2,308) (1,604) (241) (112) (76)
8,040 55,153 176,112 218,329 204,651 4,203 5,971 10,500 8,840 3,000
956 0 0 63,727 9,414 3,032 1,529 0 10 0
12,505 164 14,391 512,940 482,821 16,283 10,783 10 1,889 20
35,908 0 0 0 0 0 0 0 0 0
30,872 0 0 0 0 0 47,296 0 0 0
7,091 4,030 1,984 99,393 61,000 239 200 241 91 76
45 0 0 7,404 978 113 8 0 0 0
2,065 14 120 133,688 54,076 1,286 953 0 12 0
(26,925) (640) (41,632) (201,504) (181,983) (4,329) (3,365) 0 (556) 0
(293) 0 0 (52,930) (1,643) (1,268) (112) 0 0 0
(11,948) (6) (841) (455,756) (131,236) (21,656) (10,555) 0 (119) 0
58,316 58,715 150,134 325,291 498,078 (2,097) 52,708 10,751 10,167 3,096
56,880 59,312 184,031 297,053 524,030 (5,975) 55,535 10,735 10,228 3,078
98,118 38,806 0 1,201,742 677,712 58,558 3,023 0 0 0
$ 154,998 $ 98,118 $ 184,031 $1,498,795 $1,201,742 $ 52,583 $ 58,558 $ 10,735 $ 10,228 $ 3,078
$ 1,795 $ 2,185 $ 5,512 $ 38,390 $ 54,973 $ 4 $ (2) $ 3 $ 1 $ 0
</TABLE>
2000 Annual Report See accompanying notes 53
<PAGE>
Statements of Cash Flows
<TABLE>
<CAPTION>
Long-Term
U.S. Gov't Real Return Foreign Global Global
Amounts in thousands Fund Bond Fund Bond Fund Bond Fund Bond Fund II
Increase (Decrease) in Cash and Foreign Currency from:
<S> <C> <C> <C> <C> <C>
Financing Activities
Sales of Fund shares $ 285,487 $ 251,988 $ 260,311 $ 97,630 $ 64,097
Redemptions of Fund shares (212,980) (20,842) (336,496) (81,197) (10,771)
Cash distributions paid (3,610) (1,639) (8,373) (5,684) (250)
Increase (decrease) from financing transactions 178,913 143,379 (164,666) (16,350) 2,870
Net increase (decrease) from financing activities 247,810 372,886 (249,224) (5,601) 55,946
Operating Activities
Purchases of long-term securities and foreign currency (1,882,732) (818,669) (3,194,641) (1,192,329) (273,842)
Proceeds from sales of long-term securities and foreign 1,627,816 450,648 3,407,402 1,216,008 218,865
currency
Purchases of short-term securities (net) (12,616) (5,486) 36,865 5,967 (999)
Net investment income 20,805 7,689 35,220 16,673 3,256
Change in other receivables/payables (net) (1,082) (7,622) (25,964) (34,023) (778)
Net increase (decrease) from operating activities (247,809) (373,440) 258,882 12,296 (53,498)
Net Increase in Cash and Foreign Currency 1 (554) 9,658 6,695 2,448
Cash and Foreign Currency
Beginning of period 0 888 0 0 128
End of period $ 1 $ 334 $ 9,658 $ 6,695 $ 2,576
</TABLE>
54 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 47.3%
--------------------------------------------------------------------------------
Banking & Finance 31.6%
Abbey National Capital Trust I
8.963% due 12/29/2049 $23,400 $23,905
Abbey National PLC
6.700% due 06/29/2049 5,000 4,546
Abbey National Treasury Service
6.625% due 05/23/2001 240 240
ABN AMRO Mortgage Corp.
7.250% due 05/31/2005 150 148
Aetna, Inc.
6.750% due 08/15/2001 250 247
7.250% due 08/15/2023 50 44
Ahmanson (H.F.) & Co.
7.650% due 04/15/2000 175 175
Allstate Corp.
6.750% due 05/15/2018 280 246
6.900% due 05/15/2038 77,200 65,781
American Express
8.500% due 08/15/2001 350 356
5.625% due 01/22/2004 8,700 8,179
6.250% due 08/10/2005 1,000 981
American General Finance
7.250% due 04/15/2000 500 500
6.270% due 06/09/2000 800 799
5.875% due 07/01/2000 75 75
6.050% due 07/02/2001 3,000 2,953
7.450% due 07/01/2002 200 200
6.250% due 12/18/2002 1,165 1,129
6.375% due 03/01/2003 350 340
8.125% due 03/15/2046 270 258
American Health Properties, Inc.
7.050% due 01/15/2002 700 676
Anthem Insurance
9.000% due 04/01/2027 210 196
AON Capital Trust `A'
8.205% due 01/01/2027 725 691
Aristar, Inc.
7.375% due 09/01/2004 20,000 19,786
Associates Corp. of North America
6.000% due 06/15/2000 2,684 2,679
6.310% due 06/16/2000 500 500
6.250% due 09/15/2000 200 199
6.625% due 05/15/2001 1,300 1,291
6.700% due 05/29/2001 100 99
6.750% due 07/15/2001 24,000 23,834
7.000% due 07/23/2001 500 499
6.210% due 08/27/2001 (d) 13,500 13,494
6.450% due 10/15/2001 23,600 23,303
7.500% due 04/15/2002 185 185
6.500% due 07/15/2002 750 736
5.750% due 11/01/2003 4,875 4,619
5.800% due 04/20/2004 150 141
Associates First Capital Corp.
6.000% due 12/01/2002 500 483
AT&T Capital Corp.
7.500% due 11/15/2000 5,000 5,014
6.730% due 12/01/2000 (d) 1,900 1,908
6.875% due 01/16/2001 230 230
6.800% due 02/01/2001 24,900 24,836
6.250% due 05/15/2001 19,443 19,245
7.000% due 08/15/2001 16,600 16,539
7.110% due 09/13/2001 (d) 1,030 1,027
6.900% due 01/30/2002 1,000 992
6.750% due 02/04/2002 1,925 1,904
6.310% due 04/23/2002 (d) 74,000 74,208
AVCO Financial Services
6.350% due 09/15/2000 100 100
7.375% due 08/15/2001 300 300
Banco Latinoamericano SA
6.500% due 04/02/2001 950 944
Banco Nacional de Comercio Exterior
8.000% due 04/14/2000 4,600 4,598
7.500% due 07/01/2000 2,000 2,005
7.250% due 02/02/2004 15,050 14,373
Banesto Delaware
8.250% due 07/28/2002 28,900 29,355
Bank of Hawaii
6.875% due 06/01/2003 750 733
Bank of Tokyo - Mitsubishi
8.400% due 04/15/2010 112,000 113,864
Bank One Corp.
6.086% due 04/19/2001 (d) 2,000 2,006
6.169% due 09/04/2001 (d) 14,000 13,977
6.281% due 06/26/2002 (d) 4,000 3,997
BankAmerica Corp.
5.375% due 04/15/2000 750 750
6.160% due 02/26/2001 (d) 3,000 3,001
6.170% due 03/05/2001 (d) 44,000 43,954
6.173% due 02/20/2002 (d) 35,180 35,110
8.125% due 06/15/2002 350 354
7.750% due 07/15/2002 360 363
7.200% due 09/15/2002 1,000 995
7.500% due 10/15/2002 1,200 1,203
6.850% due 03/01/2003 65 64
6.875% due 06/01/2003 100 98
6.375% due 05/15/2005 1,000 948
7.125% due 05/01/2006 500 490
8.375% due 05/01/2007 2 2
9.375% due 09/15/2009 12,950 14,387
7.800% due 02/15/2010 84,000 84,805
8.570% due 11/15/2024 125 140
BankBoston Corp.
6.125% due 03/15/2002 12,500 12,172
Bankers Trust
8.090% due 12/01/2026 275 266
Bankers Trust Corp.
9.400% due 03/01/2001 385 392
6.750% due 10/03/2001 500 496
8.125% due 05/15/2002 300 303
6.066% due 07/03/2002 (d) 10,000 9,972
7.125% due 07/31/2002 150 148
6.200% due 05/11/2003 (d) 82,800 82,775
6.000% due 10/15/2008 500 448
Banponce Financial Corp.
6.463% due 11/13/2001 13,000 12,756
Bayerische Landesbank NY
0.000% due 05/17/2000 (d) 306,000 300,370
6.200% due 02/09/2006 250 234
Bear Stearns Co., Inc.
6.750% due 08/15/2000 50 50
6.500% due 01/08/2001 (d) 8,100 8,134
6.228% due 01/28/2002 (d) 11,250 11,232
6.323% due 04/05/2002 (d) 25,000 25,009
6.348% due 05/07/2002 (d) 4,300 4,299
6.424% due 08/01/2002 (d) 53,600 53,722
6.510% due 12/16/2002 (d) 46,100 46,097
6.125% due 02/01/2003 25 24
6.596% due 03/28/2003 (d) 15,800 15,809
6.750% due 04/15/2003 105 102
6.418% due 05/06/2003 (d) 13,000 13,034
6.415% due 05/16/2003 (d) 39,200 39,298
6.130% due 07/22/2003 (d) 19,000 19,022
6.150% due 03/02/2004 150 142
8.750% due 03/15/2004 75 78
6.521% due 06/01/2004 (d) 9,265 9,299
6.625% due 10/01/2004 250 240
6.566% due 03/18/2005 (d) 37,000 37,026
6.250% due 07/15/2005 25,000 23,409
6.750% due 12/15/2007 2,000 1,892
Bell Atlantic Financial
5.750% due 04/01/2003 1,500 1,524
2000 Annual Report See accompanying notes 55
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Beneficial Corp.
5.950% due 07/25/2000 $ 5,000 $ 4,991
6.730% due 01/09/2001 (d) 16,000 15,994
6.110% due 01/09/2002 (d) 500 502
6.210% due 01/23/2002 (d) 5,000 5,001
6.291% due 03/01/2002 (d) 50,000 50,063
8.000% due 06/18/2002 400 405
6.030% due 01/14/2003 320 308
Bombardier Capital, Inc.
6.000% due 01/15/2002 28,000 27,227
7.300% due 12/15/2002 9,000 8,862
6.700% due 06/09/2032 (d) 16,150 16,000
BTM Holdings
6.680% due 09/29/2049 (d) 6,000 6,000
Caithness Coso Fund Corp.
6.800% due 12/15/2001 11,988 11,852
Capital One Bank
6.750% due 07/28/2003 (d) 2,200 2,199
Case Credit Corp.
5.950% due 08/01/2000 2,375 2,367
5.850% due 02/20/2001 (d) 1,600 1,579
Caterpillar Financial Service Corp.
6.151% due 05/27/2001 (d) 10,000 9,997
6.480% due 12/12/2001 575 568
6.300% due 02/11/2002 (d) 700 702
Central Hispano Financial Services
6.540% due 04/28/2005 (d) 5,000 5,002
Chase Manhattan Corp.
8.500% due 02/15/2002 200 204
5.750% due 04/15/2004 150 142
6.000% due 02/15/2009 800 721
Chemical Banking Corp.
6.125% due 11/01/2008 400 360
Chrysler Financial Co. LLC
5.860% due 01/16/2001 500 496
6.034% due 06/11/2001 (d) 21,400 21,402
5.690% due 11/15/2001 650 636
5.400% due 01/15/2002 15,750 15,251
6.950% due 03/25/2002 50 50
6.129% due 07/17/2002 (d) 20,000 20,000
6.144% due 08/08/2002 (d) 37,000 37,034
6.184% due 02/03/2003 (d) 35,000 35,020
6.174% due 03/06/2003 (d) 25,000 25,184
6.164% due 03/10/2003 (d) 10,000 10,072
6.124% due 06/18/2003 35,000 34,990
Chubb Capital Corp.
6.875% due 02/01/2003 100 99
Cigna Corp.
8.250% due 01/01/2007 250 252
Cincinnati Financial Corp.
6.900% due 05/15/2028 80,925 73,136
CIT Group, Inc.
6.200% due 10/20/2000 525 523
6.750% due 05/14/2001 30,000 29,829
6.393% due 10/01/2002 (d) 600 601
CIT Holdings LLC
6.875% due 02/16/2005 7,500 7,295
Citicorp
6.235% due 05/24/2001 (d) 139,000 139,046
6.223% due 09/17/2001 (d) 65 65
6.179% due 11/13/2001 (d) 10,000 10,002
6.231% due 06/27/2002 (d) 11,450 11,411
6.186% due 08/15/2002 (d) 11,500 11,490
6.224% due 11/12/2002 (d) 30,000 29,974
8.000% due 02/01/2003 250 253
7.125% due 09/01/2005 400 393
7.250% due 09/01/2008 500 491
Citifinancial
6.375% due 09/15/2002 115 112
6.500% due 08/01/2004 400 387
Comerica, Inc.
7.250% due 06/15/2007 200 195
Commercial Credit Co.
6.750% due 05/15/2000 100 100
6.000% due 06/15/2000 300 300
5.550% due 02/15/2001 1,300 1,284
8.250% due 11/01/2001 2,500 2,540
6.875% due 05/01/2002 335 332
7.750% due 03/01/2005 550 556
Countrywide Home Loans
6.250% due 04/15/2009 600 541
Credit Asset Receivable
6.274% due 10/31/2003 41,870 40,921
Credit Lyonnais
5.688% due 07/21/2000 (d) 6,750 6,736
Deutsche Bank Capital Trust I
7.872% due 12/29/2049 20,875 19,848
Deutsche Bank Financial
7.500% due 04/25/2009 3,000 2,955
Donaldson, Lufkin & Jenrette
6.400% due 09/18/2002 (d) 13,600 13,589
6.170% due 07/15/2003 20,000 19,168
Dow Capital BV
7.125% due 01/15/2003 100 99
Dresdner Bank-New York
6.625% due 09/15/2005 1,000 957
Dresdner Funding Trust I
8.151% due 06/30/2031 17,500 16,418
Duke Capital Corp.
7.250% due 10/01/2004 19,000 18,789
Edison Funding
6.950% due 12/19/2000 7,000 7,002
EOP Operating LP
6.376% due 02/15/2002 26,310 25,638
Export Credit Bank of Turkey
8.385% due 08/18/2000 (d) 10,740 10,750
8.820% due 08/18/2000 2,923 2,915
Export-Import Bank Korea
6.500% due 11/15/2006 5,000 4,765
Exxon Capital Corp.
7.450% due 12/15/2001 250 252
6.125% due 09/08/2008 2,000 1,864
Farmers Insurance
8.625% due 05/01/2024 275 281
Finova Capital Corp.
5.875% due 10/15/2001 1,000 976
6.720% due 11/08/2002 (d) 52,250 52,448
6.480% due 04/08/2003 (d) 300 300
6.390% due 06/18/2003 (d) 32,300 32,289
6.330% due 11/24/2003 700 652
First Chicago Corp.
6.230% due 03/11/2002 (d) 10,000 10,016
6.230% due 02/18/2003 (d) 10,000 9,939
6.165% due 07/28/2003 (d) 50 50
First Interstate Bancorp
8.875% due 01/01/2009 (l) 162 163
First Union Corp.
7.100% due 08/15/2004 3,000 2,959
7.700% due 02/15/2005 4,000 4,051
6.375% due 01/15/2009 500 457
Fleet Financial Group
9.900% due 06/15/2001 200 206
Ford Capital BV
9.500% due 06 /01/2010 200 220
Ford Motor Credit Corp.
6.375% due 10/06/2000 1,300 1,296
6.250% due 11/08/2000 750 747
7.020% due 06/07/2001 1,000 999
6.710% due 07/13/2001 (d) 46,500 46,747
6.210% due 08/27/2001 (d) 27,500 27,497
6.249% due 09/03/2001 (d) 27,000 27,020
7.000% due 09/25/2001 1,125 1,121
6.160% due 10/15/2001 (d) 13,000 13,012
6.240% due 11/16/2001 (d) 76,800 76,860
8.240% due 01/15/2002 85 86
6.165% due 01/17/2002 (d) 53,945 53,769
56 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
8.200% due 02/15/2002 $ 500 $ 507
6.500% due 02/28/2002 1,710 1,684
6.341% due 03/19/2002 (d) 28,208 28,283
6.200% due 04/29/2002 (d) 33,000 33,016
6.298% due 05/23/2002 14,000 14,000
6.269% due 06/04/2002 (d) 2,000 2,000
6.300% due 07/16/2002 (d) 98,480 98,718
6.550% due 09/10/2002 4,000 3,930
6.190% due 10/15/2002 (d) 14,000 13,995
7.750% due 11/15/2002 5,730 5,772
6.320% due 12/16/2002 (d) 56,000 55,864
6.000% due 01/14/2003 1,000 963
7.500% due 01/15/2003 250 250
6.218% due 02/03/2003 (d) 30,000 29,931
6.224% due 02/13/2003 (d) 250,185 249,587
6.199% due 02/13/2003 (d) 100,000 99,956
6.330% due 03/17/2003 (d) 13,000 13,000
6.125% due 04/28/2003 25,580 24,655
6.625% due 06/30/2003 775 758
6.370% due 11/24/2003 (d) 32,000 32,063
5.750% due 02/23/2004 620 584
6.310% due 05/21/2004 (d) 22,200 22,246
6.309% due 06/02/2004 (d) 1,500 1,495
6.700% due 07/16/2004 92,305 89,590
8.250% due 02/23/2005 2,500 2,577
7.500% due 03/15/2005 17,000 16,959
6.228% due 04/28/2005 (d) 58,000 57,831
6.125% due 01/09/2006 25 23
5.800% due 01/12/2009 155 137
Fuji Bank
9.870% due 12/31/2049 (d) 17,875 17,786
GATX Capital Corp.
6.440% due 06/09/2000 3,000 2,998
General Electric Capital Corp.
6.875% due 04/15/2000 200 200
8.375% due 03/01/2001 1,415 1,432
6.020% due 05/04/2001 1,000 990
5.500% due 11/01/2001 50 49
5.650% due 03/31/2003 125 120
6.210% due 12/09/2005 400 382
8.300% due 09/20/2009 1,125 1,211
General Motors Acceptance Corp.
9.375% due 04/01/2000 (d) 235 235
5.800% due 04/09/2001 8,340 8,239
6.800% due 04/17/2001 4,800 4,790
5.950% due 04/20/2001 22,150 21,904
6.700% due 04/30/2001 3,000 2,988
7.125% due 05/01/2001 44,395 44,355
6.750% due 06/05/2001 880 876
6.875% due 07/15/2001 1,000 996
6.310% due 08/23/2001 (d) 48,000 48,189
6.060% due 10/22/2001 (d) 25,700 25,658
6.485% due 11/26/2001 (d) 19,000 19,127
6.375% due 12/01/2001 265 261
6.230% due 12/10/2001 (d) 2,200 2,199
9.625% due 12/15/2001 5,650 5,844
6.548% due 12/17/2001 (d) 13,000 13,090
6.130% due 01/08/2002 (d) 3,000 3,007
6.625% due 01/10/2002 500 493
6.140% due 01/28/2002 (d) 3,000 3,000
6.130% due 02/01/2002 (d) 36,700 36,701
6.750% due 02/07/2002 1,590 1,571
6.330% due 03/15/2002 (d) 10,215 10,251
7.750% due 03/25/2002 125 126
6.165% due 04/29/2002 (d) 221,144 221,238
7.000% due 09/15/2002 250 247
6.625% due 10/01/2002 5,000 4,908
6.330% due 10/07/2002 (d) 1,100 1,101
6.199% due 11/12/2002 (d) 10,200 10,180
6.299% due 11/12/2002 (d) 19,595 19,621
6.327% due 12/09/2002 (d) 64,050 64,093
6.200% due 12/15/2002 500 485
5.480% due 12/16/2002 150 143
6.000% due 01/15/2003 990 953
5.875% due 01/22/2003 30,500 29,268
6.750% due 03/15/2003 40,125 39,384
7.125% due 05/01/2003 36,000 35,648
6.681% due 07/20/2003 (d) 9,956 9,947
6.190% due 08/18/2003 (d) 89,940 89,459
5.550% due 09/15/2003 32,000 30,201
6.625% due 10/20/2003 2,000 1,951
5.750% due 11/10/2003 1,000 946
6.251% due 04/05/2004 (d) 35,200 35,122
6.351% due 05/28/2004 (d) 73,000 73,644
6.850% due 06/17/2004 1,000 975
6.551% due 09/20/2004 (d) 20,137 20,119
6.650% due 11/17/2005 500 480
6.150% due 04/05/2007 150 139
8.950% due 07/02/2009 21,483 22,321
Golden State Holdings
2.281% due 01/02/2000 15 335
6.750% due 08/01/2001 1,950 1,881
Goldman Sachs Group
6.200% due 12/15/2000 6,500 6,468
6.210% due 01/09/2001 ( d) 75,000 75,150
6.456% due 01/12/2001 (d) 25,000 25,103
6.469% due 01/16/2001 (d) 39,000 39,112
6.220% due 01/25/2001 (d) 27,400 27,426
6.340% due 02/20/2001 (d) 3,000 3,008
6.773% due 04/16/2001 (d) 18,000 18,008
6.390% due 12/07/2001 (d) 25,000 25,060
6.496% due 12/24/2001 (d) 6,000 6,014
6.490% due 02/18/2002 (d) 2,300 2,312
6.340% due 02/22/2002 (d) 3,500 3,504
6.370% due 01/16/2003 (d) 15,000 15,079
6.270% due 01/17/2003 (d) 145,000 145,089
6.349% due 02/10/2004 (d) 10,000 9,806
6.640% due 02/19/2004 (d) 10,000 10,147
6.800% due 02/09/2009 (d) 10,000 10,463
6.500% due 02/25/2009 140 130
Hansol Paper Co. Ltd.
7.934% due 05/24/2001 (d) 20,000 20,200
Hartford Life, Inc.
6.900% due 06/15/2004 600 586
Heller Financial, Inc.
6.240% due 08/25/2000 (d) 3,000 3,002
6.477% due 09/12/2000 5,000 4,989
6.448% due 02/05/2001 13,000 13,017
6.250% due 03/01/2001 25,000 24,774
6.441% due 06/25/2001 (d) 74,550 74,718
5.750% due 09/25/2001 1,400 1,367
6.370% due 10/22/2001 (d) 19,200 19,250
6.500% due 11/01/2001 250 247
7.000% due 11/09/2001 (d) 2,500 2,522
6.220% due 04/26/2002 (d) 12,000 11,979
6.280% due 05/07/2002 (d) 2,000 1,997
6.269% due 05/13/2002 (d) 10,000 9,980
6.460% due 06/24/2002 (d) 5,100 5,095
6.270% due 04/28/2003 (d) 26,000 25,971
6.300% due 04/28/2003 (d) 55,750 55,524
Hertz Corp.
7.000% due 07/15/2003 13,300 13,111
Hitachi Credit America
6.221% due 05/15/2000 25,000 25,008
6.280% due 07/07/2000 (d) 40,000 40,015
Home Savings of America
6.000% due 11/01/2000 14,175 14,075
Household Bank
6.341% due 09/26/2001 (d) 9,000 9,002
6.228% due 10/22/2003 (d) 15,000 14,936
Household Capital Trust
6.531% due 06/26/2004 (d) 13,925 13,850
Household Finance Corp.
6.349% due 06/22/2001 (d) 3,000 3,007
6.199% due 08/01/2001 (d) 1,500 1,500
6.199% due 11/01/2001 (d) 5,000 5,000
6.223% due 05/07/2002 (d) 40,850 40,868
6.310% due 05/24/2002 (d) 113,800 113,762
7.080% due 06/03/2002 15,000 14,893
5.875% due 11/01/2002 200 193
2000 Annual Report See accompanying notes 57
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
6.430% due 06/24/2003 $ 35,000 $ 34,990
6.506% due 06/24/2003 (d) 31,000 30,982
7.000% due 08/01/2003 20,000 19,675
6.500% due 11/15/2008 2,000 1,844
Household Netherlands BV
6.125% due 03/01/2003 18,100 17,282
Hyatt Equities LLC
6.800% due 05/15/2000 1,040 1,039
Inter-American Development Bank
5.750% due 04/15/2004 57,400 26,690
8.875% due 06/01/2009 200 224
7.375% due 01/15/2010 4,200 4,267
International Bank for Reconstruction & Development
7.000% due 01/27/2005 1,000 1,010
International Lease Finance
7.000% due 05/15/2000 500 500
6.420% due 09/11/2000 500 500
5.930% due 07/15/2003 14,000 13,435
J.P. Morgan & Co.
6.250% due 12/15/2005 200 188
JET Equipment Trust
10.000% due 06/15/2012 80 89
10.690% due 11/01/2013 100 117
John Hancock
7.375% due 02/15/2024 360 340
KBC Bank Fund Trust III
9.860% due 11/29/2049 (d) 5,700 6,046
KBC Bank Fund Trust IV
8.220% due 11/29/2049 20,764 20,992
Key Bank NA
7.550% due 09/15/2006 350 349
Kimco Realty Corp.
6.500% due 10/01/2003 200 192
Korea Development Bank
7.154% due 10/06/2000 (d) 5,000 5,001
6.500% due 11/15/2002 440 422
7.125% due 04/22/2004 19,125 18,371
7.375% due 09/17/2004 15,000 14,515
6.750% due 12/01/2005 55 51
7.250% due 05/15/2006 50 47
6.510% due 10/20/2000 11,000 10,948
6.000% due 03/07/2001 350,000 3,582
8.600% due 03/25/2002 5,600 5,631
Korean Export-Import Bank
7.250% due 06/25/2001 2,600 2,591
7.125% due 09/20/2001 10,000 9,853
6.500% due 02/10/2002 12,391 12,025
7.100% due 03/15/2007 1,600 1,580
LB Rheinland - PFALZ
5.000% due 02/23/2028 3,400 3,229
Lehman Brothers Holdings, Inc.
7.120% due 07/27/2000 (d) 8,000 7,975
6.400% due 08/30/2000 200 200
6.538% due 12/01/2000 (d) 500 501
6.125% due 02/01/2001 2,000 1,977
6.610% due 02/20/2001 1,500 1,500
6.000% due 02/26/2001 700 692
6.138% due 06/01/2001 (d) 101,600 101,601
6.604% due 07/03/2001 (d) 10,000 10,055
6.904% due 04/02/2002 (d) 64,150 64,528
6.375% due 05/07/2002 26,395 25,763
6.798% due 05/07/2002 (d) 42,100 42,255
6.840% due 07/15/2002 (d) 43,051 43,319
6.419% due 08/12/2002 (d) 6,500 6,472
6.880% due 08/28/2002 (d) 6,500 6,547
6.410% due 09/03/2002 (d) 14,000 13,870
6.690% due 12/12/2002 (d) 57,100 57,266
6.690% due 04/04/2003 (d) 123,100 124,902
7.000% due 05/15/2003 150 147
6.625% due 04/01/2004 65 63
7.625% due 06/01/2006 350 344
8.500% due 05/01/2007 1,475 1,519
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
LG&E Capital Corp.
6.205% due 05/01/2004 $ 1,000 $ 954
6.460% due 01/15/2008 3,000 2,816
Liberty Mutual Insurance
8.200% due 05/04/2007 17,510 17,654
Limestone Electron Trust
8.625% due 03/15/2003 71,000 71,451
Marine Midland
6.313% due 12/16/2000 (d) 3,700 3,698
MBNA America Bank NA
6.199% due 05/01/2000 (d) 400 400
6.290% due 04/25/2002 (d) 1,000 996
6.875% due 07/15/2004 46,000 44,467
MBNA Corp.
6.990% due 05/24/2002 1,000 987
6.600% due 09/10/2002 (d) 5,000 5,015
6.505% due 12/10/2002 2,100 2,062
MCN Investment Corp.
6.030% due 02/01/2001 6,850 6,766
7.120% due 01/16/2004 7,500 7,144
6.300% due 04/02/2011 7,500 7,392
Mellon Bank Corp.
6.500% due 08/01/2005 75 72
Mellon Financial Co.
6.300% due 06/01/2000 250 250
Mercury Finance Co.
10.000% due 03/23/2001 2,050 1,989
Merrill Lynch & Co.
6.620% due 06/06/2000 500 500
6.450% due 06/20/2000 350 350
6.250% due 07/25/2000 490 490
6.298% due 09/25/2000 (d) 5,000 5,005
6.054% due 10/03/2000 (d) 2,000 2,000
6.770% due 12/05/2000 (d) 89,000 89,004
6.000% due 03/01/2001 1,325 1,311
6.500% due 04/01/2001 400 397
6.750% due 04/30/2001 2,775 2,769
6.208% due 05/08/2001 (d) 54,900 54,660
6.310% due 05/30/2001 (d) 3,800 3,801
6.189% due 06/04/2001 (d) 30,000 30,001
6.129% due 11/01/2001 (d) 35,000 34,977
6.180% due 11/09/2001 (d) 16,000 5,869
6.480% due 01/11/2002 (d) 4,000 4,011
6.140% due 01/15/2002 (d) 17,000 16,845
8.000% due 02/01/2002 400 404
6.424% due 02/01/2002 (d) 33,000 33,049
7.375% due 08/17/2002 300 299
8.300% due 11/01/2002 200 204
6.000% due 02/12/2003 500 482
6.875% due 03/01/2003 140 138
6.396% due 06/24/2003 (d) 27,000 26,897
6.154% due 10/01/2003 (d) 9,500 9,480
5.880% due 01/15/2004 600 567
6.550% due 08/01/2004 100 97
7.000% due 03/15/2006 1,500 1,460
6.560% due 12/16/2007 50 47
7.000% due 04/27/2008 100 96
6.375% due 10/15/2008 17,000 15,652
Metropolitan Life Insurance Co.
6.300% due 11/01/2003 6,800 6,503
Mexico Credit Link
11.384% due 02/22/2002 (d) 29,500 29,706
MFN Financial Corp.
6.460% due 09/13/2001 (d) 10,300 10,279
MIC Financing Trust
8.375% due 02/01/2027 36,000 33,552
Morgan Stanley, Dean Witter, Discover and Co.
5.820% due 06/19/2000 (d) 152,000 150,005
5.750% due 02/15/2001 400 395
6.700% due 05/01/2001 600 597
9.375% due 06/15/2001 300 307
6.353% due 12/17/2001 (d) 5,000 5,004
6.313% due 12/19/2001 (d) 19,700 19,677
6.165% due 01/28/2002 (d) 35,700 35,705
6.190% due 04/15/2002 (d) 300 300
58 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
6.310% due 02/21/2003 (d) $ 25,000 $ 25,029
6.308% due 03/11/2003 (d) 11,500 11,465
6.375% due 12/15/2003 150 145
5.625% due 01/20/2004 1,100 1,035
6.290% due 04/22/2004 (d) 68,500 68,438
Morgan, J.P. & Co., Inc.
5.750% due 02/25/2004 22,800 21,578
6.000% due 01/15/2009 34,000 30,309
Nacional Financiera
8.000% due 06/19/2000 4,500 4,496
9.549% due 12/01/2000 (d) 25,760 25,644
22.000% due 05/20/2002 70,000 7,386
NationsBank Corp.
6.750% due 02/26/2001 500 499
7.000% due 09/15/2001 1,500 1,493
6.300% due 06/17/2002 (d) 10,000 9,991
6.125% due 07/15/2004 600 570
NCNB Corp.
7.750% due 08/01/2002 896 895
Noble Affiliates, Inc.
8.950% due 12/15/2004 10,500 10,336
Nordbanken
7.250% due 11/12/2009 21,250 20,626
Nordstrom Credit, Inc.
7.250% due 04/30/2002 1,000 995
Norwest Financial, Inc.
6.375% due 07/16/2002 500 490
6.250% due 11/01/2002 100 97
7.000% due 01/15/2003 300 295
6.000% due 02/01/2004 50 48
Okobank
6.460% due 05/23/2006 (d) 10,000 10,329
Orix Credit Alliance
7.640% due 09/17/2001 13,000 12,908
Osprey Trust
8.310% due 01/15/2003 75,000 75,000
Paccar Financial Corp.
6.740% due 09/15/2000 250 250
Pacific Mutual Life
7.900% due 12/30/2023 8,000 8,261
PaineWebber
6.400% due 02/18/2002 (d) 5,000 4,969
6.520% due 05/20/2002 (d) 1,000 994
Parker Retirement Savings Plan
6.340% due 07/15/2008 891 841
PDVSA Finance Ltd.
7.400% due 08/15/2016 1,200 919
Pemex Finance Limited
6.125% due 11/15/2003 25,000 24,265
Pinnacle Holdings, Inc.
5.500% due 09/15/2007 3,800 3,506
PNC Bank Corp.
5.863% due 06/01/2000 (d) 243,000 242,982
6.224% due 01/24/2002 (d) 49,000 48,952
6.066% due 08/15/2002 (d) 5,000 5,003
PNC Funding Corp.
6.875% due 03/01/2003 100 99
7.000% due 09/01/2004 15,000 14,797
PNC Institutional Capital Association
7.950% due 12/15/2026 150 139
Popular North American, Inc.
7.375% due 09/15/2001 25,000 24,854
Popular, Inc.
6.715% due 06/06/2000 6,000 5,997
6.550% due 10/10/2000 2,485 2,476
6.540% due 11/06/2001 18,705 18,380
6.625% due 01/15/2004 19,500 18,677
Prime Property Funding II
7.000% due 08/15/2004 110 105
Prudential Funding Corp.
6.620% due 08/01/2000 (d) 2,000 1,993
6.240% due 10/02/2000 (d) 20,000 20,032
6.375% due 07/23/2006 55,000 51,468
6.625% due 04/01/2009 17,000 15,287
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
PSE&G Capital Corp.
6.740% due 10/23/2001 $ 1,400 $ 1,392
Racers
6.340% due 03/03/2003 (d) 282,400 282,400
Reliance Group Holdings
9.000% due 11/15/2000 19,000 17,813
9.750% due 11/15/2003 10,000 7,200
Reliant Energy Financial Co.
7.150% due 12/10/2001 (d) 51,000 50,951
Residential Reinsurance
9.761% due 06/01/2000 (d) 11,500 11,417
Royal Bank of Scotland plc
6.400% due 04/01/2009 15,000 13,707
8.817% due 03/31/2049 38,600 39,397
6.770% due 12/31/2049 113,800 109,943
9.118% due 12/31/2049 65,500 67,552
Safeco Corp.
7.260% due 08/12/2002 500 501
Sakura Capital Funding
7.320% due 08/29/2049 20,000 18,939
7.020% due 09/29/2049 (d) 100,000 96,390
Salomon, Inc.
6.650% due 07/15/2001 600 596
7.000% due 03/04/2002 18,850 18,736
6.470% due 05/16/2002 (d) 23,000 22,987
Salomon, Smith Barney Holdings
5.980% due 03/26/2001 250 248
3.650% due 02/14/2002 (d)(h) 29,036 28,528
6.240% due 04/15/2002 (d) 35,090 35,054
6.279% due 05/14/2002 (d) 26,715 26,675
6.320% due 07/23/2002 (d) 53,400 53,339
6.125% due 01/15/2003 290 280
6.320% due 02/11/2003 (d) 44,200 44,205
Sanwa Business Credit
6.540% due 06/20/2000 1,000 1,000
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 69,740 69,504
Sears Roebuck Acceptance
6.204% due 06/27/2000 (d) 5,000 5,001
6.800% due 05/07/2001 500 496
6.790% due 05/21/2001 500 498
7.110% due 06/19/2001 1,000 995
9.400% due 08/02/2001 250 257
6.860% due 08/06/2001 400 397
6.710% due 08/13/2001 80 79
6.360% due 12/04/2001 290 284
6.120% due 12/13/2001 260 255
8.390% due 02/14/2002 240 243
6.950% due 05/15/2002 300 296
6.000% due 03/20/2003 149,750 143,579
7.260% due 04/21/2003 3,000 2,967
7.140% due 05/02/2003 5,000 4,928
6.560% due 11/20/2003 1,178 1,138
6.250% due 01/15/2004 300 286
6.750% due 09/15/2005 785 748
6.700% due 11/15/2006 500 471
Security Pacific Corp.
6.000% due 05/01/2000 600 600
11.500% due 11/15/2000 4,000 4,107
Seismic Ltd.
0.000% due 01/01/2002 (d) 32,500 32,500
Simon Property Group, Inc.
9.000% due 03/15/2002 2,000 2,018
Skandinaviska Enskilda
7.500% due 03/29/2049 650 580
Socgen Real Estate LLC
7.640% due 12/29/2049 3,000 2,797
Societe Generale
7.400% due 06/01/2006 1,500 1,476
Sovereign Bancorp
6.625% due 03/15/2001 13,500 13,186
Spieker Properties
6.800% due 12/15/2001 5,500 5,385
6.800% due 05/01/2004 1,000 948
2000 Annual Report See accompanying notes 59
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
Steers
9.848% due 08/07/2002 (d) $ 20,000 $ 20,018
Sumitomo Bank International Finance NV
8.500% due 06/15/2009 3,100 3,150
Sumitomo Bank Treasury Co.
9.400% due 12/29/2049 (d) 33,750 33,786
Sun Life of Canada (U.S.)
8.526% due 05/29/2049 250 233
Telewest Credit Links
7.500% due 04/16/2004 30,000 28,473
Textron Financial Corp.
6.460% due 05/28/2002 (d) 41,900 41,799
Tokai Capital Corp.
9.980% due 12/29/2049 (d) 13,050 13,171
Toyota Motor Credit Corp.
5.707% due 02/15/2002 40,000 38,961
Transamerica Finance Corp.
6.423% due 09/17/2001 (d) 20,000 19,998
6.125% due 11/01/2001 24,000 23,495
6.394% due 12/14/2001 (d) 39,700 39,677
7.250% due 08/15/2002 79,000 78,620
7.500% due 03/15/2004 270 267
6.750% due 11/15/2006 650 607
Travelers Group, Inc.
7.200% due 02/01/2004 38,480 38,145
U.S. Bancorp
6.134% due 01/16/2002 (d) 49,000 48,997
6.279% due 02/03/2003 (d) 18,100 18,097
U.S. West Capital Funding, Inc.
6.875% due 08/15/2001 400 397
Wachovia Corp.
6.805% due 05/02/2005 (d) 49,600 49,600
Washington Mutual, Inc.
6.375% due 07/01/2000 3,000 2,994
8.206% due 02/01/2027 150 141
8.375% due 06/01/2027 235 226
Wells Fargo & Co.
5.625% due 02/05/2001 400 395
8.750% due 05/01/2002 100 103
6.625% due 07/15/2004 47,100 46,021
6.780% due 05/02/2005 (d) 67,700 67,700
Westdeutsche Landesbank
6.750% due 06/15/2005 4,000 3,880
6.050% due 01/15/2009 62,500 55,933
----------
9,975,463
==========
Industrials 9.2%
Ahold Finance USA, Inc.
6.875% due 05/01/2029 115 99
Akzo Nobel, Inc.
6.000% due 11/15/2003 32,000 30,255
Albertson's, Inc.
6.375% due 06/01/2000 150 150
Alcan Aluminum Ltd.
5.875% due 04/01/2000 250 251
Allied Waste North America, Inc.
7.375% due 01/01/2004 18,925 16,276
Amerco, Inc.
7.135% due 10/15/2002 15,000 14,367
America West Airlines
6.870% due 07/02/2018 1,956 1,824
American Airlines
10.610% due 03/04/2011 1,895 2,175
Amerigas Partners LP
10.125% due 04/15/2007 1,730 1,765
AMR Corp.
10.610% due 01/11/2001 4,000 4,084
10.570% due 01/15/2001 3,000 3,072
10.590% due 01/31/2001 3,000 3,076
10.000% due 02/01/2001 2,000 2,033
9.400% due 05/08/2001 3,000 3,049
9.500% due 05/15/2001 3,480 3,536
9.130% due 10/25/2001 2,000 2,039
8.470% due 02/20/2002 2,000 2,019
8.500% due 02/26/2002 1,000 1,010
10.210% due 01/01/2010 6,500 7,234
Arrow Electronics, Inc.
6.860% due 11/24/2000 (d) 9,200 9,197
AT&T Canada, Inc.
7.650% due 09/15/2006 140 140
10.750% due 11/01/2007 1,000 857
AT&T Corp.
8.650% due 09/15/2004 625 655
Atlas Air, Inc.
9.820% due 04/04/2003 (d) 3,000 3,000
8.820% due 04/04/2003 (d) 20,000 20,000
Aventis SA
8.620% due 01/05/2021 250 264
Baxter International, Inc.
9.500% due 06/15/2008 200 227
Bayer Corp.
6.500% due 10/01/2002 250 246
Bellat Racers
6.209% due 04/01/2003 20,000 19,956
Bellsouth Telecommunication
6.000% due 06/15/2002 10,000 9,755
BOC Group PLC
5.875% due 01/29/2001 250 248
Boeing Co.
8.375% due 02/15/2001 900 909
6.350% due 06/15/2003 750 724
Boise Cascade Co.
7.150% due 05/15/2001 10,000 9,924
BP Amoco PLC
6.250% due 10/15/2004 1,000 975
Browning-Ferris Industries, Inc.
6.100% due 01/15/2003 6,000 5,414
Cabot Corp.
7.280% due 10/21/2027 5,160 4,819
Campbell Soup Co.
4.750% due 10/01/2003 500 465
Case Credit Corp.
6.318% due 05/05/2000 (d) 13,000 13,002
Cemex SA
10.750% due 07/15/2000 6,250 6,310
8.500% due 08/31/2000 10,000 10,039
9.250% due 06/17/2002 48,500 49,349
Centerior Fuel Corp.
9.750% due 08/02/2000 (l) 8,000 8,120
Century Communications Corp.
9.500% due 08/15/2000 6,250 6,266
0.000% due 03/15/2003 10,515 7,729
CF Cable TV, Inc.
9.125% due 07/15/2007 1,600 1,699
Champion International Corp.
9.700% due 05/01/2001 4,000 4,079
Chancellor AMFM, Inc.
8.000% due 11/01/2008 5,000 4,956
Circus Circus Enterprises
6.750% due 07/15/2003 4,500 4,028
Coastal Corp.
10.375% due 10/01/2000 8,500 8,623
6.569% due 03/06/2002 (d) 153,550 153,550
Coca-Cola Co.
6.375% due 08/01/2001 200 198
7.875% due 02/01/2002 600 606
6.000% due 07/15/2003 250 240
Colgate-Palmolive Co.
6.000% due 08/15/2003 45 44
Coltec Industries, Inc.
7.500% due 04/15/2008 2,200 2,148
Columbia/HCA Healthcare
8.020% due 08/05/2002 9,000 8,715
8.130% due 08/04/2003 7,300 7,048
6.630% due 07/15/2045 10,000 9,509
Comcast Corp.
9.375% due 05/15/2005 34,995 36,682
8.375% due 05/01/2007 145 148
Conagra, Inc.
6.340% due 06/12/2000 (d) 83,300 83,266
60 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
Conexant Systems, Inc.
4.000% due 01/02/2007 $ 800 $ 732
Conoco, Inc.
6.350% due 04/15/2009 1,900 1,773
Continental Airlines
9.500% due 12/15/2001 385 387
6.954% due 02/02/2011 25,113 24,082
6.900% due 01/02/2018 666 633
Cox Communications, Inc.
6.500% due 11/15/2002 200 195
Cox Enterprises, Inc.
8.000% due 02/15/2007 5,000 4,976
Credit Lyon Capital
2.375% due 01/02/2000 1,300 31,200
CSX Corp.
6.430% due 06/15/2000 (d) 30,500 30,485
9.500% due 08/01/2000 3,385 3,405
DaimlerChrysler Holdings
6.160% due 01/18/2002 18,900 18,902
6.380% due 08/23/2002 (d) 6,410 6,431
Dayton Hudson Corp.
10.000% due 12/01/2000 1,000 1,017
Delphi Auto Systems Corp.
6.125% due 05/01/2004 20,000 18,730
Delta Air Lines, Inc.
9.875% due 05/15/2000 9,275 9,298
6.650% due 03/15/2004 13,500 12,770
10.430% due 01/02/2011 850 962
10.140% due 08/14/2012 1,000 1,131
9.200% due 09/23/2014 6,000 6,009
10.500% due 04/30/2016 3,000 3,574
Diamond Cable Communication Co.
0.000% due 12/15/2005 (d)(k) 3,500 3,290
Disney (Walt) Co.
6.375% due 03/30/2001 1,100 1,093
6.750% due 03/30/2006 100 98
DTE Capital Corp.
8.350% due 11/15/2038 (d) 52,750 50,790
E.I. Du Pont de Nemours
9.150% due 04/15/2000 100 100
Eastman Chemical Co.
6.375% due 01/15/2004 5,750 5,458
Electric Lightwave, Inc.
6.050% due 05/15/2004 15,700 14,960
Eli Lilly & Co.
8.125% due 12/01/2001 500 507
Embotelladora Arica S.A
9.875% due 03/15/2006 8,500 8,764
Enron Corp.
6.400% due 07/15/2006 150 139
Federal Express Corp.
6.845% due 01/15/2019 834 795
Ford Motor Co.
9.000% due 09/15/2001 880 900
6.625% due 10/01/2028 115,800 102,135
7.450% due 07/16/2031 10,000 9,716
Fortune Brands
8.500% due 10/01/2003 500 520
Fred Meyer, Inc.
7.150% due 03/01/2003 11,000 10,763
7.375% due 03/01/2005 38,100 37,190
7.450% due 03/01/2008 300 291
General Motors Acceptance Corp.
6.250% due 05/01/2005 300 284
7.100% due 03/15/2006 250 246
Gillette Co.
6.250% due 08/15/2003 750 734
5.750% due 10/15/2005 1,500 1,417
Global Crossing Holding Ltd.
9.625% due 05/15/2008 15,000 14,550
Gold Eagle
11.453% due 04/16/2001 43,300 43,248
Gulf Canada Resources
9.250% due 01/15/2004 7,250 7,329
9.625% due 07/01/2005 2,000 2,005
H.J. Heinz Co.
7.500% due 04/26/2000 150 150
Hanson Overseas BV
6.750% due 09/15/2005 225 216
Harrahs Operating Co., Inc.
7.875% due 12/15/2005 5,000 4,650
Hollinger International Publishing
9.250% due 02/01/2006 3,000 2,820
Houghton Mifflin Co.
5.990% due 12/03/2001 3,000 2,918
Hyder PLC
6.500% due 12/15/2008 10,000 8,774
IBM Corp.
7.250% due 11/01/2002 450 452
6.450% due 08/01/2007 500 479
ICI Wilmington
6.750% due 09/15/2002 10,000 9,800
IMEXSA Export Trust
10.125% due 05/31/2003 529 516
Imperial Tobacco
7.125% due 04/01/2009 21,000 18,922
Inco Ltd.
9.875% due 06/15/2019 5,000 5,195
Ingersoll-Rand Co.
6.255% due 02/15/2001 295 293
International Game Technology
7.875% due 05/15/2004 24,500 22,969
International Paper Co.
6.875% due 07/10/2000 4,260 4,251
9.050% due 02/08/2001 100 101
ISP Holdings, Inc.
9.750% due 02/15/2002 6,250 5,953
9.000% due 10/15/2003 5,000 4,500
J Seagram & Sons
6.526% due 04/10/2000 (d) 94,000 92,590
6.250% due 12/15/2001 51,000 49,774
K Mart Corp.
8.190% due 11/24/2003 5,000 4,846
K N Energy, Inc.
6.450% due 03/01/2003 240 232
Kellogg
5.750% due 02/02/2001 86,925 85,902
K-III Communications Co.
8.500% due 02/01/2006 4,000 3,820
KPNQWest BV
8.125% due 06/01/2009 5,000 4,825
Kroger Co.
6.000% due 07/01/2000 14,000 13,945
7.063% due 10/01/2010 (d) 54,000 53,992
Lattice Semiconductor Co.
4.750% due 11/01/2006 750 1,376
Lear Corp.
7.960% due 05/15/2005 90 84
Lenfest Communications
8.375% due 11/01/2005 5,000 5,209
Limited, Inc.
7.800% due 05/15/2002 500 502
Lockheed Martin Corp.
6.850% due 05/15/2001 7,000 6,910
Loyola University of Chicago
6.030% due 06/15/2000 (d) 16,100 16,017
Lucent Technologies
7.250% due 07/15/2006 150 150
Mallinckrodt, Inc.
6.300% due 03/15/2001 (d) 12,375 12,196
Marlin Water Trust
7.090% due 12/15/2001 20,241 19,935
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (l) 1,980 2,334
McDonald's Corp.
6.500% due 08/01/2007 250 242
McLeodUSA, Inc.
0.000% due 03/01/2007 (k) 5,000 3,938
8.125% due 02/15/2009 1,200 1,062
2000 Annual Report See accompanying notes 61
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
Mobil Corp.
8.375% due 02/12/2001 $ 340 $ 344
Monsanto Co
6.000% due 12/01/2005 250 231
Motorola, Inc.
7.600% due 01/01/2007 200 204
Nabisco, Inc.
6.000% due 02/15/2001 (d) 11,240 11,080
6.800% due 09/01/2001 3,000 2,964
6.700% due 06/15/2002 9,000 8,783
6.125% due 02/01/2033 15,000 14,327
Nabors Industries, Inc.
6.800% due 04/15/2004 9,250 8,975
New York Times Co.
7.625% due 03/15/2005 1,000 1,020
News America Holdings Corp.
7.450% due 06/01/2000 3,000 2,999
8.625% due 02/01/2003 750 767
Nike, Inc.
6.510% due 06/16/2000 1,000 1,000
Nisource Capital Markets
7.290% due 09/28/2000 59,000 58,982
Norfolk Southern Corp.
6.700% due 05/01/2000 7,165 7,161
7.875% due 02/15/2004 50 50
Northwest Airlines, Inc.
8.970% due 01/02/2015 1,644 1,665
Occidental Petroleum
6.704% due 04/03/2000 34,300 34,321
6.400% due 04/01/2003 7,710 7,350
Owens Corning
7.000% due 05/15/2000 200 200
Owens-Illinois, Inc.
7.850% due 05/15/2004 2,600 2,499
7.150% due 05/15/2005 10,000 9,244
Packaging Corp. of America
9.625% due 04/01/2009 2,500 2,475
Pepsico, Inc.
5.750% due 01/15/2008 500 458
Petroleos Mexicanos
8.402% due 07/15/2005 (d) 118,650 117,167
8.850% due 09/15/2007 1,800 1,751
9.375% due 12/02/2008 36,650 37,658
Philip Morris Cos., Inc.
9.000% due 01/01/2001 300 303
8.750% due 06/01/2001 5,515 5,514
7.250% due 09/15/2001 70 69
7.500% due 01/15/2002 50 49
6.800% due 12/01/2003 48,345 45,465
7.000% due 07/15/2005 1,125 1,039
7.200% due 02/01/2007 34,000 31,134
Phillips Petroleum Co.
6.375% due 03/30/2009 31,000 27,895
Pr-b Interest Owners Tr Nt (ene)
7.535% due 06/30/2000 (d)(l) 29,419 29,384
Procter & Gamble Co.
5.250% due 09/15/2003 35,600 33,509
Qwest Communications International, Inc.
0.000% due 10/15/2007 (k) 2,500 2,038
Racers
8.090% due 04/28/2003 (d) 30,000 30,000
Racers Bellat
6.160% due 09/15/2005 (d) 15,000 14,967
Raytheon Co.
6.300% due 08/15/2000 32,000 31,869
Reliant Energy, Inc.
8.930% due 05/14/2001 5,300 5,389
8.920% due 05/15/2001 6,500 6,609
6.375% due 11/01/2003 14,000 13,478
Residential Reinsurance
9.163% due 06/01/2000 (d) 1,800 1,771
Reynolds & Reynolds
6.120% due 03/02/2001 4,000 3,946
Rochester Telecom
8.950% due 08/07/2001 3,000 3,073
Rogers Cablesystems, Inc.
10.000% due 12/01/2007 5,000 5,238
Rogers Cantel Mobile Communications, Inc.
9.375% due 06/01/2008 2,750 2,798
Safeco
9.630% due 05/31/2000 (l) 6,500 6,544
9.590% due 05/31/2001 (l) 3,000 3,085
Safeway, Inc.
5.750% due 11/15/2000 150 149
7.000% due 09/15/2002 625 617
6.850% due 09/15/2004 250 243
Sara Lee Corp.
6.300% due 11/07/2005 500 476
Scotia Pacific Co. LLC
7.710% due 01/20/2014 305 254
Semtech Corp.
4.500% due 02/01/2007 4,500 4,269
Smithfield Foods
7.625% due 02/15/2008 2,000 1,740
Smithkline Beecham
7.375% due 04/15/2005 150 151
Stone Container Corp.
10.750% due 10/01/2002 2,500 2,534
Swiss Life Financial Ltd.
2.000% due 05/20/2005 3,000 2,953
TCI Communications, Inc.
6.855% due 09/11/2000 (d) 63,500 63,428
6.900% due 12/20/2000 (d) 10,000 10,006
6.750% due 03/12/2001 (d) 14,700 14,820
6.375% due 05/01/2003 3,280 3,194
Telecommunications, Inc.
8.250% due 01/15/2003 43,125 44,401
Telewest Communications PLC
9.625% due 10/01/2006 5,000 4,850
Tenet Healthcare Corp.
7.875% due 01/15/2003 5,000 4,813
8.625% due 12/01/2003 1,200 1,176
8.000% due 01/15/2005 2,000 1,900
7.625% due 06/01/2008 12,000 10,740
Texaco Capital
8.500% due 02/15/2003 700 720
6.000% due 06/15/2005 400 376
Textron, Inc.
6.750% due 09/15/2002 225 221
Time Warner, Inc.
6.100% due 12/30/2001 39,775 38,891
7.975% due 08/15/2004 59,770 60,938
7.250% due 09/01/2008 125 122
Times Mirror Co.
6.650% due 10/15/2001 300 297
TRW, Inc.
6.601% due 06/28/2000 (d) 30,200 30,195
6.450% due 06/15/2001 20,000 19,669
Tyco International Group SA
6.819% due 03/05/2001 (d) 15,000 14,992
Union Pacific Corp.
6.354% due 05/22/2000 (d) 60,000 59,886
7.875% due 02/15/2002 8,000 8,025
6.930% due 06/01/2003 1,000 983
6.000% due 09/01/2003 8,000 7,569
6.120% due 02/01/2004 250 237
United Air Lines
9.000% due 12/15/2003 1,000 1,011
10.670% due 05/01/2004 2,050 2,204
US Airways
6.850% due 01/30/2018 147 134
USA Waste Services, Inc.
6.125% due 07/15/2001 23,500 22,466
UST, Inc.
7.250% due 06/01/2009 25,000 24,067
USX Corp.
9.800% due 07/01/2001 300 307
Viacom, Inc.
5.875% due 07/15/2000 6,200 6,176
62 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
Wal-Mart Stores, Inc.
9.100% due 07/15/2000 $ 250 $ 251
8.625% due 04/01/2001 2,450 2,487
6.150% due 08/10/2001 450 445
6.750% due 05/24/2002 170 169
6.875% due 08/10/2009 900 878
Walt Disney Co.
5.125% due 12/15/2003 500 466
Waste Management, Inc.
6.375% due 12/01/2003 200 180
6.500% due 05/14/2004 89,000 79,617
Westpoint Stevens, Inc.
7.875% due 06/15/2005 8,000 7,026
Westvaco Corp.
9.650% due 03/01/2002 150 156
Whitman Corp.
6.250% due 05/01/2000 15,800 15,800
Williams Communications Group, Inc.
6.540% due 11/15/2001 8,800 8,800
WMX Technologies
6.700% due 05/01/2001 10,000 9,684
7.000% due 10/15/2006 500 435
Wr-b Interest Owners Tr Nt (ene)
7.410% due 06/30/2000 (d)(l) 25,802 25,771
Xerox Corp.
5.875% due 06/01/2000 22,500 22,459
6.500% due 06/29/2000 280 280
5.750% due 07/21/2000 500 499
5.400% due 09/11/2000 400 398
7.410% due 05/15/2001 1,000 1,004
Yorkshire Power
6.154% due 02/25/2003 17,000 16,208
----------
2,883,351
==========
Utilities 6.5%
AEP Resources, Inc.
6.500% due 12/01/2003 20,000 19,056
Alabama Power Co.
5.350% due 11/15/2003 1,600 1,501
Arizona Public Service
5.750% due 09/15/2000 250 248
6.490% due 06/30/2001 13,757 13,692
Ashland, Inc.
8.450% due 12/05/2001 3,000 3,056
AT&T Corp.
5.125% due 04/01/2001 600 589
7.350% due 08/27/2001 7,200 7,219
7.125% due 01/15/2002 275 274
7.000% due 05/15/2005 200 197
6.000% due 03/15/2009 50 45
6.500% due 03/15/2029 170 147
Baltimore Gas & Electric
6.125% due 07/01/2003 150 144
Beaver Valley Funding Corp.
8.250% due 06/01/2003 596 592
8.625% due 06/01/2007 5,000 5,004
9.000% due 06/01/2017 235 240
BellSouth Telecommunications, Inc.
7.500% due 06/15/2033 185 172
Calpine Corp.
9.250% due 02/01/2004 4,150 4,181
7.625% due 04/15/2006 7,000 6,620
7.875% due 04/01/2008 2,500 2,353
Central Maine Power Co.
6.500% due 06/14/2000 5,500 5,489
Central Power & Light Co.
6.710% due 11/23/2001 (d) 18,100 18,105
Chesapeake & Potomac Telephone
5.625% due 03/01/2007 500 445
8.000% due 10/15/2029 1,125 1,180
Cleveland Electric Illuminating Co.
9.500% due 05/15/2005 13,000 13,203
CMS Energy
7.375% due 11/15/2000 76,695 75,972
8.125% due 05/15/2002 18,725 18,462
8.375% due 07/01/2003 15,000 14,514
7.000% due 01/15/2005 30,000 27,416
Commonwealth Edison
6.210% due 06/15/2002 (d) 1,000 999
6.625% due 07/15/2003 1,000 973
9.875% due 06/15/2020 11,700 12,869
Connecticut Light & Power Co.
5.750% due 07/01/2000 1,590 1,585
7.875% due 06/01/2001 100 100
7.750% due 06/01/2002 5,000 4,990
8.590% due 06/05/2003 27,000 26,127
Consolidated Edison
6.250% due 12/15/2001 (d) 10,000 10,009
6.625% due 02/01/2002 100 99
Consolidated Natural Gas
7.250% due 10/01/2004 43,750 43,111
Cox Enterprises, Inc.
6.625% due 06/14/2002 5,250 5,116
Duke Energy Corp.
7.000% due 06/01/2000 700 700
5.875% due 06/01/2001 250 246
6.750% due 08/01/2025 25 22
Duqestne Light Co.
6.100% due 05/10/2000 1,000 1,000
Dynegy, Inc.
7.500% due 06/15/2009 12,000 11,764
East Coast Power LLC
6.737% due 03/31/2008 17,981 16,950
El Paso Electric Co.
9.400% due 05/01/2011 7,455 7,907
Enron Corp.
7.660% due 01/14/2002 5,000 5,025
Entergy Mississippi, Inc.
6.699% due 05/03/2004 (d) 31,000 30,881
Flag Ltd.
8.250% due 01/30/2008 1,200 1,068
GTE Corp.
5.500% due 01/15/2009 100 87
7.510% due 04/01/2009 175 174
Hughes Electric
7.451% due 10/23/2000 10,000 9,991
Indiana Bell Telephone Co., Inc.
5.500% due 04/01/2007 500 446
Indiana Michigan Power
6.530% due 11/22/2000 (d) 2,500 2,506
Indianapolis Power & Light
7.375% due 08/01/2007 225 224
Kansai Electric Power Co.
7.250% due 09/25/2006 2,000 1,973
Kentucky Power Co.
6.569% due 11/02/2000 (d) 7,300 7,300
Kerr-McGee Corp.
10.000% due 04/01/2001 9,663 9,881
6.414% due 08/01/2001 (d) 22,100 22,101
6.703% due 11/01/2001 80,500 80,170
Korea Electric Power
7.000% due 10/01/2002 180 174
3.882% due 10/31/2002 (d) 18,900 8,896
6.375% due 12/01/2003 220 206
Louisiana Power & Light Co.
7.740% due 07/01/2002 599 596
MCI Worldcom, Inc.
6.270% due 08/17/2000 (d) 20,000 20,003
6.125% due 08/15/2001 1,330 1,314
6.125% due 04/15/2002 1,250 1,219
8.875% due 01/15/2006 24,529 25,560
Montana Power Co.
6.293% due 04/06/2001 (d) 15,000 15,003
National Power Corp.
9.625% due 05/15/2028 16,000 13,443
National Rural Utilities Cooperative
6.250% due 04/15/2003 50,000 48,189
New Century Energies, Inc.
5.860% due 05/30/2000 24,400 24,350
2000 Annual Report See accompanying notes 63
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
New England Telephone & Telegraph Co.
6.375% due 09/01/2008 $ 1,350 $ 1,262
New Jersey Bell Telephone
4.875% due 11/01/2000 800 790
New York Telephone Co.
6.250% due 02/15/2004 150 144
6.000% due 04/15/2008 45 41
6.125% due 01/15/2010 80 72
Niagara Mohawk Power
7.000% due 10/01/2000 60,235 60,122
7.125% due 07/01/2001 20,604 20,323
7.250% due 10/01/2002 24,783 24,481
7.375% due 07/01/2003 39,162 38,189
7.375% due 08/01/2003 1,645 1,642
North Atlantic Energy
9.050% due 06/01/2002 5,995 5,940
Northern Illinois Gas Co.
6.450% due 08/01/2001 1,450 1,437
Northern Telecom Ltd.
8.750% due 06/12/2001 300 305
NRG Energy, Inc.
8.000% due 11/01/2003 6,000 5,956
Nynex Corp.
9.550% due 05/01/2010 6,516 6,990
Ohio Bell Telephone Co.
5.375% due 03/01/2007 950 839
Ohio Power Co.
7.000% due 07/01/2004 24,000 23,213
Oxymar
7.500% due 02/15/2016 100 73
Pacific Gas & Electric Co.
6.750% due 12/01/2000 3,049 3,049
Pacific Northwest Bell
4.375% due 09/01/2002 50 47
Pennsylvania Power & Light
6.000% due 06/01/2000 500 499
Philadelphia Electric
5.625% due 11/01/2001 22,350 21,781
Philippine Long Distance Telephone Co.
7.850% due 03/06/2007 5,000 4,326
10.500% due 04/15/2009 6,000 5,914
PP&L, Inc.
6.125% due 05/01/2001 (d) 16,102 15,949
6.550% due 03/01/2006 500 475
PSEG Energy Holdings
9.125% due 02/10/2004 120 120
Public Service Co. of Colorado
6.000% due 04/15/2003 750 721
Public Service Electric & Gas
6.500% due 06/01/2000 500 500
7.250% due 04/01/2001 (d) 3,191 3,187
6.125% due 08/01/2002 1,000 976
6.250% due 01/01/2007 1,500 1,401
Public Service Enterprise Group, Inc.
6.710% due 11/22/2000 (d) 11,000 11,013
6.350% due 06/15/2001 (d) 156,200 156,290
Queststar Pipeline
9.375% due 06/01/2021 200 219
RAS LAFFAN Liquid Natural Gas
8.294% due 03/15/2014 145 141
Reliant Energy, Inc.
8.750% due 03/01/2022 10,000 10,224
Scana Corp.
6.590% due 02/08/2002 (d) 3,100 3,100
Sierra Pacific Power Co.
6.900% due 10/13/2000 29,000 28,998
Sierra Pacific Resources
7.060% due 05/01/2000 6,000 5,999
6.830% due 10/06/2000 (d) 35,000 34,990
6.200% due 04/15/2004 20,000 18,906
SK Telecom Co. Ltd.
7.750% due 04/29/2004 5,000 4,883
Southern Energy
7.900% due 07/15/2009 175 173
Sprint Capital Corp.
6.386% due 11/15/2001 (d) 100,000 100,079
6.500% due 11/15/2001 370 365
8.125% due 07/15/2002 10,378 10,513
5.875% due 05/01/2004 43,500 41,203
System Energy Resources
7.380% due 10/01/2000 5,000 4,997
7.710% due 08/01/2001 14,850 14,845
Teco Energy, Inc.
5.540% due 09/15/2001 44,630 43,652
Telekomunikacja Polska SA
7.125% due 12/10/2003 12,200 11,704
7.750% due 12/10/2008 13,600 13,202
Tennessee Valley Authority
3.375% due 01/15/2007 (h) 10,647 9,897
0.000% due 04/15/2042 (k) 855 319
Texas Utilities Co.
6.310% due 04/24/2000 (d) 65,100 65,094
6.791% due 06/25/2001 130,200 130,085
6.370% due 08/16/2001 1,000 985
7.105% due 09/24/2001 208,800 209,907
5.940% due 10/15/2001 3,000 2,941
6.500% due 08/16/2002 1,000 987
Texas-New Mexico Power
10.750% due 09/15/2003 11,450 11,589
Toledo Edison Co.
8.180% due 07/30/2002 1,400 1,415
8.700% due 09/01/2002 14,500 14,569
7.850% due 03/31/2003 7,000 7,017
7.875% due 08/01/2004 500 495
Tucson Electric Power
8.500% due 10/01/2009 454 463
TXU Eastern Funding
6.150% due 05/15/2002 53,800 52,321
6.450% due 05/15/2005 8,045 7,486
U.S. West Communications, Inc.
5.650% due 11/01/2004 9,000 8,385
6.625% due 09/15/2005 400 385
6.125% due 11/15/2005 400 376
Union Electric Co.
8.000% due 12/15/2022 1,000 1,027
United Telecom, Inc.
9.500% due 06/06/2001 150 154
Western Massachusetts Electric
7.375% due 07/01/2001 7,000 6,967
Western Resources, Inc.
6.250% due 08/15/2003 13,500 11,621
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/2013 (l) 991 1,024
WorldCom, Inc.
6.400% due 08/15/2005 1,625 1,553
YPF Sociedad Anonima
7.250% due 03/15/2003 16,475 16,044
----------
2,044,829
----------
Total Corporate Bonds & Notes 14,903,643
(Cost $15,074,637) ==========
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.5%
--------------------------------------------------------------------------------
Alabama 0.0%
Jefferson County Alabama Revenue, (FGIC Insured), Series 1999
5.125% due 02/01/2029 9,000 8,055
5.000% due 02/01/2033 1,250 1,083
----------
9,138
==========
California 0.0%
San Francisco California City & County Airport
Community Revenue, (MBIA Insured), Series 1998
4.500% due 05/01/2028 6,700 5,468
----------
Florida 0.1%
Florida State Bridge Capital Outlay, (FGIC Insured)
Series 1999 4.500% due 06/01/2023 7,000 5,801
64 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Florida State Government Utilities Authority,
(AMBAC Insured), Series 1999
5.000% due 10/01/2029 $ 6,205 $ 5,468
5.000% due 10/01/2029 6,700 5,904
Florida State Turnpike Authority Revenue,
Series 1998 4.500% due 07/01/2027 11,500 9,424
Greater Orlando Aviation Authority, Orlando Florida Airport
Facilities Revenue Bonds, (FGIC Insured), Series 1999
5.125% due 10/01/2028 2,000 1,783
Lakeland Florida Electric & Water Revenue, (MBIA Insured),
Series 1999 5.000% due 10/01/2028 5,350 4,723
----------
33,103
==========
Georgia 0.1%
Georgia Government Partnership, (MBIA Insured)
4.750% due 06/01/2028 18,700 15,785
----------
Hawaii 0.1%
Honolulu Hawaii City & County Wastewater
System Revenue, (FGIC Insured),
Series 1998 4.750% due 07/01/2028 14,400 12,170
----------
Illinois 0.0%
Chicago Illinois Lakefront Millennium Package Facilities,
(MBIA Insured), Series 1998 5.125% due 01/01/2028 6,200 5,466
----------
Massachusetts 0.1%
Massachusetts Bay Transportation Authority,
(MBIA Insured), Series 1998
4.750% due 03/01/2021 8,300 7,197
Massachusetts State Turnpike Authority Metro
Highway System, (AMBAC Insured),
Series 1999 5.000% due 01/01/2039 11,300 9,681
----------
16,878
==========
Mississippi 0.0%
Mississippi Development Bank Obligation,
(AMBAC Insured), Series 1999 5.000% due 07/01/2024 5,000 4,458
----------
Nevada 0.0%
Clark County Nevada Passenger Facility Charge Revenue,
(MBIA Insured), Series 1998 4.750% due 07/01/2022 6,000 5,137
----------
New York 0.1%
Long Island Power Authority New York Electric System,
(FSA Insured), Series 1998 5.125% due 12/01/2022 9,000 8,149
New York City Municipal Bond, Series 1997
6.346% due 08/01/2002 (d) 11,058 11,047
New York City Transitional Finance Authority Revenue,
(FGIC Insured), Series 1998 4.750% due 11/15/2023 5,000 4,283
New York City, New York, Series D
6.346% due 08/01/2002 (d) 14,815 14,815
New York State Dorm Authority Lease Revenue
4.750% due 01/15/2029 3,850 3,198
5.625% due 04/01/2029 1,000 959
----------
42,451
==========
Pennsylvania 0.0%
Philadelphia PA School District, (MBIA Insured),
Series 1998 4.750% due 04/01/2027 6,300 5,305
Pittsburgh & Allegheny County Pa, (AMBAC Insured),
Series 1999 5.000% due 02/01/2029 500 436
----------
5,741
==========
Texas 0.0%
Houston Texas Airport System Revenue, (FGIC Insured),
Series 1998 5.000% due 07/01/2025 5,500 4,808
----------
Utah 0.0%
Weber County, Utah Hospital Revenue Bonds,
Series 1999 5.000% due 08/15/2030 500 419
----------
Washington State 0.0%
Seattle Washington, General Obligation Limited,
Series F 5.125% due 12/15/2028 6,000 5,318
----------
Total Municipal Bonds & Notes 166,340
(Cost $165,094) ==========
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.5%
--------------------------------------------------------------------------------
A.I.D. Housing Guarantee - Peru
9.980% due 08/01/2008 935 979
Federal Home Loan Bank
0.000% due 05/12/2000 (d) 185,400 185,398
5.500% due 07/14/2000 1,150 1,148
5.663% due 02/15/2002 (d) 17,000 16,706
5.135% due 09/22/2003 600 565
6.000% due 06/30/2004 1,000 960
5.365% due 12/11/2008 600 527
Federal Home Loan Mortgage Corp.
7.000% due 02/15/2003 500 499
Federal National Mortgage Assn.
9.050% due 04/10/2000 400 400
5.650% due 06/12/2000 50 50
5.560% due 07/24/2000 440 439
5.375% due 03/15/2002 750 729
7.250% due 06/20/2002 55,000 27,171
6.000% due 03/03/2003 500 486
5.750% due 06/15/2005 750 708
6.560% due 12/10/2007 190 180
Student Loan Marketing Assn.
5.129% due 06/30/2000 (d) 63,700 63,692
5.711% due 04/25/2004 (d) 10,916 10,902
6.365% due 07/25/2004 (d) 1,059 1,055
6.375% due 10/25/2004 (d) 19,319 19,255
6.395% due 10/25/2004 (d) 32,283 32,206
5.770% due 10/25/2005 (d) 17,554 17,471
6.089% due 10/25/2005 (d) 26,225 26,103
5.909% due 04/25/2006 (d) 97,402 97,034
6.635% due 07/25/2006 (d) 31,287 31,182
6.595% due 01/25/2007 (d) 89,311 89,217
6.565% due 04/25/2007 (d) 165,769 164,952
----------
Total U.S. Government Agencies 790,014
(Cost $791,398) ==========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 12.5%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h) 1,027,517 1,024,628
3.375% due 01/15/2007 (h) 228,023 220,573
3.625% due 01/15/2008 (h) 416,333 405,404
3.875% due 01/15/2009 (h) 207,773 205,631
3.625% due 04/15/2028 (h) 132,570 125,858
3.875% due 04/15/2029 (h) 127,762 126,724
U.S. Treasury Bonds
12.375% due 05/15/2004 1,000 1,213
10.375% due 11/15/2012 250 308
12.000% due 08/15/2013 6,000 8,115
6.500% due 02/15/2015 (j) 287,500 425,231
10.625% due 08/15/2015 144,600 206,552
9.250% due 02/15/2016 250 325
7.250% due 05/15/2016 275 304
7.500% due 11/15/2016 500 567
8.750% due 05/15/2017 300 379
8.875% due 08/15/2017 1,375 1,759
8.125% due 08/15/2019 41,000 49,841
8.750% due 08/15/2020 214,600 277,706
8.125% due 08/15/2021 305 375
8.000% due 11/15/2021 417,600 508,559
7.125% due 02/15/2023 500 560
6.375% due 08/15/2027 100 104
6.250% due 05/15/2030 21,340 22,580
2000 Annual Report See accompanying notes 65
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
U.S. Treasury Notes
5.125% due 08/31/2000 (b) $ 96,835 $ 96,411
6.625% due 05/15/2007 (j) 36,800 37,525
6.125% due 08/15/2007 1,525 1,511
6.500% due 02/15/2010 21,100 21,845
U.S. Treasury Strips
0.000% due 11/15/2006 270 178
0.000% due 02/15/2019 80,000 25,699
0.000% due 05/15/2020 185,600 55,417
0.000% due 11/15/2021 316,200 87,553
----------
Total U.S. Treasury Obligations 3,939,435
(Cost $3,848,029) ==========
-------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 51.1%
-------------------------------------------------------------------------------
Collateralized Mortgage Obligations 21.6%
ABN AMRO Mortgage Corp.
6.500% due 06/25/2029 7,093 6,438
American Southwest Financial Securities Corp.
7.400% due 11/17/2004 36,860 36,882
12.250% due 11/01/2014 38 37
12.500% due 04/01/2015 288 289
12.000% due 05/01/2015 630 644
11.400% due 09/01/2015 422 421
7.248% due 11/25/2038 52,881 50,270
Bank of America Mortgage Securities
6.250% due 07/25/2014 10,272 9,532
6.250% due 08/25/2028 25,000 22,240
6.500% due 05/25/2029 35,732 32,620
7.250% due 10/25/2029 10,003 8,790
Bankers Trust Co.
8.625% due 04/01/2018 41 41
Bear Stearns Mortgage Securities, Inc.
7.000% due 09/20/2012 34,576 33,528
7.000% due 08/20/2018 10,000 9,528
6.625% due 10/25/2023 (d) 3,510 3,536
10.000% due 08/25/2024 5,000 5,440
7.000% due 03/25/2027 7,000 6,585
8.125% due 09/25/2027 3,000 3,020
7.000% due 02/25/2028 10,000 9,498
Cendant Mortgage Corp.
6.503% due 11/18/2028 (d) 13,937 13,118
6.503% due 11/18/2028 (d) 5,762 4,900
Centre Re Series 1999 - ZC - 1
6.715% due 02/01/2009 30,859 29,209
Chase Mortgage Finance Corp.
8.250% due 10/25/2010 424 422
7.000% due 07/25/2024 3,604 3,579
7.000% due 08/25/2024 3,052 2,941
6.750% due 03/25/2025 8,525 7,153
6.203% due 04/25/2025 (d) 21,540 21,894
6.350% due 07/25/2029 74,414 72,730
Chemical Mortgage Securities
7.250% due 01/25/2026 11,575 11,262
Citicorp Mortgage Securities, Inc.
7.030% due 10/25/2022 (d) 10,949 10,985
6.250% due 04/25/2024 11,796 10,001
7.250% due 10/25/2027 20,462 19,429
6.750% due 09/25/2028 8,859 8,276
5.900% due 05/25/2029 21,125 20,903
CMC Securities Corp.
7.373% due 09/25/2023 (d) 4,376 4,350
7.862% due 04/25/2025 (d) 183 185
7.250% due 11/25/2027 9,349 9,049
6.750% due 05/25/2028 5,000 4,648
Collateralized Mortgage Obligation Trust
10.200% due 02/01/2016 2,567 2,598
7.250% due 04/23/2017 70 69
8.000% due 09/20/2021 6,962 6,991
Collateralized Mortgage Securities Corp.
11.450% due 09/01/2015 1,068 1,076
11.450% due 11/01/2015 (d) 140 141
8.750% due 04/20/2019 465 473
Comm
6.145% due 02/15/2008 16,056 15,289
6.488% due 12/16/2011 (d) 9,000 9,014
Countrywide Home Loans
6.500% due 07/25/2013 5,676 5,218
7.334% due 07/25/2024 (d) 3,898 3,889
6.750% due 11/25/2025 25,567 22,873
7.500% due 06/25/2027 12,194 12,021
7.500% due 09/25/2027 20,000 19,435
7.250% due 12/25/2027 6,224 6,028
7.250% due 02/25/2028 57,846 54,913
6.750% due 06/25/2028 15,103 13,339
6.750% due 08/25/2028 12,807 12,631
6.750% due 11/25/2028 3,000 2,819
6.500% due 01/25/2029 24,978 22,844
6.500% due 03/25/2029 16,744 15,230
6.050% due 04/25/2029 965 945
7.250% due 08/25/2029 5,700 5,353
Crusade Global Trust
6.400% due 02/15/2030 (d) 100,000 100,250
CS First Boston Mortgage Securities
6.750% due 12/27/2028 12,189 10,494
DLJ Mortgage Acceptance Corp.
8.154% due 05/25/2024 (d) 117 119
6.850% due 12/17/2027 6,605 6,516
Donaldson, Lufkin & Jenrette
6.446% due 08/01/2021 (d)(l) 4,540 4,606
7.922% due 12/25/2022 (d) 1,917 1,938
8.112% due 03/25/2024 (d) 541 550
Drexel Mortgage Funding
9.500% due 11/20/2017 715 707
8.600% due 03/01/2018 180 180
FBS Mortgage Corp.
7.136% due 11/25/2024 518 516
Federal Home Loan Mortgage Corp.
6.750% due 10/15/2003 16,183 15,917
7.000% due 10/15/2003 4,007 3,991
7.500% due 11/01/2003 5,165 5,147
6.000% due 06/15/2005 2,692 2,686
10.150% due 04/15/2006 6 6
6.500% due 07/15/2006 11,069 11,003
6.500% due 08/15/2006 710 706
7.500% due 05/01/2007 1,526 1,532
5.500% due 10/15/2007 5,782 5,705
6.500% due 05/15/2008 1,000 982
4.675% due 06/15/2008 (d) 169 150
6.000% due 11/15/2008 225 213
6.200% due 12/15/2008 4,350 3,900
6.000% due 03/15/2009 265 252
7.550% due 03/15/2012 180 179
8.500% due 08/15/2013 2,000 2,039
8.500% due 09/15/2013 5,941 6,038
6.000% due 11/15/2014 400 354
5.400% due 05/25/2016 18,502 18,368
7.000% due 11/15/2016 2,922 2,917
6.250% due 10/15/2017 21,354 21,131
5.900% due 03/15/2018 5,533 5,482
6.350% due 03/25/2018 200 197
5.250% due 05/15/2018 316 313
10.000% due 08/01/2018 65 70
6.400% due 02/15/2019 16,934 16,763
6.500% due 05/15/2019 277 276
6.250% due 07/15/2019 27,756 27,532
5.000% due 08/15/2019 118 115
7.500% due 01/15/2020 4,037 4,043
6.388% due 06/15/2020 (d) 89 89
5.250% due 07/15/2020 382 374
5.500% due 10/15/2020 72 71
9.500% due 11/15/2020 3,855 3,948
9.000% due 12/15/2020 2,724 2,806
8.750% due 12/15/2020 1,265 1,277
6.000% due 12/15/2020 282 267
6.250% due 01/15/2021 200 193
9.500% due 01/15/2021 2,234 2,313
8.000% due 04/15/2021 96 97
66 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
6.500% due 05/15/2021 $ 119 $ 117
6.500% due 05/17/2021 72 68
8.500% due 06/15/2021 26,071 26,729
6.950% due 07/15/2021 505 493
8.000% due 07/15/2021 11,237 11,280
9.000% due 07/15/2021 1,998 2,077
9.500% due 07/15/2021 1,618 1,650
8.000% due 08/15/2021 23,472 23,620
6.200% due 08/15/2021 1,467 1,447
6.950% due 08/15/2021 166 163
6.500% due 09/15/2021 1,049 1,008
7.000% due 09/15/2021 171 167
6.500% due 09/15/2021 28,978 28,343
7.000% due 09/15/2021 131 128
7.000% due 10/15/2021 12 12
8.000% due 12/15/2021 17,686 17,918
6.850% due 01/15/2022 700 686
8.250% due 06/15/2022 5,000 5,079
7.000% due 07/15/2022 9,075 8,756
8.500% due 10/15/2022 7,618 7,802
7.500% due 01/15/2023 17,089 16,562
7.000% due 05/15/2023 8,532 7,871
7.000% due 07/15/2023 261 242
6.500% due 07/15/2023 272 259
7.500% due 07/15/2023 395 397
6.500% due 08/15/2023 162,855 159,490
7.500% due 01/20/2024 135 134
6.500% due 02/15/2024 22 21
5.000% due 02/15/2024 116 99
8.000% due 04/25/2024 457 465
6.250% due 05/15/2024 12,947 11,290
7.250% due 08/15/2024 190 188
8.000% due 09/15/2024 16,250 16,431
7.000% due 11/17/2025 40 39
6.500% due 03/15/2026 110 102
7.162% due 10/01/2026 (d) 3,198 3,294
6.000% due 11/15/2026 550 497
7.500% due 01/15/2027 24,258 23,972
8.000% due 02/15/2027 33,246 33,550
7.500% due 03/17/2027 20,000 19,925
6.750% due 05/15/2027 1,489 1,437
7.500% due 06/20/2027 18,850 18,121
6.500% due 08/15/2027 15,143 12,979
6.500% due 10/15/2027 32,300 28,817
6.000% due 11/15/2027 665 602
6.500% due 01/25/2028 8,691 7,605
7.000% due 02/15/2028 1,735 1,598
6.500% due 04/15/2028 157,334 143,400
6.500% due 05/15/2028 48,000 41,416
6.500% due 06/15/2028 56,878 47,571
6.500% due 06/20/2028 22,646 19,079
6.500% due 07/15/2028 68,191 54,516
6.500% due 08/15/2028 267,517 223,489
7.000% due 11/15/2028 9,000 8,487
6.500% due 12/15/2028 6,832 5,406
6.000% due 12/15/2028 22,772 18,773
6.500% due 01/15/2029 10,411 9,564
6.000% due 02/15/2029 3,758 2,820
6.500% due 03/15/2029 25,470 22,928
6.500% due 06/01/2029 110 103
6.500% due 07/01/2029 1,119 1,051
8.000% due 07/15/2029 1,250 1,210
6.165% due 08/15/2032 (d) 28,544 27,409
Federal National Mortgage Assn
9.100% due 02/25/2002 1,033 1,036
7.500% due 05/25/2005 6,700 6,724
7.500% due 02/25/2006 375 373
6.500% due 05/01/2006 172 169
6.500% due 07/25/2006 68 68
8.000% due 11/25/2006 30 30
6.500% due 05/25/2007 8,425 8,284
6.000% due 07/25/2007 300 293
8.804% due 08/25/2007 (d) 10 9
6.270% due 09/25/2007 3,000 2,842
7.000% due 10/25/2007 200 198
6.500% due 05/25/2008 500 490
10.500% due 08/25/2008 7,146 7,737
6.000% due 08/25/2008 86 85
7.452% due 09/25/2008 (d) 1,606 1,433
6.750% due 11/25/2010 1,117 1,109
7.000% due 01/25/2011 198 197
6.000% due 03/18/2015 15,908 15,714
8.000% due 12/25/2016 199 197
9.250% due 04/25/2018 192 201
9.300% due 05/25/2018 730 756
6.425% due 06/25/2018 (d) 3 3
9.500% due 06/25/2018 420 442
5.500% due 07/25/2018 6 6
9.500% due 11/25/2018 8,826 9,041
6.000% due 02/25/2019 5,000 4,916
6.500% due 03/25/2019 885 862
9.500% due 06/25/2019 1,466 1,527
5.650% due 07/25/2019 1,500 1,488
9.300% due 08/25/2019 81 85
6.350% due 08/25/2019 277 273
8.000% due 10/25/2019 1,718 1,718
9.000% due 12/25/2019 6,578 6,718
7.500% due 12/25/2019 81 80
6.500% due 03/25/2020 69 69
7.500% due 05/25/2020 3,630 3,612
6.750% due 06/25/2020 759 756
6.356% due 07/18/2020 (d) 62 62
7.000% due 09/25/2020 15,966 15,832
5.000% due 09/25/2020 200 186
9.000% due 09/25/2020 3,811 3,926
8.000% due 12/25/2020 25,229 25,476
6.375% due 12/25/2020 (d) 19 19
9.000% due 01/25/2021 5,999 6,218
8.750% due 01/25/2021 3,469 3,532
5.750% due 02/18/2021 100 94
9.000% due 03/25/2021 524 536
7.500% due 03/25/2021 5,480 5,468
7.000% due 05/25/2021 300 289
7.500% due 06/25/2021 70 70
6.500% due 06/25/2021 5,932 5,636
8.000% due 07/25/2021 16,336 16,372
8.500% due 09/25/2021 5,851 5,957
7.000% due 10/25/2021 8,997 8,756
8.000% due 10/25/2021 22,645 22,812
7.000% due 11/25/2021 24,015 23,679
6.000% due 12/25/2021 45 44
8.000% due 01/25/2022 21,700 21,742
8.000% due 03/25/2022 96 96
7.000% due 04/25/2022 17,091 16,274
10.000% due 05/01/2022 152 162
7.375% due 05/25/2022 8,894 8,688
8.000% due 06/25/2022 3,710 3,715
7.000% due 06/25/2022 1,416 1,381
8.000% due 07/25/2022 58,786 59,172
7.000% due 07/25/2022 6,172 6,056
6.500% due 10/25/2022 3,919 3,507
7.800% due 10/25/2022 3,674 3,654
6.500% due 12/25/2022 230 222
3.663% due 02/25/2023 (d) 14,032 660
7.000% due 03/25/2023 27,899 26,411
6.500% due 05/18/2023 12,369 12,134
6.900% due 05/25/2023 154 142
7.000% due 06/25/2023 4,805 4,155
6.000% due 08/25/2023 10,794 8,728
6.500% due 08/25/2023 44 41
6.000% due 08/25/2023 2,703 2,484
6.750% due 09/25/2023 3,840 3,477
1.000% due 09/25/2023 299 269
7.500% due 10/25/2023 58 57
6.750% due 10/25/2023 578 524
6.500% due 11/25/2023 90 87
7.100% due 12/25/2023 6,769 6,476
6.500% due 12/25/2023 1,125 971
6.500% due 01/25/2024 2,572 2,222
6.500% due 02/25/2024 5,150 4,801
2000 Annual Report See accompanying notes 67
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
7.250% due 02/25/2024 $ 29 $ 29
7.500% due 06/20/2024 120 119
7.000% due 02/18/2025 140 139
6.600% due 05/18/2025 219 205
7.500% due 11/17/2025 289 285
7.500% due 12/25/2025 360 356
7.000% due 02/15/2026 180 175
7.000% due 07/18/2026 450 433
6.500% due 09/18/2026 120 113
7.000% due 12/18/2026 15,751 14,562
6.000% due 12/25/2026 170 156
6.000% due 03/25/2027 320 293
6.000% due 05/17/2027 5,470 4,694
7.000% due 07/18/2027 460 447
8.000% due 08/18/2027 309 93
6.280% due 04/18/2028 (d) 138 137
6.500% due 06/25/2028 3,400 3,046
6.000% due 07/18/2028 8,394 6,982
6.500% due 07/18/2028 67,412 61,660
9.079% due 09/25/2028 23,805 24,750
6.000% due 04/25/2029 10,490 8,172
6.300% due 10/17/2038 14,993 12,996
First Commonwealth Savings & Loan
10.375% due 04/01/2005 17 18
First Nationwide Trust
6.750% due 07/25/2029 11,223 11,081
First Union Residential Securitization, Inc.
7.000% due 04/25/2025 361 345
6.750% due 08/25/2028 9,048 7,987
Gaston Oaks plc
6.930% due 01/01/2036 5,507 5,534
General Electric Capital Mortgage Services, Inc.
6.750% due 12/25/2012 2,889 2,845
6.500% due 09/25/2023 1,175 1,005
6.500% due 12/25/2023 8,631 7,409
6.500% due 01/25/2024 3,895 3,326
6.500% due 02/25/2024 2 2
6.500% due 03/25/2024 63,792 57,007
6.500% due 04/25/2024 64,524 52,207
7.000% due 10/25/2027 14,586 13,633
7.500% due 06/25/2027 3,438 3,368
7.500% due 07/25/2027 10,223 9,980
7.000% due 11/25/2027 72,500 68,902
6.750% due 05/25/2028 23,934 21,610
6.650% due 05/25/2028 7,914 7,756
6.550% due 06/25/2028 23,450 22,312
6.750% due 06/25/2028 21,926 20,474
6.750% due 10/25/2028 9,364 8,722
6.500% due 12/25/2028 19,500 17,767
6.250% due 12/25/2028 55,266 49,490
6.500% due 05/25/2029 9,858 8,941
6.750% due 05/25/2029 20,000 18,562
6.500% due 07/25/2029 95,240 86,391
5.950% due 07/25/2029 24,794 24,274
6.250% due 07/25/2029 132,674 126,507
6.000% due 07/25/2029 18,307 17,753
7.250% due 08/25/2029 8,000 7,513
7.000% due 09/25/2029 15,839 15,066
General Motors Acceptance Corp.
6.700% due 03/15/2008 29,732 28,136
GGP-Homart
6.202% due 06/10/2003 (d) 19,735 19,729
GMAC Commercial Mortgage Securities, Inc.
6.150% due 11/15/2007 21,020 20,003
6.974% due 05/15/2008 29,204 28,578
6.945% due 09/15/2033 24,060 22,829
6.570% due 09/15/2033 31,174 29,851
Goldman Sachs Mortgage Corp.
6.000% due 12/31/2007 (l) 9,086 8,216
Government National Mortgage Assn
6.250% due 06/20/2022 53,459 52,725
7.250% due 12/16/2023 8,617 8,577
7.000% due 01/15/2024 431 420
8.000% due 05/16/2024 95 95
7.000% due 03/20/2026 320 302
7.000% due 08/20/2026 126 120
7.500% due 02/16/2027 19 19
7.500% due 07/16/2027 28,821 27,635
6.500% due 06/20/2028 29,978 26,418
6.500% due 07/20/2028 37,879 29,249
6.500% due 09/20/2028 27,553 22,863
6.500% due 01/20/2029 26,964 21,882
6.500% due 03/20/2029 16,259 14,562
6.000% due 05/20/2029 10,511 8,258
Greenwich
7.272% due 04/25/2022 (d) 594 592
7.352% due 07/25/2022 (d) 1,280 1,275
7.337% due 10/25/2022 (d) 79 79
7.428% due 04/25/2023 (d) 1,141 1,136
7.956% due 04/25/2024 (d) 1,249 1,261
8.423% due 06/25/2024 (d) 1,177 1,201
9.007% due 08/25/2024 (d) 1,700 1,725
8.869% due 11/25/2024 (d) 390 391
GS Mortgage Securities Corp.
6.060% due 10/18/2030 32,437 30,901
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2012 2,350 2,330
7.155% due 12/25/2012 827 815
7.250% due 11/25/2027 5,000 4,851
6.650% due 02/25/2029 1,418 1,415
ICI Funding Corp. Secured Assets Corp.
7.250% due 09/25/2027 18,068 17,415
7.750% due 03/25/2028 1,881 1,807
Imperial CMB Trust
6.820% due 09/25/2026 (d) 7,212 7,215
6.650% due 11/25/2029 1,178 1,159
Independent National Mortgage Corp.
6.650% due 10/25/2024 2,723 2,583
7.218% due 11/25/2024 (d) 1,744 1,769
8.750% due 12/25/2024 30 31
8.539% due 01/25/2025 (d) 142 145
8.000% due 06/25/2025 22 21
7.475% due 07/25/2025 (d) 8,458 8,581
7.416% due 07/25/2025 (d) 3,603 3,624
7.500% due 09/25/2025 1,191 1,187
International Mortgage Acceptance Corp.
12.250% due 03/01/2014 274 307
J.P. Morgan Commercial Mortgage Finance Corp.
9.000% due 10/20/2020 10,667 10,631
8.218% due 04/25/2028 1,615 1,574
6.533% due 01/15/2030 20,000 19,062
7.325% due 07/15/2031 0 0
Kidder Peabody Acceptance Corp.
8.214% due 09/25/2024 (d) 9,678 9,655
LB Mortgage Trust
8.396% due 01/20/2017 13,047 13,484
Mellon Residential Funding Corp.
6.350% due 06/25/2028 22,000 21,168
6.110% due 01/25/2029 23,900 22,728
6.570% due 07/25/2029 44,000 42,585
6.580% due 07/25/2029 55,500 54,918
Merrill Lynch Mortgage Investors, Inc.
7.068% due 06/15/2021 (d) 4,906 4,785
6.658% due 06/15/2021 2,552 2,523
6.808% due 06/15/2021 (d) 5,229 5,079
6.950% due 06/18/2029 40,148 39,744
Midland Realty Acceptance Corp.
7.020% due 01/25/2029 23,022 22,658
Morgan Stanley Capital
6.860% due 05/15/2006 2,386 2,349
6.190% due 01/15/2007 25,166 24,192
6.160% due 04/03/2009 14,006 13,297
7.460% due 02/15/2020 11,450 11,457
6.590% due 10/03/2030 5,806 5,646
Morgan Stanley, Dean Witter, Discover and Co.
6.044% due 07/25/2027 (d) 988 983
Mortgage Capital Funding, Inc.
7.800% due 04/15/2006 500 501
7.008% due 09/20/2006 15,545 15,061
68 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
Nacional Financiera
22.000% due 05/20/2002 (d) $ 300,000 $ 35,685
NationsBanc Montgomery Funding Corp.
6.500% due 07/25/2028 14,470 13,159
6.250% due 10/25/2028 2,000 1,780
Nationslink Funding Corp.
5.805% due 02/10/2001 23,781 23,613
6.333% due 10/22/2004 7,172 6,991
6.240% due 04/10/2007 (d) 8,163 8,166
Nomura Asset Securities Corp.
7.602% due 05/25/2024 (d) 2,934 3,007
Norwest Asset Securities Corp.
6.750% due 12/25/2012 18,016 17,444
6.750% due 09/25/2027 3,591 3,464
6.350% due 04/25/2028 2,443 2,412
6.750% due 05/25/2028 5,000 4,585
6.250% due 08/25/2028 5,356 5,276
6.750% due 10/25/2028 17,236 16,047
6.500% due 12/25/2028 20,000 18,203
6.500% due 01/25/2029 1,072 866
6.500% due 02/25/2029 60,000 54,770
5.950% due 04/25/2029 112,115 106,793
6.500% due 04/25/2029 26,751 24,314
6.300% due 04/25/2029 9,559 9,106
6.200% due 04/25/2029 77,385 73,515
5.950% due 04/25/2029 17,152 16,809
6.000% due 05/25/2029 19,713 19,102
6.500% due 06/25/2029 46,178 41,895
6.750% due 08/25/2029 787 772
7.000% due 09/25/2029 3,333 2,889
6.500% due 10/25/2029 1,990 1,811
7.000% due 11/25/2029 14,942 14,149
PaineWebber Mortgage
6.000% due 04/25/2009 11,951 11,246
PNC Mortgage Securities Corp.
6.750% due 06/25/2016 12,180 11,924
7.000% due 10/25/2027 36,240 34,316
6.750% due 12/25/2027 7,230 6,446
6.500% due 02/25/2028 1,777 1,763
7.000% due 02/25/2028 25,767 24,508
6.984% due 02/25/2028 9,666 9,304
6.625% due 03/25/2028 926 899
7.000% due 05/25/2028 6,918 6,785
6.550% due 07/25/2028 24,500 24,071
6.750% due 07/25/2028 3,527 3,282
6.750% due 09/25/2028 4,000 3,721
6.750% due 10/25/2028 26,133 24,441
6.750% due 12/25/2028 21,709 20,160
6.250% due 01/25/2029 9,263 8,291
6.300% due 03/25/2029 10,000 8,937
6.500% due 06/25/2029 48,600 44,114
6.200% due 06/25/2029 54,237 51,956
Prudential Bache
6.151% due 09/01/2018 (d) 234 229
8.400% due 03/20/2021 6,706 6,770
Prudential Home Mortgage Securities
2.109% due 12/25/2000 (d) 209 203
7.000% due 01/25/2008 23,860 23,472
6.400% due 04/25/2009 1,158 1,150
6.950% due 11/25/2022 222 202
7.000% due 07/25/2023 12,657 12,463
6.750% due 10/25/2023 9,293 7,385
7.756% due 11/25/2023 (d) 872 868
5.900% due 12/25/2023 7,323 7,203
6.050% due 04/25/2024 3,571 3,524
6.800% due 05/25/2024 10,605 9,605
6.000% due 05/25/2024 4 4
6.450% due 11/25/2025 5,264 4,533
2.601% due 12/25/2025 (d) 281 273
Prudential Securities Secured Financing Corp.
6.074% due 01/15/2008 12,945 12,247
6.955% due 06/15/2008 20,169 19,738
PSB Financial Corp.
11.050% due 12/01/2015 477 479
Resecuritization Mortgage Trust
6.750% due 06/19/2028 18,343 17,236
Residential Accredit Loans, Inc.
6.250% due 03/25/2014 318 301
7.250% due 06/25/2027 2,100 2,028
7.500% due 08/25/2027 15,000 14,621
7.000% due 02/25/2028 41,115 39,084
6.500% due 12/25/2028 400 364
6.500% due 05/25/2029 3,000 2,727
6.750% due 06/25/2029 963 923
Residential Asset Securitization Trust
7.375% due 03/25/2027 5,142 4,949
7.000% due 03/25/2027 18 18
7.000% due 10/25/2027 19,642 18,452
6.750% due 06/25/2028 18,259 17,775
6.500% due 12/25/2028 1,250 1,116
6.500% due 03/25/2029 22,700 21,260
Residential Funding Mortgage Securities, Inc.
7.000% due 08/25/2008 6,650 6,606
7.500% due 09/25/2011 19,385 19,270
7.000% due 05/25/2012 3,095 2,977
6.500% due 12/25/2012 18,126 17,105
7.750% due 09/25/2022 444 441
8.000% due 01/25/2023 3,045 3,055
8.000% due 02/25/2023 9,298 9,273
6.500% due 11/25/2023 1,660 1,487
7.500% due 09/25/2025 14,305 14,226
7.500% due 12/25/2025 952 939
7.750% due 11/25/2026 9,000 9,007
7.500% due 04/25/2027 6,253 6,106
7.500% due 06/25/2027 51,535 50,361
7.500% due 07/25/2027 25,265 25,123
7.250% due 08/25/2027 16,000 15,475
7.250% due 10/25/2027 43,645 42,043
7.000% due 11/25/2027 17,000 16,010
6.750% due 02/25/2028 14,038 13,560
6.750% due 05/25/2028 60,741 55,992
6.750% due 06/25/2028 72,098 65,971
6.750% due 08/25/2028 10,000 9,381
6.750% due 09/25/2028 65,993 61,301
6.500% due 10/25/2028 52,000 47,338
6.250% due 11/25/2028 3,000 2,677
6.500% due 12/25/2028 23,400 21,216
6.500% due 01/25/2029 72,314 65,973
6.500% due 03/25/2029 6,980 6,370
6.200% due 05/25/2029 89,761 88,290
6.500% due 06/25/2029 10,974 8,055
6.750% due 07/25/2029 22,600 20,923
7.000% due 10/25/2029 25,260 23,877
7.500% due 11/25/2029 12,338 11,793
Resolution Trust Corp.
6.180% due 09/25/2020 (d)(m) 12,262 4,537
7.331% due 09/25/2020 (d) 1,759 1,547
8.560% due 06/25/2021 (d) 277 276
8.686% due 08/25/2021 7,297 7,268
8.138% due 10/25/2021 (d) 158 157
8.625% due 10/25/2021 145 145
5.585% due 10/25/2021 (d) 139 137
8.640% due 05/25/2022 (d) 1,536 1,524
7.875% due 08/25/2023 (d) 2,001 2,003
8.835% due 12/25/2023 3,300 3,347
9.450% due 05/25/2024 9,677 9,640
7.100% due 12/25/2024 643 640
7.654% due 10/25/2028 (d) 5,814 5,832
6.824% due 10/25/2028 (d) 15,215 15,311
7.515% due 05/25/2029 (d) 2,950 2,921
6.788% due 05/25/2029 (d) 2,854 2,830
RMF Commercial Mortgage Securities, Inc.
6.715% due 01/15/2019 235 225
Ryan Mortgage Acceptance Corp.
9.450% due 10/01/2016 81 83
Ryland Acceptance Corp.
11.500% due 12/25/2016 97 97
8.200% due 09/25/2022 30 30
14.000% due 11/25/2031 896 943
2000 Annual Report See accompanying notes 69
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Ryland Mortgage Securities Corp.
8.200% due 06/25/2021 $ 35 $ 35
7.706% due 08/25/2022 (d) 1,995 2,043
7.132% due 08/25/2029 (d) 2,769 2,785
6.816% due 10/25/2031 (d) 4,546 4,501
Salomon Brothers Mortgage Securities
7.669% due 11/25/2022 (d) 585 585
8.528% due 07/01/2024 (d) 4,525 4,584
6.219% due 04/25/2029 (d) 27,697 27,699
6.259% due 04/25/2029 (d) 7,169 7,170
Santa Barbara Savings
9.500% due 11/20/2018 2,228 2,224
Saxon Mortgage
6.250% due 04/25/2009 4,225 4,181
6.500% due 02/25/2024 2,082 2,033
8.459% due 09/25/2024 (d) 4,464 4,526
Securitized Asset Sales, Inc.
7.707% due 10/25/2023 (d) 1,534 1,528
7.585% due 12/26/2023 (d) 1,321 1,299
7.410% due 09/25/2024 (d) 9,900 9,816
Security Pacific National Bank
6.004% due 03/25/2018 (d) 91 89
Small Business Investment Co.
7.540% due 08/10/2009 87,128 87,396
8.017% due 02/10/2010 104,000 106,791
7.640% due 03/26/2010 69,185 68,860
Southern Pacific Secured Assets Corp.
6.049% due 06/25/2028 (d) 41,153 40,748
Starwood Commercial Mortgage
6.600% due 02/03/2009 12,054 11,684
Structured Asset Mortgage Investments, Inc.
6.905% due 06/25/2028 (d) 40,348 38,812
6.250% due 11/25/2028 14,878 13,263
6.750% due 01/25/2029 10,000 9,281
6.300% due 05/25/2029 21,766 20,944
6.585% due 06/25/2029 (d) 31,842 31,570
7.250% due 07/25/2029 27,623 27,171
6.750% due 05/02/2030 22,701 20,970
Structured Asset Notes Transactions Ltd.
6.650% due 08/30/2005 21,085 20,190
Structured Asset Securities Corp.
7.000% due 12/25/2027 51,500 48,812
TMA Mortgage Funding Trust
6.259% due 01/25/2029 37,974 37,974
Union Planters Mortgage Finance Corp.
6.750% due 01/25/2028 4,000 3,729
6.800% due 01/25/2028 15,000 14,343
Vendee Mortgage Trust
7.750% due 03/15/2016 427 427
7.500% due 08/15/2017 370 371
7.750% due 05/15/2018 550 554
6.500% due 05/15/2020 27,833 25,449
6.836% due 01/15/2030 16,957 16,160
Western Federal Savings & Loan
7.235% due 06/25/2021 (d) 3,808 3,794
----------
6,822,531
==========
Federal Home Loan Mortgage Corporation 1.5%
5.000% due 10/15/2020 1,000 939
5.500% due 04/01/2001-04/13/2030 (g) 6,105 5,446
5.750% due 08/15/2020 300 292
5.861% due 12/01/2026 (d) 6,618 6,484
6.000% due 12/01/2000-02/15/2025 (g) 44,777 43,360
6.125% due 04/01/2017-06/01/2017 (d)(g) 56 56
6.340% due 10/25/2023 (d) 16,742 17,209
6.500% due 07/01/2001-05/01/2029 (g) 169,067 153,868
6.537% due 11/01/2026 (d) 8,141 8,191
6.704% due 11/01/2028 (d) 26,446 25,833
6.750% due 01/17/2025 10,220 10,082
6.775% due 11/01/2003 69 68
6.826% due 07/01/2022 (d) 1,064 1,091
6.863% due 07/01/2025 (d) 7,207 7,239
6.900% due 07/01/2023 (d) 604 629
6.922% due 05/01/2023 (d) 986 1,017
6.945% due 08/01/2023 (d) 1,069 1,109
6.957% due 08/01/2023 (d) 5,750 6,004
7.000% due 05/01/2000-07/01/2028 (g) 14,663 14,478
7.014% due 08/01/2024 (d) 208 216
7.062% due 08/01/2023 (d) 514 530
7.085% due 05/01/2027 (d) 1,045 1,080
7.130% due 09/01/2023 (d) 2,562 2,675
7.141% due 09/01/2023 (d) 10,793 11,178
7.168% due 10/01/2023-07/01/2024 (d)(g) 3,256 3,374
7.200% due 10/01/2006 73,733 72,409
7.243% due 09/01/2023 (d) 1,547 1,602
7.269% due 04/01/2024 (d) 7,202 7,387
7.281% due 09/01/2027 (d) 2,949 2,966
7.324% due 10/01/2023 (d) 1,820 1,869
7.329% due 08/01/2023 (d) 9 10
7.342% due 06/01/2024 (d) 1,143 1,180
7.347% due 10/01/2023 (d) 994 1,021
7.492% due 04/01/2029 (d) 1,421 1,462
7.498% due 01/01/2024 (d) 536 550
7.500% due 09/01/2003-08/01/2027 (g) 11,158 11,134
7.625% due 01/01/2019 (d) 8 8
7.631% due 09/01/2023 (d) 1,513 1,549
7.750% due 04/01/2007 27 27
7.751% due 05/01/2023 (d) 1,832 1,868
7.777% due 04/01/2023 (d) 524 536
7.818% due 01/01/2024 (d) 488 502
7.834% due 07/01/2023 (d) 1,977 2,032
7.907% due 10/01/2023 (d) 507 524
7.954% due 11/01/2023 (d) 416 426
7.957% due 10/01/2023 (d) 1,207 1,251
7.980% due 11/01/2023 (d) 316 325
8.000% due 01/01/2002-09/01/2018 (g) 3,279 3,279
8.188% due 11/01/2023 (d) 347 350
8.250% due 08/01/2007-12/01/2009 (g) 192 196
8.500% due 09/01/2001-11/01/2024 (g) 5,353 5,458
8.750% due 02/01/2001-12/01/2010 (g) 149 150
8.900% due 11/15/2020 13,289 13,526
9.000% due 01/01/2002-09/15/2020 (g) 638 649
9.250% due 06/01/2009-11/01/2013 (g) 104 108
9.500% due 08/01/2001-12/01/2022 (g) 1,447 1,509
9.750% due 03/01/2001-05/01/2009 (g) 62 64
10.000% due 06/01/2004-03/01/2021 (g) 1,134 1,185
10.100% due 09/01/2016 321 341
10.250% due 03/15/2009-05/01/2009 (g) 1,200 1,271
10.500% due 10/01/2017-01/01/2021 (g) 448 481
11.000% due 11/01/2009-05/01/2020 (g) 682 729
11.250% due 10/01/2009-09/01/2015 (g) 133 143
11.500% due 05/01/2000-01/01/2018 (g) 80 87
12.500% due 12/01/2012 19 20
13.250% due 10/01/2013 80 90
14.000% due 04/01/2016 21 24
15.500% due 08/01/2011-11/01/2011 (g) 16 18
16.250% due 05/01/2011 3 3
----------
462,767
==========
Federal Housing Administration 1.5%
6.500% due 02/15/2001-03/01/2040 (g) 8,005 7,322
6.630% due 05/28/2039-07/01/2040 (g) 3,091 2,843
6.687% due 07/25/2040 6,054 5,676
6.750% due 07/15/2001 6,157 5,790
6.755% due 06/25/2039-03/01/2041 (g) 17,647 16,206
6.780% due 05/28/2039 3,908 3,691
6.790% due 05/01/2039 10,902 10,688
6.830% due 12/01/2039 3,497 3,313
6.875% due 11/01/2015 3,153 2,960
6.880% due 10/25/2040-02/01/2041 (g) 22,283 20,728
6.896% due 07/01/2020 24,393 22,929
6.900% due 12/01/2040 22,769 21,502
6.930% due 01/01/2036 15,969 15,800
7.000% due 11/15/2040 1,801 1,693
7.050% due 03/25/2040 4,517 4,238
7.125% due 03/01/2034 4,427 4,246
7.211% due 12/01/2021 2,741 2,723
7.250% due 12/01/2021-06/01/2040 (g) 19,996 19,652
7.310% due 06/01/2041 23,566 22,851
7.315% due 08/01/2019 34,187 32,638
7.317% due 05/01/2019 4,850 4,658
7.350% due 11/01/2022 6,080 6,032
70 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
7.375% due 03/01/2019-01/01/2024 (g) $ 15,732 $ 15,384
7.400% due 02/01/2021 2,290 2,284
7.430% due 12/01/2016-05/01/2025 (g) 116,016 115,048
7.450% due 04/01/2040 2,507 2,464
7.465% due 11/01/2019 31,958 31,896
7.500% due 03/01/2032-09/30/2039 (g) 12,885 12,626
7.580% due 04/01/2040 5,109 5,020
7.630% due 08/01/2041 17,187 16,856
7.650% due 11/01/2018-11/01/2040 (g) 7,560 7,449
7.700% due 03/15/2041 5,557 5,521
7.750% due 11/15/2039 5,538 5,488
7.880% due 12/01/2039 13,423 13,462
8.250% due 10/29/2023-01/01/2041 (g) 9,545 9,628
-------------
481,305
=============
Federal National Mortgage Association 1.2%
4.750% due 11/14/2003 250 232
5.000% due 12/25/2021-04/18/2027 (g) 2,000 1,768
5.500% due 02/01/2014-12/01/2028 (g) 258 235
5.650% due 04/25/2005 40 39
5.911% due 09/01/2017 (d) 4,592 4,406
5.919% due 09/01/2024 (d) 2,201 2,145
5.922% due 11/01/2035 (d) 0 0
6.000% due 05/01/2000-05/01/2029 (g) 46,987 43,790
6.090% due 12/01/2008 49 46
6.190% due 04/01/2027 (d) 148 146
6.200% due 04/25/2005 31 31
6.250% due 07/25/2007 100 99
6.390% due 05/25/2036 28,696 24,160
6.420% due 12/01/2007 150 142
6.450% due 09/25/2016 2,461 2,437
6.500% due 04/01/2003-06/17/2038 (g) 50,514 46,674
6.573% due 04/01/2026 (d) 1,286 1,292
6.600% due 09/25/2018 3,376 3,359
6.633% due 12/01/2027 (d) 9,222 9,224
6.687% due 08/01/2027 (d) 45,986 45,640
6.750% due 08/01/2003 296 295
6.752% due 09/01/2024 (d) 1,442 1,479
6.835% due 07/01/2003 67 66
6.843% due 07/01/2024 (d) 4,961 5,076
6.925% due 10/01/2027 (d) 5,509 5,529
6.950% due 03/25/2026 300 296
7.000% due 07/01/2001-12/20/2027 (g) 124,671 122,451
7.030% due 11/01/2025 (d) 1,409 1,450
7.050% due 11/01/2025 (d) 4,246 4,431
7.102% due 05/01/2024 (d) 2,549 2,692
7.136% due 09/01/2022 (d) 1,330 1,358
7.190% due 05/01/2026 (d) 652 675
7.227% due 09/01/2025 (d) 2,049 2,105
7.250% due 05/01/2002-01/01/2023 (g) 11,048 10,732
7.261% due 09/01/2022 (d) 1,387 1,407
7.289% due 03/01/2025 (d) 3,356 3,455
7.332% due 11/01/2025 (d) 2,193 2,253
7.340% due 01/01/2026 (d) 1,329 1,365
7.350% due 09/01/2027 (d) 2,003 2,055
7.409% due 11/01/2023 (d) 1,050 1,077
7.450% due 11/01/2023 (d) 167 172
7.465% due 10/01/2023 (d) 382 394
7.491% due 01/01/2024 (d) 2,014 2,068
7.500% due 10/01/2002-12/01/2022 (g) 4,098 4,093
7.555% due 12/01/2023 (d) 889 904
7.565% due 12/01/2023 (d) 1,102 1,127
7.566% due 09/01/2023 (d) 3,137 3,284
7.579% due 01/01/2024 (d) 424 431
7.652% due 02/01/2026 (d) 592 602
7.690% due 01/01/2024 (d) 696 707
7.750% due 06/01/2009 170 171
7.853% due 03/01/2026 (d) 2,344 2,395
7.896% due 01/01/2024 (d) 197 202
8.000% due 09/01/2001-02/17/2025 (g) 3,090 3,120
8.250% due 10/01/2008-02/01/2017 (g) 538 547
8.500% due 07/01/2001-02/01/2022 (g) 2,309 2,355
9.000% due 10/01/2004-04/01/2017 (g) 897 924
9.250% due 10/01/2001 6 6
9.500% due 12/01/2006-07/01/2022 (g) 76 80
9.750% due 11/01/2008 60 63
10.000% due 09/01/2003-05/01/2022 (g) 904 960
10.500% due 01/01/2016-04/01/2022 (g) 601 645
10.750% due 03/01/2014 25 27
11.000% due 09/01/2019-11/01/2020 (g) 149 163
11.500% due 08/20/2016-11/01/2019 (g) 92 100
12.000% due 05/01/2016 10 11
12.500% due 10/01/2015 37 41
13.000% due 09/01/2013 35 39
13.250% due 09/01/2011 14 16
14.500% due 11/01/2011-01/01/2013 (g) 49 55
14.750% due 08/01/2012-11/01/2012 (g) 177 208
15.000% due 10/15/2012 95 112
15.500% due 10/01/2012-12/01/2012 (g) 16 19
15.750% due 12/01/2011-08/01/2012 (g) 111 130
16.000% due 09/01/2012 125 144
-------------
382,427
=============
Government National Mortgage Association 24.6%
5.500% due 04/20/2024-04/19/2030 (d)(g) 104,876 100,405
5.650% due 10/15/2012 11 10
6.000% due 10/15/2008-04/19/2030 (d)(g) 1,991,708 1,832,909
6.125% due 11/20/2027 (d) 283 285
6.320% due 02/16/2030 (d) 14,749 14,729
6.375% due 06/20/2021-03/20/2028 (d)(g) 536,285 538,203
6.500% due 05/15/2001-10/15/2038 (d)(g) 2,645,136 2,493,882
6.625% due 01/15/2040 9,635 9,069
6.750% due 07/15/2001-06/20/2028 (d)(g) 434,602 432,182
6.800% due 09/15/2001-10/15/2040 3,000 2,886
6.820% due 09/15/2001 15,415 14,872
6.850% due 10/15/2040 1,706 1,607
6.875% due 04/20/2023 (d) 341 347
7.000% due 10/15/2001-04/19/2030 (g) 551,688 533,275
7.125% due 12/20/2020-12/20/2027 (d)(g) 375,938 380,367
7.250% due 08/20/2027 (d) 50 51
7.500% due 01/15/2003-05/22/2030 (d)(g) 1,290,953 1,279,342
7.700% due 02/15/2002 1,196 1,185
7.750% due 07/15/2001 1,520 1,509
8.000% due 05/15/2001-04/19/2030 (g) 78,758 79,383
8.125% due 07/15/2001-12/01/2039 (g) 3,680 3,722
8.250% due 08/15/2004-05/15/2022 (g) 460 469
8.500% due 06/15/2001-01/20/2027 (g) 6,370 6,506
8.750% due 03/15/2007-07/15/2007 (g) 100 101
9.000% due 06/15/2001-07/20/2022 (g) 4,910 5,116
9.250% due 07/15/2003-12/20/2016 (g) 199 205
9.500% due 04/15/2001-08/15/2023 (g) 4,746 4,999
9.750% due 09/15/2002-01/15/2021 (g) 136 140
10.000% due 04/15/2001-02/15/2025 (g) 5,751 6,136
10.250% due 02/20/2019 28 30
10.500% due 06/15/2004-09/15/2021 (g) 788 848
11.000% due 01/15/2001-03/15/2019 (g) 261 282
11.250% due 03/15/2001-12/20/2015 (g) 37 40
11.500% due 10/15/2010-10/15/2013 (g) 50 56
12.000% due 11/15/2012-05/15/2016 (g) 262 293
12.500% due 01/15/2011 1 1
13.000% due 12/15/2012-10/15/2014 (g) 20 23
13.250% due 10/20/2014 20 23
13.500% due 10/15/2012-11/15/2014 (g) 108 124
15.000% due 02/15/2012-10/15/2012 (g) 99 118
16.000% due 01/15/2012-05/15/2012 (g) 72 86
17.000% due 11/15/2011-12/15/2011 (g) 71 87
-------------
7,745,903
=============
Other Mortgage-Backed Securities 0.7%
Bank of America
9.000% due 03/01/2008 40 41
CDC Depositor Trust I
6.212% due 01/15/2003 (d) 20,709 20,632
Citibank, NA
8.000% due 07/25/2018 45 45
Commercial Mortgage Asset Trust
6.640% due 09/17/2010 455 426
Countrywide Funding Corp.
6.750% due 03/25/2024 11,854 10,313
DBL Mortgage Funding
9.500% due 08/01/2019 8 8
2000 Annual Report See accompanying notes 71
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.
11.875% due 06/15/2013 $ 40 $ 42
FFCA Secured Lending Corp.
7.850% due 05/18/2017 28,900 28,778
First Interstate Bancorp
9.125% due 01/01/2009 (l) 10 10
General Electric Capital Mortgage
Services, Inc.
7.250% due 07/25/2011 2,638 2,630
General Electric Credit Corp.
8.000% due 03/01/2002 (l) 13 14
German American Capital Corp.
8.360% due 09/30/2002 965 940
4.306% due 07/01/2018 (d) 8,531 8,321
Great Western Savings & Loan
5.952% due 08/01/2017 (d) 127 122
Guardian
6.521% due 12/25/2018 (d) 50 50
Home Savings of America
8.464% due 08/01/2006 56 55
5.722% due 05/25/2027 (d) 2,315 2,196
6.066% due 08/20/2029 (d) 8,761 8,597
Imperial Savings & Loan
8.221% due 01/25/2017 (d) 63 63
8.847% due 07/25/2017 (d) 248 247
LTC Commercial Corp.
7.100% due 11/28/2012 3,232 3,201
Merrill Lynch Mortgage
7.428% due 06/15/2021 (d) 1,089 1,065
Mid-State Trust
8.330% due 04/01/2030 66,403 67,037
Morgan Stanley Mortgage Trust
8.150% due 07/20/2021 5 5
Resolution Trust Corp.
7.408% due 09/25/2020 (d) 218 205
6.897% due 05/25/2029 (d) 3,504 3,462
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 819 820
Sasco Floating Rate Commercial Mortgage
6.280% due 11/20/2001 (d) 58,183 58,326
Sears Mortgage
12.000% due 02/25/2014 617 615
7.431% due 10/25/2022 (d) 2,135 2,159
TIAA Retail Commercial Mortgage
7.170% due 04/15/2008 9,563 9,394
Western Federal Savings & Loan
6.523% due 11/25/2018 (d) 6 6
------------
229,825
============
Stripped Mortgage-Backed Securities 0.0%
Bear Stearns Mortgage Securities, Inc. (IO)
7.200% due 07/25/2024 339 33
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 244 6
6.500% due 11/15/2006 606 14
6.500% due 03/15/2007 726 15
5.750% due 09/15/2007 (d) 5,714 348
6.000% due 10/15/2007 275 18
6.000% due 01/15/2008 128 7
5.428% due 02/15/2008 (d) 576 50
6.400% due 10/15/2008 87 8
6.500% due 08/15/2016 742 12
6.500% due 08/15/2017 189 4
7.000% due 04/15/2018 873 56
7.500% due 08/15/2018 39 1
8.845% due 01/15/2021 2 45
9.000% due 05/15/2022 103 27
6.500% due 09/15/2023 335 42
Federal National Mortgage Association (IO)
6.500% due 07/25/2006 1,143 35
7.272% due 09/25/2006 3 24
6.500% due 02/25/2007 1,579 95
6.500% due 07/25/2007 418 18
6.500% due 09/25/2007 2,093 137
6.500% due 10/25/2007 660 37
6.500% due 03/25/2009 (d) 28,048 546
7.000% due 08/25/2016 48 0
6.500% due 08/25/2020 2,666 264
10.070% due 01/25/2021 0 4
7.500% due 04/25/2021 1,700 282
9.032% due 08/25/2021 6 160
0.950% due 11/25/2021 (d) 26,064 387
6.500% due 10/25/2022 166 15
6.500% due 01/25/2023 3,029 486
Federal National Mortgage Association (PO)
0.000% due 09/01/2007 752 593
0.000% due 02/25/2021 606 592
0.000% due 06/25/2022 589 560
0.000% due 08/25/2023 295 197
PaineWebber (IO)
13.595% due 08/01/2019 1 43
Vendee Mortgage Trust (IO)
0.542% due 06/15/2023 (d) 161,672 2,854
------------
8,015
------------
Total Mortgage-Backed Securities 16,132,773
(Cost $16,410,409) ============
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 8.0%
--------------------------------------------------------------------------------
Advanta Mortgage Loan Trust
6.325% due 05/25/2027 (d) 667 657
6.525% due 08/25/2029 (d) 3,040 3,050
Advanta Revolving Home Equity Loan Trust
6.249% due 01/25/2024 (d) 32,588 32,609
AFC Home Equity Loan Trust
6.806% due 10/25/2026 (d) 2,711 2,727
Allied Waste Industries, Inc.
8.938% due 07/30/2006 9,736 8,838
Allied Waste North America, Inc.
8.938% due 07/30/2006 (d) 17,309 15,713
9.125% due 07/30/2007 (d) 24,881 22,587
9.188% due 07/30/2007 (d) 7,573 6,875
America West Airlines
10.500% due 01/02/2004 (d) 20 20
American Express Credit Account Master Trust
6.800% due 12/15/2003 1,500 1,496
American Express Master Trust
7.850% due 08/15/2005 220 225
American Stores Co.
6.504% due 08/30/2004 20,000 19,776
Americredit Automobile Receivable Trust
6.540% due 05/12/2001 222 222
5.304% due 10/12/2002 17,594 17,494
5.780% due 05/12/2003 43,000 42,272
Amresco Residential Securities Mortgage Loan Trust
6.325% due 10/25/2027 (d) 2,920 2,919
6.280% due 05/25/2028 (d) 18,759 18,748
7.875% due 09/25/2028 (d) 2,448 2,356
Arcadia Automobile Receivables Trust
6.250% due 09/15/2002 45,649 45,611
5.900% due 11/15/2002 17,289 17,248
6.300% due 07/15/2003 26,025 25,735
6.900% due 12/15/2003 19,431 19,333
Associates Manufactured Housing
7.000% due 03/15/2027 6,258 6,256
Banc One Home Equity Trust
6.460% due 06/25/2029 30,682 30,508
BankBoston Home Equity Loan Trust
6.280% due 11/25/2010 82 82
Bayview Financial Acquisition
6.429% due 02/25/2029 (d) 5,593 5,597
Brazos Student Loan Finance Co.
6.430% due 06/01/2023 (d) 32,700 32,368
6.093% due 12/01/2025 (d) 22,750 22,797
California Infrastructure
6.150% due 06/25/2002 1,143 1,142
Champion Home Equity Loan Trust
6.139% due 03/25/2029 (d) 5,467 5,431
Charter Commercial Holdings LLC
8.540% due 03/31/2008 19,297 19,134
8.580% due 03/31/2008 22,703 22,510
72 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Chase Credit Card Master Trust
6.660% due 01/15/2007 $ 645 $ 631
Chase Manhattan Auto Owner Trust
5.750% due 10/15/2001 221 221
Chase Manhattan Grantor Trust
5.200% due 02/15/2002 157 156
6.610% due 09/15/2002 1,119 1,119
Chase Mortgage Finance Corp.
6.750% due 10/25/2028 39,000 36,191
Citibank Credit Card Master Trust
6.473% due 05/15/2002 600 600
CMC Securities Corp. IV
7.250% due 11/25/2027 1,221 1,184
Columbia/HCA Healthcare
6.730% due 07/15/2045 14,760 13,682
Community Program Loan Trust
4.500% due 10/01/2018 25,435 22,574
4.500% due 04/01/2029 26,000 19,159
Conseco Finance
6.290% due 10/15/2030 20,072 20,042
Contimortgage Home Equity Loan Trust
6.174% due 10/15/2012 (d) 6,628 6,622
6.130% due 03/15/2013 4,262 4,242
6.420% due 04/25/2014 494 491
6.400% due 06/15/2014 2,000 1,978
6.770% due 01/25/2018 41,700 40,722
6.990% due 03/15/2021 350 348
6.930% due 11/25/2022 36,800 36,249
7.220% due 01/15/2028 80 79
6.144% due 06/15/2028 (d) 3,780 3,774
6.214% due 08/15/2028 (d) 1,393 1,392
Copelco Capital Funding Corp.
6.340% due 07/20/2004 13 13
CPS Auto Trust
5.995% due 06/15/2002 7,000 6,993
Cross Country Master Credit
6.281% due 06/15/2006 (d) 300 300
CS First Boston Mortgage Securities Corp.
6.750% due 09/25/2028 6,960 6,475
Daimler-Benz Vehicle Trust
5.230% due 12/20/2001 110 110
6.050% due 03/31/2005 3,224 3,208
Delta Air Lines Equipment Trust
9.230% due 07/02/2002 (l) 7,081 7,211
10.500% due 01/02/2007 (l) 6,167 6,756
10.570% due 01/02/2007 (l) 15,881 18,105
9.550% due 01/02/2008 (l) 7,773 8,138
10.430% due 01/02/2011 960 1,042
10.000% due 06/05/2013 10,828 11,795
Delta Funding Home Equity Loan
6.140% due 02/15/2018 38,082 37,907
6.191% due 09/15/2029 (d) 12,019 12,072
Discover Card Master Trust
5.600% due 05/16/2006 1,600 1,518
6.260% due 10/16/2013 (d) 400 404
Duck Auto Grantor Trust
5.650% due 03/15/2004 8,073 7,950
DVI Business Credit Receivable
6.461% due 10/15/2003 (d) 3,850 3,894
EQCC Home Equity Loan Trust
6.235% due 04/15/2008 10 10
6.050% due 01/25/2010 254 253
6.548% due 04/25/2010 446 443
6.710% due 07/15/2011 226 226
6.045% due 10/15/2027 (d) 988 987
5.770% due 03/20/2029 249 247
Equivantage Home Equity Loan Trust
6.550% due 10/25/2025 87 85
Felco Funding LLC
5.980% due 09/15/2001 453 451
Fidelity Equipment Lease Trust
5.860% due 09/15/2001 27,949 27,823
First Alliance Mortgage Loan Trust
6.451% due 03/20/2031 (d) 17,761 17,772
First Merchants Auto Trust
6.850% due 11/15/2002 34 34
First Omni Bank
6.650% due 09/15/2003 (d) 1,500 1,495
First Plus Home Loan Trust
6.800% due 03/10/2012 9,940 9,929
First Security Auto Grantor Trust
6.100% due 04/15/2003 1,126 1,123
5.970% due 04/15/2004 168 166
First Security Auto Owner Trust
5.492% due 04/15/2002 200 200
First Security Corp.
5.875% due 11/01/2003 9,000 8,520
First Union Master Credit Card Trust
6.633% due 09/15/2003 88,750 88,900
First USA Credit Card Master Trust
6.125% due 09/17/2003 (d) 300 300
FMAC Loan Receivables Trust
6.200% due 09/15/2020 300 289
6.500% due 09/15/2020 246 222
6.830% due 09/15/2020 680 612
Ford Credit Auto Owner Trust
6.050% due 04/15/2001 66 66
5.310% due 04/16/2001 71 71
5.470% due 09/15/2001 560 558
5.650% due 10/15/2001 106 105
5.770% due 11/15/2001 20,799 20,747
6.200% due 04/15/2002 721 720
Ford Motor Credit Corp.
5.500% due 02/15/2003 5,300 5,234
Fred Meyer, Inc.
6.813% due 03/19/2003 (d) 12,405 12,261
General Motors Acceptance Corp.
6.500% due 04/15/2002 7,182 7,160
GMAC Mortgage Corp. Loan
6.270% due 11/18/2025 (d) 46,648 46,672
7.930% due 03/25/2030 42,000 41,905
Green Tree Financial Corp.
7.150% due 07/15/2027 448 449
6.490% due 03/15/2028 50,107 49,789
6.420% due 11/15/2028 2,060 2,050
5.850% due 11/01/2029 104 104
6.870% due 04/01/2030 1,105 1,047
6.660% due 06/01/2030 1,405 1,301
5.600% due 12/01/2030 322 320
5.510% due 02/01/2031 474 472
Green Tree Floorplan Receivables Master Trust
6.811% due 11/01/2004 (d) 46,000 46,273
Green Tree Home Equity Loan Trust
5.590% due 02/15/2013 149 149
6.040% due 06/15/2029 144 144
5.990% due 07/15/2030 506 504
Green Tree Home Improvement Loan
5.907% due 08/15/2007 120 120
6.390% due 01/15/2029 7,984 7,983
Green Tree Lease Finance
6.170% due 09/20/2005 146 146
Green Tree Recreational Equipment
6.430% due 04/17/2006 3,300 3,273
Harley-Davidson Eaglemark
5.250% due 07/15/2003 172 170
HFC Home Equity Loan
6.830% due 12/20/2016 413 411
Honda Auto Receivables Grantor
5.850% due 02/15/2003 69 69
5.950% due 05/15/2003 98 98
Household Consumer Loan Trust
6.305% due 08/15/2006 (d) 22,543 22,296
IKON Receivables LLC
5.600% due 05/15/2005 31,029 30,961
IMC Home Equity Loan Trust
6.310% due 12/20/2012 117 117
7.210% due 07/25/2026 (d) 795 783
IMPAC Secured Assets CMN Owner
7.770% due 07/25/2025 2,000 1,919
2000 Annual Report See accompanying notes 73
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Indymac Home Equity Loan
6.149% due 10/25/2029 (d) $ 17,490 $ 17,468
Indymac Manufactured Housing
6.170% due 12/25/2011 6,000 5,906
Korea National Housing
9.313% due 05/23/2001 (l) 94,000 94,940
Long Beach Acceptance Auto
6.940% due 09/19/2007 4,750 4,727
Lyondell Petroleum
9.383% due 06/17/2003 962 961
9.613% due 12/31/2003 (d) 79,088 79,717
MBNA Master Credit Card Trust
6.050% due 11/15/2002 245 245
Mellon Bank Home Equity
5.900% due 10/25/2010 17,301 17,141
Merit Securities Corp.
6.160% due 07/28/2033 8,909 8,830
7.880% due 12/28/2033 34,400 34,529
Metlife Capital Equipment Loan Trust
6.850% due 05/20/2008 (d) 320 317
Metris Master Trust
6.721% due 04/20/2006 (d) 20,000 20,118
Metropolitan Asset Funding, Inc.
6.585% due 04/25/2029 (d) 14,188 14,095
MMCA Automobile Trust
6.300% due 06/15/2002 616 616
Money Store Home Equity Trust
7.380% due 03/15/2017 29 29
7.550% due 02/15/2020 500 500
6.345% due 11/15/2021 (d) 1,157 1,148
6.015% due 05/15/2025 (d) 3,948 3,951
6.490% due 10/15/2026 17,000 16,915
MPC Natural Gas Funding Trust
6.200% due 03/15/2013 9,546 9,155
Myra Ums Tranche
5.733% due 12/23/2006 1,561 1,430
Myra-United Mexican States
5.813% due 10/20/2006 (d) 444 417
7.000% due 12/23/2006 (d) 2,984 2,805
7.163% due 12/23/2006 (d) 7,976 7,252
7.063% due 12/23/2006 (d) 951 858
7.000% due 12/23/2006 (d) 2,251 2,061
6.188% due 12/23/2006 (d) 31 29
5.813% due 12/23/2006 (d) 4,193 3,783
7.000% due 12/23/2006 (d) 876 771
National Medical Care
7.188% due 09/30/2003 24,597 24,305
7.250% due 09/30/2003 (d) 28,486 28,148
NationsBanc Montgomery Funding Corp.
6.750% due 06/25/2028 10,000 9,298
6.750% due 08/25/2028 20,009 17,579
Nationsbank Credit Card Master Trust
6.450% due 04/15/2003 225 225
New Holland Equipment Receivables
6.390% due 10/15/2002 525 523
Newcourt Receivable Asset Trust
6.240% due 12/20/2004 3 3
Nissan Auto Receivables
6.390% due 10/15/2002 73 73
Nomura CBO Ltd.
6.670% due 05/15/2009 1,900 1,927
Norwest Asset Securities Corp.
6.500% due 04/25/2013 20,642 19,526
6.500% due 06/25/2013 10,696 10,113
7.500% due 03/25/2027 40,787 39,519
6.750% due 05/25/2028 27,707 25,273
6.750% due 07/25/2028 12,657 11,465
6.200% due 09/25/2028 19,077 18,905
NPF XI, Inc.
6.815% due 07/01/2001 8,960 8,959
NPF XII, Inc.
7.050% due 06/01/2003 31,000 30,666
Olympic Automobile Receivable Trust
6.050% due 08/15/2002 10,368 10,364
Option One Mortgage Loan Trust
5.880% due 05/25/2029 238 237
PP&L Transition Bond Co.
6.830% due 03/25/2007 28,800 28,354
Premier Auto Trust
5.770% due 01/06/2002 9,780 9,765
5.820% due 02/08/2002 870 868
Primedia, Inc.
8.740% due 07/31/2004 (d) 20,000 19,860
Republic of Korea
8.063% due 04/08/2001 (d) 5,204 5,224
Residential Asset Securities Corp.
5.979% due 04/25/2014 (d) 439 439
6.960% due 07/25/2014 43,712 43,547
6.240% due 02/25/2017 5,941 5,888
6.600% due 01/25/2020 5,200 5,140
7.075% due 09/25/2020 190 189
7.998% due 10/25/2024 (d) 6,329 6,284
6.781% due 10/25/2027 (d) 2,963 2,954
6.750% due 03/25/2028 40,000 36,659
RJR Nabisco
7.500% due 12/31/2001 (d) 24,948 24,948
Salomon Brothers Mortgage Securities
6.179% due 06/25/2029 (d) 47,846 47,809
6.305% due 11/15/2029 (d) 21,011 21,024
7.043% due 11/15/2029 (d) 5,800 5,799
Saxon Asset Securities Trust
6.355% due 05/25/2029 (d) 11,362 11,336
Sears Credit Account Master Trust
6.050% due 01/16/2008 500 485
7.000% due 07/15/2008 500 498
Stone Container Corp.
9.500% due 10/01/2003 2,716 2,716
9.688% due 10/01/2003 (d) 2,716 2,716
Texas Cable Partners
7.680% due 06/24/2007 5,000 4,975
Total Renal Care
10.250% due 03/31/2008 47,040 40,572
Toyota Auto Lease Trust
6.450% due 04/26/2004 300 298
UCFC Home Equity Loan
6.475% due 06/15/2012 36 36
8.200% due 09/15/2027 70 71
6.870% due 07/15/2029 70 65
UCFC Manufactured Housing
5.945% due 01/15/2010 (d) 8,324 8,331
UniCapital Corp.
6.540% due 07/23/2002 39,800 39,682
United Air Lines Equipment Trust
9.200% due 03/22/2008 3,950 4,142
10.360% due 11/13/2012 7,000 7,859
10.020% due 03/22/2014 6,925 7,588
10.850% due 07/05/2014 34,111 39,726
10.850% due 02/19/2015 1,500 1,736
10.125% due 03/22/2015 14,300 16,464
9.060% due 06/17/2015 5,000 5,367
9.210% due 01/21/2017 2,000 2,078
USAA Auto Loan Grantor Trust
6.150% due 05/15/2004 2,013 2,004
5.800% due 01/15/2005 3,862 3,825
WFS Financial Owner Trust
6.100% due 03/20/2002 43 43
6.411% due 07/20/2002 43,500 43,440
6.920% due 01/20/2004 27,125 27,039
WMC Mortgage Loan
6.335% due 10/15/2029 94,586 94,645
Ziff-Davis, Inc.
9.125% due 03/31/2006 2,850 2,846
----------
Total Asset-Backed Securities 2,507,373
(Cost $2,536,355) ==========
74 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
-----------------------------------------------------------------------------------------
SOVEREIGN ISSUES 2.8%
-----------------------------------------------------------------------------------------
<S> <C> <C>
African Development Bank
9.300% due 07/01/2000 $ 200 $ 201
Central Bank Philippines
6.500% due 06/01/2008 (d) 368 353
Government of Brazil
7.000% due 01/01/2001 (d) 29,372 29,264
6.938% due 04/15/2006 (d) 43,287 39,283
Hellenic Republic
6.684% due 06/06/2001 (d) 20,000 20,327
Hydro Quebec
7.375% due 02/01/2003 150 150
Kingdom of Jordan
5.500% due 12/23/2023 18,000 12,303
Kingdom of Sweden
10.250% due 11/01/2015 500 589
Nacional Financiera
9.750% due 03/12/2002 10,000 10,285
7.975% due 05/08/2003 (d) 7,750 7,694
New Brunswick
7.125% due 10/01/2002 1,700 1,696
Nova Scotia Province
6.099% due 05/14/2001 (d) 5,000 4,991
Providence of Newfoundland
9.000% due 06/01/2019 500 572
Province of Nova Scotia
9.375% due 07/15/2002 1,000 1,043
Province of Ontario
6.125% due 06/28/2000 800 801
7.750% due 06/04/2002 200 202
7.625% due 06/22/2004 1,000 1,016
7.000% due 08/04/2005 1,000 990
6.000% due 02/21/2006 1,800 1,691
5.500% due 10/01/2008 12,000 10,656
Province of Quebec
7.500% due 07/15/2002 6,000 6,031
8.800% due 04/15/2003 100 104
6.270% due 06/11/2004 (d) 15,500 15,464
Republic of Argentina
11.786% due 04/10/2005 (d) 162,145 152,011
Republic of Bulgaria
7.063% due 07/28/2011 (d) 2,500 1,981
2.750% due 07/28/2012 (d) 20,000 14,421
7.063% due 07/28/2024 (d) 32,000 25,722
Republic of Chile
6.875% due 04/28/2009 25,000 23,255
Republic of Colombia
9.750% due 04/23/2009 16,150 15,100
8.700% due 02/15/2016 115 87
Republic of Croatia
7.000% due 02/27/2002 5,650 5,483
Republic of Korea
7.594% due 04/08/2000 (d) 7,132 7,159
8.281% due 04/08/2000 (d) 9,899 9,936
8.594% due 04/08/2000 (d) 26,120 26,218
Republic of Panama
7.875% due 02/13/2002 500 490
7.001% due 05/14/2002 (d) 930 908
4.250% due 07/17/2014 6,250 5,051
Republic of Peru
3.750% due 03/07/2017 2,000 1,226
4.500% due 03/07/2017 (d) 5,750 3,853
Republic of Philippines
6.938% due 01/05/2005 (d) 8,830 8,796
6.500% due 12/01/2017 7,000 6,416
9.875% due 01/15/2019 5,800 5,249
9.500% due 10/21/2024 55,702 53,613
Republic of Poland
3.500% due 10/27/2024 (d) 77,040 47,765
4.000% due 10/27/2024 3,000 2,003
Republica Orient Uruguay
7.250% due 05/04/2009 2,500 2,369
State of Israel
6.200% due 06/14/2003 25 24
United Mexican States
6.930% due 04/07/2000 (d) 81,590 81,657
7.439% due 06/27/2002 (d) 94,250 92,916
6.263% due 04/07/2004 (d) 17,681 17,672
9.780% due 04/07/2004 (d) 45,236 47,298
7.500% due 03/08/2010 15,000 14,555
6.250% due 12/31/2019 38,110 32,526
----------
Total Sovereign Issues 871,466
(Cost $862,873) ==========
<CAPTION>
-----------------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.9%
-----------------------------------------------------------------------------------------
<S> <C> <C>
AXA
2.500% due 01/01/2014 EC 2,475 2,346
City of Montreal
11.500% due 09/20/2000 C$ 7,000 4,948
Commonwealth of New Zealand
10.000% due 03/15/2002 (j) N$ 102,500 53,587
5.500% due 04/15/2003 80,000 38,067
4.500% due 02/15/2016 73,000 35,553
Export-Import Bank Korea
3.840% due 10/06/2000 (d) DM 5,000 2,427
France Telecom
2.000% due 01/01/2004 9,761 3,197
Halifax Group Euro Finance
7.627% due 12/29/2049 (d) EC 8,500 8,240
International Bank for Reconstruction & Development
7.250% due 05/27/2003 (j) N$ 32,500 15,846
Korea Development Bank
3.610% due 05/14/2001 (d) DM 70,000 33,751
2.560% due 06/26/2001 JY 4,000,000 39,536
Newcourt Credit Group
7.625% due 06/28/2001 C$ 9,400 6,589
Republic of Argentina
5.500% due 03/27/2001 JY 4,290,000 41,416
Republic of Brazil
8.250% due 11/26/2001 EC 2,000 1,957
Republic of Philippines
8.000% due 09/17/2004 10,290 9,950
Reynolds, R.J
6.875% due 11/22/2000 DM 9,500 4,658
Tecnost International NV
5.616% due 06/23/2004 (d) 102,284 100,402
United Mexican States
6.000% due 03/28/2002 JY 100,000 1,040
3.100% due 04/24/2002 2,542,000 24,982
8.750% due 05/30/2002 BP 23,000 36,995
10.375% due 01/29/2003 DM 200 107
7.000% due 06/02/2003 C$ 30,200 20,031
6.750% due 06/06/2006 JY 2,000,000 23,371
6.630% due 12/31/2019 FF 60,000 9,520
1.103% due 12/31/2019 (d) JY 1,662,500 15,866
3.850% due 12/31/2019 9,145,000 76,943
----------
Total Foreign Currency-Denominated Issues (e)(f) 611,325
(Cost $601,914) ==========
<CAPTION>
-----------------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.1%
-----------------------------------------------------------------------------------------
<S> <C> <C>
Eurodollar vs. U.S. Dollar (OTC)
Strike @ 0.870 Exp. 06/27/2000 $ 200,000 22,118
----------
Total Purchased Call Options 22,118
(Cost $21,172) ==========
<CAPTION>
-----------------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.4%
-----------------------------------------------------------------------------------------
<S> <C> <C>
Banking & Finance 0.2%
ACOM Co. Ltd.
0.000% due 03/31/2002 150,000 1,729
Bell Atlantic Financial Services
5.750% due 04/01/2003 7,000 7,000
Deutsche Bank Financial
0.000% due 02/12/2017 4,850 2,287
Fuji International Finance Trust
0.250% due 02/01/2002 540,000 4,338
Hellenic Finance
2.000% due 07/15/2003 2,000 1,919
</TABLE>
2000 Annual Report See accompanying notes 75
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
Morgan Stanley, Dean Witter, Discover and Co.
0.000% due 03/02/2006 $ 5,860 $ 4,952
Northern Rock plc
2.000% due 01/02/2000 1,060 23,108
Swiss Life Financial Ltd.
2.000% due 05/20/2003 1,500 1,452
----------
46,785
==========
Consumer Discretionary 0.0%
Costco Wholesale Corp.
0.000% due 08/19/2017 2,000 2,390
----------
Energy 0.0%
Devon Energy Corp.
4.900% due 08/15/2008 2,000 2,013
Diamond Offshore Drill
3.750% due 02/15/2007 2,250 2,585
----------
4,598
==========
Health Care 0.0%
Athena Neurosciences, Inc.
4.750% due 11/15/2004 2,000 2,765
Wellpoint Health Network
0.000% due 07/02/2019 1,500 1,014
----------
3,779
==========
Industrial 0.1%
Centocor, Inc.
4.750% due 02/15/2005 1,900 2,114
Hercules Trust VI
8.625% due 12/29/2000 (d) 9,950 9,947
Roche Holdings, Inc.
0.000% due 01/19/2015 1,000 846
Solectron Corp.
0.000% due 01/27/2019 785 527
Toyoda Automatic Loom
0.350% due 09/30/2003 200,000 2,234
Young & Rubicam, Inc.
3.000% due 01/15/2005 1,090 1,014
----------
16,682
==========
Technology 0.1%
Aether Systems, Inc.
6.000% due 03/22/2005 400 384
Affiliated Computer Services
4.000% due 03/15/2005 1,000 1,021
American Tower Corp.
5.000% due 02/15/2010 2,000 2,291
ASM Lithography Holding
2.500% due 04/09/2005 1,500 1,302
Clear Channel Communications
1.500% due 12/01/2002 1,800 1,683
2.625% due 04/01/2003 1,200 1,479
Commscope, Inc.
4.000% due 12/15/2006 1,000 1,200
Conexant Systems, Inc.
4.250% due 05/01/2006 500 1,596
Cymer, Inc.
3.500% due 08/06/2004 2,000 2,340
EMC Corp.
6.000% due 05/15/2004 2,600 3,998
Hewlett-Packard Co.
0.000% due 10/14/2017 2,000 1,545
Intel Corp.
4.000% due 09/01/2004 450 1,954
Internet Capital Group, Inc.
5.500% due 12/21/2004 1,000 888
Interpublic Group Co., Inc.
1.870% due 06/01/2006 1,500 1,521
Juniper Networks, Inc.
4.750% due 03/15/2007 1,000 998
Stmicroelectron
0.000% due 09/22/2009 1,250 2,125
U.S. Cellular Corp.
0.000% due 06/15/2015 3,500 2,393
Veritas Software Corp.
1.856% due 08/13/2006 750 2,878
Xerox Corp.
0.570% due 04/21/2018 2,500 1,350
----------
32,946
==========
Utilities 0.0%
Alliant Energy Resources
7.250% due 01/02/2000 22 1,755
Liberty Media Group
4.000% due 11/15/2029 1,000 1,564
Telefonos De Mexico S.A
4.250% due 06/15/2004 1,400 2,182
----------
5,501
----------
Total Convertible Bonds & Notes 112,681
(Cost $104,700) ==========
-------------------------------------------------------------------------------
PREFERRED STOCK 0.2%
-------------------------------------------------------------------------------
Shares
Banco Bilbao Vizcaya International
2.438% due 01/02/2000 266,217 6,755
Barclays Bank
2.875% due 01/02/2000 215,500 5,576
Centaur Funding Corp.
90.800% due 01/02/2000 125 131
CSC Holdings, Inc.
11.931% due 01/02/2000 24,904 2,677
Fortis Amev NV
6.430% due 01/02/2000 (d) 171 21,067
Fresenius Medical Care
7.875% due 02/02/2008 4,000 3,565
Home Ownership Funding
133.310% due 01/02/2000 1,125 898
SI Financing Trust
2.375% due 01/02/2000 396,194 10,053
TCI Communications, Inc.
2.500% due 01/02/2000 49,000 1,250
2.430% due 01/02/2000 622,553 16,070
----------
Total Preferred Stock 68,042
(Cost $70,647) ==========
-------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK 0.1%
-------------------------------------------------------------------------------
Banking & Finance 0.0%
Tokai Bank Cvt. Pfd.
2.750% due 10/01/2004 72,000 500
----------
Energy 0.1%
AES Trust III
3.375% due 01/02/2000 40,000 2,700
Apache Corp. Cvt. Pfd.
2.015% due 01/02/2000 60,000 2,700
Coastal Corp. Cvt. Pfd.
1.656% due 01/02/2000 85,000 2,407
Kerr-McGee Corp. Cvt. Pfd.
1.825% due 01/02/2000 87,000 3,915
----------
11,722
==========
Industrial 0.0%
Decs Trust VI Cvt. Pfd.
2.465% due 01/02/2000 45,000 3,825
Qwest Trends Trust Cvt. Pfd.
2.401% due 01/02/2000 14,000 1,099
Tribune Co. Cvt. Pfd.
3.140% due 05/15/2029 4,500 637
----------
5,561
==========
Technology 0.0%
Verio, Inc. Cvt. Pfd.
3.375% due 01/02/2000 20,000 1,125
----------
Utilities 0.0%
Cox Communications, Inc. Cvt. Pfd.
3.500% due 01/02/2000 33,300 2,115
Reliant Energy, Inc. Cvt. Pfd.
3.216% due 01/02/2000 20,000 3,180
Utilicorp United Cvt. Pfd.
2.438% due 01/02/2000 100,000 2,225
----------
7,520
----------
Total Convertible Preferred Stock 26,428
(Cost $20,948) ==========
76 PIMCO Funds See accompanying notes
<PAGE>
Value
(000s)
--------------------------------------------------------------------------------
PREFERRED SECURITY 1.1%
--------------------------------------------------------------------------------
Shares
DG Funding Trust
618.125% due 12/29/2049 35,090 $ 352,266
-----------
Total Preferred Security 352,266
(Cost $350,900) ===========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 3.1%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Certificates of Deposit 0.6%
Commerzbank AG
6.200% due 05/10/2000 $ 85,500 85,500
Dominion Residential, Inc.
6.195% due 01/26/2001 120,800 120,026
-----------
205,526
===========
Commercial Paper 0.7%
Abbott Laboratories
6.020% due 05/02/2000 1,500 1,493
Aristar, Inc.
6.050% due 05/30/2000 2,000 1,980
Bank One Corp.
5.920% due 05/15/2000 1,500 1,490
6.060% due 05/22/2000 5,000 4,959
Bellsouth Telecom
5.840% due 04/03/2000 1,100 1,100
5.820% due 04/05/2000 300 300
British Telecom
5.840% due 04/26/2000 2,900 2,889
Coca-Cola Co.
5.790% due 04/04/2000 1,500 1,500
6.020% due 06/06/2000 15,000 14,831
6.010% due 06/07/2000 1,800 1,779
Conoco, Inc.
5.860% due 04/05/2000 1,600 1,599
5.970% due 04/07/2000 500 500
Cox Communication
6.050% due 04/10/2000 800 799
DaimlerChrysler AG
5.820% due 04/19/2000 400 399
6.100% due 06/29/2000 7,000 6,894
Deutsche Bank Financial
5.930% due 05/30/2000 1,800 1,782
Dominion Residential, Inc.
6.170% due 05/17/2000 18,700 18,559
E.I. Du Pont de Nemours
5.860% due 05/18/2000 400 397
6.030% due 06/08/2000 700 692
Emerson Electric
5.800% due 04/05/2000 300 300
5.840% due 04/05/2000 600 600
Federal Home Loan Mortgage Corp.
5.880% due 04/18/2000 280 279
5.970% due 05/02/2000 6,500 6,469
5.970% due 05/23/2000 16,000 15,867
Finova Capital Corp.
6.110% due 05/10/2000 28,000 27,824
6.020% due 06/06/2000 12,000 11,865
General Electric Capital Corp.
6.060% due 05/04/2000 200 199
5.910% due 05/18/2000 1,000 993
6.060% due 06/07/2000 17,000 16,805
General Motors Acceptance Corp.
6.100% due 04/05/2000 600 600
6.040% due 05/03/2000 700 696
5.920% due 05/22/2000 1,700 1,686
Heinz Corp.
6.030% due 05/02/2000 100 100
Honeywell, Inc.
5.820% due 04/12/2000 900 899
6.000% due 04/26/2000 400 398
KFW International Finance
5.870% due 05/09/2000 500 497
5.910% due 06/05/2000 5,500 5,439
Monsanto Co.
5.930% due 05/31/2000 2,000 1,979
6.060% due 06/01/2000 2,200 2,177
6.000% due 06/07/2000 200 198
Motorola, Inc.
5.900% due 05/26/2000 3,000 2,974
6.090% due 06/30/2000 200 197
Nike, Inc.
5.830% due 04/04/2000 3,000 3,000
5.830% due 04/17/2000 1,200 1,197
Procter & Gamble Co.
6.080% due 06/02/2000 3,000 2,968
Reseau Ferre De France
5.900% due 05/30/2000 2,000 1,980
6.050% due 06/05/2000 3,000 2,967
Sumitomo Bank
6.050% due 04/13/2000 2,000 1,997
6.090% due 04/13/2000 100 100
6.080% due 04/26/2000 1,600 1,594
6.110% due 04/26/2000 1,700 1,693
Texas Utilities Co.
6.100% due 04/17/2000 5,100 5,088
Textron, Inc.
5.940% due 05/17/2000 1,500 1,489
5.900% due 05/17/2000 1,200 1,191
TRW, Inc.
6.060% due 04/17/2000 10,000 9,976
UBS Finance
5.820% due 04/06/2000 4,000 3,998
United Parcel Service
5.890% due 06/01/2000 2,700 2,672
Washington Post
6.020% due 06/02/2000 14,600 14,445
Xerox Credit Corp.
6.050% due 05/16/2000 100 99
6.090% due 06/06/2000 6,500 6,427
6.110% due 06/12/2000 200 198
Yorkshire Building Society
5.850% due 04/07/2000 1,000 999
5.990% due 06/13/2000 300 296
-----------
227,357
===========
Repurchase Agreement 1.7%
State Street Bank
5.600% due 04/03/2000 170,786 170,786
(Dated 03/31/2000. Collateralized by
Federal National Mortgage Association
7.050% due 12/01/2004 valued at $21,174,
Federal National Mortgage Association
7.125% due 01/15/2030 valued at $51,004,
Federal Home Loan Mortgage Corporation
5.150% due 02/02/2001 valued at $102,006, and
Federal National Mortgage Association
0.000% due 08/01/2000 valued at $34
Repurchase proceeds are $170,865.)
Daiwa Securities
6.180% due 04/03/2000 350,000 350,000
(Dated 03/31/2000. Collateralized by U.S. Treasury
Inflation Protected Securities 3.625% due
07/15/2002 valued at $292,287, and U.S. Treasury
Bill due 11/09/2000 valued at $48,185,
and U.S. Treasury Note 8.375% due 08/15/2008
valued at $16,836. Repurchase proceeds are $350,180.)
-----------
520,786
===========
U.S. Treasury Bills (b)(g) 0.1%
5.528% due 04/27/2000 36,775 36,639
-----------
Total Short-Term Instruments 990,308
(Cost $991,120) ===========
2000 Annual Report See accompanying notes 77
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Value
(000s)
--------------------------------------------------------------------------------
Total Investments (a) 131.6% $41,494,212
(Cost $41,850,196)
Written Options (c) (0.2%) (45,441)
(Premiums $31,722)
Other Assets and Liabilities (Net) (31.4%) (9,912,498)
------------
Net Assets 100.0% $31,536,273
============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes of $41,849,408 was as
follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of
value over tax cost. $ 315,646
Aggregate gross unrealized depreciation for all
investments in which there was an excess of
tax cost over value. (670,842)
------------
Unrealized depreciation-net $ (355,196)
============
(b) Securities with an aggregate market value of
$133,050 have been segregated with the custodian
to cover margin requirements for the following
open futures contracts at March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Eurodollar December Futures (03/2001) 10,536 $ (4,394)
Municipal Bond CBT (06/2000) 1,835 3,003
EuroBond 10 Year Note (06/2000) 16,400 (36,867)
Government of Japan 10 Year Note (06/2000) 358 (3,144)
U.S. Treasury 5 Year Note (06/2000) 516 (321)
U.S. Treasury 10 Year Note (06/2000) 35,208 78,682
U.S. Treasury 30 Year Bond (06/2000) 4,445 5,158
Euribor Futures (09/2000) 58 (11)
United Kingdom 90 Day LIBOR Futures (06/2000) 179 117
United Kingdom 90 Day LIBOR Futures (09/2000) 3,892 2,842
------------
$ 45,065
============
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - CME Eurodollar December Futures
Strike @ 92.75 Exp. 12/18/2000 1,500 $ 1,061 $ 1,181
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 98.00 Exp. 05/20/2000 4,658 2,555 4,876
Put - CBOT U.S. Treasury Note June Futures
Strike @ 96.00 Exp. 05/20/2000 11,264 3,119 704
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.93 Exp. 04/19/2000 800,000,000 1,456 1,376
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.93 Exp. 04/19/2000 318,030,000 734 547
Put - CBOT U.S. Treasury Note June Futures
Strike @ 95.00 Exp. 05/20/2000 2,134 866 334
Call - CBOT U.S. Treasury Note June Futures
Strike @ 98.00 Exp. 05/20/2000 2,136 1,243 2,537
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 5,644 5,314 4,868
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 100.00 Exp. 05/20/2000 3,355 1,030 1,625
Put - CME Eurodollar December Futures
Strike @ 93.50 Exp. 12/18/2000 13,870 14,344 27,393
--------------------------
$ 31,722 $ 45,441
==========================
(d) Variable rate security. The rate listed is as of March 31, 2000.
(e) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Realized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell BP 26,011 04/2000 $ (463)
Sell C$ 9,841 05/2000 (21)
Sell 33,873 06/2000 (141)
Sell EC 285,703 04/2000 3,953
Buy 87,996 04/2000 (1,455)
Buy HF 2,000,000 09/2000 (143)
Sell JY 3,029,980 04/2000 (1,168)
Buy 3,029,980 04/2000 772
Sell 4,519,202 04/2001 (5,239)
Sell 20,174,266 05/2000 (4,998)
Sell N$ 50,843 04/2000 (729)
Sell 128,045 05/2000 (998)
Buy PZ 7,000 04/2000 50
Sell 7,000 04/2000 (16)
Buy 45,000 01/2001 (72)
Buy 40,000 02/2001 230
Buy 17,000 03/2001 39
------------
$ (10,399)
============
(f) Principal amount denoted in indicated currency:
AS - Austrian Schilling
A$ - Australian Dollars
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
EC - Euro
FF - French Franc
HF - Hungarian Forint
JY - Japanese Yen
MP - Mexican Peso
N$ - New Zealand Dollar
PZ - Polish Zloty
78 PIMCO Funds See accompanying notes
<PAGE>
(g) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Swap agreements outstanding at March 31, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.481%.
Broker: Morgan Stanley
Exp. 02/11/2010 $ 230,600 $ (2,995)
Receive floating rate based on 6 month JY-LIBOR
and pay fixed rate equal to 2.340%.
Broker: Deutsche Bank AG New York
Exp. 10/08/2007 JY 24,500,000 (8,546)
Receive floating rate based on 6 month JY-LIBOR
and pay fixed rate equal to 2.295%.
Broker: Deutsche Bank AG New York
Exp. 04/14/2008 11,635,000 (3,342)
Receive floating rate based on 6 month JY-LIBOR
and pay fixed rate equal to 2.305%.
Broker: Deutsche Bank AG New York
Exp. 04/15/2008 7,563,000 (2,235)
Receive floating rate based on 6 month JY-LIBOR
and pay fixed rate equal to 1.495%.
Broker: Deutsche Bank AG New York
Exp. 09/16/2008 7,000,000 2,467
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.466%.
Broker: Morgan Stanley
Exp. 02/11/2005 $ 277,400 (2,357)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.413%.
Broker: Goldman Sachs
Exp. 02/17/2005 277,000 (1,789)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.408%.
Broker: Goldman Sachs
Exp. 02/25/2005 167,400 (1,024)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.309%.
Broker: Goldman Sachs
Exp. 03/24/2010 300,000 (378)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.413%.
Broker: Goldman Sachs
Exp. 02/17/2005 160,000 (1,046)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.374%.
Broker: Lehman Brothers, Inc.
Exp. 03/29/2010 100,000 (572)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.369%.
Broker: Goldman Sachs
Exp. 03/29/2010 100,000 (539)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.366%.
Broker: Lehman Brothers, Inc.
Exp. 03/30/2010 100,000 (517)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.426%.
Broker: Lehman Brothers, Inc.
Exp. 03/31/2010 100,000 (959)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR
plus 5.950%. In the event of default of
Republic of Argentina Floating Rate Notes and/or
Spread-Adjusted Notes, the Fund can put the bond
to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/17/2001 22,800 (1,169)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR
plus 5.700%. In the event of default of
Republic of Argentina Floating Rate Notes and/or
Spread-Adjusted Notes, the Fund can put the bond
to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/28/2001 1,300 (60)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR
plus 6.150%. In the event of default of
Republic of Argentina Floating Rate Notes and/or
Spread-Adjusted Notes, the Fund can put the bond
to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 31,200 (1,663)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR
plus 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 35,000 (1,171)
Receive fixed rate equal to 0.34% 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: J.P. Morgan
Exp. 07/31/2000 30,000 1
Receive fixed rate equal to 0.65% 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 0.15% and the Fund
will pay to the counterparty at par in the event
of default of IBM Corp. 5.375% due 02/01/2009.
Broker: Goldman Sachs
Exp. 02/26/2002 30,000 0
2000 Annual Report See accompanying notes 79
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
--------------------------------------------------------------------------------
Receive fixed rate equal to 0.40% 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 0.51% 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 0.60% and the Fund will
pay to the counterparty at par in the event of
default of Niagara Mohawk Corp. 7.625% due 10/01/2005.
Broker: Merrill Lynch
Exp. 06/01/2000 20,000 1
Receive fixed rate equal to 0.65% 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 0.25% and the Fund will
pay to the counterparty at par in the event of
default of Pacific Gas & Electric 6.550% due 12/08/2005.
Broker: J.P. Morgan
Exp. 05/23/2003 22,000 1
Receive fixed rate equal to 0.14% and the Fund will
pay to the counterparty at par in the event of
default of General Motors Acceptance Corp. 6.253%
due 07/20/2000.
Broker: Warburg Dillon Read LLC
Exp. 06/30/2000 21,000 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 0
-----------
$ (27,886)
===========
Fixed Unrealized
Spread Notional Appreciation/
Type (%) Amount Depreciation
--------------------------------------------------------------------------------
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 $ 189,500 $ (6,788)
Broker: Goldman Sachs
Exp. 02/16/2005 1.1120 121,700 1,319
Broker: Goldman Sachs
Exp. 08/14/2000 1.1500 93,000 191
Broker: Goldman Sachs
Exp. 08/14/2000 1.1500 95,100 195
Broker: Goldman Sachs
Exp. 02/16/2005 1.1120 37,700 428
Broker: Goldman Sachs
Exp. 04/04/2005 1.3900 250,000 0
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 $ 4,230
Broker: Goldman Sachs
Exp. 08/14/2000 0.8513 474,300 1,820
Broker: Deutsche Bank AG New York
Exp. 08/14/2000 0.9175 220,900 701
Broker: Goldman Sachs
Exp. 08/14/2000 0.9470 220,900 636
Broker: Goldman Sachs
Exp. 09/22/2000 1.0085 74,900 170
Broker: Goldman Sachs
Exp. 08/14/2000 0.8513 12,100 46
Broker: Goldman Sachs
Exp. 09/22/2000 1.0850 21,100 48
-----------
$ 2,996
===========
(j) Subject to financing transaction.
(k) Security becomes interest bearing at a future date.
(l) Restricted security.
(m) Security is in default.
(n) Reverse repurchase agreements were entered into March 23, 2000 paying
interest at 6.00%. The following securities were segregated with collateral for
reverse repurchase agreements.
Type Maturity Value
--------------------------------------------------------------------------------
Federal National Mortgage Assn. 7.000% 10/01/2003 $ 48,392
Federal National Mortgage Assn. 6.687% 08/01/2027 45,640
Government National Mortgage Assn. 6.000% 05/20/2028 30,226
Government National Mortgage Assn. 6.375% 06/20/2027 25,631
Government National Mortgage Assn. 6.375% 01/20/2024 28,372
Government National Mortgage Assn. 7.125% 10/20/2024 30,361
Government National Mortgage Assn. 6.375% 04/20/2027 26,513
Government National Mortgage Assn. 6.375% 01/20/2024 29,846
Government National Mortgage Assn. 6.750% 09/20/2024 26,613
Government National Mortgage Assn. 6.750% 08/20/2023 32,707
Government National Mortgage Assn. 7.125% 10/20/2023 73,363
Government National Mortgage Assn. 6.375% 04/20/2023 32,460
Government National Mortgage Assn. 6.375% 05/20/2023 32,386
Government National Mortgage Assn. 6.375% 06/20/2025 25,409
Government National Mortgage Assn. 6.751% 07/20/2027 43,949
Government National Mortgage Assn. 7.125% 10/20/2023 27,819
-----------
$ 559,687
===========
80 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund II
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 55.6%
--------------------------------------------------------------------------------
Banking & Finance 39.6%
Abbey National Capital Trust I
8.963% due 12/29/2049 $ 1,900 $ 1,941
Allstate Corp.
6.750% due 06/15/2003 9,300 9,025
American Express
5.625% due 01/22/2004 5,000 4,700
Associates Corp. of North America
5.750% due 11/01/2003 600 568
AT&T Capital Corp.
6.310% due 04/23/2002 (d) 30,000 30,085
Bank of Hawaii
6.875% due 06/01/2003 7,750 7,573
Bank of New York
6.625% due 06/15/2003 5,000 4,868
BankAmerica Corp.
6.170% due 03/05/2001 (d) 15,000 14,984
7.500% due 10/15/2002 400 401
Beneficial Corp.
6.750% due 02/11/2003 10 10
Caterpillar Financial Service Corp.
6.300% due 02/11/2002 (d) 5,000 5,017
Chase Manhattan Corp.
7.625% due 01/15/2003 5,000 5,028
Chrysler Financial Co. LLC
6.034% due 06/15/2001 (d) 5,000 5,014
6.950% due 03/25/2002 730 725
CIT Group, Inc.
6.050% due 06/12/2001 10,000 9,859
Citicorp
7.125% due 06/01/2003 4,000 3,954
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 I
7.872% due 12/29/2049 19,745 18,774
Dresdner Bank-New York
6.625% due 09/15/2005 7,000 6,698
Edison Funding
6.150% due 09/18/2000 12,500 12,469
ERAC USA Finance Co.
7.000% due 06/15/2000 2,225 2,226
First Chicago Corp.
6.875% due 06/15/2003 4,000 3,908
Ford Motor Credit Corp.
8.200% due 02/15/2002 11,140 11,286
6.341% due 03/19/2002 (d) 35 35
8.000% due 06/15/2002 5,000 5,058
6.218% due 02/03/2003 (d) 10,000 9,977
6.330% due 03/17/2003 (d) 10,000 10,000
6.370% due 11/24/2003 (d) 5,000 5,010
5.750% due 02/23/2004 5,500 5,184
7.500% due 03/15/2005 30,000 29,928
General Motors Acceptance Corp.
5.350% due 12/07/2001 600 581
5.500% due 12/15/2001 765 740
6.140% due 01/28/2002 (d) 24,600 24,598
6.165% due 04/29/2002 (d) 225 225
5.480% due 12/16/2002 235 224
6.259% due 02/14/2003 (d) 20,000 20,000
6.190% due 08/18/2003 (d) 1,700 1,691
Goldman Sachs Group
6.773% due 04/16/2001 (d) 10,000 10,005
7.800% due 07/15/2002 6,000 6,021
5.900% due 01/15/2003 2,000 1,919
6.130% due 03/19/2003 (d) 5,000 5,001
5.720% due 01/20/2009 (d) 5,000 5,009
Heller Financial, Inc.
6.280% due 04/22/2002 (d) 5,000 4,997
6.440% due 10/06/2002 400 390
6.300% due 04/28/2003 (d) 15,000 14,939
Household Finance Corp.
6.506% due 06/24/2003 (d) 20,000 19,989
6.250% due 08/15/2003 50 48
5.875% due 09/25/2004 15,000 14,053
KBC Bank Fund Trust III
9.860% due 11/29/2049 (d) 12,000 12,728
Key Bank
6.166% due 07/23/2001 (d) 5,000 5,004
Lehman Brothers Holdings, Inc.
6.904% due 04/02/2002 (d) 20,000 20,118
Merrill Lynch & Co.
7.050% due 06/04/2001 16,175 16,156
6.129% due 11/01/2001 (d) 20,000 19,987
6.396% due 06/24/2003 (d) 20,000 19,924
Morgan, J.P. & Co., Inc.
6.000% due 01/15/2009 15,000 13,372
National Rural Utilities
6.070% due 06/05/2002 25 24
NationsBank Corp.
6.200% due 08/15/2003 10,800 10,446
8.625% due 11/15/2003 1,550 1,606
PNC Bank Corp.
5.863% due 06/01/2000 (d) 20,000 19,999
PNC Funding Corp.
6.125% due 09/01/2003 1,400 1,341
Republic New York Corp.
9.750% due 12/01/2000 25 25
Sears Roebuck Acceptance
6.710% due 08/13/2001 40 40
8.300% due 10/26/2004 500 510
Textron Financial Corp.
6.460% due 05/28/2002 (d) 10,000 9,976
Transamerica Finance Corp.
6.480% due 03/15/2001 1,000 996
Wachovia Corp.
6.805% due 05/02/2005 (d) 15,000 15,000
Westdeutsche Landesbank
6.050% due 01/15/2009 625 559
------------
522,783
============
Industrials 5.9% AMR Corp.
9.430% due 05/10/2001 1,000 1,017
8.900% due 02/26/2007 6,450 6,538
Caterpillar Financial Services Corp.
5.890% due 06/17/2002 840 816
Conagra, Inc.
6.340% due 06/12/2000 (d) 20,000 19,992
DaimlerChrysler Holdings
6.160% due 01/18/2002 20,000 20,002
Dow Chemical Co.
8.040% due 07/02/2005 4,800 4,899
Mattel, Inc.
6.000% due 07/15/2003 250 229
Occidental Petroleum
6.704% due 04/03/2000 10,800 10,807
Philip Morris Cos., Inc.
6.000% due 07/15/2001 1,000 970
Procter & Gamble Co.
5.250% due 09/15/2003 600 565
Time Warner, Inc.
7.975% due 08/15/2004 3,345 3,410
8.110% due 08/15/2006 4,490 4,612
8.180% due 08/15/2007 3,190 3,287
Times Mirror Co.
6.650% due 10/15/2001 300 297
Transcontinental Gas Pipelines
6.125% due 01/15/2005 300 283
------------
77,724
============
2000 Annual Report See accompanying notes 81
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund II
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Utilities 10.1%
Carolina Power & Light
7.875% due 04/15/2004 $ 400 $ 403
Commonwealth Edison
6.625% due 07/15/2003 288 280
Enron Corp.
6.577% due 09/10/2001 (d) 20,000 20,016
GTE Corp.
6.390% due 09/11/2000 80 80
MCI Worldcom, Inc.
6.270% due 08/17/2000 (d) 30,000 30,005
Metropolitan Edison Co.
7.220% due 01/30/2003 2,000 1,997
6.400% due 02/09/2006 2,412 2,313
Ohio Edison
6.375% due 04/01/2000 30,700 30,700
Pacificorp
7.200% due 08/15/2002 11,000 10,987
Philadelphia Electric
8.000% due 04/01/2002 1,008 1,015
7.125% due 09/01/2002 90 89
6.500% due 05/01/2003 1,840 1,781
Phillips Pete
6.650% due 03/01/2003 400 385
Public Service Enterprise Group, Inc.
6.330% due 11/22/2000 (d) 10,000 10,000
Reliant Energy, Inc.
7.875% due 07/01/2002 1,375 1,378
Texas Utilities Co.
7.375% due 08/01/2001 1,900 1,901
6.750% due 03/01/2003 5,000 4,899
United Telecom, Inc.
9.750% due 04/01/2000 5,000 5,000
9.440% due 08/15/2001 10,000 10,274
------------
133,503
------------
Total Corporate Bonds & Notes 734,010
(Cost $740,000) ============
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.2%
--------------------------------------------------------------------------------
Federal Home Loan Bank
5.125% due 09/15/2003 200 189
5.135% due 09/22/2003 500 471
5.365% due 12/11/2008 600 527
Federal Home Loan Mortgage Corp.
6.890% due 03/01/2011 500 471
Federal National Mortgage Association
5.375% due 03/15/2002 55 53
5.750% due 04/15/2003 4,715 4,548
7.400% due 07/01/2004 600 607
Student Loan Marketing Assn.
5.711% due 04/25/2004 (d) 4,746 4,740
6.565% due 04/25/2007 (d) 18,111 18,021
------------
Total U.S. Government Agencies 29,627
(Cost $29,711) ============
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 15.7%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (f)
3.625% due 07/15/2002 52,664 52,516
3.375% due 01/15/2007 2,768 2,665
3.625% due 01/15/2008 1,984 1,932
3.875% due 01/15/2009 823 814
3.875% due 04/15/2029 4,104 4,070
U.S. Treasury Bonds
8.375% due 08/15/2008 240 253
11.250% due 02/15/2015 (g) 500 740
10.625% due 08/15/2015 61,900 88,420
8.750% due 05/15/2017 2,370 2,994
8.875% due 08/15/2017 1,000 1,279
8.000% due 11/15/2021 9,500 11,569
7.250% due 08/15/2022 800 906
6.000% due 02/15/2026 (g) 24,950 24,678
6.375% due 08/15/2027 100 104
6.125% due 11/15/2027 5 5
6.250% due 05/15/2030 3,560 3,767
U.S. Treasury Notes
5.125% due 08/31/2000 3,695 3,679
U.S. Treasury Bonds
10.375% due 11/15/2012 20 25
8.750% due 08/15/2020 3,500 4,529
U.S. Treasury Strips
0.000% due 05/15/2020 7,300 2,180
0.000% due 11/15/2021 1,800 498
------------
Total U.S. Treasury Obligations 207,623
(Cost $204,012) ============
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 42.6%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 8.3%
Comm
6.145% due 02/15/2008 4,641 4,419
Dime Savings
6.689% due 11/01/2018 (d) 85 77
DLJ Mortgage Acceptance Corp.
11.000% due 08/01/2019 144 157
Federal Home Loan Mortgage Corp.
5.950% due 07/15/2003 130 127
8.800% due 12/01/2015 184 188
9.250% due 11/15/2019 28 29
9.000% due 12/15/2020 1,156 1,191
7.000% due 07/15/2022 16,422 15,874
7.500% due 01/15/2023 17,089 16,562
6.750% due 04/25/2024 8,836 8,137
Federal Home Loan Mortgage Corporation
6.500% due 12/01/2010 378 367
Federal National Mortgage Assn.
6.000% due 06/25/2001 26 26
9.000% due 06/25/2018 17 18
6.000% due 09/25/2018 76 75
9.250% due 07/25/2019 2,295 2,369
6.000% due 08/25/2020 3,585 3,508
7.000% due 09/25/2020 47 46
6.500% due 05/18/2023 8,625 8,461
Guaranteed Mortgage Corp.
9.300% due 07/20/2019 453 469
Independent National Mortgage Corp.
7.218% due 11/25/2024 (d) 740 751
8.432% due 11/25/2024 (d) 391 394
Mellon Residential Funding Corp.
6.570% due 07/25/2029 4,000 3,871
Residential Accredit Loans, Inc.
7.250% due 11/25/2027 10,083 9,651
Residential Funding Mortgage Securities, Inc.
7.000% due 11/25/2027 12,115 11,409
Salomon Brothers Mortgage Securities
6.259% due 04/25/2029 (d) 21,508 21,510
------------
109,686
============
Federal Home Loan Mortgage Corporation 0.5%
5.750% due 11/15/2017 810 806
6.000% due 09/01/2027 59 54
7.000% due 03/01/2007 21 21
7.166% due 12/01/2022 (d) 4,192 4,330
7.250% due 03/01/2006 157 155
7.409% due 02/01/2023 (d) 480 485
7.500% due 08/01/2009 8 8
8.250% due 03/01/2008-05/01/2008 (e) 118 120
8.500% due 12/01/2001 1 1
9.500% due 02/01/2011 53 55
10.000% due 06/01/2011 12 12
10.500% due 04/01/2001 17 17
15.500% due 06/01/2011 1 1
------------
6,065
============
82 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Federal Housing Administration 3.0%
5.596% due 10/01/2019 $ 361 $ 362
6.000% due 03/20/2028 22,479 20,479
6.650% due 07/20/2038 15,500 14,518
8.250% due 11/01/2021 3,760 3,815
8.829% due 05/01/2019 204 211
-----------
39,385
===========
Federal National Mortgage Association 1.2%
4.750% due 11/14/2003 730 678
5.250% due 01/15/2003 60 57
5.625% due 05/14/2004 4,095 3,886
6.000% due 01/01/2011 435 410
6.150% due 09/25/2016 2,045 2,017
6.500% due 02/01/2013 278 268
6.810% due 07/01/2020 (d) 839 860
7.000% due 08/01/2009-05/01/2014 (e) 833 821
7.450% due 02/01/2023 (d) 1,899 1,948
7.472% due 12/01/2023 (d) 501 514
7.491% due 01/01/2024 (d) 1,007 1,034
7.750% due 10/01/2007 184 184
7.937% due 04/01/2024 (d) 1,091 1,125
8.000% due 05/01/2002-10/01/2005 (e) 211 211
8.500% due 12/01/2001-04/01/2017 (e) 1,514 1,537
9.000% due 12/01/2001-06/01/2010 (e) 376 390
11.000% due 09/01/2010 179 194
13.750% due 10/01/2010-11/01/2013 (e) 92 102
14.500% due 03/01/2013 3 3
14.750% due 10/01/2012-11/01/2012 (e) 14 15
-----------
16,254
===========
Government National Mortgage Association 29.6%
6.000% due 11/15/2028-04/19/2030 (d)(e) 88,606 82,896
6.375% due 06/20/2023-06/20/2027 (d)(e) 27,067 27,187
6.500% due 01/15/2024-04/19/2030 (d)(e) 98,901 93,315
6.750% due 09/20/2024-08/20/2027 (d)(e) 40,464 40,501
7.000% due 04/19/2030 39,550 38,308
7.500% due 03/15/2024-05/22/2030 (e) 37,648 37,312
8.000% due 06/15/2024-04/19/2030 (e) 70,368 70,971
12.000% due 01/15/2013-06/15/2015 (e) 18 21
-----------
390,511
===========
Other Mortgage-Backed Securities 0.0%
Bank of America
9.000% due 03/01/2008 33 34
Federal Home Loan Mortgage Corp.
11.875% due 06/15/2013 138 143
Security Pacific National Bank
8.500% due 03/01/2017 36 35
-----------
212
-----------
Total Mortgage-Backed Securities 562,113
(Cost $566,850) ===========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 4.3%
--------------------------------------------------------------------------------
AFC Home Equity Loan Trust
6.806% due 10/25/2026 (d) 678 682
Americredit Automobile Receivable Trust
6.086% due 06/12/2005 (d) 5,000 5,007
Banc One Auto Grantor Trust
6.270% due 11/20/2003 4,130 4,116
Comed Transitional Funding Trust
5.290% due 06/25/2003 3,000 2,951
Delta Funding Home Equity Loan
7.260% due 08/25/2018 6,084 6,054
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 557 555
Green Tree Recreational Equipment
6.430% due 04/17/2006 2,300 2,281
Norwest Asset Securities Corp.
7.500% due 03/25/2027 17,000 16,449
Residential Funding Mortgage Securities,
Inc.
5.460% due 07/25/2029 11,485 11,408
United Air Lines Equipment Trust
9.190% due 12/24/2013 7,213 7,267
-----------
Total Asset-Backed Securities 56,770
(Cost $58,421) ===========
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.0%
--------------------------------------------------------------------------------
Utilities 0.0%
Alliant Energy Resources
7.250% due 01/02/2000 $ 1 $49
-----------
Total Convertible Bonds & Notes 49
(Cost $41) ===========
--------------------------------------------------------------------------------
PREFERRED STOCK 0.1%
--------------------------------------------------------------------------------
Shares
Fortis
6.430% due 12/31/2049 6 1,478
-----------
Total Preferred Stock 1,478
(Cost $1,450) ===========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 10.7%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 9.5%
American Express
6.040% due 05/30/2000 $35,000 34,665
Associates First Capital Corp.
6.090% due 06/29/2000 30,000 29,546
Conoco, Inc.
6.040% due 04/07/2000 9,100 9,094
DaimlerChrysler AG
6.100% due 06/29/2000 10,000 9,849
Federal National Mortgage Association
6.000% due 06/22/2000 11,500 11,347
National Rural Utilities
6.080% due 06/14/2000 4,700 4,640
Sumitomo Bank of America
6.070% due 04/14/2000 6,300 6,288
6.080% due 04/27/2000 16,400 16,334
USAA Capital Corp.
6.030% due 05/15/2000 3,700 3,674
-----------
125,437
===========
Repurchase Agreement 1.1%
State Street Bank
5.600% due 04/03/2000 1,923 1,923
(Dated 03/31/2000. Collateralized by
Federal Home Loan Mortgage Corporation
5.750% due 05/15/2001 valued at $1,965.
Repurchase proceeds are $1,924.)
Daiwa Securities
6.180% due 04/03/2000 13,000 13,000
(Dated 03/31/2000. Collateralized by
U.S. Treasury Inflation Protected
Securities
3.782% due 07/15/2002 valued at $13,289.
Repurchase proceeds are $13,007.)
-----------
14,923
===========
U.S. Treasury Bills (b) 0.1%
5.694% due 04/27/2000 940 936
-----------
Total Short-Term Instruments 141,296
(Cost $141,315) ===========
Total Investments (a) 131.2% $ 1,732,966
(Cost $1,741,801)
Written Options (c) (0.1%) (1,707)
(Premiums $1,090)
Other Assets and Liabilities (Net) (31.1%) (410,948)
-----------
Net Assets 100.0% $ 1,320,311
===========
2000 Annual Report See accompanying notes 83
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund II
March 31, 2000
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes of $1,741,803 was as
follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of
value over tax cost. $ 8,012
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (16,849)
-----------
Unrealized depreciation-net (8,837)
===========
(b) Securities with an aggregate market value of $4,615 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Eurodollar March Futures (03/2001) 511 $ (246)
U.S. Treasury 5 Year Note (06/2000) 200 259
U.S. Treasury 10 Year Note (06/2000) 1,192 3,185
U.S. Treasury 30 Year Bond (06/2000) 26 (86)
-----------
$ 3,112
===========
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond June
Futures
Strike @ 98.00 Exp. 05/20/2000 186 $ 102 $ 195
Put - CBOT U.S. Treasury Note June
Futures
Strike @ 96.00 Exp. 05/20/2000 446 122 28
Put - CBOT U.S. Treasury Note June
Futures
Strike @ 95.00 Exp. 05/20/2000 89 36 14
Call - CBOT U.S. Treasury Note June
Futures
Strike @ 98.00 Exp. 05/20/2000 89 52 102
Put - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 84 84 126
Put - CME Eurodollar March Futures
Strike @ 93.50 Exp. 03/19/2001 84 109 166
Call - CBOT U.S. Treasury Bond June
Futures
Strike @ 100.00 Exp. 05/20/2000 134 41 65
Put - CME Eurodollar December Futures
Strike @ 93.50 Exp. 12/18/2000 512 544 1011
---------------------
$ 1,090 $1,707
=====================
(d) Variable rate security. The rate listed is as of
March 31, 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) Subject to financing transactions.
(h) Swap agreements outstanding at March 31,
2000:
Unrealized
Notional Appreciation/
Type Amount Depreciation
--------------------------------------------------------------------------------
Receive floating rate based on 3 month LIBOR and pay
fixed rate equal to 7.466%.
Broker: Morgan Stanley
Exp. 02/11/2005 $ 19,200 $ (163)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.413%.
Broker: Goldman Sachs
Exp. 02/17/2005 40,000 (258)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.408%.
Broker: Goldman Sachs
Exp. 02/25/2005 41,400 (253)
Receive fixed rate equal to 0.30% and the Fund will
pay to the counterparty at par in the event of default
of General Motors Acceptance Corp. 6.625% due 10/15/2005.
Broker: Goldman Sachs
Exp. 06/20/2004 60,000 2
Receive fixed rate equal to 0.45% and the Fund will
pay to the counterparty at par in the event of default
of Enron Corp. 6.450% due 11/15/2001.
Broker: Goldman Sachs
Exp. 06/30/2000 20,000 1
Receive fixed rate equal to 0.41% 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 0
Receive fixed rate equal to 0.60% and the Fund will
pay to the counterparty at par in the event of default
of Niagara Mohawk Corp. 7.625% due 10/01/2005.
Broker: Merrill Lynch
Exp. 06/01/2000 6,000 0
Receive fixed rate equal to 0.50% and the Fund will
pay to the counterparty at par in the event of
default of Williams Co. 6.625% due 11/15/2004.
Broker: Warburg Dillon Read LLC
Exp. 09/16/2003 20,000 1
-----------
$ (670)
===========
84 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. 02/16/2005 1.112 $23,200 $ 251
Broker: Goldman Sachs
Exp. 08/14/2000 1.150 3,600 7
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. 08/14/2000 0.947 9,600 28
Broker: Goldman Sachs
Exp. 09/22/2000 1.009 2,800 0
-----------
$ 286
===========
2000 Annual Report See accompanying notes 85
<PAGE>
Schedule of Investments
Total Return Fund III
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 42.0%
--------------------------------------------------------------------------------
Banking & Finance 27.4%
Abbey National Capital Trust I
8.963% due 12/29/2049 $ 9,300 $ 9,501
ABN AMRO Mortgage Corp.
7.000% due 04/01/2008 1,000 962
Associates Corp. of North America
7.240% due 05/17/2006 1,000 987
AT&T Capital Corp.
6.730% due 12/01/2000 (d) 12,400 12,454
Bank of Tokyo - Mitsubishi
8.400% due 04/15/2010 2,300 2,338
BankAmerica Corp.
9.375% due 09/15/2009 1,000 1,111
BankBoston Corp.
6.125% due 03/15/2002 15,000 14,606
Bear Stearns Co., Inc.
6.510% due 12/16/2002 (d) 10,000 9,999
Deutsche Bank Financial
6.700% due 12/13/2006 1,000 951
First Union Corp.
7.700% due 02/15/2005 19,000 19,243
Ford Motor Credit Corp.
6.300% due 07/16/2002 (d) 300 301
5.750% due 02/23/2004 2,000 1,885
7.500% due 03/15/2005 30,000 29,928
6.620% due 02/27/2006 1,000 957
Household Finance Corp.
6.223% due 05/07/2002 (d) 5,000 5,002
6.310% due 05/24/2002 (d) 500 500
International Lease Finance Corp.
5.450% due 01/04/2002 500 484
Lehman Brothers Holdings, Inc.
6.904% due 04/02/2002 (d) 10,000 10,059
Merrill Lynch & Co.
6.129% due 11/01/2001 (d) 3,000 2,998
6.375% due 10/15/2008 5,000 4,604
Midamerican Funding LLC
5.850% due 03/01/2001 12,000 11,835
Morgan Stanley, Dean Witter, Discover and Co.
5.820% due 06/19/2000 (d) 10,000 9,869
6.375% due 08/01/2002 1,000 978
Nacional Financiera
9.549% due 12/01/2000 (d) 5,750 5,865
NationsBank Corp.
8.625% due 11/15/2003 25 26
Spieker Properties
6.950% due 12/15/2002 2,000 1,942
Textron Financial Corp.
6.460% due 05/28/2002 (d) 5,000 4,988
Tokai Capital Corp.
9.980% due 12/29/2049 (d) 400 404
Wachovia Corp.
6.805% due 05/02/2005 (d) 10,000 10,000
Wells Fargo & Co.
6.625% due 07/15/2004 1,000 977
6.875% due 08/08/2006 1,000 971
------------
176,725
============
Industrials 9.0%
Amerco, Inc.
7.200% due 04/01/2002 14,200 13,773
Cargill, Inc.
6.166% due 01/14/2002 (d) 9,000 8,999
Fred Meyer, Inc.
7.150% due 03/01/2003 50 49
General Motors Acceptance Corp.
9.125% due 07/15/2001 20 20
Gold Eagle
11.453% due 04/16/2001 6,000 5,993
Petroleos Mexicanos
8.402% due 07/15/2005 (d) 5,000 4,938
TCI Communications, Inc.
6.855% due 09/11/2000 (d) 5,000 4,994
Time Warner, Inc.
6.100% due 12/30/2001 10,000 9,778
Westpoint Stevens, Inc.
7.875% due 06/15/2005 5,000 4,392
WMX Technologies
6.700% due 05/01/2001 5,500 5,326
------------
58,262
============
Utilities 5.6%
Arizona Public Service
6.816% due 11/15/2001 (d) 5,300 5,300
Bell Telephone Co. Pennsylvania
7.375% due 07/15/2007 75 74
CMS Energy
8.125% due 05/15/2002 50 49
GTE Corp.
5.625% due 02/01/2001 300 297
MCI Worldcom, Inc.
6.270% due 08/17/2000 (d) 10,000 10,002
Niagara Mohawk Power
7.250% due 10/01/2002 11,341 11,204
7.375% due 07/01/2003 3,024 2,949
North Atlantic Energy
9.050% due 06/01/2002 405 401
Texas Utilities Co.
6.375% due 10/01/2004 1,000 962
WorldCom, Inc.
6.125% due 08/15/2001 5,000 4,938
------------
36,176
------------
Total Corporate Bonds & Notes 271,163
(Cost $273,926) ============
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 7.6%
--------------------------------------------------------------------------------
Federal Home Loan Bank
0.000% due 05/12/2000 (d) 5,000 5,000
Federal Home Loan Mortgage Corp.
0.000% due 07/20/2001 (d)(j) 37,700 37,297
7.500% due 07/01/2011 (d) 379 379
8.000% due 01/01/2012 (d) 181 184
Student Loan Marketing Assn.
5.711% due 04/25/2004 (d) 1,582 1,580
5.770% due 10/25/2005 (d) 4,468 4,447
------------
Total U.S. Government Agencies 48,887
(Cost $49,277) ============
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 17.1%
--------------------------------------------------------------------------------
Treasury Inflation Protected
Securities(f)
3.625% due 07/15/2002 (j) 12,113 12,079
3.625% due 01/15/2008 (j) 7,309 7,117
3.875% due 04/15/2029 2,052 2,036
U.S. Treasury Bonds
10.375% due 11/15/2009 200 230
12.750% due 11/15/2010 1,680 2,163
11.250% due 02/15/2015 4,700 6,952
10.625% due 08/15/2015 (j) 2,900 4,142
8.875% due 08/15/2017 1,600 2,047
8.750% due 08/15/2020 (j) 6,500 8,411
8.000% due 11/15/2021 (j) 6,800 8,281
U.S. Treasury Notes
6.250% due 05/15/2030 1,800 1,905
6.250% due 08/15/2023 195 198
5.125% due 08/31/2000 (b) 2,350 2,340
6.000% due 07/31/2002 80 79
5.875% due 02/15/2004 300 295
6.500% due 10/15/2006 (j) 50,200 50,718
U.S. Treasury Strips
0.000% due 05/15/2020 3,700 1,105
0.000% due 11/15/2021 900 249
------------
Total U.S. Treasury Obligations 110,347
(Cost $108,167) ============
86 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 42.8%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 21.6%
ABN-AMRO Mortgage Corp.
6.750% due 11/25/2028 $ 9,750 $ 9,060
CMC Securities Corp.
7.862% due 04/25/2025 (d) 915 927
Federal Home Loan Mortgage Corp.
7.000% due 11/01/2011 59 58
6.500% due 08/15/2023 8,631 8,453
7.000% due 02/15/2027 13,594 12,846
6.500% due 09/01/2028 66 62
6.500% due 06/01/2029 97 92
7.000% due 10/01/2029 114 110
6.165% due 08/15/2032 (d) 6,219 5,972
Federal National Mortgage Assn.
6.500% due 12/18/2004 3,901 3,837
7.000% due 09/25/2021 6,285 6,181
General Electric Capital Mortgage Services, Inc.
6.750% due 12/25/2012 3,041 2,995
7.500% due 03/25/2027 15,000 14,524
6.000% due 07/25/2029 10,400 10,085
Greenwich
8.869% due 11/25/2024 (d) 54 54
Norwest Asset Securities Corp.
6.250% due 12/25/2028 11,857 9,815
PNC Mortgage Securities Corp.
6.500% due 12/25/2028 6,449 5,871
Prudential Home Mortgage Securities
7.756% due 11/25/2023 (d) 100 100
Prudential Securities Secured Financing Corp.
6.955% due 06/15/2008 9,650 9,444
Residential Accredit Loans, Inc.
7.050% due 01/25/2026 2,000 1,971
7.250% due 01/25/2026 3,000 2,885
6.500% due 12/25/2028 24,000 21,866
Resolution Trust Corp.
8.835% due 12/25/2023 2,500 2,528
Structured Asset Mortgage Investments, Inc.
6.585% due 06/25/2029 (d) 9,758 9,675
----------
139,411
==========
Federal Home Loan Mortgage Corporation 0.1%
6.750% due 10/01/2006 63 62
7.166% due 12/01/2022 (d) 675 697
8.000% due 02/01/2006-03/01/2028 (h) 191 191
----------
950
==========
Federal Housing Administration 3.0%
7.400% due 11/01/2039 4,377 4,279
7.430% due 11/25/2019-01/01/2023 (h) 15,276 14,939
----------
19,218
==========
Federal National Mortgage Association 0.8%
6.000% due 08/25/2016 729 727
6.029% due 02/01/2031 (d) 66 65
6.102% due 08/01/2018 (d) 92 90
6.200% due 04/25/2005 230 229
7.500% due 02/01/2027 4,065 4,015
8.250% due 07/01/2017 69 71
8.500% due 02/01/2007 201 204
9.000% due 07/01/2005-06/01/2025 (h) 29 30
----------
5,431
==========
Government National Mortgage Association 14.5%
6.000% due 04/19/2030 650 595
6.375% due 06/20/2022-01/20/2026 (d)(h) 7,494 7,546
6.500% due 09/15/2023-04/19/2030 (d)(h) 43,834 41,457
6.750% due 09/20/2023-08/20/2027 (d)(h) 6,517 6,539
7.000% due 04/19/2030 17,240 16,704
7.125% due 10/20/2024-12/20/2026 (d)(h) 6,858 6,934
7.500% due 04/19/2030 11,400 11,298
8.000% due 04/19/2030 2,150 2,174
10.250% due 02/15/2017 622 658
12.750% due 02/20/2015 4 5
----------
93,910
==========
Mortgage-Backed Securities 0.4%
Government National Mortgage Association
7.400% due 11/01/2039 2,633 2,599
----------
Other Mortgage-Backed Securities 2.3%
DLJ Mortgage Acceptance Corp.
7.580% due 02/12/2006 13,600 13,614
Resolution Trust Corp.
6.897% due 05/25/2029 (d) 1,204 1,190
----------
14,804
==========
Stripped Mortgage-Backed Securities 0.1%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 04/15/2022 2,116 213
Resolution Trust Corp. (PO)
0.000% due 09/25/2000 231 230
----------
443
----------
Total Mortgage-Backed Securities 276,766
(Cost $283,860) ==========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 7.3%
--------------------------------------------------------------------------------
Advanta Mortgage Loan Trust
6.525% due 08/25/2029 (d) 16,212 16,268
AM-FM, Inc.
7.500% due 11/19/2001 1,250 1,245
7.688% due 11/19/2001 1,250 1,245
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 941 937
Green Tree Financial Corp.
7.860% due 04/01/2031 600 614
Green Tree Recreational Equipment
6.430% due 04/17/2006 2,000 1,983
Nextel Communications
9.090% due 03/31/2008 1,500 1,482
NPF XII, Inc.
7.050% due 06/01/2003 3,000 2,968
PP&L Transition Bond Co. LLC
6.410% due 12/26/2003 8,800 8,713
Public Service
1.500% due 04/01/2001 11,500 11,486
----------
Total Asset-Backed Securities 46,941
(Cost $47,007) ==========
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 4.4%
--------------------------------------------------------------------------------
Central Bank Philippines
6.500% due 06/01/2008 (d) 1,445 1,387
Government of Brazil
7.000% due 01/01/2001 (d) 4,231 4,216
6.938% due 04/15/2006 (d) 4,700 4,265
Province of Quebec
8.800% due 04/15/2003 1,000 1,042
Republic of Argentina
11.786% due 04/10/2005 (d) 600 563
Republic of Bulgaria
7.063% due 07/28/2024 (d) 2,250 1,809
Republic of Peru
4.500% due 03/07/2017 (d) 4,750 3,165
Republic of Philippines
9.875% due 01/15/2019 1,200 1,086
9.500% due 10/21/2024 1,589 1,529
Republic of Poland
3.500% due 10/27/2024 (d) 4,000 2,480
United Mexican States
7.439% due 06/27/2002 (d) 5,000 4,929
11.500% due 05/15/2026 1,400 1,731
United Mexican States Recovery Rights
0.000% due 06/30/2003 5,768 0
----------
Total Sovereign Issues 28,202
(Cost $28,075) ==========
2000 Annual Report See accompanying notes 87
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund III
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(e) 2.0%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
10.000% due 03/15/2002 (j) N$ 2,200 $ 1,150
5.500% due 04/15/2003 (j) N$ 1,500 714
Halifax Group Euro Finance
7.627% due 12/29/2049 EC 9,700 9,403
International Bank for Reconstruction & Development
7.250% due 05/27/2003 (j) N$ 900 439
Province of Saskatchewan
11.000% due 01/09/2001 C$ 2,000 1,429
-----------
Total Foreign Currency-Denominated Issues (c)(e) 13,135
(Cost $14,015) ===========
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.0%
--------------------------------------------------------------------------------
Utilities 0.0%
Alliant Energy Resources
7.250% due 01/02/2000 $ 0 24
-----------
Total Convertible Bonds & Notes 24
(Cost $20) ===========
--------------------------------------------------------------------------------
PREFERRED STOCK 1.0%
--------------------------------------------------------------------------------
Shares
Hercules Trust VI
8.625% due 12/29/2000 (d) 3,000 2,999
TCI Communications, Inc.
9.720% due 12/31/2036 132,000 3,407
-----------
Total Preferred Stock 6,406
(Cost $6,676) ===========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 6.2%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Certificates of Deposit 0.8%
Commerzbank AG
6.200% due 05/10/2000 $ 5,000 5,000
-----------
Commercial Paper 4.4%
Federal Home Loan Mortgage Corp.
5.990% due 05/23/2000 7,000 6,942
6.020% due 06/15/2000 900 889
Xerox Credit Corp.
6.090% due 06/06/2000 21,000 20,773
-----------
28,604
===========
Repurchase Agreement 0.8%
State Street Bank
5.600% due 04/03/2000 5,263 5,263
(Dated 03/31/2000. Collateralized by -----------
Federal Home Loan Mortgage Corporation
5.750% due 05/15/2001 valued at $5,372.
Repurchase proceeds are $5,265.)
U.S. Treasury Bills (b) 0.2%
5.488% due 04/27/2000 (b) 1,120 1,116
-----------
Total Short-Term Instruments 39,983
(Cost $39,983) ===========
Total Investments (a) 130.4% $ 841,854
(Cost $851,006)
Written Options (c)(0.1%) (835)
(Premiums $558)
Other Assets and Liabilities (Net) (30.3%) (195,283)
-----------
Net Assets 100.0% $ 645,736
===========
--------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized
appreciation (depreciation) of investments
based on cost for federal income tax
purposes of $851,343 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of
value over tax cost. $ 4,803
-----------
Aggregate gross unrealized depreciation for all
investments in which there was an excess of
tax cost over value. (14,292)
-----------
Unrealized depreciation-net $ (9,489)
===========
(b) Securities with an aggregate market value of
$3,456 have been segregated with the custodian to
cover margin requirements for the following open
futures contracts at March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Eurodollar March Futures (03/2001) 289 $ (128)
EuroBond 10 Year Note (06/2000) 306 (834)
Government of Japan 10 Year Note (6/2000) 10 (134)
U.S. Treasury 5 Year Note (6/2000) 107 139
U.S. Treasury 10 Year Note (6/2000) 750 2,111
U.S. Treasury 30 Year Bond (6/2000) 157 632
United Kingdom 90 Day LIBOR Futures (09/2000) 200 151
-----------
$ 1,937
===========
(c) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Buy C$ 2,175 06/2000 $ 7
Sell 4,435 06/2000 (18)
Buy EC 940 04/2000 (8)
Sell JY 42,000 05/2000 (10)
-----------
$ (29)
===========
(d) Variable rate security. The rate listed is as of March 31, 2000.
(e) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
EC - Euro
JY - Japanese Yen
N$ - New Zealand Dollar
(f) Principal amount of the security is adjusted for inflation.
(g) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 98.00 Exp. 05/20/2000 97 $ 53 $ 102
Put - CBOT U.S. Treasury Note June Futures
Strike @ 96.00 Exp. 05/20/2000 228 63 14
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.93 Exp. 04/19/2000 21,020,000 48 36
Put - CBOT U.S. Treasury Note June Futures
Strike @ 95.00 Exp. 05/20/2000 44 18 7
Call - CBOT U.S. Treasury Note June Futures
Strike @ 98.00 Exp. 05/20/2000 44 26 52
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 16 12 14
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 100.00 Exp. 05/20/2000 69 21 33
Put - CME Eurodollar December Futures
Strike @ 93.50 Exp. 12/18/2000 292 317 577
---------------------
$ 558 $ 835
=====================
88 PIMCO Funds See accompanying notes
<PAGE>
--------------------------------------------------------------------------------
(h) Securities are grouped by coupon or range of coupons and represent
a range of maturities.
(i) Swap agreements outstanding at March 31, 2000:
Notional Unrealized
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive floating rate based on 6 month JY-LIBOR
and pay fixed rate equal to 2.295%.
Broker: Deutsche Bank AG New York
Exp. 04/14/2008 JY 580,000 $ (167)
Receive floating rate based on 6 month JY-LIBOR
and pay fixed rate equal to 2.305%.
Broker: Deutsche Bank AG New York
Exp. 04/15/08 377,000 (111)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.413%.
Broker: Goldman Sachs
Exp. 02/17/2005 $ 20,000 (129)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.408%.
Broker: Goldman Sachs
Exp. 02/25/2005 24,200 (148)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.466%.
Broker: Morgan Stanley
Exp. 02/11/2005 10,200 (87)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 6.150%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 300 (16)
Receive fixed rate equal to 0.51% 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 0.14% and the Fund will
pay to the counterparty at par in the event of default
of General Motors Acceptance Corp. 6.253% due 07/20/2000.
Broker: Warburg Dillon Read LLC
Exp. 06/30/2000 6,000 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 8.380% due 03/01/2005.
Broker: Merrill Lynch
Exp. 03/21/2001 15,000 0
-------------
$ (658)
=============
Fixed
Rate Notional Unrealized
Type (%) Amount Appreciation
--------------------------------------------------------------------------------
Receive the 30-year Swap Spread and pay a fixed rate.
The 30-year Swap Spread is the difference between the
30-year Swap Rate and the 30-year Treasury Rate.
Broker: Goldman Sachs
Exp. 08/14/2000 1.1500 $ 300 $ 1
Receive the 10-year Swap Spread and pay a fixed rate.
The 10-year Swap Spread is the difference between the
10-year Swap Rate and the 10-year Treasury Rate.
Broker: Goldman Sachs
Exp. 08/14/2000 0.9470 2,200 6
Broker: Goldman Sachs
Exp. 08/14/2000 0.8513 12,200 47
-------------
$ 54
=============
(j) Subject to financing transaction.
2000 Annual Report See accompanying notes 89
<PAGE>
Schedule of Investments
Moderate Duration Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 32.8%
--------------------------------------------------------------------------------
Banking & Finance 11.8%
Bear Stearns Co, Inc.
6.596% due 03/28/2003 (d) $ 2,900 $ 2,902
CIT Group, Inc.
6.200% due 10/20/2000 1,800 1,793
6.375% due 08/01/2002 850 830
Ford Motor Credit Corp.
6.165% due 01/17/2002 (d) 5,000 4,984
5.750% due 02/23/2004 2,000 1,885
General Motors Acceptance Corp.
5.450% due 09/15/2003 1,000 941
Household Finance Corp.
6.125% due 02/27/2003 3,000 2,874
Lehman Brothers Holdings, Inc.
6.375% due 05/07/2002 600 585
7.000% due 05/15/2003 2,000 1,961
NationsBank Corp.
6.440% due 04/15/2003 (d) 5,000 5,033
PNC Bank Corp.
5.863% due 06/01/2000 (d) 8,000 7,999
PSE&G Capital Corp.
6.740% due 10/23/2001 1,100 1,094
Royal Bank of Scotland plc
8.817% due 03/31/2049 3,600 3,674
Salomon, Inc.
6.360% due 07/23/2001 (d) 1,000 1,005
Salomon, Smith Barney Holdings
6.320% due 07/23/2002 (d) 2,000 1,998
Sears Roebuck Acceptance
6.720% due 10/23/2002 3,000 2,956
Wells Fargo & Co.
6.780% due 05/02/2005 (d) 3,200 3,200
-------
45,714
=======
Industrials 8.7%
Amerco, Inc.
6.890% due 10/15/2000 2,400 2,376
7.230% due 01/21/2027 500 478
Cargill, Inc.
6.166% due 01/14/2002 (d) 5,000 5,000
DTE Capital Corp.
8.350% due 11/15/2038 (d) 7,000 6,740
Gold Eagle
11.453% due 04/16/2001 3,500 3,496
IBM Corp.
6.375% due 06/15/2000 1,000 999
News America Holdings Corp.
7.450% due 06/01/2000 3,000 2,999
Occidental Petroleum
6.400% due 04/01/2003 2,600 2,478
Owens-Illinois, Inc.
7.850% due 05/15/2004 6,000 5,767
Philip Morris Cos., Inc.
7.250% due 09/15/2001 850 833
TCI Communications, Inc.
6.855% due 09/11/2000 (d) 2,000 1,997
6.790% due 04/03/2002 (d) 250 254
7.550% due 09/02/2003 500 503
-------
33,920
=======
Utilities 12.3%
Beaver Valley Funding Corp.
8.250% due 06/01/2003 276 274
8.625% due 06/01/2007 690 691
Cable & Wireless Communications
6.750% due 12/01/2008 5,000 5,021
Central Power & Light Co.
6.710% due 11/23/2001 (d) 10,000 10,003
CMS Energy
8.125% due 05/15/2002 750 739
Edison Mission Energy
6.790% due 06/15/2001 (d) 10,000 10,001
Philadelphia Electric
7.375% due 12/15/2001 3,000 2,988
System Energy Resources
7.710% due 08/01/2001 2,900 2,899
Texas Utilities Co.
6.791% due 06/25/2001 10,000 9,991
7.105% due 09/24/2001 5,000 5,027
47,634
-------
Total Corporate Bonds & Notes 127,268
(Cost $128,378) =======
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.9%
--------------------------------------------------------------------------------
Federal Home Loan Bank
0.000% due 05/12/2000 (d) 5,000 5,000
5.790% due 04/06/2006 (d) 850 797
5.670% due 02/26/2009 (d) 1,000 901
6.225% due 04/13/2009 (d) 400 368
Federal National Mortgage Assn.
5.750% due 06/15/2005 (d) 250 236
6.440% due 08/14/2007 300 289
7.020% due 09/27/2007 400 384
Student Loan Marketing Assn.
5.129% due 06/30/2000 (d) 3,400 3,400
-------
Total U.S. Government Agencies 11,375
(Cost $11,423) =======
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 5.8%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (h)
3.625% due 07/15/2002 8,426 8,403
3.375% due 01/15/2007 4,898 4,716
3.625% due 01/15/2008 1,984 1,932
3.875% due 01/15/2009 823 814
U.S. Treasury Notes
5.125% due 08/31/2000 (b) 2,435 2,424
6.500% due 05/15/2005 1,000 1,007
6.875% due 05/15/2006 1,000 1,028
U.S Treasury Bond Strip
0.000% due 08/15/2005 500 356
U.S. Treasury Bonds
8.750% due 08/15/2020 1,300 1,681
-------
Total U.S. Treasury Obligations 22,361
(Cost $22,357) =======
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 35.0%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 12.6%
Chase Mortgage Finance Corp.
6.203% due 04/25/2025 (d) 3,779 3,841
Criimi Mae Financial Corp.
7.000% due 01/01/2033 10,980 10,744
Federal Home Loan Mortgage Corp.
7.000% due 05/15/2004-06/15/2006 (g) 2,199 2,175
6.000% due 12/15/2008 5,084 4,906
8.500% due 04/15/2025 2,275 2,377
8.000% due 02/15/2027 445 449
5.500% due 06/15/2003 280 270
7.250% due 03/15/2007 80 80
6.500% due 10/15/2007-10/15/2023 5,624 5,412
Federal National Mortgage Assn.
6.250% due 04/25/2007 1,000 987
6.000% due 03/25/2009 1,432 1,280
6.500% due 01/18/2019 2,400 2,381
7.000% due 09/25/2021 3,094 3,043
General Electric Capital Mortgage
Services, Inc.
6.000% due 02/25/2024 341 338
Government National Mortgage Assn.
7.500% due 04/20/2027 2,487 2,418
Norwest Asset Securities Corp.
7.000% due 01/25/2028 0 0
90 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
PNC Mortgage Securities Corp.
6.500% due 12/25/2028 $ 5,000 $ 4,427
Residential Funding Mortgage Securities, Inc.
6.982% due 06/25/2008 1,900 1,874
7.000% due 05/25/2012 1,791 1,722
--------
48,724
========
Federal Home Loan Mortgage Corporation 0.0%
7.750% due 08/01/2001 2 2
--------
Federal Housing Administration 2.6%
7.430% due 04/01/2022-06/01/2023 10,062 10,029
--------
Federal National Mortgage Association 9.1%
5.933% due 05/01/2036 (d) 0 0
6.000% due 05/01/2005-02/01/2014 (g) 912 864
6.023% due 09/01/2017-01/01/2027 (d)(g) 1,163 1,135
6.100% due 08/01/2018 (d) 302 295
6.500% due 08/25/2021 28,509 27,398
7.000% due 05/01/2012 500 492
7.500% due 08/01/2017-01/01/2027 (g) 2,276 2,255
8.000% due 09/01/2026-10/01/2026 (g) 2,576 2,593
--------
35,032
========
Government National Mortgage Association 10.7%
6.000% due 04/19/2030 6,500 5,947
6.375% due 03/20/2020-03/20/2028 (d)(g) 9,490 9,499
6.500% due 04/19/2030 (d) 8,970 8,461
7.000% due 03/15/2029 687 667
7.125% due 11/20/2017-11/20/2025 (d)(g) 639 647
7.500% due 12/15/2028-04/19/2030 (g) 9,669 9,568
8.000% due 05/15/2027-04/19/2030 (g) 5,560 5,623
9.000% due 06/15/2009 1,148 1,189
--------
41,601
--------
Total Mortgage-Backed Securities 135,388
(Cost $137,993) ========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 6.9%
--------------------------------------------------------------------------------
AES Corp.
8.688% due 05/19/2001 1,000 999
AM-FM, Inc.
7.500% due 11/19/2001 500 498
7.688% due 11/19/2001 500 498
Amresco Residential Securities Mortgage
Loan Trust
6.500% due 11/25/2015 25 25
Brazos Student Loan Finance Co.
6.430% due 06/01/2023 (d) 10,000 9,898
Caterpillar Financial Asset Trust
6.450% due 05/25/2003 615 615
Chase Credit Card Master Trust
6.777% due 05/15/2007 4,395 4,363
Chase Manhattan Corp.
7.000% due 04/25/2025 606 602
Green Tree Home Equity Loan Trust
5.590% due 02/15/2013 895 893
Green Tree Home Improvement
5.940% due 06/15/2029 482 482
Green Tree Recreational Equipment
6.430% due 04/17/2006 2,000 1,983
IMC Home Equity Loan Trust
6.661% due 03/25/2027 (d) 94 94
Kansas City Southern Bank Loan
8.355% due 01/15/2001 (d) 1,000 1,000
LIBOR-Index Certificates
6.500% due 12/16/2001 (d) 800 800
The Money Store Home Equity Trust
6.040% due 08/15/2017 1,392 1,384
The Money Store Residential Trust
6.215% due 02/15/2011 2,563 2,556
--------
Total Asset-Backed Securities 26,690
(Cost $26,854) ========
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 5.3%
--------------------------------------------------------------------------------
Commonwealth of Canada
6.500% due 05/30/2000 $ 2,500 $ 2,501
Hydro Quebec
7.620% due 04/02/2001 1,000 1,005
6.500% due 09/29/2049 (d) 5,000 4,334
Republic of Argentina
11.786% due 04/10/2005 (d) 2,715 2,545
United Mexican States
7.439% due 06/27/2002 (d) 10,000 9,858
--------
Total Sovereign Issues 20,243
(Cost $20,346) ========
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 3.9%
--------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 6,000 5,838
Commonwealth of New Zealand
4.500% due 02/15/2016 (h) N$ 800 390
Korea Development Bank
6.342% due 05/06/2000 (d) BP 5,500 8,747
--------
Total Foreign Currency-Denominated Issues 14,975
(Cost $15,471) ========
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.0%
--------------------------------------------------------------------------------
Utilities 0.0%
Alliant Energy Resources
7.250% due 01/02/2000 $ 0 33
--------
Total Convertible Bonds & Notes 33
(Cost $27) ========
--------------------------------------------------------------------------------
PREFERRED SECURITY 1.1%
--------------------------------------------------------------------------------
Shares
DG Funding Trust
618.125% due 12/29/2049 410 4,116
--------
Total Preferred Security 4,116
(Cost $4,100) ========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 9.4%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Certificates of Deposit 1.3%
Commerzbank AG
6.200% due 05/10/2000 $5,000 5,000
--------
Commercial Paper 6.8%
Conagra, Inc.
6.150% due 05/08/2000 5,500 5,467
E.I. Du Pont de Nemours
5.890% due 05/22/2000 900 893
Emerson Electric
5.840% due 04/05/2000 1,000 1,000
Federal Home Loan Mortgage Corp.
5.980% due 06/15/2000 7,000 6,910
General Motors Acceptance Corp.
6.040% due 05/03/2000 4,500 4,477
Honeywell, Inc.
5.830% due 04/10/2000 700 699
6.000% due 04/26/2000 1,000 996
Motorola, Inc.
6.090% due 06/30/2000 4,000 3,939
USAA Capital Corp.
6.030% due 05/15/2000 2,000 1,986
--------
26,367
========
Repurchase Agreement 1.2%
State Street Bank
5.600% due 04/03/2000 4,623 4,623
(Dated 03/31/2000. Collateralized by
Federal Home Loan Mortgage Corporation
5.750% due 05/15/2001 valued at $4,718.
Repurchase proceeds are $4,625.)
--------
4,623
========
2000 Annual Report See accompanying notes 91
<PAGE>
Schedule of Investments (Cont.)
Moderate Duration Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
U.S. Treasury Bills 0.1%
5.658% due 04/27/2000 (b) $ 534 $ 533
---------
Total Short-Term Instruments 36,523
(Cost $36,529) =========
Total Investments (a) 103.1% $ 398,972
(Cost $403,478)
Written Options (c) (0.1%) $ (332)
(Premiums $250)
Other Assets and Liabilities (Net) (3.0%) (11,514)
---------
Net Assets 100.0% $ 387,126
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes of $ 403,479 was as
follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of
value over tax cost. $ 839
Aggregate gross unrealized depreciation for all
investments in which there was an excess of
tax cost over value. (5,346)
---------
Unrealized depreciation-net $ (4,507)
=========
(b) Securities with an aggregate market value of $2,956 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Eurodollar March Futures (03/2001) 158 $ (52)
EuroBond 10 Year Note (06/2000) 108 (138)
Government of Japan 10 Year Note 4 (51)
(06/2000)
U.S. Treasury 10 Year Note (06/2000) 661 1,538
U.S. Treasury 30 Year Note (06/2000) 1 3
---------
$ 1,300
=========
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 100.00 Exp. 05/20/2000 3 $ 1 $ 1
Call - CBOT U.S. Treasury Bond June
Futures
Strike @ 98.00 Exp. 05/20/2000 3 1 4
Put - CBOT U.S. Treasury Note June
Futures
Strike @ 96.00 Exp. 05/20/2000 19 5 1
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.93 Exp. 04/19/2000 15,970,000 37 27
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 116 87 100
Put - CME Eurodollar December Futures
Strike @ 93.50 Exp. 12/18/2000 39 38 77
Put - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 35 36 53
Put - CME Eurodollar March Futures
Strike @ 93.50 Exp. 03/19/2001 35 45 69
-----------------
$ 250 $ 332
=================
(d) Variable rate security. The rate listed is as of March 31, 2000
(e) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell EC 3,968 04/2000 $ 32
Sell BP 5,805 04/2000 (103)
Sell N$ 191 04/2000 $ (0)
---------
$ (71)
=========
(f) Principal amount denoted in indicated currency:
BP - British Pound
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 March 31, 2000:
Notional Unrealized
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 5.950%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/17/2001 $ 900 $ (46)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus
5.700%. In the event of default of Republic of
Argentina Floating Rate Notes and/or Spread-
Adjusted Notes, the Fund can put the bond to
the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/28/2001 100 (5)
Receive floating rate based on 6 months LIBOR
and pay floating rate based on 6 months LIBOR
plus 6.150%. In the event of default of Republic
of Argentina Floating Rate Notes and/or Spread-
Adjusted Notes, the Fund can put the bond to
the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 400 (21)
Receive floating rate based on 3 month LIBOR
and pay fixed rate equal to 7.481%
Broker: Morgan Stanley
Exp. 02/11/2010 5,800 (75)
Receive fixed rate equal to 0.51% 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
---------
$ (147)
=========
92 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Low Duration Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 58.7%
--------------------------------------------------------------------------------
Banking & Finance 31.0%
American General Finance
6.875% due 12/14/2001 $ 25,000 $ 24,765
Aristar, Inc.
7.375% due 09/01/2004 19,000 18,796
Associates Corp. of North America
6.210% due 08/27/2001 (d) 1,000 1,000
6.875% due 06/20/2002 20,000 19,711
6.950% due 08/01/2002 1,000 990
AT&T Capital Corp.
7.500% due 11/15/2000 6,200 6,218
6.310% due 04/23/2002 (d) 10,000 10,028
Banc One Corp.
7.250% due 08/01/2002 500 498
Banco Latinoamericano SA
6.750% due 03/01/2001 1,300 1,284
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 1,800 1,719
BankAmerica Corp.
7.200% due 09/15/2002 100 99
7.875% due 12/01/2002 100 101
Bear Stearns Co., Inc.
6.750% due 08/15/2000 5,000 4,994
6.740% due 06/28/2001 (d) 2,000 2,005
6.510% due 12/16/2002 (d) 21,000 20,999
6.125% due 02/01/2003 3,000 2,885
6.596% due 03/28/2003 (d) 8,600 8,605
6.200% due 03/30/2003 9,700 9,325
6.521% due 06/01/2004 (d) 3,000 3,011
Beneficial Corp.
6.110% due 01/09/2002 (d) 10,000 10,034
6.650% due 09/12/2002 5,000 4,911
6.575% due 12/16/2002 5,440 5,320
Bombardier Capital, Inc.
6.000% due 01/15/2002 10,000 9,724
7.500% due 08/15/2004 1,000 989
Capital One Bank
6.280% due 02/20/2001 6,500 6,444
7.000% due 04/30/2001 300 299
Case Credit Corp.
5.910% due 02/19/2001 4,000 3,949
5.850% due 02/20/2001 (d) 63,000 62,161
5.930% due 02/26/2001 5,000 4,935
6.393% due 08/01/2001 (d) 4,750 4,743
Caterpillar Financial Service Corp.
6.875% due 08/01/2004 1,000 975
Chase Manhattan Corp.
5.560% due 10/13/2000 (d) 7,500 7,512
5.500% due 02/15/2001 1,000 986
Chrysler Financial Co. LLC
5.850% due 01/26/2001 5,000 4,955
6.144% due 08/08/2002 (d) 8,000 8,007
CIT Group, Inc.
6.200% due 10/20/2000 17,300 17,231
5.875% due 06/18/2001 19,400 19,083
Credit Asset Receivable
6.274% due 10/31/2003 37,439 36,592
Export-Import Bank Korea
6.500% due 11/15/2006 6,700 6,385
Finova Capital Corp.
6.450% due 06/01/2000 12,200 12,183
6.270% due 09/29/2000 2,700 2,681
First Security Corp.
7.701% due 06/01/2005 (d) 4,600 4,600
Ford Motor Credit Corp.
6.341% due 03/19/2002 (d) 18,857 18,907
6.300% due 07/16/2002 (d) 100 100
6.520% due 08/12/2002 13,000 12,744
6.330% due 03/17/2003 (d) 3,000 3,000
6.125% due 04/28/2003 14,000 13,494
General Motors Acceptance Corp.
7.125% due 05/01/2001 15,000 14,987
6.211% due 09/19/2001 (d) 5,000 5,009
6.230% due 12/10/2001 (d) 7,400 7,396
6.165% due 04/29/2002 (d) 2,000 2,001
6.199% due 11/12/2002 (d) 17,400 17,367
6.299% due 11/12/2002 (d) 63,520 63,605
5.875% due 01/22/2003 500 480
6.681% due 07/20/2003 (d) 14,934 14,920
6.251% due 04/05/2004 (d) 700 698
Goldman Sachs Group
6.200% due 12/15/2000 1,000 995
Great Western Financial
8.600% due 02/01/2002 4,000 4,049
Heller Financial, Inc.
6.435% due 08/08/2000 2,500 2,496
6.300% due 04/28/2003 (d) 20,000 19,919
Hitachi Credit America
6.100% due 04/24/2001 25,000 24,777
Household Finance Corp.
6.490% due 04/09/2001 20,000 19,856
6.125% due 07/15/2002 10,000 9,726
7.625% due 01/15/2003 10,849 10,837
6.125% due 02/27/2003 1,500 1,437
6.506% due 06/24/2003 (d) 1,500 1,499
Industrial Bank of Korea
8.375% due 09/30/2002 5,000 4,980
Key Bank NA
6.052% due 04/24/2003 12,900 12,425
Korea Development Bank
7.125% due 09/17/2001 11,900 11,767
7.900% due 02/01/2002 1,300 1,296
7.625% due 10/01/2002 18,500 18,244
8.008% due 06/16/2003 (d) 3,500 3,430
6.625% due 11/21/2003 20,300 19,251
7.125% due 04/22/2004 1,800 1,729
7.375% due 09/17/2004 1,200 1,161
Korean Export-Import Bank
6.500% due 02/10/2002 7,200 6,987
7.100% due 03/15/2007 3,200 3,160
Lehman Brothers Holdings, Inc.
6.138% due 06/01/2001 (d) 1,500 1,500
6.904% due 04/02/2002 (d) 2,000 2,012
6.375% due 05/07/2002 28,345 27,667
6.798% due 05/07/2002 (d) 5,000 5,018
6.690% due 12/12/2002 (d) 1,500 1,504
6.690% due 04/04/2003 (d) 7,900 8,016
7.000% due 05/15/2003 3,600 3,531
Marsh & McLennan Co., Inc.
6.625% due 06/15/2004 1,000 967
MBNA America Bank NA
6.000% due 12/26/2000 5,000 4,952
6.875% due 07/15/2004 1,900 1,837
Mercury Finance Co.
10.000% due 03/23/2001 4,400 4,268
Merrill Lynch & Co.
6.250% due 07/25/2000 2,150 2,149
6.298% due 09/25/2000 (d) 2,100 2,102
6.234% due 09/30/2000 (d) 8,558 8,553
6.000% due 01/15/2001 1,336 1,324
6.710% due 11/26/2001 (d) 115,000 114,969
6.140% due 01/15/2002 (d) 5,000 4,954
6.508% due 02/08/2002 (d) 25,000 25,065
6.300% due 02/04/2003 (d) 23,000 22,701
6.130% due 04/07/2003 7,770 7,491
Mexico Credit Link
11.384% due 02/22/2002 (d) 5,000 5,035
Morgan Stanley, Dean Witter, Discover and
Co.
6.328% due 03/11/2003 (d) 5,000 4,985
PNC Bank Corp.
6.224% due 01/24/2002 (d) 20,000 19,981
Popular North American, Inc.
6.875% due 06/15/2001 5,000 4,950
7.375% due 09/15/2001 20,000 19,884
2000 Annual Report See accompanying notes 93
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Popular, Inc.
6.200% due 04/30/2001 $ 1,000 $ 984
Prudential Funding Corp.
6.240% due 10/02/2000 (d) 5,000 5,008
Rothmans Holdings
6.500% due 05/06/2003 14,000 13,327
Salomon, Inc.
7.500% due 02/01/2003 3,000 3,001
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (f)(h) 1,064 1,045
6.279% due 05/14/2002 (d) 25,150 25,113
6.320% due 07/23/2002 (d) 5,100 5,094
Security Pacific Corp.
11.500% due 11/15/2000 3,850 3,953
Seismic Ltd.
10.790% due 01/01/2002 (d) 10,000 10,000
SGE Associates
8.070% due 07/20/2000 3,249 3,250
Spieker Properties
6.650% due 12/15/2000 5,070 5,028
6.800% due 05/01/2004 2,000 1,895
Toyota Motor Credit Corp.
5.707% due 02/15/2002 11,600 11,299
Transamerica Finance Corp.
6.125% due 11/01/2001 5,000 4,895
5.920% due 03/29/2002 52,050 50,423
Travelers Group, Inc.
7.250% due 05/01/2001 3,700 3,700
7.300% due 05/15/2002 15,000 14,964
Wachovia Corp.
6.805% due 05/02/2005 (d) 8,000 8,000
Wells Fargo Co.
6.750% due 05/12/2000 1,000 1,000
6.780% due 05/02/2005 (d) 32,700 32,700
----------
1,236,555
==========
Industrials 14.2%
Allied Waste North America, Inc.
7.375% due 01/01/2004 5,000 4,300
AMR Corp.
9.910% due 03/01/2001 2,500 2,555
9.440% due 05/15/2001 5,000 5,094
9.125% due 10/24/2001 1,000 1,019
Boise Cascade Co.
9.850% due 06/15/2002 3,000 3,081
Burlington North Santa Fe
6.050% due 03/15/2001 2,000 1,972
Case Credit Corp.
6.318% due 05/05/2000 (d) 17,750 17,752
Century Communications Corp.
0.000% due 03/15/2003 5,250 3,859
Coastal Corp.
6.569% due 03/06/2002 (d) 32,200 32,200
Container Corp. of America
11.250% due 05/01/2004 7,500 7,650
Crown Cork & Seal
7.125% due 09/01/2002 33,000 32,159
CSX Corp.
9.500% due 08/01/2000 380 382
Delta Air Lines, Inc.
9.875% due 05/15/2000 4,100 4,110
9.800% due 12/16/2000 250 252
8.500% due 09/15/2001 205 207
Dillards, Inc.
6.080% due 08/01/2000 5,000 4,962
Eastman Chemical Co.
6.375% due 01/15/2004 250 237
Electric Lightwave, Inc.
6.050% due 05/15/2004 3,000 2,859
EZ Communication, Inc.
9.750% due 12/01/2005 5,000 5,305
Federal-Mogul Corp.
7.500% due 07/01/2004 28,600 24,828
Ford Motor Co.
9.000% due 09/15/2001 500 511
Fred Meyer, Inc.
7.150% due 03/01/2003 13,500 13,209
Global Crossing Ltd.
6.000% due 10/15/2003 5,000 4,634
Gold Eagle
9.003% due 04/16/2001 20,000 19,976
Grupo Televisa SA
13.250% due 05/15/2008 (i) 5,850 5,777
Hertz Corp.
6.625% due 07/15/2000 100 100
HMH Properties, Inc.
7.875% due 08/01/2005 5,000 4,419
Houghton Mifflin Co.
6.501% due 12/01/2000 (d) 18,000 17,992
IBM Corp.
6.375% due 06/15/2000 100 100
IMEXSA Export Trust
10.125% due 05/31/2003 8,286 8,086
International Paper Co.
6.875% due 07/10/2000 6,000 5,988
ISP Holdings, Inc.
9.750% due 02/15/2002 3,000 2,858
J Seagram & Sons
6.250% due 12/15/2001 52,000 50,750
Levi Strauss & Co.
6.800% due 11/01/2003 2,500 1,650
Lockheed Martin Corp.
6.850% due 05/15/2001 5,300 5,232
Nabisco, Inc.
6.000% due 02/15/2001 (d) 21,000 20,700
6.700% due 06/15/2002 21,100 20,590
NL Industries, Inc.
11.750% due 10/15/2003 3,000 3,109
Noranda, Inc.
6.820% due 08/18/2000 (d) 1,000 1,002
Norfolk Southern Corp.
6.700% due 05/01/2000 2,500 2,499
Occidental Petroleum
6.400% due 04/01/2003 15,945 15,200
Owens-Illinois, Inc.
7.850% due 05/15/2004 15,000 14,416
Petroleos Mexicanos
8.402% due 07/15/2005 (d) 15,173 14,984
9.375% due 12/02/2008 5,500 5,651
Philip Morris Cos., Inc.
9.000% due 01/01/2001 7,000 7,060
7.500% due 01/15/2002 200 196
7.250% due 01/15/2003 4,050 3,894
R & B Falcon Corp.
6.500% due 04/15/2003 11,000 9,955
Rollins Truck Leasing Co.
8.000% due 02/15/2003 3,000 3,036
Starwood Hotel & Resorts
6.750% due 11/15/2005 2,000 1,793
Stone Container Corp.
10.750% due 10/01/2002 11,080 11,232
9.500% due 10/01/2003 2,363 2,362
Supervalu, Inc.
9.750% due 06/15/2004 10,500 11,025
TCI Communications, Inc.
6.850% due 03/11/2003 (d) 3,000 3,066
Tenet Healthcare Corp.
7.875% due 01/15/2003 4,300 4,139
8.625% due 12/01/2003 9,700 9,510
Time Warner, Inc.
7.975% due 08/15/2004 1,200 1,223
8.110% due 08/15/2006 2,400 2,465
Union Oil Co. of California
9.100% due 08/15/2001 3,350 3,431
Union Pacific Corp.
7.000% due 06/15/2000 1,000 999
Waste Management, Inc.
6.500% due 05/14/2004 45,000 40,257
94 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Whitman Corp.
6.250% due 05/01/2000 $ 3,000 $ 3,000
6.000% due 05/01/2004 6,500 6,161
Williams Communications Group, Inc.
6.540% due 11/15/2001 6,200 6,200
Xerox Corp.
5.875% due 06/01/2000 3,000 2,995
Yorkshire Power
6.154% due 02/25/2003 40,000 38,136
-------------
566,351
=============
Utilities 13.5%
Arkansas Power & Light
6.000% due 10/01/2003 450 427
Beaver Valley Funding Corp.
8.250% due 06/01/2003 3,410 3,385
Burlington Resources
9.625% due 06/15/2000 13,900 13,957
Calpine Corp.
9.250% due 02/01/2004 2,960 2,982
7.625% due 04/15/2006 6,000 5,674
Cinergy Corp.
6.125% due 04/15/2004 13,000 12,228
Cleveland Electric Illuminating Co.
8.550% due 11/15/2001 2,075 2,109
7.850% due 07/30/2002 3,500 3,496
9.500% due 05/15/2005 2,000 2,031
CMS Energy
8.125% due 05/15/2002 2,700 2,662
7.625% due 11/15/2004 14,500 13,472
Connecticut Light & Power Co.
7.875% due 06/01/2001 500 500
7.750% due 06/01/2002 21,500 21,456
8.590% due 06/05/2003 10,000 9,677
Conoco, Inc.
5.900% due 04/15/2004 3,100 2,951
Cox Enterprises, Inc.
6.625% due 06/14/2002 3,000 2,923
Entergy Mississippi
7.750% due 02/15/2003 35,000 35,067
Flag Ltd.
8.250% due 01/30/2008 2,000 1,750
Hughes Electric
7.451% due 10/23/2000 28,500 28,474
Illinois Power Co.
6.250% due 07/15/2002 10,000 9,717
6.000% due 09/15/2003 12,500 11,869
Louisiana Power & Light Co.
7.740% due 07/01/2002 3,308 3,290
MCI Worldcom, Inc.
6.270% due 08/17/2000 (d) 100,000 100,017
8.875% due 01/15/2006 45,170 47,068
New Century Energies, Inc.
5.860% due 05/30/2000 12,100 12,075
Niagara Mohawk Power
7.000% due 10/01/2000 20,717 20,678
7.125% due 07/01/2001 1,512 1,492
7.250% due 10/01/2002 16,634 16,432
Noram Energy
7.500% due 08/01/2000 12,300 12,309
North Atlantic Energy
9.050% due 06/01/2002 4,066 4,029
Occidental Petroleum
6.240% due 11/24/2000 5,000 4,954
Ohio Edison
6.375% due 04/01/2000 1,900 1,900
Public Service Enterprise Group, Inc.
6.330% due 11/22/2000 (d) 10,000 10,000
Southwestern Bell Communication Capital Corp.
6.125% due 03/12/2001 2,000 1,983
Texas New Mexico Power
9.250% due 09/15/2000 1,599 1,609
Texas Utilities Co.
6.735% due 04/20/2000 (d) 10,000 10,005
5.940% due 10/15/2001 13,155 12,897
6.750% due 04/01/2003 3,875 3,796
6.875% due 08/01/2005 2,000 1,948
U.S. West Communications, Inc.
5.650% due 11/01/2004 9,250 8,618
United Illuminating Co.
6.000% due 12/15/2003 13,000 12,133
Western Massachusetts Electric
7.375% due 07/01/2001 5,250 5,225
7.750% due 12/01/2002 10,300 10,392
Western Resources, Inc.
6.250% due 08/15/2003 5,450 4,692
WorldCom, Inc.
6.125% due 08/15/2001 45,000 44,443
-------------
538,792
-------------
Total Corporate Bonds & Notes 2,341,698
=============
(Cost $2,376,563)
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.3%
--------------------------------------------------------------------------------
New York 0.3%
New York City Refunding Bonds, Series 1998 B
5.900% due 08/01/2000 13,000 12,952
-------------
Total Municipal Bonds & Notes 12,952
=============
(Cost $12,999)
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.3%
--------------------------------------------------------------------------------
Small Business Administration
7.000% due 01/25/2013 (d) 261 263
7.250% due 02/25/2014 (d) 813 848
Student Loan Marketing Assn
5.129% due 06/30/2000 (d) 46,000 45,994
5.909% due 04/25/2006 (d) 9,146 9,112
6.565% due 04/25/2007 (d) 34,828 34,657
-------------
Total U.S. Government Agencies 90,874
=============
(Cost $91,013)
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 11.0%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (h)(j)
3.625% due 07/15/2002 147,248 146,834
3.375% due 01/15/2007 37,052 35,674
3.625% due 01/15/2008 120,599 117,433
3.875% due 01/15/2009 96,584 95,587
4.250% due 01/15/2010 30,079 30,680
U.S. Treasury Notes
5.125% due 08/31/2000 (b) 11,575 11,524
-------------
Total U.S. Treasury Obligations 437,732
=============
(Cost $436,866)
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 29.8%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 11.0%
Cendant Mortgage Corp.
6.500% due 09/18/2029 572 563
Chase Commercial Mortgage Securities Corp.
7.600% due 12/18/2005 190 191
6.900% due 09/19/2006 135 131
Chase Mortgage Finance Corp.
10.000% due 11/25/2009 199 201
6.500% due 06/25/2013 6,952 6,771
6.203% due 04/25/2025 (d) 3,779 3,841
6.750% due 07/25/2028 11,250 10,595
6.350% due 07/25/2029 5,000 4,887
CMC Securities Corp. IV
7.250% due 10/25/2027 12,141 11,806
Collateralized Mortgage Obligation Trust
6.375% due 01/20/2003 (d) 6 6
Commercial Mortgage Acceptance Corp.
6.790% due 08/15/2008 1,249 1,214
Commercial Trust
6.670% due 12/15/2003 4,313 4,067
2000 Annual Report See accompanying notes
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Countrywide Funding Corp.
5.875% due 01/25/2035 (d) $ 3,496 $ 3,467
Countrywide Home Loans
6.250% due 07/25/2009 822 816
6.900% due 12/25/2027 18,168 17,531
Criimi Mae Financial Corp.
7.000% due 01/01/2033 8,509 8,326
CS First Boston Mortgage Securities Corp.
6.400% due 02/17/2004 143 140
6.520% due 07/17/2007 145 139
Dime Savings
6.689% due 11/01/2018 (d) 1,685 1,527
DLJ Mortgage Acceptance Corp.
11.000% due 08/01/2019 777 851
8.154% due 05/25/2024 (d) 1,159 1,183
6.375% due 06/25/2026 (d) 11,419 11,067
6.850% due 12/17/2027 165 163
Enterprise Mortgage Acceptance Co.
6.110% due 07/15/2003 120 117
Federal Home Loan Mortgage Corp.
6.000% due 07/15/2006 2,296 2,275
6.500% due 08/15/2006 3,000 2,982
10.000% due 09/15/2009 3 3
6.500% due 08/15/2011 19,609 18,982
6.375% due 08/15/2011 1,231 1,229
12.500% due 09/30/2013 544 565
6.250% due 07/15/2014 471 470
10.000% due 07/15/2019 257 268
9.000% due 11/15/2019 620 626
10.000% due 05/15/2020 180 188
7.500% due 12/15/2020 1,219 1,220
9.000% due 12/15/2020 3,131 3,225
9.500% due 01/15/2021 1,064 1,101
8.000% due 04/15/2021 1,225 1,240
9.000% due 05/15/2021 214 220
7.500% due 01/20/2024 5,983 5,977
Federal Home Loan Mortgage Corporation
9.500% due 03/01/2010 30 31
9.500% due 08/01/2016 7 7
10.000% due 11/01/2016 21 22
9.500% due 06/01/2019 20 22
9.500% due 07/01/2020 10 10
9.500% due 08/01/2020 32 34
9.500% due 09/01/2021 37 39
Federal National Mortgage Assn.
8.950% due 05/25/2003 32 32
9.400% due 07/25/2003 59 60
9.000% due 07/25/2003 248 251
6.875% due 06/25/2009 1,603 1,591
7.000% due 09/25/2016 10,368 10,174
8.750% due 05/25/2019 33 33
9.500% due 03/25/2020 3,502 3,784
9.500% due 05/25/2020 1,450 1,510
9.000% due 03/25/2021 3,599 3,680
9.000% due 04/25/2021 122 126
8.000% due 03/25/2022 38 38
5.000% due 01/25/2024 113 111
8.500% due 04/01/2025 3,146 3,210
6.502% due 02/01/2028 (d) 7,231 7,511
First Plus Home Loan Trust
6.060% due 09/10/2011 411 410
General Electric Capital Mortgage Services, Inc.
6.750% due 12/25/2012 3,041 2,995
6.500% due 02/25/2024 4 4
German American Capital Corp.
7.000% due 08/12/2010 6,800 6,666
Glendale Federal Savings & Loan
7.399% due 03/25/2030 (d) 1,169 1,177
Greenwich
8.869% due 11/25/2024 (d) 302 303
Independent National Mortgage Corp.
8.432% due 11/25/2024 (d) 521 525
J.P. Morgan Commercial Mortgage Finance Corp.
7.069% due 09/15/2029 185 182
6.373% due 01/15/2030 129 125
LB Commercial Conduit Mortgage Trust
6.330% due 11/18/2004 129 125
Lehman Large Loan
6.790% due 06/12/2004 160 158
Mellon Residential Funding Corp.
6.400% due 06/26/2028 2,661 2,534
6.580% due 07/25/2029 17,411 17,228
Morgan Stanley Capital
6.860% due 07/15/2005 130 127
7.227% due 01/16/2006 230 230
7.460% due 02/15/2020 8,100 8,105
6.220% due 06/03/2030 216 208
Mortgage Capital Funding, Inc.
6.325% due 10/18/2007 22,202 21,306
Nomura Asset Securities Corp.
6.625% due 01/25/2009 872 867
Norwest Asset Securities Corp.
6.500% due 01/25/2029 6,000 5,627
PNC Mortgage Securities Corp.
6.500% due 02/25/2028 8,508 8,441
6.750% due 05/25/2028 5,241 5,117
Prudential Bache
6.151% due 09/01/2018 (d) 24 23
8.400% due 03/20/2021 3,726 3,761
Prudential Home Mortgage Securities
7.500% due 10/25/2007 878 873
7.000% due 01/25/2008 10,000 9,787
6.750% due 11/25/2008 4,941 4,679
7.000% due 06/25/2023 3,014 2,968
6.050% due 04/25/2024 159 157
6.000% due 05/25/2024 9 9
Resecuritization Mortgage Trust
6.069% due 04/26/2021 (d) 12,290 11,952
Residential Accredit Loans, Inc.
6.500% due 02/25/2029 26,470 24,889
7.000% due 07/25/2029 585 565
Residential Asset Securitization Trust
6.500% due 09/25/2014 478 456
Residential Funding Mortgage Securities, Inc.
6.500% due 06/25/2008 646 643
6.500% due 04/25/2009 33 32
5.532% due 07/01/2019 (d) 837 799
7.100% due 07/25/2027 4,220 4,174
7.000% due 10/25/2027 10,000 9,331
7.250% due 10/25/2027 9,153 18,991
6.250% due 11/25/2028 6,000 5,354
Resolution Trust Corp.
6.059% due 10/25/2021 481 446
8.625% due 10/25/2021 11,603 11,561
6.946% due 10/25/2021 (d) 88 87
6.900% due 02/25/2027 3,821 3,481
9.000% due 09/25/2028 149 150
7.290% due 10/25/2028 (d) 96 96
Ryland Acceptance Corp.
8.000% due 03/01/2018 2,041 2,016
Ryland Mortgage Securities Corp.
6.668% due 11/25/2021 1,034 1,015
Salomon Brothers Mortgage Securities
6.988% due 12/25/2017 (d) 1,653 1,647
8.354% due 03/25/2024 (d) 1,227 1,258
Securitized Asset Sales, Inc.
6.750% due 08/25/2025 106 106
Shearson Lehman
9.600% due 03/25/2021 310 309
Structured Asset Mortgage Investments, Inc.
6.905% due 06/25/2028 (d) 6,859 6,598
6.585% due 06/25/2029 (d) 31,842 31,570
9.040% due 06/25/2029 8,885 9,162
6.750% due 05/02/2030 4,822 4,672
TMA Mortgage Funding Trust
6.259% due 01/25/2029 13,351 13,351
Union Planters Mortgage Finance Corp.
6.450% due 01/25/2028 6,000 5,887
------------
437,762
============
96 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation 1.5%
4.750% due 06/01/2001 $ 5 $ 5
5.750% due 01/15/2008 5,255 5,172
6.000% due 09/01/2006-03/01/2017 (d)(g) 10,257 9,848
6.500% due 02/01/2005-10/01/2028 (g) 1,375 1,348
6.750% due 06/15/2019 5,650 5,622
6.783% due 02/01/2020 (d) 2,319 2,367
6.878% due 07/01/2018 (d) 287 293
6.882% due 10/01/2027 (d) 1,221 1,213
7.000% due 01/01/2017 (d) 46 46
7.166% due 12/01/2022 (d) 675 697
7.324% due 10/01/2023 (d) 1,186 1,219
7.336% due 09/01/2023 (d) 262 270
7.342% due 06/01/2024 (d) 715 738
7.375% due 11/01/2022 (d) 1,684 1,721
7.439% due 11/01/2023 (d) 685 704
7.498% due 01/01/2024 (d) 2,151 2,208
7.500% due 09/01/2006 85 84
7.818% due 01/01/2024 (d) 974 1,003
7.842% due 03/01/2024 (d) 75 77
8.000% due 07/01/2006-12/01/2024 (g) 5,406 5,440
8.250% due 10/01/2007-11/01/2007 (g) 28 28
8.500% due 07/01/2001-11/01/2025 (g) 13,625 13,921
8.750% due 02/01/2001-04/01/2002 (g) 28 28
9.000% due 05/01/2002-08/01/2022 3,353 3,458
9.250% due 07/01/2001 2 2
9.500% due 03/01/2001-02/01/2025 (g) 282 293
9.750% due 03/01/2001-11/01/2008 (g) 672 693
10.000% due 04/01/2001-10/01/2019 (g) 92 98
10.500% due 07/01/2000-02/01/2016 (g) 43 44
10.750% due 10/01/2000-08/01/2011 (g) 353 379
11.500% due 10/01/2015-01/01/2016 (g) 47 51
11.750% due 11/01/2010-08/01/2015 (g) 13 14
12.000% due 09/01/2013 2 2
14.000% due 09/01/2012-04/01/2016 (g) 11 13
14.500% due 12/01/2010 3 4
15.000% due 08/01/2011-12/01/2011 (g) 4 4
15.500% due 11/01/2011 0 1
16.000% due 04/01/2012 0 0
------------
59,108
============
Federal Housing Administration 1.1%
6.950% due 04/01/2014 2,121 1,889
7.400% due 02/01/2019 94 93
7.421% due 11/01/2019 529 528
7.430% due 10/01/2019-07/01/2024 (g) 42,344 42,091
------------
44,601
============
Federal National Mortgage Association 1.1%
6.000% due 05/01/2011-12/25/2020 (g) 238 231
6.055% due 04/01/2018 (d) 6,560 6,322
6.115% due 01/01/2021 (d) 432 433
6.314% due 09/01/2006 19,729 18,750
6.500% due 06/01/2008 15 14
6.573% due 11/01/2017 (d) 349 351
6.725% due 04/25/2022 (d) 208 208
7.000% due 04/01/2002-05/01/2012 (g) 352 345
7.001% due 11/01/2018 (d) 159 161
7.091% due 07/01/2017 (d) 556 570
7.376% due 04/01/2024 (d) 2,231 2,290
7.805% due 01/01/2024 (d) 2,339 2,382
7.896% due 01/01/2024 (d) 49 50
8.000% due 03/01/2004 75 75
8.004% due 10/01/2024 (d) 4,128 4,319
8.146% due 07/01/2023 (d) 1,493 1,550
8.500% due 03/01/2008-01/01/2026 (g) 730 746
9.000% due 01/01/2025 4 4
9.500% due 07/01/2024-11/01/2025 (g) 4,144 4,363
10.000% due 02/01/2004-01/01/2025 (g) 1,302 1,369
10.500% due 06/01/2005-12/01/2024 (g) 222 233
11.000% due 09/01/2000-11/01/2020 (g) 55 60
11.250% due 12/01/2010-10/01/2015 (g) 150 163
11.500% due 12/01/2008-02/01/2020 (g) 74 81
11.750% due 02/01/2016 37 40
12.000% due 01/01/2015-10/01/2015 (g) 6 6
12.750% due 03/01/2014 26 29
13.000% due 07/01/2015 8 9
13.250% due 09/01/2011 15 17
13.500% due 04/01/2014 3 4
14.500% due 08/01/2014 40 45
15.500% due 10/01/2012-12/01/2012 (g) 61 70
15.750% due 12/01/2011 29 34
16.000% due 09/01/2012-12/01/2012 (g) 13 16
------------
45,340
============
Government National Mortgage Association 13.8%
6.375% due 04/20/2016-06/20/2027 (d)(g) 47,594 47,981
6.500% due 05/15/2023-10/15/2023 (d)(g) 567 540
6.750% due 08/20/2022-07/20/2027 (d)(g) 84,570 84,980
7.000% due 03/15/2011-04/19/2030 (g) 8,828 8,586
7.125% due 10/20/2023-12/20/2027 (d)(g) 60,783 61,608
7.500% due 02/15/2022-05/22/2030 (g) 93,291 92,587
8.000% due 07/15/2004-04/19/2030 (g) 250,617 253,675
8.500% due 04/15/2022-03/20/2027 (g) 1,108 1,133
9.000% due 03/15/2017 14 15
9.500% due 10/15/2016-06/15/2025 (g) 125 132
9.750% due 07/15/2013-02/15/2020 (g) 697 732
10.000% due 10/15/2013-11/15/2025 (g) 149 158
10.500% due 11/15/2019-02/15/2021 (g) 18 20
11.000% due 09/15/2010 9 10
11.250% due 10/15/2000 1 1
11.500% due 08/15/2018 41 45
11.750% due 08/15/2013-08/15/2015 (g) 56 62
12.000% due 06/20/2015 11 13
12.250% due 01/15/2014-03/15/2014 (g) 101 112
13.000% due 10/15/2013 6 7
13.500% due 05/15/2011-11/15/2012 (g) 24 27
16.000% due 12/15/2011-04/15/2012 (g) 34 41
------------
552,465
============
Mortgage-Backed Securities 0.5%
Government National Mortgage Association
7.000% due 12/20/2022 18,800 18,685
------------
Other Mortgage-Backed Securities 0.4%
First Boston Mortgage Securities Corp.
8.300% due 08/20/2009 41 41
Glendale Federal Savings & Loan
11.000% due 03/01/2010 16 17
Home Savings of America
5.722% due 05/25/2027 (d) 1,302 1,236
Imperial Savings & Loan
8.847% due 07/25/2017 (d) 35 35
9.900% due 02/25/2018 403 410
Resolution Trust Corp.
6.352% due 05/25/2019 (d) 3,478 3,467
6.860% due 08/25/2019 (d) 3,247 3,248
10.285% due 08/25/2021 (d) 466 464
5.746% due 10/25/2028 (d) 1,958 1,969
6.944% due 05/25/2029 (d) 2,330 2,303
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 418 419
7.688% due 12/25/2017 (d) 156 155
Sears Mortgage
12.000% due 02/25/2014 74 74
7.431% due 10/25/2022 (d) 2,050 2,073
Western Federal Savings & Loan
6.523% due 11/25/2018 (d) 5 5
------------
15,916
============
2000 Annual Report See accompanying notes 97
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Stripped Mortgage-Backed Securities 0.4%
Federal Home Loan Mortgage Corp. (IO)
6.000% due 02/15/2006 $ 705 $ 19
9.982% due 07/15/2006 12 89
10.195% due 08/15/2006 6 45
11.944% due 12/15/2006 13 117
6.000% due 10/15/2007 702 29
6.000% due 02/15/2008 2,392 113
7.000% due 08/15/2018 6,948 599
7.000% due 04/15/2019 790 23
6.500% due 05/15/2019 5,640 368
6.500% due 06/15/2019 3,629 195
10.496% due 04/15/2021 15 213
6.500% due 04/15/2022 3,506 352
7.000% due 05/15/2023 393 52
4.000% due 01/15/2024 20,919 4,454
Federal National Mortgage Association (IO)
6.000% due 07/25/2005 287 2
7.272% due 09/25/2006 45 318
6.000% due 02/25/2008 3,184 173
256.000% due 11/01/2008 25 132
6.500% due 03/25/2009 (d) 25,455 1,062
6.503% due 07/25/2017 2,355 2,295
7.500% due 03/25/2019 2,521 234
6.500% due 05/25/2019 10,000 904
6.500% due 04/25/2020 9,414 583
7.000% due 05/25/2021 5,323 431
8.598% due 02/25/2022 23 355
6.500% due 03/25/2023 4,212 465
4.875% due 03/25/2024 (d) 7,047 278
Federal National Mortgage Association (PO)
0.000% due 09/25/2022 30 25
Prudential Home Mortgage Securities (IO)
0.300% due 04/25/2009 (d) 54,383 353
Resolution Trust Corp. (PO)
0.000% due 09/25/2000 231 230
--------------
14,508
--------------
Total Mortgage-Backed Securities 1,188,385
==============
(Cost $1,202,752)
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 5.6%
--------------------------------------------------------------------------------
Allied Waste Industries, Inc.
8.938% due 07/30/2006 4,909 4,457
Allied Waste North America, Inc.
8.938% due 07/30/2006 (d) 8,727 7,923
9.125% due 07/30/2007 (d) 12,545 11,389
9.188% due 07/30/2007 (d) 3,818 3,466
Amresco Residential Securities Mortgage Loan Trust
6.315% due 07/25/2027 (d) 2,593 2,591
AT&T Universal Card Master Trust
5.950% due 10/17/2002 4,000 3,986
Bay View Financial Revolving
7.179% due 08/25/2029 (d) 6,900 6,785
Bombardier Capital Mortgage
6.605% due 09/15/2010 10,330 10,261
Capital Asset Research Funding LP
6.400% due 12/15/2004 79 77
Citicorp Mortgage Securities, Inc.
6.750% due 05/25/2028 6,266 5,833
CMC Securities Corp. IV
7.250% due 11/25/2027 8,789 8,522
Columbia/HCA Healthcare
6.125% due 12/15/2000 200 197
Community Program Loan Trust
4.500% due 10/01/2018 16,692 14,814
Duck Auto Grantor Trust
5.650% due 03/15/2004 10,092 9,938
Empire Funding Home Loan Owner Trust
6.590% due 05/25/2014 15,691 15,582
Federal-Mogul Corp.
7.940% due 12/31/2005 (d) 3,000 2,973
7.890% due 12/31/2005 (d) 1,986 1,968
GF Funding Corp.
6.890% due 09/30/2002 24,580 24,287
Green Tree Home Improvement Loan
6.320% due 08/15/2008 13,927 13,893
IMC Home Equity Loan Trust
6.286% due 10/20/2027 (d) 5,685 5,688
Lyondell Petroleum
9.613% due 12/31/2003 (d) 4,962 5,002
Merit Securities Corp.
7.040% due 01/28/2030 28,587 28,426
New York City Tax Lien
6.350% due 07/10/2007 10,045 9,920
Oakwood Mortgage Investors, Inc.
6.950% due 08/15/2027 5,500 5,435
Premiet Auto Trust
5.560% due 04/08/2001 1,028 1,028
Primedia, Inc.
8.740% due 07/31/2004 (d) 13,000 12,909
Prudential Home Mortgage Security
7.000% due 08/25/2009 4,000 3,967
Saxon Asset Securities Trust
7.205% due 01/25/2019 275 273
Stone Container Corp.
9.688% due 10/01/2003 (d) 2,363 2,362
--------------
Total Asset-Backed Securities 223,952
==============
(Cost $228,952)
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 3.3%
--------------------------------------------------------------------------------
Central Bank Philippines
6.500% due 06/01/2008 (d) 3,180 3,053
Government of Brazil
7.000% due 01/01/2001 (d) 4,182 4,167
Hydro Quebec
9.000% due 03/07/2001 10,000 10,175
Nacional Financiera
10.625% due 11/22/2001 7,500 7,759
Pemex Finance Limited
6.125% due 11/15/2003 15,000 14,559
Province of Quebec
6.006% due 10/25/2001 (d) 250 249
Republic of Argentina
11.786% due 04/10/2005 (d) 9,000 8,438
Republic of Korea
8.594% due 04/08/2000 (d) 5,440 5,460
Republic of Philippines
6.938% due 01/05/2005 (d) 2,000 1,992
6.875% due 12/01/2009 (d) 16,160 15,271
United Mexican States
6.930% due 04/07/2000 (d) 9,206 9,229
5.820% due 06/28/2001 10,500 10,235
7.439% due 06/27/2002 (d) 6,200 6,112
7.493% due 06/27/2002 (d) 19,400 19,469
9.780% due 04/07/2004 (d) 15,000 15,357
--------------
Total Sovereign Issues 131,525
==============
(Cost $130,173)
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.3%
--------------------------------------------------------------------------------
Korea Development Bank
3.610% due 05/14/2001 (d) DM 340 164
2.700% due 08/16/2002 JY 2,000,000 20,041
Republic of Colombia
7.000% due 03/06/2002 IL 36,220,000 17,511
United Mexican States
6.000% due 03/28/2002 JY 960,000 9,991
8.750% due 05/30/2002 BP 3,000 4,825
--------------
Total Foreign Currency-Denominated Issues 52,532
==============
(Cost $52,788)
98 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.0%
--------------------------------------------------------------------------------
Utilities 0.0%
Alliant Energy Resources Cvt. Pfd.
7.250% due 01/02/2000 $ 2,000 $ 163
--------------
Total Convertible Bonds & Notes 163
(Cost $136) ==============
--------------------------------------------------------------------------------
PREFERRED STOCK 1.9%
--------------------------------------------------------------------------------
Shares
Home Ownership Funding
133.310% due 01/02/2000 3,000 2,394
Rhone-Poulenc SA
2.031% due 01/02/2000 13,000 263
SI Financing Trust
2.375% due 01/02/2000 806,600 20,467
TCI Communications, Inc.
2.500% due 01/02/2000 800,300 20,408
2.430% due 01/02/2000 224,700 5,800
2.180% due 01/02/2000 1,170,100 28,594
--------------
Total Preferred Stock 77,926
(Cost $83,777) ==============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 3.1%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 2.3%
Bank One Corp.
6.110% due 06/05/2000 $ 9,200 9,098
Conoco, Inc.
6.250% due 04/07/2000 2,600 2,599
Cox Communication
6.260% due 04/10/2000 3,600 3,596
Ei Du Pont De Nemoirs
6.060% due 06/08/2000 2,100 2,076
Federal Home Loan Mortgage Corp.
5.990% due 05/23/2000 11,100 11,008
6.020% due 06/29/2000 600 591
Federal National Mortgage Association
5.940% due 06/01/2000 11,900 11,776
Finova Capital Corp.
6.100% due 06/08/2000 13,000 12,855
General Motors Acceptance Corp.
6.080% due 05/30/2000 500 495
National Rural Utilities
6.080% due 06/14/2000 11,500 11,354
Norfolk Southern Corp.
6.290% due 05/25/2000 3,000 2,973
Oesterreich Kontrollbank
6.030% due 06/02/2000 400 396
Xerox Credit Corp.
6.000% due 06/01/2000 1,600 1,584
6.090% due 06/06/2000 21,500 21,267
--------------
91,668
==============
Repurchase Agreement 0.8%
State Street Bank
(Dated 03/31/2000. Collateralized by 20,384 20,384
Federal Home Loan Mortgage Corporation
5.750% due 05/15/2001 valued at $20,793.
Repurchase proceeds are $20,394.)
Daiwa Securities
(Dated 03/31/2000. Collateralized by U.S. Treasury 10,000 10,000
Note 5.125% due 8/31/2000 valued at $10,213
Repurchase proceeds are $10,005.)
--------------
30,384
==============
U.S. Treasury Bills (b) 0.0%
5.700% due 04/27/2000 500 498
--------------
Total Short-Term Instruments 122,550
(Cost $122,569) ==============
Value
(000s)
--------------------------------------------------------------------------------
Total Investments (a) 117.3% $ 4,680,289
(Cost $4,738,588)
Written Options (c) (0.1%) (5,042)
(Premiums $3,873)
Other Assets and Liabilities (684,919)
(Net) (17.2%) --------------
Net Assets 100.0% $ 3,990,328
==============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $4,743,106 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $ 9,955
Aggregate gross unrealized
depreciation for all
investments in which there was an
excess of tax cost
over value (72,772)
--------------
Unrealized depreciation-net $ (62,817)
==============
(b) Securities with an aggregate market value of $12,022
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Eurodollar March Futures (03/2001) 743 $ (422)
U.S. Treasury 5 Year Note (06/2000) 1,845 (2,094)
U.S. Treasury 10 Year Note (06/2000) 24 66
United Kingdom 90 Day LIBOR Futures (09/2000) 750 580
--------------
$ (1,870)
==============
(c) Premiums received on written options:
# of Premium Value
Type Contracts (000s) (000s)
--------------------------------------------------------------------------------
Put - OTC Eurodollar vs U.S. Dollar
Strike @ 0.93 Exp 04/19/2000 200,000,00 $ 3 $ 344
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp 12/18/2000 1,875 1936 1617
Put - CME Eurodollar March Futures
Strike @ 93.25 Exp 03/19/2001 341 343 512
Put - CME Eurodollar March Futures
Strike @ 93.50 Exp 03/19/2001 341 440 673
Put - CME Eurodollar December Futures
Strike @ 93.50 Exp 12/18/2000 960 787 1896
------------------------
$ 3,873 $ 5,042
========================
(d) Variable rate security. The rate listed is as of March 31, 2000.
(e) Foreign forward currency contracts outstanding at March 31, 2000.
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell BP 3,283 04/2000 $ (58)
Sell EC 18,911 04/2000 281
Buy JY 581,184 04/2000 149
Sell 581,184 04/2000 (196)
Sell 3,699,407 05/2000 (917)
Buy 604,235 05/2000 221
Buy PZ 20,000 02/2001 149
--------------
$ (371)
==============
2000 Annual Report See accompanying notes 99
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 2000
--------------------------------------------------------------------------------
(f) Principal amount denoted in indicated currency:
BP - British Pound
DM - German Mark
EC - Euro
JY - Japanese Yen
PZ - Polish Zloty
(g) Securities are grouped together by coupon or range of coupons and represent
a range of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Restricted security.
(j) Subject to financing transaction.
(k) Swap agreements outstanding at March 31, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive floating rate based on 6 months LIBOR and pay
floating rate based on 6 months LIBOR plus 5.700%.
In the event of default of Republic of Argentina Floating
Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/28/2001 $ 1,500 $ (69)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 6.150%.
In the event of default of Republic of Argentina Floating
Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 2,000 (107)
Receive fixed rate equal to 0.47% and the Fund
will pay to the counterparty at par in the
event of default of Enron Corp. 6.450% due 11/15/2001.
Broker: Goldman Sachs
Exp. 08/31/2000 49,000 2
Receive fixed rate equal to 0.43% 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 0.51% 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 0.23% 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 fixed rate equal to 0.34% 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: J.P. Morgan
Exp. 07/31/2000 22,000 1
-----------
$ (171)
===========
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 $ 33,000 $ 397
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 49,000 802
-----------
$ 1,199
===========
(l) Reverse repurchase agreements were entered into March 24, 2000 paying
interest at 6.02%. The following securities were segregated with collateral for
reverse repurchase agreements.
Type Maturity Value
--------------------------------------------------------------------------------
Government National Mortgage Assn. 7.125% 12/20/2023 $ 33,450
100 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Low Duration Fund II
March 31, 2000
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 42.0%
-------------------------------------------------------------------------------
Banking & Finance 35.8%
Associates Corp. of North America
6.750% due 07/15/2001 $ 20,000 $ 19,861
Banponce Corp.
6.880% due 06/16/2000 2,390 2,390
Bear Stearns Co., Inc.
6.510% due 12/16/2002 (d) 10,000 9,999
Beneficial Corp.
6.214% due 04/02/2002 (d) 3,000 3,002
Chrysler Financial Co. LLC
6.124% due 06/18/2003 10,000 9,997
CIT Group, Inc.
6.200% due 10/20/2000 5,400 5,378
Ford Motor Credit Corp.
6.300% due 07/16/2002 (d) 13,000 13,031
7.750% due 11/15/2002 1,700 1,712
5.750% due 02/23/2004 1,000 943
6.700% due 07/16/2004 500 485
General Electric Capital Corp.
5.890% due 05/11/2001 500 494
General Motors Acceptance Corp.
7.125% due 05/01/2001 4,000 3,996
6.625% due 01/10/2002 4,000 3,946
5.875% due 01/22/2003 4,000 3,838
7.625% due 05/05/2003 1,100 1,105
Goldman Sachs Group
6.600% due 07/15/2002 1,500 1,473
Hitachi Credit America
6.100% due 04/24/2001 20,000 19,821
Household Finance Corp.
6.700% due 06/15/2002 2,525 2,470
Lehman Brothers Holdings, Inc.
6.904% due 04/02/2002 (d) 9,400 9,455
6.798% due 05/07/2002 (d) 5,200 5,219
Morgan Stanley, Dean Witter, Discover and Co.
5.820% due 06/19/2000 (d) 10,000 9,869
Sears Roebuck Acceptance
6.720% due 10/23/2002 20,000 19,709
Wachovia Corp.
6.805% due 05/02/2005 (d) 10,000 10,000
Wells Fargo & Co.
6.780% due 05/02/2005 (d) 9,600 9,600
------------
167,793
============
Industrials 2.9%
Cargill, Inc.
6.166% due 01/14/2002 (d) 5,000 5,000
Philip Morris Cos., Inc.
9.000% due 01/01/2001 8,316 8,387
------------
13,387
============
Utilities 3.3%
AT&T Corp.
5.125% due 04/01/2001 500 491
Edison Mission Energy
6.790% due 06/15/2001 (d) 15,000 15,002
------------
15,493
------------
Total Corporate Bonds & Notes 196,673
(Cost $198,246) ============
-------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 5.5 %
-------------------------------------------------------------------------------
Federal Home Loan Bank
0.000% due 05/12/2000 (d) 5,000 5,000
5.625% due 03/19/2001 (d) 13,800 13,676
Federal National Mortgage Assn.
7.500% due 02/11/2002 (d) 175 177
Student Loan Marketing Assn.
6.565% due 04/25/2007 (d) 6,966 6,931
------------
Total U.S. Government Agencies 25,784
(Cost $25,919) ============
-------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 2.6%
-------------------------------------------------------------------------------
Treasury Inflation Protected Securities (f)
3.625% due 07/15/2002 4,213 4,201
3.625% due 01/15/2008 1,149 1,118
3.875% due 01/15/2009 1,954 1,934
U.S. Treasury Notes
5.125% due 08/31/2000 525 523
6.250% due 04/30/2001 1,000 998
6.625% due 06/30/2001 1,000 1,001
6.125% due 12/31/2001 1,000 993
6.250% due 02/28/2002 1,500 1,493
------------
Total U.S. Treasury Obligations 12,261
(Cost $12,319) ============
-------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 47.5%
-------------------------------------------------------------------------------
Collateralized Mortgage Obligations 14.2%
American Southwest Financial Securities Corp.
7.500% due 10/01/2018 539 537
CMC Securities Corp.
7.862% due 04/25/2025 (d) 1,831 1,854
Criimi Mae Financial Corp.
7.000% due 01/01/2033 10,980 10,743
DLJ Mortgage Acceptance Corp.
8.154% due 05/25/2024 (d) 585 597
Federal Home Loan Mortgage Corp.
12.900% due 05/01/2014 140 154
9.250% due 10/25/2018 72 76
6.500% due 08/15/2023 8,631 8,453
Federal National Mortgage Assn.
8.000% due 11/25/2023 4,371 4,459
General Electric Capital Mortgage Services, Inc.
6.750% due 12/25/2012 3,041 2,995
Residential Funding Mortgage Securities, Inc.
7.500% due 10/25/2022 788 781
Resolution Trust Corp.
7.290% due 10/25/2028 (d) 3,087 3,062
Ryland Acceptance Corp.
14.000% due 11/25/2031 79 83
Salomon Brothers Mortgage Securities
7.669% due 11/25/2022 (d) 935 935
Structured Asset Mortgage Investments, Inc.
9.040% due 06/25/2029 9,543 9,838
6.750% due 05/02/2030 9,421 9,137
Union Planters Mortgage Finance Corp.
6.600% due 01/25/2028 13,000 12,686
------------
66,390
============
Federal Home Loan Mortgage Corporation 1.5%
6.000% due 05/15/2022 4,970 4,824
6.500% due 06/01/2001-07/15/2017 (e) 767 762
7.043% due 07/01/2023 (d) 551 573
8.000% due 07/01/2024 292 294
8.500% due 06/01/2009-06/01/2025 (e) 488 500
10.500% due 09/01/2015 10 10
------------
6,963
============
Federal Housing Administration 5.3%
7.200% due 05/01/2009 1,830 1,864
7.430% due 07/01/2024 24,032 22,958
------------
24,822
============
Federal National Mortgage Association 2.0%
5.700% due 01/22/2003 1,000 967
6.023% due 09/01/2028 (d) 2,038 1,987
6.102% due 11/01/2027 (d) 771 752
6.150% due 09/25/2016 4,090 4,034
7.581% due 01/01/2024 (d) 837 853
10.500% due 05/01/2012 745 801
------------
9,394
============
Government National Mortgage Association 24.1%
6.000% due 01/20/2030 (d) 6,477 6,342
6.375% due 04/20/2022-05/20/2027 (d)(e) 14,470 14,492
6.500% due 08/15/2023-10/15/2023 (e) 420 401
6.750% due 07/20/2023 (d) 7,422 7,462
7.000% due 03/15/2022-11/15/2023 (e) 18,644 18,189
2000 Annual Report See accompanying notes 101
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund II
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
7.125% due 10/20/2025 (d) $ 10,117 $ 10,217
7.500% due 02/15/2022-05/22/2030 (e) 13,172 13,055
8.000% due 03/15/2023-05/22/2030 (e) 41,951 42,186
9.000% due 07/20/2016-12/20/2017 (e) 486 503
-------------
112,847
=============
Other Mortgage-Backed Securities 0.4%
Guardian
7.761% due 07/25/2019 (d) 58 58
Resolution Trust Corp.
6.352% due 05/25/2019 (d) 756 754
Sears Mortgage
7.431% due 10/25/2022 (d) 854 864
-------------
1,676
-------------
Total Mortgage-Backed Securities 222,092
(Cost $224,669) =============
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 8.8%
--------------------------------------------------------------------------------
Bay View Auto Trust
6.880% due 02/15/2003 7,500 7,500
Countrywide Home Equity Loan Trust
6.244% due 08/15/2025 (d) 8,960 8,968
First Alliance Mortgage Loan Trust
6.451% due 03/20/2031 (d) 14,739 14,751
The Money Store Home Equity Trust
6.490% due 10/15/2026 10,000 9,950
-------------
Total Asset-Backed Securities 41,169
(Cost $41,313) =============
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.0%
--------------------------------------------------------------------------------
Utilities 0.0%
Alliant Energy Resources
7.250% due 01/02/2000 $ 0 17
-------------
Total Convertible Bonds & Notes 17
(Cost $14) =============
--------------------------------------------------------------------------------
PREFERRED SECURITY 1.1 %
--------------------------------------------------------------------------------
Shares
DG Funding Trust
8.529% due 12/29/2049 510 5,120
-------------
Total Preferred Security 5,120
(Cost $5,100) =============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 2.2%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Certificate of Deposit 1.9%
Commerzbank
6.200% due 05/10/2000 $ 5,000 5,000
Commercial Paper 0.8%
American Express
6.040% due 05/30/2000 4,000 3,962
-------------
8,962
=============
Repurchase Agreement 0.3%
State Street Bank
5.600% due 04/03/2000 1,411 1,411
(Dated 03/31/2000. Collateralized by -------------
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $1,443.
Repurchase proceeds are $1,412.)
U.S. Treasury Bills 0.0%
5.700% due 04/27/2000 (b) 55 55
-------------
Total Short-Term Instruments 10,428
(Cost $10,428) =============
Total Investments (a) 109.7% $ 513,544
(Cost $518,921)
Value
(000s)
--------------------------------------------------------------------------------
Written Options (c) (0.1%) (332)
(Premiums $289)
Other Assets and Liabilities (Net) (9.6%) (45,144)
-------------
Net Assets 100.0% $ 468,068
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes of $518,927 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of
value over tax cost. $ 893
Aggregate gross unrealized depreciation for all
investments in which there was an excess of
tax cost over value. (6,276)
-------------
Unrealized depreciation-net $ (5,383)
=============
(b) Securities with an aggregate market value of $55
have been segregated with the custodian to cover
margin requirements for the following open futures
contracts at March 31, 2000:
# of Unrealized
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Eurodollar March Futures (03/2001) 157 $ (60)
-------------
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 385 289 332
(d) Variable rate security. The rate listed is as of
March 31, 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.
102 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Low Duration Fund III
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 67.9%
--------------------------------------------------------------------------------
Banking & Finance 18.2%
AT&T Capital Corp.
6.730% due 12/01/2000 (d) $ 400 $ 401
BankAmerica Corp.
8.125% due 02/01/2002 1,000 1,012
General Motors Acceptance Corp.
6.130% due 01/08/2002 (d) 1,000 1,002
Goldman Sachs Group
6.200% due 12/15/2000 500 498
6.490% due 02/18/2002 (d) 665 668
Korea Development Bank
7.625% due 10/01/2002 1,000 986
Salomon, Smith Barney Holdings
6.279% due 05/14/2002 (d) 325 325
Spieker Properties LP - REITS
7.580% due 12/17/2001 1,000 992
-------------
5,884
=============
Industrials 27.4%
Cargill, Inc.
6.166% due 01/14/2002 (d) 1,000 1,000
Coastal Corp.
6.569% due 03/06/2002 (d) 1,000 1,000
Cox Communications, Inc.
7.000% due 08/15/2001 1,500 1,487
Hertz Corp.
6.625% due 07/15/2000 1,000 998
International Game Technology
7.875% due 05/15/2004 500 469
ITT Corp.
6.250% due 11/15/2000 500 492
Lockheed Martin Corp.
6.850% due 05/15/2001 1,000 987
Mallinckrodt, Inc.
6.300% due 03/15/2001 (d) 650 641
Marlin Water Trust
7.090% due 12/15/2001 810 798
TRW, Inc.
6.450% due 06/15/2001 1,000 983
-------------
8,855
=============
Utilities 22.3%
Commonwealth Edison
6.210% due 06/15/2002 (d) 500 500
Gulf States Utilities
6.410% due 08/01/2001 1,000 984
Niagara Mohawk Power
7.125% due 07/01/2001 756 746
Philadelphia Electric
7.375% due 12/15/2001 1,000 996
6.500% due 05/01/2003 1,500 1,452
Telekomunikacja Polska SA
7.125% due 12/10/2003 1,000 959
WorldCom, Inc.
6.125% due 08/15/2001 1,600 1,580
-------------
7,217
-------------
Total Corporate Bonds & Notes 21,956
(Cost $22,117) =============
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 1.4%
--------------------------------------------------------------------------------
Student Loan Marketing Assn.
6.089% due 10/25/2005 (d) 468 466
-------------
Total U.S. Government Agencies 466
(Cost $467) =============
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 3.3%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 01/15/2008 (e) 418 407
3.875% due 01/15/2009 (e) 617 611
U.S. Treasury Notes
5.125% due 08/31/2000 (b) 40 40
-------------
Total U.S. Treasury Obligations 1,058
(Cost $1,068) =============
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 23.3%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 11.9%
GMAC Commercial Mortgage Securities, Inc.
6.570% due 09/15/2033 $ 956 $ 916
Independent National Mortgage Corp.
7.250% due 11/25/2010 1,000 987
Prudential Home Mortgage Securities
7.500% due 08/25/2024 967 944
Residential Funding Mortgage Securities, Inc.
7.750% due 11/25/2026 1,000 1,001
-------------
3,848
=============
Federal Home Loan Mortgage Corporation 0.4%
8.750% due 10/01/2001 125 125
-------------
Government National Mortgage Association 11.0%
6.375% due 06/20/2027 (d) 692 691
7.500% due 04/19/2030 500 494
8.000% due 04/19/2030 500 506
8.500% due 10/20/2026-06/20/2027 (h) 1,830 1,869
-------------
3,560
-------------
Total Mortgage-Backed Securities 7,533
(Cost $7,718) =============
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 3.0%
--------------------------------------------------------------------------------
Circuit City Credit Credit Master Trust
6.109% due 02/15/2006 (d) 1,000 1,000
-------------
Total Asset-Backed Securities 1,000
(Cost $1,000) =============
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 3.1%
--------------------------------------------------------------------------------
United Mexican State
7.493% due 06/27/2002 (d) 1,000 1,004
-------------
Total Sovereign Issues 1,004
(Cost $989) =============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.9%
--------------------------------------------------------------------------------
Commercial Paper 0.9%
Federal Home Loan Mortgage Corp.
5.980% due 06/15/2000 200 198
USAA Capital Corp.
6.030% due 05/15/2000 100 99
-------------
297
=============
Repurchase Agreement 1.0%
State Street Bank
5.600% due 04/03/2000 321 321
(Dated 03/31/2000. Collateralized by
Federal Home Loan Mortgage Corp.
5.750% due 05/15/2001 valued at $332.
Repurchase proceeds are $321.)
-------------
Total Short-Term Instruments 618
(Cost $618) =============
Total Investments (a) 103.9% $ 33,635
(Cost $33,976)
Written Options (c) (0.0%) (24)
(Premiums $23)
Other Assets and Liabilities (Net) (3.9%) (1,252)
-------------
Net Assets 100.0% $ 32,359
=============
2000 Annual Report See accompanying notes 103
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund III
March 31, 2000
--------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $33,976 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 30
Aggregate gross unrealized depreciation for all
investments in which there was an excess of
tax cost over value. (371)
-------------
Unrealized depreciation-net (341)
=============
(b) Securities with an aggregate market value of $40
have been segregated with the custodian to cover
margin requirements for the following open futures
contracts at March 31, 2000:
# of Unrealized
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Eurodollar March Futures (03/2001) 13 $ (5)
-------------
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.93 Exp. 04/19/2000 1,690,000 $ 4 $ 3
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 25 19 21
-----------------------------
$ 23 $ 24
=============================
(d) Variable rate security. The rate listed is as of
March 31, 2000.
(e) Principal amount of the security is adjusted
for inflation.
(f) Foreign forward currency contracts outstanding at
March 31, 2000:
Principal
Amount
Covered by Settlement Unrealized
Type Currency Contract Month Depreciation
--------------------------------------------------------------------------------
Sell EC 25 4/2/2000 $ (0)
(g) Principal amount denoted in indicated currency:
EC - Euro
(h) Securities are grouped by coupon or range of
coupons and represent a range of maturities.
104 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Short Term Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 28.6%
--------------------------------------------------------------------------------
Banking & Finance 20.1%
Associated Corp. of North America
6.450% due 09/15/2000 $ 900 $ 896
Banco Nacional Obra Services
9.625% due 11/15/2003 6,900 7,124
BankBoston Corp.
6.125% due 03/15/2002 1,000 974
Bankers Trust Corp.
6.200% due 05/11/2003 (d) 11,000 10,997
Donaldson, Lufkin & Jenrette
6.625% due 05/25/2026 (d) 189 189
DQE Capital Corp.
6.539% due 01/15/2002 (d) 2,000 2,000
Ford Motor Credit Corp. (d)
6.210% due 08/27/2001 3,000 3,000
6.341% due 03/19/2002 4,295 4,306
6.320% due 12/16/2002 10,000 9,976
General Motors Acceptance Corp. (d)
6.130% due 01/08/2002 1,000 999
6.165% due 04/29/2002 2,450 2,451
6.299% due 11/12/2002 9,600 9,613
6.190% due 08/18/2003 16,575 16,486
Goldman Sachs Group
6.270% due 01/17/2003 (d) 8,000 8,005
Heller Financial, Inc.
6.280% due 04/22/2002 (d) 15,000 14,992
Korea Development Bank
6.250% due 05/01/2000 585 585
7.154% due 10/06/2000 (d) 2,000 2,000
9.450% due 03/15/2001 375 380
7.900% due 02/01/2002 900 897
7.625% due 10/01/2002 2,500 2,465
Korean Export-Import Bank
6.500% due 05/15/2000 2,170 2,169
Lehman Brothers Holdings, Inc.
6.798% due 05/07/2002 (d) 3,000 3,011
6.690% due 04/04/2003 (d) 3,000 3,044
Midamerican Funding LLC
5.850% due 03/01/2001 1,000 986
Morgan Stanley, Dean Witter, Discover and Co.
6.165% due 01/28/2002 (d) 8,600 8,601
Nacional Financiera
8.000% due 06/19/2000 1,000 999
Protective Life Funding Trust
6.390% due 01/17/2003 (d) 2,000 2,000
Racers
6.340% due 03/03/2003 (d) 10,000 10,000
Residential Funding Mortgage Securities, Inc.
7.143% due 12/01/2018 (d) 1,095 1,117
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 3,191 3,135
Sears Roebuck Acceptance Corp.
6.500% due 06/15/2000 700 699
6.180% due 08/15/2000 500 499
Transamerica Finance Corp.
6.394% due 12/14/2001 (d) 4,000 3,998
U.S. Bancorp
6.279% due 02/03/2003 (d) 3,700 3,699
-------------
142,292
=============
Industrials 3.7%
Air Canada
6.800% due 07/31/2005 (d) 2,000 1,800
Amerco, Inc.
6.890% due 10/15/2000 5,000 4,949
COFIRI International, Inc.
6.503% due 10/27/2000 (d) 2,000 1,994
ITT Corp.
6.250% due 11/15/2000 3,000 2,954
J Seagram & Sons
6.526% due 04/10/2000 (d) 1,100 1,084
Petroleos Mexicanos
9.375% due 12/02/2008 1,000 1,028
Raytheon Co.
6.300% due 08/15/2000 2,000 1,992
Time Warner, Inc.
6.100% due 12/30/2001 3,000 2,933
Williams Communications Group, Inc.
6.540% due 11/15/2001 7,500 7,500
-------------
26,234
=============
Utilities 4.8%
Central Maine Power Co.
6.500% due 06/14/2000 7,800 7,784
Central Power & Light Co.
6.540% due 02/22/2002 (d) 2,000 1,980
Enron Corp.
6.577% due 09/10/2001 (d) 2,000 2,002
Kerr-McGee Corp.
6.414% due 08/01/2001 (d) 2,000 2,000
Pennsylvania Power & Light
6.000% due 06/01/2000 19,000 18,974
UGI Utilities, Inc.
6.170% due 03/06/2001 250 247
United Telecom, Inc.
9.750% due 04/01/2000 1,000 1,000
-------------
33,987
-------------
Total Corporate Bonds & Notes 202,513
(Cost $202,419) =============
--------------------------------------------------------------------------------
MUNICIPALS BONDS & NOTES 0.3%
--------------------------------------------------------------------------------
North Carolina 0.3%
North Carolina State Education Assistance
Authority Revenue Bonds, (GTD Insured), Series 2000
6.105% due 06/01/2009 (d) 2,000 2,000
-------------
Total Municipal Bonds & Notes 2,000
(Cost $2,000) =============
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 8.0%
--------------------------------------------------------------------------------
Federal Home Loan Bank
0.000% due 05/12/2000 (d) 10,000 10,000
6.750% due 01/02/2002 35,000 34,883
Federal National Mortgage Assn.
6.625% due 01/15/2002 10,000 9,947
Student Loan Marketing Assn.
5.711% due 04/25/2004 (d) 1,582 1,580
6.395% due 10/25/2004 (d) 600 599
-------------
Total U.S. Government Agencies 57,009
(Cost $57,081) =============
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 2.1%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (f)
3.625% due 07/15/2002 7,373 7,352
3.625% due 01/15/2008 5,743 5,592
3.875% due 01/15/2009 1,954 1,934
-------------
Total U.S. Treasury Obligations 14,878
(Cost $14,902) =============
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 23.6%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 14.5%
CMC Securities Corp.
7.500% due 02/25/2023 2,522 2,515
Dime Savings
6.689% due 11/01/2018 (d) 263 238
Donaldson, Lufkin & Jenrette
7.580% due 10/17/2020 (d) 547 561
7.776% due 09/01/2021 (d) 33 33
Federal Home Loan Mortgage Corp.
6.000% due 03/15/2005 568 566
6.000% due 02/15/2007 577 576
6.210% due 10/25/2014 214 214
6.500% due 10/25/2014 4,150 4,048
5.750% due 10/15/2016 62 62
6.000% due 07/15/2019 5,263 5,182
2000 Annual Report See accompanying notes 105
<PAGE>
Schedule of Investments (Cont.)
Short Term Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Federal National Mortgage Assn.
6.000% due 02/25/2008 $ 1,273 $ 1,240
5.523% due 07/25/2008 (d) 1,344 1,313
6.000% due 08/18/2016 38,359 37,813
6.500% due 11/25/2017 1,436 1,430
5.875% due 03/25/2018 112 111
5.850% due 05/25/2019 736 732
6.000% due 08/25/2020 2,390 2,339
5.000% due 02/25/2022 114 112
6.500% due 09/18/2023 2,082 2,042
8.960% due 06/25/2032 9,892 10,124
First Plus Home Loan Trust
6.060% due 09/10/2011 4,115 4,105
General Electric Capital Mortgage
Services, Inc.
6.750% due 12/25/2012 6,082 5,991
Greenwich
7.589% due 04/25/2022 (d) 83 84
7.337% due 10/25/2022 (d) 45 45
Housing Securities, Inc.
6.000% due 02/25/2008 1,237 1,227
Independent National Mortgage Corp.
7.250% due 11/25/2010 4,000 3,949
Prudential Bache
6.151% due 09/01/2018 (d) 24 22
Prudential Home Mortgage Securities
6.950% due 11/25/2022 233 212
Salomon Brothers Mortgage Securities
6.475% due 07/25/2029 (d) 4,224 4,226
Structured Asset Securities Corp.
7.000% due 01/20/2021 7 7
TMA Mortgage Funding Trust
6.259% due 01/25/2029 11,432 11,432
-------------
102,551
=============
Federal Home Loan Mortgage Corporation 0.1%
7.500% due 11/01/2001 1,039 1,040
-------------
Federal National Mortgage Association 2.2%
6.000% due 12/18/2014 8,017 7,932
6.150% due 09/25/2016 6,135 6,051
8.500% due 01/01/2026 1,891 1,930
-------------
15,913
=============
Government National Mortgage Association 6.3%
6.375% due 02/20/2024-04/20/2025 (d)(e) 11,919 11,987
6.750% due 09/20/2023-08/20/2027 (d)(e) 8,287 8,331
7.125% due 11/20/2026 (d) 14,659 14,802
8.000% due 04/19/2030 3,950 3,995
8.500% due 06/20/2027 5,473 5,586
-------------
44,701
=============
Other Mortgage-Backed Securities 0.4%
CDC Depositor Trust I
6.913% due 12/14/2001 (d) 2,000 2,008
First Nationwide Trust
6.430% due 10/25/2018 (d) 10 10
Resolution Trust Corp.
6.472% due 05/25/2029 (d) 604 585
-------------
2,603
=============
Stripped Mortgage-Backed Securities 0.1%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 06/15/2019 4,954 432
Federal National Mortgage Association (IO)
7.000% due 07/25/2006 1,549 103
6.500% due 12/25/2006 2,065 59
6.500% due 06/25/2017 1,232 38
6.500% due 10/25/2023 1,561 196
-------------
828
-------------
Total Mortgage-Backed Securities 167,636
(Cost $169,589) =============
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 12.6%
--------------------------------------------------------------------------------
Advanta Revolving Home Equity Loan Trust
6.249% due 01/25/2024 (d) 276 275
American Residential Eagle
6.219% due 07/25/2029 (d) 1,836 1,835
Associates Manufactured Housing
7.000% due 03/15/2027 685 684
Banc One Auto Grantor Trust
6.290% due 07/20/2004 2,870 2,847
Bay View Financial Revolving
7.179% due 08/25/2029 (d) 2,000 1,967
Brazos Student Loan Finance Co.
6.430% due 06/01/2023 (d) 20,000 19,797
Chase Manhattan Grantor Trust
5.200% due 02/15/2002 303 303
Columbia/HCA Healthcare
7.880% due 09/15/2001 3,000 2,948
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 799 798
Delta Funding Home Equity Loan
6.191% due 09/15/2029 (d) 1,931 1,939
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 941 937
Frag Limited
8.423% due 03/31/2006 2,500 2,488
First Security Auto Owner Trust
5.580% due 06/15/2003 10,000 9,900
Ford Credit Auto Owner Trust
5.850% due 10/15/2001 1,346 1,343
General Electric Capital Mortgage Services, Inc.
7.150% due 09/25/2026 678 676
Green Tree Home Improvement Loan
6.055% due 08/15/2029 (d) 2,916 2,912
IMC Home Equity Loan Trust
6.310% due 12/20/2012 130 130
Metris Master Trust
6.721% due 04/20/2006 (d) 6,000 6,035
MLCC Mortgage Investors, Inc.
6.265% due 03/15/2025 (d) 3,628 3,642
Money Store Home Equity Trust
6.345% due 11/15/2021 (d) 145 143
Onyx Acceptance Auto Trust
6.180% due 04/15/2002 1,110 1,108
5.500% due 10/15/2002 2,207 2,191
Premier Auto Trust
6.250% due 06/06/2001 398 398
Salomon Brothers Mortgage Securities (d)
6.305% due 11/15/2029 1,901 1,903
7.043% due 11/15/2029 2,000 2,000
6.219% due 02/25/2030 4,975 4,940
The Money Store Home Equity Trust
6.635% due 09/15/2014 7,500 7,461
UAF Auto Grantor Trust
6.100% due 06/15/2004 1,232 1,218
UniCapital Corp.
6.540% due 07/23/2002 2,000 1,993
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 463 459
WFS Financial Owner Trust
5.385% due 08/20/2001 1,550 1,548
6.150% due 09/20/2002 2,220 2,212
-------------
Total Asset-Backed Securities 89,030
(Cost $89,291) =============
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 1.7%
--------------------------------------------------------------------------------
Republic of Korea
8.594% due 04/08/2000 (d) 3,456 3,469
United Mexican States
7.439% due 06/27/2002 (d) 9,000 8,873
-------------
Total Sovereign Issues 12,342
(Cost $12,266) =============
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (b)(c) 1.1%
--------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C.
8.750% due 09/28/2000 BP 3,000 4,764
Commonwealth of New Zealand
4.500% due 02/15/2016 (f) N$ 5,400 2,630
Korea Development Bank
6.940% due 10/18/2000 (d) JY 500 500
-------------
Total Foreign Currency-Denominated Issues 7,894
(Cost $9,020) =============
106 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 38.8%
--------------------------------------------------------------------------------
Certificates of Deposit 1.4%
Commerzbank AG
6.200% due 05/10/2000 $ 10,000 $ 10,000
=============
Commercial Paper 36.5%
Bank One Corp.
5.920% due 05/15/2000 23,500 23,338
6.060% due 05/22/2000 10,000 9,918
British Telecom
5.890% due 05/08/2000 10,700 10,639
5.910% due 05/26/2000 7,400 7,336
Conagra, Inc.
5.990% due 04/19/2000 5,000 4,987
6.150% due 05/08/2000 8,200 8,151
Cox Communication
6.050% due 04/10/2000 6,900 6,892
6.250% due 04/13/2000 6,000 5,989
Dana Credit Corp.
6.040% due 04/11/2000 22,000 21,970
6.110% due 04/25/2000 2,800 2,790
Dominion Residential, Inc.
6.050% due 04/03/2000 25,000 25,000
6.140% due 06/05/2000 7,000 6,922
Eastman Kodak Co.
6.060% due 06/12/2000 12,000 11,852
Finova Capital Corp.
6.140% due 06/08/2000 7,000 6,921
Houston Industries
6.000% due 04/13/2000 11,500 11,481
Monsanto Co.
5.950% due 06/01/2000 16,600 16,427
Motorola, Inc.
6.090% due 06/02/2000 4,500 4,452
National Rural Utilities
6.080% due 06/14/2000 4,500 4,442
Oesterreich Kontrollbank
5.960% due 06/15/2000 1,000 987
Sumitomo Bank
6.050% due 04/13/2000 10,400 10,382
6.190% due 04/13/2000 6,000 5,990
Tyco International
6.180% due 04/03/2000 10,000 10,000
6.100% due 04/10/2000 8,000 7,991
U.S. West Capital Fund
6.330% due 04/03/2000 8,500 8,500
Xerox Credit Corp.
6.080% due 06/13/2000 25,000 24,688
-------------
258,045
=============
Repurchase Agreement 0.9%
State Street Bank
5.600% due 04/03/2000 6,665 6,664
(Dated 03/31/2000. Collateralized by
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $6,801.
Repurchased proceeds are $6,668.)
-------------
6,664
-------------
Total Short-Term Instruments 274,709
(Cost $274,750) =============
Total Investments (a) 116.8% $ 828,011
(Cost $831,318)
Other Assets and Liabilities (Net) (16.8%) (119,010)
-------------
Net Assets 100.0% $ 709,001
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes of $831,129 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of
value over tax cost. $ 1,016
Aggregate gross unrealized depreciation for
all investments in which there was an excess of
tax cost over value. (4,134)
-------------
Unrealized depreciation-net $ (3,118)
=============
(b) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell BP 3,327 04/2000 (59)
Sell N$ 5,023 05/2000 23
-------------
$ (36)
=============
(c) Principal amount denoted in indicated currency:
BP - British Pound
JY - Japanese Yen
N$ - New Zealand Dollar
(d) Variable rate security. The rate listed is as of
March 31, 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 March 31, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive floating rate based on 3 month LIBOR
and pay fixed rate equal to 7.600%
Broker: Warburg Dillon Read LLC
Exp. 01/15/2002 $ 10,600 $ (24)
Receive fixed rate equal to 0.43% 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 0.23% 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 0.25% and the Fund
will pay to the counterparty at par in the event
of default of Pacific Gas & Electric 6.550%
due 12/08/2005.
Broker: J.P. Morgan
Exp. 05/23/2003 5,000 0
Receive fixed rate equal to 0.14% and the Fund
will pay to the counterparty at par in the event
of default of General Motors Acceptance Corp.
6.253% due 07/20/2000.
Broker: Warburg Dillon Read LLC
Exp. 06/30/2000 5,000 0
-------------
$ (24)
=============
(h) Reverse repurchase agreements were entered into March 24, 2000
paying interest at 6.02%. The following securities were segregated
with collateral for reverse repurchase agreements.
Type Maturity Value
--------------------------------------------------------------------------------
Federal National Mortgage Assn. 6.000% 08/18/2016 $ 37,813
Government National Mortgage Assn. 6.750% 09/20/2023 2,140
-------------
$ 39,953
=============
2000 Annual Report See accompanying notes 107
<PAGE>
Schedule of Investments
Money Market Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 122.1%
--------------------------------------------------------------------------------
Commercial Paper 113.5%
Abbott Laboratories
6.020% due 05/02/2000 $ 10,900 $ 10,847
Alcoa, Inc.
5.800% due 04/24/2000 20,000 19,932
5.880% due 05/16/2000 5,000 4,965
Associates First Capital Corp.
6.090% due 06/29/2000 5,600 5,518
AT & T Corp.
5.930% due 04/10/2000 17,700 17,680
Bank One Corp.
5.920% due 06/14/2000 25,000 24,704
Bellsouth Telecom
5.820% due 04/03/2000 5,000 5,000
5.820% due 04/05/2000 5,000 4,998
British Telecom
5.820% due 04/13/2000 1,500 1,498
CBA (de) Finance
5.830% due 04/03/2000 1,700 1,700
5.860% due 04/03/2000 4,500 4,500
CDC
5.840% due 04/25/2000 2,500 24,911
Coca-Cola Co.
5.920% due 05/15/2000 8,000 7,945
DaimlerChrysler AG
5.820% due 04/19/2000 11,800 11,769
6.100% due 06/29/2000 10,000 9,853
E.I. Du Pont de Nemours
5.820% due 04/20/2000 23,100 23,037
6.070% due 05/22/2000 1,900 1,884
Eastman Kodak Co.
5.860% due 05/18/2000 20,500 20,350
Electricite De France
5.800% due 04/07/2000 3,800 3,798
Federal Home Loan Mortgage Corp.
5.990% due 05/23/2000 51,800 51,369
5.940% due 06/15/2000 8,900 8,793
5.950% due 06/15/2000 2,100 2,075
6.020% due 06/29/2000 75,400 74,303
Florida Power Corp.
5.830% due 04/04/2000 11,500 11,498
General Electric Capital Corp.
5.930% due 05/19/2000 3,500 3,473
General Motors Acceptance Corp.
5.840% due 04/19/2000 3,600 3,591
5.890% due 05/16/2000 20,400 20,256
Goldman Sachs Group
5.840% due 04/18/2000 4,800 4,788
Honeywell, Inc.
6.000% due 04/26/2000 8,800 8,766
IBM Credit Corp.
5.950% due 05/03/2000 23,000 22,886
Illinois Tool Works
5.860% due 05/02/2000 9,000 8,958
KFW International Finance
5.900% due 05/31/2000 18,000 17,829
6.060% due 06/22/2000 1,400 1,381
Monsanto Co.
6.070% due 06/14/2000 6,300 6,224
Motorola, Inc.
6.040% due 05/26/2000 10,000 9,910
National Rural Utilities
5.830% due 04/10/2000 22,000 21,975
Oesterreich Kontrollbank
6.030% due 06/02/2000 2,700 2,673
Procter & Gamble Co.
5.800% due 04/03/2000 13,900 13,900
Reseau Ferre De France
5.900% due 06/05/2000 15,000 14,845
Southwestern Public Service
6.050% due 05/05/2000 11,100 11,040
UBS Finance
6.170% due 04/06/2000 5,400 5,396
5.870% due 04/06/2000 8,400 8,396
Wal-Mart Stores
5.850% due 06/01/2000 14,035 14,031
Walt Disney Co.
5.860% due 05/17/2000 20,000 19,857
Xerox Credit Corp
6.050% due 05/17/2000 4,000 3,970
6.000% due 06/01/2000 10,000 9,902
5.990% due 06/12/2000 11,000 10,872
Yorkshire Building Society
5.970% due 06/02/2000 3,450 3,416
5.960% due 06/13/2000 13,600 13,440
-------------
614,702
=============
Repurchase Agreement 0.3%
State Street Bank
5.600% due 04/03/2000 1,386 1,386
(Dated 03/31/2000. Collateralized by
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $1,418.
Repurchase proceeds are $1,387.)
-------------
1,386
=============
Short-Term Notes 8.3%
Associated Corp. of North America
9.125% due 04/01/2000 4,500 4,500
Federal Home Loan Mortgage Corp.
5.876% due 05/18/2000 20,000 19,998
Ford Motor Credit Corp.
9.500% due 04/15/2000 2,370 2,373
General Electric Capital Corp.
6.050% due 05/26/2000 12,000 12,000
Merrill Lynch & Co.
6.380% due 07/18/2000 (a) 5,900 5,911
6.700% due 08/01/2000 (a) 400 401
-------------
45,183
-------------
Total Short-Term Instruments 661,271
(Cost $661,271) =============
Total Investments 122.1% $ 661,271
(Cost $661,271)
Other Assets and Liabilities (Net) (22.1%) (119,748)
-------------
Net Assets 100.0% $ 541,523
=============
(a) Variable rate security. The rate listed is as of
March 31, 2000.
108 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Long-Term U.S. Government Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
CORPORATE BOND & NOTES 3.7%
-------------------------------------------------------------------------------
Banking & Finance 3.7%
AESOP Funding II LLC
6.220% due 10/20/2001 $ 3,000 $ 2,999
Associates Corp. of North America
5.800% due 04/20/2004 2,500 2,353
Bayerische Landesbank NY
0.000% due 05/17/2000 (d) 1,000 982
Countrywide Home Loans
6.850% due 06/15/2004 1,500 1,458
Goldman Sachs Group
6.714% due 01/14/2002 (d) 3,000 3,021
Morgan Stanley, Dean Witter, Discover and Co.
6.290% due 04/22/2004 (d) 2,500 2,498
---------
Total Corporate Bonds & Notes 13,311
(Cost $13,499) =========
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 1.4%
--------------------------------------------------------------------------------
Federal Home Loan Bank
0.000% due 05/12/2000 (d) 1,900 1,900
Student Loan Marketing Assn.
5.129% due 06/30/2000 (d) 1,000 1,000
6.365% due 07/25/2004 (d) 1,235 1,230
6.595% due 01/25/2007 (d) 666 664
---------
Total U.S. Government Agencies 4,794
(Cost $4,782) =========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 77.9%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (b)
3.625% due 07/15/2002 (c) 16,326 16,278
3.375% due 01/15/2007 3,194 3,076
U.S. Treasury Bonds
11.250% due 02/15/2015 7,800 11,537
8.875% due 08/15/2017 4,100 5,245
8.750% due 08/15/2020 (c) 81,300 105,206
8.000% due 11/15/2021 (c) 32,200 39,214
6.000% due 02/15/2026 (c) 25,100 24,824
6.375% due 08/15/2027 (c) 45,600 47,467
6.250% due 05/15/2030 2,100 2,221
U.S. Treasury Notes
5.125% due 08/31/2000 (f) 835 831
U.S. Treasury Strips
0.000% due 02/15/2019 64,800 20,816
---------
Total U.S. Treasury Obligations 276,715
(Cost $265,515) =========
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 84.8%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 32.5%
Bear Stearns Mortgage Securities, Inc.
7.100% due 06/25/2024 385 364
6.687% due 06/25/2030 1,012 1,023
California Federal Bank
6.341% due 08/25/2030 (d) 712 708
Chase Mortgage Finance Corp.
6.203% due 04/25/2025 (d) 2,463 2,504
CMC Securities Corp.
6.000% due 02/25/2009 846 841
6.150% due 05/25/2028 (d) 3,000 2,984
Countrywide Funding Corp.
6.500% due 01/25/2009 1,000 991
Federal Home Loan Mortgage Corp.
7.000% due 07/01/2002 1,233 1,225
7.500% due 06/01/2004 46 46
7.500% due 07/01/2004 595 595
7.500% due 08/01/2004 84 83
7.500% due 09/01/2004 211 211
9.500% due 01/15/2005 36 36
6.000% due 03/15/2007 27 27
5.500% due 05/15/2007 28 28
8.000% due 02/15/2015 409 415
4.250% due 12/15/2021 541 500
7.000% due 07/15/2022 1,071 1,035
7.000% due 05/15/2023 226 216
7.000% due 08/15/2023 324 310
7.000% due 09/15/2023 783 728
6.250% due 09/15/2023 5,000 4,640
6.850% due 10/25/2023 1,674 1,619
6.000% due 11/15/2023 950 829
6.500% due 11/15/2023 891 777
6.500% due 11/25/2023 618 518
6.500% due 12/15/2023 1,017 899
7.000% due 01/15/2024 97 89
7.500% due 01/20/2024 2,522 2,519
6.500% due 02/15/2024 115 101
6.500% due 03/15/2024 1,126 1,016
6.000% due 10/15/2024 2,706 2,643
6.500% due 12/15/2024 3,444 3,391
8.000% due 12/15/2024 1,000 1,007
7.500% due 02/15/2025 2,380 2,377
Federal National Mortgage Assn.
7.500% due 02/01/2004 410 409
7.500% due 03/01/2004 267 267
7.500% due 04/01/2004 333 332
7.500% due 05/01/2004 502 500
7.500% due 06/01/2004 445 443
7.500% due 07/01/2004 520 518
7.500% due 08/01/2004 1,230 1,224
7.500% due 09/01/2004 223 222
7.500% due 10/01/2004 243 242
5.750% due 06/25/2006 104 104
5.600% due 07/25/2006 102 101
6.250% due 12/25/2013 76 70
6.000% due 07/25/2015 741 738
6.000% due 09/25/2016 131 131
5.750% due 12/25/2016 35 35
6.650% due 01/25/2017 49 48
6.479% due 10/25/2017 (d) 3,621 3,604
6.500% due 11/25/2017 3,340 3,326
7.000% due 02/25/2020 2,000 1,982
6.950% due 07/25/2020 1,651 1,613
6.750% due 06/25/2021 4,253 398
8.000% due 03/25/2022 10 10
7.000% due 04/25/2022 849 778
7.000% due 06/25/2022 409 386
7.800% due 10/25/2022 495 492
7.000% due 10/25/2022 1,186 1,110
7.000% due 05/25/2023 1,349 1,274
6.900% due 05/25/2023 552 512
7.000% due 06/25/2023 542 515
6.000% due 08/25/2023 137 111
4.500% due 10/25/2023 219 126
6.500% due 11/25/2023 2,000 1,805
6.500% due 12/25/2023 3,726 3,268
7.000% due 12/25/2023 1,538 1,432
6.500% due 01/25/2024 203 181
6.500% due 02/25/2024 295 248
6.000% due 05/17/2027 2,500 2,146
7.000% due 05/18/2027 1,537 1,343
8.500% due 06/01/2027 1,113 1,136
9.000% due 06/01/2027 1,723 1,786
6.502% due 02/01/2028 (d) 539 560
First Boston Mortgage Securities Corp.
7.300% due 07/25/2023 1,441 1,278
General Electric Capital Mortgage Services, Inc.
9.000% due 09/25/2023 400 405
6.500% due 10/25/2023 3,000 2,627
6.500% due 01/25/2024 4,467 3,504
6.500% due 03/25/2024 876 780
7.000% due 10/25/2027 890 882
6.650% due 05/25/2028 6,112 5,990
German American Capital Corp.
7.000% due 08/12/2010 3,000 2,941
2000 Annual Report See accompanying notes 109
<PAGE>
Schedule of Investments (Cont.)
Long-Term U.S. Government Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
Government National Mortgage Assn.
7.000% due 03/16/2029 $ 268 $ 232
Independent National Mortgage Corp.
8.539% due 01/25/2025 (d) 71 73
6.930% due 05/25/2026 911 903
Mellon Residential Funding Corp.
6.460% due 07/25/2029 1,897 1,834
Merrill Lynch Mortgage Investors, Inc.
6.050% due 10/15/2008 2,750 2,668
Norwest Asset Securities Corp.
6.750% due 10/25/2028 985 917
PHH Mortgage Services Corp.
6.730% due 06/18/2011 870 868
PNC Mortgage Securities Corp.
7.500% due 01/25/2015 1,467 1,456
7.500% due 02/25/2027 1,775 1,749
6.750% due 04/25/2028 3,000 2,828
Prudential Home Mortgage Securities
7.625% due 02/25/2023 40 39
6.950% due 09/25/2023 68 54
6.500% due 01/25/2024 1,433 1,261
8.000% due 06/25/2024 793 792
Residential Accredit Loans, Inc.
7.000% due 02/25/2028 2,000 1,901
Residential Funding Mortgage Securities, Inc.
8.344% due 03/25/2025 (d) 76 78
7.750% due 09/25/2026 1,100 1,075
7.500% due 04/25/2027 1,924 1,879
Resolution Trust Corp.
7.000% due 09/25/2029 1,671 1,678
Vendee Mortgage Trust
6.500% due 06/15/2024 2,178 1,990
---------
115,503
=========
Federal Home Loan Mortgage Corporation 9.4%
6.250% due 12/15/2023 496 427
6.341% due 01/01/2028 (d) 3,016 2,949
6.500% due 11/15/2023-01/15/2028 (h) 9,972 8,446
6.758% due 09/01/2027 (d) 3,951 3,847
6.898% due 06/01/2022 (d) 65 68
6.930% due 01/01/2028 (d) 1,810 1,771
6.964% due 10/01/2026 (d) 1,196 1,205
7.000% due 04/14/2030 5,000 4,810
7.355% due 02/01/2028 (d) 2,034 2,008
7.414% due 05/01/2022 (d) 110 113
7.500% due 10/01/2004 2,152 2,144
7.711% due 12/01/2024 (d) 1,480 1,526
8.000% due 05/01/2004 4,197 4,228
---------
33,542
=========
Federal Housing Administration 9.1%
6.896% due 07/01/2020 3,767 3,541
7.000% due 11/25/2019 4,616 4,600
7.375% due 01/01/2018 1,778 1,695
7.400% due 12/18/2018 1,574 1,501
7.421% due 11/01/2019 120 120
7.430% due 08/01/2019-06/01/2024 (h) 19,470 19,416
7.450% due 03/25/2022 1,669 1,665
---------
32,538
=========
Federal National Mortgage Association 14.3%
6.500% due 03/01/2006-07/25/2010 (h) 8,707 8,550
6.633% due 12/01/2027 (d) 2,623 2,623
6.790% due 10/01/2024 (d) 1,946 1,974
6.888% due 08/01/2026 (d) 523 543
6.893% due 08/01/2026 (d) 184 189
7.000% due 03/01/2004-07/25/2023 (h) 17,481 17,230
7.056% due 11/01/2023 (d) 2,943 3,004
7.197% due 04/01/2028 (d) 2,778 2,838
7.378% due 01/01/2026 (d) 992 1,001
7.478% due 05/01/2025 (d) 1,654 1,688
8.084% due 10/01/2024 (d) 104 108
8.500% due 09/01/2026-04/01/2028 (h) 6,716 6,859
9.000% due 07/01/2005-08/01/2021 (h) 4,138 4,072
---------
50,679
=========
Government National Mortgage Association 15.9%
6.375% due 02/20/2017-01/20/2028 (d)(h) 16,338 16,425
6.500% due 04/24/2030 (d) 16,000 15,854
6.625% due 12/15/2000-02/15/2040 (h) 2,000 1,907
6.750% due 09/20/2017-09/20/2026 (d)(h) 8,059 8,094
6.800% due 09/15/2001-10/15/2040 (d)(h) 1,757 1,734
7.000% due 05/15/2002-10/15/2040 (d)(h) 8,717 8,640
7.125% due 12/20/2017-10/20/2027 (d)(h) 3,839 3,887
---------
56,541
=========
Other Mortgage-Backed Securities 2.3%
Countrywide Funding Corp.
7.000% due 05/25/2024 8,000 7,275
Resolution Trust Corp.
6.472% due 05/25/2029 (d) 806 779
---------
8,054
=========
Stripped Mortgage-Backed Securities 1.3%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 03/15/2003 1,096 108
6.500% due 11/15/2003 1,821 199
7.000% due 02/15/2006 76 3
6.500% due 08/15/2006 61 1
6.500% due 10/15/2006 144 10
6.500% due 11/15/2006 121 3
8.191% due 02/15/2007 4 74
7.500% due 06/15/2007 345 39
6.500% due 10/15/2007 1,140 92
6.000% due 10/15/2007 122 8
6.500% due 11/15/2008 806 135
7.000% due 12/15/2023 1,946 268
Federal National Mortgage Association (IO)
11.876% due 08/25/2006 6 60
6.500% due 02/25/2007 91 5
6.500% due 07/25/2007 1,026 44
11.980% due 08/25/2007 7 185
10.146% due 09/25/2007 4 94
6.500% due 08/25/2020 261 16
6.500% due 09/25/2021 482 56
7.000% due 12/25/2021 216 26
Federal National Mortgage Association (PO)
0.000% due 03/25/2009 2,944 2,000
0.000% due 09/25/2023 1,509 750
First Plus Home Loan Trust (PO)
6.000% due 10/10/2000 1,200 41
Norwest Asset Securities Corp.(IO)
7.250% due 02/25/2012 1,124 153
Residential Funding Mortgage Securities, Inc.(IO)
5.000% due 06/25/2000 6,000 96
4,466
---------
Total Mortgage-Backed Securities 301,323
(Cost $307,131) =========
-------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 5.2%
-------------------------------------------------------------------------------
Bear Stearns Mortgage Securities, Inc.
6.350% due 08/25/2024 1,445 1,437
Chase Credit Card Master Trust
6.777% due 05/15/2007 1,782 1,769
Chase Manhattan Corp
6.750% due 08/25/2028 1,850 1,723
Discover Card Trust
6.792% due 04/16/2010 1,325 1,298
Green Tree Floorplan Receivables Master Trust
6.811% due 11/01/2004 (d) 3,000 3,018
Merrill Lynch Mortgage Investors, Inc.
6.210% due 03/20/2017 982 978
Norwest Asset Securities Corp.
6.750% due 07/25/2028 3,000 2,717
Oakwood Mortgage Investors, Inc.
6.750% due 08/15/2027 969 967
Residential Funding Mortgage Securities, Inc.
6.290% due 07/25/2013 2,730 2,703
SMS Student Loan Trust
6.110% due 10/27/2025 (d) 2,000 1,956
---------
Total Asset-Backed Securities 18,566
(Cost $18,923) =========
110 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.0%
-------------------------------------------------------------------------------
U.S. Treasury Bond June Futures (CBOT)
Strike @ 90.000 Exp. 05/20/2000 $ 93 $ 4
U.S. Treasury Note June Futures (CBOT)
Strike @ 103.000 Exp. 05/20/2000 456 7
U.S. Treasury Note June Futures (CBOT)
Strike @ 105.000 Exp. 05/20/2000 200 3
---------
Total Purchased Call Options 14
(Cost $102) =========
-------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
-------------------------------------------------------------------------------
Eurodollar September Futures (CME)
Strike @ 91.750 Exp. 09/18/2000 890 4
---------
Total Purchased Put Options 4
(Cost $11) =========
-------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 4.7%
-------------------------------------------------------------------------------
Certificates of Deposit 0.2%
Commerzbank AG
6.200% due 05/10/2000 770 765
---------
Commercial Paper 3.2%
Abbott Laboratories
6.020% due 05/02/2000 11,500 11,444
---------
Repurchase Agreement 1.0%
State Street Bank
5.600% due 04/03/2000 3,486 3,486
(Dated 03/31/2000. Collateralized by ---------
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $3,556.
Repurchased proceeds are $3,488.)
U.S. Treasury Bills (f) 0.3%
5.675% due 04/27/2000 982 978
---------
Total Short-Term Instruments 16,673
(Cost $16,673) =========
Total Investments (a) 177.7% $ 631,400
(Cost $626,636)
Written Options (c) (0.2%) (664)
(Premium $579)
Other Assets and Liabilities (Net) (77.5%) (275,489)
---------
Net Assets 100.0% $ 355,247
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $626,838 was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost. $ 12,298
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value. (7,736)
---------
Unrealized appreciation-net $ 4,562
=========
(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
March 31, 2000.
(e) Premiums received on written options:
===============================================================================
# of
Type Contracts Premium Value
-------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 98.00 Exp. 05/20/2000 3 $ 1 $ 3
Put - CBOT U.S. Treasury Note June Futures
Strike @ 96.00 Exp. 05/20/2000 17 5 1
Call - OTC U.S. Treasury Note
6.125% due 08/2029
Strike @ 96.06 Exp. 05/12/2000 100 242 627
Put - OTC U.S. Treasury Note
6.125% due 08/2029
Strike @ 96.06 Exp. 05/12/2000 100 242 26
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 100.00 Exp. 05/20/2000 2 1 1
Put - OTC U.S. Treasury Note
5.500% due 08/2028
Strike @ 84.03 Exp. 05/19/2000 100 88 6
-----------------------
$ 579 $ 664
=======================
(f) Securities with an aggregate market value of $1,809
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
-------------------------------------------------------------------------------
Eurodollar March Futures (03/2001) 274 $ (259)
U.S. Treasury 5 Year Note (06/2000) 486 (626)
U.S. Treasury 10 Year Note (06/2000) 421 (1,154)
U.S. Treasury 30 Year Note (06/2000) 149 615
-------------
$ (1,424)
=============
(g) Swap agreements outstanding at March 31, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
-------------------------------------------------------------------------------
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.413%
Broker: Goldman Sachs
Exp. 02/17/2005 $ 60,000 $ (387)
Receive fixed rate equal to 0.23% 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 0.65% 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 0.25% and the Fund will
pay to the counterparty at par in the event of default
of Pacific Gas & Electric 6.550% due 12/08/2005.
Broker: J.P. Morgan
Exp. 05/23/2003 3,000 0
---------
$ (387)
=========
2000 Annual Report See accompanying notes 111
<PAGE>
Schedule of Investments (Cont.)
Long-Term U.S. Government Fund
March 31, 2000
===============================================================================
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 $ 114
Broker: Goldman Sachs
Exp. 02/16/2005 1.1120 24,400 265
Broker: Goldman Sachs
Exp. 08/14/2000 1.1500 4,000 8
Broker: Goldman Sachs
Exp. 08/14/2000 1.1500 13,900 28
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 14,500 238
---------
$ 653
=========
(h) Securities are grouped by coupon or range of coupons
and represent a range of maturities.
112 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
High Yield Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 83.8%
--------------------------------------------------------------------------------
Banking & Finance 7.9%
Amethyst Financial Co. Ltd.
11.750% due 10/29/2001 $ 5,000 $ 5,000
Arvin Capital
9.500% due 02/01/2027 19,000 18,201
Bay View Capital Corp.
9.125% due 08/15/2007 6,700 5,276
CMS Energy
10.875% due 12/15/2004 1,250 1,200
Crown Castle International Corp.
13.250% due 11/15/2007 2,250 1,564
DLJ Secured Loan Trust
10.125% due 07/07/2007 10,000 9,850
Forest City Enterprises
8.500% due 03/15/2008 12,350 11,053
Frontiervision LP
11.000% due 10/15/2006 2,000 2,065
Fuji Bank
9.870% due 12/31/2049 (b) 36,000 35,820
General Motors Acceptance Corp.
6.165% due 04/29/2002 (b) 800 800
Golden State Holdings
7.000% due 08/01/2003 205 189
7.125% due 08/01/2005 870 770
Host Marriott LP
8.375% due 02/15/2006 5,060 4,579
Mercury Finance Co.
10.000% due 03/23/2001 37,200 36,084
10.743% due 03/23/2001 21,350 20,710
Nextel Partners, Inc.
0.000% due 02/01/2009 (c) 17,750 11,360
Presidential Life Insurance Corp.
7.875% due 02/15/2009 12,750 11,640
Project Orange Funding
10.500% due 09/15/2007 2,806 2,722
Reliance Group Holdings
9.000% due 11/15/2000 4,778 4,479
Stone Container Corp.
11.500% due 08/15/2006 4,850 5,098
Sumitomo Bank Treasury Co.
9.400% due 12/29/2049 (b) 30,300 30,332
Telewest Credit Link
10.875% due 02/07/2005 5,000 5,077
Trizec Finance Ltd.
10.875% due 10/15/2005 17,461 17,548
Willis Corroon Corp.
9.000% due 02/01/2009 13,700 10,207
----------
251,624
==========
Industrials 67.9%
Abbey Healthcare Group
9.500% due 11/01/2002 11,945 11,617
Adelphia Business Solution
12.250% due 06/01/2004 6,500 6,760
Advanced Lighting
8.000% due 03/15/2008 10,425 8,783
AEI Holding Co.
10.500% due 12/15/2005 11,380 2,504
Agriculture Minerals & Chemicals
10.750% due 09/30/2003 3,000 2,325
Airtrust
0.000% due 06/01/2013 12,942 4,790
Allied Waste Industries, Inc.
7.875% due 03/15/2005 2,000 1,813
Allied Waste North America, Inc.
7.375% due 01/01/2004 15,100 12,986
7.625% due 01/01/2006 19,525 16,108
7.875% due 01/01/2009 15,250 12,200
American Airlines
10.610% due 03/04/2010 650 740
American Axle & Manufacturing, Inc.
9.750% due 03/01/2009 8,550 8,251
American Standard, Inc.
7.125% due 02/15/2003 200 190
7.375% due 02/01/2008 8,700 7,874
9.250% due 12/01/2016 4,778 4,718
Amerigas Partners LP
10.125% due 04/15/2007 3,000 3,060
Amphenol Corp.
9.875% due 05/15/2007 7,095 7,271
Applied Power, Inc.
8.750% due 04/01/2009 19,280 19,810
Archibald Candy Corp.
10.250% due 07/01/2004 4,000 3,790
AT&T Canada, Inc.
10.625% due 11/01/2008 9,600 10,718
Ball Corp.
7.750% due 08/01/2006 8,750 8,247
8.250% due 08/01/2008 7,600 7,030
Beckman Instruments, Inc.
7.100% due 03/04/2003 5,031 4,810
7.450% due 03/04/2008 16,470 15,226
Benedek Communications Corp.
0.000% due 05/15/2006 (c) 1,500 1,343
Beverly Enterprises, Inc.
9.000% due 02/15/2006 18,075 15,545
Browning-Ferris Industries, Inc.
6.100% due 01/15/2003 4,100 3,700
Buckeye Technologies, Inc.
8.000% due 10/15/2010 10,129 9,268
Building Materials Corp.
7.750% due 07/15/2005 15,967 14,171
8.625% due 12/15/2006 1,235 1,167
8.000% due 10/15/2007 2,067 1,798
8.000% due 12/01/2008 23,250 20,053
Cadmus Communications Corp.
9.750% due 06/01/2009 5,600 5,474
Call-Net Enterprises, Inc.
8.000% due 08/15/2008 6,900 4,865
9.375% due 05/15/2009 5,400 4,077
Canadian Forest Oil Ltd.
8.750% due 09/15/2007 4,900 4,545
Century Communications Corp.
9.500% due 08/15/2000 600 602
0.000% due 03/15/2003 12,437 9,141
8.750% due 10/01/2007 3,800 3,496
CF Cable TV, Inc.
9.125% due 07/15/2007 9,000 9,557
Charter Communications Holding LLC
8.250% due 04/01/2007 13,750 12,358
10.000% due 04/01/2009 17,850 17,315
Chattem, Inc.
8.875% due 04/01/2008 4,950 4,208
Circus Circus Enterprises
6.750% due 07/15/2003 20,500 18,348
9.250% due 12/01/2005 6,100 5,826
Clark R & M, Inc.
8.375% due 11/15/2007 3,000 2,205
Clearnet Communications
0.000% due 05/01/2009 (c) 6,000 3,405
Columbus McKinnon
8.500% due 04/01/2008 17,500 15,575
Consolidated Container
10.125% due 07/15/2009 7,650 7,574
Container Corp. of America
9.750% due 04/01/2003 1,000 1,010
11.250% due 05/01/2004 3,770 3,845
Continental Cablevision
9.500% due 08/01/2013 10,000 10,908
Cross Timbers Oil Co.
9.250% due 04/01/2007 4,440 4,218
2000 Annual Report See accompanying notes 113
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CSC Holdings, Inc.
9.250% due 11/01/2005 $ 1,000 $ 1,005
9.875% due 05/15/2006 850 869
7.875% due 12/15/2007 100 97
7.250% due 07/15/2008 50 46
9.875% due 02/15/2013 6,100 6,222
7.875% due 02/15/2018 9,000 8,418
9.875% due 04/01/2023 4,037 4,118
Cumberland Farms
10.500% due 10/01/2003 5,906 5,581
Dade International, Inc.
11.125% due 05/01/2006 1,400 1,330
Delta Air Lines, Inc.
10.790% due 03/26/2014 2,264 2,472
Diamond Cable Communication Co.
13.250% due 09/30/2004 2,000 2,130
0.000% due 12/15/2005 (b)(c) 10,000 9,400
Diamond Cable Communications Co.
10.750% due 02/15/2007 10,100 7,777
Dunlop Stand Aerospace Holdings
11.875% due 05/15/2009 3,900 3,959
Echostar Communications Corp.
9.250% due 02/01/2006 33,687 32,508
9.375% due 02/01/2009 6,875 6,669
Embotelladora Arica SA
9.875% due 03/15/2006 22,000 22,777
Emmis Communications Corp.
8.125% due 03/15/2009 7,750 7,245
Energis PLC
9.750% due 06/15/2009 7,500 7,463
Extended Stay America
9.150% due 03/15/2008 11,500 10,293
Extendicare Health Services
9.350% due 12/15/2007 5,950 3,273
EZ Communication, Inc.
9.750% due 12/01/2005 2,500 2,653
Federal-Mogul Corp.
7.500% due 07/01/2004 29,000 25,175
7.375% due 01/15/2006 150 122
7.750% due 07/01/2006 11,350 9,293
Ferrellgas Partners LP
9.375% due 06/15/2006 14,436 14,147
Fisher Scientific International
7.125% due 12/15/2005 13,750 11,963
9.000% due 02/01/2008 36,795 33,666
Flag Telecom Holding Ltd.
11.625% due 03/30/2010 20,200 19,190
Focal Communications
11.875% due 01/15/2010 3,400 3,434
Forest Oil Corp.
10.500% due 01/15/2006 3,585 3,639
Fox/Liberty Networks LLC
0.000% due 08/15/2007 (c) 9,750 7,849
Fred Meyer, Inc.
7.450% due 03/01/2008 400 387
Garden State Newspapers
8.750% due 10/01/2009 22,428 20,073
8.625% due 07/01/2011 8,900 7,821
Georgia Gulf Corp.
7.625% due 11/15/2005 1,250 1,189
Global Crossing Ltd.
6.000% due 10/15/2003 10,085 9,348
Globalstar LP
11.375% due 02/15/2004 100 38
11.250% due 06/15/2004 1,500 570
Globe Telecom
13.000% due 08/01/2009 5,100 5,636
Golden Northwest Aluminum
12.000% due 12/15/2006 2,850 2,978
Grupo Televisa SA
11.375% due 05/15/2003 1,300 1,443
11.875% due 05/15/2006 500 593
13.250% due 05/15/2008 (c) 6,475 6,394
Gulf Canada Resources
9.250% due 01/15/2004 10,975 11,095
9.625% due 07/01/2005 1,680 1,684
8.375% due 11/15/2005 4,000 3,900
Harnischfeger Industrial, Inc.
8.900% due 03/01/2022 4,300 1,828
7.250% due 12/15/2025 7,500 3,188
Harrahs Operating Co., Inc.
7.875% due 12/15/2005 5,400 5,022
7.500% due 01/15/2009 20,675 19,111
HMH Properties, Inc.
7.875% due 08/01/2005 24,270 21,449
8.450% due 12/01/2008 6,350 5,548
Hollinger International Publishing
9.250% due 02/01/2006 4,400 4,136
Holmes Products Corp.
9.875% due 11/15/2007 2,950 2,080
Horseshoe Gaming Holding
8.625% due 05/15/2009 21,200 19,504
HS Resources, Inc.
9.875% due 12/01/2003 1,000 990
9.250% due 11/15/2006 5,250 5,053
Huntsman Corp.
9.500% due 07/01/2007 12,700 11,398
Huntsman Packaging Corp.
9.125% due 10/01/2007 9,550 9,073
Impsat Corp.
12.375% due 06/15/2008 10,900 9,565
Intermedia Communications, Inc.
0.000% due 05/15/2006 (c) 31,535 29,564
International Game Technology
7.875% due 05/15/2004 14,700 13,781
8.375% due 05/15/2009 14,000 12,810
ISP Holdings, Inc.
9.750% due 02/15/2002 250 238
9.000% due 10/15/2003 22,370 21,531
ITC Deltacom, Inc.
11.000% due 06/01/2007 5,385 5,573
ITT Corp.
6.250% due 11/15/2000 1,500 1,477
J Seagram & Sons
6.526% due 04/10/2000 (b) 1,900 1,872
J.Q. Hammons Hotels
8.875% due 02/15/2004 3,200 2,848
Jones Intercable, Inc.
8.875% due 04/01/2007 5,060 5,277
JPS Automotive Products
11.125% due 06/15/2001 6,500 6,663
Jupiters Ltd.
8.500% due 03/01/2006 12,600 11,750
K Mart Corp.
12.350% due 01/01/2008 4,026 4,061
8.800% due 07/01/2010 1,250 1,198
9.350% due 01/02/2020 14,911 13,688
9.780% due 01/05/2020 9,575 9,832
K-III Communications Co.
8.500% due 02/01/2006 9,940 9,493
KPNQWest BV
8.125% due 06/01/2009 32,000 30,880
L-3 Communications Corp.
10.375% due 05/01/2007 6,450 6,433
Lear Corp.
8.250% due 02/01/2002 6,410 6,282
Lenfest Communications
8.375% due 11/01/2005 10,650 11,095
10.500% due 06/15/2006 525 587
Level 3 Communications, Inc.
11.000% due 03/15/2008 5,500 5,280
9.125% due 05/01/2008 31,450 27,126
Levi Strauss & Co.
6.800% due 11/01/2003 27,350 18,051
Leviathan Gas Corp.
10.375% due 06/01/2009 2,925 2,998
114 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Lin Holdings Corp.
0.000% due 03/01/2008 (b) $ 19,250 $ 11,887
Lin Television Corp.
8.375% due 03/01/2008 9,300 8,091
Lyondell Chemical Co.
9.625% due 05/01/2007 28,150 26,883
Magnum Hunter Resources, Inc.
10.000% due 06/01/2007 1,900 1,682
Mail-Well Corp.
8.750% due 12/15/2008 20,030 17,526
Mark IV Industries, Inc.
7.500% due 09/01/2007 6,730 6,190
Market Hub Partners
8.250% due 03/01/2008 11,580 10,712
Marsh Supermarkets, Inc.
8.875% due 08/01/2007 9,500 8,835
McDermott, Inc.
9.375% due 03/15/2002 4,955 4,494
McLeodUSA, Inc.
0.000% due 03/01/2007 (c) 43,325 34,118
8.375% due 03/15/2008 5,100 4,590
9.500% due 11/01/2008 13,625 13,080
8.125% due 02/15/2009 4,837 4,281
Metromedia Fiber Network, Inc.
10.000% due 11/15/2008 14,795 14,129
10.000% due 12/15/2009 15,100 14,477
Metronet Communications
0.000% due 06/15/2008 (c) 16,475 13,156
MGM Grand, Inc.
6.950% due 02/01/2005 31,170 28,643
MJD Communications, Inc.
9.500% due 05/01/2008 7,875 7,324
Navistar International Corp.
8.000% due 02/01/2008 2,023 1,886
Newpark Resources, Inc.
8.625% due 12/15/2007 4,050 3,503
Nextel Communications
9.375% due 11/15/2009 51,250 47,406
Nextlink Communications, Inc.
10.750% due 06/01/2009 11,425 10,968
NL Industries, Inc.
11.750% due 10/15/2003 1,950 2,021
Nortek, Inc.
9.875% due 03/01/2004 2,205 2,078
8.875% due 08/01/2008 1,500 1,350
NTL, Inc.
12.750% due 04/15/2005 700 711
0.000% due 02/01/2006 (c) 21,350 19,749
11.500% due 10/01/2008 7,400 7,622
Nuevo Grupo Iuscell
10.000% due 07/15/2004 1,000 983
Octel Developments PLC
10.000% due 05/01/2006 900 878
Orion Network Systems, Inc.
0.000% due 01/15/2007 (c) 23,100 10,742
11.250% due 01/15/2007 14,625 9,872
P&L Coal Holdings
8.875% due 05/15/2008 28,800 26,136
Packaging Corp. of America
9.625% due 04/01/2009 9,525 9,430
Packard Bioscience Co.
9.375% due 03/01/2007 4,350 3,893
Perry-Judd
10.625% due 12/15/2007 4,270 3,277
Petroleos Mexicanos
8.402% due 07/15/2005 (b) 8,600 8,493
9.375% due 12/02/2008 8,000 8,220
Pharmerica, Inc.
8.375% due 04/01/2008 15,650 9,547
Phar-Mor, Inc.
11.720% due 09/11/2002 7,005 5,989
Physician Sales and Service, Inc.
8.500% due 10/01/2007 9,250 8,556
Piedmont Aviation
10.250% due 03/28/2005 821 820
Pioneer National Resources
8.875% due 04/15/2005 20,100 20,062
8.250% due 08/15/2007 5,750 5,536
6.500% due 01/15/2008 6,950 5,997
Players International, Inc.
10.875% due 04/15/2005 250 261
Polymer Group, Inc.
9.000% due 07/01/2007 19,278 16,868
8.750% due 03/01/2008 12,950 11,461
Price Communications Wireless, Inc.
9.125% due 12/15/2006 2,125 2,072
Pride International, Inc.
9.375% due 05/01/2007 3,100 2,984
Primedia, Inc.
10.250% due 06/01/2004 4,000 4,100
7.625% due 04/01/2008 8,250 7,466
Qwest Communications International, Inc.
0.000% due 10/15/2007 (c) 13,040 10,631
0.000% due 02/01/2008 (c) 10,550 8,176
R & B Falcon Corp.
6.500% due 04/15/2003 7,500 6,863
9.250% due 04/15/2005 2,500 2,188
R.H. Donnelly, Inc.
9.125% due 06/01/2008 5,175 4,942
Racers
8.375% due 10/01/2007 22,042 20,004
Renaissance Media Group
0.000% due 04/15/2008 (c) 21,250 14,131
Rogers Cablesystems Ltd.
10.000% due 03/15/2005 4,000 4,180
Rogers Cantel Mobile Communications, Inc.
9.375% due 06/01/2008 23,250 23,657
Rogers Cantel, Inc.
8.800% due 10/01/2007 1,350 1,316
8.300% due 10/01/2007 287 291
Safety-Kleen Services
9.250% due 06/01/2008 29,475 3,979
9.250% due 05/15/2009 15,000 1,350
Salem Communications
9.500% due 10/01/2007 5,400 5,049
Satelites Mexicanos
10.030% due 06/30/2004 (b) 7,881 6,502
10.125% due 11/01/2004 1,500 1,189
SC International Services, Inc.
9.250% due 09/01/2007 19,450 18,040
Scotia Pacific Co. LLC
7.710% due 01/20/2014 180 150
Sequa Corp.
9.000% due 08/01/2009 7,550 7,040
Silgan Holdings, Inc.
9.000% due 06/01/2009 16,683 15,682
Smithfield Foods
7.625% due 02/15/2008 5,950 5,176
Smith's Food & Drug Centers, Inc.
8.640% due 07/02/2012 8,815 9,170
9.200% due 07/02/2018 7,250 7,613
Station Casinos, Inc.
10.125% due 03/15/2006 2,000 2,015
9.750% due 04/15/2007 6,850 6,730
8.875% due 12/01/2008 4,000 3,700
Sterling Chemicals, Inc.
12.375% due 07/15/2006 10,500 10,763
Stone Container Corp.
9.875% due 02/01/2001 2,000 2,008
10.750% due 10/01/2002 10,150 10,289
11.500% due 10/01/2004 2,000 2,093
Telewest Communications plc
9.625% due 10/01/2006 11,250 10,913
0.000% due 10/01/2007 (b)(c) 10,949 10,291
9.250% due 04/15/2009 20,500 11,993
9.875% due 02/01/2010 6,750 6,640
2000 Annual Report See accompanying notes 115
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Tenet Healthcare Corp.
7.875% due 01/15/2003 $ 1,000 $ 963
8.625% due 12/01/2003 1,500 1,471
8.000% due 01/15/2005 6,595 6,265
8.625% due 01/15/2007 3,500 3,325
7.625% due 06/01/2008 20,090 17,982
TFM SA de CV
0.000% due 06/15/2009 (c) 7,800 5,480
Tierra Industries
10.500% due 06/15/2005 2,000 1,500
Total Renal Care Holdings
7.000% due 05/15/2009 20,100 11,759
Trans-Resources, Inc.
0.000% due 03/15/2008 (c) 5,250 1,286
10.750% due 03/15/2008 14,650 8,863
Triad Hospitals, Inc.
11.000% due 05/15/2009 2,595 2,614
TV Guide, Inc.
8.125% due 03/01/2009 18,223 18,041
U.S. Air, Inc.
9.625% due 09/01/2003 16,083 14,860
9.330% due 01/01/2006 5,411 5,633
Unisys Corp.
12.000% due 04/15/2003 3,937 4,176
7.875% due 04/01/2008 4,000 3,800
United Defense Industry, Inc.
8.750% due 11/15/2007 4,000 3,710
United Pan-Europe Communications NV
10.650% due 11/01/2007 11,500 10,753
0.000% due 02/01/2009 (c) 6,690 4,047
10.875% due 08/01/2009 14,300 13,228
13.750% due 02/01/2010 8,500 4,293
Vectura Group, Inc.
10.250% due 06/30/2008 275 235
Vintage Petroleum
9.000% due 12/15/2005 10,490 10,202
9.750% due 06/30/2009 6,350 6,317
Voicestream Wireless Corp.
10.375% due 11/15/2009 9,200 9,200
Western Gas Resources, Inc.
10.000% due 06/15/2009 7,100 7,207
Westinghouse Air Brake
9.375% due 06/15/2005 4,685 4,580
Westpoint Stevens, Inc.
7.875% due 06/15/2005 6,000 5,270
7.875% due 06/15/2008 17,450 14,638
Williams Communications Group, Inc.
6.540% due 11/15/2001 6,100 6,100
10.700% due 10/01/2007 4,600 4,606
10.875% due 10/01/2009 5,750 5,707
World Color Press, Inc.
8.375% due 11/15/2008 13,650 13,659
7.750% due 02/15/2009 3,750 3,595
Worldwide Fiber, Inc.
12.000% due 08/01/2009 7,250 6,888
Young Broadcasting, Inc.
9.000% due 01/15/2006 20,200 18,281
8.750% due 06/15/2007 4,510 3,969
----------
2,153,775
==========
Utilities 8.0%
AES Corp.
10.250% due 07/15/2006 6,264 6,106
8.500% due 11/01/2007 7,300 6,423
9.500% due 06/01/2009 1,350 1,303
Alestra SA
12.125% due 05/15/2006 12,100 12,130
Azurix Corporation
10.375% due 02/15/2007 22,350 22,350
Bayan Telecommunications
13.500% due 07/15/2006 2,000 1,690
Beaver Valley Funding Corp.
9.000% due 06/01/2017 29,800 30,440
Calpine Corp.
9.250% due 02/01/2004 13,000 13,098
15.000% due 03/15/2004 10,000 11,035
7.625% due 04/15/2006 4,500 4,185
8.750% due 07/15/2007 15,600 15,553
7.875% due 04/01/2008 8,287 7,800
7.750% due 04/15/2009 800 743
Chesapeake Energy Corp.
9.625% due 05/01/2005 1,000 933
CMS Energy
8.125% due 05/15/2002 4,537 4,473
7.000% due 01/15/2005 9,500 8,682
Flag Ltd.
8.250% due 01/30/2008 19,212 17,099
ITC Deltacom, Inc.
8.875% due 03/01/2008 13,300 12,552
L-3 Communication Corp.
8.500% due 05/15/2008 400 359
Mastec, Inc.
7.750% due 02/01/2008 7,250 6,688
MJD Communications, Inc.
10.321% due 05/01/2008 (b) 4,500 4,336
Nextlink Communications, Inc.
10.500% due 12/01/2009 10,000 9,525
Philippine Long Distance Telephone Co.
10.500% due 04/15/2009 11,550 11,384
Qwest Communications International, Inc.
7.500% due 11/01/2008 7,500 7,290
Rural Cellular Corp.
9.625% due 05/15/2008 12,300 11,870
Telekomunikacja Polska SA
7.750% due 12/10/2008 13,950 13,542
Telewest Communication PLC
11.250% due 11/01/2008 1,000 1,025
Wilmington Trust Co. - Tucson Electric
10.211% due 01/01/2009 (d) 500 515
10.732% due 01/01/2013 (d) 8,866 9,162
----------
252,291
----------
Total Corporate Bonds & Notes 2,657,690
(Cost $2,910,616) ==========
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.0%
--------------------------------------------------------------------------------
Hawaii 0.0%
Hawaii State Airports System Revenue,
(MBIA Insured), Series 1991
7.875% due 08/01/2008 1,000 848
----------
Total Municipal Bonds & Notes 848
(Cost $872) ==========
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 2.6%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 1.3%
Asset Securitization Corp.
7.384% due 08/13/2029 1,500 1,413
Federal Deposit Insurance Corp.
7.064% due 11/25/2026 (b) 400 352
Green Tree Financial Corp.
8.000% due 07/15/2018 7,000 6,490
LTC Commercial Corp.
7.970% due 04/15/2028 5,062 4,687
NationsBanc Mortgage Capital Corp.
8.035% due 05/25/2028 (b) 3,835 2,699
NationsLink Funding Corp.
7.105% due 01/20/2013 10,500 7,796
Red Mountain Funding Corp.
9.150% due 11/28/2027 5,727 4,628
Resolution Trust Corp.
9.050% due 08/25/2023 14 14
6.900% due 02/25/2027 6,213 5,660
7.000% due 05/25/2027 5,862 5,776
----------
39,515
==========
116 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Other Mortgage-Backed Securities 1.2%
LTC Commercial Corp.
9.200% due 08/04/2023 $ 3,235 $ 3,288
Resolution Trust Corp.
7.408% due 09/25/2020 (b) 253 238
Sasco Floating Rate Commercial Mortgage
6.364% due 04/25/2003 (b) 34,800 32,196
Structured Asset Securities Corp.
7.050% due 11/25/2007 4,000 3,571
-----------
39,293
===========
Stripped Mortgage-Backed Securities 0.1%
Federal National Mortgage Association (IO)
6.000% due 07/25/2005 222 2
7.000% due 07/25/2008 2,832 351
6.500% due 06/25/2017 686 21
7.000% due 04/25/2019 12,000 1,062
7.000% due 12/25/2021 4,325 527
Fund America (IO)
9.590% due 10/20/2021 7 18
-----------
1,981
-----------
Total Mortgage-Backed Securities 80,789
(Cost $83,023) ===========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 5.0%
--------------------------------------------------------------------------------
Airplanes Pass Through Trust
10.875% due 03/15/2019 28,256 23,914
AM-FM, Inc.
8.750% due 06/15/2007 5,650 5,650
12.750% due 02/01/2009 5,550 4,967
Amresco Residential Securities Mortgage Loan Trust
7.875% due 09/25/2028 (b) 4,250 4,091
Apria Healthcare Group, Inc.
9.640% due 08/09/2001 4,683 4,577
Charter Commercial Holdings LLC
8.540% due 03/31/2008 2,297 2,278
8.580% due 03/31/2008 2,703 2,680
Columbia/HCA Healthcare
6.125% due 12/15/2000 2,000 1,965
7.880% due 09/15/2001 20,000 19,649
6.910% due 06/15/2005 1,250 1,134
7.000% due 07/01/2007 3,350 2,954
8.360% due 04/15/2024 6,000 5,517
6.730% due 07/15/2045 5,000 4,635
Conseco Finance
9.300% due 10/15/2030 10,000 10,094
Crown Castle
8.840% due 03/31/2008 3,000 2,995
Huntsman Corp.
8.830% due 12/31/2005 3,000 2,993
Jefferson Smurfit
9.375% due 03/31/2006 756 756
Lyondell Petroleum
9.613% due 12/31/2003 (b) 18,810 18,959
Morgan Stanley Aircraft Finance
8.700% due 03/15/2023 21,750 18,957
Rural Cellular Corp.
8.989% due 10/30/2008 2,500 2,489
9.239% due 04/30/2009 2,500 2,489
Stone Container Corp.
9.383% due 10/01/2005 710 709
9.633% due 10/01/2005 1,290 1,288
TFM SA de CV
10.220% due 06/30/2003 (b) 3,591 3,515
Triad Hospitals, Inc.
9.950% due 12/31/2005 (b) 1,975 1,973
10.120% due 12/31/2005 7,950 7,941
-----------
Total Asset-Backed Securities 159,169
(Cost $168,071) ===========
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 0.4%
--------------------------------------------------------------------------------
United Mexican States
9.875% due 02/01/2010 10,000 10,600
-----------
Total Sovereign Issues 10,600
(Cost $9,957) ===========
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 1.0%
--------------------------------------------------------------------------------
Industrial 1.0%
Hercules Trust VI
8.625% due 12/29/2000 (b) 25,550 25,543
Pride International, Inc.
0.000% due 04/24/2018 11,750 5,301
-----------
Total Convertible Bonds & Notes 30,844
(Cost $29,141) ===========
--------------------------------------------------------------------------------
PREFERRED STOCK 3.2%
--------------------------------------------------------------------------------
Shares
CSC Holdings, Inc.
11.125% due 04/02/2008 188,674 20,283
Fresenius Medical Care
7.875% due 02/01/2008 43,400 38,679
9.000% due 12/01/2006 29,995 28,495
Newscorp Overseas Ltd.
8.625% due 12/31/2049 133,200 2,614
Primedia, Inc.
9.200% due 11/01/2009 70,000 6,317
8.625% due 04/01/2010 50,000 4,313
Sig Capital Trust
9.500% due 08/15/2027 7,000 1,593
-----------
Total Preferred Stock 102,294
(Cost $117,760) ===========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 2.1%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 2.1%
Abbott Laboratories
6.500% due 01/26/2001 $ 6,500 6,468
Province of British Columbia
6.100% due 06/01/2000 2,700 2,672
Dominion Residential, Inc.
6.150% due 05/01/2000 13,700 13,634
Exxon Mobil
6.050% due 04/14/2000 14,000 13,974
Heinz Corp.
6.050% due 05/03/2000 1,600 1,592
6.050% due 05/17/2000 3,600 3,573
Motorola, Inc.
6.090% due 06/30/2000 13,500 13,294
Oesterreich Konterbank
6.080% due 06/15/2000 6,200 6,120
Reseau Ferre De France
6.120% due 05/30/2000 1,600 1,584
6.120% due 06/05/2000 3,000 2,968
Xerox Credit Corp.
6.090% due 06/06/2000 1,000 989
-----------
Total Short-Term Instruments 66,868
(Cost $66,880) ===========
Total Investments (a) 98.1% $ 3,109,102
(Cost $3,386,320)
Other Assets and Liabilities (Net) 1.9% 61,291
-----------
Net Assets 100.0% $ 3,170,393
===========
2000 Annual Report See accompanying notes 117
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
March 31, 2000
--------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $3,387,281 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 15,845
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (294,024)
------------
Unrealized depreciation-net $ (278,179)
============
(b) Variable rate security. The rate listed is as of March 31, 2000.
(c) Security becomes interest bearing at a future date.
(d) Restricted security.
118 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Total Return Mortgage Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 92.6%
-------------------------------------------------------------------------------
Collateralized Mortgage Obligations 27.9%
Countrywide Alternative Loan Trust
6.750% due 08/25/2028 $ 106 $ 102
Countrywide Home Loans
6.750% due 11/25/2027 65 65
Federal Home Loan Mortgage Corp.
6.020% due 02/01/2018 (d) 185 176
4.500% due 03/15/2021 59 53
3.500% due 12/15/2022 10 7
6.500% due 03/15/2024 103 93
8.000% due 06/15/2026 67 68
Federal National Mortgage Assn
5.600% due 11/25/2016 29 29
11.220% due 03/25/2017 2 3
7.500% due 03/25/2023 93 93
6.410% due 04/25/2023 (d) 25 26
6.500% due 09/25/2023 35 31
6.750% due 09/25/2023 51 46
6.280% due 04/18/2028 (d) 138 137
General Electric Capital Mortgage
Services, Inc.
6.750% due 06/25/2028 200 186
Vendee Mortgage Trust
7.750% due 05/15/2022 36 37
--------
1,152
--------
Federal Home Loan Mortgage Corporation 6.3%
6.000% due 10/01/2024 159 146
7.000% due 02/01/2027 119 115
--------
261
--------
Federal National Mortgage Association 15.9%
6.360% due 11/01/2018 (d) 50 50
7.540% due 05/01/2023 (d) 183 183
8.500% due 09/01/2026 78 80
9.000% due 01/01/2020 330 343
--------
656
--------
Government National Mortgage Association 38.6%
6.380% due 03/20/2016-03/20/2027 (c)(d) 273 277
6.750% due 07/20/2025 (d) 41 42
7.000% due 04/19/2030 600 580
7.130% due 12/20/2021-11/20/2026 (c)(d) 120 122
7.500% due 05/15/2027-04/19/2030 (c) 581 577
--------
1,598
--------
Stripped Mortgage-Backed Securities 3.9%
Federal National Mortgage Association (IO)
6.500% due 07/25/2007 114 5
7.000% due 12/25/2016 3 0
Federal National Mortgage Association (PO)
0.000% due 07/25/2022 264 157
--------
162
--------
Total Mortgage-Backed Securities 3,829
(Cost $3,851) ========
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.2%
--------------------------------------------------------------------------------
Technology 0.2%
Clear Channel Communications
1.500% due 12/01/2002 10 9
--------
Total Convertible Bonds & Notes 9
(Cost $10) ========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 31.7%
--------------------------------------------------------------------------------
Commercial Paper 28.9%
Bellsouth Telecom
5.820% due 04/05/2000 200 199
Coca-Cola Co.
6.010% due 06/07/2000 200 198
DaimlerChrysler AG
5.890% due 04/10/2000 100 100
General Motors Acceptance Corp.
6.080% due 05/30/2000 200 198
Honeywell, Inc.
5.830% due 04/10/2000 200 200
Sumitomo Bank
6.100% due 04/13/2000 100 100
Swedbank, Inc.
5.950% due 06/02/2000 200 198
--------
1,193
========
Repurchase Agreement 2.6%
State Street Bank
5.600% due 04/03/2000 109 109
(Dated 03/31/2000. Collateralized by
Federal National Mortgage Association
6.400% due 09/27/2001 valued at $114.
Repurchase proceeds are $109.
--------
109
========
U.S. Treasury Bills (b) 0.2%
5.700% due 04/27/2000 10 10
--------
Total Short-Term Instruments 1,312
(Cost $1,312) ========
Total Investments (a) 124.5% $ 5,150
(Cost $5,173)
Other Assets and Liabilities (Net) (24.5%) (1,013)
--------
Net Assets 100.0% $ 4,137
========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $5,179 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of
value over tax cost $ 38
Aggregate gross unrealized depreciation for all
investments in which there was an excess of
tax cost over value (67)
--------
Unrealized depreciation-net $ (29)
========
(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 March 31, 2000:
# of Unrealized
Type Contracts Appreciation
-------------------------------------------------------------------------------
U.S. Treasury 10 Year Note (06/2000) 1 $ 3
(c) Securities are grouped by coupon or range --------
of coupons and represent a range of maturities.
(d) Variable rate security. The rate listed is as of
March 31, 2000.
2000 Annual Report See accompanying notes 119
<PAGE>
Schedule of Investments
Low Duration Mortgage Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 4.6%
-------------------------------------------------------------------------------
Banking & Finance 2.3%
Heller Financial, Inc.
6.370% due 10/22/2001 (b) $ 100 $ 100
-------
Industrials 2.3%
Philip Morris Cos., Inc.
7.250% due 09/15/2001 100 98
-------
Total Corporate Bonds & Notes 198
(Cost $200) =======
-------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 4.8%
-------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (d) 105 105
3.625% due 01/15/2008 (d) 104 102
-------
Total U.S. Treasury Obligations 207
(Cost $207) =======
-------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 91.4%
-------------------------------------------------------------------------------
Collateralized Mortgage Obligations 37.4%
ABN AMRO Mortgage Corp.
6.750% due 04/25/2029 214 161
Countrywide Home Loans
6.500% due 02/25/2009 494 491
Federal Home Loan Mortgage Corp.
6.750% due 03/15/2019 586 581
Federal National Mortgage Assn
6.500% due 09/25/2023 274 236
Prudential Home Mortgage Securities
7.250% due 06/25/2022 (b) 139 139
-------
1,608
=======
Federal Housing Administration 14.9%
7.430% due 03/01/2022 166 166
8.130% due 09/01/2040 475 476
-------
642
=======
Federal National Mortgage Association 1.9%
9.000% due 07/01/2018 79 82
-------
Government National Mortgage Association 37.0%
6.375% due 05/20/2016-06/20/2025 (b)(c) 770 776
6.750% due 07/20/2018-08/20/2025 (b)(c) 587 590
7.125% due 12/20/2017 (b) 96 97
11.250% due 07/20/2015 120 131
-------
1,594
=======
Stripped Mortgage-Backed Securities 0.2%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 05/15/2010 446 9
Federal National Mortgage Assn. (IO)
6.500% due 05/25/2005 138 0
-------
9
-------
Total Mortgage-Backed Securities 3,935
(Cost $4,019) =======
-------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 0.7%
-------------------------------------------------------------------------------
Money Store Home Equity Trust
6.345% due 11/15/2021 (b) 29 29
-------
Total Asset-Backed Securities 29
(Cost $29) =======
-------------------------------------------------------------------------------
SOVEREIGN ISSUES 2.3%
-------------------------------------------------------------------------------
Republic of Korea
8.594% due 04/08/2000 (b) 100 100
-------
Total Sovereign Issues 100
(Cost $100) =======
-------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 2.0%
-------------------------------------------------------------------------------
Repurchase Agreement 2.0%
State Street Bank
5.600% due 04/03/2000 88 88
(Dated 03/31/2000. Collateralized by
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $94.
Repurchase proceeds are $88.)
-------
Total Short-Term Instruments 88
(Cost $88) =======
Total Investments (a) 105.8% $ 4,557
(Cost $4,643)
Other Assets and Liabilities (Net) (5.8%) (249)
-------
Net Assets 100.0% $ 4,308
=======
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes of 4,651 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 2
Aggregate gross unrealized depreciation for all
investments in which there was an excess of
tax cost over value. (96)
-------
Unrealized depreciation-net $ (94)
=======
(b) Variable rate security. The rate listed is as of
March 31, 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.
120 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Real Return Bond Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 33.3%
-------------------------------------------------------------------------------
Banking & Finance 21.5%
AT&T Capital Corp.
7.110% due 09/13/2001 (d) $ 500 $ 499
BAT-Crave-800
6.680% due 08/12/2000 190 190
Bear Stearns Co., Inc.
6.424% due 08/01/2002 (d) 500 501
Chase Manhattan Corp.
6.430% due 12/10/2001 (d) 500 505
Citicorp
6.223% due 09/17/2001 (d) 335 335
DQE Capital Corp.
6.539% due 01/15/2002 (d) 1,000 1,000
Finova Capital Corp.
6.720% due 11/08/2002 (d) 2,800 2,811
First Security Corp.
7.701% due 06/01/2005 (d) 1,000 1,000
Florida Windstorm
6.700% due 08/25/2004 500 484
Ford Motor Credit Corp.
6.300% due 07/16/2002 (d) 1,000 1,002
6.224% due 02/13/2003 (d) 350 349
General Motors Acceptance Corp.
6.371% due 12/15/2000 (d) 1,500 1,500
6.327% due 12/09/2002 (d) 2,000 2,001
Heller Financial, Inc.
6.448% due 02/05/2001 400 401
6.370% due 10/22/2001 (d) 3,700 3,710
6.220% due 04/26/2002 (d) 250 250
Household Finance Corp.
6.473% due 08/06/2002 (d) 2,000 2,000
HRPT Properties Trust
7.280% due 07/09/2007 1,250 1,250
J.P. Morgan & Co.
6.430% due 02/15/2012 3,470 3,105
Juno Reinsurance
9.565% due 06/26/2002 (d) 750 728
Korea Development Bank
5.886% due 03/01/2002 (d) 500 460
8.008% due 06/16/2003 (d) 500 490
Lehman Brothers Holdings, Inc.
8.150% due 05/15/2000 230 230
9.875% due 10/15/2000 250 254
6.904% due 04/02/2002 (d) 500 503
6.421% due 06/03/2002 (d) 2,500 2,483
6.840% due 07/15/2002 (d) 600 604
6.410% due 09/03/2002 (d) 2,000 1,981
MBNA America Bank NA
6.290% due 04/25/2002 (d) 500 498
Merrill Lynch & Co.
6.129% due 11/01/2001 (d) 3,000 2,998
6.508% due 02/08/2002 (d) 400 401
Morgan Stanley, Dean Witter, Discover and Co.
6.353% due 12/17/2001 (d) 300 300
6.190% due 04/15/2002 (d) 1,000 999
6.310% due 02/21/2003 (d) 1,500 1,502
National Westminster Bank
6.620% due 09/16/2002 (d) 3,500 3,513
Protective Life Funding Trust
6.390% due 01/17/2003 (d) 1,000 1,000
Prudential Funding Corp.
6.270% due 10/18/2001 (d) 3,000 3,004
Residential Reinsurance
9.761% due 06/01/2000 (d) 2,300 2,283
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 1,670 1,641
Seismic Ltd.
0.000% due 01/01/2002 (d) 2,500 2,500
Textron Financial Corp.
6.290% due 10/26/2001 (d) 2,500 2,499
6.477% due 12/09/2002 (d) 4,000 4,007
Toyota Motor Credit Corp.
5.707% due 02/15/2002 400 390
-------
58,161
=======
Industrials 5.9%
AIC Corp.
6.154% due 10/02/2002 (d) 250 249
Arrow Electronics, Inc.
6.860% due 11/24/2000 (d) 1,500 1,500
Atlas Air, Inc.
9.820% due 04/04/2003 (d) 4,400 4,400
Conagra, Inc.
6.340% due 06/12/2000 (d) 500 500
CSX Corp.
6.430% due 06/15/2000 (d) 500 500
Gold Eagle
11.453% due 04/16/2001 1,000 999
9.003% due 04/16/2001 1,000 999
Kroger Co.
6.000% due 07/01/2000 1,500 1,494
Nextel Communications
9.090% due 03/31/2008 1,500 1,482
Petroleos Mexicanos
8.402% due 07/15/2005 (d) 1,750 1,728
Tyco International Group SA
6.819% due 03/05/2001 (d) 2,000 1,999
-------
15,850
=======
Utilities 5.9%
Edison Mission Energy
6.790% due 06/15/2001 (d) 700 700
Enron Corp.
6.577% due 09/10/2001 (d) 1,500 1,501
GTE Corp.
6.155% due 06/12/2000 (d) 4,000 3,999
Hughes Electric
7.451% due 10/23/2000 3,500 3,497
Kerr-McGee Corp.
6.414% due 08/01/2001 (d) 1,000 1,000
6.703% due 11/01/2001 2,000 1,992
Public Service Enterprise Group, Inc.
6.350% due 06/15/2001 (d) 500 500
Sprint Capital Corp.
6.386% due 11/15/2001 (d) 1,000 1,001
Texas Utilities Co.
6.791% due 06/25/2001 1,300 1,299
7.105% due 09/24/2001 500 503
-------
15,992
-------
Total Corporate Bonds & Notes 90,003
(Cost $89,995) =======
-------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 2.2%
-------------------------------------------------------------------------------
New Mexico 0.2%
New Mexico Mortgage Finance Authorities Revenue Bonds,
(GNMA,FNMA, FHLMC Insured), Series 1997
7.000% due 07/01/2006 495 483
-------
New York 1.4%
New York City Municipal Bond, Series 1997
6.346% due 08/01/2002 (d) 138 138
New York State Dorm Authority Revenue
Bonds, Series 1996 5.500% due 07/01/2025 4,000 3,736
-------
3,874
=======
Ohio 0.6%00
Hamilton Ohio School Districts Gas Supply
Revenue Bonds, Northern Ohio, (MBIA Insured),
Series 1999 6.910% due 08/01/2001 1,500 1,491
-------
Municipal Bonds & Notes 5,848
(Cost $5,745) =======
2000 Annual Report See accompanying notes 121
<PAGE>
Schedule of Investments (Cont.)
Real Return Bond Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 6.4%
-------------------------------------------------------------------------------
Federal Farm Credit Bank
6.360% due 02/14/2002 (d) $ 600 $ 588
Federal Home Loan Bank
5.663% due 02/15/2002 (d) 2,485 2,442
Federal Home Loan Mortgage Corp.
6.875% due 01/15/2005 10,000 9,922
Federal National Mortgage Assn.
2.796% due 03/13/2002 (d) 2,000 1,964
Student Loan Marketing Assn.
6.365% due 07/25/2004 (d) 88 88
6.395% due 10/25/2004 (d) 105 104
5.909% due 04/25/2006 (d) 1,744 1,737
6.595% due 01/25/2007 (d) 333 332
-------
Total U.S. Government Agencies 17,177
(Cost $17,173) =======
-------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 98.6%
-------------------------------------------------------------------------------
Treasury Inflation Protected Securities (g)
3.625% due 07/15/2002 (c) 29,821 29,737
3.375% due 01/15/2007 (c) 56,125 54,038
3.625% due 01/15/2008 (c) 61,833 60,209
3.875% due 01/15/2009 (c) 55,044 54,476
4.250% due 01/15/2010 9,026 9,207
3.625% due 04/15/2028 (c) 25,559 24,265
3.875% due 04/15/2029 (c) 34,282 34,003
U.S. Treasury Notes
5.125% due 08/31/2000 (b) 180 179
-------
Total U.S. Treasury Obligations 266,114
(Cost $262,342) =======
-------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES
-------------------------------------------------------------------------------
Collateralized Mortgage Obligations 0.2%
Federal Home Loan Mortgage Corp.
6.500% due 01/25/2028 100 88
Federal National Mortgage Assn.
6.244% due 10/25/2008 (d) 369 370
6.500% due 02/25/2029 118 94
552
Federal Home Loan Mortgage Corporation 0.0%
7.433% due 02/01/2023 (d) 127 131
Federal Housing Administration 0.1%
7.430% due 12/01/2020 302 296
Federal National Mortgage Association 0.2%
7.252% due 10/01/2024 (d) 499 514
Other Mortgage-Backed Securities 0.4%
CMC Securities Corp.
6.000% due 11/25/2008 957 949
-------
Total Mortgage-Backed Securities 2,442
(Cost $2,465) =======
-------------------------------------------------------------------------------
ASSET-BACKED SECURTIES 7.4%
-------------------------------------------------------------------------------
AFC Home Equity Loan Trust
6.099% due 03/25/2027 (d) 244 244
American Residential Eagle
6.219% due 07/25/2029 (d) 6,886 6,882
Conseco Finance
6.290% due 10/15/2030 1,930 1,927
Conseco Finance Home Loan Trust
8.880% due 06/15/2024 750 755
Contimortgage Home Equity Loan Trust
6.020% due 01/25/2014 244 241
EQCC Home Equity Loan Trust
6.321% due 03/20/2029 305 305
General Electric Capital Mortgage
Services, Inc.
7.150% due 09/25/2026 339 338
Huntsman Corp.
8.830% due 12/31/2005 1,000 998
IMC Home Equity Loan Trust
6.610% due 06/20/2013 366 365
MMCA Automobile Trust
6.300% due 06/15/2002 3,180 3,177
Oakwood Mortgage Investors, Inc.
6.450% due 11/15/2027 847 844
Onyx Acceptance Auto Trust
6.590% due 09/15/2002 2,000 1,999
6.350% due 10/15/2003 615 612
Pacific Southwest Bank
6.060% due 06/15/2002 13 13
Premiere Auto Trust
5.510% due 07/09/2001 273 273
Residential Funding Mortgage Securities, Inc.
5.460% due 07/25/2029 209 207
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 386 383
WMC Mortgage Loan
6.090% due 03/20/2028 (d) 335 335
-------
Total Asset-Backed Securities 19,898
(Cost $19,911) =======
-------------------------------------------------------------------------------
SOVEREIGN ISSUES 0.0%
-------------------------------------------------------------------------------
United Mexican States Recovery Rights
0.000% due 06/30/2003 2,307 0
-------
Total Sovereign Issues 0
(Cost $0) =======
-------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 3.8%
-------------------------------------------------------------------------------
Caisse D'amort Dette Soc
3.800% due 07/25/2006 EC 5,025 4,835
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 5,300 2,581
Kingdom of Sweden
0.000% due 04/01/2004 (g) SK 7,354 776
Newcourt Credit Group
7.900% due 08/15/2000 C$ 1,674 1,164
7.625% due 06/28/2001 500 350
United Mexican States
1.103% due 12/31/2019 (d) JY 70,000 668
-------
Total Foreign Currency-Denominated Issues 10,374
(Cost $10,181) =======
-------------------------------------------------------------------------------
COVERTIBLE PREFERRED STOCK (f) 0.5%
-------------------------------------------------------------------------------
Shares
Banking & Finance 0.5%
Tokai Bank Cvt. Pfd.
2.750% due 10/01/2004 200,000,000 1,388
-------
Total Convertible Preferred Stock 1,388
(Cost $1,411) =======
-------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 2.6%
-------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 0.8%
Eastman Kodak Co.
6.030% due 06/06/2000 $ 100 99
Procter & Gamble Co.
6.080% due 06/02/2000 2,000 1,979
-------
2,078
=======
Repurchase Agreement 1.8%
State Street Bank
5.600% due 04/03/2000 4,851 4,851
(Dated 03/31/2000. Collateralized by
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $4,950.
Repurchase proceeds are $4,853.)
-------
4,851
=======
122 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
U.S. Treasury Bills 0.0%
5.750% due 04/27/2000 100 $ 100
------------
Total Short-Term Instruments 7,029
(Cost $7,029) ============
Total Investments (a) 155.7% $ 420,273
(Cost $416,252)
Other Assets and Liabilities (Net) (55.7%) (150,412)
------------
Net Assets 100.0% $ 269,861
============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of 416,943 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of
value over tax cost. $ 3,644
Aggregate gross unrealized depreciation for all
investments in which there was an excess of
tax cost over value. (314)
------------
Unrealized appreciation-net $ 3,330
============
(b) Securities with an aggregate market value of $179
have been segregated with the custodian to cover
margin requirements for the following open futures
contracts at March 31, 2000:
# of Unrealized
Type Contracts (Depreciation)
-------------------------------------------------------------------------------
U.S. Treasury 5 Year Note ( 06/2000) 179 $ (174)
(c) Subject to financing transaction.
(d) Variable rate security. The rate listed is as of
March 31,2000.
(e) Foreign forward currency contracts outstanding at
March 31, 2000.
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
-------------------------------------------------------------------------------
Sell C$ 523 05/2000 $ (1)
Sell 1,711 06/2000 (16)
Buy EC 529 04/2000 0
Sell 5,181 04/2000 26
Sell JY 53,500 04/2000 (20)
Sell 215,663 05/2000 (57)
Buy N$ 524 04/2000 5
Sell 4,880 04/2000 (72)
Sell 845 05/2000 (3)
Buy SK 4,342 04/2000 1
Sell 10512 04/2000 (8)
------------
$ (145)
============
(f) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
EC - Euro
JY - Japanese Yen
N$ - New Zealand Dollar
SK - Swedish Krona
(g) Principal amount of security is adjusted for inflation.
(h) Swap agreements outstanding at March 31, 2000.
Notional Unrealized
Type Amount Appreciation
-------------------------------------------------------------------------------
Receive fixed rate equal to 0.47% and
the Fund will pay to the counterparty at
par in the event of default of Enron Corp.
6.450% due 11/15/2001.
Broker: Goldman Sachs
Exp. 08/31/2000 $ 1,000 $ 0
Receive fixed rate equal to 0.41% 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
------------
$ 0
============
2000 Annual Report See accompanying notes 123
<PAGE>
Schedule of Investments
Foreign Bond Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ARGENTINA (f)(g) 0.4%
--------------------------------------------------------------------------------
Republic of Argentina
5.000% due 12/20/2002 JY 219,000 $ 2,154
--------
Total Argentina 2,154
(Cost $1,716) ========
--------------------------------------------------------------------------------
ARUBA (f)(g) 0.4%
--------------------------------------------------------------------------------
YTP Finance (Aruba)
3.500% due 07/18/2012 JY 200,000 2,001
--------
Total Aruba 2,001
(Cost $1,900) ========
--------------------------------------------------------------------------------
AUSTRALIA (f)(g) 3.0%
--------------------------------------------------------------------------------
Bankers Trust Australia
6.409% due 06/02/2008 (d) $ 4,800 4,658
General Electric Capital Australia Funding
6.750% due 09/15/2007 A$ 750 451
General Motors Acceptance Corp.
3.967% due 03/25/2002 EC 10,300 9,855
Registered Australian Mortgage Securities
4.017% due 09/26/2032 (d) 1,400 1,339
--------
Total Australia 16,303
(Cost $16,641) ========
--------------------------------------------------------------------------------
BELGIUM (f)(g) 0.8%
--------------------------------------------------------------------------------
Kingdom of Belgium
9.000% due 03/28/2003 EC 5 5
6.750% due 11/21/2004 (d) BF 183,200 4,638
--------
Total Belgium 4,643
(Cost $6,064) ========
--------------------------------------------------------------------------------
BRAZIL 0.2%
--------------------------------------------------------------------------------
Government of Brazil
7.000% due 01/01/2001 (d) $ 295 294
6.938% due 04/15/2006 (d) 940 853
--------
Total Brazil 1,147
(Cost $1,135) ========
--------------------------------------------------------------------------------
BULGARIA 0.8%
--------------------------------------------------------------------------------
Republic of Bulgaria
7.063% due 07/28/2011 (d) $ 2,670 2,116
7.063% due 07/28/2024 (d) 2,600 2,090
--------
Total Bulgaria 4,206
(Cost $3,931) ========
--------------------------------------------------------------------------------
CANADA (f)(g) 5.7%
--------------------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 3,440 2,364
Commonwealth of Canada
5.250% due 09/01/2003 (j) 640 430
6.625% due 10/03/2007 N$ 20,830 9,665
6.000% due 06/01/2008 (j) C$ 17,130 11,814
Hydro-Quebec
3.527% due 04/25/2000 DM 5,000 2,444
Providence of Manitoba
11.000% due 08/15/2000 C$ 5,000 3,512
Sears Canada
11.700% due 07/10/2000 1,000 699
--------
Total Canada 30,928
(Cost $33,075) ========
--------------------------------------------------------------------------------
CAYMAN ISLANDS (f)(g) 4.5%
--------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C
5.300% due 09/21/2000 JY 200,000 1,948
Capital Credit Card Corp.
5.625% due 10/15/2004 DM 2,800 1,384
Daiwa International Finance Cayman
5.000% due 12/28/2004 JY 300,000 3,021
MBNA American Euro
3.589% due 05/19/2004 (d) EC 8,100 7,734
Residential Reinsurance
9.761% due 06/01/2000 (d) $ 7,100 7,049
Sakura Capital Funding
7.020% due 09/29/2049 (d) 3,600 3,470
--------
Total Cayman Islands 24,606
(Cost $25,353) ========
--------------------------------------------------------------------------------
COLOMBIA (f)(g) 0.3%
--------------------------------------------------------------------------------
Republic of Colombia
3.000% due 12/22/2000 JY 150,000 1,412
--------
Total Colombia 1,412
(Cost $1,154) ========
--------------------------------------------------------------------------------
DENMARK (f)(g) 1.3%
--------------------------------------------------------------------------------
Danske Kredit Mortgage
5.000% due 10/01/2029 DK 33,112 3,764
Realkredit Danmark Mortgage
5.000% due 10/01/2029 27 3
Unikredit Realkredit
5.000% due 10/01/2029 27,918 3,167
--------
Total Denmark 6,934
(Cost $8,159) ========
--------------------------------------------------------------------------------
FRANCE (f)(g) 1.9%
--------------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 835 792
Republic of France
3.000% due 07/25/2009 (b) 3,078 2,775
4.000% due 10/25/2009 (j) 8,200 7,059
--------
Total France 10,626
(Cost $11,826) ========
--------------------------------------------------------------------------------
GERMANY (f)(g) 6.2%
--------------------------------------------------------------------------------
Barclays Capital Corp.
3.246% due 12/20/2000 DM 2,000 977
Hypothekenbank in Essen AG
4.750% due 08/11/2008 (j) EC 2,360 2,128
Republic of Germany
0.000% due 01/04/2010 (j) 15,668 15,151
6.500% due 07/04/2027 (j) 14,170 15,030
Treuhandanstalt
7.500% due 09/09/2004 (j) 340 358
--------
Total Germany 33,644
(Cost $39,123) ========
--------------------------------------------------------------------------------
GREECE (f)(g) 4.1%
--------------------------------------------------------------------------------
CSFP Credit
6.601% due 11/19/2004 (d) $ 19,000 19,171
Hellenic Finance
2.000% due 07/15/2003 EC 1,600 1,535
Hellenic Republic
10.200% due 05/19/2003 (d) GD 100,000 296
10.180% due 06/17/2003 (d) 107,400 318
10.240% due 10/23/2003 (d) 376,000 1,122
--------
Total Greece 22,442
(Cost $22,938) ========
--------------------------------------------------------------------------------
ITALY (f)(g) 4.0%
--------------------------------------------------------------------------------
Island Finance
4.326% due 03/30/2015 (d) EC 2,300 2,200
Republic of Italy
4.250% due 11/01/2009 (j) 4,110 3,591
6.500% due 11/01/2027 (j) 10,916 11,378
5.250% due 11/01/2029 (j) 5,530 4,871
--------
Total Italy 22,040
(Cost $24,643) ========
124 PIMCO FUNDS See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
JAPAN (f)(g) 1.0%
--------------------------------------------------------------------------------
International Credit Receivable Japan 1 Tranche A
0.478% due 11/22/2004 (d) JY 125,137 $ 1,219
International Credit Receivable Japan 1 Tranche B
0.578% due 11/22/2004 (d) 200,000 1,948
SHL Corp. Ltd.
0.871% due 12/25/2024 (d) 76,000 740
0.540% due 12/25/2024 (d) 137,982 1,377
--------
Total Japan 5,284
(Cost $4,956) ========
--------------------------------------------------------------------------------
MEXICO (f)(g) 2.6%
--------------------------------------------------------------------------------
Petroleos Mexicanos
8.850% due 09/15/2007 $ 1,040 1,011
9.375% due 12/02/2008 1,290 1,325
United Mexican States
6.930% due 04/07/2000 (d) 6,000 6,000
8.750% due 05/30/2002 BP 270 434
10.375% due 01/29/2003 DM 2,575 1,383
4.000% due 03/11/2004 JY 130,000 1,300
7.500% due 03/08/2010 EC 2,300 2,232
6.250% due 12/31/2019 500 428
--------
Total Mexico 14,113
(Cost $14,072) ========
--------------------------------------------------------------------------------
NETHERLANDS (f)(g) 2.2%
--------------------------------------------------------------------------------
Bank of Japan
2.140% due 11/16/2009 JY 200,000 1,950
KPNQWest BV
7.125% due 06/01/2009 EC 3,700 3,479
Mannesmann Finance BV
4.750% due 05/27/2009 3,700 3,163
Tecnost International NV
5.616% due 06/23/2004 (d) 1,430 1,404
Telekomunikacja Polska SA
7.750% due 12/10/2008 $ 2,120 2,058
--------
Total Netherlands 12,054
(Cost $12,614) ========
--------------------------------------------------------------------------------
NEW ZEALAND (f)(g) 2.3%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
7.000% due 07/15/2009 (j) N$ 9,189 4,575
4.500% due 02/15/2016 (b)(j) 16,500 8,036
--------
Total New Zealand 12,611
(Cost $14,033) ========
--------------------------------------------------------------------------------
PANAMA 0.2%
--------------------------------------------------------------------------------
Republic of Panama
8.875% due 09/30/2027 $ 1,100 969
--------
Total Panama 969
(Cost $974) ========
--------------------------------------------------------------------------------
PHILIPPINES (f)(g) 0.7%
--------------------------------------------------------------------------------
Republic of Philippines
8.000% due 09/17/2004 EC 2,420 2,340
6.875% due 12/01/2009 (d) $ 1,368 1,293
--------
Total Philippines 3,633
(Cost $3,932) ========
--------------------------------------------------------------------------------
POLAND 0.0%
--------------------------------------------------------------------------------
Republic of Poland
3.500% due 10/27/2024 (d) $ 105 65
--------
Total Poland 65
(Cost $64) ========
--------------------------------------------------------------------------------
PORTUGAL (f)(g) 1.8%
--------------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 (j) EC 11,770 $10,024
--------
Total Portugal 10,024
(Cost $10,981) ========
--------------------------------------------------------------------------------
SOUTH KOREA (f)(g) 1.9%
--------------------------------------------------------------------------------
Korea Development Bank
3.610% due 05/14/2001 (d) DM 7,310 3,525
2.770% due 05/21/2001 JY 400,000 3,974
1.875% due 02/13/2002 13,000 127
Korean Export-Import Bank
7.250% due 06/25/2001 $ 1,945 1,939
6.500% due 02/10/2002 800 776
--------
Total South Korea 10,341
(Cost $10,094) ========
--------------------------------------------------------------------------------
SPAIN (f)(g) 6.2%
--------------------------------------------------------------------------------
Kingdom of Spain
5.150% due 07/30/2009 (j) EC 29,010 27,282
6.000% due 01/31/2029 (j) 6,483 6,394
--------
Total Spain 33,676
(Cost $37,480) ========
--------------------------------------------------------------------------------
SUPRANATIONAL (f)(g) 7.4%
--------------------------------------------------------------------------------
Eurofima
4.750% due 07/07/2004 (j) SK 60,900 6,697
European Investment Bank
7.000% due 12/08/2003 BP 6,300 10,083
6.000% due 11/26/2004 (j) 1,500 2,327
5.375% due 08/28/2007 NK 2,400 264
Inter-American Development Bank
7.125% due 11/26/2004 BP 1,750 2,833
International Bank for Reconstruction & Development
6.875% due 07/14/2000 2,500 3,987
7.000% due 09/18/2000 N$ 6,400 3,185
7.250% due 04/09/2001 6,400 3,178
7.000% due 06/07/2002 BP 1,100 1,758
7.250% due 05/27/2003 N$ 10,670 5,202
World Bank
10.250% due 04/11/2002 PP 31,000 712
--------
Total Supranational 40,226
(Cost $43,035) ========
--------------------------------------------------------------------------------
SWEDEN (f)(g) 0.9%
--------------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 11,200 1,418
5.000% due 01/15/2004 (j) 14,100 1,619
0.000% due 04/01/2004 (b) 18,911 1,995
--------
Total Sweden 5,032
(Cost $5,235) ========
--------------------------------------------------------------------------------
TUNISIA (f)(g) 0.3%
--------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 1,500 1,459
--------
Total Tunisia 1,459
(Cost $1,525) ========
--------------------------------------------------------------------------------
UNITED KINGDOM (f)(g) 5.8%
--------------------------------------------------------------------------------
Abbey National Treasury Service
7.625% due 12/30/2002 BP 1,770 2,851
5.250% due 01/21/2004 2,670 4,008
Bank of Scotland Capital Fund
8.117% due 03/31/2049 850 1,352
Halifax Group Euro Finance
7.627% due 12/29/2049 (d) EC 800 776
Halifax Group Sterling Finance
7.881% due 12/29/2049 (d) BP 4,050 6,643
2000 Annual Report See accompanying notes 125
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
HAUS Limited
3.850% due 12/10/2037 (d) EC 8,500 $ 8,130
Polestar Corp. plc
10.500% due 05/30/2008 BP 170 264
SCCR Series 1 Ltd.
3.500% due 05/15/2000 (d) IL 15,380,00 7,595
--------
Total United Kingdom 31,619
(Cost $33,712) ========
--------------------------------------------------------------------------------
UNITED STATES (f)(g) 73.6%
--------------------------------------------------------------------------------
Asset-Backed Securities 6.0%
AES Corp.
8.688% due 05/19/2001 $ 1,500 1,498
AFC Home Equity Loan Trust
6.099% due 03/25/2027 (d) 975 976
Americredit Automobile Receivable Trust
5.880% due 12/05/2003 250 248
AM-FM, Inc.
7.500% due 11/19/2001 750 747
7.688% due 11/19/2001 750 747
Amresco Residential Securities Mortgage Loan Trust
6.595% due 06/25/2029 (d) 5,880 5,902
Banc One Auto Grantor Trust
6.270% due 11/20/2003 432 430
6.290% due 07/20/2004 665 660
Bayview Financial Acquisition
6.429% due 02/25/2029 (d) 400 400
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 280 280
Contimortgage Home Equity Loan Trust
6.174% due 10/15/2012 (d) 1,047 1,046
6.010% due 12/25/2013 8,510 8,455
Daimler-Benz Vehicle Trust
5.230% due 12/20/2001 703 703
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 71 70
EQCC Home Equity Loan Trust
5.770% due 03/20/2029 2,767 2,747
6.321% due 03/20/2029 609 609
First Security Auto Owner Trust
5.311% due 04/15/2002 524 524
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 21 21
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 2,468 2,437
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 1,630 1,598
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 1,043 1,033
Voicestream
8.837% due 02/15/2009 2,000 1,978
--------
33,109
========
Corporate Bonds & Notes 19.4%
Abbey National Capital Trust I
8.963% due 12/29/2049 (d) 2,000 2,043
AES Corp.
10.250% due 07/15/2006 394 384
Associates Corp. of North America
6.210% due 08/27/2001 (d) 5,000 4,998
AT&T Capital Corp.
6.310% due 04/23/2002 (d) 675 677
Bancomext Trust Division
8.000% due 08/05/2003 390 385
Beckman Instruments, Inc.
7.100% due 03/04/2003 344 329
Buckeye Technologies, Inc.
8.000% due 10/15/2010 394 361
Building Materials Corp.
7.750% due 07/15/2005 247 219
8.000% due 10/15/2007 267 232
Calpine Corp.
7.875% due 04/01/2008 485 457
Capital One Bank
6.750% due 07/28/2003 (d) 12,000 11,995
Century Communications Corp.
0.000% due 03/15/2003 537 395
CMS Energy
8.125% due 05/15/2002 385 380
CSC Holdings, Inc.
9.875% due 04/01/2023 385 393
DaimlerChrysler Holdings
6.380% due 08/23/2002 (d) 3,900 3,913
DQE Capital Corp.
6.539% due 01/15/2002 (d) 800 800
Echostar DBS Corp.
9.250% due 02/01/2006 488 472
Finova Capital Corp.
6.390% due 06/18/2003 (d) 5,700 5,698
Flag Ltd.
8.250% due 01/30/2008 385 343
Ford Motor Credit Co.
1.200% due 02/07/2005 JY 619,000 5,957
Garden State Newspapers
8.750% due 10/01/2009 $ 360 322
General Motors Acceptance Corp.
6.251% due 04/05/2004 (d) 2,800 2,792
6.251% due 04/05/2004 (d) 16,420 16,420
6.875% due 09/09/2004 BP 4,080 6,471
1.250% due 12/20/2004 JY 208,000 2,009
Gold Eagle
11.453% due 04/16/2001 $ 2,500 2,497
Goldman Sachs Group
6.640% due 02/19/2004 (d) 1,430 1,451
Hollinger International Publishing
8.625% due 03/15/2005 294 279
Household Finance Corp.
5.125% due 06/24/2009 EC 4,900 4,329
J.P. Morgan & Co.
6.430% due 02/15/2012 $ 6,780 6,065
Jones Intercable, Inc.
8.875% due 04/01/2007 427 445
KBC Bank Fund Trust IV
8.220% due 11/29/2049 EC 800 809
Lehman Brothers Holdings, Inc.
6.700% due 11/30/2006 (d) $ 905 835
McLeodUSA, Inc.
8.125% due 02/15/2009 585 518
MGM Grand, Inc.
6.950% due 02/01/2005 180 165
Navistar International Corp.
8.000% due 02/01/2008 329 307
Polymer Group, Inc.
9.000% due 07/01/2007 329 288
Protective Life Funding Trust
6.390% due 01/17/2003 (d) 1,200 1,200
Rogers Cantel, Inc.
8.300% due 10/01/2007 385 391
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (b)(d) 12,891 12,664
6.320% due 02/11/2003 (d) 400 400
Silgan Holdings, Inc.
9.000% due 06/01/2009 335 315
Sprint Capital Corp.
5.875% due 05/01/2004 690 654
Texas Utilities Co.
7.105% due 09/24/2001 2,600 2,614
TV Guide, Inc.
8.125% due 03/01/2009 335 332
Unisys Corp.
12.000% due 04/15/2003 485 514
World Color Press, Inc.
8.375% due 11/15/2008 206 206
--------
105,723
========
Mortgage-Backed Securities 18.0%
Bank of America Mortgage Securities
6.500% due 05/25/2029 307 287
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 2,858 2,819
126 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 $ 2,571 $ 2,529
6.500% due 03/25/2029 140 127
Crusade Global Trust
6.400% due 02/15/2030 (d) 14,400 14,436
Federal Home Loan Mortgage Corp.
6.000% due 03/15/2008 890 874
6.811% due 06/01/2022 (d) 1,499 1,554
7.080% due 08/01/2022 (d) 859 888
6.500% due 09/15/2022 77 75
Federal Home Loan Mortgage Corp.
9.050% due 06/15/2019 61 62
Federal National Mortgage Assn.
6.914% due 07/01/2021 (d) 877 910
7.415% due 11/01/2022 (d) 1,016 1,050
7.574% due 01/01/2023 (d) 1,389 1,420
7.045% due 08/01/2023 (d) 1,142 1,187
General Electric Capital Corp.
5.125% due 01/12/2004 BP 6,230 9,328
General Electric Capital Mortgage
Services, Inc.
6.250% due 07/25/2029 $ 500 477
Government National Mortgage Assn.
7.125% due 11/20/2021 (d) 588 598
6.375% due 05/20/2022 (d) 53 54
6.750% due 07/20/2022 (d) 605 609
6.750% due 09/20/2022 (d) 396 400
6.375% due 05/20/2023 (d) 589 591
6.750% due 07/20/2023 (d) 674 679
6.750% due 07/20/2023 (d) 329 331
6.750% due 08/20/2023 (d) 309 312
6.750% due 09/20/2023 (d) 1,805 1,815
6.750% due 09/20/2023 (d) 772 776
7.125% due 10/20/2023 (d) 3,330 3,380
7.125% due 10/20/2024 (d) 265 269
6.375% due 04/20/2025 (d) 192 192
6.750% due 07/20/2025 (d) 4,499 4,514
6.750% due 09/20/2025 (d) 856 859
7.125% due 12/20/2025 (d) 333 337
6.750% due 09/20/2026 (d) 702 708
6.375% due 04/20/2027 (d) 1,733 1,731
7.000% due 04/19/2030-05/24/2030 (d)(e) 11,700 7,493
7.500% due 04/19/2030 5,900 5,847
Independent National Mortgage Corp.
8.432% due 11/25/2024 (d) 26 26
Medallion Trust
6.471% due 03/17/2031 (d) 5,900 5,900
Morgan Stanley Mortgage Trust
8.150% due 07/20/2021 1 1
Prudential Home Mortgage Securities
6.800% due 05/25/2024 448 406
Residential Funding Mortgage Securities, Inc.
6.500% due 06/25/2029 1,235 1,049
6.560% due 05/12/2032 (d) 15,400 15,389
Sasco Floating Rate Commercial Mortgage
6.280% due 11/20/2001 (d) 2,995 3,002
Structured Asset Mortgage Investments, Inc.
6.585% due 06/25/2029 (d) 3,220 3,193
--------
98,484
========
Municipal Bonds & Notes 0.2%
Massachusetts State Turnpike Authority
Metro Highway System, (MBIA Insured), Series 1997
5.000% due 01/01/2037 1,000 861
-------
U.S. Government Agencies 13.1%
Federal Home Loan Bank
0.000% due 05/12/2000 (d) 24,600 24,600
5.663% due 02/15/2002 (d) 14,000 13,758
Federal National Mortgage Assn.
6.875% due 06/07/2002 (j) BP 10,230 16,326
7.250% due 06/20/2002 (j) N$ 14,850 7,335
6.500% due 07/10/2002 (j) A$ 14,100 8,482
5.500% due 12/07/2003 (j) BP 700 1,071
--------
71,572
========
U.S. Treasury Obligations 15.7%
Treasury Inflation Protected Securities
(b)(j)
3.625% due 07/15/2002 $82,092 $ 81,860
U.S. Treasury Bonds
8.125% due 08/15/2021 (j) 1,040 1,279
U.S. Treasury Notes
5.125% due 08/31/2000 2,475 2,464
--------
85,603
========
Preferred Security 1.2%
Shares
DG Funding Trust
6.183% due 12/29/2049 (d) 6,400 6,425
--------
Total United States 401,777
(Cost $405,343) ========
--------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.0%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
U.S. Dollar vs. Eurodollar (OTC)
Strike @ 1.050 Exp. 07/28/2000 $44,950 179
--------
Total Purchased Call Options 179
(Cost $523) ========
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 2.3%
--------------------------------------------------------------------------------
Eurodollar March Futures (CME)
Strike @ 90.75 due 03/19/2001 500 8
Interest Rate Swap (OTC)
Strike @ 7.500% due 04/29/2002 11,200 493
U.S. Treasury Note (OTC)
Strike @ 100.656 due 04/05/2000
5.250% due 05/31/2001 119,800 2,352
U.S. Treasury Note (OTC)
Strike @ 105.531 due 04/05/2000
5.625% due 05/15/2008 102,100 9,515
--------
Total Purchased Put Options 12,368
(Cost $15,021) ========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.4%
--------------------------------------------------------------------------------
Certificates of Deposit 1.2%
Commerzbank AG
6.200% due 05/10/2000 6,550 6,550
--------
Repurchase Agreement 0.2%
State Street Bank
5.600% due 04/03/2000 1,286 1,286
--------
(Dated 03/31/2000. Collateralized by
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $1,315.
Repurchase proceeds are $1,287.)
U.S. Treasury Bills 0.0%
5.600% due 04/27/2000 125 125
--------
Total Short-Term Instruments 7,961
(Cost $7,961) ========
Total Investments (a) 144.2% $786,477
(Cost $819,213)
Written Options (c) (0.2%) (806)
(Premiums $473)
Other Assets and Liabilities (Net) (44.0%) (240,146)
--------
Net Assets 100.0% $545,525
========
2000 Annual Report See accompanying notes 127
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
March 31, 2000
--------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes of $819,500 was as
follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess of
value over tax cost. $ 4,058
Aggregate gross unrealized depreciation for
all investments in which there was an excess of
tax cost over value. (37,081)
---------
Unrealized depreciation-net $ (33,023)
=========
(b) Principal amount of the security is adjusted for
inflation.
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Put - OTC Eurodollar vs. Japanese Yen
Strike @ 102.00 Exp. 05/01/2000 $ 4,200,000 $ 84 $ 198
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 7.500% Exp. 04/29/2002 16,000,000 362 598
Put- OTC Australian Dollar vs. US Dollar
Strike @ 0.575 Exp. 06/01/2000 7,850,000 27 10
---------------
$ 473 $ 806
===============
(d) Variable rate security. The rate listed is as of March 31, 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 March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Buy A$ 9,997 04/2000 $ 16
Sell 17,035 04/2000 69
Buy 5,241 05/2000 (17)
Buy BP 5,471 04/2000 106
Sell 37,733 04/2000 (626)
Buy C$ 16,370 04/2000 152
Sell 16,310 04/2000 (57)
Sell 10,170 06/2000 (42)
Sell DK 63,700 04/2000 81
Buy EC 8,695 04/2000 (96)
Sell 92,196 04/2000 1,227
Sell GD 719 04/2000 31
Buy H$ 121,638 09/2000 1
Sell 121,638 09/2000 (117)
Buy 48,140 10/2000 3
Sell 48,140 10/2000 (41)
Buy HF 202,000 08/2000 (35)
Buy 1,248,000 01/2001 (310)
Buy JY 2,341,693 04/2000 767
Sell 1,433,693 04/2000 (527)
Sell 4,238,992 05/2000 (1,186)
Buy N$ 6,277 04/2000 13
Sell 83,847 04/2000 (443)
Buy 39,772 05/2000 (187)
Sell 32,890 05/2000 (325)
Sell NK 4,160 05/2000 4
Buy PZ 1,200 04/2000 9
Sell 1,200 04/2000 (2)
Buy 14,414 01/2001 (21)
Buy 8,090 02/2001 60
Buy 7,500 03/2001 28
Sell SK 75,060 04/2000 (48)
--------------
$ (1,513)
==============
(g) Principal amount denoted in indicated currency:
A$ - Australian Dollar
BF - Belgian Franc
BP - British Pound
C$ - Canadian Dollar
DK - Danish Krone
DM - German Mark
EC - Euro
GD - Greek Drachma
H$ - Hong Kong Dollar
IL - Italian Lira
HF - Hungarian Forint
JY - Japanese Yen
N$ - New Zealand Dollar
NK - Norwegian Krone
PP - Philippine Peso
PZ - Polish Zloty
SK - Swedish Krona
(h) Securities with an aggregate market value of $2,589 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at March 31, 2000:
Unrealized
# of Appreciation/
Type Contract (Depreciation)
-------------------------------------------------------------------------------
10 Year EURO-Bond (06/2000) 216 584
Government of Japan 10 Year Note (06/2000) 128 1,292
Eurodollar March Futures (03/2001) 147 (33)
U.S. Treasury 10 Year Note (06/2000) 28 (77)
--------------
$ 1,766
==============
(i) Swap agreements outstanding at March 31, 2000:
Notional Unrealized
Type Amount Appreciation
--------------------------------------------------------------------------------
Receive fixed rate equal to 6.949% and
pay floating rate based on 6 month LIBOR.
Broker: Merrill Lynch BP 4,500 $ 6
Exp. 08/06/2003
(j) Subject to financing transaction.
(k) Reverse repurchase agreements were entered into March 27, 2000 paying
interest at 6.05%. The following securities were segregated with collateral for
reverse repurchase agreements.
Type Maturity Value
--------------------------------------------------------------------------------
Government National Mortgage Assn. 6.750% 09/20/2023 $ 4,514
128 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Global Bond Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ARUBA (e)(f) 0.4%
--------------------------------------------------------------------------------
YTP Finance (Aruba)
3.500% due 07/18/2012 JY 100,000 $ 1,001
---------
Total Aruba 1,001
(Cost $950) =========
--------------------------------------------------------------------------------
AUSTRALIA (e)(f)2.8%
--------------------------------------------------------------------------------
Bankers Trust Australia
6.409% due 06/02/2008 (d) $ 2,300 2,232
General Motors Acceptance Corp.
3.967% due 03/25/2002 EC 4,900 4,688
Registered Australian Mortgage Securities
4.017% due 09/26/2032 (d) 800 765
---------
Total Australia 7,685
(Cost $7,843) =========
--------------------------------------------------------------------------------
BELGIUM (f)0.9%
--------------------------------------------------------------------------------
Kingdom of Belgium
6.750% due 11/21/2004 (d)(i) BF 95,900 2,428
---------
Total Belgium 2,428
(Cost $3,159) =========
--------------------------------------------------------------------------------
BRAZIL 0.3%
--------------------------------------------------------------------------------
Government of Brazil
7.000% due 01/01/2001 (d) $ 123 123
6.938% due 04/15/2006 (d) 658 597
---------
Total Brazil 720
(Cost $720) =========
--------------------------------------------------------------------------------
BULGARIA 0.8%
--------------------------------------------------------------------------------
Republic of Bulgaria
7.063% due 07/28/2011 (d) $ 480 380
2.500% due 07/28/2012 (d) 876 632
7.063% due 07/28/2024 (d) 1,570 1,262
---------
Total Bulgaria 2,274
(Cost $2,132) =========
--------------------------------------------------------------------------------
CANADA (e)(f) 3.6%
--------------------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 1,460 1,003
Canadian Imperial Bank
3.380% due 10/16/2000 (d) DM 600 293
Commonwealth of Canada
6.625% due 10/03/2007 N$ 8,680 4,027
6.000% due 06/01/2008 (i) C$ 6,430 4,435
---------
Total Canada 9,758
(Cost $10,391) =========
--------------------------------------------------------------------------------
CAYMAN ISLANDS (e)(f) 2.3%
--------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C.
5.300% due 09/21/2000 JY 80,000 779
Daiwa International Finance Cayman
5.000% due 12/28/2004 100,000 1,007
Residential Reinsurance
9.761% due 06/01/2000 (d) 2,800 2,780
Sakura Capital Funding
7.020% due 09/29/2049 (d) 1,700 1,639
---------
Total Cayman Islands 6,205
(Cost $6,078) =========
--------------------------------------------------------------------------------
COLOMBIA (e)(f) 0.3%
--------------------------------------------------------------------------------
Republic of Colombia
3.000% due 12/22/2000 JY 100,000 941
---------
Total Colombia 941
(Cost $769) =========
--------------------------------------------------------------------------------
DENMARK (e)(f) 1.2%
--------------------------------------------------------------------------------
Danske Kredit Mortgage
5.000% due 10/01/2029 DK 8,065 917
Nykredit
5.000% due 10/01/2029 8,938 1,016
Realkredit Danmark Mortgage
5.000% due 10/01/2029 10 1
Unikredit Realkredit
5.000% due 10/01/2029 11,588 1,314
---------
Total Denmark 3,248
(Cost $3,837) =========
--------------------------------------------------------------------------------
FRANCE (e)(f) 0.6%
--------------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 405 383
Republic of France
3.000% due 07/25/2009 (h) 1,456 1,312
---------
Total France 1,695
(Cost $1,898) =========
--------------------------------------------------------------------------------
GERMANY (e)(f) 4.5%
--------------------------------------------------------------------------------
Commerzbank AG
3.865% due 09/21/2001 EC 2,300 2,197
Hypothekenbank in Essen AG
4.750% due 08/11/2008 (i) 1,250 1,127
Republic of Germany
5.375% due 01/04/2010 3,350 3,239
Treuhandanstalt
7.500% due 09/09/2004 (i) 5,432 5,714
---------
Total Germany 12,277
(Cost $13,189) =========
--------------------------------------------------------------------------------
GREECE (e)(f) 4.8%
--------------------------------------------------------------------------------
CSFP Credit
6.601% due 11/19/2004 (d)(j) $ 11,000 11,100
Hellenic Finance
2.000% due 07/15/2003 EC 500 480
Hellenic Republic
10.200% due 05/19/2003 (d) GD 100,000 296
10.180% due 06/17/2003 (d) 69,100 204
10.240% due 10/23/2003 (d) 344,000 1,026
Total Greece 13,106
(Cost $13,510)
--------------------------------------------------------------------------------
ITALY (e)(f) 2.2%
--------------------------------------------------------------------------------
Island Finance
4.326% due 03/30/2015 (d) $ 1,200 1,148
Republic of Italy
4.250% due 11/01/2009 (i) EC 1,640 1,433
6.500% due 11/01/2027 (i) 2,420 2,522
5.250% due 11/01/2029 (i) 1,170 1,031
---------
Total Italy 6,134
(Cost $6,684) =========
--------------------------------------------------------------------------------
JAPAN (e)(f) 1.5%
--------------------------------------------------------------------------------
Government of Japan
4.000% due 06/20/2005 (i) JY 36,200 398
2.900% due 12/20/2006 (i) 96,000 1,015
International Credit Receivable Japan 1 Tranche A
0.478% due 11/22/2004 (d) 87,052 848
International Credit Receivable Japan 1 Tranche B
0.578% due 11/22/2004 (d) 90,000 876
SHL Corp. Ltd.
0.571% due 12/25/2024 (d) 67,001 653
0.871% due 12/25/2024 (d) 41,000 399
---------
Total Japan 4,189
(Cost $3,978) =========
2000 Annual Report See accompanying notes 129
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MEXICO (e)(f) 1.7%
--------------------------------------------------------------------------------
Petroleos Mexicanos
8.850% due 09/15/2007 $ 480 $ 467
9.375% due 12/02/2008 650 668
United Mexican States
6.930% due 04/07/2000 (d) 1,000 1,000
10.375% due 01/29/2003 DM 2,904 1,559
4.000% due 03/11/2004 JY 61,000 610
6.250% due 12/31/2019 $ 250 214
---------
Total Mexico 4,518
(Cost $4,631) =========
--------------------------------------------------------------------------------
NETHELANDS (e)(f) 2.0%
--------------------------------------------------------------------------------
Bank of Japan
2.140% due 11/16/2009 JY 100,000 975
Deutsche Bank Financial
6.235% due 12/17/2003 (d) $ 1,500 1,498
KPNQWest BV
7.125% due 06/01/2009 EC 1,500 1,410
Tecnost International NV
5.616% due 06/23/2004 (d) 690 677
Telekomunikacja Polska SA
7.750% due 12/10/2008 $ 960 932
---------
Total Netherlands 5,492
(Cost $5,688) =========
--------------------------------------------------------------------------------
NEW ZEALAND (e)(f) 2.9%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
5.500% due 04/15/2003 (i) N$ 1,900 904
7.000% due 07/15/2009 (i) 2,465 1,227
4.500% due 02/15/2016 (h) 12,181 5,932
---------
Total New Zealand 8,063
(Cost $8,912) =========
--------------------------------------------------------------------------------
PANAMA 0.2%
--------------------------------------------------------------------------------
Republic of Panama
4.250% due 07/17/2014 $ 660 533
---------
Total Panama 533
(Cost $524) =========
--------------------------------------------------------------------------------
PERU 0.4%
--------------------------------------------------------------------------------
Republic of Peru
4.500% due 03/07/2017 (d) $ 1,600 1,072
---------
Total Peru 1,072
(Cost $1,081) =========
--------------------------------------------------------------------------------
PHILIPPINES (e)(f) 1.0%
--------------------------------------------------------------------------------
Republic of Philippines
8.000% due 09/17/2004 EC 2,035 1,968
6.875% due 12/01/2009 (d) $ 640 605
6.500% due 12/01/2017 140 128
---------
Total Philippines 2,701
(Cost $2,869) =========
--------------------------------------------------------------------------------
POLAND 0.1%
--------------------------------------------------------------------------------
Republic of Poland
3.500% due 10/27/2024 (d) $ 280 174
---------
Total Poland 174
(Cost $173) =========
--------------------------------------------------------------------------------
PORTUGAL (e)(f) 1.1%
--------------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 (i) EC 3,550 3,023
---------
Total Portugal 3,023
(Cost $3,310) =========
--------------------------------------------------------------------------------
SOUTH KOREA (e)(f) 1.5%
--------------------------------------------------------------------------------
Korea Development Bank
6.342% due 05/06/2000 (d) BP 1,470 $ 2,338
3.610% due 05/14/2001 (d) DM 520 251
Korean Export-Import Bank
7.250% due 06/25/2001 $ 1,300 1,296
6.500% due 02/10/2002 300 291
---------
Total South Korea 4,176
(Cost $4,232) =========
--------------------------------------------------------------------------------
SPAIN (e)(f) 0.7%
--------------------------------------------------------------------------------
Kingdom of Spain
6.000% due 01/31/2029 (i) EC 1,921 1,895
---------
Total Spain 1,895
(Cost $2,064) =========
--------------------------------------------------------------------------------
SUPRANATIONAL (e)(f) 7.3%
--------------------------------------------------------------------------------
Asian Development Bank
5.375% due 09/15/2003 (i) A$ 1,800 1,047
Eurofima
4.750% due 07/07/2004 (i) SK 4,000 440
European Investment Bank
7.000% due 12/08/2003 BP 2,370 3,793
6.000% due 11/26/2004 (i) 750 1,163
5.375% due 08/28/2007 NK 4,200 462
Inter-American Development Bank
7.125% due 11/26/2004 BP 510 826
International Bank for Reconstruction & Development
6.875% due 07/14/2000 1,500 2,392
7.000% due 09/18/2000 N$ 3,200 1,593
7.250% due 04/09/2001 3,200 1,589
7.000% due 06/07/2002 BP 1,000 1,598
7.250% due 05/27/2003 N$ 9,190 4,481
World Bank
10.250% due 04/11/2002 PP 29,000 666
---------
Total Supranational 20,050
(Cost $21,888) =========
--------------------------------------------------------------------------------
SWEDEN (e)(f) 1.7%
--------------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 10,300 1,304
0.000% due 04/01/2004 (h) 31,518 3,325
---------
Total Sweden 4,629
(Cost $4,747) =========
--------------------------------------------------------------------------------
TUNISIA (e)(f) 0.2%
--------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 700 681
---------
Total Tunisia 681
(Cost $711) =========
--------------------------------------------------------------------------------
UNITED KINGDOM (e)(f) 9.6%
--------------------------------------------------------------------------------
Bank of Scotland Capital Fund
8.117% due 03/31/2049 BP 830 1,321
BG Transco Holdings plc
7.057% due 12/14/2009 (d) 1,060 1,694
Cadbury Schweppes plc
8.000% due 12/29/2000 800 1,283
Equitable
8.000% due 08/29/2049 (d) 6,100 9,789
Halifax Group Euro Finance
7.627% due 12/29/2049 (d) EC 400 388
Halifax Group Sterling Finance
7.881% due 12/29/2049 BP 2,200 3,608
HAUS Limited
3.660% due 12/10/2015 (d) EC 600 574
3.850% due 12/10/2037 (d) 4,200 4,017
130 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Lloyds TSB Bank plc
5.625% due 07/15/2049 EC 2,050 $ 1,838
Royal Bank of Scotland plc
6.770% due 03/31/2049 1,700 1,626
SCCR Series 1 Ltd.
3.500% due 05/15/2000 (d) IL 200,000 99
----------
Total United Kingdom 26,237
(Cost $26,964) ==========
--------------------------------------------------------------------------------
UNITED STATES (e)(f)73.3%
--------------------------------------------------------------------------------
Asset-Backed Securities 7.1%
AFC Home Equity Loan Trust
6.189% due 12/22/2027 (d) $ 909 909
Americredit Automobile Receivable Trust
5.880% due 12/05/2003 250 248
Amresco Residential Securities Mortgage Loan Trust
7.875% due 09/25/2028 (d) 1,000 963
6.595% due 06/25/2029 (d) 2,893 2,905
Argentina Funding Corp.
6.331% due 05/20/2003 (d) 300 300
Banc One Auto Grantor Trust
6.270% due 11/20/2003 186 185
6.290% due 07/20/2004 333 330
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 134 134
Contimortgage Home Equity Loan Trust
6.174% due 10/15/2012 (d) 506 506
6.010% due 12/25/2013 2,791 2,773
Daimler-Benz Vehicle Trust
5.230% due 12/20/2001 361 361
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 34 34
First Security Auto Owner Trust
5.311% due 04/15/2002 262 262
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 11 11
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 995 983
Pacific Southwest Bank
6.060% due 06/15/2002 214 213
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 720 706
Residential Asset Securities Corp.
6.621% due 12/25/2013 (d) 1,487 1,486
Salomon Brothers Mortgage Securities
6.219% due 02/25/2030 (d) 5,572 5,532
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 502 497
----------
19,338
==========
Corporate Bonds & Notes 26.0%
Abbey National Capital Trust I
8.963% due 12/29/2049 $ 1,000 1,022
AES Corp.
10.250% due 07/15/2006 176 172
Associates Corp. of North America
6.210% due 08/27/2001 (d) 2,400 2,399
2.727% due 06/30/2003 (d) EC 800 762
AT&T Capital Corp.
6.310% due 04/23/2002 (d) $ 2,000 2,006
Bancomext Trust Division
8.000% due 08/05/2003 180 178
Beckman Instruments, Inc.
7.100% due 03/04/2003 138 132
Buckeye Technologies, Inc.
8.000% due 10/15/2010 143 131
Building Materials Corp.
7.750% due 07/15/2005 76 67
8.000% due 10/15/2007 76 66
Calpine Corp.
7.875% due 04/01/2008 258 243
Century Communications Corp.
0.000% due 03/15/2003 206 151
CMS Energy
8.125% due 05/15/2002 164 162
CSC Holdings, Inc.
9.875% due 04/01/2023 164 167
DaimlerChrysler Holdings
6.380% due 08/23/2002 (d) 1,540 1,545
DQE Capital Corp.
6.539% due 01/15/2002 (d) 400 400
Echostar Communications Corp.
9.250% due 02/01/2006 164 158
Finova Capital Corp.
6.720% due 11/08/2002 (d) 1,920 1,927
6.480% due 04/08/2003 (d) 1,100 1,101
Flag Ltd.
8.250% due 01/30/2008 164 146
Ford Credit Auto Owner Trust
5.810% due 03/15/2002 2,932 2,922
Ford Motor Credit Co.
1.200% due 02/07/2005 JY 326,000 3,137
Garden State Newspapers
8.750% due 10/01/2009 $ 101 90
General Motors Acceptance Corp.
6.230% due 12/10/2001 (d) 1,900 1,899
9.000% due 10/15/2002 1,140 1,182
6.251% due 04/05/2004 (d) 8,199 8,177
5.500% due 02/02/2005 EC 2,500 2,395
Gold Eagle
11.453% due 04/16/2001 1,500 1,498
Hewlett-Packard Finance
5.625% due 11/20/2000 DM 1,300 639
Hollinger International Publishing
8.625% due 03/15/2005 $ 126 119
Household Finance Corp.
6.473% due 08/06/2002 (d) 850 850
5.125% due 06/24/2009 EC 1,600 1,413
International Game Technology
7.875% due 05/15/2004 $ 1,800 1,688
J.P. Morgan & Co.
6.430% due 02/15/2012 640 573
Jones Intercable, Inc.
8.875% due 04/01/2007 164 171
KBC Bank Fund Trust IV
8.220% due 11/29/2049 EC 400 404
Kroger Co.
7.063% due 10/01/2010 (d) $ 1,200 1,200
Lehman Brothers Holdings, Inc.
6.690% due 04/04/2003 (d) 2,300 2,334
6.700% due 11/30/2006 (d) 543 501
McLeodUSA, Inc.
8.125% due 02/15/2009 280 248
Merrill Lynch & Co.
6.234% due 09/30/2000 (d) 540 540
6.129% due 11/01/2001 (d) 2,970 2,968
MGM Grand, Inc.
6.950% due 02/01/2005 80 74
Morgan Stanley, Dean Witter, Discover and Co.
6.165% due 01/28/2002 (d) 5,100 5,101
Navistar International Corp.
8.000% due 02/01/2008 101 94
Polymer Group, Inc.
9.000% due 07/01/2007 132 116
Protective Life Funding Trust
6.390% due 01/17/2003 (d) 600 600
Rogers Cantel, Inc.
8.300% due 10/01/2007 164 166
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (h) 6,616 6,500
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 1,300 1,296
Silgan Holdings, Inc.
9.000% due 06/01/2009 101 95
Sprint Capital Corp.
5.875% due 05/01/2004 280 265
TCI Communications, Inc.
6.825% due 04/01/2002 (d) 2,700 2,740
Tennessee Valley Authority
3.375% due 01/15/2007 1,214 1,128
2000 Annual Report See accompanying notes 131
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
Texas Utilities Co.
6.791% due 06/25/2001 $ 3,500 $ 3,497
7.105% due 09/24/2001 1,200 1,206
TV Guide, Inc.
8.125% due 03/01/2009 174 172
Unisys Corp.
12.000% due 04/15/2003 214 227
World Color Press, Inc.
8.375% due 11/15/2008 63 63
---------
71,223
=========
Mortgage-Backed Securities 16.8%
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 1,352 1,334
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 1,631 1,604
6.500% due 03/25/2029 60 55
Crusade Global Trust
6.400% due 02/15/2030 (d) 7,000 7,018
Federal Home Loan Mortgage Corp.
6.000% due 03/15/2008 445 437
7.069% due 05/01/2023 (d) 297 308
Federal Housing Administration
7.400% due 02/01/2021 1,374 1,370
Federal National Mortgage Assn.
7.500% due 11/01/2001 80 80
7.500% due 01/01/2002 211 211
6.500% due 04/01/2009 432 418
7.558% due 11/01/2023 (d) 220 227
7.579% due 03/01/2024 (d) 140 144
General Electric Capital Mortgage Services, Inc.
6.250% due 07/25/2029 300 286
Government National Mortgage Assn.
6.000% due 05/22/2030 5,900 5,395
6.750% due 07/20/2022 (d) 146 147
6.750% due 09/20/2022 (d) 194 196
6.750% due 09/20/2022 (d) 88 89
6.375% due 05/20/2023 (d) 348 349
6.375% due 06/20/2023 (d) 275 277
6.750% due 07/20/2023 (d) 187 188
6.750% due 07/20/2023 (d) 129 130
6.750% due 09/20/2023 (d) 617 621
7.125% due 12/20/2023 (d) 363 368
7.125% due 10/20/2024 (d) 99 101
7.125% due 12/20/2025 (d) 119 120
6.750% due 09/20/2026 (d) 225 227
7.125% due 11/20/2026 (d) 390 394
7.125% due 12/20/2026 (d) 485 490
6.618% due 02/16/2030 (d) 5,448 5,458
7.000% due 04/19/2030 6,500 6,298
7.500% due 04/19/2030 8,600 8,523
Independent National Mortgage Corp.
8.432% due 11/25/2024 (d) 13 13
Residential Funding Mortgage Securities, Inc.
8.344% due 03/25/2025 (d) 381 388
Sasco Floating Rate Commercial Mortgage
6.280% due 11/20/2001 (d) 1,455 1,458
Structured Asset Mortgage Investments, Inc.
6.585% due 06/25/2029 (d) 1,405 1,393
---------
46,115
=========
U.S. Government Agencies 3.9%
Federal Home Loan Bank
0.000% due 05/12/2000 (d) 2,400 2,400
Federal National Mortgage Assn
7.250% due 06/20/2002 (i) N$ 6,360 3,142
6.500% due 07/10/2002 (i) A$ 3,400 2,045
5.500% due 12/07/2003 (i) BP 500 765
Student Loan Marketing Assn
5.711% due 04/25/2004 (d) $ 269 269
6.565% due 04/25/2007 (d) 2,090 2,079
---------
10,700
=========
U.S. Treasury Obligations 18.9%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h)(i) 39,982 39,870
U.S. Treasury Bonds
8.125% due 08/15/2021 (i) 8,830 10,855
U.S. Treasury Notes
5.125% due 08/31/2000 (b) 1,070 1,065
---------
51,790
=========
Preferred Security 0.6%
Shares
DG Funding Trust
6.181% due 12/29/2049 70 703
Pinto Totta International Finance
7.770% due 12/29/2049 1,000 895
---------
1,598
---------
Total United States 200,764
(Cost $201,807) =========
-------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.0%
-------------------------------------------------------------------------------
Principal
Amount
(000s)
Eurodollar vs U.S. Dollar (OTC)
Strike @ 1.050 Exp. 07/28/2000 $ 22,170 88
---------
Total Purchased Call Options 88
(Cost $258) =========
-------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.1%
-------------------------------------------------------------------------------
Eurodollar March Futures (CME)
Strike @ 90.75 Exp. 03/19/2001 615 9
Interest Rate Swap (OTC)
Strike @ 7.500% Exp. 04/29/2002 4,900 216
---------
Total Purchased Put Options 225
(Cost $201) =========
-------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 2.9%
-------------------------------------------------------------------------------
Certificates of Deposit 1.5%
Commerzbank AG
6.200% due 05/10/2000 4,150 4,150
---------
Commercial Paper 0.9%
Procter & Gamble Co.
6.080% due 06/02/2000 2,000 1,980
Swedbank, Inc.
5.950% due 06/02/2000 400 396
---------
2,376
=========
Repurchase Agreement 0.5%
State Street Bank
5.600% due 04/03/2000 1,450 1,450
(Dated 03/31/2000. Collateralized by ---------
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $1,482.
Repurchase proceeds are $1,451.)
U.S. Treasury Bills (b) 0.0%
U.S Treasury Bills
5.600% due 04/27/2000 15 15
---------
Total Short-Term Instruments 7,991
(Cost $7,991) =========
Total Investments (a) 132.9% $ 363,973
(Cost $373,188)
Written Options (c) (0.1%) (361)
(Premiums $213)
Other Assets and Liabilities (Net) (32.8%) (89,836)
---------
Net Assets 100.0% $ 273,776
=========
132 PIMCO Funds See accompanying notes
<PAGE>
--------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $373,499 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 2,060
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (11,586)
---------------
Unrealized depreciation-net $ (9,526)
===============
(b) Securities with an aggregate market value of
$1,080 have been segregated with the custodian to
cover margin requirements for the following open
futures contracts at March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Eurodollar March Futures (03/2001) 67 $ (15)
EuroBond 10 Year Note (06/2000) 218 632
Government of Japan 10 Year Note (6/2000) 42 389
U.S. Treasury 10 Year Note (06/2000) 31 (85)
---------------
$ 921
===============
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 7.500% Exp. 04/29/2002 7,000,000 $ 159 $ 262
Put - OTC Eurodollar vs. Japanese Yen
Strike @ 102.00 Exp. 05/01/2000 2,000,000 40 94
Put - OTC Australian Dollar vs U.S. Dollar
Strike @ 0.575 Exp. 06/01/2000 4,150,000 14 5
---------------------------
$ 213 $ 361
===========================
(d) Variable rate security. The rate listed is as of March 31, 2000.
(e) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Buy A$ 7,609 04/2000 $ 27
Sell 7,902 04/2000 32
Buy 2,914 05/2000 (9)
Sell 256 05/2000 1
Sell BP 8,448 04/2000 (136)
Buy 790 05/2000 5
Buy C$ 9360 04/2000 87
Sell 8,170 04/2000 (28)
Buy 8,196 06/2000 34
Sell DK 22,221 04/2000 (1)
Buy EC 76,297 04/2000 (1,085)
Sell 23,348 04/2000 565
Buy 1,840 05/2000 8
Sell GD 58,4263 04/2000 25
Buy H$ 60,117 09/2000 0
Sell 60,117 09/2000 (58)
Buy 28,280 10/2000 2
Sell 28,280 10/2000 (24)
Buy HF 163,000 08/2000 (28)
Buy 592,000 01/2001 (147)
Buy JY 1,564,988 04/2000 390
Sell 144,504 04/2000 (99)
Buy 5,250,332 05/2000 1,289
Sell 633,840 05/2000 (268)
Sell NK 4,297 05/2000 4
Buy N$ 832 04/2000 7
Sell 7,781 04/2000 (32)
Sell 36,501 05/2000 (136)
Buy PZ 770 04/2000 6
Buy 6,795 01/2001 (10)
Buy 4,090 02/2001 31
Buy 3,910 03/2001 5
Sell 770 04/2001 0
Sell SK 29,876 04/2000 (13)
---------------
$ 444
===============
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar
BF - Belgian Franc
BP - British Pound
C$ - Canadian Dollar
DK - Danish Krone
DM - German Mark
EC - Euro
GD - Greek Drachma
H$ - Hong Kong Dollar
HF - Hungarian Forint
IL - Italian Lira
JY - Japanese Yen
N$ - New Zealand Dollar
NK - Norwegian Kron
PZ - Polish Zloty
SK - Swedish Krona
(g) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(h) Principal amount of the security is adjusted for inflation.
(I) Subject to financing transaction.
(j) Restricted security.
(k) Swap agreements outstanding at March 31, 2000.
Notional Unrealized
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 $ (360)
2000 Annual Report See accompanying notes 133
<PAGE>
Schedule of Investments
Global Bond Fund II
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ARGENTINA (e)(f) 0.1%
--------------------------------------------------------------------------------
Republic of Argentina
5.000% due 12/20/2002 JY 10,000 $ 98
----------
Total Argentina 98
(Cost $95) ==========
--------------------------------------------------------------------------------
AUSTRALIA (e)(f) 2.4%
--------------------------------------------------------------------------------
Asian Development Bank
5.250% due 09/15/2004 (j) A$ 600 343
Bankers Trust Australia
6.409% due 06/02/2008 (d) $ 700 680
General Motors Acceptance Corp.
3.967% due 03/25/2002 EC 1,200 1,148
Registered Australian Mortgage Securities
4.017% due 09/26/2032 (d) 200 191
----------
Total Australia 2,362
(Cost $2,421) ==========
--------------------------------------------------------------------------------
BELGIUM (f) 0.2%
--------------------------------------------------------------------------------
Kingdom of Belgium
6.750% due 11/21/2004 (d)(j) BF 5,800 147
----------
Total Belgium 147
(Cost $191) ==========
--------------------------------------------------------------------------------
BRAZIL 0.8%
--------------------------------------------------------------------------------
Government of Brazil
7.000% due 01/01/2001 (d) $ 49 49
6.938% due 04/15/2006 (d) 752 682
----------
Total Brazil 731
(Cost $722) ==========
--------------------------------------------------------------------------------
BULGARIA 0.7%
--------------------------------------------------------------------------------
Republic of Bulgaria
2.750% due 07/28/2012 (d) $ 303 218
7.063% due 07/28/2024 (d) 580 466
----------
Total Bulgaria 684
(Cost $658) ==========
--------------------------------------------------------------------------------
CANADA (e)(f) 2.4%
--------------------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 330 227
Commonwealth of Canada
6.625% due 10/03/2007 N$ 1,810 840
0.000% due 06/01/2008 (j) C$ 1,398 964
Export Development Corp
6.500% due 12/21/2004 N$ 693 327
----------
Total Canada 2,358
(Cost $2,480) ==========
--------------------------------------------------------------------------------
CAYMAN ISLANDS (e)(f) 1.2%
--------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C
5.300% due 09/21/2000 JY 10,000 97
MBNA American
3.589% due 05/19/2004 (d) EC 280 267
Residential Reinsurance
9.761% due 06/01/2000 (d) $ 300 298
Sakura Capital Funding
7.020% due 09/29/2049 (d) 500 482
----------
Total Cayman Islands 1,144
(Cost $1,157) ==========
--------------------------------------------------------------------------------
DENMARK (e)(f) 0.8%
--------------------------------------------------------------------------------
Danske Kredit Mortgage
5.000% due 10/01/2029 DK 2,436 277
Realkredit Danmark Mortgage
5.000% due 10/01/2029 3 0
Unikredit Realkredit
5.000% due 10/01/2029 4,344 493
----------
Total Denmark 770
(Cost $877) ==========
--------------------------------------------------------------------------------
FRANCE (e)(f) 0.6%
--------------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 62 58
Compagnie Financiere de CIC-UE
6.886% due 10/29/2049 (d) $ 300 289
Republic of France
3.000% due 07/25/2009 (g) EC 306 276
----------
Total France 623
(Cost $678) ==========
--------------------------------------------------------------------------------
GERMANY (e)(f) 1.5%
--------------------------------------------------------------------------------
Commerzbank AG
3.865% due 09/21/2001 EC 440 420
Hypothekenbank in Essen AG
4.750% due 08/11/2008 (j) 190 171
Republic of Germany
5.375% due 01/04/2010 (j) 547 529
Treuhandanstalt
7.500% due 09/09/2004 (j) 330 347
----------
Total Germany 1,467
(Cost $1,627) ==========
--------------------------------------------------------------------------------
GREECE (e)(f) 2.3%
--------------------------------------------------------------------------------
CSFP Credit
6.601% due 11/19/2004 (d)(k) $ 1,750 1,766
Hellenic Republic
6.684% due 06/06/2001 (d) 400 407
10.180% due 06/17/2003 (d) GD 7,400 22
10.240% due 10/23/2003 (d) 33,600 100
----------
Total Greece 2,295
(Cost $2,310) ==========
--------------------------------------------------------------------------------
ITALY (e)(f) 2.5%
--------------------------------------------------------------------------------
Island Finance
4.326% due 03/30/2015 (d) EC 400 383
Republic of Italy
6.500% due 11/01/2027 (j) 460 479
5.250% due11/01/2029 (j) 1,790 1,577
----------
Total Italy 2,439
(Cost $2,556) ==========
--------------------------------------------------------------------------------
JAPAN (e)(f) 1.0%
--------------------------------------------------------------------------------
Government of Japan
3.400% due 06/20/2005 (j) JY 28,000 300
4.000% due 06/20/2005 (j) 11,000 121
International Credit Receivable Japan 1 Tranche A
0.478% due 11/22/2004 16,322 159
International Credit Receivable Japan 1 Tranche B
0.578% due 11/22/2004 20,000 195
SHL Corp. Ltd.
0.571% due 12/25/2024 (d) 19,901 194
0.871% due 12/25/2024 (d) 5,000 49
----------
Total Japan 1,018
(Cost $939) ==========
134 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
JORDAN 0.2%
--------------------------------------------------------------------------------
Kingdom of Jordan
5.500% due 12/23/2023 $ 250 $ 171
----------
Total Jordan 171
(Cost $171) ==========
--------------------------------------------------------------------------------
MEXICO (e)(f) 1.3%
--------------------------------------------------------------------------------
Petroleos Mexicanos
8.850% due 09/15/2007 $ 140 136
9.375% due 12/02/2008 190 195
United Mexican States
8.750% due 05/30/2002 BP 250 402
5.000% due 09/30/2002 JY 25,000 252
10.375% due 01/29/2003 DM 200 107
4.000% due 03/11/2004 JY 20,000 200
----------
Total Mexico 1,292
(Cost $1,279) ==========
--------------------------------------------------------------------------------
NETHERLANDS (e)(f) 1.1%
--------------------------------------------------------------------------------
Deutsche Bank Financial
6.235% due 12/17/2003 (d) $ 200 200
KPNQWest BV
7.125% due 06/01/2009 EC 350 329
Tecnost International NV
5.616% due 06/23/2004 (d) 520 510
----------
Total Netherlands 1,039
(Cost $1,118) ==========
--------------------------------------------------------------------------------
NEW ZEALAND (e)(f) 0.9%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
7.000% due 07/15/2009 (j) N$ 500 249
4.500% due 02/15/2016 (j) 584
----------
(Cost $933) 833
==========
--------------------------------------------------------------------------------
PANAMA 0.2%
--------------------------------------------------------------------------------
Republic of Panama
4.250% due 07/17/2014 $ 250 202
----------
Total Panama 202
(Cost $191) ==========
--------------------------------------------------------------------------------
PERU 0.3%
--------------------------------------------------------------------------------
Republic of Peru
4.500% due 03/07/2017 (d) $ 250 168
3.750% due 03/07/2017 250 153
----------
Total Peru 321
(Cost $336) ==========
--------------------------------------------------------------------------------
PHILIPPINES (e)(f) 0.8%
--------------------------------------------------------------------------------
Republic of Philippines
8.000% due 09/17/2004 EC 570 551
6.875% due 12/01/2009 (d) $ 104 98
6.500% due 12/01/2017 120 110
----------
Total Philippines 759
(Cost $804) ==========
--------------------------------------------------------------------------------
POLAND 0.1%
--------------------------------------------------------------------------------
Republic of Poland
3.500% due 10/27/2024 (d) $ 160 99
----------
Total Poland 99
(Cost $99) ==========
--------------------------------------------------------------------------------
PORTUGAL (e)(f) 0.6%
--------------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 (j) EC 650 554
----------
Total Portugal 554
(Cost $604) ==========
--------------------------------------------------------------------------------
SOUTH KOREA (e)(f) 0.9%
--------------------------------------------------------------------------------
Korea Development Bank
3.610% due 05/14/2001 (d) DM 440 $ 212
1.875% due 02/13/2002 JY 42,000 410
Korean Export-Import Bank
7.250% due 06/25/2001 $ 260 259
----------
Total South Korea 881
(Cost $866) ==========
--------------------------------------------------------------------------------
SPAIN (e)(f) 2.1%
--------------------------------------------------------------------------------
Kingdom of Spain
5.150% due 07/30/2009 (j) EC 1,800 1,693
6.000% due 01/31/2029 (j) 307 303
----------
Total Spain 1,996
(Cost $2,200) ==========
--------------------------------------------------------------------------------
SUPRANATIONAL (e)(f) 6.2%
--------------------------------------------------------------------------------
Asian Development Bank
5.375% due 09/15/2003 (j) A$ 600 349
Eurofima
4.750% due 07/07/2004 (j) SK 7,200 792
European Investment Bank
7.000% due 12/08/2003 BP 800 1,280
6.000% due 11/26/2004 (j) 170 264
5.375% due 08/28/2007 NK 500 55
Inter-American Development Bank
7.125% due 11/26/2004 BP 80 129
International Bank for Reconstruction & Development
6.875% due 07/14/2000 200 319
7.000% due 09/18/2000 N$ 500 249
7.250% due 04/09/2001 1,376 683
7.250% due 01/16/2002 2,480 1,224
7.000% due 06/07/2002 BP 100 160
7.250% due 05/27/2003 N$ 890 434
World Bank
10.250% due 04/11/2002 PP 2,000 46
----------
Total Supranational 5,984
(Cost $6,298) ==========
--------------------------------------------------------------------------------
SWEDEN (e)(f) 0.2%
--------------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 900 114
5.000% due 01/15/2004 (j) 700 80
----------
Total Sweden 194
(Cost $211) ==========
--------------------------------------------------------------------------------
TUNISIA (e)(f) 0.1%
--------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 100 97
----------
Total Tunisia 97
(Cost $102) ==========
--------------------------------------------------------------------------------
UNITED KINGDOM (e)(f) 7.3%
--------------------------------------------------------------------------------
Abbey National Treasury Service
7.625% due 12/30/2002 BP 280 451
Bank of Scotland Capital Fund
8.117% due 03/31/2049 (d) 1,060 1,687
Equitable
8.000% due 08/29/2049 700 1,123
Halifax Group Sterling Finance
7.881% due 12/29/2049 (d) 550 902
HAUS Limited
3.850% due 12/10/2037 (d) EC 1,500 1,435
Lloyds TSB Bank plc
5.625% due 07/15/2049 590 529
Royal Bank of Scotland plc
6.770% due 03/31/2049 1,000 956
----------
Total United Kingdom 7,083
(Cost $7,175) ==========
2000 Annual Report See accompanying notes 135
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund II
March 31, 2000
Principal
Amount Value
(000s) (000s)
-----------------------------------------------------------------------------
UNITED STATES (e)(f) 75.0%
-----------------------------------------------------------------------------
Corporate Bonds & Notes 24.0%
AES Corp.
10.250% due 07/15/2006 $ 20 $ 20
Associates Corp. of North America
6.210% due 08/27/2001 (d) 400 400
Bancomext Trust Division
8.000% due 08/05/2003 70 69
Beckman Instruments, Inc.
7.100% due 03/04/2003 22 21
Buckeye Technologies, Inc.
8.000% due 10/15/2010 20 18
Building Materials Corp.
7.750% due 07/15/2005 12 11
8.000% due 10/15/2007 12 10
Calpine Corp.
7.875% due 04/01/2008 26 24
Capital One Bank
6.750% due 07/28/2003 (d) 500 500
Century Communications Corp.
0.000% due 03/15/2003 26 19
CMS Energy
8.125% due 05/15/2002 26 26
CSC Holdings, Inc.
9.875% due 04/01/2023 26 27
DaimlerChrysler Holdings
6.380% due 08/23/2002 (d) 870 873
Echostar Communications Corp.
9.250% due 02/01/2006 26 25
Enron Corp.
6.577% due 09/10/2001 (d) 1,000 1,001
Finova Capital Corp.
6.720% due 11/08/2002 (d) 1,250 1,255
6.480% due 04/08/2003 (d) 700 700
Flag Ltd.
8.250% due 01/30/2008 26 23
Ford Motor Credit Co.
1.200% due 02/07/2005 JY 98,000 943
Garden State Newspapers
8.750% due 10/01/2009 $ 16 14
General Motors Acceptance Corp.
6.299% due 11/12/2002 (d) 1,000 1,001
6.251% due 04/05/2004 (d) 2,160 2,154
6.875% due 09/09/2004 BP 1,680 2,665
Gold Eagle
11.453% due 04/16/2001 500 499
Goldman Sachs Group
6.470% due 01/08/2001 (d) 300 301
Hewlett-Packard Finance
5.625% due 11/20/2000 DM 100 49
Hollinger International Publishing
8.625% due 03/15/2005 $ 49 46
Household Finance Corp.
6.473% due 08/06/2002 (d) 230 230
J.P. Morgan & Co.
6.430% due 02/15/2012 100 89
Jones Intercable, Inc.
8.875% due 04/01/2007 26 27
Kroger Co.
7.063% due 10/01/2010 (d) 200 200
Lehman Brothers Holdings, Inc.
6.840% due 07/15/2002 (d) 400 402
McLeodUSA, Inc.
8.125% due 02/15/2009 26 23
Merrill Lynch & Co.
6.129% due 11/01/2001 (d) 510 510
MGM Grand, Inc.
6.950% due 02/01/2005 10 9
Morgan Stanley, Dean Witter, Discover and Co.
6.165% due 01/28/2002 (d) 800 800
6.290% due 04/22/2004 (d) 900 899
Navistar International Corp.
8.000% due 02/01/2008 16 15
Polymer Group, Inc.
9.000% due 07/01/2007 16 14
Prudential Funding Corp.
6.126% due 12/21/2000 (d) 500 500
Rogers Cantel, Inc.
8.300% due 10/01/2007 26 26
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (g) 1,968 1,933
6.393% due 10/21/2002 (d) BP 200 318
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 $ 200 199
Silgan Holdings, Inc.
9.000% due 06/01/2009 16 15
Sprint Capital Corp.
5.875% due 05/01/2004 50 47
TCI Communications, Inc.
6.825% due 04/01/2002 (d) 300 304
Tennessee Valley Authority
3.375% due 01/15/2007 (g) 181 168
Texas Utilities Co.
6.791% due 06/25/2001 200 200
7.105% due 09/24/2001 200 201
TV Guide, Inc.
8.125% due 03/01/2009 16 16
U.S. Bancorp
6.279% due 02/03/2003 (d) 1,700 1,700
Unisys Corp.
12.000% due 04/15/2003 26 28
Williams Communications Group, Inc.
6.540% due 11/15/2001 1,700 1,700
World Color Press, Inc.
8.375% due 11/15/2008 10 10
----------
23,277
==========
Mortgage-Backed Securities 26.1%
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 629 621
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 371 365
6.500% due 03/25/2029 10 9
Crusade Global Trust
6.400% due 02/15/2030 (d) 1,540 1,544
Federal National Mortgage Assn
7.000% due 02/25/2020 130 129
Government National Mortgage Assn
7.125% due 11/20/2021 (d) 44 45
6.750% due 07/20/2022 (d) 701 706
6.750% due 09/20/2023 (d) 432 434
6.750% due 07/20/2025 (d) 388 389
6.750% due 09/20/2025 (d) 44 45
7.125% due 12/20/2025 (d) 24 24
6.750% due 09/20/2026 (d) 28 28
7.125% due 11/20/2026 (d) 761 769
7.125% due 11/20/2026 (d) 347 351
7.125% due 12/20/2026 (d) 69 70
6.618% due 02/16/2030 (d) 1,557 1,560
6.668% due 02/16/2030 (d) 1,575 1,579
6.000% due 05/22/2030 3,600 3,292
7.000% due 04/19/2030-05/24/2030 (d)(h) 4,100 4,039
7.500% due 04/19/2030 2,900 2,874
Medallion Trust
6.471% due 03/17/2031 (d) 1,000 1,000
Puma Finance Limited
6.418% due 04/15/2031 400 399
Residential Funding Mortgage Securities, Inc.
6.560% due 05/12/2032 (d) 2,700 2,698
Sasco Floating Rate Commercial Mortgage
6.280% due 11/20/2001 (d) 599 600
Structured Asset Mortgage Investments, Inc.
6.585% due 06/25/2029 (d) 224 223
Structured Asset Securities Corp.
6.550% due 02/25/2030 (d) 1,554 1,543
----------
25,336
==========
136 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
Asset-Backed Securities 5.3%
AFC Home Equity Loan Trust
6.189% due 12/22/2027 (d) $ 446 $ 446
Amresco Residential Securities Mortgage Loan Trust
6.595% due 06/25/2029 (d) 560 562
Banc One Auto Grantor Trust
6.270% due 11/20/2003 21 21
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 22 22
Contimortgage Home Equity Loan Trust
6.010% due 12/25/2013 691 686
Daimler-Benz Vehicle Trust
5.230% due 12/20/2001 56 56
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 13 13
EQCC Home Equity Loan Trust
5.770% due 03/20/2029 387 385
First Security Auto Owner Trust
5.311% due 04/15/2002 629 629
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 2 2
MBNA Master Credit Card Trust
6.050% due 11/15/2002 360 360
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 87 86
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 110 108
Residential Asset Securities Corp.
6.621% due 12/25/2013 (d) 464 463
Salomon Brothers Mortgage Securities
6.305% due 11/15/2029 (d) 190 190
United Panama Mortgage Loan Asset Backed
6.329% due 10/25/2029 (d) 923 922
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 247 245
---------
5,196
=========
New York Municipal Bonds & Notes 0.3%
Long Island Power Authority New York Electric System,
(FSA Insured), Series 1998, 5.125% due 12/01/2022 300 272
---------
U.S. Government Agencies 4.6%
Federal Home Loan Bank
0.000% due 05/12/2000 (d) 1,600 1,600
Federal National Mortgage Assn
7.250% due 06/20/2002 (j) N$ 640 317
6.500% due 07/10/2002 (j) A$ 200 120
Student Loan Marketing Assn
6.565% due 04/25/2007 (d) $ 1,560 1,553
6.019% due 10/25/2007 (d) 900 895
---------
4,485
=========
U.S. Treasury Obligations 14.0%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (g)(j) 12,450 12,415
U.S. Treasury Bonds
8.125% due 08/15/2021 600 738
U.S. Treasury Notes
5.125% due 08/31/2000 (b) 405 403
---------
13,556
=========
Preferred Security 0.7%
Shares
DG Funding Trust
618.125% due 12/29/2049 70 703
---------
Total United States 72,825
(Cost $72,869) =========
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.0%
--------------------------------------------------------------------------------
U.S. Dollar vs. Eurodollar (OTC)
Strike @ 1.050 Exp. 07/28/2000 $ 2,300 $ 9
2,300 9
2,350 9
---------
Total Purchased Call Options 27
(Cost $81) =========
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.1%
--------------------------------------------------------------------------------
Interest Rate Swap (OTC)
Strike @ 7.500% Exp. 04/29/2002 700 31
U.S. Treasury Note (OTC) 5.625% due 05/05/2008
Strike @ 105.531 Exp. 04/05/2000 1,100 103
---------
Total Purchased Put Options 134
(Cost $158) =========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 5.4%
--------------------------------------------------------------------------------
Certificates of Deposit 0.7%
Commerzbank AG
6.200% due 05/10/2000 680 680
---------
Commercial Paper 3.6%
KFW International Finance
5.910% due 06/05/2000 3,500 3,464
---------
Repurchase Agreement 1.0%
State Street Bank
5.600% due 04/03/2000 933 933
(Dated 03/31/2000. Collateralized by ---------
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $955
Repurchase proceeds are $933.)
U.S. Treasury Bills (b) 0.1%
U.S Treasury Bills
5.680% due 04/27/2000 50 50
---------
Total Short-Term Instruments 5,127
(Cost $5,127) =========
Total Investments (a) 119.3% $ 115,754
(Cost $117,333)
Written Options (c) (0.1%) (70)
(Premiums $40)
Other Assets and Liabilities (Net) (19.2%) (18,635)
---------
Net Assets 100.0% $ 97,049
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $117,398 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 445
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (2,089)
---------
Unrealized depreciation-net $ (1,644)
---------
2000 Annual Report See accompanying notes 137
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund II
March 31, 2000
(b) Securities with an aggregate market value of
$453 have been segregated with the custodian to
cover margin requirements for the following open
futures contracts at March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
-------------------------------------------------------------------------------
EuroBond 10 Year Note (06/2000) 95 $ 240
Government of Japan 10 Year Note (06/2000) 15 60
Eurodollar March Futures (03/2001) 24 (5)
U.S. Treasury 10 Year Note (06/2000) 66 176
U.S. Treasury 30 Year Note (06/2000) 13 43
Euribor Futures (09/2000) 5 0
---------
$ 514
=========
(c) Premiums received on written options:
# of
Type Contracts Premium Value
-------------------------------------------------------------------------------
Put - OTC Eurodollar vs. Japanese Yen
Strike @ 102.00 Exp. 05/01/2000 650,000 $ 13 $ 31
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 7.500% Exp. 04/29/2002 1,000,000 23 37
Put - OTC Australia Dollar vs. U.S. Dollar
Strike @ 0.575 Exp. 06/01/2000 1,250,000 4 2
---------------------
$ 40 $ 70
=====================
(d) Variable rate security. The rate listed is as of March 31, 2000.
(e) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
-------------------------------------------------------------------------------
Buy A$ 1,250 04/2000 $ 1
Sell 1,860 04/2000 7
Buy 860 05/2000 (2)
Sell 350 05/2000 (1)
Sell BP 6,088 04/2000 (95)
Buy C$ 2,880 04/2000 27
Sell 2,910 04/2000 (10)
Sell 329 06/2000 (1)
Sell DK 6,524 04/2000 7
Buy EC 2,347 04/2000 (9)
Sell 11,339 04/2000 278
Sell GD 50,518 04/2000 2
Buy H$ 8,953 09/2000 0
Sell 8,953 09/2000 (9)
Buy 3,810 10/2000 0
Sell 3,810 10/2000 (3)
Buy HF 197,000 01/2000 (49)
Buy 32,000 08/2000 (5)
Buy JY 299,058 04/2000 102
Sell 189,523 04/2000 (78)
Sell 412,068 05/2000 (122)
Sell N$ 7,471 04/2000 (37)
Sell 1,536 05/2000 1
Buy PZ 130 04/2000 1
Sell 130 04/2000 0
Buy 1,067 01/2001 (2)
Buy 2,780 02/2001 12
Buy 610 03/2001 1
Sell SK 8,704 04/2000 (2)
------------
$ 14
============
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar
BP - British Pound
BF - Belgian Franc
C$ - Canadian Dollar
DK - Danish Krone
DM - German Mark
EC - Euro
GD - Greek Drachma
H$ - Hong Kong Dollar
HF - Hungarian Forint
JY - Japanese Yen
NK - Norwegian Kron
N$ - New Zealand Dollar
PP - Philippine Peso
PZ - Polish Zloty
SK - Swedish Krona
(g) Prinicpal amount of the security is adjusted for inflation.
(h) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(i) Swap agreements outstanding at March 31, 2000:
Notional Unrealized
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 $ (84)
(j) Subject to a financing transaction.
(k) Restricted security.
138 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Emerging Markets Bond Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ARGENTINA 5.5%
--------------------------------------------------------------------------------
Republic of Argentina
6.813% due 03/31/2005 (d) $ 1,040 $ 975
6.875% due 03/31/2023 (d) 650 548
---------
Total Argentina 1,523
(Cost $1,533) =========
--------------------------------------------------------------------------------
BRAZIL 23.9%
--------------------------------------------------------------------------------
Government of Brazil
6.938% due 04/15/2006 (d) $ 3,149 2,858
8.000% due 04/15/2014 4,634 3,470
6.938% due 04/15/2024 400 320
---------
Total Brazil 6,648
(Cost $5,990) =========
--------------------------------------------------------------------------------
BULGARIA 4.5%
--------------------------------------------------------------------------------
Republic of Bulgaria
7.063% due 07/28/2011 (d) $ 250 198
7.063% due 07/28/2024 (d) 1,310 1,052
---------
Total Bulgaria 1,250
(Cost $1,167) =========
--------------------------------------------------------------------------------
COLOMBIA 2.1%
--------------------------------------------------------------------------------
Republic of Colombia
8.700% due 02/15/2016 $ 130 97
11.750% due 02/25/2020 500 488
---------
Total Colombia 585
(Cost $588) =========
--------------------------------------------------------------------------------
CROATIA 1.4%
--------------------------------------------------------------------------------
Republic of Croatia
7.063% due 07/31/2006 (d) $ 423 401
---------
Total Croatia 401
(Cost $403) =========
--------------------------------------------------------------------------------
JORDAN 4.1%
--------------------------------------------------------------------------------
Kingdom of Jordan
5.500% due 12/23/2023 $ 1,650 1,128
---------
Total Jordan 1,128
(Cost $1,114) =========
--------------------------------------------------------------------------------
MEXICO 17.3%
--------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 $ 300 286
Grupo Televisa SA
13.250% due 05/15/2008 (d) 1,025 1,012
Petroleos Mexicanos
9.500% due 09/15/2027 1,100 1,136
United Mexican States
0.000% due 06/30/2003 617 0
10.375% due 02/17/2009 200 216
6.250% due 12/31/2019 1,800 1,536
11.500% due 05/15/2026 500 618
---------
Total Mexico 4,804
(Cost $4,620) =========
--------------------------------------------------------------------------------
MOROCCO 1.5%
--------------------------------------------------------------------------------
Republic of Morocco
6.938% due 01/01/2009 $ 465 412
---------
Total Morocco 412
(Cost $412) =========
--------------------------------------------------------------------------------
NIGERIA 0.0%
--------------------------------------------------------------------------------
Central Bank of Nigeria Warrants
0.000% due 11/15/2020 $ 0 0
---------
Total Nigeria 0
(Cost $0) =========
--------------------------------------------------------------------------------
PANAMA 3.4%
--------------------------------------------------------------------------------
Republic of Panama
4.250% due 07/17/2014 $ 500 $ 404
8.875% due 09/30/2027 335 295
9.375% due 04/01/2029 250 239
---------
Total Panama 938
(Cost $927) =========
--------------------------------------------------------------------------------
PERU 6.4%
--------------------------------------------------------------------------------
Republic of Peru
3.750% due 03/07/2017 $ 200 124
4.500% due 03/07/2017 (d) 2,510 1,672
---------
Total Peru 1,796
(Cost $1,872) =========
--------------------------------------------------------------------------------
PHILIPPINES 1.2%
--------------------------------------------------------------------------------
Republic of Philippines
6.875% due 12/01/2007 $ 71 65
9.875% due 01/15/2019 285 258
---------
Total Philippines 323
(Cost $342) =========
--------------------------------------------------------------------------------
POLAND 3.0%
--------------------------------------------------------------------------------
Republic of Poland
3.500% due 10/27/2024 (d) $ 1,375 853
---------
Total Poland 853
(Cost $852) =========
--------------------------------------------------------------------------------
RUSSIA 6.3%
--------------------------------------------------------------------------------
Russian Federation
9.250% due 11/27/2001 $ 100 92
8.750% due 07/24/2005 700 525
6.058% due 12/15/2015 (d) 505 147
12.750% due 06/24/2028 50 43
Russian Reconstruction Loan
6.906% due 12/15/2020 (d) 3,300 952
---------
Total Russia 1,759
(Cost $1,151) =========
--------------------------------------------------------------------------------
SOUTH KOREA 3.8%
--------------------------------------------------------------------------------
Korea Development Bank
9.450% due 03/15/2001 $ 125 127
7.125% due 04/22/2004 250 240
Korean Export-Import Bank
7.100% due 03/15/2007 50 49
Republic of Korea
8.750% due 04/15/2003 200 204
8.875% due 04/15/2008 425 441
---------
Total South Korea 1,061
(Cost $1,060) =========
--------------------------------------------------------------------------------
TUNISIA 1.1%
--------------------------------------------------------------------------------
Banque Centrale De Tunisie
8.250% due 09/19/2027 $ 350 316
---------
Total Tunisia 316
(Cost $297) =========
--------------------------------------------------------------------------------
TURKEY 0.7%
--------------------------------------------------------------------------------
Export Credit Bank of Turkey
8.385% due 08/18/2000 $ 100 100
11.500% due 02/25/2005 100 100
---------
Total Turkey 200
(Cost $199) =========
2000 Annual Report See accompanying notes 139
<PAGE>
Schedule of Investments (Cont.)
Emerging Markets Bond Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
VENEZUELA 6.7%
-------------------------------------------------------------------------------
Republic of Venezuela
7.000% due 12/18/2007 (d) $ 1,143 $ 919
6.750% due 03/31/2020 1,100 790
0.000% due 04/15/2020 6 0
9.250% due 09/15/2027 250 165
---------
Total Venezuela 1,874
(Cost $1,890) =========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 5.1%
--------------------------------------------------------------------------------
Commercial Paper 4.6%
E.I. Du Pont de Nemours
6.030% due 06/08/2000 400 394
General Motors Acceptance Corp.
6.040% due 05/03/2000 500 497
Monsanto Co.
6.060% due 06/01/2000 300 297
USAA Capital Corp.
6.030% due 05/15/2000 100 99
---------
1,287
Repurchase Agreement 0.5% =========
State Street Bank
5.600% due 04/03/2000 123 123
(Dated 03/31/2000. Collateralized by
Federal National Mortgage Association
0.000% due 08/01/2000 valued at $127.
Repurchase proceeds are $123.)
---------
Total Short-Term Instruments 1,410
(Cost $1,412) =========
Total Investments (a) 98.3% $ 27,281
(Cost $25,829)
Other Assets and Liabilities (Net) 1.7% 566
---------
Net Assets 100.0% $ 27,847
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $25,997 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 1,703
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (419)
---------
Unrealized appreciation-net $ 1,284
=========
(b) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Buy EC 419 04/2000 $ (3)
Sell 93 04/2000 10
Buy 263 08/2000 (18)
Buy HF 30,000 04/2000 (3)
Buy 25,000 08/2000 (3)
Buy 125,000 09/2000 (20)
Buy 35,000 11/2000 (5)
Buy PN 250 12/2000 3
Buy 200 01/2001 2
Buy PZ 2,750 02/2001 21
Sell 1,000 04/2000 2
------------
$ (14)
============
(c) Principal amount denoted in indicated currency:
EC - Euro
HF - Hugarian Forint
PN - Peruvian New Sol
PZ - Polish Zloty
(d) Variable rate security. The rate listed is as of March 31, 2000.
140 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Strategic Balanced Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 40.6%
--------------------------------------------------------------------------------
Banking & Finance 18.1%
Abbey National Capital Trust I
8.963% due 12/29/2049 $ 800 $ 817
AT&T Capital Corp.
7.000% due 08/15/2001 300 299
Bank of America Corp.
6.625% due 06/15/2004 1,000 972
Bank of Tokyo - Mitsubishi
8.400% due 04/15/2010 200 203
Bear Stearns Co., Inc.
6.125% due 02/01/2003 1,100 1,058
Caithness Coso Fund Corp.
6.800% due 12/15/2001 1,042 1,031
Caterpillar Financial Service Corp.
6.875% due 08/01/2004 1,000 975
Countrywide Home Loans
6.850% due 06/15/2004 1,000 972
First Security Corp.
7.701% due 06/01/2005 (d) 3,000 3,000
Ford Motor Credit Corp.
6.300% due 07/16/2002 (d) 300 301
6.190% due 10/15/2002 (d) 1,000 1,000
6.320% due 12/16/2002 (d) 200 200
6.330% due 03/17/2003 (d) 500 500
5.750% due 02/23/2004 1,000 943
General Motors Acceptance Corp.
6.190% due 08/18/2003 (d) 1,000 995
6.850% due 06/17/2004 1,000 975
Hyatt Equities LLC
6.800% due 05/15/2000 2,695 2,692
Lehman Brothers Holdings, Inc.
6.421% due 06/03/2002 (d) 600 596
6.840% due 07/15/2002 (d) 305 307
6.690% due 04/04/2003 (d) 800 812
Merrill Lynch & Co.
6.573% due 03/17/2004 (d) 100 99
Nacional Financiera
9.549% due 12/01/2000 (d) 500 498
NationsBank Corp.
7.033% due 02/18/2002 (d) 100 97
New England Educational Loan Marketing
6.310% due 06/11/2001 (d) 2,000 1,999
Popular, Inc.
6.400% due 08/25/2000 2,000 1,995
Republic New York Corp.
5.279% due 10/28/2002 (d) 100 99
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (h) 1,146 1,126
6.224% due 04/02/2002 (d) 200 200
Wells Fargo & Co.
6.625% due 07/15/2004 1,000 977
Westdeutsche Landesbank
6.050% due 01/15/2009 2,500 2,237
--------
27,975
Industrials 13.8% ========
AMR Corp.
10.000% due 02/01/2001 400 407
9.430% due 05/10/2001 1,000 1,017
Conagra, Inc.
6.340% due 06/12/2000 (d) 2,000 1,999
DaimlerChrysler Holdings
6.900% due 09/01/2004 1,000 981
DTE Capital Corp.
8.350% due 11/15/2038 (d) 1,000 963
El Paso Energy Corp.
6.690% due 07/15/2001 (d) 200 200
Grupo Televisa SA
13.250% due 05/15/2008 1,250 1,234
Lockheed Martin Corp.
6.850% due 05/15/2001 2,000 1,974
Norfolk Southern Corp.
6.700% due 05/01/2000 100 100
Occidental Petroleum
6.704% due 04/03/2000 600 600
Petroleos Mexicanos
8.402% due 07/15/2005 (d) 6,000 5,926
Reliant Energy, Inc.
6.375% due 11/01/2003 1,000 963
Royal Bank of Scotland plc
6.770% due 03/31/2049 EC 600 574
Tyco International Group SA
6.819% due 03/05/2001 (d) $ 300 300
Waste Management, Inc.
6.000% due 05/15/2001 1,500 1,442
Williams Communications Group, Inc.
6.540% due 11/15/2001 200 200
Williams Holdings, Inc.
6.680% due 06/13/2000 2,500 2,498
--------
21,378
Utilities 8.7% ========
Arizona Public Service
5.750% due 09/15/2000 2,000 1,987
Central Power & Light Co.
6.710% due 11/23/2001 (d) 2,000 2,001
Cleveland Electric/Toledo Edison
7.190% due 07/01/2000 500 499
Dominion Resources, Inc.
6.195% due 01/26/2001 (d) 500 497
Entergy Arkansas, Inc.
7.720% due 03/01/2003 200 199
New Century Energies, Inc.
5.860% due 05/30/2000 1,000 998
Sierra Pacific Resources
6.830% due 10/06/2000 (d) 4,000 3,998
Sprint Capital Corp.
6.386% due 11/15/2001 (d) 1,700 1,701
System Energy Resources
7.710% due 08/01/2001 650 650
Texas Utilities Co.
6.410% due 11/21/2001 1,000 985
--------
13,515
--------
Total Corporate Bonds & Notes 62,868
(Cost $63,361) ========
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.6%
--------------------------------------------------------------------------------
Student Loan Marketing Assn.
5.129% due 06/30/2000 (d) 900 900
5.711% due 04/25/2004 (d) 158 158
6.635% due 07/25/2006 (d) 2,024 2,018
6.595% due 01/25/2007 (d) 532 532
6.565% due 04/25/2007 (d) 418 416
--------
Total U.S. Government Agencies 4,024
(Cost $4,024) ========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 12.9%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (h)
3.625% due 07/15/2002 (i) 6,320 6,302
3.375% due 01/15/2007 3,194 3,075
3.625% due 01/15/2008 209 203
U.S. Treasury Bonds
10.625% due 08/15/2015 200 286
8.875% due 08/15/2017 3,000 3,838
8.750% due 08/15/2020 800 1,035
8.000% due 11/15/2021 (i) 500 609
6.250% due 05/15/2030 2,300 2,434
U.S. Treasury Notes
5.500% due 05/31/2000 (b) 2,035 2,034
5.125% due 08/31/2000 100 100
U.S. Treasury Strips
0.000% due 05/15/2020 300 90
0.000% due 11/15/2021 100 28
--------
Total U.S. Treasury Obligations 20,034
(Cost $19,582) ========
2000 Annual Report See accompanying notes 141
<PAGE>
Schedule of Investments (Cont.)
Strategic Balanced Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 24.3%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 10.2%
Countrywide Home Loans
6.050% due 04/25/2029 $ 289 $ 283
Federal Home Loan Mortgage Corp.
5.876% due 05/18/2000 (d) 1,000 1,000
5.500% due 07/15/2005 32 32
10.150% due 04/15/2006 6 6
7.000% due 05/15/2023 1,763 1,626
6.500% due 08/15/2023 187 175
6.500% due 03/15/2024 307 276
Federal National Mortgage Assn.
6.740% due 08/25/2007 145 141
5.700% due 06/25/2017 1,044 1,033
9.500% due 06/25/2018 210 221
4.000% due 01/25/2022 126 109
5.000% due 04/25/2022 48 42
7.000% due 06/25/2023 272 259
6.500% due 12/25/2023 148 131
First Plus Home Loan Trust
6.060% due 09/10/2011 823 821
General Electric Capital Mortgage Services, Inc.
6.250% due 12/25/2028 1,481 1,326
GMAC Commercial Mortgage Securities, Inc.
6.150% due 11/15/2007 274 260
Greenwich
7.272% due 04/25/2022 (d) 314 313
Housing Securities, Inc.
5.864% due 07/25/2032 (d) 738 738
Independent National Mortgage Corp.
7.218% due 11/25/2024 (d) 114 115
8.432% due 11/25/2024 (d) 52 53
8.350% due 06/25/2025 215 215
Morgan Stanley Capital
6.590% due 10/03/2030 928 903
Norwest Asset Securities Corp.
6.500% due 02/25/2029 2,000 1,826
6.750% due 08/25/2029 437 429
PNC Mortgage Securities Corp.
6.625% due 03/25/2028 320 311
6.500% due 11/25/2029 999 910
Prudential Securities Secured Financing Corp.
6.955% due 06/15/2008 965 944
Resecuritization Mortgage Trust
6.069% due 04/26/2021 (d) 447 435
Resolution Trust Corp.
8.000% due 06/25/2026 831 828
Structured Asset Securities Corp.
6.295% due 12/25/2000 (d) 96 96
---------
15,857
=========
Federal Home Loan Mortgage Corp. 0.2%
8.500% due 03/01/2023 258 264
---------
Federal Housing Administration 2.5%
6.000% due 03/20/2028 1,833 1,670
6.930% due 07/01/2014 (d) 533 474
7.430% due 01/01/2023 1,723 1,682
---------
3,826
=========
Federal National Mortgage Assn. 0.7%
6.130% due 03/01/2029 (d) 350 341
6.500% due 09/01/2005 249 244
7.472% due 12/01/2023 (d) 167 171
8.500% due 07/01/2002-01/01/2008 (g) 283 289
---------
1,045
=========
Government National Mortgage Assn. 10.2%
6.000% due 04/19/2030 4,000 3,660
6.375% due 04/20/2023-06/20/2027 (d)(g) 1,393 1,400
6.500% due 01/15/2024-04/19/2030 (d)(g) 1,837 1,736
6.750% due 07/20/2023-08/20/2026 (d)(g) 616 621
6.875% due 01/15/2001-02/01/2040 (g) 1,000 963
7.000% due 01/20/2027-04/19/2030 (d)(g) 1,432 1,388
7.250% due 08/24/2024 (d) 286 287
7.500% due 05/15/2017-04/19/2030 (g) 4,705 4,655
8.000% due 09/15/2006-04/19/2030 (g) 835 844
9.500% due 09/15/2009-10/15/2009 (g) 69 70
10.750% due 09/15/2000-10/15/2000 (g) 13 13
16.000% due 10/15/2011-04/15/2012 (g) 148 172
---------
15,809
=========
Mortgage-Backed Securities 0.1%
CS First Boston Mortgage Securities
6.960% due 01/20/2004 204 202
---------
Other Mortgage-Backed Securities 0.3%
Home Savings of America
5.722% due 05/25/2027 (d) 549 521
---------
Stripped Mortgage-Backed Securities 0.1%
Collateralized Mortgage Obligation Trust (PO)
0.000% due 04/23/2017 13 13
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2016 236 4
7.000% due 02/15/2017 49 0
Federal National Mortgage Assn. (IO)
6.500% due 05/25/2005 780 88
6.500% due 09/25/2008 314 26
---------
131
---------
Total Mortgage-Backed Securities 37,655
(Cost $38,519) =========
--------------------------------------------------------------------------------
ASSSET-BACKED SECURITIES 4.2%
--------------------------------------------------------------------------------
Amresco Residential Securities Mortgage Loan Trust
6.315% due 07/25/2027 (d) 534 533
Arcadia Automobile Receivables Trust
6.500% due 06/17/2002 297 298
Contimortgage Home Equity Loan Trust
6.174% due 10/15/2012 (d) 244 244
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 63 62
Green Tree Financial Corp.
7.860% due 04/01/2031 400 409
Money Store Home Equity Trust
6.550% due 09/15/2021 1,062 1,056
NPF XII, Inc.
6.588% due 11/01/2003 (d) 1,000 1,000
Saxon Asset Securities Trust
6.355% due 05/25/2029 (d) 2,272 2,267
WMC Mortgage Loan
6.090% due 03/20/2028 (d) 670 669
---------
Total Asset-Backed Securities 6,538
(Cost $6,543) =========
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 1.8%
--------------------------------------------------------------------------------
Government of Brazil
7.000% due 01/01/2001 (d) 1,107 1,103
Hydro Quebec
6.500% due 09/29/2049 (d) 200 173
Republic of Korea
8.281% due 04/08/2000 (d) 549 551
United Mexican States
7.493% due 06/27/2002 (d) 1,000 1,004
---------
Total Sovereign Issues 2,831
(Cost $2,811) =========
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(e) 5.7%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
10.000% due 03/15/2002 (i) N$ 300 157
5.500% due 04/15/2003 (i) 500 238
International Bank for Reconstruction & Development
0.000% due 05/27/2003 (i) 100 49
Tecnost International NV
5.616% due 06/23/2004 (d) EC 8,600 8,442
---------
Total Foreign Currency-Denominated Issues 8,886
(Cost $9,559) =========
142 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
------------------------------------------------------------------------------
Eurodollar June Futures (CME)
Strike @ 92.000 Exp. 06/19/2000 $ 188 $ 1
S&P 500 Index June Futures
Strike @ 1,540.000 Exp. 06/16/2000 25 3
----------
Total Purchased Put Options 4
(Cost $3) ==========
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 1.3%
--------------------------------------------------------------------------------
Industrial 1.3%
Hercules Trust VI
8.625% due 12/29/2000 (d) 2,000 1,999
----------
Total Convertible Bonds and Notes 1,999
(Cost $2,000) ==========
------------------------------------------------------------------------------
PREFERRED SECURITY 0.7%
------------------------------------------------------------------------------
Shares
DG Funding Trust
6.181% due 12/29/2049 110 1,104
----------
Total Preferred Security 1,104
(Cost $1,100) ==========
------------------------------------------------------------------------------
COMMON STOCKS 0.9%
------------------------------------------------------------------------------
Utilities 0.9%
Eastern Enterprises 100,000 6
Florida Progress Corp. 7,800 358
LG&E Energy Corp. 600 14
MCN Energy Group, Inc. 28,700 718
Northeast Utilities 16,500 355
----------
Total Common Stocks 1,451
(Cost $1,429) ==========
------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 15.2%
------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 11.4%
Alcoa, Inc.
5.920% due 05/12/2000 $ 800 795
Conoco, Inc.
5.860% due 04/05/2000 1,400 1,399
E.I. Du Pont de Nemours
6.030% due 06/08/2000 100 100
Federal Home Loan Mortgage Corp.
5.970% due 05/02/2000 1,000 995
General Electric Capital Corp.
5.930% due 05/19/2000 1,200 1,191
5.950% due 05/19/2000 1,600 1,588
6.060% due 06/07/2000 1,000 989
Merck & Co.
5.970% due 04/24/2000 4,000 3,987
Monsanto Co.
6.070% due 06/14/2000 800 790
Reseau Ferre De France
6.030% due 05/30/2000 800 792
Southwestern Public Service
6.030% due 05/05/2000 3,400 3,382
Xerox Credit Corp.
6.110% due 06/12/2000 1,700 1,680
----------
17,688
==========
Repurchase Agreement 1.9%
State Street Bank
5.600% due 04/03/2000 2,844 2,844
(Dated 03/31/2000. Collateralized by Federal Home ----------
Loan Bank 6.000% due 08/15/2002 valued at $2,906.
Repurchase proceeds are $2,845.)
U.S. Treasury Bills 1.9%
5.426% due 04/27/2000-05/25/2000 (b)(g) 2,976 2,952
----------
Total Short-Term Instruments 23,484
(Cost $23,484) ==========
Total Investments (a) 110.2% $ 170,878
(Cost $172,415)
Written Options (c) (0.7%) (1,022)
(Premiums $692)
Other Assets and Liabilities (Net) (9.5%) (14,858)
----------
Net Assets 100.0% $ 154,998
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $172,420 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. (2,375)
----------
Unrealized depreciation-net $ (1,542)
==========
(b) Securities with an aggregate market value of $4,986
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
-------------------------------------------------------------------------------
Eurodollar March Futures (03/2001) 22 $ (7)
EuroBond 10 Year Note (06/2000) 70 (98)
S&P 500 Index (06/2000) 234 6,837
U.S. Treasury 10 Year Note (06/2000) 30 75
U.S. Treasury 5 Year Note 9 12
U.S. Treasury 30 Year Note (06/2000) 15 (51)
Municipal Bond (06/2000) 50 41
----------
$ 6,809
==========
(c) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
-------------------------------------------------------------------------------
Buy EC 630 04/2000 $ (4)
Sell 7,961 04/2000 65
Buy HF 300,000 09/2000 (23)
----------
$ 38
==========
(d) Variable rate security. The rate listed is as of March 31, 2000
(e) Principal amount denoted in indicated currency:
EC - Euro
HF - Hungarian Forint
N$ - New Zealand Dollar
2000 Annual Report See accompanying notes 143
<PAGE>
Schedule of Investments (Cont.)
Strategic Balanced Fund
March 31, 2000
------------------------------------------------------------------------------
(f) Premiums received on written options:
# of
Type Contracts Premium Value
------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 98.00 Exp. 05/20/2000 12 $ 7 $ 13
Call - CBOT U.S. Treasury Note June Futures
Strike @ 98.00 Exp. 05/20/2000 4 2 4
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 100.00 Exp. 05/20/2000 9 3 4
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 82.00 Exp. 05/20/2000 29 8 0
Put - CBOT U.S. Treasury Note June Futures
Strike @ 96.00 Exp. 05/20/2000 28 8 2
Put - CBOT U.S. Treasury Note June Futures
Strike @ 95.00 Exp. 05/20/2000 4 1 0
Call - OTC U.S Treasury Note
6.125% due 08/15/2029
Strike @ 96.06 Exp. 05/12/2000 100 242 627
Put - OTC U.S. Treasury Note
6.125% due 08/15/2029
Strike @ 96.06 Exp. 05/12/2000 100 242 26
Call - CME S&P 500 June Futures
Strike @ 1,540.00 Exp. 06/16/2000 6 48 72
Call - CME Eurodollar December Futures
Strike @ 92.75 Exp. 12/18/2000 5 3 4
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.93 Exp. 04/19/2000 4,960,000 11 9
Put - CME Eurodollar December Futures
Strike @ 93.50 Exp. 12/18/2000 127 109 252
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 5 4 4
Call - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 10 4 5
-------------------
$ 692 $ 1,022
===================
(g) Securities 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 a financing transaction.
(j) Swap agreements outstanding at March 31, 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 0.12%.
Broker: Lehman Brothers
Exp. 07/31/2000 $ 7,615 $ 0
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.466%
Broker: Morgan Stanley
Exp. 02/11/2005 900 (8)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.408%
Broker: Goldman Sachs
Exp. 02/25/2005 8,000 (49)
--------
$ (57)
========
Fixed Notional Unrealized
Type Rate (%) Amount Appreciation
-------------------------------------------------------------------------------
Receive the 30-year Swap Spread and pay a fixed rate.
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 $ 1,100 $ 12
Broker: Goldman Sachs
Exp. 08/14/2000 1.1500 200 0
Receive the 10-year Swap Spread and pay a fixed rate
The 10-year Swap Spread is the difference between the
10-year Swap Rate and the 10-year Treasury Rate.
Broker: Goldman Sachs
Exp. 08/14/2000 0.9470 600 2
--------
$ 14
========
144 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Convertible Fund
March 31, 2000
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
------------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES (c)(d) 77.5%
------------------------------------------------------------------------------------
<S> <C> <C> <C>
Banking & Finance 5.4%
ACOM Co. Ltd.
0.000% due 03/31/2002 JY 50,000 $ 576
Bell Atlantic Financial Services
5.750% due 04/01/2003 $ 740 740
Deutsche Bank Financial
0.000% due 02/12/2017 850 401
Exchangeable Certs Corp.
0.625% due 03/02/2005 3,300 3,145
0.250% due 07/17/2006 1,000 1,200
Hellenic Finance
2.000% due 07/15/2003 EC 500 480
Merrill Lynch & Co.
1.000% due 07/20/2006 $ 1,775 1,742
Morgan Stanley, Dean Witter, Discover and Co.
0.000% due 03/02/2006 740 625
Swiss Life Financial Ltd.
2.000% due 05/20/2003 1,100 1,065
---------
9,974
=========
Consumer Discretionary 1.1%
Costco Wholesale Corp.
0.000% due 08/19/2017 1,700 2,031
---------
Energy 3.3%
Devon Energy Corp.
4.900% due 08/15/2008 1,900 1,912
Diamond Offshore Drilling
3.750% due 02/15/2007 3,560 4,090
---------
6,002
=========
Health Care 3.2%
Athena Neurosciences, Inc.
4.750% due 11/15/2004 750 1,037
Wellpoint Health Network
0.000% due 07/02/2019 7,200 4,869
---------
5,906
=========
Industrial 7.8%
American Tower Corp.
5.000% due 02/15/2010 1,500 1,692
Centocor, Inc.
4.750% due 02/15/2005 2,100 2,336
Checkfree Holdings Corp.
6.500% due 12/01/2006 1,600 1,824
Roche Holdings, Inc.
0.000% due 01/19/2015 5,950 5,035
Young & Rubicam, Inc.
3.000% due 01/15/2005 3,810 3,543
---------
14,430
=========
Technology 50.2%
Aether Systems, Inc.
6.000% due 03/22/2005 3,300 3,168
Alkmeres, Inc.
3.750% due 02/15/2007 3,000 2,535
ASM Lithography Holding
4.250% due 11/30/2004 2,000 2,380
2.500% due 04/09/2005 DG 1,500 1,302
Commscope, Inc.
4.000% due 12/15/2006 $ 3,820 4,584
Comverse Technology, Inc.
4.500% due 07/01/2005 100 430
Conexant Systems, Inc.
4.250% due 05/01/2006 1,000 3,193
DSC Communications Corp.
7.000% due 08/01/2004 3,000 3,180
EMC Corp.
6.000% due 05/15/2004 3,350 5,150
Exodus Communications
4.750% due 07/15/2008 2,000 4,123
Hewlett-Packard Co.
0.000% due 10/14/2017 6,400 4,944
I2 Technologies, Inc.
5.250% due 12/15/2006 2,500 4,494
Intel Corp.
4.000% due 09/01/2004 800 3,473
Internet Initiative Japanese
1.750% due 03/31/2005 JY 120,000 1,168
Interpublic Group Co., Inc
1.870% due 06/01/2006 $ 1,850 1,875
Juniper Networks, Inc.
4.750% due 03/15/2007 2,600 2,594
Kulicke & Soffa Industries, Inc.
4.750% due 12/15/2006 2,400 3,801
Lattice Semiconductor Co.
4.750% due 11/01/2006 1,600 2,936
Level 3 Communications, Inc.
6.000% due 03/15/2010 2,700 2,663
Liberty Media Group
4.000% due 11/15/2029 3,200 5,004
LSI Logic Corp.
4.250% due 03/15/2004 500 2,339
Nextel Communications
5.240% due 01/15/2010 4,000 4,785
Sanmina Corp.
4.250% due 05/01/2004 700 1,147
SCI Systems, Inc.
3.000% due 03/15/2007 2,100 2,315
Stmicroelectron
0.000% due 09/22/2009 3,300 5,610
U.S. Cellular Corp.
0.000% due 06/15/2015 3,600 2,461
Ventro Corp.
6.000% due 04/01/2007 2,000 2,026
Veritas Software Corp.
1.856% due 08/13/2006 1,000 3,837
Xerox Corp.
0.570% due 04/21/2018 9,050 4,887
---------
92,404
=========
Utilities 6.5%
AES Corp.
4.500% due 08/15/2005 750 1,159
Alliant Energy Resources Cvt. Pfd.
7.250% due 01/02/2000 60 4,897
Clear Channel Communications
2.625% due 04/01/2003 3,800 4,683
Kerr-McGee Corp.
5.250% due 02/15/2010 1,000 1,161
---------
11,900
---------
Total Convertible Bonds & Notes 142,647
(Cost $119,988) =========
<CAPTION>
------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK 17.3%
------------------------------------------------------------------------------------
Shares
<S> <C> <C>
Energy 3.2%
Apache Corp. Cvt. Pfd.
6.500% due 05/15/2002 17,000 $ 765
Coastal Corp. Cvt. Pfd.
6.625% due 08/16/2002 80,000 2,265
Kerr-McGee Corp. Cvt. Pfd.
5.500% due 08/01/2004 63,900 2,875
---------
5,905
=========
</TABLE>
2000 Annual Report See accompanying notes 145
<PAGE>
Schedule of Investments (Cont.)
Convertible Fund
March 31, 2000
Value
Shares (000s)
-----------------------------------------------------------------------------
Industrial 9.5%
Decs Trust VI Cvt. Pfd.
6.250% due 11/15/2002 40,000 $ 3,400
Georgia Pacific Group Cvt. Pfd.
7.500% due 08/16/2002 55,000 2,358
Qwest Trends Trust Cvt. Pfd.
5.750% due 11/17/2003 33,000 2,591
Sealed Air Corp. Cvt. Pfd.
4.000% due 04/01/2018 2,000 104
Times Mirror Co. Cvt. Pfd.
4.250% due 03/15/2001 4,000 424
Tribune Co. Cvt. Pfd.
2.000% due 05/15/2029 43,000 6,085
UnitedGlobalCom, Inc. Cvt. Pfd.
7.000% due 12/31/2049 37,500 2,513
---------
17,475
=========
Utilities 4.6%
Cox Communications, Inc. Cvt. Pfd.
7.000% due 08/16/2002 57,300 3,639
Enron Corp. Cvt. Pfd.
7.000% due 07/31/2002 58,000 1,280
MediaOne Group, Inc. Cvt. Pfd.
6.250% due 08/15/2001 9,500 1,128
Reliant Energy, Inc. Cvt. Pfd.
7.000% due 07/01/2000 15,000 2,385
---------
8,432
---------
Total Convertible Preferred Stock 31,812
(Cost $26,513) =========
-----------------------------------------------------------------------------
COMMON STOCKS 0.9%
-----------------------------------------------------------------------------
Communications 0.9%
Leap Wireless International, Inc. (b) 344 34
Qualcomm, Inc. (b) 11,011 1,644
---------
Total Common Stocks 1,678
(Cost $1,608) =========
-----------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 6.1%
-----------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 5.7%
Eastman Kodak Co.
6.030% due 06/06/2000 $ 300 297
Federal National Mortgage Association
6.000% due 06/22/2000 10,200 10,057
Motorola, Inc.
6.090% due 06/30/2000 200 197
---------
10,551
=========
Repurchase Agreement 0.4%
State Street Bank
5.600% due 04/03/2000 696 696
(Dated 03/31/2000. Collateralized by
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $714
Repurchase proceeds are $696.)
---------
Total Short-Term Instruments 11,247
(Cost $11,254) =========
Total Investments (a) 101.8% $ 187,384
(Cost $159,363)
Other Assets and Liabilities (Net) (1.8%) (3,353)
---------
Net Assets 100.0% $ 184,031
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $159,553 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 30,163
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (2,332)
---------
Unrealized appreciation-net $ 27,831
=========
(b) Non-income producing security.
(c) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
-----------------------------------------------------------------------------
Sell EC 1,292 04/2000 $ 10
Buy JY 66,616 05/2000 (16)
---------
$ (6)
=========
(d) Principal amount denoted in indicated currency:
EC - Euro
JY - Japanese Yen
146 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
StocksPLUS Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
-----------------------------------------------------------------------
CORPORATE BONDS & NOTES 33.2%
-----------------------------------------------------------------------
Banking & Finance 13.8%
AT&T Capital Corp.
7.110% due 09/13/2001 (d) $ 2,100 $ 2,094
6.310% due 04/23/2002 (d) 5,725 5,741
Banco Latinoamericano SA
7.156% due 11/30/2001 19,500 19,482
CIT Group, Inc.
6.200% due 10/20/2000 3,600 3,586
Ford Motor Credit Corp.
6.240% due 11/16/2001 (d) 11,000 11,009
6.341% due 03/19/2002 (d) 590 591
6.300% due 07/16/2002 (d) 6,500 6,516
6.320% due 12/16/2002 (d) 3,600 3,591
6.224% due 02/13/2003 (d) 15,000 14,964
General Motors Acceptance Corp.
6.190% due 02/25/2002 (d) 1,000 998
Heller Financial, Inc.
6.370% due 10/22/2001 (d) 10,800 10,828
Household Finance Corp.
6.349% due 06/22/2001 (d) 5,000 5,012
HRPT Properties Trust
7.280% due 07/09/2007 5,000 4,998
Lehman Brothers Holdings, Inc.
6.840% due 07/15/2002 (d) 2,700 2,717
6.690% due 04/04/2003 (d) 9,400 9,538
6.700% due 11/30/2006 (d) 1,910 1,762
MBNA America Bank NA
6.420% due 06/10/2004 (d) 10,000 9,972
Mercury Finance Co.
10.743% due 03/23/2001 16,000 15,520
Merrill Lynch & Co.
6.280% due 10/10/2000 (d) 3,000 3,006
6.610% due 11/20/2000 10,000 10,030
6.261% due 06/18/2001 (d) 10,000 9,949
6.480% due 01/11/2002 (d) 8,550 8,573
6.300% due 02/04/2003 (d) 6,000 5,922
MFN Financial Corp.
6.460% due 09/13/2001 (d) 4,000 3,992
Nacional Financiera
9.549% due 12/01/2000 (d) 10,000 9,950
Residential Reinsurance
9.761% due 06/01/2000 (d) 5,000 4,964
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (g) 2,127 2,090
6.224% due 04/02/2002 (d) 3,600 3,607
6.320% due 02/11/2003 (d) 5,000 5,001
6.530% due 03/26/2003 5,000 4,997
Wells Fargo Co.
6.780% due 05/02/2005 (d) 6,400 6,400
----------
207,400
==========
Industrials 10.7%
Air Canada
6.800% due 07/31/2005 (d) 12,000 10,800
Amerco, Inc.
6.890% due 10/15/2000 16,800 16,627
Arrow Electronics, Inc.
6.860% due 11/24/2000 (d) 15,000 14,996
Atlas Air, Inc.
9.820% due 04/04/2003 (d) 7,000 7,000
Black & Decker
6.606% due 12/20/2001 (d) 7,250 7,319
COFIRI International, Inc.
6.503% due 10/27/2000 (d) 2,000 1,995
Cemex SA
10.750% due 07/15/2000 3,650 3,685
CSX Corp.
6.430% due 06/15/2000 (d) 10,000 9,995
El Paso Energy Corp.
6.690% due 07/15/2001 (d) 4,600 4,603
Gold Eagle
11.453% due 04/16/2001 10,000 9,988
J Seagram & Sons
6.526% due 04/10/2000 (d) 2,400 2,364
Marlin Water Trust
7.090% due 12/15/2001 4,049 3,988
Merita
6.471% due 12/01/2005 (d) 1,000 1,000
Norfolk Southern Corp.
6.700% due 05/01/2000 2,600 2,599
Petroleos Mexicanos
7.600% due 06/15/2000 2,050 2,055
8.402% due 07/15/2005 (d) 15,000 14,813
Stone Container Corp.
10.750% due 10/01/2002 3,435 3,482
TCI Communications, Inc.
6.790% due 04/03/2002 (d) 11,600 11,766
6.850% due 03/11/2003 (d) 4,000 4,088
TRW, Inc.
6.601% due 06/28/2000 (d) 8,900 8,899
Tyco International Group SA
6.819% due 03/05/2001 (d) 14,200 14,192
Williams Communications Group, Inc.
6.540% due 11/15/2001 4,200 4,200
----------
160,454
==========
Utilities 8.7%
Beaver Valley Funding Corp.
8.250% due 06/01/2003 1,754 1,741
Entergy Arkansas, Inc.
7.720% due 03/01/2003 3,500 3,489
Hughes Electric
7.451% due 10/23/2000 4,500 4,496
Kerr-McGee Corp.
6.414% due 08/01/2001 (d) 50,000 50,002
Niagara Mohawk Power
7.125% due 07/01/2001 6,805 6,712
North Atlantic Energy
9.050% due 06/01/2002 910 902
Public Service Enterprise Group, Inc.
6.330% due 11/22/2000 (d) 15,000 15,000
Sprint Capital Corp.
6.386% due 11/15/2001 (d) 25,600 25,620
Telecom Argentina
9.375% due 06/12/2000 18,100 18,213
Western Massachusetts Electric
7.750% due 12/01/2002 4,000 4,036
----------
130,211
----------
Total Corporate Bonds & Notes 498,065
(Cost $490,553) ==========
-----------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.2%
-----------------------------------------------------------------------
Student Loan Marketing Assn.
6.365% due 07/25/2004 (d) 318 316
6.089% due 10/25/2005 (d) 8,935 8,894
5.909% due 04/25/2006 (d) 3,371 3,359
6.635% due 07/25/2006 (d) 3,006 2,996
6.595% due 01/25/2007 (d) 9,517 9,507
6.565% due 04/25/2007 (d) 8,080 8,040
----------
Total U.S. Government Agencies 33,112
(Cost $33,097) ==========
-----------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 11.5%
-----------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (g) 95,005 94,738
3.625% due 07/15/2002 (b)(g) 5,793 5,777
3.625% due 01/15/2008 (g) 10,441 10,167
U.S. Treasury Notes
5.500% due 05/31/2000 (b) 61,260 61,241
----------
Total U.S. Treasury Obligations 171,923
(Cost $171,587) ==========
2000 Annual Report See accompanying notes 147
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 17.1%
------------------------------------------------------------------------------
Collateralized Mortgage Obligations 7.6%
Bank Mart
6.883% due 03/01/2019 (d) $ 5,094 $ 5,186
Countrywide Home Loans
6.050% due 04/25/2029 6,367 6,239
Donaldson, Lufkin & Jenrette
7.580% due 10/17/2020 (d) 155 159
Federal Home Loan Mortgage Corp.
5.876% due 05/18/2000 (d) 20,000 20,000
7.000% due 06/15/2023 1,460 1,458
6.500% due 08/15/2023 8,631 8,453
Federal National Mortgage Assn.
6.769% due 04/25/2020 (d) 18 18
6.500% due 05/18/2024 3,880 3,803
General Electric Capital Mortgage Services, Inc.
6.300% due 09/25/2023 2,000 1,960
6.250% due 10/25/2028 943 928
Greenwich
7.337% due 10/25/2022 (d) 11 11
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2027 10,456 10,145
ICI Funding Corp. Secured Assets Corp.
7.650% due 07/25/2028 10,122 10,099
Norwest Asset Securities Corp.
6.750% due 08/25/2029 9,011 8,841
PaineWebber Mortgage
6.468% due 02/25/2001 (d) 464 460
PNC Mortgage Securities Corp.
6.625% due 03/25/2028 7,903 7,675
Residential Funding Mortgage Securities, Inc.
5.811% due 03/25/2018 (d) 1,676 1,636
Resolution Trust Corp.
6.900% due 05/25/2029 (d) 103 104
Structured Asset Mortgage Investments, Inc.
9.040% due 06/25/2029 19,417 20,022
Structured Asset Securities Corp.
6.295% due 12/25/2000 (d) 1,013 1,012
TMA Mortgage Funding Trust
6.259% due 01/25/2029 5,756 5,756
----------
113,965
==========
Federal Home Loan Mortgage Corporation 0.3%
6.353% due 07/01/2019 (d) 2,755 2,702
6.781% due 06/01/2022 (d) 436 446
7.266% due 12/01/2022 (d) 576 589
8.500% due 04/01/2025-06/01/2025 (i) 188 192
----------
3,929
==========
Federal National Mortgage Association 0.6%
6.020% due 05/01/2017 (d) 269 262
6.022% due 07/01/2018 (d) 565 551
6.023% due 11/01/2018-11/01/2028 (d)(i) 1,710 1,668
6.026% due 08/01/2029 (d) 316 308
6.029% due 02/01/2031 (d) 90 88
6.102% due 04/01/2018-11/01/2028 (d)(i) 959 935
6.500% due 09/01/2005 5,483 5,371
7.443% due 05/01/2022 (d) 333 342
----------
9,525
==========
Government National Mortgage Association 5.2%
6.320% due 02/16/2030 (d) 30,481 30,439
6.375% due 02/20/2026-02/20/2028 (d)(i) 20,732 20,771
6.750% due 07/20/2018-07/20/2023 (d)(i) 17,718 17,867
7.125% due 12/20/2022-12/20/2027 (d)(i) 9,310 9,415
----------
78,492
==========
Mortgage-Backed Securities 3.2%
CS First Boston Mortgage Securities
6.960% due 01/20/2004 2,522 2,497
Government National Mortgage Association
6.618% due 02/16/2030 (d) 29,585 29,643
6.668% due 02/16/2030 (d) 16,139 16,189
----------
48,329
==========
Other Mortgage-Backed Securities 0.1%
California Federal Savings & Loan
6.397% due 01/01/2019 (d) 22 22
Fund America
7.166% due 06/25/2023 (d) 124 126
J.P. Morgan & Co.
6.570% due 01/25/2018 (d) 304 299
Resolution Trust Corp.
6.746% due 12/25/2023 (d) 13 13
Structured Asset Securities Corp.
6.709% due 09/25/2036 (d) 871 865
----------
1,325
==========
Stripped Mortgage-Backed Securities 0.1%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 2,034 96
7.500% due 08/15/2019 639 22
Federal National Mortgage Association (IO)
6.000% due 11/25/2000 168 3
7.000% due 07/25/2006 310 21
6.500% due 02/25/2021 2,746 180
7.000% due 07/25/2021 728 111
6.500% due 03/25/2023 4,089 451
----------
884
----------
Total Mortgage-Backed Securities 256,449
(Cost $258,701) ==========
------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 5.4%
------------------------------------------------------------------------------
AFC Home Equity Loan Trust
6.029% due 06/25/2028 (d) 10,948 10,918
Allied Waste Industries, Inc.
8.938% due 07/30/2006 819 743
Allied Waste North America, Inc.
8.938% due 07/30/2006 (d) 1,455 1,320
9.125% due 07/30/2007 (d) 2,092 1,898
9.188% due 07/30/2007 (d) 636 578
Argentina Funding Corp.
6.331% due 05/20/2003 (d) 16,000 16,016
Bayview Financial Acquisition
6.429% due 02/25/2029 (d) 5,833 5,837
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 932 931
Green Tree Home Improvement Loan
6.105% due 11/15/2029 (d) 11,460 11,467
Salomon Brothers Mortgage Securities
6.219% due 02/25/2030 (d) 23,582 23,413
Stone Container Corp.
9.500% due 10/01/2003 4,136 4,135
9.625% due 10/01/2003 (d) 4,136 4,135
----------
Total Asset-Backed Securities 81,391
(Cost $81,986) ==========
------------------------------------------------------------------------------
SOVEREIGN ISSUES 2.4%
------------------------------------------------------------------------------
Government of Croatia
7.000% due 02/27/2002 3,000 2,912
Hydro Quebec
6.500% due 09/29/2049 (d) 1,000 867
Nacional Financiera
7.975% due 05/08/2003 (d) 6,000 5,957
Republic of Argentina
6.813% due 03/31/2005 (d) 176 165
11.786% due 04/10/2005 (d) 7,000 6,563
Republic of Panama
7.001% due 05/14/2002 (d) 1,373 1,354
United Mexican States
7.439% due 06/27/2002 (d) 10,000 9,858
9.780% due 04/07/2004 (d) 9,000 9,427
----------
Total Sovereign Issues 37,103
(Cost $44,467) ==========
148 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 4.2%
------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 9,750 $ 4,749
Export-Import Bank Korea
3.840% due 10/06/2000 (d) DM 11,370 5,520
Kingdom of Sweden
10.250% due 05/05/2000 SK 1,000 116
Korea Development Bank
2.560% due 06/26/2001 JY 1,000,000 9,884
Tecnost International NV
5.616% due 06/23/2004 (d) EC 34,100 33,473
United Mexican States
8.750% due 05/30/2002 BP 3,000 4,825
7.000% due 06/02/2003 C$ 6,000 3,980
---------
Total Foreign Currency-Denominated Issues (e)(f) 62,547
(Cost $64,835) =========
------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
------------------------------------------------------------------------------
S&P 500 Index June Futures (CME)
Strike @ 725.00 Exp. 06/16/2002 $ 94 29
---------
Total Purchased Put Options 29
(Cost $34) =========
------------------------------------------------------------------------------
COMMON STOCKS 1.5%
------------------------------------------------------------------------------
Shares
Utilities 1.5%
Eastern Enterprises 800 $ 48
Florida Progress Corp. 111,000 5,092
LG&E Energy Corp. 10,400 238
MCN Energy Group, Inc. 443,300 11,083
Northeast Utilities 252,000 5,418
---------
Total Common Stocks 21,879
(Cost $21,615) =========
------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 19.7%
------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 18.3%
Alcoa, Inc.
5.920% due 05/12/2000 $ 4,000 3,974
Bank One Corp.
6.060% due 05/22/2000 8,000 7,934
Conagra, Inc.
5.860% due 04/05/2000 200 200
6.190% due 04/05/2000 4,400 4,398
6.040% due 04/07/2000 1,400 1,399
6.150% due 05/08/2000 8,500 8,449
6.200% due 05/08/2000 2,800 2,783
Cox Communication
6.050% due 04/10/2000 700 699
DaimlerChrysler AG
6.100% due 06/29/2000 4,200 4,136
Dominion Residential, Inc.
6.040% due 04/04/2000 4,000 3,999
6.140% due 06/05/2000 33,000 32,645
E.I. Du Pont de Nemours
5.890% due 05/22/2000 10,600 10,515
6.030% due 06/06/2000 1,500 1,484
Eastman Kodak Co.
6.030% due 06/07/2000 1,500 1,484
Federal Home Loan Mortgage Corp.
5.960% due 06/15/2000 500 494
5.970% due 06/15/2000 11,100 10,966
5.980% due 06/15/2000 6,600 6,520
Federal National Mortgage Association
5.940% due 06/01/2000 200 198
Finova Capital Corp.
5.960% due 05/15/2000 11,000 10,924
6.140% due 06/08/2000 16,000 15,814
Gannett Co., Inc.
6.000% due 04/13/2000 30,000 29,950
General Motors Acceptance Corp.
6.050% due 05/17/2000 10,000 9,926
Motorola, Inc.
6.090% due 06/02/2000 1,300 1,287
Nabisco, Inc.
6.090% due 04/05/2000 15,000 14,995
Nike, Inc.
5.860% due 04/18/2000 1,000 998
Southwestern Public Service
6.030% due 05/05/2000 5,500 5,471
Sumitomo Bank
6.050% due 04/14/2000 3,000 2,994
6.180% due 04/14/2000 12,000 11,977
Tampa Electric Co.
6.010% due 04/24/2000 18,000 17,937
Texas Utilities Co.
6.050% due 05/26/2000 25,000 24,777
6.240% due 05/26/2000 5,000 4,954
TRW, Inc.
6.060% due 04/17/2000 5,190 5,178
Xerox Credit Corp.
5.890% due 05/16/2000 1,200 1,192
6.050% due 05/18/2000 14,000 13,894
-----------
274,545
===========
Repurchase Agreement 1.1%
State Street Bank
5.600% due 04/03/2000 5,524 5,524
(Dated 03/31/2000. Collateralized by
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $5,639.
Repurchase proceeds are $5,527.)
Daiwa Securities
6.180% due 04/03/2000 10,000 10,000
(Dated 03/31/2000. Collateralized by
U.S. Treasury Inflation Protected Securities
3.782% due 07/15/2002 valued at $10,222.
Repurchase proceeds are $10,005.) -----------
15,524
===========
U.S. Treasury Bills (b) 0.3%
5.454% due 05/25/2000 4,910 4,870
-----------
Total Short-Term Instruments 294,939
(Cost $294,949) ===========
Total Investments (a) 97.2% $ 1,457,437
(Cost $1,461,824)
Written Options (c) (0.1%) (1,436)
(Premiums $1,231)
Other Assets and Liabilities (Net) 2.8% 42,794
-----------
Net Assets 100.0% $ 1,498,795
===========
2000 Annual Report See accompanying notes 149
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
March 31, 2000
--------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $1,461,767 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 5,232
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (9,562)
---------------
Unrealized depreciation-net $ (4,330)
===============
(b) Securities with an aggregate market value of $71,888
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Eurodollar June Futures (03/2001) 1,142 $ (301)
U.S. Treasury 5 Year Note (06/2000) 237 (315)
S&P 500 Index (06/2000) 3,171 92,766
United Kingdom 90 Day LIBOR (09/2000) 20 19
---------------
$ 92,169
===============
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - CME S&P June Futures
Strike @ 1540 Exp. 06/16/2000 87 $ 696 $ 1,044
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.93 Exp. 04/19/2000 87,160,000 201 150
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 111 83 96
Call - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 160 63 76
Call - CME Eurodollar December Futures
Strike @ 92.75 Exp. 12/18/2000 80 55 63
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 82.00 Exp. 05/20/2000 456 133 7
-------------------------
$ 1,231 $ 1,436
=========================
(d) Variable rate security. The rate listed is as of March 31, 2000.
(e) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell BP 3,022 04/2000 $ (54)
Sell C$ 5,773 06/2000 (24)
Sell EC 65,379 04/2000 511
Buy HF 2,000,000 09/2000 (154)
Sell JY 1,017,009 05/2000 (248)
Sell N$ 1,251 04/2000 (8)
Sell 8,553 05/2000 40
Buy PZ 102,100 01/2001 (49)
Buy 25,000 02/2001 135
-------------
$ 149
=============
(f) Principal amount denoted in indicated currency:
--------------------------------------------------------------------------------
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
EC - Euro
HF - Hungarian Forint
JY - Japanese Yen
N$ - New Zealand Dollar
PZ - Polish Zloty
SK - Swedish Krona
(g) Principal amount of the security is adjusted for inflation.
(h) Swap agreements outstanding at March 31, 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 0.130%.
Broker: Morgan Stanley & Co.
Exp. 09/29/2000 $ 68,991 $ 0
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR plus 0.140%
Broker: J.P. Morgan Securities, Inc.
Exp. 04/28/2000 21,000 0
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR plus 0.120%
Broker: Lehman Brothers, Inc.
Exp. 06/30/2000 61,378 0
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR plus 0.180%
Broker: J.P. Morgan Securities, Inc.
Exp. 03/16/2001 109,518 0
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 5.950%
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par
Broker: Deutsche Bank AG New York
Exp. 03/17/2001 2,400 (123)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 6.150%
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 1,100 (59)
Receive fixed rate equal to 0.34% 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: J.P. Morgan
Exp. 07/31/2000 10,000 0
----------
$ (182)
==========
(i) Securities grouped by coupon or range of coupons and represent
a range of maturities.
150 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Municipal Bond Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 103.3%
------------------------------------------------------------------------------
Arizona 6.7%
Maricopa County Arizona Pollution, Series 1994
3.850% due 05/01/2029 $ 1,100 $ 1,100
Pima County, Arizona Industrial Development Authority
Multi-Family Revenue Bonds, (HUD SECT 8 Insured),
Series 1998 5.375% due 06/01/2010 1,210 1,213
Scottsdale, Arizona Industrial Development Authority
Hospital Revenue Bonds, (AMBAC Insured),
Series 1997 A 6.500% due 09/01/2004 1,130 1,205
---------
3,518
=========
California 16.6%
Alameda, California Harbor Bay Business Pk Assmt
Revenue Bonds, Series 1998 5.000% due 09/02/2006 360 347
California Health Facilities Finance Authority Revenue,
Series 1995 4.250% due 07/01/2011 1,000 1,000
Capistrano, California Unified School District
Special Tax, Series 1999 5.000% due 09/01/2008 350 335
City of San Jose Redevelopment Agency Merged
Area Project, Tax Allocation Bonds, (MBIA Insured),
Series 1993 6.000% due 08/01/2015 500 539
Foothill/Eastern Corridor Agency California
Toll Road Revenue, (MBIA-IBC),
Series 1999 0.000% due 01/15/2026 1,565 878
Irvine, California Special Assessment Bond,
Series 1998 4.800% due 09/02/2004 150 146
Irvine, California Special Assessment Bond,
Series 1998 4.900% due 09/02/2005 310 299
Irvine, California Special Assessment Bond,
Series 1998 5.000% due 09/02/2006 150 144
Irvine, California Special Assessment Bond,
Series 1999 5.000% due 09/02/2005 350 343
Irvine, California Special Assessment Bond,
Series 1999 5.100% due 09/02/2006 535 518
Irvine, California Special Assessment Bond,
Series 1999 5.200% due 09/02/2007 255 246
Lake Elsinore, California School Refunding Bonds,
Series 1998 5.000% due 09/01/2006 350 337
Los Angeles County Transportation Commission,
Sales Tax Revenue Refunding Bonds,
Series 1991 B 6.500% due 07/01/2013 1,000 1,041
Montebello, California Unified School District
General Obligation Unlimited Bonds, (MBIA Insured),
Series 1999 0.000% due 08/01/2023 895 227
Orange County, California Improvement Bond,
Series 1998 A 4.900% due 09/02/2005 245 237
Pittsburg, California Infrastructure Refunding Bonds,
Series 1998 A 4.900% due 09/02/2003 150 150
Pittsburg, California Infrastructure Refunding Bonds,
Series 1998 A 5.000% due 09/02/2004 150 151
Riverside County, California Special Tax Refunding Bonds,
Series 1999 4.200% due 09/01/2001 300 297
Riverside County, California Special Tax Refunding Bonds,
Series 1999 4.700% due 09/01/2005 170 164
Roseville, California Special Tax,
Series 1999 5.000% due 09/01/2004 350 343
Sacramento County, California Refunding Bonds,
Series 1998 4.900% due 09/02/2005 300 290
South Tahoe, California Powers Financing Authority,
Series 1999 7.300% due 10/01/2007 350 355
West Sacramento, California Refunding Bonds, 350 346
---------
8,733
=========
Colorado 2.9%
Colorado Housing Finance Authority,
Series 2000 6.700% due 10/01/2016 250 269
Denver, Colorado Health & Hospital Revenue Bonds,
Series 1998 A 5.000% due 12/01/2009 1,390 1,261
---------
1,530
=========
Florida 4.6%
Gainesville, Florida Revenue Bonds,
Series 1979 6.200% due 10/01/2002 300 302
Jacksonville Electric Authority, Bulk Power Supply System
Revenue Bonds, (Prerefunded 10/01/00),
Scherer 4-1-A Project, Issue One, Series 1991
6.750% due 10/01/2021 1,000 1,028
Orange County, Florida Health Facilities Authority
Revenue Bonds, (MBIA Insured), Series 1996
6.250% due 10/01/2011 1,000 1,096
---------
2,426
=========
Hawaii 1.9%
Honolulu Hawaii City & County, (MBIA-IBC),
Series 1993 3.550% due 09/11/2008 1,000 1,020
---------
Illinois 0.6%
Illinois Health Facilities Authority Revenue,
Series 1998 3.650% due 01/01/2028 300 300
---------
Indiana 2.1%
Indiana Local Public Improvement Bonds Bank,
Transportation Revenue Bonds, Series 1992
6.750% due 02/01/2014 1,000 1,110
---------
Louisiana 0.5%
Louisiana Local Government, (MBIA Insured),
Series 2000 5.700% due 01/01/2010 250 254
---------
Massachusetts 4.0%
Massachusetts State Development Finance Agency
Revenue Bonds, Series 1998 4.700% due 11/01/2007 210 197
Massachusetts State Development Finance Agency,
(ACA Insured), Series 1999 4.600% due 03/01/2009 400 370
Massachusetts State Development Finance Agency,
Series 1998 4.800% due 11/01/2008 90 85
Massachusetts State General Obligation Unltd,
Series 2000 6.000% due 02/01/2013 1,000 1,055
Massachusetts State Health Facilities Authority Revenue,
Series 1993 5.500% due 10/01/2002 400 390
---------
2,097
=========
Michigan 3.6%
Farmington Hills Michigan Hospital, Revenue Bond,
(MBIA Insured), Series 1991 B
3.900% due 02/15/2016 700 700
Michigan State Environmental Protection General
Obligation Bonds, Series 1992 6.250% due 11/01/2012 1,100 1,206
---------
1,906
=========
2000 Annual Report See accompanying notes 151
<PAGE>
Schedule of Investments (Cont.)
Municipal Bond Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
------------------------------------------------------------------------------
Minnesota 3.6%
Arden Hills Minnesota Housing & Health Care
Presbyterian Homes Revenue Bonds,
(LOC-U.S. Bank N.A. Insured), Series 1999 B
3.850% due 09/01/2029 (d) $ 900 $ 900
New Richland, Minnesota Revenue Bond,
Series 1998 4.500% due 08/01/2004 1,000 986
---------
1,886
=========
Missouri 1.1%
Missouri State Health Facilities Revenue,
Series 1999 3.600% due 10/01/2009 600 600
---------
New Hampshire 2.1%
New Hampshire Turnpike System, Refunding
Revenue Bonds, (FGIC Insured), Series 1991 A
6.750% due 11/01/2011 1,000 1,103
---------
New Jersey 6.6%
New Jersey Economic Development
Authority Revenue Bond, Series 1998 A
0.000% due 04/01/2013 1,595 642
New Jersey Economic Development
Authority Revenue Bond, Series 1998
5.600% due 01/01/2012 1,000 885
New Jersey Economic Development
Authority Revenue Bonds, Series 1999
6.625% due 09/15/2012 1,900 1,929
---------
3,456
=========
New Mexico 2.6%
Los Alamos County, Utility Revenue Bonds,
Series 1994 A 6.000% due 07/01/2008 1,000 1,050
Santa Fe County, El Castillo Retirement
Nursing Home Bonds, Series 1998 A
5.250% due 05/15/2007 315 290
---------
1,340
=========
New York 10.1%
Nassau County, NY Tobacco Settlement
Corp. Revenue Bonds, Series 1999
5.250% due 07/15/2011 1,000 999
New York City General Obligation Bonds,
Series 1996 A 7.000% due 08/01/2007 1,000 1,103
New York State Dorm Authority Revenues,
(ACA Insured), Series 2000
5.850% due 07/01/2010 1,000 1,025
New York State Dorm Authority Revenues,
(MBIA Insured), Series 1996
5.600% due 07/01/2016 1,250 1,255
New York State Environmental Facilities
Special Obligation Revenue Bonds, Series 1996
5.125% due 04/01/2022 1,000 929
---------
5,311
=========
North Carolina 2.0%
North Carolina Municipal Power Agency, Catawaba
Electric Revenue Bonds, (AMBAC Insured), Series 1992
6.000% due 01/01/2008 1,000 1,055
---------
North Dakota 3.9%
Mercer County Pollution Control Revenue Bonds,
Series 1991 6.900% due 02/01/2019 2,000 2,073
---------
Ohio 1.9%
Cleveland Water and Sewer Refunding and Improvement
Revenue Bonds, (MBIA Insured), Series 1993 G, Number 1
5.500% due 01/01/2021 1,000 988
---------
Oklahoma 1.7%
Oklahoma State Industrial Authority Revenue
3.850% due 08/15/2029 900 900
---------
Pennsylvania 0.2%
Delaware County, Pensylvania Hospital Revenue
Bonds, Series 1998 4.900% due 12/01/2008 100 90
---------
South Carolina 1.8%
Medical University South Carolina Hospital
Facilities Revenue Bonds, Series 1999
5.700% due 07/01/2012 1,000 956
---------
Tennessee 5.0%
Memphis-Shelby County, Tennessee Airport Authority
Special Facilities and Project Revenue Bonds,
Series 1997 5.350% due 09/01/2012 1,000 934
Nashville & Davidson County, Tennessee Revenue Bonds,
Series 1998 4.450% due 08/01/2007 1,000 941
Sullivan County, Tennessee Industrial Development,
(GNMA Insured), Series 1995 6.250% due 07/20/2015 750 777
---------
2,652
=========
Texas 5.7%
Bexar, Texas Metro Water District Waterworks System
Revenue Bonds, (MBIA Insured), Series 1998
0.000% due 05/01/2035 2,190 263
Brazos River Authority Texas Revenue Bonds,
(MBIA Insured), Series 1998
4.900% due 10/01/2015 1,500 1,371
Lewiswille Texas Independent School District,
(PSF-GTD), Series 2000
5.875% due 08/15/2016 1,000 1,021
Midlothian Texas Independent School District
General Obligation Bonds, (PSF-GTD Insured), Series 1999
0.000% due 02/15/2018 1,000 334
---------
2,989
=========
Utah 4.0%
Intermountain Power Agency Utah Power Supply,
(MBIA Insured), Series 1996
6.500% due 07/01/2009 1,925 2,108
---------
Washington State 4.7%
Bellevue Washington Convention Center Authority Special
Obligation Revenue Bond, (MBIA Insured), Series 1994
0.000% due 02/01/2024 1,000 244
Washington State General Obligation Bond, Series 1997
0.000% due 07/01/2017 1,000 371
Washington State General Obligation Bond, Series 1999
5.625% due 07/01/2018 1,100 1,099
Washington State Housing Finance Community,
(LOC-U.S. Bank N.A.), Series 1997
3.900% due 07/01/2022 200 200
Washington State Public Power Supply System Nuclear
Project No 3 Revenue Bonds, (BIG Insured), Series 1989
0.000% due 07/01/2014 1,270 562
---------
2,476
=========
Wisconsin 2.7%
Wisconsin State Health & Education Facilities Authority
Revenue Bonds, (LOC-Allied Irish Bank PLC Insured),
Series 1997 3.900% due 11/01/2017 (d) 1,400 1,400
---------
Total Municipal Bonds & Notes 54,277
(Cost $54,417) =========
152 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 0.1%
-------------------------------------------------------------------------------
Commercial Paper 0.1%
SSgA Tax Free Money Market
3.282% due 04/03/2000 $ 61 $ 61
---------
Total Short-Term Instruments 61
(Cost $61) =========
Total Investments (a) 103.3% $ 54,338
(Cost $54,478)
Other Assets and Liabilities (Net) (3.3%) (1,755)
---------
Net Assets 100.0% $ 52,583
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $54,478 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $ 877
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value (1,017)
---------
Unrealized depreciation-net $ (140)
=========
2000 Annual Report See accompanying notes 153
<PAGE>
Schedule of Investments
Short Duration Municipal Income
March 31, 2000
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
-----------------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 97.5%
-----------------------------------------------------------------------------------------
<S> <C> <C>
Arizona 0.9%
Arizona State Transportation Board
Excise Tax Revenue Bond, (MBIA Insured),
Series 1989 7.000% due 07/01/2000 $ 100 $ 101
---------
California 4.7%
California Health Facilities Finance Authority
Revenue Bond, Series 1995 4.250% due 07/01/2011 500 500
---------
Colorado 6.5%
Denver Colorado Health & Hospital Revenue Bond,
Series 1998 5.000% due 12/01/2002 500 493
Denver, Colorado City and County Airport Revenue Bond,
Series 1990 8.100% due 11/15/2000 200 203
---------
696
=========
Florida 18.5%
Atlantic Beach Florida Health Care Facilities Revenue Bond,
(ACA Insured), Series 1999 5.000% due 10/01/2001 500 500
Gulf Breeze Florida Revenue, (MBIA Insured),
Series 1997 4.372% due 12/01/2017 (b) 500 469
Orlando Florida, Waste Water Systems Revenue Bonds,
Series 1997 3.500% due 10/01/2015 (b) 600 524
Port Palm Beach District Florida Revenue, (MBIA Insured),
Series 1999 A 4.200% due 09/01/2001 500 496
---------
1,989
=========
Georgia 9.4%
Dalton, Georgia Utilities Revenue Bond, (MBIA Insured),
Series 1997 4.750% due 01/01/2001 500 502
Fulton County Georgia Water & Sewer Revenue Bond,
(FGIC Insured), Series 1992 5.625% due 01/01/2001 500 505
---------
1,007
=========
Hawaii 11.4%
Hawaii Airport Systems Revenue Bonds, (MBIA Insured),
Series 1991 6.600% due 07/01/2004 500 519
Hawaii State General Obligation Bonds, Series 1993
5.500% due 07/01/2001 500 505
Hawaii State Housing Finance & Development Corp.
Revenue, Series 1998 4.250% due 07/01/2001 195 195
---------
1,219
=========
Indiana 2.3%
Indiana State Educational Facilities Authority Revenue
Bonds, Series 1998 4.000% due 10/15/2000 250 250
---------
Maine 5.1%
Eastport Maine Industrial Development Revenue,
(LOC-Wachovia Bank), Series 1989
4.750% due 11/15/2001 250 251
5.100% due 11/15/2003 300 301
---------
552
=========
Minnesota 2.5%
Minnesota State Higher Education Facilities Authority
Revenue, Series 1998 4.500% due 03/01/2001 270 271
---------
Missouri 2.2%
Missouri State Housing Development Community
Mortgage Revenue Bonds, (GNMA/FNMA Insured),
Series 1996 7.100% due 09/01/2027 225 241
---------
Nevada 4.6%
Carson City Nevada School District General Obligation
Bond, (FGIC Insured), Series 1990 6.600% due 04/01/2001 485 496
---------
New York 4.6%
New York State Dormitory Authority Revenue Bond,
(MBIA Insured), Series 1999 4.300% due 07/01/2002 500 493
---------
Pennsylvania 4.7%
Dauphin County, Pennsylvania General Authority Bond,
(AMBAC Insured), Series 1997 4.450% due 09/01/2032 500 500
---------
Rhode Island 4.9%
Convention Center Authority Rhode Island Revenue Bond,
(MBIA Insured), Series 1991 6.700% due 05/15/2020 500 521
---------
Texas 9.2%
Midlothian Texas Independent School District General
Obligation Bond, (PSF-GTD Insured), Series 1999
0.000% due 02/15/2001 500 482
Tarrant County, Texas Water Control & Refund & Import,
(AMBAC Insured), Series 1992 5.750% due 03/01/2013 500 507
---------
989
=========
Wisconsin 6.0%
Oshkosh Water Revenue Bonds, Series 1999
4.700% due 01/01/2002 500 498
Wisconsin State Health & Education Facilities
Authority Revenue Bond, (MBIA Insured), Series 1991
6.000% due 11/15/2000 150 151
---------
649
---------
Total Municipal Bonds & Notes 10,474
(Cost $10,468) =========
-----------------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.0%
-----------------------------------------------------------------------------------------
Commercial Paper 1.0%
SSgA Tax Free Money Market
3.282% due 04/03/2000 102 102
---------
Total Short-Term Instruments 102
(Cost $102) =========
Total Investments (a) 98.5% $ 10,576
(Cost $10,570)
Other Assets and Liabilities (Net) 1.5% 159
---------
Net Assets 100.0% $ 10,735
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $10,570 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 29
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (23)
---------
Unrealized appreciation-net $ 6
=========
(b) Variable rate security. The rate listed is as of March 31, 2000.
</TABLE>
154 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
California Intermediate Municipal Bond
March 31, 2000
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
----------------------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 124.0%
----------------------------------------------------------------------------------------------
<S> <C> <C>
California 112.7%
Anaheim, California Public Financing Authority
Revenue Bond, (AMBAC Insured), Series 1999
4.625% due 10/01/2027 $ 150 $ 151
Antioch California Public Financing Authority
Reassessement Revenue, Series 1998
5.500% due 09/02/2008 500 489
California Educational Facilities Authority,
Series 1997 A 5.700% due 10/01/2015 135 138
California Health Facilities Finance Authority Revenue,
Series 1995 4.250% due 07/01/2011 500 500
California Housing Financial Agency
Revenue Bonds, (AMBAC FHA Insured),
Series 1996 5.950% due 02/01/2011 100 104
California Pollution Control Financing Authority,
Series 1999 A 4.500% due 08/01/2003 150 149
California State Department Veteran Affairs
Home Revenue, Series 2000 4.900% due 12/01/2005 500 501
5.000% due 12/01/2006 500 502
California State Department Water Center
Revenue Bonds, Series 1993 8.375% due 12/01/2003 150 170
California State Economic Development Authority
Industrial, Series 1997 3.300% due 08/01/2027 875 875
3.450% due 08/01/2027 380 380
California State General Obligation Bond,
(MBIA Insured), Series 1992 7.500% due 10/01/2007 400 471
California State General Obligation Bond, Series 1998
5.000% due 02/01/2023 120 109
California State General Obligation Bond,
Series 2000 5.250% due 03/01/2013 300 302
5.500% due 03/01/2015 500 507
California State School Improvement Note,
Series 2000 5.250% due 03/01/2005 100 103
5.000% due 03/01/2011 100 100
California State Veterans General Obligation Bond,
Series 1985 - AV 8.000% due 10/01/2005 40 47
California State Veterans General Obligation Bond,
Series 1997 BL 5.300% due 12/01/2012 400 401
Chico California Public Financing Authority Revenue,
(FSA Insured), Series 1996 5.200% due 04/01/2011 485 494
Long Beach, California Harbor Revenue Bonds,
Series 1993 4.700% due 05/15/2004 150 151
Los Angeles, California Airports Improvement Revenue Bonds,
(LOC - Wachovia Bank of Georgia Insured), Series 1984
3.500% due 12/01/2024 (b) 100 100
Los Angeles, California State Building Authority Lease
Revenue Bonds, Series 1999 A 4.600% due 10/01/2007 150 149
Los Angeles, California Unified School District General
Obligation Bonds, (MBIA Insured), Series 1999 C
4.750% due 07/01/2010 30 30
Metropolitan Water District Southern California General
Obligation Bonds, Series 1993 A1 7.250% due 03/01/2007 150 173
Pacific Housing & Finance Agency Revenue Bonds,
(MBIA Insured), Series 1999
4.625% due 12/01/2004 250 248
Redding California Electric System Revenue Partnership,
Series 1993 5.684% due 06/28/2019 500 494
Regional Airports Import Corporation Los Angeles California,
Series 1989 3.600% due 12/01/2025 300 300
Sacramento California Municipal Utilitiy District Revenue,
Series 1983 9.000% due 04/01/2013 960 1,207
San Francisco California City & County Airport Community
Revenue, Series 1998 5.500% due 05/01/2015 300 300
San Francisco California City,
Series 1999 4.750% due 05/01/2004 500 501
San Francisco, CA City & County Airport Revenue Bonds,
(MBIA Insured), Series 1996 8.000% due 05/01/2005 500 573
San Jose, California Unified School District, (MBIA Insured),
Series 1998 4.000% due 08/01/2008 100 93
San Pablo California Redevelopment Agency Revenue,
Series 1979 8.000% due 10/01/2011 145 167
Santa Margarita/Dana Point Authority California Revenue,
(MBIA Insured), Series 1994 7.250% due 08/01/2006 150 171
South Tahoe California Powers Financing Authority,
Series 1999 7.300% due 10/01/2007 150 152
Southern California Public Power Authority Revenue Bonds,
(FSA-CR Insured), Series 1993 5.000% due 07/01/2015 110 105
Stockton California Certificate Participation,
Series 1999 4.750% due 08/01/2006 120 119
----------
11,526
==========
Puerto Rico 11.3%
Puerto Rico Commonwealth Highway & Transportation
Authority, Series 1993 5.200% due 07/01/2003 500 505
Puerto Rico Commonwealth Infrastructure Financing
Authority Revenue Bonds, (AMBAC Insured)
Series 1998 5.250% due 07/01/2010 150 153
Puerto Rico Public Finance Corp. Revenue Bond,
(AMBAC Insured), Series 1998 A 5.000% due 06/01/2007 500 504
----------
1,162
----------
Total Municipal Bonds & Notes 12,688
(Cost $12,616) ==========
----------------------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.0%
----------------------------------------------------------------------------------------------
Commercial Paper 1.0%
R & T California Money Market
2.660% due 04/03/2000 101 101
----------
Total Short-Term Instruments 101
(Cost $101) ==========
Total Investments (a) 125.0% $ 12,789
(Cost $12,717)
Other Assets and Liabilities (Net) (25.0%) (2,561)
----------
Net Assets 100.0% $ 10,228
==========
</TABLE>
2000 Annual Report See accompanying notes 155
<PAGE>
Schedule of Investments (Cont.)
California Intermediate Municipal Bond
March 31, 2000
--------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $12,717 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 86
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (14)
-----------
Unrealized appreciation-net $ 72
===========
(b) Variable rate security. The rate listed is as of March 31, 2000.
156 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
New York Intermediate Municipal Fund
March 31, 2000
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 94.7%
--------------------------------------------------------------------------------------
<S> <C> <C>
New York 94.7%
Amherst, New York, Series A
5.500% due 12/01/2008 $ 150 $ 155
Edmeston, New York Central School District
5.100% due 06/15/2007 150 151
Genesee County, New York General
Obligation Bonds, (FGIC Insured),
Series 1999 5.000% due 08/15/2007 150 150
Nassau County, New York Tobacco
Settlement Corp. Revenue Bonds,
Series 1999 5.250% due 07/15/2011 150 150
New York City General Obligation Bonds,
(MBIA Insured), Series 1994 3.700% due 08/15/2005 (b) 200 200
New York City General Obligation Bonds,
Series 1996 5.875% due 08/01/2024 250 248
New York City General Obligation Bonds,
Series 1997 5.300% due 06/01/2012 150 150
New York State Dormitory Authority Revenue Bond,
(MBIA Insured), Series 1999 4.750% due 07/01/2006 150 148
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,
(MBIA Insured), Series 1999 4.750% due 07/01/2006 95 94
New York State Dormitory Authority Revenue,
(FSA Insured), Series 1998 4.750% due 07/01/2008 150 147
New York State Local Government Assistance Corp.,
(MBIA Insured), Series 1997-B 5.125% due 04/01/2013 150 147
New York State Mortgage Agency Revenue Bonds,
Series 1998 5.350% due 04/01/2007 150 150
New York State Mortgage Agency Revenue,
Series 1997 5.200% due 10/01/2008 145 144
New York State Power Authority Revenue & General Purpose,
Series 1972-E 5.500% due 01/01/2010 135 136
New York State Thruway Authority Service Contract Revenue,
(MBIA Insured), Series 1999 4.900% due 04/01/2008 150 149
New York State Urban Develpoment Corp.
Revenue Bonds, Series 1999 5.000% due 01/01/2005 150 150
Port Authority New York & New Jersey, (FGIC Insured),
Series 1999 5.000% due 09/15/2005 150 150
Rockland County New York Solid Waste Management
Authority, Series 1999 A 4.800% due 12/15/2005 145 144
----------
Total Municipal Bonds & Notes 2,914
(Cost $2,922) ==========
--------------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 3.4%
--------------------------------------------------------------------------------------
Commercial Paper 3.4%
R & T New York Money Market
3.100% due 04/03/2000 104 104
----------
Total Short-Term Instruments 104
(Cost $104)
Value
(000s)
--------------------------------------------------------------------------------------
Total Investments (a) 98.1% $ 3,018
(Cost $3,026) ==========
Other Assets and Liabilities (Net) 1.9% 60
----------
Net Assets 100.0% $ 3,078
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes of $3,026 was as
follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 10
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (18)
----------
Unrealized depreciation-net $ (8)
==========
(b) Variable rate security. The rate listed is as of March 31, 2000.
</TABLE>
2000 Annual Report See accompanying notes 157
<PAGE>
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 30 separate
investment funds (the "Funds"). The Trust may offer up to six classes of shares:
Institutional, Administrative, A, B, C and D. Each share class has identical
voting rights (except that shareholders of a class have exclusive voting rights
regarding any matter relating solely to that class of shares). Information
presented in these financial statements pertains to the Institutional and
Administrative Classes (the "Institutional Classes") of the Trust. Certain
detailed financial information for the A, B, C and D Classes (the "Other
Classes") is provided separately and is available upon request.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements in
conformity with generally accepted accounting principles. The preparation of
financial statements in accordance with generally accepted accounting principles
requires management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates.
Security Valuation. Portfolio securities and other financial instruments for
which market quotations are readily available are stated at market value. Market
value is determined on the basis of last reported sales prices, or if no sales
are reported, as is the case for most securities traded over-the-counter, the
mean between representative bid and asked quotations obtained from a quotation
reporting system or from established market makers. Fixed income securities,
including those to be purchased under firm commitment agreements, are normally
valued on the basis of quotes obtained from brokers and dealers or pricing
services. Short-term investments which mature in 60 days or less are valued at
amortized cost, which approximates market value. Certain fixed income securities
for which daily market quotations are not readily available may be valued,
pursuant to guidelines established by the Board of Trustees, with reference to
fixed income securities whose prices are more readily obtainable.
Securities Transactions and Investment Income. Securities transactions are
recorded as of the trade date. Securities purchased or sold on a when-issued or
delayed-delivery basis may be settled a month or more after the trade date.
Realized gains and losses from securities sold are recorded on the identified
cost basis. Dividend income is recorded on the ex-dividend date, except certain
dividends from foreign securities where the ex-dividend date may have passed,
are recorded as soon as the Fund is informed of the ex-dividend date. Interest
income, adjusted for the accretion of discounts and amortization of premiums, is
recorded on the accrual basis.
Dividends and Distributions to Shareholders. Dividends from net investment
income, if any, of each Fund, except the Strategic Balanced, Convertible 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 generally accepted accounting
principles. These differences are primarily due to differing treatments for such
items as wash sales, foreign currency transactions, net operating losses and
capital loss carryforwards.
Distributions reflected as a tax basis return of capital in the
accompanying Statements of Changes in Net Assets have been reclassified to paid
in capital. In addition, other amounts have been reclassified between
undistributed net investment income, accumulated undistributed net realized
gains or losses and paid in capital to more appropriately conform financial
accounting to tax characterizations of dividend and distributions.
Foreign Currency. Foreign currencies, investments, and other assets and
liabilities are translated into U.S. dollars at the exchange rates prevailing at
the end of the period. Fluctuations in the value of these assets and liabilities
resulting from changes in exchange rates are recorded as unrealized foreign
currency gains (losses). Realized gains (losses) and unrealized appreciation
(depreciation) on investment securities and income and expenses are translated
on the respective dates of such transactions. The effect of changes in foreign
currency exchange rates on investments in securities are not segregated in the
Statements of Operations from the effects of changes in market prices of those
securities, but are included with the net realized and unrealized gain or loss
on investment securities.
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.
158 PIMCO Funds
<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 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.
2000 Annual Report 159
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 2000
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 Intermediate 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 Intermediate
Municipal Bond Funds, 0.45% for the Foreign Bond and Global Bond II Funds, 0.55%
for the Emerging Markets Bond Fund and 0.40% for all other Funds. The
Administration Fee for 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 Intermediate 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 Fee (%) Servicing Fee (%)
--------------------------------------------------------------------------------
Class A
Money Market Fund -- 0.10
All other Funds -- 0.25
Class B
All Funds 0.75 0.25
Class C
Total Return, Long-Term U.S. Gov't.,
High Yield, Foreign Bond, Global Bond II,
Convertible, Strategic Balanced and
Emerging Markets Bond 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 March 31,
2000, PFD received $11,859,369 representing commissions (sales charges) and
contingent deferred sales charges.
160 PIMCO Funds
<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 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 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 rata 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> <C> <C> <C> <C>
Convertible Fund 0.65% 0.90% 1.05% 1.80% 1.80% 1.05%
Short Duration Municipal Income Fund 0.39% 0.64% -- -- -- 0.80%
California Intermediate Municipal Bond Fund 0.49% 0.74% 0.85% -- -- 0.85%
New York Intermediate 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 March 31, 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 $ 56,671,088 $ 70,114,485 $ 35,320,326 $ 9,011,674
Total Return Fund II 3,022,991 2,803,293 551,594 313,500
Total Return Fund III 1,088,003 1,043,731 377,193 131,966
Moderate Duration Fund 393,291 405,040 152,697 37,406
Low Duration Fund 1,934,604 2,431,440 2,202,338 1,092,435
Low Duration Fund II 431,634 457,926 170,207 92,604
Low Duration Fund III 15,113 19,520 15,569 4,040
Short-Term Fund 54,571 58,790 298,186 132,990
Long-Term U.S. Government Fund 1,577,956 1,551,989 241,304 25,156
High Yield Fund 0 0 1,702,854 1,323,390
Total Return Mortgage Fund 57,938 46,191 468 12,121
Low Duration Mortgage Fund 22,685 23,105 41,517 40,498
Real Return Bond Fund 688,938 446,634 147,408 28,564
Foreign Bond Fund 1,162,359 1,173,327 2,025,127 2,209,981
Global Bond Fund 363,748 372,062 830,550 816,367
Global Bond Fund II 94,276 81,550 186,188 138,372
Emerging Markets Bond Fund 0 0 77,633 60,388
Strategic Balanced Fund 201,324 163,287 83,174 32,490
Convertible Fund 0 0 300,599 159,204
StocksPLUS Fund 658,594 580,578 753,342 454,667
Municipal Bond Fund 0 0 80,961 81,082
California Intermediate Municipal Bond Fund 3,810 3,818 27,038 14,395
New York Intermediate Municipal Bond Fund 0 0 10,957 8,023
Short Duration Municipal Income Fund 0 0 28,389 17,860
</TABLE>
2000 Annual Report 161
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 2000
5. Shares of Beneficial Interest
The Trust may issue an unlimited number of shares of beneficial interest with a
$.0001 par value. Changes in shares of beneficial interest were as follows
(amounts in thousands):
<TABLE>
<CAPTION>
Total Return Fund Total Return Fund II
----------------------------------------------- -----------------------------------------------
Year Ended 03/31/2000 Year Ended 03/31/1999 Year Ended 03/31/2000 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
----------------------------------------------- -----------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 911,222 $9,137,242 865,137 $9,217,965 66,740 $ 653,040 47,982 $ 496,483
Administrative Class 218,285 2,193,159 165,308 1,767,082 3,294 31,950 7,593 79,589
Other Classes 215,631 2,171,970 160,449 1,709,684 0 0 0 0
Shares issued in reorganization
Institutional Class 0 0 0 0 0 0 0 0
Administrative Class 0 0 0 0 0 0 0 0
Other Classes 0 0 0 0 0 0 0 0
Issued as reinvestment of
distributions
Institutional Class 116,974 1,172,270 152,580 1,621,248 5,709 55,668 6,253 64,838
Administrative Class 11,320 113,239 7,521 79,793 286 2,786 507 5,036
Other Classes 12,790 128,441 11,969 127,090 0 0 0 0
Cost of shares redeemed
Institutional Class (623,571) (6,242,527) (474,696) (5,071,068) (39,438) (384,235) (12,604) (131,415)
Administrative Class (95,333) (953,360) (27,767) (296,106) (3,124) (30,450) (4,162) (42,493)
Other Classes (122,336) (1,223,161) (42,934) (458,229) 0 0 0 0
Net increase resulting from
Fund share transactions 644,982 $6,497,273 817,567 $8,697,489 33,467 $ 328,759 45,569 $ 472,038
</TABLE>
<TABLE>
<CAPTION>
Total Return Fund III
-----------------------------------------------
Year Ended 03/31/2000 Year Ended 03/31/1999
Shares Amount Shares Amount
-----------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 27,684 $ 246,232 18,305 $ 175,032
Administrative Class 942 8,282 169 1,618
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 3,669 32,584 4,287 40,765
Administrative Class 22 195 16 151
Other Classes 0 0 0 0
Cost of shares redeemed
Institutional Class (11,285) (99,748) (8,139) (79,250)
Administrative Class (5) (40) (2) (20)
Other Classes 0 0 0 0
Net increase resulting from
Fund share transactions 21,027 $ 187,505 14,636 $ 138,296
</TABLE>
<TABLE>
<CAPTION>
Short-Term Fund Money Market Fund
------------------------------------------------ --------------------------------------------------
Year Ended 03/31/2000 Year Ended 03/31/1999 Year Ended 03/31/2000 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
------------------------------------------------ --------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 120,611 $1,202,372 85,689 $ 860,075 382,805 $ 382,805 808,199 $ 808,199
Administrative Class 1,778 17,721 2,713 27,827 45,030 45,030 40,192 40,192
Other Classes 13,899 138,529 15,676 157,205 6,791,637 6,791,637 5,353,575 5,353,575
Shares issued in reorganization
Institutional Class 0 0 0 0 0 0 0 0
Administrative Class 0 0 0 0 0 0 0 0
Other Classes 0 0 0 0 0 0 0 0
Issued as reinvestment of
distributions
Institutional Class 2,198 21,902 1,615 16,198 14,007 14,008 2,847 2,847
Administrative Class 24 234 93 301 426 426 177 177
Other Classes 499 4,967 285 2,859 6,923 6,923 5,275 5,275
Cost of shares redeemed
Institutional Class (113,004) (1,126,670) (55,050) (552,459) (414,090) (414,090) (544,088) (544,088)
Administrative Class (656) (6,533) (2,942) (29,487) (44,939) (44,939) (31,845) (31,845)
Other Classes (14,093) (140,433) (8,944) (89,676) (6,778,173) (6,778,173) (5,252,531) (5,252,531)
Net increase resulting from
Fund share transactions 11,256 $ 112,089 39,135 $ 392,843 3,626 $ 3,627 381,801 $ 381,801
</TABLE>
<TABLE>
<CAPTION>
Long-Term U.S. Government Fund
------------------------------------------------
Year Ended 03/31/2000 Year Ended 03/31/1999
Shares Amount Shares Amount
------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 17,536 $ 170,823 17,156 $ 187,435
Administrative Class 4,792 47,739 872 9,432
Other Classes 6,812 66,187 10,378 114,014
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 1,110 10,760 780 8,444
Administrative Class 246 2,386 54 587
Other Classes 396 3,859 423 4,587
Cost of shares redeemed
Institutional Class (13,014) (124,451) (5,944) (65,866)
Administrative Class (2,075) (20,024) (290) (3,111)
Other Classes (6,842) (66,603) (3,131) (34,334)
Net increase resulting from
Fund share transactions 8,961 $ 90,676 20,298 $ 221,188
</TABLE>
162 PIMCO Funds
<PAGE>
<TABLE>
<CAPTION>
Moderate Duration Fund Low Duration Fund
------------------------------------------------- -------------------------------------------------
Year Ended 03/31/2000 Year Ended 03/31/1999 Year Ended 03/31/2000 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
------------------------------------------------- -------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
20,710 $ 200,422 19,071 $ 192,700 287,904 $2,852,869 220,726 $2,244,772
0 0 0 0 8,814 87,882 15,711 160,036
0 0 0 0 53,936 534,201 65,554 667,128
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
2,170 20,913 2,044 20,722 20,182 199,668 17,508 178,085
0 0 0 0 747 7,388 789 8,030
0 0 0 0 1,912 18,941 1,463 14,872
(14,158) (137,218) (12,764) (129,738) (290,438) (2,872,755) (176,127) (1,790,902)
0 0 0 0 (10,124) (100,890) (8,351) (85,080)
0 0 0 0 (49,060) (485,171) (49,098) (499,621)
8,722 $ 84,117 8,351 $ 83,684 23,873 $ 242,133 88,175 $897,320
</TABLE>
<TABLE>
<CAPTION>
Low Duration Fund II Low Duration Fund III
------------------------------------------------- -------------------------------------------------
Year Ended 03/31/2000 Year Ended 03/31/1999 Year Ended 03/31/2000 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
------------------------------------------------- -------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
13,865 $ 136,132 8,746 $ 87,842 1,305 $ 12,807 256 $ 2,570
26 251 2,212 22,291 4 46 1 7
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
2,647 25,816 2,394 24,013 174 1,702 163 1,637
1 12 72 719 0 1 0 0
0 0 0 0 0 0 0 0
(9,884) (96,194) (9,600) (96,356) (791) (7,810) (134) (1,349)
(2,291) (22,782) (19) (194) (4) (43) 0 0
0 0 0 0 0 0 0 0
4,364 $ 43,235 3,805 $ 38,315 688 $ 6,703 286 $ 2,865
</TABLE>
<TABLE>
<CAPTION>
High Yield Fund Total Return Mortgage Fund
------------------------------------------------- -------------------------------------------------
Year Ended 03/31/2000 Year Ended 03/31/1999 Year Ended 03/31/2000 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
------------------------------------------------- -------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
112,421 $1,221,190 104,904 $1,188,947 5 $ 51 31 $ 313
23,707 255,416 18,654 211,212 0 0 0 0
55,214 597,715 51,924 589,193 18 176 17 178
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
16,391 176,340 12,000 136,088 24 235 24 249
2,363 25,317 889 10,049 0 0 0 0
3,722 40,061 2,307 26,142 1 5 1 7
(129,621) (1,380,777) (64,085) (721,757) (34) (342) 0 (1)
(12,693) (135,307) (4,287) (48,081) 0 0 0 0
(48,358) (518,612) (24,998) (284,595) (21) (212) 0 0
23,146 $ 281,343 97,308 $1,107,198 (7) $ (87) 73 $ 746
</TABLE>
<TABLE>
<CAPTION>
Low Duration Mortgage Fund Real Return Bond Fund
------------------------------------------------- -------------------------------------------------
Year Ended 03/31/2000 Year Ended 03/31/1999 Year Ended 03/31/2000 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
------------------------------------------------- -------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
3 $ 27 17 $ 174 20,255 $ 197,599 1,180 $ 11,606
0 0 0 0 0 0 0 0
0 0 0 0 5,672 55,389 1,338 13,163
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
26 261 26 263 451 4,405 35 354
0 0 0 0 0 0 0 0
0 0 0 0 145 1,416 26 253
(5) (48) (2) (19) (1,320) (12,861) (195) (1,921)
0 0 0 0 0 0 0 0
0 0 0 0 (841) (8,197) (320) (3,138)
24 $ 240 41 $ 418 24,362 $ 237,751 2,064 $ 20,317
</TABLE>
2000 Annual Report 163
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 2000
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
(amounts in thousands):
<TABLE>
<CAPTION>
Foreign Bond Fund Global Bond Fund
------------------------------------------------- -------------------------------------------------
Year Ended 03/31/2000 Year Ended 03/31/1999 Year Ended 03/31/2000 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
------------------------------------------------- -------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 17,555 $ 178,740 26,952 $ 289,812 9,839 $ 90,144 7,003 $ 70,516
Administrative Class 463 4,784 204 2,200 795 7,497 111 1,116
Other Classes 7,466 76,013 6,321 67,890 0 0 0 0
Shares issued in reorganization
Institutional Class 0 0 0 0 0 0 0 0
Administrative Class 0 0 0 0 0 0 0 0
Other Classes 0 0 0 0 0 0 0 0
Issued as reinvestment of
distributions
Institutional Class 2,850 28,907 2,746 29,323 1,162 10,736 1,228 12,222
Administrative Class 32 324 11 115 19 172 7 70
Other Classes 609 6,155 417 4,443 0 0 0 0
Cost of shares redeemed
Institutional Class (28,226) (286,997) (16,338) (174,844) (8,187) (74,885) (7,326) (73,227)
Administrative Class (211) (2,130) (47) (507) (701) (6,530) (142) (1,398)
Other Classes (4,535) (45,879) (1,897) (20,336) 0 0 0 0
Net increase resulting from
Fund share transactions (3,997) $ (40,083) 18,369 $ 198,096 2,927 $ 27,134 881 $ 9,299
</TABLE>
<TABLE>
<CAPTION>
Global Bond Fund II
-------------------------------------------------
Year Ended 03/31/2000 Year Ended 03/31/1999
Shares Amount Shares Amount
-------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 6,377 $ 59,618 418 $ 4,100
Administrative Class 0 0 0 0
Other Classes 460 4,394 399 3,958
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 268 2,526 166 1,643
Administrative Class 0 0 0 0
Other Classes 58 545 65 641
Cost of shares redeemed
Institutional Class (558) (5,204) (119) (1,175)
Administrative Class 0 0 0 0
Other Classes (595) (5,615) (852) (8,418)
Net increase resulting from
Fund share transactions 6,010 $ 56,264 77 $ 749
</TABLE>
<TABLE>
<CAPTION>
Short
Duration
Municipal
Municipal Bond Fund Income Fund
------------------------------------------------- ------------------------
Period from 08/31/1999
Year Ended 03/31/2000 Year Ended 03/31/1999 to 03/31/2000
Shares Amount Shares Amount Shares Amount
------------------------------------------------- ------------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 443 $ 4,203 589 $ 5,971 1,050 $ 10,500
Administrative Class 315 3,032 150 1,529 0 0
Other Classes 1,697 16,283 1,294 10,783 1 10
Shares issued in reorganization
Institutional Class 0 0 0 0 0 0
Administrative Class 0 0 0 0 0 0
Other Classes 0 0 4,716 47,296 0 0
Issued as reinvestment of
distributions
Institutional Class 25 239 20 200 24 241
Administrative Class 12 113 1 8 0 0
Other Classes 134 1,286 94 953 0 0
Cost of shares redeemed
Institutional Class (450) (4,329) (330) (3,365) 0 0
Administrative Class (135) (1,268) (11) (112) 0 0
Other Classes (2,276) (21,656) (1,039) (10,555) 0 0
Net increase resulting from
Fund share transactions (235) $(2,097) 5,484 $ 52,708 1,075 $ 10,751
</TABLE>
<TABLE>
<CAPTION>
California New York
Intermediate Intermediate
Municipal Municipal
Bond Fund Bond Fund
------------------------ ------------------------
Period from 08/31/1999 Period from 08/31/1999
to 03/31/2000 to 03/31/2000
Shares Amount Shares Amount
------------------------ ------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 885 $ 8,840 300 $ 3,000
Administrative Class 1 10 0 0
Other Classes 190 1,889 2 20
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 9 91 8 76
Administrative Class 0 0 0 0
Other Classes 1 12 0 0
Cost of shares redeemed
Institutional Class (56) (556) 0 0
Administrative Class 0 0 0 0
Other Classes (12) (119) 0 0
Net increase resulting from
Fund share transactions 1,018 $ 10,167 310 $ 3,096
</TABLE>
164 PIMCO Funds
<PAGE>
<TABLE>
<CAPTION>
Emerging Markets Bond Fund Strategic Balanced Fund
------------------------------------------------- -------------------------------------------------
Year Ended 03/31/2000 Year Ended 03/31/1999 Year Ended 03/31/2000 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
------------------------------------------------- -------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2,116 $ 16,701 99 $ 794 880 $ 8,040 4,322 $ 55,153
3,429 25,789 15 101 75 956 0 0
125 979 125 959 704 12,505 13 164
0 0 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
111 888 53 397 552 7,091 322 4,030
114 915 1 8 3 45 0 0
9 73 5 45 161 2,065 1 14
(1,248) (9,797) (47) (346) (2,101) (26,925) (50) (640)
(1,993) (15,204) 0 0 (23) (293) 0 0
(37) (311) (103) (789) (949) (11,948) 0 (6)
2,626 $ 20,033 148 $ 1,169 4,439 $ 58,316 4,608 $ 58,715
</TABLE>
<TABLE>
<CAPTION>
Convertible Fund StocksPLUS Fund
----------------------- -------------------------------------------------
Year Ended 03/31/2000 Year Ended 03/31/2000 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount
----------------------- -------------------------------------------------
<S> <C> <C> <C> <C> <C>
13,295 $ 176,112 15,093 $ 218,329 14,640 $ 204,651
0 0 4,321 63,727 685 9,414
1,059 14,391 35,815 512,940 34,617 482,821
0 0 0 0 0 0
0 0 0 0 0 0
0 0 0 0 0 0
137 1,984 7,047 99,393 4,466 61,000
0 0 530 7,404 72 978
8 120 9,584 133,688 3,988 54,076
(2,763) (41,632) (14,080) (201,504) (12,901) (181,983)
0 0 (3,619) (52,930) (117) (1,643)
(61) (841) (32,255) (455,756) (9,449) (131,236)
11,675 $ 150,134 22,436 $ 325,291 36,001 $ 498,078
</TABLE>
2000 Annual Report 165
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 2000
6. Transactions in Written Call and Put Options
Transactions in written call and put options were as follows (amounts in
thousands):
<TABLE>
<CAPTION>
Total Return Total Return II Total Return III Moderate Duration Low Duration
Fund Fund Fund Fund Fund
-------------------------------------------------------------------------------------------------
Premium
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Balance at 03/31/1999 $ 35,106 $ 1,186 $ 1,185 $ 0 $ 1,830
Sales 130,952 3,606 8,258 3,434 9,716
Closing Buys (21,392) (999) (4,158) (2,703) 1,153
Expirations (106,510) (2,013) (2,296) (481) (4,246)
Exercised (6,434) (690) (2,431) 0 (4,580)
-------------------------------------------------------------------------------------------------
Balance at 03/31/2000 $ 31,722 $ 1,090 $ 558 $ 250 $ 3,873
=================================================================================================
<CAPTION>
Low Duration II Low Duration III Long-Term Low Duration Real Return
Fund Fund U.S. Gov't Fund Mortgage Fund Fund
-------------------------------------------------------------------------------------------------
Premium
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Balance at 03/31/1999 $ 0 $ 0 $ 224 $ 0 $ 0
Sales 1,946 27 1,611 2 5
Closing Buys 0 (4) (1) 0 0
Expirations (1,652) 0 (1,211) (2) (5)
Exercised (5) 0 (44) 0 0
-------------------------------------------------------------------------------------------------
Balance at 03/31/2000 $ 289 $ 23 $ 579 $ 0 $ 0
=================================================================================================
<CAPTION>
Foreign Bond Global Bond Global Bond Strategic StocksPLUS
Fund Fund Fund II Balanced Fund Fund
-------------------------------------------------------------------------------------------------
Premium
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Balance at 03/31/1999 $ 126 $ 56 $ 9 $ 21 $ 53
Sales 1,403 822 89 2,808 10,501
Closing Buys (264) (460) 0 (1,166) 4,794
Expirations (745) (178) (55) (868) (13,276)
Exercised (47) (27) (3) (103) (841)
-------------------------------------------------------------------------------------------------
Balance at 03/31/2000 $ 473 $ 213 $ 40 $ 692 $ 1,231
=================================================================================================
</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
Municipal Bond
Fund Tax Exempt Fund 06/26/1998 4,716 $ 47,296 $ 47,296 $ 4,295 $ 51,591 $ 2,335
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 December 30, 1999 through March 31, 2000.
9. Acquisition by Allianz AG
On October 31, 1999 PIMCO Advisors L.P. and related companies entered into an
Implementation and Merger Agreement with Allianz of America, Inc. Pursuant to
the merger agreement, Allianz AG, as the ultimate parent of Allianz of America,
Inc., would acquire a majority ownership (approximately 70%) of PIMCO Advisors
L.P. The consummation of the transaction is subject to certain consents and
approvals. The transaction closed on May 5, 2000.
166 PIMCO Funds
<PAGE>
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 fiscal 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 the 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 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>
11. In-Kind Transactions
For the period ended March 31, 2000, the following funds realized losses from
in-kind redemptions of approximately (amount in thousands):
Total Return Fund $ 1,063
Total Return Fund II 1,770
2000 Annual Report 167
<PAGE>
Report of Independent Accountants
To the Trustees and Institutional and Administrative Class Shareholders of the
PIMCO Funds: Pacific Investment Management Series
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations, changes
in net assets and of cash flows and the financial highlights for the
Institutional and Administrative Class shares present fairly, in all material
respects, the financial position of the Total Return Fund, Total Return Fund II,
Total Return Fund III, Moderate Duration Fund, Low Duration Fund, Low Duration
Fund II, Low Duration Fund III, Short-Term Fund, Money Market Fund, Long-Term
U.S. Government Fund, High Yield Fund, Total Return Mortgage Fund, Low Duration
Mortgage Fund, Real Return Bond Fund, Foreign Bond Fund, Global Bond Fund,
Global Bond Fund II, Emerging Markets Bond Fund, Strategic Balanced Fund,
Convertible Fund, StocksPLUS Fund, Municipal Bond Fund, Short Duration Municipal
Income Fund, California Intermediate Municipal Bond Fund and New York
Intermediate Municipal Bond Fund and (hereafter referred to as the "Funds") at
March 31, 2000, the results of each of their operations, the changes in each of
their net assets and cash flows for the Long-Term U.S. Government Fund, Real
Return Bond Fund, Foreign Bond Fund, Global Bond Fund and Global Bond Fund II
and the financial highlights for the Institutional and Administrative Class
shares for each of the periods indicated, in conformity with accounting
principles generally accepted in the United States. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of securities at March 31,
2000 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Kansas City, Missouri
May 23, 2000
168 PIMCO Funds
<PAGE>
Federal Income Tax Information
(unaudited)
As required by the Internal Revenue Code regulations, shareholders must be
notified within 60 days of the Trust's fiscal year end (March 31, 2000)
regarding the status of the dividend received deduction for corporations.
Dividend Received Deduction. Corporate shareholders are generally entitled to
take the dividend received deduction on the portion of a Fund's dividend
distribution that qualifies under tax law. The percentage of the following
Fund's fiscal 2000 ordinary income dividends that qualifies for the corporate
dividend received deduction is set forth below:
Total Return Fund 0.26%
Total Return Fund III 0.90%
Low Duration Fund 2.80%
High Yield Fund 1.42%
Strategic Balanced Fund 0.11%
Convertible Fund 6.07%
StocksPLUS Fund 0.10%
For the benefit of shareholders of the Municipal Bond, Short Duration Municipal
Income, California Intermediate Municipal Bond and New York Intermediate
Municipal Bond Funds, this is to inform you that 100.00%, 99.58%, 99.93% and
99.96%, respectively, of the dividends paid by the Funds during its fiscal year
qualify as exempt-interest dividends. Shareholders are advised to consult their
own tax advisor with respect to the tax consequences of their investment in the
Trust. In January 2001, you will be advised on IRS Form 1099-DIV as to the
federal tax status of the dividends and distributions received by you in
calendar year 2000.
2000 Annual Report 169
<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 $193 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, California 92660
Custodian
State Street Bank & Trust Company
801 Pennsylvania
Kansas City, Missouri 64105
Transfer Agent
National Financial Data Services
330 W. 9th Street, 4th Floor
Kansas City, MO 64105
Counsel
Dechert Price & Rhoads
1775 Eye Street, N.W.
Washington, D.C. 20006-2401
Independent Accountants
PricewaterhouseCoopers LLP
1055 Broadway
Kansas City, Missouri 64105
<PAGE>
PIMCO Funds Distributors LLC
2187 Atlantic Street, Stamford, CT 06902
This report is submitted for the general information of the shareholders of the
PIMCO Funds. It is not authorized for distribution to prospective investors
unless accompanied or preceded by an effective prospectus for the PIMCO Funds,
which contains information covering its investment policies as well as other
pertinent information.
[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 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]
If you pay attention to a bond fund's yield alone, you could be overlooking a
sizable piece of the pie. Turn to page 4 to find out more.
March 31, 2000
Pacific
Investment Management
Series
Share Classes
A B C
California Intermediate
Municipal 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 Intermediate
Municipal Bond
Real Return Bond
Short-Term
StocksPLUS
Strategic Balanced
Total Return
Page 2
A Distinguished Bond Fund Family and More
Page 4 Today's Investor
Total Return: What Have Bonds Got to Do with It?
Page 6 Economic Outlook
A Conversation with Bill Gross and Paul McCulley
Page 8 Fund Spotlight
PIMCO Total Return and Convertible Funds
Page 10 Service Update and News Highlights
Page 12 Overview: Comprehensive Fund Family
Page 13 PIMCO Funds: Pacific Investment Management Series
Annual Report
PIMCO
FUNDS
<PAGE>
A Distinguished Bond Fund Family
[PHOTO]
Bill Gross
PIMCO Founder
Manager of PIMCO Total Return Fund
When you decided to invest in a PIMCO bond fund, your decision was no doubt
based on a number of factors. Your financial advisor recommended it because it
fit in with your investment goals. You were impressed with its performance
record. Perhaps you'd read about PIMCO's preeminence in the field of bond
investing.
Whatever the reasons you and your advisor chose PIMCO, we're pleased that you
continue to entrust us with your investment and, more importantly, we continue
to work hard to earn your trust anew each day. That's fundamental to PIMCO's
investment philosophy.
On these two pages, we devote some space to reviewing the reasons you may have
chosen PIMCO in the first place, and then we introduce you to four of our
growth-oriented stock funds. You'll find that many of the qualities that may
have caused you to invest in a PIMCO bond fund hold true for our stock funds
too. Because whichever PIMCO fund you choose, you can be sure that your
investment is in the hands of dedicated professionals, experts in their
portfolios' investment style, and committed to helping you meet your financial
goals.
A premier investment manager
Since its founding in 1971, PIMCO has become one of the most respected names in
bond management. This status is due in large part to our pioneering total return
approach to bond investing (turn the page for more on this) and to the
impressive long-term performance of our funds. Our reputation for expert stock
fund management is growing too. In fact, PIMCO now manages over $264 billion in
its stock and bond portfolios, including assets for 46 of the 100 largest U.S.
corporations.
Unsurpassed investment expertise
PIMCO's reputation is founded on the exceptional skills and investment acumen of
its team of portfolio managers and analysts. Each is held to the most demanding
standards, including extensive experience and demonstrated performance. Foremost
among them is Bill Gross, a founding partner of PIMCO and the manager of PIMCO
Total Return Fund. Mr. Gross is renowned for his insight into the economy and
the bond markets. And, with over $31 billion in assets, his Total Return Fund is
America's largest bond fund.
A long-term point of view
Our portfolio managers take the long view when it comes to investing, managing
their funds not just for short-term gain, but for long-term results. For
example, PIMCO's bond fund strategists develop an annual 3- to 5-year economic
outlook to determine what factors will be likely to influence fund performance
going forward.
We encourage investors to take the long-term approach in their own investment
portfolios, too. As Bill Gross says, "Set your sights on a horizon and sail
until you get there." That way you'll be better able to ride out the daily ebb
and flow of the financial markets and focus on your own long-term investment
goals.
"One in five dollars invested in bond funds this year went to Bill Gross's
shop."
The Wall Street Journal, October 1999
Past performance is no guarantee of future results. Numbers may change due to
recent market volatility. Investment return will fluctuate and the value of an
investor's shares will fluctuate and may be worth more or less than original
cost when redeemed. The average annual total return measures performance
assuming that all dividends and capital gains distributions were reinvested.
Returns are for Class C shares, which have a 1% CDSC that may apply in the first
year of ownership. Diversification does not insure against loss. PIMCO stock
funds can invest in foreign securities, which can involve special risks due to
foreign economic and political developments. Equity funds are subject to the
basic stock market risk that a particular security or securities, in general,
may decrease in value. Innovation Fund concentrates on investments in the
technology sector and may be subject to additional risk and additional
volatility compared to a diversified equity fund because (i) technology
securities tend to be more volatile than the overall stock market and (ii) this
Fund can invest in smaller and/or unseasoned companies which tend to be riskier
and more volatile than other types of investments. Opportunity can invest in
small cap stocks and Target can invest in mid cap stocks, which may entail
greater risk due to a higher volatility than large cap stocks. For PIMCO
Innovation, the Lipper Science & Technology Average is calculated by Lipper,
Inc. It is the total-return performance average of funds tracked by Lipper that
have the same Fund Classification. Lipper does not take into account sales
charge. For the 1-year and since inception periods the Class A shares ranked
25/103 and 3/31,
2
<PAGE>
A Family of Impressive Stock Funds Too
One of the fundamentals of sensible investing is portfolio diversification. With
the help of your financial advisor, you may set a target asset allocation based
on factors like your investment time frame and risk tolerance. Regular portfolio
checkups can help maintain that target.
The next time you and your advisor review your portfolio, you may want to
consider a PIMCO stock fund--one of the following growth-oriented stock funds,
for example. Underlying each Fund's impressive long-term track record is a well-
defined investment process, exhaustive research and analysis, strict style
discipline and, of course, the kind of exceptional fund management you've come
to expect from PIMCO.
PIMCO Innovation Fund--a diversified technology fund
Many tech funds have produced high-flying short-term results, but few have
performed as strongly over the long term as the Innovation Fund. Its 5-year
annualized return of 56.66% is the third highest of 31 tech funds ranked by
Lipper. Moreover, it has outperformed the technology-heavy NASDAQ Composite
Index over the 1-, 3-, 5-year and since inception periods ended March 31st. The
Fund's tech-savvy Fund manager, Dennis McKechnie, employs a broad definition of
technology, allowing the Fund to benefit from potential gains occurring across
the sector without exposing the portfolio to the risks of a more highly focused
tech fund.
PIMCO Growth Fund--a large-cap growth fund
PIMCO Growth Fund has amassed a solid short- and long-term track record, with
not a single down calendar year since inception in 1984. In fact, it has
outperformed the S&P 500 for the 1-, 3-, 5- and 10-year periods ended March
31st. Fund manager Ken Corba, a growth purist with over 14 years of investment
experience, employs a disciplined investment process to ensure the Fund remains
a pure large-cap growth holding, making it an attractive core stock component
for almost any investment portfolio.
PIMCO Target Fund--a mid-cap growth fund
PIMCO Target Fund has beaten both its Lipper average and the S&P MidCap 400
Index for the 1-, 3-, 5-year and since inception periods ended March 31st. The
mid-cap sector is often overlooked, even though medium-sized companies have a
history of growing faster than large-and small-cap businesses.* PIMCO Target
Fund managers Jeff Parker and Ken Corba seek to invest in the most dynamic mid-
sized firms. This potential for growth, coupled with the fact that mid-cap
stocks tend to be less risky than small-cap issues, makes the Fund a smart
complement to many investors' portfolios.
PIMCO Opportunity Fund--a small-cap growth fund
PIMCO Opportunity Fund has a strong long-term record, outperforming the small-
cap Russell 2000 Index for the 1-, 3-, 5-, 10-, and 15-year periods ended March
31st. Although the small-cap sector is often overshadowed by large-cap stocks,
it continues to be a dynamic area of the market with great growth potential.
Portfolio manager Michael Gaffney, a small-cap specialist, adheres to a policy
of strict style consistency to ensure that investors retain a pure small-cap
investment to balance their large-cap holdings.
<TABLE>
<CAPTION>
PIMCO's growth-oriented stock funds have solid long-term track records
Average annual total return for periods ending 3/31/00
1 yr 3 yrs 5 yrs 10 yrs or Incept.
<S> <C> <C> <C> <C>
PIMCO Innovation Fund (incept. 12/22/94) 163.31% 87.88% 56.66% 55.42%
NASDAQ Composite Index 85.78% 55.26% 41.11% 41.04%
PIMCO Target Fund (incept. 12/17/92) 118.93% 49.42% 34.82% 28.45%
S&P MidCap 400 Index 38.08% 27.39% 24.08% 18.83%
PIMCO Opportunity Fund (incept. 2/24/84) 98.80% 33.81% 22.90% 23.10%
Russell 2000 Index 37.29% 17.75% 17.24% 12.77%
PIMCO Growth Fund (incept. 2/24/84) 41.92% 39.49% 29.90% 20.30%
S&P 500 Index 17.94% 27.40% 26.76% 18.46%
</TABLE>
respectively. All share classes have the same portfolio but different expenses.
For the 15-year period Opportunity Fund C shares return was 19.63% and for the
Russell 2000 Index was 12.77%. *Source: FactSet. Based on 3-year historical
earnings per share growth rate as of 11/08/99. 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.
3
<PAGE>
Today's
Investor
Total Return: What Have Bonds Got to Do with It?
Bonds are purely an income-producing investment. True or false?
If you said "true", you're in good company. You also happen to be wrong. Many
investors assume a bond's return is limited to the income it produces, otherwise
known as its yield. But yield is only part of the story. Bonds can also increase
(or decrease) in price, and this change in price plus yield represent a bond's
total return.
[GRAPHIC]
Under the leadership of Bill Gross, PIMCO was one of the first bond firms to
apply a total return approach to bond investing. We believe that focusing on
income alone means sacrificing valuable return potential. In this article, we
explain why investing for total return is important and show you how we manage
our bond portfolios to maximize it.
Price appreciation, yield and total return
. A bond's price, or a bond fund's share price (net asset value), changes when
the prevailing interest rates do. Price, however, moves in the opposite
direction of interest rates. So when rates fall, the price of a bond
appreciates. Of course, the inverse is also true: rising interest rates cause
bond prices to fall.
. Yield is the measure of the amount of income a bond or bond fund generates.
Unlike a bond's coupon rate, it's not a static number. When the price of a bond
falls, the yield rises, and vice versa. Many people choose bond investments on
the basis of their yield, paying little or no attention to price or capital
appreciation potential.
. Total return includes both a bond's price appreciation (or depreciation) and
its yield. As you can see, if you don't take both factors into account, you'll
be overlooking an important element of a bond's full return. And, in fact, total
return provides you with a much truer picture of your return on investment over
time.
How capital appreciation can contribute to total return
This example shows how capital appreciation, in addition to income, has made an
important contribution to overall returns of PIMCO Total Return Fund (5/87-
3/00).
79% Income_______________
_____________21% Capital Appreciation
The risks of artificially stretching for yield
If a bond fund is managed for income alone, it can limit return potential. It
can also incline a manager to stretch for yield, a practice that involves
employing yield-maximizing strategies that can increase portfolio risk.
How does chasing yield increase risk? Two of the major factors affecting a
bond's yield are credit quality and maturity. Bonds of lower credit quality
offer higher yields because the companies that issue them are less creditworthy
and must bump up yield to compensate buyers for the extra default risk their
bonds entail. That's why these "high yield bonds" are often called "junk bonds."
Another way to increase yield is to invest in bonds with longer maturities. But
the longer the maturity, the more a bond is subject to interest rate risk. Both
of these factors create less stability of principal.
Of course, there is nothing wrong with investing in high yield or long-term
bonds or bond funds. Their higher yield potential is an attractive feature. But
it's important for investors to be aware of the additional risks. And if
investors choose a bond fund that is managed with a total return focus, they can
be confident the fund manager will not take unnecessary risks purely to bump up
yield.
The benefits of a total return focus
Here's a quick rundown on the advantages a total return bond fund can offer.
. The potential for higher overall returns--As you've already seen, a bond fund
managed for capital appreciation potential in addition to income can provide a
more attractive overall return on investment.
. The potential for lower risk--A bond fund can offer an attractive yield and
still lose money on a total return basis. That's because its share price can
drop, causing your investment to depreciate. A total return focus means that the
fund manager won't sacrifice principal preservation in order to pay the highest
yield.
. An all-weather investment approach--When general interest rates rise, bond
prices fall and yields
4
<PAGE>
rise. When rates fall, bond prices rise and yields decline. A total return
specialist takes both price and yield into account, and has experience actively
managing the fund to maximize return potential no matter which set of market
conditions prevail.
Obviously, managing bonds for total return is a complicated process. It's
difficult for an individual investor to do. Trading costs have to be factored
in. Things like timing and security selection are all important. By investing in
a bond fund rather than individual bonds, your assets will be in the hands of an
experienced fund manager with the backing of extensive research and trading
facilities.
PIMCO's total return philosophy
PIMCO pioneered the total return approach to bond investing nearly 30 years ago.
With the exception of PIMCO Short-Term and Money Market Funds, which focus
solely on maximum current income, all PIMCO bond funds employ the total return
philosophy with the goal of enhancing shareholder returns. And while risk is an
element in any form of investment, our fund managers pursue a policy of prudent
risk-taking with the underlying goal of preserving capital.
PIMCO's total return investment strategies
PIMCO uses these diverse strategies to manage its bond portfolios with the goal
of maximizing total return and minimizing risk.
Top-Down Strategies (portfolio level)
Duration Volatility Sector Yield Curve
Posture Analysis Rotation Positioning
============================================================
VALUE ADDED
============================================================
Credit Quantitative Issue Cost-Effective
Analysis Research Selection Trading
Bottom-Up Strategies (security level)
Supporting this overriding focus on total return is a commitment to active
portfolio management within a long-term framework. The PIMCO approach revolves
around the principle of diversification. We believe that no single risk should
dominate returns. By diversifying strategies, or relying on multiple sources of
value, we aim to maximize the total return of our bond portfolios while
minimizing risk.
A disciplined investment process
PIMCO uses this four-step process to implement its return-enhancing strategies:
. PIMCO's investment strategists meet annually with outside experts to develop a
3- to 5-year outlook for the economy and interest rates.
. Quarterly economic forums are held to determine how the long-term outlook
applies to the next 3 to 12 months and to forecast influences like interest rate
volatility and yield curve shape.
. Using these combined outlooks, along with proprietary analytical computer
technology, fund managers select bond issues that meet PIMCO's criteria and make
specific investment decisions for their portfolios, including sensitivity to
interest rates and yield curve positioning.
Bill Gross on bond investing for total return
"Remember, an investment's total return comes from a combination of income and
price performance. In the case of bonds, it is interest and price. During
dynamic bull markets...a substantial portion of total bottom-line return has
come from price appreciation as opposed to income distribution. That's one of
the primary reasons why individuals who buy bond mutual funds on the basis of
yield, and yield only, have done so poorly when compared with those who view
markets from a total return approach. In other words, investors seeking to
maximize their interest income may succeed in the short run, but in the long
term, their total return has been limited because their bonds have shown less
price appreciation."
--Excerpted from
Bill Gross on Investing
. By continually monitoring the economy and Fund holdings, managers make
whatever adjustments are necessary to maximize return and minimize volatility.
Consult your financial advisor
If you would like additional information about the total return approach to bond
fund management, talk to your financial advisor. He or she can show you how it
could contribute to the performance of your investment portfolio.
Information in this article, including the views of Bill Gross, is not
indicative of the past or future performance of any PIMCO Fund. Investment
return will fluctuate and the value of an investor's shares will fluctuate and
may be worth more or less than original cost when redeemed.
5
<PAGE>
Economic
Outlook
A Conversation with Bill 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 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 were the reasons behind the big drop in bond yields in the first quarter
of 2000?
BG : The dramatic rise in bond yields in 1999 has created opportunities in 2000.
In mid-January, Treasury bonds began rallying as the market realized that the
government was poised to begin buying back longer-dated Treasuries. This led to
concern that these securities would become scarce. Panic buying ensued. As a
result, 30-year Treasury yields declined by roughly 90 basis points by the end
of the quarter.
PM: The rally was limited to Treasury bonds, however. Corporate and mortgage-
backed securities didn't participate. In fact, their yield spreads widened as
flight-to-quality selling drove investors to Treasuries. In addition,
intermediate Treasuries didn't initially participate, as that part of the curve
was held back by interest rate hikes by the Fed at their February and March
meetings. As a result, the yield curve for Treasuries inverted.
Q: But isn't the curve inversion counter-productive to the Fed's goal to slow
the economy?
PM: I suppose the drop in yields could restart housing and capital investment,
making Mr. Greenspan's job tougher. But, intermediate rates and other sectors of
the bond market haven't participated, suggesting the Treasury rally is isolated
and driven by other forces.
BG: The forces driving the inversion are secular. The Treasury buy-back program
has potentially created a long-term shortage of bonds, much like an inversion
that has been in existence in the United Kingdom. While the U.K. situation came
about for different reasons, it does prove that long-term supply/demand
distortions can invert a country's yield curve for long stretches of time. As
the projected U.S. budget surplus grows larger, future years' Treasury
repurchases promise to be larger and larger. As a result, the inversion could be
with us for quite a while.
The inversion of the Treasury yield curve is driven by secular forces
[GRAPH]
<TABLE>
<CAPTION>
Treasury Yield Curve on 9/30/99 Treasury Yield Curve on 3/31/00
<S> <C> <C>
3 Month 4.86% 5.90%
6 Month 4.96% 6.14%
1 Year 5.18% 6.24%
2 Year 5.60% 6.49%
5 Year 5.76% 6.33%
10 Year 5.88% 6.03%
30 Year 6.05% 5.84%
</TABLE>
Q: Any thoughts on Greenspan's apparent targeting of the stock market?
PM: Mr. Greenspan has extraordinary skill as an economist and deftness as a
policymaker. But, scrutinizing the man's every word as I do, it's clear that he
has been less then forthright about his view of the stock market's role in
current policy formulation. It appears that policy is being geared toward
capping gains in equity prices, yet he declares that the Fed is not targeting
them. Put another way, Mr. Greenspan says that the stock-market-driven wealth
effect is the skunk at the aggregate demand picnic and that he's going to scotch
it; and then in the next breath, he says that the equity market is only a
distant relative of the skunk family. This simply doesn't square. His less-than-
clear policy is going to be tested by the markets as long as he argues that the
wealth effect needs to be curbed but is not closely linked to the stock market.
Q: So how many more interest rate hikes can we expect?
PM: The Fed will continue lifting rates until it sees that demand moderates. It
remains concerned that "wealth effect" spending is outstripping supply, which
will eventually generate higher inflation. According to Mr. Greenspan, even
strong productivity growth won't contain inflation because productivity gains
are actually raising investor's expectations for corporate earnings, driving
stock prices higher and stimulating more "wealth effect" consumption, which
means....
BG: Two or three more rate hikes by year's end.
Q : The Fed has already tightened five times with little effect. When do you see
demand beginning to slow?
BG: We see a moderation in economic activity by the end of the
6
<PAGE>
How the stock market creates the "wealth effect"
This chart shows the correlation of household net worth to the stock market.
[GRAPH]
<TABLE>
<CAPTION>
Household Net Worth as a
Quarter Ratio of Disposable Income (LHS) Month S&P 500 (RHS)
<S> <C> <C> <C>
1980-01 3.62 1980-01 110.87
1980-02 3.76 1980-02 115.34
1980-03 3.82 1980-03 104.69
1980-04 3.82 1980-04 102.97
1981-01 3.80 1980-05 107.69
1981-02 3.82 1980-06 114.55
1981-03 3.68 1980-07 119.83
1981-04 3.76 1980-08 123.50
1982-01 3.73 1980-09 126.51
1982-02 3.72 1980-10 130.22
1982-03 3.76 1980-11 135.65
1982-04 3.84 1980-12 133.48
1983-01 3.91 1981-01 132.97
1983-02 3.96 1981-02 128.40
1983-03 3.89 1981-03 133.19
1983-04 3.79 1981-04 134.43
1984-01 3.70 1981-05 131.73
1984-02 3.64 1981-06 132.28
1984-03 3.66 1981-07 129.13
1984-04 3.69 1981-08 129.63
1985-01 3.78 1981-09 118.27
1985-02 3.78 1981-10 119.80
1985-03 3.80 1981-11 122.92
1985-04 3.92 1981-12 123.79
1986-01 4.01 1982-01 117.28
1986-02 4.06 1982-02 114.50
1986-03 4.00 1982-03 110.84
1986-04 4.13 1982-04 116.31
1987-01 4.25 1982-05 116.35
1987-02 4.31 1982-06 109.70
1987-03 4.29 1982-07 109.38
1987-04 4.07 1982-08 109.65
1988-01 4.11 1982-09 122.43
1988-02 4.12 1982-10 132.66
1988-03 4.09 1982-11 138.10
1988-04 4.11 1982-12 139.37
1989-01 4.13 1983-01 144.27
1989-02 4.19 1983-02 146.80
1989-03 4.28 1983-03 151.88
1989-04 4.29 1983-04 157.71
1990-01 4.16 1983-05 164.10
1990-02 4.15 1983-06 166.39
1990-03 4.01 1983-07 166.96
1990-04 4.10 1983-08 162.42
1991-01 4.21 1983-09 167.16
1991-02 4.15 1983-10 167.65
1991-03 4.17 1983-11 165.23
1991-04 4.25 1983-12 164.36
1992-01 4.15 1984-01 166.39
1992-02 4.10 1984-02 157.25
1992-03 4.12 1984-03 157.44
1992-04 4.14 1984-04 157.60
1993-01 4.26 1984-05 156.55
1993-02 4.20 1984-06 153.12
1993-03 4.24 1984-07 151.08
1993-04 4.21 1984-08 164.42
1994-01 4.23 1984-09 166.11
1994-02 4.15 1984-10 164.82
1994-03 4.16 1984-11 166.27
1994-04 4.12 1984-12 164.48
1995-01 4.19 1985-01 171.61
1995-02 4.29 1985-02 180.88
1995-03 4.38 1985-03 179.42
1995-04 4.45 1985-04 180.62
1996-01 4.52 1985-05 184.90
1996-02 4.57 1985-06 188.89
1996-03 4.57 1985-07 192.54
1996-04 4.65 1985-08 188.31
1997-01 4.63 1985-09 184.06
1997-02 4.87 1985-10 186.18
1997-03 4.99 1985-11 197.45
1997-04 5.01 1985-12 207.26
1998-01 5.26 1986-01 208.19
1998-02 5.25 1986-02 219.37
1998-03 4.95 1986-03 232.33
1998-04 5.24 1986-04 237.98
1999-01 5.29 1986-05 238.46
1999-02 5.40 1986-06 245.30
1999-03 5.25 1986-07 240.18
1999-04 5.62 1986-08 245.00
1986-09 238.27
1986-10 237.36
1986-11 245.09
1986-12 248.61
1987-01 264.51
1987-02 280.93
1987-03 292.47
1987-04 289.32
1987-05 289.12
1987-06 301.38
1987-07 310.09
1987-08 329.36
1987-09 318.66
1987-10 280.16
1987-11 245.01
1987-12 240.96
1988-01 250.48
1988-02 258.13
1988-03 265.74
1988-04 262.61
1988-05 256.12
1988-06 270.68
1988-07 269.05
1988-08 263.73
1988-09 267.97
1988-10 277.40
1988-11 271.02
1988-12 276.51
1989-01 285.41
1989-02 294.01
1989-03 292.71
1989-04 302.25
1989-05 313.93
1989-06 323.73
1989-07 331.93
1989-08 346.61
1989-09 347.33
1989-10 347.40
1989-11 340.22
1989-12 348.57
1990-01 339.97
1990-02 330.45
1990-03 338.47
1990-04 338.18
1990-05 350.25
1990-06 360.39
1990-07 360.03
1990-08 330.75
1990-09 315.41
1990-10 307.12
1990-11 315.29
1990-12 328.75
1991-01 325.49
1991-02 362.26
1991-03 372.28
1991-04 379.68
1991-05 377.99
1991-06 378.29
1991-07 380.23
1991-08 389.40
1991-09 387.20
1991-10 386.88
1991-11 385.92
1991-12 388.51
1992-01 416.08
1992-02 412.56
1992-03 407.36
1992-04 407.41
1992-05 414.81
1992-06 408.27
1992-07 415.05
1992-08 417.93
1992-09 418.48
1992-10 412.50
1992-11 422.84
1992-12 435.64
1993-01 435.23
1993-02 441.70
1993-03 450.16
1993-04 443.08
1993-05 445.25
1993-06 448.06
1993-07 447.29
1993-08 454.13
1993-09 459.24
1993-10 463.90
1993-11 462.89
1993-12 465.95
1994-01 472.99
1994-02 471.58
1994-03 463.81
1994-04 447.23
1994-05 450.90
1994-06 454.83
1994-07 451.40
1994-08 464.24
1994-09 466.96
1994-10 463.81
1994-11 461.01
1994-12 455.19
1995-01 465.25
1995-02 481.92
1995-03 493.15
1995-04 507.91
1995-05 523.81
1995-06 539.35
1995-07 557.37
1995-08 559.11
1995-09 578.77
1995-10 582.92
1995-11 595.53
1995-12 614.57
1996-01 614.42
1996-02 649.54
1996-03 647.07
1996-04 647.17
1996-05 661.23
1996-06 668.50
1996-07 644.07
1996-08 662.68
1996-09 674.88
1996-10 701.46
1996-11 735.67
1996-12 743.25
1997-01 766.22
1997-02 798.39
1997-03 792.15
1997-04 763.93
1997-05 833.09
1997-06 876.29
1997-07 925.29
1997-08 927.73
1997-09 937.02
1997-10 951.16
1997-11 938.92
1997-12 962.36
1998-01 963.36
1998-02 1,023.74
1998-03 1,076.82
1998-04 1,112.20
1998-05 1,108.42
1998-06 1,108.39
1998-07 1,156.58
1998-08 1,074.62
1998-09 1,020.64
1998-10 1,032.47
1998-11 1,144.43
1998-12 1,190.05
1999-01 1,248.77
1999-02 1,246.58
1999-03 1,281.66
1999-04 1,334.76
1999-05 1,332.07
1999-06 1,322.55
1999-07 1,380.99
1999-08 1,327.49
1999-09 1,318.17
1999-10 1,300.01
1999-11 1,391.00
1999-12 1,428.68
</TABLE>
year as higher interest rates temper growth in housing and capital spending.
Mortgage rates remain near 8% and have begun to temper new home sales and have
the potential to slow consumer spending through a reduction in durable goods
purchases. Investment spending, a significant contributor to overall growth
during this expansion, will also moderate as higher rates raise the cost of
capital investment.
PM: It's important to remember that monetary policy works its way through the
system with a lag. Estimates vary on how long that lag is, but it's safe to say
roughly 6 to 12 months. The Fed began its current tightening cycle last June so
the effects of the first rate hike are only now beginning to be felt, and the
cumulative impact of tighter policy won't be felt until around year-end.
Q: Does OPEC's agreement to increase production mean the threat of higher
inflation is behind us?
PM: No it doesn't. Short term, higher oil prices will feed through the economy
this summer in the form of higher prices at the pump. Longer term, increasing
import prices, slowing domestic capacity growth and a recovering global economy
will also put an upward tilt on inflation. However, inflation won't break out
given that many of the forces which drove inflation lower in the 1990s,
including globalization, technology innovation and sound fiscal and monetary
policies, remain firmly in place. These structural themes will cancel out the
cyclical trends and keep inflation stable over the longer run.
Q: What forces are likely to influence the bond market and our strategy over the
next year?
BG: Bond prices, from a macro-perspective, will be determined by the resolution
of imbalances that have formed over the past several years, including the over-
exuberance of the stock market, the fate of the U.S budget surplus, our bloated
trade deficit, the strength of the dollar and the fiscal deficits in Japan. At
the root of each of these imbalances is an excessive use of debt. Given the
surpluses now being generated by the Treasury, it's a good time to emphasize
Treasury over corporate debt. In other words, upgrade the quality of our
portfolios. At the same time we've adjusted the yield curve position of the
portfolio, taking a small step away from a concentration in intermediate
maturity securities and increasing exposure to both short-term instruments and
long-term Treasuries. This allows us to collect incremental yield at the short
end of the curve and benefit from falling yields at the long end.
PM: The strategy of swapping for higher quality extends to our mortgage exposure
as well. We still like mortgages due to their high quality and attractive
yields, but we have become more selective, favoring Ginnie Mae securities over
other types of government sponsored agency debt, such as Fannie Maes and Freddie
Macs. This subtle preference has worked well. The full faith and credit of the
U.S. government back Ginnie Mae securities. Fannie Maes and Freddie Macs have an
implicit guarantee through small, never-been-used lines of credit, but that
support has come under pressure recently as Congress mulls legislation to
clarify the government's role in these enterprises.
Q: Where are bond yields headed from here?
BG: Although long-term Treasury yields have peaked, I don't think they will move
much lower over the near term. The economy remains too strong for the Fed, so
short-term rates will be moving higher, perhaps to 6.50%. It's hard to believe
that 30-year Treasuries could trade far below that, so 5.75% or so on the long
end is about it for the next nine months. For now it will be tough for
intermediate-term bonds as they continue to feel the brunt of the Fed's
tightening. Eventually, with Fed tightening behind us and the economy slowing, I
think we could see a more generalized rally in the bond market, where we'd look
to extend our duration some.
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.
7
<PAGE>
Fund
Spotlight
Total Return Fund Review & Outlook
In 1999, the bond market reacted negatively to growing expectations of higher
inflation and tighter Federal Reserve monetary policy. PIMCO Total Return Fund's
defensive position helped mitigate the effect of higher interest rates. With the
worst over, we stand ready to capture the opportunities that last year's rising
interest rates have created for bond investors this year.
Inflation Expectations Rise
1999 was the worst year for the bond market since 1994. Renewed inflation fears,
spurred on by perceptions of growing imbalances in the economy, pushed interest
rates higher. The record expansion continued unabated and the demand for labor
continued to tighten. Stock market gains increased fears that a bubble was
forming, and commodity prices, led by oil, trended upwards. As a result of these
forces, inflation seemed likely to increase. In response, the Federal Reserve
began tightening monetary policy.
Outperforming Despite Difficult Times
PIMCO Total Return Fund's defensive position deflected much of the pain in 1999.
The Fund's focus on income and capital appreciation made this possible. In
implementing our secular view through our top-down portfolio positioning and
bottom-up security selection, we shifted the portfolio to reduce exposure to
what turned out to be a negative bond market environment.
The shift included changes to many aspects of the portfolio. The Fund moved to
an overweight position in mortgage-backed securities in order to enhance yield
without adding too much risk. Opportunities to improve the average credit
quality were taken to provide protection from an increase in corporate default
rates. The average duration was kept below benchmark duration for most of the
year, reducing the impact of rising interest rates on the Fund's price
performance.
As a result, the Fund outperformed its Lipper average over the past year. And,
over the long term, the Fund has maintained its solid record.
PIMCO Total Return Fund Annualized Returns (as of 3/31/000)
<TABLE>
<CAPTION>
1 yr 5 yrs 10 yrs Incept.
<S> <C> <C> <C> <C>
PIMCO Total Return Fund (at NAV) 1.85% 7.50% 8.71% 8.55%
PIMCO Total Return Fund (at MOP) -2.73% 6.51% 8.21% 8.17%
Lipper Inter Inv. Grade 0.99% 6.25% 7.44% 7.56%
Debt Fund Average
Lehman Aggregate 1.87% 7.14% 8.02% 8.25%
Bond Index
</TABLE>
Opportunities Arise
Rapidly rising interest rates in 1999 have created opportunities in 2000. Yield-
enhancing strategies that evolved from last year's secular outlook remain in
play. But, as we saw in the first quarter, chances to capture capital
appreciation as yields fall will also be available.
Although the economy currently has a great deal of positive momentum, we believe
that it will moderate later this year as any one of the several unsustainable
imbalances begins to unravel. Inflation remains relatively subdued, but may
trend upward in the short term in the face of wage pressures, higher commodity
prices and increased import prices. The Fed will continue to tighten to restrain
these inflationary imbalances.
Mortgage-backed securities remain overweight in the portfolio. We favor Ginnie
Maes, backed by the full faith and credit of the U.S. government, over other
mortgage-backed securities. In general, the Fund will trade up for higher
quality instruments where possible.
Recently, the Treasury market has been influenced by the government's intention
to buy back debt. The potential shortage of long-term Treasuries has pushed
yields lower.
In the first quarter, the Treasury curve inverted--a unique situation we believe
could last for some time. In light of this, we have adjusted the yield curve
position of the portfolio, taking a small step away from a concentration in
intermediate maturity securities and increasing exposure to both short-term
instruments and long-term Treasuries. This allows us to collect incremental
yield at the short end of the curve and benefit from rising prices at the long
end.
The prospect of moderating economic growth and the inversion of the Treasury
curve are creating opportunities for bond investors. At some point, intermediate
bond yields will also drop, and we will extend our portfolio duration to capture
the subsequent rise in bond prices.
Past performance is no guarantee of future results. For more information on
Total Return Fund turn to page 30.
8
<PAGE>
Fund
Spotlight
Convertibles: Equity-Like Returns with Bond-Like Risk
What are convertibles?
A convertible is a security that behaves like both a stock and a bond. With a
convertible, the investor has the option to convert the bond to another
security, typically shares in the issuing company's common stock. A convertible
bond is like a regular, straight bond in that it represents debt issued by a
company, with regular interest payments and repayment of the principal at
maturity. What makes a convertible different is they give investors the right to
trade or convert the bond into a specific number of shares if that company's
stock hits a certain price.
How convertibles work
With convertibles, investors get the security of income payments and the
potential for returns that can be almost as high as stocks. Here's how
convertibles work: when equities are up, the stock-like aspect of the
convertible allows the investor to participate in the rise of the underlying
common stock. Conversely, the bond-like aspect offers downside protection if
there is a drop in the underlying common stock price. Sandra Durn, PIMCO's
Convertible Fund Portfolio Manager, describes convertibles as "stocks with shock
absorbers."
The case for convertibles now
This is an especially good time to consider investing in convertibles for the
following reasons:
. By investing in convertibles, investors have the potential to reap the
benefits of current stock market growth without taking on all of the risks
associated with stocks.
Portfolios of convertible securities have provided investors with a risk profile
similar to that of long-term corporate bonds while providing returns more
comparable to equities.
[GRAPH]
Convertible Bond Index
12.37%, 12.62%
Long-Term Corporates
12.11%, 8.84%
S&P 500
16.71%, 13.89%
Source: Ibbotson Associates
. Corporate issuance of convertibles has skyrocketed--it's up 60% from last year
as many young companies need financing for new products they're bringing to
market. More issuance means more choices for investors.
PIMCO Convertible Fund
Fund Manager
Sandra Durn is one of the industry's leading convertible bond fund managers. She
holds a bachelor's degree in Economics from the University of Maryland and a
master's degree in Economics from San Diego State University.
Investment Strategy
The objective of PIMCO Convertible Fund's investment strategy is to achieve
strong returns while maintaining a balance between risk and reward.
At PIMCO, when evaluating whether or not we want to buy a convertible security,
the most important thing we do is to see how it reacts relative to the common
stock. We have a sophisticated model for measuring valuation that takes into
account changes in the stock price, volatility assumptions and interest rates.
Performance
PIMCO's Convertible Fund's first-year performance was strong. We invested in
companies that issue securities that fit our goal of providing support when
stock prices are declining and upward movement when stock prices are
accelerating.
In particular, the Fund's exposure to telecommunications and technology
companies was instrumental in boosting performance last year. PIMCO capitalized
on the strong run in the technology and telecommunications sectors, which
currently comprise 45% of the Fund's holdings. Looking ahead, we will continue
participating in these sectors since they are the main drivers behind the
strength and upward slope of the equity markets.
Past performance is no guarantee of future results. For more information on the
Convertible Fund turn to page 16.
9
<PAGE>
Service
Update
New Manager of PIMCO Municipal Bond Funds
Introducing Mark McCray
[PHOTO]
Last quarter, PIMCO strengthened its commitment to the municipal bond arena by
hiring Mark McCray, formerly of Goldman Sachs, as Senior Vice President and
Portfolio Manager for all municipal bond portfolios at PIMCO.
In his new position, Mr. McCray will be responsible for the two year-old PIMCO
Municipal Bond Fund and two portfolios introduced in August 1999: California
Intermediate Municipal Bond Fund and New York Intermediate Municipal Bond Fund.
At Goldman Sachs, Mr. McCray was Vice President and Co-Head of Municipal Bond
Trading and was responsible for the firm's proprietary tax-exempt accounts. He
also directed the daily activity and risk positions of seven municipal traders.
He started his fixed-income career as a financial analyst in the mergers and
acquisitions department at Merrill Lynch and moved to the fixed-income division
of Goldman Sachs in 1992. He holds a bachelor's degree from Temple University
and an MBA from the Wharton School at the University of Pennsylvania.
PIMCO's expansion into municipal bonds has been a natural evolution of the
company's focus on taxable debt, and its expertise and investment process. The
strength of PIMCO's credit analysis group--a team that has been integral to the
strong performance of PIMCO's High Yield and Convertible Bond Funds--will be an
added benefit in managing the municipal bond portfolios.
Mr. McCray's first priority is to produce the highest possible risk-adjusted
returns for PIMCO clients by applying the company's core strategy of total
return to its municipal portfolios. The three municipal funds will seek to
pinpoint securities that allow for an efficient balance of yield and risk.
PIMCO Funds News Highlights
PIMCO Funds and the PIMCO Funds portfolio managers were mentioned in numerous
print and television media during the first quarter of 2000. The following are
highlights from a few of those features.
PIMCO Equity Advisors--Growth Experts
Continued strength in PIMCO Funds growth equity portfolios caught the attention
of the media. In particular, PIMCO Innovation Fund was included in the "elite
camp" of technology funds in a March 15 article in The Wall Street Journal. Its
manager, Dennis McKechnie, appeared frequently as a technology expert both in
print (Fortune 3/20 and Bloomberg 3/00) and on television (ABC, CNN and CNBC).
Ken Corba, Chief Investment Officer and PIMCO Growth Fund manager, also appeared
on CNBC and was featured in a Ticker magazine article (2/00) about the strength
of PIMCO's portfolio managers. And Mike Gaffney, manager of PIMCO Opportunity
Fund, was quoted numerous times in The Wall Street Journal during the quarter,
covering topics such as healthcare, IPOs and small-cap investing.
A Major Influence in the Bond Market
As the nation's largest bond manager, PIMCO is often called upon to comment on
market activity. During this quarter, however, it was PIMCO's investment
strategies that caught the media's attention. Articles in The Wall Street
Journal (2/25), The New York Times (2/27) and Investor's Business Daily (3/15)
detailed the influence PIMCO and fund manager Bill Gross had on the gains at the
long-end of the Treasury yield curve during January and February.
If you would like reprints of these articles, please call 1-800-628-1237.
Of Interest On May 5, 2000, Allianz AG completed the acquisition of
approximately 70% of the outstanding partnership interests 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 investment efforts of Allianz AG.
Key employees at each of 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 $650 billion, including more than 300 mutual
funds for retail and institutional clients around the world.
10
<PAGE>
Presenting the new PIMCO Funds Web site at www.pimcofunds.com
As part of our commitment to provide our shareholders with easy access to timely
information, we're pleased to introduce a redesigned version of the PIMCO Funds
Web site (www.pimcofunds.com).
[PHOTO]
You'll find all the content you've come to rely on--at www.pimcofunds.com--and
more.
Designed to make the site user-friendly, you'll immediately notice improved
navigation accompanied by intuitive labeling and graphics that load quickly.
Content updates include expanded detail throughout the Fund Information section,
and a variety of forms and literature are now available for printing and viewing
online or for download to your hard drive.
Log on to www.pimcofunds.com today and begin exploring all the new features of
our revamped site.
Fund Information Section
In addition to everything we previously offered in the Fund Information section,
we now offer the following:
. Regular commentary from the manager of each fund.
. A better design without frames allows you to bookmark fund profile pages.
. Cross-links give you immediate access to literature with more detail about
each fund.
. Media Highlights let you read what others have been saying about PIMCO Funds
and our management teams.
. One-click allows you to check out the NAV and year-to-date performance of any
PIMCO Fund.
PIMCO Funds Bond Center
The PIMCO Funds Bond 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.
. Investment Outlook--Bill Gross' 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.
Daily Manager Commentary
PIMCO's Daily Manager
Commentary provides investment insights from PIMCO's fund managers, including
their outlooks on the economy and fund strategies that relate to the current
economic climate. This commentary, on a wide range of subjects, is uniquely
provided from the manager's perspective and helps investors make informed
decisions based on information directly from PIMCO's investment professionals.
Resources Section
Our Resources section offers investors a robust collection of information,
online tools and reference materials. It includes the following:
. Online Document Library--account applications, prospectuses and a variety of
additional Fund literature can now be ordered for delivery by mail, viewed as
HTML pages, or downloaded as PDF files.
. Shareholder Services--Learn about the full range of services available to
shareholders from automatic investment programs to 24-hour fund information.
. Retirement Plans--Get all the information you need about individual or
employee-sponsored plans offered by PIMCO Funds.
11
<PAGE>
The PIMCO Funds Family
PIMCO Funds offers unique access to the investment expertise of PIMCO Advisors
L.P. PIMCO manages $264 billion, including assets for 46 of the 100 largest U.S.
corporations. The firm's institutional heritage is reflected in the PIMCO Funds,
each seeking the highest caliber performance in a specific investment style. To
learn more about any of the PIMCO Funds, please call us at 1-800-426-0107.
<TABLE>
<CAPTION>
Fund Name Objective
<S> <C> <C>
Growth Growth Long-term growth of capital
Stock Funds
Target Capital appreciation
Opportunity Capital appreciation
Blend Capital Appreciation Growth of capital
Stock Funds
Mid-Cap Growth of capital
Value Equity Income Current income and long-term growth
Stock Funds
Renaissance Long-term growth of capital and income
Value Long-term growth of capital and income
Small-Cap Value Growth of capital and income
Enhanced Index Tax-Efficient Equity Maximum after-tax growth of capital
Stock Funds
StocksPLUS Total return exceeding the S&P 500 Index
International International Capital appreciation
Stock Fund
Sector Related Innovation Capital appreciation
Stock Fund
Short Duration Money Market Maximum current income, consistent with
Bond Funds preservation of capital and daily liquidity
Short-Term Maximum current income consistent with
preservation of capital and daily liquidity
Low Duration Maximum total return
Intermediate Duration Total Return Maximum total return
Bond Fund
Long Duration Long-Term U.S. Government Maximum total return
Bond Fund
International Global Bond II Maximum total return
Bond Funds
Foreign Bond Maximum total return
Emerging Markets Bond Maximum total return
High Yield Bond Fund High Yield Maximum total return
Inflation-Indexed Real Return Bond Maximum total return
Bond Fund
Convertible Convertible Maximum total return
Bond Fund
Tax Exempt Municipal Bond High current income exempt from
Bond Funds federal taxes, preservation of capital
California Interm. High current income exempt from federal
Municipal Bond Fund and California income tax
New York Interm. High current income exempt from
Municipal Bond Fund federal and New York income tax
Stock and Bond Funds Strategic Balanced Maximum total return
90/10 Portfolio Long-term capital appreciation
60/40 Portfolio Long-term capital appreciation and current
income
30/70 Portfolio Current income, with long-term capital
appreciation as a secondary objective
</TABLE>
<TABLE>
<CAPTION>
Primary Portfolio Composition
<S> <C>
Growth Stocks of larger-capitalized companies
Stock Funds
Stocks of medium-capitalized companies
Stocks of smaller-capitalized companies
Blend Stocks of larger-capitalized companies the manager
Stock Funds believes are reasonably priced
Stocks of medium-capitalized companies the manager
believes are reasonably priced
Value Stocks of companies with below-average P/Es
Stock Funds and above-average dividends
Stocks with below-average valuations
Stocks of companies with below-average P/Es
Stocks of smaller-capitalized companies with below-average P/Es
Enhanced Index Stocks of larger-capitalized companies
Stock Funds
S&P 500 stock index futures backed by a portfolio of short-term,
fixed-income securities
International Stocks of non-U.S. companies in developed and emerging
Stock Fund markets
Sector Related Stocks of technology-related companies
Stock Fund
Short Duration Money market securities ((less than or equal to) 90 days)
Bond Funds
Money market securities and short-term bonds (up to 1 year duration)
Shorter-term, investment grade bonds (1-3 year duration)
Intermediate Duration Intermediate-term, investment grade bonds
Bond Fund (3-6 year duration)
Long Duration Long-term U.S. government bonds
Bond Fund (8+ year duration)
International Investment grade U.S. and foreign bonds (3-7 year duration)
Bond Funds
Investment grade foreign bonds (3-7 year duration)
Emerging market bonds (0-8 year duration)
High Yield Bond Fund High-yield bonds (2-6 year duration)
Inflation-Indexed Inflation-adjusted government bonds
Bond Fund
Convertible Convertible securities
Bond Fund
Tax Exempt Investment grade municipal bonds (3-10 year duration)
Bond Funds
Investment grade municipal bonds (3-7 yr. avg. duration)
Investment grade municipal bonds (3-7 yr. avg. duration)
Stock and Bond Funds S&P Index Futures and short- and intermediate-term
investment grade bonds
90% in PIMCO Stock Funds and 10% in PIMCO Bond Funds
60% in PIMCO Stock Funds and 40% in PIMCO Bond Funds
30% in PIMCO Stock Funds and 70% in PIMCO Bond Funds
</TABLE>
For more information on the risks associated with these Funds, see page 29.
12
<PAGE>
Pacific
Investment
Management
Series
PIMCO Funds Annual Report
Dear Shareholder:
My letter in last September's Semi-Annual Report began by noting that the
economy was continuing to steam ahead. And at the end of the first quarter of
2000, it appeared to have lost little steam. The March employment report--one of
the clearest gauges of the country's economic health--confirmed this, indicating
that more people joined the workforce than in any month in the past five years.
The exceptional growth the stock market experienced in 1999 continued into the
New Year. However, stocks--particularly technology issues--encountered major
turbulence in the first quarter, culminating in record-setting plunges for the
Dow and the NASDAQ in mid-April. But, as most investors know, this kind of
volatility is the rule, not the exception. By keeping their eyes firmly focussed
on the long view, they will be able to ride out these short-term gyrations.
For bonds, 1999 was a turbulent time as most bond sectors reacted negatively to
the continued strength of the economy and to rising interest rates. However,
despite the Fed's February and March rate hikes, most bond funds posted moderate
gains during the first three months of 2000. Long-term government funds fared
best, largely as a result of the Treasury's announcement that it will reduce the
outstanding supply of government debt, especially long-term issues.
Despite the volatility in the stock and bond markets, our funds have experienced
strong relative performance over the past year. In addition, I'd like to call
your attention to the launch, in the second half of last year, of two new bond
funds: PIMCO California Intermediate Municipal Bond Fund and PIMCO New York
Intermediate Municipal Bond Fund. And recently, we strengthened our commitment
to the municipal bond arena by hiring Mark McCray, formerly of Goldman Sachs, as
Senior Vice President and Portfolio Manager for all PIMCO municipal bond
portfolios.
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 through your investment. As always, we continue to work hard to
help you meet your financial objectives.
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
April 28, 2000
<PAGE>
PIMCO Funds Financial Information
We are pleased to present an in-depth review of PIMCO Funds Pacific Investment
Management Series as of March 31, 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 15-31 Fund Summaries
A summary of a Fund's performance record and portfolio composition, and a review
from the Fund's investment manager.
Pages 32-109 Schedule of Investments
The Schedule of Investments includes a listing of securities in the Fund's
portfolio as of March 31, 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 15 Page 32
Convertible Fund Page 16 Page 33
Emerging Markets Bond Fund Page 17 Page 35
Foreign Bond Fund Page 18 Page 37
Global Bond Fund II Page 19 Page 42
High Yield Fund Page 20 Page 47
Long-Term U.S. Government Fund Page 21 Page 53
Low Duration Fund Page 22 Page 57
Money Market Fund Page 23 Page 65
Municipal Bond Fund Page 24 Page 66
New York Inter. Muni. Bond Fund Page 25 Page 69
Real Return Bond Fund Page 26 Page 70
Short-Term Fund Page 27 Page 73
StocksPLUS Fund Page 28 Page 76
Strategic Balanced Fund Page 29 Page 80
Total ReturnFund Page 30 Page 84
</TABLE>
Pages 110-119 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 120-121 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 shares outstanding
Pages 122-123 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 124-127 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 128 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 129-137 Notes to Financial Statements
A description of the significant accounting policies of the Funds, and more
detailed information about the schedules and tables that appear in the report.
14
<PAGE>
March 31, 2000 PIMCO CA Intermediate Municipal Bond Fund
OBJECTIVE:
Seek high current income exempt from federal and California income tax.
PORTFOLIO:
Intermediate maturity municipal securities.
DURATION RANGE:
3-7 years
FUND INCEPTION DATE:
8/31/99
TOTAL NET ASSETS:
$10.2 million
PORTFOLIO MANAGER
Mark MCray
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
A Shares Lehman Bros.
California Exempt
Adjusted Intermediate Index
--------------------------------------------------------------------------------
6 months 2.25% -0.82% 1.82%
Inception 2.94% -0.26% --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO CA Interm. CA Interm. Muni.
Muni. Bond A Bond Index
<S> <C> <C>
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
</TABLE>
*Past performance is no guarantee of future results. The adjusted returns above
include the effect of applicable sales charges. These returns represent the
blended performance of the Fund's retail class shares (for the period from
8/31/99) 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 31 for
Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
1 year or less 0%
1-5 years 26%
5-10 68%
10-20 years 6%
Duration 6.4 years
Sector Breakdown
Municipal Bonds & Notes 99.2%
Other 0.8%
Quality Breakdown
AAA 63.9%
AA 21.0%
A 9.6%
BB 5.5%
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
PIMCO California Intermediate Municipal Bond Fund was launched on August 31,
1999. The Fund seeks to provide high current income exempt from federal and
California income tax. From inception through March 31, 2000, the Fund's Class A
shares returned a cumulative 2.94%. This performance compares favorably with the
Lehman California Intermediate Muni Bond Index, which returned 2.47% over the
same period.
Over the past year the Federal Reserve lifted interest rates five times to
prevent the economy from overheating in the face of mounting imbalances, such as
skyrocketing stock prices and a tightening labor market, which threaten to drive
inflation higher. As a result, yields across many sectors of the bond market,
including California municipal bonds, rose substantially.
However, in the first quarter of this year, long-term California municipal
bonds rallied in response to strong investor demand, limited new supply and
favorable credit conditions. As a result, the Fund's performance was positively
affected by allocations to longer-term maturity securities. Allocations to
higher rated and insured credits helped returns because investors displayed a
preference for these issues amid heightened investor focus on credit quality. In
addition, selections of longer-term insured and pre-refunded issues with call
protection were also positive for performance.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year.
In this environment, average portfolio duration will be targeted near the
benchmark as further Fed tightening should put upward pressure on interest
rates. We expect to maintain an overweight position in longer maturity credits
due to the relatively attractive yield offered by longer-term California issues.
In addition, we anticipate maintaining the Fund's high average credit quality of
AA.
15
<PAGE>
March 31, 2000 PIMCO Convertible Fund
OBJECTIVE:
Maximum total return.
PORTFOLIO:
Convertible Securities
FUND INCEPTION DATE:
3/31/99
TOTAL NET ASSETS:
$184.1 million
PORTFOLIO MANAGER:
Sandra Durn
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
<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 60.33% 53.12% 58.88% 53.88% 58.04% 40.26% 45.84%
Inception 60.33% 53.12% 58.88% 53.88% 58.04% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO First Boston
Convertible A Convertible B Convertible C Convertible Index
<S> <C> <C> <C> <C>
03/31/1999 9,550 10,000 10,000 10,000
04/30/1999 10,006 10,471 10,471 10,405
05/31/1999 10,184 10,650 10,650 10,309
06/30/1999 10,727 11,219 11,229 10,754
07/31/1999 10,747 11,239 11,240 10,612
08/31/1999 10,727 11,199 11,209 10,643
09/30/1999 10,833 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 15,387 15,804 14,584
</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 31 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 52%
20-30 years 3%
Duration 1.6 years
Sector Breakdown
Convertible Bonds & Notes 76.0%
Convertible Preferred Stock 17.1%
Short-Term Instruments 6.1%
Other 0.8%
Quality Breakdown
AAA 4.4%
AA 8.0%
A 17.4%
BBB 38.5%
B 26.8%
CCC 4.9%
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
The Convertible Fund was launched on March 31, 1999 and seeks to maximize total
return by investing primarily in a portfolio of convertible securities.
Convertibles, like conventional bonds, offer a steady income stream; but unlike
conventional bonds, they can be converted into common stock. This means they
have the price appreciation potential of stocks, while maintaining the lower
risk profile associated with bonds.
For the 1-year period ended March 31, 2000, the Fund's Class A shares had a
solid return of 60.33%, outperforming the First Boston Convertible Index, which
returned 45.84%, by a wide margin. The Fund also outperformed the Lipper
Convertible Securities Fund Average, which returned 40.26%.
Over the past year the Federal Reserve lifted interest rates five times to
prevent the economy from overheating in the face a tightening labor market,
which threatens to drive inflation higher. As a result, prices fell across most
sectors of the bond market. However, convertibles performed well as their equity
characteristics allowed them to participate in the continued rally in the stock
market.
Sector selection was important to performance over the past year. The Fund's
emphasis on technology and telecommunications issues was positive for returns as
these "new economy" sectors outperformed their "old economy" counterparts. An
overweight position in utility and energy sectors also enhanced returns,
especially over the past six months, as energy prices rose and demand continued
to be strong. In addition, returns were aided through the use of proprietary
valuation models, which were instrumental in determining relative value among
different issues and helped in the security selection process.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year.
In this environment, the manager plans to maintain a high average quality
rating of BBB, while selectively holding below investment-grade issues given the
expectations for a slower economy and our view that credit quality is likely to
continue to deteriorate. The portfolio's delta (the price sensitivity to changes
in the underlying stock value) will likely be targeted below the delta of the
benchmark as stock market returns converge back toward historical averages.
Sector selection will remain key to performance.
16
<PAGE>
March 31, 2000 PIMCO Emerging Markets Bond Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management (non-U.S.).
PORTFOLIO:
Primarily emerging market bonds.
DURATION RANGE:
0-8 years
FUND INCEPTION DATE:
7/31/97
TOTAL NET ASSETS:
$27.8 million
PORTFOLIO MANAGER:
Mohamed El-Erian
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Return For periods ended 3/31/00
A Shares B Shares C Shares Lipper J.P. Morgan
Emerg. Mkts. Emerg. Mkts.
Adjusted Adjusted Adjusted Debt Fund Avg. Plus Index
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 Year 27.39% 21.65% 26.43% 21.43% 25.49% 27.77% 29.04%
Inception 5.07% 3.28% 4.26% 3.35% 4.28% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
J.P. Morgan
PIMCO Emerging PIMCO Emerging PIMCO Emerging Emerging Markets
Markets A Markets B Markets C Plus Index
<S> <C> <C> <C> <C>
07/31/1997 9,550 10,000 10,000 10,000
08/31/1997 9,434 9,870 9,872 9,960
09/30/1997 9,693 10,134 10,135 10,264
10/31/1997 8,587 8,970 8,971 9,082
11/30/1997 9,038 9,436 9,437 9,513
12/31/1997 9,266 9,668 9,669 9,841
01/31/1998 9,277 9,673 9,674 9,822
02/28/1998 9,538 9,940 9,941 10,103
03/31/1998 9,822 10,228 10,229 10,354
04/30/1998 9,844 10,245 10,245 10,379
05/31/1998 9,524 9,905 9,905 10,025
06/30/1998 9,209 9,571 9,571 9,735
07/31/1998 9,347 9,706 9,706 9,802
08/31/1998 6,741 6,994 6,994 6,985
09/30/1998 7,263 7,531 7,532 7,668
10/31/1998 7,641 7,916 7,919 8,165
11/30/1998 8,250 8,542 8,544 8,645
12/31/1998 8,147 8,430 8,432 8,429
01/31/1999 7,862 8,130 8,133 8,117
02/28/1999 8,016 8,285 8,288 8,233
03/31/1999 8,556 8,838 8,840 8,857
04/30/1999 9,267 9,565 9,569 9,462
05/31/1999 8,684 8,959 8,961 8,922
06/30/1999 8,943 9,221 9,224 9,321
07/31/1999 8,883 9,153 9,155 9,128
08/31/1999 8,867 9,129 9,133 9,115
09/30/1999 9,260 9,529 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 10,917 11,184 11,429
</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 31 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
1 year or less 40%
1-5 years 7%
5-10 years 29%
10-20 years 12%
20-30 years 12%
Duration: 3.6 years
Top Ten Countries
Brazil 24.3%
Mexico 17.5%
Venezuela 6.8%
Peru 6.6%
Russia 6.4%
Argentina 5.9%
Bulgaria 4.6%
Jordan 4.1%
South Korea 3.9%
Panama 3.4%
Quality Breakdown
AAA 16.8%
AA 2.6%
BBB 21.3%
BB 26.5%
B 32.8%
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the 1-year period ended March 31, 2000, the Fund's Class A shares returned a
solid 27.39%, not quite matching the J.P. Morgan Emerging Markets Plus Index,
which returned 29.04%. The Fund also slightly underperformed its Lipper
Average, which returned 27.77%. However, the Fund has bested its benchmark over
the since inception period ended March 31, 2000.
A year ago, emerging markets were in turmoil; investors were still reeling
from the Asian and Russian financial crises. However, the strong resurgence in
Asian markets were helped by stimulative policies, a turnaround in market
sentiment and the synergistic relationship among Asian countries. Since these
countries entered the crisis with low inflation and domestic debt and a strong
fiscal position, the deficits they incurred were ultimately manageable. The
crisis-propelled deterioration in market sentiment also prompted a shift from
consumption to saving, which also played a large part in restoring confidence.
Finally, the simultaneous recovery created synergies among the Asian countries
that led to stronger growth that is expected to continue into 2000.
For many other emerging market economies, the past year saw an alignment of
three "key stars": better country fundamentals as several countries strengthened
their domestic policies; a supportive external environment, as U.S. growth
remained buoyant and picked up in Europe; and cross-border monetary flows that
returned to the emerging markets. Brazil is a good example of this development
and, as a result, its credit rating was upgraded. Our modest overweight exposure
to Brazil boosted returns.
Argentina did poorly amid indications of a sluggish economy, so we kept an
underweight position in this country, which helped enhance relative returns.
However, our overweight position in South Korea was negative as higher-quality
underperformed lower-quality credits. We anticipate maintaining a higher average
credit quality in the future due to concern about external shocks and their
effect on these riskier segments of the market.
Overall, the outlook for emerging markets remains bright as stronger
economic growth, better debt servicing ability and progress on fiscal reforms
should support the sector. Looking ahead, we expect to modestly increase
exposure to Mexico, which Moody upgraded to investment grade status, in order to
reduce portfolio risk.
We will continue to watch for the difficulties that emerging markets
typically face in managing success and uncertainties about sustaining new,
stronger fiscal policies as well as the risk of policy complacency. We remain
supportive of those countries with sound economic policies and appropriate
contingency plans and will continue to focus on countries that lessen their
economy's vulnerability to negative external influences in the global financial
markets.
17
<PAGE>
March 31, 2000 PIMCO Foreign Bond Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management (non-U.S.).
PORTFOLIO:
Primarily investment grade foreign bonds.
DURATION RANGE:
3-7 years
FUND INCEPTION DATE:
12/03/92
TOTAL NET ASSETS:
$545.5 million
PORTFOLIO MANAGER:
Lee Thomas
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Return For periods ended 3/31/00
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 1.50% -3.07% 0.72% -3.99% -0.22% -2.29% 2.94%
3 years 6.93% 5.31% 6.14% 5.28% 6.13% 3.50% 8.85%
5 years 11.68% 10.66% 10.87% 10.61% 10.87% 4.52% 10.66%
Inception 9.24% 8.56% 8.49% 8.49% 8.44% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO JP Morgan
Foreign A Foreign B Foreign C Non-US Index
(Hedged)
<S> <C> <C> <C> <C>
12/31/1992 9,550 10,000 10,000 10,000
01/31/1993 9,625 10,073 10,073 10,091
02/28/1993 9,833 10,286 10,286 10,274
03/31/1993 9,867 10,314 10,314 10,280
04/30/1993 9,863 10,304 10,304 10,281
05/31/1993 9,949 10,387 10,387 10,338
06/30/1993 10,180 10,623 10,623 10,549
07/31/1993 10,337 10,781 10,781 10,667
08/31/1993 10,584 11,033 11,033 10,889
09/30/1993 10,622 11,067 11,067 10,936
10/31/1993 10,776 11,221 11,221 11,082
11/30/1993 10,803 11,242 11,242 11,159
12/31/1993 11,068 11,511 11,511 11,390
01/31/1994 11,079 11,515 11,515 11,333
02/28/1994 10,782 11,200 11,200 11,078
03/31/1994 10,590 10,994 10,994 10,977
04/30/1994 10,486 10,879 10,879 10,899
05/31/1994 10,329 10,709 10,709 10,779
06/30/1994 10,135 10,501 10,501 10,669
07/31/1994 10,195 10,557 10,557 10,739
08/31/1994 10,091 10,442 10,442 10,636
09/30/1994 10,104 10,448 10,448 10,645
10/31/1994 10,139 10,477 10,477 10,687
11/30/1994 10,285 10,622 10,622 10,838
12/31/1994 10,214 10,541 10,541 10,813
01/31/1995 10,280 10,601 10,601 10,931
02/28/1995 10,343 10,660 10,660 11,072
03/31/1995 10,347 10,656 10,656 11,297
04/30/1995 10,596 10,905 10,905 11,477
05/31/1995 11,008 11,322 11,322 11,854
06/30/1995 10,938 11,243 11,243 11,814
07/31/1995 11,142 11,445 11,445 11,963
08/31/1995 11,351 11,651 11,651 12,067
09/30/1995 11,508 11,806 11,806 12,258
10/31/1995 11,697 11,991 11,991 12,395
11/30/1995 12,152 12,450 12,450 12,667
12/31/1995 12,328 12,623 12,623 12,785
01/31/1996 12,627 12,919 12,919 12,939
02/29/1996 12,354 12,632 12,632 12,787
03/31/1996 12,550 12,826 12,826 12,893
04/30/1996 12,850 13,125 13,125 13,047
05/31/1996 12,895 13,163 13,163 13,136
06/30/1996 13,037 13,299 13,299 13,245
07/31/1996 13,160 13,417 13,417 13,345
08/31/1996 13,478 13,733 13,733 13,522
09/30/1996 13,851 14,107 14,107 13,810
10/31/1996 14,189 14,442 14,442 14,038
11/30/1996 14,528 14,780 14,780 14,319
12/31/1996 14,601 14,845 14,845 14,339
01/31/1997 14,826 15,067 15,070 14,518
02/28/1997 14,900 15,133 15,136 14,611
03/31/1997 14,708 14,929 14,932 14,533
04/30/1997 14,840 15,054 15,057 14,690
05/31/1997 14,912 15,117 15,120 14,767
06/30/1997 15,205 15,406 15,409 15,018
07/31/1997 15,424 15,619 15,622 15,257
08/31/1997 15,356 15,539 15,542 15,275
09/30/1997 15,683 15,859 15,862 15,545
10/31/1997 15,495 15,658 15,661 15,645
11/30/1997 15,700 15,856 15,860 15,757
12/31/1997 15,924 16,072 16,075 15,962
01/31/1998 16,149 16,289 16,292 16,174
02/28/1998 16,293 16,424 16,428 16,318
03/31/1998 16,491 16,615 16,618 16,464
04/30/1998 16,542 16,666 16,660 16,548
05/31/1998 16,680 16,793 16,786 16,774
06/30/1998 16,756 16,860 16,853 16,847
07/31/1998 17,016 17,111 17,104 17,003
08/31/1998 16,875 16,959 16,952 17,338
09/30/1998 17,256 17,332 17,325 17,749
10/31/1998 16,894 16,956 16,949 17,722
11/30/1998 17,205 17,258 17,251 17,914
12/31/1998 17,441 17,482 17,475 17,892
01/31/1999 17,793 17,825 17,818 18,114
02/28/1999 17,613 17,634 17,627 17,993
03/31/1999 17,715 17,726 17,719 18,207
04/30/1999 17,938 17,937 17,930 18,438
05/31/1999 17,651 17,639 17,632 18,363
06/30/1999 17,431 17,406 17,399 18,078
07/31/1999 17,433 17,397 17,391 18,031
08/31/1999 17,302 17,257 17,250 18,063
09/30/1999 17,388 17,333 17,326 18,132
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
</TABLE>
*Past performance is no guarantee of future results. The adjusted returns above
include the effect of applicable sales charges. Excluding the 1-year returns,
these returns represent the blended performance of the Fund's retail class
shares (for the period from 1/17/97) and the prior performance of the Fund's
institutional class shares, adjusted for retail class fees and expenses. Retail
class shares were first offered in January 1997. Foreign investing involves
potentially higher risks including foreign currency fluctuations and political
or economic uncertainty. See page 31 for Footnotes, which include additional
details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
1 year or less 0%
1-5 years 28%
5-10 years 26%
10-20 years 37%
20-30 years 8%
over 30 years 1%
Duration: 4.4 years
Top 10 Countries
United States 51.1%
Supranational 5.1%
Spain 4.3%
Germany 4.3%
United Kingdom 4.0%
Canada 3.9%
Cayman Islands 3.1%
Greece 2.9%
Italy 2.8%
Australia 2.1%
Quality Breakdown
AAA 59.5%
AA 15.7%
A 10.6%
BBB 8.3%
BB 4.6%
B 1.3%
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the 1-year period ended March 31, 2000, the Fund's Class A shares returned
1.50%, slightly underperforming the J.P. Morgan Non-U.S. Hedged Index, which
returned 2.94%. However, the Fund did outperform its Lipper Average, which fell
2.29%. The Fund also outperformed the Lipper Average over the 3-, 5-year and
since inception periods ended March 31, 2000.
With the exception of Japan, international growth accelerated during the
past year. In Europe, growth forecasts were revised upward, with even the
laggards, Germany and Italy, showing signs of improving. In Asia, recent GDP
releases were well above expectations. And emerging markets, driven by
fundamental improvements, also aided expansion. However, in Japan, the recovery
seems to have stalled as the effects of a 1999 fiscal stimulus diminished and
consumer demand remained weak.
During the past twelve months, the portfolio continued to invest in what
we believe to be the safest and most liquid fixed-income securities outside of
the United States. We utilized this philosophy in many decisions, including
maintaining the Fund's underweighted position in Japanese bonds. These
securities reacted poorly to deteriorating credit fundamentals and concerns
about increased new issuance. Prices declined dramatically and it seems likely
that the country's bonds may be downgraded yet again.
Overweight positions in Australia and New Zealand added to returns as both
regions experienced declining bond yields (and rising prices). Australia's bonds
rallied in the face of falling growth forecasts and decreasing consumer demand,
while New Zealand was boosted by expectations that further central bank
tightening would restrain inflation.
Certain strategies, however, detracted from returns over the past year. A
below-benchmark duration hurt the Fund's results as longer-term bond yields in
many countries fell amid positive responses to central bank rate increases. In
particular, core European bonds (a sector that was underweight in the portfolio)
rallied following the European Central Bank's rate hikes in early 2000.
Going forward, we believe global growth will continue to improve. With this
in mind, we expect to increase emphasis on longer maturities in core Europe as
expected interest rate hikes should keep inflation prospects low. In particular,
we anticipate focusing on Finland, Italy, Spain and Portugal to capitalize on
improving fiscal fundamentals and favorable yields relative to Germany. Japan
will continue to play a relatively underweight role within the portfolio due to
high debt levels and other financial difficulties. And, where permitted, we
expect to maintain a small emerging market position, favoring higher-quality
credits such as Mexico, Hungary, Poland and South Korea.
18
<PAGE>
March 31, 2000 PIMCO Global Bond Fund II
OBJECTIVE:
Maximum total return, consistent with preservation of capital (U.S. and
non-U.S.).
PORTFOLIO:
Primarily investment grade U.S. and foreign bonds.
DURATION RANGE:
3-7 years
FUND INCEPTION DATE:
10/02/95
TOTAL NET ASSETS:
$97.0 million
PORTFOLIO MANAGER:
Lee Thomas
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Global J.P. Morgan
Income Fund Global Index
Adjusted Adjusted Adjusted Average (Hedged)
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 Year 0.71% -3.83% -0.05% -4.81% -1.00% -0.47% 2.93%
3 Years 5.77% 4.16% 4.98% 4.18% 4.97% 2.99% 8.33%
Inception 8.13% 7.03% 7.30% 6.97% 7.29% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO Global PIMCO Global PIMCO Global JP Morgan
Bond II A Bond II B Bond II C Global Index
(Hedged)
<S> <C> <C> <C> <C>
10/31/1995 9,550 10,000 10,000 10,000
11/30/1995 9,869 10,334 10,334 10,191
12/31/1995 10,030 10,502 10,502 10,302
01/31/1996 10,220 10,702 10,702 10,406
02/29/1996 10,026 10,499 10,499 10,257
03/31/1996 10,045 10,512 10,512 10,279
04/30/1996 10,170 10,625 10,625 10,334
05/31/1996 10,162 10,606 10,596 10,373
06/30/1996 10,256 10,677 10,677 10,471
07/31/1996 10,299 10,718 10,718 10,530
08/31/1996 10,552 10,964 10,964 10,614
09/30/1996 10,799 11,214 11,214 10,814
10/31/1996 11,031 11,458 11,448 11,009
11/30/1996 11,303 11,724 11,724 11,215
12/31/1996 11,274 11,697 11,686 11,188
01/31/1997 11,370 11,778 11,778 11,283
02/28/1997 11,448 11,852 11,852 11,334
03/31/1997 11,290 11,681 11,681 11,255
04/30/1997 11,424 11,812 11,812 11,392
05/31/1997 11,514 11,896 11,896 11,468
06/30/1997 11,710 12,092 12,092 11,638
07/31/1997 11,954 12,335 12,335 11,886
08/31/1997 11,910 12,282 12,282 11,844
09/30/1997 12,131 12,502 12,503 12,043
10/31/1997 11,989 12,347 12,348 12,176
11/30/1997 12,074 12,427 12,428 12,254
12/31/1997 12,208 12,558 12,559 12,405
01/31/1998 12,318 12,665 12,664 12,581
02/28/1998 12,389 12,729 12,729 12,632
03/31/1998 12,556 12,893 12,893 12,714
04/30/1998 12,610 12,941 12,941 12,777
05/31/1998 12,677 13,002 13,002 12,936
06/30/1998 12,734 13,053 13,049 13,030
07/31/1998 12,888 13,201 13,197 13,113
08/31/1998 12,750 13,052 13,048 13,412
09/30/1998 13,034 13,337 13,333 13,754
10/31/1998 12,818 13,106 13,102 13,724
11/30/1998 12,986 13,269 13,264 13,821
12/31/1998 13,097 13,373 13,369 13,821
01/31/1999 13,388 13,662 13,658 13,961
02/28/1999 13,182 13,445 13,441 13,774
03/31/1999 13,264 13,520 13,516 13,900
04/30/1999 13,390 13,641 13,636 14,031
05/31/1999 13,184 13,422 13,418 13,947
06/30/1999 13,021 13,249 13,245 13,789
07/31/1999 13,008 13,227 13,223 13,760
08/31/1999 12,948 13,158 13,154 13,775
09/30/1999 13,012 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 13,313 13,509 14,307
</TABLE>
*Past performance is no guarantee of future results. The adjusted returns above
include the effect of applicable sales charges. Foreign investing involves
potentially higher risks including foreign currency fluctuations and political
or economic uncertainty. See page 31 for Footnotes, which include additional
details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
1 year or less 13%
1-5 years 23%
5-10 years 18%
10-20 years 40%
20-30 years 5%
Over 30 years 1%
Duration: 4.8 years
Top 10 Countries
United States 62.9%
United Kingdom 6.1%
Supranational 5.2%
Italy 2.1%
Australia 2.0%
Canada 2.0%
Greece 2.0%
Spain 1.7%
Germany 1.3%
Mexico 1.1%
Quality Breakdown
AAA 60.5%
AA 12.3%
A 14.3%
BBB 8.4%
BB 2.9%
B 1.6%
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the 1-year period ended March 31, 2000, the Fund's Class A shares returned
0.71%, slightly underperforming the J.P. Morgan Global Index (Hedged), which
returned 2.93%. However, the Fund did outperform its Lipper Average, which fell
0.47%. The Fund also outperformed the Lipper Average over the 3-year and since
inception periods ended March 31, 2000.
In the United States during the past year, the Federal Reserve lifted
interest rates five times to prevent the economy from overheating. As a result,
bond yields rose substantially. However, in January, long-term Treasuries
rallied, responding to the Treasury's debt buyback program.
Speaking internationally, with the exception of Japan, growth accelerated
during the past year. In Europe, growth forecasts were revised upward, with even
the laggards, Germany and Italy, showing signs of improving. In Asia, recent GDP
releases were well above expectations. And emerging markets, driven by
fundamental improvements, also aided expansion. However, in Japan, the recovery
seems to have stalled as the effects of a 1999 fiscal stimulus diminished and
consumer demand remained weak.
During the past twelve months, the portfolio's performance was boosted by
certain strategic decisions that involved markets outside of the United States.
In particular, the Fund maintained an underweight position in Japanese bonds.
These securities reacted poorly to deteriorating credit fundamentals and
concerns about increased new issuance. Prices declined dramatically and it seems
likely that the country's bonds may be downgraded yet again.
Overweight positions in Australia and New Zealand also added to returns as
both regions experienced declining bond yields (and rising prices). Australia's
bonds rallied in the face of falling growth forecasts and decreasing consumer
demand, while New Zealand was boosted by expectations that further central bank
tightening would restrain inflation.
Specific domestic strategies, however, detracted from returns over the past
year. A below-benchmark duration and an underweight position in Treasury bonds
hurt the Fund's results as longer-term bond yields fell as a response to the
Treasury's debt buy-back.
In the United States, we believe the economy will decelerate as higher
rates curb growth in the housing market and investment spending. We expect
inflation to rise, but not break out, as recent commodity and import price
increases feed through the economy. Internationally, we believe growth will
continue to improve. With this in mind, we expect to increase emphasis on longer
maturities in core Europe as expected interest rate hikes should keep inflation
prospects low. And, where permitted, we anticipate maintaining a small emerging
market position, favoring higher-quality credits such as Mexico and South Korea.
19
<PAGE>
March 31, 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:
$3.2 billion
PORTFOLIO MANAGER:
Ben Trusky
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Return For periods ended 3/31/00
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 -1.15% -5.59% -1.89% -6.44% -2.80% 0.06% -0.30%
3 years 5.79% 4.18% 5.00% 4.15% 5.00% 4.32% 5.47%
5 years 8.79% 7.79% 7.99% 7.70% 8.00% 7.70% 7.86%
Inception 9.50% 8.81% 8.73% 8.73% 8.71% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO High PIMCO High PIMCO High Lehman Int.
Yield A Yield B Yield C BB Corp. Index
<S> <C> <C> <C> <C>
12/31/1992 9,550 10,000 10,000 10,000
01/31/1993 9,764 10,218 10,218 10,211
02/28/1993 9,941 10,398 10,398 10,361
03/31/1993 10,138 10,597 10,597 10,478
04/30/1993 10,243 10,700 10,700 10,566
05/31/1993 10,315 10,769 10,769 10,644
06/30/1993 10,592 11,052 11,052 10,870
07/31/1993 10,664 11,120 11,120 10,980
08/31/1993 10,780 11,235 11,235 11,107
09/30/1993 10,831 11,281 11,281 11,188
10/31/1993 11,118 11,573 11,573 11,338
11/30/1993 11,200 11,652 11,652 11,368
12/31/1993 11,293 11,742 11,742 11,465
01/31/1994 11,530 11,981 11,981 11,657
02/28/1994 11,525 11,969 11,969 11,644
03/31/1994 11,177 11,601 11,601 11,288
04/30/1994 11,076 11,489 11,489 11,221
05/31/1994 11,154 11,562 11,562 11,231
06/30/1994 11,166 11,567 11,567 11,265
07/31/1994 11,267 11,666 11,666 11,402
08/31/1994 11,359 11,753 11,753 11,523
09/30/1994 11,434 11,824 11,824 11,544
10/31/1994 11,436 11,819 11,819 11,571
11/30/1994 11,387 11,761 11,761 11,492
12/31/1994 11,520 11,892 11,892 11,563
01/31/1995 11,629 11,997 11,997 11,749
02/28/1995 11,945 12,315 12,315 12,106
03/31/1995 12,115 12,484 12,484 12,220
04/30/1995 12,376 12,746 12,746 12,465
05/31/1995 12,731 13,104 13,104 12,831
06/30/1995 12,832 13,200 13,200 12,944
07/31/1995 13,000 13,365 13,365 13,062
08/31/1995 13,096 13,456 13,456 13,138
09/30/1995 13,275 13,634 13,634 13,280
10/31/1995 13,465 13,822 13,822 13,384
11/30/1995 13,625 13,978 13,978 13,553
12/31/1995 13,852 14,202 14,202 13,767
01/31/1996 14,072 14,419 14,419 13,990
02/29/1996 14,083 14,422 14,422 13,940
03/31/1996 13,968 14,295 14,295 13,867
04/30/1996 14,025 14,345 14,345 13,862
05/31/1996 14,068 14,381 14,381 13,881
06/30/1996 14,122 14,427 14,427 14,031
07/31/1996 14,243 14,542 14,542 14,107
08/31/1996 14,471 14,766 14,766 14,221
09/30/1996 14,804 15,097 15,097 14,527
10/31/1996 14,948 15,236 15,236 14,729
11/30/1996 15,267 15,554 15,554 15,026
12/31/1996 15,416 15,696 15,696 15,059
01/31/1997 15,570 15,837 15,842 15,203
02/28/1997 15,805 16,067 16,071 15,386
03/31/1997 15,593 15,842 15,846 15,203
04/30/1997 15,755 15,997 16,002 15,392
05/31/1997 16,110 16,346 16,351 15,655
06/30/1997 16,343 16,573 16,578 15,857
07/31/1997 16,760 16,984 16,989 16,330
08/31/1997 16,750 16,962 16,967 16,174
09/30/1997 17,026 17,232 17,237 16,428
10/31/1997 17,038 17,232 17,237 16,484
11/30/1997 17,197 17,381 17,387 16,600
12/31/1997 17,386 17,562 17,567 16,752
01/31/1998 17,680 17,847 17,852 16,953
02/28/1998 17,770 17,927 17,932 17,031
03/31/1998 17,903 18,051 18,056 17,140
04/30/1998 17,943 18,080 18,085 17,228
05/31/1998 18,029 18,156 18,161 17,340
06/30/1998 18,157 18,272 18,279 17,446
07/31/1998 18,344 18,447 18,454 17,536
08/31/1998 17,603 17,691 17,698 17,052
09/30/1998 17,821 17,898 17,905 17,414
10/31/1998 17,639 17,705 17,712 17,191
11/30/1998 18,378 18,436 18,443 17,603
12/31/1998 18,452 18,497 18,504 17,714
01/31/1999 18,690 18,724 18,731 17,897
02/28/1999 18,531 18,554 18,561 17,764
03/31/1999 18,679 18,689 18,697 17,892
04/30/1999 18,985 18,984 18,992 18,075
05/31/1999 18,617 18,605 18,612 17,856
06/30/1999 18,608 18,584 18,592 17,815
07/31/1999 18,652 18,618 18,625 17,883
08/31/1999 18,574 18,528 18,536 17,770
09/30/1999 18,580 18,523 18,530 17,843
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
</TABLE>
*Past performance is no guarantee of future results. The adjusted returns above
include the effect of applicable sales charges. Excluding the 1-year returns,
these returns represent the blended performance of the Fund's retail class
shares (for the period from 1/17/97) and the prior performance of the Fund's
institutional class shares, adjusted for retail class fees and expenses. Retail
class shares were first offered in January 1997. The investments made by the
High Yield Fund may involve high risk and may have speculative characteristics.
See page 31 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
1 year or less 10%
1-5 years 22%
5-10 years 62%
10-20 years 4%
20-30 years 2%
Duration: 4.4 years
Sector Breakdown
Corporate Bonds & Notes 86.2%
Asset-Backed Securities 5.5%
Other 8.3%
Quality Breakdown
AAA 0.1%
A 0.5%
BBB 12.8%
BB 43.5%
B 42.8%
CCC 0.2%
CC 0.1%
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the year ended March 31, 2000, the Fund's Class A shares fell 1.15%,
underperforming the Lehman Intermediate BB Corporate Index, which fell 0.30%.
The Fund also underperformed its Lipper Average, which returned 0.06%. Over the
longer term, the Fund continues to outperform both the Lipper Average and the
benchmark for the 3-, 5-year and since inception periods ended March 31, 2000.
Over the past year the Federal Reserve lifted interest rates five times to
prevent the economy from overheating in the face of mounting imbalances, such as
skyrocketing stock prices and a tightening labor market, which threaten to drive
inflation higher. As a result, yields across many sectors of the bond market
rose substantially. The high yield market was negatively impacted as credit
quality continued to deteriorate and investors began to pull money from the
sector.
While sector selection was important to performance, credit quality was
vital given rising default rates, profit concerns, and equity market volatility.
The Fund's strategy of avoiding retail and supermarket issues added to relative
performance as excess capacity and intense competition adversely affected these
sectors. In addition, limited exposure to high quality issues in emerging market
countries, especially Mexico, added to returns as these countries benefited from
the rising commodity prices and improved prospects for economic growth.
However, the Fund's exposure to B-rated issues detracted from performance
as these credits significantly underperformed BB-rated issues, especially in the
first quarter of 2000. Significant credit deterioration of Safety Kleen, one the
Fund's larger holdings, also negatively impacted performance as the company is
currently under investigation for accounting fraud.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year. The high yield
sector is likely to continue to wrestle with a difficult combination of a high
default rate and over-leverage.
In this environment, we expect to keep the average portfolio quality higher
than the benchmark. Defensive holdings, such as utilities, publishing and
certain telecommunications sectors, will continue to play a significant role in
the portfolio. We anticipate increasing our holdings in the rapidly expanding
European high yield market, given our expectations that the region's economic
recovery will continue to gain momentum.
20
<PAGE>
March 31, 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:
less than or equal to 8 years
FUND INCEPTION DATE:
7/01/91
TOTAL NET ASSETS:
$355.2 million
PORTFOLIO MANAGER:
Jim Keller
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Return For periods ended 3/31/00
A Shares B Shares C Shares Lipper Gen Lehman Lehman Lehman
U.S. Govt. Long-Term Int. & 20+ Agg.Bond
Adjusted Adjusted Adjusted Fund Avg. Treas. Index Treas. Index Index
-----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 year 0.86% -3.68% 0.11% -4.65% -0.84% 0.75% 3.04% 3.20% 1.87%
3 years 9.05% 7.38% 8.21% 7.35% 8.22% 5.77% 10.00% 9.73% 6.70%
5 years 9.08% 8.08% 8.25% 7.96% 8.27% 6.11% 9.42% 9.13% 7.14%
Inception 10.40% 9.82% 9.75% 9.75% 9.61% -- -- -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
Lehman Int. & Lehman Bros.
PIMCO PIMCO PIMCO Lehman Long-Term 20+ Treasury Agg. Bond
Long-Term A Long-Term B Long-Term C Treas. Index Index Index
<S> <C> <C> <C> <C> <C> <C>
06/30/1991 9,550 10,000 10,000 10,000 10,000 10,000
07/31/1991 9,678 10,128 10,128 10,149 10,157 10,139
08/31/1991 10,051 10,511 10,511 10,499 10,508 10,358
09/30/1991 10,385 10,855 10,855 10,830 10,831 10,568
10/31/1991 10,435 10,900 10,900 10,854 10,848 10,686
11/30/1991 10,572 11,037 11,037 10,914 10,900 10,784
12/31/1991 11,265 11,755 11,755 11,565 11,550 11,104
01/31/1992 10,944 11,413 11,413 11,202 11,191 10,953
02/29/1992 10,997 11,462 11,462 11,268 11,250 11,024
03/31/1992 10,958 11,416 11,416 11,144 11,126 10,962
04/30/1992 10,901 11,350 11,350 11,133 11,102 11,041
05/31/1992 11,287 11,745 11,745 11,442 11,414 11,249
06/30/1992 11,447 11,906 11,906 11,608 11,564 11,404
07/31/1992 11,986 12,458 12,458 12,091 12,046 11,637
08/31/1992 12,223 12,697 12,697 12,175 12,123 11,755
09/30/1992 12,436 12,911 12,911 12,367 12,300 11,894
10/31/1992 12,123 12,579 12,579 12,107 12,046 11,736
11/30/1992 12,247 12,701 12,701 12,153 12,112 11,739
12/31/1992 12,567 13,025 13,025 12,486 12,443 11,926
01/31/1993 12,898 13,361 13,361 12,842 12,777 12,154
02/28/1993 13,413 13,886 13,886 13,271 13,187 12,367
03/31/1993 13,482 13,948 13,948 13,304 13,217 12,419
04/30/1993 13,583 14,046 14,046 13,407 13,315 12,505
05/31/1993 13,632 14,088 14,088 13,451 13,371 12,521
06/30/1993 14,304 14,776 14,776 14,020 13,901 12,748
07/31/1993 14,508 14,978 14,978 14,246 14,133 12,820
08/31/1993 15,058 15,538 15,538 14,818 14,663 13,045
09/30/1993 15,103 15,577 15,577 14,870 14,703 13,081
10/31/1993 15,177 15,644 15,644 14,977 14,809 13,130
11/30/1993 14,761 15,208 15,208 14,594 14,468 13,018
12/31/1993 14,856 15,296 15,296 14,640 14,505 13,088
01/31/1994 15,191 15,632 15,632 14,992 14,828 13,265
02/28/1994 14,593 15,009 15,009 14,377 14,253 13,035
03/31/1994 13,995 14,383 14,383 13,746 13,651 12,713
04/30/1994 13,751 14,124 14,124 13,584 13,488 12,612
05/31/1994 13,703 14,066 14,066 13,494 13,388 12,610
06/30/1994 13,619 13,972 13,972 13,366 13,259 12,582
07/31/1994 13,953 14,304 14,304 13,819 13,722 12,832
08/31/1994 13,980 14,321 14,321 13,717 13,605 12,848
09/30/1994 13,539 13,860 13,860 13,285 13,161 12,659
10/31/1994 13,446 13,755 13,755 13,238 13,119 12,648
11/30/1994 13,400 13,700 13,700 13,316 13,203 12,620
12/31/1994 13,702 13,999 13,999 13,521 13,411 12,707
01/31/1995 14,055 14,350 14,350 13,869 13,767 12,958
02/28/1995 14,537 14,833 14,833 14,263 14,141 13,266
03/31/1995 14,701 14,992 14,992 14,385 14,269 13,348
04/30/1995 14,948 15,235 15,235 14,641 14,517 13,534
05/31/1995 16,089 16,387 16,387 15,764 15,584 14,058
06/30/1995 16,268 16,561 16,561 15,947 15,759 14,161
07/31/1995 15,981 16,259 16,259 15,692 15,518 14,129
08/31/1995 16,338 16,612 16,612 16,041 15,849 14,300
09/30/1995 16,686 16,956 16,956 16,336 16,128 14,439
10/31/1995 17,091 17,359 17,359 16,793 16,558 14,627
11/30/1995 17,506 17,771 17,771 17,213 16,942 14,846
12/31/1995 17,960 18,220 18,220 17,671 17,364 15,054
01/31/1996 17,983 18,233 18,233 17,671 17,376 15,154
02/29/1996 17,140 17,369 17,369 16,817 16,586 14,891
03/31/1996 16,819 17,034 17,034 16,483 16,271 14,787
04/30/1996 16,441 16,640 16,640 16,207 16,014 14,704
05/31/1996 16,457 16,645 16,645 16,123 15,939 14,674
06/30/1996 16,783 16,963 16,963 16,467 16,268 14,871
07/31/1996 16,723 16,892 16,892 16,473 16,274 14,912
08/31/1996 16,601 16,758 16,758 16,267 16,072 14,887
09/30/1996 17,057 17,208 17,208 16,716 16,505 15,146
10/31/1996 17,784 17,929 17,929 17,373 17,133 15,482
11/30/1996 18,447 18,587 18,587 17,953 17,667 15,747
12/31/1996 18,017 18,142 18,142 17,517 17,263 15,601
01/31/1997 17,924 18,026 18,043 17,393 17,139 15,648
02/28/1997 17,959 18,050 18,068 17,400 17,146 15,687
03/31/1997 17,507 17,586 17,602 16,954 16,721 15,514
04/30/1997 17,897 17,966 17,980 17,363 17,115 15,746
05/31/1997 18,103 18,161 18,176 17,557 17,304 15,895
06/30/1997 18,454 18,503 18,518 17,896 17,633 16,083
07/31/1997 19,473 19,513 19,527 18,947 18,618 16,517
08/31/1997 18,976 19,002 19,017 18,420 18,136 16,376
09/30/1997 19,466 19,481 19,497 18,927 18,608 16,618
10/31/1997 20,122 20,124 20,140 19,564 19,198 16,859
11/30/1997 20,307 20,295 20,313 19,825 19,443 16,936
12/31/1997 20,648 20,621 20,640 20,158 19,747 17,107
01/31/1998 21,026 20,984 21,003 20,567 20,129 17,326
02/28/1998 20,877 20,823 20,842 20,419 19,999 17,313
03/31/1998 20,971 20,904 20,923 20,462 20,043 17,373
04/30/1998 21,084 21,004 21,023 20,537 20,117 17,464
05/31/1998 21,487 21,393 21,412 20,930 20,475 17,629
06/30/1998 21,983 21,874 21,892 21,415 20,919 17,779
07/31/1998 21,961 21,852 21,855 21,325 20,845 17,817
08/31/1998 22,881 22,768 22,757 22,287 21,704 18,107
09/30/1998 23,801 23,683 23,643 23,103 22,427 18,531
10/31/1998 23,149 23,034 22,981 22,754 22,155 18,433
11/30/1998 23,230 23,115 23,043 22,929 22,281 18,537
12/31/1998 23,337 23,221 23,133 22,881 22,265 18,593
01/31/1999 23,507 23,391 23,290 23,087 22,448 18,726
02/28/1999 22,435 22,324 22,214 21,951 21,442 18,399
03/31/1999 22,521 22,409 22,285 21,900 21,406 18,501
04/30/1999 22,548 22,436 22,296 21,931 21,433 18,559
05/31/1999 22,135 22,025 21,875 21,587 21,136 18,397
06/30/1999 21,922 21,814 21,652 21,358 20,940 18,338
07/31/1999 21,789 21,681 21,504 21,255 20,847 18,260
08/31/1999 21,612 21,505 21,317 21,173 20,779 18,251
09/30/1999 21,828 21,720 21,518 21,329 20,931 18,463
10/31/1999 21,868 21,759 21,544 21,342 20,938 18,531
11/30/1999 21,721 21,614 21,386 21,197 20,812 18,529
12/31/1999 21,389 21,283 21,044 20,881 20,496 18,440
01/31/2000 21,479 21,372 21,122 21,180 20,785 18,380
02/29/2000 22,121 22,011 21,741 21,819 21,405 18,602
03/31/2000 22,712 22,599 22,306 22,566 22,092 18,847
</TABLE>
*Past performance is no guarantee of future results. The adjusted returns above
include the effect of applicable sales charges. Excluding the 1-year returns,
these returns represent the blended performance of the Fund's retail class
shares (for the period from 1/17/97) and the prior performance of the Fund's
institutional class shares, adjusted for retail class fees and expenses. Retail
class shares were first offered in January 1997. See page 31 for Footnotes,
which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
1-5 years 23%
5-10 years 0%
10-20 years 3%
20-30 years 74%
Duration: 10.2 years
Sector Breakdown
Mortgage-Backed Securities 47.7%
U.S. Treasury Obligations 43.8%
Other 8.5%
Quality Breakdown
AAA 96.1%
AA 2.8%
A 1.1%
--------------------------------------------------------------------------------
PORTFOLIO INSIGHT
--------------------------------------------------------------------------------
For the 1-year period ended March 31, 2000, the Fund's Class A shares returned
0.86%, underperforming the Lehman Long-Term Treasury Index, which returned
3.04%. The Fund did slightly outperform its Lipper Average, the Lipper U.S.
Government Fund Average, which returned 0.75%. And over the longer-term, the
Fund continues to outperform the Lipper Average over the 3-, 5-year and since
inception periods ended March 31, 2000.
Over the past year the Federal Reserve lifted interest rates five times to
prevent the economy from overheating in the face of mounting imbalances, such as
skyrocketing stock prices and a tightening labor market, which threaten to drive
inflation higher. As a result, bond yields rose substantially across all
maturities. However, in January, long-term Treasuries rallied, responding to the
Treasury's debt buyback program.
Yield gathering strategies and a focus on higher quality were key to
performance over the past year. Our overweight position higher quality mortgage-
backed securities protected the portfolio as their attractive yield offset some
of their price decline. The Fund's average portfolio duration (sensitivity to
changes in interest rates) was kept below the benchmark duration, which helped
relative performance as interest rates rose. More recently, our migration to
longer maturity Treasuries added modestly to performance as long-term Treasury
yields fell in the first quarter. However, the Fund's concentration in the
intermediate maturity range detracted from returns as the yield curve inverted
and the Fed continued to tighten.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year. In our opinion, an
over-leveraged private sector combined with public budget surpluses will
continue to cause credit quality to deteriorate and the Treasury curve to remain
inverted.
In this environment, the manager anticipates keeping duration below the
benchmark, but expects to emphasize longer-term Treasuries to take advantage of
the curve shape. We expect to continue to favor mortgages, but trade up for
GNMAs where possible because the full faith and credit backing of these
securities is valuable given the foreseen scarcity of Treasuries.
21
<PAGE>
March 31, 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
TOTAL NET ASSETS:
$4.0 billion
FUND INCEPTION DATE:
5/11/87
PORTFOLIO MANAGER:
Bill Gross
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Return For periods ended 3/31/00
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 3.07% -0.02% 2.30% -2.56% 1.58% 3.27% 3.73%
5 years 6.48% 5.84% 5.68% 5.36% 5.97% 5.64% 6.07%
10 years 6.97% 6.64% 6.41% 6.41% 6.44% 6.44% 6.63%
Inception 7.26% 7.01% 6.83% 6.83% 6.74% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO Low PIMCO Low PIMCO Low Merrill Lynch
Duration A Duration B Duration C 1-3 Yr. Treas. Index
<S> <C> <C> <C> <C>
05/31/1987 9,700 10,000 10,000 10,000
06/30/1987 9,786 10,083 10,085 10,109
07/31/1987 9,819 10,109 10,114 10,158
08/31/1987 9,813 10,097 10,104 10,167
09/30/1987 9,785 10,063 10,072 10,127
10/31/1987 9,940 10,215 10,227 10,351
11/30/1987 10,048 10,320 10,334 10,414
12/31/1987 10,103 10,370 10,387 10,480
01/31/1988 10,266 10,531 10,550 10,648
02/29/1988 10,337 10,598 10,619 10,735
03/31/1988 10,398 10,653 10,677 10,756
04/30/1988 10,437 10,687 10,713 10,772
05/31/1988 10,457 10,700 10,728 10,756
06/30/1988 10,551 10,788 10,821 10,868
07/31/1988 10,603 10,835 10,869 10,876
08/31/1988 10,641 10,867 10,904 10,899
09/30/1988 10,735 10,956 10,996 11,026
10/31/1988 10,830 11,046 11,088 11,136
11/30/1988 10,840 11,050 11,094 11,106
12/31/1988 10,884 11,087 11,134 11,132
01/31/1989 10,970 11,168 11,217 11,219
02/28/1989 10,983 11,175 11,226 11,219
03/31/1989 11,021 11,206 11,260 11,270
04/30/1989 11,147 11,327 11,384 11,443
05/31/1989 11,372 11,548 11,608 11,614
06/30/1989 11,615 11,788 11,852 11,831
07/31/1989 11,781 11,948 12,015 12,006
08/31/1989 11,723 11,882 11,950 11,932
09/30/1989 11,778 11,929 12,000 12,003
10/31/1989 11,928 12,075 12,149 12,184
11/30/1989 12,032 12,172 12,250 12,299
12/31/1989 12,089 12,222 12,303 12,348
01/31/1990 12,077 12,202 12,284 12,358
02/28/1990 12,155 12,274 12,359 12,416
03/31/1990 12,216 12,328 12,416 12,457
04/30/1990 12,204 12,308 12,399 12,482
05/31/1990 12,405 12,502 12,597 12,673
06/30/1990 12,534 12,625 12,723 12,806
07/31/1990 12,667 12,750 12,853 12,966
08/31/1990 12,687 12,761 12,867 13,005
09/30/1990 12,752 12,819 12,927 13,111
10/31/1990 12,840 12,898 13,010 13,255
11/30/1990 12,988 13,039 13,155 13,386
12/31/1990 13,123 13,167 13,286 13,548
01/31/1991 13,238 13,275 13,398 13,672
02/28/1991 13,339 13,367 13,494 13,754
03/31/1991 13,447 13,468 13,598 13,846
04/30/1991 13,605 13,619 13,753 13,977
05/31/1991 13,706 13,711 13,849 14,062
06/30/1991 13,788 13,785 13,927 14,119
07/31/1991 13,936 13,924 14,070 14,242
08/31/1991 14,130 14,110 14,260 14,437
09/30/1991 14,309 14,280 14,436 14,593
10/31/1991 14,428 14,390 14,550 14,750
11/30/1991 14,578 14,531 14,695 14,903
12/31/1991 14,817 14,761 14,930 15,131
01/31/1992 14,824 14,759 14,932 15,107
02/29/1992 14,893 14,818 14,995 15,160
03/31/1992 14,895 14,813 14,992 15,154
04/30/1992 14,995 14,903 15,086 15,293
05/31/1992 15,142 15,040 15,228 15,432
06/30/1992 15,279 15,166 15,359 15,590
07/31/1992 15,476 15,353 15,551 15,765
08/31/1992 15,573 15,440 15,643 15,903
09/30/1992 15,723 15,579 15,786 16,055
10/31/1992 15,723 15,568 15,780 15,959
11/30/1992 15,726 15,562 15,777 15,933
12/31/1992 15,885 15,710 15,930 16,084
01/31/1993 16,029 15,842 16,067 16,251
02/28/1993 16,213 16,015 16,245 16,390
03/31/1993 16,299 16,090 16,325 16,439
04/30/1993 16,371 16,151 16,390 16,541
05/31/1993 16,384 16,154 16,397 16,495
06/30/1993 16,541 16,300 16,548 16,616
07/31/1993 16,593 16,339 16,591 16,655
08/31/1993 16,749 16,483 16,740 16,800
09/30/1993 16,807 16,530 16,792 16,855
10/31/1993 16,917 16,628 16,894 16,888
11/30/1993 16,927 16,628 16,898 16,892
12/31/1993 17,040 16,728 17,002 16,954
01/31/1994 17,127 16,801 17,081 17,063
02/28/1994 17,047 16,714 16,995 16,954
03/31/1994 16,966 16,624 16,907 16,870
04/30/1994 16,904 16,552 16,838 16,810
05/31/1994 16,878 16,517 16,806 16,834
06/30/1994 16,907 16,546 16,827 16,884
07/31/1994 17,057 16,693 16,970 17,029
08/31/1994 17,124 16,758 17,028 17,089
09/30/1994 17,091 16,726 16,989 17,050
10/31/1994 17,083 16,718 16,974 17,088
11/30/1994 17,080 16,714 16,964 17,012
12/31/1994 17,064 16,699 16,942 17,050
01/31/1995 17,216 16,848 17,086 17,288
02/28/1995 17,426 17,053 17,287 17,525
03/31/1995 17,491 17,117 17,344 17,623
04/30/1995 17,704 17,325 17,547 17,780
05/31/1995 18,019 17,634 17,852 18,091
06/30/1995 18,106 17,718 17,931 18,188
07/31/1995 18,106 17,718 17,924 18,263
08/31/1995 18,296 17,904 18,105 18,372
09/30/1995 18,453 18,058 18,253 18,461
10/31/1995 18,584 18,187 18,376 18,617
11/30/1995 18,794 18,392 18,576 18,782
12/31/1995 19,010 18,604 18,782 18,926
01/31/1996 19,143 18,734 18,906 19,087
02/29/1996 19,013 18,607 18,770 19,006
03/31/1996 18,998 18,592 18,747 18,989
04/30/1996 18,998 18,592 18,740 19,005
05/31/1996 19,009 18,603 18,744 19,044
06/30/1996 19,196 18,785 18,920 19,181
07/31/1996 19,253 18,841 18,969 19,256
08/31/1996 19,342 18,928 19,047 19,323
09/30/1996 19,609 19,189 19,302 19,498
10/31/1996 19,883 19,458 19,565 19,717
11/30/1996 20,144 19,713 19,813 19,868
12/31/1996 20,081 19,652 19,744 19,868
01/31/1997 20,242 19,809 19,896 19,962
02/28/1997 20,317 19,882 19,961 20,007
03/31/1997 20,227 19,795 19,866 20,000
04/30/1997 20,466 20,028 20,092 20,163
05/31/1997 20,630 20,189 20,245 20,301
06/30/1997 20,784 20,340 20,388 20,440
07/31/1997 21,113 20,661 20,700 20,665
08/31/1997 21,094 20,643 20,671 20,684
09/30/1997 21,271 20,816 20,837 20,841
10/31/1997 21,420 20,962 20,976 20,996
11/30/1997 21,476 21,016 21,029 21,047
12/31/1997 21,632 21,170 21,176 21,191
01/31/1998 21,790 21,324 21,320 21,396
02/28/1998 21,858 21,390 21,378 21,415
03/31/1998 21,943 21,474 21,452 21,502
04/30/1998 22,055 21,583 21,553 21,603
05/31/1998 22,187 21,713 21,674 21,718
06/30/1998 22,234 21,759 21,709 21,831
07/31/1998 22,332 21,854 21,793 21,933
08/31/1998 22,412 21,933 21,863 22,209
09/30/1998 22,860 22,372 22,291 22,503
10/31/1998 22,817 22,329 22,240 22,613
11/30/1998 22,942 22,452 22,354 22,594
12/31/1998 23,075 22,582 22,472 22,673
01/31/1999 23,170 22,675 22,555 22,763
02/28/1999 23,040 22,548 22,420 22,652
03/31/1999 23,229 22,733 22,595 22,810
04/30/1999 23,343 22,844 22,694 22,883
05/31/1999 23,261 22,764 22,606 22,868
06/30/1999 23,266 22,769 22,599 22,940
07/31/1999 23,259 22,762 22,583 23,012
08/31/1999 23,266 22,769 22,581 23,079
09/30/1999 23,431 22,930 22,732 23,229
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
</TABLE>
*Past performance is no guarantee of future results. The adjusted returns above
include the effect of applicable sales charges. Excluding the 1-year returns,
these returns represent the blended performance of the Fund's retail class
shares (for the period from 1/17/97) and the prior performance of the Fund's
institutional class shares, adjusted for retail class fees and expenses. Retail
class shares were first offered in January 1997. See page 31 for Footnotes,
which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
1 year or less 32%
1-5 years 59%
5-10 years 8%
10-20 years 0%
20-30 years 0%
Over 30 years 1%
Duration: 1.9 years
Sector Breakdown
Corporate Bonds & Notes 50.3%
Mortgage-Backed Securities 25.4%
U.S. Treasury Obligations 9.4%
Other 14.9%
Quality Breakdown
AAA 40.7%
AA 9.4%
A 22.2%
BBB 21.2%
BB 5.9%
B 0.6%
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the 1-year period ended March 31, 2000, the Fund's Class A shares returned
3.07%, underperforming the Merrill Lynch 1-3 Year Treasury Index, which returned
3.73%. The Fund also slightly underperformed its Lipper Average, which returned
3.27%. However, 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 March 31, 2000.
Over the past year the Federal Reserve lifted short-term interest rates
five times to prevent the economy from overheating in the face of mounting
imbalances, such as skyrocketing stock prices and a tightening labor market,
which threaten to drive inflation higher. As a result, bond yields across the
yield curve rose substantially.
The Fund's position in investment grade corporate debt enhanced performance
over the past year as economic growth continued unabated and corporate issuance
slowed. In addition, our allocation to mortgage-backed securities lifted
performance as their attractive yield offset their price decline. Selective
emerging market investments also 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 year detracted from returns as interest rates
increased in response to Fed tightening. A small weight in below-investment-
grade securities also hurt performance due to cash outflow from the sector amid
concerns about deteriorating credit quality.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year. In our opinion, an
over-leveraged private sector combined with public budget surpluses will
continue to cause credit quality to deteriorate and the Treasury curve to remain
inverted.
Strategically, we expect to keep the duration of the Fund slightly above
the benchmark to take advantage of higher yields on longer-maturity securities.
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 and take advantage of the inverted curve. Mortgage- backed
securities will continue to be favored over investment-grade corporate credits,
because of their higher quality and attractive yields.
22
<PAGE>
March 31, 2000 PIMCO Money Market Fund
OBJECTIVE:
Maximum current income, consistent with preservation of capital and daily
liquidity.
FUND INCEPTION DATE:
3/01/91
TOTAL NET ASSETS:
$541.5 million
PORTFOLIO MANAGER:
Leslie Barbi
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Money Salomon
Market Fund 3 Mo. T-Bill Lipper Money
Average Index Market Index
--------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1 year 4.92% 3.99% 4.95% 4.72% 4.99% 4.89%
3 years 4.93% 4.07% 4.98% 4.82% 5.04% 5.00%
5 years 5.08% 4.20% 5.12% 4.93% 5.19% 5.08%
Inception 4.47% 3.57% 4.49% -- -- --
</TABLE>
7-Day Yield
A Shares B Shares C Shares
--------------------------------------------------------------------------------
As of 3/31/00 5.58% 4.78% 5.54%
*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 31 for
Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
1 year or less 100%
Duration: 44 days
Sector Breakdown
Short-Term Instruments 100.0%
Quality Breakdown
AAA 60.0%
AA 38.7%
A 1.3%
--------------------------------------------------------------------------------
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 4.92% for the year ended
March 31, 2000, slightly underperforming its benchmark, the Salomon 3-Month
T-Bill Index, which returned 4.99% for the period. The Fund also slightly
underperformed its Lipper Average. The SEC 7-day and 30-day yields for the
Fund's Class A shares were 5.58% and 5.33%, respectively, as of March 31, 2000.
The Fund, which has an Aaa money market fund rating by Moodys Investors
Service, emphasizes high quality commercial paper, shorter-term Agency and high
quality corporate debt issues because of their strong liquidity, attractive
yields and limited credit risk. Yields for high quality three-month commercial
paper rose by approximately 130 basis points over the past year, reflecting the
five short-term interest rate increases by the Federal Reserve. Relative to
similar maturity Treasuries, commercial paper spreads widened to approximately
40 basis points by the year ended March 31, 2000, reflecting a general trend of
widening credit risk premiums for corporate debt issues.
Looking ahead, the Fund's manager expects to continue to emphasize liquid,
high-quality commercial paper, which offers higher yields than Treasuries with
minimal additional 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.
23
<PAGE>
March 31, 2000 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:
$52.6 million
PORTFOLIO MANAGER:
Mark McCray
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Lehman Bros.
Gen. Municipal Municipal Bond
Adjusted Adjusted Adjusted Debt. Fund Avg. Index
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year -2.16% -5.09% -2.89% -7.57% -3.57% -2.40% -0.08%
Inception 1.81% 0.44% 1.05% -0.21% 1.30% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO Municipal Bond A PIMCO Municipal Bond B PIMCO Municipal Bond C Lehman Bros.
Municipal Bond
Index
<S> <C> <C> <C> <C>
12/31/1997 9,700 10,000 10,000 210,000
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 9,953 10,295 10,734
</TABLE>
*Past performance is no guarantee of future results. The adjusted returns above
include the effect of applicable sales charges. These returns represent the
blended performance of the Fund's retail class shares (for the period from
4/1/98) and the prior performance of the Fund's institutional class shares,
adjusted for retail class fees and expenses. Retail class shares were first
offered in April 1998. Income from the Fund may be subject to state and local
taxes and (if applicable) the Alternative Minimum Tax.
See page 31 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
1 year or less 13%
1-5 years 21%
5-10 years 38%
10-20 years 27%
20-30 years 1%
Duration: 6.5 years
Sector Breakdown
Municipal Bonds & Notes 99.9%
Other 0.1%
Quality Breakdown
AAA 45.1%
AA 19.4%
A 13.4%
BBB 12.1%
BB 10.0%
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the year ending March 31, 2000, the Fund's Class A shares fell 2.16%. This
performance, although negative, compares favorably to the Lipper General
Municipal Debt Fund Average, which dropped 2.40% over the same period. The Fund
also outperformed its Lipper Average over the since inception period ended March
31, 2000.
Over the past year the Federal Reserve lifted interest rates five times to
prevent the economy from overheating in the face of mounting imbalances, such as
skyrocketing stock prices and a tightening labor market, which threaten to drive
inflation higher. As a result, yields across many sectors of the bond market
rose substantially. Municipal bonds were not immune and institutional investors,
in particular, withdrew from the sector, exacerbating performance problems.
However, in the first quarter of this year, long-term municipal yields fell in
response to the drop in long-term Treasury yields as the government implemented
its debt buyback program during the quarter.
The Fund maintained a high average credit quality of AA during the past
year, which benefited returns as yield premiums widened amid heightened investor
focus on deteriorating credit conditions. And, in the first quarter, the Fund's
exposure to longer-term maturities helped returns as yields fell in this segment
of the curve in sympathy with Treasury bonds.
However, the portfolio's above-benchmark duration during most of the year
hindered performance due to the general rise in municipal yields. In addition,
our holdings of longer-term AAA rated insured bonds also hurt performance as
yield premiums on these bonds actually widened relative to AAA general
obligation bonds.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year.
In this environment, average portfolio duration will be targeted slightly
below the benchmark as further Fed tightening should put upward pressure on
interest rates. We expect to increase the weight of longer maturity credits due
to their attractive yield and improve call protection. In general, we anticipate
continuing to stress a higher quality portfolio in an effort to offer above-
average returns with below-average risk.
24
<PAGE>
March 31, 2000
PIMCO NY Intermediate Municipal Bond Fund
OBJECTIVE:
Seek high current income exempt form 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:
3-7 years
TOTAL NET ASSETS:
$3.0 million
FUND INCEPTION DATE:
8/31/99
PORTFOLIO MANAGER:
Mark McCray
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
A Shares Lehman Bros.
New York Exempt
Adjusted Intermediate Index
--------------------------------------------------------------------------------
6 months 1.34% -1.70% 1.51%
Inception 1.71% -1.34% --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO NY NY Interm.
Interm. Municipal
Municipal Bond A Bond Index
<S> <C> <C>
08/31/1999 9,700 10,000
09/30/1999 9,735 10,031
10/31/1999 9,655 9,983
11/30/1999 9,740 10,062
12/31/1999 9,701 10,019
01/31/2000 9,653 9,983
02/29/2000 9,712 10,037
03/31/2000 9,866 10,183
</TABLE>
*Past performance is no guarantee of future results. The adjusted returns above
include the effect of applicable sales charges. These returns represent the
blended performance of the Fund's retail class shares (for the period from
8/31/99) 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 31 for Footnotes, which include additional
details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
----------------------------------------------------------
1 year or less 11%
----------------------------------------------------------
1-5 years 15%
----------------------------------------------------------
5-10 years 74%
----------------------------------------------------------
10-20 years 0%
----------------------------------------------------------
20-30 years 0%
----------------------------------------------------------
Duration: 5.4 years
----------------------------------------------------------
Sector Breakdown
----------------------------------------------------------
Municipal Bonds & Notes 96.6%
----------------------------------------------------------
Other 3.4%
----------------------------------------------------------
Quality Breakdown
----------------------------------------------------------
AAA 67.2%
----------------------------------------------------------
AA 14.6%
----------------------------------------------------------
A 13.2%
----------------------------------------------------------
BBB 5.0%
----------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
PIMCO New York Intermediate Municipal Bond Fund was launched on August 31, 1999.
The Fund seeks to provide high current income exempt from federal and New York
income tax. From inception through March 31, 2000, the Fund's Class A shares
returned a cumulative 1.71%, slightly underperforming the Lehman New York
Intermediate Muni Bond Index, which returned 1.83% over the same period.
Since June of 1999 the Federal Reserve has lifted interest rates five times
in an effort to prevent the economy from overheating in the face of mounting
imbalances, such as skyrocketing stock prices and a tightening labor market,
which threaten to drive inflation higher. As a result, yields across many
sectors of the bond market, including New York municipal bonds, rose
substantially.
However, in the first quarter of this year, long-term New York municipal
bonds reversed course in response to strong investor demand, limited new supply
and favorable credit conditions. As a result, the Fund's performance was
positively impacted by allocations to longer-term maturity securities.
Allocations to higher rated and insured credits also helped returns as investors
displayed a preference for these issues amid heightened concern about credit
quality.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year.
In this environment, average portfolio duration will be targeted near the
benchmark as further Fed tightening should put upward pressure on interest
rates. We expect to maintain an overweight position in longer maturity credits
due to the relatively attractive yield offered by longer-term New York issues.
In addition, we anticipate maintaining the Fund's high average credit quality of
AA.
25
<PAGE>
March 31, 2000
PIMCO Real Return Bond Fund
OBJECTIVE:
Maximum real return, consistent with preservation of real capital and prudent
investment management.
PORTFOLIO:
Primarily inflation-indexed bonds.
TOTAL NET ASSETS:
$269.9 million
FUND INCEPTION DATE:
1/29/97
PORTFOLIO MANAGER:
John Brynjoffsson
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
<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 7.93% 4.69% 7.16% 2.16% 6.40% 3.27% 6.36%
3 year 6.00% 4.93% 5.27% 4.36% 5.52% 4.86% 4.73%
Inception 5.73% 4.72% 4.96% 4.11% 5.20% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
Lehman Bros.
PIMCO Real PIMCO Real PIMCO Real Infl. Linked
Return A Return B Return C Treas. Index
<S> <C> <C> <C> <C>
01/31/1997 9,700 10,000 10,000 10,000
02/28/1997 9,735 10,029 10,032 10,033
03/31/1997 9,651 9,927 9,928 9,896
04/30/1997 9,698 9,978 9,977 9,956
05/31/1997 9,750 10,028 10,027 10,010
06/30/1997 9,726 9,997 9,996 9,978
07/31/1997 9,841 10,110 10,108 10,072
08/31/1997 9,858 10,121 10,124 10,103
09/30/1997 9,874 10,131 10,142 10,123
10/31/1997 9,995 10,249 10,263 10,227
11/30/1997 10,044 10,293 10,309 10,284
12/31/1997 9,989 10,230 10,249 10,241
01/31/1998 10,044 10,280 10,301 10,291
02/28/1998 10,030 10,260 10,282 10,282
03/31/1998 10,047 10,274 10,298 10,277
04/30/1998 10,097 10,318 10,344 10,315
05/31/1998 10,135 10,350 10,379 10,388
06/30/1998 10,167 10,376 10,407 10,414
07/31/1998 10,242 10,446 10,479 10,463
08/31/1998 10,246 10,444 10,479 10,486
09/30/1998 10,481 10,676 10,715 10,697
10/31/1998 10,533 10,722 10,763 10,721
11/30/1998 10,514 10,697 10,739 10,710
12/31/1998 10,466 10,640 10,685 10,646
01/31/1999 10,617 10,787 10,834 10,769
02/28/1999 10,589 10,752 10,802 10,693
03/31/1999 10,649 10,806 10,859 10,689
04/30/1999 10,822 10,973 11,029 10,760
05/31/1999 10,897 11,043 11,101 10,834
06/30/1999 10,879 11,018 11,079 10,841
07/31/1999 10,894 11,029 11,090 10,835
08/31/1999 10,947 11,075 11,139 10,854
09/30/1999 10,989 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 11,285 11,662 11,369
</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 31 for Footnotes,
which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
----------------------------------------------------------
1 year or less 11%
----------------------------------------------------------
1-5 years 3%
----------------------------------------------------------
5-10 years 64%
----------------------------------------------------------
10-20 years 2%
----------------------------------------------------------
20-30 years 20%
----------------------------------------------------------
Duration: 2.9 years
----------------------------------------------------------
Sector Breakdown
----------------------------------------------------------
U.S. Treasury Obligations 63.3%
----------------------------------------------------------
Corporate Bonds & Notes 21.4%
----------------------------------------------------------
Asset-Backed Securities 4.7%
----------------------------------------------------------
Other 10.6%
----------------------------------------------------------
Quality Breakdown
----------------------------------------------------------
AAA 77.8%
----------------------------------------------------------
AA 2.5%
----------------------------------------------------------
A 10.3%
----------------------------------------------------------
BBB 7.2%
----------------------------------------------------------
BB 2.2%
----------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the 1-year period ended March 31, 2000, the Fund's Class A shares returned
7.93%, outperforming the Lehman Inflation-Linked Index, which returned 6.36%.
The Fund also outperformed its Lipper Average, which returned 3.27%. Longer term
the Fund outperformed both its Lipper Average and benchmark over the 3-year and
since inception periods ended March 31, 2000.
Over the past year the Federal Reserve lifted interest rates five times to
prevent the economy from overheating in the face of mounting imbalances, such as
skyrocketing stock prices and a tightening labor market, which threaten to drive
inflation higher. As a result, bond yields rose substantially. However, in
January, long-term Treasuries rallied, responding to the Treasury's debt buyback
program. Other sectors didn't participate in the rally due to mounting credit
concerns.
The Fund's continued concentration in Treasury Inflation Protection
Securities (TIPS) boosted returns over the past year as these securities
outperformed other bonds due to mounting inflation fears. Not only did TIPS
exhibit less yield volatility than conventional Treasuries as interest rates
rose, but they also rallied along with Treasury bond yields in the first quarter
of this year as concerns about declining credit quality impacted the market. Our
below benchmark duration lowered relative returns, however, as real rates
dropped across all maturities.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year. In our opinion, an
over-leveraged private sector combined with public budget surpluses will
continue to cause credit quality to deteriorate and the Treasury curve to remain
inverted.
Looking ahead, we expect real return bonds to perform well given that the
best inflation news is behind us. 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 near the benchmark, but intermediate
maturities may be modestly overweighted to take advantage of favorable liquidity
and attractive financing opportunities.
26
<PAGE>
March 31, 2000
PIMCO Short-Term Fund
OBJECTIVE:
Maximum current income, consistent with preservation of capital and daily
liquidity.
PORTFOLIO:
Primarily short-term investment grade bonds.
DURATION RANGE:
0-1 year
FUND INCEPTION DATE:
10/07/87
TOTAL NET ASSETS:
$709.0 million
PORTFOLIO MANAGER:
Paul McCulley
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Ultra- Salomon
Short Oblig. 3 Mo. T-Bill Lipper Money
Adjusted Adjusted Adjusted Fund Avg. Index Market Index
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 year 4.76% 2.67% 4.00% -0.96% 3.46% 4.69% 4.99% 4.89%
5 years 6.26% 5.83% 5.51% 5.18% 5.95% 5.52% 5.19% 5.08%
10 years 5.53% 5.31% 4.98% 4.98% 5.22% 5.56% 4.99% 4.84%
Inception 5.99% 5.82% 5.54% 5.54% 5.68% -- -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO Salomon Lipper Money
Short-Term A Short-Term B Short-Term C 3-Mo. T-Bill Market Index
<S> <C> <C> <C> <C> <C>
10/31/1987 9,800 10,000 10,000 10,000 10,000
11/30/1987 9,855 10,049 10,053 10,051 10,056
12/31/1987 9,912 10,100 10,108 10,099 10,114
01/31/1988 9,976 10,160 10,172 10,148 10,171
02/29/1988 10,015 10,193 10,209 10,194 10,223
03/31/1988 10,067 10,240 10,260 10,244 10,277
04/30/1988 10,120 10,287 10,311 10,294 10,327
05/31/1988 10,173 10,336 10,364 10,347 10,382
06/30/1988 10,228 10,385 10,416 10,401 10,439
07/31/1988 10,277 10,429 10,464 10,460 10,500
08/31/1988 10,340 10,486 10,526 10,520 10,566
09/30/1988 10,405 10,546 10,589 10,583 10,632
10/31/1988 10,494 10,628 10,676 10,648 10,701
11/30/1988 10,561 10,690 10,742 10,715 10,768
12/31/1988 10,620 10,743 10,799 10,785 10,842
01/31/1989 10,693 10,811 10,871 10,858 10,920
02/28/1989 10,766 10,878 10,943 10,934 10,993
03/31/1989 10,858 10,963 11,033 11,013 11,078
04/30/1989 10,937 11,036 11,111 11,095 11,161
05/31/1989 11,033 11,127 11,207 11,179 11,250
06/30/1989 11,114 11,201 11,285 11,257 11,335
07/31/1989 11,205 11,286 11,374 11,336 11,419
08/31/1989 11,262 11,335 11,429 11,413 11,500
09/30/1989 11,336 11,403 11,502 11,487 11,578
10/31/1989 11,439 11,500 11,603 11,565 11,659
11/30/1989 11,513 11,567 11,675 11,640 11,736
12/31/1989 11,576 11,623 11,737 11,717 11,815
01/31/1990 11,629 11,670 11,789 11,794 11,895
02/28/1990 11,698 11,732 11,855 11,865 11,966
03/31/1990 11,773 11,800 11,927 11,945 12,044
04/30/1990 11,819 11,839 11,970 12,022 12,122
05/31/1990 11,927 11,941 12,078 12,104 12,204
06/30/1990 12,002 12,009 12,150 12,183 12,281
07/31/1990 12,083 12,082 12,228 12,263 12,362
08/31/1990 12,144 12,136 12,288 12,343 12,442
09/30/1990 12,223 12,207 12,364 12,418 12,517
10/31/1990 12,314 12,288 12,452 12,495 12,598
11/30/1990 12,410 12,377 12,545 12,569 12,676
12/31/1990 12,507 12,466 12,641 12,650 12,756
01/31/1991 12,594 12,545 12,725 12,723 12,834
02/28/1991 12,660 12,604 12,789 12,785 12,899
03/31/1991 12,715 12,651 12,842 12,851 12,966
04/30/1991 12,792 12,720 12,915 12,913 13,031
05/31/1991 12,861 12,781 12,982 12,975 13,095
06/30/1991 12,906 12,818 13,025 13,035 13,153
07/31/1991 12,979 12,883 13,096 13,097 13,216
08/31/1991 13,060 12,955 13,174 13,159 13,276
09/30/1991 13,129 13,016 13,239 13,217 13,334
10/31/1991 13,203 13,081 13,311 13,275 13,392
11/30/1991 13,233 13,104 13,339 13,328 13,446
12/31/1991 13,285 13,147 13,388 13,377 13,501
01/31/1992 13,332 13,186 13,432 13,424 13,551
02/29/1992 13,358 13,203 13,454 13,466 13,593
03/31/1992 13,380 13,218 13,474 13,512 13,636
04/30/1992 13,434 13,263 13,525 13,555 13,679
05/31/1992 13,473 13,293 13,562 13,600 13,720
06/30/1992 13,524 13,336 13,611 13,640 13,759
07/31/1992 13,578 13,380 13,661 13,681 13,799
08/31/1992 13,611 13,404 13,690 13,720 13,835
09/30/1992 13,645 13,430 13,720 13,754 13,868
10/31/1992 13,657 13,434 13,729 13,788 13,902
11/30/1992 13,672 13,440 13,740 13,823 13,934
12/31/1992 13,710 13,470 13,775 13,860 13,969
01/31/1993 13,754 13,505 13,816 13,897 14,002
02/28/1993 13,789 13,531 13,848 13,929 14,031
03/31/1993 13,851 13,582 13,906 13,964 14,064
04/30/1993 13,896 13,619 13,949 13,998 14,095
05/31/1993 13,949 13,662 13,999 14,033 14,124
06/30/1993 14,004 13,706 14,050 14,068 14,155
07/31/1993 14,053 13,746 14,095 14,104 14,187
08/31/1993 14,088 13,772 14,126 14,141 14,219
09/30/1993 14,122 13,797 14,157 14,176 14,250
10/31/1993 14,170 13,835 14,201 14,213 14,282
11/30/1993 14,221 13,877 14,249 14,249 14,313
12/31/1993 14,286 13,932 14,310 14,286 14,346
01/31/1994 14,309 13,946 14,330 14,323 14,379
02/28/1994 14,323 13,953 14,342 14,357 14,409
03/31/1994 14,299 13,920 14,313 14,398 14,444
04/30/1994 14,320 13,932 14,332 14,441 14,480
05/31/1994 14,329 13,931 14,336 14,488 14,521
06/30/1994 14,393 13,985 14,398 14,538 14,563
07/31/1994 14,460 14,041 14,461 14,590 14,608
08/31/1994 14,515 14,086 14,513 14,644 14,657
09/30/1994 14,529 14,092 14,525 14,698 14,707
10/31/1994 14,565 14,127 14,558 14,758 14,762
11/30/1994 14,576 14,137 14,565 14,820 14,818
12/31/1994 14,637 14,196 14,624 14,889 14,882
01/31/1995 14,708 14,266 14,691 14,957 14,948
02/28/1995 14,842 14,395 14,822 15,023 15,011
03/31/1995 14,873 14,426 14,848 15,097 15,082
04/30/1995 15,031 14,579 15,003 15,169 15,150
05/31/1995 15,181 14,724 15,148 15,243 15,222
06/30/1995 15,230 14,771 15,194 15,315 15,292
07/31/1995 15,321 14,860 15,280 15,388 15,363
08/31/1995 15,390 14,927 15,346 15,461 15,432
09/30/1995 15,533 15,066 15,484 15,530 15,500
10/31/1995 15,644 15,173 15,589 15,602 15,570
11/30/1995 15,788 15,312 15,728 15,670 15,637
12/31/1995 15,920 15,441 15,857 15,743 15,705
01/31/1996 15,995 15,514 15,927 15,813 15,774
02/29/1996 16,022 15,540 15,951 15,878 15,836
03/31/1996 16,072 15,588 15,997 15,945 15,899
04/30/1996 16,146 15,660 16,067 16,010 15,963
05/31/1996 16,228 15,740 16,146 16,079 16,028
06/30/1996 16,316 15,825 16,230 16,147 16,091
07/31/1996 16,362 15,869 16,271 16,216 16,158
08/31/1996 16,463 15,967 16,368 16,287 16,226
09/30/1996 16,619 16,119 16,521 16,357 16,290
10/31/1996 16,751 16,246 16,648 16,429 16,356
11/30/1996 16,900 16,391 16,793 16,498 16,422
12/31/1996 16,964 16,453 16,851 16,569 16,491
01/31/1997 17,064 16,550 16,946 16,641 16,560
02/28/1997 17,138 16,622 17,015 16,706 16,621
03/31/1997 17,144 16,628 17,020 16,779 16,689
04/30/1997 17,240 16,721 17,112 16,851 16,758
05/31/1997 17,363 16,840 17,230 16,925 16,830
06/30/1997 17,477 16,951 17,337 16,996 16,901
07/31/1997 17,612 17,082 17,467 17,070 16,973
08/31/1997 17,663 17,131 17,514 17,143 17,046
09/30/1997 17,780 17,244 17,626 17,215 17,118
10/31/1997 17,819 17,282 17,662 17,291 17,191
11/30/1997 17,895 17,357 17,736 17,363 17,264
12/31/1997 17,994 17,452 17,828 17,438 17,340
01/31/1998 18,098 17,553 17,928 17,515 17,416
02/28/1998 18,160 17,613 17,985 17,585 17,484
03/31/1998 18,280 17,729 18,100 17,662 17,559
04/30/1998 18,362 17,809 18,178 17,736 17,631
05/31/1998 18,443 17,887 18,255 17,813 17,707
06/30/1998 18,505 17,948 18,311 17,886 17,779
07/31/1998 18,614 18,054 18,414 17,961 17,856
08/31/1998 18,620 18,059 18,416 18,038 17,933
09/30/1998 18,743 18,179 18,532 18,112 18,006
10/31/1998 18,812 18,246 18,595 18,184 18,078
11/30/1998 18,874 18,306 18,652 18,252 18,149
12/31/1998 18,952 18,381 18,725 18,319 18,219
01/31/1999 19,024 18,451 18,792 18,387 18,291
02/28/1999 19,100 18,525 18,862 18,449 18,353
03/31/1999 19,234 18,654 18,990 18,520 18,422
04/30/1999 19,320 18,738 19,072 18,588 18,489
05/31/1999 19,322 18,740 19,070 18,659 18,557
06/30/1999 19,388 18,804 19,131 18,728 18,624
07/31/1999 19,454 18,868 19,190 18,801 18,678
08/31/1999 19,516 18,928 19,246 18,876 18,753
09/30/1999 19,602 19,012 19,325 18,950 18,826
10/31/1999 19,694 19,101 19,410 19,027 18,903
11/30/1999 19,786 19,191 19,495 19,103 18,982
12/31/1999 19,864 19,266 19,567 19,186 19,066
01/31/2000 19,917 19,318 19,620 19,270 19,152
02/29/2000 20,021 19,418 19,712 19,353 19,234
03/31/2000 20,149 19,542 19,838 19,444 19,323
</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 31 for Footnotes,
which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
---------------------------------------------------------
1 year or less 74%
---------------------------------------------------------
1-5 years 25%
---------------------------------------------------------
5-10 years 1%
---------------------------------------------------------
10-20 years 0%
---------------------------------------------------------
20-30 years 0%
---------------------------------------------------------
Duration: 0.5 years
---------------------------------------------------------
Sector Breakdown
---------------------------------------------------------
Short-Term Instruments 33.2%
---------------------------------------------------------
Corporate Bonds & Notes 24.5%
---------------------------------------------------------
Mortgage-Backed Securities 20.2%
---------------------------------------------------------
Asset-Backed Securities 10.8%
---------------------------------------------------------
U.S. Government Agencies 6.9%
---------------------------------------------------------
Other 4.4%
---------------------------------------------------------
Quality Breakdown
---------------------------------------------------------
AAA 41.6%
---------------------------------------------------------
AA 14.1%
---------------------------------------------------------
A 16.8%
---------------------------------------------------------
BBB 26.0%
---------------------------------------------------------
BB 1.5%
---------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the 1-year period ended March 31, 2000, the Fund's Class A shares returned
4.76%, slightly underperforming the Salomon 3-Month Treasury Bill Index, which
returned 4.99%. The Fund did slightly outperform its Lipper Average, which
returned 4.69%.
The Fund's Class A shares had a 30 day annualized yield of 5.45% on March
31, 2000. This compares favorably with the average money market yield of 3.41%
and the average six-month CD yield of 4.76%, according to Banxquote Money
Market. Remember that money market funds must maintain a fixed share price and
that CDs are guaranteed as to repayment of principal and interest. The Fund's
shares, on the other hand, are not guaranteed, and its share price can
fluctuate.
Over the past year the Federal Reserve lifted interest rates five times to
prevent the economy from overheating in the face of mounting imbalances, such as
skyrocketing stock prices and a tightening labor market, which threaten to drive
inflation higher. As a result, bond yields rose substantially. However, in
January, long-term Treasuries rallied, responding to the Treasury's debt buyback
program. Other sectors didn't participate in the rally due to mounting credit
concerns.
The Fund's average duration and maturity were lowered over the past year as
interest rates rose in anticipation of Fed tightening. An emphasis on mortgages
enhanced performance as their attractive yields more than offset their decline
in price. Recently, our concentration in GNMA's helped the portfolio as investor
demand for U.S. government guaranteed securities increased. The Fund's
allocation to Treasury Inflation Protection Securities also added to returns as
these bonds outperformed their conventional Treasury counterparts.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year. In our opinion, an
over-leveraged private sector combined with public budget surpluses will
continue to cause credit quality to deteriorate and the Treasury curve to remain
inverted.
Given this outlook, strategies that enhance yield remain key to
performance. Duration will be targeted near the half-year neutral point to
capture additional yield while limiting overall interest rate sensitivity. We
expect to continue to favor select short-term investment-grade corporate issues,
taking advantage of their high yields and minimal additional risk.
27
<PAGE>
March 31, 2000
PIMCO StocksPLUS Fund
OBJECTIVE:
Total return which exceeds that of the S&P 500.
PORTFOLIO:
Primarily S&P 500 Index futures and short-term bonds.
DURATION RANGE:
0-1 year
FUND INCEPTION DATE:
5/14/93
TOTAL NET ASSETS:
$1.5 billion
PORTFOLIO MANAGER:
Bill Gross
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Return For periods ended 3/31/00
A Shares B Shares C Shares Lipper
Large-Cap Core S&P 500
Adjusted Adjusted Adjusted Fund Average Index
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 17.26% 13.75% 16.40% 11.48% 15.70% 21.70% 17.94%
3 years 26.39% 25.11% 25.49% 24.86% 25.77% 26.08% 27.40%
5 years 26.27% 25.50% 25.33% 25.17% 25.66% 24.42% 26.76%
Inception 22.04% 21.50% 21.15% 21.15% 21.43% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO S&P 500
StocksPLUS StocksPLUS StocksPLUS Index
A B C
<S> <C> <C> <C> <C>
05/31/1993 9,700 10,000 10,000 10,000
06/30/1993 9,749 10,043 10,044 10,029
07/31/1993 9,727 10,015 10,016 9,989
08/31/1993 10,094 10,383 10,397 10,368
09/30/1993 9,993 10,276 10,289 10,288
10/31/1993 10,211 10,487 10,501 10,501
11/30/1993 10,092 10,362 10,376 10,401
12/31/1993 10,271 10,544 10,560 10,527
01/31/1994 10,605 10,880 10,899 10,885
02/28/1994 10,275 10,534 10,550 10,589
03/31/1994 9,818 10,052 10,084 10,128
04/30/1994 9,938 10,175 10,198 10,258
05/31/1994 10,120 10,350 10,384 10,426
06/30/1994 9,902 10,126 10,158 10,170
07/31/1994 10,284 10,510 10,546 10,504
08/31/1994 10,750 10,978 11,018 10,935
09/30/1994 10,563 10,784 10,823 10,668
10/31/1994 10,729 10,942 10,983 10,907
11/30/1994 10,397 10,593 10,642 10,510
12/31/1994 10,529 10,729 10,768 10,666
01/31/1995 10,816 11,009 11,061 10,943
02/28/1995 11,299 11,493 11,550 11,369
03/31/1995 11,603 11,800 11,849 11,705
04/30/1995 11,975 12,165 12,228 12,049
05/31/1995 12,513 12,706 12,774 12,531
06/30/1995 12,783 12,969 13,039 12,822
07/31/1995 13,185 13,375 13,448 13,247
08/31/1995 13,270 13,454 13,528 13,280
09/30/1995 13,829 14,006 14,096 13,841
10/31/1995 13,801 13,971 14,061 13,791
11/30/1995 14,461 14,624 14,720 14,397
12/31/1995 14,736 14,892 15,003 14,674
01/31/1996 15,259 15,421 15,522 15,174
02/29/1996 15,296 15,448 15,550 15,314
03/31/1996 15,494 15,638 15,755 15,462
04/30/1996 15,683 15,818 15,938 15,690
05/31/1996 16,039 16,165 16,288 16,094
06/30/1996 16,187 16,304 16,428 16,156
07/31/1996 15,429 15,537 15,655 15,442
08/31/1996 15,750 15,850 15,985 15,768
09/30/1996 16,667 16,760 16,902 16,655
10/31/1996 17,194 17,277 17,426 17,114
11/30/1996 18,466 18,544 18,706 18,408
12/31/1996 18,067 18,134 18,292 18,043
01/31/1997 19,177 19,218 19,402 19,171
02/28/1997 19,303 19,345 19,548 19,321
03/31/1997 18,446 18,461 18,657 18,527
04/30/1997 19,573 19,591 19,797 19,633
05/31/1997 20,812 20,817 21,036 20,828
06/30/1997 21,667 21,667 21,886 21,761
07/31/1997 23,438 23,407 23,661 23,493
08/31/1997 22,170 22,122 22,378 22,177
09/30/1997 23,311 23,261 23,519 23,392
10/31/1997 22,554 22,505 22,755 22,610
11/30/1997 23,474 23,394 23,670 23,657
12/31/1997 23,908 23,810 24,101 24,063
01/31/1998 24,214 24,115 24,409 24,329
02/28/1998 25,842 25,702 26,032 26,084
03/31/1998 27,128 26,971 27,305 27,420
04/30/1998 27,457 27,279 27,617 27,695
05/31/1998 26,897 26,701 27,053 27,219
06/30/1998 27,943 27,723 28,097 28,325
07/31/1998 27,633 27,393 27,763 28,023
08/31/1998 23,394 23,188 23,513 23,972
09/30/1998 25,186 24,932 25,288 25,507
10/31/1998 27,178 26,912 27,273 27,582
11/30/1998 28,722 28,408 28,806 29,254
12/31/1998 30,537 30,167 30,623 30,940
01/31/1999 31,560 31,159 31,631 32,233
02/28/1999 30,493 30,100 30,558 31,232
03/31/1999 31,765 31,340 31,808 32,481
04/30/1999 33,013 32,556 33,062 33,739
05/31/1999 32,145 31,670 32,166 32,943
06/30/1999 34,003 33,479 34,015 34,771
07/31/1999 32,881 32,344 32,865 33,685
08/31/1999 32,700 32,143 32,685 33,519
09/30/1999 31,954 31,407 31,939 32,600
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
</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 31 for Footnotes,
which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
---------------------------------------------------------
1 year or less 1%
---------------------------------------------------------
1-5 years 97%
---------------------------------------------------------
5-10 years 0%
---------------------------------------------------------
10-20 years 2%
---------------------------------------------------------
20-30 years 0%
---------------------------------------------------------
Duration: 0.5 years
---------------------------------------------------------
Sector Breakdown
---------------------------------------------------------
Corporate Bonds & Notes 34.2%
---------------------------------------------------------
Short-Term Instruments 20.2%
---------------------------------------------------------
Mortgage-Backed Securities 17.6%
---------------------------------------------------------
U.S. Treasury Obligations 11.8%
---------------------------------------------------------
Asset-Backed Securities 5.6%
---------------------------------------------------------
Other 10.6%
--------------------------------------------------------
Quality Breakdown
---------------------------------------------------------
AAA 43.9%
---------------------------------------------------------
AA 14.3%
---------------------------------------------------------
A 9.4%
---------------------------------------------------------
BBB 27.3%
---------------------------------------------------------
BB 3.7%
---------------------------------------------------------
B 1.4%
---------------------------------------------------------
--------------------------------------------------------------------------------
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 1-year period ended March 31, 2000, the Fund's Class A shares
returned 17.26%, slightly underperforming the S&P 500, which returned 17.94%.
The Fund also underperformed its Lipper Average. Longer term, the Fund has
outperformed the Lipper Average over the 3-, 5-year and since inception periods
ended March 31, 2000. And since inception the Fund has met its objective of
outperforming the S&P 500.
Over the past year the Federal Reserve lifted interest rates five times to
prevent the economy from overheating in the face of a tightening labor market,
which threatens to drive inflation higher. As a result, short-term bond yields
rose substantially. In response, the Fund's average duration and maturity were
lowered to mitigate the damage from rising rates.
An emphasis on mortgages enhanced performance as their attractive yields
more than offset their decline in price. Recently, our concentration in GNMA's
helped the portfolio as investor demand for U.S. government guaranteed
securities increased. The Fund's allocation to Treasury Inflation Protections
Securities also added to returns as these bonds outperformed their conventional
Treasury counterparts.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year. In our opinion, an
over-leveraged private sector combined with public budget surpluses will
continue to cause credit quality to deteriorate and the Treasury curve to remain
inverted.
Given this outlook, strategies that enhance yield remain key to
performance. Duration will be targeted near the half-year neutral point to
capture additional yield while limiting overall interest rate sensitivity. We
expect to continue to favor select short-term investment-grade corporate issues,
taking advantage of their high yields and minimal additional risk.
28
<PAGE>
March 31, 2000
PIMCO Strategic Balanced Fund
OBJECTIVE:
Maximum total return.
PORTFOLIO:
S&P 500 Index futures and short-and intermediate-term investment grade bonds.
DURATION RANGE:
0-6 years
FUND INCEPTION DATE:
6/28/96
TOTAL NET ASSETS:
$155.0 million
PORTFOLIO MANAGER:
Bill Gross
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper
Bal. 60% S&P500 Lipper Bal. S&P 500
Adjusted Adjusted Adjusted Fund Avg. 40% LBAG Index Index
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 Year 9.34% 4.42% 8.61% 3.64% 7.48% 10.48% 11.56% 10.47% 17.94%
3 Years 17.59% 15.80% 16.75% 16.01% 16.70% 14.74% 19.13% 15.55% 27.40%
Inception 17.16% 15.74% 16.32% 15.79% 16.28% -- -- -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO Strategic PIMCO Strategic PIMCO Strategic 60% S&P 500/40% LBAG Lipper S&P 500 INDEX
Balanced A Balanced B Balanced C Balanced
Index
<S> <C> <C> <C> <C> <C> <C>
06/30/1996 9,550 10,000 10,000 10,000 10,000 10,000
07/31/1996 9,289 9,720 9,720 9,746 9,743 9,558
08/31/1996 9,430 9,860 9,860 9,863 9,896 9,760
09/30/1996 9,875 10,319 10,319 10,264 10,262 10,309
10/31/1996 10,148 10,598 10,598 10,525 10,480 10,593
11/30/1996 10,707 11,176 11,176 11,075 10,968 11,394
12/31/1996 10,506 10,959 10,959 10,902 10,834 11,168
01/31/1997 10,944 11,409 11,409 11,324 11,165 11,866
02/28/1997 11,002 11,463 11,463 11,388 11,206 11,959
03/31/1997 10,648 11,087 11,087 11,057 10,880 11,468
04/30/1997 11,129 11,581 11,581 11,520 11,208 12,152
05/31/1997 11,589 12,053 12,053 11,984 11,666 12,892
06/30/1997 11,939 12,410 12,410 12,363 12,041 13,470
07/31/1997 12,666 13,157 13,157 13,086 12,726 14,542
08/31/1997 12,212 12,678 12,678 12,602 12,322 13,727
09/30/1997 12,657 13,130 13,130 13,090 12,814 14,479
10/31/1997 12,473 12,932 12,932 12,904 12,581 13,995
11/30/1997 12,795 13,258 13,258 13,286 12,811 14,643
12/31/1997 12,995 13,457 13,457 13,477 13,001 14,895
01/31/1998 13,169 13,628 13,628 13,635 13,092 15,059
02/28/1998 13,688 14,158 14,158 14,221 13,611 16,145
03/31/1998 14,150 14,626 14,626 14,678 14,028 16,972
04/30/1998 14,269 14,740 14,740 14,797 14,125 17,143
05/31/1998 14,118 14,575 14,575 14,700 13,982 16,848
06/30/1998 14,522 14,983 14,983 15,109 14,235 17,533
07/31/1998 14,438 14,888 14,888 15,025 14,068 17,346
08/31/1998 13,075 13,473 13,473 13,819 12,856 14,838
09/30/1998 13,840 14,253 14,253 14,480 13,411 15,789
10/31/1998 14,458 14,882 14,882 15,156 13,913 17,073
11/30/1998 14,918 15,346 15,346 15,742 14,422 18,108
12/31/1998 15,486 15,922 15,922 16,305 14,954 19,151
01/31/1999 15,852 16,288 16,288 16,760 15,193 19,952
02/28/1999 15,340 15,754 15,754 16,331 14,829 19,332
03/31/1999 15,834 16,250 16,250 16,759 15,195 20,105
04/30/1999 16,214 16,630 16,630 17,170 15,693 20,884
05/31/1999 15,873 16,271 16,271 16,866 15,452 20,391
06/30/1999 16,465 16,871 16,871 17,406 15,878 21,522
07/31/1999 16,103 16,487 16,461 17,051 15,581 20,851
08/31/1999 16,040 16,422 16,397 16,996 15,418 20,747
09/30/1999 15,840 16,215 16,189 16,796 15,220 20,179
10/31/1999 16,472 16,850 16,824 17,459 15,662 21,456
11/30/1999 16,623 16,991 16,967 17,671 15,831 21,892
12/31/1999 17,165 17,543 17,518 18,261 16,299 23,181
01/31/2000 16,424 16,771 16,745 17,687 15,890 22,017
02/29/2000 16,289 16,634 16,608 17,572 15,852 21,600
03/31/2000 17,314 17,346 17,628 18,696 16,786 23,713
</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 31 for Footnotes,
which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
---------------------------------------------------------
less than 1 year 2%
---------------------------------------------------------
1-5 years 34%
---------------------------------------------------------
5-10 years 38%
---------------------------------------------------------
10-20 years 17%
---------------------------------------------------------
20-30 years 9%
---------------------------------------------------------
Duration: 1.8 years
---------------------------------------------------------
Sector Breakdown
---------------------------------------------------------
Corporate Bonds & Notes 37.4%
---------------------------------------------------------
Mortgage-Backed Securities 22.0%
---------------------------------------------------------
Short-Term Instruments 13.7%
---------------------------------------------------------
U.S. Treasury Obligations 11.7%
---------------------------------------------------------
Foreign Currency-Denominated Issues 5.2%
---------------------------------------------------------
Other 10.0%
---------------------------------------------------------
Quality Breakdown
---------------------------------------------------------
AAA 48.8%
---------------------------------------------------------
AA 11.9%
---------------------------------------------------------
A 19.7%
---------------------------------------------------------
BBB 16.2%
---------------------------------------------------------
BB 2.8%
---------------------------------------------------------
B 0.6%
---------------------------------------------------------
--------------------------------------------------------------------------------
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 one-year period ended March 31, 2000, the Fund's Class A shares
returned 9.34%, underperforming the Lipper Balanced Fund Average, which returned
10.48%. The Fund has outperformed the Lipper Average over the 3-year and since
inception periods ended March 31, 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 year the Federal Reserve lifted interest rates five times to
prevent the economy from overheating in the face of a tightening labor market,
which threatens to drive inflation higher. As a result, bond yields across the
yield curve rose substantially. An overweight equity allocation improved
performance relative to the benchmark as the S&P 500 index returned 17.94% as
compared to 1.87% for the Lehman Aggregate Index over the past 12-months.
The equity allocation underperformed the S&P 500 Index mainly due to the
rapid run-up in short-term interest rates, which caused the cash-backing
positions supporting the S&P 500 futures to lose value. The fixed-income
allocation also detracted from relative performance because it remained
underweight of longer maturities where yields rose less and was overweight in
corporate securities, which underperformed Treasuries due to higher yield
premiums demanded by investors.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year.
Looking ahead, we expect to maintain a modest overweight toward equities
given our view of moderating U.S. economic growth and expanding world growth. On
the equity side, duration will be targeted near the neutral point in order to
capture additional yield while limiting overall interest rate sensitivity. On
the fixed-income side, we anticipate keeping duration below the benchmark, but
expect to emphasize longer-term Treasuries and shorter-term instruments to take
advantage of the shape of the yield curve.
29
<PAGE>
March 31, 2000
PIMCO Total Return Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Primarily an intermediate-term portfolio of investment grade bonds.
DURATION RANGE:
3-6 years
FUND INCEPTION DATE:
5/11/87
TOTAL NET ASSETS:
$31.5 billion
PORTFOLIO MANAGER:
Bill Gross
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Return For periods ended 3/31/00
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 1.85% -2.73% 1.08% -3.72% 0.12% 0.99% 1.87%
5 years 7.50% 6.51% 6.71% 6.40% 6.72% 6.25% 7.14%
10 years 8.71% 8.21% 8.17% 8.17% 7.92% 7.44% 8.02%
Inception 8.55% 8.17% 8.12% 8.12% 7.76% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO Lehman Bros.
Total Return A Total Return B Total Return C Agg. Bond Index
<S> <C> <C> <C> <C>
05/31/1987 9,550 10,000 10,000 10,000
06/30/1987 9,668 10,117 10,117 10,138
07/31/1987 9,641 10,082 10,082 10,130
08/31/1987 9,615 10,048 10,048 10,076
09/30/1987 9,371 9,787 9,787 9,861
10/31/1987 9,666 10,089 10,089 10,212
11/30/1987 9,733 10,152 10,152 10,294
12/31/1987 9,818 10,233 10,233 10,434
01/31/1988 10,215 10,642 10,642 10,801
02/29/1988 10,329 10,753 10,753 10,929
03/31/1988 10,233 10,646 10,646 10,827
04/30/1988 10,176 10,581 10,581 10,768
05/31/1988 10,122 10,518 10,518 10,696
06/30/1988 10,360 10,759 10,759 10,954
07/31/1988 10,343 10,735 10,735 10,897
08/31/1988 10,388 10,775 10,775 10,925
09/30/1988 10,581 10,969 10,969 11,172
10/31/1988 10,744 11,132 11,132 11,383
11/30/1988 10,644 11,021 11,021 11,244
12/31/1988 10,688 11,059 11,059 11,257
01/31/1989 10,816 11,184 11,184 11,419
02/28/1989 10,744 11,102 11,102 11,336
03/31/1989 10,790 11,143 11,143 11,385
04/30/1989 11,027 11,382 11,382 11,624
05/31/1989 11,291 11,647 11,647 11,929
06/30/1989 11,667 12,028 12,028 12,292
07/31/1989 11,910 12,271 12,271 12,554
08/31/1989 11,700 12,047 12,047 12,368
09/30/1989 11,754 12,096 12,096 12,431
10/31/1989 12,031 12,374 12,374 12,737
11/30/1989 12,132 12,470 12,470 12,858
12/31/1989 12,152 12,483 12,483 12,893
01/31/1990 11,944 12,262 12,262 12,740
02/28/1990 11,971 12,283 12,283 12,781
03/31/1990 11,957 12,261 12,261 12,790
04/30/1990 11,784 12,074 12,074 12,673
05/31/1990 12,165 12,457 12,457 13,048
06/30/1990 12,366 12,655 12,655 13,258
07/31/1990 12,563 12,847 12,847 13,441
08/31/1990 12,361 12,632 12,632 13,261
09/30/1990 12,368 12,632 12,632 13,371
10/31/1990 12,535 12,793 12,793 13,541
11/30/1990 12,846 13,103 13,103 13,832
12/31/1990 13,067 13,320 13,320 14,048
01/31/1991 13,192 13,440 13,440 14,222
02/28/1991 13,372 13,615 13,615 14,343
03/31/1991 13,536 13,774 13,774 14,442
04/30/1991 13,753 13,986 13,986 14,598
05/31/1991 13,850 14,077 14,077 14,684
06/30/1991 13,867 14,086 14,086 14,676
07/31/1991 14,061 14,275 14,275 14,880
08/31/1991 14,436 14,647 14,647 15,202
09/30/1991 14,773 14,980 14,980 15,510
10/31/1991 14,919 15,119 15,119 15,682
11/30/1991 15,043 15,235 15,235 15,826
12/31/1991 15,550 15,740 15,740 16,296
01/31/1992 15,418 15,596 15,596 16,074
02/29/1992 15,547 15,720 15,720 16,179
03/31/1992 15,482 15,644 15,644 16,088
04/30/1992 15,558 15,711 15,711 16,204
05/31/1992 15,874 16,021 16,021 16,510
06/30/1992 16,069 16,210 16,210 16,737
07/31/1992 16,456 16,591 16,591 17,078
08/31/1992 16,591 16,717 16,717 17,251
09/30/1992 16,848 16,966 16,966 17,456
10/31/1992 16,695 16,802 16,802 17,224
11/30/1992 16,703 16,800 16,800 17,228
12/31/1992 16,990 17,079 17,079 17,502
01/31/1993 17,298 17,378 17,378 17,838
02/28/1993 17,677 17,749 17,749 18,150
03/31/1993 17,772 17,836 17,836 18,226
04/30/1993 17,922 17,976 17,976 18,353
05/31/1993 17,957 18,001 18,001 18,376
06/30/1993 18,342 18,375 18,375 18,709
07/31/1993 18,448 18,471 18,471 18,815
08/31/1993 18,861 18,873 18,873 19,145
09/30/1993 18,931 18,934 18,934 19,197
10/31/1993 19,060 19,051 19,051 19,269
11/30/1993 18,886 18,868 18,868 19,105
12/31/1993 19,038 19,008 19,008 19,209
01/31/1994 19,262 19,221 19,221 19,468
02/28/1994 18,912 18,861 18,861 19,130
03/31/1994 18,505 18,444 18,444 18,658
04/30/1994 18,316 18,245 18,245 18,509
05/31/1994 18,223 18,141 18,141 18,507
06/30/1994 18,148 18,067 18,056 18,466
07/31/1994 18,513 18,430 18,408 18,832
08/31/1994 18,559 18,476 18,443 18,856
09/30/1994 18,318 18,236 18,192 18,578
10/31/1994 18,289 18,207 18,152 18,562
11/30/1994 18,283 18,201 18,136 18,521
12/31/1994 18,270 18,189 18,111 18,648
01/31/1995 18,590 18,507 18,417 19,017
02/28/1995 19,019 18,934 18,831 19,470
03/31/1995 19,193 19,107 18,991 19,589
04/30/1995 19,523 19,435 19,306 19,863
05/31/1995 20,134 20,044 19,897 20,631
06/30/1995 20,114 20,024 19,865 20,783
07/31/1995 20,118 20,028 19,857 20,736
08/31/1995 20,419 20,328 20,143 20,986
09/30/1995 20,668 20,576 20,377 21,191
10/31/1995 20,974 20,881 20,666 21,466
11/30/1995 21,421 21,325 21,094 21,788
12/31/1995 21,781 21,684 21,436 22,094
01/31/1996 21,951 21,853 21,590 22,240
02/29/1996 21,409 21,313 21,044 21,854
03/31/1996 21,235 21,140 20,861 21,702
04/30/1996 21,140 21,045 20,754 21,580
05/31/1996 21,074 20,980 20,678 21,536
06/30/1996 21,403 21,307 20,988 21,825
07/31/1996 21,450 21,354 21,021 21,885
08/31/1996 21,424 21,328 20,981 21,848
09/30/1996 21,908 21,810 21,443 22,229
10/31/1996 22,469 22,369 21,979 22,721
11/30/1996 22,993 22,890 22,478 23,111
12/31/1996 22,699 22,597 22,177 22,896
01/31/1997 22,771 22,669 22,241 22,966
02/28/1997 22,814 22,712 22,270 23,023
03/31/1997 22,532 22,431 21,980 22,768
04/30/1997 22,930 22,828 22,354 23,109
05/31/1997 23,157 23,054 22,560 23,327
06/30/1997 23,421 23,317 22,803 23,604
07/31/1997 24,068 23,960 23,417 24,240
08/31/1997 23,851 23,745 23,190 24,034
09/30/1997 24,230 24,122 23,545 24,388
10/31/1997 24,512 24,402 23,801 24,742
11/30/1997 24,614 24,504 23,889 24,856
12/31/1997 24,893 24,781 24,142 25,106
01/31/1998 25,268 25,155 24,493 25,428
02/28/1998 25,190 25,077 24,402 25,408
03/31/1998 25,266 25,153 24,460 25,497
04/30/1998 25,354 25,241 24,534 25,630
05/31/1998 25,641 25,526 24,794 25,873
06/30/1998 25,882 25,766 25,012 26,092
07/31/1998 25,957 25,841 25,070 26,148
08/31/1998 26,359 26,241 25,443 26,573
09/30/1998 27,139 27,018 26,181 27,196
10/31/1998 26,949 26,829 25,979 27,052
11/30/1998 27,041 26,920 26,052 27,205
12/31/1998 27,195 27,073 26,182 27,287
01/31/1999 27,347 27,225 26,316 27,482
02/28/1999 26,833 26,713 25,808 27,002
03/31/1999 27,053 26,932 26,004 27,152
04/30/1999 27,178 27,056 26,106 27,238
05/31/1999 26,873 26,753 25,798 26,999
06/30/1999 26,820 26,700 25,730 26,913
07/31/1999 26,710 26,590 25,607 26,799
08/31/1999 26,723 26,603 25,602 26,785
09/30/1999 27,012 26,891 25,863 27,096
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
</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 31 for Footnotes,
which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
---------------------------------------------------------
less than 1 year 14%
---------------------------------------------------------
1-5 years 28%
---------------------------------------------------------
5-10 years 37%
---------------------------------------------------------
10-20 years 12%
---------------------------------------------------------
20-30 years 9%
---------------------------------------------------------
Duration: 4.5 years
---------------------------------------------------------
Sector Breakdown
---------------------------------------------------------
Mortgage-Backed Securities 38.8%
---------------------------------------------------------
Corporate Bonds & Notes 35.7%
---------------------------------------------------------
U.S. Treasury Obligations 9.5%
---------------------------------------------------------
Asset-Backed Securities 6.0%
---------------------------------------------------------
Other 10.0%
---------------------------------------------------------
Quality Breakdown:
---------------------------------------------------------
AAA 58.6%
---------------------------------------------------------
AA 7.2%
---------------------------------------------------------
A 18.1%
---------------------------------------------------------
BBB 12.2%
---------------------------------------------------------
BB 3.4%
---------------------------------------------------------
B 0.5%
---------------------------------------------------------
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the 1-year period ended March 31, 2000, the Fund's Class A shares returned
1.85%, slightly underperforming the Lehman Aggregate Bond Index, which returned
1.87%. The Fund did outperform its Lipper Average, which returned 0.99%. The
Fund also outperformed both the Lipper Average and the benchmark over the 5-,
10-year and since inception periods ended March 31, 2000.
Over the past year the Federal Reserve lifted interest rates five times to
prevent the economy from overheating in the face of mounting imbalances, such as
skyrocketing stock prices and a tightening labor market, which threaten to drive
inflation higher. As a result, bond yields rose substantially. However, in
January, long-term Treasuries rallied, responding to the Treasury's debt buyback
program. Other sectors didn't participate in the rally due to mounting credit
concerns.
Yield gathering strategies and a focus on high quality were key to
performance over the past year. Our overweight position mortgage-backed
securities enhanced performance as their attractive yield offset their price
decline. Selective emerging market investments, such as Mexico, which was
upgraded to investment grade, also aided performance. More recently our
migration to longer maturity Treasuries added modestly to performance.
Underweighting corporate issues also helped, as these bonds underperformed amid
supply concerns about credit quality. However, even though duration was kept
below the benchmark, the Fund's intermediate maturity focus hurt performance as
this segment was most effected by Fed tightening.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year. In our opinion, an
over-leveraged private sector combined with public budget surpluses will
continue to cause credit quality to deteriorate and the Treasury curve to remain
inverted.
In this environment, the manager anticipates keeping duration below the
benchmark, but expects to emphasize longer-term Treasuries and shorter-term
instruments to take advantage of the curve shape. The manager will continue to
favor mortgages, but trade up for GNMAs where possible because the full faith
and credit backing of these securities is valuable given the foreseen scarcity
of Treasuries. Due to credit quality concerns, corporate debt selections will be
limited to the highest quality and most liquid issues. The portfolio may
maintain a modest position in short maturity, top-tier emerging markets, which
should benefit from improving growth prospects.
30
<PAGE>
March 31, 2000
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
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 March 31,
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 Index is an index of municipal
bonds. The Lehman BB Intermediate Corporate Index is an index of
intermediate-term bonds with a BB rating. The Merrill Lynch 1-3 Year Treasury
Index is an index made up of U.S. Treasury issues with maturities from one to
three years. The Lehman Inflation-Linked Treasury Index is an index of
inflation linked Treasury bonds. The Lehman Aggregate Bond Index is an index of
a variety of bonds. The Long-Term Treasury Index is an index of long-term
government securities. The Lipper Money Market Index is an index of money market
funds. The Standard & Poor's 500 Index is an index of stocks of
large-capitalization companies.
Lipper averages are calculated by Lipper, Inc., a nationally recognized
mutual fund performance evaluation firm. They are total-return performance
averages of those funds that are tracked by Lipper, with the investment
objective noted. They do not take sales charges into account.
PIMCO Stocks Funds and PIMCO Bond Funds (excluding Long-Term U.S. Govt. and
Municipal Bond) can invest a portion of their assets in foreign securities,
which can entail special risks due to foreign economic and political
developments. These risks can be enhanced when investing in emerging markets.
PIMCO Bond Funds (excluding Long-Term U.S. Govt) can invest in lower-rated
bonds, which entail special risks such as less liquidity and possibility of
default.
An investment in the Money Market Fund is not insured or guaranteed by the
Federal Deposit Insurance Company or any other government agency. Although the
Fund seeks to preserve the value of your investment at $1.00 per share, it is
possible to lose money by investing in the Fund.
For additional information on the PIMCO equity funds, contact your
financial advisor to receive a prospectus that contains more complete
information, including charges and expenses. Or contact PIMCO Funds Distributors
LLC at 2187 Atlantic Street, Stamford, CT 06902, www.pimcofunds.com,
1-800-426-0107. Please read the prospectus carefully before you invest or send
money.
31
<PAGE>
Schedule of Investments
California Intermediate Municipal Bond
March 31, 2000
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
<S> <C> <C>
-------------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 124.0%
-------------------------------------------------------------------------------------
California 112.7%
Anaheim, California Public Financing Authority
Revenue Bond, (AMBAC Insured), Series 1999
4.625% due 10/01/2027 $ 150 $ 151
Antioch California Public Financing Authority
Reassessement Revenue, Series 1998
5.500% due 09/02/2008 500 489
California Educational Facilities Authority,
Series 1997 A 5.700% due 10/01/2015 135 138
California Health Facilities Finance Authority Revenue,
Series 1995 4.250% due 07/01/2011 500 500
California Housing Financial Agency
Revenue Bonds, (AMBAC FHA Insured),
Series 1996 5.950% due 02/01/2011 100 104
California Pollution Control Financing Authority,
Series 1999 A 4.500% due 08/01/2003 150 149
California State Department Veteran Affairs
Home Revenue, Series 2000 4.900% due 12/01/2005 500 501
5.000% due 12/01/2006 500 502
California State Department Water Center
Revenue Bonds, Series 1993 8.375% due 12/01/2003 150 170
California State Economic Development Authority
Industrial, Series 1997 3.300% due 08/01/2027 875 875
3.450% due 08/01/2027 380 380
California State General Obligation Bond,
(MBIA Insured), Series 1992 7.500% due 10/01/2007 400 471
California State General Obligation Bond, Series 1998
5.000% due 02/01/2023 120 109
California State General Obligation Bond,
Series 2000 5.250% due 03/01/2013 300 302
5.500% due 03/01/2015 500 507
California State School Improvement Note,
Series 2000 5.250% due 03/01/2005 100 103
5.000% due 03/01/2011 100 100
California State Veterans General Obligation Bond,
Series 1985 - AV 8.000% due 10/01/2005 40 47
California State Veterans General Obligation Bond,
Series 1997 BL 5.300% due 12/01/2012 400 401
Chico California Public Financing Authority Revenue,
(FSA Insured), Series 1996 5.200% due 04/01/2011 485 494
Long Beach, California Harbor Revenue Bonds,
Series 1993 4.700% due 05/15/2004 150 151
Los Angeles, California Airports Improvement Revenue Bonds,
(LOC - Wachovia Bank of Georgia Insured), Series 1984
3.500% due 12/01/2024 (b) 100 100
Los Angeles, California State Building Authority Lease
Revenue Bonds, Series 1999 A 4.600% due 10/01/2007 150 149
Los Angeles, California Unified School District General
Obligation Bonds, (MBIA Insured), Series 1999 C
4.750% due 07/01/2010 30 30
Metropolitan Water District Southern California General
Obligation Bonds, Series 1993 A1 7.250% due 03/01/2007 150 173
Pacific Housing & Finance Agency Revenue Bonds,
(MBIA Insured), Series 1999
4.625% due 12/01/2004 250 248
Redding California Electric System Revenue Partnership,
Series 1993 5.684% due 06/28/2019 500 494
Regional Airports Import Corporation Los Angeles California,
Series 1989 3.600% due 12/01/2025 300 300
Sacramento California Municipal Utilitiy District Revenue,
Series 1983 9.000% due 04/01/2013 960 1,207
San Francisco California City & County Airport Community
Revenue, Series 1998 5.500% due 05/01/2015 300 300
San Francisco California City,
Series 1999 4.750% due 05/01/2004 500 501
San Francisco, CA City & County Airport Revenue Bonds,
(MBIA Insured), Series 1996 8.000% due 05/01/2005 500 573
San Jose, California Unified School District, (MBIA Insured),
Series 1998 4.000% due 08/01/2008 100 93
San Pablo California Redevelopment Agency Revenue,
Series 1979 8.000% due 10/01/2011 145 167
Santa Margarita/Dana Point Authority California Revenue,
(MBIA Insured), Series 1994 7.250% due 08/01/2006 150 171
South Tahoe California Powers Financing Authority,
Series 1999 7.300% due 10/01/2007 150 152
Southern California Public Power Authority Revenue Bonds,
(FSA-CR Insured), Series 1993 5.000% due 07/01/2015 110 105
Stockton California Certificate Participation,
Series 1999 4.750% due 08/01/2006 120 119
----------
11,526
==========
Puerto Rico 11.3%
Puerto Rico Commonwealth Highway & Transportation
Authority, Series 1993 5.200% due 07/01/2003 500 505
Puerto Rico Commonwealth Infrastructure Financing
Authority Revenue Bonds, (AMBAC Insured)
Series 1998 5.250% due 07/01/2010 150 153
Puerto Rico Public Finance Corp. Revenue Bond,
(AMBAC Insured), Series 1998 A 5.000% due 06/01/2007 500 504
----------
1,162
----------
Total Municipal Bonds & Notes 12,688
==========
(Cost $12,616)
---------------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.0%
---------------------------------------------------------------------------------------
Commercial Paper 1.0%
R & T California Money Market
2.660% due 04/03/2000 101 101
----------
Total Short-Term Instruments 101
==========
(Cost $101)
Total Investments (a) 125.0% $ 12,789
(Cost $12,717)
Other Assets and Liabilities (Net) (25.0%) (2,561)
----------
Net Assets 100.0% $ 10,228
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $12,717 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $ 86
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value (14)
----------
Unrealized appreciation-net $ 72
==========
</TABLE>
(b) Variable rate security. The rate listed is as of March 31, 2000.
32 See accompanying notes
<PAGE>
Schedule of Investments
Convertible Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES (c)(d) 77.5%
-------------------------------------------------------------------------------
Banking & Finance 5.4%
ACOM Co. Ltd.
0.000% due 03/31/2002 JY 50,000 $ 576
Bell Atlantic Financial Services
5.750% due 04/01/2003 $ 740 740
Deutsche Bank Financial
0.000% due 02/12/2017 850 401
Exchangeable Certs Corp.
0.625% due 03/02/2005 3,300 3,145
0.250% due 07/17/2006 1,000 1,200
Hellenic Finance
2.000% due 07/15/2003 EC 500 480
Merrill Lynch & Co.
1.000% due 07/20/2006 $ 1,775 1,742
Morgan Stanley, Dean Witter, Discover and Co.
0.000% due 03/02/2006 740 625
Swiss Life Financial Ltd.
2.000% due 05/20/2003 1,100 1,065
----------
9,974
==========
Consumer Discretionary 1.1%
Costco Wholesale Corp.
0.000% due 08/19/2017 1,700 2,031
----------
Energy 3.3%
Devon Energy Corp.
4.900% due 08/15/2008 1,900 1,912
Diamond Offshore Drilling
3.750% due 02/15/2007 3,560 4,090
----------
6,002
==========
Health Care 3.2%
Athena Neurosciences, Inc.
4.750% due 11/15/2004 750 1,037
Wellpoint Health Network
0.000% due 07/02/2019 7,200 4,869
----------
5,906
==========
Industrial 7.8%
American Tower Corp.
5.000% due 02/15/2010 1,500 1,692
Centocor, Inc.
4.750% due 02/15/2005 2,100 2,336
Checkfree Holdings Corp.
6.500% due 12/01/2006 1,600 1,824
Roche Holdings, Inc.
0.000% due 01/19/2015 5,950 5,035
Young & Rubicam, Inc.
3.000% due 01/15/2005 3,810 3,543
----------
14,430
==========
Technology 50.2%
Aether Systems, Inc.
6.000% due 03/22/2005 3,300 3,168
Alkmeres, Inc.
3.750% due 02/15/2007 3,000 2,535
ASM Lithography Holding
4.250% due 11/30/2004 2,000 2,380
2.500% due 04/09/2005 DG 1,500 1,302
Commscope, Inc.
4.000% due 12/15/2006 $ 3,820 4,584
Comverse Technology, Inc.
4.500% due 07/01/2005 100 430
Conexant Systems, Inc.
4.250% due 05/01/2006 1,000 3,193
DSC Communications Corp.
7.000% due 08/01/2004 3,000 3,180
EMC Corp.
6.000% due 05/15/2004 3,350 5,150
Exodus Communications
4.750% due 07/15/2008 2,000 4,123
Hewlett-Packard Co.
0.000% due 10/14/2017 6,400 4,944
I2 Technologies, Inc.
5.250% due 12/15/2006 2,500 4,494
Intel Corp.
4.000% due 09/01/2004 800 3,473
Internet Initiative Japanese
1.750% due 03/31/2005 JY 120,000 1,168
Interpublic Group Co., Inc
1.870% due 06/01/2006 $ 1,850 1,875
Juniper Networks, Inc.
4.750% due 03/15/2007 2,600 2,594
Kulicke & Soffa Industries, Inc.
4.750% due 12/15/2006 2,400 3,801
Lattice Semiconductor Co.
4.750% due 11/01/2006 1,600 2,936
Level 3 Communications, Inc.
6.000% due 03/15/2010 2,700 2,663
Liberty Media Group
4.000% due 11/15/2029 3,200 5,004
LSI Logic Corp.
4.250% due 03/15/2004 500 2,339
Nextel Communications
5.240% due 01/15/2010 4,000 4,785
Sanmina Corp.
4.250% due 05/01/2004 700 1,147
SCI Systems, Inc.
3.000% due 03/15/2007 2,100 2,315
Stmicroelectron
0.000% due 09/22/2009 3,300 5,610
U.S. Cellular Corp.
0.000% due 06/15/2015 3,600 2,461
Ventro Corp.
6.000% due 04/01/2007 2,000 2,026
Veritas Software Corp.
1.856% due 08/13/2006 1,000 3,837
Xerox Corp.
0.570% due 04/21/2018 9,050 4,887
----------
92,404
==========
Utilities 6.5%
AES Corp.
4.500% due 08/15/2005 750 1,159
Alliant Energy Resources Cvt. Pfd.
7.250% due 01/02/2000 60 4,897
Clear Channel Communications
2.625% due 04/01/2003 3,800 4,683
Kerr-McGee Corp.
5.250% due 02/15/2010 1,000 1,161
----------
11,900
----------
Total Convertible Bonds & Notes 142,647
(Cost $119,988) ==========
-------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK 17.3%
-------------------------------------------------------------------------------
Shares
Energy 3.2%
Apache Corp. Cvt. Pfd.
6.500% due 05/15/2002 17,000 $ 765
Coastal Corp. Cvt. Pfd.
6.625% due 08/16/2002 80,000 2,265
Kerr-McGee Corp. Cvt. Pfd.
5.500% due 08/01/2004 63,900 2,875
----------
5,905
==========
See accompanying notes 33
<PAGE>
Schedule of Investments (Cont.)
Convertible Fund
March 31, 2000
Value
Shares (000s)
--------------------------------------------------------------------------------
Industrial 9.5%
Decs Trust VI Cvt. Pfd.
6.250% due 11/15/2002 40,000 $ 3,400
Georgia Pacific Group Cvt. Pfd.
7.500% due 08/16/2002 55,000 2,358
Qwest Trends Trust Cvt. Pfd.
5.750% due 11/17/2003 33,000 2,591
Sealed Air Corp. Cvt. Pfd.
4.000% due 04/01/2018 2,000 104
Times Mirror Co. Cvt. Pfd.
4.250% due 03/15/2001 4,000 424
Tribune Co. Cvt. Pfd.
2.000% due 05/15/2029 43,000 6,085
UnitedGlobalCom, Inc. Cvt. Pfd.
7.000% due 12/31/2049 37,500 2,513
--------------
17,475
==============
Utilities 4.6%
Cox Communications, Inc. Cvt. Pfd.
7.000% due 08/16/2002 57,300 3,639
Enron Corp. Cvt. Pfd.
7.000% due 07/31/2002 58,000 1,280
MediaOne Group, Inc. Cvt. Pfd.
6.250% due 08/15/2001 9,500 1,128
Reliant Energy, Inc. Cvt. Pfd.
7.000% due 07/01/2000 15,000 2,385
--------------
8,432
--------------
Total Convertible Preferred Stock 31,812
(Cost $26,513) ==============
--------------------------------------------------------------------------------
COMMON STOCKS 0.9%
--------------------------------------------------------------------------------
Communications 0.9%
Leap Wireless International, Inc. (b) 344 34
Qualcomm, Inc. (b) 11,011 1,644
--------------
Total Common Stocks 1,678
(Cost $1,608) ==============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 6.1%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 5.7%
Eastman Kodak Co.
6.030% due 06/06/2000 $ 300 297
Federal National Mortgage Association
6.000% due 06/22/2000 10,200 10,057
Motorola, Inc.
6.090% due 06/30/2000 200 197
--------------
10,551
==============
Repurchase Agreement 0.4%
State Street Bank
5.600% due 04/03/2000 696 696
(Dated 03/31/2000. Collateralized by
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $714
Repurchase proceeds are $696.)
--------------
Total Short-Term Instruments 11,247
(Cost $11,254) ==============
Total Investments (a) 101.8% $ 187,384
(Cost $159,363)
Other Assets and Liabilities (Net) (1.8%) (3,353)
--------------
Net Assets 100.0% $ 184,031
==============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $159,553 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 30,163
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (2,332)
--------------
Unrealized appreciation-net $ 27,831
==============
(b) Non-income producing security.
(c) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell EC 1,292 04/2000 $ 10
Buy JY 66,616 05/2000 (16)
--------------
$ (6)
==============
(d) Principal amount denoted in indicated currency:
EC - Euro
JY - Japanese Yen
34 See accompanying notes
<PAGE>
Schedule of Investments
Emerging Markets Bond Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
----------------------------------------------------------------------------
ARGENTINA 5.5%
----------------------------------------------------------------------------
Republic of Argentina
6.813% due 03/31/2005 (d) $ 1,040 $ 975
6.875% due 03/31/2023 (d) 650 548
-----------
Total Argentina 1,523
(Cost $1,533) ===========
----------------------------------------------------------------------------
BRAZIL 23.9%
----------------------------------------------------------------------------
Government of Brazil
6.938% due 04/15/2006 (d) $ 3,149 2,858
8.000% due 04/15/2014 4,634 3,470
6.938% due 04/15/2024 400 320
-----------
Total Brazil 6,648
(Cost $5,990) ===========
----------------------------------------------------------------------------
BULGARIA 4.5%
----------------------------------------------------------------------------
Republic of Bulgaria
7.063% due 07/28/2011 (d) $ 250 198
7.063% due 07/28/2024 (d) 1,310 1,052
-----------
Total Bulgaria 1,250
(Cost $1,167) ===========
----------------------------------------------------------------------------
COLOMBIA 2.1%
----------------------------------------------------------------------------
Republic of Colombia
8.700% due 02/15/2016 $ 130 97
11.750% due 02/25/2020 500 488
-----------
Total Colombia 585
(Cost $588) ===========
----------------------------------------------------------------------------
CROATIA 1.4%
----------------------------------------------------------------------------
Republic of Croatia
7.063% due 07/31/2006 (d) $ 423 401
-----------
Total Croatia 401
(Cost $403) ===========
----------------------------------------------------------------------------
JORDAN 4.1%
----------------------------------------------------------------------------
Kingdom of Jordan
5.500% due 12/23/2023 $ 1,650 1,128
-----------
Total Jordan 1,128
(Cost $1,114) ===========
----------------------------------------------------------------------------
MEXICO 17.3%
----------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 $ 300 286
Grupo Televisa SA
13.250% due 05/15/2008 (d) 1,025 1,012
Petroleos Mexicanos
9.500% due 09/15/2027 1,100 1,136
United Mexican States
0.000% due 06/30/2003 617 0
10.375% due 02/17/2009 200 216
6.250% due 12/31/2019 1,800 1,536
11.500% due 05/15/2026 500 618
------------
Total Mexico 4,804
(Cost $4,620) ===========
----------------------------------------------------------------------------
MOROCCO 1.5%
----------------------------------------------------------------------------
Republic of Morocco
6.938% due 01/01/2009 $ 465 412
-----------
Total Morocco 412
(Cost $412) ===========
----------------------------------------------------------------------------
NIGERIA 0.0%
----------------------------------------------------------------------------
Central Bank of Nigeria Warrants
0.000% due 11/15/2020 $ 0 0
-----------
Total Nigeria 0
(Cost $0) ===========
----------------------------------------------------------------------------
PANAMA 3.4%
----------------------------------------------------------------------------
Republic of Panama
4.250% due 07/17/2014 $ 500 404
8.875% due 09/30/2027 335 295
9.375% due 04/01/2029 250 239
-----------
Total Panama 938
(Cost $927) ===========
----------------------------------------------------------------------------
PERU 6.4%
----------------------------------------------------------------------------
Republic of Peru
3.750% due 03/07/2017 $ 200 124
4.500% due 03/07/2017 (d) 2,510 1,672
-----------
Total Peru 1,796
(Cost $1,872) ===========
----------------------------------------------------------------------------
PHILIPPINES 1.2%
----------------------------------------------------------------------------
Republic of Philippines
6.875% due 12/01/2007 $ 71 65
9.875% due 01/15/2019 285 258
-----------
Total Philippines 323
(Cost $342) ===========
----------------------------------------------------------------------------
POLAND 3.0%
----------------------------------------------------------------------------
Republic of Poland
3.500% due 10/27/2024 (d) $ 1,375 853
-----------
Total Poland 853
(Cost $852) ===========
----------------------------------------------------------------------------
RUSSIA 6.3%
----------------------------------------------------------------------------
Russian Federation
9.250% due 11/27/2001 $ 100 92
8.750% due 07/24/2005 700 525
6.058% due 12/15/2015 (d) 505 147
12.750% due 06/24/2028 50 43
Russian Reconstruction Loan
6.906% due 12/15/2020 (d) 3,300 952
-----------
Total Russia 1,759
(Cost $1,151) ===========
----------------------------------------------------------------------------
SOUTH KOREA 3.8%
----------------------------------------------------------------------------
Korea Development Bank
9.450% due 03/15/2001 $ 125 127
7.125% due 04/22/2004 250 240
Korean Export-Import Bank
7.100% due 03/15/2007 50 49
Republic of Korea
8.750% due 04/15/2003 200 204
8.875% due 04/15/2008 425 441
-----------
Total South Korea 1,061
(Cost $1,060) ===========
----------------------------------------------------------------------------
TUNISIA 1.1%
----------------------------------------------------------------------------
Banque Centrale De Tunisie
8.250% due 09/19/2027 $ 350 316
-----------
Total Tunisia 316
(Cost $297) ===========
----------------------------------------------------------------------------
TURKEY 0.7%
----------------------------------------------------------------------------
Export Credit Bank of Turkey
8.385% due 08/18/2000 $ 100 100
11.500% due 02/25/2005 100 100
-----------
Total Turkey 200
(Cost $199) ===========
See accompanying notes 35
<PAGE>
Schedule of Investments (Cont.)
Emerging Markets Bond Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
VENEZUELA 6.7%
--------------------------------------------------------------------------------
Republic of Venezuela
7.000% due 12/18/2007 (d) $ 1,143 $ 919
6.750% due 03/31/2020 1,100 790
0.000% due 04/15/2020 6 0
9.250% due 09/15/2027 250 165
-----------
Total Venezuela 1,874
(Cost $1,890) ===========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 5.1%
--------------------------------------------------------------------------------
Commercial Paper 4.6%
E.I. Du Pont de Nemours
6.030% due 06/08/2000 400 394
General Motors Acceptance Corp.
6.040% due 05/03/2000 500 497
Monsanto Co.
6.060% due 06/01/2000 300 297
USAA Capital Corp.
6.030% due 05/15/2000 100 99
-----------
1,287
===========
Repurchase Agreement 0.5%
State Street Bank
5.600% due 04/03/2000 123 123
(Dated 03/31/2000. Collateralized by
Federal National Mortgage Association
0.000% due 08/01/2000 valued at $127
Repurchase proceeds are $123.) -----------
Total Short-Term Instruments 1,410
(Cost $1,412) ===========
Total Investments (a) 98.3% $ 27,281
(Cost $25,829)
Other Assets and Liabilities (Net) 1.7% 566
-----------
Net Assets 100.0% $ 27,847
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $25,997 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $ 1,703
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value (419)
-----------
Unrealized appreciation-net $ 1,284
===========
(b) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Buy EC 419 04/2000 $ (3)
Sell 93 04/2000 10
Buy 263 08/2000 (18)
Buy HF 30,000 04/2000 (3)
Buy 25,000 08/2000 (3)
Buy 125,000 09/2000 (20)
Buy 35,000 11/2000 (5)
Buy PN 250 12/2000 3
Buy 200 01/2001 2
Buy PZ 2,750 02/2001 21
Sell 1,000 04/2000 2
-----------
$ (14)
===========
(c) Principal amount denoted in indicated currency:
EC - Euro
HF - Hugarian Forint
PN - Peruvian New Sol
PZ - Polish Zloty
(d) Variable rate security. The rate listed is as of March 31, 2000.
36 See accompanying notes
<PAGE>
Schedule of Investments
Foreign Bond Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ARGENTINA (f)(g) 0.4%
--------------------------------------------------------------------------------
Republic of Argentina
5.000% due 12/20/2002 JY 219,000 $ 2,154
------------
Total Argentina 2,154
(Cost $1,716) ============
--------------------------------------------------------------------------------
ARUBA (f)(g) 0.4%
--------------------------------------------------------------------------------
YTP Finance (Aruba)
3.500% due 07/18/2012 JY 200,000 2,001
------------
Total Aruba 2,001
(Cost $1,900) ============
--------------------------------------------------------------------------------
AUSTRALIA (f)(g) 3.0%
--------------------------------------------------------------------------------
Bankers Trust Australia
6.409% due 06/02/2008 (d) $ 4,800 4,658
General Electric Capital Australia Funding
6.750% due 09/15/2007 A$ 750 451
General Motors Acceptance Corp.
3.967% due 03/25/2002 EC 10,300 9,855
Registered Australian Mortgage Securities
4.017% due 09/26/2032 (d) 1,400 1,339
------------
Total Australia 16,303
(Cost $16,641) ============
--------------------------------------------------------------------------------
BELGIUM (f)(g) 0.8%
--------------------------------------------------------------------------------
Kingdom of Belgium
9.000% due 03/28/2003 EC 5 5
6.750% due 11/21/2004 (d) BF 183,200 4,638
------------
Total Belgium 4,643
(Cost $6,064) ============
--------------------------------------------------------------------------------
BRAZIL 0.2%
--------------------------------------------------------------------------------
Government of Brazil
7.000% due 01/01/2001 (d) $ 295 294
6.938% due 04/15/2006 (d) 940 853
------------
Total Brazil 1,147
(Cost $1,135) ============
--------------------------------------------------------------------------------
BULGARIA 0.8%
--------------------------------------------------------------------------------
Republic of Bulgaria
7.063% due 07/28/2011 (d) $ 2,670 2,116
7.063% due 07/28/2024 (d) 2,600 2,090
------------
Total Bulgaria 4,206
(Cost $3,931) ============
--------------------------------------------------------------------------------
CANADA (f)(g) 5.7%
--------------------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 3,440 2,364
Commonwealth of Canada
5.250% due 09/01/2003 (j) 640 430
6.625% due 10/03/2007 N$ 20,830 9,665
6.000% due 06/01/2008 (j) C$ 17,130 11,814
Hydro-Quebec
3.527% due 04/25/2000 DM 5,000 2,444
Providence of Manitoba
11.000% due 08/15/2000 C$ 5,000 3,512
Sears Canada
11.700% due 07/10/2000 1,000 699
------------
Total Canada 30,928
(Cost $33,075) ============
--------------------------------------------------------------------------------
CAYMAN ISLANDS (f)(g) 4.5%
--------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C
5.300% due 09/21/2000 JY 200,000 1,948
Capital Credit Card Corp.
5.625% due 10/15/2004 DM 2,800 1,384
Daiwa International Finance Cayman
5.000% due 12/28/2004 JY 300,000 3,021
MBNA American Euro
3.589% due 05/19/2004 (d) EC 8,100 7,734
Residential Reinsurance
9.761% due 06/01/2000 (d) $ 7,100 7,049
Sakura Capital Funding
7.020% due 09/29/2049 (d) 3,600 3,470
------------
Total Cayman Islands 24,606
(Cost $25,353) ============
--------------------------------------------------------------------------------
COLOMBIA (f)(g) 0.3%
--------------------------------------------------------------------------------
Republic of Colombia
3.000% due 12/22/2000 JY 150,000 1,412
------------
Total Colombia 1,412
(Cost $1,154) ============
--------------------------------------------------------------------------------
DENMARK (f)(g) 1.3%
--------------------------------------------------------------------------------
Danske Kredit Mortgage
5.000% due 10/01/2029 DK 33,112 3,764
Realkredit Danmark Mortgage
5.000% due 10/01/2029 27 3
Unikredit Realkredit
5.000% due 10/01/2029 27,918 3,167
------------
Total Denmark 6,934
(Cost $8,159) ============
--------------------------------------------------------------------------------
FRANCE (f)(g) 1.9%
--------------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 835 792
Republic of France
3.000% due 07/25/2009 (b) 3,078 2,775
4.000% due 10/25/2009 (j) 8,200 7,059
------------
Total France 10,626
(Cost $11,826) ============
--------------------------------------------------------------------------------
GERMANY (f)(g) 6.2%
--------------------------------------------------------------------------------
Barclays Capital Corp.
3.246% due 12/20/2000 DM 2,000 977
Hypothekenbank in Essen AG
4.750% due 08/11/2008 (j) EC 2,360 2,128
Republic of Germany
0.000% due 01/04/2010 (j) 15,668 15,151
6.500% due 07/04/2027 (j) 14,170 15,030
Treuhandanstalt
7.500% due 09/09/2004 (j) 340 358
------------
Total Germany 33,644
(Cost $39,123) ============
--------------------------------------------------------------------------------
GREECE (f)(g) 4.1%
--------------------------------------------------------------------------------
CSFP Credit
6.601% due 11/19/2004 (d) $ 19,000 19,171
Hellenic Finance
2.000% due 07/15/2003 EC 1,600 1,535
Hellenic Republic
10.200% due 05/19/2003 (d) GD 100,000 296
10.180% due 06/17/2003 (d) 107,400 318
10.240% due 10/23/2003 (d) 376,000 1,122
------------
Total Greece 22,442
(Cost $22,938) ============
--------------------------------------------------------------------------------
ITALY (f)(g) 4.0%
--------------------------------------------------------------------------------
Island Finance
4.326% due 03/30/2015 (d) EC 2,300 2,200
Republic of Italy
4.250% due 11/01/2009 (j) 4,110 3,591
6.500% due 11/01/2027 (j) 10,916 11,378
5.250% due 11/01/2029 (j) 5,530 4,871
------------
Total Italy 22,040
(Cost $24,643) ============
See accompanying notes 37
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
March 31, 2000
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
<S> <C> <C>
-----------------------------------------------------------------------------------
JAPAN (f)(g) 1.0%
-----------------------------------------------------------------------------------
International Credit Receivable Japan 1 Tranche A
0.478% due 11/22/2004 (d) JY 125,137 $ 1,219
International Credit Receivable Japan 1 Tranche B
0.578% due 11/22/2004 (d) 200,000 1,948
SHL Corp. Ltd.
0.871% due 12/25/2024 (d) 76,000 740
0.540% due 12/25/2024 (d) 137,982 1,377
------------
Total Japan 5,284
(Cost $4,956) ============
-----------------------------------------------------------------------------------
MEXICO (f)(g) 2.6%
-----------------------------------------------------------------------------------
Petroleos Mexicanos
8.850% due 09/15/2007 $ 1,040 1,011
9.375% due 12/02/2008 1,290 1,325
United Mexican States
6.930% due 04/07/2000 (d) 6,000 6,000
8.750% due 05/30/2002 BP 270 434
10.375% due 01/29/2003 DM 2,575 1,383
4.000% due 03/11/2004 JY 130,000 1,300
7.500% due 03/08/2010 EC 2,300 2,232
6.250% due 12/31/2019 500 428
------------
Total Mexico 14,113
(Cost $14,072) ============
-----------------------------------------------------------------------------------
NETHERLANDS (f)(g) 2.2%
-----------------------------------------------------------------------------------
Bank of Japan
2.140% due 11/16/2009 JY 200,000 1,950
KPNQWest BV
7.125% due 06/01/2009 EC 3,700 3,479
Mannesmann Finance BV
4.750% due 05/27/2009 3,700 3,163
Tecnost International NV
5.616% due 06/23/2004 (d) 1,430 1,404
Telekomunikacja Polska SA
7.750% due 12/10/2008 $ 2,120 2,058
------------
Total Netherlands 12,054
(Cost $12,614) ============
-----------------------------------------------------------------------------------
NEW ZEALAND (f)(g) 2.3%
-----------------------------------------------------------------------------------
Commonwealth of New Zealand
7.000% due 07/15/2009 (j) N$ 9,189 4,575
4.500% due 02/15/2016 (b)(j) 16,500 8,036
------------
Total New Zealand 12,611
(Cost $14,033) ============
-----------------------------------------------------------------------------------
PANAMA 0.2%
-----------------------------------------------------------------------------------
Republic of Panama
8.875% due 09/30/2027 $ 1,100 969
------------
Total Panama 969
(Cost $974) ============
-----------------------------------------------------------------------------------
PHILIPPINES (f)(g) 0.7%
-----------------------------------------------------------------------------------
Republic of Philippines
8.000% due 09/17/2004 EC 2,420 2,340
6.875% due 12/01/2009 (d) $ 1,368 1,293
------------
Total Philippines 3,633
(Cost $3,932) ============
-----------------------------------------------------------------------------------
POLAND 0.0%
-----------------------------------------------------------------------------------
Republic of Poland
3.500% due 10/27/2024 (d) $ 105 65
------------
Total Poland 65
(Cost $64) ============
-----------------------------------------------------------------------------------
PORTUGAL (f)(g) 1.8%
-----------------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 (j) EC 11,770 10,024
------------
Total Portugal 10,024
(Cost $10,981) ============
-----------------------------------------------------------------------------------
SOUTH KOREA (f)(g) 1.9%
-----------------------------------------------------------------------------------
Korea Development Bank
3.610% due 05/14/2001 (d) DM 7,310 3,525
2.770% due 05/21/2001 JY 400,000 3,974
1.875% due 02/13/2002 13,000 127
Korean Export-Import Bank
7.250% due 06/25/2001 $ 1,945 1,939
6.500% due 02/10/2002 800 776
------------
Total South Korea 10,341
(Cost $10,094) ============
-----------------------------------------------------------------------------------
SPAIN (f)(g) 6.2%
-----------------------------------------------------------------------------------
Kingdom of Spain
5.150% due 07/30/2009 (j) EC 29,010 27,282
6.000% due 01/31/2029 (j) 6,483 6,394
------------
Total Spain 33,676
(Cost $37,480) ============
-----------------------------------------------------------------------------------
SUPRANATIONAL (f)(g) 7.4%
-----------------------------------------------------------------------------------
Eurofima
4.750% due 07/07/2004 (j) SK 60,900 6,697
European Investment Bank
7.000% due 12/08/2003 BP 6,300 10,083
6.000% due 11/26/2004 (j) 1,500 2,327
5.375% due 08/28/2007 NK 2,400 264
Inter-American Development Bank
7.125% due 11/26/2004 BP 1,750 2,833
International Bank for Reconstruction & Development
6.875% due 07/14/2000 2,500 3,987
7.000% due 09/18/2000 N$ 6,400 3,185
7.250% due 04/09/2001 6,400 3,178
7.000% due 06/07/2002 BP 1,100 1,758
7.250% due 05/27/2003 N$ 10,670 5,202
World Bank
10.250% due 04/11/2002 PP 31,000 712
------------
Total Supranational 40,226
(Cost $43,035) ============
-----------------------------------------------------------------------------------
SWEDEN (f)(g) 0.9%
-----------------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 11,200 1,418
5.000% due 01/15/2004 (j) 14,100 1,619
0.000% due 04/01/2004 (b) 18,911 1,995
------------
Total Sweden 5,032
(Cost $5,235) ============
-----------------------------------------------------------------------------------
TUNISIA (f)(g) 0.3%
-----------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 1,500 1,459
------------
Total Tunisia 1,459
(Cost $1,525) ============
-----------------------------------------------------------------------------------
UNITED KINGDOM (f)(g) 5.8%
-----------------------------------------------------------------------------------
Abbey National Treasury Service
7.625% due 12/30/2002 BP 1,770 2,851
5.250% due 01/21/2004 2,670 4,008
Bank of Scotland Capital Fund
8.117% due 03/31/2049 850 1,352
Halifax Group Euro Finance
7.627% due 12/29/2049 (d) EC 800 776
Halifax Group Sterling Finance
7.881% due 12/29/2049 (d) BP 4,050 6,643
</TABLE>
38 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
-----------------------------------------------------------------------------------------
<S> <C> <C>
HAUS Limited
3.850% due 12/10/2037 (d) EC 8,500 $ 8,130
Polestar Corp. plc
10.500% due 05/30/2008 BP 170 264
SCCR Series 1 Ltd.
3.500% due 05/15/2000 (d) IL 15,380,000 7,595
--------------
Total United Kingdom 31,619
==============
(Cost $33,712)
-----------------------------------------------------------------------------------------
UNITED STATES (f)(g) 73.6%
-----------------------------------------------------------------------------------------
Asset-Backed Securities 6.0%
AES Corp.
8.688% due 05/19/2001 $ 1,500 1,498
AFC Home Equity Loan Trust
6.099% due 03/25/2027 (d) 975 976
Americredit Automobile Receivable Trust
5.880% due 12/05/2003 250 248
AM-FM, Inc.
7.500% due 11/19/2001 750 747
7.688% due 11/19/2001 750 747
Amresco Residential Securities Mortgage Loan Trust
6.595% due 06/25/2029 (d) 5,880 5,902
Banc One Auto Grantor Trust
6.270% due 11/20/2003 432 430
6.290% due 07/20/2004 665 660
Bayview Financial Acquisition
6.429% due 02/25/2029 (d) 400 400
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 280 280
Contimortgage Home Equity Loan Trust
6.174% due 10/15/2012 (d) 1,047 1,046
6.010% due 12/25/2013 8,510 8,455
Daimler-Benz Vehicle Trust
5.230% due 12/20/2001 703 703
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 71 70
EQCC Home Equity Loan Trust
5.770% due 03/20/2029 2,767 2,747
6.321% due 03/20/2029 609 609
First Security Auto Owner Trust
5.311% due 04/15/2002 524 524
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 21 21
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 2,468 2,437
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 1,630 1,598
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 1,043 1,033
Voicestream
8.837% due 02/15/2009 2,000 1,978
--------------
33,109
==============
Corporate Bonds & Notes 19.4%
Abbey National Capital Trust I
8.963% due 12/29/2049 (d) 2,000 2,043
AES Corp.
10.250% due 07/15/2006 394 384
Associates Corp. of North America
6.210% due 08/27/2001 (d) 5,000 4,998
AT&T Capital Corp.
6.310% due 04/23/2002 (d) 675 677
Bancomext Trust Division
8.000% due 08/05/2003 390 385
Beckman Instruments, Inc.
7.100% due 03/04/2003 344 329
Buckeye Technologies, Inc.
8.000% due 10/15/2010 394 361
Building Materials Corp.
7.750% due 07/15/2005 247 219
8.000% due 10/15/2007 267 232
Calpine Corp.
7.875% due 04/01/2008 485 457
Capital One Bank
6.750% due 07/28/2003 (d) 12,000 11,995
Century Communications Corp.
0.000% due 03/15/2003 537 395
CMS Energy
8.125% due 05/15/2002 385 380
CSC Holdings, Inc.
9.875% due 04/01/2023 385 393
DaimlerChrysler Holdings
6.380% due 08/23/2002 (d) 3,900 3,913
DQE Capital Corp.
6.539% due 01/15/2002 (d) 800 800
Echostar DBS Corp.
9.250% due 02/01/2006 488 472
Finova Capital Corp.
6.390% due 06/18/2003 (d) 5,700 5,698
Flag Ltd.
8.250% due 01/30/2008 385 343
Ford Motor Credit Co.
1.200% due 02/07/2005 JY 619,000 5,957
Garden State Newspapers
8.750% due 10/01/2009 $ 360 322
General Motors Acceptance Corp.
6.251% due 04/05/2004 (d) 2,800 2,792
6.251% due 04/05/2004 (d) 16,420 16,420
6.875% due 09/09/2004 BP 4,080 6,471
1.250% due 12/20/2004 JY 208,000 2,009
Gold Eagle
11.453% due 04/16/2001 $ 2,500 2,497
Goldman Sachs Group
6.640% due 02/19/2004 (d) 1,430 1,451
Hollinger International Publishing
8.625% due 03/15/2005 294 279
Household Finance Corp.
5.125% due 06/24/2009 EC 4,900 4,329
J.P. Morgan & Co.
6.430% due 02/15/2012 $ 6,780 6,065
Jones Intercable, Inc.
8.875% due 04/01/2007 427 445
KBC Bank Fund Trust IV
8.220% due 11/29/2049 EC 800 809
Lehman Brothers Holdings, Inc.
6.700% due 11/30/2006 (d) $ 905 835
McLeodUSA, Inc.
8.125% due 02/15/2009 585 518
MGM Grand, Inc.
6.950% due 02/01/2005 180 165
Navistar International Corp.
8.000% due 02/01/2008 329 307
Polymer Group, Inc.
9.000% due 07/01/2007 329 288
Protective Life Funding Trust
6.390% due 01/17/2003 (d) 1,200 1,200
Rogers Cantel, Inc.
8.300% due 10/01/2007 385 391
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (b)(d) 12,891 12,664
6.320% due 02/11/2003 (d) 400 400
Silgan Holdings, Inc.
9.000% due 06/01/2009 335 315
Sprint Capital Corp.
5.875% due 05/01/2004 690 654
Texas Utilities Co.
7.105% due 09/24/2001 2,600 2,614
TV Guide, Inc.
8.125% due 03/01/2009 335 332
Unisys Corp.
12.000% due 04/15/2003 485 514
World Color Press, Inc.
8.375% due 11/15/2008 206 206
--------------
105,723
==============
Mortgage-Backed Securities 18.0%
Bank of America Mortgage Securities
6.500% due 05/25/2029 307 287
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 2,858 2,819
</TABLE>
See accompanying notes 39
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
------------------------------------------------------------------------------
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 $ 2,571 $ 2,529
6.500% due 03/25/2029 140 127
Crusade Global Trust
6.400% due 02/15/2030 (d) 14,400 14,436
Federal Home Loan Mortgage Corp.
6.000% due 03/15/2008 890 874
6.811% due 06/01/2022 (d) 1,499 1,554
7.080% due 08/01/2022 (d) 859 888
6.500% due 09/15/2022 77 75
Federal Home Loan Mortgage Corp.
9.050% due 06/15/2019 61 62
Federal National Mortgage Assn
6.914% due 07/01/2021 (d) 877 910
7.415% due 11/01/2022 (d) 1,016 1,050
7.574% due 01/01/2023 (d) 1,389 1,420
7.045% due 08/01/2023 (d) 1,142 1,187
General Electric Capital Corp.
5.125% due 01/12/2004 BP 6,230 9,328
General Electric Capital Mortgage Services, Inc.
6.250% due 07/25/2029 $ 500 477
Government National Mortgage Assn
7.125% due 11/20/2021 (d) 588 598
6.375% due 05/20/2022 (d) 53 54
6.750% due 07/20/2022 (d) 605 609
6.750% due 09/20/2022 (d) 396 400
6.375% due 05/20/2023 (d) 589 591
6.750% due 07/20/2023 (d) 674 679
6.750% due 07/20/2023 (d) 329 331
6.750% due 08/20/2023 (d) 309 312
6.750% due 09/20/2023 (d) 1,805 1,815
6.750% due 09/20/2023 (d) 772 776
7.125% due 10/20/2023 (d) 3,330 3,380
7.125% due 10/20/2024 (d) 265 269
6.375% due 04/20/2025 (d) 192 192
6.750% due 07/20/2025 (d) 4,499 4,514
6.750% due 09/20/2025 (d) 856 859
7.125% due 12/20/2025 (d) 333 337
6.750% due 09/20/2026 (d) 702 708
6.375% due 04/20/2027 (d) 1,733 1,731
7.000% due 04/19/2030-05/24/2030 (d)(e) 11,700 7,493
7.500% due 04/19/2030 5,900 5,847
Independent National Mortgage Corp.
8.432% due 11/25/2024 (d) 26 26
Medallion Trust
6.471% due 03/17/2031 (d) 5,900 5,900
Morgan Stanley Mortgage Trust
8.150% due 07/20/2021 1 1
Prudential Home Mortgage Securities
6.800% due 05/25/2024 448 406
Residential Funding Mortgage Securities, Inc.
6.500% due 06/25/2029 1,235 1,049
6.560% due 05/12/2032 (d) 15,400 15,389
Sasco Floating Rate Commercial Mortgage
6.280% due 11/20/2001 (d) 2,995 3,002
Structured Asset Mortgage Investments, Inc.
6.585% due 06/25/2029 (d) 3,220 3,193
----------
98,484
==========
Municipal Bonds & Notes 0.2%
Massachusetts State Turnpike Authority Metro
Highway System, (MBIA Insured), Series 1997
5.000% due 01/01/2037 1,000 861
----------
U.S. Government Agencies (f)(g) 13.1%
Federal Home Loan Bank
0.000% due 05/12/2000 (d) 24,600 24,600
5.663% due 02/15/2002 (d) 14,000 13,758
Federal National Mortgage Assn
6.875% due 06/07/2002 (j) BP 10,230 16,326
7.250% due 06/20/2002 (j) N$ 14,850 7,335
6.500% due 07/10/2002 (j) A$ 14,100 8,482
5.500% due 12/07/2003 (j) BP 700 1,071
----------
71,572
==========
U.S. Treasury Obligations 15.7%
Treasury Inflation Protected Securities (b)(j)
3.625% due 07/15/2002 82,092 81,860
U.S. Treasury Bonds
8.125% due08/15/2021 (j) 1,040
1,279
U.S. Treasury Notes
5.125% due 08/31/2000 2,475 2,464
----------
85,603
==========
Preferred Security 1.2%
Shares
DG Funding Trust
6.183% due 12/29/2049 (d) 6,400 6,425
----------
Total United States 401,777
==========
(Cost $405,343)
------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.0%
------------------------------------------------------------------------------
Principal
Amount
(000s)
U.S. Dollar vs. Eurodollar (OTC)
Strike @ 1.050 Exp. 07/28/2000 $ 44,950 179
----------
Total Purchased Call Options 179
(Cost $523) ==========
------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 2.3%
------------------------------------------------------------------------------
Eurodollar March Futures (CME)
Strike @ 90.75 due 03/19/2001 500 8
Interest Rate Swap (OTC)
Strike @ 7.500% due 04/29/2002 11,200 493
U.S. Treasury Note (OTC)
Strike @ 100.656 due 04/05/2000
5.250% due 05/31/2001 119,800 2,352
U.S. Treasury Note (OTC)
Strike @ 105.531 due 04/05/2000
5.625% due 05/15/2008 102,100 9,515
----------
Total Purchased Put Options 12,368
==========
(Cost $15,021)
------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.4%
------------------------------------------------------------------------------
Certificates of Deposit 1.2%
Commerzbank AG
6.200% due 05/10/2000 6,550 6,550
----------
Repurchase Agreement 0.2%
State Street Bank
5.600% due 04/03/2000 1,286 1,286
----------
(Dated 03/31/2000. Collateralized by
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $1,315.
Repurchase proceeds are $1,287.)
U.S. Treasury Bills 0.0%
5.600% due 04/27/2000 125 125
----------
Total Short-Term Instruments 7,961
==========
(Cost $7,961)
Total Investments (a) 144.2% $ 786,477
(Cost $819,213)
Written Options (c) (0.2%) (806)
(Premiums $473)
Other Assets and Liabilities (Net) (44.0%) (240,146)
----------
Net Assets 100.0% $ 545,525
==========
40 See accompanying notes
<PAGE>
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $819,500 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 4,058
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (37,081)
----------
Unrealized depreciation-net $ (33,023)
==========
(b) Principal amount of the security is adjusted for inflation.
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Put - OTC Eurodollar vs. Japanese Yen
Strike @ 102.00 Exp. 05/01/2000 4,200,000 $ 84 $ 198
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 7.500% Exp. 04/29/2002 16,000,000 362 598
Put- OTC Australian Dollar vs. US Dollar
Strike @ 0.575 Exp. 06/01/2000 7,850,000 27 10
---------------------
$ 473 $ 806
=====================
(d) Variable rate security. The rate listed is as of March 31, 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 March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Buy A$ 9,997 04/2000 $ 16
Sell 17,035 04/2000 69
Buy 5,241 05/2000 (17)
Buy BP 5,471 04/2000 106
Sell 37,733 04/2000 (626)
Buy C$ 16,370 04/2000 152
Sell 16,310 04/2000 (57)
Sell 10,170 06/2000 (42)
Sell DK 63,700 04/2000 81
Buy EC 8,695 04/2000 (96)
Sell 92,196 04/2000 1,227
Sell GD 719 04/2000 31
Buy H$ 121,638 09/2000 1
Sell 121,638 09/2000 (117)
Buy 48,140 10/2000 3
Sell 48,140 10/2000 (41)
Buy HF 202,000 08/2000 (35)
Buy 1,248,000 01/2001 (310)
Buy JY 2,341,693 04/2000 767
Sell 1,433,693 04/2000 (527)
Sell 4,238,992 05/2000 (1,186)
Buy N$ 6,277 04/2000 13
Sell 83,847 04/2000 (443)
Buy 39,772 05/2000 (187)
Sell 32,890 05/2000 (325)
Sell NK 4,160 05/2000 4
Buy PZ 1,200 04/2000 9
Sell 1,200 04/2000 (2)
Buy 14,414 01/2001 (21)
Buy 8,090 02/2001 60
Buy 7,500 03/2001 28
Sell SK 75,060 04/2000 (48)
-----------
$ (1,513)
===========
(g) Principal amount denoted in indicated currency:
A$ - Australian Dollar
BF - Belgian Franc
BP - British Pound
C$ - Canadian Dollar
DK - Danish Krone
DM - German Mark
EC - Euro
GD - Greek Drachma
H$ - Hong Kong Dollar
IL - Italian Lira
HF - Hungarian Forint
JY - Japanese Yen
N$ - New Zealand Dollar
NK - Norwegian Krone
PP - Philippine Peso
PZ - Polish Zloty
SK - Swedish Krona
(h) Securities with an aggregate market value of $2,589
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 2000:
Unrealized
of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
10 Year EURO-Bond (06/2000) 216 584
Government of Japan 10 Year Note (06/2000) 128 1,292
Eurodollar March Futures (03/2001) 147 (33)
U.S. Treasury 10 Year Note (06/2000) 28 (77)
-----------
$ 1,766
===========
(i) Swap agreements outstanding at March 31, 2000:
Notional Unrealized
Type Amount Appreciation
--------------------------------------------------------------------------------
Receive fixed rate equal to 6.949% and
pay floating rate based on 6 month LIBOR.
Broker: Merrill Lynch BP 4,500 $ 6
Exp. 08/06/2003
(j) Subject to financing transaction.
(k) Reverse repurchase agreements were entered into March 27, 2000 paying
interest at 6.05%. The following securities were segregated with collateral for
reverse repurchase agreements.
Type Maturity Value
--------------------------------------------------------------------------------
Government National Mortgage Assn. 6.750% 09/20/2023 $ 4,514
See accompanying notes 41
<PAGE>
Schedule of Investments
<TABLE>
<CAPTION>
Global Bond Fund II
March 31, 2000 Principal
Amount Value
(000s) (000s)
-----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ARGENTINA (e)(f) 0.1%
-----------------------------------------------------------------------------------------------
Republic of Argentina
5.000% due 12/20/2002 JY 10,000 $ 98
----------------------
Total Argentina 98
(Cost $95) ======================
-----------------------------------------------------------------------------------------------
AUSTRALIA (e)(f) 2.4%
-----------------------------------------------------------------------------------------------
Asian Development Bank
5.250% due 09/15/2004 (j) A$ 600 343
Bankers Trust Australia
6.409% due 06/02/2008 (d) $ 700 680
General Motors Acceptance Corp.
3.967% due 03/25/2002 EC 1,200 1,148
Registered Australian Mortgage Securities
4.017% due 09/26/2032 (d) 200 191
----------------------
Total Australia 2,362
(Cost $2,421) ======================
-----------------------------------------------------------------------------------------------
BELGIUM (f) 0.2%
-----------------------------------------------------------------------------------------------
Kingdom of Belgium
6.750% due 11/21/2004 (d)(j) BF 5,800 147
----------------------
Total Belgium 147
(Cost $191) ======================
-----------------------------------------------------------------------------------------------
BRAZIL 0.8%
-----------------------------------------------------------------------------------------------
Government of Brazil
7.000% due 01/01/2001 (d) $ 49 49
6.938% due 04/15/2006 (d) 752 682
----------------------
Total Brazil 731
(Cost $722) ======================
-----------------------------------------------------------------------------------------------
BULGARIA 0.7%
-----------------------------------------------------------------------------------------------
Republic of Bulgaria
2.750% due 07/28/2012 (d) $ 303 218
7.063% due 07/28/2024 (d) 580 466
----------------------
Total Bulgaria 684
(Cost $658) ======================
-----------------------------------------------------------------------------------------------
CANADA (e)(f) 2.4%
-----------------------------------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 330 227
Commonwealth of Canada
6.625% due 10/03/2007 N$ 1,810 840
0.000% due 06/01/2008 (j) C$ 1,398 964
Export Development Corp.
6.500% due 12/21/2004 N$ 693 327
----------------------
Total Canada 2,358
(Cost $2,480) ======================
-----------------------------------------------------------------------------------------------
CAYMAN ISLANDS (e)(f) 1.2%
-----------------------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C.
5.300% due 09/21/2000 JY 10,000 97
MBNA American
3.589% due 05/19/2004 (d) EC 280 267
Residential Reinsurance
9.761% due 06/01/2000 (d) $ 300 298
Sakura Capital Funding
7.020% due 09/29/2049 (d) 500 482
----------------------
Total Cayman Islands 1,144
(Cost $1,157) ======================
-----------------------------------------------------------------------------------------------
DENMARK (e)(f) 0.8%
-----------------------------------------------------------------------------------------------
Danske Kredit Mortgage
5.000% due 10/01/2029 DK 2,436 $ 277
Realkredit Danmark Mortgage
5.000% due 10/01/2029 3 0
Unikredit Realkredit
5.000% due 10/01/2029 4,344 493
----------------------
Total Denmark 770
(Cost $877) ======================
-----------------------------------------------------------------------------------------------
FRANCE (e)(f) 0.6%
-----------------------------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 62 58
Compagnie Financiere de CIC-UE
6.886% due 10/29/2049 (d) $ 300 289
Republic of France
3.000% due 07/25/2009 (g) EC 306 276
----------------------
Total France 623
(Cost $678) ======================
-----------------------------------------------------------------------------------------------
GERMANY (e)(f) 1.5%
-----------------------------------------------------------------------------------------------
Commerzbank AG
3.865% due 09/21/2001 EC 440 420
Hypothekenbank in Essen AG
4.750% due 08/11/2008 (j) 190 171
Republic of Germany
5.375% due 01/04/2010 (j) 547 529
Treuhandanstalt
7.500% due 09/09/2004 (j) 330 347
----------------------
Total Germany 1,467
(Cost $1,627) ======================
-----------------------------------------------------------------------------------------------
GREECE (e)(f) 2.3%
-----------------------------------------------------------------------------------------------
CSFP Credit
6.601% due 11/19/2004 (d)(k) $ 1,750 1,766
Hellenic Republic
6.684% due 06/06/2001 (d) 400 407
10.180% due 06/17/2003 (d) GD 7,400 22
10.240% due 10/23/2003 (d) 33,600 100
----------------------
Total Greece 2,295
(Cost $2,310) ======================
-----------------------------------------------------------------------------------------------
ITALY (e)(f) 2.5%
-----------------------------------------------------------------------------------------------
Island Finance
4.326% due 03/30/2015 (d) EC 400 383
Republic of Italy
6.500% due 11/01/2027 (j) 460 479
5.250% due 11/01/2029 (j) 1,790 1,577
----------------------
Total Italy 2,439
(Cost $2,556) ======================
-----------------------------------------------------------------------------------------------
JAPAN (e)(f) 1.0%
-----------------------------------------------------------------------------------------------
Government of Japan
3.400% due 06/20/2005 (j) JY 28,000 300
4.000% due 06/20/2005 (j) 11,000 121
International Credit Receivable Japan 1 Tranche A
0.478% due 11/22/2004 16,322 159
International Credit Receivable Japan 1 Tranche B
0.578% due 11/22/2004 20,000 195
SHL Corp. Ltd.
0.571% due 12/25/2024 (d) 19,901 194
0.871% due 12/25/2024 (d) 5,000 49
----------------------
Total Japan 1,018
(Cost $939) ======================
</TABLE>
42 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
<S> <C> <C> <C>
-----------------------------------------------------------------------------------------------
JORDAN 0.2%
-----------------------------------------------------------------------------------------------
Kingdom of Jordan
5.500% due 12/23/2023 $ 250 $ 171
----------------------
Total Jordan 171
(Cost $171) ======================
-----------------------------------------------------------------------------------------------
MEXICO (e)(f) 1.3%
-----------------------------------------------------------------------------------------------
Petroleos Mexicanos
8.850% due 09/15/2007 $ 140 136
9.375% due 12/02/2008 190 195
United Mexican States
8.750% due 05/30/2002 BP 250 402
5.000% due 09/30/2002 JY 25,000 252
10.375% due 01/29/2003 DM 200 107
4.000% due 03/11/2004 JY 20,000 200
----------------------
Total Mexico 1,292
(Cost $1,279) ======================
-----------------------------------------------------------------------------------------------
NETHERLANDS (e)(f) 1.1%
-----------------------------------------------------------------------------------------------
Deutsche Bank Financial
6.235% due 12/17/2003 (d) $ 200 200
KPNQWest BV
7.125% due 06/01/2009 EC 350 329
Tecnost International NV
5.616% due 06/23/2004 (d) 520 510
----------------------
Total Netherlands 1,039
(Cost $1,118) ======================
-----------------------------------------------------------------------------------------------
NEW ZEALAND (e)(f) 0.9%
-----------------------------------------------------------------------------------------------
Commonwealth of New Zealand
7.000% due 07/15/2009 (j) N$ 500 249
4.500% due 02/15/2016 (j) 584
----------------------
(Cost $933) 833
======================
-----------------------------------------------------------------------------------------------
PANAMA 0.2%
-----------------------------------------------------------------------------------------------
Republic of Panama
4.250% due 07/17/2014 $ 250 202
----------------------
Total Panama 202
(Cost $191) ======================
-----------------------------------------------------------------------------------------------
PERU 0.3%
-----------------------------------------------------------------------------------------------
Republic of Peru
4.500% due 03/07/2017 (d) $ 250 168
3.750% due 03/07/2017 250 153
----------------------
Total Peru 321
(Cost $336) ======================
-----------------------------------------------------------------------------------------------
PHILIPPINES (e)(f) 0.8%
-----------------------------------------------------------------------------------------------
Republic of Philippines
8.000% due 09/17/2004 EC 570 551
6.875% due 12/01/2009 (d) $ 104 98
6.500% due 12/01/2017 120 110
----------------------
Total Philippines 759
(Cost $804) ======================
-----------------------------------------------------------------------------------------------
POLAND 0.1%
-----------------------------------------------------------------------------------------------
Republic of Poland
3.500% due 10/27/2024 (d) $ 160 99
----------------------
Total Poland 99
(Cost $99) ======================
-----------------------------------------------------------------------------------------------
PORTUGAL (e)(f) 0.6%
-----------------------------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 (j) EC 650 554
----------------------
Total Portugal 554
(Cost $604) ======================
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
<S> <C> <C> <C>
-----------------------------------------------------------------------------------------------
SOUTH KOREA (e)(f) 0.9%
-----------------------------------------------------------------------------------------------
Korea Development Bank
3.610% due 05/14/2001 (d) DM 440 $ 212
1.875% due 02/13/2002 JY 42,000 410
Korean Export-Import Bank
7.250% due 06/25/2001 $ 260 259
----------------------
Total South Korea 881
(Cost $866) ======================
-----------------------------------------------------------------------------------------------
SPAIN (e)(f) 2.1%
-----------------------------------------------------------------------------------------------
Kingdom of Spain
5.150% due 07/30/2009 (j) EC 1,800 1,693
6.000% due 01/31/2029 (j) 307 303
----------------------
Total Spain 1,996
(Cost $2,200) ======================
-----------------------------------------------------------------------------------------------
SUPRANATIONAL (e)(f) 6.2%
-----------------------------------------------------------------------------------------------
Asian Development Bank
5.375% due 09/15/2003 (j) A$ 600 349
Eurofima
4.750% due 07/07/2004 (j) SK 7,200 792
European Investment Bank
7.000% due 12/08/2003 BP 800 1,280
6.000% due 11/26/2004 (j) 170 264
5.375% due 08/28/2007 NK 500 55
Inter-American Development Bank
7.125% due 11/26/2004 BP 80 129
International Bank for Reconstruction & Development
6.875% due 07/14/2000 200 319
7.000% due 09/18/2000 N$ 500 249
7.250% due 04/09/2001 1,376 683
7.250% due 01/16/2002 2,480 1,224
7.000% due 06/07/2002 BP 100 160
7.250% due 05/27/2003 N$ 890 434
World Bank
10.250% due 04/11/2002 PP 2,000 46
----------------------
Total Supranational 5,984
(Cost $6,298) ======================
-----------------------------------------------------------------------------------------------
SWEDEN (e)(f) 0.2%
-----------------------------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 900 114
5.000% due 01/15/2004 (j) 700 80
----------------------
Total Sweden 194
(Cost $211) ======================
-----------------------------------------------------------------------------------------------
TUNISIA (e)(f) 0.1%
-----------------------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 100 97
----------------------
Total Tunisia 97
(Cost $102) ======================
-----------------------------------------------------------------------------------------------
UNITED KINGDOM (e)(f) 7.3%
-----------------------------------------------------------------------------------------------
Abbey National Treasury Service
7.625% due 12/30/2002 BP 280 451
Bank of Scotland Capital Fund
8.117% due 03/31/2049 (d) 1,060 1,687
Equitable
8.000% due 08/29/2049 700 1,123
Halifax Group Sterling Finance
7.881% due 12/29/2049 (d) 550 902
HAUS Limited
3.850% due 12/10/2037 (d) EC 1,500 1,435
Lloyds TSB Bank plc
5.625% due 07/15/2049 590 529
Royal Bank of Scotland plc
6.770% due 03/31/2049 1,000 956
----------------------
Total United Kingdom 7,083
(Cost $7,175) ======================
</TABLE>
See accompanying notes 43
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund II
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
UNITED STATES (e)(f) 75.0%
--------------------------------------------------------------------------------
Corporate Bonds & Notes 24.0%
AES Corp.
10.250% due 07/15/2006 $ 20 $ 20
Associates Corp. of North America
6.210% due 08/27/2001 (d) 400 400
Bancomext Trust Division
8.000% due 08/05/2003 70 69
Beckman Instruments, Inc.
7.100% due 03/04/2003 22 21
Buckeye Technologies, Inc.
8.000% due 10/15/2010 20 18
Building Materials Corp.
7.750% due 07/15/2005 12 11
8.000% due 10/15/2007 12 10
Calpine Corp.
7.875% due 04/01/2008 26 24
Capital One Bank
6.750% due 07/28/2003 (d) 500 500
Century Communications Corp.
0.000% due 03/15/2003 26 19
CMS Energy
8.125% due 05/15/2002 26 26
CSC Holdings, Inc.
9.875% due 04/01/2023 26 27
DaimlerChrysler Holdings
6.380% due 08/23/2002 (d) 870 873
Echostar Communications Corp.
9.250% due 02/01/2006 26 25
Enron Corp.
6.577% due 09/10/2001 (d) 1,000 1,001
Finova Capital Corp.
6.720% due 11/08/2002 (d) 1,250 1,255
6.480% due 04/08/2003 (d) 700 700
Flag Ltd.
8.250% due 01/30/2008 26 23
Ford Motor Credit Co.
1.200% due 02/07/2005 JY 98,000 943
Garden State Newspapers
8.750% due 10/01/2009 $ 16 14
General Motors Acceptance Corp.
6.299% due 11/12/2002 (d) 1,000 1,001
6.251% due 04/05/2004 (d) 2,160 2,154
6.875% due 09/09/2004 BP 1,680 2,665
Gold Eagle
11.453% due 04/16/2001 500 499
Goldman Sachs Group
6.470% due 01/08/2001 (d) 300 301
Hewlett-Packard Finance
5.625% due 11/20/2000 DM 100 49
Hollinger International Publishing
8.625% due 03/15/2005 $ 49 46
Household Finance Corp.
6.473% due 08/06/2002 (d) 230 230
J.P. Morgan & Co.
6.430% due 02/15/2012 100 89
Jones Intercable, Inc.
8.875% due 04/01/2007 26 27
Kroger Co.
7.063% due 10/01/2010 (d) 200 200
Lehman Brothers Holdings, Inc.
6.840% due 07/15/2002 (d) 400 402
McLeodUSA, Inc.
8.125% due 02/15/2009 26 23
Merrill Lynch & Co.
6.129% due 11/01/2001 (d) 510 510
MGM Grand, Inc.
6.950% due 02/01/2005 10 9
Morgan Stanley, Dean Witter, Discover and Co.
6.165% due 01/28/2002 (d) 800 800
6.290% due 04/22/2004 (d) 900 899
Navistar International Corp.
8.000% due 02/01/2008 16 15
Polymer Group, Inc.
9.000% due 07/01/2007 16 14
Prudential Funding Corp.
6.126% due 12/21/2000 (d) 500 500
Rogers Cantel, Inc.
8.300% due 10/01/2007 26 26
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (g) 1,968 1,933
6.393% due 10/21/2002 (d) PB 200 318
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 $ 200 199
Silgan Holdings, Inc.
9.000% due 06/01/2009 16 15
Sprint Capital Corp.
5.875% due 05/01/2004 50 47
TCI Communications, Inc.
6.825% due 04/01/2002 (d) 300 304
Tennessee Valley Authority
3.375% due 01/15/2007 (g) 181 168
Texas Utilities Co.
6.791% due 06/25/2001 200 200
7.105% due 09/24/2001 200 201
TV Guide, Inc.
8.125% due 03/01/2009 16 16
U.S. Bancorp
6.279% due 02/03/2003 (d) 1,700 1,700
Unisys Corp.
12.000% due 04/15/2003 26 28
Williams Communications Group, Inc.
6.540% due 11/15/2001 1,700 1,700
World Color Press, Inc.
8.375% due 11/15/2008 10 10
---------
23,277
=========
Mortgage-Backed Securities 26.1%
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 629 621
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 371 365
6.500% due 03/25/2029 10 9
Crusade Global Trust
6.400% due 02/15/2030 (d) 1,540 1,544
Federal National Mortgage Assn.
7.000% due 02/25/2020 130 129
Government National Mortgage Assn.
7.125% due 11/20/2021 (d) 44 45
6.750% due 07/20/2022 (d) 701 706
6.750% due 09/20/2023 (d) 432 434
6.750% due 07/20/2025 (d) 388 389
6.750% due 09/20/2025 (d) 44 45
7.125% due 12/20/2025 (d) 24 24
6.750% due 09/20/2026 (d) 28 28
7.125% due 11/20/2026 (d) 761 769
7.125% due 11/20/2026 (d) 347 351
7.125% due 12/20/2026 (d) 69 70
6.618% due 02/16/2030 (d) 1,557 1,560
6.668% due 02/16/2030 (d) 1,575 1,579
6.000% due 05/22/2030 3,600 3,292
7.000% due 04/19/2030-05/24/2030 (d)(h) 4,100 4,039
7.500% due 04/19/2030 2,900 2,874
Medallion Trust
6.471% due 03/17/2031 (d) 1,000 1,000
Puma Finance Limited
6.418% due 04/15/2031 400 399
Residential Funding Mortgage Securities, Inc.
6.560% due 05/12/2032 (d) 2,700 2,698
Sasco Floating Rate Commercial Mortgage
6.280% due 11/20/2001 (d) 599 600
Structured Asset Mortgage Investments, Inc.
6.585% due 06/25/2029 (d) 224 223
Structured Asset Securities Corp.
6.550% due 02/25/2030 (d) 1,554 1,543
---------
25,336
=========
44 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------------------
<S> <C> <C>
Asset-Backed Securities 5.3%
AFC Home Equity Loan Trust
6.189% due 12/22/2027 (d) $ 446 $ 446
Amresco Residential Securities Mortgage Loan Trust
6.595% due 06/25/2029 (d) 560 562
Banc One Auto Grantor Trust
6.270% due 11/20/2003 21 21
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 22 22
Contimortgage Home Equity Loan Trust
6.010% due 12/25/2013 691 686
Daimler-Benz Vehicle Trust
5.230% due 12/20/2001 56 56
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 13 13
EQCC Home Equity Loan Trust
5.770% due 03/20/2029 387 385
First Security Auto Owner Trust
5.311% due 04/15/2002 629 629
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 2 2
MBNA Master Credit Card Trust
6.050% due 11/15/2002 360 360
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 87 86
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 110 108
Residential Asset Securities Corp.
6.621% due 12/25/2013 (d) 464 463
Salomon Brothers Mortgage Securities
6.305% due 11/15/2029 (d) 190 190
United Panama Mortgage Loan Asset Backed
6.329% due 10/25/2029 (d) 923 922
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 247 245
-------------------
5,196
===================
New York Municipal Bonds & Notes 0.3%
Long Island Power Authority New York Electric System,
(FSA Insured), Series 1998, 5.125% due 12/01/2022 300 272
-------------------
U.S. Government Agencies 4.6%
Federal Home Loan Bank
0.000% due 05/12/2000 (d) 1,600 1,600
Federal National Mortgage Assn.
7.250% due 06/20/2002 (j) N$ 640 317
6.500% due 07/10/2002 (j) A$ 200 120
Student Loan Marketing Assn.
6.565% due 04/25/2007 (d) $ 1,560 1,553
6.019% due 10/25/2007 (d) 900 895
-------------------
4,485
===================
U.S. Treasury Obligations 14.0%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (g)(j) $ 12,450 12,415
U.S. Treasury Bonds
8.125% due 08/15/2021 600 738
U.S. Treasury Notes
5.125% due 08/31/2000 (b) 405 403
-------------------
13,556
===================
Preferred Security 0.7%
Shares
DG Funding Trust
618.125% due 12/29/2049 70 703
-------------------
Total United States 72,825
(Cost $72,869) ===================
--------------------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.0%
--------------------------------------------------------------------------------------------
U.S. Dollar vs. Eurodollar (OTC)
Strike @ 1.050 Exp. 07/28/2000 $ 2,300 $ 9
2,300 9
2,350 9
-------------------
Total Purchased Call Options 27
(Cost $81) ===================
--------------------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.1%
--------------------------------------------------------------------------------------------
Interest Rate Swap (OTC)
Strike @ 7.500% Exp. 04/29/2002 700 31
U.S. Treasury Note (OTC) 5.625% due 05/05/2008
Strike @ 105.531 Exp. 04/05/2000 1,100 103
-------------------
Total Purchased Put Options 134
(Cost $158) ===================
--------------------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 5.4%
--------------------------------------------------------------------------------------------
Certificates of Deposit 0.7%
Commerzbank AG
6.200% due 05/10/2000 680 680
-------------------
Commercial Paper 3.6%
KFW International Finance
5.910% due 06/05/2000 3,500 3,464
-------------------
Repurchase Agreement 1.0%
State Street Bank
5.600% due 04/03/2000 933 933
(Dated 03/31/2000. Collateralized by
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $955.
Repurchase proceeds are $933.)
U.S. Treasury Bills (b) 0.1%
5.680% due 04/27/2000 50 50
-------------------
Total Short-Term Instruments 5,127
(Cost $5,127) ===================
Total Investments (a) 119.3% $ 115,754
(Cost $117,333)
Written Options (c) (0.1%) (70)
(Premiums $40)
Other Assets and Liabilities (Net) (19.2%) (18,635)
-------------------
Net Assets 100.0% $ 97,049
===================
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $117,398 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 445
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (2,089)
-------------------
Unrealized depreciation-net $ (1,644)
===================
</TABLE>
See accompanying notes 45
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund II
March 31, 2000
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------
(b) Securities with an aggregate market value of $453
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
---------------------------------------------------------------------------------------------------
<S> <C> <C>
EuroBond 10 Year Note (00/2000) 95 $ 240
Government of Japan 10 Year Note (06/2000) 15 60
Eurodollar March Futures (03/2001) 24 (5)
U.S. Treasury 10 Year Note (06/2000) 66 176
U.S. Treasury 30 Year Note (06/2000) 13 43
Euribor Futures (09/2000) 5 0
--------------------
$ 514
====================
</TABLE>
(c) Premiums received on written options:
<TABLE>
<CAPTION>
# of
Type Contracts Premium Value
---------------------------------------------------------------------------------------------------
<S> <C> <C>
Put - OTC Eurodollar vs. Japanese Yen
Strike @ 102.00 Exp. 05/01/2000 650,000 $ 13 $ 31
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 7.500% Exp. 04/29/2002 1,000,000 23 37
Put - OTC Australia Dollar vs. U.S. Dollar
Strike @ 0.575 Exp. 06/01/2000 1,250,000 4 2
-------------------------------
$ 40 $ 70
===============================
</TABLE>
(d) Variable rate security. The rate listed is as of March 31, 2000.
(e) Foreign forward currency contracts outstanding at March 31, 2000:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy A$ 1,250 04/2000 $ 1
Sell 1,860 04/2000 7
Buy 860 05/2000 (2)
Sell 350 05/2000 (1)
Sell BP 6,088 04/2000 (95)
Buy C$ 2,880 04/2000 27
Sell 2,910 04/2000 (10)
Sell 329 06/2000 (1)
Sell DK 6,524 04/2000 7
Buy EC 2,347 04/2000 (9)
Sell 11,339 04/2000 278
Sell GD 50,518 04/2000 2
Buy H$ 8,953 09/2000 0
Sell 8,953 09/2000 (9)
Buy 3,810 10/2000 0
Sell 3,810 10/2000 (3)
Buy HF 197,000 01/2000 (49)
Buy 32,000 08/2000 (5)
Buy JY 299,058 04/2000 102
Sell 189,523 04/2000 (78)
Sell 412,068 05/2000 (122)
Sell N$ 7,471 04/2000 (37)
Sell 1,536 05/2000 1
Buy PZ 130 04/2000 1
Sell 130 04/2000 0
Buy 1,067 01/2001 (2)
Buy 2,780 02/2001 12
Buy 610 03/2001 1
Sell SK 8,704 04/2000 (2)
---------------------
$ 14
=====================
</TABLE>
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar
BP - British Pound
BF - Belgian Franc
C$ - Canadian Dollar
DK - Danish Krone
DM - German Mark
EC - Euro
GD - Greek Drachma
H$ - Hong Kong Dollar
HF - Hungarian Forint
JY - Japanese Yen
NK - Norwegian Krone
N$ - New Zealand Dollar
PP - Philippine Peso
PZ - Polish Zloty
SK - Swedish Krona
(g) Prinicpal amount of the security is adjusted for inflation.
(h) Securities are grouped by coupon or range of coupons and represent
a range of maturities.
(i) Swap agreements outstanding at March 31, 2000:
<TABLE>
<CAPTION>
Notional Unrealized
Type Amount (Depreciation)
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
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 $ (84)
</TABLE>
(j) Subject to a financing transaction.
(k) Restricted security.
46 See accompanying notes
<PAGE>
Schedule of Investments
High Yield Fund
March 31, 2000
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 83.8%
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Banking & Finance 7.9%
Amethyst Financial Co. Ltd.
11.750% due 10/29/2001 $ 5,000 $ 5,000
Arvin Capital
9.500% due 02/01/2027 19,000 18,201
Bay View Capital Corp.
9.125% due 08/15/2007 6,700 5,276
CMS Energy
10.875% due 12/15/2004 1,250 1,200
Crown Castle International Corp.
13.250% due 11/15/2007 2,250 1,564
DLJ Secured Loan Trust
10.125% due 07/07/2007 10,000 9,850
Forest City Enterprises
8.500% due 03/15/2008 12,350 11,053
Frontiervision LP
11.000% due 10/15/2006 2,000 2,065
Fuji Bank
9.870% due 12/31/2049 (b) 36,000 35,820
General Motors Acceptance Corp.
6.165% due 04/29/2002 (b) 800 800
Golden State Holdings
7.000% due 08/01/2003 205 189
7.125% due 08/01/2005 870 770
Host Marriott LP
8.375% due 02/15/2006 5,060 4,579
Mercury Finance Co.
10.000% due 03/23/2001 37,200 36,084
10.743% due 03/23/2001 21,350 20,710
Nextel Partners, Inc.
0.000% due 02/01/2009 (c) 17,750 11,360
Presidential Life Insurance Corp.
7.875% due 02/15/2009 12,750 11,640
Project Orange Funding
10.500% due 09/15/2007 2,806 2,722
Reliance Group Holdings
9.000% due 11/15/2000 4,778 4,479
Stone Container Corp.
11.500% due 08/15/2006 4,850 5,098
Sumitomo Bank Treasury Co.
9.400% due 12/29/2049 (b) 30,300 30,332
Telewest Credit Link
10.875% due 02/07/2005 5,000 5,077
Trizec Finance Ltd.
10.875% due 10/15/2005 17,461 17,548
Willis Corroon Corp.
9.000% due 02/01/2009 13,700 10,207
-----------------------
251,624
=======================
Industrials 67.9%
Abbey Healthcare Group
9.500% due 11/01/2002 11,945 11,617
Adelphia Business Solution
12.250% due 06/01/2004 6,500 6,760
Advanced Lighting
8.000% due 03/15/2008 10,425 8,783
AEI Holding Co.
10.500% due 12/15/2005 11,380 2,504
Agriculture Minerals & Chemicals
10.750% due 09/30/2003 3,000 2,325
Airtrust
0.000% due 06/01/2013 12,942 4,790
Allied Waste Industries, Inc.
7.875% due 03/15/2005 2,000 1,813
Allied Waste North America, Inc.
7.375% due 01/01/2004 15,100 12,986
7.625% due 01/01/2006 19,525 16,108
7.875% due 01/01/2009 15,250 12,200
American Airlines
10.610% due 03/04/2010 650 740
American Axle & Manufacturing, Inc.
9.750% due 03/01/2009 8,550 8,251
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
American Standard, Inc.
7.125% due 02/15/2003 $ 200 $ 190
7.375% due 02/01/2008 8,700 7,874
9.250% due 12/01/2016 4,778 4,718
Amerigas Partners LP
10.125% due 04/15/2007 3,000 3,060
Amphenol Corp.
9.875% due 05/15/2007 7,095 7,271
Applied Power, Inc.
8.750% due 04/01/2009 19,280 19,810
Archibald Candy Corp.
10.250% due 07/01/2004 4,000 3,790
AT&T Canada, Inc.
10.625% due 11/01/2008 9,600 10,718
Ball Corp.
7.750% due 08/01/2006 8,750 8,247
8.250% due 08/01/2008 7,600 7,030
Beckman Instruments, Inc.
7.100% due 03/04/2003 5,031 4,810
7.450% due 03/04/2008 16,470 15,226
Benedek Communications Corp.
0.000% due 05/15/2006 (c) 1,500 1,343
Beverly Enterprises, Inc.
9.000% due 02/15/2006 18,075 15,545
Browning-Ferris Industries, Inc.
6.100% due 01/15/2003 4,100 3,700
Buckeye Technologies, Inc.
8.000% due 10/15/2010 10,129 9,268
Building Materials Corp.
7.750% due 07/15/2005 15,967 14,171
8.625% due 12/15/2006 1,235 1,167
8.000% due 10/15/2007 2,067 1,798
8.000% due 12/01/2008 23,250 20,053
Cadmus Communications Corp.
9.750% due 06/01/2009 5,600 5,474
Call-Net Enterprises, Inc.
8.000% due 08/15/2008 6,900 4,865
9.375% due 05/15/2009 5,400 4,077
Canadian Forest Oil Ltd.
8.750% due 09/15/2007 4,900 4,545
Century Communications Corp.
9.500% due 08/15/2000 600 602
0.000% due 03/15/2003 12,437 9,141
8.750% due 10/01/2007 3,800 3,496
CF Cable TV, Inc.
9.125% due 07/15/2007 9,000 9,557
Charter Communications Holding LLC
8.250% due 04/01/2007 13,750 12,358
10.000% due 04/01/2009 17,850 17,315
Chattem, Inc.
8.875% due 04/01/2008 4,950 4,208
Circus Circus Enterprises
6.750% due 07/15/2003 20,500 18,348
9.250% due 12/01/2005 6,100 5,826
Clark R & M, Inc.
8.375% due 11/15/2007 3,000 2,205
Clearnet Communications
0.000% due 05/01/2009 (c) 6,000 3,405
Columbus McKinnon
8.500% due 04/01/2008 17,500 15,575
Consolidated Container
10.125% due 07/15/2009 7,650 7,574
Container Corp. of America
9.750% due 04/01/2003 1,000 1,010
11.250% due 05/01/2004 3,770 3,845
Continental Cablevision
9.500% due 08/01/2013 10,000 10,908
Cross Timbers Oil Co.
9.250% due 04/01/2007 4,440 4,218
</TABLE>
See accompanying notes 47
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
March 31, 2000
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CSC Holdings, Inc.
9.250% due 11/01/2005 $ 1,000 $ 1,005
9.875% due 05/15/2006 850 869
7.875% due 12/15/2007 100 97
7.250% due 07/15/2008 50 46
9.875% due 02/15/2013 6,100 6,222
7.875% due 02/15/2018 9,000 8,418
9.875% due 04/01/2023 4,037 4,118
Cumberland Farms
10.500% due 10/01/2003 5,906 5,581
Dade International, Inc.
11.125% due 05/01/2006 1,400 1,330
Delta Air Lines, Inc.
10.790% due 03/26/2014 2,264 2,472
Diamond Cable Communication Co.
13.250% due 09/30/2004 2,000 2,130
0.000% due 12/15/2005 (b)(c) 10,000 9,400
Diamond Cable Communications Co.
10.750% due 02/15/2007 10,100 7,777
Dunlop Stand Aerospace Holdings
11.875% due 05/15/2009 3,900 3,959
Echostar Communications Corp.
9.250% due 02/01/2006 33,687 32,508
9.375% due 02/01/2009 6,875 6,669
Embotelladora Arica SA
9.875% due 03/15/2006 22,000 22,777
Emmis Communications Corp.
8.125% due 03/15/2009 7,750 7,245
Energis PLC
9.750% due 06/15/2009 7,500 7,463
Extended Stay America
9.150% due 03/15/2008 11,500 10,293
Extendicare Health Services
9.350% due 12/15/2007 5,950 3,273
EZ Communication, Inc.
9.750% due 12/01/2005 2,500 2,653
Federal-Mogul Corp.
7.500% due 07/01/2004 29,000 25,175
7.375% due 01/15/2006 150 122
7.750% due 07/01/2006 11,350 9,293
Ferrellgas Partners LP
9.375% due 06/15/2006 14,436 14,147
Fisher Scientific International
7.125% due 12/15/2005 13,750 11,963
9.000% due 02/01/2008 36,795 33,666
Flag Telecom Holding Ltd.
11.625% due 03/30/2010 20,200 19,190
Focal Communications
11.875% due 01/15/2010 3,400 3,434
Forest Oil Corp.
10.500% due 01/15/2006 3,585 3,639
Fox/Liberty Networks LLC
0.000% due 08/15/2007 (c) 9,750 7,849
Fred Meyer, Inc.
7.450% due 03/01/2008 400 387
Garden State Newspapers
8.750% due 10/01/2009 22,428 20,073
8.625% due 07/01/2011 8,900 7,821
Georgia Gulf Corp.
7.625% due 11/15/2005 1,250 1,189
Global Crossing Ltd.
6.000% due 10/15/2003 10,085 9,348
Globalstar LP
11.375% due 02/15/2004 100 38
11.250% due 06/15/2004 1,500 570
Globe Telecom
13.000% due 08/01/2009 5,100 5,636
Golden Northwest Aluminum
12.000% due 12/15/2006 2,850 2,978
Grupo Televisa SA
11.375% due 05/15/2003 1,300 1,443
11.875% due 05/15/2006 500 593
13.250% due 05/15/2008 (c) 6,475 6,394
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Gulf Canada Resources
9.250% due 01/15/2004 $ 10,975 $ 11,095
9.625% due 07/01/2005 1,680 1,684
8.375% due 11/15/2005 4,000 3,900
Harnischfeger Industrial, Inc.
8.900% due 03/01/2022 4,300 1,828
7.250% due 12/15/2025 7,500 3,188
Harrahs Operating Co., Inc.
7.875% due 12/15/2005 5,400 5,022
7.500% due 01/15/2009 20,675 19,111
HMH Properties, Inc.
7.875% due 08/01/2005 24,270 21,449
8.450% due 12/01/2008 6,350 5,548
Hollinger International Publishing
9.250% due 02/01/2006 4,400 4,136
Holmes Products Corp.
9.875% due 11/15/2007 2,950 2,080
Horseshoe Gaming Holding
8.625% due 05/15/2009 21,200 19,504
HS Resources, Inc.
9.875% due 12/01/2003 1,000 990
9.250% due 11/15/2006 5,250 5,053
Huntsman Corp.
9.500% due 07/01/2007 12,700 11,398
Huntsman Packaging Corp.
9.125% due 10/01/2007 9,550 9,073
Impsat Corp.
12.375% due 06/15/2008 10,900 9,565
Intermedia Communications, Inc.
0.000% due 05/15/2006 (c) 31,535 29,564
International Game Technology
7.875% due 05/15/2004 14,700 13,781
8.375% due 05/15/2009 14,000 12,810
ISP Holdings, Inc.
9.750% due 02/15/2002 250 238
9.000% due 10/15/2003 22,370 21,531
ITC Deltacom, Inc.
11.000% due 06/01/2007 5,385 5,573
ITT Corp.
6.250% due 11/15/2000 1,500 1,477
J Seagram & Sons
6.526% due 04/10/2000 (b) 1,900 1,872
J.Q. Hammons Hotels
8.875% due 02/15/2004 3,200 2,848
Jones Intercable, Inc.
8.875% due 04/01/2007 5,060 5,277
JPS Automotive Products
11.125% due 06/15/2001 6,500 6,663
Jupiters Ltd.
8.500% due 03/01/2006 12,600 11,750
K Mart Corp.
12.350% due 01/01/2008 4,026 4,061
8.800% due 07/01/2010 1,250 1,198
9.350% due 01/02/2020 14,911 13,688
9.780% due 01/05/2020 9,575 9,832
K-III Communications Co.
8.500% due 02/01/2006 9,940 9,493
KPNQWest BV
8.125% due 06/01/2009 32,000 30,880
L-3 Communications Corp.
10.375% due 05/01/2007 6,450 6,433
Lear Corp.
8.250% due 02/01/2002 6,410 6,282
Lenfest Communications
8.375% due 11/01/2005 10,650 11,095
10.500% due 06/15/2006 525 587
Level 3 Communications, Inc.
11.000% due 03/15/2008 5,500 5,280
9.125% due 05/01/2008 31,450 27,126
Levi Strauss & Co.
6.800% due 11/01/2003 27,350 18,051
Leviathan Gas Corp.
10.375% due 06/01/2009 2,925 2,998
</TABLE>
48 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Lin Holdings Corp.
0.000% due 03/01/2008 (b) $ 19,250 $ 11,887
Lin Television Corp.
8.375% due 03/01/2008 9,300 8,091
Lyondell Chemical Co.
9.625% due 05/01/2007 28,150 26,883
Magnum Hunter Resources, Inc.
10.000% due 06/01/2007 1,900 1,682
Mail-Well Corp.
8.750% due 12/15/2008 20,030 17,526
Mark IV Industries, Inc.
7.500% due 09/01/2007 6,730 6,190
Market Hub Partners
8.250% due 03/01/2008 11,580 10,712
Marsh Supermarkets, Inc.
8.875% due 08/01/2007 9,500 8,835
McDermott, Inc.
9.375% due 03/15/2002 4,955 4,494
McLeodUSA, Inc.
0.000% due 03/01/2007 (c) 43,325 34,118
8.375% due 03/15/2008 5,100 4,590
9.500% due 11/01/2008 13,625 13,080
8.125% due 02/15/2009 4,837 4,281
Metromedia Fiber Network, Inc.
10.000% due 11/15/2008 14,795 14,129
10.000% due 12/15/2009 15,100 14,477
Metronet Communications
0.000% due 06/15/2008 (c) 16,475 13,156
MGM Grand, Inc.
6.950% due 02/01/2005 31,170 28,643
MJD Communications, Inc.
9.500% due 05/01/2008 7,875 7,324
Navistar International Corp.
8.000% due 02/01/2008 2,023 1,886
Newpark Resources, Inc.
8.625% due 12/15/2007 4,050 3,503
Nextel Communications
9.375% due 11/15/2009 51,250 47,406
Nextlink Communications, Inc.
10.750% due 06/01/2009 11,425 10,968
NL Industries, Inc.
11.750% due 10/15/2003 1,950 2,021
Nortek, Inc.
9.875% due 03/01/2004 2,205 2,078
8.875% due 08/01/2008 1,500 1,350
NTL, Inc.
12.750% due 04/15/2005 700 711
0.000% due 02/01/2006 (c) 21,350 19,749
11.500% due 10/01/2008 7,400 7,622
Nuevo Grupo Iuscell
10.000% due 07/15/2004 1,000 983
Octel Developments PLC
10.000% due 05/01/2006 900 878
Orion Network Systems, Inc.
0.000% due 01/15/2007 (c) 23,100 10,742
11.250% due 01/15/2007 14,625 9,872
P&L Coal Holdings
8.875% due 05/15/2008 28,800 26,136
Packaging Corp. of America
9.625% due 04/01/2009 9,525 9,430
Packard Bioscience Co.
9.375% due 03/01/2007 4,350 3,893
Perry-Judd
10.625% due 12/15/2007 4,270 3,277
Petroleos Mexicanos
8.402% due 07/15/2005 (b) 8,600 8,493
9.375% due 12/02/2008 8,000 8,220
Pharmerica, Inc.
8.375% due 04/01/2008 15,650 9,547
Phar-Mor, Inc.
11.720% due 09/11/2002 7,005 5,989
Physician Sales and Service, Inc.
8.500% due 10/01/2007 9,250 8,556
Piedmont Aviation
10.250% due 03/28/2005 821 820
Pioneer National Resources
8.875% due 04/15/2005 20,100 20,062
8.250% due 08/15/2007 5,750 5,536
6.500% due 01/15/2008 6,950 5,997
Players International, Inc.
10.875% due 04/15/2005 250 261
Polymer Group, Inc.
9.000% due 07/01/2007 19,278 16,868
8.750% due 03/01/2008 12,950 11,461
Price Communications Wireless, Inc.
9.125% due 12/15/2006 2,125 2,072
Pride International, Inc.
9.375% due 05/01/2007 3,100 2,984
Primedia, Inc.
10.250% due 06/01/2004 4,000 4,100
7.625% due 04/01/2008 8,250 7,466
Qwest Communications International, Inc.
0.000% due 10/15/2007 (c) 13,040 10,631
0.000% due 02/01/2008 (c) 10,550 8,176
R & B Falcon Corp.
6.500% due 04/15/2003 7,500 6,863
9.250% due 04/15/2005 2,500 2,188
R.H. Donnelly, Inc.
9.125% due 06/01/2008 5,175 4,942
Racers
8.375% due 10/01/2007 22,042 20,004
Renaissance Media Group
0.000% due 04/15/2008 (c) 21,250 14,131
Rogers Cablesystems Ltd.
10.000% due 03/15/2005 4,000 4,180
Rogers Cantel Mobile Communications, Inc.
9.375% due 06/01/2008 23,250 23,657
Rogers Cantel, Inc.
8.800% due 10/01/2007 1,350 1,316
8.300% due 10/01/2007 287 291
Safety-Kleen Services
9.250% due 06/01/2008 29,475 3,979
9.250% due 05/15/2009 15,000 1,350
Salem Communications
9.500% due 10/01/2007 5,400 5,049
Satelites Mexicanos
10.030% due 06/30/2004 (b) 7,881 6,502
10.125% due 11/01/2004 1,500 1,189
SC International Services, Inc.
9.250% due 09/01/2007 19,450 18,040
Scotia Pacific Co. LLC
7.710% due 01/20/2014 180 150
Sequa Corp.
9.000% due 08/01/2009 7,550 7,040
Silgan Holdings, Inc.
9.000% due 06/01/2009 16,683 15,682
Smithfield Foods
7.625% due 02/15/2008 5,950 5,176
Smith's Food & Drug Centers, Inc.
8.640% due 07/02/2012 8,815 9,170
9.200% due 07/02/2018 7,250 7,613
Station Casinos, Inc.
10.125% due 03/15/2006 2,000 2,015
9.750% due 04/15/2007 6,850 6,730
8.875% due 12/01/2008 4,000 3,700
Sterling Chemicals, Inc.
12.375% due 07/15/2006 10,500 10,763
Stone Container Corp.
9.875% due 02/01/2001 2,000 2,008
10.750% due 10/01/2002 10,150 10,289
11.500% due 10/01/2004 2,000 2,093
Telewest Communications plc
9.625% due 10/01/2006 11,250 10,913
0.000% due 10/01/2007 (b)(c) 10,949 10,291
9.250% due 04/15/2009 20,500 11,993
9.875% due 02/01/2010 6,750 6,640
See accompanying notes 49
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Tenet Healthcare Corp.
7.875% due 01/15/2003 $ 1,000 $ 963
8.625% due 12/01/2003 1,500 1,471
8.000% due 01/15/2005 6,595 6,265
8.625% due 01/15/2007 3,500 3,325
7.625% due 06/01/2008 20,090 17,982
TFM SA de CV
0.000% due 06/15/2009 (c) 7,800 5,480
Tierra Industries
10.500% due 06/15/2005 2,000 1,500
Total Renal Care Holdings
7.000% due 05/15/2009 20,100 11,759
Trans-Resources, Inc.
0.000% due 03/15/2008 (c) 5,250 1,286
10.750% due 03/15/2008 14,650 8,863
Triad Hospitals, Inc.
11.000% due 05/15/2009 2,595 2,614
TV Guide, Inc.
8.125% due 03/01/2009 18,223 18,041
U.S. Air, Inc.
9.625% due 09/01/2003 16,083 14,860
9.330% due 01/01/2006 5,411 5,633
Unisys Corp.
12.000% due 04/15/2003 3,937 4,176
7.875% due 04/01/2008 4,000 3,800
United Defense Industry, Inc.
8.750% due 11/15/2007 4,000 3,710
United Pan-Europe Communications NV
10.650% due 11/01/2007 11,500 10,753
0.000% due 02/01/2009 (c) 6,690 4,047
10.875% due 08/01/2009 14,300 13,228
13.750% due 02/01/2010 8,500 4,293
Vectura Group, Inc.
10.250% due 06/30/2008 275 235
Vintage Petroleum
9.000% due 12/15/2005 10,490 10,202
9.750% due 06/30/2009 6,350 6,317
Voicestream Wireless Corp.
10.375% due 11/15/2009 9,200 9,200
Western Gas Resources, Inc.
10.000% due 06/15/2009 7,100 7,207
Westinghouse Air Brake
9.375% due 06/15/2005 4,685 4,580
Westpoint Stevens, Inc.
7.875% due 06/15/2005 6,000 5,270
7.875% due 06/15/2008 17,450 14,638
Williams Communications Group, Inc.
6.540% due 11/15/2001 6,100 6,100
10.700% due 10/01/2007 4,600 4,606
10.875% due 10/01/2009 5,750 5,707
World Color Press, Inc.
8.375% due 11/15/2008 13,650 13,659
7.750% due 02/15/2009 3,750 3,595
Worldwide Fiber, Inc.
12.000% due 08/01/2009 7,250 6,888
Young Broadcasting, Inc.
9.000% due 01/15/2006 20,200 18,281
8.750% due 06/15/2007 4,510 3,969
------------
2,153,775
============
Utilities 8.0%
AES Corp.
10.250% due 07/15/2006 6,264 6,106
8.500% due 11/01/2007 7,300 6,423
9.500% due 06/01/2009 1,350 1,303
Alestra SA
12.125% due 05/15/2006 12,100 12,130
Azurix Corporation
10.375% due 02/15/2007 22,350 22,350
Bayan Telecommunications
13.500% due 07/15/2006 2,000 1,690
Beaver Valley Funding Corp.
9.000% due 06/01/2017 29,800 30,440
Calpine Corp.
9.250% due 02/01/2004 13,000 13,098
15.000% due 03/15/2004 10,000 11,035
7.625% due 04/15/2006 4,500 4,185
8.750% due 07/15/2007 15,600 15,553
7.875% due 04/01/2008 8,287 7,800
7.750% due 04/15/2009 800 743
Chesapeake Energy Corp.
9.625% due 05/01/2005 1,000 933
CMS Energy
8.125% due 05/15/2002 4,537 4,473
7.000% due 01/15/2005 9,500 8,682
Flag Ltd.
8.250% due 01/30/2008 19,212 17,099
ITC Deltacom, Inc.
8.875% due 03/01/2008 13,300 12,552
L-3 Communication Corp.
8.500% due 05/15/2008 400 359
Mastec, Inc.
7.750% due 02/01/2008 7,250 6,688
MJD Communications, Inc.
10.321% due 05/01/2008 (b) 4,500 4,336
Nextlink Communications, Inc.
10.500% due 12/01/2009 10,000 9,525
Philippine Long Distance Telephone Co.
10.500% due 04/15/2009 11,550 11,384
Qwest Communications International, Inc.
7.500% due 11/01/2008 7,500 7,290
Rural Cellular Corp.
9.625% due 05/15/2008 12,300 11,870
Telekomunikacja Polska SA
7.750% due 12/10/2008 13,950 13,542
Telewest Communication PLC
11.250% due 11/01/2008 1,000 1,025
Wilmington Trust Co. - Tucson Electric
10.211% due 01/01/2009 (d) 500 515
10.732% due 01/01/2013 (d) 8,866 9,162
------------
252,291
------------
Total Corporate Bonds & Notes 2,657,690
============
(Cost $2,910,616)
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.0%
--------------------------------------------------------------------------------
Hawaii 0.0%
Hawaii State Airports System Revenue,
(MBIA Insured), Series 1991
7.875% due 08/01/2008 1,000 848
------------
848
============
Total Municipal Bonds & Notes
(Cost $872)
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 2.6%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 1.3%
Asset Securitization Corp.
7.384% due 08/13/2029 1,500 1,413
Federal Deposit Insurance Corp.
7.064% due 11/25/2026 (b) 400 352
Green Tree Financial Corp.
8.000% due 07/15/2018 7,000 6,490
LTC Commercial Corp.
7.970% due 04/15/2028 5,062 4,687
NationsBanc Mortgage Capital Corp.
8.035% due 05/25/2028 (b) 3,835 2,699
NationsLink Funding Corp.
7.105% due 01/20/2013 10,500 7,796
Red Mountain Funding Corp.
9.150% due 11/28/2027 5,727 4,628
Resolution Trust Corp.
9.050% due 08/25/2023 14 14
6.900% due 02/25/2027 6,213 5,660
7.000% due 05/25/2027 5,862 5,776
------------
39,515
============
50 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Other Mortgage-Backed Securities 1.2%
LTC Commercial Corp.
9.200% due 08/04/2023 $ 3,235 $ 3,288
Resolution Trust Corp.
7.408% due 09/25/2020 (b) 253 238
Sasco Floating Rate Commercial Mortgage
6.364% due 04/25/2003 (b) 34,800 32,196
Structured Asset Securities Corp.
7.050% due 11/25/2007 4,000 3,571
------------
39,293
============
Stripped Mortgage-Backed Securities 0.1%
Federal National Mortgage Association (IO)
6.000% due 07/25/2005 222 2
7.000% due 07/25/2008 2,832 351
6.500% due 06/25/2017 686 21
7.000% due 04/25/2019 12,000 1,062
7.000% due 12/25/2021 4,325 527
Fund America (IO)
9.590% due 10/20/2021 7 18
------------
1,981
------------
Total Mortgage-Backed Securities 80,789
(Cost $83,023) ============
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 5.0%
--------------------------------------------------------------------------------
Airplanes Pass Through Trust
10.875% due 03/15/2019 28,256 23,914
AM-FM, Inc.
8.750% due 06/15/2007 5,650 5,650
12.750% due 02/01/2009 5,550 4,967
Amresco Residential Securities Mortgage Loan Trust
7.875% due 09/25/2028 (b) 4,250 4,091
Apria Healthcare Group, Inc.
9.640% due 08/09/2001 4,683 4,577
Charter Commercial Holdings LLC
8.540% due 03/31/2008 2,297 2,278
8.580% due 03/31/2008 2,703 2,680
Columbia/HCA Healthcare
6.125% due 12/15/2000 2,000 1,965
7.880% due 09/15/2001 20,000 19,649
6.910% due 06/15/2005 1,250 1,134
7.000% due 07/01/2007 3,350 2,954
8.360% due 04/15/2024 6,000 5,517
6.730% due 07/15/2045 5,000 4,635
Conseco Finance
9.300% due 10/15/2030 10,000 10,094
Crown Castle
8.840% due 03/31/2008 3,000 2,995
Huntsman Corp.
8.830% due 12/31/2005 3,000 2,993
Jefferson Smurfit
9.375% due 03/31/2006 756 756
Lyondell Petroleum
9.613% due 12/31/2003 (b) 18,810 18,959
Morgan Stanley Aircraft Finance
8.700% due 03/15/2023 21,750 18,957
Rural Cellular Corp.
8.989% due 10/30/2008 2,500 2,489
9.239% due 04/30/2009 2,500 2,489
Stone Container Corp.
9.383% due 10/01/2005 710 709
9.633% due 10/01/2005 1,290 1,288
TFM SA de CV
10.220% due 06/30/2003 (b) 3,591 3,515
Triad Hospitals, Inc.
9.950% due 12/31/2005 (b) 1,975 1,973
10.120% due 12/31/2005 7,950 7,941
------------
Total Asset-Backed Securities 159,169
(Cost $168,071) ============
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 0.4%
--------------------------------------------------------------------------------
United Mexican States
9.875% due 02/01/2010 10,000 10,600
------------
Total Sovereign Issues 10,600
(Cost $9,957) ============
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 1.0%
--------------------------------------------------------------------------------
Industrial 1.0%
Hercules Trust VI
8.625% due 12/29/2000 (b) 25,550 25,543
Pride International, Inc.
0.000% due 04/24/2018 11,750 5,301
------------
Total Convertible Bonds & Notes 30,844
(Cost $29,141) ============
--------------------------------------------------------------------------------
PREFERRED STOCK 3.2%
--------------------------------------------------------------------------------
Shares
CSC Holdings, Inc.
11.125% due 04/02/2008 188,674 20,283
Fresenius Medical Care
7.875% due 02/01/2008 43,400 38,679
9.000% due 12/01/2006 29,995 28,495
Newscorp Overseas Ltd.
8.625% due 12/31/2049 133,200 2,614
Primedia, Inc.
9.200% due 11/01/2009 70,000 6,317
8.625% due 04/01/2010 50,000 4,313
Sig Capital Trust
9.500% due 08/15/2027 7,000 1,593
------------
Total Preferred Stock 102,294
(Cost $117,760) ============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 2.1%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 2.1%
Abbott Laboratories
6.500% due 01/26/2001 $ 6,500 6,468
Province of British Columbia
6.100% due 06/01/2000 2,700 2,672
Dominion Residential, Inc.
6.150% due 05/01/2000 13,700 13,634
Exxon Mobil
6.050% due 04/14/2000 14,000 13,974
Heinz Corp.
6.050% due 05/03/2000 1,600 1,592
6.050% due 05/17/2000 3,600 3,573
Motorola, Inc.
6.090% due 06/30/2000 13,500 13,294
Oesterreich Konterbank
6.080% due 06/15/2000 6,200 6,120
Reseau Ferre De France
6.120% due 05/30/2000 1,600 1,584
6.120% due 06/05/2000 3,000 2,968
Xerox Credit Corp.
6.090% due 06/06/2000 1,000 989
------------
Total Short-Term Instruments 66,868
(Cost $66,880) ============
Total Investments (a) 98.1% $3,109,102
(Cost $3,386,320)
Other Assets and Liabilities (Net) 1.9% 61,291
------------
Net Assets 100.0% $3,170,393
============
See accompanying notes 51
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
March 31, 2000
--------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $3,387,281 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 15,845
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (294,024)
--------------
Unrealized depreciation-net $ (278,179)
==============
(b) Variable rate security. The rate listed is as of March 31, 2000.
(c) Security becomes interest bearing at a future date.
(d) Restricted security.
52 See accompanying notes
<PAGE>
Schedule of Investments
Long-Term U.S. Government Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 3.7%
--------------------------------------------------------------------------------
Banking & Finance 3.7%
AESOP Funding II LLC
6.220% due 10/20/2001 $ 3,000 $ 2,999
Associates Corp. of North America
5.800% due 04/20/2004 2,500 2,353
Bayerische Landesbank NY
0.000% due 05/17/2000 (d) 1,000 982
Countrywide Home Loans
6.850% due 06/15/2004 1,500 1,458
Goldman Sachs Group
6.714% due 01/14/2002 (d) 3,000 3,021
Morgan Stanley, Dean Witter, Discover and Co.
6.290% due 04/22/2004 (d) 2,500 2,498
----------
Total Corporate Bonds & Notes 13,311
==========
(Cost $13,499)
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 1.4%
--------------------------------------------------------------------------------
Federal Home Loan Bank
0.000% due 05/12/2000 (d) 1,900 1,900
Student Loan Marketing Assn.
5.129% due 06/30/2000 (d) 1,000 1,000
6.365% due 07/25/2004 (d) 1,235 1,230
6.595% due 01/25/2007 (d) 666 664
----------
Total U.S. Government Agencies 4,794
==========
(Cost $4,782)
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 77.9%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (b)
3.625% due 07/15/2002 (c) 16,326 16,278
3.375% due 01/15/2007 3,194 3,076
U.S. Treasury Bonds
11.250% due 02/15/2015 7,800 11,537
8.875% due 08/15/2017 4,100 5,245
8.750% due 08/15/2020 (c) 81,300 105,206
8.000% due 11/15/2021 (c) 32,200 39,214
6.000% due 02/15/2026 (c) 25,100 24,824
6.375% due 08/15/2027 (c) 45,600 47,467
6.250% due 05/15/2030 2,100 2,221
U.S. Treasury Notes
5.125% due 08/31/2000 (f) 835 831
U.S. Treasury Strips
0.000% due 02/15/2019 64,800 20,816
----------
Total U.S. Treasury Obligations 276,715
==========
(Cost $265,515)
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 84.8%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 32.5%
Bear Stearns Mortgage Securities, Inc.
7.100% due 06/25/2024 385 364
6.687% due 06/25/2030 1,012 1,023
California Federal Bank
6.341% due 08/25/2030 (d) 712 708
Chase Mortgage Finance Corp.
6.203% due 04/25/2025 (d) 2,463 2,504
CMC Securities Corp.
6.000% due 02/25/2009 846 841
6.150% due 05/25/2028 (d) 3,000 2,984
Countrywide Funding Corp.
6.500% due 01/25/2009 1,000 991
Federal Home Loan Mortgage Corp.
7.000% due 07/01/2002 1,233 1,225
7.500% due 06/01/2004 46 46
7.500% due 07/01/2004 595 595
7.500% due 08/01/2004 84 83
7.500% due 09/01/2004 211 211
9.500% due 01/15/2005 36 36
6.000% due 03/15/2007 27 27
5.500% due 05/15/2007 28 28
8.000% due 02/15/2015 409 415
4.250% due 12/15/2021 541 500
7.000% due 07/15/2022 1,071 1,035
7.000% due 05/15/2023 226 216
7.000% due 08/15/2023 324 310
7.000% due 09/15/2023 783 728
6.250% due 09/15/2023 5,000 4,640
6.850% due 10/25/2023 1,674 1,619
6.000% due 11/15/2023 950 829
6.500% due 11/15/2023 891 777
6.500% due 11/25/2023 618 518
6.500% due 12/15/2023 1,017 899
7.000% due 01/15/2024 97 89
7.500% due 01/20/2024 2,522 2,519
6.500% due 02/15/2024 115 101
6.500% due 03/15/2024 1,126 1,016
6.000% due 10/15/2024 2,706 2,643
6.500% due 12/15/2024 3,444 3,391
8.000% due 12/15/2024 1,000 1,007
7.500% due 02/15/2025 2,380 2,377
Federal National Mortgage Assn.
7.500% due 02/01/2004 410 409
7.500% due 03/01/2004 267 267
7.500% due 04/01/2004 333 332
7.500% due 05/01/2004 502 500
7.500% due 06/01/2004 445 443
7.500% due 07/01/2004 520 518
7.500% due 08/01/2004 1,230 1,224
7.500% due 09/01/2004 223 222
7.500% due 10/01/2004 243 242
5.750% due 06/25/2006 104 104
5.600% due 07/25/2006 102 101
6.250% due 12/25/2013 76 70
6.000% due 07/25/2015 741 738
6.000% due 09/25/2016 131 131
5.750% due 12/25/2016 35 35
6.650% due 01/25/2017 49 48
6.479% due 10/25/2017 (d) 3,621 3,604
6.500% due 11/25/2017 3,340 3,326
7.000% due 02/25/2020 2,000 1,982
6.950% due 07/25/2020 1,651 1,613
6.750% due 06/25/2021 4,253 398
8.000% due 03/25/2022 10 10
7.000% due 04/25/2022 849 778
7.000% due 06/25/2022 409 386
7.800% due 10/25/2022 495 492
7.000% due 10/25/2022 1,186 1,110
7.000% due 05/25/2023 1,349 1,274
6.900% due 05/25/2023 552 512
7.000% due 06/25/2023 542 515
6.000% due 08/25/2023 137 111
4.500% due 10/25/2023 219 126
6.500% due 11/25/2023 2,000 1,805
6.500% due 12/25/2023 3,726 3,268
7.000% due 12/25/2023 1,538 1,432
6.500% due 01/25/2024 203 181
6.500% due 02/25/2024 295 248
6.000% due 05/17/2027 2,500 2,146
7.000% due 05/18/2027 1,537 1,343
8.500% due 06/01/2027 1,113 1,136
9.000% due 06/01/2027 1,723 1,786
6.502% due 02/01/2028 (d) 539 560
First Boston Mortgage Securities Corp.
7.300% due 07/25/2023 1,441 1,278
General Electric Capital Mortgage Services, Inc.
9.000% due 09/25/2023 400 405
6.500% due 10/25/2023 3,000 2,627
6.500% due 01/25/2024 4,467 3,504
6.500% due 03/25/2024 876 780
7.000% due 10/25/2027 890 882
6.650% due 05/25/2028 6,112 5,990
German American Capital Corp.
7.000% due 08/12/2010 3,000 2,941
See accompanying notes 53
<PAGE>
Schedule of Investments (Cont.)
Long-Term U.S. Government Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Government National Mortgage Assn
7.000% due 03/16/2029 $ 268 $ 232
Independent National Mortgage Corp.
8.539% due 01/25/2025 (d) 71 73
6.930% due 05/25/2026 911 903
Mellon Residential Funding Corp.
6.460% due 07/25/2029 1,897 1,834
Merrill Lynch Mortgage Investors, Inc.
6.050% due 10/15/2008 2,750 2,668
Norwest Asset Securities Corp.
6.750% due 10/25/2028 985 917
PHH Mortgage Services Corp.
6.730% due 06/18/2011 870 868
PNC Mortgage Securities Corp.
7.500% due 01/25/2015 1,467 1,456
7.500% due 02/25/2027 1,775 1,749
6.750% due 04/25/2028 3,000 2,828
Prudential Home Mortgage Securities
7.625% due 02/25/2023 40 39
6.950% due 09/25/2023 68 54
6.500% due 01/25/2024 1,433 1,261
8.000% due 06/25/2024 793 792
Residential Accredit Loans, Inc.
7.000% due 02/25/2028 2,000 1,901
Residential Funding Mortgage Securities, Inc.
8.344% due 03/25/2025 (d) 76 78
7.750% due 09/25/2026 1,100 1,075
7.500% due 04/25/2027 1,924 1,879
Resolution Trust Corp.
7.000% due 09/25/2029 1,671 1,678
Vendee Mortgage Trust
6.500% due 06/15/2024 2,178 1,990
----------
115,503
==========
Federal Home Loan Mortgage Corporation 9.4%
6.250% due 12/15/2023 496 427
6.341% due 01/01/2028 (d) 3,016 2,949
6.500% due 11/15/2023-01/15/2028 (h) 9,972 8,446
6.758% due 09/01/2027 (d) 3,951 3,847
6.898% due 06/01/2022 (d) 65 68
6.930% due 01/01/2028 (d) 1,810 1,771
6.964% due 10/01/2026 (d) 1,196 1,205
7.000% due 04/14/2030 5,000 4,810
7.355% due 02/01/2028 (d) 2,034 2,008
7.414% due 05/01/2022 (d) 110 113
7.500% due 10/01/2004 2,152 2,144
7.711% due 12/01/2024 (d) 1,480 1,526
8.000% due 05/01/2004 4,197 4,228
----------
33,542
==========
Federal Housing Administration 9.1%
6.896% due 07/01/2020 3,767 3,541
7.000% due 11/25/2019 4,616 4,600
7.375% due 01/01/2018 1,778 1,695
7.400% due 12/18/2018 1,574 1,501
7.421% due 11/01/2019 120 120
7.430% due 08/01/2019-06/01/2024 (h) 19,470 19,416
7.450% due 03/25/2022 1,669 1,665
----------
32,538
==========
Federal National Mortgage Association 14.3%
6.500% due 03/01/2006-07/25/2010 (h) 8,707 8,550
6.633% due 12/01/2027 (d) 2,623 2,623
6.790% due 10/01/2024 (d) 1,946 1,974
6.888% due 08/01/2026 (d) 523 543
6.893% due 08/01/2026 (d) 184 189
7.000% due 03/01/2004-07/25/2023 (h) 17,481 17,230
7.056% due 11/01/2023 (d) 2,943 3,004
7.197% due 04/01/2028 (d) 2,778 2,838
7.378% due 01/01/2026 (d) 992 1,001
7.478% due 05/01/2025 (d) 1,654 1,688
8.084% due 10/01/2024 (d) 104 108
8.500% due 09/01/2026-04/01/2028 (h) 6,716 6,859
9.000% due 07/01/2005-08/01/2021 (h) 4,138 4,072
----------
50,679
==========
Government National Mortgage Association 15.9%
6.375% due 02/20/2017-01/20/2028 (d)(h) 16,338 16,425
6.500% due 04/24/2030 (d) 16,000 15,854
6.625% due 12/15/2000-02/15/2040 (h) 2,000 1,907
6.750% due 09/20/2017-09/20/2026 (d)(h) 8,059 8,094
6.800% due 09/15/2001-10/15/2040 (d)(h) 1,757 1,734
7.000% due 05/15/2002-10/15/2040 (d)(h) 8,717 8,640
7.125% due 12/20/2017-10/20/2027 (d)(h) 3,839 3,887
----------
56,541
==========
Other Mortgage-Backed Securities 2.3%
Countrywide Funding Corp.
7.000% due 05/25/2024 8,000 7,275
Resolution Trust Corp.
6.472% due 05/25/2029 (d) 806 779
----------
8,054
==========
Stripped Mortgage-Backed Securities 1.3%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 03/15/2003 1,096 108
6.500% due 11/15/2003 1,821 199
7.000% due 02/15/2006 76 3
6.500% due 08/15/2006 61 1
6.500% due 10/15/2006 144 10
6.500% due 11/15/2006 121 3
8.191% due 02/15/2007 4 74
7.500% due 06/15/2007 345 39
6.500% due 10/15/2007 1,140 92
6.000% due 10/15/2007 122 8
6.500% due 11/15/2008 806 135
7.000% due 12/15/2023 1,946 268
Federal National Mortgage Association (IO)
11.876% due 08/25/2006 6 60
6.500% due 02/25/2007 91 5
6.500% due 07/25/2007 1,026 44
11.980% due 08/25/2007 7 185
10.146% due 09/25/2007 4 94
6.500% due 08/25/2020 261 16
6.500% due 09/25/2021 482 56
7.000% due 12/25/2021 216 26
Federal National Mortgage Association (PO)
0.000% due 03/25/2009 2,944 2,000
0.000% due 09/25/2023 1,509 750
First Plus Home Loan Trust (PO)
6.000% due 10/10/2000 1,200 41
Norwest Asset Securities Corp.(IO)
7.250% due 02/25/2012 1,124 153
Residential Funding Mortgage Securities, Inc.(IO)
5.000% due 06/25/2000 6,000 96
4,466
----------
Total Mortgage-Backed Securities 301,323
(Cost $307,131) ==========
ASSET-BACKED SECURITIES 5.2%
Bear Stearns Mortgage Securities, Inc.
6.350% due 08/25/2024 1,445 1,437
Chase Credit Card Master Trust
6.777% due 05/15/2007 1,782 1,769
Chase Manhattan Corp
6.750% due 08/25/2028 1,850 1,723
Discover Card Trust
6.792% due 04/16/2010 1,325 1,298
Green Tree Floorplan Receivables Master Trust
6.811% due 11/01/2004 (d) 3,000 3,018
Merrill Lynch Mortgage Investors, Inc.
6.210% due 03/20/2017 982 978
Norwest Asset Securities Corp.
6.750% due 07/25/2028 3,000 2,717
Oakwood Mortgage Investors, Inc.
6.750% due 08/15/2027 969 967
Residential Funding Mortgage Securities, Inc.
6.290% due 07/25/2013 2,730 2,703
SMS Student Loan Trust
6.110% due 10/27/2025 (d) 2,000 1,956
----------
Total Asset-Backed Securities 18,566
(Cost $18,923) ==========
54 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.0%
--------------------------------------------------------------------------------
U.S. Treasury Bond June Futures (CBOT)
Strike @ 90.000 Exp. 05/20/2000 $ 93 $ 4
U.S. Treasury Note June Futures (CBOT)
Strike @ 103.000 Exp. 05/20/2000 456 7
U.S. Treasury Note June Futures (CBOT)
Strike @ 105.000 Exp. 05/20/2000 200 3
----------
Total Purchased Call Options 14
(Cost $102) ==========
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
--------------------------------------------------------------------------------
Eurodollar September Futures (CME)
Strike @ 91.750 Exp. 09/18/2000 890 4
----------
Total Purchased Put Options 4
(Cost $11) ==========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 4.7%
--------------------------------------------------------------------------------
Certificates of Deposit 0.2%
Commerzbank AG
6.200% due 05/10/2000 770 765
----------
Commercial Paper 3.2%
Abbott Laboratories
6.020% due 05/02/2000 11,500 11,444
----------
Repurchase Agreement 1.0%
State Street Bank
5.600% due 04/03/2000 3,486 3,486
(Dated 03/31/2000. Collateralized by ----------
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $3,556
Repurchased proceeds are $3,488.)
U.S. Treasury Bills (f) 0.3%
5.675% due 04/27/2000 982 978
----------
Total Short-Term Instruments 16,673
(Cost $16,673) ----------
Total Investments (a) 177.7% $ 631,400
(Cost $626,636)
Written Options (c) (0.2%) (664)
(Premium $579)
Other Assets and Liabilities (Net) (77.5%) (275,489)
----------
Net Assets 100.0% $ 355,247
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $626,838 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $ 12,298
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value (7,736)
----------
Unrealized appreciation-net $ 4,562
==========
(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 March 31, 2000.
(e) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 98.00 Exp. 05/20/2000 3 $ 1 $ 3
Put - CBOT U.S. Treasury Note June Futures
Strike @ 96.00 Exp. 05/20/2000 17 5 1
Call - OTC U.S. Treasury Note
6.125% due 08/2029
Strike @ 96.06 Exp. 05/12/2000 100 242 627
Put - OTC U.S. Treasury Note
6.125% due 08/2029
Strike @ 96.06 Exp. 05/12/2000 100 242 26
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 100.00 Exp. 05/20/2000 2 1 1
Put - OTC U.S. Treasury Note
5.500% due 08/2028
Strike @ 84.03 Exp. 05/19/2000 100 88 6
----------------
$579 $664
================
(f) Securities with an aggregate market value of $1,809
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Eurodollar March Futures (03/2001) 274 $ (259)
U.S. Treasury 5 Year Note (06/2000) 486 (626)
U.S. Treasury 10 Year Note (06/2000) 421 (1,154)
U.S. Treasury 30 Year Note (06/2000) 149 615
------------
$ (1,424)
============
(g) Swap agreements outstanding at March 31, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.413%
Broker: Goldman Sachs
Exp. 02/17/2005 $ 60,000 $ (387)
Receive fixed rate equal to 0.23% 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 0.65% 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 0.25% and the Fund will
pay to the counterparty at par in the event of default of
Pacific Gas & Electric 6.550% due 12/08/2005.
Broker: J.P. Morgan
Exp. 05/23/2003 3,000 0
----------
$ (387)
==========
See accompanying notes 55
<PAGE>
Schedule of Investments (Cont.)
Long-Term U.S. Government Fund
March 31, 2000
--------------------------------------------------------------------------------
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 $ 114
Broker: Goldman Sachs
Exp. 02/16/2005 1.1120 24,400 265
Broker: Goldman Sachs
Exp. 08/14/2000 1.1500 4,000 8
Broker: Goldman Sachs
Exp. 08/14/2000 1.1500 13,900 28
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 14,500 $ 238
--------
$ 653
========
(h) Securities are grouped by coupon or range of coupons and represent
a range of maturities.
56 See accompanying notes
<PAGE>
Schedule of Investments
Low Duration Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 58.7%
--------------------------------------------------------------------------------
Banking & Finance 31.0%
American General Finance
6.875% due 12/14/2001 $ 25,000 $ 24,765
Aristar, Inc.
7.375% due 09/01/2004 19,000 18,796
Associates Corp. of North America
6.210% due 08/27/2001 (d) 1,000 1,000
6.875% due 06/20/2002 20,000 19,711
6.950% due 08/01/2002 1,000 990
AT&T Capital Corp.
7.500% due 11/15/2000 6,200 6,218
6.310% due 04/23/2002 (d) 10,000 10,028
Banc One Corp.
7.250% due 08/01/2002 500 498
Banco Latinoamericano SA
6.750% due 03/01/2001 1,300 1,284
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 1,800 1,719
BankAmerica Corp.
7.200% due 09/15/2002 100 99
7.875% due 12/01/2002 100 101
Bear Stearns Co., Inc.
6.750% due 08/15/2000 5,000 4,994
6.740% due 06/28/2001 (d) 2,000 2,005
6.510% due 12/16/2002 (d) 21,000 20,999
6.125% due 02/01/2003 3,000 2,885
6.596% due 03/28/2003 (d) 8,600 8,605
6.200% due 03/30/2003 9,700 9,325
6.521% due 06/01/2004 (d) 3,000 3,011
Beneficial Corp.
6.110% due 01/09/2002 (d) 10,000 10,034
6.650% due 09/12/2002 5,000 4,911
6.575% due 12/16/2002 5,440 5,320
Bombardier Capital, Inc.
6.000% due 01/15/2002 10,000 9,724
7.500% due 08/15/2004 1,000 989
Capital One Bank
6.280% due 02/20/2001 6,500 6,444
7.000% due 04/30/2001 300 299
Case Credit Corp.
5.910% due 02/19/2001 4,000 3,949
5.850% due 02/20/2001 (d) 63,000 62,161
5.930% due 02/26/2001 5,000 4,935
6.393% due 08/01/2001 (d) 4,750 4,743
Caterpillar Financial Service Corp.
6.875% due 08/01/2004 1,000 975
Chase Manhattan Corp.
5.560% due 10/13/2000 (d) 7,500 7,512
5.500% due 02/15/2001 1,000 986
Chrysler Financial Co. LLC
5.850% due 01/26/2001 5,000 4,955
6.144% due 08/08/2002 (d) 8,000 8,007
CIT Group, Inc.
6.200% due 10/20/2000 17,300 17,231
5.875% due 06/18/2001 19,400 19,083
Credit Asset Receivable
6.274% due 10/31/2003 37,439 36,592
Export-Import Bank Korea
6.500% due 11/15/2006 6,700 6,385
Finova Capital Corp.
6.450% due 06/01/2000 12,200 12,183
6.270% due 09/29/2000 2,700 2,681
First Security Corp.
7.701% due 06/01/2005 (d) 4,600 4,600
Ford Motor Credit Corp.
6.341% due 03/19/2002 (d) 18,857 18,907
6.300% due 07/16/2002 (d) 100 100
6.520% due 08/12/2002 13,000 12,744
6.330% due 03/17/2003 (d) 3,000 3,000
6.125% due 04/28/2003 14,000 13,494
General Motors Acceptance Corp.
7.125% due 05/01/2001 15,000 14,987
6.211% due 09/19/2001 (d) 5,000 5,009
6.230% due 12/10/2001 (d) 7,400 7,396
6.165% due 04/29/2002 (d) 2,000 2,001
6.199% due 11/12/2002 (d) 17,400 17,367
6.299% due 11/12/2002 (d) 63,520 63,605
5.875% due 01/22/2003 500 480
6.681% due 07/20/2003 (d) 14,934 14,920
6.251% due 04/05/2004 (d) 700 698
Goldman Sachs Group
6.200% due 12/15/2000 1,000 995
Great Western Financial
8.600% due 02/01/2002 4,000 4,049
Heller Financial, Inc.
6.435% due 08/08/2000 2,500 2,496
6.300% due 04/28/2003 (d) 20,000 19,919
Hitachi Credit America
6.100% due 04/24/2001 25,000 24,777
Household Finance Corp.
6.490% due 04/09/2001 20,000 19,856
6.125% due 07/15/2002 10,000 9,726
7.625% due 01/15/2003 10,849 10,837
6.125% due 02/27/2003 1,500 1,437
6.506% due 06/24/2003 (d) 1,500 1,499
Industrial Bank of Korea
8.375% due 09/30/2002 5,000 4,980
Key Bank NA
6.052% due 04/24/2003 12,900 12,425
Korea Development Bank
7.125% due 09/17/2001 11,900 11,767
7.900% due 02/01/2002 1,300 1,296
7.625% due 10/01/2002 18,500 18,244
8.008% due 06/16/2003 (d) 3,500 3,430
6.625% due 11/21/2003 20,300 19,251
7.125% due 04/22/2004 1,800 1,729
7.375% due 09/17/2004 1,200 1,161
Korean Export-Import Bank
6.500% due 02/10/2002 7,200 6,987
7.100% due 03/15/2007 3,200 3,160
Lehman Brothers Holdings, Inc.
6.138% due 06/01/2001 (d) 1,500 1,500
6.904% due 04/02/2002 (d) 2,000 2,012
6.375% due 05/07/2002 28,345 27,667
6.798% due 05/07/2002 (d) 5,000 5,018
6.690% due 12/12/2002 (d) 1,500 1,504
6.690% due 04/04/2003 (d) 7,900 8,016
7.000% due 05/15/2003 3,600 3,531
Marsh & McLennan Co., Inc.
6.625% due 06/15/2004 1,000 967
MBNA America Bank NA
6.000% due 12/26/2000 5,000 4,952
6.875% due 07/15/2004 1,900 1,837
Mercury Finance Co.
10.000% due 03/23/2001 4,400 4,268
Merrill Lynch & Co.
6.250% due 07/25/2000 2,150 2,149
6.298% due 09/25/2000 (d) 2,100 2,102
6.234% due 09/30/2000 (d) 8,558 8,553
6.000% due 01/15/2001 1,336 1,324
6.710% due 11/26/2001 (d) 115,000 114,969
6.140% due 01/15/2002 (d) 5,000 4,954
6.508% due 02/08/2002 (d) 25,000 25,065
6.300% due 02/04/2003 (d) 23,000 22,701
6.130% due 04/07/2003 7,770 7,491
Mexico Credit Link
11.384% due 02/22/2002 (d) 5,000 5,035
Morgan Stanley, Dean Witter, Discover and Co.
6.328% due 03/11/2003 (d) 5,000 4,985
PNC Bank Corp.
6.224% due 01/24/2002 (d) 20,000 19,981
Popular North American, Inc.
6.875% due 06/15/2001 5,000 4,950
7.375% due 09/15/2001 20,000 19,884
See accompanying notes 57
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Popular, Inc.
6.200% due 04/30/2001 $ 1,000 $ 984
Prudential Funding Corp.
6.240% due 10/02/2000 (d) 5,000 5,008
Rothmans Holdings
6.500% due 05/06/2003 14,000 13,327
Salomon, Inc.
7.500% due 02/01/2003 3,000 3,001
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (f)(h) 1,064 1,045
6.279% due 05/14/2002 (d) 25,150 25,113
6.320% due 07/23/2002 (d) 5,100 5,094
Security Pacific Corp.
11.500% due 11/15/2000 3,850 3,953
Seismic Ltd.
10.790% due 01/01/2002 (d) 10,000 10,000
SGE Associates
8.070% due 07/20/2000 3,249 3,250
Spieker Properties
6.650% due 12/15/2000 5,070 5,028
6.800% due 05/01/2004 2,000 1,895
Toyota Motor Credit Corp.
5.707% due 02/15/2002 11,600 11,299
Transamerica Finance Corp.
6.125% due 11/01/2001 5,000 4,895
5.920% due 03/29/2002 52,050 50,423
Travelers Group, Inc.
7.250% due 05/01/2001 3,700 3,700
7.300% due 05/15/2002 15,000 14,964
Wachovia Corp.
6.805% due 05/02/2005 (d) 8,000 8,000
Wells Fargo Co.
6.750% due 05/12/2000 1,000 1,000
6.780% due 05/02/2005 (d) 32,700 32,700
------------
1,236,555
============
Industrials 14.2%
Allied Waste North America, Inc.
7.375% due 01/01/2004 5,000 4,300
AMR Corp.
9.910% due 03/01/2001 2,500 2,555
9.440% due 05/15/2001 5,000 5,094
9.125% due 10/24/2001 1,000 1,019
Boise Cascade Co.
9.850% due 06/15/2002 3,000 3,081
Burlington North Santa Fe
6.050% due 03/15/2001 2,000 1,972
Case Credit Corp.
6.318% due 05/05/2000 (d) 17,750 17,752
Century Communications Corp.
0.000% due 03/15/2003 5,250 3,859
Coastal Corp.
6.569% due 03/06/2002 (d) 32,200 32,200
Container Corp. of America
11.250% due 05/01/2004 7,500 7,650
Crown Cork & Seal
7.125% due 09/01/2002 33,000 32,159
CSX Corp.
9.500% due 08/01/2000 380 382
Delta Air Lines, Inc.
9.875% due 05/15/2000 4,100 4,110
9.800% due 12/16/2000 250 252
8.500% due 09/15/2001 205 207
Dillards, Inc.
6.080% due 08/01/2000 5,000 4,962
Eastman Chemical Co.
6.375% due 01/15/2004 250 237
Electric Lightwave, Inc.
6.050% due 05/15/2004 3,000 2,859
EZ Communication, Inc.
9.750% due 12/01/2005 5,000 5,305
Federal-Mogul Corp.
7.500% due 07/01/2004 28,600 24,828
Ford Motor Co.
9.000% due 09/15/2001 500 511
Fred Meyer, Inc.
7.150% due 03/01/2003 13,500 13,209
Global Crossing Ltd.
6.000% due 10/15/2003 5,000 4,634
Gold Eagle
9.003% due 04/16/2001 20,000 19,976
Grupo Televisa SA
13.250% due 05/15/2008 (i) 5,850 5,777
Hertz Corp.
6.625% due 07/15/2000 100 100
HMH Properties, Inc.
7.875% due 08/01/2005 5,000 4,419
Houghton Mifflin Co.
6.501% due 12/01/2000 (d) 18,000 17,992
IBM Corp.
6.375% due 06/15/2000 100 100
IMEXSA Export Trust
10.125% due 05/31/2003 8,286 8,086
International Paper Co.
6.875% due 07/10/2000 6,000 5,988
ISP Holdings, Inc.
9.750% due 02/15/2002 3,000 2,858
J Seagram & Sons
6.250% due 12/15/2001 52,000 50,750
Levi Strauss & Co.
6.800% due 11/01/2003 2,500 1,650
Lockheed Martin Corp.
6.850% due 05/15/2001 5,300 5,232
Nabisco, Inc.
6.000% due 02/15/2001 (d) 21,000 20,700
6.700% due 06/15/2002 21,100 20,590
NL Industries, Inc.
11.750% due 10/15/2003 3,000 3,109
Noranda, Inc.
6.820% due 08/18/2000 (d) 1,000 1,002
Norfolk Southern Corp.
6.700% due 05/01/2000 2,500 2,499
Occidental Petroleum
6.400% due 04/01/2003 15,945 15,200
Owens-Illinois, Inc.
7.850% due 05/15/2004 15,000 14,416
Petroleos Mexicanos
8.402% due 07/15/2005 (d) 15,173 14,984
9.375% due 12/02/2008 5,500 5,651
Philip Morris Cos., Inc.
9.000% due 01/01/2001 7,000 7,060
7.500% due 01/15/2002 200 196
7.250% due 01/15/2003 4,050 3,894
R & B Falcon Corp.
6.500% due 04/15/2003 11,000 9,955
Rollins Truck Leasing Co.
8.000% due 02/15/2003 3,000 3,036
Starwood Hotel & Resorts
6.750% due 11/15/2005 2,000 1,793
Stone Container Corp.
10.750% due 10/01/2002 11,080 11,232
9.500% due 10/01/2003 2,363 2,362
Supervalu, Inc.
9.750% due 06/15/2004 10,500 11,025
TCI Communications, Inc.
6.850% due 03/11/2003 (d) 3,000 3,066
Tenet Healthcare Corp.
7.875% due 01/15/2003 4,300 4,139
8.625% due 12/01/2003 9,700 9,510
Time Warner, Inc.
7.975% due 08/15/2004 1,200 1,223
8.110% due 08/15/2006 2,400 2,465
Union Oil Co. of California
9.100% due 08/15/2001 3,350 3,431
Union Pacific Corp.
7.000% due 06/15/2000 1,000 999
Waste Management, Inc.
6.500% due 05/14/2004 45,000 40,257
58 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Whitman Corp.
6.250% due 05/01/2000 $ 3,000 $ 3,000
6.000% due 05/01/2004 6,500 6,161
Williams Communications Group, Inc.
6.540% due 11/15/2001 6,200 6,200
Xerox Corp.
5.875% due 06/01/2000 3,000 2,995
Yorkshire Power
6.154% due 02/25/2003 40,000 38,136
---------
566,351
=========
Utilities 13.5%
Arkansas Power & Light
6.000% due 10/01/2003 450 427
Beaver Valley Funding Corp.
8.250% due 06/01/2003 3,410 3,385
Burlington Resources
9.625% due 06/15/2000 13,900 13,957
Calpine Corp.
9.250% due 02/01/2004 2,960 2,982
7.625% due 04/15/2006 6,000 5,674
Cinergy Corp.
6.125% due 04/15/2004 13,000 12,228
Cleveland Electric Illuminating Co.
8.550% due 11/15/2001 2,075 2,109
7.850% due 07/30/2002 3,500 3,496
9.500% due 05/15/2005 2,000 2,031
CMS Energy
8.125% due 05/15/2002 2,700 2,662
7.625% due 11/15/2004 14,500 13,472
Connecticut Light & Power Co.
7.875% due 06/01/2001 500 500
7.750% due 06/01/2002 21,500 21,456
8.590% due 06/05/2003 10,000 9,677
Conoco, Inc.
5.900% due 04/15/2004 3,100 2,951
Cox Enterprises, Inc.
6.625% due 06/14/2002 3,000 2,923
Entergy Mississippi
7.750% due 02/15/2003 35,000 35,067
Flag Ltd.
8.250% due 01/30/2008 2,000 1,750
Hughes Electric
7.451% due 10/23/2000 28,500 28,474
Illinois Power Co.
6.250% due 07/15/2002 10,000 9,717
6.000% due 09/15/2003 12,500 11,869
Louisiana Power & Light Co.
7.740% due 07/01/2002 3,308 3,290
MCI Worldcom, Inc.
6.270% due 08/17/2000 (d) 100,000 100,017
8.875% due 01/15/2006 45,170 47,068
New Century Energies, Inc.
5.860% due 05/30/2000 12,100 12,075
Niagara Mohawk Power
7.000% due 10/01/2000 20,717 20,678
7.125% due 07/01/2001 1,512 1,492
7.250% due 10/01/2002 16,634 16,432
Noram Energy
7.500% due 08/01/2000 12,300 12,309
North Atlantic Energy
9.050% due 06/01/2002 4,066 4,029
Occidental Petroleum
6.240% due 11/24/2000 5,000 4,954
Ohio Edison
6.375% due 04/01/2000 1,900 1,900
Public Service Enterprise Group, Inc.
6.330% due 11/22/2000 (d) 10,000 10,000
Southwestern Bell Communication Capital Corp.
6.125% due 03/12/2001 2,000 1,983
Texas New Mexico Power
9.250% due 09/15/2000 1,599 1,609
Texas Utilities Co.
6.735% due 04/20/2000 (d) 10,000 10,005
5.940% due 10/15/2001 13,155 12,897
6.750% due 04/01/2003 3,875 3,796
6.875% due 08/01/2005 2,000 1,948
U.S. West Communications, Inc.
5.650% due 11/01/2004 9,250 8,618
United Illuminating Co.
6.000% due 12/15/2003 13,000 12,133
Western Massachusetts Electric
7.375% due 07/01/2001 5,250 5,225
7.750% due 12/01/2002 10,300 10,392
Western Resources, Inc.
6.250% due 08/15/2003 5,450 4,692
WorldCom, Inc.
6.125% due 08/15/2001 45,000 44,443
---------
538,792
---------
Total Corporate Bonds & Notes 2,341,698
(Cost $2,376,563) =========
MUNICIPAL BONDS & NOTES 0.3%
New York 0.3%
New York City Refunding Bonds, Series 1998 B
5.900% due 08/01/2000 13,000 12,952
---------
Total Municipal Bonds & Notes 12,952
(Cost $12,999) =========
U.S. GOVERNMENT AGENCIES 2.3%
Small Business Administration
7.000% due 01/25/2013 (d) 261 263
7.250% due 02/25/2014 (d) 813 848
Student Loan Marketing Assn
5.129% due 06/30/2000 (d) 46,000 45,994
5.909% due 04/25/2006 (d) 9,146 9,112
6.565% due 04/25/2007 (d) 34,828 34,657
---------
Total U.S. Government Agencies 90,874
(Cost $91,013) =========
U.S. TREASURY OBLIGATIONS 11.0%
Treasury Inflation Protected Securities (h)(j)
3.625% due 07/15/2002 147,248 146,834
3.375% due 01/15/2007 37,052 35,674
3.625% due 01/15/2008 120,599 117,433
3.875% due 01/15/2009 96,584 95,587
4.250% due 01/15/2010 30,079 30,680
U.S. Treasury Notes
5.125% due 08/31/2000 (b) 11,575 11,524
---------
Total U.S. Treasury Obligations 437,732
(Cost $436,866) =========
MORTGAGE-BACKED SECURITIES 29.8%
Collateralized Mortgage Obligations 11.0%
Cendant Mortgage Corp.
6.500% due 09/18/2029 572 563
Chase Commercial Mortgage Securities Corp.
7.600% due 12/18/2005 190 191
6.900% due 09/19/2006 135 131
Chase Mortgage Finance Corp.
10.000% due 11/25/2009 199 201
6.500% due 06/25/2013 6,952 6,771
6.203% due 04/25/2025 (d) 3,779 3,841
6.750% due 07/25/2028 11,250 10,595
6.350% due 07/25/2029 5,000 4,887
CMC Securities Corp. IV
7.250% due 10/25/2027 12,141 11,806
Collateralized Mortgage Obligation Trust
6.375% due 01/20/2003 (d) 6 6
Commercial Mortgage Acceptance Corp.
6.790% due 08/15/2008 1,249 1,214
Commercial Trust
6.670% due 12/15/2003 4,313 4,067
See accompanying notes 59
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Countrywide Funding Corp.
5.875% due 01/25/2035 (d) $ 3,496 $ 3,467
Countrywide Home Loans
6.250% due 07/25/2009 822 816
6.900% due 12/25/2027 18,168 17,531
Criimi Mae Financial Corp.
7.000% due 01/01/2033 8,509 8,326
CS First Boston Mortgage Securities Corp.
6.400% due 02/17/2004 143 140
6.520% due 07/17/2007 145 139
Dime Savings
6.689% due 11/01/2018 (d) 1,685 1,527
DLJ Mortgage Acceptance Corp.
11.000% due 08/01/2019 777 851
8.154% due 05/25/2024 (d) 1,159 1,183
6.375% due 06/25/2026 (d) 11,419 11,067
6.850% due 12/17/2027 165 163
Enterprise Mortgage Acceptance Co.
6.110% due 07/15/2003 120 117
Federal Home Loan Mortgage Corp.
6.000% due 07/15/2006 2,296 2,275
6.500% due 08/15/2006 3,000 2,982
10.000% due 09/15/2009 3 3
6.500% due 08/15/2011 19,609 18,982
6.375% due 08/15/2011 1,231 1,229
12.500% due 09/30/2013 544 565
6.250% due 07/15/2014 471 470
10.000% due 07/15/2019 257 268
9.000% due 11/15/2019 620 626
10.000% due 05/15/2020 180 188
7.500% due 12/15/2020 1,219 1,220
9.000% due 12/15/2020 3,131 3,225
9.500% due 01/15/2021 1,064 1,101
8.000% due 04/15/2021 1,225 1,240
9.000% due 05/15/2021 214 220
7.500% due 01/20/2024 5,983 5,977
Federal Home Loan Mortgage Corporation
9.500% due 03/01/2010 30 31
9.500% due 08/01/2016 7 7
10.000% due 11/01/2016 21 22
9.500% due 06/01/2019 20 22
9.500% due 07/01/2020 10 10
9.500% due 08/01/2020 32 34
9.500% due 09/01/2021 37 39
Federal National Mortgage Assn.
8.950% due 05/25/2003 32 32
9.400% due 07/25/2003 59 60
9.000% due 07/25/2003 248 251
6.875% due 06/25/2009 1,603 1,591
7.000% due 09/25/2016 10,368 10,174
8.750% due 05/25/2019 33 33
9.500% due 03/25/2020 3,502 3,784
9.500% due 05/25/2020 1,450 1,510
9.000% due 03/25/2021 3,599 3,680
9.000% due 04/25/2021 122 126
8.000% due 03/25/2022 38 38
5.000% due 01/25/2024 113 111
8.500% due 04/01/2025 3,146 3,210
6.502% due 02/01/2028 (d) 7,231 7,511
First Plus Home Loan Trust
6.060% due 09/10/2011 411 410
General Electric Capital Mortgage Services, Inc.
6.750% due 12/25/2012 3,041 2,995
6.500% due 02/25/2024 4 4
German American Capital Corp.
7.000% due 08/12/2010 6,800 6,666
Glendale Federal Savings & Loan
7.399% due 03/25/2030 (d) 1,169 1,177
Greenwich
8.869% due 11/25/2024 (d) 302 303
Independent National Mortgage Corp.
8.432% due 11/25/2024 (d) 521 525
J.P. Morgan Commercial Mortgage Finance Corp.
7.069% due 09/15/2029 185 182
6.373% due 01/15/2030 129 125
LB Commercial Conduit Mortgage Trust
6.330% due 11/18/2004 129 125
Lehman Large Loan
6.790% due 06/12/2004 160 158
Mellon Residential Funding Corp.
6.400% due 06/26/2028 2,661 2,534
6.580% due 07/25/2029 17,411 17,228
Morgan Stanley Capital
6.860% due 07/15/2005 130 127
7.227% due 01/16/2006 230 230
7.460% due 02/15/2020 8,100 8,105
6.220% due 06/03/2030 216 208
Mortgage Capital Funding, Inc.
6.325% due 10/18/2007 22,202 21,306
Nomura Asset Securities Corp.
6.625% due 01/25/2009 872 867
Norwest Asset Securities Corp.
6.500% due 01/25/2029 6,000 5,627
PNC Mortgage Securities Corp.
6.500% due 02/25/2028 8,508 8,441
6.750% due 05/25/2028 5,241 5,117
Prudential Bache
6.151% due 09/01/2018 (d) 24 23
8.400% due 03/20/2021 3,726 3,761
Prudential Home Mortgage Securities
7.500% due 10/25/2007 878 873
7.000% due 01/25/2008 10,000 9,787
6.750% due 11/25/2008 4,941 4,679
7.000% due 06/25/2023 3,014 2,968
6.050% due 04/25/2024 159 157
6.000% due 05/25/2024 9 9
Resecuritization Mortgage Trust
6.069% due 04/26/2021 (d) 12,290 11,952
Residential Accredit Loans, Inc.
6.500% due 02/25/2029 26,470 24,889
7.000% due 07/25/2029 585 565
Residential Asset Securitization Trust
6.500% due 09/25/2014 478 456
Residential Funding Mortgage Securities, Inc.
6.500% due 06/25/2008 646 643
6.500% due 04/25/2009 33 32
5.532% due 07/01/2019 (d) 837 799
7.100% due 07/25/2027 4,220 4,174
7.000% due 10/25/2027 10,000 9,331
7.250% due 10/25/2027 9,153 18,991
6.250% due 11/25/2028 6,000 5,354
Resolution Trust Corp.
6.059% due 10/25/2021 481 446
8.625% due 10/25/2021 11,603 11,561
6.946% due 10/25/2021 (d) 88 87
6.900% due 02/25/2027 3,821 3,481
9.000% due 09/25/2028 149 150
7.290% due 10/25/2028 (d) 96 96
Ryland Acceptance Corp.
8.000% due 03/01/2018 2,041 2,016
Ryland Mortgage Securities Corp.
6.668% due 11/25/2021 1,034 1,015
Salomon Brothers Mortgage Securities
6.988% due 12/25/2017 (d) 1,653 1,647
8.354% due 03/25/2024 (d) 1,227 1,258
Securitized Asset Sales, Inc.
6.750% due 08/25/2025 106 106
Shearson Lehman
9.600% due 03/25/2021 310 309
Structured Asset Mortgage Investments, Inc.
6.905% due 06/25/2028 (d) 6,859 6,598
6.585% due 06/25/2029 (d) 31,842 31,570
9.040% due 06/25/2029 8,885 9,162
6.750% due 05/02/2030 4,822 4,672
TMA Mortgage Funding Trust
6.259% due 01/25/2029 13,351 13,351
Union Planters Mortgage Finance Corp.
6.450% due 01/25/2028 6,000 5,887
---------
437,762
=========
60 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation 1.5%
4.750% due 06/01/2001 $ 5 $ 5
5.750% due 01/15/2008 5,255 5,172
6.000% due 09/01/2006-03/01/2017 (d)(g) 10,257 9,848
6.500% due 02/01/2005-10/01/2028 (g) 1,375 1,348
6.750% due 06/15/2019 5,650 5,622
6.783% due 02/01/2020 (d) 2,319 2,367
6.878% due 07/01/2018 (d) 287 293
6.882% due 10/01/2027 (d) 1,221 1,213
7.000% due 01/01/2017 (d) 46 46
7.166% due 12/01/2022 (d) 675 697
7.324% due 10/01/2023 (d) 1,186 1,219
7.336% due 09/01/2023 (d) 262 270
7.342% due 06/01/2024 (d) 715 738
7.375% due 11/01/2022 (d) 1,684 1,721
7.439% due 11/01/2023 (d) 685 704
7.498% due 01/01/2024 (d) 2,151 2,208
7.500% due 09/01/2006 85 84
7.818% due 01/01/2024 (d) 974 1,003
7.842% due 03/01/2024 (d) 75 77
8.000% due 07/01/2006-12/01/2024 (g) 5,406 5,440
8.250% due 10/01/2007-11/01/2007 (g) 28 28
8.500% due 07/01/2001-11/01/2025 (g) 13,625 13,921
8.750% due 02/01/2001-04/01/2002 (g) 28 28
9.000% due 05/01/2002-08/01/2022 3,353 3,458
9.250% due 07/01/2001 2 2
9.500% due 03/01/2001-02/01/2025 (g) 282 293
9.750% due 03/01/2001-11/01/2008 (g) 672 693
10.000% due 04/01/2001-10/01/2019 (g) 92 98
10.500% due 07/01/2000-02/01/2016 (g) 43 44
10.750% due 10/01/2000-08/01/2011 (g) 353 379
11.500% due 10/01/2015-01/01/2016 (g) 47 51
11.750% due 11/01/2010-08/01/2015 (g) 13 14
12.000% due 09/01/2013 2 2
14.000% due 09/01/2012-04/01/2016 (g) 11 13
14.500% due 12/01/2010 3 4
15.000% due 08/01/2011-12/01/2011 (g) 4 4
15.500% due 11/01/2011 0 1
16.000% due 04/01/2012 0 0
---------
59,108
=========
Federal Housing Administration 1.1%
6.950% due 04/01/2014 2,121 1,889
7.400% due 02/01/2019 94 93
7.421% due 11/01/2019 529 528
7.430% due 10/01/2019-07/01/2024 (g) 42,344 42,091
---------
44,601
=========
Federal National Mortgage Association 1.1%
6.000% due 05/01/2011-12/25/2020 (g) 238 231
6.055% due 04/01/2018 (d) 6,560 6,322
6.115% due 01/01/2021 (d) 432 433
6.314% due 09/01/2006 19,729 18,750
6.500% due 06/01/2008 15 14
6.573% due 11/01/2017 (d) 349 351
6.725% due 04/25/2022 (d) 208 208
7.000% due 04/01/2002-05/01/2012 (g) 352 345
7.001% due 11/01/2018 (d) 159 161
7.091% due 07/01/2017 (d) 556 570
7.376% due 04/01/2024 (d) 2,231 2,290
7.805% due 01/01/2024 (d) 2,339 2,382
7.896% due 01/01/2024 (d) 49 50
8.000% due 03/01/2004 75 75
8.004% due 10/01/2024 (d) 4,128 4,319
8.146% due 07/01/2023 (d) 1,493 1,550
8.500% due 03/01/2008-01/01/2026 (g) 730 746
9.000% due 01/01/2025 4 4
9.500% due 07/01/2024-11/01/2025 (g) 4,144 4,363
10.000% due 02/01/2004-01/01/2025 (g) 1,302 1,369
10.500% due 06/01/2005-12/01/2024 (g) 222 233
11.000% due 09/01/2000-11/01/2020 (g) 55 60
11.250% due 12/01/2010-10/01/2015 (g) 150 163
11.500% due 12/01/2008-02/01/2020 (g) 74 81
11.750% due 02/01/2016 37 40
12.000% due 01/01/2015-10/01/2015 (g) 6 6
12.750% due 03/01/2014 26 29
13.000% due 07/01/2015 8 9
13.250% due 09/01/2011 15 17
13.500% due 04/01/2014 3 4
14.500% due 08/01/2014 40 45
15.500% due 10/01/2012-12/01/2012 (g) 61 70
15.750% due 12/01/2011 29 34
16.000% due 09/01/2012-12/01/2012 (g) 13 16
---------
45,340
=========
Government National Mortgage Association 13.8%
6.375% due 04/20/2016-06/20/2027 (d)(g) 47,594 47,981
6.500% due 05/15/2023-10/15/2023 (d)(g) 567 540
6.750% due 08/20/2022-07/20/2027 (d)(g) 84,570 84,980
7.000% due 03/15/2011-04/19/2030 (g) 8,828 8,586
7.125% due 10/20/2023-12/20/2027 (d)(g) 60,783 61,608
7.500% due 02/15/2022-05/22/2030 (g) 93,291 92,587
8.000% due 07/15/2004-04/19/2030 (g) 250,617 253,675
8.500% due 04/15/2022-03/20/2027 (g) 1,108 1,133
9.000% due 03/15/2017 14 15
9.500% due 10/15/2016-06/15/2025 (g) 125 132
9.750% due 07/15/2013-02/15/2020 (g) 697 732
10.000% due 10/15/2013-11/15/2025 (g) 149 158
10.500% due 11/15/2019-02/15/2021 (g) 18 20
11.000% due 09/15/2010 9 10
11.250% due 10/15/2000 1 1
11.500% due 08/15/2018 41 45
11.750% due 08/15/2013-08/15/2015 (g) 56 62
12.000% due 06/20/2015 11 13
12.250% due 01/15/2014-03/15/2014 (g) 101 112
13.000% due 10/15/2013 6 7
13.500% due 05/15/2011-11/15/2012 (g) 24 27
16.000% due 12/15/2011-04/15/2012 (g) 34 41
---------
552,465
=========
Mortgage-Backed Securities 0.5%
Government National Mortgage Association
7.000% due 12/20/2022 18,800 18,685
---------
Other Mortgage-Backed Securities 0.4%
First Boston Mortgage Securities Corp.
8.300% due 08/20/2009 41 41
Glendale Federal Savings & Loan
11.000% due 03/01/2010 16 17
Home Savings of America
5.722% due 05/25/2027 (d) 1,302 1,236
Imperial Savings & Loan
8.847% due 07/25/2017 (d) 35 35
9.900% due 02/25/2018 403 410
Resolution Trust Corp.
6.352% due 05/25/2019 (d) 3,478 3,467
6.860% due 08/25/2019 (d) 3,247 3,248
10.285% due 08/25/2021 (d) 466 464
5.746% due 10/25/2028 (d) 1,958 1,969
6.944% due 05/25/2029 (d) 2,330 2,303
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 418 419
7.688% due 12/25/2017 (d) 156 155
Sears Mortgage
12.000% due 02/25/2014 74 74
7.431% due 10/25/2022 (d) 2,050 2,073
Western Federal Savings & Loan
6.523% due 11/25/2018 (d) 5 5
---------
15,916
=========
See accompanying notes 61
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Stripped Mortgage-Backed Securities 0.4%
Federal Home Loan Mortgage Corp. (IO)
6.000% due 02/15/2006 $ 705 $ 19
9.982% due 07/15/2006 12 89
10.195% due 08/15/2006 6 45
11.944% due 12/15/2006 13 117
6.000% due 10/15/2007 702 29
6.000% due 02/15/2008 2,392 113
7.000% due 08/15/2018 6,948 599
7.000% due 04/15/2019 790 23
6.500% due 05/15/2019 5,640 368
6.500% due 06/15/2019 3,629 195
10.496% due 04/15/2021 15 213
6.500% due 04/15/2022 3,506 352
7.000% due 05/15/2023 393 52
4.000% due 01/15/2024 20,919 4,454
Federal National Mortgage Association (IO)
6.000% due 07/25/2005 287 2
7.272% due 09/25/2006 45 318
6.000% due 02/25/2008 3,184 173
256.000% due 11/01/2008 25 132
6.500% due 03/25/2009 (d) 25,455 1,062
6.503% due 07/25/2017 2,355 2,295
7.500% due 03/25/2019 2,521 234
6.500% due 05/25/2019 10,000 904
6.500% due 04/25/2020 9,414 583
7.000% due 05/25/2021 5,323 431
8.598% due 02/25/2022 23 355
6.500% due 03/25/2023 4,212 465
4.875% due 03/25/2024 (d) 7,047 278
Federal National Mortgage Association (PO)
0.000% due 09/25/2022 30 25
Prudential Home Mortgage Securities (IO)
0.300% due 04/25/2009 (d) 54,383 353
Resolution Trust Corp. (PO)
0.000% due 09/25/2000 231 230
---------
14,508
---------
Total Mortgage-Backed Securities 1,188,385
(Cost $1,202,752) =========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 5.6%
--------------------------------------------------------------------------------
Allied Waste Industries, Inc.
8.938% due 07/30/2006 4,909 4,457
Allied Waste North America, Inc.
8.938% due 07/30/2006 (d) 8,727 7,923
9.125% due 07/30/2007 (d) 12,545 11,389
9.188% due 07/30/2007 (d) 3,818 3,466
Amresco Residential Securities Mortgage Loan Trust
6.315% due 07/25/2027 (d) 2,593 2,591
AT&T Universal Card Master Trust
5.950% due 10/17/2002 4,000 3,986
Bay View Financial Revolving
7.179% due 08/25/2029 (d) 6,900 6,785
Bombardier Capital Mortgage
6.605% due 09/15/2010 10,330 10,261
Capital Asset Research Funding LP
6.400% due 12/15/2004 79 77
Citicorp Mortgage Securities, Inc.
6.750% due 05/25/2028 6,266 5,833
CMC Securities Corp. IV
7.250% due 11/25/2027 8,789 8,522
Columbia/HCA Healthcare
6.125% due 12/15/2000 200 197
Community Program Loan Trust
4.500% due 10/01/2018 16,692 14,814
Duck Auto Grantor Trust
5.650% due 03/15/2004 10,092 9,938
Empire Funding Home Loan Owner Trust
6.590% due 05/25/2014 15,691 15,582
Federal-Mogul Corp.
7.940% due 12/31/2005 (d) 3,000 2,973
7.890% due 12/31/2005 (d) 1,986 1,968
GF Funding Corp.
6.890% due 09/30/2002 24,580 24,287
Green Tree Home Improvement Loan
6.320% due 08/15/2008 13,927 13,893
IMC Home Equity Loan Trust
6.286% due 10/20/2027 (d) 5,685 5,688
Lyondell Petroleum
9.613% due 12/31/2003 (d) 4,962 5,002
Merit Securities Corp.
7.040% due 01/28/2030 28,587 28,426
New York City Tax Lien
6.350% due 07/10/2007 10,045 9,920
Oakwood Mortgage Investors, Inc.
6.950% due 08/15/2027 5,500 5,435
Premiet Auto Trust
5.560% due 04/08/2001 1,028 1,028
Primedia, Inc.
8.740% due 07/31/2004 (d) 13,000 12,909
Prudential Home Mortgage Security
7.000% due 08/25/2009 4,000 3,967
Saxon Asset Securities Trust
7.205% due 01/25/2019 275 273
Stone Container Corp.
9.688% due 10/01/2003 (d) 2,363 2,362
---------
Total Asset-Backed Securities 223,952
(Cost $228,952) =========
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 3.3%
--------------------------------------------------------------------------------
Central Bank Philippines
6.500% due 06/01/2008 (d) 3,180 3,053
Government of Brazil
7.000% due 01/01/2001 (d) 4,182 4,167
Hydro Quebec
9.000% due 03/07/2001 10,000 10,175
Nacional Financiera
10.625% due 11/22/2001 7,500 7,759
Pemex Finance Limited
6.125% due 11/15/2003 15,000 14,559
Province of Quebec
6.006% due 10/25/2001 (d) 250 249
Republic of Argentina
11.786% due 04/10/2005 (d) 9,000 8,438
Republic of Korea
8.594% due 04/08/2000 (d) 5,440 5,460
Republic of Philippines
6.938% due 01/05/2005 (d) 2,000 1,992
6.875% due 12/01/2009 (d) 16,160 15,271
United Mexican States
6.930% due 04/07/2000 (d) 9,206 9,229
5.820% due 06/28/2001 10,500 10,235
7.439% due 06/27/2002 (d) 6,200 6,112
7.493% due 06/27/2002 (d) 19,400 19,469
9.780% due 04/07/2004 (d) 15,000 15,357
---------
Total Sovereign Issues 131,525
(Cost $130,173) =========
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.3%
--------------------------------------------------------------------------------
Korea Development Bank
3.610% due 05/14/2001 (d) DM 340 164
2.700% due 08/16/2002 JY 2,000,000 20,041
Republic of Colombia
7.000% due 03/06/2002 IL 36,220,000 17,511
United Mexican States
6.000% due 03/28/2002 JY 960,000 9,991
8.750% due 05/30/2002 BP 3,000 4,825
---------
Total Foreign Currency-Denominated Issues 52,532
(Cost $52,788) =========
62 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.0%
--------------------------------------------------------------------------------
Utilities 0.0%
Alliant Energy Resources Cvt. Pfd.
7.250% due 01/02/2000 $ 2,000 $ 163
---------
Total Convertible Bonds & Notes 163
(Cost $136) =========
--------------------------------------------------------------------------------
PREFERRED STOCK 1.9%
--------------------------------------------------------------------------------
Shares
Home Ownership Funding
133.310% due 01/02/2000 3,000 2,394
Rhone-Poulenc SA
2.031% due 01/02/2000 13,000 263
SI Financing Trust
2.375% due 01/02/2000 806,600 20,467
TCI Communications, Inc.
2.500% due 01/02/2000 800,300 20,408
2.430% due 01/02/2000 224,700 5,800
2.180% due 01/02/2000 1,170,100 28,594
---------
Total Preferred Stock 77,926
(Cost $83,777) =========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 3.1%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 2.3%
Bank One Corp.
6.110% due 06/05/2000 $ 9,200 9,098
Conoco, Inc.
6.250% due 04/07/2000 2,600 2,599
Cox Communication
6.260% due 04/10/2000 3,600 3,596
Ei Du Pont De Nemoirs
6.060% due 06/08/2000 2,100 2,076
Federal Home Loan Mortgage Corp.
5.990% due 05/23/2000 11,100 11,008
6.020% due 06/29/2000 600 591
Federal National Mortgage Association
5.940% due 06/01/2000 11,900 11,776
Finova Capital Corp.
6.100% due 06/08/2000 13,000 12,855
General Motors Acceptance Corp.
6.080% due 05/30/2000 500 495
National Rural Utilities
6.080% due 06/14/2000 11,500 11,354
Norfolk Southern Corp.
6.290% due 05/25/2000 3,000 2,973
Oesterreich Kontrollbank
6.030% due 06/02/2000 400 396
Xerox Credit Corp.
6.000% due 06/01/2000 1,600 1,584
6.090% due 06/06/2000 21,500 21,267
---------
91,668
=========
Repurchase Agreement 0.8%
State Street Bank
(Dated 03/31/2000. Collateralized by 20,384 20,384
Federal Home Loan Mortgage Corporation
5.750% due 05/15/2001 valued at $20,793.
Repurchase proceeds are $20,394.)
Daiwa Securities
(Dated 03/31/2000. Collateralized by U.S. Treasury 10,000 10,000
Note 5.125% due 8/31/2000 valued at $10,213.
Repurchase proceeds are $10,005.) ---------
30,384
=========
U.S. Treasury Bills (b) 0.0%
5.700% due 04/27/2000 500 498
---------
Total Short-Term Instruments 122,550
(Cost $122,569) =========
Total Investments (a) 117.3% 4,680,289
(Cost $4,738,588)
Written Options (c) (0.1%) (5,042)
(Premiums $3,873)
Other Assets and Liabilities (Net) (17.2%) (684,919)
-----------
Net Assets 100.0% $ 3,990,328
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $4,743,106 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 9,955
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (72,772)
-----------
Unrealized depreciation-net $ (62,817)
===========
(b) Securities with an aggregate market value of $12,022
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 2000:
<TABLE>
<CAPTION>
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
-------------------------------------------------------------------------------------------
<S> <C> <C>
Eurodollar March Futures (03/2001) 743 $ (422)
U.S. Treasury 5 Year Note (06/2000) 1,845 (2,094)
U.S. Treasury 10 Year Note (06/2000) 24 66
United Kingdom 90 Day LIBOR Futures (09/2000) 750 580
--------------
$ (1,870)
==============
</TABLE>
(c) Premiums received on written options:
<TABLE>
<CAPTION>
# of Premium Value
Type Contracts (000s) (000s)
-------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.93 Exp. 04/19/2000 200,000,000 $ 367 $ 344
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 1,875 1,936 1,617
Put - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 341 343 512
Put - CME Eurodollar March Futures
Strike @ 93.50 Exp. 03/19/2001 341 440 673
Put - CME Eurodollar December Futures
Strike @ 93.50 Exp. 12/18/2000 960 787 1,896
------------------------
$ 3,873 $ 5,042
=========================
</TABLE>
(d) Variable rate security. The rate listed is as of March 31, 2000.
(e) Foreign forward currency contracts outstanding at March 31, 2000.
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell BP 3,283 04/2000 $ (58)
Sell EC 18,911 04/2000 281
Buy JY 581,184 04/2000 149
Sell 581,184 04/2000 (196)
Sell 3,699,407 05/2000 (917)
Buy 604,235 05/2000 221
Buy PZ 20,000 02/2001 149
------------
$ (371)
============
</TABLE>
See accompanying notes 63
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 2000
--------------------------------------------------------------------------------
(f) Principal amount denoted in indicated currency:
BP - British Pound
DM - German Mark
EC - Euro
JY - Japanese Yen
PZ - Polish Zloty
(g) Securities are grouped together by coupon or range of coupons and represent
a range of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Restricted security.
(j) Subject to financing transaction.
(k) Swap agreements outstanding at March 31, 2000:
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
---------------------------------------------------------------------------------
<S> <C> <C>
Receive floating rate based on 6 months LIBOR and pay
floating rate based on 6 months LIBOR plus 5.700%.
In the event of default of Republic of Argentina
Floating
Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/28/2001 $ 1,500 $ (69)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 6.150%.
In the event of default of Republic of Argentina
Floating
Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 2,000 (107)
Receive fixed rate equal to 0.47% and the Fund
will pay to the counterparty at par in the
event of default of Enron Corp. 6.450% due 11/15/2001.
Broker: Goldman Sachs
Exp. 08/31/2000 49,000 2
Receive fixed rate equal to 0.43% 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 0.51% 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 0.23% 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 fixed rate equal to 0.34% 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: J.P. Morgan
Exp. 07/31/2000 22,000 1
------------
$ (171)
============
</TABLE>
<TABLE>
<CAPTION>
Fixed
Spread Notional Unrealized
Type (%) Amount Appreciation
--------------------------------------------------------------------------------------------
<S> <C> <C> <C>
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.
</TABLE>
Broker: Goldman Sachs
<TABLE>
<S> <C> <C> <C>
Exp. 02/15/2005 1.085 $ 33,000 $ 397
</TABLE>
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.
<TABLE>
<S> <C> <C> <C>
Broker: Goldman Sachs
Exp. 02/15/2005 0.8675 49,000 802
------------
$ 1,199
============
</TABLE>
(l) Reverse repurchase agreements were entered into March 24, 2000 paying
interest at 6.02%. The following securities were segregated with collateral for
reverse repurchase agreements.
<TABLE>
<CAPTION>
Type Maturity Value
-------------------------------------------------------------------------------------------
<S> <C> <C>
Government National Mortgage Assn. 7.125% 12/20/2023 $ 33,450
</TABLE>
64 See accompanying notes
<PAGE>
Schedule of Investments
Money Market Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 122.1%
-------------------------------------------------------------------------------
Commercial Paper 113.5%
Abbott Laboratories
6.020% due 05/02/2000 $ 10,900 $ 10,847
Alcoa, Inc.
5.800% due 04/24/2000 20,000 19,932
5.880% due 05/16/2000 5,000 4,965
Associates First Capital Corp.
6.090% due 06/29/2000 5,600 5,518
AT & T Corp.
5.930% due 04/10/2000 17,700 17,680
Bank One Corp.
5.920% due 06/14/2000 25,000 24,704
Bellsouth Telecom
5.820% due 04/03/2000 5,000 5,000
5.820% due 04/05/2000 5,000 4,998
British Telecom
5.820% due 04/13/2000 1,500 1,498
CBA (de) Finance
5.830% due 04/03/2000 1,700 1,700
5.860% due 04/03/2000 4,500 4,500
CDC
5.840% due 04/25/2000 2,500 24,911
Coca-Cola Co.
5.920% due 05/15/2000 8,000 7,945
DaimlerChrysler AG
5.820% due 04/19/2000 11,800 11,769
6.100% due 06/29/2000 10,000 9,853
E.I. Du Pont de Nemours
5.820% due 04/20/2000 23,100 23,037
6.070% due 05/22/2000 1,900 1,884
Eastman Kodak Co.
5.860% due 05/18/2000 20,500 20,350
Electricite De France
5.800% due 04/07/2000 3,800 3,798
Federal Home Loan Mortgage Corp.
5.990% due 05/23/2000 51,800 51,369
5.940% due 06/15/2000 8,900 8,793
5.950% due 06/15/2000 2,100 2,075
6.020% due 06/29/2000 75,400 74,303
Florida Power Corp.
5.830% due 04/04/2000 11,500 11,498
General Electric Capital Corp.
5.930% due 05/19/2000 3,500 3,473
General Motors Acceptance Corp.
5.840% due 04/19/2000 3,600 3,591
5.890% due 05/16/2000 20,400 20,256
Goldman Sachs Group
5.840% due 04/18/2000 4,800 4,788
Honeywell, Inc.
6.000% due 04/26/2000 8,800 8,766
IBM Credit Corp.
5.950% due 05/03/2000 23,000 22,886
Illinois Tool Works
5.860% due 05/02/2000 9,000 8,958
KFW International Finance
5.900% due 05/31/2000 18,000 17,829
6.060% due 06/22/2000 1,400 1,381
Monsanto Co.
6.070% due 06/14/2000 6,300 6,224
Motorola, Inc.
6.040% due 05/26/2000 10,000 9,910
National Rural Utilities
5.830% due 04/10/2000 22,000 21,975
Oesterreich Kontrollbank
6.030% due 06/02/2000 2,700 2,673
Procter & Gamble Co.
5.800% due 04/03/2000 13,900 13,900
Reseau Ferre De France
5.900% due 06/05/2000 15,000 14,845
Southwestern Public Service
6.050% due 05/05/2000 11,100 11,040
UBS Finance
6.170% due 04/06/2000 5,400 5,396
5.870% due 04/06/2000 8,400 8,396
Wal-Mart Stores
5.850% due 06/01/2000 14,035 14,031
Walt Disney Co.
5.860% due 05/17/2000 20,000 19,857
Xerox Credit Corp
6.050% due 05/17/2000 4,000 3,970
6.000% due 06/01/2000 10,000 9,902
5.990% due 06/12/2000 11,000 10,872
Yorkshire Building Society
5.970% due 06/02/2000 3,450 3,416
5.960% due 06/13/2000 13,600 13,440
---------
614,702
=========
Repurchase Agreement 0.3%
State Street Bank
5.600% due 04/03/2000 1,386 1,386
(Dated 03/31/2000. Collateralized by
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $1,418.
Repurchase proceeds are $1,387.)
---------
1,386
=========
Short-Term Notes 8.3%
Associated Corp. of North America
9.125% due 04/01/2000 4,500 4,500
Federal Home Loan Mortgage Corp.
5.876% due 05/18/2000 20,000 19,998
Ford Motor Credit Corp.
9.500% due 04/15/2000 2,370 2,373
General Electric Capital Corp.
6.050% due 05/26/2000 12,000 12,000
Merrill Lynch & Co.
6.380% due 07/18/2000 (a) 5,900 5,911
6.700% due 08/01/2000 (a) 400 401
---------
45,183
---------
Total Short-Term Instruments 661,271
(Cost $661,271) =========
Total Investments 122.1% $ 661,271
(Cost $661,271)
Other Assets and Liabilities (Net) (22.1%) (119,748)
---------
Net Assets 100.0% $ 541,523
=========
(a) Variable rate security. The rate listed is as of March 31, 2000.
See accompanying notes 65
<PAGE>
Schedule of Investments
Municipal Bond Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 103.3%
--------------------------------------------------------------------------------
Arizona 6.7%
Maricopa County Arizona Pollution, Series 1994
3.850% due 05/01/2029 $ 1,100 $ 1,100
Pima County, Arizona Industrial Development Authority
Multi-Family Revenue Bonds, (HUD SECT 8 Insured),
Series 1998 5.375% due 06/01/2010 1,210 1,213
Scottsdale, Arizona Industrial Development Authority
Hospital Revenue Bonds, (AMBAC Insured),
Series 1997 A 6.500% due 09/01/2004 1,130 1,205
---------
3,518
=========
California 16.6%
Alameda, California Harbor Bay Business Pk Assmt
Revenue Bonds, Series 1998 5.000% due 09/02/2006 360 347
California Health Facilities Finance Authority Revenue,
Series 1995 4.250% due 07/01/2011 1,000 1,000
Capistrano, California Unified School District
Special Tax, Series 1999 5.000% due 09/01/2008 350 335
City of San Jose Redevelopment Agency Merged
Area Project, Tax Allocation Bonds, (MBIA Insured),
Series 1993 6.000% due 08/01/2015 500 539
Foothill/Eastern Corridor Agency California
Toll Road Revenue, (MBIA-IBC),
Series 1999 0.000% due 01/15/2026 1,565 878
Irvine, California Special Assessment Bond,
Series 1998 4.800% due 09/02/2004 150 146
Irvine, California Special Assessment Bond,
Series 1998 4.900% due 09/02/2005 310 299
Irvine, California Special Assessment Bond,
Series 1998 5.000% due 09/02/2006 150 144
Irvine, California Special Assessment Bond,
Series 1999 5.000% due 09/02/2005 350 343
Irvine, California Special Assessment Bond,
Series 1999 5.100% due 09/02/2006 535 518
Irvine, California Special Assessment Bond,
Series 1999 5.200% due 09/02/2007 255 246
Lake Elsinore, California School Refunding Bonds,
Series 1998 5.000% due 09/01/2006 350 337
Los Angeles County Transportation Commission,
Sales Tax Revenue Refunding Bonds,
Series 1991 B 6.500% due 07/01/2013 1,000 1,041
Montebello, California Unified School District
General Obligation Unlimited Bonds, (MBIA Insured),
Series 1999 0.000% due 08/01/2023 895 227
Orange County, California Improvement Bond,
Series 1998 A 4.900% due 09/02/2005 245 237
Pittsburg, California Infrastructure Refunding Bonds,
Series 1998 A 4.900% due 09/02/2003 150 150
Pittsburg, California Infrastructure Refunding Bonds,
Series 1998 A 5.000% due 09/02/2004 150 151
Riverside County, California Special Tax Refunding Bonds,
Series 1999 4.200% due 09/01/2001 300 297
Riverside County, California Special Tax Refunding Bonds,
Series 1999 4.700% due 09/01/2005 170 164
Roseville, California Special Tax,
Series 1999 5.000% due 09/01/2004 350 343
Sacramento County, California Refunding Bonds,
Series 1998 4.900% due 09/02/2005 300 290
South Tahoe, California Powers Financing Authority,
Series 1999 7.300% due 10/01/2007 350 355
West Sacramento, California Refunding Bonds,
Series 1998 5.000% due 09/02/2004 350 346
---------
8,733
=========
Colorado 2.9%
Colorado Housing Finance Authority,
Series 2000 6.700% due 10/01/2016 250 269
Denver, Colorado Health & Hospital Revenue Bonds,
Series 1998 A 5.000% due 12/01/2009 1,390 1,261
---------
1,530
=========
Florida 4.6%
Gainesville, Florida Revenue Bonds,
Series 1979 6.200% due 10/01/2002 300 302
Jacksonville Electric Authority, Bulk Power Supply System
Revenue Bonds, (Prerefunded 10/01/00),
Scherer 4-1-A Project, Issue One, Series 1991
6.750% due 10/01/2021 1,000 1,028
Orange County, Florida Health Facilities Authority
Revenue Bonds, (MBIA Insured), Series 1996
6.250% due 10/01/2011 1,000 1,096
---------
2,426
=========
Hawaii 1.9%
Honolulu Hawaii City & County, (MBIA-IBC),
Series 1993 3.550% due 09/11/2008 1,000 1,020
---------
Illinois 0.6%
Illinois Health Facilities Authority Revenue,
Series 1998 3.650% due 01/01/2028 300 300
---------
Indiana 2.1%
Indiana Local Public Improvement Bonds Bank,
Transportation Revenue Bonds, Series 1992
6.750% due 02/01/2014 1,000 1,110
---------
Louisiana 0.5%
Louisiana Local Government, (MBIA Insured),
Series 2000 5.700% due 01/01/2010 250 254
---------
Massachusetts 4.0%
Massachusetts State Development Finance Agency
Revenue Bonds, Series 1998 4.700% due 11/01/2007 210 197
Massachusetts State Development Finance Agency,
(ACA Insured), Series 1999 4.600% due 03/01/2009 400 370
Massachusetts State Development Finance Agency,
Series 1998 4.800% due 11/01/2008 90 85
Massachusetts State General Obligation Unltd,
Series 2000 6.000% due 02/01/2013 1,000 1,055
Massachusetts State Health Facilities Authority Revenue,
Series 1993 5.500% due 10/01/2002 400 390
---------
2,097
=========
Michigan 3.6%
Farmington Hills Michigan Hospital, Revenue Bond,
(MBIA Insured), Series 1991 B
3.900% due 02/15/2016 700 700
Michigan State Environmental Protection General
Obligation Bonds, Series 1992 6.250% due 11/01/2012 1,100 1,206
---------
1,906
=========
66 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Minnesota 3.6%
Arden Hills Minnesota Housing & Health Care
Presbyterian Homes Revenue Bonds,
(LOC-U.S. Bank N.A. Insured), Series 1999 B
3.850% due 09/01/2029 (d) $ 900 $ 900
New Richland, Minnesota Revenue Bond,
Series 1998 4.500% due 08/01/2004 1,000 986
---------
1,886
=========
Missouri 1.1%
Missouri State Health Facilities Revenue,
Series 1999 3.600% due 10/01/2009 600 600
---------
New Hampshire 2.1%
New Hampshire Turnpike System, Refunding
Revenue Bonds, (FGIC Insured), Series 1991 A
6.750% due 11/01/2011 1,000 1,103
---------
New Jersey 6.6%
New Jersey Economic Development
Authority Revenue Bond, Series 1998 A
0.000% due 04/01/2013 1,595 642
New Jersey Economic Development
Authority Revenue Bond, Series 1998
5.600% due 01/01/2012 1,000 885
New Jersey Economic Development
Authority Revenue Bonds, Series 1999
6.625% due 09/15/2012 1,900 1,929
---------
3,456
=========
New Mexico 2.6%
Los Alamos County, Utility Revenue Bonds,
Series 1994 A 6.000% due 07/01/2008 1,000 1,050
Santa Fe County, El Castillo Retirement
Nursing Home Bonds, Series 1998 A
5.250% due 05/15/2007 315 290
---------
1,340
=========
New York 10.1%
Nassau County, NY Tobacco Settlement
Corp. Revenue Bonds, Series 1999
5.250% due 07/15/2011 1,000 999
New York City General Obligation Bonds,
Series 1996 A 7.000% due 08/01/2007 1,000 1,103
New York State Dorm Authority Revenues,
(ACA Insured), Series 2000
5.850% due 07/01/2010 1,000 1,025
New York State Dorm Authority Revenues,
(MBIA Insured), Series 1996
5.600% due 07/01/2016 1,250 1,255
New York State Environmental Facilities
Special Obligation Revenue Bonds, Series 1996
5.125% due 04/01/2022 1,000 929
---------
5,311
=========
North Carolina 2.0%
North Carolina Municipal Power Agency, Catawaba
Electric Revenue Bonds, (AMBAC Insured), Series 1992
6.000% due 01/01/2008 1,000 1,055
---------
North Dakota 3.9%
Mercer County Pollution Control Revenue Bonds,
Series 1991 6.900% due 02/01/2019 2,000 2,073
---------
Ohio 1.9%
Cleveland Water and Sewer Refunding and Improvement
Revenue Bonds, (MBIA Insured), Series 1993 G, Number 1
5.500% due 01/01/2021 1,000 988
---------
Oklahoma 1.7%
Oklahoma State Industrial Authority Revenue
3.850% due 08/15/2029 $ 900 900
---------
Pennsylvania 0.2%
Delaware County, Pensylvania Hospital Revenue
Bonds, Series 1998 4.900% due 12/01/2008 100 90
---------
South Carolina 1.8%
Medical University South Carolina Hospital
Facilities Revenue Bonds, Series 1999
5.700% due 07/01/2012 1,000 956
---------
Tennessee 5.0%
Memphis-Shelby County, Tennessee Airport Authority
Special Facilities and Project Revenue Bonds,
Series 1997 5.350% due 09/01/2012 1,000 934
Nashville & Davidson County, Tennessee Revenue Bonds,
Series 1998 4.450% due 08/01/2007 1,000 941
Sullivan County, Tennessee Industrial Development,
(GNMA Insured), Series 1995 6.250% due 07/20/2015 750 777
---------
2,652
=========
Texas 5.7%
Bexar, Texas Metro Water District Waterworks System
Revenue Bonds, (MBIA Insured), Series 1998
0.000% due 05/01/2035 2,190 263
Brazos River Authority Texas Revenue Bonds,
(MBIA Insured), Series 1998
4.900% due 10/01/2015 1,500 1,371
Lewiswille Texas Independent School District,
(PSF-GTD), Series 2000
5.875% due 08/15/2016 1,000 1,021
Midlothian Texas Independent School District
General Obligation Bonds, (PSF-GTD Insured), Series 1999
0.000% due 02/15/2018 1,000 334
---------
2,989
=========
Utah 4.0%
Intermountain Power Agency Utah Power Supply,
(MBIA Insured), Series 1996
6.500% due 07/01/2009 1,925 2,108
---------
Washington State 4.7%
Bellevue Washington Convention Center Authority Special
Obligation Revenue Bond, (MBIA Insured), Series 1994
0.000% due 02/01/2024 1,000 244
Washington State General Obligation Bond, Series 1997
0.000% due 07/01/2017 1,000 371
Washington State General Obligation Bond, Series 1999
5.625% due 07/01/2018 1,100 1,099
Washington State Housing Finance Community,
(LOC-U.S. Bank N.A.), Series 1997
3.900% due 07/01/2022 200 200
Washington State Public Power Supply System Nuclear
Project No 3 Revenue Bonds, (BIG Insured), Series 1989
0.000% due 07/01/2014 1,270 562
---------
2,476
=========
Wisconsin 2.7%
Wisconsin State Health & Education Facilities Authority
Revenue Bonds, (LOC-Allied Irish Bank PLC Insured),
Series 1997 3.900% due 11/01/2017 (d) 1,400 1,400
---------
Total Municipal Bonds & Notes 54,277
(Cost $54,417) =========
See accompanying notes 67
<PAGE>
Schedule of Investments
Municipal Bond Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 0.1%
-------------------------------------------------------------------------------
Commercial Paper 0.1%
SSgA Tax Free Money Market
3.282% due 04/03/2000 $ 61 $ 61
---------
Total Short-Term Instruments 61
(Cost $61) =========
Total Investments (a) 103.3% $ 54,338
(Cost $54,478)
Other Assets and Liabilities (Net) (3.3%) (1,755)
---------
Net Assets 100.0% $ 52,583
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $54,478 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 877
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (1,017)
--------
Unrealized depreciation-net $ (140)
========
68 See accompanying notes
<PAGE>
Schedule of Investments
New York Intermediate Municipal Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 94.7%
-------------------------------------------------------------------------------
New York 94.7%
Amherst, New York, Series A
5.500% due 12/01/2008 $ $ 150 $ 155
Edmeston, New York Central School District
5.100% due 06/15/2007 150 151
Genesee County, New York General
Obligation Bonds, (FGIC Insured),
Series 1999 5.000% due 08/15/2007 150 150
Nassau County, New York Tobacco
Settlement Corp. Revenue Bonds,
Series 1999 5.250% due 07/15/2011 150 150
New York City General Obligation Bonds,
(MBIA Insured), Series 1994 3.700% due 08/15/2005 (b) 200 200
New York City General Obligation Bonds,
Series 1996 5.875% due 08/01/2024 250 248
New York City General Obligation Bonds,
Series 1997 5.300% due 06/01/2012 150 150
New York State Dormitory Authority Revenue Bond,
(MBIA Insured), Series 1999 4.750% due 07/01/2006 150 148
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,
(MBIA Insured), Series 1999 4.750% due 07/01/2006 95 94
New York State Dormitory Authority Revenue,
(FSA Insured), Series 1998 4.750% due 07/01/2008 150 147
New York State Local Government Assistance Corp.,
(MBIA Insured), Series 1997-B 5.125% due 04/01/2013 150 147
New York State Mortgage Agency Revenue Bonds,
Series 1998 5.350% due 04/01/2007 150 150
New York State Mortgage Agency Revenue,
Series 1997 5.200% due 10/01/2008 145 144
New York State Power Authority Revenue & General Purpose,
Series 1972-E 5.500% due 01/01/2010 135 136
New York State Thruway Authority Service Contract Revenue,
(MBIA Insured), Series 1999 4.900% due 04/01/2008 150 149
New York State Urban Develpoment Corp.
Revenue Bonds, Series 1999 5.000% due 01/01/2005 150 150
Port Authority New York & New Jersey, (FGIC Insured),
Series 1999 5.000% due 09/15/2005 150 150
Rockland County New York Solid Waste Management
Authority, Series 1999 A 4.800% due 12/15/2005 145 144
---------
Total Municipal Bonds & Notes 2,914
(Cost $2,922) =========
-------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 3.4%
-------------------------------------------------------------------------------
Commercial Paper 3.4%
R & T New York Money Market
3.100% due04/03/2000 104 104
---------
Total Short-Term Instruments 104
(Cost $104) =========
Value
(000s)
-------------------------------------------------------------------------------
Total Investments (a) 98.1% $ 3,018
(Cost $3,026)
Other Assets and Liabilities (Net) 1.9% 60
---------
Net Assets 100.0% $ 3,078
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $3,026 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 10
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (18)
---------
Unrealized depreciation-net $ (8)
=========
(b) Variable rate security. The rate listed is as of March 31,
2000.
See accompanying notes 69
<PAGE>
Schedule of Investments
Real Return Bond Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 33.3%
-------------------------------------------------------------------------------
Banking & Finance 21.5%
AT&T Capital Corp.
7.110% due 09/13/2001 (d) $ 500 $ 499
BAT-Crave-800
6.680% due 08/12/2000 190 190
Bear Stearns Co., Inc.
6.424% due 08/01/2002 (d) 500 501
Chase Manhattan Corp.
6.430% due 12/10/2001 (d) 500 505
Citicorp
6.223% due 09/17/2001 (d) 335 335
DQE Capital Corp.
6.539% due 01/15/2002 (d) 1,000 1,000
Finova Capital Corp.
6.720% due 11/08/2002 (d) 2,800 2,811
First Security Corp.
7.701% due 06/01/2005 (d) 1,000 1,000
Florida Windstorm
6.700% due 08/25/2004 500 484
Ford Motor Credit Corp.
6.300% due 07/16/2002 (d) 1,000 1,002
6.224% due 02/13/2003 (d) 350 349
General Motors Acceptance Corp.
6.371% due 12/15/2000 (d) 1,500 1,500
6.327% due 12/09/2002 (d) 2,000 2,001
Heller Financial, Inc.
6.448% due 02/05/2001 400 401
6.370% due 10/22/2001 (d) 3,700 3,710
6.220% due 04/26/2002 (d) 250 250
Household Finance Corp.
6.473% due 08/06/2002 (d) 2,000 2,000
HRPT Properties Trust
7.280% due 07/09/2007 1,250 1,250
J.P. Morgan & Co.
6.430% due 02/15/2012 3,470 3,105
Juno Reinsurance
9.565% due 06/26/2002 (d) 750 728
Korea Development Bank
5.886% due 03/01/2002 (d) 500 460
8.008% due 06/16/2003 (d) 500 490
Lehman Brothers Holdings, Inc.
8.150% due 05/15/2000 230 230
9.875% due 10/15/2000 250 254
6.904% due 04/02/2002 (d) 500 503
6.421% due 06/03/2002 (d) 2,500 2,483
6.840% due 07/15/2002 (d) 600 604
6.410% due 09/03/2002 (d) 2,000 1,981
MBNA America Bank NA
6.290% due 04/25/2002 (d) 500 498
Merrill Lynch & Co.
6.129% due 11/01/2001 (d) 3,000 2,998
6.508% due 02/08/2002 (d) 400 401
Morgan Stanley, Dean Witter, Discover and Co.
6.353% due 12/17/2001 (d) 300 300
6.190% due 04/15/2002 (d) 1,000 999
6.310% due 02/21/2003 (d) 1,500 1,502
National Westminster Bank
6.620% due 09/16/2002 (d) 3,500 3,513
Protective Life Funding Trust
6.390% due 01/17/2003 (d) 1,000 1,000
Prudential Funding Corp.
6.270% due 10/18/2001 (d) 3,000 3,004
Residential Reinsurance
9.761% due 06/01/2000 (d) 2,300 2,283
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 1,670 1,641
Seismic Ltd.
0.000% due 01/01/2002 (d) 2,500 2,500
Textron Financial Corp.
6.290% due 10/26/2001 (d) 2,500 2,499
6.477% due 12/09/2002 (d) 4,000 4,007
Toyota Motor Credit Corp.
5.707% due 02/15/2002 400 390
---------
58,161
=========
Industrials 5.9%
AIC Corp.
6.154% due 10/02/2002 (d) 250 249
Arrow Electronics, Inc.
6.860% due 11/24/2000 (d) 1,500 1,500
Atlas Air, Inc.
9.820% due 04/04/2003 (d) 4,400 4,400
Conagra, Inc.
6.340% due 06/12/2000 (d) 500 500
CSX Corp.
6.430% due 06/15/2000 (d) 500 500
Gold Eagle
11.453% due 04/16/2001 1,000 999
9.003% due 04/16/2001 1,000 999
Kroger Co.
6.000% due 07/01/2000 1,500 1,494
Nextel Communications
9.090% due 03/31/2008 1,500 1,482
Petroleos Mexicanos
8.402% due 07/15/2005 (d) 1,750 1,728
Tyco International Group SA
6.819% due 03/05/2001 (d) 2,000 1,999
---------
15,850
=========
Utilities 5.9%
Edison Mission Energy
6.790% due 06/15/2001 (d) 700 700
Enron Corp.
6.577% due 09/10/2001 (d) 1,500 1,501
GTE Corp.
6.155% due 06/12/2000 (d) 4,000 3,999
Hughes Electric
7.451% due 10/23/2000 3,500 3,497
Kerr-McGee Corp.
6.414% due 08/01/2001 (d) 1,000 1,000
6.703% due 11/01/2001 2,000 1,992
Public Service Enterprise Group, Inc.
6.350% due 06/15/2001 (d) 500 500
Sprint Capital Corp.
6.386% due 11/15/2001 (d) 1,000 1,001
Texas Utilities Co.
6.791% due 06/25/2001 1,300 1,299
7.105% due 09/24/2001 500 503
---------
15,992
---------
Total Corporate Bonds & Notes 90,003
(Cost $89,995) =========
-------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 2.2%
-------------------------------------------------------------------------------
New Mexico 0.2%
New Mexico Mortgage Finance Authorities Revenue Bonds,
(GNMA,FNMA, FHLMC Insured), Series 1997
7.000% due 07/01/2006 495 483
---------
New York 1.4%
New York City Municipal Bond, Series 1997
6.346% due 08/01/2002 (d) 138 138
New York State Dorm Authority Revenue Bonds,
Series 1996 5.500% due 07/01/2025 4,000 3,736
---------
3,874
=========
Ohio 0.6%
Hamilton Ohio School Districts Gas Supply
Revenue Bonds, Northern Ohio, (MBIA Insured),
Series 1999 6.910% due 08/01/2001 1,500 1,491
---------
Total Municipal Bonds & Notes 5,848
(Cost $5,745) =========
70 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 6.4%
--------------------------------------------------------------------------------
Federal Farm Credit Bank
6.360% due 02/14/2002 (d) $ 600 $ 588
Federal Home Loan Bank
5.663% due 02/15/2002 (d) 2,485 2,442
Federal Home Loan Mortgage Corp.
6.875% due 01/15/2005 10,000 9,922
Federal National Mortgage Assn.
2.796% due 03/13/2002 (d) 2,000 1,964
Student Loan Marketing Assn.
6.365% due 07/25/2004 (d) 88 88
6.395% due 10/25/2004 (d) 105 104
5.909% due 04/25/2006 (d) 1,744 1,737
6.595% due 01/25/2007 (d) 333 332
-------------
Total U.S. Government Agencies 17,177
(Cost $17,173) =============
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 98.6%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (g)
3.625% due 07/15/2002 (c) 29,821 29,737
3.375% due 01/15/2007 (c) 56,125 54,038
3.625% due 01/15/2008 (c) 61,833 60,209
3.875% due 01/15/2009 (c) 55,044 54,476
4.250% due 01/15/2010 9,026 9,207
3.625% due 04/15/2028 (c) 25,559 24,265
3.875% due 04/15/2029 (c) 34,282 34,003
U.S. Treasury Notes
5.125% due 08/31/2000 (b) 180 179
-------------
Total U.S. Treasury Obligations 266,114
(Cost $262,342) =============
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 0.9%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 0.2%
Federal Home Loan Mortgage Corp.
6.500% due 01/25/2028 100 88
Federal National Mortgage Assn.
6.244% due 10/25/2008 (d) 369 370
6.500% due 02/25/2029 118 94
-------------
552
=============
Federal Home Loan Mortgage Corporation 0.0%
7.433% due 02/01/2023 (d) 127 131
-------------
Federal Housing Administration 0.1%
7.430% due 12/01/2020 302 296
-------------
Federal National Mortgage Association 0.2%
7.252% due 10/01/2024 (d) 499 514
-------------
Other Mortgage-Backed Securities 0.4%
CMC Securities Corp.
6.000% due 11/25/2008 957 949
-------------
Total Mortgage-Backed Securities 2,442
(Cost $2,465) =============
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 7.4%
--------------------------------------------------------------------------------
AFC Home Equity Loan Trust
6.099% due 03/25/2027 (d) 244 244
American Residential Eagle
6.219% due 07/25/2029 (d) 6,886 6,882
Conseco Finance
6.290% due 10/15/2030 1,930 1,927
Conseco Finance Home Loan Trust
8.880% due 06/15/2024 750 755
Contimortgage Home Equity Loan Trust
6.020% due 01/25/2014 244 241
EQCC Home Equity Loan Trust
6.321% due 03/20/2029 305 305
General Electric Capital Mortgage Services, Inc.
7.150% due 09/25/2026 339 338
Huntsman Corp.
8.830% due 12/31/2005 1,000 998
IMC Home Equity Loan Trust
6.610% due 06/20/2013 366 365
MMCA Automobile Trust
6.300% due 06/15/2002 3,180 3,177
Oakwood Mortgage Investors, Inc.
6.450% due 11/15/2027 847 844
Onyx Acceptance Auto Trust
6.590% due 09/15/2002 2,000 1,999
6.350% due 10/15/2003 615 612
Pacific Southwest Bank
6.060% due 06/15/2002 13 13
Premiere Auto Trust
5.510% due 07/09/2001 273 273
Residential Funding Mortgage Securities, Inc.
5.460% due 07/25/2029 209 207
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 386 383
WMC Mortgage Loan
6.090% due 03/20/2028 (d) 335 335
-------------
Total Asset-Backed Securities 19,898
(Cost $19,911) =============
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 0.0%
--------------------------------------------------------------------------------
United Mexican States Recovery Rights
0.000% due 06/30/2003 2,307 0
-------------
Total Sovereign Issues 0
(Cost $0) =============
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 3.8%
--------------------------------------------------------------------------------
Caisse D'amort Dette Soc
3.800% due 07/25/2006 EC 5,025 4,835
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 5,300 2,581
Kingdom of Sweden
0.000% due 04/01/2004 (g) SK 7,354 776
Newcourt Credit Group
7.900% due 08/15/2000 C$ 1,674 1,164
7.625% due 06/28/2001 500 350
United Mexican States
1.103% due 12/31/2019 (d) JY 70,000 668
-------------
Total Foreign Currency-Denominated Issues 10,374
(Cost $10,181) =============
--------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK (f) 0.5%
--------------------------------------------------------------------------------
Shares
Banking & Finance 0.5%
Tokai Bank Cvt. Pfd.
2.750% due 10/01/2004 200,000,000 1,388
-------------
Total Convertible Preferred Stock 1,388
(Cost $1,411) =============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 2.6%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 0.8%
Eastman Kodak Co.
6.030% due 06/06/2000 $ 100 99
Procter & Gamble Co.
6.080% due 06/02/2000 2,000 1,979
-------------
2,078
=============
Repurchase Agreement 1.8%
State Street Bank
5.600% due 04/03/2000 4,851 4,851
(Dated 03/31/2000. Collateralized by
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $4,950.
Repurchase proceeds are $4,853.)
-------------
4,851
=============
See accompanying notes 71
<PAGE>
Schedule of Investments (Cont.)
Real Return Bond Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
U.S. Treasury Bills 0.0%
5.750% due 04/27/2000 100 $ 100
-------------
Total Short-Term Instruments 7,029
(Cost $7,029) =============
Total Investments (a) 155.7% $ 420,273
(Cost $416,252)
Other Assets and Liabilities (Net) (55.7%) (150,412)
-------------
Net Assets 100.0% $ 269,861
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of 416,943 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 3,644
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (314)
-------------
Unrealized appreciation-net $ 3,330
=============
(b) Securities with an aggregate market value of $179
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 2000:
# of Unrealized
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
U.S. Treasury 5 Year Note ( 06/2000) 179 $ (174)
(c) Subject to financing transaction.
(d) Variable rate security. The rate listed is as of March 31,2000.
(e) Foreign forward currency contracts outstanding at March 31, 2000.
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell C$ 523 05/2000 $ (1)
Sell 1,711 06/2000 (16)
Buy EC 529 04/2000 0
Sell 5,181 04/2000 26
Sell JY 53,500 04/2000 (20)
Sell 215,663 05/2000 (57)
Buy N$ 524 04/2000 5
Sell 4,880 04/2000 (72)
Sell 845 05/2000 (3)
Buy SK 4,342 04/2000 1
Sell 10512 04/2000 (8)
-------------
$ (145)
=============
(f) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
EC - Euro
JY - Japanese Yen
N$ - New Zealand Dollar
SK - Swedish Krona
(g) Principal amount of security is adjusted for
inflation.
(h) Swap agreements outstanding at March 31, 2000.
Notional Unrealized
Type Amount Appreciation
--------------------------------------------------------------------------------
Receive fixed rate equal to 0.47% and
the Fund will pay to the counterparty at par in the
event of default of Enron Corp. 6.450% due 11/15/2001.
Broker: Goldman Sachs
Exp. 08/31/2000 $ 1,000 $ 0
Receive fixed rate equal to 0.41% 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
-------------
$ 0
=============
72 See accompanying notes
<PAGE>
Schedule of Investments
Short Term Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 28.6%
--------------------------------------------------------------------------------
Banking & Finance 20.1%
Associated Corp. of North America
6.450% due 09/15/2000 $ 900 $ 896
Banco Nacional Obra Services
9.625% due 11/15/2003 6,900 7,124
BankBoston Corp.
6.125% due 03/15/2002 1,000 974
Bankers Trust Corp.
6.200% due 05/11/2003 (d) 11,000 10,997
Donaldson, Lufkin & Jenrette
6.625% due 05/25/2026 (d) 189 189
DQE Capital Corp.
6.539% due 01/15/2002 (d) 2,000 2,000
Ford Motor Credit Corp. (d)
6.210% due 08/27/2001 3,000 3,000
6.341% due 03/19/2002 4,295 4,306
6.320% due 12/16/2002 10,000 9,976
General Motors Acceptance Corp. (d)
6.130% due 01/08/2002 1,000 999
6.165% due 04/29/2002 2,450 2,451
6.299% due 11/12/2002 9,600 9,613
6.190% due 08/18/2003 16,575 16,486
Goldman Sachs Group
6.270% due 01/17/2003 (d) 8,000 8,005
Heller Financial, Inc.
6.280% due 04/22/2002 (d) 15,000 14,992
Korea Development Bank
6.250% due 05/01/2000 585 585
7.154% due 10/06/2000 (d) 2,000 2,000
9.450% due 03/15/2001 375 380
7.900% due 02/01/2002 900 897
7.625% due 10/01/2002 2,500 2,465
Korean Export-Import Bank
6.500% due 05/15/2000 2,170 2,169
Lehman Brothers Holdings, Inc.
6.798% due 05/07/2002 (d) 3,000 3,011
6.690% due 04/04/2003 (d) 3,000 3,044
Midamerican Funding LLC
5.850% due 03/01/2001 1,000 986
Morgan Stanley, Dean Witter, Discover and Co.
6.165% due 01/28/2002 (d) 8,600 8,601
Nacional Financiera
8.000% due 06/19/2000 1,000 999
Protective Life Funding Trust
6.390% due 01/17/2003 (d) 2,000 2,000
Racers
6.340% due 03/03/2003 (d) 10,000 10,000
Residential Funding Mortgage Securities, Inc.
7.143% due 12/01/2018 (d) 1,095 1,117
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 3,191 3,135
Sears Roebuck Acceptance Corp.
6.500% due 06/15/2000 700 699
6.180% due 08/15/2000 500 499
Transamerica Finance Corp.
6.394% due 12/14/2001 (d) 4,000 3,998
U.S. Bancorp
6.279% due 02/03/2003 (d) 3,700 3,699
-------------
142,292
=============
Industrials 3.7%
Air Canada
6.800% due 07/31/2005 (d) 2,000 1,800
Amerco, Inc.
6.890% due 10/15/2000 5,000 4,949
COFIRI International, Inc.
6.503% due 10/27/2000 (d) 2,000 1,994
ITT Corp.
6.250% due 11/15/2000 3,000 2,954
J Seagram & Sons
6.526% due 04/10/2000 (d) 1,100 1,084
Petroleos Mexicanos
9.375% due 12/02/2008 1,000 1,028
Raytheon Co.
6.300% due 08/15/2000 2,000 1,992
Time Warner, Inc.
6.100% due 12/30/2001 3,000 2,933
Williams Communications Group, Inc.
6.540% due 11/15/2001 7,500 7,500
-------------
26,234
=============
Utilities 4.8%
Central Maine Power Co.
6.500% due 06/14/2000 7,800 7,784
Central Power & Light Co.
6.540% due 02/22/2002 (d) 2,000 1,980
Enron Corp.
6.577% due 09/10/2001 (d) 2,000 2,002
Kerr-McGee Corp.
6.414% due 08/01/2001 (d) 2,000 2,000
Pennsylvania Power & Light
6.000% due 06/01/2000 19,000 18,974
UGI Utilities, Inc.
6.170% due 03/06/2001 250 247
United Telecom, Inc.
9.750% due 04/01/2000 1,000 1,000
-------------
33,987
-------------
Total Corporate Bonds & Notes 202,513
(Cost $202,419) =============
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.3%
--------------------------------------------------------------------------------
North Carolina 0.3%
North Carolina State Education Assistance
Authority Revenue Bonds, (GTD Insured), Series 2000
6.105% due 06/01/2009 (d) 2,000 2,000
-------------
Total Municipal Bonds & Notes 2,000
(Cost $2,000) =============
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 8.0%
--------------------------------------------------------------------------------
Federal Home Loan Bank
0.000% due 05/12/2000 (d) 10,000 10,000
6.750% due 01/02/2002 35,000 34,883
Federal National Mortgage Assn.
6.625% due 01/15/2002 10,000 9,947
Student Loan Marketing Assn.
5.711% due 04/25/2004 (d) 1,582 1,580
6.395% due 10/25/2004 (d) 600 599
-------------
Total U.S. Government Agencies 57,009
(Cost $57,081) =============
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 2.1%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (f)
3.625% due 07/15/2002 7,373 7,352
3.625% due 01/15/2008 5,743 5,592
3.875% due 01/15/2009 1,954 1,934
-------------
Total U.S. Treasury Obligations 14,878
(Cost $14,902) =============
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 23.6%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 14.5%
CMC Securities Corp.
7.500% due 02/25/2023 2,522 2,515
Dime Savings
6.689% due 11/01/2018 (d) 263 238
Donaldson, Lufkin & Jenrette
7.580% due 10/17/2020 (d) 547 561
7.776% due 09/01/2021 (d) 33 33
Federal Home Loan Mortgage Corp.
6.000% due 03/15/2005 568 566
6.000% due 02/15/2007 577 576
6.210% due 10/25/2014 214 214
6.500% due 10/25/2014 4,150 4,048
5.750% due 10/15/2016 62 62
6.000% due 07/15/2019 5,263 5,182
See accompanying notes 73
<PAGE>
Schedule of Investments (Cont.)
Short Term Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Federal National Mortgage Assn.
6.000% due 02/25/2008 $ 1,273 $ 1,240
5.523% due 07/25/2008 (d) 1,344 1,313
6.000% due 08/18/2016 38,359 37,813
6.500% due 11/25/2017 1,436 1,430
5.875% due 03/25/2018 112 111
5.850% due 05/25/2019 736 732
6.000% due 08/25/2020 2,390 2,339
5.000% due 02/25/2022 114 112
6.500% due 09/18/2023 2,082 2,042
8.960% due 06/25/2032 9,892 10,124
First Plus Home Loan Trust
6.060% due 09/10/2011 4,115 4,105
General Electric Capital Mortgage Services, Inc.
6.750% due 12/25/2012 6,082 5,991
Greenwich
7.589% due 04/25/2022 (d) 83 84
7.337% due 10/25/2022 (d) 45 45
Housing Securities, Inc.
6.000% due 02/25/2008 1,237 1,227
Independent National Mortgage Corp.
7.250% due 11/25/2010 4,000 3,949
Prudential Bache
6.151% due 09/01/2018 (d) 24 22
Prudential Home Mortgage Securities
6.950% due 11/25/2022 233 212
Salomon Brothers Mortgage Securities
6.475% due 07/25/2029 (d) 4,224 4,226
Structured Asset Securities Corp.
7.000% due 01/20/2021 7 7
TMA Mortgage Funding Trust
6.259% due 01/25/2029 11,432 11,432
-------------
102,551
=============
Federal Home Loan Mortgage Corporation 0.1%
7.500% due 11/01/2001 1,039 1,040
-------------
Federal National Mortgage Association 2.2%
6.000% due 12/18/2014 8,017 7,932
6.150% due 09/25/2016 6,135 6,051
8.500% due 01/01/2026 1,891 1,930
-------------
15,913
=============
Government National Mortgage Association 6.3%
6.375% due 02/20/2024-04/20/2025 (d)(e) 11,919 11,987
6.750% due 09/20/2023-08/20/2027 (d)(e) 8,287 8,331
7.125% due 11/20/2026 (d) 14,659 14,802
8.000% due 04/19/2030 3,950 3,995
8.500% due 06/20/2027 5,473 5,586
-------------
44,701
=============
Other Mortgage-Backed Securities 0.4%
CDC Depositor Trust I
6.913% due 12/14/2001 (d) 2,000 2,008
First Nationwide Trust
6.430% due 10/25/2018 (d) 10 10
Resolution Trust Corp.
6.472% due 05/25/2029 (d) 604 585
-------------
2,603
=============
Stripped Mortgage-Backed Securities 0.1%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 06/15/2019 4,954 432
Federal National Mortgage Association (IO)
7.000% due 07/25/2006 1,549 103
6.500% due 12/25/2006 2,065 59
6.500% due 06/25/2017 1,232 38
6.500% due 10/25/2023 1,561 196
-------------
828
-------------
Total Mortgage-Backed Securities 167,636
(Cost $169,589) =============
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 12.6%
--------------------------------------------------------------------------------
Advanta Revolving Home Equity Loan Trust
6.249% due 01/25/2024 (d) 276 275
American Residential Eagle
6.219% due 07/25/2029 (d) 1,836 1,835
Associates Manufactured Housing
7.000% due 03/15/2027 685 684
Banc One Auto Grantor Trust
6.290% due 07/20/2004 2,870 2,847
Bay View Financial Revolving
7.179% due 08/25/2029 (d) 2,000 1,967
Brazos Student Loan Finance Co.
6.430% due 06/01/2023 (d) 20,000 19,797
Chase Manhattan Grantor Trust
5.200% due 02/15/2002 303 303
Columbia/HCA Healthcare
7.880% due 09/15/2001 3,000 2,948
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 799 798
Delta Funding Home Equity Loan
6.191% due 09/15/2029 (d) 1,931 1,939
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 941 937
Frag Limited
8.423% due 03/31/2006 2,500 2,488
First Security Auto Owner Trust
5.580% due 06/15/2003 10,000 9,900
Ford Credit Auto Owner Trust
5.850% due 10/15/2001 1,346 1,343
General Electric Capital Mortgage Services, Inc.
7.150% due 09/25/2026 678 676
Green Tree Home Improvement Loan
6.055% due 08/15/2029 (d) 2,916 2,912
IMC Home Equity Loan Trust
6.310% due 12/20/2012 130 130
Metris Master Trust
6.721% due 04/20/2006 (d) 6,000 6,035
MLCC Mortgage Investors, Inc.
6.265% due 03/15/2025 (d) 3,628 3,642
Money Store Home Equity Trust
6.345% due 11/15/2021 (d) 145 143
Onyx Acceptance Auto Trust
6.180% due 04/15/2002 1,110 1,108
5.500% due 10/15/2002 2,207 2,191
Premier Auto Trust
6.250% due 06/06/2001 398 398
Salomon Brothers Mortgage Securities (d)
6.305% due 11/15/2029 1,901 1,903
7.043% due 11/15/2029 2,000 2,000
6.219% due 02/25/2030 4,975 4,940
The Money Store Home Equity Trust
6.635% due 09/15/2014 7,500 7,461
UAF Auto Grantor Trust
6.100% due 06/15/2004 1,232 1,218
UniCapital Corp.
6.540% due 07/23/2002 2,000 1,993
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 463 459
WFS Financial Owner Trust
5.385% due 08/20/2001 1,550 1,548
6.150% due 09/20/2002 2,220 2,212
-------------
Total Asset-Backed Securities 89,030
(Cost $89,291) =============
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 1.7%
--------------------------------------------------------------------------------
Republic of Korea
8.594% due 04/08/2000 (d) 3,456 3,469
United Mexican States
7.439% due 06/27/2002 (d) 9,000 8,873
-------------
Total Sovereign Issues 12,342
(Cost $12,266) =============
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (b)(c) 1.1%
--------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C.
8.750% due 09/28/2000 BP 3,000 4,764
Commonwealth of New Zealand
4.500% due 02/15/2016 (f) N$ 5,400 2,630
Korea Development Bank
6.940% due 10/18/2000 (d) JY 500 500
-------------
Total Foreign Currency-Denominated Issues 7,894
(Cost $9,020) =============
74 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 38.8%
--------------------------------------------------------------------------------
Certificates of Deposit 1.4%
Commerzbank AG
6.200% due 05/10/2000 $ 10,000 $ 10,000
-------------
Commercial Paper 36.5%
Bank One Corp.
5.920% due 05/15/2000 23,500 23,338
6.060% due 05/22/2000 10,000 9,918
British Telecom
5.890% due 05/08/2000 10,700 10,639
5.910% due 05/26/2000 7,400 7,336
Conagra, Inc.
5.990% due 04/19/2000 5,000 4,987
6.150% due 05/08/2000 8,200 8,151
Cox Communication
6.050% due 04/10/2000 6,900 6,892
6.250% due 04/13/2000 6,000 5,989
Dana Credit Corp.
6.040% due 04/11/2000 22,000 21,970
6.110% due 04/25/2000 2,800 2,790
Dominion Residential, Inc.
6.050% due 04/03/2000 25,000 25,000
6.140% due 06/05/2000 7,000 6,922
Eastman Kodak Co.
6.060% due 06/12/2000 12,000 11,852
Finova Capital Corp.
6.140% due 06/08/2000 7,000 6,921
Houston Industries
6.000% due 04/13/2000 11,500 11,481
Monsanto Co.
5.950% due 06/01/2000 16,600 16,427
Motorola, Inc.
6.090% due 06/02/2000 4,500 4,452
National Rural Utilities
6.080% due 06/14/2000 4,500 4,442
Oesterreich Kontrollbank
5.960% due 06/15/2000 1,000 987
Sumitomo Bank
6.050% due 04/13/2000 10,400 10,382
6.190% due 04/13/2000 6,000 5,990
Tyco International
6.180% due 04/03/2000 10,000 10,000
6.100% due 04/10/2000 8,000 7,991
U.S. West Capital Fund
6.330% due 04/03/2000 8,500 8,500
Xerox Credit Corp.
6.080% due 06/13/2000 25,000 24,688
-------------
258,045
=============
Repurchase Agreement 0.9%
State Street Bank
5.600% due 04/03/2000 6,665 6,664
(Dated 03/31/2000. Collateralized by
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $6,801.
Repurchased proceeds are $6,668.) -------------
6,664
-------------
Total Short-Term Instruments 274,709
(Cost $274,750) =============
Total Investments (a) 116.8% $ 828,011
(Cost $831,318)
Other Assets and Liabilities (Net) (16.8%) (119,010)
-------------
Net Assets 100.0% $ 709,001
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $831,129 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 1,016
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (4,134)
-------------
Unrealized depreciation-net $ (3,118)
=============
(b) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell BP 3,327 04/2000 (59)
Sell N$ 5,023 05/2000 23
-------------
$ (36)
=============
(c) Principal amount denoted in indicated currency:
BP - British Pound
JY - Japanese Yen
N$ - New Zealand Dollar
(d) Variable rate security. The rate listed is as of March 31, 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 March 31, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive floating rate based on 3 month LIBOR
and pay fixed rate equal to 7.600%
Broker: Warburg Dillon Read LLC
Exp. 01/15/2002 $ 10,600 $ (24)
Receive fixed rate equal to 0.43% 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 0.23% 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 0.25% and the Fund will pay
to the counterparty at par in the event of default of
Pacific Gas & Electric 6.550% due 12/08/2005.
Broker: J.P. Morgan
Exp. 05/23/2003 5,000 0
Receive fixed rate equal to 0.14% and the Fund will pay
to the counterparty at par in the event of default of
General Motors Acceptance Corp. 6.253% due 07/20/2000.
Broker: Warburg Dillon Read LLC
Exp. 06/30/2000 5,000 0
-------------
$ (24)
=============
(h) Reverse repurchase agreements were entered into March 24, 2000 paying
interest at 6.02%. The following securities were segregated with collateral for
reverse repurchase agreements.
Type Maturity Value
--------------------------------------------------------------------------------
Federal National Mortgage Assn. 6.000% 08/18/2016 $ 37,813
Government National Mortgage Assn. 6.750% 09/20/2023 2,140
-------------
$ 39,953
=============
See accompanying notes 75
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 33.2%
--------------------------------------------------------------------------------
Banking & Finance 13.8%
AT&T Capital Corp.
7.110% due 09/13/2001 (d) $ 2,100 $ 2,094
6.310% due 04/23/2002 (d) 5,725 5,741
Banco Latinoamericano SA
7.156% due 11/30/2001 19,500 19,482
CIT Group, Inc.
6.200% due 10/20/2000 3,600 3,586
Ford Motor Credit Corp.
6.240% due 11/16/2001 (d) 11,000 11,009
6.341% due 03/19/2002 (d) 590 591
6.300% due 07/16/2002 (d) 6,500 6,516
6.320% due 12/16/2002 (d) 3,600 3,591
6.224% due 02/13/2003 (d) 15,000 14,964
General Motors Acceptance Corp.
6.190% due 02/25/2002 (d) 1,000 998
Heller Financial, Inc.
6.370% due 10/22/2001 (d) 10,800 10,828
Household Finance Corp.
6.349% due 06/22/2001 (d) 5,000 5,012
HRPT Properties Trust
7.280% due 07/09/2007 5,000 4,998
Lehman Brothers Holdings, Inc.
6.840% due 07/15/2002 (d) 2,700 2,717
6.690% due 04/04/2003 (d) 9,400 9,538
6.700% due 11/30/2006 (d) 1,910 1,762
MBNA America Bank NA
6.420% due 06/10/2004 (d) 10,000 9,972
Mercury Finance Co.
10.743% due 03/23/2001 16,000 15,520
Merrill Lynch & Co.
6.280% due 10/10/2000 (d) 3,000 3,006
6.610% due 11/20/2000 10,000 10,030
6.261% due 06/18/2001 (d) 10,000 9,949
6.480% due 01/11/2002 (d) 8,550 8,573
6.300% due 02/04/2003 (d) 6,000 5,922
MFN Financial Corp.
6.460% due 09/13/2001 (d) 4,000 3,992
Nacional Financiera
9.549% due 12/01/2000 (d) 10,000 9,950
Residential Reinsurance
9.761% due 06/01/2000 (d) 5,000 4,964
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (g) 2,127 2,090
6.224% due 04/02/2002 (d) 3,600 3,607
6.320% due 02/11/2003 (d) 5,000 5,001
6.530% due 03/26/2003 5,000 4,997
Wells Fargo Co.
6.780% due 05/02/2005 (d) 6,400 6,400
-------------
207,400
=============
Industrials 10.7%
Air Canada
6.800% due 07/31/2005 (d) 12,000 10,800
Amerco, Inc.
6.890% due 10/15/2000 16,800 16,627
Arrow Electronics, Inc.
6.860% due 11/24/2000 (d) 15,000 14,996
Atlas Air, Inc.
9.820% due 04/04/2003 (d) 7,000 7,000
Black & Decker
6.606% due 12/20/2001 (d) 7,250 7,319
COFIRI International, Inc.
6.503% due 10/27/2000 (d) 2,000 1,995
Cemex SA
10.750% due 07/15/2000 3,650 3,685
CSX Corp.
6.430% due 06/15/2000 (d) 10,000 9,995
El Paso Energy Corp.
6.690% due 07/15/2001 (d) 4,600 4,603
Gold Eagle
11.453% due 04/16/2001 10,000 9,988
J Seagram & Sons
6.526% due 04/10/2000 (d) 2,400 2,364
Marlin Water Trust
7.090% due 12/15/2001 4,049 3,988
Merita
6.471% due 12/01/2005 (d) 1,000 1,000
Norfolk Southern Corp.
6.700% due 05/01/2000 2,600 2,599
Petroleos Mexicanos
7.600% due 06/15/2000 2,050 2,055
8.402% due 07/15/2005 (d) 15,000 14,813
Stone Container Corp.
10.750% due 10/01/2002 3,435 3,482
TCI Communications, Inc.
6.790% due 04/03/2002 (d) 11,600 11,766
6.850% due 03/11/2003 (d) 4,000 4,088
TRW, Inc.
6.601% due 06/28/2000 (d) 8,900 8,899
Tyco International Group SA
6.819% due 03/05/2001 (d) 14,200 14,192
Williams Communications Group, Inc.
6.540% due 11/15/2001 4,200 4,200
-------------
160,454
=============
Utilities 8.7%
Beaver Valley Funding Corp.
8.250% due 06/01/2003 1,754 1,741
Entergy Arkansas, Inc.
7.720% due 03/01/2003 3,500 3,489
Hughes Electric
7.451% due 10/23/2000 4,500 4,496
Kerr-McGee Corp.
6.414% due 08/01/2001 (d) 50,000 50,002
Niagara Mohawk Power
7.125% due 07/01/2001 6,805 6,712
North Atlantic Energy
9.050% due 06/01/2002 910 902
Public Service Enterprise Group, Inc.
6.330% due 11/22/2000 (d) 15,000 15,000
Sprint Capital Corp.
6.386% due 11/15/2001 (d) 25,600 25,620
Telecom Argentina
9.375% due 06/12/2000 18,100 18,213
Western Massachusetts Electric
7.750% due 12/01/2002 4,000 4,036
-------------
130,211
-------------
Total Corporate Bonds & Notes 498,065
(Cost $490,553) =============
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.2%
--------------------------------------------------------------------------------
Student Loan Marketing Assn.
6.365% due 07/25/2004 (d) 318 316
6.089% due 10/25/2005 (d) 8,935 8,894
5.909% due 04/25/2006 (d) 3,371 3,359
6.635% due 07/25/2006 (d) 3,006 2,996
6.595% due 01/25/2007 (d) 9,517 9,507
6.565% due 04/25/2007 (d) 8,080 8,040
-------------
Total U.S. Government Agencies 33,112
(Cost $33,097) =============
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 11.5%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (g) 95,005 94,738
3.625% due 07/15/2002 (b)(g) 5,793 5,777
3.625% due 01/15/2008 (g) 10,441 10,167
U.S. Treasury Notes
5.500% due 05/31/2000 (b) 61,260 61,241
-------------
Total U.S. Treasury Obligations 171,923
(Cost $171,587) =============
76 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 17.1%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 7.6%
Bank Mart
6.883% due 03/01/2019 (d) $ 5,094 $ 5,186
Countrywide Home Loans
6.050% due 04/25/2029 6,367 6,239
Donaldson, Lufkin & Jenrette
7.580% due 10/17/2020 (d) 155 159
Federal Home Loan Mortgage Corp.
5.876% due 05/18/2000 (d) 20,000 20,000
7.000% due 06/15/2023 1,460 1,458
6.500% due 08/15/2023 8,631 8,453
Federal National Mortgage Assn.
6.769% due 04/25/2020 (d) 18 18
6.500% due 05/18/2024 3,880 3,803
General Electric Capital Mortgage Services, Inc.
6.300% due 09/25/2023 2,000 1,960
6.250% due 10/25/2028 943 928
Greenwich
7.337% due 10/25/2022 (d) 11 11
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2027 10,456 10,145
ICI Funding Corp. Secured Assets Corp.
7.650% due 07/25/2028 10,122 10,099
Norwest Asset Securities Corp.
6.750% due 08/25/2029 9,011 8,841
PaineWebber Mortgage
6.468% due 02/25/2001 (d) 464 460
PNC Mortgage Securities Corp.
6.625% due 03/25/2028 7,903 7,675
Residential Funding Mortgage Securities, Inc.
5.811% due 03/25/2018 (d) 1,676 1,636
Resolution Trust Corp.
6.900% due 05/25/2029 (d) 103 104
Structured Asset Mortgage Investments, Inc.
9.040% due 06/25/2029 19,417 20,022
Structured Asset Securities Corp.
6.295% due 12/25/2000 (d) 1,013 1,012
TMA Mortgage Funding Trust
6.259% due 01/25/2029 5,756 5,756
-------------
113,965
=============
Federal Home Loan Mortgage Corporation 0.3%
6.353% due 07/01/2019 (d) 2,755 2,702
6.781% due 06/01/2022 (d) 436 446
7.266% due 12/01/2022 (d) 576 589
8.500% due 04/01/2025-06/01/2025 (i) 188 192
-------------
3,929
=============
Federal National Mortgage Association 0.6%
6.020% due 05/01/2017 (d) 269 262
6.022% due 07/01/2018 (d) 565 551
6.023% due 11/01/2018-11/01/2028 (d)(i) 1,710 1,668
6.026% due 08/01/2029 (d) 316 308
6.029% due 02/01/2031 (d) 90 88
6.102% due 04/01/2018-11/01/2028 (d)(i) 959 935
6.500% due 09/01/2005 5,483 5,371
7.443% due 05/01/2022 (d) 333 342
-------------
9,525
=============
Government National Mortgage Association 5.2%
6.320% due 02/16/2030 (d) 30,481 30,439
6.375% due 02/20/2026-02/20/2028 (d)(i) 20,732 20,771
6.750% due 07/20/2018-07/20/2023 (d)(i) 17,718 17,867
7.125% due 12/20/2022-12/20/2027 (d)(i) 9,310 9,415
-------------
78,492
=============
Mortgage-Backed Securities 3.2%
CS First Boston Mortgage Securities
6.960% due 01/20/2004 2,522 2,497
Government National Mortgage Association
6.618% due 02/16/2030 (d) 29,585 29,643
6.668% due 02/16/2030 (d) 16,139 16,189
-------------
48,329
=============
Other Mortgage-Backed Securities 0.1%
California Federal Savings & Loan
6.397% due 01/01/2019 (d) 22 22
Fund America
7.166% due 06/25/2023 (d) 124 126
J.P. Morgan & Co.
6.570% due 01/25/2018 (d) 304 299
Resolution Trust Corp.
6.746% due 12/25/2023 (d) 13 13
Structured Asset Securities Corp.
6.709% due 09/25/2036 (d) 871 865
-------------
1,325
=============
Stripped Mortgage-Backed Securities 0.1%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 2,034 96
7.500% due 08/15/2019 639 22
Federal National Mortgage Association (IO)
6.000% due 11/25/2000 168 3
7.000% due 07/25/2006 310 21
6.500% due 02/25/2021 2,746 180
7.000% due 07/25/2021 728 111
6.500% due 03/25/2023 4,089 451
-------------
884
-------------
Total Mortgage-Backed Securities 256,449
(Cost $258,701) =============
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 5.4%
--------------------------------------------------------------------------------
AFC Home Equity Loan Trust
6.029% due 06/25/2028 (d) 10,948 10,918
Allied Waste Industries, Inc.
8.938% due 07/30/2006 819 743
Allied Waste North America, Inc.
8.938% due 07/30/2006 (d) 1,455 1,320
9.125% due 07/30/2007 (d) 2,092 1,898
9.188% due 07/30/2007 (d) 636 578
Argentina Funding Corp.
6.331% due 05/20/2003 (d) 16,000 16,016
Bayview Financial Acquisition
6.429% due 02/25/2029 (d) 5,833 5,837
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 932 931
Green Tree Home Improvement Loan
6.105% due 11/15/2029 (d) 11,460 11,467
Salomon Brothers Mortgage Securities
6.219% due 02/25/2030 (d) 23,582 23,413
Stone Container Corp.
9.500% due 10/01/2003 4,136 4,135
9.625% due 10/01/2003 (d) 4,136 4,135
-------------
Total Asset-Backed Securities 81,391
(Cost $81,986) =============
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 2.4%
--------------------------------------------------------------------------------
Government of Croatia
7.000% due 02/27/2002 3,000 2,912
Hydro Quebec
6.500% due 09/29/2049 (d) 1,000 867
Nacional Financiera
7.975% due 05/08/2003 (d) 6,000 5,957
Republic of Argentina
6.813% due 03/31/2005 (d) 176 165
11.786% due 04/10/2005 (d) 7,000 6,563
Republic of Panama
7.001% due 05/14/2002 (d) 1,373 1,354
United Mexican States
7.439% due 06/27/2002 (d) 10,000 9,858
9.780% due 04/07/2004 (d) 9,000 9,427
-------------
Total Sovereign Issues 37,103
(Cost $44,467) =============
See accompanying notes 77
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 4.2%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 9,750 $ 4,749
Export-Import Bank Korea
3.840% due 10/06/2000 (d) DM 11,370 5,520
Kingdom of Sweden
10.250% due 05/05/2000 SK 1,000 116
Korea Development Bank
2.560% due 06/26/2001 JY 1,000,000 9,884
Tecnost International NV
5.616% due 06/23/2004 (d) EC 34,100 33,473
United Mexican States
8.750% due 05/30/2002 BP 3,000 4,825
7.000% due 06/02/2003 C$ 6,000 3,980
-------------
Total Foreign Currency-Denominated Issues (e)(f) 62,547
(Cost $64,835) =============
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
--------------------------------------------------------------------------------
S&P 500 Index June Futures (CME)
Strike @ 725.00 Exp. 06/16/2002 $ 94 29
-------------
Total Purchased Put Options 29
(Cost $34) =============
--------------------------------------------------------------------------------
COMMON STOCKS 1.5%
--------------------------------------------------------------------------------
Shares
Utilities 1.5%
Eastern Enterprises 800 $ 48
Florida Progress Corp. 111,000 5,092
LG&E Energy Corp. 10,400 238
MCN Energy Group, Inc. 443,300 11,083
Northeast Utilities 252,000 5,418
-------------
Total Common Stocks 21,879
(Cost $21,615) =============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 19.7%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 18.3%
Alcoa, Inc.
5.920% due 05/12/2000 $ 4,000 3,974
Bank One Corp.
6.060% due 05/22/2000 8,000 7,934
Conagra, Inc.
5.860% due 04/05/2000 200 200
6.190% due 04/05/2000 4,400 4,398
6.040% due 04/07/2000 1,400 1,399
6.150% due 05/08/2000 8,500 8,449
6.200% due 05/08/2000 2,800 2,783
Cox Communication
6.050% due 04/10/2000 700 699
DaimlerChrysler AG
6.100% due 06/29/2000 4,200 4,136
Dominion Residential, Inc.
6.040% due 04/04/2000 4,000 3,999
6.140% due 06/05/2000 33,000 32,645
E.I. Du Pont de Nemours
5.890% due 05/22/2000 10,600 10,515
6.030% due 06/06/2000 1,500 1,484
Eastman Kodak Co.
6.030% due 06/07/2000 1,500 1,484
Federal Home Loan Mortgage Corp.
5.960% due 06/15/2000 500 494
5.970% due 06/15/2000 11,100 10,966
5.980% due 06/15/2000 6,600 6,520
Federal National Mortgage Association
5.940% due 06/01/2000 200 198
Finova Capital Corp.
5.960% due 05/15/2000 11,000 10,924
6.140% due 06/08/2000 16,000 15,814
Gannett Co., Inc.
6.000% due 04/13/2000 30,000 29,950
General Motors Acceptance Corp.
6.050% due 05/17/2000 10,000 9,926
Motorola, Inc.
6.090% due 06/02/2000 1,300 1,287
Nabisco, Inc.
6.090% due 04/05/2000 15,000 14,995
Nike, Inc.
5.860% due 04/18/2000 1,000 998
Southwestern Public Service
6.030% due 05/05/2000 5,500 5,471
Sumitomo Bank
6.050% due 04/14/2000 3,000 2,994
6.180% due 04/14/2000 12,000 11,977
Tampa Electric Co.
6.010% due 04/24/2000 18,000 17,937
Texas Utilities Co.
6.050% due 05/26/2000 25,000 24,777
6.240% due 05/26/2000 5,000 4,954
TRW, Inc.
6.060% due 04/17/2000 5,190 5,178
Xerox Credit Corp.
5.890% due 05/16/2000 1,200 1,192
6.050% due 05/18/2000 14,000 13,894
-------------
274,545
=============
Repurchase Agreement 1.1%
State Street Bank
5.600% due 04/03/2000 5,524 5,524
(Dated 03/31/2000. Collateralized by
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $5,639.
Repurchase proceeds are $5,527.)
Daiwa Securities
6.180% due 04/03/2000 10,000 10,000
(Dated 03/31/2000. Collateralized by
U.S. Treasury Inflation Protected Securitie
3.782% due 07/15/2002 valued at $10,222.
Repurchase proceeds are $10,005.)
-------------
15,524
=============
U.S. Treasury Bills (b) 0.3%
5.454% due 05/25/2000 4,910 4,870
-------------
Total Short-Term Instruments 294,939
(Cost $294,949) =============
Total Investments (a) 97.2% $ 1,457,437
(Cost $1,461,824)
Written Options (c) (0.1%) (1,436)
(Premiums $1,231)
Other Assets and Liabilities (Net) 2.8% 42,794
-------------
Net Assets 100.0% $ 1,498,795
=============
78 See accompanying notes
<PAGE>
--------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $1,461,767 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 5,232
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (9,562)
-------------
Unrealized depreciation-net $ (4,330)
-------------
(b) Securities with an aggregate market value of $71,888
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Eurodollar June Futures (03/2001) 1,142 $ (301)
U.S. Treasury 5 Year Note (06/2000) 237 (315)
S&P 500 Index (06/2000) 3,171 92,766
United Kingdom 90 Day LIBOR (09/2000) 20 19
-------------
$ 92,169
=============
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - CME S&P June Futures
Strike @ 1540 Exp. 06/16/2000 87 $ 696 $ 1044
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.93 Exp. 04/19/2000 87,160,000 201 150
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 111 83 96
Call - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 160 63 76
Call - CME Eurodollar December Futures
Strike @ 92.75 Exp. 12/18/2000 80 55 63
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 82.00 Exp. 05/20/2000 456 133 7
-----------------------------
$ 1,231 $ 1,436
=============================
(d) Variable rate security. The rate listed is as of March 31, 2000.
(e) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell BP 3,022 04/2000 $ (54)
Sell C$ 5,773 06/2000 (24)
Sell EC 65,379 04/2000 511
Buy HF 2,000,000 09/2000 (154)
Sell JY 1,017,009 05/2000 (248)
Sell N$ 1,251 04/2000 (8)
Sell 8,553 05/2000 40
Buy PZ 102,100 01/2001 (49)
Buy 25,000 02/2001 135
-------------
$ 149
=============
(f) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
EC - Euro
HF - Hungarian Forint
JY - Japanese Yen
N$ - New Zealand Dollar
PZ - Polish Zloty
SK - Swedish Krona
(g) Principal amount of the security is adjusted for inflation.
(h) Swap agreements outstanding at March 31, 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 0.130%.
Broker: Morgan Stanley & Co.
Exp. 09/29/2000 $ 68,991 $ 0
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR plus 0.140%.
Broker: J.P. Morgan Securities, Inc.
Exp. 04/28/2000 21,000 0
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR plus 0.120%.
Broker: Lehman Brothers, Inc.
Exp. 06/30/2000 61,378 0
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR plus 0.180%
Broker: J.P. Morgan Securities, Inc.
Exp. 03/16/2001 109,518 0
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 5.950%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/17/2001 2,400 (123)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 6.150%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 1,100 (59)
Receive fixed rate equal to 0.34% 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: J.P. Morgan
Exp. 07/31/2000 10,000 0
-------------
$ (182)
-------------
(i) Securities grouped by coupon or range of coupons and represent
a range of maturities.
See accompanying notes 79
<PAGE>
Schedule of Investments
Strategic Balanced Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 40.6%
--------------------------------------------------------------------------------
Banking & Finance 18.1%
Abbey National Capital Trust I
8.963% due 12/29/2049 $ 800 $ 817
AT&T Capital Corp.
7.000% due 08/15/2001 300 299
Bank of America Corp.
6.625% due 06/15/2004 1,000 972
Bank of Tokyo - Mitsubishi
8.400% due 04/15/2010 200 203
Bear Stearns Co., Inc.
6.125% due 02/01/2003 1,100 1,058
Caithness Coso Fund Corp.
6.800% due 12/15/2001 1,042 1,031
Caterpillar Financial Service Corp.
6.875% due 08/01/2004 1,000 975
Countrywide Home Loans
6.850% due 06/15/2004 1,000 972
First Security Corp.
7.701% due 06/01/2005 (d) 3,000 3,000
Ford Motor Credit Corp.
6.300% due 07/16/2002 (d) 300 301
6.190% due 10/15/2002 (d) 1,000 1,000
6.320% due 12/16/2002 (d) 200 200
6.330% due 03/17/2003 (d) 500 500
5.750% due 02/23/2004 1,000 943
General Motors Acceptance Corp.
6.190% due 08/18/2003 (d) 1,000 995
6.850% due 06/17/2004 1,000 975
Hyatt Equities LLC
6.800% due 05/15/2000 2,695 2,692
Lehman Brothers Holdings, Inc.
6.421% due 06/03/2002 (d) 600 596
6.840% due 07/15/2002 (d) 305 307
6.690% due 04/04/2003 (d) 800 812
Merrill Lynch & Co.
6.573% due 03/17/2004 (d) 100 99
Nacional Financiera
9.549% due 12/01/2000 (d) 500 498
NationsBank Corp.
7.033% due 02/18/2002 (d) 100 97
New England Educational Loan Marketing
6.310% due 06/11/2001 (d) 2,000 1,999
Popular, Inc.
6.400% due 08/25/2000 2,000 1,995
Republic New York Corp.
5.279% due 10/28/2002 (d) 100 99
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (h) 1,146 1,126
6.224% due 04/02/2002 (d) 200 200
Wells Fargo & Co.
6.625% due 07/15/2004 1,000 977
Westdeutsche Landesbank
6.050% due 01/15/2009 2,500 2,237
-------------
27,975
=============
Industrials 13.8%
AMR Corp.
10.000% due 02/01/2001 400 407
9.430% due 05/10/2001 1,000 1,017
Conagra, Inc.
6.340% due 06/12/2000 (d) 2,000 1,999
DaimlerChrysler Holdings
6.900% due 09/01/2004 1,000 981
DTE Capital Corp.
8.350% due 11/15/2038 (d) 1,000 963
El Paso Energy Corp.
6.690% due 07/15/2001 (d) 200 200
Grupo Televisa SA
13.250% due 05/15/2008 1,250 1,234
Lockheed Martin Corp.
6.850% due 05/15/2001 2,000 1,974
Norfolk Southern Corp.
6.700% due 05/01/2000 100 100
Occidental Petroleum
6.704% due 04/03/2000 600 600
Petroleos Mexicanos
8.402% due 07/15/2005 (d) 6,000 5,926
Reliant Energy, Inc.
6.375% due 11/01/2003 1,000 963
Royal Bank of Scotland plc
6.770% due 03/31/2049 EC 600 574
Tyco International Group SA
6.819% due 03/05/2001 (d) $ 300 300
Waste Management, Inc.
6.000% due 05/15/2001 1,500 1,442
Williams Communications Group, Inc.
6.540% due 11/15/2001 200 200
Williams Holdings, Inc.
6.680% due 06/13/2000 2,500 2,498
-------------
21,378
=============
Utilities 8.7%
Arizona Public Service
5.750% due 09/15/2000 2,000 1,987
Central Power & Light Co.
6.710% due 11/23/2001 (d) 2,000 2,001
Cleveland Electric/Toledo Edison
7.190% due 07/01/2000 500 499
Dominion Resources, Inc.
6.195% due 01/26/2001 (d) 500 497
Entergy Arkansas, Inc.
7.720% due 03/01/2003 200 199
New Century Energies, Inc.
5.860% due 05/30/2000 1,000 998
Sierra Pacific Resources
6.830% due 10/06/2000 (d) 4,000 3,998
Sprint Capital Corp.
6.386% due 11/15/2001 (d) 1,700 1,701
System Energy Resources
7.710% due 08/01/2001 650 650
Texas Utilities Co.
6.410% due 11/21/2001 1,000 985
-------------
13,515
-------------
Total Corporate Bonds & Notes 62,868
(Cost $63,361) =============
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.6%
--------------------------------------------------------------------------------
Student Loan Marketing Assn.
5.129% due 06/30/2000 (d) 900 900
5.711% due 04/25/2004 (d) 158 158
6.635% due 07/25/2006 (d) 2,024 2,018
6.595% due 01/25/2007 (d) 532 532
6.565% due 04/25/2007 (d) 418 416
-------------
Total U.S. Government Agencies 4,024
(Cost $4,024) =============
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 12.9%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (h)
3.625% due 07/15/2002 (i) 6,320 6,302
3.375% due 01/15/2007 3,194 3,075
3.625% due 01/15/2008 209 203
U.S. Treasury Bonds
10.625% due 08/15/2015 200 286
8.875% due 08/15/2017 3,000 3,838
8.750% due 08/15/2020 800 1,035
8.000% due 11/15/2021 (i) 500 609
6.250% due 05/15/2030 2,300 2,434
U.S. Treasury Notes
5.500% due 05/31/2000 (b) 2,035 2,034
5.125% due 08/31/2000 100 100
U.S. Treasury Strips
0.000% due 05/15/2020 300 90
0.000% due 11/15/2021 100 28
-------------
Total U.S. Treasury Obligations 20,034
(Cost $19,582) =============
80 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 24.3%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 10.2%
Countrywide Home Loans
6.050% due 04/25/2029 $ 289 $ 283
Federal Home Loan Mortgage Corp.
5.876% due 05/18/2000 (d) 1,000 1,000
5.500% due 07/15/2005 32 32
10.150% due 04/15/2006 6 6
7.000% due 05/15/2023 1,763 1,626
6.500% due 08/15/2023 187 175
6.500% due 03/15/2024 307 276
Federal National Mortgage Assn.
6.740% due 08/25/2007 145 141
5.700% due 06/25/2017 1,044 1,033
9.500% due 06/25/2018 210 221
4.000% due 01/25/2022 126 109
5.000% due 04/25/2022 48 42
7.000% due 06/25/2023 272 259
6.500% due 12/25/2023 148 131
First Plus Home Loan Trust
6.060% due 09/10/2011 823 821
General Electric Capital Mortgage Services, Inc.
6.250% due 12/25/2028 1,481 1,326
GMAC Commercial Mortgage Securities, Inc.
6.150% due 11/15/2007 274 260
Greenwich
7.272% due 04/25/2022 (d) 314 313
Housing Securities, Inc.
5.864% due 07/25/2032 (d) 738 738
Independent National Mortgage Corp.
7.218% due 11/25/2024 (d) 114 115
8.432% due 11/25/2024 (d) 52 53
8.350% due 06/25/2025 215 215
Morgan Stanley Capital
6.590% due 10/03/2030 928 903
Norwest Asset Securities Corp.
6.500% due 02/25/2029 2,000 1,826
6.750% due 08/25/2029 437 429
PNC Mortgage Securities Corp.
6.625% due 03/25/2028 320 311
6.500% due 11/25/2029 999 910
Prudential Securities Secured Financing Corp.
6.955% due 06/15/2008 965 944
Resecuritization Mortgage Trust
6.069% due 04/26/2021 (d) 447 435
Resolution Trust Corp.
8.000% due 06/25/2026 831 828
Structured Asset Securities Corp.
6.295% due 12/25/2000 (d) 96 96
-------------
15,857
=============
Federal Home Loan Mortgage Corp. 0.2%
8.500% due 03/01/2023 258 264
-------------
Federal Housing Administration 2.5%
6.000% due 03/20/2028 1,833 1,670
6.930% due 07/01/2014 (d) 533 474
7.430% due 01/01/2023 1,723 1,682
-------------
3,826
=============
Federal National Mortgage Assn. 0.7%
6.130% due 03/01/2029 (d) 350 341
6.500% due 09/01/2005 249 244
7.472% due 12/01/2023 (d) 167 171
8.500% due 07/01/2002-01/01/2008 (g) 283 289
-------------
1,045
=============
Government National Mortgage Assn. 10.2%
6.000% due 04/19/2030 4,000 3,660
6.375% due 04/20/2023-06/20/2027 (d)(g) 1,393 1,400
6.500% due 01/15/2024-04/19/2030 (d)(g) 1,837 1,736
6.750% due 07/20/2023-08/20/2026 (d)(g) 616 621
6.875% due 01/15/2001-02/01/2040 (g) 1,000 963
7.000% due 01/20/2027-04/19/2030 (d)(g) 1,432 1,388
7.250% due 08/24/2024 (d) 286 287
7.500% due 05/15/2017-04/19/2030 (g) 4,705 4,655
8.000% due 09/15/2006-04/19/2030 (g) 835 844
9.500% due 09/15/2009-10/15/2009 (g) 69 70
10.750% due 09/15/2000-10/15/2000 (g) 13 13
16.000% due 10/15/2011-04/15/2012 (g) 148 172
-------------
15,809
=============
Mortgage-Backed Securities 0.1%
CS First Boston Mortgage Securities
6.960% due 01/20/2004 204 202
-------------
Other Mortgage-Backed Securities 0.3%
Home Savings of America
5.722% due 05/25/2027 (d) 549 521
-------------
Stripped Mortgage-Backed Securities 0.1%
Collateralized Mortgage Obligation Trust (PO)
0.000% due 04/23/2017 13 13
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2016 236 4
7.000% due 02/15/2017 49 0
Federal National Mortgage Assn. (IO)
6.500% due 05/25/2005 780 88
6.500% due 09/25/2008 314 26
-------------
131
-------------
Total Mortgage-Backed Securities 37,655
(Cost $38,519) =============
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 4.2%
--------------------------------------------------------------------------------
Amresco Residential Securities Mortgage Loan Trust
6.315% due 07/25/2027 (d) 534 533
Arcadia Automobile Receivables Trust
6.500% due 06/17/2002 297 298
Contimortgage Home Equity Loan Trust
6.174% due 10/15/2012 (d) 244 244
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 63 62
Green Tree Financial Corp.
7.860% due 04/01/2031 400 409
Money Store Home Equity Trust
6.550% due 09/15/2021 1,062 1,056
NPF XII, Inc.
6.588% due 11/01/2003 (d) 1,000 1,000
Saxon Asset Securities Trust
6.355% due 05/25/2029 (d) 2,272 2,267
WMC Mortgage Loan
6.090% due 03/20/2028 (d) 670 669
-------------
Total Asset-Backed Securities 6,538
(Cost $6,543) =============
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 1.8%
--------------------------------------------------------------------------------
Government of Brazil
7.000% due 01/01/2001 (d) 1,107 1,103
Hydro Quebec
6.500% due 09/29/2049 (d) 200 173
Republic of Korea
8.281% due 04/08/2000 (d) 549 551
United Mexican States
7.493% due 06/27/2002 (d) 1,000 1,004
-------------
Total Sovereign Issues 2,831
(Cost $2,811) =============
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(e) 5.7%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
10.000% due 03/15/2002 (i) N$ 300 157
5.500% due 04/15/2003 (i) 500 238
International Bank for Reconstruction & Development
0.000% due 05/27/2003 (i) 100 49
Tecnost International NV
5.616% due 06/23/2004 (d) EC 8,600 8,442
-------------
Total Foreign Currency-Denominated Issues 8,886
(Cost $9,559) =============
See accompanying notes 81
<PAGE>
Schedule of Investments (Cont.)
Strategic Balanced Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
--------------------------------------------------------------------------------
Eurodollar June Futures (CME)
Strike @ 92.000 Exp. 06/19/2000 $ 188 $ 1
S&P 500 Index June Futures
Strike @ 1,540.000 Exp. 06/16/2000 25 3
-----------
Total Purchased Put Options 4
(Cost $3) ===========
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 1.3%
--------------------------------------------------------------------------------
Industrial 1.3%
Hercules Trust VI
8.625% due 12/29/2000 (d) 2,000 1,999
-----------
Total Convertible Bonds and Notes 1,999
(Cost $2,000) ===========
--------------------------------------------------------------------------------
PREFERRED SECURITY 0.7%
--------------------------------------------------------------------------------
Shares
DG Funding Trust
6.181% due 12/29/2049 110 1,104
-----------
Total Preferred Security 1,104
(Cost $1,100) ===========
--------------------------------------------------------------------------------
COMMON STOCKS 0.9%
--------------------------------------------------------------------------------
Utilities 0.9%
Eastern Enterprises 100,000 6
Florida Progress Corp. 7,800 358
LG&E Energy Corp. 600 14
MCN Energy Group, Inc. 28,700 718
Northeast Utilities 16,500 355
-----------
Total Common Stocks 1,451
(Cost $1,429) ===========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 15.2%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 11.4%
Alcoa, Inc.
5.920% due 05/12/2000 $ 800 795
Conoco, Inc.
5.860% due 04/05/2000 1,400 1,399
E.I. Du Pont de Nemours
6.030% due 06/08/2000 100 100
Federal Home Loan Mortgage Corp.
5.970% due 05/02/2000 1,000 995
General Electric Capital Corp.
5.930% due 05/19/2000 1,200 1,191
5.950% due 05/19/2000 1,600 1,588
6.060% due 06/07/2000 1,000 989
Merck & Co.
5.970% due 04/24/2000 4,000 3,987
Monsanto Co.
6.070% due 06/14/2000 800 790
Reseau Ferre De France
6.030% due 05/30/2000 800 792
Southwestern Public Service
6.030% due 05/05/2000 3,400 3,382
Xerox Credit Corp.
6.110% due 06/12/2000 1,700 1,680
-----------
17,688
===========
Repurchase Agreement 1.9%
State Street Bank
5.600% due 04/03/2000 2,844 2,844
-----------
(Dated 03/31/2000. Collateralized by Federal Home
Loan Bank 6.000% due 08/15/2002 valued at $2,906.
Repurchase proceeds are $2,845.)
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
U.S. Treasury Bills 1.9%
5.426% due 04/27/2000-05/25/2000 (b)(g) $ 2,976 $ 2,952
-----------
Total Short-Term Instruments 23,484
(Cost $23,484) ===========
Total Investments (a) 110.2% $ 170,878
(Cost $172,415)
Written Options (c) (0.7%) (1,022)
(Premiums $692)
Other Assets and Liabilities (Net) (9.5%) (14,858)
-----------
Net Assets 100.0% $ 154,998
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $172,420 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. (2,375)
-----------
Unrealized depreciation-net $ (1,542)
===========
(b) Securities with an aggregate market value of $4,986
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Eurodollar March Futures (03/2001) 22 $ (7)
EuroBond 10 Year Note (06/2000) 70 (98)
S&P 500 Index (06/2000) 234 6,837
U.S. Treasury 10 Year Note (06/2000) 30 75
U.S. Treasury 5 Year Note 9 12
U.S. Treasury 30 Year Note (06/2000) 15 (51)
Municipal Bond (06/2000) 50 41
-----------
$ 6,809
===========
(c) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Buy EC 630 04/2000 $ (4)
Sell 7,961 04/2000 65
Buy HF 300,000 09/2000 (23)
-----------
$ 38
===========
(d) Variable rate security. The rate listed is as of March 31, 2000
(e) Principal amount denoted in indicated currency:
EC - Euro
HF - Hungarian Forint
N$ - New Zealand Dollar
82 See accompanying notes
<PAGE>
(f) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 98.00 Exp. 05/20/2000 12 $ 7 $ 13
Call - CBOT U.S. Treasury Note June Futures
Strike @ 98.00 Exp. 05/20/2000 4 2 4
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 100.00 Exp. 05/20/2000 9 3 4
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 82.00 Exp. 05/20/2000 29 8 0
Put - CBOT U.S. Treasury Note June Futures
Strike @ 96.00 Exp. 05/20/2000 28 8 2
Put - CBOT U.S. Treasury Note June Futures
Strike @ 95.00 Exp. 05/20/2000 4 1 0
Call - OTC U.S Treasury Note
6.125% due 08/15/2029
Strike @ 96.06 Exp. 05/12/2000 100 242 627
Put - OTC U.S. Treasury Note
6.125% due 08/15/2029
Strike @ 96.06 Exp. 05/12/2000 100 242 26
Call - CME S&P 500 June Futures
Strike @ 1,540.00 Exp. 06/16/2000 6 48 72
Call - CME Eurodollar December Futures
Strike @ 92.75 Exp. 12/18/2000 5 3 4
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.93 Exp. 04/19/2000 4,960,000 11 9
Put - CME Eurodollar December Futures
Strike @ 93.50 Exp. 12/18/2000 127 109 252
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 5 4 4
Call - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 10 4 5
----------------------
$ 692 $ 1,022
======================
(g) Securities 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 a financing transaction.
(j) Swap agreements outstanding at March 31, 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 0.12%.
Broker: Lehman Brothers
Exp. 07/31/2000 $ 7,615 $ 0
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.466%.
Broker: Morgan Stanley
Exp. 02/11/2005 900 (8)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.408%.
Broker: Goldman Sachs
Exp. 02/25/2005 8,000 (49)
----------
$ (57)
==========
Fixed Notional Unrealized
Type Rate (%) Amount Appreciation
--------------------------------------------------------------------------------
Receive the 30-year Swap Spread and pay a fixed rate.
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 $ 1,100 $ 12
Broker: Goldman Sachs
Exp. 08/14/2000 1.1500 200 0
Receive the 10-year Swap Spread and pay a fixed rate.
The 10-year Swap Spread is the difference between the
10-year Swap Rate and the 10-year Treasury Rate.
Broker: Goldman Sachs
Exp. 08/14/2000 0.9470 600 2
-----------
$ 14
===========
See accompanying notes 83
<PAGE>
Schedule of Investments
Total Return Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 47.3%
-------------------------------------------------------------------------------
Banking & Finance 31.6%
Abbey National Capital Trust I
8.963% due 12/29/2049 $ 23,400 $ 23,905
Abbey National PLC
6.700% due 06/29/2049 5,000 4,546
Abbey National Treasury Service
6.625% due 05/23/2001 240 240
ABN AMRO Mortgage Corp.
7.250% due 05/31/2005 150 148
Aetna, Inc.
6.750% due 08/15/2001 250 247
7.250% due 08/15/2023 50 44
Ahmanson (H.F.) & Co.
7.650% due 04/15/2000 175 175
Allstate Corp.
6.750% due 05/15/2018 280 246
6.900% due 05/15/2038 77,200 65,781
American Express
8.500% due 08/15/2001 350 356
5.625% due 01/22/2004 8,700 8,179
6.250% due 08/10/2005 1,000 981
American General Finance
7.250% due 04/15/2000 500 500
6.270% due 06/09/2000 800 799
5.875% due 07/01/2000 75 75
6.050% due 07/02/2001 3,000 2,953
7.450% due 07/01/2002 200 200
6.250% due 12/18/2002 1,165 1,129
6.375% due 03/01/2003 350 340
8.125% due 03/15/2046 270 258
American Health Properties, Inc.
7.050% due 01/15/2002 700 676
Anthem Insurance
9.000% due 04/01/2027 210 196
AON Capital Trust 'A'
8.205% due 01/01/2027 725 691
Aristar, Inc.
7.375% due 09/01/2004 20,000 19,786
Associates Corp. of North America
6.000% due 06/15/2000 2,684 2,679
6.310% due 06/16/2000 500 500
6.250% due 09/15/2000 200 199
6.625% due 05/15/2001 1,300 1,291
6.700% due 05/29/2001 100 99
6.750% due 07/15/2001 24,000 23,834
7.000% due 07/23/2001 500 499
6.210% due 08/27/2001 (d) 13,500 13,494
6.450% due 10/15/2001 23,600 23,303
7.500% due 04/15/2002 185 185
6.500% due 07/15/2002 750 736
5.750% due 11/01/2003 4,875 4,619
5.800% due 04/20/2004 150 141
Associates First Capital Corp.
6.000% due 12/01/2002 500 483
AT&T Capital Corp.
7.500% due 11/15/2000 5,000 5,014
6.730% due 12/01/2000 (d) 1,900 1,908
6.875% due 01/16/2001 230 230
6.800% due 02/01/2001 24,900 24,836
6.250% due 05/15/2001 19,443 19,245
7.000% due 08/15/2001 16,600 16,539
7.110% due 09/13/2001 (d) 1,030 1,027
6.900% due 01/30/2002 1,000 992
6.750% due 02/04/2002 1,925 1,904
6.310% due 04/23/2002 (d) 74,000 74,208
AVCO Financial Services
6.350% due 09/15/2000 100 100
7.375% due 08/15/2001 300 300
Banco Latinoamericano SA
6.500% due 04/02/2001 950 944
Banco Nacional de Comercio Exterior
8.000% due 04/14/2000 4,600 4,598
7.500% due 07/01/2000 2,000 2,005
7.250% due 02/02/2004 15,050 14,373
Banesto Delaware
8.250% due 07/28/2002 28,900 29,355
Bank of Hawaii
6.875% due 06/01/2003 750 733
Bank of Tokyo - Mitsubishi
8.400% due 04/15/2010 112,000 113,864
Bank One Corp.
6.086% due 04/19/2001 (d) 2,000 2,006
6.169% due 09/04/2001 (d) 14,000 13,977
6.281% due 06/26/2002 (d) 4,000 3,997
BankAmerica Corp.
5.375% due 04/15/2000 750 750
6.160% due 02/26/2001 (d) 3,000 3,001
6.170% due 03/05/2001 (d) 44,000 43,954
6.173% due 02/20/2002 (d) 35,180 35,110
8.125% due 06/15/2002 350 354
7.750% due 07/15/2002 360 363
7.200% due 09/15/2002 1,000 995
7.500% due 10/15/2002 1,200 1,203
6.850% due 03/01/2003 65 64
6.875% due 06/01/2003 100 98
6.375% due 05/15/2005 1,000 948
7.125% due 05/01/2006 500 490
8.375% due 05/01/2007 2 2
9.375% due 09/15/2009 12,950 14,387
7.800% due 02/15/2010 84,000 84,805
8.570% due 11/15/2024 125 140
BankBoston Corp.
6.125% due 03/15/2002 12,500 12,172
Bankers Trust
8.090% due 12/01/2026 275 266
Bankers Trust Corp.
9.400% due 03/01/2001 385 392
6.750% due 10/03/2001 500 496
8.125% due 05/15/2002 300 303
6.066% due 07/03/2002 (d) 10,000 9,972
7.125% due 07/31/2002 150 148
6.200% due 05/11/2003 (d) 82,800 82,775
6.000% due 10/15/2008 500 448
Banponce Financial Corp.
6.463% due 11/13/2001 13,000 12,756
Bayerische Landesbank NY
0.000% due 05/17/2000 (d) 306,000 300,370
6.200% due 02/09/2006 250 234
Bear Stearns Co., Inc.
6.750% due 08/15/2000 50 50
6.500% due 01/08/2001 (d) 8,100 8,134
6.228% due 01/28/2002 (d) 11,250 11,232
6.323% due 04/05/2002 (d) 25,000 25,009
6.348% due 05/07/2002 (d) 4,300 4,299
6.424% due 08/01/2002 (d) 53,600 53,722
6.510% due 12/16/2002 (d) 46,100 46,097
6.125% due 02/01/2003 25 24
6.596% due 03/28/2003 (d) 15,800 15,809
6.750% due 04/15/2003 105 102
6.418% due 05/06/2003 (d) 13,000 13,034
6.415% due 05/16/2003 (d) 39,200 39,298
6.130% due 07/22/2003 (d) 19,000 19,022
6.150% due 03/02/2004 150 142
8.750% due 03/15/2004 75 78
6.521% due 06/01/2004 (d) 9,265 9,299
6.625% due 10/01/2004 250 240
6.566% due 03/18/2005 (d) 37,000 37,026
6.250% due 07/15/2005 25,000 23,409
6.750% due 12/15/2007 2,000 1,892
Bell Atlantic Financial
5.750% due 04/01/2003 1,500 1,524
84 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Beneficial Corp.
5.950% due 07/25/2000 $ 5,000 $ 4,991
6.730% due 01/09/2001 (d) 16,000 15,994
6.110% due 01/09/2002 (d) 500 502
6.210% due 01/23/2002 (d) 5,000 5,001
6.291% due 03/01/2002 (d) 50,000 50,063
8.000% due 06/18/2002 400 405
6.030% due 01/14/2003 320 308
Bombardier Capital, Inc.
6.000% due 01/15/2002 28,000 27,227
7.300% due 12/15/2002 9,000 8,862
6.700% due 06/09/2032 (d) 16,150 16,000
BTM Holdings
6.680% due 09/29/2049 (d) 6,000 6,000
Caithness Coso Fund Corp.
6.800% due 12/15/2001 11,988 11,852
Capital One Bank
6.750% due 07/28/2003 (d) 2,200 2,199
Case Credit Corp.
5.950% due 08/01/2000 2,375 2,367
5.850% due 02/20/2001 (d) 1,600 1,579
Caterpillar Financial Service Corp.
6.151% due 05/27/2001 (d) 10,000 9,997
6.480% due 12/12/2001 575 568
6.300% due 02/11/2002 (d) 700 702
Central Hispano Financial Services
6.540% due 04/28/2005 (d) 5,000 5,002
Chase Manhattan Corp.
8.500% due 02/15/2002 200 204
5.750% due 04/15/2004 150 142
6.000% due 02/15/2009 800 721
Chemical Banking Corp.
6.125% due 11/01/2008 400 360
Chrysler Financial Co. LLC
5.860% due 01/16/2001 500 496
6.034% due 06/11/2001 (d) 21,400 21,402
5.690% due 11/15/2001 650 636
5.400% due 01/15/2002 15,750 15,251
6.950% due 03/25/2002 50 50
6.129% due 07/17/2002 (d) 20,000 20,000
6.144% due 08/08/2002 (d) 37,000 37,034
6.184% due 02/03/2003 (d) 35,000 35,020
6.174% due 03/06/2003 (d) 25,000 25,184
6.164% due 03/10/2003 (d) 10,000 10,072
6.124% due 06/18/2003 35,000 34,990
Chubb Capital Corp.
6.875% due 02/01/2003 100 99
Cigna Corp.
8.250% due 01/01/2007 250 252
Cincinnati Financial Corp.
6.900% due 05/15/2028 80,925 73,136
CIT Group, Inc.
6.200% due 10/20/2000 525 523
6.750% due 05/14/2001 30,000 29,829
6.393% due 10/01/2002 (d) 600 601
CIT Holdings LLC
6.875% due 02/16/2005 7,500 7,295
Citicorp
6.235% due 05/24/2001 (d) 139,000 139,046
6.223% due 09/17/2001 (d) 65 65
6.179% due 11/13/2001 (d) 10,000 10,002
6.231% due 06/27/2002 (d) 11,450 11,411
6.186% due 08/15/2002 (d) 11,500 11,490
6.224% due 11/12/2002 (d) 30,000 29,974
8.000% due 02/01/2003 250 253
7.125% due 09/01/2005 400 393
7.250% due 09/01/2008 500 491
Citifinancial
6.375% due 09/15/2002 115 112
6.500% due 08/01/2004 400 387
Comerica, Inc.
7.250% due 06/15/2007 200 195
Commercial Credit Co.
6.750% due 05/15/2000 100 100
6.000% due 06/15/2000 300 300
5.550% due 02/15/2001 1,300 1,284
8.250% due 11/01/2001 2,500 2,540
6.875% due 05/01/2002 335 332
7.750% due 03/01/2005 550 556
Countrywide Home Loans
6.250% due 04/15/2009 600 541
Credit Asset Receivable
6.274% due 10/31/2003 41,870 40,921
Credit Lyonnais
5.688% due 07/21/2000 (d) 6,750 6,736
Deutsche Bank Capital Trust I
7.872% due 12/29/2049 20,875 19,848
Deutsche Bank Financial
7.500% due 04/25/2009 3,000 2,955
Donaldson, Lufkin & Jenrette
6.400% due 09/18/2002 (d) 13,600 13,589
6.170% due 07/15/2003 20,000 19,168
Dow Capital BV
7.125% due 01/15/2003 100 99
Dresdner Bank-New York
6.625% due 09/15/2005 1,000 957
Dresdner Funding Trust I
8.151% due 06/30/2031 17,500 16,418
Duke Capital Corp.
7.250% due 10/01/2004 19,000 18,789
Edison Funding
6.950% due 12/19/2000 7,000 7,002
EOP Operating LP
6.376% due 02/15/2002 26,310 25,638
Export Credit Bank of Turkey
8.385% due 08/18/2000 (d) 10,740 10,750
8.820% due 08/18/2000 2,923 2,915
Export-Import Bank Korea
6.500% due 11/15/2006 5,000 4,765
Exxon Capital Corp.
7.450% due 12/15/2001 250 252
6.125% due 09/08/2008 2,000 1,864
Farmers Insurance
8.625% due 05/01/2024 275 281
Finova Capital Corp.
5.875% due 10/15/2001 1,000 976
6.720% due 11/08/2002 (d) 52,250 52,448
6.480% due 04/08/2003 (d) 300 300
6.390% due 06/18/2003 (d) 32,300 32,289
6.330% due 11/24/2003 700 652
First Chicago Corp.
6.230% due 03/11/2002 (d) 10,000 10,016
6.230% due 02/18/2003 (d) 10,000 9,939
6.165% due 07/28/2003 (d) 50 50
First Interstate Bancorp
8.875% due 01/01/2009 (l) 162 163
First Union Corp.
7.100% due 08/15/2004 3,000 2,959
7.700% due 02/15/2005 4,000 4,051
6.375% due 01/15/2009 500 457
Fleet Financial Group
9.900% due 06/15/2001 200 206
Ford Capital BV
9.500% due 06/01/2010 200 220
Ford Motor Credit Corp.
6.375% due 10/06/2000 1,300 1,296
6.250% due 11/08/2000 750 747
7.020% due 06/07/2001 1,000 999
6.710% due 07/13/2001 (d) 46,500 46,747
6.210% due 08/27/2001 (d) 27,500 27,497
6.249% due 09/03/2001 (d) 27,000 27,020
7.000% due 09/25/2001 1,125 1,121
6.160% due 10/15/2001 (d) 13,000 13,012
6.240% due 11/16/2001 (d) 76,800 76,860
8.240% due 01/15/2002 85 86
6.165% due 01/17/2002 (d) 53,945 53,769
See accompanying notes 85
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
8.200% due 02/15/2002 $ 500 $ 507
6.500% due 02/28/2002 1,710 1,684
6.341% due 03/19/2002 (d) 28,208 28,283
6.200% due 04/29/2002 (d) 33,000 33,016
6.298% due 05/23/2002 14,000 14,000
6.269% due 06/04/2002 (d) 2,000 2,000
6.300% due 07/16/2002 (d) 98,480 98,718
6.550% due 09/10/2002 4,000 3,930
6.190% due 10/15/2002 (d) 14,000 13,995
7.750% due 11/15/2002 5,730 5,772
6.320% due 12/16/2002 (d) 56,000 55,864
6.000% due 01/14/2003 1,000 963
7.500% due 01/15/2003 250 250
6.218% due 02/03/2003 (d) 30,000 29,931
6.224% due 02/13/2003 (d) 250,185 249,587
6.199% due 02/13/2003 (d) 100,000 99,956
6.330% due 03/17/2003 (d) 13,000 13,000
6.125% due 04/28/2003 25,580 24,655
6.625% due 06/30/2003 775 758
6.370% due 11/24/2003 (d) 32,000 32,063
5.750% due 02/23/2004 620 584
6.310% due 05/21/2004 (d) 22,200 22,246
6.309% due 06/02/2004 (d) 1,500 1,495
6.700% due 07/16/2004 92,305 89,590
8.250% due 02/23/2005 2,500 2,577
7.500% due 03/15/2005 17,000 16,959
6.228% due 04/28/2005 (d) 58,000 57,831
6.125% due 01/09/2006 25 23
5.800% due 01/12/2009 155 137
Fuji Bank
9.870% due 12/31/2049 (d) 17,875 17,786
GATX Capital Corp.
6.440% due 06/09/2000 3,000 2,998
General Electric Capital Corp.
6.875% due 04/15/2000 200 200
8.375% due 03/01/2001 1,415 1,432
6.020% due 05/04/2001 1,000 990
5.500% due 11/01/2001 50 49
5.650% due 03/31/2003 125 120
6.210% due 12/09/2005 400 382
8.300% due 09/20/2009 1,125 1,211
General Motors Acceptance Corp.
9.375% due 04/01/2000 (d) 235 235
5.800% due 04/09/2001 8,340 8,239
6.800% due 04/17/2001 4,800 4,790
5.950% due 04/20/2001 22,150 21,904
6.700% due 04/30/2001 3,000 2,988
7.125% due 05/01/2001 44,395 44,355
6.750% due 06/05/2001 880 876
6.875% due 07/15/2001 1,000 996
6.310% due 08/23/2001 (d) 48,000 48,189
6.060% due 10/22/2001 (d) 25,700 25,658
6.485% due 11/26/2001 (d) 19,000 19,127
6.375% due 12/01/2001 265 261
6.230% due 12/10/2001 (d) 2,200 2,199
9.625% due 12/15/2001 5,650 5,844
6.548% due 12/17/2001 (d) 13,000 13,090
6.130% due 01/08/2002 (d) 3,000 3,007
6.625% due 01/10/2002 500 493
6.140% due 01/28/2002 (d) 3,000 3,000
6.130% due 02/01/2002 (d) 36,700 36,701
6.750% due 02/07/2002 1,590 1,571
6.330% due 03/15/2002 (d) 10,215 10,251
7.750% due 03/25/2002 125 126
6.165% due 04/29/2002 (d) 221,144 221,238
7.000% due 09/15/2002 250 247
6.625% due 10/01/2002 5,000 4,908
6.330% due 10/07/2002 (d) 1,100 1,101
6.199% due 11/12/2002 (d) 10,200 10,180
6.299% due 11/12/2002 (d) 19,595 19,621
6.327% due 12/09/2002 (d) 64,050 64,093
6.200% due 12/15/2002 500 485
5.480% due 12/16/2002 150 143
6.000% due 01/15/2003 990 953
5.875% due 01/22/2003 30,500 29,268
6.750% due 03/15/2003 40,125 39,384
7.125% due 05/01/2003 36,000 35,648
6.681% due 07/20/2003 (d) 9,956 9,947
6.190% due 08/18/2003 (d) 89,940 89,459
5.550% due 09/15/2003 32,000 30,201
6.625% due 10/20/2003 2,000 1,951
5.750% due 11/10/2003 1,000 946
6.251% due 04/05/2004 (d) 35,200 35,122
6.351% due 05/28/2004 (d) 73,000 73,644
6.850% due 06/17/2004 1,000 975
6.551% due 09/20/2004 (d) 20,137 20,119
6.650% due 11/17/2005 500 480
6.150% due 04/05/2007 150 139
8.950% due 07/02/2009 21,483 22,321
Golden State Holdings
2.281% due 01/02/2000 15 335
6.750% due 08/01/2001 1,950 1,881
Goldman Sachs Group
6.200% due 12/15/2000 6,500 6,468
6.210% due 01/09/2001 (d) 75,000 75,150
6.456% due 01/12/2001 (d) 25,000 25,103
6.469% due 01/16/2001 (d) 39,000 39,112
6.220% due 01/25/2001 (d) 27,400 27,426
6.340% due 02/20/2001 (d) 3,000 3,008
6.773% due 04/16/2001 (d) 18,000 18,008
6.390% due 12/07/2001 (d) 25,000 25,060
6.496% due 12/24/2001 (d) 6,000 6,014
6.490% due 02/18/2002 (d) 2,300 2,312
6.340% due 02/22/2002 (d) 3,500 3,504
6.370% due 01/16/2003 (d) 15,000 15,079
6.270% due 01/17/2003 (d) 145,000 145,089
6.349% due 02/10/2004 (d) 10,000 9,806
6.640% due 02/19/2004 (d) 10,000 10,147
6.800% due 02/09/2009 (d) 10,000 10,463
6.500% due 02/25/2009 140 130
Hansol Paper Co. Ltd.
7.934% due 05/24/2001 (d) 20,000 20,200
Hartford Life, Inc.
6.900% due 06/15/2004 600 586
Heller Financial, Inc.
6.240% due 08/25/2000 (d) 3,000 3,002
6.477% due 09/12/2000 5,000 4,989
6.448% due 02/05/2001 13,000 13,017
6.250% due 03/01/2001 25,000 24,774
6.441% due 06/25/2001 (d) 74,550 74,718
5.750% due 09/25/2001 1,400 1,367
6.370% due 10/22/2001 (d) 19,200 19,250
6.500% due 11/01/2001 250 247
7.000% due 11/09/2001 (d) 2,500 2,522
6.220% due 04/26/2002 (d) 12,000 11,979
6.280% due 05/07/2002 (d) 2,000 1,997
6.269% due 05/13/2002 (d) 10,000 9,980
6.460% due 06/24/2002 (d) 5,100 5,095
6.270% due 04/28/2003 (d) 26,000 25,971
6.300% due 04/28/2003 (d) 55,750 55,524
Hertz Corp.
7.000% due 07/15/2003 13,300 13,111
Hitachi Credit America
6.221% due 05/15/2000 25,000 25,008
6.280% due 07/07/2000 (d) 40,000 40,015
Home Savings of America
6.000% due 11/01/2000 14,175 14,075
Household Bank
6.341% due 09/26/2001 (d) 9,000 9,002
6.228% due 10/22/2003 (d) 15,000 14,936
Household Capital Trust
6.531% due 06/26/2004 (d) 13,925 13,850
Household Finance Corp.
6.349% due 06/22/2001 (d) 3,000 3,007
6.199% due 08/01/2001 (d) 1,500 1,500
6.199% due 11/01/2001 (d) 5,000 5,000
6.223% due 05/07/2002 (d) 40,850 40,868
6.310% due 05/24/2002 (d) 113,800 113,762
7.080% due 06/03/2002 15,000 14,893
5.875% due 11/01/2002 200 193
86 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
6.430% due 06/24/2003 $ 35,000 $ 34,990
6.506% due 06/24/2003 (d) 31,000 30,982
7.000% due 08/01/2003 20,000 19,675
6.500% due 11/15/2008 2,000 1,844
Household Netherlands BV
6.125% due 03/01/2003 18,100 17,282
Hyatt Equities LLC
6.800% due 05/15/2000 1,040 1,039
Inter-American Development Bank
5.750% due 04/15/2004 57,400 26,690
8.875% due 06/01/2009 200 224
7.375% due 01/15/2010 4,200 4,267
International Bank for Reconstruction & Development
7.000% due 01/27/2005 1,000 1,010
International Lease Finance
7.000% due 05/15/2000 500 500
6.420% due 09/11/2000 500 500
5.930% due 07/15/2003 14,000 13,435
J.P. Morgan & Co.
6.250% due 12/15/2005 200 188
JET Equipment Trust
10.000% due 06/15/2012 80 89
10.690% due 11/01/2013 100 117
John Hancock
7.375% due 02/15/2024 360 340
KBC Bank Fund Trust III
9.860% due 11/29/2049 (d) 5,700 6,046
KBC Bank Fund Trust IV
8.220% due 11/29/2049 20,764 20,992
Key Bank NA
7.550% due 09/15/2006 350 349
Kimco Realty Corp.
6.500% due 10/01/2003 200 192
Korea Development Bank
7.154% due 10/06/2000 (d) 5,000 5,001
6.500% due 11/15/2002 440 422
7.125% due 04/22/2004 19,125 18,371
7.375% due 09/17/2004 15,000 14,515
6.750% due 12/01/2005 55 51
7.250% due 05/15/2006 50 47
6.510% due 10/20/2000 11,000 10,948
6.000% due 03/07/2001 350,000 3,582
8.600% due 03/25/2002 5,600 5,631
Korean Export-Import Bank
7.250% due 06/25/2001 2,600 2,591
7.125% due 09/20/2001 10,000 9,853
6.500% due 02/10/2002 12,391 12,025
7.100% due 03/15/2007 1,600 1,580
LB Rheinland - PFALZ
5.000% due 02/23/2028 3,400 3,229
Lehman Brothers Holdings, Inc.
7.120% due 07/27/2000 (d) 8,000 7,975
6.400% due 08/30/2000 200 200
6.538% due 12/01/2000 (d) 500 501
6.125% due 02/01/2001 2,000 1,977
6.610% due 02/20/2001 1,500 1,500
6.000% due 02/26/2001 700 692
6.138% due 06/01/2001 (d) 101,600 101,601
6.604% due 07/03/2001 (d) 10,000 10,055
6.904% due 04/02/2002 (d) 64,150 64,528
6.375% due 05/07/2002 26,395 25,763
6.798% due 05/07/2002 (d) 42,100 42,255
6.840% due 07/15/2002 (d) 43,051 43,319
6.419% due 08/12/2002 (d) 6,500 6,472
6.880% due 08/28/2002 (d) 6,500 6,547
6.410% due 09/03/2002 (d) 14,000 13,870
6.690% due 12/12/2002 (d) 57,100 57,266
6.690% due 04/04/2003 (d) 123,100 124,902
7.000% due 05/15/2003 150 147
6.625% due 04/01/2004 65 63
7.625% due 06/01/2006 350 344
8.500% due 05/01/2007 1,475 1,519
LG&E Capital Corp.
6.205% due 05/01/2004 1,000 954
6.460% due 01/15/2008 3,000 2,816
Liberty Mutual Insurance
8.200% due 05/04/2007 17,510 17,654
Limestone Electron Trust
8.625% due 03/15/2003 71,000 71,451
Marine Midland
6.313% due 12/16/2000 (d) 3,700 3,698
MBNA America Bank NA
6.199% due 05/01/2000 (d) 400 400
6.290% due 04/25/2002 (d) 1,000 996
6.875% due 07/15/2004 46,000 44,467
MBNA Corp.
6.990% due 05/24/2002 1,000 987
6.600% due 09/10/2002 (d) 5,000 5,015
6.505% due 12/10/2002 2,100 2,062
MCN Investment Corp.
6.030% due 02/01/2001 6,850 6,766
7.120% due 01/16/2004 7,500 7,144
6.300% due 04/02/2011 7,500 7,392
Mellon Bank Corp.
6.500% due 08/01/2005 75 72
Mellon Financial Co.
6.300% due 06/01/2000 250 250
Mercury Finance Co.
10.000% due 03/23/2001 2,050 1,989
Merrill Lynch & Co.
6.620% due 06/06/2000 500 500
6.450% due 06/20/2000 350 350
6.250% due 07/25/2000 490 490
6.298% due 09/25/2000 (d) 5,000 5,005
6.054% due 10/03/2000 (d) 2,000 2,000
6.770% due 12/05/2000 (d) 89,000 89,004
6.000% due 03/01/2001 1,325 1,311
6.500% due 04/01/2001 400 397
6.750% due 04/30/2001 2,775 2,769
6.208% due 05/08/2001 (d) 54,900 54,660
6.310% due 05/30/2001 (d) 3,800 3,801
6.189% due 06/04/2001 (d) 30,000 30,001
6.129% due 11/01/2001 (d) 35,000 34,977
6.180% due 11/09/2001 (d) 16,000 15,869
6.480% due 01/11/2002 (d) 4,000 4,011
6.140% due 01/15/2002 (d) 17,000 16,845
8.000% due 02/01/2002 400 404
6.424% due 02/01/2002 (d) 33,000 33,049
7.375% due 08/17/2002 300 299
8.300% due 11/01/2002 200 204
6.000% due 02/12/2003 500 482
6.875% due 03/01/2003 140 138
6.396% due 06/24/2003 (d) 27,000 26,897
6.154% due 10/01/2003 (d) 9,500 9,480
5.880% due 01/15/2004 600 567
6.550% due 08/01/2004 100 97
7.000% due 03/15/2006 1,500 1,460
6.560% due 12/16/2007 50 47
7.000% due 04/27/2008 100 96
6.375% due 10/15/2008 17,000 15,652
Metropolitan Life Insurance Co.
6.300% due 11/01/2003 6,800 6,503
Mexico Credit Link
11.384% due 02/22/2002 (d) 29,500 29,706
MFN Financial Corp.
6.460% due 09/13/2001 (d) 10,300 10,279
MIC Financing Trust
8.375% due 02/01/2027 36,000 33,552
Morgan Stanley, Dean Witter, Discover and Co.
5.820% due 06/19/2000 (d) 152,000 150,005
5.750% due 02/15/2001 400 395
6.700% due 05/01/2001 600 597
9.375% due 06/15/2001 300 307
6.353% due 12/17/2001 (d) 5,000 5,004
6.313% due 12/19/2001 (d) 19,700 19,677
6.165% due 01/28/2002 (d) 35,700 35,705
6.190% due 04/15/2002 (d) 300 300
See accompanying notes 87
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
6.310% due 02/21/2003 (d) $ 25,000 $ 25,029
6.308% due 03/11/2003 (d) 11,500 11,465
6.375% due 12/15/2003 150 145
5.625% due 01/20/2004 1,100 1,035
6.290% due 04/22/2004 (d) 68,500 68,438
Morgan, J.P. & Co., Inc.
5.750% due 02/25/2004 22,800 21,578
6.000% due 01/15/2009 34,000 30,309
Nacional Financiera
8.000% due 06/19/2000 4,500 4,496
9.549% due 12/01/2000 (d) 25,760 25,644
22.000% due 05/20/2002 70,000 7,386
NationsBank Corp.
6.750% due 02/26/2001 500 499
7.000% due 09/15/2001 1,500 1,493
6.300% due 06/17/2002 (d) 10,000 9,991
6.125% due 07/15/2004 600 570
NCNB Corp.
7.750% due 08/01/2002 896 895
Noble Affiliates, Inc.
8.950% due 12/15/2004 10,500 10,336
Nordbanken
7.250% due 11/12/2009 21,250 20,626
Nordstrom Credit, Inc.
7.250% due 04/30/2002 1,000 995
Norwest Financial, Inc.
6.375% due 07/16/2002 500 490
6.250% due 11/01/2002 100 97
7.000% due 01/15/2003 300 295
6.000% due 02/01/2004 50 48
Okobank
6.460% due 05/23/2006 (d) 10,000 10,329
Orix Credit Alliance
7.640% due 09/17/2001 13,000 12,908
Osprey Trust
8.310% due 01/15/2003 75,000 75,000
Paccar Financial Corp.
6.740% due 09/15/2000 250 250
Pacific Mutual Life
7.900% due 12/30/2023 8,000 8,261
PaineWebber
6.400% due 02/18/2002 (d) 5,000 4,969
6.520% due 05/20/2002 (d) 1,000 994
Parker Retirement Savings Plan
6.340% due 07/15/2008 891 841
PDVSA Finance Ltd.
7.400% due 08/15/2016 1,200 919
Pemex Finance Limited
6.125% due 11/15/2003 25,000 24,265
Pinnacle Holdings, Inc.
5.500% due 09/15/2007 3,800 3,506
PNC Bank Corp.
5.863% due 06/01/2000 (d) 243,000 242,982
6.224% due 01/24/2002 (d) 49,000 48,952
6.066% due 08/15/2002 (d) 5,000 5,003
PNC Funding Corp.
6.875% due 03/01/2003 100 99
7.000% due 09/01/2004 15,000 14,797
PNC Institutional Capital Association
7.950% due 12/15/2026 150 139
Popular North American, Inc.
7.375% due 09/15/2001 25,000 24,854
Popular, Inc.
6.715% due 06/06/2000 6,000 5,997
6.550% due 10/10/2000 2,485 2,476
6.540% due 11/06/2001 18,705 18,380
6.625% due 01/15/2004 19,500 18,677
Prime Property Funding II
7.000% due 08/15/2004 110 105
Prudential Funding Corp.
6.620% due 08/01/2000 (d) 2,000 1,993
6.240% due 10/02/2000 (d) 20,000 20,032
6.375% due 07/23/2006 55,000 51,468
6.625% due 04/01/2009 17,000 15,287
PSE&G Capital Corp.
6.740% due 10/23/2001 1,400 1,392
Racers
6.340% due 03/03/2003 (d) 282,400 282,400
Reliance Group Holdings
9.000% due 11/15/2000 19,000 17,813
9.750% due 11/15/2003 10,000 7,200
Reliant Energy Financial Co.
7.150% due 12/10/2001 (d) 51,000 50,951
Residential Reinsurance
9.761% due 06/01/2000 (d) 11,500 11,417
Royal Bank of Scotland plc
6.400% due 04/01/2009 15,000 13,707
8.817% due 03/31/2049 38,600 39,397
6.770% due 12/31/2049 113,800 109,943
9.118% due 12/31/2049 65,500 67,552
Safeco Corp.
7.260% due 08/12/2002 500 501
Sakura Capital Funding
7.320% due 08/29/2049 20,000 18,939
7.020% due 09/29/2049 (d) 100,000 96,390
Salomon, Inc.
6.650% due 07/15/2001 600 596
7.000% due 03/04/2002 18,850 18,736
6.470% due 05/16/2002 (d) 23,000 22,987
Salomon, Smith Barney Holdings
5.980% due 03/26/2001 250 248
3.650% due 02/14/2002 (d)(h) 29,036 28,528
6.240% due 04/15/2002 (d) 35,090 35,054
6.279% due 05/14/2002 (d) 26,715 26,675
6.320% due 07/23/2002 (d) 53,400 53,339
6.125% due 01/15/2003 290 280
6.320% due 02/11/2003 (d) 44,200 44,205
Sanwa Business Credit
6.540% due 06/20/2000 1,000 1,000
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 69,740 69,504
Sears Roebuck Acceptance
6.204% due 06/27/2000 (d) 5,000 5,001
6.800% due 05/07/2001 500 496
6.790% due 05/21/2001 500 498
7.110% due 06/19/2001 1,000 995
9.400% due 08/02/2001 250 257
6.860% due 08/06/2001 400 397
6.710% due 08/13/2001 80 79
6.360% due 12/04/2001 290 284
6.120% due 12/13/2001 260 255
8.390% due 02/14/2002 240 243
6.950% due 05/15/2002 300 296
6.000% due 03/20/2003 149,750 143,579
7.260% due 04/21/2003 3,000 2,967
7.140% due 05/02/2003 5,000 4,928
6.560% due 11/20/2003 1,178 1,138
6.250% due 01/15/2004 300 286
6.750% due 09/15/2005 785 748
6.700% due 11/15/2006 500 471
Security Pacific Corp.
6.000% due 05/01/2000 600 600
11.500% due 11/15/2000 4,000 4,107
Seismic Ltd.
0.000% due 01/01/2002 (d) 32,500 32,500
Simon Property Group, Inc.
9.000% due 03/15/2002 2,000 2,018
Skandinaviska Enskilda
7.500% due 03/29/2049 650 580
Socgen Real Estate LLC
7.640% due 12/29/2049 3,000 2,797
Societe Generale
7.400% due 06/01/2006 1,500 1,476
Sovereign Bancorp
6.625% due 03/15/2001 13,500 13,186
Spieker Properties
6.800% due 12/15/2001 5,500 5,385
6.800% due 05/01/2004 1,000 948
88 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Steers
9.848% due 08/07/2002 (d) $ 20,000 $ 20,018
Sumitomo Bank International Finance NV
8.500% due 06/15/2009 3,100 3,150
Sumitomo Bank Treasury Co.
9.400% due 12/29/2049 (d) 33,750 33,786
Sun Life of Canada (U.S.)
8.526% due 05/29/2049 250 233
Telewest Credit Links
7.500% due 04/16/2004 30,000 28,473
Textron Financial Corp.
6.460% due 05/28/2002 (d) 41,900 41,799
Tokai Capital Corp.
9.980% due 12/29/2049 (d) 13,050 13,171
Toyota Motor Credit Corp.
5.707% due 02/15/2002 40,000 38,961
Transamerica Finance Corp.
6.423% due 09/17/2001 (d) 20,000 19,998
6.125% due 11/01/2001 24,000 23,495
6.394% due 12/14/2001 (d) 39,700 39,677
7.250% due 08/15/2002 79,000 78,620
7.500% due 03/15/2004 270 267
6.750% due 11/15/2006 650 607
Travelers Group, Inc.
7.200% due 02/01/2004 38,480 38,145
U.S. Bancorp
6.134% due 01/16/2002 (d) 49,000 48,997
6.279% due 02/03/2003 (d) 18,100 18,097
U.S. West Capital Funding, Inc.
6.875% due 08/15/2001 400 397
Wachovia Corp.
6.805% due 05/02/2005 (d) 49,600 49,600
Washington Mutual, Inc.
6.375% due 07/01/2000 3,000 2,994
8.206% due 02/01/2027 150 141
8.375% due 06/01/2027 235 226
Wells Fargo & Co.
5.625% due 02/05/2001 400 395
8.750% due 05/01/2002 100 103
6.625% due 07/15/2004 47,100 46,021
6.780% due 05/02/2005 (d) 67,700 67,700
Westdeutsche Landesbank
6.750% due 06/15/2005 4,000 3,880
6.050% due 01/15/2009 62,500 55,933
------------
9,975,463
============
Industrials 9.2%
Ahold Finance USA, Inc.
6.875% due 05/01/2029 115 99
Akzo Nobel, Inc.
6.000% due 11/15/2003 32,000 30,255
Albertson's, Inc.
6.375% due 06/01/2000 150 150
Alcan Aluminum Ltd.
5.875% due 04/01/2000 250 251
Allied Waste North America, Inc.
7.375% due 01/01/2004 18,925 16,276
Amerco, Inc.
7.135% due 10/15/2002 15,000 14,367
America West Airlines
6.870% due 07/02/2018 1,956 1,824
American Airlines
10.610% due 03/04/2011 1,895 2,175
Amerigas Partners LP
10.125% due 04/15/2007 1,730 1,765
AMR Corp.
10.610% due 01/11/2001 4,000 4,084
10.570% due 01/15/2001 3,000 3,072
10.590% due 01/31/2001 3,000 3,076
10.000% due 02/01/2001 2,000 2,033
9.400% due 05/08/2001 3,000 3,049
9.500% due 05/15/2001 3,480 3,536
9.130% due 10/25/2001 2,000 2,039
8.470% due 02/20/2002 2,000 2,019
8.500% due 02/26/2002 1,000 1,010
10.210% due 01/01/2010 6,500 7,234
Arrow Electronics, Inc.
6.860% due 11/24/2000 (d) 9,200 9,197
AT&T Canada, Inc.
7.650% due 09/15/2006 140 140
10.750% due 11/01/2007 1,000 857
AT&T Corp.
8.650% due 09/15/2004 625 655
Atlas Air, Inc.
9.820% due 04/04/2003 (d) 3,000 3,000
8.820% due 04/04/2003 (d) 20,000 20,000
Aventis SA
8.620% due 01/05/2021 250 264
Baxter International, Inc.
9.500% due 06/15/2008 200 227
Bayer Corp.
6.500% due 10/01/2002 250 246
Bellat Racers
6.209% due 04/01/2003 20,000 19,956
Bellsouth Telecommunication
6.000% due 06/15/2002 10,000 9,755
BOC Group PLC
5.875% due 01/29/2001 250 248
Boeing Co.
8.375% due 02/15/2001 900 909
6.350% due 06/15/2003 750 724
Boise Cascade Co.
7.150% due 05/15/2001 10,000 9,924
BP Amoco PLC
6.250% due 10/15/2004 1,000 975
Browning-Ferris Industries, Inc.
6.100% due 01/15/2003 6,000 5,414
Cabot Corp.
7.280% due 10/21/2027 5,160 4,819
Campbell Soup Co.
4.750% due 10/01/2003 500 465
Case Credit Corp.
6.318% due 05/05/2000 (d) 13,000 13,002
Cemex SA
10.750% due 07/15/2000 6,250 6,310
8.500% due 08/31/2000 10,000 10,039
9.250% due 06/17/2002 48,500 49,349
Centerior Fuel Corp.
9.750% due 08/02/2000 (l) 8,000 8,120
Century Communications Corp.
9.500% due 08/15/2000 6,250 6,266
0.000% due 03/15/2003 10,515 7,729
CF Cable TV, Inc.
9.125% due 07/15/2007 1,600 1,699
Champion International Corp.
9.700% due 05/01/2001 4,000 4,079
Chancellor AMFM, Inc.
8.000% due 11/01/2008 5,000 4,956
Circus Circus Enterprises
6.750% due 07/15/2003 4,500 4,028
Coastal Corp.
10.375% due 10/01/2000 8,500 8,623
6.569% due 03/06/2002 (d) 153,550 153,550
Coca-Cola Co.
6.375% due 08/01/2001 200 198
7.875% due 02/01/2002 600 606
6.000% due 07/15/2003 250 240
Colgate-Palmolive Co.
6.000% due 08/15/2003 45 44
Coltec Industries, Inc.
7.500% due 04/15/2008 2,200 2,148
Columbia/HCA Healthcare
8.020% due 08/05/2002 9,000 8,715
8.130% due 08/04/2003 7,300 7,048
6.630% due 07/15/2045 10,000 9,509
Comcast Corp.
9.375% due 05/15/2005 34,995 36,682
8.375% due 05/01/2007 145 148
Conagra, Inc.
6.340% due 06/12/2000 (d) 83,300 83,266
See accompanying notes 89
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Conexant Systems, Inc.
4.000% due 01/02/2007 $ 800 $ 732
Conoco, Inc.
6.350% due 04/15/2009 1,900 1,773
Continental Airlines
9.500% due 12/15/2001 385 387
6.954% due 02/02/2011 25,113 24,082
6.900% due 01/02/2018 666 633
Cox Communications, Inc.
6.500% due 11/15/2002 200 195
Cox Enterprises, Inc.
8.000% due 02/15/2007 5,000 4,976
Credit Lyon Capital
2.375% due 01/02/2000 1,300 31,200
CSX Corp.
6.430% due 06/15/2000 (d) 30,500 30,485
9.500% due 08/01/2000 3,385 3,405
DaimlerChrysler Holdings
6.160% due 01/18/2002 18,900 18,902
6.380% due 08/23/2002 (d) 6,410 6,431
Dayton Hudson Corp.
10.000% due 12/01/2000 1,000 1,017
Delphi Auto Systems Corp.
6.125% due 05/01/2004 20,000 18,730
Delta Air Lines, Inc.
9.875% due 05/15/2000 9,275 9,298
6.650% due 03/15/2004 13,500 12,770
10.430% due 01/02/2011 850 962
10.140% due 08/14/2012 1,000 1,131
9.200% due 09/23/2014 6,000 6,009
10.500% due 04/30/2016 3,000 3,574
Diamond Cable Communication Co.
0.000% due 12/15/2005 (d)(k) 3,500 3,290
Disney (Walt) Co.
6.375% due 03/30/2001 1,100 1,093
6.750% due 03/30/2006 100 98
DTE Capital Corp.
8.350% due 11/15/2038 (d) 52,750 50,790
E.I. Du Pont de Nemours
9.150% due 04/15/2000 100 100
Eastman Chemical Co.
6.375% due 01/15/2004 5,750 5,458
Electric Lightwave, Inc.
6.050% due 05/15/2004 15,700 14,960
Eli Lilly & Co.
8.125% due 12/01/2001 500 507
Embotelladora Arica S.A
9.875% due 03/15/2006 8,500 8,764
Enron Corp.
6.400% due 07/15/2006 150 139
Federal Express Corp.
6.845% due 01/15/2019 834 795
Ford Motor Co.
9.000% due 09/15/2001 880 900
6.625% due 10/01/2028 115,800 102,135
7.450% due 07/16/2031 10,000 9,716
Fortune Brands
8.500% due 10/01/2003 500 520
Fred Meyer, Inc.
7.150% due 03/01/2003 11,000 10,763
7.375% due 03/01/2005 38,100 37,190
7.450% due 03/01/2008 300 291
General Motors Acceptance Corp.
6.250% due 05/01/2005 300 284
7.100% due 03/15/2006 250 246
Gillette Co.
6.250% due 08/15/2003 750 734
5.750% due 10/15/2005 1,500 1,417
Global Crossing Holding Ltd.
9.625% due 05/15/2008 15,000 14,550
Gold Eagle
11.453% due 04/16/2001 43,300 43,248
Gulf Canada Resources
9.250% due 01/15/2004 7,250 7,329
9.625% due 07/01/2005 2,000 2,005
H.J. Heinz Co.
7.500% due 04/26/2000 150 150
Hanson Overseas BV
6.750% due 09/15/2005 225 216
Harrahs Operating Co., Inc.
7.875% due 12/15/2005 5,000 4,650
Hollinger International Publishing
9.250% due 02/01/2006 3,000 2,820
Houghton Mifflin Co.
5.990% due 12/03/2001 3,000 2,918
Hyder PLC
6.500% due 12/15/2008 10,000 8,774
IBM Corp.
7.250% due 11/01/2002 450 452
6.450% due 08/01/2007 500 479
ICI Wilmington
6.750% due 09/15/2002 10,000 9,800
IMEXSA Export Trust
10.125% due 05/31/2003 529 516
Imperial Tobacco
7.125% due 04/01/2009 21,000 18,922
Inco Ltd.
9.875% due 06/15/2019 5,000 5,195
Ingersoll-Rand Co.
6.255% due 02/15/2001 295 293
International Game Technology
7.875% due 05/15/2004 24,500 22,969
International Paper Co.
6.875% due 07/10/2000 4,260 4,251
9.050% due 02/08/2001 100 101
ISP Holdings, Inc.
9.750% due 02/15/2002 6,250 5,953
9.000% due 10/15/2003 5,000 4,500
J Seagram & Sons
6.526% due 04/10/2000 (d) 94,000 92,590
6.250% due 12/15/2001 51,000 49,774
K Mart Corp.
8.190% due 11/24/2003 5,000 4,846
K N Energy, Inc.
6.450% due 03/01/2003 240 232
Kellogg
5.750% due 02/02/2001 86,925 85,902
K-III Communications Co.
8.500% due 02/01/2006 4,000 3,820
KPNQWest BV
8.125% due 06/01/2009 5,000 4,825
Kroger Co.
6.000% due 07/01/2000 14,000 13,945
7.063% due 10/01/2010 (d) 54,000 53,992
Lattice Semiconductor Co.
4.750% due 11/01/2006 750 1,376
Lear Corp.
7.960% due 05/15/2005 90 84
Lenfest Communications
8.375% due 11/01/2005 5,000 5,209
Limited, Inc.
7.800% due 05/15/2002 500 502
Lockheed Martin Corp.
6.850% due 05/15/2001 7,000 6,910
Loyola University of Chicago
6.030% due 06/15/2000 (d) 16,100 16,017
Lucent Technologies
7.250% due 07/15/2006 150 150
Mallinckrodt, Inc.
6.300% due 03/15/2001 (d) 12,375 12,196
Marlin Water Trust
7.090% due 12/15/2001 20,241 19,935
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (l) 1,980 2,334
McDonald's Corp.
6.500% due 08/01/2007 250 242
McLeodUSA, Inc.
0.000% due 03/01/2007 (k) 5,000 3,938
8.125% due 02/15/2009 1,200 1,062
Mobil Corp.
8.375% due 02/12/2001 340 344
90 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Monsanto Co
6.000% due 12/01/2005 $ 250 $ 231
Motorola, Inc.
7.600% due 01/01/2007 200 204
Nabisco, Inc.
6.000% due 02/15/2001 (d) 11,240 11,080
6.800% due 09/01/2001 3,000 2,964
6.700% due 06/15/2002 9,000 8,783
6.125% due 02/01/2033 15,000 14,327
Nabors Industries, Inc.
6.800% due 04/15/2004 9,250 8,975
New York Times Co.
7.625% due 03/15/2005 1,000 1,020
News America Holdings Corp.
7.450% due 06/01/2000 3,000 2,999
8.625% due 02/01/2003 750 767
Nike, Inc.
6.510% due 06/16/2000 1,000 1,000
Nisource Capital Markets
7.290% due 09/28/2000 59,000 58,982
Norfolk Southern Corp.
6.700% due 05/01/2000 7,165 7,161
7.875% due 02/15/2004 50 50
Northwest Airlines, Inc.
8.970% due 01/02/2015 1,644 1,665
Occidental Petroleum
6.704% due 04/03/2000 34,300 34,321
6.400% due 04/01/2003 7,710 7,350
Owens Corning
7.000% due 05/15/2000 200 200
Owens-Illinois, Inc.
7.850% due 05/15/2004 2,600 2,499
7.150% due 05/15/2005 10,000 9,244
Packaging Corp. of America
9.625% due 04/01/2009 2,500 2,475
Pepsico, Inc.
5.750% due 01/15/2008 500 458
Petroleos Mexicanos
8.402% due 07/15/2005 (d) 118,650 117,167
8.850% due 09/15/2007 1,800 1,751
9.375% due 12/02/2008 36,650 37,658
Philip Morris Cos., Inc.
9.000% due 01/01/2001 300 303
8.750% due 06/01/2001 5,515 5,514
7.250% due 09/15/2001 70 69
7.500% due 01/15/2002 50 49
6.800% due 12/01/2003 48,345 45,465
7.000% due 07/15/2005 1,125 1,039
7.200% due 02/01/2007 34,000 31,134
Phillips Petroleum Co.
6.375% due 03/30/2009 31,000 27,895
Pr-b Interest Owners Tr Nt (ene)
7.535% due 06/30/2000 (d)(l) 29,419 29,384
Procter & Gamble Co.
5.250% due 09/15/2003 35,600 33,509
Qwest Communications International, Inc.
0.000% due 10/15/2007 (k) 2,500 2,038
Racers
8.090% due 04/28/2003 (d) 30,000 30,000
Racers Bellat
6.160% due 09/15/2005 (d) 15,000 14,967
Raytheon Co.
6.300% due 08/15/2000 32,000 31,869
Reliant Energy, Inc.
8.930% due 05/14/2001 5,300 5,389
8.920% due 05/15/2001 6,500 6,609
6.375% due 11/01/2003 14,000 13,478
Residential Reinsurance
9.163% due 06/01/2000 (d) 1,800 1,771
Reynolds & Reynolds
6.120% due 03/02/2001 4,000 3,946
Rochester Telecom
8.950% due 08/07/2001 3,000 3,073
Rogers Cablesystems, Inc.
10.000% due 12/01/2007 5,000 5,238
Rogers Cantel Mobile Communications, Inc.
9.375% due 06/01/2008 2,750 2,798
Safeco
9.630% due 05/31/2000 (l) 6,500 6,544
9.590% due 05/31/2001 (l) 3,000 3,085
Safeway, Inc.
5.750% due 11/15/2000 150 149
7.000% due 09/15/2002 625 617
6.850% due 09/15/2004 250 243
Sara Lee Corp.
6.300% due 11/07/2005 500 476
Scotia Pacific Co. LLC
7.710% due 01/20/2014 305 254
Semtech Corp.
4.500% due 02/01/2007 4,500 4,269
Smithfield Foods
7.625% due 02/15/2008 2,000 1,740
Smithkline Beecham
7.375% due 04/15/2005 150 151
Stone Container Corp.
10.750% due 10/01/2002 2,500 2,534
Swiss Life Financial Ltd.
2.000% due 05/20/2005 3,000 2,953
TCI Communications, Inc.
6.855% due 09/11/2000 (d) 63,500 63,428
6.900% due 12/20/2000 (d) 10,000 10,006
6.750% due 03/12/2001 (d) 14,700 14,820
6.375% due 05/01/2003 3,280 3,194
Telecommunications, Inc.
8.250% due 01/15/2003 43,125 44,401
Telewest Communications PLC
9.625% due 10/01/2006 5,000 4,850
Tenet Healthcare Corp.
7.875% due 01/15/2003 5,000 4,813
8.625% due 12/01/2003 1,200 1,176
8.000% due 01/15/2005 2,000 1,900
7.625% due 06/01/2008 12,000 10,740
Texaco Capital
8.500% due 02/15/2003 700 720
6.000% due 06/15/2005 400 376
Textron, Inc.
6.750% due 09/15/2002 225 221
Time Warner, Inc.
6.100% due 12/30/2001 39,775 38,891
7.975% due 08/15/2004 59,770 60,938
7.250% due 09/01/2008 125 122
Times Mirror Co.
6.650% due 10/15/2001 300 297
TRW, Inc.
6.601% due 06/28/2000 (d) 30,200 30,195
6.450% due 06/15/2001 20,000 19,669
Tyco International Group SA
6.819% due 03/05/2001 (d) 15,000 14,992
Union Pacific Corp.
6.354% due 05/22/2000 (d) 60,000 59,886
7.875% due 02/15/2002 8,000 8,025
6.930% due 06/01/2003 1,000 983
6.000% due 09/01/2003 8,000 7,569
6.120% due 02/01/2004 250 237
United Air Lines
9.000% due 12/15/2003 1,000 1,011
10.670% due 05/01/2004 2,050 2,204
US Airways
6.850% due 01/30/2018 147 134
USA Waste Services, Inc.
6.125% due 07/15/2001 23,500 22,466
UST, Inc.
7.250% due 06/01/2009 25,000 24,067
See accompanying notes 91
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
USX Corp.
9.800% due 07/01/2001 $ 300 $ 307
Viacom, Inc.
5.875% due 07/15/2000 6,200 6,176
Wal-Mart Stores, Inc.
9.100% due 07/15/2000 250 251
8.625% due 04/01/2001 2,450 2,487
6.150% due 08/10/2001 450 445
6.750% due 05/24/2002 170 169
6.875% due 08/10/2009 900 878
Walt Disney Co.
5.125% due 12/15/2003 500 466
Waste Management, Inc.
6.375% due 12/01/2003 200 180
6.500% due 05/14/2004 89,000 79,617
Westpoint Stevens, Inc.
7.875% due 06/15/2005 8,000 7,026
Westvaco Corp.
9.650% due 03/01/2002 150 156
Whitman Corp.
6.250% due 05/01/2000 15,800 15,800
Williams Communications Group, Inc.
6.540% due 11/15/2001 8,800 8,800
WMX Technologies
6.700% due 05/01/2001 10,000 9,684
7.000% due 10/15/2006 500 435
Wr-b Interest Owners Tr Nt (ene)
7.410% due 06/30/2000 (d)(l) 25,802 25,771
Xerox Corp.
5.875% due 06/01/2000 22,500 22,459
6.500% due 06/29/2000 280 280
5.750% due 07/21/2000 500 499
5.400% due 09/11/2000 400 398
7.410% due 05/15/2001 1,000 1,004
Yorkshire Power
6.154% due 02/25/2003 17,000 16,208
------------
2,883,351
============
Utilities 6.5%
AEP Resources, Inc.
6.500% due 12/01/2003 20,000 19,056
Alabama Power Co.
5.350% due 11/15/2003 1,600 1,501
Arizona Public Service
5.750% due 09/15/2000 250 248
6.490% due 06/30/2001 13,757 13,692
Ashland, Inc.
8.450% due 12/05/2001 3,000 3,056
AT&T Corp.
5.125% due 04/01/2001 600 589
7.350% due 08/27/2001 7,200 7,219
7.125% due 01/15/2002 275 274
7.000% due 05/15/2005 200 197
6.000% due 03/15/2009 50 45
6.500% due 03/15/2029 170 147
Baltimore Gas & Electric
6.125% due 07/01/2003 150 144
Beaver Valley Funding Corp.
8.250% due 06/01/2003 596 592
8.625% due 06/01/2007 5,000 5,004
9.000% due 06/01/2017 235 240
BellSouth Telecommunications, Inc.
7.500% due 06/15/2033 185 172
Calpine Corp.
9.250% due 02/01/2004 4,150 4,181
7.625% due 04/15/2006 7,000 6,620
7.875% due 04/01/2008 2,500 2,353
Central Maine Power Co.
6.500% due 06/14/2000 5,500 5,489
Central Power & Light Co.
6.710% due 11/23/2001 (d) 18,100 18,105
Chesapeake & Potomac Telephone
5.625% due 03/01/2007 500 445
8.000% due 10/15/2029 1,125 1,180
Cleveland Electric Illuminating Co.
9.500% due 05/15/2005 13,000 13,203
CMS Energy
7.375% due 11/15/2000 76,695 75,972
8.125% due 05/15/2002 18,725 18,462
8.375% due 07/01/2003 15,000 14,514
7.000% due 01/15/2005 30,000 27,416
Commonwealth Edison
6.210% due 06/15/2002 (d) 1,000 999
6.625% due 07/15/2003 1,000 973
9.875% due 06/15/2020 11,700 12,869
Connecticut Light & Power Co.
5.750% due 07/01/2000 1,590 1,585
7.875% due 06/01/2001 100 100
7.750% due 06/01/2002 5,000 4,990
8.590% due 06/05/2003 27,000 26,127
Consolidated Edison
6.250% due 12/15/2001 (d) 10,000 10,009
6.625% due 02/01/2002 100 99
Consolidated Natural Gas
7.250% due 10/01/2004 43,750 43,111
Cox Enterprises, Inc.
6.625% due 06/14/2002 5,250 5,116
Duke Energy Corp.
7.000% due 06/01/2000 700 700
5.875% due 06/01/2001 250 246
6.750% due 08/01/2025 25 22
Duqestne Light Co.
6.100% due 05/10/2000 1,000 1,000
Dynegy, Inc.
7.500% due 06/15/2009 12,000 11,764
East Coast Power LLC
6.737% due 03/31/2008 17,981 16,950
El Paso Electric Co.
9.400% due 05/01/2011 7,455 7,907
Enron Corp.
7.660% due 01/14/2002 5,000 5,025
Entergy Mississippi, Inc.
6.699% due 05/03/2004 (d) 31,000 30,881
Flag Ltd.
8.250% due 01/30/2008 1,200 1,068
GTE Corp.
5.500% due 01/15/2009 100 87
7.510% due 04/01/2009 175 174
Hughes Electric
7.451% due 10/23/2000 10,000 9,991
Indiana Bell Telephone Co., Inc.
5.500% due 04/01/2007 500 446
Indiana Michigan Power
6.530% due 11/22/2000 (d) 2,500 2,506
Indianapolis Power & Light
7.375% due 08/01/2007 225 224
Kansai Electric Power Co.
7.250% due 09/25/2006 2,000 1,973
Kentucky Power Co.
6.569% due 11/02/2000 (d) 7,300 7,300
Kerr-McGee Corp.
10.000% due 04/01/2001 9,663 9,881
6.414% due 08/01/2001 (d) 22,100 22,101
6.703% due 11/01/2001 80,500 80,170
Korea Electric Power
7.000% due 10/01/2002 180 174
3.882% due 10/31/2002 (d) 18,900 8,896
6.375% due 12/01/2003 220 206
Louisiana Power & Light Co.
7.740% due 07/01/2002 599 596
MCI Worldcom, Inc.
6.270% due 08/17/2000 (d) 20,000 20,003
6.125% due 08/15/2001 1,330 1,314
6.125% due 04/15/2002 1,250 1,219
8.875% due 01/15/2006 24,529 25,560
Montana Power Co.
6.293% due 04/06/2001 (d) 15,000 15,003
National Power Corp.
9.625% due 05/15/2028 16,000 13,443
National Rural Utilities Cooperative
6.250% due 04/15/2003 50,000 48,189
92 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
New Century Energies, Inc.
5.860% due 05/30/2000 $ 24,400 $ 24,350
New England Telephone & Telegraph Co.
6.375% due 09/01/2008 1,350 1,262
New Jersey Bell Telephone
4.875% due 11/01/2000 800 790
New York Telephone Co.
6.250% due 02/15/2004 150 144
6.000% due 04/15/2008 45 41
6.125% due 01/15/2010 80 72
Niagara Mohawk Power
7.000% due 10/01/2000 60,235 60,122
7.125% due 07/01/2001 20,604 20,323
7.250% due 10/01/2002 24,783 24,481
7.375% due 07/01/2003 39,162 38,189
7.375% due 08/01/2003 1,645 1,642
North Atlantic Energy
9.050% due 06/01/2002 5,995 5,940
Northern Illinois Gas Co.
6.450% due 08/01/2001 1,450 1,437
Northern Telecom Ltd.
8.750% due 06/12/2001 300 305
NRG Energy, Inc.
8.000% due 11/01/2003 6,000 5,956
Nynex Corp.
9.550% due 05/01/2010 6,516 6,990
Ohio Bell Telephone Co.
5.375% due 03/01/2007 950 839
Ohio Power Co.
7.000% due 07/01/2004 24,000 23,213
Oxymar
7.500% due 02/15/2016 100 73
Pacific Gas & Electric Co.
6.750% due 12/01/2000 3,049 3,049
Pacific Northwest Bell
4.375% due 09/01/2002 50 47
Pennsylvania Power & Light
6.000% due 06/01/2000 500 499
Philadelphia Electric
5.625% due 11/01/2001 22,350 21,781
Philippine Long Distance Telephone Co.
7.850% due 03/06/2007 5,000 4,326
10.500% due 04/15/2009 6,000 5,914
PP&L, Inc.
6.125% due 05/01/2001 (d) 16,102 15,949
6.550% due 03/01/2006 500 475
PSEG Energy Holdings
9.125% due 02/10/2004 120 120
Public Service Co. of Colorado
6.000% due 04/15/2003 750 721
Public Service Electric & Gas
6.500% due 06/01/2000 500 500
7.250% due 04/01/2001 (d) 3,191 3,187
6.125% due 08/01/2002 1,000 976
6.250% due 01/01/2007 1,500 1,401
Public Service Enterprise Group, Inc.
6.710% due 11/22/2000 (d) 11,000 11,013
6.350% due 06/15/2001 (d) 156,200 156,290
Queststar Pipeline
9.375% due 06/01/2021 200 219
RAS LAFFAN Liquid Natural Gas
8.294% due 03/15/2014 145 141
Reliant Energy, Inc.
8.750% due 03/01/2022 10,000 10,224
Scana Corp.
6.590% due 02/08/2002 (d) 3,100 3,100
Sierra Pacific Power Co.
6.900% due 10/13/2000 29,000 28,998
Sierra Pacific Resources
7.060% due 05/01/2000 6,000 5,999
6.830% due 10/06/2000 (d) 35,000 34,990
6.200% due 04/15/2004 20,000 18,906
SK Telecom Co. Ltd.
7.750% due 04/29/2004 5,000 4,883
Southern Energy
7.900% due 07/15/2009 175 173
Sprint Capital Corp.
6.386% due 11/15/2001 (d) 100,000 100,079
6.500% due 11/15/2001 370 365
8.125% due 07/15/2002 10,378 10,513
5.875% due 05/01/2004 43,500 41,203
System Energy Resources
7.380% due 10/01/2000 5,000 4,997
7.710% due 08/01/2001 14,850 14,845
Teco Energy, Inc.
5.540% due 09/15/2001 44,630 43,652
Telekomunikacja Polska SA
7.125% due 12/10/2003 12,200 11,704
7.750% due 12/10/2008 13,600 13,202
Tennessee Valley Authority
3.375% due 01/15/2007 (h) 10,647 9,897
0.000% due 04/15/2042 (k) 855 319
Texas Utilities Co.
6.310% due 04/24/2000 (d) 65,100 65,094
6.791% due 06/25/2001 130,200 130,085
6.370% due 08/16/2001 1,000 985
7.105% due 09/24/2001 208,800 209,907
5.940% due 10/15/2001 3,000 2,941
6.500% due 08/16/2002 1,000 987
Texas-New Mexico Power
10.750% due 09/15/2003 11,450 11,589
Toledo Edison Co.
8.180% due 07/30/2002 1,400 1,415
8.700% due 09/01/2002 14,500 14,569
7.850% due 03/31/2003 7,000 7,017
7.875% due 08/01/2004 500 495
Tucson Electric Power
8.500% due 10/01/2009 454 463
TXU Eastern Funding
6.150% due 05/15/2002 53,800 52,321
6.450% due 05/15/2005 8,045 7,486
U.S. West Communications, Inc.
5.650% due 11/01/2004 9,000 8,385
6.625% due 09/15/2005 400 385
6.125% due 11/15/2005 400 376
Union Electric Co.
8.000% due 12/15/2022 1,000 1,027
United Telecom, Inc.
9.500% due 06/06/2001 150 154
Western Massachusetts Electric
7.375% due 07/01/2001 7,000 6,967
Western Resources, Inc.
6.250% due 08/15/2003 13,500 11,621
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/2013 (l) 991 1,024
WorldCom, Inc.
6.400% due 08/15/2005 1,625 1,553
YPF Sociedad Anonima
7.250% due 03/15/2003 16,475 16,044
-------------
2,044,829
-------------
Total Corporate Bonds & Notes 14,903,643
=============
(Cost $15,074,637)
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.5%
--------------------------------------------------------------------------------
Alabama 0.0%
Jefferson County Alabama Revenue, (FGIC Insured), Series 1999
5.125% due 02/01/2029 9,000 8,055
5.000% due 02/01/2033 1,250 1,083
-------------
9,138
=============
California 0.0%
San Francisco California City & County Airport
Community Revenue, (MBIA Insured), Series 1998
4.500% due 05/01/2028 6,700 5,468
-------------
Florida 0.1%
Florida State Bridge Capital Outlay, (FGIC Insured)
Series 1999 4.500% due 06/01/2023 7,000 5,801
See accompanying notes 93
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
---------------------------------------------------------------------------------------------
<S> <C> <C>
Florida State Government Utilities Authority,
(AMBAC Insured), Series 1999
5.000% due 10/01/2029 $ 6,205 $ 5,468
5.000% due 10/01/2029 6,700 5,904
Florida State Turnpike Authority Revenue,
Series 1998 4.500% due 07/01/2027 11,500 9,424
Greater Orlando Aviation Authority, Orlando Florida Airport
Facitities Revenue Bonds, (FGIC Insured), Series 1999
5.125% due 10/01/2028 2,000 1,783
Lakeland Florida Electric & Water Revenue, (MBIA Insured),
Series 1999 5.000% due 10/01/2028 5,350 4,723
------------
33,103
============
Georgia 0.1%
Georgia Government Partnership, (MBIA Insured)
4.750% due 06/01/2028 18,700 15,785
------------
Hawaii 0.1%
Honolulu Hawaii City & County Wastewater
System Revenue, (FGIC Insured),
Series 1998 4.750% due 07/01/2028 14,400 12,170
------------
Illinois 0.0%
Chicago Illinois Lakefront Millennium Package Facilities,
(MBIA Insured), Series 1998 5.125% due 01/01/2028 6,200 5,466
------------
Massachusetts 0.1%
Massachusetts Bay Transportation Authority,
(MBIA Insured), Series 1998
4.750% due 03/01/2021 8,300 7,197
Massachusetts State Turnpike Authority Metro
Highway System, (AMBAC Insured),
Series 1999 5.000% due 01/01/2039 11,300 9,681
------------
16,878
============
Mississippi 0.0%
Mississippi Development Bank Obligation,
(AMBAC Insured), Series 1999 5.000% due 07/01/2024 5,000 4,458
------------
Nevada 0.0%
Clark County Nevada Passenger Facility Charge Revenue,
(MBIA Insured), Series 1998 4.750% due 07/01/2022 6,000 5,137
------------
New York 0.1%
Long Island Power Authority New York Electric System,
(FSA Insured), Series 1998 5.125% due 12/01/2022 9,000 8,149
New York City Municipal Bond, Series 1997
6.346% due 08/01/2002 (d) 11,058 11,047
New York City Transitional Finance Authority Revenue,
(FGIC Insured), Series 1998 4.750% due 11/15/2023 5,000 4,283
New York City, New York, Series D
6.346% due 08/01/2002 (d) 14,815 14,815
New York State Dorm Authority Lease Revenue
4.750% due 01/15/2029 3,850 3,198
5.625% due 04/01/2029 1,000 959
------------
42,451
============
Pennsylvania 0.0%
Philadelphia PA School District, (MBIA Insured),
Series 1998 4.750% due 04/01/2027 6,300 5,305
Pittsburgh & Allegheny County Pa, (AMBAC Insured),
Series 1999 5.000% due 02/01/2029 500 436
------------
5,741
============
Texas 0.0%
Houston Texas Airport System Revenue, (FGIC Insured),
Series 1998 5.000% due 07/01/2025 5,500 4,808
------------
Utah 0.0%
Weber County, Utah Hospital Revenue Bonds,
Series 1999 5.000% due 08/15/2030 500 419
------------
Washington State 0.0%
Seattle Washington, General Obligation Limited,
Series F 5.125% due 12/15/2028 6,000 5,318
------------
Total Municipal Bonds & Notes 166,340
============
(Cost $165,094)
---------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.5%
---------------------------------------------------------------------------------------------
A.I.D. Housing Guarantee - Peru
9.980% due 08/01/2008 935 979
Federal Home Loan Bank
0.000% due 05/12/2000 (d) 185,400 185,398
5.500% due 07/14/2000 1,150 1,148
5.663% due 02/15/2002 (d) 17,000 16,706
5.135% due 09/22/2003 600 565
6.000% due 06/30/2004 1,000 960
5.365% due 12/11/2008 600 527
Federal Home Loan Mortgage Corp.
7.000% due 02/15/2003 500 499
Federal National Mortgage Assn.
9.050% due 04/10/2000 400 400
5.650% due 06/12/2000 50 50
5.560% due 07/24/2000 440 439
5.375% due 03/15/2002 750 729
7.250% due 06/20/2002 55,000 27,171
6.000% due 03/03/2003 500 486
5.750% due 06/15/2005 750 708
6.560% due 12/10/2007 190 180
Student Loan Marketing Assn.
5.129% due 06/30/2000 (d) 63,700 63,692
5.711% due 04/25/2004 (d) 10,916 10,902
6.365% due 07/25/2004 (d) 1,059 1,055
6.375% due 10/25/2004 (d) 19,319 19,255
6.395% due 10/25/2004 (d) 32,283 32,206
5.770% due 10/25/2005 (d) 17,554 17,471
6.089% due 10/25/2005 (d) 26,225 26,103
5.909% due 04/25/2006 (d) 97,402 97,034
6.635% due 07/25/2006 (d) 31,287 31,182
6.595% due 01/25/2007 (d) 89,311 89,217
6.565% due 04/25/2007 (d) 165,769 164,952
------------
Total U.S. Government Agencies 790,014
============
(Cost $791,398)
---------------------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 12.5%
---------------------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h) 1,027,517 1,024,628
3.375% due 01/15/2007 (h) 228,023 220,573
3.625% due 01/15/2008 (h) 416,333 405,404
3.875% due 01/15/2009 (h) 207,773 205,631
3.625% due 04/15/2028 (h) 132,570 125,858
3.875% due 04/15/2029 (h) 127,762 126,724
U.S. Treasury Bonds
12.375% due 05/15/2004 1,000 1,213
10.375% due 11/15/2012 250 308
12.000% due 08/15/2013 6,000 8,115
6.500% due 02/15/2015 (j) 287,500 425,231
10.625% due 08/15/2015 144,600 206,552
9.250% due 02/15/2016 250 325
7.250% due 05/15/2016 275 304
7.500% due 11/15/2016 500 567
8.750% due 05/15/2017 300 379
8.875% due 08/15/2017 1,375 1,759
8.125% due 08/15/2019 41,000 49,841
8.750% due 08/15/2020 214,600 277,706
8.125% due 08/15/2021 305 375
8.000% due 11/15/2021 417,600 508,559
7.125% due 02/15/2023 500 560
6.375% due 08/15/2027 100 104
6.250% due 05/15/2030 21,340 22,580
</TABLE>
94 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
U.S. Treasury Notes
5.125% due 08/31/2000 (b) $ 96,835 $ 96,411
6.625% due 05/15/2007 (j) 36,800 37,525
6.125% due 08/15/2007 1,525 1,511
6.500% due 02/15/2010 21,100 21,845
U.S. Treasury Strips
0.000% due 11/15/2006 270 178
0.000% due 02/15/2019 80,000 25,699
0.000% due 05/15/2020 185,600 55,417
0.000% due 11/15/2021 316,200 87,553
-----------
Total U.S. Treasury Obligations 3,939,435
===========
(Cost $3,848,029)
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 51.1%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 21.6%
ABN AMRO Mortgage Corp.
6.500% due 06/25/2029 7,093 6,438
American Southwest Financial Securities Corp.
7.400% due 11/17/2004 36,860 36,882
12.250% due 11/01/2014 38 37
12.500% due 04/01/2015 288 289
12.000% due 05/01/2015 630 644
11.400% due 09/01/2015 422 421
7.248% due 11/25/2038 52,881 50,270
Bank of America Mortgage Securities
6.250% due 07/25/2014 10,272 9,532
6.250% due 08/25/2028 25,000 22,240
6.500% due 05/25/2029 35,732 32,620
7.250% due 10/25/2029 10,003 8,790
Bankers Trust Co.
8.625% due 04/01/2018 41 41
Bear Stearns Mortgage Securities, Inc.
7.000% due 09/20/2012 34,576 33,528
7.000% due 08/20/2018 10,000 9,528
6.625% due 10/25/2023 (d) 3,510 3,536
10.000% due 08/25/2024 5,000 5,440
7.000% due 03/25/2027 7,000 6,585
8.125% due 09/25/2027 3,000 3,020
7.000% due 02/25/2028 10,000 9,498
Cendant Mortgage Corp.
6.503% due 11/18/2028 (d) 13,937 13,118
6.503% due 11/18/2028 (d) 5,762 4,900
Centre Re Series 1999 - ZC - 1
6.715% due 02/01/2009 30,859 29,209
Chase Mortgage Finance Corp.
8.250% due 10/25/2010 424 422
7.000% due 07/25/2024 3,604 3,579
7.000% due 08/25/2024 3,052 2,941
6.750% due 03/25/2025 8,525 7,153
6.203% due 04/25/2025 (d) 21,540 21,894
6.350% due 07/25/2029 74,414 72,730
Chemical Mortgage Securities
7.250% due 01/25/2026 11,575 11,262
Citicorp Mortgage Securities, Inc.
7.030% due 10/25/2022 (d) 10,949 10,985
6.250% due 04/25/2024 11,796 10,001
7.250% due 10/25/2027 20,462 19,429
6.750% due 09/25/2028 8,859 8,276
5.900% due 05/25/2029 21,125 20,903
CMC Securities Corp.
7.373% due 09/25/2023 (d) 4,376 4,350
7.862% due 04/25/2025 (d) 183 185
7.250% due 11/25/2027 9,349 9,049
6.750% due 05/25/2028 5,000 4,648
Collateralized Mortgage Obligation Trust
10.200% due 02/01/2016 2,567 2,598
7.250% due 04/23/2017 70 69
8.000% due 09/20/2021 6,962 6,991
Collateralized Mortgage Securities Corp.
11.450% due 09/01/2015 1,068 1,076
11.450% due 11/01/2015 (d) 140 141
8.750% due 04/20/2019 465 473
Comm
6.145% due 02/15/2008 16,056 15,289
6.488% due 12/16/2011 (d) 9,000 9,014
Countrywide Home Loans
6.500% due 07/25/2013 5,676 5,218
7.334% due 07/25/2024 (d) 3,898 3,889
6.750% due 11/25/2025 25,567 22,873
7.500% due 06/25/2027 12,194 12,021
7.500% due 09/25/2027 20,000 19,435
7.250% due 12/25/2027 6,224 6,028
7.250% due 02/25/2028 57,846 54,913
6.750% due 06/25/2028 15,103 13,339
6.750% due 08/25/2028 12,807 12,631
6.750% due 11/25/2028 3,000 2,819
6.500% due 01/25/2029 24,978 22,844
6.500% due 03/25/2029 16,744 15,230
6.050% due 04/25/2029 965 945
7.250% due 08/25/2029 5,700 5,353
Crusade Global Trust
6.400% due 02/15/2030 (d) 100,000 100,250
CS First Boston Mortgage Securities
6.750% due 12/27/2028 12,189 10,494
DLJ Mortgage Acceptance Corp.
8.154% due 05/25/2024 (d) 117 119
6.850% due 12/17/2027 6,605 6,516
Donaldson, Lufkin & Jenrette
6.446% due 08/01/2021 (d)(l) 4,540 4,606
7.922% due 12/25/2022 (d) 1,917 1,938
8.112% due 03/25/2024 (d) 541 550
Drexel Mortgage Funding
9.500% due 11/20/2017 715 707
8.600% due 03/01/2018 180 180
FBS Mortgage Corp.
7.136% due 11/25/2024 518 516
Federal Home Loan Mortgage Corp.
6.750% due 10/15/2003 16,183 15,917
7.000% due 10/15/2003 4,007 3,991
7.500% due 11/01/2003 5,165 5,147
6.000% due 06/15/2005 2,692 2,686
10.150% due 04/15/2006 6 6
6.500% due 07/15/2006 11,069 11,003
6.500% due 08/15/2006 710 706
7.500% due 05/01/2007 1,526 1,532
5.500% due 10/15/2007 5,782 5,705
6.500% due 05/15/2008 1,000 982
4.675% due 06/15/2008 (d) 169 150
6.000% due 11/15/2008 225 213
6.200% due 12/15/2008 4,350 3,900
6.000% due 03/15/2009 265 252
7.550% due 03/15/2012 180 179
8.500% due 08/15/2013 2,000 2,039
8.500% due 09/15/2013 5,941 6,038
6.000% due 11/15/2014 400 354
5.400% due 05/25/2016 18,502 18,368
7.000% due 11/15/2016 2,922 2,917
6.250% due 10/15/2017 21,354 21,131
5.900% due 03/15/2018 5,533 5,482
6.350% due 03/25/2018 200 197
5.250% due 05/15/2018 316 313
10.000% due 08/01/2018 65 70
6.400% due 02/15/2019 16,934 16,763
6.500% due 05/15/2019 277 276
6.250% due 07/15/2019 27,756 27,532
5.000% due 08/15/2019 118 115
7.500% due 01/15/2020 4,037 4,043
6.388% due 06/15/2020 (d) 89 89
5.250% due 07/15/2020 382 374
5.500% due 10/15/2020 72 71
9.500% due 11/15/2020 3,855 3,948
9.000% due 12/15/2020 2,724 2,806
8.750% due 12/15/2020 1,265 1,277
6.000% due 12/15/2020 282 267
6.250% due 01/15/2021 200 193
9.500% due 01/15/2021 2,234 2,313
8.000% due 04/15/2021 96 97
See accompanying notes 95
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
6.500% due 05/15/2021 $ 119 $ 117
6.500% due 05/17/2021 72 68
8.500% due 06/15/2021 26,071 26,729
6.950% due 07/15/2021 505 493
8.000% due 07/15/2021 11,237 11,280
9.000% due 07/15/2021 1,998 2,077
9.500% due 07/15/2021 1,618 1,650
8.000% due 08/15/2021 23,472 23,620
6.200% due 08/15/2021 1,467 1,447
6.950% due 08/15/2021 166 163
6.500% due 09/15/2021 1,049 1,008
7.000% due 09/15/2021 171 167
6.500% due 09/15/2021 28,978 28,343
7.000% due 09/15/2021 131 128
7.000% due 10/15/2021 12 12
8.000% due 12/15/2021 17,686 17,918
6.850% due 01/15/2022 700 686
8.250% due 06/15/2022 5,000 5,079
7.000% due 07/15/2022 9,075 8,756
8.500% due 10/15/2022 7,618 7,802
7.500% due 01/15/2023 17,089 16,562
7.000% due 05/15/2023 8,532 7,871
7.000% due 07/15/2023 261 242
6.500% due 07/15/2023 272 259
7.500% due 07/15/2023 395 397
6.500% due 08/15/2023 162,855 159,490
7.500% due 01/20/2024 135 134
6.500% due 02/15/2024 22 21
5.000% due 02/15/2024 116 99
8.000% due 04/25/2024 457 465
6.250% due 05/15/2024 12,947 11,290
7.250% due 08/15/2024 190 188
8.000% due 09/15/2024 16,250 16,431
7.000% due 11/17/2025 40 39
6.500% due 03/15/2026 110 102
7.162% due 10/01/2026 (d) 3,198 3,294
6.000% due 11/15/2026 550 497
7.500% due 01/15/2027 24,258 23,972
8.000% due 02/15/2027 33,246 33,550
7.500% due 03/17/2027 20,000 19,925
6.750% due 05/15/2027 1,489 1,437
7.500% due 06/20/2027 18,850 18,121
6.500% due 08/15/2027 15,143 12,979
6.500% due 10/15/2027 32,300 28,817
6.000% due 11/15/2027 665 602
6.500% due 01/25/2028 8,691 7,605
7.000% due 02/15/2028 1,735 1,598
6.500% due 04/15/2028 157,334 143,400
6.500% due 05/15/2028 48,000 41,416
6.500% due 06/15/2028 56,878 47,571
6.500% due 06/20/2028 22,646 19,079
6.500% due 07/15/2028 68,191 54,516
6.500% due 08/15/2028 267,517 223,489
7.000% due 11/15/2028 9,000 8,487
6.500% due 12/15/2028 6,832 5,406
6.000% due 12/15/2028 22,772 18,773
6.500% due 01/15/2029 10,411 9,564
6.000% due 02/15/2029 3,758 2,820
6.500% due 03/15/2029 25,470 22,928
6.500% due 06/01/2029 110 103
6.500% due 07/01/2029 1,119 1,051
8.000% due 07/15/2029 1,250 1,210
6.165% due 08/15/2032 (d) 28,544 27,409
Federal National Mortgage Assn
9.100% due 02/25/2002 1,033 1,036
7.500% due 05/25/2005 6,700 6,724
7.500% due 02/25/2006 375 373
6.500% due 05/01/2006 172 169
6.500% due 07/25/2006 68 68
8.000% due 11/25/2006 30 30
6.500% due 05/25/2007 8,425 8,284
6.000% due 07/25/2007 300 293
8.804% due 08/25/2007 (d) 10 9
6.270% due 09/25/2007 3,000 2,842
7.000% due 10/25/2007 200 198
6.500% due 05/25/2008 500 490
10.500% due 08/25/2008 7,146 7,737
6.000% due 08/25/2008 86 85
7.452% due 09/25/2008 (d) 1,606 1,433
6.750% due 11/25/2010 1,117 1,109
7.000% due 01/25/2011 198 197
6.000% due 03/18/2015 15,908 15,714
8.000% due 12/25/2016 199 197
9.250% due 04/25/2018 192 201
9.300% due 05/25/2018 730 756
6.425% due 06/25/2018 (d) 3 3
9.500% due 06/25/2018 420 442
5.500% due 07/25/2018 6 6
9.500% due 11/25/2018 8,826 9,041
6.000% due 02/25/2019 5,000 4,916
6.500% due 03/25/2019 885 862
9.500% due 06/25/2019 1,466 1,527
5.650% due 07/25/2019 1,500 1,488
9.300% due 08/25/2019 81 85
6.350% due 08/25/2019 277 273
8.000% due 10/25/2019 1,718 1,718
9.000% due 12/25/2019 6,578 6,718
7.500% due 12/25/2019 81 80
6.500% due 03/25/2020 69 69
7.500% due 05/25/2020 3,630 3,612
6.750% due 06/25/2020 759 756
6.356% due 07/18/2020 (d) 62 62
7.000% due 09/25/2020 15,966 15,832
5.000% due 09/25/2020 200 186
9.000% due 09/25/2020 3,811 3,926
8.000% due 12/25/2020 25,229 25,476
6.375% due 12/25/2020 (d) 19 19
9.000% due 01/25/2021 5,999 6,218
8.750% due 01/25/2021 3,469 3,532
5.750% due 02/18/2021 100 94
9.000% due 03/25/2021 524 536
7.500% due 03/25/2021 5,480 5,468
7.000% due 05/25/2021 300 289
7.500% due 06/25/2021 70 70
6.500% due 06/25/2021 5,932 5,636
8.000% due 07/25/2021 16,336 16,372
8.500% due 09/25/2021 5,851 5,957
7.000% due 10/25/2021 8,997 8,756
8.000% due 10/25/2021 22,645 22,812
7.000% due 11/25/2021 24,015 23,679
6.000% due 12/25/2021 45 44
8.000% due 01/25/2022 21,700 21,742
8.000% due 03/25/2022 96 96
7.000% due 04/25/2022 17,091 16,274
10.000% due 05/01/2022 152 162
7.375% due 05/25/2022 8,894 8,688
8.000% due 06/25/2022 3,710 3,715
7.000% due 06/25/2022 1,416 1,381
8.000% due 07/25/2022 58,786 59,172
7.000% due 07/25/2022 6,172 6,056
6.500% due 10/25/2022 3,919 3,507
7.800% due 10/25/2022 3,674 3,654
6.500% due 12/25/2022 230 222
3.663% due 02/25/2023 (d) 14,032 660
7.000% due 03/25/2023 27,899 26,411
6.500% due 05/18/2023 12,369 12,134
6.900% due 05/25/2023 154 142
7.000% due 06/25/2023 4,805 4,155
6.000% due 08/25/2023 10,794 8,728
6.500% due 08/25/2023 44 41
6.000% due 08/25/2023 2,703 2,484
6.750% due 09/25/2023 3,840 3,477
1.000% due 09/25/2023 299 269
7.500% due 10/25/2023 58 57
6.750% due 10/25/2023 578 524
6.500% due 11/25/2023 90 87
7.100% due 12/25/2023 6,769 6,476
6.500% due 12/25/2023 1,125 971
6.500% due 01/25/2024 2,572 2,222
6.500% due 02/25/2024 5,150 4,801
96 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
7.250% due 02/25/2024 $ 29 $ 29
7.500% due 06/20/2024 120 119
7.000% due 02/18/2025 140 139
6.600% due 05/18/2025 219 205
7.500% due 11/17/2025 289 285
7.500% due 12/25/2025 360 356
7.000% due 02/15/2026 180 175
7.000% due 07/18/2026 450 433
6.500% due 09/18/2026 120 113
7.000% due 12/18/2026 15,751 14,562
6.000% due 12/25/2026 170 156
6.000% due 03/25/2027 320 293
6.000% due 05/17/2027 5,470 4,694
7.000% due 07/18/2027 460 447
8.000% due 08/18/2027 309 93
6.280% due 04/18/2028 (d) 138 137
6.500% due 06/25/2028 3,400 3,046
6.000% due 07/18/2028 8,394 6,982
6.500% due 07/18/2028 67,412 61,660
9.079% due 09/25/2028 23,805 24,750
6.000% due 04/25/2029 10,490 8,172
6.300% due 10/17/2038 14,993 12,996
First Commonwealth Savings & Loan
10.375% due 04/01/2005 17 18
First Nationwide Trust
6.750% due 07/25/2029 11,223 11,081
First Union Residential Securitization, Inc.
7.000% due 04/25/2025 361 345
6.750% due 08/25/2028 9,048 7,987
Gaston Oaks plc
6.930% due 01/01/2036 5,507 5,534
General Electric Capital Mortgage Services, Inc.
6.750% due 12/25/2012 2,889 2,845
6.500% due 09/25/2023 1,175 1,005
6.500% due 12/25/2023 8,631 7,409
6.500% due 01/25/2024 3,895 3,326
6.500% due 02/25/2024 2 2
6.500% due 03/25/2024 63,792 57,007
6.500% due 04/25/2024 64,524 52,207
7.000% due 10/25/2027 14,586 13,633
7.500% due 06/25/2027 3,438 3,368
7.500% due 07/25/2027 10,223 9,980
7.000% due 11/25/2027 72,500 68,902
6.750% due 05/25/2028 23,934 21,610
6.650% due 05/25/2028 7,914 7,756
6.550% due 06/25/2028 23,450 22,312
6.750% due 06/25/2028 21,926 20,474
6.750% due 10/25/2028 9,364 8,722
6.500% due 12/25/2028 19,500 17,767
6.250% due 12/25/2028 55,266 49,490
6.500% due 05/25/2029 9,858 8,941
6.750% due 05/25/2029 20,000 18,562
6.500% due 07/25/2029 95,240 86,391
5.950% due 07/25/2029 24,794 24,274
6.250% due 07/25/2029 132,674 126,507
6.000% due 07/25/2029 18,307 17,753
7.250% due 08/25/2029 8,000 7,513
7.000% due 09/25/2029 15,839 15,066
General Motors Acceptance Corp.
6.700% due 03/15/2008 29,732 28,136
GGP-Homart
6.202% due 06/10/2003 (d) 19,735 19,729
GMAC Commercial Mortgage Securities, Inc.
6.150% due 11/15/2007 21,020 20,003
6.974% due 05/15/2008 29,204 28,578
6.945% due 09/15/2033 24,060 22,829
6.570% due 09/15/2033 31,174 29,851
Goldman Sachs Mortgage Corp.
6.000% due 12/31/2007 (l) 9,086 8,216
Government National Mortgage Assn
6.250% due 06/20/2022 53,459 52,725
7.250% due 12/16/2023 8,617 8,577
7.000% due 01/15/2024 431 420
8.000% due 05/16/2024 95 95
7.000% due 03/20/2026 320 302
7.000% due 08/20/2026 126 120
7.500% due 02/16/2027 19 19
7.500% due 07/16/2027 28,821 27,635
6.500% due 06/20/2028 29,978 26,418
6.500% due 07/20/2028 37,879 29,249
6.500% due 09/20/2028 27,553 22,863
6.500% due 01/20/2029 26,964 21,882
6.500% due 03/20/2029 16,259 14,562
6.000% due 05/20/2029 10,511 8,258
Greenwich
7.272% due 04/25/2022 (d) 594 592
7.352% due 07/25/2022 (d) 1,280 1,275
7.337% due 10/25/2022 (d) 79 79
7.428% due 04/25/2023 (d) 1,141 1,136
7.956% due 04/25/2024 (d) 1,249 1,261
8.423% due 06/25/2024 (d) 1,177 1,201
9.007% due 08/25/2024 (d) 1,700 1,725
8.869% due 11/25/2024 (d) 390 391
GS Mortgage Securities Corp.
6.060% due 10/18/2030 32,437 30,901
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2012 2,350 2,330
7.155% due 12/25/2012 827 815
7.250% due 11/25/2027 5,000 4,851
6.650% due 02/25/2029 1,418 1,415
ICI Funding Corp. Secured Assets Corp.
7.250% due 09/25/2027 18,068 17,415
7.750% due 03/25/2028 1,881 1,807
Imperial CMB Trust
6.820% due 09/25/2026 (d) 7,212 7,215
6.650% due 11/25/2029 1,178 1,159
Independent National Mortgage Corp.
6.650% due 10/25/2024 2,723 2,583
7.218% due 11/25/2024 (d) 1,744 1,769
8.750% due 12/25/2024 30 31
8.539% due 01/25/2025 (d) 142 145
8.000% due 06/25/2025 22 21
7.475% due 07/25/2025 (d) 8,458 8,581
7.416% due 07/25/2025 (d) 3,603 3,624
7.500% due 09/25/2025 1,191 1,187
International Mortgage Acceptance Corp.
12.250% due 03/01/2014 274 307
J.P. Morgan Commercial Mortgage Finance Corp.
9.000% due 10/20/2020 10,667 10,631
8.218% due 04/25/2028 1,615 1,574
6.533% due 01/15/2030 20,000 19,062
7.325% due 07/15/2031 0 0
Kidder Peabody Acceptance Corp.
8.214% due 09/25/2024 (d) 9,678 9,655
LB Mortgage Trust
8.396% due 01/20/2017 13,047 13,484
Mellon Residential Funding Corp.
6.350% due 06/25/2028 22,000 21,168
6.110% due 01/25/2029 23,900 22,728
6.570% due 07/25/2029 44,000 42,585
6.580% due 07/25/2029 55,500 54,918
Merrill Lynch Mortgage Investors, Inc.
7.068% due 06/15/2021 (d) 4,906 4,785
6.658% due 06/15/2021 2,552 2,523
6.808% due 06/15/2021 (d) 5,229 5,079
6.950% due 06/18/2029 40,148 39,744
Midland Realty Acceptance Corp.
7.020% due 01/25/2029 23,022 22,658
Morgan Stanley Capital
6.860% due 05/15/2006 2,386 2,349
6.190% due 01/15/2007 25,166 24,192
6.160% due 04/03/2009 14,006 13,297
7.460% due 02/15/2020 11,450 11,457
6.590% due 10/03/2030 5,806 5,646
Morgan Stanley, Dean Witter, Discover and Co.
6.044% due 07/25/2027 (d) 988 983
Mortgage Capital Funding, Inc.
7.800% due 04/15/2006 500 501
7.008% due 09/20/2006 15,545 15,061
See accompanying notes 97
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Nacional Financiera
22.000% due 05/20/2002 (d) $300,000 $ 35,685
NationsBanc Montgomery Funding Corp.
6.500% due 07/25/2028 14,470 13,159
6.250% due 10/25/2028 2,000 1,780
Nationslink Funding Corp.
5.805% due 02/10/2001 23,781 23,613
6.333% due 10/22/2004 7,172 6,991
6.240% due 04/10/2007 (d) 8,163 8,166
Nomura Asset Securities Corp.
7.602% due 05/25/2024 (d) 2,934 3,007
Norwest Asset Securities Corp.
6.750% due 12/25/2012 18,016 17,444
6.750% due 09/25/2027 3,591 3,464
6.350% due 04/25/2028 2,443 2,412
6.750% due 05/25/2028 5,000 4,585
6.250% due 08/25/2028 5,356 5,276
6.750% due 10/25/2028 17,236 16,047
6.500% due 12/25/2028 20,000 18,203
6.500% due 01/25/2029 1,072 866
6.500% due 02/25/2029 60,000 54,770
5.950% due 04/25/2029 112,115 106,793
6.500% due 04/25/2029 26,751 24,314
6.300% due 04/25/2029 9,559 9,106
6.200% due 04/25/2029 77,385 73,515
5.950% due 04/25/2029 17,152 16,809
6.000% due 05/25/2029 19,713 19,102
6.500% due 06/25/2029 46,178 41,895
6.750% due 08/25/2029 787 772
7.000% due 09/25/2029 3,333 2,889
6.500% due 10/25/2029 1,990 1,811
7.000% due 11/25/2029 14,942 14,149
PaineWebber Mortgage
6.000% due 04/25/2009 11,951 11,246
PNC Mortgage Securities Corp.
6.750% due 06/25/2016 12,180 11,924
7.000% due 10/25/2027 36,240 34,316
6.750% due 12/25/2027 7,230 6,446
6.500% due 02/25/2028 1,777 1,763
7.000% due 02/25/2028 25,767 24,508
6.984% due 02/25/2028 9,666 9,304
6.625% due 03/25/2028 926 899
7.000% due 05/25/2028 6,918 6,785
6.550% due 07/25/2028 24,500 24,071
6.750% due 07/25/2028 3,527 3,282
6.750% due 09/25/2028 4,000 3,721
6.750% due 10/25/2028 26,133 24,441
6.750% due 12/25/2028 21,709 20,160
6.250% due 01/25/2029 9,263 8,291
6.300% due 03/25/2029 10,000 8,937
6.500% due 06/25/2029 48,600 44,114
6.200% due 06/25/2029 54,237 51,956
Prudential Bache
6.151% due 09/01/2018 (d) 234 229
8.400% due 03/20/2021 6,706 6,770
Prudential Home Mortgage Securities
2.109% due 12/25/2000 (d) 209 203
7.000% due 01/25/2008 23,860 23,472
6.400% due 04/25/2009 1,158 1,150
6.950% due 11/25/2022 222 202
7.000% due 07/25/2023 12,657 12,463
6.750% due 10/25/2023 9,293 7,385
7.756% due 11/25/2023 (d) 872 868
5.900% due 12/25/2023 7,323 7,203
6.050% due 04/25/2024 3,571 3,524
6.800% due 05/25/2024 10,605 9,605
6.000% due 05/25/2024 4 4
6.450% due 11/25/2025 5,264 4,533
2.601% due 12/25/2025 (d) 281 273
Prudential Securities Secured Financing Corp.
6.074% due 01/15/2008 12,945 12,247
6.955% due 06/15/2008 20,169 19,738
PSB Financial Corp.
11.050% due 12/01/2015 477 479
Resecuritization Mortgage Trust
6.750% due 06/19/2028 18,343 17,236
Residential Accredit Loans, Inc.
6.250% due 03/25/2014 318 301
7.250% due 06/25/2027 2,100 2,028
7.500% due 08/25/2027 15,000 14,621
7.000% due 02/25/2028 41,115 39,084
6.500% due 12/25/2028 400 364
6.500% due 05/25/2029 3,000 2,727
6.750% due 06/25/2029 963 923
Residential Asset Securitization Trust
7.375% due 03/25/2027 5,142 4,949
7.000% due 03/25/2027 18 18
7.000% due 10/25/2027 19,642 18,452
6.750% due 06/25/2028 18,259 17,775
6.500% due 12/25/2028 1,250 1,116
6.500% due 03/25/2029 22,700 21,260
Residential Funding Mortgage Securities, Inc.
7.000% due 08/25/2008 6,650 6,606
7.500% due 09/25/2011 19,385 19,270
7.000% due 05/25/2012 3,095 2,977
6.500% due 12/25/2012 18,126 17,105
7.750% due 09/25/2022 444 441
8.000% due 01/25/2023 3,045 3,055
8.000% due 02/25/2023 9,298 9,273
6.500% due 11/25/2023 1,660 1,487
7.500% due 09/25/2025 14,305 14,226
7.500% due 12/25/2025 952 939
7.750% due 11/25/2026 9,000 9,007
7.500% due 04/25/2027 6,253 6,106
7.500% due 06/25/2027 51,535 50,361
7.500% due 07/25/2027 25,265 25,123
7.250% due 08/25/2027 16,000 15,475
7.250% due 10/25/2027 43,645 42,043
7.000% due 11/25/2027 17,000 16,010
6.750% due 02/25/2028 14,038 13,560
6.750% due 05/25/2028 60,741 55,992
6.750% due 06/25/2028 72,098 65,971
6.750% due 08/25/2028 10,000 9,381
6.750% due 09/25/2028 65,993 61,301
6.500% due 10/25/2028 52,000 47,338
6.250% due 11/25/2028 3,000 2,677
6.500% due 12/25/2028 23,400 21,216
6.500% due 01/25/2029 72,314 65,973
6.500% due 03/25/2029 6,980 6,370
6.200% due 05/25/2029 89,761 88,290
6.500% due 06/25/2029 10,974 8,055
6.750% due 07/25/2029 22,600 20,923
7.000% due 10/25/2029 25,260 23,877
7.500% due 11/25/2029 12,338 11,793
Resolution Trust Corp.
6.180% due 09/25/2020 (d)(m) 12,262 4,537
7.331% due 09/25/2020 (d) 1,759 1,547
8.560% due 06/25/2021 (d) 277 276
8.686% due 08/25/2021 7,297 7,268
8.138% due 10/25/2021 (d) 158 157
8.625% due 10/25/2021 145 145
5.585% due 10/25/2021 (d) 139 137
8.640% due 05/25/2022 (d) 1,536 1,524
7.875% due 08/25/2023 (d) 2,001 2,003
8.835% due 12/25/2023 3,300 3,347
9.450% due 05/25/2024 9,677 9,640
7.100% due 12/25/2024 643 640
7.654% due 10/25/2028 (d) 5,814 5,832
6.824% due 10/25/2028 (d) 15,215 15,311
7.515% due 05/25/2029 (d) 2,950 2,921
6.788% due 05/25/2029 (d) 2,854 2,830
RMF Commercial Mortgage Securities, Inc.
6.715% due 01/15/2019 235 225
Ryan Mortgage Acceptance Corp.
9.450% due 10/01/2016 81 83
Ryland Acceptance Corp.
11.500% due 12/25/2016 97 97
8.200% due 09/25/2022 30 30
14.000% due 11/25/2031 896 943
98 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Ryland Mortgage Securities Corp.
8.200% due 06/25/2021 $ 35 $ 35
7.706% due 08/25/2022 (d) 1,995 2,043
7.132% due 08/25/2029 (d) 2,769 2,785
6.816% due 10/25/2031 (d) 4,546 4,501
Salomon Brothers Mortgage Securities
7.669% due 11/25/2022 (d) 585 585
8.528% due 07/01/2024 (d) 4,525 4,584
6.219% due 04/25/2029 (d) 27,697 27,699
6.259% due 04/25/2029 (d) 7,169 7,170
Santa Barbara Savings
9.500% due 11/20/2018 2,228 2,224
Saxon Mortgage
6.250% due 04/25/2009 4,225 4,181
6.500% due 02/25/2024 2,082 2,033
8.459% due 09/25/2024 (d) 4,464 4,526
Securitized Asset Sales, Inc.
7.707% due 10/25/2023 (d) 1,534 1,528
7.585% due 12/26/2023 (d) 1,321 1,299
7.410% due 09/25/2024 (d) 9,900 9,816
Security Pacific National Bank
6.004% due 03/25/2018 (d) 91 89
Small Business Investment Co.
7.540% due 08/10/2009 87,128 87,396
8.017% due 02/10/2010 104,000 106,791
7.640% due 03/26/2010 69,185 68,860
Southern Pacific Secured Assets Corp.
6.049% due 06/25/2028 (d) 41,153 40,748
Starwood Commercial Mortgage
6.600% due 02/03/2009 12,054 11,684
Structured Asset Mortgage Investments, Inc.
6.905% due 06/25/2028 (d) 40,348 38,812
6.250% due 11/25/2028 14,878 13,263
6.750% due 01/25/2029 10,000 9,281
6.300% due 05/25/2029 21,766 20,944
6.585% due 06/25/2029 (d) 31,842 31,570
7.250% due 07/25/2029 27,623 27,171
6.750% due 05/02/2030 22,701 20,970
Structured Asset Notes Transactions Ltd.
6.650% due 08/30/2005 21,085 20,190
Structured Asset Securities Corp.
7.000% due 12/25/2027 51,500 48,812
TMA Mortgage Funding Trust
6.259% due 01/25/2029 37,974 37,974
Union Planters Mortgage Finance Corp.
6.750% due 01/25/2028 4,000 3,729
6.800% due 01/25/2028 15,000 14,343
Vendee Mortgage Trust
7.750% due 03/15/2016 427 427
7.500% due 08/15/2017 370 371
7.750% due 05/15/2018 550 554
6.500% due 05/15/2020 27,833 25,449
6.836% due 01/15/2030 16,957 16,160
Western Federal Savings & Loan
7.235% due 06/25/2021 (d) 3,808 3,794
---------
6,822,531
=========
Federal Home Loan Mortgage Corporation 1.5%
5.000% due 10/15/2020 1,000 939
5.500% due 04/01/2001-04/13/2030 (g) 6,105 5,446
5.750% due 08/15/2020 300 292
5.861% due 12/01/2026 (d) 6,618 6,484
6.000% due 12/01/2000-02/15/2025 (g) 44,777 43,360
6.125% due 04/01/2017-06/01/2017 (d)(g) 56 56
6.340% due 10/25/2023 (d) 16,742 17,209
6.500% due 07/01/2001-05/01/2029 (g) 169,067 153,868
6.537% due 11/01/2026 (d) 8,141 8,191
6.704% due 11/01/2028 (d) 26,446 25,833
6.750% due 01/17/2025 10,220 10,082
6.775% due 11/01/2003 69 68
6.826% due 07/01/2022 (d) 1,064 1,091
6.863% due 07/01/2025 (d) 7,207 7,239
6.900% due 07/01/2023 (d) 604 629
6.922% due 05/01/2023 (d) 986 1,017
6.945% due 08/01/2023 (d) 1,069 1,109
6.957% due 08/01/2023 (d) 5,750 6,004
7.000% due 05/01/2000-07/01/2028 (g) 14,663 14,478
7.014% due 08/01/2024 (d) 208 216
7.062% due 08/01/2023 (d) 514 530
7.085% due 05/01/2027 (d) 1,045 1,080
7.130% due 09/01/2023 (d) 2,562 2,675
7.141% due 09/01/2023 (d) 10,793 11,178
7.168% due 10/01/2023-07/01/2024 (d)(g) 3,256 3,374
7.200% due 10/01/2006 73,733 72,409
7.243% due 09/01/2023 (d) 1,547 1,602
7.269% due 04/01/2024 (d) 7,202 7,387
7.281% due 09/01/2027 (d) 2,949 2,966
7.324% due 10/01/2023 (d) 1,820 1,869
7.329% due 08/01/2023 (d) 9 10
7.342% due 06/01/2024 (d) 1,143 1,180
7.347% due 10/01/2023 (d) 994 1,021
7.492% due 04/01/2029 (d) 1,421 1,462
7.498% due 01/01/2024 (d) 536 550
7.500% due 09/01/2003-08/01/2027 (g) 11,158 11,134
7.625% due 01/01/2019 (d) 8 8
7.631% due 09/01/2023 (d) 1,513 1,549
7.750% due 04/01/2007 27 27
7.751% due 05/01/2023 (d) 1,832 1,868
7.777% due 04/01/2023 (d) 524 536
7.818% due 01/01/2024 (d) 488 502
7.834% due 07/01/2023 (d) 1,977 2,032
7.907% due 10/01/2023 (d) 507 524
7.954% due 11/01/2023 (d) 416 426
7.957% due 10/01/2023 (d) 1,207 1,251
7.980% due 11/01/2023 (d) 316 325
8.000% due 01/01/2002-09/01/2018 (g) 3,279 3,279
8.188% due 11/01/2023 (d) 347 350
8.250% due 08/01/2007-12/01/2009 (g) 192 196
8.500% due 09/01/2001-11/01/2024 (g) 5,353 5,458
8.750% due 02/01/2001-12/01/2010 (g) 149 150
8.900% due 11/15/2020 13,289 13,526
9.000% due 01/01/2002-09/15/2020 (g) 638 649
9.250% due 06/01/2009-11/01/2013 (g) 104 108
9.500% due 08/01/2001-12/01/2022 (g) 1,447 1,509
9.750% due 03/01/2001-05/01/2009 (g) 62 64
10.000% due 06/01/2004-03/01/2021 (g) 1,134 1,185
10.100% due 09/01/2016 321 341
10.250% due 03/15/2009-05/01/2009 (g) 1,200 1,271
10.500% due 10/01/2017-01/01/2021 (g) 448 481
11.000% due 11/01/2009-05/01/2020 (g) 682 729
11.250% due 10/01/2009-09/01/2015 (g) 133 143
11.500% due 05/01/2000-01/01/2018 (g) 80 87
12.500% due 12/01/2012 19 20
13.250% due 10/01/2013 80 90
14.000% due 04/01/2016 21 24
15.500% due 08/01/2011-11/01/2011 (g) 16 18
16.250% due 05/01/2011 3 3
---------
462,767
=========
Federal Housing Administration 1.5%
6.500% due 02/15/2001-03/01/2040 (g) 8,005 7,322
6.630% due 05/28/2039-07/01/2040 (g) 3,091 2,843
6.687% due 07/25/2040 6,054 5,676
6.750% due 07/15/2001 6,157 5,790
6.755% due 06/25/2039-03/01/2041 (g) 17,647 16,206
6.780% due 05/28/2039 3,908 3,691
6.790% due 05/01/2039 10,902 10,688
6.830% due 12/01/2039 3,497 3,313
6.875% due 11/01/2015 3,153 2,960
6.880% due 10/25/2040-02/01/2041 (g) 22,283 20,728
6.896% due 07/01/2020 24,393 22,929
6.900% due 12/01/2040 22,769 21,502
6.930% due 01/01/2036 15,969 15,800
7.000% due 11/15/2040 1,801 1,693
7.050% due 03/25/2040 4,517 4,238
7.125% due 03/01/2034 4,427 4,246
7.211% due 12/01/2021 2,741 2,723
7.250% due 12/01/2021-06/01/2040 (g) 19,996 19,652
7.310% due 06/01/2041 23,566 22,851
7.315% due 08/01/2019 34,187 32,638
7.317% due 05/01/2019 4,850 4,658
7.350% due 11/01/2022 6,080 6,032
See accompanying notes 99
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
7.375% due 03/01/2019-01/01/2024 (g) $ 15,732 $ 15,384
7.400% due 02/01/2021 2,290 2,284
7.430% due 12/01/2016-05/01/2025 (g) 116,016 115,048
7.450% due 04/01/2040 2,507 2,464
7.465% due 11/01/2019 31,958 31,896
7.500% due 03/01/2032-09/30/2039 (g) 12,885 12,626
7.580% due 04/01/2040 5,109 5,020
7.630% due 08/01/2041 17,187 16,856
7.650% due 11/01/2018-11/01/2040 (g) 7,560 7,449
7.700% due 03/15/2041 5,557 5,521
7.750% due 11/15/2039 5,538 5,488
7.880% due 12/01/2039 13,423 13,462
8.250% due 10/29/2023-01/01/2041 (g) 9,545 9,628
---------
481,305
=========
Federal National Mortgage Association 1.2%
4.750% due 11/14/2003 250 232
5.000% due 12/25/2021-04/18/2027 (g) 2,000 1,768
5.500% due 02/01/2014-12/01/2028 (g) 258 235
5.650% due 04/25/2005 40 39
5.911% due 09/01/2017 (d) 4,592 4,406
5.919% due 09/01/2024 (d) 2,201 2,145
5.922% due 11/01/2035 (d) 0 0
6.000% due 05/01/2000-05/01/2029 (g) 46,987 43,790
6.090% due 12/01/2008 49 46
6.190% due 04/01/2027 (d) 148 146
6.200% due 04/25/2005 31 31
6.250% due 07/25/2007 100 99
6.390% due 05/25/2036 28,696 24,160
6.420% due 12/01/2007 150 142
6.450% due 09/25/2016 2,461 2,437
6.500% due 04/01/2003-06/17/2038 (g) 50,514 46,674
6.573% due 04/01/2026 (d) 1,286 1,292
6.600% due 09/25/2018 3,376 3,359
6.633% due 12/01/2027 (d) 9,222 9,224
6.687% due 08/01/2027 (d) 45,986 45,640
6.750% due 08/01/2003 296 295
6.752% due 09/01/2024 (d) 1,442 1,479
6.835% due 07/01/2003 67 66
6.843% due 07/01/2024 (d) 4,961 5,076
6.925% due 10/01/2027 (d) 5,509 5,529
6.950% due 03/25/2026 300 296
7.000% due 07/01/2001-12/20/2027 (g) 124,671 122,451
7.030% due 11/01/2025 (d) 1,409 1,450
7.050% due 11/01/2025 (d) 4,246 4,431
7.102% due 05/01/2024 (d) 2,549 2,692
7.136% due 09/01/2022 (d) 1,330 1,358
7.190% due 05/01/2026 (d) 652 675
7.227% due 09/01/2025 (d) 2,049 2,105
7.250% due 05/01/2002-01/01/2023 (g) 11,048 10,732
7.261% due 09/01/2022 (d) 1,387 1,407
7.289% due 03/01/2025 (d) 3,356 3,455
7.332% due 11/01/2025 (d) 2,193 2,253
7.340% due 01/01/2026 (d) 1,329 1,365
7.350% due 09/01/2027 (d) 2,003 2,055
7.409% due 11/01/2023 (d) 1,050 1,077
7.450% due 11/01/2023 (d) 167 172
7.465% due 10/01/2023 (d) 382 394
7.491% due 01/01/2024 (d) 2,014 2,068
7.500% due 10/01/2002-12/01/2022 (g) 4,098 4,093
7.555% due 12/01/2023 (d) 889 904
7.565% due 12/01/2023 (d) 1,102 1,127
7.566% due 09/01/2023 (d) 3,137 3,284
7.579% due 01/01/2024 (d) 424 431
7.652% due 02/01/2026 (d) 592 602
7.690% due 01/01/2024 (d) 696 707
7.750% due 06/01/2009 170 171
7.853% due 03/01/2026 (d) 2,344 2,395
7.896% due 01/01/2024 (d) 197 202
8.000% due 09/01/2001-02/17/2025 (g) 3,090 3,120
8.250% due 10/01/2008-02/01/2017 (g) 538 547
8.500% due 07/01/2001-02/01/2022 (g) 2,309 2,355
9.000% due 10/01/2004-04/01/2017 (g) 897 924
9.250% due 10/01/2001 6 6
9.500% due 12/01/2006-07/01/2022 (g) 76 80
9.750% due 11/01/2008 60 63
10.000% due 09/01/2003-05/01/2022 (g) 904 960
10.500% due 01/01/2016-04/01/2022 (g) 601 645
10.750% due 03/01/2014 25 27
11.000% due 09/01/2019-11/01/2020 (g) 149 163
11.500% due 08/20/2016-11/01/2019 (g) 92 100
12.000% due 05/01/2016 10 11
12.500% due 10/01/2015 37 41
13.000% due 09/01/2013 35 39
13.250% due 09/01/2011 14 16
14.500% due 11/01/2011-01/01/2013 (g) 49 55
14.750% due 08/01/2012-11/01/2012 (g) 177 208
15.000% due 10/15/2012 95 112
15.500% due 10/01/2012-12/01/2012 (g) 16 19
15.750% due 12/01/2011-08/01/2012 (g) 111 130
16.000% due 09/01/2012 125 144
---------
382,427
=========
Government National Mortgage Association 24.6%
5.500% due 04/20/2024-04/19/2030 (d)(g) 104,876 100,405
5.650% due 10/15/2012 11 10
6.000% due 10/15/2008-04/19/2030 (d)(g) 1,991,708 1,832,909
6.125% due 11/20/2027 (d) 283 285
6.320% due 02/16/2030 (d) 14,749 14,729
6.375% due 06/20/2021-03/20/2028 (d)(g) 536,285 538,203
6.500% due 05/15/2001-10/15/2038 (d)(g) 2,645,136 2,493,882
6.625% due 01/15/2040 9,635 9,069
6.750% due 07/15/2001-06/20/2028 (d)(g) 434,602 432,182
6.800% due 09/15/2001-10/15/2040 3,000 2,886
6.820% due 09/15/2001 15,415 14,872
6.850% due 10/15/2040 1,706 1,607
6.875% due 04/20/2023 (d) 341 347
7.000% due 10/15/2001-04/19/2030 (g) 551,688 533,275
7.125% due 12/20/2020-12/20/2027 (d)(g) 375,938 380,367
7.250% due 08/20/2027 (d) 50 51
7.500% due 01/15/2003-05/22/2030 (d)(g) 1,290,953 1,279,342
7.700% due 02/15/2002 1,196 1,185
7.750% due 07/15/2001 1,520 1,509
8.000% due 05/15/2001-04/19/2030 (g) 78,758 79,383
8.125% due 07/15/2001-12/01/2039 (g) 3,680 3,722
8.250% due 08/15/2004-05/15/2022 (g) 460 469
8.500% due 06/15/2001-01/20/2027 (g) 6,370 6,506
8.750% due 03/15/2007-07/15/2007 (g) 100 101
9.000% due 06/15/2001-07/20/2022 (g) 4,910 5,116
9.250% due 07/15/2003-12/20/2016 (g) 199 205
9.500% due 04/15/2001-08/15/2023 (g) 4,746 4,999
9.750% due 09/15/2002-01/15/2021 (g) 136 140
10.000% due 04/15/2001-02/15/2025 (g) 5,751 6,136
10.250% due 02/20/2019 28 30
10.500% due 06/15/2004-09/15/2021 (g) 788 848
11.000% due 01/15/2001-03/15/2019 (g) 261 282
11.250% due 03/15/2001-12/20/2015 (g) 37 40
11.500% due 10/15/2010-10/15/2013 (g) 50 56
12.000% due 11/15/2012-05/15/2016 (g) 262 293
12.500% due 01/15/2011 1 1
13.000% due 12/15/2012-10/15/2014 (g) 20 23
13.250% due 10/20/2014 20 23
13.500% due 10/15/2012-11/15/2014 (g) 108 124
15.000% due 02/15/2012-10/15/2012 (g) 99 118
16.000% due 01/15/2012-05/15/2012 (g) 72 86
17.000% due 11/15/2011-12/15/2011 (g) 71 87
---------
7,745,903
=========
Other Mortgage-Backed Securities 0.7%
Bank of America
9.000% due 03/01/2008 40 41
CDC Depositor Trust I
6.212% due 01/15/2003 (d) 20,709 20,632
Citibank, NA
8.000% due 07/25/2018 45 45
Commercial Mortgage Asset Trust
6.640% due 09/17/2010 455 426
Countrywide Funding Corp.
6.750% due 03/25/2024 11,854 10,313
DBL Mortgage Funding
9.500% due 08/01/2019 8 8
100 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.
11.875% due 06/15/2013 $ 40 $ 42
FFCA Secured Lending Corp.
7.850% due 05/18/2017 28,900 28,778
First Interstate Bancorp
9.125% due 01/01/2009 (l) 10 10
General Electric Capital Mortgage Services, Inc.
7.250% due 07/25/2011 2,638 2,630
General Electric Credit Corp.
8.000% due 03/01/2002 (l) 13 14
German American Capital Corp.
8.360% due 09/30/2002 965 940
4.306% due 07/01/2018 (d) 8,531 8,321
Great Western Savings & Loan
5.952% due 08/01/2017 (d) 127 122
Guardian
6.521% due 12/25/2018 (d) 50 50
Home Savings of America
8.464% due 08/01/2006 56 55
5.722% due 05/25/2027 (d) 2,315 2,196
6.066% due 08/20/2029 (d) 8,761 8,597
Imperial Savings & Loan
8.221% due 01/25/2017 (d) 63 63
8.847% due 07/25/2017 (d) 248 247
LTC Commercial Corp.
7.100% due 11/28/2012 3,232 3,201
Merrill Lynch Mortgage
7.428% due 06/15/2021 (d) 1,089 1,065
Mid-State Trust
8.330% due 04/01/2030 66,403 67,037
Morgan Stanley Mortgage Trust
8.150% due 07/20/2021 5 5
Resolution Trust Corp.
7.408% due 09/25/2020 (d) 218 205
6.897% due 05/25/2029 (d) 3,504 3,462
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 819 820
Sasco Floating Rate Commercial Mortgage
6.280% due 11/20/2001 (d) 58,183 58,326
Sears Mortgage
12.000% due 02/25/2014 617 615
7.431% due 10/25/2022 (d) 2,135 2,159
TIAA Retail Commercial Mortgage
7.170% due 04/15/2008 9,563 9,394
Western Federal Savings & Loan
6.523% due 11/25/2018 (d) 6 6
----------
229,825
==========
Stripped Mortgage-Backed Securities 0.0%
Bear Stearns Mortgage Securities, Inc. (IO)
7.200% due 07/25/2024 339 33
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 244 6
6.500% due 11/15/2006 606 14
6.500% due 03/15/2007 726 15
5.750% due 09/15/2007 (d) 5,714 348
6.000% due 10/15/2007 275 18
6.000% due 01/15/2008 128 7
5.428% due 02/15/2008 (d) 576 50
6.400% due 10/15/2008 87 8
6.500% due 08/15/2016 742 12
6.500% due 08/15/2017 189 4
7.000% due 04/15/2018 873 56
7.500% due 08/15/2018 39 1
8.845% due 01/15/2021 2 45
9.000% due 05/15/2022 103 27
6.500% due 09/15/2023 335 42
Federal National Mortgage Association (IO)
6.500% due 07/25/2006 1,143 35
7.272% due 09/25/2006 3 24
6.500% due 02/25/2007 1,579 95
6.500% due 07/25/2007 418 18
6.500% due 09/25/2007 2,093 137
6.500% due 10/25/2007 660 37
6.500% due 03/25/2009 (d) 28,048 546
7.000% due 08/25/2016 48 0
6.500% due 08/25/2020 2,666 264
10.070% due 01/25/2021 0 4
7.500% due 04/25/2021 1,700 282
9.032% due 08/25/2021 6 160
0.950% due 11/25/2021 (d) 26,064 387
6.500% due 10/25/2022 166 15
6.500% due 01/25/2023 3,029 486
Federal National Mortgage Association (PO)
0.000% due 09/01/2007 752 593
0.000% due 02/25/2021 606 592
0.000% due 06/25/2022 589 560
0.000% due 08/25/2023 295 197
PaineWebber (IO)
13.595% due 08/01/2019 1 43
Vendee Mortgage Trust (IO)
0.542% due 06/15/2023 (d) 161,672 2,854
----------
8,015
----------
Total Mortgage-Backed Securities 16,132,773
(Cost $16,410,409) ==========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 8.0%
--------------------------------------------------------------------------------
Advanta Mortgage Loan Trust
6.325% due 05/25/2027 (d) 667 657
6.525% due 08/25/2029 (d) 3,040 3,050
Advanta Revolving Home Equity Loan Trust
6.249% due 01/25/2024 (d) 32,588 32,609
AFC Home Equity Loan Trust
6.806% due 10/25/2026 (d) 2,711 2,727
Allied Waste Industries, Inc.
8.938% due 07/30/2006 9,736 8,838
Allied Waste North America, Inc.
8.938% due 07/30/2006 (d) 17,309 15,713
9.125% due 07/30/2007 (d) 24,881 22,587
9.188% due 07/30/2007 (d) 7,573 6,875
America West Airlines
10.500% due 01/02/2004 (d) 20 20
American Express Credit Account Master Trust
6.800% due 12/15/2003 1,500 1,496
American Express Master Trust
7.850% due 08/15/2005 220 225
American Stores Co.
6.504% due 08/30/2004 20,000 19,776
Americredit Automobile Receivable Trust
6.540% due 05/12/2001 222 222
5.304% due 10/12/2002 17,594 17,494
5.780% due 05/12/2003 43,000 42,272
Amresco Residential Securities Mortgage Loan Trust
6.325% due 10/25/2027 (d) 2,920 2,919
6.280% due 05/25/2028 (d) 18,759 18,748
7.875% due 09/25/2028 (d) 2,448 2,356
Arcadia Automobile Receivables Trust
6.250% due 09/15/2002 45,649 45,611
5.900% due 11/15/2002 17,289 17,248
6.300% due 07/15/2003 26,025 25,735
6.900% due 12/15/2003 19,431 19,333
Associates Manufactured Housing
7.000% due 03/15/2027 6,258 6,256
Banc One Home Equity Trust
6.460% due 06/25/2029 30,682 30,508
BankBoston Home Equity Loan Trust
6.280% due 11/25/2010 82 82
Bayview Financial Acquisition
6.429% due 02/25/2029 (d) 5,593 5,597
Brazos Student Loan Finance Co.
6.430% due 06/01/2023 (d) 32,700 32,368
6.093% due 12/01/2025 (d) 22,750 22,797
California Infrastructure
6.150% due 06/25/2002 1,143 1,142
Champion Home Equity Loan Trust
6.139% due 03/25/2029 (d) 5,467 5,431
Charter Commercial Holdings LLC
8.540% due 03/31/2008 19,297 19,134
8.580% due 03/31/2008 22,703 22,510
See accompanying notes 101
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Chase Credit Card Master Trust
6.660% due 01/15/2007 $ 645 $ 631
Chase Manhattan Auto Owner Trust
5.750% due 10/15/2001 221 221
Chase Manhattan Grantor Trust
5.200% due 02/15/2002 157 156
6.610% due 09/15/2002 1,119 1,119
Chase Mortgage Finance Corp.
6.750% due 10/25/2028 39,000 36,191
Citibank Credit Card Master Trust
6.473% due 05/15/2002 600 600
CMC Securities Corp. IV
7.250% due 11/25/2027 1,221 1,184
Columbia/HCA Healthcare
6.730% due 07/15/2045 14,760 13,682
Community Program Loan Trust
4.500% due 10/01/2018 25,435 22,574
4.500% due 04/01/2029 26,000 19,159
Conseco Finance
6.290% due 10/15/2030 20,072 20,042
Contimortgage Home Equity Loan Trust
6.174% due 10/15/2012 (d) 6,628 6,622
6.130% due 03/15/2013 4,262 4,242
6.420% due 04/25/2014 494 491
6.400% due 06/15/2014 2,000 1,978
6.770% due 01/25/2018 41,700 40,722
6.990% due 03/15/2021 350 348
6.930% due 11/25/2022 36,800 36,249
7.220% due 01/15/2028 80 79
6.144% due 06/15/2028 (d) 3,780 3,774
6.214% due 08/15/2028 (d) 1,393 1,392
Copelco Capital Funding Corp.
6.340% due 07/20/2004 13 13
CPS Auto Trust
5.995% due 06/15/2002 7,000 6,993
Cross Country Master Credit
6.281% due 06/15/2006 (d) 300 300
CS First Boston Mortgage Securities Corp.
6.750% due 09/25/2028 6,960 6,475
Daimler-Benz Vehicle Trust
5.230% due 12/20/2001 110 110
6.050% due 03/31/2005 3,224 3,208
Delta Air Lines Equipment Trust
9.230% due 07/02/2002 (l) 7,081 7,211
10.500% due 01/02/2007 (l) 6,167 6,756
10.570% due 01/02/2007 (l) 15,881 18,105
9.550% due 01/02/2008 (l) 7,773 8,138
10.430% due 01/02/2011 960 1,042
10.000% due 06/05/2013 10,828 11,795
Delta Funding Home Equity Loan
6.140% due 02/15/2018 38,082 37,907
6.191% due 09/15/2029 (d) 12,019 12,072
Discover Card Master Trust
5.600% due 05/16/2006 1,600 1,518
6.260% due 10/16/2013 (d) 400 404
Duck Auto Grantor Trust
5.650% due 03/15/2004 8,073 7,950
DVI Business Credit Receivable
6.461% due 10/15/2003 (d) 3,850 3,894
EQCC Home Equity Loan Trust
6.235% due 04/15/2008 10 10
6.050% due 01/25/2010 254 253
6.548% due 04/25/2010 446 443
6.710% due 07/15/2011 226 226
6.045% due 10/15/2027 (d) 988 987
5.770% due 03/20/2029 249 247
Equivantage Home Equity Loan Trust
6.550% due 10/25/2025 87 85
Felco Funding LLC
5.980% due 09/15/2001 453 451
Fidelity Equipment Lease Trust
5.860% due 09/15/2001 27,949 27,823
First Alliance Mortgage Loan Trust
6.451% due 03/20/2031 (d) 17,761 17,772
6.850% due 11/15/2002 34 34
First Omni Bank
6.650% due 09/15/2003 (d) 1,500 1,495
First Plus Home Loan Trust
6.800% due 03/10/2012 9,940 9,929
First Security Auto Grantor Trust
6.100% due 04/15/2003 1,126 1,123
5.970% due 04/15/2004 168 166
First Security Auto Owner Trust
5.492% due 04/15/2002 200 200
First Security Corp.
5.875% due 11/01/2003 9,000 8,520
First Union Master Credit Card Trust
6.633% due 09/15/2003 88,750 88,900
First USA Credit Card Master Trust
6.125% due 09/17/2003 (d) 300 300
FMAC Loan Receivables Trust
6.200% due 09/15/2020 300 289
6.500% due 09/15/2020 246 222
6.830% due 09/15/2020 680 612
Ford Credit Auto Owner Trust
6.050% due 04/15/2001 66 66
5.310% due 04/16/2001 71 71
5.470% due 09/15/2001 560 558
5.650% due 10/15/2001 106 105
5.770% due 11/15/2001 20,799 20,747
6.200% due 04/15/2002 721 720
Ford Motor Credit Corp.
5.500% due 02/15/2003 5,300 5,234
Fred Meyer, Inc.
6.813% due 03/19/2003 (d) 12,405 12,261
General Motors Acceptance Corp.
6.500% due 04/15/2002 7,182 7,160
GMAC Mortgage Corp. Loan
6.270% due 11/18/2025 (d) 46,648 46,672
7.930% due 03/25/2030 42,000 41,905
Green Tree Financial Corp.
7.150% due 07/15/2027 448 449
6.490% due 03/15/2028 50,107 49,789
6.420% due 11/15/2028 2,060 2,050
5.850% due 11/01/2029 104 104
6.870% due 04/01/2030 1,105 1,047
6.660% due 06/01/2030 1,405 1,301
5.600% due 12/01/2030 322 320
5.510% due 02/01/2031 474 472
Green Tree Floorplan Receivables Master Trust
6.811% due 11/01/2004 (d) 46,000 46,273
Green Tree Home Equity Loan Trust
5.590% due 02/15/2013 149 149
6.040% due 06/15/2029 144 144
5.990% due 07/15/2030 506 504
Green Tree Home Improvement Loan
5.907% due 08/15/2007 120 120
6.390% due 01/15/2029 7,984 7,983
Green Tree Lease Finance
6.170% due 09/20/2005 146 146
Green Tree Recreational Equipment
6.430% due 04/17/2006 3,300 3,273
Harley-Davidson Eaglemark
5.250% due 07/15/2003 172 170
HFC Home Equity Loan
6.830% due 12/20/2016 413 411
Honda Auto Receivables Grantor
5.850% due 02/15/2003 69 69
5.950% due 05/15/2003 98 98
Household Consumer Loan Trust
6.305% due 08/15/2006 (d) 22,543 22,296
IKON Receivables LLC
5.600% due 05/15/2005 31,029 30,961
IMC Home Equity Loan Trust
6.310% due 12/20/2012 117 117
7.210% due 07/25/2026 (d) 795 783
IMPAC Secured Assets CMN Owner
7.770% due 07/25/2025 2,000 1,919
102 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Indymac Home Equity Loan
6.149% due 10/25/2029 (d) $ 17,490 $ 17,468
Indymac Manufactured Housing
6.170% due 12/25/2011 6,000 5,906
Korea National Housing
9.313% due 05/23/2001 (l) 94,000 94,940
Long Beach Acceptance Auto
6.940% due 09/19/2007 4,750 4,727
Lyondell Petroleum
9.383% due 06/17/2003 962 961
9.613% due 12/31/2003 (d) 79,088 79,717
MBNA Master Credit Card Trust
6.050% due 11/15/2002 245 245
Mellon Bank Home Equity
5.900% due 10/25/2010 17,301 17,141
Merit Securities Corp.
6.160% due 07/28/2033 8,909 8,830
7.880% due 12/28/2033 34,400 34,529
Metlife Capital Equipment Loan Trust
6.850% due 05/20/2008 (d) 320 317
Metris Master Trust
6.721% due 04/20/2006 (d) 20,000 20,118
Metropolitan Asset Funding, Inc.
6.585% due 04/25/2029 (d) 14,188 14,095
MMCA Automobile Trust
6.300% due 06/15/2002 616 616
Money Store Home Equity Trust
7.380% due 03/15/2017 29 29
7.550% due 02/15/2020 500 500
6.345% due 11/15/2021 (d) 1,157 1,148
6.015% due 05/15/2025 (d) 3,948 3,951
6.490% due 10/15/2026 17,000 16,915
MPC Natural Gas Funding Trust
6.200% due 03/15/2013 9,546 9,155
Myra Ums Tranche
5.733% due 12/23/2006 1,561 1,430
Myra-United Mexican States
5.813% due 10/20/2006 (d) 444 417
7.000% due 12/23/2006 (d) 2,984 2,805
7.163% due 12/23/2006 (d) 7,976 7,252
7.063% due 12/23/2006 (d) 951 858
7.000% due 12/23/2006 (d) 2,251 2,061
6.188% due 12/23/2006 (d) 31 29
5.813% due 12/23/2006 (d) 4,193 3,783
7.000% due 12/23/2006 (d) 876 771
National Medical Care
7.188% due 09/30/2003 24,597 24,305
7.250% due 09/30/2003 (d) 28,486 28,148
NationsBanc Montgomery Funding Corp.
6.750% due 06/25/2028 10,000 9,298
6.750% due 08/25/2028 20,009 17,579
Nationsbank Credit Card Master Trust
6.450% due 04/15/2003 225 225
New Holland Equipment Receivables
6.390% due 10/15/2002 525 523
Newcourt Receivable Asset Trust
6.240% due 12/20/2004 3 3
Nissan Auto Receivables
6.390% due 10/15/2002 73 73
Nomura CBO Ltd.
6.670% due 05/15/2009 1,900 1,927
Norwest Asset Securities Corp.
6.500% due 04/25/2013 20,642 19,526
6.500% due 06/25/2013 10,696 10,113
7.500% due 03/25/2027 40,787 39,519
6.750% due 05/25/2028 27,707 25,273
6.750% due 07/25/2028 12,657 11,465
6.200% due 09/25/2028 19,077 18,905
NPF XI, Inc.
6.815% due 07/01/2001 8,960 8,959
NPF XII, Inc.
7.050% due 06/01/2003 31,000 30,666
Olympic Automobile Receivable Trust
6.050% due 08/15/2002 10,368 10,364
Option One Mortgage Loan Trust
5.880% due 05/25/2029 238 237
PP&L Transition Bond Co.
6.830% due 03/25/2007 28,800 28,354
Premier Auto Trust
5.770% due 01/06/2002 9,780 9,765
5.820% due 02/08/2002 870 868
Primedia, Inc.
8.740% due 07/31/2004 (d) 20,000 19,860
Republic of Korea
8.063% due 04/08/2001 (d) 5,204 5,224
Residential Asset Securities Corp.
5.979% due 04/25/2014 (d) 439 439
6.960% due 07/25/2014 43,712 43,547
6.240% due 02/25/2017 5,941 5,888
6.600% due 01/25/2020 5,200 5,140
7.075% due 09/25/2020 190 189
7.998% due 10/25/2024 (d) 6,329 6,284
6.781% due 10/25/2027 (d) 2,963 2,954
6.750% due 03/25/2028 40,000 36,659
RJR Nabisco
7.500% due 12/31/2001 (d) 24,948 24,948
Salomon Brothers Mortgage Securities
6.179% due 06/25/2029 (d) 47,846 47,809
6.305% due 11/15/2029 (d) 21,011 21,024
7.043% due 11/15/2029 (d) 5,800 5,799
Saxon Asset Securities Trust
6.355% due 05/25/2029 (d) 11,362 11,336
Sears Credit Account Master Trust
6.050% due 01/16/2008 500 485
7.000% due 07/15/2008 500 498
Stone Container Corp.
9.500% due 10/01/2003 2,716 2,716
9.688% due 10/01/2003 (d) 2,716 2,716
Texas Cable Partners
7.680% due 06/24/2007 5,000 4,975
Total Renal Care
10.250% due 03/31/2008 47,040 40,572
Toyota Auto Lease Trust
6.450% due 04/26/2004 300 298
UCFC Home Equity Loan
6.475% due 06/15/2012 36 36
8.200% due 09/15/2027 70 71
6.870% due 07/15/2029 70 65
UCFC Manufactured Housing
5.945% due 01/15/2010 (d) 8,324 8,331
UniCapital Corp.
6.540% due 07/23/2002 39,800 39,682
United Air Lines Equipment Trust
9.200% due 03/22/2008 3,950 4,142
10.360% due 11/13/2012 7,000 7,859
10.020% due 03/22/2014 6,925 7,588
10.850% due 07/05/2014 34,111 39,726
10.850% due 02/19/2015 1,500 1,736
10.125% due 03/22/2015 14,300 16,464
9.060% due 06/17/2015 5,000 5,367
9.210% due 01/21/2017 2,000 2,078
USAA Auto Loan Grantor Trust
6.150% due 05/15/2004 2,013 2,004
5.800% due 01/15/2005 3,862 3,825
WFS Financial Owner Trust
6.100% due 03/20/2002 43 43
6.411% due 07/20/2002 43,500 43,440
6.920% due 01/20/2004 27,125 27,039
WMC Mortgage Loan
6.335% due 10/15/2029 94,586 94,645
Ziff-Davis, Inc.
9.125% due 03/31/2006 2,850 2,846
---------
Total Asset-Backed Securities 2,507,373
(Cost $2,536,355) =========
See accompanying notes 103
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 2.8%
--------------------------------------------------------------------------------
African Development Bank
9.300% due 07/01/2000 $ 200 $ 201
Central Bank Philippines
6.500% due 06/01/2008 (d) 368 353
Government of Brazil
7.000% due 01/01/2001 (d) 29,372 29,264
6.938% due 04/15/2006 (d) 43,287 39,283
Hellenic Republic
6.684% due 06/06/2001 (d) 20,000 20,327
Hydro Quebec
7.375% due 02/01/2003 150 150
Kingdom of Jordan
5.500% due 12/23/2023 18,000 12,303
Kingdom of Sweden
10.250% due 11/01/2015 500 589
Nacional Financiera
9.750% due 03/12/2002 10,000 10,285
7.975% due 05/08/2003 (d) 7,750 7,694
New Brunswick
7.125% due 10/01/2002 1,700 1,696
Nova Scotia Province
6.099% due 05/14/2001 (d) 5,000 4,991
Providence of Newfoundland
9.000% due 06/01/2019 500 572
Province of Nova Scotia
9.375% due 07/15/2002 1,000 1,043
Province of Ontario
6.125% due 06/28/2000 800 801
7.750% due 06/04/2002 200 202
7.625% due 06/22/2004 1,000 1,016
7.000% due 08/04/2005 1,000 990
6.000% due 02/21/2006 1,800 1,691
5.500% due 10/01/2008 12,000 10,656
Province of Quebec
7.500% due 07/15/2002 6,000 6,031
8.800% due 04/15/2003 100 104
6.270% due 06/11/2004 (d) 15,500 15,464
Republic of Argentina
11.786% due 04/10/2005 (d) 162,145 152,011
Republic of Bulgaria
7.063% due 07/28/2011 (d) 2,500 1,981
2.750% due 07/28/2012 (d) 20,000 14,421
7.063% due 07/28/2024 (d) 32,000 25,722
Republic of Chile
6.875% due 04/28/2009 25,000 23,255
Republic of Colombia
9.750% due 04/23/2009 16,150 15,100
8.700% due 02/15/2016 115 87
Republic of Croatia
7.000% due 02/27/2002 5,650 5,483
Republic of Korea
7.594% due 04/08/2000 (d) 7,132 7,159
8.281% due 04/08/2000 (d) 9,899 9,936
8.594% due 04/08/2000 (d) 26,120 26,218
Republic of Panama
7.875% due 02/13/2002 500 490
7.001% due 05/14/2002 (d) 930 908
4.250% due 07/17/2014 6,250 5,051
Republic of Peru
3.750% due 03/07/2017 2,000 1,226
4.500% due 03/07/2017 (d) 5,750 3,853
Republic of Philippines
6.938% due 01/05/2005 (d) 8,830 8,796
6.500% due 12/01/2017 7,000 6,416
9.875% due 01/15/2019 5,800 5,249
9.500% due 10/21/2024 55,702 53,613
Republic of Poland
3.500% due 10/27/2024 (d) 77,040 47,765
4.000% due 10/27/2024 3,000 2,003
Republica Orient Uruguay
7.250% due 05/04/2009 2,500 2,369
State of Israel
6.200% due 06/14/2003 25 24
United Mexican States
6.930% due 04/07/2000 (d) 81,590 81,657
7.439% due 06/27/2002 (d) 94,250 92,916
6.263% due 04/07/2004 (d) 17,681 17,672
9.780% due 04/07/2004 (d) 45,236 47,298
7.500% due 03/08/2010 15,000 14,555
6.250% due 12/31/2019 38,110 32,526
---------
Total Sovereign Issues 871,466
(Cost $862,873) =========
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (E)(F) 1.9%
--------------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 2,475 2,346
City of Montreal
11.500% due 09/20/2000 C$ 7,000 4,948
Commonwealth of New Zealand
10.000% due 03/15/2002 (j) N$ 102,500 53,587
5.500% due 04/15/2003 80,000 38,067
4.500% due 02/15/2016 73,000 35,553
Export-Import Bank Korea
3.840% due 10/06/2000 (d) DM 5,000 2,427
France Telecom
2.000% due 01/01/2004 9,761 3,197
Halifax Group Euro Finance
7.627% due 12/29/2049 (d) 8,500 8,240
International Bank for Reconstruction & Development
7.250% due 05/27/2003 (j) N$ 32,500 15,846
Korea Development Bank
3.610% due 05/14/2001 (d) DM 70,000 33,751
2.560% due 06/26/2001 JY 4,000,000 39,536
Newcourt Credit Group
7.625% due 06/28/2001 C$ 9,400 6,589
Republic of Argentina
5.500% due 03/27/2001 JY 4,290,000 41,416
Republic of Brazil
8.250% due 11/26/2001 EC 2,000 1,957
Republic of Philippines
8.000% due 09/17/2004 10,290 9,950
Reynolds, R.J.
6.875% due 11/22/2000 DM 9,500 4,658
Tecnost International NV
5.616% due 06/23/2004 (d) 102,284 100,402
United Mexican States
6.000% due 03/28/2002 JY 100,000 1,040
3.100% due 04/24/2002 2,542,000 24,982
8.750% due 05/30/2002 BP 23,000 36,995
10.375% due 01/29/2003 DM 200 107
7.000% due 06/02/2003 C$ 30,200 20,031
6.750% due 06/06/2006 JY 2,000,000 23,371
6.630% due 12/31/2019 FF 60,000 9,520
1.103% due 12/31/2019 (d) JY 1,662,500 15,866
3.850% due 12/31/2019 9,145,000 76,943
---------
Total Foreign Currency-Denominated Issues (e)(f) 611,325
(Cost $601,914) =========
--------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.1%
--------------------------------------------------------------------------------
Eurodollar vs. U.S. Dollar (OTC)
Strike @ 0.870 Exp. 06/27/2000 $ 200,000 22,118
---------
Total Purchased Call Options 22,118
(Cost $21,172) =========
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.4%
--------------------------------------------------------------------------------
Banking & Finance 0.2%
ACOM Co. Ltd.
0.000% due 03/31/2002 150,000 1,729
Bell Atlantic Financial Services
5.750% due 04/01/2003 7,000 7,000
Deutsche Bank Financial
0.000% due 02/12/2017 4,850 2,287
Fuji International Finance Trust
0.250% due 02/01/2002 540,000 4,338
Hellenic Finance
2.000% due 07/15/2003 2,000 1,919
104 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
Morgan Stanley, Dean Witter, Discover and Co.
0.000% due 03/02/2006 $ 5,860 $ 4,952
Northern Rock plc
2.000% due 01/02/2000 1,060 23,108
Swiss Life Financial Ltd.
2.000% due 05/20/2003 1,500 1,452
------------
46,785
============
Consumer Discretionary 0.0%
Costco Wholesale Corp.
0.000% due 08/19/2017 2,000 2,390
------------
Energy 0.0%
Devon Energy Corp.
4.900% due 08/15/2008 2,000 2,013
Diamond Offshore Drill
3.750% due 02/15/2007 2,250 2,585
------------
4,598
============
Health Care 0.0%
Athena Neurosciences, Inc.
4.750% due 11/15/2004 2,000 2,765
Wellpoint Health Network
0.000% due 07/02/2019 1,500 1,014
------------
3,779
============
Industrial 0.1%
Centocor, Inc.
4.750% due 02/15/2005 1,900 2,114
Hercules Trust VI
8.625% due 12/29/2000 (d) 9,950 9,947
Roche Holdings, Inc.
0.000% due 01/19/2015 1,000 846
Solectron Corp.
0.000% due 01/27/2019 785 527
Toyoda Automatic Loom
0.350% due 09/30/2003 200,000 2,234
Young & Rubicam, Inc.
3.000% due 01/15/2005 1,090 1,014
------------
16,682
============
Technology 0.1%
Aether Systems, Inc.
6.000% due 03/22/2005 400 384
Affiliated Computer Services
4.000% due 03/15/2005 1,000 1,021
American Tower Corp.
5.000% due 02/15/2010 2,000 2,291
ASM Lithography Holding
2.500% due 04/09/2005 1,500 1,302
Clear Channel Communications
1.500% due 12/01/2002 1,800 1,683
2.625% due 04/01/2003 1,200 1,479
Commscope, Inc.
4.000% due 12/15/2006 1,000 1,200
Conexant Systems, Inc.
4.250% due 05/01/2006 500 1,596
Cymer, Inc.
3.500% due 08/06/2004 2,000 2,340
EMC Corp.
6.000% due 05/15/2004 2,600 3,998
Hewlett-Packard Co.
0.000% due 10/14/2017 2,000 1,545
Intel Corp.
4.000% due 09/01/2004 450 1,954
Internet Capital Group, Inc.
5.500% due 12/21/2004 1,000 888
Interpublic Group Co., Inc.
1.870% due 06/01/2006 1,500 1,521
Juniper Networks, Inc.
4.750% due 03/15/2007 1,000 998
Stmicroelectron
0.000% due 09/22/2009 1,250 2,125
U.S. Cellular Corp.
0.000% due 06/15/2015 3,500 2,393
Veritas Software Corp.
1.856% due 08/13/2006 750 2,878
Xerox Corp.
0.570% due 04/21/2018 2,500 1,350
------------
32,946
============
Utilities 0.0%
Alliant Energy Resources
7.250% due 01/02/2000 22 1,755
Liberty Media Group
4.000% due 11/15/2029 1,000 1,564
Telefonos De Mexico S.A.
4.250% due 06/15/2004 1,400 2,182
------------
5,501
------------
Total Convertible Bonds & Notes 112,681
(Cost $104,700) ============
-------------------------------------------------------------------------------
PREFERRED STOCK 0.2%
-------------------------------------------------------------------------------
Shares
Banco Bilbao Vizcaya International
2.438% due 01/02/2000 266,217 6,755
Barclays Bank
2.875% due 01/02/2000 215,500 5,576
Centaur Funding Corp.
90.800% due 01/02/2000 125 131
CSC Holdings, Inc.
11.931% due 01/02/2000 24,904 2,677
Fortis Amev NV
6.430% due 01/02/2000 (d) 171 21,067
Fresenius Medical Care
7.875% due 02/02/2008 4,000 3,565
Home Ownership Funding
133.310% due 01/02/2000 1,125 898
SI Financing Trust
2.375% due 01/02/2000 396,194 10,053
TCI Communications, Inc.
2.500% due 01/02/2000 49,000 1,250
2.430% due 01/02/2000 622,553 16,070
------------
Total Preferred Stock 68,042
(Cost $70,647) ============
-------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK 0.1%
-------------------------------------------------------------------------------
Banking & Finance 0.0%
Tokai Bank Cvt. Pfd.
2.750% due 10/01/2004 72,000 500
------------
Energy 0.1%
AES Trust III
3.375% due 01/02/2000 40,000 2,700
Apache Corp. Cvt. Pfd.
2.015% due 01/02/2000 60,000 2,700
Coastal Corp. Cvt. Pfd.
1.656% due 01/02/2000 85,000 2,407
Kerr-McGee Corp. Cvt. Pfd.
1.825% due 01/02/2000 87,000 3,915
------------
11,722
============
Industrial 0.0%
Decs Trust VI Cvt. Pfd.
2.465% due 01/02/2000 45,000 3,825
Qwest Trends Trust Cvt. Pfd.
2.401% due 01/02/2000 14,000 1,099
Tribune Co. Cvt. Pfd.
3.140% due 05/15/2029 4,500 637
------------
5,561
============
Technology 0.0%
Verio, Inc. Cvt. Pfd.
3.375% due 01/02/2000 20,000 1,125
------------
Utilities 0.0%
Cox Communications, Inc. Cvt. Pfd.
3.500% due 01/02/2000 33,300 2,115
Reliant Energy, Inc. Cvt. Pfd.
3.216% due 01/02/2000 20,000 3,180
Utilicorp United Cvt. Pfd.
2.438% due 01/02/2000 100,000 2,225
------------
7,520
------------
Total Convertible Preferred Stock 26,428
(Cost $20,948) ============
See accompanying notes 105
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Value
(000s)
--------------------------------------------------------------------------------
PREFERRED SECURITY 1.1%
--------------------------------------------------------------------------------
Shares
DG Funding Trust
618.125% due 12/29/2049 35,090 $ 352,266
-------------
Total Preferred Security 352,266
(Cost $350,900) =============
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 3.1%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Certificates of Deposit 0.6%
Commerzbank AG
6.200% due 05/10/2000 $ 85,500 85,500
Dominion Residential, Inc.
6.195% due 01/26/2001 120,800 120,026
-------------
205,526
=============
Commercial Paper 0.7%
Abbott Laboratories
6.020% due 05/02/2000 1,500 1,493
Aristar, Inc.
6.050% due 05/30/2000 2,000 1,980
Bank One Corp.
5.920% due 05/15/2000 1,500 1,490
6.060% due 05/22/2000 5,000 4,959
Bellsouth Telecom
5.840% due 04/03/2000 1,100 1,100
5.820% due 04/05/2000 300 300
British Telecom
5.840% due 04/26/2000 2,900 2,889
Coca-Cola Co.
5.790% due 04/04/2000 1,500 1,500
6.020% due 06/06/2000 15,000 14,831
6.010% due 06/07/2000 1,800 1,779
Conoco, Inc.
5.860% due 04/05/2000 1,600 1,599
5.970% due 04/07/2000 500 500
Cox Communication
6.050% due 04/10/2000 800 799
DaimlerChrysler AG
5.820% due 04/19/2000 400 399
6.100% due 06/29/2000 7,000 6,894
Deutsche Bank Financial
5.930% due 05/30/2000 1,800 1,782
Dominion Residential, Inc.
6.170% due 05/17/2000 18,700 18,559
E.I. Du Pont de Nemours
5.860% due 05/18/2000 400 397
6.030% due 06/08/2000 700 692
Emerson Electric
5.800% due 04/05/2000 300 300
5.840% due 04/05/2000 600 600
Federal Home Loan Mortgage Corp.
5.880% due 04/18/2000 280 279
5.970% due 05/02/2000 6,500 6,469
5.970% due 05/23/2000 16,000 15,867
Finova Capital Corp.
6.110% due 05/10/2000 28,000 27,824
6.020% due 06/06/2000 12,000 11,865
General Electric Capital Corp.
6.060% due 05/04/2000 200 199
5.910% due 05/18/2000 1,000 993
6.060% due 06/07/2000 17,000 16,805
General Motors Acceptance Corp.
6.100% due 04/05/2000 600 600
6.040% due 05/03/2000 700 696
5.920% due 05/22/2000 1,700 1,686
Heinz Corp.
6.030% due 05/02/2000 100 100
Honeywell, Inc.
5.820% due 04/12/2000 900 899
6.000% due 04/26/2000 400 398
KFW International Finance
5.870% due 05/09/2000 500 497
5.910% due 06/05/2000 5,500 5,439
Monsanto Co.
5.930% due 05/31/2000 2,000 1,979
6.060% due 06/01/2000 2,200 2,177
6.000% due 06/07/2000 200 198
Motorola, Inc.
5.900% due 05/26/2000 3,000 2,974
6.090% due 06/30/2000 200 197
Nike, Inc.
5.830% due 04/04/2000 3,000 3,000
5.830% due 04/17/2000 1,200 1,197
Procter & Gamble Co.
6.080% due 06/02/2000 3,000 2,968
Reseau Ferre De France
5.900% due 05/30/2000 2,000 1,980
6.050% due 06/05/2000 3,000 2,967
Sumitomo Bank
6.050% due 04/13/2000 2,000 1,997
6.090% due 04/13/2000 100 100
6.080% due 04/26/2000 1,600 1,594
6.110% due 04/26/2000 1,700 1,693
Texas Utilities Co.
6.100% due 04/17/2000 5,100 5,088
Textron, Inc.
5.940% due 05/17/2000 1,500 1,489
5.900% due 05/17/2000 1,200 1,191
TRW, Inc.
6.060% due 04/17/2000 10,000 9,976
UBS Finance
5.820% due 04/06/2000 4,000 3,998
United Parcel Service
5.890% due 06/01/2000 2,700 2,672
Washington Post
6.020% due 06/02/2000 14,600 14,445
Xerox Credit Corp.
6.050% due 05/16/2000 100 99
6.090% due 06/06/2000 6,500 6,427
6.110% due 06/12/2000 200 198
Yorkshire Building Society
5.850% due 04/07/2000 1,000 999
5.990% due 06/13/2000 300 296
-------------
227,357
=============
Repurchase Agreement 1.7%
State Street Bank
5.600% due 04/03/2000 170,786 170,786
(Dated 03/31/2000. Collateralized by
Federal National Mortgage Association
7.050% due 12/01/2004 valued at $21,174,
Federal National Mortgage Association
7.125% due 01/15/2030 valued at $51,004,
Federal Home Loan Mortgage Corporation
5.150% due 02/02/2001 valued at $102,006, and
Federal National Mortgage Association
0.000% due 08/01/2000 valued at $34.
Repurchase proceeds are $170,865.)
Daiwa Securities
6.180% due 04/03/2000 350,000 350,000
(Dated 03/31/2000. Collateralized by U.S. Treasury
Inflation Protected Securities 3.625% due
07/15/2002 valued at $292,287, and U.S. Treasury
Bill due 11/09/2000 valued at $48,185,
and U.S. Treasury Note 8.375% due 08/15/2008
valued at $16,836. Repurchase proceeds are $350,180.)
-------------
520,786
=============
U.S. Treasury Bills (b)(g) 0.1%
5.528% due 04/27/2000 36,775 36,639
-------------
Total Short-Term Instruments 990,308
(Cost $991,120) =============
106 See accompanying notes
<PAGE>
Value
(000s)
--------------------------------------------------------------------------------
Total Investments (a) 131.6% $ 41,494,212
(Cost $41,850,196)
Written Options (c) (0.2%) (45,441)
(Premiums $31,722)
Other Assets and Liabilities (Net) (31.4%) (9,912,498)
-------------
Net Assets 100.0% $ 31,536,273
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $41,849,408 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 315,646
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (670,842)
-------------
Unrealized depreciation-net $ (355,196)
=============
(b) Securities with an aggregate market value of $133,050
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Eurodollar December Futures (03/2001) 10,536 $ (4,394)
Municipal Bond CBT (06/2000) 1,835 3,003
EuroBond 10 Year Note (06/2000) 16,400 (36,867)
Government of Japan 10 Year Note (06/2000) 358 (3,144)
U.S. Treasury 5 Year Note (06/2000) 516 (321)
U.S. Treasury 10 Year Note (06/2000) 35,208 78,682
U.S. Treasury 30 Year Bond (06/2000) 4,445 5,158
Euribor Futures (09/2000) 58 (11)
United Kingdom 90 Day LIBOR Futures (06/2000) 179 117
United Kingdom 90 Day LIBOR Futures (09/2000) 3,892 2,842
------------
$ 45,065
============
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - CME Eurodollar December Futures
Strike @ 92.75 Exp. 12/18/2000 1,500 $ 1,061 $ 1,181
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 98.00 Exp. 05/20/2000 4,658 2,555 4,876
Put - CBOT U.S. Treasury Note June Futures
Strike @ 96.00 Exp. 05/20/2000 11,264 3,119 704
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.93 Exp. 04/19/2000 800,000,000 1456 1376
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.93 Exp. 04/19/2000 318,030,000 734 547
Put - CBOT U.S. Treasury Note June Futures
Strike @ 95.00 Exp. 05/20/2000 2,134 866 334
Call - CBOT U.S. Treasury Note June Futures
Strike @ 98.00 Exp. 05/20/2000 2,136 1243 2,537
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 5,644 5,314 4,868
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 100.00 Exp. 05/20/2000 3,355 1,030 1,625
Put - CME Eurodollar December Futures
Strike @ 93.50 Exp. 12/18/2000 13,870 14,344 27,393
----------------------------
$ 31,722 $ 45,441
============================
(d) Variable rate security. The rate listed is as of March 31, 2000.
(e) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell BP 26,011 04/2000 $ (463)
Sell C$ 9,841 05/2000 (21)
Sell 33,873 06/2000 (141)
Sell EC 285,703 04/2000 3,953
Buy 87,996 04/2000 (1,455)
Buy HF 2,000,000 09/2000 (143)
Sell JY 3,029,980 04/2000 (1,168)
Buy 3,029,980 04/2000 772
Sell 4,519,202 04/2001 (5,239)
Sell 20,174,266 05/2000 (4,998)
Sell N$ 50,843 04/2000 (729)
Sell 128,045 05/2000 (998)
Buy PZ 7,000 04/2000 50
Sell 7,000 04/2000 (16)
Buy 45,000 01/2001 (72)
Buy 40,000 02/2001 230
Buy 17,000 03/2001 39
------------
$ (10,399)
============
(f) Principal amount denoted in indicated currency:
AS - Austrian Schilling
A$ - Australian Dollars
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
EC - Euro
FF - French Franc
HF - Hungarian Forint
JY - Japanese Yen
MP - Mexican Peso
N$ - New Zealand Dollar
PZ - Polish Zloty
See accompanying notes 107
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
--------------------------------------------------------------------------------
(g) Securities are grouped by coupon or range of coupons and represent a
range of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Swap agreements outstanding at March 31, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.481%.
Broker: Morgan Stanley
Exp. 02/11/2010 $ 230,600 $ (2,995)
Receive floating rate based on 6 month JY-LIBOR and
pay fixed rate equal to 2.340%.
Broker: Deutsche Bank AG New York
Exp. 10/08/2007 JY 24,500,000 (8,546)
Receive floating rate based on 6 month JY-LIBOR and
pay fixed rate equal to 2.295%.
Broker: Deutsche Bank AG New York
Exp. 04/14/2008 11,635,000 (3,342)
Receive floating rate based on 6 month JY-LIBOR and
pay fixed rate equal to 2.305%.
Broker: Deutsche Bank AG New York
Exp. 04/15/2008 7,563,000 (2,235)
Receive floating rate based on 6 month JY-LIBOR and
pay fixed rate equal to 1.495%.
Broker: Deutsche Bank AG New York
Exp. 09/16/2008 7,000,000 2,467
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.466%.
Broker: Morgan Stanley
Exp. 02/11/2005 $ 277,400 (2,357)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.413%.
Broker: Goldman Sachs
Exp. 02/17/2005 277,000 (1,789)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.408%.
Broker: Goldman Sachs
Exp. 02/25/2005 167,400 (1,024)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.309%.
Broker: Goldman Sachs
Exp. 03/24/2010 300,000 (378)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.413%.
Broker: Goldman Sachs
Exp. 02/17/2005 160,000 (1,046)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.374%.
Broker: Lehman Brothers, Inc.
Exp. 03/29/2010 100,000 (572)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.369%.
Broker: Goldman Sachs
Exp. 03/29/2010 100,000 (539)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.366%.
Broker: Lehman Brothers, Inc.
Exp. 03/30/2010 100,000 (517)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.426%.
Broker: Lehman Brothers, Inc.
Exp. 03/31/2010 100,000 (959)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 5.950%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/17/2001 22,800 (1,169)
Receive floating rate based on 6 months LIBOR and pay
floating rate based on 6 months LIBOR plus 5.700%.
In the event of default of Republic of Argentina Floating
Rate Notes and/or Spread-Adjusted Notes, the Fund can
put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/28/2001 1,300 (60)
Receive floating rate based on 6 months LIBOR and pay
floating rate based on 6 months LIBOR plus 6.150%.
In the event of default of Republic of Argentina Floating
Rate Notes and/or Spread-Adjusted Notes, the Fund can
put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 31,200 (1,663)
Receive floating rate based on 6 months LIBOR and pay
floating rate based on 6 months LIBOR plus 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 35,000 (1,171)
Receive fixed rate equal to 0.34% 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: J.P. Morgan
Exp. 07/31/2000 30,000 1
Receive fixed rate equal to 0.65% 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 0.15% and the Fund will pay
to the counterparty at par in the event of default of
IBM Corp. 5.375% due 02/01/2009.
Broker: Goldman Sachs
Exp. 02/26/2002 30,000 0
108 See accompanying notes
<PAGE>
Receive fixed rate equal to 0.40% 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 0.51% 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 0.60% and the Fund will pay
to the counterparty at par in the event of default of
Niagara Mohawk Corp. 7.625% due 10/01/2005.
Broker: Merrill Lynch
Exp. 06/01/2000 20,000 1
Receive fixed rate equal to 0.65% 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 0.25% and the Fund will pay
to the counterparty at par in the event of default of
Pacific Gas & Electric 6.550% due 12/08/2005.
Broker: J.P. Morgan
Exp. 05/23/2003 22,000 1
Receive fixed rate equal to 0.14% and the Fund will pay
to the counterparty at par in the event of default of
General Motors Acceptance Corp. 6.253% due 07/20/2000.
Broker: Warburg Dillon Read LLC
Exp. 06/30/2000 21,000 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 0
-----------
$ (27,886)
===========
Fixed Unrealized
Spread Notional Appreciation/
Type (%) Amount Depreciation
--------------------------------------------------------------------------------
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 $ 189,500 $ (6,788)
Broker: Goldman Sachs
Exp. 02/16/2005 1.1120 121,700 1,319
Broker: Goldman Sachs
Exp. 08/14/2000 1.1500 93,000 191
Broker: Goldman Sachs
Exp. 08/14/2000 1.1500 95,100 195
Broker: Goldman Sachs
Exp. 02/16/2005 1.1120 37,700 428
Broker: Goldman Sachs
Exp. 04/04/2005 1.3900 250,000 0
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 $ 4,230
Broker: Goldman Sachs
Exp. 08/14/2000 0.8513 474,300 1,820
Broker: Deutsche Bank AG New York
Exp. 08/14/2000 0.9175 220,900 701
Broker: Goldman Sachs
Exp. 08/14/2000 0.9470 220,900 636
Broker: Goldman Sachs
Exp. 09/22/2000 1.0085 74,900 170
Broker: Goldman Sachs
Exp. 08/14/2000 0.8513 12,100 46
Broker: Goldman Sachs
Exp. 09/22/2000 1.0850 21,100 48
-----------
$ 2,996
===========
(j) Subject to financing transaction.
(k) Security becomes interest bearing at a future date.
(l) Restricted security.
(m) Security is in default.
(n) Reverse repurchase agreements were entered into March 23, 2000 paying
interest at 6.00%. The following securities were segregated with collateral
for reverse repurchase agreements.
Type Maturity Value
--------------------------------------------------------------------------------
Federal National Mortgage Assn. 7.000% 10/01/2003 $ 48,392
Federal National Mortgage Assn. 6.687% 08/01/2027 45,640
Government National Mortgage Assn. 6.000% 05/20/2028 30,226
Government National Mortgage Assn. 6.375% 06/20/2027 25,631
Government National Mortgage Assn. 6.375% 01/20/2024 28,372
Government National Mortgage Assn. 7.125% 10/20/2024 30,361
Government National Mortgage Assn. 6.375% 04/20/2027 26,513
Government National Mortgage Assn. 6.375% 01/20/2024 29,846
Government National Mortgage Assn. 6.750% 09/20/2024 26,613
Government National Mortgage Assn. 6.750% 08/20/2023 32,707
Government National Mortgage Assn. 7.125% 10/20/2023 73,363
Government National Mortgage Assn. 6.375% 04/20/2023 32,460
Government National Mortgage Assn. 6.375% 05/20/2023 32,386
Government National Mortgage Assn. 6.375% 06/20/2025 25,409
Government National Mortgage Assn. 6.751% 07/20/2027 43,949
Government National Mortgage Assn. 7.125% 10/20/2023 27,819
-----------
$ 559,687
===========
See accompanying notes 109
<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 Beginning of Net Investment (Loss) on from Investments Net Investment
the Year or Period Ended: Period Income (Loss) Investments Operations Income
<S> <C> <C> <C> <C> <C>
California Intermediate Municipal Bond Fund
Class A
10/19/1999 - 03/31/2000 $ 9.94 $ 0.18 (a) $ 0.12 (a) $ 0.30 $ (0.17)
Convertible Fund
Class A
05/28/1999 - 03/31/2000 $ 10.67 $ 0.00 (a) $ 5.35 (a) $ 5.35 $ (0.03)
Class B
05/28/1999 - 03/31/2000 10.67 (0.07)(a) 5.29 (a) 5.22 (0.02)
Class C
05/28/1999 - 03/31/2000 10.67 (0.07)(a) 5.31 (a) 5.24 (0.02)
Emerging Markets Bond Fund
Class A
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
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
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
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
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
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) Ratio of expenses to average net assets excluding interest expense is 0.95%.
(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%.
(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%.
110 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 Returns of Period (000s)
<S> <C> <C> <C> <C> <C> <C>
$ 0.00 $ (0.02) $ 0.00 $ (0.19) $ 10.05 2.94% $ 1,793
$ (0.14) $ (0.09) $ 0.00 $ (0.26) $ 15.76 50.36% $ 5,327
(0.10) (0.09) 0.00 (0.21) 15.68 49.18 2,437
(0.09) (0.09) 0.00 (0.20) 15.71 49.33 7,924
$ 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 (0.78) 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 (0.78) 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 $ (0.15) $ 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 (0.15) 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 (0.15) 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
<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%+(f) 3.96%+ 357%
1.05%+(d) 0.15%+ 247%
1.80+(e) (0.58)+ 247
1.80+(e) (0.59)+ 247
1.29% 10.59% 328%
1.25 10.26 315
1.26+ 6.93+ 695
2.04 9.57 328
2.00 9.68 315
2.01+ 6.33+ 695
2.04 9.87 328
2.00 9.79 315
2.01+ 6.11+ 695
1.19% (b) 5.75% 330%
0.95 4.87 376
0.95 5.88 280
0.97+ 4.95+ 984
1.91 (c) 5.00 330
1.70 4.14 376
1.70 5.13 280
1.75+ 3.73+ 984
1.91 (c) 5.01 330
1.70 4.16 376
1.70 5.13 280
1.76+ 4.09+ 984
</TABLE>
See accompanying notes 111
<PAGE>
Financial Highlights - A, B, and C Classes (Cont.)
<TABLE>
<CAPTION>
Net Realized/
Net Asset Value Unrealized Gain Total Income Dividends from
Selected Per Share Data for Beginning of Net Investment (Loss) on from Investment Net Investment
the Year or Period Ended: Period Income (Loss) Investments Operations Income
<S> <C> <C> <C> <C> <C>
Global Bond Fund II
Class A
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 (b) 0.95 1.27 (0.31)
Class B
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 (b) 0.92 1.22 (0.26)
Class C
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 (b) 0.92 1.22 (0.26)
High Yield Fund
Class A
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
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
03/31/2000 11.23 0.81 (a) (1.01)(a) (0.20) (0.80)
03/31/1999 11.66 0.82 (a) (0.43)(a) 0.39 (0.81)
03/31/1998 11.10 0.85 (a) 0.65 (a) 1.50 (0.85)
01/13/1997 - 03/31/1997 11.18 0.15 (0.05) 0.10 (0.18)
Long-Term U.S. Government Fund
Class A
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
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
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)
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Reflects voluntary waiver of investment advisory fee of $12,041 (0.01 per
share) by the Advisor.
(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) Ratio of expenses to average net assets excluding interest expense is 0.90%.
(f) Ratio of expenses to average net assets excluding interest expense is 1.65%.
112 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Dividends Ratio of Net
in Excess Distributions Distributions Net Assets Ratio of Investment
of Net from Net in Excess of Net Asset End of Expenses Income (Loss) Portfolio
Investment Realized Net Realized Total Value End Total Period to Average to Average Turnover
Income Capital Gains Capital Gains Distributions of Period Returns (000s) Net Assets Net Assets Rate
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ (0.01) $ (0.02) $ 0.00 $ (0.54) $ 9.41 0.71% $ 2,279 0.98% 5.45% 290%
0.00 (0.01) (0.08) (0.57) 9.89 5.65 2,728 0.95 5.07 236
(0.54) (1.53) 0.00 (2.07) 9.92 11.21 6,816 0.95 5.88 369
0.00 (0.40) 0.00 (0.62) 10.84 4.55 7,652 2.05+ 5.60+ 307
0.00 0.00 0.00 (0.31) 10.96 15.01 7,360 1.27 (c) 4.88 (d) 1246
(0.01) (0.02) 0.00 (0.47) 9.41 (0.05) 4,590 1.73 4.72 290
0.00 (0.01) (0.08) (0.50) 9.89 4.85 4,909 1.70 4.16 236
(0.46) (1.53) 0.00 (1.99) 9.92 10.39 4,473 1.70 5.12 369
0.00 (0.40) 0.00 (0.58) 10.84 4.17 3,925 2.57+ 4.22+ 307
0.00 0.00 0.00 (0.26) 10.96 14.54 3,240 2.49 (c) 4.09 (d) 1246
(0.01) (0.02) 0.00 (0.47) 9.41 (0.05) 5,254 1.73 4.71 290
0.00 (0.01) (0.08) (0.50) 9.89 4.82 5,863 1.70 4.16 236
(0.46) (1.53) 0.00 (1.99) 9.92 10.39 6,096 1.70 5.12 369
0.00 (0.40) 0.00 (0.58) 10.84 4.17 5,323 2.43+ 4.14+ 307
0.00 0.00 0.00 (0.26) 10.96 14.54 3,459 2.49 (c) 4.09 (d) 1246
$ (0.01) $ 0.00 $ 0.00 $ (0.89) $ 10.22 (1.15)% $ 187,039 0.90% 8.23% 39%
(0.01) 0.00 0.00 (0.91) 11.23 4.32 155,466 0.90 7.94 39
0.00 0.00 (0.09) (1.03) 11.66 14.80 70,858 0.90 8.02 37
0.00 0.00 0.00 (0.20) 11.10 1.06 28,873 0.92+ 8.28+ 67
(0.01) 0.00 0.00 (0.81) 10.22 (1.89) 303,333 1.65 7.48 39
(0.01) 0.00 0.00 (0.82) 11.23 3.54 286,198 1.65 7.21 39
0.00 0.00 (0.09) (0.94) 11.66 13.94 156,099 1.65 7.27 37
0.00 0.00 0.00 (0.18) 11.10 0.86 60,269 1.67+ 7.52+ 67
(0.01) 0.00 0.00 (0.81) 10.22 (1.89) 341,953 1.65 7.49 39
(0.01) 0.00 0.00 (0.82) 11.23 3.55 370,861 1.65 7.24 39
0.00 0.00 (0.09) (0.94) 11.66 13.95 284,836 1.65 7.36 37
0.00 0.00 0.00 (0.18) 11.10 0.88 205,297 1.68+ 7.56+ 67
$ 0.00 $ 0.00 $ 0.00 $ (0.58) $ 9.79 0.86% $ 42,773 0.99% (e) 5.96% 320%
0.00 0.00 (0.46) (1.06) 10.30 7.34 29,809 1.34 (e) 5.33 364
0.00 (0.06) 0.00 (0.64) 10.57 19.78 6,161 0.91 4.49 177
0.00 0.00 0.00 (0.13) 9.39 (1.72) 1,204 1.12+ 6.91+ 402
0.00 0.00 0.00 (0.51) 9.79 0.11 34,301 1.72 (f) 5.16 320
0.00 0.00 (0.46) (0.98) 10.30 6.51 37,946 2.13 (f) 4.53 364
0.00 (0.06) 0.00 (0.56) 10.57 18.85 7,516 1.66 4.64 177
0.00 0.00 0.00 (0.10) 9.39 (1.92) 454 1.87+ 4.95+ 402
0.00 0.00 0.00 (0.51) 9.79 0.11 20,955 1.71 (f) 5.16 320
0.00 0.00 (0.46) (0.98) 10.30 6.52 31,653 2.16 (f) 4.50 364
0.00 (0.06) 0.00 (0.56) 10.57 18.86 7,258 1.66 4.64 177
0.00 0.00 0.00 (0.10) 9.39 (1.83) 275 1.88+ 5.52+ 402
</TABLE>
See accompanying notes 113
<PAGE>
Financial Highlights - A, B, and C Classes (Cont.)
<TABLE>
<CAPTION>
Net Realized/
Net Asset Value Unrealized Gain Total Income Dividends from
Selected Per Share Data for Beginning of Net Investment (Loss) on from Investment Net Investment
the Year or Period Ended: Period Income (Loss) Investments Operations Income
<S> <C> <C> <C> <C> <C>
Low Duration Fund
Class A
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
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
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
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
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
03/31/2000 1.00 0.05 (a) 0.00 (a) 0.05 (0.05)
03/31/1999 1.00 0.05 (a) 0.00 (a) 0.05 (0.05)
03/31/1998 1.00 0.05 (a) 0.00 (a) 0.05 (0.05)
01/13/1997 - 03/31/1997 1.00 0.01 0.00 0.01 (0.01)
Municipal Bond Fund
Class A
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
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
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
10/19/1999 - 03/31/2000 $ 9.90 $ 0.16 (a) $ 0.07 (a) $ 0.23 $ (0.17)
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Ratio of expenses to average net assets excluding interest expense is 0.90%
(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) If the investment manager had not reimbursed expenses, the ratio of expenses
to average net assets would have been 1.88%.
114 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Dividends Ratio of Net
in Excess Distributions Distributions Net Assets Ratio of Investment
of Net from Net in Excess of Net Asset End of Expenses Income (Loss) Portfolio
Investment Realized Net Realized Total Value End Total Period to Average to Average Turnover
Income Capital Gains Capital Gains Distributions of Period Returns (000s) Net Assets Net Assets Rate
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ (0.01) $ 0.00 $ 0.00 $ (0.59) $ 9.81 3.07% $ 235,413 0.98% (b) 5.91% 82%
0.00 (0.01) (0.05) (0.66) 10.10 5.86 191,727 0.90 5.85 245
(0.02) (0.03) 0.00 (0.63) 10.18 8.49 109,531 0.90 5.93 309
(0.01) 0.00 0.00 (0.13) 9.98 0.85 59,348 0.91+ 5.84+ 240
(0.01) 0.00 0.00 (0.51) 9.81 2.30 73,121 1.73 (c) 5.16 82
0.00 (0.01) (0.05) (0.58) 10.10 5.07 65,160 1.65 5.03 245
(0.02) (0.03) 0.00 (0.55) 10.18 7.68 17,624 1.65 5.16 309
0.00 0.00 0.00 (0.11) 9.98 0.68 5,296 1.67+ 5.03+ 240
(0.01) 0.00 0.00 (0.54) 9.81 2.55 110,447 1.48 (d) 5.42 82
0.00 (0.01) (0.05) (0.61) 10.10 5.33 112,229 1.40 5.35 245
(0.02) (0.03) 0.00 (0.58) 10.18 8.01 68,766 1.40 5.46 309
(0.01) 0.00 0.00 (0.12) 9.98 0.75 63,606 1.42+ 5.36+ 240
$ 0.00 $ 0.00 $ 0.00 $ (0.05) $ 1.00 4.92% $ 101,734 0.60% 4.90% N/A
0.00 0.00 0.00 (0.05) 1.00 4.76 105,200 0.60 4.78 N/A
0.00 0.00 0.00 (0.05) 1.00 5.10 41,375 0.60 5.02 N/A
0.00 0.00 0.00 (0.01) 1.00 1.01 43,589 0.57+ 4.44+ N/A
0.00 0.00 0.00 (0.04) 1.00 3.99 25,507 1.50 4.05 N/A
0.00 0.00 0.00 (0.04) 1.00 4.03 14,968 1.50 3.79 N/A
0.00 0.00 0.00 (0.04) 1.00 4.21 2,937 1.50 4.15 N/A
0.00 0.00 0.00 (0.01) 1.00 0.83 3,143 1.41+ 3.62+ N/A
0.00 0.00 0.00 (0.05) 1.00 4.95 99,475 0.60 4.78 N/A
0.00 0.00 0.00 (0.05) 1.00 4.85 86,159 0.60 4.79 N/A
0.00 0.00 0.00 (0.05) 1.00 5.14 55,696 0.60 5.05 N/A
0.00 0.00 0.00 (0.01) 1.00 1.02 85,398 0.58+ 4.47+ N/A
$ 0.00 $ 0.00 $ 0.00 $ (0.43) $ 9.47 (2.16)% $ 8,666 0.85% 4.44% 145%
0.00 0.00 0.00 (0.41) 10.12 5.67 7,020 0.86 4.10 70
0.00 0.00 0.00 (0.36) 9.47 (2.89) 5,314 1.60 3.69 145
0.00 0.00 0.00 (0.33) 10.12 4.88 6,070 1.61 3.33 70
0.00 0.00 0.00 (0.38) 9.47 (2.64) 28,674 1.35 3.94 145
0.00 0.00 0.00 (0.36) 10.12 5.13 37,913 1.35 3.60 70
$ 0.00 $ (0.02) $ 0.00 $ (0.19) $ 9.94 2.30% $ 10 0.89%+(e) 3.68%+ 270%
</TABLE>
See accompanying notes 115
<PAGE>
Financial Highlights - A, B, and C Classes (Cont.)
<TABLE>
<CAPTION>
Net Realized /
Net Asset Value Unrealized Gain Total Income Dividends from
Selected Per Share Data for Beginning of Net Investment (Loss) on from Investment Net Investment
the Year or Period Ended: Period Income (Loss) Investments Operations Income
<S> <C> <C> <C> <C> <C>
Real Return Bond Fund
Class A
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
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
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
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
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
03/31/2000 10.03 0.52 (a) (0.09)(a) 0.43 (0.51)
03/31/1999 10.06 0.50 (a) (0.02)(a) 0.48 (0.50)
03/31/1998 10.00 0.54 (a) 0.07 (a) 0.61 (0.53)
01/20/1997 - 03/31/1997 10.04 0.09 (0.03) 0.06 (0.10)
StocksPLUS Fund
Class A
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
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
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)
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Ratio of expenses to average net assets excluding interest expense is 0.85%
(c) Ratio of expenses to average net assets excluding interest expense is 1.60%
(d) Ratio of expenses to average net assets excluding interest expense is 1.15%
116 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Dividends Ratio of Net
in Excess Distributions Distributions Net Assets Ratio of Investment
of Net from Net in Excess of Net Asset End of Expenses Income (Loss) Portfolio
Investment Realized Net Realized Total Value End Total Period to Average to Average Turnover
Income Capital Gains Capital Gains Distributions of Period Returns (000s) Net Assets Net Assets Rate
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 0.00 $ (0.02) $ 0.00 $ (0.66) $ 9.92 7.93% $ 17,676 0.93% 6.57% 253%
(0.06) 0.00 0.00 (0.51) 9.83 5.99 6,250 0.92 4.40 438
(0.03) (0.14) 0.00 (0.59) 9.77 4.12 370 0.92 4.06 967
0.00 0.00 0.00 (0.08) 9.93 0.15 1 0.90+ 6.14+ 160
0.00 (0.02) 0.00 (0.59) 9.92 7.16 11,463 1.68 5.82 253
(0.05) 0.00 0.00 (0.43) 9.83 5.19 3,646 1.68 3.72 438
(0.02) (0.14) 0.00 (0.52) 9.77 3.50 1,496 1.67 3.32 967
0.00 0.00 0.00 (0.06) 9.93 (0.08) 509 1.59+ 3.43+ 160
0.00 (0.02) 0.00 (0.61) 9.92 7.40 17,336 1.43 5.90 253
(0.06) 0.00 0.00 (0.46) 9.83 5.46 2,534 1.43 4.49 438
(0.03) (0.14) 0.00 (0.55) 9.77 3.73 490 1.42 3.56 967
0.00 0.00 0.00 (0.06) 9.93 (0.07) 148 1.62+ 5.13+ 160
$ 0.00 $ 0.00 $ 0.00 $ (0.54) $ 9.95 4.76% $ 75,671 1.03% (b) 5.45% 38%
0.00 0.00 (0.01) (0.54) 10.03 5.21 80,787 0.85 5.15 47
(0.01) (0.01) 0.00 (0.58) 10.06 6.64 24,182 0.85 5.48 48
(0.01) 0.00 0.00 (0.11) 10.00 0.66 2,533 0.86+ 5.07+ 77
0.00 0.00 0.00 (0.47) 9.95 4.00 6,694 1.80 (c) 4.77 38
0.00 0.00 (0.01) (0.46) 10.03 4.43 3,813 1.60 4.45 47
(0.01) (0.01) 0.00 (0.52) 10.06 5.96 1,258 1.60 4.97 48
0.00 0.00 0.00 (0.10) 10.00 0.58 114 1.62+ 4.83+ 77
0.00 0.00 0.00 (0.51) 9.95 4.45 18,935 1.34 (d) 5.17 38
0.00 0.00 (0.01) (0.51) 10.03 4.91 15,589 1.15 4.92 47
(0.01) (0.01) 0.00 (0.55) 10.06 6.33 6,763 1.15 5.33 48
0.00 0.00 0.00 (0.10) 10.00 0.63 1,359 1.14+ 4.78+ 77
$ 0.00 $ (0.97) $ (0.51) $ (2.52) $ 14.06 17.26% $ 160,847 1.05% 7.21% 92%
0.00 (1.24) 0.00 (2.02) 14.26 17.07 148,748 1.05 6.66 81
0.00 (1.09) 0.00 (2.47) 14.06 47.07 62,970 1.05 13.34 30
0.00 0.00 0.00 (0.15) 11.46 (2.59) 5,790 1.10+ (10.69)+ 47
0.00 (0.97) (0.51) (2.42) 13.96 16.40 374,171 1.80 6.27 92
0.00 (1.24) 0.00 (1.93) 14.18 16.21 281,930 1.80 6.05 81
0.00 (1.09) 0.00 (2.39) 14.01 46.11 99,039 1.80 12.60 30
0.00 0.00 0.00 (0.14) 11.44 (2.81) 8,281 1.88+ (15.13)+ 47
0.00 (0.97) (0.51) (2.45) 14.00 16.69 311,942 1.55 6.47 92
0.00 (1.24) 0.00 (1.96) 14.21 16.48 245,088 1.55 6.19 81
0.00 (1.09) 0.00 (2.41) 14.03 46.38 96,960 1.55 12.85 30
0.00 0.00 0.00 (0.14) 11.45 (2.71) 11,254 1.65+ (12.79)+ 47
</TABLE>
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 Beginning of Net Investment (Loss) on from Investment Net Investment
the Year or Period Ended: Period Income (Loss) Investments Operations Income
<S> <C> <C> <C> <C> <C>
Strategic Balanced Fund
Class A
05/28/1999 - 03/31/2000 $ 12.80 $ 0.64 (a) $ 0.48 (a) $ 1.12 $ (0.72)
Class B
05/28/1999 - 03/31/2000 12.80 0.60 (a) 0.45 (a) 1.05 (0.67)
Class C
05/28/1999 - 03/31/2000 12.80 0.61 (a) 0.42 (a) 1.03 (0.67)
Total Return Fund
Class A
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
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
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)
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Ratio of expenses to average net assets excluding interest expense is 0.90%.
(c) Ratio of expenses to average net assets excluding interest expense is 1.65%.
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
Income Gains Gains Distributions End of Period Total Return
------------- ---------------- ----------------- ------------- --------------- ------------
<S> <C> <C> <C> <C> <C>
$ (0.15) $ (0.31) $ 0.00 $ (1.18) $ 12.74 9.34%
(0.15) (0.31) 0.00 (1.13) 12.72 8.61
(0.15) (0.31) 0.00 (1.13) 12.70 8.47
$ (0.02) $ 0.00 $ 0.00 $ (0.58) $ 9.96 1.85%
0.00 (0.24) (0.18) (1.00) 10.36 7.09
(0.02) (0.27) 0.00 (0.86) 10.62 12.11
0.00 0.00 0.00 (0.13) 10.27 0.02
(0.02) 0.00 0.00 (0.50) 9.96 1.08
0.00 (0.24) (0.18) (0.92) 10.36 6.28
(0.01) (0.27) 0.00 (0.78) 10.62 11.26
0.00 0.00 0.00 (0.12) 10.27 (0.10)
(0.02) 0.00 0.00 (0.50) 9.96 1.09
0.00 (0.24) (0.18) (0.92) 10.36 6.29
(0.01) (0.27) 0.00 (0.79) 10.62 11.28
0.00 0.00 0.00 (0.12) 10.27 (0.11)
</TABLE>
<TABLE>
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Net Assets End Average Net to Average Portfolio
of Period (000s) Assets Net Assets Turnover Rate
<S> <C> <C> <C>
$ 4,468 1.05%+ 5.99%+ 176%
11,604 1.80%+ 5.61+ 176
13,116 1.80%+ 5.66+ 176
$1,947,405 1.01% (b) 5.79% 223%
1,140,606 0.90 5.37 154
533,893 0.90 5.46 206
115,742 0.91+ 6.08+ 173
654,104 1.76 (c) 5.01 223
549,478 1.65 4.55 154
186,932 1.65 4.74 206
74,130 1.67+ 5.28+ 173
720,199 1.75 (c) 5.01 223
715,201 1.65 4.63 154
405,037 1.65 4.83 206
329,104 1.67+ 5.32+ 173
</TABLE>
See accompanying notes 119
<PAGE>
<TABLE>
<CAPTION>
Statements of Assets and Liabilities
March 31, 2000
California Long-Term
Intermediate Emerging U.S.
Amounts in thousands, Municipal Convertible Markets Foreign Global Bond Gov't
except per share amounts Bond Fund Fund Bond Bond Fund Fund II High Yield Fund Fund
------------ ----------- -------- --------- ----------- --------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
Assets:
Investments, at value $ 12,789 $ 187,384 $ 27,281 $ 786,477 $ 115,754 $ 3,109,102 $ 631,400
Cash and foreign currency 201 0 176 9,657 2,576 0 1
Receivable for investments sold and
forward foreign currency contracts 500 57 37 60,151 12,749 68,806 20,535
Receivable for Fund shares sold 0 6,160 15 1,567 10 60,159 673
Interest and dividends receivable 137 795 617 13,781 1,353 69,303 5,994
Variation margin receivable 0 0 0 1,239 222 0 0
Manager reimbursement receivable 14 17 0 0 0 0 0
Other assets 0 0 1 6 3 0 266
13,641 194,413 28,127 872,878 132,667 3,307,370 658,869
Liabilities:
Payable for investments purchased and
forward foreign currency contracts $ 3,408 $ 8,984 $ 186 $ 20,917 $ 12,571 $ 19,065 $ 20,916
Payable for financing transactions 0 0 0 299,128 22,650 0 280,400
Notes payable 0 0 0 4,459 0 0 0
Written options outstanding 0 0 0 806 70 0 664
Payable for Fund shares redeemed 0 1,269 44 999 57 96,956 843
Dividends payable 1 0 25 499 87 5,500 460
Accrued investment advisory fee 2 65 11 123 21 730 77
Accrued administration fee 2 43 10 144 27 894 89
Accrued distribution fee 0 6 4 38 6 524 45
Accrued servicing fee 0 3 0 26 3 199 21
Variation margin payable 0 0 0 4 0 0 99
Other liabilities 0 12 0 210 126 13,109 8
3,413 10,382 280 327,353 35,618 136,977 303,622
Net Assets $ 10,228 $ 184,031 $ 27,847 $ 545,525 $ 97,049 $ 3,170,393 $ 355,247
Net Assets Consist of:
Paid in capital $ 10,167 $ 150,134 $ 25,714 $ 569,908 $ 99,203 $ 3,582,318 $ 383,902
Undistributed (overdistributed)
net investment income 1 5,512 862 15,115 889 (1,991) 45
Accumulated undistributed
net realized gain (loss) (12) 419 (167) (10,296) (2,023) (132,723) (32,226)
Net unrealized appreciation
(depreciation) 72 27,966 1,438 (29,202) (1,020) (277,211) 3,526
$ 10,228 $ 184,031 $ 27,847 $ 545,525 $ 97,049 $ 3,170,393 $ 355,247
Net Assets:
Class A $ 1,793 $ 5,199 $ 316 $ 54,299 $ 2,279 $ 187,039 $ 42,773
Class B 0 2,582 1,168 24,402 4,590 303,333 34,301
Class C 0 8,016 249 30,214 5,254 341,953 20,955
Other Classes 8,435 168,234 26,114 436,610 84,926 2,338,068 257,218
Shares Issued and Outstanding:
Class A 178 330 37 5,415 242 18,291 4,370
Class B 0 165 136 2,433 488 29,664 3,505
Class C 0 510 29 3,013 558 33,441 2,141
Net Asset Value and Redemption
Price* Per Share
(Net Assets Per Share Outstanding)
Class A $ 10.05 $ 15.76 $ 8.61 $ 10.03 $ 9.41 $ 10.22 $ 9.79
Class B 0.00 15.68 8.61 10.03 9.41 10.22 9.79
Class C 0.00 15.71 8.61 10.03 9.41 10.22 9.79
Cost of Investments Owned $ 12,717 $ 159,363 $ 25,829 $ 819,213 $ 117,333 $ 3,386,320 $ 626,636
Cost of Foreign Currency Held $ 0 $ 0 $ 1 $ 9,460 $ 2,563 $ 0 $ 0
*With respect to the Retail Classes, the redemption price varies by the length of time the shares are held.
</TABLE>
120 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
New York
Intermediate
Low Money Municipal Municipal Real Return Short-Term StocksPLUS Strategic Total Return
Duration Fund Market Fund Bond Fund Bond Fund Bond Fund Fund Fund Balance Fund Fund
------------- ----------- --------- ------------ ----------- ---------- ---------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 4,680,289 $ 661,271 $ 54,338 $ 3,018 $ 420,273 $ 828,011 $ 1,457,437 $ 170,878 $ 41,494,212
4,533 1 0 0 334 628 4,838 425 12,437
55,920 0 0 0 36,154 3,113 10,537 5,207 702,805
10,471 31,748 305 0 1,205 1,381 7,924 90 112,052
56,136 862 638 48 4,228 6,343 29,774 2,346 375,681
45 0 0 0 0 0 8,757 663 12,351
0 0 0 14 0 0 0 0 0
1,673 0 0 0 271 0 0 5 2,610
4,809,067 693,882 55,281 3,080 462,465 839,476 1,519,267 179,614 42,712,148
$ 310,670 $ 0 $ 2,412 $ 0 $ 24,167 $ 23,006 $ 11,355 $ 14,812 $ 6,321,535
428,637 0 0 0 167,573 41,087 0 8,386 4,055,744
32,863 0 0 0 0 37,158 0 0 551,828
5,042 0 0 0 0 0 1,436 1,022 45,441
34,891 151,808 156 0 277 25,092 6,102 183 116,224
4,398 303 75 0 416 3,604 0 0 38,087
906 73 12 1 55 161 535 55 6,927
736 132 16 1 63 143 447 39 5,644
117 17 17 0 15 11 394 17 1,566
97 26 10 0 13 25 189 7 758
234 0 0 0 25 0 0 52 14,848
148 0 0 0 0 188 14 43 17,273
818,739 152,359 2,698 2 192,604 130,475 20,472 24,616 11,175,875
$ 3,990,328 $ 541,523 $ 52,583 $ 3,078 $ 269,861 $ 709,001 $ 1,498,795 $ 154,998 $ 31,536,273
$ 4,115,430 $ 541,503 $ 53,644 $ 3,096 $ 266,093 $ 713,910 $ 1,414,834 $ 151,799 $ 33,008,257
(8,390) 20 4 0 1,023 356 38,389 1,795 (57,894)
(56,070) 0 (925) (10) (860) (1,905) (42,124) (3,522) (1,057,756)
(60,642) 0 (140) (8) 3,605 (3,360) 87,696 4,926 (356,334)
$ 3,990,328 $ 541,523 $ 52,583 $ 3,078 $ 269,861 $ 709,001 $ 1,498,795 $ 154,998 $ 31,536,273
$ 235,413 $ 101,734 $ 8,666 $ 10 $ 17,676 $ 75,671 $ 160,847 $ 4,468 $ 1,947,405
73,121 25,507 5,314 0 11,463 6,694 374,171 11,604 654,104
110,447 99,475 28,674 0 17,336 18,935 311,942 13,116 720,199
3,571,347 314,807 9,929 3,068 223,386 607,701 651,835 125,810 28,214,565
24,009 101,734 915 1 1,784 7,608 11,440 351 195,540
7,457 25,507 561 0 1,157 673 26,806 912 65,679
11,264 99,475 3,028 0 1,750 1,903 22,276 1,033 72,316
$ 9.81 $ 1.00 $ 9.47 $ 9.94 $ 9.92 $ 9.95 $ 14.06 $ 12.74 $ 9.96
9.81 1.00 9.47 0.00 9.92 9.95 13.96 12.72 9.96
9.81 1.00 9.47 0.00 9.92 9.95 14.00 12.70 9.96
$ 4,738,588 $ 661,271 $ 54,478 $ 3,026 $ 416,252 $ 831,318 $ 1,461,824 $ 172,415 $ 41,850,196
$ 3,817 $ 0 $ 0 $ 0 $ 136 $ 607 $ 3,182 $ 446 $ 57,001
</TABLE>
See accompanying notes 121
<PAGE>
<TABLE>
<CAPTION>
Statements of Operations
For the year ended March 31, 2000
California
Intermediate Emerging Long-Term
Amounts in thousands Municipal Convertible Markets Foreign Global Bond High Yield U.S. Gov't
Bond Fund Fund Bond Bond Fund Fund II Fund Fund
------------ ----------- -------- --------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Investment Income:
Interest $ 120 $ 191 $ 2,224 $ 40,038 $ 3,723 $ 313,448 $ 23,730
Dividends 0 572 0 99 11 9,839 0
Miscellaneous income 0 7 0 0 0 48 0
Total Income 120 770 2,224 40,137 3,734 323,335 23,730
Expenses:
Investment advisory fees 6 266 87 1,455 143 8,797 863
Administration fees 7 173 79 1,669 192 10,201 1,008
Distribution fees - Class B 0 5 6 177 37 2,386 281
Distribution fees - Class C 0 18 2 227 43 2,865 195
Servicing fees - Class A 1 4 1 108 7 471 82
Servicing fees - Class B 0 2 2 59 12 795 94
Servicing fees - Class C 0 6 1 76 15 955 65
Distribution and/or servicing fees -
Other Classes 0 0 22 35 0 820 99
Trustees' fees 0 0 0 4 0 23 2
Organization costs 14 20 0 0 0 0 0
Interest expense 0 0 12 1,107 29 0 236
Registration fees 0 0 0 0 0 0 0
Miscellaneous expense 0 0 0 0 0 0 0
Total expenses 28 494 212 4,917 478 27,313 2,925
Reimbursement by manager (14) (17) 0 0 0 0 0
Net Expenses 14 477 212 4,917 478 27,313 2,925
Net Investment Income (loss) 106 293 2,012 35,220 3,256 296,022 20,805
Net realized and unrealized Gain (loss):
Net realized gain (loss) on investments (5) 7,735 1,273 (9,133) (1,702) (70,452) (20,325)
Net realized gain (loss) on futures
contracts and written options 0 0 0 389 (137) 0 (4,734)
Net realized gain (loss) on
foreign currency transactions 0 86 (19) 13,736 1,015 0 0
Net change in unrealized appreciation
(depreciation) on investments 72 28,021 2,015 (25,580) (1,078) (263,887) 9,491
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 0 0 0 1,514 517 0 (1,533)
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies 0 (55) (14) (7,672) (242) 0 0
Net gain (loss) 67 35,787 3,255 (26,746) (1,627) (334,339) (17,101)
Net Increase (Decrease) in Assets
Resulting from Operations $ 173 $ 36,080 $ 5,267 $ 8,474 $ 1,629 $ (38,317) $ 3,704
</TABLE>
122 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
New York
Intermediate Strategic Total
Low Money Municipal Municipal Real Return Short-Term StocksPLUS Balance Return
Duration Fund Market Fund Bond Fund Bond Fund Bond Fund Fund Fund Fund Fund
------------- ----------- --------- ------------ ----------- ---------- ---------- --------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 282,089 $ 27,418 $ 2,988 $ 79 $ 8,522 $ 42,026 $ 115,401 $ 9,071 $ 1,949,659
7,439 0 0 0 0 0 219 40 14,565
59 0 0 0 0 2 35 4 626
289,587 27,418 2,988 79 8,522 42,028 115,655 9,115 1,964,850
10,481 755 141 5 286 1,611 5,710 527 72,342
8,469 1,326 189 4 334 1,446 4,784 353 58,765
541 137 44 0 58 36 2,581 49 4,790
591 0 167 0 43 53 1,506 51 5,682
566 109 23 0 25 210 417 6 4,054
180 46 15 0 19 12 860 16 1,597
296 85 83 0 21 44 753 17 1,894
331 23 7 0 13 24 102 1 7,031
28 3 0 0 1 4 9 1 189
0 0 0 14 2 0 0 0 0
3,099 5 5 0 31 1,214 96 0 30,200
0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0
24,582 2,489 674 23 833 4,654 16,818 1,021 186,544
0 0 0 (14) 0 0 0 0 0
24,582 2,489 674 9 833 4,654 16,818 1,021 186,544
265,005 24,929 2,314 70 7,689 37,374 98,837 8,094 1,778,306
(36,229) 0 (919) (4) 405 (1,929) (1,165) (1,099) (499,631)
(9,212) 0 0 0 (210) 0 37,328 104 (365,560)
(2,503) 0 0 0 122 153 2,593 721 17,803
(72,657) 0 (2,965) (8) 4,115 (3,284) (3,086) (1,574) (260,654)
(2,504) 0 0 0 (173) 0 90,165 6,078 32,658
(3) 0 0 0 (220) (25) 171 27 (14,142)
(123,108) 0 (3,884) (12) 4,039 (5,085) 126,006 4,257 (1,089,526)
$ 141,897 $ 24,929 $ (1,570) $ 58 $ 11,728 $ 32,289 $ 224,843 $ 12,351 $ 688,780
</TABLE>
See accompanying notes 123
<PAGE>
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
California
Intermediate
Municipal Convertible Emerging Markets
Amounts in thousands Bond Fund Fund Bond Fund
------------ ----------- -----------------------------
Year Ended Year Ended Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 2000 March 31, 2000 March 31, 2000 March 31, 1999
<S> <C> <C> <C> <C>
Operations
Net investment income (loss) $ 106 $ 293 $ 2,012 $ 464
Net realized gain (loss) (5) 7,821 1,254 (364)
Net change in unrealized appreciation (depreciation) 72 27,966 2,001 (652)
Net increase (decrease) resulting from operations 173 36,080 5,267 (552)
Distributions to Shareholders:
From net investment income
Class A (8) (8) (25) (21)
Class B 0 (2) (78) (29)
Class C 0 (7) (26) (19)
Other Classes (97) (276) (1,882) (395)
In excess of net investment income
Class A 0 (34) 0 0
Class B 0 (10) 0 0
Class C 0 (32) 0 0
Other Classes 0 (1,195) 0 0
From net realized capital gains
Class A 0 (17) 0 0
Class B 0 (6) 0 0
Class C 0 (19) 0 0
Other Classes 0 (577) 0 0
In excess of net realized capital gains
Class A (1) 0 0 (1)
Class B 0 0 0 (2)
Class C 0 0 0 (1)
Other Classes (6) 0 0 (24)
Total Distributions (112) (2,183) (2,011) (492)
Fund Share Transactions:
Receipts for shares sold
Class A 1,879 4,800 185 184
Class B 0 2,593 716 502
Class C 0 6,988 68 273
Other Classes 8,860 176,122 42,500 895
Issued in reorganization
Class A 0 0 0 0
Class B 0 0 0 0
Class C 0 0 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Class A 12 58 20 16
Class B 0 13 39 18
Class C 0 49 14 11
Other Classes 91 1,984 1,803 405
Cost of shares redeemed
Class A (119) (363) (95) (295)
Class B 0 (337) (118) (372)
Class C 0 (141) (98) (122)
Other Classes (556) (41,632) (25,001) (346)
Net increase (decrease) resulting from Fund
share transactions 10,167 150,134 20,033 1,169
Total Increase (Decrease) in Net Assets 10,228 184,031 23,289 125
Net Assets:
Beginning of period 0 0 4,558 4,433
End of period * $ 10,228 $ 184,031 $ 27,847 $ 4,558
*Including net undistributed (overdistributed)
investment income of: $ 1 $ 5,512 $ 862 $ 0
</TABLE>
124 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Foreign Bond Fund Global Bond Fund II High Yield Fund Long-Term U.S. Gov't Fund Low Duration Fund
-------------------------- ------------------------ ----------------------- ------------------------- ------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
March 31, March 31, March 31, March 31, March 31, March 31, March 31, March 31, March 31, March 31,
2000 1999 2000 1999 2000 1999 2000 1999 2000 1999
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 35,220 $ 27,910 $ 3,256 $ 2,125 $ 296,022 $ 206,013 $ 20,805 $ 9,135 $ 265,005 $ 217,276
4,992 5,073 (824) 75 (70,452) (5,689) (25,059) (505) (47,944) 4,149
(31,738) 5,504 (803) 200 (263,887) (88,818) 7,958 (5,884) (75,164) (10,418)
8,474 38,487 1,629 2,400 (38,317) 111,506 3,704 2,746 141,897 211,007
(2,482) (1,018) (149) (245) (15,406) (7,385) (1,946) (843) (13,205) (8,976)
(1,179) (681) (229) (188) (23,625) (14,721) (1,936) (1,044) (3,668) (2,185)
(1,515) (992) (268) (250) (28,389) (22,155) (1,340) (902) (6,311) (4,608)
(30,001) (25,369) (2,569) (1,435) (226,319) (159,223) (15,549) (6,348) (237,815) (201,521)
0 0 (2) 0 (113) (95) 0 0 (200) 0
0 0 (4) 0 (172) (190) 0 0 (55) 0
0 0 (5) 0 (207) (286) 0 0 (96) 0
0 0 (41) 0 (1,652) (2,059) 0 0 (3,599) 0
(416) (231) 0 (5) 0 0 0 0 0 (200)
(209) (171) 0 (6) 0 0 0 0 0 (73)
(262) (239) 0 (9) 0 0 0 0 0 (112)
(3,938) (4,368) 0 (42) 0 0 0 0 0 (3,748)
(315) (578) (6) (26) 0 0 0 (843) 0 (837)
(153) (429) (9) (34) 0 0 0 (1,298) 0 (305)
(198) (598) (11) (47) 0 0 0 (1,162) 0 (469)
(2,976) (10,932) (95) (220) 0 0 0 (4,295) 0 (15,684)
(43,649) (45,606) (3,388) (2,507) (295,883) (206,114) (20,771) (16,735) (264,949) (238,718)
47,005 27,767 1,600 1,024 214,375 137,501 39,235 36,432 415,786 508,627
10,650 12,228 1,267 1,843 141,755 182,999 16,036 37,608 53,258 77,162
10,346 18,663 1,527 1,091 217,795 258,132 10,916 39,974 55,588 74,325
191,536 301,244 59,618 4,100 1,500,396 1,410,720 218,562 196,867 2,950,320 2,411,822
0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0
2,623 1,435 124 218 9,497 4,421 1,509 1,202 10,938 8,716
1,204 1,052 177 157 11,679 7,543 1,334 1,826 2,556 1,938
1,630 1,625 244 266 17,370 13,989 1,016 1,559 4,903 4,065
29,929 29,769 2,526 1,643 203,172 146,326 13,146 9,031 207,600 186,268
(22,268) (9,441) (2,026) (5,295) (174,492) (54,108) (26,743) (12,413) (376,451) (433,778)
(7,337) (2,428) (1,506) (1,535) (106,519) (53,670) (18,920) (6,867) (45,716) (31,051)
(9,583) (7,487) (2,083) (1,588) (228,700) (175,112) (20,940) (15,054) (58,675) (34,148)
(295,818) (176,331) (5,204) (1,175) (1,524,985) (771,543) (144,475) (68,977) (2,977,974) (1,876,626)
(40,083) 198,096 56,264 749 281,343 1,107,198 90,676 221,188 242,133 897,320
(75,258) 190,977 54,505 642 (52,857) 1,012,590 73,609 207,199 119,081 869,609
620,783 429,806 42,544 41,902 3,223,250 2,210,660 281,638 74,439 3,871,247 3,001,638
$ 545,525 $ 620,783 $ 97,049 $ 42,544 $ 3,170,393 $ 3,223,250 $ 355,247 $ 281,638 $3,990,328 $ 3,871,247
$ 15,115 $ 8,423 $ 889 $ (41) $ (1,991)$ (2,284) $ 45 $ 100 $ (8,390) $ (4,007)
</TABLE>
See accompanying notes 125
<PAGE>
<TABLE>
<CAPTION>
Statements of Changes in Net Assets (Cont.)
New York
Intermediate
Municipal
Amounts in thousands Money Market Fund Municipal Bond Fund Bond Fund
------------------------ ------------------------ -------------
Year Ended Year Ended Year Ended Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, March 31, March 31, March 31, March 31,
2000 1999 2000 1999 2000
<S> <C> <C> <C> <C> <C>
Operations
Net investment income (loss) $24,929 $ 11,632 $ 2,314 $ 1,602 $ 70
Net realized gain (loss) 0 0 (919) (6) (4)
Net change in unrealized appreciation (depreciation) 0 0 (2,965) 2,835 (8)
Net increase (decrease) resulting from operations 24,929 11,632 (1,570) 4,431 58
Distributions to Shareholders:
From net investment income
Class A (5,341) (3,793) (403) (231) 0
Class B (735) (330) (214) (135) 0
Class C (4,148) (3,648) (1,311) (1,016) 0
Other Classes (14,699) (3,864) (380) (220) (70)
In excess of net investment income
Class A 0 0 0 0 0
Class B 0 0 0 0 0
Class C 0 0 0 (2) 0
Other Classes 0 0 0 0 0
From net realized capital gains
Class A 0 0 0 0 0
Class B 0 0 0 0 0
Class C 0 0 0 0 0
Other Classes 0 0 0 0 0
In excess of net realized capital gains
Class A 0 0 0 0 0
Class B 0 0 0 0 0
Class C 0 0 0 0 0
Other Classes 0 0 0 0 (6)
Total Distributions (24,923) (11,635) (2,308) (1,604) (76)
Fund Share Transactions:
Receipts for shares sold
Class A 5,545,908 3,795,864 7,221 3,043 10
Class B 110,792 43,230 3,559 2,929 0
Class C 1,134,937 1,514,481 3,130 4,471 0
Other Classes 427,835 848,391 9,608 7,840 3,010
Issued in reorganization
Class A 0 0 0 6,782 0
Class B 0 0 0 3,958 0
Class C 0 0 0 36,556 0
Other Classes 0 0 0 0 0
Issued as reinvestment of distributions
Class A 2,941 2,190 211 140 0
Class B 615 274 112 75 0
Class C 3,367 2,811 945 732 0
Other Classes 14,434 3,024 370 214 76
Cost of shares redeemed
Class A (5,552,316) (3,734,230) (5,201) (3,240) 0
Class B (100,869) (31,473) (4,031) (990) 0
Class C (1,124,988) (1,486,828) (10,912) (6,220) 0
Other Classes (459,029) (575,933) (7,109) (3,582) 0
Net increase (decrease) resulting from Fund
share transactions 3,627 381,801 (2,097) 52,708 3,096
Total Increase (Decrease) in Net Assets 3,633 381,798 (5,975) 55,535 3,078
Net Assets:
Beginning of period 537,890 156,092 58,558 3,023 0
End of period * $ 541,523 $ 537,890 $ 52,583 $ 58,558 $3,078
*Including net undistributed (overdistributed)
investment income of: $ 20 $ 14 $ 4 $ (2) $ 0
</TABLE>
126 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Real Return Bond Fund Short-Term Fund StocksPLUS Fund Strategic Balanced Fund Total Return Fund
----------------------- ----------------------- -------------------------- ----------------------- -----------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
March 31, March 31, March 31, March 31, March 31, March 31, March 31, March 31, March 31,
2000 1999 2000 1999 2000 1999 2000 1999 2000
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 7,689 $ 695 $ 37,374 $ 25,972 $ 98,837 $ 56,693 $ 8,094 $ 3,531 $ 1,778,306
317 131 (1,776) 217 38,756 107,476 (274) 3,599 (847,388)
3,722 (46) (3,309) (613) 87,250 (10,410) 4,531 (31) (242,138)
11,728 780 32,289 25,576 224,843 153,759 12,351 7,099 688,780
(649) (105) (4,576) (2,553) (12,776) (5,558) (241) 0 (89,782)
(442) (109) (228) (95) (24,377) (9,623) (542) 0 (30,635)
(493) (91) (909) (547) (22,197) (8,506) (553) 0 (36,340)
(5,952) (363) (31,652) (22,783) (48,619) (27,245) (7,091) (3,144) (1,544,481)
0 (14) 0 0 0 0 0 0 (3,855)
0 (15) 0 0 0 0 0 0 (1,315)
0 (13) 0 0 0 0 0 0 (1,560)
0 (51) 0 0 0 0 0 0 (66,316)
(19) (2) 0 (16) (10,979) (8,585) (52) 0 0
(12) (1) 0 (1) (23,440) (16,378) (145) 0 0
(19) (1) 0 (4) (20,814) (13,745) (147) 0 0
(243) (3) 0 (113) (40,302) (38,167) (1,436) (3,358) 0
0 0 0 (62) (5,698) 0 (105) 0 0
0 0 0 (3) (12,164) 0 (293) 0 0
0 0 0 (14) (10,800) 0 (296) 0 0
0 0 0 (436) (20,915) 0 (2,886) 0 0
(7,829) (768) (37,365) (26,627) (253,081) (127,807) (13,787) (6,502) (1,774,284)
11,806 6,141 102,581 100,568 225,386 130,068 2,703 0 1,506,055
9,829 3,210 8,403 6,850 145,530 184,202 4,146 0 282,282
17,048 3,626 22,931 47,252 139,471 166,603 5,532 0 312,021
214,305 11,792 1,224,707 890,437 284,609 216,013 9,120 55,317 11,402,013
0 0 0 0 0 0 8,167 0 0
0 0 0 0 0 0 11,192 0 0
0 0 0 0 0 0 11,513 0 0
0 0 0 0 0 0 35,908 0 0
506 115 3,855 2,329 27,851 12,348 336 0 75,662
307 98 180 55 54,645 22,233 821 0 21,883
284 33 737 441 50,658 19,336 893 0 27,579
4,724 361 22,331 16,533 107,331 62,137 7,151 4,044 1,288,826
(1,110) (337) (110,878) (46,206) (240,512) (59,680) (5,306) 0 (716,288)
(2,416) (1,174) (5,669) (4,346) (99,404) (29,175) (3,077) 0 (175,145)
(2,761) (1,626) (20,188) (38,830) (114,424) (41,951) (3,424) 0 (304,175)
(14,771) (1,922) (1,136,901) (582,240) (255,850) (184,056) (27,359) (646) (7,223,440)
237,751 20,317 112,089 392,843 325,291 498,078 58,316 58,715 6,497,273
241,650 20,329 107,013 391,792 297,053 524,030 56,880 59,312 5,411,769
28,211 7,882 601,988 210,196 1,201,742 677,712 98,118 38,806 26,124,504
$ 269,861 $ 28,211 $ 709,001 $ 601,988 $ 1,498,795 $ 1,201,742 $ 154,998 $ 98,118 $ 31,536,273
$ 1,023 $ (13) $ 356 $ 343 $ 38,389 $ 54,973 $ 1,795 $ 2,185 $ (57,894)
</TABLE>
Total Return Fund
-----------------
Year Ended
March 31,
1999
$ 1,285,330
472,416
(239,440)
1,518,306
(42,630)
(15,398)
(24,602)
(1,203,263)
0
0
0
0
(19,342)
(9,103)
(13,017)
(471,102)
(14,512)
(6,829)
(9,766)
(353,438)
(2,183,002)
854,123
409,474
408,975
11,022,189
0
0
0
0
65,979
23,537
36,630
1,701,985
(284,563)
(54,809)
(116,385)
(5,369,646)
8,697,489
8,032,793
18,091,711
$ 26,124,504
$ (77,068)
See accompanying notes 127
<PAGE>
<TABLE>
<CAPTION>
Statements of Cash Flows
Long-Term U.S.
Amounts in thousands Foreign Global Bond Government Real Return
Bond Fund Fund II Fund Bond Fund
Increase (Decrease) in Cash and Foreign Currency from:
<S> <C> <C> <C> <C>
Financing Activities
Sales of Fund shares $ 260,311 $ 64,097 $ 285,487 $ 251,988
Redemptions of Fund shares (336,496) (10,771) (212,980) (20,842)
Cash distributions paid (8,373) (250) (3,610) (1,639)
Increase (Decrease) from financing transactions (164,666) 2,870 178,913 143,379
Net increase (decrease) from financing activities (249,224) 55,946 247,810 372,886
Operating Activities
Purchases of long-term securities and foreign currency (3,194,641) (273,842) (1,882,732) (818,669)
Proceeds from sales of long-term securities and
foreign currency 3,407,402 218,865 1,627,816 450,648
Purchases of short-term securities (net) 36,865 (999) (12,616) (5,486)
Net investment income 35,220 3,256 20,805 7,689
Change in other receivables/payables (net) (25,964) (778) (1,082) (7,622)
Net increase (decrease) from operating activities 258,882 53,498 (247,809) (373,440)
Net Increase in Cash and Foreign Currency 9,658 2,448 1 (554)
Cash and Foreign Currency
Beginning of period 0 128 0 888
End of period $ 9,658 $ 2,576 $ 1 $ 334
</TABLE>
128
<PAGE>
Notes to Financial Statements
March 31, 2000
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 30 separate
investment funds (the "Funds"). The Trust may offer up to six classes of shares
Institutional, Administrative, A, B, C and D. Each share class has identical
voting rights (except that shareholders of a class have exclusive voting rights
regarding any matter relating solely to that class of shares). Information
presented in these financial statements pertains to the A, B and C Classes (the
"Retail Classes") of the Trust. Certain detailed financial information for the
Institutional, Administrative and D Classes (the "Other Classes") is provided
separately and is available upon request.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements in
conformity with generally accepted accounting principles. The preparation of
financial statements in accordance with generally accepted accounting principles
requires management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates.
Security Valuation. Portfolio securities and other financial instruments for
which market quotations are readily available are stated at market value. Market
value is determined on the basis of last reported sales prices, or if no sales
are reported, as is the case for most securities traded over-the-counter, the
mean between representative bid and asked quotations obtained from a quotation
reporting system or from established market makers. Fixed income securities,
including those to be purchased under firm commitment agreements, are normally
valued on the basis of quotes obtained from brokers and dealers or pricing
services. Short-term investments which mature in 60 days or less are valued at
amortized cost, which approximates market value. Certain fixed income securities
for which daily market quotations are not readily available may be valued,
pursuant to guidelines established by the Board of Trustees, with reference to
fixed income securities whose prices are more readily obtainable.
Securities Transactions and Investment Income. Securities transactions are
recorded as of the trade date. Securities purchased or sold on a when-issued or
delayed-delivery basis may be settled a month or more after the trade date.
Realized gains and losses from securities sold are recorded on the identified
cost basis. Dividend income is recorded on the ex-dividend date, except certain
dividends from foreign securities where the ex-dividend date may have passed,
are recorded as soon as the Fund is informed of the ex-dividend date. Interest
income, adjusted for the accretion of discounts and amortization of premiums, is
recorded on the accrual basis.
Dividends and Distributions to Shareholders. Dividends from net investment
income, if any, of each Fund, except the Convertible, 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 generally accepted
accounting principles. These differences are primarily due to differing
treatments for such items as wash sales, foreign currency transactions, net
operating losses and capital loss carryforwards.
Distributions reflected as a tax basis return of capital in the
accompanying Statements of Changes in Net Assets have been reclassified to paid
in capital. In addition, other amounts have been reclassified between
undistributed net investment income, accumulated undistributed net realized
gains or losses and paid in capital to more appropriately conform financial
accounting to tax characterizations of dividend and distributions.
Foreign Currency. Foreign currencies, investments, and other assets and
liabilities are translated into U.S. dollars at the exchange rates prevailing at
the end of the period. Fluctuations in the value of these assets and liabilities
resulting from changes in exchange rates are recorded as unrealized foreign
currency gains (losses). Realized gains (losses) and unrealized appreciation
(depreciation) on investment securities and income and expenses are translated
on the respective dates of such transactions. The effect of changes in foreign
currency exchange rates on investments in securities are not segregated in the
Statements of Operations from the effects of changes in market prices of those
securities, but are included with the net realized and unrealized gain or loss
on investment securities.
129
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 2000
Multiclass Operations. Each class offered by the Trust has equal rights as to
assets and voting privileges. Income and non-class specific expenses of each
Fund, except the Convertible, StocksPLUS and Strategic Balanced Funds, are
allocated daily to each class of shares based on the relative value of settled
shares. Income, and non-class specific expenses of the Convertible, StocksPLUS
and Strategic Balanced Funds are allocated daily to each class of shares based
on the relative net assets of each class. Realized and unrealized capital gains
and losses of each Fund are allocated daily to each class of shares based on the
relative net assets of each class.
Federal Income Taxes. Each Fund intends to qualify as a regulated investment
company and distribute all of its taxable income and net realized gains, if
applicable, to shareholders. Accordingly, no provision for Federal income taxes
has been made.
Financing Transactions. 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
130
<PAGE>
determining its net asset value. A Fund may dispose of or renegotiate a delayed
delivery transaction after it is entered into, and may sell when-issued
securities before they are delivered, which may result in a capital gain or
loss. When the Fund has sold a security on a delayed delivery basis, the Fund
does not participate in future gains and losses with respect to the security.
Forward sales commitments are accounted for by the Fund in the same manner as
forward currency contracts discussed above.
Inflation-Indexed Bonds. Inflation-indexed bonds are fixed income securities
whose principal value is periodically adjusted according to the rate of
inflation. The interest rate on these bonds is generally fixed at issuance at a
rate lower than typical bonds. Over the life of an inflation-indexed bond,
however, interest will be paid based on a principal value which is adjusted for
inflation. Any increase in the principal amount of an inflation-indexed bond
will be considered interest income, even though principal is not received until
maturity.
Repurchase Agreements. Each Fund may engage in repurchase transactions. Under
the terms of a typical repurchase agreement, the Fund takes possession of an
underlying debt obligation subject to an obligation of the seller to repurchase,
and the Fund to resell, the obligation at an agreed-upon price and time. The
market value of the collateral must be equal at all times to the total amount of
the repurchase obligations, including interest. Generally, in the event of
counterparty default, the Fund has the right to use the collateral to offset
losses incurred.
Reverse Repurchase Agreements. Certain Funds are authorized to enter into
reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells
to a financial institution a security that it holds with an agreement to
repurchase the same security at an agreed-upon price and date. A reverse
repurchase agreement involves the risk that the market value of the security
sold by the Fund may decline below the repurchase price of the security.
Restricted Securities. Certain Funds are permitted to invest in securities that
are subject to legal or contractual restrictions on resale. These securities
generally may be resold in transactions exempt from registration or to the
public if the securities are registered. Disposal of these securities may
involve time-consuming negotiations and expense, and prompt sale at an
acceptable price may be difficult.
3. Fees, Expenses, and Related Party Transactions
Investment Advisory Fee. Pacific Investment Management Company (PIMCO) is a
wholly-owned subsidiary partnership of PIMCO Advisors L.P. 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 Intermediate Municipal Bond Funds,
0.45% for the Foreign Bond and Global Bond II Funds, 0.55% for the Emerging
Markets Bond Fund and 0.40% for all other Funds. The Administration Fee for the
Institutional and Administrative Classes is charged at an annual rate of 0.18%
for the Low Duration and Total Return Funds, 0.20% for the Moderate Duration,
Money Market and Short-Term Funds, 0.24% California Intermediate Municipal Bond
and New York Intermediate Municipal Bond, 0.40% for the Emerging Markets Bond
Fund and 0.25% for all other Funds. The Administration Fee for Class D is
charged at the annual rate of 0.25% for Low Duration, Short-Term, and Total
Return Funds, 0.35% for Municipal Bond, 0.45% for 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 the current
fiscal year.
131
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 2000
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 March 31,
2000, the funds were informed that PFD received $11,859,369 representing
commissions (sales charges) and contingent deferred sales charges.
Expenses. The Trust is responsible for the following expenses: (i) salaries and
other compensation of any of the Trust's executive officers and employees who
are not officers, directors, stockholders or employees of PIMCO or its
subsidiaries or affiliates; (ii) taxes and governmental fees; (iii) brokerage
fees and commissions and other portfolio transaction expenses; (iv) the costs of
borrowing money, including interest expenses; (v) fees and expenses of the
Trustees who are not "interested persons" of PIMCO or the Trust, and any counsel
retained exclusively for their benefit; (vi) extraordinary expenses, including
costs of litigation and indemnification expenses; (vii) organization expense and
(viii) any expenses allocated or allocable to a specific class of shares, which
include service fees payable with respect to the Administrative Class shares and
may include certain other expenses as permitted by the Trust's Multiple Class
Plan adopted pursuant to Rule 18f-3 under the Act and subject to review and
approval by the Trustees. The ratio of expenses to average net assets per share
class, as disclosed in Financial Highlights, may differ from the annual fund
operating expenses per share class as disclosed in the Prospectus for the
reasons set forth above. PIMCO has agreed to waive a portion of Convertible,
California Intermediate Municipal Bond and New York Intermediate 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
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> <C> <C> <C> <C>
Convertible Fund 0.65% 0.90% 1.05% 1.80% 1.80% 1.05%
California Intermediate
Municipal Bond Fund 0.49% 0.74% 0.85% -- -- 0.85%
New York Intermediate
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 March 31, 2000 were as follows (amounts in thousands):
<TABLE>
<CAPTION>
U.S. Government/Agency All Other
------------------------------------------------------------------
Purchases Sales Purchases Sales
-------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CA Int. Municipal Bond Fund $ 3,810 $ 3,818 $ 27,038 $ 14,395
Convertible Fund 0 0 300,599 159,204
Emerging Markets Bond Fund 0 0 77,633 60,388
Foreign Bond Fund 1,162,359 1,173,327 2,025,127 2,209,981
Global Bond Fund II 94,276 81,550 186,188 138,372
High Yield Fund 0 0 1,702,854 1,323,390
Long-Term U.S. Gov't Fund 1,577,956 1,551,989 241,304 25,156
Low Duration Fund 1,934,604 2,431,440 2,202,338 1,092,435
Municipal Bond Fund 0 0 80,961 81,082
NY Int. Municipal Bond Fund 0 0 10,957 8,023
Real Return Bond Fund 688,938 446,634 147,408 28,564
Short-Term Fund 54,571 58,790 298,186 132,990
StocksPLUS Fund 658,594 580,578 753,342 454,667
Strategic Balanced Fund 201,324 163,287 83,174 32,490
Total Return Fund 56,671,088 70,114,485 35,320,326 9,011,674
</TABLE>
132
<PAGE>
5. Reorganization
The Acquiring Fund, as listed below, acquired the assets and certain liabilities
of the Acquired Fund, also listed below, in a tax-free exchange for shares of
the Acquiring Fund, pursuant to a plan of reorganization approved by the
Acquired Fund's shareholders (amounts in thousands):
<TABLE>
<CAPTION>
Value of
Shares Shares Total Net
Issued by Issued by Assets of
Acquiring Acquiring Acquired
Acquiring Fund Acquired Fund Date Fund Fund Fund
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PIMCO Municipal Bond Fund PIMCO Tax Exempt Fund 06/26/1998 4,716 $ 47,296 $ 47,296
-----------------------------------------------------------------------------------------------------------------------
PIMCO Strategic Balanced Fund PIMCO Balanced Fund 09/17/1999 5,137 $ 66,780 $ 66,780
-----------------------------------------------------------------------------------------------------------------------
<CAPTION>
Total
Total Net Net Assets Acquired
Assets of of Acquiring Fund's
Acquiring Fund After Unrealized
Acquiring Fund Acquired Fund Date Fund Acquisition (Depreciation)
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PIMCO Municipal Bond Fund PIMCO Tax Exempt Fund 06/26/1998 $ 4,295 $ 51,591 $ 2,335
-----------------------------------------------------------------------------------------------------------------------
PIMCO Strategic Balanced Fund PIMCO Balanced Fund 09/17/1999 $105,993 $172,774 $ (45)
-----------------------------------------------------------------------------------------------------------------------
</TABLE>
6. Transactions in Written Call and Put Options
Transactions in written call and put options were as follows (amounts in
thousands):
<TABLE>
<CAPTION>
Long-Term Strategic
Foreign Global Bond U.S. Gov't Low Duration Real Return StocksPLUS Balanced Total Return
Bond Fund Fund II Fund Fund Fund Fund Fund Fund
----------------------------------------------------------------------------------------------------------------------------
Premium
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Balance at 03/31/1999 $ 126 $ 9 $ 224 $ 1,830 $ 0 $ 53 $ 21 $ 35,106
Sales 1,403 89 1,611 9,716 5 10,501 2,808 130,952
Closing Buys (264) 0 (1) 1,153 0 4,794 (1,166) (21,392)
Expirations (745) (55) (1,211) (4,246) (5) (13,276) (868) (106,510)
Exercised (47) (3) (44) (4,580) 0 (841) (103) (6,434)
----------------------------------------------------------------------------------------------------------------------------
Balance at 03/31/2000 $ 473 $ 40 $ 579 $ 3,873 $ 0 $ 1,231 $ 692 $ 31,722
============================================================================================================================
</TABLE>
7. 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 fiscal 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 03/31/2007
Municipal Bond Fund 5,734 0 03/31/2007
Short-Term Fund 109,956 0 03/31/2007
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
133
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 2000
8. Shares of Beneficial Interest
The Trust may issue an unlimited number of shares of beneficial interest with a
$.0001 par value. Changes in shares of beneficial interest were as follows
(amounts in thousands):
<TABLE>
<CAPTION>
California
Intermediate
Municipal Convertible
Bond Fund Fund
----------------------------- ---------------------------
Year Ended Year Ended
03/31/2000 03/31/2000
Shares Amount Shares Amount
----------------------------- ---------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class A 189 $ 1,879 353 $ 4,800
Class B 0 0 188 2,593
Class C 0 0 517 6,988
Other Classes 887 8,860 13,296 176,122
Shares issued in reorganization
Class A 0 0 0 0
Class B 0 0 0 0
Class C 0 0 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Class A 1 12 4 58
Class B 0 0 1 13
Class C 0 0 3 49
Other Classes 9 91 137 1,984
Cost of shares redeemed
Class A (12) (119) (27) (363)
Class B 0 0 (24) (337)
Class C 0 0 (10) (141)
Other Classes (56) (556) (2,763) (41,632)
Net increase (decrease) resulting from
Fund share transactions 1,018 $ 10,167 11,675 $ 150,134
<CAPTION>
Emerging Markets Bond Fund
-----------------------------------------------------------
Year Ended Year Ended
03/31/2000 03/31/1999
Shares Amount Shares Amount
-----------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class A 23 $ 185 24 $ 184
Class B 92 716 68 502
Class C 9 68 33 273
Other Classes 5,546 42,500 114 895
Shares issued in reorganization
Class A 0 0 0 0
Class B 0 0 0 0
Class C 0 0 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Class A 2 20 2 16
Class B 5 39 2 18
Class C 2 14 1 11
Other Classes 225 1,803 54 405
Cost of shares redeemed
Class A (11) (95) (37) (295)
Class B (14) (118) (48) (372)
Class C (12) (98) (18) (122)
Other Classes (3,241) (25,001) (47) (346)
Net increase (decrease) resulting from
Fund share transactions 2,626 $ 20,033 148 $ 1,169
</TABLE>
<TABLE>
<CAPTION>
Low Duration Fund
------------------------------------------------------------
Year Ended Year Ended
03/31/2000 03/31/1999
Shares Amount Shares Amount
------------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class A 41,997 $ 415,786 49,976 $ 508,627
Class B 5,371 53,258 7,581 77,162
Class C 5,600 55,588 7,307 74,325
Other Classes 297,686 2,950,320 237,127 2,411,822
Shares issued in reorganization
Class A 0 0 0 0
Class B 0 0 0 0
Class C 0 0 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Class A 1,104 10,938 857 8,716
Class B 258 2,556 191 1,938
Class C 495 4,903 400 4,065
Other Classes 20,984 207,600 18,312 186,268
Cost of shares redeemed
Class A (38,065) (376,451) (42,621) (433,778)
Class B (4,621) (45,716) (3,055) (31,051)
Class C (5,936) (58,675) (3,358) (34,148)
Other Classes (301,000) (2,977,974) (184,542) (1,876,626)
Net increase (decrease) resulting from
Fund share transactions 23,873 $ 242,133 88,175 $ 897,320
<CAPTION>
Money Market Fund
------------------------------------------------------------
Year Ended Year Ended
03/31/2000 03/31/1999
Shares Amount Shares Amount
------------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class A 5,545,908 $ 5,545,908 3,795,864 $ 3,795,864
Class B 110,792 110,792 43,230 43,230
Class C 1,134,937 1,134,937 1,514,481 1,514,481
Other Classes 427,835 427,835 848,391 848,391
Shares issued in reorganization
Class A 0 0 0 0
Class B 0 0 0 0
Class C 0 0 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Class A 2,941 2,941 2,190 2,190
Class B 615 615 274 274
Class C 3,367 3,367 2,811 2,811
Other Classes 14,433 14,434 3,024 3,024
Cost of shares redeemed
Class A (5,552,316) (5,552,316) (3,734,230) (3,734,230)
Class B (100,869) (100,869) (31,473) (31,473)
Class C (1,124,988) (1,124,988) (1,486,828) (1,486,828)
Other Classes (459,029) (459,029) (575,933) (575,933)
Net increase (decrease) resulting from
Fund share transactions 3,626 $ 3,627 381,801 $ 381,801
</TABLE>
134
<PAGE>
<TABLE>
<CAPTION>
Foreign Bond Fund Global Bond Fund II
--------------------------------------------- ---------------------------------------------
Year Ended Year Ended Year Ended Year Ended
03/31/2000 03/31/1999 03/31/2000 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
--------------------------------------------- ---------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
4,628 $ 47,005 2,580 $ 27,767 167 $ 1,600 103 $ 1,024
1,041 10,650 1,138 12,228 133 1,267 186 1,843
1,012 10,346 1,741 18,663 160 1,527 110 1,091
18,803 191,536 28,018 301,244 6,377 59,618 418 4,100
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
260 2,623 135 1,435 13 124 22 218
119 1,204 99 1,052 19 177 16 157
161 1,630 152 1,625 26 244 27 266
2,951 29,929 2,788 29,769 268 2,526 166 1,643
(2,202) (22,268) (878) (9,441) (214) (2,026) (537) (5,295)
(727) (7,337) (227) (2,428) (160) (1,506) (155) (1,535)
(944) (9,583) (700) (7,487) (221) (2,083) (160) (1,588)
(29,099) (295,818) (16,477) (176,331) (558) (5,204) (119) (1,175)
(3,997) $ (40,083) 18,369 $ 198,096 6,010 $ 56,264 77 $ 749
<CAPTION>
High Yield Fund Long-Term U.S. Gov't Fund
--------------------------------------------- ---------------------------------------------
Year Ended Year Ended Year Ended Year Ended
03/31/2000 03/31/1999 03/31/2000 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
--------------------------------------------- ---------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
19,896 $ 214,375 12,154 $ 137,501 4,070 $ 39,235 3,332 $ 36,432
13,027 141,755 16,167 182,999 1,632 16,036 3,430 37,608
20,097 217,795 22,663 258,132 1,110 10,916 3,616 39,974
138,322 1,500,396 124,498 1,410,720 22,328 218,562 18,028 196,867
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
883 9,497 390 4,421 155 1,509 111 1,202
1,084 11,679 666 7,543 137 1,334 168 1,826
1,613 17,370 1,234 13,989 104 1,016 144 1,559
18,896 203,172 12,906 146,326 1,356 13,146 834 9,031
(16,324) (174,492) (4,784) (54,108) (2,749) (26,743) (1,132) (12,413)
(9,920) (106,519) (4,747) (53,670) (1,947) (18,920) (626) (6,867)
(21,279) (228,700) (15,317) (175,112) (2,146) (20,940) (1,373) (15,054)
(143,149) (1,524,985) (68,522) (771,543) (15,089) (144,475) (6,234) (68,977)
23,146 $ 281,343 97,308 $ 1,107,198 8,961 $ 90,676 20,298 $ 221,188
</TABLE>
<TABLE>
<CAPTION>
New York
Intermediate
Municipal
Municipal Bond Fund Bond Fund Real Return Bond Fund
--------------------------------------------- ------------------- ---------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
03/31/2000 03/31/1999 03/31/2000 03/31/2000 03/31/2000
Shares Amount Shares Amount Shares Amount Shares Amount Shares Amount
--------------------------------------------- ------------------- ------------------- -------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
750 $ 7,221 322 $ 3,043 1 $ 10 1,210 $ 11,806 620 $ 6,141
374 3,559 295 2,929 0 0 1,003 9,829 328 3,210
322 3,130 644 4,471 0 0 1,745 17,048 371 3,626
1,009 9,608 772 7,840 301 3,010 21,969 214,305 1,199 11,792
0 0 676 6,782 0 0 0 0 0 0
0 0 395 3,958 0 0 0 0 0 0
0 0 3,645 36,556 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0
22 211 14 140 0 0 52 506 12 115
12 112 7 75 0 0 31 307 10 98
98 945 72 732 0 0 29 284 3 33
39 370 22 214 8 76 484 4,724 36 361
(551) (5,201) (318) (3,240) 0 0 (114) (1,110) (34) (337)
(425) (4,031) (97) (990) 0 0 (248) (2,416) (120) (1,174)
(1,139) (10,912) (614) (6,220) 0 0 (282) (2,761) (166) (1,626)
(746) (7,109) (351) (3,582) 0 0 (1,517) (14,771) (195) (1,922)
(235) $ (2,097) 5,484 $ 52,708 310 $ 3,096 24,362 $ 237,751 2,064 $ 20,317
<CAPTION>
Short-Term Fund
---------------------------------------------
Year Ended Year Ended
03/31/2000 03/31/1999
Shares Amount Shares Amount
---------------------------------------------
<S> <C> <C> <C> <C>
10,292 $ 102,581 10,028 $ 100,568
844 8,403 682 6,850
2,301 22,931 4,713 47,252
122,851 1,224,707 88,655 890,437
0 0 0 0
0 0 0 0
0 0 0 0
0 0 0 0
387 3,855 232 2,329
18 180 6 55
74 737 44 441
2,242 22,331 1,711 16,533
(11,127) (110,878) (4,608) (46,206)
(569) (5,669) (433) (4,346)
(2,026) (20,188) (3,874) (38,830)
(114,031) (1,136,901) (58,021) (582,240)
11,256 $ 112,089 39,135 $ 392,843
</TABLE>
135
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 2000
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
(amounts in thousands):
<TABLE>
<CAPTION>
StocksPLUS Fund Strategic Balanced Fund
------------------------------------------ ------------------------------------------
Year Ended Year Ended Year Ended Year Ended
03/31/2000 03/31/1999 03/31/2000 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
------------------------------------------ ------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Class A 15,869 $ 225,386 9,310 $ 130,068 118 $ 2,703 0 $ 0
Class B 10,113 145,530 13,245 184,202 231 4,146 0 0
Class C 9,655 139,471 11,922 166,603 346 5,532 0 0
Other Classes 19,592 284,609 15,465 216,013 964 9,120 4,335 55,317
Shares issued in reorganization
Class A 0 0 0 0 629 8,167 0 0
Class B 0 0 0 0 862 11,192 0 0
Class C 0 0 0 0 888 11,513 0 0
Other Classes 0 0 0 0 2,758 35,908 0 0
Issued as reinvestment of distributions
Class A 1,987 27,851 907 12,348 26 336 0 0
Class B 3,929 54,645 1,644 22,233 64 821 0 0
Class C 3,630 50,658 1,426 19,336 70 893 0 0
Other Classes 7,615 107,331 4,549 62,137 556 7,151 323 4,044
Cost of shares redeemed
Class A (16,833) (240,512) (4,278) (59,680) (422) (5,306) 0 0
Class B (7,092) (99,404) (2,101) (29,175) (245) (3,077) 0 0
Class C (8,227) (114,424) (3,039) (41,951) (271) (3,424) 0 0
Other Classes (17,802) (255,850) (13,049) (184,056) (2,135) (27,359) (50) (646)
Net increase (decrease) resulting from
Fund share transactions 22,436 $ 325,291 36,001 $ 498,078 4,439 $ 58,316 4,608 $ 58,715
<CAPTION>
Total Return Fund
-------------------------------------------------
Year Ended Year Ended
03/31/2000 03/31/1999
Shares Amount Shares Amount
-------------------------------------------------
<S> <C> <C> <C>
Receipts for shares sold
Class A 149,542 $ 1,506,055 80,262 $ 854,123
Class B 27,995 282,282 38,344 409,474
Class C 30,951 312,021 38,335 408,975
Other Classes 1,136,650 11,402,013 1,033,953 11,022,189
Shares issued in reorganization
Class A 0 0 0 0
Class B 0 0 0 0
Class C 0 0 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Class A 7,532 75,662 6,210 65,979
Class B 2,180 21,883 2,219 23,537
Class C 2,746 27,579 3,450 36,630
Other Classes 128,626 1,288,826 160,191 1,701,985
Cost of shares redeemed
Class A (71,628) (716,288) (26,665) (284,563)
Class B (17,534) (175,145) (5,132) (54,809)
Class C (30,415) (304,175) (10,902) (116,385)
Other Classes (721,663) (7,223,440) (502,698) (5,369,646)
Net increase (decrease) resulting from
Fund share transactions 644,982 $ 6,497,273 817,567 $ 8,697,489
</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 December 30, 1999 through March 31, 2000.
10. Acquisition by Allianz A.G.
On October 31, 1999 PIMCO Advisors L.P. and related companies entered into an
Implementation and Merger Agreement with Allianz of America, Inc. Pursuant to
the merger agreement, Allianz A.G., as the ultimate parent of Allianz of
America, Inc., would acquire a majority ownership (approximately 70%) of PIMCO
Advisors L.P. The consummation of the transaction is subject to certain consents
and approvals. The transaction closed on May 5, 2000.
11. In-Kind Transactions
For the period ended March 31, 2000, the following fund realized loss from in-
kind redemptions of approximately (amount in thousands):
Total Return Fund $ 1,063
136
<PAGE>
Federal Income Tax Information (unaudited)
As required by the Internal Revenue Code regulations, shareholders must be
notified within 60 days of the Trust's fiscal year end (March 31, 2000)
regarding the status of the dividend received deduction for corporations.
Dividend Received Deduction. Corporate shareholders are generally entitled to
take the dividend received deduction on the portion of a Fund's dividend
distribution that qualifies under tax law. The percentage of the following
Fund's fiscal 2000 ordinary income dividends that qualifies for the corporate
dividend received deduction is set forth below:
Convertible Fund 6.07%
High Yield Fund 1.42%
Low Duration Fund 2.80%
StocksPLUS Fund 0.10%
Strategic Balanced Fund 0.11%
Total Return Fund 0.26%
For the benefit of shareholders of the California Intermediate Municipal Bond,
Municipal Bond, and New York Intermediate Municipal Bond Funds, this is to
inform you that 99.93%, 100.00% and 99.96%, respectively, of the dividends paid
by the Funds during its fiscal year qualify as exempt-interest dividends.
Shareholders are advised to consult their own tax advisor with respect to the
tax consequences of their investment in the Trust. In January 2001, you will be
advised on IRS Form 1099-DIV as to the federal tax status of the dividends and
distributions received by you in calendar year 2000.
137
<PAGE>
Report of Independent Accountants
To the Trustees and Class A, Class B and Class C Shareholders of the PIMCO
Funds:
Pacific Investment Management Series
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations, changes
in net assets and of cash flows and the financial highlights for the Class A,
Class B and Class C shares present fairly, in all material respects, the
financial position of the California Intermediate Municipal Bond Fund,
Convertible Fund, Emerging Markets Bond Fund, Foreign Bond Fund, Global Bond
Fund II, High Yield Fund, Long-Term U.S. Government Fund, Low Duration Fund,
Money Market Fund, Municipal Bond Fund, New York Intermediate Municipal Bond
Fund, Real Return Bond Fund, Short-Term Fund, StocksPLUS Fund, Strategic
Balanced Fund and Total Return Fund (hereafter referred to as the "Funds") at
March 31, 2000, the results of each of their operations, the changes in each of
their net assets and cash flows for the Long-Term U.S. Government Fund, Foreign
Bond Fund, Global Bond Fund II and Real Return Bond Fund and the financial
highlights for the Class A, Class B and Class C shares for each of the periods
indicated, in conformity with accounting principles generally accepted in the
United States. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Funds'
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with auditing standards generally accepted in the
United States which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at March 31, 2000 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
Kansas City, Missouri
May 23, 2000
138
<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>
[GRAPHIC]
Unique Investment Insight Delivered to Your Desktop
You can now access the investment insights of PIMCO fund managers by subscribing
to one or more of our free online newsletters. Choose from the following:
. Investment Outlook--Bill Gross, manager of America's largest bond fund, is
widely regarded as the country's leading bond expert. His views on the bond
markets and the economy are constantly sought by the financial media. Mr.
Gross's Investment Outlook is highly anticipated by Wall Street insiders and
investors alike.
. Innovation--An informative technology newsletter from Dennis McKechnie,
manager of PIMCO Innovation and PIMCO Global Innovation Funds. Looks at themes
developing in this fast-moving sector and examines the industries and companies
powering its growth.
. Fed Focus--Paul McCulley, manager of PIMCO Short-Term Fund, shares his
insights into Federal Reserve strategy and its effects on the economy and the
bond markets. Bill Gross has described Mr. McCulley's knowledge of the Fed as
"legendary."
. Emerging Markets Watch--A regular look at emerging market countries, the state
of their economies and the implications for bond investors. Written by Mohamed
El-Erian, manager of PIMCO Emerging Markets Bond Fund and formerly Deputy
Director of the International Monetary Fund.
. Global Markets Watch--Lee Thomas, manager of PIMCO Global Bond Fund II and
PIMCO Foreign Bond Fund, scans the globe to identify key issues affecting
international economies and their bond markets.
Subscribe online today
Simply visit our Web site at www.pimcofunds.com and click on "Registration" on
the bar at the top. Then fill in the form and indicate which newsletters you'd
like to receive. As soon as each new issue is available, we'll send you an
e-mail linking you directly to it. If you've already registered, just click on
"Preferences" to specify which newsletters you'd like to receive, or point your
browser to www.pimcofunds.com/preferences.
PZ003.4/00
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PIMCO Paid
FUNDS Smithtown, NY
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--------------
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Distributors LLC
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<PAGE>
PIMCO Funds Shareholder Update and Annual Report
This Update is published twice a year to provide PIMCO Funds shareholders with
general market commentary and fund information. It also includes the financial
report for the PIMCO Funds: Pacific Investment Management Series.
March 31, 2000
Pacific Investment Management Series
Share Class
D
California Intermediate Municipal Bond
Convertible Fund
Emerging Markets Bond Fund
Foreign Bond
High Yield
Low Duration
Municipal Bond
New York Intermediate Municipal Bond
Real Return Bond
Short Duration Municipal Income Fund
Short-Term
StocksPLUS
Strategic Balanced
Total Return
Total Return Mortgage
[GRAPHIC]
If you pay attention to a bond fund's yield alone, you could be overlooking a
sizable piece of the pie. Turn to page 2 to find out more.
Page 2 Today's Investor
Total Return: What Have Bonds Got to Do With It?
Page 4 Economic Outlook
A Conversation With Bill Gross and Paul McCulley
Page 6 Fund Spotlight
PIMCO Total Return Fund Review & Outlook
Page 8 Service Update and News Highlights
Page 10 Overview: Comprehensive Fund Family
Page 13 PIMCO Funds Pacific Investment Management Series
Annual Report
[LOGO OF PIMCO FUNDS]
<PAGE>
Today's Investor
Total Return: What Have Bonds Got to Do With It?
Bonds are purely an income-producing investment. True or false?
[GRAPHIC]
If you said "true", you're in good company. You also happen to be wrong. Many
investors assume a bond's return is limited to the income it produces, otherwise
known as its yield. But yield is only part of the story.
Bonds can also increase (or decrease) in price, and this change in price plus
yield represent a bond's total return.
Under the leadership of Bill Gross, PIMCO was one of the first bond firms to
apply a total return approach to bond investing. We believe that focusing on
income alone means sacrificing valuable return potential. In this article, we
explain why investing for total return is important and show you how we manage
our bond portfolios to maximize it.
Price appreciation, yield and total return
. A bond's price, or a bond fund's share price (net asset value), changes when
the prevailing interest rates do. Price, however, moves in the opposite
direction of interest rates. So when rates fall, the price of a bond
appreciates. Of course, the inverse is also true: rising interest rates cause
bond prices to fall.
. Yield is the measure of the amount of income a bond or bond fund generates.
Unlike a bond's coupon rate, it's not a static number. When the price of a bond
falls, the yield rises, and vice versa. Many people choose bond investments on
the basis of their yield, paying little or no attention to price or capital
appreciation potential.
. Total return includes both a bond's price appreciation (or depreciation) and
its yield. As you can see, if you don't take both factors into account, you'll
be overlooking an important element of a bond's full return. And, in fact, total
return provides you with a much truer picture of your return on investment over
time.
How capital appreciation can contribute to total return
This example shows how capital appreciation, in addition to income, has made an
important contribution to overall returns of PIMCO Total Return Fund
(5/87-3/00).
79% Income__________
__________21% Capital
Appreciation
The risks of artificially stretching for yield
If a bond fund is managed for income alone, it can limit return potential. It
can also incline a manager to stretch for yield, a practice that involves
employing yield-maximizing strategies that can increase portfolio risk.
How does chasing yield increase risk? Two of the major factors affecting a
bond's yield are credit quality and maturity. Bonds of lower credit quality
offer higher yields because the companies that issue them are less creditworthy
and must bump up yield to compensate buyers for the extra default risk their
bonds entail. That's why these "high yield bonds" are often called "junk bonds."
Another way to increase yield is to invest in bonds with longer maturities. But
the longer the maturity, the more a bond is subject to interest rate risk. Both
of these factors create less stability of principal.
Of course, there is nothing wrong with investing in high yield or long-term
bonds or bond funds. Their higher yield potential is an attractive feature. But
it's important for investors to be aware of the additional risks. And if
investors choose a bond fund that is managed with a total return focus, they can
be confident the fund manager will not take unnecessary risks purely to bump up
yield.
The benefits of a total return focus
Here's a quick rundown on the advantages a total return bond fund can offer.
. The potential for higher overall returns--As you've already seen, a bond fund
managed for capital appreciation potential in addition to income can provide a
more attractive overall return on investment.
. The potential for lower risk--A bond fund can offer an attractive yield and
still lose money on a total return basis. That's because its share price can
drop, causing your investment to depreciate. A total return focus means that the
fund manager won't sacrifice principal preservation in order to receive the
highest yield.
. An all-weather investment approach--When general interest rates rise, bond
prices fall and yields
2
<PAGE>
rise. When rates fall, bond prices rise and yields decline. A total return
specialist takes both price and yield into account, and has experience actively
managing the fund to maximize return potential no matter which set of market
conditions prevail.
Obviously, managing bonds for total return is a complicated process. It's
difficult for an individual investor to do. Trading costs have to be factored
in. Things like timing and security selection are all important. By investing in
a bond fund rather than individual bonds, your assets will be in the hands of an
experienced fund manager with the backing of extensive research and trading
facilities.
PIMCO's total return philosophy
PIMCO pioneered the total return approach to bond investing nearly 30 years ago.
With the exception of PIMCO Short-Term and Money Market Funds, which focus
solely on maximum current income, all PIMCO bond funds employ the total return
philosophy with the goal of enhancing shareholder returns. And while risk is an
element in any form of investment, our fund managers pursue a policy of prudent
risk-taking with the underlying goal of preserving capital.
Supporting this overriding focus on total return is a commitment to active
portfolio management within a long-term framework. The PIMCO approach revolves
around the principle of diversification. We believe that no single risk should
dominate returns. By diversifying strategies, or relying on multiple sources of
value, we aim to maximize the total return of our bond portfolios while
minimizing risk.
A disciplined investment process
PIMCO uses this four-step process to implement its return-enhancing strategies:
. PIMCO's investment strategists meet annually with outside experts to develop a
3- to 5-year outlook for the economy and interest rates.
. Quarterly economic forums are held to determine how the long-term outlook
applies to the next 3 to 12 months and to forecast influences like interest rate
volatility and yield curve shape.
. Using these combined outlooks, along with proprietary analytical computer
technology, fund managers select bond issues that meet PIMCO's criteria and make
specific investment decisions for their portfolios, including sensitivity to
interest rates and yield curve positioning.
PIMCO's total return investment strategies
PIMCO uses these diverse strategies to manage its bond portfolios with the goal
of maximizing total return and minimizing risk.
Top-Down Strategies
(portfolio level)
Duration Volatility Sector Yield Curve
Posture Analysis Rotation Positioning
\/ \/ \/ \/
--------------------------------------------------------------------------------
VALUE ADDED
--------------------------------------------------------------------------------
/\ /\ /\ /\
Credit Quantitative Issue Cost-Effective
Analysis Research Selection Trading
Bottom-Up Strategies (security level)
Bill Gross on bond investing for total return
"Remember, an investment's total return comes from a combination of income
and price performance. In the case of bonds, it is interest and price.
During dynamic bull markets...a substantial portion of total bottom-line
return has come from price appreciation as opposed to income distribution.
That's one of the primary reasons why individuals who buy bond mutual funds
on the basis of yield, and yield only, have done so poorly when compared
with those who view markets from a total return approach. In other words,
investors seeking to maximize their interest income may succeed in the
short run, but in the long term, their total return has been limited
because their bonds have shown less price appreciation."
--Excerpted from
Bill Gross on Investing
. By continually monitoring the economy and Fund holdings, managers make
whatever adjustments are necessary to maximize return and minimize volatility.
www.pimcofunds.com
Visit the Bond Center at www.pimcofunds.com. This section of the PIMCO Funds
Web site is dedicated to fixed-income investing and features updated commentary
from Bill Gross about how PIMCO is applying this total return approach to
today's markets.
Information in this article, including the views of Bill Gross, is not
indicative of the past or future performance of any PIMCO Fund. 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.
3
<PAGE>
Economic Outlook
A Conversation with Bill 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 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 were the reasons behind the big drop in bond yields in the first quarter
of 2000?
BG: The dramatic rise in bond yields in 1999 has created opportunities in 2000.
In mid-January, Treasury bonds began rallying as the market realized that the
government was poised to begin buying back longer-dated Treasuries. This led to
concern that these securities would become scarce. Panic buying ensued. As a
result, 30-year Treasury yields declined by roughly 90 basis points by the end
of the quarter.
PM: The rally was limited to Treasury bonds, however. Corporate and mortgage-
backed securities didn't participate. In fact, their yield spreads widened as
flight-to-quality selling drove investors to Treasuries. In addition,
intermediate Treasuries didn't initially participate, as that part of the curve
was held back by interest rate hikes by the Fed at their February and March
meetings. As a result, the yield curve for Treasuries inverted.
Q: But isn't the curve inversion counter-productive to the Fed's goal to slow
the economy?
PM: I suppose the drop in yields could restart housing and capital investment,
making Mr. Greenspan's job tougher. But, intermediate rates and other sectors of
the bond market haven't participated, suggesting the Treasury rally is isolated
and driven by other forces.
BG: The forces driving the inversion are secular. The Treasury buy-back program
has potentially created a long-term shortage of bonds, much like an inversion
that has been in existence in the United Kingdom. While the U.K. situation came
about for different reasons, it does prove that long-term supply/demand
distortions can invert a country's yield curve for long stretches of time. As
the projected U.S. budget surplus grows larger, future years' Treasury
repurchases promise to be larger and larger. As a result, the inversion could be
with us for quite a while.
The inversion of the Treasury yield curve is driven by secular forces
<TABLE>
<CAPTION>
Treasury Yield Curve on 9/30/99 Treasury Yield Curve on 3/31/00
<S> <C> <C>
3 Month 4.86% 5.90%
6 Month 4.96% 6.14%
1 Year 5.18% 6.24%
2 Year 5.60% 6.49%
5 Year 5.76% 6.33%
10 Year 5.88% 6.03%
30 Year 6.05% 5.84%
</TABLE>
Q: Any thoughts on Greenspan's apparent targeting of the stock market?
PM: Mr. Greenspan has extraordinary skill as an economist and deftness as a
policymaker. But, scrutinizing the man's every word as I do, it's clear that he
has been less then forthright about his view of the stock market's role in
current policy formulation. It appears that policy is being geared toward
capping gains in equity prices, yet he declares that the Fed is not targeting
them. Put another way, Mr. Greenspan says that the stock-market-driven wealth
effect is the skunk at the aggregate demand picnic and that he's going to scotch
it; and then in the next breath, he says that the equity market is only a
distant relative of the skunk family. This simply doesn't square. His less-than-
clear policy is going to be tested by the markets as long as he argues that the
wealth effect needs to be curbed but is not closely linked to the stock market.
Q: So how many more interest rate hikes can we expect?
PM: The Fed will continue lifting rates until it sees that demand moderates. It
remains concerned that "wealth effect" spending is outstripping supply, which
will eventually generate higher inflation. According to Mr. Greenspan, even
strong productivity growth won't contain inflation because productivity gains
are actually raising investor's expectations for corporate earnings, driving
stock prices higher and stimulating more "wealth effect" consumption, which
means....
BG: Two or three more rate hikes by year's end.
Q: The Fed has already tightened five times with little effect. When do you see
demand beginning to slow?
BG: We see a moderation in economic activity by the end of the year as higher
interest rates temper
4
<PAGE>
How the stock market creates the "wealth effect"
This chart shows the correlation of household net worth to the stock market.
[GRAPH]
<TABLE>
<CAPTION>
Household Net Worth as a
Quarter Ratio of Disposable Income (LHS) Month S&P 500 (RHS)
<S> <C> <C> <C>
1980-01 3.62 1980-01 110.87
1980-02 3.76 1980-02 115.34
1980-03 3.82 1980-03 104.69
1980-04 3.82 1980-04 102.97
1981-01 3.80 1980-05 107.69
1981-02 3.82 1980-06 114.55
1981-03 3.68 1980-07 119.83
1981-04 3.76 1980-08 123.50
1982-01 3.73 1980-09 126.51
1982-02 3.72 1980-10 130.22
1982-03 3.76 1980-11 135.65
1982-04 3.84 1980-12 133.48
1983-01 3.91 1981-01 132.97
1983-02 3.96 1981-02 128.40
1983-03 3.89 1981-03 133.19
1983-04 3.79 1981-04 134.43
1984-01 3.70 1981-05 131.73
1984-02 3.64 1981-06 132.28
1984-03 3.66 1981-07 129.13
1984-04 3.69 1981-08 129.63
1985-01 3.78 1981-09 118.27
1985-02 3.78 1981-10 119.80
1985-03 3.80 1981-11 122.92
1985-04 3.92 1981-12 123.79
1986-01 4.01 1982-01 117.28
1986-02 4.06 1982-02 114.50
1986-03 4.00 1982-03 110.84
1986-04 4.13 1982-04 116.31
1987-01 4.25 1982-05 116.35
1987-02 4.31 1982-06 109.70
1987-03 4.29 1982-07 109.38
1987-04 4.07 1982-08 109.65
1988-01 4.11 1982-09 122.43
1988-02 4.12 1982-10 132.66
1988-03 4.09 1982-11 138.10
1988-04 4.11 1982-12 139.37
1989-01 4.13 1983-01 144.27
1989-02 4.19 1983-02 146.80
1989-03 4.28 1983-03 151.88
1989-04 4.29 1983-04 157.71
1990-01 4.16 1983-05 164.10
1990-02 4.15 1983-06 166.39
1990-03 4.01 1983-07 166.96
1990-04 4.10 1983-08 162.42
1991-01 4.21 1983-09 167.16
1991-02 4.15 1983-10 167.65
1991-03 4.17 1983-11 165.23
1991-04 4.25 1983-12 164.36
1992-01 4.15 1984-01 166.39
1992-02 4.10 1984-02 157.25
1992-03 4.12 1984-03 157.44
1992-04 4.14 1984-04 157.60
1993-01 4.26 1984-05 156.55
1993-02 4.20 1984-06 153.12
1993-03 4.24 1984-07 151.08
1993-04 4.21 1984-08 164.42
1994-01 4.23 1984-09 166.11
1994-02 4.15 1984-10 164.82
1994-03 4.16 1984-11 166.27
1994-04 4.12 1984-12 164.48
1995-01 4.19 1985-01 171.61
1995-02 4.29 1985-02 180.88
1995-03 4.38 1985-03 179.42
1995-04 4.45 1985-04 180.62
1996-01 4.52 1985-05 184.90
1996-02 4.57 1985-06 188.89
1996-03 4.57 1985-07 192.54
1996-04 4.65 1985-08 188.31
1997-01 4.63 1985-09 184.06
1997-02 4.87 1985-10 186.18
1997-03 4.99 1985-11 197.45
1997-04 5.01 1985-12 207.26
1998-01 5.26 1986-01 208.19
1998-02 5.25 1986-02 219.37
1998-03 4.95 1986-03 232.33
1998-04 5.24 1986-04 237.98
1999-01 5.29 1986-05 238.46
1999-02 5.40 1986-06 245.30
1999-03 5.25 1986-07 240.18
1999-04 5.62 1986-08 245.00
1986-09 238.27
1986-10 237.36
1986-11 245.09
1986-12 248.61
1987-01 264.51
1987-02 280.93
1987-03 292.47
1987-04 289.32
1987-05 289.12
1987-06 301.38
1987-07 310.09
1987-08 329.36
1987-09 318.66
1987-10 280.16
1987-11 245.01
1987-12 240.96
1988-01 250.48
1988-02 258.13
1988-03 265.74
1988-04 262.61
1988-05 256.12
1988-06 270.68
1988-07 269.05
1988-08 263.73
1988-09 267.97
1988-10 277.40
1988-11 271.02
1988-12 276.51
1989-01 285.41
1989-02 294.01
1989-03 292.71
1989-04 302.25
1989-05 313.93
1989-06 323.73
1989-07 331.93
1989-08 346.61
1989-09 347.33
1989-10 347.40
1989-11 340.22
1989-12 348.57
1990-01 339.97
1990-02 330.45
1990-03 338.47
1990-04 338.18
1990-05 350.25
1990-06 360.39
1990-07 360.03
1990-08 330.75
1990-09 315.41
1990-10 307.12
1990-11 315.29
1990-12 328.75
1991-01 325.49
1991-02 362.26
1991-03 372.28
1991-04 379.68
1991-05 377.99
1991-06 378.29
1991-07 380.23
1991-08 389.40
1991-09 387.20
1991-10 386.88
1991-11 385.92
1991-12 388.51
1992-01 416.08
1992-02 412.56
1992-03 407.36
1992-04 407.41
1992-05 414.81
1992-06 408.27
1992-07 415.05
1992-08 417.93
1992-09 418.48
1992-10 412.50
1992-11 422.84
1992-12 435.64
1993-01 435.23
1993-02 441.70
1993-03 450.16
1993-04 443.08
1993-05 445.25
1993-06 448.06
1993-07 447.29
1993-08 454.13
1993-09 459.24
1993-10 463.90
1993-11 462.89
1993-12 465.95
1994-01 472.99
1994-02 471.58
1994-03 463.81
1994-04 447.23
1994-05 450.90
1994-06 454.83
1994-07 451.40
1994-08 464.24
1994-09 466.96
1994-10 463.81
1994-11 461.01
1994-12 455.19
1995-01 465.25
1995-02 481.92
1995-03 493.15
1995-04 507.91
1995-05 523.81
1995-06 539.35
1995-07 557.37
1995-08 559.11
1995-09 578.77
1995-10 582.92
1995-11 595.53
1995-12 614.57
1996-01 614.42
1996-02 649.54
1996-03 647.07
1996-04 647.17
1996-05 661.23
1996-06 668.50
1996-07 644.07
1996-08 662.68
1996-09 674.88
1996-10 701.46
1996-11 735.67
1996-12 743.25
1997-01 766.22
1997-02 798.39
1997-03 792.15
1997-04 763.93
1997-05 833.09
1997-06 876.29
1997-07 925.29
1997-08 927.73
1997-09 937.02
1997-10 951.16
1997-11 938.92
1997-12 962.36
1998-01 963.36
1998-02 1,023.74
1998-03 1,076.82
1998-04 1,112.20
1998-05 1,108.42
1998-06 1,108.39
1998-07 1,156.58
1998-08 1,074.62
1998-09 1,020.64
1998-10 1,032.47
1998-11 1,144.43
1998-12 1,190.05
1999-01 1,248.77
1999-02 1,246.58
1999-03 1,281.66
1999-04 1,334.76
1999-05 1,332.07
1999-06 1,322.55
1999-07 1,380.99
1999-08 1,327.49
1999-09 1,318.17
1999-10 1,300.01
1999-11 1,391.00
1999-12 1,428.68
</TABLE>
growth in housing and capital spending. Mortgage rates remain near 8% and have
begun to temper new home sales and have the potential to slow consumer spending
through a reduction in durable goods purchases. Investment spending, a
significant contributor to overall growth during this expansion, will also
moderate as higher rates raise the cost of capital investment.
PM: It's important to remember that monetary policy works its way through the
system with a lag. Estimates vary on how long that lag is, but it's safe to say
roughly 6 to 12 months. The Fed began its current tightening cycle last June so
the effects of the first rate hike are only now beginning to be felt, and the
cumulative impact of tighter policy won't be felt until around year-end.
Q: Does OPEC's agreement to increase production mean the threat of higher
inflation is behind us?
PM: No it doesn't. Short term, higher oil prices will feed through the economy
this summer in the form of higher prices at the pump. Longer term, increasing
import prices, slowing domestic capacity growth and a recovering global economy
will also put an upward tilt on inflation. However, inflation won't break out
given that many of the forces which drove inflation lower in the 1990s,
including globalization, technology innovation and sound fiscal and monetary
policies, remain firmly in place. These structural themes will cancel out the
cyclical trends and keep inflation stable over the longer run.
Q: What forces are likely to influence the bond market and our strategy over the
next year?
BG: Bond prices, from a macro-perspective, will be determined by the resolution
of imbalances that have formed over the past several years, including the over-
exuberance of the stock market, the fate of the U.S budget surplus, our bloated
trade deficit, the strength of the dollar and the fiscal deficits in Japan. At
the root of each of these imbalances is an excessive use of debt. Given the
surpluses now being generated by the Treasury, it's a good time to emphasize
Treasury over corporate debt. In other words, upgrade the quality of our
portfolios. At the same time we've adjusted the yield curve position of the
portfolio, taking a small step away from a concentration in intermediate
maturity securities and increasing exposure to both short-term instruments and
long-term Treasuries. This allows us to collect incremental yield at the short
end of the curve and benefit from falling yields at the long end.
PM: The strategy of swapping for higher quality extends to our mortgage exposure
as well. We still like mortgages due to their high quality and attractive
yields, but we have become more selective, favoring Ginnie Mae securities over
other types of government sponsored agency debt, such as Fannie Maes and Freddie
Macs. This subtle preference has worked well. The full faith and credit of the
U.S. government back Ginnie Mae securities. Fannie Maes and Freddie Macs have an
implicit guarantee through small, never-been-used lines of credit, but that
support has come under pressure recently as Congress mulls legislation to
clarify the government's role in these enterprises.
Q: Where are bond yields headed from here?
BG: Although long-term Treasury yields have peaked, I don't think they will move
much lower over the near term. The economy remains too strong for the Fed, so
short-term rates will be moving higher, perhaps to 6.50%. It's hard to believe
that 30-year Treasuries could trade far below that, so 5.75% or so on the long
end is about it for the next nine months. For now it will be tough for
intermediate-term bonds as they continue to feel the brunt of the Fed's
tightening. Eventually, with Fed tightening behind us and the economy slowing, I
think we could see a more generalized rally in the bond market, where we'd look
to extend our duration some.
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>
Fund Spotlight
Total Return Fund Review & Outlook
In 1999, the bond market reacted negatively to growing expectations of higher
inflation and tighter Federal Reserve monetary policy. PIMCO Total Return Fund's
defensive position helped mitigate the effect of higher interest rates. With the
worst over, we stand ready to capture the opportunities that last year's rising
interest rates have created for bond investors this year.
Inflation Expectations Rise
1999 was the worst year for the bond market since 1994. Renewed inflation fears,
spurred on by perceptions of growing imbalances in the economy, pushed interest
rates higher. The record expansion continued unabated and the demand for labor
continued to tighten. Stock market gains increased fears that a bubble was
forming, and commodity prices, led by oil, trended upwards. As a result of these
forces, inflation seemed likely to increase. In response, the Federal Reserve
began tightening monetary policy.
Outperforming Despite Difficult Times
PIMCO Total Return Fund's defensive position deflected much of the pain in 1999.
The Fund's focus on income and capital appreciation made this possible. In
implementing our secular view through our top-down portfolio positioning and
bottom-up security selection, we shifted the portfolio to reduce exposure to
what turned out to be a negative bond market environment.
The shift included changes to many aspects of the portfolio. The Fund moved to
an overweight position in mortgage-backed securities in order to enhance yield
without adding too much risk. Opportunities to improve the average credit
quality were taken to provide protection from an increase in corporate default
rates. The average duration was kept below benchmark duration for most of the
year, reducing the impact of rising interest rates on the Fund's price
performance.
As a result, the Fund outperformed its Lipper average over the past year. And,
over the long term, the Fund has maintained its solid record.
PIMCO Total Return Fund Annualized Returns (as of 3/31/00)
1 yr 5 yrs 10 yrs Incept.
PIMCO Total Return Fund 2.00% 7.67% 8.87% 8.72%
Lipper Inter Inv. Grade 0.99% 6.25% 7.44% 7.56%
Debt Fund Average
Lehman Aggregate 1.87% 7.14% 8.02% 8.25%
Bond Index
Opportunities Arise
Rapidly rising interest rates in 1999 have created opportunities in 2000. Yield-
enhancing strategies that evolved from last year's secular outlook remain in
play. But, as we saw in the first quarter, chances to capture capital
appreciation as yields fall will also be available.
Although the economy currently has a great deal of positive momentum, we believe
that it will moderate later this year as any one of the several unsustainable
imbalances begins to unravel. Inflation remains relatively subdued, but may
trend upward in the short term in the face of wage pressures, higher commodity
prices and increased import prices. The Fed will continue to tighten to restrain
these inflationary imbalances.
Mortgage-backed securities remain overweight in the portfolio. We favor Ginnie
Maes, backed by the full faith and credit of the U.S. government, over other
mortgage-backed securities. In general, the Fund will trade up for higher
quality instruments where possible.
Recently, the Treasury market has been influenced by the government's intention
to buy back debt. The potential shortage of long-term Treasuries has pushed
yields lower.
In the first quarter, the Treasury curve inverted--a unique situation we believe
could last for some time. In light of this, we have adjusted the yield curve
position of the portfolio, taking a small step away from a concentration in
intermediate maturity securities and increasing exposure to both short-term
instruments and long-term Treasuries. This allows us to collect incremental
yield at the short end of the curve and benefit from rising prices at the long
end.
The prospect of moderating economic growth and the inversion of the Treasury
curve are creating opportunities for bond investors. At some point, intermediate
bond yields will also drop, and we will extend our portfolio duration to capture
the subsequent rise in bond prices.
Past performance is no guarantee of future results. For more information on
Total Return Fund turn to page 24.
6
<PAGE>
Fund Spotlight
Convertibles: Equity-Like Returns with Bond-Like Risk
What are convertibles?
A convertible is a security that behaves like both a stock and a bond. With a
convertible, the investor has the option to convert the bond to another
security, typically shares in the issuing company's common stock. A convertible
bond is like a regular, straight bond in that it represents debt issued by a
company, with regular interest payments and repayment of the principal at
maturity. What makes a convertible different is they give investors the right to
trade or convert the bond into a specific number of shares if that company's
stock hits a certain price.
How convertibles work
With convertibles, investors get the security of income payments and the
potential for returns that can be almost as high as stocks. Here's how
convertibles work: when equities are up, the stock-like aspect of the
convertible allows the investor to participate in the rise of the underlying
common stock. Conversely, the bond-like aspect offers downside protection if
there is a drop in the underlying common stock price. Sandra Durn, PIMCO's
Convertible Fund Portfolio Manager, describes convertibles as "stocks with shock
absorbers."
The case for convertibles now
This is an especially good time to consider investing in convertibles for the
following reasons:
. By investing in convertibles, investors have the potential to reap the
benefits of current stock market growth without taking on all of the risks
associated with stocks.
Portfolios of convertible securities have provided investors with a risk
profile similar to that of long-term corporate bonds while providing returns
more comparable to equities.
[GRAPH]
Annualized Return
15%
S&P 500
Convertible Bond Index 16.71%, 13.89%
12.37%, 12.62% .
13% .
11%
Long-Term Corporates
12.11%, 8.84%
9% .
7%
5%
10% 12% 14% 16% 18% 20%
Risk (Standard Deviation)
Source: Ibbotson Associates
. Corporate issuance of convertibles has skyrocketed--it's up 60% from last year
as many young companies need financing for new products they're bringing to
market. More issuance means more choices for investors.
PIMCO Convertible Fund
Fund Manager
Sandra Durn is one of the industry's leading convertible bond fund managers. She
holds a bachelor's degree in Economics from the University of Maryland and a
master's degree in Economics from San Diego State University.
Investment Strategy
The objective of PIMCO's Convertible Fund investment strategy is to achieve
strong returns while maintaining a balance between risk and reward.
At PIMCO, when evaluating whether or not we want to buy a convertible security,
the most important thing we do is to see how it reacts relative to the common
stock. We have a sophisticated model for measuring valuation that takes into
account changes in the stock price, volatility assumptions and interest rates.
Performance
PIMCO's Convertible Fund's first-year performance was strong. We invested in
companies that issue securities that fit our goal of providing support when
stock prices are declining and upward movement when stock prices are
accelerating.
In particular, the Fund's exposure to telecommunications and technology
companies was instrumental in boosting performance last year. PIMCO capitalized
on the strong run in the technology and telecommunications sectors, which
currently comprise 45% of the Fund's holdings. Looking ahead, we will continue
to participate in these sectors since they are the main drivers behind the
strength and upward slope of the equity markets.
Past performance is no guarantee of future results. PIMCO Convertible Fund Class
D shares were first offered 3/31/00. For more information, call 1-800-426-0107.
7
<PAGE>
Service Update
New Manager of PIMCO Municipal Bond Funds
Introducing Mark McCray
Last quarter, PIMCO strengthened its commitment to the municipal bond arena by
hiring Mark McCray, formerly of Goldman Sachs, as Senior Vice President and
Portfolio Manager for all municipal bond portfolios at PIMCO.
[PHOTO]
In his new position, Mr. McCray will be responsible for the two year-old PIMCO
Municipal Bond Fund and three portfolios introduced in August 1999: Short
Duration Municipal Income Fund, California Intermediate Municipal Bond Fund and
New York Intermediate Municipal Bond Fund.
At Goldman Sachs, Mr. McCray was Vice President and Co-Head of Municipal Bond
Trading and was responsible for the firm's proprietary tax-exempt accounts. He
also directed the daily activity and risk positions of seven municipal traders.
He started his fixed-income career as a financial analyst in the mergers and
acquisitions department at Merrill Lynch and moved to the fixed-income division
of Goldman Sachs in 1992. He holds a bachelor's degree from Temple University
and an MBA from the Wharton School at the University of Pennsylvania.
PIMCO's expansion into municipal bonds has been a natural evolution of the
company's focus on taxable debt, and its expertise and investment process. The
strength of PIMCO's credit analysis group--a team that has been integral to the
strong performance of PIMCO's High Yield and Convertible Bond Funds--will be an
added benefit in managing the municipal bond portfolios.
Mr. McCray's first priority is to produce the highest possible risk-adjusted
returns for PIMCO clients by applying the company's core strategy of total
return to its municipal portfolios. The four municipal funds will seek to
pinpoint securities that allow for an efficient balance of yield and risk.
For more information on PIMCO Municipal bond portfolios, visit the Bond Center
at www.pimcofunds.com
PIMCO Funds News Highlights
PIMCO Funds and the PIMCO Funds portfolio managers were mentioned in numerous
print and television media during the first quarter of 2000. The following are
highlights from a few of those features.
PIMCO Equity Advisors--Growth Experts
Continued strength in PIMCO Funds growth equity portfolios caught the attention
of the media. In particular, PIMCO Innovation Fund was included in the "elite
camp" of technology funds in a March 15 article in The Wall Street Journal. Its
manager, Dennis McKechnie, appeared frequently as a technology expert both in
print (Fortune 3/20 and Bloomberg 3/00) and on television (ABC, CNN and CNBC).
Ken Corba, Chief Investment Officer and PIMCO Growth Fund manager, also appeared
on CNBC and was featured in a Ticker magazine article (2/00) about the strength
of PIMCO's portfolio managers. And Mike Gaffney, manager of PIMCO Opportunity
Fund, was quoted numerous times in The Wall Street Journal during the quarter,
covering topics such as healthcare, IPOs and small-cap investing.
A Major Influence in the Bond Market
As the nation's largest bond manager, PIMCO is often called upon to comment on
market activity. During this quarter, however, it was PIMCO's investment
strategies that caught the media's attention. Articles in The Wall Street
Journal (2/25), The New York Times (2/27) and Investor's Business Daily (3/15)
detailed the influence PIMCO and fund manager Bill Gross had on the gains at the
long-end of the Treasury yield curve during January and February.
If you would like reprints of these articles, please call 1-800-426-0107.
Of Interest On May 5, 2000, Allianz AG completed the acquisition of
approximately 70% of the outstanding partnership interests 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
investment efforts of Allianz AG. Key employees at each of 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
$650 billion, including more than 300 mutual funds for retail and institutional
clients around the world.
8
<PAGE>
Presenting the new PIMCO Funds Web site at www.pimcofunds.com
As part of our commitment to provide our shareholders with easy access to timely
information, we're pleased to introduce a redesigned version of the PIMCO Funds
Web site (www.pimcofunds.com).
[GRAPHIC]
You'll find all the content you've come to rely on--at www.pimcofunds.com--and
more.
Designed to make the site user-friendly, you'll immediately notice improved
navigation accompanied by intuitive labeling and graphics that load quickly.
Content updates include expanded detail throughout the Fund Information section,
and a variety of forms and literature are now available for printing and viewing
online or for download to your hard drive.
Log on to www.pimcofunds.com today and begin exploring all the new features of
our revamped site.
Fund Information Section
In addition to everything we previously offered in the Fund Information section,
we now offer the following:
. Regular commentary from the manager of each fund.
. A better design without frames allows you to bookmark fund profile pages.
. Cross-links give you immediate access to literature with more detail about
each fund.
. Media Highlights let you read what others have been saying about PIMCO Funds
and our management teams.
. One-click allows you to check out the NAV and year-to-date performance of any
PIMCO Fund.
PIMCO Funds Bond Center
The PIMCO Funds Bond 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.
. 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.
Daily Manager Commentary
PIMCO's Daily Manager
Commentary provides investment insights from PIMCO's fund managers, including
their outlooks on the economy and fund strategies that relate to the current
economic climate. This commentary, on a wide range of subjects, is uniquely
provided from the manager's perspective and helps investors make informed
decisions based on information directly from PIMCO's investment professionals.
Resources Section
Our Resources section offers investors a robust collection of information,
online tools and reference materials. It includes the following:
. Online Document Library--account applications, prospectuses and a variety of
additional Fund literature can now be ordered for delivery by mail, viewed as
HTML pages, or downloaded as PDF files.
. Financial Advisor Referrals--Simply tell us where you are, and we'll provide
recommendations for your area.
. Retirement Plans--Get all the information you need about individual or
employee-sponsored plans offered by PIMCO Funds.
9
<PAGE>
The PIMCO Funds Family
PIMCO Funds offers unique access to the investment expertise of PIMCO Advisors
L.P. PIMCO manages $264 billion, including assets for 46 of the 100 largest
U.S. corporations. The firm's institutional heritage is reflected in the PIMCO
Funds, each seeking the highest caliber performance in a specific investment
style. To learn more about any of the PIMCO Funds, please call us at 1-800-426-
0107.
<TABLE>
<CAPTION>
Fund Name Objective Primary Portfolio Composition
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Growth Growth Long-term growth of capital Stocks of larger-capitalized companies
Stock Funds
------------------------------------------------------------------------------------------------------------------------------------
Blend Capital Appreciation Growth of capital Stocks of larger-capitalized companies
Stock Funds the manager believes are reasonably priced
Mid-Cap Growth of capital Stocks of medium-capitalized companies the
manager believes are reasonably priced
------------------------------------------------------------------------------------------------------------------------------------
Value Equity Income Current income and long-term growth Stocks of companies with below-average P/Es
Stock Funds and above-average dividends
Renaissance Long-term growth of capital and income Stocks with below-average valuations
Value Long-term growth of capital and income Stocks of companies with below-average P/Es
------------------------------------------------------------------------------------------------------------------------------------
Enhanced Index Tax-Efficient Equity Maximum after-tax growth of capital Stocks of larger-capitalized companies
Stock Funds
StocksPLUS Total return exceeding the S&P 500 Index S&P 500 stock index futures backed by a
portfolio of short-term,fixed-income
securities
------------------------------------------------------------------------------------------------------------------------------------
Sector Related Innovation Capital appreciation Stocks of technology-related companies
Stock Funds
Global Innovation Capital appreciation U.S. and non-U.S.stocks of technology-related
companies
------------------------------------------------------------------------------------------------------------------------------------
Short Duration Short-Term Maximum current income consistent with Money market securities and short-term
Bond Funds preservation of capital and daily bonds (up to 1 year duration)
liquidity
Low Duration Maximum total return Shorter-term, investment grade bonds (1-3
year duration)
------------------------------------------------------------------------------------------------------------------------------------
Intermediate Duration Total Return Maximum total return Intermediate-term, investment grade bonds
Bond Funds (3-6 year duration)
Total Return Mortgage Maximum total return Intermediate-term, mortgage-related
securities (2-6 year duration)
------------------------------------------------------------------------------------------------------------------------------------
International Foreign Bond Maximum total return Investment grade foreign bonds (3-7 year
Bond Funds duration)
Emerging Markets Bond Maximum total return Emerging market bonds (0-8 year duration)
------------------------------------------------------------------------------------------------------------------------------------
High Yield Bond Funds High Yield Maximum total return High-yield bonds (2-6 year duration)
------------------------------------------------------------------------------------------------------------------------------------
Inflation-Indexed Real Return Bond Maximum total return Inflation-adjusted government bonds
Bond Funds
------------------------------------------------------------------------------------------------------------------------------------
Convertible Convertible Maximum total return Convertible securities
Bond Funds
------------------------------------------------------------------------------------------------------------------------------------
Tax Exempt Short Duration High current income exempt from Investment grade municipal bonds (0-2 year
Bond Funds Municipal federal taxes, preservation of capital duration)
Income Fund
Municipal Bond High current income exempt from Investment grade municipal bonds (3-10 year
federal taxes, preservation of capital duration)
California Interm. High current income exempt from federal Investment grade municipal bonds (3-7 year
Municipal Bond Fund and California income tax duration)
New York Interm. High current income exempt from Investment grade municipal bonds (3-7 year
Municipal Bond Fund federal and New York income tax duration)
------------------------------------------------------------------------------------------------------------------------------------
Stock and Bond Funds Strategic Balanced Maximum total return S&P Index Futures and short- and
intermediate-term investment grade bonds
</TABLE>
10 For more information on the risks associated with these Funds, see page 26.
<PAGE>
Pacific Investment Management Series
PIMCO Funds Annual Report
Dear Shareholder:
My letter in last September's Semi-Annual Report began by noting that the
economy was continuing to steam ahead. And at the end of the first quarter of
2000, it appeared to have lost little steam. The March employment report--one of
the clearest gauges of the country's economic health--confirmed this, indicating
that more people joined the workforce than in any month in the past five years.
The exceptional growth the stock market experienced in 1999 continued into the
New Year. However, stocks--particularly technology issues--encountered major
turbulence in the first quarter, culminating in record-setting plunges for the
Dow and the NASDAQ in mid-April. But, as most investors know, this kind of
volatility is the rule, not the exception. By keeping their eyes firmly focussed
on the long view, they will be able to ride out these short-term gyrations.
For bonds, 1999 was a turbulent time as most bond sectors reacted negatively to
the continued strength of the economy and to rising interest rates. However,
despite the Fed's February and March rate hikes, most bond funds posted moderate
gains during the first three months of 2000. Long-term government funds fared
best, largely as a result of the Treasury's announcement that it will reduce the
outstanding supply of government debt, especially long-term issues.
Despite the volatility in the stock and bond markets, our funds have experienced
strong relative performance over the past year. In addition, I'd like to call
your attention to the launch, in the second half of last year, of three new bond
funds: PIMCO Short Duration Municipal Income Fund, PIMCO California Intermediate
Municipal Bond Fund and PIMCO New York Intermediate Municipal Bond Fund. And
recently, we strengthened our commitment to the municipal bond arena by hiring
Mark McCray, formerly of Goldman Sachs, as Senior Vice President and Portfolio
Manager for all PIMCO municipal bond portfolios.
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 through your investment. As always, we continue to work hard to
help you meet your financial objectives.
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
April 28, 2000
<PAGE>
PIMCO Funds Financial Information
We are pleased to present an in-depth review of PIMCO Funds Pacific Investment
Management Series as of March 31, 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 13-26 Fund Summaries
A summary of a Fund's performance record and portfolio composition, and a review
from the Fund's investment manager.
Pages 27-93 Schedule of Investments
The Schedule of Investments includes a listing of securities in the Fund's
portfolio as of March 31, 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 13 Page 27
Foreign Bond Fund Page 14 Page 29
High Yield Fund Page 15 Page 34
Low Duration Fund Page 16 Page 40
Municipal Bond Fund Page 17 Page 48
New York Inter. Muni. Bond Fund Page 18 Page 51
Real Return Bond Fund Page 19 Page 52
Short Duration Municipal Income Fund Page 20 Page 55
Short-Term Fund Page 21 Page 56
StocksPLUS Fund Page 22 Page 59
Strategic Balanced Fund Page 23 Page 63
Total Return Fund Page 24 Page 67
Total Return Mortgage Fund Page 25 Page 93
Pages 94-95 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 96-97 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 98-99 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 100-102 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 103 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 104-110 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.
12
<PAGE>
March 31, 2000 PIMCO CA Intermediate Municipal Bond Fund
OBJECTIVE:
Seek high current income exempt from federal and California income tax.
PORTFOLIO:
Intermediate maturity municipal securities.
DURATION RANGE:
3-7 years
FUND INCEPTION DATE:
8/31/99
TOTAL NET ASSETS:
$10.2 million
PORTFOLIO MANAGER:
Mark McCray
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
D Shares Lehman Bros.
CA Exempt
Intermediate Index
--------------------------------------------------------------------------------
6 months 2.23% 1.82%
Inception 2.92% --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO CA Intermediate CA Inter Muni
Muni Bond D Index
<S> <C> <C>
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
</TABLE>
*Past performance is no guarantee of future results. The adjusted returns above
include the effect of applicable sales charges. These returns represent the
blended performance of the Fund's retail class shares (for the period from
8/31/99) 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 26 for
Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
1 year or less 0%
1-5 years 26%
5-10 years 68%
10-20 years 6%
20-30 years 0%
Duration 6.4 years
Sector Breakdown
Municipal Bonds & Notes 99.2%
Other 0.8%
Quality Breakdown
AAA 63.9%
AA 21.0%
A 9.6%
BB 5.5%
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
PIMCO California Intermediate Municipal Bond Fund seeks to provide high current
income exempt from federal and California income tax. From January 31, 2000, the
Class D's inception date, through March 31, 2000, Class D shares returned a
cumulative 2.68%. This performance compares favorably with the Lehman California
Intermediate Muni Bond Index, which returned 2.02% over the same period.
The Federal Reserve lifted interest rates twice in the first quarter in an
attempt to prevent the economy from overheating in the face of mounting
imbalances, such as skyrocketing stock prices and a tightening labor market,
which threaten to drive inflation higher.
In the first quarter of this year, long-term California municipal bonds
rallied in response to strong investor demand, limited new supply and favorable
credit conditions. As a result, the Fund's performance was positively affected
by allocations to longer-term maturity securities. Allocations to higher rated
and insured credits helped returns because investors displayed a preference for
these issues amid heightened investor focus on credit quality. In addition,
selections of longer-term insured and pre-refunded issues with call protection
were also positive for performance.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year.
In this environment, average portfolio duration will be targeted near the
benchmark as further Fed tightening should put upward pressure on interest
rates. We expect to maintain an overweight position in longer maturity credits
due to the relatively attractive yield offered by longer-term California issues.
In addition, we anticipate maintaining the Fund's high average credit quality of
AA.
13
<PAGE>
March 31, 2000 PIMCO Foreign Bond Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management (non-U.S.).
PORTFOLIO:
Primarily investment grade foreign bonds.
DURATION RANGE:
3-7 years
FUND INCEPTION DATE:
12/03/92
TOTAL NET ASSETS:
$545.5 million
PORTFOLIO MANAGER:
Lee Thomas
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
D Shares Lipper Intl. J.P. Morgan
Income Fund Non-U.S.
Average Index (Hedged)
--------------------------------------------------------------------------------
1 year 1.51% -2.29% 2.94%
3 years 6.95% 3.50% 8.85%
5 years 11.70% 4.52% 10.66%
Inception 9.26% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO J.P. Morgan
Foreign D Non-U.S. Index
(Hedged)
<S> <C> <C>
12/31/1992 10,000 10,000
01/31/1993 10,079 10,091
02/28/1993 10,297 10,274
03/31/1993 10,332 10,280
04/30/1993 10,328 10,281
05/31/1993 10,417 10,338
06/30/1993 10,660 10,549
07/31/1993 10,824 10,667
08/31/1993 11,083 10,889
09/30/1993 11,123 10,936
10/31/1993 11,284 11,082
11/30/1993 11,312 11,159
12/31/1993 11,590 11,390
01/31/1994 11,601 11,333
02/28/1994 11,290 11,078
03/31/1994 11,089 10,977
04/30/1994 10,981 10,899
05/31/1994 10,816 10,779
06/30/1994 10,613 10,669
07/31/1994 10,675 10,739
08/31/1994 10,566 10,636
09/30/1994 10,580 10,645
10/31/1994 10,617 10,687
11/30/1994 10,770 10,838
12/31/1994 10,696 10,813
01/31/1995 10,764 10,931
02/28/1995 10,831 11,072
03/31/1995 10,834 11,297
04/30/1995 11,095 11,477
05/31/1995 11,527 11,854
06/30/1995 11,453 11,814
07/31/1995 11,667 11,963
08/31/1995 11,885 12,067
09/30/1995 12,051 12,258
10/31/1995 12,248 12,395
11/30/1995 12,725 12,667
12/31/1995 12,909 12,785
01/31/1996 13,222 12,939
02/29/1996 12,936 12,787
03/31/1996 13,142 12,893
04/30/1996 13,456 13,047
05/31/1996 13,503 13,136
06/30/1996 13,651 13,245
07/31/1996 13,780 13,345
08/31/1996 14,113 13,522
09/30/1996 14,504 13,810
10/31/1996 14,858 14,038
11/30/1996 15,213 14,319
12/31/1996 15,289 14,339
01/31/1997 15,528 14,518
02/28/1997 15,607 14,611
03/31/1997 15,407 14,533
04/30/1997 15,546 14,690
05/31/1997 15,622 14,767
06/30/1997 15,931 15,018
07/31/1997 16,162 15,257
08/31/1997 16,091 15,275
09/30/1997 16,434 15,545
10/31/1997 16,237 15,645
11/30/1997 16,451 15,757
12/31/1997 16,686 15,962
01/31/1998 16,922 16,174
02/28/1998 17,072 16,318
03/31/1998 17,280 16,464
04/30/1998 17,336 16,548
05/31/1998 17,476 16,774
06/30/1998 17,560 16,847
07/31/1998 17,834 17,003
08/31/1998 17,686 17,338
09/30/1998 18,086 17,749
10/31/1998 17,706 17,722
11/30/1998 18,032 17,914
12/31/1998 18,279 17,892
01/31/1999 18,648 18,114
02/28/1999 18,460 17,993
03/31/1999 18,567 18,207
04/30/1999 18,801 18,438
05/31/1999 18,500 18,363
06/30/1999 18,268 18,078
07/31/1999 18,270 18,031
08/31/1999 18,133 18,063
09/30/1999 18,224 18,132
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
</TABLE>
*Past performance is no guarantee of future results. These returns represent the
blended performance of the Fund's Class D shares (for the period from 4/8/98)
and the prior performance of the Fund's institutional class shares, adjusted
for Class D expenses. Class D shares were first offered in April 1998. Foreign
investing involves potentially higher risks including foreign currency
fluctuations and political or economic uncertainty. See page 26 for Footnotes,
which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
1 year or less 0%
1-5 years 28%
5-10 years 26%
10-20 years 37%
20-30 years 8%
over 30 years 1%
Duration 4.4 years
Top 10 Countries
United States 51.1%
Supranational 5.1%
Spain 4.3%
Germany 4.3%
United Kingdom 4.0%
Canada 3.9%
Cayman Islands 3.1%
Greece 2.9%
Italy 2.8%
Australia 2.1%
Quality Breakdown
AAA 59.5%
AA 15.7%
A 10.6%
BBB 8.3%
BB 4.6%
B 1.3%
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the 1-year period ended March 31, 2000, the Fund's Class D shares returned
1.51%, slightly underperforming the J.P. Morgan Non-U.S. Hedged Index, which
returned 2.94%. However, the Fund did solidly outperform the Lipper
International Income Fund Average, which fell 2.29%.
With the exception of Japan, international growth accelerated during the
past year. In Europe, growth forecasts were revised upward, with even the
laggards, Germany and Italy, showing signs of improving. In Asia, recent GDP
releases were well above expectations. And emerging markets, driven by
fundamental improvements, also aided expansion. However, in Japan, the recovery
seems to have stalled as the effects of a 1999 fiscal stimulus diminished and
consumer demand remained weak.
During the past twelve months, the portfolio continued to invest in what we
believe to be the safest and most liquid fixed-income securities outside of the
United States. We utilized this philosophy in many decisions, including
maintaining the Fund's underweighted position in Japanese bonds. These
securities reacted poorly to deteriorating credit fundamentals and concerns
about increased new issuance. Prices declined dramatically and it seems likely
that the country's bonds may be downgraded yet again.
Overweight positions in Australia and New Zealand added to returns as both
regions experienced declining bond yields (and rising prices). Australia's bonds
rallied in the face of falling growth forecasts and decreasing consumer demand,
while New Zealand was boosted by expectations that further central bank
tightening would restrain inflation.
Certain strategies, however, detracted from returns over the past year. A
below-benchmark duration hurt the Fund's results as longer-term bond yields in
many countries fell amid positive responses to central bank rate increases. In
particular, core European bonds (a sector that was underweight in the portfolio)
rallied following the European Central Bank's rate hikes in early 2000.
Going forward, we believe global growth will continue to improve. With this
in mind, we expect to increase emphasis on longer maturities in core Europe as
expected interest rate hikes should keep inflation prospects low. In particular,
we anticipate focusing on Finland, Italy, Spain and Portugal to capitalize on
improving fiscal fundamentals and favorable yields relative to Germany. Japan
will continue to play a relatively underweight role within the portfolio due to
high debt levels and other financial difficulties. And, where permitted, we
expect to maintain a small emerging market position, favoring higher-quality
credits such as Mexico, Hungary, Poland and South Korea.
14
<PAGE>
March 31, 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:
$3.2 billion
PORTFOLIO MANAGER:
Ben Trosky
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
D Shares Lipper High Lehman
Current Yield Int. BB
Fund Average Corp. Index
--------------------------------------------------------------------------------
1 year -1.14% 0.06% -0.30%
3 years 5.82% 4.32% 5.47%
5 years 8.80% 7.70% 7.86%
Inception 9.51% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO High Lehman BB
Yield D Int. Corp. Index
<S> <C> <C>
12/31/1992 10,000 10,000
01/31/1993 10,224 10,211
02/28/1993 10,409 10,361
03/31/1993 10,616 10,478
04/30/1993 10,726 10,566
05/31/1993 10,801 10,644
06/30/1993 11,091 10,870
07/31/1993 11,167 10,980
08/31/1993 11,288 11,107
09/30/1993 11,341 11,188
10/31/1993 11,642 11,338
11/30/1993 11,728 11,368
12/31/1993 11,825 11,465
01/31/1994 12,074 11,657
02/28/1994 12,068 11,644
03/31/1994 11,703 11,288
04/30/1994 11,598 11,221
05/31/1994 11,679 11,231
06/30/1994 11,692 11,265
07/31/1994 11,798 11,402
08/31/1994 11,894 11,523
09/30/1994 11,972 11,544
10/31/1994 11,975 11,571
11/30/1994 11,923 11,492
12/31/1994 12,063 11,563
01/31/1995 12,177 11,749
02/28/1995 12,507 12,106
03/31/1995 12,686 12,220
04/30/1995 12,959 12,465
05/31/1995 13,331 12,831
06/30/1995 13,436 12,944
07/31/1995 13,612 13,062
08/31/1995 13,713 13,138
09/30/1995 13,901 13,280
10/31/1995 14,100 13,384
11/30/1995 14,267 13,553
12/31/1995 14,504 13,767
01/31/1996 14,735 13,990
02/29/1996 14,747 13,940
03/31/1996 14,626 13,867
04/30/1996 14,686 13,862
05/31/1996 14,731 13,881
06/30/1996 14,787 14,031
07/31/1996 14,914 14,107
08/31/1996 15,153 14,221
09/30/1996 15,502 14,527
10/31/1996 15,652 14,729
11/30/1996 15,987 15,026
12/31/1996 16,142 15,059
01/31/1997 16,303 15,203
02/28/1997 16,550 15,386
03/31/1997 16,328 15,203
04/30/1997 16,498 15,392
05/31/1997 16,869 15,655
06/30/1997 17,113 15,857
07/31/1997 17,550 16,330
08/31/1997 17,539 16,174
09/30/1997 17,830 16,428
10/31/1997 17,843 16,484
11/30/1997 18,009 16,600
12/31/1997 18,209 16,752
01/31/1998 18,516 16,953
02/28/1998 18,611 17,031
03/31/1998 18,752 17,140
04/30/1998 18,795 17,228
05/31/1998 18,888 17,340
06/30/1998 19,022 17,446
07/31/1998 19,218 17,536
08/31/1998 18,441 17,052
09/30/1998 18,670 17,414
10/31/1998 18,479 17,191
11/30/1998 19,254 17,603
12/31/1998 19,331 17,714
01/31/1999 19,582 17,897
02/28/1999 19,416 17,764
03/31/1999 19,571 17,892
04/30/1999 19,892 18,075
05/31/1999 19,506 17,856
06/30/1999 19,496 17,815
07/31/1999 19,543 17,883
08/31/1999 19,461 17,770
09/30/1999 19,467 17,843
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
</TABLE>
*Past performance is no guarantee of future results. These returns represent the
blended performance of the Fund's Class D shares (for the period from 4/8/98)
and the prior performance of the Fund's institutional class shares, adjusted
for Class D expenses. Class D shares were first offered in April 1998. The
investments made by the High Yield Fund may involve high risk and may have
speculative characteristics. See page 26 for Footnotes, which include
additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
1 year or less 10%
1-5 years 22%
5-10 years 62%
10-20 years 4%
20-30 years 2%
Duration 4.4 years
Sector Breakdown
Corporate Bonds & Notes 86.2%
Asset-Backed Securities 5.5%
Other 8.3%
Quality Breakdown
AAA 0.1%
A 0.5%
BBB 12.8%
BB 43.5%
B 42.8%
CCC 0.2%
CC 0.1%
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the 1-year period ended March 31, 2000, the Fund's Class D shares fell
1.14%, under-performing the Lehman BB Intermediate Corporate Index, which fell
0.30%. The Fund also underperformed the Lipper High Current Yield Fund Average,
which returned 0.06%.
Over the past year the Federal Reserve lifted interest rates five times to
prevent the economy from overheating in the face of mounting imbalances, such as
skyrocketing stock prices and a tightening labor market, which threaten to drive
inflation higher. As a result, yields across many sectors of the bond market
rose substantially. The high yield market was negatively impacted as credit
quality continued to deteriorate and investors began to pull money from the
sector.
While sector selection was important to performance, credit quality was
vital given rising default rates, profit concerns, and equity market volatility.
The Fund's strategy of avoiding retail and supermarket issues added to relative
performance as excess capacity and intense competition adversely affected these
sectors. In addition, limited exposure to high quality issues in emerging market
countries, especially Mexico, added to returns as these countries benefited from
the rising commodity prices and improved prospects for economic growth.
However, the Fund's exposure to B-rated issues detracted from performance
as these credits significantly underperformed BB-rated issues, especially in the
first quarter of 2000. Significant credit deterioration of Safety Kleen, one the
Fund's larger holdings, also negatively impacted performance as the company is
currently under investigation for accounting fraud.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year. The high yield
sector is likely to continue to wrestle with a difficult combination of a high
default rate and over-leverage.
In this environment, we expect to keep the average portfolio quality higher
than the benchmark. Defensive holdings, such as utilities, publishing and
certain telecommunications sectors, will continue to play a significant role in
the portfolio. We anticipate increasing our holdings in the rapidly expanding
European high yield market, given our expectations that the region's economic
recovery will continue to gain momentum.
15
<PAGE>
March 31, 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
TOTAL NET ASSETS:
$4.0 billion
FUND INCEPTION DATE:
5/11/87
PORTFOLIO MANAGER:
Bill Gross
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
D Shares Lipper Shrt. Inv. Merrill Lynch
Grade Debt Fund 1-3 yr. Treas.
Average Index
--------------------------------------------------------------------------------
1 year 3.22% 3.27% 3.73%
5 years 6.64% 5.64% 6.07%
10 years 7.12% 6.44% 6.63%
Inception 7.42% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO Low Merrill Lynch 1-3
Duration D Yr. Treas. Index
<S> <C> <C>
05/31/1987 10,000 10,000
06/30/1987 10,091 10,109
07/31/1987 10,125 10,158
08/31/1987 10,121 10,167
09/30/1987 10,094 10,127
10/31/1987 10,254 10,351
11/30/1987 10,367 10,414
12/31/1987 10,425 10,480
01/31/1988 10,595 10,648
02/29/1988 10,669 10,735
03/31/1988 10,733 10,756
04/30/1988 10,775 10,772
05/31/1988 10,797 10,756
06/30/1988 10,895 10,868
07/31/1988 10,950 10,876
08/31/1988 10,991 10,899
09/30/1988 11,090 11,026
10/31/1988 11,190 11,136
11/30/1988 11,201 11,106
12/31/1988 11,248 11,132
01/31/1989 11,339 11,219
02/28/1989 11,354 11,219
03/31/1989 11,395 11,270
04/30/1989 11,527 11,443
05/31/1989 11,761 11,614
06/30/1989 12,015 11,831
07/31/1989 12,188 12,006
08/31/1989 12,128 11,932
09/30/1989 12,187 12,003
10/31/1989 12,345 12,184
11/30/1989 12,454 12,299
12/31/1989 12,513 12,348
01/31/1990 12,502 12,358
02/28/1990 12,585 12,416
03/31/1990 12,649 12,457
04/30/1990 12,637 12,482
05/31/1990 12,847 12,673
06/30/1990 12,982 12,806
07/31/1990 13,121 12,966
08/31/1990 13,143 13,005
09/30/1990 13,212 13,111
10/31/1990 13,304 13,255
11/30/1990 13,460 13,386
12/31/1990 13,601 13,548
01/31/1991 13,724 13,672
02/28/1991 13,829 13,754
03/31/1991 13,943 13,846
04/30/1991 14,109 13,977
05/31/1991 14,216 14,062
06/30/1991 14,302 14,119
07/31/1991 14,457 14,242
08/31/1991 14,661 14,437
09/30/1991 14,848 14,593
10/31/1991 14,973 14,750
11/30/1991 15,132 14,903
12/31/1991 15,383 15,131
01/31/1992 15,392 15,107
02/29/1992 15,465 15,160
03/31/1992 15,469 15,154
04/30/1992 15,574 15,293
05/31/1992 15,729 15,432
06/30/1992 15,872 15,590
07/31/1992 16,078 15,765
08/31/1992 16,181 15,903
09/30/1992 16,338 16,055
10/31/1992 16,340 15,959
11/30/1992 16,345 15,933
12/31/1992 16,511 16,084
01/31/1993 16,663 16,251
02/28/1993 16,856 16,390
03/31/1993 16,947 16,439
04/30/1993 17,024 16,541
05/31/1993 17,039 16,495
06/30/1993 17,204 16,616
07/31/1993 17,259 16,655
08/31/1993 17,423 16,800
09/30/1993 17,486 16,855
10/31/1993 17,603 16,888
11/30/1993 17,616 16,892
12/31/1993 17,735 16,954
01/31/1994 17,828 17,063
02/28/1994 17,747 16,954
03/31/1994 17,666 16,870
04/30/1994 17,604 16,810
05/31/1994 17,581 16,834
06/30/1994 17,613 16,884
07/31/1994 17,773 17,029
08/31/1994 17,844 17,089
09/30/1994 17,814 17,050
10/31/1994 17,808 17,088
11/30/1994 17,808 17,012
12/31/1994 17,794 17,050
01/31/1995 17,954 17,288
02/28/1995 18,177 17,525
03/31/1995 18,246 17,623
04/30/1995 18,470 17,780
05/31/1995 18,801 18,091
06/30/1995 18,893 18,188
07/31/1995 18,895 18,263
08/31/1995 19,095 18,372
09/30/1995 19,261 18,461
10/31/1995 19,402 18,617
11/30/1995 19,623 18,782
12/31/1995 19,851 18,926
01/31/1996 19,992 19,087
02/29/1996 19,858 19,006
03/31/1996 19,844 18,989
04/30/1996 19,848 19,005
05/31/1996 19,862 19,044
06/30/1996 20,058 19,181
07/31/1996 20,121 19,256
08/31/1996 20,215 19,323
09/30/1996 20,496 19,498
10/31/1996 20,787 19,717
11/30/1996 21,064 19,868
12/31/1996 21,003 19,868
01/31/1997 21,173 19,962
02/28/1997 21,253 20,007
03/31/1997 21,162 20,000
04/30/1997 21,414 20,163
05/31/1997 21,589 20,301
06/30/1997 21,753 20,440
07/31/1997 22,099 20,665
08/31/1997 22,081 20,684
09/30/1997 22,271 20,841
10/31/1997 22,432 20,996
11/30/1997 22,492 21,047
12/31/1997 22,661 21,191
01/31/1998 22,829 21,396
02/28/1998 22,902 21,415
03/31/1998 22,996 21,502
04/30/1998 23,113 21,603
05/31/1998 23,256 21,718
06/30/1998 23,307 21,831
07/31/1998 23,412 21,933
08/31/1998 23,499 22,209
09/30/1998 23,971 22,503
10/31/1998 23,930 22,613
11/30/1998 24,064 22,594
12/31/1998 24,206 22,673
01/31/1999 24,308 22,763
02/28/1999 24,174 22,652
03/31/1999 24,375 22,810
04/30/1999 24,497 22,883
05/31/1999 24,414 22,868
06/30/1999 24,421 22,940
07/31/1999 24,419 23,012
08/31/1999 24,431 23,079
09/30/1999 24,609 23,229
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
</TABLE>
*Past performance is no guarantee of future results. These returns represent the
blended performance of the Fund's Class D shares (for the period from 4/8/98)
and the prior performance of the Fund's institutional class shares, adjusted
for Class D expenses. Class D shares were first offered in April 1998. The Fund
may invest in foreign securities which involve potentially higher risks
including foreign currency fluctuations and political or economic uncertainty.
See page 26 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
1 year or less 32%
1-5 years 59%
5-10 years 8%
10-20 years 0%
20-30 years 0%
Over 30 years 1%
Duration 1.9 years
Sector Breakdown
Corporate Bonds & Notes 50.3%
Mortgage-Backed Securities 25.4%
U.S. Treasury Obligations 9.4%
Other 14.9%
Quality Breakdown
AAA 40.7%
AA 9.4%
A 22.2%
BBB 21.2%
BB 5.9%
B 0.6%
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the 1-year period ended March 31, 2000, the Fund's Class D shares returned
3.22%, underperforming the Merrill Lynch 1-3 Year Treasury Index, which returned
3.73%. The Fund also slightly underperformed the Lipper Short Investment-Grade
Debt Fund Average, which returned 3.27%.
Over the past year the Federal Reserve lifted short-term interest rates
five times to prevent the economy from overheating in the face of mounting
imbalances, such as skyrocketing stock prices and a tightening labor market,
which threaten to drive inflation higher. As a result, bond yields across the
yield curve rose substantially.
The Fund's position in investment grade corporate debt enhanced performance
over the past year as economic growth continued unabated and corporate issuance
slowed. In addition, our allocation to mortgage-backed securities lifted
performance as their attractive yield offset their price decline. Selective
emerging market investments also 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 year detracted from returns as interest rates
increased in response to Fed tightening. A small weight in
below-investment-grade securities also hurt performance due to cash outflow from
the sector amid concerns about deteriorating credit quality.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year. In our opinion, an
over-leveraged private sector combined with public budget surpluses will
continue to cause credit quality to deteriorate and the Treasury curve to remain
inverted.
Strategically, we expect to keep the duration of the Fund slightly above
the benchmark to take advantage of higher yields on longer-maturity securities.
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 and take advantage of the inverted curve. Mortgage-backed
securities will continue to be favored over investment-grade corporate credits,
because of their higher quality and attractive yields.
16
<PAGE>
March 31, 2000 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:
$52.6 million
PORTFOLIO MANAGER:
Ben Ehlert
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
D Shares Lipper Lehman Bros. General
Gen. Municipal Municipal Bond
Debt Fund Avg. Index
--------------------------------------------------------------------------------
1 year -2.16% -2.40% -0.08%
Inception 1.81% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
Lehman Bros.
PIMCO Municipal Municipal Bond
Bond D Index
<S> <C> <C>
12/31/1997 10,000 10,000
01/31/1998 10,115 10,103
02/28/1998 10,065 10,106
03/31/1998 10,070 10,115
04/30/1998 10,001 10,070
05/31/1998 10,196 10,229
06/30/1998 10,228 10,269
07/31/1998 10,236 10,294
08/31/1998 10,423 10,454
09/30/1998 10,560 10,585
10/31/1998 10,535 10,585
11/30/1998 10,560 10,622
12/31/1998 10,569 10,648
01/31/1999 10,706 10,775
02/28/1999 10,635 10,727
03/31/1999 10,641 10,742
04/30/1999 10,659 10,769
05/31/1999 10,578 10,707
06/30/1999 10,381 10,553
07/31/1999 10,399 10,591
08/31/1999 10,287 10,506
09/30/1999 10,270 10,510
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
</TABLE>
*Past performance is no guarantee of future results. These returns represent the
blended performance of the Fund's Class D shares (for the period from 4/8/98)
and the prior performance of the Fund's institutional class shares, adjusted
for Class D expenses. Class D shares were first offered in April 1998. See page
26 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
1 year or less 13%
1-5 years 21%
5-10 years 38%
10-20 years 27%
20-30 years 1%
Duration 6.5 years
Sector Breakdown
Municipal Bonds & Notes 99.9%
Other 0.1%
Quality Breakdown
AAA 45.1%
AA 19.4%
A 13.4%
BBB 12.1%
BB 10.0%
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the year ending March 31, 2000, the Fund's Class D shares fell 2.16%. This
performance, although negative, compares favorably to the Lipper General
Municipal Debt Fund Average, which dropped 2.40% over the same period.
Over the past year the Federal Reserve lifted interest rates five times to
prevent the economy from overheating in the face of mounting imbalances, such as
skyrocketing stock prices and a tightening labor market, which threaten to drive
inflation higher. As a result, yields across many sectors of the bond market
rose substantially. Municipal bonds were not immune and institutional investors,
in particular, withdrew from the sector, exacerbating performance problems.
However, in the first quarter of this year, long-term municipal yields fell in
response to the drop in long-term Treasury yields as the government implemented
its debt buyback program during the quarter.
The Fund maintained a high average credit quality of AA during the past
year, which benefited returns as yield premiums widened amid heightened investor
focus on deteriorating credit conditions. And, in the first quarter, the Fund's
exposure to longer-term maturities helped returns as yields fell in this segment
of the curve in sympathy with Treasury bonds.
However, the portfolio's above-benchmark duration during most of the year
hindered performance due to the general rise in municipal yields. In addition,
our holdings of longer-term AAA rated insured bonds also hurt performance as
yield premiums on these bonds actually widened relative to AAA general
obligation bonds.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year.
In this environment, average portfolio duration will be targeted slightly
below the benchmark, as further Fed tightening should put upward pressure on
interest rates. We expect to increase the weight of longer maturity credits due
to their attractive yield and improve call protection. In general, we anticipate
continuing to stress a higher quality portfolio in an effort to offer
above-average returns with below-average risk.
17
<PAGE>
March 31, 2000 PIMCO NY Intermediate 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:
3-7 years
TOTAL NET ASSETS:
$3.0 million
FUND INCEPTION DATE:
8/31/99
PORTFOLIO MANAGER:
Mark McCray
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
D Shares Lehman Bros.
NY Exempt
Int. Index
--------------------------------------------------------------------------------
6 months 1.33% 1.51%
Inception 1.70% --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO NY NY Inter.
Intermediate Muni.
Muni Bond D Index
<S> <C> <C>
08/31/1999 10,000 10,000
09/30/1999 10,036 10,031
10/31/1999 9,954 9,983
11/30/1999 10,041 10,062
12/31/1999 10,001 10,019
01/31/2000 9,951 9,983
02/29/2000 10,013 10,037
03/31/2000 10,171 10,183
</TABLE>
*Past performance is no guarantee of future results. The adjusted returns above
include the effect of applicable sales charges. These returns represent the
blended performance of the Fund's retail class shares (for the period from
8/31/99) 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 26 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
1 year or less 11%
1-5 years 15%
5-10 years 74%
10-20 years 0%
20-30 years 0%
Duration 5.4 years
Sector Breakdown
Municipal Bonds & Notes 96.6%
Other 3.4%
Quality Breakdown
AAA 67.2%
AA 14.6%
A 13.2%
BBB 5.0%
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
PIMCO New York Intermediate Municipal Bond Fund seeks to provide high current
income exempt from federal and New York income tax. From January 31, 2000, the
inception date of the Class D, through March 31, 2000, Class D shares returned a
cumulative 1.69%, slightly underperforming the Lehman New York Intermediate Muni
Bond Index, which returned 1.99% over the same period.
The Federal Reserve lifted interest rates twice times in the first quarter
in an attempt to prevent the economy from overheating in the face of mounting
imbalances, such as skyrocketing stock prices and a tightening labor market,
which threaten to drive inflation higher.
In the first quarter of this year, long-term New York municipal bonds
reversed course in response to strong investor demand, limited new supply and
favorable credit conditions. As a result, the Fund's performance was positively
impacted by allocations to longer-term maturity securities. Allocations to
higher rated and insured credits also helped returns as investors displayed a
preference for these issues amid heightened concern about credit quality.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year.
In this environment, average portfolio duration will be targeted near the
benchmark as further Fed tightening should put upward pressure on interest
rates. We expect to maintain an overweight position in longer maturity credits
due to the relatively attractive yield offered by longer-term New York issues.
In addition, we anticipate maintaining the Fund's high average credit quality of
AA.
18
<PAGE>
March 31, 2000 PIMCO Real Return Bond Fund
OBJECTIVE:
Maximum real return, consistent with preservation of real capital and prudent
investment management.
PORTFOLIO:
Primarily inflation-indexed bonds.
TOTAL NET ASSETS:
$269.9 million
FUND INCEPTION DATE:
1/29/97
PORTFOLIO MANAGER:
John Brynjolfsson
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
D Shares Lipper Short Lehman Brothers
U.S. Govt. Inflation Linked
Fund Avg. Treas. Index
--------------------------------------------------------------------------------
1 year 7.93% 3.27% 6.36%
3 years 6.06% 4.86% 4.73%
Inception 5.74% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO Real Return Lehman Bros.
D Infl. Linked
Treas. Index
<S> <C> <C>
01/31/1997 10,000 10,000
02/28/1997 10,031 10,033
03/31/1997 9,938 9,896
04/30/1997 9,996 9,956
05/31/1997 10,053 10,010
06/30/1997 10,028 9,978
07/31/1997 10,149 10,072
08/31/1997 10,167 10,103
09/30/1997 10,183 10,123
10/31/1997 10,308 10,227
11/30/1997 10,359 10,284
12/31/1997 10,302 10,241
01/31/1998 10,359 10,291
02/28/1998 10,344 10,282
03/31/1998 10,364 10,277
04/30/1998 10,417 10,315
05/31/1998 10,456 10,388
06/30/1998 10,489 10,414
07/31/1998 10,566 10,463
08/31/1998 10,570 10,486
09/30/1998 10,812 10,697
10/31/1998 10,865 10,721
11/30/1998 10,846 10,710
12/31/1998 10,796 10,646
01/31/1999 10,951 10,769
02/28/1999 10,923 10,693
03/31/1999 10,985 10,689
04/30/1999 11,163 10,760
05/31/1999 11,240 10,834
06/30/1999 11,223 10,841
07/31/1999 11,239 10,835
08/31/1999 11,293 10,854
09/30/1999 11,337 10,896
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
</TABLE>
*Past performance is no guarantee of future results. The Fund may invest in
foreign securities which involve potentially higher risks including foreign
currency fluctuations and political or economic uncertainty. See page 26 for
Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
1 year or less 11%
1-5 years 3%
5-10 years 64%
10-20 years 2%
20-30 years 20%
Duration 2.9 years
Sector Breakdown
U.S. Treasury Obligations 63.3%
Corporate Bonds & Notes 21.4%
Asset-Backed Securities 4.7%
Other 10.6%
Quality Breakdown
AAA 77.8%
AA 2.5%
A 10.3%
BBB 7.2%
BB 2.2%
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the 1-year period ended March 31, 2000, the Fund's Class D shares returned
7.93%, outperforming the Lehman Inflation-Linked Index, which returned 6.36%.
The Fund also outperformed the Lipper Short U.S. Government Fund Average, which
returned 3.27%.
Over the past year the Federal Reserve lifted interest rates five times to
prevent the economy from overheating in the face of mounting imbalances, such as
skyrocketing stock prices and a tightening labor market, which threaten to drive
inflation higher. As a result, bond yields rose substantially. However, in
January, long-term Treasuries rallied, responding to the Treasury's debt buyback
program. Other sectors didn't participate in the rally due to mounting credit
concerns.
The Fund's continued concentration in Treasury Inflation Protection
Securities (TIPS) boosted returns over the past year as these securities
outperformed other bonds due to mounting inflation fears. Not only did TIPS
exhibit less yield volatility than conventional Treasuries as interest rates
rose, but they also rallied along with Treasury bond yields in the first quarter
of this year as concerns about declining credit quality impacted the market. Our
below benchmark duration lowered relative returns, however, as real rates
dropped across all maturities.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year. In our opinion, an
over-leveraged private sector combined with public budget surpluses will
continue to cause credit quality to deteriorate and the Treasury curve to remain
inverted.
Looking ahead, we expect real return bonds to perform well given that the
best inflation news is behind us. We anticipate continuing to emphasize TIPS as
their real yield ranks highly among the entire fixed income market. The
effective duration of the Fund will be targeted near the benchmark, but
intermediate maturities may be modestly overweighted to take advantage of
favorable liquidity and attractive financing opportunities.
19
<PAGE>
March 31, 2000 PIMCO Short Duration Municipal Income Fund
OBJECTIVE:
Seek high current income exempt from federal income tax consistent with
preservation of capital.
PORTFOLIO:
Short-term municipal securities.
DURATION RANGE:
0-2 years
FUND INCEPTION DATE:
8/31/99
TOTAL NET ASSETS:
$10.7 million
PORTFOLIO MANAGER:
Mark McCray
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
D Shares Lehman Bros.
1 yr Muni Bond
Index
--------------------------------------------------------------------------------
6 mos. 1.68% 1.73%
Inception 0.47% 0.73%
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO Short Duration Lehman
Muni Income D 1 Year Muni
Index
<S> <C> <C>
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
</TABLE>
*Past performance is no guarantee of future results. These returns represent the
blended performance of the Fund's Class D shares (for the period from 1/31/00)
and the prior performance of the Fund's institutional class shares, adjusted
for Class D expenses. Class D shares were first offered in January 2000. See
page 26 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
1 year or less 44%
1-5 years 56%
Duration 1.3 years
Sector Breakdown
Municipal Bonds & Notes 99.0%
Other 1.0%
Quality Breakdown
AAA 59.4%
AA 16.3%
A 17.4%
BBB 6.9%
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
PIMCO Short Duration Municipal Bond Fund seeks to generate a high level of
interest income exempt from federal income tax, consistent with the preservation
of capital. Since the class D shares inception on January 31, 2000, the Fund has
returned a cumulative 0.47%.
This performance compares unfavorably with the Lehman 1-Year Municipal
Index, which returned 0.73% over the same period. The Fund's SEC yield on March
31, 2000 was 3.77%, or a fully tax-adjusted 6.24% under a tax rate of 39.6%.
The portfolio's average duration (sensitivity to changes in interest rates) at
the end of the first quarter was 1.3 years and matched the duration of its
benchmark. We anticipate maintaining this somewhat defensive position, as
further Fed tightening in the months ahead should put upward pressure on
interest rates. In addition, the portfolio's average credit quality was AA+ at
the end of the quarter. We expect to keep this high average quality as credit
premiums could widen in the face of a moderating domestic economy and
deteriorating credit environment.
20
<PAGE>
March 31, 2000 PIMCO Short-Term Fund
OBJECTIVE:
Maximum current income, consistent with preservation of capital and daily
liquidity.
PORTFOLIO:
Primarily short-term investment grade bonds.
DURATION RANGE:
0-1 year
FUND INCEPTION DATE:
10/07/87
TOTAL NET ASSETS:
$709.0 million
PORTFOLIO MANAGER:
Paul McCulley
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
D Shares Lipper Ultra- Salomon Lipper Money
Short Obligation 3 Mo. T-Bill Market Index
Fund Avg. Index
--------------------------------------------------------------------------------
1 year 4.87% 4.69% 4.99% 4.89%
5 years 6.38% 5.52% 5.19% 5.08%
10 years 5.64% 5.56% 4.99% 4.84%
Inception 6.10% -- -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO Salomon Lipper
Short-Term D 3-Mo. T-Bill Money Market
Index Index
<S> <C> <C> <C>
10/31/1987 10,000 10,000 10,000
11/30/1987 10,056 10,051 10,056
12/31/1987 10,114 10,099 10,114
01/31/1988 10,181 10,148 10,171
02/29/1988 10,222 10,194 10,223
03/31/1988 10,276 10,244 10,277
04/30/1988 10,330 10,294 10,327
05/31/1988 10,386 10,347 10,382
06/30/1988 10,443 10,401 10,439
07/31/1988 10,495 10,460 10,500
08/31/1988 10,560 10,520 10,566
09/30/1988 10,627 10,583 10,632
10/31/1988 10,718 10,648 10,701
11/30/1988 10,787 10,715 10,768
12/31/1988 10,849 10,785 10,842
01/31/1989 10,925 10,858 10,920
02/28/1989 11,000 10,934 10,993
03/31/1989 11,093 11,013 11,078
04/30/1989 11,176 11,095 11,161
05/31/1989 11,275 11,179 11,250
06/30/1989 11,358 11,257 11,335
07/31/1989 11,452 11,336 11,419
08/31/1989 11,511 11,413 11,500
09/30/1989 11,588 11,487 11,578
10/31/1989 11,695 11,565 11,659
11/30/1989 11,771 11,640 11,736
12/31/1989 11,837 11,717 11,815
01/31/1990 11,892 11,794 11,895
02/28/1990 11,964 11,865 11,966
03/31/1990 12,042 11,945 12,044
04/30/1990 12,090 12,022 12,122
05/31/1990 12,202 12,104 12,204
06/30/1990 12,280 12,183 12,281
07/31/1990 12,364 12,263 12,362
08/31/1990 12,428 12,343 12,442
09/30/1990 12,509 12,418 12,517
10/31/1990 12,603 12,495 12,598
11/30/1990 12,702 12,569 12,676
12/31/1990 12,803 12,650 12,756
01/31/1991 12,893 12,723 12,834
02/28/1991 12,962 12,785 12,899
03/31/1991 13,020 12,851 12,966
04/30/1991 13,100 12,913 13,031
05/31/1991 13,172 12,975 13,095
06/30/1991 13,219 13,035 13,153
07/31/1991 13,296 13,097 13,216
08/31/1991 13,379 13,159 13,276
09/30/1991 13,452 13,217 13,334
10/31/1991 13,528 13,275 13,392
11/30/1991 13,561 13,328 13,446
12/31/1991 13,615 13,377 13,501
01/31/1992 13,665 13,424 13,551
02/29/1992 13,691 13,466 13,593
03/31/1992 13,716 13,512 13,636
04/30/1992 13,772 13,555 13,679
05/31/1992 13,814 13,600 13,720
06/30/1992 13,868 13,640 13,759
07/31/1992 13,923 13,681 13,799
08/31/1992 13,958 13,720 13,835
09/30/1992 13,994 13,754 13,868
10/31/1992 14,008 13,788 13,902
11/30/1992 14,025 13,823 13,934
12/31/1992 14,066 13,860 13,969
01/31/1993 14,112 13,897 14,002
02/28/1993 14,149 13,929 14,031
03/31/1993 14,214 13,964 14,064
04/30/1993 14,262 13,998 14,095
05/31/1993 14,318 14,033 14,124
06/30/1993 14,374 14,068 14,155
07/31/1993 14,425 14,104 14,187
08/31/1993 14,463 14,141 14,219
09/30/1993 14,499 14,176 14,250
10/31/1993 14,550 14,213 14,282
11/30/1993 14,604 14,249 14,313
12/31/1993 14,672 14,286 14,346
01/31/1994 14,697 14,323 14,379
02/28/1994 14,713 14,357 14,409
03/31/1994 14,690 14,398 14,444
04/30/1994 14,713 14,441 14,480
05/31/1994 14,724 14,488 14,521
06/30/1994 14,791 14,538 14,563
07/31/1994 14,861 14,590 14,608
08/31/1994 14,919 14,644 14,657
09/30/1994 14,935 14,698 14,707
10/31/1994 14,974 14,758 14,762
11/30/1994 14,986 14,820 14,818
12/31/1994 15,050 14,889 14,882
01/31/1995 15,126 14,957 14,948
02/28/1995 15,265 15,023 15,011
03/31/1995 15,298 15,097 15,082
04/30/1995 15,462 15,169 15,150
05/31/1995 15,618 15,243 15,222
06/30/1995 15,670 15,315 15,292
07/31/1995 15,764 15,388 15,363
08/31/1995 15,836 15,461 15,432
09/30/1995 15,984 15,530 15,500
10/31/1995 16,099 15,602 15,570
11/30/1995 16,248 15,670 15,637
12/31/1995 16,386 15,743 15,705
01/31/1996 16,465 15,813 15,774
02/29/1996 16,495 15,878 15,836
03/31/1996 16,548 15,945 15,899
04/30/1996 16,625 16,010 15,963
05/31/1996 16,712 16,079 16,028
06/30/1996 16,804 16,147 16,091
07/31/1996 16,851 16,216 16,158
08/31/1996 16,957 16,287 16,226
09/30/1996 17,120 16,357 16,290
10/31/1996 17,257 16,429 16,356
11/30/1996 17,412 16,498 16,422
12/31/1996 17,480 16,569 16,491
01/31/1997 17,583 16,641 16,560
02/28/1997 17,662 16,706 16,621
03/31/1997 17,671 16,779 16,689
04/30/1997 17,772 16,851 16,758
05/31/1997 17,900 16,925 16,830
06/30/1997 18,018 16,996 16,901
07/31/1997 18,158 17,070 16,973
08/31/1997 18,213 17,143 17,046
09/30/1997 18,335 17,215 17,118
10/31/1997 18,377 17,291 17,191
11/30/1997 18,460 17,363 17,264
12/31/1997 18,563 17,438 17,340
01/31/1998 18,673 17,515 17,416
02/28/1998 18,738 17,585 17,484
03/31/1998 18,863 17,662 17,559
04/30/1998 18,950 17,736 17,631
05/31/1998 19,036 17,813 17,707
06/30/1998 19,100 17,886 17,779
07/31/1998 19,215 17,961 17,856
08/31/1998 19,223 18,038 17,933
09/30/1998 19,351 18,112 18,006
10/31/1998 19,425 18,184 18,078
11/30/1998 19,491 18,252 18,149
12/31/1998 19,573 18,319 18,219
01/31/1999 19,649 18,387 18,291
02/28/1999 19,730 18,449 18,353
03/31/1999 19,870 18,520 18,422
04/30/1999 19,961 18,588 18,489
05/31/1999 19,965 18,659 18,557
06/30/1999 20,035 18,728 18,624
07/31/1999 20,105 18,801 18,678
08/31/1999 20,171 18,876 18,753
09/30/1999 20,262 18,950 18,826
10/31/1999 20,360 19,027 18,903
11/30/1999 20,455 19,103 18,982
12/31/1999 20,537 19,186 19,066
01/31/2000 20,584 19,270 19,152
02/29/2000 20,704 19,353 19,234
03/31/2000 20,838 19,444 19,323
</TABLE>
*Past performance is no guarantee of future results. These returns represent the
blended performance of the Fund's class D shares (for the period from 4/8/98)
and the prior performance of the Fund's institutional class shares, adjusted
for Class D expenses. Class D shares were first offered in April 1998. The Fund
may invest in foreign securities which involve potentially higher risks
including foreign currency fluctuations and political or economic uncertainty.
See page 26 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
1 year or less 74%
1-5 years 25%
5-10 years 1%
10-20 years 0%
20-30 years 0%
Duration 0.5 years
Sector Breakdown
Short-Term Instruments 33.2%
Corporate Bonds & Notes 24.5%
Mortgage-Backed Securities 20.2%
Asset-Backed Securities 10.8%
U.S. Government Agencies 6.9%
Other 4.4%
Quality Breakdown
AAA 41.6%
AA 14.1%
A 16.8%
BBB 26.0%
BB 1.5%
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the 1-year period ended March 31, 2000, the Fund's Class D shares returned
4.87%, slightly underperforming the Salomon 3-Month Treasury Bill Index, which
returned 4.99%. The Fund did slightly outperform its Lipper Average, which
returned 4.69%.
The Fund had a standardized yield of 5.45% on March 31, 2000. This compares
favorably with the average money market yield of 3.41% and the average six-month
CD yield of 4.76%, according to Banxquote Money Market. Remember that money
market funds must maintain a fixed share price and that CDs are guaranteed as to
repayment of principal and interest. The Fund's shares, on the other hand, are
not guaranteed, and its share price can fluctuate.
Over the past year the Federal Reserve lifted interest rates five times to
prevent the economy from overheating in the face of mounting imbalances, such as
skyrocketing stock prices and a tightening labor market, which threaten to drive
inflation higher. As a result, bond yields rose substantially. However, in
January, long-term Treasuries rallied, responding to the Treasury's debt buyback
program. Other sectors didn't participate in the rally due to mounting credit
concerns.
The Fund's average duration and maturity were lowered over the past year as
interest rates rose in anticipation of Fed tightening. An emphasis on mortgages
enhanced performance as their attractive yields more than offset their decline
in price. Recently, our concentration in GNMA's helped the portfolio as investor
demand for U.S. government guaranteed securities increased. The Fund's
allocation to Treasury Inflation Protection Securities also added to returns as
these bonds outperformed their conventional Treasury counterparts.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year. In our opinion, an
over-leveraged private sector combined with public budget surpluses will
continue to cause credit quality to deteriorate and the Treasury curve to remain
inverted.
Given this outlook, strategies that enhance yield remain key to
performance. Duration will be targeted near the half-year neutral point to
capture additional yield while limiting overall interest rate sensitivity. We
expect to continue to favor select short-term investment-grade corporate issues,
taking advantage of their high yields and minimal additional risk.
21
<PAGE>
March 31, 2000 PIMCO StocksPLUS Fund
OBJECTIVE:
Total return which exceeds that of the S&P 500.
PORTFOLIO:
Primarily S&P 500 Index futures and short-term bonds.
DURATION RANGE:
0-1 year
FUND INCEPTION DATE:
5/14/93
TOTAL NET ASSETS:
$1.5 billion
PORTFOLIO MANAGER:
Bill Gross
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
D Shares Lipper Large-Cap
Core Fund S&P 500
Average Index
--------------------------------------------------------------------------------
1 year 17.32% 21.70% 17.94%
3 years 26.44% 26.08% 27.40%
5 years 26.27% 24.42% 26.76%
Inception 22.04% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO S&P 500
StocksPLUS D Index
<S> <C> <C>
05/31/1993 10,000 10,000
06/30/1993 10,054 10,029
07/31/1993 10,025 9,989
08/31/1993 10,411 10,368
09/30/1993 10,301 10,288
10/31/1993 10,526 10,501
11/30/1993 10,409 10,401
12/31/1993 10,585 10,527
01/31/1994 10,939 10,885
02/28/1994 10,595 10,589
03/31/1994 10,123 10,128
04/30/1994 10,248 10,258
05/31/1994 10,437 10,426
06/30/1994 10,207 10,170
07/31/1994 10,600 10,504
08/31/1994 11,078 10,935
09/30/1994 10,891 10,668
10/31/1994 11,064 10,907
11/30/1994 10,719 10,510
12/31/1994 10,857 10,666
01/31/1995 11,155 10,943
02/28/1995 11,650 11,369
03/31/1995 11,964 11,705
04/30/1995 12,349 12,049
05/31/1995 12,903 12,531
06/30/1995 13,183 12,822
07/31/1995 13,586 13,247
08/31/1995 13,679 13,280
09/30/1995 14,255 13,841
10/31/1995 14,232 13,791
11/30/1995 14,912 14,397
12/31/1995 15,185 14,674
01/31/1996 15,726 15,174
02/29/1996 15,767 15,314
03/31/1996 15,975 15,462
04/30/1996 16,174 15,690
05/31/1996 16,530 16,094
06/30/1996 16,687 16,156
07/31/1996 15,903 15,442
08/31/1996 16,237 15,768
09/30/1996 17,182 16,655
10/31/1996 17,726 17,114
11/30/1996 19,038 18,408
12/31/1996 18,619 18,043
01/31/1997 19,761 19,171
02/28/1997 19,907 19,321
03/31/1997 18,999 18,527
04/30/1997 20,172 19,633
05/31/1997 21,444 20,828
06/30/1997 22,332 21,761
07/31/1997 24,168 23,493
08/31/1997 22,851 22,177
09/30/1997 24,037 23,392
10/31/1997 23,258 22,610
11/30/1997 24,204 23,657
12/31/1997 24,640 24,063
01/31/1998 24,975 24,329
02/28/1998 26,649 26,084
03/31/1998 27,970 27,420
04/30/1998 28,309 27,695
05/31/1998 27,734 27,219
06/30/1998 28,816 28,325
07/31/1998 28,496 28,023
08/31/1998 24,133 23,972
09/30/1998 25,972 25,507
10/31/1998 28,021 27,582
11/30/1998 29,610 29,254
12/31/1998 31,470 30,940
01/31/1999 32,524 32,233
02/28/1999 31,425 31,232
03/31/1999 32,735 32,481
04/30/1999 34,041 33,739
05/31/1999 33,146 32,943
06/30/1999 35,058 34,771
07/31/1999 33,901 33,685
08/31/1999 33,715 33,519
09/30/1999 32,953 32,600
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
</TABLE>
*Past performance is no guarantee of future results. These returns represent the
blended performance of the Fund's Class D shares (for the period from 4/8/98)
and the prior performance of the Fund's institutional class shares, adjusted
for Class D expenses. Class D shares were first offered in April 1998. The Fund
may invest in foreign securities which involve potentially higher risks
including foreign currency fluctuations and political or economic uncertainty.
See page 26 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
1 year or less 1%
1-5 years 97%
5-10 years 0%
10-20 years 2%
20-30 years 0%
Duration 0.5 years
Sector Breakdown
Corporate Bonds & Notes 34.2%
Short-Term Instruments 20.2%
Mortgage-Backed Securities 17.6%
U.S. Treasury Obligations 11.8%
Asset-Backed Securities 5.6%
Other 10.6%
Quality Breakdown
AAA 43.9%
AA 14.3%
A 9.4%
BBB 27.3%
BB 3.7%
B 1.4%
--------------------------------------------------------------------------------
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 1-year period ended March 31, 2000, the Fund's Class D shares
returned 17.32%, slightly underperforming the S&P 500, which returned 17.94%.
The Fund also underperformed the Lipper Large-Cap Core Fund Average.
Over the past year the Federal Reserve lifted interest rates five times to
prevent the economy from overheating in the face of a tightening labor market,
which threatens to drive inflation higher. As a result, short-term bond yields
rose substantially. In response, the Fund's average duration and maturity were
lowered to mitigate the damage from rising rates.
An emphasis on mortgages enhanced performance as their attractive yields
more than offset their decline in price. Recently, our concentration in GNMA's
helped the portfolio as investor demand for U.S. government guaranteed
securities increased. The Fund's allocation to Treasury Inflation Protections
Securities also added to returns as these bonds outperformed their conventional
Treasury counterparts.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year. In our opinion, an
over-leveraged private sector combined with public budget surpluses will
continue to cause credit quality to deteriorate and the Treasury curve to remain
inverted.
Given this outlook, strategies that enhance yield remain key to
performance. Duration will be targeted near the half-year neutral point to
capture additional yield while limiting overall interest rate sensitivity. We
expect to continue to favor select short-term investment-grade corporate issues,
taking advantage of their high yields and minimal additional risk.
22
<PAGE>
March 31, 2000 PIMCO Strategic Balanced Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital.
PORTFOLIO:
S&P Index futures and short-and-intermediate term investment grade bonds.
DURATION RANGE:
0-6 years
FUND INCEPTION DATE:
6/28/96
TOTAL NET ASSETS:
$155.0 million
PORTFOLIO MANAGER:
Bill Gross
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
<TABLE>
<CAPTION>
D Shares Lipper 60% S&P 500 Index Lipper
Balanced 40% Lehman Balanced Bros. S&P 500
Fund Avg. Agg. Bond Index Index Index
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1 year 9.55% 10.48% 11.56% 10.47% 17.94%
3 years 17.66% 14.74% 19.13% 15.55% 27.40%
Inception 17.22% -- -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO Strategic 60% S&P 500/ Lipper S&P 500
Balanced D 40% LBAG Balanced Index
Index
<S> <C> <C> <C> <C>
06/30/1996 10,000 10,000 10,000 10,000
07/31/1996 9,732 9,746 9,743 9,558
08/31/1996 9,881 9,863 9,896 9,760
09/30/1996 10,348 10,264 10,262 10,309
10/31/1996 10,626 10,525 10,480 10,593
11/30/1996 11,213 11,075 10,968 11,394
12/31/1996 11,007 10,902 10,834 11,168
01/31/1997 11,467 11,324 11,165 11,866
02/28/1997 11,532 11,388 11,206 11,959
03/31/1997 11,156 11,057 10,880 11,468
04/30/1997 11,661 11,520 11,208 12,152
05/31/1997 12,145 11,984 11,666 12,892
06/30/1997 12,504 12,363 12,041 13,470
07/31/1997 13,267 13,086 12,726 14,542
08/31/1997 12,798 12,602 12,322 13,727
09/30/1997 13,255 13,090 12,814 14,479
10/31/1997 13,068 12,904 12,581 13,995
11/30/1997 13,409 13,286 12,811 14,643
12/31/1997 13,611 13,477 13,001 14,895
01/31/1998 13,798 13,635 13,092 15,059
02/28/1998 14,345 14,221 13,611 16,145
03/31/1998 14,823 14,678 14,028 16,972
04/30/1998 14,952 14,797 14,125 17,143
05/31/1998 14,787 14,700 13,982 16,848
06/30/1998 15,216 15,109 14,235 17,533
07/31/1998 15,122 15,025 14,068 17,346
08/31/1998 13,711 13,819 12,856 14,838
09/30/1998 14,513 14,480 13,411 15,789
10/31/1998 15,155 15,156 13,913 17,073
11/30/1998 15,631 15,742 14,422 18,108
12/31/1998 16,218 16,305 14,954 19,151
01/31/1999 16,608 16,760 15,193 19,952
02/28/1999 16,063 16,331 14,829 19,332
03/31/1999 16,585 16,759 15,195 20,105
04/30/1999 16,988 17,170 15,693 20,884
05/31/1999 16,636 16,866 15,452 20,391
06/30/1999 17,252 17,406 15,878 21,522
07/31/1999 16,872 17,051 15,581 20,851
08/31/1999 16,806 16,996 15,418 20,747
09/30/1999 16,627 16,796 15,220 20,179
10/31/1999 17,287 17,459 15,662 21,456
11/30/1999 17,458 17,671 15,831 21,892
12/31/1999 18,013 18,261 16,299 23,181
01/31/2000 17,238 17,687 15,890 22,017
02/29/2000 17,097 17,572 15,852 21,600
03/31/2000 18,169 18,696 16,786 23,713
</TABLE>
*Past performance is no guarantee of future results. These returns represent the
blended performance of the Fund's Class D shares (for the period from 4/8/98)
and the prior performance of the Fund's institutional class shares, adjusted
for Class D expenses. Class D shares were first offered in April 1998. Foreign
investing involves potentially higher risks including foreign currency
fluctuations and political or economic uncertainty. See page 26 for Footnotes,
which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
less than 1 year 2%
1-5 years 34%
5-10 years 38%
10-20 years 17%
20-30 years 9%
Duration 1.8 years
Sector Breakdown
Corporate Bonds & Notes 37.4%
Mortgage-Backed Securities 22.0%
Short-Term Instruments 13.7%
U.S. Treasury Obligations 11.7%
Foreign Currency-Denominated Issues 5.2%
Other 10.0%
Quality Breakdown
AAA 48.8%
AA 11.9%
A 19.7%
BBB 16.2%
BB 2.8%
B 0.6%
--------------------------------------------------------------------------------
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 one-year period ended March 31, 2000, the Fund's Class D shares
returned 9.55%, underperforming the Lipper Balanced Fund Average, which returned
10.48%. 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 year the Federal Reserve lifted interest rates five times to
prevent the economy from overheating in the face of a tightening labor market,
which threatens to drive inflation higher. As a result, bond yields across the
yield curve rose substantially. An overweight equity allocation improved
performance relative to the benchmark as the S&P 500 index returned 17.94% as
compared to 1.87% for the Lehman Aggregate Index over the past 12-months.
The equity allocation underperformed the S&P 500 Index mainly due to the
rapid run-up in short-term interest rates, which caused the cash-backing
positions supporting the S&P 500 futures to lose value. The fixed-income
allocation also detracted from relative performance because it remained
underweight of longer maturities where yields rose less and was overweight in
corporate securities, which underperformed Treasuries due to higher yield
premiums demanded by investors.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year.
Looking ahead, we expect to maintain a modest overweight toward equities
given our view of moderating U.S. economic growth and expanding world growth. On
the equity side, duration will be targeted near the neutral point in order to
capture additional yield while limiting overall interest rate sensitivity. On
the fixed-income side, we anticipate keeping duration below the benchmark, but
expect to emphasize longer-term Treasuries and shorter-term instruments to take
advantage of the shape of the yield curve.
23
<PAGE>
March 31, 2000 PIMCO Total Return Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Primarily an intermediate-term portfolio of investment grade bonds.
DURATION RANGE:
3-6 years
FUND INCEPTION DATE:
5/11/87
TOTAL NET ASSETS:
$31.5 billion
PORTFOLIO MANAGER:
Bill Gross
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
D Shares Lipper Inter. Lehman Bros.
Inv. Grade Debt Agg. Bond
Fund Avg. Index
--------------------------------------------------------------------------------
1 year 2.00% 0.99% 1.87%
5 years 7.67% 6.25% 7.14%
10 years 8.87% 7.44% 8.02%
Inception 8.72% -- --
Change in Value
$10,000 invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO Total Lehman
Return D Bros.
Agg.
Bond Index
<S> <C> <C>
05/31/1987 10,000 10,000
06/30/1987 10,125 10,138
07/31/1987 10,098 10,130
08/31/1987 10,072 10,076
09/30/1987 9,819 9,861
10/31/1987 10,129 10,212
11/30/1987 10,201 10,294
12/31/1987 10,291 10,434
01/31/1988 10,708 10,801
02/29/1988 10,828 10,929
03/31/1988 10,729 10,827
04/30/1988 10,671 10,768
05/31/1988 10,615 10,696
06/30/1988 10,867 10,954
07/31/1988 10,849 10,897
08/31/1988 10,899 10,925
09/30/1988 11,103 11,172
10/31/1988 11,275 11,383
11/30/1988 11,172 11,244
12/31/1988 11,218 11,257
01/31/1989 11,354 11,419
02/28/1989 11,279 11,336
03/31/1989 11,330 11,385
04/30/1989 11,580 11,624
05/31/1989 11,859 11,929
06/30/1989 12,256 12,292
07/31/1989 12,512 12,554
08/31/1989 12,293 12,368
09/30/1989 12,352 12,431
10/31/1989 12,645 12,737
11/30/1989 12,752 12,858
12/31/1989 12,775 12,893
01/31/1990 12,558 12,740
02/28/1990 12,588 12,781
03/31/1990 12,575 12,790
04/30/1990 12,394 12,673
05/31/1990 12,797 13,048
06/30/1990 13,011 13,258
07/31/1990 13,219 13,441
08/31/1990 13,007 13,261
09/30/1990 13,018 13,371
10/31/1990 13,195 13,541
11/30/1990 13,525 13,832
12/31/1990 13,759 14,048
01/31/1991 13,892 14,222
02/28/1991 14,083 14,343
03/31/1991 14,257 14,442
04/30/1991 14,487 14,598
05/31/1991 14,591 14,684
06/30/1991 14,610 14,676
07/31/1991 14,817 14,880
08/31/1991 15,216 15,202
09/30/1991 15,572 15,510
10/31/1991 15,728 15,682
11/30/1991 15,860 15,826
12/31/1991 16,396 16,296
01/31/1992 16,258 16,074
02/29/1992 16,398 16,179
03/31/1992 16,331 16,088
04/30/1992 16,412 16,204
05/31/1992 16,749 16,510
06/30/1992 16,957 16,737
07/31/1992 17,367 17,078
08/31/1992 17,511 17,251
09/30/1992 17,784 17,456
10/31/1992 17,624 17,224
11/30/1992 17,635 17,228
12/31/1992 17,940 17,502
01/31/1993 18,266 17,838
02/28/1993 18,670 18,150
03/31/1993 18,775 18,226
04/30/1993 18,934 18,353
05/31/1993 18,974 18,376
06/30/1993 19,382 18,709
07/31/1993 19,496 18,815
08/31/1993 19,935 19,145
09/30/1993 20,011 19,197
10/31/1993 20,149 19,269
11/30/1993 19,967 19,105
12/31/1993 20,129 19,209
01/31/1994 20,369 19,468
02/28/1994 20,000 19,130
03/31/1994 19,572 18,658
04/30/1994 19,374 18,509
05/31/1994 19,277 18,507
06/30/1994 19,202 18,466
07/31/1994 19,592 18,832
08/31/1994 19,643 18,856
09/30/1994 19,390 18,578
10/31/1994 19,362 18,562
11/30/1994 19,361 18,521
12/31/1994 19,349 18,648
01/31/1995 19,691 19,017
02/28/1995 20,148 19,470
03/31/1995 20,336 19,589
04/30/1995 20,687 19,863
05/31/1995 21,337 20,631
06/30/1995 21,320 20,783
07/31/1995 21,326 20,736
08/31/1995 21,651 20,986
09/30/1995 21,917 21,191
10/31/1995 22,243 21,466
11/30/1995 22,719 21,788
12/31/1995 23,106 22,094
01/31/1996 23,290 22,240
02/29/1996 22,718 21,854
03/31/1996 22,536 21,702
04/30/1996 22,437 21,580
05/31/1996 22,372 21,536
06/30/1996 22,725 21,825
07/31/1996 22,780 21,885
08/31/1996 22,754 21,848
09/30/1996 23,271 22,229
10/31/1996 23,869 22,721
11/30/1996 24,428 23,111
12/31/1996 24,117 22,896
01/31/1997 24,202 22,966
02/28/1997 24,250 23,023
03/31/1997 23,950 22,768
04/30/1997 24,376 23,109
05/31/1997 24,620 23,327
06/30/1997 24,903 23,604
07/31/1997 25,592 24,240
08/31/1997 25,365 24,034
09/30/1997 25,771 24,388
10/31/1997 26,075 24,742
11/30/1997 26,189 24,856
12/31/1997 26,491 25,106
01/31/1998 26,896 25,428
02/28/1998 26,815 25,408
03/31/1998 26,898 25,497
04/30/1998 26,998 25,630
05/31/1998 27,306 25,873
06/30/1998 27,565 26,092
07/31/1998 27,650 26,148
08/31/1998 28,085 26,573
09/30/1998 28,919 27,196
10/31/1998 28,716 27,052
11/30/1998 28,817 27,205
12/31/1998 28,987 27,287
01/31/1999 29,155 27,482
02/28/1999 28,613 27,002
03/31/1999 28,850 27,152
04/30/1999 28,986 27,238
05/31/1999 28,667 26,999
06/30/1999 28,612 26,913
07/31/1999 28,498 26,799
08/31/1999 28,515 26,785
09/30/1999 28,826 27,096
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
</TABLE>
*Past performance is no guarantee of future results. These returns represent the
blended performance of the Fund's Class D shares (for the period from 4/8/98)
and the prior performance of the Fund's institutional class shares adjusted for
Class D expenses. Class D shares were first offered in April 1998. The Fund may
invest in foreign securities which involve potentially higher risks including
foreign currency fluctuations and political or economic uncertainty. See page
26 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
less than 1 year 14%
1-5 years 28%
5-10 years 37%
10-20 years 12%
20-30 years 9%
Duration 4.5 years
Sector Breakdown
Mortgage-Backed Securities 38.8%
Corporate Bonds & Notes 35.7%
U.S. Treasury Obligations 9.5%
Asset-Backed Securities 6.0%
Other 10.0%
Quality Breakdown:
AAA 58.6%
AA 7.2%
A 18.1%
BBB 12.2%
BB 3.4%
B 0.5%
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the 1-year period ended March 31, 2000, the Fund's Class D shares returned
2.00%, slightly outperforming the Lehman Aggregate Bond Index, which returned
1.87%. The Fund also outperformed the Lipper Intermediate Investment-Grade Fund
Average, which returned 0.99%.
Over the past year the Federal Reserve lifted interest rates five times to
prevent the economy from overheating in the face of mounting imbalances, such as
skyrocketing stock prices and a tightening labor market, which threaten to drive
inflation higher. As a result, bond yields rose substantially. However, in
January, long-term Treasuries rallied, responding to the Treasury's debt
buy-back program. Other sectors didn't participate in the rally due to mounting
credit concerns.
Yield gathering strategies and a focus on high quality were key to
performance over the past year. Our overweight position mortgage-backed
securities enhanced performance as their attractive yield offset their price
decline.Selective emerging market investments, such as Mexico, which was
upgraded to investment grade, also aided performance. More recently our
migration to longer maturity Treasuries added modestly to performance.
Underweighting corporate issues also helped, as these bonds underperformed amid
supply concerns about credit quality. However, even though duration was kept
below the benchmark, the Fund's intermediate maturity focus hurt performance as
this segment was most effected by Fed tightening.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year. In our opinion, an
over-leveraged private sector combined with public budget surpluses will
continue to cause credit quality to deteriorate and the Treasury curve to remain
inverted.
In this environment, the manager anticipates keeping duration below the
benchmark, but expects to emphasize longer-term Treasuries and shorter-term
instruments to take advantage of the curve shape.
The manager will continue to favor mortgages, but trade up for GNMAs where
possible because the full faith and credit backing of these securities is
valuable given the foreseen scarcity of Treasuries. Due to credit quality
concerns, corporate debt selections will be limited to the highest quality and
most liquid issues. The portfolio may maintain a modest position in short
maturity, top-tier emerging markets, which should benefit from improving growth
prospects.
24
<PAGE>
March 31, 2000 PIMCO Total Return Mortgage Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Intermediate-term mortgage-related securities.
DURATION RANGE:
2-6 years
FUND INCEPTION DATE:
7/31/97
TOTAL NET ASSETS:
$4.1 million
PORTFOLIO MANAGER:
W. Scott Simon
--------------------------------------------------------------------------------
PERFORMANCE*
--------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/00
D Shares Lipper U.S.Mortgage Lehman Bros.
Fund Average Mortgage Index
--------------------------------------------------------------------------------
1 year 3.47% 1.67% 2.25%
Inception 5.91% 4.32% 5.11%
Change in Value of $10,000
Invested at the Fund's inception
[GRAPH]
<TABLE>
<CAPTION>
PIMCO Total Return Lehman
Mortgage D Bros.
Mortgage
Index
<S> <C> <C>
07/31/1997 10,000 10,000
08/31/1997 10,007 9,976
09/30/1997 10,162 10,103
10/31/1997 10,310 10,215
11/30/1997 10,356 10,248
12/31/1997 10,475 10,342
01/31/1998 10,587 10,445
02/28/1998 10,604 10,467
03/31/1998 10,641 10,511
04/30/1998 10,711 10,570
05/31/1998 10,801 10,641
06/30/1998 10,869 10,691
07/31/1998 10,910 10,746
08/31/1998 11,038 10,843
09/30/1998 11,160 10,974
10/31/1998 11,113 10,960
11/30/1998 11,159 11,015
12/31/1998 11,187 11,061
01/31/1999 11,253 11,140
02/28/1999 11,192 11,096
03/31/1999 11,262 11,170
04/30/1999 11,315 11,222
05/31/1999 11,252 11,159
06/30/1999 11,237 11,120
07/31/1999 11,193 11,045
08/31/1999 11,184 11,044
09/30/1999 11,324 11,223
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
</TABLE>
*Past performance is no guarantee of future results. These returns represent the
blended performance of the Fund's Class D shares (for the period from 4/8/98)
and the prior performance of the Fund's institutional class shares, adjusted
for Class D expenses. Class D shares were first offered in April 1998. See page
26 for Footnotes, which include additional details.
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Maturity Profile
1 year or less 15%
1-5 years 29%
5-10 years 43%
10-20 years 3%
20-30 years 10%
Duration 4.3 years
Sector Breakdown
Mortgage-Backed Securities 74.3%
Short-Term Instruments 25.5%
Other 0.2%
Quality Breakdown
AAA 84.0%
AA 13.8%
BBB 2.2%
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
For the 1-year period ended March 31, 2000, the Fund's Class D shares returned
3.47%, solidly outperforming the Lehman Mortgage Index, which returned 2.25%.
The Fund also outperformed its Lipper Average, which returned 1.67%.
Over the past year the Federal Reserve lifted interest rates five times to
prevent the economy from overheating in the face of mounting imbalances, such as
skyrocketing stock prices and a tightening labor market, which threaten to drive
inflation higher. As a result, bond yields, including mortgage-backed securities
rose substantially. In the first quarter, long-term Treasuries rallied,
responding to the Treasury's debt buyback program.
The Fund's lower-than-index duration (sensitivity to changes in interest
rates) helped performance over the course of the year as interest rates rose.
But mortgage-backed securities rallied toward the end of the first quarter as a
flight-to-quality rally ensued in response to concerns over deteriorating credit
quality and increased volatility in the stock market.
An overweight position in GNMA securities helped performance, as investors
preferred the government guarantee that these securities offer. In addition, a
broader-than-index maturity distribution added slightly to returns as the
mortgage yield curve flattened.
We believe the economy will decelerate as higher rates curb growth in the
housing market and investment spending. We expect inflation to rise, but not
break out, as recent commodity and import price increases feed through the
economy. The Fed, concerned that economic growth will continue to outstrip
capacity, will likely continue its restrictive monetary policy and we expect at
least two more quarter point interest rate hikes this year. In our opinion, an
over-leveraged private sector combined with public budget surpluses will
continue to cause credit quality to deteriorate and the Treasury curve to remain
inverted.
In this environment, the manager anticipates keeping duration near the
benchmark, but expects to emphasize longer-term maturities and shorter-term
instruments to take advantage of the shape of the yield curve. The manager will
continue trade up for GNMAs where possible because the full faith and credit
backing of these securities is valuable given the foreseen scarcity of
Treasuries.
25
<PAGE>
--------------------------------------------------------------------------------
FOOTNOTES
--------------------------------------------------------------------------------
A few notes and definitions are needed for a complete understanding of the
performance figures.
Past performance is no guarantee of future results. Investment return will
fluctuate and the value of an investor's shares will fluctuate and may be worth
more or less than original cost when redeemed. Total return measures
performance, assuming that all dividends and capital gains distributions were
reinvested.
Yield is calculated in accordance with current Securities and Exchange
Commission regulations and is based on the one-month period ended March 31,
2000.
Duration is a measurement of a Fund's price sensitivity expressed in years.
The credit quality of the investment in the portfolio does not apply to the
stability or safety of the fund.
Line graphs have been included so an investor can compare a Fund's
historical performance to that of an appropriate broad-based index. Each index
reflects a group of unmanaged securities, and it is not possible to directly
invest in an unmanaged index. The J.P. Morgan Non-U.S. Index (Hedged) is an
index of currency-hedged foreign government bonds. The Lehman Intermediate BB
Rated Corporate Index is an index of intermediate-term bonds with a BB rating.
The Merrill Lynch 1-3 Year Treasury Index is an index made up of U.S. Treasury
issues with maturities from one to three years. The Lehman Inflation Linked
Treasury Index is an index of inflation liked Treasury bonds. The Lehman
Aggregate Bond Index is an index of a variety of bonds. The Lipper Money Market
Index is an index of money market funds. The Standard & Poor's 500 Index is an
index of stocks of companies with large-capitalization stocks. The Lehman
Brothers General Municipal Bond Index is an index representative of the
tax-exempt bond market. Salomon 3-month Treasury Bill Index is an index of
monthly return equivalents of yield averages of the last 3-month Treasury bill
issues. 60% S&P 500/ 40% LBAG Index is comprised of the return of the S&P 500
Index and 40% of the Lehman Brothers Aggregate Bond Index. Lipper Balanced Index
is comprised of convertible bonds. Lehman Brothers Mortgage Index is an index of
fixed rate mortgages issued by GNMA, FNMA, and FHLMC.
Lipper averages are calculated by Lipper, Inc., a nationally recognized
mutual fund performance evaluation firm. They are performance averages of those
funds that are tracked by Lipper, with the investment objective noted. Lipper
rankings are based on total returns, not adjusted for sales charges.
PIMCO Stocks Funds and PIMCO Bond Funds (excluding Municipal Bond) can
invest a portion of their assets in foreign securities, which can entail special
risks due to foreign economic and political developments. These risks can be
enhanced when investing in emerging markets. The Innovation Fund concentrates
its portfolios, making it more volatile than the overall stock market. PIMCO
Bond Funds can invest in lower-rated bonds, which entail special risks such as
less liquidity and possibility of default.
An investment in the Money Market Fund is not insured or guaranteed by the
Federal Deposit Insurance Company or any other government agency. Although the
Fund seeks to preserve the value of your investment at $1.00 per share, it is
possible to lose money by investing in the Fund.
For additional information on the PIMCO equity funds, contact PIMCO Funds
Distributors LLC at 2187 Atlantic Street, Stamford, CT 06902,
www.pimcofunds.com, 1-800-426-0107. Please read the prospectus carefully before
you invest or send money.
26
<PAGE>
Schedule of Investments
California Intermediate Municipal Bond
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 124.0%
--------------------------------------------------------------------------------
California 112.7%
Anaheim, California Public Financing Authority
Revenue Bond, (AMBAC Insured), Series 1999
4.625% due 10/01/2027 $ 150 $ 151
Antioch California Public Financing Authority
Reassessement Revenue, Series 1998
5.500% due 09/02/2008 500 489
California Educational Facilities Authority,
Series 1997 A 5.700% due 10/01/2015 135 138
California Health Facilities Finance Authority Revenue,
Series 1995 4.250% due 07/01/2011 500 500
California Housing Financial Agency
Revenue Bonds, (AMBAC FHA Insured),
Series 1996 5.950% due 02/01/2011 100 104
California Pollution Control Financing Authority,
Series 1999 A 4.500% due 08/01/2003 150 149
California State Department Veteran Affairs
Home Revenue, Series 2000 4.900% due 12/01/2005 500 501
5.000% due 12/01/2006 500 502
California State Department Water Center
Revenue Bonds, Series 1993 8.375% due 12/01/2003 150 170
California State Economic Development Authority
Industrial, Series 1997 3.300% due 08/01/2027 875 875
3.450% due 08/01/2027 380 380
California State General Obligation Bond,
(MBIA Insured), Series 1992 7.500% due 10/01/2007 400 471
California State General Obligation Bond, Series 1998
5.000% due 02/01/2023 120 109
California State General Obligation Bond,
Series 2000 5.250% due 03/01/2013 300 302
5.500% due 03/01/2015 500 507
California State School Improvement Note,
Series 2000 5.250% due 03/01/2005 100 103
5.000% due 03/01/2011 100 100
California State Veterans General Obligation Bond,
Series 1985 - AV 8.000% due 10/01/2005 40 47
California State Veterans General Obligation Bond,
Series 1997 BL 5.300% due 12/01/2012 400 401
Chico California Public Financing Authority Revenue,
(FSA Insured), Series 1996 5.200% due 04/01/2011 485 494
Long Beach, California Harbor Revenue Bonds,
Series 1993 4.700% due 05/15/2004 150 151
Los Angeles, California Airports Improvement Revenue Bonds,
(LOC - Wachovia Bank of Georgia Insured), Series 1984
3.500% due 12/01/2024 (b) 100 100
Los Angeles, California State Building Authority Lease
Revenue Bonds, Series 1999 A 4.600% due 10/01/2007 150 149
Los Angeles, California Unified School District General
Obligation Bonds, (MBIA Insured), Series 1999 C
4.750% due 07/01/2010 30 30
Metropolitan Water District Southern California General
Obligation Bonds, Series 1993 A1 7.250% due 03/01/2007 150 173
Pacific Housing & Finance Agency Revenue Bonds,
(MBIA Insured), Series 1999
4.625% due 12/01/2004 250 248
Redding California Electric System Revenue Partnership,
Series 1993 5.684% due 06/28/2019 500 494
Regional Airports Import Corporation Los Angeles California,
Series 1989 3.600% due 12/01/2025 300 300
Sacramento California Municipal Utility District Revenue,
Series 1983 9.000% due 04/01/2013 960 1,207
San Francisco California City & County Airport Community
Revenue, Series 1998 5.500% due 05/01/2015 300 300
San Francisco California City,
Series 1999 4.750% due 05/01/2004 500 501
San Francisco, CA City & County Airport Revenue Bonds,
(MBIA Insured), Series 1996 8.000% due 05/01/2005 500 573
San Jose, California Unified School District, (MBIA Insured),
Series 1998 4.000% due 08/01/2008 100 93
San Pablo California Redevelopment Agency Revenue,
Series 1979 8.000% due 10/01/2011 145 167
Santa Margarita/Dana Point Authority California Revenue,
(MBIA Insured), Series 1994 7.250% due 08/01/2006 150 171
South Tahoe California Powers Financing Authority,
Series 1999 7.300% due 10/01/2007 150 152
Southern California Public Power Authority Revenue Bonds,
(FSA-CR Insured), Series 1993 5.000% due 07/01/2015 110 105
Stockton California Certificate Participation,
Series 1999 4.750% due 08/01/2006 120 119
---------
11,526
=========
Puerto Rico 11.3%
Puerto Rico Commonwealth Highway & Transportation
Authority, Series 1993 5.200% due 07/01/2003 500 505
Puerto Rico Commonwealth Infrastructure Financing
Authority Revenue Bonds, (AMBAC Insured)
Series 1998 5.250% due 07/01/2010 150 153
Puerto Rico Public Finance Corp. Revenue Bond,
(AMBAC Insured), Series 1998 A 5.000% due 06/01/2007 500 504
---------
1,162
---------
Total Municipal Bonds & Notes 12,688
(Cost $12,616) =========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.0%
--------------------------------------------------------------------------------
Commercial Paper 1.0%
R & T California Money Market
2.660% due 04/03/2000 101 101
---------
Total Short-Term Instruments 101
(Cost $101) =========
Total Investments (a) 125.0% $ 12,789
(Cost $12,717)
Other Assets and Liabilities (Net) (25.0%) (2,561)
---------
Net Assets 100.0% $ 10,228
========
See accompanying notes 27
<PAGE>
Schedule of Investments (Cont.)
California Intermediate Municipal bond
March 31, 2000
--------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $12,717 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 86
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (14)
---------
Unrealized appreciation-net $ 72
=========
(b) Variable rate security. The rate listed is as of March 31, 2000.
28 See accompanying notes
<PAGE>
Schedule of Investments
Foreign Bond Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ARGENTINA (f)(g) 0.4%
--------------------------------------------------------------------------------
Republic of Argentina
5.000% due 12/20/2002 JY 219,000 $ 2,154
--------
Total Argentina 2,154
(Cost $1,716) ========
--------------------------------------------------------------------------------
ARUBA (f)(g) 0.4%
--------------------------------------------------------------------------------
YTP Finance (Aruba)
3.500% due 07/18/2012 JY 200,000 2,001
--------
Total Aruba 2,001
(Cost $1,900) ========
--------------------------------------------------------------------------------
AUSTRALIA (f)(g) 3.0%
--------------------------------------------------------------------------------
Bankers Trust Australia
6.409% due 06/02/2008 (d) $ 4,800 4,658
General Electric Capital Australia Funding
6.750% due 09/15/2007 A $ 750 451
General Motors Acceptance Corp.
3.967% due 03/25/2002 EC 10,300 9,855
Registered Australian Mortgage Securities
4.017% due 09/26/2032 (d) 1,400 1,339
--------
Total Australia 16,303
(Cost $16,641) ========
--------------------------------------------------------------------------------
BELGIUM (f)(g) 0.8%
--------------------------------------------------------------------------------
Kingdom of Belgium
9.000% due 03/28/2003 EC 5 5
6.750% due 11/21/2004 (d) BF 183,200 4,638
--------
Total Belgium 4,643
(Cost $6,064) ========
--------------------------------------------------------------------------------
BRAZIL 0.2%
--------------------------------------------------------------------------------
Government of Brazil
7.000% due 01/01/2001 (d) $ 295 294
6.938% due 04/15/2006 (d) 940 853
--------
Total Brazil 1,147
(Cost $1,135) ========
--------------------------------------------------------------------------------
BULGARIA 0.8%
--------------------------------------------------------------------------------
Republic of Bulgaria
7.063% due 07/28/2011 (d) $ 2,670 2,116
7.063% due 07/28/2024 (d) 2,600 2,090
--------
Total Bulgaria 4,206
(Cost $3,931) ========
--------------------------------------------------------------------------------
CANADA (f)(g) 5.7%
--------------------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 3,440 2,364
Commonwealth of Canada
5.250% due 09/01/2003 (j) 640 430
6.625% due 10/03/2007 N$ 20,830 9,665
6.000% due 06/01/2008 (j) C$ 17,130 11,814
Hydro-Quebec
3.527% due 04/25/2000 DM 5,000 2,444
Providence of Manitoba
11.000% due 08/15/2000 C$ 5,000 3,512
Sears Canada
11.700% due 07/10/2000 1,000 699
--------
Total Canada 30,928
(Cost $33,075) ========
--------------------------------------------------------------------------------
CAYMAN ISLANDS (f)(g) 4.5%
--------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C
5.300% due 09/21/2000 JY 200,000 1,948
Capital Credit Card Corp.
5.625% due 10/15/2004 DM 2,800 1,384
Daiwa International Finance Cayman
5.000% due 12/28/2004 JY 300,000 3,021
MBNA American Euro
3.589% due 05/19/2004 (d) EC 8,100 7,734
Residential Reinsurance
9.761% due 06/01/2000 (d) $ 7,100 7,049
Sakura Capital Funding
7.020% due 09/29/2049 (d) 3,600 3,470
--------
Total Cayman Islands 24,606
(Cost $25,353) ========
--------------------------------------------------------------------------------
COLOMBIA (f)(g) 0.3%
--------------------------------------------------------------------------------
Republic of Colombia
3.000% due 12/22/2000 JY 150,000 1,412
--------
Total Colombia 1,412
(Cost $1,154) ========
--------------------------------------------------------------------------------
DENMARK (f)(g) 1.3%
--------------------------------------------------------------------------------
Danske Kredit Mortgage
5.000% due 10/01/2029 DK 33,112 3,764
Realkredit Danmark Mortgage
5.000% due 10/01/2029 27 3
Unikredit Realkredit
5.000% due 10/01/2029 27,918 3,167
--------
Total Denmark 6,934
(Cost $8,159) ========
--------------------------------------------------------------------------------
FRANCE (f)(g) 1.9%
--------------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 835 792
Republic of France
3.000% due 07/25/2009 (b) 3,078 2,775
4.000% due 10/25/2009 (j) 8,200 7,059
--------
Total France 10,626
(Cost $11,826) ========
--------------------------------------------------------------------------------
GERMANY (f)(g) 6.2%
--------------------------------------------------------------------------------
Barclays Capital Corp.
3.246% due 12/20/2000 DM 2,000 977
Hypothekenbank in Essen AG
4.750% due 08/11/2008 (j) EC 2,360 2,128
Republic of Germany
0.000% due 01/04/2010 (j) 15,668 15,151
6.500% due 07/04/2027 (j) 14,170 15,030
Treuhandanstalt
7.500% due 09/09/2004 (j) 340 358
--------
Total Germany 33,644
(Cost $39,123) ========
--------------------------------------------------------------------------------
GREECE (f)(g) 4.1%
--------------------------------------------------------------------------------
CSFP Credit
6.601% due 11/19/2004 (d) $ 19,000 19,171
Hellenic Finance
2.000% due 07/15/2003 EC 1,600 1,535
Hellenic Republic
10.200% due 05/19/2003 (d) GD 100,000 296
10.180% due 06/17/2003 (d) 107,400 318
10.240% due 10/23/2003 (d) 376,000 1,122
--------
Total Greece 22,442
(Cost $22,938) ========
--------------------------------------------------------------------------------
ITALY (f)(g) 4.0%
--------------------------------------------------------------------------------
Island Finance
4.326% due 03/30/2015 (d) EC 2,300 2,200
Republic of Italy
4.250% due 11/01/2009 (j) 4,110 3,591
6.500% due 11/01/2027 (j) 10,916 11,378
5.250% due 11/01/2029 (j) 5,530 4,871
--------
Total Italy 22,040
(Cost $24,643) ========
See accompanying notes 29
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
JAPAN (f)(g) 1.0%
--------------------------------------------------------------------------------
International Credit Receivable Japan 1 Tranche A
0.478% due 11/22/2004 (d) JY 125,137 $ 1,219
International Credit Receivable Japan 1 Tranche B
0.578% due 11/22/2004 (d) 200,000 1,948
SHL Corp. Ltd.
0.871% due 12/25/2024 (d) 76,000 740
0.540% due 12/25/2024 (d) 137,982 1,377
--------
Total Japan 5,284
(Cost $4,956) ========
--------------------------------------------------------------------------------
MEXICO (f)(g) 2.6%
--------------------------------------------------------------------------------
Petroleos Mexicanos
8.850% due 09/15/2007 $ 1,040 1,011
9.375% due 12/02/2008 1,290 1,325
United Mexican States
6.930% due 04/07/2000 (d) 6,000 6,000
8.750% due 05/30/2002 BP 270 434
10.375% due 01/29/2003 DM 2,575 1,383
4.000% due 03/11/2004 JY 130,000 1,300
7.500% due 03/08/2010 EC 2,300 2,232
6.250% due 12/31/2019 500 428
--------
Total Mexico 14,113
(Cost $14,072) ========
--------------------------------------------------------------------------------
NETHERLANDS (f)(g) 2.2%
--------------------------------------------------------------------------------
Bank of Japan
2.140% due 11/16/2009 JY 200,000 1,950
KPNQWest BV
7.125% due 06/01/2009 EC 3,700 3,479
Mannesmann Finance BV
4.750% due 05/27/2009 3,700 3,163
Tecnost International NV
5.616% due 06/23/2004 (d) 1,430 1,404
Telekomunikacja Polska SA
7.750% due 12/10/2008 $ 2,120 2,058
--------
Total Netherlands 12,054
(Cost $12,614) ========
--------------------------------------------------------------------------------
NEW ZEALAND (f)(g) 2.3%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
7.000% due 07/15/2009 (j) N$ 9,189 4,575
4.500% due 02/15/2016 (b)(j) 16,500 8,036
--------
Total New Zealand 12,611
(Cost $14,033) ========
--------------------------------------------------------------------------------
PANAMA 0.2%
--------------------------------------------------------------------------------
Republic of Panama
8.875% due 09/30/2027 $ 1,100 969
--------
Total Panama 969
(Cost $974) ========
--------------------------------------------------------------------------------
PHILIPPINES (f)(g) 0.7%
--------------------------------------------------------------------------------
Republic of Philippines
8.000% due 09/17/2004 EC 2,420 2,340
6.875% due 12/01/2009 (d) $ 1,368 1,293
--------
Total Philippines 3,633
(Cost $3,932) ========
--------------------------------------------------------------------------------
POLAND 0.0%
--------------------------------------------------------------------------------
Republic of Poland
3.500% due 10/27/2024 (d) $ 105 65
--------
Total Poland 65
(Cost $64) ========
--------------------------------------------------------------------------------
PORTUGAL (f)(g) 1.8%
--------------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 (j) EC 11,770 $ 10,024
--------
Total Portugal 10,024
(Cost $10,981) ========
--------------------------------------------------------------------------------
SOUTH KOREA (f)(g) 1.9%
--------------------------------------------------------------------------------
Korea Development Bank
3.610% due 05/14/2001 (d) DM 7,310 3,525
2.770% due 05/21/2001 JY 400,000 3,974
1.875% due 02/13/2002 13,000 127
Korean ExportImport Bank
7.250% due 06/25/2001 $ 1,945 1,939
6.500% due 02/10/2002 800 776
--------
Total South Korea 10,341
(Cost $10,094) ========
--------------------------------------------------------------------------------
SPAIN (f)(g) 6.2%
--------------------------------------------------------------------------------
Kingdom of Spain
5.150% due 07/30/2009 (j) EC 29,010 27,282
6.000% due 01/31/2029 (j) 6,483 6,394
--------
Total Spain 33,676
(Cost $37,480) ========
--------------------------------------------------------------------------------
SUPRANATIONAL (f)(g) 7.4%
--------------------------------------------------------------------------------
Eurofima
4.750% due 07/07/2004 (j) SK 60,900 6,697
European Investment Bank
7.000% due 12/08/2003 BP 6,300 10,083
6.000% due 11/26/2004 (j) 1,500 2,327
5.375% due 08/28/2007 NK 2,400 264
InterAmerican Development Bank
7.125% due 11/26/2004 BP 1,750 2,833
International Bank for Reconstruction & Development
6.875% due 07/14/2000 2,500 3,987
7.000% due 09/18/2000 N$ 6,400 3,185
7.250% due 04/09/2001 6,400 3,178
7.000% due 06/07/2002 BP 1,100 1,758
7.250% due 05/27/2003 N$ 10,670 5,202
World Bank
10.250% due 04/11/2002 PP 31,000 712
--------
Total Supranational 40,226
(Cost $43,035) ========
--------------------------------------------------------------------------------
SWEDEN (f)(g) 0.9%
--------------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 11,200 1,418
5.000% due 01/15/2004 (j) 14,100 1,619
0.000% due 04/01/2004 (b) 18,911 1,995
--------
Total Sweden 5,032
(Cost $5,235) ========
--------------------------------------------------------------------------------
TUNISIA (f)(g) 0.3%
--------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 1,500 1,459
--------
Total Tunisia 1,459
(Cost $1,525) ========
--------------------------------------------------------------------------------
UNITED KINGDOM (f)(g) 5.8%
--------------------------------------------------------------------------------
Abbey National Treasury Service
7.625% due 12/30/2002 BP 1,770 2,851
5.250% due 01/21/2004 2,670 4,008
Bank of Scotland Capital Fund
8.117% due 03/31/2049 850 1,352
Halifax Group Euro Finance
7.627% due 12/29/2049 (d) EC 800 776
Halifax Group Sterling Finance
7.881% due 12/29/2049 (d) BP 4,050 6,643
30 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
HAUS Limited
3.850% due 12/10/2037 (d) EC 8,500 $ 8,130
Polestar Corp. plc
10.500% due 05/30/2008 BP 170 264
SCCR Series 1 Ltd.
3.500% due 05/15/2000 (d) IL 15,380,000 7,595
--------
Total United Kingdom 31,619
(Cost $33,712) ========
--------------------------------------------------------------------------------
UNITED STATES (f)(g) 73.6%
--------------------------------------------------------------------------------
AssetBacked Securities 6.0%
AES Corp.
8.688% due 05/19/2001 $ 1,500 1,498
AFC Home Equity Loan Trust
6.099% due 03/25/2027 (d) 975 976
Americredit Automobile Receivable Trust
5.880% due 12/05/2003 250 248
AM FM, Inc.
7.500% due 11/19/2001 750 747
7.688% due 11/19/2001 750 747
Amresco Residential Securities Mortgage Loan Trust
6.595% due 06/25/2029 (d) 5,880 5,902
Banc One Auto Grantor Trust
6.270% due 11/20/2003 432 430
6.290% due 07/20/2004 665 660
Bayview Financial Acquisition
6.429% due 02/25/2029 (d) 400 400
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 280 280
Contimortgage Home Equity Loan Trust
6.174% due 10/15/2012 (d) 1,047 1,046
6.010% due 12/25/2013 8,510 8,455
Daimler-Benz Vehicle Trust
5.230% due 12/20/2001 703 703
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 71 70
EQCC Home Equity Loan Trust
5.770% due 03/20/2029 2,767 2,747
6.321% due 03/20/2029 609 609
First Security Auto Owner Trust
5.311% due 04/15/2002 524 524
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 21 21
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 2,468 2,437
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 1,630 1,598
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 1,043 1,033
Voicestream
8.837% due 02/15/2009 2,000 1,978
---------
33,109
=========
Corporate Bonds & Notes 19.4%
Abbey National Capital Trust I
8.963% due 12/29/2049 (d) 2,000 2,043
AES Corp.
10.250% due 07/15/2006 394 384
Associates Corp. of North America
6.210% due 08/27/2001 (d) 5,000 4,998
AT&T Capital Corp.
6.310% due 04/23/2002 (d) 675 677
Bancomext Trust Division
8.000% due 08/05/2003 390 385
Beckman Instruments, Inc.
7.100% due 03/04/2003 344 329
Buckeye Technologies, Inc.
8.000% due 10/15/2010 394 361
Building Materials Corp.
7.750% due 07/15/2005 247 219
8.000% due 10/15/2007 267 232
Calpine Corp.
7.875% due 04/01/2008 485 457
Capital One Bank
6.750% due 07/28/2003 (d) 12,000 11,995
Century Communications Corp.
0.000% due 03/15/2003 537 395
CMS Energy
8.125% due 05/15/2002 385 380
CSC Holdings, Inc.
9.875% due 04/01/2023 385 393
DaimlerChrysler Holdings
6.380% due 08/23/2002 (d) 3,900 3,913
DQE Capital Corp.
6.539% due 01/15/2002 (d) 800 800
Echostar DBS Corp.
9.250% due 02/01/2006 488 472
Finova Capital Corp.
6.390% due 06/18/2003 (d) 5,700 5,698
Flag Ltd.
8.250% due 01/30/2008 385 343
Ford Motor Credit Co.
1.200% due 02/07/2005 JY 619,000 5,957
Garden State Newspapers
8.750% due 10/01/2009 $ 360 322
General Motors Acceptance Corp.
6.251% due 04/05/2004 (d) 2,800 2,792
6.251% due 04/05/2004 (d) 16,420 16,420
6.875% due 09/09/2004 BP 4,080 6,471
1.250% due 12/20/2004 JY 208,000 2,009
Gold Eagle
11.453% due 04/16/2001 $ 2,500 2,497
Goldman Sachs Group
6.640% due 02/19/2004 (d) 1,430 1,451
Hollinger International Publishing
8.625% due 03/15/2005 294 279
Household Finance Corp.
5.125% due 06/24/2009 EC 4,900 4,329
J.P. Morgan & Co.
6.430% due 02/15/2012 $ 6,780 6,065
Jones Intercable, Inc.
8.875% due 04/01/2007 427 445
KBC Bank Fund Trust IV
8.220% due 11/29/2049 EC 800 809
Lehman Brothers Holdings, Inc.
6.700% due 11/30/2006 (d) $ 905 835
McLeodUSA, Inc.
8.125% due 02/15/2009 585 518
MGM Grand, Inc.
6.950% due 02/01/2005 180 165
Navistar International Corp.
8.000% due 02/01/2008 329 307
Polymer Group, Inc.
9.000% due 07/01/2007 329 288
Protective Life Funding Trust
6.390% due 01/17/2003 (d) 1,200 1,200
Rogers Cantel, Inc.
8.300% due 10/01/2007 385 391
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (b)(d) 12,891 12,664
6.320% due 02/11/2003 (d) 400 400
Silgan Holdings, Inc.
9.000% due 06/01/2009 335 315
Sprint Capital Corp.
5.875% due 05/01/2004 690 654
Texas Utilities Co.
7.105% due 09/24/2001 2,600 2,614
TV Guide, Inc.
8.125% due 03/01/2009 335 332
Unisys Corp.
12.000% due 04/15/2003 485 514
World Color Press, Inc.
8.375% due 11/15/2008 206 206
---------
105,723
=========
Mortgage Backed Securities 18.0%
Bank of America Mortgage Securities
6.500% due 05/25/2029 307 287
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 2,858 2,819
See accompanying notes 31
<PAGE>
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 $ 2,571 $ 2,529
6.500% due 03/25/2029 140 127
Crusade Global Trust
6.400% due 02/15/2030 (d) 14,400 14,436
Federal Home Loan Mortgage Corp.
6.000% due 03/15/2008 890 874
6.811% due 06/01/2022 (d) 1,499 1,554
7.080% due 08/01/2022 (d) 859 888
6.500% due 09/15/2022 77 75
Federal Home Loan Mortgage Corp.
9.050% due 06/15/2019 61 62
Federal National Mortgage Assn.
6.914% due 07/01/2021 (d) 877 910
7.415% due 11/01/2022 (d) 1,016 1,050
7.574% due 01/01/2023 (d) 1,389 1,420
7.045% due 08/01/2023 (d) 1,142 1,187
General Electric Capital Corp.
5.125% due 01/12/2004 BP 6,230 9,328
General Electric Capital Mortgage Services, Inc.
6.250% due 07/25/2029 $ 500 477
Government National Mortgage Assn.
7.125% due 11/20/2021 (d) 588 598
6.375% due 05/20/2022 (d) 53 54
6.750% due 07/20/2022 (d) 605 609
6.750% due 09/20/2022 (d) 396 400
6.375% due 05/20/2023 (d) 589 591
6.750% due 07/20/2023 (d) 674 679
6.750% due 07/20/2023 (d) 329 331
6.750% due 08/20/2023 (d) 309 312
6.750% due 09/20/2023 (d) 1,805 1,815
6.750% due 09/20/2023 (d) 772 776
7.125% due 10/20/2023 (d) 3,330 3,380
7.125% due 10/20/2024 (d) 265 269
6.375% due 04/20/2025 (d) 192 192
6.750% due 07/20/2025 (d) 4,499 4,514
6.750% due 09/20/2025 (d) 856 859
7.125% due 12/20/2025 (d) 333 337
6.750% due 09/20/2026 (d) 702 708
6.375% due 04/20/2027 (d) 1,733 1,731
7.000% due 04/19/2030-05/24/2030 (d)(e) 11,700 7,493
7.500% due 04/19/2030 5,900 5,847
Independent National Mortgage Corp.
8.432% due 11/25/2024 (d) 26 26
Medallion Trust
6.471% due 03/17/2031 (d) 5,900 5,900
Morgan Stanley Mortgage Trust
8.150% due 07/20/2021 1 1
Prudential Home Mortgage Securities
6.800% due 05/25/2024 448 406
Residential Funding Mortgage Securities, Inc.
6.500% due 06/25/2029 1,235 1,049
6.560% due 05/12/2032 (d) 15,400 15,389
Sasco Floating Rate Commercial Mortgage
6.280% due 11/20/2001 (d) 2,995 3,002
Structured Asset Mortgage Investments, Inc.
6.585% due 06/25/2029 (d) 3,220 3,193
---------
98,484
=========
Municipal Bonds & Notes 0.2%
Massachusetts State Turnpike Authority Metro
Highway System, (MBIA Insured), Series 1997
5.000% due 01/01/2037 1,000 861
---------
U.S. Government Agencies (f)(g) 13.1%
Federal Home Loan Bank
0.000% due 05/12/2000 (d) $ 24,600 24,600
5.663% due 02/15/2002 (d) 14,000 13,758
Federal National Mortgage Assn.
6.875% due 06/07/2002 (j) BP 10,230 16,326
7.250% due 06/20/2002 (j) N$ 14,850 7,335
6.500% due 07/10/2002 (j) A$ 14,100 8,482
5.500% due 12/07/2003 (j) BP 700 1,071
---------
71,572
=========
U.S. Treasury Obligations 15.7%
Treasury Inflation Protected Securities (b)(j)
3.625% due 07/15/2002 $ 82,092 $81,860
U.S. Treasury Bonds
8.125% due 08/15/2021 (j) 1,040 1,279
U.S. Treasury Notes
5.125% due 08/31/2000 2,475 2,464
--------
85,603
========
Preferred Security 1.2%
Shares
DG Funding Trust
6.183% due 12/29/2049 (d) 6,400 6,425
--------
Total United States 401,777
(Cost $405,343) ========
--------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.0%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
U.S. Dollar vs. Eurodollar (OTC)
Strike @ 1.050 Exp. 07/28/2000 $ 44,950 179
---------
Total Purchased Call Options 179
(Cost $523) =========
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 2.3%
--------------------------------------------------------------------------------
Eurodollar March Futures (CME)
Strike @ 90.75 due 03/19/2001 500 8
Interest Rate Swap (OTC)
Strike @ 7.500% due 04/29/2002 11,200 493
U.S. Treasury Note (OTC)
Strike @ 100.656 due 04/05/2000
5.250% due 05/31/2001 119,800 2,352
U.S. Treasury Note (OTC)
Strike @ 105.531 due 04/05/2000
5.625% due 05/15/2008 102,100 9,515
---------
Total Purchased Put Options 12,368
(Cost $15,021) =========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.4%
--------------------------------------------------------------------------------
Certificates of Deposit 1.2%
Commerzbank AG
6.200% due 05/10/2000 6,550 6,550
---------
Repurchase Agreement 0.2%
State Street Bank
5.600% due 04/03/2000 1,286 1,286
---------
(Dated 03/31/2000. Collateralized by
Federal Home Loan Bank 6.000% due
08/15/2002 valued at $1,315.
Repurchase proceeds are $1,287.)
U.S. Treasury Bills 0.0%
5.600% due 04/27/2000 125 125
---------
Total Short-Term Instruments 7,961
(Cost $7,961) ---------
Total Investments (a) 144.2% $786,477
(Cost $819,213)
Written Options (c) (0.2%) (806)
(Premiums $473)
Other Assets and Liabilities (Net) (44.0%) (240,146)
---------
Net Assets 100.0% $545,525
---------
<PAGE>
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes of $819,500 was as
follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 4,058
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (37,081)
--------
Unrealized depreciation-net $(33,023)
========
(b) Principal amount of the security is adjusted for inflation.
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Put - OTC Eurodollar vs. Japanese Yen
Strike @ 102.00 Exp. 05/01/2000 $ 4,200,000 $ 84 $198
Put - OTC 3 Month LIBOR Interest Rate Swap
Strike @ 7.500% Exp. 04/29/2002 16,000,000 362 598
Put - OTC Australian Dollar vs. US Dollar
Strike @ 0.575 Exp. 06/01/2000 7,850,000 27 10
---------------
$473 $806
===============
(d) Variable rate security. The rate listed is as of March 31, 2000.
(e) Securities are grouped together by coupon or range of coupons and represent
a range of maturities.
(f) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
----------------------------------------------------------------------
Buy A$ 9,997 04/2000 $ 16
Sell 17,035 04/2000 69
Buy 5,241 05/2000 (17)
Buy BP 5,471 04/2000 106
Sell 37,733 04/2000 (626)
Buy C$ 16,370 04/2000 152
Sell 16,310 04/2000 (57)
Sell 10,170 06/2000 (42)
Sell DK 63,700 04/2000 81
Buy EC 8,695 04/2000 (96)
Sell 92,196 04/2000 1,227
Sell GD 719 04/2000 31
Buy H$ 121,638 09/2000 1
Sell 121,638 09/2000 (117)
Buy 48,140 10/2000 3
Sell 48,140 10/2000 (41)
Buy HF 202,000 08/2000 (35)
Buy 1,248,000 01/2001 (310)
Buy JY 2,341,693 04/2000 767
Sell 1,433,693 04/2000 (527)
Sell 4,238,992 05/2000 (1,186)
Buy N$ 6,277 04/2000 13
Sell 83,847 04/2000 (443)
Buy 39,772 05/2000 (187)
Sell 32,890 05/2000 (325)
Sell NK 4,160 05/2000 4
Buy PZ 1,200 04/2000 9
Sell 1,200 04/2000 (2)
Buy 14,414 01/2001 (21)
Buy 8,090 02/2001 60
Buy 7,500 03/2001 28
Sell SK 75,060 04/2000 (48)
--------
$(1,513)
========
(g) Principal amount denoted in indicated currency:
A$ - Australian Dollar
BF - Belgian Franc
BP - British Pound
C$ - Canadian Dollar
DK - Danish Krone
DM - German Mark
EC - Euro
GD - Greek Drachma
H$ - Hong Kong Dollar
IL - Italian Lira
HF - Hungarian Forint
JY - Japanese Yen
N$ - New Zealand Dollar
NK - Norwegian Krone
PP - Philippine Peso
PZ - Polish Zloty
SK - Swedish Krona
(h) Securities with an aggregate market value of $2,589 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
---------------------------------------------------------------------
10 Year EURO-Bond (06/2000) 216 584
Government of Japan 10 Year Note (06/2000) 128 1,292
Eurodollar March Futures (03/2001) 147 (33)
U.S. Treasury 10 Year Note (06/2000) 28 (77)
------
$1,766
======
(i) Swap agreements outstanding at March 31, 2000:
Notional Unrealized
Type Amount Appreciation
----------------------------------------------------------------------
Receive fixed rate equal to 6.949% and
pay floating rate based on 6 month LIBOR.
Broker: Merrill Lynch BP 4,500 $ 6
Exp. 08/06/2003
(j) Subject to financing transaction.
(k) Reverse repurchase agreements were entered into March 27, 2000 paying
interest at 6.05%. The following securities were segregated with collateral for
reverse repurchase agreements.
Type Maturity Value
--------------------------------------------------------------------------------
Government National Mortgage Assn. 6.750% 09/20/2023 $4,514
See accompanying notes 33
<PAGE>
Schedule of Investments
High Yield Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 83.8%
--------------------------------------------------------------------------------
Banking & Finance 7.9%
Amethyst Financial Co. Ltd.
11.750% due 10/29/2001 $ 5,000 $ 5,000
Arvin Capital
9.500% due 02/01/2027 19,000 18,201
Bay View Capital Corp.
9.125% due 08/15/2007 6,700 5,276
CMS Energy
10.875% due 12/15/2004 1,250 1,200
Crown Castle International Corp.
13.250% due 11/15/2007 2,250 1,564
DLJ Secured Loan Trust
10.125% due 07/07/2007 10,000 9,850
Forest City Enterprises
8.500% due 03/15/2008 12,350 11,053
Frontiervision LP
11.000% due 10/15/2006 2,000 2,065
Fuji Bank
9.870% due 12/31/2049 (b) 36,000 35,820
General Motors Acceptance Corp.
6.165% due 04/29/2002 (b) 800 800
Golden State Holdings
7.000% due 08/01/2003 205 189
7.125% due 08/01/2005 870 770
Host Marriott LP
8.375% due 02/15/2006 5,060 4,579
Mercury Finance Co.
10.000% due 03/23/2001 37,200 36,084
10.743% due 03/23/2001 21,350 20,710
Nextel Partners, Inc.
0.000% due 02/01/2009 (c) 17,750 11,360
Presidential Life Insurance Corp.
7.875% due 02/15/2009 12,750 11,640
Project Orange Funding
10.500% due 09/15/2007 2,806 2,722
Reliance Group Holdings
9.000% due 11/15/2000 4,778 4,479
Stone Container Corp.
11.500% due 08/15/2006 4,850 5,098
Sumitomo Bank Treasury Co.
9.400% due 12/29/2049 (b) 30,300 30,332
Telewest Credit Link
10.875% due 02/07/2005 5,000 5,077
Trizec Finance Ltd.
10.875% due 10/15/2005 17,461 17,548
Willis Corroon Corp.
9.000% due 02/01/2009 13,700 10,207
----------
251,624
==========
Industrials 67.9%
Abbey Healthcare Group
9.500% due 11/01/2002 11,945 11,617
Adelphia Business Solution
12.250% due 06/01/2004 6,500 6,760
Advanced Lighting
8.000% due 03/15/2008 10,425 8,783
AEI Holding Co.
10.500% due 12/15/2005 11,380 2,504
Agriculture Minerals & Chemicals
10.750% due 09/30/2003 3,000 2,325
Airtrust
0.000% due 06/01/2013 12,942 4,790
Allied Waste Industries, Inc.
7.875% due 03/15/2005 2,000 1,813
Allied Waste North America, Inc.
7.375% due 01/01/2004 15,100 12,986
7.625% due 01/01/2006 19,525 16,108
7.875% due 01/01/2009 15,250 12,200
American Airlines
10.610% due 03/04/2010 650 740
American Axle & Manufacturing, Inc.
9.750% due 03/01/2009 8,550 8,251
American Standard, Inc.
7.125% due 02/15/2003 200 190
7.375% due 02/01/2008 8,700 7,874
9.250% due 12/01/2016 4,778 4,718
Amerigas Partners LP
10.125% due 04/15/2007 3,000 3,060
Amphenol Corp.
9.875% due 05/15/2007 7,095 7,271
Applied Power, Inc.
8.750% due 04/01/2009 19,280 19,810
Archibald Candy Corp.
10.250% due 07/01/2004 4,000 3,790
AT&T Canada, Inc.
10.625% due 11/01/2008 9,600 10,718
Ball Corp.
7.750% due 08/01/2006 8,750 8,247
8.250% due 08/01/2008 7,600 7,030
Beckman Instruments, Inc.
7.100% due 03/04/2003 5,031 4,810
7.450% due 03/04/2008 16,470 15,226
Benedek Communications Corp.
0.000% due 05/15/2006 (c) 1,500 1,343
Beverly Enterprises, Inc.
9.000% due 02/15/2006 18,075 15,545
Browning-Ferris Industries, Inc.
6.100% due 01/15/2003 4,100 3,700
Buckeye Technologies, Inc.
8.000% due 10/15/2010 10,129 9,268
Building Materials Corp.
7.750% due 07/15/2005 15,967 14,171
8.625% due 12/15/2006 1,235 1,167
8.000% due 10/15/2007 2,067 1,798
8.000% due 12/01/2008 23,250 20,053
Cadmus Communications Corp.
9.750% due 06/01/2009 5,600 5,474
Call-Net Enterprises, Inc.
8.000% due 08/15/2008 6,900 4,865
9.375% due 05/15/2009 5,400 4,077
Canadian Forest Oil Ltd.
8.750% due 09/15/2007 4,900 4,545
Century Communications Corp.
9.500% due 08/15/2000 600 602
0.000% due 03/15/2003 12,437 9,141
8.750% due 10/01/2007 3,800 3,496
CF Cable TV, Inc.
9.125% due 07/15/2007 9,000 9,557
Charter Communications Holding LLC
8.250% due 04/01/2007 13,750 12,358
10.000% due 04/01/2009 17,850 17,315
Chattem, Inc.
8.875% due 04/01/2008 4,950 4,208
Circus Circus Enterprises
6.750% due 07/15/2003 20,500 18,348
9.250% due 12/01/2005 6,100 5,826
Clark R & M, Inc.
8.375% due 11/15/2007 3,000 2,205
Clearnet Communications
0.000% due 05/01/2009 (c) 6,000 3,405
Columbus McKinnon
8.500% due 04/01/2008 17,500 15,575
Consolidated Container
10.125% due 07/15/2009 7,650 7,574
Container Corp. of America
9.750% due 04/01/2003 1,000 1,010
11.250% due 05/01/2004 3,770 3,845
Continental Cablevision
9.500% due 08/01/2013 10,000 10,908
Cross Timbers Oil Co.
9.250% due 04/01/2007 4,440 4,218
34 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CSC Holdings, Inc.
9.250% due 11/01/2005 $ 1,000 $ 1,005
9.875% due 05/15/2006 850 869
7.875% due 12/15/2007 100 97
7.250% due 07/15/2008 50 46
9.875% due 02/15/2013 6,100 6,222
7.875% due 02/15/2018 9,000 8,418
9.875% due 04/01/2023 4,037 4,118
Cumberland Farms
10.500% due 10/01/2003 5,906 5,581
Dade International, Inc.
11.125% due 05/01/2006 1,400 1,330
Delta Air Lines, Inc.
10.790% due 03/26/2014 2,264 2,472
Diamond Cable Communication Co.
13.250% due 09/30/2004 2,000 2,130
0.000% due 12/15/2005 (b)(c) 10,000 9,400
Diamond Cable Communications Co.
10.750% due 02/15/2007 10,100 7,777
Dunlop Stand Aerospace Holdings
11.875% due 05/15/2009 3,900 3,959
Echostar Communications Corp.
9.250% due 02/01/2006 33,687 32,508
9.375% due 02/01/2009 6,875 6,669
Embotelladora Arica SA
9.875% due 03/15/2006 22,000 22,777
Emmis Communications Corp.
8.125% due 03/15/2009 7,750 7,245
Energis PLC
9.750% due 06/15/2009 7,500 7,463
Extended Stay America
9.150% due 03/15/2008 11,500 10,293
Extendicare Health Services
9.350% due 12/15/2007 5,950 3,273
EZ Communication, Inc.
9.750% due 12/01/2005 2,500 2,653
Federal-Mogul Corp.
7.500% due 07/01/2004 29,000 25,175
7.375% due 01/15/2006 150 122
7.750% due 07/01/2006 11,350 9,293
Ferrellgas Partners LP
9.375% due 06/15/2006 14,436 14,147
Fisher Scientific International
7.125% due 12/15/2005 13,750 11,963
9.000% due 02/01/2008 36,795 33,666
Flag Telecom Holding Ltd.
11.625% due 03/30/2010 20,200 19,190
Focal Communications
11.875% due 01/15/2010 3,400 3,434
Forest Oil Corp.
10.500% due 01/15/2006 3,585 3,639
Fox/Liberty Networks LLC
0.000% due 08/15/2007 (c) 9,750 7,849
Fred Meyer, Inc.
7.450% due 03/01/2008 400 387
Garden State Newspapers
8.750% due 10/01/2009 22,428 20,073
8.625% due 07/01/2011 8,900 7,821
Georgia Gulf Corp.
7.625% due 11/15/2005 1,250 1,189
Global Crossing Ltd.
6.000% due 10/15/2003 10,085 9,348
Globalstar LP
11.375% due 02/15/2004 100 38
11.250% due 06/15/2004 1,500 570
Globe Telecom
13.000% due 08/01/2009 5,100 5,636
Golden Northwest Aluminum
12.000% due 12/15/2006 2,850 2,978
Grupo Televisa SA
11.375% due 05/15/2003 1,300 1,443
11.875% due 05/15/2006 500 593
13.250% due 05/15/2008 (c) 6,475 6,394
Gulf Canada Resources
9.250% due 01/15/2004 10,975 11,095
9.625% due 07/01/2005 1,680 1,684
8.375% due 11/15/2005 4,000 3,900
Harnischfeger Industrial, Inc.
8.900% due 03/01/2022 4,300 1,828
7.250% due 12/15/2025 7,500 3,188
Harrahs Operating Co., Inc.
7.875% due 12/15/2005 5,400 5,022
7.500% due 01/15/2009 20,675 19,111
HMH Properties, Inc.
7.875% due 08/01/2005 24,270 21,449
8.450% due 12/01/2008 6,350 5,548
Hollinger International Publishing
9.250% due 02/01/2006 4,400 4,136
Holmes Products Corp.
9.875% due 11/15/2007 2,950 2,080
Horseshoe Gaming Holding
8.625% due 05/15/2009 21,200 19,504
HS Resources, Inc.
9.875% due 12/01/2003 1,000 990
9.250% due 11/15/2006 5,250 5,053
Huntsman Corp.
9.500% due 07/01/2007 12,700 11,398
Huntsman Packaging Corp.
9.125% due 10/01/2007 9,550 9,073
Impsat Corp.
12.375% due 06/15/2008 10,900 9,565
Intermedia Communications, Inc.
0.000% due 05/15/2006 (c) 31,535 29,564
International Game Technology
7.875% due 05/15/2004 14,700 13,781
8.375% due 05/15/2009 14,000 12,810
ISP Holdings, Inc.
9.750% due 02/15/2002 250 238
9.000% due 10/15/2003 22,370 21,531
ITC Deltacom, Inc.
11.000% due 06/01/2007 5,385 5,573
ITT Corp.
6.250% due 11/15/2000 1,500 1,477
J Seagram & Sons
6.526% due 04/10/2000 (b) 1,900 1,872
J.Q. Hammons Hotels
8.875% due 02/15/2004 3,200 2,848
Jones Intercable, Inc.
8.875% due 04/01/2007 5,060 5,277
JPS Automotive Products
11.125% due 06/15/2001 6,500 6,663
Jupiters Ltd.
8.500% due 03/01/2006 12,600 11,750
K Mart Corp.
12.350% due 01/01/2008 4,026 4,061
8.800% due 07/01/2010 1,250 1,198
9.350% due 01/02/2020 14,911 13,688
9.780% due 01/05/2020 9,575 9,832
K-III Communications Co.
8.500% due 02/01/2006 9,940 9,493
KPNQWest BV
8.125% due 06/01/2009 32,000 30,880
L-3 Communications Corp.
10.375% due 05/01/2007 6,450 6,433
Lear Corp.
8.250% due 02/01/2002 6,410 6,282
Lenfest Communications
8.375% due 11/01/2005 10,650 11,095
10.500% due 06/15/2006 525 587
Level 3 Communications, Inc.
11.000% due 03/15/2008 5,500 5,280
9.125% due 05/01/2008 31,450 27,126
Levi Strauss & Co.
6.800% due 11/01/2003 27,350 18,051
Leviathan Gas Corp.
10.375% due 06/01/2009 2,925 2,998
See accompanying notes 35
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Lin Holdings Corp.
0.000% due 03/01/2008 (b) $ 19,250 $ 11,887
Lin Television Corp.
8.375% due 03/01/2008 9,300 8,091
Lyondell Chemical Co.
9.625% due 05/01/2007 28,150 26,883
Magnum Hunter Resources, Inc.
10.000% due 06/01/2007 1,900 1,682
Mail-Well Corp.
8.750% due 12/15/2008 20,030 17,526
Mark IV Industries, Inc.
7.500% due 09/01/2007 6,730 6,190
Market Hub Partners
8.250% due 03/01/2008 11,580 10,712
Marsh Supermarkets, Inc.
8.875% due 08/01/2007 9,500 8,835
McDermott, Inc.
9.375% due 03/15/2002 4,955 4,494
McLeodUSA, Inc.
0.000% due 03/01/2007 (c) 43,325 34,118
8.375% due 03/15/2008 5,100 4,590
9.500% due 11/01/2008 13,625 13,080
8.125% due 02/15/2009 4,837 4,281
Metromedia Fiber Network, Inc.
10.000% due 11/15/2008 14,795 14,129
10.000% due 12/15/2009 15,100 14,477
Metronet Communications
0.000% due 06/15/2008 (c) 16,475 13,156
MGM Grand, Inc.
6.950% due 02/01/2005 31,170 28,643
MJD Communications, Inc.
9.500% due 05/01/2008 7,875 7,324
Navistar International Corp.
8.000% due 02/01/2008 2,023 1,886
Newpark Resources, Inc.
8.625% due 12/15/2007 4,050 3,503
Nextel Communications
9.375% due 11/15/2009 51,250 47,406
Nextlink Communications, Inc.
10.750% due 06/01/2009 11,425 10,968
NL Industries, Inc.
11.750% due 10/15/2003 1,950 2,021
Nortek, Inc.
9.875% due 03/01/2004 2,205 2,078
8.875% due 08/01/2008 1,500 1,350
NTL, Inc.
12.750% due 04/15/2005 700 711
0.000% due 02/01/2006 (c) 21,350 19,749
11.500% due 10/01/2008 7,400 7,622
Nuevo Grupo Iuscell
10.000% due 07/15/2004 1,000 983
Octel Developments PLC
10.000% due 05/01/2006 900 878
Orion Network Systems, Inc.
0.000% due 01/15/2007 (c) 23,100 10,742
11.250% due 01/15/2007 14,625 9,872
P&L Coal Holdings
8.875% due 05/15/2008 28,800 26,136
Packaging Corp. of America
9.625% due 04/01/2009 9,525 9,430
Packard Bioscience Co.
9.375% due 03/01/2007 4,350 3,893
Perry-Judd
10.625% due 12/15/2007 4,270 3,277
Petroleos Mexicanos
8.402% due 07/15/2005 (b) 8,600 8,493
9.375% due 12/02/2008 8,000 8,220
Pharmerica, Inc.
8.375% due 04/01/2008 15,650 9,547
Phar-Mor, Inc.
11.720% due 09/11/2002 7,005 5,989
Physician Sales and Service, Inc.
8.500% due 10/01/2007 9,250 8,556
Piedmont Aviation
10.250% due 03/28/2005 821 820
Pioneer National Resources
8.875% due 04/15/2005 20,100 20,062
8.250% due 08/15/2007 5,750 5,536
6.500% due 01/15/2008 6,950 5,997
Players International, Inc.
10.875% due 04/15/2005 250 261
Polymer Group, Inc.
9.000% due 07/01/2007 19,278 16,868
8.750% due 03/01/2008 12,950 11,461
Price Communications Wireless, Inc.
9.125% due 12/15/2006 2,125 2,072
Pride International, Inc.
9.375% due 05/01/2007 3,100 2,984
Primedia, Inc.
10.250% due 06/01/2004 4,000 4,100
7.625% due 04/01/2008 8,250 7,466
Qwest Communications International, Inc.
0.000% due 10/15/2007 (c) 13,040 10,631
0.000% due 02/01/2008 (c) 10,550 8,176
R & B Falcon Corp.
6.500% due 04/15/2003 7,500 6,863
9.250% due 04/15/2005 2,500 2,188
R.H. Donnelly, Inc.
9.125% due 06/01/2008 5,175 4,942
Racers
8.375% due 10/01/2007 22,042 20,004
Renaissance Media Group
0.000% due 04/15/2008 (c) 21,250 14,131
Rogers Cablesystems Ltd.
10.000% due 03/15/2005 4,000 4,180
Rogers Cantel Mobile Communications, Inc.
9.375% due 06/01/2008 23,250 23,657
Rogers Cantel, Inc.
8.800% due 10/01/2007 1,350 1,316
8.300% due 10/01/2007 287 291
Safety-Kleen Services
9.250% due 06/01/2008 29,475 3,979
9.250% due 05/15/2009 15,000 1,350
Salem Communications
9.500% due 10/01/2007 5,400 5,049
Satelites Mexicanos
10.030% due 06/30/2004 (b) 7,881 6,502
10.125% due 11/01/2004 1,500 1,189
SC International Services, Inc.
9.250% due 09/01/2007 19,450 18,040
Scotia Pacific Co. LLC
7.710% due 01/20/2014 180 150
Sequa Corp.
9.000% due 08/01/2009 7,550 7,040
Silgan Holdings, Inc.
9.000% due 06/01/2009 16,683 15,682
Smithfield Foods
7.625% due 02/15/2008 5,950 5,176
Smith's Food & Drug Centers, Inc.
8.640% due 07/02/2012 8,815 9,170
9.200% due 07/02/2018 7,250 7,613
Station Casinos, Inc.
10.125% due 03/15/2006 2,000 2,015
9.750% due 04/15/2007 6,850 6,730
8.875% due 12/01/2008 4,000 3,700
Sterling Chemicals, Inc.
12.375% due 07/15/2006 10,500 10,763
Stone Container Corp.
9.875% due 02/01/2001 2,000 2,008
10.750% due 10/01/2002 10,150 10,289
11.500% due 10/01/2004 2,000 2,093
Telewest Communications plc
9.625% due 10/01/2006 11,250 10,913
0.000% due 10/01/2007 (b)(c) 10,949 10,291
9.250% due 04/15/2009 20,500 11,993
9.875% due 02/01/2010 6,750 6,640
36 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Tenet Healthcare Corp.
7.875% due 01/15/2003 $ 1,000 $ 963
8.625% due 12/01/2003 1,500 1,471
8.000% due 01/15/2005 6,595 6,265
8.625% due 01/15/2007 3,500 3,325
7.625% due 06/01/2008 20,090 17,982
TFM SA de CV
0.000% due 06/15/2009 (c) 7,800 5,480
Tierra Industries
10.500% due 06/15/2005 2,000 1,500
Total Renal Care Holdings
7.000% due 05/15/2009 20,100 11,759
Trans-Resources, Inc.
0.000% due 03/15/2008 (c) 5,250 1,286
10.750% due 03/15/2008 14,650 8,863
Triad Hospitals, Inc.
11.000% due 05/15/2009 2,595 2,614
TV Guide, Inc.
8.125% due 03/01/2009 18,223 18,041
U.S. Air, Inc.
9.625% due 09/01/2003 16,083 14,860
9.330% due 01/01/2006 5,411 5,633
Unisys Corp.
12.000% due 04/15/2003 3,937 4,176
7.875% due 04/01/2008 4,000 3,800
United Defense Industry, Inc.
8.750% due 11/15/2007 4,000 3,710
United Pan-Europe Communications NV
10.650% due 11/01/2007 11,500 10,753
0.000% due 02/01/2009 (c) 6,690 4,047
10.875% due 08/01/2009 14,300 13,228
13.750% due 02/01/2010 8,500 4,293
Vectura Group, Inc.
10.250% due 06/30/2008 275 235
Vintage Petroleum
9.000% due 12/15/2005 10,490 10,202
9.750% due 06/30/2009 6,350 6,317
Voicestream Wireless Corp.
10.375% due 11/15/2009 9,200 9,200
Western Gas Resources, Inc.
10.000% due 06/15/2009 7,100 7,207
Westinghouse Air Brake
9.375% due 06/15/2005 4,685 4,580
Westpoint Stevens, Inc.
7.875% due 06/15/2005 6,000 5,270
7.875% due 06/15/2008 17,450 14,638
Williams Communications Group, Inc.
6.540% due 11/15/2001 6,100 6,100
10.700% due 10/01/2007 4,600 4,606
10.875% due 10/01/2009 5,750 5,707
World Color Press, Inc.
8.375% due 11/15/2008 13,650 13,659
7.750% due 02/15/2009 3,750 3,595
Worldwide Fiber, Inc.
12.000% due 08/01/2009 7,250 6,888
Young Broadcasting, Inc.
9.000% due 01/15/2006 20,200 18,281
8.750% due 06/15/2007 4,510 3,969
----------
2,153,775
==========
Utilities 8.0%
AES Corp.
10.250% due 07/15/2006 6,264 6,106
8.500% due 11/01/2007 7,300 6,423
9.500% due 06/01/2009 1,350 1,303
Alestra SA
12.125% due 05/15/2006 12,100 12,130
Azurix Corporation
10.375% due 02/15/2007 22,350 22,350
Bayan Telecommunications
13.500% due 07/15/2006 2,000 1,690
Beaver Valley Funding Corp.
9.000% due 06/01/2017 29,800 30,440
Calpine Corp.
9.250% due 02/01/2004 13,000 13,098
15.000% due 03/15/2004 10,000 11,035
7.625% due 04/15/2006 4,500 4,185
8.750% due 07/15/2007 15,600 15,553
7.875% due 04/01/2008 8,287 7,800
7.750% due 04/15/2009 800 743
Chesapeake Energy Corp.
9.625% due 05/01/2005 1,000 933
CMS Energy
8.125% due 05/15/2002 4,537 4,473
7.000% due 01/15/2005 9,500 8,682
Flag Ltd.
8.250% due 01/30/2008 19,212 17,099
ITC Deltacom, Inc.
8.875% due 03/01/2008 13,300 12,552
L-3 Communication Corp.
8.500% due 05/15/2008 400 359
Mastec, Inc.
7.750% due 02/01/2008 7,250 6,688
MJD Communications, Inc.
10.321% due 05/01/2008 (b) 4,500 4,336
Nextlink Communications, Inc.
10.500% due 12/01/2009 10,000 9,525
Philippine Long Distance Telephone Co.
10.500% due 04/15/2009 11,550 11,384
Qwest Communications International, Inc.
7.500% due 11/01/2008 7,500 7,290
Rural Cellular Corp.
9.625% due 05/15/2008 12,300 11,870
Telekomunikacja Polska SA
7.750% due 12/10/2008 13,950 13,542
Telewest Communication PLC
11.250% due 11/01/2008 1,000 1,025
Wilmington Trust Co. - Tucson Electric
10.211% due 01/01/2009 (d) 500 515
10.732% due 01/01/2013 (d) 8,866 9,162
----------
252,291
----------
Total Corporate Bonds & Notes 2,657,690
(Cost $2,910,616) ==========
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.0%
--------------------------------------------------------------------------------
Hawaii 0.0%
Hawaii State Airports System Revenue,
(MBIA Insured), Series 1991
7.875% due 08/01/2008 1,000 848
----------
Total Municipal Bonds & Notes 848
(Cost $872) ==========
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 2.6%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 1.3%
Asset Securitization Corp.
7.384% due 08/13/2029 1,500 1,413
Federal Deposit Insurance Corp.
7.064% due 11/25/2026 (b) 400 352
Green Tree Financial Corp.
8.000% due 07/15/2018 7,000 6,490
LTC Commercial Corp.
7.970% due 04/15/2028 5,062 4,687
NationsBanc Mortgage Capital Corp.
8.035% due 05/25/2028 (b) 3,835 2,699
NationsLink Funding Corp.
7.105% due 01/20/2013 10,500 7,796
Red Mountain Funding Corp.
9.150% due 11/28/2027 5,727 4,628
Resolution Trust Corp.
9.050% due 08/25/2023 14 14
6.900% due 02/25/2027 6,213 5,660
7.000% due 05/25/2027 5,862 5,776
----------
39,515
==========
See accompanying notes 37
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Other Mortgage-Backed Securities 1.2%
LTC Commercial Corp.
9.200% due 08/04/2023 $ 3,235 $ 3,288
Resolution Trust Corp.
7.408% due 09/25/2020 (b) 253 238
Sasco Floating Rate Commercial Mortgage
6.364% due 04/25/2003 (b) 34,800 32,196
Structured Asset Securities Corp.
7.050% due 11/25/2007 4,000 3,571
----------
39,293
==========
Stripped Mortgage-Backed Securities 0.1%
Federal National Mortgage Association (IO)
6.000% due 07/25/2005 222 2
7.000% due 07/25/2008 2,832 351
6.500% due 06/25/2017 686 21
7.000% due 04/25/2019 12,000 1,062
7.000% due 12/25/2021 4,325 527
Fund America (IO)
9.590% due 10/20/2021 7 18
----------
1,981
----------
Total Mortgage-Backed Securities 80,789
(Cost $83,023) ==========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 5.0%
--------------------------------------------------------------------------------
Airplanes Pass Through Trust
10.875% due 03/15/2019 28,256 23,914
AM-FM, Inc.
8.750% due 06/15/2007 5,650 5,650
12.750% due 02/01/2009 5,550 4,967
Amresco Residential Securities Mortgage Loan Trust
7.875% due 09/25/2028 (b) 4,250 4,091
Apria Healthcare Group, Inc.
9.640% due 08/09/2001 4,683 4,577
Charter Commercial Holdings LLC
8.540% due 03/31/2008 2,297 2,278
8.580% due 03/31/2008 2,703 2,680
Columbia/HCA Healthcare
6.125% due 12/15/2000 2,000 1,965
7.880% due 09/15/2001 20,000 19,649
6.910% due 06/15/2005 1,250 1,134
7.000% due 07/01/2007 3,350 2,954
8.360% due 04/15/2024 6,000 5,517
6.730% due 07/15/2045 5,000 4,635
Conseco Finance
9.300% due 10/15/2030 10,000 10,094
Crown Castle
8.840% due 03/31/2008 3,000 2,995
Huntsman Corp.
8.830% due 12/31/2005 3,000 2,993
Jefferson Smurfit
9.375% due 03/31/2006 756 756
Lyondell Petroleum
9.613% due 12/31/2003 (b) 18,810 18,959
Morgan Stanley Aircraft Finance
8.700% due 03/15/2023 21,750 18,957
Rural Cellular Corp.
8.989% due 10/30/2008 2,500 2,489
9.239% due 04/30/2009 2,500 2,489
Stone Container Corp.
9.383% due 10/01/2005 710 709
9.633% due 10/01/2005 1,290 1,288
TFM SA de CV
10.220% due 06/30/2003 (b) 3,591 3,515
Triad Hospitals, Inc.
9.950% due 12/31/2005 (b) 1,975 1,973
10.120% due 12/31/2005 7,950 7,941
----------
Total Asset-Backed Securities 159,169
(Cost $168,071) ==========
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 0.4%
--------------------------------------------------------------------------------
United Mexican States
9.875% due 02/01/2010 10,000 10,600
----------
Total Sovereign Issues 10,600
(Cost $9,957) ==========
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 1.0%
--------------------------------------------------------------------------------
Industrial 1.0%
Hercules Trust VI
8.625% due 12/29/2000 (b) 25,550 25,543
Pride International, Inc.
0.000% due 04/24/2018 11,750 5,301
----------
Total Convertible Bonds & Notes 30,844
(Cost $29,141) ==========
--------------------------------------------------------------------------------
PREFERRED STOCK 3.2%
--------------------------------------------------------------------------------
Shares
CSC Holdings, Inc.
11.125% due 04/02/2008 188,674 20,283
Fresenius Medical Care
7.875% due 02/01/2008 43,400 38,679
9.000% due 12/01/2006 29,995 28,495
Newscorp Overseas Ltd.
8.625% due 12/31/2049 133,200 2,614
Primedia, Inc.
9.200% due 11/01/2009 70,000 6,317
8.625% due 04/01/2010 50,000 4,313
Sig Capital Trust
9.500% due 08/15/2027 7,000 1,593
----------
Total Preferred Stock 102,294
(Cost $117,760) ==========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 2.1%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 2.1%
Abbott Laboratories
6.500% due 01/26/2001 $ 6,500 6,468
Province of British Columbia
6.100% due 06/01/2000 2,700 2,672
Dominion Residential, Inc.
6.150% due 05/01/2000 13,700 13,634
Exxon Mobil
6.050% due 04/14/2000 14,000 13,974
Heinz Corp.
6.050% due 05/03/2000 1,600 1,592
6.050% due 05/17/2000 3,600 3,573
Motorola, Inc.
6.090% due 06/30/2000 13,500 13,294
Oesterreich Konterbank
6.080% due 06/15/2000 6,200 6,120
Reseau Ferre De France
6.120% due 05/30/2000 1,600 1,584
6.120% due 06/05/2000 3,000 2,968
Xerox Credit Corp.
6.090% due 06/06/2000 1,000 989
----------
Total Short-Term Instruments 66,868
(Cost $66,880) ==========
Total Investments (a) 98.1% $3,109,102
(Cost $3,386,320)
Other Assets and Liabilities (Net) 1.9% 61,291
----------
Net Assets 100.0% $3,170,393
==========
38 See accompanying notes
<PAGE>
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized
appreciation (depreciation) of investments based
on cost for federal income tax purposes of
$3,387,281 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 15,845
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (294,024)
---------
Unrealized depreciation-net $(278,179)
=========
(b) Variable rate security. The rate listed is as of March 31, 2000.
(c) Security becomes interest bearing at a future date.
(d) Restricted security.
See accompanying notes 39
<PAGE>
Schedule of Investments
Low Duration Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 58.7%
--------------------------------------------------------------------------------
Banking & Finance 31.0%
American General Finance
6.875% due 12/14/2001 $ 25,000 $ 24,765
Aristar, Inc.
7.375% due 09/01/2004 19,000 18,796
Associates Corp. of North America
6.210% due 08/27/2001 (d) 1,000 1,000
6.875% due 06/20/2002 20,000 19,711
6.950% due 08/01/2002 1,000 990
AT&T Capital Corp.
7.500% due 11/15/2000 6,200 6,218
6.310% due 04/23/2002 (d) 10,000 10,028
Banc One Corp.
7.250% due 08/01/2002 500 498
Banco Latinoamericano SA
6.750% due 03/01/2001 1,300 1,284
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 1,800 1,719
BankAmerica Corp.
7.200% due 09/15/2002 100 99
7.875% due 12/01/2002 100 101
Bear Stearns Co., Inc.
6.750% due 08/15/2000 5,000 4,994
6.740% due 06/28/2001 (d) 2,000 2,005
6.510% due 12/16/2002 (d) 21,000 20,999
6.125% due 02/01/2003 3,000 2,885
6.596% due 03/28/2003 (d) 8,600 8,605
6.200% due 03/30/2003 9,700 9,325
6.521% due 06/01/2004 (d) 3,000 3,011
Beneficial Corp.
6.110% due 01/09/2002 (d) 10,000 10,034
6.650% due 09/12/2002 5,000 4,911
6.575% due 12/16/2002 5,440 5,320
Bombardier Capital, Inc.
6.000% due 01/15/2002 10,000 9,724
7.500% due 08/15/2004 1,000 989
Capital One Bank
6.280% due 02/20/2001 6,500 6,444
7.000% due 04/30/2001 300 299
Case Credit Corp.
5.910% due 02/19/2001 4,000 3,949
5.850% due 02/20/2001 (d) 63,000 62,161
5.930% due 02/26/2001 5,000 4,935
6.393% due 08/01/2001 (d) 4,750 4,743
Caterpillar Financial Service Corp.
6.875% due 08/01/2004 1,000 975
Chase Manhattan Corp.
5.560% due 10/13/2000 (d) 7,500 7,512
5.500% due 02/15/2001 1,000 986
Chrysler Financial Co. LLC
5.850% due 01/26/2001 5,000 4,955
6.144% due 08/08/2002 (d) 8,000 8,007
CIT Group, Inc.
6.200% due 10/20/2000 17,300 17,231
5.875% due 06/18/2001 19,400 19,083
Credit Asset Receivable
6.274% due 10/31/2003 37,439 36,592
Export-Import Bank Korea
6.500% due 11/15/2006 6,700 6,385
Finova Capital Corp.
6.450% due 06/01/2000 12,200 12,183
6.270% due 09/29/2000 2,700 2,681
First Security Corp.
7.701% due 06/01/2005 (d) 4,600 4,600
Ford Motor Credit Corp.
6.341% due 03/19/2002 (d) 18,857 18,907
6.300% due 07/16/2002 (d) 100 100
6.520% due 08/12/2002 13,000 12,744
6.330% due 03/17/2003 (d) 3,000 3,000
6.125% due 04/28/2003 14,000 13,494
General Motors Acceptance Corp.
7.125% due 05/01/2001 15,000 14,987
6.211% due 09/19/2001 (d) 5,000 5,009
6.230% due 12/10/2001 (d) 7,400 7,396
6.165% due 04/29/2002 (d) 2,000 2,001
6.199% due 11/12/2002 (d) 17,400 17,367
6.299% due 11/12/2002 (d) 63,520 63,605
5.875% due 01/22/2003 500 480
6.681% due 07/20/2003 (d) 14,934 14,920
6.251% due 04/05/2004 (d) 700 698
Goldman Sachs Group
6.200% due 12/15/2000 1,000 995
Great Western Financial
8.600% due 02/01/2002 4,000 4,049
Heller Financial, Inc.
6.435% due 08/08/2000 2,500 2,496
6.300% due 04/28/2003 (d) 20,000 19,919
Hitachi Credit America
6.100% due 04/24/2001 25,000 24,777
Household Finance Corp.
6.490% due 04/09/2001 20,000 19,856
6.125% due 07/15/2002 10,000 9,726
7.625% due 01/15/2003 10,849 10,837
6.125% due 02/27/2003 1,500 1,437
6.506% due 06/24/2003 (d) 1,500 1,499
Industrial Bank of Korea
8.375% due 09/30/2002 5,000 4,980
Key Bank NA
6.052% due 04/24/2003 12,900 12,425
Korea Development Bank
7.125% due 09/17/2001 11,900 11,767
7.900% due 02/01/2002 1,300 1,296
7.625% due 10/01/2002 18,500 18,244
8.008% due 06/16/2003 (d) 3,500 3,430
6.625% due 11/21/2003 20,300 19,251
7.125% due 04/22/2004 1,800 1,729
7.375% due 09/17/2004 1,200 1,161
Korean Export-Import Bank
6.500% due 02/10/2002 7,200 6,987
7.100% due 03/15/2007 3,200 3,160
Lehman Brothers Holdings, Inc.
6.138% due 06/01/2001 (d) 1,500 1,500
6.904% due 04/02/2002 (d) 2,000 2,012
6.375% due 05/07/2002 28,345 27,667
6.798% due 05/07/2002 (d) 5,000 5,018
6.690% due 12/12/2002 (d) 1,500 1,504
6.690% due 04/04/2003 (d) 7,900 8,016
7.000% due 05/15/2003 3,600 3,531
Marsh & McLennan Co., Inc.
6.625% due 06/15/2004 1,000 967
MBNA America Bank NA
6.000% due 12/26/2000 5,000 4,952
6.875% due 07/15/2004 1,900 1,837
Mercury Finance Co.
10.000% due 03/23/2001 4,400 4,268
Merrill Lynch & Co.
6.250% due 07/25/2000 2,150 2,149
6.298% due 09/25/2000 (d) 2,100 2,102
6.234% due 09/30/2000 (d) 8,558 8,553
6.000% due 01/15/2001 1,336 1,324
6.710% due 11/26/2001 (d) 115,000 114,969
6.140% due 01/15/2002 (d) 5,000 4,954
6.508% due 02/08/2002 (d) 25,000 25,065
6.300% due 02/04/2003 (d) 23,000 22,701
6.130% due 04/07/2003 7,770 7,491
Mexico Credit Link
11.384% due 02/22/2002 (d) 5,000 5,035
Morgan Stanley, Dean Witter, Discover and Co.
6.328% due 03/11/2003 (d) 5,000 4,985
PNC Bank Corp.
6.224% due 01/24/2002 (d) 20,000 19,981
Popular North American, Inc.
6.875% due 06/15/2001 5,000 4,950
7.375% due 09/15/2001 20,000 19,884
40 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Popular, Inc.
6.200% due 04/30/2001 $ 1,000 $ 984
Prudential Funding Corp.
6.240% due 10/02/2000 (d) 5,000 5,008
Rothmans Holdings
6.500% due 05/06/2003 14,000 13,327
Salomon, Inc.
7.500% due 02/01/2003 3,000 3,001
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (f)(h) 1,064 1,045
6.279% due 05/14/2002 (d) 25,150 25,113
6.320% due 07/23/2002 (d) 5,100 5,094
Security Pacific Corp.
11.500% due 11/15/2000 3,850 3,953
Seismic Ltd.
10.790% due 01/01/2002 (d) 10,000 10,000
SGE Associates
8.070% due 07/20/2000 3,249 3,250
Spieker Properties
6.650% due 12/15/2000 5,070 5,028
6.800% due 05/01/2004 2,000 1,895
Toyota Motor Credit Corp.
5.707% due 02/15/2002 11,600 11,299
Transamerica Finance Corp.
6.125% due 11/01/2001 5,000 4,895
5.920% due 03/29/2002 52,050 50,423
Travelers Group, Inc.
7.250% due 05/01/2001 3,700 3,700
7.300% due 05/15/2002 15,000 14,964
Wachovia Corp.
6.805% due 05/02/2005 (d) 8,000 8,000
Wells Fargo Co.
6.750% due 05/12/2000 1,000 1,000
6.780% due 05/02/2005 (d) 32,700 32,700
------------
1,236,555
============
Industrials 14.2%
Allied Waste North America, Inc.
7.375% due 01/01/2004 5,000 4,300
AMR Corp.
9.910% due 03/01/2001 2,500 2,555
9.440% due 05/15/2001 5,000 5,094
9.125% due 10/24/2001 1,000 1,019
Boise Cascade Co.
9.850% due 06/15/2002 3,000 3,081
Burlington North Santa Fe
6.050% due 03/15/2001 2,000 1,972
Case Credit Corp.
6.318% due 05/05/2000 (d) 17,750 17,752
Century Communications Corp.
0.000% due 03/15/2003 5,250 3,859
Coastal Corp.
6.569% due 03/06/2002 (d) 32,200 32,200
Container Corp. of America
11.250% due 05/01/2004 7,500 7,650
Crown Cork & Seal
7.125% due 09/01/2002 33,000 32,159
CSX Corp.
9.500% due 08/01/2000 380 382
Delta Air Lines, Inc.
9.875% due 05/15/2000 4,100 4,110
9.800% due 12/16/2000 250 252
8.500% due 09/15/2001 205 207
Dillards, Inc.
6.080% due 08/01/2000 5,000 4,962
Eastman Chemical Co.
6.375% due 01/15/2004 250 237
Electric Lightwave, Inc.
6.050% due 05/15/2004 3,000 2,859
EZ Communication, Inc.
9.750% due 12/01/2005 5,000 5,305
Federal-Mogul Corp.
7.500% due 07/01/2004 28,600 24,828
Ford Motor Co.
9.000% due 09/15/2001 500 511
Fred Meyer, Inc.
7.150% due 03/01/2003 13,500 13,209
Global Crossing Ltd.
6.000% due 10/15/2003 5,000 4,634
Gold Eagle
9.003% due 04/16/2001 20,000 19,976
Grupo Televisa SA
13.250% due 05/15/2008 (i) 5,850 5,777
Hertz Corp.
6.625% due 07/15/2000 100 100
HMH Properties, Inc.
7.875% due 08/01/2005 5,000 4,419
Houghton Mifflin Co.
6.501% due 12/01/2000 (d) 18,000 17,992
IBM Corp.
6.375% due 06/15/2000 100 100
IMEXSA Export Trust
10.125% due 05/31/2003 8,286 8,086
International Paper Co.
6.875% due 07/10/2000 6,000 5,988
ISP Holdings, Inc.
9.750% due 02/15/2002 3,000 2,858
J Seagram & Sons
6.250% due 12/15/2001 52,000 50,750
Levi Strauss & Co.
6.800% due 11/01/2003 2,500 1,650
Lockheed Martin Corp.
6.850% due 05/15/2001 5,300 5,232
Nabisco, Inc.
6.000% due 02/15/2001 (d) 21,000 20,700
6.700% due 06/15/2002 21,100 20,590
NL Industries, Inc.
11.750% due 10/15/2003 3,000 3,109
Noranda, Inc.
6.820% due 08/18/2000 (d) 1,000 1,002
Norfolk Southern Corp.
6.700% due 05/01/2000 2,500 2,499
Occidental Petroleum
6.400% due 04/01/2003 15,945 15,200
Owens-Illinois, Inc.
7.850% due 05/15/2004 15,000 14,416
Petroleos Mexicanos
8.402% due 07/15/2005 (d) 15,173 14,984
9.375% due 12/02/2008 5,500 5,651
Philip Morris Cos., Inc.
9.000% due 01/01/2001 7,000 7,060
7.500% due 01/15/2002 200 196
7.250% due 01/15/2003 4,050 3,894
R & B Falcon Corp.
6.500% due 04/15/2003 11,000 9,955
Rollins Truck Leasing Co.
8.000% due 02/15/2003 3,000 3,036
Starwood Hotel & Resorts
6.750% due 11/15/2005 2,000 1,793
Stone Container Corp.
10.750% due 10/01/2002 11,080 11,232
9.500% due 10/01/2003 2,363 2,362
Supervalu, Inc.
9.750% due 06/15/2004 10,500 11,025
TCI Communications, Inc.
6.850% due 03/11/2003 (d) 3,000 3,066
Tenet Healthcare Corp.
7.875% due 01/15/2003 4,300 4,139
8.625% due 12/01/2003 9,700 9,510
Time Warner, Inc.
7.975% due 08/15/2004 1,200 1,223
8.110% due 08/15/2006 2,400 2,465
Union Oil Co. of California
9.100% due 08/15/2001 3,350 3,431
Union Pacific Corp.
7.000% due 06/15/2000 1,000 999
Waste Management, Inc.
6.500% due 05/14/2004 45,000 40,257
See accompanying notes 41
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Whitman Corp.
6.250% due 05/01/2000 $ 3,000 $ 3,000
6.000% due 05/01/2004 6,500 6,161
Williams Communications Group, Inc.
6.540% due 11/15/2001 6,200 6,200
Xerox Corp.
5.875% due 06/01/2000 3,000 2,995
Yorkshire Power
6.154% due 02/25/2003 40,000 38,136
----------
566,351
==========
Utilities 13.5%
Arkansas Power & Light
6.000% due 10/01/2003 450 427
Beaver Valley Funding Corp.
8.250% due 06/01/2003 3,410 3,385
Burlington Resources
9.625% due 06/15/2000 13,900 13,957
Calpine Corp.
9.250% due 02/01/2004 2,960 2,982
7.625% due 04/15/2006 6,000 5,674
Cinergy Corp.
6.125% due 04/15/2004 13,000 12,228
Cleveland Electric Illuminating Co.
8.550% due 11/15/2001 2,075 2,109
7.850% due 07/30/2002 3,500 3,496
9.500% due 05/15/2005 2,000 2,031
CMS Energy
8.125% due 05/15/2002 2,700 2,662
7.625% due 11/15/2004 14,500 13,472
Connecticut Light & Power Co.
7.875% due 06/01/2001 500 500
7.750% due 06/01/2002 21,500 21,456
8.590% due 06/05/2003 10,000 9,677
Conoco, Inc.
5.900% due 04/15/2004 3,100 2,951
Cox Enterprises, Inc.
6.625% due 06/14/2002 3,000 2,923
Entergy Mississippi
7.750% due 02/15/2003 35,000 35,067
Flag Ltd.
8.250% due 01/30/2008 2,000 1,750
Hughes Electric
7.451% due 10/23/2000 28,500 28,474
Illinois Power Co.
6.250% due 07/15/2002 10,000 9,717
6.000% due 09/15/2003 12,500 11,869
Louisiana Power & Light Co.
7.740% due 07/01/2002 3,308 3,290
MCI Worldcom, Inc.
6.270% due 08/17/2000 (d) 100,000 100,017
8.875% due 01/15/2006 45,170 47,068
New Century Energies, Inc.
5.860% due 05/30/2000 12,100 12,075
Niagara Mohawk Power
7.000% due 10/01/2000 20,717 20,678
7.125% due 07/01/2001 1,512 1,492
7.250% due 10/01/2002 16,634 16,432
Noram Energy
7.500% due 08/01/2000 12,300 12,309
North Atlantic Energy
9.050% due 06/01/2002 4,066 4,029
Occidental Petroleum
6.240% due 11/24/2000 5,000 4,954
Ohio Edison
6.375% due 04/01/2000 1,900 1,900
Public Service Enterprise Group, Inc.
6.330% due 11/22/2000 (d) 10,000 10,000
Southwestern Bell Communication Capital Corp.
6.125% due 03/12/2001 2,000 1,983
Texas New Mexico Power
9.250% due 09/15/2000 1,599 1,609
Texas Utilities Co.
6.735% due 04/20/2000 (d) 10,000 10,005
5.940% due 10/15/2001 13,155 12,897
6.750% due 04/01/2003 3,875 3,796
6.875% due 08/01/2005 2,000 1,948
U.S. West Communications, Inc.
5.650% due 11/01/2004 9,250 8,618
United Illuminating Co.
6.000% due 12/15/2003 13,000 12,133
Western Massachusetts Electric
7.375% due 07/01/2001 5,250 5,225
7.750% due 12/01/2002 10,300 10,392
Western Resources, Inc.
6.250% due 08/15/2003 5,450 4,692
WorldCom, Inc.
6.125% due 08/15/2001 45,000 44,443
-------- ----------
538,792
----------
Total Corporate Bonds & Notes 2,341,698
(Cost $2,376,563) ==========
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.3%
--------------------------------------------------------------------------------
New York 0.3%
New York City Refunding Bonds, Series 1998 B
5.900% due 08/01/2000 13,000 12,952
----------
Total Municipal Bonds & Notes 12,952
(Cost $12,999) ==========
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.3%
--------------------------------------------------------------------------------
Small Business Administration
7.000% due 01/25/2013 (d) 261 263
7.250% due 02/25/2014 (d) 813 848
Student Loan Marketing Assn.
5.129% due 06/30/2000 (d) 46,000 45,994
5.909% due 04/25/2006 (d) 9,146 9,112
6.565% due 04/25/2007 (d) 34,828 34,657
----------
Total U.S. Government Agencies 90,874
(Cost $91,013) ==========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 11.0%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (h)(j)
3.625% due 07/15/2002 147,248 146,834
3.375% due 01/15/2007 37,052 35,674
3.625% due 01/15/2008 120,599 117,433
3.875% due 01/15/2009 96,584 95,587
4.250% due 01/15/2010 30,079 30,680
U.S. Treasury Notes
5.125% due 08/31/2000 (b) 11,575 11,524
----------
Total U.S. Treasury Obligations 437,732
(Cost $436,866) ==========
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 29.8%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 11.0%
Cendant Mortgage Corp.
6.500% due 09/18/2029 572 563
Chase Commercial Mortgage Securities Corp.
7.600% due 12/18/2005 190 191
6.900% due 09/19/2006 135 131
Chase Mortgage Finance Corp.
10.000% due 11/25/2009 199 201
6.500% due 06/25/2013 6,952 6,771
6.203% due 04/25/2025 (d) 3,779 3,841
6.750% due 07/25/2028 11,250 10,595
6.350% due 07/25/2029 5,000 4,887
CMC Securities Corp. IV
7.250% due 10/25/2027 12,141 11,806
Collateralized Mortgage Obligation Trust
6.375% due 01/20/2003 (d) 6 6
Commercial Mortgage Acceptance Corp.
6.790% due 08/15/2008 1,249 1,214
Commercial Trust
6.670% due 12/15/2003 4,313 4,067
42 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Countrywide Funding Corp.
5.875% due 01/25/2035 (d) $ 3,496 $ 3,467
Countrywide Home Loans
6.250% due 07/25/2009 822 816
6.900% due 12/25/2027 18,168 17,531
Criimi Mae Financial Corp.
7.000% due 01/01/2033 8,509 8,326
CS First Boston Mortgage Securities Corp.
6.400% due 02/17/2004 143 140
6.520% due 07/17/2007 145 139
Dime Savings
6.689% due 11/01/2018 (d) 1,685 1,527
DLJ Mortgage Acceptance Corp.
11.000% due 08/01/2019 777 851
8.154% due 05/25/2024 (d) 1,159 1,183
6.375% due 06/25/2026 (d) 11,419 11,067
6.850% due 12/17/2027 165 163
Enterprise Mortgage Acceptance Co.
6.110% due 07/15/2003 120 117
Federal Home Loan Mortgage Corp.
6.000% due 07/15/2006 2,296 2,275
6.500% due 08/15/2006 3,000 2,982
10.000% due 09/15/2009 3 3
6.500% due 08/15/2011 19,609 18,982
6.375% due 08/15/2011 1,231 1,229
12.500% due 09/30/2013 544 565
6.250% due 07/15/2014 471 470
10.000% due 07/15/2019 257 268
9.000% due 11/15/2019 620 626
10.000% due 05/15/2020 180 188
7.500% due 12/15/2020 1,219 1,220
9.000% due 12/15/2020 3,131 3,225
9.500% due 01/15/2021 1,064 1,101
8.000% due 04/15/2021 1,225 1,240
9.000% due 05/15/2021 214 220
7.500% due 01/20/2024 5,983 5,977
Federal Home Loan Mortgage Corporation
9.500% due 03/01/2010 30 31
9.500% due 08/01/2016 7 7
10.000% due 11/01/2016 21 22
9.500% due 06/01/2019 20 22
9.500% due 07/01/2020 10 10
9.500% due 08/01/2020 32 34
9.500% due 09/01/2021 37 39
Federal National Mortgage Assn
8.950% due 05/25/2003 32 32
9.400% due 07/25/2003 59 60
9.000% due 07/25/2003 248 251
6.875% due 06/25/2009 1,603 1,591
7.000% due 09/25/2016 10,368 10,174
8.750% due 05/25/2019 33 33
9.500% due 03/25/2020 3,502 3,784
9.500% due 05/25/2020 1,450 1,510
9.000% due 03/25/2021 3,599 3,680
9.000% due 04/25/2021 122 126
8.000% due 03/25/2022 38 38
5.000% due 01/25/2024 113 111
8.500% due 04/01/2025 3,146 3,210
6.502% due 02/01/2028 (d) 7,231 7,511
First Plus Home Loan Trust
6.060% due 09/10/2011 411 410
General Electric Capital Mortgage Services, Inc
6.750% due 12/25/2012 3,041 2,995
6.500% due 02/25/2024 4 4
German American Capital Corp.
7.000% due 08/12/2010 6,800 6,666
Glendale Federal Savings & Loan
7.399% due 03/25/2030 (d) 1,169 1,177
Greenwich
8.869% due 11/25/2024 (d) 302 303
Independent National Mortgage Corp.
8.432% due 11/25/2024 (d) 521 525
J.P. Morgan Commercial Mortgage Finance Corp.
7.069% due 09/15/2029 185 182
6.373% due 01/15/2030 129 125
LB Commercial Conduit Mortgage Trust
6.330% due 11/18/2004 129 125
Lehman Large Loan
6.790% due 06/12/2004 160 158
Mellon Residential Funding Corp.
6.400% due 06/26/2028 2,661 2,534
6.580% due 07/25/2029 17,411 17,228
Morgan Stanley Capital
6.860% due 07/15/2005 130 127
7.227% due 01/16/2006 230 230
7.460% due 02/15/2020 8,100 8,105
6.220% due 06/03/2030 216 208
Mortgage Capital Funding, Inc.
6.325% due 10/18/2007 22,202 21,306
Nomura Asset Securities Corp.
6.625% due 01/25/2009 872 867
Norwest Asset Securities Corp.
6.500% due 01/25/2029 6,000 5,627
PNC Mortgage Securities Corp.
6.500% due 02/25/2028 8,508 8,441
6.750% due 05/25/2028 5,241 5,117
Prudential Bache
6.151% due 09/01/2018 (d) 24 23
8.400% due 03/20/2021 3,726 3,761
Prudential Home Mortgage Securities
7.500% due 10/25/2007 878 873
7.000% due 01/25/2008 10,000 9,787
6.750% due 11/25/2008 4,941 4,679
7.000% due 06/25/2023 3,014 2,968
6.050% due 04/25/2024 159 157
6.000% due 05/25/2024 9 9
Resecuritization Mortgage Trust
6.069% due 04/26/2021 (d) 12,290 11,952
Residential Accredit Loans, Inc.
6.500% due 02/25/2029 26,470 24,889
7.000% due 07/25/2029 585 565
Residential Asset Securitization Trust
6.500% due 09/25/2014 478 456
Residential Funding Mortgage Securities, Inc.
6.500% due 06/25/2008 646 643
6.500% due 04/25/2009 33 32
5.532% due 07/01/2019 (d) 837 799
7.100% due 07/25/2027 4,220 4,174
7.000% due 10/25/2027 10,000 9,331
7.250% due 10/25/2027 9,153 18,991
6.250% due 11/25/2028 6,000 5,354
Resolution Trust Corp.
6.059% due 10/25/2021 481 446
8.625% due 10/25/2021 11,603 11,561
6.946% due 10/25/2021 (d) 88 87
6.900% due 02/25/2027 3,821 3,481
9.000% due 09/25/2028 149 150
7.290% due 10/25/2028 (d) 96 96
Ryland Acceptance Corp.
8.000% due 03/01/2018 2,041 2,016
Ryland Mortgage Securities Corp.
6.668% due 11/25/2021 1,034 1,015
Salomon Brothers Mortgage Securities
6.988% due 12/25/2017 (d) 1,653 1,647
8.354% due 03/25/2024 (d) 1,227 1,258
Securitized Asset Sales, Inc.
6.750% due 08/25/2025 106 106
Shearson Lehman
9.600% due 03/25/2021 310 309
Structured Asset Mortgage Investments, Inc.
6.905% due 06/25/2028 (d) 6,859 6,598
6.585% due 06/25/2029 (d) 31,842 31,570
9.040% due 06/25/2029 8,885 9,162
6.750% due 05/02/2030 4,822 4,672
TMA Mortgage Funding Trust
6.259% due 01/25/2029 13,351 13,351
Union Planters Mortgage Finance Corp.
6.450% due 01/25/2028 6,000 5,887
--------
437,762
========
See accompanying notes 43
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation 1.5%
4.750% due 06/01/2001 $ 5 $ 5
5.750% due 01/15/2008 5,255 5,172
6.000% due 09/01/2006-03/01/2017 (d)(g) 10,257 9,848
6.500% due 02/01/2005-10/01/2028 (g) 1,375 1,348
6.750% due 06/15/2019 5,650 5,622
6.783% due 02/01/2020 (d) 2,319 2,367
6.878% due 07/01/2018 (d) 287 293
6.882% due 10/01/2027 (d) 1,221 1,213
7.000% due 01/01/2017 (d) 46 46
7.166% due 12/01/2022 (d) 675 697
7.324% due 10/01/2023 (d) 1,186 1,219
7.336% due 09/01/2023 (d) 262 270
7.342% due 06/01/2024 (d) 715 738
7.375% due 11/01/2022 (d) 1,684 1,721
7.439% due 11/01/2023 (d) 685 704
7.498% due 01/01/2024 (d) 2,151 2,208
7.500% due 09/01/2006 85 84
7.818% due 01/01/2024 (d) 974 1,003
7.842% due 03/01/2024 (d) 75 77
8.000% due 07/01/2006-12/01/2024 (g) 5,406 5,440
8.250% due 10/01/2007-11/01/2007 (g) 28 28
8.500% due 07/01/2001-11/01/2025 (g) 13,625 13,921
8.750% due 02/01/2001-04/01/2002 (g) 28 28
9.000% due 05/01/2002-08/01/2022 3,353 3,458
9.250% due 07/01/2001 2 2
9.500% due 03/01/2001-02/01/2025 (g) 282 293
9.750% due 03/01/2001-11/01/2008 (g) 672 693
10.000% due 04/01/2001-10/01/2019 (g) 92 98
10.500% due 07/01/2000-02/01/2016 (g) 43 44
10.750% due 10/01/2000-08/01/2011 (g) 353 379
11.500% due 10/01/2015-01/01/2016 (g) 47 51
11.750% due 11/01/2010-08/01/2015 (g) 13 14
12.000% due 09/01/2013 2 2
14.000% due 09/01/2012-04/01/2016 (g) 11 13
14.500% due 12/01/2010 3 4
15.000% due 08/01/2011-12/01/2011 (g) 4 4
15.500% due 11/01/2011 0 1
16.000% due 04/01/2012 0 0
--------
59,108
========
Federal Housing Administration 1.1%
6.950% due 04/01/2014 2,121 1,889
7.400% due 02/01/2019 94 93
7.421% due 11/01/2019 529 528
7.430% due 10/01/2019-07/01/2024 (g) 42,344 42,091
--------
44,601
========
Federal National Mortgage Association 1.1%
6.000% due 05/01/2011-12/25/2020 (g) 238 231
6.055% due 04/01/2018 (d) 6,560 6,322
6.115% due 01/01/2021 (d) 432 433
6.314% due 09/01/2006 19,729 18,750
6.500% due 06/01/2008 15 14
6.573% due 11/01/2017 (d) 349 351
6.725% due 04/25/2022 (d) 208 208
7.000% due 04/01/2002-05/01/2012 (g) 352 345
7.001% due 11/01/2018 (d) 159 161
7.091% due 07/01/2017 (d) 556 570
7.376% due 04/01/2024 (d) 2,231 2,290
7.805% due 01/01/2024 (d) 2,339 2,382
7.896% due 01/01/2024 (d) 49 50
8.000% due 03/01/2004 75 75
8.004% due 10/01/2024 (d) 4,128 4,319
8.146% due 07/01/2023 (d) 1,493 1,550
8.500% due 03/01/2008-01/01/2026 (g) 730 746
9.000% due 01/01/2025 4 4
9.500% due 07/01/2024-11/01/2025 (g) 4,144 4,363
10.000% due 02/01/2004-01/01/2025 (g) 1,302 1,369
10.500% due 06/01/2005-12/01/2024 (g) 222 233
11.000% due 09/01/2000-11/01/2020 (g) 55 60
11.250% due 12/01/2010-10/01/2015 (g) 150 163
11.500% due 12/01/2008-02/01/2020 (g) 74 81
11.750% due 02/01/2016 37 40
12.000% due 01/01/2015-10/01/2015 (g) 6 6
12.750% due 03/01/2014 26 29
13.000% due 07/01/2015 8 9
13.250% due 09/01/2011 15 17
13.500% due 04/01/2014 3 4
14.500% due 08/01/2014 40 45
15.500% due 10/01/2012-12/01/2012 (g) 61 70
15.750% due 12/01/2011 29 34
16.000% due 09/01/2012-12/01/2012 (g) 13 16
--------
45,340
========
Government National Mortgage Association 13.8%
6.375% due 04/20/2016-06/20/2027 (d)(g) 47,594 47,981
6.500% due 05/15/2023-10/15/2023 (d)(g) 567 540
6.750% due 08/20/2022-07/20/2027 (d)(g) 84,570 84,980
7.000% due 03/15/2011-04/19/2030 (g) 8,828 8,586
7.125% due 10/20/2023-12/20/2027 (d)(g) 60,783 61,608
7.500% due 02/15/2022-05/22/2030 (g) 93,291 92,587
8.000% due 07/15/2004-04/19/2030 (g) 250,617 253,675
8.500% due 04/15/2022-03/20/2027 (g) 1,108 1,133
9.000% due 03/15/2017 14 15
9.500% due 10/15/2016-06/15/2025 (g) 125 132
9.750% due 07/15/2013-02/15/2020 (g) 697 732
10.000% due 10/15/2013-11/15/2025 (g) 149 158
10.500% due 11/15/2019-02/15/2021 (g) 18 20
11.000% due 09/15/2010 9 10
11.250% due 10/15/2000 1 1
11.500% due 08/15/2018 41 45
11.750% due 08/15/2013-08/15/2015 (g) 56 62
12.000% due 06/20/2015 11 13
12.250% due 01/15/2014-03/15/2014 (g) 101 112
13.000% due 10/15/2013 6 7
13.500% due 05/15/2011-11/15/2012 (g) 24 27
16.000% due 12/15/2011-04/15/2012 (g) 34 41
--------
552,465
========
Mortgage-Backed Securities 0.5%
Government National Mortgage Association
7.000% due 12/20/2022 18,800 18,685
--------
Other Mortgage-Backed Securities 0.4%
First Boston Mortgage Securities Corp.
8.300% due 08/20/2009 41 41
Glendale Federal Savings & Loan
11.000% due 03/01/2010 16 17
Home Savings of America
5.722% due 05/25/2027 (d) 1,302 1,236
Imperial Savings & Loan
8.847% due 07/25/2017 (d) 35 35
9.900% due 02/25/2018 403 410
Resolution Trust Corp.
6.352% due 05/25/2019 (d) 3,478 3,467
6.860% due 08/25/2019 (d) 3,247 3,248
10.285% due 08/25/2021 (d) 466 464
5.746% due 10/25/2028 (d) 1,958 1,969
6.944% due 05/25/2029 (d) 2,330 2,303
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 418 419
7.688% due 12/25/2017 (d) 156 155
Sears Mortgage
12.000% due 02/25/2014 74 74
7.431% due 10/25/2022 (d) 2,050 2,073
Western Federal Savings & Loan
6.523% due 11/25/2018 (d) 5 5
--------
15,916
========
44 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Stripped Mortgage-Backed Securities 0.4%
Federal Home Loan Mortgage Corp. (IO)
6.000% due 02/15/2006 $ 705 $ 19
9.982% due 07/15/2006 12 89
10.195% due 08/15/2006 6 45
11.944% due 12/15/2006 13 117
6.000% due 10/15/2007 702 29
6.000% due 02/15/2008 2,392 113
7.000% due 08/15/2018 6,948 599
7.000% due 04/15/2019 790 23
6.500% due 05/15/2019 5,640 368
6.500% due 06/15/2019 3,629 195
10.496% due 04/15/2021 15 213
6.500% due 04/15/2022 3,506 352
7.000% due 05/15/2023 393 52
4.000% due 01/15/2024 20,919 4,454
Federal National Mortgage Association (IO)
6.000% due 07/25/2005 287 2
7.272% due 09/25/2006 45 318
6.000% due 02/25/2008 3,184 173
256.000% due 11/01/2008 25 132
6.500% due 03/25/2009 (d) 25,455 1,062
6.503% due 07/25/2017 2,355 2,295
7.500% due 03/25/2019 2,521 234
6.500% due 05/25/2019 10,000 904
6.500% due 04/25/2020 9,414 583
7.000% due 05/25/2021 5,323 431
8.598% due 02/25/2022 23 355
6.500% due 03/25/2023 4,212 465
4.875% due 03/25/2024 (d) 7,047 278
Federal National Mortgage Association (PO)
0.000% due 09/25/2022 30 25
Prudential Home Mortgage Securities (IO)
0.300% due 04/25/2009 (d) 54,383 353
Resolution Trust Corp. (PO)
0.000% due 09/25/2000 231 230
---------
14,508
---------
Total Mortgage-Backed Securities 1,188,385
(Cost $1,202,752) =========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 5.6%
--------------------------------------------------------------------------------
Allied Waste Industries, Inc.
8.938% due 07/30/2006 4,909 4,457
Allied Waste North America, Inc.
8.938% due 07/30/2006 (d) 8,727 7,923
9.125% due 07/30/2007 (d) 12,545 11,389
9.188% due 07/30/2007 (d) 3,818 3,466
Amresco Residential Securities Mortgage Loan Trust
6.315% due 07/25/2027 (d) 2,593 2,591
AT&T Universal Card Master Trust
5.950% due 10/17/2002 4,000 3,986
Bay View Financial Revolving
7.179% due 08/25/2029 (d) 6,900 6,785
Bombardier Capital Mortgage
6.605% due 09/15/2010 10,330 10,261
Capital Asset Research Funding LP
6.400% due 12/15/2004 79 77
Citicorp Mortgage Securities, Inc.
6.750% due 05/25/2028 6,266 5,833
CMC Securities Corp. IV
7.250% due 11/25/2027 8,789 8,522
Columbia/HCA Healthcare
6.125% due 12/15/2000 200 197
Community Program Loan Trust
4.500% due 10/01/2018 16,692 14,814
Duck Auto Grantor Trust
5.650% due 03/15/2004 10,092 9,938
Empire Funding Home Loan Owner Trust
6.590% due 05/25/2014 15,691 15,582
Federal-Mogul Corp.
7.940% due 12/31/2005 (d) 3,000 2,973
7.890% due 12/31/2005 (d) 1,986 1,968
GF Funding Corp.
6.890% due 09/30/2002 24,580 24,287
Green Tree Home Improvement Loan
6.320% due 08/15/2008 13,927 13,893
IMC Home Equity Loan Trust
6.286% due 10/20/2027 (d) 5,685 5,688
Lyondell Petroleum
9.613% due 12/31/2003 (d) 4,962 5,002
Merit Securities Corp.
7.040% due 01/28/2030 28,587 28,426
New York City Tax Lien
6.350% due 07/10/2007 10,045 9,920
Oakwood Mortgage Investors, Inc.
6.950% due 08/15/2027 5,500 5,435
Premiet Auto Trust
5.560% due 04/08/2001 1,028 1,028
Primedia, Inc.
8.740% due 07/31/2004 (d) 13,000 12,909
Prudential Home Mortgage Security
7.000% due 08/25/2009 4,000 3,967
Saxon Asset Securities Trust
7.205% due 01/25/2019 275 273
Stone Container Corp.
9.688% due 10/01/2003 (d) 2,363 2,362
---------
Total Asset-Backed Securities 223,952
(Cost $228,952) =========
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 3.3%
--------------------------------------------------------------------------------
Central Bank Philippines
6.500% due 06/01/2008 (d) 3,180 3,053
Government of Brazil
7.000% due 01/01/2001 (d) 4,182 4,167
Hydro Quebec
9.000% due 03/07/2001 10,000 10,175
Nacional Financiera
10.625% due 11/22/2001 7,500 7,759
Pemex Finance Limited
6.125% due 11/15/2003 15,000 14,559
Province of Quebec
6.006% due 10/25/2001 (d) 250 249
Republic of Argentina
11.786% due 04/10/2005 (d) 9,000 8,438
Republic of Korea
8.594% due 04/08/2000 (d) 5,440 5,460
Republic of Philippines
6.938% due 01/05/2005 (d) 2,000 1,992
6.875% due 12/01/2009 (d) 16,160 15,271
United Mexican States
6.930% due 04/07/2000 (d) 9,206 9,229
5.820% due 06/28/2001 10,500 10,235
7.439% due 06/27/2002 (d) 6,200 6,112
7.493% due 06/27/2002 (d) 19,400 19,469
9.780% due 04/07/2004 (d) 15,000 15,357
---------
Total Sovereign Issues 131,525
(Cost $130,173) =========
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f)1.3%
--------------------------------------------------------------------------------
Korea Development Bank
3.610% due 05/14/2001 (d) DM 340 164
2.700% due 08/16/2002 JY 2,000,000 20,041
Republic of Colombia
7.000% due 03/06/2002 IL 36,220,000 17,511
United Mexican States
6.000% due 03/28/2002 JY 960,000 9,991
8.750% due 05/30/2002 BP 3,000 4,825
---------
Total Foreign Currency-Denominated Issues 52,532
(Cost $52,788) =========
See accompanying notes 45
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.0%
-------------------------------------------------------------------------------
Utilities 0.0%
Alliant Energy Resources Cvt. Pfd.
7.250% due 01/02/2000 $ 2,000 $ 163
-----------
Total Convertible Bonds & Notes 163
(Cost $136) ===========
-------------------------------------------------------------------------------
PREFERRED STOCK 1.9%
-------------------------------------------------------------------------------
Shares
Home Ownership Funding
133.310% due 01/02/2000 3,000 2,394
Rhone-Poulenc SA
2.031% due 01/02/2000 13,000 263
SI Financing Trust
2.375% due 01/02/2000 806,600 20,467
TCI Communications, Inc.
2.500% due 01/02/2000 800,300 20,408
2.430% due 01/02/2000 224,700 5,800
2.180% due 01/02/2000 1,170,100 28,594
-----------
Total Preferred Stock 77,926
(Cost $83,777) ===========
-------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 3.1%
-------------------------------------------------------------------------------
Commercial Paper 2.3%
Bank One Corp.
6.110% due 06/05/2000 9,200 9,098
Conoco, Inc.
6.250% due 04/07/2000 2,600 2,599
Cox Communication
6.260% due 04/10/2000 3,600 3,596
Ei Du Pont De Nemoirs
6.060% due 06/08/2000 2,100 2,076
Federal Home Loan Mortgage Corp.
5.990% due 05/23/2000 11,100 11,008
6.020% due 06/29/2000 600 591
Federal National Mortgage Association
5.940% due 06/01/2000 11,900 11,776
Finova Capital Corp.
6.100% due 06/08/2000 13,000 12,855
General Motors Acceptance Corp.
6.080% due 05/30/2000 500 495
National Rural Utilities
6.080% due 06/14/2000 11,500 11,354
Norfolk Southern Corp.
6.290% due 05/25/2000 3,000 2,973
Oesterreich Kontrollbank
6.030% due 06/02/2000 400 396
Xerox Credit Corp.
6.000% due 06/01/2000 1,600 1,584
6.090% due 06/06/2000 21,500 21,267
-----------
91,668
===========
Repurchase Agreement 0.8%
State Street Bank
(Dated 03/31/2000. Collateralized by 20,384 20,384
Federal Home Loan Mortgage Corporation
5.750% due 05/15/2001 valued at $20,793
Repurchase proceeds are $20,394.)
Daiwa Securities
(Dated 03/31/2000. Collateralized by
U.S. Treasury Note 5.125% due 8/31/2000 10,000 10,000
valued at $10,213 Repurchase proceeds
are $10,005.) -----------
30,384
===========
U.S. Treasury Bills (b) 0.0%
5.700% due 04/27/2000 500 498
-----------
Total Short-Term Instruments 122,550
(Cost $122,569) ===========
Value
(000s)
--------------------------------------------------------------------------------
Total Investments (a) 117.3% $ 4,680,289
(Cost $4,738,588)
Written Options (c) (0.1%) (5,042)
(Premiums $3,873)
Other Assets and Liabilities (Net) (17.2%) (684,919)
-----------
Net Assets 100.0% $ 3,990,328
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $4,743,106 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 9,955
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (72,772)
-----------
Unrealized depreciation-net $ (62,817)
===========
(b) Securities with an aggregate market value of $12,022
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Eurodollar March Futures (03/2001) 743 $ (422)
U.S. Treasury 5 Year Note (06/2000) 1,845 (2,094)
U.S. Treasury 10 Year Note (06/2000) 24 66
United Kingdom 90 Day LIBOR Futures (09/2000) 750 580
-----------
$ (1,870)
===========
(c) Premiums received on written options:
# of Premium Value
Type Contracts (000s) (000s)
--------------------------------------------------------------------------------
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.93 Exp. 04/19/2000 200,000,000 $ 367 $ 344
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 1,875 1,936 1,617
Put - CME Eurodollar March Futures
Strike @ 93.25 Exp. 03/19/2001 341 343 512
Put - CME Eurodollar March Futures
Strike @ 93.50 Exp. 03/19/2001 341 440 673
Put - CME Eurodollar December Futures
Strike @ 93.50 Exp. 12/18/2000 960 787 1,896
----------------------
$ 3,873 $ 5,042
======================
(d) Variable rate security. The rate listed is as of March 31, 2000.
(e) Foreign forward currency contracts outstanding at March 31, 2000.
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell BP 3,283 04/2000 $ (58)
Sell EC 18,911 04/2000 281
Buy JY 581,184 04/2000 149
Sell 581,184 04/2000 (196)
Sell 3,699,407 05/2000 (917)
Buy 604,235 05/2000 221
Buy PZ 20,000 02/2001 149
-----------
$ (371)
===========
46 See accompanying notes
<PAGE>
--------------------------------------------------------------------------------
(f) Principal amount denoted in indicated currency:
BP - British Pound
DM - German Mark
EC - Euro
JY - Japanese Yen
PZ - Polish Zloty
(g) Securities are grouped together by coupon or range of coupons and represent
a range of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Restricted security.
(j) Subject to financing transaction.
(k) Swap agreements outstanding at March 31, 2000:
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
---------------------------------------------------------------------------------------
<S> <C> <C>
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 5.700%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/28/2001 $ 1,500 $ (69)
Receive floating rate based on 6 months LIBOR and pay
floating rate based on 6 months LIBOR plus 6.150%. In
the event of default of Republic of Argentina Floating
Rate Notes and/or Spread-Adjusted Notes, the Fund can
put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 2,000 (107)
Receive fixed rate equal to 0.47% and the Fund will
pay to the counterparty at par in the event of default
of Enron Corp. 6.450% due 11/15/2001.
Broker: Goldman Sachs
Exp. 08/31/2000 49,000 2
Receive fixed rate equal to 0.43% 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 0.51% 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 0.23% 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 fixed rate equal to 0.34% 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: J.P. Morgan
Exp. 07/31/2000 22,000 1
------------
$ (171)
============
</TABLE>
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 $ 33,000 $ 397
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 49,000 802
----------
$ 1,199
==========
(l) Reverse repurchase agreements were entered into March 24, 2000 paying
interest at 6.02%. The following securities were segregated with collateral for
reverse repurchase agreements.
Type Maturity Value
--------------------------------------------------------------------------------
Government National Mortgage Assn. 7.125% 12/20/2023 $ 33,450
See accompanying notes 47
<PAGE>
Schedule of Investments
Municipal Bond Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 103.3%
--------------------------------------------------------------------------------
Arizona 6.7%
Maricopa County Arizona Pollution, Series 1994
3.850% due 05/01/2029 $ 1,100 $ 1,100
Pima County, Arizona Industrial Development Authority
Multi-Family Revenue Bonds, (HUD SECT 8 Insured),
Series 1998 5.375% due 06/01/2010 1,210 1,213
Scottsdale, Arizona Industrial Development Authority
Hospital Revenue Bonds, (AMBAC Insured),
Series 1997 A 6.500% due 09/01/2004 1,130 1,205
----------
3,518
==========
California 16.6%
Alameda, California Harbor Bay Business Pk Assmt
Revenue Bonds, Series 1998 5.000% due 09/02/2006 360 347
California Health Facilities Finance Authority Revenue,
Series 1995 4.250% due 07/01/2011 1,000 1,000
Capistrano, California Unified School District
Special Tax, Series 1999 5.000% due 09/01/2008 350 335
City of San Jose Redevelopment Agency Merged
Area Project, Tax Allocation Bonds, (MBIA Insured),
Series 1993 6.000% due 08/01/2015 500 539
Foothill/Eastern Corridor Agency California
Toll Road Revenue, (MBIA-IBC),
Series 1999 0.000% due 01/15/2026 1,565 878
Irvine, California Special Assessment Bond,
Series 1998 4.800% due 09/02/2004 150 146
Irvine, California Special Assessment Bond,
Series 1998 4.900% due 09/02/2005 310 299
Irvine, California Special Assessment Bond,
Series 1998 5.000% due 09/02/2006 150 144
Irvine, California Special Assessment Bond,
Series 1999 5.000% due 09/02/2005 350 343
Irvine, California Special Assessment Bond,
Series 1999 5.100% due 09/02/2006 535 518
Irvine, California Special Assessment Bond,
Series 1999 5.200% due 09/02/2007 255 246
Lake Elsinore, California School Refunding Bonds,
Series 1998 5.000% due 09/01/2006 350 337
Los Angeles County Transportation Commission,
Sales Tax Revenue Refunding Bonds,
Series 1991 B 6.500% due 07/01/2013 1,000 1,041
Montebello, California Unified School District
General Obligation Unlimited Bonds, (MBIA Insured),
Series 1999 0.000% due 08/01/2023 895 227
Orange County, California Improvement Bond,
Series 1998 A 4.900% due 09/02/2005 245 237
Pittsburg, California Infrastructure Refunding Bonds,
Series 1998 A 4.900% due 09/02/2003 150 150
Pittsburg, California Infrastructure Refunding Bonds,
Series 1998 A 5.000% due 09/02/2004 150 151
Riverside County, California Special Tax Refunding Bonds,
Series 1999 4.200% due 09/01/2001 300 297
Riverside County, California Special Tax Refunding Bonds,
Series 1999 4.700% due 09/01/2005 170 164
Roseville, California Special Tax,
Series 1999 5.000% due 09/01/2004 350 343
Sacramento County, California Refunding Bonds,
Series 1998 4.900% due 09/02/2005 300 290
South Tahoe, California Powers Financing Authority,
Series 1999 7.300% due 10/01/2007 350 355
West Sacramento, California Refunding Bonds,
Series 1998 5.000% due 09/02/2004 350 346
----------
8,733
==========
Colorado 2.9%
Colorado Housing Finance Authority,
Series 2000 6.700% due 10/01/2016 250 269
Denver, Colorado Health & Hospital Revenue Bonds,
Series 1998 A 5.000% due 12/01/2009 1,390 1,261
----------
1,530
==========
Florida 4.6%
Gainesville, Florida Revenue Bonds,
Series 1979 6.200% due 10/01/2002 300 302
Jacksonville Electric Authority, Bulk Power Supply System
Revenue Bonds, (Prerefunded 10/01/00),
Scherer 4-1-A Project, Issue One, Series 1991
6.750% due 10/01/2021 1,000 1,028
Orange County, Florida Health Facilities Authority
Revenue Bonds, (MBIA Insured), Series 1996
6.250% due 10/01/2011 1,000 1,096
----------
2,426
==========
Hawaii 1.9%
Honolulu Hawaii City & County, (MBIA-IBC),
Series 1993 3.550% due 09/11/2008 1,000 1,020
----------
Illinois 0.6%
Illinois Health Facilities Authority Revenue,
Series 1998 3.650% due 01/01/2028 300 300
----------
Indiana 2.1%
Indiana Local Public Improvement Bonds Bank,
Transportation Revenue Bonds, Series 1992
6.750% due 02/01/2014 1,000 1,110
----------
Louisiana 0.5%
Louisiana Local Government, (MBIA Insured),
Series 2000 5.700% due 01/01/2010 250 254
----------
Massachusetts 4.0%
Massachusetts State Development Finance Agency
Revenue Bonds, Series 1998 4.700% due 11/01/2007 210 197
Massachusetts State Development Finance Agency,
(ACA Insured), Series 1999 4.600% due 03/01/2009 400 370
Massachusetts State Development Finance Agency,
Series 1998 4.800% due 11/01/2008 90 85
Massachusetts State General Obligation Unltd,
Series 2000 6.000% due 02/01/2013 1,000 1,055
Massachusetts State Health Facilities Authority Revenue,
Series 1993 5.500% due 10/01/2002 400 390
----------
2,097
==========
Michigan 3.6%
Farmington Hills Michigan Hospital, Revenue Bond,
(MBIA Insured), Series 1991 B
3.900% due 02/15/2016 700 700
Michigan State Environmental Protection General
Obligation Bonds, Series 1992 6.250% due 11/01/2012 1,100 1,206
----------
1,906
==========
48 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Minnesota 3.6%
Arden Hills Minnesota Housing & Health Care
Presbyterian Homes Revenue Bonds,
(LOC-U.S. Bank N.A. Insured), Series 1999 B
3.850% due 09/01/2029 (d) $ 900 $ 900
New Richland, Minnesota Revenue Bond,
Series 1998 4.500% due 08/01/2004 1,000 986
----------
1,886
==========
Missouri 1.1%
Missouri State Health Facilities Revenue,
Series 1999 3.600% due 10/01/2009 600 600
----------
New Hampshire 2.1%
New Hampshire Turnpike System, Refunding
Revenue Bonds, (FGIC Insured), Series 1991 A
6.750% due 11/01/2011 1,000 1,103
----------
New Jersey 6.6%
New Jersey Economic Development
Authority Revenue Bond, Series 1998 A
0.000% due 04/01/2013 1,595 642
New Jersey Economic Development
Authority Revenue Bond, Series 1998
5.600% due 01/01/2012 1,000 885
New Jersey Economic Development
Authority Revenue Bonds, Series 1999
6.625% due 09/15/2012 1,900 1,929
----------
3,456
==========
New Mexico 2.6%
Los Alamos County, Utility Revenue Bonds,
Series 1994 A 6.000% due 07/01/2008 1,000 1,050
Santa Fe County, El Castillo Retirement
Nursing Home Bonds, Series 1998 A
5.250% due 05/15/2007 315 290
----------
1,340
==========
New York 10.1%
Nassau County, NY Tobacco Settlement
Corp. Revenue Bonds, Series 1999
5.250% due 07/15/2011 1,000 999
New York City General Obligation Bonds,
Series 1996 A 7.000% due 08/01/2007 1,000 1,103
New York State Dorm Authority Revenues,
(ACA Insured), Series 2000
5.850% due 07/01/2010 1,000 1,025
New York State Dorm Authority Revenues,
(MBIA Insured), Series 1996
5.600% due 07/01/2016 1,250 1,255
New York State Environmental Facilities
Special Obligation Revenue Bonds, Series 1996
5.125% due 04/01/2022 1,000 929
----------
5,311
==========
North Carolina 2.0%
North Carolina Municipal Power Agency, Catawaba
Electric Revenue Bonds, (AMBAC Insured), Series 1992
6.000% due 01/01/2008 1,000 1,055
----------
North Dakota 3.9%
Mercer County Pollution Control Revenue Bonds,
Series 1991 6.900% due 02/01/2019 2,000 2,073
----------
Ohio 1.9%
Cleveland Water and Sewer Refunding and Improvement
Revenue Bonds, (MBIA Insured), Series 1993 G, Number 1
5.500% due 01/01/2021 1,000 988
----------
Oklahoma 1.7%
Oklahoma State Industrial Authority Revenue
3.850% due 08/15/2029 900 900
----------
Pennsylvania 0.2%
Delaware County, Pennsylvania Hospital Revenue
Bonds, Series 1998 4.900% due 12/01/2008 100 90
----------
South Carolina 1.8%
Medical University South Carolina Hospital
Facilities Revenue Bonds, Series 1999
5.700% due 07/01/2012 1,000 956
----------
Tennessee 5.0%
Memphis-Shelby County, Tennessee Airport Authority
Special Facilities and Project Revenue Bonds,
Series 1997 5.350% due 09/01/2012 1,000 934
Nashville & Davidson County, Tennessee Revenue Bonds,
Series 1998 4.450% due 08/01/2007 1,000 941
Sullivan County, Tennessee Industrial Development,
(GNMA Insured), Series 1995 6.250% due 07/20/2015 750 777
----------
2,652
==========
Texas 5.7%
Bexar, Texas Metro Water District Waterworks System
Revenue Bonds, (MBIA Insured), Series 1998
0.000% due 05/01/2035 2,190 263
Brazos River Authority Texas Revenue Bonds,
(MBIA Insured), Series 1998
4.900% due 10/01/2015 1,500 1,371
Lewiswille Texas Independent School District,
(PSF-GTD), Series 2000
5.875% due 08/15/2016 1,000 1,021
Midlothian Texas Independent School District
General Obligation Bonds, (PSF-GTD Insured), Series 1999
0.000% due 02/15/2018 1,000 334
----------
2,989
==========
Utah 4.0%
Intermountain Power Agency Utah Power Supply,
(MBIA Insured), Series 1996
6.500% due 07/01/2009 1,925 2,108
----------
Washington State 4.7%
Bellevue Washington Convention Center Authority Special
Obligation Revenue Bond, (MBIA Insured), Series 1994
0.000% due 02/01/2024 1,000 244
Washington State General Obligation Bond, Series 1997
0.000% due 07/01/2017 1,000 371
Washington State General Obligation Bond, Series 1999
5.625% due 07/01/2018 1,100 1,099
Washington State Housing Finance Community,
(LOC-U.S. Bank N.A.), Series 1997
3.900% due 07/01/2022 200 200
Washington State Public Power Supply System Nuclear
Project No 3 Revenue Bonds, (BIG Insured), Series 1989
0.000% due 07/01/2014 1,270 562
----------
2,476
==========
Wisconsin 2.7%
Wisconsin State Health & Education Facilities Authority
Revenue Bonds, (LOC-Allied Irish Bank PLC Insured),
Series 1997 3.900% due 11/01/2017 (d) 1,400 1,400
----------
Total Municipal Bonds & Notes 54,277
(Cost $54,417) ==========
See accompanying notes 49
<PAGE>
Schedule of Investments (Cont.)
Municipal Bond Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 0.1%
--------------------------------------------------------------------------------
Commercial Paper 0.1%
SSgA Tax Free Money Market
3.282% due 04/03/2000 $ 61 $ 61
----------
Total Short-Term Instruments 61
(Cost $61) ==========
Total Investments (a) 103.3% $ 54,338
(Cost $54,478)
Other Assets and Liabilities (Net) (3.3%) (1,755)
----------
Net Assets 100.0% $ 52,583
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $54,478 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 877
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (1,017)
----------
Unrealized depreciation-net $ (140)
==========
50 See accompanying notes
<PAGE>
Schedule of Investments
New York Intermediate Municipal Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 94.7%
--------------------------------------------------------------------------------
New York 94.7%
Amherst, New York, Series A
5.500% due 12/01/2008 $ 150 $ 155
Edmeston, New York Central School District
5.100% due 06/15/2007 150 151
Genesee County, New York General
Obligation Bonds, (FGIC Insured),
Series 1999 5.000% due 08/15/2007 150 150
Nassau County, New York Tobacco
Settlement Corp. Revenue Bonds,
Series 1999 5.250% due 07/15/2011 150 150
New York City General Obligation Bonds,
(MBIA Insured), Series 1994 3.700% due 08/15/2005 (b) 200 200
New York City General Obligation Bonds,
Series 1996 5.875% due 08/01/2024 250 248
New York City General Obligation Bonds,
Series 1997 5.300% due 06/01/2012 150 150
New York State Dormitory Authority Revenue Bond,
(MBIA Insured), Series 1999 4.750% due 07/01/2006 150 148
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,
(MBIA Insured), Series 1999 4.750% due 07/01/2006 95 94
New York State Dormitory Authority Revenue,
(FSA Insured), Series 1998 4.750% due 07/01/2008 150 147
New York State Local Government Assistance Corp.,
(MBIA Insured), Series 1997-B 5.125% due 04/01/2013 150 147
New York State Mortgage Agency Revenue Bonds,
Series 1998 5.350% due 04/01/2007 150 150
New York State Mortgage Agency Revenue,
Series 1997 5.200% due 10/01/2008 145 144
New York State Power Authority Revenue & General Purpose,
Series 1972-E 5.500% due 01/01/2010 135 136
New York State Thruway Authority Service Contract Revenue,
(MBIA Insured), Series 1999 4.900% due 04/01/2008 150 149
New York State Urban Develpoment Corp.
Revenue Bonds, Series 1999 5.000% due 01/01/2005 150 150
Port Authority New York & New Jersey, (FGIC Insured),
Series 1999 5.000% due 09/15/2005 150 150
Rockland County New York Solid Waste Management
Authority, Series 1999 A 4.800% due 12/15/2005 145 144
--------
Total Municipal Bonds & Notes 2,914
(Cost $2,922) ========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 3.4%
--------------------------------------------------------------------------------
Commercial Paper 3.4%
R & T New York Money Market
3.100% due 04/03/2000 104 104
--------
Total Short-Term Instruments 104
(Cost $104) ========
Value
(000s)
--------------------------------------------------------------------------------
Total Investments (a) 98.1% $ 3,018
(Cost $3,026)
Other Assets and Liabilities (Net) 1.9% 60
--------
Net Assets 100.0% $ 3,078
========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $3,026 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 10
--------
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (18)
--------
Unrealized depreciation-net $ (8)
========
(b) Variable rate security. The rate listed is as of March 31, 2000.
See accompanying notes 51
<PAGE>
Schedule of Investments
Real Return Bond Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 33.3%
-------------------------------------------------------------------------------
Banking & Finance 21.5%
AT&T Capital Corp.
7.110% due 09/13/2001 (d) $ 500 $ 499
BAT-Crave-800
6.680% due 08/12/2000 190 190
Bear Stearns Co., Inc.
6.424% due 08/01/2002 (d) 500 501
Chase Manhattan Corp.
6.430% due 12/10/2001 (d) 500 505
Citicorp
6.223% due 09/17/2001 (d) 335 335
DQE Capital Corp.
6.539% due 01/15/2002 (d) 1,000 1,000
Finova Capital Corp.
6.720% due 11/08/2002 (d) 2,800 2,811
First Security Corp.
7.701% due 06/01/2005 (d) 1,000 1,000
Florida Windstorm
6.700% due 08/25/2004 500 484
Ford Motor Credit Corp.
6.300% due 07/16/2002 (d) 1,000 1,002
6.224% due 02/13/2003 (d) 350 349
General Motors Acceptance Corp.
6.371% due 12/15/2000 (d) 1,500 1,500
6.327% due 12/09/2002 (d) 2,000 2,001
Heller Financial, Inc.
6.448% due 02/05/2001 400 401
6.370% due 10/22/2001 (d) 3,700 3,710
6.220% due 04/26/2002 (d) 250 250
Household Finance Corp.
6.473% due 08/06/2002 (d) 2,000 2,000
HRPT Properties Trust
7.280% due 07/09/2007 1,250 1,250
J.P. Morgan & Co.
6.430% due 02/15/2012 3,470 3,105
Juno Reinsurance
9.565% due 06/26/2002 (d) 750 728
Korea Development Bank
5.886% due 03/01/2002 (d) 500 460
8.008% due 06/16/2003 (d) 500 490
Lehman Brothers Holdings, Inc.
8.150% due 05/15/2000 230 230
9.875% due 10/15/2000 250 254
6.904% due 04/02/2002 (d) 500 503
6.421% due 06/03/2002 (d) 2,500 2,483
6.840% due 07/15/2002 (d) 600 604
6.410% due 09/03/2002 (d) 2,000 1,981
MBNA America Bank NA
6.290% due 04/25/2002 (d) 500 498
Merrill Lynch & Co.
6.129% due 11/01/2001 (d) 3,000 2,998
6.508% due 02/08/2002 (d) 400 401
Morgan Stanley, Dean Witter, Discover and Co.
6.353% due 12/17/2001 (d) 300 300
6.190% due 04/15/2002 (d) 1,000 999
6.310% due 02/21/2003 (d) 1,500 1,502
National Westminster Bank
6.620% due 09/16/2002 (d) 3,500 3,513
Protective Life Funding Trust
6.390% due 01/17/2003 (d) 1,000 1,000
Prudential Funding Corp.
6.270% due 10/18/2001 (d) 3,000 3,004
Residential Reinsurance
9.761% due 06/01/2000 (d) 2,300 2,283
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 1,670 1,641
Seismic Ltd.
0.000% due 01/01/2002 (d) 2,500 2,500
Textron Financial Corp.
6.290% due 10/26/2001 (d) 2,500 2,499
6.477% due 12/09/2002 (d) 4,000 4,007
Toyota Motor Credit Corp.
5.707% due 02/15/2002 400 390
----------
58,161
==========
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Industrials 5.9%
AIC Corp.
6.154% due 10/02/2002 (d) $ 250 $ 249
Arrow Electronics, Inc.
6.860% due 11/24/2000 (d) 1,500 1,500
Atlas Air, Inc.
9.820% due 04/04/2003 (d) 4,400 4,400
Conagra, Inc.
6.340% due 06/12/2000 (d) 500 500
CSX Corp.
6.430% due 06/15/2000 (d) 500 500
Gold Eagle
11.453% due 04/16/2001 1,000 999
9.003% due 04/16/2001 1,000 999
Kroger Co.
6.000% due 07/01/2000 1,500 1,494
Nextel Communications
9.090% due 03/31/2008 1,500 1,482
Petroleos Mexicanos
8.402% due 07/15/2005 (d) 1,750 1,728
Tyco International Group SA
6.819% due 03/05/2001 (d) 2,000 1,999
----------
15,850
==========
Utilities 5.9%
Edison Mission Energy
6.790% due 06/15/2001 (d) 700 700
Enron Corp.
6.577% due 09/10/2001 (d) 1,500 1,501
GTE Corp.
6.155% due 06/12/2000 (d) 4,000 3,999
Hughes Electric
7.451% due 10/23/2000 3,500 3,497
Kerr-McGee Corp.
6.414% due 08/01/2001 (d) 1,000 1,000
6.703% due 11/01/2001 2,000 1,992
Public Service Enterprise Group, Inc.
6.350% due 06/15/2001 (d) 500 500
Sprint Capital Corp.
6.386% due 11/15/2001 (d) 1,000 1,001
Texas Utilities Co.
6.791% due 06/25/2001 1,300 1,299
7.105% due 09/24/2001 500 503
----------
15,992
----------
Total Corporate Bonds & Notes 90,003
(Cost $89,995) ==========
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 2.2%
--------------------------------------------------------------------------------
New Mexico 0.2%
New Mexico Mortgage Finance Authorities Revenue Bonds,
(GNMA,FNMA, FHLMC Insured), Series 1997
7.000% due 07/01/2006 495 483
----------
New York 1.4%
New York City Municipal Bond, Series 1997
6.346% due 08/01/2002 (d) 138 138
New York State Dorm Authority Revenue Bonds,
Series 1996 5.500% due 07/01/2025 4,000 3,736
----------
3,874
==========
Ohio 0.6%
Hamilton Ohio School Districts Gas Supply
Revenue Bonds, Northern Ohio, (MBIA Insured),
Series 1999 6.910% due 08/01/2001 1,500 1,491
----------
Total Municipal Bonds & Notes 5,848
(Cost $5,745) ==========
52 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 6.4%
--------------------------------------------------------------------------------
Federal Farm Credit Bank
6.360% due 02/14/2002 (d) $ 600 $ 588
Federal Home Loan Bank
5.663% due 02/15/2002 (d) 2,485 2,442
Federal Home Loan Mortgage Corp.
6.875% due 01/15/2005 10,000 9,922
Federal National Mortgage Assn
2.796% due 03/13/2002 (d) 2,000 1,964
Student Loan Marketing Assn
6.365% due 07/25/2004 (d) 88 88
6.395% due 10/25/2004 (d) 105 104
5.909% due 04/25/2006 (d) 1,744 1,737
6.595% due 01/25/2007 (d) 333 332
---------
Total U.S. Government Agencies 17,177
(Cost $17,173) =========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 98.6%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (g)
3.625% due 07/15/2002 (c) 29,821 29,737
3.375% due 01/15/2007 (c) 56,125 54,038
3.625% due 01/15/2008 (c) 61,833 60,209
3.875% due 01/15/2009 (c) 55,044 54,476
4.250% due 01/15/2010 9,026 9,207
3.625% due 04/15/2028 (c) 25,559 24,265
3.875% due 04/15/2029 (c) 34,282 34,003
U.S. Treasury Notes
5.125% due 08/31/2000 (b) 180 179
---------
Total U.S. Treasury Obligations 266,114
(Cost $262,342) =========
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 0.9%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 0.2%
Federal Home Loan Mortgage Corp.
6.500% due 01/25/2028 100 88
Federal National Mortgage Assn
6.244% due 10/25/2008 (d) 369 370
6.500% due 02/25/2029 118 94
---------
552
=========
Federal Home Loan Mortgage Corporation 0.0%
7.433% due 02/01/2023 (d) 127 131
---------
Federal Housing Administration 0.1%
7.430% due 12/01/2020 302 296
---------
Federal National Mortgage Association 0.2%
7.252% due 10/01/2024 (d) 499 514
---------
Other Mortgage-Backed Securities 0.4%
CMC Securities Corp.
6.000% due 11/25/2008 957 949
---------
Total Mortgage-Backed Securities 2,442
(Cost $2,465) =========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 7.4%
--------------------------------------------------------------------------------
AFC Home Equity Loan Trust
6.099% due 03/25/2027 (d) 244 244
American Residential Eagle
6.219% due 07/25/2029 (d) 6,886 6,882
Conseco Finance
6.290% due 10/15/2030 1,930 1,927
Conseco Finance Home Loan Trust
8.880% due 06/15/2024 750 755
Contimortgage Home Equity Loan Trust
6.020% due 01/25/2014 244 241
EQCC Home Equity Loan Trust
6.321% due 03/20/2029 305 305
General Electric Capital Mortgage Services, Inc.
7.150% due 09/25/2026 339 338
Huntsman Corp.
8.830% due 12/31/2005 1,000 998
IMC Home Equity Loan Trust
6.610% due 06/20/2013 366 365
MMCA Automobile Trust
6.300% due 06/15/2002 3,180 3,177
Oakwood Mortgage Investors, Inc.
6.450% due 11/15/2027 847 844
Onyx Acceptance Auto Trust
6.590% due 09/15/2002 2,000 1,999
6.350% due 10/15/2003 615 612
Pacific Southwest Bank
6.060% due 06/15/2002 13 13
Premiere Auto Trust
5.510% due 07/09/2001 273 273
Residential Funding Mortgage Securities, Inc.
5.460% due 07/25/2029 209 207
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 386 383
WMC Mortgage Loan
6.090% due 03/20/2028 (d) 335 335
---------
Total Asset-Backed Securities 19,898
(Cost $19,911) =========
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 0.0%
--------------------------------------------------------------------------------
United Mexican States Recovery Rights
0.000% due 06/30/2003 2,307 0
---------
Total Sovereign Issues 0
(Cost $0) =========
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 3.8%
--------------------------------------------------------------------------------
Caisse D'amort Dette Soc
3.800% due 07/25/2006 EC 5,025 4,835
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 5,300 2,581
Kingdom of Sweden
0.000% due 04/01/2004 (g) SK 7,354 776
Newcourt Credit Group
7.900% due 08/15/2000 C$ 1,674 1,164
7.625% due 06/28/2001 500 350
United Mexican States
1.103% due 12/31/2019 (d) JY 70,000 668
---------
Total Foreign Currency-Denominated Issues 10,374
(Cost $10,181) =========
--------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK (f) 0.5%
--------------------------------------------------------------------------------
Shares
Banking & Finance 0.5%
Tokai Bank Cvt. Pfd.
2.750% due 10/01/2004 200,000,000 1,388
---------
Total Convertible Preferred Stock 1,388
(Cost $1,411) =========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 2.6%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 0.8%
Eastman Kodak Co.
6.030% due 06/06/2000 $ 100 99
Procter & Gamble Co.
6.080% due 06/02/2000 2,000 1,979
---------
2,078
=========
Repurchase Agreement 1.8%
State Street Bank
5.600% due 04/03/2000 4,851 4,851
(Dated 03/31/2000. Collateralized by
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $4,950.
Repurchase proceeds are $4,853.) ---------
4,851
=========
See accompanying notes 53
<PAGE>
Schedule of Investments (Cont.)
Real Return Bond Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
U.S. Treasury Bills 0.0%
5.750% due 04/27/2000 100 $ 100
----------
Total Short-Term Instruments 7,029
(Cost $7,029) ==========
Total Investments (a) 155.7% $ 420,273
(Cost $416,252)
Other Assets and Liabilities (Net) (55.7%) (150,412)
----------
Net Assets 100.0% $ 269,861
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of 416,943 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 3,644
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (314)
----------
Unrealized appreciation-net $ 3,330
==========
(b) Securities with an aggregate market value of $179
have been segregated with the custodian to cover margin
requirements for the following open futures contracts
at March 31, 2000:
# of Unrealized
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
U.S. Treasury 5 Year Note (06/2000) 179 $ (174)
----------
(c) Subject to financing transaction.
(d) Variable rate security. The rate listed is as of March 31,2000.
(e) Foreign forward currency contracts outstanding at March 31, 2000.
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell C$ 523 05/2000 $ (1)
Sell 1,711 06/2000 (16)
Buy EC 529 04/2000 0
Sell 5,181 04/2000 26
Sell JY 53,500 04/2000 (20)
Sell 215,663 05/2000 (57)
Buy N$ 524 04/2000 5
Sell 4,880 04/2000 (72)
Sell 845 05/2000 (3)
Buy SK 4,342 04/2000 1
Sell 10,512 04/2000 (8)
----------
$ (145)
==========
(f) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
EC - Euro
JY - Japanese Yen
N$ - New Zealand Dollar
SK - Swedish Krona
(g) Principal amount of security is adjusted for inflation.
(h) Swap agreements outstanding at March 31, 2000.
Notional Unrealized
Type Amount Appreciation
--------------------------------------------------------------------------------
Receive fixed rate equal to 0.47% and
the Fund will pay to the counterparty at par in the
event of default of Enron Corp. 6.450% due 11/15/2001.
Broker: Goldman Sachs
Exp. 08/31/2000 $ 1,000 $ 0
Receive fixed rate equal to 0.41% 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
----------
$ 0
==========
54 See accompanying notes
<PAGE>
Schedule of Investments
Short Duration Municipal Income
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 97.5%
--------------------------------------------------------------------------------
Arizona 0.9%
Arizona State Transportation Board
Excise Tax Revenue Bond, (MBIA Insured),
Series 1989 7.000% due 07/01/2000 $ 100 $ 101
---------
California 4.7%
California Health Facilities Finance Authority
Revenue Bond, Series 1995 4.250% due 07/01/2011 500 500
---------
Colorado 6.5%
Denver Colorado Health & Hospital Revenue Bond,
Series 1998 5.000% due 12/01/2002 500 493
Denver, Colorado City and County Airport Revenue Bond,
Series 1990 8.100% due 11/15/2000 200 203
---------
696
=========
Florida 18.5%
Atlantic Beach Florida Health Care Facilities Revenue Bond,
(ACA Insured), Series 1999 5.000% due 10/01/2001 500 500
Gulf Breeze Florida Revenue, (MBIA Insured),
Series 1997 4.372% due 12/01/2017 (b) 500 469
Orlando Florida, Waste Water Systems Revenue Bonds,
Series 1997 3.500% due 10/01/2015 (b) 600 524
Port Palm Beach District Florida Revenue, (MBIA Insured),
Series 1999 A 4.200% due 09/01/2001 500 496
---------
1,989
=========
Georgia 9.4%
Dalton, Georgia Utilities Revenue Bond, (MBIA Insured),
Series 1997 4.750% due 01/01/2001 500 502
Fulton County Georgia Water & Sewer Revenue Bond,
(FGIC Insured), Series 1992 5.625% due 01/01/2001 500 505
---------
1,007
=========
Hawaii 11.4%
Hawaii Airport Systems Revenue Bonds, (MBIA Insured),
Series 1991 6.600% due 07/01/2004 500 519
Hawaii State General Obligation Bonds, Series 1993
5.500% due 07/01/2001 500 505
Hawaii State Housing Finance & Development Corp.
Revenue, Series 1998 4.250% due 07/01/2001 195 195
---------
1,219
=========
Indiana 2.3%
Indiana State Educational Facilities Authority Revenue
Bonds, Series 1998 4.000% due 10/15/2000 250 250
---------
Maine 5.1%
Eastport Maine Industrial Development Revenue,
(LOC-Wachovia Bank), Series 1989
4.750% due 11/15/2001 250 251
5.100% due 11/15/2003 300 301
---------
552
=========
Minnesota 2.5%
Minnesota State Higher Education Facilities Authority
Revenue, Series 1998 4.500% due 03/01/2001 270 271
---------
Missouri 2.2%
Missouri State Housing Development Community
Mortgage Revenue Bonds, (GNMA/FNMA Insured),
Series 1996 7.100% due 09/01/2027 225 241
---------
Nevada 4.6%
Carson City Nevada School District General Obligation
Bond, (FGIC Insured), Series 1990 6.600% due 04/01/2001 485 496
---------
New York 4.6%
New York State Dormitory Authority Revenue Bond,
(MBIA Insured), Series 1999 4.300% due 07/01/2002 500 493
---------
Pennsylvania 4.7%
Dauphin County, Pennsylvania General Authority Bond,
(AMBAC Insured), Series 1997 4.450% due 09/01/2032 500 500
---------
Rhode Island 4.9%
Convention Center Authority Rhode Island Revenue Bond,
(MBIA Insured), Series 1991 6.700% due 05/15/2020 500 521
---------
Texas 9.2%
Midlothian Texas Independent School District General
Obligation Bond, (PSF-GTD Insured), Series 1999
0.000% due 02/15/2001 500 482
Tarrant County, Texas Water Control & Refund & Import,
(AMBAC Insured), Series 1992 5.750% due 03/01/2013 500 507
---------
989
=========
Wisconsin 6.0%
Oshkosh Water Revenue Bonds, Series 1999
4.700% due 01/01/2002 500 498
Wisconsin State Health & Education Facilities
Authority Revenue Bond, (MBIA Insured), Series 1991
6.000% due 11/15/2000 150 151
---------
649
---------
Total Municipal Bonds & Notes 10,474
(Cost $10,468) =========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.0%
--------------------------------------------------------------------------------
Commercial Paper 1.0%
SSgA Tax Free Money Market
3.282% due 04/03/2000 102 102
---------
Total Short-Term Instruments 102
(Cost $102) =========
Total Investments (a) 98.5% $ 10,576
(Cost $10,570)
Other Assets and Liabilities (Net) 1.5% 159
---------
Net Assets 100.0% $ 10,735
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $10,570 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 29
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (23)
---------
Unrealized appreciation-net $ 6
=========
(b) Variable rate security. The rate listed is as of March 31, 2000.
See accompanying notes 55
<PAGE>
Schedule of Investments
Short Term Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 28.6%
--------------------------------------------------------------------------------
Banking & Finance 20.1%
Associated Corp. of North America
6.450% due 09/15/2000 $ 900 $ 896
Banco Nacional Obra Services
9.625% due 11/15/2003 6,900 7,124
BankBoston Corp.
6.125% due 03/15/2002 1,000 974
Bankers Trust Corp.
6.200% due 05/11/2003 (d) 11,000 10,997
Donaldson, Lufkin & Jenrette
6.625% due 05/25/2026 (d) 189 189
DQE Capital Corp.
6.539% due 01/15/2002 (d) 2,000 2,000
Ford Motor Credit Corp. (d)
6.210% due 08/27/2001 3,000 3,000
6.341% due 03/19/2002 4,295 4,306
6.320% due 12/16/2002 10,000 9,976
General Motors Acceptance Corp. (d)
6.130% due 01/08/2002 1,000 999
6.165% due 04/29/2002 2,450 2,451
6.299% due 11/12/2002 9,600 9,613
6.190% due 08/18/2003 16,575 16,486
Goldman Sachs Group
6.270% due 01/17/2003 (d) 8,000 8,005
Heller Financial, Inc.
6.280% due 04/22/2002 (d) 15,000 14,992
Korea Development Bank
6.250% due 05/01/2000 585 585
7.154% due 10/06/2000 (d) 2,000 2,000
9.450% due 03/15/2001 375 380
7.900% due 02/01/2002 900 897
7.625% due 10/01/2002 2,500 2,465
Korean Export-Import Bank
6.500% due 05/15/2000 2,170 2,169
Lehman Brothers Holdings, Inc.
6.798% due 05/07/2002 (d) 3,000 3,011
6.690% due 04/04/2003 (d) 3,000 3,044
Midamerican Funding LLC
5.850% due 03/01/2001 1,000 986
Morgan Stanley, Dean Witter, Discover and Co.
6.165% due 01/28/2002 (d) 8,600 8,601
Nacional Financiera
8.000% due 06/19/2000 1,000 999
Protective Life Funding Trust
6.390% due 01/17/2003 (d) 2,000 2,000
Racers
6.340% due 03/03/2003 (d) 10,000 10,000
Residential Funding Mortgage Securities, Inc.
7.143% due 12/01/2018 (d) 1,095 1,117
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 3,191 3,135
Sears Roebuck Acceptance Corp.
6.500% due 06/15/2000 700 699
6.180% due 08/15/2000 500 499
Transamerica Finance Corp.
6.394% due 12/14/2001 (d) 4,000 3,998
U.S. Bancorp
6.279% due 02/03/2003 (d) 3,700 3,699
--------
142,292
========
Industrials 3.7%
Air Canada
6.800% due 07/31/2005 (d) 2,000 1,800
Amerco, Inc.
6.890% due 10/15/2000 5,000 4,949
COFIRI International, Inc.
6.503% due 10/27/2000 (d) 2,000 1,994
ITT Corp.
6.250% due 11/15/2000 3,000 2,954
J Seagram & Sons
6.526% due 04/10/2000 (d) 1,100 1,084
Petroleos Mexicanos
9.375% due 12/02/2008 1,000 1,028
Raytheon Co.
6.300% due 08/15/2000 2,000 1,992
Time Warner, Inc.
6.100% due 12/30/2001 3,000 2,933
Williams Communications Group, Inc.
6.540% due 11/15/2001 7,500 7,500
--------
26,234
========
Utilities 4.8%
Central Maine Power Co.
6.500% due 06/14/2000 7,800 7,784
Central Power & Light Co.
6.540% due 02/22/2002 (d) 2,000 1,980
Enron Corp.
6.577% due 09/10/2001 (d) 2,000 2,002
Kerr-McGee Corp.
6.414% due 08/01/2001 (d) 2,000 2,000
Pennsylvania Power & Light
6.000% due 06/01/2000 19,000 18,974
UGI Utilities, Inc.
6.170% due 03/06/2001 250 247
United Telecom, Inc.
9.750% due 04/01/2000 1,000 1,000
--------
33,987
--------
Total Corporate Bonds & Notes 202,513
(Cost $202,419) ========
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.3%
--------------------------------------------------------------------------------
North Carolina 0.3%
North Carolina State Education Assistance
Authority Revenue Bonds, (GTD Insured), Series 2000
6.105% due 06/01/2009 (d) 2,000 2,000
--------
Total Municipal Bonds & Notes 2,000
(Cost $2,000) ========
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 8.0%
--------------------------------------------------------------------------------
Federal Home Loan Bank
0.000% due 05/12/2000 (d) 10,000 10,000
6.750% due 01/02/2002 35,000 34,883
Federal National Mortgage Assn
6.625% due 01/15/2002 10,000 9,947
Student Loan Marketing Assn
5.711% due 04/25/2004 (d) 1,582 1,580
6.395% due 10/25/2004 (d) 600 599
--------
Total U.S. Government Agencies 57,009
(Cost $57,081) ========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 2.1%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (f)
3.625% due 07/15/2002 7,373 7,352
3.625% due 01/15/2008 5,743 5,592
3.875% due 01/15/2009 1,954 1,934
--------
Total U.S. Treasury Obligations 14,878
(Cost $14,902) ========
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 23.6%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 14.5%
CMC Securities Corp.
7.500% due 02/25/2023 2,522 2,515
Dime Savings
6.689% due 11/01/2018 (d) 263 238
Donaldson, Lufkin & Jenrette
7.580% due 10/17/2020 (d) 547 561
7.776% due 09/01/2021 (d) 33 33
Federal Home Loan Mortgage Corp.
6.000% due 03/15/2005 568 566
6.000% due 02/15/2007 577 576
6.210% due 10/25/2014 214 214
6.500% due 10/25/2014 4,150 4,048
5.750% due 10/15/2016 62 62
6.000% due 07/15/2019 5,263 5,182
56 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Federal National Mortgage Assn.
6.000% due 02/25/2008 $ 1,273 $ 1,240
5.523% due 07/25/2008 (d) 1,344 1,313
6.000% due 08/18/2016 38,359 37,813
6.500% due 11/25/2017 1,436 1,430
5.875% due 03/25/2018 112 111
5.850% due 05/25/2019 736 732
6.000% due 08/25/2020 2,390 2,339
5.000% due 02/25/2022 114 112
6.500% due 09/18/2023 2,082 2,042
8.960% due 06/25/2032 9,892 10,124
First Plus Home Loan Trust
6.060% due 09/10/2011 4,115 4,105
General Electric Capital Mortgage Services, Inc.
6.750% due 12/25/2012 6,082 5,991
Greenwich
7.589% due 04/25/2022 (d) 83 84
7.337% due 10/25/2022 (d) 45 45
Housing Securities, Inc.
6.000% due 02/25/2008 1,237 1,227
Independent National Mortgage Corp.
7.250% due 11/25/2010 4,000 3,949
Prudential Bache
6.151% due 09/01/2018 (d) 24 22
Prudential Home Mortgage Securities
6.950% due 11/25/2022 233 212
Salomon Brothers Mortgage Securities
6.475% due 07/25/2029 (d) 4,224 4,226
Structured Asset Securities Corp.
7.000% due 01/20/2021 7 7
TMA Mortgage Funding Trust
6.259% due 01/25/2029 11,432 11,432
--------
102,551
========
Federal Home Loan Mortgage Corporation 0.1%
7.500% due 11/01/2001 1,039 1,040
--------
Federal National Mortgage Association 2.2%
6.000% due 12/18/2014 8,017 7,932
6.150% due 09/25/2016 6,135 6,051
8.500% due 01/01/2026 1,891 1,930
--------
15,913
========
Government National Mortgage Association 6.3%
6.375% due 02/20/2024-04/20/2025 (d)(e) 11,919 11,987
6.750% due 09/20/2023-08/20/2027 (d)(e) 8,287 8,331
7.125% due 11/20/2026 (d) 14,659 14,802
8.000% due 04/19/2030 3,950 3,995
8.500% due 06/20/2027 5,473 5,586
--------
44,701
========
Other Mortgage-Backed Securities 0.4%
CDC Depositor Trust I
6.913% due 12/14/2001 (d) 2,000 2,008
First Nationwide Trust
6.430% due 10/25/2018 (d) 10 10
Resolution Trust Corp.
6.472% due 05/25/2029 (d) 604 585
--------
2,603
========
Stripped Mortgage-Backed Securities 0.1%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 06/15/2019 4,954 432
Federal National Mortgage Association (IO)
7.000% due 07/25/2006 1,549 103
6.500% due 12/25/2006 2,065 59
6.500% due 06/25/2017 1,232 38
6.500% due 10/25/2023 1,561 196
--------
828
--------
Total Mortgage-Backed Securities 167,636
(Cost $169,589) ========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 12.6%
--------------------------------------------------------------------------------
Advanta Revolving Home Equity Loan Trust
6.249% due 01/25/2024 (d) 276 275
American Residential Eagle
6.219% due 07/25/2029 (d) 1,836 1,835
Associates Manufactured Housing
7.000% due 03/15/2027 685 684
Banc One Auto Grantor Trust
6.290% due 07/20/2004 2,870 2,847
Bay View Financial Revolving
7.179% due 08/25/2029 (d) 2,000 1,967
Brazos Student Loan Finance Co.
6.430% due 06/01/2023 (d) 20,000 19,797
Chase Manhattan Grantor Trust
5.200% due 02/15/2002 303 303
Columbia/HCA Healthcare
7.880% due 09/15/2001 3,000 2,948
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 799 798
Delta Funding Home Equity Loan
6.191% due 09/15/2029 (d) 1,931 1,939
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 941 937
First Security Auto Owner Trust
5.580% due 06/15/2003 10,000 9,900
Ford Credit Auto Owner Trust
5.850% due 10/15/2001 1,346 1,343
Frag Limited
8.423% due 03/31/2006 2,500 2,488
General Electric Capital Mortgage Services, Inc.
7.150% due 09/25/2026 678 676
Green Tree Home Improvement Loan
6.055% due 08/15/2029 (d) 2,916 2,912
IMC Home Equity Loan Trust
6.310% due 12/20/2012 130 130
Metris Master Trust
6.721% due 04/20/2006 (d) 6,000 6,035
MLCC Mortgage Investors, Inc.
6.265% due 03/15/2025 (d) 3,628 3,642
Money Store Home Equity Trust
6.345% due 11/15/2021 (d) 145 143
Onyx Acceptance Auto Trust
6.180% due 04/15/2002 1,110 1,108
5.500% due 10/15/2002 2,207 2,191
Premier Auto Trust
6.250% due 06/06/2001 398 398
Salomon Brothers Mortgage Securities (d)
6.305% due 11/15/2029 1,901 1,903
7.043% due 11/15/2029 2,000 2,000
6.219% due 02/25/2030 4,975 4,940
The Money Store Home Equity Trust
6.635% due 09/15/2014 7,500 7,461
UAF Auto Grantor Trust
6.100% due 06/15/2004 1,232 1,218
UniCapital Corp.
6.540% due 07/23/2002 2,000 1,993
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 463 459
WFS Financial Owner Trust
5.385% due 08/20/2001 1,550 1,548
6.150% due 09/20/2002 2,220 2,212
--------
Total Asset-Backed Securities 89,030
(Cost $89,291) ========
SOVEREIGN ISSUES 1.7%
Republic of Korea
8.594% due 04/08/2000 (d) 3,456 3,469
United Mexican States
7.439% due 06/27/2002 (d) 9,000 8,873
--------
Total Sovereign Issues 12,342
(Cost $12,266) ========
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (b)(c) 1.1%
--------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C.
8.750% due 09/28/2000 BP 3,000 4,764
Commonwealth of New Zealand
4.500% due 02/15/2016 (f) N$ 5,400 2,630
Korea Development Bank
6.940% due 10/18/2000 (d) JY 500 500
--------
Total Foreign Currency-Denominated Issues 7,894
(Cost $9,020) ========
See accompanying notes 57
<PAGE>
Schedule of Investments (Cont.)
Short Term Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
-------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 38.8%
-------------------------------------------------------------------------------
Certificates of Deposit 1.4%
Commerzbank AG
6.200% due 05/10/2000 $ 10,000 $ 10,000
=========
Commercial Paper 36.5%
Bank One Corp.
5.920% due 05/15/2000 23,500 23,338
6.060% due 05/22/2000 10,000 9,918
British Telecom
5.890% due 05/08/2000 10,700 10,639
5.910% due 05/26/2000 7,400 7,336
Conagra, Inc.
5.990% due 04/19/2000 5,000 4,987
6.150% due 05/08/2000 8,200 8,151
Cox Communication
6.050% due 04/10/2000 6,900 6,892
6.250% due 04/13/2000 6,000 5,989
Dana Credit Corp.
6.040% due 04/11/2000 22,000 21,970
6.110% due 04/25/2000 2,800 2,790
Dominion Residential, Inc.
6.050% due 04/03/2000 25,000 25,000
6.140% due 06/05/2000 7,000 6,922
Eastman Kodak Co.
6.060% due 06/12/2000 12,000 11,852
Finova Capital Corp.
6.140% due 06/08/2000 7,000 6,921
Houston Industries
6.000% due 04/13/2000 11,500 11,481
Monsanto Co.
5.950% due 06/01/2000 16,600 16,427
Motorola, Inc.
6.090% due 06/02/2000 4,500 4,452
National Rural Utilities
6.080% due 06/14/2000 4,500 4,442
Oesterreich Kontrollbank
5.960% due 06/15/2000 1,000 987
Sumitomo Bank
6.050% due 04/13/2000 10,400 10,382
6.190% due 04/13/2000 6,000 5,990
Tyco International
6.180% due 04/03/2000 10,000 10,000
6.100% due 04/10/2000 8,000 7,991
U.S. West Capital Fund
6.330% due 04/03/2000 8,500 8,500
Xerox Credit Corp.
6.080% due 06/13/2000 25,000 24,688
---------
258,045
=========
Repurchase Agreement 0.9%
State Street Bank
5.600% due 04/03/2000 6,665 6,664
(Dated 03/31/2000. Collateralized by
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $6,801
Repurchased proceeds are $6,668.)
---------
6,664
---------
Total Short-Term Instruments 274,709
(Cost $274,750) =========
Total Investments (a) 116.8% $ 828,011
(Cost $831,318)
Other Assets and Liabilities (Net) (16.8%) (119,010)
---------
Net Assets 100.0% $ 709,001
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $831,129 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 1,016
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (4,134)
---------
Unrealized depreciation-net $ (3,118)
=========
(b) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell BP 3,327 04/2000 (59)
Sell N$ 5,023 05/2000 23
---------
$ (36)
=========
(c) Principal amount denoted in indicated currency:
BP - British Pound
JY - Japanese Yen
N$ - New Zealand Dollar
(d) Variable rate security. The rate listed is as of March 31, 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 March 31, 2000:
Unrealized
Notional Appreciation/
Type Amount(Depreciation)
--------------------------------------------------------------------------------
Receive floating rate based on 3 month LIBOR
and pay fixed rate equal to 7.600%
Broker: Warburg Dillon Read LLC
Exp. 01/15/2002 $ 10,600 $ (24)
Receive fixed rate equal to 0.43% 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 0.23% 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 0.25% and the
Fund will pay to the counterparty at par
in the event of default of Pacific Gas &
Electric 6.550% due 12/08/2005.
Broker: J.P. Morgan
Exp. 05/23/2003 5,000 0
Receive fixed rate equal to 0.14% and the
Fund will pay to the counterparty at par
in the event of default of General Motors
Acceptance Corp. 6.253% due 07/20/2000.
Broker: Warburg Dillon Read LLC
Exp. 06/30/2000 5,000 0
---------
$ (24)
=========
(h) Reverse repurchase agreements were entered into March 24, 2000 paying
interest at 6.02%. The following securities were segregated with collateral for
reverse repurchase agreements.
Type Maturity Value
--------------------------------------------------------------------------------
Federal National Mortgage Assn. 6.000% 08/18/2016 $ 37,813
Government National Mortgage Assn. 6.750% 09/20/2023 2,140
---------
$ 39,953
=========
58 See accompanying notes
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 33.2%
--------------------------------------------------------------------------------
Banking & Finance 13.8%
AT&T Capital Corp.
7.110% due 09/13/2001 (d) $ 2,100 $ 2,094
6.310% due 04/23/2002 (d) 5,725 5,741
Banco Latinoamericano SA
7.156% due 11/30/2001 19,500 19,482
CIT Group, Inc.
6.200% due 10/20/2000 3,600 3,586
Ford Motor Credit Corp.
6.240% due 11/16/2001 (d) 11,000 11,009
6.341% due 03/19/2002 (d) 590 591
6.300% due 07/16/2002 (d) 6,500 6,516
6.320% due 12/16/2002 (d) 3,600 3,591
6.224% due 02/13/2003 (d) 15,000 14,964
General Motors Acceptance Corp.
6.190% due 02/25/2002 (d) 1,000 998
Heller Financial, Inc.
6.370% due 10/22/2001 (d) 10,800 10,828
Household Finance Corp.
6.349% due 06/22/2001 (d) 5,000 5,012
HRPT Properties Trust
7.280% due 07/09/2007 5,000 4,998
Lehman Brothers Holdings, Inc.
6.840% due 07/15/2002 (d) 2,700 2,717
6.690% due 04/04/2003 (d) 9,400 9,538
6.700% due 11/30/2006 (d) 1,910 1,762
MBNA America Bank NA
6.420% due 06/10/2004 (d) 10,000 9,972
Mercury Finance Co.
10.743% due 03/23/2001 16,000 15,520
Merrill Lynch & Co.
6.280% due 10/10/2000 (d) 3,000 3,006
6.610% due 11/20/2000 10,000 10,030
6.261% due 06/18/2001 (d) 10,000 9,949
6.480% due 01/11/2002 (d) 8,550 8,573
6.300% due 02/04/2003 (d) 6,000 5,922
MFN Financial Corp.
6.460% due 09/13/2001 (d) 4,000 3,992
Nacional Financiera
9.549% due 12/01/2000 (d) 10,000 9,950
Residential Reinsurance
9.761% due 06/01/2000 (d) 5,000 4,964
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (g) 2,127 2,090
6.224% due 04/02/2002 (d) 3,600 3,607
6.320% due 02/11/2003 (d) 5,000 5,001
6.530% due 03/26/2003 5,000 4,997
Wells Fargo Co.
6.780% due 05/02/2005 (d) 6,400 6,400
207,400
Industrials 10.7%
Air Canada
6.800% due 07/31/2005 (d) 12,000 10,800
Amerco, Inc.
6.890% due 10/15/2000 16,800 16,627
Arrow Electronics, Inc.
6.860% due 11/24/2000 (d) 15,000 14,996
Atlas Air, Inc.
9.820% due 04/04/2003 (d) 7,000 7,000
Black & Decker
6.606% due 12/20/2001 (d) 7,250 7,319
COFIRI International, Inc.
6.503% due 10/27/2000 (d) 2,000 1,995
Cemex SA
10.750% due 07/15/2000 3,650 3,685
CSX Corp.
6.430% due 06/15/2000 (d) 10,000 9,995
El Paso Energy Corp.
6.690% due 07/15/2001 (d) 4,600 4,603
Gold Eagle
11.453% due 04/16/2001 10,000 9,988
J Seagram & Sons
6.526% due 04/10/2000 (d) 2,400 2,364
Marlin Water Trust
7.090% due 12/15/2001 4,049 3,988
Merita
6.471% due 12/01/2005 (d) 1,000 1,000
Norfolk Southern Corp.
6.700% due 05/01/2000 2,600 2,599
Petroleos Mexicanos
7.600% due 06/15/2000 2,050 2,055
8.402% due 07/15/2005 (d) 15,000 14,813
Stone Container Corp.
10.750% due 10/01/2002 3,435 3,482
TCI Communications, Inc.
6.790% due 04/03/2002 (d) 11,600 11,766
6.850% due 03/11/2003 (d) 4,000 4,088
TRW, Inc.
6.601% due 06/28/2000 (d) 8,900 8,899
Tyco International Group SA
6.819% due 03/05/2001 (d) 14,200 14,192
Williams Communications Group, Inc.
6.540% due 11/15/2001 4,200 4,200
----------
160,454
==========
Utilities 8.7%
Beaver Valley Funding Corp.
8.250% due 06/01/2003 1,754 1,741
Entergy Arkansas, Inc.
7.720% due 03/01/2003 3,500 3,489
Hughes Electric
7.451% due 10/23/2000 4,500 4,496
Kerr-McGee Corp.
6.414% due 08/01/2001 (d) 50,000 50,002
Niagara Mohawk Power
7.125% due 07/01/2001 6,805 6,712
North Atlantic Energy
9.050% due 06/01/2002 910 902
Public Service Enterprise Group, Inc.
6.330% due 11/22/2000 (d) 15,000 15,000
Sprint Capital Corp.
6.386% due 11/15/2001 (d) 25,600 25,620
Telecom Argentina
9.375% due 06/12/2000 18,100 18,213
Western Massachusetts Electric
7.750% due 12/01/2002 4,000 4,036
----------
130,211
----------
Total Corporate Bonds & Notes 498,065
==========
(Cost $490,553)
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.2%
--------------------------------------------------------------------------------
Student Loan Marketing Assn
6.365% due 07/25/2004 (d) 318 316
6.089% due 10/25/2005 (d) 8,935 8,894
5.909% due 04/25/2006 (d) 3,371 3,359
6.635% due 07/25/2006 (d) 3,006 2,996
6.595% due 01/25/2007 (d) 9,517 9,507
6.565% due 04/25/2007 (d) 8,080 8,040
----------
Total U.S. Government Agencies 33,112
==========
(Cost $33,097)
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 11.5%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (g) 95,005 94,738
3.625% due 07/15/2002 (b)(g) 5,793 5,777
3.625% due 01/15/2008 (g) 10,441 10,167
U.S. Treasury Notes
5.500% due 05/31/2000 (b) 61,260 61,241
----------
Total U.S. Treasury Obligations 171,923
==========
(Cost $171,587)
See accompanying notes 59
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 17.1%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 7.6%
Bank Mart
6.883% due 03/01/2019 (d) $ 5,094 $ 5,186
Countrywide Home Loans
6.050% due 04/25/2029 6,367 6,239
Donaldson, Lufkin & Jenrette
7.580% due 10/17/2020 (d) 155 159
Federal Home Loan Mortgage Corp.
5.876% due 05/18/2000 (d) 20,000 20,000
7.000% due 06/15/2023 1,460 1,458
6.500% due 08/15/2023 8,631 8,453
Federal National Mortgage Assn
6.769% due 04/25/2020 (d) 18 18
6.500% due 05/18/2024 3,880 3,803
General Electric Capital Mortgage Services, Inc.
6.300% due 09/25/2023 2,000 1,960
6.250% due 10/25/2028 943 928
Greenwich
7.337% due 10/25/2022 (d) 11 11
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2027 10,456 10,145
ICI Funding Corp. Secured Assets Corp.
7.650% due 07/25/2028 10,122 10,099
Norwest Asset Securities Corp.
6.750% due 08/25/2029 9,011 8,841
PaineWebber Mortgage
6.468% due 02/25/2001 (d) 464 460
PNC Mortgage Securities Corp.
6.625% due 03/25/2028 7,903 7,675
Residential Funding Mortgage Securities, Inc.
5.811% due 03/25/2018 (d) 1,676 1,636
Resolution Trust Corp.
6.900% due 05/25/2029 (d) 103 104
Structured Asset Mortgage Investments, Inc.
9.040% due 06/25/2029 19,417 20,022
Structured Asset Securities Corp.
6.295% due 12/25/2000 (d) 1,013 1,012
TMA Mortgage Funding Trust
6.259% due 01/25/2029 5,756 5,756
----------
113,965
==========
Federal Home Loan Mortgage Corporation 0.3%
6.353% due 07/01/2019 (d) 2,755 2,702
6.781% due 06/01/2022 (d) 436 446
7.266% due 12/01/2022 (d) 576 589
8.500% due 04/01/2025-06/01/2025 (i) 188 192
----------
3,929
==========
Federal National Mortgage Association 0.6%
6.020% due 05/01/2017 (d) 269 262
6.022% due 07/01/2018 (d) 565 551
6.023% due 11/01/2018-11/01/2028 (d)(i) 1,710 1,668
6.026% due 08/01/2029 (d) 316 308
6.029% due 02/01/2031 (d) 90 88
6.102% due 04/01/2018-11/01/2028 (d)(i) 959 935
6.500% due 09/01/2005 5,483 5,371
7.443% due 05/01/2022 (d) 333 342
----------
9,525
==========
Government National Mortgage Association 5.2%
6.320% due 02/16/2030 (d) 30,481 30,439
6.375% due 02/20/2026-02/20/2028 (d)(i) 20,732 20,771
6.750% due 07/20/2018-07/20/2023 (d)(i) 17,718 17,867
7.125% due 12/20/2022-12/20/2027 (d)(i) 9,310 9,415
----------
78,492
==========
Mortgage-Backed Securities 3.2%
CS First Boston Mortgage Securities
6.960% due 01/20/2004 2,522 2,497
Government National Mortgage Association
6.618% due 02/16/2030 (d) 29,585 29,643
6.668% due 02/16/2030 (d) 16,139 16,189
----------
48,329
==========
Other Mortgage-Backed Securities 0.1%
California Federal Savings & Loan
6.397% due 01/01/2019 (d) 22 22
Fund America
7.166% due 06/25/2023 (d) 124 126
J.P. Morgan & Co.
6.570% due 01/25/2018 (d) 304 299
Resolution Trust Corp.
6.746% due 12/25/2023 (d) 13 13
Structured Asset Securities Corp.
6.709% due 09/25/2036 (d) 871 865
----------
1,325
==========
Stripped Mortgage-Backed Securities 0.1%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 2,034 96
7.500% due 08/15/2019 639 22
Federal National Mortgage Association (IO)
6.000% due 11/25/2000 168 3
7.000% due 07/25/2006 310 21
6.500% due 02/25/2021 2,746 180
7.000% due 07/25/2021 728 111
6.500% due 03/25/2023 4,089 451
----------
884
----------
Total Mortgage-Backed Securities 256,449
==========
(Cost $258,701)
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 5.4%
--------------------------------------------------------------------------------
AFC Home Equity Loan Trust
6.029% due 06/25/2028 (d) 10,948 10,918
Allied Waste Industries, Inc.
8.938% due 07/30/2006 819 743
Allied Waste North America, Inc.
8.938% due 07/30/2006 (d) 1,455 1,320
9.125% due 07/30/2007 (d) 2,092 1,898
9.188% due 07/30/2007 (d) 636 578
Argentina Funding Corp.
6.331% due 05/20/2003 (d) 16,000 16,016
Bayview Financial Acquisition
6.429% due 02/25/2029 (d) 5,833 5,837
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 932 931
Green Tree Home Improvement Loan
6.105% due 11/15/2029 (d) 11,460 11,467
Salomon Brothers Mortgage Securities
6.219% due 02/25/2030 (d) 23,582 23,413
Stone Container Corp.
9.500% due 10/01/2003 4,136 4,135
9.625% due 10/01/2003 (d) 4,136 4,135
----------
Total Asset-Backed Securities 81,391
==========
(Cost $81,986)
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 2.4%
--------------------------------------------------------------------------------
Government of Croatia
7.000% due 02/27/2002 3,000 2,912
Hydro Quebec
6.500% due 09/29/2049 (d) 1,000 867
Nacional Financiera
7.975% due 05/08/2003 (d) 6,000 5,957
Republic of Argentina
6.813% due 03/31/2005 (d) 176 165
11.786% due 04/10/2005 (d) 7,000 6,563
Republic of Panama
7.001% due 05/14/2002 (d) 1,373 1,354
United Mexican States
7.439% due 06/27/2002 (d) 10,000 9,858
9.780% due 04/07/2004 (d) 9,000 9,427
----------
Total Sovereign Issues 37,103
==========
(Cost $44,467)
60 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 4.2%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 9,750 $ 4,749
Export-Import Bank Korea
3.840% due 10/06/2000 (d) DM 11,370 5,520
Kingdom of Sweden
10.250% due 05/05/2000 SK 1,000 116
Korea Development Bank
2.560% due 06/26/2001 JY 1,000,000 9,884
Tecnost International NV
5.616% due 06/23/2004 (d) EC 34,100 33,473
United Mexican States
8.750% due 05/30/2002 BP 3,000 4,825
7.000% due 06/02/2003 C$ 6,000 3,980
----------
Total Foreign Currency-Denominated Issues (e)(f) 62,547
(Cost $64,835) ==========
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
--------------------------------------------------------------------------------
S&P 500 Index June Futures (CME)
Strike @ 725.00 Exp. 06/16/2002 $ 94 29
----------
Total Purchased Put Options 29
(Cost $34) ==========
--------------------------------------------------------------------------------
COMMON STOCKS 1.5%
--------------------------------------------------------------------------------
Shares
Utilities 1.5%
Eastern Enterprises 800 $ 48
Florida Progress Corp. 111,000 5,092
LG&E Energy Corp. 10,400 238
MCN Energy Group, Inc. 443,300 11,083
Northeast Utilities 252,000 5,418
----------
Total Common Stocks 21,879
(Cost $21,615) ==========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 19.7%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 18.3%
Alcoa, Inc.
5.920% due 05/12/2000 $ 4,000 3,974
Bank One Corp.
6.060% due 05/22/2000 8,000 7,934
Conagra, Inc.
5.860% due 04/05/2000 200 200
6.190% due 04/05/2000 4,400 4,398
6.040% due 04/07/2000 1,400 1,399
6.150% due 05/08/2000 8,500 8,449
6.200% due 05/08/2000 2,800 2,783
Cox Communication
6.050% due 04/10/2000 700 699
DaimlerChrysler AG
6.100% due 06/29/2000 4,200 4,136
Dominion Residential, Inc.
6.040% due 04/04/2000 4,000 3,999
6.140% due 06/05/2000 33,000 32,645
E.I. Du Pont de Nemours
5.890% due 05/22/2000 10,600 10,515
6.030% due 06/06/2000 1,500 1,484
Eastman Kodak Co.
6.030% due 06/07/2000 1,500 1,484
Federal Home Loan Mortgage Corp.
5.960% due 06/15/2000 500 494
5.970% due 06/15/2000 11,100 10,966
5.980% due 06/15/2000 6,600 6,520
Federal National Mortgage Association
5.940% due 06/01/2000 200 198
Finova Capital Corp.
5.960% due 05/15/2000 11,000 10,924
6.140% due 06/08/2000 16,000 15,814
Gannett Co., Inc.
6.000% due 04/13/2000 30,000 29,950
General Motors Acceptance Corp.
6.050% due 05/17/2000 10,000 9,926
Motorola, Inc.
6.090% due 06/02/2000 1,300 1,287
Nabisco, Inc.
6.090% due 04/05/2000 15,000 14,995
Nike, Inc.
5.860% due 04/18/2000 1,000 998
Southwestern Public Service
6.030% due 05/05/2000 5,500 5,471
Sumitomo Bank
6.050% due 04/14/2000 3,000 2,994
6.180% due 04/14/2000 12,000 11,977
Tampa Electric Co.
6.010% due 04/24/2000 18,000 17,937
Texas Utilities Co.
6.050% due 05/26/2000 25,000 24,777
6.240% due 05/26/2000 5,000 4,954
TRW, Inc.
6.060% due 04/17/2000 5,190 5,178
Xerox Credit Corp.
5.890% due 05/16/2000 1,200 1,192
6.050% due 05/18/2000 14,000 13,894
----------
274,545
==========
Repurchase Agreement 1.1%
State Street Bank
5.600% due 04/03/2000 5,524 5,524
(Dated 03/31/2000. Collateralized by
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $5,639.
Repurchase proceeds are $5,527.)
Daiwa Securities
6.180% due 04/03/2000 10,000 10,000
(Dated 03/31/2000. Collateralized by
U.S. Treasury Inflation Protected Securities
3.782% due 07/15/2002 valued at $10,222.
Repurchase proceeds are $10,005.)
----------
15,524
==========
U.S. Treasury Bills (b) 0.3%
5.454% due 05/25/2000 4,910 4,870
----------
Total Short-Term Instruments 294,939
(Cost $294,949) ==========
Total Investments (a) 97.2% $1,457,437
(Cost $1,461,824)
Written Options (c) (0.1%) (1,436)
(Premiums $1,231)
Other Assets and Liabilities (Net) 2.8% 42,794
----------
Net Assets 100.0% $1,498,795
==========
See accompanying notes 61
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
March 31, 2000
--------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes of $1,461,767 was as
follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 5,232
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (9,562)
----------
Unrealized depreciation-net $ (4,330)
==========
(b) Securities with an aggregate market value of $71,888 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Eurodollar June Futures (03/2001) 1,142 $ (301)
U.S. Treasury 5 Year Note (06/2000) 237 (315)
S&P 500 Index (06/2000) 3,171 92,766
United Kingdom 90 Day LIBOR (09/2000) 20 19
----------
$ 92,169
==========
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - CME S&P June Futures
Strike @ 1540 Exp. 06/16/2000 87 $ 696 $ 1044
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.93 Exp. 04/19/2000 87,160,000 201 150
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 111 83 96
Call - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 160 63 76
Call - CME Eurodollar December Futures
Strike @ 92.75 Exp. 12/18/2000 80 55 63
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 82.00 Exp. 05/20/2000 456 133 7
-------------------
$ 1,231 $ 1,436
===================
(d) Variable rate security. The rate listed is as of March 31, 2000.
(e) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell BP 3,022 04/2000 $ (54)
Sell C$ 5,773 06/2000 (24)
Sell EC 65,379 04/2000 511
Buy HF 2,000,000 09/2000 (154)
Sell JY 1,017,009 05/2000 (248)
Sell N$ 1,251 04/2000 (8)
Sell 8,553 05/2000 40
Buy PZ 102,100 01/2001 (49)
Buy 25,000 02/2001 135
-------
$ 149
=======
(f) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
EC - Euro
HF - Hungarian Forint
JY - Japanese Yen
N$ - New Zealand Dollar
PZ - Polish Zloty
SK - Swedish Krona
(g) Principal amount of the security is adjusted for inflation.
(h) Swap agreements outstanding at March 31, 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 0.130%.
Broker: Morgan Stanley & Co.
Exp. 09/29/2000 $ 68,991 $ 0
Receive total return on S&P 500 Index and pay floating rate based on 1 month
LIBOR plus 0.140%.
Broker: J.P. Morgan Securities, Inc.
Exp. 04/28/2000 21,000 0
Receive total return on S&P 500 Index and pay floating rate based on 1 month
LIBOR plus 0.120%.
Broker: Lehman Brothers, Inc.
Exp. 06/30/2000 61,378 0
Receive total return on S&P 500 Index and pay floating rate based on 1 month
LIBOR plus 0.180%.
Broker: J.P. Morgan Securities, Inc.
Exp. 03/16/2001 109,518 0
Receive floating rate based on 6 months LIBOR and pay floating rate based on 6
months LIBOR plus 5.950%. In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to
the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/17/2001 2,400 (123)
Receive floating rate based on 6 months LIBOR and pay floating rate based on 6
months LIBOR plus 6.150%. In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to
the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 1,100 (59)
Receive fixed rate equal to 0.34% 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: J.P. Morgan
Exp. 07/31/2000 10,000 0
---------
$ (182)
=========
(i) Securities grouped by coupon or range of coupons and represent
a range of maturities.
<PAGE>
Schedule of Investments
Strategic Balanced Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 40.6%
--------------------------------------------------------------------------------
Banking & Finance 18.1%
Abbey National Capital Trust I
8.963% due 12/29/2049 $ 800 $ 817
AT&T Capital Corp.
7.000% due 08/15/2001 300 299
Bank of America Corp.
6.625% due 06/15/2004 1,000 972
Bank of Tokyo - Mitsubishi
8.400% due 04/15/2010 200 203
Bear Stearns Co., Inc.
6.125% due 02/01/2003 1,100 1,058
Caithness Coso Fund Corp.
6.800% due 12/15/2001 1,042 1,031
Caterpillar Financial Service Corp.
6.875% due 08/01/2004 1,000 975
Countrywide Home Loans
6.850% due 06/15/2004 1,000 972
First Security Corp.
7.701% due 06/01/2005 (d) 3,000 3,000
Ford Motor Credit Corp.
6.300% due 07/16/2002 (d) 300 301
6.190% due 10/15/2002 (d) 1,000 1,000
6.320% due 12/16/2002 (d) 200 200
6.330% due 03/17/2003 (d) 500 500
5.750% due 02/23/2004 1,000 943
General Motors Acceptance Corp.
6.190% due 08/18/2003 (d) 1,000 995
6.850% due 06/17/2004 1,000 975
Hyatt Equities LLC
6.800% due 05/15/2000 2,695 2,692
Lehman Brothers Holdings, Inc.
6.421% due 06/03/2002 (d) 600 596
6.840% due 07/15/2002 (d) 305 307
6.690% due 04/04/2003 (d) 800 812
Merrill Lynch & Co.
6.573% due 03/17/2004 (d) 100 99
Nacional Financiera
9.549% due 12/01/2000 (d) 500 498
NationsBank Corp.
7.033% due 02/18/2002 (d) 100 97
New England Educational Loan Marketing
6.310% due 06/11/2001 (d) 2,000 1,999
Popular, Inc.
6.400% due 08/25/2000 2,000 1,995
Republic New York Corp.
5.279% due 10/28/2002 (d) 100 99
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (h) 1,146 1,126
6.224% due 04/02/2002 (d) 200 200
Wells Fargo & Co.
6.625% due 07/15/2004 1,000 977
Westdeutsche Landesbank
6.050% due 01/15/2009 2,500 2,237
---------
27,975
=========
Industrials 13.8%
AMR Corp.
10.000% due 02/01/2001 400 407
9.430% due 05/10/2001 1,000 1,017
Conagra, Inc.
6.340% due 06/12/2000 (d) 2,000 1,999
DaimlerChrysler Holdings
6.900% due 09/01/2004 1,000 981
DTE Capital Corp.
8.350% due 11/15/2038 (d) 1,000 963
El Paso Energy Corp.
6.690% due 07/15/2001 (d) 200 200
Grupo Televisa SA
13.250% due 05/15/2008 1,250 1,234
Lockheed Martin Corp.
6.850% due 05/15/2001 2,000 1,974
Norfolk Southern Corp.
6.700% due 05/01/2000 100 100
Occidental Petroleum
6.704% due 04/03/2000 600 600
Petroleos Mexicanos
8.402% due 07/15/2005 (d) 6,000 5,926
Reliant Energy, Inc.
6.375% due 11/01/2003 1,000 963
Royal Bank of Scotland plc
6.770% due 03/31/2049 EC 600 574
Tyco International Group SA
6.819% due 03/05/2001 (d) 300 300
Waste Management, Inc.
6.000% due 05/15/2001 1,500 1,442
Williams Communications Group, Inc.
6.540% due 11/15/2001 200 200
Williams Holdings, Inc.
6.680% due 06/13/2000 2,500 2,498
---------
21,378
=========
Utilities 8.7%
Arizona Public Service
5.750% due 09/15/2000 2,000 1,987
Central Power & Light Co.
6.710% due 11/23/2001 (d) 2,000 2,001
Cleveland Electric/Toledo Edison
7.190% due 07/01/2000 500 499
Dominion Resources, Inc.
6.195% due 01/26/2001 (d) 500 497
Entergy Arkansas, Inc.
7.720% due 03/01/2003 200 199
New Century Energies, Inc.
5.860% due 05/30/2000 1,000 998
Sierra Pacific Resources
6.830% due 10/06/2000 (d) 4,000 3,998
Sprint Capital Corp.
6.386% due 11/15/2001 (d) 1,700 1,701
System Energy Resources
7.710% due 08/01/2001 650 650
Texas Utilities Co.
6.410% due 11/21/2001 1,000 985
---------
13,515
---------
Total Corporate Bonds & Notes 62,868
(Cost $63,361) =========
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.6%
--------------------------------------------------------------------------------
Student Loan Marketing Assn.
5.129% due 06/30/2000 (d) 900 900
5.711% due 04/25/2004 (d) 158 158
6.635% due 07/25/2006 (d) 2,024 2,018
6.595% due 01/25/2007 (d) 532 532
6.565% due 04/25/2007 (d) 418 416
---------
Total U.S. Government Agencies 4,024
(Cost $4,024) =========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 12.9%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities (h)
3.625% due 07/15/2002 (i) 6,320 6,302
3.375% due 01/15/2007 3,194 3,075
3.625% due 01/15/2008 209 203
U.S. Treasury Bonds
10.625% due 08/15/2015 200 286
8.875% due 08/15/2017 3,000 3,838
8.750% due 08/15/2020 800 1,035
8.000% due 11/15/2021 (i) 500 609
6.250% due 05/15/2030 2,300 2,434
U.S. Treasury Notes
5.500% due 05/31/2000 (b) 2,035 2,034
5.125% due 08/31/2000 100 100
U.S. Treasury Strips
0.000% due 05/15/2020 300 90
0.000% due 11/15/2021 100 28
---------
Total U.S. Treasury Obligations 20,034
(Cost $19,582) =========
See accompanying notes 63
<PAGE>
Schedule of Investments (Cont.)
Strategic Balanced Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 24.3%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 10.2%
Countrywide Home Loans
6.050% due 04/25/2029 $ 289 $ 283
Federal Home Loan Mortgage Corp.
5.876% due 05/18/2000 (d) 1,000 1,000
5.500% due 07/15/2005 32 32
10.150% due 04/15/2006 6 6
7.000% due 05/15/2023 1,763 1,626
6.500% due 08/15/2023 187 175
6.500% due 03/15/2024 307 276
Federal National Mortgage Assn.
6.740% due 08/25/2007 145 141
5.700% due 06/25/2017 1,044 1,033
9.500% due 06/25/2018 210 221
4.000% due 01/25/2022 126 109
5.000% due 04/25/2022 48 42
7.000% due 06/25/2023 272 259
6.500% due 12/25/2023 148 131
First Plus Home Loan Trust
6.060% due 09/10/2011 823 821
General Electric Capital Mortgage Services, Inc.
6.250% due 12/25/2028 1,481 1,326
GMAC Commercial Mortgage Securities, Inc.
6.150% due 11/15/2007 274 260
Greenwich
7.272% due 04/25/2022 (d) 314 313
Housing Securities, Inc.
5.864% due 07/25/2032 (d) 738 738
Independent National Mortgage Corp.
7.218% due 11/25/2024 (d) 114 115
8.432% due 11/25/2024 (d) 52 53
8.350% due 06/25/2025 215 215
Morgan Stanley Capital
6.590% due 10/03/2030 928 903
Norwest Asset Securities Corp.
6.500% due 02/25/2029 2,000 1,826
6.750% due 08/25/2029 437 429
PNC Mortgage Securities Corp.
6.625% due 03/25/2028 320 311
6.500% due 11/25/2029 999 910
Prudential Securities Secured Financing Corp.
6.955% due 06/15/2008 965 944
Resecuritization Mortgage Trust
6.069% due 04/26/2021 (d) 447 435
Resolution Trust Corp.
8.000% due 06/25/2026 831 828
Structured Asset Securities Corp.
6.295% due 12/25/2000 (d) 96 96
---------
15,857
=========
Federal Home Loan Mortgage Corp. 0.2%
8.500% due 03/01/2023 258 264
---------
Federal Housing Administration 2.5%
6.000% due 03/20/2028 1,833 1,670
6.930% due 07/01/2014 (d) 533 474
7.430% due 01/01/2023 1,723 1,682
---------
3,826
=========
Federal National Mortgage Assn. 0.7%
6.130% due 03/01/2029 (d) 350 341
6.500% due 09/01/2005 249 244
7.472% due 12/01/2023 (d) 167 171
8.500% due 07/01/2002-01/01/2008 (g) 283 289
---------
1,045
=========
Government National Mortgage Assn. 10.2%
6.000% due 04/19/2030 4,000 3,660
6.375% due 04/20/2023-06/20/2027 (d)(g) 1,393 1,400
6.500% due 01/15/2024-04/19/2030 (d)(g) 1,837 1,736
6.750% due 07/20/2023-08/20/2026 (d)(g) 616 621
6.875% due 01/15/2001-02/01/2040 (g) 1,000 963
7.000% due 01/20/2027-04/19/2030 (d)(g) 1,432 1,388
7.250% due 08/24/2024 (d) 286 287
7.500% due 05/15/2017-04/19/2030 (g) 4,705 4,655
8.000% due 09/15/2006-04/19/2030 (g) 835 844
9.500% due 09/15/2009-10/15/2009 (g) 69 70
10.750% due 09/15/2000-10/15/2000 (g) 13 13
16.000% due 10/15/2011-04/15/2012 (g) 148 172
---------
15,809
=========
Mortgage-Backed Securities 0.1%
CS First Boston Mortgage Securities
6.960% due 01/20/2004 204 202
---------
Other Mortgage-Backed Securities 0.3%
Home Savings of America
5.722% due 05/25/2027 (d) 549 521
---------
Stripped Mortgage-Backed Securities 0.1%
Collateralized Mortgage Obligation Trust (PO)
0.000% due 04/23/2017 13 13
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2016 236 4
7.000% due 02/15/2017 49 0
Federal National Mortgage Assn. (IO)
6.500% due 05/25/2005 780 88
6.500% due 09/25/2008 314 26
---------
131
---------
Total Mortgage-Backed Securities 37,655
(Cost $38,519) =========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 4.2%
--------------------------------------------------------------------------------
Amresco Residential Securities Mortgage Loan Trust
6.315% due 07/25/2027 (d) 534 533
Arcadia Automobile Receivables Trust
6.500% due 06/17/2002 297 298
Contimortgage Home Equity Loan Trust
6.174% due 10/15/2012 (d) 244 244
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 63 62
Green Tree Financial Corp.
7.860% due 04/01/2031 400 409
Money Store Home Equity Trust
6.550% due 09/15/2021 1,062 1,056
NPF XII, Inc.
6.588% due 11/01/2003 (d) 1,000 1,000
Saxon Asset Securities Trust
6.355% due 05/25/2029 (d) 2,272 2,267
WMC Mortgage Loan
6.090% due 03/20/2028 (d) 670 669
---------
Total Asset-Backed Securities 6,538
(Cost $6,543) =========
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 1.8%
--------------------------------------------------------------------------------
Government of Brazil
7.000% due 01/01/2001 (d) 1,107 1,103
Hydro Quebec
6.500% due 09/29/2049 (d) 200 173
Republic of Korea
8.281% due 04/08/2000 (d) 549 551
United Mexican States
7.493% due 06/27/2002 (d) 1,000 1,004
---------
Total Sovereign Issues 2,831
(Cost $2,811) =========
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(e) 5.7%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
10.000% due 03/15/2002 (i) N$ 300 157
5.500% due 04/15/2003 (i) 500 238
International Bank for Reconstruction & Development
0.000% due 05/27/2003 (i) 100 49
Tecnost International NV
5.616% due 06/23/2004 (d) EC 8,600 8,442
---------
Total Foreign Currency-Denominated Issues 8,886
(Cost $9,559) =========
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
--------------------------------------------------------------------------------
Eurodollar June Futures (CME)
Strike @ 92.000 Exp. 06/19/2000 $ 188 $ 1
S&P 500 Index June Futures
Strike @ 1,540.000 Exp. 06/16/2000 25 3
---------
Total Purchased Put Options 4
(Cost $3) =========
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 1.3%
--------------------------------------------------------------------------------
Industrial 1.3%
Hercules Trust VI
8.625% due 12/29/2000 (d) 2,000 1,999
---------
Total Convertible Bonds and Notes 1,999
(Cost $2,000) =========
--------------------------------------------------------------------------------
PREFERRED SECURITY 0.7%
--------------------------------------------------------------------------------
DG Funding Trust
6.181% due 12/29/2049 110 1,104
---------
Total Preferred Security 1,104
(Cost $1,100) =========
--------------------------------------------------------------------------------
COMMON STOCKS 0.9%
--------------------------------------------------------------------------------
Utilities 0.9%
Eastern Enterprises 100,000 6
Florida Progress Corp. 7,800 358
LG&E Energy Corp. 600 14
MCN Energy Group, Inc. 28,700 718
Northeast Utilities 16,500 355
---------
Total Common Stocks 1,451
(Cost $1,429) =========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 15.2%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 11.4%
Alcoa, Inc.
5.920% due 05/12/2000 $ 800 795
Conoco, Inc.
5.860% due 04/05/2000 1,400 1,399
E.I. Du Pont de Nemours
6.030% due 06/08/2000 100 100
Federal Home Loan Mortgage Corp.
5.970% due 05/02/2000 1,000 995
General Electric Capital Corp.
5.930% due 05/19/2000 1,200 1,191
5.950% due 05/19/2000 1,600 1,588
6.060% due 06/07/2000 1,000 989
Merck & Co.
5.970% due 04/24/2000 4,000 3,987
Monsanto Co.
6.070% due 06/14/2000 800 790
Reseau Ferre De France
6.030% due 05/30/2000 800 792
Southwestern Public Service
6.030% due 05/05/2000 3,400 3,382
Xerox Credit Corp.
6.110% due 06/12/2000 1,700 1,680
---------
17,688
=========
Repurchase Agreement 1.9%
State Street Bank
5.600% due 04/03/2000 2,844 2,844
---------
(Dated 03/31/2000. Collateralized by Federal Home
Loan Bank 6.000% due 08/15/2002 valued at $2,906.
Repurchase proceeds are $2,845.)
U.S. Treasury Bills 1.9%
5.426% due 04/27/2000-05/25/2000 (b)(g) $ 2,976 $ 2,952
---------
Total Short-Term Instruments 23,484
(Cost $23,484) ---------
Total Investments (a) 110.2% $ 170,878
(Cost $172,415)
Written Options (c) (0.7%) (1,022)
(Premiums $692)
Other Assets and Liabilities (Net) (9.5%) (14,858)
---------
Net Assets 100.0% $ 154,998
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes of $172,420 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. (2,375)
---------
Unrealized depreciation-net $ (1,542)
=========
(b) Securities with an aggregate market value of $4,986 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Eurodollar March Futures (03/2001) 22 $ (7)
EuroBond 10 Year Note (06/2000) 70 (98)
S&P 500 Index (06/2000) 234 6,837
U.S. Treasury 10 Year Note (06/2000) 30 75
U.S. Treasury 5 Year Note 9 12
U.S. Treasury 30 Year Note (06/2000)15 (51)
Municipal Bond (06/2000) 50 41
---------
$ 6,809
=========
(c) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Buy EC 630 04/2000 $ (4)
Sell 7,961 04/2000 65
Buy HF 300,000 09/2000 (23)
---------
$ 38
=========
(d) Variable rate security. The rate listed is as of March 31, 2000
(e) Principal amount denoted in indicated currency:
EC - Euro
HF - Hungarian Forint
N$ - New Zealand Dollar
See accompanying notes 65
<PAGE>
Schedule of Investments (Cont.)
Strategic Balanced Fund
March 31, 2000
(f) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 98.00 Exp. 05/20/2000 12 $ 7 $ 13
Call - CBOT U.S. Treasury Note June Futures
Strike @ 98.00 Exp. 05/20/2000 4 2 4
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 100.00 Exp. 05/20/2000 9 3 4
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 82.00 Exp. 05/20/2000 29 8 0
Put - CBOT U.S. Treasury Note June Futures
Strike @ 96.00 Exp. 05/20/2000 28 8 2
Put - CBOT U.S. Treasury Note June Futures
Strike @ 95.00 Exp. 05/20/2000 4 1 0
Call - OTC U.S Treasury Note
6.125% due 08/15/2029
Strike @ 96.06 Exp. 05/12/2000 100 242 627
Put - OTC U.S. Treasury Note
6.125% due 08/15/2029
Strike @ 96.06 Exp. 05/12/2000 100 242 26
Call - CME S&P 500 June Futures
Strike @ 1,540.00 Exp. 06/16/2000 6 48 72
Call - CME Eurodollar December Futures
Strike @ 92.75 Exp. 12/18/2000 5 3 4
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.93 Exp. 04/19/2000 4,960,000 11 9
Put - CME Eurodollar December Futures
Strike @ 93.50 Exp. 12/18/2000 127 109 252
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 5 4 4
Call - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 10 4 5
---------------------
$ 692 $ 1,022
=====================
(g) Securities 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 a financing transaction.
(j) Swap agreements outstanding at March 31, 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 0.12%.
Broker: Lehman Brothers
Exp. 07/31/2000 $ 7,615 $ 0
Receive floating rate based on 3 month LIBOR
and pay fixed rate equal to 7.466%.
Broker: Morgan Stanley
Exp. 02/11/2005 900 (8)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.408%.
Broker: Goldman Sachs
Exp. 02/25/2005 8,000 (49)
---------
$ (57)
=========
Fixed Notional Unrealized
Type Rate (%) Amount Appreciation
--------------------------------------------------------------------------------
Receive the 30-year Swap Spread and pay a fixed
rate. 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 $ 1,100 $ 12
Broker: Goldman Sachs
Exp. 08/14/2000 1.1500 200 0
Receive the 10-year Swap Spread and pay a fixed
rate. The 10-year Swap Spread is the difference
between the 10-year Swap Rate and the 10-year
Treasury Rate.
Broker: Goldman Sachs
Exp. 08/14/2000 0.9470 600 2
---------
$ 14
=========
66 See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 47.3%
--------------------------------------------------------------------------------
Banking & Finance 31.6%
Abbey National Capital Trust I
8.963% due 12/29/2049 $ 23,400 $ 23,905
Abbey National PLC
6.700% due 06/29/2049 5,000 4,546
Abbey National Treasury Service
6.625% due 05/23/2001 240 240
ABN AMRO Mortgage Corp.
7.250% due 05/31/2005 150 148
Aetna, Inc.
6.750% due 08/15/2001 250 247
7.250% due 08/15/2023 50 44
Ahmanson (H.F.) & Co.
7.650% due 04/15/2000 175 175
Allstate Corp.
6.750% due 05/15/2018 280 246
6.900% due 05/15/2038 77,200 65,781
American Express
8.500% due 08/15/2001 350 356
5.625% due 01/22/2004 8,700 8,179
6.250% due 08/10/2005 1,000 981
American General Finance
7.250% due 04/15/2000 500 500
6.270% due 06/09/2000 800 799
5.875% due 07/01/2000 75 75
6.050% due 07/02/2001 3,000 2,953
7.450% due 07/01/2002 200 200
6.250% due 12/18/2002 1,165 1,129
6.375% due 03/01/2003 350 340
8.125% due 03/15/2046 270 258
American Health Properties, Inc.
7.050% due 01/15/2002 700 676
Anthem Insurance
9.000% due 04/01/2027 210 196
AON Capital Trust `A'
8.205% due 01/01/2027 725 691
Aristar, Inc.
7.375% due 09/01/2004 20,000 19,786
Associates Corp. of North America
6.000% due 06/15/2000 2,684 2,679
6.310% due 06/16/2000 500 500
6.250% due 09/15/2000 200 199
6.625% due 05/15/2001 1,300 1,291
6.700% due 05/29/2001 100 99
6.750% due 07/15/2001 24,000 23,834
7.000% due 07/23/2001 500 499
6.210% due 08/27/2001 (d) 13,500 13,494
6.450% due 10/15/2001 23,600 23,303
7.500% due 04/15/2002 185 185
6.500% due 07/15/2002 750 736
5.750% due 11/01/2003 4,875 4,619
5.800% due 04/20/2004 150 141
Associates First Capital Corp.
6.000% due 12/01/2002 500 483
AT&T Capital Corp.
7.500% due 11/15/2000 5,000 5,014
6.730% due 12/01/2000 (d) 1,900 1,908
6.875% due 01/16/2001 230 230
6.800% due 02/01/2001 24,900 24,836
6.250% due 05/15/2001 19,443 19,245
7.000% due 08/15/2001 16,600 16,539
7.110% due 09/13/2001 (d) 1,030 1,027
6.900% due 01/30/2002 1,000 992
6.750% due 02/04/2002 1,925 1,904
6.310% due 04/23/2002 (d) 74,000 74,208
AVCO Financial Services
6.350% due 09/15/2000 100 100
7.375% due 08/15/2001 300 300
Banco Latinoamericano SA
6.500% due 04/02/2001 950 944
Banco Nacional de Comercio Exterior
8.000% due 04/14/2000 4,600 4,598
7.500% due 07/01/2000 2,000 2,005
7.250% due 02/02/2004 15,050 14,373
Banesto Delaware
8.250% due 07/28/2002 28,900 29,355
Bank of Hawaii
6.875% due 06/01/2003 750 733
Bank of Tokyo - Mitsubishi
8.400% due 04/15/2010 112,000 113,864
Bank One Corp.
6.086% due 04/19/2001 (d) 2,000 2,006
6.169% due 09/04/2001 (d) 14,000 13,977
6.281% due 06/26/2002 (d) 4,000 3,997
BankAmerica Corp.
5.375% due 04/15/2000 750 750
6.160% due 02/26/2001 (d) 3,000 3,001
6.170% due 03/05/2001 (d) 44,000 43,954
6.173% due 02/20/2002 (d) 35,180 35,110
8.125% due 06/15/2002 350 354
7.750% due 07/15/2002 360 363
7.200% due 09/15/2002 1,000 995
7.500% due 10/15/2002 1,200 1,203
6.850% due 03/01/2003 65 64
6.875% due 06/01/2003 100 98
6.375% due 05/15/2005 1,000 948
7.125% due 05/01/2006 500 490
8.375% due 05/01/2007 2 2
9.375% due 09/15/2009 12,950 14,387
7.800% due 02/15/2010 84,000 84,805
8.570% due 11/15/2024 125 140
BankBoston Corp.
6.125% due 03/15/2002 12,500 12,172
Bankers Trust
8.090% due 12/01/2026 275 266
Bankers Trust Corp.
9.400% due 03/01/2001 385 392
6.750% due 10/03/2001 500 496
8.125% due 05/15/2002 300 303
6.066% due 07/03/2002 (d) 10,000 9,972
7.125% due 07/31/2002 150 148
6.200% due 05/11/2003 (d) 82,800 82,775
6.000% due 10/15/2008 500 448
Banponce Financial Corp.
6.463% due 11/13/2001 13,000 12,756
Bayerische Landesbank NY
0.000% due 05/17/2000 (d) 306,000 300,370
6.200% due 02/09/2006 250 234
Bear Stearns Co., Inc.
6.750% due 08/15/2000 50 50
6.500% due 01/08/2001 (d) 8,100 8,134
6.228% due 01/28/2002 (d) 11,250 11,232
6.323% due 04/05/2002 (d) 25,000 25,009
6.348% due 05/07/2002 (d) 4,300 4,299
6.424% due 08/01/2002 (d) 53,600 53,722
6.510% due 12/16/2002 (d) 46,100 46,097
6.125% due 02/01/2003 25 24
6.596% due 03/28/2003 (d) 15,800 15,809
6.750% due 04/15/2003 105 102
6.418% due 05/06/2003 (d) 13,000 13,034
6.415% due 05/16/2003 (d) 39,200 39,298
6.130% due 07/22/2003 (d) 19,000 19,022
6.150% due 03/02/2004 150 142
8.750% due 03/15/2004 75 78
6.521% due 06/01/2004 (d) 9,265 9,299
6.625% due 10/01/2004 250 240
6.566% due 03/18/2005 (d) 37,000 37,026
6.250% due 07/15/2005 25,000 23,409
6.750% due 12/15/2007 2,000 1,892
Bell Atlantic Financial
5.750% due 04/01/2003 1,500 1,524
See accompanying notes 67
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Beneficial Corp.
5.950% due 07/25/2000 $ 5,000 $ 4,991
6.730% due 01/09/2001 (d) 16,000 15,994
6.110% due 01/09/2002 (d) 500 502
6.210% due 01/23/2002 (d) 5,000 5,001
6.291% due 03/01/2002 (d) 50,000 50,063
8.000% due 06/18/2002 400 405
6.030% due 01/14/2003 320 308
Bombardier Capital, Inc.
6.000% due 01/15/2002 28,000 27,227
7.300% due 12/15/2002 9,000 8,862
6.700% due 06/09/2032 (d) 16,150 16,000
BTM Holdings
6.680% due 09/29/2049 (d) 6,000 6,000
Caithness Coso Fund Corp.
6.800% due 12/15/2001 11,988 11,852
Capital One Bank
6.750% due 07/28/2003 (d) 2,200 2,199
Case Credit Corp.
5.950% due 08/01/2000 2,375 2,367
5.850% due 02/20/2001 (d) 1,600 1,579
Caterpillar Financial Service Corp.
6.151% due 05/27/2001 (d) 10,000 9,997
6.480% due 12/12/2001 575 568
6.300% due 02/11/2002 (d) 700 702
Central Hispano Financial Services
6.540% due 04/28/2005 (d) 5,000 5,002
Chase Manhattan Corp.
8.500% due 02/15/2002 200 204
5.750% due 04/15/2004 150 142
6.000% due 02/15/2009 800 721
Chemical Banking Corp.
6.125% due 11/01/2008 400 360
Chrysler Financial Co. LLC
5.860% due 01/16/2001 500 496
6.034% due 06/11/2001 (d) 21,400 21,402
5.690% due 11/15/2001 650 636
5.400% due 01/15/2002 15,750 15,251
6.950% due 03/25/2002 50 50
6.129% due 07/17/2002 (d) 20,000 20,000
6.144% due 08/08/2002 (d) 37,000 37,034
6.184% due 02/03/2003 (d) 35,000 35,020
6.174% due 03/06/2003 (d) 25,000 25,184
6.164% due 03/10/2003 (d) 10,000 10,072
6.124% due 06/18/2003 35,000 34,990
Chubb Capital Corp.
6.875% due 02/01/2003 100 99
Cigna Corp.
8.250% due 01/01/2007 250 252
Cincinnati Financial Corp.
6.900% due 05/15/2028 80,925 73,136
CIT Group, Inc.
6.200% due 10/20/2000 525 523
6.750% due 05/14/2001 30,000 29,829
6.393% due 10/01/2002 (d) 600 601
CIT Holdings LLC
6.875% due 02/16/2005 7,500 7,295
Citicorp
6.235% due 05/24/2001 (d) 139,000 139,046
6.223% due 09/17/2001 (d) 65 65
6.179% due 11/13/2001 (d) 10,000 10,002
6.231% due 06/27/2002 (d) 11,450 11,411
6.186% due 08/15/2002 (d) 11,500 11,490
6.224% due 11/12/2002 (d) 30,000 29,974
8.000% due 02/01/2003 250 253
7.125% due 09/01/2005 400 393
7.250% due 09/01/2008 500 491
Citifinancial
6.375% due 09/15/2002 115 112
6.500% due 08/01/2004 400 387
Comerica, Inc.
7.250% due 06/15/2007 200 195
Commercial Credit Co.
6.750% due 05/15/2000 100 100
6.000% due 06/15/2000 300 300
5.550% due 02/15/2001 1,300 1,284
8.250% due 11/01/2001 2,500 2,540
6.875% due 05/01/2002 335 332
7.750% due 03/01/2005 550 556
Countrywide Home Loans
6.250% due 04/15/2009 600 541
Credit Asset Receivable
6.274% due 10/31/2003 41,870 40,921
Credit Lyonnais
5.688% due 07/21/2000 (d) 6,750 6,736
Deutsche Bank Capital Trust I
7.872% due 12/29/2049 20,875 19,848
Deutsche Bank Financial
7.500% due 04/25/2009 3,000 2,955
Donaldson, Lufkin & Jenrette
6.400% due 09/18/2002 (d) 13,600 13,589
6.170% due 07/15/2003 20,000 19,168
Dow Capital BV
7.125% due 01/15/2003 100 99
Dresdner Bank-New York
6.625% due 09/15/2005 1,000 957
Dresdner Funding Trust I
8.151% due 06/30/2031 17,500 16,418
Duke Capital Corp.
7.250% due 10/01/2004 19,000 18,789
Edison Funding
6.950% due 12/19/2000 7,000 7,002
EOP Operating LP
6.376% due 02/15/2002 26,310 25,638
Export Credit Bank of Turkey
8.385% due 08/18/2000 (d) 10,740 10,750
8.820% due 08/18/2000 2,923 2,915
Export-Import Bank Korea
6.500% due 11/15/2006 5,000 4,765
Exxon Capital Corp.
7.450% due 12/15/2001 250 252
6.125% due 09/08/2008 2,000 1,864
Farmers Insurance
8.625% due 05/01/2024 275 281
Finova Capital Corp.
5.875% due 10/15/2001 1,000 976
6.720% due 11/08/2002 (d) 52,250 52,448
6.480% due 04/08/2003 (d) 300 300
6.390% due 06/18/2003 (d) 32,300 32,289
6.330% due 11/24/2003 700 652
First Chicago Corp.
6.230% due 03/11/2002 (d) 10,000 10,016
6.230% due 02/18/2003 (d) 10,000 9,939
6.165% due 07/28/2003 (d) 50 50
First Interstate Bancorp
8.875% due 01/01/2009 (l) 162 163
First Union Corp.
7.100% due 08/15/2004 3,000 2,959
7.700% due 02/15/2005 4,000 4,051
6.375% due 01/15/2009 500 457
Fleet Financial Group
9.900% due 06/15/2001 200 206
Ford Capital BV
9.500% due 06/01/2010 200 220
Ford Motor Credit Corp.
6.375% due 10/06/2000 1,300 1,296
6.250% due 11/08/2000 750 747
7.020% due 06/07/2001 1,000 999
6.710% due 07/13/2001 (d) 46,500 46,747
6.210% due 08/27/2001 (d) 27,500 27,497
6.249% due 09/03/2001 (d) 27,000 27,020
7.000% due 09/25/2001 1,125 1,121
6.160% due 10/15/2001 (d) 13,000 13,012
6.240% due 11/16/2001 (d) 76,800 76,860
8.240% due 01/15/2002 85 86
6.165% due 01/17/2002 (d) 53,945 53,769
68 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
8.200% due 02/15/2002 $ 500 $ 507
6.500% due 02/28/2002 1,710 1,684
6.341% due 03/19/2002 (d) 28,208 28,283
6.200% due 04/29/2002 (d) 33,000 33,016
6.298% due 05/23/2002 14,000 14,000
6.269% due 06/04/2002 (d) 2,000 2,000
6.300% due 07/16/2002 (d) 98,480 98,718
6.550% due 09/10/2002 4,000 3,930
6.190% due 10/15/2002 (d) 14,000 13,995
7.750% due 11/15/2002 5,730 5,772
6.320% due 12/16/2002 (d) 56,000 55,864
6.000% due 01/14/2003 1,000 963
7.500% due 01/15/2003 250 250
6.218% due 02/03/2003 (d) 30,000 29,931
6.224% due 02/13/2003 (d) 250,185 249,587
6.199% due 02/13/2003 (d) 100,000 99,956
6.330% due 03/17/2003 (d) 13,000 13,000
6.125% due 04/28/2003 25,580 24,655
6.625% due 06/30/2003 775 758
6.370% due 11/24/2003 (d) 32,000 32,063
5.750% due 02/23/2004 620 584
6.310% due 05/21/2004 (d) 22,200 22,246
6.309% due 06/02/2004 (d) 1,500 1,495
6.700% due 07/16/2004 92,305 89,590
8.250% due 02/23/2005 2,500 2,577
7.500% due 03/15/2005 17,000 16,959
6.228% due 04/28/2005 (d) 58,000 57,831
6.125% due 01/09/2006 25 23
5.800% due 01/12/2009 155 137
Fuji Bank
9.870% due 12/31/2049 (d) 17,875 17,786
GATX Capital Corp.
6.440% due 06/09/2000 3,000 2,998
General Electric Capital Corp.
6.875% due 04/15/2000 200 200
8.375% due 03/01/2001 1,415 1,432
6.020% due 05/04/2001 1,000 990
5.500% due 11/01/2001 50 49
5.650% due 03/31/2003 125 120
6.210% due 12/09/2005 400 382
8.300% due 09/20/2009 1,125 1,211
General Motors Acceptance Corp.
9.375% due 04/01/2000 (d) 235 235
5.800% due 04/09/2001 8,340 8,239
6.800% due 04/17/2001 4,800 4,790
5.950% due 04/20/2001 22,150 21,904
6.700% due 04/30/2001 3,000 2,988
7.125% due 05/01/2001 44,395 44,355
6.750% due 06/05/2001 880 876
6.875% due 07/15/2001 1,000 996
6.310% due 08/23/2001 (d) 48,000 48,189
6.060% due 10/22/2001 (d) 25,700 25,658
6.485% due 11/26/2001 (d) 19,000 19,127
6.375% due 12/01/2001 265 261
6.230% due 12/10/2001 (d) 2,200 2,199
9.625% due 12/15/2001 5,650 5,844
6.548% due 12/17/2001 (d) 13,000 13,090
6.130% due 01/08/2002 (d) 3,000 3,007
6.625% due 01/10/2002 500 493
6.140% due 01/28/2002 (d) 3,000 3,000
6.130% due 02/01/2002 (d) 36,700 36,701
6.750% due 02/07/2002 1,590 1,571
6.330% due 03/15/2002 (d) 10,215 10,251
7.750% due 03/25/2002 125 126
6.165% due 04/29/2002 (d) 221,144 221,238
7.000% due 09/15/2002 250 247
6.625% due 10/01/2002 5,000 4,908
6.330% due 10/07/2002 (d) 1,100 1,101
6.199% due 11/12/2002 (d) 10,200 10,180
6.299% due 11/12/2002 (d) 19,595 19,621
6.327% due 12/09/2002 (d) 64,050 64,093
6.200% due 12/15/2002 500 485
5.480% due 12/16/2002 150 143
6.000% due 01/15/2003 990 953
5.875% due 01/22/2003 30,500 29,268
6.750% due 03/15/2003 40,125 39,384
7.125% due 05/01/2003 36,000 35,648
6.681% due 07/20/2003 (d) 9,956 9,947
6.190% due 08/18/2003 (d) 89,940 89,459
5.550% due 09/15/2003 32,000 30,201
6.625% due 10/20/2003 2,000 1,951
5.750% due 11/10/2003 1,000 946
6.251% due 04/05/2004 (d) 35,200 35,122
6.351% due 05/28/2004 (d) 73,000 73,644
6.850% due 06/17/2004 1,000 975
6.551% due 09/20/2004 (d) 20,137 20,119
6.650% due 11/17/2005 500 480
6.150% due 04/05/2007 150 139
8.950% due 07/02/2009 21,483 22,321
Golden State Holdings
2.281% due 01/02/2000 15 335
6.750% due 08/01/2001 1,950 1,881
Goldman Sachs Group
6.200% due 12/15/2000 6,500 6,468
6.210% due 01/09/2001 (d) 75,000 75,150
6.456% due 01/12/2001 (d) 25,000 25,103
6.469% due 01/16/2001 (d) 39,000 39,112
6.220% due 01/25/2001 (d) 27,400 27,426
6.340% due 02/20/2001 (d) 3,000 3,008
6.773% due 04/16/2001 (d) 18,000 18,008
6.390% due 12/07/2001 (d) 25,000 25,060
6.496% due 12/24/2001 (d) 6,000 6,014
6.490% due 02/18/2002 (d) 2,300 2,312
6.340% due 02/22/2002 (d) 3,500 3,504
6.370% due 01/16/2003 (d) 15,000 15,079
6.270% due 01/17/2003 (d) 145,000 145,089
6.349% due 02/10/2004 (d) 10,000 9,806
6.640% due 02/19/2004 (d) 10,000 10,147
6.800% due 02/09/2009 (d) 10,000 10,463
6.500% due 02/25/2009 140 130
Hansol Paper Co. Ltd.
7.934% due 05/24/2001 (d) 20,000 20,200
Hartford Life, Inc.
6.900% due 06/15/2004 600 586
Heller Financial, Inc.
6.240% due 08/25/2000 (d) 3,000 3,002
6.477% due 09/12/2000 5,000 4,989
6.448% due 02/05/2001 13,000 13,017
6.250% due 03/01/2001 25,000 24,774
6.441% due 06/25/2001 (d) 74,550 74,718
5.750% due 09/25/2001 1,400 1,367
6.370% due 10/22/2001 (d) 19,200 19,250
6.500% due 11/01/2001 250 247
7.000% due 11/09/2001 (d) 2,500 2,522
6.220% due 04/26/2002 (d) 12,000 11,979
6.280% due 05/07/2002 (d) 2,000 1,997
6.269% due 05/13/2002 (d) 10,000 9,980
6.460% due 06/24/2002 (d) 5,100 5,095
6.270% due 04/28/2003 (d) 26,000 25,971
6.300% due 04/28/2003 (d) 55,750 55,524
Hertz Corp.
7.000% due 07/15/2003 13,300 13,111
Hitachi Credit America
6.221% due 05/15/2000 25,000 25,008
6.280% due 07/07/2000 (d) 40,000 40,015
Home Savings of America
6.000% due 11/01/2000 14,175 14,075
Household Bank
6.341% due 09/26/2001 (d) 9,000 9,002
6.228% due 10/22/2003 (d) 15,000 14,936
Household Capital Trust
6.531% due 06/26/2004 (d) 13,925 13,850
Household Finance Corp.
6.349% due 06/22/2001 (d) 3,000 3,007
6.199% due 08/01/2001 (d) 1,500 1,500
6.199% due 11/01/2001 (d) 5,000 5,000
6.223% due 05/07/2002 (d) 40,850 40,868
6.310% due 05/24/2002 (d) 113,800 113,762
7.080% due 06/03/2002 15,000 14,893
5.875% due 11/01/2002 200 193
See accompanying notes 69
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
6.430% due 06/24/2003 $ 35,000 $ 34,990
6.506% due 06/24/2003 (d) 31,000 30,982
7.000% due 08/01/2003 20,000 19,675
6.500% due 11/15/2008 2,000 1,844
Household Netherlands BV
6.125% due 03/01/2003 18,100 17,282
Hyatt Equities LLC
6.800% due 05/15/2000 1,040 1,039
Inter-American Development Bank
5.750% due 04/15/2004 57,400 26,690
8.875% due 06/01/2009 200 224
7.375% due 01/15/2010 4,200 4,267
International Bank for Reconstruction & Development
7.000% due 01/27/2005 1,000 1,010
International Lease Finance
7.000% due 05/15/2000 500 500
6.420% due 09/11/2000 500 500
5.930% due 07/15/2003 14,000 13,435
J.P. Morgan & Co.
6.250% due 12/15/2005 200 188
JET Equipment Trust
10.000% due 06/15/2012 80 89
10.690% due 11/01/2013 100 117
John Hancock
7.375% due 02/15/2024 360 340
KBC Bank Fund Trust III
9.860% due 11/29/2049 (d) 5,700 6,046
KBC Bank Fund Trust IV
8.220% due 11/29/2049 20,764 20,992
Key Bank NA
7.550% due 09/15/2006 350 349
Kimco Realty Corp.
6.500% due 10/01/2003 200 192
Korea Development Bank
7.154% due 10/06/2000 (d) 5,000 5,001
6.500% due 11/15/2002 440 422
7.125% due 04/22/2004 19,125 18,371
7.375% due 09/17/2004 15,000 14,515
6.750% due 12/01/2005 55 51
7.250% due 05/15/2006 50 47
6.510% due 10/20/2000 11,000 10,948
6.000% due 03/07/2001 350,000 3,582
8.600% due 03/25/2002 5,600 5,631
Korean Export-Import Bank
7.250% due 06/25/2001 2,600 2,591
7.125% due 09/20/2001 10,000 9,853
6.500% due 02/10/2002 12,391 12,025
7.100% due 03/15/2007 1,600 1,580
LB Rheinland - PFALZ
5.000% due 02/23/2028 3,400 3,229
Lehman Brothers Holdings, Inc.
7.120% due 07/27/2000 (d) 8,000 7,975
6.400% due 08/30/2000 200 200
6.538% due 12/01/2000 (d) 500 501
6.125% due 02/01/2001 2,000 1,977
6.610% due 02/20/2001 1,500 1,500
6.000% due 02/26/2001 700 692
6.138% due 06/01/2001 (d) 101,600 101,601
6.604% due 07/03/2001 (d) 10,000 10,055
6.904% due 04/02/2002 (d) 64,150 64,528
6.375% due 05/07/2002 26,395 25,763
6.798% due 05/07/2002 (d) 42,100 42,255
6.840% due 07/15/2002 (d) 43,051 43,319
6.419% due 08/12/2002 (d) 6,500 6,472
6.880% due 08/28/2002 (d) 6,500 6,547
6.410% due 09/03/2002 (d) 14,000 13,870
6.690% due 12/12/2002 (d) 57,100 57,266
6.690% due 04/04/2003 (d) 123,100 124,902
7.000% due 05/15/2003 150 147
6.625% due 04/01/2004 65 63
7.625% due 06/01/2006 350 344
8.500% due 05/01/2007 1,475 1,519
LG&E Capital Corp.
6.205% due 05/01/2004 1,000 954
6.460% due 01/15/2008 3,000 2,816
Liberty Mutual Insurance
8.200% due 05/04/2007 17,510 17,654
Limestone Electron Trust
8.625% due 03/15/2003 71,000 71,451
Marine Midland
6.313% due 12/16/2000 (d) 3,700 3,698
MBNA America Bank NA
6.199% due 05/01/2000 (d) 400 400
6.290% due 04/25/2002 (d) 1,000 996
6.875% due 07/15/2004 46,000 44,467
MBNA Corp.
6.990% due 05/24/2002 1,000 987
6.600% due 09/10/2002 (d) 5,000 5,015
6.505% due 12/10/2002 2,100 2,062
MCN Investment Corp.
6.030% due 02/01/2001 6,850 6,766
7.120% due 01/16/2004 7,500 7,144
6.300% due 04/02/2011 7,500 7,392
Mellon Bank Corp.
6.500% due 08/01/2005 75 72
Mellon Financial Co.
6.300% due 06/01/2000 250 250
Mercury Finance Co.
10.000% due 03/23/2001 2,050 1,989
Merrill Lynch & Co.
6.620% due 06/06/2000 500 500
6.450% due 06/20/2000 350 350
6.250% due 07/25/2000 490 490
6.298% due 09/25/2000 (d) 5,000 5,005
6.054% due 10/03/2000 (d) 2,000 2,000
6.770% due 12/05/2000 (d) 89,000 89,004
6.000% due 03/01/2001 1,325 1,311
6.500% due 04/01/2001 400 397
6.750% due 04/30/2001 2,775 2,769
6.208% due 05/08/2001 (d) 54,900 54,660
6.310% due 05/30/2001 (d) 3,800 3,801
6.189% due 06/04/2001 (d) 30,000 30,001
6.129% due 11/01/2001 (d) 35,000 34,977
6.180% due 11/09/2001 (d) 16,000 15,869
6.480% due 01/11/2002 (d) 4,000 4,011
6.140% due 01/15/2002 (d) 17,000 16,845
8.000% due 02/01/2002 400 404
6.424% due 02/01/2002 (d) 33,000 33,049
7.375% due 08/17/2002 300 299
8.300% due 11/01/2002 200 204
6.000% due 02/12/2003 500 482
6.875% due 03/01/2003 140 138
6.396% due 06/24/2003 (d) 27,000 26,897
6.154% due 10/01/2003 (d) 9,500 9,480
5.880% due 01/15/2004 600 567
6.550% due 08/01/2004 100 97
7.000% due 03/15/2006 1,500 1,460
6.560% due 12/16/2007 50 47
7.000% due 04/27/2008 100 96
6.375% due 10/15/2008 17,000 15,652
Metropolitan Life Insurance Co.
6.300% due 11/01/2003 6,800 6,503
Mexico Credit Link
11.384% due 02/22/2002 (d) 29,500 29,706
MFN Financial Corp.
6.460% due 09/13/2001 (d) 10,300 10,279
MIC Financing Trust
8.375% due 02/01/2027 36,000 33,552
Morgan Stanley, Dean Witter, Discover and Co.
5.820% due 06/19/2000 (d) 152,000 150,005
5.750% due 02/15/2001 400 395
6.700% due 05/01/2001 600 597
9.375% due 06/15/2001 300 307
6.353% due 12/17/2001 (d) 5,000 5,004
6.313% due 12/19/2001 (d) 19,700 19,677
6.165% due 01/28/2002 (d) 35,700 35,705
6.190% due 04/15/2002 (d) 300 300
70 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
6.310% due 02/21/2003 (d) $ 25,000 $ 25,029
6.308% due 03/11/2003 (d) 11,500 11,465
6.375% due 12/15/2003 150 145
5.625% due 01/20/2004 1,100 1,035
6.290% due 04/22/2004 (d) 68,500 68,438
Morgan, J.P. & Co., Inc.
5.750% due 02/25/2004 22,800 21,578
6.000% due 01/15/2009 34,000 30,309
Nacional Financiera
8.000% due 06/19/2000 4,500 4,496
9.549% due 12/01/2000 (d) 25,760 25,644
22.000% due 05/20/2002 70,000 7,386
NationsBank Corp.
6.750% due 02/26/2001 500 499
7.000% due 09/15/2001 1,500 1,493
6.300% due 06/17/2002 (d) 10,000 9,991
6.125% due 07/15/2004 600 570
NCNB Corp.
7.750% due 08/01/2002 896 895
Noble Affiliates, Inc.
8.950% due 12/15/2004 10,500 10,336
Nordbanken
7.250% due 11/12/2009 21,250 20,626
Nordstrom Credit, Inc.
7.250% due 04/30/2002 1,000 995
Norwest Financial, Inc.
6.375% due 07/16/2002 500 490
6.250% due 11/01/2002 100 97
7.000% due 01/15/2003 300 295
6.000% due 02/01/2004 50 48
Okobank
6.460% due 05/23/2006 (d) 10,000 10,329
Orix Credit Alliance
7.640% due 09/17/2001 13,000 12,908
Osprey Trust
8.310% due 01/15/2003 75,000 75,000
Paccar Financial Corp.
6.740% due 09/15/2000 250 250
Pacific Mutual Life
7.900% due 12/30/2023 8,000 8,261
PaineWebber
6.400% due 02/18/2002 (d) 5,000 4,969
6.520% due 05/20/2002 (d) 1,000 994
Parker Retirement Savings Plan
6.340% due 07/15/2008 891 841
PDVSA Finance Ltd.
7.400% due 08/15/2016 1,200 919
Pemex Finance Limited
6.125% due 11/15/2003 25,000 24,265
Pinnacle Holdings, Inc.
5.500% due 09/15/2007 3,800 3,506
PNC Bank Corp.
5.863% due 06/01/2000 (d) 243,000 242,982
6.224% due 01/24/2002 (d) 49,000 48,952
6.066% due 08/15/2002 (d) 5,000 5,003
PNC Funding Corp.
6.875% due 03/01/2003 100 99
7.000% due 09/01/2004 15,000 14,797
PNC Institutional Capital Association
7.950% due 12/15/2026 150 139
Popular North American, Inc.
7.375% due 09/15/2001 25,000 24,854
Popular, Inc.
6.715% due 06/06/2000 6,000 5,997
6.550% due 10/10/2000 2,485 2,476
6.540% due 11/06/2001 18,705 18,380
6.625% due 01/15/2004 19,500 18,677
Prime Property Funding II
7.000% due 08/15/2004 110 105
Prudential Funding Corp.
6.620% due 08/01/2000 (d) 2,000 1,993
6.240% due 10/02/2000 (d) 20,000 20,032
6.375% due 07/23/2006 55,000 51,468
6.625% due 04/01/2009 17,000 15,287
PSE&G Capital Corp.
6.740% due 10/23/2001 1,400 1,392
Racers
6.340% due 03/03/2003 (d) 282,400 282,400
Reliance Group Holdings
9.000% due 11/15/2000 19,000 17,813
9.750% due 11/15/2003 10,000 7,200
Reliant Energy Financial Co.
7.150% due 12/10/2001 (d) 51,000 50,951
Residential Reinsurance
9.761% due 06/01/2000 (d) 11,500 11,417
Royal Bank of Scotland plc
6.400% due 04/01/2009 15,000 13,707
8.817% due 03/31/2049 38,600 39,397
6.770% due 12/31/2049 113,800 109,943
9.118% due 12/31/2049 65,500 67,552
Safeco Corp.
7.260% due 08/12/2002 500 501
Sakura Capital Funding
7.320% due 08/29/2049 20,000 18,939
7.020% due 09/29/2049 (d) 100,000 96,390
Salomon, Inc.
6.650% due 07/15/2001 600 596
7.000% due 03/04/2002 18,850 18,736
6.470% due 05/16/2002 (d) 23,000 22,987
Salomon, Smith Barney Holdings
5.980% due 03/26/2001 250 248
3.650% due 02/14/2002 (d)(h) 29,036 28,528
6.240% due 04/15/2002 (d) 35,090 35,054
6.279% due 05/14/2002 (d) 26,715 26,675
6.320% due 07/23/2002 (d) 53,400 53,339
6.125% due 01/15/2003 290 280
6.320% due 02/11/2003 (d) 44,200 44,205
Sanwa Business Credit
6.540% due 06/20/2000 1,000 1,000
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 69,740 69,504
Sears Roebuck Acceptance
6.204% due 06/27/2000 (d) 5,000 5,001
6.800% due 05/07/2001 500 496
6.790% due 05/21/2001 500 498
7.110% due 06/19/2001 1,000 995
9.400% due 08/02/2001 250 257
6.860% due 08/06/2001 400 397
6.710% due 08/13/2001 80 79
6.360% due 12/04/2001 290 284
6.120% due 12/13/2001 260 255
8.390% due 02/14/2002 240 243
6.950% due 05/15/2002 300 296
6.000% due 03/20/2003 149,750 143,579
7.260% due 04/21/2003 3,000 2,967
7.140% due 05/02/2003 5,000 4,928
6.560% due 11/20/2003 1,178 1,138
6.250% due 01/15/2004 300 286
6.750% due 09/15/2005 785 748
6.700% due 11/15/2006 500 471
Security Pacific Corp.
6.000% due 05/01/2000 600 600
11.500% due 11/15/2000 4,000 4,107
Seismic Ltd.
0.000% due 01/01/2002 (d) 32,500 32,500
Simon Property Group, Inc.
9.000% due 03/15/2002 2,000 2,018
Skandinaviska Enskilda
7.500% due 03/29/2049 650 580
Socgen Real Estate LLC
7.640% due 12/29/2049 3,000 2,797
Societe Generale
7.400% due 06/01/2006 1,500 1,476
Sovereign Bancorp
6.625% due 03/15/2001 13,500 13,186
Spieker Properties
6.800% due 12/15/2001 5,500 5,385
6.800% due 05/01/2004 1,000 948
See accompanying notes 71
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Steers
9.848% due 08/07/2002 (d) $ 20,000 $ 20,018
Sumitomo Bank International Finance NV
8.500% due 06/15/2009 3,100 3,150
Sumitomo Bank Treasury Co.
9.400% due 12/29/2049 (d) 33,750 33,786
Sun Life of Canada (U.S.)
8.526% due 05/29/2049 250 233
Telewest Credit Links
7.500% due 04/16/2004 30,000 28,473
Textron Financial Corp.
6.460% due 05/28/2002 (d) 41,900 41,799
Tokai Capital Corp.
9.980% due 12/29/2049 (d) 13,050 13,171
Toyota Motor Credit Corp.
5.707% due 02/15/2002 40,000 38,961
Transamerica Finance Corp.
6.423% due 09/17/2001 (d) 20,000 19,998
6.125% due 11/01/2001 24,000 23,495
6.394% due 12/14/2001 (d) 39,700 39,677
7.250% due 08/15/2002 79,000 78,620
7.500% due 03/15/2004 270 267
6.750% due 11/15/2006 650 607
Travelers Group, Inc.
7.200% due 02/01/2004 38,480 38,145
U.S. Bancorp
6.134% due 01/16/2002 (d) 49,000 48,997
6.279% due 02/03/2003 (d) 18,100 18,097
U.S. West Capital Funding, Inc.
6.875% due 08/15/2001 400 397
Wachovia Corp.
6.805% due 05/02/2005 (d) 49,600 49,600
Washington Mutual, Inc.
6.375% due 07/01/2000 3,000 2,994
8.206% due 02/01/2027 150 141
8.375% due 06/01/2027 235 226
Wells Fargo & Co.
5.625% due 02/05/2001 400 395
8.750% due 05/01/2002 100 103
6.625% due 07/15/2004 47,100 46,021
6.780% due 05/02/2005 (d) 67,700 67,700
Westdeutsche Landesbank
6.750% due 06/15/2005 4,000 3,880
6.050% due 01/15/2009 62,500 55,933
----------
9,975,463
==========
Industrials 9.2%
Ahold Finance USA, Inc.
6.875% due 05/01/2029 115 99
Akzo Nobel, Inc.
6.000% due 11/15/2003 32,000 30,255
Albertson's, Inc.
6.375% due 06/01/2000 150 150
Alcan Aluminum Ltd.
5.875% due 04/01/2000 250 251
Allied Waste North America, Inc.
7.375% due 01/01/2004 18,925 16,276
Amerco, Inc.
7.135% due 10/15/2002 15,000 14,367
America West Airlines
6.870% due 07/02/2018 1,956 1,824
American Airlines
10.610% due 03/04/2011 1,895 2,175
Amerigas Partners LP
10.125% due 04/15/2007 1,730 1,765
AMR Corp.
10.610% due 01/11/2001 4,000 4,084
10.570% due 01/15/2001 3,000 3,072
10.590% due 01/31/2001 3,000 3,076
10.000% due 02/01/2001 2,000 2,033
9.400% due 05/08/2001 3,000 3,049
9.500% due 05/15/2001 3,480 3,536
9.130% due 10/25/2001 2,000 2,039
8.470% due 02/20/2002 2,000 2,019
8.500% due 02/26/2002 1,000 1,010
10.210% due 01/01/2010 6,500 7,234
Arrow Electronics, Inc.
6.860% due 11/24/2000 (d) 9,200 9,197
AT&T Canada, Inc.
7.650% due 09/15/2006 140 140
10.750% due 11/01/2007 1,000 857
AT&T Corp.
8.650% due 09/15/2004 625 655
Atlas Air, Inc.
9.820% due 04/04/2003 (d) 3,000 3,000
8.820% due 04/04/2003 (d) 20,000 20,000
Aventis SA
8.620% due 01/05/2021 250 264
Baxter International, Inc.
9.500% due 06/15/2008 200 227
Bayer Corp.
6.500% due 10/01/2002 250 246
Bellat Racers
6.209% due 04/01/2003 20,000 19,956
Bellsouth Telecommunication
6.000% due 06/15/2002 10,000 9,755
BOC Group PLC
5.875% due 01/29/2001 250 248
Boeing Co.
8.375% due 02/15/2001 900 909
6.350% due 06/15/2003 750 724
Boise Cascade Co.
7.150% due 05/15/2001 10,000 9,924
BP Amoco PLC
6.250% due 10/15/2004 1,000 975
Browning-Ferris Industries, Inc.
6.100% due 01/15/2003 6,000 5,414
Cabot Corp.
7.280% due 10/21/2027 5,160 4,819
Campbell Soup Co.
4.750% due 10/01/2003 500 465
Case Credit Corp.
6.318% due 05/05/2000 (d) 13,000 13,002
Cemex SA
10.750% due 07/15/2000 6,250 6,310
8.500% due 08/31/2000 10,000 10,039
9.250% due 06/17/2002 48,500 49,349
Centerior Fuel Corp.
9.750% due 08/02/2000 (l) 8,000 8,120
Century Communications Corp.
9.500% due 08/15/2000 6,250 6,266
0.000% due 03/15/2003 10,515 7,729
CF Cable TV, Inc.
9.125% due 07/15/2007 1,600 1,699
Champion International Corp.
9.700% due 05/01/2001 4,000 4,079
Chancellor AMFM, Inc.
8.000% due 11/01/2008 5,000 4,956
Circus Circus Enterprises
6.750% due 07/15/2003 4,500 4,028
Coastal Corp.
10.375% due 10/01/2000 8,500 8,623
6.569% due 03/06/2002 (d) 153,550 153,550
Coca-Cola Co.
6.375% due 08/01/2001 200 198
7.875% due 02/01/2002 600 606
6.000% due 07/15/2003 250 240
Colgate-Palmolive Co.
6.000% due 08/15/2003 45 44
Coltec Industries, Inc.
7.500% due 04/15/2008 2,200 2,148
Columbia/HCA Healthcare
8.020% due 08/05/2002 9,000 8,715
8.130% due 08/04/2003 7,300 7,048
6.630% due 07/15/2045 10,000 9,509
Comcast Corp.
9.375% due 05/15/2005 34,995 36,682
8.375% due 05/01/2007 145 148
Conagra, Inc.
6.340% due 06/12/2000 (d) 83,300 83,266
72 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Conexant Systems, Inc.
4.000% due 01/02/2007 $ 800 $ 732
Conoco, Inc.
6.350% due 04/15/2009 1,900 1,773
Continental Airlines
9.500% due 12/15/2001 385 387
6.954% due 02/02/2011 25,113 24,082
6.900% due 01/02/2018 666 633
Cox Communications, Inc.
6.500% due 11/15/2002 200 195
Cox Enterprises, Inc.
8.000% due 02/15/2007 5,000 4,976
Credit Lyon Capital
2.375% due 01/02/2000 1,300 31,200
CSX Corp.
6.430% due 06/15/2000 (d) 30,500 30,485
9.500% due 08/01/2000 3,385 3,405
DaimlerChrysler Holdings
6.160% due 01/18/2002 18,900 18,902
6.380% due 08/23/2002 (d) 6,410 6,431
Dayton Hudson Corp.
10.000% due 12/01/2000 1,000 1,017
Delphi Auto Systems Corp.
6.125% due 05/01/2004 20,000 18,730
Delta Air Lines, Inc.
9.875% due 05/15/2000 9,275 9,298
6.650% due 03/15/2004 13,500 12,770
10.430% due 01/02/2011 850 962
10.140% due 08/14/2012 1,000 1,131
9.200% due 09/23/2014 6,000 6,009
10.500% due 04/30/2016 3,000 3,574
Diamond Cable Communication Co.
0.000% due 12/15/2005 (d)(k) 3,500 3,290
Disney (Walt) Co.
6.375% due 03/30/2001 1,100 1,093
6.750% due 03/30/2006 100 98
DTE Capital Corp.
8.350% due 11/15/2038 (d) 52,750 50,790
E.I. Du Pont de Nemours
9.150% due 04/15/2000 100 100
Eastman Chemical Co.
6.375% due 01/15/2004 5,750 5,458
Electric Lightwave, Inc.
6.050% due 05/15/2004 15,700 14,960
Eli Lilly & Co.
8.125% due 12/01/2001 500 507
Embotelladora Arica S.A
9.875% due 03/15/2006 8,500 8,764
Enron Corp.
6.400% due 07/15/2006 150 139
Federal Express Corp.
6.845% due 01/15/2019 834 795
Ford Motor Co.
9.000% due 09/15/2001 880 900
6.625% due 10/01/2028 115,800 102,135
7.450% due 07/16/2031 10,000 9,716
Fortune Brands
8.500% due 10/01/2003 500 520
Fred Meyer, Inc.
7.150% due 03/01/2003 11,000 10,763
7.375% due 03/01/2005 38,100 37,190
7.450% due 03/01/2008 300 291
General Motors Acceptance Corp.
6.250% due 05/01/2005 300 284
7.100% due 03/15/2006 250 246
Gillette Co.
6.250% due 08/15/2003 750 734
5.750% due 10/15/2005 1,500 1,417
Global Crossing Holding Ltd.
9.625% due 05/15/2008 15,000 14,550
Gold Eagle
11.453% due 04/16/2001 43,300 43,248
Gulf Canada Resources
9.250% due 01/15/2004 7,250 7,329
9.625% due 07/01/2005 2,000 2,005
H.J. Heinz Co.
7.500% due 04/26/2000 150 150
Hanson Overseas BV
6.750% due 09/15/2005 225 216
Harrahs Operating Co., Inc.
7.875% due 12/15/2005 5,000 4,650
Hollinger International Publishing
9.250% due 02/01/2006 3,000 2,820
Houghton Mifflin Co.
5.990% due 12/03/2001 3,000 2,918
Hyder PLC
6.500% due 12/15/2008 10,000 8,774
IBM Corp.
7.250% due 11/01/2002 450 452
6.450% due 08/01/2007 500 479
ICI Wilmington
6.750% due 09/15/2002 10,000 9,800
IMEXSA Export Trust
10.125% due 05/31/2003 529 516
Imperial Tobacco
7.125% due 04/01/2009 21,000 18,922
Inco Ltd.
9.875% due 06/15/2019 5,000 5,195
Ingersoll-Rand Co.
6.255% due 02/15/2001 295 293
International Game Technology
7.875% due 05/15/2004 24,500 22,969
International Paper Co.
6.875% due 07/10/2000 4,260 4,251
9.050% due 02/08/2001 100 101
ISP Holdings, Inc.
9.750% due 02/15/2002 6,250 5,953
9.000% due 10/15/2003 5,000 4,500
J Seagram & Sons
6.526% due 04/10/2000 (d) 94,000 92,590
6.250% due 12/15/2001 51,000 49,774
K Mart Corp.
8.190% due 11/24/2003 5,000 4,846
K N Energy, Inc.
6.450% due 03/01/2003 240 232
Kellogg
5.750% due 02/02/2001 86,925 85,902
K-III Communications Co.
8.500% due 02/01/2006 4,000 3,820
KPNQWest BV
8.125% due 06/01/2009 5,000 4,825
Kroger Co.
6.000% due 07/01/2000 14,000 13,945
7.063% due 10/01/2010 (d) 54,000 53,992
Lattice Semiconductor Co.
4.750% due 11/01/2006 750 1,376
Lear Corp.
7.960% due 05/15/2005 90 84
Lenfest Communications
8.375% due 11/01/2005 5,000 5,209
Limited, Inc.
7.800% due 05/15/2002 500 502
Lockheed Martin Corp.
6.850% due 05/15/2001 7,000 6,910
Loyola University of Chicago
6.030% due 06/15/2000 (d) 16,100 16,017
Lucent Technologies
7.250% due 07/15/2006 150 150
Mallinckrodt, Inc.
6.300% due 03/15/2001 (d) 12,375 12,196
Marlin Water Trust
7.090% due 12/15/2001 20,241 19,935
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (l) 1,980 2,334
McDonald's Corp.
6.500% due 08/01/2007 250 242
McLeodUSA, Inc.
0.000% due 03/01/2007 (k) 5,000 3,938
8.125% due 02/15/2009 1,200 1,062
Mobil Corp.
8.375% due 02/12/2001 340 344
See accompanying notes 73
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Monsanto Co
6.000% due 12/01/2005 $ 250 $ 231
Motorola, Inc.
7.600% due 01/01/2007 200 204
Nabisco, Inc.
6.000% due 02/15/2001 (d) 11,240 11,080
6.800% due 09/01/2001 3,000 2,964
6.700% due 06/15/2002 9,000 8,783
6.125% due 02/01/2033 15,000 14,327
Nabors Industries, Inc.
6.800% due 04/15/2004 9,250 8,975
New York Times Co.
7.625% due 03/15/2005 1,000 1,020
News America Holdings Corp.
7.450% due 06/01/2000 3,000 2,999
8.625% due 02/01/2003 750 767
Nike, Inc.
6.510% due 06/16/2000 1,000 1,000
Nisource Capital Markets
7.290% due 09/28/2000 59,000 58,982
Norfolk Southern Corp.
6.700% due 05/01/2000 7,165 7,161
7.875% due 02/15/2004 50 50
Northwest Airlines, Inc.
8.970% due 01/02/2015 1,644 1,665
Occidental Petroleum
6.704% due 04/03/2000 34,300 34,321
6.400% due 04/01/2003 7,710 7,350
Owens Corning
7.000% due 05/15/2000 200 200
Owens-Illinois, Inc.
7.850% due 05/15/2004 2,600 2,499
7.150% due 05/15/2005 10,000 9,244
Packaging Corp. of America
9.625% due 04/01/2009 2,500 2,475
Pepsico, Inc.
5.750% due 01/15/2008 500 458
Petroleos Mexicanos
8.402% due 07/15/2005 (d) 118,650 117,167
8.850% due 09/15/2007 1,800 1,751
9.375% due 12/02/2008 36,650 37,658
Philip Morris Cos., Inc.
9.000% due 01/01/2001 300 303
8.750% due 06/01/2001 5,515 5,514
7.250% due 09/15/2001 70 69
7.500% due 01/15/2002 50 49
6.800% due 12/01/2003 48,345 45,465
7.000% due 07/15/2005 1,125 1,039
7.200% due 02/01/2007 34,000 31,134
Phillips Petroleum Co.
6.375% due 03/30/2009 31,000 27,895
Pr-b Interest Owners Tr Nt (ene)
7.535% due 06/30/2000 (d)(l) 29,419 29,384
Procter & Gamble Co.
5.250% due 09/15/2003 35,600 33,509
Qwest Communications International, Inc.
0.000% due 10/15/2007 (k) 2,500 2,038
Racers
8.090% due 04/28/2003 (d) 30,000 30,000
Racers Bellat
6.160% due 09/15/2005 (d) 15,000 14,967
Raytheon Co.
6.300% due 08/15/2000 32,000 31,869
Reliant Energy, Inc.
8.930% due 05/14/2001 5,300 5,389
8.920% due 05/15/2001 6,500 6,609
6.375% due 11/01/2003 14,000 13,478
Residential Reinsurance
9.163% due 06/01/2000 (d) 1,800 1,771
Reynolds & Reynolds
6.120% due 03/02/2001 4,000 3,946
Rochester Telecom
8.950% due 08/07/2001 3,000 3,073
Rogers Cablesystems, Inc.
10.000% due 12/01/2007 5,000 5,238
Rogers Cantel Mobile Communications, Inc.
9.375% due 06/01/2008 2,750 2,798
Safeco
9.630% due 05/31/2000 (l) 6,500 6,544
9.590% due 05/31/2001 (l) 3,000 3,085
Safeway, Inc.
5.750% due 11/15/2000 150 149
7.000% due 09/15/2002 625 617
6.850% due 09/15/2004 250 243
Sara Lee Corp.
6.300% due 11/07/2005 500 476
Scotia Pacific Co. LLC
7.710% due 01/20/2014 305 254
Semtech Corp.
4.500% due 02/01/2007 4,500 4,269
Smithfield Foods
7.625% due 02/15/2008 2,000 1,740
Smithkline Beecham
7.375% due 04/15/2005 150 151
Stone Container Corp.
10.750% due 10/01/2002 2,500 2,534
Swiss Life Financial Ltd.
2.000% due 05/20/2005 3,000 2,953
TCI Communications, Inc.
6.855% due 09/11/2000 (d) 63,500 63,428
6.900% due 12/20/2000 (d) 10,000 10,006
6.750% due 03/12/2001 (d) 14,700 14,820
6.375% due 05/01/2003 3,280 3,194
Telecommunications, Inc.
8.250% due 01/15/2003 43,125 44,401
Telewest Communications PLC
9.625% due 10/01/2006 5,000 4,850
Tenet Healthcare Corp.
7.875% due 01/15/2003 5,000 4,813
8.625% due 12/01/2003 1,200 1,176
8.000% due 01/15/2005 2,000 1,900
7.625% due 06/01/2008 12,000 10,740
Texaco Capital
8.500% due 02/15/2003 700 720
6.000% due 06/15/2005 400 376
Textron, Inc.
6.750% due 09/15/2002 225 221
Time Warner, Inc.
6.100% due 12/30/2001 39,775 38,891
7.975% due 08/15/2004 59,770 60,938
7.250% due 09/01/2008 125 122
Times Mirror Co.
6.650% due 10/15/2001 300 297
TRW, Inc.
6.601% due 06/28/2000 (d) 30,200 30,195
6.450% due 06/15/2001 20,000 19,669
Tyco International Group SA
6.819% due 03/05/2001 (d) 15,000 14,992
Union Pacific Corp.
6.354% due 05/22/2000 (d) 60,000 59,886
7.875% due 02/15/2002 8,000 8,025
6.930% due 06/01/2003 1,000 983
6.000% due 09/01/2003 8,000 7,569
6.120% due 02/01/2004 250 237
United Air Lines
9.000% due 12/15/2003 1,000 1,011
10.670% due 05/01/2004 2,050 2,204
US Airways
6.850% due 01/30/2018 147 134
USA Waste Services, Inc.
6.125% due 07/15/2001 23,500 22,466
UST, Inc.
7.250% due 06/01/2009 25,000 24,067
74 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
USX Corp.
9.800% due 07/01/2001 $ 300 $ 307
Viacom, Inc.
5.875% due 07/15/2000 6,200 6,176
Wal-Mart Stores, Inc.
9.100% due 07/15/2000 250 251
8.625% due 04/01/2001 2,450 2,487
6.150% due 08/10/2001 450 445
6.750% due 05/24/2002 170 169
6.875% due 08/10/2009 900 878
Walt Disney Co.
5.125% due 12/15/2003 500 466
Waste Management, Inc.
6.375% due 12/01/2003 200 180
6.500% due 05/14/2004 89,000 79,617
Westpoint Stevens, Inc.
7.875% due 06/15/2005 8,000 7,026
Westvaco Corp.
9.650% due 03/01/2002 150 156
Whitman Corp.
6.250% due 05/01/2000 15,800 15,800
Williams Communications Group, Inc.
6.540% due 11/15/2001 8,800 8,800
WMX Technologies
6.700% due 05/01/2001 10,000 9,684
7.000% due 10/15/2006 500 435
Wr-b Interest Owners Tr Nt (ene)
7.410% due 06/30/2000 (d)(l) 25,802 25,771
Xerox Corp.
5.875% due 06/01/2000 22,500 22,459
6.500% due 06/29/2000 280 280
5.750% due 07/21/2000 500 499
5.400% due 09/11/2000 400 398
7.410% due 05/15/2001 1,000 1,004
Yorkshire Power
6.154% due 02/25/2003 17,000 16,208
----------
2,883,351
==========
Utilities 6.5%
AEP Resources, Inc.
6.500% due 12/01/2003 20,000 19,056
Alabama Power Co.
5.350% due 11/15/2003 1,600 1,501
Arizona Public Service
5.750% due 09/15/2000 250 248
6.490% due 06/30/2001 13,757 13,692
Ashland, Inc.
8.450% due 12/05/2001 3,000 3,056
AT&T Corp.
5.125% due 04/01/2001 600 589
7.350% due 08/27/2001 7,200 7,219
7.125% due 01/15/2002 275 274
7.000% due 05/15/2005 200 197
6.000% due 03/15/2009 50 45
6.500% due 03/15/2029 170 147
Baltimore Gas & Electric
6.125% due 07/01/2003 150 144
Beaver Valley Funding Corp.
8.250% due 06/01/2003 596 592
8.625% due 06/01/2007 5,000 5,004
9.000% due 06/01/2017 235 240
BellSouth Telecommunications, Inc.
7.500% due 06/15/2033 185 172
Calpine Corp.
9.250% due 02/01/2004 4,150 4,181
7.625% due 04/15/2006 7,000 6,620
7.875% due 04/01/2008 2,500 2,353
Central Maine Power Co.
6.500% due 06/14/2000 5,500 5,489
Central Power & Light Co.
6.710% due 11/23/2001 (d) 18,100 18,105
Chesapeake & Potomac Telephone
5.625% due 03/01/2007 500 445
8.000% due 10/15/2029 1,125 1,180
Cleveland Electric Illuminating Co.
9.500% due 05/15/2005 13,000 13,203
CMS Energy
7.375% due 11/15/2000 76,695 75,972
8.125% due 05/15/2002 18,725 18,462
8.375% due 07/01/2003 15,000 14,514
7.000% due 01/15/2005 30,000 27,416
Commonwealth Edison
6.210% due 06/15/2002 (d) 1,000 999
6.625% due 07/15/2003 1,000 973
9.875% due 06/15/2020 11,700 12,869
Connecticut Light & Power Co.
5.750% due 07/01/2000 1,590 1,585
7.875% due 06/01/2001 100 100
7.750% due 06/01/2002 5,000 4,990
8.590% due 06/05/2003 27,000 26,127
Consolidated Edison
6.250% due 12/15/2001 (d) 10,000 10,009
6.625% due 02/01/2002 100 99
Consolidated Natural Gas
7.250% due 10/01/2004 43,750 43,111
Cox Enterprises, Inc.
6.625% due 06/14/2002 5,250 5,116
Duke Energy Corp.
7.000% due 06/01/2000 700 700
5.875% due 06/01/2001 250 246
6.750% due 08/01/2025 25 22
Duqestne Light Co.
6.100% due 05/10/2000 1,000 1,000
Dynegy, Inc.
7.500% due 06/15/2009 12,000 11,764
East Coast Power LLC
6.737% due 03/31/2008 17,981 16,950
El Paso Electric Co.
9.400% due 05/01/2011 7,455 7,907
Enron Corp.
7.660% due 01/14/2002 5,000 5,025
Entergy Mississippi, Inc.
6.699% due 05/03/2004 (d) 31,000 30,881
Flag Ltd.
8.250% due 01/30/2008 1,200 1,068
GTE Corp.
5.500% due 01/15/2009 100 87
7.510% due 04/01/2009 175 174
Hughes Electric
7.451% due 10/23/2000 10,000 9,991
Indiana Bell Telephone Co., Inc.
5.500% due 04/01/2007 500 446
Indiana Michigan Power
6.530% due 11/22/2000 (d) 2,500 2,506
Indianapolis Power & Light
7.375% due 08/01/2007 225 224
Kansai Electric Power Co.
7.250% due 09/25/2006 2,000 1,973
Kentucky Power Co.
6.569% due 11/02/2000 (d) 7,300 7,300
Kerr-McGee Corp.
10.000% due 04/01/2001 9,663 9,881
6.414% due 08/01/2001 (d) 22,100 22,101
6.703% due 11/01/2001 80,500 80,170
Korea Electric Power
7.000% due 10/01/2002 180 174
3.882% due 10/31/2002 (d) 18,900 8,896
6.375% due 12/01/2003 220 206
Louisiana Power & Light Co.
7.740% due 07/01/2002 599 596
MCI Worldcom, Inc.
6.270% due 08/17/2000 (d) 20,000 20,003
6.125% due 08/15/2001 1,330 1,314
6.125% due 04/15/2002 1,250 1,219
8.875% due 01/15/2006 24,529 25,560
Montana Power Co.
6.293% due 04/06/2001 (d) 15,000 15,003
National Power Corp.
9.625% due 05/15/2028 16,000 13,443
National Rural Utilities Cooperative
6.250% due 04/15/2003 50,000 48,189
See accompanying notes 75
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
New Century Energies, Inc.
5.860% due 05/30/2000 $ 24,400 $ 24,350
New England Telephone & Telegraph Co.
6.375% due 09/01/2008 1,350 1,262
New Jersey Bell Telephone
4.875% due 11/01/2000 800 790
New York Telephone Co.
6.250% due 02/15/2004 150 144
6.000% due 04/15/2008 45 41
6.125% due 01/15/2010 80 72
Niagara Mohawk Power
7.000% due 10/01/2000 60,235 60,122
7.125% due 07/01/2001 20,604 20,323
7.250% due 10/01/2002 24,783 24,481
7.375% due 07/01/2003 39,162 38,189
7.375% due 08/01/2003 1,645 1,642
North Atlantic Energy
9.050% due 06/01/2002 5,995 5,940
Northern Illinois Gas Co.
6.450% due 08/01/2001 1,450 1,437
Northern Telecom Ltd.
8.750% due 06/12/2001 300 305
NRG Energy, Inc.
8.000% due 11/01/2003 6,000 5,956
Nynex Corp.
9.550% due 05/01/2010 6,516 6,990
Ohio Bell Telephone Co.
5.375% due 03/01/2007 950 839
Ohio Power Co.
7.000% due 07/01/2004 24,000 23,213
Oxymar
7.500% due 02/15/2016 100 73
Pacific Gas & Electric Co.
6.750% due 12/01/2000 3,049 3,049
Pacific Northwest Bell
4.375% due 09/01/2002 50 47
Pennsylvania Power & Light
6.000% due 06/01/2000 500 499
Philadelphia Electric
5.625% due 11/01/2001 22,350 21,781
Philippine Long Distance Telephone Co.
7.850% due 03/06/2007 5,000 4,326
10.500% due 04/15/2009 6,000 5,914
PP&L, Inc.
6.125% due 05/01/2001 (d) 16,102 15,949
6.550% due 03/01/2006 500 475
PSEG Energy Holdings
9.125% due 02/10/2004 120 120
Public Service Co. of Colorado
6.000% due 04/15/2003 750 721
Public Service Electric & Gas
6.500% due 06/01/2000 500 500
7.250% due 04/01/2001 (d) 3,191 3,187
6.125% due 08/01/2002 1,000 976
6.250% due 01/01/2007 1,500 1,401
Public Service Enterprise Group, Inc.
6.710% due 11/22/2000 (d) 11,000 11,013
6.350% due 06/15/2001 (d) 156,200 156,290
Queststar Pipeline
9.375% due 06/01/2021 200 219
RAS LAFFAN Liquid Natural Gas
8.294% due 03/15/2014 145 141
Reliant Energy, Inc.
8.750% due 03/01/2022 10,000 10,224
Scana Corp.
6.590% due 02/08/2002 (d) 3,100 3,100
Sierra Pacific Power Co.
6.900% due 10/13/2000 29,000 28,998
Sierra Pacific Resources
7.060% due 05/01/2000 6,000 5,999
6.830% due 10/06/2000 (d) 35,000 34,990
6.200% due 04/15/2004 20,000 18,906
SK Telecom Co. Ltd.
7.750% due 04/29/2004 5,000 4,883
Southern Energy
7.900% due 07/15/2009 175 173
Sprint Capital Corp.
6.386% due 11/15/2001 (d) 100,000 100,079
6.500% due 11/15/2001 370 365
8.125% due 07/15/2002 10,378 10,513
5.875% due 05/01/2004 43,500 41,203
System Energy Resources
7.380% due 10/01/2000 5,000 4,997
7.710% due 08/01/2001 14,850 14,845
Teco Energy, Inc.
5.540% due 09/15/2001 44,630 43,652
Telekomunikacja Polska SA
7.125% due 12/10/2003 12,200 11,704
7.750% due 12/10/2008 13,600 13,202
Tennessee Valley Authority
3.375% due 01/15/2007 (h) 10,647 9,897
0.000% due 04/15/2042 (k) 855 319
Texas Utilities Co.
6.310% due 04/24/2000 (d) 65,100 65,094
6.791% due 06/25/2001 130,200 130,085
6.370% due 08/16/2001 1,000 985
7.105% due 09/24/2001 208,800 209,907
5.940% due 10/15/2001 3,000 2,941
6.500% due 08/16/2002 1,000 987
Texas-New Mexico Power
10.750% due 09/15/2003 11,450 11,589
Toledo Edison Co.
8.180% due 07/30/2002 1,400 1,415
8.700% due 09/01/2002 14,500 14,569
7.850% due 03/31/2003 7,000 7,017
7.875% due 08/01/2004 500 495
Tucson Electric Power
8.500% due 10/01/2009 454 463
TXU Eastern Funding
6.150% due 05/15/2002 53,800 52,321
6.450% due 05/15/2005 8,045 7,486
U.S. West Communications, Inc.
5.650% due 11/01/2004 9,000 8,385
6.625% due 09/15/2005 400 385
6.125% due 11/15/2005 400 376
Union Electric Co.
8.000% due 12/15/2022 1,000 1,027
United Telecom, Inc.
9.500% due 06/06/2001 150 154
Western Massachusetts Electric
7.375% due 07/01/2001 7,000 6,967
Western Resources, Inc.
6.250% due 08/15/2003 13,500 11,621
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/2013 (l) 991 1,024
WorldCom, Inc.
6.400% due 08/15/2005 1,625 1,553
YPF Sociedad Anonima
7.250% due 03/15/2003 16,475 16,044
----------
2,044,829
----------
Total Corporate Bonds & Notes 14,903,643
(Cost $15,074,637) ==========
--------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.5%
--------------------------------------------------------------------------------
Alabama 0.0%
Jefferson County Alabama Revenue, (FGIC Insured),
Series 1999
5.125% due 02/01/2029 9,000 8,055
5.000% due 02/01/2033 1,250 1,083
----------
9,138
==========
California 0.0%
San Francisco California City & County Airport
Community Revenue, (MBIA Insured), Series 1998
4.500% due 05/01/2028 6,700 5,468
----------
Florida 0.1%
Florida State Bridge Capital Outlay, (FGIC Insured)
Series 1999 4.500% due 06/01/2023 7,000 5,801
76 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Florida State Government Utilities Authority,
(AMBAC Insured), Series 1999
5.000% due 10/01/2029 $ 6,205 $ 5,468
5.000% due 10/01/2029 6,700 5,904
Florida State Turnpike Authority Revenue,
Series 1998 4.500% due 07/01/2027 11,500 9,424
Greater Orlando Aviation Authority, Orlando Florida
Airport Facitities Revenue Bonds, (FGIC Insured),
Series 1999 5.125% due 10/01/2028 2,000 1,783
Lakeland Florida Electric & Water Revenue, (MBIA Insured),
Series 1999 5.000% due 10/01/2028 5,350 4,723
---------
33,103
=========
Georgia 0.1%
Georgia Government Partnership, (MBIA Insured)
4.750% due 06/01/2028 18,700 15,785
---------
Hawaii 0.1%
Honolulu Hawaii City & County Wastewater
System Revenue, (FGIC Insured),
Series 1998 4.750% due 07/01/2028 14,400 12,170
---------
Illinois 0.0%
Chicago Illinois Lakefront Millennium Package Facilities,
(MBIA Insured), Series 1998 5.125% due 01/01/2028 6,200 5,466
---------
Massachusetts 0.1%
Massachusetts Bay Transportation Authority,
(MBIA Insured), Series 1998
4.750% due 03/01/2021 8,300 7,197
Massachusetts State Turnpike Authority Metro
Highway System, (AMBAC Insured),
Series 1999 5.000% due 01/01/2039 11,300 9,681
---------
16,878
=========
Mississippi 0.0%
Mississippi Development Bank Obligation,
(AMBAC Insured), Series 1999 5.000% due 07/01/2024 5,000 4,458
---------
Nevada 0.0%
Clark County Nevada Passenger Facility Charge Revenue,
(MBIA Insured), Series 1998 4.750% due 07/01/2022 6,000 5,137
---------
New York 0.1%
Long Island Power Authority New York Electric System,
(FSA Insured), Series 1998 5.125% due 12/01/2022 9,000 8,149
New York City Municipal Bond, Series 1997
6.346% due 08/01/2002 (d) 11,058 11,047
New York City Transitional Finance Authority Revenue,
(FGIC Insured), Series 1998 4.750% due 11/15/2023 5,000 4,283
New York City, New York, Series D
6.346% due 08/01/2002 (d) 14,815 14,815
New York State Dorm Authority Lease Revenue
4.750% due 01/15/2029 3,850 3,198
5.625% due 04/01/2029 1,000 959
---------
42,451
=========
Pennsylvania 0.0%
Philadelphia PA School District, (MBIA Insured),
Series 1998 4.750% due 04/01/2027 6,300 5,305
Pittsburgh & Allegheny County Pa, (AMBAC Insured),
Series 1999 5.000% due 02/01/2029 500 436
---------
5,741
=========
Texas 0.0%
Houston Texas Airport System Revenue, (FGIC Insured),
Series 1998 5.000% due 07/01/2025 5,500 4,808
---------
Utah 0.0%
Weber County, Utah Hospital Revenue Bonds,
Series 1999 5.000% due 08/15/2030 500 419
---------
Washington State 0.0%
Seattle Washington, General Obligation Limited,
Series F 5.125% due 12/15/2028 6,000 5,318
---------
Total Municipal Bonds & Notes 166,340
(Cost $165,094) =========
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.5%
--------------------------------------------------------------------------------
A.I.D. Housing Guarantee - Peru
9.980% due 08/01/2008 935 979
Federal Home Loan Bank
0.000% due 05/12/2000 (d) 185,400 185,398
5.500% due 07/14/2000 1,150 1,148
5.663% due 02/15/2002 (d) 17,000 16,706
5.135% due 09/22/2003 600 565
6.000% due 06/30/2004 1,000 960
5.365% due 12/11/2008 600 527
Federal Home Loan Mortgage Corp.
7.000% due 02/15/2003 500 499
Federal National Mortgage Assn.
9.050% due 04/10/2000 400 400
5.650% due 06/12/2000 50 50
5.560% due 07/24/2000 440 439
5.375% due 03/15/2002 750 729
7.250% due 06/20/2002 55,000 27,171
6.000% due 03/03/2003 500 486
5.750% due 06/15/2005 750 708
6.560% due 12/10/2007 190 180
Student Loan Marketing Assn.
5.129% due 06/30/2000 (d) 63,700 63,692
5.711% due 04/25/2004 (d) 10,916 10,902
6.365% due 07/25/2004 (d) 1,059 1,055
6.375% due 10/25/2004 (d) 19,319 19,255
6.395% due 10/25/2004 (d) 32,283 32,206
5.770% due 10/25/2005 (d) 17,554 17,471
6.089% due 10/25/2005 (d) 26,225 26,103
5.909% due 04/25/2006 (d) 97,402 97,034
6.635% due 07/25/2006 (d) 31,287 31,182
6.595% due 01/25/2007 (d) 89,311 89,217
6.565% due 04/25/2007 (d) 165,769 164,952
---------
U.S. Government Agencies 790,014
(Cost $791,398) =========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 12.5%
--------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h) 1,027,517 1,024,628
3.375% due 01/15/2007 (h) 228,023 220,573
3.625% due 01/15/2008 (h) 416,333 405,404
3.875% due 01/15/2009 (h) 207,773 205,631
3.625% due 04/15/2028 (h) 132,570 125,858
3.875% due 04/15/2029 (h) 127,762 126,724
U.S. Treasury Bonds
12.375% due 05/15/2004 1,000 1,213
10.375% due 11/15/2012 250 308
12.000% due 08/15/2013 6,000 8,115
6.500% due 02/15/2015 (j) 287,500 425,231
10.625% due 08/15/2015 144,600 206,552
9.250% due 02/15/2016 250 325
7.250% due 05/15/2016 275 304
7.500% due 11/15/2016 500 567
8.750% due 05/15/2017 300 379
8.875% due 08/15/2017 1,375 1,759
8.125% due 08/15/2019 41,000 49,841
8.750% due 08/15/2020 214,600 277,706
8.125% due 08/15/2021 305 375
8.000% due 11/15/2021 417,600 508,559
7.125% due 02/15/2023 500 560
6.375% due 08/15/2027 100 104
See accompanying notes 77
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
6.250% due 05/15/2030 $ 21,340 $ 22,580
U.S. Treasury Notes
5.125% due 08/31/2000 (b) 96,835 96,411
6.625% due 05/15/2007 (j) 36,800 37,525
6.125% due 08/15/2007 1,525 1,511
6.500% due 02/15/2010 21,100 21,845
U.S. Treasury Strips
0.000% due 11/15/2006 270 178
0.000% due 02/15/2019 80,000 25,699
0.000% due 05/15/2020 185,600 55,417
0.000% due 11/15/2021 316,200 87,553
---------
Total U.S. Treasury Obligations 3,939,435
(Cost $3,848,029) =========
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 51.1%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 21.6%
ABN AMRO Mortgage Corp.
6.500% due 06/25/2029 7,093 6,438
American Southwest Financial Securities Corp.
7.400% due 11/17/2004 36,860 36,882
12.250% due 11/01/2014 38 37
12.500% due 04/01/2015 288 289
12.000% due 05/01/2015 630 644
11.400% due 09/01/2015 422 421
7.248% due 11/25/2038 52,881 50,270
Bank of America Mortgage Securities
6.250% due 07/25/2014 10,272 9,532
6.250% due 08/25/2028 25,000 22,240
6.500% due 05/25/2029 35,732 32,620
7.250% due 10/25/2029 10,003 8,790
Bankers Trust Co.
8.625% due 04/01/2018 41 41
Bear Stearns Mortgage Securities, Inc.
7.000% due 09/20/2012 34,576 33,528
7.000% due 08/20/2018 10,000 9,528
6.625% due 10/25/2023 (d) 3,510 3,536
10.000% due 08/25/2024 5,000 5,440
7.000% due 03/25/2027 7,000 6,585
8.125% due 09/25/2027 3,000 3,020
7.000% due 02/25/2028 10,000 9,498
Cendant Mortgage Corp.
6.503% due 11/18/2028 (d) 13,937 13,118
6.503% due 11/18/2028 (d) 5,762 4,900
Centre Re Series 1999 - ZC - 1
6.715% due 02/01/2009 30,859 29,209
Chase Mortgage Finance Corp.
8.250% due 10/25/2010 424 422
7.000% due 07/25/2024 3,604 3,579
7.000% due 08/25/2024 3,052 2,941
6.750% due 03/25/2025 8,525 7,153
6.203% due 04/25/2025 (d) 21,540 21,894
6.350% due 07/25/2029 74,414 72,730
Chemical Mortgage Securities
7.250% due 01/25/2026 11,575 11,262
Citicorp Mortgage Securities, Inc.
7.030% due 10/25/2022 (d) 10,949 10,985
6.250% due 04/25/2024 11,796 10,001
7.250% due 10/25/2027 20,462 19,429
6.750% due 09/25/2028 8,859 8,276
5.900% due 05/25/2029 21,125 20,903
CMC Securities Corp.
7.373% due 09/25/2023 (d) 4,376 4,350
7.862% due 04/25/2025 (d) 183 185
7.250% due 11/25/2027 9,349 9,049
6.750% due 05/25/2028 5,000 4,648
Collateralized Mortgage Obligation Trust
10.200% due 02/01/2016 2,567 2,598
7.250% due 04/23/2017 70 69
8.000% due 09/20/2021 6,962 6,991
Collateralized Mortgage Securities Corp.
11.450% due 09/01/2015 1,068 1,076
11.450% due 11/01/2015 (d) 140 141
8.750% due 04/20/2019 465 473
Comm
6.145% due 02/15/2008 16,056 15,289
6.488% due 12/16/2011 (d) 9,000 9,014
Countrywide Home Loans
6.500% due 07/25/2013 5,676 5,218
7.334% due 07/25/2024 (d) 3,898 3,889
6.750% due 11/25/2025 25,567 22,873
7.500% due 06/25/2027 12,194 12,021
7.500% due 09/25/2027 20,000 19,435
7.250% due 12/25/2027 6,224 6,028
7.250% due 02/25/2028 57,846 54,913
6.750% due 06/25/2028 15,103 13,339
6.750% due 08/25/2028 12,807 12,631
6.750% due 11/25/2028 3,000 2,819
6.500% due 01/25/2029 24,978 22,844
6.500% due 03/25/2029 16,744 15,230
6.050% due 04/25/2029 965 945
7.250% due 08/25/2029 5,700 5,353
Crusade Global Trust
6.400% due 02/15/2030 (d) 100,000 100,250
CS First Boston Mortgage Securities
6.750% due 12/27/2028 12,189 10,494
DLJ Mortgage Acceptance Corp.
8.154% due 05/25/2024 (d) 117 119
6.850% due 12/17/2027 6,605 6,516
Donaldson, Lufkin & Jenrette
6.446% due 08/01/2021 (d)(l) 4,540 4,606
7.922% due 12/25/2022 (d) 1,917 1,938
8.112% due 03/25/2024 (d) 541 550
Drexel Mortgage Funding
9.500% due 11/20/2017 715 707
8.600% due 03/01/2018 180 180
FBS Mortgage Corp.
7.136% due 11/25/2024 518 516
Federal Home Loan Mortgage Corp.
6.750% due 10/15/2003 16,183 15,917
7.000% due 10/15/2003 4,007 3,991
7.500% due 11/01/2003 5,165 5,147
6.000% due 06/15/2005 2,692 2,686
10.150% due 04/15/2006 6 6
6.500% due 07/15/2006 11,069 11,003
6.500% due 08/15/2006 710 706
7.500% due 05/01/2007 1,526 1,532
5.500% due 10/15/2007 5,782 5,705
6.500% due 05/15/2008 1,000 982
4.675% due 06/15/2008 (d) 169 150
6.000% due 11/15/2008 225 213
6.200% due 12/15/2008 4,350 3,900
6.000% due 03/15/2009 265 252
7.550% due 03/15/2012 180 179
8.500% due 08/15/2013 2,000 2,039
8.500% due 09/15/2013 5,941 6,038
6.000% due 11/15/2014 400 354
5.400% due 05/25/2016 18,502 18,368
7.000% due 11/15/2016 2,922 2,917
6.250% due 10/15/2017 21,354 21,131
5.900% due 03/15/2018 5,533 5,482
6.350% due 03/25/2018 200 197
5.250% due 05/15/2018 316 313
10.000% due 08/01/2018 65 70
6.400% due 02/15/2019 16,934 16,763
6.500% due 05/15/2019 277 276
6.250% due 07/15/2019 27,756 27,532
5.000% due 08/15/2019 118 115
7.500% due 01/15/2020 4,037 4,043
6.388% due 06/15/2020 (d) 89 89
5.250% due 07/15/2020 382 374
5.500% due 10/15/2020 72 71
9.500% due 11/15/2020 3,855 3,948
9.000% due 12/15/2020 2,724 2,806
8.750% due 12/15/2020 1,265 1,277
6.000% due 12/15/2020 282 267
6.250% due 01/15/2021 200 193
9.500% due 01/15/2021 2,234 2,313
78 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
8.000% due 04/15/2021 $ 96 $ 97
6.500% due 05/15/2021 119 117
6.500% due 05/17/2021 72 68
8.500% due 06/15/2021 26,071 26,729
6.950% due 07/15/2021 505 493
8.000% due 07/15/2021 11,237 11,280
9.000% due 07/15/2021 1,998 2,077
9.500% due 07/15/2021 1,618 1,650
8.000% due 08/15/2021 23,472 23,620
6.200% due 08/15/2021 1,467 1,447
6.950% due 08/15/2021 166 163
6.500% due 09/15/2021 1,049 1,008
7.000% due 09/15/2021 171 167
6.500% due 09/15/2021 28,978 28,343
7.000% due 09/15/2021 131 128
7.000% due 10/15/2021 12 12
8.000% due 12/15/2021 17,686 17,918
6.850% due 01/15/2022 700 686
8.250% due 06/15/2022 5,000 5,079
7.000% due 07/15/2022 9,075 8,756
8.500% due 10/15/2022 7,618 7,802
7.500% due 01/15/2023 17,089 16,562
7.000% due 05/15/2023 8,532 7,871
7.000% due 07/15/2023 261 242
6.500% due 07/15/2023 272 259
7.500% due 07/15/2023 395 397
6.500% due 08/15/2023 162,855 159,490
7.500% due 01/20/2024 135 134
6.500% due 02/15/2024 22 21
5.000% due 02/15/2024 116 99
8.000% due 04/25/2024 457 465
6.250% due 05/15/2024 12,947 11,290
7.250% due 08/15/2024 190 188
8.000% due 09/15/2024 16,250 16,431
7.000% due 11/17/2025 40 39
6.500% due 03/15/2026 110 102
7.162% due 10/01/2026 (d) 3,198 3,294
6.000% due 11/15/2026 550 497
7.500% due 01/15/2027 24,258 23,972
8.000% due 02/15/2027 33,246 33,550
7.500% due 03/17/2027 20,000 19,925
6.750% due 05/15/2027 1,489 1,437
7.500% due 06/20/2027 18,850 18,121
6.500% due 08/15/2027 15,143 12,979
6.500% due 10/15/2027 32,300 28,817
6.000% due 11/15/2027 665 602
6.500% due 01/25/2028 8,691 7,605
7.000% due 02/15/2028 1,735 1,598
6.500% due 04/15/2028 157,334 143,400
6.500% due 05/15/2028 48,000 41,416
6.500% due 06/15/2028 56,878 47,571
6.500% due 06/20/2028 22,646 19,079
6.500% due 07/15/2028 68,191 54,516
6.500% due 08/15/2028 267,517 223,489
7.000% due 11/15/2028 9,000 8,487
6.500% due 12/15/2028 6,832 5,406
6.000% due 12/15/2028 22,772 18,773
6.500% due 01/15/2029 10,411 9,564
6.000% due 02/15/2029 3,758 2,820
6.500% due 03/15/2029 25,470 22,928
6.500% due 06/01/2029 110 103
6.500% due 07/01/2029 1,119 1,051
8.000% due 07/15/2029 1,250 1,210
6.165% due 08/15/2032 (d) 28,544 27,409
Federal National Mortgage Assn
9.100% due 02/25/2002 1,033 1,036
7.500% due 05/25/2005 6,700 6,724
7.500% due 02/25/2006 375 373
6.500% due 05/01/2006 172 169
6.500% due 07/25/2006 68 68
8.000% due 11/25/2006 30 30
6.500% due 05/25/2007 8,425 8,284
6.000% due 07/25/2007 300 293
8.804% due 08/25/2007 (d) 10 9
6.270% due 09/25/2007 3,000 2,842
7.000% due 10/25/2007 200 198
6.500% due 05/25/2008 500 490
10.500% due 08/25/2008 7,146 7,737
6.000% due 08/25/2008 86 85
7.452% due 09/25/2008 (d) 1,606 1,433
6.750% due 11/25/2010 1,117 1,109
7.000% due 01/25/2011 198 197
6.000% due 03/18/2015 15,908 15,714
8.000% due 12/25/2016 199 197
9.250% due 04/25/2018 192 201
9.300% due 05/25/2018 730 756
6.425% due 06/25/2018 (d) 3 3
9.500% due 06/25/2018 420 442
5.500% due 07/25/2018 6 6
9.500% due 11/25/2018 8,826 9,041
6.000% due 02/25/2019 5,000 4,916
6.500% due 03/25/2019 885 862
9.500% due 06/25/2019 1,466 1,527
5.650% due 07/25/2019 1,500 1,488
9.300% due 08/25/2019 81 85
6.350% due 08/25/2019 277 273
8.000% due 10/25/2019 1,718 1,718
9.000% due 12/25/2019 6,578 6,718
7.500% due 12/25/2019 81 80
6.500% due 03/25/2020 69 69
7.500% due 05/25/2020 3,630 3,612
6.750% due 06/25/2020 759 756
6.356% due 07/18/2020 (d) 62 62
7.000% due 09/25/2020 15,966 15,832
5.000% due 09/25/2020 200 186
9.000% due 09/25/2020 3,811 3,926
8.000% due 12/25/2020 25,229 25,476
6.375% due 12/25/2020 (d) 19 19
9.000% due 01/25/2021 5,999 6,218
8.750% due 01/25/2021 3,469 3,532
5.750% due 02/18/2021 100 94
9.000% due 03/25/2021 524 536
7.500% due 03/25/2021 5,480 5,468
7.000% due 05/25/2021 300 289
7.500% due 06/25/2021 70 70
6.500% due 06/25/2021 5,932 5,636
8.000% due 07/25/2021 16,336 16,372
8.500% due 09/25/2021 5,851 5,957
7.000% due 10/25/2021 8,997 8,756
8.000% due 10/25/2021 22,645 22,812
7.000% due 11/25/2021 24,015 23,679
6.000% due 12/25/2021 45 44
8.000% due 01/25/2022 21,700 21,742
8.000% due 03/25/2022 96 96
7.000% due 04/25/2022 17,091 16,274
10.000% due 05/01/2022 152 162
7.375% due 05/25/2022 8,894 8,688
8.000% due 06/25/2022 3,710 3,715
7.000% due 06/25/2022 1,416 1,381
8.000% due 07/25/2022 58,786 59,172
7.000% due 07/25/2022 6,172 6,056
6.500% due 10/25/2022 3,919 3,507
7.800% due 10/25/2022 3,674 3,654
6.500% due 12/25/2022 230 222
3.663% due 02/25/2023 (d) 14,032 660
7.000% due 03/25/2023 27,899 26,411
6.500% due 05/18/2023 12,369 12,134
6.900% due 05/25/2023 154 142
7.000% due 06/25/2023 4,805 4,155
6.000% due 08/25/2023 10,794 8,728
6.500% due 08/25/2023 44 41
6.000% due 08/25/2023 2,703 2,484
6.750% due 09/25/2023 3,840 3,477
1.000% due 09/25/2023 299 269
7.500% due 10/25/2023 58 57
6.750% due 10/25/2023 578 524
6.500% due 11/25/2023 90 87
7.100% due 12/25/2023 6,769 6,476
6.500% due 12/25/2023 1,125 971
6.500% due 01/25/2024 2,572 2,222
See accompanying notes 79
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000 Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
6.500% due 02/25/2024 $ 5,150 $ 4,801
7.250% due 02/25/2024 29 29
7.500% due 06/20/2024 120 119
7.000% due 02/18/2025 140 139
6.600% due 05/18/2025 219 205
7.500% due 11/17/2025 289 285
7.500% due 12/25/2025 360 356
7.000% due 02/15/2026 180 175
7.000% due 07/18/2026 450 433
6.500% due 09/18/2026 120 113
7.000% due 12/18/2026 15,751 14,562
6.000% due 12/25/2026 170 156
6.000% due 03/25/2027 320 293
6.000% due 05/17/2027 5,470 4,694
7.000% due 07/18/2027 460 447
8.000% due 08/18/2027 309 93
6.280% due 04/18/2028 (d) 138 137
6.500% due 06/25/2028 3,400 3,046
6.000% due 07/18/2028 8,394 6,982
6.500% due 07/18/2028 67,412 61,660
9.079% due 09/25/2028 23,805 24,750
6.000% due 04/25/2029 10,490 8,172
6.300% due 10/17/2038 14,993 12,996
First Commonwealth Savings & Loan
10.375% due 04/01/2005 17 18
First Nationwide Trust
6.750% due 07/25/2029 11,223 11,081
First Union Residential Securitization, Inc.
7.000% due 04/25/2025 361 345
6.750% due 08/25/2028 9,048 7,987
Gaston Oaks plc
6.930% due 01/01/2036 5,507 5,534
General Electric Capital Mortgage Services, Inc.
6.750% due 12/25/2012 2,889 2,845
6.500% due 09/25/2023 1,175 1,005
6.500% due 12/25/2023 8,631 7,409
6.500% due 01/25/2024 3,895 3,326
6.500% due 02/25/2024 2 2
6.500% due 03/25/2024 63,792 57,007
6.500% due 04/25/2024 64,524 52,207
7.000% due 10/25/2027 14,586 13,633
7.500% due 06/25/2027 3,438 3,368
7.500% due 07/25/2027 10,223 9,980
7.000% due 11/25/2027 72,500 68,902
6.750% due 05/25/2028 23,934 21,610
6.650% due 05/25/2028 7,914 7,756
6.550% due 06/25/2028 23,450 22,312
6.750% due 06/25/2028 21,926 20,474
6.750% due 10/25/2028 9,364 8,722
6.500% due 12/25/2028 19,500 17,767
6.250% due 12/25/2028 55,266 49,490
6.500% due 05/25/2029 9,858 8,941
6.750% due 05/25/2029 20,000 18,562
6.500% due 07/25/2029 95,240 86,391
5.950% due 07/25/2029 24,794 24,274
6.250% due 07/25/2029 132,674 126,507
6.000% due 07/25/2029 18,307 17,753
7.250% due 08/25/2029 8,000 7,513
7.000% due 09/25/2029 15,839 15,066
General Motors Acceptance Corp.
6.700% due 03/15/2008 29,732 28,136
GGP-Homart
6.202% due 06/10/2003 (d) 19,735 19,729
GMAC Commercial Mortgage Securities, Inc.
6.150% due 11/15/2007 21,020 20,003
6.974% due 05/15/2008 29,204 28,578
6.945% due 09/15/2033 24,060 22,829
6.570% due 09/15/2033 31,174 29,851
Goldman Sachs Mortgage Corp.
6.000% due 12/31/2007 (l) 9,086 8,216
Government National Mortgage Assn
6.250% due 06/20/2022 53,459 52,725
7.250% due 12/16/2023 8,617 8,577
7.000% due 01/15/2024 431 420
8.000% due 05/16/2024 95 95
7.000% due 03/20/2026 320 302
7.000% due 08/20/2026 126 120
7.500% due 02/16/2027 19 19
7.500% due 07/16/2027 28,821 27,635
6.500% due 06/20/2028 29,978 26,418
6.500% due 07/20/2028 37,879 29,249
6.500% due 09/20/2028 27,553 22,863
6.500% due 01/20/2029 26,964 21,882
6.500% due 03/20/2029 16,259 14,562
6.000% due 05/20/2029 10,511 8,258
Greenwich
7.272% due 04/25/2022 (d) 594 592
7.352% due 07/25/2022 (d) 1,280 1,275
7.337% due 10/25/2022 (d) 79 79
7.428% due 04/25/2023 (d) 1,141 1,136
7.956% due 04/25/2024 (d) 1,249 1,261
8.423% due 06/25/2024 (d) 1,177 1,201
9.007% due 08/25/2024 (d) 1,700 1,725
8.869% due 11/25/2024 (d) 390 391
GS Mortgage Securities Corp.
6.060% due 10/18/2030 32,437 30,901
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2012 2,350 2,330
7.155% due 12/25/2012 827 815
7.250% due 11/25/2027 5,000 4,851
6.650% due 02/25/2029 1,418 1,415
ICI Funding Corp. Secured Assets Corp.
7.250% due 09/25/2027 18,068 17,415
7.750% due 03/25/2028 1,881 1,807
Imperial CMB Trust
6.820% due 09/25/2026 (d) 7,212 7,215
6.650% due 11/25/2029 1,178 1,159
Independent National Mortgage Corp.
6.650% due 10/25/2024 2,723 2,583
7.218% due 11/25/2024 (d) 1,744 1,769
8.750% due 12/25/2024 30 31
8.539% due 01/25/2025 (d) 142 145
8.000% due 06/25/2025 22 21
7.475% due 07/25/2025 (d) 8,458 8,581
7.416% due 07/25/2025 (d) 3,603 3,624
7.500% due 09/25/2025 1,191 1,187
International Mortgage Acceptance Corp.
12.250% due 03/01/2014 274 307
J.P. Morgan Commercial Mortgage Finance Corp.
9.000% due 10/20/2020 10,667 10,631
8.218% due 04/25/2028 1,615 1,574
6.533% due 01/15/2030 20,000 19,062
7.325% due 07/15/2031 0 0
Kidder Peabody Acceptance Corp.
8.214% due 09/25/2024 (d) 9,678 9,655
LB Mortgage Trust
8.396% due 01/20/2017 13,047 13,484
Mellon Residential Funding Corp.
6.350% due 06/25/2028 22,000 21,168
6.110% due 01/25/2029 23,900 22,728
6.570% due 07/25/2029 44,000 42,585
6.580% due 07/25/2029 55,500 54,918
Merrill Lynch Mortgage Investors, Inc.
7.068% due 06/15/2021 (d) 4,906 4,785
6.658% due 06/15/2021 2,552 2,523
6.808% due 06/15/2021 (d) 5,229 5,079
6.950% due 06/18/2029 40,148 39,744
Midland Realty Acceptance Corp.
7.020% due 01/25/2029 23,022 22,658
Morgan Stanley Capital
6.860% due 05/15/2006 2,386 2,349
6.190% due 01/15/2007 25,166 24,192
6.160% due 04/03/2009 14,006 13,297
7.460% due 02/15/2020 11,450 11,457
6.590% due 10/03/2030 5,806 5,646
Morgan Stanley, Dean Witter, Discover and Co.
6.044% due 07/25/2027 (d) 988 983
Mortgage Capital Funding, Inc.
7.800% due 04/15/2006 500 501
80 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
7.008% due 09/20/2006 $ 15,545 $ 15,061
Nacional Financiera
22.000% due 05/20/2002 (d) 300,000 35,685
NationsBanc Montgomery Funding Corp.
6.500% due 07/25/2028 14,470 13,159
6.250% due 10/25/2028 2,000 1,780
Nationslink Funding Corp.
5.805% due 02/10/2001 23,781 23,613
6.333% due 10/22/2004 7,172 6,991
6.240% due 04/10/2007 (d) 8,163 8,166
Nomura Asset Securities Corp.
7.602% due 05/25/2024 (d) 2,934 3,007
Norwest Asset Securities Corp.
6.750% due 12/25/2012 18,016 17,444
6.750% due 09/25/2027 3,591 3,464
6.350% due 04/25/2028 2,443 2,412
6.750% due 05/25/2028 5,000 4,585
6.250% due 08/25/2028 5,356 5,276
6.750% due 10/25/2028 17,236 16,047
6.500% due 12/25/2028 20,000 18,203
6.500% due 01/25/2029 1,072 866
6.500% due 02/25/2029 60,000 54,770
5.950% due 04/25/2029 112,115 106,793
6.500% due 04/25/2029 26,751 24,314
6.300% due 04/25/2029 9,559 9,106
6.200% due 04/25/2029 77,385 73,515
5.950% due 04/25/2029 17,152 16,809
6.000% due 05/25/2029 19,713 19,102
6.500% due 06/25/2029 46,178 41,895
6.750% due 08/25/2029 787 772
7.000% due 09/25/2029 3,333 2,889
6.500% due 10/25/2029 1,990 1,811
7.000% due 11/25/2029 14,942 14,149
PaineWebber Mortgage
6.000% due 04/25/2009 11,951 11,246
PNC Mortgage Securities Corp.
6.750% due 06/25/2016 12,180 11,924
7.000% due 10/25/2027 36,240 34,316
6.750% due 12/25/2027 7,230 6,446
6.500% due 02/25/2028 1,777 1,763
7.000% due 02/25/2028 25,767 24,508
6.984% due 02/25/2028 9,666 9,304
6.625% due 03/25/2028 926 899
7.000% due 05/25/2028 6,918 6,785
6.550% due 07/25/2028 24,500 24,071
6.750% due 07/25/2028 3,527 3,282
6.750% due 09/25/2028 4,000 3,721
6.750% due 10/25/2028 26,133 24,441
6.750% due 12/25/2028 21,709 20,160
6.250% due 01/25/2029 9,263 8,291
6.300% due 03/25/2029 10,000 8,937
6.500% due 06/25/2029 48,600 44,114
6.200% due 06/25/2029 54,237 51,956
Prudential Bache
6.151% due 09/01/2018 (d) 234 229
8.400% due 03/20/2021 6,706 6,770
Prudential Home Mortgage Securities
2.109% due 12/25/2000 (d) 209 203
7.000% due 01/25/2008 23,860 23,472
6.400% due 04/25/2009 1,158 1,150
6.950% due 11/25/2022 222 202
7.000% due 07/25/2023 12,657 12,463
6.750% due 10/25/2023 9,293 7,385
7.756% due 11/25/2023 (d) 872 868
5.900% due 12/25/2023 7,323 7,203
6.050% due 04/25/2024 3,571 3,524
6.800% due 05/25/2024 10,605 9,605
6.000% due 05/25/2024 4 4
6.450% due 11/25/2025 5,264 4,533
2.601% due 12/25/2025 (d) 281 273
Prudential Securities Secured Financing Corp.
6.074% due 01/15/2008 12,945 12,247
6.955% due 06/15/2008 20,169 19,738
PSB Financial Corp.
11.050% due 12/01/2015 477 479
Resecuritization Mortgage Trust
6.750% due 06/19/2028 18,343 17,236
Residential Accredit Loans, Inc.
6.250% due 03/25/2014 318 301
7.250% due 06/25/2027 2,100 2,028
7.500% due 08/25/2027 15,000 14,621
7.000% due 02/25/2028 41,115 39,084
6.500% due 12/25/2028 400 364
6.500% due 05/25/2029 3,000 2,727
6.750% due 06/25/2029 963 923
Residential Asset Securitization Trust
7.375% due 03/25/2027 5,142 4,949
7.000% due 03/25/2027 18 18
7.000% due 10/25/2027 19,642 18,452
6.750% due 06/25/2028 18,259 17,775
6.500% due 12/25/2028 1,250 1,116
6.500% due 03/25/2029 22,700 21,260
Residential Funding Mortgage Securities, Inc.
7.000% due 08/25/2008 6,650 6,606
7.500% due 09/25/2011 19,385 19,270
7.000% due 05/25/2012 3,095 2,977
6.500% due 12/25/2012 18,126 17,105
7.750% due 09/25/2022 444 441
8.000% due 01/25/2023 3,045 3,055
8.000% due 02/25/2023 9,298 9,273
6.500% due 11/25/2023 1,660 1,487
7.500% due 09/25/2025 14,305 14,226
7.500% due 12/25/2025 952 939
7.750% due 11/25/2026 9,000 9,007
7.500% due 04/25/2027 6,253 6,106
7.500% due 06/25/2027 51,535 50,361
7.500% due 07/25/2027 25,265 25,123
7.250% due 08/25/2027 16,000 15,475
7.250% due 10/25/2027 43,645 42,043
7.000% due 11/25/2027 17,000 16,010
6.750% due 02/25/2028 14,038 13,560
6.750% due 05/25/2028 60,741 55,992
6.750% due 06/25/2028 72,098 65,971
6.750% due 08/25/2028 10,000 9,381
6.750% due 09/25/2028 65,993 61,301
6.500% due 10/25/2028 52,000 47,338
6.250% due 11/25/2028 3,000 2,677
6.500% due 12/25/2028 23,400 21,216
6.500% due 01/25/2029 72,314 65,973
6.500% due 03/25/2029 6,980 6,370
6.200% due 05/25/2029 89,761 88,290
6.500% due 06/25/2029 10,974 8,055
6.750% due 07/25/2029 22,600 20,923
7.000% due 10/25/2029 25,260 23,877
7.500% due 11/25/2029 12,338 11,793
Resolution Trust Corp.
6.180% due 09/25/2020 (d)(m) 12,262 4,537
7.331% due 09/25/2020 (d) 1,759 1,547
8.560% due 06/25/2021 (d) 277 276
8.686% due 08/25/2021 7,297 7,268
8.138% due 10/25/2021 (d) 158 157
8.625% due 10/25/2021 145 145
5.585% due 10/25/2021 (d) 139 137
8.640% due 05/25/2022 (d) 1,536 1,524
7.875% due 08/25/2023 (d) 2,001 2,003
8.835% due 12/25/2023 3,300 3,347
9.450% due 05/25/2024 9,677 9,640
7.100% due 12/25/2024 643 640
7.654% due 10/25/2028 (d) 5,814 5,832
6.824% due 10/25/2028 (d) 15,215 15,311
7.515% due 05/25/2029 (d) 2,950 2,921
6.788% due 05/25/2029 (d) 2,854 2,830
RMF Commercial Mortgage Securities, Inc.
6.715% due 01/15/2019 235 225
Ryan Mortgage Acceptance Corp.
9.450% due 10/01/2016 81 83
Ryland Acceptance Corp.
11.500% due 12/25/2016 97 97
8.200% due 09/25/2022 30 30
See accompanying notes 81
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
14.000% due 11/25/2031 $ 896 $ 943
Ryland Mortgage Securities Corp.
8.200% due 06/25/2021 35 35
7.706% due 08/25/2022 (d) 1,995 2,043
7.132% due 08/25/2029 (d) 2,769 2,785
6.816% due 10/25/2031 (d) 4,546 4,501
Salomon Brothers Mortgage Securities
7.669% due 11/25/2022 (d) 585 585
8.528% due 07/01/2024 (d) 4,525 4,584
6.219% due 04/25/2029 (d) 27,697 27,699
6.259% due 04/25/2029 (d) 7,169 7,170
Santa Barbara Savings
9.500% due 11/20/2018 2,228 2,224
Saxon Mortgage
6.250% due 04/25/2009 4,225 4,181
6.500% due 02/25/2024 2,082 2,033
8.459% due 09/25/2024 (d) 4,464 4,526
Securitized Asset Sales, Inc.
7.707% due 10/25/2023 (d) 1,534 1,528
7.585% due 12/26/2023 (d) 1,321 1,299
7.410% due 09/25/2024 (d) 9,900 9,816
Security Pacific National Bank
6.004% due 03/25/2018 (d) 91 89
Small Business Investment Co.
7.540% due 08/10/2009 87,128 87,396
8.017% due 02/10/2010 104,000 106,791
7.640% due 03/26/2010 69,185 68,860
Southern Pacific Secured Assets Corp.
6.049% due 06/25/2028 (d) 41,153 40,748
Starwood Commercial Mortgage
6.600% due 02/03/2009 12,054 11,684
Structured Asset Mortgage Investments, Inc.
6.905% due 06/25/2028 (d) 40,348 38,812
6.250% due 11/25/2028 14,878 13,263
6.750% due 01/25/2029 10,000 9,281
6.300% due 05/25/2029 21,766 20,944
6.585% due 06/25/2029 (d) 31,842 31,570
7.250% due 07/25/2029 27,623 27,171
6.750% due 05/02/2030 22,701 20,970
Structured Asset Notes Transactions Ltd.
6.650% due 08/30/2005 21,085 20,190
Structured Asset Securities Corp.
7.000% due 12/25/2027 51,500 48,812
TMA Mortgage Funding Trust
6.259% due 01/25/2029 37,974 37,974
Union Planters Mortgage Finance Corp.
6.750% due 01/25/2028 4,000 3,729
6.800% due 01/25/2028 15,000 14,343
Vendee Mortgage Trust
7.750% due 03/15/2016 427 427
7.500% due 08/15/2017 370 371
7.750% due 05/15/2018 550 554
6.500% due 05/15/2020 27,833 25,449
6.836% due 01/15/2030 16,957 16,160
Western Federal Savings & Loan
7.235% due 06/25/2021 (d) 3,808 3,794
----------
6,822,531
==========
Federal Home Loan Mortgage Corporation 1.5%
5.000% due 10/15/2020 1,000 939
5.500% due 04/01/2001-04/13/2030 (g) 6,105 5,446
5.750% due 08/15/2020 300 292
5.861% due 12/01/2026 (d) 6,618 6,484
6.000% due 12/01/2000-02/15/2025 (g) 44,777 43,360
6.125% due 04/01/2017-06/01/2017 (d)(g) 56 56
6.340% due 10/25/2023 (d) 16,742 17,209
6.500% due 07/01/2001-05/01/2029 (g) 169,067 153,868
6.537% due 11/01/2026 (d) 8,141 8,191
6.704% due 11/01/2028 (d) 26,446 25,833
6.750% due 01/17/2025 10,220 10,082
6.775% due 11/01/2003 69 68
6.826% due 07/01/2022 (d) 1,064 1,091
6.863% due 07/01/2025 (d) 7,207 7,239
6.900% due 07/01/2023 (d) 604 629
6.922% due 05/01/2023 (d) 986 1,017
6.945% due 08/01/2023 (d) 1,069 1,109
6.957% due 08/01/2023 (d) 5,750 6,004
7.000% due 05/01/2000-07/01/2028 (g) 14,663 14,478
7.014% due 08/01/2024 (d) 208 216
7.062% due 08/01/2023 (d) 514 530
7.085% due 05/01/2027 (d) 1,045 1,080
7.130% due 09/01/2023 (d) 2,562 2,675
7.141% due 09/01/2023 (d) 10,793 11,178
7.168% due 10/01/2023-07/01/2024 (d)(g) 3,256 3,374
7.200% due 10/01/2006 73,733 72,409
7.243% due 09/01/2023 (d) 1,547 1,602
7.269% due 04/01/2024 (d) 7,202 7,387
7.281% due 09/01/2027 (d) 2,949 2,966
7.324% due 10/01/2023 (d) 1,820 1,869
7.329% due 08/01/2023 (d) 9 10
7.342% due 06/01/2024 (d) 1,143 1,180
7.347% due 10/01/2023 (d) 994 1,021
7.492% due 04/01/2029 (d) 1,421 1,462
7.498% due 01/01/2024 (d) 536 550
7.500% due 09/01/2003-08/01/2027 (g) 11,158 11,134
7.625% due 01/01/2019 (d) 8 8
7.631% due 09/01/2023 (d) 1,513 1,549
7.750% due 04/01/2007 27 27
7.751% due 05/01/2023 (d) 1,832 1,868
7.777% due 04/01/2023 (d) 524 536
7.818% due 01/01/2024 (d) 488 502
7.834% due 07/01/2023 (d) 1,977 2,032
7.907% due 10/01/2023 (d) 507 524
7.954% due 11/01/2023 (d) 416 426
7.957% due 10/01/2023 (d) 1,207 1,251
7.980% due 11/01/2023 (d) 316 325
8.000% due 01/01/2002-09/01/2018 (g) 3,279 3,279
8.188% due 11/01/2023 (d) 347 350
8.250% due 08/01/2007-12/01/2009 (g) 192 196
8.500% due 09/01/2001-11/01/2024 (g) 5,353 5,458
8.750% due 02/01/2001-12/01/2010 (g) 149 150
8.900% due 11/15/2020 13,289 13,526
9.000% due 01/01/2002-09/15/2020 (g) 638 649
9.250% due 06/01/2009-11/01/2013 (g) 104 108
9.500% due 08/01/2001-12/01/2022 (g) 1,447 1,509
9.750% due 03/01/2001-05/01/2009 (g) 62 64
10.000% due 06/01/2004-03/01/2021 (g) 1,134 1,185
10.100% due 09/01/2016 321 341
10.250% due 03/15/2009-05/01/2009 (g) 1,200 1,271
10.500% due 10/01/2017-01/01/2021 (g) 448 481
11.000% due 11/01/2009-05/01/2020 (g) 682 729
11.250% due 10/01/2009-09/01/2015 (g) 133 143
11.500% due 05/01/2000-01/01/2018 (g) 80 87
12.500% due 12/01/2012 19 20
13.250% due 10/01/2013 80 90
14.000% due 04/01/2016 21 24
15.500% due 08/01/2011-11/01/2011 (g) 16 18
16.250% due 05/01/2011 3 3
----------
462,767
==========
Federal Housing Administration 1.5%
6.500% due 02/15/2001-03/01/2040 (g) 8,005 7,322
6.630% due 05/28/2039-07/01/2040 (g) 3,091 2,843
6.687% due 07/25/2040 6,054 5,676
6.750% due 07/15/2001 6,157 5,790
6.755% due 06/25/2039-03/01/2041 (g) 17,647 16,206
6.780% due 05/28/2039 3,908 3,691
6.790% due 05/01/2039 10,902 10,688
6.830% due 12/01/2039 3,497 3,313
6.875% due 11/01/2015 3,153 2,960
6.880% due 10/25/2040-02/01/2041 (g) 22,283 20,728
6.896% due 07/01/2020 24,393 22,929
6.900% due 12/01/2040 22,769 21,502
6.930% due 01/01/2036 15,969 15,800
7.000% due 11/15/2040 1,801 1,693
7.050% due 03/25/2040 4,517 4,238
7.125% due 03/01/2034 4,427 4,246
7.211% due 12/01/2021 2,741 2,723
7.250% due 12/01/2021-06/01/2040 (g) 19,996 19,652
7.310% due 06/01/2041 23,566 22,851
7.315% due 08/01/2019 34,187 32,638
7.317% due 05/01/2019 4,850 4,658
82 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
7.350% due 11/01/2022 $ 6,080 $ 6,032
7.375% due 03/01/2019-01/01/2024 (g) 15,732 15,384
7.400% due 02/01/2021 2,290 2,284
7.430% due 12/01/2016-05/01/2025 (g) 116,016 115,048
7.450% due 04/01/2040 2,507 2,464
7.465% due 11/01/2019 31,958 31,896
7.500% due 03/01/2032-09/30/2039 (g) 12,885 12,626
7.580% due 04/01/2040 5,109 5,020
7.630% due 08/01/2041 17,187 16,856
7.650% due 11/01/2018-11/01/2040 (g) 7,560 7,449
7.700% due 03/15/2041 5,557 5,521
7.750% due 11/15/2039 5,538 5,488
7.880% due 12/01/2039 13,423 13,462
8.250% due 10/29/2023-01/01/2041 (g) 9,545 9,628
----------
481,305
==========
Federal National Mortgage Association 1.2%
4.750% due 11/14/2003 250 232
5.000% due 12/25/2021-04/18/2027 (g) 2,000 1,768
5.500% due 02/01/2014-12/01/2028 (g) 258 235
5.650% due 04/25/2005 40 39
5.911% due 09/01/2017 (d) 4,592 4,406
5.919% due 09/01/2024 (d) 2,201 2,145
5.922% due 11/01/2035 (d) 0 0
6.000% due 05/01/2000-05/01/2029 (g) 46,987 43,790
6.090% due 12/01/2008 49 46
6.190% due 04/01/2027 (d) 148 146
6.200% due 04/25/2005 31 31
6.250% due 07/25/2007 100 99
6.390% due 05/25/2036 28,696 24,160
6.420% due 12/01/2007 150 142
6.450% due 09/25/2016 2,461 2,437
6.500% due 04/01/2003-06/17/2038 (g) 50,514 46,674
6.573% due 04/01/2026 (d) 1,286 1,292
6.600% due 09/25/2018 3,376 3,359
6.633% due 12/01/2027 (d) 9,222 9,224
6.687% due 08/01/2027 (d) 45,986 45,640
6.750% due 08/01/2003 296 295
6.752% due 09/01/2024 (d) 1,442 1,479
6.835% due 07/01/2003 67 66
6.843% due 07/01/2024 (d) 4,961 5,076
6.925% due 10/01/2027 (d) 5,509 5,529
6.950% due 03/25/2026 300 296
7.000% due 07/01/2001-12/20/2027 (g) 124,671 122,451
7.030% due 11/01/2025 (d) 1,409 1,450
7.050% due 11/01/2025 (d) 4,246 4,431
7.102% due 05/01/2024 (d) 2,549 2,692
7.136% due 09/01/2022 (d) 1,330 1,358
7.190% due 05/01/2026 (d) 652 675
7.227% due 09/01/2025 (d) 2,049 2,105
7.250% due 05/01/2002-01/01/2023 (g) 11,048 10,732
7.261% due 09/01/2022 (d) 1,387 1,407
7.289% due 03/01/2025 (d) 3,356 3,455
7.332% due 11/01/2025 (d) 2,193 2,253
7.340% due 01/01/2026 (d) 1,329 1,365
7.350% due 09/01/2027 (d) 2,003 2,055
7.409% due 11/01/2023 (d) 1,050 1,077
7.450% due 11/01/2023 (d) 167 172
7.465% due 10/01/2023 (d) 382 394
7.491% due 01/01/2024 (d) 2,014 2,068
7.500% due 10/01/2002-12/01/2022 (g) 4,098 4,093
7.555% due 12/01/2023 (d) 889 904
7.565% due 12/01/2023 (d) 1,102 1,127
7.566% due 09/01/2023 (d) 3,137 3,284
7.579% due 01/01/2024 (d) 424 431
7.652% due 02/01/2026 (d) 592 602
7.690% due 01/01/2024 (d) 696 707
7.750% due 06/01/2009 170 171
7.853% due 03/01/2026 (d) 2,344 2,395
7.896% due 01/01/2024 (d) 197 202
8.000% due 09/01/2001-02/17/2025 (g) 3,090 3,120
8.250% due 10/01/2008-02/01/2017 (g) 538 547
8.500% due 07/01/2001-02/01/2022 (g) 2,309 2,355
9.000% due 10/01/2004-04/01/2017 (g) 897 924
9.250% due 10/01/2001 6 6
9.500% due 12/01/2006-07/01/2022 (g) 76 80
9.750% due 11/01/2008 60 63
10.000% due 09/01/2003-05/01/2022 (g) 904 960
10.500% due 01/01/2016-04/01/2022 (g) 601 645
10.750% due 03/01/2014 25 27
11.000% due 09/01/2019-11/01/2020 (g) 149 163
11.500% due 08/20/2016-11/01/2019 (g) 92 100
12.000% due 05/01/2016 10 11
12.500% due 10/01/2015 37 41
13.000% due 09/01/2013 35 39
13.250% due 09/01/2011 14 16
14.500% due 11/01/2011-01/01/2013 (g) 49 55
14.750% due 08/01/2012-11/01/2012 (g) 177 208
15.000% due 10/15/2012 95 112
15.500% due 10/01/2012-12/01/2012 (g) 16 19
15.750% due 12/01/2011-08/01/2012 (g) 111 130
16.000% due 09/01/2012 125 144
----------
382,427
==========
Government National Mortgage Association 24.6%
5.500% due 04/20/2024-04/19/2030 (d)(g) 104,876 100,405
5.650% due 10/15/2012 11 10
6.000% due 10/15/2008-04/19/2030 (d)(g) 1,991,708 1,832,909
6.125% due 11/20/2027 (d) 283 285
6.320% due 02/16/2030 (d) 14,749 14,729
6.375% due 06/20/2021-03/20/2028 (d)(g) 536,285 538,203
6.500% due 05/15/2001-10/15/2038 (d)(g) 2,645,136 2,493,882
6.625% due 01/15/2040 9,635 9,069
6.750% due 07/15/2001-06/20/2028 (d)(g) 434,602 432,182
6.800% due 09/15/2001-10/15/2040 3,000 2,886
6.820% due 09/15/2001 15,415 14,872
6.850% due 10/15/2040 1,706 1,607
6.875% due 04/20/2023 (d) 341 347
7.000% due 10/15/2001-04/19/2030 (g) 551,688 533,275
7.125% due 12/20/2020-12/20/2027 (d)(g) 375,938 380,367
7.250% due 08/20/2027 (d) 50 51
7.500% due 01/15/2003-05/22/2030 (d)(g) 1,290,953 1,279,342
7.700% due 02/15/2002 1,196 1,185
7.750% due 07/15/2001 1,520 1,509
8.000% due 05/15/2001-04/19/2030 (g) 78,758 79,383
8.125% due 07/15/2001-12/01/2039 (g) 3,680 3,722
8.250% due 08/15/2004-05/15/2022 (g) 460 469
8.500% due 06/15/2001-01/20/2027 (g) 6,370 6,506
8.750% due 03/15/2007-07/15/2007 (g) 100 101
9.000% due 06/15/2001-07/20/2022 (g) 4,910 5,116
9.250% due 07/15/2003-12/20/2016 (g) 199 205
9.500% due 04/15/2001-08/15/2023 (g) 4,746 4,999
9.750% due 09/15/2002-01/15/2021 (g) 136 140
10.000% due 04/15/2001-02/15/2025 (g) 5,751 6,136
10.250% due 02/20/2019 28 30
10.500% due 06/15/2004-09/15/2021 (g) 788 848
11.000% due 01/15/2001-03/15/2019 (g) 261 282
11.250% due 03/15/2001-12/20/2015 (g) 37 40
11.500% due 10/15/2010-10/15/2013 (g) 50 56
12.000% due 11/15/2012-05/15/2016 (g) 262 293
12.500% due 01/15/2011 1 1
13.000% due 12/15/2012-10/15/2014 (g) 20 23
13.250% due 10/20/2014 20 23
13.500% due 10/15/2012-11/15/2014 (g) 108 124
15.000% due 02/15/2012-10/15/2012 (g) 99 118
16.000% due 01/15/2012-05/15/2012 (g) 72 86
17.000% due 11/15/2011-12/15/2011 (g) 71 87
----------
7,745,903
==========
Other Mortgage-Backed Securities 0.7%
Bank of America
9.000% due 03/01/2008 40 41
CDC Depositor Trust I
6.212% due 01/15/2003 (d) 20,709 20,632
Citibank, NA
8.000% due 07/25/2018 45 45
Commercial Mortgage Asset Trust
6.640% due 09/17/2010 455 426
Countrywide Funding Corp.
6.750% due 03/25/2024 11,854 10,313
DBL Mortgage Funding
See accompanying notes 83
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
9.500% due 08/01/2019 $ 8 $ 8
Federal Home Loan Mortgage Corp.
11.875% due 06/15/2013 40 42
FFCA Secured Lending Corp.
7.850% due 05/18/2017 28,900 28,778
First Interstate Bancorp
9.125% due 01/01/2009 (l) 10 10
General Electric Capital Mortgage Services, Inc.
7.250% due 07/25/2011 2,638 2,630
General Electric Credit Corp.
8.000% due 03/01/2002 (l) 13 14
German American Capital Corp.
8.360% due 09/30/2002 965 940
4.306% due 07/01/2018 (d) 8,531 8,321
Great Western Savings & Loan
5.952% due 08/01/2017 (d) 127 122
Guardian
6.521% due 12/25/2018 (d) 50 50
Home Savings of America
8.464% due 08/01/2006 56 55
5.722% due 05/25/2027 (d) 2,315 2,196
6.066% due 08/20/2029 (d) 8,761 8,597
Imperial Savings & Loan
8.221% due 01/25/2017 (d) 63 63
8.847% due 07/25/2017 (d) 248 247
LTC Commercial Corp.
7.100% due 11/28/2012 3,232 3,201
Merrill Lynch Mortgage
7.428% due 06/15/2021 (d) 1,089 1,065
Mid-State Trust
8.330% due 04/01/2030 66,403 67,037
Morgan Stanley Mortgage Trust
8.150% due 07/20/2021 5 5
Resolution Trust Corp.
7.408% due 09/25/2020 (d) 218 205
6.897% due 05/25/2029 (d) 3,504 3,462
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 819 820
Sasco Floating Rate Commercial Mortgage
6.280% due 11/20/2001 (d) 58,183 58,326
Sears Mortgage
12.000% due 02/25/2014 617 615
7.431% due 10/25/2022 (d) 2,135 2,159
TIAA Retail Commercial Mortgage
7.170% due 04/15/2008 9,563 9,394
Western Federal Savings & Loan
6.523% due 11/25/2018 (d) 6 6
----------
229,825
==========
Stripped Mortgage-Backed Securities 0.0%
Bear Stearns Mortgage Securities, Inc. (IO)
7.200% due 07/25/2024 339 33
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 244 6
6.500% due 11/15/2006 606 14
6.500% due 03/15/2007 726 15
5.750% due 09/15/2007 (d) 5,714 348
6.000% due 10/15/2007 275 18
6.000% due 01/15/2008 128 7
5.428% due 02/15/2008 (d) 576 50
6.400% due 10/15/2008 87 8
6.500% due 08/15/2016 742 12
6.500% due 08/15/2017 189 4
7.000% due 04/15/2018 873 56
7.500% due 08/15/2018 39 1
8.845% due 01/15/2021 2 45
9.000% due 05/15/2022 103 27
6.500% due 09/15/2023 335 42
Federal National Mortgage Association (IO)
6.500% due 07/25/2006 1,143 35
7.272% due 09/25/2006 3 24
6.500% due 02/25/2007 1,579 95
6.500% due 07/25/2007 418 18
6.500% due 09/25/2007 2,093 137
6.500% due 10/25/2007 660 37
6.500% due 03/25/2009 (d) 28,048 546
7.000% due 08/25/2016 48 0
6.500% due 08/25/2020 2,666 264
10.070% due 01/25/2021 0 4
7.500% due 04/25/2021 1,700 282
9.032% due 08/25/2021 6 160
0.950% due 11/25/2021 (d) 26,064 387
6.500% due 10/25/2022 166 15
6.500% due 01/25/2023 3,029 486
Federal National Mortgage Association (PO)
0.000% due 09/01/2007 752 593
0.000% due 02/25/2021 606 592
0.000% due 06/25/2022 589 560
0.000% due 08/25/2023 295 197
PaineWebber (IO)
13.595% due 08/01/2019 1 43
Vendee Mortgage Trust (IO)
0.542% due 06/15/2023 (d) 161,672 2,854
----------
8,015
----------
Total Mortgage-Backed Securities 16,132,773
(Cost $16,410,409) ==========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 8.0%
--------------------------------------------------------------------------------
Advanta Mortgage Loan Trust
6.325% due 05/25/2027 (d) 667 657
6.525% due 08/25/2029 (d) 3,040 3,050
Advanta Revolving Home Equity Loan Trust
6.249% due 01/25/2024 (d) 32,588 32,609
AFC Home Equity Loan Trust
6.806% due 10/25/2026 (d) 2,711 2,727
Allied Waste Industries, Inc.
8.938% due 07/30/2006 9,736 8,838
Allied Waste North America, Inc.
8.938% due 07/30/2006 (d) 17,309 15,713
9.125% due 07/30/2007 (d) 24,881 22,587
9.188% due 07/30/2007 (d) 7,573 6,875
America West Airlines
10.500% due 01/02/2004 (d) 20 20
American Express Credit Account Master Trust
6.800% due 12/15/2003 1,500 1,496
American Express Master Trust
7.850% due 08/15/2005 220 225
American Stores Co.
6.504% due 08/30/2004 20,000 19,776
Americredit Automobile Receivable Trust
6.540% due 05/12/2001 222 222
5.304% due 10/12/2002 17,594 17,494
5.780% due 05/12/2003 43,000 42,272
Amresco Residential Securities Mortgage Loan Trust
6.325% due 10/25/2027 (d) 2,920 2,919
6.280% due 05/25/2028 (d) 18,759 18,748
7.875% due 09/25/2028 (d) 2,448 2,356
Arcadia Automobile Receivables Trust
6.250% due 09/15/2002 45,649 45,611
5.900% due 11/15/2002 17,289 17,248
6.300% due 07/15/2003 26,025 25,735
6.900% due 12/15/2003 19,431 19,333
Associates Manufactured Housing
7.000% due 03/15/2027 6,258 6,256
Banc One Home Equity Trust
6.460% due 06/25/2029 30,682 30,508
BankBoston Home Equity Loan Trust
6.280% due 11/25/2010 82 82
Bayview Financial Acquisition
6.429% due 02/25/2029 (d) 5,593 5,597
Brazos Student Loan Finance Co.
6.430% due 06/01/2023 (d) 32,700 32,368
6.093% due 12/01/2025 (d) 22,750 22,797
California Infrastructure
6.150% due 06/25/2002 1,143 1,142
Champion Home Equity Loan Trust
6.139% due 03/25/2029 (d) 5,467 5,431
Charter Commercial Holdings LLC
8.540% due 03/31/2008 19,297 19,134
84 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
8.580% due 03/31/2008 $ 22,703 $ 22,510
Chase Credit Card Master Trust
6.660% due 01/15/2007 645 631
Chase Manhattan Auto Owner Trust
5.750% due 10/15/2001 221 221
Chase Manhattan Grantor Trust
5.200% due 02/15/2002 157 156
6.610% due 09/15/2002 1,119 1,119
Chase Mortgage Finance Corp.
6.750% due 10/25/2028 39,000 36,191
Citibank Credit Card Master Trust
6.473% due 05/15/2002 600 600
CMC Securities Corp. IV
7.250% due 11/25/2027 1,221 1,184
Columbia/HCA Healthcare
6.730% due 07/15/2045 14,760 13,682
Community Program Loan Trust
4.500% due 10/01/2018 25,435 22,574
4.500% due 04/01/2029 26,000 19,159
Conseco Finance
6.290% due 10/15/2030 20,072 20,042
Contimortgage Home Equity Loan Trust
6.174% due 10/15/2012 (d) 6,628 6,622
6.130% due 03/15/2013 4,262 4,242
6.420% due 04/25/2014 494 491
6.400% due 06/15/2014 2,000 1,978
6.770% due 01/25/2018 41,700 40,722
6.990% due 03/15/2021 350 348
6.930% due 11/25/2022 36,800 36,249
7.220% due 01/15/2028 80 79
6.144% due 06/15/2028 (d) 3,780 3,774
6.214% due 08/15/2028 (d) 1,393 1,392
Copelco Capital Funding Corp.
6.340% due 07/20/2004 13 13
CPS Auto Trust
5.995% due 06/15/2002 7,000 6,993
Cross Country Master Credit
6.281% due 06/15/2006 (d) 300 300
CS First Boston Mortgage Securities Corp.
6.750% due 09/25/2028 6,960 6,475
Daimler-Benz Vehicle Trust
5.230% due 12/20/2001 110 110
6.050% due 03/31/2005 3,224 3,208
Delta Air Lines Equipment Trust
9.230% due 07/02/2002 (l) 7,081 7,211
10.500% due 01/02/2007 (l) 6,167 6,756
10.570% due 01/02/2007 (l) 15,881 18,105
9.550% due 01/02/2008 (l) 7,773 8,138
10.430% due 01/02/2011 960 1,042
10.000% due 06/05/2013 10,828 11,795
Delta Funding Home Equity Loan
6.140% due 02/15/2018 38,082 37,907
6.191% due 09/15/2029 (d) 12,019 12,072
Discover Card Master Trust
5.600% due 05/16/2006 1,600 1,518
6.260% due 10/16/2013 (d) 400 404
Duck Auto Grantor Trust
5.650% due 03/15/2004 8,073 7,950
DVI Business Credit Receivable
6.461% due 10/15/2003 (d) 3,850 3,894
EQCC Home Equity Loan Trust
6.235% due 04/15/2008 10 10
6.050% due 01/25/2010 254 253
6.548% due 04/25/2010 446 443
6.710% due 07/15/2011 226 226
6.045% due 10/15/2027 (d) 988 987
5.770% due 03/20/2029 249 247
Equivantage Home Equity Loan Trust
6.550% due 10/25/2025 87 85
Felco Funding LLC
5.980% due 09/15/2001 453 451
Fidelity Equipment Lease Trust
5.860% due 09/15/2001 27,949 27,823
First Alliance Mortgage Loan Trust
6.451% due 03/20/2031 (d) 17,761 17,772
First Merchants Auto Trust
6.850% due 11/15/2002 34 34
First Omni Bank
6.650% due 09/15/2003 (d) 1,500 1,495
First Plus Home Loan Trust
6.800% due 03/10/2012 9,940 9,929
First Security Auto Grantor Trust
6.100% due 04/15/2003 1,126 1,123
5.970% due 04/15/2004 168 166
First Security Auto Owner Trust
5.492% due 04/15/2002 200 200
First Security Corp.
5.875% due 11/01/2003 9,000 8,520
First Union Master Credit Card Trust
6.633% due 09/15/2003 88,750 88,900
First USA Credit Card Master Trust
6.125% due 09/17/2003 (d) 300 300
FMAC Loan Receivables Trust
6.200% due 09/15/2020 300 289
6.500% due 09/15/2020 246 222
6.830% due 09/15/2020 680 612
Ford Credit Auto Owner Trust
6.050% due 04/15/2001 66 66
5.310% due 04/16/2001 71 71
5.470% due 09/15/2001 560 558
5.650% due 10/15/2001 106 105
5.770% due 11/15/2001 20,799 20,747
6.200% due 04/15/2002 721 720
Ford Motor Credit Corp.
5.500% due 02/15/2003 5,300 5,234
Fred Meyer, Inc.
6.813% due 03/19/2003 (d) 12,405 12,261
General Motors Acceptance Corp.
6.500% due 04/15/2002 7,182 7,160
GMAC Mortgage Corp. Loan
6.270% due 11/18/2025 (d) 46,648 46,672
7.930% due 03/25/2030 42,000 41,905
Green Tree Financial Corp.
7.150% due 07/15/2027 448 449
6.490% due 03/15/2028 50,107 49,789
6.420% due 11/15/2028 2,060 2,050
5.850% due 11/01/2029 104 104
6.870% due 04/01/2030 1,105 1,047
6.660% due 06/01/2030 1,405 1,301
5.600% due 12/01/2030 322 320
5.510% due 02/01/2031 474 472
Green Tree Floorplan Receivables Master Trust
6.811% due 11/01/2004 (d) 46,000 46,273
Green Tree Home Equity Loan Trust
5.590% due 02/15/2013 149 149
6.040% due 06/15/2029 144 144
5.990% due 07/15/2030 506 504
Green Tree Home Improvement Loan
5.907% due 08/15/2007 120 120
6.390% due 01/15/2029 7,984 7,983
Green Tree Lease Finance
6.170% due 09/20/2005 146 146
Green Tree Recreational Equipment
6.430% due 04/17/2006 3,300 3,273
Harley-Davidson Eaglemark
5.250% due 07/15/2003 172 170
HFC Home Equity Loan
6.830% due 12/20/2016 413 411
Honda Auto Receivables Grantor
5.850% due 02/15/2003 69 69
5.950% due 05/15/2003 98 98
Household Consumer Loan Trust
6.305% due 08/15/2006 (d) 22,543 22,296
IKON Receivables LLC
5.600% due 05/15/2005 31,029 30,961
IMC Home Equity Loan Trust
6.310% due 12/20/2012 117 117
7.210% due 07/25/2026 (d) 795 783
IMPAC Secured Assets CMN Owner
See accompanying notes 85
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
7.770% due 07/25/2025 $ 2,000 $ 1,919
Indymac Home Equity Loan
6.149% due 10/25/2029 (d) 17,490 17,468
Indymac Manufactured Housing
6.170% due 12/25/2011 6,000 5,906
Korea National Housing
9.313% due 05/23/2001 (l) 94,000 94,940
Long Beach Acceptance Auto
6.940% due 09/19/2007 4,750 4,727
Lyondell Petroleum
9.383% due 06/17/2003 962 961
9.613% due 12/31/2003 (d) 79,088 79,717
MBNA Master Credit Card Trust
6.050% due 11/15/2002 245 245
Mellon Bank Home Equity
5.900% due 10/25/2010 17,301 17,141
Merit Securities Corp.
6.160% due 07/28/2033 8,909 8,830
7.880% due 12/28/2033 34,400 34,529
Metlife Capital Equipment Loan Trust
6.850% due 05/20/2008 (d) 320 317
Metris Master Trust
6.721% due 04/20/2006 (d) 20,000 20,118
Metropolitan Asset Funding, Inc.
6.585% due 04/25/2029 (d) 14,188 14,095
MMCA Automobile Trust
6.300% due 06/15/2002 616 616
Money Store Home Equity Trust
7.380% due 03/15/2017 29 29
7.550% due 02/15/2020 500 500
6.345% due 11/15/2021 (d) 1,157 1,148
6.015% due 05/15/2025 (d) 3,948 3,951
6.490% due 10/15/2026 17,000 16,915
MPC Natural Gas Funding Trust
6.200% due 03/15/2013 9,546 9,155
Myra Ums Tranche
5.733% due 12/23/2006 1,561 1,430
Myra-United Mexican States
5.813% due 10/20/2006 (d) 444 417
7.000% due 12/23/2006 (d) 2,984 2,805
7.163% due 12/23/2006 (d) 7,976 7,252
7.063% due 12/23/2006 (d) 951 858
7.000% due 12/23/2006 (d) 2,251 2,061
6.188% due 12/23/2006 (d) 31 29
5.813% due 12/23/2006 (d) 4,193 3,783
7.000% due 12/23/2006 (d) 876 771
National Medical Care
7.188% due 09/30/2003 24,597 24,305
7.250% due 09/30/2003 (d) 28,486 28,148
NationsBanc Montgomery Funding Corp.
6.750% due 06/25/2028 10,000 9,298
6.750% due 08/25/2028 20,009 17,579
Nationsbank Credit Card Master Trust
6.450% due 04/15/2003 225 225
New Holland Equipment Receivables
6.390% due 10/15/2002 525 523
Newcourt Receivable Asset Trust
6.240% due 12/20/2004 3 3
Nissan Auto Receivables
6.390% due 10/15/2002 73 73
Nomura CBO Ltd.
6.670% due 05/15/2009 1,900 1,927
Norwest Asset Securities Corp.
6.500% due 04/25/2013 20,642 19,526
6.500% due 06/25/2013 10,696 10,113
7.500% due 03/25/2027 40,787 39,519
6.750% due 05/25/2028 27,707 25,273
6.750% due 07/25/2028 12,657 11,465
6.200% due 09/25/2028 19,077 18,905
NPF XI, Inc.
6.815% due 07/01/2001 8,960 8,959
NPF XII, Inc.
7.050% due 06/01/2003 31,000 30,666
Olympic Automobile Receivable Trust
6.050% due 08/15/2002 10,368 10,364
Option One Mortgage Loan Trust
5.880% due 05/25/2029 238 237
PP&L Transition Bond Co.
6.830% due 03/25/2007 28,800 28,354
Premier Auto Trust
5.770% due 01/06/2002 9,780 9,765
5.820% due 02/08/2002 870 868
Primedia, Inc.
8.740% due 07/31/2004 (d) 20,000 19,860
Republic of Korea
8.063% due 04/08/2001 (d) 5,204 5,224
Residential Asset Securities Corp.
5.979% due 04/25/2014 (d) 439 439
6.960% due 07/25/2014 43,712 43,547
6.240% due 02/25/2017 5,941 5,888
6.600% due 01/25/2020 5,200 5,140
7.075% due 09/25/2020 190 189
7.998% due 10/25/2024 (d) 6,329 6,284
6.781% due 10/25/2027 (d) 2,963 2,954
6.750% due 03/25/2028 40,000 36,659
RJR Nabisco
7.500% due 12/31/2001 (d) 24,948 24,948
Salomon Brothers Mortgage Securities
6.179% due 06/25/2029 (d) 47,846 47,809
6.305% due 11/15/2029 (d) 21,011 21,024
7.043% due 11/15/2029 (d) 5,800 5,799
Saxon Asset Securities Trust
6.355% due 05/25/2029 (d) 11,362 11,336
Sears Credit Account Master Trust
6.050% due 01/16/2008 500 485
7.000% due 07/15/2008 500 498
Stone Container Corp.
9.500% due 10/01/2003 2,716 2,716
9.688% due 10/01/2003 (d) 2,716 2,716
Texas Cable Partners
7.680% due 06/24/2007 5,000 4,975
Total Renal Care
10.250% due 03/31/2008 47,040 40,572
Toyota Auto Lease Trust
6.450% due 04/26/2004 300 298
UCFC Home Equity Loan
6.475% due 06/15/2012 36 36
8.200% due 09/15/2027 70 71
6.870% due 07/15/2029 70 65
UCFC Manufactured Housing
5.945% due 01/15/2010 (d) 8,324 8,331
UniCapital Corp.
6.540% due 07/23/2002 39,800 39,682
United Air Lines Equipment Trust
9.200% due 03/22/2008 3,950 4,142
10.360% due 11/13/2012 7,000 7,859
10.020% due 03/22/2014 6,925 7,588
10.850% due 07/05/2014 34,111 39,726
10.850% due 02/19/2015 1,500 1,736
10.125% due 03/22/2015 14,300 16,464
9.060% due 06/17/2015 5,000 5,367
9.210% due 01/21/2017 2,000 2,078
USAA Auto Loan Grantor Trust
6.150% due 05/15/2004 2,013 2,004
5.800% due 01/15/2005 3,862 3,825
WFS Financial Owner Trust
6.100% due 03/20/2002 43 43
6.411% due 07/20/2002 43,500 43,440
6.920% due 01/20/2004 27,125 27,039
WMC Mortgage Loan
6.335% due 10/15/2029 94,586 94,645
Ziff-Davis, Inc.
9.125% due 03/31/2006 2,850 2,846
----------
Total Asset-Backed Securities 2,507,373
(Cost $2,536,355) ==========
86 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
SOVEREIGN ISSUES 2.8%
--------------------------------------------------------------------------------
African Development Bank
9.300% due 07/01/2000 $ 200 $ 201
Central Bank Philippines
6.500% due 06/01/2008 (d) 368 353
Government of Brazil
7.000% due 01/01/2001 (d) 29,372 29,264
6.938% due 04/15/2006 (d) 43,287 39,283
Hellenic Republic
6.684% due 06/06/2001 (d) 20,000 20,327
Hydro Quebec
7.375% due 02/01/2003 150 150
Kingdom of Jordan
5.500% due 12/23/2023 18,000 12,303
Kingdom of Sweden
10.250% due 11/01/2015 500 589
Nacional Financiera
9.750% due 03/12/2002 10,000 10,285
7.975% due 05/08/2003 (d) 7,750 7,694
New Brunswick
7.125% due 10/01/2002 1,700 1,696
Nova Scotia Province
6.099% due 05/14/2001 (d) 5,000 4,991
Providence of Newfoundland
9.000% due 06/01/2019 500 572
Province of Nova Scotia
9.375% due 07/15/2002 1,000 1,043
Province of Ontario
6.125% due 06/28/2000 800 801
7.750% due 06/04/2002 200 202
7.625% due 06/22/2004 1,000 1,016
7.000% due 08/04/2005 1,000 990
6.000% due 02/21/2006 1,800 1,691
5.500% due 10/01/2008 12,000 10,656
Province of Quebec
7.500% due 07/15/2002 6,000 6,031
8.800% due 04/15/2003 100 104
6.270% due 06/11/2004 (d) 15,500 15,464
Republic of Argentina
11.786% due 04/10/2005 (d) 162,145 152,011
Republic of Bulgaria
7.063% due 07/28/2011 (d) 2,500 1,981
2.750% due 07/28/2012 (d) 20,000 14,421
7.063% due 07/28/2024 (d) 32,000 25,722
Republic of Chile
6.875% due 04/28/2009 25,000 23,255
Republic of Colombia
9.750% due 04/23/2009 16,150 15,100
8.700% due 02/15/2016 115 87
Republic of Croatia
7.000% due 02/27/2002 5,650 5,483
Republic of Korea
7.594% due 04/08/2000 (d) 7,132 7,159
8.281% due 04/08/2000 (d) 9,899 9,936
8.594% due 04/08/2000 (d) 26,120 26,218
Republic of Panama
7.875% due 02/13/2002 500 490
7.001% due 05/14/2002 (d) 930 908
4.250% due 07/17/2014 6,250 5,051
Republic of Peru
3.750% due 03/07/2017 2,000 1,226
4.500% due 03/07/2017 (d) 5,750 3,853
Republic of Philippines
6.938% due 01/05/2005 (d) 8,830 8,796
6.500% due 12/01/2017 7,000 6,416
9.875% due 01/15/2019 5,800 5,249
9.500% due 10/21/2024 55,702 53,613
Republic of Poland
3.500% due 10/27/2024 (d) 77,040 47,765
4.000% due 10/27/2024 3,000 2,003
Republica Orient Uruguay
7.250% due 05/04/2009 2,500 2,369
State of Israel
6.200% due 06/14/2003 25 24
United Mexican States
6.930% due 04/07/2000 (d) 81,590 81,657
7.439% due 06/27/2002 (d) 94,250 92,916
6.263% due 04/07/2004 (d) 17,681 17,672
9.780% due 04/07/2004 (d) 45,236 47,298
7.500% due 03/08/2010 15,000 14,555
6.250% due 12/31/2019 38,110 32,526
---------
Total Sovereign Issues 871,466
(Cost $862,873) =========
--------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.9%
--------------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 2,475 2,346
City of Montreal
11.500% due 09/20/2000 C$ 7,000 4,948
Commonwealth of New Zealand
10.000% due 03/15/2002 (j) N$ 102,500 53,587
5.500% due 04/15/2003 80,000 38,067
4.500% due 02/15/2016 73,000 35,553
Export-Import Bank Korea
3.840% due 10/06/2000 (d) DM 5,000 2,427
France Telecom
2.000% due 01/01/2004 9,761 3,197
Halifax Group Euro Finance
7.627% due 12/29/2049 (d) EC 8,500 8,240
International Bank for Reconstruction & Development
7.250% due 05/27/2003 (j) N$ 32,500 15,846
Korea Development Bank
3.610% due 05/14/2001 (d) DM 70,000 33,751
2.560% due 06/26/2001 JY 4,000,000 39,536
Newcourt Credit Group
7.625% due 06/28/2001 C$ 9,400 6,589
Republic of Argentina
5.500% due 03/27/2001 JY 4,290,000 41,416
Republic of Brazil
8.250% due 11/26/2001 EC 2,000 1,957
Republic of Philippines
8.000% due 09/17/2004 10,290 9,950
Reynolds, R.J
6.875% due 11/22/2000 DM 9,500 4,658
Tecnost International NV
5.616% due 06/23/2004 (d) 102,284 100,402
United Mexican States
6.000% due 03/28/2002 JY 100,000 1,040
3.100% due 04/24/2002 2,542,000 24,982
8.750% due 05/30/2002 BP 23,000 36,995
10.375% due 01/29/2003 DM 200 107
7.000% due 06/02/2003 C$ 30,200 20,031
6.750% due 06/06/2006 JY 2,000,000 23,371
6.630% due 12/31/2019 FF 60,000 9,520
1.103% due 12/31/2019 (d) JY 1,662,500 15,866
3.850% due 12/31/2019 9,145,000 76,943
---------
Total Foreign Currency-Denominated Issues (e)(f) 611,325
(Cost $601,914) =========
--------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.1%
--------------------------------------------------------------------------------
Eurodollar vs. U.S. Dollar (OTC)
Strike @0.870 Exp. 06/27/2000 $ 200,000 22,118
---------
Total Purchased Call Options 22,118
(Cost $21,172) =========
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.4%
--------------------------------------------------------------------------------
Banking & Finance 0.2%
ACOM Co. Ltd.
0.000% due 03/31/2002 150,000 1,729
Bell Atlantic Financial Services
5.750% due 04/01/2003 7,000 7,000
Deutsche Bank Financial
0.000% due 02/12/2017 4,850 2,287
Fuji International Finance Trust
0.250% due 02/01/2002 540,000 4,338
Hellenic Finance
2.000% due 07/15/2003 2,000 1,919
See accompanying notes 87
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Morgan Stanley, Dean Witter, Discover and Co.
0.000% due 03/02/2006 $ 5,860 $ 4,952
Northern Rock plc
2.000% due 01/02/2000 1,060 23,108
Swiss Life Financial Ltd.
2.000% due 05/20/2003 1,500 1,452
---------
46,785
=========
Consumer Discretionary 0.0%
Costco Wholesale Corp.
0.000% due 08/19/2017 2,000 2,390
Energy 0.0%
Devon Energy Corp.
4.900% due 08/15/2008 2,000 2,013
Diamond Offshore Drill
3.750% due 02/15/2007 2,250 2,585
---------
4,598
=========
Health Care 0.0%
Athena Neurosciences, Inc.
4.750% due 11/15/2004 2,000 2,765
Wellpoint Health Network
0.000% due 07/02/2019 1,500 1,014
---------
3,779
=========
Industrial 0.1%
Centocor, Inc.
4.750% due 02/15/2005 1,900 2,114
Hercules Trust VI
8.625% due 12/29/2000 (d) 9,950 9,947
Roche Holdings, Inc.
0.000% due 01/19/2015 1,000 846
Solectron Corp.
0.000% due 01/27/2019 785 527
Toyoda Automatic Loom
0.350% due 09/30/2003 200,000 2,234
Young & Rubicam, Inc.
3.000% due 01/15/2005 1,090 1,014
---------
16,682
=========
Technology 0.1%
Aether Systems, Inc.
6.000% due 03/22/2005 400 384
Affiliated Computer Services
4.000% due 03/15/2005 1,000 1,021
American Tower Corp.
5.000% due 02/15/2010 2,000 2,291
ASM Lithography Holding
2.500% due 04/09/2005 1,500 1,302
Clear Channel Communications
1.500% due 12/01/2002 1,800 1,683
2.625% due 04/01/2003 1,200 1,479
Commscope, Inc.
4.000% due 12/15/2006 1,000 1,200
Conexant Systems, Inc.
4.250% due 05/01/2006 500 1,596
Cymer, Inc.
3.500% due 08/06/2004 2,000 2,340
EMC Corp.
6.000% due 05/15/2004 2,600 3,998
Hewlett-Packard Co.
0.000% due 10/14/2017 2,000 1,545
Intel Corp.
4.000% due 09/01/2004 450 1,954
Internet Capital Group, Inc.
5.500% due 12/21/2004 1,000 888
Interpublic Group Co., Inc.
1.870% due 06/01/2006 1,500 1,521
Juniper Networks, Inc.
4.750% due 03/15/2007 1,000 998
Stmicroelectron
0.000% due 09/22/2009 1,250 2,125
U.S. Cellular Corp.
0.000% due 06/15/2015 3,500 2,393
Veritas Software Corp.
1.856% due 08/13/2006 750 2,878
Xerox Corp.
0.570% due 04/21/2018 2,500 1,350
---------
32,946
=========
Utilities 0.0%
Alliant Energy Resources
7.250% due 01/02/2000 22 1,755
Liberty Media Group
4.000% due 11/15/2029 1,000 1,564
Telefonos De Mexico S.A
4.250% due 06/15/2004 1,400 2,182
---------
5,501
---------
Total Convertible Bonds & Notes 112,681
(Cost $104,700) =========
--------------------------------------------------------------------------------
PREFERRED STOCK 0.2%
--------------------------------------------------------------------------------
Shares
Banco Bilbao Vizcaya International
2.438% due 01/02/2000 266,217 6,755
Barclays Bank
2.875% due 01/02/2000 215,500 5,576
Centaur Funding Corp.
90.800% due 01/02/2000 125 131
CSC Holdings, Inc.
11.931% due 01/02/2000 24,904 2,677
Fortis Amev NV
6.430% due 01/02/2000 (d) 171 21,067
Fresenius Medical Care
7.875% due 02/02/2008 4,000 3,565
Home Ownership Funding
133.310% due 01/02/2000 1,125 898
SI Financing Trust
2.375% due 01/02/2000 396,194 10,053
TCI Communications, Inc.
2.500% due 01/02/2000 49,000 1,250
2.430% due 01/02/2000 622,553 16,070
---------
Total Preferred Stock 68,042
(Cost $70,647) =========
--------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK 0.1%
--------------------------------------------------------------------------------
Banking & Finance 0.0%
Tokai Bank Cvt. Pfd.
2.750% due 10/01/2004 72,000 500
---------
Energy 0.1%
AES Trust III
3.375% due 01/02/2000 40,000 2,700
Apache Corp. Cvt. Pfd.
2.015% due 01/02/2000 60,000 2,700
Coastal Corp. Cvt. Pfd.
1.656% due 01/02/2000 85,000 2,407
Kerr-McGee Corp. Cvt. Pfd.
1.825% due 01/02/2000 87,000 3,915
---------
11,722
=========
Industrial 0.0%
Decs Trust VI Cvt. Pfd.
2.465% due 01/02/2000 45,000 3,825
Qwest Trends Trust Cvt. Pfd.
2.401% due 01/02/2000 14,000 1,099
Tribune Co. Cvt. Pfd.
3.140% due 05/15/2029 4,500 637
---------
5,561
=========
Technology 0.0%
Verio, Inc. Cvt. Pfd.
3.375% due 01/02/2000 20,000 1,125
---------
Utilities 0.0%
Cox Communications, Inc. Cvt. Pfd.
3.500% due 01/02/2000 33,300 2,115
Reliant Energy, Inc. Cvt. Pfd.
3.216% due 01/02/2000 20,000 3,180
Utilicorp United Cvt. Pfd.
2.438% due 01/02/2000 100,000 2,225
---------
7,520
---------
Total Convertible Preferred Stock 26,428
(Cost $20,948) =========
88 See accompanying notes
<PAGE>
Value
(000s)
--------------------------------------------------------------------------------
PREFERRED SECURITY 1.1%
--------------------------------------------------------------------------------
Shares
DG Funding Trust
618.125% due 12/29/2049 35,090 $ 352,266
---------
Total Preferred Security 352,266
(Cost $350,900) =========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 3.1%
--------------------------------------------------------------------------------
Principal
Amount
(000s)
Certificates of Deposit 0.6%
Commerzbank AG
6.200% due 05/10/2000 $ 85,500 85,500
Dominion Residential, Inc.
6.195% due 01/26/2001 120,800 120,026
---------
205,526
=========
Commercial Paper 0.7%
Abbott Laboratories
6.020% due 05/02/2000 1,500 1,493
Aristar, Inc.
6.050% due 05/30/2000 2,000 1,980
Bank One Corp.
5.920% due 05/15/2000 1,500 1,490
6.060% due 05/22/2000 5,000 4,959
Bellsouth Telecom
5.840% due 04/03/2000 1,100 1,100
5.820% due 04/05/2000 300 300
British Telecom
5.840% due 04/26/2000 2,900 2,889
Coca-Cola Co.
5.790% due 04/04/2000 1,500 1,500
6.020% due 06/06/2000 15,000 14,831
6.010% due 06/07/2000 1,800 1,779
Conoco, Inc.
5.860% due 04/05/2000 1,600 1,599
5.970% due 04/07/2000 500 500
Cox Communication
6.050% due 04/10/2000 800 799
DaimlerChrysler AG
5.820% due 04/19/2000 400 399
6.100% due 06/29/2000 7,000 6,894
Deutsche Bank Financial
5.930% due 05/30/2000 1,800 1,782
Dominion Residential, Inc.
6.170% due 05/17/2000 18,700 18,559
E.I. Du Pont de Nemours
5.860% due 05/18/2000 400 397
6.030% due 06/08/2000 700 692
Emerson Electric
5.800% due 04/05/2000 300 300
5.840% due 04/05/2000 600 600
Federal Home Loan Mortgage Corp.
5.880% due 04/18/2000 280 279
5.970% due 05/02/2000 6,500 6,469
5.970% due 05/23/2000 16,000 15,867
Finova Capital Corp.
6.110% due 05/10/2000 28,000 27,824
6.020% due 06/06/2000 12,000 11,865
General Electric Capital Corp.
6.060% due 05/04/2000 200 199
5.910% due 05/18/2000 1,000 993
6.060% due 06/07/2000 17,000 16,805
General Motors Acceptance Corp.
6.100% due 04/05/2000 600 600
6.040% due 05/03/2000 700 696
5.920% due 05/22/2000 1,700 1,686
Heinz Corp.
6.030% due 05/02/2000 100 100
Honeywell, Inc.
5.820% due 04/12/2000 900 899
6.000% due 04/26/2000 400 398
KFW International Finance
5.870% due 05/09/2000 500 497
5.910% due 06/05/2000 5,500 5,439
Monsanto Co.
5.930% due 05/31/2000 2,000 1,979
6.060% due 06/01/2000 2,200 2,177
6.000% due 06/07/2000 200 198
Motorola, Inc.
5.900% due 05/26/2000 3,000 2,974
6.090% due 06/30/2000 200 197
Nike, Inc.
5.830% due 04/04/2000 3,000 3,000
5.830% due 04/17/2000 1,200 1,197
Procter & Gamble Co.
6.080% due 06/02/2000 3,000 2,968
Reseau Ferre De France
5.900% due 05/30/2000 2,000 1,980
6.050% due 06/05/2000 3,000 2,967
Sumitomo Bank
6.050% due 04/13/2000 2,000 1,997
6.090% due 04/13/2000 100 100
6.080% due 04/26/2000 1,600 1,594
6.110% due 04/26/2000 1,700 1,693
Texas Utilities Co.
6.100% due 04/17/2000 5,100 5,088
Textron, Inc.
5.940% due 05/17/2000 1,500 1,489
5.900% due 05/17/2000 1,200 1,191
TRW, Inc.
6.060% due 04/17/2000 10,000 9,976
UBS Finance
5.820% due 04/06/2000 4,000 3,998
United Parcel Service
5.890% due 06/01/2000 2,700 2,672
Washington Post
6.020% due 06/02/2000 14,600 14,445
Xerox Credit Corp.
6.050% due 05/16/2000 100 99
6.090% due 06/06/2000 6,500 6,427
6.110% due 06/12/2000 200 198
Yorkshire Building Society
5.850% due 04/07/2000 1,000 999
5.990% due 06/13/2000 300 296
---------
227,357
=========
Repurchase Agreement 1.7%
State Street Bank
5.600% due 04/03/2000 170,786 170,786
(Dated 03/31/2000. Collateralized by
Federal National Mortgage Association
7.050% due 12/01/2004 valued at $21,174,
Federal National Mortgage Association
7.125% due 01/15/2030 valued at $51,004,
Federal Home Loan Mortgage Corporation
5.150% due 02/02/2001 valued at $102,006,
and Federal National Mortgage Association
0.000% due 08/01/2000 valued at $34.
Repurchase proceeds are $170,865.)
Daiwa Securities
6.180% due 04/03/2000 350,000 350,000
(Dated 03/31/2000. Collateralized by U.S.
Treasury Inflation Protected Securities
3.625% due 07/15/2002 valued at $292,287,
and U.S. Treasury Bill due 11/09/2000
valued at $48,185, and U.S. Treasury Note
8.375% due 08/15/2008 valued at $16,836.
Repurchase proceeds are $350,180.)
---------
520,786
=========
U.S. Treasury Bills (b)(g) 0.1%
5.528% due 04/27/2000 36,775 36,639
---------
Total Short-Term Instruments 990,308
(Cost $991,120) =========
See accompanying notes 89
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
Value
(000s)
--------------------------------------------------------------------------------
Total Investments (a) 131.6% $41,494,212
(Cost $41,850,196)
Written Options (c) (0.2%) (45,441)
(Premiums $31,722)
Other Assets and Liabilities (Net) (31.4%) (9,912,498)
------------
Net Assets 100.0% $31,536,273
============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $41,849,408 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 315,646
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (670,842)
------------
Unrealized depreciation-net $ (355,196)
============
(b) Securities with an aggregate market value of $133,050
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
Eurodollar December Futures (03/2001) 10,536 $ (4,394)
Municipal Bond CBT (06/2000) 1,835 3,003
EuroBond 10 Year Note (06/2000) 16,400 (36,867)
Government of Japan 10 Year Note (06/2000) 358 (3,144)
U.S. Treasury 5 Year Note (06/2000) 516 (321)
U.S. Treasury 10 Year Note (06/2000) 35,208 78,682
U.S. Treasury 30 Year Bond (06/2000) 4,445 5,158
Euribor Futures (09/2000) 58 (11)
United Kingdom 90 Day LIBOR Futures (06/2000) 179 117
United Kingdom 90 Day LIBOR Futures (09/2000) 3,892 2,842
------------
$ 45,065
============
(c) Premiums received on written options:
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Call - CME Eurodollar December Futures
Strike @ 92.75 Exp. 12/18/2000 1,500 $ 1,061 $ 1,181
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 98.00 Exp. 05/20/2000 4,658 2,555 4,876
Put - CBOT U.S. Treasury Note June Futures
Strike @ 96.00 Exp. 05/20/2000 11,264 3,119 704
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.93 Exp. 04/19/2000 800,000,000 1,456 1,376
Put - OTC Eurodollar vs. U.S. Dollar
Strike @ 0.93 Exp. 04/19/2000 318,030,000 734 547
Put - CBOT U.S. Treasury Note June Futures
Strike @ 95.00 Exp. 05/20/2000 2,134 866 334
Call - CBOT U.S. Treasury Note June Futures
Strike @ 98.00 Exp. 05/20/2000 2,136 1,243 2,537
Put - CME Eurodollar December Futures
Strike @ 93.00 Exp. 12/18/2000 5,644 5,314 4,868
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 100.00 Exp. 05/20/2000 3,355 1,030 1,625
Put - CME Eurodollar December Futures
Strike @ 93.50 Exp. 12/18/2000 13,870 14,344 27,393
--------------------------
$ 31,722 $ 45,441
==========================
(d) Variable rate security. The rate listed is as of March 31, 2000.
(e) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell BP 26,011 04/2000 $ (463)
Sell C$ 9,841 05/2000 (21)
Sell 33,873 06/2000 (141)
Sell EC 285,703 04/2000 3,953
Buy 87,996 04/2000 (1,455)
Buy HF 2,000,000 09/2000 (143)
Sell JY 3,029,980 04/2000 (1,168)
Buy 3,029,980 04/2000 772
Sell 4,519,202 04/2001 (5,239)
Sell 20,174,266 05/2000 (4,998)
Sell N$ 50,843 04/2000 (729)
Sell 128,045 05/2000 (998)
Buy PZ 7,000 04/2000 50
Sell 7,000 04/2000 (16)
Buy 45,000 01/2001 (72)
Buy 40,000 02/2001 230
Buy 17,000 03/2001 39
------------
$ (10,399)
============
(f) Principal amount denoted in indicated currency:
AS - Austrian Schilling
A$ - Australian Dollars
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
EC - Euro
FF - French Franc
HF - Hungarian Forint
JY - Japanese Yen
MP - Mexican Peso
N$ - New Zealand Dollar
PZ - Polish Zloty
90 See accompanying notes
<PAGE>
--------------------------------------------------------------------------------
(g) Securities are grouped by coupon or range of coupons and represent a
range of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Swap agreements outstanding at March 31, 2000:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
--------------------------------------------------------------------------------
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.481%.
Broker: Morgan Stanley
Exp. 02/11/2010 $ 230,600 $ (2,995)
Receive floating rate based on 6 month JY-LIBOR and
pay fixed rate equal to 2.340%.
Broker: Deutsche Bank AG New York
Exp. 10/08/2007 JY 24,500,000 (8,546)
Receive floating rate based on 6 month JY-LIBOR and
pay fixed rate equal to 2.295%.
Broker: Deutsche Bank AG New York
Exp. 04/14/2008 JY 11,635,000 (3,342)
Receive floating rate based on 6 month JY-LIBOR and
pay fixed rate equal to 2.305%.
Broker: Deutsche Bank AG New York
Exp. 04/15/2008 JY 7,563,000 (2,235)
Receive floating rate based on 6 month JY-LIBOR and
pay fixed rate equal to 1.495%.
Broker: Deutsche Bank AG New York
Exp. 09/16/2008 JY 7,000,000 2,467
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.466%.
Broker: Morgan Stanley
Exp. 02/11/2005 $ 277,400 (2,357)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.413%.
Broker: Goldman Sachs
Exp. 02/17/2005 277,000 (1,789)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.408%.
Broker: Goldman Sachs
Exp. 02/25/2005 167,400 (1,024)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.309%.
Broker: Goldman Sachs
Exp. 03/24/2010 300,000 (378)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.413%.
Broker: Goldman Sachs
Exp. 02/17/2005 160,000 (1,046)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.374%.
Broker: Lehman Brothers, Inc.
Exp. 03/29/2010 100,000 (572)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.369%.
Broker: Goldman Sachs
Exp. 03/29/2010 100,000 (539)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.366%.
Broker: Lehman Brothers, Inc.
Exp. 03/30/2010 100,000 (517)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.426%.
Broker: Lehman Brothers, Inc.
Exp. 03/31/2010 100,000 (959)
Receive floating rate based on 6 months LIBOR and
pay floating rate based on 6 months LIBOR plus 5.950%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/17/2001 22,800 (1,169)
Receive floating rate based on 6 months LIBOR and pay
floating rate based on 6 months LIBOR plus 5.700%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes,
the Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/28/2001 1,300 (60)
Receive floating rate based on 6 months LIBOR and pay
floating rate based on 6 months LIBOR plus 6.150%.
In the event of default of Republic of Argentina
Floating Rate Notes and/or Spread-Adjusted Notes, the
Fund can put the bond to the counterparty at par.
Broker: Deutsche Bank AG New York
Exp. 03/22/2001 31,200 (1,663)
Receive floating rate based on 6 months LIBOR and pay
floating rate based on 6 months LIBOR plus 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 35,000 (1,171)
Receive fixed rate equal to 0.34% 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: J.P. Morgan
Exp. 07/31/2000 30,000 1
Receive fixed rate equal to 0.65% 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 0.15% and the Fund will pay
to the counterparty at par in the event of default of
IBM Corp. 5.375% due 02/01/2009.
Broker: Goldman Sachs
Exp. 02/26/2002 30,000 0
See accompanying notes 91
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 2000
--------------------------------------------------------------------------------
Receive fixed rate equal to 0.40% 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 0.51% 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 0.60% and the Fund will pay
to the counterparty at par in the event of default of
Niagara Mohawk Corp. 7.625% due 10/01/2005.
Broker: Merrill Lynch
Exp. 06/01/2000 20,000 1
Receive fixed rate equal to 0.65% 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 0.25% and the Fund will pay
to the counterparty at par in the event of default of
Pacific Gas & Electric 6.550% due 12/08/2005.
Broker: J.P. Morgan
Exp. 05/23/2003 22,000 1
Receive fixed rate equal to 0.14% and the Fund will pay
to the counterparty at par in the event of default of
General Motors Acceptance Corp. 6.253% due 07/20/2000.
Broker: Warburg Dillon Read LLC
Exp. 06/30/2000 21,000 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 0
-----------
$ (27,886)
===========
Fixed Unrealized
Spread Notional Appreciation/
Type (%) Amount Depreciation
--------------------------------------------------------------------------------
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 $ 189,500 $ (6,788)
Broker: Goldman Sachs
Exp. 02/16/2005 1.1120 121,700 1,319
Broker: Goldman Sachs
Exp. 08/14/2000 1.1500 93,000 191
Broker: Goldman Sachs
Exp. 08/14/2000 1.1500 95,100 195
Broker: Goldman Sachs
Exp. 02/16/2005 1.1120 37,700 428
Broker: Goldman Sachs
Exp. 04/04/2005 1.3900 250,000 0
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 $ 4,230
Broker: Goldman Sachs
Exp. 08/14/2000 0.8513 474,300 1,820
Broker: Deutsche Bank AG New York
Exp. 08/14/2000 0.9175 220,900 701
Broker: Goldman Sachs
Exp. 08/14/2000 0.9470 220,900 636
Broker: Goldman Sachs
Exp. 09/22/2000 1.0085 74,900 170
Broker: Goldman Sachs
Exp. 08/14/2000 0.8513 12,100 46
Broker: Goldman Sachs
Exp. 09/22/2000 1.0850 21,100 48
------------
$ 2,996
============
(j) Subject to financing transaction.
(k) Security becomes interest bearing at a future date.
(l) Restricted security.
(m) Security is in default.
(n) Reverse repurchase agreements were entered into March 23, 2000 paying
interest at 6.00%. The following securities were segregated with collateral for
reverse repurchase agreements.
Type Maturity Value
--------------------------------------------------------------------------------
Federal National Mortgage Assn. 7.000% 10/01/2003 $ 48,392
Federal National Mortgage Assn. 6.687% 08/01/2027 45,640
Government National Mortgage Assn. 6.000% 05/20/2028 30,226
Government National Mortgage Assn. 6.375% 06/20/2027 25,631
Government National Mortgage Assn. 6.375% 01/20/2024 28,372
Government National Mortgage Assn. 7.125% 10/20/2024 30,361
Government National Mortgage Assn. 6.375% 04/20/2027 26,513
Government National Mortgage Assn. 6.375% 01/20/2024 29,846
Government National Mortgage Assn. 6.750% 09/20/2024 26,613
Government National Mortgage Assn. 6.750% 08/20/2023 32,707
Government National Mortgage Assn. 7.125% 10/20/2023 73,363
Government National Mortgage Assn. 6.375% 04/20/2023 32,460
Government National Mortgage Assn. 6.375% 05/20/2023 32,386
Government National Mortgage Assn. 6.375% 06/20/2025 25,409
Government National Mortgage Assn. 6.751% 07/20/2027 43,949
Government National Mortgage Assn. 7.125% 10/20/2023 27,819
------------
$ 559,687
============
92 See accompanying notes
<PAGE>
Schedule of Investments
Total Return Mortgage Fund
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 92.6%
--------------------------------------------------------------------------------
Collateralized Mortgage Obligations 27.9%
Countrywide Alternative Loan Trust
6.750% due 08/25/2028 $ 106 $ 102
Countrywide Home Loans
6.750% due 11/25/2027 65 65
Federal Home Loan Mortgage Corp.
6.020% due 02/01/2018 (d) 185 176
4.500% due 03/15/2021 59 53
3.500% due 12/15/2022 10 7
6.500% due 03/15/2024 103 93
8.000% due 06/15/2026 67 68
Federal National Mortgage Assn.
5.600% due 11/25/2016 29 29
11.220% due 03/25/2017 2 3
7.500% due 03/25/2023 93 93
6.410% due 04/25/2023 (d) 25 26
6.500% due 09/25/2023 35 31
6.750% due 09/25/2023 51 46
6.280% due 04/18/2028 (d) 138 137
General Electric Capital Mortgage Services, Inc.
6.750% due 06/25/2028 200 186
Vendee Mortgage Trust
7.750% due 05/15/2022 36 37
---------
1,152
=========
Federal Home Loan Mortgage Corporation 6.3%
6.000% due 10/01/2024 159 146
7.000% due 02/01/2027 119 115
---------
261
=========
Federal National Mortgage Association 15.9%
6.360% due 11/01/2018 (d) 50 50
7.540% due 05/01/2023 (d) 183 183
8.500% due 09/01/2026 78 80
9.000% due 01/01/2020 330 343
---------
656
=========
Government National Mortgage Association 38.6%
6.380% due 03/20/2016-03/20/2027 (c)(d) 273 277
6.750% due 07/20/2025 (d) 41 42
7.000% due 04/19/2030 600 580
7.130% due 12/20/2021-11/20/2026 (c)(d) 120 122
7.500% due05/15/2027-04/19/2030(c) 581 577
---------
1,598
=========
Stripped Mortgage-Backed Securities 3.9%
Federal National Mortgage Association (IO)
6.500% due 07/25/2007 114 5
7.000% due 12/25/2016 3 0
Federal National Mortgage Association (PO)
0.000% due 07/25/2022 264 157
---------
162
---------
Total Mortgage-Backed Securities 3,829
(Cost $3,851) =========
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES 0.2%
--------------------------------------------------------------------------------
Technology 0.2%
Clear Channel Communications
1.500% due 12/01/2002 10 9
---------
Total Convertible Bonds & Notes 9
(Cost $10) =========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 31.7%
--------------------------------------------------------------------------------
Commercial Paper 28.9%
Bellsouth Telecom
5.820% due 04/05/2000 200 199
Coca-Cola Co.
6.010% due 06/07/2000 200 198
DaimlerChrysler AG
5.890% due 04/10/2000 100 100
General Motors Acceptance Corp.
6.080% due 05/30/2000 200 198
Honeywell, Inc.
5.830% due 04/10/2000 200 200
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
Sumitomo Bank
6.100% due 04/13/2000 $ 100 $ 100
Swedbank, Inc.
5.950% due 06/02/2000 200 198
---------
1,193
=========
Repurchase Agreement 2.6%
State Street Bank
5.600% due 04/03/2000 109 109
(Dated 03/31/2000. Collateralized by
Federal National Mortgage Association
6.400% due 09/27/2001 valued at $114
Repurchase proceeds are $109 ---------
109
=========
U.S. Treasury Bills (b) 0.2%
5.700% due 04/27/2000 10 10
---------
Total Short-Term Instruments 1,312
(Cost $1,312) =========
Total Investments (a) 124.5% $ 5,150
(Cost $5,173)
Other Assets and Liabilities (Net) (24.5%) (1,013)
---------
Net Assets 100.0% $ 4,137
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $5,179 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 38
Aggregate gross unrealized depreciation for all
investments in which there was an excess of
tax cost over value. (67)
---------
Unrealized depreciation-net $ (29)
=========
(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 March 31, 2000:
# of Unrealized
Type Contracts Appreciation
--------------------------------------------------------------------------------
U.S. Treasury 10 Year Note (06/2000) 1 $ 3
---------
(c) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(d) Variable rate security. The rate listed is as of March 31, 2000.
See accompanying notes 93
<PAGE>
Financial Highlights - Class D
<TABLE>
<CAPTION>
Net Realized /
Net Asset Value Unrealized Total Income Dividends from
Selected Per Share Data for Beginning of Net Investment Gain (Loss) on from Investment Net Investment
the Year or Period Ended: Period Income (Loss) Investments Operations Income
<S> <C> <C> <C> <C> <C>
California Intermediate Municipal Bond Fund
01/31/2000 - 03/31/2000 $ 9.88 $ 0.06 (a) $ 0.18 (a) $ 0.24 $ (0.07)
Foreign Bond Fund
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
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
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
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
01/31/2000 - 03/31/2000 $ 9.79 $ 0.07 (a) $ 0.15 (a) $ 0.22 $ (0.07)
Real Return Bond Fund
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
01/31/2000 - 03/31/2000 $ 9.99 $ 0.06 (a) $ (0.01)(a) $ 0.05 $ (0.06)
Short-Term Fund
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
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
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
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
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) Ratio of expenses to average net assets excluding interest expense is
0.75%.
94 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Dividends in Distributions Distributions
Excess of Net from Net in Excess of
Investment Realized Net Realized Total Net Asset Value
Income Capital Gains Capital Gains Distributions End of Period
<S> <C> <C> <C> <C>
$ 0.00 $ 0.00 $ 0.00 $ (0.07) $ 10.05
$ 0.00 $ (0.15) $ 0.00 $ (0.74) $ 10.03
0.00 (0.10) (0.25) (0.88) 10.63
$ (0.01) $ 0.00 $ 0.00 $ (0.89) $ 10.22
(0.01) 0.00 0.00 (0.89) 11.23
$ (0.01) $ 0.00 $ 0.00 $ (0.61) $ 9.81
0.00 (0.01) (0.05) (0.66) 10.10
$ 0.00 $ 0.00 $ 0.00 $ (0.43) $ 9.47
0.00 0.00 0.00 (0.40) 10.12
$ 0.00 $ 0.00 $ 0.00 $ (0.07) $ 9.94
$ 0.00 $ (0.02) $ 0.00 $ (0.66) $ 9.92
(0.06) 0.00 0.00 (0.50) 9.83
$ 0.00 $ 0.00 $ 0.00 $ (0.06) $ 9.98
$ 0.00 $ 0.00 $ 0.00 $ (0.55) $ 9.95
0.00 0.00 (0.01) (0.54) 10.03
$ (0.97) $ (0.51) $ 0.00 $ (2.52) $ 14.08
0.00 (1.24) 0.00 (2.03) 14.27
$ 0.00 $ (0.15) $ (0.31) $ (1.15) $ 12.78
0.00 (0.67) 0.00 (1.29) 12.75
$ (0.02) $ 0.00 $ 0.00 $ (0.60) $ 9.96
0.00 (0.24) (0.18) (1.01) 10.36
$ (0.01) $ 0.00 $ 0.00 $ (0.56) $ 9.97
0.00 (0.03) (0.07) (0.63) 10.19
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Net Assets End Average Net to Average Portfolio
Total Return of Period (000s) Assets Net Assets Turnover Rate
<S> <C> <C> <C> <C>
2.39% $ 10 0.85%+(e) 3.88%+ 357%
1.51% $ 9,955 1.16% (c) 5.77% 330%
6.46 8,513 0.95+ 4.82+ 376
(1.14)% $ 23,601 0.90% 8.29% 39%
4.00 9,065 0.90+ 8.07+ 39
3.22% $ 12,018 0.83% (b) 6.11% 82%
5.77 6,481 0.75+ 5.81+ 245
(2.16)% $ 1,104 0.85% 4.46% 145%
5.47 242 0.85+ 3.99+ 70
2.21% $ 10 0.87%+(f) 4.02%+ 270%
7.93% $ 15,560 0.93% 6.44% 253%
5.89 193 0.92+ 4.75+ 438
0.47% $ 10 0.80%+(d) 3.51%+ 171%
4.87% $ 3,361 0.93% (b) 5.54% 38%
5.10 2,278 0.75+ 5.05+ 47
17.32% $ 3,288 1.05% 7.16% 92%
16.69 1,721 1.05+ 8.12+ 81
9.55% $ 167 1.05% 5.49% 176%
11.45 173 1.05+ 6.41+ 82
2.00% $ 80,459 0.87% (b) 5.97% 223%
6.73 34,839 0.75+ 5.21+ 154
3.47% $ 166 0.90% 5.38% 1476%
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 expenses
to average net assets would have been 1.29%.
(e) If the investment manager had not reimbursed expenses, the ratio of expenses
to average net assets would have been 1.74%.
(f) If the investment manager had not reimbursed expenses, the ratio of expenses
to average net assets would have been 2.52%.
See accompanying notes 95
<PAGE>
Statements of Assets and Liabilities
March 31, 2000
<TABLE>
<CAPTION>
California
Intermediate Emerging
Municipal Convertible Markets Foreign High Yield Low Duration
Amounts in thousands, except per share amounts Bond Fund Fund Bond Fund Bond Fund Fund Fund
<S> <C> <C> <C> <C> <C> <C>
Assets:
Investments, at value $ 12,789 $ 187,384 $ 27,281 $ 786,477 $ 3,109,102 $ 4,680,289
Cash and foreign currency 201 0 176 9,657 0 4,533
Receivable for investments sold and
forward foreign currency contracts 500 57 37 60,151 68,806 55,920
Receivable for Fund shares sold 0 6,160 15 1,567 60,159 10,471
Variation margin receivable 0 0 0 1,239 0 45
Interest and dividends receivable 137 795 617 13,781 69,303 56,136
Manager reimbursement receivable 14 17 0 0 0 0
Other assets 0 0 1 6 0 1,673
13,641 194,413 28,127 872,878 3,307,370 4,809,067
Liabilities:
Payable for investments purchased and
forward foreign currency contracts $ 3,408 $ 8,984 $ 186 $ 20,917 $ 19,065 $ 310,670
Payable for financing transactions 0 0 0 299,128 0 428,637
Notes payable 0 0 0 4,459 0 32,863
Written options outstanding 0 0 0 806 0 5,042
Payable for Fund shares redeemed 0 1,269 44 999 96,956 34,891
Dividends payable 1 0 25 499 5,500 4,398
Accrued investment advisory fee 2 65 11 123 730 906
Accrued administration fee 2 43 10 144 894 736
Accrued distribution fee 0 6 4 38 524 117
Accrued servicing fee 0 3 0 26 199 97
Variation margin payable 0 0 0 4 0 234
Other liabilities 0 12 0 210 13,109 148
3,413 10,382 280 327,353 136,977 818,739
Net Assets $ 10,228 $ 184,031 $ 27,847 $ 545,525 $ 3,170,393 $ 3,990,328
Net Assets Consist of:
Paid in capital $ 10,167 $ 150,134 $ 25,714 $ 569,908 $ 3,582,318 $ 4,115,430
Undistributed (overdistributed) net
investment income 1 5,512 862 15,115 (1,991) (8,390)
Accumulated undistributed net realized
gain (loss) (12) 419 (167) (10,296) (132,723) (56,070)
Net unrealized appreciation (depreciation) 72 27,966 1,438 (29,202) (277,211) (60,642)
$ 10,228 $ 184,031 $ 27,847 $ 545,525 $ 3,170,393 $ 3,990,328
Net Assets:
Class D $ 10 $ 10 $ 10 $ 9,955 $ 23,601 $ 12,018
Other Classes 10,218 184,021 27,837 535,570 3,146,792 3,978,310
Shares Issued and Outstanding:
Class D 1 1 1 993 2,308 1,226
Net Asset Value and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Class D $ 10.05 $ 15.77 $ 8.61 $ 10.03 $ 10.22 $ 9.81
Cost of Investments Owned $ 12,717 $ 159,363 $ 25,829 $ 819,213 $ 3,386,320 $ 4,738,588
Cost of Foreign Currency Held $ 0 $ 0 $ 1 $ 9,460 $ 0 $ 3,817
</TABLE>
96 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
New York
Intermediate Short Duration
Municipal Municipal Real Return Municipal Short-Term StocksPLUS Strategic Total Return Total Return
Bond Fund Bond Fund Bond Fund Income Fund Fund Fund Balanced Fund Fund Mortgage Fund
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 54,338 $ 3,018 $ 420,273 $ 10,576 $ 828,011 $ 1,457,437 $ 170,878 $ 41,494,212 $ 5,150
0 0 334 1 628 4,838 425 12,437 0
0 0 36,154 0 3,113 10,537 5,207 702,805 1
305 0 1,205 0 1,381 7,924 90 112,052 0
0 0 0 0 0 8,757 663 12,351 0
638 48 4,228 148 6,343 29,774 2,346 375,681 20
0 14 0 14 0 0 0 0 0
0 0 271 0 0 0 5 2,610 1
55,281 3,080 462,465 10,739 839,476 1,519,267 179,614 42,712,148 5,172
$ 2,412 $ 0 $ 24,167 $ 0 $ 23,006 $ 11,355 $ 14,812 $ 6,321,535 $ 1,018
0 0 167,573 0 41,087 0 8,386 4,055,744 0
0 0 0 0 37,158 0 0 551,828 0
0 0 0 0 0 1,436 1,022 45,441 0
156 0 277 0 25,092 6,102 183 116,224 15
75 0 416 0 3,604 0 0 38,087 0
12 1 55 2 161 535 55 6,927 1
16 1 63 2 143 447 39 5,644 1
17 0 15 0 11 394 17 1,566 0
10 0 13 0 25 189 7 758 0
0 0 25 0 0 0 52 14,848 0
0 0 0 0 188 14 43 17,273 0
2,698 2 192,604 4 130,475 20,472 24,616 11,175,875 1,035
$ 52,583 $ 3,078 $ 269,861 $ 10,735 $ 709,001 $ 1,498,795 $ 154,998 $ 31,536,273 $ 4,137
$ 53,644 $ 3,096 $ 266,093 $ 10,751 $ 713,910 $ 1,414,834 $ 151,799 $ 33,008,257 $ 4,165
4 0 1,023 3 356 38,389 1,795 (57,894) 4
(925) (10) (860) (25) (1,905) (42,124) (3,522) (1,057,756) (11)
(140) (8) 3,605 6 (3,360) 87,696 4,926 (356,334) (21)
$ 52,583 $ 3,078 $ 269,861 $ 10,735 $ 709,001 $ 1,498,795 $ 154,998 $ 31,536,273 $ 4,137
$ 1,104 $ 10 $ 15,560 $ 10 $ 3,361 $ 3,288 $ 167 $ 80,459 $ 166
51,479 3,068 254,301 10,725 705,640 1,495,507 154,831 31,455,814 3,971
116 1 1,570 1 338 233 13 8,079 18
$ 9.47 $ 9.94 $ 9.92 $ 9.98 $ 9.95 $ 14.08 $ 12.78 $ 9.96 $ 9.97
$ 54,478 $ 3,026 $ 416,252 $ 10,570 $ 831,318 $ 1,461,824 $ 172,415 $ 41,850,196 $ 5,173
$ 0 $ 0 $ 136 $ 0 $ 607 $ 3,182 $ 446 $ 57,001 $ 0
</TABLE>
See accompanying notes 97
<PAGE>
Statements of Operations
For the year ended March 31, 2000
<TABLE>
<CAPTION>
California
Intermediate
Municipal Foreign High Yield Low Duration Municipal
Amounts in thousands Bond Fund Bond Fund Fund Fund Bond Fund
<S> <C> <C> <C> <C> <C>
Investment Income:
Interest $ 120 $ 40,038 $ 313,448 $ 282,089 $ 2,988
Dividends 0 99 9,839 7,439 0
Miscellaneous income 0 0 48 59 0
Total Income 120 40,137 323,335 289,587 2,988
Expenses:
Investment advisory fees 6 1,455 8,797 10,481 141
Administration fees 7 1,669 10,201 8,469 189
Servicing fees - Class D 0 24 47 23 1
Distribution and/or servicing fees - Other Classes 1 658 8,245 2,482 338
Trustees' fees 0 4 23 28 0
Organization costs 14 0 0 0 0
Interest expense 0 1,107 0 3,099 5
Total Expenses 28 4,917 27,313 24,582 674
Reimbursement by manager (14) 0 0 0 0
Net Expenses 14 4,917 27,313 24,582 674
Net Investment Income 106 35,220 296,022 265,005 2,314
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (5) (9,133) (70,452) (36,229) (919)
Net realized gain (loss) on futures contracts and written options 0 389 0 (9,212) 0
Net realized gain (loss) on foreign currency transactions 0 13,736 0 (2,503) 0
Net change in unrealized appreciation
(depreciation) on investments 72 (25,580) (263,887) (72,657) (2,965)
Net change in unrealized appreciation
(depreciation) on futures contracts and written options 0 1,514 0 (2,504) 0
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies 0 (7,672) 0 (3) 0
Net Gain (Loss) 67 (26,746) (334,339) (123,108) (3,884)
Net Increase (Decrease) in Assets
Resulting from Operations $ 173 $ 8,474 $ (38,317) $ 141,897 $ (1,570)
</TABLE>
98 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
New York
Intermediate Short Duration
Municipal Real Return Municipal Short-Term StocksPLUS Strategic Total Return Total Return
Bond Fund Bond Fund Income Fund Fund Fund Balanced Fund Fund Mortgage Fund
<S> <C> <C> <C> <C> <C> <C> <C>
$ 79 $ 8,522 $ 267 $ 42,026 $ 115,401 $ 9,071 $ 1,949,659 $ 259
0 0 0 0 219 40 14,565 0
0 0 1 2 35 4 626 0
79 8,522 268 42,028 115,655 9,115 1,964,850 259
5 286 12 1,611 5,710 527 72,342 10
4 334 12 1,446 4,784 353 58,765 10
0 13 0 9 7 0 140 0
0 166 0 370 6,212 140 24,908 0
0 1 0 4 9 1 189 0
14 2 14 0 0 0 0 0
0 31 0 1,214 96 0 30,200 1
23 833 38 4,654 16,818 1,021 186,544 21
(14) 0 (14) 0 0 0 0 0
9 833 24 4,654 16,818 1,021 186,544 21
70 7,689 244 37,374 98,837 8,094 1,778,306 238
(4) 405 (25) (1,929) (1,165) (1,099) (499,631) 0
0 (210) 0 0 37,328 104 (365,560) (6)
0 122 0 153 2,593 721 17,803 0
(8) 4,115 6 (3,284) (3,086) (1,574) (260,654) (80)
0 (173) 0 0 90,165 6,078 32,658 2
0 (220) 0 (25) 171 27 (14,142) 0
(12) 4,039 (19) (5,085) 126,006 4,257 (1,089,526) (84)
$ 58 $ 11,728 $ 225 $ 32,289 $ 224,843 $ 12,351 $ 688,780 $ 154
</TABLE>
See accompanying notes 99
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
California
Intermediate
Amounts in thousands Municipal
Bond Fund Foreign Bond Fund High Yield Fund Low Duration Fund
Increase (Decrease)
in Net Assets from: Period from Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
January 31, 2000 March 31, March 31, March 31, March 31, March 31, March 31,
to March 31, 2000 2000 1999 2000 1999 2000 1999
<S> <C> <C> <C> <C> <C> <C> <C>
Operations:
Net investment income $ 106 $ 35,220 $ 27,910 $ 296,022 $ 206,013 $ 265,005 $ 217,276
Net realized gain (loss) (5) 4,992 5,073 (70,452) (5,689) (47,944) 4,149
Net change in unrealized appreciation
(depreciation) 72 (31,738) 5,504 (263,887) (88,818) (75,164) (10,418)
Net increase (decrease) resulting from
operations 173 8,474 38,487 (38,317) 111,506 141,897 211,007
Distributions to Shareholders:
From net investment income
Class D 0 (562) (175) (1,533) (189) (545) (137)
Other Classes (105) (34,615) (27,885) (292,206) (203,295) (260,454) (217,153)
In excess of net investment income
Class D 0 0 0 (11) (2) (8) 0
Other Classes 0 0 0 (2,133) (2,628) (3,942) 0
From net realized capital gains
Class D 0 (80) (45) 0 0 0 (4)
Other Classes 0 (4,745) (4,964) 0 0 0 (4,129)
In excess of net realized capital gains
Class D 0 (60) (111) 0 0 0 (16)
Other Classes (7) (3,587) (12,426) 0 0 0 (17,279)
Total Distributions (112) (43,649) (45,606) (295,883) (206,114) (264,949) (238,718)
Fund Share Transactions:
Receipts for shares sold
Class D 10 8,012 9,232 23,790 10,561 9,569 7,014
Other Classes 10,729 251,525 350,670 2,050,531 1,978,791 3,465,383 3,064,922
Issued in reorganization
Class D 0 0 0 0 0 0 0
Other Classes 0 0 0 0 0 0 0
Issued as reinvestment of distributions
Class D 0 698 331 1,515 189 544 153
Other Classes 103 34,688 33,550 240,203 172,090 225,453 200,834
Cost of shares redeemed
Class D 0 (6,691) (980) (8,901) (1,705) (4,329) (644)
Other Classes (675) (328,315) (194,707) (2,025,795) (1,052,728) (3,454,487) (2,374,959)
Net increase (decrease) resulting from
Fund share transactions 10,167 (40,083) 198,096 281,343 1,107,198 242,133 897,320
Total Increase (Decrease) in Net Assets 10,228 (75,258) 190,977 (52,857) 1,012,590 119,081 869,609
Net Assets:
Beginning of period 0 620,783 429,806 3,223,250 2,210,660 3,871,247 3,001,638
End of period * $ 10,228 $ 545,525 $ 620,783 $ 3,170,393 $ 3,223,250 $ 3,990,328 $ 3,871,247
*Including net undistributed (overdis-
tributed) investment income of: $ 1 $ 15,115 $ 8,423 $ (1,991) $ (2,284) $ (8,390) $ (4,007)
</TABLE>
100 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
New York Short
Intermediate Duration
Municipal Municipal
Municipal Bond Fund Bond Fund Real Return Bond Fund Income Fund Short-Term Fund StocksPLUS Fund
--------------------- ----------- --------------------- ----------- ------------------------- --------------------------
Period from Period from
Year Ended Year Ended January 31, Year Ended Year Ended January 31, Year Ended Year Ended Year Ended Year Ended
March 31, March 31, 2000 to March 31, March 31, 2000 to March 31, March 31, March 31, March 31,
2000 1999 March 31, 2000 1999 March 31, 2000 1999 2000 1999
2000 2000
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 2,314 $ 1,602 $ 70 $ 7,689 $ 695 $ 244 $ 37,374 $ 25,972 $ 98,837 $ 56,693
(919) (6) (4) 317 131 (25) (1,776) 217 38,756 107,476
(2,965) 2,835 (8) 3,722 (46) 6 (3,309) (613) 87,250 (10,410)
(1,570) 4,431 58 11,728 780 225 32,289 25,576 224,843 153,759
(21) (7) 0 (321) (5) 0 (198) (33) (227) (60)
(2,287) (1,595) (70) (7,215) (663) (241) (37,167) (25,945) (107,742) (50,872)
0 0 0 0 (1) 0 0 0 0 0
0 (2) 0 0 (92) 0 0 0 0 0
0 0 0 (17) 0 0 0 0 (209) (99)
0 0 0 (276) (7) 0 0 (134) (95,326) (76,776)
0 0 0 0 0 0 0 (1) (109) 0
0 0 (6) 0 0 0 0 (514) (49,468) 0
(2,308) (1,604) (76) (7,829) (768) (241) (37,365) (26,627) (253,081) (127,807)
2,373 340 10 16,706 186 10 4,614 2,535 2,553 1,948
21,145 17,943 3,010 236,282 24,583 10,500 1,354,008 1,042,572 792,443 694,938
0 0 0 0 0 0 0 0 0 0
0 47,296 0 0 0 0 0 0 0 0
18 6 0 319 7 0 195 34 534 159
1,620 1,155 76 5,502 600 241 26,908 19,324 239,951 115,895
(1,512) (105) 0 (1,910) (1) 0 (3,698) (294) (1,416) (430)
(25,741) (13,927) 0 (19,148) (5,058) 0 (1,269,938) (671,328) (708,774) (314,432)
(2,097) 52,708 3,096 237,751 20,317 10,751 112,089 392,843 325,291 498,078
(5,975) 55,535 3,078 241,650 20,329 10,735 107,013 391,792 297,053 524,030
58,558 3,023 0 28,211 7,882 0 601,988 210,196 1,201,742 677,712
$ 52,583 $ 58,558 $ 3,078 $ 269,861 $ 28,211 $ 10,735 $ 709,001 $ 601,988 $ 1,498,795 $ 1,201,742
$ 4 $ (2) $ 0 $ 1,023 $ (13) $ 3 $ 356 $ 343 $ 38,390 $ 54,973
</TABLE>
See accompanying notes 101
<PAGE>
Statements of Changes in Net Assets (Cont.)
<TABLE>
<CAPTION>
Amounts in thousands Strategic Balanced Fund Total Return Fund Total Return Mortgage Fund
--------------------------- ---------------------------- ----------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
March 31, March 31, March 31, March 31, March 31, March 31,
Increase (Decrease) in Net Assets from: 2000 1999 2000 1999 2000 1999
<S> <C> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 8,094 $ 3,531 $ 1,778,306 $ 1,285,330 $ 238 $ 221
Net realized gain (loss) (274) 3,599 (847,388) 472,416 (6) 17
Net change in unrealized appreciation
(depreciation) 4,531 (31) (242,138) (239,440) (78) (4)
Net increase (decrease) resulting from
operations 12,351 7,099 688,780 1,518,306 154 234
Distributions to Shareholders:
From net investment income
Class D (9) (7) (3,193) (500) (6) (6)
Other Classes (8,418) (3,137) (1,698,045) (1,285,393) (232) (215)
In excess of net investment income
Class D 0 0 (138) 0 0 0
Other Classes 0 0 (72,908) 0 0 0
From net realized capital gains
Class D (2) (7) 0 (254) 0 0
Other Classes (1,779) (3,351) 0 (512,310) (3) (12)
In excess of net realized capital gains
Class D (4) 0 0 (190) 0 (1)
Other Classes (3,575) 0 0 (384,355) 0 (23)
Total Distributions (13,787) (6,502) (1,774,284) (2,183,002) (241) (257)
Fund Share Transactions:
Receipts for shares sold
Class D 124 164 71,612 37,112 176 178
Other Classes 21,377 55,153 13,430,759 12,657,649 51 313
Issued in reorganization
Class D 0 0 0 0 0 0
Other Classes 66,780 0 0 0 0 0
Issued as reinvestment of distributions
Class D 15 14 3,317 944 5 7
Other Classes 9,186 4,030 1,410,633 1,827,187 235 249
Cost of shares redeemed
Class D (141) (6) (27,553) (2,472) (212) 0
Other Classes (39,025) (640) (8,391,495) (5,822,931) (342) (1)
Net increase (decrease) resulting from
Fund share transactions 58,316 58,715 6,497,273 8,697,489 (87) 746
Total Increase (Decrease) in Net Assets 56,880 59,312 5,411,769 8,032,793 (174) 723
Net Assets:
Beginning of period 98,118 38,806 26,124,504 18,091,711 4,311 3,588
End of period * $ 154,998 $ 98,118 $ 31,536,273 $ 26,124,504 $ 4,137 $ 4,311
*Including net undistributed
(overdistributed)
investment income of: $ 1,795 $ 2,185 $ (57,894) $ (77,068) $ 4 $ 2
</TABLE>
102 See accompanying notes
<PAGE>
Statements of Cash Flows
<TABLE>
<CAPTION>
Amounts in thousands Real Return
Foreign Bond Fund Bond Fund
------------------- -----------
Increase (Decrease) in Cash and Foreign Currency from:
<S> <C> <C>
Financing Activities
Sales of Fund shares $ 260,311 $ 251,988
Redemptions of Fund shares (336,496) (20,842)
Cash distributions paid (8,373) (1,639)
Increase (decrease) from financing transactions (164,666) 143,379
Net increase (decrease) from financing activities (249,224) 372,886
Operating Activities
Purchases of long-term securities and foreign currency (3,194,641) (818,669)
Proceeds from sales of long-term securities and foreign currency 3,407,402 450,648
Purchases of short-term securities (net) 36,865 (5,486)
Net investment income 35,220 7,689
Change in other receivables/payables (net) (25,964) (7,622)
Net increase (decrease) from operating activities 258,882 (373,440)
Net Increase in Cash and Foreign Currency 9,658 (554)
Cash and Foreign Currency
Beginning of period 0 888
End of period $ 9,658 $ 334
See accompanying notes 103
</TABLE>
<PAGE>
Notes to Financial Statements
March 31, 2000
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 30 separate
investment funds (the "Funds"). The Trust may offer up to six classes of shares:
Institutional, Administrative, A, B, C and D. Each share class has identical
voting rights (except that shareholders of a class have exclusive voting rights
regarding any matter relating solely to that class of shares). Information
presented in these financial statements pertains to the Class D shares of the
Trust. Certain detailed financial information for the Institutional,
Administrative, A, B, and C Classes (the "Other Classes") is provided separately
and is available upon request.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements in
conformity with generally accepted accounting principles. The preparation of
financial statements in accordance with generally accepted accounting principles
requires management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates.
Security Valuation. Portfolio securities and other financial instruments for
which market quotations are readily available are stated at market value. Market
value is determined on the basis of last reported sales prices, or if no sales
are reported, as is the case for most securities traded over-the-counter, the
mean between representative bid and asked quotations obtained from a quotation
reporting system or from established market makers. Fixed income securities,
including those to be purchased under firm commitment agreements, are normally
valued on the basis of quotes obtained from brokers and dealers or pricing
services. Short-term investments which mature in 60 days or less are valued at
amortized cost, which approximates market value. Certain fixed income securities
for which daily market quotations are not readily available may be valued,
pursuant to guidelines established by the Board of Trustees, with reference to
fixed income securities whose prices are more readily obtainable.
Securities Transactions and Investment Income. Securities transactions are
recorded as of the trade date. Securities purchased or sold on a when-issued or
delayed-delivery basis may be settled a month or more after the trade date.
Realized gains and losses from securities sold are recorded on the identified
cost basis. Dividend income is recorded on the ex-dividend date, except certain
dividends from foreign securities where the ex-dividend date may have passed,
are recorded as soon as the Fund is informed of the ex-dividend date. Interest
income, adjusted for the accretion of discounts and amortization of premiums, is
recorded on the accrual basis.
Dividends and Distributions to Shareholders. Dividends from net investment
income, if any, of each Fund, except the StocksPLUS and Strategic Balanced
Funds, are declared on each day the Trust is open for business and are
distributed to shareholders monthly. Dividends from net investment income, if
any, of the StocksPLUS and Strategic Balanced Funds are declared and distributed
to shareholders quarterly. Net realized capital gains earned by a Fund, if any,
will be distributed no less frequently than once each year.
Income dividends and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally accepted
accounting principles. These differences are primarily due to differing
treatments for such items as wash sales, foreign currency transactions, net
operating losses and capital loss carryforwards.
Distributions reflected as a tax basis return of capital in the
accompanying Statements of Changes in Net Assets have been reclassified to paid
in capital. In addition, other amounts have been reclassified between
undistributed net investment income, accumulated undistributed net realized
gains or losses and paid in capital to more appropriately conform financial
accounting to tax characterizations of dividend and distributions.
Foreign Currency. Foreign currencies, investments, and other assets and
liabilities are translated into U.S. dollars at the exchange rates prevailing at
the end of the period. Fluctuations in the value of these assets and liabilities
resulting from changes in exchange rates are recorded as unrealized foreign
currency gains (losses). Realized gains (losses) and unrealized appreciation
(depreciation) on investment securities and income and expenses are translated
on the respective dates of such transactions. The effect of changes in foreign
currency exchange rates on investments in securities are not segregated in the
Statements of Operations from the effects of changes in market prices of those
securities, but are included with the net realized and unrealized gain or loss
on investment securities.
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.
104
<PAGE>
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.
105
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 2000
Inflation-Indexed Bonds. Inflation-indexed bonds are fixed income securities
whose principal value is periodically adjusted to the rate of inflation. The
interest rate on these bonds is generally fixed at issuance at a rate lower than
typical bonds. Over the life of an inflation-indexed bond, however, interest
will be paid based on a principal value which is adjusted for inflation. Any
increase in the principal amount of an inflation-indexed bond will be considered
interest income, even though principal is not received until maturity.
Repurchase Agreements. Each Fund may engage in repurchase transactions. Under
the terms of a typical repurchase agreement, the Fund takes possession of an
underlying debt obligation subject to an obligation of the seller to repurchase,
and the Fund to resell, the obligation at an agreed-upon price and time. The
market value of the collateral must be equal at all times to the total amount of
the repurchase obligations, including interest. Generally, in the event of
counterparty default, the Fund has the right to use the collateral to offset
losses incurred.
Reverse Repurchase Agreements. Certain Funds are authorized to enter into
reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells
to a financial institution a security that it holds with an agreement to
repurchase the same security at an agreed-upon price and date. A reverse
repurchase agreement involves the risk that the market value of the security
sold by the Fund may decline below the repurchase price of the security.
Restricted Securities. Certain Funds are permitted to invest in securities that
are subject to legal or contractual restrictions on resale. These securities
generally may be resold in transactions exempt from registration or to the
public if the securities are registered. Disposal of these securities may
involve time-consuming negotiations and expense, and prompt sale at an
acceptable price may be difficult.
3. Fees, Expenses, and Related Party Transactions
Investment Advisory Fee. Pacific Investment Management Company (PIMCO) is a
wholly-owned subsidiary partnership of PIMCO Advisors L.P. 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 StocksPLUS and Strategic Balanced Funds and 0.25% for all other
Funds.
Administration Fee. Pacific Investment Management Company (PIMCO) is a wholly-
owned subsidiary partnership of PIMCO Advisors L.P. which also serves as
administrator (the "Administrator"), and provides administrative services to the
Trust for which it receives from each Fund a monthly administrative fee based on
each share class' average daily net assets. The Administration Fee for Class D
is charged at the annual rate of 0.25% for the Low Duration, Short-Term, Total
Return Funds, 0.35% for the Municipal Bond, California Intermediate Municipal
Bond, New York Intermediate Municipal Bond and Short Duration Municipal Income
Funds, 0.45% for the Foreign Bond Fund and 0.40% for all other Funds. The
Administration Fee for the Institutional and Administrative Classes is charged
at the annual rate of 0.18% for the Low Duration and Total Return Funds, 0.19%
for the Short Duration Municipal Income Fund, 0.20% for the Short-Term Fund,
0.24% California Intermediate Municipal Bond and New York Intermediate Municipal
Bond Funds and 0.25% for all other Funds. The Administration Fee for the A, B
and C Classes is charged at an annual rate of 0.35% for the Short-Term and
Municipal Bond Funds, 0.45% for the Foreign Bond Fund and 0.40% for all other
Funds. The Administration Fee for Class A is charged at the annual rate of 0.35%
for the California Intermediate Municipal Bond and New York Intermediate
Municipal Bond Funds.
Distribution and Servicing Fees. PIMCO Funds Distributors LLC, ("PFD"), formerly
PIMCO Funds Distribution Company, a wholly-owned subsidiary of PIMCO Advisors
L.P., serves as the distributor of the Trust's shares.
The Trust is permitted to reimburse, out of the Administrative Class assets
of each Fund offering Administrative Class shares in an amount up to 0.25% on an
annual basis of the average daily net assets of that class, financial
intermediaries that provide services in connection with the distribution of
shares or administration of plans or programs that use Fund shares as their
funding medium. The effective rate paid to PFD was 0.25% during current fiscal
year.
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
106
<PAGE>
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):
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
PFD also receives the proceeds of the initial sales charges paid by the
shareholders upon the purchase of Class A shares, except for the Money Market
Fund, and the contingent deferred sales charges paid by the shareholders upon
certain redemptions of A, B and C Class shares. For the period ended March 31,
2000, PFD received $10,942,928 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
Intermediate 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 ratios 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>
Inst'l Class Admn. Class Class A Class B Class C Class D
------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Convertible Fund 0.65% 0.90% 1.05% 1.80% 1.80% 1.05%
Short Duration Municipal
Income Fund 0.39% 0.64% -- -- -- 0.85%
California Intermediate
Municipal Bond Fund 0.49% 0.74% 0.85% -- -- 0.85%
New York Intermediate
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 March 31, 2000 were as follows (amounts in thousands):
<TABLE>
<CAPTION>
U.S. Government/Agency All Other
-----------------------------------------------------
Purchases Sales Purchases Sales
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
California Intermediate
Municipal Bond Fund $ 3,810 $ 3,818 $ 27,038 $ 14,395
Foreign Bond Fund 1,162,359 1,173,327 2,025,127 2,209,981
High Yield Fund 0 0 1,702,854 1,323,390
Low Duration Fund 1,934,604 2,431,440 2,202,338 1,092,435
Municipal Bond Fund 0 0 80,961 81,082
New York Intermediate
Municipal Bond Fund 0 0 10,957 8,023
Real Return Bond Fund 688,938 446,634 147,408 28,564
Short Duration
Municipal Income Fund 0 0 28,389 17,860
Short-Term Fund 54,571 58,790 298,186 132,990
StocksPLUS Fund 658,594 580,578 753,342 454,667
Strategic Balanced Fund 201,324 163,287 83,174 32,490
Total Return Fund 56,671,088 70,114,485 35,320,326 9,011,674
Total Return Mortgage Fund 57,938 46,191 468 12,121
</TABLE>
107
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 2000
5. Shares of Beneficial Interest
The Trust may issue an unlimited number of shares of beneficial interest with a
$.0001 par value. Changes in shares of beneficial interest were as follows
(shares and amounts in thousands):
<TABLE>
<CAPTION>
California
Intermediate
Municipal
Bond Fund Foreign Bond Fund
------------------------ -------------------------------------------------
Period from Year Ended Year Ended
01/31/2000 to 03/31/2000 03/31/2000 03/31/1999
Shares Amount Shares Amount Shares Amount
------------------------ -------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Class D 1 $ 10 785 $ 8,012 862 $ 9,232
Other Classes 1,075 10,729 24,699 251,525 32,615 350,670
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 69 698 31 331
Other Classes 10 103 3,422 34,688 3,143 33,550
Cost of shares redeemed
Class D 0 0 (662) (6,691) (92) (980)
Other Classes (68) (675) (32,310) (328,315) (18,190) (194,707)
Net increase resulting from Fund share
transactions 1,018 $ 10,167 (3,997) $ (40,083) 18,369 $ 198,096
</TABLE>
<TABLE>
<CAPTION>
High Yield Fund
--------------------------------------------------
Year Ended Year Ended
03/31/2000 03/31/1999
Shares Amount Shares Amount
--------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 2,194 $ 23,790 940 $ 10,561
Other Classes 189,148 2,050,531 174,542 1,978,791
Shares issued in reorganization
Class D 0 0 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Class D 142 1,515 17 189
Other Classes 22,334 240,203 15,179 172,090
Cost of shares redeemed
Class D (835) (8,901) (150) (1,705)
Other Classes (189,837) (2,025,795) (93,220) (1,052,728)
Net increase resulting from Fund share
transactions 23,146 $ 281,343 97,308 $ 1,107,198
</TABLE>
<TABLE>
<CAPTION>
Short Duration
Municipal
Income Fund Short-Term Fund
------------------------ -----------------------------------------------
Period from Year Ended Year Ended
01/31/2000 to 03/31/2000 03/31/2000 03/31/1999
Shares Amount Shares Amount Shares Amount
------------------------ -----------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Class D 1 $ 10 462 $ 4,614 253 $ 2,535
Other Classes 1,050 10,500 135,826 1,354,008 103,825 1,042,572
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 20 195 3 34
Other Classes 24 241 2,701 26,908 1,990 19,324
Cost of shares redeemed
Class D 0 0 (371) (3,698) (29) (294)
Other Classes 0 0 (127,382) (1,269,938) (66,907) (671,328)
Net increase resulting from Fund share
transactions 1,075 $ 10,751 11,256 $ 112,089 39,135 $ 392,843
</TABLE>
<TABLE>
<CAPTION>
StocksPLUS Fund
------------------------------------------------
Year Ended Year Ended
03/31/2000 03/31/1999
Shares Amount Shares Amount
------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 178 $ 2,553 140 $ 1,948
Other Classes 55,051 792,443 49,802 694,938
Shares issued in reorganization
Class D 0 0 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Class D 38 534 11 159
Other Classes 17,123 239,951 8,515 115,895
Cost of shares redeemed
Class D (103) (1,416) (31) (430)
Other Classes (49,851) (708,774) (22,436) (314,432)
Net increase resulting from Fund share
transactions 22,436 $ 325,291 36,001 $ 498,078
</TABLE>
6. Transactions in Written Call and Put Options
Transactions in written call and put options
were as follows (amounts in thousands):
<TABLE>
<CAPTION>
Strategic
Foreign Low Real StocksPLUS Balanced Total
Bond Fund Duration Fund Return Fund Term Fund Fund Return Fund
--------------------------------------------------------------------------------
Premium
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Balance at 03/31/1999 $ 126 $ 1,830 $ 0 $ 53 $ 21 $ 35,106
Sales 1,403 9,716 5 10,501 2,808 130,952
Closing Buys (264) 1,153 0 4,794 (1,166) (21,392)
Expirations (745) (4,246) (5) (13,276) (868) (106,510)
Exercised (47) (4,580) 0 (841) (103) (6,434)
Balance at 03/31/2000 $ 473 $ 3,873 $ 0 $ 1,231 $ 692 $ 31,722
</TABLE>
108
<PAGE>
<TABLE>
<CAPTION>
Low Duration Fund Municipal Bond Fund
---------------------------------------------------- ----------------------------------------------------
Year Ended Year Ended Year Ended Year Ended
03/31/2000 03/31/1999 03/31/2000 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
---------------------------------------------------- ----------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
968 $ 9,569 690 $ 7,014 251 $ 2,373 33 $ 340
349,686 3,465,383 301,301 3,064,922 2,204 21,145 2,000 17,943
0 0 0 0 0 0 0 0
0 0 0 0 0 0 4,716 47,296
55 544 15 153 2 18 1 6
22,786 225,453 19,745 200,834 169 1,620 114 1,155
(438) (4,329) (64) (644) (161) (1,512) (10) (105)
(349,184) (3,454,487) (233,512) (2,374,959) (2,700) (25,741) (1,370) (13,927)
23,873 $ 242,133 88,175 $ 897,320 (235) $ (2,097) 5,484 $ 52,708
</TABLE>
<TABLE>
<CAPTION>
New York
Intermediate
Municipal
Bond Fund Real Return Fund Convertible Fund
------------------------ ------------------------------------------------------------ ------------------------
Period from Year Ended Year Ended Period from
01/31/2000 to 03/31/2000 03/31/2000 03/31/1999 01/31/2000 to 03/31/2000
Shares Amount Shares Amount Shares Amount Shares Amount
------------------------ ------------------------------------------------------------ ------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 $ 10 1,714 $ 16,706 19 $ 186 1 $ 10
301 3,010 24,213 236,282 2,499 24,583 14,353 190,493
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 33 319 1 7 0 0
8 76 563 5,502 60 600 145 2,104
0 0 (197) (1,910) 0 (1) 0 0
0 0 (1,964) (19,148) (515) (5,058) (2,824) (42,473)
310 $ 3,096 24,362 $ 237,751 2,064 $ 20,317 11,675 $ 150,134
</TABLE>
<TABLE>
<CAPTION>
Strategic Balanced Fund Total Return Fund
--------------------------------------------------- ------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended
03/31/2000 03/31/1999 03/31/2000 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
--------------------------------------------------- ------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
9 $ 124 13 $ 164 7,143 $ 71,612 3,508 $ 37,112
1,650 21,377 4,322 55,153 1,337,995 13,430,759 1,187,386 12,657,649
0 0 0 0 0 0 0 0
5,137 66,780 0 0 0 0 0 0
1 15 1 14 332 3,317 90 944
715 9,186 322 4,030 140,752 1,410,633 171,980 1,827,187
(11) (141) 0 (6) (2,759) (27,553) (235) (2,472)
(3,062) (39,025) (50) (640) (838,481) (8,391,495) (545,162) (5,822,931)
4,439 $ 58,316 4,608 $ 58,715 644,982 $ 6,497,273 817,567 $ 8,697,489
</TABLE>
<TABLE>
<CAPTION>
Total Return Mortgage Fund Emerging Markets Bond Fund
-------------------------------------------------- ---------------------------------------------------
Year Ended Year Ended Year Ended Year Ended
03/31/2000 03/31/1999 03/31/2000 03/31/1999
Shares Amount Shares Amount Shares Amount Shares Amount
-------------------------------------------------- ---------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
18 $ 176 17 $ 178 1 $ 10 0 $ 0
5 51 31 313 5,669 43,459 239 1,854
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
1 5 1 7 0 0 0 0
24 235 24 249 234 1,876 59 450
(21) (212) 0 0 0 0 0 0
(34) (342) 0 (1) (3,278) (25,312) (150) (1,135)
(7) $ (87) 73 $ 746 2,626 $ 20,033 148 $ 1,169
</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>
Total Acquired
Shares Value of Total Net Total Net Net Assets Fund's
Issued by Shares Issued Assets of Assets of of Acquiring Unrealized
Acquiring by Acquiring Acquired Acquiring Fund After (Depreci-
Acquiring Fund Acquired Fund(s) Date Fund Fund Fund Fund Acquisition ation)
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
PIMCO Municipal Bond Fund PIMCO Tax Exempt Fund 06/26/1998 4,716 $ 47,296 $ 47,296 $ 4,295 $ 51,591 $ 2,335
PIMCO Strategic Balanced
Fund PIMCO Balanced Fund 09/17/1999 5,137 $ 66,780 $ 66,780 $105,993 $ 172,774 $ (45)
</TABLE>
109
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 2000
8. 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, 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.
<TABLE>
<CAPTION>
Capital Loss Carryforwards
------------------------------------------------------
Realized Losses Acquired Losses Expiration
<S> <C> <C> <C>
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
</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 December 30, 1999 through March 31, 2000.
10. Acquisition by Allianz A.G.
On October 31, 1999 PIMCO Advisors L.P. and related companies entered into an
Implementation and Merger Agreement with Allianz of America, Inc. Pursuant to
the merger agreement, Allianz A.G., as the ultimate parent of Allianz of
America, Inc., would acquire a majority ownership (approximately 70%) of PIMCO
Advisors L.P. The consummation of the transaction is subject to certain consents
and approvals. The transaction closed on May 5, 2000.
11. In-Kind Transactions
For the period ended March 31, 2000, the following fund realized loss from
in-kind redemptions of approximately (amount in thousands):
Total Return $ 1,063
110
<PAGE>
Report of Independent Accountants
To the Trustees and the Class D Shareholders of the PIMCO Funds:
Pacific Investment Management Series
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations, changes
in net assets and of cash flows and the financial highlights for the Class D
shares present fairly, in all material respects, the financial position of the
California Intermediate Municipal Bond Fund, Convertible Fund, Emerging Markets
Bond Fund, Foreign Bond Fund, High Yield Fund, Low Duration Fund, Municipal Bond
Fund, New York Intermediate Municipal Bond Fund, Real Return Bond Fund, Short
Duration Municipal Income Fund, Short-Term Fund, StocksPLUS Fund, Strategic
Balanced Fund, Total Return Fund, and Total Return Mortgage Fund (hereafter
referred to as the "Funds") at March 31, 2000, the results of each of their
operations, the changes in each of their net assets and cash flows for the
Foreign Bond Fund and Real Return Bond Fund and the financial highlights for the
Class D shares for each of the periods indicated, in conformity with accounting
principles generally accepted in the United States. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of securities at March 31,
2000 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Kansas City, Missouri
May 23, 2000
111
<PAGE>
Federal Income Tax Information (unaudited)
As required by the Internal Revenue Code regulations, shareholders must be
notified within 60 days of the Trust's fiscal year end (March 31, 2000)
regarding the status of the dividend received deduction for corporations.
Dividend Received Deduction. Corporate shareholders are generally entitled to
take the dividend received deduction on the portion of a Fund's dividend
distribution that qualifies under tax law. The percentage of the following
Fund's fiscal 2000 ordinary income dividends that qualifies for the corporate
dividend received deduction is set forth below:
High Yield Fund 1.42%
Low Duration Fund 2.80%
StocksPLUS Fund 0.10%
Strategic Balanced Fund 0.11%
Total Return Fund 0.26%
For the benefit of shareholders of the California Intermediate Municipal Bond,
Municipal Bond, and New York Intermediate Municipal Bond Funds, this is to
inform you that 99.93%, 100.00% and 99.96%, respectively, of the dividends paid
by the Funds during its fiscal year qualify as exempt-interest dividends.
Shareholders are advised to consult their own tax advisor with respect to the
tax consequences of their investment in the Trust. In January 2001, you will be
advised on IRS Form 1099-DIV as to the federal tax status of the dividends and
distributions received by you in calendar year 2000.
112
<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 Company, 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>
Unique Investment Insight Delivered to Your Desktop
[GRAPHIC]
You can now access the investment insights of PIMCO fund managers by subscribing
to one or more of our free online newsletters. Choose from the following:
. Investment Outlook--Bill Gross, manager of America's largest bond fund, is
widely regarded as the country's leading bond expert. His views on the bond
markets and the economy are constantly sought by the financial media. Mr.
Gross's Investment Outlook is highly anticipated by Wall Street insiders and
investors alike.
. Innovation--An informative technology newsletter from Dennis McKechnie,
manager of PIMCO Innovation and PIMCO Global Innovation Funds. Looks at themes
developing in this fast-moving sector and examines the industries and companies
powering its growth.
. Fed Focus--Paul McCulley, manager of PIMCO Short-Term Fund, shares his
insights into Federal Reserve strategy and its effects on the economy and the
bond markets. Bill Gross has described Mr. McCulley's knowledge of the Fed as
"legendary."
. Emerging Markets Watch--A regular look at emerging market countries, the
state of their economies and the implications for bond investors. Written by
Mohamed El-Erian, manager of PIMCO Emerging Markets Bond Fund and formerly
Deputy Director of the International Monetary Fund.
. Global Markets Watch--Lee Thomas, manager of PIMCO Global Bond Fund II and
PIMCO Foreign Bond Fund, scans the globe to identify key issues affecting
international economies and their bond markets.
Subscribe online today
Simply visit our Web site at www.pimcofunds.com and click on "Registration" on
the bar at the top. Then fill in the form and indicate which newsletters you'd
like to receive. As soon as each new issue is available, we'll send you an
e-mail linking you directly to it. If you've already registered, just click on
"Preferences" to specify which newsletters you'd like to receive, or point your
browser to www.pimcofunds.com/preferences.
PZ035.4/00
[LOGO OF PIMCO FUNDS]
PIMCO Funds
Distributors LLC
2187 Atlantic Street
Stamford, CT 06902
<PAGE>
[LOGO OF PIMCO FUNDS]
PRIVATE ACCOUNT PORTFOLIO SERIES
ANNUAL REPORT
March 31, 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 Annual Report is not an
offer to sell, or a solicitation of any offer to buy, any security to the public
within the meaning of the Securities Act.
<PAGE>
Chairman's Letter
Dear PIMCO Funds Shareholder:
We are pleased to present you with the first annual report for the Private
Account Portfolio Series, the separate portfolios of the PIMCO Funds: Pacific
Investment Management Series. The period was an exciting one for the Private
Account Portfolio Series, which grew to more than $3 billion in assets through
the fiscal year-ended March 31, 2000.
The Private Account Portfolio Series offered five fixed income portfolios during
the fiscal period. Pacific Investment Management Company acts as the Investment
Adviser and Administrator to the Portfolios. Founded in 1971, Pacific Investment
currently manages $193 billion on behalf of mutual fund and institutional
clients located around the world. In the period since the end of the fiscal
year, the range of investment options available to investors was broadened as
the Real Return Bond and Short-Term Portfolios commenced operations.
Most bond sectors reacted negatively to the continued strength of the economy
and to rising interest rates during 1999. U.S. Treasury yields increased across
the maturity spectrum during the last three quarters of calendar 1999 with the
yield on the benchmark 30-year Treasury increasing by 0.86% to finish the year
at 6.48%. These increases came as robust economic expansion in the U.S. and
accelerating growth in Europe and Asia boosted demand for capital worldwide and
caused inflation to rise from lows reached in the previous year.
However, the short and the long ends of the Treasury market diverged during the
first quarter of 2000. Short-term Treasury yields rose as much as 0.57% in
anticipation of more tightening by the Federal Reserve. In marked contrast, the
30-year Treasury yield fell 0.64%, closing the first quarter at 5.84%, as
investors grew concerned that the U.S. government's debt buyback would create a
scarcity of long-term Treasuries. Yields on mortgages and corporate bonds did
not fall in line with long-term Treasuries, which caused yield premiums on non-
Treasury sectors to widen.
Major central banks began hiking rates in the second half of 1999 as global
economic growth improved and prospects for inflation increased. In an effort to
temper the high-flying U.S. economy and combat the prospect of rising inflation,
the Federal Reserve raised the fed funds rate on five separate occasions to
finish the fiscal year ended March 31, 2000 at 6.00%. In a press release
accompanying the most recent action on March 21, 2000, the Fed suggested that
more rate hikes are in the offing because "increases in demand will continue to
exceed the growth in potential supply, which could foster inflationary
imbalances that would undermine the record economic expansion."
Those "imbalances" include the record U.S. trade deficit, high corporate and
individual debt levels and tight labor markets. Strong equity and housing
markets also represent a potential threat because they create a wealth effect
that fuels consumer demand. Still, actual inflation remained relatively subdued
during the period. While effects of increased energy prices showed up in higher
headline consumer price inflation, the core rate outside of energy and food
costs was little changed.
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 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
May 1, 2000
2000 Annual Report 1
<PAGE>
Corporate Update
Allianz AG
On May 5, 2000, Allianz AG completed the acquisition of approximately 70% of the
outstanding partnership interests 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 investment efforts of Allianz AG. Key employees at
each of 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 $650 billion, including more than 300 mutual funds for retail and
institutional clients around the world.
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 or securities that provide exposure to the
U.S. Government Securities sector. The Portfolio may invest only in investment
grade securities.
Duration:
9.1 years
Total Net Assets:
$311.6 million
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Sector Breakdown:*
[GRAPH]
U.S. Treasury Obligations 59.8%
Corporate Bonds and Notes 19.3%
Short-Term Instruments 7.4%
U.S. Government Agencies 6.2%
Other 7.3%
Quality Breakdown:*
[GRAPH]
AAA 89.2%
AA 3.2%
A 5.8%
BBB 1.8%
*% of Total Investments as of March 31, 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 1/31/2000. The total return performance since inception was 6.61%.
--------------------------------------------------------------------------------
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 6.61% since
inception on January 31, 2000 through March 31, 2000.
. Emphasis on longer maturities was positive as long-term Treasuries rallied
and the yield curve inverted.
. Premium income generated from written options added modestly to performance
despite heightened interest rate volatility.
2000 Annual Report 3
<PAGE>
PIMCO Mortgage Portfolio
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with
prudent investment management.
Portfolio:
Primarily mortgage-related securities. The
Portfolio may invest only in investment
grade securities.
Duration:
4.8 years
Total Net Assets:
$985.6 million
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Sector Breakdown:*
[GRAPH]
Mortgage-Backed
Securities 82.4%
Corporate Bonds
and Notes 8.1%
Asset-Backed
Securities 6.3%
Other 3.2%
Quality Breakdown:*
[GRAPH]
AAA 90.3%
AA 1.9%
A 5.3%
BBB 2.5%
*% of Total Investments as of March 31, 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 1/31/2000. The total return performance since inception was 3.21%.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The PIMCO Private Mortgage Portfolio's 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
mortgage fixed income securities of varying maturities, which may be
represented by certain derivative instruments.
. The PIMCO Private Mortgage Portfolio was established during the first
quarter of 2000.
. The Portfolio's total return investment performance since inception on
January 31, 2000 through March 31, 2000 was 3.21%.
4 PIMCO Funds
<PAGE>
PIMCO Investment Grade Corporate Portfolio
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with
prudent investment management.
Portfolio:
Primarily corporate fixed income securities.
The Portfolio may invest only in investment
grade securities.
Duration:
3.9 years
Total Net Assets:
$316.3 million
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
--------------------------------------------------------------------------------
Sector Breakdown:*
[GRAPH]
Corporate Bonds
and Notes 90.0%
Other 10.0%
Quality Breakdown:*
[GRAPH]
AAA 1.8%
AA 11.4%
A 37.6%
BBB 48.9%
BB 0.3%
*% of Total Investments as of March 31, 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 1/26/2000. The total return performance since inception was 2.11%.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. The Investment Grade Corporate 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
corporate fixed income securities of varying maturities, which may be
represented by certain derivative instruments.
. The Investment Grade Corporate Portfolio was established during the first
quarter of 2000 and recorded a 2.11% total return for the two-month period
ended March 31, 2000.
. During the month of March, the Fund was in the initial funding stage where
industry and quality diversification, along with relative value decisions
were used to select initial security positions.
. A focus on BBB rated issues detracted from performance in March as higher
quality securities outperformed lower quality issues.
2000 Annual Report 5
<PAGE>
PIMCO International Portfolio
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with
prudent investment management.
Portfolio:
Primarily investment grade, hedged, fixed
income instruments of non-U.S. issuers.
Duration:
4.2 years
Total net assets:
$1.1 billion
Country Allocation:*
[GRAPH]
United States 46.9%
United Kingdom 7.9%
Supranational 5.3%
Germany 4.7%
Australia 4.3%
Portugal 4.2%
Greece 3.9%
Italy 2.7%
South Korea 2.0%
New Zealand 1.9%
Short-Term
Instruments 9.2%
Other 7.0%
Quality Breakdown:*
[GRAPH]
AAA 55.1%
AA 19.6%
A 10.2%
BBB 15.1%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 2000
International Salomon Salomon Bros. Lehman
Portfolio 3-Month J.P. Morgan World Govt. 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>
1 Year -0.67% 4.99% 2.94% 3.49% 1.87%
3 Years* 5.39% 5.04% 8.85% 8.50% 6.70%
5 Year* 9.31% 5.19% 10.66% 10.09% 7.14%
Since Inception* 8.07% -- -- -- --
* Annualized
</TABLE>
[GRAPH]
CUMULATIVE RETURNS THROUGH MARCH 31, 2000
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Salomon
3 Month Salomon Bros J.P. Morgan
International Treasury Bill World Gov't Lehman Brothers Non-U.S. Index
Portfolio Index Bond Index Aggregate Bond Index (Hedged)
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
12/31/1989 5,000,000 5,000,000 5,000,000 5,000,000 5,000,000
1/31/1990 4,944,945 5,033,000 4,900,984 4,940,584 4,894,002
2/28/1990 4,859,860 5,063,192 4,827,959 4,956,571 4,822,549
3/31/1990 4,924,925 5,097,117 4,825,552 4,960,222 4,826,888
4/30/1990 4,894,711 5,130,239 4,821,681 4,914,778 4,824,957
5/31/1990 4,980,318 5,165,123 4,942,718 5,060,297 4,945,583
6/30/1990 5,060,889 5,198,699 4,968,415 5,141,490 4,971,299
7/31/1990 5,189,338 5,233,007 4,987,802 5,212,613 4,995,162
8/31/1990 5,101,993 5,267,019 4,920,469 5,143,001 4,923,731
9/30/1990 5,096,855 5,299,147 4,892,917 5,185,549 4,900,097
10/31/1990 5,191,047 5,332,008 5,033,341 5,251,385 5,035,831
11/30/1990 5,295,705 5,363,473 5,115,898 5,364,426 5,113,886
12/31/1990 5,353,791 5,398,336 5,167,065 5,448,011 5,164,511
1/31/1991 5,461,621 5,429,107 5,265,238 5,515,358 5,262,640
2/28/1991 5,537,103 5,455,710 5,342,635 5,562,437 5,343,157
3/31/1991 5,493,971 5,484,079 5,345,843 5,600,705 5,351,704
4/30/1991 5,571,350 5,510,402 5,372,037 5,661,380 5,390,773
5/31/1991 5,598,986 5,536,853 5,403,733 5,694,486 5,432,283
6/30/1991 5,576,878 5,562,322 5,374,552 5,691,591 5,392,084
7/31/1991 5,627,372 5,589,022 5,423,461 5,770,519 5,422,820
8/31/1991 5,756,415 5,615,290 5,493,423 5,895,393 5,504,703
9/30/1991 5,868,626 5,639,998 5,582,966 6,014,854 5,585,071
10/31/1991 5,919,955 5,664,813 5,622,605 6,081,823 5,629,192
11/30/1991 5,937,064 5,687,473 5,640,596 6,137,588 5,634,259
12/31/1991 6,117,563 5,708,517 5,741,001 6,319,864 5,727,223
1/31/1992 6,123,555 5,728,497 5,789,224 6,233,887 5,781,061
2/29/1992 6,153,514 5,746,254 5,808,328 6,274,421 5,800,139
3/31/1992 6,096,592 5,765,791 5,775,221 6,239,048 5,758,379
4/30/1992 6,127,014 5,784,243 5,793,124 6,284,114 5,783,140
5/31/1992 6,212,196 5,803,330 5,855,689 6,402,694 5,836,343
6/30/1992 6,193,943 5,820,740 5,879,698 6,490,811 5,828,173
7/31/1992 6,193,943 5,838,203 5,920,856 6,623,238 5,809,522
8/31/1992 6,193,943 5,854,550 5,939,803 6,690,332 5,810,685
9/30/1992 6,298,508 5,869,185 6,037,215 6,769,637 5,890,873
10/31/1992 6,465,397 5,883,857 6,136,225 6,679,884 6,010,455
11/30/1992 6,465,397 5,898,566 6,128,249 6,681,395 6,001,441
12/31/1992 6,545,751 5,914,493 6,190,758 6,787,638 6,069,258
1/31/1993 6,570,432 5,930,462 6,252,048 6,917,800 6,124,490
2/28/1993 6,704,914 5,944,102 6,386,467 7,038,897 6,235,345
3/31/1993 6,743,338 5,958,963 6,366,030 7,068,228 6,239,086
4/30/1993 6,717,722 5,973,263 6,350,114 7,117,447 6,239,709
5/31/1993 6,763,200 5,988,197 6,361,544 7,126,511 6,274,653
6/30/1993 6,912,627 6,003,167 6,470,328 7,255,665 6,402,655
7/31/1993 6,997,086 6,018,776 6,542,794 7,296,702 6,474,365
8/31/1993 7,128,240 6,034,425 6,662,527 7,424,597 6,609,031
9/30/1993 7,141,356 6,049,511 6,719,825 7,444,990 6,637,449
10/31/1993 7,252,837 6,065,240 6,806,510 7,472,810 6,725,728
11/30/1993 7,292,542 6,080,402 6,890,230 7,409,240 6,772,807
12/31/1993 7,480,184 6,096,212 7,002,540 7,449,396 6,913,004
1/31/1994 7,466,522 6,112,061 6,923,412 7,549,975 6,878,440
2/28/1994 7,271,176 6,126,730 6,796,715 7,418,807 6,723,674
3/31/1994 7,184,356 6,143,884 6,746,420 7,235,901 6,662,489
4/30/1994 7,133,711 6,162,315 6,711,339 7,178,122 6,615,184
5/31/1994 6,943,674 6,182,650 6,671,742 7,177,115 6,541,754
6/30/1994 6,768,255 6,203,672 6,605,690 7,161,254 6,475,028
7/31/1994 6,804,801 6,226,004 6,669,764 7,303,499 6,517,762
8/31/1994 6,723,527 6,249,040 6,615,738 7,312,563 6,455,193
9/30/1994 6,686,585 6,272,161 6,626,323 7,204,935 6,461,002
10/31/1994 6,716,139 6,297,877 6,641,563 7,198,515 6,486,200
11/30/1994 6,775,247 6,324,328 6,733,217 7,182,528 6,577,654
12/31/1994 6,768,742 6,353,419 6,742,644 7,232,125 6,562,527
1/31/1995 6,845,010 6,382,645 6,814,791 7,375,252 6,634,060
2/28/1995 6,940,344 6,410,729 6,919,737 7,550,604 6,719,640
3/31/1995 7,092,879 6,442,142 7,113,491 7,596,928 6,856,718
4/30/1995 7,226,348 6,473,064 7,225,173 7,703,046 6,965,740
5/31/1995 7,283,548 6,504,783 7,465,048 8,001,133 7,194,219
6/30/1995 7,216,814 6,535,355 7,458,328 8,059,794 7,170,476
7/31/1995 7,359,816 6,566,724 7,530,674 8,041,793 7,260,826
8/31/1995 7,512,351 6,597,588 7,572,092 8,138,847 7,323,992
9/30/1995 7,579,085 6,627,277 7,709,146 8,218,026 7,439,711
10/31/1995 7,741,153 6,657,763 7,789,322 8,324,899 7,523,038
11/30/1995 8,028,929 6,687,056 7,953,677 8,449,648 7,687,792
12/31/1995 8,172,816 6,717,817 7,999,014 8,568,228 7,759,288
1/31/1996 8,323,303 6,748,047 8,066,205 8,625,126 7,853,176
2/29/1996 8,071,081 6,775,714 7,968,604 8,475,201 7,760,509
3/31/1996 8,162,452 6,804,172 8,061,039 8,416,289 7,824,921
4/30/1996 8,314,737 6,832,069 8,102,151 8,368,958 7,918,820
5/31/1996 8,294,432 6,861,446 8,165,347 8,351,964 7,972,668
6/30/1996 8,406,606 6,890,266 8,224,955 8,464,124 8,038,841
7/31/1996 8,518,966 6,919,893 8,289,930 8,487,286 8,099,132
8/31/1996 8,682,399 6,950,341 8,414,282 8,473,061 8,206,850
9/30/1996 8,938,478 6,980,228 8,547,224 8,620,720 8,381,658
10/31/1996 9,277,524 7,010,940 8,690,820 8,811,682 8,519,953
11/30/1996 9,585,748 7,040,387 8,836,826 8,962,613 8,690,353
12/31/1996 9,541,698 7,070,659 8,831,524 8,879,280 8,702,521
1/31/1997 9,589,950 7,101,064 8,948,098 8,906,470 8,811,304
2/28/1997 9,650,264 7,128,758 9,032,213 8,928,625 8,867,695
3/31/1997 9,456,645 7,160,124 9,006,922 8,829,683 8,820,698
4/30/1997 9,529,482 7,190,913 9,099,692 8,961,858 8,915,963
5/31/1997 9,711,574 7,222,552 9,149,740 9,046,576 8,962,325
6/30/1997 9,917,871 7,252,888 9,293,391 9,153,953 9,114,683
7/31/1997 10,149,939 7,284,075 9,445,802 9,400,806 9,259,609
8/31/1997 10,027,798 7,315,396 9,476,973 9,320,619 9,270,720
9/30/1997 10,224,042 7,346,122 9,619,128 9,458,082 9,434,811
10/31/1997 10,088,868 7,378,443 9,738,405 9,595,292 9,495,192
11/30/1997 10,150,311 7,409,434 9,786,124 9,639,476 9,563,560
12/31/1997 10,134,127 7,441,296 9,895,728 9,736,531 9,687,886
1/31/1998 10,367,431 7,474,038 10,011,508 9,861,531 9,816,715
2/28/1998 10,323,686 7,503,933 10,098,609 9,853,663 9,904,106
3/31/1998 10,542,817 7,536,951 10,189,496 9,887,966 9,992,250
4/30/1998 10,601,551 7,568,601 10,254,708 9,939,577 10,043,212
5/31/1998 10,807,121 7,601,151 10,404,426 10,033,862 10,180,804
6/30/1998 10,940,178 7,632,316 10,469,973 10,118,958 10,224,581
7/31/1998 10,940,178 7,664,371 10,530,700 10,140,483 10,319,668
8/31/1998 10,688,849 7,697,328 10,772,908 10,305,514 10,522,966
9/30/1998 10,956,920 7,728,887 11,053,001 10,546,828 10,772,362
10/31/1998 10,778,275 7,759,803 11,032,001 10,491,062 10,756,203
11/30/1998 10,867,598 7,788,514 11,084,954 10,550,604 10,872,370
12/31/1998 11,270,457 7,817,332 11,026,205 10,582,326 10,859,322
1/31/1999 11,396,384 7,846,256 11,134,263 10,657,855 10,993,977
2/28/1999 11,097,307 7,872,934 11,003,991 10,471,803 10,920,319
3/31/1999 11,144,530 7,902,850 11,115,130 10,529,834 11,050,270
4/30/1999 11,160,271 7,932,091 11,215,167 10,563,192 11,190,608
5/31/1999 10,939,899 7,962,233 11,169,185 10,470,670 11,144,727
6/30/1999 10,924,617 7,991,692 11,044,089 10,437,311 10,971,984
7/31/1999 10,908,762 8,022,861 11,046,297 10,392,875 10,943,457
8/31/1999 10,861,194 8,054,953 11,065,079 10,387,691 10,963,155
9/30/1999 10,988,621 8,086,366 11,139,214 10,508,182 11,004,817
10/31/1999 10,972,649 8,119,521 11,162,605 10,546,954 11,031,228
11/30/1999 10,924,733 8,151,998 11,193,861 10,546,198 11,095,206
12/31/1999 11,003,998 8,187,053 11,211,771 10,495,342 11,128,492
1/31/2000 10,938,693 8,223,076 11,229,711 10,460,977 11,129,607
2/29/2000 10,922,366 8,258,434 11,333,023 10,587,487 11,211,964
3/31/2000 11,069,547 8,297,248 11,503,019 10,726,964 11,375,657
</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. Prior to March 31, 2000, the Portfolio was known as the
International Bond Fund.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. For the twelve-month period ended March 31, 2000, the International
Portfolio posted a return of -0.67%, underperforming the return of the
Portfolio's benchmark. The benchmark was changed from the Lehman Brothers
Aggregate Bond Index to the Salomon 3- Month Treasury Bill Index, a widely
published, recognized index, effective March 31, 2000.
. Global bonds underperformed over the period as yields rose after global
growth improved and inflation prospects rose.
. An allocation to emerging markets was positive due to improving
fundamentals and enhanced growth prospects.
. A position in the euro was negative for returns after the U.S. dollar
rallied in response to the strong U.S. economy.
. An allocation to European bonds was negative for performance as the weak
euro raised import prices and increased prospects for inflation.
PIMCO Funds 6
<PAGE>
PIMCO Emerging Markets Portfolio
--------------------------------------------------------------------------------
FUND CHARACTERISTICS
--------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with prudent investment management.
Portfolio:
Primarily fixed income instruments of issuers that are economically tied to
countries with emerging securities markets.
Duration:
4.3 years
Total Net Assets:
$354.3 million
Country Allocation:*
[GRAPH]
Mexico 14.2%
Philippines 10.5%
Bulgaria 10.4%
South Korea 9.1%
Poland 8.3%
Peru 7.3%
Brazil 5.9%
Panama 5.2%
Jordan 5.0%
Colombia 4.5%
Short-Term
Instruments 3.8%
Other 15.8%
Quality Breakdown:*
[GRAPH]
AAA 3.5%
AA 3.0%
A 0.8%
BBB 40.0%
BB 30.3%
B 22.4%
*% of Total Investments as of March 31, 2000
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 2000
<TABLE>
<CAPTION>
Emerging
Markets Port. Salomon 3-Month J.P. Morgan Lehman Brothers
(Incep. Treasury Bill Emerging Markets Aggregate Bond
04/03/1998) Index Plus Index Index
----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 Year 10.94% 4.99% 29.04% 1.87%
Since Inception* 8.21% -- -- --
* Annualized
</TABLE>
[GRAPH]
CUMULATIVE RETURNS THROUGH MARCH 31, 2000
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Salomon
Emerging Markets 3-Month Treasury JP Morgan Emerging Lehman Brothers
Portfolio Bill Index Markets Plus Index Aggregate Bond Index
<S> <C> <C> <C> <C>
4/30/1998 5,000,000 5,000,000 5,000,000 5,000,000
5/31/1998 4,944,400 5,021,503 4,829,347 5,047,429
6/30/1998 4,891,710 5,042,092 4,689,782 5,090,236
7/31/1998 5,001,037 5,063,268 4,722,141 5,101,064
8/31/1998 4,265,043 5,085,040 3,364,998 5,184,081
9/30/1998 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
1/31/1999 5,110,595 5,183,426 3,909,994 5,361,322
2/28/1999 5,142,926 5,201,049 3,966,297 5,267,730
3/31/1999 5,296,664 5,220,813 4,266,545 5,296,922
4/30/1999 5,438,686 5,240,131 4,557,951 5,313,703
5/31/1999 5,274,822 5,260,043 4,298,148 5,267,161
6/30/1999 5,334,460 5,279,504 4,490,275 5,250,380
7/31/1999 5,345,462 5,300,095 4,397,324 5,228,027
8/31/1999 5,349,303 5,321,296 4,391,169 5,225,419
9/30/1999 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
1/31/2000 5,696,409 5,432,362 5,014,681 5,262,285
2/29/2000 5,851,645 5,455,720 5,337,625 5,325,925
3/31/2000 5,876,326 5,481,362 5,505,758 5,396,087
</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 Plus Index 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. Prior to March 31,
2000, the Portfolio was known as the Emerging Markets Bond Fund II.
--------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
--------------------------------------------------------------------------------
. Emerging markets was the best performing bond market sector during the
period due to stronger global growth and higher commodity prices.
. A series of favorable credit rating announcements reinforced the view that
financial and economic conditions are improving across the sector.
. Distressed credits, such as Russia and Ecuador, outperformed high quality
credits, driving overall sector returns.
. The Portfolio outperformed the benchmark for the period ended March 31,
2000. The benchmark was changed from the Lehman Brothers Aggregate Bond
Index to the Salomon 3-Month Treasury Bill Index, a widely published,
recognized index, effective March 31, 2000.
. Our focus on Mexico proved positive as the Mexican economy continued to
show strong growth together with benign inflation and the country was
upgraded to investment-grade.
. Exposure to Brazil was positive for returns amid signs of improving
economic conditions and a rating upgrade.
. South Korea performed well as the economy showed strong recovery and
received an upgrade to investment grade.
. Improved growth in Poland caused a rating upgrade for the country and
contributed to its strong performance during the period.
2000 Annual Report 7
<PAGE>
Financial Highlights
<TABLE>
<CAPTION>
Net Asset Net Realized/ Total Dividends
Value Unrealized Income from from Net
Beginning Net Investment Gain (Loss) on Investment Investment
Selected Per Share Data for the Year or Period Ended: of Period Income (Loss) Investments Operations Income
<S> <C> <C> <C> <C> <C>
U.S. Government Sector Portfolio
01/31/2000 - 03/31/2000 $ 10.00 0.12 (a) 0.54 (a) $ 0.66 $ (0.04)
Mortgage Portfolio
01/31/2000 - 03/31/2000 $ 10.00 0.12 (a) 0.20 (a) $ 0.32 $ (0.06)
Investment Grade Corporate Portfolio
01/26/2000 - 03/31/2000 $ 10.00 0.14 (a) 0.07 (a) $ 0.21 $ (0.08)
International Portfolio
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
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) If the investment manager had not reimbursed expenses, the ratio of
expenses to average net assets would have been 0.09%.
(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%.
8 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Ratio of Net
Dividends in Distributions Distributions Ratio of Investment
Excess of Net from Net in Excess of Net Net Asset Expenses to Income (Loss)
Investment Realized Realized Capital Total Value End Net Assets End Average Net to Average Net
Income Capital Gains Gains Distributions of Period Total Return of Period (000s) Assets Assets
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 0.00 $ 0.00 $ 0.00 $ (0.04) $ 10.62 6.61% $ 311,652 0.05%(b)+ 6.86%+
$ 0.00 $ 0.00 $ 0.00 $ (0.06) $ 10.26 3.21% $ 985,563 0.05%(c)+ 7.13%+
$ 0.00 $ 0.00 $ 0.00 $ (0.08) $ 10.13 2.11% $ 316,279 0.05%(d)+ 7.65%+
$ 0.00 $ 0.00 $ 0.00 $ (0.30) $ 6.73 (0.67%) $1,142,215 0.50% 5.61%
0.00 0.00 (0.20) (0.50) 7.08 5.71 720,025 0.50 4.04
0.00 (0.24) (0.95) (1.44) 7.18 11.49 730,622 0.51 8.17
0.00 (1.01) 0.00 (1.51) 7.79 15.86 957,950 0.50 7.17
(0.13) 0.00 0.00 (0.52) 8.04 15.08 2,271,940 0.50 6.09
$ 0.00 $ 0.00 $ 0.00 $ (0.80) $ 9.84 10.94% $ 354,371 0.85% 8.20%
0.00 0.00 0.00 (0.85) 9.63 5.49 145,530 0.85+ 9.43+
</TABLE>
Portfolio
Turnover Rate
283%
156%
65%
369%
406
255
875
1,046
159%
199
2000 Annual Report See accompanying notes 9
<PAGE>
Statements of Assets and Liabilities
March 31, 2000
<TABLE>
<CAPTION>
U.S. Government Mortgage Investment Grade International Emerging
Amounts in thousands, except per share amounts Sector Portfolio Portfolio Portfolio Portfolio Markets Portfolio
Assets:
<S> <C> <C> <C> <C> <C>
Investments, at value $ 667,432 $ 1,513,632 $ 313,222 $ 1,525,263 $ 351,555
Cash and foreign currency 0 61,000 7,623 28,623 1,676
Receivable for investments sold and
forward foreign currency contracts 351,290 166,762 756 131,749 389
Receivable for Fund shares sold 0 30,500 4,798 5,200 0
Interest and dividends receivable 11,532 6,903 6,363 22,482 6,767
Variation margin receivable 397 0 0 1,194 0
Manager reimbursement receivable 16 16 16 0 0
Other assets 0 309 89 0 20
1,030,667 1,779,122 332,867 1,714,511 360,407
Liabilities:
Payable for investments purchased and
forward foreign currency contracts $ 140,846 $ 742,853 $ 12,505 $ 55,144 $ 3,640
Payable for financing transactions 351,752 50,369 4,072 491,893 0
Due to Custodian 217,914 0 0 0 0
Notes Payable 0 0 0 19,996 0
Written options outstanding 276 192 0 296 0
Payable for Fund shares redeemed 6,900 0 0 1,000 2,037
Dividends payable 0 0 0 0 100
Accrued investment advisory fee 5 11 4 239 134
Accrued administration fee 7 16 6 245 125
Variation margin payable 967 79 0 0 0
Other liabilities 348 39 1 3,483 0
719,015 793,559 16,588 572,296 6,036
Net Assets $ 311,652 $ 985,563 $ 316,279 $ 1,142,215 $ 354,371
Net Assets Consist of:
Paid in capital $ 297,121 $ 970,669 $ 313,244 $ 1,199,753 $ 351,292
Undistributed (overdistributed) net
investment income 4,152 4,320 1,488 15,837 1,534
Accumulated undistributed net realized gain (loss) 3,268 183 0 (43,146) (171)
Net unrealized appreciation (depreciation) 7,111 10,391 1,547 (30,229) 1,716
$ 311,652 $ 985,563 $ 316,279 $ 1,142,215 $ 354,371
Shares Issued and Outstanding: 29,355 96,004 31,229 169,794 36,002
Net Asset Value and Redemption Price
Per Share (Net Assets Per Share Outstanding) $ 10.62 $ 10.26 $ 10.13 $ 6.73 $ 9.84
Cost of Investments Owned $ 659,025 $ 1,503,353 $ 311,764 $ 1,557,138 $ 349,809
Cost of Foreign Currency Held $ 0 $ 0 $ 0 $ 28,816 $ 235
</TABLE>
10 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Statements of Operations
For the year ended March 31, 2000
U.S. Government Mortgage Investment Grade
Amounts in thousands Sector Portfolio Portfolio Portfolio
<S> <C> <C> <C>
Investment Income:
Interest $ 2,610 $ 5,759 $ 2,720
Expenses:
Investment advisory fees 8 17 7
Administration fees 12 25 11
Trustees' fees 0 0 0
Organization costs 17 17 16
Interest expense 0 0 0
Total expenses 37 59 34
Reimbursement by manager (17) (16) (16)
Net expenses 20 43 18
Net Investment Income 2,590 5,716 2,702
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 1,070 2,101 254
Net realized gain (loss) on futures contracts and written options 4,981 (174) 0
Net realized gain on foreign currency transactions 0 0 0
Net change in unrealized appreciation (depreciation)
on investments 8,110 10,589 1,547
Net change in unrealized appreciation (depreciation)
on futures contracts and written options (999) (198) 0
Net change in unrealized appreciation (depreciation)
on translation of assets and liabilities denominated
in foreign currencies 0 0 0
Net Gain (Loss) 13,162 12,318 1,801
Net Increase (Decrease) in
Assets Resulting from Operations $ 15,752 $ 18,034 $ 4,503
<CAPTION>
International Emerging
Portfolio Markets Portfolio
<S> <C> <C>
Investment Income:
Interest $ 56,227 $ 22,618
Expenses:
Investment advisory fees 2,282 1,114
Administration fees 2,287 992
Trustees' fees 6 1
Organization costs 0 0
Interest expense 227 57
Total expenses 4,802 2,164
Reimbursement by manager 0 0
Net expenses 4,802 2,164
Net Investment Income 51,425 20,454
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (55,641) 7,462
Net realized gain (loss) on futures contracts and written options 8,579 (156)
Net realized gain on foreign currency transactions 13,268 851
Net change in unrealized appreciation (depreciation)
on investments (26,573) (1,347)
Net change in unrealized appreciation (depreciation)
on futures contracts and written options 4,799 42
Net change in unrealized appreciation (depreciation)
on translation of assets and liabilities denominated
in foreign currencies (365) (77)
Net Gain (Loss) (55,933) 6,775
Net Increase (Decrease) in
Assets Resulting from Operations $ (4,508) $ 27,229
</TABLE>
2000 Annual Report See accompanying notes 11
<PAGE>
Statements of Changes in Net Assets
March 31, 2000
<TABLE>
<CAPTION>
U.S. Investment
Government Grade
Sector Mortgage Corporate
Amounts in thousands Portfolio Portfolio Portfolio
Period from Period from Period from
Increase (Decrease) in Net Assets from: January 31, 2000 January 31, 2000 January 26, 2000
to March 31, 2000 to March 31, 2000 to March 31, 2000
<S> <C> <C> <C>
Operations:
Net investment income $ 2,590 $ 5,716 $ 2,702
Net realized gain 6,051 1,927 254
Net change in unrealized appreciation 7,111 10,391 1,547
Net increase resulting from operations 15,752 18,034 4,503
Distributions to Shareholders:
From net investment income (1,221) (3,140) (1,468)
In excess of net investment income 0 0 0
Total Distributions (1,221) (3,140) (1,468)
Fund Share Transactions:
Receipts for shares sold 319,000 967,529 362,126
Issued as reinvestment of distributions 1,221 3,140 1,468
Cost of shares redeemed (23,100) 0 (50,350)
Net increase resulting from Fund share transactions 297,121 970,669 313,244
Total Increase in Net Assets 311,652 985,563 316,279
Net Assets:
Beginning of period 0 0 0
End of period * $ 311,652 $ 985,563 $ 316,279
*Including net undistributed investment income of: $ 4,152 $ 4,320 $ 1,488
</TABLE>
<TABLE>
<CAPTION>
Amounts in thousands International Portfolio
Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 2000 March 31, 1999
<S> <C> <C>
Operations:
Net investment income $ 51,425 $ 20,775
Net realized gain (loss) (33,794) (17,214)
Net change in unrealized appreciation (depreciation) (22,139) 24,931
Net increase (decrease) resulting from operations (4,508) 28,492
Distributions to Shareholders:
From net investment income (43,147) (21,310)
In excess of net investment income 0 0
In excess of net realized capital gains 0 (13,429)
Total Distributions (43,147) (34,739)
Fund Share Transactions:
Receipts for shares sold 679,200 432,838
Issued as reinvestment of distributions 41,675 34,207
Cost of shares redeemed (251,030) (471,395)
Net increase (decrease) resulting from Fund share transactions 469,845 (4,350)
Total Increase (Decrease) in Net Assets 422,190 (10,597)
Net Assets:
Beginning of period 720,025 730,622
End of period * $ 1,142,215 $ 720,025
*Including net undistributed (overdistributed) investment income of: $ 15,837 $ (1,908)
<CAPTION>
Amounts in thousands Emerging Markets Portfolio
Year Ended Period from
Increase (Decrease) in Net Assets from: March 31, 2000 April 3, 1998 to
March 31, 1999
<S>
Operations: <C> <C>
Net investment income $ 20,454 $ 6,225
Net realized gain (loss) 8,157 (6,795)
Net change in unrealized appreciation (depreciation) (1,382) 3,098
Net increase (decrease) resulting from operations 27,229 2,528
Distributions to Shareholders:
From net investment income (20,428) (6,225)
In excess of net investment income (22) (3)
In excess of net realized capital gains 0 0
Total Distributions (20,450) (6,228)
Fund Share Transactions:
Receipts for shares sold 226,178 210,500
Issued as reinvestment of distributions 19,552 5,755
Cost of shares redeemed (43,668) (67,025)
Net increase (decrease) resulting from Fund share transactions 202,062 149,230
Total Increase (Decrease) in Net Assets 208,841 145,530
Net Assets:
Beginning of period 145,530 0
End of period * $ 354,371 $ 145,530
*Including net undistributed (overdistributed) investment income of: $ 1,534 $ (26)
</TABLE>
12 PIMCO Funds See accompanying notes
<PAGE>
Statements of Cash Flows
For the period ended March 31, 2000
<TABLE>
<CAPTION>
U.S. Government International
Amounts in thousands Sector Portfolio Portfolio
<S> <C> <C>
Increase (Decrease) in Cash and Foreign Currency from:
Financing Activities
Sales of Portfolio shares $ 319,000 $ 704,000
Redemptions of Portfolio shares (16,200) (250,029)
Cash distributions paid 0 (1,473)
Increase (decrease) from financing transactions 133,909 420,996
Net increase (decrease) from financing activities 436,709 873,494
Operating Activities
Purchases of long-term securities and foreign currency (1,386,555) (6,817,855)
Proceeds from sales of long-term securities and foreign currency 789,823 5,766,205
Purchases of short-term securities (net) (49,670) 163,495
Net investment income 2,590 51,425
Change in other receivables/payables (net) 207,103 (13,306)
Net increase (decrease) from operating activities (436,709) (850,036)
Net Increase in Cash and Foreign Currency 0 23,458
Cash and Foreign Currency
Beginning of period 0 5,165
End of period $ 0 $ 28,623
</TABLE>
2000 Annual Report See accompanying notes 13
<PAGE>
Schedule of Investments
U.S. Government Sector Portfolio
March 31, 2000
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
<S> <C> <C>
------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 41.4%
------------------------------------------------------------------------------------
Banking & Finance 36.1%
AT&T Capital Corp.
6.310% due 04/23/2002 (d) $ 1,000 $ 1,003
Bear Stearns Co., Inc.
6.596% due 03/28/2003 (d) 7,000 7,004
6.530% due 06/01/2004 (d) 2,000 2,007
Beneficial Corp.
6.300% due 03/01/2002 (d) 5,000 5,006
Bombardier Capital, Inc.
6.671% due 06/09/2032 (d) 2,500 2,477
Caterpillar Finance
6.154% due 02/12/2001 7,000 7,001
Chase Manhattan Corp.
5.820% due 05/15/2001 (d) 3,500 3,496
Ford Motor Credit Corp.
6.195% due 02/13/2003 (d) 3,000 2,993
6.330% due 03/17/2003 (d) 5,000 5,000
General Motors Acceptance Corp.
6.333% due 08/06/2001 (d) 3,500 3,504
6.251% due 04/05/2004 (d) 800 798
Goldman Sachs Group
6.394% due 12/07/2001 (d) 8,000 8,019
Household Bank
6.228% due 10/22/2003 3,000 2,987
International Finance Corp.
7.125% due 04/06/2005 30,000 29,913
Lehman Brothers Holdings, Inc.
6.690% due 04/04/2003 (d) 4,200 4,231
MBNA America Bank NA
6.290% due 04/25/2002 (d) 800 797
6.331% due 11/19/2003 (d) 1,600 1,587
Meridian Funding Co. LLC
6.505% due 07/30/2004 (d) 2,300 2,300
Merrill Lynch & Co.
6.129% due 11/01/2001 (d) 4,000 3,997
Morgan Stanley, Dean Witter, Discover and Co.
6.165% due 01/28/2002 (d) 2,600 2,600
6.290% due 04/22/2004 (d) 5,800 5,795
Paine Webber Group, Inc.
6.721% due 11/27/2000 (d) 1,600 1,599
PNC Bank Corp.
5.778% due 06/01/2000 (d) 7,000 6,999
Protective Life Funding Trust
6.390% due 01/17/2003 (d) 1,500 1,500
---------
112,613
=========
Industrials 1.7%
TCI Communications, Inc.
6.721% due 03/12/2001 (d) 1,500 1,502
Union Pacific Corp.
6.354% due 05/22/2000 (d) 2,500 2,495
Viacom, Inc.
5.875% due 07/15/2000 1,400 1,395
---------
5,392
=========
Utilities 3.6%
Central Power & Light Co.
6.540% due 02/22/2002 (d) 2,000 1,980
Detroit Edison Co.
6.400% due 07/15/2000 500 498
Hughes Electric
7.290% due 10/23/2000 1,400 1,399
System Energy Resources
7.380% due 10/01/2000 1,100 1,099
Texas Utilities Co.
6.725% due 06/25/2001 4,500 4,496
7.105% due 09/24/2001 1,600 1,608
---------
11,080
---------
Total Corporate Bonds & Notes 129,085
(Cost $129,076) =========
------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 13.3%
------------------------------------------------------------------------------------
Federal Home Loan Bank
6.000% due 05/12/2000 (d) 1,200 1,200
6.750% due 02/01/2002 10,000 9,966
Federal National Mortgage Assn.
6.625% due 01/15/2002 10,000 9,947
7.250% due 01/15/2010 0 0
7.125% due 01/15/2030 (h) 20,000 20,269
---------
Total U.S. Government Agencies 41,382
(Cost $41,005) =========
------------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 128.0%
------------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (f)(h) 5,898 5,882
U.S. Treasury Bonds
12.000% due 08/15/2013 5,100 6,898
11.250% due 02/15/2015 (h) 7,600 11,241
10.625% due 08/15/2015 (h) 7,000 9,998
8.750% due 05/15/2017 (h) 168,000 212,310
9.000% due 11/15/2018 (h) 71,800 93,677
8.875% due 02/15/2019 14,300 18,496
8.000% due 11/15/2021 (h) 12,500 15,223
U.S. Treasury Notes
5.125% due 08/31/2000 (b) 3,205 3,191
U.S. Treasury Strips (PO)
0.000% due 02/15/2019 68,500 22,005
---------
Total U.S. Treasury Obligations 398,921
(Cost $390,532) =========
------------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 9.1%
------------------------------------------------------------------------------------
Federal National Mortgage Association 0.2%
7.298% due 12/01/2022 (d) 508 523
---------
Government National Mortgage Association 8.9%
6.375% due 04/20/2023-02/20/2026 (d)(e) 16,679 16,741
6.750% due 07/20/2025-08/20/2026 (d)(e) 3,965 3,976
7.125% due 10/20/2023-10/20/2024 (d)(e) 2,802 2,842
7.500% due 05/22/2030 4,200 4,156
---------
27,715
---------
Total Mortgage-Backed Securities 28,238
(Cost $28,316) =========
------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 6.4%
------------------------------------------------------------------------------------
Metris Master Trust
6.721% due 04/20/2006 (d) 1,700 1,710
Money Store Home Equity Trust
6.065% due 06/15/2029 (d) 1,510 1,511
NPF XII, Inc.
6.588% due 12/01/2003 (d) 10,000 10,000
PacificAmerica Home Equity Loan
6.049% due 06/26/2028 (d) 1,416 1,414
Residential Asset Securities Corp.
7.615% due 01/25/2015 3,922 3,917
WMC Mortgage Loan
6.050% due 06/20/2028 (d) 1,361 1,357
---------
Total Asset-Backed Securities 19,909
(Cost $19,907) =========
------------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.1%
------------------------------------------------------------------------------------
Eurodollar December Futures (CME)
Strike @ 90.75 Exp. 12/18/2000 400 5
U.S. Treasury Bonds June Futures (CBOT)
Strike @ 90.00 Exp. 05/19/2000 93 4
U.S. Treasury Notes June Futures (CBOT)
Strike @ 96.00 Exp. 05/19/2000 700 219
---------
Total Purchased Put Options 228
(Cost $520) =========
</TABLE>
14 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
<S> <C> <C>
------------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 15.9%
------------------------------------------------------------------------------------
Commercial Paper 6.2%
Abbott Laboratories
6.020% due 05/02/2000 $ 8,000 $ 7,961
Commerzbank AG
6.200% due 05/10/2000 430 427
DaimlerChrysler Holdings Corp.
6.100% due 06/29/2000 11,000 10,838
---------
19,226
=========
Repurchase Agreement 9.2%
State Street Bank
5.600% due 04/03/2000 8,729 8,729
(Dated 03/31/2000. Collateralized by
Federal National Mortgage Association
7.050% due 12/01/2004 valued at $8,904
Repurchase proceeds are $8,733.)
Daiwa Securities
6.180% due 04/03/2000 20,000 20,000
(Dated 03/31/2000. Collateralized by
U.S. Treasury Inflation Protected Securities
6.235% due 08/31/2000 valued at $20,424.
Repurchase proceeds are $20,010.)
---------
28,729
=========
U.S. Treasury Bills 0.5%
5.673% due 04/27/2000 (e) 1,721 1,714
---------
Total Short-Term Instruments 49,669
(Cost $49,669) =========
Total Investments (a) 214.2% $ 667,432
(Cost $659,025)
Written Options (c) (0.1%) (276)
(Premiums $383)
Other Assets and Liabilities (Net) (114.1%) (355,504)
---------
Net Assets 100.0% $ 311,652
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $659,416 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 8,795
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (779)
Unrealized appreciation-net $ 8,016
=========
</TABLE>
(b) Securities with an aggregate market value of $4,905
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 2000:
<TABLE>
<CAPTION>
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
------------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 10 Year Note (06/2000) 1,229 $ 2,786
U.S. Treasury 30 Year Note (06/2000) 1,956 (3,906)
Eurodollar June Futures (06/2001) 200 60
Eurodollar March Futures (03/2001) 246 (46)
---------
$ (1,106)
=========
</TABLE>
(c) Premiums received on written options:
<TABLE>
<CAPTION>
# of
Type Contracts Premium Value
------------------------------------------------------------------------------------
<S> <C> <C> <C>
Put - CBOT U.S. Treasury Note June Futures
Strike @ 96.00 Exp. 05/20/2000 75 $ 19 $ 5
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 90.00 Exp. 05/20/2000 500 185 23
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 100.00 Exp. 05/20/200 500 91 242
Put - OTC U.S. Treasury Note
5.500% due 08/2028
Strike @ 84.03 Exp. 05/19/2000 100 88 6
------------------------
$ 383 $ 276
========================
</TABLE>
(d) Variable rate security. The rate listed is as of March 31, 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 March 31, 2000:
<TABLE>
<CAPTION>
Notional Unrealized
Type Amount Depreciation
---------------------------------------------------------------------------------------
<S> <C> <C>
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.600%.
Broker: Warburg Dillon Read LLC
Exp. 01/15/2002 10,600 $ (25)
Receive floating rate based on 3 month LIBOR and
pay fixed rate equal to 7.425%.
Broker: Warburg Dillon Read LLC
Exp. 02/01/2002 10,300 (49)
-----------
$ (74)
===========
</TABLE>
(h) Subject to financing transaction.
2000 Annual Report See accompanying notes 15
<PAGE>
Schedule of Investments
Mortgage Portfolio
March 31, 2000
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
<S> <C> <C>
------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 12.4%
------------------------------------------------------------------------------------
Banking & Finance 9.9%
AESOP Funding II LLC
6.220% due 10/20/2001 $ 3,000 $ 2,999
Bear Stearns Co., Inc.
6.415% due 05/16/2003 (d) 1,400 1,399
Beneficial Corp.
6.300% due 03/01/2002 (d) 7,000 7,009
Caterpillar Finance
6.154% due 02/12/2001 7,000 7,001
Conseco Finance Securitization
6.940% due 11/15/2014 (d) 5,000 4,996
6.305% due 10/15/2030 (d) 2,898 2,888
6.390% due 02/15/2031 (d) 1,000 997
Credit Suisse First Boston Mortgage
8.071% due 11/15/2001 3,795 3,796
Donaldson, Lufkin & Jenrette
6.530% due 03/15/2002 1,600 1,600
6.400% due 09/18/2002 (d) 2,000 1,998
Finova Capital Corp.
6.720% due 11/08/2002 (d) 3,500 3,513
Ford Motor Credit Corp.
6.370% due 11/24/2003 (d) 3,000 3,006
General Electric Capital Corp.
6.320% due 05/19/2000 (d) 5,100 5,012
General Motors Acceptance Corp.
6.259% due 02/14/2003 (d) 4,500 4,500
Goldman Sachs Group
6.390% due 12/07/2001 (d) 1,600 1,604
Government Lease Trust
5.860% due 04/18/2003 1,971 1,931
Green Tree Financial Corp.
6.470% due 01/15/2029 1,105 1,105
Heller Financial, Inc.
6.370% due 10/22/2001 (d) 600 602
6.390% due 03/20/2002 (d) 1,800 1,793
6.360% due 06/10/2002 3,000 2,999
Household Bank
6.228% due 10/22/2003 7,000 6,970
J.P. Morgan Commercial Mortgage Finance Corp.
6.180% due 10/15/2035 1,433 1,362
Lehman Brothers Holdings, Inc.
6.904% due 04/02/2002 (d) 3,900 3,923
6.421% due 09/03/2002 2,900 2,873
6.690% due 12/12/2002 (d) 1,700 1,705
MBNA Corp.
6.270% due 06/12/2000 (d) 2,000 2,001
Merrill Lynch Mortgage Investments, Inc.
5.650% due 12/15/2030 0 0
Morgan Stanley, Dean Witter, Discover and Co.
6.310% due 02/21/2003 (d) 1,500 1,502
Protective Life Funding Trust
6.390% due 01/17/2003 (d) 2,000 2,000
Racers
6.360% due 03/03/2003 (d) 8,200 8,200
Standard Chartered Bank
6.500% due 07/29/2049 1,500 1,025
6.275% due 12/29/2049 3,200 2,208
U.S. Bancorp
6.279% due 02/03/2003 (d) 3,000 2,999
WFS Financial Owner Trust
6.900% due 12/20/2003 453 454
---------
97,970
=========
Industrials 0.8%
Coastal Corp.
10.375% due 10/01/2000 2,670 2,709
Engelhard Corp.
6.640% due 08/29/2000 5,000 4,991
---------
7,700
=========
Utilities 1.7%
Arizona Public Service
6.816% due 10/15/2001 (d) 2,800 2,800
Central Power & Light Co.
6.540% due 02/22/2002 (d) 5,000 4,950
Public Service Enterprise Group, Inc.
6.330% due 11/22/2000 (d) 3,000 3,000
Texas Utilities Co.
6.310% due 04/24/2000 (d) 4,900 4,900
7.571% due 09/24/2001 1,000 1,005
---------
16,655
---------
Total Corporate Bonds & Notes 122,325
(Cost $122,460) =========
------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 0.6%
------------------------------------------------------------------------------------
Federal Home Loan Bank
6.000% due 05/12/2000 (d) 3,000 3,000
Student Loan Marketing Assn.
6.149% due 04/25/2006 (d) 1,427 1,422
6.259% due 01/25/2007 (d) 965 964
---------
Total U.S. Government Agencies 5,386
(Cost $5,368) =========
------------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 0.0%
------------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (f) 105 105
U.S. Treasury Notes
5.125% due 08/31/2000 80 80
---------
Total U.S. Treasury Obligations 185
(Cost $184) =========
------------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 126.5%
------------------------------------------------------------------------------------
Collateralized Mortgage Obligations 34.6%
ABN AMRO Mortgage Corp.
6.750% due 09/25/2028 4,942 4,596
6.500% due 06/25/2029 1,400 1,271
American Southwest Financial Securities Corp.
7.248% due 11/25/2038 1,634 1,554
Bank of America Mortgage Securities, Inc.
6.250% due 07/25/2014 969 899
6.650% due 07/25/2028 870 858
6.500% due 05/25/2029 1,000 907
Bear Stearns Mortgage Securities, Inc.
7.000% due 01/25/2028 13,886 13,190
7.000% due 02/25/2028 2,500 2,375
Capital Asset Research Funding LP
5.905% due 12/15/2005 428 427
Cendant Mortgage Corp.
6.750% due 05/18/2012 3,125 3,021
7.250% due 05/18/2013 1,500 1,467
6.500% due 01/15/2016 1,430 1,407
Chase Mortgage Finance Corp.
6.500% due 07/25/2028 (d) 1,656 1,634
6.100% due 02/25/2029 4,342 4,241
6.350% due 07/25/2029 1,000 977
Citicorp Mortgage Securities, Inc.
6.000% due 01/25/2009 1,574 1,551
6.500% due 03/25/2029 2,000 1,817
CMC Securities Corporation III
6.150% due 05/25/2028 1,900 1,875
Collateralized Mortgage Securities Corp.
10.950% due 02/01/2014 1,045 1,046
Commercial Mortgage Asset Trust
6.250% due 08/17/2006 1,420 1,355
CS First Boston Mortgage Securities
6.960% due 06/20/2029 1,704 1,688
DLJ Mortgage Acceptance Corp.
7.431% due 11/25/2023 896 901
</TABLE>
16 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
<S> <C> <C>
Federal Home Loan Mortgage Corp.
9.000% due 12/15/2020 $ 385 $ 397
6.250% due 01/15/2021 313 302
9.000% due 02/15/2021 5,528 5,694
6.000% due 04/15/2021 9,000 8,648
6.500% due 08/15/2023 863 845
6.800% due 02/15/2024 1,326 1,163
6.504% due 02/15/2028 (d) 5,513 5,488
6.354% due 07/15/2028 (d) 9,945 9,910
6.500% due 08/15/2028 886 735
6.000% due 11/25/2028 542 457
6.500% due 03/15/2029 2,700 2,505
7.000% due 09/17/2031 5,042 4,980
6.098% due 08/15/2032 (d) 12,438 11,943
Federal National Mortgage Assn.
6.500% due 05/25/2008 500 490
6.350% due 06/25/2020 1,000 933
6.000% due 08/25/2023 1,439 1,164
6.500% due 09/18/2023 4,163 4,085
6.500% due 02/25/2024 1,000 906
7.500% due 11/20/2026 4,463 4,347
7.000% due 11/25/2026 2,524 2,340
6.500% due 06/25/2028 2,000 1,792
6.000% due 07/18/2028 6,519 5,052
8.000% due 11/18/2029 2,843 2,974
6.500% due 12/17/2035 12,743 10,433
First Nationwide Trust
6.500% due 03/25/2029 1,200 1,105
General Capital Mortgage Services, Inc.
7.000% due 11/25/2007 1,325 1,298
6.350% due 05/25/2029 1,800 1,703
General Electric Capital Mortgage Services, Inc.
7.500% due 03/25/2027 2,800 2,711
7.000% due 11/25/2027 15,143 14,392
6.500% due 05/25/2029 900 818
General Motors Acceptance Corp.
6.411% due 11/15/2007 0 0
6.700% due 03/15/2008 4,400 4,164
GMAC Commercial Mortgage Securities, Inc.
6.476% due 09/20/2005 (d) 1,100 1,100
7.151% due 02/15/2008 (d) 1,359 1,345
6.945% due 09/15/2033 2,000 1,898
Government National Mortgage Assn.
1.000% due 11/01/2013 3,081 3,284
7.250% due 12/16/2023 7,043 7,010
7.000% due 07/16/2026 1,292 1,223
6.500% due 03/20/2029 2,400 2,150
6.500% due 08/20/2029 13,808 12,401
Guardian Savings & Loan Assn.
7.754% due 07/25/2019 103 103
J.P. Morgan Commercial Mortgage Finance Corp.
6.533% due 01/15/2030 30,000 28,593
LTC Commercial Mortgage
6.029% due 05/28/2030 1,507 1,427
Mellon Residential Funding Corp.
6.580% due 07/25/2029 3,000 2,969
Merrill Lynch Mortgage
7.071% due 12/26/2025 300 293
6.220% due 02/15/2030 1,695 1,636
Morgan Stanley Capital
6.190% due 01/15/2007 4,576 4,398
6.160% due 04/03/2009 233 222
Mortgage Capital Funding, Inc.
6.325% due 10/18/2007 1,776 1,705
Nationslink Funding Corp.
6.333% due 10/22/2004 2,544 2,480
Norwest Asset Securities Corp.
7.250% due 10/25/2027 2,800 2,710
6.500% due 01/25/2029 2,000 1,845
6.000% due 07/25/2029 2,000 1,861
PHH Mortgage Services Corp.
7.182% due 11/18/2027 1,932 1,884
PNC Mortgage Securities Corp.
7.000% due 12/25/2027 2,500 2,331
6.750% due 04/25/2029 200 186
Prudential Home Mortgage Securities
6.000% due 02/25/2009 19,735 17,627
6.800% due 05/25/2024 747 676
Prudential Securities Secured Financing Corp.
7.000% due 09/25/2020 2,025 1,992
Residential Funding Mortgage Securities, Inc.
6.500% due 12/25/2012 9,063 8,553
8.344% due 03/25/2025 (d) 1,142 1,163
7.000% due 03/25/2026 1,786 1,712
7.000% due 12/25/2027 2,925 2,732
6.750% due 03/25/2028 2,000 1,864
6.500% due 01/25/2029 7,000 6,361
6.500% due 03/25/2029 5,000 4,563
6.500% due 04/25/2029 600 545
7.500% due 11/25/2029 3,000 2,868
RMF Commercial Mortgage
7.100% due 11/28/2027 1,809 1,774
Salomon Brothers Mortgage Securities
7.669% due 11/25/2022 (d) 468 468
6.575% due 09/25/2027 3,000 2,986
Securitized Asset Sales, Inc.
7.000% due 07/25/2024 844 840
Starwood Commercial Mortgage
6.600% due 02/03/2009 1,391 1,348
Structured Asset Mortgage Investments, Inc.
6.650% due 05/25/2022 15,670 15,287
7.247% due 02/25/2030 6,653 6,438
Structured Asset Securities Corp.
5.760% due 12/25/2000 (d) 1,206 1,205
6.875% due 02/25/2030 (d) 3,885 3,921
Union Planters Mortgage Finance Corp.
6.600% due 01/25/2028 4,000 3,903
Vendee Mortgage Trust
6.500% due 03/15/2029 2,500 2,214
Washington Mutual, Inc.
7.500% due 11/19/2029 2,000 1,934
---------
340,859
=========
Federal Home Loan Mortgage Corporation 9.2%
5.000% due 12/01/2001 2 2
5.500% due 04/13/2030 800 707
6.000% due 09/01/2006-04/13/2030 (g) 11,497 10,542
6.250% due 04/01/2003-01/15/2006 (g) 396 392
6.341% due 01/01/2028 (d) 1,928 1,886
6.415% due 04/24/2030 8,100 8,090
6.500% due 03/01/2005-04/15/2028 (g) 5,688 4,707
7.000% due 09/01/2006-04/13/2030 (g) 29,299 28,546
7.186% due 02/01/2027 (d) 4,582 4,681
7.200% due 10/01/2006 5,381 5,284
7.228% due 10/01/2024 816 821
7.301% due 09/01/2026 (d) 3,760 3,871
7.342% due 06/01/2024 (d) 429 440
7.375% due 09/25/2024 1,100 1,085
7.400% due 02/01/2021 2,945 2,936
7.413% due 03/01/2027 599 614
7.450% due 03/25/2022 2,503 2,498
7.500% due 07/01/2009 243 241
7.950% due 01/01/2022 4,730 4,791
8.000% due 01/01/2005-11/01/2013 (g) 3,513 3,522
8.250% due 06/01/2008-12/01/2008 (g) 389 394
8.500% due 07/01/2008-12/01/2008 (g) 261 264
9.500% due 07/01/2004-12/15/2020 (g) 4,401 4,560
---------
90,874
=========
Federal Housing Administration 6.2%
6.875% due 12/01/2016 727 698
6.896% due 07/01/2020 942 885
7.100% due 12/26/2030 2,500 2,458
7.400% due 03/15/2019 2,677 2,659
7.430% due 07/01/2018-07/01/2025 (g) 45,804 44,243
7.500% due 12/01/2030-09/01/2034 (g) 2,124 2,047
7.625% due 12/01/2016 468 469
7.750% due 01/01/2016-05/01/2028 (g) 1,346 1,331
8.400% due 09/01/2016 3,231 3,306
8.440% due 03/01/2017 3,049 3,094
---------
61,190
=========
</TABLE>
2000 Annual Report See accompanying notes 17
<PAGE>
Schedule of Investments (Cont.)
Mortgage Portfolio
March 31, 2000
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
<S> <C> <C>
Federal National Mortgage Association 6.1%
5.500% due 04/13/2030 $ 14,000 $ 12,220
6.000% due 04/01/2004-10/01/2028 (g) 3,224 3,020
6.100% due 08/25/2021 4,966 4,867
6.250% due 07/01/2003 137 135
6.255% due 09/01/2013 1,000 926
6.500% due 07/25/2015-06/17/2038 (g) 10,871 9,572
6.750% due 11/01/2007 93 91
6.784% due 01/01/2027 1,925 1,886
7.052% due 08/01/2009 1,792 1,735
7.131% due 09/01/2007 4,597 4,524
7.219% due 11/01/2025 (d) 1,380 1,412
7.250% due 01/01/2003-10/01/2011 (g) 449 444
7.430% due 01/25/2023 3,558 3,474
7.750% due 02/01/2008 169 170
7.875% due 12/01/2023 1,776 1,771
7.896% due 01/01/2024 (d) 187 191
8.014% due 03/01/2024 (d) 258 262
8.247% due 02/01/2024 568 586
8.250% due 05/01/2001 16 17
8.750% due 04/01/2018 40 41
9.250% due 05/01/2010 98 102
9.500% due 11/25/2020 11,864 12,367
---------
59,813
=========
Government National Mortgage Association 69.3%
1.000% due 05/24/2030 (d) 30,000 30,019
5.650% due 10/20/2018 1,331 1,289
6.000% due 04/19/2030 13,700 12,536
6.250% due 03/16/2029 2,500 2,197
6.375% due 01/20/2022-05/20/2028 (d)(g) 34,108 34,104
6.500% due 09/15/2023-06/26/2030 (d)(g) 110,455 107,300
6.518% due 06/16/2026-02/16/2030 (d)(g) 3,773 3,770
6.618% due 02/16/2030 (d) 1,265 1,267
6.668% due 02/16/2030 (d) 1,279 1,283
6.720% due 11/15/2000 1,434 1,417
6.750% due 07/20/2020-08/20/2027 (d)(g) 38,645 38,809
7.000% due 04/20/2017-04/19/2030 (g) 35,671 34,562
7.125% due 11/20/2021-10/20/2027 (d)(g) 64,482 65,301
7.500% due 10/15/2021-05/22/2030 (g) 183,774 182,102
8.000% due 09/15/2005-06/22/2030 (g) 164,965 166,825
---------
682,781
=========
Other Mortgage-Backed Securities 0.7%
CDC Depositor Trust I
6.211% due 01/15/2003 (d) 2,543 2,534
DLJ Mortgage Acceptance Corp.
7.580% due 02/12/2006 2,700 2,703
Mid-State Trust
8.330% due 04/01/2030 877 898
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 334 335
TIAA Retail Commercial Mortgage
7.170% due 04/15/2008 985 968
---------
7,438
=========
Stripped Mortgage-Backed Securities 0.4%
Chase Mortgage Finance Corp. (PO)
0.000% due 01/25/2030 116 71
Collateralized Mortgage Obligation Trust (PO)
0.000% due 09/23/2017 53 41
Federal Home Loan Mortgage Corp. (IO)
6.500% due 07/15/2006 516 26
6.500% due 08/15/2006 183 4
6.500% due 11/15/2006 303 7
6.500% due 01/15/2023 2,022 261
Federal National Mortgage Association (PO)
0.000% due 04/25/2023 4,360 1,836
Federal National Mortgage Association (IO)
7.000% due 04/25/2008 1,006 121
6.000% due 07/25/2008 189 6
7.000% due 08/25/2019 822 58
6.500% due 09/25/2021 724 84
6.500% due 03/25/2022 2,768 314
Government National Mortgage Association (PO)
0.000% due 02/26/2019 898 795
---------
3,624
---------
Total Mortgage-Backed Securities 1,246,579
(Cost $1,236,361) =========
------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 9.7%
------------------------------------------------------------------------------------
Aames Mortgage Trust
7.055% due 06/15/2028 2,000 1,856
Advanta Mortgage Loan Trust
7.075% due 05/25/2027 5,000 4,997
American Residential Eagle Trust
6.229% due 04/25/2029 1,609 1,611
Amresco Residential Securities Mortgage Loan Trust
7.629% due 09/25/2028 (d) 1,000 963
Argentina Funding Corp.
6.068% due 05/20/2003 (d) 1,000 1,001
Bayview Financial Acquisition
6.258% due 03/25/2030 (d) 8,378 8,378
Bridgestone/Firestone Master Trust
6.170% due 07/01/2003 940 939
Captec Franchise Trust
7.892% due 10/15/2010 6,000 5,956
Circuit City Credit Master Trust
6.109% due 02/15/2006 (d) 4,000 4,002
Delta Funding Home Equity Loan
6.414% due 09/15/2029 (d) 965 970
Denver Arena Trust
6.940% due 11/15/2019 4,869 4,420
DVI Business Credit Receivable
6.663% due 10/15/2003 (d) 2,000 2,023
EQCC Home Equity Loan Trust
6.235% due 04/15/2008 60 60
6.050% due 02/25/2010 2,714 2,696
6.164% due 10/15/2027 (d) 1,058 1,057
5.770% due 03/20/2029 830 824
Fingerhut Master Trust
6.685% due 02/15/2005 5,000 4,978
GMAC Mortgage Corp.
7.930% due 03/25/2030 5,000 4,989
Green Tree Financial Corp.
7.860% due 04/01/2031 1,100 1,125
Green Tree Floorplan Receivables Master Trust
6.339% due 11/13/2003 (d) 2,500 2,515
Green Tree Home Improvement Loan
6.055% due 08/15/2029 (d) 816 815
Greenpoint Manufactured Housing
6.750% due 04/15/2011 13,346 13,258
IMC Home Equity Loan Trust
6.310% due 12/20/2012 260 259
Metropolitan Asset Funding, Inc.
6.339% due 04/25/2029 (d) 443 440
MLCC Mortgage Investors, Inc.
6.384% due 03/15/2025 (d) 955 959
Pacific Southwest Bank
6.060% due 06/15/2002 428 426
PacificAmerica Home Equity Loan
6.049% due 06/26/2028 (d) 1,133 1,131
Salomon Brothers Mortgage Securities
6.305% due 12/15/2029 (d) 13,596 13,604
6.219% due 12/25/2029 (d) 3,781 3,754
Saxon Asset Securities Trust
6.355% due 05/25/2029 (d) 1,515 1,511
WFS Financial Owner Trust
6.411% due 07/20/2002 2,745 2,741
WMC Mortgage Loan Trust
6.281% due 03/20/2028 (d) 502 502
6.242% due 06/20/2028 (d) 907 904
---------
Total Asset-Backed Securities 95,664
(Cost $95,487) =========
</TABLE>
18 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
<S> <C> <C>
------------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 4.4%
------------------------------------------------------------------------------------
Commercial Paper 3.6%
Bayerische Landesbank
6.000% due 05/17/2000 $ 3,500 $ 3,475
British Telecommunications plc
6.120% due 05/26/2000 1,300 1,288
Coca Cola Co.
6.120% due 06/07/2000 1,900 1,878
Commerzbank AG
6.000% due 05/10/2000 2,000 1,988
DaimlerChrysler Holdings Corp.
6.100% due 06/29/2000 12,000 11,824
Exxon Corp.
6.050% due 04/14/2000 15,000 14,973
Xerox Corp.
5.990% due 06/12/2000 200 198
---------
$ 35,624
=========
Repurchase Agreement 0.8%
State Street Bank
5.600% due 04/03/2000 7,550 7,550
(Dated 03/31/2000. Collateralized by ---------
Federal Home Loan Mortgage
Corporation 5.150% due 02/02/2001 valued at $7,701.
Repurchase proceeds are $7,554.)
U.S. Treasury Bills 0.0%
5.712% due 04/27/2000 320 319
---------
Total Short-Term Instruments 43,493
(Cost $43,493) =========
Total Investments (a) 153.6% $1,513,632
(Cost $1,503,353)
Written Options (c) (0.0%) (192)
(Premium $182)
Other Assets and Liabilities (Net) (53.6%) (527,877)
---------
Net Assets 100.0% $ 985,563
=========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $1,503,350 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 12,490
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (2,208)
---------
Unrealized appreciation-net $ 10,282
=========
(b) Securities with an aggregate market value of $398
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 2000:
<CAPTION>
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
-------------------------------------------------------------------------------------
<S> <C> <C>
U.S. Agency 5 Year Note (06/2000) 50 $ (11)
U.S. Agency 10 Year Note (06/2000) 80 18
U.S. Treasury 5 Year Note (06/2000) 50 22
U.S. Treasury 10 Year Note (06/2000) 180 (217)
-------------
$ (188)
=============
(c) Premiums received on written options:
<CAPTION>
# of
Type Contracts Premium Value
------------------------------------------------------------------------------------
Put - OTC Federal National Mortgage Assn.
8.000% due 05/2030
Strike @ 99.312 Exp. 05/08/2000 250 $ 78 $ 47
Put - OTC Federal National Mortgage Assn.
8.000% due 05/2030
Strike @ 99.297 Exp. 05/08/2000 50 16 9
Call - OTC Federal National Mortgage Assn.
7.500% due 04/2030
Strike @ 98.359 Exp. 04/06/2000 250 88 136
----------------------------
$ 182 $ 192
============================
(d) Variable rate security. The rate listed is as of March 31, 2000.
(e) Swap agreements outstanding at March 31, 2000:
<CAPTION>
Fixed Unrealized
Spread Notional Appreciation/
Type (%) Amount Depreciation
------------------------------------------------------------------------------------
<S> <C> <C> <C>
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 $ 96
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 13,000 213
-------------
$ 309
=============
(f) Principal amount of the security is adjusted for inflation.
(g) Securities are grouped by coupon or range of coupon and represent a
range of maturities.
</TABLE>
2000 Annual Report See accompanying notes 19
<PAGE>
Schedule of Investments
Investment Grade Corporate Portfolio
March 31, 2000
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
<S> <C> <C>
------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 89.1%
------------------------------------------------------------------------------------
Banking & Finance 36.1%
Aristar, Inc.
7.375% due 09/01/2004 $ 1,800 $ 1,781
Associates Corp. of North America
5.750% due 11/01/2003 1,800 1,705
5.800% due 04/20/2004 2,500 2,353
AT&T Capital Corp.
7.000% due 08/15/2001 300 299
6.900% due 01/30/2002 1,400 1,388
Bear Stearns Co., Inc.
6.200% due 03/30/2003 2,000 1,923
6.150% due 03/02/2004 1,300 1,234
Beneficial Corp.
8.400% due 05/15/2008 140 149
Bombardier Capital, Inc.
7.500% due 08/15/2004 11,300 11,173
Capital One Bank
6.760% due 07/23/2002 400 392
CIT Holdings LLC
6.875% due 02/16/2005 1,500 1,459
Countrywide Home Loans
6.850% due 06/15/2004 3,500 3,402
Credit Asset Receivable
6.274% due 10/31/2003 419 409
Deutsche Bank Capital Trust I
7.872% due 12/29/2049 6,000 5,705
Diageo Capital PLC
6.625% due 06/24/2004 2,000 1,951
Dresdner Funding Trust I
8.151% due 06/30/2031 6,970 6,539
Duke Capital Corp.
7.250% due 10/01/2004 700 692
Finova Capital Corp.
6.080% due 03/12/2002 1,750 1,676
Ford Motor Credit Corp.
5.800% due 01/12/2009 525 465
General Motors Acceptance Corp.
5.630% due 01/15/2003 1,700 1,623
5.875% due 01/22/2003 4,900 4,702
5.550% due 09/15/2003 4,000 3,775
6.850% due 06/17/2004 3,000 2,926
Goldman Sachs Group
5.900% due 01/15/2003 1,000 958
Household Finance Corp.
7.000% due 08/01/2003 3,300 3,246
6.000% due 05/01/2004 3,600 3,409
KBC Bank Fund Trust III
9.860% due 11/29/2049 (b) 5,000 5,303
Korea Development Bank
7.900% due 02/01/2002 1,000 997
7.625% due 10/01/2002 4,000 3,945
7.125% due 04/22/2004 2,000 1,921
7.375% due 09/17/2004 2,000 1,935
LG&E Capital Corp.
6.205% due 05/01/2004 1,000 954
Limestone Electron Trust
8.625% due 03/15/2003 4,000 4,024
Marsh & McLennan Co., Inc.
6.625% due 06/15/2004 1,000 967
MBNA America Bank NA
6.875% due 07/15/2004 800 773
National City Corp.
6.875% due 05/15/2019 415 371
Nordbanken
7.250% due 11/12/2009 2,700 2,621
Osprey Trust
8.310% due 01/15/2003 5,300 5,297
Popular North American, Inc.
7.375% due 09/15/2001 900 895
Sanwa Finance Aruba AEC
8.350% due 07/15/2009 3,900 3,887
Sears Roebuck Acceptance
6.620% due 07/09/2002 900 887
6.990% due 09/30/2002 600 591
6.250% due 05/01/2009 5,000 4,448
Societe Generale
9.875% due 07/15/2003 1,900 2,022
Sprint Spectrum LP
0.000% due 08/15/2006 (d) 200 190
Sumitomo Bank Treasury Co.
9.400% due 12/29/2049 (b) 6,000 6,008
Westdeutsche Landesbank
6.050% due 01/15/2009 1,000 895
---------
114,265
=========
Industrials 38.6%
Amerco, Inc.
7.200% due 04/01/2002 1,000 970
American Airlines
9.710% due 01/30/2007 2,569 2,666
American Express Travel
5.625% due 01/22/2004 8,000 7,521
Cox Communications, Inc.
7.000% due 08/15/2001 1,000 991
Cox Enterprises, Inc.
8.000% due 02/15/2007 2,000 1,991
Crown Cork & Seal Co.
7.125% due 09/01/2002 2,000 1,949
6.750% due 04/15/2003 3,000 2,869
Dana Corp.
6.250% due 03/01/2004 2,000 1,898
Delphi Auto Systems Corp.
6.125% due 05/01/2004 1,500 1,405
Delta Air Lines, Inc.
10.570% due 01/02/2007 7,006 7,988
10.430% due 01/02/2011 652 738
10.140% due 08/14/2012 4,000 4,523
10.500% due 04/30/2016 3,400 4,051
Fred Meyer, Inc.
7.375% due 03/01/2005 15,000 14,642
Harrahs Operating Co., Inc.
7.500% due 01/15/2009 3,000 2,773
Hertz Corp.
6.500% due 05/15/2006 1,000 940
Houghton Mifflin Co.
5.970% due 12/03/2001 1,000 973
ICI Wilmington
7.500% due 01/15/2002 2,000 1,994
J Seagram & Sons
6.250% due 12/15/2001 700 683
Lehman Brothers Holdings, Inc.
8.800% due 03/01/2015 700 745
Mandalay Resort Group
6.450% due 02/01/2006 2,500 2,098
Marlin Water Trust
7.090% due 12/15/2001 2,597 2,558
Occidental Petroleum
6.400% due 04/01/2003 2,000 1,907
Owens Corning
7.500% due 05/01/2005 500 470
Philip Morris Cos., Inc.
7.250% due 09/15/2001 2,400 2,351
7.625% due 05/15/2002 1,400 1,368
6.800% due 12/01/2003 3,000 2,821
7.125% due 10/01/2004 2,000 1,879
6.375% due 02/01/2006 1,500 1,323
Raytheon Co.
6.500% due 07/15/2005 3,000 2,831
Reliant Energy, Inc.
6.375% due 11/01/2003 2,000 1,897
Rohm & Haas Co.
6.950% due 07/15/2004 2,500 2,470
Spieker Properties LP
8.000% due 07/19/2005 500 496
Time Warner, Inc.
7.975% due 08/15/2004 3,408 3,469
8.180% due 08/15/2007 2,717 2,800
6.850% due 01/15/2026 300 295
</TABLE>
20 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
================================================================================
TRW, Inc.
6.625% due 06/01/2004 $ 4,200 $ 3,975
United Air Lines, Inc.
9.000% due 12/15/2003 3,000 3,032
11.080% due 03/26/2010 14,790 15,650
11.080% due 03/26/2011 2,835 3,074
Vodafone AirTouch PLC
7.625% due 02/15/2005 3,000 3,030
--------
122,104
========
Utilities 14.4%
Cincinnati Gas & Electric Co.
6.450% due 02/15/2004 3,000 2,868
Cleveland Electric Illuminum Co.
7.130% due 07/01/2007 150 142
Detroit Edison Co.
7.500% due 02/01/2005 3,000 3,004
K N Energy, Inc.
6.450% due 11/30/2001 7,685 7,551
Long Island Lighting Co.
8.200% due 03/15/2023 2,000 1,996
MCI WorldCom, Inc.
6.125% due 08/15/2001 2,000 1,975
6.125% due 04/15/2002 3,100 3,023
8.875% due 01/15/2006 1,800 1,876
Niagara Mohawk Power
6.875% due 03/01/2001 1,000 995
7.125% due 07/01/2001 2,193 2,163
5.875% due 09/01/2002 1,750 1,685
7.250% due 10/01/2002 3,402 3,327
7.375% due 07/01/2003 1,512 1,475
7.625% due 10/01/2005 113 111
PP&L, Inc.
7.700% due 11/15/2002 2,800 2,761
Sprint Capital Corp.
5.875% due 05/01/2004 3,690 3,495
Texas Utilities Co.
5.940% due 10/15/2001 3,600 3,529
TXU Eastern Funding
6.150% due 05/15/2002 2,700 2,613
Western Resources, Inc.
6.250% due 08/15/2003 1,000 861
--------
45,450
--------
Total Corporate Bonds & Notes 281,819
(Cost $280,431) ========
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 1.3%
--------------------------------------------------------------------------------
U.S. Treasury Notes
6.500% due 08/15/2005 (e) 4,000 4,026
--------
Total U.S. Treasury Obligations 4,026
(Cost $4,006) ========
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 1.5%
--------------------------------------------------------------------------------
Delta Air Lines Equipment Trust
10.430% due 01/02/2011 736 799
Denver Arena Trust
6.940% due 11/15/2019 3,116 2,829
United Air Lines Equipment Trust
10.850% due 02/19/2015 1,000 1,157
--------
Total Asset-Backed Securities 4,785
(Cost $4,735) ========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 7.1%
--------------------------------------------------------------------------------
Commercial Paper 6.7%
Associates First Capital
6.090% due 06/29/2000 5,000 4,926
DaimlerChrysler Holdings Corp.
6.100% due 06/29/2000 15,000 14,779
KFW International Finance Corp.
6.060% due 06/22/2000 500 493
Procter & Gamble Co.
6.080% due 06/02/2000 1,000 990
--------
21,188
========
Principal
Amount Value
(000s) (000s)
================================================================================
Repurchase Agreement 0.4%
State Street Bank
5.600% due 04/03/2000 $ 1,404 $ 1,404
(Dated 03/31/2000. Collateralized by --------
Federal Home Loan Mortgage Corporation
5.750% due 05/15/2001 valued at $1,432.
Repurchase proceeds are $1,405.)
Total Short-Term Instruments 22,592
(Cost $22,592) ========
Total Investments (a) 99.0% $313,222
(Cost $311,764)
Other Assets and Liabilities (Net) 1.0% 3,057
--------
Net Assets 100.0% $316,279
========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $311,764 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 2,186
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (728)
--------
Unrealized appreciation-net $ 1,458
========
(b) Variable rate security. The rate listed is as of March 31, 2000.
(c) Swap agreements outstanding at March 31, 2000:
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 $ 24
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 4,000 65
----------
$ 89
----------
(d) Security becomes interest bearing at a future date.
(e) Subject to financing transaction.
2000 Annual Report See accompanying notes 21
<PAGE>
Schedule of Investments
International Portfolio
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
AUSTRALIA (e)(f) 5.7%
--------------------------------------------------------------------------------
Bankers Trust Australia
6.409% due 06/02/2008 (d) $ 7,700 $ 7,473
Commonwealth of Australia
8.750% due 08/15/2008 (j) A$ 3,500 2,445
7.500% due 09/15/2009 (j) 50,000 32,737
General Motors Acceptance Corp.
3.967% due 03/25/2002 (d) EC 14,300 13,683
Registered Australian Mortgage Securities
4.017% due 09/26/2032 (d) 9,400 8,989
-------
Total Australia 65,327
(Cost $66,095) =======
--------------------------------------------------------------------------------
CANADA (e)(f) 1.1%
--------------------------------------------------------------------------------
Beneficial Canada, Inc.
6.350% due 04/01/2002 C$ 4,070 2,797
City of Montreal
11.500% due 09/20/2000 1,500 1,060
Commonwealth of Canada
9.000% due 12/01/2004 (j) 245 188
8.000% due 06/01/2027 500 450
Newcourt Credit Group
8.250% due 09/15/2000 7,400 5,152
Royal Bank of Canada
6.198% due 02/07/2005 (d) $ 2,500 2,496
-------
Total Canada 12,143
(Cost $12,223) =======
--------------------------------------------------------------------------------
CAYMAN ISLANDS(e)(f) 0.8%
--------------------------------------------------------------------------------
MBNA American Euro
3.589% due 05/19/2004 (d) EC 10,000 9,548
-------
Total Cayman Islands 9,548
(Cost $10,620) =======
--------------------------------------------------------------------------------
CROATIA (e)(f) 0.1%
--------------------------------------------------------------------------------
Republic of Croatia
7.000% due 03/28/2005 EC 1,470 1,391
-------
Total Croatia 1,391
(Cost $1,414) =======
--------------------------------------------------------------------------------
DENMARK (e)(f) 0.1%
--------------------------------------------------------------------------------
Danske Kredit Mortgage
5.000% due 10/01/202 DK 2,532 288
Realkredit Danmark Mortgage
5.000% due 10/01/2029 3,485 396
-------
Total Denmark 684
(Cost $801) =======
--------------------------------------------------------------------------------
FRANCE (e)(f) 0.7%
--------------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 1,385 1,312
Compagnie Financiere de CIC-UE
6.886% due 10/29/2049 (d) $ 3,700 3,561
Republic of France
3.000% due 07/25/2009 (h) EC 3,739 3,371
-------
Total France 8,244
(Cost $8,946) =======
--------------------------------------------------------------------------------
GERMANY (e)(f) 6.3%
--------------------------------------------------------------------------------
Depfa Pfandbriefbank
5.500% due 01/15/2010 EC 40,000 37,651
Hypothekenbank in Essen AG
4.750% due 08/11/2008 (j) 4,420 3,986
Republic of Germany
5.375% due 01/04/2010 (j) 13,150 12,716
4.750% due 07/04/2028 (j) 21,250 17,760
-------
Total Germany 72,113
(Cost $73,080) =======
Principal
Amount Value
(000s) (000s)
================================================================================
--------------------------------------------------------------------------------
GREECE (e)(f) 5.1%
--------------------------------------------------------------------------------
CSFP Credit
6.601% due 11/19/2004 (d) $ 29,450 $ 29,715
Hellenic Finance
2.000% due 07/15/2003 EC 2,400 2,302
Hellenic Republic
6.684% due 06/06/2001 (d) $ 16,300 16,566
10.200% due 05/19/2003 (d) GD 1,100,000 3,254
10.180% due 06/17/2003 (d) 1,611,700 4,770
10.240% due 10/23/2003 (d) 710,400 2,120
----------
Total Greece 58,727
(Cost $61,488) ==========
--------------------------------------------------------------------------------
ITALY (e)(f) 3.7%
--------------------------------------------------------------------------------
Island Finance
4.326% due 03/30/2015 (d) EC 4,800 4,591
Republic of Italy
4.250% due 11/01/2009 (j) 7,230 6,317
5.250% due 11/01/2029 (j) 35,010 30,840
----------
Total Italy 41,748
(Cost $41,909) ==========
--------------------------------------------------------------------------------
JAPAN (e)(f) 0.6%
--------------------------------------------------------------------------------
International Credit Receivable Japan 1 Tranche A
0.478% due 11/22/2004 (d) JY 163,222 1,589
International Credit Receivable Japan 1 Tranche B
0.578% due 11/22/2004 (d) 230,000 2,240
SHL Corp. Ltd.
0.571% due 12/25/2024 (d) 208,963 2,035
0.871% due 12/25/2024 (d) 116,000 1,130
----------
Total Japan 6,994
(Cost $6,539) ==========
--------------------------------------------------------------------------------
MEXICO (e)(f) 1.1%
--------------------------------------------------------------------------------
United Mexican States
5.000% due 09/30/2002 JY 1,194,000 12,028
----------
Total Mexico 12,028
(Cost $11,979) ==========
--------------------------------------------------------------------------------
NETHERLANDS (e)(f) 1.8%
--------------------------------------------------------------------------------
Bank of Japan
2.140% due 11/16/2009 JY 400,000 3,901
Deutsche Bank Financial
6.235% due 12/17/2003 (d) $ 5,000 4,992
Mannesmann Finance BV
4.750% due 05/27/2009 EC 6,400 5,471
Tecnost International NV
5.616% due 06/23/2004 (d) 6,540 6,419
----------
Total Netherlands 20,783
(Cost $21,222) ==========
--------------------------------------------------------------------------------
NEW ZEALAND (e)(f) 2.6%
--------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 (j) N$ 59,670 29,061
----------
Total New Zealand 29,061
(Cost $36,231) ==========
--------------------------------------------------------------------------------
POLAND 0.1%
--------------------------------------------------------------------------------
Republic of Poland
3.500% due 10/27/2024 (d) $ 1,650 1,023
4.000% due 10/27/2024 500 334
----------
Total Poland 1,357
(Cost $1,362) ----------
22 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
PORTUGAL (e)(f) 5.5%
--------------------------------------------------------------------------------
Portugal Government
3.950% due 07/15/2009 (j) EC 74,300 $ 63,276
--------
Total Portugal 63,276
(Cost $68,280) ========
--------------------------------------------------------------------------------
SOUTH KOREA (e)(f) 2.7%
--------------------------------------------------------------------------------
Export-Import Bank Korea
3.179% due 03/20/2002 (d) DM 4,900 2,266
Hansol Paper Co. Ltd.
7.934% due 05/24/2001 (d) $ 2,000 2,020
Korea Development Bank
9.600% due 12/01/2000 1,400 1,417
3.610% due 05/14/2001 (d) DM 4,540 2,189
2.770% due 05/21/2001 JY 500,000 4,967
1.875% due 02/13/2002 28,000 273
2.700% due 08/16/2002 991,000 9,930
4.700% due 03/18/2004 710,000 7,412
--------
Total South Korea 30,474
(Cost $29,909) ========
--------------------------------------------------------------------------------
SPAIN 1.8%
--------------------------------------------------------------------------------
Kingdom of Spain
5.150% due 07/30/2009 (j) EC 17,990 16,918
6.000% due 01/31/2029 (j) 3,780 3,728
--------
Total Spain 20,646
(Cost $21,884) ========
--------------------------------------------------------------------------------
SUPRANTIONAL (e)(f) 7.0%
--------------------------------------------------------------------------------
Eurofima
4.750% due 07/07/2004 (j) SK 4,000 440
European Investment Bank
6.000% due 11/26/2004 BP 2,320 3,598
5.375% due 08/28/2007 NK 28,000 3,081
5.500% due 12/07/2009 (j) BP 12,000 18,177
International Bank for Reconstruction & Development
6.875% due 07/14/2000 2,600 4,147
7.000% due 09/18/2000 N$ 66,300 33,010
7.250% due 04/09/2001 22,372 11,108
7.000% due 06/07/2002 BP 2,000 3,197
World Bank
10.250% due 04/11/2002 PP 155,000 3,559
--------
Total Supranational 80,317
(Cost $85,982) ========
--------------------------------------------------------------------------------
TUNISIA (e)(f) 0.2%
--------------------------------------------------------------------------------
Banque Centrale De Tunisiez
7.500% due 08/06/2009 EC 2,800 2,724
--------
Total Tunisia 2,724
(Cost $2,846) ========
--------------------------------------------------------------------------------
UNITED KINGDOM (e) (f) 10.5%
--------------------------------------------------------------------------------
Abbey National Treasury Service
7.625% due 12/30/2002 BP 4,170 6,717
Bank of Scotland Capital Fund
8.117% due 03/31/2049 3,180 5,060
BG Transco Holdings plc
7.057% due 12/14/2009 (d) 3,560 5,688
Halifax Group Euro Finance
7.627% due 12/29/2049 (d) EC 6,000 5,816
Halifax Group Sterling Finance
7.881% due 12/29/2049 (d) BP 10,210 16,747
HAUS Limited
3.850% due 12/10/2037 (d) EC 12,800 12,242
Lloyds TSB Bank plc
6.313% due 11/29/2049 $ 1,100 894
SCCR Series 1 Ltd.
3.500% due 05/15/2000 (d) IL 200,000 $ 99
United Kingdom Gilt
8.000% due 06/10/2003 (j) BP 30,000 50,210
5.750% due 12/07/2009 (j) 10,000 16,539
--------
Total United Kingdom 120,012
(Cost $121,214) ========
--------------------------------------------------------------------------------
UNITED STATES 62.7%
--------------------------------------------------------------------------------
Asset-Backed Securities 9.3%
Advanta Mortgage Loan Trust
6.500% due 11/25/2029 (d) $ 2,941 2,943
AFC Home Equity Loan Trust
6.099% due 03/25/2027 (d) 3,851 3,853
Amresco Residential Securities Mortgage Loan Trust
6.595% due 06/25/2029 (d) 8,213 8,245
Argentina Funding Corp.
6.331% due 05/20/2003 (d) 700 701
Banc One Auto Grantor Trust
6.270% due 11/20/2003 372 370
Banc One Home Equity Trust
6.460% due 06/25/2029 2,046 2,034
Champion Home Equity Loan Trust
8.267% due 02/25/2028 (d) 2,864 2,923
Charter Financial, Inc.
6.590% due 02/25/2002 9,200 9,192
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 268 269
Contimortgage Home Equity Loan Trust
6.420% due 04/25/2014 1,362 1,354
Daimler-Benz Vehicle Trust
5.230% due 12/20/2001 647 646
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 73 73
Green Tree Financial Corp.
6.450% due 01/15/2026 1,514 1,515
6.800% due 10/15/2027 4,532 4,531
Green Tree Home Equity Loan Trust
6.290% due 10/15/2013 5,664 5,647
IKON Receivables LLC
5.600% due 05/15/2005 2,900 2,894
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 19 19
Metris Master Trust
6.721% due 04/20/2006 (d) 2,500 2,515
MLCC Mortgage Investors, Inc.
6.265% due 03/15/2025 (d) 11,840 11,886
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 963 951
Pacific Southwest Bank
6.060% due 06/15/2002 428 426
PSB Lending Home Loan Owner Trust
6.830% due 05/20/2018 1,930 1,892
Salomon Brothers Mortgage Securities
6.305% due 11/15/2029 (d) 4,659 4,662
6.219% due 02/25/2030 (d) 19,403 19,264
United Panama Mortgage Loan Asset Backed
6.329% due 10/25/2029 (d) 17,560 17,541
--------
106,346
========
Corporate Bonds & Notes 19.8%
AT&T Capital Corp.
6.310% due 04/23/2002 (d) 4,500 4,512
BTM Holdings
6.680% due 09/29/2049 (d) 500 500
Coastal Corp.
6.569% due 03/06/2002 (d) 10,000 10,000
Conagra, Inc.
6.340% due 06/12/2000 (d) 2,000 1,999
Credit Lyonnais
7.438% due 09/19/2049 2,000 1,923
CSX Corp.
6.430% due 06/15/2000 (d) 2,000 1,999
2000 Annual Report See accompanying notes 23
<PAGE>
Schedule of Investments (Cont.)
International Portfolio
March 31, 2000
Principal
Amount Value
(000s) (000s)
================================================================================
DQE Capital Corp.
6.539% due 01/15/2002 (d) $ 1,400 $ 1,400
Enron Corp.
6.577% due 09/10/2001 (d) 1,000 1,001
Finova Capital Corp.
6.720% due 11/08/2002 (d) 5,260 5,280
6.480% due 04/08/2003 (d) 2,900 2,902
Ford Motor Credit Co.
1.200% due 02/07/2005 JY 458,000 4,408
General Motors Acceptance Corp.
6.140% due 01/28/2002 (d) $ 5,100 5,099
0.234% due 07/26/2002 341,000 3,319
6.299% due 11/12/2002 (d) 2,000 2,003
6.251% due 04/05/2004 (d) 32,860 32,860
6.875% due 09/09/2004 BP 7,290 11,563
5.500% due 02/02/2005 EC 16,900 16,188
Gold Eagle
9.003% due 04/16/2001 $ 7,000 6,992
KBC Bank Fund Trust IV
8.220% due 11/29/2049 EC 1,400 1,415
Lehman Brothers Holdings, Inc.
6.690% due 04/04/2003 (d) $ 4,900 4,972
Merrill Lynch & Co.
6.129% due 11/01/2001 (d) 7,200 7,195
Morgan Stanley, Dean Witter, Discover and Co.
6.165% due 01/28/2002 (d) 20,400 20,403
Procter & Gamble Co.
1.500% due 12/07/2005 JY 1,000,000 9,728
Protective Life Funding Trust
6.390% due 01/17/2003 (d) $ 2,100 2,100
Prudential Funding Corp.
6.126% due 12/21/2000 (d) 7,900 7,896
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (d) 12,976 12,749
6.393% due 10/21/2002 (d) BP 2,480 3,941
6.320% due 02/11/2003 (d) $ 400 400
Sprint Spectrum LP
11.000% due 08/15/2006 6,845 7,378
Texas Utilities Co.
6.791% due 06/25/2001 12,100 12,089
7.105% due 09/24/2001 4,300 4,323
TRW, Inc.
6.601% due 06/28/2000 (d) 4,200 4,199
Williams Communications Group, Inc.
6.540% due 11/15/2001 13,200 13,200
----------
225,936
Mortgage-Backed Securities 12.5% ==========
CDC Depositor Trust I
6.913% due 12/14/2001 (d) 8,400 8,434
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 2,160 2,131
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 2,183 2,147
Countrywide Home Loans
6.750% due 08/25/2028 1,142 1,126
Crusade Global Trust
6.400% due 02/15/2030 (d) 26,100 26,165
Federal National Mortgage Assn.
7.000% due 01/01/2005 1,595 1,578
7.000% due 02/25/2020 5,550 5,500
Government National Mortgage Assn.
6.750% due 07/20/2025 (d) 1,086 1,089
6.750% due 09/20/2025 (d) 534 535
6.375% due 05/20/2026 (d) 2,201 2,213
7.000% due 04/24/2030-05/24/2030 (d)(g) 57,400 34,421
7.000% due 06/26/2030 (d) 5,400 5,403
Medallion Trust
6.471% due 03/17/2031 (d) 12,300 12,300
Nationslink Funding Corp.
6.240% due 04/10/2007 (d) 1,633 1,633
Residential Funding Mortgage Securities, Inc.
6.750% due 06/25/2028 1,142 1,126
6.560% due 05/12/2032 (d) 31,600 31,580
Resolution Trust Corp.
6.290% due 06/25/2021 (d) 884 881
Sasco Floating Rate Commercial Mortgage
6.280% due 11/20/2001 (d) 4,193 4,203
----------
142,465
U.S. Government Agencies 8.2% ==========
Federal Home Loan Bank
5.663% due 02/15/2002 (d) 31,480 30,936
Federal National Mortgage Assn.
6.875% due 06/07/2002 BP 230 367
7.250% due 06/20/2002 (j) N$ 116,650 57,627
Student Loan Marketing Assn.
6.395% due 10/25/2004 (d) $ 1,225 1,222
6.019% due 10/25/2007 (d) 3,500 3,480
----------
93,632
U.S. Treasury Obligations 12.9% ==========
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h)(j) 138,885 138,494
U.S. Treasury Notes
5.125% due 08/31/2000 (b) 8,995 8,956
----------
147,450
----------
Total United States 715,829
(Cost $720,495) ==========
--------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 1.1%
--------------------------------------------------------------------------------
Eurodollar vs. U.S. Dollar (OTC)
Strike @ 0.870 Exp. 04/25/2000 EC 120,000 12,042
U.S. Dollar vs. Eurodollar (OTC)
Strike @ 1.050 Exp. 07/28/2000 $ 19,300 77
19,150 76
19,300 77
----------
Total Purchased Call Options 12,272
(Cost $13,040) ==========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 12.2%
--------------------------------------------------------------------------------
Commercial Paper 11.6%
American Express
6.040% due 05/30/2000 $ 34,700 34,368
Conoco, Inc.
5.970% due 04/02/2000 1,000 999
Federal Home Loan Mortgage Corp.
5.970% due 05/02/2000 27,300 27,169
6.020% due 06/29/2000 14,500 14,289
Finova Capital Corp.
6.020% due 06/06/2000 23,000 22,740
Monsanto Co.
5.900% due 05/12/2000 2,000 1,987
Norfolk Southern Corp.
6.140% due 05/22/2000 1,300 1,289
6.140% due 05/25/2000 23,000 22,796
Sumitomo Bank
6.050% due 04/13/2000 7,000 6,988
----------
132,625
Repurchase Agreement 0.6% ==========
State Street Bank
5.600% due 04/03/2000 6,591 6,591
(Dated 03/31/2000. Collateralized by ----------
Federal Home Loan Mortgage Corporation
5.750% due 05/15/2001 valued at $6,723.
Repurchase proceeds are $6,594.)
24 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
================================================================================
U.S. Treasury Bills (b) 0.0%
U.S Treasury Bills
5.600% due 04/27/2000 $ 350 $ 349
-----------
Total Short-Term Instruments 139,565
(Cost $139,579) ============
Total Investments (a) 133.5% $ 1,525,263
(Cost $1,557,138)
Written Options (c) (0.0%) (296)
(Premiums $165)
Other Assets and Liabilities (Net) (33.5%) (382,752)
------------
Net Assets 100.0% $ 1,142,215
============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $1,557,357 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 4,150
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (36,244)
------------
Unrealized depreciation-net $ (32,094)
============
(b) Securities with an aggregate market value of $9,305
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 2000:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
--------------------------------------------------------------------------------
EuroBond 10 Year Note (06/2000) 1,390 $ 3,737
United Kingdom Gilt (06/2000) 120 118
Eurodollar March Futures (03/2001) 305 (69)
U.S. Treasury 10 Year Note (06/2000) 2 5
United Kingdom 90 Day LIBOR (09/2000) 200 249
------------
$ 4,040
(c) Premiums received on written options: ============
# of
Type Contracts Premium Value
--------------------------------------------------------------------------------
Put - OTC Eurodollar vs. Japanese Yen
Strike @ 102.00 Exp. 05/01/2000 5,910,000 $ 118 $ 278
Put - OTC Australia Dollar vs. U.S. Dollar
Strike @ 0.575 Exp. 06/01/2000 13,760,000 47 18
-------------------------
$ 165 $ 296
=========================
(d) Variable rate security. The rate listed is as of March 31, 2000.
(e) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Sell A$ 15,360 04/2000 $ 50
Buy 35,205 04/2000 (82)
Sell 21,694 05/2000 134
Sell BP 50,343 04/2000 (792)
Buy 12,092 04/2000 204
Sell C$ 33,970 04/2000 (120)
Buy 33,510 04/2000 311
Sell 9,346 05/2000 48
Sell 9,897 06/2000 (41)
Buy DK 10,172 04/2000 (15)
Sell 23,961 04/2000 20
Sell EC 68,307 03/2000 (236)
Buy 183,922 04/2000 (1,051)
Sell 250,881 04/2000 5,253
Sell GD 3,707,366 04/2000 161
Sell H$ 205,341 09/2000 (196)
Buy 205,341 09/2000 1
Buy HF 3,950,000 08/2000 (708)
Buy 2,169,000 01/2001 (539)
Sell JY 5,183,659 04/2000 (1,803)
Buy 3,086,787 04/2000 780
Sell 9,720,907 05/2000 (2,629)
Sell N$ 90,503 04/2000 (765)
Sell 120,155 05/2000 (960)
Sell NK 28,984 05/2000 27
Buy PZ 1,080 04/2000 9
Sell 1,080 04/2000 0
Buy 23,629 01/2001 (34)
Buy 61,360 02/2001 77
Buy 21,950 03/2001 39
Sell SK 86,014 04/2000 3
------------
$ (2,854)
============
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar
BP - British Pound
C$ - Canadian Dollar
DK - Danish Krone
DM - German Mark
EC - Euro
GD - Greek Drachma
H$ - Hong Kong Dollar
HF - Hungarian Forint
IL - Italian Lira
JY - Japanese Yen
N$ - New Zealand Dollar
NK - Norwegian Krone
PP - Philippine Peso
PZ - Polish Zloty
SK - Swedish Krona
(g) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Reverse repurchase agreements were entered into March 27, 2000 paying
interest at 5.00%. The following securities were segregated with collateral for
reverse repurchase agreements:
Type Maturity Value
--------------------------------------------------------------------------------
Residential Funding Mortgage Securities, Inc. 05/12/2032 $31,580
2000 Annual Report See accompanying notes 25
<PAGE>
Schedule of Investments (Cont.)
International Portfolio
March 31, 2000
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
====================================================================================================================================
(i) Swap agreements outstanding at March 31, 2000:
Unrealized
Notional Appreciation/
Type Amount Depreciation
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Receive fixed rate equal to 6.190% and pay floating rate
based on 3 month New Zealand Bank Bill.
Broker: Deutsche Bank AG
Exp. 06/10/2002 N$ 200,000 $(2,646)
Receive fixed rate equal to 7.470% and pay floating rate
based on 3 month New Zealand Bank Bill.
Broker: Citibank
Exp. 08/31/2001 N$ 50,000 72
Receive fixed rate equal to 7.710% and pay floating rate
based on 3 month New Zealand Bank Bill.
Broker: Deutsche Bank AG
Exp. 09/04/2001 N$ 50,000 23
Receive fixed rate equal to 7.600% and pay floating rate
based on 3 month New Zealand Bank Bill.
Broker: Deutsche Bank AG
Exp. 09/25/2001 N$ 100,000 (10)
Receive fixed rate equal to 6.750% and pay floating rate
based on 3 month New Zealand Bank Bill.
Broker: Deutsche Bank AG
Exp. 03/15/2002 N$ 50,000 (321)
Receive fixed rate equal to 7.470% and pay floating rate
based on 3 month New Zealand Bank Bill.
Broker: Citibank
Exp. 04/15/2004 N$ 86,400 (365)
Receive fixed rate equal to 7.870% and pay floating rate
based on 3 month New Zealand Bank Bill.
Broker: Citibank
Exp. 10/05/2009 N$ 50,000 35
Receive fixed rate equal to 7.480% and pay floating rate
based on 3 month New Zealand Bank Bill.
Broker: Deutsche Bank AG
Exp. 10/04/2001 N$ 100,000 (72)
-------
$(3,284)
=======
</TABLE>
(j) Subject to financing transaction.
26 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Emerging Markets Portfolio
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
ARGENTINA 0.3%
--------------------------------------------------------------------------------
Republic of Argentina
0.000% due 04/15/2001 $ 600 $ 552
6.875% due 03/31/2023 (d) 600 506
-------
Total Argentina 1,058
(Cost $1,064) =======
--------------------------------------------------------------------------------
BRAZIL 5.9%
--------------------------------------------------------------------------------
Government of Brazil
7.000% due 01/01/2001 (d) $ 2,202 2,194
11.625% due 04/15/2004 3,000 3,030
6.938% due 04/15/2006 (d) 16,497 14,971
8.000% due 04/15/2014 789 590
-------
Total Brazil 20,785
(Cost $19,983) =======
--------------------------------------------------------------------------------
BULGARIA 10.3%
--------------------------------------------------------------------------------
Republic of Bulgaria
7.063% due 07/28/2011 (d) $ 4,250 3,368
2.750% due 07/28/2012 (d) 8,906 6,422
7.063% due 07/28/2024 (d) 33,300 26,767
-------
Total Bulgaria 36,557
(Cost $35,796) =======
--------------------------------------------------------------------------------
CHILE 0.9%
--------------------------------------------------------------------------------
Republic of Chile
6.875% due 04/28/2009 $ 3,350 3,116
-------
Total Chile 3,116
(Cost $3,151) =======
--------------------------------------------------------------------------------
COLUMBIA 4.4%
--------------------------------------------------------------------------------
Republic of Colombia
11.218% due 08/13/2005 (d) $ 60 59
7.625% due 02/15/2007 5,400 4,374
8.625% due 04/01/2008 300 250
9.750% due 04/23/2009 6,825 6,186
11.750% due 02/25/2020 5,000 4,875
-------
Total Colombia 15,744
(Cost $15,864) =======
--------------------------------------------------------------------------------
CROATIA (b)(c) 2.0%
--------------------------------------------------------------------------------
Republic of Croatia
7.000% due 02/27/2002 $ 1,000 971
7.000% due 03/28/2005 EC 1,000 946
7.063% due 07/31/2006 (d) $ 5,375 5,093
-------
Total Croatia 7,010
(Cost $7,061) =======
--------------------------------------------------------------------------------
IVORY COAST (c) 0.4%
--------------------------------------------------------------------------------
Government of Ivory Coast
1.900% due 03/29/2018 FF 45,238 1,369
-------
Total Ivory Coast 1,369
(Cost $1,730) =======
--------------------------------------------------------------------------------
JORDAN 4.9%
--------------------------------------------------------------------------------
Kingdom of Jordan
5.500% due 12/23/2023 $25,450 17,395
-------
Total Jordan 17,395
(Cost $17,287) =======
--------------------------------------------------------------------------------
MALAYSIA 0.6%
--------------------------------------------------------------------------------
Republic of Malaysia
6.875% due 05/15/2001 $ 2,200 2,200
-------
Total Malaysia 2,200
(Cost $2,192) =======
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
MEXICO (b)(c) 14.1%
--------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 $ 4,850 $ 4,632
Grupo Televisa SA
13.250% due 05/15/2008 7,825 7,727
Nuevo Grupo Iusacell SA De CV
14.250% due 12/01/2006 1,600 1,716
Petroleos Mexicanos
8.402% due 07/15/2005 (d) 1,500 1,481
9.375% due 12/02/2008 3,000 3,083
9.500% due 09/15/2027 2,900 2,994
United Mexican States
7.500% due 03/08/2010 EC 1,100 1,067
6.250% due 12/31/2019 $23,650 20,171
11.500% due 05/15/2026 5,650 6,985
United Mexican States Recovery Rights
0.000% due 06/30/2003 2,308 0
-------
Total Mexico 49,856
(Cost $47,818) =======
--------------------------------------------------------------------------------
MOROCCO 1.2%
--------------------------------------------------------------------------------
Republic of Morocco
6.938% due 01/01/2009 $ 4,737 4,192
-------
Total Morocco 4,192
(Cost $4,146) =======
--------------------------------------------------------------------------------
NETHERLANDS 2.0%
--------------------------------------------------------------------------------
Telekomunikacja Polska SA
7.750% due 12/10/2008 $ 7,360 7,144
-------
Total Netherlands 7,144
(Cost $7,241) =======
--------------------------------------------------------------------------------
PANAMA 5.1%
--------------------------------------------------------------------------------
Republic of Panama
4.250% due 07/17/2014 $18,625 15,051
8.875% due 09/30/2027 3,500 3,084
-------
Total Panama 18,135
(Cost $17,691) -------
--------------------------------------------------------------------------------
PERU 7.2%
--------------------------------------------------------------------------------
Republic of Peru
3.750% due 03/07/2017 $ 3,500 2,145
4.500% due 03/07/2017 (d) 35,338 23,567
-------
Total Peru 25,712
(Cost $26,570) =======
--------------------------------------------------------------------------------
PHILIPPINES (b)(c) 10.3%
--------------------------------------------------------------------------------
Central Bank Philippines
6.500% due 06/01/2008 (d) $ 984 943
8.600% due 06/15/2027 175 139
Republic of Philippines
8.000% due 09/17/2004 EC 4,000 3,917
6.938% due 01/05/2005 (d) $ 6,661 6,634
6.875% due 12/01/2007 2,659 2,453
6.500% due 12/01/2017 4,300 3,941
9.875% due 01/15/2019 6,815 6,168
9.500% due 10/21/2024 12,629 12,155
-------
Total Philippines 36,350
(Cost $37,437) =======
--------------------------------------------------------------------------------
POLAND 8.2%
--------------------------------------------------------------------------------
Republic of Poland
3.500% due 10/27/2024 (d) $42,840 26,561
4.000% due 10/27/2024 3,750 2,503
-------
Total Poland 29,064
(Cost $29,045) =======
2000 Annual Report See accompanying notes 27
<PAGE>
Schedule of Investments (Cont.)
Emerging Markets Portfolio
March 31, 2000
Principal
Amount Value
(000s) (000s)
--------------------------------------------------------------------------------
QATAR 0.3%
--------------------------------------------------------------------------------
State of Qatar
7.290% due 02/18/2004 (d) $ 1,000 $ 993
--------
Total Qatar 993
(Cost $977) ========
--------------------------------------------------------------------------------
SLOVAKIA (b)(c) 0.1%
--------------------------------------------------------------------------------
Slovak Wireless Finance Co.
11.250% due 03/30/2007 EC 500 478
--------
Total Slovakia 478
(Cost $485) ========
--------------------------------------------------------------------------------
SOUTH KOREA 9.5%
--------------------------------------------------------------------------------
Cho Hung Bank
11.875% due 04/01/2010 $ 3,000 2,985
Korea Development Bank
6.250% due 05/01/2000 1,000 999
7.900% due 02/01/2002 1,875 1,870
7.625% due 10/01/2002 2,249 2,218
8.008% due 06/16/2003 (d) 1,000 980
6.625% due 11/21/2003 1,300 1,232
7.125% due 04/22/2004 3,250 3,122
Korean Export-Import Bank
7.250% due 06/25/2001 1,570 1,565
7.100% due 03/15/2007 7,050 6,962
Republic of Korea
8.750% due 04/15/2003 700 709
8.875% due 04/15/2008 5,100 5,291
SK Telecom Co. Ltd.
7.750% due 04/29/2004 6,000 5,859
--------
Total South Korea 33,792
(Cost $33,481) ========
--------------------------------------------------------------------------------
TUNISIA (b)(c) 1.4%
--------------------------------------------------------------------------------
Banque Centrale De Tunisie
7.500% due 08/06/2009 EC 1,000 973
8.250% due 09/19/2027 $ 4,400 3,971
--------
Total Tunisia 4,944
(Cost $4,739) ========
--------------------------------------------------------------------------------
TURKEY 1.0%
--------------------------------------------------------------------------------
Export Credit Bank of Turkey
8.385% due 08/18/2000 $ 610 611
8.820% due 08/18/2000 1,000 997
11.500% due 02/25/2005 900 900
Republic of Turkey
11.875% due 11/05/2004 900 938
--------
Total Turkey 3,446
(Cost $3,440) ========
--------------------------------------------------------------------------------
UNITED STATES 1.8%
--------------------------------------------------------------------------------
Bancomext Trust Division
8.000% due 08/05/2003 $ 3,627 3,580
Lehman Brothers Holdings, Inc.
6.700% due 11/30/2006 (d) 1,810 1,670
National Power Corp.
7.625% due 11/15/2000 1,000 1,000
--------
Total United States 6,250
(Cost $6,116) ========
--------------------------------------------------------------------------------
URUGUAY 2.7%
--------------------------------------------------------------------------------
Banco Central Del Uruguay
7.188% due 02/19/2006 $ 176 166
Republica Orient Uruguay
7.250% due 05/04/2009 10,000 9,475
--------
Total Uruguay 9,641
(Cost $10,114) ========
--------------------------------------------------------------------------------
VENEZUELA 0.9%
--------------------------------------------------------------------------------
Republic of Venezuela
7.000% due 12/18/2007 (d) $ 3,810 $ 3,062
--------
Total Venezuela 3,062
(Cost $3,116) ========
--------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 3.7%
--------------------------------------------------------------------------------
Commercial Paper 3.0%
AT&T Corp.
5.960% due 04/04/2000 $ 600 600
Bellsouth Telecom
6.000% due 04/03/2000 2,200 2,200
Eastman Kodak Co.
6.030% due 06/06/2000 3,800 3,757
Federal Home Loan Mortgage Corp.
5.940% due 06/15/2000 1,100 1,086
General Motors Acceptance Corp.
6.040% due 05/03/2000 1,500 1,492
Merck & Co.
5.970% due 04/24/2000 1,700 1,694
--------
10,829
Repurchase Agreement 0.7% ========
State Street Bank
5.600% due 04/03/2000 2,433 2,433
(Dated 03/31/2000. Collateralized by --------
Federal Home Loan Bank
6.000% due 08/15/2002 valued at $2,482
Repurchase proceeds are $2,434.)
Total Short-Term Instruments 13,262
(Cost $13,265) ========
Total Investments (a) 99.2% $351,555
(Cost $349,809)
Other Assets and Liabilities (Net) 0.8% 2,816
--------
Net Assets 100.0% $354,371
========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 2000, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $349,998 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 5,878
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (4,321)
--------
Unrealized appreciation-net $ 1,557
========
28 PIMCO Funds See accompanying notes
<PAGE>
================================================================================
(b) Foreign forward currency contracts outstanding at March 31, 2000:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
--------------------------------------------------------------------------------
Buy EC 251 04/2000 $ (21)
Sell 5,711 04/2000 87
Buy 527 11/2000 (44)
Sell 527 11/2000 55
Buy HF 600 04/2000 (94)
Buy 1,960 08/2000 (248)
Buy PN 5,750 09/2000 58
Buy PZ 2,000 04/2000 15
Sell 2,000 04/2000 0
Buy 4,250 11/2000 48
Buy 15,000 12/2000 93
Buy 7,000 01/2001 12
Buy 4,500 02/2001 21
Buy 5,000 03/2001 0
---------
$ (18)
=========
(c) Principal amount denoted in indicated currency:
EC - Euro
FF - French Franc
HF - Hungarian Forint
PN - Peruvian New Sol
PZ - Polish Zloty
(d) Variable rate security. The rate listed is as of March 31, 2000.
2000 Annual Report See accompanying notes 29
<PAGE>
Notes to Financial Statements
March 31, 2000
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 30 separate
investment portfolios. The U.S. Government Sector, Mortgage, Investment Grade
Corporate, 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 generally accepted accounting principles.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements in
conformity with generally accepted accounting principles. The preparation of
financial statements in accordance with generally accepted accounting principles
requires management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates.
Security Valuation. Portfolio securities and other financial instruments for
which market quotations are readily available are stated at market value. Market
value is determined on the basis of last reported sales prices, or if no sales
are reported, as is the case for most securities traded over-the-counter, the
mean between representative bid and asked quotations obtained from a quotation
reporting system or from established market makers. Fixed income securities,
including those to be purchased under firm commitment agreements (other than
obligations having a maturity of sixty days or less), are normally valued on the
basis of quotes obtained from brokers and dealers or pricing services. Short-
term investments having a maturity of sixty days or less are valued at amortized
cost, which approximates market value. Certain fixed income securities for which
daily market quotations are not available may be valued, pursuant to guidelines
established by the Board of Trustees, with reference to fixed income securities
whose prices are more readily obtainable.
Securities Transactions and Investment Income. Securities transactions are
recorded as of the trade date. Securities purchased or sold on a when-issued or
delayed-delivery basis may be settled a month or more after the trade date.
Realized gains and losses from securities sold are recorded on the identified
cost basis. Dividend income is recorded on the ex-dividend date, except certain
dividends from foreign securities where the ex-dividend date may have passed,
are recorded as soon as the 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, of Emerging Market Portfolio, are declared on each day the Trust
is open for business and are distributed to shareholders monthly. U.S.
Government Sector, Mortgage, Investment Grade Corporate, and International
Portfolio's declare and distribute dividends representing substantially all net
investment income on a quarterly basis. 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 generally accepted
accounting principles. These differences are primarily due to differing
treatments for such items as wash sales, foreign currency transactions, net
operating losses and capital loss carryforwards.
Distributions reflected as a tax basis return of capital in the
accompanying Statements of Changes in Net Assets have been reclassified to paid
in capital. In addition, other amounts have been reclassified between
undistributed net investment income, accumulated undistributed net realized
gains or losses and paid in capital to more appropriately conform financial
accounting to tax characterizations of dividend and distributions.
Foreign Currency. Foreign currencies, investments, and other assets and
liabilities are translated into U.S. dollars at the exchange rates prevailing at
the end of the period. Fluctuations in the value of these assets and liabilities
resulting from changes in exchange rates are recorded as unrealized foreign
currency gains (losses). Realized gains (losses) and unrealized appreciation
(depreciation) on investment securities and income and expenses are translated
on the respective dates of such transactions. The effect of changes in foreign
currency exchange rates on investments in securities are not segregated in the
Statements of Operations from the effects of changes in market prices of those
securities, but are included with the net realized and unrealized gain or loss
on investment securities.
30 PIMCO Funds
<PAGE>
Federal Income Taxes. Each Portfolio intends to qualify as a regulated
investment company and distribute all of its taxable income and net realized
gains, if applicable, to shareholders. Accordingly, no provision for Federal
income taxes has been made.
Financing Transactions. A Portfolio may enter into financing transactions
consisting of the sale by the Portfolio of securities, together with a
commitment to repurchase similar securities at a future date. The difference
between the selling price and the future purchase price is an adjustment to
interest income. If the counterparty to whom the Portfolio sells the security
becomes insolvent, a Portfolio's right to repurchase the security may be
restricted; the value of the security may change over the term of the financing
transaction; and the return earned by a Portfolio with the proceeds of a
financing transaction may not exceed transaction costs.
Futures and Options. The Portfolios are authorized to enter into futures
contracts and options. A Portfolio may use futures contracts and options to
manage its exposure to the securities markets or to movements in interest rates
and currency values. The primary risks associated with the use of futures
contracts and options are imperfect correlation between the change in market
value of the securities held by a Portfolio and the prices of futures contracts
and options, the possibility of an illiquid market, and the inability of the
counterparty to meet the terms of the contract. Futures contracts and purchased
options are valued based upon their quoted daily settlement prices. The premium
received for a written option is recorded as an asset with an equal liability
which is marked to market based on the option'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.
2000 Annual Report 31
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 2000
Repurchase Agreements. Each Portfolio may engage in repurchase transactions.
Under the terms of a typical repurchase agreement, the Portfolio takes
possession of an underlying debt obligation subject to an obligation of the
seller to repurchase, and the Portfolio to resell, the obligation at an agreed-
upon price and time. The market value of the collateral must be equal at all
times to the total amount of the repurchase obligations, including interest.
Generally, in the event of counterparty default, the Portfolio has the right to
use the collateral to offset losses incurred.
Restricted Securities. Certain Portfolios are permitted to invest in securities
that are subject to legal or contractual restrictions on resale. These
securities generally may be resold in transactions exempt from registration or
to the public if the securities are registered. Disposal of these securities may
involve time-consuming negotiations and expense, and prompt sale at an
acceptable price may be difficult.
3. Fees, Expenses, and Related Party Transactions
Investment Advisory Fee. Pacific Investment Management Company (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 the U.S. Government Sector, Mortgage
and Investment Grade Corporate Portfolios, 0.25% for the International Portfolio
and 0.45% for the Emerging Market Portfolio.
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 0.03% for
the U.S. Government Sector, Mortgage and Investment Grade Corporate Portfolios,
0.25% for the International Portfolio and 0.40% for the Emerging Markets
Portfolio.
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 will be as
follows:
<TABLE>
<CAPTION>
Portfolio Advisory Admin Total Operating
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
International Portfolio 0.02% 0.10% 0.12%
Emerging Markets Portfolio 0.02% 0.10% 0.12%
All Other Portfolios 0.02% 0.03% 0.05%
</TABLE>
The previous fees under the Pacific Investment Management Series were:
<TABLE>
<CAPTION>
Portfolio Advisory Admin Total Operating
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
International Bond Fund 0.25% 0.25% 0.50%
Emerging Markets Bond Fund II 0.45% 0.40% 0.85%
</TABLE>
Expenses. The Trust is responsible for the following expenses: (i) salaries and
other compensation of any of the Trust's executive officers and employees who
are not officers, directors, stockholders or employees of PIMCO or its
subsidiaries or affiliates; (ii) taxes and governmental fees; (iii) brokerage
fees and commissions and other portfolio transaction expenses; (iv) the costs of
borrowing money, including interest expenses; (v) fees and expenses of the
Trustees who are not interested persons of PIMCO or the Trust, and any counsel
retained exclusively for their benefit; (vi) extraordinary expenses, including
costs of litigation and indemnification expenses; (vii) organization expense and
(viii) expenses, such as organizational expenses. PIMCO has agreed to waive a
portion of U. S. Government Sector, Mortgage and Investment Grade Portfolios
administrative fees to the extent that the payment of each Portfolio's pro rata
share of Trustee fees and organizational expenses causes 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.
32 PIMCO Funds
<PAGE>
4. Purchases and Sales of Securities
Purchases and sales of investment securities (excluding short-term instruments)
for the period ended March 31, 2000 were as follows (amounts in thousands):
<TABLE>
<CAPTION>
U.S. Government/Agency All Other
--------------------------------------------------------------------------
Purchases Sales Purchases Sales
-----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. Government Sector Portfolio $ 1,347,043 $ 908,676 $ 179,838 $ 30,381
Mortgage Portfolio 2,135,169 1,141,193 547,389 86,549
Investment Grade Corporate Portfolio 0 0 366,990 78,231
International Portfolio 2,967,680 2,809,311 3,801,062 3,015,309
Emerging Markets Portfolio 30 355 583,337 386,014
</TABLE>
5. 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
Sector Portfolio Portfolio Portfolio
-----------------------------------------------------------------
Premium
-----------------------------------------------------------------
<S> <C> <C> <C>
Balance at 03/31/1999 $ 0 $ 0 $ 46
Sales 424 301 798
Closing Buys (41) 0 27
Expirations 0 (119) (693)
Exercised 0 0 (13)
Balance at 03/31/2000 $ 383 $ 182 $ 165
</TABLE>
6. 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 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>
2000 Annual Report 33
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 2000
7. Shares of Beneficial Interest
The Trust may issue an unlimited number of shares of beneficial interest with a
$.0001 par value. Changes in shares of beneficial interest were as follows
(amounts in thousands):
<TABLE>
<CAPTION>
U.S. Government
Sector Portfolio Mortgage Portfolio
--------------------------- ---------------------------
Period from 01/31/2000 Period from 01/31/2000
to 03/31/2000 to 03/31/2000
Shares Amount Shares Amount
--------------------------- ---------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold 31,467 $ 319,000 95,695 $ 967,529
Issued as reinvestment of distributions 118 1,221 309 3,140
Cost of shares redeemed (2,230) (23,100) 0 0
Net increase (decrease) resulting
from Portfolio share transactions 29,355 $ 297,121 96,004 $ 970,669
</TABLE>
<TABLE>
<CAPTION>
Investment Grade
Corporate
Sector Portfolio International Portfolio
-------------------------- ----------------------------------------------------
Period from 01/26/2000 Year Ended 03/31/2000 Year Ended 03/31/1999
to 03/31/2000
Shares Amount Shares Amount Shares Amount
-------------------------- ----------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold 36,070 $362,126 98,595 $ 679,200 50,859 $ 432,838
Issued as reinvestment of distributions 146 1,468 6,156 41,675 4,333 34,207
Cost of shares redeemed (4,987) (50,350) (36,642) (251,030) (55,223) (471,395)
Net increase (decrease) resulting
from Portfolio share transactions 31,229 $313,244 68,109 $ 469,845 (31) $ (4,350)
</TABLE>
<TABLE>
<CAPTION>
Emerging Markets Portfolio
-------------------------------------------------------------
Year Ended 03/31/2000 Year Ended 03/31/1999
Shares Amount Shares Amount
-------------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold 23,345 $ 226,178 21,960 $ 210,500
Issued as reinvestment of distributions 2,022 19,552 622 5,755
Cost of shares redeemed (4,472) (43,668) (7,475) (67,025)
Net increase (decrease) resulting
from Portfolio share transactions 20,895 $ 202,062 15,107 $ 149,230
</TABLE>
34 PIMCO Funds
<PAGE>
Report of Independent Accountants
To the Trustees and Shareholders of the PIMCO Funds: Pacific Investment
Management Series.
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and of cash flows and the financial highlights present
fairly, in all material respects, the financial position of the U.S. Government
Sector Portfolio, Mortgage Portfolio, Investment Grade Corporate Portfolio,
International Portfolio and Emerging Markets Portfolio (five of the portfolios
constituting the Private Account Portfolio Series of PIMCO Funds: Pacific
Investment Management Series, hereafter referred to as the "Portfolios") at
March 31, 2000, the results of each of their operations, the changes in each of
their net assets and cash flows for the U.S. Government Sector Portfolio and
International Portfolio and the financial highlights for each of the periods
indicated, in conformity with accounting principles generally accepted in the
United States. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Funds'
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with auditing standards generally accepted in the
United States which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at March 31, 2000 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
Kansas City, Missouri
May 23, 2000
2000 Annual Report 35
<PAGE>
(This Page Intentionally Left Blank)
36 PIMCO Funds
<PAGE>
Pacific Investment Management Company is responsible for the management and
administration of the PIMCO Funds: Private Account Portfolio Series. Founded in
1971, Pacific Investment Management Company currently manages assets in excess
of $193 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, California 92660
Custodian
State Street Bank & Trust Company
801 Pennsylvania
Kansas City, Missouri 64105
Transfer Agent
National Financial Data Services
330 W. 9th Street, 4th Floor
Kansas City, MO 64105
Counsel
Dechert Price & Rhoads
1775 Eye Street, N.W.
Washington, D.C. 20006-2401
Independent Accountants
PricewaterhouseCoopers LLP
1055 Broadway
Kansas City, Missouri 64105
<PAGE>
[LOGO OF PIMCO FUNDS]
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 Annual Report is not an
offer to sell, or a solicitation of any offer to buy, any security to the public
within the meaning of the Securities Act.
This report is submitted for the general information of the shareholders of the
PIMCO Funds: Private Account Portfolio Series. It is not authorized for
distribution to prospective investors unless accompanied or preceded by an
effective offering memorandum for the PIMCO Funds: Private Account Portfolio
Series, which contains information covering its investment policies as well as
other pertinent information.
