UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-22250

PIMCO ETF Trust

(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 ETF Trust

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: (888) 400-4383

Date of fiscal year end: June 30

Date of reporting period: June 30, 2012

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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 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.

Item 1. Reports to Stockholders.

The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30e-1).

• PIMCO ETF Trust

Your Global Investment Authority

PIMCO ETF Trust

Annual Report

June 30, 2012

Index Exchange-Traded Funds

PIMCO 1-3 Year U.S. Treasury Index Fund

PIMCO 3-7 Year U.S. Treasury Index Fund

PIMCO 7-15 Year U.S. Treasury Index Fund

PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund

PIMCO Broad U.S. Treasury Index Fund

PIMCO 1-5 Year U.S. TIPS Index Fund

PIMCO 15+ Year U.S. TIPS Index Fund

PIMCO Broad U.S. TIPS Index Fund

PIMCO 0-5 Year High Yield Corporate Bond Index Fund

PIMCO Investment Grade Corporate Bond Index Fund

PIMCO Australia Bond Index Fund

PIMCO Canada Bond Index Fund

PIMCO Germany Bond Index Fund

Actively Managed Exchange-Traded Funds

PIMCO Build America Bond Strategy Fund

PIMCO Enhanced Short Maturity Strategy Fund

PIMCO Global Advantage^® Inflation-Linked Bond Strategy Fund

PIMCO Intermediate Municipal Bond Strategy Fund

PIMCO Short Term Municipal Bond Strategy Fund

PIMCO Total Return Exchange-Traded Fund

Table of Contents

			Page
Chairman’s Letter				2
Important Information About the Funds				4
Expense Examples				25
Financial Highlights				28
Statements of Assets and Liabilities				30
Statements of Operations				34
Statements of Changes in Net Assets				38
Notes to Financial Statements				91
Report of Independent Registered Public Accounting Firm				107
Federal Income Tax Information				108
Glossary				109
Management of the Trust				110
Privacy Policy				112
Approval of the Investment Management Agreement for the PIMCO Global Advantage Inflation-Linked Bond Strategy Fund and PIMCO Total Return Exchange-Traded Fund				113
FUND	Fund Summary		Schedule of Investments
PIMCO 1-3 Year U.S. Treasury Index Fund		6		43
PIMCO 3-7 Year U.S. Treasury Index Fund		7		44
PIMCO 7-15 Year U.S. Treasury Index Fund		8		45
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund		9		46
PIMCO Broad U.S. Treasury Index Fund		10		47
PIMCO 1-5 Year U.S. TIPS Index Fund		11		48
PIMCO 15+ Year U.S. TIPS Index Fund		12		49
PIMCO Broad U.S. TIPS Index Fund		13		50
PIMCO 0-5 Year High Yield Corporate Bond Index Fund		14		51
PIMCO Investment Grade Corporate Bond Index Fund		15		55
PIMCO Australia Bond Index Fund		16		59
PIMCO Canada Bond Index Fund		17		61
PIMCO Germany Bond Index Fund		18		63
PIMCO Build America Bond Strategy Fund		19		65
PIMCO Enhanced Short Maturity Strategy Fund		20		67
PIMCO Global Advantage® Inflation-Linked Bond Strategy Fund		21		73
PIMCO Intermediate Municipal Bond Strategy Fund		22		77
PIMCO Short Term Municipal Bond Strategy Fund		23		81
PIMCO Total Return Exchange-Traded Fund		24		84

This material is authorized for use only when preceded or accompanied by the current PIMCO ETF Trust prospectus.

Chairman’s Letter

Dear Shareholder:

Please find enclosed the Annual Report for the PIMCO ETF Trust covering the twelve-month reporting period ended June 30, 2012. On the following pages, you’ll find specific details on investment performance and a discussion of the factors that most affected performance.

During our twelve-month reporting period, we introduced two new actively-managed exchange-traded funds (“ETFs”) as well as three new single-country Smart Passive index ETFs, which help expand investor access to PIMCO’s expertise through strategies and vehicles which appeal to a wide range of investor preferences:

n PIMCO Total Return Exchange-Traded Fund (Ticker: BOND), launched on February 29, 2012, is a diversified portfolio of high quality bonds that is actively managed in an effort to maximize return in a risk-controlled framework. BOND invests primarily in investment grade debt securities, and discloses all portfolio holdings on a daily basis.

n PIMCO Global Advantage Inflation-Linked Bond Strategy Fund (Ticker: ILB), launched on April 30, 2012, is an actively-managed portfolio comprised of primarily high-quality inflation-linked bonds (which are fixed income securities tied to the consumer price index of a given country or region, and are designed to provide protection from inflation) that span developed and emerging markets.

n PIMCO Canada Bond Index Fund (Ticker: CAD), launched on November 9, 2011, aims to provide focused exposure to the Canadian dollar-denominated, investment grade bond market.

n PIMCO Germany Bond Index Fund (Ticker: BUND), launched on November 9, 2011, aims to provide focused exposure to euro-denominated, investment grade bonds issued by German issuers.

n PIMCO Australia Bond Index Fund (Ticker: AUD), launched on October 31, 2011, aims to provide focused exposure to the Australian dollar-denominated, investment grade bond market.

PIMCO ETFs are designed to provide well-engineered solutions to meet a broad range of investor needs, offering access to PIMCO’s unique investment process and world-class portfolio management expertise in the ETF vehicle, which features portfolio transparency and intra-day pricing in a conveniently traded format. PIMCO ETFs include a range of actively-managed and Smart Passive index strategies, providing investors access to a variety of sectors, geographical regions and investment objectives.

Highlights of the financial markets during our twelve-month reporting period include:

n Risk aversion drove down interest rates across developed markets, including in the U.S. and Germany where yields touched historic lows. By contrast, sovereign yields in Spain and Italy rose towards prohibitive levels. Yields on U.S. Treasury securities ended the period lower (with prices on these securities therefore higher), as investors looked to U.S. Treasuries for their perceived safety and quality due to increasing concern of a global economic slowdown and continued uncertainty in Europe. The benchmark ten-year U.S. Treasury note yielded 1.64% at the end of the reporting period, as compared to 3.16% on June 30, 2011.

n U.S. Treasury Inflation-Protected Securities (“TIPS”) posted gains during the reporting period. Returns were driven primarily by declining intermediate and longer-dated real yields. Real yields longer than three years in maturity rallied due to overall tepid economic growth expectations and recognition that the Federal Reserve is likely to remain accommodative for a prolonged period of time. However, shorter term real yields sold off on weaker commodity prices, which translated into more muted short term inflation expectations. With nominal rates being fixed at nearly zero, any changes in short term inflation expectations cause the front end of the real yield curve to move. U.S. TIPS, however, underperformed nominal U.S. Treasuries as break-even inflation levels (or the difference between nominal and real yields) narrowed over the reporting period.

n Municipal bonds, including both the tax-free and taxable Build America Bonds (“BABs”) sectors, struggled during the first half of the reporting period and were impacted by rising yields, an increase in new issuance, and sizeable redemptions out

2 PIMCO ETF TRUST

of municipal bond mutual funds. Yet, by the second half of the reporting period, municipal bond prices rallied as new issuances of tax-free municipal bonds declined, redemptions stabilized, and municipalities addressed budget concerns.

n Investment grade corporate bonds lagged like-duration U.S. Treasuries amid renewed uncertainty in the eurozone and weak U.S. economic data, although corporate fundamentals generally remained robust. Despite uncertain market conditions, corporate bond issuance was resilient and primary market demand remained strong as investors continued to place a premium on liquidity.

n High yield corporate bonds posted positive returns for the reporting period but underperformed like-duration U.S. Treasuries, as reignited contagion fears in Europe and worse than expected economic data in the U.S. weighed materially on risk assets, resulting in a flight-to-quality.

If you have any questions regarding your PIMCO ETF Trust investment, please contact your financial advisor, or call one of our shareholder associates at (888) 400-4ETF. We also invite you to visit our website at www.pimcoetfs.com to learn more about PIMCO ETFs.

Thank you again for the trust you have placed in PIMCO. We are privileged to serve you through our ETF offerings.

Sincerely,   Brent R. Harris President and Chairman of the Board, PIMCO ETF Trust July 25, 2012

ANNUAL REPORT JUNE 30, 2012 3

Important Information About the Funds

The PIMCO 0-5 Year High Yield Corporate Bond Index Fund, PIMCO 1-3 Year U.S. Treasury Index Fund, PIMCO 1-5 Year U.S. TIPS Index Fund, PIMCO 3-7 Year U.S. Treasury Index Fund, PIMCO 7-15 Year U.S. Treasury Index Fund, PIMCO 15+ Year U.S. TIPS Index Fund, PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund, PIMCO Australia Bond Index Fund, PIMCO Broad U.S. TIPS Index Fund, PIMCO Broad U.S. Treasury Index Fund, PIMCO Canada Bond Index Fund, PIMCO Germany Bond Index Fund and PIMCO Investment Grade Corporate Bond Index Fund are exchange-traded funds (“ETFs”) that seek to provide total return that closely corresponds, before fees and expenses, to the total return of a specified index (collectively, the “Index Funds”). Each Index Fund employs a representative sampling strategy in seeking to achieve its investment objective and as a result may not hold all of the securities that are included in the underlying index. The PIMCO Build America Bond Strategy Fund, PIMCO Enhanced Short Maturity Strategy Fund, PIMCO Global Advantage^® Inflation-Linked Bond Strategy Fund, PIMCO Intermediate Municipal Bond Strategy Fund, PIMCO Short Term Municipal Bond Strategy Fund and PIMCO Total Return Exchange-Traded Fund unlike the Index Funds, are actively managed ETFs that do not seek to track the performance of a specified index (collectively, the “Active Funds” and together with the Index Funds, the “Funds”). Shares of the Funds will be listed and traded at market prices on NYSE Arca, Inc. (“NYSE Arca”) and other secondary markets. The market price for each Fund’s shares may be different from the Fund’s net asset value (“NAV”). Each Fund issues and redeems shares at its NAV only in blocks of a specified number of shares (“Creation Units”). Only certain large institutional investors may purchase or redeem Creation Units directly with the Funds at NAV (“Authorized Participants”). These transactions are in exchange for certain securities similar to a Fund’s portfolio and/or cash. Except when aggregated in Creation Units, shares of a Fund are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares from the Funds at NAV.

The Funds invest in particular segments of the securities markets, which are not representative of the broader securities markets. While we believe that bond funds have an important role to play in a well-diversified investment portfolio, an investment in a Fund alone should not constitute an entire investment program. It is important to note that in an environment where interest rates may trend upward, rising rates would negatively impact the performance of most bond funds, and fixed-income securities held by the Funds are likely to decrease in value. The price volatility of fixed-income securities can also increase during periods of rising interest rates resulting in increased losses to the Funds. Bond funds and individual bonds with a longer duration (a measure used to determine the sensitivity of a security’s price to changes in interest rates) tend to be more sensitive to changes in interest rates, usually making them more volatile than securities or funds with shorter durations.

The Funds may be subject to various risks in addition to those described above. Some of these risks may include, but are not limited to, the following: market trading risk, limited issuance risk, interest rate risk, credit risk, high yield risk, market risk, liquidity risk, equity-risk, mortgage-related and other asset-backed risk, foreign (non-U.S.) investment risk, currency risk, short sale risk, convertible securities risk, derivatives risk, issuer non-diversification risk, leveraging risk, management and tracking error risk, indexing risk, issuer risk, emerging markets risk, management risk, municipal project-specific risk, Australian securities risk, Canadian securities risk and German securities risk. A complete description of these and other risks is contained in each Fund’s prospectus. The use of derivatives may subject the Funds to greater volatility than investments in traditional securities. The Index Funds may use derivative instruments for hedging purposes or as part of an investment strategy. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, market risk, credit risk, management risk and the risk that a Fund could not close out a position when it would be most advantageous to do so. Certain derivative transactions may have a leveraging effect on an Index Fund. For example, a small investment in a derivative instrument may have a significant impact on an Index Fund’s exposure to interest rates, currency exchange rates or other investments. As a result, a relatively small price movement in a derivative instrument may cause an immediate and substantial loss or gain. An Index Fund may engage in such transactions regardless of whether the Index Fund owns the asset, instrument or components of the index underlying the derivative instrument. An Index Fund may invest a significant portion of its assets in these types of instruments. If it does, the Index Fund’s investment exposure could far exceed the value of its portfolio securities and its investment performance could be primarily dependent upon securities it does not own. The credit quality of a particular security or group of securities does not ensure the stability or safety of the overall portfolio.

On each individual Fund Summary page in this Annual Report (“Shareholder Report”), the Average Annual Total Return table and Cumulative Returns chart measure performance assuming that all dividend and capital gain distributions were reinvested. Returns do not reflect the deduction of taxes that a shareholder would pay on: (i) Fund distributions; or (ii) the redemption of Fund shares. Each Fund’s performance is measured against the performance of a broad-based securities market index (benchmark index). Each Fund’s past performance, before and after taxes, is not necessarily an indication of how the Fund will perform in the future.

An investment in a Fund is not a deposit of a bank and is not guaranteed or insured by the Federal Deposit Insurance Corporation or any other government agency. It is possible to lose money on investments in the Funds.

4 PIMCO ETF TRUST

The Index Funds may make available a complete schedule of portfolio holdings and the percentages they represent of the Index Fund’s net assets. On each business day, before commencement of trading on NYSE Arca, each Active Fund will disclose on www.pimcoetfs.com the identities and quantities of the Active Fund’s portfolio holdings that will form the basis for the Active Fund’s calculation of NAV at the end of the business day. The frequency at which the daily market prices were at a discount or premium to each Fund’s NAV is disclosed on www.pimcoetfs.com. Please see “Disclosure of Portfolio Holdings” in the Statement of Additional Information for information about the availability of the complete schedule of each Fund’s holdings. Fund fact sheets provide additional information regarding a Fund and may be requested by calling (888) 400-4ETF.

PIMCO has adopted written proxy voting policies and procedures (“Proxy Policy”) as required by Rule 206(4)-6 under the Investment Advisers Act of 1940, as amended. The Proxy Policy has been adopted by PIMCO ETF Trust as the policies and procedures that PIMCO will use when voting

proxies on behalf of the Funds. A description of the policies and procedures that PIMCO uses to vote proxies relating to portfolio securities of each Fund, and information about how each Fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, are available without charge, upon request, by calling the Trust at (888) 400-4ETF, on the Funds’ website at www.pimcoetfs.com, and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

PIMCO ETF Trust files a complete schedule of each Fund’s portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. A copy of the Funds’ Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and is available without charge, upon request, by calling the Trust at (888) 400-4ETF and on the Funds’ website at www.pimcoetfs.com. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

ANNUAL REPORT JUNE 30, 2012 5

PIMCO 1-3 Year U.S. Treasury Index Fund

Ticker Symbol TUZ

Cumulative Returns Through June 30, 2012

$10,000 invested at the end of the month when the Fund commenced operations.

Allocation Breakdown^‡

U.S. Treasury Obligations	98.4%
Short-Term Instruments	1.6%

^‡  % of Total Investments as of 06/30/12

Average Annual Total Return for the period ended June 30, 2012
		1 Year		Fund Inception (06/01/2009)
	PIMCO 1-3 Year Treasury Index Fund (Based on Net Asset Value)		0.74%		1.45%
	PIMCO 1-3 Year Treasury Index Fund (At Market Price)(1)		0.70%		1.44%
	The BofA Merrill Lynch 1-3 Year U.S. Treasury IndexSM±		0.79%		1.55%

All Fund returns are net of fees and expenses.

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

⁽¹⁾ The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

^± The BofA Merrill Lynch 1-3 Year U.S. Treasury Index^SM is an unmanaged index comprised of U.S. Treasury securities, other than inflation-protection securities and STRIPS, with at least $1 billion in outstanding face value and a remaining term to final maturity of at least one year and less than three years. It is not possible to invest directly in an unmanaged index.

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.15%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.

Portfolio Insights

» The PIMCO 1-3 Year U.S. Treasury Index Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 1-3 Year U.S. Treasury Index^SM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index.

» Yields in the 1- to 3-year segment of the U.S. Treasury yield curve were mixed over the course of the reporting period: at the 1-year point and below yields increased slightly, while yields above the 1-year point declined. The move in yields resulted in overall negative price performance of the underlying securities, though coupon returns drove positive performance for both the Fund and the Underlying Index over the reporting period.

6 PIMCO ETF TRUST

PIMCO 3-7 Year U.S. Treasury Index Fund

Ticker Symbol FIVZ

Cumulative Returns Through June 30, 2012

$10,000 invested at the end of the month when the Fund commenced operations.

Allocation Breakdown^‡

U.S. Treasury Obligations	94.3%
Short-Term Instruments	5.7%

^‡  % of Total Investments as of 06/30/12

Average Annual Total Return for the period ended June 30, 2012
		1 Year		Fund Inception (10/30/2009)
	PIMCO 3-7 Year U.S. Treasury Index Fund (Based on Net Asset Value)		6.67%		5.63%
	PIMCO 3-7 Year U.S. Treasury Index Fund (At Market Price)(1)		6.69%		5.63%
	The BofA Merrill Lynch 3-7 Year U.S. Treasury IndexSM±		6.52%		5.69%

All Fund returns are net of fees and expenses.

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

⁽¹⁾ The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

^± The BofA Merrill Lynch 3-7 Year U.S. Treasury Index^SM is an unmanaged index comprised of U.S. dollar denominated sovereign debt securities publicly issued by the U.S. Treasury having a maturity of at least 3 years and less than 7 years.

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.15%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.

Portfolio Insights

» The PIMCO 3-7 Year U.S. Treasury Index Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 3-7 Year U.S. Treasury Index^SM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index.

» Yields in the 3- to 7-year segment of the U.S. Treasury yield curve were down over the course of the reporting period. The overall decline in yields of the underlying securities and coupon returns drove positive performance for both the Fund and the Underlying Index over the reporting period.

ANNUAL REPORT JUNE 30, 2012 7

PIMCO 7-15 Year U.S. Treasury Index Fund

Ticker Symbol TENZ

Cumulative Returns Through June 30, 2012

$10,000 invested at the end of the month when the Fund commenced operations.

Allocation Breakdown^‡

U.S. Treasury Obligations 100.0%

^‡  % of Total Investments as of 06/30/12

Average Annual Total Return for the period ended June 30, 2012
		1 Year		Fund Inception (09/10/2009)
	PIMCO 7-15 Year U.S. Treasury Index Fund (Based on Net Asset Value)		15.47%		9.17%
	PIMCO 7-15 Year U.S. Treasury Index Fund (At Market Price)(1)		15.41%		9.17%
	The BofA Merrill Lynch 7-15 Year U.S. Treasury IndexSM±		15.38%		9.29%

All Fund returns are net of fees and expenses.

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

⁽¹⁾ The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

^± The BofA Merrill Lynch 7-15 Year U.S. Treasury Index^SM is an unmanaged index that tracks the performance of the direct Sovereign debt of the U.S. Government with at least $1 billion in outstanding face value and a remaining term to final maturity of at least 7 years and less than 15 years. It is not possible to invest directly in an unmanaged index.

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.15%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.

Portfolio Insights

» The PIMCO 7-15 Year U.S. Treasury Index Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 7-15 Year U.S. Treasury Index^SM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index.

» Yields in the 7- to 15-year segment of the U.S. Treasury yield curve were down over the course of the reporting period. The overall decline in yields of the underlying securities and coupon returns drove positive performance for both the Fund and the Underlying Index over the reporting period.

8 PIMCO ETF TRUST

PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund

Ticker Symbol ZROZ

Cumulative Returns Through June 30, 2012

$10,000 invested at the end of the month when the Fund commenced operations.

Allocation Breakdown^‡

U.S. Treasury Obligations 100.0%

^‡  % of Total Investments as of 06/30/12

Average Annual Total Return for the period ended June 30, 2012
		1 Year		Fund Inception (10/30/2009)
	PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund (Based on Net Asset Value)		70.82%		21.34%
	PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund (At Market Price)(1)		70.23%		21.15%
	The BofA Merrill Lynch Long U.S. Treasury Principal STRIPS IndexSM±		69.26%		21.01%

All Fund returns are net of fees and expenses.

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

⁽¹⁾ The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

^± The BofA Merrill Lynch Long U.S. Treasury Principal STRIPS Index^SM is an unmanaged index comprised of long maturity Separate Trading of Registered Interest and Principal of Securities (“STRIPS”) representing the final principal payment of U.S. Treasury bonds. The principal STRIPS comprising the Underlying Index must have 25 years or more remaining term to final maturity and must be stripped from U.S. Treasury bonds having at least $1 billion in outstanding face value.

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.15%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.

Portfolio Insights

» The PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch Long U.S. Treasury Principal STRIPS Index^SM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index.

» Yields in the 25+ year segment of the U.S. Treasury STRIPS yield curve were down over the reporting period. The fall in yields drove positive performance for the Fund and the Underlying Index over the course of the reporting period.

ANNUAL REPORT JUNE 30, 2012 9

PIMCO Broad U.S. Treasury Index Fund

Ticker Symbol TRSY

Cumulative Returns Through June 30, 2012

$10,000 invested at the end of the month when the Fund commenced operations.

Allocation Breakdown^‡

U.S. Treasury Obligations	97.2%
Short-Term Instruments	2.8%

^‡  % of Total Investments as of 06/30/12

Average Annual Total Return for the period ended June 30, 2012
		1 Year		Fund Inception (10/29/2010)
	PIMCO Broad U.S. Treasury Index Fund (Based on Net Asset Value)		12.69%		6.79%
	PIMCO Broad U.S. Treasury Index Fund (At Market Price)(1)		12.64%		6.90%
	The BofA Merrill Lynch Liquid US Treasury IndexSM±		12.66%		6.90%

All Fund returns are net of fees and expenses.

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

⁽¹⁾ The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

^± The BofA Merrill Lynch Liquid U.S. Treasury Index^SM is an unmanaged index that tracks the performance of the three most recently issued 2-year, 3- year, 5-year, 7-year, 10-year and 30-year U.S. Treasury notes and bonds. It is not possible to invest directly in an unmanaged index.

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.15%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.

Portfolio Insights

» The PIMCO Broad U.S. Treasury Index Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch Liquid U.S. Treasury Index^SM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund may invest the remainder of its assets in fixed-income instruments that are not component securities, but which PIMCO believes will help the Fund track its Underlying Index, as well as in cash and investment grade, liquid short-term instruments, forwards or derivatives, such as options, futures contracts or swap agreements, and shares of affiliated bond funds. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index.

» Yields at the 1-year point and below on the U.S. Treasury yield curve were up over the course of the reporting period, and down at all other points. The overall decline in yields of the underlying securities and coupon returns drove positive performance for both the Fund and the Underlying Index over the reporting period.

10 PIMCO ETF TRUST

PIMCO 1-5 Year U.S. TIPS Index Fund

Ticker Symbol STPZ

Cumulative Returns Through June 30, 2012

$10,000 invested at the end of the month when the Fund commenced operations.

Allocation Breakdown^‡

U.S. Treasury Obligations	99.9%
Short-Term Instruments	0.1%

^‡  % of Total Investments as of 06/30/12

Average Annual Total Return for the period ended June 30, 2012
		1 Year		Fund Inception (08/20/2009)
	PIMCO 1-5 Year U.S. TIPS Index Fund (Based on Net Asset Value)		1.71%		4.39%
	PIMCO 1-5 Year U.S. TIPS Index Fund (At Market Price)(1)		1.62%		4.37%
	The BofA Merrill Lynch 1-5 Year U.S. Inflation-Linked Treasury IndexSM±		1.78%		4.61%

All Fund returns are net of fees and expenses.

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

⁽¹⁾ The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

^± The BofA Merrill Lynch 1-5 Year U.S. Inflation-Linked Treasury Index^SM is an unmanaged index comprised of U.S. Treasury Inflation Protected Securities with at least $1 billion in outstanding face value and a remaining term to final maturity of at least 1 year and less than 5 years. It is not possible to invest directly in an unmanaged index.

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.20%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.

Portfolio Insights

» The PIMCO 1-5 Year U.S. TIPS Index Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 1-5 Year U.S. Inflation-Linked Treasury Index^SM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index.

» Real yields, or the rates of return in excess of expected future inflation, were mixed across the U.S. Treasury Inflation-Protected Securities (“TIPS”) yield curve: real yields were up from the 1- to 3-year points, but down otherwise. Overall, this drove positive performance for both the Fund and the Underlying Index. A net positive inflation accrual, or change in the Consumer Price Index (“CPI”), applied to the principal of underlying securities over the reporting period also contributed positively to returns.

ANNUAL REPORT JUNE 30, 2012 11

PIMCO 15+ Year U.S. TIPS Index Fund

Ticker Symbol LTPZ

Cumulative Returns Through June 30, 2012

$10,000 invested at the end of the month when the Fund commenced operations.

Allocation Breakdown^‡

U.S. Treasury Obligations 100.0%

^‡  % of Total Investments as of 06/30/12

Average Annual Total Return for the period ended June 30, 2012
		1 Year		Fund Inception (09/03/2009)
	PIMCO 15+ Year U.S. TIPS Index Fund (Based on Net Asset Value)		26.53%		15.73%
	PIMCO 15+ Year U.S. TIPS Index Fund (At Market Price)(1)		26.40%		15.71%
	The BofA Merrill Lynch 15+ Year U.S. Inflation-Linked Treasury IndexSM±		26.60%		15.87%

All Fund returns are net of fees and expenses.

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

⁽¹⁾ The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

^± The BofA Merrill Lynch 15+ Year U.S. Inflation-Linked Treasury Index^SM is an unmanaged index comprised of U.S. Treasury Inflation Protected Securities with at least $1 billion in outstanding face value and a remaining term to final maturity greater than 15 years. It is not possible to invest directly in an unmanaged index.

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.20%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.

Portfolio Insights

» The PIMCO 15+ Year U.S. TIPS Index Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 15+ Year U.S. Inflation-Linked Treasury Index^SM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index.

» Real yields, or the rates of return in excess of expected future inflation, declined in the longer maturity section of the U.S. Treasury Inflation-Protected Securities (“TIPS”) yield curve, driving positive performance for both the Fund and the Underlying Index. A net positive inflation accrual, or change in the Consumer Price Index (“CPI”), applied to the principal of underlying securities over the reporting period also contributed positively to returns.

12 PIMCO ETF TRUST

PIMCO Broad U.S. TIPS Index Fund

Ticker Symbol TIPZ

Cumulative Returns Through June 30, 2012

$10,000 invested at the end of the month when the Fund commenced operations.

Allocation Breakdown^‡

U.S. Treasury Obligations 100.0%

^‡  % of Total Investments as of 06/30/12

Average Annual Total Return for the period ended June 30, 2012
		1 Year		Fund Inception (09/03/2009)
	PIMCO Broad U.S. TIPS Index Fund (Based on Net Asset Value)		12.21%		9.75%
	PIMCO Broad U.S. TIPS Index Fund (At Market Price)(1)		12.07%		9.72%
	The BofA Merrill Lynch U.S. Inflation-Linked Treasury IndexSM±		12.33%		9.93%

All Fund returns are net of fees and expenses.

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

⁽¹⁾ The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

^± The BofA Merrill Lynch U.S. Inflation-Linked Treasury Index^SM is an unmanaged index comprised of U.S. Treasury Inflation Protected Securities with at least $1 billion in outstanding face value. It is not possible to invest directly in an unmanaged index.

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.20%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.

Portfolio Insights

» The PIMCO Broad U.S. TIPS Index Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch U.S. Inflation-Linked Treasury Index^SM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index.

» Real yields, or the rates of return in excess of expected future inflation, were mixed across the U.S. Treasury Inflation-Protected Securities (“TIPS”) yield curve: real yields were up from the 1- to 3-year points, but down otherwise. Overall, this drove positive performance for both the Fund and the Underlying Index. A net positive inflation accrual, or change in the Consumer Price Index (“CPI”), applied to the principal of underlying securities over the reporting period also contributed positively to returns.

ANNUAL REPORT JUNE 30, 2012 13

PIMCO 0-5 Year High Yield Corporate Bond Index Fund

Ticker Symbol HYS

Cumulative Returns Through June 30, 2012

$10,000 invested at the end of the month when the Fund commenced operations.

Allocation Breakdown^‡

Corporate Bonds & Notes	93.2%
Short-Term Instruments	6.8%

^‡  % of Total Investments as of 06/30/12

Average Annual Total Return for the period ended June 30, 2012
		1 Year		Fund Inception (06/16/2011)
	PIMCO 0-5 Year High Yield Corporate Bond Index Fund (Based on Net Asset Value)		5.16%		5.41%
	PIMCO 0-5 Year High Yield Corporate Bond Index Fund (At Market Price)(1)		5.32%		5.80%
	The BofA Merrill Lynch 0-5 Year US High Yield Constrained IndexSM±		5.65%		5.75%

All Fund returns are net of fees and expenses.

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

⁽¹⁾ The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

^± The BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained Index^SM tracks the performance of short-term U.S. dollar denominated below investment grade corporate debt issued in the U.S. domestic market with less than five years remaining term to final maturity, a fixed coupon schedule and a minimum amount outstanding of $100 million, issued publicly. Allocations to an individual issuer will not exceed 2%. It is not possible to invest directly in an unmanaged index.

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.55%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.

Portfolio Insights

» The PIMCO 0-5 Year High Yield Corporate Bond Index Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained Index^SM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities (“Component Securities”) of the Underlying Index. The Fund may invest the remainder of its assets in fixed-income instruments that are not Component Securities, but which PIMCO believes will help the Fund track its Underlying Index, as well as in cash and investment grade, liquid short-term instruments, forwards or derivatives, such as options, futures contracts or swap agreements, and shares of affiliated bond funds. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index.

» Over the reporting period, yields in the short term segment of the U.S. high yield market rose. However, coupon returns were greater than the negative price performance of underlying securities, resulting in net positive performance for the Fund and the Underlying Index.

14 PIMCO ETF TRUST

PIMCO Investment Grade Corporate Bond Index Fund

Ticker Symbol CORP

Cumulative Returns Through June 30, 2012

$10,000 invested at the end of the month when the Fund commenced operations.

Allocation Breakdown^‡

Industrials	52.5%
Banking & Finance	33.8%
Utilities	13.1%
Short-Term Instruments	0.6%

^‡  % of Total Investments as of 06/30/12

Average Annual Total Return for the period ended June 30, 2012
		1 Year		Fund Inception (09/20/2010)
	PIMCO Investment Grade Corporate Bond Index Fund (Based on Net Asset Value)		9.20%		6.49%
	PIMCO Investment Grade Corporate Bond Index Fund (At Market Price)(1)		9.32%		6.57%
	The BofA Merrill Lynch US Corporate IndexSM±		9.15%		6.70%

All Fund returns are net of fees and expenses.

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

⁽¹⁾ The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

^± The BofA Merrill Lynch U.S. Corporate Index^SM is an unmanaged index comprised of U.S. dollar denominated investment grade, fixed rate corporate debt securities publicly issued in the U.S. domestic market with at least one year remaining term to final maturity and at least $250 million outstanding. It is not possible to invest directly in an unmanaged index.

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.20%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.

Portfolio Insights

» The PIMCO Investment Grade Corporate Bond Index Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch U.S. Corporate Index^SM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund may invest the remainder of its assets in fixed-income instruments that are not component securities, but which PIMCO believes will help the Fund track its Underlying Index, as well as in cash and investment grade, liquid short-term instruments, forwards or derivatives, such as options, futures contracts or swap agreements, and shares of affiliated bond funds. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index.

» A decrease in U.S. Treasury yields beyond the 1-year point as well as coupon returns offset a widening of option-adjusted spreads, driving positive performance for both the Fund and the Underlying Index over the reporting period.

ANNUAL REPORT JUNE 30, 2012 15

PIMCO Australia Bond Index Fund

Ticker Symbol AUD

Cumulative Returns Through June 30, 2012

$10,000 invested at the end of the month when the Fund commenced operations.

Allocation Breakdown^‡

Australia	71.6%
Supranational	19.0%
Germany	4.3%
United Kingdom	3.0%
Netherlands	2.1%

^‡  % of Total Investments as of 06/30/12

Cumulative Total Return for the period ended June 30, 2012
		Fund Inception (10/31/2011)
	PIMCO Australia Bond Index Fund (Based on Net Asset Value)		4.16%
	PIMCO Australia Bond Index Fund (At Market Price)(1)		3.36%
	The BofA Merrill Lynch Diversified Australia Bond IndexSM±		4.50%

All Fund returns are net of fees and expenses.

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

⁽¹⁾ The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

^± The BofA Merrill Lynch Diversified Australia Bond Index^SM tracks the performance of large, Australian dollar (“AUD”)-denominated investment grade debt instruments publicly issued in the Australian domestic market, including sovereign, quasi government, corporate, securitized and collateralized securities. All qualifying securities must have at least one year remaining term to final maturity and a fixed coupon schedule. Qualifying Australian sovereign securities must have a minimum amount outstanding of AUD 1 billion. Qualifying non-sovereign securities must have a minimum amount outstanding of AUD 500 million and must be rated investment grade. Index constituents are capitalization-weighted adjusted, as necessary, to meet issuer concentration limits. The Underlying Index is rebalanced on the last calendar day of the month. It is not possible to invest directly in an unmanaged index.

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.51%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.

Portfolio Insights

» The PIMCO Australia Bond Index Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch Diversified Australia Bond Index^SM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Underlying Index tracks the performance of large, Australian dollar-denominated investment grade debt instruments publicly issued in the Australian domestic market, including sovereign, quasi-government, corporate securitized and collateralized securities. Qualifying constituents must have an investment-grade rating (based on an average of Moody’s Investors Service, Inc. (“Moody’s”), Standard & Poor’s Ratings Services (“S&P”) and Fitch, Inc. (“Fitch”)), an investment grade country of risk (based on an average of Moody’s, S&P and Fitch foreign currency long term sovereign debt ratings), at least one year remaining term to final maturity and a fixed coupon schedule. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index.

» The Fund commenced operations on October 31, 2011.

» Australian government yields declined over the reporting period while the Australian dollar weakened versus the U.S. dollar. The net result was positive performance for both the Fund and the Underlying Index.

16 PIMCO ETF TRUST

PIMCO Canada Bond Index Fund

Ticker Symbol CAD

Cumulative Returns Through June 30, 2012

$10,000 invested at the end of the month when the Fund commenced operations.

Allocation Breakdown^‡

Canada 100.0%

^‡  % of Total Investments as of 06/30/12

Cumulative Total Return for the period ended June 30, 2012
		Fund Inception (11/09/2011)
	PIMCO Canada Bond Index Fund (Based on Net Asset Value)		4.18%
	PIMCO Canada Bond Index Fund (At Market Price)(1)		4.18%
	The BofA Merrill Lynch Diversified Canada Government Bond IndexSM±		3.57%

All Fund returns are net of fees and expenses.

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

⁽¹⁾ The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

^± The BofA Merrill Lynch Diversified Canada Government Bond Index^SM tracks the performance of large, Canadian dollar (“CAD”)-denominated investment grade debt instruments publicly issued in the Canadian domestic market including Canadian sovereign and quasi-government securities. All Qualifying securities must have at least one year remaining term to final maturity, a fixed coupon schedule and a minimum amount outstanding of CAD 1 billion for Canadian sovereign securities and a minimum amount outstanding of CAD 200 million for Canadian quasi-government-securities. Index constituents are capitalization-weighted adjusted, as necessary, to meet issuer concentration limits. The Underlying Index is rebalanced on the last calendar day of the month. It is not possible to invest directly in an unmanaged index.

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.52%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.

Portfolio Insights

» The PIMCO Canada Bond Index Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch Diversified Canada Bond Index^SM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Underlying Index tracks the performance of large, Canadian dollar-denominated investment grade debt instruments publicly issued in the Canadian domestic market, including Canadian sovereign and quasi-government securities. Qualifying constituents must have an investment-grade rating (based on an average of the ratings of Moody’s Investors Service, Inc. (“Moody’s”), Standard & Poor’s Ratings Services (“S&P”) and Fitch, Inc. (“Fitch”)), an investment grade country of risk (based on an average of Moody’s, S&P and Fitch foreign currency long term sovereign debt ratings), at least one year remaining term to final maturity and a fixed coupon schedule. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index.

» The Fund commenced operations on November 9, 2011.

» Canadian government yields rose from the 6-month to 3-year portion of the yield curve, but otherwise fell while the Canadian dollar strengthened slightly versus the U.S. dollar. The net result was positive performance for both the Fund and the Underlying Index.

ANNUAL REPORT JUNE 30, 2012 17

PIMCO Germany Bond Index Fund

Ticker Symbol BUND

Cumulative Returns Through June 30, 2012

$10,000 invested at the end of the month when the Fund commenced operations.

Allocation Breakdown^‡

Germany	83.7%
Netherlands	16.3%

^‡  % of Total Investments as of 06/30/12

Cumulative Total Return for the period ended June 30, 2012
		Fund Inception (11/09/2011)
	PIMCO Germany Bond Index Fund (Based on Net Asset Value)		-3.29	%
	PIMCO Germany Bond Index Fund (At Market Price)(1)		-2.95	%
	The BofA Merrill Lynch Diversified Germany Bond IndexSM±		-3.26	%

All Fund returns are net of fees and expenses.

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

⁽¹⁾ The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

^± The BofA Merrill Lynch Diversified Germany Bond Index^SM tracks the performance of large, Euro (“EUR”)-denominated investment grade debt instruments of German issuers publicly issued in the eurobond or Euro member domestic markets, including sovereign, quasi-government, corporate, securitized and collateralized securities. All Qualifying securities must be an obligation of a German entity with at least one year remaining term to final maturity and a fixed coupon schedule. Qualifying German sovereign securities must have a minimum amount outstanding of EUR 1 billion. Qualifying non-sovereign securities must have a minimum amount outstanding of EUR 500 million and must be rated investment grade. Index constituents are capitalization-weighted adjusted, as necessary, to meet issuer concentration limits. The Underlying Index is rebalanced on the last calendar day of the month. It is not possible to invest directly in an unmanaged index.

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.49%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.

Portfolio Insights

» The PIMCO Germany Bond Index Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch Diversified Germany Bond Index^SM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Underlying Index tracks the performance of large, Euro-denominated investment grade debt instruments of German issuers publicly issued in the eurobond or Euromember domestic markets, including sovereign, quasi-government, corporate, securitized and collateralized securities. Qualifying constituents must be an obligation of a German entity with an investment-grade rating (based on an average of the ratings of Moody’s Investors Service, Inc. (“Moody’s”), Standard & Poor’s Ratings Services (“S&P”) and Fitch, Inc. (“Fitch”), at least one year remaining term to final maturity and a fixed coupon schedule. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index.

» The Fund commenced operations on November 9, 2011.

» German government bond yields were down across the yield curve except at the 3-month point while the euro weakened versus the U.S. dollar. The net result was negative performance for both the Fund and the Underlying Index.

18 PIMCO ETF TRUST

PIMCO Build America Bond Strategy Fund

Ticker Symbol BABZ

Cumulative Returns Through June 30, 2012

$10,000 invested at the end of the month when the Fund commenced operations.

Allocation Breakdown^‡

California	39.6%
New York	14.2%
Illinois	12.6%
New Jersey	7.8%
Short-Term Instruments	5.4%
Other	20.4%

^‡  % of Total Investments as of 06/30/12

Average Annual Total Return for the period ended June 30, 2012
		1 Year		Fund Inception (09/20/2010)
	PIMCO Build America Bond Strategy Fund (Based on Net Asset Value)		22.27%		13.83%
	PIMCO Build America Bond Strategy Fund (At Market Price)(1)		23.04%		13.90%
	Barclays Build America Bond Index±		24.09%		15.61%

All Fund returns are net of fees and expenses.

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

⁽¹⁾ The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

^± Barclays Build America Bond Index is a subset of the Barclays Taxable Municipal Bond Index. The sub-Index consists of all direct pay Build America Bonds that satisfy the rules of the Barclays Taxable Municipal Bond Index. The Barclays Taxable Municipal Bond Index represents securities that are SEC-registered, taxable, dollar denominated, and have at least one year to final maturity, at least $250 million par amount outstanding and are determined to be investment-grade by Barclays. It is not possible to invest directly in an unmanaged index.

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.45%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.

Portfolio Insights

» The PIMCO Build America Bond Strategy Fund seeks maximum income, consistent with preservation of capital, by investing under normal circumstances at least 80% of its assets in taxable municipal debt securities publicly issued under the Build America Bond program.

» The Fund’s 30 Day SEC yield^(a) after fees for June 30, 2012 was 4.11% while the estimated yield to maturity^(b) was 4.58%.

» An underweight duration position (or sensitivity to changes in market interest rates) throughout the reporting period detracted from performance as yields fell across the yield curve.

» A focus on revenue municipal bonds relative to general obligation municipal bonds contributed to performance as revenue bonds outperformed general obligation issues during the reporting period.

» An overweight exposure to transportation and healthcare securities contributed to performance as returns in these sectors outperformed the general municipal bond market.

» An overweight exposure to electric bonds detracted from returns as these securities underperformed the general municipal bond market.

» An underweight to education securities detracted from returns as the sector outperformed the general municipal bond market.

^(a) The 30 Day SEC Yield is a standard yield calculation developed by the Securities and Exchange Commission (“SEC”) that allows for fairer comparisons among bond funds. It is based on the most recent 30-day period covered by the Fund’s filings with the SEC. The yield figure reflects the dividends and interest earned during the period, after the deduction of the Fund’s expenses.

^(b) The Yield to Maturity (“YTM”) is the rate of return anticipated on a bond if it is held until the maturity date. The calculation of YTM takes into account the current market price, par value, coupon interest rate and time to maturity. PIMCO calculates a Fund’s estimated YTM by averaging the YTM of each security held in the Fund on a market weighted basis by selecting each security’s YTM from PIMCO’s analytics database or from Bloomberg. A Fund’s estimated YTM may differ from its distribution yield or SEC yield due to a number of factors, including unsettled trades and Fund expenses.

ANNUAL REPORT JUNE 30, 2012 19

PIMCO Enhanced Short Maturity Strategy Fund

Ticker Symbol MINT

Cumulative Returns Through June 30, 2012

$10,000 invested at the end of the month when the Fund commenced operations.

Allocation Breakdown^‡

Corporate Bonds & Notes	62.9%
Short-Term Instruments	8.8%
U.S. Government Agencies	8.4%
Asset-Backed Securities	7.8%
Mortgage-Backed Securities	5.1%
Other	7.0%

^‡  % of Total Investments as of 06/30/12

Average Annual Total Return for the period ended June 30, 2012
		1 Year		Fund Inception (11/16/2009)
	PIMCO Enhanced Short Maturity Strategy Fund (Based on Net Asset Value)		1.13%		1.42%
	PIMCO Enhanced Short Maturity Strategy Fund (At Market Price)(1)		1.11%		1.41%
	Citigroup 3-Month Treasury Bill Index±		0.04%		0.09%	*

All Fund returns are net of fees and expenses.

* Average annual total return since 11/30/2009.

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

⁽¹⁾ The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

^± Citigroup 3-Month Treasury Bill Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues. It is not possible to invest directly in an unmanaged index.

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.35%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.

Portfolio Insights

» The PIMCO Enhanced Short Maturity Strategy Fund seeks maximum current income, consistent with preservation of capital and daily liquidity, by investing under normal circumstances at least 65% of its total assets in a diversified portfolio of fixed income instruments of varying maturities, which may be represented by forwards. Fixed income instruments include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. The Fund primarily invests in U.S. dollar-denominated investment grade debt securities, rated Baa or higher by Moody’s Investors Service, Inc. (“Moody’s”), or equivalently rated by Standard & Poor’s Ratings Services (“S&P”) or Fitch, Inc. (“Fitch”), or, if unrated, determined by PIMCO to be of comparable quality.

» As of June 29, 2012, the Fund’s 30 Day SEC yield^(a) was 0.98% while the estimated yield to maturity^(b) was 1.22%.

» An above-benchmark duration (or sensitivity to changes in market interest rates) with emphasis on the 1- to 5-year portion of the yield curve was positive for performance as the U.S. Treasury yield curve flattened with intermediate rates falling more than short-term rates rose.

» An allocation to investment grade corporates added to returns as the sector outperformed like-duration U.S. Treasuries over the reporting period.

» Exposure to emerging markets external debt benefited performance.

^(a) The 30 Day SEC Yield is a standard yield calculation developed by the Securities and Exchange Commission (“SEC”) that allows for fairer comparisons among bond funds. It is based on the most recent 30-day period covered by the Fund’s filings with the SEC. The yield figure reflects the dividends and interest earned during the period, after the deduction of the Fund’s expenses.

^(b) The Yield to Maturity (“YTM”) is the rate of return anticipated on a bond if it is held until the maturity date. The calculation of YTM takes into account the current market price, par value, coupon interest rate and time to maturity. PIMCO calculates a Fund’s estimated YTM by averaging the YTM of each security held in the Fund on a market weighted basis by selecting each security’s YTM from PIMCO’s analytics database or from Bloomberg. A Fund’s estimated YTM may differ from its distribution yield or SEC yield due to a number of factors, including unsettled trades and Fund expenses.

20 PIMCO ETF TRUST

PIMCO Global Advantage^® Inflation-Linked Bond Strategy Fund

Ticker Symbol ILB

Allocation Breakdown‡
United States	17.7%
Mexico	16.7%
Short-Term Instruments	12.2%
Brazil	11.0%
Canada	7.3%
Japan	6.7%
Germany	5.7%
South Africa	5.4%
Other	17.3%

^‡ % of Total Investments as of 06/30/12

A line graph is not included since the Fund has less than six months of performance.

Cumulative Total Return for the period ended June 30, 2012
	Fund Inception (04/30/2012)
PIMCO Global Advantage® Inflation-Linked Bond Strategy Fund (Based on Net Asset Value)		0.56	%
PIMCO Global Advantage® Inflation-Linked Bond Strategy Fund (At Market Price)(1)		1.12	%
Barclays Universal Government Inflation-Linked Bond Index±		1.06	%
PIMCO Global Advantage Inflation-Linked Bond Index (USD Unhedged)±±		-1.26	%

All Fund returns are net of fees and expenses.

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

⁽¹⁾ The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

^± The Barclays Universal Government Inflation-Linked Bond Index combines the World, Euro and EM government indices to measure the performance of the major developed and emerging government inflation-linked bond markets. The index includes inflation-linked government bonds from 19 countries; in order of size, the US, UK, France, Brazil, Italy, Japan, Canada, Sweden, Germany, Argentina, Mexico, Greece, South Africa, Australia, Turkey, Colombia, Chile, Poland and South Korea. The index is market capitalization weighted and rebalances monthly. It is not possible to invest directly in an unmanaged index.

^±± PIMCO Global Advantage Inflation-Linked Bond Index (USD Unhedged). The PIMCO GLADI ILB represents the global bond market for inflation-linked government debt encompassing both developed and emerging markets. The index adheres to the principals of the PIMCO Global Advantage Indices when applicable to the global inflation-linked bond market.

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.72%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.

Portfolio Insights

» The PIMCO Global Advantage^® Inflation-Linked Bond Strategy Fund seeks total return which exceeds that of its benchmark indexes, consistent with prudent investment management, by investing under normal circumstances at least 80% of its assets in inflation-linked bonds that are economically tied to at least three developed and emerging market countries (one of which may be the United States). Inflation-linked bonds are fixed income securities that are structured to provide protection against inflation.

» The Fund commenced operations on April 30, 2012.

» As of June 29, 2012, the Fund’s 30 Day SEC yield^(a) was 2.91% while the estimated yield to maturity^(b) was 3.44%.

» An overweight to real duration (or sensitivity to changes in real interest rates) in Mexico was positive for performance as real rates were down across the yield curve.

» A focus on intermediate-maturity U.S. Treasury Inflation-Protected Securities (“TIPS”) was positive for returns as real yields rallied in this portion of the U.S. TIPS yield curve; furthermore, an underweight to short-maturity U.S. TIPS also benefited returns as real yields sold off in this portion of the U.S. TIPS yield curve.

» Exposure to intermediate Brazilian real duration was positive for returns as real yields rallied.

» An overweight to Canadian real duration contributed to returns as yields rallied.

» Overweights in currency exposure to the Mexican peso and the South African rand detracted from returns as these currencies weakened versus the U.S. dollar.

^(a) The 30 Day SEC Yield is a standard yield calculation developed by the Securities and Exchange Commission (“SEC”) that allows for fairer comparisons among bond funds. It is based on the most recent 30-day period covered by the Fund’s filings with the SEC. The yield figure reflects the dividends and interest earned during the period, after the deduction of the Fund’s expenses.

^(b) The Yield to Maturity (“YTM”) is the rate of return anticipated on a bond if it is held until the maturity date. The calculation of YTM takes into account the current market price, par value, coupon interest rate and time to maturity. PIMCO calculates a Fund’s estimated YTM by averaging the YTM of each security held in the Fund on a market weighted basis by selecting each security’s YTM from PIMCO’s analytics database or from Bloomberg. A Fund’s estimated YTM may differ from its distribution yield or SEC yield due to a number of factors, including unsettled trades and Fund expenses.

ANNUAL REPORT JUNE 30, 2012 21

PIMCO Intermediate Municipal Bond Strategy Fund

Ticker Symbol MUNI

Cumulative Returns Through June 30, 2012

$10,000 invested at the end of the month when the Fund commenced operations.

Allocation Breakdown^‡

California	13.7%
Texas	12.7%
New York	12.1%
Florida	7.6%
Ohio	6.0%
Illinois	5.7%
New Jersey	5.3%
Other	36.9%

^‡  % of Total Investments as of 06/30/12

Average Annual Total Return for the period ended June 30, 2012
		1 Year		Fund Inception (11/30/2009)
	PIMCO Intermediate Municipal Bond Strategy Fund (Based on Net Asset Value)		6.88%		5.26%
	PIMCO Intermediate Municipal Bond Strategy Fund (At Market Price)(1)		6.86%		5.25%
	Barclays 1-15 Year Municipal Bond Index±		7.50%		5.45%

All Fund returns are net of fees and expenses.

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

⁽¹⁾ The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

^± Barclays 1-15 Year Municipal Bond Index consists of a broad selection of investment grade general obligation and revenue bonds of maturities ranging from one year to 17 years. It is an unmanaged index representative of the tax exempt bond market. It is not possible to invest directly in an unmanaged index.

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.35%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.

Portfolio Insights

» The PIMCO Intermediate Municipal Bond Strategy Fund seeks attractive tax-exempt income, consistent with preservation of capital, by investing under normal circumstances at least 80% of its total assets in a diversified portfolio of debt securities whose interest is, in the opinion of bond counsel for the issuer at the time of issuance, exempt from federal income tax. The Fund does not intend to invest in securities whose interest is subject to the federal alternative minimum tax. The Fund may only invest in U.S. dollar-denominated investment grade debt securities, rated Baa or higher by Moody’s Investors Service, Inc. (“Moody’s”), or equivalently rated by Standard & Poor’s Ratings Services (“S&P”) or Fitch, Inc. (“Fitch”), or, if unrated, determined by Pacific Investment Management Company LLC (“PIMCO”) to be of comparable quality. The Fund may invest 25% or more of its total assets in Municipal Bonds that finance similar projects, such as those relating to education, health care, housing, transportation, and utilities, and 25% or more of its total assets in industrial development bonds.

» The Fund’s 30 Day SEC Yield^(a) after fees for June 30, 2012 was 1.45%, or 2.22% on a fully tax adjusted basis assuming a federal tax rate of 35.0%, or 1.61% assuming a federal tax rate of 10.0%. Your tax adjusted yield may differ depending on your tax bracket.

» Duration positioning (or sensitivity to changes in market interest rates) was generally managed below the benchmark throughout most of the reporting period, which detracted from returns as municipal yields moved lower throughout the reporting period.

» An overweight exposure to healthcare and corporate-backed sectors was positive for returns as these sectors outperformed the general municipal bond index.

» An underweight exposure to the transportation sector detracted from performance as the sector outperformed the general municipal bond index.

^(a) The 30 Day SEC Yield is a standard yield calculation developed by the Securities and Exchange Commission (“SEC”) that allows for fairer comparisons among bond funds. It is based on the most recent 30-day period covered by the Fund’s filings with the SEC. The yield figure reflects the dividends and interest earned during the period, after the deduction of the Fund’s expenses.

22 PIMCO ETF TRUST

PIMCO Short Term Municipal Bond Strategy Fund

Ticker Symbol SMMU

Cumulative Returns Through June 30, 2012

$10,000 invested at the end of the month when the Fund commenced operations.

Allocation Breakdown^‡

New York	19.7%
California	12.9%
Illinois	8.1%
Arizona	6.6%
Connecticut	6.4%
Washington	6.3%
Texas	6.1%
Other	33.9%

^‡ % of Total Investments as of 06/30/12

Average Annual Total Return for the period ended June 30, 2012
		1 Year		Fund Inception (02/01/2010)
	PIMCO Short Term Municipal Bond Strategy Fund (Based on Net Asset Value)		1.36%		1.55%
	PIMCO Short Term Municipal Bond Strategy Fund (At Market Price)(1)		1.61%		1.54%
	Barclays 1-3 Year Municipal Bond Index±		1.97%		2.08%

All Fund returns are net of fees and expenses.

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

⁽¹⁾ The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

^± Barclays 1-3 Year Municipal Bond Index consists of a broad selection of investment grade general obligation and revenue bonds of maturities ranging from one year to four years. It is an unmanaged index representative of the tax exempt bond market. It is not possible to invest directly in an unmanaged index.

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.35%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.

Portfolio Insights

» The PIMCO Short Term Municipal Bond Strategy Fund seeks attractive tax-exempt income, consistent with preservation of capital, by investing under normal circumstances at least 80% of its total assets in a diversified portfolio of debt securities whose interest is, in the opinion of bond counsel for the issuer at the time of issuance, exempt from federal income tax. The Fund does not intend to invest in securities whose interest is subject to the federal alternative minimum tax. The Fund may only invest in U.S. dollar-denominated investment grade debt securities, rated Baa or higher by Moody’s Investors Service, Inc. (“Moody’s”), or equivalently rated by Standard & Poor’s Ratings Services (“S&P”) or Fitch, Inc. (“Fitch”), or, if unrated, determined by Pacific Investment Management Company LLC (“PIMCO”) to be of comparable quality. The Fund may invest 25% or more of its total assets in Municipal Bonds that finance similar projects, such as those relating to education, health care, housing, transportation, and utilities, and 25% or more of its total assets in industrial development bonds.

» The Fund’s 30 Day SEC Yield^(a) after fees for June 30, 2012 was 0.38%, or 0.59% on a fully tax adjusted basis assuming a federal tax rate of 35.0%, or 0.42% assuming a federal tax rate of 10.0%. Your tax adjusted yield may differ depending on your tax bracket.

» An underweight duration positioning (or sensitivity to changes in market interest rates) throughout most of the reporting period detracted from returns as municipal bond yields fell across the municipal yield curve.

» An overweight to dedicated revenue municipal bonds versus general obligation municipal bonds was positive for returns as revenue bonds outperformed general obligation bonds over the reporting period.

» An overweight exposure to healthcare and corporate-backed municipal bonds was positive for returns as these sectors outperformed the general municipal bond index.

» An underweight exposure to the lease-backed municipal bond sector detracted from performance as the sector outperformed the general municipal bond index.

» An overweight exposure to the transportation sector was positive for returns as the segment outperformed the general municipal bond index.

^(a) The 30 Day SEC Yield is a standard yield calculation developed by the Securities and Exchange Commission (“SEC”) that allows for fairer comparisons among bond funds. It is based on the most recent 30-day period covered by the Fund’s filings with the SEC. The yield figure reflects the dividends and interest earned during the period, after the deduction of the Fund’s expenses.

ANNUAL REPORT JUNE 30, 2012 23

PIMCO Total Return Exchange-Traded Fund

Ticker Symbol BOND

Allocation Breakdown‡
U.S. Government Agencies	32.7%
Short-Term Instruments	15.6%
Corporate Bonds & Notes	14.4%
Mortgage-Backed Securities	13.8%
U.S. Treasury Obligations	12.5%
Sovereign Issues	8.3%
Other	2.7%

^‡ % of Total Investments as of 06/30/12

A line graph is not included since the Fund has less than six months of performance.

Cumulative Total Return for the period ended June 30, 2012
	Fund Inception (02/29/2012)
PIMCO Total Return Exchange-Traded Fund (Based on Net Asset Value)		6.27	%
PIMCO Total Return Exchange-Traded Fund (At Market Price)(1)		6.22	%
Barclays U.S. Aggregate Index±		1.50	%

All Fund returns are net of fees and expenses.

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

⁽¹⁾ The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

^± Barclays U.S. Aggregate Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. It is not possible to invest directly in an unmanaged index.

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.59%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.

Portfolio Insights

» The PIMCO Total Return Exchange-Traded Fund seeks to provide maximum total return, consistent with preservation of capital and prudent investment management, by investing under normal circumstances at least 65% of its total assets in a diversified portfolio of fixed income instruments of varying maturities. Fixed income instruments include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities.

» The Fund commenced operations on February 29, 2012.

» As of June 29, 2012, the Fund’s 30 Day SEC yield^(a) was 2.93% while the estimated yield to maturity^(b) was 3.63%.

» An average overweight to U.S. duration (or sensitivity to changes in market interest rates), with a focus on the intermediate portion of the yield curve during the first half of the fiscal year, added to returns as the 10-year U.S. Treasury yield fell over this period.

» Non-Agency mortgage positions added to returns as prices on these securities rose.

» An overweight to Agency mortgage-backed securities in the first half of the fiscal year added to returns as lower coupons fared better than higher coupons.

» Duration exposure to local debt in Mexico added to performance as the interest rates fell in this country.

» Exposure to a basket of emerging market currencies, particularly the Mexican peso, detracted from performance as these currencies depreciated relative to the U.S. dollar.

^(a) The 30 Day SEC Yield is a standard yield calculation developed by the Securities and Exchange Commission (“SEC”) that allows for fairer comparisons among bond funds. It is based on the most recent 30-day period covered by the Fund’s filings with the SEC. The yield figure reflects the dividends and interest earned during the period, after the deduction of the Fund’s expenses.

^(b) The Yield to Maturity (“YTM”) is the rate of return anticipated on a bond if it is held until the maturity date. The calculation of YTM takes into account the current market price, par value, coupon interest rate and time to maturity. PIMCO calculates a Fund’s estimated YTM by averaging the YTM of each security held in the Fund on a market weighted basis by selecting each security’s YTM from PIMCO’s analytics database or from Bloomberg. A Fund’s estimated YTM may differ from its distribution yield or SEC yield due to a number of factors, including unsettled trades and Fund expenses.

24 PIMCO ETF TRUST

Expense Examples

Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of Fund shares and (2) ongoing costs, including management fees and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other exchange-traded funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for all Funds is from January 1, 2012 to June 30, 2012 unless noted otherwise in the table and footnotes below.

Actual Expenses

The information in the table under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the row titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example For Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other exchange-traded funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other exchange-traded funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of shares of the Funds. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different exchange-traded funds. In addition, if these transactional costs were included, your costs would have been higher.

Expense ratios may vary period to period because of various factors, such as an increase in expenses not covered by the management fee (such as expenses of the independent trustees and their counsel, extraordinary expenses and interest expense).

	Actual Performance						Hypothetical Performance (5% return before expenses)
	Beginning Account Value (01/01/12)		Ending Account Value (06/30/12)		Expenses Paid During Period*		Beginning Account Value (01/01/12)		Ending Account Value (06/30/12)		Expenses Paid During Period*		Net Annualized Expense Ratio**
PIMCO 1-3 Year U.S. Treasury Index Fund	$	1,000.00	$	1,000.60	$	0.45	$	1,000.00	$	1,024.42	$	0.45		0.09	%
PIMCO 3-7 Year U.S. Treasury Index Fund		1,000.00		1,014.00		0.75		1,000.00		1,024.12		0.75		0.15
PIMCO 7-15 Year U.S. Treasury Index Fund		1,000.00		1,032.50		0.76		1,000.00		1,024.12		0.75		0.15
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund		1,000.00		1,061.10		0.77		1,000.00		1,024.12		0.75		0.15
PIMCO Broad U.S. Treasury Index Fund		1,000.00		1,020.90		0.75		1,000.00		1,024.12		0.75		0.15
PIMCO 1-5 Year U.S. TIPS Index Fund		1,000.00		1,009.70		1.00		1,000.00		1,023.87		1.01		0.20
PIMCO 15+ Year U.S. TIPS Index Fund		1,000.00		1,073.50		1.03		1,000.00		1,023.87		1.01		0.20
PIMCO Broad U.S. TIPS Index Fund		1,000.00		1,041.00		1.01		1,000.00		1,023.87		1.01		0.20
PIMCO 0-5 Year High Yield Corporate Bond Index Fund		1,000.00		1,057.40		2.81		1,000.00		1,022.13		2.77		0.55
PIMCO Investment Grade Corporate Bond Index Fund		1,000.00		1,051.10		1.02		1,000.00		1,023.87		1.01		0.20
PIMCO Australia Bond Index Fund		1,000.00		1,053.90		2.30		1,000.00		1,022.63		2.26		0.45
PIMCO Canada Bond Index Fund		1,000.00		1,017.80		2.26		1,000.00		1,022.63		2.26		0.45
PIMCO Germany Bond Index Fund		1,000.00		1,010.40		2.25		1,000.00		1,022.63		2.26		0.45
PIMCO Build America Bond Strategy Fund		1,000.00		1,072.10		2.32		1,000.00		1,022.63		2.26		0.45
PIMCO Enhanced Short Maturity Strategy Fund		1,000.00		1,015.70		1.75		1,000.00		1,023.12		1.76		0.35
PIMCO Global Advantage® Inflation-Linked Bond Strategy Fund(a)		1,000.00		1,005.60		1.02		1,000.00		1,021.83		3.07		0.61

ANNUAL REPORT JUNE 30, 2012 25

Expense Examples  (Cont.)

	Actual Performance						Hypothetical Performance (5% return before expenses)
	Beginning Account Value (01/01/12)		Ending Account Value (06/30/12)		Expenses Paid During Period*		Beginning Account Value (01/01/12)		Ending Account Value (06/30/12)		Expenses Paid During Period*		Net Annualized Expense Ratio**
PIMCO Intermediate Municipal Bond Strategy Fund	$	1,000.00	$	1,023.80	$	1.76	$	1,000.00	$	1,023.12	$	1.76		0.35	%
PIMCO Short Term Municipal Bond Strategy Fund		1,000.00		1,007.20		1.75		1,000.00		1,023.12		1.76		0.35
PIMCO Total Return Exchange-Traded Fund(b)		1,000.00		1,062.70		1.89		1,000.00		1,022.13		2.77		0.55

* Expenses paid during the period are equal to the net annualized expense ratio for the Fund, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

** The net annualized expense ratio is reflective of any applicable waivers related to contractual agreements for contractual fee waivers or voluntary fee waivers. Details regarding fee waivers can be found in note 8 in the Notes to Financial Statements.

^(a) The Beginning Account Value is reflective as of 4/30/12 for Actual Performance. Expenses paid in the Actual Performance section are equal to the net annualized expense ratio for the Fund, multiplied by the average account value over the period, multiplied by 61/366 for the PIMCO Global Advantage^® Inflation-Linked Bond Strategy Fund (to reflect the period since the inception date of 4/30/12). Hypothetical expenses reflect an amount as if the Fund had been operational for the entire fiscal half year.

^(b) The Beginning Account Value is reflective as of 2/29/12 for Actual Performance. Expenses paid in the Actual Performance section are equal to the net annualized expense ratio for the Fund, multiplied by the average account value over the period, multiplied by 122/366 for the PIMCO Total Return Exchange-Traded Fund (to reflect the period since the inception date of 2/29/12). Hypothetical expenses reflect an amount as if the Fund had been operational for the entire fiscal half year.

26 PIMCO ETF TRUST

(THIS PAGE INTENTIONALLY LEFT BLANK)

ANNUAL REPORT JUNE 30, 2012 27

Financial Highlights

Selected Per Share Data for the Year or Period Ended:	Net Asset Value Beginning of Year or Period		Net Investment Income (a)		Net Realized/ Unrealized Gain (Loss) on Investments			Total Income (Loss) from Investment Operations			Dividends from Net Investment Income			Distributions from Net Realized Capital Gains
PIMCO 1-3 Year U.S. Treasury Index Fund
06/30/2012	$	51.00	$	0.29	$	0.08		$	0.37		$	(0.29	)	$	(0.10	)
06/30/2011		50.76		0.40		0.24			0.64			(0.40	)		0.00
06/30/2010		49.94		0.43		0.84			1.27			(0.43	)		(0.02	)
06/01/2009 - 06/30/2009		50.00		0.03		(0.06	)		(0.03	)		(0.03	)		0.00
PIMCO 3-7 Year U.S. Treasury Index Fund
06/30/2012	$	78.36	$	1.29	$	3.91		$	5.20		$	(1.28	)	$	(0.34	)
06/30/2011		77.91		1.44		1.24			2.68			(1.49	)		(0.74	)
10/30/2009 - 06/30/2010		75.34		1.08		2.53			3.61			(1.04	)		0.00
PIMCO 7-15 Year U.S. Treasury Index Fund
06/30/2012	$	78.21	$	1.86	$	10.13		$	11.99		$	(1.77	)	$	(0.67	)
06/30/2011		79.23		2.27		0.05			2.32			(2.29	)		(1.05	)
09/10/2009 - 06/30/2010		75.67		1.94		3.65			5.59			(1.98	)		(0.05	)
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund
06/30/2012	$	70.18	$	3.27	$	46.15		$	49.42		$	(3.22	)	$	0.00
06/30/2011		83.02		3.25		(12.86	)		(9.61	)		(3.23	)		0.00
10/30/2009 - 06/30/2010		76.98		2.24		5.93			8.17			(2.13	)		0.00
PIMCO Broad U.S. Treasury Index Fund
06/30/2012	$	98.11	$	1.43	$	10.95		$	12.38		$	(1.36	)	$	(0.68	)
10/29/2010 - 06/30/2011		100.36		1.26		(2.26	)		(1.00	)		(1.25	)		0.00
PIMCO 1-5 Year U.S. TIPS Index Fund
06/30/2012	$	53.30	$	0.81	$	0.10		$	0.91		$	(0.75	)	$	(0.07	)
06/30/2011		51.79		1.86		1.08			2.94			(1.42	)		(0.01	)
08/20/2009 - 06/30/2010		50.00		0.86		1.71			2.57			(0.78	)		0.00
PIMCO 15+ Year U.S. TIPS Index Fund
06/30/2012	$	56.04	$	1.65	$	13.11		$	14.76		$	(1.58	)	$	0.00
06/30/2011		54.17		2.63		1.41			4.04			(2.17	)		0.00
09/03/2009 - 06/30/2010		50.01		1.22		4.20			5.42			(1.26	)		0.00
PIMCO Broad U.S. TIPS Index Fund
06/30/2012	$	54.58	$	1.40	$	5.23		$	6.63		$	(1.28	)	$	0.00
06/30/2011		52.95		2.18		1.67			3.85			(1.91	)		(0.31	)
09/03/2009 - 06/30/2010		50.01		0.96		2.97			3.93			(0.92	)		(0.07	)
PIMCO 0-5 Year High Yield Corporate Bond Index Fund
06/30/2012	$	100.29	$	6.06	$	(1.13	)	$	4.93		$	(5.60	)	$	0.00
06/16/2011 - 06/30/2011		100.00		0.18		0.27			0.45			(0.16	)		0.00
PIMCO Investment Grade Corporate Bond Index Fund
06/30/2012	$	99.76	$	3.44	$	5.61		$	9.05		$	(3.35	)	$	0.00
09/20/2010 - 06/30/2011		100.00		2.60		(0.23	)		2.37			(2.56	)		(0.05	)
PIMCO Australia Bond Index Fund
10/31/2011 - 06/30/2012	$	100.00	$	2.53	$	1.56		$	4.09		$	(2.23	)	$	0.00
PIMCO Canada Bond Index Fund
11/09/2011 - 06/30/2012	$	100.00	$	1.32	$	2.86		$	4.18		$	(1.05	)	$	0.00
PIMCO Germany Bond Index Fund
11/09/2011 - 06/30/2012	$	100.00	$	0.88	$	(4.17	)	$	(3.29	)	$	(0.21	)	$	0.00
PIMCO Build America Bond Strategy Fund
06/30/2012	$	49.36	$	2.53	$	8.17		$	10.70		$	(2.55	)	$	(1.30	)
09/20/2010 - 06/30/2011		50.00		2.09		(0.72	)		1.37			(2.01	)		0.00
PIMCO Enhanced Short Maturity Strategy Fund
06/30/2012	$	101.04	$	1.06	$	0.07		$	1.13		$	(1.03	)	$	(0.06	)
06/30/2011		100.34		0.86		1.03			1.89			(0.90	)		(0.29	)
11/16/2009 - 06/30/2010		100.00		0.32		0.37			0.69			(0.35	)		0.00
PIMCO Global Advantage® Inflation-Linked Bond Strategy Fund
04/30/2012 - 06/30/2012	$	50.00	$	0.30	$	(0.02	)	$	0.28		$	0.00		$	0.00
PIMCO Intermediate Municipal Bond Strategy Fund
06/30/2012	$	51.44	$	1.22	$	2.29		$	3.51		$	(1.19	)	$	(0.06	)
06/30/2011		50.63		1.21		0.90			2.11			(1.21	)		(0.09	)
11/30/2009 - 06/30/2010		50.00		0.63		0.61			1.24			(0.61	)		0.00
PIMCO Short Term Municipal Bond Strategy Fund
06/30/2012	$	50.36	$	0.48	$	0.20		$	0.68		$	(0.47	)	$	(0.03	)
06/30/2011		50.13		0.61		0.22			0.83			(0.60	)		0.00
02/01/2010 - 06/30/2010		50.00		0.21		0.14			0.35			(0.22	)		0.00
PIMCO Total Return Exchange-Traded Fund
02/29/2012 - 06/30/2012	$	100.00	$	1.00	$	5.26		$	6.26		$	(0.71	)	$	0.00

* Annualized

(a) Per share amounts based on average number of shares outstanding during the year or period.

(b) Portfolio Turnover rate excludes securities received or delivered from in-kind processing of creation or redemptions.

(c) Ratio of expenses to average net assets includes interest expense of 1 basis point.

28 PIMCO ETF TRUST See Accompanying Notes

Tax Basis Return of Capital			Total Distributions			Net Asset Value End of Year or Period		Total Return			Net Assets End of Year or Period (000s)		Ratio of Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets Excluding Waivers			Ratio of Net Investment Income to Average Net Assets			Portfolio Turnover Rate (b)
$	0.00		$	(0.39	)	$	50.98		0.74	%	$	132,657		0.09	%		0.15	%		0.57	%		8	%
	0.00			(0.40	)		51.00		1.26			107,206		0.09			0.15			0.78			18
	0.00			(0.45	)		50.76		2.56			86,400		0.09			0.19			0.83			256
	0.00			(0.03	)		49.94		(0.06	)		40,051		0.09	*		1.88	*		0.76	*		18
$	0.00		$	(1.62	)	$	81.94		6.67	%	$	21,852		0.15	%		0.15	%		1.59	%		37	%
	0.00			(2.23	)		78.36		3.49			20,895		0.15			0.15			1.83			48
	0.00			(1.04	)		77.91		4.85			51,942		0.15	*		0.41	*		2.14	*		178
$	0.00		$	(2.44	)	$	87.76		15.47	%	$	37,446		0.15	%		0.15	%		2.17	%		24	%
	0.00			(3.34	)		78.21		3.00			8,342		0.15			0.15			2.87			76
	0.00			(2.03	)		79.23		7.54			14,790		0.15	*		0.86	*		3.31	*		209
$	0.00		$	(3.22	)	$	116.38		70.82	%	$	169,915		0.15	%		0.15	%		3.15	%		11	%
	0.00			(3.23	)		70.18		(11.69	)		40,705		0.15			0.15			4.41			50
	0.00			(2.13	)		83.02		11.02			21,586		0.15	*		0.83	*		4.56	*		39
$	0.00		$	(2.04	)	$	108.45		12.69	%	$	19,520		0.15	%		0.15	%		1.35	%		211	%
	0.00			(1.25	)		98.11		(0.98	)		9,811		0.15	*		0.99	*		1.95	*		219
$	0.00		$	(0.82	)	$	53.39		1.71	%	$	999,496		0.20	%		0.20	%		1.51	%		31	%
	0.00			(1.43	)		53.30		5.70			1,184,369		0.20			0.21			3.50			17
	0.00			(0.78	)		51.79		5.17			539,680		0.20	*		0.23	*		2.02	*		5
$	0.00		$	(1.58	)	$	69.22		26.53	%	$	375,182		0.20	%		0.20	%		2.53	%		11	%
	0.00			(2.17	)		56.04		7.58			258,901		0.20			0.20			4.76			38
	0.00			(1.26	)		54.17		10.95			22,753		0.20	*		0.70	*		3.02	*		35
$	0.00		$	(1.28	)	$	59.93		12.21	%	$	109,678		0.20	%		0.20	%		2.38	%		6	%
	0.00			(2.22	)		54.58		7.39			56,219		0.20			0.21			4.04			20
	0.00			(0.99	)		52.95		7.91			28,063		0.20	*		0.61	*		2.35	*		122
$	0.00		$	(5.60	)	$	99.62		5.16	%	$	323,771		0.55	%		0.55	%		6.14	%		33	%
	0.00			(0.16	)		100.29		0.45			25,073		0.55	*		7.30	*		4.65	*		0
$	0.00		$	(3.35	)	$	105.46		9.20	%	$	256,267		0.20	%		0.20	%		3.32	%		5	%
	0.00			(2.61	)		99.76		2.40			72,821		0.20	*		0.34	*		3.36	*		69
$	0.00		$	(2.23	)	$	101.86		4.16	%	$	28,521		0.45	%*		0.70	%*		3.89	%*		37	%
$	0.00		$	(1.05	)	$	103.13		4.18	%	$	18,564		0.45	%*		0.88	%*		2.05	%*		91	%
$	(0.59	)	$	(0.80	)	$	95.91		(3.29	)%	$	2,877		0.45	%*		0.95	%*		1.43	%*		130	%
$	0.00		$	(3.85	)	$	56.21		22.27	%	$	37,101		0.45	%		0.45	%		4.65	%		71	%
	0.00			(2.01	)		49.36		2.93			27,644		0.45	*		0.89	*		5.60	*		115
$	0.00		$	(1.09	)	$	101.08		1.13	%	$	1,715,342		0.35	%		0.35	%		1.05	%		229	%
	0.00			(1.19	)		101.04		1.89			1,233,727		0.35			0.36			0.85			280
	0.00			(0.35	)		100.34		0.69			656,227		0.35	*		0.41	*		0.57	*		276
$	0.00		$	0.00		$	50.28		0.56	%	$	28,156		0.61	%*(c)		2.14	%*(c)		3.63	%*		381	%
$	0.00		$	(1.25	)	$	53.70		6.88	%	$	153,576		0.35	%		0.35	%		2.30	%		11	%
	0.00			(1.30	)		51.44		4.20			90,529		0.35			0.36			2.37			44
	0.00			(0.61	)		50.63		2.50			43,543		0.35	*		0.91	*		2.14	*		72
$	0.00		$	(0.50	)	$	50.54		1.36	%	$	43,463		0.35	%		0.35	%		0.96	%		17	%
	0.00			(0.60	)		50.36		1.67			23,168		0.35			0.35			1.20			35
	0.00			(0.22	)		50.13		0.70			18,046		0.35	*		2.17	*		1.09	*		4
$	0.00		$	(0.71	)	$	105.55		6.27	%	$	1,765,865		0.55	%*		0.62	%*		2.86	%*		322	%

ANNUAL REPORT JUNE 30, 2012 29

Statements of Assets and Liabilities

(Amounts in thousands, except per share amounts)	PIMCO 1-3 Year U.S. Treasury Index Fund			PIMCO 3-7 Year U.S. Treasury Index Fund			PIMCO 7-15 Year U.S. Treasury Index Fund			PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund			PIMCO Broad U.S. Treasury Index Fund		PIMCO 1-5 Year U.S. TIPS Index Fund
Assets:
Investments, at value	$	132,300		$	20,608		$	37,076		$	169,735		$	18,917	$	993,027
Repurchase agreements, at value		2,207			1,240			0			0			548		561
Cash		0			0			26			70			0		0
Foreign currency, at value		0			0			0			0			0		0
Receivable for investments sold		6,337			0			0			11,712			0		3,301
Receivable for Fund shares sold		0			0			0			9,310			0		0
Interest receivable		220			159			398			0			78		6,011
Unrealized appreciation on foreign currency contracts		0			0			0			0			0		0
		141,064			22,007			37,500			190,827			19,543		1,002,900
Liabilities:
Payable for reverse repurchase agreements	$	0		$	0		$	0		$	0		$	0	$	0
Payable for investments purchased		3,247			125			0			10,546			0		0
Payable for Fund shares redeemed		5,098			0			0			9,310			0		0
Dividends payable		45			26			49			1,029			20		3,183
Accrued management fees		11			3			4			22			2		170
Reimbursement to PIMCO		6			1			1			5			1		51
Other liabilities		0			0			0			0			0		0
		8,407			155			54			20,912			23		3,404
Net Assets	$	132,657		$	21,852		$	37,446		$	169,915		$	19,520	$	999,496
Net Assets Consist of:
Paid in capital	$	132,022		$	20,784		$	35,954		$	149,536		$	18,474	$	991,583
Undistributed (overdistributed) net investment income		(92	)		(68	)		(8	)		26			7		131
Accumulated undistributed net realized gain (loss)		332			164			98			(2,520	)		509		567
Net unrealized appreciation (depreciation)		395			972			1,402			22,873			530		7,215
	$	132,657		$	21,852		$	37,446		$	169,915		$	19,520	$	999,496
Shares Issued and Outstanding		2,602			267			427			1,460			180		18,720
Net Asset Value Per Share	$	50.98		$	81.94		$	87.76		$	116.38		$	108.45	$	53.39
Cost of Investments	$	131,905		$	19,636		$	35,674		$	146,862		$	18,387	$	985,812
Cost of Repurchase Agreements	$	2,207		$	1,240		$	0		$	0		$	548	$	561
Cost of Foreign Currency Held	$	0		$	0		$	0		$	0		$	0	$	0

30 PIMCO ETF TRUST See Accompanying Notes

June 30, 2012

PIMCO 15+ Year U.S. TIPS Index Fund			PIMCO Broad U.S. TIPS Index Fund			PIMCO 0-5 Year High Yield Corporate Bond Index Fund			PIMCO Investment Grade Corporate Bond Index Fund			PIMCO Australia Bond Index Fund			PIMCO Canada Bond Index Fund		PIMCO Germany Bond Index Fund			PIMCO Build America Bond Strategy Fund
$	374,316		$	108,721		$	299,771		$	252,035		$	25,627		$	18,092	$	2,811		$	34,924
	0			0			21,707			1,551			0			0		0			1,901
	30			39			0			0			0			0		0			0
	0			0			0			0			2,602			390		21			0
	6,943			604			0			0			0			0		227			0
	0			0			0			0			0			0		0			0
	2,055			721			6,503			3,389			305			112		56			434
	0			0			0			0			1			1		0			0
	383,344			110,085			327,981			256,975			28,535			18,595		3,115			37,259
$	0		$	0		$	2,180		$	0		$	0		$	0	$	0		$	0
	6,998			0			300			0			0			0		236			0
	0			0			0			0			0			0		0			0
	1,084			384			1,576			656			3			23		0			142
	64			19			146			43			10			7		1			14
	16			4			8			8			1			1		1			2
	0			0			0			1			0			0		0			0
	8,162			407			4,210			708			14			31		238			158
$	375,182		$	109,678		$	323,771		$	256,267		$	28,521		$	18,564	$	2,877		$	37,101
$	336,815		$	100,870		$	320,905		$	247,450		$	27,747		$	18,159	$	3,008		$	33,528
	(77	)		20			347			140			21			14		(23	)		(44	)
	(2,661	)		(19	)		(54	)		(519	)		(6	)		70		0			1,034
	41,105			8,807			2,573			9,196			759			321		(108	)		2,583
$	375,182		$	109,678		$	323,771		$	256,267		$	28,521		$	18,564	$	2,877		$	37,101
	5,420			1,830			3,250			2,430			280			180		30			660
$	69.22		$	59.93		$	99.62		$	105.46		$	101.86		$	103.13	$	95.91		$	56.21
$	333,211		$	99,914		$	297,198		$	242,839		$	24,887		$	17,773	$	2,916		$	32,341
$	0		$	0		$	21,707		$	1,551		$	0		$	0	$	0		$	1,901
$	0		$	0		$	0		$	0		$	2,587		$	388	$	20		$	0

ANNUAL REPORT JUNE 30, 2012 31

Statements of Assets and Liabilities (Cont.)

June 30, 2012

(Amounts in thousands, except per share amounts)	PIMCO Enhanced Short Maturity Strategy Fund			PIMCO Global Advantage® Inflation- Linked Bond Strategy Fund			PIMCO Intermediate Municipal Bond Strategy Fund			PIMCO Short Term Municipal Bond Strategy Fund		PIMCO Total Return Exchange- Traded Fund
Assets:
Investments, at value	$	1,709,516		$	26,241		$	152,207		$	42,264	$	2,062,723
Repurchase agreements, at value		2,100			2,059			1,395			793		129,387
Cash		148			0			3			0		271
Foreign currency, at value		0			187			0			0		3,923
Receivable for investments sold		27,286			234			0			0		361,327
Receivable for Fund shares sold		21,232			0			0			0		63,359
Interest receivable		11,148			120			1,515			453		6,018
Unrealized appreciation on foreign currency contracts		0			93			0			0		4,646
		1,771,430			28,934			155,120			43,510		2,631,654
Liabilities:
Payable for reverse repurchase agreements	$	30,789		$	0		$	0		$	0	$	0
Payable for investments purchased		23,201			111			1,222			0		777,358
Payable for investments purchased on a delayed-delivery basis		0			537			0			0		8,912
Payable for short sales		0			0			0			0		59,511
Deposits from counterparty		0			0			0			0		7,130
Dividends payable		1,515			0			271			32		3,429
Accrued management fees		506			14			45			13		667
Reimbursement to PIMCO		76			0			6			2		12
Unrealized depreciation on foreign currency contracts		0			116			0			0		8,770
Other liabilities		1			0			0			0		0
		56,088			778			1,544			47		865,789
Net Assets	$	1,715,342		$	28,156		$	153,576		$	43,463	$	1,765,865
Net Assets Consist of:
Paid in capital	$	1,710,650		$	28,231		$	147,470		$	43,206	$	1,735,036
Undistributed (overdistributed) net investment income		157			(61	)		(38	)		3		905
Accumulated undistributed net realized gain (loss)		(1,447	)		269			215			5		7,717
Net unrealized appreciation (depreciation)		5,982			(283	)		5,929			249		22,207
	$	1,715,342		$	28,156		$	153,576		$	43,463	$	1,765,865
Shares Issued and Outstanding		16,970			560			2,860			860		16,730
Net Asset Value Per Share	$	101.08		$	50.28		$	53.70		$	50.54	$	105.55
Cost of Investments	$	1,703,534		$	26,506		$	146,278		$	42,015	$	2,036,436
Cost of Repurchase Agreements	$	2,100		$	2,059		$	1,395		$	793	$	129,387
Cost of Foreign Currency Held	$	0		$	180		$	0		$	0	$	3,840
Proceeds Received on Short Sales	$	0		$	0		$	0		$	0	$	59,391

32 PIMCO ETF TRUST See Accompanying Notes

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ANNUAL REPORT JUNE 30, 2012 33

Statements of Operations

Year Ended June 30, 2012
(Amounts in thousands)	PIMCO 1-3 Year U.S. Treasury Index Fund			PIMCO 3-7 Year U.S. Treasury Index Fund		PIMCO 7-15 Year U.S. Treasury Index Fund		PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund			PIMCO Broad U.S. Treasury Index Fund		PIMCO 1-5 Year U.S. TIPS Index Fund
Investment Income:
Interest, net of foreign taxes*	$	863		$	379	$	379	$	2,905		$	265	$	17,962
Miscellaneous income		0			0		0		0			0		0
Total Income		863			379		379		2,905			265		17,962
Expenses:
Management fees		194			33		24		132			26		2,096
Trustees’ fees		6			1		1		8			1		46
Organization expense		0			0		0		0			0		0
Miscellaneous expense		0			0		0		0			0		5
Total Expenses		200			34		25		140			27		2,147
Waiver and/or Reimbursement by PIMCO		(77	)		0		0		(4	)		0		0
Net Expenses		123			34		25		136			27		2,147
Net Investment Income		740			345		354		2,769			238		15,815
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments		421			213		172		1,316			837		682
Net realized gain on in-kind redemptions		73			0		0		26,507			95		10,146
Net realized gain (loss) on futures contracts		0			0		0		0			0		(4	)
Net realized (loss) on swaps		0			0		0		0			0		0
Net realized gain (loss) on foreign currency transactions		0			0		0		0			0		0
Net change in unrealized appreciation (depreciation) on investments		(388	)		832		1,459		26,916			550		(9,676	)
Net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies		0			0		0		0			0		0
Net Gain (Loss)		106			1,045		1,631		54,739			1,482		1,148
Net Increase (Decrease) in Net Assets Resulting from Operations	$	846		$	1,390	$	1,985	$	57,508		$	1,720	$	16,963
*Foreign tax withholdings	$	0		$	0	$	0	$	0		$	0	$	0

(1) Period from October 31, 2011 to June 30, 2012.

(2) Period from November 9, 2011 to June 30, 2012.

34 PIMCO ETF TRUST See Accompanying Notes

PIMCO 15+ Year U.S. TIPS Index Fund			PIMCO Broad U.S. TIPS Index Fund			PIMCO 0-5 Year High Yield Corporate Bond Index Fund			PIMCO Investment Grade Corporate Bond Index Fund			PIMCO Australia Bond Index Fund (1)			PIMCO Canada Bond Index Fund (2)			PIMCO Germany Bond Index Fund (2)			PIMCO Build America Bond Strategy Fund
$	9,056		$	2,223		$	10,282		$	5,521		$	656		$	240		$	109		$	1,507
	0			0			0			0			6			0			0			0
	9,056			2,223			10,282			5,521			662			240			109			1,507
	662			172			844			313			70			44			27			133
	17			5			14			12			1			1			0			2
	0			0			0			0			37			40			29			0
	0			0			0			0			0			0			0			0
	679			177			858			325			108			85			56			135
	(1	)		(1	)		(6	)		(4	)		(38	)		(41	)		(29	)		0
	678			176			852			321			70			44			27			135
	8,378			2,047			9,430			5,200			592			196			82			1,372
	(113	)		20			(40	)		172			(84	)		56			(207	)		2,211
	24,984			0			0			0			0			0			0			0
	0			0			0			(8	)		0			0			10			0
	0			0			(7	)		(14	)		0			0			0			0
	0			0			0			0			31			(15	)		27			0
	39,653			6,776			2,504			9,020			740			319			(105	)		1,816
	0			0			0			0			19			2			(3	)		0
	64,524			6,796			2,457			9,170			706			362			(278	)		4,027
$	72,902		$	8,843		$	11,887		$	14,370		$	1,298		$	558		$	(196	)	$	5,399
$	0		$	0		$	0		$	1		$	0		$	0		$	0		$	0

ANNUAL REPORT JUNE 30, 2012 35

Statements of Operations (Cont.)

Year Ended June 30, 2012
(Amounts in thousands)	PIMCO Enhanced Short Maturity Strategy Fund			PIMCO Global Advantage® Inflation- Linked Bond Strategy Fund (3)			PIMCO Intermediate Municipal Bond Strategy Fund			PIMCO Short Term Municipal Bond Strategy Fund		PIMCO Total Return Exchange- Traded Fund (4)
Investment Income:
Interest, net of foreign taxes*	$	21,803		$	183		$	3,090		$	475	$	8,460
Total Income		21,803			183			3,090			475		8,460
Expenses:
Management fees		5,430			26			407			126		1,357
Trustees’ fees		76			1			7			2		55
Organization expense		0			65			0			0		122
Interest expense		0			1			0			0		0
Total Expenses		5,506			93			414			128		1,534
Waiver and/or Reimbursement by PIMCO		0			(66	)		(1	)		0		(165	)
Net Expenses		5,506			27			413			128		1,369
Net Investment Income		16,297			156			2,677			347		7,091
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments		(902	)		237			222			5		7,176
Net realized gain (loss) on foreign currency transactions		0			(186	)		0			0		1,595
Net change in unrealized appreciation (depreciation) on investments		3,882			(265	)		4,119			113		26,167
Net change in unrealized (depreciation) on translation of assets and liabilities denominated in foreign currencies		0			(18	)		0			0		(3,960	)
Net Gain (Loss)		2,980			(232	)		4,341			118		30,978
Net Increase (Decrease) in Net Assets Resulting from Operations	$	19,277		$	(76	)	$	7,018		$	465	$	38,069
*Foreign tax withholdings	$	1		$	0		$	0		$	0	$	0

(3) Period from April 30, 2012 to June 30, 2012.

(4) Period from February 29, 2012 to June 30, 2012.

36 PIMCO ETF TRUST See Accompanying Notes

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ANNUAL REPORT JUNE 30, 2012 37

Statements of Changes in Net Assets

	PIMCO 1-3 Year U.S. Treasury Index Fund						PIMCO 3-7 Year U.S. Treasury Index Fund						PIMCO 7-15 Year U.S. Treasury Index Fund
(Amounts in thousands)	Year Ended June 30, 2012			Year Ended June 30, 2011			Year Ended June 30, 2012			Year Ended June 30, 2011			Year Ended June 30, 2012			Year Ended June 30, 2011
Increase (Decrease) in Net Assets from:
Operations:
Net investment income	$	740		$	817		$	345		$	728		$	354		$	444
Net realized gain (loss)		421			247			213			231			172			402
Net realized gain (loss) on in-kind redemptions		73			0			0			1,073			0			295
Net change in unrealized appreciation (depreciation)		(388	)		213			832			(1,082	)		1,459			(866	)
Net increase (decrease) resulting from operations		846			1,277			1,390			950			1,985			275
Net Equalization Credits and Charges		11			6			0			10			15			1
Distributions to Shareholders:
From net investment income		(735	)		(821	)		(342	)		(737	)		(348	)		(444	)
From net realized capital gains		(263	)		0			(91	)		(550	)		(125	)		(280	)
Total Distributions		(998	)		(821	)		(433	)		(1,287	)		(473	)		(724	)
Fund Share Transactions:
Receipts for shares sold		35,808			20,350			0			12,675			27,592			6,352
Cost of shares redeemed		(10,205	)		0			0			(43,385	)		0			(12,351	)
Net Income Equalization		(11	)		(6	)		0			(10	)		(15	)		(1	)
Net increase (decrease) resulting from Fund share transactions		25,592			20,344			0			(30,720	)		27,577			(6,000	)
Total Increase (Decrease) in Net Assets		25,451			20,806			957			(31,047	)		29,104			(6,448	)
Net Assets:
Beginning of year or period		107,206			86,400			20,895			51,942			8,342			14,790
End of year or period*	$	132,657		$	107,206		$	21,852		$	20,895		$	37,446		$	8,342
*Including undistributed (overdistributed) net investment income of:	$	(92	)	$	(121	)	$	(68	)	$	(73	)	$	(8	)	$	(14	)
Shares of Beneficial Interest:
Shares Sold		700			400			0			160			320			80
Shares Redeemed		(200	)		0			0			(560	)		0			(160	)
Net increase (decrease) in shares outstanding		500			400			0			(400	)		320			(80	)

38 PIMCO ETF TRUST See Accompanying Notes

PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund						PIMCO Broad U.S. Treasury Index Fund						PIMCO 1-5 Year U.S. TIPS Index Fund						PIMCO 15+ Year U.S. TIPS Index Fund						PIMCO Broad U.S. TIPS Index Fund
Year Ended June 30, 2012			Year Ended June 30, 2011			Year Ended June 30, 2012			Period from October 29, 2010 to June 30, 2011			Year Ended June 30, 2012			Year Ended June 30, 2011			Year Ended June 30, 2012			Year Ended June 30, 2011			Year Ended June 30, 2012			Year Ended June 30, 2011
$	2,769		$	1,829		$	238		$	126		$	15,815		$	27,307		$	8,378		$	9,207		$	2,047		$	1,591
	1,316			(3,474	)		837			(205	)		678			1,678			(113	)		(3,465	)		20			65
	26,507			(591	)		95			0			10,146			1,982			24,984			707			0			0
	26,916			(6,133	)		550			(20	)		(9,676	)		13,980			39,653			607			6,776			1,273
	57,508			(8,369	)		1,720			(99	)		16,963			44,947			72,902			7,056			8,843			2,929
	(23	)		(26	)		13			0			(262	)		943			295			323			10			79
	(2,723	)		(1,798	)		(232	)		(126	)		(14,914	)		(28,030	)		(8,084	)		(9,472	)		(1,951	)		(1,658	)
	0			0			(122	)		0			(1,221	)		(171	)		0			0			0			(229	)
	(2,723	)		(1,798	)		(354	)		(126	)		(16,135	)		(28,201	)		(8,084	)		(9,472	)		(1,951	)		(1,887	)
	194,319			63,329			25,479			10,036			296,546			670,857			216,823			348,363			46,567			27,114
	(119,894	)		(34,043	)		(17,136	)		0			(482,247	)		(42,914	)		(165,360	)		(109,799	)		0			0
	23			26			(13	)		0			262			(943	)		(295	)		(323	)		(10	)		(79	)
	74,448			29,312			8,330			10,036			(185,439	)		627,000			51,168			238,241			46,557			27,035
	129,210			19,119			9,709			9,811			(184,873	)		644,689			116,281			236,148			53,459			28,156
	40,705			21,586			9,811			0			1,184,369			539,680			258,901			22,753			56,219			28,063
$	169,915		$	40,705		$	19,520		$	9,811		$	999,496		$	1,184,369		$	375,182		$	258,901		$	109,678		$	56,219
$	26		$	(19	)	$	7		$	1		$	131		$	(803	)	$	(77	)	$	(393	)	$	20		$	(77	)
	2,000			800			240			100			5,500			12,600			3,300			6,200			800			500
	(1,120	)		(480	)		(160	)		0			(9,000	)		(800	)		(2,500	)		(2,000	)		0			0
	880			320			80			100			(3,500	)		11,800			800			4,200			800			500

ANNUAL REPORT JUNE 30, 2012 39

Statements of Changes in Net Assets (Cont.)

	PIMCO 0-5 Year High Yield Corporate Bond Index Fund						PIMCO Investment Grade Corporate Bond Index Fund						PIMCO Australia Bond Index Fund
(Amounts in thousands)	Year Ended June 30, 2012			Period from June 16, 2011 to June 30, 2011			Year Ended June 30, 2012			Period from September 20, 2010 to June 30, 2011			Period from October 31, 2011 to June 30, 2012
Increase in Net Assets from:
Operations:
Net investment income	$	9,430		$	45		$	5,200		$	1,759		$	592
Net realized gain (loss)		(47	)		0			150			(633	)		(53	)
Net change in unrealized appreciation (depreciation)		2,504			69			9,020			176			759
Net increase (decrease) resulting from operations		11,887			114			14,370			1,302			1,298
Net Equalization Credits and Charges		915			0			193			12			17
Distributions to Shareholders:
From net investment income		(9,093	)		(41	)		(5,061	)		(1,764	)		(524	)
From net realized capital gains		0			0			0			(31	)		0
Tax basis return of capital		0			0			0			0			0
Total Distributions		(9,093	)		(41	)		(5,061	)		(1,795	)		(524	)
Fund Share Transactions:
Receipts for shares sold		305,800			25,000			184,315			103,090			32,732
Cost of shares redeemed		(9,896	)		0			(10,178	)		(29,776	)		(4,985	)
Net Income Equalization		(915	)		0			(193	)		(12	)		(17	)
Net increase resulting from Fund share transactions		294,989			25,000			173,944			73,302			27,730
Total Increase in Net Assets		298,698			25,073			183,446			72,821			28,521
Net Assets:
Beginning of year or period		25,073			0			72,821			0			0
End of year or period*	$	323,771		$	25,073		$	256,267		$	72,821		$	28,521
*Including undistributed (overdistributed) net investment income of:	$	347		$	4		$	140		$	(5	)	$	21
Shares of Beneficial Interest:
Shares Sold		3,100			250			1,800			1,030			330
Shares Redeemed		(100	)		0			(100	)		(300	)		(50	)
Net increase in shares outstanding		3,000			250			1,700			730			280

40 PIMCO ETF TRUST See Accompanying Notes

PIMCO Canada Bond Index Fund			PIMCO Germany Bond Index Fund			PIMCO Build America Bond Strategy Fund						PIMCO Enhanced Short Maturity Strategy Fund						PIMCO Global Advantage® Inflation- Linked Bond Strategy Fund
Period from November 9, 2011 to June 30, 2012			Period from November 9, 2011 to June 30, 2012			Year Ended June 30, 2012			Period from September 20, 2010 to June 30, 2011			Year Ended June 30, 2012			Year Ended June 30, 2011			Period from April 30, 2012 to June 30, 2012
$	196		$	82		$	1,372		$	1,203		$	16,297		$	6,374		$	156
	41			(170	)		2,211			(577	)		(902	)		4,604			51
	321			(108	)		1,816			767			3,882			1,179			(283	)
	558			(196	)		5,399			1,393			19,277			12,157			(76	)
	7			4			(19	)		64			240			288			7
	(153	)		(22	)		(1,357	)		(1,263	)		(16,300	)		(6,919	)		0
	0			0			(600	)		0			(995	)		(2,432	)		0
	0			(62	)		0			0			0			0			0
	(153	)		(84	)		(1,957	)		(1,263	)		(17,295	)		(9,351	)		0
	23,313			13,005			22,085			42,084			1,155,847			1,653,921			28,232
	(5,154	)		(9,848	)		(16,070	)		(14,570	)		(676,214	)		(1,079,227	)		0
	(7	)		(4	)		19			(64	)		(240	)		(288	)		(7	)
	18,152			3,153			6,034			27,450			479,393			574,406			28,225
	18,564			2,877			9,457			27,644			481,615			577,500			28,156
	0			0			27,644			0			1,233,727			656,227			0
$	18,564		$	2,877		$	37,101		$	27,644		$	1,715,342		$	1,233,727		$	28,156
$	14		$	(23	)	$	(44	)	$	(59	)	$	157		$	(378	)	$	(61	)
	230			130			400			860			11,480			16,380			560
	(50	)		(100	)		(300	)		(300	)		(6,720	)		(10,710	)		0
	180			30			100			560			4,760			5,670			560

ANNUAL REPORT JUNE 30, 2012 41

Statements of Changes in Net Assets (Cont.)

	PIMCO Intermediate Municipal Bond Strategy Fund						PIMCO Short Term Municipal Bond Strategy Fund						PIMCO Total Return Exchange- Traded Fund
(Amounts in thousands)	Year Ended June 30, 2012			Year Ended June 30, 2011			Year Ended June 30, 2012			Year Ended June 30, 2011			Period from February 29, 2012 to June 30, 2012
Increase in Net Assets from:
Operations:
Net investment income	$	2,677		$	1,519		$	347		$	273		$	7,091
Net realized gain		222			178			5			30			8,771
Net change in unrealized appreciation		4,119			1,412			113			74			22,207
Net increase resulting from operations		7,018			3,109			465			377			38,069
Net Equalization Credits and Charges		44			37			5			0			3,339
Distributions to Shareholders:
From net investment income		(2,647	)		(1,550	)		(341	)		(273	)		(7,240	)
From net realized capital gains		(118	)		(82	)		(24	)		0			0
Total Distributions		(2,765	)		(1,632	)		(365	)		(273	)		(7,240	)
Fund Share Transactions:
Receipts for shares sold		69,251			45,509			20,195			10,053			1,735,036
Cost of shares redeemed		(10,457	)		0			0			(5,035	)		0
Net Income Equalization		(44	)		(37	)		(5	)		0			(3,339	)
Net increase resulting from Fund share transactions		58,750			45,472			20,190			5,018			1,731,697
Total Increase in Net Assets		63,047			46,986			20,295			5,122			1,765,865
Net Assets:
Beginning of year or period		90,529			43,543			23,168			18,046			0
End of year or period*	$	153,576		$	90,529		$	43,463		$	23,168		$	1,765,865
*Including undistributed (overdistributed) net investment income of:	$	(38	)	$	(67	)	$	3		$	(3	)	$	905
Shares of Beneficial Interest:
Shares Sold		1,300			900			400			200			16,730
Shares Redeemed		(200	)		0			0			(100	)		0
Net increase in shares outstanding		1,100			900			400			100			16,730

42 PIMCO ETF TRUST See Accompanying Notes

Schedule of Investments PIMCO 1-3 Year U.S. Treasury Index Fund

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
U.S. TREASURY OBLIGATIONS 99.7%
U.S. Treasury Notes
0.250% due 09/15/2014	$		4,285	$		4,277
0.250% due 12/15/2014			3,955			3,946
0.250% due 01/15/2015			6,038			6,022
0.250% due 02/15/2015			4,779			4,763
0.250% due 05/15/2015			4,810			4,791
0.375% due 07/31/2013			5,436			5,443
0.375% due 11/15/2014			5,581			5,585
0.375% due 03/15/2015			5,300			5,298
0.375% due 04/15/2015			7,220			7,217
0.375% due 06/15/2015			3,250			3,248
0.500% due 05/31/2013			8,207			8,227
0.500% due 10/15/2013			3,850			3,861
0.500% due 11/15/2013			5,272			5,288

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
0.500% due 08/15/2014	$		5,242	$		5,261
0.500% due 10/15/2014			3,972			3,988
0.625% due 07/15/2014			5,838			5,873
0.750% due 08/15/2013			5,443			5,473
0.750% due 09/15/2013			7,441			7,485
0.750% due 12/15/2013			4,464			4,494
0.750% due 06/15/2014			6,384			6,438
1.000% due 07/15/2013			4,411			4,446
1.000% due 01/15/2014			6,443			6,512
1.000% due 05/15/2014			1,235			1,251
1.250% due 02/15/2014			5,405			5,487
1.250% due 03/15/2014			3,924			3,987
1.250% due 04/15/2014			3,580			3,639
Total U.S. Treasury Obligations (Cost $131,905)						132,300

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
SHORT-TERM INSTRUMENTS 1.7%
REPURCHASE AGREEMENTS 1.7%
State Street Bank and Trust Co.
0.010% due 07/02/2012	$		2,207	$		2,207
(Dated 06/29/2012. Collateralized by U.S. Treasury Notes 2.000% due 11/15/2021 valued at $2,254. Repurchase proceeds are $2,207.)
Total Short-Term Instruments (Cost $2,207)						2,207
Total Investments 101.4% (Cost $134,112)				$		134,507
Other Assets and Liabilities (Net) (1.4%)						(1,850	)
Net Assets 100.0%				$		132,657

Notes to Schedule of Investments (amounts in thousands):

(a) Fair Value Measurements ⁽¹⁾

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 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 06/30/2012
Investments, at value
U.S. Treasury Obligations	$	0	$	132,300	$	0	$	132,300
Short-Term Instruments
Repurchase Agreements		0		2,207		0		2,207
	$	0	$	134,507	$	0	$	134,507

⁽¹⁾  See note 3 in the Notes to Financial Statements for more information regarding pricing inputs and valuation techniques.

⁽²⁾  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2012.

⁽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 ANNUAL REPORT JUNE 30, 2012 43

Schedule of Investments PIMCO 3-7 Year U.S. Treasury Index Fund

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
U.S. TREASURY OBLIGATIONS 94.3%
U.S. Treasury Bonds
7.250% due 05/15/2016	$		1,111	$		1,394
9.250% due 02/15/2016			710			931
U.S. Treasury Notes
1.000% due 08/31/2016			180			183
1.125% due 05/31/2019			125			125
1.250% due 01/31/2019			1,018			1,033
1.250% due 04/30/2019			400			405
1.375% due 11/30/2018			294			301
1.375% due 12/31/2018			500			512
1.500% due 08/31/2018			271			280
1.500% due 03/31/2019			1,400			1,440
1.750% due 10/31/2018			759			795
1.875% due 08/31/2017			635			670
1.875% due 10/31/2017			1,115			1,177

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
2.250% due 07/31/2018	$		518	$		558
2.375% due 03/31/2016			1,536			1,641
2.375% due 05/31/2018			457			496
2.375% due 06/30/2018			293			318
2.500% due 06/30/2017			741			805
2.625% due 04/30/2018			605			664
2.750% due 12/31/2017			695			766
2.750% due 02/28/2018			300			331
3.000% due 02/28/2017			1,048			1,159
3.125% due 10/31/2016			1,016			1,124
3.125% due 04/30/2017			1,049			1,169
3.250% due 07/31/2016			1,046			1,158
3.250% due 12/31/2016			1,053			1,173
Total U.S. Treasury Obligations (Cost $19,636)						20,608

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
SHORT-TERM INSTRUMENTS 5.7%
REPURCHASE AGREEMENTS 5.7%
State Street Bank and Trust Co.
0.010% due 07/02/2012	$		1,240	$		1,240
(Dated 06/29/2012. Collateralized by U.S. Treasury Notes 2.000% due 11/15/2021 valued at $1,267. Repurchase proceeds are $1,240.)
Total Short-Term Instruments (Cost $1,240)						1,240
Total Investments 100.0% (Cost $20,876)				$		21,848
Other Assets and Liabilities (Net) 0.0%						4
Net Assets 100.0%				$		21,852

Notes to Schedule of Investments (amounts in thousands):

(a) Fair Value Measurements ⁽¹⁾

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 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 06/30/2012
Investments, at value
U.S. Treasury Obligations	$	0	$	20,608	$	0	$	20,608
Short-Term Instruments
Repurchase Agreements		0		1,240		0		1,240
	$	0	$	21,848	$	0	$	21,848

⁽¹⁾  See note 3 in the Notes to Financial Statements for more information regarding pricing inputs and valuation techniques.

⁽²⁾  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2012.

⁽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.

44 PIMCO ETF TRUST See Accompanying Notes

Schedule of Investments PIMCO 7-15 Year U.S. Treasury Index Fund

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
U.S. TREASURY OBLIGATIONS 99.0%
U.S. Treasury Bonds
6.000% due 02/15/2026	$		1,510	$		2,216
6.250% due 08/15/2023			1,663			2,418
6.500% due 11/15/2026			1,111			1,714
7.625% due 11/15/2022			2,293			3,606
7.625% due 02/15/2025			928			1,521
7.875% due 02/15/2021			902			1,381
8.125% due 08/15/2021			2,765			4,346
8.750% due 05/15/2020			2,290			3,585
U.S. Treasury Notes
1.750% due 05/15/2022			640			646
2.000% due 02/15/2022			2,180			2,255
2.625% due 08/15/2020			3,982			4,386
3.125% due 05/15/2019			689			784
3.375% due 11/15/2019			3,316			3,839
3.625% due 02/15/2020			3,720			4,379
Total U.S. Treasury Obligations (Cost $35,674)						37,076
Total Investments 99.0% (Cost $35,674)				$		37,076
Other Assets and Liabilities (Net) 1.0%						370
Net Assets 100.0%				$		37,446

Notes to Schedule of Investments (amounts in thousands):

(a) Fair Value Measurements ⁽¹⁾

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 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 06/30/2012
Investments, at value
U.S Treasury Obligations	$	0	$	37,076	$	0	$	37,076

⁽¹⁾  See note 3 in the Notes to Financial Statements for more information regarding pricing inputs and valuation techniques.

⁽²⁾  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2012.

⁽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 ANNUAL REPORT JUNE 30, 2012 45

Schedule of Investments PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
U.S. TREASURY OBLIGATIONS 99.9%
U.S. Treasury Strips
0.000% due 02/15/2038	$		23,375	$		11,410
0.000% due 05/15/2038			23,375			11,326
0.000% due 02/15/2039			23,375			10,995
0.000% due 05/15/2039			23,375			10,913
0.000% due 08/15/2039			23,375			10,832
0.000% due 11/15/2039			23,375			10,706
0.000% due 02/15/2040			23,375			10,621
0.000% due 05/15/2040			27,235			12,237
0.000% due 08/15/2040			23,375			10,391
0.000% due 11/15/2040			23,375			10,304
0.000% due 02/15/2041			23,375			10,228
0.000% due 05/15/2041			23,375			10,123
0.000% due 08/15/2041			23,375			10,021
0.000% due 11/15/2041			23,375			9,948
0.000% due 02/15/2042			23,375			9,876
0.000% due 05/15/2042			23,375			9,804
Total U.S. Treasury Obligations (Cost $146,862)						169,735
Total Investments 99.9% (Cost $146,862)					$	169,735
Other Assets and Liabilities (Net) 0.1%						180
Net Assets 100.0%					$	169,915

Notes to Schedule of Investments (amounts in thousands):

(a) Fair Value Measurements ⁽¹⁾

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 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 06/30/2012
Investments, at value
U.S. Treasury Obligations	$	0	$	169,735	$	0	$	169,735

⁽¹⁾  See note 3 in the Notes to Financial Statements for more information regarding pricing inputs and valuation techniques.

⁽²⁾ There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2012.

⁽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.

46 PIMCO ETF TRUST See Accompanying Notes

Schedule of Investments PIMCO Broad U.S. Treasury Index Fund

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
U.S. TREASURY OBLIGATIONS 96.9%
U.S. Treasury Bonds
3.000% due 05/15/2042	$		75	$		79
3.125% due 11/15/2041			1,049			1,130
3.125% due 02/15/2042			1,049			1,129
3.750% due 08/15/2041			1,049			1,267
U.S. Treasury Notes
0.250% due 02/28/2014			1,049			1,048
0.250% due 12/15/2014			1,049			1,046
0.250% due 01/15/2015			1,049			1,046
0.250% due 02/15/2015			1,049			1,046
0.375% due 04/15/2015			1,200			1,199
0.875% due 01/31/2017			1,049			1,059
0.875% due 02/28/2017			1,049			1,059
0.875% due 04/30/2017			1,200			1,210
1.250% due 01/31/2019			1,049			1,064
1.375% due 02/28/2019			1,000			1,022
1.500% due 03/31/2019			1,200			1,235
2.000% due 11/15/2021			1,049			1,089
2.000% due 02/15/2022			1,049			1,085
2.125% due 08/15/2021			1,049			1,104
Total U.S. Treasury Obligations (Cost $18,387)						18,917

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
SHORT-TERM INSTRUMENTS 2.8%
REPURCHASE AGREEMENTS 2.8%
State Street Bank and Trust Co.
0.010% due 07/02/2012	$		548	$		548
(Dated 06/29/2012. Collateralized by U.S. Treasury Notes 2.000% due 11/15/2021 valued at $561. Repurchase proceeds are $548.)
Total Short-Term Instruments (Cost $548)						548
Total Investments 99.7% (Cost $18,935)				$		19,465
Other Assets and Liabilities (Net) 0.3%						55
Net Assets 100.0%				$		19,520

Notes to Schedule of Investments (amounts in thousands):

(a) Fair Value Measurements ⁽¹⁾

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 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 06/30/2012
Investments, at value
U.S. Treasury Obligations	$	0	$	18,917	$	0	$	18,917
Short-Term Instruments
Repurchase Agreements		0		548		0		548
	$	0	$	19,465	$	0	$	19,465

⁽¹⁾  See note 3 in the Notes to Financial Statements for more information regarding pricing inputs and valuation techniques.

⁽²⁾  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2012.

⁽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 ANNUAL REPORT JUNE 30, 2012 47

Schedule of Investments PIMCO 1-5 Year U.S. TIPS Index Fund

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
U.S. TREASURY OBLIGATIONS 99.3%
U.S. Treasury Inflation Protected Securities (a)
0.125% due 04/15/2016	$		136,128	$		141,849
0.125% due 04/15/2017			50,741			53,626
0.500% due 04/15/2015			76,734			79,749
1.250% due 04/15/2014			56,499			58,375
1.625% due 01/15/2015			77,931			82,887
1.875% due 07/15/2013			83,131			85,203
1.875% due 07/15/2015			68,452			74,522
2.000% due 01/15/2014			89,021			92,498
2.000% due 07/15/2014			78,948			83,722
2.000% due 01/15/2016			67,087			74,304
2.375% due 01/15/2017			66,993			77,398
2.500% due 07/15/2016			77,568			88,894
Total U.S. Treasury Obligations (Cost $985,812)						993,027

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
SHORT-TERM INSTRUMENTS 0.1%
REPURCHASE AGREEMENTS 0.1%
State Street Bank and Trust Co.
0.010% due 07/02/2012	$		561	$		561
(Dated 06/29/2012. Collateralized by U.S. Treasury Notes 2.000% due 11/15/2021 valued at $576. Repurchase proceeds are $561.)
Total Short-Term Instruments (Cost $561)						561
Total Investments 99.4% (Cost $986,373)				$		993,588
Other Assets and Liabilities (Net) 0.6%						5,908
Net Assets 100.0%				$		999,496

Notes to Schedule of Investments (amounts in thousands):

(a) Principal amount of security is adjusted for inflation.

(b) Fair Value Measurements ⁽¹⁾

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 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 06/30/2012
Investments, at value
U.S. Treasury Obligations	$	0	$	993,027	$	0	$	993,027
Short-Term Instruments
Repurchase Agreements		0		561		0		561
	$	0	$	993,588	$	0	$	993,588

⁽¹⁾  See note 3 in the Notes to Financial Statements for more information regarding pricing inputs and valuation techniques.

⁽²⁾  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2012.

⁽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.

(c) Fair Value of Financial Derivative Instruments ⁽¹⁾

The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure:

The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2012:

	Derivatives not accounted for as hedging instruments
	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Exchange Contracts		Interest Rate Contracts			Total
Realized (Loss) on Derivatives Recognized as a Result from Operations:
Net realized (loss) on futures contracts	$	0	$	0	$	0	$	0	$	(4	)	$	(4	)

⁽¹⁾  See note 6 in the Notes to Financial Statements for additional information.

48 PIMCO ETF TRUST See Accompanying Notes

Schedule of Investments PIMCO 15+ Year U.S. TIPS Index Fund

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
U.S. TREASURY OBLIGATIONS 99.8%
U.S. Treasury Inflation Protected Securities (a)
0.750% due 02/15/2042	$		24,374	$		25,718
1.750% due 01/15/2028			25,773			32,384
2.125% due 02/15/2040			29,705			42,330
2.125% due 02/15/2041			46,347			66,417
2.500% due 01/15/2029			27,892			38,809
3.375% due 04/15/2032			12,019			19,430
3.625% due 04/15/2028			43,910			67,889
3.875% due 04/15/2029			50,190			81,339
Total U.S. Treasury Obligations (Cost $333,211)						374,316
Total Investments 99.8% (Cost $333,211)				$		374,316
Other Assets and Liabilities (Net) 0.2%						866
Net Assets 100.0%				$		375,182

Notes to Schedule of Investments (amounts in thousands):

(a) Principal amount of security is adjusted for inflation.

(b) Fair Value Measurements ⁽¹⁾

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 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 06/30/2012
Investments, at value
U.S. Treasury Obligations	$	0	$	374,316	$	0	$	374,316

⁽¹⁾  See note 3 in the Notes to Financial Statements for more information regarding pricing inputs and valuation techniques.

⁽²⁾  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2012.

⁽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 ANNUAL REPORT JUNE 30, 2012 49

Schedule of Investments PIMCO Broad U.S. TIPS Index Fund

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
U.S. TREASURY OBLIGATIONS 99.1%
U.S. Treasury Inflation Protected Securities (a)
0.125% due 01/15/2022	$		716	$		759
0.500% due 04/15/2015			2,270			2,359
0.625% due 04/15/2013			1,046			1,049
0.625% due 07/15/2021			3,471			3,873
0.750% due 02/15/2042			1,215			1,282
1.125% due 01/15/2021			6,042			6,968
1.250% due 04/15/2014			2,446			2,527
1.375% due 01/15/2020			7,126			8,301
1.625% due 01/15/2015			11,863			12,617
1.625% due 01/15/2018			8,162			9,329
1.750% due 01/15/2028			5,829			7,324
1.875% due 07/15/2019			2,482			2,974
2.000% due 01/15/2014			5,831			6,059
2.000% due 01/15/2026			5,174			6,619
2.125% due 02/15/2040			1,731			2,467
2.125% due 02/15/2041			3,307			4,740
2.375% due 01/15/2025			5,853			7,728
2.500% due 07/15/2016			9,135			10,469
2.500% due 01/15/2029			6,783			9,437
3.375% due 04/15/2032			1,138			1,840
Total U.S. Treasury Obligations (Cost $99,914)						108,721
Total Investments 99.1% (Cost $99,914)				$		108,721
Other Assets and Liabilities (Net) 0.9%						957
Net Assets 100.0%				$		109,678

Notes to Schedule of Investments (amounts in thousands):

(a) Principal amount of security is adjusted for inflation.

(b) Fair Value Measurements ⁽¹⁾

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 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 06/30/2012
Investments, at value
U.S. Treasury Obligations	$	0	$	108,721	$	0	$	108,721

⁽¹⁾ See note 3 in the Notes to Financial Statements for more information regarding pricing inputs and valuation techniques.

⁽²⁾  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2012.

⁽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.

50 PIMCO ETF TRUST See Accompanying Notes

Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Fund

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
CORPORATE BONDS & NOTES 92.6%
BANKING & FINANCE 17.7%
Ally Financial, Inc.
4.500% due 02/11/2014	$		7,775	$		7,901
4.625% due 06/26/2015			750			755
BAC Capital Trust
4.000% due 07/16/2012 (c)			2,100			1,504
CIT Group, Inc.
4.750% due 02/15/2015			2,850			2,928
5.000% due 05/15/2017			1,500			1,546
5.250% due 04/01/2014			2,950			3,068
E*TRADE Financial Corp.
6.750% due 06/01/2016			1,500			1,534
Eksportfinans ASA
0.661% due 04/05/2013			650			632
1.875% due 04/02/2013			1,350			1,323
2.000% due 09/15/2015			2,475			2,217
2.375% due 05/25/2016			1,100			979
3.000% due 11/17/2014			800			758
5.500% due 05/25/2016			650			640
5.500% due 06/26/2017			725			705
HBOS Capital Funding LP
6.071% due 06/30/2014 (c)			3,500			2,310
Icahn Enterprises LP
7.750% due 01/15/2016			1,100			1,162
Ineos Finance PLC
9.000% due 05/15/2015			750			795
International Lease Finance Corp.
6.500% due 09/01/2014			1,900			2,014
6.750% due 09/01/2016			2,250			2,430
8.625% due 09/15/2015			2,975			3,299
iStar Financial, Inc.
5.950% due 10/15/2013			1,325			1,294
9.000% due 06/01/2017			250			246
Leucadia National Corp.
7.000% due 08/15/2013			500			523
Nuveen Investments, Inc.
10.500% due 11/15/2015			1,500			1,530
RBS Capital Trust
5.512% due 09/30/2014 (c)			2,925			1,755
Regions Financial Corp.
7.750% due 11/10/2014			2,375			2,571
Resona Preferred Global Securities Cayman Ltd.
7.191% due 07/30/2015 (c)			2,825			2,910
Rouse Co. LLC
6.750% due 11/09/2015			1,750			1,838
Royal Bank of Scotland Group PLC
5.000% due 10/01/2014			750			753
5.050% due 01/08/2015			1,000			999
Springleaf Finance Corp.
5.375% due 10/01/2012			1,700			1,689
5.400% due 12/01/2015			1,900			1,591
Susser Holdings LLC
8.500% due 05/15/2016			1,050			1,147
						57,346
INDUSTRIALS 64.2%
Air Canada
9.250% due 08/01/2015			1,750			1,719
Alere, Inc.
9.000% due 05/15/2016			2,000			2,045
Alliance One International, Inc.
10.000% due 07/15/2016			650			655

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Alliant Techsystems, Inc.
6.750% due 04/01/2016	$		750	$		773
American Airlines, Inc.
10.500% due 10/15/2012 ^			125			134
American Axle & Manufacturing, Inc.
7.875% due 03/01/2017			1,000			1,035
Apria Healthcare Group, Inc.
11.250% due 11/01/2014			1,900			1,976
ARAMARK Corp.
8.500% due 02/01/2015			800			820
ARAMARK Holdings Corp.
8.625% due 05/01/2016 (b)			1,850			1,899
Arch Coal, Inc.
8.750% due 08/01/2016			2,225			2,136
ATP Oil & Gas Corp.
11.875% due 05/01/2015			1,550			729
Avaya, Inc.
9.750% due 11/01/2015			850			708
10.125% due 11/01/2015			1,250			1,044
Avis Budget Car Rental LLC
7.750% due 05/15/2016			250			258
Bausch & Lomb, Inc.
9.875% due 11/01/2015			1,575			1,654
Beazer Homes USA, Inc.
8.125% due 06/15/2016			300			289
Berry Plastics Corp.
8.250% due 11/15/2015			350			374
10.250% due 03/01/2016			1,450			1,501
Caesars Entertainment Operating Co., Inc.
10.750% due 02/01/2016			1,575			1,252
Case New Holland, Inc.
7.750% due 09/01/2013			2,700			2,882
Catalent Pharma Solutions, Inc.
9.500% due 04/15/2015			1,263			1,299
CCH LLC
13.500% due 11/30/2016			1,260			1,408
Cengage Learning Acquisitions, Inc.
10.500% due 01/15/2015			1,400			1,071
Centex Corp.
6.500% due 05/01/2016			275			298
Ceridian Corp.
11.250% due 11/15/2015			1,100			1,061
Chesapeake Energy Corp.
9.500% due 02/15/2015			1,075			1,164
CityCenter Holdings LLC
7.625% due 01/15/2016			2,025			2,146
Clear Channel Communications, Inc.
5.500% due 09/15/2014			2,025			1,741
Clearwater Paper Corp.
10.625% due 06/15/2016			1,025			1,143
Clearwire Communications LLC
12.000% due 12/01/2015			2,975			2,722
Community Health Systems, Inc.
8.875% due 07/15/2015			611			628
CONSOL Energy, Inc.
8.000% due 04/01/2017			1,400			1,459
Constellation Brands, Inc.
7.250% due 09/01/2016			900			1,024
8.375% due 12/15/2014			1,600			1,824
Continental Airlines, Inc.
6.750% due 09/15/2015			750			774

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Crown Castle International Corp.
9.000% due 01/15/2015	$		1,950	$		2,138
CSC Holdings LLC
8.500% due 04/15/2014			1,125			1,240
8.500% due 06/15/2015			250			262
D.R. Horton, Inc.
4.750% due 05/15/2017			1,250			1,291
Dean Foods Co.
7.000% due 06/01/2016			1,425			1,521
Delta Air Lines, Inc.
9.500% due 09/15/2014			1,790			1,900
DISH DBS Corp.
6.625% due 10/01/2014			400			431
7.125% due 02/01/2016			3,825			4,217
7.750% due 05/31/2015			100			112
DJO Finance LLC
10.875% due 11/15/2014			1,925			1,997
Dole Food Co., Inc.
13.875% due 03/15/2014			800			909
Dollar General Corp.
4.125% due 07/15/2017 (a)			300			306
Easton-Bell Sports, Inc.
9.750% due 12/01/2016			1,005			1,104
El Paso LLC
7.000% due 06/15/2017			1,750			1,995
Enterprise Products Operating LLC
8.375% due 08/01/2066			1,250			1,356
Equinox Holdings, Inc.
9.500% due 02/01/2016			1,100			1,171
Essar Steel Algoma, Inc.
9.875% due 06/15/2015			925			789
First Data Corp.
10.550% due 09/24/2015			1,537			1,579
11.250% due 03/31/2016			2,150			2,037
FMG Resources Pty. Ltd.
6.000% due 04/01/2017			2,700			2,720
6.375% due 02/01/2016			2,525			2,569
7.000% due 11/01/2015			325			333
Forest Oil Corp.
8.500% due 02/15/2014			1,825			1,907
Fresenius U.S. Finance, Inc.
9.000% due 07/15/2015			2,275			2,625
Gray Television, Inc.
10.500% due 06/29/2015			250			261
Hanson Ltd.
6.125% due 08/15/2016			3,200			3,424
Harbinger Group, Inc.
10.625% due 11/15/2015			1,150			1,205
HCA, Inc.
6.500% due 02/15/2016			5,375			5,818
6.750% due 07/15/2013			225			236
Huntsman International LLC
5.500% due 06/30/2016			800			802
iGate Corp.
9.000% due 05/01/2016			600			645
INEOS Group Holdings S.A.
8.500% due 02/15/2016			1,950			1,799
Intelsat Luxembourg S.A.
11.250% due 02/04/2017			3,000			3,101
11.500% due 02/04/2017 (b)			2,350			2,435
JC Penney Corp., Inc.
9.000% due 08/01/2012			600			605

See Accompanying Notes ANNUAL REPORT JUNE 30, 2012 51

Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Fund(Cont.)

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
K Hovnanian Enterprises, Inc.
10.625% due 10/15/2016	$		750	$		718
KB Home
5.875% due 01/15/2015			375			373
6.250% due 06/15/2015			735			731
Lafarge S.A.
6.200% due 07/09/2015			1,500			1,606
6.500% due 07/15/2016			1,600			1,736
Lennar Corp.
5.600% due 05/31/2015			750			791
Level 3 Financing, Inc.
8.125% due 07/01/2019			250			258
Limited Brands, Inc.
8.500% due 06/15/2019			255			301
Longview Fibre Paper & Packaging, Inc.
8.000% due 06/01/2016			1,125			1,131
Masco Corp.
6.125% due 10/03/2016			1,985			2,121
McClatchy Co.
11.500% due 02/15/2017			1,600			1,668
McJunkin Red Man Corp.
9.500% due 12/15/2016			1,275			1,383
Meritor, Inc.
8.125% due 09/15/2015			1,050			1,112
MGM Resorts International
6.625% due 07/15/2015			4,675			4,839
6.750% due 04/01/2013			300			309
10.000% due 11/01/2016			450			501
10.375% due 05/15/2014			1,925			2,180
13.000% due 11/15/2013			100			115
Michaels Stores, Inc.
7.750% due 11/01/2018			500			530
Mohawk Industries, Inc.
6.375% due 01/15/2016			645			714
Mohegan Tribal Gaming Authority
7.125% due 08/15/2014			975			780
Momentive Performance Materials, Inc.
12.500% due 06/15/2014			975			1,021
New York Times Co.
6.625% due 12/15/2016			250			261
Newfield Exploration Co.
6.625% due 04/15/2016			1,525			1,565
Nielsen Finance LLC
11.500% due 05/01/2016			750			857
Office Depot, Inc.
6.250% due 08/15/2013			500			511
Offshore Group Investments Ltd.
11.500% due 08/01/2015			2,000			2,180
OSI Restaurant Partners LLC
10.000% due 06/15/2015			1,675			1,727
Owens-Brockway Glass Container, Inc.
7.375% due 05/15/2016			2,250			2,520
Packaging Dynamics Corp.
8.750% due 02/01/2016			1,875			1,978
Peabody Energy Corp.
7.375% due 11/01/2016			2,425			2,680
PHH Corp.
7.125% due 03/01/2013			1,875			1,922
Pinnacle Foods Finance LLC
9.250% due 04/01/2015			1,825			1,884
Plains Exploration & Production Co.
10.000% due 03/01/2016			600			657

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
PulteGroup, Inc.
5.250% due 01/15/2014	$		395	$		408
Quebecor Media, Inc.
7.750% due 03/15/2016			2,525			2,601
Quicksilver Resources, Inc.
11.750% due 01/01/2016			2,050			2,006
Quiksilver, Inc.
6.875% due 04/15/2015			250			243
Reddy Ice Corp.
11.250% due 03/15/2015 ^			1,100			1,056
Regency Energy Partners LP
9.375% due 06/01/2016			1,111			1,228
Reynolds Group Issuer, Inc.
7.750% due 10/15/2016			2,425			2,564
Rite Aid Corp.
7.500% due 03/01/2017			1,250			1,281
Rockies Express Pipeline LLC
3.900% due 04/15/2015			750			726
Royal Caribbean Cruises Ltd.
11.875% due 07/15/2015			850			1,033
RR Donnelley & Sons Co.
6.125% due 01/15/2017			1,250			1,187
Ryerson, Inc.
12.000% due 11/01/2015			1,150			1,161
Ryland Group, Inc.
6.625% due 05/01/2020			250			255
Sabine Pass LNG LP
7.500% due 11/30/2016			1,850			1,952
Sable International Finance Ltd.
7.750% due 02/15/2017			1,000			1,040
SandRidge Energy, Inc.
9.875% due 05/15/2016			1,350			1,485
SBA Telecommunications, Inc.
8.000% due 08/15/2016			2,029			2,171
Scientific Games International, Inc.
7.875% due 06/15/2016			1,025			1,071
Seagate Technology HDD Holdings
6.800% due 10/01/2016			250			279
Sealed Air Corp.
5.625% due 07/15/2013			1,000			1,037
7.875% due 06/15/2017			750			814
Sealy Mattress Co.
10.875% due 04/15/2016			640			696
Sequa Corp.
11.750% due 12/01/2015			350			371
ServiceMaster Co.
10.750% due 07/15/2015			1,601			1,655
Shingle Springs Tribal Gaming Authority
9.375% due 06/15/2015			1,500			1,155
Sirius XM Radio, Inc.
8.750% due 04/01/2015			1,350			1,525
Smithfield Foods, Inc.
10.000% due 07/15/2014			2,100			2,407
Snoqualmie Entertainment Authority
9.125% due 02/01/2015			1,150			1,160
Speedway Motorsports, Inc.
8.750% due 06/01/2016			825			901
SPX Corp.
7.625% due 12/15/2014			1,300			1,436
Steel Dynamics, Inc.
7.750% due 04/15/2016			1,350			1,397

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
SunGard Data Systems, Inc.
10.250% due 08/15/2015	$		1,901	$		1,963
Sunoco, Inc.
5.750% due 01/15/2017			650			692
SUPERVALU, Inc.
8.000% due 05/01/2016 (d)			2,100			2,137
Telesat LLC
6.000% due 05/15/2017			1,500			1,534
Tenet Healthcare Corp.
9.250% due 02/01/2015			1,700			1,900
Terex Corp.
10.875% due 06/01/2016			975			1,098
Toll Brothers Finance Corp.
4.950% due 03/15/2014			625			650
Toys “R” Us - Delaware, Inc.
7.375% due 09/01/2016			600			597
Travelport LLC
9.875% due 09/01/2014			1,150			847
TRW Automotive, Inc.
7.250% due 03/15/2017			1,500			1,721
UR Merger Sub. Corp.
10.875% due 06/15/2016			750			847
USG Corp.
6.300% due 11/15/2016			1,200			1,155
Valeant Pharmaceuticals International
6.500% due 07/15/2016			1,850			1,942
Vertellus Specialties, Inc.
9.375% due 10/01/2015			100			83
ViaSat, Inc.
8.875% due 09/15/2016			250			269
VWR Funding, Inc.
10.250% due 07/15/2015			1,975			2,044
Windstream Corp.
8.125% due 08/01/2013			1,225			1,297
WMG Acquisition Corp.
9.500% due 06/15/2016			2,025			2,217
YCC Holdings LLC
10.250% due 02/15/2016 (b)			2,225			2,275
						207,714
UTILITIES 10.7%
AES Corp.
7.750% due 03/01/2014			100			109
7.750% due 10/15/2015			3,600			4,059
Calpine Construction Finance Co. LP
8.000% due 06/01/2016			1,900			2,061
CMS Energy Corp.
6.875% due 12/15/2015			250			278
Cricket Communications, Inc.
7.750% due 05/15/2016			2,250			2,399
DPL, Inc.
6.500% due 10/15/2016			595			646
Expro Finance Luxembourg S.C.A.
8.500% due 12/15/2016			1,000			962
Frontier Communications Corp.
7.875% due 04/15/2015			1,350			1,492
8.250% due 05/01/2014			5			6
8.250% due 04/15/2017			1,250			1,350
GenOn Energy, Inc.
7.625% due 06/15/2014			1,400			1,435
Kinder Morgan Finance Co. ULC
5.700% due 01/05/2016			2,150			2,274

52 PIMCO ETF TRUST See Accompanying Notes

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Midwest Generation LLC
8.560% due 01/02/2016	$		2,812	$		2,685
NRG Energy, Inc.
7.375% due 01/15/2017			750			782
Penn Virginia Corp.
10.375% due 06/15/2016			1,475			1,423
Qwest Communications International, Inc.
8.000% due 10/01/2015			3,130			3,304
Sprint Nextel Corp.
6.000% due 12/01/2016			6,925			6,665
Texas Competitive Electric Holdings Co. LLC
10.250% due 11/01/2015			2,275			569
Virgin Media Finance PLC
9.500% due 08/15/2016			1,975			2,212
						34,711
Total Corporate Bonds & Notes (Cost $297,198)						299,771

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
SHORT-TERM INSTRUMENTS 6.7%
REPURCHASE AGREEMENTS 6.7%
Banc of America Securities LLC
0.190% due 07/02/2012	$		21,200	$		21,200
(Dated 06/29/2012. Collateralized by U.S. Treasury Notes 0.375% due 06/15/2015 valued at $21,646. Repurchase proceeds are $21,200.)
State Street Bank and Trust Co.
0.010% due 07/02/2012			507			507
(Dated 06/29/2012. Collateralized by U.S. Treasury Notes 2.000% due 11/15/2021 valued at $519. Repurchase proceeds are $507.)
Total Short-Term Instruments (Cost $21,707)						21,707
Total Investments 99.3% (Cost $318,905)				$		321,478
Other Assets and Liabilities (Net) 0.7%						2,293
Net Assets 100.0%				$		323,771

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

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

^ Security is in default.

(a) When-issued security.

(b) Payment in-kind bond security.

(c) Perpetual maturity, date shown represents next contractual call date.

(d) On June 30, 2012, securities valued at $2,137 were pledged as collateral for the following open reverse repurchase agreements.

Counterparty	Coupon Rate  (1)			Settlement Date		Maturity Date		Principal Amount		Payable for Reverse Repurchase Agreements
BCY		(3.000	%)		03/15/2012		03/15/2014	$	2,200	$	(2,180	)

⁽¹⁾ The average amount of borrowings while outstanding during the period ended June 30, 2012 was $2,233 at a weighted average interest rate of (2.597%).

(e) Fair Value Measurements ⁽¹⁾

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 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 06/30/2012
Investments, at value
Corporate Bonds & Notes
Banking & Finance	$	0	$	57,346	$	0	$	57,346
Industrials		0		207,714		0		207,714
Utilities		0		32,026		2,685		34,711
Short-Term Instruments
Repurchase Agreements		0		21,707		0		21,707
	$	0	$	318,793	$	2,685	$	321,478

See Accompanying Notes ANNUAL REPORT JUNE 30, 2012 53

Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Fund(Cont.)

June 30, 2012

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2012:

Category and Subcategory (3)	Beginning Balance at 06/30/2011		Net Purchases		Net Sales			Accrued Discounts/ (Premiums)			Realized Gain/(Loss)			Net Change in Unrealized Appreciation/ (Depreciation) (7)			Transfers into Level 3		Transfers out of Level 3		Ending Balance at 06/30/2012		Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 06/30/2012 (7)
Investments, at value
Corporate Bonds & Notes
Utilities	$	194	$	2,757	$	(150	)	$	(9	)	$	(3	)	$	(104	)	$	0	$	0	$	2,685	$	(116	)

⁽¹⁾  See note 3 in the Notes to Financial Statements for more information regarding pricing inputs and valuation techniques.

⁽²⁾  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2012.

⁽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⁾  Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2012 may be due to an investment no longer held or categorized as level 3 at period end.

(f) Fair Value of Financial Derivative Instruments ⁽¹⁾

The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure:

The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2012:

	Derivatives not accounted for as hedging instruments
	Commodity Contracts		Credit Contracts			Equity Contracts		Foreign Exchange Contracts		Interest Rate Contracts		Total
Realized (Loss) on Derivatives Recognized as a Result from Operations:
Net realized (loss) on swaps	$	0	$	(7	)	$	0	$	0	$	0	$	(7	)

⁽¹⁾  See note 6 in the Notes to Financial Statements for additional information.

54 PIMCO ETF TRUST See Accompanying Notes

Schedule of Investments PIMCO Investment Grade Corporate Bond Index Fund

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
CORPORATE BONDS & NOTES 98.4%
BANKING & FINANCE 33.4%
Allstate Corp.
7.450% due 05/16/2019	$		750	$		962
American Express Co.
6.150% due 08/28/2017			1,675			1,988
American Honda Finance Corp.
2.600% due 09/20/2016			1,380			1,428
American International Group, Inc.
4.250% due 09/15/2014			100			104
5.850% due 01/16/2018			1,840			2,040
Bank of America Corp.
5.625% due 07/01/2020			100			107
6.500% due 08/01/2016			375			412
7.375% due 05/15/2014			300			323
Bank of New York Mellon Corp.
1.969% due 06/20/2017			750			760
Bank of Nova Scotia
3.400% due 01/22/2015			1,300			1,371
Bank of Tokyo-Mitsubishi UFJ Ltd.
2.350% due 02/23/2017			500			512
Barclays Bank PLC
5.125% due 01/08/2020			2,165			2,355
Bear Stearns Cos. LLC
5.300% due 10/30/2015			300			326
Berkshire Hathaway Finance Corp.
5.750% due 01/15/2040			300			366
BNP Paribas S.A.
3.600% due 02/23/2016			1,140			1,154
Boeing Capital Corp.
3.250% due 10/27/2014			1,085			1,149
Capital One Capital
8.875% due 05/15/2040			1,200			1,227
Caterpillar Financial Services Corp.
6.125% due 02/17/2014			820			891
Citigroup, Inc.
5.375% due 08/09/2020			40			43
6.010% due 01/15/2015			300			323
6.125% due 05/15/2018			550			615
8.125% due 07/15/2039			3,025			4,055
Commonwealth Bank of Australia
1.950% due 03/16/2015			1,500			1,511
Credit Suisse
4.375% due 08/05/2020			100			107
5.000% due 05/15/2013			1,830			1,888
Deutsche Bank AG
3.250% due 01/11/2016			500			515
Ford Motor Credit Co. LLC
7.000% due 10/01/2013			825			882
8.000% due 06/01/2014			2,500			2,775
General Electric Capital Corp.
5.500% due 01/08/2020			3,460			3,969
Goldman Sachs Group, Inc.
5.250% due 10/15/2013			2,450			2,549
5.375% due 03/15/2020			2,545			2,626
6.750% due 10/01/2037			750			738
HSBC Bank USA N.A.
4.625% due 04/01/2014			820			855
4.875% due 08/24/2020			1,960			2,021
HSBC Holdings PLC
5.100% due 04/05/2021			750			839

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Hutchison Whampoa International Ltd.
4.625% due 01/13/2022	$		1,000	$		1,054
ING Bank NV
4.000% due 03/15/2016			500			504
John Deere Capital Corp.
2.950% due 03/09/2015			100			106
3.900% due 07/12/2021			275			304
5.750% due 09/10/2018			200			243
JPMorgan Chase & Co.
3.700% due 01/20/2015			3,880			4,050
4.500% due 01/24/2022			500			540
JPMorgan Chase Bank N.A.
5.875% due 06/13/2016			1,030			1,131
Kimco Realty Corp.
6.875% due 10/01/2019			940			1,127
Lloyds TSB Bank PLC
4.875% due 01/21/2016			1,560			1,640
Macquarie Bank Ltd.
6.625% due 04/07/2021			730			734
Merrill Lynch & Co., Inc.
6.875% due 04/25/2018			1,000			1,121
7.750% due 05/14/2038			3,400			3,894
MetLife, Inc.
5.700% due 06/15/2035			400			476
5.875% due 02/06/2041			1,510			1,864
Moody’s Corp.
5.500% due 09/01/2020			300			325
Morgan Stanley
5.500% due 07/24/2020			2,775			2,721
6.000% due 04/28/2015			400			414
7.300% due 05/13/2019			730			790
MUFG Capital Finance Ltd.
6.346% due 07/25/2016 (a)			500			538
Nomura Holdings, Inc.
6.700% due 03/04/2020			660			733
Nordea Bank AB
4.875% due 01/14/2021			1,410			1,538
PNC Funding Corp.
3.300% due 03/08/2022			500			511
ProLogis LP
6.625% due 05/15/2018			710			820
Prudential Financial, Inc.
4.750% due 09/17/2015			1,875			2,020
Rabobank Group
5.250% due 05/24/2041			1,910			2,068
Royal Bank of Scotland Group PLC
4.875% due 03/16/2015			1,740			1,802
Simon Property Group LP
5.650% due 02/01/2020			100			117
6.750% due 05/15/2014			1,180			1,280
SLM Corp.
6.250% due 01/25/2016			1,500			1,582
Toyota Motor Credit Corp.
3.200% due 06/17/2015			650			691
UBS AG
5.750% due 04/25/2018			1,370			1,520
Wachovia Bank N.A.
6.600% due 01/15/2038			500			634
Wachovia Corp.
5.500% due 05/01/2013			2,810			2,920
						85,598

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
INDUSTRIALS 52.0%
Abbott Laboratories
5.125% due 04/01/2019	$		1,370	$		1,635
Alcoa, Inc.
6.150% due 08/15/2020			815			860
Altria Group, Inc.
9.250% due 08/06/2019			1,270			1,768
America Movil S.A.B. de C.V.
6.125% due 03/30/2040			680			845
American Tower Corp.
4.500% due 01/15/2018			1,170			1,239
Amgen, Inc.
3.450% due 10/01/2020			1,920			1,993
6.150% due 06/01/2018			200			240
Anadarko Petroleum Corp.
6.375% due 09/15/2017			1,200			1,396
Anheuser-Busch Cos. LLC
5.500% due 01/15/2018			1,000			1,189
Anheuser-Busch InBev Worldwide, Inc.
7.750% due 01/15/2019			925			1,224
ArcelorMittal
6.125% due 06/01/2018			200			203
9.850% due 06/01/2019			1,165			1,389
Barrick PD Australia Finance Pty. Ltd.
4.950% due 01/15/2020			1,200			1,326
BG Energy Capital PLC
5.125% due 10/15/2041			1,240			1,376
BHP Billiton Finance USA Ltd.
6.500% due 04/01/2019			1,000			1,275
Boeing Co.
3.500% due 02/15/2015			400			429
Boston Scientific Corp.
4.500% due 01/15/2015			1,270			1,354
Bottling Group LLC
6.950% due 03/15/2014			975			1,078
Bunge Ltd. Finance Corp.
4.100% due 03/15/2016			400			418
Burlington Northern Santa Fe LLC
5.400% due 06/01/2041			1,140			1,310
Caterpillar, Inc.
5.200% due 05/27/2041			850			1,037
Cenovus Energy, Inc.
6.750% due 11/15/2039			760			951
CenterPoint Energy Resources Corp.
4.500% due 01/15/2021			980			1,073
Cisco Systems, Inc.
4.450% due 01/15/2020			1,770			2,048
Coca-Cola Co.
1.650% due 03/14/2018			750			761
Coca-Cola Enterprises, Inc.
2.000% due 08/19/2016			830			839
Comcast Corp.
5.300% due 01/15/2014			1,250			1,331
5.700% due 07/01/2019			1,650			1,965
ConocoPhillips
5.750% due 02/01/2019			1,720			2,102
Corning, Inc.
5.750% due 08/15/2040			785			923
CSX Corp.
6.220% due 04/30/2040			1,200			1,487
CVS Caremark Corp.
6.125% due 09/15/2039			1,350			1,686

See Accompanying Notes ANNUAL REPORT JUNE 30, 2012 55

Schedule of Investments PIMCO Investment Grade Corporate Bond Index Fund(Cont.)

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Danaher Corp.
1.300% due 06/23/2014	$		1,265	$		1,279
Deere & Co.
6.950% due 04/25/2014			1,000			1,112
Deutsche Telekom International Finance BV
3.125% due 04/11/2016			1,750			1,812
Devon Energy Corp.
3.250% due 05/15/2022			750			765
DIRECTV Holdings LLC
3.125% due 02/15/2016			1,300			1,356
Discovery Communications LLC
5.050% due 06/01/2020			1,250			1,416
Dow Chemical Co.
5.900% due 02/15/2015			740			826
7.600% due 05/15/2014			1,020			1,136
Eli Lilly & Co.
5.950% due 11/15/2037			930			1,231
Encana Corp.
5.150% due 11/15/2041			1,630			1,565
Energy Transfer Partners LP
8.500% due 04/15/2014			1,074			1,190
Ensco PLC
4.700% due 03/15/2021			940			1,027
Enterprise Products Operating LLC
5.200% due 09/01/2020			750			860
EOG Resources, Inc.
4.100% due 02/01/2021			1,000			1,113
General Electric Co.
5.250% due 12/06/2017			1,280			1,497
Gilead Sciences, Inc.
4.400% due 12/01/2021			750			830
GlaxoSmithKline Capital, Inc.
5.650% due 05/15/2018			750			908
Hewlett-Packard Co.
2.125% due 09/13/2015			1,860			1,877
Home Depot, Inc.
5.400% due 03/01/2016			1,280			1,477
Intel Corp.
1.950% due 10/01/2016			1,120			1,162
International Business Machines Corp.
1.000% due 08/05/2013			510			513
4.000% due 06/20/2042			567			596
5.600% due 11/30/2039			29			38
6.500% due 10/15/2013			840			904
International Paper Co.
7.500% due 08/15/2021			1,030			1,317
Johnson & Johnson
5.550% due 08/15/2017			500			608
Kellogg Co.
4.000% due 12/15/2020			750			828
Kinder Morgan Energy Partners LP
5.300% due 09/15/2020			1,110			1,232
Kraft Foods, Inc.
4.125% due 02/09/2016			100			109
5.375% due 02/10/2020			200			237
6.500% due 02/09/2040			1,350			1,743
Kroger Co.
6.150% due 01/15/2020			1,100			1,320
L-3 Communications Corp.
4.750% due 07/15/2020			1,230			1,315
Lockheed Martin Corp.
4.250% due 11/15/2019			1,160			1,299

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Marriott International, Inc.
6.200% due 06/15/2016	$		100	$		114
McDonald’s Corp.
2.625% due 01/15/2022			1,500			1,532
Medtronic, Inc.
4.450% due 03/15/2020			750			863
Merck & Co., Inc.
5.000% due 06/30/2019			1,485			1,784
Microsoft Corp.
1.625% due 09/25/2015			1,170			1,211
News America, Inc.
6.400% due 12/15/2035			500			579
Noble Holding International Ltd.
4.625% due 03/01/2021			860			915
4.900% due 08/01/2020			100			109
Norfolk Southern Corp.
3.250% due 12/01/2021			100			104
Novartis Capital Corp.
2.900% due 04/24/2015			660			699
Oracle Corp.
3.750% due 07/08/2014			1,940			2,061
Pemex Project Funding Master Trust
5.750% due 03/01/2018			1,995			2,264
PepsiCo, Inc.
3.100% due 01/15/2015			300			316
5.500% due 01/15/2040			400			506
Petrobras International Finance Co.
5.750% due 01/20/2020			500			550
6.875% due 01/20/2040			1,120			1,345
Pfizer, Inc.
6.200% due 03/15/2019			1,850			2,323
Philip Morris International, Inc.
5.650% due 05/16/2018			1,300			1,573
Praxair, Inc.
2.450% due 02/15/2022			1,000			989
Procter & Gamble Co.
3.500% due 02/15/2015			1,390			1,491
Raytheon Co.
3.125% due 10/15/2020			1,335			1,405
Republic Services, Inc.
5.000% due 03/01/2020			610			692
5.250% due 11/15/2021			320			368
Rio Tinto Finance USA Ltd.
3.750% due 09/20/2021			275			296
6.500% due 07/15/2018			1,450			1,790
Roche Holdings, Inc.
6.000% due 03/01/2019			1,390			1,732
Rogers Communications, Inc.
6.800% due 08/15/2018			680			840
SABMiller Holdings, Inc.
1.850% due 01/15/2015			500			508
Southern Copper Corp.
6.750% due 04/16/2040			700			749
Statoil ASA
3.125% due 08/17/2017			300			324
Target Corp.
3.875% due 07/15/2020			1,350			1,491
Teck Resources Ltd.
4.750% due 01/15/2022			1,000			1,077
Telefonica Emisiones S.A.U.
2.582% due 04/26/2013			300			296
3.729% due 04/27/2015			200			182

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Thermo Fisher Scientific, Inc.
3.600% due 08/15/2021	$		750	$		809
Time Warner Cable, Inc.
5.000% due 02/01/2020			400			450
5.875% due 11/15/2040			840			945
8.750% due 02/14/2019			250			333
Time Warner, Inc.
3.150% due 07/15/2015			2,190			2,312
Total Capital S.A.
3.000% due 06/24/2015			1,180			1,253
TransCanada PipeLines Ltd.
3.800% due 10/01/2020			1,340			1,479
Transocean, Inc.
4.950% due 11/15/2015			300			323
6.500% due 11/15/2020			580			659
Tyco International Finance S.A.
4.125% due 10/15/2014			920			994
Union Pacific Corp.
4.750% due 09/15/2041			1,375			1,500
United Parcel Service, Inc.
3.875% due 04/01/2014			1,500			1,583
United Technologies Corp.
3.100% due 06/01/2022			500			526
4.500% due 04/15/2020			1,260			1,464
UnitedHealth Group, Inc.
6.875% due 02/15/2038			1,600			2,235
Vale Overseas Ltd.
6.875% due 11/21/2036			640			746
Wal-Mart Stores, Inc.
2.250% due 07/08/2015			100			105
4.250% due 04/15/2021			1,000			1,156
5.375% due 04/05/2017			380			452
5.625% due 04/15/2041			100			131
6.200% due 04/15/2038			900			1,230
Walt Disney Co.
0.875% due 12/01/2014			500			503
Waste Management, Inc.
4.750% due 06/30/2020			1,005			1,134
Weatherford International Ltd.
5.125% due 09/15/2020			1,130			1,216
WellPoint, Inc.
3.125% due 05/15/2022			500			506
WPP Finance UK
8.000% due 09/15/2014			710			801
						133,171
UTILITIES 13.0%
Appalachian Power Co.
4.600% due 03/30/2021			1,120			1,259
AT&T, Inc.
2.500% due 08/15/2015			110			115
6.300% due 01/15/2038			3,000			3,755
BP Capital Markets PLC
4.500% due 10/01/2020			300			339
5.250% due 11/07/2013			1,350			1,431
Commonwealth Edison Co.
4.000% due 08/01/2020			770			858
Consumers Energy Co.
2.850% due 05/15/2022			500			510
Dominion Resources, Inc.
4.450% due 03/15/2021			1,485			1,693

56 PIMCO ETF TRUST See Accompanying Notes

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Duke Energy Corp.
2.150% due 11/15/2016	$		1,910	$		1,959
E.ON International Finance BV
5.800% due 04/30/2018			1,120			1,314
Enel Finance International NV
6.250% due 09/15/2017			340			342
Entergy Corp.
5.125% due 09/15/2020			300			312
Exelon Generation Co. LLC
6.200% due 10/01/2017			100			115
FirstEnergy Corp.
7.375% due 11/15/2031			1,210			1,525
Gazprom OAO Via Gaz Capital S.A.
5.092% due 11/29/2015			1,680			1,777
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036			990			1,244
Pacific Gas & Electric Co.
3.500% due 10/01/2020			830			896
5.800% due 03/01/2037			780			974
Pennsylvania Electric Co.
5.200% due 04/01/2020			70			79

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Plains All American Pipeline LP
5.150% due 06/01/2042	$		750	$		797
Progress Energy, Inc.
4.400% due 01/15/2021			1,605			1,789
Shell International Finance BV
3.100% due 06/28/2015			1,370			1,463
4.375% due 03/25/2020			230			268
Southern California Edison Co.
3.875% due 06/01/2021			500			558
Southern Power Co.
5.150% due 09/15/2041			1,365			1,491
Southwestern Public Service Co.
6.000% due 10/01/2036			1,000			1,183
Verizon Communications, Inc.
8.750% due 11/01/2018			2,370			3,264
Vodafone Group PLC
4.375% due 03/16/2021			1,710			1,956
						33,266
Total Corporate Bonds & Notes (Cost $242,839)						252,035

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
SHORT-TERM INSTRUMENTS 0.6%
REPURCHASE AGREEMENTS 0.6%
Credit Suisse Securities (USA) LLC
0.180% due 07/02/2012	$		1,000	$		1,000
(Dated 06/29/2012. Collateralized by U.S. Treasury Notes 2.375% due 10/31/2014 valued at $1,025. Repurchase proceeds are $1,000.)
State Street Bank and Trust Co.
0.010% due 07/02/2012			551			551
(Dated 06/29/2012. Collateralized by U.S. Treasury Bonds 5.375% due 02/15/2031 valued at $569. Repurchase proceeds are $551.)
Total Short-Term Instruments (Cost $1,551)						1,551
Total Investments 99.0% (Cost $244,390)				$		253,586
Other Assets and Liabilities (Net) 1.0%						2,681
Net Assets 100.0%				$		256,267

Notes to Schedule of Investments (amounts in thousands):

(a) Perpetual maturity, date shown represents next contractual call date.

(b) Fair Value Measurements ⁽¹⁾

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 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 06/30/2012
Investments, at value
Corporate Bonds & Notes
Banking & Finance	$	0	$	85,598	$	0	$	85,598
Industrials		0		133,171		0		133,171
Utilities		0		33,266		0		33,266
Short-Term Instruments
Repurchase Agreements		0		1,551		0		1,551
	$	0	$	253,586	$	0	$	253,586

⁽¹⁾  See note 3 in the Notes to Financial Statements for more information regarding pricing inputs and valuation techniques.

⁽²⁾  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2012.

⁽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 ANNUAL REPORT JUNE 30, 2012 57

Schedule of Investments PIMCO Investment Grade Corporate Bond Index Fund(Cont.)

June 30, 2012

(c) Fair Value of Financial Derivative Instruments ⁽¹⁾

The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure:

The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2012:

	Derivatives not accounted for as hedging instruments
	Commodity Contracts		Credit Contracts			Equity Contracts		Foreign Exchange Contracts		Interest Rate Contracts			Total
Realized (Loss) on Derivatives Recognized as a Result from Operations:
Net realized (loss) on futures contracts	$	0	$	0		$	0	$	0	$	(8	)	$	(8	)
Net realized (loss) on swaps		0		(14	)		0		0		0			(14	)
	$	0	$	(14	)	$	0	$	0	$	(8	)	$	(22	)

⁽¹⁾  See note 6 in the Notes to Financial Statements for additional information.

58 PIMCO ETF TRUST See Accompanying Notes

Schedule of Investments PIMCO Australia Bond Index Fund

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
AUSTRALIA 64.4%
CORPORATE BONDS & NOTES 14.1%
Australia & New Zealand Banking Group Ltd.
6.750% due 05/09/2016	AUD		500	$		548
Commonwealth Bank of Australia
6.500% due 07/21/2015			500			542
National Australia Bank Ltd.
5.750% due 12/19/2013			500			529
7.250% due 03/07/2018			500			565
Telstra Corp. Ltd.
6.250% due 04/15/2015			700			752
Westpac Banking Corp.
6.500% due 11/09/2015			500			543
Woolworths Ltd.
6.000% due 03/21/2019			500			539
						4,018
SOVEREIGN ISSUES 50.3%
Australia Government Bond
4.250% due 07/21/2017			500			552
4.750% due 04/21/2027			500			593
5.250% due 03/15/2019			600			708
5.500% due 04/21/2023			600			747
5.750% due 05/15/2021			300			374
New South Wales Treasury Corp.
5.500% due 08/01/2013			1,100			1,154
6.000% due 04/01/2016			1,000			1,118
6.000% due 02/01/2018			1,500			1,715
Northern Territory Treasury Corp.
6.250% due 10/20/2015			500			554

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Queensland Treasury Corp.
5.500% due 06/21/2021	AUD		1,600	$		1,763
6.250% due 02/21/2020			700			805
South Australian Government Financing Authority
5.750% due 09/20/2017			1,000			1,111
Tasmanian Public Finance
5.500% due 06/23/2014			300			320
Treasury Corp. of Victoria
5.500% due 11/15/2018			900			1,014
5.500% due 12/17/2024			1,200			1,380
Western Australia Treasury Corp.
5.500% due 04/23/2014			400			427
						14,335
Total Australia (Cost $17,739)						18,353
GERMANY 3.8%
CORPORATE BONDS & NOTES 3.8%
KFW
6.000% due 01/19/2016			1,000			1,100
Total Germany (Cost $1,099)						1,100
NETHERLANDS 1.9%
CORPORATE BONDS & NOTES 1.9%
Rabobank Group
6.500% due 04/20/2015			500			535
Total Netherlands (Cost $540)						535

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
SUPRANATIONAL 17.1%
CORPORATE BONDS & NOTES 17.1%
Asian Development Bank
5.250% due 05/13/2014	AUD		500	$		530
6.000% due 02/22/2018			500			571
Council of Europe Development Bank
6.000% due 10/08/2020			500			549
European Investment Bank
6.250% due 06/08/2021			500			557
Inter-American Development Bank
5.375% due 05/27/2014			1,000			1,064
International Finance Corp.
5.750% due 06/24/2014			1,500			1,610
Total Supranational (Cost $4,776)						4,881
UNITED KINGDOM 2.7%
CORPORATE BONDS & NOTES 2.7%
HSBC Bank PLC
6.750% due 03/12/2015			700			758
Total United Kingdom (Cost $733)						758
Total Investments 89.9% (Cost $24,887)				$		25,627
Other Assets and Liabilities (Net) 10.1%						2,894
Net Assets 100.0%				$		28,521

Notes to Schedule of Investments (amounts in thousands):

(a) Foreign currency contracts outstanding on June 30, 2012:

Settlement Month		Currency to be Delivered		Currency to be Received		Counterparty		Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
	07/2012	$	14		AUD    14		BPS	$	1	$	0	$	1

(b) Fair Value Measurements ⁽¹⁾

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 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 06/30/2012
Investments, at value
Australia
Corporate Bonds & Notes	$	0	$	4,018	$	0	$	4,018
Sovereign Issues		0		14,335		0		14,335
Germany
Corporate Bonds & Notes		0		1,100		0		1,100
Netherlands
Corporate Bonds & Notes		0		535		0		535
Supranational
Corporate Bonds & Notes		0		4,881		0		4,881
United Kingdom
Corporate Bonds & Notes		0		758		0		758
	$	0	$	25,627	$	0	$	25,627

See Accompanying Notes ANNUAL REPORT JUNE 30, 2012 59

Schedule of Investments PIMCO Australia Bond Index Fund (Cont.)

June 30, 2012

Category and Subcategory (3)	Level 1  (4)		Level 2  (5)		Level 3  (6)		Fair Value at 06/30/2012
Financial Derivative Instruments (7) - Assets
Foreign Exchange Contracts	$	0	$	1	$	0	$	1
Totals	$	0	$	25,628	$	0	$	25,628

⁽¹⁾  See note 3 in the Notes to Financial Statements for more information regarding pricing inputs and valuation techniques.

⁽²⁾  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2012.

⁽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.

(c) Fair Value of Financial Derivative Instruments ⁽¹⁾

The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure:

Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2012:

	Derivatives not accounted for as hedging instruments
	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Exchange Contracts		Interest Rate Contracts		Total
Assets:
Unrealized appreciation on foreign currency contracts	$	0	$	0	$	0	$	1	$	0	$	1

The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2012:

	Derivatives not accounted for as hedging instruments
	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Exchange Contracts			Interest Rate Contracts		Total
Realized (Loss) on Derivatives Recognized as a Result from Operations:
Net realized (loss) on foreign currency transactions	$	0	$	0	$	0	$	(261	)	$	0	$	(261	)
Net Change in Unrealized Appreciation on Derivatives Recognized as a Result of Operations:
Net change in unrealized appreciation on translation of assets and liabilities denominated in foreign currencies	$	0	$	0	$	0	$	1		$	0	$	1

⁽¹⁾  See note 6 in the Notes to Financial Statements for additional information.

(d) Collateral (Received)/Pledged for OTC Financial Derivative Instruments

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of June 30, 2012:

Counterparty	Total Market Value of OTC Derivatives		Collateral (Received)/ Pledged		Net Exposures  (1)
BPS	$	1	$	0	$	1

⁽¹⁾  Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. See note 7, Principal Risks, in the Notes to Financial Statements for more information regarding credit and counterparty risks.

60 PIMCO ETF TRUST See Accompanying Notes

Schedule of Investments PIMCO Canada Bond Index Fund

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
CANADA 97.5%
SOVEREIGN ISSUES 97.5%
Alberta Capital Finance Authority
4.650% due 06/15/2017	CAD		385	$		429
Canada Government Bond
2.000% due 06/01/2016			620			627
2.000% due 12/01/2041 (a)			231			324
2.500% due 09/01/2013			1,940			1,938
4.000% due 06/01/2041			420			557
Canada Housing Trust
2.750% due 06/15/2016			970			999
Canada Post Corp.
4.080% due 07/16/2025			210			244
City of Montreal Canada
5.450% due 12/01/2019			655			749
City of Toronto Canada
4.500% due 12/02/2019			690			759
Hydro Quebec
5.000% due 02/15/2045			690			871

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Municipal Finance Authority of British Columbia
3.100% due 06/01/2014	CAD		830	$		842
Province of Alberta
2.750% due 12/01/2014			35			36
4.000% due 12/01/2019			350			387
Province of British Columbia
4.100% due 12/18/2019			530			587
4.300% due 06/18/2042			260			304
Province of Manitoba
4.400% due 09/05/2025			725			819
Province of New Brunswick
4.500% due 06/02/2020			725			811
Province of Newfoundland
4.650% due 10/17/2040			595			714
Province of Nova Scotia
4.100% due 06/01/2021			490			537
4.400% due 06/01/2042			280			323

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Province of Ontario
4.000% due 06/02/2021	CAD		420	$		457
4.650% due 06/02/2041			490			590
5.375% due 12/02/2012			420			420
5.850% due 03/08/2033			865			1,156
Province of Quebec
3.500% due 12/01/2022			830			858
5.000% due 12/01/2041			140			174
Province of Saskatchewan
5.800% due 09/05/2033			585			802
Regional Municipality of Peel Ontario
5.100% due 06/29/2040			280			332
Regional Municipality of York
4.000% due 06/30/2021			420			446
Total Canada (Cost $17,773)						18,092
Total Investments 97.5% (Cost $17,773)				$		18,092
Other Assets and Liabilities (Net) 2.5%						472
Net Assets 100.0%				$		18,564

Notes to Schedule of Investments (amounts in thousands):

(a) Principal amount of security is adjusted for inflation.

(b) Foreign currency contracts outstanding on June 30, 2012:

Settlement Month		Currency to be Delivered		Currency to be Received		Counterparty		Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
	07/2012	$	27		CAD    28		BPS	$	1	$	0	$	1

(c) Fair Value Measurements ⁽¹⁾

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 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 06/30/2012
Investments, at value
Canada
Sovereign Issues	$	0	$	18,092	$	0	$	18,092
Financial Derivative Instruments (7) - Assets
Foreign Exchange Contracts	$	0	$	1	$	0	$	1
Totals	$	0	$	18,093	$	0	$	18,093

⁽¹⁾  See note 3 in the Notes to Financial Statements for more information regarding pricing inputs and valuation techniques.

⁽²⁾  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2012.

⁽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 ANNUAL REPORT JUNE 30, 2012 61

Schedule of Investments PIMCO Canada Bond Index Fund(Cont.)

June 30, 2012

(d) Fair Value of Financial Derivative Instruments ⁽¹⁾

The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure:

Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2012:

	Derivatives not accounted for as hedging instruments
	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Exchange Contracts		Interest Rate Contracts		Total
Assets:
Unrealized appreciation on foreign currency contracts	$	0	$	0	$	0	$	1	$	0	$	1

The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2012:

	Derivatives not accounted for as hedging instruments
	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Exchange Contracts			Interest Rate Contracts		Total
Realized (Loss) on Derivatives Recognized as a Result from Operations:
Net realized (loss) on foreign currency transactions	$	0	$	0	$	0	$	(6	)	$	0	$	(6	)
Net Change in Unrealized Appreciation on Derivatives Recognized as a Result of Operations:
Net change in unrealized appreciation on translation of assets and liabilities denominated in foreign currencies	$	0	$	0	$	0	$	1		$	0	$	1

⁽¹⁾  See note 6 in the Notes to Financial Statements for additional information.

(e) Collateral (Received)/Pledged for OTC Financial Derivative Instruments

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of June 30, 2012:

Counterparty	Total Market Value of OTC Derivatives		Collateral (Received)/ Pledged		Net Exposures  (1)
BPS	$	1	$	0	$	1

⁽¹⁾  Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. See note 7, Principal Risks, in the Notes to Financial Statements for more information regarding credit and counterparty risks.

62 PIMCO ETF TRUST See Accompanying Notes

Schedule of Investments PIMCO Germany Bond Index Fund

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
GERMANY 81.8%
CORPORATE BONDS & NOTES 43.8%
Bayerische Landesbank
3.375% due 09/04/2017	EUR		80	$		111
Deutsche Bank AG
5.125% due 08/31/2017			50			72
Deutsche Pfandbriefbank AG
3.750% due 05/31/2013			60			78
Deutsche Postbank AG
3.750% due 02/12/2014			20			27
Dexia Kommunalbank Deutschland AG
1.875% due 03/11/2013			20			25
Duesseldorfer Hypothekenbank AG
1.875% due 12/13/2013			20			26
Eurogrid GmbH
3.875% due 10/22/2020			50			68
Eurohypo AG
3.750% due 03/24/2014			50			66
4.500% due 08/28/2013			60			79
Evonik Industries AG
7.000% due 10/14/2014			20			28
HSH Nordbank AG
4.375% due 02/18/2014			40			54
K+S AG
5.000% due 09/24/2014			10			14
KFW
2.500% due 01/17/2022			80			106
3.625% due 01/20/2020			30			43
4.375% due 07/04/2018			40			59
Landeskreditbank Baden-Wuerttemberg Foerderbank
4.125% due 04/15/2013			70			91
LBBW
3.750% due 02/12/2014			20			27
Merck Financial Services GmbH
3.375% due 03/24/2015			30			40

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Metro AG
7.625% due 03/05/2015	EUR		10	$		15
Norddeutsche Landesbank
3.250% due 01/18/2021			40			55
ThyssenKrupp AG
8.000% due 06/18/2014			30			41
UniCredit Bank AG
2.625% due 05/31/2017			60			80
Voith GmbH
5.375% due 06/21/2017			10			14
Volkswagen Financial Services AG
6.875% due 01/15/2014			30			41
						1,260
SOVEREIGN ISSUES 38.0%
Land Sachsen-Anhalt
4.000% due 09/26/2016			20			28
Republic of Germany
1.750% due 07/04/2022			100			129
2.250% due 09/04/2021			110			148
3.750% due 10/17/2013			70			92
3.750% due 01/04/2019			100			149
5.625% due 01/04/2028			20			37
State of Berlin
3.500% due 02/13/2014			90			119
State of Brandenburg
3.625% due 01/26/2015			30			41
State of Hesse
2.250% due 01/29/2014			70			91
State of North Rhine-Westphalia
2.875% due 05/20/2016			130			175
3.500% due 07/07/2021			60			85
						1,094
Total Germany (Cost $2,441)						2,354

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
NETHERLANDS 15.9%
CORPORATE BONDS & NOTES 15.9%
Bayer Capital Corp. BV
4.625% due 09/26/2014	EUR		20	$		27
BMW Finance NV
8.875% due 09/19/2013			50			69
Deutsche Bahn Finance BV
4.875% due 03/12/2019			50			74
Deutsche Telekom International Finance BV
6.000% due 01/20/2017			10			15
7.500% due 01/24/2033			40			73
E.ON International Finance BV
4.875% due 01/28/2014			20			27
6.375% due 05/29/2017			10			16
Enbw International Finance BV
4.125% due 07/07/2015			30			41
Lanxess Finance BV
7.750% due 04/09/2014			20			28
Metro Finance BV
4.250% due 02/22/2017			20			27
RWE Finance BV
5.125% due 07/23/2018			20			30
Siemens Financieringsmaatschappij NV
5.625% due 06/11/2018			10			15
Volkswagen International Finance NV
7.000% due 02/09/2016			10			15
Total Netherlands (Cost $475)						457
Total Investments 97.7% (Cost $2,916)				$		2,811
Other Assets and Liabilities (Net) 2.3%						66
Net Assets 100.0%				$		2,877

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

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

(a) Foreign currency contracts outstanding on June 30, 2012:

Settlement Month		Currency to be Delivered		Currency to be Received		Counterparty		Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
	07/2012	$	5		EUR    4		BPS	$	0	$	0	$	0

(b) Fair Value Measurements ⁽¹⁾

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 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 06/30/2012
Investments, at value
Germany
Corporate Bonds & Notes	$	0	$	1,260	$	0	$	1,260
Sovereign Issues		0		1,094		0		1,094
Netherlands
Corporate Bonds & Notes		0		457		0		457
	$	0	$	2,811	$	0	$	2,811

See Accompanying Notes ANNUAL REPORT JUNE 30, 2012 63

Schedule of Investments PIMCO Germany Bond Index Fund (Cont.)

June 30, 2012

⁽¹⁾  See note 3 in the Notes to Financial Statements for more information regarding pricing inputs and valuation techniques.

⁽²⁾  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2012.

⁽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.

(c) Fair Value of Financial Derivative Instruments ⁽¹⁾

The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure:

The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2012:

	Derivatives not accounted for as hedging instruments
	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Exchange Contracts			Interest Rate Contracts		Total
Realized Gain (Loss) on Derivatives Recognized as a Result from Operations:
Net realized gain on futures contracts	$	0	$	0	$	0	$	0		$	10	$	10
Net realized (loss) on foreign currency transactions		0		0		0		(51	)		0		(51	)
	$	0	$	0	$	0	$	(51	)	$	10	$	(41	)

⁽¹⁾  See note 6 in the Notes to Financial Statements for additional information.

64 PIMCO ETF TRUST See Accompanying Notes

Schedule of Investments PIMCO Build America Bond Strategy Fund

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
MUNICIPAL BONDS & NOTES 93.9%
CALIFORNIA 39.3%
Alameda County, California Joint Powers Authority Revenue Bonds, (BABs), Series 2010
7.046% due 12/01/2044	$		350	$		441
Bay Area Toll Authority, California Revenue Bonds, (BABs), Series 2010
7.043% due 04/01/2050			1,500			2,123
Los Angeles County, California Public Works Financing Authority Revenue Bonds, (BABs), Series 2010
7.488% due 08/01/2033			1,000			1,231
Los Angeles Department of Airports, California Revenue Bonds, (BABs), Series 2009
6.582% due 05/15/2039			740			945
Los Angeles Unified School District, California General Obligation Bonds, (BABs), Series 2010
6.758% due 07/01/2034			130			168
Los Angeles Wastewater System, California Revenue Bonds, (BABs), Series 2010
5.813% due 06/01/2040			450			544
Metropolitan Water District of Southern California Revenue Bonds, (BABs), Series 2010
6.947% due 07/01/2040			500			603
Orange County, California Sanitation District Revenue Bonds, (BABs), Series 2010
6.400% due 02/01/2044			500			677
Sacramento Municipal Utility District, California Revenue Bonds, (BABs), Series 2010
6.156% due 05/15/2036			1,000			1,211
San Diego County, California Regional Airport Authority Revenue Bonds, (BABs), Series 2010
6.628% due 07/01/2040			800			879
University of California Revenue Bonds, (BABs), Series 2009
6.583% due 05/15/2049			3,450			4,525
University of California Revenue Bonds, (BABs), Series 2010
6.296% due 05/15/2050			500			594
6.548% due 05/15/2048			500			656
						14,597
DISTRICT OF COLUMBIA 2.4%
Metropolitan Washington Airports Authority, District of Columbia Revenue Bonds, (BABs), Series 2009
7.462% due 10/01/2046			756			897
GEORGIA 2.5%
Municipal Electric Authority of Georgia Revenue Bonds, (BABs), Series 2010
6.655% due 04/01/2057			800			918

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
ILLINOIS 12.5%
Chicago Transit Authority, Illinois Revenue Bonds, Series 2008
6.899% due 12/01/2040	$		1,000	$		1,191
Greater Chicago Metropolitan Water Reclamation District, Illinois General Obligation Bonds, (BABs), Series 2009
5.720% due 12/01/2038			2,095			2,648
Illinois State Toll Highway Authority Revenue Bonds, (BABs), Series 2009
6.184% due 01/01/2034			655			813
						4,652
MINNESOTA 1.4%
Southern Minnesota Municipal Power Agency Revenue Bonds, (BABs), Series 2010
5.926% due 01/01/2043			450			515
NEBRASKA 1.0%
Public Power Generation Agency, Nebraska Revenue Bonds, (BABs), Series 2009
7.242% due 01/01/2041			300			356
NEW JERSEY 7.8%
New Jersey State Turnpike Authority Revenue Bonds, (BABs), Series 2010
7.102% due 01/01/2041			1,090			1,538
New Jersey Transportation Trust Fund Authority Revenue Bonds, (BABs), Series 2010
6.561% due 12/15/2040			1,000			1,341
						2,879
NEW YORK 14.1%
Metropolitan Transportation Authority, New York Revenue Bonds, (BABs), Series 2009
5.871% due 11/15/2039			1,000			1,157
Metropolitan Transportation Authority, New York Revenue Bonds, (BABs), Series 2010
6.548% due 11/15/2031			500			617
6.668% due 11/15/2039			1,200			1,540
New York City, New York Municipal Water Finance Authority Revenue Bonds, (BABs), Series 2009
5.750% due 06/15/2041			800			1,022
New York City, New York Municipal Water Finance Authority Revenue Bonds, (BABs), Series 2010
5.440% due 06/15/2043			700			876
						5,212

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
OHIO 3.9%
American Municipal Power, Inc. Ohio Revenue Bonds, (BABs), Series 2010
8.084% due 02/15/2050	$		1,000	$		1,436
PENNSYLVANIA 3.2%
Pennsylvania Turnpike Commission Revenue Bonds, (BABs), Series 2010
5.511% due 12/01/2045			1,000			1,183
TEXAS 4.0%
Dallas Convention Center Hotel Development Corp., Texas Revenue Bonds, (BABs), Series 2009
7.088% due 01/01/2042			290			344
North Texas Tollway Authority Revenue Bonds, (BABs), Series 2010
8.910% due 02/01/2030			1,000			1,154
						1,498
WASHINGTON 1.8%
Washington Biomedical Research Facilities 3 Revenue Bonds, (BABs), Series 2010
6.516% due 07/01/2042			500			681
Total Municipal Bonds & Notes (Cost $32,241)						34,824
SHORT-TERM INSTRUMENTS 5.4%
REPURCHASE AGREEMENTS 5.1%
JPMorgan Securities, Inc.
0.200% due 07/02/2012			1,700			1,700
(Dated 06/29/2012. Collateralized by U.S. Treasury Notes 1.500% due 07/31/2016 valued at $1,736. Repurchase proceeds are $1,700.)
State Street Bank and Trust Co.
0.010% due 07/02/2012			201			201
(Dated 06/29/2012. Collateralized by U.S. Treasury Bonds 5.375% due 02/15/2031 valued at $207. Repurchase proceeds are $201.)
						1,901
U.S. TREASURY BILLS 0.3%
0.183% due 05/30/2013			100			100
Total Short-Term Instruments (Cost $2,001)						2,001
Total Investments 99.3% (Cost $34,242)				$		36,825
Other Assets and Liabilities (Net) 0.7%						276
Net Assets 100.0%				$		37,101

Notes to Schedule of Investments (amounts in thousands):

(a) Fair Value Measurements ⁽¹⁾

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 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 06/30/2012
Investments, at value
Municipal Bonds & Notes
California	$	0	$	14,597	$	0	$	14,597
District of Columbia		0		897		0		897
Georgia		0		918		0		918
Illinois		0		4,652		0		4,652

See Accompanying Notes ANNUAL REPORT JUNE 30, 2012 65

Schedule of Investments PIMCO Build America Bond Strategy Fund (Cont.)

June 30, 2012

Category and Subcategory (3)	Level 1  (4)		Level 2  (5)		Level 3  (6)		Fair Value at 06/30/2012
Minnesota	$	0	$	515	$	0	$	515
Nebraska		0		356		0		356
New Jersey		0		2,879		0		2,879
New York		0		5,212		0		5,212
Ohio		0		1,436		0		1,436
Pennsylvania		0		1,183		0		1,183
Texas		0		1,498		0		1,498
Washington		0		681		0		681
Short-Term Instruments
Repurchase Agreements		0		1,901		0		1,901
U.S. Treasury Bills		0		100		0		100
	$	0	$	36,825	$	0	$	36,825

⁽¹⁾  See note 3 in the Notes to Financial Statements for more information regarding pricing inputs and valuation techniques.

⁽²⁾  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2012.

⁽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.

66 PIMCO ETF TRUST See Accompanying Notes

Schedule of Investments PIMCO Enhanced Short Maturity Strategy Fund

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
CORPORATE BONDS & NOTES 62.8%
BANKING & FINANCE 28.2%
Achmea Hypotheekbank NV
0.816% due 11/03/2014	$		500	$		497
American Express Credit Corp.
2.750% due 09/15/2015			4,100			4,282
American Honda Finance Corp.
0.916% due 05/08/2014			2,000			2,004
1.450% due 02/27/2015			13,775			13,838
American International Group, Inc.
3.750% due 11/30/2013			3,000			3,038
4.250% due 05/15/2013			4,000			4,084
Arbejdernes Landsbank
1.019% due 07/09/2013			2,500			2,509
Bank of Montreal
1.300% due 10/31/2014			7,500			7,607
Bank of Nova Scotia
1.250% due 11/07/2014			3,900			3,952
1.450% due 07/26/2014			7,575			7,656
1.750% due 03/22/2017			5,300			5,415
1.950% due 01/30/2017			1,400			1,444
Boston Properties LP
6.250% due 01/15/2013			630			647
BRFkredit A/S
0.717% due 04/15/2013			3,400			3,401
Caisse Centrale Desjardins du Quebec
1.600% due 03/06/2017			1,400			1,417
2.550% due 03/24/2016			10,000			10,541
Canadian Imperial Bank of Commerce
0.900% due 09/19/2014			16,480			16,571
1.500% due 12/12/2014			15,000			15,283
2.000% due 02/04/2013			25,000			25,234
2.600% due 07/02/2015			4,700			4,947
Caterpillar Financial Services Corp.
1.050% due 03/26/2015			2,210			2,225
Citigroup, Inc.
0.593% due 03/07/2014			2,175			2,110
Commonwealth Bank of Australia
0.916% due 07/23/2014			5,000			5,027
2.900% due 09/17/2014			6,000			6,283
DanFin Funding Ltd.
1.167% due 07/16/2013			28,500			28,610
DNB Boligkreditt A/S
2.100% due 10/14/2016			5,000			5,107
EnCana Holdings Finance Corp.
5.800% due 05/01/2014			9,320			10,036
Export-Import Bank of Korea
2.268% due 03/21/2015			7,000			6,990
FIH Erhvervsbank A/S
0.838% due 06/13/2013			5,400			5,402
Ford Motor Credit Co. LLC
7.000% due 10/01/2013			6,328			6,768
7.500% due 08/01/2012			400			402
8.700% due 10/01/2014			5,100			5,819
General Electric Capital Corp.
0.468% due 09/20/2013			1,000			987
0.588% due 06/20/2013			4,000			3,932
Goldman Sachs Group, Inc.
1.061% due 09/29/2014			1,225			1,177
1.466% due 07/29/2013			7,059			7,024
4.750% due 07/15/2013			7,025			7,225

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
5.250% due 10/15/2013	$		580	$		603
5.500% due 11/15/2014			250			264
HSBC Bank PLC
1.625% due 07/07/2014 (a)			6,900			6,960
HSBC Finance Corp.
0.717% due 01/15/2014			545			539
6.375% due 11/27/2012			9,971			10,183
ICICI Bank Ltd.
2.217% due 02/24/2014			400			388
6.625% due 10/03/2012			5,000			5,055
John Deere Capital Corp.
0.638% due 06/16/2014			600			602
0.705% due 04/25/2014			15,000			15,022
Macquarie Bank Ltd.
3.300% due 07/17/2014			4,000			4,209
4.100% due 12/17/2013			16,100			16,919
Merrill Lynch & Co., Inc.
5.450% due 02/05/2013			3,000			3,061
Metropolitan Life Global Funding
5.125% due 06/10/2014			3,902			4,187
Monumental Global Funding Ltd.
0.636% due 10/25/2013			1,250			1,241
Morgan Stanley
2.875% due 07/28/2014			250			248
National Australia Bank Ltd.
0.969% due 07/08/2014			11,300			11,404
National Bank of Canada
1.650% due 01/30/2014			6,800			6,919
Nationwide Building Society
5.500% due 07/18/2012			7,000			7,014
Network Rail Infrastructure Finance PLC
0.488% due 06/14/2013			8,000			7,999
NIBC Bank NV
0.847% due 12/02/2014			5,290			5,246
2.800% due 12/02/2014			6,400			6,645
Nordea Bank AB
1.367% due 01/14/2014			600			600
Nordea Eiendomskreditt A/S
0.889% due 04/07/2015			7,710			7,708
1.875% due 04/07/2014			13,925			14,142
Pricoa Global Funding
0.661% due 09/27/2013			3,600			3,586
Prudential Covered Trust
2.997% due 09/30/2015			12,000			12,201
SLM Corp.
5.125% due 08/27/2012			2,900			2,911
SSIF Nevada LP
1.167% due 04/14/2014			5,000			4,969
Stadshypotek AB
1.011% due 09/30/2013			11,010			11,007
1.450% due 09/30/2013			5,000			5,041
Standard Chartered PLC
1.417% due 05/12/2014			850			850
3.200% due 05/12/2016			3,260			3,337
3.850% due 04/27/2015			4,900			5,130
5.500% due 11/18/2014			350			381
Svensk Exportkredit AB
1.118% due 03/09/2015			15,000			15,079
1.217% due 08/14/2014			1,000			1,002

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Swedbank Hypotek AB
0.911% due 03/28/2014	$		12,230	$		12,211
2.950% due 03/28/2016			3,800			3,962
TIAA Global Markets, Inc.
4.950% due 07/15/2013			3,000			3,119
Toronto-Dominion Bank
0.875% due 09/12/2014 (a)			9,700			9,748
1.625% due 09/14/2016			6,000			6,120
Union Bank N.A.
2.125% due 12/16/2013			2,700			2,742
WCI Finance LLC
5.400% due 10/01/2012			2,000			2,020
Westpac Banking Corp.
2.900% due 09/10/2014			1,000			1,047
						483,112
INDUSTRIALS 28.4%
Altria Group, Inc.
8.500% due 11/10/2013			25			28
Amgen, Inc.
1.875% due 11/15/2014			10,000			10,162
2.300% due 06/15/2016			3,000			3,087
4.850% due 11/18/2014			3,200			3,477
Anadarko Petroleum Corp.
7.625% due 03/15/2014			3,000			3,294
Anglo American Capital PLC
2.150% due 09/27/2013			4,830			4,868
9.375% due 04/08/2014			8,539			9,608
Anheuser-Busch InBev Worldwide, Inc.
1.016% due 01/27/2014			7,770			7,837
2.500% due 03/26/2013			2,400			2,434
5.375% due 11/15/2014			3,100			3,420
Barrick Gold Corp.
1.750% due 05/30/2014			6,965			7,054
Barrick Gold Financeco LLC
6.125% due 09/15/2013			2,650			2,815
BAT International Finance PLC
8.125% due 11/15/2013			2,175			2,373
BHP Billiton Finance USA Ltd.
5.500% due 04/01/2014			1,230			1,333
Boston Scientific Corp.
4.500% due 01/15/2015			5,300			5,652
5.450% due 06/15/2014			10,213			10,951
Broadcom Corp.
1.500% due 11/01/2013			500			506
Canadian Natural Resources Ltd.
5.150% due 02/01/2013			4,128			4,233
5.450% due 10/01/2012			12,140			12,282
Canadian Oil Sands Ltd.
5.800% due 08/15/2013			1,000			1,044
Cisco Systems, Inc.
0.718% due 03/14/2014			50			50
Clorox Co.
5.000% due 03/01/2013			5,500			5,656
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/2013			6,400			6,747
Comcast Cable Holdings LLC
7.875% due 08/01/2013			1,000			1,068
Covidien International Finance S.A.
1.350% due 05/29/2015			5,500			5,512
1.875% due 06/15/2013			4,890			4,939
2.800% due 06/15/2015			2,000			2,083

See Accompanying Notes ANNUAL REPORT JUNE 30, 2012 67

Schedule of Investments PIMCO Enhanced Short Maturity Strategy Fund(Cont.)

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
COX Communications, Inc.
4.625% due 06/01/2013	$		2,885	$		2,987
5.450% due 12/15/2014			4,700			5,175
5.500% due 10/01/2015			792			892
7.125% due 10/01/2012			4,265			4,329
CSN Islands Corp.
9.750% due 12/16/2013			2,900			3,197
CSX Corp.
5.300% due 02/15/2014			400			426
Daimler Finance North America LLC
1.071% due 03/28/2014			8,450			8,434
1.668% due 09/13/2013			1,500			1,509
Deutsche Telekom International Finance BV
5.250% due 07/22/2013			1,970			2,057
Diageo Capital PLC
7.375% due 01/15/2014			1,100			1,211
Dow Chemical Co.
6.000% due 10/01/2012			3,360			3,401
6.850% due 08/15/2013			3,060			3,244
7.600% due 05/15/2014			8,050			8,966
Eaton Corp.
0.798% due 06/16/2014			800			803
Encana Corp.
4.750% due 10/15/2013			4,200			4,373
Energy Transfer Partners LP
8.500% due 04/15/2014			689			763
Ensco PLC
3.250% due 03/15/2016			4,000			4,205
Enterprise Products Operating LLC
4.600% due 08/01/2012			6,000			6,018
5.900% due 04/15/2013			2,500			2,589
EOG Resources, Inc.
1.216% due 02/03/2014			1,020			1,029
6.125% due 10/01/2013			120			128
Express Scripts Holding Co.
2.750% due 11/21/2014			5,000			5,111
Gazprom OAO Via RBS AG
9.625% due 03/01/2013			3,180			3,340
General Mills, Inc.
0.816% due 05/16/2014			25			25
5.650% due 09/10/2012			1,052			1,061
Georgia-Pacific LLC
8.250% due 05/01/2016			6,400			7,066
Gilead Sciences, Inc.
2.400% due 12/01/2014			8,590			8,859
Harley-Davidson Funding Corp.
5.250% due 12/15/2012			8,600			8,743
Hewlett-Packard Co.
0.747% due 05/24/2013			500			499
Hutchison Whampoa International Ltd.
6.250% due 01/24/2014			1,000			1,072
6.500% due 02/13/2013			9,515			9,821
ICI Wilmington, Inc.
5.625% due 12/01/2013			2,000			2,106
International Business Machines Corp.
0.550% due 02/06/2015			1,150			1,143
Johnson Controls, Inc.
0.876% due 02/04/2014			9,850			9,886
Kinder Morgan Energy Partners LP
5.850% due 09/15/2012			9,150			9,239
Kraft Foods Group, Inc.
1.625% due 06/04/2015			1,500			1,517

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Kraft Foods, Inc.
1.344% due 07/10/2013	$		4,350	$		4,367
2.625% due 05/08/2013			3,500			3,553
5.250% due 10/01/2013			2,500			2,633
6.000% due 02/11/2013			3,150			3,247
6.750% due 02/19/2014			1,500			1,644
Kroger Co.
5.000% due 04/15/2013			2,400			2,473
Midcontinent Express Pipeline LLC
5.450% due 09/15/2014			2,000			2,006
NBCUniversal Media LLC
2.100% due 04/01/2014			3,500			3,564
2.875% due 04/01/2016			2,556			2,669
3.650% due 04/30/2015			1,300			1,382
Newell Rubbermaid, Inc.
2.000% due 06/15/2015			1,500			1,506
Nissan Motor Acceptance Corp.
3.250% due 01/30/2013			1,400			1,414
Occidental Petroleum Corp.
1.450% due 12/13/2013			160			162
Pearson Dollar Finance PLC
5.500% due 05/06/2013			5,240			5,428
5.700% due 06/01/2014			1,200			1,286
Pemex Project Funding Master Trust
1.067% due 12/03/2012			2,000			1,996
Penske Truck Leasing Co. LP
3.125% due 05/11/2015			2,950			2,970
3.750% due 05/11/2017			1,000			1,009
PepsiCo, Inc.
0.800% due 08/25/2014			700			703
Philip Morris International, Inc.
2.500% due 05/16/2016			90			95
4.875% due 05/16/2013			950			985
6.875% due 03/17/2014			12,155			13,426
Phillips 66
1.950% due 03/05/2015			4,050			4,082
Rexam PLC
6.750% due 06/01/2013			3,000			3,098
Reynolds American, Inc.
7.250% due 06/01/2013			3,810			4,023
Rio Tinto Finance USA Ltd.
5.875% due 07/15/2013			1,075			1,130
8.950% due 05/01/2014			6,140			7,015
Rio Tinto Finance USA PLC
1.125% due 03/20/2015			4,000			4,012
Rockies Express Pipeline LLC
6.250% due 07/15/2013			3,000			3,098
Rogers Communications, Inc.
5.500% due 03/15/2014			2,870			3,082
6.250% due 06/15/2013			2,265			2,380
6.375% due 03/01/2014			4,075			4,440
SABMiller Holdings, Inc.
1.850% due 01/15/2015			10,000			10,150
Schlumberger Investment S.A.
1.018% due 09/12/2014			4,000			4,006
Spectra Energy Capital LLC
6.250% due 02/15/2013			5,000			5,144
Target Corp.
0.636% due 07/18/2014			500			502
Teck Resources Ltd.
7.000% due 09/15/2012			1,800			1,820
Telefonica Emisiones S.A.U.
0.796% due 02/04/2013			1,100			1,078

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Tesco PLC
2.000% due 12/05/2014	$		2,500	$		2,527
Teva Pharmaceutical Finance BV
0.968% due 03/21/2014			7,400			7,417
Teva Pharmaceutical Finance Co. BV
1.366% due 11/08/2013			7,894			7,958
Time Warner Cable, Inc.
5.400% due 07/02/2012			600			600
6.200% due 07/01/2013			4,000			4,204
Total Capital Canada Ltd.
0.846% due 01/17/2014			3,300			3,317
Total Capital S.A.
4.500% due 02/25/2013			7,000			7,150
Turner Broadcasting System, Inc.
8.375% due 07/01/2013			3,000			3,205
Tyco Electronics Group S.A.
6.000% due 10/01/2012			15,654			15,856
Union Pacific Corp.
5.125% due 02/15/2014			665			709
5.450% due 01/31/2013			2,500			2,569
United Technologies Corp.
0.737% due 12/02/2013			2,500			2,510
0.967% due 06/01/2015			3,200			3,237
UST LLC
6.625% due 07/15/2012			15,010			15,035
Verizon Wireless Capital LLC
7.375% due 11/15/2013			2,600			2,824
VF Corp.
1.217% due 08/23/2013			2,100			2,101
Vivendi S.A.
2.400% due 04/10/2015			3,000			2,973
Volkswagen International Finance NV
1.071% due 04/01/2014			10,730			10,713
1.625% due 08/12/2013			200			202
Wesfarmers Ltd.
2.983% due 05/18/2016			3,800			3,917
6.998% due 04/10/2013			1,400			1,455
WM Wrigley Jr. Co.
3.050% due 06/28/2013			1,785			1,806
Xerox Corp.
1.868% due 09/13/2013			650			655
Xstrata Canada Corp.
7.250% due 07/15/2012			9,431			9,449
						487,704
UTILITIES 6.2%
AK Transneft OJSC Via TransCapitalInvest Ltd.
5.670% due 03/05/2014			3,250			3,438
Appalachian Power Co.
5.650% due 08/15/2012			2,900			2,916
BP Capital Markets PLC
3.125% due 10/01/2015			2,575			2,740
3.875% due 03/10/2015			6,535			7,008
Dominion Resources, Inc.
1.950% due 08/15/2016			2,445			2,495
5.000% due 03/15/2013			1,750			1,802
5.700% due 09/17/2012			9,460			9,557
Duke Energy Carolinas LLC
1.750% due 12/15/2016			9,000			9,243
5.625% due 11/30/2012			310			316
Gazprom OAO Via White Nights Finance BV
10.500% due 03/08/2014			800			899
10.500% due 03/25/2014			8,250			9,268

68 PIMCO ETF TRUST See Accompanying Notes

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
KCP&L Greater Missouri Operations Co.
11.875% due 07/01/2012	$		7,655	$		7,655
Metropolitan Edison Co.
4.950% due 03/15/2013			2,350			2,410
NextEra Energy Capital Holdings, Inc.
2.550% due 11/15/2013			2,085			2,117
Plains All American Pipeline LP
4.250% due 09/01/2012			1,315			1,321
5.625% due 12/15/2013			490			522
5.875% due 08/15/2016			1,000			1,125
Public Service Co. of Colorado
7.875% due 10/01/2012			7,500			7,632
Qtel International Finance Ltd.
6.500% due 06/10/2014			1,500			1,641
Qwest Corp.
3.718% due 06/15/2013			7,910			7,919
Ras Laffan Liquefied Natural Gas Co. Ltd.
4.500% due 09/30/2012			1,200			1,212
5.500% due 09/30/2014			12,300			13,299
Southern California Edison Co.
0.918% due 09/15/2014			4,000			4,019
TNK-BP Finance S.A.
7.500% due 03/13/2013			5,100			5,304
Virginia Electric and Power Co.
5.100% due 11/30/2012			140			143
						106,001
Total Corporate Bonds & Notes (Cost $1,072,721)						1,076,817
CONVERTIBLE BONDS & NOTES 0.1%
INDUSTRIALS 0.1%
Transocean, Inc.
1.500% due 12/15/2037			1,900			1,900
Total Convertible Bonds & Notes (Cost $1,858)						1,900
MUNICIPAL BONDS & NOTES 2.0%
ARKANSAS 0.1%
Arkansas Student Loan Authority Revenue Bonds, Series 2010
1.367% due 11/25/2043			1,597			1,579
CALIFORNIA 0.6%
University of California Revenue Bonds, Series 2011
0.818% due 07/01/2041			6,000			6,000
University of California Revenue Notes, Series 2011
0.887% due 07/01/2013			3,500			3,517
						9,517
NEW JERSEY 0.2%
New Jersey Economic Development Authority Revenue Notes, (BABs), Series 2010
1.468% due 06/15/2013			3,500			3,504
NEW YORK 1.0%
New York City, New York General Obligation Bonds, Series 2003
5.000% due 10/15/2014			3,000			3,291
New York City, New York General Obligation Notes, Series 2007
5.000% due 10/01/2014			6,000			6,566
5.125% due 10/01/2015			7,000			7,944
						17,801

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
SOUTH CAROLINA 0.1%
South Carolina Student Loan Corp. Revenue Notes Series 2010
0.916% due 01/25/2021	$		1,942	$		1,931
Total Municipal Bonds & Notes (Cost $34,310)						34,332
U.S. GOVERNMENT AGENCIES 8.4%
Fannie Mae
0.495% due 05/25/2037			1,009			1,010
0.595% due 11/25/2036			3,002			3,009
0.643% due 04/18/2028 - 09/18/2031			3,331			3,347
0.645% due 06/25/2026			960			966
0.695% due 05/25/2017 - 06/25/2042			9,681			9,700
0.743% due 05/18/2032			858			865
0.745% due 06/25/2031			646			652
0.793% due 03/18/2032			621			623
0.795% due 09/25/2041			14,454			14,527
0.825% due 06/25/2041			7,620			7,656
0.925% due 12/25/2037			2,386			2,405
0.939% due 01/01/2021			3,419			3,429
0.995% due 02/25/2040			1,227			1,239
1.095% due 07/25/2038			2,352			2,380
3.970% due 11/27/2019 (a)			15,000			15,194
4.404% due 09/01/2013			260			266
4.607% due 04/01/2014			605			634
6.255% due 09/01/2013			255			269
FDIC Structured Sale Guaranteed Notes
0.745% due 11/29/2037			1,642			1,634
Freddie Mac
0.482% due 05/15/2036			697			697
0.562% due 02/15/2037			3,831			3,837
0.592% due 12/15/2030 - 06/15/2034			13,537			13,547
0.642% due 06/15/2033			6			6
0.662% due 04/15/2041			3,191			3,201
0.742% due 07/15/2039			1,500			1,507
Ginnie Mae
0.544% due 09/20/2033			243			244
0.789% due 04/20/2062			8,001			8,040
0.939% due 02/20/2062			10,001			10,136
1.289% due 02/20/2062			7,998			8,253
5.074% due 10/16/2027			253			256
6.000% due 12/15/2033			83			96
6.500% due 11/15/2033 - 12/15/2034			106			122
7.000% due 01/15/2024 - 11/15/2032			349			413
7.500% due 12/15/2012 - 06/15/2028			468			538
8.500% due 04/15/2030			3			4
10.000% due 02/15/2016 - 04/15/2025			64			70
10.500% due 09/15/2015 - 07/15/2019			4			4
11.000% due 07/15/2013 - 09/20/2019			12			11
11.500% due 01/15/2013 - 11/15/2019			3			2
12.000% due 01/15/2013 - 04/15/2015			2			0
12.500% due 11/15/2013 - 07/15/2015			2			1
13.000% due 08/15/2014 - 09/20/2015			4			4
13.500% due 11/15/2012 - 09/15/2014			1			0

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
NCUA Guaranteed Notes
0.589% due 12/07/2020	$		2,966	$		2,977
0.610% due 11/06/2017			7,988			7,990
0.621% due 03/06/2020			4,891			4,894
0.800% due 12/08/2020			4,386			4,404
1.600% due 10/29/2020			3,476			3,523
Total U.S. Government Agencies (Cost $144,126)						144,582
MORTGAGE-BACKED SECURITIES 5.1%
Banc of America Mortgage Securities, Inc.
3.045% due 03/25/2034			880			868
BCAP LLC Trust
2.713% due 05/26/2036			6,156			6,118
Bear Stearns Adjustable Rate Mortgage Trust
2.738% due 08/25/2033			3,704			3,658
Bear Stearns Commercial Mortgage Securities
4.735% due 09/11/2042			3,483			3,541
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.205% due 12/11/2049			491			500
Commercial Mortgage Pass-Through Certificates
0.342% due 12/15/2020			494			474
4.305% due 12/10/2024			5,220			5,254
4.755% due 12/10/2024			350			352
Credit Suisse First Boston Mortgage Securities Corp.
6.133% due 04/15/2037			176			176
Entertainment Properties Trust
4.239% due 02/15/2018			809			814
Fosse Master Issuer PLC
1.866% due 10/18/2054			4,000			4,024
GS Mortgage Securities Corp.
1.103% due 03/06/2020			210			209
1.260% due 03/06/2020			300			296
1.456% due 03/06/2020			4,000			3,948
5.396% due 08/10/2038			1,000			1,073
Holmes Master Issuer PLC
0.567% due 07/15/2020			12,000			11,999
JPMorgan Chase Commercial Mortgage Securities Corp.
4.928% due 09/12/2037			1,012			1,028
5.247% due 01/12/2043			4,157			4,163
5.289% due 05/15/2045			1,695			1,702
5.352% due 12/15/2044			5,583			5,835
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.592% due 06/15/2022			2,631			2,608
Mellon Residential Funding Corp.
0.942% due 11/15/2031			4,314			4,211
Morgan Stanley Capital, Inc.
5.439% due 02/12/2044			400			421
5.610% due 04/15/2049			361			374
Morgan Stanley Dean Witter Capital
4.740% due 11/13/2036			3,507			3,540
Nationslink Funding Corp.
5.000% due 08/20/2030			1,510			1,545
RBSSP Resecuritization Trust
0.745% due 10/26/2036			1,037			947
2.655% due 12/26/2036			7,577			7,587
2.729% due 05/26/2037			7,267			7,125

See Accompanying Notes ANNUAL REPORT JUNE 30, 2012 69

Schedule of Investments PIMCO Enhanced Short Maturity Strategy Fund(Cont.)

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Wachovia Bank Commercial Mortgage Trust
0.322% due 06/15/2020	$		152	$		142
5.922% due 06/15/2049			2,218			2,285
Total Mortgage-Backed Securities (Cost $86,260)						86,817
ASSET-BACKED SECURITIES 7.8%
ARES CLO Ltd.
1.097% due 11/25/2020			5,000			4,854
Avenue CLO Fund Ltd.
0.817% due 02/15/2017			1,687			1,669
Babson CLO Ltd.
0.787% due 11/15/2016			649			641
Citibank Omni Master Trust
2.992% due 08/15/2018			22,000			23,114
3.350% due 08/15/2016			5,190			5,209
4.900% due 11/15/2018			15,400			16,825
5.350% due 08/15/2018			2,500			2,732
Collegiate Funding Services Education Loan Trust
0.561% due 12/28/2021			1,385			1,375
Education Funding Capital Trust
0.738% due 03/16/2020			492			492
First CLO Ltd.
0.778% due 12/14/2016			94			94
GCO Education Loan Funding Trust
0.547% due 11/25/2020			108			108
Gracechurch Card Funding PLC
0.942% due 02/15/2017			14,400			14,426
Honda Auto Receivables Owner Trust
0.570% due 08/15/2014			5,700			5,703
Hyundai Capital Auto Funding Ltd.
1.243% due 09/20/2016			1,500			1,476
Illinois Student Assistance Commission
0.946% due 04/25/2017			1,009			1,010
MBNA Credit Card Master Note Trust
0.302% due 06/15/2015			2,000			2,000
Nelnet Student Loan Trust
0.528% due 12/22/2016			100			100
Nissan Auto Receivables Owner Trust
0.540% due 10/15/2014			2,000			2,000
Olympic CLO Ltd.
1.217% due 05/15/2016			373			373
Panhandle-Plains Higher Education Authority, Inc.
0.961% due 10/01/2018			595			594
0.961% due 07/01/2021			7,112			7,053
1.591% due 10/01/2035			2,391			2,429
Rockwall CDO Ltd.
0.826% due 08/01/2013			2,917			2,891
SLM Student Loan Trust
0.466% due 07/25/2017			1,275			1,271
0.496% due 10/25/2019			423			423
0.546% due 04/25/2023			2,948			2,939
0.616% due 01/25/2021			5,731			5,724
0.658% due 12/17/2018			5,779			5,777
0.668% due 03/15/2019			1,984			1,984
0.945% due 01/25/2029			9,557			9,656
0.966% due 10/25/2017			3,542			3,554
1.566% due 10/25/2016			2,175			2,195
1.966% due 04/25/2023			1,574			1,627
SMART Trust
0.543% due 11/14/2012			84			84

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Structured Asset Investment Loan Trust
1.245% due 11/25/2033	$		1,874	$		1,412
Total Asset-Backed Securities (Cost $133,583)						133,814
SOVEREIGN ISSUES 4.9%
Emirate of Abu Dhabi Government International Bond
5.500% due 04/08/2014			9,550			10,316
Japan Bank for International Cooperation
2.125% due 11/05/2012			4,235			4,259
Kommunalbanken A/S
0.841% due 03/27/2017			7,000			7,002
Mexico Government International Bond
6.375% due 01/16/2013			7,024			7,238
Poland Government International Bond
6.250% due 07/03/2012			3,850			3,850
Province of Ontario
0.611% due 04/01/2015			7,000			7,000
1.875% due 11/19/2012			7,262			7,302
4.100% due 06/16/2014			6,160			6,576
Province of Quebec
4.600% due 05/26/2015			5,000			5,560
Qatar Government International Bond
5.150% due 04/09/2014			15,875			16,867
Republic of Korea
4.250% due 06/01/2013			7,050			7,245
Total Sovereign Issues (Cost $82,797)						83,215
SHORT-TERM INSTRUMENTS 8.7%
CERTIFICATES OF DEPOSIT 1.7%
Abbey National Treasury Services PLC
1.818% due 06/10/2013			5,300			5,201
Banco do Brasil S.A.
0.000% due 03/26/2013			9,180			9,120
0.000% due 03/28/2013			5,000			4,939
Itau Unibanco Holding S.A.
0.000% due 03/26/2013			10,000			9,828
						29,088
COMMERCIAL PAPER 4.3%
BMW U.S. Capital LLC
0.716% due 07/25/2012			3,300			3,300
BP Capital Markets PLC
0.780% due 04/18/2013			6,500			6,484
British Telecommunications PLC
1.600% due 05/15/2013			1,000			989
1.640% due 05/15/2013			15,600			15,428
Daimler Finance North America LLC
1.130% due 03/15/2013			4,000			3,972
Ford Motor Credit Co.
1.280% due 07/06/2012			4,900			4,899
Korea Development Bank
0.350% due 07/19/2012			2,000			2,000
0.370% due 07/18/2012			2,000			2,000
Newell Rubbermaid, Inc.
1.500% due 10/03/2012			7,000			6,986
Pacific Gas & Electric Co.
0.430% due 07/16/2012			2,900			2,899

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Spectra Energy Capital LLC
0.460% due 07/10/2012	$		5,500	$		5,499
Vodafone Group PLC
1.200% due 06/11/2013			10,000			9,894
Xstrata Finance Canada Ltd.
0.470% due 07/02/2012			4,600			4,600
0.480% due 07/16/2012			4,600			4,599
						73,549
REPURCHASE AGREEMENTS 0.1%
Banc of America Securities LLC
0.170% due 07/02/2012			100			100
(Dated 06/29/2012. Collateralized by U.S. Treasury Notes 0.250% due 04/30/2014 valued at $103. Repurchase proceeds are $100.)
JPMorgan Securities, Inc.
0.200% due 07/02/2012			2,000			2,000
(Dated 06/29/2012. Collateralized by U.S. Treasury Notes 1.500% due 07/31/2016 valued at $2,042. Repurchase proceeds are $2,000.)
						2,100
SHORT-TERM NOTES 2.6%
Holmes Master Issuer PLC
0.372% due 07/15/2012			6,000			6,008
0.442% due 01/15/2013			17,000			17,029
Pacific Gas & Electric Co.
0.917% due 11/20/2012			14,340			14,365
University of California Revenue Notes, Series 2011
0.480% due 07/01/2012			8,000			8,000
						45,402
Total Short-Term Instruments (Cost $149,979)						150,139
Total Investments 99.8% (Cost $1,705,634)				$		1,711,616
Other Assets and Liabilities (Net) 0.2%						3,726
Net Assets 100.0%				$		1,715,342

70 PIMCO ETF TRUST See Accompanying Notes

June 30, 2012

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

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

(a) On June 30, 2012, securities valued at $31,350 were pledged as collateral for the following open reverse repurchase agreements.

Counterparty	Coupon Rate  (1)			Settlement Date		Maturity Date		Principal Amount		Payable for Reverse Repurchase Agreements
BCY		(1.000	%)		06/06/2012		07/03/2012	$	11,738	$	(11,738	)
		(1.000	%)		06/26/2012		06/05/2014		1,743		(1,743	)
DEU		0.280	%		06/27/2012		07/02/2012		11,003		(11,003	)
		(0.750	%)		11/28/2011		11/28/2013		2,408		(2,397	)
SAL		(1.000	%)		06/25/2012		06/22/2014		3,909		(3,908	)
										$	(30,789	)

⁽¹⁾ The average amount of borrowings while outstanding during the period ended June 30, 2012 was $13,041 at a weighted average interest rate of (0.614%).

(b) Fair Value Measurements ⁽¹⁾

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 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 06/30/2012
Investments, at value
Corporate Bonds & Notes
Banking & Finance	$	0	$	483,112	$	0	$	483,112
Industrials		0		487,704		0		487,704
Utilities		0		106,001		0		106,001
Convertible Bonds & Notes
Industrials		0		1,900		0		1,900
Municipal Bonds & Notes
Arkansas		0		1,579		0		1,579
California		0		9,517		0		9,517
New Jersey		0		3,504		0		3,504
New York				17,801				17,801
South Carolina		0		1,931		0		1,931
U.S. Government Agencies		0		119,160		25,422		144,582
Mortgage-Backed Securities		0		86,817		0		86,817
Asset-Backed Securities		0		129,447		4,367		133,814
Sovereign Issues		0		83,215		0		83,215
Short-Term Instruments
Certificates of Deposit		0		29,088		0		29,088
Commercial Paper		0		73,549		0		73,549
Repurchase Agreements		0		2,100		0		2,100
Short-Term Notes		0		45,402		0		45,402
	$	0	$	1,681,827	$	29,789	$	1,711,616

See Accompanying Notes ANNUAL REPORT JUNE 30, 2012 71

Schedule of Investments PIMCO Enhanced Short Maturity Strategy Fund(Cont.)

June 30, 2012

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2012:

Category and Subcategory (3)	Beginning Balance at 06/30/2011		Net Purchases		Net Sales			Accrued Discounts/ (Premiums)			Realized Gain/ (Loss)		Net Change in Unrealized Appreciation/ (Depreciation) (7)			Transfers into Level 3		Transfers out of Level 3		Ending Balance at 06/30/2012		Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 06/30/2012 (7)
Investments, at value
Corporate Bonds & Notes
Banking & Finance	$	8,586	$	0	$	(8,600	)	$	0		$	0	$	14		$	0	$	0	$	0	$	0
Industrials		5,663		3,748		(9,293	)		(132	)		0		14			0		0		0		0
U.S. Government Agencies		27,590		0		(5,677	)		0			0		(14	)		3,523		0		25,422		(10	)
Asset-Backed Securities		1,490		3,475		(583	)		13			4		(32	)		0		0		4,367		(32	)
Totals	$	43,329	$	7,223	$	(24,153	)	$	(119	)	$	4	$	(18	)	$	3,523	$	0	$	29,789	$	(42	)

⁽¹⁾  See note 3 in the Notes to Financial Statements for more information regarding pricing inputs and valuation techniques.

⁽²⁾  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2012.

⁽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⁾  Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2012 may be due to an investment no longer held or categorized as level 3 at period end.

72 PIMCO ETF TRUST See Accompanying Notes

Schedule of Investments PIMCO Global Advantage^® Inflation-Linked Bond Strategy Fund

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
AUSTRALIA 4.7%
SOVEREIGN ISSUES 4.7%
Australia Government CPI Linked Bond
1.250% due 02/21/2022	AUD		500	$		544
3.000% due 09/20/2025			340			481
4.000% due 08/20/2020			150			296
Total Australia (Cost $1,284)						1,321
BRAZIL 11.0%
SOVEREIGN ISSUES 11.0%
Brazil Notas do Tesouro Nacional (a)
6.000% due 08/15/2020	BRL		632			750
6.000% due 08/15/2024			597			724
6.000% due 08/15/2030			455			565
6.000% due 05/15/2045			820			1,063
Total Brazil (Cost $3,300)						3,102
CANADA 7.3%
SOVEREIGN ISSUES 7.3%
Canada Government Bond (a)
4.250% due 12/01/2021	CAD		1,471			2,053
Total Canada (Cost $2,082)						2,053
FRANCE 2.0%
SOVEREIGN ISSUES 2.0%
France Government Bond (a)
1.300% due 07/25/2019	EUR		423			560
Total France (Cost $580)						560
GERMANY 5.7%
SOVEREIGN ISSUES 5.7%
Republic of Germany (a)
0.750% due 04/15/2018	EUR		681			911
1.750% due 04/15/2020			486			706
Total Germany (Cost $1,728)						1,617
ISRAEL 1.8%
SOVEREIGN ISSUES 1.8%
Israel Government Bond (a)
3.000% due 10/31/2019	ILS		1,710			516
Total Israel (Cost $532)						516

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
ITALY 4.0%
SOVEREIGN ISSUES 4.0%
Italy Buoni Poliennali Del Tesoro
2.100% due 09/15/2021 (a)	EUR		427	$		425
5.500% due 09/01/2022			570			710
Total Italy (Cost $1,192)						1,135
JAPAN 6.8%
SOVEREIGN ISSUES 6.8%
Japan Government International CPI Linked Bond
1.400% due 06/10/2018	JPY		138,880			1,910
Total Japan (Cost $1,900)						1,910
MEXICO 16.8%
SOVEREIGN ISSUES 16.8%
Mexico Government International Bond (a)
2.500% due 12/10/2020	MXN		21,907			1,770
4.000% due 11/15/2040			8,986			799
4.500% due 12/04/2025			3,983			387
5.000% due 06/16/2016			20,342			1,779
Total Mexico (Cost $4,572)						4,735
SOUTH AFRICA 5.4%
SOVEREIGN ISSUES 5.4%
South Africa Government International Bond (a)
2.750% due 01/31/2022	ZAR		7,543			984
5.500% due 12/07/2023			3,204			540
Total South Africa (Cost $1,561)						1,524
SWEDEN 1.0%
SOVEREIGN ISSUES 1.0%
Sweden Government Bond CPI Linked Bond
0.250% due 06/01/2022	SEK		1,800			269
Total Sweden (Cost $272)						269
UNITED KINGDOM 3.9%
CORPORATE BONDS & NOTES 0.8%
Network Rail Infrastructure Finance PLC (a)
1.375% due 11/22/2037	GBP		119			235
SOVEREIGN ISSUES 3.1%
United Kingdom Gilt (a)
0.375% due 03/22/2062			51			92
0.625% due 11/22/2042			57			105

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
0.750% due 03/22/2034	GBP		104	$		190
1.125% due 11/22/2037			120			240
1.875% due 11/22/2022			118			234
						861
Total United Kingdom (Cost $1,124)						1,096
UNITED STATES 17.8%
U.S. TREASURY OBLIGATIONS 17.8%
U.S. Treasury Inflation Protected Securities (a)
0.125% due 04/15/2016	$		1,042			1,086
0.125% due 01/15/2022			2,440			2,587
0.750% due 02/15/2042			204			215
2.375% due 01/15/2025			732			967
2.500% due 01/15/2029			107			149
Total United States (Cost $4,980)						5,004
SHORT-TERM INSTRUMENTS 12.3%
REPURCHASE AGREEMENTS 7.3%
JPMorgan Securities, Inc.
0.200% due 07/02/2012			1,800			1,800
(Dated 06/29/2012. Collateralized by U.S. Treasury Notes 1.500% due 07/31/2016 valued at $1,838. Repurchase proceeds are $1,800.)
State Street Bank and Trust Co.
0.010% due 07/02/2012			259			259
(Dated 06/29/2012. Collateralized by U.S. Treasury Notes 2.000% due 11/15/2021 valued at $265. Repurchase proceeds are $259.)
						2,059
SHORT-TERM NOTES 5.0%
Freddie Mac
0.162% due 12/10/2012 - 12/17/2012			1,400			1,399
Total Short-Term Instruments (Cost $3,458)						3,458
Total Investments 100.5% (Cost $28,565)				$		28,300
Other Assets and Liabilities (Net) (0.5%)						(144	)
Net Assets 100.0%				$		28,156

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

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

(a) Principal amount of security is adjusted for inflation.

See Accompanying Notes ANNUAL REPORT JUNE 30, 2012 73

Schedule of Investments PIMCO Global Advantage^® Inflation-Linked Bond Strategy Fund(Cont.)

(b) Foreign currency contracts outstanding on June 30, 2012:

Settlement Month		Currency to be Delivered		Currency to be Received		Counterparty		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
	07/2012	AUD	666	$	648		JPM	$	0	$	(33	)	$	(33	)
	07/2012		14		14		MSC		0		(1	)		(1	)
	07/2012	ILS	77		20		UAG		0		0			0
	07/2012	$	20	ILS	77		BRC		0		0			0
	07/2012		10	ZAR	84		DUB		0		0			0
	07/2012	ZAR	3,849	$	456		BRC		0		(13	)		(13	)
	07/2012		2,395		300		DUB		9		(1	)		8
	08/2012	BRL	61		30		BRC		0		0			0
	08/2012		35		17		GSC		0		0			0
	08/2012		12		6		HUS		0		0			0
	08/2012	MXN	24,564		1,861		JPM		27		0			27
	08/2012	$	599	BRL	1,170		BRC		0		(20	)		(20	)
	08/2012		210		438		HUS		7		0			7
	08/2012		700		1,395		MSC		0		(10	)		(10	)
	08/2012		30		62		UAG		1		0			1
	08/2012		90	CLP	45,243		BRC		0		0			0
	08/2012		75		36,795		HUS		0		(2	)		(2	)
	08/2012		90		43,884		JPM		0		(3	)		(3	)
	08/2012		90		44,033		MSC		0		(3	)		(3	)
	08/2012		155		76,136		UAG		0		(4	)		(4	)
	08/2012		20	MXN	272		DUB		1		0			1
	08/2012		170		2,359		JPM		7		0			7
	09/2012	CAD	1,199	$	1,166		UAG		0		(9	)		(9	)
	09/2012	GBP	292		451		BPS		0		(6	)		(6	)
	09/2012		64		99		RYL		0		(1	)		(1	)
	09/2012	$	141	EUR	112		BPS		1		0			1
	09/2012		429		344		CBK		6		0			6
	09/2012		1,771		1,420		JPM		27		0			27
	09/2012		231	GBP	149		BRC		2		0			2
	09/2012		467		300		DUB		3		0			3
	09/2012		236		152		MSC		2		0			2
	09/2012		508	JPY	39,777		BPS		0		(10	)		(10	)
	10/2012		20	ILS	77		UAG		0		0			0
								$	93	$	(116	)	$	(23	)

(c) Fair Value Measurements ⁽¹⁾

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 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 06/30/2012
Investments, at value
Australia
Sovereign Issues	$	0	$	1,321	$	0	$	1,321
Brazil
Sovereign Issues		0		3,102		0		3,102
Canada
Sovereign Issues		0		2,053		0		2,053
France
Sovereign Issues		0		560		0		560
Germany
Sovereign Issues		0		1,617		0		1,617

74 PIMCO ETF TRUST See Accompanying Notes

June 30, 2012

Category and Subcategory (3)	Level 1  (4)		Level 2  (5)			Level 3  (6)		Fair Value at 06/30/2012
Israel
Sovereign Issues	$	0	$	516		$	0	$	516
Italy
Sovereign Issues		0		1,135			0		1,135
Japan
Sovereign Issues		0		1,910			0		1,910
Mexico
Sovereign Issues		0		4,735			0		4,735
South Africa
Sovereign Issues		0		1,524			0		1,524
Sweden
Sovereign Issues		0		269			0		269
United Kingdom
Corporate Bonds & Notes		0		235			0		235
Sovereign Issues		0		861			0		861
United States
U.S. Treasury Obligations		0		5,004			0		5,004
Short-Term Instruments
Repurchase Agreements		0		2,059			0		2,059
Short-Term Notes		0		1,399			0		1,399
	$	0	$	28,300		$	0	$	28,300
Financial Derivative Instruments (7) - Assets
Foreign Exchange Contracts	$	0	$	93		$	0	$	93
Financial Derivative Instruments (7) - Liabilities
Foreign Exchange Contracts	$	0	$	(116	)	$	0	$	(116	)
Totals	$	0	$	28,277		$	0	$	28,277

⁽¹⁾  See note 3 in the Notes to Financial Statements for more information regarding pricing inputs and valuation techniques.

⁽²⁾  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2012.

⁽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.

(d) Fair Value of Financial Derivative Instruments ⁽¹⁾

The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure:

Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2012:

	Derivatives not accounted for as hedging instruments
	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Exchange Contracts		Interest Rate Contracts		Total
Assets:
Unrealized appreciation on foreign currency contracts	$	0	$	0	$	0	$	93	$	0	$	93
Liabilities:
Unrealized depreciation on foreign currency contracts	$	0	$	0	$	0	$	116	$	0	$	116

See Accompanying Notes ANNUAL REPORT JUNE 30, 2012 75

Schedule of Investments PIMCO Global Advantage^® Inflation-Linked Bond Strategy Fund(Cont.)

June 30, 2012

The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2012:

	Derivatives not accounted for as hedging instruments
	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Exchange Contracts			Interest Rate Contracts		Total
Realized (Loss) on Derivatives Recognized as a Result from Operations:
Net realized (loss) on foreign currency transactions	$	0	$	0	$	0	$	(9	)	$	0	$	(9	)
Net Change in Unrealized (Depreciation) on Derivatives Recognized as a Result of Operations:
Net change in unrealized (depreciation) on translation of assets and liabilities denominated in foreign currencies	$	0	$	0	$	0	$	(23	)	$	0	$	(23	)

⁽¹⁾  See note 6 in the Notes to Financial Statements for additional information.

(e) Collateral (Received)/Pledged for OTC Financial Derivative Instruments

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of June 30, 2012:

Counterparty	Total Market Value of OTC Derivatives			Collateral (Received)/ Pledged		Net Exposures  (1)
BPS	$	(15	)	$	0	$	(15	)
BRC		(31	)		0		(31	)
CBK		6			0		6
DUB		12			0		12
HUS		5			0		5
JPM		25			0		25
MSC		(12	)		0		(12	)
RYL		(1	)		0		(1	)
UAG		(12	)		0		(12	)

⁽¹⁾  Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. See note 7, Principal Risks, in the Notes to Financial Statements for more information regarding credit and counterparty risks.

76 PIMCO ETF TRUST See Accompanying Notes

Schedule of Investments PIMCO Intermediate Municipal Bond Strategy Fund

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
MUNICIPAL BONDS & NOTES 99.1%
ALASKA 0.6%
Valdez, Alaska Revenue Bonds, Series 2003
5.000% due 01/01/2014	$		850	$		904
ARIZONA 1.4%
Arizona State University Revenue Notes, Series 2008
5.250% due 07/01/2016			400			466
Arizona Water Infrastructure Finance Authority Revenue Bonds, Series 2012
5.000% due 10/01/2022			1,350			1,703
						2,169
CALIFORNIA 13.7%
California Health Facilities Financing Authority Revenue Bonds, Series 2009
6.000% due 07/01/2039			1,000			1,156
California State Department of Water Resources Revenue Notes, Series 2010
5.000% due 05/01/2018			500			605
5.000% due 05/01/2019			1,040			1,276
California State General Obligation Bonds, (NPFGC/FGIC Insured), Series 2004
5.250% due 07/01/2014			750			821
California State General Obligation Bonds, Series 2009
5.000% due 07/01/2020			500			599
California State General Obligation Notes, Series 2009
5.000% due 07/01/2018			500			603
California State General Obligation Notes, Series 2010
5.000% due 11/01/2019			500			599
Carlsbad Unified School District, California General Obligation Notes, Series 2009
0.000% due 05/01/2014			250			246
Irvine Ranch Water District, California General Obligation Bonds, Series 2009
0.170% due 10/01/2041			2,200			2,200
Los Angeles Unified School District, California Certificates of Participation Notes, Series 2010
5.000% due 12/01/2017			1,500			1,743
Metropolitan Water District of Southern California Revenue Bonds, Series 2012
5.000% due 10/01/2026			1,500			1,828
Mount San Antonio Community College District, California General Obligation Bonds, (NPFGC Insured), Series 2005
0.000% due 08/01/2016			1,000			931
Newport Beach, California Revenue Bonds, Series 2009
5.000% due 12/01/2038			1,000			1,026
Orange County, California Airport Revenue Notes, Series 2009
4.000% due 07/01/2018			500			571
Pleasanton Unified School District, California Certificates of Participation Notes, (AGM Insured), Series 2010
3.500% due 08/01/2015			450			475
San Diego County, California Regional Airport Authority Revenue Notes, Series 2010
4.000% due 07/01/2016			720			803
San Francisco, California City & County Airports Commission Revenue Notes, Series 2010
5.000% due 05/01/2017			1,000			1,171
San Jose, California Hotel Tax Revenue Notes, Series 2011
5.000% due 05/01/2017			1,115			1,234

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
San Juan Unified School District, California General Obligation Bonds, (AGM Insured), Series 2001
0.000% due 08/01/2017	$		750	$		678
Southern California Public Power Authority Revenue Bonds, Series 2007
5.250% due 11/01/2020			575			625
University of California Revenue Bonds, Series 2009
5.000% due 05/15/2020			1,000			1,203
University of California Revenue Notes, Series 2010
5.000% due 05/15/2018			500			596
						20,989
COLORADO 0.8%
Denver, Colorado City & County Revenue Bonds, (NPFGC/FGIC Insured), Series 2006
4.000% due 11/15/2016			265			296
Denver, Colorado City & County Revenue Notes, Series 2009
5.000% due 11/15/2016			250			289
Glenwood Springs, Colorado Revenue Notes, Series 2010
5.000% due 10/01/2018			500			580
						1,165
CONNECTICUT 3.5%
Connecticut State Health & Educational Facility Authority Revenue Bonds, Series 2011
5.000% due 07/01/2032			5,000			5,402
FLORIDA 7.7%
Citizens Property Insurance Corp., Florida Revenue Notes, Series 2010
5.000% due 06/01/2016			750			835
Citizens Property Insurance Corp., Florida Revenue Notes, Series 2011
5.000% due 06/01/2019			1,000			1,131
Citizens Property Insurance Corp., Florida Revenue Notes, Series 2012
5.000% due 06/01/2019			1,000			1,131
Florida Municipal Power Agency Revenue Notes, Series 2009
5.000% due 10/01/2015			250			275
Florida State Board of Governors Revenue Notes, Series 2008
5.500% due 07/01/2018			105			127
Florida State JEA Water & Sewer System Revenue Bonds, Series 2012
5.000% due 10/01/2025			1,500			1,758
Inland Protection Financing Corp., Florida Revenue Notes, Series 2010
5.000% due 07/01/2016			500			564
Jacksonville, Florida Revenue Notes, Series 2012
5.000% due 10/01/2021			1,000			1,172
Miami-Dade County, Florida General Obligation Notes, Series 2011
3.000% due 07/01/2017			1,375			1,487
Miami-Dade County, Florida Revenue Notes, Series 2010
4.000% due 07/01/2016			1,000			1,133
Orange County, Florida Health Facilities Authority Revenue Notes, Series 2009
5.000% due 10/01/2015			250			276
Orlando Utilities Commission, Florida Revenue Notes, Series 2010
5.000% due 10/01/2017			250			298

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Palm Beach County, Florida Revenue Bonds, Series 2012
5.000% due 06/01/2023	$		1,300	$		1,582
						11,769
GEORGIA 0.8%
Marietta, Georgia General Obligation Notes, Series 2009
5.000% due 02/01/2018			250			302
Municipal Electric Authority of Georgia Revenue Notes, Series 2010
4.000% due 01/01/2018			350			388
Municipal Electric Authority of Georgia Revenue Notes, Series 2011
3.000% due 01/01/2014			250			259
5.000% due 01/01/2020			250			299
						1,248
ILLINOIS 5.7%
Chicago Board of Education, Illinois General Obligation Bonds, (NPFGC/FGIC Insured), Series 1999
0.000% due 12/01/2016			250			230
Chicago, Illinois Midway Airport Revenue Bonds, Series 2010
5.000% due 01/01/2034			200			216
Chicago, Illinois O’Hare International Airport Revenue Notes, Series 2011
3.000% due 01/01/2014			650			670
Chicago, Illinois Wastewater Transmission Revenue Bonds, (NPFGC Insured), Series 2001
5.500% due 01/01/2017			1,000			1,170
5.500% due 01/01/2018			1,000			1,186
Chicago, Illinois Waterworks Revenue Notes, (AGM Insured), Series 2008
5.000% due 11/01/2016			350			408
Chicago, Illinois Waterworks Revenue Notes, Series 2012
5.000% due 11/01/2020			1,000			1,219
Illinois Finance Authority Revenue Notes, Series 2009
5.000% due 08/15/2015			375			419
Illinois State General Obligation Bonds, (NPFGC Insured), Series 2002
5.250% due 08/01/2012			250			251
Illinois State General Obligation Notes, Series 2004
5.000% due 03/01/2013			1,000			1,029
Illinois State Revenue Notes, Series 2009
4.500% due 06/15/2016			500			567
Illinois State Revenue Notes, Series 2010
5.000% due 06/15/2016			750			866
Railsplitter Tobacco Settlement Authority, Illinois Revenue Notes, Series 2010
5.125% due 06/01/2019			500			576
						8,807
INDIANA 2.9%
Indiana Finance Authority Revenue Bonds, (NPFGC/FGIC Insured), Series 2007
5.000% due 12/01/2017			300			353
Indiana Finance Authority Revenue Notes, Series 2010
4.000% due 11/01/2016			500			558
5.000% due 02/01/2018			500			602
Indiana University Revenue Notes, Series 2012
5.000% due 06/01/2021			1,000			1,260

See Accompanying Notes ANNUAL REPORT JUNE 30, 2012 77

Schedule of Investments PIMCO Intermediate Municipal Bond Strategy Fund (Cont.)

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Indianapolis, Indiana Local Public Improvement Bond Bank Revenue Notes, (AMBAC Insured), Series 2006
5.000% due 01/01/2016	$		300	$		343
Purdue University, Indiana Certificates of Participation Bonds, Series 2006
5.250% due 07/01/2017			640			756
Vincennes University, Indiana Revenue Notes, Series 2010
4.000% due 06/01/2016			500			549
Warsaw Multi-School Building Corp., Indiana Revenue Notes, Series 2008
5.500% due 01/15/2017			100			115
						4,536
IOWA 0.4%
Iowa Higher Education Loan Authority Revenue Notes, Series 2010
4.000% due 12/01/2016			500			566
KANSAS 0.5%
Kansas Development Finance Authority Revenue Notes, Series 2010
5.000% due 11/01/2017			500			598
Wyandotte County-Kansas City, Kansas Unified Government Utility System Revenue Notes, Series 2010
5.000% due 09/01/2015			200			224
						822
KENTUCKY 1.4%
Kentucky Municipal Power Agency Revenue Notes, (AGM Insured), Series 2010
4.000% due 09/01/2016			900			972
Kentucky Turnpike Authority Revenue Notes, Series 2010
5.000% due 07/01/2016			1,000			1,160
						2,132
MASSACHUSETTS 3.8%
Massachusetts Bay Transportation Authority Revenue Bonds, Series 2006
5.500% due 07/01/2017			500			610
Massachusetts Development Finance Agency Revenue Notes, Series 2010
4.000% due 10/01/2016			850			938
Massachusetts Development Finance Agency Revenue Notes, Series 2012
4.000% due 10/01/2015			500			541
5.000% due 10/01/2016			600			681
Massachusetts State College Building Authority Revenue Bonds, Series 2012
5.000% due 05/01/2026			2,000			2,406
Taunton, Massachusetts General Obligation Notes, Series 2009
5.000% due 12/01/2018			510			609
						5,785
MICHIGAN 2.1%
Michigan Finance Authority Revenue Notes, Series 2012
5.000% due 07/01/2017			1,000			1,187
Michigan State Hospital Finance Authority Revenue Bonds, Series 2010
1.500% due 11/15/2047			2,000			2,004
						3,191

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
MINNESOTA 0.7%
Rochester, Minnesota Revenue Bonds, Series 2011
4.000% due 11/15/2030	$		1,000	$		1,147
MISSOURI 2.0%
Missouri Joint Municipal Electric Utility Commission Revenue Notes, (AMBAC Insured), Series 2007
5.000% due 01/01/2016			800			888
Missouri State Health & Educational Facilities Authority Revenue Bonds, Series 1996
0.180% due 09/01/2030			1,000			1,000
Missouri State Health & Educational Facilities Authority Revenue Notes, Series 2010
5.000% due 11/15/2017			1,000			1,155
						3,043
NEW HAMPSHIRE 1.0%
Merrimack County, New Hampshire General Obligation Bonds, Series 2012
5.000% due 12/01/2022			1,115			1,317
New Hampshire Health & Education Facilities Authority Revenue Notes, Series 2009
5.000% due 07/01/2016			250			288
						1,605
NEW JERSEY 5.3%
New Jersey Economic Development Authority Revenue Bonds, (NPFGC Insured), Series 2005
5.250% due 09/01/2016			1,000			1,142
New Jersey Economic Development Authority Revenue Bonds, Series 2012
5.000% due 06/15/2023			1,000			1,111
New Jersey Economic Development Authority Revenue Notes, (AGM Insured), Series 2008
5.000% due 03/01/2014			1,000			1,072
New Jersey Economic Development Authority Revenue Notes, Series 2011
5.000% due 09/01/2018			2,000			2,380
New Jersey Transportation Trust Fund Authority Revenue Bonds, Series 2010
5.000% due 12/15/2023			2,000			2,424
						8,129
NEW MEXICO 0.4%
New Mexico State Revenue Notes, Series 2010
5.000% due 07/01/2017			500			599
NEW YORK 12.1%
Erie County, New York Industrial Development Agency Revenue Bonds, Series 2012
5.000% due 05/01/2022			1,000			1,211
Erie County, New York Industrial Development Agency Revenue Notes, Series 2011
5.000% due 05/01/2015			500			559
Long Island Power Authority, New York Revenue Bonds, Series 2006
5.000% due 12/01/2017			500			582
Metropolitan Transportation Authority, New York Revenue Bonds, Series 2005
5.000% due 11/15/2019			500			600
New York City, New York General Obligation Notes, Series 2011
5.000% due 08/01/2012			750			753
5.000% due 08/01/2017			980			1,163

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2009
5.000% due 06/15/2017	$		895	$		1,068
New York City, New York Transitional Finance Authority Future Tax Secured Revenue Notes, Series 2007
5.000% due 11/01/2015			200			229
New York Liberty Development Corp. Revenue Bonds, Series 2011
0.270% due 12/01/2049			1,000			1,000
New York State Dormitory Authority Revenue Bonds, (NPFGC/FGIC Insured), Series 2005
5.000% due 07/01/2016			370			416
New York State Dormitory Authority Revenue Bonds, Series 2005
5.000% due 03/15/2030			1,635			1,774
New York State Dormitory Authority Revenue Bonds, Series 2011
5.000% due 05/01/2022			2,000			2,347
New York State Dormitory Authority Revenue Notes, Series 2008
5.000% due 07/01/2017			2,000			2,363
New York State Dormitory Authority Revenue Notes, Series 2010
5.000% due 07/01/2019			1,000			1,157
New York State Dormitory Authority Revenue Notes, Series 2011
4.000% due 07/01/2018			815			903
New York State Urban Development Corp. Revenue Notes, Series 2009
5.000% due 12/15/2013			1,000			1,067
New York State Urban Development Corp. Revenue Notes, Series 2010
5.000% due 03/15/2018			500			599
Riverhead Central School District, New York General Obligation Notes, Series 2010
4.000% due 10/01/2017			250			282
Syracuse Industrial Development Agency, New York Revenue Notes, Series 2010
4.000% due 05/01/2017			500			549
						18,622
NORTH CAROLINA 3.9%
Mecklenburg County, North Carolina Certificates of Participation Notes, Series 2009
5.000% due 02/01/2019			300			361
North Carolina Medical Care Commission Revenue Bonds, Series 2012
5.000% due 06/01/2023			1,665			1,911
5.000% due 10/01/2027 (a)			1,100			1,222
North Carolina State Revenue Bonds, Series 2011
5.000% due 11/01/2022			1,500			1,836
Union County, North Carolina Certificates of Participation Bonds, (AMBAC Insured), Series 2006
5.000% due 06/01/2022			360			421
University of North Carolina at Chapel Hill Revenue Notes, Series 2005
5.000% due 02/01/2015			250			271
						6,022
OHIO 6.0%
American Municipal Power Inc., Ohio Revenue Notes, Series 2012
5.000% due 02/15/2022			800			949

78 PIMCO ETF TRUST See Accompanying Notes

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
American Municipal Power, Inc. Ohio Revenue Notes, Series 2009
5.000% due 02/15/2017	$		500	$		565
Kent State University, Ohio Revenue Notes, Series 2012
5.000% due 05/01/2017			640			742
Ohio State General Obligation Bonds, Series 2011
5.000% due 08/01/2022			2,000			2,503
Ohio State Revenue Bonds, (NPFGC Insured), Series 2005
5.000% due 08/01/2016			300			331
Ohio State Turnpike Commission Revenue Bonds, (NPFGC/FGIC Insured), Series 1998
5.500% due 02/15/2016			1,000			1,156
5.500% due 02/15/2017			225			267
Ohio State Water Development Authority Revenue Notes, Series 2011
5.000% due 06/01/2017			1,005			1,185
University of Cincinnati, Ohio Revenue Bonds, Series 2012
5.000% due 06/01/2024			1,250			1,488
						9,186
OREGON 0.4%
Oregon State Facilities Authority Revenue Notes, Series 2010
5.000% due 10/01/2017			500			568
PENNSYLVANIA 3.3%
Allegheny County, Pennsylvania Higher Education Building Authority Revenue Bonds, Series 2012
5.000% due 03/01/2024			500			605
Allegheny County, Pennsylvania Hospital Development Authority Revenue Notes, Series 2010
5.000% due 05/15/2017			500			584
Pennsylvania Higher Educational Facilities Authority Revenue Bonds, Series 2011
5.250% due 06/15/2023			2,500			3,068
Pennsylvania Higher Educational Facilities Authority Revenue Notes, (NPFGC Insured), Series 2006
5.000% due 04/01/2016			250			286
Southeastern Pennsylvania Transportation Authority Revenue Notes, Series 2010
5.000% due 03/01/2018			500			590
						5,133
PUERTO RICO 0.2%
Puerto Rico Electric Power Authority Revenue Bonds, (SGI Insured), Series 2002
5.375% due 07/01/2016			250			283

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
SOUTH CAROLINA 0.2%
Piedmont Municipal Power Agency, South Carolina Revenue Notes, Series 2009
5.000% due 01/01/2015	$		250	$		272
TENNESSEE 0.3%
Tennessee Energy Acquisition Corp. Revenue Bonds, Series 2006
5.000% due 02/01/2021			500			536
TEXAS 12.7%
Barbers Hill Independent School District, Texas General Obligation Bonds, (PSF/GTD Insured), Series 2012
4.000% due 02/15/2023			1,225			1,408
4.000% due 02/15/2025			2,565			2,855
Eagle Mountain & Saginaw Independent School District, Texas General Obligation Notes, Series 2010
0.000% due 08/15/2017			250			227
Katy Independent School District, Texas General Obligation Notes, (PSF/GTD Insured), Series 2012
5.000% due 02/15/2020			1,500			1,841
North Central Texas Health Facility Development Corp. Revenue Notes, Series 2012
5.000% due 08/15/2020			1,000			1,193
Northside Independent School District, Texas General Obligation Bonds, (PSF/GTD Insured), Series 2011
0.950% due 08/01/2034			700			703
1.350% due 06/01/2039			1,475			1,493
Pflugerville Independent School District, Texas General Obligation Bonds, (PSF/GTD Insured), Series 2012
5.000% due 02/15/2024			1,165			1,424
San Antonio, Texas Water System Revenue Bonds, Series 2012
5.000% due 05/15/2023			1,500			1,855
Texas Municipal Gas Acquisition & Supply Corp. I Revenue Bonds, Series 2006
5.250% due 12/15/2023			250			269
Texas Municipal Gas Acquisition & Supply Corp. I Revenue Notes, Series 2008
5.625% due 12/15/2017			2,500			2,749
Texas State General Obligation Notes, Series 2010
4.000% due 12/01/2015			810			903
Texas Transportation Commission Revenue Bonds, Series 2007
5.000% due 04/01/2026			100			113
University of Houston, Texas Revenue Bonds, Series 2011
5.000% due 02/15/2022			2,000			2,441
						19,474

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
WASHINGTON 2.5%
King County, Washington Public Hospital District No. 2 General Obligation Notes, Series 2010
5.000% due 12/01/2015	$		1,000	$		1,109
Washington Higher Education Facilities Authority Revenue Notes, Series 2010
4.000% due 04/01/2013			250			255
Washington State Revenue Bonds, Series 2012
5.000% due 09/01/2023			2,000			2,422
						3,786
WISCONSIN 2.7%
Wisconsin Department of Transportation Revenue Bonds, Series 2012
5.000% due 07/01/2022			2,500			3,138
Wisconsin Department of Transportation Revenue Notes, Series 2012
5.000% due 07/01/2018			300			363
5.000% due 07/01/2019			275			337
Wisconsin State General Obligation Bonds, (NPFGC Insured), Series 2005
5.000% due 05/01/2017			225			252
						4,090
WYOMING 0.1%
Campbell County, Wyoming Hospital District Revenue Notes, Series 2009
5.000% due 12/01/2017			200			227
Total Municipal Bonds & Notes (Cost $146,278)						152,207
SHORT-TERM INSTRUMENTS 0.9%
REPURCHASE AGREEMENTS 0.9%
State Street Bank and Trust Co.
0.010% due 07/02/2012			1,395			1,395
(Dated 06/29/2012. Collateralized by U.S. Treasury Notes 2.000% due 11/15/2021 valued at $1,428. Repurchase proceeds are $1,395.)
Total Short-Term Instruments (Cost $1,395)						1,395
Total Investments 100.0% (Cost $147,673)				$		153,602
Other Assets and Liabilities (Net) 0.0%						(26	)
Net Assets 100.0%				$		153,576

Notes to Schedule of Investments (amounts in thousands):

(a) When-issued security.

See Accompanying Notes ANNUAL REPORT JUNE 30, 2012 79

Schedule of Investments PIMCO Intermediate Municipal Bond Strategy Fund (Cont.)

June 30, 2012

(b) Fair Value Measurements ⁽¹⁾

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 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 06/30/2012
Investments, at value
Municipal Bonds & Notes
Alaska	$	0	$	904	$	0	$	904
Arizona		0		2,169		0		2,169
California		0		20,989		0		20,989
Colorado		0		1,165		0		1,165
Connecticut		0		5,402		0		5,402
Florida		0		11,769		0		11,769
Georgia		0		1,248		0		1,248
Illinois		0		8,807		0		8,807
Indiana		0		4,536		0		4,536
Iowa		0		566		0		566
Kansas		0		822		0		822
Kentucky		0		2,132		0		2,132
Massachusetts		0		5,785		0		5,785
Michigan		0		3,191		0		3,191
Minnesota		0		1,147		0		1,147
Missouri		0		3,043		0		3,043
New Hampshire		0		1,605		0		1,605
New Jersey		0		8,129		0		8,129
New Mexico		0		599		0		599
New York		0		18,622		0		18,622
North Carolina		0		6,022		0		6,022
Ohio		0		9,186		0		9,186
Oregon		0		568		0		568
Pennsylvania		0		5,133		0		5,133
Puerto Rico		0		283		0		283
South Carolina		0		272		0		272
Tennessee		0		536		0		536
Texas		0		19,474		0		19,474
Washington		0		3,786		0		3,786
Wisconsin		0		4,090		0		4,090
Wyoming		0		227		0		227
Short-Term Instruments
Repurchase Agreements		0		1,395		0		1,395
	$	0	$	153,602	$	0	$	153,602

⁽¹⁾  See note 3 in the Notes to Financial Statements for more information regarding pricing inputs and valuation techniques.

⁽²⁾  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2012.

⁽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.

80 PIMCO ETF TRUST See Accompanying Notes

Schedule of Investments PIMCO Short Term Municipal Bond Strategy Fund

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
MUNICIPAL BONDS & NOTES 97.3%
ALASKA 0.6%
Valdez, Alaska Revenue Bonds, Series 2003
5.000% due 01/01/2014	$		250	$		266
ARIZONA 6.6%
Arizona Sports & Tourism Authority Revenue Notes, Series 2012
4.000% due 07/01/2017			1,000			1,115
Salt River Project Agricultural Improvement & Power District, Arizona Revenue Notes, Series 2011
4.000% due 12/01/2014			1,600			1,737
						2,852
CALIFORNIA 12.8%
California Health Facilities Financing Authority Revenue Bonds, Series 2004
4.950% due 07/01/2026			250			270
California State Department of Water Resources Revenue Notes, Series 2010
5.000% due 05/01/2013			500			519
California State General Obligation Bonds, (NPFGC/FGIC Insured), Series 2004
5.250% due 07/01/2014			550			602
California State General Obligation Notes, Series 2010
4.000% due 11/01/2013			500			523
California Statewide Communities Development Authority Revenue Notes, Series 2010
3.000% due 11/01/2012			100			101
Long Beach, California Revenue Notes, Series 2010
3.000% due 06/01/2013			165			169
Los Angeles Unified School District, California General Obligation Notes, Series 2011
4.000% due 07/01/2014			1,000			1,070
Newport Beach, California Revenue Bonds, Series 2009
5.000% due 12/01/2038			500			513
Northern California Power Agency Revenue Notes, Series 2010
3.000% due 06/01/2013			250			255
San Francisco, California City & County Public Utilities Commission Water Revenue Notes, Series 2010
3.000% due 11/01/2013			750			777
San Jose Evergreen Community College District, California General Obligation Notes, Series 2012
3.000% due 08/01/2013			500			515
South Placer Wastewater Authority, California Revenue Notes, Series 2011
1.010% due 11/01/2014			250			250
						5,564
COLORADO 1.2%
University of Colorado Revenue Notes, Series 2010
3.000% due 06/01/2013			500			513
CONNECTICUT 6.4%
Connecticut State Development Authority Revenue Bonds, Series 2011
1.250% due 09/01/2028			1,000			1,005
Stratford, Connecticut General Obligation Notes, Series 2011
3.500% due 08/01/2015			1,635			1,766
						2,771

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
DELAWARE 1.1%
Delaware Solid Waste Authority Revenue Notes, Series 2010
3.500% due 06/01/2013	$		450	$		461
DISTRICT OF COLUMBIA 0.2%
District of Columbia General Obligation Notes, (AGM Insured), Series 2005
5.000% due 06/01/2013			100			104
GEORGIA 1.8%
Atlanta, Georgia Revenue Notes, Series 2010
5.000% due 01/01/2014			500			533
Municipal Electric Authority of Georgia Revenue Notes, Series 2008
5.000% due 01/01/2013			250			255
						788
ILLINOIS 8.0%
Chicago, Illinois Midway Airport Revenue Bonds, Series 2010
5.000% due 01/01/2034			500			541
Chicago, Illinois O’Hare International Airport Revenue Notes, Series 2010
4.000% due 01/01/2013			250			254
Chicago, Illinois Waterworks Revenue Notes, Series 2012
5.000% due 11/01/2016			850			991
Cook County, Illinois School District No. 63 East Maine General Obligation Notes, Series 2010
2.000% due 12/01/2012			155			156
Decatur Park District, Illinois General Obligation Notes, Series 2010
2.250% due 03/01/2013			175			177
Illinois Finance Authority Revenue Bonds, Series 2004
5.500% due 10/01/2014			200			218
Illinois Municipal Electric Agency Revenue Notes, (NPFGC/FGIC Insured), Series 2007
5.000% due 02/01/2014			300			317
Illinois State Toll Highway Authority Revenue Bonds, (AGM Insured), Series 1998
5.500% due 01/01/2014			250			267
Metropolitan Pier & Exposition Authority, Illinois Revenue Bonds, (NPFGC Insured), Series 1996
0.000% due 12/15/2012			300			298
Railsplitter Tobacco Settlement Authority, Illinois Revenue Notes, Series 2010
4.000% due 06/01/2013			250			257
						3,476
INDIANA 2.5%
Indiana Finance Authority Revenue Notes, Series 2006
5.500% due 02/01/2013			300			309
Indiana University Revenue Notes, Series 2010
4.000% due 08/01/2013			240			249
Indianapolis, Indiana Thermal Energy System Revenue Notes, Series 2010
3.000% due 10/01/2013			500			515
						1,073
IOWA 1.5%
Dubuque Community School District, Iowa Revenue Notes, Series 2010
2.000% due 01/01/2013			250			252

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Iowa State University of Science & Technology Revenue Notes, Series 2011
2.000% due 07/01/2013	$		410	$		417
						669
KENTUCKY 1.8%
Jefferson County, Kentucky Capital Projects Corp. Revenue Notes, (AGM Insured), Series 2007
4.000% due 06/01/2013			250			257
Kentucky Turnpike Authority Revenue Notes, Series 2010
2.500% due 07/01/2013			500			511
						768
LOUISIANA 1.2%
Louisiana Offshore Terminal Authority Revenue Bonds, Series 2010
2.100% due 10/01/2040			500			508
MAINE 0.6%
Maine Health & Higher Educational Facilities Authority Revenue Notes, Series 2010
3.000% due 07/01/2013			250			256
MASSACHUSETTS 1.4%
Massachusetts Development Finance Agency Revenue Notes, Series 2012
4.000% due 10/01/2013			600			623
MICHIGAN 2.9%
Hamilton Community School District, Michigan General Obligation Notes, (AGM/Q-SBLF Insured), Series 2005
5.000% due 05/01/2013			250			260
Michigan State Hospital Finance Authority Revenue Bonds, Series 2010
1.500% due 11/15/2047			1,000			1,002
						1,262
MINNESOTA 1.1%
Savage, Minnesota General Obligation Notes, Series 2011
2.000% due 02/01/2013			460			465
MISSOURI 1.1%
Missouri State Health & Educational Facilities Authority Revenue Bonds, Series 1996
0.180% due 09/01/2030			500			500
NEBRASKA 0.5%
Central Plains Energy Project, Nebraska Revenue Notes, Series 2007
5.000% due 12/01/2012			210			213
NEVADA 0.3%
Clark County, Nevada Revenue Notes, Series 2010
3.000% due 07/01/2013			150			154
NEW YORK 19.5%
Essex County, New York General Obligation Notes, (NPFGC Insured), Series 2005
4.000% due 05/15/2013			200			206

See Accompanying Notes ANNUAL REPORT JUNE 30, 2012 81

Schedule of Investments PIMCO Short Term Municipal Bond Strategy Fund(Cont.)

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Metropolitan Transportation Authority, New York Revenue Notes, (NPFGC Insured), Series 2005
5.000% due 11/15/2014	$		590	$		650
Monroe County Industrial Development Corp., New York Revenue Notes, (FHA Insured), Series 2010
4.000% due 08/15/2015			500			545
New York City, New York General Obligation Bonds, Series 2002
5.750% due 08/01/2012			350			351
New York City, New York General Obligation Notes, Series 2007
5.000% due 08/01/2016			1,040			1,208
New York City, New York Health & Hospital Corp. Revenue Notes, Series 2010
3.000% due 02/15/2014			500			519
New York City, New York Transitional Finance Authority Future Tax Secured Revenue Notes, Series 2010
5.000% due 11/01/2013			250			265
New York Liberty Development Corp. Revenue Bonds, Series 2011
0.270% due 12/01/2049			300			300
New York State Dormitory Authority Revenue Notes, (AMBAC Insured), Series 2007
5.000% due 07/01/2013			300			314
New York State Dormitory Authority Revenue Notes, Series 2010
5.000% due 07/01/2016			250			281
New York State Dormitory Authority Revenue Notes, Series 2011
5.000% due 05/01/2014			350			375
New York State Dormitory Authority Revenue Notes, Series 2012
4.000% due 05/15/2017			450			508
New York State Energy Research & Development Authority Revenue Notes, Series 2011
2.125% due 03/15/2015			1,500			1,534
New York State Thruway Authority Revenue Notes, (AGM Insured), Series 2005
5.000% due 04/01/2014			125			135
New York State Urban Development Corp. Revenue Notes, Series 2008
5.000% due 01/01/2014			250			267
New York State Urban Development Corp. Revenue Notes, Series 2010
5.000% due 01/01/2013			750			767
Oneida-Herkimer Solid Waste Management Authority, New York Revenue Notes, Series 2011
4.000% due 04/01/2014			250			262
						8,487
NORTH CAROLINA 1.2%
Buncombe County, North Carolina Certificates of Participation Notes, Series 2009
5.000% due 06/01/2013			500			522

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
OHIO 3.4%
Columbus, Ohio General Obligation Notes, Series 2010
1.250% due 06/01/2013	$		340	$		343
Ohio State Water Development Authority Revenue Bonds, Series 2003
5.250% due 06/01/2015			1,000			1,135
						1,478
PENNSYLVANIA 2.0%
Bristol Township, Pennsylvania General Obligation Notes, (AGM Insured), Series 2010
4.000% due 09/01/2012			105			106
Chester County, Pennsylvania Health & Education Facilities Authority Revenue Notes, Series 2010
3.000% due 05/15/2013			250			256
Delaware Valley Regional Financial Authority, Pennsylvania Revenue Bonds, Series 2002
5.500% due 07/01/2012			265			265
Philadelphia, Pennsylvania Water & Sewer Revenue Notes, Series 2010
4.000% due 06/15/2013			250			258
						885
PUERTO RICO 0.6%
Puerto Rico Electric Power Authority Revenue Bonds, (NPFGC Insured), Series 2002
5.250% due 07/01/2013			250			260
SOUTH CAROLINA 1.9%
South Carolina State General Obligation Notes, Series 2009
5.000% due 10/01/2014			750			827
TEXAS 6.1%
El Paso Independent School District, Texas General Obligation Notes, Series 2009
5.000% due 08/15/2013			580			610
Harris County, Texas Health Facilities Development Corp. Revenue Bonds, Series 1999
0.180% due 10/01/2029			200			200
Houston Community College System, Texas General Obligation Notes, Series 2011
4.000% due 02/15/2014			500			529
Northside Independent School District, Texas General Obligation Bonds, (PSF/GTD Insured), Series 2011
0.950% due 08/01/2034			200			201
Texas Public Finance Authority Revenue Notes, Series 2010
4.000% due 07/01/2015			1,000			1,101
						2,641

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
VIRGINIA 1.4%
Commonwealth of Virginia General Obligation Notes, Series 2008
3.000% due 06/01/2013	$		400	$		410
Roanoke Economic Development Authority, Virginia Revenue Notes, (AGM Insured), Series 2005
5.000% due 07/01/2012			200			200
						610
WASHINGTON 6.3%
Energy Northwest, Washington Revenue Notes, Series 2007
5.000% due 07/01/2015			1,000			1,129
Grays Harbor County, Washington School District No. 5 Aberdeen General Obligation Notes, (AGM Insured), Series 2004
4.000% due 12/01/2013			400			420
King County, Washington Public Hospital District No. 2 General Obligation Notes, Series 2010
3.000% due 12/01/2012			315			318
Washington State Revenue Notes, Series 2012
5.000% due 09/01/2015			750			851
						2,718
WISCONSIN 1.3%
Wisconsin Department of Transportation Revenue Notes, Series 2012
5.000% due 07/01/2016			100			116
Wisconsin State Revenue Notes, Series 2009
5.000% due 07/01/2014			400			434
						550
Total Municipal Bonds & Notes (Cost $42,015)						42,264
SHORT-TERM INSTRUMENTS 1.8%
REPURCHASE AGREEMENTS 1.8%
State Street Bank and Trust Co.
0.010% due 07/02/2012			793			793
(Dated 06/29/2012. Collateralized by U.S. Treasury Notes 2.000% due 11/15/2021 valued at $810. Repurchase proceeds are $793.)
Total Short-Term Instruments (Cost $793)						793
Total Investments 99.1% (Cost $42,808)				$		43,057
Other Assets and Liabilities (Net) 0.9%						406
Net Assets 100.0%				$		43,463

82 PIMCO ETF TRUST See Accompanying Notes

June 30, 2012

Notes to Schedule of Investments (amounts in thousands):

(a) Fair Value Measurements ⁽¹⁾

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 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 06/30/2012
Investments, at value
Municipal Bonds & Notes
Alaska	$	0	$	266	$	0	$	266
Arizona		0		2,852		0		2,852
California		0		5,564		0		5,564
Colorado		0		513		0		513
Connecticut		0		2,771		0		2,771
Delaware		0		461		0		461
District of Columbia		0		104		0		104
Georgia		0		788		0		788
Illinois		0		3,476		0		3,476
Indiana		0		1,073		0		1,073
Iowa		0		669		0		669
Kentucky		0		768		0		768
Louisiana		0		508		0		508
Maine		0		256		0		256
Massachusetts		0		623		0		623
Michigan		0		1,262		0		1,262
Minnesota		0		465		0		465
Missouri		0		500		0		500
Nebraska		0		213		0		213
Nevada		0		154		0		154
New York		0		8,487		0		8,487
North Carolina		0		522		0		522
Ohio		0		1,478		0		1,478
Pennsylvania		0		885		0		885
Puerto Rico		0		260		0		260
South Carolina		0		827		0		827
Texas		0		2,641		0		2,641
Virginia		0		610		0		610
Washington		0		2,718		0		2,718
Wisconsin		0		550		0		550
Short-Term Instruments
Repurchase Agreements		0		793		0		793
	$	0	$	43,057	$	0	$	43,057

⁽¹⁾  See note 3 in the Notes to Financial Statements for more information regarding pricing inputs and valuation techniques.

⁽²⁾  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2012.

⁽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 ANNUAL REPORT JUNE 30, 2012 83

Schedule of Investments PIMCO Total Return Exchange-Traded Fund

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 0.6%
Awas Aviation Capital Ltd.
3.250% due 06/25/2018	$		10,000	$		10,004
Total Bank Loan Obligations (Cost $9,900)						10,004
CORPORATE BONDS & NOTES 17.9%
BANKING & FINANCE 15.5%
Ally Financial, Inc.
2.667% due 12/01/2014			4,000			3,840
3.667% due 02/11/2014			2,000			1,995
3.868% due 06/20/2014			5,788			5,762
5.900% due 12/15/2013			40			39
6.000% due 11/15/2013			50			49
6.250% due 10/15/2013			10			10
6.375% due 08/01/2013			22			22
6.500% due 02/15/2013			24			24
6.500% due 03/15/2013			15			15
6.500% due 05/15/2013			50			50
6.750% due 12/01/2014			2,211			2,338
6.750% due 07/15/2016			85			82
6.800% due 02/15/2013			25			25
6.800% due 04/15/2013			35			35
6.875% due 08/28/2012			1,877			1,889
7.000% due 08/15/2013			200			197
7.100% due 01/15/2013			25			25
American Express Bank FSB
6.000% due 09/13/2017			755			893
American General Capital
8.500% due 07/01/2030			3,300			3,639
American General Institutional Capital
7.570% due 12/01/2045			2,000			2,015
American International Group, Inc.
3.750% due 11/30/2013			570			577
8.175% due 05/15/2068			11,250			12,262
8.625% due 05/22/2068	GBP		2,000			3,176
Barclays Bank PLC
14.000% due 06/15/2019 (f)			250			446
Caledonia Generating LLC
1.950% due 02/28/2022 (c)	$		20,000			20,000
Capital One Financial Corp.
6.750% due 09/15/2017			262			311
Citigroup Capital
8.300% due 12/21/2077			16,240			16,321
Citigroup, Inc.
5.000% due 09/15/2014			26,000			26,668
Dexia Credit Local S.A.
0.867% due 03/05/2013			5,915			5,803
0.946% due 04/29/2014			2,000			1,882
2.000% due 03/05/2013			900			896
2.750% due 01/10/2014			1,000			989
2.750% due 04/29/2014			2,300			2,259
Eksportfinans ASA
0.661% due 04/05/2013			7,000			6,801
0.669% due 10/07/2013			800			763
1.600% due 03/20/2014	JPY		150,000			1,778
1.875% due 04/02/2013	$		2,090			2,049
2.000% due 09/15/2015			3,500			3,135
3.000% due 11/17/2014			5,200			4,930
5.500% due 05/25/2016			5,900			5,805
Export-Import Bank of Korea
5.125% due 06/29/2020			1,189			1,333
Fannie Mae
2.680% due 02/01/2022 (c)			15,000			15,047

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Ford Motor Credit Co. LLC
7.000% due 04/15/2015	$		4,000	$		4,456
8.000% due 06/01/2014			2,000			2,220
8.700% due 10/01/2014			2,000			2,282
Intesa Sanpaolo SpA
6.500% due 02/24/2021			4,240			3,716
Korea Exchange Bank
3.125% due 06/26/2017			5,000			4,999
LBG Capital PLC
7.867% due 12/17/2019	GBP		3,000			4,088
7.869% due 08/25/2020			1,500			2,031
Lloyds TSB Bank PLC
12.000% due 12/16/2024 (f)	$		478			501
Murray Street Investment Trust
4.647% due 03/09/2017			14,912			14,963
Rabobank Group
11.000% due 06/30/2019 (f)			134			169
Santander Issuances S.A.U.
5.911% due 06/20/2016			1,000			928
SLM Student Loan Trust
1.212% due 12/15/2033	EUR		68,366			71,448
Springleaf Finance Corp.
4.875% due 07/15/2012	$		2,000			2,000
SunAmerica Financial Group, Inc.
7.500% due 07/15/2025			600			698
Trafford Centre Finance Ltd.
1.213% due 07/28/2015	GBP		2,108			3,217
UBS AG
5.875% due 12/20/2017	$		250			280
						274,171
INDUSTRIALS 1.6%
Altria Group, Inc.
9.700% due 11/10/2018			2,000			2,772
DISH DBS Corp.
6.625% due 10/01/2014			4,000			4,310
HCA, Inc.
5.750% due 03/15/2014			5,000			5,256
International Business Machines Corp.
5.700% due 09/14/2017			2,250			2,710
Meccanica Holdings USA, Inc.
6.250% due 01/15/2040			600			455
MGM Resorts International
10.375% due 05/15/2014			4,000			4,530
11.125% due 11/15/2017			3,000			3,383
News America, Inc.
6.400% due 12/15/2035			1,380			1,598
Petrobras International Finance Co.
5.875% due 03/01/2018			1,300			1,448
President and Fellows of Harvard College
6.000% due 01/15/2019			250			317
Time Warner, Inc.
5.875% due 11/15/2016			2,000			2,345
						29,124
UTILITIES 0.8%
EDF S.A.
6.500% due 01/26/2019			2,150			2,535
Petroleos Mexicanos
5.500% due 06/27/2044			300			308
8.000% due 05/03/2019			987			1,258

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Tokyo Electric Power Co., Inc.
4.500% due 03/24/2014	EUR		7,400	$		9,353
						13,454
Total Corporate Bonds & Notes (Cost $316,650)						316,749
MUNICIPAL BONDS & NOTES 0.6%
CALIFORNIA 0.2%
California State General Obligation Bonds, (BABs), Series 2009
7.500% due 04/01/2034	$		638			798
University of California Revenue Bonds, (BABs), Series 2009
6.583% due 05/15/2049			2,000			2,623
						3,421
ILLINOIS 0.0%
Chicago Transit Authority, Illinois Revenue Bonds, Series 2008
6.899% due 12/01/2040			675			804
NEW YORK 0.3%
New York City, New York Municipal Water Finance Authority Revenue Bonds, (BABs), Series 2010
5.440% due 06/15/2043			684			856
5.790% due 06/15/2041			4,000			4,480
						5,336
OHIO 0.1%
American Municipal Power, Inc. Ohio Revenue Bonds, (BABs), Series 2009
6.449% due 02/15/2044			723			859
SOUTH CAROLINA 0.0%
South Carolina Student Loan Corp. Revenue Notes Series 2010
0.916% due 01/25/2021			369			367
Total Municipal Bonds & Notes (Cost $10,708)						10,787
U.S. GOVERNMENT AGENCIES 40.6%
Fannie Mae
0.000% due 06/25/2035 (b)			269			261
2.342% due 09/01/2034			128			133
2.500% due 07/01/2027 - 08/01/2027			14,000			14,416
2.800% due 06/01/2022			5,000			5,158
2.840% due 08/01/2022			12,310			12,310
3.000% due 12/01/2025 - 07/01/2042			73,861			76,258
3.300% due 10/01/2021			13,054			13,966
3.380% due 11/01/2021			6,785			7,295
3.500% due 05/01/2042 - 08/01/2042			142,986			149,995
4.000% due 10/01/2013 - 08/01/2042			157,580			167,942
4.330% due 04/01/2021			197			224
4.500% due 11/25/2035 - 07/01/2042			50,503			54,564
5.000% due 01/25/2040 - 07/01/2042			25,100			27,176
5.500% due 08/01/2035 - 08/01/2042			15,643			17,098
5.680% due 06/25/2037			249			293

84 PIMCO ETF TRUST See Accompanying Notes

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
6.000% due 02/25/2034 - 07/25/2035	$		2,635	$		3,117
6.175% due 04/25/2040 (a)			1,195			174
6.955% due 05/25/2036 (a)			12,610			1,950
21.740% due 07/25/2023			64			101
Freddie Mac
1.000% due 06/29/2017			9,400			9,439
1.250% due 05/12/2017			43,800			44,452
2.375% due 01/13/2022			57,600			59,289
4.000% due 09/15/2039 - 04/15/2042			6,235			6,770
4.500% due 05/15/2036 - 04/15/2042			5,995			6,690
4.565% due 12/01/2031			261			281
5.000% due 05/15/2033 - 07/15/2041			14,194			16,609
5.000% due 08/15/2039 (a)			1,747			242
5.250% due 03/15/2032 - 04/15/2033			339			385
5.500% due 08/15/2033 - 08/15/2036			2,106			2,483
6.000% due 10/15/2031 - 08/01/2037			3,676			4,480
Ginnie Mae
4.000% due 02/20/2041			5,270			5,734
4.500% due 12/20/2040			734			854
5.000% due 07/20/2039 - 10/20/2039			3,694			4,373
5.500% due 02/17/2033 - 07/20/2037			236			275
5.856% due 12/20/2035 (a)			6,000			1,856
Total U.S. Government Agencies (Cost $711,190)						716,643
U.S. TREASURY OBLIGATIONS 15.5%
U.S. Treasury Bonds
3.000% due 05/15/2042 (g)			31,900			33,490
U.S. Treasury Inflation Protected Securities (e)
0.125% due 01/15/2022			68,110			72,213
0.625% due 07/15/2021			2,249			2,509
0.750% due 02/15/2042			13,339			14,075
1.125% due 01/15/2021			135			155
1.250% due 07/15/2020			189			220
1.375% due 01/15/2020			211			245
1.750% due 01/15/2028			825			1,036
2.000% due 01/15/2026			26,083			33,370
2.375% due 01/15/2025			9,254			12,218
2.375% due 01/15/2027			23,541			31,672
3.875% due 04/15/2029			213			345
U.S. Treasury Notes
1.000% due 06/30/2019 (c)			5,000			4,964
1.125% due 05/31/2019			18,400			18,443
1.750% due 05/15/2022 (g)			46,200			46,626
1.875% due 09/30/2017			1,400			1,478
Total U.S. Treasury Obligations (Cost $271,248)						273,059
MORTGAGE-BACKED SECURITIES 17.1%
ABN AMRO Mortgage Corp.
5.500% due 01/25/2034			1,075			1,094
Adjustable Rate Mortgage Trust
1.045% due 01/25/2035			61			60
2.691% due 01/25/2035			781			768
2.914% due 07/25/2035			3,094			2,661
American Home Mortgage Investment Trust
2.237% due 09/25/2045			97			81
2.736% due 02/25/2045			1,900			1,654

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Arkle Master Issuer PLC
1.616% due 05/17/2060	$		529	$		530
Arran Residential Mortgages Funding PLC
2.089% due 05/16/2047	EUR		366			465
ASG Resecuritization Trust
2.655% due 03/26/2037	$		134			132
Banc of America Funding Corp.
0.464% due 07/20/2036			61			49
0.494% due 05/20/2035			6,391			4,685
0.745% due 06/26/2035			1,000			872
2.628% due 05/25/2035			112			114
2.643% due 02/20/2036			532			490
2.835% due 12/20/2034			1,292			690
Banc of America Large Loan, Inc.
1.992% due 11/15/2015			175			166
5.692% due 06/24/2050			5,974			6,688
Banc of America Mortgage Securities, Inc.
2.621% due 10/25/2034			2,221			1,928
2.966% due 02/25/2034			290			269
3.112% due 06/25/2035			1,026			1,000
Banc of America/Merrill Lynch Commercial Mortgage, Inc.
4.891% due 07/10/2045			6,180			6,203
BCAP LLC Trust
5.253% due 07/26/2037			1,833			1,571
Bear Stearns Adjustable Rate Mortgage Trust
2.520% due 02/25/2036			1,108			957
2.736% due 04/25/2034			23			21
2.749% due 01/25/2035			653			589
2.831% due 10/25/2034			2,564			1,935
2.867% due 11/25/2034			133			115
2.951% due 10/25/2034			424			331
3.248% due 04/25/2034			188			159
Bear Stearns Alt-A Trust
0.515% due 08/25/2035			1,010			742
0.885% due 04/25/2034			86			77
2.746% due 06/25/2034			602			509
2.936% due 11/25/2034			932			644
Bear Stearns Commercial Mortgage Securities
4.868% due 09/11/2042			3,000			3,105
Bella Vista Mortgage Trust
0.545% due 01/22/2045			798			594
Citigroup Mortgage Loan Trust, Inc.
0.485% due 11/25/2036			2,700			1,606
2.230% due 09/25/2035			548			512
2.340% due 09/25/2035			354			312
2.600% due 05/25/2035			93			86
2.644% due 08/25/2035			1,998			1,879
2.869% due 09/25/2034			303			302
2.893% due 03/25/2034			948			866
Countrywide Alternative Loan Trust
6.000% due 11/25/2034			172			167
Countrywide Home Loan Mortgage Pass-Through Trust
0.515% due 03/25/2035			489			412
0.645% due 07/25/2018			841			818
0.645% due 08/25/2033			3,820			3,694
0.745% due 06/25/2018			3,719			3,625
0.785% due 02/25/2035			83			70
2.824% due 12/25/2033			2,180			1,861
5.000% due 04/25/2035			73			73
Credit Suisse First Boston Mortgage Securities Corp.
0.895% due 11/25/2031			73			59
2.459% due 06/25/2033			47			45
2.932% due 11/25/2034			168			162
4.832% due 04/15/2037			2,000			2,124

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Credit Suisse Mortgage Capital Certificates
2.838% due 04/26/2037	$		115	$		114
3.016% due 07/27/2036			283			281
3.285% due 03/27/2036			411			403
4.949% due 10/27/2036			130			126
5.112% due 07/27/2037			144			146
5.448% due 01/15/2049			4,850			4,904
5.509% due 04/15/2047			200			223
6.000% due 05/27/2036			128			129
Deutsche Mortgage Securities, Inc.
5.248% due 06/26/2035			2,000			1,939
DLJ Commercial Mortgage Corp.
6.100% due 06/10/2032			12,772			12,877
Epic Opera PLC
1.263% due 07/28/2016	GBP		4,450			6,586
First Horizon Alternative Mortgage Securities
2.560% due 09/25/2034	$		381			336
2.592% due 06/25/2034			30			26
2.599% due 04/25/2035			2,802			2,327
First Horizon Asset Securities, Inc.
2.628% due 12/25/2034			1,474			1,352
5.242% due 06/25/2035			988			933
GMAC Mortgage Corp. Loan Trust
3.214% due 08/19/2034			116			107
Granite Master Issuer PLC
0.384% due 12/20/2054			18			17
Greenwich Capital Commercial Funding Corp.
5.381% due 03/10/2039			3,516			3,601
GS Mortgage Securities Corp.
4.761% due 07/10/2039			11,240			12,140
GSR Mortgage Loan Trust
0.545% due 04/25/2032			311			260
0.685% due 05/25/2035			33			27
1.956% due 05/25/2034			169			142
2.651% due 09/25/2035			604			591
2.659% due 09/25/2035			925			748
2.751% due 06/25/2034			1,645			1,318
2.792% due 09/25/2034			1,271			1,019
2.848% due 12/25/2034			1,363			1,034
2.858% due 01/25/2035			479			430
2.864% due 04/25/2035			60			54
3.011% due 05/25/2035			122			100
4.895% due 06/25/2034			33			33
Harborview Mortgage Loan Trust
2.643% due 06/19/2034			579			527
2.811% due 01/19/2035			487			386
3.026% due 05/19/2033			257			251
Holmes Master Issuer PLC
2.107% due 10/15/2054	EUR		265			337
Homestar Mortgage Acceptance Corp.
0.565% due 03/25/2034	$		164			149
Impac CMB Trust
0.765% due 04/25/2035			424			334
0.885% due 10/25/2033			12			10
Indymac Index Mortgage Loan Trust
0.555% due 10/25/2036			1,329			795
1.105% due 08/25/2034			128			83
2.670% due 08/25/2034			169			143
Indymac Mortgage Loan Trust
5.495% due 08/25/2036			731			713
JPMorgan Chase Commercial Mortgage Securities Corp.
5.994% due 06/15/2049			2,382			2,386
JPMorgan Mortgage Trust
2.573% due 12/25/2034			731			707
2.764% due 07/25/2035			1,247			1,131

See Accompanying Notes ANNUAL REPORT JUNE 30, 2012 85

Schedule of Investments PIMCO Total Return Exchange-Traded Fund (Cont.)

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
2.776% due 09/25/2035	$		1,014	$		869
2.924% due 08/25/2034			1,095			1,073
2.957% due 06/25/2035			86			68
3.055% due 07/25/2035			204			197
JPMorgan Re-REMIC
2.160% due 01/26/2037			126			125
5.068% due 08/27/2037			187			186
5.132% due 11/26/2035			1,376			1,221
5.437% due 01/27/2047			156			159
5.961% due 07/27/2037			117			117
6.000% due 02/27/2037			372			378
MASTR Adjustable Rate Mortgages Trust
2.736% due 03/25/2035			9,695			8,344
Mellon Residential Funding Corp.
0.722% due 06/15/2030			227			217
Merrill Lynch Floating Trust
0.779% due 07/09/2021			30,003			29,098
Merrill Lynch Mortgage Investors, Inc.
0.455% due 02/25/2036			886			651
2.227% due 03/25/2033			173			171
Merrill Lynch/Countrywide Commercial Mortgage Trust
5.656% due 02/12/2039			1,000			1,010
MLCC Mortgage Investors, Inc.
0.475% due 04/25/2029			181			164
0.495% due 11/25/2035			527			441
0.705% due 03/25/2030			130			115
0.745% due 05/25/2029			568			525
0.805% due 01/25/2030			404			364
1.239% due 10/25/2035			843			735
2.208% due 04/25/2029			846			734
2.283% due 02/25/2036			1,713			1,516
2.303% due 04/25/2035			3,843			3,434
2.306% due 05/25/2029			85			81
Morgan Stanley Capital, Inc.
5.037% due 01/14/2042			12,378			12,628
5.439% due 02/12/2044			15,269			16,089
5.610% due 04/15/2049			924			953
5.781% due 04/12/2049			8,805			9,026
5.852% due 12/12/2049			17			18
Morgan Stanley Dean Witter Capital
1.927% due 03/25/2033			913			806
Morgan Stanley Mortgage Loan Trust
0.515% due 09/25/2035			66			58
0.695% due 07/25/2034			293			264
5.438% due 01/25/2035			4,255			4,031
MortgageIT Trust
0.545% due 08/25/2035			486			402
RBSCF Trust
5.223% due 08/16/2048			400			443
5.331% due 02/16/2044			400			446
5.336% due 05/16/2047			400			437
RBSSP Resecuritization Trust
0.745% due 03/26/2036			931			901
Residential Asset Securitization Trust
0.795% due 08/25/2033			144			133
RMAC Securities PLC
1.141% due 06/12/2044	GBP		4,764			5,694
Sequoia Mortgage Trust
0.514% due 01/20/2035	$		100			83
0.544% due 12/20/2034			683			623
0.564% due 11/20/2034			138			123
0.965% due 11/22/2024			19			18
1.144% due 12/20/2032			4,685			4,225
2.632% due 04/20/2035			502			481
Structured Adjustable Rate Mortgage Loan Trust
0.645% due 06/25/2035			344			322
2.736% due 07/25/2034			401			375

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
2.740% due 02/25/2034	$		67	$		65
2.768% due 03/25/2035			3,903			3,293
2.818% due 04/25/2034			366			316
2.819% due 02/25/2035			2,226			1,651
2.840% due 11/25/2034			8,020			7,319
2.853% due 03/25/2034			201			195
Structured Asset Mortgage Investments, Inc.
0.493% due 07/19/2035			1,312			1,151
0.903% due 10/19/2034			1,494			1,331
0.943% due 02/19/2035			259			219
1.083% due 02/19/2033			1,197			996
2.587% due 12/19/2034			2,857			2,496
Structured Asset Securities Corp.
2.601% due 01/25/2032			13			10
2.712% due 06/25/2033			82			77
2.758% due 01/25/2034			198			180
2.772% due 04/25/2033			62			59
3.025% due 11/25/2032			1,419			1,166
5.500% due 05/25/2035			2,964			2,942
Thornburg Mortgage Securities Trust
0.465% due 06/25/2047			9,687			9,664
0.785% due 03/25/2044			187			156
5.520% due 10/25/2046			129			126
5.554% due 07/25/2036			137			136
Wachovia Bank Commercial Mortgage Trust
0.322% due 06/15/2020			7,658			7,134
0.417% due 06/15/2049			378			330
5.421% due 04/15/2047			5,111			5,292
5.922% due 06/15/2049			3,604			3,712
WaMu Mortgage Pass-Through Certificates
0.515% due 07/25/2045			110			88
0.555% due 01/25/2045			89			74
0.565% due 07/25/2045			132			109
0.575% due 01/25/2045			6,072			4,951
0.578% due 10/25/2044			1,765			1,389
0.605% due 01/25/2045			876			644
0.608% due 06/25/2044			334			235
1.147% due 02/25/2046			141			109
1.401% due 11/25/2041			1,022			852
1.547% due 04/25/2044			82			66
2.390% due 02/27/2034			175			175
2.413% due 11/25/2041			1,976			1,639
2.447% due 12/25/2035			290			250
2.475% due 10/25/2034			140			136
2.483% due 03/25/2035			416			384
2.589% due 06/25/2034			341			341
Wells Fargo Mortgage-Backed Securities Trust
2.508% due 09/25/2033			310			311
2.616% due 01/25/2035			767			690
2.616% due 03/25/2035			1,518			1,413
2.627% due 06/25/2035			827			830
2.628% due 06/25/2035			78			78
4.699% due 01/25/2034			194			195
4.744% due 12/25/2033			77			77
5.610% due 04/25/2036			186			175
5.750% due 01/25/2036			640			662
Windermere CMBS PLC
0.864% due 08/22/2016	EUR		1,971			2,356
Total Mortgage-Backed Securities (Cost $294,008)						301,713
ASSET-BACKED SECURITIES 2.2%
Asset-Backed Securities Corp. Home Equity
0.520% due 09/25/2034	$		25			22
Bear Stearns Asset-Backed Securities Trust
0.695% due 11/25/2039			111			101
0.695% due 12/25/2042			77			69
1.445% due 03/25/2043			112			87

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
Chase Funding Mortgage Loan Asset-Backed Certificates
0.985% due 10/25/2032	$		60	$		51
4.396% due 02/25/2030			66			66
Citibank Omni Master Trust
2.992% due 08/15/2018			450			473
Countrywide Asset-Backed Certificates
0.525% due 11/25/2035			230			225
0.635% due 11/25/2034			74			69
0.945% due 12/25/2033			85			69
1.095% due 04/25/2035			2,260			1,447
Credit Suisse First Boston Mortgage Securities Corp.
0.995% due 10/25/2032			48			36
EFS Volunteer LLC
1.120% due 07/26/2027			1,300			1,302
Equity One ABS, Inc.
4.860% due 07/25/2033			258			217
First Franklin Mortgage Loan Asset-Backed Certificates
0.545% due 01/25/2036			5,000			3,849
1.070% due 05/25/2034			8,567			6,600
Green Tree
7.000% due 04/25/2038			22			22
Harvest CLO S.A.
1.587% due 03/29/2017	EUR		2,477			3,086
JPMorgan Mortgage Acquisition Corp.
0.435% due 05/25/2035	$		2,683			2,404
Lehman XS Trust
0.515% due 12/25/2035			4,380			2,918
0.525% due 08/25/2035			361			285
1.147% due 11/25/2035			233			162
Leopard CLO BV
1.268% due 04/07/2019	EUR		1,141			1,426
Magi Funding PLC
1.314% due 04/11/2021			232			277
Mid-State Trust
5.745% due 01/15/2040	$		730			769
5.787% due 10/15/2040			116			122
6.005% due 08/15/2037			65			69
6.340% due 10/15/2036			9,634			9,493
7.340% due 07/01/2035			28			29
Morgan Stanley ABS Capital
1.100% due 03/25/2034			1,381			1,104
Morgan Stanley Home Equity Loan Trust
0.920% due 12/25/2034			23			23
North Carolina State Education Assistance Authority
0.916% due 10/26/2020			157			156
Option One Mortgage Loan Trust
0.845% due 04/25/2033			85			71
1.085% due 02/25/2033			51			41
Origen Manufactured Housing
6.480% due 01/15/2037			90			93
Residential Asset Securities Corp.
1.025% due 11/25/2034			83			72
SLM Student Loan Trust
0.616% due 01/25/2021			142			142
1.966% due 04/25/2023			463			479
3.500% due 08/17/2043			254			250
Structured Asset Securities Corp.
0.645% due 05/25/2034			130			115
Vanderbilt Mortgage Finance
9.000% due 10/07/2030			381			397
Total Asset-Backed Securities (Cost $38,115)						38,688

86 PIMCO ETF TRUST See Accompanying Notes

June 30, 2012

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
SOVEREIGN ISSUES 10.3%
Banco Nacional de Desenvolvimento Economico e Social
6.369% due 06/16/2018	$		5,000	$		5,888
6.500% due 06/10/2019			15,000			17,962
Canada Housing Trust
3.800% due 06/15/2021	CAD		850			946
Mexico Government International Bond
6.250% due 06/16/2016	MXN		10,100			798
6.500% due 06/10/2021			403,000			32,826
6.500% due 06/09/2022			130,000			10,578
7.750% due 12/14/2017			200,000			17,029
10.000% due 12/05/2024			523,800			55,116
Province of Ontario
2.450% due 06/29/2022	$		25,900			25,643
4.000% due 06/02/2021	CAD		2,000			2,177
Province of Quebec
3.500% due 07/29/2020	$		1,200			1,323
4.500% due 12/01/2020	CAD		1,400			1,568
Russia Government International Bond
7.500% due 03/31/2030	$		1,005			1,210
South Africa Government International Bond
8.250% due 09/15/2017	ZAR		73,600			9,662
Total Sovereign Issues (Cost $173,177)						182,726
SHORT-TERM INSTRUMENTS 19.3%
CERTIFICATES OF DEPOSIT 0.7%
Banco do Brasil S.A.
0.000% due 06/28/2013	$		12,600			12,469
COMMERCIAL PAPER 1.0%
British Telecommunications PLC
0.900% due 10/29/2012			800			798
Xstrata Finance Canada Ltd.
0.480% due 07/09/2012			15,800			15,798
						16,596

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
REPURCHASE AGREEMENTS 7.3%
Banc of America Securities LLC
0.190% due 07/02/2012	$		33,200	$		33,200
(Dated 06/29/2012. Collateralized by U.S. Treasury Notes 0.375% - 1.250% due 03/15/2014 - 06/15/2015 valued at $33,946. Repurchase proceeds are $33,201)
0.200% due 07/02/2012			33,200			33,200
(Dated 06/29/2012. Collateralized by U.S. Treasury Notes 0.875% - 2.000% due 02/28/2017 - 02/15/2022 valued at $34,079. Repurchase proceeds are $33,201)
Barclays Capital, Inc.
0.160% due 07/02/2012			4,400			4,400
(Dated 06/29/2012. Collateralized by U.S. Treasury Bonds 4.500% due 08/15/2039 valued at $2,243 and U.S. Treasury Inflation Protected Securities 1.875% due 07/15/2013 valued at $2,246. Repurchase proceeds are $4,400.)
BNP Paribas Securities Corp.
0.280% due 07/02/2012			15,000			15,000
(Dated 06/29/2012. Collateralized by Fannie Mae 4.000% due 06/01/2042 valued at $15,622. Repurchase proceeds are $15,000.)
Goldman Sachs Group, Inc. (The)
0.190% due 07/02/2012			5,800			5,800
(Dated 06/29/2012. Collateralized by Fannie Mae 3.500% due 07/01/2042 valued at $5,998. Repurchase proceeds are $5,800.)
JPMorgan Securities, Inc.
0.200% due 07/02/2012			37,400			37,400
(Dated 06/29/2012. Collateralized by U.S. Treasury Notes 0.250% - 1.500% due 04/30/2014 - 07/31/2016 valued at $38,197. Repurchase proceeds are $37,401.)

		PRINCIPAL AMOUNT (000s)			MARKET VALUE (000s)
State Street Bank and Trust Co.
0.010% due 07/02/2012	$		387	$		387
(Dated 06/29/2012. Collateralized by U.S. Treasury Bonds 6.250% due 05/15/2030 valued at $397. Repurchase proceeds are $387.)
						129,387
SHORT-TERM NOTES 0.2%
Export-Import Bank of Korea
2.000% due 10/21/2012			4,000			4,007
JAPAN TREASURY BILLS 4.7%
0.099% due 09/10/2012 - 10/01/2012 (d)	JPY		6,610,000			82,677
MEXICO TREASURY BILLS 5.4%
4.488% due 07/05/2012 - 09/27/2012 (d)	MXN		1,289,800			95,906
U.S. TREASURY BILLS 0.0%
0.206% due 06/27/2013 (g)	$		700			699
Total Short-Term Instruments (Cost $340,827)						341,741
Total Investments 124.1% (Cost $2,165,823)				$		2,192,110
Other Assets and Liabilities (Net) (24.1%)						(426,245	)
Net Assets 100.0%				$		1,765,865

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

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

(a) Interest only security.

(b) Principal only security.

(c) When-issued security.

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

(e) Principal amount of security is adjusted for inflation.

(f) Perpetual maturity, date shown represents next contractual call date.

(g) Securities with an aggregate market value of $1,554 have been pledged as collateral as of June 30, 2012 for foreign currency contracts as governed by International Swaps and Derivatives Association, Inc. Master Agreements.

(h) The average amount of borrowings while outstanding during the period ended June 30, 2012 was $16,177 at a weighted average interest rate of (0.955%). On June 30, 2012, there were no open reverse repurchase agreements.

(i) Short sales outstanding on June 30, 2012:

Description	Coupon			Maturity Date		Principal Amount		Proceeds		Market Value
Fannie Mae		3.000	%		07/01/2042	$	40,000	$	40,925	$	(41,044	)
Fannie Mae		3.500	%		07/01/2042		2,000		2,101		(2,103	)
Fannie Mae		5.500	%		07/01/2042		15,000		16,365		(16,364	)
								$	59,391	$	(59,511	)

See Accompanying Notes ANNUAL REPORT JUNE 30, 2012 87

Schedule of Investments PIMCO Total Return Exchange-Traded Fund(Cont.)

(j) Foreign currency contracts outstanding on June 30, 2012:

Settlement Month		Currency to be Delivered		Currency to be Received		Counterparty		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
	07/2012	EUR	5,179	$	6,771		BOA	$	216	$	0		$	216
	07/2012		10,416		13,490		BPS		308		0			308
	07/2012		1,912		2,502		BRC		82		0			82
	07/2012		3,564		4,665		FBF		154		0			154
	07/2012		26,314		34,794		HUS		1,490		0			1,490
	07/2012		14,033		18,128		JPM		368		0			368
	07/2012		11,437		14,548		RBC		79		(6	)		73
	07/2012		1,900		2,418		RYL		14		0			14
	07/2012	MXN	270,800		21,077		HUS		780		0			780
	07/2012	$	3,607	EUR	2,880		BPS		38		0			38
	07/2012		1,534		1,161		HUS		0		(64	)		(64	)
	07/2012		323		256		JPM		1		0			1
	07/2012		2,562		2,048		UAG		30		0			30
	07/2012		6,026	JPY	480,000		FBF		0		(21	)		(21	)
	07/2012		10,078		800,000		UAG		0		(70	)		(70	)
	07/2012	ZAR	78,030	$	9,869		HUS		357		0			357
	08/2012	EUR	1,463		1,826		BPS		0		(25	)		(25	)
	08/2012	MXN	139,040		9,884		BRC		0		(481	)		(481	)
	08/2012		370,810		26,264		HUS		0		(1,418	)		(1,418	)
	08/2012		493,462		35,093		JPM		0		(1,745	)		(1,745	)
	08/2012		384,319		27,683		MSC		0		(1,008	)		(1,008	)
	08/2012		290,695		20,287		UAG		0		(1,414	)		(1,414	)
	08/2012	$	294	MXN	3,887		JPM		2		(6	)		(4	)
	09/2012	CAD	4,779	$	4,649		UAG		0		(37	)		(37	)
	09/2012	GBP	6,283		9,715		BPS		0		(123	)		(123	)
	09/2012		3,808		5,899		BRC		0		(64	)		(64	)
	09/2012		6,273		9,756		JPM		0		(67	)		(67	)
	09/2012	JPY	1,070,000		13,504		BRC		104		0			104
	09/2012		650,490		8,222		CBK		76		0			76
	09/2012		1,280,000		16,117		FBF		85		0			85
	09/2012		134,118		1,674		GSC		0		(6	)		(6	)
	09/2012		247,315		3,087		JPM		1		(12	)		(11	)
	09/2012		2,950,000		37,331		UAG		386		0			386
	09/2012	MXN	596,802		42,865		MSC		0		(1,507	)		(1,507	)
	09/2012		272,011		19,541		UAG		0		(696	)		(696	)
	09/2012	$	559	GBP	360		RYL		5		0			5
	10/2012	JPY	800,000	$	10,091		UAG		70		0			70
								$	4,646	$	(8,770	)	$	(4,124	)

(k) Fair Value Measurements ⁽¹⁾

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 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 06/30/2012
Investments, at value
Bank Loan Obligations	$	0	$	10,004	$	0	$	10,004
Corporate Bonds & Notes
Banking & Finance		35,047		239,124		0		274,171
Industrials		0		29,124		0		29,124
Utilities		0		13,454		0		13,454
Municipal Bonds & Notes
California		0		3,421		0		3,421

88 PIMCO ETF TRUST See Accompanying Notes

June 30, 2012

Category and Subcategory (3)	Level 1  (4)		Level 2  (5)			Level 3  (6)		Fair Value at 06/30/2012
Illinois	$	0	$	804		$	0	$	804
New York		0		5,336			0		5,336
Ohio		0		859			0		859
South Carolina		0		367			0		367
U.S. Government Agencies		0		704,333			12,310		716,643
U.S. Treasury Obligations		0		273,059			0		273,059
Mortgage-Backed Securities		0		301,713			0		301,713
Asset-Backed Securities		0		38,688			0		38,688
Sovereign Issues		0		182,726			0		182,726
Short-Term Instruments
Certificates of Deposit		0		12,469			0		12,469
Commercial Paper		0		16,596			0		16,596
Repurchase Agreements		0		129,387			0		129,387
Short-Term Notes		0		4,007			0		4,007
Japan Treasury Bills		0		82,677			0		82,677
Mexico Treasury Bills		0		51,158			44,748		95,906
U.S. Treasury Bills		0		699			0		699
	$	35,047	$	2,100,005		$	57,058	$	2,192,110
Short Sales, at value	$	0	$	(59,511	)	$	0	$	(59,511	)
Financial Derivative Instruments (7) - Assets
Foreign Exchange Contracts	$	0	$	4,646		$	0	$	4,646
Financial Derivative Instruments (7) - Liabilities
Foreign Exchange Contracts	$	0	$	(8,770	)	$	0	$	(8,770	)
Totals	$	35,047	$	2,036,370		$	57,058	$	2,128,475

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2012:

Category and Subcategory	Beginning Balance at 02/29/2012		Net Purchases		Net Sales		Accrued Discounts/ (Premiums)		Realized Gain/ (Loss)		Net Change in Unrealized Appreciation/ (Depreciation) (8)			Transfers into Level 3		Transfers out of Level 3		Ending Balance at 06/30/2012		Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 06/30/2012 (8)
Investments, at value
U.S. Government Agencies	$	0	$	12,381	$	0	$	0	$	0	$	(71	)	$	0	$	0	$	12,310	$	(71	)
Short-Term Instruments
Mexico Treasury Bills		0		43,454		0		22		0		1,272			0		0		44,748		1,272
Totals	$	0	$	55,835	$	0	$	22	$	0	$	1,201		$	0	$	0	$	57,058	$	1,201

⁽¹⁾  See note 3 in the Notes to Financial Statements for more information regarding pricing inputs and valuation techniques.

⁽²⁾  There were no significant transfers into or out of level 1, 2, and 3 during the period ended June 30, 2012.

⁽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.

⁽⁸⁾ Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2012 may be due to an investment no longer held or categorized as level 3 at period end.

See Accompanying Notes ANNUAL REPORT JUNE 30, 2012 89

Schedule of Investments PIMCO Total Return Exchange-Traded Fund(Cont.)

June 30, 2012

(l) Fair Value of Financial Derivative Instruments ⁽¹⁾

The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure:

Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2012:

	Derivatives not accounted for as hedging instruments
	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Exchange Contracts		Interest Rate Contracts		Total
Assets:
Unrealized appreciation on foreign currency contracts	$	0	$	0	$	0	$	4,646	$	0	$	4,646
Liabilities:
Unrealized depreciation on foreign currency contracts	$	0	$	0	$	0	$	8,770	$	0	$	8,770

The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2012:

	Derivatives not accounted for as hedging instruments
	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Exchange Contracts			Interest Rate Contracts		Total
Realized Gain on Derivatives Recognized as a Result from Operations:
Net realized gain on foreign currency transactions	$	0	$	0	$	0	$	980		$	0	$	980
Net Change in Unrealized (Depreciation) on Derivatives Recognized as a Result of Operations:
Net change in unrealized (depreciation) on translation of assets and liabilities denominated in foreign currencies	$	0	$	0	$	0	$	(4,124	)	$	0	$	(4,124	)

⁽¹⁾  See note 6 in the Notes to Financial Statements for additional information.

(m) Collateral (Received)/Pledged for OTC Financial Derivative Instruments

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of June 30, 2012:

Counterparty	Total Market Value of OTC Derivatives			Collateral (Received)/ Pledged			Net Exposures  (1)
BOA	$	216		$	(260	)	$	(44	)
BPS		197			(360	)		(163	)
BRC		(359	)		0			(359	)
CBK		75			0			75
FBF		218			(270	)		(52	)
GSC		(6	)		0			(6	)
HUS		1,145			(3,240	)		(2,095	)
JPM		(1,456	)		0			(1,456	)
MSC		(2,515	)		(646	)		(3,161	)
RBC		73			(140	)		(67	)
RYL		19			0			19
UAG		(1,731	)		855			(876	)

⁽¹⁾  Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. See note 7, Principal Risks, in the Notes to Financial Statements for more information regarding credit and counterparty risks.

90 PIMCO ETF TRUST See Accompanying Notes

Notes to Financial Statements

June 30, 2012

1. ORGANIZATION

PIMCO ETF Trust (the “Trust”) was established as a Delaware statutory trust on November 14, 2008. The Trust is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. Information presented in these financial statements pertains to nineteen funds (each a “Fund” and collectively the “Funds”) offered by the Trust.

Each Fund is an exchange-traded fund (“ETF”). ETFs are funds that trade like other publicly-traded securities and may be designed to track an index or to be actively managed. Unlike shares of a mutual fund, which can be bought from and redeemed by the issuing fund by all shareholders at a price based on net asset value (“NAV”), shares of a Fund may be directly purchased from and redeemed by a Fund at NAV solely by certain large institutional investors. Also unlike shares of a mutual fund, shares of each Fund are listed on a national securities exchange and trade in the secondary market at market prices that change throughout the day.

Shares of the Funds are listed and traded at market prices on NYSE Arca, Inc. (“NYSE Arca”) and other secondary markets. The market price for a Fund’s shares may be different from the Fund’s NAV. The Funds issue and redeem shares at their respective NAV only in blocks of a specified number of shares or multiples thereof (“Creation Units”). Only certain large institutional investors may purchase or redeem Creation Units directly with the Funds at NAV (“Authorized Participants”). These transactions are in exchange for certain securities similar to a Fund’s portfolio and/or cash. Except when aggregated in Creation Units, shares of a Fund are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares directly from a Fund at NAV.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

(a) Determination of Net Asset Value The NAV of a Fund’s shares is valued as of the close of regular trading (normally 4:00 p.m., Eastern time) (the “NYSE Close”) on each day that the NYSE Arca and the bond markets, as determined by Securities Industry and Financial Markets Association (“SIFMA”), are open. Information that becomes known to a Fund or its agents after the NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day.

(b) Securities Transactions and Investment Income Securities transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled 15 days or more after the trade date. Realized gains and losses from securities sold are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis from settlement date. Estimated tax liabilities on certain foreign securities are recorded on an accrual basis and are reflected as components of interest income or net change in unrealized gain/loss on investments on the Statements of Operations, as appropriate. Tax liabilities realized as a result of such security sales are reflected as a component of net realized gain/loss on investments on the Statements of Operations. Paydown gains and losses on mortgage-related and other asset-backed securities are recorded as components of interest income on the Statements of Operations. Income or short-term capital gain distributions received from underlying funds are recorded as dividend income. Long-term capital gain distributions received from underlying funds are recorded as realized gains.

Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

(c) Cash and Foreign Currency The functional and reporting currency for the Funds is the U.S. dollar. The market values of foreign securities, currency holdings and other assets and liabilities are translated into U.S. dollars based on the current exchange rates each business day. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not segregated on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

(d) Dividends and Distributions to Shareholders Dividends from net investment income, if any, of each Fund, except the PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund, are declared and distributed to shareholders monthly. Dividends from net investment income, if any, of the PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund are declared and distributed to shareholders quarterly. Net realized capital gains earned by each Fund, if any, will be distributed no less frequently than once each year. Dividends and distributions cannot be automatically reinvested in additional shares of a Fund.

ANNUAL REPORT JUNE 30, 2012 91

Notes to Financial Statements (Cont.)

Income dividends and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. Differences between tax regulations and U.S. GAAP may cause timing differences between income and capital gain recognition. Examples of events that give rise to timing differences include tax events such as wash sales losses and capital loss carryforwards. Further, the character of investment income and capital gains may be different for certain transactions under the two methods of accounting. Examples of transactions that may cause character differences include the treatment of paydowns on mortgage-backed securities, swaps, foreign currency transactions and redeem-in-kind transactions. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income and realized gains reported on each Fund’s annual financial statements presented under U.S. GAAP.

Distributions classified as a tax basis return of capital, if any, are reflected on the accompanying Statements of Changes in Net Assets and have been recorded to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed net realized gains or losses and/or paid in capital to more appropriately conform financial accounting to tax characterizations of dividend distributions.

(e) Equalization Each Fund follows the accounting practice known as “Equalization” by which a portion of the proceeds from sales and costs of reacquiring Fund shares, equivalent on a per share basis to the amount of distributable net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or reacquisition of Fund shares.

(f) New Accounting Pronouncements In April 2011, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”) related to the accounting for repurchase agreements and similar agreements that both entitle and obligate a transferor to repurchase or redeem financial assets before their maturity. The ASU modifies the criteria for determining effective control of transferred assets and as a result certain agreements may now be accounted for as secured borrowings. The ASU is effective prospectively for new transfers and existing transactions that are modified in the first interim or annual period beginning on or after December 15, 2011. Management anticipates certain Funds may recognize additional borrowing expense (interest expense) as a result of the change of accounting treatment. The magnitude of this change has not been determined at this time.

In May 2011, FASB issued an ASU to develop common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with U.S. GAAP and International Financial Reporting Standards (“IFRS”). FASB concluded that the amendments in this ASU will improve the comparability of fair value measurements presented

and disclosed in financial statements prepared in accordance with U.S. GAAP and IFRS. The ASU is effective prospectively during interim or annual periods beginning on or after December 15, 2011. Management has evaluated the amendments to the ASU and anticipates modifications to the fair value disclosure to enhance the description of the valuation methods.

In December 2011, FASB issued an ASU to enhance disclosures about financial instruments and derivative instruments that are subject to offsetting (“netting”) on the Statements of Assets and Liabilities. This information will enable users of the entity’s financial statements to evaluate the effect or potential effect of netting arrangements on the entity’s financial position. The ASU is effective prospectively during interim or annual periods beginning on or after January 1, 2013. At this time, management is evaluating the implications of these changes on the financial statements.

3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

For purposes of calculating the NAV, portfolio securities and other assets for which market quotes are readily available are valued at fair market value. Fair market value is generally determined on the basis of last reported sales prices, or if no sales are reported, based on quotes obtained from a quotation reporting system, established market makers, or pricing services.

Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing service providers. As a result, the NAV of a Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the New York Stock Exchange (“NYSE”) is closed and the NAV may change on days when an investor is not able to purchase, redeem or exchange shares.

U.S. GAAP defines fair market value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, and 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows:

n Level 1—Inputs using quoted prices in active markets or exchanges for identical assets and liabilities.

n Level 2—Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other

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than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

n Level 3—Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board of Trustees (the “Board”) or persons acting at their direction that are used in determining the fair value of investments.

Level 1 and Level 2 trading assets and trading liabilities, at fair market value The valuation techniques and significant inputs used in determining the fair market values of financial instruments classified as Level 1 and Level 2 of the fair value hierarchy are as follows:

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued by pricing service providers that use broker dealer quotations, reported trades or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date are categorized as Level 2 of the fair value hierarchy.

Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Investments in registered open-end investment management companies will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in unregistered open-end management investment companies will be calculated based upon the NAVs of such investments and are considered Level 1 provided that the NAVs are observable, calculated daily and are the value at which both purchases and sales will be conducted. Investments in privately held investment funds with significant restrictions on redemptions where the

inputs of NAVs are observable will be valued based upon the NAVs of such investments and are categorized as Level 2 of the fair value hierarchy.

Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.

Over-the-counter financial derivative instruments, such as foreign currency contracts or swap agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or by pricing service providers. Depending on the product and the terms of the transaction, the value of financial derivatives can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, yield curves, dividends and exchange rates. Financial derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Level 3 trading assets and trading liabilities, at fair value The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows:

Securities and other assets for which market quotes are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction and are categorized as Level 3 of the fair value hierarchy.

Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of a Fund’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the investment Manager (the “Manager”), Pacific Investment Management Company LLC (“PIMCO”), the responsibility for monitoring significant events that may materially affect the values of a Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be re-evaluated in light of such significant events.

The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated the responsibility for applying the valuation methods to PIMCO. For instances in which daily market quotes are not readily available, investments may be valued, pursuant to guidelines established by the Board, with reference to other securities or indices. In the event that the security or asset

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cannot be valued pursuant to one of the valuation methods established by the Board, the value of the security or asset will be determined in good faith by the Valuation Committee of the Board, generally based upon recommendations provided by PIMCO. When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, securities will be priced by a method that the Board or persons acting at their direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. While the Trust’s policy is intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the Trust cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. The end of period timing recognition is used for the significant transfers between Levels of the Funds’ assets and liabilities. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, if any, have been included in the Notes to the Schedule of Investments for each respective Fund.

4. SECURITIES AND OTHER INVESTMENTS

(a) Delayed-Delivery Transactions Certain Funds may purchase or sell securities on a delayed-delivery basis. These transactions involve a commitment by a Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery transactions are outstanding, a Fund will designate or receive as collateral liquid assets in an amount sufficient to meet the purchase price or respective obligations. When purchasing a security on a delayed-delivery basis, a Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its NAV. A Fund may dispose of or renegotiate a delayed-delivery transaction after it is entered into which may result in a realized gain or loss. When a Fund has sold a security on a delayed-delivery basis, the Fund does not participate in future gains and losses with respect to the security.

(b) Inflation-Indexed Bonds Certain Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value which is adjusted for inflation. Any increase or

decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statements of Operations, even though investors do not receive their principal until maturity.

(c) Loan Participations and Assignments Certain Funds may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. A Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When a Fund purchases assignments from lenders it acquires direct rights against the borrower of the loan. Certain Funds may also enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments may include revolving credit facilities, which may obligate Funds to supply additional cash to the borrower on demand. Unfunded loan commitments represent a future obligation in full, even though a percentage of the notional loan amounts may not be utilized by the borrower. When investing in a loan participation, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a floating rate loan. In certain circumstances, a Fund may receive a penalty fee upon the prepayment of a floating rate loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. As of June 30, 2012, the Funds had no unfunded loan commitments.

(d) Mortgage-Related and Other Asset-Backed Securities Certain Funds may invest in mortgage-related and other asset-backed securities. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, asset-backed securities, collateralized debt obligations and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. Mortgage-related and other asset-backed securities are interests in pools of loans or other receivables. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. Asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans. These securities provide a monthly payment which consists of both interest and principal payments. Interest payments may be determined by fixed or adjustable

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rates. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. The timely payment of principal and interest of certain mortgage-related securities is guaranteed with the full faith and credit of the U.S. Government. Pools created and guaranteed by non-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that the private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements.

Collateralized Mortgage Obligations (“CMOs”) are debt obligations of a legal entity that are collateralized by mortgages and divided into classes. CMOs are structured into multiple classes, often referred to as “tranches,” with each class bearing a different stated maturity and entitled to a different schedule for payments of principal and interest, including prepayments. Commercial Mortgage-Backed Securities (“CMBS”) include securities that reflect an interest in, and are secured by, mortgage loans on commercial real property. Many of the risks of investing in CMBS reflect the risks of investing in the real estate securing the underlying mortgage loans. These risks reflect the effects of local and other economic conditions on real estate markets, the ability of tenants to make loan payments, and the ability of a property to attract and retain tenants. CMOs and CMBS may be less liquid and may exhibit greater price volatility than other types of mortgage-related or asset-backed securities.

Collateralized Debt Obligations (“CDOs”) include Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other similarly structured securities. CBOs and CLOs are types of asset-backed securities. A CBO is a trust which is backed by a diversified pool of high risk, below investment grade fixed income securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. CDOs carry additional risks including, but not limited to, (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments, (ii) the collateral may decline in value or default, (iii) a Fund may invest in CDOs that are subordinate to other classes, and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.

(e) Payment In-Kind Securities Certain Funds may invest in payment in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms,

including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro-rata adjustment from the unrealized appreciation or depreciation on investments to interest receivable on the Statements of Assets and Liabilities.

(f) Short Sales Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability on the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is covered. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested.

(g) U.S. Government Agencies or Government-Sponsored Enterprises Certain Funds may invest in securities of U.S. Government agencies or government-sponsored enterprises. U.S. Government securities are obligations of and, in certain cases, guaranteed by, the U.S. Government, its agencies or instrumentalities. Some U.S. Government securities, such as Treasury bills, notes and bonds, and securities guaranteed by the Government National Mortgage Association (“GNMA” or “Ginnie Mae”), are supported by the full faith and credit of the U.S. Government; others, such as those of the Federal Home Loan Banks, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the “U.S. Treasury”); others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. Government to purchase the agency’s obligations. U.S. Government securities may include zero coupon securities, which do not distribute interest on a current basis and tend to be subject to greater risk than interest-paying securities of similar maturities such as U.S. Treasury Strips which are Treasury fixed-income securities sold at a discount to face value and offer no interest payments; rather, investors receive par at maturity.

Government-related guarantors (i.e., not backed by the full faith and credit of the U.S. Government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA is a government-sponsored corporation. FNMA purchases conventional (i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. Government. FHLMC issues Participation Certificates (“PCs”), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the U.S. Government.

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Notes to Financial Statements (Cont.)

(h) When-Issued Transactions Certain Funds may purchase or sell securities on a when-issued basis. These transactions are made conditionally because a security, although authorized, has not yet been issued in the market. A commitment by a Fund is made regarding these transactions to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. A Fund may sell when-issued securities before they are delivered, which may result in a realized gain or loss.

5. BORROWINGS AND OTHER FINANCING TRANSACTIONS

The following disclosures contain information on a Fund’s ability to lend or borrow cash or securities to the extent permitted under the Act, which may be viewed as borrowing or financing transactions by the Fund. The location and fair value amounts of these instruments are described below. For a detailed description of credit and counterparty risks that can be associated with borrowings and other financing transactions, please see Note 7, Principal Risks.

(a) Repurchase Agreements Each Fund may engage in repurchase agreements. Under the terms of a typical repurchase agreement, a Fund takes possession of an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. The underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated subcustodians under tri-party repurchase agreements. The market value of the collateral must be equal to or exceed the total amount of the repurchase obligations, including interest. Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee (or receipt of collateral, which may result in interest expense to the Fund.

(b) Reverse Repurchase Agreements Certain Funds may enter into reverse repurchase agreements. In a reverse repurchase agreement, a Fund delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed-upon price and date. A Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by a Fund to counterparties are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made by a Fund to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may

receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A Fund will segregate assets determined to be liquid by PIMCO or otherwise cover its obligations under reverse repurchase agreements.

(c) Securities Lending The Funds listed below may seek to earn additional income through lending their securities to certain qualified broker-dealers and institutions on a short-term or long-term basis via a lending agent. The securities out on loan are required to be secured by cash collateral at least equal to 102% of the domestic and 105% of the foreign loans market value. The Fund will then invest the cash collateral received in the PIMCO Government Money Market Fund and PIMCO Money Market Fund (see table below for designations), and records a liability for the return of the collateral, during the period the securities are on loan. Each fund is subject to a lending limit of 33.33% of total assets (including the value of collateral).

The loans are subject to termination at the option of the borrower or the Fund. Upon termination of the loan, the borrower will return to the lender securities identical to the loaned securities. Should the borrower of the securities fail to return loaned securities, the Fund has the right to repurchase the securities using the collateral in the open market.

The borrower pays fees at the Funds’ direction to the lending agent. The lending agent may retain a portion of the interest earned on the cash collateral invested. The cash collateral invested by the lending agent is disclosed on the Schedules of Investments (if applicable). The lending fees and the Funds’ portion of the interest income earned on cash collateral are included on the Statements of Operations as securities lending income (if applicable).

The Funds did not have any securities on loan at the close of the period.

Fund Name	Cash Collateral Reinvestment Vehicle
PIMCO 1-3 Year U.S. Treasury Index Fund	PIMCO Government Money Market Fund
PIMCO 1-5 Year U.S. TIPS Index Fund	PIMCO Government Money Market Fund
PIMCO 3-7 Year U.S. Treasury Index Fund	PIMCO Government Money Market Fund
PIMCO 7-15 Year U.S. Treasury Index Fund	PIMCO Government Money Market Fund
PIMCO 15+ Year U.S. TIPS Index Fund	PIMCO Government Money Market Fund
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund	PIMCO Government Money Market Fund
PIMCO Broad U.S. TIPS Index Fund	PIMCO Government Money Market Fund
PIMCO Broad U.S. Treasury Index Fund	PIMCO Government Money Market Fund
PIMCO Investment Grade Corporate Bond Index Fund	PIMCO Money Market Fund
PIMCO Enhanced Short Maturity Strategy Fund	PIMCO Money Market Fund

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6. FINANCIAL DERIVATIVE INSTRUMENTS

The following disclosures contain information on how and why the Funds use financial derivative instruments, the credit-risk-related contingent features in certain financial derivative instruments, and how financial derivative instruments affect the Funds’ financial position, results of operations and cash flows. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and the realized and changes in unrealized gains and losses on the Statements of Operations, each categorized by type of financial derivative contract and related risk exposure, are included in a table in the Notes to Schedules of Investments. The financial derivative instruments outstanding as of period end as disclosed in the Notes to Schedules of Investments and the amounts of realized and changes in unrealized gains and losses on financial derivative instruments during the period as disclosed on the Statements of Operations serve as indicators of the volume of financial derivative activity for the Funds.

(a) Foreign Currency Contracts Certain Funds may enter into foreign currency contracts in connection with settling planned purchases or sales of securities, to hedge the currency exposure associated with some or all of a Fund’s securities or as a part of an investment strategy. A foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a foreign currency contract fluctuates with changes in foreign currency exchange rates. Foreign currency contracts are marked to market daily and the change in value is recorded by a Fund as an unrealized gain or loss. Realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed are recorded upon delivery or receipt of the currency. These contracts may involve market risk in excess of the unrealized gain or loss reflected on the Statements of Assets and Liabilities. In addition, a Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective contracts.

(b) Futures Contracts Certain Funds may enter into futures contracts. A Fund may use futures contracts to manage its exposure to the securities markets or to movements in interest rates and currency values. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by a Fund and the prices of futures contracts and the possibility of an illiquid market. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, a Fund is required to deposit with its futures broker, an amount of cash, or U.S. Government and Agency Obligations, or select sovereign debt, in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are

closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities.

(c) Swap Agreements Certain Funds may invest in swap agreements. Swap agreements are bilaterally negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements are privately negotiated in the over-the-counter market (“OTC swaps”) or may be executed in a multilateral or other trade facility platform, such as a registered exchange (“centrally cleared swaps”). A Fund may enter into credit default and other forms of swap agreements to manage its exposure to credit, currency, interest rate, commodity, equity and inflation risk. In connection with these agreements, securities or cash may be identified as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.

Swaps are marked to market daily based upon values from third party vendors, which may include a registered exchange, or quotations from market makers to the extent available. In the event that market quotes are not readily available and the swap cannot be valued pursuant to one of the valuation methods, the value of the swap will be determined in good faith by the Valuation Committee of the Board of Trustees, generally based upon recommendations provided by PIMCO. Changes in market value, if any, are reflected as a component of net changes in unrealized appreciation/(depreciation) on the Statements of Operations. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on the Statements of Assets and Liabilities. OTC swap payments received or made at the beginning of the measurement period are reflected as such on the Statements of Assets and Liabilities and represent premiums paid or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). These upfront premiums are recorded as realized gains or losses on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gains or losses on the Statements of Operations.

Entering into these agreements involves, to varying degrees, elements of interest, credit, market and documentation risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates.

A Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty

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over the contract’s remaining life, to the extent that amount is positive. The risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by the posting of collateral to a Fund to cover a Fund’s exposure to the counterparty.

Credit Default Swap Agreements Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event of a default or other credit event for the referenced entity, obligation or index. As a seller of protection on credit default swap agreements, a Fund will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.

If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a 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, other deliverable obligations 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. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive 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. Recovery values are estimated by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

Credit default swap agreements on corporate issues involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event). A Fund may use credit default swaps on corporate issues to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an

active long or short position with respect to the likelihood of a particular issuer’s default.

Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset-backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. A Fund may use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds, which is less expensive than it would be to buy many credit default swaps to achieve a similar effect. Credit default swaps on indices are benchmarks for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality.

7. PRINCIPAL RISKS

In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk), or failure or inability of the other party to a transaction to perform (credit and counterparty risk). See below for a detailed description of select principal risks. For a list of potential risks the Funds may be subject to, please see the Important Information About the Funds.

Market Risks A Fund’s investments in fixed income securities expose the Fund to various risks such as but not limited to, market trading, interest rate, foreign currency, equity, management and tracking error and indexing risks.

Market trading risk is the risk that an active secondary trading market for a Fund’s shares does not develop or continue, that a Fund may not continue to meet a listing exchange’s trading or listing requirements, or that Fund shares trade at prices other than the Fund’s NAV.

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by a Fund is likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Fixed income securities with longer durations

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tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is useful primarily as a measure of the sensitivity of a fixed income’s market price to interest rate (i.e. yield) movements.

If a Fund invests directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in financial derivatives that provide exposure to foreign currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Fund, or, in the case of hedging positions, that the Fund’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, a Fund’s investments in foreign currency denominated securities may reduce the returns of the Fund.

The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. They may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities.

Management and Tracking Error Risk is the risk that the portfolio manager’s investment decisions may not produce the desired results or that an Index Fund’s portfolio may not correlate to the Fund’s Index.

Indexing risk is the risk that a Fund is negatively affected by general declines in the market segments or asset classes represented by the Fund’s Index.

Credit and Counterparty Risks A Fund will be exposed to credit risk on parties with whom it trades and will also bear the risk of settlement default. A Fund minimizes concentrations of credit risk by undertaking transactions with a large number of customers and counterparties on recognized and reputable exchanges. A Fund could lose money if the issuer or guarantor of a fixed income security or repurchase agreement is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.

Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. PIMCO, as the Manager, minimizes counterparty risks to the

Funds by performing extensive reviews of each counterparty and obtaining approval from the Counterparty Risk Committee prior to entering into transactions with a third party. Furthermore, to the extent that unpaid amounts owed to a Fund exceed a predetermined threshold agreed to with the counterparty, such counterparty shall advance collateral to the Fund in the form of cash or cash equivalents equal in value to the unpaid amount owed to the Fund. A Fund may invest such collateral in securities or other instruments and will typically pay interest to the counterparty on the collateral received. If the unpaid amount owed to a Fund subsequently decreases, the Fund would be required to return to the counterparty all or a portion of the collateral previously advanced to the Fund.

All transactions in listed securities are settled/paid for upon delivery using approved counterparties. The risk of default is considered minimal, as delivery of securities sold is only made once a Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.

A Fund is subject to various Master Agreements, which govern the terms of certain transactions with select counterparties. These Master Agreements reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Since different types of forward and OTC financial derivative transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty.

Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant master agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Bills and U.S. dollar cash are generally the preferred forms of collateral, although other forms of AAA rated paper may be used. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.

Master Repurchase Agreements (“Master Repo Agreements”) govern transactions between a Fund and select counterparties. The Master Repo Agreements maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for Repurchase and Reverse Repurchase Agreements.

ANNUAL REPORT JUNE 30, 2012 99

Notes to Financial Statements (Cont.)

Master Securities Forward Transaction Agreements (“Master Forward Agreements”) govern the considerations and factors surrounding the settlement of certain purchases and sales made on a delayed-delivery basis by and between a Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral.

International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by a Fund and select counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements. The market value of OTC financial derivative transactions, net of collateral received in or pledged by counterparty as of period end, is disclosed in the Notes to the Schedules of Investments.

8. FEES AND EXPENSES

(a) Management Fee PIMCO, a majority-owned subsidiary of Allianz Asset Management of America L.P. (“Allianz Asset Management”), serves as the Manager to the Trust, pursuant to an investment management agreement. Each Fund pays PIMCO fees in return for providing investment advisory, supervisory and administrative services under an all-in fee structure. Each Fund will pay monthly management fees to PIMCO at the annual rate based on average daily net assets (the “Management Fee”). The Management Fee for each Fund is charged at an annual rate as noted in the table below.

Fund Name	Management Fee
PIMCO 1-3 Year U.S. Treasury Index Fund		0.15	%
PIMCO 3-7 Year U.S. Treasury Index Fund		0.15	%
PIMCO 7-15 Year U.S. Treasury Index Fund		0.15	%
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund		0.15	%
PIMCO Broad U.S. Treasury Index Fund		0.15	%
PIMCO 1-5 Year U.S. TIPS Index Fund		0.20	%
PIMCO 15+ Year U.S. TIPS Index Fund		0.20	%
PIMCO Broad U.S. TIPS Index Fund		0.20	%
PIMCO 0-5 Year High Yield Corporate Bond Index Fund		0.55	%
PIMCO Investment Grade Corporate Bond Index Fund		0.20	%
PIMCO Australia Bond Index Fund		0.45	%
PIMCO Canada Bond Index Fund		0.45	%
PIMCO Germany Bond Index Fund		0.45	%
PIMCO Build America Bond Strategy Fund		0.45	%
PIMCO Enhanced Short Maturity Strategy Fund		0.35	%
PIMCO Global Advantage® Inflation-Linked Bond Strategy Fund		0.60	%
PIMCO Intermediate Municipal Bond Strategy Fund		0.35	%
PIMCO Short Term Municipal Bond Strategy Fund		0.35	%
PIMCO Total Return Exchange-Traded Fund		0.55	%

(b) Distribution and Servicing Fees PIMCO Investments LLC (“PI”), a wholly-owned subsidiary of PIMCO, serves as the distributor (“Distributor”)

of each Fund’s Creation Units. The Distributor does not maintain a secondary market in shares of the Funds. During the period ended June 30, 2012, each Fund was permitted to reimburse the Distributor at an annual rate of up to 0.25% of a Fund’s average daily net assets. However, the Board of Trustees has determined not to authorize payment of a 12b-1 Plan fee at this time. The 12b-1 fee may only be imposed or increased when the Board of Trustees determines that it is in the best interests of shareholders to do so. Because these fees are paid out of a Fund’s assets on an ongoing basis, to the extent that a fee is authorized, over time they will increase the cost of an investment in the Fund. The 12b-1 Plan fee may cost an investor more than other types of sales charges.

(c) Fund Expenses The Funds bear other expenses which are not covered under the management fee which may vary and affect the total level of expenses paid by shareholders, such as (i) salaries and other compensation of any of the Trust’s executive officers and employees who are not officers, directors, stockholders, or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees; (iii) brokerage fees and commissions and other portfolio transaction expenses; (iv) costs of borrowing money, including interest expense; (v) securities lending fees and expenses; (vi) fees and expenses of the Trustees who are not “interested persons” of PIMCO or the Trust, and any counsel retained exclusively for their benefit; (vii) extraordinary expense, including costs of litigation and indemnification expenses; and (viii) organization expenses. The ratio of expenses to average net assets, as disclosed on the Financial Highlights, may differ from the annual fund operating expenses as disclosed in the Prospectus for the reasons set forth above.

Each unaffiliated Trustee receives an annual retainer of $30,000, plus $3,500 for each Board of Trustees meeting attended in person, $750 for each committee meeting attended and $750 for each Board of Trustees meeting attended telephonically, plus reimbursement of related expenses. In addition, the audit committee chair receives an additional annual retainer of $4,000 and each other committee chair receives an additional annual retainer of $500.

These expenses are allocated on a pro-rata basis to each Fund of the Trust according to its respective net assets. The Trust pays no compensation directly to any Trustee or any other officer who is affiliated with the Manager, all of whom receive remuneration for their services to the Trust from the Manager or its affiliates.

(d) Expense Limitation PIMCO has contractually agreed, until October 31, 2012, to waive a portion of PIMCO 1-3 Year U.S. Treasury Index Fund’s Management Fee equal to 0.06% of average daily net assets. Under the Fee Waiver Agreement, PIMCO is entitled to reimbursement by the Fund of any portion of the Management Fees waived, reduced or reimbursed pursuant to the Fee Waiver Agreement (the “Reimbursement Amount”) during the previous three years, provided that such amount paid to PIMCO will not: 1) together with any recoupment of organizational expenses and

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pro rata Trustees’ fees pursuant to the Expense Limitation Agreement, exceed the expense limit; 2) exceed the total Reimbursement Amount; or 3) include any amounts previously reimbursed to PIMCO. The Fee Waiver Agreement will automatically renew for one-year terms unless PIMCO provides written notice to the Trust at least 30 days prior to the end of the then current term.

PIMCO has contractually agreed, until October 31, 2012, to waive its Management Fee, or reimburse a Fund, to the extent that organizational expenses and pro rata Trustees’ fees, if any, exceed 0.0049% of that Fund’s average net assets. Under the Expense Limitation Agreement, which renews annually for a full year unless terminated by PIMCO upon at least 30 days’ notice prior to the end of the contract term, PIMCO may recoup these waivers and reimbursements in future periods, not exceeding three years, provided organizational expenses and pro rata Trustees’ fees plus such recoupment, do not exceed the Expense Limit. The recoverable amounts to PIMCO at June 30, 2012, were as follows (amounts in thousands):

Fund Name	Recoverable Amounts
PIMCO 1-3 Year U.S. Treasury Index Fund	$	299
PIMCO 3-7 Year U.S. Treasury Index Fund		66
PIMCO 7-15 Year U.S. Treasury Index Fund		68
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund		79
PIMCO Broad U.S. Treasury Index Fund		54
PIMCO 1-5 Year U.S. TIPS Index Fund		99
PIMCO 15+ Year U.S. TIPS Index Fund		74
PIMCO Broad U.S. TIPS Index Fund		70
PIMCO 0-5 Year High Yield Corporate Bond Index Fund		71
PIMCO Investment Grade Corporate Bond Index Fund		79
PIMCO Australia Bond Index Fund		38
PIMCO Canada Bond Index Fund		41
PIMCO Germany Bond Index Fund		29
PIMCO Build America Bond Strategy Fund		94
PIMCO Enhanced Short Maturity Strategy Fund		119
PIMCO Global Advantage® Inflation-Linked Bond Strategy Fund		66
PIMCO Intermediate Municipal Bond Strategy Fund		88
PIMCO Short Term Municipal Bond Strategy Fund		85
PIMCO Total Return Exchange-Traded Fund		165

9. RELATED PARTY TRANSACTIONS

The Manager and Distributor are related parties. Fees payable to these parties are disclosed in Note 8 and the accrued related party fee amounts are disclosed on the Statements of Assets and Liabilities.

Certain Funds are permitted to purchase or sell securities from or to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Funds from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the Act. Further, as defined under the procedures, each transaction is effected at the current market price. During the period ended June 30, 2012, the Funds below engaged in purchases and sales of securities pursuant to Rule 17a-7 of the Act (amounts in thousands):

Fund Name	Purchases		Sales
PIMCO 1-5 Year U.S. TIPS Index Fund	$	0	$	146,599
PIMCO 0-5 Year High Yield Corporate Bond Index Fund		5,488		9,639
PIMCO Investment Grade Corporate Bond Index Fund		4,498		0
PIMCO Build America Bond Strategy Fund		0		9,616
PIMCO Enhanced Short Maturity Strategy Fund		366,157		529,964
PIMCO Global Advantage® Inflation-Linked Bond Strategy Fund		4,516		0
PIMCO Short Term Municipal Bond Strategy Fund		0		0
PIMCO Total Return Exchange-Traded Fund		81,304		6,530

Each Fund may invest in the PIMCO Short-Term Floating NAV Portfolio and PIMCO Short-Term Floating NAV Portfolio III (“PIMCO Short-Term Floating NAV Portfolios”) to the extent permitted by the Act and rules thereunder. The PIMCO Short-Term Floating NAV Portfolios are registered investment companies created for use solely by the series of the Trust and series of the PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series, PIMCO Equity Series VIT, and other series of registered investment companies advised by PIMCO, in connection with their cash management activities. The PIMCO Short-Term Floating NAV Portfolios may incur expenses related to their investment activities, but do not pay Investment Advisory or Supervisory and Administrative Fees to PIMCO. The PIMCO Short-Term Floating NAV Portfolios are considered to be affiliated with the Funds. The table below shows each Fund’s transactions in and earnings from investments in the PIMCO Short-Term Floating NAV Portfolios for the period ended June 30, 2012 (amounts in thousands):

Investments in PIMCO Short-Term Floating NAV Portfolio

Fund Name	Market Value 06/30/2011		Purchases at Cost		Proceeds from Sales			Net Capital and Realized Gain/(Loss)		Unrealized Appreciation/ (Depreciation)		Market Value 06/30/2012		Dividend Income
PIMCO Build America Bond Strategy Fund	$	0	$	1,700	$	(1,700	)	$	0	$	0	$	0	$	0

ANNUAL REPORT JUNE 30, 2012 101

Notes to Financial Statements (Cont.)

10. GUARANTEES AND INDEMNIFICATIONS

Under the Trust’s organizational documents, each Trustee or officer of the Trust is indemnified and each employee or other agent of the Trust (including the Trust’s investment manager) may be indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts.

11. PURCHASES AND SALES OF SECURITIES

The length of time a Fund has held a particular security is not generally a consideration in investment decisions. A change in the securities held by a Fund is known as “portfolio turnover.” Each Fund may engage in frequent and active trading of portfolio securities to achieve its investment objective, including, without limitation, to reflect changes in the component securities of the Index, such as reconstitutions, additions or deletions of component securities. To the extent that Creation Unit purchases from and redemptions by a Fund are effected in cash, frequent purchases and redemptions may increase the rate of portfolio turnover. High portfolio turnover (e.g., over 100%) involves correspondingly greater expenses to a Fund, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities. Such sales may also result in realization of taxable capital gains, including short-term capital gains (which are generally taxed at ordinary income tax rates). The trading costs and tax effects associated with portfolio turnover may adversely affect a Fund’s performance. The portfolio turnover rates are reported in the Financial Highlights.

Purchases and sales of securities (excluding short-term investments) for the period ended June 30, 2012, were as follows (amounts in thousands):

	U.S. Government/Agency				All Other
Fund Name	Purchases		Sales		Purchases		Sales
PIMCO 1-3 Year U.S. Treasury Index Fund	$	75,778	$	10,602	$	0	$	0
PIMCO 3-7 Year U.S. Treasury Index Fund		7,757		8,630		0		0
PIMCO 7-15 Year U.S. Treasury Index Fund		4,115		3,979		0		0
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund		9,659		10,627		0		0
PIMCO Broad U.S. Treasury Index Fund		36,913		37,404		0		0
PIMCO 1-5 Year U.S. TIPS Index Fund		324,662		325,794		0		0
PIMCO 15+ Year U.S. TIPS Index Fund		36,801		37,624		0		0
PIMCO Broad U.S. TIPS Index Fund		5,101		5,947		0		0
PIMCO 0-5 Year High Yield Corporate Bond Index Fund		0		0		320,672		45,716
PIMCO Investment Grade Corporate Bond Index Fund		0		0		182,113		8,049
PIMCO Australia Bond Index Fund		0		0		32,889		7,786
PIMCO Canada Bond Index Fund		0		0		30,541		13,165
PIMCO Germany Bond Index Fund		0		0		14,085		10,853
PIMCO Build America Bond Strategy Fund		0		0		24,519		19,597
PIMCO Enhanced Short Maturity Strategy Fund		2,040,203		2,046,429		1,485,909		924,133
PIMCO Global Advantage® Inflation-Linked Bond Strategy Fund		59,103		65,360		46,589		15,548
PIMCO Intermediate Municipal Bond Strategy Fund		0		0		74,374		12,324
PIMCO Short Term Municipal Bond Strategy Fund		0		0		25,879		5,868
PIMCO Total Return Exchange-Traded Fund		3,865,253		2,875,024		928,118		120,090

12. CAPITAL SHARE TRANSACTIONS

Capital shares are issued and redeemed by a Fund only in Creation Units or multiples thereof. Except when aggregated in Creation Units, shares of a Fund are not redeemable. Transactions in capital shares for a Fund are disclosed in detail in the Statements of Changes in Net Assets.

The consideration for the purchase of Creation Units of a Fund generally consists of a basket of securities included in its Index together with a deposit of a specified cash payment. Authorized Participants may be charged transaction fees as set forth below. To offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, Authorized Participants are subject to standard creation and redemption transaction fees payable directly to State Street Bank and Trust Company, the administrator of the Funds. PIMCO may, from time to time, at its own expense, compensate purchasers of Creation Units who have purchased substantial amounts of Creation Units and other financial institutions for administrative or marketing

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services. Creations and redemptions for cash (when cash creations and redemptions are available or specified) may be subject to an additional variable charge up to the maximum amount shown in the table below.

	Standard Creation/ Redemption Transaction Fee*		Maximum Additional Variable Charge for Cash Creations**			Maximum Additional Variable Charge for Cash Redemptions**
All Funds (except PIMCO Australia Bond Index Fund, PIMCO Canada Bond Index Fund and PIMCO Germany Bond Index Fund)	$	500		3.00	%		2.00	%
PIMCO Australia Bond Index Fund, PIMCO Canada Bond Index Fund and PIMCO Germany Bond Index Fund	$	1,000		3.00	%		2.00	%

* Applicable to in-kind contributions or redemptions only.

** As a percentage of the cash amount invested or received.

13. INVESTMENT TRANSACTIONS

For the period ended June 30, 2012, certain Funds had in-kind contributions and in-kind redemptions as follows (amounts in thousands):

Fund Name	Contributions		Redemptions
PIMCO 1-3 Year U.S. Treasury Index Fund	$	35,716	$	10,034
PIMCO 7-15 Year U.S. Treasury Index Fund		27,320		0
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund		191,364		118,992
PIMCO Broad U.S. Treasury Index Fund		15,461		7,248
PIMCO 1-5 Year U.S. TIPS Index Fund		294,931		481,222
PIMCO 15+ Year U.S. TIPS Index Fund		213,728		162,369
PIMCO Broad U.S. TIPS Index Fund		46,088		0

The in-kind contributions and in-kind redemptions in this table may not agree with the Fund Share Transactions on the Statements of Changes in Net Assets. The table represents the accumulation of each Fund’s daily net shareholder transactions while the Statements of Changes in Net Assets reflect gross shareholder transactions including any cash component of the transactions.

14. REGULATORY AND LITIGATION MATTERS

The Trust is not engaged in any material litigation or arbitration proceedings and is not aware of any material litigation or claim pending or threatened by or against it.

15. FEDERAL INCOME TAX MATTERS

Each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the “Code”) and distribute all

of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.

In accordance with provisions set forth under U.S. GAAP, the Manager has reviewed the Funds’ tax positions for all open tax years. As of June 30, 2012, the Funds have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns.

The Funds file U.S. tax returns. While the statute of limitations remains open to examine the Funds’ U.S. tax returns filed for the fiscal years ending in 2009-2011, no examinations are in progress or anticipated at this time. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted. Under the Act, net capital losses may be carried forward indefinitely, and their character is retained as short-term and/or long term losses. Previously, net capital losses were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused.

ANNUAL REPORT JUNE 30, 2012 103

Notes to Financial Statements (Cont.)

As of June 30, 2012, the components of distributable taxable earnings are as follows (amounts in thousands):

	Undistributed Tax Exempt Income		Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Net Tax Basis Unrealized Appreciation/ (Depreciation)(1)			Other Book-to-Tax Accounting Differences(2)			Accumulated Capital Losses(3)			Post- October Deferral(4)			Qualified Late-Year Loss Deferral(5)
PIMCO 1-3 Year U.S. Treasury Index Fund	$	0	$	0	$	335		393		$	(92	)	$	0		$	0		$	0
PIMCO 3-7 Year U.S. Treasury Index Fund		0		17		148		971			(68	)		0			0			0
PIMCO 7-15 Year U.S. Treasury Index Fund		0		91		91		1,401			(92	)		0			0			0
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund		0		1,106		0		22,873			(1,080	)		(2,520	)		0			0
PIMCO Broad U.S. Treasury Index Fund		0		582		0		530			(66	)		0			0			0
PIMCO 1-5 Year U.S. TIPS Index Fund		0		3,404		552		7,183			(3,225	)		0			0			0
PIMCO 15+ Year U.S. TIPS Index Fund		0		1,050		0		41,084			(1,127	)		(2,560	)		(80	)		0
PIMCO Broad U.S. TIPS Index Fund		0		447		10		8,778			(427	)		0			0			0
PIMCO 0-5 Year High Yield Corporate Bond Index Fund		0		1,984		0		2,569			(1,636	)		(50	)		0			0
PIMCO Investment Grade Corporate Bond Index Fund		0		861		0		9,101			(721	)		(408	)		(17	)		0
PIMCO Australia Bond Index Fund		0		56		0		758			(33	)		0			(6	)		0
PIMCO Canada Bond Index Fund		0		151		0		319			(65	)		0			0			0
PIMCO Germany Bond Index Fund		0		0		0		(108	)		(23	)		0			0			0
PIMCO Build America Bond Strategy Fund		0		721		492		2,583			(224	)		0			0			0
PIMCO Enhanced Short Maturity Strategy Fund		0		1,734		0		5,814			(1,577	)		0			(1,280	)		0
PIMCO Global Advantage Inflation Linked-Bond Strategy Fund		0		269		0		(272	)		(73	)		0			0			0
PIMCO Intermediate Municipal Bond Strategy Fund		297		167		48		5,929			(335	)		0			0			0
PIMCO Short-Term Municipal Bond Strategy Fund		98		0		5		249			(96	)		0			0			0
PIMCO Total Return Exchange-Traded Fund		0		16,514		0		26,114			(11,799	)		0			0			0

⁽¹⁾  Adjusted for open wash sale loss deferrals for federal income tax purposes.

⁽²⁾  Represents differences in income tax regulations and financial accounting principles generally accepted in the United States of America, mainly for distributions payable at fiscal year-end.

⁽³⁾  Capital losses available to offset future net capital gains expire in varying amounts in the years shown below.

⁽⁴⁾  Capital losses realized during the period November 1, 2011 through June 30, 2012 which the Fund elected to defer to the following taxable year pursuant to federal income tax regulations.

⁽⁵⁾  Specified losses realized during the period November 1, 2011 through June 30, 2012 and Ordinary losses realized during the period January 1, 2012 through June 30, 2012, which the Fund elected to defer to the following taxable year pursuant to income tax regulations.

As of June 30, 2012, the Funds had accumulated capital losses expiring in the following years (amounts in thousands). The Funds will resume capital gain distributions in the future to the extent gains are realized in excess of accumulated capital losses.

	Expiration Year of Accumulated Capital Losses (amounts in thousands)
	2013		2014		2015		2016		2017		2018		2019
PIMCO 1-3 Year U.S. Treasury Index Fund	$	0	$	0	$	0	$	0	$	0	$	0	$	0
PIMCO 3-7 Year U.S. Treasury Index Fund		0		0		0		0		0		0		0
PIMCO 7-15 Year U.S. Treasury Index Fund		0		0		0		0		0		0		0
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund		0		0		0		0		0		0		363
PIMCO Broad U.S. Treasury Index Fund		0		0		0		0		0		0		0
PIMCO 1-5 Year U.S. TIPS Index Fund		0		0		0		0		0		0		0
PIMCO 15+ Year U.S. TIPS Index Fund		0		0		0		0		0		0		0
PIMCO Broad U.S. TIPS Index Fund		0		0		0		0		0		0		0
PIMCO 0-5 Year High Yield Corporate Bond Index Fund		0		0		0		0		0		0		0
PIMCO Investment Grade Corporate Bond Index Fund		0		0		0		0		0		0		0
PIMCO Australia Bond Index Fund		0		0		0		0		0		0		0
PIMCO Canada Bond Index Fund		0		0		0		0		0		0		0
PIMCO Germany Bond Index Fund		0		0		0		0		0		0		0
PIMCO Build America Bond Strategy Fund		0		0		0		0		0		0		0
PIMCO Enhanced Short Maturity Strategy Fund		0		0		0		0		0		0		0
PIMCO Global Advantage Inflation Linked-Bond Strategy Fund		0		0		0		0		0		0		0
PIMCO Intermediate Municipal Bond Strategy Fund		0		0		0		0		0		0		0
PIMCO Short-Term Municipal Bond Strategy Fund		0		0		0		0		0		0		0
PIMCO Total Return Exchange-Traded Fund		0		0		0		0		0		0		0

104 PIMCO ETF TRUST

June 30, 2012

Under the recently enacted Regulated Investment Company Modernization Act of 2010, a fund is permitted to carry forward any new losses for an unlimited period. Additionally, such capital losses that are carried over retain their character as either short-term or long-term losses rather than being considered all short-term as under previous law. As of June 30, 2012, the Funds had the following post-effective capital losses with no expiration:

	Short-Term		Long-Term
PIMCO 1-3 Year U.S. Treasury Index Fund	$	0	$	0
PIMCO 3-7 Year U.S. Treasury Index Fund		0		0
PIMCO 7-15 Year U.S. Treasury Index Fund		0		0
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund		2,119		37
PIMCO Broad U.S. Treasury Index Fund		0		0
PIMCO 1-5 Year U.S. TIPS Index Fund		0		0
PIMCO 15+ Year U.S. TIPS Index Fund		2,560		0
PIMCO Broad U.S. TIPS Index Fund		0		0
PIMCO 0-5 Year High Yield Corporate Bond Index Fund		50		0
PIMCO Investment Grade Corporate Bond Index Fund		408		0
PIMCO Australia Bond Index Fund		0		0
PIMCO Canada Bond Index Fund		0		0
PIMCO Germany Bond Index Fund		0		0
PIMCO Build America Bond Strategy Fund		0		0
PIMCO Enhanced Short Maturity Strategy Fund		0		0
PIMCO Global Advantage Inflation Linked-Bond Strategy Fund		0		0
PIMCO Intermediate Municipal Bond Strategy Fund		0		0
PIMCO Short-Term Municipal Bond Strategy Fund		0		0
PIMCO Total Return Exchange-Traded Fund		0		0

As of June 30, 2012, the aggregate cost and the net unrealized appreciation/(depreciation) of investments for federal income tax purposes are as follows (amounts in thousands):

	Federal Tax Cost		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)(6)
PIMCO 1-3 Year U.S. Treasury Index Fund	$	134,114	$	408	$	(15	)	$	393
PIMCO 3-7 Year U.S. Treasury Index Fund		20,877		973		(2	)		971
PIMCO 7-15 Year U.S. Treasury Index Fund		35,675		1,405		(4	)		1,401
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund		146,862		22,873		0			22,873
PIMCO Broad U.S. Treasury Index Fund		18,935		535		(5	)		530
PIMCO 1-5 Year U.S. TIPS Index Fund		986,406		8,404		(1,221	)		7,183
PIMCO 15+ Year U.S. TIPS Index Fund		333,231		41,085		(1	)		41,084
PIMCO Broad U.S. TIPS Index Fund		99,942		8,781		(3	)		8,778
PIMCO 0-5 Year High Yield Corporate Bond Index Fund		318,909		5,412		(2,843	)		2,569
PIMCO Investment Grade Corporate Bond Index Fund		244,485		9,292		(191	)		9,101
PIMCO Australia Bond Index Fund		24,887		756		(16	)		740
PIMCO Canada Bond Index Fund		17,774		319		0			319
PIMCO Germany Bond Index Fund		2,917		5		(111	)		(106	)
PIMCO Build America Bond Strategy Fund		34,242		2,594		(11	)		2,583
PIMCO Enhanced Short Maturity Strategy Fund		1,705,801		7,194		(1,380	)		5,814
PIMCO Global Advantage Inflation Linked-Bond Strategy Fund		28,566		248		(514	)		(266	)
PIMCO Intermediate Municipal Bond Strategy Fund		147,673		6,212		(283	)		5,929
PIMCO Short-Term Municipal Bond Strategy Fund		42,808		284		(34	)		250
PIMCO Total Return Exchange-Traded Fund		2,166,040		31,234		(5,164	)		26,070

⁽⁶⁾  Primary differences between book and tax net unrealized appreciation/(depreciation) are attributable to wash sale loss deferrals and straddle loss deferral on foreign currency contracts for federal income tax purposes.

ANNUAL REPORT JUNE 30, 2012 105

Notes to Financial Statements (Cont.)

June 30, 2012

For the fiscal years ended June 30, 2012 and June 30, 2011, respectively, the Funds made the following tax basis distributions (amounts in thousands):

	June 30, 2012								June 30, 2011
	Tax-Exempt Income Distributions		Ordinary Income Distributions(7)		Long-Term Capital Gain Distributions		Return of Capital(8)		Tax-Exempt Income Distributions		Ordinary Income Distributions(7)		Long-Term Capital Gain Distributions		Return of Capital(8)
PIMCO 1-3 Year U.S. Treasury Index Fund	$	0	$	874	$	124	$	0	$	0	$	821	$	0	$	0
PIMCO 3-7 Year U.S. Treasury Index Fund		0		372		61		0		0		1,280		7		0
PIMCO 7-15 Year U.S. Treasury Index Fund		0		433		40		0		0		724		0		0
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund		0		2,723		0		0		0		1,798		0		0
PIMCO Broad U.S. Treasury Index Fund		0		354		0		0		0		126		0		0
PIMCO 1-5 Year U.S. TIPS Index Fund		0		15,747		388		0		0		28,201		0		0
PIMCO 15+ Year U.S. TIPS Index Fund		0		8,084		0		0		0		9,472		0		0
PIMCO Broad U.S. TIPS Index Fund		0		1,951		0		0		0		1,887		0		0
PIMCO 0-5 Year High Yield Corporate Bond Index Fund		0		9,093		0		0		0		41		0		0
PIMCO Investment Grade Corporate Bond Index Fund		0		5,061		0		0		0		1,795		0		0
PIMCO Australia Bond Index Fund		0		524		0		0		NA		NA		NA		NA
PIMCO Canada Bond Index Fund		0		153		0		0		NA		NA		NA		NA
PIMCO Germany Bond Index Fund		0		22		0		62		NA		NA		NA		NA
PIMCO Build America Bond Strategy Fund		0		1,957		0		0		0		1,263		0		0
PIMCO Enhanced Short Maturity Strategy Fund		0		17,295		0		0		0		9,351		0		0
PIMCO Global Advantage Inflation Linked-Bond Strategy Fund		0		0		0		0		NA		NA		NA		NA
PIMCO Intermediate Municipal Bond Strategy Fund		2,633		94		38		0		1,550		82		0		0
PIMCO Short-Term Municipal Bond Strategy Fund		340		12		12		0		273		0		0		0
PIMCO Total Return Exchange-Traded Fund		0		7,240		0		0		NA		NA		NA		NA

⁽⁷⁾  Includes short-term capital gains, if any, distributed.

⁽⁸⁾  Portion of distributions made that represents a tax return of capital. Return of capital distribution have been reclassified from undistributed net investment income to paid-in capital to more appropriately conform financial accounting to tax accounting.

16. SUBSEQUENT EVENTS

The Manager has evaluated the possibility of subsequent events through the date the financial statements were issued and has determined that there are no material events that would require disclosure in the Funds’ financial statements.

106 PIMCO ETF TRUST

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of PIMCO ETF Trust:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of PIMCO 1-3 Year U.S. Treasury Index Fund, PIMCO 3-7 Year U.S. Treasury Index Fund, PIMCO 7-15 Year U.S. Treasury Index Fund, PIMCO 25+Year Zero Coupon U.S. Treasury Index Fund, PIMCO Broad U.S. Treasury Index Fund, PIMCO 1-5 Year U.S. TIPS Index Fund, PIMCO 15+ Year U.S. TIPS Index Fund, PIMCO Broad U.S. TIPS Index Fund, PIMCO 0-5 Year High Yield Corporate Bond Index Fund, PIMCO Investment Grade Corporate Bond Index Fund, PIMCO Australia Bond Index Fund, PIMCO Canada Bond Index Fund, PIMCO Germany Bond Index Fund, PIMCO Build America Bond Strategy Fund, PIMCO Enhanced Short Maturity Strategy Fund, PIMCO Global Advantage^® Inflation-Linked Bond Strategy Fund, PIMCO Intermediate Municipal Bond Strategy Fund, PIMCO Short Term Municipal Bond Strategy Fund, and PIMCO Total Return Exchange-Traded Fund (constituting PIMCO ETF Trust, hereafter referred to as the “Funds”) at June 30 2012, the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2012 by correspondence with the custodian and counterparties, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Kansas City, Missouri

August 17, 2012

ANNUAL REPORT JUNE 30, 2012 107

Federal Income Tax Information

(Unaudited)

Exempt Interest Dividends. Pursuant to Section 852(b)(5) of the Internal Revenue Code, the Funds below designated the following percentages of income dividends paid as exempt interest dividends for the fiscal year ended June 30, 2012:

PIMCO Intermediate Municipal Bond Strategy Fund	100	%
PIMCO Short-Term Municipal Bond Strategy Fund	100	%

Long Term Capital Gain Designations. Pursuant to Section 852(b)(3) of the Internal Revenue Code, the Funds designated the following amounts as capital gain dividends for the fiscal year ended June 30, 2012:

PIMCO 1-3 Year U.S. Treasury Index Fund	$	124,166
PIMCO 3-7 Year U.S. Treasury Index Fund		60,709
PIMCO 7-15 Year U.S. Treasury Index Fund		40,166
PIMCO 1-5 Year U.S. TIPS Index Fund		387,679
PIMCO Intermediate Municipal Bond Strategy Fund		37,904
PIMCO Short-Term Municipal Bond Strategy Fund		12,283

108 PIMCO ETF TRUST

Glossary: (abbreviations that may be used in the preceding statements)

(Unaudited)

Counterparty Abbreviations:
BOA	Bank of America N.A.	FBF	Credit Suisse International	MSC	Morgan Stanley & Co., Inc.
BPS	BNP Paribas S.A.	GSC	Goldman Sachs & Co.	RBC	Royal Bank of Canada
BRC	Barclays Bank PLC	HUS	HSBC Bank USA N.A.	RYL	Royal Bank of Scotland Group PLC
CBK	Citibank N.A.	JPM	JPMorgan Chase Bank N.A.	UAG	UBS AG Stamford
DUB	Deutsche Bank AG
Currency Abbreviations:
AUD	Australian Dollar	EUR	Euro	MXN	Mexican Peso
BRL	Brazilian Real	GBP	British Pound	SEK	Swedish Krona
CAD	Canadian Dollar	ILS	Israeli Shekel	USD	United States Dollar
CLP	Chilean Peso	JPY	Japanese Yen	ZAR	South African Rand
Municipal Bond or Agency Abbreviations:
AGM	Assured Guaranty Municipal	FHA	Federal Housing Administration	PSF	Public School Fund
AMBAC	American Municipal Bond Assurance Corp.	GTD	Guaranteed	Q-SBLF	Qualified School Bond Loan Fund
FGIC	Financial Guaranty Insurance Co.	NPFGC	National Public Finance Guarantee Corp.	SGI	Syncora Guarantee, Inc.
Other Abbreviations:
ABS	Asset-Backed Security	CDO	Collateralized Debt Obligation	FDIC	Federal Deposit Insurance Corp.
ALT	Alternate Loan Trust	CLO	Collateralized Loan Obligation	NCUA	National Credit Union Administration
BABs	Build America Bonds	CMBS	Collateralized Mortgage-Backed Security

ANNUAL REPORT JUNE 30, 2012 109

Management of the Trust

The chart below identifies the Trustees and Officers of the Trust. Each “interested” Trustee as defined by the 1940 Act, is indicated by an asterisk (*). Unless otherwise indicated, the address of all persons below is 840 Newport Center Drive, Newport Beach, CA 92660.

The Funds’ Statement of Additional Information includes more information about the Trustees and Officers. To request a free copy, call PIMCO at (888) 400-4ETF or visit the Funds’ website at www.pimcoetfs.com.

Trustees

Name, Year of Birth and Position Held with Trust*	Term of  Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Funds in Fund Complex Overseen by Trustee*	Other Directorships Held by Trustee
Interested Trustees
Brent R. Harris* (1959) Chairman of the Board and Trustee	02/2009 to Present	Managing Director and member of Executive Committee, PIMCO; Formerly, Chairman and Director, PCM Fund, Inc. Formerly, Chairman and Director PIMCO Strategic Global Government Fund, Inc.	161	Chairman and Trustee, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series, PIMCO Equity Series VIT; Director, StocksPLUS® Management, Inc; and member of Board of Governors, Investment Company Institute. Board Member and Owner, Harris Holdings, LLC (1992-present).
Douglas M. Hodge* (1957) Trustee	02/2010 to Present	Managing Director; Chief Operating Officer (since 7/09); Member of Executive Committee and Head of PIMCO’s Asia Pacific region. Member Global Executive Committee, Allianz Asset Management.	154	Trustee, PIMCO Funds and PIMCO Variable Insurance Trust.
Independent  Trustees
E. Philip Cannon (1940) Trustee	02/2009 to Present	Private Investor; Formerly, President, Houston Zoo. Formerly, Director, PCM Fund, Inc.	161	Trustee, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series and PIMCO Equity Series VIT.
Vern O. Curtis (1934) Trustee	02/2009 to Present	Private Investor; Formerly, Director, PCM Fund, Inc.	161	Trustee, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series and PIMCO Equity Series VIT.
J. Michael Hagan (1939) Trustee	02/2009 to Present	Private Investor and Business Advisor (primarily to manufacturing companies); Formerly, Director, PCM Fund, Inc.	154	Trustee, PIMCO Funds and PIMCO Variable Insurance Trust;
Ronald C. Parker (1951) Trustee	07/2009 to Present	Chairman of the Board, The Ford Family Foundation. Formerly President, Chief Executive Officer, Hampton Affiliates (forestry products).	154	Trustee, PIMCO Funds and PIMCO Variable Insurance Trust.
William J. Popejoy (1938) Trustee	02/2009 to Present	Private Investor; Formerly, Director, PCM Fund, Inc.	154	Trustee, PIMCO Funds and PIMCO Variable Insurance Trust.

* Mr. Harris and Mr. Hodge are “interested persons” of the Trust (as that term is defined in the 1940 Act) because of their affiliation with PIMCO.

** Trustees serve until their successors are duly elected and qualified.

110 PIMCO ETF TRUST

(Unaudited)

Executive Officers

Name, Year of Birth and Position Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years
Brent R. Harris (1959) President	03/2009 to present	Managing Director and member of Executive Committee, PIMCO.
David C. Flattum (1964) Chief Legal Officer	02/2009 to present	Managing Director and General Counsel, PIMCO. Formerly, Managing Director, Chief Operating Officer and General Counsel, Allianz Asset Management America L.P. and Partner at Latham & Watkins LLP.
Jennifer E. Durham (1970) Chief Compliance Officer	02/2009 to present	Managing Director, and Chief Compliance Officer, PIMCO.
William H. Gross (1944) Senior Vice President	02/2009 to present	Managing Director and Co-Chief Investment Officer, PIMCO.
Mohamed El-Erian (1958) Senior Vice President	02/2009 to present	Managing Director, Co-Chief Investment Officer and Chief Executive Officer, PIMCO. Formerly, President and CEO of Harvard Management Company.
Douglas M. Hodge (1957) Senior Vice President	05/2010 to present	Managing Director; Chief Operation Officer (since 7/09); Member of Executive Committee and Head of PIMCO’s Asia Pacific Region. Member Global Executive Committee, Allianz Asset Management.
J. Stephen King, Jr. (1962) Vice President - Senior Counsel, Secretary	11/2008 to present	Senior Vice President and Attorney, PIMCO. Formerly, Associate, Dechert LLP.
Kevin M. Broadwater (1964) Vice President - Senior Counsel	05/2012 to present	Executive Vice President and Attorney, PIMCO.
Peter G. Strelow (1970) Vice President	02/2009 to present	Managing Director, PIMCO.
Henrik P. Larsen (1970) Vice President	02/2009 to present	Senior Vice President, PIMCO.
Eric D. Johnson (1970) Vice President	05/2011 to present	Senior Vice President, PIMCO.
Greggory S. Wolf (1970) Vice President	05/2011 to present	Senior Vice President, PIMCO.
Donald W. Suskind (1973) Vice President	05/2009 to present	Senior Vice President, PIMCO.
John P. Hardaway (1957) Treasurer	11/2008 to present	Executive Vice President, PIMCO.
Ryan G. Leshaw (1980) Assistant Secretary	05/2012 to present	Vice President and Attorney, PIMCO. Formerly, Associate, Willkie Farr & Gallagher LLP.
Stacie D. Anctil (1969) Assistant Treasurer	02/2009 to present	Senior Vice President, PIMCO.
Erik C. Brown (1967) Assistant Treasurer	02/2009 to present	Senior Vice President, PIMCO.
Trent W. Walker (1974) Assistant Treasurer	02/2009 to present	Senior Vice President, PIMCO.

ANNUAL REPORT JUNE 30, 2012 111

Privacy Policy

(Unaudited)

The Funds consider customer privacy to be a fundamental aspect of their relationships with shareholders and are committed to maintaining the confidentiality, integrity and security of their current, prospective and former shareholders’ personal information. The Funds have developed policies that are designed to protect this confidentiality, while allowing shareholder needs to be served.

OBTAINING PERSONAL INFORMATION

In the course of providing shareholders with products and services, the Funds and certain service providers to the Funds, such as the Funds’ investment adviser (“Adviser”), may obtain non-public personal information about shareholders, which may come from sources such as account applications and other forms, from other written, electronic or verbal correspondence, from shareholder transactions, from a shareholder’s brokerage or financial advisory firm, financial adviser or consultant, and/or from information captured on the Funds’ internet websites.

RESPECTING YOUR PRIVACY

As a matter of policy, the Funds do not disclose any personal or account information provided by shareholders or gathered by the Funds to non-affiliated third parties, except as required or permitted by law or as necessary for such third parties to perform their agreements with respect to the Funds. As is common in the industry, non-affiliated companies may from time to time be used to provide certain services, such as preparing and mailing prospectuses, reports, account statements and other information, conducting research on shareholder satisfaction and gathering shareholder proxies. The Funds’ Distributor may also retain non-affiliated companies to market the Funds’ shares or products which use the Funds’ shares and enter into joint marketing arrangements with them and other companies. These companies may have access to a shareholder’s personal and account information, but are permitted to use this information solely to provide the specific service or as otherwise permitted by law. In most cases, the shareholders will be clients of a third party, but the Funds may also provide a shareholder’s personal and account information to the shareholder’s respective brokerage or financial advisory firm.

SHARING INFORMATION WITH THIRD PARTIES

The Funds reserve the right to disclose or report personal information to non-affiliated third parties, in limited circumstances, where the Funds believe in good faith that disclosure is required under law to cooperate with regulators or law enforcement authorities, to protect their rights or property or upon reasonable request by any Fund in which a shareholder has invested. In addition, the Funds may disclose information about a shareholder’s accounts to a non-affiliated third party at the shareholder’s request or with the consent of the shareholder.

SHARING INFORMATION WITH AFFILIATES

The Funds may share shareholder information with their affiliates in connection with servicing their shareholders’ accounts, and subject to applicable law may provide shareholders with information about products and services that the Funds or their Adviser, principal underwriters or their affiliates (“Service Affiliates”) believe may be of interest to such shareholders. The information that the Funds share may include, for example, a shareholder’s participation in one of the Funds or in other investment programs sponsored by a Service Affiliate, a shareholder’s ownership of certain types of accounts (such as IRAs), information about the Funds’ experiences or transactions with a shareholder, information captured on the Funds’ internet websites, or other data about a shareholder’s accounts, subject to applicable law. The Funds’ Service Affiliates, in turn, are not permitted to share shareholder information with non-affiliated entities, except as required or permitted by law.

PROCEDURES TO SAFEGUARD PRIVATE INFORMATION

The Funds take seriously the obligation to safeguard shareholder non-public personal information. In addition to this policy, the Funds have implemented procedures that are designed to restrict access to a shareholder’s non-public personal information to internal personnel who need to know that information to perform their jobs, such as servicing shareholder accounts or notifying shareholders of new products or services. Physical, electronic and procedural safeguards are in place to guard a shareholder’s non-public personal information.

112 PIMCO ETF TRUST

Approval of the Investment Management Agreement for the PIMCO Global Advantage Inflation-Linked Bond Strategy Fund and PIMCO Total Return Exchange-Traded Fund

(Unaudited)

On November 8, 2010, the Board of Trustees (the “Board”) of PIMCO ETF Trust (the “Trust”), including all of the independent Trustees (the “Independent Trustees”), approved the Trust’s Investment Management Agreement (the “Agreement”) with Pacific Investment Management Company LLC (“PIMCO”) on behalf of the PIMCO Global Advantage Inflation-Linked Bond Strategy Fund, a new series of the Trust, for an initial two-year term.

On May 23, 2011, the Board of the Trust, including all of the Independent Trustees, approved the Agreement with PIMCO on behalf of the PIMCO Total Return Exchange-Traded Fund, a new series of the Trust (together with the PIMCO Global Advantage Inflation-Linked Bond Strategy Fund, the “New Funds”), for an initial two-year term. Under the Agreement, PIMCO provides investment advisory services, as well as supervisory and administrative services, to each series of the Trust for a single management fee (“unified fee”).

The information, material factors and conclusions that formed the basis for the Board’s approvals are described below.

1. INFORMATION RECEIVED

(a) Materials Reviewed: The Trustees received a wide variety of materials relating to the services to be provided by PIMCO. The Board reviewed information relating to proposed fund operations, including the New Funds’ compliance program, shareholder services, valuation, custody, distribution, and other information relating to the nature, extent and quality of services proposed to be provided by PIMCO to the Trust. In considering whether to approve the Agreement, the Board also reviewed materials provided by PIMCO, which included, among other things, comparative industry data with regard to expense ratios of funds with investment objectives and policies similar to those of the New Funds. The Board also reviewed material provided by counsel to the Trust and the Independent Trustees, which included, among other things, memoranda outlining legal duties of the Board. The Board also reviewed information about the personnel who would be providing investment management services and supervisory and administrative services to the New Funds.

(b) Review Process: In connection with the approval of the Agreement, the Board reviewed written materials prepared by PIMCO, which included, among other things, comparative fee data for funds in the appropriate Lipper, Inc. (“Lipper”) peer group. Lipper is an independent provider of investment company performance and fee and expense data. The Board also requested and received assistance and advice regarding applicable legal standards from Trust counsel. The Board also heard oral presentations on

matters related to the Agreement. The approval determinations were made on the basis of each Trustee’s business judgment after consideration of all the information presented. Individual Trustees may have given different weights to certain factors and assigned various degrees of materiality to information received in connection with the approval process. In deciding to approve the Agreement, the Board did not identify any single factor or particular information that, in isolation, was controlling. This summary describes the most important, but not all, of the factors considered by the Board.

2. NATURE, EXTENT AND QUALITY OF SERVICES

(a) PIMCO, its Personnel, and Resources: The Board considered the depth and quality of PIMCO’s investment management process, including: its global research capabilities; the experience, capability and integrity of its senior management and other personnel; the low turnover rates of its key personnel; the overall financial strength and stability of its organization; and the ability of its organizational structure to address the recent growth in assets under management. The Board also considered that PIMCO makes available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, performance and portfolio accounting. The Board noted PIMCO’s commitment to investing in information technology supporting investment management and compliance, as well as PIMCO’s continuing efforts to attract and retain qualified personnel and to maintain and enhance its resources and systems.

Ultimately, the Board concluded that the nature, extent and quality of services proposed to be provided by PIMCO under the Agreement are likely to benefit the New Funds and their shareholders.

(b) Other Services: The Board considered PIMCO’s policies, procedures and systems to assure compliance with applicable laws and regulations and its commitment to these programs; its efforts to keep the Trustees informed about matters relevant to the Trust and its shareholders; and its attention to matters that may involve conflicts of interest with the Trust. The Board also considered the nature, extent and quality of the supervisory and administrative services to be provided by PIMCO to the New Funds under the Agreement. The Board considered PIMCO’s provision of these services to the other series of the Trust and its supervision of the Trust’s third party service providers to assure that these service providers provide a high level of service relative to alternatives in the market. Ultimately, the Board concluded that the nature, extent and quality of the services to be provided by PIMCO would likely benefit the New Funds and their shareholders.

ANNUAL REPORT JUNE 30, 2012 113

Approval of the Investment Management Agreement for the PIMCO Global Advantage Inflation-Linked Bond Strategy Fund and PIMCO Total Return Exchange-Traded Fund (Cont.)

3. INVESTMENT PERFORMANCE

As the New Funds had not yet commenced operations at the time the Agreement was considered, the Trustees did not receive or consider investment performance information.

4. MANAGEMENT FEE AND TOTAL EXPENSES

The Board considered that PIMCO strives to price funds with total expense ratios at or below the respective Lipper median, while providing premium investment offerings. PIMCO reported to the Board that, in proposing the management fees for the New Funds, it considers a number of factors, including the type and complexity of the services to be provided, the cost of providing services, the risk assumed by PIMCO in the provision of services, the impact on potential returns from different levels of fees, the competitive marketplace for financial products, and the attractiveness of potential returns to potential investors in the New Funds.

The Board reviewed the proposed management fee and estimated total expenses of each New Fund (each as a percentage of average net assets) and compared such amounts with the average and median fees and expenses of other similar funds. With respect to the management fees, the Board reviewed data from Lipper that compared the average and median management fees of other funds in a “Peer Group Expense Comparison” of comparable funds, as well as the universe of other similar funds. The Board compared the New Funds’ estimated total expenses to other funds in the Peer Group Expense Comparisons provided by Lipper and found the New Funds’ estimated total expenses to be reasonable.

With respect to the PIMCO Total Return Exchange-Traded Fund, the Board discussed the proposed fees in light of the fees charged by the PIMCO Total Return Fund, a series of PIMCO Funds with similar strategies. The Board noted the differences between the two products, which justified different fees. The Board also considered that PIMCO manages a separate account with investment strategies that are similar to that of the PIMCO Total Return Exchange-Traded Fund; however, the management fee for the Fund includes supervisory and administration services in addition to investment management services and, thus, the separate account does not provide a meaningful comparison. At the time the Board considered the Agreements, PIMCO did not manage any separate accounts with similar investment strategies to the PIMCO Global Advantage Inflation-Linked Bond Strategy Fund; therefore, the Board did not consider the fees charged by PIMCO to comparable separate accounts.

The Board also considered the Trust’s unified fee structure, under which the Trust pays for the advisory and supervisory and admin-

istrative services it requires for a unified fee, and in return, PIMCO provides or procures such services and bear the costs of various third party services required by the New Funds, including audit, custodial, portfolio accounting, legal, transfer agency and printing costs. The Board noted that the unified fee leads to fund fees that are fixed, rather than variable. The Board concluded that the New Funds’ proposed management fees were reasonable in relation to the value of the services to be provided and that the supervisory and administrative expenses assumed contractually by PIMCO under the Agreement represent, in effect, a cap on fund fees that would be beneficial to the New Funds and their shareholders. The Board further noted that, although the unified fee structure does not have break points, it implicitly reflects economies of scale by fixing the absolute level of Fund fees at competitive levels, in effect, setting the fees as if each New Fund was already at scale.

The Board also noted that PIMCO had contractually agreed to reduce total annual fund operating expenses for each New Fund by waiving a portion of its management fee or reimbursing the New Fund, to the extent that any organizational expenses and the pro rata share of the Trust’s Trustees’ fees attributable to the New Fund exceeds 0.49 basis points during the New Fund’s first fiscal year.

Based on the information presented by PIMCO and Lipper, members of the Board then determined, in the exercise of their business judgment, that the level of the advisory and supervisory and administrative fees to be charged by PIMCO, as well as the estimated total expenses of the New Funds, are reasonable and approval of the Agreement would likely benefit the New Funds and their shareholders.

5. ADVISER COSTS, LEVEL OF PROFITS AND ECONOMIES OF SCALE

As the New Funds are newly organized, information regarding PIMCO’s costs in providing services to the New Funds and the profitability of PIMCO’s relationship with the New Funds was not available.

With respect to potential economies of scale, the Board found that because the unified fee protects shareholders against unanticipated increases in expense ratios due to redemptions, declines in asset values, or increases in the costs of services provided or procured by PIMCO, economies of scale are implicitly recognized in the level of the unified fee (which, together with the advisory fee, serves as a proxy for each New Fund’s overall expense ratio).

The Board concluded that each New Fund’s proposed cost structure was reasonable and that the unified fee structure inherently involves the sharing of economies of scale between PIMCO and the New Funds, to the benefit of the New Funds’ shareholders.

114 PIMCO ETF TRUST

(Unaudited)

6. ANCILLARY BENEFITS

The Board considered other benefits received by PIMCO and its affiliates as a result of PIMCO’s relationship with the Trust, including possible ancillary benefits to PIMCO’s institutional investment management business due to the reputation and market penetration of the Trust. The Board reviewed PIMCO’s soft dollar policies and procedures, noting that while PIMCO has the authority to receive the benefit of research provided by broker-dealers executing portfolio transactions on behalf of the New Funds, it has adopted a policy not to enter into contractual soft dollar arrangements.

7. CONCLUSIONS

Based on its review, including its consideration of each of the factors referred to above, the Board concluded that the Agreement was fair and reasonable to the New Funds and their shareholders, that the New Funds’ shareholders would likely receive reasonable value in return for the fees and other amounts paid to PIMCO by the New Funds, and that the approval of the Agreement was in the best interests of the New Funds and their shareholders.

ANNUAL REPORT JUNE 30, 2012 115

General Information

Investment Manager

Pacific Investment Management Company LLC

840 Newport Center Drive

Newport Beach, CA 92660

Distributor

PIMCO Investments LLC

1633 Broadway

New York, NY 10019

Custodian

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Transfer Agent

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Legal Counsel

Dechert LLP

1775 I Street N.W.

Washington, D.C. 20006

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

1100 Walnut Street

Kansas City, MO 64106

This report is submitted for the general information of the shareholders of the PIMCO ETF Trust.

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Item 2.	Code of Ethics.
	As of the end of the period covered by this report, the Registrant has adopted a code of ethics (the “Code”) that applies to the Registrant’s principal executive officer and principal financial officer. The Registrant did not grant any waivers, including implicit waivers, from any provisions of the Code to the principal executive officer or principal financial officer during the period covered by this report. A copy of the Code is included as an exhibit to this report.
Item 3.	Audit Committee Financial Expert.
	(a)     The Board of Trustees has determined that J. Michael Hagan, who serves on the Board’s audit committee, qualifies as an “audit committee financial expert” as such term is defined in the instructions to this Item 3. The Board has also determined that Mr. Hagan is “independent” as such term is interpreted under this Item 3.
Item 4.	Principal Accountant Fees and Services.
	(a)    Fiscal Year Ended		Audit Fees
	June 30, 2012	$	389,124
	June 30, 2011		275,871
	(b)    Fiscal Year Ended		Audit-Related  Fees(1)
	June 30, 2012
	June 30, 2011		—
	(c)    Fiscal Year Ended		Tax Fees(2)
	June 30, 2012
	June 30, 2011		—
	(d)    Fiscal Year Ended		All Other Fees(3)
	June 30, 2012
	June 30, 2011		—
	“Audit Fees” represents fees billed for each of the last two fiscal years for professional services rendered for the audit of the PIMCO ETF Trust (the “Trust” or “Registrant”) annual financial statements for those fiscal years or services that are normally provided by the accountant in connection with statutory or regulatory filings or engagements for those fiscal years. “Audit-Related Fees” represents fees billed for each of the last two fiscal years for assurance and related services reasonably related to the performance of the audit of the Trust’s annual financial statements for those years. “Tax Fees” represents fees billed for each of the last two fiscal years for professional services related to tax compliance, tax advice and tax planning, including review of federal and state income tax returns, review of excise tax distribution requirements and preparation of excise tax returns. “All Other Fees” represents fees, if any, billed for other products and services rendered by the principal accountant to the Trust for the last two fiscal years. (1) There were no “Audit-Related Fees” for the last two fiscal years. (2) There were no “Tax Fees” for the last two fiscal years. (3) There were no “All Other Fees” for the last two fiscal years. (e)     Pre-approval policies and procedures (1) The Registrant’s Audit Committee has adopted pre-approval policies and procedures (the “Procedures”) to govern the Audit Committee’s pre-approval of (i) all audit services and permissible non-audit services to be provided to the Registrant by its independent accountant, and (ii) all permissible non-audit services to be provided by such independent accountant to the Registrant’s investment adviser and to any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant (collectively, the “Service Affiliates”) if the services provided directly relate to the Registrant’s operations and financial reporting. In accordance with the Procedures, the Audit Committee is responsible for the engagement of the independent accountant to certify the Registrant’s financial statements for each fiscal year. With respect to the pre-approval of non-audit services provided to the Registrant and its Service Affiliates, the Procedures provide that the Audit Committee may annually pre-approve a list of types or categories of non-audit services that may be provided to the Registrant or its Service Affiliates, or the Audit Committee may pre-approve such services on a project-by-project basis as they arise. Unless a type of service has received general pre-approval, it will require specific pre-approval by the Audit Committee if it is to be provided by the independent accountant. The Procedures also permit the Audit Committee to delegate authority to one or more of its members to pre-approve any proposed non-audit services that have not been previously pre-approved by the Committee, subject to the ratification by the full Audit Committee no later than its next scheduled meeting. (2) With respect to the services described in paragraphs (b) through (d) of this Item 4, no amount was approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. f)      Not applicable. g)

Entity	Aggregate Non-Audit Fees Billed to Entity
	June 30, 2012		June 30, 2011
PIMCO ETF Trust	$	-	$	-
Pacific Investment Management Company LLC (“PIMCO”)		4,957,898		2,712,636
Allianz Global Investors Fund Management LLC		787,530		797,685
Allianz Asset Management of America L.P. (formerly known as Allianz Global Investors of America L.P.)		4,118,031		3,373,920
Totals	$	9,863,459	$	6,884,241

h) The Registrant’s Audit Committee has considered whether the provision of non-audit services that were rendered to the Registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant which were not pre-approved (not requiring pre-approval) is compatible with maintaining the principal accountant’s independence.

Item 5.	Audit Committee of Listed Registrants.
	The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The audit committee is comprised of: E. Philip Cannon; Vern O. Curtis; J. Michael Hagan; Ronald C. Parker; William J. Popejoy
Item 6.	Schedule of Investments.
	The Schedule of Investments is included as part of the report to shareholders under Item 1.

Item 7.	Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
	Not applicable.
Item 8.	Portfolio Managers of Closed-End Management Investment Companies.
	Not applicable.
Item 9.	Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchases.
	Not applicable.
Item 10.	Submission of Matters to a Vote of Security Holders.
	Not applicable.

Item 11.	Controls and Procedures.
	(a)	The principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (“1940 Act”)) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report.
	(b)	There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12.	Exhibits.
	(a)(1)	Exhibit 99.CODE—Code of Ethics pursuant to Section 406 of the Sarbanes-Oxley Act of 2002.
	(a)(2)	Exhibit 99.CERT—Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
	(b)	Exhibit 99.906CERT—Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

PIMCO ETF Trust
By:	/s/    BRENT R. HARRIS
	Brent R. Harris
	President and Chairman of the Board, Principal Executive Officer
	Date: August 31, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/    BRENT R. HARRIS
	Brent R. Harris
	President and Chairman of the Board, Principal Executive Officer
	Date: August 31, 2012
By:	/s/    JOHN P. HARDAWAY
	John P. Hardaway
	Treasurer, Principal Financial Officer
	Date: August 30, 2012