N-Q 1 dnq.htm PIMCO FUNDS PIMCO Funds

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number: 811-05028

 

PIMCO Funds

(Exact name of registrant as specified in charter)

 

840 Newport Center Drive, Newport Beach, CA 92660

(Address of principal executive offices)

 

John P. Hardaway

Treasurer and Principal Financial Officer

PIMCO Funds

840 Newport Center Drive

Newport Beach, CA 92660

(Name and address of agent for service)

 

Copies to:

 

Brendan C. Fox

Dechert LLP

1775 I Street, N.W.

Washington, D.C. 20006

 

Registrant’s telephone number, including area code: 1-866-746-2602

 

Date of fiscal year end: March 31

 

Date of reporting period: June 30, 2011

 

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

 

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.


Item1. Schedule of Investments

 

Table of Contents

    

PIMCO All Asset All Authority Fund

 

PIMCO Real Return Fund

PIMCO All Asset Fund

 

PIMCO RealEstateRealReturn Strategy Fund

PIMCO California Intermediate Municipal Bond Fund

 

PIMCO RealRetirement® 2010 Fund

PIMCO California Short Duration Municipal Income Fund

 

PIMCO RealRetirement® 2015 Fund

PIMCO Convertible Fund

 

PIMCO RealRetirement® 2020 Fund

PIMCO Diversified Income Fund

 

PIMCO RealRetirement® 2025 Fund

PIMCO EM Fundamental lndexPLUS® TR Strategy Fund

 

PIMCO RealRetirement® 2030 Fund

PIMCO Emerging Local Bond Fund

 

PIMCO RealRetirement® 2035 Fund

PIMCO Emerging Markets Bond Fund

 

PIMCO RealRetirement® 2040 Fund

PIMCO Emerging Markets Corporate Bond Fund

 

PIMCO RealRetirement® 2050 Fund

PIMCO Emerging Markets Currency Fund(1)

 

PIMCO Senior Floating Rate Fund

PIMCO Extended Duration Fund

 

PIMCO Short Duration Municipal Income Fund

PIMCO Floating Income Fund

 

PIMCO Short-Term Fund

PIMCO Foreign Bond Fund (Unhedged)

 

PIMCO Small Cap StocksPLUS® TR Fund

PIMCO Foreign Bond Fund (U.S. Dollar-Hedged)

 

PIMCO StocksPLUS® Fund

PIMCO Fundamental Advantage Total Return Strategy Fund

 

PIMCO StocksPLUS® Long Duration Fund

PIMCO Fundamental IndexPLUS® Fund(2)

 

PIMCO StocksPLUS® Total Return Fund

PIMCO Fundamental IndexPLUS® TR Fund

 

PIMCO StocksPLUS® TR Short Strategy Fund

PIMCO Global Advantage Strategy Bond Fund

 

PIMCO Tax Managed Real Return Fund

PIMCO Global Bond Fund (Unhedged)

 

PIMCO Total Return Fund

PIMCO Global Bond Fund (U.S. Dollar-Hedged)

 

PIMCO Total Return Fund II

PIMCO GNMA Fund

 

PIMCO Total Return Fund III

PIMCO Government Money Market Fund

 

PIMCO Total Return Fund IV

PIMCO High Yield Fund

 

PIMCO Unconstrained Bond Fund

PIMCO High Yield Municipal Bond Fund

 

PIMCO Unconstrained Tax Managed Bond Fund

PIMCO High Yield Spectrum Fund

 

PIMCO CommoditiesPLUSTM Short Strategy Fund

PIMCO Income Fund

 

PIMCO CommoditiesPLUSTM Strategy Fund

PIMCO International StocksPLUS® TR Strategy Fund (Unhedged)

 

PIMCO CommodityRealReturn Strategy Fund®

PIMCO International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)

 

PIMCO Global Multi-Asset Fund

PIMCO Investment Grade Corporate Bond Fund

 

PIMCO Asset-Backed Securities Portfolio

PIMCO Long Duration Total Return Fund

 

PIMCO Developing Local Markets Portfolio

PIMCO Long-Term Credit Fund

 

PIMCO Emerging Markets Portfolio

PIMCO Long-Term U.S. Government Fund

 

PIMCO FX Strategy Portfolio

PIMCO Low Duration Fund

 

PIMCO High Yield Portfolio

PIMCO Low Duration Fund II

 

PIMCO International Portfolio

PIMCO Low Duration Fund III

 

PIMCO Investment Grade Corporate Portfolio

PIMCO Moderate Duration Fund

 

PIMCO Long Duration Corporate Bond Portfolio

PIMCO Money Market Fund

 

PIMCO Mortgage Portfolio

PIMCO Mortgage-Backed Securities Fund

 

PIMCO Municipal Sector Portfolio

PIMCO Municipal Bond Fund

 

PIMCO Real Return Portfolio

PIMCO MuniGO Fund(2)

 

PIMCO Senior Floating Rate Portfolio

PIMCO New York Municipal Bond Fund

 

PIMCO Short-Term Floating NAV Portfolio

PIMCO Real Income 2019 Fund

 

PIMCO Short-Term Floating NAV Portfolio II

PIMCO Real Income 2029 Fund

 

PIMCO Short-Term Portfolio

PIMCO Real Return Asset Fund

 

PIMCO U.S. Government Sector Portfolio

 

(1) 

Prior to August 16, 2011, the Fund’s name was PIMCO Developing Local Markets Fund.

 

(2) 

The fund was liquidated on July 29, 2011.


Schedule of Investments

PIMCO All Asset All Authority Fund

June 30, 2011 (Unaudited)

 

     SHARES      MARKET
VALUE (000s)
 

MUTUAL FUNDS (a)(b) 132.1%

     

PIMCO CommoditiesPLUSTM Strategy Fund

     38,111,561       $ 491,639   

PIMCO CommodityRealReturn Strategy Fund®

     30,291,055         264,744   

PIMCO Convertible Fund

     34,120,149         487,236   

PIMCO Diversified Income Fund

     46,668,491         540,888   

PIMCO EM Fundamental IndexPLUS® TR Strategy Fund

     51,799,598         576,529   

PIMCO Emerging Local Bond Fund

     35,116,877         386,988   

PIMCO Emerging Markets Bond Fund

     19,766,917         222,378   

PIMCO Emerging Markets Currency Fund

     98,358,537         1,088,829   

PIMCO EqS Emerging Markets Fund

     3,796,721         38,689   

PIMCO EqS Pathfinder FundTM

     15,430,915         164,339   

PIMCO Floating Income Fund

     120,293,403         1,082,641   

PIMCO Foreign Bond Fund (Unhedged)

     6,620,241         72,889   

PIMCO Fundamental Advantage Total Return Strategy Fund

     433,543,940         1,916,264   

PIMCO Fundamental IndexPLUS® Fund

     207,798         1,288   

PIMCO Fundamental IndexPLUS® TR Fund

     3,135,134         18,278   

PIMCO Global Advantage Strategy Bond Fund

     15,825,273         182,782   

PIMCO High Yield Fund

     102,360,348         958,093   

PIMCO High Yield Spectrum Fund

     17,001,807         177,839   

PIMCO Income Fund

     87,248,866         988,530   

PIMCO International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)

     486,103         3,442   

PIMCO International StocksPLUS® TR Strategy Fund (Unhedged)

     8,101,158         54,683   

PIMCO Investment Grade Corporate Bond Fund

     40,451,816         430,812   

PIMCO Long Duration Total Return Fund

     25,448,759         280,445   

PIMCO Long-Term Credit Fund

     16,036,004         189,385   

PIMCO Long-Term U.S. Government Fund

     29,342,716         313,087   

PIMCO Low Duration Fund

     19,923,499         209,197   

PIMCO Real Return Asset Fund

     84,003,751         978,644   

PIMCO Real Return Fund

     24,155,486         281,894   

PIMCO RealEstateRealReturn Strategy Fund

     92,944,115         462,862   

PIMCO Senior Floating Rate Fund

     9,002,644         89,936   

PIMCO Short-Term Fund

     685,676         6,788   

PIMCO Small Cap StocksPLUS® TR Fund

     171,926         1,365   

PIMCO StocksPLUS® Fund

     168,982         1,501   

PIMCO StocksPLUS® Total Return Fund

     318,307         2,632   

PIMCO StocksPLUS® TR Short Strategy Fund

     409,350,669         1,698,805   

PIMCO Total Return Fund

     45,826,058         503,628   

PIMCO Unconstrained Bond Fund

     102,018,426         1,132,404   
     

 

 

 
Total Mutual Funds
(Cost $16,193,030)
          16,302,373   
     

 

 

 
     PRINCIPAL
AMOUNT
(000s)
        

SHORT-TERM INSTRUMENTS 0.2%

     

REPURCHASE AGREEMENTS 0.0%

     

State Street Bank and Trust Co.

     

0.010% due 07/01/2011

   $ 888         888   
     

 

 

 

(Dated 06/30/2011. Collateralized by U.S. Treasury Bills 0.000% due 07/21/2011 valued at $910. Repurchase proceeds are $888.)

     
     SHARES         

PIMCO SHORT-TERM FLOATING NAV PORTFOLIO (a) 0.2%

     
     1,775,248         17,786   
     

 

 

 
Total Short-Term Instruments
(Cost $18,674)
        18,674   
     

 

 

 
Total Investments 132.3%
(Cost $16,211,704)
      $ 16,321,047   
Other Assets and Liabilities (Net) (32.3%)         (3,981,572
     

 

 

 
Net Assets 100.0%       $   12,339,475   
     

 

 

 


Notes to Schedule of Investments (amounts in thousands*):

 

* A zero balance may reflect actual amounts rounding to less than one thousand.

 

(a) Affiliated to the Fund.

 

(b) Institutional Class Shares of each Fund.

 

(c)

Fair Value Measurements (1)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2011 in valuing the Fund’s assets and liabilities (2):

 

Category and Subcategory (3)    Level 1 (4)    Level 2  (5)      Level 3  (6)     Fair Value
at 06/30/2011
 

Investments, at value

          

Mutual Funds

   $  16,302,373    $ 0       $   0      $   16,302,373   

Short-Term Instruments

          

Repurchase Agreements

   0      888         0        888   

PIMCO Short-Term Floating NAV Portfolio

   17,786      0         0        17,786   
     $  16,320,159    $   888       $   0      $   16,321,047   

 

(1)  See note 2 in the Supplementary Notes to Schedule of Investments for additional information.
(2)  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2011.
(3)  Refer to the Schedule of Investments for additional information.
(4)  Quoted prices in active markets for identical investments.
(5)  Significant other observable inputs.
(6)  Significant unobservable inputs.

 

See Accompanying Notes


Schedule of Investments

PIMCO All Asset Fund

June 30, 2011 (Unaudited)

 

     SHARES      MARKET
VALUE (000s)
 

MUTUAL FUNDS (a)(b) 100.0%

     

PIMCO CommoditiesPLUSTM Strategy Fund

     47,079,285       $ 607,323   

PIMCO CommodityRealReturn Strategy Fund®

     42,517,244         371,601   

PIMCO Convertible Fund

     55,848,264         797,513   

PIMCO Diversified Income Fund

     78,679,226         911,892   

PIMCO EM Fundamental IndexPLUS® TR Strategy Fund

     136,323,487         1,517,280   

PIMCO Emerging Local Bond Fund

     31,737,575         349,748   

PIMCO Emerging Markets Bond Fund

     6,528,516         73,446   

PIMCO Emerging Markets Currency Fund

     97,459,214         1,078,874   

PIMCO EqS Emerging Markets Fund

     7,593,441         77,377   

PIMCO EqS Pathfinder FundTM

     41,002,485         436,676   

PIMCO Floating Income Fund

     198,808,269         1,789,274   

PIMCO Foreign Bond Fund (Unhedged)

     14,538,075         160,064   

PIMCO Fundamental Advantage Total Return Strategy Fund

     773,705,946         3,419,780   

PIMCO Fundamental IndexPLUS® Fund

     3,136,242         19,445   

PIMCO Fundamental IndexPLUS® TR Fund

     16,161,898         94,224   

PIMCO Global Advantage Strategy Bond Fund

     44,595,819         515,082   

PIMCO High Yield Fund

     114,561,451         1,072,295   

PIMCO High Yield Spectrum Fund

     37,636,270         393,675   

PIMCO Income Fund

     185,653,463         2,103,454   

PIMCO International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)

     13,971,005         98,915   

PIMCO International StocksPLUS® TR Strategy Fund (Unhedged)

     20,268,069         136,809   

PIMCO Investment Grade Corporate Bond Fund

     91,064,419         969,836   

PIMCO Long Duration Total Return Fund

     28,539,776         314,508   

PIMCO Long-Term Credit Fund

     56,570,488         668,098   

PIMCO Long-Term U.S. Government Fund

     47,301,683         504,709   

PIMCO Low Duration Fund

     5,408,520         56,790   

PIMCO Real Return Asset Fund

     157,966,072         1,840,305   

PIMCO Real Return Fund

     27,956,786         326,256   

PIMCO RealEstateRealReturn Strategy Fund

     91,175,803         454,056   

PIMCO Senior Floating Rate Fund

     20,005,875         199,859   

PIMCO Short-Term Fund

     1,174,485         11,627   

PIMCO Small Cap StocksPLUS® TR Fund

     6,226,952         49,442   

PIMCO StocksPLUS® Fund

     1,586,720         14,090   

PIMCO StocksPLUS® Total Return Fund

     7,826,920         64,729   

PIMCO Total Return Fund

     61,140,046         671,929   

PIMCO Unconstrained Bond Fund

     123,749,319         1,373,617   
     

 

 

 
Total Mutual Funds
(Cost $22,490,165)
          23,544,598   
     

 

 

 
     PRINCIPAL
AMOUNT
(000s)
        

SHORT-TERM INSTRUMENTS 0.0%

     

REPURCHASE AGREEMENTS 0.0%

     

State Street Bank and Trust Co.

     

0.010% due 07/01/2011

   $ 1,066         1,066   
     

 

 

 

(Dated 06/30/2011. Collateralized by U.S. Treasury Bills 0.000% due 07/21/2011 valued at $1,090. Repurchase proceeds are $1,066.)

     
     SHARES         

PIMCO SHORT-TERM FLOATING NAV PORTFOLIO (a) 0.0%

     
     226,096         2,265   
     

 

 

 
Total Short-Term Instruments
(Cost $3,331)
        3,331   
     

 

 

 
Total Investments 100.0%
(Cost $22,493,496)
      $   23,547,929   
Other Assets and Liabilities (Net) 0.0%         9,844   
     

 

 

 
Net Assets 100.0%       $ 23,557,773   
     

 

 

 


Notes to Schedule of Investments (amounts in thousands*):

 

* A zero balance may reflect actual amounts rounding to less than one thousand.

 

(a) Affiliated to the Fund.

 

(b) Institutional Class Shares of each Fund.

 

(c)

Fair Value Measurements (1)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2011 in valuing the Fund’s assets and liabilities (2):

 

Category and Subcategory (3)    Level 1 (4)    Level 2  (5)      Level 3  (6)     Fair Value
at 06/30/2011
 

Investments, at value

          

Mutual Funds

   $  23,544,598    $ 0       $ 0      $   23,544,598   

Short-Term Instruments

          

Repurchase Agreements

   0      1,066         0        1,066   

PIMCO Short-Term Floating NAV Portfolio

   2,265      0         0        2,265   
     $  23,546,863    $   1,066       $   0      $   23,547,929   

 

(1)  See note 2 in the Supplementary Notes to Schedule of Investments for additional information.
(2)  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2011.
(3)  Refer to the Schedule of Investments for additional information.
(4)  Quoted prices in active markets for identical investments.
(5)  Significant other observable inputs.
(6)  Significant unobservable inputs.

 

See Accompanying Notes


Schedule of Investments

PIMCO California Intermediate Municipal Bond Fund

June 30, 2011 (Unaudited)

 

     PRINCIPAL
AMOUNT
(000s)
     MARKET
VALUE
(000s)
 

CORPORATE BONDS & NOTES 0.9%

     

BANKING & FINANCE 0.9%

     

American International Group, Inc.

     

8.175% due 05/15/2068

   $ 700       $ 767   

8.250% due 08/15/2018

     100         115   
     

 

 

 
Total Corporate Bonds & Notes
(Cost $770)
        882   
     

 

 

 

MUNICIPAL BONDS & NOTES 97.1%

     

CALIFORNIA 95.8%

     

Alameda, California Harbor Bay Business Park Assessment Revenue Bonds, Series 1998

     

5.500% due 09/02/2012

     605         611   

Alum Rock, California Union Elementary School District General Obligation Bonds, (AGC Insured), Series 2008

     

5.000% due 08/01/2019

     265         297   

Baldwin Park, California Unified School District General Obligation Notes, Series 2009

     

0.000% due 08/01/2014

     500         464   

Bonita, California Unified School District General Obligation Notes, Series 2009

     

4.000% due 08/01/2017

     125         135   

Brea, California Public Financing Authority Revenue Notes, Series 2010

     

4.000% due 07/01/2016

     65         71   

Burlingame, California Financing Authority Revenue Notes, Series 2010

     

5.000% due 07/01/2018

     250         283   

Cajon Valley, California Union Elementary School District General Obligation Bonds, Series 2008

     

5.000% due 08/01/2019

     1,320         1,505   

California State Association of Bay Area Governments Finance Authority for Non-Profit Corp. Revenue Bonds, (CM Insured), Series 2001

     

5.250% due 04/01/2026

     1,000         1,000   

California State Association of Bay Area Governments Finance Authority for Non-Profit Corp. Revenue Bonds, (CM Insured), Series 2003

     

5.200% due 11/15/2022

     3,000         3,009   

California State Bay Area Toll Authority Revenue Bonds, Series 2009

     

5.000% due 04/01/2020

     500         577   

California State Coast Community College District General Obligation Bonds, (AGM Insured),
Series 2006

     

5.000% due 08/01/2022

     25         27   

California State Department of Water Resources Revenue Bonds, Series 2009

     

5.000% due 12/01/2025

     20         22   

California State Department of Water Resources Revenue Notes, Series 2010

     

5.000% due 05/01/2020

     1,000         1,167   

California State Educational Facilities Authority Revenue Bonds, (NPFGC Insured), Series 2001

     

0.000% due 10/01/2014

     500         459   

California State Educational Facilities Authority Revenue Notes, Series 2005

     

5.000% due 10/01/2013

     570         611   

California State Educational Facilities Authority Revenue Notes, Series 2006

     

5.000% due 11/01/2014

     750         823   

California State General Obligation Bonds, Series 2008

     

5.500% due 08/01/2025

     600         640   

California State General Obligation Bonds, Series 2009

     

5.000% due 07/01/2020

       1,000           1,146   

California State General Obligation Notes, Series 2008

     

5.000% due 04/01/2016

     1,300         1,479   

California State General Obligation Notes, Series 2009

     

5.000% due 07/01/2019

     80         93   

California State General Obligation Notes, Series 2010

     

5.000% due 11/01/2018

     1,750         2,004   

5.000% due 11/01/2019

     500         563   

California State Health Facilities Financing Authority Revenue Bonds, Series 1998

     

5.000% due 07/01/2028

     500         483   

California State Health Facilities Financing Authority Revenue Bonds, Series 2008

     

5.500% due 08/15/2018

     500         575   

California State Health Facilities Financing Authority Revenue Notes, Series 2008

     

6.000% due 10/01/2018

     250         302   

California State Housing Finance Agency Revenue Notes, (FGIC Insured), Series 2006

     

4.500% due 08/01/2012

     1,400         1,407   

California State Infrastructure & Economic Development Bank Revenue Notes, Series 2010

     

4.500% due 12/01/2016

     150         170   

California State Mountain House Public Financing Authority Revenue Notes, Series 2007

     

5.000% due 12/01/2015

     640         669   

California State M-S-R Public Power Agency Revenue Bonds, (AGM Insured), Series 2008

     

5.000% due 07/01/2019

     1,000         1,105   

California State M-S-R Public Power Agency Revenue Notes, (AGM Insured), Series 2008

     

5.000% due 07/01/2018

     2,000         2,249   

California State Municipal Finance Authority Revenue Notes, Series 2007

     

5.000% due 04/01/2016

     435         483   

California State Palomar Pomerado Health Certificates of Participation Bonds, Series 2010

     

5.250% due 11/01/2021

     1,000         987   

California State Pasadena Area Community College District General Obligation Notes, Series 2009

     

5.000% due 08/01/2017

     250         284   

California State Public Works Board Revenue Bonds, (NPFGC Insured), Series 2005

     

5.250% due 11/01/2019

     1,000         1,103   

California State Public Works Board Revenue Bonds, Series 2005

     

5.000% due 04/01/2017

     1,000         1,114   

California State Public Works Board Revenue Notes, (NPFGC/FGIC Insured), Series 2006

     

5.000% due 10/01/2016

     2,500         2,793   

California State Public Works Board Revenue Notes, (NPFGC/FGIC Insured), Series 2007

     

5.000% due 06/01/2016

     100         113   

California State San Joaquin Delta Community College District General Obligation Notes, (AMBAC Insured), Series 2006

     

0.000% due 08/01/2014

     2,000         1,880   

California State San Ramon Valley Unified School District General Obligation Bonds, (NPFGC/FGIC Insured), Series 1998

     

0.000% due 07/01/2018

     2,000         1,530   

California State Southwestern Community College District General Obligation Bonds, (NPFGC/FGIC Insured), Series 2005

     

5.250% due 08/01/2016

     400         456   

California State Tobacco Securitization Agency Revenue Bonds, Series 2002

     

6.125% due 06/01/2043

     1,000         773   

California State Tobacco Securitization Agency Revenue Bonds, Series 2006

     

5.450% due 06/01/2028

     2,150         1,795   

California Statewide Communities Development Authority Revenue Bonds, (CM Insured), Series 2001

     

5.000% due 10/01/2018

     1,500         1,501   

California Statewide Communities Development Authority Revenue Bonds, (SGI Insured), Series 2006

     

4.100% due 04/01/2028

     1,000         1,044   

California Statewide Communities Development Authority Revenue Bonds, Series 2005

     

5.000% due 03/01/2018

     125         130   

California Statewide Communities Development Authority Revenue Bonds, Series 2010

     

5.000% due 11/01/2020

     555         590   

California Statewide Communities Development Authority Revenue Notes, Series 2004

     

5.500% due 05/15/2012

     500         511   

California Statewide Communities Development Authority Revenue Notes, Series 2011

     

4.000% due 08/15/2017

     1,000         1,067   

Campbell, California Redevelopment Agency Tax Allocation Notes, Series 2002

     

4.700% due 10/01/2011

     505         506   

Capistrano, California Unified School District Special Tax Bonds, (NPFGC/FGIC Insured), Series 2005

     

5.000% due 09/01/2017

     500         525   

Capistrano, California Unified School District Special Tax Bonds, Series 2003

     

5.250% due 09/01/2016

     700         714   

5.375% due 09/01/2017

     800         812   

Castaic Lake, California Water Agency Certificates of Participation Notes, Series 2010

     

5.000% due 08/01/2019

     30         34   

Contra Costa, California Water District Revenue Notes, Series 2010

     

4.000% due 10/01/2015

     250         279   

Desert Sands, California Unified School District General Obligation Notes, (AMBAC Insured),
Series 2006

     

0.000% due 06/01/2014

       3,000           2,836   

Diablo, California Water District Certificates of Participation Notes, Series 2010

     

4.000% due 01/01/2016

     125         136   

El Monte, California Union High School District General Obligation Notes, (NPFGC/FGIC Insured), Series 2006

     

0.000% due 06/01/2014

     1,300         1,236   

Encinitas, California Public Financing Authority Revenue Bonds, Series 2010

     

5.000% due 04/01/2015

     140         156   

5.000% due 04/01/2016

     150         169   

Encinitas, California Union School District General Obligation Bonds, (NPFGC Insured), Series 1996

     

0.000% due 08/01/2018

     1,500         1,139   

Fresno, California Revenue Bonds, (AGC Insured), Series 2008

     

5.000% due 09/01/2019

     700         787   


               

Fresno, California Revenue Notes, Series 2010

     

4.000% due 06/01/2016

     40         43   

Hawthorne, California School District General Obligation Notes, (AGC Insured), Series 2009

     

0.000% due 08/01/2014

     125         116   

0.000% due 08/01/2015

     140         124   

Inland Empire, California Tobacco Securitization Authority Revenue Bonds, Series 2007

     

4.625% due 06/01/2021

     795         627   

Lafayette, California Elementary School District General Obligation Notes, Series 2010

     

5.000% due 08/01/2016

     155         180   

Long Beach, California Bond Finance Authority Revenue Bonds, Series 2007

     

5.250% due 11/15/2018

     1,000         1,042   

5.250% due 11/15/2019

     500         515   

Long Beach, California Special Tax Bonds, Series 2008

     

5.375% due 10/01/2022

     250         247   

Long Beach, California Unified School District General Obligation Notes, Series 2009

     

5.000% due 08/01/2017

     200         231   

Los Angeles County, California Metropolitan Transportation Authority Revenue Notes, Series 2010

     

4.000% due 07/01/2015

     200         219   

5.000% due 06/01/2018

       1,415           1,641   

Los Angeles County, California Schools Regionalized Business Services Corp. Certificates of Participation Notes, (AGM Insured), Series 2010

     

5.000% due 06/01/2018

     640         725   

Los Angeles, California Department of Airports Revenue Bonds, Series 2010

     

4.500% due 05/15/2022

     250         269   

Los Angeles, California Department of Airports Revenue Notes, (NPFGC Insured), Series 2006

     

5.000% due 05/15/2016

     1,000         1,105   

Los Angeles, California Department of Airports Revenue Notes, Series 2010

     

5.000% due 05/15/2019

     650         742   

Los Angeles, California Department of Water & Power Revenue Bonds, (NPFGC Insured), Series 2003

     

5.000% due 07/01/2016

     1,000         1,071   

Los Angeles, California Municipal Improvement Corp. Revenue Bonds, Series 2008

     

5.000% due 09/01/2019

     250         267   

Los Gatos, California Unified School District General Obligation Notes, Series 2010

     

4.000% due 08/01/2016

     25         28   

Mesa, California Consolidated Water District Certificates of Participation Notes, Series 2009

     

4.000% due 03/15/2014

     250         267   

Modesto, California Irrigation District Certificates of Participation Notes, (AMBAC Insured),
Series 2006

     

5.000% due 10/01/2015

     1,545         1,719   

Monte Vista, California Water District Certificates of Participation Notes, Series 2010

     

3.000% due 10/01/2016

     30         32   

Morgan Hill, California Unified School District General Obligation Notes, (AMBAC Insured),
Series 2006

     

0.000% due 08/01/2016

     500         427   

Mount San Antonio, California Community College District General Obligation Bonds, (NPFGC Insured), Series 2005

     

0.000% due 08/01/2016

     1,000         853   

Mount San Antonio, California Community College District General Obligation Notes, Series 2010

     

0.000% due 05/01/2015

       1,000         902   

Newport Beach, California Revenue Notes, Series 2011

     

5.000% due 12/01/2017

     240         272   

Newport Beach, California Special Assessment Notes, Series 2010

     

3.000% due 09/02/2016

     165         164   

Oakland, California Port Authority Revenue Bonds, (NPFGC/FGIC Insured), Series 2000

     

5.750% due 11/01/2012

     495         497   

Palm Springs, California Revenue Notes, Series 2008

     

5.300% due 07/01/2013

     165         168   

Redondo Beach, California Unified School District General Obligation Notes, Series 2010

     

4.000% due 08/01/2020

     70         74   

Riverbank, California Redevelopment Agency Tax Allocation Notes, Series 2007

     

4.100% due 08/01/2013

     255         136   

Sacramento County, California Sanitation District Revenue Bonds, (NPFGC/FGIC Insured),
Series 2006

     

5.000% due 12/01/2017

     1,000         1,135   

Sacramento County, California Sanitation Districts Financing Authority Revenue Notes, Series 2010

     

3.000% due 12/01/2012

     25         26   

4.000% due 08/01/2016

     230         254   

Sacramento, California Municipal Utility District Revenue Bonds, Series 1983

     

9.000% due 04/01/2013

     260         286   

Sacramento, California Municipal Utility District Revenue Notes, (AGM Insured), Series 2008

     

5.000% due 08/15/2016

     100         114   

San Diego County, California Certificates of Participation Notes, Series 2006

     

5.000% due 09/01/2013

     1,340         1,398   

San Diego County, California Regional Airport Authority Revenue Notes, Series 2010

     

5.000% due 07/01/2017

     815         909   

San Diego, California Public Facilities Financing Authority Revenue Notes, Series 2009

     

5.000% due 05/15/2017

     500         576   

San Diego, California Redevelopment Agency Tax Allocation Bonds, (SGI Insured), Series 2004

     

5.250% due 09/01/2016

     1,000         1,062   

San Fernando, California Redevelopment Agency Tax Allocation Bonds, Series 2006

     

4.500% due 09/15/2017

     1,425         1,387   

San Francisco, California City & County Airports Commission Revenue Bonds, (NPFGC/FGIC Insured), Series 2006

     

5.250% due 05/01/2019

       2,960           3,312   

San Francisco, California City & County Airports Commission Revenue Bonds, Series 2010

     

5.000% due 05/01/2023

     25         26   

San Francisco, California City & County Public Utilities Commission Revenue Bonds, Series 2010

     

5.000% due 11/01/2020

     20         23   

San Francisco, California City & County Public Utilities Commission Revenue Notes, Series 2009

     

4.000% due 11/01/2018

     1,000         1,085   

San Jose, California Redevelopment Agency Tax Allocation Bonds, (NPFGC Insured), Series 2005

     

5.000% due 08/01/2017

     1,000         992   

San Jose, California Redevelopment Agency Tax Allocation Bonds, Series 2008

     

6.500% due 08/01/2019

     1,000         1,038   

San Luis Obispo County, California Financing Authority Revenue Bonds, (NPFGC Insured),
Series 2007

     

5.000% due 09/01/2018

     750         822   

San Mateo, California Union High School District General Obligation Bonds, (NPFGC/FGIC Insured), Series 2002

     

0.000% due 09/01/2020

     2,300         1,506   

Santa Clara County, California Financing Authority Revenue Notes, Series 2008

     

5.000% due 11/15/2016

     185         212   

Santa Cruz County, California Redevelopment Agency Tax Allocation Bonds, Series 2009

     

7.000% due 09/01/2036

     1,000         1,038   

Sonoma County, California Junior College District General Obligation Bonds, (NPFGC Insured),
Series 2007

     

5.000% due 08/01/2018

     1,250         1,391   

Torrance, California Revenue Notes, Series 2010

     

3.000% due 09/01/2016

     200         202   

University of California Regents Medical Center Revenue Bonds, Series 2008

     

5.000% due 05/15/2018

     350         395   

University of California Regents Medical Center Revenue Notes, Series 2008

     

5.000% due 05/15/2017

     2,000         2,250   

University of California Revenue Bonds, (AGM Insured), Series 2005

     

5.000% due 05/15/2016

     1,640         1,778   

University of California Revenue Notes, (AGM Insured), Series 2007

     

5.000% due 05/15/2015

     75         86   

University of California Revenue Notes, Series 2009

     

5.000% due 05/15/2016

     85         98   

Victor Valley, California Union High School District General Obligation Notes, (AGC Insured),
Series 2009

     

0.000% due 08/01/2013

     400         388   

West Contra Costa, California Unified School District General Obligation Notes, (AGC Insured),
Series 2009

     

5.000% due 08/01/2017

     1,000         1,107   
     

 

 

 
          91,028   
     

 

 

 

NEW JERSEY 0.2%

     

New Jersey State Economic Development Authority Revenue Bonds, Series 1998

     

6.500% due 04/01/2018

     200         207   
     

 

 

 

TEXAS 0.1%

     

Houston, Texas Airport Systems Revenue Bonds, Series 1997

     

6.125% due 07/15/2017

     100         97   
     

 

 

 

VIRGIN ISLANDS 1.0%

     

Virgin Islands Public Finance Authority Revenue Bonds, Series 2003

     

6.125% due 07/01/2022

     1,000         942   
     

 

 

 
Total Municipal Bonds & Notes
(Cost $90,100)
          92,274   
     

 

 

 


     SHARES         

CONVERTIBLE PREFERRED SECURITIES 0.0%

     

BANKING & FINANCE 0.0%

     

American International Group, Inc.

     

8.500% due 08/01/2011

       5,200           9   
     

 

 

 
Total Convertible Preferred Securities
(Cost $374)
        9   
     

 

 

 
     PRINCIPAL
AMOUNT
(000s)
        

SHORT-TERM INSTRUMENTS 1.7%

     

REPURCHASE AGREEMENTS 1.4%

     

State Street Bank and Trust Co.

     

0.010% due 07/01/2011

   $ 1,333         1,333   
     

 

 

 

(Dated 06/30/2011. Collateralized by U.S. Treasury Notes 3.125% due 04/30/2017 valued at $1,360. Repurchase proceeds are $1,333.)

     

U.S. TREASURY BILLS 0.3%

     

0.048% due 09/15/2011 (a)

     260         260   
     

 

 

 
Total Short-Term Instruments
(Cost $1,593)
        1,593   
     

 

 

 
Total Investments 99.7%
(Cost $92,837)
      $   94,758   
Other Assets and Liabilities (Net) 0.3%         314   
     

 

 

 
Net Assets 100.0%       $   95,072   
     

 

 

 


Notes to Schedule of Investments (amounts in thousands*):

 

* A zero balance may reflect actual amounts rounding to less than one thousand.

 

(a) Securities with an aggregate market value of $260 have been pledged as collateral as of June 30, 2011 for swap contracts as governed by International Swaps and Derivatives Association, Inc. Master Agreements.

 

(b) Swap agreements outstanding on June 30, 2011:

 

Credit Default Swaps on Credit Indices - Sell Protection (1)

 

Index/Tranches   Counterparty   Fixed Deal
Receive Rate
    Maturity
Date
     Notional
Amount  (3)
    Market
Value  (4)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
 

MCDX-15 5-Year Index

  CITI     1.000%        12/20/2015       $   1,800      $ (15   $ (36   $ 21   

MCDX-15 5-Year Index

  DUB     1.000%        12/20/2015         200        (2     (6     4   

MCDX-16 5-Year Index

  CITI     1.000%        06/20/2016         1,400        (17     (15     (2

MCDX-16 5-Year Index

  DUB     1.000%        06/20/2016         1,000        (12     (14     2   

MCDX-16 5-Year Index

 

MSC

    1.000%        06/20/2016         7,250        (92     (65       (27
          

 

 

   

 

 

   

 

 

 
           $   (138   $   (136   $ (2
          

 

 

   

 

 

   

 

 

 

 

Credit Default Swaps on U.S. Municipal Issues - Sell Protection (1)

 

Reference Entity   Counterparty   Fixed
Deal
Receive
Rate
    Maturity
Date
    Implied Credit
Spread at
June 30, 2011 (2)
    Notional
Amount  (3)
    Market
Value
    Premiums
Paid/(Received)
    Unrealized
Appreciation
 

California State General Obligation Bonds, Series 2003

  CITI     1.850%        03/20/2016        1.337%      $   5,000      $ 114      $ 0      $ 114   

California State General Obligation Bonds, Series 2003

  DUB     1.850%        03/20/2016        1.337%        5,000        114        0        114   

California State General Obligation Bonds, Series 2003

  GSC     1.835%        03/20/2016        1.479%        700        11        0        11   
           

 

 

   

 

 

   

 

 

 
            $   239      $   0      $   239   
           

 

 

   

 

 

   

 

 

 

 

(1)  If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(2)  Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on U.S. municipal issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
(3)  The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
(4)  The quoted market prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

Interest Rate Swaps

 

Pay/

Receive
Floating

Rate

  Floating Rate Index   Fixed Rate     Maturity
Date
    Counterparty   Notional
Amount
    Market
Value
    Premiums
Paid/(Received)
    Unrealized
(Depreciation)
 
Receive  

3-Month USD-LIBOR

    4.750%        06/20/2042      BOA   $   1,600      $ (127   $ (15   $ (112
Receive  

3-Month USD-LIBOR

    4.750%        06/20/2042      CITI     3,300        (261     (56     (205
Receive  

3-Month USD-LIBOR

    4.750%        06/20/2042      MSC     2,500        (198     40        (238
           

 

 

   

 

 

   

 

 

 
            $   (586   $ (31   $ (555
           

 

 

   

 

 

   

 

 

 

 

(c)

Fair Value Measurements (1)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2011 in valuing the Fund’s assets and liabilities (2):

 

Category and Subcategory (3)    Level 1  (4)      Level 2  (5)     Level 3  (6)      Fair Value
at 06/30/2011
 

Investments, at value

          

Corporate Bonds & Notes

          

Banking & Finance

   $ 0       $ 882      $   0       $ 882   

Municipal Bonds & Notes

          

California

     0           91,028        0         91,028   

New Jersey

     0         207        0         207   

Texas

     0         97        0         97   

Virgin Islands

     0         942        0         942   

Convertible Preferred Securities

          

Banking & Finance

     9         0        0         9   

Short-Term Instruments

          

Repurchase Agreements

     0         1,333        0         1,333   

U.S. Treasury Bills

     0         260        0         260   
   $ 9       $ 94,749      $ 0       $ 94,758   

Financial Derivative Instruments (7) - Assets

          

Credit Contracts

   $ 0       $ 266      $ 0       $ 266   

Financial Derivative Instruments (7) - Liabilities

          

Credit Contracts

     0         (29     0         (29

Interest Rate Contracts

     0         (555     0         (555
     $   0       $ (584   $   0       $ (584

Totals

   $   9       $   94,431      $ 0       $   94,440   

 

(1)  See note 2 in the Supplementary Notes to Schedule of Investments for additional information.
(2)  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2011.
(3)  Refer to the Schedule of Investments for additional information.
(4)  Quoted prices in active markets for identical investments.
(5)  Significant other observable inputs.
(6)  Significant unobservable inputs.
(7)  Financial Derivative Instruments may include open futures contracts, swap agreements, written options, and foreign currency contracts.

 

See Accompanying Notes


Schedule of Investments

PIMCO California Short Duration Municipal Income Fund

June 30, 2011 (Unaudited)

 

     PRINCIPAL
AMOUNT
(000s)
     MARKET
VALUE
(000s)
 

CORPORATE BONDS & NOTES 0.1%

     

BANKING & FINANCE 0.1%

     

American International Group, Inc.

     

5.600% due 10/18/2016

   $ 100       $ 104   

8.175% due 05/15/2068

     100         110   

General Electric Capital Corp.

     

0.444% due 07/27/2012

     150         150   
     

 

 

 
Total Corporate Bonds & Notes
(Cost $311)
        364   
     

 

 

 

MUNICIPAL BONDS & NOTES 94.1%

     

CALIFORNIA 91.9%

     

Alameda County, California Certificates of Participation Bonds, (AMBAC Insured), Series 2007

     

5.000% due 12/01/2017

     495         547   

Alta Loma, California School District General Obligation Bonds, (NPFGC/FGIC Insured), Series 1999

     

0.000% due 08/01/2012

     400         396   

Anaheim, California Public Financing Authority Revenue Notes, Series 2008

     

4.000% due 08/01/2012

     350         361   

Atascadero, California Public Financing Authority Revenue Notes, Series 2010

     

3.000% due 10/01/2014

     110         115   

Berkeley, California General Obligation Notes, Series 2010

     

4.000% due 09/01/2012

     10         10   

Beverly Hills, California Public Financing Authority Revenue Notes, Series 2010

     

4.000% due 06/01/2013

     800         850   

Brea, California Public Financing Authority Revenue Notes, Series 2010

     

3.000% due 07/01/2012

     415         424   

3.000% due 07/01/2013

     250         259   

Brentwood, California Union School District General Obligation Bonds, (NPFGC/FGIC Insured),
Series 2007

     

5.250% due 08/01/2017

     110         122   

Brentwood, California Union School District General Obligation Notes, (NPFGC/FGIC Insured), Series 2007

     

5.250% due 08/01/2016

     135         151   

Burlingame, California Financing Authority Revenue Notes, (SGI Insured ), Series 2004

     

3.875% due 12/01/2012

     15         16   

Burlingame, California Financing Authority Revenue Notes, Series 2010

     

5.000% due 07/01/2016

     35         40   

Calaveras, California Unified School District General Obligation Notes, (AGC Insured), Series 2009

     

3.000% due 08/01/2012

     560         574   

3.000% due 08/01/2013

     460         477   

Calaveras, California Unified School District General Obligation Notes, Series 2009

     

3.000% due 08/01/2011

     300         301   

California State Association of Bay Area Governments Finance Authority for Non-Profit Corp. Revenue Notes, (CM Insured), Series 2010

     

3.000% due 09/01/2012

     775         783   

4.000% due 09/01/2015

     750         782   

California State Bay Area Toll Authority Revenue Notes, Series 2006

     

5.000% due 04/01/2015

     100         114   

California State Calleguas-Las Virgenes Public Financing Authority Revenue Notes, Series 2009

     

4.000% due 11/01/2013

     400         426   

California State Cardiff School District General Obligation Notes, Series 2010

     

3.000% due 08/01/2013

     500         522   

California State Central Contra Costa Sanitation District Certificates of Participation Notes, Series 2009

     

4.000% due 09/01/2011

     1,000         1,006   

California State Cerritos Community College District General Obligation Notes, Series 2009

     

4.000% due 08/01/2011

     400         401   

California State Department of Water Resources Revenue Bonds, (AMBAC Insured), Series 2002

     

5.500% due 05/01/2014

     315         332   

California State Department of Water Resources Revenue Notes, (NPFGC/IBC Insured), Series 2002

     

5.500% due 05/01/2012

     700         730   

California State Department of Water Resources Revenue Notes, Series 2008

     

4.000% due 12/01/2012

     855         898   

California State Department of Water Resources Revenue Notes, Series 2010

     

2.000% due 05/01/2012

     1,150         1,166   

4.000% due 05/01/2014

     2,600         2,822   

5.000% due 05/01/2012

     100         104   

5.000% due 05/01/2013

     305         329   

California State East Side Union High School District General Obligation Bonds, (NPFGC Insured), Series 2003

     

4.900% due 02/01/2015

     150         162   

California State East Side Union High School District General Obligation Notes, (AGC Insured), Series 2008

     

5.000% due 08/01/2016

     575         648   

California State East Side Union High School District General Obligation Notes, (SGI Insured),
Series 2005

     

4.000% due 08/01/2012

     200         206   

California State Educational Facilities Authority Revenue Bonds, Series 2008

     

0.060% due 10/01/2026

     260         260   

California State Educational Facilities Authority Revenue Notes, Series 2005

     

5.000% due 10/01/2012

     540         566   

5.000% due 10/01/2014

     500         546   

California State Educational Facilities Authority Revenue Notes, Series 2006

     

5.000% due 11/01/2011

     625         633   

5.000% due 11/01/2013

     525         565   

California State Educational Facilities Authority Revenue Notes, Series 2009

     

4.000% due 11/01/2013

     50         53   

5.000% due 04/01/2013

     175         186   

California State Educational Facilities Authority Revenue Notes, Series 2010

     

0.910% due 10/01/2015

     3,790         3,816   

2.000% due 02/01/2013

     165         168   

3.000% due 10/01/2012

     1,315         1,351   

4.000% due 02/01/2014

     250         267   

California State Enterprise Development Authority Revenue Notes, Series 2010

     

4.000% due 09/01/2013

     200         213   

4.000% due 09/01/2014

     220         237   

California State General Obligation Bonds, (NPFGC/FGIC Insured), Series 2004

     

5.250% due 07/01/2014

     80         90   

California State General Obligation Bonds, Series 2004

     

0.030% due 05/01/2034

     1,840         1,840   

5.000% due 07/01/2016

     2,000         2,006   

California State General Obligation Notes, (AGM-CR Insured), Series 2004

     

5.250% due 07/01/2013

     1,500         1,637   

California State General Obligation Notes, Series 2004

     

5.250% due 07/01/2012

     1,175         1,231   

California State General Obligation Notes, Series 2008

     

5.000% due 04/01/2015

     450         505   

California State General Obligation Notes, Series 2010

     

4.000% due 11/01/2013

     500         533   

California State Health Facilities Financing Authority Revenue Bonds, Series 2004

     

4.950% due 07/01/2026

     645         699   

California State Health Facilities Financing Authority Revenue Bonds, Series 2008

     

5.500% due 08/15/2018

     250         287   

California State Health Facilities Financing Authority Revenue Bonds, Series 2009

     

0.030% due 09/01/2038

     100         100   

5.000% due 07/01/2037

     1,250         1,295   

California State Health Facilities Financing Authority Revenue Notes, (NPFGC Insured), Series 2003

     

5.000% due 11/01/2011

     150         152   

California State Health Facilities Financing Authority Revenue Notes, Series 2008

     

5.000% due 08/15/2014

     1,000         1,099   

California State Health Facilities Financing Authority Revenue Notes, Series 2009

     

5.000% due 08/15/2011

     1,000         1,004   

5.000% due 03/01/2014

     250         268   

5.000% due 08/15/2014

     350         384   

California State Health Facilities Financing Authority Revenue Notes, Series 2010

     

3.000% due 11/15/2013

     750         781   

4.000% due 11/15/2011

     1,000         1,013   

5.000% due 11/15/2012

       1,000           1,055   

California State Housing Finance Agency Revenue Notes, Series 2010

     

2.375% due 08/01/2014

     3,170         3,152   

California State Infrastructure & Economic Development Bank Revenue Bonds, Series 2008

     

0.050% due 12/01/2031

     970         970   

California State Infrastructure & Economic Development Bank Revenue Bonds, Series 2010

     

2.250% due 11/01/2026

     3,250         3,290   

California State Infrastructure & Economic Development Bank Revenue Notes, (AMBAC Insured),
Series 2004

     

5.250% due 10/01/2013

     1,250         1,365   

California State Infrastructure & Economic Development Bank Revenue Notes, Series 2008

     

3.000% due 10/01/2011

     400         402   

5.000% due 02/01/2014

     750         806   

California State Infrastructure & Economic Development Bank Revenue Notes, Series 2010

     

3.000% due 12/01/2012

     600         622   

3.000% due 05/15/2013

     415         431   

California State Los Rios Community College District General Obligation Notes, Series 2010

     

4.000% due 08/01/2014

     100         108   


               

California State M-S-R Public Power Agency Revenue Bonds, (NPFGC Insured), Series 1997

     

4.100% due 07/01/2016

     20         21   

California State M-S-R Public Power Agency Revenue Notes, (NPFGC Insured), Series 2007

     

5.000% due 07/01/2011

     510         510   

California State Municipal Finance Authority Revenue Notes, Series 2010

     

3.000% due 07/01/2013

     350         352   

California State Northern Power Agency Revenue Notes, Series 2008

     

5.000% due 07/01/2012

     1,500         1,562   

California State Northern Power Agency Revenue Notes, Series 2009

     

5.000% due 07/01/2014

     420         462   

California State Northern Power Agency Revenue Notes, Series 2010

     

3.000% due 06/01/2013

     2,850         2,942   

California State Ohlone Community College District General Obligation Notes, Series 2010

     

4.000% due 08/01/2015

     150         166   

4.000% due 08/01/2016

     200         222   

4.000% due 08/01/2020

     60         64   

California State OMWD Financing Authority Revenue Notes, Series 2009

     

3.000% due 06/01/2012

     160         164   

California State Padre Dam Municipal Water District Certificates of Participation Notes, Series 2009

     

3.000% due 10/01/2011

     200         201   

California State Pollution Control Financing Authority Revenue Bonds, Series 1996

     

0.030% due 11/01/2026

     2,100         2,100   

California State Pollution Control Financing Authority Revenue Bonds, Series 2009

     

2.600% due 12/01/2046

     2,500         2,539   

California State Public Works Board Revenue Bonds, (AMBAC Insured), Series 2005

     

5.000% due 01/01/2019

     150         157   

California State Public Works Board Revenue Bonds, (NPFGC Insured), Series 2005

     

5.250% due 11/01/2019

     270         298   

California State Public Works Board Revenue Bonds, (NPFGC/FGIC Insured), Series 2006

     

5.250% due 10/01/2017

     380         428   

California State Public Works Board Revenue Notes, Series 2003

     

5.500% due 06/01/2013

     750         800   

California State Public Works Board Revenue Notes, Series 2010

     

4.000% due 03/01/2013

     2,680         2,827   

4.000% due 03/01/2014

       3,630           3,820   

California State Rim World Unified School District General Obligation Notes, (AGM Insured), Series 2009

     

3.000% due 08/01/2012

     275         282   

California State University Revenue Bonds, (AMBAC Insured), Series 2005

     

5.000% due 11/01/2015

     80         89   

California State University Revenue Notes, (AGM Insured), Series 2004

     

3.500% due 11/01/2012

     2,565         2,668   

California State University Revenue Notes, (AMBAC Insured), Series 2005

     

5.000% due 11/01/2011

     1,400         1,421   

California Statewide Communities Development Authority Revenue Bonds, (AGM Insured), Series 2007

     

5.250% due 07/01/2018

     250         279   

California Statewide Communities Development Authority Revenue Bonds, (SGI Insured), Series 2006

     

4.100% due 04/01/2028

     3,000         3,133   

California Statewide Communities Development Authority Revenue Bonds, Series 2001

     

3.900% due 08/01/2031

     1,050         1,136   

California Statewide Communities Development Authority Revenue Bonds, Series 2002

     

3.850% due 11/01/2029

     255         263   

California Statewide Communities Development Authority Revenue Bonds, Series 2008

     

0.030% due 08/15/2027

     3,200         3,200   

California Statewide Communities Development Authority Revenue Notes, (AGM Insured), Series 2004

     

5.000% due 08/15/2012

     425         444   

California Statewide Communities Development Authority Revenue Notes, (AGM Insured), Series 2007

     

5.000% due 07/01/2014

     750         818   

California Statewide Communities Development Authority Revenue Notes, (FHA Insured), Series 2009

     

5.500% due 08/01/2012

     1,215         1,270   

5.500% due 08/01/2014

     2,610         2,874   

California Statewide Communities Development Authority Revenue Notes, (NPFGC Insured), Series 2005

     

5.000% due 05/01/2015

     150         162   

California Statewide Communities Development Authority Revenue Notes, Series 2004

     

5.500% due 05/15/2012

     750         767   

California Statewide Communities Development Authority Revenue Notes, Series 2005

     

5.000% due 07/01/2011

     325         325   

5.000% due 07/01/2012

     640         664   

5.000% due 07/01/2013

     850         909   

California Statewide Communities Development Authority Revenue Notes, Series 2006

     

4.500% due 11/15/2012

     370         372   

California Statewide Communities Development Authority Revenue Notes, Series 2009

     

4.000% due 06/15/2013

     700         740   

5.000% due 04/01/2013

     4,510         4,849   

5.000% due 06/15/2013

     4,040         4,346   

California Statewide Communities Development Authority Revenue Notes, Series 2010

     

3.000% due 11/01/2012

     250         255   

California Statewide Financing Authority Revenue Notes, Series 2002

     

4.600% due 05/01/2012

     1,030         1,045   

Campbell, California Union High School District General Obligation Notes, Series 2010

     

3.000% due 08/01/2012

     225         231   

Capistrano, California Unified School District Community Facilities District No. 87-1 Special Tax Notes, (AMBAC Insured), Series 2006

     

5.000% due 09/01/2014

     1,100         1,177   

Carlsbad, California Unified School District Certificates of Participation Notes, Series 2009

     

2.000% due 10/01/2011

     425         426   

Carlsbad, California Unified School District General Obligation Notes, Series 2011

     

0.000% due 08/01/2012

     400         397   

0.000% due 08/01/2013

     500         486   

Castaic Lake, California Water Agency Certificates of Participation Notes, Series 2010

     

4.000% due 08/01/2012

     610         633   

4.000% due 08/01/2015

     130         143   

Central Valley, California Financing Authority Revenue Notes, Series 2009

     

3.000% due 07/01/2011

     750         750   

4.000% due 07/01/2012

     750         772   

Chino Hills, California Special Tax Notes, (AGM Insured), Series 2010

     

2.000% due 09/01/2011

     90         90   

3.000% due 09/01/2012

     125         128   

3.000% due 09/01/2013

     200         206   

Citrus Heights, California Water District Certificates of Participation Notes, Series 2010

     

2.000% due 10/01/2011

     90         90   

2.000% due 10/01/2012

     220         223   

4.000% due 10/01/2017

     250         260   

4.000% due 10/01/2019

     100         102   

Cucamonga County, California Water District Certificates of Participation Notes, (AGM Insured), Series 2009

     

2.500% due 09/01/2011

     450         451   

Cucamonga County, California Water District Certificates of Participation Notes, (NPFGC Insured), Series 2006

     

4.000% due 09/01/2014

     250         269   

Desert Sands, California Unified School District Certificates of Participation Notes, Series 2008

     

4.000% due 03/01/2012

     1,000         1,019   

Desert Sands, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006

     

0.000% due 06/01/2014

     1,000         946   

El Dorado, California Union High School District Certificates of Participation Notes, Series 2009

     

0.000% due 12/01/2013

     460         429   

El Monte, California School District General Obligation Notes, (NPFGC/FGIC Insured), Series 2005

     

0.000% due 05/01/2012

     1,555         1,541   

El Monte, California Union High School District General Obligation Notes, (NPFGC/FGIC Insured), Series 2006

     

0.000% due 06/01/2013

     500         489   

0.000% due 06/01/2014

     1,345         1,279   

Encinitas, California Public Financing Authority Revenue Bonds, Series 2010

     

3.000% due 04/01/2012

     250         254   

3.000% due 04/01/2013

     535         553   

Escondido, California General Obligation Notes, (NPFGC Insured), Series 2006

     

5.000% due 09/01/2015

     730         822   

Folsom, California Redevelopment Agency Tax Allocation Notes, Series 2009

     

3.000% due 08/01/2011

     360         360   

Fremont, California Unified School District General Obligation Notes, Series 2009

     

4.000% due 08/01/2012

     610         633   

4.000% due 08/01/2013

     700         742   

Fresno, California Unified School District General Obligation Notes, (NPFGC Insured), Series 2005

     

5.000% due 08/01/2014

     300         334   

Fullerton, California Joint Union High School District General Obligation Notes, Series 2010

     

4.000% due 08/01/2012

     45         47   

4.000% due 08/01/2015

     150         165   


               

Golden Empire, California Schools Financing Authority Revenue Notes, Series 2010

     

4.000% due 05/01/2012

     2,000         2,053   

Golden State, California Tobacco Securitizatino Corp. Revenue Bonds, (FGIC Insured), Series 2003

     

5.500% due 06/01/2033

     15         16   

Golden State, California Tobacco Securitization Corp. Revenue Bonds, (AMBAC Insured), Series 2003

     

5.000% due 06/01/2038

     1,185         1,284   

5.000% due 06/01/2043

     100         108   

Golden State, California Tobacco Securitization Corp. Revenue Bonds, (FGIC Insured), Series 2003

     

5.625% due 06/01/2038

     100         110   

Golden State, California Tobacco Securitization Corp. Revenue Bonds, (SGI/ICR Insured), Series 2003

     

5.500% due 06/01/2043

     1,735         1,896   

Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2003

     

5.500% due 06/01/2033

     800         874   

5.500% due 06/01/2043

     2,655         2,901   

6.250% due 06/01/2033

     4,785         5,204   

6.625% due 06/01/2040

     2,020         2,250   

7.875% due 06/01/2042

     105         119   

Golden State, California Tobacco Securitization Corp. Revenue Notes, Series 2007

     

4.200% due 06/01/2012

     1,800         1,823   

Hawthorne, California School District General Obligation Notes, (AGC Insured), Series 2009

     

0.000% due 08/01/2011

     185         185   

0.000% due 08/01/2012

     100         99   

0.000% due 08/01/2013

     115         111   

Huntington Beach, California Public Financing Authority Revenue Notes, Series 2010

     

3.000% due 09/01/2012

     250         257   

4.000% due 09/01/2013

     225         238   

Industry, California General Obligation Notes, Series 2009

     

4.000% due 07/01/2011

     275         275   

4.000% due 07/01/2012

       1,000           1,035   

5.000% due 07/01/2013

     750         809   

Irvine, California Ranch Water District General Obligation Bonds, Series 2009

     

0.030% due 10/01/2041

     3,200         3,200   

Irvine, California Ranch Water District Revenue Bonds, Series 1991

     

0.060% due 08/01/2016

     3,750         3,750   

Irvine, California Special Assessment Bonds, Series 1994

     

0.040% due 09/02/2020

     438         438   

Irvine, California Special Assessment Bonds, Series 2000

     

0.030% due 09/02/2025

     1,300         1,300   

Jefferson, California Union High School District General Obligation Notes, (AGM Insured), Series 2010

     

3.000% due 08/01/2012

     200         205   

La Habra, California Utility Authority Revenue Notes, Series 2010

     

3.000% due 11/01/2012

     175         181   

Laguna Beach, California General Obligation Bonds, Series 2001

     

5.000% due 08/15/2011

     125         126   

Lake Arrowhead, California Community Services District Certificates of Participation Notes, Series 2009

     

2.500% due 10/01/2011

     645         648   

3.000% due 10/01/2012

     300         308   

Lancaster, California Redevelopment Agency Revenue Notes, Series 2010

     

3.000% due 12/01/2011

     120         120   

Lincoln, California Unified School District Special Tax Notes, (AMBAC Insured), Series 2006

     

5.000% due 09/01/2015

     185         200   

Long Beach, California Revenue Notes, Series 2009

     

4.000% due 06/01/2012

     90         92   

4.000% due 06/01/2013

     110         114   

Long Beach, California Revenue Notes, Series 2010

     

4.000% due 05/15/2013

     2,000         2,116   

Long Beach, California Unified School District General Obligation Notes, Series 2009

     

5.000% due 08/01/2011

     1,000         1,003   

Los Angeles County, California Metropolitan Transportation Authority Revenue Notes, (NPFGC Insured), Series 2003

     

5.250% due 07/01/2012

     155         162   

Los Angeles, California Community College District General Obligation Notes, Series 2008

     

3.000% due 08/01/2011

     250         250   

3.000% due 08/01/2012

     500         514   

Los Angeles, California Department of Airports Revenue Notes, (NPFGC Insured), Series 2003

     

5.000% due 05/15/2012

     230         239   

Los Angeles, California Department of Airports Revenue Notes, Series 2009

     

5.000% due 05/15/2013

     250         268   

Los Angeles, California Department of Airports Revenue Notes, Series 2010

     

3.000% due 05/15/2013

     690         718   

Los Angeles, California Department of Water & Power Revenue Bonds, Series 2001

     

0.030% due 07/01/2034

     400         400   

Los Angeles, California Department of Water & Power Revenue Notes, (AMBAC Insured), Series 2006

     

5.000% due 07/01/2013

     500         543   

Los Angeles, California General Obligation Notes, (NPFGC Insured), Series 2002

     

5.250% due 09/01/2011

     730         736   

Los Angeles, California Harbor Department Revenue Notes, Series 2009

     

5.000% due 08/01/2012

     1,000         1,050   

Los Angeles, California Municipal Improvement Corp. Revenue Notes, (NPFGC Insured), Series 2007

     

5.000% due 08/01/2013

     1,000         1,067   

Los Angeles, California Municipal Improvement Corp. Revenue Notes, Series 2010

     

3.000% due 11/01/2012

     545         558   

Los Angeles, California Revenue Notes, (FHLMC Insured), Series 2010

     

1.125% due 08/01/2013

     750         750   

Los Angeles, California Unified School District Certificates of Participation Notes, Series 2010

     

3.000% due 12/01/2011

     750         755   

3.000% due 12/01/2012

     2,205         2,251   

Los Angeles, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006

     

5.000% due 07/01/2016

     200         230   

Los Angeles, California Unified School District General Obligation Notes, Series 2010

     

4.000% due 07/01/2012

     300         311   

Los Angeles, California Wastewater System Revenue Notes, (AMBAC Insured), Series 2006

     

4.500% due 02/01/2013

     250         265   

Los Angeles, California Wastewater System Revenue Notes, Series 2009

     

4.000% due 02/01/2013

     1,985         2,093   

Menlo Park, California City School District General Obligation Notes, Series 2010

     

0.000% due 07/01/2013

     150         146   

Mesa, California Consolidated Water District Certificates of Participation Notes, Series 2009

     

3.000% due 03/15/2012

     400         407   

Mission Viejo, California Community Development Financing Authority Revenue Notes, Series 2009

     

5.000% due 05/01/2013

     530         569   

Monrovia, California Unified School District General Obligation Notes, Series 2010

     

3.000% due 08/01/2012

     250         256   

Montebello, California Unified School District General Obligation Notes, (AGM Insured), Series 2008

     

3.000% due 08/01/2011

     145         145   

Monterey County, California Certificates of Participation Notes, (AGM Insured), Series 2009

     

4.000% due 08/01/2013

     1,455         1,531   

Monterey Peninsula, California Community College District General Obligation Notes, (NPFGC Insured),
Series 2006

     

0.000% due 08/01/2012

     250         247   

Mount Diablo, California Unified School District General Obligation Notes, (NPFGC Insured), Series 2006

     

5.000% due 06/01/2012

     85         88   

Mount San Antonio, California Community College District General Obligation Notes, Series 2010

     

0.000% due 05/01/2015

     1,935         1,746   

Newport Beach, California Revenue Bonds, Series 2009

     

5.000% due 12/01/2038

     1,500         1,596   

Newport Beach, California Special Assessment Notes, Series 2010

     

3.000% due 09/02/2012

     145         147   

3.000% due 09/02/2014

     155         158   

Norco, California Redevelopment Agency Tax Allocation Notes, Series 2010

     

3.000% due 03/01/2013

     125         124   

Norwalk, California Redevelopment Agency Tax Allocation Notes, (NPFGC Insured), Series 2005

     

5.000% due 10/01/2012

     720         736   

Norwalk-La Mirada, California Unified School District General Obligation Notes, (AGM Insured), Series 2009

     

4.000% due 08/01/2013

     880         932   

Oak Grove, California School District General Obligation Notes, (NPFGC Insured), Series 2005

     

5.250% due 08/01/2013

     50         54   

Orange County, California Local Transportation Authority Revenue Notes, Series 2010

     

3.000% due 02/15/2013

     500         520   

Orange County, California Ocean View School District Certificates of Participation Notes, (AGM Insured),
Series 2010

     

3.000% due 03/01/2012

     430         437   

3.500% due 03/01/2013

     300         312   

Orange County, California Public Financing Authority Revenue Notes, (NPFGC insured), Series 2005

     

5.000% due 07/01/2011

     100         100   

5.000% due 07/01/2014

     250         276   


               

Orange County, California Revenue Notes, (NPFGC Insured), Series 2005

     

5.000% due 06/01/2013

     720         775   

Orange County, California Sanitation District Certificate of Participation Notes, (AGM Insured), Series 2007

     

4.000% due 02/01/2013

     90         95   

Orange County, California Transportation Authority Revenue Notes, (AMBAC Insured), Series 2003

     

5.000% due 08/15/2013

     100         108   

Orchard, California School District General Obligation Notes, (AGC Insured), Series 2009

     

4.000% due 08/01/2012

     125         130   

Pasadena, California Certificates of Participation Notes, Series 2008

     

4.000% due 02/01/2012

     570         580   

Pittsburg, California Redevelopment Agency Tax Allocation Bonds, (NPFGC Insured), Series 2002

     

5.250% due 08/01/2013

     100         102   

Placentia, California Public Financing Authority Special Tax Notes, Series 2009

     

2.625% due 09/01/2011

     675         676   

Placer County, California Unified School District Certificates of Participation Notes, (AGM Insured), Series 2009

     

3.000% due 08/01/2011

     200         200   

3.000% due 08/01/2012

     245         251   

3.000% due 08/01/2013

     350         359   

Pleasanton, California Unified School District General Obligation Bonds, (NPFGC Insured), Series 2004

     

5.000% due 08/01/2015

     150         167   

Pleasanton, California Unified School District General Obligation Notes, (NPFGC Insured), Series 2004

     

5.375% due 08/01/2013

     125         135   

Redondo Beach, California Unified School District General Obligation Notes, Series 2010

     

3.000% due 08/01/2015

     130         138   

4.000% due 08/01/2017

     25         27   

Riverbank, California Redevelopment Agency Tax Allocation Notes, Series 2007

     

4.000% due 08/01/2012

     145         101   

Riverside, California Revenue Bonds, (NPFGC Insured), Series 2004

     

5.000% due 10/01/2014

     500         552   

Riverside, California Revenue Notes, Series 2009

     

4.000% due 08/01/2012

     500         519   

5.000% due 10/01/2013

     2,000         2,161   

Roseville, California Certificates of Participation Notes, Series 2009

     

3.000% due 02/01/2013

     1,065         1,097   

Roseville, California Finance Authority Revenue Notes, Series 2010

     

2.000% due 02/01/2012

     205         207   

2.000% due 02/01/2013

     330         335   

Roseville, California Natural Gas Finance Authority Revenue Notes, Series 2007

     

5.000% due 02/15/2012

     100         102   

Sacramento County, California Revenue Notes, Series 2009

     

3.000% due 07/01/2012

     550         562   

5.000% due 07/01/2013

     500         534   

Sacramento County, California Revenue Notes, Series 2010

     

2.000% due 07/01/2013

     300         303   

3.000% due 07/01/2016

     995         1,019   

Sacramento County, California Sanitation Districts Financing Authority Revenue Notes, Series 2010

     

2.500% due 08/01/2012

     190         194   

3.000% due 08/01/2013

     300         313   

Sacramento County, California Water Financing Authority Revenue Notes, (NPFGC/FGIC Insured), Series 2007

     

5.000% due 06/01/2014

     1,000         1,099   

Sacramento, California Financing Authority Revenue Bonds, (AGM Insured), Series 2002

     

5.375% due 12/01/2021

     150         161   

Sacramento, California Municipal Utility District Revenue Bonds, (NPFGC Insured), Series 2003

     

5.000% due 11/15/2013

     1,375         1,502   

Sacramento, California Municipal Utility District Revenue Notes, Series 2009

     

4.000% due 07/01/2011

     650         650   

5.000% due 07/01/2012

     500         521   

San Bernardino County, California Certificates of Participation Notes, Series 2009

     

5.000% due 08/01/2013

       1,000           1,058   

San Diego County, California Certificates of Participation Notes, Series 2006

     

5.000% due 09/01/2011

     200         201   

San Diego County, California Certificates of Participation Notes, Series 2009

     

4.000% due 10/01/2012

     2,800         2,914   

San Diego County, California Regional Airport Authority Revenue Notes, Series 2010

     

2.000% due 07/01/2012

     200         203   

3.000% due 07/01/2013

     150         155   

3.000% due 07/01/2014

     400         415   

3.000% due 07/01/2015

     600         620   

4.000% due 07/01/2014

     700         737   

San Diego County, California Water Authority Certificates of Participation Notes, (AGM Insured), Series 2008

     

5.000% due 05/01/2014

     50         55   

San Diego County, California Water Authority Certificates of Participation Notes, (NPFGC/FGIC Insured),
Series 2005

     

5.250% due 05/01/2013

     675         730   

San Diego, California Unified School District General Obligation Notes, Series 2009

     

0.000% due 07/01/2012

     325         322   

San Francisco, California City & County Airports Commission Revenue Notes, (AGM Insured), Series 2009

     

3.500% due 05/01/2012

     1,000         1,026   

San Francisco, California City & County Airports Commission Revenue Notes, Series 2010

     

3.000% due 05/01/2016

     300         310   

San Francisco, California City & County Finance Corp. Revenue Bonds, Series 2008

     

0.050% due 04/01/2030

     765         765   

San Francisco, California City & County General Obligation Notes, Series 2008

     

2.850% due 06/15/2012

     1,000         1,024   

San Francisco, California City & County Public Utilities Commission Revenue Notes, Series 2009

     

5.000% due 11/01/2012

     2,250         2,387   

San Francisco, California City & County Redevelopment Agency Tax Allocation Notes, (NPFGC Insured),
Series 2007

     

5.000% due 08/01/2013

     475         495   

San Francisco, California City & County Redevelopment Agency Tax Allocation Notes, (NPFGC/FGIC Insured), Series 2004

     

5.000% due 08/01/2012

     740         758   

San Francisco, California State Building Authority Revenue Notes, Series 2005

     

5.000% due 12/01/2012

     500         525   

San Francisco, California Unified School District General Obligation Notes, Series 2010

     

4.000% due 06/15/2013

     1,300         1,380   

San Jose, California Redevelopment Agency Tax Allocation Notes, (AMBAC Insured), Series 2005

     

5.000% due 08/01/2014

     1,225         1,242   

San Jose, California Redevelopment Agency Tax Allocation Notes, (NPFGC Insured), Series 2002

     

4.000% due 08/01/2011

     300         300   

San Luis Obispo County, California Financing Authority Revenue Bonds, (NPFGC Insured), Series 2007

     

5.000% due 09/01/2018

     250         274   

San Mateo County, California Joint Powers Financing Authority Revenue Notes, Series 2008

     

4.000% due 07/15/2011

     350         350   

5.000% due 07/15/2014

     150         164   

San Rafael, California Redevelopment Agency Tax Allocation Notes, (AGC Insured), Series 2009

     

5.000% due 12/01/2013

     965         1,051   

Santa Ana, California Certificates of Participation Bonds, (AMBAC Insured), Series 2003

     

5.000% due 06/01/2015

     195         198   

Santa Ana, California Unified School District General Obligation Notes, Series 2008

     

3.500% due 08/01/2011

     900         902   

Santa Barbara, California Financing Authority Revenue Notes, Series 2009

     

4.000% due 07/01/2012

     400         413   

Santa Clara, California Valley Transportation Authority Revenue Bonds, Series 2008

     

0.070% due 04/01/2036

     705         705   

Santa Clara, California Valley Water District Certificates of Participation Notes, Series 2007

     

5.000% due 02/01/2016

     150         170   

Santa Margarita-Dana, California Point Authority Revenue Bonds, (AMBAC Insured), Series 2004

     

5.000% due 08/01/2015

     225         254   

Santa Margarita-Dana, California Point Authority Revenue Notes, Series 2009

     

5.000% due 08/01/2012

     1,075         1,127   

Santa Monica, California Community College District General Obligation Notes, (NPFGC/FGIC Insured),
Series 2007

     

0.000% due 08/01/2013

     225         218   

Solano County, California Certificates of Participation Notes, Series 2009

     

5.000% due 11/15/2012

     1,930         2,022   

South Coast, California Water District Financing Authority Revenue Notes, Series 2010

     

3.000% due 02/01/2012

     230         234   

3.000% due 02/01/2013

     100         104   

South Orange County, California Public Financing Authority Special Tax Bonds, (NPFGC Insured), Series 2003

     

5.000% due 09/01/2013

     125         132   

South Orange County, California Public Financing Authority Special Tax Notes, (NPFGC/FGIC Insured),
Series 2004

     

5.000% due 08/15/2011

     205         206   


               

South San Francisco, California School District Revenue Notes, (NPFGC Insured), Series 2006

     

5.000% due 09/15/2014

     250         276   

Southern California State Metropolitan Water District Revenue Bonds, Series 2004

     

0.040% due 07/01/2023

     8,000           8,000   

Southern California State Metropolitan Water District Revenue Bonds, Series 2011

     

0.240% due 07/01/2036

     1,500         1,501   

Southern California State Metropolitan Water District Revenue Notes, Series 2009

     

5.000% due 07/01/2012

     1,000         1,047   

Southern California State Public Power Authority Revenue Bonds, Series 1989

     

6.750% due 07/01/2011

     1,750         1,750   

6.750% due 07/01/2013

     2,700         3,007   

Southern California State Public Power Authority Revenue Bonds, Series 2008

     

0.030% due 07/01/2020

     2,000         2,000   

Southern California State Public Power Authority Revenue Notes, Series 2010

     

2.000% due 07/01/2012

     500         508   

4.000% due 07/01/2014

     750         814   

4.000% due 07/01/2015

     1,165         1,279   

5.000% due 07/01/2014

     700         780   

St. Helena, California Unified School District General Obligation Notes, (NPFGC Insured), Series 2005

     

5.000% due 08/01/2014

     490         542   

Stockton, California Public Financing Authority Revenue Notes, Series 2009

     

4.000% due 10/01/2012

     1,925         1,992   

Torrance, California Certificates of Participation Notes, Series 2009

     

3.000% due 09/01/2011

     175         176   

3.000% due 09/01/2012

     175         179   

Torrance, California Unified School District General Obligation Notes, Series 2009

     

1.800% due 08/01/2011

     30         30   

4.000% due 08/01/2011

     500         501   

Trinity County, California Public Utilities District Revenue Notes, (AGM Insured), Series 2010

     

3.000% due 04/01/2012

     45         46   

3.000% due 04/01/2013

     40         41   

Tustin, California Special Assessment Bonds, Series 1996

     

0.230% due 09/02/2013

     853         853   

University of California Regents Medical Center Revenue Bonds, (NPFGC Insured), Series 2007

     

0.785% due 05/15/2030

     1,000         716   

University of California Regents Medical Center Revenue Bonds, Series 2007

     

0.030% due 05/15/2032

     1,755         1,755   

University of California Regents Medical Center Revenue Notes, Series 2008

     

4.000% due 05/15/2013

     100         106   

University of California Regents Medical Center Revenue Notes, Series 2009

     

4.000% due 05/15/2012

     900         926   

5.000% due 05/15/2013

     265         285   

University of California Regents Medical Center Revenue Notes, Series 2010

     

5.000% due 05/15/2016

     1,000         1,138   

University of California Revenue Notes, (AGM Insured), Series 2007

     

5.000% due 05/15/2015

     45         51   

University of California Revenue Notes, (AMBAC Insured), Series 2003

     

5.000% due 05/15/2012

     350         364   

University of California Revenue Notes, (NPFGC Insured), Series 2007

     

5.000% due 05/15/2014

     270         300   

University of California Revenue Notes, Series 2010

     

2.000% due 05/15/2013

     500         512   

3.000% due 05/15/2014

     500         523   

Upland, California Public Financing Authority Revenue Bonds, (AMBAC Insured), Series 2002

     

4.600% due 10/01/2016

     100         103   

Val Verde, California Unified School District General Obligation Notes, (AGM Insured), Series 2010

     

4.000% due 08/01/2012

     990         1,026   

Victor Valley, California Union High School District General Obligation Notes, (AGC Insured), Series 2009

     

0.000% due 08/01/2011

     50         50   

Visalia, California Unified School District General Obligation Notes, Series 2010

     

4.000% due 08/01/2012

     215         222   

Washington, California Health Care District General Obligation Notes, Series 2009

     

6.000% due 08/01/2011

     1,000         1,003   

Washington, California Health Care District Revenue Notes, Series 2009

     

4.500% due 07/01/2011

     125         125   

West Hollywood, California Public Financing Authority Revenue Notes, Series 2009

     

3.000% due 02/01/2012

     695         703   

5.000% due 02/01/2013

     1,145         1,217   

Western Riverside County, California Regional Wastewater Authority Revenue Notes, (AGC Insured),
Series 2009

     

3.000% due 09/01/2012

     435         445   

Westminster, California School District General Obligation Notes, Series 2009

     

2.000% due 08/01/2011

     555         555   
     

 

 

 
        258,856   
     

 

 

 

PENNSYLVANIA 0.3%

     

Montgomery County, Pennsylvania Industrial Development Authority Revenue Notes, (FHA Insured),
Series 2010

     

5.000% due 08/01/2013

     885         958   
     

 

 

 

PUERTO RICO 1.7%

     

Commonwealth of Puerto Rico General Obligation Notes, Series 2008

     

5.000% due 07/01/2011

     1,500         1,500   

Puerto Rico Electric Power Authority Revenue Notes, Series 2008

     

5.000% due 07/01/2012

     500         518   

Puerto Rico Electric Power Authority Revenue Notes, Series 2010

     

5.000% due 07/01/2012

     2,000         2,072   

5.000% due 07/01/2013

     550         583   
     

 

 

 
        4,673   
     

 

 

 

TEXAS 0.1%

     

Pflugerville, Texas Independent School District General Obligation Notes, (PSF/GTD Insured), Series 2010

     

5.000% due 08/15/2013

     130         142   
     

 

 

 

VIRGIN ISLANDS 0.1%

     

Virgin Islands Public Finance Authority Revenue Notes, Series 2010

     

4.000% due 10/01/2013

     400         417   
     

 

 

 
Total Municipal Bonds & Notes
(Cost $262,418)
        265,046   
     

 

 

 
     SHARES         

CONVERTIBLE PREFERRED SECURITIES 0.0%

     

BANKING & FINANCE 0.0%

     

American International Group, Inc.

     

8.500% due 08/01/2011

     1,200         2   
     

 

 

 
Total Convertible Preferred Securities
(Cost $73)
        2   
     

 

 

 
     PRINCIPAL
AMOUNT
(000s)
        

SHORT-TERM INSTRUMENTS 7.3%

     

REPURCHASE AGREEMENTS 4.7%

     

State Street Bank and Trust Co.

     

0.010% due 07/01/2011

   $   13,229         13,229   
     

 

 

 

(Dated 06/30/2011. Collateralized by U.S. Treasury Bills 0.000% due 07/21/2011 valued at $13,495. Repurchase proceeds are $13,229.)

     

SHORT-TERM NOTES 1.6%

     

Brea, California Public Financing Authority Revenue Notes, Series 2010

     

2.000% due 07/01/2011

     865         865   

Fannie Mae

     

0.070% due 10/03/2011

     189         189   

Fullerton, California Joint Union High School District General Obligation Notes, Series 2010

     

2.000% due 08/01/2011

     150         150   

La Habra, California Utility Authority Revenue Notes, Series 2010

     

2.000% due 11/01/2011

     145         146   

San Diego County, California Regional Airport Authority Revenue Notes, Series 2010

     

2.000% due 07/01/2011

     275         275   

South Coast, California Local Education Agencies Revenue Notes, Series 2010

     

2.000% due 08/09/2011

     2,500         2,504   

Tustin, California Community Redevelopment Agency Tax Allocation Notes, Series 2010

     

2.000% due 09/01/2011

     200         200   
     

 

 

 
        4,329   
     

 

 

 

U.S. TREASURY BILLS 1.0%

     

0.090% due 07/14/2011 - 09/22/2011 (a)(b)

     2,943         2,943   
     

 

 

 
Total Short-Term Instruments
(Cost $20,500)
        20,501   
     

 

 

 
Total Investments 101.5%
(Cost $283,302)
      $ 285,913   
Other Assets and Liabilities (Net) (1.5%)         (4,270
     

 

 

 
Net Assets 100.0%       $   281,643   
     

 

 

 


Notes to Schedule of Investments (amounts in thousands*):

 

* A zero balance may reflect actual amounts rounding to less than one thousand.

 

(a) Coupon represents a weighted average yield to maturity.

 

(b) Securities with an aggregate market value of $2,185 have been pledged as collateral as of June 30, 2011 for swap contracts as governed by International Swaps and Derivatives Association, Inc. Master Agreements.

 

(c) Swap agreements outstanding on June 30, 2011:

 

Credit Default Swaps on Credit Indices - Sell Protection (1)

 

Index/Tranches   Counterparty   Fixed Deal
Receive Rate
    Maturity
Date
    Notional
Amount (3)
    Market
Value  (4)
    Premiums
Paid/
(Received)
    Unrealized
Appreciation/
(Depreciation)
 

MCDX-15 5-Year Index

  CITI     1.000%        12/20/2015      $   5,400      $ (44   $ (108   $ 64   

MCDX-15 5-Year Index

  DUB     1.000%        12/20/2015        4,400        (36     (127     91   

MCDX-15 5-Year Index

  GSC     1.000%        12/20/2015        5,500        (46     (125     79   

MCDX-15 5-Year Index

  MSC     1.000%        12/20/2015        6,500        (53     (167     114   

MCDX-16 5-Year Index

  CITI     1.000%        06/20/2016        3,700        (47     (41     (6

MCDX-16 5-Year Index

  DUB     1.000%        06/20/2016        3,000        (37     (42     5   

MCDX-16 5-Year Index

  MSC     1.000%        06/20/2016        4,000        (51     (36     (15
         

 

 

   

 

 

   

 

 

 
          $   (314   $   (646   $   332   
         

 

 

   

 

 

   

 

 

 

 

Credit Default Swaps on U.S. Municipal Issues - Sell Protection (1)

 

Reference Entity   Counterparty  

Fixed

Deal
Receive

Rate

    Maturity
Date
    Implied Credit
Spread at
June 30, 2011 (2)
    Notional
Amount  (3)
    Market
Value
    Premiums
Paid/
(Received)
    Unrealized
Appreciation
 

California State General Obligation Bonds, Series 2003

  GSC     1.835%        03/20/2016        1.479%      $   5,000      $   76      $   0      $   76   
           

 

 

   

 

 

   

 

 

 

 

(1)

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2) 

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on U.S. municipal issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(3) 

The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4) 

The quoted market prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

Interest Rate Swaps

 

Pay/

Receive

Floating

Rate

   Floating Rate Index    Fixed Rate      Maturity
Date
   Counterparty    Notional
Amount
    Market
Value
  Premiums
Paid/
(Received)
    Unrealized
(Depreciation)
 
Receive   

3-Month USD-LIBOR

     3.500    06/20/2017    CITI    $   50,500      $  (1,690)   $   (313   $   (1,377
                

 

 

 

 

   

 

 

 

 

(d)

Fair Value Measurements (1)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2011 in valuing the Fund’s assets and liabilities (2):

 

Category and Subcategory (3)    Level 1  (4)      Level 2 (5)     Level 3  (6)      Fair Value
at 06/30/2011
 

Investments, at value

          

Corporate Bonds & Notes

          

Banking & Finance

   $ 0       $ 364      $ 0       $ 364   

Municipal Bonds & Notes

          

California

     0         258,856        0         258,856   

Pennsylvania

     0         958        0         958   

Puerto Rico

     0         4,673        0         4,673   

Texas

     0         142        0         142   

Virgin Islands

     0         417        0         417   

Convertible Preferred Securities

          

Banking & Finance

     2         0        0         2   

Short-Term Instruments

          

Repurchase Agreements

     0         13,229        0         13,229   

Short-Term Notes

     0         4,329        0         4,329   

U.S. Treasury Bills

     0         2,943        0         2,943   
   $ 2       $ 285,911      $ 0       $ 285,913   

Financial Derivative Instruments (7) - Assets

  

    

Credit Contracts

   $ 0       $ 429      $ 0       $ 429   

Financial Derivative Instruments (7) - Liabilities

  

    

Credit Contracts

     0         (21     0         (21

Interest Rate Contracts

     0         (1,377     0         (1,377
     $ 0       $ (1,398   $ 0       $ (1,398

Totals

   $   2       $   284,942      $   0       $   284,944   

 

(1) 

See note 2 in the Supplementary Notes to Schedule of Investments for additional information.

(2) 

There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2011.

(3) 

Refer to the Schedule of Investments for additional information.

(4) 

Quoted prices in active markets for identical investments.

(5) 

Significant other observable inputs.

(6) 

Significant unobservable inputs.

(7) 

Financial Derivative Instruments may include open futures contracts, swap agreements, written options, and foreign currency contracts.

 

See Accompanying Notes


Schedule of Investments

PIMCO Convertible Fund

June 30, 2011 (Unaudited)

 

     PRINCIPAL
AMOUNT
(000s)
     MARKET
VALUE
(000s)
 

BANK LOAN OBLIGATIONS 0.5%

     

AGFS Funding Co.

     

5.500% due 05/10/2017

   $ 6,200       $ 6,091   

CIT Group, Inc.

     

6.250% due 08/11/2015

     870         877   
     

 

 

 
Total Bank Loan Obligations
(Cost $7,058)
        6,968   
     

 

 

 

CORPORATE BONDS & NOTES 7.3%

     

BANKING & FINANCE 6.1%

     

AGFC Capital Trust I

     

6.000% due 01/15/2067

     4,800         3,264   

American International Group, Inc.

     

0.386% due 10/18/2011

     650         647   

3.750% due 11/30/2013 (f)

     7,200         7,369   

CIT Group, Inc.

     

5.250% due 04/01/2014

     1,900         1,900   

7.000% due 05/01/2014

     18         18   

7.000% due 05/01/2015

     10,132         10,170   

7.000% due 05/01/2016

     3,053         3,045   

7.000% due 05/01/2017

     74         74   

Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A.

     

6.875% due 03/19/2020

   EUR 400         582   

International Lease Finance Corp.

     

5.300% due 05/01/2012

   $ 8,000         8,160   

5.350% due 03/01/2012

     5,000         5,088   

5.625% due 09/20/2013

     10,000         10,188   

5.875% due 05/01/2013

     1,000         1,029   

6.375% due 03/25/2013

     9,140         9,460   

6.750% due 09/01/2016

     3,500         3,745   

7.125% due 09/01/2018

     4,300         4,622   

Provident Funding Associates LP

     

10.250% due 04/15/2017

     3,000         3,300   

Springleaf Finance Corp.

     

5.900% due 09/15/2012

     6,300         6,331   

XL Group PLC

     

6.500% due 12/29/2049 (e)

     9,900         9,182   
     

 

 

 
        88,174   
     

 

 

 

INDUSTRIALS 0.8%

     

Ardagh Packaging Finance PLC

     

9.250% due 10/15/2020

   EUR 2,200         3,266   

AWAS Aviation Capital Ltd.

     

7.000% due 10/15/2016

   $ 3,427         3,534   

Continental Airlines Pass-Through Trust

     

9.798% due 04/01/2021

     39         40   

McClatchy Co.

     

11.500% due 02/15/2017