N-30D 1 0001.txt PIMS SEMI-ANNUAL REPORTS PERIOD ENDING 09/30/2000 [LOGO OF PIMCO FUNDS] FIXED-INCOME [GRAPHIC] EQUITIES PACIFIC INVESTMENT MANAGEMENT SERIES SEMI-ANNUAL REPORT SEPTEMBER 30, 2000 [GRAPH] NASDAQ Growth of $100 ------------------------------------------------------ Date NASDAQ S&P 500 LBAG 31-Mar-2000 100.00 100.00 100.00 03-Apr-2000 92.36 100.49 100.20 04-Apr-2000 90.73 99.75 100.82 05-Apr-2000 91.17 99.26 100.67 06-Apr-2000 93.32 100.21 100.55 07-Apr-2000 97.24 101.21 100.80 10-Apr-2000 91.59 100.42 101.00 11-Apr-2000 88.70 100.17 100.61 12-Apr-2000 82.44 97.94 100.31 13-Apr-2000 80.40 96.16 100.54 14-Apr-2000 72.63 90.56 100.74 17-Apr-2000 77.40 93.56 100.37 18-Apr-2000 82.96 96.24 100.31 19-Apr-2000 81.05 95.30 100.61 20-Apr-2000 79.69 95.77 100.65 24-Apr-2000 76.16 95.46 100.63 25-Apr-2000 81.16 98.64 100.17 26-Apr-2000 79.38 97.55 100.10 27-Apr-2000 82.53 97.82 99.64 28-Apr-2000 84.43 96.99 99.71 01-May-2000 86.56 98.05 99.65 02-May-2000 82.78 96.58 99.47 03-May-2000 81.07 94.51 99.03 04-May-2000 81.36 94.14 98.59 05-May-2000 83.47 95.68 98.32 08-May-2000 80.24 95.13 98.13 09-May-2000 78.40 94.33 98.31 10-May-2000 74.02 92.41 98.55 11-May-2000 76.53 94.08 98.62 12-May-2000 77.17 94.96 98.19 15-May-2000 78.89 97.06 98.42 16-May-2000 81.30 97.98 98.66 17-May-2000 79.71 96.77 98.53 18-May-2000 77.39 96.07 98.19 19-May-2000 74.14 94.05 98.39 22-May-2000 73.57 93.63 98.80 23-May-2000 69.20 91.84 98.76 24-May-2000 71.52 93.52 98.74 25-May-2000 70.10 92.35 99.17 26-May-2000 70.09 92.13 99.46 30-May-2000 75.65 95.11 99.28 31-May-2000 74.37 95.00 99.67 01-Jun-2000 78.34 96.89 100.19 02-Jun-2000 83.39 98.79 100.62 05-Jun-2000 83.58 98.15 100.97 06-Jun-2000 82.15 97.50 100.97 07-Jun-2000 83.96 98.41 100.97 08-Jun-2000 83.66 97.77 100.95 09-Jun-2000 84.74 97.45 100.94 12-Jun-2000 82.40 96.72 101.16 13-Jun-2000 84.22 98.30 101.17 14-Jun-2000 83.04 98.38 101.45 15-Jun-2000 84.10 98.93 101.43 16-Jun-2000 84.42 97.98 101.79 19-Jun-2000 87.25 99.42 101.71 20-Jun-2000 87.77 98.75 101.58 21-Jun-2000 88.87 98.97 101.20 22-Jun-2000 86.09 97.17 101.08 23-Jun-2000 84.09 96.45 100.84 26-Jun-2000 85.55 97.37 101.21 27-Jun-2000 84.39 97.06 101.29 28-Jun-2000 86.17 97.36 101.21 29-Jun-2000 84.79 96.52 101.61 30-Jun-2000 86.73 97.34 101.74 03-Jul-2000 87.30 98.35 101.99 05-Jul-2000 84.48 96.81 102.16 06-Jul-2000 86.61 97.52 101.93 07-Jul-2000 87.98 99.01 102.20 10-Jul-2000 87.04 98.79 102.17 11-Jul-2000 86.52 99.14 102.16 12-Jul-2000 89.65 99.95 102.12 13-Jul-2000 91.30 100.15 102.50 14-Jul-2000 92.86 101.10 102.06 17-Jul-2000 93.48 101.13 101.81 18-Jul-2000 91.35 100.01 101.81 19-Jul-2000 88.69 99.23 101.79 20-Jul-2000 91.51 100.14 102.55 21-Jul-2000 89.54 99.11 102.63 24-Jul-2000 87.07 98.05 102.51 25-Jul-2000 88.12 98.73 102.58 26-Jul-2000 87.20 97.26 102.58 27-Jul-2000 84.02 97.08 102.74 28-Jul-2000 80.10 95.09 102.61 31-Jul-2000 82.38 95.82 102.67 01-Aug-2000 80.60 96.31 102.86 02-Aug-2000 80.00 96.36 102.97 03-Aug-2000 82.22 97.29 103.12 04-Aug-2000 82.82 98.00 103.39 07-Aug-2000 84.48 99.10 103.30 08-Aug-2000 84.16 99.34 103.51 09-Aug-2000 84.27 98.68 103.58 10-Aug-2000 82.22 97.85 103.82 11-Aug-2000 82.87 98.63 103.57 14-Aug-2000 84.19 99.96 103.69 15-Aug-2000 84.23 99.48 103.60 16-Aug-2000 84.44 99.19 103.50 17-Aug-2000 86.18 100.28 103.56 18-Aug-2000 85.95 99.99 103.70 21-Aug-2000 86.45 100.51 103.67 22-Aug-2000 86.56 100.42 103.74 23-Aug-2000 87.71 100.95 104.00 24-Aug-2000 88.64 101.11 104.09 25-Aug-2000 88.41 100.98 104.09 28-Aug-2000 89.02 101.50 103.92 29-Aug-2000 89.27 101.22 103.76 30-Aug-2000 89.74 100.76 103.79 31-Aug-2000 91.99 101.77 104.15 01-Sep-2000 92.60 101.98 104.40 05-Sep-2000 90.60 101.07 104.53 06-Sep-2000 87.76 100.08 104.35 07-Sep-2000 89.62 100.77 104.21 08-Sep-2000 87.00 100.23 104.31 11-Sep-2000 85.21 99.88 104.21 12-Sep-2000 84.18 99.40 104.21 13-Sep-2000 85.15 99.61 104.45 14-Sep-2000 85.59 99.34 104.23 15-Sep-2000 83.87 98.33 104.14 18-Sep-2000 81.49 96.91 104.14 19-Sep-2000 84.53 97.94 104.18 20-Sep-2000 85.23 97.37 104.04 21-Sep-2000 83.73 97.22 104.21 22-Sep-2000 83.18 97.20 104.37 25-Sep-2000 81.81 96.55 104.45 26-Sep-2000 80.67 95.75 104.65 27-Sep-2000 79.96 95.72 104.58 28-Sep-2000 82.63 97.85 104.65 29-Sep-2000 80.32 96.40 104.81 On the cover: Presented on the cover and in greater detail here are line graphs depicting performance for the six-month period ended September 30, 2000 for the Lehman Brothers Aggregate Bond Index (LBAG), the Standard & Poor's 500 Composite Stock Price Index (S&P 500) and the NASDAQ Composite Price Index (NASDAQ), each an unmanaged market index. The line graph assumes the investment of $100 on March 31, 2000. The graph indicates that the LBAG, an index representative of the U.S. taxable fixed income universe, outperformed the S&P 500 and the NASDAQ indices over the six-month period with significantly less volatility. This outperformance serves as a reminder that an investment in bonds can play a valuable role in preserving capital, providing stability and sometimes, as in the past six months, they offer higher returns than equity securities. This makes for a compelling argument for including bonds in a well-diversified investment portfolio. Past performance is no guarantee of future results. It is not possible to invest directly in an unmanaged index. Contents Chairman's Message ........................................................1 A Conversation with Bill Gross and Paul McCulley ..........................2 Financial Highlights .....................................................32 Statements of Assets and Liabilities .....................................42 Statements of Operations .................................................46 Statements of Changes in Net Assets ......................................50 Statements of Cash Flows .................................................57 Notes to Financial Statements ...........................................175 Fund Schedule of Summary Investments Total Return Fund .............................................5 58 Total Return Fund II ..........................................6 86 Total Return Fund III .........................................7 91 Moderate Duration Fund ........................................8 96 Low Duration Fund .............................................9 99 Low Duration Fund II .........................................10 107 Low Duration Fund III ........................................11 110 Short-Term Fund ..............................................12 112 Money Market Fund ............................................13 116 Long-Term U.S. Government Fund ...............................14 117 Investment Grade Corporate Bond Fund .........................15 121 High Yield Fund ..............................................16 123 Total Return Mortgage Fund ...................................17 129 GNMA Fund ....................................................18 131 Real Return Bond Fund ........................................19 132 Foreign Bond Fund ............................................20 136 Global Bond Fund .............................................21 142 Global Bond Fund II ..........................................22 149 Emerging Markets Bond Fund ...................................23 155 Strategic Balanced Fund ......................................24 157 Convertible Fund .............................................25 158 StocksPLUS Fund ..............................................26 160 Municipal Bond Fund ..........................................27 165 Short Duration Municipal Income Fund .........................28 168 California Intermediate Municipal Bond Fund ..................29 170 California Municipal Bond Fund ...............................30 173 New York Municipal Bond Fund .................................31 174 Chairman's Letter Dear PIMCO Funds Shareholder: We are pleased to present you with this semi-annual report for PIMCO Funds: Pacific Investment Management Series. During the fiscal half-year, assets grew by $7.7 billion to finish the six-month period ended September 30, 2000 at $58.4 billion. In sharp contrast to last year, bonds are outperforming stocks in 2000. For the six-month period ended September 30, 2000, equity indices were in negative territory with the S&P 500 Composite Stock Price Index at -3.60% and the NASDAQ Composite Index at -19.68%. However, the Lehman Brothers Aggregate Bond Index, generally regarded as representative of the bond market as a whole, was up 4.81% for the six-month period ended September 30, 2000. Intermediate maturity Treasuries recovered during the semi-annual period with yields on two, five and ten-year notes falling as much as 0.52%. With yields on 30-year Treasuries remaining virtually unchanged, the long end of the yield curve reverted to a positive slope for the first time since mid-January 2000. However, yields on 3-month Treasuries increased by 0.32% to finish the quarter at 6.20%. The Federal Reserve raised the federal funds rate by 0.50% to 6.50% on May 16, 2000, the highest level in nine years and the sixth rate increase since June 1999. Since then, signs of a cooling economy have allowed the Fed to leave rates unchanged. Optimism grew that the Fed's tightening cycle was over and its next move might be to ease. The potential for a less restrictive Fed boosted demand for two, five and ten-year notes. For much of this year, investors were anxious to buy long-term Treasuries because of concern that buybacks financed by the federal budget surplus would create a scarcity of high quality 30-year bonds. However, support for the 30-year bond eroded during the third quarter, as the major presidential candidates' tax cut and spending plans threatened to consume the surplus. We are pleased to announce the addition of the Investment Grade Corporate Bond Fund and the California Municipal Bond Fund to the Pacific Investment Management Series. The Funds were launched in April and May, respectively, in an effort to further compliment our product offering and broaden the range of investment options available to investors. On the following pages you will find commentary from PIMCO's Bill Gross and Paul McCulley, plus specific details as to each Fund's portfolio and total return investment performance including a discussion of those factors that affected investment performance. We appreciate the trust you have placed in us through your investments, and we will continue to focus our efforts to meet your investment needs. If you have any questions regarding your PIMCO Funds investment, please contact your account manager, or call one of our shareholder associates at 1-800-927-4648. We also invite you to visit our Web site at www.pimco.com. Sincerely, /s/Brent R. Harris Brent R. Harris Chairman of the Board October 31, 2000 2000 Semi-Annual Report 1 Economic Outlook A Conversation with William Gross and Paul McCulley Bill Gross is regarded by many as America's most influential authority on the bond market. He pioneered the "total return" approach to bond investing, and is the portfolio manager of the PIMCO Total Return Fund--the country's largest bond fund. Paul McCulley is an economist and monetary policy specialist with 17 years of investment experience. He is responsible for all short-term bond portfolios at PIMCO--including the PIMCO Short-Term Fund. We recently had the pleasure of speaking with them both about their latest outlook for the economy and the bond market. Q: What happened in the bond market in the third quarter? BG: Intermediate maturity Treasuries rallied as the yields on 2-, 5- and 10-year notes fell significantly. With the yield on 30-year Treasuries remaining flat, the portion of the Treasury yield curve between 10 and 30 years reverted to a positive slope for the first time since mid-January. The reversion of the long end of the curve came amid shifting market sentiment about the economy, Fed policy and the budget surplus in Washington. Mortgages outperformed Treasuries, benefiting from low market volatility and attractive yield premiums. Investment-grade debt also did well as investors were drawn to their higher yields. However, the high yield sector lagged Treasuries amid continued concern about credit weakness in the sector. Q: What's your outlook for the economy? PM: Looking ahead, global economic growth will moderate in response to recent monetary policy tightening in the U.S., Europe and Japan and the highest oil prices in a decade. Inflation is likely to creep higher as increased energy prices seep through economies around the world. In fact, there are now indications that the economy here at home has started to slow. Manufacturing activity is slowing. According to the Purchasing Managers Index, the sector actually contracted in August and September. And corporate earnings warnings suggest the problem is not confined to just manufacturing. In addition, consumer spending is cooling, after posting robust gains at the start of the year. Q: What does that mean for the Fed? PM: Well, the Fed will likely stand pat, certainly through the election, and maybe until next year. While Chairman Greenspan must be happy that the economy is slowing, he remains concerned about two important issues: the impact of continued labor market tightness on inflation through higher wage pressures and concern that higher oil prices will seep into the economy in the form of secondary and tertiary price increases. So while histori- cally the Fed has loosened monetary policy when the manufacturing economy has contracted, this time they may delay easing until inflationary pressures diminish. In short, the tightening cycle is over, but the Fed hasn't indicated that easier monetary policy lies ahead. Q: So, will high oil prices be a major issue for the Fed? PM: Well, over the short run it is a consideration because supply and demand tend to be less elastic. However, the current level of oil prices is not sustainable over the long term. In our opinion, higher oil prices will dampen demand over the long term by slowing worldwide growth. High prices will also encourage more drilling, expansion of refining capacity and rebuilding of inventories from their current low levels. The Fed knows this and that's why they are willing to put up with higher oil prices now, all other things being equal. 2 PIMCO Funds Q: Will the outcome of the presidential election impact the bond market? BG: A concern I have is if one party dominates the election by taking both the White House and Congress, it will be able to enact its promised tax cut. That would stimulate the consumer and re-ignite the economy, potentially bringing the Fed back into the picture. Furthermore, the spending initiatives of either a Bush or Gore administration would most likely turn forecasted budget surpluses into deficits. That would force the Treasury to issue new debt, and remove what has been a major stimulus for the Treasury market this year. I think the bond market would be happiest if the election resulted in continued stalemate in Washington with one party in control of the White House and another in control of Congress. Q: Then is stagflation still an issue? BG: Yes, over the short term. While the economy is clearly cooling, inflation should creep higher due to the factors Paul mentioned before. Historically, normal economic cycles often end with a small dose of stagflation, because inflation in general is a lagging condition. However, the tech slowdown that is currently unfolding needs to be watched. If it negatively impacts productivity growth, then the stagflation story could become a bigger issue. Q: What will drive performance in the coming months? PM: Sector and quality will have more impact on portfolio performance than interest rate strategies in the current environment of slower growth, earnings pressure and creeping inflation. High levels of corporate debt and erosion of credit quality amid slower global growth signal caution toward longer-maturity corporate and emerging market bonds. Emphasis on top-quality credits with shorter maturities is one way to avoid mistakes, though this strategy may sacrifice yield. Mortgages are another alternative. Still, mortgages are not risk-free because they will be vulnerable to adverse price performance if interest rate volatility picks up. Q: Then are mortgage-backed securities still the favored sector? BG: They are for two reasons. First, their yields remain attractive relative to other areas of the bond market with little additional credit risk. Mortgages are still yielding north of 7%, while Treasuries and investment-grade corporate bonds are earning between 5% and 6%. Second, given our outlook for a relatively stable interest rate environment over the next year, the yield premium paid for prepayment risk is very attractive right now. Historically, the Fed has eased when the Purchasing Managers Index drops below 50. [GRAPH] Date Purchasing Managers (%) Fed Funds Rate (%) Jan-82 38.2 13.2 Feb-82 38.3 14.8 Mar-82 36.8 14.7 Apr-82 37.8 14.9 May-82 35.5 14.5 Jun-82 38.3 14.2 Jul-82 38.4 12.6 Aug-82 38.3 10.1 Sep-82 38.8 10.3 Oct-82 39.4 9.7 Nov-82 39.2 9.2 Dec-82 42.8 9.0 Jan-83 46.0 8.7 Feb-83 54.4 8.5 Mar-83 53.9 8.8 Apr-83 54.2 8.8 May-83 56.1 8.6 Jun-83 57.5 9.0 Jul-83 63.6 9.4 Aug-83 63.1 9.6 Sep-83 62.5 9.5 Oct-83 64.4 9.5 Nov-83 66.0 9.3 Dec-83 69.9 9.5 Jan-84 60.5 9.6 Feb-84 61.3 9.6 Mar-84 58.9 9.9 Apr-84 61.0 10.3 May-84 58.6 10.3 Jun-84 58.1 11.1 Jul-84 56.1 11.2 Aug-84 53.0 11.6 Sep-84 50.0 11.3 Oct-84 50.8 10.0 Nov-84 50.3 9.4 Dec-84 50.6 8.4 Jan-85 50.3 8.4 Feb-85 49.9 8.5 Mar-85 47.8 8.6 Apr-85 48.2 8.3 May-85 47.1 8.0 Jun-85 47.8 7.5 Jul-85 47.9 7.9 Aug-85 47.7 7.9 Sep-85 49.9 7.9 Oct-85 50.9 8.0 Nov-85 52.0 8.1 Dec-85 50.7 8.3 Jan-86 51.2 8.1 Feb-86 51.0 7.9 Mar-86 51.0 7.5 Apr-86 49.7 7.0 May-86 53.4 6.9 Jun-86 50.5 6.9 Jul-86 48.0 6.6 Aug-86 52.6 6.2 Sep-86 52.4 5.9 Oct-86 51.2 5.9 Nov-86 51.2 6.0 Dec-86 50.5 6.9 Jan-87 54.9 6.4 Feb-87 52.6 6.1 Mar-87 55.0 6.1 Apr-87 55.5 6.4 May-87 57.2 6.9 Jun-87 57.4 6.7 Jul-87 57.5 6.6 Aug-87 59.3 6.7 Sep-87 60.0 7.2 Oct-87 60.7 7.3 Nov-87 58.8 6.7 Dec-87 61.0 6.8 Jan-88 57.5 6.8 Feb-88 56.2 6.6 Mar-88 54.6 6.6 Apr-88 55.8 6.9 May-88 55.5 7.1 Jun-88 59.3 7.5 Jul-88 58.2 7.8 Aug-88 56.0 8.0 Sep-88 54.5 8.2 Oct-88 55.4 8.3 Nov-88 55.6 8.4 Dec-88 56.0 8.8 Jan-89 54.7 9.1 Feb-89 54.1 9.4 Mar-89 51.5 9.9 Apr-89 52.2 9.8 May-89 49.3 9.8 Jun-89 47.3 9.5 Jul-89 45.9 9.2 Aug-89 45.1 9.0 Sep-89 46.0 9.0 Oct-89 46.8 8.8 Nov-89 46.8 8.6 Dec-89 47.4 8.5 Jan-90 47.2 8.2 Feb-90 49.1 8.2 Mar-90 49.9 8.3 Apr-90 50.0 8.3 May-90 49.5 8.2 Jun-90 49.2 8.3 Jul-90 46.6 8.2 Aug-90 46.1 8.1 Sep-90 44.5 8.2 Oct-90 43.2 8.1 Nov-90 41.3 7.8 Dec-90 40.8 7.3 Jan-91 39.2 6.9 Feb-91 39.4 6.3 Mar-91 40.7 6.1 Apr-91 42.8 5.9 May-91 44.5 5.8 Jun-91 50.3 5.9 Jul-91 50.6 5.8 Aug-91 52.9 5.7 Sep-91 54.9 5.5 Oct-91 53.1 5.2 Nov-91 49.5 4.8 Dec-91 46.8 4.4 Jan-92 47.3 4.0 Feb-92 52.7 4.1 Mar-92 54.6 4.0 Apr-92 52.6 3.7 May-92 55.7 3.8 Jun-92 53.6 3.8 Jul-92 53.9 3.3 Aug-92 53.4 3.3 Sep-92 49.7 3.2 Oct-92 50.3 3.1 Nov-92 53.6 3.1 Dec-92 54.2 2.9 Jan-93 55.8 3.0 Feb-93 55.2 3.0 Mar-93 53.5 3.1 Apr-93 50.2 3.0 May-93 51.2 3.0 Jun-93 49.6 3.0 Jul-93 50.2 3.1 Aug-93 50.7 3.0 Sep-93 50.8 3.1 Oct-93 53.4 3.0 Nov-93 53.8 3.0 Dec-93 55.6 3.0 Jan-94 56.0 3.1 Feb-94 56.5 3.3 Mar-94 56.9 3.3 Apr-94 57.4 3.6 May-94 58.2 4.0 Jun-94 58.8 4.3 Jul-94 58.5 4.3 Aug-94 58.0 4.5 Sep-94 59.0 4.7 Oct-94 59.4 4.8 Nov-94 59.2 5.3 Dec-94 56.1 5.5 Jan-95 57.4 5.5 Feb-95 55.1 5.9 Mar-95 52.1 6.0 Apr-95 51.5 6.1 May-95 46.7 6.0 Jun-95 45.9 6.0 Jul-95 50.7 5.9 Aug-95 47.1 5.7 Sep-95 48.1 5.8 Oct-95 46.7 5.8 Nov-95 45.9 5.8 Dec-95 46.2 5.6 Jan-96 45.5 5.6 Feb-96 45.9 5.2 Mar-96 46.9 5.3 Apr-96 49.3 5.2 May-96 49.1 5.2 Jun-96 53.6 5.3 Jul-96 49.7 5.4 Aug-96 51.6 5.2 Sep-96 51.1 5.3 Oct-96 50.5 5.2 Nov-96 53.0 5.3 Dec-96 55.2 5.3 Jan-97 53.6 5.3 Feb-97 53.3 5.2 Mar-97 54.1 5.4 Apr-97 53.7 5.5 May-97 56.0 5.5 Jun-97 55.2 5.6 Jul-97 57.8 5.5 Aug-97 56.1 5.5 Sep-97 54.0 5.5 Oct-97 56.4 5.5 Nov-97 55.4 5.5 Dec-97 54.3 5.5 Jan-98 53.4 5.5 Feb-98 53.2 5.5 Mar-98 53.4 5.5 Apr-98 52.3 5.5 May-98 50.9 5.5 Jun-98 49.2 5.6 Jul-98 49.4 5.5 Aug-98 49.1 5.6 Sep-98 48.8 5.5 Oct-98 48.6 5.1 Nov-98 47.7 4.8 Dec-98 46.3 4.7 Jan-99 49.9 4.6 Feb-99 52.1 4.8 Mar-99 53.3 4.8 Apr-99 52.7 4.7 May-99 54.4 4.7 Jun-99 56.3 4.8 Jul-99 53.6 5.0 Aug-99 54.4 5.1 Sep-99 57.3 5.2 Oct-99 56.9 5.2 Nov-99 57.1 5.4 Dec-99 56.8 5.3 Jan-00 56.3 5.5 Feb-00 56.9 5.7 Mar-00 55.8 5.9 Apr-00 54.9 6.0 May-00 53.2 6.3 Jun-00 51.8 6.5 Jul-00 51.8 6.6 Aug-00 49.5 6.5 Source: Nat'l Assoc. of Purchasing Mgmt; Federal Reserve 2000 Semi-Annual Report 3 Economic Outlook (Cont.) Q: Finally, Bill, you've spoken frequently about the decline of the corporate sector. Could you elaborate? BG: First, cyclically, with the economy slowing and default rates in the corporate credit market high and rising, higher yielding, lower quality issues will continue to face tough times. Even many investment-grade issues suffer in this environment. Second, secularly, corporate bond investing in a New Age economy is a dangerous proposition. That's because today's economic growth is based on the premise that "creative destruction" is a good thing. Joseph Schumpeter first introduced the idea that the greatest good is ultimately accomplished by allowing innovation to flourish even as it damages some. The U.S. dominates the world economy today because it embraces change and allows the new to overtake the old. New Age companies embody the creative part of the concept and tend to raise capital in the equity markets. That leaves destruction for certain Old Age companies, which leverage their balance sheet by issuing debt only to use the proceeds to buy back stock in order to keep their stock price competitive--a vicious cycle of self-liquidation. The outcome is not good for debt holders. That's why we are cautious about the corporate market. For more on our economic outlook on a monthly basis, read Bill Gross's Investment Outlook and Paul McCulley's Fed Focus online at www.pimco.com. Past performance is no guarantee of future results. The views of Mr. Gross and Mr. McCulley are not indicative of the past or future performance of any PIMCO Fund. U.S. Corporate Sector Borrowing Corporations are assuming more and more debt. The line graph inserted at the bottom of page 4 in the section "Economic Outlook" is entitled "U.S. Corporate Sector Borrowing" and illustrates the fact that corporations are assuming more and more debt. The graph shows one line representing the U.S.$ amount from flow of funds and a second line representing the %YoY of non-financial credit growth (RHS), both over the ten-year period from 1990 through 2000. Source: Datastream 4 PIMCO Funds PIMCO Total Return Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with preservation of capital and prudent investment management Portfolio: Primarily intermediate maturity fixed income securities Duration: 5.2 years Total Net Assets: $35.5 billion Sector Breakdown:* [GRAPH] Mortgage-Backed Securities 48.2% Corporate Bonds and Notes 26.9% U.S. Treasury Obligations 9.0% Short-Term Instruments 5.5% Assets-Backed Securities 5.4% Other 5.0% Quality Breakdown:* [GRAPH] AAA 66.7% AA 6.2% A 14.7% BBB 10.4% BB 1.4% B 0.6% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Lipper Intermediate Inst'l Class Admin. Class Lehman Brothers Investment Grade (Incep. 5/11/1987) (Incep. 9/07/1994) Aggregate Bond Index Debt Fund Average 6 Months 4.75% 4.62% 4.81% 4.02% 1 Year 7.12% 6.85% 6.99% 5.75% 3 Years* 6.43% 6.16% 5.93% 4.85% 5 Years* 7.35% 7.11% 6.47% 5.54% 10 Years* 9.32% -- 8.05% 7.58% Since Inception* 9.10% 7.82% -- -- * Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2000 [GRAPH] Total Return Lehman Brothers Month Fund Aggregate Bond Index 05/31/1987 5,000,000 5,000,000 06/30/1987 5,063,956 5,068,813 07/31/1987 5,051,390 5,064,918 08/31/1987 5,039,534 5,037,815 09/30/1987 4,913,547 4,930,538 10/31/1987 5,070,060 5,106,141 11/30/1987 5,107,024 5,147,040 12/31/1987 5,153,726 5,217,151 01/31/1988 5,364,621 5,400,545 02/29/1988 5,425,978 5,464,652 03/31/1988 5,377,483 5,413,367 04/30/1988 5,349,895 5,384,153 05/31/1988 5,323,746 5,347,962 06/30/1988 5,451,097 5,476,986 07/31/1988 5,444,079 5,448,260 08/31/1988 5,470,463 5,462,542 09/30/1988 5,574,381 5,586,211 10/31/1988 5,662,479 5,691,379 11/30/1988 5,612,027 5,622,241 12/31/1988 5,637,131 5,628,571 01/31/1989 5,706,918 5,709,556 02/28/1989 5,670,892 5,668,171 03/31/1989 5,697,790 5,692,677 04/30/1989 5,825,551 5,811,802 05/31/1989 5,967,305 5,964,522 06/30/1989 6,168,244 6,146,131 07/31/1989 6,298,843 6,276,779 08/31/1989 6,190,418 6,183,783 09/30/1989 6,221,536 6,215,431 10/31/1989 6,371,017 6,368,476 11/30/1989 6,426,949 6,429,174 12/31/1989 6,440,083 6,446,378 01/31/1990 6,332,594 6,369,774 02/28/1990 6,349,652 6,390,386 03/31/1990 6,344,778 6,395,092 04/30/1990 6,255,058 6,336,504 05/31/1990 6,460,283 6,524,117 06/30/1990 6,569,705 6,628,798 07/31/1990 6,676,661 6,720,495 08/31/1990 6,571,662 6,630,745 09/30/1990 6,578,458 6,685,601 10/31/1990 6,669,789 6,770,482 11/30/1990 6,838,024 6,916,223 12/31/1990 6,958,354 7,023,987 01/31/1991 7,027,903 7,110,815 02/28/1991 7,126,178 7,171,514 03/31/1991 7,216,808 7,220,852 04/30/1991 7,335,070 7,299,078 05/31/1991 7,390,178 7,341,762 06/30/1991 7,401,768 7,338,029 07/31/1991 7,508,521 7,439,788 08/31/1991 7,712,232 7,600,786 09/30/1991 7,894,694 7,754,804 10/31/1991 7,975,769 7,841,145 11/30/1991 8,045,044 7,913,042 12/31/1991 8,319,147 8,148,046 01/31/1992 8,251,437 8,037,198 02/29/1992 8,323,957 8,089,457 03/31/1992 8,292,135 8,043,852 04/30/1992 8,335,850 8,101,954 05/31/1992 8,508,487 8,254,836 06/30/1992 8,616,472 8,368,443 07/31/1992 8,827,524 8,539,178 08/31/1992 8,902,987 8,625,682 09/30/1992 9,043,980 8,727,928 10/31/1992 8,965,037 8,612,211 11/30/1992 8,972,362 8,614,159 12/31/1992 9,129,278 8,751,136 01/31/1993 9,297,750 8,918,950 02/28/1993 9,504,901 9,075,078 03/31/1993 9,560,206 9,112,893 04/30/1993 9,643,848 9,176,350 05/31/1993 9,666,306 9,188,036 06/30/1993 9,876,645 9,354,551 07/31/1993 9,937,133 9,407,459 08/31/1993 10,163,538 9,572,351 09/30/1993 10,204,890 9,598,643 10/31/1993 10,277,472 9,634,511 11/30/1993 10,187,745 9,552,551 12/31/1993 10,271,501 9,604,324 01/31/1994 10,396,445 9,733,998 02/28/1994 10,210,928 9,564,886 03/31/1994 9,995,399 9,329,070 04/30/1994 9,896,929 9,254,577 05/31/1994 9,850,224 9,253,278 06/30/1994 9,814,015 9,232,829 07/31/1994 10,015,509 9,416,223 08/31/1994 10,044,623 9,427,908 09/30/1994 9,917,753 9,289,146 10/31/1994 9,906,083 9,280,869 11/30/1994 9,907,443 9,260,257 12/31/1994 9,904,417 9,324,202 01/31/1995 10,082,267 9,508,731 02/28/1995 10,319,048 9,734,809 03/31/1995 10,417,456 9,794,534 04/30/1995 10,600,658 9,931,349 05/31/1995 10,936,213 10,315,665 06/30/1995 10,929,713 10,391,294 07/31/1995 10,936,311 10,368,086 08/31/1995 11,105,123 10,493,216 09/30/1995 11,244,355 10,595,300 10/31/1995 11,415,091 10,733,089 11/30/1995 11,662,396 10,893,924 12/31/1995 11,863,138 11,046,806 01/31/1996 11,960,385 11,120,164 02/29/1996 11,668,778 10,926,870 03/31/1996 11,578,391 10,850,915 04/30/1996 11,530,294 10,789,892 05/31/1996 11,499,480 10,767,982 06/30/1996 11,683,873 10,912,588 07/31/1996 11,714,500 10,942,450 08/31/1996 11,704,501 10,924,111 09/30/1996 11,973,193 11,114,483 10/31/1996 12,284,300 11,360,686 11/30/1996 12,575,406 11,555,278 12/31/1996 12,419,446 11,447,838 01/31/1997 12,465,678 11,482,894 02/28/1997 12,494,013 11,511,458 03/31/1997 12,342,925 11,383,894 04/30/1997 12,565,728 11,554,304 05/31/1997 12,694,757 11,663,529 06/30/1997 12,843,894 11,801,967 07/31/1997 13,203,071 12,120,229 08/31/1997 13,089,168 12,016,846 09/30/1997 13,301,627 12,194,073 10/31/1997 13,461,510 12,370,975 11/30/1997 13,523,400 12,427,941 12/31/1997 13,681,812 12,553,071 01/31/1998 13,893,968 12,714,230 02/28/1998 13,855,371 12,704,087 03/31/1998 13,902,211 12,748,312 04/30/1998 13,957,191 12,814,853 05/31/1998 14,119,833 12,936,413 06/30/1998 14,257,594 13,046,124 07/31/1998 14,305,551 13,073,877 08/31/1998 14,533,176 13,286,646 09/30/1998 14,969,015 13,597,767 10/31/1998 14,869,808 13,525,870 11/30/1998 14,925,950 13,602,636 12/31/1998 15,018,914 13,643,534 01/31/1999 15,109,171 13,740,911 02/28/1999 14,831,091 13,501,039 03/31/1999 14,958,503 13,575,857 04/30/1999 15,032,946 13,618,865 05/31/1999 14,870,656 13,499,578 06/30/1999 14,846,270 13,456,570 07/31/1999 14,790,750 13,399,279 08/31/1999 14,803,007 13,392,596 09/30/1999 14,968,364 13,547,942 10/31/1999 15,018,938 13,597,929 11/30/1999 15,055,090 13,596,955 12/31/1999 14,976,517 13,531,388 01/31/2000 14,900,278 13,487,081 02/29/2000 15,083,651 13,650,188 03/31/2000 15,307,078 13,830,012 04/30/2000 15,264,806 13,790,412 05/31/2000 15,262,467 13,784,082 06/30/2000 15,586,098 14,070,858 07/31/2000 15,729,678 14,198,585 08/31/2000 15,977,572 14,404,375 09/30/2000 16,034,043 14,494,936 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 6/01/1987, the first full month following the Fund's Institutional Class inception on 5/11/1987, compared to the Lehman Brothers Aggregate Bond Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 9/07/1994. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Total Return Fund's Institutional Class shares underperformed the Lehman Brothers Aggregate Bond Index for the six-month period ended September 30, 2000, returning 4.75% versus 4.81% for the Index. . The Fund's duration was held above that of the Index, which had a positive impact on returns as intermediate rates fell. However, an emphasis on longer maturities detracted from returns as intermediate maturities outperformed. . An overweight in mortgages added to returns due to relatively high yields and low market volatility. . An underweight in investment grade corporates helped returns in the second quarter of the year but was negative in the third quarter as corporates outperformed Treasuries due to narrowing yield premiums. A small high yield allocation was modestly negative amid concern about credit quality in the sector as growth began to slow. . Within the international sector emerging market bonds helped returns as yield premiums narrowed due to stronger economies and debt restructuring. Positions based on an expected rise in the euro were negative as the euro lost ground relative to the dollar. 2000 Semi-Annual Report 5 PIMCO Total Return Fund II -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with preservation of capital and prudent investment management Portfolio: Primarily intermediate maturity fixed income securities with quality and non-U.S. issuer restrictions Duration: 5.0 years Total Net Assets: $1.6 billion Sector Breakdown:* [GRAPH] Mortgage-Backed Securities 45.8% Corporate Bonds and Notes 34.0% U.S. Treasury Obligations 11.3% Other 8.9% Quality Breakdown:* [GRAPH] AAA 60.6% AA 8.1% A 24.9% BBB 6.4% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Lipper Intermediate Inst'l Class Admin. Class Lehman Brothers Investment Grade (Incep. 12/30/1991) (Incep. 11/30/1994) Aggregate Bond Index Debt Fund Average 6 Months 4.81% 4.68% 4.81% 4.02% 1 Year 6.85% 6.58% 6.99% 5.75% 3 Years* 6.06% 5.79% 5.93% 4.85% 5 Years* 6.83% 6.54% 6.47% 5.54% Since Inception * 7.42% 7.99% -- -- * Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2000 [GRAPH] Total Return Lehman Brothers Month Fund II Aggregate Bond Index 12/31/1991 5,000,000 5,000,000 01/31/1992 4,929,716 4,931,979 02/29/1992 4,951,937 4,964,047 03/31/1992 4,937,873 4,936,062 04/30/1992 4,963,257 4,971,716 05/31/1992 5,075,312 5,065,531 06/30/1992 5,149,979 5,135,245 07/31/1992 5,309,040 5,240,016 08/31/1992 5,355,136 5,293,098 09/30/1992 5,437,041 5,355,841 10/31/1992 5,367,337 5,284,832 11/30/1992 5,383,727 5,286,027 12/31/1992 5,471,600 5,370,083 01/31/1993 5,579,371 5,473,060 02/28/1993 5,705,377 5,568,868 03/31/1993 5,719,997 5,592,073 04/30/1993 5,793,075 5,631,013 05/31/1993 5,790,801 5,638,183 06/30/1993 5,920,354 5,740,365 07/31/1993 5,952,711 5,772,831 08/31/1993 6,070,915 5,874,017 09/30/1993 6,093,002 5,890,150 10/31/1993 6,109,820 5,912,160 11/30/1993 6,049,436 5,861,866 12/31/1993 6,067,802 5,893,636 01/31/1994 6,149,761 5,973,210 02/28/1994 6,050,676 5,869,435 03/31/1994 5,910,178 5,724,729 04/30/1994 5,870,870 5,679,016 05/31/1994 5,858,460 5,678,219 06/30/1994 5,845,104 5,665,671 07/31/1994 5,977,463 5,778,209 08/31/1994 5,984,657 5,785,380 09/30/1994 5,896,835 5,700,229 10/31/1994 5,889,838 5,695,150 11/30/1994 5,888,896 5,682,502 12/31/1994 5,933,421 5,721,741 01/31/1995 6,043,232 5,834,977 02/28/1995 6,182,752 5,973,708 03/31/1995 6,223,522 6,010,358 04/30/1995 6,299,808 6,094,313 05/31/1995 6,523,923 6,330,146 06/30/1995 6,551,569 6,376,556 07/31/1995 6,507,691 6,362,315 08/31/1995 6,628,805 6,439,100 09/30/1995 6,717,353 6,501,743 10/31/1995 6,829,613 6,586,296 11/30/1995 6,952,671 6,684,992 12/31/1995 7,059,284 6,778,807 01/31/1996 7,096,875 6,823,822 02/29/1996 6,956,380 6,705,209 03/31/1996 6,882,877 6,658,600 04/30/1996 6,829,282 6,621,153 05/31/1996 6,805,776 6,607,708 06/30/1996 6,917,299 6,696,445 07/31/1996 6,933,266 6,714,769 08/31/1996 6,916,233 6,703,516 09/30/1996 7,079,837 6,820,337 10/31/1996 7,268,469 6,971,417 11/30/1996 7,416,019 7,090,828 12/31/1996 7,331,446 7,024,898 01/31/1997 7,372,632 7,046,410 02/28/1997 7,387,727 7,063,938 03/31/1997 7,305,831 6,985,659 04/30/1997 7,418,069 7,090,230 05/31/1997 7,488,383 7,157,255 06/30/1997 7,571,276 7,242,207 07/31/1997 7,808,619 7,437,506 08/31/1997 7,730,081 7,374,066 09/30/1997 7,837,156 7,482,820 10/31/1997 7,950,092 7,591,375 11/30/1997 7,972,129 7,626,332 12/31/1997 8,063,867 7,703,117 01/31/1998 8,181,882 7,802,012 02/28/1998 8,157,419 7,795,787 03/31/1998 8,181,806 7,822,926 04/30/1998 8,222,040 7,863,759 05/31/1998 8,310,019 7,938,353 06/30/1998 8,398,686 8,005,677 07/31/1998 8,417,371 8,022,707 08/31/1998 8,634,608 8,153,272 09/30/1998 8,863,669 8,344,189 10/31/1998 8,784,161 8,300,070 11/30/1998 8,790,237 8,347,177 12/31/1998 8,840,354 8,372,274 01/31/1999 8,895,775 8,432,029 02/28/1999 8,717,208 8,284,832 03/31/1999 8,791,829 8,330,744 04/30/1999 8,826,341 8,357,136 05/31/1999 8,716,487 8,283,936 06/30/1999 8,686,621 8,257,544 07/31/1999 8,640,505 8,222,388 08/31/1999 8,645,072 8,218,287 09/30/1999 8,749,143 8,313,614 10/31/1999 8,774,371 8,344,288 11/30/1999 8,789,718 8,343,691 12/31/1999 8,745,555 8,303,456 01/31/2000 8,714,587 8,276,267 02/29/2000 8,804,572 8,376,357 03/31/2000 8,919,699 8,486,705 04/30/2000 8,885,298 8,462,404 05/31/2000 8,910,528 8,458,520 06/30/2000 9,090,806 8,634,499 07/31/2000 9,163,246 8,712,877 08/31/2000 9,307,790 8,839,159 09/30/2000 9,348,802 8,894,732 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 1/01/1992, the first full month following the Fund's Institutional Class inception on 12/30/1991, compared to the Lehman Brothers Aggregate Bond Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 11/30/1994. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Total Return Fund II Institutional Class shares equaled the performance of the Lehman Brothers Aggregate Bond Index for the six-month period ended September 30, 2000, with the Fund and the Index returning 4.81%. . The Fund's duration was held below that of the Index in the second quarter of the year, which hurt performance. An increase of duration above the Index in the third quarter had a positive impact on returns as intermediate rates fell. However, an emphasis on longer maturities detracted from returns as intermediate maturities outperformed. . An overweight in mortgages added to returns due to relatively high yields and low market volatility. . An underweight in investment grade corporates was negative as corporates outperformed Treasuries due to narrowing yield premiums. 6 PIMCO Funds PIMCO Total Return Fund III -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with preservation of capital and prudent investment management Portfolio: Primarily intermediate maturity fixed income securities with prohibitions on firms engaged in socially sensitive practices Duration: 6.2 years Total Net Assets: $819.9 million Sector Breakdown:* [GRAPH] Mortgage-Backed Securities 48.9% Corporate Bonds and Notes 23.3% U.S. Treasury Obligations 13.3% Other 14.5% Quality Breakdown:* [GRAPH] AAA 65.2% AA 5.3% A 18.7% BBB 8.3% BB 1.3% B 1.2% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Lipper Intermediate Inst'l Class Admin. Class Lehman Brothers Investment Grade (Incep. 5/01/1991) (Incep. 4/11/1997) Aggregate Bond Index Debt Fund Average 6 Months 4.27% 4.14% 4.81% 4.02% 1 Year 5.25% 4.99% 6.99% 5.75% 3 Years* 5.85% 5.59% 5.93% 4.85% 5 Years* 6.87% -- 6.47% 5.54% Since Inception * 8.41% 7.02% -- -- * Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2000 [GRAPH] Total Return Lehman Brothers Month Fund III Aggregate Bond Index 04/30/1991 5,000,000 5,000,000 05/31/1991 5,024,573 5,029,239 06/30/1991 5,011,360 5,026,682 07/31/1991 5,091,347 5,096,389 08/31/1991 5,231,902 5,206,675 09/30/1991 5,362,299 5,312,180 10/31/1991 5,419,024 5,371,326 11/30/1991 5,475,902 5,420,576 12/31/1991 5,687,512 5,581,558 01/31/1992 5,605,239 5,505,625 02/29/1992 5,649,578 5,541,424 03/31/1992 5,621,306 5,510,184 04/30/1992 5,643,874 5,549,984 05/31/1992 5,752,958 5,654,712 06/30/1992 5,844,833 5,732,534 07/31/1992 6,028,857 5,849,491 08/31/1992 6,069,916 5,908,747 09/30/1992 6,112,922 5,978,788 10/31/1992 6,061,053 5,899,520 11/30/1992 6,110,005 5,900,854 12/31/1992 6,200,947 5,994,686 01/31/1993 6,262,534 6,109,641 02/28/1993 6,404,215 6,216,592 03/31/1993 6,434,449 6,242,496 04/30/1993 6,497,518 6,285,965 05/31/1993 6,501,189 6,293,970 06/30/1993 6,644,496 6,408,036 07/31/1993 6,697,102 6,444,279 08/31/1993 6,880,114 6,557,233 09/30/1993 6,894,099 6,575,243 10/31/1993 6,957,037 6,599,813 11/30/1993 6,917,372 6,543,670 12/31/1993 6,984,685 6,579,135 01/31/1994 7,060,374 6,667,964 02/28/1994 6,937,795 6,552,119 03/31/1994 6,797,242 6,390,581 04/30/1994 6,731,751 6,339,552 05/31/1994 6,676,376 6,338,662 06/30/1994 6,681,328 6,324,654 07/31/1994 6,815,349 6,450,282 08/31/1994 6,830,651 6,458,287 09/30/1994 6,760,588 6,363,232 10/31/1994 6,777,181 6,357,562 11/30/1994 6,726,341 6,343,443 12/31/1994 6,745,188 6,387,246 01/31/1995 6,870,185 6,513,652 02/28/1995 7,076,265 6,668,520 03/31/1995 7,131,606 6,709,432 04/30/1995 7,251,354 6,803,153 05/31/1995 7,479,227 7,066,416 06/30/1995 7,468,982 7,118,224 07/31/1995 7,469,280 7,102,326 08/31/1995 7,577,254 7,188,042 09/30/1995 7,661,664 7,257,971 10/31/1995 7,778,032 7,352,359 11/30/1995 7,920,241 7,462,534 12/31/1995 8,042,735 7,567,261 01/31/1996 8,110,490 7,617,512 02/29/1996 7,917,045 7,485,103 03/31/1996 7,848,991 7,433,072 04/30/1996 7,813,232 7,391,271 05/31/1996 7,795,663 7,376,262 06/30/1996 7,938,312 7,475,319 07/31/1996 7,953,817 7,495,775 08/31/1996 7,937,131 7,483,213 09/30/1996 8,134,267 7,613,621 10/31/1996 8,353,533 7,782,274 11/30/1996 8,530,260 7,915,573 12/31/1996 8,415,107 7,841,975 01/31/1997 8,452,273 7,865,989 02/28/1997 8,465,767 7,885,556 03/31/1997 8,379,284 7,798,172 04/30/1997 8,523,528 7,914,906 05/31/1997 8,625,020 7,989,727 06/30/1997 8,714,471 8,084,560 07/31/1997 8,945,988 8,302,575 08/31/1997 8,888,809 8,231,756 09/30/1997 9,006,608 8,353,160 10/31/1997 9,140,798 8,474,341 11/30/1997 9,172,684 8,513,363 12/31/1997 9,274,215 8,599,079 01/31/1998 9,418,706 8,709,477 02/28/1998 9,404,616 8,702,528 03/31/1998 9,436,938 8,732,823 04/30/1998 9,472,905 8,778,405 05/31/1998 9,559,386 8,861,676 06/30/1998 9,655,888 8,936,830 07/31/1998 9,697,309 8,955,841 08/31/1998 9,843,713 9,101,592 09/30/1998 10,148,628 9,314,715 10/31/1998 10,097,948 9,265,464 11/30/1998 10,154,614 9,318,050 12/31/1998 10,237,306 9,346,067 01/31/1999 10,291,019 9,412,772 02/28/1999 10,083,482 9,248,455 03/31/1999 10,210,751 9,299,706 04/30/1999 10,264,484 9,329,168 05/31/1999 10,112,792 9,247,454 06/30/1999 10,098,298 9,217,993 07/31/1999 10,060,554 9,178,748 08/31/1999 10,064,068 9,174,170 09/30/1999 10,149,144 9,280,584 10/31/1999 10,190,083 9,314,826 11/30/1999 10,208,038 9,314,159 12/31/1999 10,139,938 9,269,244 01/31/2000 9,971,148 9,238,894 02/29/2000 10,081,292 9,350,625 03/31/2000 10,244,449 9,473,807 04/30/2000 10,191,835 9,446,680 05/31/2000 10,178,995 9,442,344 06/30/2000 10,404,668 9,638,791 07/31/2000 10,480,599 9,726,286 08/31/2000 10,659,083 9,867,257 09/30/2000 10,682,050 9,929,292 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the invest- ment of $5,000,000 on 5/01/1991, the Fund's Institutional Class inception date, compared to the Lehman Brothers Aggregate Bond Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 4/11/1997. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Total Return Fund III Institutional Class shares underperformed the Lehman Brothers Aggregate Bond Index for the six-month period ended September 30, 2000, returning 4.27% versus 4.81% for the Index. . The Fund's duration was held below that of the Index, which had a negative impact on returns as intermediate rates fell. Also, an emphasis on longer maturities detracted from returns as intermediate maturities outperformed. . An overweight in mortgages added to returns due to relatively high yields and low market volatility. . An underweight in investment grade corporates helped returns in the second quarter of the year but was negative in the third quarter as corporates outperformed Treasuries due to narrowing yield premiums. A small high yield allocation was modestly negative amid concern about credit quality in the sector as growth began to slow. . Within the international sector emerging market bonds helped returns as yield premiums narrowed due to stronger economies and debt restructuring. Positions based on an expected rise in the euro were negative as the euro lost ground relative to the dollar. 2000 Semi-Annual Report 7 PIMCO Moderate Duration Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with preservation of capital and prudent investment management Portfolio: Primarily short and intermediate maturity fixed income securities Duration: 3.6 years Total Net Assets: $444.5 million Sector Breakdown:* [GRAPH] Mortgage-Backed Securities 48.8% Corporate Bonds and Notes 26.8% Asset-Backed Instruments 11.0% Other 13.4% Quality Breakdown:* [GRAPH] AAA 66.8% AA 7.2% A 10.2% BBB 12.1% BB 1.1% B 2.6% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Lehman Brothers Lipper Short Intermediate Inst'l Class Intermediate Government/ Investment Grade (Incep. 12/31/1996) Corporate Bond Index Debt Fund Average 6 Months 5.27% 4.61% 4.00% 1 Year 6.96% 6.23% 5.74% 3 Years* 5.85% 5.68% 4.91% Since Inception* 6.22% -- -- * Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2000 [GRAPH] Moderate Lehman Brothers Duration Intermediate Government/ Month Fund Corporate Bond Index 12/31/1996 5,000,000 5,000,000 01/31/1997 5,018,573 5,019,499 02/28/1997 5,025,671 5,029,037 03/31/1997 4,987,552 4,994,337 04/30/1997 5,045,822 5,053,270 05/31/1997 5,078,973 5,095,212 06/30/1997 5,141,280 5,141,578 07/31/1997 5,240,626 5,245,952 08/31/1997 5,220,094 5,219,722 09/30/1997 5,282,529 5,280,271 10/31/1997 5,331,654 5,338,882 11/30/1997 5,354,915 5,350,628 12/31/1997 5,398,734 5,393,432 01/31/1998 5,454,128 5,464,087 02/28/1998 5,448,868 5,459,715 03/31/1998 5,476,199 5,477,186 04/30/1998 5,507,779 5,504,572 05/31/1998 5,547,118 5,544,756 06/30/1998 5,574,030 5,580,242 07/31/1998 5,603,136 5,599,773 08/31/1998 5,657,953 5,687,689 09/30/1998 5,812,116 5,830,450 10/31/1998 5,807,792 5,824,620 11/30/1998 5,807,850 5,824,037 12/31/1998 5,837,909 5,847,334 01/31/1999 5,869,063 5,879,494 02/28/1999 5,778,416 5,793,065 03/31/1999 5,842,985 5,836,513 04/30/1999 5,861,195 5,854,606 05/31/1999 5,823,540 5,809,526 06/30/1999 5,805,584 5,813,592 07/31/1999 5,800,346 5,808,361 08/31/1999 5,804,694 5,813,007 09/30/1999 5,858,013 5,867,068 10/31/1999 5,893,763 5,882,322 11/30/1999 5,912,009 5,889,381 12/31/1999 5,890,158 5,869,946 01/31/2000 5,826,274 5,848,228 02/29/2000 5,873,746 5,896,183 03/31/2000 5,951,786 5,957,503 04/30/2000 5,955,966 5,943,800 05/31/2000 5,995,504 5,953,311 06/30/2000 6,078,846 6,058,088 07/31/2000 6,123,436 6,104,129 08/31/2000 6,204,722 6,176,158 09/30/2000 6,265,532 6,232,361 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the invest- ment of $5,000,000 on 12/31/1996, the Fund's Institutional Class inception date, compared to the Lehman Brothers Intermediate Government/Corporate Bond Index, an unmanaged market index. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Moderate Duration Fund outperformed the Lehman Brothers Intermediate Government / Corporate Bond Index for the six-month period ended September 30, 2000, returning 5.27% versus 4.61% for the Index. . The Fund's duration was near that of the Index, which had a neutral impact on returns. An emphasis on intermediate maturities helped performance as this portion of the yield curve outperformed. . An overweight in mortgages added to returns due to relatively high yields and low market volatility. . An underweight in investment grade corporates helped returns in the second quarter of the year but was negative in the third quarter as corporates outperformed Treasuries due to narrowing yield premiums. A small high yield allocation was neutral as our focus on upper-tier, shorter maturity issues offset concern about credit quality in the sector. . Within the international sector emerging market bonds helped returns as yield premiums narrowed due to stronger economies and debt restructuring. Positions based on an expected rise in the euro were negative as the euro lost ground relative to the U.S. dollar. 8 PIMCO Funds PIMCO Low Duration Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with preservation of capital and prudent investment management Portfolio: Primarily short maturity fixed income securities Duration: 1.9 years Total Net Assets: $4.2 billion Sector Breakdown:* [GRAPH] Corporate Bonds and Notes 47.2% Mortgage-Backed Securities 33.2% U.S.Treasury Obligations 7.7% Other 11.9% Quality Breakdown:* [GRAPH] AAA 40.8% AA 8.0% A 25.8% BBB 20.7% BB 4.2% B 0.5% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Lipper Short Inst'l Class Admin. Class Merrill Lynch 1-3 Investment Grade (Incep. 5/11/1987) (Incep. 12/31/1994) Year Treasury Index Debt Fund Average 6 Months 4.04% 3.91% 3.85% 3.71% 1 Year 6.55% 6.29% 5.79% 5.73% 3 Years* 5.81% 5.55% 5.64% 5.05% 5 Years* 6.63% 6.37% 5.89% 5.42% 10 Years* 7.40% -- 6.48% 6.29% Since Inception* 7.80% 7.01% -- -- * Annualized
CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2000 [GRAPH] Merrill Lynch Low Duration 1-3 Year Treasury Month Fund Index 05/31/1987 5,000,000 5,000,000 06/30/1987 5,019,544 5,023,450 07/31/1987 5,044,724 5,035,003 08/31/1987 5,028,885 5,033,040 09/30/1987 5,074,774 5,074,160 10/31/1987 5,116,879 5,108,766 11/30/1987 5,156,800 5,143,965 12/31/1987 5,193,007 5,200,497 01/31/1988 5,219,920 5,205,281 02/29/1988 5,260,771 5,244,790 03/31/1988 5,310,323 5,283,758 04/30/1988 5,313,692 5,296,598 05/31/1988 5,355,776 5,332,774 06/30/1988 5,393,985 5,384,555 07/31/1988 5,402,862 5,389,186 08/31/1988 5,427,616 5,411,120 09/30/1988 5,458,772 5,436,444 10/31/1988 5,490,624 5,465,421 11/30/1988 5,503,181 5,493,840 12/31/1988 5,527,294 5,519,552 01/31/1989 5,543,567 5,588,932 02/28/1989 5,649,590 5,662,986 03/31/1989 5,656,322 5,690,791 04/30/1989 5,694,733 5,685,840 05/31/1989 5,712,097 5,705,912 06/30/1989 5,732,230 5,728,507 07/31/1989 5,719,966 5,700,552 08/31/1989 5,758,729 5,740,171 09/30/1989 5,794,632 5,758,654 10/31/1989 5,786,934 5,754,968 11/30/1989 5,775,306 5,772,924 12/31/1989 5,775,192 5,791,224 01/31/1990 5,779,894 5,807,961 02/28/1990 5,833,335 5,845,712 03/31/1990 5,851,977 5,861,262 04/30/1990 5,870,819 5,872,339 05/31/1990 5,868,064 5,880,737 06/30/1990 5,860,600 5,878,562 07/31/1990 5,890,024 5,917,713 08/31/1990 5,930,458 5,954,402 09/30/1990 5,948,746 5,969,883 10/31/1990 5,969,290 5,994,419 11/30/1990 6,042,394 6,056,642 12/31/1990 6,085,896 6,094,920 01/31/1991 6,140,202 6,139,839 02/28/1991 6,195,214 6,183,923 03/31/1991 7,057,271 6,923,107 04/30/1991 7,143,402 6,988,670 05/31/1991 7,199,368 7,030,881 06/30/1991 7,245,425 7,059,426 07/31/1991 7,325,646 7,120,914 08/31/1991 7,430,571 7,218,612 09/30/1991 7,527,775 7,296,718 10/31/1991 7,593,269 7,375,086 11/30/1991 7,675,305 7,451,712 12/31/1991 7,804,629 7,565,276 01/31/1992 7,811,724 7,553,701 02/29/1992 7,850,357 7,579,762 03/31/1992 7,854,905 7,577,109 04/30/1992 7,910,379 7,646,439 05/31/1992 7,990,995 7,716,175 06/30/1992 8,065,552 7,794,942 07/31/1992 8,172,756 7,882,416 08/31/1992 8,227,543 7,951,624 09/30/1992 8,309,644 8,027,323 10/31/1992 8,312,516 7,979,320 11/30/1992 8,317,418 7,966,313 12/31/1992 8,404,634 8,041,993 01/31/1993 8,484,134 8,125,469 02/28/1993 8,584,735 8,194,941 03/31/1993 8,633,491 8,219,527 04/30/1993 8,674,838 8,270,487 05/31/1993 8,685,036 8,247,329 06/30/1993 8,771,815 8,308,113 07/31/1993 8,802,074 8,327,387 08/31/1993 8,888,391 8,400,002 09/30/1993 8,922,962 8,427,302 10/31/1993 8,984,843 8,443,819 11/30/1993 8,993,553 8,445,931 12/31/1993 9,056,846 8,477,097 01/31/1994 9,106,228 8,531,519 02/28/1994 9,066,980 8,477,003 03/31/1994 9,027,600 8,434,789 04/30/1994 8,998,069 8,404,930 05/31/1994 8,988,338 8,416,864 06/30/1994 9,007,246 8,441,778 07/31/1994 9,091,298 8,514,377 08/31/1994 9,129,999 8,544,348 09/30/1994 9,116,482 8,524,952 10/31/1994 9,115,926 8,544,133 11/30/1994 9,118,176 8,506,026 12/31/1994 9,113,801 8,525,250 01/31/1995 9,198,589 8,643,921 02/28/1995 9,314,539 8,762,689 03/31/1995 9,352,866 8,811,585 04/30/1995 9,470,326 8,890,096 05/31/1995 9,642,739 9,045,405 06/30/1995 9,692,391 9,094,070 07/31/1995 9,696,402 9,131,718 08/31/1995 9,802,372 9,186,053 09/30/1995 9,890,345 9,230,697 10/31/1995 9,964,908 9,308,604 11/30/1995 10,081,178 9,390,892 12/31/1995 10,201,089 9,463,014 01/31/1996 10,276,453 9,543,450 02/29/1996 10,210,333 9,503,081 03/31/1996 10,206,317 9,494,623 04/30/1996 10,210,668 9,502,599 05/31/1996 10,220,903 9,522,079 06/30/1996 10,324,796 9,590,448 07/31/1996 10,360,157 9,628,235 08/31/1996 10,411,622 9,661,259 09/30/1996 10,559,003 9,748,888 10/31/1996 10,711,509 9,858,660 11/30/1996 10,856,335 9,934,177 12/31/1996 10,827,172 9,934,177 01/31/1997 10,917,928 9,980,768 02/28/1997 10,962,362 10,003,723 03/31/1997 10,918,161 9,999,822 04/30/1997 11,051,403 10,081,520 05/31/1997 11,144,606 10,150,277 06/30/1997 11,232,679 10,220,213 07/31/1997 11,414,133 10,332,533 08/31/1997 11,408,378 10,342,038 09/30/1997 11,508,994 10,420,534 10/31/1997 11,594,791 10,497,958 11/30/1997 11,628,837 10,523,470 12/31/1997 11,718,950 10,595,345 01/31/1998 11,808,398 10,698,225 02/28/1998 11,849,111 10,707,426 03/31/1998 11,900,389 10,751,006 04/30/1998 11,965,788 10,801,320 05/31/1998 12,042,787 10,858,892 06/30/1998 12,072,222 10,915,357 07/31/1998 12,130,281 10,966,441 08/31/1998 12,177,935 11,104,289 09/30/1998 12,426,371 11,251,422 10/31/1998 12,407,993 11,306,666 11/30/1998 12,480,576 11,296,829 12/31/1998 12,558,314 11,336,708 01/31/1999 12,614,507 11,381,600 02/28/1999 12,548,547 11,326,059 03/31/1999 12,656,332 11,404,775 04/30/1999 12,723,248 11,441,498 05/31/1999 12,683,445 11,434,174 06/30/1999 12,690,305 11,469,850 07/31/1999 12,692,072 11,506,210 08/31/1999 12,701,307 11,539,462 09/30/1999 12,796,976 11,614,468 10/31/1999 12,850,766 11,645,363 11/30/1999 12,906,395 11,667,372 12/31/1999 12,931,228 11,684,058 01/31/2000 12,915,977 11,679,735 02/29/2000 13,009,930 11,757,522 03/31/2000 13,106,258 11,830,418 04/30/2000 13,135,290 11,861,176 05/31/2000 13,175,787 11,909,925 06/30/2000 13,335,487 12,033,551 07/31/2000 13,416,218 12,109,603 08/31/2000 13,566,278 12,198,850 09/30/2000 13,635,215 12,286,438 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the invest- ment of $5,000,000 on 6/01/1987, the first full month following the Fund's Institutional Class inception on 5/11/1987, compared to the Merrill Lynch 1-3 Year Treasury Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 12/31/1994. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Low Duration Fund Institutional Class shares returned 4.04% for the six months ended September 30, 2000, outperforming the benchmark Merrill Lynch 1-3 Year Treasury Index return of 3.85%. . The Fund maintained a near-Index duration throughout the period, which had a neutral impact on performance. . Ourbroader-than-Index maturity distribution had a positive impact on performance as intermediate maturity rates fell the most. . An allocation to mortgage-backed securities was positive for performance as mortgages outperformed. . The Fund's investment-grade corporate holdings enhanced performance as investors sought wide yield premiums for short maturities. . Below-investment-grade holdings were negative as the sector was hurt by rising defaults and an increasing risk premium. . Strategies based on the rise in the euro detracted from returns as the currency depreciated. 2000 Semi-Annual Report 9 PIMCO Low Duration Fund II -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with preservation of capital and prudent investment management Portfolio: Primarily short maturity fixed income securities with quality and non-U.S. issuer restrictions Duration: 1.7 years Total Net Assets: $703.2 million Sector Breakdown:* [GRAPH] Mortgage-Backed Securities 46.4% Corporate Bonds and Notes 39.7% Asset-Backed Securities 5.5% Other 8.4% Quality Breakdown:* [GRAPH] AAA 50.4% AA 8.6% A 37.4% BBB 3.6% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Lipper Short Inst'l Class Admin. Class Merrill Lynch 1-3 Investment Grade (Incep. 11/01/1991) (Incep. 2/02/1998) Year Treasury Index Debt Fund Average -------------------------------------------------------------------------------------------------------------- 6 Months 4.14% 3.97% 3.85% 3.71% 1 Year 6.53% 6.22% 5.79% 5.73% 3 Years* 5.61% -- 5.64% 5.05% 5 Years* 6.14% -- 5.89% 5.42% Since Inception* 6.21% 4.99% -- --
* Annualized [GRAPH] Merrill Lynch Low Duration 1-3 Year Treasury Month Fund II Index 10/31/1991 5,000,000 5,000,000 11/30/1991 5,070,496 5,051,950 12/31/1991 5,150,788 5,128,941 01/31/1992 5,126,506 5,121,094 02/29/1992 5,159,358 5,138,762 03/31/1992 5,157,326 5,136,964 04/30/1992 5,197,109 5,183,966 05/31/1992 5,240,589 5,231,244 06/30/1992 5,302,476 5,284,645 07/31/1992 5,355,736 5,343,949 08/31/1992 5,377,728 5,390,869 09/30/1992 5,426,036 5,442,189 10/31/1992 5,423,401 5,409,645 11/30/1992 5,417,545 5,400,827 12/31/1992 5,471,783 5,452,135 01/31/1993 5,544,427 5,508,728 02/28/1993 5,600,313 5,555,828 03/31/1993 5,619,040 5,572,496 04/30/1993 5,660,962 5,607,045 05/31/1993 5,649,149 5,591,344 06/30/1993 5,710,514 5,632,553 07/31/1993 5,724,808 5,645,621 08/31/1993 5,775,444 5,694,851 09/30/1993 5,794,689 5,713,359 10/31/1993 5,802,333 5,724,557 11/30/1993 5,799,743 5,725,988 12/31/1993 5,831,720 5,747,117 01/31/1994 5,872,093 5,784,014 02/28/1994 5,850,184 5,747,054 03/31/1994 5,796,320 5,718,434 04/30/1994 5,779,212 5,698,191 05/31/1994 5,767,710 5,706,282 06/30/1994 5,772,326 5,723,172 07/31/1994 5,831,607 5,772,392 08/31/1994 5,826,033 5,792,711 09/30/1994 5,810,813 5,779,561 10/31/1994 5,821,529 5,792,565 11/30/1994 5,828,521 5,766,731 12/31/1994 5,850,354 5,779,763 01/31/1995 5,935,515 5,860,217 02/28/1995 6,029,620 5,940,737 03/31/1995 6,074,370 5,973,886 04/30/1995 6,107,608 6,027,114 05/31/1995 6,211,631 6,132,407 06/30/1995 6,235,805 6,165,399 07/31/1995 6,243,368 6,190,923 08/31/1995 6,297,641 6,227,760 09/30/1995 6,346,020 6,258,027 10/31/1995 6,405,255 6,310,844 11/30/1995 6,478,110 6,366,632 12/31/1995 6,539,804 6,415,528 01/31/1996 6,580,351 6,470,061 02/29/1996 6,535,860 6,442,692 03/31/1996 6,518,000 6,436,958 04/30/1996 6,505,764 6,442,365 05/31/1996 6,502,485 6,455,572 06/30/1996 6,575,782 6,501,923 07/31/1996 6,606,321 6,527,541 08/31/1996 6,630,457 6,549,930 09/30/1996 6,719,145 6,609,338 10/31/1996 6,816,464 6,683,760 11/30/1996 6,887,004 6,734,957 12/31/1996 6,881,011 6,734,957 01/31/1997 6,918,655 6,766,544 02/28/1997 6,946,342 6,782,107 03/31/1997 6,930,530 6,779,461 04/30/1997 6,993,758 6,834,850 05/31/1997 7,044,400 6,881,464 06/30/1997 7,099,424 6,928,877 07/31/1997 7,200,340 7,005,026 08/31/1997 7,201,737 7,011,470 09/30/1997 7,257,640 7,064,687 10/31/1997 7,324,878 7,117,177 11/30/1997 7,343,098 7,134,473 12/31/1997 7,405,208 7,183,201 01/31/1998 7,464,768 7,252,950 02/28/1998 7,477,590 7,259,187 03/31/1998 7,505,393 7,288,733 04/30/1998 7,541,498 7,322,844 05/31/1998 7,593,666 7,361,875 06/30/1998 7,623,903 7,400,156 07/31/1998 7,657,543 7,434,789 08/31/1998 7,746,767 7,528,244 09/30/1998 7,854,078 7,627,994 10/31/1998 7,838,078 7,665,447 11/30/1998 7,857,712 7,658,778 12/31/1998 7,893,710 7,685,814 01/31/1999 7,943,452 7,716,249 02/28/1999 7,885,625 7,678,594 03/31/1999 7,947,390 7,731,961 04/30/1999 7,979,520 7,756,857 05/31/1999 7,950,895 7,751,892 06/30/1999 7,933,181 7,776,079 07/31/1999 7,948,712 7,800,729 08/31/1999 7,953,224 7,823,273 09/30/1999 8,024,423 7,874,124 10/31/1999 8,063,922 7,895,070 11/30/1999 8,094,148 7,909,991 12/31/1999 8,095,132 7,921,303 01/31/2000 8,091,435 7,918,372 02/29/2000 8,147,721 7,971,109 03/31/2000 8,208,297 8,020,529 04/30/2000 8,230,192 8,041,382 05/31/2000 8,254,772 8,074,432 06/30/2000 8,344,502 8,158,245 07/31/2000 8,402,661 8,209,805 08/31/2000 8,475,367 8,270,310 09/30/2000 8,548,174 8,329,692 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 11/01/1991, the Fund's Institutional Class inception date, compared to the Merrill Lynch 1-3 Year Treasury Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annual basis. The Administrative Class commenced operations on 2/02/1998. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Low Duration Fund II Institutional Class shares returned 4.14% for the six months ended September 30, 2000, outperforming the benchmark Merrill Lynch 1-3 Year Treasury Index return of 3.85%. . The Fund maintained a near-Index duration throughout the period, which had a neutral impact on performance. . Our broader-than-Index maturity distribution had a positive impact on performance as intermediate maturity rates fell the most. . An allocation to mortgage-backed securities was positive for performance as mortgages outperformed. . The Fund's investment-grade corporate holdings enhanced performance as investors sought wide yield premiums for short maturities. 10 PIMCO Funds PIMCO Low Duration Fund III -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with preservation of capital and prudent investment management Portfolio: Primarily short maturity fixed income securities with prohibitions on firms engaged in socially sensitive practices Duration: 1.9 years Total Net Assets: $36.7 million Sector Breakdown:* [GRAPH] Corporate Bonds and Notes 50.4% Mortgage-Backed Securities 41.9% Other 7.7% Quality Breakdown:* [GRAPH] AAA 42.7% AA 3.9% A 17.9% BBB 29.7% BB 5.8% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Lipper Short Inst'l Class Admin. Class Merrill Lynch 1-3 Investment Grade (Incep. 12/31/1996) (Incep. 3/19/1999) Year Treasury Index Debt Fund Average ----------------------------------------------------------------------------------------------------------------- 6 Months 4.46% 4.34% 3.85% 3.71% 1 Year 6.20% 5.94% 5.79% 5.73% 3 Years* 5.60% -- 5.64% 5.05% Since Inception* 5.90% 4.73% -- --
* Annualized [GRAPH] Merrill Lynch Low Duration 1-3 Year Treasury Month Fund III Index 12/31/1996 5,000,000 5,000,000 01/31/1997 5,019,544 5,023,450 02/28/1997 5,044,724 5,035,003 03/31/1997 5,028,885 5,033,040 04/30/1997 5,074,774 5,074,160 05/31/1997 5,116,879 5,108,766 06/30/1997 5,156,800 5,143,965 07/31/1997 5,193,007 5,200,497 08/31/1997 5,219,920 5,205,281 09/30/1997 5,260,771 5,244,790 10/31/1997 5,310,323 5,283,758 11/30/1997 5,313,692 5,296,598 12/31/1997 5,355,776 5,332,774 01/31/1998 5,393,985 5,384,555 02/28/1998 5,402,862 5,389,186 03/31/1998 5,427,616 5,411,120 04/30/1998 5,458,772 5,436,444 05/31/1998 5,490,624 5,465,421 06/30/1998 5,503,181 5,493,840 07/31/1998 5,527,294 5,519,552 08/31/1998 5,543,567 5,588,932 09/30/1998 5,649,590 5,662,986 10/31/1998 5,656,322 5,690,791 11/30/1998 5,694,733 5,685,840 12/31/1998 5,712,097 5,705,912 01/31/1999 5,732,230 5,728,507 02/28/1999 5,719,966 5,700,552 03/31/1999 5,758,729 5,740,171 04/30/1999 5,794,632 5,758,654 05/31/1999 5,786,934 5,754,968 06/30/1999 5,775,306 5,772,924 07/31/1999 5,775,192 5,791,224 08/31/1999 5,779,894 5,807,961 09/30/1999 5,833,335 5,845,712 10/31/1999 5,851,977 5,861,262 11/30/1999 5,870,819 5,872,339 12/31/1999 5,868,064 5,880,737 01/31/2000 5,860,600 5,878,562 02/29/2000 5,890,024 5,917,713 03/31/2000 5,930,458 5,954,402 04/30/2000 5,948,746 5,969,883 05/31/2000 5,969,290 5,994,419 06/30/2000 6,042,394 6,056,642 07/31/2000 6,085,896 6,094,920 08/31/2000 6,140,202 6,139,839 09/30/2000 6,195,214 6,183,923 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the invest- ment of $5,000,000 on 12/31/1996, the Fund's Institutional Class inception date, compared to the Merrill Lynch 1-3 Year Treasury Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 3/19/1999. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Low Duration Fund III Institutional Class shares returned 4.46% for the six months ended September 30, 2000, outperforming the benchmark Merrill Lynch 1-3 Year Treasury Index return of 3.85%. . The Fund maintained a near-Index duration throughout the period, which had a neutral impact on performance. . Our broader-than-Index maturity distribution had a positive impact on performance as intermediate maturity rates fell the most. . An allocation to mortgage-backed securities was positive for performance as mortgages outperformed. . The Fund's investment-grade corporate holdings enhanced performance as investors sought wide yield premiums for short maturities. . Below-investment-grade holdings were slightly negative as the sector was hurt by rising defaults and an increasing risk premium.H . Strategies based on the rise in the euro detracted from returns as the currency depreciated. 2000 Semi-Annual Report 11 PIMCO Short-Term Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum current income, consistent with preservation of capital and daily liquidity Portfolio: Primarily money market instruments and short maturity fixed income securities Duration: 0.4 years Total Net Assets: $690.9 million Sector Breakdown:* [GRAPH] Corporate Bonds and Notes 51.9% Mortgage-Backed Securities 18.7% U.S. Government Agencies 8.3% Asset-Backed Securities 8.2% Short-Term Instruments 6.4% Other 6.5% Quality Breakdown:* [GRAPH] AAA 39.8% AA 11.0% A 16.6% BBB 29.3% BB 2.9% B 0.4% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Salomon Lipper Ultra Short Inst'l Class Admin. Class 3-Month Treasury Obligation (Incep. 10/07/1987) (Incep. 2/01/1996) Bill Index Fund Average ----------------------------------------------------------------------------------------------------------------- 6 Months 3.44% 3.31% 2.94% 3.32% 1 Year 6.55% 6.27% 5.62% 6.02% 3 Years* 5.80% 5.54% 5.15% 5.37% 5 Years* 6.45% -- 5.21% 5.61% 10 Years* 5.89% -- 4.89% 5.47% Since Inception* 6.45% 5.96% -- --
* Annualized [GRAPH] Salomon 3-Month Short-Term Treasury Bill Month Fund Index 10/31/1987 5,000,000 5,000,000 11/30/1987 5,029,461 5,025,505 12/31/1987 5,060,119 5,049,416 01/31/1988 5,094,787 5,074,145 02/29/1988 5,116,116 5,096,972 03/31/1988 5,144,560 5,121,946 04/30/1988 5,173,186 5,147,043 05/31/1988 5,202,593 5,173,283 06/30/1988 5,232,291 5,200,710 07/31/1988 5,259,411 5,229,832 08/31/1988 5,293,423 5,260,160 09/30/1988 5,328,409 5,291,715 10/31/1988 5,375,276 5,323,984 11/30/1988 5,411,635 5,357,521 12/31/1988 5,443,779 5,392,345 01/31/1989 5,483,420 5,429,009 02/28/1989 5,522,499 5,467,021 03/31/1989 5,571,029 5,506,382 04/30/1989 5,613,569 5,547,685 05/31/1989 5,665,094 5,589,294 06/30/1989 5,708,266 5,628,410 07/31/1989 5,756,794 5,667,812 08/31/1989 5,788,039 5,706,356 09/30/1989 5,828,328 5,743,449 10/31/1989 5,883,335 5,782,504 11/30/1989 5,922,983 5,820,087 12/31/1989 5,957,698 5,858,508 01/31/1990 5,987,232 5,897,174 02/28/1990 6,024,238 5,932,550 03/31/1990 6,064,842 5,972,300 04/30/1990 6,090,417 6,011,109 05/31/1990 6,148,665 6,051,983 06/30/1990 6,189,318 6,091,324 07/31/1990 6,232,885 6,131,523 08/31/1990 6,267,095 6,171,375 09/30/1990 6,309,632 6,209,019 10/31/1990 6,358,334 6,247,522 11/30/1990 6,409,912 6,284,390 12/31/1990 6,462,141 6,325,239 01/31/1991 6,509,418 6,361,294 02/28/1991 6,545,494 6,392,464 03/31/1991 6,576,473 6,425,704 04/30/1991 6,618,103 6,456,547 05/31/1991 6,656,338 6,487,540 06/30/1991 6,682,104 6,517,381 07/31/1991 6,722,727 6,548,666 08/31/1991 6,766,617 6,579,444 09/30/1991 6,804,471 6,608,395 10/31/1991 6,844,965 6,637,470 11/30/1991 6,862,973 6,664,021 12/31/1991 6,892,228 6,688,678 01/31/1992 6,919,339 6,712,089 02/29/1992 6,934,403 6,732,895 03/31/1992 6,948,634 6,755,787 04/30/1992 6,979,006 6,777,407 05/31/1992 7,001,946 6,799,771 06/30/1992 7,031,099 6,820,171 07/31/1992 7,061,296 6,840,632 08/31/1992 7,080,606 6,859,785 09/30/1992 7,100,505 6,876,934 10/31/1992 7,109,622 6,894,125 11/30/1992 7,119,728 6,911,360 12/31/1992 7,142,089 6,930,020 01/31/1993 7,167,580 6,948,732 02/28/1993 7,187,715 6,964,714 03/31/1993 7,222,352 6,982,126 04/30/1993 7,248,666 6,998,882 05/31/1993 7,279,042 7,016,380 06/30/1993 7,309,491 7,033,921 07/31/1993 7,337,521 7,052,210 08/31/1993 7,358,333 7,070,546 09/30/1993 7,378,551 7,088,221 10/31/1993 7,406,168 7,106,651 11/30/1993 7,435,531 7,124,417 12/31/1993 7,472,268 7,142,941 01/31/1994 7,487,037 7,161,512 02/28/1994 7,497,133 7,178,699 03/31/1994 7,486,772 7,198,799 04/30/1994 7,500,714 7,220,394 05/31/1994 7,507,684 7,244,222 06/30/1994 7,544,131 7,268,852 07/31/1994 7,581,551 7,295,019 08/31/1994 7,613,244 7,322,010 09/30/1994 7,623,522 7,349,101 10/31/1994 7,645,459 7,379,233 11/30/1994 7,653,660 7,410,225 12/31/1994 7,688,576 7,444,312 01/31/1995 7,728,764 7,478,556 02/28/1995 7,801,580 7,511,461 03/31/1995 7,820,739 7,548,268 04/30/1995 7,906,502 7,584,500 05/31/1995 7,988,187 7,621,664 06/30/1995 8,016,388 7,657,486 07/31/1995 8,066,833 7,694,241 08/31/1995 8,106,191 7,730,404 09/30/1995 8,183,875 7,765,192 10/31/1995 8,244,808 7,800,911 11/30/1995 8,323,417 7,835,235 12/31/1995 8,396,279 7,871,277 01/31/1996 8,438,474 7,906,698 02/29/1996 8,455,531 7,939,115 03/31/1996 8,484,975 7,972,459 04/30/1996 8,526,887 8,005,146 05/31/1996 8,573,734 8,039,568 06/30/1996 8,622,971 8,073,335 07/31/1996 8,649,616 8,108,049 08/31/1996 8,706,604 8,143,726 09/30/1996 8,792,582 8,178,744 10/31/1996 8,865,196 8,214,729 11/30/1996 8,947,374 8,249,233 12/31/1996 8,984,288 8,284,703 01/31/1997 9,039,631 8,320,328 02/28/1997 9,081,953 8,352,778 03/31/1997 9,089,081 8,389,529 04/30/1997 9,142,882 8,425,604 05/31/1997 9,211,364 8,462,676 06/30/1997 9,273,987 8,498,220 07/31/1997 9,348,891 8,534,763 08/31/1997 9,379,554 8,571,461 09/30/1997 9,444,784 8,607,463 10/31/1997 9,469,319 8,645,334 11/30/1997 9,513,992 8,681,646 12/31/1997 9,569,434 8,718,978 01/31/1998 9,628,194 8,757,342 02/28/1998 9,663,998 8,792,371 03/31/1998 9,730,989 8,831,057 04/30/1998 9,777,926 8,868,142 05/31/1998 9,824,621 8,906,281 06/30/1998 9,860,451 8,942,797 07/31/1998 9,921,920 8,980,356 08/31/1998 9,927,830 9,018,971 09/30/1998 9,996,273 9,055,950 10/31/1998 10,036,673 9,092,174 11/30/1998 10,073,050 9,125,815 12/31/1998 10,118,477 9,159,581 01/31/1999 10,160,402 9,193,471 02/28/1999 10,203,832 9,224,729 03/31/1999 10,278,911 9,259,782 04/30/1999 10,329,119 9,294,044 05/31/1999 10,333,674 9,329,361 06/30/1999 10,372,627 9,363,879 07/31/1999 10,411,216 9,400,399 08/31/1999 10,447,798 9,438,001 09/30/1999 10,497,169 9,474,808 10/31/1999 10,550,411 9,513,656 11/30/1999 10,602,935 9,551,709 12/31/1999 10,648,527 9,592,783 01/31/2000 10,677,925 9,634,991 02/29/2000 10,740,147 9,676,420 03/31/2000 10,812,389 9,721,898 04/30/2000 10,854,585 9,767,591 05/31/2000 10,916,030 9,815,452 06/30/2000 10,985,938 9,861,584 07/31/2000 11,045,435 9,908,919 08/31/2000 11,117,564 9,957,968 09/30/2000 11,184,834 10,007,758 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 11/01/1987, the first full month following the Fund's Institutional Class inception on 10/07/1987, compared to the Salomon 3-Month Treasury Bill Index, an unmanaged market index. Whereas money market funds attempt to maintain a stable share price, the Short-Term Fund's share price will fluctuate in response to market conditions. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 2/01/1996. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Short-Term Fund Institutional Class shares returned 3.44% for the six months ended September 30, 2000, outperforming the Salomon 3-Month Treasury Bill Index return of 2.94%. . An above-Index duration detracted from returns as short-term Treasury interest rates rose over the period. . An allocation to mortgage-backed securities was positive for performance as mortgages outperformed due to relatively high yields and low market volatility. . The Fund's investment-grade corporate holdings enhanced performance as investors sought the relatively wide yield premiums for short maturity corporate securities. . Below-investment-grade holdings were slightly negative as the sector was hurt by rising defaults and an increasing risk premium. . Emerging market bonds helped returns as yield premiums narrowed due to stronger economies and debt restructuring. 12 PIMCO Funds PIMCO Money Market Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum current income, consistent with preservation of capital and daily liquidity Portfolio: Primarily money market instruments Duration: 47.5 days Total Net Assets: $355.3 million Sector Breakdown:* [GRAPH] Short-Term Instruments 58.3% Corporate Bonds and Notes 41.7% Quality Breakdown:* [GRAPH] AAA 38.3% AA 59.5% A 2.2% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Lipper Inst'l Inst'l Class Admin. Class Salomon 3-Month Money Market (Incep. 3/01/1991) (Incep. 1/24//1995) Treasury Bill Index Fund Average ------------------------------------------------------------------------------------------------------------- 7 Day Yield* 6.34% 6.08% -- -- 6 Months 3.08% 2.96% 2.94% 3.09% 1 Year 5.94% 5.70% 5.62% 5.89% 3 Years* 5.39% 5.17% 5.15% 5.40% 5 Years* 5.43% 5.19% 5.21% 5.38% Since Inception* 4.84% 5.24% -- --
* Annualized [GRAPH] Salomon 3-Month Money Market Treasury Bill Month Fund Index 02/28/1991 5,000,000 5,000,000 03/31/1991 5,025,170 5,026,000 04/30/1991 5,050,085 5,050,124 05/31/1991 5,075,810 5,074,366 06/30/1991 5,098,544 5,097,707 07/31/1991 5,122,151 5,122,177 08/31/1991 5,146,158 5,146,250 09/30/1991 5,168,071 5,168,895 10/31/1991 5,189,068 5,191,637 11/30/1991 5,209,752 5,212,405 12/31/1991 5,235,296 5,231,691 01/31/1992 5,253,666 5,250,001 02/29/1992 5,269,348 5,266,276 03/31/1992 5,286,316 5,284,181 04/30/1992 5,302,529 5,301,091 05/31/1992 5,318,495 5,318,584 06/30/1992 5,333,833 5,334,540 07/31/1992 5,349,339 5,350,544 08/31/1992 5,362,691 5,365,525 09/30/1992 5,375,416 5,378,938 10/31/1992 5,388,548 5,392,385 11/30/1992 5,400,824 5,405,865 12/31/1992 5,415,417 5,420,461 01/31/1993 5,427,493 5,435,097 02/28/1993 5,439,092 5,447,597 03/31/1993 5,452,504 5,461,217 04/30/1993 5,464,658 5,474,323 05/31/1993 5,475,877 5,488,009 06/30/1993 5,489,090 5,501,729 07/31/1993 5,501,737 5,516,034 08/31/1993 5,515,161 5,530,376 09/30/1993 5,527,714 5,544,202 10/31/1993 5,541,036 5,558,617 11/30/1993 5,554,511 5,572,513 12/31/1993 5,567,081 5,587,002 01/31/1994 5,580,537 5,601,527 02/28/1994 5,592,446 5,614,971 03/31/1994 5,606,276 5,630,692 04/30/1994 5,620,505 5,647,583 05/31/1994 5,637,321 5,666,220 06/30/1994 5,654,814 5,685,485 07/31/1994 5,672,813 5,705,953 08/31/1994 5,694,234 5,727,064 09/30/1994 5,714,049 5,748,254 10/31/1994 5,736,363 5,771,822 11/30/1994 5,759,664 5,796,064 12/31/1994 5,785,415 5,822,725 01/31/1995 5,813,735 5,849,510 02/28/1995 5,839,234 5,875,247 03/31/1995 5,867,023 5,904,036 04/30/1995 5,892,850 5,932,376 05/31/1995 5,923,104 5,961,445 06/30/1995 5,950,960 5,989,464 07/31/1995 5,979,025 6,018,213 08/31/1995 6,006,869 6,046,498 09/30/1995 6,032,542 6,073,708 10/31/1995 6,061,076 6,101,647 11/30/1995 6,105,719 6,128,494 12/31/1995 6,136,175 6,156,685 01/31/1996 6,164,350 6,184,390 02/29/1996 6,191,072 6,209,746 03/31/1996 6,217,237 6,235,827 04/30/1996 6,244,019 6,261,393 05/31/1996 6,273,132 6,288,317 06/30/1996 6,297,220 6,314,729 07/31/1996 6,324,461 6,341,881 08/31/1996 6,354,570 6,369,786 09/30/1996 6,379,780 6,397,177 10/31/1996 6,406,912 6,425,323 11/30/1996 6,433,601 6,452,311 12/31/1996 6,460,353 6,480,054 01/31/1997 6,488,472 6,507,920 02/28/1997 6,513,657 6,533,301 03/31/1997 6,539,911 6,562,047 04/30/1997 6,567,988 6,590,263 05/31/1997 6,598,555 6,619,260 06/30/1997 6,626,256 6,647,062 07/31/1997 6,655,217 6,675,644 08/31/1997 6,686,098 6,704,349 09/30/1997 6,714,110 6,732,508 10/31/1997 6,746,003 6,762,130 11/30/1997 6,773,457 6,790,532 12/31/1997 6,805,247 6,819,732 01/31/1998 6,836,094 6,849,739 02/28/1998 6,863,584 6,877,138 03/31/1998 6,893,016 6,907,397 04/30/1998 6,922,674 6,936,404 05/31/1998 6,953,532 6,966,235 06/30/1998 6,983,538 6,994,797 07/31/1998 7,016,569 7,024,175 08/31/1998 7,045,979 7,054,378 09/30/1998 7,076,192 7,083,302 10/31/1998 7,107,700 7,111,635 11/30/1998 7,136,327 7,137,948 12/31/1998 7,168,594 7,164,359 01/31/1999 7,194,413 7,190,867 02/28/1999 7,219,300 7,215,316 03/31/1999 7,247,024 7,242,733 04/30/1999 7,276,038 7,269,532 05/31/1999 7,301,880 7,297,156 06/30/1999 7,329,104 7,324,155 07/31/1999 7,359,334 7,352,720 08/31/1999 7,388,408 7,382,131 09/30/1999 7,418,652 7,410,920 10/31/1999 7,450,747 7,441,306 11/30/1999 7,482,278 7,471,070 12/31/1999 7,519,731 7,503,197 01/31/2000 7,552,712 7,536,211 02/29/2000 7,586,023 7,568,616 03/31/2000 7,624,519 7,604,187 04/30/2000 7,657,193 7,639,927 05/31/2000 7,694,457 7,677,362 06/30/2000 7,736,374 7,713,445 07/31/2000 7,775,004 7,750,470 08/31/2000 7,817,526 7,788,834 09/30/2000 7,859,326 7,827,778 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 3/01/1991, the Fund's Institutional Class inception date, compared to the Salomon 3-Month Treasury Bill Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 1/24/1995. An investment in the Money Market Fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other U.S. Government agency. Although the fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the fund. If there is a material difference between the quoted total return and the quoted current yield, the yield quotation more closely reflects the current earnings of the Money Market Fund than the total return quotation. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Money Market Fund Institutional Class shares returned 3.08% for the six months ended September 30, 2000, outperforming the Salomon 3-Month Treasury Bill Index return of 2.94%. . The Fund, which has a Aaa money market fund rating by Moody's Investors Service, emphasizes high quality commercial paper, shorter-term agency and high quality corporate debt issues due to strong liquidity, attractive yields and limited credit risks. . Three-month U.S. Treasury rates rose by 0.32% for the six months ended September 30, 2000. . The use of high quality commercial paper as well as corporate and agency notes added to returns. . The SEC 7-day and 30-day yields for the Fund were 6.34% and 6.48%, respectively as of September 30, 2000. 2000 Semi-Annual Report 13 PIMCO Long-Term U.S. Government Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with preservation of capital and prudent investment management Portfolio: Primarily long-term maturity fixed income securities Duration: 10.9 years Total Net Assets: $370.3 million Sector Breakdown:* [GRAPH] U.S. Treasury Obligations 41.6% Mortgage-Backed Securities 40.2% U.S. Government Agencies 8.6% Other 9.6% Quality Breakdown:* [GRAPH] AAA 92.4% AA 3.4% A 2.4% BBB 1.8% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Lehman Lipper General Inst'l Class Admin. Class Long-Term U.S. Government (Incep. 7/01/1991) (Incep. 9/23/1997) Treasury Index Fund Average ---------------------------------------------------------------------------------------------------- 6 Months 4.89% 4.76% 3.80% 4.14% 1 Year 9.37% 9.09% 9.81% 6.12% 3 Years* 7.30% 7.02% 7.36% 4.93% 5 Years* 7.74% -- 7.47% 5.37% Since Inception* 10.79% 6.93% -- --
* Annualized [GRAPH] Long-Term U.S. Government Lehman Long-Term Month Fund Treasury Index 06/30/1991 5,000,000 5,000,000 07/31/1991 5,068,858 5,074,501 08/31/1991 5,265,511 5,249,571 09/30/1991 5,442,627 5,414,932 10/31/1991 5,470,292 5,426,845 11/30/1991 5,543,810 5,457,236 12/31/1991 5,909,199 5,782,486 01/31/1992 5,742,566 5,600,917 02/29/1992 5,771,828 5,633,962 03/31/1992 5,753,678 5,571,988 04/30/1992 5,725,465 5,566,416 05/31/1992 5,930,074 5,721,163 06/30/1992 6,016,162 5,804,119 07/31/1992 6,300,744 6,045,570 08/31/1992 6,427,326 6,087,285 09/30/1992 6,540,767 6,183,464 10/31/1992 6,378,211 6,053,611 11/30/1992 6,445,336 6,076,615 12/31/1992 6,614,191 6,243,115 01/31/1993 6,790,743 6,421,044 02/28/1993 7,063,398 6,635,507 03/31/1993 7,101,318 6,652,095 04/30/1993 7,156,851 6,703,316 05/31/1993 7,184,508 6,725,437 06/30/1993 7,540,954 7,009,924 07/31/1993 7,650,608 7,122,783 08/31/1993 7,942,707 7,409,119 09/30/1993 7,968,888 7,435,051 10/31/1993 8,009,725 7,488,582 11/30/1993 7,792,708 7,296,874 12/31/1993 7,842,784 7,320,224 01/31/1994 8,022,521 7,495,910 02/28/1994 7,708,576 7,188,578 03/31/1994 7,394,709 6,873,000 04/30/1994 7,268,749 6,791,898 05/31/1994 7,246,140 6,747,072 06/30/1994 7,204,478 6,682,974 07/31/1994 7,383,601 6,909,528 08/31/1994 7,399,922 6,858,397 09/30/1994 7,169,097 6,642,358 10/31/1994 7,122,283 6,619,109 11/30/1994 7,100,894 6,658,162 12/31/1994 7,263,266 6,760,697 01/31/1995 7,453,074 6,934,447 02/28/1995 7,711,268 7,131,386 03/31/1995 7,801,463 7,192,715 04/30/1995 7,935,436 7,320,745 05/31/1995 8,543,447 7,882,247 06/30/1995 8,641,206 7,973,681 07/31/1995 8,492,085 7,846,101 08/31/1995 8,683,920 8,020,286 09/30/1995 8,871,163 8,167,858 10/31/1995 9,089,923 8,396,559 11/30/1995 9,313,423 8,606,473 12/31/1995 9,556,575 8,835,405 01/31/1996 9,571,589 8,835,405 02/29/1996 9,125,878 8,408,654 03/31/1996 8,958,506 8,241,322 04/30/1996 8,759,744 8,103,692 05/31/1996 8,771,139 8,061,553 06/30/1996 8,947,395 8,233,264 07/31/1996 8,918,333 8,236,557 08/31/1996 8,856,612 8,133,600 09/30/1996 9,102,968 8,358,088 10/31/1996 9,493,678 8,686,561 11/30/1996 9,851,090 8,976,691 12/31/1996 9,624,385 8,758,559 01/31/1997 9,576,361 8,696,373 02/28/1997 9,598,405 8,699,851 03/31/1997 9,359,770 8,477,135 04/30/1997 9,570,437 8,681,434 05/31/1997 9,684,481 8,778,666 06/30/1997 9,875,451 8,948,094 07/31/1997 10,424,177 9,473,347 08/31/1997 10,161,918 9,209,988 09/30/1997 10,427,124 9,463,263 10/31/1997 10,781,870 9,782,175 11/30/1997 10,884,053 9,912,278 12/31/1997 11,070,318 10,078,804 01/31/1998 11,276,193 10,283,404 02/28/1998 11,199,620 10,209,364 03/31/1998 11,253,545 10,230,803 04/30/1998 11,318,487 10,268,657 05/31/1998 11,539,028 10,464,788 06/30/1998 11,809,161 10,707,571 07/31/1998 11,801,731 10,662,600 08/31/1998 12,300,067 11,143,483 09/30/1998 12,791,270 11,551,334 10/31/1998 12,445,690 11,376,910 11/30/1998 12,490,607 11,464,511 12/31/1998 12,554,165 11,440,436 01/31/1999 12,649,540 11,543,400 02/28/1999 12,075,837 10,975,465 03/31/1999 12,126,451 10,950,221 04/30/1999 12,144,805 10,965,551 05/31/1999 11,926,288 10,793,392 06/30/1999 11,815,966 10,678,982 07/31/1999 11,748,078 10,627,723 08/31/1999 11,657,161 10,586,275 09/30/1999 11,776,658 10,664,613 10/31/1999 11,801,615 10,671,012 11/30/1999 11,726,960 10,598,449 12/31/1999 11,551,451 10,440,533 01/31/2000 11,604,071 10,589,832 02/29/2000 11,954,949 10,909,645 03/31/2000 12,278,865 11,282,755 04/30/2000 12,210,344 11,192,492 05/31/2000 12,145,217 11,152,200 06/30/2000 12,518,123 11,394,202 07/31/2000 12,744,020 11,590,183 08/31/2000 13,030,399 11,854,439 09/30/2000 12,879,831 11,711,000 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 7/01/1991, the Fund's Institutional Class inception date, compared to the Lehman Long-Term Treasury Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annual basis. The Administrative Class commenced operations on 9/23/1997. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Long-Term U.S. Government Fund Institutional Class shares had a total return of 4.89% versus 3.80% for the Lehman Long-Term Treasury Index for the six months ended September 30, 2000. . The Fund's duration was near that of the benchmark, which was neutral for performance. . Emphasizing mortgage securities added to returns due to high yields and narrowing spreads relative to Treasuries. . Premium income generated from written options aided relative performance. . Real return bonds added modestly to relative returns due to a favorable inflation adjustment. . A modest position in municipal bonds aided returns; municipals outpaced Treasuries as high tax-adjusted yields attracted strong retail demand. 14 PIMCO Funds PIMCO Investment Grade Corporate Bond Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with preservation of capital and prudent investment management Portfolio: Primarily corporate fixed income securities Duration: 5.5 years Total Net Assets: $5.3 million -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Sector Breakdown:* [GRAPH] Corporate Bonds and Notes 88.2% Other 11.8% Quality Breakdown:* [GRAPH] AAA 8.7% AA 6.8% A 22.6% BBB 54.0% BB 7.9% *% of Total Investments as of September 30, 2000 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Fund shares, when redeemed, may be worth more or less than their original cost. The Fund commenced operations on 4/28/2000. The total return performance since inception was 5.95%. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Investment Grade Corporate Bond Fund returned 3.30% for the three-month period ended September 30, 2000, compared to 3.07% for the benchmark Lehman Corporate Investment Grade Index, an unmanaged market index. . An above-benchmark duration had a positive impact on returns during the quarter as intermediate rates fell. . Underweighting consumer cyclicals added to returns as excess capacity and reduced demand caused this sector to underperform. . An overweight to transportation-related companies, especially Equipment Trust Certificates (ETCs), boosted returns as strong demand more than offset higher oil prices. . An allocation to high yield bonds was negative amid concern about credit weakness in the sector as growth began to slow. . A small allocation to mortgage-backed securities was neutral as they performed similarly to corporates. 2000 Semi-Annual Report 15 PIMCO High Yield Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with preservation of capital and prudent investment management Portfolio: Primarily higher yielding fixed income securities Duration: 3.7 years Total Net Assets: $3.1 billion Sector Breakdown:* [GRAPH] Corporate Bonds and Notes 76.3% Short-Term Instruments 9.4% Asset-Backed Securities 6.3% Other 8.0% Quality Breakdown:* [GRAPH] AAA 3.2% AA 2.2% A 0.6% BBB 19.2% BB 39.8% B 35.0% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Lehman Intermediate Lipper High Inst'l Class Admin. Class BB rated Current Yield (Incep. 12/16/1992) (Incep. 1/16/1995) Corporate Index Fund Average ----------------------------------------------------------------------------------------------------------- 6 Months 3.61% 3.49% 5.34% -1.14% 1 Year 3.17% 2.92% 5.31% -0.02% 3 Years* 4.31% 4.05% 4.58% 0.49% 5 Years* 7.95% 7.69% 7.19% 5.49% Since Inception* 9.77% 9.35% -- --
* Annualized [GRAPH] Lehman Intermediate High Yield BB rated Month Fund Corporate Index 12/31/1992 5,000,000 5,000,000 01/31/1993 5,113,886 5,105,500 02/28/1993 5,208,126 5,180,551 03/31/1993 5,313,333 5,239,092 04/30/1993 5,369,686 5,283,100 05/31/1993 5,409,077 5,322,195 06/30/1993 5,556,254 5,435,026 07/31/1993 5,595,567 5,489,919 08/31/1993 5,658,345 5,553,602 09/30/1993 5,686,689 5,594,144 10/31/1993 5,839,376 5,669,106 11/30/1993 5,884,380 5,683,845 12/31/1993 5,935,129 5,732,726 01/31/1994 6,061,596 5,828,463 02/28/1994 6,060,370 5,822,051 03/31/1994 5,879,246 5,643,896 04/30/1994 5,828,068 5,610,598 05/31/1994 5,870,524 5,615,648 06/30/1994 5,878,587 5,632,494 07/31/1994 5,934,013 5,701,210 08/31/1994 5,984,086 5,761,643 09/30/1994 6,025,467 5,772,015 10/31/1994 6,028,706 5,785,289 11/30/1994 6,004,787 5,745,950 12/31/1994 6,077,394 5,781,575 01/31/1995 6,137,436 5,874,658 02/28/1995 6,305,367 6,053,248 03/31/1995 6,397,464 6,110,148 04/30/1995 6,537,390 6,232,351 05/31/1995 6,727,023 6,415,582 06/30/1995 6,781,902 6,472,039 07/31/1995 6,872,762 6,530,935 08/31/1995 6,925,387 6,568,814 09/30/1995 7,022,543 6,639,758 10/31/1995 7,125,446 6,692,211 11/30/1995 7,212,331 6,776,533 12/31/1995 7,334,202 6,883,602 01/31/1996 7,453,084 6,995,117 02/29/1996 7,460,951 6,969,934 03/31/1996 7,402,000 6,933,691 04/30/1996 7,434,433 6,930,917 05/31/1996 7,459,688 6,940,621 06/30/1996 7,490,201 7,015,579 07/31/1996 7,557,060 7,053,463 08/31/1996 7,680,144 7,110,596 09/30/1996 7,858,765 7,263,475 10/31/1996 7,937,607 7,364,437 11/30/1996 8,110,110 7,513,198 12/31/1996 8,191,022 7,529,728 01/31/1997 8,275,049 7,601,259 02/28/1997 8,402,615 7,693,234 03/31/1997 8,292,841 7,601,685 04/30/1997 8,381,534 7,695,946 05/31/1997 8,572,658 7,827,547 06/30/1997 8,699,809 7,928,522 07/31/1997 8,924,236 8,164,792 08/31/1997 8,921,803 8,087,226 09/30/1997 9,072,091 8,214,195 10/31/1997 9,081,530 8,242,125 11/30/1997 9,168,890 8,299,819 12/31/1997 9,273,057 8,376,177 01/31/1998 9,432,639 8,476,692 02/28/1998 9,483,456 8,515,684 03/31/1998 9,557,939 8,570,184 04/30/1998 9,581,967 8,613,893 05/31/1998 9,631,622 8,669,883 06/30/1998 9,702,825 8,722,769 07/31/1998 9,806,262 8,768,128 08/31/1998 9,412,663 8,526,128 09/30/1998 9,532,027 8,706,882 10/31/1998 9,438,479 8,595,433 11/30/1998 9,836,791 8,801,724 12/31/1998 9,879,676 8,857,175 01/31/1999 10,010,006 8,948,403 02/28/1999 9,927,890 8,882,185 03/31/1999 10,010,332 8,946,137 04/30/1999 10,178,603 9,037,387 05/31/1999 9,984,753 8,928,036 06/30/1999 9,982,745 8,907,501 07/31/1999 10,010,514 8,941,350 08/31/1999 9,972,088 8,885,018 09/30/1999 9,978,381 8,921,448 10/31/1999 9,966,545 8,891,114 11/30/1999 10,104,777 8,966,688 12/31/1999 10,158,157 9,051,872 01/31/2000 10,112,740 8,987,604 02/29/2000 10,137,614 9,004,680 03/31/2000 9,935,905 8,919,136 04/30/2000 9,958,025 8,949,460 05/31/2000 9,908,672 8,953,039 06/30/2000 10,098,829 9,146,423 07/31/2000 10,178,729 9,298,253 08/31/2000 10,325,854 9,441,446 09/30/2000 10,294,967 9,395,182 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 1/01/1993, the first full month following the Fund's Institutional Class inception on 12/16/1992, compared to the Lehman Intermediate BB rated Corporate Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 1/16/1995. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. The investments made by the High Yield Fund may involve high risk and may have speculative characteristics. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The High Yield Fund Institutional Class shares returned 3.61% for the semi-annual period ended September 30, 2000, compared to 5.34% for the Lehman Intermediate BB rated Corporate Index. . The Fund's exposure to B rated issues detracted from performance as B rated issues significantly underperformed BBs. . A focus on non-cyclical companies such as healthcare and utilities added to performance as the U.S economy began to show signs of a slowdown in growth. . Avoiding retail, restaurants and supermarket issues boosted relative performance as these sectors were adversely affected by excess capacity and a reduction in consumer demand. . A strong underweight to technology and telecom start-up companies was a positive due their poor performance driven by weak earnings. . Limited exposure to high quality emerging market credits helped returns as these issues performed well due to increased growth prospects for many of these countries. 16 PIMCO Funds PIMCO Total Return Mortgage Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with preservation of capital and prudent investment management Portfolio: Primarily intermediate maturity mortgage-related fixed income securities Duration: 4.2 years Total Net Assets: $16.3 million Sector Breakdown:* [GRAPH] Mortgage-Backed Securities 85.0% Short-Term Instruments 12.9% Other 2.1% Quality Breakdown:* [GRAPH] AAA 90.4% AA 2.9% BBB 6.7% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000 Inst'l Class Lehman Brothers Lipper U.S. Mortgage (Incep. 7/31/1997) Mortgage Index Fund Average -------------------------------------------------------------------------------- 6 Months 5.27% 5.55% 4.76% 1 Year 8.47% 7.42% 6.47% 3 Years* 6.84% 6.07% 5.18% Since Inception* 7.05% -- -- *Annualized [GRAPH] Total Return Lehman Brothers Mortgage Mortgage Month Fund Index 07/31/1997 5,000,000 5,000,000 08/31/1997 5,005,044 4,988,118 09/30/1997 5,084,467 5,051,382 10/31/1997 5,160,309 5,107,387 11/30/1997 5,184,726 5,124,151 12/31/1997 5,246,122 5,170,844 01/31/1998 5,304,038 5,222,289 02/28/1998 5,314,354 5,233,336 03/31/1998 5,334,652 5,255,495 04/30/1998 5,371,139 5,285,232 05/31/1998 5,417,855 5,320,364 06/30/1998 5,453,983 5,345,733 07/31/1998 5,476,124 5,372,837 08/31/1998 5,542,715 5,421,585 09/30/1998 5,605,738 5,487,033 10/31/1998 5,584,293 5,479,968 11/30/1998 5,609,572 5,507,264 12/31/1998 5,625,826 5,530,643 01/31/1999 5,660,727 5,570,014 02/28/1999 5,631,600 5,547,984 03/31/1999 5,669,090 5,585,236 04/30/1999 5,697,656 5,610,991 05/31/1999 5,667,354 5,579,648 06/30/1999 5,661,901 5,559,994 07/31/1999 5,641,744 5,522,293 08/31/1999 5,639,123 5,522,100 09/30/1999 5,717,073 5,611,697 10/31/1999 5,745,364 5,644,003 11/30/1999 5,773,781 5,647,086 12/31/1999 5,762,288 5,633,277 01/31/2000 5,725,332 5,584,465 02/29/2000 5,812,378 5,649,206 03/31/2000 5,890,936 5,710,992 04/30/2000 5,871,241 5,714,910 05/31/2000 5,868,917 5,717,543 06/30/2000 5,978,903 5,839,767 07/31/2000 6,038,508 5,877,275 08/31/2000 6,138,873 5,966,358 09/30/2000 6,201,183 6,028,208 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 7/31/1997, the Fund's Institutional Class inception date, compared to the Lehman Brothers Mortgage Index, an unmanaged market index. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The PIMCO Total Return Mortgage Fund underperformed the Lehman Brothers Mortgage Index for the six-month period ended September 30, 2000, returning 5.27% versus 5.55% for the Index. . Year-to-date, however, the Fund has outperformed the Index by 0.61%. . The Fund's slightly lower-than-Index duration had a negative impact on performance relative to the benchmark as intermediate rates fell. . A broader-than-Index maturity distribution hurt returns as issues with long maturity dates significantly underperformed issues with short maturity dates. . The Fund's use of Adjustable Rate Mortgages (ARMs) helped performance as they enjoyed high yields and strong investor demand. 2000 Semi-Annual Report 17 PIMCO GNMA Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with preservation of capital and prudent investment management Portfolio: Primarily short and intermediate maturity mortgage-related fixed income securities issued by the Government National Mortgage Association Duration: 1.5 years Total Net Assets: $8.0 million Sector Breakdown:* [GRAPH] Mortgage-Backed Securities 90.8% Short-Term Instruments 5.7% Other 3.5% Quality Breakdown:* [GRAPH] AAA 94.1% AA 5.9% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000 Inst'l Class Merrill Lynch 1-3 Lehman Lipper U.S. (Incep. Year Treasury GNMA Mortgage Fund 7/31/1997) Index Index Average -------------------------------------------------------------------------------- 6 Months 3.51% 3.85% 5.18% 4.76% 1 Year 6.45% 5.79% 7.70% 6.47% 3 Years* 6.02% 5.64% 6.12% 5.18% Since Inception* 6.44% -- -- -- *Annualized [GRAPH] Merrill Lynch 1-3 Year Lehman Brothers Month GNMA Fund Treasury Index GNMA Index 07/31/1997 5,000,000 5,000,000 5,000,000 08/31/1997 5,018,286 5,004,600 4,989,337 09/30/1997 5,111,651 5,042,585 5,055,583 10/31/1997 5,159,820 5,080,051 5,108,308 11/30/1997 5,172,284 5,092,396 5,123,990 12/31/1997 5,218,267 5,127,177 5,170,241 01/31/1998 5,260,371 5,176,962 5,220,145 02/28/1998 5,285,796 5,181,414 5,231,813 03/31/1998 5,293,096 5,202,503 5,253,935 04/30/1998 5,311,809 5,226,850 5,284,438 05/31/1998 5,351,927 5,254,709 5,320,546 06/30/1998 5,392,191 5,282,034 5,342,972 07/31/1998 5,408,563 5,306,753 5,373,010 08/31/1998 5,477,311 5,373,459 5,415,391 09/30/1998 5,543,973 5,444,658 5,479,473 10/31/1998 5,519,699 5,471,391 5,474,726 11/30/1998 5,498,845 5,466,631 5,505,690 12/31/1998 5,536,600 5,485,929 5,528,299 01/31/1999 5,578,414 5,507,652 5,567,556 02/28/1999 5,528,744 5,480,775 5,549,893 03/31/1999 5,595,411 5,518,867 5,583,509 04/30/1999 5,622,757 5,536,637 5,610,300 05/31/1999 5,662,331 5,533,094 5,582,000 06/30/1999 5,653,531 5,550,357 5,559,755 07/31/1999 5,659,351 5,567,952 5,523,329 08/31/1999 5,658,931 5,584,043 5,521,445 09/30/1999 5,722,084 5,620,339 5,610,299 10/31/1999 5,740,102 5,635,290 5,643,667 11/30/1999 5,736,548 5,645,940 5,646,093 12/31/1999 5,694,838 5,654,014 5,634,755 01/31/2000 5,747,671 5,651,922 5,583,844 02/29/2000 5,792,796 5,689,564 5,655,255 03/31/2000 5,884,367 5,724,839 5,744,636 04/30/2000 5,873,635 5,739,723 5,739,574 05/31/2000 5,882,556 5,763,314 5,760,408 06/30/2000 5,950,810 5,823,137 5,866,692 07/31/2000 5,991,510 5,859,939 5,897,650 08/31/2000 6,047,328 5,903,126 5,986,789 09/30/2000 6,090,882 5,945,511 6,042,466 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the invest- ment of $5,000,000 on 7/31/1997, the Fund's Institutional Class inception date, compared to the Merrill Lynch 1-3 Year Treasury Index and the Lehman GNMA Index, each an unmanaged market index. We will no longer compare the Fund to the Merrill Lynch 1-3 Year Treasury Index since the Merrill Lynch 1-3 Year Treasury Index is not a comparable GNMA index. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . Effective September 29, 2000, the Low Duration Mortgage Fund was renamed the GNMA Fund. The benchmark changed from the Merrill Lynch 1-3 Year Treasury Index to the Lehman GNMA Index. The duration of the former Index is 1.65 years while the duration of the Lehman GNMA Index is 3.95 years. The Fund's investment style will remain the same although a minimum of 65% of the Fund's assets will be invested in GNMA securities. . The GNMA Fund underperformed the Merrill Lynch 1-3 Year Treasury Index for the six-month period ending September 30, 2000, returning 3.51% versus 3.85% for the Merrill Lynch 1-3 Year Treasury Index. . Year-to-date, however, the Fund has outperformed the Index by 1.79%. . The portfolio's sensitivity to changes in interest rates was similar to that of the Index and therefore had little effect on relative performance. . A broader-than-Index maturity distribution hurt returns as issues with long maturity dates significantly underperformed issues with short maturity dates. . The Fund's use of Adjustable Rate Mortgages (ARMs) helped performance as they enjoyed high yields and strong investor demand. . Exposure to Treasury Inflation Protected Securities (TIPS) augmented returns as the market had undervalued the benefit of the inflation protection afforded by this asset class. 18 PIMCO Funds PIMCO Real Return Bond Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum real return, consistent with preservation of real capital and prudent investment management Portfolio: Primarily inflation-indexed fixed income securities Duration: 2.0 years Total Net Assets: $537.9 million Sector Breakdown:* [GRAPH] U.S. Treasury Obligations 62.4% Corporate Bonds and Notes 24.3% Short-Term Instruments 6.7% Other 6.6% Quality Breakdown:* [GRAPH] AAA 68.5% AA 5.3% A 12.2% BBB 10.9% BB 2.6% B 0.5% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000 Inst'l Class Admin. Class Lehman Brothers Lipper Short U.S. (Incep. (Incep. Inflation Linked Government 1/29/1997) 4/28/2000) Treasury Index Fund Average -------------------------------------------------------------------------------- 6 Months 5.00% -- 4.52% 3.63% 1 Year 10.05% -- 9.05% 5.68% 3 Years* 7.28% -- 5.49% 4.88% Since Inception 6.72%* 3.52% -- -- * Annualized [GRAPH] Lehman Brothers Real Return Inflation Linked Month Bond Fund Treasury Index 01/31/1997 5,000,000 5,000,000 02/28/1997 5,017,061 5,016,499 03/31/1997 4,971,983 4,947,776 04/30/1997 5,002,809 4,977,955 05/31/1997 5,032,748 5,004,838 06/30/1997 5,021,938 4,988,823 07/31/1997 5,083,742 5,036,214 08/31/1997 5,094,469 5,051,322 09/30/1997 5,104,457 5,061,426 10/31/1997 5,169,085 5,113,556 11/30/1997 5,196,006 5,142,195 12/31/1997 5,169,329 5,120,599 01/31/1998 5,199,466 5,145,691 02/28/1998 5,193,833 5,141,057 03/31/1998 5,205,501 5,138,489 04/30/1998 5,233,211 5,157,501 05/31/1998 5,254,770 5,194,120 06/30/1998 5,272,877 5,207,097 07/31/1998 5,313,726 5,231,257 08/31/1998 5,317,549 5,243,132 09/30/1998 5,441,195 5,348,519 10/31/1998 5,469,946 5,360,284 11/30/1998 5,461,835 5,354,923 12/31/1998 5,438,790 5,322,793 01/31/1999 5,518,587 5,384,539 02/28/1999 5,505,806 5,346,309 03/31/1999 5,538,991 5,344,703 04/30/1999 5,630,484 5,379,950 05/31/1999 5,671,234 5,417,047 06/30/1999 5,664,215 5,420,299 07/31/1999 5,674,126 5,417,586 08/31/1999 5,703,057 5,426,798 09/30/1999 5,727,393 5,447,965 10/31/1999 5,738,633 5,458,858 11/30/1999 5,783,160 5,492,160 12/31/1999 5,749,871 5,448,219 01/31/2000 5,784,298 5,472,738 02/29/2000 5,826,798 5,523,636 03/31/2000 6,002,905 5,684,369 04/30/2000 6,079,127 5,759,975 05/31/2000 6,062,274 5,744,998 06/30/2000 6,143,456 5,817,382 07/31/2000 6,192,132 5,867,107 08/31/2000 6,251,051 5,910,524 09/30/2000 6,302,775 5,941,257 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 2/01/1997, the first full month following the Fund's Institutional Class inception date on 1/29/1997, compared to the Lehman Brothers Inflation Linked Treasury Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 4/28/2000. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . For the six-month period ended September 30, 2000, the Fund's Institutional Class shares returned 5.00%, versus 4.52% for the Fund's benchmark, the Lehman Brothers Inflation Linked Treasury Index. . The Fund's effective duration was 2.0 years at September 30, 2000, in contrast to the benchmark's duration of 1.8 years. . Intermediate and long-term real yields declined marginally by 0.01% to 0.03% over the six-month period while conventional Treasury yields declined from 0.20% to 0.50% for intermediate maturities and remained relatively stable for long Treasury maturities. . Although the rolling 12-month CPI-U rate was 3.5% at September 30, 2000, the break even yield differential between Treasury Inflation Protection Securities (TIPS) and conventional Treasuries was only 1.8% for 10-year maturities and 2.0% for 30-year maturities. . The Fund's duration remained modestly above that of the benchmark, which aided performance only slightly as real yields fell from 0.01% to 0.12%. . Overweighting intermediate real return bonds improved returns as intermediate yields dropped marginally more than long-term real yields. . The Fund was able to capture above-Index inflation adjustments, aiding relative return performance, through substituting intermediate TIPS for long-term TIPS. . The Fund's yield was enhanced through the use of cash-backing strategies, consisting of shorter-duration, high quality corporate and asset-backed issues. . Intermediate and long-term TIPS yields were from 3.9% to 4.0% while the 12-month CPI-U increase was 3.5% at September 30, 2000. 2000 Semi-Annual Report 19 PIMCO Foreign Bond Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with preservation of capital and prudent investment management Portfolio: Primarily intermediate maturity, hedged non-U.S. fixed income securities Duration: 3.4 years Total Net Assets: $585.1 million Country Allocation:* [GRAPH] United States 53.7% Italy 6.5% Germany 4.9% Short-Term Instruments 7.0% Other 27.9% Quality Breakdown:* [GRAPH] AAA 63.9% AA 13.8% A 8.6% BBB 10.1% BB 2.8% B 0.8% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000 Inst'l Class Admin. Class J.P. Morgan Lipper Inter- (Incep. (Incep. Non-U.S. national Income 12/03/1992) 1/28/1997) Index (Hedged) Fund Average -------------------------------------------------------------------------------- 6 Months 3.83% 3.71% 3.47% -2.85% 1 Year 7.63% 7.36% 6.95% -3.90% 3 Years* 6.39% 6.12% 7.65% 1.19% 5 Years* 10.60% -- 9.61% 3.24% Since Inception* 9.63% 6.66% -- -- * Annualized [GRAPH] J.P. Morgan Foreign Non-U.S. Index Month Bond Fund (Hedged) 12/31/1992 5,000,000 5,000,000 01/31/1993 5,041,660 5,045,501 02/28/1993 5,152,513 5,136,826 03/31/1993 5,171,807 5,139,908 04/30/1993 5,171,804 5,140,421 05/31/1993 5,218,564 5,169,209 06/30/1993 5,342,019 5,274,661 07/31/1993 5,426,186 5,333,737 08/31/1993 5,558,061 5,444,678 09/30/1993 5,580,127 5,468,090 10/31/1993 5,663,151 5,540,815 11/30/1993 5,679,152 5,579,601 12/31/1993 5,820,067 5,695,098 01/31/1994 5,827,680 5,666,624 02/28/1994 5,673,113 5,539,124 03/31/1994 5,574,498 5,488,718 04/30/1994 5,522,099 5,449,747 05/31/1994 5,441,127 5,389,254 06/30/1994 5,340,992 5,334,283 07/31/1994 5,374,816 5,369,488 08/31/1994 5,322,015 5,317,942 09/30/1994 5,330,821 5,322,728 10/31/1994 5,351,402 5,343,487 11/30/1994 5,430,650 5,418,829 12/31/1994 5,395,132 5,406,367 01/31/1995 5,431,819 5,465,297 02/28/1995 5,467,726 5,535,800 03/31/1995 5,471,621 5,648,728 04/30/1995 5,605,512 5,738,544 05/31/1995 5,825,529 5,926,769 06/30/1995 5,790,386 5,907,210 07/31/1995 5,900,948 5,981,642 08/31/1995 6,013,433 6,033,680 09/30/1995 6,099,110 6,129,012 10/31/1995 6,201,268 6,197,659 11/30/1995 6,444,451 6,333,387 12/31/1995 6,540,017 6,392,287 01/31/1996 6,700,408 6,469,635 02/29/1996 6,557,601 6,393,293 03/31/1996 6,664,336 6,446,357 04/30/1996 6,825,851 6,523,713 05/31/1996 6,852,155 6,568,075 06/30/1996 6,930,027 6,622,589 07/31/1996 6,997,369 6,672,259 08/31/1996 7,169,036 6,761,000 09/30/1996 7,370,202 6,905,010 10/31/1996 7,552,295 7,018,941 11/30/1996 7,735,101 7,159,321 12/31/1996 7,775,388 7,169,345 01/31/1997 7,899,810 7,258,963 02/28/1997 7,942,561 7,305,419 03/31/1997 7,843,570 7,266,703 04/30/1997 7,917,253 7,345,183 05/31/1997 7,958,788 7,383,378 06/30/1997 8,118,878 7,508,894 07/31/1997 8,239,266 7,628,287 08/31/1997 8,206,198 7,637,441 09/30/1997 8,383,475 7,772,623 10/31/1997 8,286,145 7,822,367 11/30/1997 8,398,755 7,878,689 12/31/1997 8,522,040 7,981,113 01/31/1998 8,645,607 8,087,245 02/28/1998 8,725,510 8,159,239 03/31/1998 8,835,222 8,231,855 04/30/1998 8,865,827 8,273,838 05/31/1998 8,942,528 8,387,190 06/30/1998 8,987,048 8,423,255 07/31/1998 9,130,620 8,501,590 08/31/1998 9,058,201 8,669,071 09/30/1998 9,266,649 8,874,530 10/31/1998 9,075,582 8,861,217 11/30/1998 9,245,824 8,956,919 12/31/1998 9,377,213 8,946,169 01/31/1999 9,569,644 9,057,102 02/28/1999 9,476,423 8,996,420 03/31/1999 9,534,902 9,103,477 04/30/1999 9,658,589 9,219,091 05/31/1999 9,507,394 9,181,293 06/30/1999 9,391,681 9,038,983 07/31/1999 9,396,468 9,015,482 08/31/1999 9,329,165 9,031,709 09/30/1999 9,379,607 9,066,031 10/31/1999 9,422,198 9,087,790 11/30/1999 9,440,689 9,140,496 12/31/1999 9,524,187 9,167,918 01/31/2000 9,475,484 9,168,837 02/29/2000 9,584,349 9,236,684 03/31/2000 9,722,350 9,371,538 04/30/2000 9,756,895 9,422,144 05/31/2000 9,815,858 9,497,520 06/30/2000 9,890,070 9,543,107 07/31/2000 9,973,457 9,611,817 08/31/2000 9,963,948 9,613,739 09/30/2000 10,095,126 9,696,417 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the invest- ment of $5,000,000 on 1/01/1993, the first full month following the Fund's Institutional Class inception on 12/03/1992, compared to the J.P. Morgan Non-U.S. Index (Hedged), an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 1/28/1997. Foreign investing involves potentially higher risks including foreign currency fluctuations and political or economic uncertainty. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . For the six-month period ended September 30, 2000, the Foreign Bond Fund Institutional Class shares posted a return of 3.83%, outperforming the 3.47% return of the Fund's benchmark, the J.P. Morgan Non-U.S. Index (Hedged into USD). . An underweight in Japan versus the Index was positive as yields rose after monetary tightening and Moody's government rating downgrade. . A U.K. underweight was positive as long-term yields rose as tight labor markets increased concern that wage pressures would stimulate higher inflation. . Emphasizing global mortgages was positive as these markets benefited from high yields and low market volatility. . Asset backed bonds helped returns as the sector was supported by light new issuance and minimal delinquencies. . Small allocations to European corporate bonds aided performance due to their relatively attractive yields. . An overweight in the euro was negative as the currency reached record lows versus the U.S. dollar due to continued capital flows into the U.S. . An overweight Polish zloty position detracted from returns due to increased concern over Poland's deteriorating budget and current account deficits. 20 PIMCO Funds PIMCO Global Bond Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with preservation of capital and prudent investment management Portfolio: Primarily U.S. and non-U.S. intermediate maturity fixed income securities Duration: 4.1 years Total Net Assets: $319.5 million Country Allocation:* [GRAPH] United States 52.3% Short-Term Instruments 9.6% Italy 6.2% United Kingdom 4.7% Greece 4.3% Germany 3.5% Other 19.4% Quality Breakdown:* [GRAPH] AAA 60.8% AA 15.7% A 10.7% BBB 9.4% BB 2.5% B 0.8% Others 0.1% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000 Inst'l Class Admin. Class J.P. Morgan (Incep. (Incep. Global Index Lipper Global Income 11/23/1993) 8/01/1996) (Unhedged) Fund Average -------------------------------------------------------------------------------- 6 Months -1.58% -1.71% -2.43% -0.48% 1 Year -2.82% -3.06% -3.63% 0.58% 3 Years* 1.41% 1.20% 2.61% 1.10% 5 Years* 4.25% -- 3.25% 4.16% Since Inception* 5.53% 2.70% -- -- * Annualized [GRAPH] J.P. Morgan Global Bond Global Index Month Fund (Unhedged) 11/30/1993 5,000,000 5,000,000 12/31/1993 5,159,354 5,051,001 01/31/1994 5,172,612 5,098,479 02/28/1994 5,050,687 5,042,396 03/31/1994 4,981,799 5,019,201 04/30/1994 4,983,396 5,015,186 05/31/1994 4,957,155 4,973,560 06/30/1994 4,993,232 5,032,746 07/31/1994 5,040,972 5,080,054 08/31/1994 5,023,423 5,066,846 09/30/1994 5,045,769 5,091,673 10/31/1994 5,117,441 5,168,048 11/30/1994 5,070,101 5,102,929 12/31/1994 5,071,554 5,114,666 01/31/1995 5,158,706 5,217,982 02/28/1995 5,306,429 5,352,606 03/31/1995 5,497,439 5,625,054 04/30/1995 5,586,069 5,714,492 05/31/1995 5,774,015 5,873,926 06/30/1995 5,791,402 5,910,344 07/31/1995 5,833,592 5,938,122 08/31/1995 5,749,603 5,773,043 09/30/1995 5,839,678 5,902,936 10/31/1995 5,966,446 5,960,786 11/30/1995 6,121,956 6,027,545 12/31/1995 6,236,009 6,102,287 01/31/1996 6,250,544 6,039,434 02/29/1996 6,152,157 6,004,405 03/31/1996 6,159,100 5,995,399 04/30/1996 6,210,796 5,973,217 05/31/1996 6,191,536 5,979,190 06/30/1996 6,265,488 6,031,208 07/31/1996 6,379,395 6,142,182 08/31/1996 6,491,924 6,167,980 09/30/1996 6,584,759 6,201,904 10/31/1996 6,764,325 6,324,702 11/30/1996 6,923,739 6,415,146 12/31/1996 6,879,967 6,370,239 01/31/1997 6,702,769 6,210,983 02/28/1997 6,656,620 6,168,128 03/31/1997 6,576,929 6,121,249 04/30/1997 6,536,080 6,086,970 05/31/1997 6,699,780 6,230,622 06/30/1997 6,783,140 6,301,651 07/31/1997 6,758,684 6,278,337 08/31/1997 6,721,424 6,270,802 09/30/1997 6,895,854 6,410,014 10/31/1997 6,891,415 6,545,905 11/30/1997 6,834,927 6,467,355 12/31/1997 6,817,845 6,460,241 01/31/1998 6,851,128 6,524,843 02/28/1998 6,915,929 6,573,126 03/31/1998 6,961,654 6,523,829 04/30/1998 7,063,593 6,624,295 05/31/1998 7,059,363 6,652,780 06/30/1998 7,070,889 6,671,407 07/31/1998 7,130,372 6,689,420 08/31/1998 7,124,542 6,874,048 09/30/1998 7,491,180 7,232,874 10/31/1998 7,509,415 7,394,889 11/30/1998 7,456,893 7,311,327 12/31/1998 7,669,954 7,448,780 01/31/1999 7,718,892 7,387,701 02/28/1999 7,459,185 7,140,951 03/31/1999 7,441,983 7,158,805 04/30/1999 7,454,117 7,156,657 05/31/1999 7,250,125 7,030,699 06/30/1999 7,143,749 6,913,286 07/31/1999 7,296,476 7,065,380 08/31/1999 7,283,484 7,083,750 09/30/1999 7,400,295 7,185,754 10/31/1999 7,405,937 7,177,131 11/30/1999 7,291,664 7,091,723 12/31/1999 7,341,262 7,071,158 01/31/2000 7,098,375 6,931,857 02/29/2000 7,116,716 6,897,197 03/31/2000 7,307,538 7,097,904 04/30/2000 7,080,709 6,882,129 05/31/2000 7,153,212 6,932,368 06/30/2000 7,318,062 7,100,825 07/31/2000 7,239,595 6,989,341 08/31/2000 7,170,776 6,939,019 09/30/2000 7,191,731 6,925,141 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the invest- ment of $5,000,000 on 12/01/1993, the first full month following the Fund's Institutional Class inception on 11/23/1993, compared to the J.P. Morgan Global Index (Unhedged), an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 8/01/1996. Foreign investing involves potentially higher risks including foreign currency fluctuations and political or economic uncertainty. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . For the six-month period ended September 30, 2000, the Global Bond Fund Institutional Class shares posted a return of -1.58%, outperforming the -2.43% return of the Fund's benchmark, the J.P. Morgan Global Bond Index (Unhedged). . Absolute returns of both the Fund and the Index were negative after non-U.S. currencies weakened versus the U.S. dollar as foreign capital continued to flow into the U.S. as a result of the strength of the U.S. economy and availability of attractive investment opportunities. . A U.S. overweight was positive. The U.S. was the best performing market over the period as bonds were supported by the series of Federal Reserve rate hikes and the Treasury's buyback program. . An underweight in Japan was positive as yields rose after monetary tightening and Moody's government rating downgrade. . A U.K. underweight was positive as long-term yields rose; tight labor markets increased concern that wage pressures would stimulate higher inflation. . Emphasizing global mortgages was positive as these markets benefited from high yields and low market volatility. . Asset backed bonds helped returns as the sector was supported by light new issuance and minimal delinquencies. . Small allocations to European corporate bonds aided performance due to their relatively attractive yields. . An overweight in the euro was negative as the currency reached record lows versus the U.S. dollar due to continued capital flows into the U.S. . An overweight Polish zloty position detracted from returns due to increased concern over Poland's deteriorating budget and current account deficits. 2000 Semi-Annual Report 21 PIMCO Global Bond Fund II -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with preservation of capital Portfolio: Primarily U.S. and hedged non-U.S. intermediate maturity fixed income securities Duration: 4.3 years Total Net Assets: $72.2 million Country Allocation:* [GRAPH] United States 62.1% Italy 6.1% United Kingdom 4.4% Greece 4.1% Short-Term Instruments 3.3% Other 20.0% Quality Breakdown:* [GRAPH] AAA 65.4% AA 15.1% A 9.0% BBB 7.6% BB 1.9% B 0.9% Others 0.1% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000 Inst'l Class J.P. Morgan Global Lipper Global Income (Incep. 2/25/1998) Index (Hedged) Fund Average -------------------------------------------------------------------------------- 6 Months 4.00% 3.64% -0.48% 1 Year 6.96% 7.10% 0.58% Since Inception* 4.92% -- -- *Annualized [GRAPH] J.P. Morgan Global Bond Global Index Month Fund II (Hedged) 02/28/1998 5,000,000 5,000,000 03/31/1998 5,069,096 5,032,502 04/30/1998 5,092,746 5,057,159 05/31/1998 5,121,536 5,120,376 06/30/1998 5,146,064 5,157,242 07/31/1998 5,210,272 5,190,249 08/31/1998 5,156,019 5,308,584 09/30/1998 5,273,043 5,443,954 10/31/1998 5,187,282 5,431,977 11/30/1998 5,256,161 5,470,545 12/31/1998 5,303,609 5,470,545 01/31/1999 5,422,839 5,525,796 02/28/1999 5,341,215 5,451,750 03/31/1999 5,376,152 5,501,909 04/30/1999 5,429,327 5,553,624 05/31/1999 5,347,551 5,520,302 06/30/1999 5,283,537 5,457,923 07/31/1999 5,279,879 5,446,462 08/31/1999 5,257,452 5,452,452 09/30/1999 5,285,083 5,480,262 10/31/1999 5,300,795 5,491,222 11/30/1999 5,294,352 5,509,892 12/31/1999 5,318,774 5,510,442 01/31/2000 5,296,692 5,514,850 02/29/2000 5,360,260 5,570,552 03/31/2000 5,435,868 5,663,021 04/30/2000 5,444,990 5,677,180 05/31/2000 5,465,049 5,710,672 06/30/2000 5,525,868 5,760,353 07/31/2000 5,572,330 5,807,011 08/31/2000 5,588,099 5,833,723 09/30/2000 5,653,061 5,869,310 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the invest- ment of $5,000,000 on 3/01/1998, the first full month following the Fund's Institutional Class inception on 2/25/1998, compared to the J.P. Morgan Global Index (Hedged), an unmanaged market index. Foreign investing involves potentially higher risks including foreign currency fluctuations and political or economic uncertainty. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . For the six-month period ended September 30, 2000, the Global Bond Fund II posted a return of 4.00%, outperforming the 3.64% return of the Fund's benchmark, the J.P. Morgan Global Bond Index (Hedged into USD). . A U.S. overweight was positive. The U.S. was the best performing market over the period as bonds were supported by the series of Federal Reserve rate hikes and the Treasury's buyback program. . An underweight in Japan was positive as yields rose after monetary tightening and Moody's government rating downgrade. . A U.K. underweight was positive as long-term yields rose; tight labor markets increased concern that wage pressures would stimulate higher inflation. . Emphasizing global mortgages was positive as these markets benefited from high yields and low market volatility. . Asset backed bonds helped returns as the sector was supported by light new issuance and minimal delinquencies. . Small allocations to European corporate bonds aided performance due to their relatively attractive yields. . An overweight in the euro was negative as the currency reached record lows versus the U.S. dollar due to continued capital flows into the U.S. . An overweight Polish zloty position detracted from returns due to increased concern over Poland's deteriorating budget and current account deficits. 22 PIMCO Funds PIMCO Emerging Markets Bond Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with preservation of capital and prudent investment management Portfolio: Primarily emerging market fixed income securities Duration: 4.6 years Total Net Assets: $51.6 million Country Allocation:* [GRAPH] Brazil 26.5% Mexico 20.7% Russia 6.9% Venezuela 5.5% Bulgaria 5.3% Short-Term Instruments 6.8% Other 28.3% Quality Breakdown:* [GRAPH] AAA 1.7% AA 1.2% BBB 34.3% BB 20.3% B 42.5% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000 Inst'l Class Admin. Class J.P. Morgan Lipper Emerging (Incep. (Incep. Emerging Markets Markets Debt 7/31/1997) 9/30/1998) Bond Index Plus Fund Average -------------------------------------------------------------------------------- 6 Months 5.40% 5.27% 5.67% 2.54% 1 Year 24.30% 24.02% 28.02% 23.97% 3 Years* 6.17% -- 5.57% 1.98% Since Inception* 6.37% 25.88% -- -- * Annualized [GRAPH] Emerging J.P. Morgan Markets Emerging Markets Month Bond Fund Bond Index Plus 07/31/1997 5,000,000 5,000,000 08/31/1997 4,941,202 4,979,763 09/30/1997 5,077,992 5,132,145 10/31/1997 4,500,427 4,540,921 11/30/1997 4,738,197 4,756,615 12/31/1997 4,859,660 4,920,720 01/31/1998 4,866,472 4,910,880 02/28/1998 5,005,158 5,051,329 03/31/1998 5,155,188 5,177,076 04/30/1998 5,168,205 5,189,638 05/31/1998 5,002,060 5,012,513 06/30/1998 4,838,082 4,867,654 07/31/1998 4,912,199 4,901,240 08/31/1998 3,543,793 3,492,624 09/30/1998 3,819,422 3,834,203 10/31/1998 4,019,347 4,082,276 11/30/1998 4,340,414 4,322,720 12/31/1998 4,288,256 4,214,652 01/31/1999 4,139,443 4,058,290 02/28/1999 4,222,136 4,116,729 03/31/1999 4,507,995 4,428,365 04/30/1999 4,883,959 4,730,823 05/31/1999 4,578,472 4,461,166 06/30/1999 4,716,852 4,660,580 07/31/1999 4,686,777 4,564,104 08/31/1999 4,679,209 4,557,715 09/30/1999 4,888,898 4,716,781 10/31/1999 5,046,834 4,898,847 11/30/1999 5,183,471 5,037,484 12/31/1999 5,427,907 5,310,012 01/31/2000 5,308,344 5,204,876 02/29/2000 5,622,784 5,540,069 03/31/2000 5,765,699 5,714,579 04/30/2000 5,656,677 5,605,431 05/31/2000 5,546,802 5,462,491 06/30/2000 5,808,164 5,739,437 07/31/2000 5,949,537 5,912,770 08/31/2000 6,158,003 6,121,489 09/30/2000 6,076,985 6,038,429 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 7/31/1997, the Fund's Institutional Class inception date, compared to the J.P. Morgan Emerging Markets Bond Index Plus, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 9/30/1998. The Fund may invest in foreign securities which involve potentially higher risks including currency fluctuations and political or economic uncertainty. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . After a volatile period, emerging markets turned in solid performance on strong economic and financial conditions, more balanced global growth, and positive liability management. . Despite successful conclusions to the Russian and Ecuadorian debt restructurings, volatility picked up toward the end of the period resulting from reduced market appetite for risk and noise on the political front. . Distressed credits, such as Russia and Ecuador, outperformed high quality credits, driving overall sector returns. . The Fund's Institutional Class underperformed the J.P. Morgan Emerging Markets Bond Index Plus for the six-month period ended September 30, 2000, returning 5.40% versus 5.67% for the Index. . Our underweights of Ecuador and Colombia detracted from performance. . An underweight to Argentina benefited performance as continued political uncertainty weighed on the market. . Good liability management and further strong economic data supported Brazilian bonds where our overweight added to performance. . Near-Index exposure to Mexico was neutral for returns. . The Fund's overweight of Peru hurt performance due to continued political uncertainty and a temporary disruption in Brady Bond payments. . An underweight in Russian bonds was negative as these securities continued to appreciate, supported by continued debt restructuring and macroeconomic gains. . An overweight to Bulgaria was negative as market selling and the impact of higher energy prices overshadowed continued economic gains. . Modest allocations to securities and countries not in the benchmark were positive for relative performance. 2000 Semi-Annual Report 23 PIMCO Strategic Balanced Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with preservation of capital and prudent investment management Portfolio: Normally invests between 45% and 75% in the StocksPLUS Fund and between 25% and 55% in the Total Return Fund Total Net Assets: $80.6 million PIMCO Funds Allocation*: [GRAPH] StocksPLUS Fund 55.9% Total Return Fund 40.0% Short-Term Instruments 4.1% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000 Inst'l Class Admin. Class 60% S&P 500 Index and Lipper (Incep. (Incep. 40% Lehman Brothers S&P 500 Balanced 6/28/1996) 6/30/1999) Aggregate Bond Index Index Fund Average ------------------------------------------------------------------------------------------------------- 6 Months -0.86% -0.85% -0.23% -3.60% 0.63% 1 Year 8.55% 8.45% 11.05% 13.28% 11.31% 3 Years* 11.15% -- 12.53% 16.44% 8.96% Since Inception* 15.29% 3.64% -- -- --
* Annualized [GRAPH] 60% S&P 500 Index and 40% Strategic Lehman Brothers Balanced Aggregate S&P 500 Month Fund Bond Index Index 06/30/1996 5,000,000 5,000,000 5,000,000 07/31/1996 4,865,000 4,872,933 4,779,100 08/31/1996 4,940,000 4,931,328 4,879,891 09/30/1996 5,175,000 5,132,224 5,154,532 10/31/1996 5,320,000 5,262,627 5,296,693 11/30/1996 5,615,000 5,537,365 5,697,071 12/31/1996 5,511,545 5,450,953 5,584,212 01/31/1997 5,743,214 5,661,975 5,933,113 02/28/1997 5,775,539 5,694,243 5,979,629 03/31/1997 5,591,600 5,528,617 5,733,926 04/30/1997 5,846,009 5,759,756 6,076,241 05/31/1997 6,089,593 5,991,928 6,446,163 06/30/1997 6,275,398 6,181,439 6,734,951 07/31/1997 6,659,382 6,543,230 7,270,851 08/31/1997 6,423,506 6,300,974 6,863,537 09/30/1997 6,659,150 6,545,208 7,239,453 10/31/1997 6,565,126 6,452,023 6,997,656 11/30/1997 6,736,582 6,643,106 7,321,577 12/31/1997 6,843,897 6,738,297 7,447,289 01/31/1998 6,937,730 6,817,616 7,529,656 02/28/1998 7,213,362 7,110,452 8,072,694 03/31/1998 7,459,339 7,338,829 8,486,097 04/30/1998 7,524,460 7,398,449 8,571,467 05/31/1998 7,447,498 7,350,213 8,424,124 06/30/1998 7,662,852 7,554,287 8,766,312 07/31/1998 7,621,044 7,512,443 8,672,951 08/31/1998 6,904,331 6,909,658 7,419,015 09/30/1998 7,310,278 7,239,956 7,894,278 10/31/1998 7,639,840 7,577,983 8,536,398 11/30/1998 7,885,513 7,870,767 9,053,789 12/31/1998 8,189,101 8,152,341 9,575,468 01/31/1999 8,385,168 8,380,174 9,975,915 02/28/1999 8,117,209 8,165,384 9,665,863 03/31/1999 8,381,044 8,379,502 10,052,594 04/30/1999 8,584,658 8,584,843 10,441,931 05/31/1999 8,407,317 8,433,153 10,195,398 06/30/1999 8,726,038 8,703,230 10,761,242 07/31/1999 8,533,893 8,525,380 10,425,276 08/31/1999 8,507,390 8,498,358 10,373,671 09/30/1999 8,424,034 8,398,023 10,089,329 10/31/1999 8,758,321 8,729,273 10,727,781 11/30/1999 8,845,236 8,835,503 10,945,877 12/31/1999 9,136,140 9,130,707 11,590,589 01/31/2000 8,743,572 8,843,606 11,008,477 02/29/2000 8,679,333 8,785,846 10,799,892 03/31/2000 9,223,089 9,347,855 11,856,445 04/30/2000 9,014,128 9,168,382 11,499,685 05/31/2000 8,956,484 9,053,818 11,263,711 06/30/2000 9,091,403 9,263,069 11,541,362 07/31/2000 9,061,838 9,209,778 11,360,855 08/31/2000 9,475,755 9,606,384 12,066,477 09/30/2000 9,143,966 9,326,269 11,429,488 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 7/01/1996, the first full month following the Fund's Institutional Class inception on 6/28/1996, compared to a static 60/40 blend of the Standard and Poor's 500 Index and the Lehman Brothers Aggregate Bond Index, and the S&P 500 Index, each an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 6/30/1999. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Strategic Balanced Fund converted to a fund of funds structure effective September 29, 2000; the equity portfolio is now the StocksPLUS Fund, and the fixed income portfolio is now the Total Return Fund. . For the six-month period ended September 30, 2000, the Fund's Institutional Class shares returned -0.86% versus -0.23% for the fund's benchmark, a blend of 60% S&P 500 Index and 40% Lehman Brothers Aggregate Bond Index (LBAG). . A slight overweighting of the equity allocation detracted from returns relative to the benchmark as the LBAG returned 4.8% for the six months ending on September 30 as compared to a 3.6% decline for the S&P 500. . After raising the fed funds rate by 0.50% in the second quarter, the Federal Reserve held policy unchanged in the third quarter amid signs of slowing growth. . The equity allocation, employing PIMCO's StocksPLUS strategy, underperformed the S&P 500 Index mainly due to a rise in interest rates during the second quarter, causing the cash positions that back the S&P 500 futures to underperform. . The fixed income portfolio outperformed the LBAG due in part to an above-benchmark duration and an overweight in mortgage-backed securities. . The Fund has reduced its modest equity overweight to a neutral 60%/40% equity/bond mix in light of stock market volatility and the potential for reduced corporate profits in a slower economy. . A focus on quality will be critical for superior performance as credit deterioration continues amid slower growth. 24 PIMCO Funds PIMCO Convertible Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Seeks maximum total return, consistent with prudent investment management Portfolio: Primarily convertible securities Duration: 1.5 years Total Net Assets: $159.7 million Sector Breakdown:* [GRAPH] Convertible Bonds and Notes 69.8% Convertible Preferred Stock 22.6% Other 7.6% Quality Breakdown:* [GRAPH] AAA 8.5% AA 6.2% A 13.8% BBB 37.9% BB 11.6% B 22.0% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000 Inst'l Class Admin. Class First Boston Lipper (Incep. (Incep. Convertible Convertible Securities 3/31/1999) 8/01/2000) Bond Index Fund Average -------------------------------------------------------------------------------- 6 Months -2.00% -- -1.29% -0.67% 1 Year 38.47% -- 34.90% 30.87% Since Inception 35.34%* 6.47% -- -- * Annualized [GRAPH] Convertible First Boston Month Fund Convertible Bond Index 03/31/1999 5,000,000 5,000,000 04/30/1999 5,240,000 5,202,500 05/31/1999 5,335,000 5,154,637 06/30/1999 5,625,000 5,376,802 07/31/1999 5,640,000 5,305,828 08/31/1999 5,630,000 5,321,746 09/30/1999 5,685,000 5,335,582 10/31/1999 5,915,000 5,520,194 11/30/1999 6,350,000 5,944,144 12/31/1999 7,109,943 6,847,654 01/31/2000 7,257,010 6,744,254 02/29/2000 8,032,917 7,452,401 03/31/2000 8,032,816 7,292,174 04/30/2000 7,497,974 6,936,316 05/31/2000 7,258,568 6,564,529 06/30/2000 7,620,361 6,991,223 07/31/2000 7,400,886 6,780,089 08/31/2000 7,967,437 7,301,477 09/30/2000 7,872,203 7,197,796 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 3/31/1999, the Fund's Institutional Class inception date, compared to the First Boston Convertible Bond Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 8/01/2000. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Convertible Fund Institutional Class shares returned -2.00% for the semi-annual period ended September 30, 2000, compared to -1.29% for the First Boston Convertible Bond Index. . The Fund's lower delta, or sensitivity to price movements in the underlying equities, enhanced relative performance as these equities underperformed over the past six months. . The Fund's relatively high average credit quality added to results as investment-grade convertibles significantly outperformed speculative grade issues. . An emphasis on telecommunications was negative for returns as the market began to favor companies with current cash flow and established earnings. . Overweights to healthcare, utilities and finance were positive as these conservative industries outperformed their more aggressive counterparts. . The use of a proprietary valuation model was instrumental in taking advantage of security pricing inefficiencies in the market. 2000 Semi-Annual Report 25 PIMCO StocksPLUS Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Total return which exceeds that of the S&P 500 Index Portfolio: Primarily S&P 500 stock index derivatives backed by a portfolio of short-term fixed income securities Duration: 0.1 years Total Net Assets: $1.4 billion Sector Breakdown:* [GRAPH] Corporate Bonds and Notes 42.6% Mortgage-Backed Securities 21.7% Short-Term Instruments 8.7% U.S. Treasury Obligations 8.3% Asset-Backed Securities 7.4% Sovereign Issues 5.8% Other 5.5% Quality Breakdown:* [GRAPH] AAA 39.7% AA 6.2% A 13.8% BBB 30.9% BB 4.8% B 4.6% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000 Inst'l Class Admin. Class (Incep. (Incep. Lipper Large-Cap 5/14/1993) 1/07/1997) S&P 500 Index Core Fund Average -------------------------------------------------------------------------------- 6 Months -3.16% -3.29% -3.60% -3.33% 1 Year 13.15% 12.91% 13.28% 17.80% 3 Years* 16.12% 15.70% 16.44% 15.85% 5 Years* 21.61% -- 21.69% 19.84% Since Inception* 20.39% 19.89% -- -- * Annualized [GRAPH] StocksPLUS S&P 500 Month Fund Index 05/31/1993 5,000,000 5,000,000 06/30/1993 5,027,261 5,014,650 07/31/1993 5,017,471 4,994,491 08/31/1993 5,208,380 5,183,982 09/30/1993 5,157,774 5,144,221 10/31/1993 5,271,731 5,250,655 11/30/1993 5,212,275 5,200,616 12/31/1993 5,306,421 5,263,492 01/31/1994 5,480,662 5,442,451 02/28/1994 5,311,701 5,294,743 03/31/1994 5,077,284 5,063,892 04/30/1994 5,141,283 5,128,811 05/31/1994 5,237,282 5,212,974 06/30/1994 5,126,078 5,085,204 07/31/1994 5,325,725 5,252,202 08/31/1994 5,568,540 5,467,543 09/30/1994 5,473,357 5,333,861 10/31/1994 5,561,106 5,453,713 11/30/1994 5,391,092 5,255,089 12/31/1994 5,461,225 5,333,022 01/31/1995 5,612,304 5,471,307 02/28/1995 5,864,102 5,684,524 03/31/1995 6,023,776 5,852,274 04/30/1995 6,219,204 6,024,624 05/31/1995 6,500,850 6,265,428 06/30/1995 6,643,179 6,410,974 07/31/1995 6,854,074 6,623,561 08/31/1995 6,900,939 6,640,187 09/30/1995 7,193,848 6,920,403 10/31/1995 7,181,918 6,895,697 11/30/1995 7,527,891 7,198,418 12/31/1995 7,673,723 7,337,059 01/31/1996 7,949,045 7,586,813 02/29/1996 7,970,224 7,657,142 03/31/1996 8,076,117 7,730,881 04/30/1996 8,177,430 7,844,834 05/31/1996 8,365,584 8,047,152 06/30/1996 8,445,187 8,077,812 07/31/1996 8,052,904 7,720,934 08/31/1996 8,223,140 7,883,768 09/30/1996 8,704,242 8,327,467 10/31/1996 8,981,877 8,557,139 11/30/1996 9,649,702 9,203,973 12/31/1996 9,444,046 9,021,642 01/31/1997 10,025,985 9,585,314 02/28/1997 10,100,806 9,660,463 03/31/1997 9,646,437 9,263,515 04/30/1997 10,244,078 9,816,546 05/31/1997 10,892,224 10,414,178 06/30/1997 11,344,245 10,880,733 07/31/1997 12,278,977 11,746,513 08/31/1997 11,616,167 11,088,473 09/30/1997 12,220,454 11,695,789 10/31/1997 11,832,913 11,305,149 11/30/1997 12,315,186 11,828,465 12/31/1997 12,546,229 12,031,560 01/31/1998 12,716,721 12,164,629 02/28/1998 13,569,183 13,041,941 03/31/1998 14,253,076 13,709,819 04/30/1998 14,425,043 13,847,740 05/31/1998 14,141,803 13,609,698 06/30/1998 14,691,669 14,162,524 07/31/1998 14,528,428 14,011,693 08/31/1998 12,314,475 11,985,882 09/30/1998 13,256,889 12,753,698 10/31/1998 14,302,676 13,791,084 11/30/1998 15,122,901 14,626,961 12/31/1998 16,099,828 15,469,767 01/31/1999 16,648,553 16,116,712 02/28/1999 16,088,153 15,615,805 03/31/1999 16,768,984 16,240,593 04/30/1999 17,436,465 16,869,592 05/31/1999 16,979,768 16,471,301 06/30/1999 17,970,000 17,385,458 07/31/1999 17,379,659 16,842,684 08/31/1999 17,285,204 16,759,312 09/30/1999 16,909,003 16,299,940 10/31/1999 17,981,456 17,331,400 11/30/1999 18,279,360 17,683,747 12/31/1999 19,341,400 18,725,320 01/31/2000 18,343,134 17,784,881 02/29/2000 18,065,838 17,447,899 03/31/2000 19,758,181 19,154,826 04/30/2000 19,143,792 18,578,458 05/31/2000 18,752,817 18,197,228 06/30/2000 19,218,094 18,645,789 07/31/2000 18,978,573 18,354,169 08/31/2000 20,246,629 19,494,147 09/30/2000 19,133,350 18,465,051 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the invest- ment of $5,000,000 on 6/01/1993, the first full month following the Fund's Institutional Class inception on 5/14/1993, compared to the Standard and Poor's 500 Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 1/07/1997. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . In sharp contrast to previous years, the S&P 500 Index returned a negative 3.60% for the semi-annual period ended September 30, 2000 amid investor concern over the global economy and corporate profitability. . Despite a challenging market environment, the StocksPLUS Fund Institutional Class shares outperformed the S&P 500 after fees. . Increases in three and six month interest rates negatively impacted the performance of the StocksPLUS Fund relative to the benchmark. . Corporate issues in the StocksPLUS Fund were negatively impacted by an increase in credit spreads resulting from mounting credit concerns, although this negative price impact was largely offset by the attractive yield premiums provided by these securities. . Mortgages were positive for performance as these holdings benefited from both relatively high yield premiums and reduced new issuance. . Inflation protected bonds and option strategies enhanced the overall return of the StocksPLUS Fund. 26 PIMCO Funds PIMCO Municipal Bond Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: High current income exempt from federal income tax, consistent with preservation of capital. Capital appreciation is a secondary objective. Portfolio: Primarily intermediate and long-term maturity municipal securities (exempt from federal income tax) Duration: 7.3 years Total Net Assets: $56.2 million States Breakdown:* [GRAPH] California 15.9% New Jersey 10.2% New York 9.8% Texas 7.1% Colorado 7.0% Utah 6.8% Massachusetts 6.8% Arizona 6.4% Other States 30.0% Quality Breakdown:* [GRAPH] AAA 38.8% AA 16.7% A 18.9% BBB 15.8% BB 9.8% * % of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000 Lipper General Inst'l Class Admin. Class Lehman Brothers Municipal (Incep. (Incep. General Municipal Debt Fund 12/31/1997) 9/30/1998) Bond Index Average -------------------------------------------------------------------------------- 6 Months 4.16% 4.03% 3.97% 3.39% 1 Year 5.78% 5.50% 6.18% 4.74% Since Inception* 3.30% 1.35% -- -- * Annualized [GRAPH] Lehman Brothers Municipal General Municipal Month Bond Fund Bond Index 12/31/1997 5,000,000 5,000,000 01/31/1998 5,058,771 5,051,500 02/28/1998 5,035,172 5,053,016 03/31/1998 5,039,379 5,057,562 04/30/1998 5,006,296 5,034,805 05/31/1998 5,105,540 5,114,354 06/30/1998 5,122,719 5,134,299 07/31/1998 5,128,447 5,147,137 08/31/1998 5,223,548 5,226,915 09/30/1998 5,293,484 5,292,252 10/31/1998 5,282,938 5,292,252 11/30/1998 5,296,412 5,310,775 12/31/1998 5,302,933 5,324,053 01/31/1999 5,373,214 5,387,409 02/28/1999 5,338,814 5,363,705 03/31/1999 5,343,842 5,371,213 04/30/1999 5,354,304 5,384,642 05/31/1999 5,314,853 5,353,412 06/30/1999 5,217,784 5,276,322 07/31/1999 5,228,509 5,295,317 08/31/1999 5,173,421 5,252,953 09/30/1999 5,166,761 5,255,056 10/31/1999 5,100,796 5,198,299 11/30/1999 5,153,694 5,253,401 12/31/1999 5,105,896 5,214,003 01/31/2000 5,076,823 5,191,581 02/29/2000 5,130,397 5,251,804 03/31/2000 5,247,153 5,366,818 04/30/2000 5,221,693 5,335,153 05/31/2000 5,198,809 5,307,409 06/30/2000 5,317,548 5,448,053 07/31/2000 5,383,204 5,523,778 08/31/2000 5,469,026 5,608,845 09/30/2000 5,465,577 5,579,681 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 12/31/1997, the Fund's Institutional Class inception date, compared to the Lehman Brothers General Municipal Bond Index, an unmanaged market index. Income may be subject to state and local taxes and (if applicable) the Alternative Minimum Tax. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 9/30/1998. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Municipal Bond Fund Institutional Class shares outperformed its benchmark, the Lehman Brothers General Municipal Bond Index, for the six months ended September 30, 2000, returning 4.16% to 3.97% for the Index. In contrast, the return for the Lipper General Municipal Debt Fund Average was 3.39% for the same time period. . The Fund's option-adjusted duration was 7.3 years at September 30, 2000, slightly under the benchmark's duration of 7.5 years. . The AAA rated general obligation yield curve, considered to be the benchmark for the national municipal market, steepened from March 31 to September 30 as intermediate yields dropped from 0.20% to 0.30% while long-term yields fell by 0.05% to 0.10%. . The Fund's duration was generally under that of the benchmark, which detracted from performance as yields fell generally throughout the past six months. . Overweighting intermediate maturity bonds boosted returns as intermediate yields decreased more than long-maturity yields. . Issue selection in discount and premium bonds aided performance as discount bonds benefited from a reduction in market discount tax exposures and call-protected higher coupon bonds experienced price appreciation without being subject to much greater call risks. . The Fund's yield and performance were enhanced through an overweighting of higher quality revenue bonds, which have greater yields than general obligation and pre-refunded bonds. . The Fund's 30-day SEC yield, after fees, was 4.87% at September 30, implying a tax-adjusted yield of 8.1% for a shareholder with a federal income tax rate of 39.6%. 2000 Semi-Annual Report 27 PIMCO Short Duration Municipal Income Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Seeks high current income exempt from federal income tax, consistent with preservation of capital Portfolio: Primarily short and intermediate maturity municipal securities (exempt from federal income tax) Duration: 1.3 years Total Net Assets: $13.2 million States Breakdown:* [GRAPH] Florida 13.2% Texas 11.6% Hawaii 9.4% Georgia 7.7% Missouri 6.3% Colorado 5.4% Kansas 5.5% Other States 40.9% Quality Breakdown:* [GRAPH] AAA 55.8% AA 19.3% A 11.7% BBB 13.1% Others 0.1% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000 Inst'l Class Lehman Brothers 1-Year Lipper Short Municipal (Incep. 8/31/1999) Municipal Bond Index Debt Fund Average -------------------------------------------------------------------------------- 6 Months 2.65% 2.53% 2.44% 1 Year 4.58% 4.31% 3.81% Since Inception* 4.52% -- -- * Annualized [GRAPH] Short Duration Lehman Brothers Municipal Income 1-Year Municipal Month Fund Bond Index 08/31/1999 5,000,000 5,000,000 09/30/1999 5,015,118 5,012,000 10/31/1999 5,026,688 5,023,025 11/30/1999 5,043,155 5,038,597 12/31/1999 5,056,562 5,042,629 01/31/2000 5,077,025 5,061,792 02/29/2000 5,086,181 5,076,977 03/31/2000 5,109,575 5,098,804 04/30/2000 5,117,236 5,111,043 05/31/2000 5,126,760 5,119,223 06/30/2000 5,161,314 5,161,199 07/31/2000 5,188,759 5,190,100 08/31/2000 5,219,335 5,216,569 09/30/2000 5,245,011 5,228,047 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 8/31/1999, the Fund's Institutional Class inception date compared to the Lehman Brothers 1-Year Municipal Bond Index, an unmanaged market index. Income may be subject to state and local taxes and (if applicable) the Alternative Minimum Tax. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The primary objective of the Fund is to generate a level of tax-exempt income above that generally available in tax-exempt money market investments while attempting to preserve capital. . The Fund returned 2.65% for the half-year ended September 30, 2000 versus 2.53% for its benchmark, the Lehman Brothers 1-Year Municipal Bond Index. . Short-term municipal yields (under one year) rose by up to 0.20%, following the lead of shorter-term Treasuries, as the Federal Reserve raised the fed funds rate by 1.0% during the first six months of calendar 2000. . Notwithstanding increases in the fed funds and other money market yields, the Fund's NAV per share never fell below $9.95 and ended the half year at $10.04 per share. . The Fund's duration was 1.3 years at September 30, 2000, which was marginally under the duration of 1.4 years for the benchmark. . Although the Fund's below-benchmark duration should have aided returns as short-term municipal yields rose during the half-year period, a lower-than-benchmark duration during the municipal market rally of June and July lowered overall return performance. . Selecting a modest barbelled maturity structure, consisting of a combination of under one-year and over two-year duration issues, improved returns through higher yields and greater price appreciation capture. . The use of inflation-adjusted municipal issues, having low effective durations, improved performance due to above-benchmark price performance, resulting from the capture of relatively high inflation adjustments. . The Fund's management maintained a high average credit quality (AA+) to limit any potential price depreciation resulting from widening yield premiums. . The Fund's 30-day SEC yield, after fees, was 4.20% at September 30, resulting in a tax-adjusted yield of 7.0% under a federal income tax rate of 39.6%. 28 PIMCO Funds PIMCO California Intermediate Municipal Bond Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Seeks high current income exempt from federal and California income tax. Capital appreciation is a secondary objective. Portfolio: Primarily intermediate maturity municipal securities (exempt from federal and California income tax) Duration: 5.6 years Total Net Assets: $100.5 million States Breakdown:* [GRAPH] California 83.2% Puerto Rico 12.1% Virgin Islands 4.5% Other 0.2% Quality Breakdown:* [GRAPH] AAA 46.3% AA 31.3% A 10.8% BBB 8.0% BB 3.6% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Inst'l Class Admin. Class Lehman Brothers Lipper California (Incep. (Incep. Intermediate California Intermediate Municipal 8/31/1999) 9/07/1999) Insured Municipal Bond Index Debt Fund Average ---------------------------------------------------------------------------------------------------- 6 Months 4.66% 4.54% 4.15% 3.89% 1 Year 7.21% 6.93% 6.05% 5.78% Since Inception* 7.34% 6.94% -- --
* Annualized [GRAPH] Lehman Brothers California Intermediate Intermediate California Month Municipal Bond Fund Insured Municipal Bond Index 08/31/1999 5,000,000 5,000,000 09/30/1999 5,035,313 5,031,999 10/31/1999 4,998,038 4,998,789 11/30/1999 5,040,593 5,039,779 12/31/1999 5,018,422 4,993,413 01/31/2000 5,034,390 5,021,873 02/29/2000 5,066,955 5,049,494 03/31/2000 5,158,118 5,123,722 04/30/2000 5,145,459 5,084,783 05/31/2000 5,170,144 5,098,512 06/30/2000 5,268,173 5,213,226 07/31/2000 5,337,733 5,284,647 08/31/2000 5,414,917 5,367,088 09/30/2000 5,398,442 5,336,498 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 8/31/1999, the Fund's Institutional Class inception date compared to the Lehman Brothers Intermediate California Insured Municipal Bond Index, an unmanaged market index. Income may be subject to state and local taxes and (if applicable) the Alternative Minimum Tax. The performance of the Administrative Class reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 9/07/1999. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Fund's Institutional Class shares returned 4.66% for the six months ended September 30, 2000, outperforming its benchmark, the Lehman Brothers Intermediate California Insured Municipal Index, which returned 4.15%. . The Fund's option-adjusted duration was 5.6 years at September 30, 2000, matching the benchmark's duration. . The California general obligation yield curve steepened substantially from March 31 to September 30 as short-term (under one year) California yields increased by up to 0.40% while long-term California yields dropped by over 0.40%. . Longer-term yields were driven downward by a decreased supply of California issues and ratings upgrades for the State of California general obligation issues to AA as rating agencies noted improved economic circumstances and fiscal conditions of state and local governments. . The Fund's duration was maintained below the benchmark, lowering relative performance as intermediate and long-term maturity California yields dropped during the fiscal half-year. . Overweighting longer-maturity California issues improved returns substantially as longer-term yields fell more in response to rating upgrades for the State of California and diminished supply. . Allocations to discount and premium bonds boosted returns as longer-term discount bonds faced much lower market discount tax exposures due to the yield rally and higher coupon bonds experienced price appreciation without much greater call risk. . Portfolio yield was enhanced through overweighting higher quality revenue bonds, which had greater risk-adjusted yields than general obligation and pre-refunded bonds. . The average credit quality was maintained at AA with very small duration-weighted allocations to below-investment-grade or lower investment-grade (BBB) issues. . The Fund's 30-day SEC yield, after fees, was 4.22% at September 30, implying a tax-adjusted yield of 7.7% for a shareholder with federal and California income tax rates of 39.6% and 9.3%, respectively. 2000 Semi-Annual Report 29 PIMCO California Municipal Bond Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Seeks high current income exempt from federal and California income tax. Capital appreciation is a secondary objective. Portfolio: Primarily intermediate to long-term maturity municipal securities (exempt from federal and California income tax) Duration: 7.0 years Total Net Assets: $9.1 million -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- States Breakdown:* [GRAPH] California 68.6% Puerto Rico 25.7% Virgin Islands 4.5% Other 1.2% Quality Breakdown:* [GRAPH] AAA 77.1% AA 4.1% A 5.8% BBB 4.5% BB 8.5% *% of Total Investments as of September 30, 2000 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Fund shares, when redeemed, may be worth more or less than their original cost. The Fund commenced operations on 5/16/2000. The total return performance since inception was 5.77%. Income may be subject to state and local taxes and (if applicable) the Alternative Minimum Tax. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Fund's primary investment objective is to seek high current income that is exempt from both federal and California income taxes. Capital appreciation is a secondary objective. . The Fund's inception date was May 16, 2000. . The benchmark, the Lehman California Insured Municipal Index, had a duration of 8.8 years as of September 30, 2000. . California represented the best performing state municipal market as measured by Lehman Brothers for the three-month period ended September 30, 2000, with the Lehman California Insured Municipal Index returning 3.26% versus 2.42% for the national Lehman Municipal Bond Index. . The California market performance was driven by a decreased supply of California issues, ratings upgrades for the State of California and heavy retail demand in the face of a strong local economy and cooling stock markets. . The Fund's management will attempt to enhance yield through allocations to higher rated revenue bonds that have attractive risk-adjusted yields. . The average credit quality was an AA+ at September 30 with limited allocations to lower investment-grade (BBB) or below-investment-grade issues. . The Fund's 30-day SEC yield, after fees, was 4.74% at September 30, implying a tax-adjusted yield of 8.7% for a shareholder having marginal federal and California income tax rates of 39.6% and 9.3%, respectively. 30 PIMCO Funds PIMCO New York Municipal Bond Fund -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Seeks high current income exempt from federal and New York income tax. Capital appreciation is a secondary objective. Portfolio: Primarily intermediate to long-term maturity municipal securities (exempt from federal and New York income tax) Duration: 4.5 years Total Net Assets: $3.2 million States Breakdown:* [GRAPH] New York 98.6% Other 1.4% Quality Breakdown:* [GRAPH] AAA 70.5% AA 14.0% A 10.8% BBB 4.7% * % of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
Lehman Brothers Inst'l Class New York Insured Lehman Brothers Lipper New York (Incep. Municipal Bond Intermediate New York Intermediate Municipal 8/31/1999) Index Insured Municipal Bond Index Debt Fund Average --------------------------------------------------------------------------------------------------------- 6 Months 4.96% 4.29% 4.22% 3.58% 1 Year 6.57% 6.79% 5.79% 5.22% Since Inception* 6.44% -- -- --
* Annualized [GRAPH] Lehman Brothers Lehman Brothers New York Insured Intermediate New York New York Municipal Bond Insured Municipal Month Municipal Bond Fund Index Bond Index 08/31/1999 5,000,000 5,000,000 5,000,000 09/30/1999 5,019,710 4,993,502 5,015,500 10/31/1999 4,980,249 4,924,089 4,991,426 11/30/1999 5,025,490 4,993,028 5,030,857 12/31/1999 5,006,999 4,941,600 5,009,727 01/31/2000 4,983,454 4,912,940 4,991,693 02/29/2000 5,015,826 4,986,631 5,018,647 03/31/2000 5,096,773 5,113,293 5,091,418 04/30/2000 5,067,630 5,064,206 5,073,089 05/31/2000 5,050,517 5,039,895 5,057,871 06/30/2000 5,174,063 5,203,693 5,181,281 07/31/2000 5,232,730 5,272,379 5,249,674 08/31/2000 5,340,170 5,365,700 5,325,796 09/30/2000 5,349,497 5,332,434 5,306,090 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 8/31/1999, the Fund's Institutional Class inception date compared to the Lehman Brothers New York Insured Municipal Bond Index and the Lehman Brothers Intermediate New York Insured Municipal Bond Index, each an unmanaged market index. Income may be subject to state and local taxes and (if applicable) the Alternative Minimum Tax. We will no longer compare the Fund to the Lehman Brothers Intermediate New York Insured Municipal Bond Index since the Lehman Brothers Intermediate New York Insured Municipal Bond Index is not a comparable New York Municipal index. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Fund's primary investment objective is to seek high current income that is exempt from both federal and New York income taxes. Capital appreciation is a secondary objective. . The Fund returned 4.96% for the six-month period ended September 30, 2000. The Lehman New York Insured Municipal Index returned 4.29% for the period of March 31 to September 30, slightly above the return of 3.97% for the national Lehman Municipal Bond Index. . The Fund's benchmark changed as of June 1 from the Lehman Brothers New York Tax- Exempt Intermediate Index to the Lehman New York Insured Municipal Index. . Reflecting the influence of retail buyers, intermediate New York yields dropped more (up to 0.25%) than longer-term New York yields (0.05%) as retail buyers concentrated their demand in intermediate maturity issues. . The Fund's duration generally was below that of the benchmark, which detracted from relative performance as New York intermediate and long-maturity yields fell during the March to September half-year period. . Overweighting intermediate-maturity New York issues boosted returns as intermediate-term yields decreased more due to strong retail demand. . Portfolio yield was enhanced through the use of non-insured, higher quality revenue and local general obligation bonds. . The average credit quality was maintained at AAA with very small duration-weighted allocations to lower investment-grade (BBB) issues and no below-investment-grade holdings. 2000 Semi-Annual Report 31 Financial Highlights - Institutional Classes
Net Asset Net Realized/ Total Dividends Dividends in Value Unrealized Income from from Net Excess of Net Beginning Net Investment Gain (Loss) on Investment Investment Investment Selected Per Share Data for the Year or Period of Period Income (Loss) Investments Operations Income Income Ended: --------- -------------- -------------- ----------- ---------- ------------- Total Return Fund Institutional Class 09/30/2000 (b) $ 9.96 $ 0.33 (a) $ 0.13 (a) $ 0.46 $ (0.33) $ 0.00 03/31/2000 10.36 0.63 (a) (0.40)(a) 0.23 (0.60) (0.03) 03/31/1999 10.62 0.63 (a) 0.16 (a) 0.79 (0.63) 0.00 03/31/1998 10.27 0.64 (a) 0.62 (a) 1.26 (0.62) (0.02) 03/31/1997 10.29 0.68 (0.02) 0.66 (0.66) (0.02) 03/31/1996 10.02 0.81 0.29 1.10 (0.61) (0.10) Administrative Class 09/30/2000 (b) 9.96 0.32 (a) 0.13 (a) 0.45 (0.32) 0.00 03/31/2000 10.36 0.61 (a) (0.41)(a) 0.20 (0.58) (0.02) 03/31/1999 10.62 0.61 (a) 0.16 (a) 0.77 (0.61) 0.00 03/31/1998 10.27 0.61 (a) 0.63 (a) 1.24 (0.60) (0.02) 03/31/1997 10.29 0.66 (a) (0.02)(a) 0.64 (0.64) (0.02) 03/31/1996 10.01 0.80 0.29 1.09 (0.60) (0.09) Total Return Fund II Institutional Class 09/30/2000 (b) $ 9.67 $ 0.31 (a) $ 0.15 (a) $ 0.46 $ (0.31) $ 0.00 03/31/2000 10.11 0.58 (a) (0.44)(a) 0.14 (0.58) 0.00 03/31/1999 10.26 0.59 (a) 0.17 (a) 0.76 (0.59) 0.00 03/31/1998 9.85 0.63 (a) 0.52 (a) 1.15 (0.60) (0.03) 03/31/1997 9.89 0.61 (0.02) 0.59 (0.62) (0.01) 11/01/1995 - 03/31/1996 10.21 0.25 (0.17) 0.08 (0.26) 0.00 Administrative Class 09/30/2000 (b) 9.67 0.29 (a) 0.16 (a) 0.45 (0.30) 0.00 03/31/2000 10.11 0.55 (a) (0.44)(a) 0.11 (0.55) 0.00 03/31/1999 10.26 0.56 (a) 0.17 (a) 0.73 (0.56) 0.00 03/31/1998 9.85 0.60 (a) 0.52 (a) 1.12 (0.57) (0.03) 03/31/1997 9.89 0.59 (0.02) 0.57 (0.60) (0.01) 11/01/1995 - 03/31/1996 10.22 0.24 (0.17) 0.07 (0.26) 0.00 Total Return Fund III Institutional Class 09/30/2000 (b) $ 8.74 $ 0.29 (a) $ 0.08 (a) $ 0.37 $ (0.29) $ 0.00 03/31/2000 9.27 0.55 (a) (0.53)(a) 0.02 (0.54) (0.01) 03/31/1999 9.55 0.57 (a) 0.20 (a) 0.77 (0.56) 0.00 03/31/1998 9.15 0.57 (a) 0.56 (a) 1.13 (0.54) (0.03) 03/31/1997 9.13 0.55 0.05 0.60 (0.55) (0.02) 03/31/1996 8.99 0.72 0.17 0.89 (0.54) (0.09) Administrative Class 09/30/2000 (b) 8.74 0.27 (a) 0.09 (a) 0.36 (0.28) 0.00 03/31/2000 9.27 0.54 (a) (0.54)(a) 0.00 (0.52) (0.01) 03/31/1999 9.55 0.55 (a) 0.20 (a) 0.75 (0.54) 0.00 04/11/1997 - 03/31/1998 9.12 0.54 (a) 0.58 (a) 1.12 (0.50) (0.03) Moderate Duration Fund Institutional Class 09/30/2000 (b) $ 9.52 $ 0.31 (a) $ 0.18 (a) $ 0.49 $ (0.31) $ 0.00 03/31/2000 9.94 0.60 (a) (0.42)(a) 0.18 (0.58) (0.02) 03/31/1999 10.14 0.60 (a) 0.07 (a) 0.67 (0.60) 0.00 03/31/1998 9.83 0.38 (a) 0.56 (a) 0.94 (0.60) 0.00 12/31/1996 - 03/31/1997 10.00 0.15 (0.17) (0.02) (0.15) 0.00
+ Annualized (a)Per share amounts based on average number of shares outstanding during the period. (b)Unaudtied (c)Ratio of expenses to average net assets excluding interest expense is 0.68%. (d)Ratio of expenses to average net assets excluding interest expense is 0.43%. 32 PIMCO Funds See accompanying notes
Distributions Distributions Ratio of from Net in Excess of Net Tax Basis Net Asset Expenses to Realized Realized Capital Return of Total Value End Net Assets End Average Net Capital Gains Gains Capital Distributions of Period Total Return of Period (000s) Assets ------------- ---------------- --------- ------------- --------- ------------ ---------------- ----------- $ 0.00 $ 0.00 $ 0.00 $ (0.33) $ 10.09 4.75% $27,871,145 0.48%+ 0.00 0.00 0.00 (0.63) 9.96 2.33 24,900,321 0.54 (d) (0.24) (0.18) 0.00 (1.05) 10.36 7.60 21,711,396 0.43 (0.27) 0.00 0.00 (0.91) 10.62 12.63 16,484,119 0.43 0.00 0.00 0.00 (0.68) 10.27 6.60 12,528,536 0.43 (0.12) 0.00 0.00 (0.83) 10.29 11.14 10,247,605 0.42 0.00 0.00 0.00 (0.32) 10.09 4.62 3,808,824 0.73+ 0.00 0.00 0.00 (0.60) 9.96 2.07 3,233,785 0.79 (c) (0.24) (0.18) 0.00 (1.03) 10.36 7.33 1,972,984 0.68 (0.27) 0.00 0.00 (0.89) 10.62 12.36 481,730 0.68 0.00 0.00 0.00 (0.66) 10.27 6.34 151,194 0.68 (0.12) 0.00 0.00 (0.81) 10.29 10.99 104,618 0.68 $ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 9.82 4.81% $ 1,512,326 0.50%+ 0.00 0.00 0.00 (0.58) 9.67 1.46 1,263,556 0.50 (0.18) (0.14) 0.00 (0.91) 10.11 7.46 986,690 0.50 (0.11) 0.00 0.00 (0.74) 10.26 11.99 574,587 0.50 0.00 0.00 0.00 (0.63) 9.85 6.15 478,451 0.50 (0.09) (0.05) 0.00 (0.40) 9.89 0.78 455,583 0.51+ 0.00 0.00 0.00 (0.30) 9.82 4.68 42,930 0.75+ 0.00 0.00 0.00 (0.55) 9.67 1.20 56,755 0.75 (0.18) (0.14) 0.00 (0.88) 10.11 7.19 54,736 0.75 (0.11) 0.00 0.00 (0.71) 10.26 11.71 15,172 0.75 0.00 0.00 0.00 (0.61) 9.85 5.88 5,304 0.75 (0.09) (0.05) 0.00 (0.40) 9.89 0.57 3,320 0.76+ $ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 8.82 4.27% $ 809,356 0.50%+ 0.00 0.00 0.00 (0.55) 8.74 0.33 635,592 0.50 (0.24) (0.25) 0.00 (1.05) 9.27 8.20 488,243 0.50 (0.16) 0.00 0.00 (0.73) 9.55 12.62 365,249 0.51 0.00 (0.01) 0.00 (0.58) 9.15 6.76 193,297 0.51 (0.12) 0.00 0.00 (0.75) 9.13 10.06 142,223 0.50 0.00 0.00 0.00 (0.28) 8.82 4.14 10,571 0.75+ 0.00 0.00 0.00 (0.53) 8.74 0.08 10,144 0.75 (0.24) (0.25) 0.00 (1.03) 9.27 7.93 1,867 0.75 (0.16) 0.00 0.00 (0.69) 9.55 12.46 178 0.76+ $ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 9.70 5.27% $ 444,493 0.45%+ 0.00 0.00 0.00 (0.60) 9.52 1.86 387,126 0.47 (0.11) (0.16) 0.00 (0.87) 9.94 6.70 317,400 0.45 (0.03) 0.00 0.00 (0.63) 10.14 9.80 239,152 0.45 0.00 0.00 0.00 (0.15) 9.83 (0.25) 13,458 0.44+ Ratio of Net Investment Income (Loss) to Average Net Portfolio Assets Turnover Rate -------------- ------------- 6.67%+ 186% 6.25 223 5.91 154 6.06 206 6.60 173 6.85 221 6.40+ 186 6.01 223 5.52 154 5.74 206 6.35 173 6.64 221 6.30%+ 227% 5.89 142 5.65 213 6.15 361 6.38 293 6.36+ 73 6.05+ 227 5.56 142 5.33 213 5.86 361 6.13 293 6.06+ 73 6.51%+ 158% 6.21 186 5.85 216 5.99 183 6.21 90 6.82 177 6.08+ 158 6.11 186 5.59 216 5.85+ 183 6.55%+ 123% 6.16 129 5.94 169 3.75 96 6.01+ 49
2000 Semi-Annual Report See accompanying notes 33 Financial Highlights - Institutional Classes (Cont.)
Net Realized/ Net Asset Unrealized Total Dividends Dividends in Value Net Investment Income from from Net Excess of Net Beginning Investment Gain (Loss) on Investment Investment Investment Selected Per Share Data for the Year or Period of Period Income (Loss) Investments Operations Income Income Ended: --------- ------------- -------------- ---------- ---------- ------------- Low Duration Fund Institutional Class 09/30/2000 (b) $ 9.81 $ 0.34 (a) $ 0.05 (a) $ 0.39 $ (0.34) $ 0.00 03/31/2000 10.10 0.64 (a) (0.29)(a) 0.35 (0.63) (0.01) 03/31/1999 10.18 0.65 (a) (0.02)(a) 0.63 (0.65) 0.00 03/31/1998 9.98 0.65 (a) 0.23 (a) 0.88 (0.63) (0.02) 03/31/1997 9.95 0.64 0.03 0.67 (0.63) (0.01) 03/31/1996 9.76 0.66 0.21 0.87 (0.68) 0.00 Administrative Class 09/30/2000 (b) 9.81 0.30 (a) 0.08 (a) 0.38 (0.33) 0.00 03/31/2000 10.10 0.61 (a) (0.29)(a) 0.32 (0.60) (0.01) 03/31/1999 10.18 0.62 (a) (0.02)(a) 0.60 (0.62) 0.00 03/31/1998 9.98 0.63 (a) 0.22 (a) 0.85 (0.60) (0.02) 03/31/1997 9.95 0.62 0.03 0.65 (0.60) (0.02) 03/31/1996 9.76 0.63 0.21 0.84 (0.65) 0.00 Low Duration Fund II Institutional Class 09/30/2000 (b) $ 9.69 $ 0.31 (a) $ 0.09 (a) $ 0.40 $ (0.31) $ 0.00 03/31/2000 9.95 0.58 (a) (0.27)(a) 0.31 (0.57) 0.00 03/31/1999 10.00 0.58 (a) 0.00 (a) 0.58 (0.58) 0.00 03/31/1998 9.81 0.22 (a) 0.59 (a) 0.81 (0.56) (0.04) 03/31/1997 9.82 0.62 (0.03) 0.59 (0.58) (0.02) 03/31/1996 9.77 0.66 0.04 0.70 (0.60) (0.03) Administrative Class 09/30/2000 (b) 9.69 0.28 (a) 0.10 (a) 0.38 (0.29) 0.00 03/31/2000 9.95 0.52 (a) (0.23)(a) 0.29 (0.55) 0.00 03/31/1999 10.00 0.56 (a) 0.00 (a) 0.56 (0.56) 0.00 02/02/1998 - 03/31/1998 10.03 0.14 (a) (0.08)(a) 0.06 (0.08) (0.01) Low Duration Fund III Institutional Class 09/30/2000 (b) $ 9.66 $ 0.32 (a) $ 0.10 (a) $ 0.42 $ (0.32) $ 0.00 03/31/2000 9.98 0.61 (a) (0.32)(a) 0.29 (0.61) 0.00 03/31/1999 10.05 0.60 (a) 0.00 (a) 0.60 (0.60) 0.00 03/31/1998 9.91 0.53 (a) 0.24 (a) 0.77 (0.60) 0.00 12/31/1996 - 03/31/1997 10.00 0.15 (0.09) 0.06 (0.15) 0.00 Administrative Class 09/30/2000 (b) 9.66 0.33 (a) 0.08 (a) 0.41 (0.31) 0.00 03/31/2000 9.98 0.57 (a) (0.31) 0.26 (0.58) 0.00 03/19/1999 - 03/31/1999 9.97 0.02 0.01 0.03 (0.02) 0.00 Short-Term Fund Institutional Class 09/30/2000 (b) $ 9.95 $ 0.32 (a) $ 0.02 (a) $ 0.34 $ (0.32) $ 0.00 03/31/2000 10.03 0.59 (a) (0.08)(a) 0.51 (0.59) 0.00 03/31/1999 10.06 0.57 (a) (0.02)(a) 0.55 (0.57) 0.00 03/31/1998 10.00 0.62 (a) 0.06 (a) 0.68 (0.60) (0.01) 03/31/1997 9.92 0.61 0.08 0.69 (0.59) (0.02) 03/31/1996 9.79 0.69 0.12 0.81 (0.65) (0.03) Administrative Class 09/30/2000 (b) 9.95 0.30 (a) 0.03 (a) 0.33 (0.31) 0.00 03/31/2000 10.03 0.57 (a) (0.09)(a) 0.48 (0.56) 0.00 03/31/1999 10.06 0.54 (a) (0.02)(a) 0.52 (0.54) 0.00 03/31/1998 10.00 0.59 (a) 0.07 (a) 0.66 (0.58) (0.01) 03/31/1997 9.92 0.58 0.08 0.66 (0.57) (0.01) 02/01/1996 - 03/31/1996 9.98 0.11 (0.07) 0.04 (0.10) 0.00
+ Annualized (a)Per share amounts based on average number of shares outstanding during the period. (b)Unaudtied (c)Ratio of expenses to average net assets excluding interest expense is 0.75%. (d)Ratio of expenses to average net assets excluding interest expense is 0.45%. (e)Ratio of expenses to average net assets excluding interest expense is 0.70%. (f)Ratio of expenses to average net assets excluding interest expense is 0.50%. (g)Ratio of expenses to average net assets excluding interest expense is 0.68%. (h)Ratio of expenses to average net assets excluding interest expense is 0.43%. 34 PIMCO Funds See accompanying notes
Distributions Distributions Ratio of from Net in Excess of Tax Basis Net Asset Expenses to Realized Net Realized Return of Total Value End Net Assets End Average Net Capital Gains Capital Gains Capital Distributions of Period Total Return of Period (000s) Assets ------------- ---------------- --------- ------------- --------- ------------ -------------- ----------- $ 0.00 $ 0.00 $ 0.00 $ (0.34) $ 9.86 4.04% $ 3,634,307 0.44%+ 0.00 0.00 0.00 (0.64) 9.81 3.56 3,440,455 0.51 (h) (0.01) (0.05) 0.00 (0.71) 10.10 6.35 3,367,438 0.43 (0.03) 0.00 0.00 (0.68) 10.18 9.00 2,759,531 0.43 0.00 0.00 0.00 (0.64) 9.98 6.97 2,797,001 0.43 0.00 0.00 0.00 (0.68) 9.95 9.13 2,677,574 0.42 0.00 0.00 0.00 (0.33) 9.86 3.91 135,230 0.69+ 0.00 0.00 0.00 (0.61) 9.81 3.30 118,874 0.75 (g) (0.01) (0.05) 0.00 (0.68) 10.10 6.09 128,212 0.68 (0.03) 0.00 0.00 (0.65) 10.18 8.73 46,186 0.68 0.00 0.00 0.00 (0.62) 9.98 6.71 23,564 0.68 0.00 0.00 0.00 (0.65) 9.95 8.83 2,536 0.69 $ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 9.78 4.14% $ 703,205 0.50%+(f) 0.00 0.00 0.00 (0.57) 9.69 3.28 467,997 0.57 (f) 0.00 (0.05) 0.00 (0.63) 9.95 5.89 414,463 0.57 (f) (0.02) 0.00 0.00 (0.62) 10.00 8.29 401,204 0.50 0.00 0.00 0.00 (0.60) 9.81 6.33 339,375 0.51 0.00 0.00 (0.02) (0.65) 9.82 7.30 253,299 0.48 0.00 0.00 0.00 (0.29) 9.78 3.97 32 0.75+ 0.00 0.00 0.00 (0.55) 9.69 3.01 71 1.17 (c) 0.00 (0.05) 0.00 (0.61) 9.95 5.63 22,594 0.85 (c) 0.00 0.00 0.00 (0.09) 10.00 0.58 56 0.75+ $ 0.00 $ 0.00 $ 0.00 $ (0.32) $ 9.76 4.46% $ 36,738 0.50%+ 0.00 0.00 0.00 (0.61) 9.66 2.98 32,349 0.55 (f) 0.00 (0.07) 0.00 (0.67) 9.98 6.10 26,549 0.50 (0.03) 0.00 0.00 (0.63) 10.05 7.93 23,896 0.50 0.00 0.00 0.00 (0.15) 9.91 0.58 10,056 0.49+ 0.00 0.00 0.00 (0.31) 9.76 4.34 10 0.75+ 0.00 0.00 0.00 (0.58) 9.66 2.71 10 0.82 (c) 0.00 0.00 0.00 (0.02) 9.98 0.15 6 0.75 $ 0.00 $ 0.00 $ 0.00 $ (0.32) $ 9.97 3.44% $ 574,392 0.83%+(d) 0.00 0.00 0.00 (0.59) 9.95 5.19 589,203 0.64 (d) 0.00 (0.01) 0.00 (0.58) 10.03 5.63 495,752 0.45 (0.01) 0.00 0.00 (0.62) 10.06 7.06 172,846 0.45 0.00 0.00 0.00 (0.61) 10.00 7.12 156,515 0.47 0.00 0.00 0.00 (0.68) 9.92 8.49 101,797 0.58 0.00 0.00 0.00 (0.31) 9.97 3.31 4,054 1.04+(e) 0.00 0.00 0.00 (0.56) 9.95 4.91 15,137 0.89 (e) 0.00 (0.01) 0.00 (0.55) 10.03 5.39 3,769 0.70 (0.01) 0.00 0.00 (0.60) 10.06 6.80 5,147 0.70 0.00 0.00 0.00 (0.58) 10.00 6.86 4,513 0.72 0.00 0.00 0.00 (0.10) 9.92 0.41 3,999 0.52+ Ratio of Net Investment Income (Loss) to Average Net Portfolio Assets Turnover Rate -------------- ------------- 6.95%+ 107% 6.40 82 6.36 245 6.39 309 6.46 240 6.88 209 6.07+ 107 6.13 82 6.09 245 6.16 309 6.21 240 6.73 209 6.26%+ 101% 5.88 117 5.79 322 5.98 335 6.31 237 6.61 225 5.79+ 101 5.30 117 5.47 322 8.53+ 335 6.65%+ 85% 6.20 87 5.94 167 5.98 307 6.00+ 155 6.79+ 85 5.79 87 6.42 167 6.35%+ 62% 5.88 38 5.66 47 6.12 48 6.12 77 6.86 215 5.91+ 62 5.67 38 5.37 47 5.86 48 5.87 77 4.44+ 215
2000 Semi-Annual Report See accompanying notes 35 Financial Highlights - Institutional Classes (Cont.)
Net Asset Net Realized/ Total Dividends Dividends in Value Unrealized Income from from Net Excess of Net Beginning Net Investment Gain (Loss)on Investment Investment Investment Selected Per Share Data for the Year or Period of Period Income (Loss) Investments Operations Income Income Ended: --------- -------------- ------------- ----------- ---------- ------------- Money Market Fund Institutional Class 09/30/2000 (b) $ 1.00 $ 0.03 (a) $ 0.00 (a) $ 0.03 $ (0.03) $ 0.00 03/31/2000 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00 03/31/1999 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00 03/31/1998 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00 03/31/1997 1.00 0.05 0.00 0.05 (0.05) 0.00 11/01/1995 - 03/31/1996 1.00 0.02 0.00 0.02 (0.02) 0.00 Administrative Class 09/30/2000 (b) 1.00 0.03 (a) 0.00 (a) 0.03 (0.03) 0.00 03/31/2000 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00 03/31/1999 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00 03/31/1998 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00 03/31/1997 1.00 0.05 0.00 0.05 (0.05) 0.00 11/01/1995 - 03/31/1996 1.00 0.02 0.00 0.02 (0.02) 0.00 Long-Term U.S. Government Fund Institutional Class 09/30/2000 (b) $ 9.79 $ 0.31 (a) $ 0.16 (a) $ 0.47 $ (0.31) $ 0.00 03/31/2000 10.30 0.61 (a) (0.50)(a) 0.11 (0.62) 0.00 03/31/1999 10.57 0.63 (a) 0.20 (a) 0.83 (0.64) 0.00 03/31/1998 9.39 0.52 (a) 1.34 (a) 1.86 (0.62) 0.00 03/31/1997 9.96 0.79 (0.35) 0.44 (0.68) 0.00 03/31/1996 9.85 0.83 0.66 1.49 (0.68) (0.04) Administrative Class 09/30/2000 (b) 9.79 0.30 (a) 0.16 (a) 0.46 (0.30) 0.00 03/31/2000 10.30 0.57 (a) (0.49)(a) (0.08) (0.59) 0.00 03/31/1999 10.57 0.60 (a) 0.20 (a) 0.80 (0.61) 0.00 09/23/1997 - 03/31/1998 10.17 0.26 (a) 0.51 (a) 0.77 (0.31) 0.00 Investment Grade Corporate Bond Fund Institutional Class 04/28/2000 - 09/30/2000 (b) $ 10.00 $ 0.33 (a) $ 0.24 (a) $ 0.57 $ (0.31) $ 0.00 High Yield Fund Institutional Class 09/30/2000 (b) $ 10.22 $ 0.46 (a) $(0.10)(a) $ 0.36 $ (0.46) $ 0.00 03/31/2000 11.23 0.94 (a) (1.01)(a) (0.07) (0.93) (0.01) 03/31/1999 11.66 0.95 (a) (0.43)(a) 0.52 (0.94) (0.01) 03/31/1998 11.10 0.98 (a) 0.65 (a) 1.63 (0.98) 0.00 03/31/1997 10.94 0.92 0.34 1.26 (0.97) 0.00 03/31/1996 10.42 1.04 0.54 1.58 (1.01) 0.00 Administrative Class 09/30/2000 (b) 10.22 0.45 (a) (0.10)(a) 0.35 (0.45) 0.00 03/31/2000 11.23 0.91 (a) (1.01)(a) (0.10) (0.90) (0.01) 03/31/1999 11.66 0.93 (a) (0.43)(a) 0.50 (0.92) (0.01) 03/31/1998 11.10 0.95 (a) 0.65 (a) 1.60 (0.95) 0.00 03/31/1997 10.94 0.85 (a) 0.38 (a) 1.23 (0.94) 0.00 03/31/1996 10.41 1.02 (a) 0.54 (a) 1.56 (0.98) 0.00 Total Return Mortgage Fund Institutional Class 09/30/2000 (b) $ 9.97 $ 0.31 (a) $ 0.21 (a) $ 0.52 $ (0.31) $ 0.00 03/31/2000 10.19 0.59 (a) (0.21)(a) 0.38 (0.59) 0.00 03/31/1999 10.24 0.58 (a) 0.05 (a) 0.63 (0.58) 0.00 07/31/1997 - 03/31/1998 10.00 0.41 (a) 0.30 (a) 0.71 (0.46) 0.00 GNMA Fund Institutional Class 09/30/2000 (b) $ 9.89 $ 0.31 (a) $ 0.03 (a) $ 0.34 $ (0.31) $ 0.00 03/31/2000 10.01 0.62 (a) (0.12)(a) 0.50 (0.62) 0.00 03/31/1999 10.13 0.64 (a) (0.08)(a) 0.56 (0.64) 0.00 07/31/1997 - 03/31/1998 10.00 0.43 (a) 0.14 (a) 0.57 (0.42) 0.00
+ Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) Unaudited (c) Ratio of expenses to average net assets excluding interest expense is 0.76%. (d) Ratio of expenses to average net assets excluding interest expense is 0.51%. 36 PIMCO Funds See accompanying notes
Distributions Distributions Ratio of from Net in Excess of Net Tax Basis Net Asset Expenses to Realized Realized Capital Return of Total Value End Net Assets End Average Net Capital Gains Gains Capital Distributions of Period Total Return of Period (000s) Assets ------------- ---------------- --------- ------------- --------- ------------ ---------------- --------------- $ 0.00 $ 0.00 $ 0.00 $ (0.03) $ 1.00 3.08% $ 198,757 0.36%+ 0.00 0.00 0.00 (0.05) 1.00 5.21 305,016 0.35 0.00 0.00 0.00 (0.05) 1.00 5.14 322,290 0.35 0.00 0.00 0.00 (0.05) 1.00 5.40 55,335 0.35 0.00 0.00 0.00 (0.05) 1.00 5.19 23,497 0.40 0.00 0.00 0.00 (0.02) 1.00 2.58 25,935 0.33+ 0.00 0.00 0.00 (0.03) 1.00 2.96 8,518 0.61+ 0.00 0.00 0.00 (0.05) 1.00 4.96 9,791 0.60 0.00 0.00 0.00 (0.05) 1.00 4.93 9,273 0.60 0.00 0.00 0.00 (0.05) 1.00 5.12 749 0.60 0.00 0.00 0.00 (0.05) 1.00 4.94 12 0.66 0.00 0.00 0.00 (0.02) 1.00 2.47 10 0.61+ $ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 9.95 4.89% $ 223,420 0.50%+ 0.00 0.00 0.00 (0.62) 9.79 1.26 217,410 0.57 (f) 0.00 (0.46) 0.00 (1.10) 10.30 7.76 170,847 0.89 (f) (0.06) 0.00 0.00 (0.68) 10.57 20.23 48,547 0.51 0.00 (0.33) 0.00 (1.01) 9.39 4.48 19,995 0.63 (0.50) (0.16) 0.00 (1.38) 9.96 14.83 32,511 0.56 0.00 0.00 0.00 (0.30) 9.95 4.76 41,901 0.75+ 0.00 0.00 0.00 (0.59) 9.79 1.01 39,808 0.82 (e) 0.00 (0.46) 0.00 (1.07) 10.30 7.46 11,383 1.15 (c) (0.06) 0.00 0.00 (0.37) 10.57 7.60 4,957 0.76+ $ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 10.26 5.95% $ 5,300 0.50%+ $ 0.00 $ 0.00 $ 0.00 $ (0.46) $ 10.12 3.61% $1,787,988 0.50%+ 0.00 0.00 0.00 (0.94) 10.22 (0.74) 1,960,171 0.50 0.00 0.00 0.00 (0.95) 11.23 4.73 2,162,868 0.50 0.00 (0.09) 0.00 (1.07) 11.66 15.26 1,628,930 0.50 (0.13) 0.00 0.00 (1.10) 11.10 12.04 744,498 0.50 (0.05) 0.00 0.00 (1.06) 10.94 15.70 536,983 0.47 0.00 0.00 0.00 (0.45) 10.12 3.49 427,739 0.75+ 0.00 0.00 0.00 (0.91) 10.22 (0.99) 354,296 0.75 0.00 0.00 0.00 (0.93) 11.23 4.49 238,792 0.75 0.00 (0.09) 0.00 (1.04) 11.66 14.98 69,937 0.75 (0.13) 0.00 0.00 (1.07) 11.10 11.76 10,428 0.76 (0.05) 0.00 0.00 (1.03) 10.94 15.54 1,007 0.80 $ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 10.18 5.27% $ 15,888 0.50%+ 0.00 (0.01) 0.00 (0.60) 9.97 3.91 3,971 0.50 (0.03) (0.07) 0.00 (0.68) 10.19 6.27 4,128 0.50 (0.01) 0.00 0.00 (0.47) 10.24 6.69 3,588 0.52+ $ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 9.92 3.51% $ 7,990 0.50%+ 0.00 0.00 0.00 (0.62) 9.89 5.16 4,308 1.60 (d) 0.00 (0.04) 0.00 (0.68) 10.01 5.71 4,119 2.37 (d) (0.02) 0.00 0.00 (0.44) 10.13 5.86 3,748 1.81+(f) Ratio of Net Investment Income (Loss) to Average Net Portfolio Assets Turnover Rate -------------- ------------- 6.00%+ N/A 5.04 N/A 4.85 N/A 5.29 N/A 5.08 N/A 5.44+ N/A 5.77+ N/A 4.79 N/A 4.44 N/A 5.04 N/A 4.83 N/A 5.95+ N/A 6.26%+ 828% 6.29 320 5.83 364 4.88 177 7.63 402 6.80 238 6.02+ 828 5.82 320 5.58 364 4.87+ 177 7.51%+ 113% 8.99%+ 20% 8.64 39 8.41 39 8.52 37 8.77 67 9.28 66 8.74+ 20 8.40 39 8.17 39 8.21 37 8.48 67 9.16 66 6.18%+ 388% 5.94 1476 5.66 158 6.07+ 593 6.23%+ 3% 6.23 952 6.35 198 6.30+ 486
(e) Ratio of expenses to average net assets excluding interest expense is 0.75%. (f) Ratio of expenses to average net assets excluding interest expense is 0.50%. 2000 Semi-Annual Report See accompanying notes 37 Financial Highlights - Institutional Classes (Cont.)
Net Asset Net Realized/ Total Dividends Dividends in Value Unrealized Income from from Net Excess of Net Selected Per Share Data for the Year or Period Beginning Net Investment Gain (Loss) on Investment Investment Investment Ended: of Period Income (Loss) Investments Operations Income Income --------- -------------- -------------- ----------- ---------- ------------- Real Return Bond Fund Institutional Class 09/30/2000 (b) $ 9.92 $ 0.43 (a) $ 0.05 (a) $ 0.48 $ (0.45) $ 0.00 03/31/2000 9.83 0.68 (a) 0.11 (a) 0.79 (0.68) 0.00 03/31/1999 9.77 0.51 (a) 0.10 (a) 0.61 (0.48) (0.07) 03/31/1998 9.93 0.44 (a) 0.05 (a) 0.49 (0.48) (0.03) 01/29/1997 - 03/31/1997 9.92 0.11 (0.02) 0.09 (0.08) 0.00 Administrative Class 04/28/2000 - 09/30/2000 (b) 9.95 0.35 (a) (0.01)(a) 0.34 (0.34) 0.00 Foreign Bond Fund Institutional Class 09/30/2000 (b) $ 10.03 $ 0.31 (a) $ 0.07 (a) $ 0.38 $ (0.31) $ 0.00 03/31/2000 10.63 0.64 (a) (0.45)(a) 0.19 (0.64) 0.00 03/31/1999 10.74 0.58 (a) 0.24 (a) 0.82 (0.58) 0.00 03/31/1998 10.41 0.66 (a) 0.61 (a) 1.27 (0.63) 0.00 03/31/1997 10.50 0.80 1.00 1.80 (0.40) 0.00 03/31/1996 9.38 0.96 1.03 1.99 (0.34) (0.25) Administrative Class 09/30/2000 (b) 10.03 0.30 (a) 0.07 (a) 0.37 (0.30) 0.00 03/31/2000 10.63 0.61 (a) (0.45)(a) 0.16 (0.61) 0.00 03/31/1999 10.74 0.56 (a) 0.24 (a) 0.80 (0.56) 0.00 03/31/1998 10.41 0.63 (a) 0.61 (a) 1.24 (0.60) 0.00 01/28/1997 - 03/31/1997 10.54 0.59 (0.67) (0.08) (0.05) 0.00 Global Bond Fund Institutional Class 09/30/2000 (b) $ 9.01 $ 0.26 (a) $ (0.40)(a) $ (0.14) $ (0.26) $ 0.00 03/31/2000 9.76 0.57 (a) (0.75)(a) (0.18) (0.46) (0.06) 03/31/1999 9.70 0.52 (a) 0.14 (a) 0.66 (0.36) (0.16) 03/31/1998 9.86 0.66 (a) (0.10)(a) 0.56 (0.53) 0.00 03/31/1997 10.05 0.70 (0.01) 0.69 (0.44) 0.00 03/31/1996 9.87 0.45 0.72 1.17 (0.61) 0.00 Administrative Class 09/30/2000 (b) 9.01 0.25 (a) (0.40)(a) (0.15) (0.25) 0.00 03/31/2000 9.76 0.55 (a) (0.75)(a) (0.20) (0.45) (0.05) 03/31/1999 9.70 0.51 (a) 0.14 (a) 0.65 (0.35) (0.16) 03/31/1998 9.86 0.59 (a) (0.05)(a) 0.54 (0.51) 0.00 08/01/1996 - 03/31/1997 10.28 0.51 (0.23) 0.28 (0.26) 0.00 Global Bond Fund II Institutional Class 09/30/2000 (b) $ 9.41 $ 0.30 (a) $ 0.07 (a) $ 0.37 $ (0.30) $ 0.00 03/31/2000 9.89 0.56 (a) (0.46)(a) 0.10 (0.55) (0.01) 03/31/1999 9.92 0.52 (a) 0.06 (a) 0.58 (0.52) 0.00 02/25/1998 - 03/31/1998 9.82 0.06 (a) 0.09 (a) 0.15 0.00 (0.05) Emerging Markets Bond Fund Institutional Class 09/30/2000 (b) $ 8.61 $ 0.42 (a) $ 0.03 (a) $ 0.45 $ (0.42) $ 0.00 03/31/2000 7.51 0.86 (a) 1.11 (a) 1.97 (0.87) 0.00 03/31/1999 9.67 0.87 (a) (2.11)(a) (1.24) (0.87) 0.00 07/31/1997 - 03/31/1998 10.00 0.46 (a) (0.18)(a) 0.28 (0.46) 0.00 Administrative Class 09/30/2000 (b) 8.61 0.40 (a) 0.04 (a) 0.44 (0.41) 0.00 03/31/2000 7.51 0.83 (a) 1.12 (a) 1.95 (0.85) 0.00 09/30/1998 - 03/31/1999 6.82 0.45 (a) 0.74 (a) 1.19 (0.45) 0.00
+ Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) Unaudited (c) Ratio of expenses to average net assets excluding interest expense is 0.75%. (d) Ratio of expenses to average net assets excluding interest expense is 0.55%. (e) Ratio of expenses to average net assets excluding interest expense is 0.80%. (f) Ratio of expenses to average net assets excluding interest expense is 0.50%. 38 PIMCO Funds See accompanying notes
Distributions Distributions Ratio of from Net in Excess of Net Tax Basis Net Asset Expenses to Realized Realized Capital Return of Total Value End Net Assets End Average Net Capital Gains Gains Capital Distributions of Period Total Return of Period (000s) Assets ------------- ---------------- --------- ------------- --------- ------------ ---------------- ----------- $ 0.00 $ 0.00 $ 0.00 $ (0.45) $ 9.95 5.00% $ 403,549 0.53%+ (0.02) 0.00 0.00 (0.70) 9.92 8.37 207,826 0.53 0.00 0.00 0.00 (0.55) 9.83 6.41 15,588 0.52 (0.14) 0.00 0.00 (0.65) 9.77 4.70 5,526 0.52 0.00 0.00 0.00 (0.08) 9.93 0.09 5,638 0.51+ 0.00 0.00 0.00 (0.34) 9.95 3.52 12,631 0.78+ $ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 10.10 3.83% $ 441,456 0.55%+ (0.15) 0.00 0.00 (0.79) 10.03 1.96 421,831 0.69 (f) (0.10) (0.25) 0.00 (0.93) 10.63 7.92 530,325 0.50 (0.31) 0.00 0.00 (0.94) 10.74 12.64 392,198 0.50 (1.49) 0.00 0.00 (1.89) 10.41 17.69 234,880 0.50 (0.25) (0.03) 0.00 (0.87) 10.50 21.80 258,493 0.52 0.00 0.00 0.00 (0.30) 10.10 3.71 6,014 0.80+ (0.15) 0.00 0.00 (0.76) 10.03 1.70 4,824 0.97 (c) (0.10) (0.25) 0.00 (0.91) 10.63 7.65 2,096 0.75 (0.31) 0.00 0.00 (0.91) 10.74 12.34 315 0.75 0.00 0.00 0.00 (0.05) 10.41 (0.72) 30 0.79+ $ 0.00 $ 0.00 $ 0.00 $ (0.26) $ 8.61 (1.58)% $ 317,146 0.57%+ 0.00 0.00 (0.05) (0.57) 9.01 (1.81) 271,538 0.71 (d) (0.08) 0.00 0.00 (0.60) 9.76 6.90 266,984 0.55 0.00 (0.19) 0.00 (0.72) 9.70 5.85 256,274 0.55 (0.44) 0.00 0.00 (0.88) 9.86 6.78 215,631 0.56 (0.21) (0.17) 0.00 (0.99) 10.05 12.04 133,833 0.58 0.00 0.00 0.00 (0.25) 8.61 (1.71) 2,343 0.82+ 0.00 0.00 (0.05) (0.55) 9.01 (2.05) 2,238 0.92 (e) (0.08) 0.00 0.00 (0.59) 9.76 6.78 1,326 0.80 0.00 (0.19) 0.00 (0.70) 9.70 5.57 1,548 0.80 (0.44) 0.00 0.00 (0.70) 9.86 2.97 346 0.78+ $ 0.00 $ 0.00 $ 0.00 $ (0.30) $ 9.48 4.00% $ 61,299 0.55%+ (0.02) 0.00 0.00 (0.58) 9.41 1.11 84,926 0.61 (d) (0.01) (0.08) 0.00 (0.61) 9.89 6.06 29,044 0.55 0.00 0.00 0.00 (0.05) 9.92 1.02 24,517 0.55+ $ 0.00 $ 0.00 $ 0.00 $ (0.42) $ 8.64 5.40% $ 38,302 0.85%+ 0.00 0.00 0.00 (0.87) 8.61 27.90 12,614 0.89 0.00 (0.05) 0.00 (0.92) 7.51 (12.55) 3,641 0.85 (0.15) 0.00 0.00 (0.61) 9.67 3.10 3,676 0.86+ 0.00 0.00 0.00 (0.41) 8.64 5.27 11,069 1.10+ 0.00 0.00 0.00 (0.85) 8.61 27.60 13,490 1.14 0.00 (0.05) 0.00 (0.50) 7.51 17.88 118 1.10+ Ratio of Net Investment Income (Loss) to Average Net Portfolio Assets Turnover Rate -------------- ------------- 8.60%+ 179% 6.91 253 5.18 438 4.46 967 6.54+ 160 8.34+ 179 6.23%+ 248% 6.20 330 5.39 376 6.32 280 7.88 984 5.83 1234 5.94+ 248 6.01 330 5.13 376 6.07 280 7.63+ 984 5.96%+ 217% 6.12 301 5.35 143 6.64 389 7.51 911 5.88 1083 5.61+ 217 5.91 301 5.21 143 6.39 389 5.66+ 911 6.29%+ 209% 5.92 290 5.29 236 6.24+ 369 9.85%+ 377% 10.69 328 11.08 315 7.21+ 695 9.43+ 377 10.30 328 6.24+ 315
2000 Semi-Annual Report See accompanying notes 39
Financial Highlights - Institutional Classes (Cont.) Net Asset Net Realized/ Total Dividends Dividends in Value Unrealized Income from from Net Excess of Net Beginning Net Investment Gain (Loss)on Investment Investment Investment Selected Per Share Data for the Year or Period of Period Income (Loss) Investments Operations Income Income Ended: --------- -------------- ------------- ----------- ---------- ------------- Strategic Balanced Fund Institutional Class 09/30/2000 (b) $ 12.80 $ 0.33 (a) $(0.44)(a) $ (0.11) $ (0.43) $ 0.00 03/31/2000 12.76 0.80 (a) 0.44 (a) 1.24 (0.74) 0.00 03/31/1999 12.60 0.89 (a) 0.60 (a) 1.49 (0.66) 0.00 03/31/1998 10.32 1.30 (a) 2.05 (a) 3.35 (0.84) 0.00 06/28/1996 - 03/31/1997 10.00 0.85 0.31 1.16 (0.63) 0.00 Administrative Class 09/30/2000 (b) 12.79 0.31 (a) (0.42)(a) (0.11) (0.42) 0.00 06/30/1999 - 03/31/2000 13.17 0.62 (a) 0.07 (a) 0.69 (0.61) 0.00 Convertible Fund Institutional Class 09/30/2000 (b) $ 15.77 $ 0.00 (a) $(0.32)(a) $ (0.32) $ (0.12) $ 0.00 03/31/2000 10.00 0.07 (a) 5.97 (a) 6.04 (0.03) (0.15) Administrative Class 08/01/2000 - 09/30/2000 (b) 14.49 (0.01) (a) 0.95 (a) 0.94 (0.10) 0.00 StocksPLUS Fund Institutional Class 09/30/2000 (b) $ 14.15 $ 0.23 (a) $ (0.68)(a) $ (0.45) $ (0.26) $ 0.00 03/31/2000 14.32 1.08 (a) 1.33 (a) 2.41 (1.10) 0.00 03/31/1999 14.09 0.97 (a) 1.32 (a) 2.29 (0.82) 0.00 03/31/1998 11.46 1.90 (a) 3.23 (a) 5.13 (1.41) 0.00 03/31/1997 11.16 1.27 0.82 2.09 (1.27) 0.00 03/31/1996 10.48 0.91 2.48 3.39 (1.05) 0.00 Administrative Class 09/30/2000 (b) 14.03 0.22 (a) (0.68)(a) (0.46) (0.25) 0.00 03/31/2000 14.25 1.10 (a) 1.23 (a) 2.33 (1.07) 0.00 03/31/1999 14.06 1.10 (a) 1.13 (a) 2.23 (0.80) 0.00 03/31/1998 11.46 1.89 (a) 3.19 (a) 5.08 (1.39) 0.00 01/07/1997 - 03/31/1997 11.56 0.14 (0.09) 0.05 (0.15) 0.00 Municipal Bond Fund Institutional Class 09/30/2000 (b) $ 9.47 $ 0.24 (a) $ 0.15 (a) $ 0.39 $ (0.24) $ 0.00 03/31/2000 10.12 0.46 (a) (0.65)(a) (0.19) (0.46) 0.00 03/31/1999 9.97 0.45 (a) 0.14 (a) 0.59 (0.44) 0.00 12/31/1997 - 03/31/1998 10.00 0.11 (a) (0.03)(a) 0.08 (0.11) 0.00 Administrative Class 09/30/2000 (b) 9.47 0.23 (a) 0.15 (a) 0.38 (0.23) 0.00 03/31/2000 10.12 0.44 (a) (0.65)(a) (0.21) (0.44) 0.00 09/30/1998 - 03/31/1999 10.25 0.21 (0.13) 0.08 (0.21) 0.00 Short Duration Municipal Income Fund Institutional Class 09/30/2000 (b) $ 9.99 $ 0.21 (a) $ 0.05 (a) $ 0.26 $ (0.21) $ 0.00 08/31/1999 - 03/31/2000 10.00 0.23 (a) (0.01)(a) 0.22 (0.23) 0.00 California Intermediate Municipal Bond Fund Institutional Class 09/30/2000 (b) $ 10.05 $ 0.22 (a) $ 0.24 (a) $ 0.46 $ (0.22) $ 0.00 08/31/1999 - 03/31/2000 10.00 0.25 (a) 0.06 (a) 0.31 (0.24) 0.00 Administrative Class 09/30/2000 (b) 10.05 0.21 (a) 0.24 (a) 0.45 (0.21) 0.00 09/07/1999 - 03/31/2000 10.02 0.22 (a) 0.05 (a) 0.27 (0.22) 0.00 California Municipal Bond Fund Institutional Class 05/16/2000 - 09/30/2000 (b) $ 10.00 $ 0.18 (a) $ 0.40 (a) $ 0.58 $ (0.20) $ 0.00 New York Municipal Bond Fund Institutional Class 09/30/2000 (b) $ 9.94 $ 0.22 (a) $ 0.27 (a) $ 0.49 $ (0.22) $ 0.00 08/31/1999 - 03/31/2000 10.00 0.23 (a) (0.04)(a) 0.19 (0.23) 0.00
+ Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) Unaudtied 40 PIMCO Funds See accompanying notes
Distributions Distributions Ratio of from Net in Excess of Net Tax Basis Net Asset Expenses to Realized Realized Capital Return of Total Value End Net Assets End Average Net Capital Gains Gains Capital Distributions of Period Total Return of Period (000s) Assets ------------- ---------------- --------- ------------- --------- ------------ ---------------- ------------ $ 0.00 $ 0.00 $ 0.00 $ (0.43) $ 12.26 (0.86)% $ 51,699 0.66%+ (0.15) (0.31) 0.00 (1.20) 12.80 10.05 124,934 0.65 (0.67) 0.00 0.00 (1.33) 12.76 12.36 97,945 0.65 (0.23) 0.00 0.00 (1.07) 12.60 33.40 38,806 0.65 (0.21) 0.00 0.00 (0.84) 10.32 11.83 10,360 0.90+ 0.00 0.00 0.00 (0.42) 12.26 (0.85) 558 0.91+ (0.15) (0.31) 0.00 (1.07) 12.79 5.47 709 0.90+ $ 0.00 $ 0.00 $ 0.00 $ (0.12) $ 15.33 (2.00)% $ 132,559 0.68%+ (0.09) 0.00 0.00 (0.27) 15.77 60.66 168,224 0.65 (g) 0.00 0.00 0.00 (0.10) 15.33 6.47 434 0.93+ $ 0.00 $ 0.00 $ 0.00 $ (0.26) $ 13.44 (3.16)% $ 633,919 0.65%+ (0.97) (0.51) 0.00 (2.58) 14.15 17.82 620,144 0.65 (1.24) 0.00 0.00 (2.06) 14.32 17.65 512,953 0.65 (1.09) 0.00 0.00 (2.50) 14.09 47.75 416,600 0.65 (0.52) 0.00 0.00 (1.79) 11.46 19.44 235,829 0.65 (1.62) (0.04) 0.00 (2.71) 11.16 34.07 151,869 0.70 0.00 0.00 0.00 (0.25) 13.32 (3.29) 37,866 0.90+ (0.97) (0.51) 0.00 (2.55) 14.03 17.31 28,403 0.90 (1.24) 0.00 0.00 (2.04) 14.25 17.21 11,302 0.90 (1.09) 0.00 0.00 (2.48) 14.06 47.19 2,143 0.90 0.00 0.00 0.00 (0.15) 11.46 0.34 682 0.95+ $ 0.00 $ 0.00 $ 0.00 $ (0.24) $ 9.62 4.16% $ 11,719 0.50%+ 0.00 0.00 0.00 (0.46) 9.47 (1.81) 5,684 0.50 0.00 0.00 0.00 (0.44) 10.12 6.04 5,894 0.50 0.00 0.00 0.00 (0.11) 9.97 0.78 3,023 0.50+ 0.00 0.00 0.00 (0.23) 9.62 4.03 4,534 0.75+ 0.00 0.00 0.00 (0.44) 9.47 (2.07) 3,141 0.75 0.00 0.00 0.00 (0.21) 10.12 0.83 1,419 0.75+ $ 0.00 $ 0.00 $ 0.00 $ (0.21) $ 10.04 2.65% $ 13,149 0.39%+ 0.00 0.00 (0.43) (0.23) 9.99 2.19 10,725 0.39+ (c) $ 0.00 $ 0.00 $ 0.00 $ (0.22) $ 10.29 4.66% $ 67,923 0.49%+ (0.02) 0.00 0.00 (0.26) 10.05 3.16 8,415 0.49+ (d) 0.00 0.00 0.00 (0.21) 10.29 4.54 1,627 0.74+ (0.02) 0.00 0.00 (0.24) 10.05 2.73 10 0.75+ (e) $ 0.00 $ 0.00 $ 0.00 $ (0.20) $ 10.38 5.77% $ 9,108 0.49%+ $ 0.00 $ 0.00 $ 0.00 $ (0.22) $ 10.21 4.96% $ 3,211 0.49%+ (0.02) 0.00 (0.21) (0.25) 9.94 1.93 3,058 0.49+ (f) Ratio of Net Investment Income (Loss) to Average Net Portfolio Assets Turnover Rate -------------- ------------- 5.24%+ 543% 6.19 176 7.00 82 10.84 56 9.72+ 95 4.99+ 543 6.48+ 176 0.03%+ 100% 0.50 247 (0.53)+ 100 3.32%+ 42% 7.42 92 6.92 81 13.74 30 11.78 47 15.23 102 3.21+ 42 7.61 92 7.83 81 13.49 30 4.83+ 47 5.06%+ 150% 4.80 145 4.41 70 4.46+ 60 4.77+ 150 4.58 145 2.11+ 70 4.26%+ 71% 3.92+ 171 4.31%+ 194% 4.22+ 357 4.04+ 194 3.95+ 357 4.75%+ 286% 4.30%+ 623% 4.00+ 270
(c)Ratio of expenses to average net assets excluding interest expense is 0.62%. (d)Ratio of expenses to average net assets excluding interest expense is 1.02%. (e)Ratio of expenses to average net assets excluding interest expense is 1.01%. (f)Ratio of expenses to average net assets excluding interest expense is 1.30%. (g)Ratio of expenses to average net assets excluding interest expense is 0.69%. 2000 Semi-Annual Report See accompanying notes 41 Statements of Assets and Liabilities September 30, 2000 (Unaudited)
Total Total Total Moderate Low Amounts in thousands, except per share amounts Return Fund Return Fund II Return Fund III Duration Fund Duration Fund ------------ -------------- --------------- ------------- ------------- Assets: Investments, at value $ 54,049,779 $ 2,330,433 $ 1,330,576 $ 544,684 $ 5,309,953 Cash and foreign currency 10,032 353 10,728 1,520 0 Receivable for investments sold and forward foreign currency contracts 644,787 25,579 90,365 49,923 229,584 Receivable for Fund shares sold 192,212 1,670 113 1,543 14,212 Interest and dividends receivable 433,213 14,650 11,672 4,964 64,423 Variation margin receivable 7,095 0 0 75 261 Manager reimbursement receivable 0 0 0 0 0 Other assets 0 138 0 0 961 55,337,118 2,372,823 1,443,454 602,709 5,619,394 ------------ ----------- ------------ ----------- -------------- Liabilities: Payable for investments purchased and forward foreign currency contracts $ 14,893,787 $ 745,340 $ 513,684 $ 111,126 $ 932,447 Payable for financing transactions 4,370,371 43,503 106,502 35,342 415,375 Notes payable 181,070 0 52 35 28,531 Written options outstanding 35,447 1,015 987 115 1,370 Payable for Fund shares redeemed 237,276 25,280 124 11,219 18,548 Dividends payable 39,459 1,698 379 85 3,433 Accrued investment advisory fee 7,463 333 169 99 906 Accrued administration fee 6,068 333 169 80 733 Accrued distribution fee 1,652 12 2 0 116 Accrued servicing fee 808 0 0 0 94 Variation margin payable 0 53 119 0 0 Other liabilities 15,002 0 1,340 115 333 19,788,403 817,567 623,527 158,216 1,401,886 ------------ ----------- ------------ ----------- -------------- Net Assets $ 35,548,715 $ 1,555,256 $ 819,927 $ 444,493 $ 4,217,508 ------------ ----------- ------------ ----------- -------------- Net Assets Consist of: Paid in capital $ 36,552,222 $ 1,590,147 $ 852,888 $ 454,796 $ 4,317,927 Undistributed (overdistributed) net investment income (52,845) (858) (763) (189) (8,388) Accumulated undistributed net realized gain (loss) (641,460) (29,613) (25,267) (9,840) (59,730) Net unrealized appreciation (depreciation) (309,202) (4,420) (6,931) (274) (32,301) $ 35,548,715 $ 1,555,256 $ 819,927 $ 444,493 $ 4,217,508 ------------ ----------- ------------ ----------- -------------- Net Assets: Institutional Class $ 27,871,145 $ 1,512,326 $ 809,356 $ 444,493 $ 3,634,307 Administrative Class 3,808,824 42,930 10,571 0 135,230 Other Classes 3,868,746 0 0 0 447,971 ------------ ----------- ------------ ----------- -------------- Shares Issued and Outstanding: Institutional Class 2,760,532 153,981 91,909 45,841 368,532 Administrative Class 377,249 4,371 1,200 0 13,713 ------------ ----------- ------------ ----------- -------------- Net Asset Value and Redemption Price Per Share (Net Assets Per Share Outstanding) Institutional Class $ 10.09 $ 9.82 $ 8.82 $ 9.70 $ 9.86 Administrative Class 10.09 9.82 8.82 0.00 9.86 ------------ ----------- ------------ ----------- -------------- Cost of Investments Owned $ 54,354,587 $ 2,333,523 $ 1,336,225 $ 545,303 $ 5,347,094 ------------ ----------- ------------ ----------- -------------- Cost of Foreign Currency Held $ 55,419 $ 0 $ 10,504 $ 1,470 $ 5,462 ------------ ----------- ------------ ----------- --------------
42 PIMCO Funds See accompanying notes
Investment Low Low Long-Term Grade Duration Duration Short-Term Money U.S. Gov't Corporate High Yield Total Return Fund II Fund III Fund Market Fund Fund Bond Fund Fund Mortgage Fund GNMA Fund ------------ ----------- ------------ ----------- ------------ ---------- ------------ ------------- ------------ $ 857,465 $ 46,015 $ 855,837 $ 344,932 $ 652,870 $ 5,201 $ 3,037,644 $ 23,894 $ 8,151 0 37 0 317 2,937 0 3,666 0 1 37,701 3,365 78,809 0 701,943 208 28,459 4,985 1 126 0 1,082 10,394 1,304 0 4,419 0 39 6,656 474 9,110 730 10,394 104 62,330 80 58 0 2 0 0 56 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 56 0 1,065 0 0 1 1 901,948 49,893 944,894 356,373 1,370,569 5,514 3,136,518 28,960 8,251 ------------ ----------- ------------ ----------- ------------ ---------- ------------ -------------- ------------ $ 193,484 $ 12,490 $ 41,828 $ 0 $ 493,430 $ 212 $ 66,227 $ 12,541 $ 148 4,346 632 138,588 0 505,316 0 0 0 109 0 0 63,033 0 0 0 0 0 0 83 7 36 0 1 0 0 0 0 230 0 5,949 892 554 0 3,732 65 0 282 0 1,020 34 406 0 4,816 0 0 143 8 148 47 78 1 659 4 2 143 8 132 81 92 1 767 4 2 0 0 10 16 44 0 485 0 0 0 0 24 15 23 0 181 0 0 0 0 0 0 0 0 0 0 0 0 0 3,227 0 397 0 127 0 0 198,711 13,145 253,995 1,085 1,000,341 214 76,994 12,614 261 ------------ ----------- ------------ ----------- ------------ ---------- ------------ -------------- ------------ $ 703,237 $ 36,748 $ 690,899 $ 355,288 $ 370,228 $ 5,300 $ 3,059,524 $ 16,346 $ 7,990 ------------ ----------- ------------ ----------- ------------ ---------- ------------ -------------- ------------ $ 710,569 $ 37,381 $ 693,777 $ 355,274 $ 393,575 $ 5,166 $ 3,505,695 $ 15,834 $ 7,977 (435) (29) 413 14 15 0 (2,104) 4 39 (6,803) (671) (1,905) 0 (21,583) 21 (214,136) 324 3 (94) 67 (1,386) 0 (1,779) 113 (229,931) 184 (29) $ 703,237 $ 36,748 $ 690,899 $ 355,288 $ 370,228 $ 5,300 $ 3,059,524 $ 16,346 $ 7,990 ------------ ----------- ------------ ----------- ------------ ---------- ------------ -------------- ------------ $ 703,205 $ 36,738 $ 574,392 $ 198,757 $ 223,420 $ 5,300 $ 1,787,988 $ 15,888 $ 7,990 32 10 4,054 8,518 41,901 0 427,739 0 0 0 0 112,453 148,013 104,907 0 843,797 458 0 ------------ ----------- ------------ ----------- ------------ ---------- ------------ -------------- ------------ 71,906 3,763 57,586 198,760 22,500 516 176,740 1,560 806 3 1 406 8,518 4,165 0 42,281 0 0 ------------ ----------- ------------ ----------- ------------ ---------- ------------ -------------- ------------ $ 9.78 $ 9.76 $ 9.97 $ 1.00 $ 9.95 $ 10.26 $ 10.12 $ 10.18 $ 9.92 9.78 9.76 9.97 1.00 9.95 0.00 10.12 0 0.00 ------------ ----------- ------------ ----------- ------------ ---------- ------------ -------------- ------------ $ 857,725 $ 45,986 $ 857,422 $ 344,932 $ 655,397 $ 5,072 $ 3,267,577 $ 23,710 $ 8,181 ------------ ----------- ------------ ----------- ------------ ---------- ------------ -------------- ------------ $ 0 $ 35 $ 221 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0 ------------ ----------- ------------ ----------- ------------ ---------- ------------ -------------- ------------
Statements of Assets and Liabilities (Cont.) September 30, 2000 (Unaudited)
Real Return Foreign Global Global Amounts in thousands, except per share amounts Bond Fund Bond Fund Bond Fund Bond Fund II ----------- ------------ ----------- ------------- Assets: Investments, at value $ 1,117,767 $ 1,057,286 $ 566,504 $ 139,326 Cash and foreign currency 900 17,587 9,617 1,283 Receivable for investments sold and forward foreign currency contracts 40,080 102,376 16,392 5,033 Receivable for Fund shares sold 7,253 1,104 0 132 Interest and dividends receivable 10,330 11,017 5,637 1,364 Variation margin receivable 37 384 44 27 Manager reimbursement receivable 0 0 0 0 Other assets 893 83 97 0 1,177,260 1,189,837 598,291 147,165 ----------- ------------ ----------- ------------- Liabilities: Payable for investments purchased and forward foreign currency contracts $ 48,227 $ 345,681 $ 145,891 $ 37,957 Payable for financing transactions 589,821 256,309 126,309 36,599 Notes payable 0 0 0 0 Written options outstanding 0 1,096 509 89 Payable for Fund shares redeemed 591 889 5,073 174 Dividends payable 379 397 614 38 Accrued investment advisory fee 112 122 63 15 Accrued administration fee 127 145 76 20 Accrued distribution fee 28 37 0 6 Accrued servicing fee 25 29 0 2 Variation margin payable 0 0 0 0 Other liabilities 5 63 267 20 639,315 604,768 278,802 74,920 ----------- ------------ ----------- ------------- Net Assets $ 537,945 $ 585,069 $ 319,489 $ 72,245 ----------- ------------ ----------- ------------- Net Assets Consist of: Paid in capital $ 531,114 $ 605,430 $ 362,525 $ 73,931 Undistributed (overdistributed) net investment income 925 15,404 (9,670) 939 Accumulated undistributed net realized gain (loss) 2,876 (7,166) (16,270) 430 Net unrealized appreciation (depreciation) 3,030 (28,599) (17,096) (3,055) $ 537,945 $ 585,069 $ 319,489 $ 72,245 ----------- ------------ ----------- ------------- Net Assets: Institutional Class $ 403,549 $ 441,456 $ 317,146 $ 61,299 Administrative Class 12,631 6,014 2,343 0 Other Classes 121,765 137,599 0 10,946 ----------- ------------ ----------- ------------- Shares Issued and Outstanding: Institutional Class 40,776 43,708 36,820 6,464 Administrative Class 1,275 595 271 0 ----------- ------------ ----------- ------------- Net Asset Value and Redemption Per Share Price (Net Assets Per Share Outstanding) Institutional Class $ 9.95 $ 10.10 $ 8.61 $ 9.48 Administrative Class 9.95 10.10 8.61 0 ----------- ------------ ----------- ------------- Cost of Investments Owned $ 1,114,720 $ 1,092,108 $ 583,401 $ 142,734 ----------- ------------ ----------- ------------- Cost of Foreign Currency Held $ 464 $ 17,695 $ 9,394 $ 1,438 ----------- ------------ ----------- -------------
44 PIMCO Funds See accompanying notes
California Emerging Short Duration Intermediate California New York Markets Strategic Convertible StocksPLUS Municipal Municipal Municipal Municipal Municipal Bond Fund Balanced Fund Fund Fund Bond Fund Income Fund Bond Fund Bond Fund Bond Fund ---------- ------------- ----------- ------------ ---------- -------------- ------------ ---------- ------------ $ 58,286 $ 76,485 $ 164,640 $ 1,568,989 $ 54,626 $ 12,954 $ 100,517 $ 8,991 $ 3,175 82 3,802 23 61,383 15 2 3 2 1 2,320 124,664 2,707 3,926 934 0 0 0 2,802 35 211 298 1,504 88 0 20 0 0 1,249 80 536 0 783 194 1,374 139 38 0 1 0 0 0 0 0 0 0 0 0 14 0 0 14 14 0 14 1 0 0 0 0 0 3 0 0 61,973 205,243 168,218 1,635,802 56,446 13,164 101,931 9,132 6,030 ---------- ------------- ----------- ------------ ---------- -------------- ------------ ---------- ------------ $ 2,399 $ 124,516 $ 8,370 $ 174,328 $ 0 $ 0 $ 1,387 $ 0 $ 2,796 7,888 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 2,266 0 0 0 0 0 15 44 1 3,452 78 0 0 0 0 28 0 67 0 67 1 0 0 0 20 25 53 489 12 2 21 2 1 18 22 37 407 16 2 23 2 1 3 15 12 352 16 0 0 0 0 1 6 5 169 9 0 7 0 0 0 0 0 17,981 0 0 0 0 0 22 0 0 3,027 0 0 2 0 0 10,394 124,628 8,545 202,471 198 5 1,440 4 2,798 ---------- ------------- ----------- ------------ ---------- -------------- ------------ ---------- ------------ $ 51,579 $ 80,615 $ 159,673 $ 1,433,331 $ 56,248 $ 13,159 $ 100,491 $ 9,128 $ 3,232 ---------- ------------- ----------- ------------ ---------- -------------- ------------ ---------- ------------ $ 48,203 $ 81,117 $ 132,006 $ 1,424,354 $ 56,254 $ 13,098 $ 97,705 $ 8,536 $ 3,164 859 1,892 4,294 35,165 7 3 (37) 0 0 1,137 (1,808) (1,602) 40,145 (583) (5) 331 368 25 1,380 (586) 24,975 (66,333) 570 63 2,492 224 43 $ 51,579 $ 80,615 $ 159,673 $ 1,433,331 $ 56,248 $ 13,159 $ 100,491 $ 9,128 $ 3,232 $ 38,302 $ 51,699 $ 132,559 $ 633,919 $ 11,719 $ 13,149 $ 67,923 $ 9,108 $ 3,211 11,069 558 434 37,866 4,534 0 1,627 0 0 2,208 28,358 26,680 761,546 39,995 10 30,941 20 21 4,431 4,216 8,646 47,149 1,218 1,309 6,602 878 314 1,280 46 28 2,842 471 0 158 0 0 $ 8.64 $ 12.26 $ 15.33 $ 13.44 $ 9.62 $ 10.04 $ 10.29 $ 10.38 $ 10.21 8.64 12.26 15.33 13.32 9.62 0 10.29 0.00 0.00 $ 56,836 $ 77,215 $ 139,705 $ 1,573,217 $ 54,056 $ 12,900 $ 98,049 $ 8,772 $ 3,133 ---------- ------------- ----------- ------------ ---------- -------------- ------------ ---------- ------------ $ 0 $ 617 $ 20 $ 6,153 $ 0 $ 0 $ 0 $ 0 $ 0 ---------- ------------- ----------- ------------ ---------- -------------- ----------- ---------- ------------
2000 Semi-Annual Report See accompanying notes 45 Statements of Operations For the period ended September 30, 2000 (Unaudited)
Total Total Total Moderate Low Amounts in thousands Return Fund Return Fund II Return Fund III Duration Fund Duration Fund ----------- -------------- --------------- ------------- ------------- Investment Income: Interest $ 1,179,263 $ 50,297 $ 25,724 $ 15,421 $ 150,219 Dividends, net of foreign taxes 20,491 2 161 142 3,725 Miscellaneous income 245 0 1 0 0 Total Income 1,199,999 50,299 25,886 15,563 153,944 ----------- -------------- --------------- ------------- ------------- Expenses: Investment advisory fees 41,399 1,828 911 551 5,211 Administration fees 33,656 1,828 911 441 4,224 Distribution and/or servicing fees - Administrative Class 3,731 74 13 0 166 Distribution and/or servicing fees - Other Classes 10,336 0 0 0 1,098 Trustees' fees 58 3 1 1 7 Organization costs 0 0 0 0 0 Interest expense 9,703 38 0 2 253 Miscellaneous expense 0 0 1 0 0 Total Expenses 98,883 3,771 1,837 995 10,959 Recoupment of reimbursement 0 0 0 0 0 Net Expenses 98,883 3,771 1,837 995 10,959 Net Investment Income 1,101,116 46,528 24,049 14,568 142,985 ----------- -------------- --------------- ------------- ------------- Net Realized and Unrealized Gain (Loss): Net realized gain (loss) on investments 345,059 15,130 5,130 2,646 (915) Net realized gain (loss) on futures contracts and written options 85,018 5,502 1,498 2,545 (2,880) Net realized gain (loss) on foreign currency transactions (13,781) 0 (759) (286) 136 Net change in unrealized appreciation (depreciation) on investments 69,578 5,966 3,550 3,991 19,415 Net change in unrealized appreciation (depreciation) on futures contracts and written options (19,306) (3,663) (1,932) (1,231) 6,013 Net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in (3,140) 0 (405) 483 2,913 foreign currencies Net Gain (Loss) 463,428 22,935 7,082 8,148 24,682 Net Increase in Assets Resulting from Operations $ 1,564,544 $ 69,463 $ 31,131 $ 22,716 $ 167,667 ----------- -------------- --------------- ------------- -------------
46 PIMCO Funds See accompanying notes
Investment Low Low Long-Term Grade Duration Duration Short-Term Money U.S. Gov't Corporate High Total Return Fund II Fund III Fund Market Fund Fund Bond Fund Yield Fund Mortgage Fund GNMA Fund ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- $ 18,766 $ 1,400 $ 25,753 $ 14,274 $ 11,934 $ 177 $ 141,093 $ 404 $ 229 110 0 0 0 0 0 4,590 0 0 1 0 6 0 0 0 10 0 0 18,877 1,400 25,759 14,274 11,934 177 145,693 404 229 689 48 887 333 436 5 3,839 15 8 689 48 793 589 511 5 4,423 15 8 0 0 12 12 49 0 488 0 0 0 0 194 199 332 0 3,404 0 0 1 0 1 1 1 0 5 0 0 0 0 0 0 0 0 0 0 0 0 0 1,367 19 3 0 3 0 0 0 0 1 0 0 0 0 0 0 1,379 96 3,255 1,153 1,332 10 12,162 30 16 0 0 0 0 0 0 0 0 0 1,379 96 3,255 1,153 1,332 10 12,162 30 16 17,498 1,304 22,504 13,121 10,602 167 133,531 374 213 ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- 589 11 86 0 13,002 (7) (81,413) 330 10 (118) 8 (145) 0 (2,359) 34 0 5 0 0 (25) 59 0 0 (6) 0 0 0 5,009 363 1,572 0 (6,804) 130 47,280 208 57 377 30 15 0 1,499 (13) 0 (3) 0 0 23 387 0 0 (4) 0 0 0 5,857 410 1,974 0 5,338 134 (34,133) 540 67 $ 23,355 $ 1,714 $ 24,478 $ 13,121 $ 15,940 $ 301 $ 99,398 $ 914 $ 280 ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
2000 Semi-Annual Report See accompanying notes 47 Statements of Operations (Cont.) For the period ended September 30, 2000 (Unaudited)
Real Return Foreign Global Global Amounts in thousands Bond Fund Bond Fund Bond Fund Bond Fund II ------------ ------------ ------------ ------------ Investment Income: Interest $ 19,079 $ 18,745 $ 8,531 $ 2,770 Dividends, net of foreign taxes 0 338 90 37 Miscellaneous income 0 0 0 0 Total Income 19,079 19,083 8,621 2,807 Expenses: Investment advisory fees 516 697 326 100 Administration fees 582 824 392 128 Distribution and/or servicing fees - Administrative Class 4 7 3 0 Distribution and/or servicing fees - Other Classes 233 364 0 48 Trustees' fees 1 1 0 0 Organization costs 1 0 0 0 Interest expense 74 170 27 1 Miscellaneous expense 0 0 0 0 Total Expenses 1,411 2,063 748 277 Recoupment of reimbursement 0 0 0 0 Net Expenses 1,411 2,063 748 277 Net Investment Income (Loss) 17,668 17,020 7,873 2,530 ------------ ------------ ------------ ------------ Net Realized and Unrealized Gain (Loss): Net realized gain (loss) on investments 2,525 5,411 1,794 633 Net realized gain (loss) on futures contracts and written options 341 (5,694) 825 469 Net realized gain (loss) on foreign currency transactions 870 3,413 (6,690) 1,351 Net change in unrealized appreciation (depreciation) on investments (1,041) (2,220) (7,595) (1,813) Net change in unrealized appreciation (depreciation) on futures contracts and written options 319 (1,986) (995) (580) Net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies 147 4,809 (778) 358 Net Gain (Loss) 3,161 3,733 (13,439) 418 Net Increase (Decrease) in Assets Resulting from Operations $ 20,829 $ 20,753 $ (5,566) $ 2,948 ------------ ------------ ------------ ------------
48 PIMCO Funds See accompanying notes
California Emerging Short Duration Intermediate California New York Markets Strategic Convertible StocksPLUS Municipal Municipal Municipal Municipal Municipal Bond Fund Balanced Fund Fund Fund Bond Fund Income Fund Bond Fund Bond Fund Bond Fund ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- $ 2,293 $ 3,241 $ 0 $ 28,530 $ 1,551 $ 288 $ 1,755 $ 218 $ 75 1 63 826 807 0 0 0 0 0 0 0 0 18 0 0 0 0 0 2,294 3,304 826 29,355 1,551 288 1,755 218 75 96 217 302 2,889 70 12 92 10 4 87 158 204 2,417 90 12 101 10 4 14 1 0 41 5 0 2 0 0 11 124 82 3,096 142 0 27 0 0 0 0 0 3 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 16 34 1 0 0 0 0 0 0 0 281 0 0 0 0 0 0 209 516 903 8,447 307 24 222 20 8 0 0 4 0 0 0 2 0 0 209 516 907 8,447 307 24 224 20 8 2,085 2,788 (81) 20,908 1,244 264 1,531 198 67 ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- 1,381 (1,173) (2,169) (310) 478 20 476 433 27 0 3,916 0 78,988 (136) 0 (133) (65) 8 (77) (1,029) 148 3,591 0 0 0 0 0 8 849 (3,085) (35) 710 57 2,420 224 51 0 (6,478) 0 (154,518) 0 0 0 0 0 (66) 117 94 524 0 0 0 0 0 1,246 (3,798) (5,012) (71,760) 1,052 77 2,763 592 86 $ 3,331 $ (1,010) $ (5,093) $ (50,852) $ 2,296 $ 341 $ 4,294 $ 790 $ 153 ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
2000 Semi-Annual Report See accompanying notes 49 Statements of Changes in Net Assets
Amounts in thousands Total Return Fund Total Return Fund II Total Return Fund III ------------------------------ ------------------------------ ------------------------------ Increase (Decrease) in Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended Net Assets from: September 30, March 31, September 30, March 31, September 30, March 31, 2000 2000 2000 2000 2000 2000 (Unaudited) (Unaudited) (Unaudited) Operations: Net investment income $ 1,101,116 $ 1,778,306 $ 46,528 $ 70,516 $ 24,049 $ 35,645 Net realized gain (loss) 416,296 (847,388) 20,632 (42,778) 5,869 (23,356) Net change in unrealized appreciation (depreciation) 47,132 (242,138) 2,303 (7,102) 1,213 (8,493) Net increase resulting from operations 1,564,544 688,780 69,463 20,636 31,131 3,796 ------------------------------ ------------------------------ ------------------------------ Distributions to Shareholders: From net investment income Institutional Class (876,706) (1,382,515) (44,733) (67,517) (24,018) (34,948) Administrative Class (112,911) (158,773) (1,814) (2,814) 0 (210) Other Classes (106,450) (159,950) 0 0 0 0 In excess of net investment income Institutional Class 0 (59,361) 0 (172) 0 (514) Administrative Class 0 (6,817) 0 (7) 0 (3) Other Classes 0 (6,868) 0 0 0 0 Total Distributions (1,096,067) (1,774,284) (46,547) (70,510) (24,018) (35,675) ------------------------------ ------------------------------ ------------------------------ Fund Share Transactions: Receipts for shares sold Institutional Class 5,002,226 9,137,242 328,206 653,040 173,762 246,232 Administrative Class 830,924 2,193,159 15,806 31,950 101 8,282 Other Classes 889,558 2,171,970 0 0 0 0 Issued as reinvestment of distributions Institutional Class 724,490 1,172,270 35,067 55,668 21,575 32,584 Administrative Class 85,971 113,239 1,810 2,786 314 195 Other Classes 52,925 128,441 0 0 0 0 Cost of shares redeemed Institutional Class (3,122,368) (6,242,527) (136,484) (384,235) (28,602) (99,748) Administrative Class (392,867) (953,360) (32,376) (30,450) (72) (40) Other Classes (526,894) (1,223,161) 0 0 0 0 Net increase (decrease) resulting from Fund share transactions 3,543,965 6,497,273 212,029 328,759 167,078 187,505 Total Increase (Decrease) in Net Assets 4,012,442 5,411,769 234,945 278,885 174,191 155,626 ------------------------------ ------------------------------ ------------------------------ Net Assets: Beginning of period 31,536,273 26,124,504 1,320,311 1,041,426 645,736 490,110 End of period * $ 35,548,715 $31,536,273 $ 1,555,256 $ 1,320,311 $ 819,927 $ 645,736 *Including net undistributed (overdistributed) investment income of: $ (52,845) $ (57,894) $ (858) $ (839) $ (763) $ (794)
50 PIMCO Funds See accompanying notes
Moderate Duration Fund Low Duration Fund Low Duration Fund II Low Duration Fund III ------------------------------ ------------------------------ ------------------------------ ------------------------------ Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended September 30, March 31, September 30, March 31, September 30, March 31, September 30, March 31, 2000 2000 2000 2000 2000 2000 2000 2000 (Unaudited) (Unaudited) (Unaudited) (Unaudited) $ 14,568 $ 21,172 $ 142,985 $ 265,005 $ 17,498 $ 27,138 $ 1,304 $ 1,716 4,905 (11,288) (3,659) (47,944) 471 (4,803) (6) (484) 3,243 (3,092) 28,341 (75,164) 5,386 (7,461) 416 (416) 22,716 6,792 167,667 141,897 23,355 14,874 1,714 816 ------------------------------ ------------------------------ ------------------------------ ------------------------------ (14,521) (20,651) (124,929) (229,827) (17,535) (26,955) (1,305) (1,701) 0 0 (4,442) (7,443) (1) (11) 0 (1) 0 0 (13,613) (23,729) 0 0 0 0 0 (532) 0 (3,479) 0 (132) 0 (13) 0 0 0 (112) 0 0 0 0 0 0 0 (359) 0 0 0 0 (14,521) (21,183) (142,984) (264,949) (17,536) (27,098) (1,305) (1,715) ------------------------------ ------------------------------ ------------------------------ ------------------------------ 104,825 200,422 1,264,527 2,852,869 327,020 136,132 8,528 12,807 0 0 39,612 87,882 30 251 0 46 0 0 155,620 534,201 0 0 0 0 14,328 20,913 107,522 199,668 16,072 25,816 1,301 1,702 0 0 4,395 7,388 1 12 0 1 0 0 9,109 18,941 0 0 0 0 (69,981) (137,218) (1,199,533) (2,872,755) (113,702) (96,194) (5,849) (7,810) 0 0 (28,501) (100,890) (71) (22,782) 0 (43) 0 0 (150,254) (485,171) 0 0 0 0 49,172 84,117 202,497 242,133 229,350 43,235 3,980 6,703 57,367 69,726 227,180 119,081 235,169 31,011 4,389 5,804 ------------------------------ ------------------------------ ------------------------------ ------------------------------ 387,126 317,400 3,990,328 3,871,247 468,068 437,057 32,359 26,555 $ 444,493 $ 387,126 $ 4,217,508 $ 3,990,328 $ 703,237 $ 468,068 $ 36,748 $ 32,359 $ (189) $ (236) $ (8,388) $ (8,390) $ (435) $ (397) $ (29) $ (28) Short-Term Fund ------------------------------ Six Months Ended Year Ended September 30, March 31, 2000 2000 (Unaudited) $ 22,504 $ 37,374 0 (1,776) 1,974 (3,309) 24,478 32,289 ------------------------------ (18,808) (31,112) (282) (342) (3,357) (5,911) 0 0 0 0 0 0 (22,447) (37,365) ------------------------------ 264,774 1,202,372 6,143 17,721 71,902 138,529 14,017 21,902 140 234 1,778 4,967 (295,264) (1,126,670) (17,394) (6,533) (66,229) (140,433) (20,133) 112,089 (18,102) 107,013 ------------------------------ 709,001 601,988 $ 690,899 $ 709,001 $ 413 $ 356
2000 Semi-Annual Report See accompanying notes 51 Statements of Changes in Net Assets (Cont.)
Investment Grade Corporate Amounts in thousands Money Market Fund Long-Term U.S. Gov't Fund Bond Fund ------------------------------- ------------------------------- -------------- Six Months Ended Year Ended Six Months Ended Year Ended Period from September 30, March 31, September 30, March 31, April 28, Increase (Decrease) in Net Assets from: 2000 2000 2000 2000 2000 to (Unaudited) (Unaudited) September 30, 2000 (Unaudited) Operations: Net investment income $ 13,121 $ 24,929 $ 10,602 $ 20,805 $ 167 Net realized gain (loss) 0 0 10,643 (25,059) 21 Net change in unrealized appreciation (depreciation) 0 0 (5,305) 7,958 113 Net increase (decrease) resulting from operations 13,121 24,929 15,940 3,704 301 ------------------------------- ------------------------------- -------------- Distributions to Shareholders: From net investment income Institutional Class (7,261) (14,268) (6,661) (13,162) (167) Administrative Class (272) (431) (1,205) (2,387) 0 Other Classes (5,594) (10,224) (2,766) (5,222) 0 In excess of net investment income Institutional Class 0 0 0 0 0 Administrative Class 0 0 0 0 0 Other Classes 0 0 0 0 0 From net realized capital gains Institutional Class 0 0 0 0 0 Administrative Class 0 0 0 0 0 Other Classes 0 0 0 0 0 In excess of net realized capital gains Institutional Class 0 0 0 0 0 Administrative Class 0 0 0 0 0 Other Classes 0 0 0 0 0 Total Distributions (13,127) (24,923) (10,632) (20,771) (167) ------------------------------- ------------------------------- -------------- Fund Share Transactions: Receipts for shares sold Institutional Class 69,548 382,805 41,611 170,823 5,000 Administrative Class 8,818 45,030 11,395 47,739 0 Other Classes 1,717,589 6,791,637 29,877 66,187 0 Issued as reinvestment of distributions Institutional Class 7,171 14,008 5,321 10,760 166 Administrative Class 269 426 1,204 2,386 0 Other Classes 3,924 6,923 1,702 3,859 0 Cost of shares redeemed Institutional Class (182,973) (414,090) (43,753) (124,451) 0 Administrative Class (10,360) (44,939) (11,446) (20,024) 0 Other Classes (1,800,215) (6,778,173) (26,238) (66,603) 0 Net increase (decrease) resulting from Fund share (186,229) 3,627 9,673 90,676 5,166 transactions Total Increase (Decrease) in Net Assets (186,235) 3,633 14,981 73,609 5,300 ------------------------------- ------------------------------- -------------- Net Assets: Beginning of period 541,523 537,890 355,247 281,638 0 End of period * $ 355,288 $ 541,523 $ 370,228 $ 355,247 $ 5,300 * Including net undistributed (overdistributed) investment income of: $ 14 $ 20 $ 15 $ 45 $ 0
52 PIMCO Funds See accompanying notes
High Yield Fund Total Return Mortgage Fund GNMA Fund Real Return Bond Fund ---------------------------- ---------------------------- ---------------------------- ------------------------------- Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended September 30, March 31, September 30, March 31, September 30, March 31, September 30, March 31, 2000 2000 2000 2000 2000 2000 2000 2000 (Unaudited) (Unaudited) (Unaudited) (Unaudited) $ 133,531 $ 296,022 $ 374 $ 238 $ 213 $ 260 $ 17,668 $ 7,689 (81,413) (70,452) 335 (6) 10 35 3,736 317 47,280 (263,887) 205 (78) 57 (86) (575) 3,722 99,398 (38,317) 914 154 280 209 20,829 11,728 ---------------------------- ---------------------------- ---------------------------- ------------------------------- (82,247) (199,017) (367) (232) (213) (260) (14,038) (5,631) (17,282) (25,769) 0 0 0 0 (152) 0 (34,115) (68,953) (7) (6) 0 0 (3,576) (1,905) 0 (1,453) 0 0 0 0 0 0 0 (188) 0 0 0 0 0 0 0 (503) 0 0 0 0 0 0 0 0 0 0 0 0 0 (226) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (67) 0 0 0 (3) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (133,644) (295,883) (374) (241) (213) (260) (17,766) (7,829) ---------------------------- ---------------------------- ---------------------------- ------------------------------- 357,174 1,221,190 12,500 51 3,497 27 225,852 197,599 91,225 255,416 0 0 0 0 15,833 0 169,763 597,715 292 176 0 0 71,429 55,389 70,251 176,340 366 235 212 261 12,140 4,405 17,253 25,317 0 0 0 0 152 0 17,035 40,061 7 5 0 0 2,363 1,416 (578,600) (1,380,777) (1,481) (342) (94) (48) (44,766) (12,861) (30,931) (135,307) 0 0 0 0 (3,373) 0 (189,793) (518,612) (15) (212) 0 0 (14,609) (8,197) (76,623) 281,343 11,669 (87) 3,615 240 265,021 237,751 (110,869) (52,857) 12,209 (174) 3,682 189 268,084 241,650 ---------------------------- ---------------------------- ---------------------------- ------------------------------- 3,170,393 3,223,250 4,137 4,311 4,308 4,119 269,861 28,211 $ 3,059,524 $3,170,393 $ 16,346 $ 4,137 $ 7,990 $ 4,308 $ 537,945 $ 269,861 $ (2,104) $ (1,991) $ 4 $ 4 $ 39 $ 39 $ 925 $ 1,023 ---------------------------- ---------------------------- ---------------------------- ------------------------------- Foreign Bond Fund ---------------------------- Six Months Ended Year Ended September 30, March 31, 2000 2000 (Unaudited) $ 17,020 $ 35,220 3,130 4,992 603 (31,738) 20,753 8,474 ---------------------------- (13,143) (29,183) (157) (256) (3,431) (5,738) 0 0 0 0 0 0 0 (3,818) 0 (40) 0 (967) 0 (2,885) 0 (31) 0 (731) (16,731) (43,649) ---------------------------- 80,970 178,740 2,506 4,784 35,734 76,013 11,333 28,907 156 324 2,777 6,155 (75,719) (286,997) (1,511) (2,130) (20,724) (45,879) 35,522 (40,083) 39,544 (75,258) ---------------------------- 545,525 620,783 $ 585,069 $ 545,525 $ 15,404 $ 15,115
2000 Semi-Annual Report See accompanying notes 53 Statements of Changes in Net Assets (Cont.)
Amounts in thousands Global Bond Fund Global Bond Fund II Emerging Markets Bond Fund ------------------------ ------------------------ -------------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended Increase (Decrease) in Net Assets from: September 30, March 31, September 30, March September March 31, 2000 2000 2000 31, 2000 30, 2000 2000 (Unaudited) (Unaudited) (Unaudited) Operations: Net investment income (loss) $ 7,873 $ 16,673 $ 2,530 $ 3,256 $ 2,085 $ 2,012 Net realized gain (loss) (4,071) (18,971) 2,453 (824) 1,304 1,254 Net change in unrealized appreciation (depreciation) (9,368) (2,619) (2,035) (803) (58) 2,001 Net increase (decrease) resulting from operations (5,566) (4,917) 2,948 1,629 3,331 5,267 ------------------------ ------------------------ -------------------------- Distributions to Shareholders: From net investment income Institutional Class (7,723) (13,418) (2,173) (2,569) (1,437) (968) Administrative Class (63) (139) 0 0 (557) (914) Other Classes 0 0 (307) (646) (94) (129) In excess of net investment income Institutional Class 0 (1,627) 0 (41) 0 0 Administrative Class 0 (17) 0 0 0 0 Other Classes 0 0 0 (11) 0 0 From net realized capital gains Institutional Class 0 0 0 0 0 0 Administrative Class 0 0 0 0 0 0 Other Classes 0 0 0 0 0 0 In excess of net realized capital gains Institutional Class 0 0 0 (95) 0 0 Administrative Class 0 0 0 0 0 0 Other Classes 0 0 0 (26) 0 0 Tax basis return of capital Institutional Class 0 (1,534) 0 0 0 0 Administrative Class 0 (16) 0 0 0 0 Other Classes 0 0 0 0 0 0 Total Distributions (7,786) (16,751) (2,480) (3,388) (2,088) (2,011) ------------------------ ------------------------ -------------------------- Fund Share Transactions: Receipts for shares sold Institutional Class 127,525 90,144 6,908 59,618 23,555 16,701 Administrative Class 1,539 7,497 0 0 378 25,789 Other Classes 0 0 754 4,394 1,404 979 Issued in reorganization Institutional Class 0 0 0 0 0 0 Other Classes 0 0 0 0 0 0 Issued as reinvestment of distributions Institutional Class 4,147 10,736 1,762 2,526 1,337 888 Administrative Class 52 172 0 0 557 915 Other Classes 0 0 233 545 39 73 Cost of shares redeemed Institutional Class (72,806) (74,885) (32,688) (5,204) (478) (9,797) Administrative Class (1,392) (6,530) 0 0 (3,300) (15,204) Other Classes 0 0 (2,241) (5,615) (1,003) (311) Net increase (decrease) resulting from Fund share 59,065 27,134 (25,272) 56,264 22,489 20,033 transactions Total Increase (Decrease) in Net Assets 45,713 5,466 (24,804) 54,505 23,732 23,289 ------------------------ ------------------------ -------------------------- Net Assets: Beginning of period 273,776 268,310 97,049 42,544 27,847 4,558 End of period * $ 319,489 $ 273,776 $ 72,245 $ 97,049 $ 51,579 $ 27,847 * Including net undistributed (overdistributed) $ (9,670) $ (9,757) $ 939 $ 889 $ 859 $ 862 investment income of:
54 PIMCO Funds See accompanying notes
Strategic Balanced Fund Convertible Fund StockPLUS Fund Municipal Bond Fund --------------------------- ----------------------- ------------------------- ------------------------- Six Months Year Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended Ended Ended September 30, March 31, September March 31, September 30, March 31, September 30, March 31, 2000 2000 30, 2000 2000 2000 2000 2000 2000 (Unaudited) (Unaudited) (Unaudited) (Unaudited) $ 2,788 $ 8,094 $ (81) $ 293 $ 20,908 $ 98,837 $ 1,244 $ 2,314 1,714 (274) (2,021) 7,821 82,269 38,756 342 (919) (5,512) 4,531 (2,991) 27,966 (154,029) 87,250 710 (2,965) (1,010) 12,351 (5,093) 36,080 (50,852) 224,843 2,296 (1,570) --------------------------- ----------------------- ------------------------- ------------------------- (1,842) (7,057) (1,024) (276) (11,560) (45,176) (280) (244) (23) (25) (3) 0) (641) (3,216) (90) (115) (826) (1,345) (110) (17) (11,931) (59,577) (871) (1,949) 0 0 0 (1,195) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (76) 0 0 0 0 0 (1,427) 0 (577) 0 (37,300) 0 0 0 (7) 0 0 0 (2,793) 0 0 0 (347) 0 (42) 0 (55,442) 0 0 0 (2,868) 0 0 0 (19,356) 0 0 0 (13) 0 0 0 (1,450) 0 0 0 (698) 0 0 0 (28,771) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (2,691) (13,787) (1,137) (2,183) (24,132) (253,081) (1,241) (2,308) --------------------------- ----------------------- ------------------------- ------------------------- 2,032 8,040 38,114 176,112 128,000 218,329 11,878 4,203 70 956 410 0 12,073 63,727 1,601 3,032 4,593 12,505 12,913 14,391 131,710 512,940 5,782 16,283 0 35,908 0 0 0 0 0 0 0 30,872 0 0 0 0 0 0 1,764 7,091 960 1,984 11,241 99,393 278 239 23 45 0 0 635 7,404 90 113 644 2,065 7 120 9,367 133,688 481 1,286 (74,557) (26,925) (68,411) (41,632) (93,861) (201,504) (6,486) (4,329) (216) (293) 0 0 (1,590) (52,930) (367) (1,268) (5,035) (11,948) (2,121) (841) (188,055) (455,756) (10,647) (21,656) (70,682) 58,316 (18,128) 150,134 9,520 325,291 2,610 (2,097) (74,383) 56,880 (24,358) 184,031 (65,464) 297,053 3,665 (5,975) --------------------------- ----------------------- ------------------------- ------------------------- 154,998 98,118 184,031 0 1,498,795 1,201,742 52,583 58,558 $ 80,615 $ 154,998 $ 159,673 $ 184,031 $ 1,433,331 $ 1,498,795 $ 56,248 $ 52,583 $ 1,892 $ 1,795 $ 4,294 $ 5,512 $ 35,165 $ 38,390 $ 7 $ 4 Short Duration Municipal Income Fund ----------------------------------- Six Months Period Ended from September 30, August 31 2000 1999 to (Unaudited) March 31, 2000 $ 264 $ 244 20 (25) 57 6 341 225 ----------------------------------- (264) (241) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (264) (241) ----------------------------------- 2,134 10,500 0 0 0 10 0 0 0 0 263 241 0 0 0 0 (50) 0 0 0 0 0 2,347 10,751 2,424 10,735 ----------------------------------- 10,735 0 $ 13,159 $ 10,735 $ 3 $ 3
2000 Semi-Annual Report See accompanying notes 55 Statements of Changes in Net Assets (Cont.)
California California Intermediate Municipal New York Municipal Amounts in thousands Municipal Bond Fund Bond Fund Bond Fund --------------------------- ------------ ------------------------- Six Months Period from Period from Six Months Period Increase (Decrease) in Net Assets from: Ended August 31, May 16, 2000 Ended from August September 30, 1999 to September September 31, 1999 2000 to March 31, 30, 2000 30, 2000 to March (Unaudited) 2000 (Unaudited) (Unaudited) 31, 2000 Operations: Net investment income $ 1,531 $ 106 $ 198 $ 67 $ 70 Net realized gain (loss) 343 (5) 368 35 (4) Net change in unrealized appreciation (depreciation) 2,420 72 224 51 (8) Net increase resulting from operations 4,294 173 790 153 58 --------------------------- ------------ ------------------------- Distributions to Shareholders: From net investment income Institutional Class (1,117) (97) (198) (67) (70) Administrative Class (26) 0 0 0 0 Other Classes (426) (8) 0 0 0 In excess of net realized capital gains Institutional Class 0 (6) 0 0 (6) Administrative Class 0 0 0 0 0 Other Classes 0 (1) 0 0 0 Total Distributions (1,569) (112) (198) (67) (76) --------------------------- ------------ ------------------------- Fund Share Transactions: Receipts for shares sold Institutional Class 87,248 8,840 18,619 0 3,000 Administrative Class 1,550 10 0 0 0 Other Classes 31,556 1,889 20 0 20 Issued in reorganization Other Classes 0 0 0 0 0 Issued as reinvestment of distributions Institutional Class 1,088 91 183 68 76 Administrative Class 25 0 0 0 0 Other Classes 424 12 0 0 0 Cost of shares redeemed Institutional Class (30,771) (556) (10,286) 0 0 Administrative Class (10) 0 0 0 0 Other Classes (3,572) (119) 0 0 0 Net increase resulting from Fund share transactions 87,538 10,167 8,536 68 3,096 Total Increase in Net Assets 90,263 10,228 9,128 154 3,078 --------------------------- ------------ ------------------------- Net Assets: Beginning of period 10,228 0 0 3,078 0 End of period * $ 100,491 $ 10,228 $ 9,128 $ 3,232 $ 3,078 * Including net undistributed (overdistributed) investment income of: $ (37) $ 1 $ 0 $ 0 $ 0
56 PIMCO Funds See accompanying notes Statements of Cash Flows
Long-Term Amounts in thousands U.S. Gov't Real Return Foreign Global Global Fund Bond Fund Bond Fund Bond Fund Bond Fund II ---------- ----------- --------- --------- ------------ Increase (Decrease) in Cash and Foreign Currency from: Financing Activities Sales of Fund shares $ 82,252 $ 307,065 $ 119,210 $ 129,079 $ 7,542 Redemptions of Fund shares (81,149) (63,063) (97,844) (69,817) (34,813) Cash distributions paid (2,866) (3,148) (2,404) (3,676) (436) Increase (decrease) from financing transactions 224,916 422,249 (43,910) 16,369 14,758 Net increase (decrease) from financing activities 223,153 663,103 (24,948) 71,955 (12,949) Operating Activities Purchases of long-term securities and foreign currency (4,335,321) (1,820,178) (1,904,922) (877,972) (259,461) Proceeds from sales of long-term securities and foreign 4,121,165 1,226,460 1,986,404 847,662 268,516 currency Purchases of short-term securities (net) (11,644) (68,272) (66,101) (46,269) 468 Net investment income 10,603 17,668 17,021 7,874 2,529 Change in other receivables/payables (net) (5,020) (18,215) 475 (328) (396) Net increase (decrease) from operating activities (220,217) (662,537) 32,877 (69,033) 11,656 ----------- ----------- ----------- --------- -------- Net Increase in Cash and Foreign Currency 2,936 566 7,929 2,922 (1,293) ----------- ----------- ----------- --------- -------- Cash and Foreign Currency Beginning of period 1 334 9,658 6,695 2,576 End of period $ 2,937 $ 900 $ 17,587 $ 9,617 $ 1,283
2000 Semi-Annual Report See accompanying notes 57 Schedule of Investments Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------- CORPORATE BONDS & NOTES 41.0% ------------------------------------------------------------------- Banking & Finance 27.9% AB Spintab 6.800% due 12/29/2049 $ 250 $ 244 Abbey National Capital Trust I 8.960% due 12/29/2049 24,700 24,842 Abbey National PLC 6.700% due 06/29/2049 5,000 4,513 Abbey National Treasury Service 6.630% due 05/23/2001 240 240 ABN AMRO Mortgage Corp. 7.250% due 05/31/2005 150 151 Aetna, Inc. 6.750% due 08/15/2001 250 249 7.250% due 08/15/2023 50 46 Air 2 US 8.030% due 10/01/2020 300 305 Allstate Corp. 6.750% due 05/15/2018 280 252 6.900% due 05/15/2038 87,200 74,575 Amerco, Inc. 7.140% due 10/15/2002 15,000 14,439 American Express 8.500% due 08/15/2001 350 355 5.630% due 01/22/2004 11,900 11,470 7.450% due 08/10/2005 1,000 1,008 American General Finance 6.050% due 07/02/2001 3,000 2,985 6.880% due 12/14/2001 1,600 1,601 7.450% due 07/01/2002 200 202 6.250% due 12/18/2002 1,165 1,149 6.380% due 03/01/2003 350 346 8.130% due 03/15/2046 270 259 American Health Properties, Inc. 7.050% due 01/15/2002 700 683 AON Capital Trust `A' 8.210% due 01/01/2027 725 667 Archstone Communities Trust 6.750% due 10/23/2000 600 600 Aristar, Inc. 7.380% due 09/01/2004 20,000 19,983 Associates Corp. of North America 6.630% due 05/15/2001 1,300 1,299 6.700% due 05/29/2001 100 100 7.000% due 07/23/2001 500 501 6.780% due 08/27/2001 (d) 13,500 13,534 6.450% due 10/15/2001 23,600 23,530 7.500% due 04/15/2002 185 187 6.500% due 07/15/2002 750 747 5.750% due 11/01/2003 5,175 5,015 5.800% due 04/20/2004 450 434 6.630% due 06/15/2005 100 98 Associates First Capital Corp. 6.000% due 12/01/2002 500 493 AT&T Capital Corp. 7.500% due 11/15/2000 5,000 5,004 6.880% due 01/16/2001 230 230 6.250% due 05/15/2001 19,443 19,379 7.000% due 08/15/2001 20,900 20,920 7.110% due 09/13/2001 (d) 1,030 1,032 6.900% due 01/30/2002 1,000 1,000 6.750% due 02/04/2002 1,925 1,921 7.010% due 04/23/2002 (d) 74,000 74,205 AVCO Financial Services 7.380% due 08/15/2001 300 301 5.750% due 01/23/2006 125 125 Banco Latinoamericano SA 6.500% due 04/02/2001 950 947 7.170% due 06/04/2001 5,000 4,998 7.880% due 11/30/2001 9,500 9,528 Banco Nacional de Comercio Exterior 7.250% due 02/02/2004 25,050 24,236 11.250% due 09/20/2005 14,250 14,254 Banesto Delaware 8.250% due 07/28/2002 28,900 29,377 Bank of America Corp. 6.730% due 02/26/2001 (d) 3,000 3,001 6.680% due 03/05/2001 (d) 44,000 43,992 9.500% due 04/01/2001 235 238 6.750% due 02/20/2002 (d) 35,180 35,153 8.130% due 06/15/2002 350 357 7.750% due 07/15/2002 360 365 7.200% due 09/15/2002 1,000 1,005 7.500% due 10/15/2002 1,200 1,214 6.850% due 03/01/2003 65 65 6.880% due 06/01/2003 100 100 6.380% due 05/15/2005 1,000 971 7.880% due 05/16/2005 600 621 8.380% due 05/01/2007 1 1 9.380% due 09/15/2009 12,950 14,301 7.800% due 02/15/2010 84,000 86,597 8.570% due 11/15/2024 125 134 Bank of Tokyo - Mitsubishi 8.400% due 04/15/2010 112,200 114,369 Bank One Corp. 6.790% due 04/19/2001 (d) 2,000 2,003 6.730% due 09/04/2001 (d) 14,000 14,005 BankBoston Corp. 6.130% due 03/15/2002 12,500 12,358 6.880% due 07/14/2003 (d) 30,000 29,933 Bankers Trust Corp. 9.400% due 03/01/2001 385 389 6.750% due 10/03/2001 500 499 7.500% due 01/15/2002 250 252 8.130% due 05/15/2002 300 305 7.130% due 07/31/2002 150 150 6.790% due 05/11/2003 (d) 82,800 82,787 6.000% due 10/15/2008 500 448 8.090% due 12/01/2026 275 251 Banponce Financial Corp. 6.460% due 11/13/2001 13,000 12,931 Barclays Bank PLC 8.550% due 09/29/2049 15,000 15,100 Bayerische Landesbank NY 6.200% due 02/09/2006 250 240 Bear Stearns Co., Inc. 9.380% due 06/01/2001 125 127 6.900% due 01/28/2002 (d) 11,250 11,241 7.040% due 04/05/2002 (d) 25,000 25,074 6.960% due 05/07/2002 (d) 4,300 4,299 7.090% due 08/01/2002 (d) 53,600 53,711 7.010% due 12/16/2002 (d) 48,900 48,955 6.130% due 02/01/2003 25 25 7.130% due 03/28/2003 (d) 65,800 65,801 6.750% due 04/15/2003 105 104 7.030% due 05/06/2003 (d) 13,000 13,060 7.010% due 05/16/2003 (d) 40,700 40,895 6.870% due 07/22/2003 (d) 19,000 19,078 6.150% due 03/02/2004 150 145 8.750% due 03/15/2004 75 79 7.100% due 06/01/2004 (d) 9,265 9,329 6.630% due 10/01/2004 250 245 7.360% due 11/30/2004 (d) 400 401 7.040% due 03/18/2005 (d) 37,000 37,081 6.250% due 07/15/2005 25,000 23,968 6.750% due 12/15/2007 2,000 1,911 Beaver Valley Funding Corp. 8.250% due 06/01/2003 405 401 Beneficial Corp. 6.390% due 01/09/2001 (d) 16,000 16,001 6.770% due 01/09/2002 (d) 500 502 6.870% due 03/01/2002 (d) 50,000 50,078 8.000% due 06/18/2002 400 406 6.030% due 01/14/2003 320 313 Bombardier Capital, Inc. 6.000% due 01/15/2002 28,000 27,551 7.300% due 12/15/2002 9,000 8,950 7.210% due 06/09/2032 (d) 16,150 16,008 BTM Holdings 7.160% due 09/29/2049 (d) 6,000 6,000 58 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Caithness Coso Fund Corp. 6.800% due 12/15/2001 $ 9,441 $ 9,348 Case Credit Corp. 5.850% due 02/20/2001 (d) 1,600 1,592 Caterpillar Financial Service Corp. 6.890% due 02/11/2002 (d) 700 701 6.930% due 11/04/2002 (d) 1,000 1,001 6.910% due 12/27/2002 (d) 25,000 24,990 Chase Manhattan Corp. 8.500% due 02/15/2002 200 204 5.750% due 04/15/2004 150 144 Chemical Banking Corp. 6.130% due 11/01/2008 400 367 Chrysler Financial Co. LLC 5.860% due 01/16/2001 500 498 6.650% due 06/11/2001 (d) 21,400 21,411 5.690% due 11/15/2001 650 642 5.400% due 01/15/2002 15,750 15,428 6.950% due 03/25/2002 50 50 6.750% due 07/17/2002 (d) 20,000 20,012 6.760% due 08/08/2002 (d) 37,000 37,049 6.800% due 02/03/2003 (d) 35,000 34,985 6.790% due 03/06/2003 (d) 25,000 25,211 6.780% due 03/10/2003 (d) 10,000 10,084 6.740% due 06/18/2003 35,000 34,990 Chubb Capital Corp. 6.880% due 02/01/2003 100 100 Cincinnati Financial Corp. 6.900% due 05/15/2028 111,870 97,327 CIT Group, Inc. 6.200% due 10/20/2000 525 525 6.810% due 09/13/2002 (d) 1,900 1,900 7.110% due 10/01/2002 (d) 600 602 7.380% due 03/15/2003 500 504 CIT Holdings LLC 6.880% due 02/16/2005 7,500 7,412 Citigroup, Inc. 6.820% due 05/24/2001 (d) 139,000 139,093 6.710% due 09/17/2001 (d) 65 65 6.710% due 06/27/2002 (d) 11,450 11,431 6.380% due 09/15/2002 115 114 6.810% due 11/12/2002 (d) 30,000 29,992 8.000% due 02/01/2003 250 255 5.800% due 03/15/2004 200 194 6.500% due 08/01/2004 400 393 7.750% due 06/15/2006 15,655 16,138 Comerica, Inc. 7.250% due 06/15/2007 200 198 Commercial Credit Co. 5.550% due 02/15/2001 1,300 1,294 8.250% due 11/01/2001 2,500 2,536 6.880% due 05/01/2002 335 335 7.750% due 03/01/2005 550 564 Countrywide Home Loans 6.250% due 04/15/2009 600 547 Credit Asset Receivable 6.270% due 10/31/2003 38,322 37,814 DaimlerChrysler Financial Services LLC 6.790% due 02/10/2003 (d) 2,000 2,000 DBS Group Holdings Ltd. 7.880% due 08/10/2009 6,000 6,037 Deutsche Bank Capital Trust I 7.870% due 12/29/2049 5,875 5,606 Deutsche Bank Financial 7.500% due 04/25/2009 3,000 3,009 Dillard Investment Co., Inc. 9.250% due 02/01/2001 300 302 Donaldson, Lufkin & Jenrette, Inc. 6.910% due 09/18/2002 (d) 13,600 13,602 6.170% due 07/15/2003 20,000 19,543 5.630% due 02/15/2016 5,000 4,924 Dow Capital BV 7.130% due 01/15/2003 100 100 Dresdner Bank-New York 6.630% due 09/15/2005 1,000 975 Dresdner Funding Trust I 8.150% due 06/30/2031 36,805 33,004 Duke Capital Corp. 7.250% due 10/01/2004 19,000 19,139 Edison Funding 6.950% due 12/19/2000 7,000 6,999 Export-Import Bank Korea 7.250% due 06/25/2001 2,600 2,589 7.130% due 09/20/2001 12,370 12,257 6.500% due 02/10/2002 14,691 14,493 6.500% due 11/15/2006 6,445 6,277 7.100% due 03/15/2007 15,250 15,153 Exxon Capital Corp. 7.450% due 12/15/2001 250 252 6.130% due 09/08/2008 2,000 1,911 Farmers Insurance 8.630% due 05/01/2024 275 271 Finova Capital Corp. 5.880% due 10/15/2001 1,000 845 7.340% due 11/08/2002 (d) 51,350 41,760 7.190% due 04/08/2003 (d) 300 256 6.910% due 06/18/2003 (d) 32,300 28,263 6.330% due 11/24/2003 1,300 979 First Chicago Corp. 9.250% due 11/15/2001 250 256 6.740% due 03/11/2002 (d) 10,000 10,023 6.840% due 07/28/2003 (d) 50 50 First Interstate Bancorp 10.880% due 04/15/2001 200 204 8.880% due 01/01/2009 (l) 152 155 First National Bank Chicago 8.080% due 01/05/2018 250 262 First Security Corp. 5.880% due 11/01/2003 9,325 9,033 First Union Corp. 8.130% due 06/24/2002 150 152 7.100% due 08/15/2004 3,000 2,987 7.700% due 02/15/2005 4,000 4,080 6.380% due 01/15/2009 500 461 Firstar Bank NA 7.800% due 07/05/2010 35,900 36,548 Fleet Financial Group, Inc. 9.900% due 06/15/2001 200 204 Ford Capital BV 9.500% due 06/01/2010 200 221 Ford Motor Credit Corp. 6.380% due 10/06/2000 1,300 1,300 6.250% due 11/08/2000 750 750 7.020% due 06/07/2001 1,000 1,001 6.810% due 09/03/2001 (d) 27,000 27,039 7.000% due 09/25/2001 1,125 1,127 6.850% due 10/15/2001 (d) 13,000 13,012 6.840% due 11/16/2001 (d) 76,800 76,868 8.240% due 01/15/2002 85 86 6.860% due 01/17/2002 (d) 53,945 53,762 8.200% due 02/15/2002 500 508 6.500% due 02/28/2002 1,710 1,702 6.810% due 03/19/2002 (d) 28,208 28,329 6.870% due 04/29/2002 (d) 33,000 33,033 6.900% due 05/21/2002 (d) 4,000 4,004 6.880% due 05/23/2002 14,000 14,001 6.820% due 06/04/2002 (d) 12,000 12,002 6.990% due 07/16/2002 (d) 111,680 111,920 6.910% due 08/01/2002 (d) 36,000 36,002 6.550% due 09/10/2002 4,000 3,979 6.880% due 10/15/2002 (d) 14,000 13,993 7.750% due 11/15/2002 5,730 5,824 6.820% due 12/16/2002 (d) 56,000 55,859 6.000% due 01/14/2003 1,000 978 7.500% due 01/15/2003 250 252 6.860% due 02/03/2003 (d) 30,000 29,925 6.780% due 02/13/2003 (d) 100,000 100,041 6.810% due 02/13/2003 (d) 250,185 249,875 6.850% due 03/17/2003 (d) 21,000 20,973 6.130% due 04/28/2003 26,130 25,566 2000 Semi-Annual Report See accompanying notes 59 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------- 6.940% due 06/02/2003 (d) $ 38,100 $ 38,142 6.950% due 06/20/2003 (d) 10,000 10,007 6.630% due 06/30/2003 775 766 6.950% due 11/24/2003 (d) 32,000 31,989 5.750% due 02/23/2004 1,620 1,547 6.960% due 04/26/2004 (d) 53,000 52,926 6.890% due 05/21/2004 (d) 22,200 22,102 6.870% due 06/02/2004 (d) 1,500 1,492 6.700% due 07/16/2004 92,905 91,080 7.080% due 07/19/2004 (d) 174,500 174,656 8.250% due 02/23/2005 2,500 2,592 7.500% due 03/15/2005 17,000 17,107 6.900% due 04/28/2005 (d) 58,000 57,841 7.230% due 06/30/2005 (d) 65,000 65,025 7.170% due 07/18/2005 (d) 182,100 182,418 6.780% due 08/27/2006 (d) 27,500 27,503 7.200% due 06/15/2007 25 25 5.800% due 01/12/2009 155 138 Fuji Bank Ltd. 9.870% due 12/31/2049 (d) 25,475 24,953 General Electric Capital Corp. 8.380% due 03/01/2001 1,415 1,423 6.020% due 05/04/2001 1,000 996 5.500% due 11/01/2001 50 49 5.650% due 03/31/2003 125 122 6.210% due 12/09/2005 400 391 7.880% due 12/01/2006 30 32 8.300% due 09/20/2009 1,125 1,198 General Motors Acceptance Corp. 5.800% due 04/09/2001 8,340 8,302 6.800% due 04/17/2001 4,800 4,800 5.950% due 04/20/2001 22,150 22,059 6.700% due 04/30/2001 3,000 2,999 7.130% due 05/01/2001 44,395 44,461 6.750% due 06/05/2001 880 880 6.880% due 07/15/2001 1,000 1,000 6.760% due 10/22/2001 (d) 25,700 25,685 7.070% due 11/26/2001 (d) 19,000 19,119 6.380% due 12/01/2001 765 762 6.760% due 12/10/2001 (d) 2,200 2,200 9.630% due 12/15/2001 5,650 5,824 7.040% due 12/17/2001 (d) 13,000 13,084 6.840% due 01/08/2002 (d) 3,000 3,011 6.630% due 01/10/2002 500 497 6.810% due 01/28/2002 (d) 13,000 13,007 6.800% due 02/01/2002 (d) 36,700 36,724 6.750% due 02/07/2002 1,590 1,587 6.840% due 03/15/2002 (d) 10,215 10,268 7.750% due 03/25/2002 125 127 6.840% due 04/29/2002 (d) 221,144 221,840 7.000% due 09/15/2002 250 251 6.630% due 10/01/2002 5,000 4,968 6.570% due 10/07/2002 (d) 1,100 1,101 6.780% due 11/12/2002 (d) 10,200 10,198 6.880% due 11/12/2002 (d) 22,995 23,022 6.860% due 12/09/2002 (d) 64,050 64,114 6.750% due 12/10/2002 500 499 6.200% due 12/15/2002 500 493 5.480% due 12/16/2002 150 146 6.000% due 01/15/2003 990 971 5.880% due 01/22/2003 75,500 73,769 6.840% due 02/14/2003 (d) 10,000 9,986 6.750% due 03/15/2003 40,125 39,928 7.130% due 05/01/2003 36,000 36,171 7.400% due 07/20/2003 (d) 9,577 9,569 6.790% due 08/18/2003 (d) 102,940 102,690 5.550% due 09/15/2003 32,000 30,830 6.630% due 10/20/2003 2,000 1,982 5.750% due 11/10/2003 1,000 965 7.020% due 04/05/2004 (d) 27,900 27,861 6.930% due 05/28/2004 (d) 73,000 73,801 6.850% due 06/17/2004 1,200 1,190 7.090% due 07/21/2004 (d) 10,000 10,009 7.360% due 09/20/2004 (d) 20,058 20,040 6.650% due 11/17/2005 500 489 6.150% due 04/05/2007 150 140 8.950% due 07/02/2009 19,971 20,803 Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Gold Eagle Capital Ltd. 12.130% due 04/15/2001 $ 46,300 $ 46,300 Golden State Holdings 2.280% due 01/01/2000 15 346 6.750% due 08/01/2001 1,950 1,920 Goldman Sachs Group 6.200% due 12/15/2000 6,500 6,489 6.710% due 01/12/2001 (d) 25,000 25,041 6.900% due 01/25/2001 (d) 27,400 27,416 6.920% due 02/20/2001 (d) 3,000 3,004 7.000% due 04/16/2001 (d) 18,000 17,999 6.920% due 12/07/2001 (d) 25,000 25,057 7.090% due 02/18/2002 (d) 2,300 2,315 7.060% due 01/16/2003 (d) 15,000 15,097 6.960% due 01/17/2003 (d) 147,500 147,700 7.070% due 05/23/2003 (d) 75,000 75,074 6.930% due 02/10/2004 (d) 10,000 9,847 7.220% due 02/19/2004 (d) 10,000 10,153 6.920% due 06/02/2004 (d) 15,000 14,743 6.630% due 12/01/2004 275 270 7.630% due 08/17/2005 40,000 40,841 7.390% due 02/09/2009 (d) 10,000 10,432 6.500% due 02/25/2009 140 130 GS Escrow Corp. 7.710% due 08/01/2003 (d) 500 485 Hansol Paper Co. Ltd. 8.940% due 05/24/2001 (d) 20,000 20,200 Hartford Life, Inc. 6.900% due 06/15/2004 600 595 Heller Financial, Inc. 6.250% due 03/01/2001 25,000 24,943 6.920% due 06/25/2001 (d) 76,050 76,106 5.750% due 09/25/2001 1,400 1,380 7.070% due 10/22/2001 (d) 19,200 19,240 6.500% due 11/01/2001 250 249 7.590% due 11/09/2001 (d) 2,500 2,517 6.890% due 04/26/2002 (d) 12,000 11,988 6.850% due 05/07/2002 (d) 2,000 1,998 6.850% due 05/13/2002 (d) 10,000 9,988 7.000% due 05/15/2002 900 897 7.120% due 07/24/2002 (d) 16,200 16,223 6.940% due 04/28/2003 (d) 26,000 25,911 6.970% due 04/28/2003 (d) 55,750 55,509 Hertz Corp. 7.000% due 07/15/2003 13,300 13,155 Home Savings of America 6.000% due 11/01/2000 14,175 14,161 Household Bank 6.820% due 09/26/2001 (d) 9,000 8,999 6.910% due 10/22/2003 (d) 15,000 14,952 Household Capital Trust 7.010% due 06/26/2004 (d) 13,925 13,302 Household Finance Corp. 6.780% due 06/22/2001 (d) 3,000 3,004 6.860% due 08/01/2001 (d) 1,500 1,501 6.860% due 11/01/2001 (d) 3,000 3,000 6.840% due 05/07/2002 (d) 40,850 40,983 6.890% due 05/24/2002 (d) 113,800 113,894 7.080% due 06/03/2002 15,000 15,013 5.880% due 11/01/2002 200 196 6.910% due 06/24/2003 35,000 35,022 6.920% due 06/24/2003 (d) 31,000 31,027 7.000% due 08/01/2003 20,000 19,943 6.500% due 11/15/2008 2,000 1,878 Household Netherlands BV 6.130% due 03/01/2003 18,100 17,646 HSBC Capital Funding LP 10.180% due 12/29/2049 10,000 11,086 10.180% due 12/31/2049 106,400 112,685 HypoVereinsbank 8.740% due 06/30/2031 12,400 11,831 Industrial Bank of Korea 7.100% due 10/15/2001 3,290 3,224 60 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Inter-American Development Bank 8.880% due 06/01/2009 $ 200 $ 227 7.380% due 01/15/2010 4,200 4,374 International Bank for Reconstruction & Development 7.000% due 01/27/2005 1,000 1,018 International Lease Finance Corp. 5.780% due 03/01/2001 500 498 5.930% due 07/15/2003 14,000 13,613 J.P. Morgan & Co. 5.750% due 02/25/2004 22,800 21,969 6.700% due 11/01/2007 30 29 6.000% due 01/15/2009 37,000 34,095 8.080% due 02/15/2012 600 519 JET Equipment Trust 10.000% due 06/15/2012 80 88 10.690% due 05/01/2015 100 117 John Hancock 7.380% due 02/15/2024 360 333 KBC Bank Fund Trust III 9.860% due 11/29/2049 (d) 5,700 5,965 Key Bank NA 7.550% due 09/15/2006 350 354 Kimco Realty Corp. 6.500% due 10/01/2003 200 195 Korea Development Bank 7.680% due 10/06/2000 (d) 5,000 5,000 6.510% due 10/20/2000 11,000 10,976 7.130% due 09/17/2001 10,055 10,041 8.600% due 03/25/2002 6,600 6,723 6.500% due 11/15/2002 440 431 7.130% due 04/22/2004 19,125 18,771 7.380% due 09/17/2004 16,500 16,264 6.750% due 12/01/2005 55 52 7.250% due 05/15/2006 50 48 LB Rheinland - PFALZ 5.000% due 02/23/2028 3,400 3,230 Lehman Brothers Holdings, Inc. 9.880% due 10/15/2000 150 150 7.250% due 12/01/2000 (d) 500 500 6.130% due 02/01/2001 2,000 1,994 6.000% due 02/26/2001 700 698 7.370% due 07/03/2001 (d) 10,000 10,036 7.680% due 04/02/2002 (d) 64,750 65,327 6.380% due 05/07/2002 28,695 28,481 7.410% due 05/07/2002 (d) 42,100 42,363 8.750% due 05/15/2002 219 225 6.610% due 07/08/2002 (d) 101,600 101,691 7.530% due 07/15/2002 (d) 43,051 43,408 7.000% due 08/12/2002 (d) 6,500 6,499 7.450% due 08/28/2002 (d) 6,500 6,508 6.970% due 09/03/2002 (d) 14,000 13,991 7.210% due 12/12/2002 (d) 57,900 58,152 7.170% due 04/04/2003 (d) 134,300 134,342 7.000% due 05/15/2003 150 150 7.020% due 08/03/2003 (d) 1,500 1,485 6.630% due 04/01/2004 65 64 7.750% due 01/15/2005 150 153 7.630% due 06/01/2006 350 352 8.500% due 05/01/2007 1,475 1,548 LG&E Capital Corp. 6.210% due 05/01/2004 1,000 973 6.460% due 01/15/2008 3,000 2,856 Liberty Mutual Insurance 8.200% due 05/04/2007 17,510 17,252 Limestone Electron Trust 8.630% due 03/15/2003 71,350 72,720 Marine Midland 6.750% due 12/12/2000 (d) 3,700 3,699 MBNA America Bank NA 6.970% due 04/25/2002 (d) 1,000 998 MBNA Corp. 6.990% due 05/24/2002 1,000 1,000 7.130% due 09/10/2002 (d) 5,000 5,024 7.040% due 12/10/2002 4,100 4,044 Principal Amount Value (000s) (000s) ------------------------------------------------------------------- MCN Investment Corp. 6.030% due 02/01/2001 $ 6,850 $ 6,813 7.120% due 01/16/2004 7,500 7,290 6.300% due 04/02/2011 7,500 7,448 Merrill Lynch & Co. 6.830% due 10/03/2000 (d) 2,000 2,000 6.430% due 12/05/2000 (d) 89,000 89,009 6.000% due 03/01/2001 1,325 1,320 6.500% due 04/01/2001 400 399 6.750% due 04/30/2001 2,775 2,773 6.820% due 05/08/2001 (d) 54,900 54,918 6.880% due 05/30/2001 (d) 3,800 3,806 6.790% due 11/01/2001 (d) 35,000 35,035 6.770% due 11/09/2001 (d) 16,000 16,001 6.830% due 01/15/2002 (d) 17,000 16,995 7.090% due 02/01/2002 (d) 33,000 33,111 8.000% due 02/01/2002 400 406 7.380% due 08/17/2002 300 303 8.300% due 11/01/2002 700 720 6.000% due 02/12/2003 500 491 6.880% due 03/01/2003 140 140 6.810% due 06/24/2003 (d) 27,000 26,920 6.990% due 08/01/2003 (d) 800 800 6.920% due 10/01/2003 (d) 18,500 18,497 5.880% due 01/15/2004 600 580 6.550% due 08/01/2004 400 395 7.000% due 03/15/2006 1,500 1,488 7.000% due 04/27/2008 100 98 6.380% due 10/15/2008 35,000 32,955 Merrill Lynch Mortgage Investors, Inc. 5.650% due 12/15/2030 441 424 Metropolitan Life Insurance Co. 6.300% due 11/01/2003 6,800 6,648 Mexico Credit Link 11.380% due 02/22/2002 (d) 29,500 30,760 11.800% due 02/25/2002 2,000 2,119 MFN Financial Corp. 6.980% due 09/13/2001 (d) 10,300 10,305 MIC Financing Trust 8.380% due 02/01/2027 36,000 31,063 Monumental Global Funding II 6.910% due 09/26/2003 (d) 58,500 58,500 Morgan Stanley, Dean Witter, Discover and Co. 5.750% due 02/15/2001 400 399 6.700% due 05/01/2001 600 600 9.380% due 06/15/2001 300 305 6.840% due 12/17/2001 (d) 5,000 5,006 6.840% due 01/28/2002 (d) 35,700 35,762 6.880% due 04/15/2002 (d) 300 300 6.890% due 02/21/2003 (d) 25,000 25,046 6.850% due 03/11/2003 (d) 11,500 11,484 6.910% due 05/05/2003 (d) 23,000 23,041 6.960% due 08/07/2003 (d) 140,800 140,900 6.380% due 12/15/2003 150 148 5.630% due 01/20/2004 1,100 1,058 6.990% due 04/22/2004 (d) 68,500 68,577 Nacional Financiera 10.560% due 12/01/2000 (d) 10,760 10,712 National Westminster Bank PLC 9.380% due 11/15/2003 200 213 NationsBank Corp. 6.750% due 02/26/2001 500 499 7.000% due 09/15/2001 1,500 1,503 6.810% due 06/17/2002 (d) 10,000 10,003 6.130% due 07/15/2004 600 582 NCNB Corp. 7.750% due 08/01/2002 896 896 Noble Affiliates, Inc. 8.950% due 12/15/2004 11,500 11,525 Nordbanken 7.250% due 11/12/2009 21,250 21,086 2000 Semi-Annual Report See accompanying notes 61 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Nordstrom Credit, Inc. 7.250% due 04/30/2002 $ 1,000 $ 1,006 Northern Rock PLC 2.000% due 01/01/2000 1,060 20,670 Norwest Financial, Inc. 6.380% due 07/16/2002 500 497 6.250% due 11/01/2002 100 99 7.000% due 01/15/2003 380 382 6.000% due 02/01/2004 50 49 Okobank 7.040% due 05/23/2006 (d) 10,000 10,018 Old Kent Bank 7.750% due 08/15/2010 6,500 6,512 Orix Credit Alliance 7.640% due 09/17/2001 13,000 13,077 Osprey Trust 8.310% due 01/15/2003 75,475 76,418 Pacific Mutual Life 7.900% due 12/30/2023 8,000 7,841 PaineWebber 7.030% due 05/20/2002 (d) 1,000 999 7.290% due 07/15/2002 (d) 200 200 Parker Retirement Savings Plan 6.340% due 07/15/2008 841 791 PDVSA Finance Ltd. 7.400% due 08/15/2016 1,200 971 Pemex Finance Limited 6.130% due 11/15/2003 20,222 19,864 PNC Bank Corp. 6.720% due 01/24/2002 (d) 49,000 49,031 6.680% due 08/15/2002 (d) 5,000 5,005 PNC Funding Corp. 6.880% due 03/01/2003 100 100 7.000% due 09/01/2004 15,000 14,889 PNC Institutional Capital Association 7.950% due 12/15/2026 150 135 Popular North American, Inc. 7.380% due 09/15/2001 25,000 25,120 Popular, Inc. 6.550% due 10/10/2000 2,485 2,485 6.200% due 04/30/2001 3,336 3,325 6.540% due 11/06/2001 18,705 18,625 6.630% due 01/15/2004 19,500 18,949 Prime Property Funding II 7.000% due 08/15/2004 110 107 Protective Life Funding Trust 7.090% due 01/17/2003 (d) 2,000 1,997 Prudential Funding Corp. 6.420% due 10/02/2000 (d) 20,000 20,004 6.630% due 04/01/2009 17,000 15,484 PSE&G Capital Corp. 6.740% due 10/23/2001 1,400 1,398 Qwest Capital Funding, Inc. 6.880% due 08/15/2001 43,200 43,165 7.200% due 07/08/2002 (d) 500 500 Reliance Group Holdings 9.000% due 11/15/2000 (m) 19,000 6,460 9.750% due 11/15/2003 (m) 10,000 1,163 Reliant Energy Financial Co. 7.660% due 12/10/2001 (d) 53,100 52,989 Royal Bank of Scotland PLC 6.400% due 04/01/2009 15,000 13,983 8.820% due 03/31/2049 38,600 40,300 9.120% due 03/31/2049 66,400 69,856 Safeco Corp. 7.260% due 08/12/2002 500 505 Sakura Capital Funding 7.320% due 08/29/2049 20,000 19,244 7.560% due 09/29/2049 (d) 59,000 57,230 Salomon, Inc. 6.630% due 11/30/2000 500 500 6.650% due 07/15/2001 600 598 7.000% due 03/04/2002 18,850 18,894 6.750% due 02/15/2003 450 449 Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Salomon, Smith Barney Holdings 5.980% due 03/26/2001 $ 250 $ 249 3.650% due 02/14/2002 (d)(j) 29,708 29,357 6.930% due 04/15/2002 (d) 35,090 35,100 6.860% due 05/14/2002 (d) 34,515 34,514 7.020% due 07/23/2002 (d) 53,400 53,319 6.130% due 01/15/2003 290 285 6.910% due 02/11/2003 (d) 44,200 44,236 6.960% due 04/28/2003 (d) 34,000 34,014 7.060% due 07/18/2003 (d) 55,800 55,897 Sanwa Finance Aruba AEC 8.350% due 07/15/2009 94,740 94,604 Sears Roebuck Acceptance 6.800% due 05/07/2001 500 500 6.790% due 05/21/2001 500 500 7.190% due 06/18/2001 3,880 3,891 7.110% due 06/19/2001 1,000 1,002 9.400% due 08/02/2001 250 255 6.860% due 08/06/2001 400 400 6.710% due 08/13/2001 80 80 6.360% due 12/04/2001 290 289 6.120% due 12/13/2001 260 257 8.390% due 02/14/2002 240 244 6.950% due 05/15/2002 300 299 6.000% due 03/20/2003 149,750 145,584 7.260% due 04/21/2003 3,000 3,002 7.140% due 05/02/2003 5,000 4,988 6.560% due 11/20/2003 1,178 1,152 6.250% due 01/15/2004 300 291 6.750% due 09/15/2005 785 763 6.700% due 11/15/2006 500 480 Security Pacific Corp. 11.500% due 11/15/2000 4,000 4,019 11.000% due 03/01/2001 135 137 Seismic Ltd. 11.270% due 01/01/2002 (d) 32,500 32,500 Simon Property Group, Inc. 9.000% due 03/15/2002 2,000 2,027 Socgen Real Estate LLC 7.640% due 12/29/2049 3,000 2,803 Societe Generale 7.400% due 06/01/2006 1,500 1,503 Sovereign Bancorp, Inc. 6.630% due 03/15/2001 13,500 13,357 Spieker Properties 6.800% due 12/15/2001 5,500 5,456 6.800% due 05/01/2004 1,000 977 Steers 10.460% due 08/07/2002 (d) 20,000 20,114 Sumitomo Bank International Finance NV 8.500% due 06/15/2009 6,600 6,747 Sumitomo Bank Treasury Co. 9.400% due 12/29/2049 (d) 21,050 20,713 Sun Life of Canada (U.S.) 8.530% due 05/29/2049 250 225 Telewest Credit Links 8.500% due 04/16/2004 30,000 28,878 Textron Financial Corp. 7.030% due 05/28/2002 (d) 41,900 41,849 7.030% due 09/17/2002 (d) 2,000 2,003 The Money Store, Inc. 8.050% due 04/15/2002 300 304 7.300% due 12/01/2002 100 101 Tokai Capital Corp. 9.980% due 12/29/2049 (d) 18,050 17,286 Toyota Motor Credit Corp. 7.320% due 02/15/2002 (d) 40,000 39,319 Transamerica Finance Corp. 6.910% due 09/17/2001 (d) 10,000 10,001 6.130% due 11/01/2001 29,000 28,757 6.910% due 12/14/2001 (d) 40,700 40,744 7.250% due 08/15/2002 85,500 85,695 7.500% due 03/15/2004 270 271 6.750% due 11/15/2006 650 637 62 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Travelers Group, Inc. 7.200% due 02/01/2004 $ 38,480 $ 38,677 U.S. Bancorp 6.750% due 01/16/2002 (d) 49,000 49,015 6.940% due 02/03/2003 (d) 18,100 18,111 6.500% due 06/15/2004 600 588 Wachovia Corp. 7.260% due 05/02/2005 (d) 53,100 53,047 Washington Mutual, Inc. 8.210% due 02/01/2027 150 132 8.380% due 06/01/2027 235 212 Wells Fargo & Co. 5.630% due 02/05/2001 400 399 8.750% due 05/01/2002 100 103 6.630% due 07/15/2004 6,500 6,439 7.220% due 05/02/2005 (d) 67,700 67,678 7.800% due 06/15/2010 40,600 41,519 Westdeutsche Landesbank 6.750% due 06/15/2005 36,400 35,796 6.050% due 01/15/2009 123,100 112,682 ---------- $9,923,058 ========== Industrials 7.0% Ahold Finance USA, Inc. 6.880% due 05/01/2029 115 95 Akzo Nobel, Inc. 6.000% due 11/15/2003 32,000 30,896 Albertson's, Inc. 8.350% due 05/01/2010 5,000 5,147 Allied Waste North America, Inc. 7.380% due 01/01/2004 18,925 17,695 Alpha Wind 11.320% due 05/23/2001 17,200 17,200 America West Airlines, Inc. 6.870% due 07/02/2018 1,956 1,789 American Airlines 10.610% due 03/04/2011 1,895 2,165 AMR Corp. 10.610% due 01/11/2001 4,000 4,024 10.570% due 01/15/2001 3,000 3,025 10.590% due 01/31/2001 3,000 3,007 10.000% due 02/01/2001 2,400 2,413 9.400% due 05/08/2001 3,000 3,020 9.430% due 05/10/2001 1,000 1,007 9.500% due 05/15/2001 3,480 3,503 9.130% due 10/25/2001 2,000 2,033 8.470% due 02/20/2002 2,000 2,012 8.500% due 02/26/2002 1,000 1,006 10.210% due 01/01/2010 6,500 7,202 Anheuser-Busch Companies, Inc. 6.750% due 08/01/2003 500 503 Arrow Electronics, Inc. 7.440% due 11/24/2000 (d) 13,200 13,197 Atlas Air, Inc. 9.470% due 04/04/2003 (d) 22,700 22,700 10.470% due 10/04/2004 (d) 3,000 3,000 Aventis SA 8.620% due 01/05/2021 250 261 Baxter International, Inc. 9.500% due 06/15/2008 200 221 Bayer Corp. 6.500% due 10/01/2002 250 248 BOC Group PLC 5.880% due 01/29/2001 250 249 Boeing Co. 8.380% due 02/15/2001 900 904 6.350% due 06/15/2003 750 744 Boise Cascade Co. 7.150% due 05/15/2001 10,000 9,988 BP Amoco PLC 6.250% due 10/15/2004 1,000 991 Browning-Ferris Industries, Inc. 6.100% due 01/15/2003 6,000 5,632 Cabot Corp. 7.280% due 10/21/2027 5,160 4,383 Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Campbell Soup Co. 4.750% due 10/01/2003 $ 500 $ 474 Cemex SA 9.250% due 06/17/2002 5,000 5,100 8.630% due 07/18/2003 48,250 48,853 Century Communications Corp. 0.000% due 03/15/2003 10,515 8,044 CF Cable TV, Inc. 9.130% due 07/15/2007 1,600 1,722 Champion International Corp. 9.700% due 05/01/2001 4,000 4,046 Clear Channel Communications, Inc. 7.210% due 06/15/2002 (d) 20,000 20,047 Coastal Corp. 10.380% due 10/01/2000 8,500 8,500 7.290% due 03/01/2002 (d) 145,350 145,350 Coca-Cola Co. 6.380% due 08/01/2001 500 497 7.880% due 02/01/2002 600 605 6.000% due 07/15/2003 250 246 5.750% due 11/01/2008 100 91 Colgate-Palmolive Co. 6.000% due 08/15/2003 45 44 Columbia/HCA Healthcare 8.020% due 08/05/2002 9,000 8,932 8.130% due 08/04/2003 7,300 7,238 6.910% due 06/15/2005 9,500 8,964 6.630% due 07/15/2045 10,000 9,747 6.730% due 07/15/2045 14,760 14,162 Comcast Cable Communications 8.380% due 05/01/2007 145 151 Comdisco, Inc. 6.130% due 08/01/2006 600 588 Conoco, Inc. 6.350% due 04/15/2009 1,900 1,804 Continental Airlines 6.410% due 04/15/2007 342 330 6.800% due 07/02/2007 26 25 6.950% due 02/02/2011 24,520 23,708 6.900% due 01/02/2018 1,511 1,429 Cox Communications, Inc. 6.630% due 06/14/2002 7,250 7,174 6.500% due 11/15/2002 200 198 0.430% due 04/19/2020 25,000 10,500 Cox Enterprises, Inc. 8.000% due 02/15/2007 5,000 5,105 7.610% due 05/01/2033 (d) 500 500 Credit Lyon Capital 2.380% due 01/01/2000 1,912 46,374 CSX Corporation 7.260% due 06/24/2002 (d) 25,100 25,102 DaimlerChrysler Holdings 6.630% due 09/21/2001 1,000 995 6.860% due 01/18/2002 18,900 18,922 7.750% due 05/27/2003 20,000 20,342 7.000% due 08/16/2004 (d) 61,600 61,704 Dayton Hudson Corp. 10.000% due 12/01/2000 1,000 1,004 Delphi Auto Systems Corp. 6.130% due 05/01/2004 20,000 19,103 Delta Air Lines, Inc. 6.650% due 03/15/2004 13,500 12,809 10.430% due 01/02/2011 850 969 10.140% due 08/14/2012 1,000 1,144 9.200% due 09/23/2014 6,000 6,083 10.500% due 04/30/2016 4,550 4,994 Duty Free International, Inc. 7.000% due 01/15/2004 175 169 Eastman Chemical Co. 6.380% due 01/15/2004 5,750 5,535 Electric Lightwave, Inc. 6.050% due 05/15/2004 10,700 10,423 Eli Lilly & Co. 8.130% due 12/01/2001 500 507 6.250% due 03/15/2003 100 99 2000 Semi-Annual Report See accompanying notes 63 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Embotelladora Arica SA 9.880% due 03/15/2006 $ 7,500 $ 7,810 Enron Corp. 7.110% due 09/10/2001 (d) 7,000 7,001 6.450% due 11/15/2001 275 273 7.660% due 01/14/2002 5,000 5,040 8.380% due 05/23/2005 12,000 12,550 Federal Express Corp. 6.850% due 01/15/2019 826 767 Ford Capital BV 9.380% due 05/15/2001 300 304 Ford Motor Co. 9.000% due 09/15/2001 880 893 6.630% due 10/01/2028 115,800 97,647 7.450% due 07/16/2031 10,000 9,325 Fortune Brands, Inc. 8.500% due 10/01/2003 500 521 Fred Meyer, Inc. 7.150% due 03/01/2003 11,000 10,927 7.380% due 03/01/2005 38,100 37,726 7.450% due 03/01/2008 300 291 General Foods Corp. 6.000% due 06/15/2001 200 197 General Motors Acceptance Corp. 6.250% due 05/01/2005 300 291 Gillette Co. 6.250% due 08/15/2003 750 749 5.750% due 10/15/2005 1,500 1,453 Grupo Elektra SA 12.750% due 05/15/2001 1,000 1,035 Gulf Canada Resources Ltd. 9.250% due 01/15/2004 7,250 7,366 Harrahs Operating Co., Inc. 7.880% due 12/15/2005 5,000 4,825 Heinz (H.J.) Co. 6.880% due 01/15/2003 100 101 Hertz Corp. 6.000% due 02/01/2001 75 75 Hilton Hotels Corp. 7.380% due 06/01/2002 1,000 992 Houghton Mifflin Co. 5.990% due 12/03/2001 3,000 2,955 IBM Corp. 7.250% due 11/01/2002 450 455 ICI Wilmington 6.750% due 09/15/2002 10,000 9,882 IMEXSA Export Trust 10.130% due 05/31/2003 7,644 7,618 Imperial Tobacco 7.130% due 04/01/2009 21,785 19,906 Ingersoll-Rand Co. 6.260% due 02/15/2001 295 294 International Game Technology 7.880% due 05/15/2004 24,500 24,071 International Paper Co. 9.050% due 02/08/2001 100 100 7.000% due 06/01/2001 2,000 1,994 ISP Holdings, Inc. 9.750% due 02/15/2002 6,750 6,075 ITT Corp. 6.250% due 11/15/2000 500 499 J Seagram & Sons 5.790% due 04/15/2001 1,800 1,783 6.250% due 12/15/2001 6,545 6,475 K Mart Corp. 8.190% due 11/24/2003 5,000 4,675 Kellogg 5.750% due 02/02/2001 86,925 86,444 Kohls Corp. 7.380% due 10/15/2011 15 14 Kroger Co. 7.560% due 10/01/2010 (d) 54,000 54,098 Limited, Inc. 7.800% due 05/15/2002 500 504 Lockheed Martin Corp. 6.850% due 05/15/2001 30,315 30,205 Mallinckrodt, Inc. 6.300% due 03/15/2011 (d) 23,155 23,046 Mandalay Resort Group 6.750% due 07/15/2003 4,500 4,230 Marlin Water Trust 7.090% due 12/15/2001 11,238 11,174 Mazda Manufacturing Corp. 10.500% due 07/01/2008 (l) 1,980 2,362 Mobil Corp. 8.380% due 02/12/2001 340 341 Nabisco, Inc. 6.000% due 02/15/2001 (d) 11,990 11,900 6.800% due 09/01/2001 3,000 2,962 6.700% due 06/15/2002 9,000 8,811 6.130% due 02/01/2033 15,000 14,356 Nabors Industries, Inc. 6.800% due 04/15/2004 9,250 9,150 News America Holdings Corp. 8.630% due 02/01/2003 750 775 Norfolk Southern Corp. 7.880% due 02/15/2004 50 51 Nortel Networks Corporation 6.880% due 10/01/2002 200 199 Northwest Airlines, Inc. 8.970% due 01/02/2015 1,636 1,659 8.070% due 08/01/2021 400 411 Occidental Petroleum 6.400% due 04/01/2003 7,710 7,520 7.360% due 10/03/2008 30,300 30,262 Park Place Entertainment Corp. 7.950% due 08/01/2003 18,500 18,523 Petroleos Mexicanos 8.130% due 07/15/2005 (d) 100,400 100,651 8.850% due 09/15/2007 1,800 1,787 9.380% due 12/02/2008 14,650 15,090 9.500% due 09/15/2027 31,000 32,008 Philip Morris Cos., Inc. 9.000% due 01/01/2001 300 301 8.750% due 06/01/2001 5,515 5,550 7.250% due 09/15/2001 70 70 7.500% due 01/15/2002 50 50 6.800% due 12/01/2003 48,345 47,340 7.000% due 07/15/2005 1,125 1,093 6.950% due 06/01/2006 9,540 9,495 7.200% due 02/01/2007 34,000 32,649 Philips Petroleum Co. 9.000% due 06/01/2001 2,000 2,016 Premium Asset Trust 7.030% due 09/08/2007 5,000 4,988 Proctor & Gamble Co. 5.250% due 09/15/2003 35,600 34,205 Qwest Corp. 7.200% due 11/01/2004 170 170 Racers 6.930% due 03/03/2003 (d) 282,400 282,400 6.210% due 04/01/2003 20,000 19,956 8.760% due 04/28/2003 (d) 30,000 30,690 6.800% due 09/15/2005 (d) 15,000 14,967 Raytheon Co. 7.310% due 03/01/2002 (d) 8,650 8,668 Rogers Cantel, Inc. 9.380% due 06/01/2008 2,750 2,860 Saferco 9.590% due 05/31/2001 (l) 3,000 3,052 Safeway, Inc. 5.750% due 11/15/2000 3,150 3,144 7.000% due 09/15/2002 1,125 1,124 6.850% due 09/15/2004 250 247 64 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Sara Lee Corp. 6.300% due 11/07/2005 $ 500 $ 486 Scotia Pacific Co. LLC 7.710% due 01/20/2014 305 200 SmithKline Beecham 7.380% due 04/15/2005 150 153 Sprint Capital Corp. 7.010% due 06/10/2002 (d) 1,000 1,000 7.010% due 06/24/2002 (d) 50,000 50,020 Stone Container Corp. 10.750% due 10/01/2002 2,500 2,547 TCI Communications, Inc. 7.260% due 03/12/2001 (d) 14,700 14,756 6.380% due 05/01/2003 3,280 3,234 8.000% due 08/01/2005 450 463 Telecommunications, Inc. 8.250% due 01/15/2003 43,125 44,627 Tenet Healthcare Corp. 7.880% due 01/15/2003 5,000 4,988 8.630% due 12/01/2003 1,200 1,209 Texaco Capital 8.500% due 02/15/2003 700 727 6.000% due 06/15/2005 400 388 Textron, Inc. 6.750% due 09/15/2002 225 224 Time Warner, Inc. 6.100% due 12/30/2001 40,525 39,971 7.980% due 08/15/2004 19,770 20,324 Times Mirror Co. 6.650% due 10/15/2001 300 299 TRW, Inc. 6.630% due 06/01/2004 2,425 2,340 Tyco International Group SA 7.370% due 03/05/2001 (d) 15,000 15,016 6.880% due 09/05/2002 675 674 6.250% due 06/15/2003 16,315 15,880 Union Pacific Corp. 7.880% due 02/15/2002 8,000 8,052 7.330% due 07/01/2002 (d) 25,500 25,531 6.930% due 06/01/2003 1,000 989 6.000% due 09/01/2003 8,000 7,733 6.120% due 02/01/2004 250 241 US Airways 6.850% due 01/30/2018 145 130 USA Waste Services, Inc. 6.130% due 07/15/2001 23,500 23,030 UST, Inc. 7.250% due 06/01/2009 25,000 22,408 USX Corp. 9.800% due 07/01/2001 24,050 24,446 Wal-Mart Stores, Inc. 8.630% due 04/01/2001 2,450 2,473 6.150% due 08/10/2001 450 448 6.750% due 05/24/2002 170 170 6.500% due 06/01/2003 200 199 Walt Disney Co. 6.380% due 03/30/2001 1,100 1,097 5.130% due 12/15/2003 500 475 Waste Management, Inc. 6.380% due 12/01/2003 200 189 6.500% due 05/14/2004 89,000 83,904 Williams Communications Group, Inc. 7.180% due 11/15/2001 10,500 10,507 WMX Technologies 6.700% due 05/01/2001 10,000 9,911 7.000% due 10/15/2006 500 467 Xerox Corp. 7.410% due 05/15/2001 1,000 1,003 Yorkshire Power 6.150% due 02/25/2003 17,000 16,360 --------- 2,478,510 ========= Utilities 6.1% AEP Resources, Inc. 6.500% due 12/01/2003 20,000 19,507 Alabama Power Co. 5.350% due 11/15/2003 1,600 1,528 Arizona Public Service 7.400% due 11/15/2001 (d) 1,000 1,000 Ashland, Inc. 8.450% due 12/05/2001 3,000 3,056 7.250% due 03/07/2003 (d) 300 299 AT&T Corp. 5.130% due 04/01/2001 600 595 7.350% due 08/27/2001 7,200 7,212 7.130% due 01/15/2002 275 276 5.630% due 03/15/2004 350 335 8.650% due 09/15/2004 625 655 7.000% due 05/15/2005 200 199 7.650% due 09/15/2006 140 141 0.000% due 11/01/2007 1,000 877 Baltimore Gas & Electric 6.130% due 07/01/2003 150 147 Bellsouth Telecom 6.000% due 06/15/2002 10,000 9,880 7.500% due 06/15/2033 185 169 Calpine Corp. 9.250% due 02/01/2004 4,150 4,155 7.630% due 04/15/2006 1,800 1,756 CE Electric Funding Company 6.850% due 12/30/2004 250 242 Central Maine Power Co. 7.430% due 08/25/2003 13,000 13,056 Central Power & Light Co. 7.290% due 11/23/2001 (d) 18,100 18,101 Chesapeake & Potomac Telephone 5.630% due 03/01/2007 500 461 8.000% due 10/15/2029 1,125 1,150 Cleveland Electric Illuminating Co. 9.500% due 05/15/2005 33,000 33,794 CMS Energy 8.380% due 07/01/2003 15,000 14,661 8.000% due 07/01/2011 1,000 991 7.000% due 01/15/2005 30,000 27,636 Coastal Corp. 8.130% due 09/15/2002 250 257 Columbus Southern Power Co. 6.850% due 10/03/2005 10,000 9,797 Commonwealth Edison 6.720% due 06/15/2002 (d) 1,000 1,000 6.630% due 07/15/2003 1,000 987 9.880% due 06/15/2020 11,700 12,781 Connecticut Light & Power Co. 7.880% due 06/01/2001 100 100 7.750% due 06/01/2002 5,000 5,048 8.590% due 06/05/2003 27,000 26,646 Consolidated Edison 6.630% due 02/01/2002 100 100 Consolidated Natural Gas Co. 7.250% due 10/01/2004 43,750 43,749 Constellation Energy Group, Inc. 7.220% due 04/04/2003 (d) 15,000 14,961 Deutsche Telekom AG 7.750% due 06/15/2005 134,400 137,718 Dominion Resources, Inc. 7.030% due 01/26/2001 (d) 1,600 1,601 7.600% due 07/15/2003 35,000 35,377 DTE Capital Corp. 8.350% due 11/15/2038 (d) 70,250 68,734 Duke Energy Corp. 5.880% due 06/01/2001 375 373 6.750% due 08/01/2025 25 21 East Coast Power LLC 6.740% due 03/31/2008 17,772 16,968 2000 Semi-Annual Report See accompanying notes 65 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Edison Mission Energy 7.330% due 06/15/2001 (d) $ 1,000 $ 1,000 El Paso Electric Co. 9.400% due 05/01/2011 7,455 7,933 El Paso Energy Corp. 6.630% due 07/15/2001 12,000 11,917 El Paso Natural Gas Co. 7.750% due 01/15/2002 15,000 15,106 Entergy Arkansas, Inc. 7.000% due 03/01/2002 1,580 1,575 7.720% due 03/01/2003 200 202 Entergy Louisiana, Inc. 8.500% due 06/01/2003 3,000 3,084 Entergy Mississippi, Inc. 7.360% due 05/03/2004 (d) 31,000 30,806 Georgia Power Co. 6.670% due 02/22/2002 (d) 15,000 14,990 GTE Corp. 7.250% due 08/01/2002 150 151 5.500% due 01/15/2009 100 88 Gulf States Utilities 6.410% due 08/01/2001 5,800 5,760 Hughes Electric 7.560% due 10/23/2000 (j) 10,000 10,003 Indiana Bell Telephone Co., Inc. 5.500% due 04/01/2007 500 455 Indiana Michigan Power 7.270% due 11/22/2000 (d) 2,500 2,501 Indianapolis Power & Light 7.380% due 08/01/2007 225 227 K N Energy, Inc. 6.450% due 11/30/2001 10,000 9,902 6.450% due 03/01/2003 240 236 Kansai Electric Power Co. 7.250% due 09/25/2006 2,000 2,021 Korea Electric Power 7.000% due 10/01/2002 380 374 6.380% due 12/01/2003 220 211 Louisiana Power & Light Co. 7.740% due 07/01/2002 599 599 MCI Worldcom, Inc. 8.880% due 01/15/2006 34,150 35,261 6.130% due 04/15/2012 1,250 1,235 Montana Power Co. 7.000% due 04/06/2001 (d) 15,000 15,004 National Power Corp. 9.630% due 05/15/2028 16,000 11,631 National Rural Utilities Cooperative 6.880% due 05/31/2002 (d) 10,000 9,996 6.250% due 04/15/2003 50,000 48,982 Nevada Power Co. 7.270% due 08/20/2001 (d) 900 900 New England Telephone & Telegraph Co. 6.380% due 09/01/2008 1,350 1,267 New Jersey Bell Telephone 4.880% due 11/01/2000 800 799 New York Telephone Co. 6.250% due 02/15/2004 150 146 6.000% due 04/15/2008 45 41 Niagara Mohawk Power 7.000% due 10/01/2000 60,235 60,235 6.880% due 03/01/2001 21,538 21,516 7.250% due 10/01/2002 24,783 24,676 7.380% due 07/01/2003 39,162 39,255 7.380% due 08/01/2003 1,645 1,658 North Atlantic Energy 9.050% due 06/01/2002 3,948 3,988 Northern Illinois Gas Co. 6.450% due 08/01/2001 1,450 1,447 Northern Telecom Ltd. 8.750% due 06/12/2001 300 303 NRG Energy, Inc. 8.000% due 11/01/2003 6,000 6,044 Principal Amount Value (000s) (000s) ------------------------------------------------------------------- NRG Northeast Generating LLC 8.070% due 12/15/2004 $ 500 $ 503 Nynex Corp. 9.550% due 05/01/2010 5,941 6,360 Ohio Bell Telephone Co. 5.380% due 03/01/2007 950 865 Ohio Power Co. 7.000% due 07/01/2004 24,000 23,828 Oxymar 7.500% due 02/15/2016 200 149 Pacific Gas & Electric Co. 6.750% due 12/01/2000 3,049 3,048 Pacific Northwest Bell 4.380% due 09/01/2002 50 48 Philadelphia Electric 5.630% due 11/01/2001 22,350 22,026 Philippine Long Distance Telephone Co. 7.850% due 03/06/2007 5,000 4,088 10.500% due 04/15/2009 5,000 4,515 PP&L, Inc. 6.130% due 05/01/2001 (d) 16,102 15,999 6.550% due 03/01/2006 500 486 PSEG Energy Holdings 9.130% due 02/10/2004 120 123 Public Service Co. of Colorado 6.000% due 04/15/2003 750 732 Public Service Electric & Gas 7.250% due 04/01/2001 (d) 3,191 3,191 6.130% due 08/01/2002 1,000 987 6.250% due 01/01/2007 1,500 1,416 Public Service Enterprise Group, Inc. 7.010% due 11/22/2000 (d) 11,000 11,002 7.040% due 06/15/2001 (d) 156,200 156,262 Queststar Pipeline 9.380% due 06/01/2021 200 208 RAS LAFFAN Liquid Natural Gas 8.290% due 03/15/2014 145 138 Reliant Energy, Inc. 9.380% due 06/01/2001 1,000 1,013 6.380% due 11/01/2003 22,250 21,802 8.750% due 03/01/2022 10,000 10,142 Rochester Telecom 8.950% due 08/07/2001 3,000 3,051 Scana Corp. 7.210% due 02/08/2002 (d) 3,100 3,102 7.380% due 07/15/2002 (d) 27,000 27,037 Sierra Pacific Power Co. 7.160% due 06/12/2001 (d) 39,000 39,000 Sierra Pacific Resources 7.340% due 04/20/2003 (d) 2,000 2,001 6.200% due 04/15/2004 20,000 19,009 SK Telecom Co. Ltd. 7.750% due 04/29/2004 5,000 4,961 Southern Energy 7.900% due 07/15/2009 175 166 Sprint Capital Corp. 6.500% due 11/15/2001 13,365 13,325 6.970% due 11/15/2001 (d) 101,700 101,745 8.130% due 07/15/2002 10,378 10,608 5.880% due 05/01/2004 43,500 41,718 System Energy Resources 7.380% due 10/01/2000 5,000 5,000 7.710% due 08/01/2001 5,800 5,817 Teco Energy, Inc. 5.540% due 09/15/2001 44,630 44,075 Telekomunikacja Polska SA 7.130% due 12/10/2003 12,200 11,935 7.750% due 12/10/2008 13,600 13,117 Tennessee Valley Authority 3.380% due 01/15/2007 (i) 10,893 10,211 0.000% due 04/15/2042 855 366 66 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Texas Utilities Co. 6.660% due 12/01/2000 $ 67,700 $ 67,700 7.210% due 06/25/2001 131,200 131,111 6.370% due 08/16/2001 1,000 990 7.590% due 09/24/2001 208,800 209,907 5.940% due 10/15/2001 3,000 2,961 6.500% due 08/16/2002 2,600 2,578 Toledo Edison Co. 8.180% due 07/30/2002 1,400 1,423 8.700% due 09/01/2002 14,500 14,738 7.850% due 03/31/2003 7,000 7,082 7.880% due 08/01/2004 500 507 TXU Eastern Funding 6.150% due 05/15/2002 53,800 52,657 6.450% due 05/15/2005 18,270 17,321 U.S. West Communications, Inc. 5.650% due 11/01/2004 9,000 8,470 6.630% due 09/15/2005 400 389 6.130% due 11/15/2005 400 380 Union Electric Co. 8.000% due 12/15/2022 1,000 981 United Telecom, Inc. 9.500% due 06/06/2001 150 152 Western Resources, Inc. 6.250% due 08/15/2003 6,600 5,932 Williams Cos., Inc. 6.130% due 02/01/2001 3,000 2,988 6.200% due 08/01/2002 4,000 3,947 Wilmington Trust Co. - Tucson Electric 10.730% due 01/01/2013 (l) 991 1,038 WorldCom, Inc. 6.130% due 08/15/2001 2,030 2,018 6.920% due 11/26/2001 (d) 12,700 12,713 6.400% due 08/15/2005 1,625 1,576 YPF Sociedad Anonima 7.250% due 03/15/2003 16,475 16,146 ---------- 2,152,502 ---------- Total Corporate Bonds & Notes 14,554,070 ========== (Cost $14,785,594) ------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 0.8% ------------------------------------------------------------------- Alabama 0.0% Jefferson County Alabama Sewer Revenue Warrants, (FGIC Insured), Series 2000 6.560% due 02/01/2029 4,500 3,718 5.910% due 02/01/2036 625 547 Montgomery Alabama Special Care Facilities Financing Authority Revenue Bonds, (MBIA Insured), Series 1998 5.000% due 11/15/2029 2,000 1,743 ----- 6,008 ----- California 0.1% California State Department of Water Resources Center Valley Project Revenue Bonds, Series 2000 6.030% due 12/01/2029 2,500 2,056 California State General Obligation, Series 2000 5.630% due 05/01/2026 5,270 5,342 5.750% due 05/01/2030 1,000 1,023 Cook County Illinois General Obligation (FGIC Insured), Series 1999 5.000% due 11/15/2028 6,445 5,688 Los Angeles California Wastewater System Revenue Bonds, (FGIC Insured), Series 2000 5.900% due 06/01/2028 6,500 4,396 Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue Bonds, (AMBAC Insured), Series 2000 5.740% due 07/01/2023 3,500 3,071 Orange County School Board, (MBIA Insured), Series 2000 5.710% due 08/01/2024 3,500 2,866 Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Port of Oakland California Revenue Bonds, (FGIC Insured), Series 2000 5.750% due 11/01/2029 $ 1,000 $ 1,019 San Diego Public Facilities Financing Authority Revenue Bonds, (FGIC Insured), Series 1999 5.000% due 05/15/2029 1,000 923 San Francisco California City & County Airport Community Revenue, (MBIA Insured), Series 1998 4.500% due 05/01/2028 6,700 5,650 ------ 32,034 ------ Colorado 0.0% E-470 Public Highway Authority Revenue Bonds, (MBIA Insured), Series 2000 5.750% due 09/01/2035 2,500 2,497 ------ Florida 0.1% Broward County Florida Airport System Revenue, (AMBAC Insured), Series 2000 5.030% due 10/01/2023 1,328 1,024 Florida State Board of Education General Obligation, (FGIC Insured), Series 2000 4.710% due 06/01/2023 3,500 2,310 Florida State Governmental Utility Authority Utility Revenue, (AMBAC Insured), Series 2000 5.710% due 10/01/2029 6,453 5,267 Florida State Turnpike Authority Revenue Bonds, (FGIC Insured), Series 2000 4.440% due 07/01/2027 6,323 4,007 Greater Orlando Aviation Authority, Orlando Florida Airport Facitities Revenue Bonds, (FGIC Insured), Series 1999 5.130% due 10/01/2028 2,000 1,800 Lakeland Florida Electric & Water Revenue, (MBIA Insured), Series 1999 5.000% due 10/01/2028 5,350 4,790 Modesto Public Financing Authority Lease Revenue, (AMBAC Insured), Series 2000 5.740% due 09/01/2029 2,500 2,125 Orange Tourist Florida Tourist Development Tax Revenue Bonds, (AMBAC Insured), Series 2000 5.500% due 10/01/2031 2,000 1,950 Tampa Florida Guaranteed Entitlement Revenue, (AMBAC Insured), Series 2001 6.000% due 10/01/2005 2,230 2,322 Tampa Florida Utility Tax & Special Revenue, (AMBAC Insured), Series 2001 6.000% due 10/01/2005 3,000 3,128 6.000% due 10/01/2008 1,500 1,586 ------ 30,309 ------ Georgia 0.1% Atlanta Georgia Airport Revenue, (FGIC Insured), Series 2000 5.500% due 01/01/2026 1,000 975 Atlanta Georgia Water & Wastewater Revenue, (FGIC Insured), Series 1999 5.000% due 11/01/2038 44,600 39,205 Georgia Local Government Certificate Of Participation, (MBIA Insured), Series 2000 5.810% due 06/01/2028 9,950 6,866 ------ 47,046 ------ 2000 Semi-Annual Report See accompanying notes 67 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) =================================================================== Hawaii 0.0% Honolulu Hawaii City & County Wastewater System Revenue, (FGIC Insured), Series 1998 5.000% due 07/01/2023 $ 6,935 $ 6,231 Honolulu Hawaii City & County Wastewater System Revenue, (FGIC Insured), Series 2000 5.210% due 07/01/2028 7,200 4,941 ------- 11,172 ======= Illinois 0.0% Chicago IIlinois Skyway Toll Bridge Revenue Bonds, (AMBAC Insured), Series 2000 5.500% due 01/01/2031 2,000 1,920 Chicago Illinois General Obligations Unlimited, (FGIC Insured), Series 2000 5.500% due 01/01/2040 3,500 3,321 Chicago Illinois Residual General Obligation, (MBIA Insured), Series 2000 5.960% due 01/01/2028 3,100 2,461 ------- 7,702 ======= Kansas 0.0% Wichita Kansas Hospital Revenue Bonds, Series 1999 6.250% due 11/15/2024 1,000 1,000 ------- Maryland 0.0% Maryland St. Health & Higher Educational Facilities Authority Revenue Bonds, Series 1999 6.000% due 07/01/2039 3,000 3,096 ------- Massachusetts 0.1% E-470 Public Highway Residual 144a Revenue Bonds, (MBIA Insured), Series 2000 5.710% due 09/01/2021 2,590 2,104 Massachusetts Bay Transportation Authority Revenue Bonds, (MBIA Insured), Series 2000 5.260% due 03/01/2021 4,150 3,164 Massachusetts State Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2000 5.910% due 01/01/2039 10,250 7,982 Massachusetts State Turnpike Authority Revenue Bonds, (MBIA Insured), Series 2000 5.910% due 01/01/2037 13,550 10,620 ------- 23,870 ======= Minnesota 0.0% Minnesota Agricultural & Economic Development Board Revenue Bonds, Series 2000 6.380% due 11/15/2029 1,000 1,003 St. Cloud Minnesota Health Care Revenue Bonds, Series 2000 5.750% due 05/01/2026 1,000 994 ------- 1,997 ======= Mississippi 0.0% Mississippi Development Bank Special Obligation, (AMBAC Insured), Series 2000 5.810% due 07/01/2024 2,500 2,103 ------- Nevada 0.1% Clark County Nevada General Obligations, (MBIA Insured), Series 2000 8.440% due 07/01/2030 20,913 19,422 Clark County Passenger Facility Charge Revenue Bonds, (MBIA Insured), Series 2000 5.210% due 07/01/2022 4,750 3,622 ------- 23,044 ======= Principal Amount Value (000s) (000s) =================================================================== New Jersey 0.0% Essex County Improvement Authority Revenue Bonds, (FGIC Insured), Series 2000 5.750% due 10/01/2030 $ 500 $ 503 New Jersey Health Care Facilities Financing Authority Revenue Bonds, (MBIA Insured), Series 2000 5.130% due 07/01/2028 2,000 1,363 ------- 1,866 ======= New York 0.2% Long Island Power Authority Revenue Bonds, (FSA Insured), Series 2000 6.160% due 12/01/2022 4,500 3,876 Long Island Power Authority Revenue Bonds, (MBIA Insured), Series 2000 6.410% due 12/01/2026 5,500 4,806 New York City Municipal Bond, Series 1997 6.960% due 08/01/2002 (d) 6,108 6,102 New York City Municipal Water Finance Authority, (MBIA-IBC Insured), Series 2000 5.130% due 06/15/2025 6,565 4,743 New York City Transitional Finance Authority Revenue Bonds, (FGIC Insured), Series 1998 4.750% due 11/15/2023 5,000 4,321 New York City Transitional Finance Authority Revenue Bonds, Series 2000 5.500% due 11/01/2024 2,500 2,431 New York City, New York General Obligation, Series D 6.900% due 08/01/2002 (d) 14,815 14,815 New York State Dorm Authority Lease Revenue Bonds, (FSA Insured), Series 1998 4.750% due 01/15/2029 3,850 3,267 New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 1998 5.000% due 02/15/2023 5,100 4,582 New York State Thruway Authority General Obligation, Series 1998 5.000% due 01/01/2025 300 267 Niagara Frontier Airport Revenue Bonds, (MBIA Insured), Series 1999 5.630% due 04/01/2029 1,000 969 Port Authority of New York & New Jersey Revenue Bonds, (MBIA Insured), Series 1997 5.750% due 12/01/2022 4,500 4,519 ------- 54,698 ======= North Dakota 0.0% Mercer County Improvement Authority Revenue Bonds, Series 1978 5.800% due 01/01/2018 6,460 6,678 ------- Ohio 0.0% Hamilton County Ohio Sales Tax Revenue Bonds, (MBIA Insured), Series 2000 5.460% due 12/01/2027 3,250 2,637 ------- Pennsylvania 0.0% Allegheny County Hospital Development Authority Revenue Bonds, (MBIA Insured), Series 2000 A 6.500% due 11/15/2030 1,000 1,053 Philadelphia School District General Obligation Unlimited, (MBIA Insured), Series 2000 5.210% due 04/01/2027 3,150 2,217 Pittsburgh & Allegheny County Revenue Bonds, (AMBAC Insured), Series 1999 5.000% due 02/01/2029 500 446 ------- 3,716 ======= 68 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) =================================================================== Puerto Rico 0.0% Puerto Rico Commonwealth General Obligation, (MBIA Insured), Series 2000 5.875% due 07/01/2035 $ 8,920 $ 9,062 --------- Texas 0.1% Dallas-Fort Worth International Airport Revenue, (FGIC Insured), Series 2000 6.000% due 11/01/2028 4,000 4,060 Harris County Health Facilities Development Corporation Revenue, (MBIA Insured), Series 2000 6.140% due 07/01/2021 3,500 2,993 Houston Independent School District General Obligation, (PSF Insured), Series 1999 4.750% due 02/15/2026 30,175 25,460 Houston Texas Airport System Revenue, (FGIC Insured), Series 1998 5.000% due 07/01/2025 5,500 4,904 Houston, Texas, Water & Sewer System Revenue, (FGIC Insured), Series 2000 5.250% due 12/01/2030 1,000 926 --------- 38,343 ========= Utah 0.0% Weber County, Utah Hospital Revenue Bonds, Series 1999 5.000% due 08/15/2030 500 423 --------- Washington State 0.0% Seattle Washington General Obligation, Series 2000 5.960% due 12/15/2028 3,000 2,378 --------- Washington, DC 0.0% Washington D.C. Convention Center Authority Dedicated Tax Revenue, (AMBAC Insured), Series 2000 5.030% due 10/01/2028 6,500 4,688 --------- Total Municipal Bonds & Notes 316,367 (Cost $315,244) ========= -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 0.8% -------------------------------------------------------------------------------- A.I.D. Housing Guarantee - Peru 9.980% due 08/01/2008 935 957 Federal Farm Credit Bank 6.400% due 01/16/2002 100 100 5.730% due 03/28/2003 300 295 Federal Home Loan Bank 7.270% due 02/15/2002 (d) 17,000 16,788 6.210% due 12/30/2002 200 198 5.130% due 09/15/2003 350 337 5.140% due 09/22/2003 600 576 6.000% due 06/30/2004 1,000 979 6.250% due 08/13/2004 250 248 6.030% due 01/22/2009 275 256 0.000% due 09/29/2017 2,000 487 0.000% due 09/10/2018 15,000 3,711 Federal Home Loan Mortgage Corp. 5.500% due 05/15/2002 435 429 7.000% due 02/15/2003 500 506 7.380% due 05/15/2003 3,500 3,574 6.880% due 01/15/2005 95 96 5.750% due 03/15/2009 1,955 1,824 6.630% due 09/15/2009 1,335 1,321 6.750% due 06/03/2013 400 373 Federal National Mortgage Assn. 0.000% due 08/15/2001 105 99 6.100% due 09/14/2001 100 100 5.380% due 03/15/2002 750 739 6.250% due 11/15/2002 115 114 6.000% due 03/03/2003 500 493 6.100% due 03/20/2003 250 247 5.500% due 12/29/2003 500 485 5.750% due 06/15/2005 900 872 6.560% due 12/10/2007 190 185 5.250% due 01/15/2009 80 72 6.630% due 09/15/2009 1,000 993 Small Business Administration 7.450% due 08/01/2010 107,300 109,273 Student Loan Marketing Assn. 6.840% due 04/25/2004(d) 6,925 6,916 6.480% due 07/25/2004(d) 842 840 6.740% due 10/25/2004(d) 15,532 15,495 6.830% due 10/25/2004(d) 24,678 24,639 6.710% due 10/25/2005(d) 14,542 14,490 6.920% due 04/25/2006(d) 84,060 83,739 --------- Total U.S. Government Agencies 292,846 (Cost $282,885) ========= -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 13.7% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (i) 3.630% due 07/15/2002 1,118,428 1,118,079 3.380% due 01/15/2007(j) 239,835 231,965 3.630% due 01/15/2008(j) 456,306 445,897 3.880% due 01/15/2009(j) 218,316 216,542 3.630% due 04/15/2028(j) 70,496 67,015 3.880% due 04/15/2029(j) 6,703 6,661 U.S. Treasury Bonds 12.380% due 05/15/2004 1,000 1,206 0.000% due 02/15/2015 188,900 280,812 8.130% due 08/15/2019 31,000 37,859 0.000% due 08/15/2020 349,245 453,691 8.130% due 05/15/2021 57,500 70,887 8.130% due 08/15/2021 134,200 165,653 8.000% due 11/15/2021 142,620 174,264 7.250% due 08/15/2022 275 313 6.250% due 08/15/2023 1,425 1,452 0.000% due 02/15/2026 184,400 182,729 6.130% due 11/15/2027 200 202 5.500% due 08/15/2028 59,900 55,613 6.130% due 08/15/2029 8,000 8,173 6.250% due 05/15/2030 535,200 562,797 U.S. Treasury Notes 6.750% due 05/15/2005 235,000 243,519 5.630% due 05/15/2008 500 491 6.500% due 02/15/2010 320 333 U.S. Treasury Strips 0.000% due 05/15/2013 4,500 2,096 0.000% due 02/15/2014 64,900 28,801 0.000% due 02/15/2015 135,000 56,298 0.000% due 05/16/2015 152,700 62,719 0.000% due 08/15/2015 170,400 68,833 0.000% due 11/15/2018 108,200 35,915 0.000% due 11/15/2021 795,000 222,563 0.000% due 11/15/2024 207,000 49,161 --------- Total U.S. Treasury Obligations 4,852,539 (Cost $4,846,168) ========= -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 73.3% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 22.5% ABN AMRO Mortgage Corp. 6.750% due 09/25/2028 3,765 3,547 6.500% due 06/25/2029 7,093 6,516 ABSC Long Beach Home Equity Loan Trust 6.880% due 08/31/2030(d) 137,705 137,705 American Southwest Financial Securities Corp. 7.400% due 11/17/2004 34,802 35,077 12.250% due 11/01/2014 32 32 12.500% due 04/01/2015 279 281 12.000% due 05/01/2015 498 507 7.250% due 11/25/2038 54,826 53,198 Aurora Loan Services 7.340% due 05/25/2030(d) 42,548 42,481 Banc of America Funding Corporation 6.750% due 11/20/2032 17,000 16,074 Bank of America Mortgage Securities, Inc. 6.250% due 07/25/2014 10,040 9,533 6.250% due 08/25/2028 25,000 22,518 6.500% due 05/25/2029 35,565 32,818 7.250% due 10/25/2029 10,371 9,356 2000 Semi-Annual Report See accompanying notes 69 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Bear Stearns Mortgage Securities, Inc. 7.000% due 08/20/2018 $ 9,999 $ 9,457 7.380% due 10/25/2023 (d) 3,046 3,227 6.350% due 08/25/2024 1,481 1,474 10.000% due 08/25/2024 5,000 5,606 7.000% due 03/25/2027 7,000 6,738 8.130% due 09/25/2027 3,000 3,020 7.450% due 12/25/2027 62 62 7.000% due 02/25/2028 10,000 9,624 7.000% due 05/20/2030 34,574 33,869 7.170% due 06/25/2030 6,890 6,802 Capital Asset Research Funding LP 5.910% due 12/15/2005 153 152 Cendant Mortgage Corp. 7.250% due 04/18/2013 829 827 6.510% due 11/18/2028 (d) 13,739 12,760 6.500% due 11/18/2028 (d) 5,952 5,009 Centre Re 6.720% due 02/01/2009 30,620 29,308 Chase Mortgage Finance Corp. 8.250% due 10/25/2010 231 230 7.000% due 07/25/2024 2,275 2,262 7.000% due 08/25/2024 2,890 2,810 6.750% due 03/25/2025 11,449 9,911 6.320% due 04/25/2025 (d) 17,759 17,939 6.750% due 10/25/2028 39,000 36,712 6.350% due 07/25/2029 70,207 69,509 Chemical Mortgage Securities 7.250% due 01/25/2026 11,477 11,356 Citicorp Mortgage Securities, Inc. 7.650% due 10/25/2022 (d) 9,687 9,709 6.250% due 04/25/2024 11,796 10,407 6.250% due 05/25/2024 3,753 3,726 7.250% due 10/25/2027 20,462 19,666 6.750% due 09/25/2028 8,806 8,354 5.900% due 05/25/2029 12,282 12,199 CMC Securities Corp. 7.520% due 09/25/2023 (d) 0 3,454 8.420% due 04/25/2025 (d) 154 156 7.250% due 11/25/2027 9,293 9,115 6.150% due 05/25/2028 (d) 72 72 6.750% due 05/25/2028 5,000 4,720 CMSI 2000 7.500% due 10/30/2030 11,233 10,524 Collateralized Mortgage Obligation Trust 10.200% due 02/01/2016 2,259 2,276 7.250% due 04/23/2017 62 62 8.000% due 09/20/2021 6,301 6,293 Collateralized Mortgage Securities Corp. 11.450% due 09/01/2015 969 979 11.450% due 11/01/2015 (d) 2 2 8.750% due 04/20/2019 403 411 COMM 6.150% due 02/15/2008 15,326 14,896 6.490% due 12/16/2011 (d) 9,000 9,014 Countrywide Alternative Loan Trust 8.000% due 07/25/2030 21,089 21,340 Countrywide Funding Corp. 6.630% due 02/25/2024 33,827 31,226 Countrywide Home Loans 6.500% due 07/25/2013 5,676 5,293 8.790% due 07/25/2024 (d) 2,314 2,332 6.750% due 11/25/2025 25,567 22,795 7.500% due 04/25/2027 1,534 1,533 7.500% due 06/25/2027 12,122 12,142 7.500% due 09/25/2027 20,000 19,704 7.250% due 12/25/2027 6,224 5,965 7.250% due 02/25/2028 57,846 55,542 6.750% due 06/25/2028 15,103 13,461 6.750% due 08/25/2028 10,024 9,945 6.750% due 11/25/2028 3,000 2,803 6.500% due 01/25/2029 24,978 23,306 6.500% due 03/25/2029 21,744 20,032 6.050% due 04/25/2029 1,337 1,320 7.250% due 08/25/2029 5,700 5,381 7.750% due 08/31/2030 29,310 27,761 Crusade Global Trust 7.010% due 05/15/2021 (d) 100,000 100,250 CS First Boston Mortgage Securities Corp. 6.750% due 12/27/2028 12,607 10,467 6.960% due 06/20/2029 124 124 DLJ Commercial Mortgage Corp. 6.880% due 05/05/2003 (d) 31,164 31,183 DLJ Mortgage Acceptance Corp. 8.670% due 05/25/2024 (d) 107 109 6.850% due 12/17/2027 6,605 6,585 Donaldson, Lufkin & Jenrette, Inc. 6.450% due 08/01/2021 (d)(l) 3,985 4,256 8.410% due 12/25/2022 (d) 1,593 1,614 8.580% due 03/25/2024 (d) 460 468 Drexel Mortgage Funding 9.500% due 11/20/2017 622 626 DVI Business Credit Receivable 6.460% due 10/15/2003 (d) 3,850 3,891 FBS Mortgage Corp. 7.140% due 11/25/2024 364 363 Federal Home Loan Mortgage Corp. 8.000% due 03/15/2002 103 103 6.750% due 10/15/2003 14,399 14,364 7.000% due 10/15/2003 3,497 3,498 7.500% due 11/01/2003 4,476 4,513 7.000% due 12/15/2003 89 89 10.150% due 04/15/2006 8 8 6.500% due 07/15/2006 7,832 7,799 6.500% due 08/15/2006 523 520 6.770% due 03/12/2007 400 403 7.500% due 05/01/2007 1,345 1,363 5.500% due 10/15/2007 4,494 4,450 6.500% due 05/15/2008 1,000 993 3.050% due 06/15/2008 (d) 157 144 7.000% due 08/15/2008 3,353 361 6.000% due 11/15/2008 225 218 6.200% due 12/15/2008 4,487 4,164 6.000% due 03/15/2009 265 258 7.550% due 03/15/2012 180 181 8.500% due 08/15/2013 2,000 2,051 8.500% due 09/15/2013 5,941 6,066 6.000% due 11/15/2014 400 360 5.400% due 05/25/2016 1,675 1,664 6.250% due 10/15/2017 16,572 16,466 5.900% due 03/15/2018 3,420 3,399 6.350% due 03/25/2018 179 177 5.250% due 05/15/2018 156 155 10.000% due 08/01/2018 57 60 6.500% due 10/15/2018 480 19 6.400% due 02/15/2019 13,420 13,329 6.500% due 05/15/2019 173 172 5.800% due 06/15/2019 5,032 5,004 6.250% due 07/15/2019 18,216 18,086 5.000% due 08/15/2019 85 84 7.500% due 01/15/2020 2,676 2,671 7.080% due 06/15/2020 (d) 88 88 5.250% due 07/15/2020 304 299 5.500% due 10/15/2020 55 54 9.500% due 11/15/2020 3,189 3,366 9.000% due 12/15/2020 795 822 8.750% due 12/15/2020 1,265 1,295 6.000% due 12/15/2020 252 242 9.000% due 12/15/2020 1,602 1,653 9.500% due 01/15/2021 1,955 2,056 6.250% due 01/15/2021 200 196 8.000% due 04/15/2021 89 91 6.500% due 05/15/2021 104 103 6.500% due 05/17/2021 57 55 8.500% due 06/15/2021 24,203 24,926 6.950% due 07/15/2021 439 441 9.000% due 07/15/2021 1,969 2,051 9.500% due 07/15/2021 1,203 1,310 8.000% due 07/15/2021 9,502 9,533 6.200% due 08/15/2021 1,158 1,148 6.950% due 08/15/2021 157 154 70 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) =================================================================== 8.000% due 08/15/2021 $ 23,472 $ 23,808 7.000% due 09/15/2021 274 272 6.500% due 09/15/2021 29,896 29,579 7.000% due 10/15/2021 9 9 8.000% due 12/15/2021 18,405 18,931 6.850% due 01/15/2022 700 692 8.250% due 06/15/2022 5,000 5,101 7.000% due 07/15/2022 9,380 9,144 8.500% due 10/15/2022 7,029 7,303 7.500% due 01/15/2023 17,740 17,313 7.000% due 05/15/2023 10,499 9,810 7.000% due 07/15/2023 270 246 7.500% due 07/15/2023 395 399 6.500% due 07/15/2023 272 266 6.500% due 08/15/2023 141,607 140,328 6.850% due 10/25/2023 3,059 2,992 6.500% due 11/15/2023 135 117 7.500% due 01/20/2024 103 103 5.000% due 02/15/2024 116 97 6.500% due 02/15/2024 21 21 6.500% due 03/15/2024 320 283 8.000% due 04/25/2024 475 484 6.250% due 05/15/2024 13,357 11,838 7.250% due 08/15/2024 190 190 8.000% due 09/15/2024 16,250 16,398 7.500% due 02/15/2025 3,620 3,639 7.000% due 09/17/2025 40 39 6.500% due 03/15/2026 110 104 8.020% due 10/01/2026 (d) 2,926 2,985 6.000% due 11/15/2026 550 510 7.500% due 01/15/2027 25,182 24,035 7.000% due 01/15/2027 61 61 8.000% due 02/15/2027 34,599 34,657 7.500% due 03/17/2027 20,000 19,806 6.750% due 05/15/2027 824 819 7.500% due 06/20/2027 19,568 18,783 6.500% due 08/15/2027 15,642 12,949 6.500% due 10/15/2027 32,300 29,407 6.000% due 11/15/2027 665 616 6.500% due 01/25/2028 8,691 7,893 7.000% due 02/15/2028 1,593 1,520 6.500% due 04/15/2028 158,188 144,424 6.500% due 05/15/2028 48,000 43,284 6.500% due 06/15/2028 61,318 51,465 6.500% due 06/20/2028 23,392 19,621 6.500% due 07/15/2028 70,438 58,390 6.500% due 08/15/2028 275,986 229,683 7.000% due 11/15/2028 9,000 8,570 6.500% due 12/15/2028 7,057 5,506 6.000% due 12/15/2028 23,099 18,817 6.250% due 12/15/2028 1,673 1,376 6.500% due 01/15/2029 10,411 9,614 6.000% due 02/15/2029 3,873 2,877 6.500% due 03/15/2029 25,864 22,421 6.500% due 06/01/2029 106 102 6.500% due 07/01/2029 1,084 1,043 8.000% due 07/15/2029 1,250 1,222 7.500% due 08/15/2030 201 192 7.000% due 09/15/2030 (d) 18,100 15,280 7.120% due 09/30/2030 15,200 15,053 7.500% due 10/15/2030 27,350 25,991 6.500% due 08/15/2032 (d) 26,172 25,687 Federal National Mortgage Assn. 9.100% due 02/25/2002 194 193 7.500% due 05/25/2005 6,700 6,757 7.500% due 02/25/2006 375 377 6.500% due 05/01/2006 142 141 6.500% due 07/25/2006 50 50 8.000% due 11/25/2006 30 30 6.350% due 12/25/2006 8 8 6.000% due 07/25/2007 300 296 5.580% due 08/25/2007 (d) 10 9 6.740% due 08/25/2007 145 142 6.270% due 09/25/2007 3,000 2,852 7.000% due 10/25/2007 200 200 6.500% due 05/25/2008 500 497 10.500% due 08/25/2008 7,146 7,851 6.000% due 08/25/2008 69 68 7.450% due 09/25/2008 (d) 1,606 1,463 6.750% due 11/25/2010 886 881 7.000% due 01/25/2011 100 99 6.000% due 03/18/2015 11,217 11,128 8.000% due 12/25/2016 181 183 9.250% due 04/25/2018 173 182 9.300% due 05/25/2018 672 699 9.500% due 06/25/2018 564 589 7.210% due 06/25/2018 (d) 3 3 9.500% due 11/25/2018 6,998 7,155 6.000% due 02/25/2019 4,242 4,195 6.500% due 03/25/2019 885 872 9.500% due 06/25/2019 1,339 1,400 5.650% due 07/25/2019 457 454 9.300% due 08/25/2019 73 77 6.350% due 08/25/2019 207 205 8.000% due 10/25/2019 620 618 9.000% due 12/25/2019 5,985 6,159 7.500% due 12/25/2019 74 73 7.500% due 05/25/2020 3,225 3,241 6.750% due 06/25/2020 248 247 7.080% due 07/18/2020 (d) 46 46 7.000% due 07/25/2020 327 326 9.000% due 09/25/2020 3,338 3,452 7.000% due 09/25/2020 12,693 12,648 6.500% due 09/25/2020 1,367 1,355 5.000% due 09/25/2020 200 190 8.000% due 12/25/2020 26,225 26,782 7.160% due 12/25/2020 (d) 10 10 8.750% due 01/25/2021 3,151 3,232 9.000% due 01/25/2021 5,264 5,483 5.750% due 02/18/2021 100 96 7.500% due 03/25/2021 2,159 2,150 9.000% due 03/25/2021 459 473 7.000% due 05/25/2021 300 293 7.500% due 06/25/2021 46 46 6.500% due 06/25/2021 6,096 5,834 8.000% due 07/25/2021 14,905 15,091 8.500% due 09/25/2021 5,376 5,544 7.000% due 10/25/2021 9,317 9,113 8.000% due 10/25/2021 22,645 22,940 7.000% due 11/25/2021 23,206 23,031 6.000% due 12/25/2021 34 34 4.000% due 01/25/2022 126 113 8.000% due 01/25/2022 21,700 21,968 8.000% due 03/25/2022 72 72 7.000% due 04/25/2022 17,091 16,299 5.000% due 04/25/2022 48 44 10.000% due 05/01/2022 133 141 7.380% due 05/25/2022 9,227 9,100 7.000% due 06/25/2022 1,276 1,249 8.000% due 06/25/2022 3,861 3,915 8.000% due 07/25/2022 60,892 61,455 7.000% due 07/25/2022 5,582 5,516 6.500% due 10/25/2022 4,048 3,672 7.800% due 10/25/2022 3,328 3,325 6.500% due 12/25/2022 195 192 7.000% due 03/25/2023 28,890 27,361 6.500% due 05/18/2023 10,717 10,601 6.900% due 05/25/2023 159 142 7.000% due 06/25/2023 5,258 4,769 6.000% due 08/25/2023 2,703 2,529 6.500% due 08/25/2023 35 34 6.000% due 08/25/2023 11,122 9,496 1.000% due 09/25/2023 226 204 6.750% due 09/25/2023 3,971 3,558 6.750% due 10/25/2023 597 512 7.500% due 10/25/2023 50 51 6.500% due 11/25/2023 85 83 6.500% due 12/25/2023 1,317 1,145 7.100% due 12/25/2023 6,769 6,465 6.500% due 01/25/2024 2,656 2,386 2000 Semi-Annual Report See accompanying notes 71 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------- 7.250% due 02/25/2024 $ 17 $ 17 6.500% due 02/25/2024 5,150 4,794 7.500% due 06/20/2024 106 107 6.500% due 08/17/2024 17,000 16,096 7.000% due 02/18/2025 121 121 6.600% due 05/18/2025 219 212 7.500% due 11/17/2025 289 286 7.500% due 12/25/2025 360 354 7.000% due 02/15/2026 180 178 7.000% due 07/18/2026 450 433 6.500% due 09/18/2026 120 114 7.000% due 12/18/2026 16,310 15,014 6.000% due 12/25/2026 170 157 6.000% due 03/25/2027 320 295 6.000% due 05/17/2027 5,470 4,756 6.500% due 07/18/2027 173 148 7.000% due 07/18/2027 460 446 8.000% due 08/18/2027 286 79 7.500% due 08/20/2027 2,503 2,398 6.890% due 02/01/2028 (d) 1,292 1,328 7.020% due 04/18/2028 (d) 3,211 3,216 6.500% due 06/25/2028 4,700 4,325 6.500% due 07/18/2028 67,412 60,818 6.000% due 07/18/2028 8,649 6,778 9.100% due 09/25/2028 20,532 22,196 6.250% due 02/25/2029 500 429 6.000% due 04/25/2029 10,809 7,804 7.120% due 08/25/2030 (d) 94,976 94,925 7.070% due 09/01/2030 (d) 85,000 84,920 6.300% due 10/17/2038 15,471 13,551 First Commonwealth Savings & Loan 10.380% due 04/01/2005 16 17 First Nationwide Trust 6.500% due 03/25/2029 4,400 4,128 6.750% due 07/25/2029 5,498 5,462 7.750% due 09/19/2030 6,000 5,544 First Union Residential Securitization, Inc. 7.000% due 04/25/2025 356 346 6.750% due 08/25/2028 9,048 8,047 Gaston Oaks PLC 6.930% due 01/01/2036 4,922 4,871 General Electric Capital Mortgage Services, Inc. 6.000% due 01/25/2009 1,148 1,140 6.750% due 12/25/2012 2,498 2,479 6.500% due 09/25/2023 1,175 1,019 6.500% due 12/25/2023 8,631 7,454 6.500% due 01/25/2024 3,895 3,339 6.500% due 02/25/2024 1 1 6.500% due 03/25/2024 66,953 61,533 6.500% due 04/25/2024 66,640 55,826 7.250% due 05/25/2026 3,780 3,663 7.500% due 06/25/2027 21,893 21,707 7.500% due 07/25/2027 10,129 9,926 7.000% due 10/25/2027 14,502 13,726 7.000% due 11/25/2027 72,500 69,853 6.650% due 05/25/2028 6,902 6,833 6.750% due 05/25/2028 23,934 21,974 6.750% due 06/25/2028 20,517 19,333 6.550% due 06/25/2028 23,450 22,829 6.600% due 06/25/2028 7,106 7,045 6.750% due 06/25/2028 1,314 1,304 6.750% due 10/25/2028 9,311 8,785 6.250% due 12/25/2028 54,952 49,910 6.500% due 12/25/2028 19,500 18,009 6.500% due 05/25/2029 9,858 9,075 6.750% due 05/25/2029 20,000 18,531 6.500% due 07/25/2029 95,240 87,417 5.950% due 07/25/2029 24,794 24,466 6.000% due 07/25/2029 23,507 23,065 6.250% due 07/25/2029 132,674 128,277 7.250% due 08/25/2029 8,000 7,606 7.000% due 09/25/2029 15,957 15,013 General Motors Acceptance Corp. 6.920% due 07/20/2002 (d) 3,287 3,287 6.700% due 03/15/2008 29,732 28,905 GGP-Homart 7.040% due 06/10/2003 (d) 19,600 19,643 GMAC Commercial Mortgage Securities, Inc. 6.150% due 11/15/2007 264 256 6.970% due 05/15/2008 28,427 28,360 6.570% due 09/15/2033 30,119 29,617 6.950% due 09/15/2033 25,060 24,703 GMAC Mortgage Corporation Loan Trust 7.500% due 05/25/2030 12,000 11,895 Goldman Sachs Mortgage Corp. 6.000% due 12/31/2007 (l) 8,635 8,030 Government National Mortgage Association 6.250% due 06/20/2022 43,622 43,216 7.220% due 06/20/2023 (d) 48,214 48,122 7.250% due 12/16/2023 7,444 7,468 7.000% due 01/15/2024 414 409 8.000% due 05/16/2024 73 73 7.000% due 03/20/2026 320 310 7.000% due 08/20/2026 114 111 7.500% due 02/16/2027 1 1 7.500% due 07/16/2027 29,918 28,903 7.000% due 12/20/2027 18,416 17,479 6.500% due 06/20/2028 30,965 25,382 6.500% due 07/20/2028 39,127 31,695 6.500% due 09/20/2028 28,461 23,948 6.500% due 01/20/2029 27,852 23,106 6.500% due 03/20/2029 16,259 14,914 8.000% due 03/20/2029 7,151 7,305 6.000% due 05/20/2029 10,831 8,518 7.500% due 01/20/2030 315 310 7.500% due 09/20/2030 5,000 4,774 7.130% due 09/20/2030 (d) 13,800 13,797 7.070% due 10/30/2030 58,500 58,518 Greenwich 7.980% due 04/25/2022 (d) 425 424 7.810% due 07/25/2022 (d) 109 108 8.150% due 10/25/2022 (d) 55 55 8.190% due 04/25/2023 (d) 918 915 8.780% due 04/25/2024 (d) 848 858 8.860% due 06/25/2024 (d) 493 500 9.690% due 08/25/2024 (d) 914 923 9.480% due 11/25/2024 (d) 195 195 GS Mortgage Securities Corp. 6.060% due 10/18/2030 0 0 Harborview Mortgage Loan Trust 7.470% due 08/19/2030 22,975 23,176 Headlands Mortgage Securities, Inc. 7.250% due 11/25/2012 2,043 2,043 7.160% due 12/25/2012 775 773 7.250% due 11/25/2027 18,456 18,260 7.000% due 02/25/2028 560 557 ICI Funding Corp. Secured Assets Corp. 7.250% due 09/25/2027 18,068 17,744 7.750% due 03/25/2028 1,868 1,819 Impac CMB Trust 6.870% due 07/25/2028 (d) 1,061 1,062 Impac Secured Assets CMN Owner Trust 7.320% due 10/25/2030 (d) 62,000 62,000 Imperial CMB Trust 6.950% due 09/25/2026 (d) 6,035 6,039 6.650% due 11/25/2029 1,063 1,055 Independent National Mortgage Corp. 6.650% due 10/25/2024 2,723 2,633 9.140% due 11/25/2024 (d) 5 5 8.560% due 11/25/2024 (d) 1,140 1,155 8.750% due 12/25/2024 30 31 9.070% due 01/25/2025 (d) 107 109 8.000% due 06/25/2025 7 7 8.230% due 07/25/2025 (d) 6,762 6,821 7.500% due 09/25/2025 782 780 International Mortgage Acceptance Corp. 12.250% due 03/01/2014 255 291 J.P. Morgan Commercial Mortgage Finance Corp. 8.230% due 02/25/2028 1,615 1,617 6.530% due 01/15/2030 20,000 19,545 72 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Kidder Peabody Acceptance Corp. 8.310% due 09/25/2024 (d) $ 7,392 $ 7,417 LB Mortgage Trust 8.400% due 01/20/2017 38,879 40,339 Mellon Residential Funding Corp. 6.500% due 02/25/2028 10,000 8,663 6.350% due 06/25/2028 22,000 21,585 6.110% due 01/25/2029 23,900 22,922 6.570% due 07/25/2029 44,000 42,688 6.580% due 07/25/2029 55,500 54,805 6.460% due 07/25/2029 6,631 6,602 Merrill Lynch Mortgage Investors, Inc. 7.000% due 06/15/2021 2,182 2,187 7.150% due 06/15/2021 (d) 4,694 4,617 7.410% due 06/15/2021 (d) 4,404 4,340 6.950% due 06/18/2029 36,420 36,421 Midland Realty Acceptance Corp. 7.020% due 01/25/2029 19,667 19,552 MLCC Mortgage Investors, Inc. 6.870% due 09/15/2026 (d) 18,580 18,556 Morgan Stanley Capital 6.860% due 05/15/2006 2,041 2,037 6.190% due 01/15/2007 20,866 20,449 6.160% due 04/03/2009 13,464 13,058 7.460% due 02/15/2020 11,450 11,640 6.590% due 10/03/2030 6,612 6,546 Morgan Stanley, Dean Witter, Discover and Co. 6.850% due 07/25/2027 (d) 677 673 Mortgage Capital Funding, Inc. 7.800% due 04/15/2006 500 510 7.010% due 09/20/2006 15,545 15,399 7.600% due 05/25/2027 12,959 13,133 NationsBanc Montgomery Funding Corp. 6.750% due 06/25/2028 10,000 9,419 6.500% due 07/25/2028 14,470 13,325 6.750% due 08/25/2028 20,009 18,191 6.250% due 10/25/2028 2,000 1,804 Nationslink Funding Corp. 5.810% due 02/10/2001 14,502 14,444 6.330% due 10/22/2004 6,542 6,447 6.650% due 02/10/2006 12,124 11,968 6.970% due 04/10/2007 (d) 7,417 7,419 Nomura Asset Securities Corp. 8.490% due 05/25/2024 (d) 1,701 1,743 Norwest Asset Securities Corp. 6.750% due 12/25/2012 16,624 16,427 6.500% due 06/25/2013 3,129 3,059 7.500% due 03/25/2027 1,943 1,938 6.750% due 09/25/2027 2,957 2,899 6.350% due 04/25/2028 1,747 1,733 6.750% due 05/25/2028 5,000 4,587 6.250% due 08/25/2028 4,355 4,307 6.250% due 09/25/2028 418 377 6.750% due 10/25/2028 18,215 17,208 6.500% due 12/25/2028 20,000 18,448 6.500% due 01/25/2029 373 279 6.500% due 02/25/2029 67,312 62,208 6.500% due 04/25/2029 26,751 24,622 6.300% due 04/25/2029 8,082 7,847 6.200% due 04/25/2029 77,385 74,553 5.950% due 04/25/2029 111,948 108,611 6.000% due 05/25/2029 19,713 19,332 6.250% due 05/25/2029 504 485 6.500% due 06/25/2029 46,178 42,395 6.750% due 08/25/2029 1,267 1,255 7.000% due 09/25/2029 3,451 2,888 6.500% due 10/25/2029 1,980 1,824 7.000% due 11/25/2029 14,870 14,238 7.250% due 02/25/2030 19,756 18,206 PaineWebber Mortgage 6.000% due 04/25/2009 11,951 11,435 PHH Mortgage Services Corp. 7.180% due 11/18/2027 956 911 PNC Mortgage Securities Corp. 6.750% due 06/25/2016 10,346 10,242 7.000% due 10/25/2027 36,034 34,747 6.750% due 12/25/2027 7,230 6,507 6.990% due 02/25/2028 9,574 9,358 6.500% due 02/25/2028 1,221 1,213 7.000% due 02/25/2028 25,604 24,686 6.630% due 03/25/2028 1,750 1,723 7.000% due 05/25/2028 6,422 6,373 6.550% due 07/25/2028 24,500 24,240 6.750% due 07/25/2028 3,527 3,326 6.750% due 09/25/2028 3,996 3,766 6.750% due 10/25/2028 26,133 24,476 6.750% due 12/25/2028 21,709 20,402 6.500% due 01/25/2029 999 922 6.250% due 01/25/2029 9,263 8,352 6.300% due 03/25/2029 10,000 9,051 6.500% due 06/25/2029 48,600 44,628 6.200% due 06/25/2029 50,581 49,496 7.750% due 07/25/2030 78,448 78,300 7.500% due 09/29/2030 500 501 Potomac Gurnee Finance Corp. 6.890% due 12/21/2026 47 46 Prudential Bache 6.710% due 09/01/2018 (d) 215 212 8.400% due 03/20/2021 5,974 6,120 Prudential Home Mortgage Securities 7.000% due 01/25/2008 23,860 23,644 6.750% due 08/25/2008 414 412 6.400% due 04/25/2009 697 692 6.950% due 11/25/2022 222 204 7.000% due 07/25/2023 11,428 11,321 6.750% due 10/25/2023 9,611 7,958 5.900% due 12/25/2023 5,036 4,965 6.050% due 04/25/2024 2,546 2,520 6.800% due 05/25/2024 10,970 9,175 6.450% due 11/25/2025 5,264 4,584 Prudential Securities Secured Financing Corp. 6.070% due 01/15/2008 12,480 12,061 6.960% due 06/15/2008 20,592 20,555 PSB Financial Corp. 11.050% due 12/01/2015 440 448 Resecuritization Mortgage Trust 6.750% due 06/19/2028 18,235 17,146 Residential Accredit Loans, Inc. 7.450% due 04/25/2023 960 956 7.500% due 08/25/2027 15,000 14,866 6.500% due 02/25/2028 20,616 20,459 7.000% due 02/25/2028 41,115 39,716 6.500% due 12/25/2028 400 369 6.500% due 05/25/2029 3,000 2,765 6.750% due 06/25/2029 1,576 1,543 7.000% due 07/25/2029 468 462 7.750% due 03/25/2030 4,389 4,418 Residential Asset Securitization Trust 7.000% due 03/25/2027 10 10 7.380% due 03/25/2027 5,142 5,026 7.000% due 10/25/2027 19,541 19,097 7.000% due 01/25/2028 20,000 18,906 6.750% due 06/25/2028 14,914 14,701 6.500% due 12/25/2028 1,250 1,132 6.500% due 03/25/2029 22,700 21,416 7.320% due 09/25/2030 (d) 16,648 16,768 Residential Funding Mortgage Securities, Inc. 7.000% due 08/25/2008 5,237 5,215 7.500% due 09/25/2011 14,406 14,493 7.000% due 05/25/2012 3,095 3,050 6.500% due 12/25/2012 21,417 20,597 7.750% due 09/25/2022 417 418 8.000% due 01/25/2023 2,725 2,745 8.000% due 02/25/2023 9,675 9,764 6.500% due 11/25/2023 1,660 1,504 6.000% due 03/25/2024 1,418 1,408 7.500% due 09/25/2025 11,897 11,899 7.500% due 12/25/2025 944 947 2000 Semi-Annual Report See accompanying notes 73 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------- 7.750% due 11/25/2026 $ 9,000 $ 9,122 7.500% due 04/25/2027 6,217 6,160 7.500% due 06/25/2027 53,035 52,584 7.500% due 07/25/2027 25,265 25,405 7.250% due 08/25/2027 16,000 15,602 7.250% due 10/25/2027 42,033 40,796 7.000% due 11/25/2027 17,000 16,291 6.750% due 02/25/2028 12,742 12,486 6.750% due 05/25/2028 60,741 56,513 6.750% due 06/25/2028 69,960 65,112 6.750% due 07/25/2028 9,000 8,471 6.750% due 08/25/2028 10,000 9,347 6.750% due 09/25/2028 66,493 62,546 6.500% due 10/25/2028 52,000 47,981 6.250% due 11/25/2028 3,000 2,716 6.500% due 12/25/2028 23,400 21,578 6.500% due 01/25/2029 72,314 66,473 6.500% due 03/25/2029 6,980 6,500 6.200% due 05/25/2029 66,252 65,527 6.500% due 06/25/2029 11,335 8,559 6.750% due 07/25/2029 22,600 21,152 7.000% due 10/25/2029 25,260 24,140 7.500% due 11/25/2029 12,338 11,890 Resolution Trust Corp. 8.690% due 08/25/2021 6,609 6,582 8.140% due 10/25/2021 (d) 142 141 5.570% due 10/25/2021 (d) 133 130 8.630% due 10/25/2021 129 129 8.710% due 05/25/2022 (d) 1,356 1,329 8.630% due 08/25/2023 (d) 1,850 1,853 8.840% due 12/25/2023 3,300 3,372 9.450% due 05/25/2024 1,431 1,425 8.000% due 04/25/2025 167 161 8.000% due 06/25/2026 253 248 8.170% due 10/25/2028 (d) 5,276 5,399 7.420% due 10/25/2028 (d) 13,604 13,501 7.510% due 05/25/2029 (d) 2,670 2,675 7.030% due 05/25/2029 (d) 2,631 2,588 RMF Commercial Mortgage Securities, Inc. 6.720% due 01/15/2019 235 229 Ryan Mortgage Acceptance Corp. 9.450% due 10/01/2016 78 81 Ryland Acceptance Corp. 11.500% due 12/25/2016 84 90 8.200% due 09/25/2022 17 17 Ryland Mortgage Securities Corp. 8.200% due 06/25/2021 35 35 8.430% due 08/25/2022 (d) 1,803 1,810 8.020% due 08/25/2029 (d) 2,089 2,101 7.240% due 10/25/2031 (d) 3,035 3,018 Salomon Brothers Mortgage Securities 9.110% due 07/01/2024 (d) 4,110 4,135 6.960% due 04/25/2029 (d) 21,863 21,881 7.000% due 04/25/2029 (d) 7,709 7,701 6.920% due 06/25/2029 (d) 40,316 40,319 7.020% due 09/25/2029 (d) 398 400 Salomon Smith Barney Holdings, Inc. 6.630% due 07/01/2002 55 55 Santa Barbara Savings 9.500% due 11/20/2018 2,032 2,058 Saxon Mortgage 6.250% due 04/25/2009 3,169 3,136 6.500% due 02/25/2024 1,820 1,795 9.070% due 09/25/2024 (d) 3,159 3,187 Sears Mortgage Securities 6.280% due 12/25/2028 281 274 Securitized Asset Sales, Inc. 8.500% due 10/25/2023 (d) 1,375 1,370 8.510% due 12/26/2023 (d) 745 753 7.410% due 09/25/2024 (d) 9,900 9,944 Security Pacific National Bank 6.380% due 03/25/2018 (d) 86 83 Sequoia Mortgage Trust 6.350% due 09/25/2025 (d) 6,000 5,847 Small Business Investment Co. 7.540% due 08/10/2009 75,600 77,349 8.020% due 02/10/2010 102,039 107,158 7.640% due 03/10/2010 69,731 71,581 7.450% due 09/01/2010 15,860 15,884 Southern Pacific Secured Assets Corp. 6.790% due 07/25/2029 (d) 39,853 39,621 Starwood Commercial Mortgage 6.600% due 02/03/2009 11,556 11,404 Structured Asset Mortgage Investments, Inc. 6.750% due 03/25/2028 22,519 21,209 6.910% due 06/25/2028 (d) 37,724 36,711 6.250% due 11/25/2028 14,878 13,452 6.750% due 01/25/2029 10,000 9,395 6.300% due 05/25/2029 18,419 17,976 6.580% due 06/25/2029 (d) 30,039 28,797 7.250% due 07/25/2029 23,718 23,660 7.230% due 02/25/2030 955 939 Structured Asset Notes Transactions Ltd. 6.650% due 08/30/2005 18,771 18,114 Structured Asset Securities Corp. 7.000% due 12/25/2027 51,500 48,812 Superannuation Members Home Loans Global Fund 7.020% due 06/15/2026 (d) 19,900 19,894 TMA Mortgage Funding Trust 7.000% due 01/25/2029 (d) 28,816 28,816 Union Planters Mortgage Finance Corp. 6.750% due 01/25/2028 4,000 3,668 6.800% due 01/25/2028 15,000 14,498 Vendee Mortgage Trust 7.750% due 03/15/2016 104 103 7.500% due 08/15/2017 333 334 7.750% due 05/15/2018 550 555 6.500% due 05/15/2020 28,750 27,199 6.830% due 01/15/2030 16,470 16,111 Washington Mutual 6.780% due 07/26/2003 (d) 155,246 155,199 Western Federal Savings & Loan 7.930% due 06/25/2021 (d) 3,229 3,229 --------- 7,986,226 ========= Federal Home Loan Mortgage Corporation 2.4% 5.000% due 10/15/2020 1,000 958 5.500% due 04/01/2001-10/14/2029 (k) 3,113 2,863 5.750% due 08/15/2020 300 295 5.900% due 12/01/2026 (d) 5,871 5,751 6.000% due 12/01/2000-10/16/2030 (k) 282,314 264,740 6.500% due 07/01/2001-05/01/2029 (k) 167,130 155,382 6.540% due 11/01/2026 (d) 6,846 6,831 6.720% due 11/01/2028 (d) 23,564 23,205 6.750% due 01/17/2025 8,349 8,304 6.780% due 11/01/2003 68 67 6.930% due 07/01/2025 (d) 6,508 6,588 7.000% due 10/01/2002-11/12/2030 (k) 113,851 111,878 7.280% due 09/01/2027 (d) 2,796 2,782 7.370% due 10/01/2023 (d) 881 900 7.390% due 10/01/2023 (d) 1,546 1,579 7.400% due 10/25/2023 (d) 14,975 15,449 7.500% due 09/01/2001-02/01/2030 (d)(k) 13,182 13,303 7.630% due 06/01/2017-01/01/2019 (d)(k) 26 27 7.650% due 05/01/2025 2,390 2,450 7.670% due 04/01/2029 (d) 1,266 1,302 7.750% due 04/01/2007-04/01/2017 (d)(k) 50 49 7.790% due 04/01/2024 (d) 6,520 6,679 7.810% due 07/01/2030 (d) 140,578 141,539 7.820% due 08/01/2023 (d) 8,540 8,764 7.890% due 08/01/2023-01/01/2024 (d)(k) 414 426 7.910% due 06/01/2024 (d) 1,025 1,051 8.000% due 01/01/2002-09/01/2018 (k) 2,854 2,883 8.040% due 07/01/2024 (d) 1,429 1,464 8.190% due 09/01/2023 (d) 1,499 1,518 8.250% due 08/01/2007-05/01/2023 (d)(k) 1,778 1,804 8.260% due 07/01/2022 (d) 937 960 8.320% due 09/01/2023 (d) 9,655 9,896 8.330% due 04/01/2023 (d) 440 448 8.340% due 07/01/2023 (d) 521 530 74 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) ------------------------------------------------------------------- 8.360% due 10/01/2023 (d) $ 438 $ 445 8.420% due 05/01/2023-08/01/2023 (d)(k) 5,971 6,126 8.450% due 08/01/2023-11/01/2023 (d)(k) 2,537 2,601 8.480% due 11/01/2023 (d) 143 142 8.500% due 09/01/2001-11/01/2024 (k) 5,047 5,181 8.510% due 10/01/2023 (d) 1,429 1,469 8.520% due 05/01/2027 (d) 634 652 8.580% due 09/01/2023 (d) 2,307 2,376 8.610% due 08/01/2024 (d) 207 213 8.630% due 08/01/2023 (d) 390 393 8.690% due 11/01/2023 (d) 344 346 8.750% due 02/01/2001-12/01/2010 (k) 107 107 8.900% due 11/15/2020 11,207 11,674 9.000% due 01/01/2002-09/15/2020 (k) 532 547 9.250% due 06/01/2009-11/01/2013 (k) 99 100 9.500% due 08/01/2001-12/01/2022 (k) 1,234 1,283 9.750% due 03/01/2001-05/01/2009 (k) 45 46 10.000% due 06/01/2004-03/01/2021(k) 930 971 10.100% due 09/01/2016 241 256 10.250% due 03/15/2009-05/01/2009(k) 1,091 1,159 10.500% due 10/01/2017-01/01/2021(k) 376 403 11.000% due 11/01/2009-05/01/2020(k) 639 684 11.250% due 10/01/2009-09/01/2015(k) 92 100 11.500% due 01/01/2018 72 79 12.500% due 12/01/2012 16 18 13.250% due 10/01/2013 79 89 14.000% due 04/01/2016 19 21 15.500% due 08/01/2011-11/01/2011(k) 13 15 16.250% due 05/01/2011 3 3 --------- 840,164 ========= Federal Housing Administration 1.4% 6.000% due 03/20/2028 1,739 1,629 6.500% due 02/15/2001-03/01/2040 (k) 5,956 5,802 6.630% due 05/28/2039-07/01/2040 (k) 3,091 2,905 6.750% due 07/15/2001 2,706 2,595 6.760% due 06/25/2039-03/01/2041 (k) 16,214 15,032 6.780% due 07/25/2040 7,653 7,333 6.790% due 05/01/2039 10,902 10,677 6.830% due 12/01/2039 3,497 3,316 6.880% due 11/01/2015-02/01/2041 (k) 24,874 23,656 6.900% due 07/01/2020-12/01/2040 (k) 47,399 45,466 6.930% due 07/01/2014-01/01/2036 (k) 17,075 16,620 7.000% due 11/15/2040 174 167 7.050% due 03/25/2040 4,516 4,359 7.130% due 03/01/2034 4,411 4,322 7.210% due 12/01/2021 2,700 2,691 7.250% due 06/01/2040 8,304 8,067 7.310% due 06/01/2041 23,567 22,800 7.320% due 05/01/2019-08/01/2019 (k) 37,511 36,697 7.350% due 11/01/2022 6,028 5,985 7.380% due 02/01/2018-01/01/2024 (k) 16,589 16,446 7.400% due 02/01/2021 2,191 2,187 7.430% due 12/01/2016-05/01/2025 (k) 116,022 115,566 7.450% due 12/01/2021 11,589 11,578 7.470% due 11/01/2019 29,797 29,742 7.500% due 03/01/2032-09/30/2039 (k) 6,672 6,569 7.580% due 04/01/2040-12/01/2040 (k) 7,616 7,507 7.630% due 08/01/2041 17,747 17,552 7.650% due 11/01/2018-11/01/2040 (k) 7,559 7,519 7.700% due 03/15/2041 2,720 2,697 7.750% due 11/15/2039 3,100 3,073 7.880% due 12/01/2039-03/01/2041 (k) 13,423 13,479 7.930% due 05/01/2016 1,903 1,906 8.250% due 10/29/2023-01/01/2041 (k) 9,512 9,675 8.380% due 11/01/2012 255 260 8.630% due 08/15/2030 34,293 35,457 --------- 501,332 ========= Federal National Mortgage Association 4.4% 4.750% due 11/14/2003 250 238 5.000% due 12/25/2021-04/18/2027 (k) 2,000 1,823 5.500% due 03/01/2013-12/01/2028 (k) 20,616 18,641 5.920% due 11/01/2035 (d) 0 0 6.000% due 12/01/2000-10/16/2030 (k) 377,190 352,973 6.090% due 12/01/2008 49 47 6.180% due 04/01/2027 (d) 110 109 6.250% due 07/25/2007 83 83 6.280% due 09/01/2029 (d) 608 583 6.340% due 09/01/2017-09/01/2024 (d)(k) 6,014 5,883 6.390% due 05/25/2036 29,534 25,210 6.420% due 12/01/2007 150 146 6.450% due 09/25/2016 3,380 3,355 6.500% due 04/01/2003-06/17/2038 (k) 60,401 55,193 6.580% due 04/01/2026 (d) 1,111 1,105 6.600% due 12/01/2003-09/25/2018 (k) 1,993 1,980 6.630% due 12/01/2027 (d) 8,174 8,137 6.690% due 08/01/2027 (d) 39,409 39,604 6.750% due 08/01/2003 223 222 6.840% due 07/01/2003 62 61 6.920% due 10/01/2027 (d) 4,427 4,442 6.950% due 03/25/2026 273 271 7.000% due 07/01/2001-10/16/2030 (k) 550,197 539,989 7.250% due 05/01/2002-01/01/2023 (k) 10,183 10,064 7.350% due 09/01/2027 (d) 1,815 1,849 7.410% due 11/01/2023 (d) 881 901 7.450% due 11/01/2023 (d) 166 170 7.470% due 12/01/2023 (d) 166 169 7.480% due 01/01/2024-07/01/2030 (d)(k) 2,742 2,777 7.500% due 10/01/2002-05/01/2030 (k) 14,581 14,678 7.540% due 10/01/2023 (d) 345 355 7.550% due 05/01/2023 (d) 2,224 2,238 7.560% due 12/01/2023 (d) 882 898 7.570% due 01/01/2024 (d) 395 405 7.630% due 09/01/2022 (d) 958 978 7.660% due 02/01/2026 (d) 550 565 7.680% due 12/01/2023 (d) 1,052 1,089 7.690% due 01/01/2024 (d) 431 441 7.700% due 03/01/2025 (d) 2,940 3,026 7.730% due 11/01/2025 (d) 2,003 2,058 7.750% due 06/01/2009-01/01/2026 (d)(k) 1,448 1,485 7.780% due 01/01/2018 2,239 2,377 7.790% due 09/01/2023-08/01/2027 (d)(k) 3,947 4,053 7.810% due 11/01/2025 (d) 1,236 1,270 7.850% due 07/01/2018-01/01/2024 (d)(k) 6,849 7,310 7.890% due 03/01/2026 (d) 1,979 2,041 7.900% due 09/01/2025 (d) 1,560 1,585 7.920% due 03/01/2018 2,755 2,960 7.930% due 09/01/2022 (d) 1,165 1,181 7.980% due 05/01/2030 6,704 6,843 8.000% due 09/01/2001-10/16/2030 (k) 367,700 372,519 8.020% due 11/01/2025 (d) 3,478 3,580 8.060% due 04/01/2030 1,861 1,877 8.080% due 04/01/2030 1,018 1,028 8.120% due 07/01/2024 (d) 4,245 4,357 8.160% due 09/01/2024 (d) 1,410 1,441 8.250% due 10/01/2008-03/01/2030 (k) 2,247 2,406 8.320% due 05/01/2026 (d) 577 597 8.490% due 06/01/2025 997 1,020 8.500% due 07/01/2001-08/01/2026 (k) 3,079 3,149 8.560% due 05/01/2024 (d) 2,375 2,460 9.000% due 10/01/2004-12/01/2027 (k) 9,369 9,756 9.250% due 10/01/2001 2 2 9.500% due 12/01/2006-07/01/2026 (k) 9,370 9,692 9.750% due 11/01/2008 58 61 10.000% due 09/01/2003-05/01/2022(k) 1,085 1,146 10.500% due 01/01/2016-04/01/2022(k) 533 570 10.750% due 03/01/2014 24 26 11.000% due 09/01/2019-11/01/2020(k) 122 133 11.500% due 08/20/2016-11/01/2019(k) 82 90 12.000% due 05/01/2016 9 10 12.500% due 10/01/2015 29 32 13.000% due 09/01/2013 29 33 13.250% due 09/01/2011 12 14 14.500% due 11/01/2011-01/01/2013(k) 44 49 14.750% due 08/01/2012 167 194 15.000% due 10/01/2012 86 101 15.500% due 10/01/2012-12/01/2012(k) 16 19 15.750% due 12/01/2011-08/01/2012(k) 96 112 16.000% due 09/01/2012 108 123 --------- 1,550,458 ========= 2000 Semi-Annual Report See accompanying notes 75 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Government National Mortgage Association 42.0% 5.000% due 06/20/2022 (d) $ 327 $ 330 5.500% due 06/20/2026-10/23/2030(d)(k) 70,410 67,522 5.650% due 10/15/2012 11 10 6.000% due 10/15/2008-10/23/2030(d)(k) 1,945,726 1,831,839 6.380% due 05/20/2027 (d) 2,430 2,447 6.500% due 05/15/2001-10/15/2038(d)(k) 5,403,660 5,203,229 6.630% due 01/15/2040 9,612 9,163 6.670% due 10/15/2001-07/16/2038(k) 1,036 1,010 6.750% due 07/15/2001-06/20/2028(d)(k) 411,113 411,178 6.800% due 09/15/2001-10/15/2040(k) 3,000 2,952 6.820% due 09/15/2001-10/15/2040(k) 16,978 16,955 6.880% due 02/20/2016-02/15/2040(d)(k) 1,187 1,156 7.000% due 10/15/2001-10/23/2030(d)(k) 2,305,309 2,271,274 7.120% due 02/16/2030 (d) 13,093 13,154 7.130% due 12/20/2017-12/20/2027(d)(k) 346,703 349,453 7.250% due 08/24/2024-08/20/2027(d)(k) 325 327 7.380% due 05/20/2017-05/20/2028(d)(k) 501,835 505,641 7.500% due 01/15/2003-10/23/2030(k) 2,917,919 2,925,968 7.700% due 02/15/2002 4,034 4,013 7.750% due 07/15/2001 3,958 3,942 7.880% due 04/20/2023 (d) 338 342 8.000% due 05/15/2001-10/23/2030(k) 1,228,446 1,248,773 8.130% due 07/15/2001-12/01/2039(k) 3,681 3,684 8.250% due 08/15/2004-05/15/2022(k) 414 423 8.500% due 06/15/2001-10/23/2030(k) 50,513 51,899 8.750% due 03/15/2007-07/15/2007(k) 92 95 9.000% due 06/15/2001-07/20/2022(k) 5,271 5,529 9.250% due 07/15/2003-12/20/2016(k) 166 170 9.500% due 04/15/2001-08/15/2023(k) 4,631 4,857 9.750% due 09/15/2002-07/15/2004(k) 80 82 10.000% due 04/15/2001-02/15/2025(k) 5,288 5,612 10.250% due 02/20/2019 22 23 10.500% due 06/15/2004-09/15/2021(k) 655 702 11.000% due 01/15/2001-03/15/2019(k) 212 229 11.250% due 03/15/2001-12/20/2015(k) 35 38 11.500% due 10/15/2010-10/15/2013(k) 48 52 12.000% due 11/15/2012-05/15/2016(k) 228 258 12.500% due 01/15/2011 1 1 13.000% due 12/15/2012-10/15/2014(k) 20 21 13.250% due 10/20/2014 19 22 13.500% due 10/15/2012-09/15/2014(k) 78 89 15.000% due 02/15/2012-10/15/2012(k) 97 113 16.000% due 10/15/2011-05/15/2012(k) 197 236 17.000% due 11/15/2011-12/15/2011(k) 60 72 ---------- 14,944,885 ========== Other Mortgage-Backed Securities 0.6% Bank of America Corp. 9.000% due 03/01/2008 34 35 CDC Depositor Trust I 7.050% due 01/15/2003 (d) 19,302 19,231 Citibank, NA 8.000% due 07/25/2018 41 42 Commercial Mortgage Asset Trust 6.640% due 09/17/2010 455 439 Countrywide Funding Corp. 6.750% due 03/25/2024 12,260 10,528 DBL Mortgage Funding 9.500% due 08/01/2019 5 5 Federal Home Loan Mortgage Corp. 11.880% due 06/15/2013 97 102 FFCA Secured Lending Corp. 7.850% due 05/18/2017 28,900 28,872 First Interstate Bancorp 9.130% due 01/01/2009 (d)(l) 10 10 General Electric Capital Mortgage Services, Inc. 7.250% due 07/25/2011 1,550 1,544 General Electric Credit Corp. 8.000% due 03/01/2002 (l) 4 4 German American Capital Corp. 8.360% due 09/30/2002 462 445 4.310% due 07/01/2018 (d) 8,197 8,014 Guardian Savings & Loan Assn. 6.910% due 12/25/2018 (d) 20 20 Home Savings of America 8.460% due 08/01/2006 45 44 6.100% due 05/25/2027 (d) 2,589 2,522 6.440% due 08/20/2029 (d) 23,756 23,240 Imperial Savings & Loan 8.230% due 01/25/2017 (d) 59 59 8.850% due 07/25/2017 (d) 219 218 LTC Commercial Corp. 7.100% due 11/28/2012 3,187 3,191 Merrill Lynch Mortgage 7.770% due 06/15/2021 (d) 978 959 Mid-State Trust 8.330% due 04/01/2030 64,877 66,850 Morgan Stanley Mortgage Trust 8.150% due 07/20/2021 2 2 Resolution Trust Corp. 6.930% due 05/25/2029 (d) 3,190 3,186 Ryland Acceptance Corp. 14.000% due 11/25/2031 763 798 Salomon Brothers Mortgage Securities 11.500% due 09/01/2015 735 740 8.400% due 11/25/2022 (d) 508 511 Sasco Floating Rate Commercial Mortgage 7.020% due 11/20/2001 (d) 54,440 54,536 Sears Mortgage 12.000% due 02/25/2014 542 560 7.430% due 10/25/2022 (d) 1,844 1,865 --------- 228,572 ========= Stripped Mortgage-Backed Securities 0.0% Bear Stearns Mortgage Securities, Inc. (IO) 7.200% due 07/25/2024 301 29 Chase Mortgage Finance Corp. (IO) 9.000% due 08/25/2023 150 4 Collateralized Mortgage Obligation Trust (PO) 0.000% due 04/23/2017 12 10 Federal Home Loan Mortgage Corp. (IO) 6.500% due 08/15/2006 89 1 6.500% due 11/15/2006 232 2 6.500% due 03/15/2007 164 1 5.750% due 09/15/2007 (d) 5,084 304 6.000% due 10/15/2007 179 12 6.000% due 01/15/2008 85 4 5.430% due 02/15/2008 (d) 519 40 6.400% due 10/15/2008 61 6 0.000% due 08/15/2016 75 0 6.500% due 08/15/2017 65 0 7.000% due 04/15/2018 640 30 7.500% due 08/15/2018 15 0 8.850% due 01/15/2021 2 34 9.000% due 05/15/2022 94 24 6.500% due 09/15/2023 277 33 Federal National Mortgage Association (IO) 6.500% due 05/25/2005 679 69 6.500% due 07/25/2006 410 16 7.270% due 09/25/2006 2 14 6.500% due 02/25/2007 1,102 59 6.500% due 07/25/2007 218 9 6.500% due 09/25/2007 1,461 83 6.500% due 10/25/2007 407 22 0.100% due 03/25/2009 (d) 23,966 407 6.500% due 08/25/2020 2,649 185 10.070% due 01/25/2021 0 3 7.500% due 04/25/2021 1,486 226 9.030% due 08/25/2021 5 147 0.950% due 11/25/2021 (d) 22,673 362 6.500% due 10/25/2022 122 11 6.500% due 01/25/2023 2,726 430 3.660% due 02/25/2023 (d) 12,307 579 Federal National Mortgage Association (PO) 0.000% due 09/01/2007 667 544 0.000% due 02/25/2021 204 202 0.000% due 06/25/2022 317 308 0.000% due 08/25/2023 295 199 76 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) ------------------------------------------------------------------- PaineWebber (IO) 13.600% due 08/01/2019 $ 1 $ 36 Vendee Mortgage Trust (IO) 0.540% due 06/15/2023 (d) 150,746 2,633 ---------- 7,078 ---------- Total Mortgage-Backed Securities 26,058,715 (Cost $25,944,931) ========== ------------------------------------------------------------------- ASSET-BACKED SECURITIES 8.2% ------------------------------------------------------------------- Advanta Mortgage Loan Trust 6.820% due 05/25/2027 (d) 667 665 7.020% due 08/25/2029 (d) 2,709 2,719 8.250% due 08/25/2030 7,954 8,147 Advanta Revolving Home Equity Loan Trust 6.990% due 01/25/2024 (d) 27,010 27,099 6.870% due 08/25/2024 (d) 22,782 22,798 6.870% due 02/25/2025 (d) 15,436 15,430 Aerco Ltd. 7.090% due 07/15/2025 (d) 38,200 38,204 Aesop Funding LLC 6.570% due 11/20/2006 15,000 15,000 AFC Home Equity Loan Trust 7.350% due 10/25/2026 (d) 1,628 1,634 Allied Waste Industries, Inc. 9.440% due 07/30/2006 24,774 24,039 9.690% due 07/30/2007 (d) 4,955 4,808 9.750% due 07/30/2007 (d) 3,964 3,846 9.690% due 07/30/2007 (d) 20,809 20,193 American Express Credit Account Master Trust 6.800% due 12/15/2003 1,500 1,502 American Express Master Trust 7.850% due 08/15/2005 220 227 American Stores Co. 7.280% due 08/30/2004 20,000 19,776 Americredit Automobile Receivable Trust 6.540% due 05/12/2001 119 119 5.300% due 10/12/2002 8,246 8,221 5.780% due 05/12/2003 43,000 42,672 Amresco Residential Securities Mortgage Loan Trust 6.820% due 10/25/2027 (d) 1,032 1,033 6.780% due 05/25/2028 (d) 7,676 7,671 Arcadia Automobile Receivables Trust 6.250% due 09/15/2002 23,250 23,247 5.900% due 11/15/2002 7,449 7,442 6.300% due 07/15/2003 26,025 25,922 6.900% due 12/15/2003 19,431 19,482 Associates Manufactured Housing 7.000% due 03/15/2027 3,675 3,676 Banc One Home Equity Trust 6.460% due 06/25/2029 14,711 14,643 Bank One Heloc Trust 6.880% due 04/20/2020 (d) 44,075 44,119 BankBoston Home Equity Loan Trust 6.280% due 11/25/2010 43 43 Bayview Financial Acquisition Trust 7.170% due 02/25/2029 (d) 4,928 4,945 7.030% due 02/25/2030 (d) 22,638 22,511 7.010% due 07/25/2030 (d) 68,003 68,003 BMCA Receivables Master Trust 6.840% due 09/20/2002 (d) 12,000 11,993 Brazos Student Loan Finance Co. 6.900% due 06/01/2023 (d) 52,700 52,179 7.170% due 12/01/2025 (d) 41,215 41,362 Captec Franchise Trust 7.890% due 10/15/2010 1,054 1,076 Champion Home Equity Loan Trust 6.880% due 03/25/2029 (d) 4,872 4,875 Charming Shoppes Master Trust 7.070% due 08/15/2008 (d) 250 252 Charter Commercial Holdings LLC 9.240% due 03/31/2008 22,000 21,971 Chase Credit Card Master Trust 6.660% due 01/15/2007 645 644 Chase Funding Mortgage Loan Asset-Backed Certificates 6.840% due 10/25/2030 (d) 58,500 58,500 Chase Manhattan Auto Owner Trust 5.750% due 10/15/2001 28 28 Chase Manhattan Grantor Trust 5.200% due 02/15/2002 50 50 6.610% due 09/15/2002 564 565 CMC Securities Corp. IV 7.250% due 11/25/2027 1,212 1,193 Community Program Loan Trust 4.500% due 10/01/2018 24,009 21,540 4.500% due 04/01/2029 26,000 19,151 Conseco Finance 7.520% due 05/15/2014 35,901 36,016 6.290% due 10/15/2030 8,418 8,416 6.990% due 10/15/2031 (d) 29,503 29,594 Conseco Finance Home Loan Trust 6.570% due 10/15/2006 26 26 6.980% due 09/28/2030 18,500 18,500 Conseco Finance Lease LLC 7.250% due 04/20/2003 25,000 25,107 Conseco Finance Securitizations Corp. 7.180% due 07/15/2002 23,524 23,153 7.970% due 05/01/2032 5,000 5,070 8.310% due 05/01/2032 48,800 49,689 Contimortgage Home Equity Loan Trust 6.790% due 10/15/2012 (d) 1,361 1,362 6.130% due 03/15/2013 1,584 1,580 6.420% due 04/25/2014 286 285 6.400% due 06/15/2014 2,000 1,993 6.770% due 01/25/2018 41,700 41,391 6.990% due 03/15/2021 350 349 6.930% due 11/25/2022 36,800 36,618 7.220% due 01/15/2028 80 80 6.760% due 06/15/2028 (d) 2,279 2,276 6.830% due 08/15/2028 (d) 243 242 Copelco Capital Funding Corp. 6.340% due 07/20/2004 7 7 CPS Auto Trust 6.000% due 06/15/2002 556 555 6.000% due 08/15/2003 77 76 Cross Country Master Credit 7.150% due 06/15/2006 (d) 300 300 CS First Boston Mortgage Securities Corp. 6.750% due 09/25/2028 6,960 6,560 Daimler-Benz Vehicle Trust 6.050% due 03/31/2005 1,962 1,956 Delta Air Lines Equipment Trust 9.230% due 07/02/2002 (l) 1,956 1,997 10.500% due 01/02/2007 (l) 6,167 6,833 10.570% due 01/02/2007 (l) 15,881 18,150 9.550% due 01/02/2008 (l) 7,773 8,271 10.430% due 01/02/2011 960 1,053 10.000% due 06/05/2013 10,828 11,560 Delta Funding Home Equity Loan Trust 6.140% due 03/15/2018 26,242 26,139 7.030% due 09/15/2029 (d) 10,950 10,996 6.940% due 06/15/2030 (d) 34,344 34,427 Discover Card Master Trust 7.000% due 10/16/2013 (d) 400 404 Duck Auto Grantor Trust 5.650% due 03/15/2004 4,854 4,799 7.260% due 05/15/2005 43,105 43,126 EQCC Home Equity Loan Trust 6.050% due 01/25/2010 150 149 6.550% due 04/25/2010 304 303 5.820% due 10/15/2027 (d) 785 784 5.770% due 03/20/2029 150 149 Equivantage Home Equity Loan Trus 6.550% due 10/25/2025 75 75 Federal Home Loan Mortgage Corp. 6.750% due 08/15/2026 (d) 56,100 56,100 Felco Funding LLC 5.980% due 09/15/2001 175 177 2000 Semi-Annual Report See accompanying notes 77 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) =================================================================== Fidelity Equipment Lease Trust 5.860% due 09/15/2001 $ 8,481 $ 8,453 First Alliance Mortgage Loan Trust 7.000% due 03/20/2031 (d) 14,818 14,827 First Merchants Auto Trust 6.850% due 11/15/2002 14 14 First Omni Bank 6.650% due 09/15/2003 (d) 1,500 1,500 First Security Auto Grantor Trust 6.100% due 04/15/2003 699 698 5.970% due 04/15/2004 120 119 First Union Master Credit Card Trust 6.630% due 09/15/2003 88,750 88,845 First USA Credit Card Master Trust 6.130% due 09/17/2003 (d) 300 300 FMAC Loan Receivables Trust 7.900% due 04/15/2019 20 20 6.830% due 09/15/2020 680 626 6.200% due 09/15/2020 261 253 6.500% due 09/15/2020 237 216 Ford Credit Auto Owner Trust 5.470% due 09/15/2001 175 174 5.770% due 11/15/2001 8,771 8,762 6.200% due 04/15/2002 407 407 Ford Motor Credit Corp. 5.500% due 02/15/2003 5,300 5,278 Fred Meyer, Inc. 7.380% due 03/19/2003 (d) 12,405 12,269 GMAC Mortgage Corp. Loan 7.010% due 11/18/2025 (d) 42,817 42,886 7.930% due 03/25/2030 39,407 36,913 Green Tree Financial Corp. 7.150% due 07/15/2027 221 221 6.490% due 03/15/2028 36,494 36,390 6.420% due 11/15/2028 1,386 1,383 5.850% due 11/01/2029 27 27 6.870% due 04/01/2030 1,105 988 6.660% due 06/01/2030 1,405 1,177 5.600% due 12/01/2030 215 214 5.510% due 02/01/2031 271 270 7.860% due 04/01/2031 400 386 Green Tree Floorplan Receivables Master Trust 6.970% due 11/15/2004 (d) 46,000 46,098 Green Tree Home Equity Loan Trust 5.590% due 02/15/2013 32 32 6.040% due 06/15/2029 49 49 5.990% due 07/15/2030 209 209 Green Tree Home Improvement Loan Trust 5.910% due 08/15/2007 14 14 7.270% due 09/15/2028 (d) 4,162 4,155 6.390% due 01/15/2029 1,945 1,945 Green Tree Lease Finance 6.170% due 09/20/2005 56 56 Green Tree Recreational Equipment 6.430% due 04/17/2006 3,234 3,229 Harley-Davidson Eaglemark 5.250% due 07/15/2003 96 95 Headlands Home Equity Loan Trust 7.270% due 12/15/2024 (d) 529 532 HFC Home Equity Loan 6.830% due 12/20/2016 282 281 Honda Auto Receivables Grantor 5.950% due 05/15/2003 61 61 Household Consumer Loan Trust 7.040% due 08/15/2006 (d) 19,321 19,073 IMC Home Equity Loan Trust 7.250% due 07/25/2026 (d) 725 721 IMPAC Secured Assets CMN Owner 7.770% due 07/25/2025 2,000 1,981 Independent National Mortgage Corp. 8.250% due 05/25/2010 154 157 Indymac Home Equity Loan 6.890% due 10/25/2029 (d) 9,772 9,766 Indymac Manufactured Housing 6.170% due 12/25/2011 5,019 4,973 Long Beach Acceptance Auto 6.940% due 09/19/2007 3,944 3,948 Mellon Bank Home Equity 5.900% due 10/25/2010 14,019 13,905 Merit Securities Corp. 6.160% due 07/28/2033 6,424 6,377 7.880% due 12/28/2033 34,400 33,803 Metlife Capital Equipment Loan Trust 6.850% due 05/20/2008 (d) 320 320 Metris Master Trust 7.270% due 04/20/2006 (d) 20,000 20,099 Metropolitan Asset Funding, Inc. 7.080% due 04/25/2029 (d) 13,174 13,047 MGM Grand Term Loan 7.870% due 05/06/2001 (d) 21,277 21,226 MMCA Automobile Trust 6.300% due 06/15/2002 357 356 Morgan Stanley ABS Capital I 6.930% due 08/25/2030 (d) 157,021 157,021 MPC Natural Gas Funding Trust 6.200% due 03/15/2013 9,546 9,331 MSDWCC Heloc Trust 6.910% due 09/25/2010 (d) 36,465 36,465 Myra Ums Tranche 7.420% due 12/23/2006 1,358 1,321 Myra-United Mexican States 5.810% due 10/20/2006 (d) 402 391 7.800% due 12/23/2006 (d) 6,624 6,443 7.750% due 12/23/2006 (d) 3,489 3,397 7.630% due 12/23/2006 (d) 5,923 5,765 7.060% due 12/23/2006 (d) 929 904 7.800% due 12/23/2006 (d) 928 904 7.630% due 12/23/2006 (d) 29 28 National Medical Care 7.630% due 09/30/2003 (d) 28,486 28,201 7.690% due 09/30/2003 21,972 21,752 New Holland Equipment Receivables 6.390% due 10/15/2002 352 352 Nomura CBO Ltd. 6.670% due 05/15/2009 1,900 1,944 Norwest Asset Securities Corp. 6.500% due 04/25/2013 20,113 19,488 6.500% due 06/25/2013 10,423 10,094 7.500% due 03/25/2027 40,536 39,779 6.750% due 05/25/2028 27,707 25,714 6.750% due 07/25/2028 12,657 11,576 6.200% due 09/25/2028 16,324 16,236 NPF XI, Inc. 6.820% due 07/01/2001 8,326 8,324 NPF XII, Inc. 7.050% due 06/01/2003 31,000 30,714 7.270% due 11/01/2003 (d) 1,000 1,000 Olympic Automobile Receivable Trust 6.050% due 08/15/2002 3,178 3,178 Option One Mortgage Loan Trust 5.880% due 05/25/2029 129 128 6.910% due 09/25/2030 (d) 49,816 49,816 PP&L Transition Bond Co. LLC 6.830% due 03/25/2007 28,800 28,860 Premier Auto Trust 5.770% due 01/06/2002 3,151 3,150 5.820% due 02/08/2002 399 399 Provident Bank Home Equity Loan Trust 6.920% due 06/25/2021 (d) 36,381 36,381 Providian Gateway Master Trust 6.840% due 03/15/2007 28,900 28,900 6.250% due 06/15/2007 25 25 6.900% due 03/16/2009 300 300 Prudential Home Mortgage Securities 6.500% due 01/25/2024 1,225 1,216 Residential Asset Mortgage Products, Inc. 6.910% due 09/25/2030 (d) 50,000 50,000 78 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) =================================================================== Residential Asset Securities Corp. 6.720% due 04/25/2014 (d) $ 249 $ 249 6.960% due 07/25/2014 30,510 30,395 6.240% due 02/25/2017 3,184 3,167 6.600% due 01/25/2020 5,200 5,165 7.080% due 09/25/2020 190 190 8.000% due 10/25/2024 (d) 5,121 5,150 6.920% due 10/25/2027 (d) 2,239 2,238 6.750% due 03/25/2028 40,000 37,212 Residential Funding Mortgage Securities, Inc. 10.930% due 06/01/2001 72,450 72,450 RJR Nabisco 7.500% due 12/31/2001 (d) 24,948 24,948 Ryder Vehicle Lease Trust 6.430% due 01/15/2003 694 693 Saco Trust 8.130% due 07/25/2030 18,119 18,492 Salomon Brothers Mortgage Securities 7.040% due 11/15/2029 (d) 18,965 19,013 7.100% due 12/15/2029 (d) 5,800 5,800 Saxon Asset Securities Trust 6.850% due 05/25/2029 (d) 8,721 8,729 Sears Credit Account Master Trust 6.050% due 01/15/2008 500 493 7.000% due 07/15/2008 500 505 Small Business Administration 7.190% due 12/01/2019 493 493 Standard Credit Card Trust 8.250% due 11/07/2003 80 81 Student Loan Marketing Assn. 6.860% due 10/25/2005 (d) 21,703 21,623 Team Fleet Financing Corp. 7.350% due 05/15/2003 30 30 Texas Cable Partners 8.380% due 06/24/2007 2,500 2,489 8.940% due 06/24/2007 2,500 2,489 The Money Store Home Equity Trust 7.550% due 02/15/2020 321 321 6.350% due 11/15/2021 (d) 719 716 6.750% due 05/15/2025 (d) 34 34 6.490% due 10/15/2026 17,000 16,925 Total Renal Care 12.000% due 03/31/2008 37,442 36,506 Toyota Auto Lease Trust 6.350% due 04/26/2004 60 60 6.450% due 04/26/2004 300 299 UCFC Home Equity Loan 8.200% due 09/15/2027 70 71 6.870% due 07/15/2029 70 66 UCFC Manufactured Housing 6.680% due 01/15/2010 (d) 4,310 4,313 UniCapital Corp. 6.540% due 07/23/2002 26,018 25,977 United Air Lines Equipment Trust 9.200% due 03/22/2008 3,950 4,198 10.360% due 11/13/2012 7,000 7,255 10.020% due 03/22/2014 6,925 7,128 10.850% due 07/05/2014 34,111 36,604 10.850% due 02/19/2015 1,500 1,722 10.130% due 03/22/2015 14,300 14,851 9.060% due 06/17/2015 5,000 4,823 9.210% due 01/21/2017 2,000 1,897 USAA Auto Loan Grantor Trust 6.150% due 05/15/2004 1,180 1,176 5.800% due 01/15/2005 2,681 2,666 WFS Financial Owner Trust 6.410% due 07/20/2002 25,016 25,002 6.920% due 01/20/2004 27,125 27,177 WMC Mortgage Loan 7.070% due 10/15/2029 87,787 87,842 --------- Total Asset-Backed Securities 2,931,252 ========= (Cost $3,229,995) ------------------------------------------------------------------- SOVEREIGN ISSUES 1.9% ------------------------------------------------------------------- Central Bank Philippines 7.940% due 06/01/2008 (d) 3,875 3,468 Hellenic Republic 7.280% due 06/06/2001 (d) 20,000 20,294 Hydro-Quebec 7.380% due 02/01/2003 150 152 Kingdom of Jordan 6.000% due 12/23/2023 14,000 10,462 Kingdom of Sweden 10.250% due 11/01/2015 500 593 Nacional Financiera 9.750% due 03/12/2002 10,000 10,325 8.570% due 05/08/2003 (d) 7,750 7,871 Providence of Newfoundland 9.000% due 06/01/2019 500 562 Province of New Brunswick 7.130% due 10/01/2002 1,700 1,712 Province of Nova Scotia 9.380% due 07/15/2002 1,000 1,041 Province of Ontario 7.750% due 06/04/2002 200 203 7.630% due 06/22/2004 1,000 1,032 7.000% due 08/04/2005 1,000 1,012 6.000% due 02/21/2006 1,800 1,734 5.500% due 10/01/2008 12,000 10,999 Province of Quebec 7.500% due 07/15/2002 6,000 6,073 8.800% due 04/15/2003 100 105 6.810% due 06/11/2004 (d) 15,500 15,486 6.620% due 04/09/2026 25,000 24,939 Republic of Argentina 11.600% due 04/10/2005 (d) 1,380 1,283 11.750% due 04/07/2009 30 28 Republic of Brazil 7.880% due 01/01/2001 (d) 3,481 3,481 7.380% due 04/15/2006 187,832 176,807 11.250% due 07/26/2007 5,750 5,773 14.500% due 10/15/2009 6,000 6,615 8.000% due 04/15/2014 31 24 12.250% due 03/06/2030 900 819 11.000% due 08/17/2040 4,462 3,565 Republic of Bulgaria 7.750% due 07/28/2011 (d) 2,000 1,515 3.000% due 07/28/2012 (d) 20,000 14,568 7.750% due 07/28/2024 (d) 86,650 66,287 Republic of Chile 6.880% due 04/28/2009 25,000 23,528 Republic of Colombia 10.880% due 03/09/2004 10,280 9,946 Republic of Croatia 7.000% due 02/27/2002 7,650 7,489 Republic of Panama 7.880% due 02/13/2002 1,850 1,830 7.930% due 05/10/2002 (d) 1,975 1,940 4.500% due 07/17/2014 7,675 6,202 Republic of Peru 3.750% due 03/07/2017 11,000 6,141 4.500% due 03/07/2017 (d) 5,750 3,601 Republic of Philippines 7.810% due 01/05/2005 (d) 8,830 8,337 6.500% due 12/01/2017 3,250 2,506 9.500% due 10/21/2024 2,958 2,817 Republic of Poland 3.500% due 10/27/2024 (d) 64,540 40,660 4.000% due 10/27/2024 3,000 2,040 Republic of Kazakhstan 8.380% due 10/02/2002 5,000 4,936 Republic of Venezuela 7.880% due 12/18/2007 (d) 16,250 13,937 Republica Orient Uruguay 7.250% due 05/04/2009 2,500 2,291 State of Israel 6.200% due 06/14/2003 25 25 2000 Semi-Annual Report See accompanying notes 79 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) =================================================================== United Mexican States 9.780% due 04/07/2004 (d) $ 3,650 $ 3,789 10.020% due 04/07/2004 (d) 5,186 5,393 8.500% due 02/01/2006 107,500 107,554 9.880% due 02/01/2010 10,000 10,655 6.250% due 12/31/2019 8,860 7,913 -------- Total Sovereign Issues 672,358 (Cost $665,775) ======== ------------------------------------------------------------------- FOREIGN CURRENCY-DENOMINATED ISSUES (f)(g) 2.8% ------------------------------------------------------------------- Commonwealth of New Zealand 4.500% due 02/15/2016 (j) N$ 73,000 31,155 Export-Import Bank Korea 3.840% due 10/06/2000 (d) DM 5,000 2,257 Halifax Group Euro Finance 7.630% due 12/29/2049 (d) EC 8,500 7,501 KBC Bank Fund Trust IV 8.220% due 11/29/2049 20,764 18,605 Korea Development Bank 6.000% due 03/07/2001 JY 350,000 3,318 4.800% due 05/14/2001 (d) DM 70,000 31,318 2.560% due 06/26/2001 JY 4,000,000 37,455 Korea Electric Power 3.880% due 10/31/2002 (d) DM 18,900 8,276 Lloyds TSB Capital 7.380% due 02/07/2049 EC 16,000 14,244 Nacional Financiera 22.000% due 05/20/2002 MP 370,000 40,844 Newcourt Credit Group 7.630% due 06/28/2001 C$ 9,400 6,299 Republic of Argentina 5.500% due 03/27/2001 JY 5,640,000 52,320 Republic of Austria 0.000% due 01/15/2010 EC 900 789 Republic of Brazil 8.250% due 11/26/2001 2,000 1,797 Republic of Germany 6.250% due 01/04/2024 26,310 25,082 6.500% due 07/04/2027 111,630 109,577 6.250% due 01/04/2030 47,920 46,473 Republic of Philippines 8.000% due 09/17/2004 10,290 9,171 R.J. Reynolds 6.880% due 11/22/2000 DM 9,500 4,293 Royal Bank of Scotland PLC 0.000% due 01/01/2000 BP 85,000 101,978 6.770% due 03/31/2049 EC 126,500 112,403 Tecnost International NV 6.670% due 06/23/2004 (d) 107,384 95,762 United Mexican States 6.000% due 03/28/2002 JY 100,000 992 3.100% due 04/24/2002 2,542,000 24,052 8.750% due 05/30/2002 BP 23,000 34,446 10.380% due 01/29/2003 DM 200 97 7.000% due 06/02/2003 C$ 30,200 19,388 7.430% due 04/07/2004 (d) EC 18,181 16,775 6.750% due 06/06/2006 JY 2,000,000 21,853 7.500% due 03/08/2010 EC 5,000 4,315 6.630% due 12/31/2019 FF 60,000 7,006 1.100% due 12/31/2019 (d) JY 1,662,500 15,086 3.850% due 12/31/2019 9,145,000 77,905 -------- Total Foreign Currency-Denominated Issues 982,832 (Cost $892,163) ======== ------------------------------------------------------------------- PURCHASED CALL OPTIONS 0.0% ------------------------------------------------------------------- Eurodollar vs. U.S. Dollar (OTC) Strike @ 0.81 Exp. 12/21/2000 $ 200,000 16,246 -------- Total Purchased Call Options 16,246 (Cost $16,759) ======== ------------------------------------------------------------------- PURCHASED PUT OPTIONS 0.0% ------------------------------------------------------------------- Harborview Mortgage Loan Trust (OTC) 7.470% due 08/19/2030 Strike @ 100.00 Exp. 05/01/2005 $ 22,975 $ 0 Interest Rate Swap (OTC) Strike @ 7.100% Exp. 08/12/2010 10,000 490 -------- Total Purchased Put Options 490 (Cost $380) ======== ------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 0.0% ------------------------------------------------------------------- Banking & Finance 0.0% Bell Atlantic Financial Services 5.750% due 04/01/2003 1,500 1,454 -------- Total Convertible Bonds & Notes 1,454 (Cost $1,539) ======== ------------------------------------------------------------------- PREFERRED SECURITY 1.0% ------------------------------------------------------------------- Shares DG Funding Trust 9.030% due 12/29/2049 35,150 352,379 -------- Total Preferred Security 352,379 (Cost $351,502) ======== ------------------------------------------------------------------- PREFERRED STOCK 0.2% ------------------------------------------------------------------- Banco Bilbao Vizcaya International 9.750% due 11/19/2001 266,217 6,722 Barclays Bank 9.080% due 04/21/2020 215,500 5,549 Centaur Funding Corp. 9.080% due 04/21/2020 125 127 CSC Holdings, Inc. 11.125% due 04/01/2008 25,595 2,719 Fortis Amev NV 6.430% due 12/31/2049 171 20,134 Home Ownership Funding 13.331% due 12/31/2049 1,125 859 SI Financing Trust 9.500% due 06/30/2026 396,194 9,979 TCI Communications, Inc. 9.720% due 12/31/2036 622,553 16,186 -------- 10.000% due 05/31/2045 49,000 1,240 -------- Total Preferred Stock 63,515 (Cost $66,709) ======== ------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 8.3% ------------------------------------------------------------------- Principal Amount (000s) Certificates of Deposit 0.3% Dominion Resources, Inc. 6.200% due 01/26/2001 $ 98,900 $ 98,989 -------- Commercial Paper 8.0% Abbey National PLC 6.520% due 11/03/2000 12,700 12,626 6.530% due 11/03/2000 900 895 Alcoa, Inc. 6.470% due 11/29/2000 53,000 52,417 6.450% due 12/21/2000 6,200 6,107 American Electric Power, Inc. 6.700% due 10/04/2000 2,000 1,999 6.760% due 10/04/2000 700 700 6.700% due 10/18/2000 3,000 2,991 6.750% due 10/18/2000 500 499 6.700% due 10/25/2000 1,800 1,792 6.700% due 10/30/2000 25,000 24,870 6.700% due 11/01/2000 3,300 3,282 6.700% due 11/02/2000 22,800 22,668 Anz, Inc. 6.550% due 11/03/2000 100 99 6.520% due 11/03/2000 2,700 2,684 6.480% due 11/28/2000 28,500 28,192 80 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Associated Corp. of North America 6.580% due 11/16/2000 $ 4,600 $ 4,562 6.570% due 11/29/2000 11,000 10,879 AT&T Corp. 6.580% due 10/23/2000 2,600 2,590 6.510% due 11/08/2000 1,500 1,490 6.520% due 11/08/2000 11,500 11,423 6.530% due 11/15/2000 2,500 2,480 6.470% due 11/29/2000 3,600 3,560 6.520% due 11/29/2000 1,900 1,879 6.510% due 12/13/2000 9,500 9,372 6.520% due 12/13/2000 5,000 4,932 6.530% due 12/13/2000 20,000 19,730 6.510% due 12/20/2000 11,800 11,626 Bank One Corp. 6.500% due 11/03/2000 200 199 6.500% due 11/15/2000 8,000 7,936 6.530% due 11/15/2000 300 298 6.470% due 12/06/2000 49,500 48,894 6.480% due 12/06/2000 50,000 49,388 6.470% due 12/19/2000 7,600 7,489 Bellsouth Capital Funding 6.460% due 12/06/2000 19,100 18,866 6.470% due 12/12/2000 17,200 16,971 British Telecom PLC 6.600% due 11/09/2000 20,400 20,258 6.560% due 11/09/2000 400 397 Campbell Soup Co. 6.460% due 12/06/2000 2,700 2,667 6.520% due 12/07/2000 700 691 CBA (de) Finance 6.530% due 10/23/2000 4,700 4,682 CDC 6.520% due 11/01/2000 500 497 Coca-Cola Co. 6.510% due 10/31/2000 2,700 2,686 6.480% due 12/13/2000 8,500 8,385 6.490% due 12/13/2000 4,400 4,341 Compaq Computer Corp. 6.730% due 10/23/2000 20,000 19,921 Conagra, Inc. 6.730% due 10/04/2000 13,100 13,095 6.670% due 10/06/2000 3,000 2,998 6.670% due 10/18/2000 1,000 100 6.680% due 11/08/2000 28,800 28,602 6.670% due 11/15/2000 1,900 1,885 6.670% due 11/16/2000 29,500 29,254 Cox Communications 6.700% due 10/04/2000 26,700 26,690 6.700% due 11/06/2000 50,000 49,674 6.730% due 11/06/2000 36,200 35,963 6.720% due 11/07/2000 21,500 21,356 CSX Corp. 6.740% due 10/10/2000 1,000 999 6.700% due 10/11/2000 21,700 21,663 DaimlerChrysler AG 6.580% due 11/20/2000 7,200 7,136 6.580% due 11/22/2000 3,800 3,765 6.590% due 11/29/2000 3,300 3,264 6.590% due 12/06/2000 14,300 14,125 6.540% due 12/07/2000 3,800 3,753 6.500% due 12/13/2000 200 197 6.520% due 12/13/2000 10,700 10,556 Dominion Resources, Inc. 6.710% due 10/18/2000 11,500 11,466 6.710% due 11/06/2000 5,800 5,762 6.710% due 11/09/2000 800 794 6.710% due 11/16/2000 17,900 17,750 Duke Energy Field Service Corp. 6.700% due 10/19/2000 50,000 49,842 Eastman Kodak Co. 6.490% due 11/01/2000 2,900 2,884 6.540% due 11/01/2000 3,300 3,282 6.480% due 11/16/2000 900 893 Edison Midwest 6.720% due 10/18/2000 40,000 39,881 6.720% due 10/25/2000 10,000 9,957 6.720% due 11/01/2000 1,000 994 6.750% due 11/01/2000 40,035 39,809 6.700% due 11/08/2000 1,400 1,390 6.740% due 11/08/2000 10,700 10,626 6.710% due 11/15/2000 3,300 3,273 6.730% due 11/15/2000 3,800 3,769 6.800% due 11/15/2000 7,900 7,834 6.710% due 11/15/2000 500 496 Federal Home Loan Mortgage Corp. 6.400% due 11/07/2000 745 740 6.410% due 12/07/2000 743 734 Federal National Mortgage Assn. 6.400% due 12/14/2000 1,163 1,147 Florida Power Corp. 6.450% due 12/14/2000 8,500 8,384 6.470% due 12/14/2000 100 99 Gannett Co. 6.500% due 10/25/2000 100 100 6.490% due 11/20/2000 3,700 3,667 6.470% due 11/20/2000 18,900 18,734 6.500% due 11/21/2000 1,800 1,784 General Electric Capital Corp. 6.470% due 12/06/2000 200 198 6.590% due 12/06/2000 11,300 11,162 6.470% due 12/07/2000 25,000 24,689 6.490% due 12/07/2000 300 296 6.470% due 12/13/2000 700 691 6.470% due 12/20/2000 600 591 6.510% due 01/10/2001 7,000 6,870 6.510% due 01/17/2001 900 882 6.500% due 01/24/2001 37,400 36,613 General Motors Acceptance Corp. 6.560% due 11/15/2000 200 198 6.520% due 11/27/2000 8,600 8,513 6.550% due 12/06/2000 2,500 2,469 6.510% due 12/13/2000 25,400 25,057 Gillette Co. 6.460% due 12/12/2000 800 789 Honeywell, Inc. 6.510% due 11/21/2000 20,000 19,819 6.470% due 11/29/2000 5,800 5,736 Houston Industries 6.770% due 10/04/2000 6,200 6,198 6.770% due 10/18/2000 3,700 3,689 6.800% due 11/08/2000 6,200 6,157 6.800% due 11/15/2000 50,000 49,584 Infinity Broadcasting Corp. 6.720% due 11/09/2000 900 894 6.700% due 11/15/2000 600 595 6.700% due 11/16/2000 1,400 1,388 6.710% due 11/21/2000 1,900 1,882 6.720% due 11/21/2000 27,800 27,541 6.710% due 11/22/2000 6,800 6,735 Ingersoll-Rand Co. 6.680% due 10/02/2000 900 900 6.840% due 10/02/2000 23,800 23,800 6.690% due 10/04/2000 33,400 33,388 6.700% due 11/01/2000 2,100 2,088 6.720% due 11/01/2000 1,100 1,094 6.700% due 11/08/2000 11,100 11,024 6.700% due 11/13/2000 16,800 16,669 6.700% due 11/15/2000 4,000 3,967 6.740% due 11/15/2000 600 595 International Paper Co. 6.700% due 10/05/2000 700 700 6.700% due 10/06/2000 34,700 34,674 6.700% due 10/10/2000 4,400 4,393 6.720% due 10/10/2000 700 699 6.700% due 10/11/2000 41,000 40,931 6.720% due 11/17/2000 300 297 6.720% due 11/28/2000 10,600 10,485 2000 Semi-Annual Report See accompanying notes 81 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------- KFW International Finance 6.510% due 10/12/2000 $ 1,600 $ 1,597 6.480% due 12/06/2000 800 790 Minnesota Mining & Manufacturing 6.470% due 11/28/2000 1,500 1,484 6.480% due 12/19/2000 700 690 Motorola, Inc. 6.480% due 11/28/2000 13,100 12,958 6.520% due 12/13/2000 4,600 4,538 6.450% due 12/27/2000 3,700 3,641 Nabisco, Inc. 6.700% due 10/18/2000 28,900 28,813 Natural Rural Utilities 6.480% due 10/18/2000 1,000 997 6.480% due 11/07/2000 3,100 3,080 6.520% due 11/15/2000 5,500 5,456 Nike, Inc. 6.480% due 10/12/2000 6,000 5,989 Norfolk Southern Corp. 6.720% due 11/01/2000 30,000 29,832 6.720% due 11/07/2000 37,400 37,149 Pearson 6.730% due 10/25/2000 9,000 8,961 Proctor & Gamble Co. 6.480% due 11/29/2000 200 198 6.510% due 11/29/2000 1,300 1,286 Reseau Ferre De France 6.520% due 10/26/2000 1,800 1,792 6.480% due 11/30/2000 1,000 989 SBC Communications, Inc. 6.470% due 12/06/2000 200 198 6.490% due 12/06/2000 3,100 3,062 Sprint Capital Corp. 6.700% due 10/25/2000 7,300 7,269 6.700% due 11/01/2000 1,900 1,889 6.700% due 11/03/2000 31,600 31,412 6.720% due 11/08/2000 8,000 7,945 Sumitomo Bank 6.720% due 11/01/2000 15,000 14,916 Swedbank, Inc. 6.510% due 01/19/2001 10,000 9,799 Texas Utilities Co. 6.700% due 10/18/2000 7,100 7,079 6.760% due 10/18/2000 3,600 3,589 Tyco International 6.740% due 10/18/2000 73,400 73,180 UBS Finance LLC 6.680% due 10/02/2000 1,000,000 1,000,000 Verizon Global Funding 6.490% due 11/08/2000 1,600 1,589 6.490% due 11/09/2000 8,600 8,541 6.460% due 12/01/2000 7,500 7,415 6.480% due 12/06/2000 50,000 49,388 6.460% due 12/07/2000 200 198 6.460% due 12/11/2000 800 789 6.470% due 12/14/2000 6,000 5,918 Washington Mutual 6.690% due 11/08/2000 12,000 11,917 Yorkshire Building Society 6.490% due 11/14/2000 1,800 1,786 6.480% due 12/11/2000 33,700 33,257 6.470% due 12/20/2000 1,500 1,478 6.460% due 12/21/2000 4,300 4,236 ------------ 2,854,106 ============ U.S. Treasury Bills (b)(k) 0.0% 5.933% due 02/01/2001 1,655 1,621 ------------ Total Short-Term Instruments 2,954,716 ============ (Cost $2,954,943) Value (000s) -------------------------------------------------------------------- Total Investments (a) 152.0% $ 54,049,779 (Cost $54,354,587) Written Options (c) (0.1%) (35,447) (Premiums $40,793) Other Assets and Liabilities (Net) (51.9%) (18,465,617) ------------- Net Assets 100.0% $ 35,548,715 ============= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 295,213 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (600,021) ------------ Unrealized depreciation-net $ (304,808) ============ (b) Securities with an aggregate market value of $1,621 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: Unrealized # of Appreciation/ Type Contracts (Depreciation) -------------------------------------------------------------------- Eurodollar December Futures (12/2000) 305 $ (173) Municipal Bond (12/2000) 2,371 (1,820) EuroBond 10 Year Note (12/2000) 17,718 1,772 U.S. Treasury 5 Year Note (12/2000) 10,646 (6,488) U.S. Treasury 10 Year Note (12/2000) 29,648 5,027 U.S. Treasury 30 Year Bond (12/2000) 4,844 (2,214) EuroBond 10 Year Note Options (11/2000) 22,213 4,080 United Kingdom 10 Year Note (12/2000) 2,731 1,588 ------------- $ 1,772 ============= (c) Premiums received on written options: # of Type Contracts Premium Value ----------------------------------------------------------------------- Call - TSE Government of Japan December Futures Strike @ 134.00 Exp. 11/30/2000 458 $ 881 $ 916 Put - OTC Japanese Interest Rate Swap December Futures Strike @ 2.305% Exp. 11/30/2000 10,800,000,000 86 372 Put - OTC Japanese Interest Rate Swap December Futures Strike @ 2.315% Exp. 11/30/2000 10,800,000,000 101 377 Call - CBOT U.S. Treasury Note December Futures Strike @ 103.00 Exp. 11/18/2000 10,716 1,364 1,172 Call - CBOT U.S. Treasury Note December Futures Strike @ 102.00 Exp. 11/18/2000 12,253 3,119 2,872 Put - CBOT U.S. Treasury Note December Futures Strike @ 98.00 Exp. 11/18/2000 4,528 1,662 778 Put - CBOT U.S. Treasury Note December Futures Strike @ 97.00 Exp. 11/18/2000 2,991 744 280 Put - CME Eurodollar December Futures Strike @ 93.00 Exp. 12/18/2000 5,644 5,314 141 82 PIMCO Funds See accompanying notes ---------------------------------------------------------------------- Call - CME Eurodollar December Futures Strike @ 92.75 Exp. 12/18/2000 1,195 $ 845 $ 1,479 Put - CME Eurodollar March Futures Strike @ 92.75 Exp. 03/19/2001 7,127 2,736 267 Call - CME Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 18,834 4,726 13,890 Put - CME Eurodollar March Futures Strike @ 92.50 Exp. 03/19/2001 7,225 4,582 181 Call - CME Eurodollar March Futures Strike @ 93.00 Exp. 03/19/2001 5,000 2,098 6,313 Put - CME Eurodollar March Futures Strike @ 92.25 Exp. 03/19/2001 8,769 5,077 110 Put - CME Eurodollar December Futures Strike @ 92.25 Exp. 12/18/2000 2,902 1,109 18 Put - OTC 3 Month LIBOR Interest Rate Swap Strike @ 8.250% Exp. 03/19/2001 560,000,000 2,226 11 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.750% Exp. 03/19/2001 560,000,000 603 2,750 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.500% Exp. 02/23/2001 275,000,000 1,760 1,760 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.500% Exp. 02/22/2001 275,000,000 1,760 1,760 ---------------------- $ 40,793 $ 35,477 ---------------------- (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Reverse repurchase agreements were entered into September 25, 2000 paying interest at 6.520%. The following securities were segregated with collateral for reverse repurchase agreements Type Maturity Value ------------------------------------------------------------------------ Federal National Mortgage Assn. 7.000% 10/01/2003 $ 42,864 Federal National Mortgage Assn. 6.690% 08/01/2027 39,604 Government National Mortgage Assn. 7.130% 10/20/2030 65,131 Government National Mortgage Assn. 6.750% 07/20/2027 41,986 ----------- $ 189,585 ----------- (f) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) ------------------------------------------------------------------------ Sell C$ 43,714 10/2000 $ 413 Buy 7,000 10/2000 (54) Sell EC 295,593 10/2000 8,049 Buy 393,768 10/2000 (1,541) Buy 276,495 11/2000 502 Sell BP 103,747 10/2000 (5,419) Buy HF 2,000,000 03/2001 181 Sell JY 4,519,202 04/2001 (1,390) Sell 20,157,034 10/2000 3,425 Buy 18,843,139 10/2000 71 Sell 18,843,139 11/2000 (100) Sell N$ 60,917 10/2000 565 Buy PZ 45,000 01/2001 (543) Buy 40,000 02/2001 (215) Buy 17,000 03/2001 (168) ------------ $ 3,776 ------------ (g) Principal amount denoted in indicated currency: BP - British Pound C$ - Canadian Dollar EC - Euro HF - Hungarian Forint JY - Japanese Yen N$ - New Zealand Dollar PZ - Polish Zloty (h) Swap agreements outstanding at September 30, 2000: Notional Unrealized Type Amount Depreciation ------------------------------------------------------------------------------ Receive floating rate based on 6-month JY-LIBOR and pay fixed rate equal to 2.340%. Broker: Deutsche Bank AG New York Exp. 10/08/2007 JY24,500,000 $ (9,740) Receive floating rate based on 6-month JY-LIBOR and pay fixed rate equal to 1.495%. Broker: Deutsche Bank AG New York Exp. 09/16/2008 7,000,000 1,709 Receive floating rate based on 3-month LIBOR plus 1.600% and pay a fixed rate equal to 0.426%. Broker: Lehman Brothers Exp. 04/19/2005 $ 13,033 1 Receive floating rate based on 3-month LIBOR plus 0.500% and pay a fixed rate equal to 7.600%. Broker: Lehman Brothers Exp. 07/15/2003 35,000 (354) Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.930%. Broker: Goldman Sachs Exp. 08/25/2030 BP 50,000 (579) Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.302%. Broker: Goldman Sachs Exp. 07/13/2010 C$ 40,000 (258) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.295%. Broker: Goldman Sachs Exp. 04/14/2008 JY11,635,000 (3,964) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.305%. Broker: Goldman Sachs Exp. 04/15/2008 7,563,000 (2,621) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.669%. Broker: Goldman Sachs Exp. 05/18/2007 51,000,000 (1,259) Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to 6.175%. Broker: Goldman Sachs Exp. 05/22/2030 EC 94,820 (953) 2000 Semi-Annual Report See accompanying notes 83 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) ------------------------------------------------------------------------------ Receive floating rate based on 6-month EURO-LIBOR plus 0.499% and pay a fixed rate equal to 6.000%. Broker: J.P. Morgan Exp. 01/04/2009 EC 123,620 $ 1,945 Receive floating rate based on 6-month EURO-LIBOR minus 0.54% and pay a fixed rate equal to 6.250%. Broker: J.P. Morgan Exp. 01/04/2024 26,270 320 Receive floating rate based on 3-month EURO-LIBOR and pay a fixed rate equal to 6.010%. Broker: Morgan Stanley Exp. 01/04/2030 83,670 (514) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.305%. Broker: Goldman Sachs Exp. 04/15/2008 JY 377,000 29 Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.669%. Broker: Goldman Sachs Exp. 05/18/2007 1,500,000 33 Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.295%. Broker: Goldman Sachs Exp. 04/14/2008 580,000 47 Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.317%. Broker: Goldman Sachs Exp. 07/12/2010 C$ 30,000 (213) Receive a fixed rate equal to 7.317% and pay floating rate based on 3-month LIBOR. Broker: Morgan Stanley Exp. 11/15/2003 $ 85,000 1,117 Receive floating rate based on 3-month LIBOR and pay to the counterparty $187,253 due 11/15/2021. Broker: Lehman Brothers Exp. 11/15/2021 42,600 (702) Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 5.950%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/17/2001 3,200 0 Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 6.150%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/22/2001 3,200 (171) Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 5.050%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 05/03/2001 6,000 (201) Receive fixed rate equal to 0.650% and the Fund will pay to the counterparty at par in the event of default of Niagara Mohawk Corp. 7.750% due 10/01/2008. Broker: Lehman Brothers Exp. 12/31/2004 50,000 3 Receive fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.400% due 02/01/2004. Broker: Goldman Sachs Exp. 11/10/2002 20,000 1 Receive fixed rate equal to 0.510% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 01/25/2005 10,000 1 Receive fixed rate equal to 0.650% and the Fund will pay to the counterparty at par in the event of default of Philip Morris Co. 7.200% due 02/01/2007. Broker: Goldman Sachs Exp. 12/22/2000 17,000 1 Receive fixed rate equal to 0.250% and the Fund will pay to the counterparty at par in the event of default of Pacific Gas & Electric Corp. 6.550% due 12/08/2005. Broker: J.P. Morgan Exp. 05/23/2003 22,000 0 Receive fixed rate equal to 5.600% and the Fund will pay to the counterparty at par in the event of default of the Republic of Venezuela 9.250% due 09/15/2027. Broker: Deutsche Bank AG New York Exp. 04/04/2001 25,000 14 Receive fixed rate equal to 5.850% and the Fund will pay to the counterparty at par in the event of default of the Republic of Venezuela 9.250% due 09/15/2027. Broker: Deutsche Bank AG New York Exp. 04/17/2001 10,000 6 Receive fixed rate equal to 0.250% and the Fund will pay to the counterparty at par in the event of default of Wisconsin Electric Power 6.625% due 11/16/2006. Broker: Lehman Brothers Exp. 04/18/2003 25,000 1 Receive fixed rate equal to 1.900% and the Fund will pay to the counterparty at par in the event of default of the Republic of Brazil based on 6-month LIBOR plus 0.813% due 04/15/2006. Broker: Credit Suisse First Boston International Exp. 05/03/2001 50,000 9 Receive fixed rate equal to 1.300% and the Fund will pay to the counterparty at par in the event of default of United Mexican States 9.875% due 01/15/2007. Broker: Salomon Brothers, Inc. Exp. 05/09/2002 50,000 7 84 PIMCO Funds See accompanying notes ------------------------------------------------------------------------------- Receive fixed rate equal to 0.100% and the Fund will pay to the counterparty at par in the event of default of Walmart Stores, Inc. 6.875% due 08/10/2009. Broker: Credit Suisse First Boston International Exp. 11/01/2000 $ 100,000 $ 1 Receive fixed rate equal to 0.100% and the Fund will pay to the counterparty at par in the event of default of General Electric Capital Corp. 7.250% due 02/02/2005. Broker: J.P. Morgan Exp. 05/19/2001 50,000 1 Receive fixed rate equal to 1.500% and the Fund will pay to the counterparty at par in the event of default of United Mexican States 9.875% due 01/15/2007. Broker: Salomon Brothers, Inc. Exp. 06/13/2002 50,000 8 Receive fixed rate equal to 0.500% and the Fund will pay to the counterparty at par in the event of default of Raytheon Co. 6.500% due 07/15/2005. Broker: Merril Lynch Exp. 06/30/2001 25,000 1 Receive fixed rate equal to 0.120% and the Fund will pay to the counterparty at par in the event of default of IBM Corp. 7.250% due 11/01/2002. Broker: J.P. Morgan Exp. 12/31/2000 50,000 1 Receive a fixed rate equal to 4.910% and pay floating rate based on 10-year Municipal Market Dataline Index. Broker: Morgan Stanley Exp. 11/07/2000 10,000 361 ------------- $ (15,912) ============= Fixed Unrealized Spread Notional Appreciation/ Type (%) Amount Depreciation ------------------------------------------------------------------------------- Receive the 10-year Swap Spread and pay a fixed spread. The 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Goldman Sachs Exp. 02/15/2005 0.8675 $ 258,500 $ 2,598 Broker: Morgan Stanley Exp. 02/28/2005 0.9925 25,000 (223) Receive On-The-Run 30-year Swap Spread and pay a fixed spread. The on the-run 30-year Swap Spread is the difference between the 30-year Swap Rate and the 30-year Treasury Rate. Broker: Goldman Sachs Exp. 04/04/2005 1.3900 50,000 (591) Receive the 30-year Swap Spread and pay a fixed spread. The 30-year Swap Spread is the difference between the 30-year Swap Rate and the 30-year Treasury Rate. Broker: Goldman Sachs Exp. 02/16/2005 1.1120 37,700 (329) Broker: Goldman Sachs Exp. 02/15/2005 1.0850 10,000 (155) Broker: Goldman Sachs Exp. 02/16/2005 1.1120 3,300 (52) Receive the 5-year Swap Spread and pay a fixed spread. The 5-year Swap Spread is the difference between the 5-year Swap Rate and the 5-year Treasury Rate. Broker: Morgan Stanley 0.9900 107,200 (294) Exp. 04/07/2005 Broker: Lehman Brothers Exp. 04/10/2005 0.9500 130,000 (356) Broker: Bank of America Exp. 04/11/2005 0.9675 250,000 (263) Receive On-The-Run 2-year Swap Spread and pay a fixed spread. The On-The-Run 2-year Swap Spread is the difference between the 2-year Swap Rate and the 2-year Treasury Rate. Broker: Bank of America Exp. 07/19/2001 0.9250 100,000 (850) ------------- $ (515) ============= (i) Principal amount of the security is adjusted for inflation. (j) Subject to financing transaction. (k) Securities are grouped by coupon or range of coupons and represent a range of maturities. (l) Restricted security. (m) Security is in default. 2000 Semi-Annual Report See accompanying notes 85 Schedule of Investments Total Return Fund II September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------- CORPORATE BONDS & NOTES 50.9% ------------------------------------------------------------------- Banking & Finance 40.0% Abbey National Capital Trust I 8.960% due 12/29/2049 $ 1,900 $ 1,911 Aetna, Inc. 6.750% due 08/15/2001 1,715 1,711 Allstate Corp. 6.750% due 06/15/2003 9,300 9,248 7.880% due 05/01/2005 200 206 American Express 5.630% due 01/22/2004 5,000 4,820 Associates Corp. of North America 5.750% due 11/01/2003 600 582 AT&T Capital Corp. 7.010% due 04/23/2002 (d) 30,000 30,083 Bank of America Corp. 6.680% due 03/05/2001 (d) 15,000 14,997 7.500% due 10/15/2002 400 405 7.880% due 05/16/2005 200 207 Bank of Hawaii 6.880% due 06/01/2003 7,750 7,701 Bank of New York 6.630% due 06/15/2003 5,000 4,970 Bank One Corp. 6.900% due 09/26/2003 (d) 12,500 12,493 Bellsouth Savings & Employee Stock Ownership Trust 9.130% due 07/01/2003 18 18 Beneficial Corp. 6.750% due 02/11/2003 10 10 Caterpillar Financial Services Corp. 6.890% due 02/11/2002 (d) 5,000 5,007 5.890% due 06/17/2002 840 829 Chase Manhattan Corp. 7.630% due 01/15/2003 5,000 5,078 Chrysler Financial Co. LLC 6.160% due 06/15/2001 (d) 5,000 5,009 6.950% due 03/25/2002 730 731 CIT Group, Inc. 6.810% due 09/13/2002 (d) 10,000 10,000 Citicorp 7.130% due 06/01/2003 4,000 4,014 Citigroup, Inc. 9.500% due 03/01/2002 200 207 Commercial Credit Co. 5.550% due 02/15/2001 30 30 Deutsche Bank Capital Trust 7.870% due 12/29/2049 19,745 18,842 Donaldson, Lufkin & Jenrette, Inc. 7.250% due 07/18/2003 (d) 12,800 12,833 6.880% due 11/01/2005 225 221 Dresdner Bank-New York 6.630% due 09/15/2005 7,000 6,824 First Chicago Corp. 6.880% due 06/15/2003 4,000 3,972 Ford Motor Credit Corp. 8.200% due 02/15/2002 11,140 11,318 6.810% due 03/19/2002 (d) 35 35 8.000% due 06/15/2002 5,000 5,090 6.860% due 02/03/2003 (d) 10,000 9,975 6.850% due 03/17/2003 (d) 10,000 9,987 6.950% due 11/24/2003 (d) 5,000 4,998 5.750% due 02/23/2004 5,500 5,251 6.700% due 07/16/2004 200 196 7.500% due 03/15/2005 30,000 30,189 General Motors Acceptance Corp. 5.350% due 12/07/2001 600 590 5.500% due 12/15/2001 765 753 6.810% due 01/28/2002 (d) 24,600 24,613 6.840% due 04/29/2002 (d) 225 226 5.480% due 12/16/2002 235 228 6.840% due 02/14/2003 (d) 20,000 19,972 6.790% due 08/18/2003 (d) 1,700 1,696 -------------------------------------------------------------------- Goldman Sachs Group 7.000% due 04/16/2001 (d) 10,000 10,000 7.800% due 07/15/2002 9,500 9,607 5.900% due 01/15/2003 2,000 1,948 6.860% due 03/19/2003 (d) 5,000 5,010 7.010% due 01/20/2009 (d) 5,000 5,014 Heller Financial, Inc. 6.980% due 04/22/2002 (d) 5,000 5,000 6.500% due 07/22/2002 10,000 9,888 6.440% due 10/06/2002 400 395 6.970% due 04/28/2003 (d) 15,000 14,935 7.880% due 05/15/2003 150 152 Household Finance Corp. 6.920% due 06/24/2003 (d) 20,000 20,018 6.250% due 08/15/2003 50 49 5.880% due 09/25/2004 15,000 14,343 J.P. Morgan & Co. 6.000% due 01/15/2009 15,000 13,823 KBC Bank Fund Trust III 9.860% due 11/29/2049 (d) 12,000 12,558 Key Bank 6.680% due 07/23/2001 (d) 5,000 5,004 Lehman Brothers Holdings, Inc. 7.680% due 04/02/2002 (d) 20,000 20,178 Mellon Funding Corp. 5.750% due 11/15/2003 200 193 Merrill Lynch & Co. 7.050% due 06/04/2001 16,175 16,212 6.790% due 11/01/2001 (d) 20,000 20,020 6.810% due 06/24/2003 (d) 20,000 19,941 Morgan Stanley, Dean Witter, Discover and Co. 7.130% due 01/15/2003 275 277 6.910% due 05/05/2003 (d) 20,000 20,036 6.960% due 08/07/2003 (d) 6,200 6,204 NationsBank Corp. 6.200% due 08/15/2003 10,800 10,626 8.630% due 11/15/2003 1,550 1,621 PNC Funding Corp. 6.130% due 09/01/2003 1,400 1,365 Popular North American, Inc. 6.880% due 06/15/2001 7,000 7,004 Qwest Capital Funding 6.880% due 08/15/2001 8,750 8,743 Republic New York Corp. 9.750% due 12/01/2000 25 25 Salomon, Smith Barney Holdings 6.960% due 04/28/2003 (d) 20,000 20,008 Sears Roebuck Acceptance 6.710% due 08/13/2001 40 40 Textron Financial Corp. 7.030% due 05/28/2002 (d) 10,000 9,988 7.030% due 09/17/2002 (d) 28,000 28,036 Transamerica Finance Corp. 6.480% due 03/15/2001 1,000 998 Wachovia Corp. 7.260% due 05/02/2005 (d) 15,000 14,985 Westdeutsche Landesbank 6.050% due 01/15/2009 625 572 -------- 622,892 ======== INDUSTRIALS 6.0% AMR Corp. 9.430% due 05/10/2001 1,000 1,007 8.900% due 02/26/2007 6,450 6,676 Coastal Corp. 10.000% due 02/01/2001 5,000 5,044 Conoco, Inc. 5.900% due 04/15/2004 250 242 Continental Cablevision 8.300% due 05/15/2006 100 104 DaimlerChrysler Holdings 6.860% due 01/18/2002 (d) 20,000 20,023 Dow Chemical Co. 8.040% due 07/02/2005 4,800 4,940 Enron Corp. 7.110% due 09/10/2001 (d) 20,000 20,002 86 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------- Ford Motor Co. 9.000% due 09/15/2001 $ 300 $ 304 ICI Wilmington 9.500% due 11/15/2000 700 701 Mattel, Inc. 6.000% due 07/15/2003 250 236 Norfolk Southern Corp. 6.950% due 05/01/2002 3,000 2,990 Occidental Petroleum 7.360% due 10/03/2008 (d) 10,800 10,786 Pharmacia Corp. 7.090% due 12/15/2000 40 40 Philip Morris Cos., Inc. 9.000% due 01/01/2001 100 100 6.000% due 07/15/2001 1,000 983 Phillips Pete Co. 6.650% due 03/01/2003 400 396 Procter & Gamble Co. 5.250% due 09/15/2003 600 577 Raytheon Co. 5.950% due 03/15/2001 6,000 5,957 Sears Roebuck & Co. 8.300% due 10/26/2004 500 516 Time Warner, Inc. 7.980% due 08/15/2004 3,345 3,439 Times Mirror Co. 6.650% due 10/15/2001 300 299 Transcontinental Gas Pipelines 6.130% due 01/15/2005 300 290 United Air Lines Equipment Trust 9.190% due 12/24/2013 7,213 6,923 -------- 92,575 ======== Utilities 4.9% Allegheny Energy Supply 7.510% due 05/01/2002 (d) 13,900 13,900 Carolina Power & Light, Inc. 7.230% due 07/29/2002 (d) 9,100 9,134 7.880% due 04/15/2004 400 410 Commonwealth Edison 6.630% due 07/15/2003 288 284 Marlin Water Trust 7.090% due 12/15/2001 808 803 Metropolitan Edison Co. 7.220% due 01/30/2003 2,000 2,021 6.400% due 02/09/2006 2,412 2,372 National Rural Utilities Cooperative 6.070% due 06/05/2002 25 25 Oneok, Inc. 7.390% due 04/24/2002 (d) 5,000 5,006 Pacificorp 7.200% due 08/15/2002 11,000 11,057 Philadelphia Electric 7.130% due 09/01/2002 90 90 6.500% due 05/01/2003 1,840 1,812 Public Service Enterprise Group, Inc. 7.040% due 11/22/2000 (d) 10,000 9,999 Reliant Energy, Inc. 7.880% due 07/01/2002 1,375 1,387 Sprint Capital Corp. 5.700% due 11/15/2003 375 361 Sprint Corp. 9.440% due 08/15/2001 10,000 10,198 Texas Utilities Co. 7.380% due 08/01/2001 1,900 1,904 6.750% due 03/01/2003 5,000 4,967 -------- 75,730 -------- Total Corporate Bonds & Notes 791,197 (Cost $794,664) ======== -------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 0.9% -------------------------------------------------------------------- Kansas 0.1% Wichita Kansas Hospital Revenue Bonds, Series 1999 6.250% due 11/15/2024 1,000 1,000 -------- Massachusetts 0.1% Massachusetts State Turnpike Authority Metro Highway System Revenue Bonds, (AMBAC Insured), Series 1999 A 5.000% due 01/01/2039 1,000 871 -------- Texas 0.3% Houston Texas Airport System Revenue, (FGIC Insured), Series 1998 5.000% due 07/01/2025 5,800 5,104 -------- Washington State 0.4% Port of Seattle, Washington Revenue Bonds, (MBIA Insured), Series 2000 B 5.630% due 02/01/2024 6,400 6,192 -------- Total Municipal Bonds & Notes 13,167 (Cost $13,144) ======== -------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 0.9% -------------------------------------------------------------------- Federal Home Loan Bank 5.130% due 09/15/2003 200 193 5.140% due 09/22/2003 500 480 5.370% due 12/11/2008 400 362 Federal Home Loan Mortgage Corp. 7.250% due 09/29/2005 200 200 6.890% due 03/01/2011 500 478 Federal National Mortgage Association 5.380% due 03/15/2002 55 54 5.250% due 01/15/2003 60 59 5.750% due 04/15/2003 4,715 4,635 7.400% due 07/01/2004 600 618 7.380% due 05/22/2006 500 500 6.380% due 06/15/2009 450 439 6.630% due 09/15/2009 1,000 993 Small Business Administration 7.450% due 08/01/2010 4,700 4,787 -------- Total U.S. Government Agencies 13,798 (Cost $13,572) ======== -------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 17.0% -------------------------------------------------------------------- Treasury Inflation Protected Securities (h) 3.625% due 07/15/2002 (b) 57,765 57,747 3.380% due 01/15/2007 2,832 2,739 3.630% due 01/15/2008 2,030 1,984 3.880% due 01/15/2009 842 835 3.880% due 04/15/2029 315 313 U.S. Treasury Bonds 11.250% due 02/15/2015 (g) 20,500 30,475 10.630% due 08/15/2015 14,100 20,251 8.750% due 08/15/2020 (g) 22,700 29,489 8.000% due 11/15/2021 8,600 10,508 6.000% due 02/15/2026 (g) 55,650 55,146 5.500% due 08/15/2028 2,500 2,321 U.S. Treasury Strips 0.000% due 02/15/2014 20,600 9,142 0.000% due 02/15/2019 13,500 4,421 0.000% due 11/15/2021 86,500 24,216 0.000% due 11/15/2024 58,000 13,775 0.000% due 02/15/2026 2,400 534 -------- Total U.S. Treasury Obligations 263,896 (Cost $264,196) ======== -------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 68.6% -------------------------------------------------------------------- Collateralized Mortgage Obligations 10.5% Chase Mortgage Finance Corp. 7.000% due 07/25/2028 4,724 4,476 COMM 6.150% due 02/15/2008 4,430 4,305 Dime Savings 7.060% due 11/01/2018 (d) 68 61 2000 Semi-Annual Report See accompanying notes 87 Schedule of Investments (Cont.) Total Return Fund II September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------- DLJ Mortgage Acceptance Corp. 11.000% due 08/01/2019 $ 129 $ 140 Federal Home Loan Mortgage Corp. 5.950% due 07/15/2003 123 121 6.500% due 12/01/2010 353 349 8.800% due 12/01/2015 181 185 9.250% due 11/15/2019 25 26 9.000% due 12/15/2020 1,012 1,044 7.000% due 07/15/2022 16,809 16,407 7.500% due 01/15/2023 17,740 17,313 6.750% due 04/25/2024 9,036 8,409 8.000% due 06/15/2030 7,550 7,367 Federal National Mortgage Association 6.000% due 06/25/2001 15 15 6.150% due 09/25/2016 1,518 1,502 9.000% due 06/25/2018 16 17 6.000% due 09/25/2018 76 75 9.250% due 07/25/2019 2,036 2,120 6.000% due 08/25/2020 2,925 2,879 7.000% due 09/25/2020 43 42 6.500% due 05/18/2023 7,473 7,392 Guaranteed Mortgage Corp. 9.300% due 07/20/2019 384 399 Independent National Mortgage Corp. 9.140% due 11/25/2024 (d) 77 78 8.560% due 11/25/2024 (d) 454 460 Mellon Residential Funding Corp. 6.570% due 07/25/2029 4,000 3,881 Nationslink Funding Corp. 6.650% due 02/10/2006 3,000 2,962 6.970% due 04/10/2007 (d) 2,670 2,671 Norwest Asset Securities Corp. 7.500% due 03/25/2027 17,000 16,652 PNC Mortgage Securities Corp. 7.750% due 07/25/2030 24,655 24,609 Residential Accredit Loans, Inc. 7.250% due 11/25/2027 10,083 9,703 Residential Funding Mortgage Securities, Inc. 7.000% due 11/25/2027 12,115 11,610 Salomon Brothers Mortgage Securities 7.000% due 04/25/2029 (d) 16,312 16,295 ---------- 163,565 ========== Federal Home Loan Mortgage Corporation 1.1% 5.750% due 11/15/2017 126 125 6.000% due 09/01/2027 57 53 7.000% due 03/01/2007-11/12/2030 (f) 2,017 1,978 7.250% due 03/01/2006 124 125 7.410% due 02/01/2023 (d) 471 476 7.500% due 08/01/2009 8 8 7.810% due 07/01/2030 (d) 10,600 10,672 8.250% due 03/01/2008-05/01/2008 (f) 104 106 8.420% due 12/01/2022 (d) 3,969 4,072 8.500% due 12/01/2001 1 1 9.500% due 02/01/2011 43 45 10.000% due 06/01/2011-03/01/2021 (f) 99 105 10.500% due 04/01/2001 7 8 15.500% due 06/01/2011 1 1 ---------- 17,775 ========== Federal Housing Administration 2.3% 5.600% due 10/01/2019 357 358 6.000% due 03/20/2028 21,318 19,976 6.650% due 09/15/2001-07/20/2038 (f) 15,500 15,242 8.830% due 05/01/2019 202 208 ---------- 35,784 ========== Federal National Mortgage Association 4.2% 4.750% due 11/14/2003 730 695 6.000% due 05/15/2008-10/16/2030 (f) 9,618 9,003 6.500% due 02/01/2013 263 259 7.000% due 08/01/2009-10/16/2030 (f) 5,935 5,826 7.470% due 12/01/2023 (d) 497 508 7.480% due 01/01/2024 (d) 879 899 7.500% due 03/01/2030-06/01/2030 (f) 655 655 7.750% due 10/01/2007 129 130 -------------------------------------------------------------------- 8.000% due 05/01/2002-10/16/2030 (f) 15,426 15,629 8.070% due 07/01/2020 (d) 790 809 8.200% due 02/01/2023 (d) 1,645 1,666 8.500% due 12/01/2001-10/16/2030 (f) 26,228 26,861 8.650% due 04/01/2024 (d) 1,032 1,061 9.000% due 12/01/2001-06/01/2010 (f) 251 256 11.000% due 09/01/2010 156 169 13.750% due 10/01/2010-11/01/2013 (f) 87 98 14.500% due 03/01/2013 3 3 14.750% due 10/01/2012-11/01/2012 (f) 10 12 ---------- 64,539 ========== Government National Mortgage Association 50.5% 6.000% due 11/15/2028-10/23/2030 (d)(f) 86,221 82,241 6.380% due 05/20/2027 (d) 2,652 2,671 6.500% due 01/15/2024-10/23/2030 (d)(f) 265,746 255,986 6.750% due 09/20/2024-08/20/2027 (d)(f) 35,816 36,059 7.000% due 10/23/2030 110,450 108,780 7.380% due 06/20/2023-06/20/2027 (d)(f) 21,365 21,532 7.500% due 03/15/2024-10/23/2030 (f) 191,534 192,073 8.000% due 06/15/2024-10/23/2030 (f) 85,079 86,324 8.500% due 04/15/2030 342 353 12.000% due 01/15/2013-06/15/2015 (f) 15 18 ---------- 786,037 ========== Other Mortgage-Backed Securities 0.0% Bank of America Corp. 9.000% due 03/01/2008 29 29 Federal Home Loan Mortgage Corp. 11.880% due 06/15/2013 122 128 Security Pacific National Bank 8.500% due 03/01/2017 32 32 ---------- 189 ---------- Total Mortgage-Backed Securities 1,067,889 (Cost $1,068,055) ========== -------------------------------------------------------------------- ASSET-BACKED SECURITIES 6.1% -------------------------------------------------------------------- Advanta Equipment Receivables 7.560% due 02/15/2007 2,953 2,961 AFC Home Equity Loan Trust 7.350% due 10/25/2026 (d) 407 409 Americredit Automobile Receivable Trust 6.770% due 06/12/2005 (d) 5,000 5,009 Banc One Auto Grantor Trust 6.270% due 11/20/2003 2,606 2,600 Bayview Financial Acquisition Trust 7.010% due 07/25/2030 (d) 3,047 3,047 Comed Transitional Funding Trust 5.290% due 06/25/2003 2,400 2,365 Conseco Finance Lease LLC 7.250% due 04/20/2003 19,400 19,483 Conseco Finance Securitizations Corp. 7.890% due 07/15/2018 20,000 20,355 8.170% due 12/15/2025 11,800 12,168 Delta Funding Home Equity Loan Trust 7.260% due 08/25/2018 6,084 6,069 Green Tree Recreational Equipment 6.430% due 04/17/2006 2,254 2,251 Residential Funding Mortgage Securities, Inc. 5.460% due 07/25/2029 2,370 2,360 Sasco Floating Rate Commercial Mortgage 7.200% due 02/25/2001 (d) 3,632 3,638 Student Loan Marketing Assn. 6.840% due 04/25/2004 (d) 2,968 2,964 Summit Acceptance Auto Receivables Trust 7.150% due 02/18/2003 10,000 9,999 -------- Total Asset-Backed Securities 95,678 (Cost $95,017) ======== -------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 0.0% -------------------------------------------------------------------- Utilities 0.0% Alliant Energy Resources, Inc. 4.910% due 01/01/2000 600 36 -------- Total Convertible Bonds & Notes 36 (Cost $41) ======== 88 PIMCO Funds See accompanying notes Value Shares (000s) -------------------------------------------------------------------- PREFERRED STOCK 0.1% -------------------------------------------------------------------- Fortis Amev NV 0.000% due 01/01/2000 12 $ 1,414 ---------- Total Preferred Stock 1,414 (Cost $1,450) ========== -------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 5.3% -------------------------------------------------------------------- Principal Amount (000s) Commercial Paper 4.6% Alcoa, Inc. 6.460% due 12/14/2000 $ 1,100 1,085 Amer Electric Power 6.700% due 10/18/2000 400 399 AT&T Corp. 6.470% due 11/29/2000 300 297 6.480% due 12/13/2000 900 888 Bank One Corp. 6.470% due 12/19/2000 12,000 11,825 Conagra, Inc. 6.670% due 10/04/2000 800 800 6.680% due 10/27/2000 2,700 2,671 6.670% due 11/16/2000 4,100 4,066 Dominion Resources, Inc. 6.710% due 11/16/2000 1,000 992 Edison Midwest 6.710% due 11/15/2000 5,000 4,959 Federal National Mortgage Association 6.390% due 12/21/2000 1,600 1,577 Infinity Broadcasting Corp. 6.700% due 11/15/2000 1,100 1,091 Ingersoll-Rand Co. 6.680% due 10/02/2000 29,300 29,300 6.700% due 11/01/2000 500 497 6.710% due 11/15/2000 300 297 International Paper Co. 6.720% due 11/07/2000 10,000 9,933 6.710% due 11/30/2000 200 198 SBC Communications, Inc. 6.470% due 12/06/2000 800 790 ---------- 71,665 ========== Repurchase Agreements 0.7% J.P. Morgan 6.430% due 10/02/2000 3,000 3,000 (Dated 09/29/2000. Collateralized by U.S. Treasury Inflation Protected Securities 5.5% due 08/31/2001 valued at $3,061. Repurchase proceeds are $3,002.) State Street Bank 5.850% due 10/02/2000 8,283 8,283 (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 6.100% due 08/10/2001 valued at $8,450. Repurchase proceeds are $8,287) ---------- 11,283 ========== U.S. Treasury Bills (b) 0.0% 5.930% due 02/01/2001 420 410 ---------- Total Short-Term Instruments 83,358 ========== (Cost $83,384) Total Investments (a) 149.8% $2,330,433 (Cost $2,333,523) Written Options (c) (0.0%) (1,015) (Premiums $1,275) Other Assets and Liabilities (Net) (49.8%) (774,162) ========== Net Assets 100.0% $1,555,256 ========== -------------------------------------------------------------------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 8,756 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (11,846) ---------- Unrealized depreciation-net $ (3,090) ========== (b) Securities with an aggregate market value of $4,826 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: Unrealized # of Appreciation/ Type Contracts (Depreciation) -------------------------------------------------------------------- U.S. Treasury 5 Year Note (12/2000) 1,923 $ (1,598) U.S. Treasury 10 Year Note (12/2000) 1,896 255 U.S. Treasury 30 Year Bond (12/2000) 27 (26) Municipal Bond (12/2000) 54 (69) ---------- $ (1,438) ========== (c) Premiums received on written options: # of Type Contracts Premium Value -------------------------------------------------------------------- Call - CBOT U.S. Treasury Note December Futures Strike @ 103.00 Exp. 11/18/2000 459 $ 59 $ 50 Call - CBOT U.S. Treasury Note December Futures Strike @ 102.00 Exp. 11/18/2000 526 135 123 Put - CBOT U.S. Treasury Note December Futures Strike @ 98.00 Exp. 11/18/2000 196 72 34 Put - CBOT U.S. Treasury Note December Futures Strike @ 97.00 Exp. 11/18/2000 129 32 12 Put - CME Eurodollar March Futures Strike @ 92.75 Exp. 03/19/2001 287 114 11 Call - CME Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 555 151 409 Put - CME Eurodollar March Futures Strike @ 92.25 Exp. 03/19/2001 237 142 3 Put - CME Eurodollar December Futures Strike @ 92.25 Exp. 12/18/2000 130 50 1 Put - CME Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 84 84 16 Put - CME Eurodollar March Futures Strike @ 93.50 Exp. 03/19/2001 84 108 36 Put - OTC 3 Month LIBOR Interest Rate Swap Strike @ 8.250% Exp. 03/19/2001 65,000,000 258 1 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.750% Exp. 03/19/2001 65,000,000 70 319 -------------------- $ 1,275 $ 1,015 ==================== (d) Variable rate security. The rate listed is as of September 30, 2000. 2000 Semi-Annual Report See accompanying notes 89 Schedule of Investments (Cont.) Total Return Fund II September 30, 2000 (Unaudited) -------------------------------------------------------------------- (e) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount Depreciation -------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR and pay to the counterparty $7,468 due 11/15/2021. Broker: Goldman Sachs Exp. 11/15/2021 $ 1,710 $ (23) Receive floating rate based on 3-month LIBOR and pay to the counterparty $19,473 at maturity. Broker: Lehman Brothers Exp. 11/15/2021 4,430 (73) Receive floating rate based on 3-month LIBOR and pay to the counterparty $37,137 due 11/15/2021. Broker: Bank of America Exp. 11/15/2021 8,560 85 Receive fixed rate equal to 0.410% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Goldman Sachs Exp. 11/10/2002 9,000 1 Receive fixed rate equal to 0.500% and the Fund will pay to the counterparty at par in the event of default of Williams Companies, Inc. 6.625% due 11/15/2004. Broker: Warburg Dillon Read LLC Exp. 09/16/2003 20,000 1 --------- $ (9) ========= (f) Securities are grouped by coupon or range of coupons and represent a range of maturities. (g) Subject to financing transaction. (h) Principal amount of the security is adjusted for inflation. 90 PIMCO Funds See accompanying notes Schedule of Investments Total Return Fund III September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ---------------------------------------------------------------------------- CORPORATE BONDS & NOTES 37.8% ---------------------------------------------------------------------------- Banking & Finance 24.4% Abbey National Capital Trust I 8.963% due 12/29/2049 $ 9,300 $ 9,353 ABN AMRO Mortgage Corp. 7.000% due 04/01/2008 1,000 975 Allied Irish Banks 7.012% due 10/31/2006 7,000 7,012 Associates Corp. of North America 7.240% due 05/17/2006 1,000 1,010 Bank of America Corp. 9.375% due 09/15/2009 1,000 1,104 Bank of Tokyo - Mitsubishi 8.400% due 04/15/2010 2,300 2,344 BankBoston Corp. 6.125% due 03/15/2002 15,000 14,830 Bear Stearns Co., Inc. 7.010% due 12/16/2002 (d) 10,000 10,011 Deutsche Bank Financial 6.700% due 12/13/2006 1,000 972 Export-Import Bank Korea 7.100% due 03/15/2007 50 50 First Union Corp. 7.700% due 02/15/2005 19,000 19,378 Ford Motor Credit Corp. 6.541% due 07/16/2002 (d) 300 301 5.750% due 02/23/2004 2,000 1,909 7.500% due 03/15/2005 30,000 30,189 6.620% due 02/27/2006 1,000 970 General Motors Acceptance Corp. 7.015% due 07/21/2003 (d) 6,500 6,492 7.090% due 07/21/2004 (d) 6,200 6,206 Gold Eagle Capital Ltd. 11.440% due 04/16/2001 6,000 6,000 Household Finance Corp. 6.777% due 05/07/2002 (d) 5,000 5,016 7.020% due 05/24/2002 (d) 500 500 International Lease Finance Corp. 5.450% due 01/04/2002 500 493 John Deere Capital Corp. 6.461% due 04/21/2003 (d) 10,200 10,210 Korea Development Bank 9.450% due 03/15/2001 125 126 7.900% due 02/01/2002 1,875 1,880 7.625% due 10/01/2002 250 250 7.125% due 04/22/2004 250 245 Lehman Brothers Holdings, Inc. 7.190% due 04/02/2002 (d) 10,000 10,089 Merrill Lynch & Co. 6.471% due 11/01/2001 (d) 3,000 3,003 6.375% due 10/15/2008 5,000 4,708 Midamerican Funding LLC 5.850% due 03/01/2001 12,000 11,937 Morgan Stanley, Dean Witter, Discover and Co. 6.375% due 08/01/2002 1,000 993 Nacional Financiera 10.562% due 12/01/2000 (d) 5,750 5,785 NationsBank Corp. 8.625% due 11/15/2003 25 26 Residential Reinsurance 10.926% due 06/01/2001 4,200 4,200 Spieker Properties 6.950% due 12/15/2002 2,000 1,979 Textron Financial Corp. 7.177% due 05/28/2002 (d) 5,000 4,994 Tokai Capital Corp. 9.980% due 12/29/2049 (d) 400 383 Wachovia Corp. 6.941% due 05/02/2005 (d) 10,000 9,990 Wells Fargo & Co. 6.875% due 08/08/2006 1,000 992 7.800% due 06/15/2010 1,000 1,023 Westdeutsche Landesbank 6.050% due 01/15/2009 1,800 1,648 ----------- 199,576 =========== Industrials 5.1% Cargill, Inc. 6.871% due 01/14/2002 (d) 9,000 9,008 Fred Meyer, Inc. 7.150% due 03/01/2003 50 50 General Motors Acceptance Corp. 9.125% due 07/15/2001 20 20 International Paper Co. 7.600% due 07/08/2002 (d) 2,200 2,206 Mesa Industrial Development Authority 5.625% due 01/01/2029 4,000 3,974 Petroleos Mexicanos 8.131% due 07/15/2005 (d) 5,000 5,013 9.500% due 09/15/2027 6,250 6,453 Time Warner, Inc. 6.100% due 12/30/2001 10,000 9,863 WMX Technologies 6.700% due 05/01/2001 5,500 5,451 ----------- 42,038 =========== Utilities 8.3% Arizona Public Service 7.400% due 11/15/2001 (d) 5,300 5,299 Bell Telephone Co. Pennsylvania 7.375% due 07/15/2007 75 75 Deutsche Telekom AG 7.750% due 06/15/2005 13,000 13,321 GTE Corp. 5.625% due 02/01/2001 300 298 8.875% due 01/15/2006 10,000 10,326 Niagara Mohawk Power 7.125% due 07/01/2001 4,990 4,992 7.250% due 10/01/2002 11,341 11,293 7.375% due 07/01/2003 3,024 3,032 North Atlantic Energy 9.050% due 06/01/2002 267 270 Oneok, Inc. 7.390% due 04/24/2002 (d) 13,000 13,015 Texas Utilities Co. 6.375% due 10/01/2004 1,000 968 WorldCom, Inc. 6.125% due 08/15/2001 5,000 4,970 ----------- 67,859 ----------- Total Corporate Bonds & Notes 309,473 (Cost $309,406) =========== ---------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 0.9% ---------------------------------------------------------------------------- New York 0.5% New York State Thruway Authority General Obligation Bond, Series 1998 5.000% due 01/01/2025 2,850 2,537 New York State Thruway Authority, Revenue Bond, Series 1998 4.750% due 01/01/2019 2,000 1,776 ----------- 4,313 =========== Texas 0.4% Harris County Health Facilities Development Corporation Revenue Bond 5.375% due 07/01/2029 3,600 3,298 ----------- Total Municipal Bonds & Notes 7,611 (Cost $7,758) =========== ---------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 5.4% ---------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. 6.000% due 07/20/2001 37,700 37,526 7.500% due 07/01/2011 342 346 8.000% due 01/01/2012 159 163 Small Business Administration 7.449% due 08/01/2010 2,400 2,444 Student Loan Marketing Assn. 6.242% due 10/25/2005 (d) 3,702 3,688 ----------- Total U.S. Government Agencies 44,167 (Cost $44,284) =========== 2000 Semi-Annual Report See accompanying notes 91 Schedule of Investments (Cont.) Total Return Fund III September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 21.7% ------------------------------------------------------------------- Treasury Inflation Protected Securities (f) 3.625% due 07/15/2002 (b)(j) $ 15,410 $ 15,406 3.625% due 01/15/2008 7,478 7,308 3.875% due 01/15/2009 23,994 23,799 U.S. Treasury Bonds 11.250% due 02/15/2015 7,900 11,744 8.750% due 08/15/2020 (j) 38,100 49,494 8.000% due 11/15/2021 (j) 4,300 5,254 6.000% due 02/15/2026 25,700 25,467 5.500% due 08/15/2028 13,600 12,627 6.250% due 05/15/2030 (j) 3,000 3,155 U.S. Treasury Strips 0.000% due 02/15/2014 5,000 2,219 0.000% due 02/15/2015 6,500 2,711 0.000% due 11/15/2021 40,800 11,422 0.000% due 11/15/2024 29,500 7,006 ------------ Total U.S. Treasury Obligations 177,612 (Cost $177,902) ============ ------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 79.4% ------------------------------------------------------------------- Collateralized Mortgage Obligations 23.0% ABN AMRO Mortgage Corp. 6.750% due 11/25/2028 9,750 9,175 Amortizing Residential Collateral Trust 6.880% due 09/25/2030 (d) 3,927 3,927 CMC Securities Corp. 8.419% due 04/25/2025 (d) 771 781 DLJ Mortgage Acceptance Corp. 7.580% due 02/12/2006 (d) 13,600 13,775 Federal Home Loan Mortgage Corp. 7.000% due 11/01/2011 53 53 6.500% due 08/15/2023 7,495 7,428 7.271% due 03/15/2025 (d) 14,131 13,858 7.000% due 02/15/2027 13,753 12,820 6.500% due 09/01/2028 63 60 6.500% due 06/01/2029 94 90 7.000% due 10/01/2029 111 109 Federal National Mortgage Association 6.500% due 12/18/2004 3,531 3,499 7.000% due 09/25/2021 6,508 6,403 General Electric Capital Mortgage Services, Inc. 6.750% due 12/25/2012 2,629 2,610 7.500% due 03/25/2027 15,000 14,709 6.000% due 07/25/2029 10,400 10,204 Greenwich 9.198% due 11/25/2024 (d) 27 27 Impac Secured Assets CMN Owner Trust 7.750% due 10/25/2030 22,715 21,730 Norwest Asset Securities Corp. 6.250% due 12/25/2028 11,980 9,562 PNC Mortgage Securities Corp. 6.500% due 12/25/2028 6,449 5,948 Prudential Securities Secured Financing Corp. 6.955% due 06/15/2008 9,403 9,386 Residential Accredit Loans, Inc. 7.050% due 01/25/2026 2,000 1,990 7.250% due 01/25/2026 3,000 2,946 6.500% due 12/25/2028 24,000 22,193 Residential Funding Mortgage Securities, Inc. 7.750% due 10/25/2030 5,000 4,816 Resolution Trust Corp. 8.835% due 12/25/2023 1,711 1,727 Structured Asset Mortgage Investments, Inc. 6.581% due 06/25/2029 (d) 9,183 8,803 ------------ 188,629 ============ Federal Home Loan Mortgage Corporation 4.9% 6.000% due 12/01/2099 5,000 4,672 6.750% due 10/01/2006 44 44 7.000% due 01/01/2030-12/01/2099 (h) 31,780 31,203 7.166% due 12/01/2022 (d) 652 668 7.813% due 07/01/2030 (d) 3,100 3,121 8.000% due 02/01/2006-03/01/2028 (h) 164 166 ------------ 39,874 ============ Federal Housing Administration 0.9% 7.430% due 11/25/2019-11/25/2022 (h) 7,745 7,669 ------------ Federal National Mortgage Association 9.8% 6.000% due 10/01/2099 10,000 9,338 6.252% due 08/01/2018 (d) 83 82 6.446% due 02/01/2031 (d) 61 60 7.000% due 12/01/2099 45,000 44,072 7.430% due 01/25/2023 7,398 7,345 7.500% due 02/01/2027 3,790 3,802 8.250% due 07/01/2017 57 58 8.500% due 02/01/2007-12/01/2099 (h) 14,849 15,208 9.000% due 07/01/2005-06/01/2025 (h) 25 26 ------------ 79,991 ============ Government National Mortgage Association 40.0% 6.000% due 12/15/2028 650 610 6.500% due 09/15/2023-12/20/2099 (h) 194,502 187,305 6.750% due 09/20/2023-08/20/2027 (d)(h) 5,846 5,899 7.000% due 12/15/2099 73,840 72,732 7.125% due 10/20/2024-12/20/2026 (d)(h) 6,007 6,056 7.375% due 06/20/2022-01/20/2026 (d)(h) 6,706 6,759 7.400% due 10/15/2001-11/01/2039 (h) 7,010 6,940 7.500% due 12/15/2099 33,500 33,594 8.000% due 12/15/2099 7,250 7,379 10.250% due 02/15/2017 616 642 12.750% due 02/20/2015 (h) 4 5 ------------ 327,921 ============ Other Mortgage-Backed Securities 0.8% Federal Home Loan Mortgage Corp. 6.504% due 08/15/2032 (d) 5,702 5,596 Resolution Trust Corp. 6.920% due 05/25/2029 (d) 1,096 1,095 ------------ 6,691 ============ Stripped Mortgage-Backed Securities 0.0% Federal Home Loan Mortgage Corp. (IO) 6.500% due 04/15/2022 1,558 165 ------------ Total Mortgage-Backed Securities 650,940 (Cost $655,044) ============ ------------------------------------------------------------------- ASSET-BACKED SECURITIES 5.0% ------------------------------------------------------------------- Advanta Mortgage Loan Trust 7.020% due 08/25/2029 (d) 14,446 14,502 Green Tree Financial Corp. 7.860% due 04/01/2031 600 579 Green Tree Recreational Equipment 6.430% due 04/17/2006 1,960 1,957 NPF XII, Inc. 7.050% due 06/01/2003 3,000 2,972 PP&L Transition Bond Co. LLC 6.410% due 12/26/2003 8,800 8,747 Public Service 1.500% due 04/01/2001 11,500 11,500 Student Loan Marketing Assn. 6.378% due 04/25/2004 (d) 989 988 ------------ Total Asset-Backed Securities 41,245 (Cost $41,284) ============ ------------------------------------------------------------------- SOVEREIGN ISSUES 2.8% ------------------------------------------------------------------- Central Bank Philippines 7.937% due 06/01/2008 1,360 1,217 Province of Quebec 8.800% due 04/15/2003 1,000 1,047 Republic of Argentina 11.595% due 04/10/2005 (d) 400 372 Republic of Brazil 7.375% due 04/15/2006 (d) 9,263 8,740 Republic of Bulgaria 7.062% due 07/28/2024 (d) 2,250 1,721 Republic of Korea 8.750% due 04/15/2003 900 920 92 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Republic of Venezuela 7.875% due 12/18/2007 (d) $ 1,786 $ 1,535 United Mexican States 11.500% due 05/15/2026 6,000 7,260 ---------- Total Sovereign Issues 22,812 (Cost $22,654) ========== ------------------------------------------------------------------- FOREIGN CURRENCY-DENOMINATED ISSUES (c)(e) 7.5% ------------------------------------------------------------------- British Telecom PLC 4.726% due 07/27/2001 EC 10,000 8,833 Export-Import Bank Korea 7.250% due 06/25/2001 DM 1,570 1,564 France Telecom 4.587% due 10/11/2001 EC 10,000 8,829 Halifax Group Euro Finance 7.627% due 12/29/2049 9,700 8,575 Koninklijke PTT NV 5.013% due 06/13/2001 8,000 7,068 Korea Development Bank 7.625% due 10/01/2002 $ 2,000 2,004 Nationwide Building Society 4.629% due 03/27/2003 EC 10,000 8,828 Province of Saskatchewan 11.000% due 01/09/2001 C$ 2,000 1,344 Republic of Austria 5.500% due 01/15/2010 (j) EC 1,600 1,410 Republic of Brazil 7.000% due 01/01/2001 2,116 2,116 Republic of Germany 6.250% due 01/04/2024 (j) 570 544 6.500% due 07/04/2027 2,300 2,268 6.250% due 01/04/2030 (j) 980 951 Royal Bank of Scotland PLC 0.000% due 12/01/2003 BP 6,000 7,210 ---------- Total Foreign Currency-Denominated Issues 61,544 (Cost $62,475) ========== ------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 0.4% ------------------------------------------------------------------- Industrial 0.4% Hercules Trust VI 9.225% due 12/29/2000 (d) $ 3,000 2,999 ---------- Utilities 0.0% Alliant Energy Resources, Inc. 7.250% due 02/15/2030 300 19 ---------- Total Convertible Bonds & Notes 3,018 (Cost $3,020) ========== ------------------------------------------------------------------- PREFERRED STOCK 0.4% ------------------------------------------------------------------- Shares TCI Communications, Inc. 9.720% due 12/31/2036 132,000 3,432 ---------- Total Preferred Stock 3,432 (Cost $3,676) ========== ------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 1.0% ------------------------------------------------------------------- Principal Amount (000s) Repurchase Agreement 1.0% State Street Bank 5.850% due 10/02/2000 $ 8,511 8,511 (Dated 9/29/2000. ---------- Collateralized by Federal National Mortgage Association 6.100% due 08/10/2001 valued at $8,686. Repurchase proceeds are $8,515.) U.S. Treasury Bills (b)(h) 0.0% 5.933% due 02/01/2001 215 211 ---------- Total Short-Term Instruments 8,722 (Cost $8,722) ========== Value (000s) -------------------------------------------------------------------- Total Investments (a) 162.3% $ 1,330,576 (Cost $1,336,225) Written Options (g) (0.1%) (987) (Premiums $1,093) Other Assets and Liabilities (Net) (62.2%) (509,662) ------------- Net Assets 100.0% 819,927 ============= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 7,042 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (12,691) ------------- Unrealized depreciation-net $ (5,649) ============= (b) Securities with an aggregate market value of $4,518 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: Unrealized # of Appreciation/ Type Contracts (Depreciation) EuroBond 10 Year Note (12/2000) 584 $ 189 U.S. Treasury 5 Year Note (12/2000) 510 (399) U.S. Treasury 10 Year Note (12/2000) 623 274 U.S. Treasury 30 Year Bond (12/2000) 89 (88) United Kingdom 10 Year Note (12/2000) 270 (240) Municipal Bond (12/2000) 10 (2) EuroBond 10 Year Note Written Put Options (11/2000) 506 100 ------------ $ (166) ============ (c) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) Sell C$ 2,260 10/2000 $ 25 Buy EC 10,413 11/2000 81 Sell 34,338 11/2000 (655) Buy 14,828 10/2000 (35) Sell 5,593 10/2000 149 Sell BP 4,716 10/2000 (338) ------------ $ (773) ============ (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Principal amount denoted in indicated currency: BP - British Pound C$ - Canadian Dollar EC - Euro (f) Principal amount of security is adjusted for inflation. 2000 Semi-Annual Report See accompanying notes 93 Schedule of Investments (Cont.) Total Return Fund III September 30, 2000 (Unaudited) ================================================================= (g) Premiums received on written options: # of Type Contracts Premium Value ----------------------------------------------------------------- Call - CBOT U.S. Treasury Note December Futures Strike @ 103.00 Exp. 11/18/2000 228 $ 29 $ 25 Call - CBOT U.S. Treasury Note December Futures Strike @ 102.00 Exp. 11/18/2000 262 210 190 Put - CME Eurodollar December Futures Strike @ 93.00 Exp. 12/18/2000 16 12 0 Put - CME Eurodollar March Futures Strike @ 92.75 Exp. 03/19/20001 180 68 7 Call - CME Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 484 120 351 Put - CME Eurodollar March Futures Strike @ 92.25 Exp. 03/19/2001 288 173 4 Put - CME Eurodollar December Futures Strike @ 92.25 Exp. 12/18/2000 62 24 0 Put - CBOT U.S. Treasury Note December Futures Strike @ 98.00 Exp. 11/18/2000 99 119 112 Put - CBOT U.S. Treasury Note December Futures Strike @ 97.00 Exp. 11/18/2000 65 16 6 Call - TSE Government of Japan December Futures Strike @ 134.00 Exp. 11/30/2000 11 21 24 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.500% Exp. 02/23/2001 296,000,000 110 87 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.500% Exp. 02/22/2001 311,000,000 187 167 Put - OTC Japanese Interest Rate Swap December Futures Strike @ 2.305% Exp. 11/30/2000 200,000,000 2 7 Put - OTC Japanese Interest Rate Swap December Futures Strike @ 2.315% Exp. 11/30/2000 200,000,000 2 7 ----------------------- $ 1,093 $ 987 ======================= (h) Securities are grouped by coupon or range of coupons and represent a range of maturities. (i) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount (Depreciation) ----------------------------------------------------------------- Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.302%. Broker: Goldman Sachs Exp. 07/13/2010 C$ 30,000 $ (437) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.295%. Broker: Goldman Sachs JY 580,000 (197) Exp. 04/14/2008 Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.305%. Broker: Goldman Sachs 377,000 (130) Exp. 04/15/2008 Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.669%. Broker: Goldman Sachs 1,250,000 (3) Exp. 05/18/2007 Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to 6.175%. Broker: Goldman Sachs EC 1,990 (20) Exp. 05/22/2030 Receive floating rate based on 6-month EURO-LIBOR plus 0.499% and pay a fixed rate equal to 6.000%. Broker: J.P. Morgan 2,650 42 Exp. 01/01/2009 Receive floating rate based on 6-month EURO-LIBOR minus 0.54% and pay a fixed rate equal to 6.250%. Broker: J.P. Morgan 570 7 Exp. 01/04/2024 Receive floating rate based on 3-month EURO-LIBOR and pay a fixed rate equal to 6.010% Broker: Morgan Stanley 1,700 (11) Exp. 01/04/2030 Receive floating rate based on 3-month LIBOR and pay to the counterparty $5,059 due 11/15/2021. Broker: Lehman Brothers $ 1,150 (19) Exp. 11/15/2021 Receive floating rate based on 3-month LIBOR and pay to the counterparty $4,542 due 11/15/2021. Broker: Goldman Sachs 1,040 (14) Exp. 11/15/2021 Receive floating rate based on 3-month LIBOR and pay to the counterparty $11,560 due 11/15/2021. Broker: Lehman Brothers 2,630 (43) Exp. 11/15/2021 94 PIMCO Funds See accompanying notes -------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR and pay to the counterparty $30,456 due 11/15/2021. Broker: Bank of America $ 7,020 $ 70 Exp. 11/15/2021 Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 6.150%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/22/2001 300 (16) Receive fixed rate equal to 0.510% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 01/25/2005 5,000 0 Receive fixed rate equal to 1.625% and the Fund will pay to the counterparty at par in the event of default of Northeast Utilities Corp. 8.380% due 03/01/2005. Broker: Merrill Lynch Exp. 03/21/2001 15,000 2 Receive a fixed rate equal to 0.250% and the Fund will pay to the counterparty at par in the event of default of CIT Group, Inc. 7.125% due 10/15/2004. Broker: Lehman Brothers Exp. 04/11/2003 250,000 1 ------------ $ (768) ============ (j) Subject to financing transaction. 2000 Semi-Annual Report See accompanying notes 95 Schedule of Investments Moderate Duration Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------- CORPORATE BONDS & NOTES 32.9% ------------------------------------------------------------------- Banking & Finance 12.9% Bear Stearns Co., Inc. 7.125% due 03/28/2003 (d) $ 2,900 $ 2,900 Beaver Valley Funding Corp. 8.250% due 06/01/2003 188 186 CIT Group, Inc. 6.200% due 10/20/2000 1,800 1,800 6.375% due 08/01/2002 850 842 First Union Corp. 7.550% due 08/18/2005 7,000 7,090 Ford Motor Credit Corp. 6.406% due 01/17/2002 (d) 5,000 4,983 5.750% due 02/23/2004 5,596 5,342 General Motors Acceptance Corp. 5.450% due 09/15/2003 1,000 961 Gold Eagle Capital Ltd. 11.440% due 04/16/2001 3,500 3,500 Household Finance Corp. 6.125% due 02/27/2003 3,000 2,927 Lehman Brothers Holdings, Inc. 6.375% due 05/07/2002 600 594 6.690% due 04/04/2003 (d) 5,000 5,002 7.000% due 05/15/2003 2,000 1,995 Nationsbank Corp. 6.681% due 04/15/2003 (d) 5,000 5,001 PSE&G Capital Corp. 6.740% due 10/23/2001 1,100 1,098 Royal Bank of Scotland PLC 8.817% due 03/31/2049 3,600 3,759 Salomon, Smith Barney Holdings 7.020% due 07/23/2002 (d) 2,000 1,997 7.061% due 06/23/2003 (d) 1,000 1,001 Sears Roebuck Acceptance 6.720% due 10/23/2002 3,000 2,972 Wells Fargo & Co. 6.891% due 05/02/2005 (d) 3,200 3,199 ----------- 57,149 =========== Industrials 4.1% Amerco, Inc. 6.890% due 10/15/2000 2,400 2,376 7.230% due 01/21/2027 500 459 Cargill, Inc. 6.871% due 01/14/2002 (d) 5,000 5,004 Hydro-Quebec 6.500% due 09/29/2049 (d) 5,000 4,438 Occidental Petroleum 6.400% due 04/01/2003 2,600 2,536 Philip Morris Cos., Inc. 7.250% due 09/15/2001 850 846 TCI Communications, Inc. 7.401% due 04/03/2002 (d) 250 253 7.550% due 09/02/2003 500 504 Waste Management, Inc. 6.375% due 12/01/2003 2,000 1,893 ----------- 18,309 =========== Utilities 15.9% Central Power & Light Co. 7.420% due 11/23/2001 (d) 10,000 10,001 Cincinnati Gas & Electric Co. 6.350% due 06/15/2003 1,200 1,169 CMS Energy Corp. 8.125% due 05/15/2002 750 745 Deutsche Telekom AG 7.750% due 06/15/2005 15,000 15,369 DTE Capital Corp. 7.110% due 11/15/2038 (d) 7,710 7,544 GTE Corp. 6.540% due 12/01/2005 6,850 6,694 Potomac Edison Co. 8.000% due 06/01/2006 1,000 1,010 Reliant Energy Resources Corp. 8.125% due 07/15/2005 10,000 10,168 System Energy Resources 7.710% due 08/01/2001 2,900 2,909 Texas Utilities Co. 7.315% due 06/25/2001 10,000 9,992 7.697% due 09/24/2001 (d) 5,000 5,027 ----------- 70,628 ----------- Total Corporate Bonds & Notes 146,086 (Cost $145,747) =========== ------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 4.2% ------------------------------------------------------------------- Federal Home Loan Bank 6.225% due 04/13/2009 400 378 Federal Home Loan Mortgage Corp. 7.737% due 05/15/2003 600 613 Federal National Mortgage Assn. 5.750% due 06/15/2005 250 242 7.020% due 09/27/2007 400 394 6.625% due 09/15/2009 2,000 1,985 Small Business Administration 7.640% due 08/01/2010 15,000 15,276 ----------- Total U.S. Government Agencies 18,888 (Cost $18,544) =========== ------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 3.9% ------------------------------------------------------------------- Treasury Inflation Protected Securities (h) 3.625% due 07/15/2002 (b) (j) 9,268 9,265 3.375% due 01/15/2007 (j) 5,011 4,847 3.625% due 01/15/2008 (j) 2,030 1,983 3.875% due 01/15/2009 842 835 U.S. Treasury Strips 0.000% due 11/15/2021 1,200 336 ----------- Total U.S. Treasury Obligations 17,266 (Cost $17,327) =========== ------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 59.7% ------------------------------------------------------------------- Collateralized Mortgage Obligations 32.0% Chase Manhattan Corp. 7.000% due 04/25/2025 445 444 Chase Mortgage Finance Corp. 6.319% due 04/25/2025 (d) 3,116 3,147 Criimi Mae Financial Corp. 7.000% due 01/01/2033 10,928 10,784 Federal Home Loan Mortgage Corp. 7.000% due 10/15/2001 224 224 5.500% due 06/15/2003 239 234 7.000% due 05/15/2004 1,000 1,000 7.000% due 06/15/2005 88 88 7.000% due 11/15/2005 400 401 7.000% due 06/15/2006 300 300 7.250% due 03/15/2007 4 4 6.500% due 10/15/2007 63 61 6.000% due 12/15/2008 5,084 4,988 6.500% due 08/15/2023 3,748 3,714 6.500% due 10/15/2023 1,245 1,143 8.500% due 04/15/2025 2,373 2,493 8.000% due 02/15/2027 463 464 Federal National Mortgage Assn. 6.250% due 04/25/2007 1,000 992 6.000% due 03/25/2009 1,476 1,334 6.500% due 01/18/2019 1,785 1,775 6.500% due 08/25/2021 28,509 27,904 7.000% due 09/25/2021 3,203 3,152 General Electric Capital Mortgage Services, Inc. 6.000% due 02/25/2024 236 235 7.000% due 10/25/2027 14,327 13,571 General Motors Acceptance Corp. 6.973% due 07/20/2002 13,307 13,307 Government National Mortgage Assn. 7.500% due 04/20/2027 2,582 2,494 Impac Secured Assets CMN Owner Trust 8.000% due 07/25/2030 19,308 19,387 96 PIMCO Funds See accompanying notes Principal Amount Value (000's) (000's) ------------------------------------------------------------------- Norwest Asset Securities Corp. 7.000% due 01/25/2028 $ 0 $ 0 PNC Mortgage Securities Corp. 6.500% due 12/25/2028 5,000 4,553 7.000% due 06/25/2030 11,303 10,763 Residential Funding Mortgage Securities, Inc. 6.981% due 06/25/2008 1,900 1,892 7.000% due 05/25/2012 1,791 1,765 Saco Trust 6.745% due 07/25/2030 (d) 9,961 9,717 ----------- 142,330 =========== Federal Home Loan Mortgage Corporation 0.0% 7.750% due 08/01/2001 2 2 ----------- Federal Housing Administration 2.2% 7.430% due 04/01/2022-06/01/2023 (g) 9,984 9,957 ----------- Federal National Mortgage Association 1.6% 6.000% due 05/01/2005-02/01/2014 (g) 846 817 6.210% due 08/01/2018 (d) 269 266 6.440% due 09/01/2017 (d) 440 434 6.644% due 01/01/2027 (d) 559 549 7.000% due 05/01/2012 461 459 7.500% due 08/01/2017-01/01/2027 (g) 2,011 2,024 8.000% due 09/01/2026-10/01/2026 (g) 2,462 2,509 ----------- 7,058 =========== Government National Mortgage Association 23.9% 6.000% due 12/15/2028 6,500 6,098 6.500% due 12/15/2099 12,970 12,492 7.000% due 03/15/2029 655 645 7.125% due 11/20/2017-11/20/2025 (d)(g) 566 572 7.375% due 03/20/2020-03/20/2028 (d)(g) 7,680 7,759 7.500% due 12/15/2028-12/20/2099 (d)(g) 60,523 60,669 8.000% due 04/15/2017-12/15/2099 (d)(g) 16,612 17,031 9.000% due 06/15/2009 1,021 1,065 ----------- 106,331 ----------- Total Mortgage-Backed Securities 265,678 (Cost $266,206) =========== ------------------------------------------------------------------- ASSET-BACKED SECURITIES 13.5% ------------------------------------------------------------------- Aes Funding Term Loan 8.380% due 05/19/2001 1,000 1,000 AFC Home Equity Loan Trust 6.920% due 06/25/2030 (d) 4,841 4,850 Brazos Student Loan Finance Co. 7.210% due 06/01/2023 d) 10,000 9,901 Chase Credit Card Master Trust 6.777% due 05/15/2007 3,257 3,267 Freemont Home Loan Owner Trust 7.016% due 12/25/2029 (d) 10,621 10,603 Green Tree Home Equity Loan Trust 5.590% due 02/15/2013 192 192 Green Tree Home Improvement Loan Trust 5.940% due 06/15/2029 20 20 Green Tree Recreational Equipment 6.430% due 04/17/2006 1,960 1,957 IMC Home Equity Loan Trust 6.800% due 03/25/2027 (d) 74 74 Option One Mortgage Loan Trust 6.915% due 06/25/2030 (d) 9,692 9,707 Provident Bank Home Equity Loan Trust 6.890% due 08/25/2031 (d) 16,693 16,671 The Money Store Home Equity Trust 6.040% due 08/15/2017 732 729 The Money Store Residential Trust 6.215% due 02/15/2011 881 878 ----------- Total Asset-Backed Securities 59,849 (Cost $59,924) =========== ------------------------------------------------------------------- SOVEREIGN ISSUES 3.5% ------------------------------------------------------------------- Hydro-Quebec 7.620% due 04/02/2001 1,000 1,003 Republic of Argentina 11.595% due 04/10/2005 (d) 500 465 Republic of Brazil 7.375% due 04/15/2006 (d) $ 11,420 $ 10,753 Republic of Bulgaria 7.750% due 07/28/2024 (d) 2,000 1,530 Republic of Venezuela 7.875% due 12/18/2007 (d) 1,964 1,688 ---------- Total Sovereign Issues 15,439 (Cost $15,227) ========== ------------------------------------------------------------------- FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 2.0% ------------------------------------------------------------------- Banque Centrale De Tunisie 7.500% due 08/06/2009 EC 6,000 5,430 Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 800 341 Republic of Austria 5.500% due 01/15/2010 EC 1,000 881 Republic of Germany 6.250% due 01/04/2024 (j) 370 353 6.500% due 07/04/2027 810 799 6.250% due 01/04/2030 (j) 1,160 1,127 ----------- Total Foreign Currency-Denominated Issues 8,931 (Cost $9,781) =========== ------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 0.0% ------------------------------------------------------------------- Utilities 0.0% Alliant Energy Resources, Inc. 7.250% due 02/15/2030 400 25 ----------- Total Convertible Bonds & Notes 25 (Cost $27) =========== ------------------------------------------------------------------- PREFERRED SECURITY 0.9% ------------------------------------------------------------------- Shares DG Funding Trust 9.030% due 12/29/2049 (d) 410 4,110 ----------- Total Preferred Security 4,110 (Cost $4,100) =========== ------------------------------------------------------------------- PREFERRED STOCK 0.2% ------------------------------------------------------------------- TCI Communications, Inc. 10.000% due 05/31/2045 33,354 844 ----------- Total Preferred Stock 844 (Cost $852) =========== ------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 1.7% ------------------------------------------------------------------- Principal Amount (000's) Commercial Paper 1.2% Edison Mission Midwest Holdings 6.710% due 11/15/2000 $ 700 694 General Electric Capital Corp. 6.470% due 12/13/2000 500 494 6.470% due 12/20/2000 400 394 Infinity Broadcasting Corp. 6.700% due 11/16/2000 800 793 Ingersoll-Rand Co. 6.840% due 10/02/2000 2,900 2,900 ----------- 5,275 =========== Repurchase Agreement 0.5% State Street Bank 5.850% due 10/02/2000 2,156 2,156 ----------- (Dated 9/29/2000. Collateralized by Federal Home Loan Bank 7.025% due 03/06/2002 valued at $2,201. Repurchase proceeds are $2,157.) U.S. Treasury Bills (b)(g) 0.0% 6.030% due 02/01/2001 140 137 ----------- Total Short-Term Instruments 7,568 (Cost $7,568) =========== 2000 Semi-Annual Report See accompanying notes 97 Schedule of Investments (Cont.) Moderate Duration Fund September 30, 2000 (Unaudited) Value (000s) -------------------------------------------------------------------- Total Investments (a) 122.5% $ 544,684 (Cost $545,303) Written Options (c) (0.0%) (115) (Premiums $257) Other Assets and Liabilities (Net) (22.5%) (100,076) ------------- Net Assets 100.0% $ 444,493 ============= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 3,040 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (3,660) -------------- Unrealized depreciation-net $ (620) ============== (b) Securities with an aggregate market value of $1,752 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: # of Unrealized Type Contracts Appreciation ------------------------------------------------------------------------- U.S. Treasury 10 Year Note (12/2000) 502 $ 130 EuroBond 10 Year Note Written Put Options (11/2000) 187 57 ----------- $ 187 =========== (c) Premiums received on written options: # of Type Contracts Premium Value ------------------------------------------------------------------------ Put - CME Eurodollar December Futures Strike @ 93.00 Exp. 12/18/2000 116 $ 87 $ 3 Put - CME Eurodollar March Futures Strike @ 92.75 Exp. 03/19/2001 79 32 3 Call - CME Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 109 34 79 Put - CME Eurodollar March Futures Strike @ 92.25 Exp. 03/19/2001 30 18 0 Put - CME Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 35 35 7 Put - CME Eurodollar March Futures Strike @ 93.50 Exp. 03/19/2001 35 45 16 Call - TSE Government of Japan December Futures Strike @ 134.00 Exp. 11/30/2000 3 6 7 ------------------ $ 257 $ 115 ================== (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------- Sell EC 5,405 10/2000 $ 144 Buy 12,600 11/2000 235 Sell 14,390 11/2000 (19) Sell N$ 827 10/2000 5 ----------- $ 365 =========== (f) Principal amount denoted in indicated currency: EC - Euro N$ - New Zealand Dollar (g) Securities are grouped by coupon or range of coupons and represent a range of maturities. (h) Principal amount of the security is adjusted for inflation. (i) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount (Depreciation) --------------------------------------------------------------------- Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.669%. Broker: Goldman Sachs Exp. 05/18/2007 JY 5,000 $ 0 Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to 6.175%. Broker: Goldman Sachs Exp. 05/22/2030 EC 1,300 (13) Receive floating rate based on 6-month EURO-LIBOR minus 0.54% and pay a fixed rate equal to 6.250%. Broker: J.P. Morgan Exp. 01/04/2024 370 5 Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 5.700%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/28/2001 $ 100 (5) Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 6.150%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/22/2001 200 (11) Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 5.950%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/17/2001 200 (10) Receive fixed rate equal to 0.510% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 01/25/2005 5,000 0 ------------ $ (34) ============ (j) Subject to financing transaction. 98 PIMCO Funds See accompanying notes Schedule of Investments Low Duration Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------- CORPORATE BONDS & NOTES 59.3% ------------------------------------------------------------------- Banking & Finance 34.9% American General Finance 6.880% due 12/14/2001 $ 25,000 $ 25,021 Aristar, Inc. 7.380% due 09/01/2004 19,000 18,984 Associates Corp. of North America 6.700% due 05/29/2001 400 400 6.780% due 08/27/2001 (d) 1,000 1,003 6.880% due 06/20/2002 20,000 19,896 6.950% due 08/01/2002 1,000 1,003 AT&T Capital Corp. 7.500% due 11/15/2000 6,200 6,205 7.010% due 04/23/2002 (d) 10,000 10,028 Banc One Corp. 7.250% due 08/01/2002 500 503 Banco Latinoamericano SA 6.750% due 03/01/2001 1,300 1,298 Banco Nacional de Comercio Exterior 7.250% due 02/02/2004 1,800 1,742 Bank of America Corp. 7.200% due 09/15/2002 100 101 7.880% due 12/01/2002 100 102 6.630% due 06/15/2004 1,000 991 Bear Stearns Co., Inc. 6.170% due 06/28/2001 (d) 2,000 2,010 7.010% due 12/16/2002 (d) 21,000 21,024 6.130% due 02/01/2003 3,000 2,941 7.130% due 03/28/2003 (d) 8,600 8,600 6.200% due 03/30/2003 9,700 9,513 7.100% due 06/01/2004 (d) 3,000 3,021 Beaver Valley Funding Corp. 8.250% due 06/01/2003 3,311 3,280 Beneficial Corp. 6.770% due 01/09/2002 (d) 10,000 10,048 6.650% due 09/12/2002 5,000 4,965 6.580% due 12/16/2002 5,440 5,385 Bombardier Capital, Inc. 6.000% due 01/15/2002 10,000 9,840 7.500% due 08/15/2004 1,000 1,007 Capital One Bank 6.280% due 02/20/2001 6,500 6,474 7.000% due 04/30/2001 300 300 7.610% due 06/23/2003 (d) 100 100 Case Credit Corp. 5.910% due 02/19/2001 4,000 3,982 5.850% due 02/20/2001 (d) 63,000 62,693 5.930% due 02/26/2001 5,000 4,976 6.900% due 08/01/2001 (d) 4,750 4,757 Caterpillar Financial Services Corp. 6.930% due 11/04/2002 (d) 25,000 25,017 6.910% due 12/27/2002 (d) 25,000 24,990 6.880% due 08/01/2004 2,000 1,980 Chase Manhattan Corp. 6.530% due 10/13/2000 (d) 7,500 7,500 5.500% due 02/15/2001 1,000 995 Chrysler Financial Co. LLC 5.850% due 01/26/2001 5,000 4,987 6.760% due 08/08/2002 (d) 8,000 8,011 CIT Group, Inc. 6.200% due 10/20/2000 17,300 17,296 6.810% due 09/13/2002 (d) 19,400 19,400 Credit Asset Receivable 6.270% due 10/31/2003 34,267 33,813 Export-Import Bank Korea 6.500% due 02/10/2002 7,500 7,399 6.500% due 11/15/2006 6,700 6,525 7.100% due 03/15/2007 6,700 6,657 Finova Capital Corp. 6.270% due 09/29/2000 2,700 2,700 6.910% due 06/18/2003 (d) 6,000 5,250 First Union Corp. 7.550% due 08/18/2005 42,800 43,353 Ford Motor Credit Corp. 6.810% due 03/19/2002 (d) 18,857 18,938 6.990% due 07/16/2002 (d) 100 100 6.520% due 08/12/2002 13,000 12,905 6.000% due 01/14/2003 15,000 14,677 6.850% due 03/17/2003 (d) 3,000 2,996 6.130% due 04/28/2003 14,000 13,698 6.960% due 04/26/2004 (d) 19,000 18,974 General Motors Acceptance Corp. 7.130% due 05/01/2001 15,000 15,022 6.680% due 09/19/2001 (d) 5,000 5,009 6.760% due 12/10/2001 (d) 7,400 7,401 6.840% due 04/29/2002 (d) 2,000 2,006 6.880% due 11/12/2002 (d) 63,520 63,596 6.780% due 11/12/2002 (d) 17,400 17,397 5.880% due 01/22/2003 500 489 7.400% due 07/20/2003 (d) 14,366 14,353 7.020% due 04/05/2004 (d) 700 699 6.850% due 06/17/2004 1,000 991 Gold Eagle Capital Ltd. 9.000% due 04/15/2001 20,000 19,976 Goldman Sachs Group 6.200% due 12/15/2000 1,000 998 7.630% due 08/17/2005 20,800 21,237 Great Western Financial 8.600% due 02/01/2002 4,000 4,068 Heller Financial, Inc. 6.970% due 04/28/2003 (d) 20,000 19,914 Hitachi Credit America 6.100% due 04/24/2001 25,000 24,891 Household Finance Corp. 6.490% due 04/09/2001 20,000 19,972 7.630% due 01/15/2003 10,849 10,987 6.130% due 02/27/2003 1,500 1,463 6.920% due 06/24/2003 (d) 1,500 1,501 6.130% due 07/15/2012 10,000 9,859 Industrial Bank of Korea 8.380% due 09/30/2002 5,000 5,030 Key Bank NA 6.050% due 04/24/2003 12,900 12,571 Korea Development Bank 7.130% due 09/17/2001 28,963 28,923 7.900% due 02/01/2002 6,100 6,115 7.630% due 10/01/2002 19,500 19,516 6.500% due 11/15/2002 5,898 5,775 8.290% due 06/16/2003 (d) 3,500 3,430 6.630% due 11/21/2003 20,300 19,766 7.130% due 04/22/2004 11,800 11,581 7.380% due 09/17/2004 1,200 1,183 Lehman Brothers Holdings, Inc. 6.630% due 11/15/2000 825 825 7.680% due 04/02/2002 (d) 2,000 2,018 6.380% due 05/07/2002 28,345 28,133 7.410% due 05/07/2002 (d) 5,000 5,031 6.610% due 07/08/2002 (d) 1,500 1,501 7.210% due 12/12/2002 (d) 1,500 1,507 7.170% due 04/04/2003 (d) 7,900 7,902 7.000% due 05/15/2003 3,600 3,590 Marsh & McLennan Co., Inc. 6.630% due 06/15/2004 1,000 984 MBNA America Bank NA 6.000% due 12/26/2000 5,000 4,992 6.880% due 07/15/2004 1,900 1,862 Merrill Lynch & Co. 6.230% due 09/30/2000 (d) 8,558 8,558 6.000% due 01/15/2001 (d) 1,336 1,332 7.280% due 11/26/2001 (d) 115,000 115,671 6.830% due 01/15/2002 (d) 5,000 4,998 7.090% due 02/08/2002 (d) 25,000 25,090 6.920% due 02/04/2003 (d) 23,000 22,988 6.130% due 04/07/2003 7,770 7,640 2000 Semi-Annual Report See accompanying notes 99 Schedule of Investments (Cont.) Low Duration Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Metropolitan Life Insurance Co. 6.300% due 11/01/2003 $ 17,850 $ 17,450 Mexico Credit Link 11.380% due 02/22/2002 (d) 5,000 5,214 Morgan Stanley, Dean Witter, Discover and Co. 6.850% due 03/11/2003 (d) 5,000 4,993 Nacional Financiera 8.570% due 05/08/2003 (d) 2,000 2,011 Pemex Finance Ltd. 6.130% due 11/15/2003 13,000 12,770 PNC Bank Corp. 6.720% due 01/24/2002 (d) 20,000 20,013 Popular North American, Inc. 6.880% due 06/15/2001 5,000 5,003 7.380% due 09/15/2001 20,000 20,096 Popular, Inc. 6.200% due 04/30/2001 1,000 997 Prudential Funding Corp. 6.420% due 10/02/2000 (d) 5,000 5,001 Rothmans Holdings 6.500% due 05/06/2003 14,000 13,588 Salomon, Inc. 7.500% due 02/01/2003 3,000 3,038 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 1,088 1,075 6.860% due 05/14/2002 (d) 25,150 25,149 7.020% due 07/23/2002 (d) 5,100 5,092 Security Pacific Corp. 11.500% due 11/15/2000 3,850 3,868 Seismic Ltd. 11.270% due 01/01/2002 (d) 10,000 10,000 Shopping Center Associates 6.750% due 01/15/2004 11,725 11,469 Spieker Properties 6.650% due 12/15/2000 5,070 5,062 6.800% due 05/01/2004 2,000 1,955 Toyota Motor Credit Corp. 7.320% due 02/15/2002 (d) 11,600 11,403 Transamerica Finance Corp. 6.130% due 11/01/2001 5,000 4,958 5.920% due 03/29/2002 52,050 51,351 Travelers Group, Inc. 7.250% due 05/01/2001 3,700 3,704 7.300% due 05/15/2002 15,000 15,082 Wachovia Corp. 7.260% due 05/02/2005 (d) 8,000 7,992 Wells Fargo & Co. 6.630% due 07/15/2004 1,000 991 7.220% due 05/02/2005 (d) 32,700 32,689 ----------- 1,472,709 =========== Industrials 14.5% Abitibi-Consolidated, Inc. 8.300% due 08/01/2005 20,000 20,473 Allied Waste Industries, Inc. 7.380% due 01/01/2004 5,000 4,675 AMR Corp. 9.910% due 03/01/2001 2,500 2,525 9.130% due 10/24/2001 4,250 4,321 Atlas Air, Inc. 8.010% due 01/02/2010 10,817 10,517 Boise Cascade Co. 9.850% due 06/15/2002 3,000 3,065 Burlington North Santa Fe 6.050% due 03/15/2031 2,000 1,985 Caterpillar, Inc. 9.750% due 06/01/2019 13,766 14,415 Cemex SA 8.630% due 07/18/2003 10,000 10,125 Century Communications Corp. 0.000% due 03/15/2003 5,250 4,016 Coastal Corp. 7.290% due 03/01/2002 (d) 32,200 32,200 Columbia/HCA Healthcare 6.130% due 12/15/2000 200 199 8.130% due 08/04/2003 5,000 4,957 6.630% due 07/15/2045 7,000 6,823 Conoco, Inc. 5.900% due 04/15/2004 3,100 3,003 Cox Enterprises, Inc. 6.630% due 06/14/2002 3,000 2,969 7.610% due 05/01/2033 (d) 2,000 1,999 Crown Cork & Seal Co. 7.130% due 09/01/2002 33,000 31,313 Crown Cork & Seal Finance PLC 6.750% due 12/15/2003 7,000 6,373 DaimlerChrysler Holdings 6.900% due 09/01/2004 1,000 997 Delta Air Lines, Inc. 9.800% due 12/16/2000 250 251 8.500% due 09/15/2001 205 207 6.650% due 03/15/2004 2,925 2,775 Eastman Chemical Co. 6.380% due 01/15/2004 250 241 Electric Lightwave, Inc. 6.050% due 05/15/2004 3,000 2,922 EZ Communication, Inc. 9.750% due 12/01/2005 5,000 5,254 Federal-Mogul Corp. 7.500% due 07/01/2004 28,600 12,155 Ford Motor Co. 9.000% due 09/15/2001 500 507 Fred Meyer, Inc. 7.150% due 03/01/2003 13,500 13,411 Global Crossing Ltd. 6.000% due 10/15/2013 7,500 6,929 HMH Properties, Inc. 7.880% due 08/01/2005 5,000 4,738 IMEXSA Export Trust 10.130% due 05/31/2003 7,740 7,713 International Game Technology 7.880% due 05/15/2004 500 491 ISP Holdings, Inc. 9.750% due 02/15/2002 3,000 2,700 Kroger Co. 6.340% due 06/01/2001 5,000 4,982 Lockheed Martin Corp. 6.850% due 05/15/2001 7,300 7,274 Mallinckrodt, Inc. 6.300% due 03/15/2011 (d) 650 647 Nabisco, Inc. 6.000% due 02/15/2001 (d) 21,000 20,842 6.700% due 06/15/2002 21,100 20,657 Occidental Petroleum 6.400% due 04/01/2003 15,945 15,553 Park Place Entertainment Corp. 7.950% due 08/01/2003 15,955 15,975 Petroleos Mexicanos 8.130% due 07/15/2005 (d) 15,873 15,912 9.380% due 12/02/2008 5,500 5,665 Philip Morris Cos., Inc. 9.000% due 01/01/2001 7,000 7,017 7.500% due 01/15/2002 200 199 7.250% due 01/15/2003 4,050 4,003 6.950% due 06/01/2006 25,000 24,883 Philips Petroleum Co. 8.500% due 05/25/2005 2,000 2,114 R & B Falcon Corp. 6.500% due 04/15/2003 11,000 10,546 Rollins Truck Leasing Co. 8.000% due 02/15/2003 3,000 3,020 Starwood Hotels & Resorts 6.750% due 11/15/2005 2,000 1,881 Stone Container Corp. 10.750% due 10/01/2002 11,080 11,288 Supervalu, Inc. 9.750% due 06/15/2004 10,500 11,068 100 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) ------------------------------------------------------------------- TCI Communications, Inc. 7.360% due 03/11/2003 (d) $ 3,000 $ 3,060 Tenet Healthcare Corp. 7.880% due 01/15/2003 5,300 5,287 8.630% due 12/01/2003 9,700 9,774 Time Warner, Inc. 7.980% due 08/15/2004 1,200 1,234 TTX Co. 7.820% due 07/21/2003 61,000 62,077 Tyco International Group SA 6.880% due 09/05/2002 18,805 18,766 6.250% due 06/15/2003 5,100 4,964 Union Oil Co. of California 9.100% due 08/15/2001 3,350 3,407 Waste Management, Inc. 6.500% due 05/14/2004 45,000 42,423 Whitman Corp. 6.000% due 05/01/2004 6,500 6,299 Williams Communications Group, Inc. 7.180% due 11/15/2001 (d) 6,200 6,204 Yorkshire Power 6.150% due 02/25/2003 40,000 38,494 ---------- 612,759 ========== Utilities 9.9% Arizona Public Service 5.880% due 02/15/2004 3,600 3,439 Arkansas Power & Light 6.000% due 10/01/2003 450 432 AT&T Corp. 5.630% due 03/15/2004 415 397 Calpine Corp. 9.250% due 02/01/2004 2,960 2,964 7.630% due 04/15/2006 2,900 2,828 Cinergy Corp. 6.130% due 04/15/2004 13,000 12,317 Cleveland Electric Illuminating Co. 8.550% due 11/15/2001 2,075 2,106 7.850% due 07/30/2002 3,500 3,536 9.500% due 05/15/2005 2,000 2,048 CMS Energy 8.130% due 05/15/2002 5,000 4,966 7.630% due 11/15/2004 15,400 14,750 8.000% due 07/01/2011 5,000 4,957 Connecticut Light & Power Co. 7.880% due 06/01/2001 500 502 8.590% due 06/05/2003 10,000 9,869 Deutsche Telekom AG 7.750% due 06/15/2005 5,000 5,123 DTE Capital Corp. 8.350% due 11/15/2038 (d) 1,000 978 Entergy Louisiana, Inc. 8.500% due 06/01/2003 4,000 4,112 Entergy Mississippi 7.750% due 02/15/2003 35,000 35,346 GTE Corp. 8.880% due 01/15/2006 45,170 46,640 6.130% due 04/15/2012 4,300 4,249 Hughes Electric 7.560% due 10/23/2000 (d) 28,500 28,509 Illinois Power Co. 6.250% due 07/15/2002 10,000 9,862 6.000% due 09/15/2003 12,500 12,177 Louisiana Power & Light Co. 7.740% due 07/01/2002 3,308 3,308 Niagara Mohawk Power 7.000% due 10/01/2000 20,717 20,717 7.130% due 07/01/2001 1,512 1,513 7.250% due 10/01/2002 16,634 16,563 North Atlantic Energy 9.050% due 06/01/2002 2,678 2,705 Occidental Petroleum 6.240% due 11/24/2000 5,000 4,987 Ohio Edison Co. 8.630% due 09/15/2003 5,000 5,211 Public Service Enterprise Group, Inc. 7.040% due 11/22/2000 (d) 10,000 9,999 Qwest Capital Funding, Inc. 6.130% due 07/15/2002 5,250 5,169 Qwest Corp. 7.630% due 06/09/2003 25,000 25,320 Reliant Energy, Inc. 6.380% due 11/01/2003 2,000 1,960 Southwestern Bell Communication Capital Corp. 6.130% due 03/12/2001 2,000 1,993 Sprint Corp. 9.500% due 04/01/2003 5,800 6,087 Texas Utilities Co. 5.940% due 10/15/2001 13,155 12,982 9.700% due 02/28/2003 4,695 4,991 6.750% due 03/01/2003 925 919 6.750% due 04/01/2003 3,875 3,849 6.880% due 08/01/2005 2,000 1,964 Toledo Edison Co. 8.180% due 07/30/2002 2,500 2,542 U.S. West Communications, Inc. 5.650% due 11/01/2004 9,250 8,705 United Illuminating Co. 6.000% due 12/15/2003 13,000 12,550 Western Massachusetts Electric 7.750% due 12/01/2002 4,847 4,849 Western Resources, Inc. 6.250% due 08/15/2003 5,450 4,898 WorldCom, Inc. 6.130% due 08/15/2001 45,000 44,726 ---------- 420,614 ---------- Total Corporate Bonds & Notes 2,506,082 (Cost $2,526,932) ========== ------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 0.8% ------------------------------------------------------------------- Federal Home Loan Bank 6.240% due 08/24/2001 210 209 6.250% due 11/15/2002 995 991 6.000% due 03/26/2004 10,000 9,774 Federal Home Loan Mortgage Corp. 5.750% due 06/15/2001 750 746 6.000% due 07/20/2001 970 966 6.250% due 10/15/2002 750 746 7.380% due 05/15/2003 5,000 5,105 Federal National Mortgage Association 5.630% due 03/15/2001 3,174 3,160 4.630% due 10/15/2001 535 525 6.500% due 09/05/2002 600 597 6.250% due 11/15/2002 606 603 7.130% due 01/15/2030 28 29 Small Business Administration 8.250% due 01/25/2013 (d) 255 259 8.250% due 02/25/2014 (d) 796 848 Student Loan Marketing Assn. 6.920% due 04/25/2006 (d) 7,893 7,863 ---------- Total U.S. Government Agencies 32,421 (Cost $32,139) ========== ------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 9.7% ------------------------------------------------------------------- Treasury Inflation Protected Securities (i) 3.630% due 07/15/2002 (b)(j) 155,181 155,132 3.380% due 01/15/2007 (j) 38,184 36,931 3.630% due 01/15/2008 (j) 123,389 120,575 3.880% due 01/15/2009 98,818 98,015 U.S. Treasury Bonds 5.500% due 08/15/2028 100 93 U.S. Treasury Strips 0.000% due 02/15/2019 200 66 ---------- Total U.S. Treasury Obligations 410,812 (Cost $410,218) ========== 2000 Semi-Annual Report See accompanying notes 101 Schedule of Investments (Cont.) Low Duration Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 41.8% ------------------------------------------------------------------- Collateralized Mortgage Obligations 15.4% Amortizing Residential Collateral Trust 6.880% due 09/25/2003 (d) $ 16,690 $ 16,690 Bayview Financial Revolving Mortgage 7.920% due 08/25/2029 (d) 6,900 6,785 Cendant Mortgage Corp. 6.500% due 01/18/2016 513 505 Chase Commercial Mortgage Securities Corp. 7.600% due 12/18/2005 156 159 Chase Mortgage Finance Corp. 10.000% due 11/25/2009 87 87 6.500% due 06/25/2013 6,229 6,161 6.320% due 04/25/2025 (d) 3,116 3,147 6.750% due 06/25/2028 11,250 10,810 6.350% due 07/25/2029 4,717 4,670 CMC Securities Corp. IV 7.250% due 10/25/2027 12,141 12,035 Collateralized Mortgage Obligation Trust 6.750% due 01/20/2003 (d) 4 4 Commercial Trust 6.670% due 12/15/2003 3,799 3,575 Countrywide Funding Corp. 6.250% due 01/25/2035 (d) 2,810 2,786 Countrywide Home Loans 6.250% due 07/25/2009 467 464 6.900% due 12/25/2027 18,168 17,481 Criimi Mae Financial Corp. 7.000% due 01/01/2033 8,469 8,358 CS First Boston Mortgage Securities Corp. 6.400% due 01/17/2035 132 131 Dime Savings 7.060% due 11/01/2018 (d) 1,340 1,210 DLJ Mortgage Acceptance Corp. 11.000% due 08/01/2019 697 758 8.670% due 05/25/2024 (d) 1,056 1,079 7.190% due 06/25/2026 (d) 9,473 9,369 6.850% due 12/17/2027 165 165 Enterprise Mortgage Acceptance Co. 6.110% due 01/15/2025 106 105 Federal Home Loan Mortgage Corp. 6.000% due 07/15/2006 1,585 1,574 6.500% due 08/15/2006 2,211 2,199 9.500% due 03/01/2010 23 24 6.500% due 08/15/2011 18,088 17,773 12.500% due 09/30/2013 544 580 9.500% due 08/01/2016 6 6 10.000% due 11/01/2016 18 19 9.500% due 06/01/2019 19 20 10.000% due 07/15/2019 232 244 9.000% due 11/15/2019 485 489 10.000% due 05/15/2020 166 174 9.500% due 07/01/2020 9 9 9.500% due 08/01/2020 28 29 7.500% due 12/15/2020 957 960 9.000% due 12/15/2020 2,821 2,906 9.500% due 01/15/2021 959 996 8.000% due 04/15/2021 1,146 1,168 9.000% due 05/15/2021 193 198 9.500% due 09/01/2021 33 34 7.500% due 01/20/2024 4,574 4,582 Federal National Mortgage Association 8.950% due 05/25/2003 21 22 9.400% due 07/25/2003 43 44 9.000% due 07/25/2003 176 177 6.880% due 06/25/2009 1,294 1,288 7.000% due 09/25/2016 10,368 10,314 8.750% due 05/25/2019 21 21 9.500% due 03/25/2020 3,671 4,000 9.500% due 05/25/2020 1,278 1,329 9.000% due 03/25/2021 3,151 3,243 9.000% due 04/25/2021 107 111 8.000% due 03/25/2022 29 29 5.000% due 01/25/2024 54 53 8.500% due 04/01/2025 2,854 2,934 6.890% due 02/01/2028 (d) 5,771 5,934 General Electric Capital Mortgage Services, Inc. 6.750% due 12/25/2012 2,629 2,610 6.500% due 02/25/2024 1 1 German American Capital Corp. 7.000% due 08/12/2010 6,800 6,685 Glendale Federal Savings & Loan 7.940% due 03/25/2030 (d) 949 941 Greenwich 9.480% due 11/25/2024 (d) 151 151 Impac Secured Assets CMN Owner Trust 8.000% due 07/25/2030 113,595 114,056 Independent National Mortgage Corp. 9.140% due 11/25/2024 (d) 48 48 J.P. Morgan Commercial Mortgage Finance Corp. 7.070% due 09/15/2029 185 185 6.370% due 01/15/2030 116 114 LB Commercial Conduit Mortgage Trust 6.330% due 11/18/2004 119 118 Mellon Residential Funding Corp. 6.400% due 06/25/2028 2,661 2,589 6.580% due 07/25/2029 (d) 17,411 17,193 Morgan Stanley Capital 7.230% due 01/16/2006 230 232 7.460% due 02/15/2020 8,100 8,234 6.860% due 08/15/2023 121 120 6.220% due 06/01/2030 209 205 Mortgage Capital Funding, Inc. 6.330% due 10/18/2007 21,345 20,895 Nomura Asset Securities Corp. 6.630% due 01/25/2009 463 460 Norwest Asset Securities Corp. 6.500% due 04/25/2028 1,415 1,374 6.500% due 01/25/2029 6,000 5,623 PNC Mortgage Securities Corp. 6.500% due 02/25/2028 5,847 5,808 6.750% due 05/25/2028 4,777 4,723 7.750% due 07/25/2030 60,352 60,239 Prudential Bache 6.710% due 09/01/2018 (d) 22 21 8.400% due 03/20/2021 3,319 3,400 Prudential Home Mortgage Securities 7.500% due 09/25/2007 824 829 7.000% due 01/25/2008 10,000 9,932 6.750% due 11/25/2008 4,941 4,790 7.000% due 06/25/2023 3,014 2,992 6.050% due 04/25/2024 113 112 6.000% due 05/25/2024 1 1 Resecuritization Mortgage Trust 6.870% due 04/26/2021 (d) 9,452 9,263 Residential Accredit Loans, Inc. 6.500% due 02/25/2029 24,140 23,197 7.000% due 07/25/2029 541 533 Residential Asset Securitization Trust 6.500% due 09/25/2014 441 427 Residential Funding Mortgage Securities, Inc. 6.500% due 06/25/2008 176 176 6.500% due 04/25/2009 22 22 5.880% due 07/01/2019 (d) 752 717 7.500% due 08/25/2023 497 498 7.100% due 07/25/2027 4,220 4,200 7.000% due 10/25/2027 10,000 9,451 7.250% due 10/25/2027 17,582 17,526 6.250% due 11/25/2028 6,000 5,432 Resolution Trust Corp. 8.630% due 10/25/2021 10,337 10,297 5.970% due 10/25/2021 435 412 6.940% due 10/25/2021 (d) 68 67 6.900% due 02/25/2027 3,338 3,077 9.000% due 09/25/2028 134 135 7.350% due 10/25/2028 (d) 87 86 102 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Ryland Mortgage Securities Corp. 7.040% due 11/25/2021 $ 664 $ 654 Salomon Brothers Mortgage Securities 11.500% due 09/01/2015 368 370 7.160% due 12/25/2017 (d) 1,525 1,532 9.060% due 03/25/2024 (d) 995 1,002 Shearson Lehman 9.600% due 03/25/2021 280 279 Structured Asset Mortgage Investments, Inc. 6.910% due 06/25/2028 (d) 6,413 6,241 9.040% due 06/25/2029 (d) 8,097 8,340 6.580% due 06/25/2029 (d) 29,963 28,724 6.750% due 05/02/2030 4,141 4,024 Structured Asset Securities Corp. 6.750% due 07/25/2029 15,441 15,228 7.750% due 07/25/2030 29,087 29,331 TMA Mortgage Funding Trust 7.000% due 01/25/2029 (d) 10,131 10,131 Torrens Trust 6.880% due 07/15/2031 (d) 6,706 6,706 Union Planters Mortgage Finance Corp. 6.450% due 01/25/2028 6,000 5,909 --------- 648,685 ========= Federal Home Loan Mortgage Corporation 1.3% 5.750% due 01/15/2008 4,521 4,471 6.000% due 09/01/2006-03/01/2011 (h) 9,602 9,318 6.500% due 02/01/2005-10/01/2028 (h) 1,160 1,150 6.750% due 06/15/2019 4,062 4,047 6.870% due 10/01/2027 (d) 1,086 1,067 7.000% due 01/01/2017 (d) 39 39 7.380% due 11/01/2022 (d) 1,609 1,643 7.390% due 10/01/2023 (d) 1,008 1,029 7.430% due 11/01/2023 (d) 578 590 7.500% due 09/01/2006-01/01/2024 (d)(h) 2,121 2,160 7.550% due 02/01/2020 (d) 2,164 2,189 7.840% due 03/01/2024 (d) 74 77 7.890% due 01/01/2024 (d) 809 833 7.910% due 06/01/2024 (d) 640 657 8.000% due 07/01/2006-12/01/2024 (h) 5,081 5,177 8.240% due 09/01/2023 (d) 257 263 8.250% due 10/01/2007-11/01/2007 (h) 25 25 8.420% due 12/01/2022 (d) 639 656 8.500% due 07/01/2001-11/01/2025 (h) 12,535 12,912 8.510% due 07/01/2018 (d) 252 258 8.750% due 02/01/2001-04/01/2002 (h) 20 20 9.000% due 05/01/2002-08/01/2022 (h) 3,026 3,136 9.250% due 07/01/2001 2 2 9.500% due 03/01/2001-02/01/2025 (h) 247 253 9.750% due 03/01/2001-11/01/2008 (h) 618 634 10.000% due 04/01/2001-10/01/2019 (h) 76 80 10.500% due 10/01/2000-02/01/2016 (h) 31 32 10.750% due 09/01/2009-08/01/2011 (h) 314 338 11.500% due 10/01/2015-01/01/2016 (h) 43 48 11.750% due 11/01/2010-08/01/2015 (h) 12 14 12.000% due 09/01/2013 2 2 14.000% due 09/01/2012-04/01/2016 (h) 11 11 14.500% due 12/01/2010 3 3 15.000% due 08/01/2011-12/01/2011 (h) 3 4 15.500% due 11/01/2011 0 0 16.000% due 04/01/2012 0 0 --------- 53,138 ========= Federal Housing Administration 1.0% 6.950% due 04/01/2014 2,084 1,915 7.400% due 02/01/2019 93 91 7.420% due 11/01/2019 525 515 7.430% due 10/01/2019-07/01/2024 (h) 41,082 40,942 --------- 43,463 ========= Federal National Mortgage Association 5.8% 6.000% due 05/01/2011-12/25/2020 (h) 189 185 6.320% due 08/01/2029 19,176 18,204 6.450% due 04/01/2018 (d) 6,233 6,102 6.500% due 06/01/2008 14 13 6.780% due 01/01/2021 (d) 400 396 7.000% due 04/01/2002-05/01/2012 (h) 305 304 7.140% due 11/01/2018 (d) 156 157 7.230% due 04/25/2022 (d) 187 189 7.260% due 07/01/2017 (d) 490 496 7.270% due 11/01/2017 (d) 302 303 7.800% due 01/01/2024 (d) 2,100 2,158 7.850% due 01/01/2024 (d) 28 29 7.910% due 04/01/2024 (d) 1,952 2,004 8.000% due 03/01/2004-10/16/2030 (h) 148,062 150,005 8.290% due 10/01/2024 (d) 3,580 3,700 8.500% due 03/01/2008-10/16/2030 (h) 51,528 52,785 8.700% due 07/01/2023 (d) 1,262 1,297 9.000% due 01/01/2025 4 4 9.500% due 07/01/2024-11/01/2025 (h) 3,696 3,828 10.000% due 02/01/2004-01/01/2025 (h) 1,142 1,194 10.500% due 06/01/2005-12/01/2024 (h) 163 172 11.000% due 11/01/2020 45 49 11.250% due 12/01/2010-10/01/2015 (h) 140 152 11.500% due 12/01/2008-02/01/2020 (h) 64 71 11.750% due 02/01/2016 36 39 12.000% due 01/01/2015-10/01/2015 (h) 6 6 12.750% due 03/01/2014 25 28 13.000% due 07/01/2015 8 9 13.250% due 09/01/2011 13 15 13.500% due 04/01/2014 3 4 15.500% due 10/01/2012-12/01/2012 (h) 56 64 15.750% due 12/01/2011 25 29 16.000% due 09/01/2012-12/01/2012 (h) 11 14 --------- 244,005 ========= Government National Mortgage Association 17.7% 6.380% due 05/20/2027 (d) 1,583 1,594 6.500% due 05/15/2023-10/21/2029 (h) 84,534 81,421 6.750% due 08/20/2022-07/20/2027 (d)(h) 75,246 75,919 7.000% due 03/15/2011-10/23/2030 (h) 56,341 55,788 7.130% due 10/20/2023-12/20/2027 (d)(h) 53,892 54,288 7.380% due 04/20/2016-06/20/2027 (d)(h) 40,882 41,200 7.500% due 02/15/2022-10/23/2030 (h) 90,147 90,416 8.000% due 07/15/2004-10/23/2030 (h) 277,487 282,249 8.500% due 04/15/2022-10/23/2030 (h) 62,938 64,684 9.000% due 03/15/2017 14 15 9.500% due 10/15/2016-06/15/2025 (h) 123 129 9.750% due 07/15/2013-10/15/2017 (h) 511 535 10.000% due 10/15/2013-11/15/2025 (h) 129 137 10.500% due 11/15/2019-02/15/2021 (h) 16 17 11.000% due 09/15/2010 8 9 11.500% due 08/15/2018 37 41 11.750% due 08/15/2013-08/15/2015 (h) 56 61 12.000% due 06/20/2015 8 9 12.250% due 01/15/2014 36 40 13.000% due 10/15/2013 6 6 13.500% due 05/15/2011-11/15/2012 (h) 22 27 16.000% due 12/15/2011-04/15/2012 (h) 27 31 --------- 748,616 ========= Other Mortgage-Backed Securities 0.3% First Boston Mortgage Securities Corp. 8.300% due 08/20/2009 3 3 Glendale Federal Savings & Loan 11.000% due 03/01/2010 16 16 Home Savings of America 6.100% due 05/25/2027 (d) 1,177 1,147 Imperial Savings & Loan 8.850% due 07/25/2017 (d) 31 30 9.900% due 02/25/2018 383 379 Resolution Trust Corp. 6.700% due 05/25/2019 (d) 3,312 3,302 6.860% due 08/25/2019 (d) 2,788 2,789 10.300% due 08/25/2021 (d) 402 400 6.050% due 10/25/2028 (d) 1,797 1,851 7.200% due 05/25/2029 (d) 2,127 2,125 Salomon Brothers Mortgage Securities 8.140% due 12/25/2017 (d) 133 133 Sears Mortgage 12.000% due 02/25/2014 57 59 7.430% due 10/25/2022 (d) 1,770 1,790 --------- 14,024 ========= 2000 Semi-Annual Report See accompanying notes 103 Schedule of Investments (Cont.) Low Duration Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Stripped Mortgage-Backed Securities 0.3% Federal Home Loan Mortgage Corp. (IO) 6.000% due 02/15/2006 $ 350 $ 5 9.980% due 07/15/2006 7 37 10.190% due 08/15/2006 3 20 11.940% due 12/15/2006 8 55 6.000% due 10/15/2007 398 14 6.000% due 02/15/2008 1,555 57 7.000% due 08/15/2018 5,516 374 7.000% due 04/15/2019 327 4 6.500% due 05/15/2019 4,111 227 6.500% due 06/15/2019 1,849 117 10.500% due 04/15/2021 13 149 6.500% due 04/15/2022 2,582 273 7.000% due 05/15/2023 324 42 4.000% due 01/15/2024 20,919 4,502 Federal National Mortgage Association (IO) 7.270% due 09/25/2006 32 176 6.000% due 02/25/2008 2,147 98 256.000% due 11/01/2008 22 107 6.500% due 03/25/2009 3,825 371 0.100% due 03/25/2009 (d) 16,057 273 6.500% due 03/25/2009 1,362 140 6.920% due 07/25/2017 2,313 2,299 7.500% due 03/25/2019 2,029 148 6.500% due 05/25/2019 8,730 624 6.500% due 04/25/2020 6,447 360 7.000% due 05/25/2021 3,909 281 8.600% due 02/25/2022 19 272 6.500% due 03/25/2023 3,322 372 4.880% due 03/25/2024 (d) 6,455 271 Federal National Mortgage Association (PO) 0.000% due 09/25/2022 26 22 Prudential Home Mortgage Securities (IO) 0.300% due 04/25/2009 (d) 49,173 312 --------- 12,002 --------- Total Mortgage-Backed Securities 1,763,933 (Cost $1,770,729) ========= ------------------------------------------------------------------- ASSET-BACKED SECURITIES 6.2% ------------------------------------------------------------------- Advanta Mortgage Loan Trust 7.760% due 05/25/2018 21,700 21,935 Allied Waste Industries, Inc. 9.440% due 07/30/2006 11,364 11,026 9.750% due 07/30/2007 (d) 1,818 1,764 9.690% due 07/30/2007 (d) 11,819 11,468 Amresco Residential Securities Mortgage Loan Trust 6.810% due 07/25/2027 (d) 71 71 AT&T Universal Card Master Trust 5.950% due 10/17/2002 4,000 4,001 Bombardier Capital Mortgage 6.610% due 09/15/2010 8,587 8,544 Capital Asset Research Funding LP 6.400% due 12/15/2004 65 66 CIT Marine Trust 5.800% due 04/15/2010 200 196 Citicorp Mortgage Securities, Inc. 6.750% due 05/25/2028 6,266 5,909 CMC Securities Corp. IV 7.250% due 11/25/2027 8,724 8,593 Community Program Loan Trust 4.500% due 10/01/2018 15,756 14,136 Compucredit Credit Card Trust 6.850% due 03/15/2007 (d) 32,000 32,000 Duck Auto Grantor Trust 5.650% due 03/15/2004 6,067 5,998 Empire Funding Home Loan Owner Trust 6.590% due 05/25/2014 5,438 5,413 Federal-Mogul Corp. 8.700% due 12/31/2005 (d) 14 12 GF Funding Corp. 6.890% due 01/20/2006 20,503 20,372 Green Tree Financial Corp. 6.550% due 02/15/2027 12,387 12,316 7.400% due 06/15/2027 11,748 11,834 Green Tree Home Improvement Loan Trust 6.320% due 08/15/2008 6,753 6,748 IMC Home Equity Loan Trust 6.840% due 10/20/2027 (d) 4,336 4,338 Irwin Home Equity 7.460% due 09/15/2030 18,321 18,343 Merit Securities Corp. 7.040% due 12/28/2033 22,674 22,578 MGM Grand Term Loan 7.870% due 05/06/2001 (d) 8,865 8,844 New York City Tax Lien 6.350% due 07/10/2007 7,395 7,311 Oakwood Mortgage Investors, Inc. 6.950% due 08/15/2027 4,735 4,713 Option One Mortgage Loan Trust 6.910% due 09/25/2030 (d) 5,978 5,978 Prudential Home Mortgage Securities 7.000% due 08/25/2009 4,000 3,994 Saxon Asset Securities Trust 7.210% due 01/25/2019 275 275 6.850% due 05/25/2029 (d) 1,744 1,746 Stone Container Corp. 10.190% due 10/01/2003 2,363 2,371 --------- Total Asset-Backed Securities 262,893 (Cost $264,398) ========= ------------------------------------------------------------------- SOVEREIGN ISSUES 2.0% ------------------------------------------------------------------- Central Bank Philippines 7.940% due 06/01/2008 (d) 2,993 2,679 Hydro-Quebec 9.000% due 03/07/2001 10,000 10,073 Nacional Financiera 10.630% due 11/22/2001 7,500 7,740 8.570% due 05/08/2003 (d) 5,000 5,078 Province of Quebec 6.380% due 10/25/2001 (d) 250 249 Republic of Brazil 7.380% due 04/15/2006 2,325 2,194 Republic of Argentina 11.600% due 04/10/2005 (d) 1,400 1,302 Republic of Brazil 7.880% due 01/01/2001 (d) 1,181 1,181 7.380% due 04/15/2006 (d) 4,278 4,027 Republic of Philippines 7.810% due 01/05/2005 (d) 1,800 1,699 7.940% due 12/01/2009 (d) 15,352 13,356 United Mexican States 5.820% due 06/28/2001 10,500 10,382 10.500% due 04/07/2004 (d) 14,730 15,290 10.020% due 04/07/2004 (d) 1,800 1,872 9.780% due 04/07/2004 (d) 5,000 5,190 --------- Total Sovereign Issues 82,312 (Cost $82,398) ========= ------------------------------------------------------------------- FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.7% ------------------------------------------------------------------- British Telecom PLC 4.730% due 07/27/2001 (d) EC 16,000 14,112 Korea Development Bank 4.800% due 05/14/2001 (d) DM 340 152 2.700% due 08/16/2002 JY 2,000,000 19,045 Republic of Austria 5.500% due 01/15/2010 (j) EC 8,900 7,799 Republic of Colombia 7.000% due 03/06/2002 IL 36,220,000 15,866 United Mexican States 6.000% due 03/28/2002 JY 960,000 9,494 8.750% due 05/30/2002 BP 3,000 4,493 --------- Total Foreign Currency-Denominated Issues 70,961 (Cost $74,194) ========= 104 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) ------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 0.0% ------------------------------------------------------------------- Utilities 0.0% Alliant Energy Resources, Inc. 4.910% due 01/01/2000 $ 2,000 $ 121 ------------ Total Convertible Bonds & Notes 121 (Cost $136) ============ ------------------------------------------------------------------- PREFERRED STOCK 1.9% ------------------------------------------------------------------- Shares Home Ownership Funding 13.331% due 12/31/2049 3,000 2,291 Rhone-Poulenc SA 8.125% due 12/31/2049 13,000 292 SI Financing Trust 9.500% due 06/30/2026 806,600 20,316 TCI Communications, Inc. 9.720% due 12/31/2036 224,700 5,842 8.720% due 01/31/2045 1,170,100 29,253 10.000% due 05/31/2045 800,300 20,258 ------------ Total Preferred Stock 78,252 (Cost $83,777) ============ ------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 2.5% ------------------------------------------------------------------- Principal Amount (000s) Commercial Paper 2.4% Anz, Inc. 6.480% due 11/07/2000 $ 200 199 CDC 6.570% due 11/29/2000 3,000 2,967 Edison Midwest 6.720% due 10/18/2000 9,200 9,172 6.750% due 11/01/2000 850 845 General Electric Capital Corp. 6.520% due 01/19/2001 22,500 22,060 Houston Industries 6.770% due 10/18/2000 5,000 4,985 Ingersoll-Rand Co. 6.680% due 10/02/2000 8,300 8,300 International Paper Co. 6.720% due 11/07/2000 13,700 13,608 Motorola, Inc. 6.480% due 12/26/2000 10,500 10,334 Nabisco, Inc. 6.700% due 10/18/2000 5,700 5,683 Pearson 6.730% due 10/25/2000 3,000 2,987 Sumitomo Bank 6.700% due 10/18/2000 6,600 6,580 Texas Utilities Co. 6.700% due 10/18/2000 11,900 11,865 ------------ 99,585 ============ Repurchase Agreements 0.1% State Street Bank 5.850% due 10/02/2000 2,444 2,444 ------------ (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 6.100% due 08/10/2001 valued at $2,495. Repurchase proceeds are $2,445.) U.S. Treasury Bills (b) 0.0% 5.930% due 02/01/2001 140 137 ------------ Total Short-Term Instruments 102,166 (Cost $102,173) ============ Total Investments (a) 125.9% $ 5,309,953 (Cost $5,347,094) Value (000s) ------------------------------------------------------------------- Written Options (c) (0.0%) (1,370) (Premiums $3,819) Other Assets and Liabilities (Net) (25.9%) (1,091,075) ------------ Net Assets 100.0% $ 4,217,508 ============ Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 20,659 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (57,800) ------------ Unrealized depreciation-net $ (37,141) ============ (b) Securities with an aggregate market value of $7,997 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: # of Unrealized Type Contracts Appreciation -------------------------------------------------------------------- U.S. Treasury 10 Year Note (12/2000) 51 $ 0 EuroBond 10 Year Note Written Put Options (11/2000) 1,714 524 ------------ $ 524 ============ (c) Premiums received on written options: # of Type Contracts Premium Value -------------------------------------------------------------------- Put - CME Eurodollar December Futures Strike @ 93.00 Exp. 12/18/2000 1,875 $ 1,934 $ 47 Put - CME Eurodollar March Futures Strike @ 92.75 Exp. 03/19/2001 594 254 22 Call - CME Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 1,468 380 1,082 Put - CME Eurodollar March Futures Strike @ 92.25 Exp. 03/19/2001 781 468 10 Put - CME Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 341 343 64 Put - CME Eurodollar March Futures Strike @ 93.50 Exp. 03/19/2001 341 440 145 ------------------------ $ 3,819 $ 1,370 ======================== 2000 Semi-Annual Report See accompanying notes 105 Schedule of Investments (Cont.) Low Duration Fund September 30, 2000 (Unaudited) --------------------------------------------------------------------------- (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) --------------------------------------------------------------------------- Sell EC (18,911) 10/2000 $ 523 Buy 124,700 11/2000 2,119 Sell BP (3,283) 10/2000 (65) Sell JY (3,095,172) 10/2000 151 Buy 581,184 10/2000 (1) Sell (581,184) 11/2000 (0) Buy PZ 20,000 02/2001 (74) ----------- $ 2,653 =========== (f) Principal amount denoted in indicated currency: BP - British Pound EC - Euro JY - Japanese Yen PZ - Polish Zloty (g) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount (Depreciation) -------------------------------------------------------------------------- Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 5.700%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/28/2001 $ 1,500 $ (69) Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 6.150%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/22/2001 2,000 (107) Receive fixed rate equal to 0.430% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 07/11/2003 20,000 1 Receive fixed rate equal to 0.510% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 01/25/2005 5,000 0 Receive fixed rate equal to 0.230% and the Fund will pay to the counterparty at par in the event of default of Associates Corp. 6.000% due 04/15/2003. Broker: Warburg Dillon Read LLC Exp. 01/14/2003 43,000 1 Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.302%. Broker: Goldman Sachs Exp. 07/13/2010 C$ 30,000 (193) ---------- $ (367) ========== -------------------------------------------------------------------------- Fixed Rate Notional Unrealized Type (%) Amount Appreciation -------------------------------------------------------------------------- Receive the 10-year Swap Spread and pay a fixed spread. The 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Goldman Sachs Exp. 02/15/2005 0.8675 $ 49,000 $ 493 (h) Securities are grouped together by coupon or range of coupons and represent a range of maturities. (i) Principal amount of the security is adjusted for inflation. (j) Subject to financing transaction. 106 PIMCO Funds See accompanying notes Schedule of Investments Low Duration Fund II September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------- CORPORATE BONDS & NOTES 48.4% ------------------------------------------------------------------- Banking & Finance 42.0% Associates Corp. of North America 6.750% due 07/15/2001 $ 20,000 $ 20,003 5.750% due 11/01/2003 400 388 Bear Stearns Co., Inc. 7.010% due 12/16/2002 (d) 10,000 10,011 Beneficial Corp. 6.213% due 04/02/2002 (d) 3,000 3,002 Chrysler Financial Co. LLC 6.740% due 06/18/2003 10,000 9,997 CIT Group, Inc. 6.200% due 10/20/2000 5,400 5,399 7.375% due 03/15/2003 18,000 18,146 Countrywide Home Loans 6.850% due 06/15/2004 1,000 990 Donaldson, Lufkin & Jenrette, Inc. 7.250% due 07/18/2003 (d) 4,700 4,712 First Union Corp. 7.550% due 08/18/2005 38,000 38,492 Ford Motor Credit Corp. 6.993% due 07/16/2002 (d) 13,000 13,028 7.750% due 11/15/2002 1,700 1,728 5.750% due 02/23/2004 1,000 955 6.700% due 07/16/2004 900 882 7.173% due 07/18/2005 (d) 12,300 12,321 General Electric Capital Corp. 5.890% due 05/11/2001 800 796 General Motors Acceptance Corp. 7.125% due 05/01/2001 4,000 4,006 6.625% due 01/10/2002 4,000 3,979 5.875% due 01/22/2003 4,000 3,908 7.625% due 05/05/2003 1,100 1,118 6.861% due 08/18/2003 (d) 15,150 15,113 8.950% due 07/02/2009 11,843 12,337 Goldman Sachs Group 6.600% due 07/15/2002 1,500 1,492 6.963% due 01/17/2003 (d) 4,000 4,005 Heller Financial, Inc. 7.115% due 07/24/2002 (d) 15,000 15,022 Hitachi Credit America 6.100% due 04/24/2001 20,000 19,913 Household Finance Corp. 6.700% due 06/15/2002 2,525 2,516 Lehman Brothers Holdings, Inc. 7.190% due 04/02/2002 (d) 9,400 9,484 7.352% due 05/07/2002 (d) 5,200 5,232 Metropolitan Life Insurance Co. 6.300% due 11/01/2003 10,000 9,776 Morgan Stanley, Dean Witter, Discover and Co. 6.970% due 08/07/2003 (d) 2,400 2,402 Sears Roebuck Acceptance 6.720% due 10/23/2002 20,000 19,810 Wachovia Corp. 7.261% due 05/02/2005 (d) 10,000 9,990 Wells Fargo & Co. 7.221% due 05/02/2005 (d) 9,600 9,597 Westdeutsche Landesbank 6.750% due 06/15/2005 5,000 4,917 ----------- 295,467 =========== Industrials 5.4% Cargill, Inc. 6.871% due 01/14/2002 (d) 5,000 5,004 Caterpillar, Inc. 9.750% due 06/01/2019 3,871 4,053 Philip Morris Cos., Inc. 9.000% due 01/01/2001 8,316 8,337 Premium Asset Trust 7.029% due 09/08/2007 20,000 19,950 Procter & Gamble Co. 5.250% due 09/15/2003 400 384 Times Mirror Co. 6.650% due 10/15/2001 200 199 ----------- 37,927 =========== Utilities 1.0% AT&T Corp. 5.125% due 04/01/2001 900 892 DTE Capital Corp. 6.170% due 06/15/2038 5,000 4,887 Southern California Gas Co. 5.670% due 01/18/2028 1,000 966 ------------ 6,745 ------------ Total Corporate Bonds & Notes 340,139 (Cost $339,397) ============ ------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 2.5% ------------------------------------------------------------------- Federal Home Loan Bank 5.625% due 03/19/2001 (b) 13,800 13,740 5.135% due 09/22/2003 400 384 Federal National Mortgage Association 7.500% due 02/11/2002 175 177 5.700% due 01/22/2003 1,500 1,473 6.500% due 08/15/2004 100 100 6.625% due 09/15/2009 1,985 ------------ Total U.S. Government Agencies 17,859 (Cost $17,839) ============ ------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 1.1% ------------------------------------------------------------------- Treasury Inflation Protected Securities (e) 3.625% due 07/15/2002 (b) 4,634 4,632 3.625% due 01/15/2008 1,175 1,148 3.875% due 01/15/2009 2,000 1,983 ------------ Total U.S. Treasury Obligations 7,763 (Cost $7,759) ============ ------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 56.6% ------------------------------------------------------------------- Collateralized Mortgage Obligations 20.7% Citicorp Mortgage Securities, Inc. 6.920% due 08/25/2027 1 1 CMC Securities Corp. 8.297% due 04/25/2025 (d) 1,543 1,562 Criimi Mae Financial Corp. 7.000% due 01/01/2033 10,928 10,784 DLJ Mortgage Acceptance Corp. 8.618% due 05/25/2024 (d) 533 545 Federal Home Loan Mortgage Corp. 12.900% due 05/01/2014 126 138 9.250% due 10/25/2018 65 68 6.000% due 05/15/2022 4,970 4,904 6.500% due 08/15/2023 7,495 7,428 7.500% due 08/15/2028 1,657 1,632 7.500% due 09/01/2030 10,000 10,002 7.120% due 09/30/2030 14,364 14,363 Federal National Mortgage Association 6.150% due 09/25/2016 3,036 3,004 8.000% due 11/25/2023 4,054 4,154 General Electric Capital Mortgage Services, Inc. 6.750% due 12/25/2012 2,629 2,610 Government National Mortgage Association 7.130% due 09/20/2030 (d) 20,000 19,996 1.000% due 09/20/2030 (d) 3,500 3,499 Nationslink Funding Corp. 6.985% due 04/10/2007 (d) 1,038 1,039 7.030% due 01/20/2008 191 191 Norwest Asset Securities Corp. 6.750% due 12/25/2027 2,443 2,391 PNC Mortgage Securities Corp. 7.750% due 07/25/2030 8,283 8,268 Residential Funding Mortgage Securities, Inc. 7.500% due 10/25/2022 757 750 Resolution Trust Corp. 7.338% due 10/25/2028 (d) 2,798 2,759 Structured Asset Mortgage Investments, Inc. 9.043% due 06/25/2029 (d) 8,696 8,957 6.750% due 05/02/2030 8,269 8,035 2000 Semi-Annual Report See accompanying notes 107 Schedule of Investments (Cont.) Low Duration Fund II September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------- Structured Asset Securities Corp. 6.750% due 07/25/2029 $ 4,910 $ 4,850 7.750% due 07/25/2030 10,471 10,557 Union Planters Mortgage Finance Corp. 6.600% due 01/25/2028 13,000 12,791 ---------- 145,278 ========== Federal Home Loan Mortgage Corporation 0.3% 6.500% due 06/01/2001-07/15/2017 (f) 635 630 7.043% due 07/01/2023 (d) 490 504 8.000% due 07/01/2024 290 296 8.500% due 06/01/2009-06/01/2025 (f) 406 416 10.500% due 09/01/2015 9 9 ---------- 1,855 ========== Federal Housing Administration 3.6% 7.200% due 05/01/2009 1,716 1,732 7.430% due 07/01/2024 23,871 23,638 ---------- 25,370 ========== Federal National Mortgage Association 12.0% 6.217% due 11/01/2027-09/01/2028 (d)(f) 2,603 2,552 7.500% due 08/01/2029-09/01/2029 (f) 5,123 5,118 7.661% due 01/01/2024 (d) 831 846 8.000% due 12/01/2099 52,000 52,683 8.500% due 12/01/2099 22,000 22,536 10.500% due 05/01/2012 663 711 ---------- 84,446 ========== Government National Mortgage Association 19.6% 6.375% due 04/20/2022-05/20/2027(d)(f) 12,765 12,861 6.500% due 08/15/2023-12/15/2099(d)(f) 13,261 12,992 6.750% due 07/20/2023 (d) 6,684 6,752 7.000% due 03/15/2022-11/15/2023 (f) 17,524 17,331 7.125% due 10/20/2025 (d) 8,639 8,700 7.500% due 02/15/2022-12/15/2099 (f) 6,010 6,047 8.000% due 03/15/2023-12/20/2099 (f) 46,457 47,163 8.500% due 12/31/2099 25,000 25,695 9.000% due 07/20/2016-12/20/2017 (f) 442 459 ---------- 138,000 ========== Other Mortgage-Backed Securities 0.4% American Southwest Financial Securities Corp. 7.500% due 10/01/2018 483 481 Guardian Savings & Loan Assn. 7.775% due 07/25/2019 (d) 50 49 Resolution Trust Corp. 6.696% due 05/25/2019 (d) 720 718 Ryland Acceptance Corp. 14.000% due 11/25/2031 67 70 Salomon Brothers Mortgage Securities 8.401% due 11/25/2022 (d) 812 817 Sears Mortgage 7.431% due 10/25/2022 (d) 738 746 ---------- 2,881 ---------- Total Mortgage-Backed Securities 397,830 (Cost $398,729) ========== ------------------------------------------------------------------- ASSET-BACKED SECURITIES 6.7% ------------------------------------------------------------------- Bay View Auto Trust 6.880% due 02/15/2003 5,147 5,153 Countrywide Asset-Backed Certificates 7.230% due 03/25/2031 (d) 89 89 Countrywide Home Equity Loan Trust 6.866% due 08/15/2025 (d) 7,741 7,747 Embarcadero Aircraft Securitization Trust 7.100% due 08/15/2025 (d) 3,200 3,200 First Alliance Mortgage Loan Trust 7.000% due 03/20/2031 (d) 12,297 12,304 Green Tree Financial Corp. 6.750% due 07/15/2025 82 82 Novastar Home Equity Loan 6.900% due 01/25/2031 (d) 8,400 8,397 The Money Store Home Equity Trust 6.490% due 10/15/2026 10,000 9,956 ---------- Total Asset-Backed Securities 46,928 (Cost $47,067) ========== ------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 0.0% ------------------------------------------------------------------- Utilities 0.0% Alliant Energy Resources, Inc. 7.250% due 02/15/2030 $ 200 $ 13 ---------- Total Convertible Bonds & Notes 13 (Cost $14) ========== ------------------------------------------------------------------- PREFERRED SECURITY 0.7% ------------------------------------------------------------------- Shares DG Funding Trust 9.030% due 12/29/2049 510 5,113 ---------- Total Preferred Security 5,113 (Cost $5,100) ========== ------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 5.9% ------------------------------------------------------------------- Principal Amount (000s) Commercial Paper 4.2% Alcoa, Inc. 6.450% due 12/21/2000 $ 800 789 Conagra, Inc. 6.680% due 10/27/2000 1,600 1,593 DaimlerChrysler Holdings 6.500% due 12/13/2000 400 395 Dominion Resources, Inc. 6.710% due 10/18/2000 1,700 1,695 Edison Mission Midwest Holdings 6.750% due 11/01/2000 1,400 1,392 Infinity Broadcasting Corp. 6.710% due 11/15/2000 8,500 8,430 Ingersoll-Rand Co. 6.700% due 11/01/2000 8,600 8,552 Sprint Capital Corp. 6.700% due 10/25/2000 4,500 4,483 6.720% due 11/08/2000 2,400 2,383 ---------- 29,712 ========== Repurchase Agreement 1.7% State Street Bank 5.850% due 10/02/2000 12,108 12,108 (Dated 9/29/2000. Collateralized by Federal Home Loan Bank 7.025% due 03/06/2002 valued at $12,354. Repurchase proceeds are $12,114.) ---------- Total Short-Term Instruments 41,820 (Cost $41,820) ========== Total Investments (a) 121.9% $ 857,465 (Cost $857,725) Written Options (c) (0.0%) (83) (Premiums $357) Other Assets and Liabilities (Net) (21.9%) (154,145) ---------- Net Assets 100.0% $ 703,237 ========== 108 PIMCO Funds See accompanying notes ------------------------------------------------------------------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 3,325 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (3,585) -------- Unrealized depreciation-net $ (260) ======== (b) Subject to financing transaction. (c) Premiums received on written options: # of Type Contracts Premium Value -------------------------------------------------------------------------------- Put - CME Eurodollar December Futures Strike @ 93.00 Exp. 12/18/2000 385 $ 289 $ 10 Put - CME Eurodollar March Futures Strike @ 92.75 Exp. 03/19/2001 85 34 3 Call - CME Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 97 34 70 -------------------- $ 357 $ 83 ==================== (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Principal amount of security is adjusted for inflation. (f) Securities are grouped by coupon or range of coupons and represent a range of maturities. 2000 Semi-Annual Report See accompanying notes 109 Schedule of Investments Low Duration Fund III September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------- CORPORATE BONDS & NOTES 63.2% ------------------------------------------------------------------- Banking & Finance 16.6% Bank of America Corp. 8.125% due 02/01/2002 $ 1,000 $ 1,014 CIT Group, Inc. 6.810% due 09/13/2002 (d) 400 400 General Motors Acceptance Corp. 6.840% due 01/08/2002 (d) 1,000 1,004 7.090% due 07/21/2004 (d) 200 200 Goldman Sachs Group 6.200% due 12/15/2000 500 499 7.090% due 02/18/2002 (d) 665 669 Korea Development Bank 7.625% due 10/01/2002 1,000 1,001 Salomon, Smith Barney Holdings 6.900% due 05/14/2002 (d) 325 325 Spieker Properties LP - REITS 7.580% due 12/17/2001 1,000 1,003 --------- 6,115 ========= Industrials 17.7% Cargill, Inc. 6.420% due 01/14/2002 (d) 1,000 1,001 Coastal Corp. 7.290% due 03/01/2002 (d) 1,000 1,000 Cox Communications, Inc. 7.000% due 08/15/2001 1,500 1,492 TRW, Inc. 6.450% due 06/15/2001 1,000 993 Xerox Corp. 7.115% due 10/23/2001 (d) 2,000 2,006 --------- 6,492 ========= Utilities 28.9% Arizona Public Service 5.875% due 02/15/2004 2,000 1,910 Commonwealth Edison 6.720% due 06/15/2002 (d) 500 500 Gulf States Utilities 6.410% due 08/01/2001 1,000 993 Niagara Mohawk Power 7.125% due 07/01/2001 756 756 North Atlantic Energy 9.050% due 06/01/2002 1,354 1,368 Philadelphia Electric 6.500% due 05/01/2003 1,500 1,477 Telekomunikacja Polska SA 7.125% due 12/10/2003 1,000 978 Triton Energy Ltd. 8.750% due 04/15/2002 1,000 1,033 WorldCom, Inc. 6.125% due 08/15/2001 1,600 1,590 --------- 10,605 --------- Total Corporate Bonds & Notes 23,212 (Cost $23,130) ========= ------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 3.4% ------------------------------------------------------------------- Treasury Inflation Protected Securities (h) 3.625% due 07/15/2002 (b) 216 215 3.625% due 01/15/2008 427 418 3.875% due 01/15/2009 631 626 --------- Total U.S. Treasury Obligations 1,259 (Cost $1,267) ========= ------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 52.4% ------------------------------------------------------------------- Collateralized Mortgage Obligations 16.2% GMAC Commercial Mortgage Securities, Inc. 6.570% due 09/15/2033 $ 924 $ 908 Independent National Mortgage Corp. 7.250% due 11/25/2010 1,000 1,003 PNC Mortgage Securities Corp. 7.750% due 08/25/2030 585 584 Prudential Home Mortgage Securities 7.500% due 08/25/2024 945 935 Residential Funding Mortgage Securities, Inc. 7.750% due 11/25/2026 1,000 1,014 Structured Asset Securities Corp. 6.750% due 07/25/2029 1,544 1,525 --------- 5,969 ========= Federal Home Loan Mortgage Corporation 0.3% 8.750% due 10/01/2001 113 114 --------- Federal National Mortgage Association 9.7% 8.000% due 12/01/2099 2,500 2,533 8.500% due 12/01/2099 1,000 1,024 --------- 3,557 ========= Government National Mortgage Association 26.2% 6.500% due 12/15/2099 1,000 963 7.000% due 05/20/2030 (d) 1,979 1,983 7.375% due 06/20/2027 (d) 610 614 7.500% due 12/20/2099 500 499 8.000% due 12/15/2099-12/20/2099 (g) 3,900 3,957 8.500% due 10/20/2026-06/20/2027 (g) 1,583 1,622 --------- 9,638 --------- Total Mortgage-Backed Securities 19,278 (Cost $19,325) ========= ------------------------------------------------------------------- ASSET-BACKED SECURITIES 3.8% ------------------------------------------------------------------- Circuit City Credit Master Trust 6.848% due 02/15/2006 (d) 1,000 1,003 Student Loan Marketing Assn. 6.724% due 10/25/2005 (d) 388 386 --------- Total Asset-Backed Securities 1,389 (Cost $1,387) ========= ------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 2.4% ------------------------------------------------------------------- Commercial Paper 1.3% Anz, Inc. 6.500% due 11/28/2000 300 297 General Electric Capital Corp. 6.520% due 01/19/2001 200 196 --------- 493 ========= Repurchase Agreement 1.1% State Street Bank 5.850% due 10/02/2000 384 384 (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 6.100% due 08/10/2001 valued at $397. Repurchase proceeds are $384.) --------- Total Short-Term Instruments 877 (Cost $877) ========= Total Investments (a) 125.2% $ 46,015 (Cost $45,986) Written Options (c) (0.0%) (7) (Premiums $24) Other Assets and Liabilities (Net) (25.2%) (9,260) --------- Net Assets 100.0% $ 36,748 ========= 110 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 175 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (146) ------ Unrealized appreciation-net $ 29 ====== (b) Securities with an aggregate market value of $215 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: # of Unrealized Type Contracts Appreciation -------------------------------------------------------------------------------- EuroBond 10 Year Note Written Put Options (11/2000) 16 $ 5 ------ (c) Premiums received on written options: # of Type Contract Premium Value -------------------------------------------------------------------------------- Put - Eurodollar December Futures Strike @ 93.00 Exp. 12/18/2000 25 $ 18 $ 1 Put - Eurodollar March Futures Strike @ 92.75 Exp. 03/19/2001 7 3 0 Call - Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 8 3 6 ------ ---- $ 24 $ 7 ====== ==== (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Foreign forward currency contracts outstanding at September 30, 2000: Covered by Settlement Unrealized Type Currency Contract Month Appreciation -------------------------------------------------------------------------------- Sell EC 29 10/2000 $ 1 Buy 1,100 11/2000 20 Sell 1,100 11/2000 0 ---- $ 21 ==== (f) Principal amount denoted in indicated currency: EC - Euro (g) Securities are grouped by coupon or range of coupons and represent a range of maturities. (h) Principal amount of the security is adjusted for inflation. 2000 Semi-Annual Report See accompanying notes 111 Schedule of Investments Short-Term Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 64.3% -------------------------------------------------------------------------------- Banking & Finance 43.0% Allied Irish Banks 7.028% due 09/07/2006 (d) $ 3,000 $ 3,013 Amerco, Inc. 6.890% due 10/15/2000 5,000 4,950 Banco Nacional Obra Services 9.625% due 11/15/2003 6,900 7,150 Bank One Corp. 6.410% due 01/24/2002 (d) 2,000 2,003 BankBoston Corp. 6.125% due 03/15/2002 1,000 989 Bankers Trust Corp. 6.200% due 05/11/2003 (d) 11,000 10,998 Bear Stearns Companies, Inc. 7.048% due 09/21/2004 (d) 3,900 3,896 Citigroup, Inc. 6.565% due 08/19/2003 (d) 11,040 10,814 Dime Bancorp, Inc. 6.375% due 01/30/2001 17,600 17,524 7.000% due 07/25/2001 2,400 2,389 Donaldson, Lufkin & Jenrette, Inc. 7.250% due 07/18/2003 (d) 8,000 8,021 DQE Capital Corp. 6.781% due 01/15/2002 (d) 2,000 1,999 Export-Import Bank Korea 6.500% due 02/10/2002 1,000 985 First USA Bank 6.790% due 05/15/2002 (d) 6,000 6,016 Ford Motor Credit Corp. 6.210% due 08/27/2001 (d) 6,840 6,841 6.927% due 03/19/2002 (d) 4,295 4,313 6.952% due 12/16/2002 (d) 10,000 9,975 7.110% due 06/02/2003 (d) 2,500 2,503 7.173% due 07/18/2005 (d) 10,000 10,017 General Motors Acceptance Corp. 6.840% due 01/08/2002 (d) 1,000 1,000 6.190% due 08/18/2003 (d) 16,575 16,535 Golden State Holdings 6.750% due 08/01/2001 7,000 6,893 Goldman Sachs Group 6.511% due 01/17/2003 (d) 8,000 8,011 Heller Financial, Inc. 6.980% due 04/22/2002 (d) 12,900 12,899 6.500% due 07/22/2002 1,000 989 Korea Development Bank 7.675% due 10/06/2000 (d) 2,000 2,000 7.181% due 10/18/2000 (d) 500 500 9.600% due 12/01/2000 800 803 9.450% due 03/15/2001 375 379 7.900% due 02/01/2002 900 902 7.625% due 10/01/2002 2,500 2,502 Lehman Brothers Holdings, Inc. 7.352% due 05/07/2002 (d) 3,000 3,019 6.690% due 04/04/2003 (d) 3,000 3,001 MBNA Corp. 6.741% due 03/23/2001 (d) 9,500 9,508 Merrill Lynch & Co. 6.991% due 08/01/2003 (d) 4,000 4,002 MFN Financial Corp. 7.130% due 09/13/2001 (d) 5,000 5,002 Midamerican Funding LLC 5.850% due 03/01/2001 1,000 995 Morgan Stanley, Dean Witter, Discover and Co. 6.500% due 01/28/2002 (d) 8,600 8,615 National Consumer Coop Bank 7.528% due 04/02/2001 (d) 16,000 16,013 7.513% due 10/26/2001 (d) 10,000 10,003 PaineWebber 7.290% due 07/15/2002 (d) 10,000 10,006 PP&L Capital Funding, Inc. 5.860% due 10/17/2000 24,000 23,992 Protective Life Funding Trust 7.090% due 01/17/2003 (d) 2,000 1,997 PS Colorado Credit Corp. 7.477% due 05/30/2002 (d) 2,000 1,999 Qwest Capital Funding, Inc. 6.875% due 08/15/2001 15,430 15,418 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 3,265 3,226 7.010% due 07/18/2007 (d) 5,000 5,009 Transamerica Finance Corp. 6.910% due 12/14/2001 (d) 4,000 4,004 U.S. Bancorp 6.941% due 02/03/2003 (d) 3,700 3,702 -------- 297,320 ======== Industrials 14.9% Air Canada 6.237% due 07/31/2005 1,818 1,672 Clear Channel Communications, Inc. 7.327% due 06/15/2002 (d) 900 902 COFIRI International, Inc. 6.502% due 10/27/2000 (d) 2,000 1,997 Columbia/HCA Healthcare 8.160% due 09/19/2002 (d) 10,000 10,000 Enron Corp. 7.250% due 09/10/2001 (d) 3,000 3,000 ICI Wilmington 9.500% due 11/15/2000 5,620 5,628 ITT Corp. 6.250% due 11/15/2000 3,000 2,995 J Seagram & Sons 5.790% due 04/15/2001 9,000 8,914 6.250% due 12/15/2001 10,300 10,189 Kroger Co. 6.340% due 06/01/2001 8,250 8,220 Lockheed Martin Corp. 6.850% due 05/15/2001 10,000 9,964 Petroleos Mexicanos 9.375% due 12/02/2008 1,000 1,030 Racers 7.118% due 03/03/2003 (d) 10,000 10,000 Raytheon Co. 7.020% due 08/10/2001 (d) 10,000 10,008 Staples, Inc. 7.670% due 11/26/2001 (d) 1,400 1,400 Time Warner, Inc. 6.100% due 12/30/2001 3,000 2,959 Tyco International Group SA 6.125% due 06/15/2001 6,074 6,020 Williams Communications Group, Inc. 7.220% due 11/15/2001 (d) 7,500 7,505 -------- 102,403 ======== Utilities 6.4% Appalachian Power Co. 7.270% due 06/27/2001 (d) 900 900 Central Power & Light Co. 7.268% due 02/22/2002 (d) 2,000 1,999 Coastal Corp. 7.330% due 07/21/2003 (d) 5,000 5,012 Commonwealth Edison Co. 7.285% due 09/30/2003 (d) 2,000 2,000 Deutsche Telekom AG 7.750% due 06/15/2005 5,000 5,123 Dominion Resources, Inc. 7.310% due 09/16/2012 (d) 6,500 6,519 Indiana Michigan Power Co. 7.245% due 09/03/2002 (d) 1,000 1,000 Nevada Power Co. 7.270% due 08/20/2001 (d) 5,000 4,999 Oneok, Inc. 6.960% due 04/24/2002 (d) 5,000 5,006 Sierra Pacific Resources 7.390% due 04/20/2002 (d) 3,000 3,000 7.340% due 04/20/2003 (d) 5,000 5,003 112 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- UGI Utilities, Inc. 6.170% due 03/06/2001 $ 250 $ 249 WorldCom, Inc. 7.050% due 11/26/2001 (d) 3,700 3,704 --------- 44,514 --------- Total Corporate Bonds & Notes 444,237 (Cost $443,380) ========= -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 0.3% -------------------------------------------------------------------------------- North Carolina 0.3% North Carolina State Education Assistance Authority Revenue Bonds, (GTD Insured), Series 2000 7.000% due 06/01/2009 (d) 2,000 2,000 --------- Total Municipal Bonds & Notes 2,000 (Cost $2,000) ========= -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 10.3% -------------------------------------------------------------------------------- Federal Home Loan Bank 6.750% due 02/01/2002 70,000 70,252 Federal National Mortgage Association 5.750% due 04/15/2003 850 836 --------- Total U.S. Government Agencies 71,088 (Cost $70,911) ========= -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 4.6% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (g) 3.625% due 07/15/2002 (h) 29,529 29,520 3.625% due 01/15/2008 2,137 2,088 --------- Total U.S. Treasury Obligations 31,608 (Cost $31,494) ========= -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 23.2% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 15.0% CMC Securities Corp. 7.500% due 02/25/2023 2,089 2,083 Dime Savings 6.937% due 11/01/2018 (d) 209 189 Donaldson, Lufkin & Jenrette, Inc. 7.450% due 10/17/2020 (d) 489 502 7.786% due 09/01/2021 (d) 24 24 7.437% due 05/01/2026 (d) 125 125 Federal Home Loan Mortgage Corp. 6.750% due 03/15/2007 833 831 6.500% due 10/25/2014 3,833 3,767 5.750% due 10/15/2016 12 12 6.000% due 07/15/2019 4,178 4,133 6.875% due 06/15/2023 (d) 474 474 Federal National Mortgage Association 7.256% due 12/25/2000 (d) 339 339 7.250% due 04/25/2007 2,310 2,306 6.000% due 02/25/2008 1,051 1,033 6.206% due 07/25/2008 (d) 1,344 1,326 6.250% due 06/18/2015 1,720 1,709 6.000% due 08/18/2016 30,659 30,351 7.221% due 10/25/2017 (d) 4,992 4,990 5.875% due 03/25/2018 62 62 7.000% due 12/25/2019 11,773 11,736 6.000% due 08/25/2020 1,950 1,919 5.000% due 02/25/2022 59 58 6.500% due 09/18/2023 1,788 1,772 8.936% due 06/25/2032 8,795 9,020 First Nationwide Trust 6.495% due 10/25/2018 (d) 3 3 General Electric Capital Mortgage Services, Inc. 6.750% due 12/25/2012 5,258 5,220 Greenwich 7.647% due 04/25/2022 (d) 62 62 8.149% due 10/25/2022 (d) 31 31 Housing Securities, Inc. 6.000% due 02/25/2008 567 564 Independent National Mortgage Corp. 7.250% due 11/25/2010 4,000 4,011 Prudential Bache 6.252% due 09/01/2018 (d) 22 21 Prudential Home Mortgage Securities 6.950% due 11/25/2022 233 214 Residential Funding Mortgage Securities, Inc. 7.142% due 12/01/2018 1,040 1,061 Resolution Trust Corp. 6.855% due 05/25/2029 (d) 530 525 Saxon Asset Securities Trust 7.585% due 12/25/2014 4,475 4,469 TMA Mortgage Funding Trust 7.000% due 01/25/2029 (d) 8,675 8,675 --------- 103,617 ========= Federal Home Loan Mortgage Corporation 0.1% 7.500% due 11/01/2001 856 855 --------- Federal National Mortgage Association 2.0% 6.000% due 12/18/2014 5,305 5,268 6.150% due 09/25/2016 4,554 4,506 7.000% due 06/01/2003 2,089 2,087 8.500% due 01/01/2026 1,635 1,681 --------- 13,542 ========= Government National Mortgage Association 5.7% 6.750% due 09/20/2023-08/20/2027 7,376 7,433 (b)(d) 7.125% due 11/20/2026 (d) 12,420 12,508 7.375% due 02/20/2024 (d) 10,308 10,390 7.380% due 04/20/2025 (d) 475 478 8.000% due 10/23/2099 3,950 4,020 8.500% due 06/20/2027 4,704 4,820 --------- 39,649 ========= Other Mortgage-Backed Securities 0.3% CDC Depositor Trust I 7.098% due 12/14/2001 (d) 2,000 2,006 --------- 2,006 ========= Stripped Mortgage-Backed Securities 0.1% ABN AMRO Mortgage Corp. (IO) 6.750% due 08/25/2029 1,192 119 Federal Home Loan Mortgage Corp. (IO) 7.000% due 06/15/2019 3,920 251 Federal National Mortgage Association (IO) 7.000% due 07/25/2006 1,135 55 6.500% due 12/25/2006 883 11 6.500% due 06/25/2017 630 10 6.500% due 10/25/2023 1,302 156 --------- 602 --------- Total Mortgage-Backed Securities 160,271 (Cost $161,479) ========= -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 10.2% -------------------------------------------------------------------------------- Advanta Revolving Home Equity Loan Trust 6.990% due 01/25/2024 (d) 229 230 American Residential Eagle Trust 6.960% due 07/25/2029 (d) 1,646 1,647 Associates Manufactured Housing 7.000% due 03/15/2027 402 402 Bay View Financial Revolving 7.920% due 08/25/2029 (d) 2,000 1,967 Brazos Student Loan Finance Co. 7.290% due 06/01/2023 (d) 20,000 19,802 Capital Asset Research Funding LP 6.400% due 12/15/2004 1,725 1,743 Chase Manhattan Grantor Trust 5.200% due 02/15/2002 98 98 Columbia/HCA Healthcare 8.437% due 09/13/2001 1,250 1,241 Community Trust Bancorp, Inc. 6.500% due 09/15/2003 435 433 Delta Funding Home Equity Loan Trust 7.036% due 09/15/2029 (d) 1,759 1,766 First Security Auto Owner Trust 5.580% due 06/15/2003 7,896 7,865 2000 Semi-Annual Report See accompanying notes 113 Schedule of Investments (Cont.) Short-Term Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Flag Ltd. 8.437% due 02/18/2006 $ 2,083 $ 2,078 Green Tree Home Improvement Loan Trust 6.796% due 08/15/2029 (d) 2,162 2,160 Metris Master Trust 7.270% due 04/20/2006 (d) 6,000 6,030 MLCC Mortgage Investors, Inc. 6.998% due 03/15/2025 (d) 3,153 3,165 Onyx Acceptance Auto Trust 6.180% due 04/15/2002 503 502 Salomon Brothers Mortgage Securities 6.971% due 07/25/2029 (d) 3,409 3,413 7.071% due 11/15/2029 (d) 1,656 1,660 7.102% due 12/15/2029 (d) 2,000 2,000 6.960% due 12/25/2029 (d) 4,578 4,590 The Money Store Home Equity Trust 6.635% due 09/15/2014 5,097 5,082 6.345% due 11/15/2021 (d) 90 89 UAF Auto Grantor Trust 6.100% due 06/15/2004 918 912 UniCapital Corp. 6.540% due 07/23/2002 1,307 1,305 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 321 319 --------- Total Asset-Backed Securities 70,499 (Cost $70,524) ========= -------------------------------------------------------------------------------- SOVEREIGN ISSUES 0.5% -------------------------------------------------------------------------------- Republic of Brazil 7.375% due 04/15/2006 (d) 3,720 3,510 --------- Total Sovereign Issues 3,510 (Cost $3,488) ========= -------------------------------------------------------------------------------- FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 2.3% -------------------------------------------------------------------------------- Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 5,400 2,304 Tecnost International NV 6.368% due 06/23/2004 (d) EC 15,000 13,388 --------- Total Foreign Currency-Denominated Issues 15,692 (Cost $17,213) ========= -------------------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 0.3% -------------------------------------------------------------------------------- Industrial 0.3% Hercules Trust VI 9.110% due 12/29/2000 (d) $ 2,430 2,428 --------- Total Convertible Bonds & Notes 2,428 (Cost $2,429) ========= -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 7.9% -------------------------------------------------------------------------------- Commercial Paper 7.3% American Electric Power, Inc. 6.700% due 10/18/2000 900 897 Burlington Northern 6.735% due 10/04/2000 24,300 24,291 Conagra, Inc. 6.680% due 10/27/2000 900 896 Dominion Resources, Inc. 6.710% due 11/16/2000 700 694 Houston Industries 6.800% due 11/08/2000 9,400 9,334 Infinity Broadcasting Corp. 6.720% due 11/29/2000 8,200 8,111 Motorola, Inc. 6.470% due 12/27/2000 400 394 Sumitomo Corp. of America 6.740% due 11/01/2000 200 199 Williams Cos., Inc. 7.231% due 04/10/2001 5,600 5,602 --------- 50,418 ========= Repurchase Agreement 0.6% State Street Bank 5.850% due 10/02/2000 4,086 4,086 (Dated 9/29/2000. Collateralized by Federal Home Loan Mortgage Corp. 7.050% due 09/19/2003 valued at $4,170. Repurchase proceeds are $4,088.) --------- Total Short-Term Instruments 54,504 (Cost $54,504) ========= Total Investments (a) 123.9% $ 855,837 (Cost $857,422) Written Options (c) (0.0%) (36) (Premiums $52) Other Assets and Liabilities (Net) (23.9%) (164,902) --------- Net Assets 100.0% $ 690,899 ========= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 1,739 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (3,324) --------- Unrealized depreciation-net $ (1,585) ========= (b) Securities are grouped by coupon or range of coupons and represent a range of maturities. (c) Premiums received on written options: # of Type Contracts Premium Value -------------------------------------------------------------------------------- Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.750% Exp. 10/05/2000 50,000,000 $ 52 $ 36 ------- --------- (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Sell EC 15,432 10/2000 $ 269 Sell BP 3,327 10/2000 (78) Buy 3,327 10/2000 56 Sell N$ 6,006 10/2000 114 --------- $ 361 ========= (f) Principal amount denoted in indicated currency: BP - British Pound EC - Euro N$ - New Zealand Dollar (g) Principal amount of the security is adjusted for inflation. 114 PIMCO Funds See accompanying notes -------------------------------------------------------------------------------- (h) Subject to financing transaction. (i) Swap agreements outstanding at September 30, 2000: Unrealized Type Notional Appreciation/ Amount Depreciation -------------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR plus 0.470% and pay a fixed rate equal to 7.750%. Broker: Morgan Stanley Exp. 06/15/2005 $ 5,000 $ (107) Receive fixed rate equal to 0.430% and the Fund will pay to the counter party at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 07/11/2003 5,000 0 Receive fixed rate equal to 0.230% and the Fund will pay to the counterparty at par in the event of default of Associates Corp. 6.000% due 04/15/2003. Broker: Warburg Dillon Read LLC Exp. 01/14/2003 4,000 0 Receive fixed rate equal to 0.250% and the Fund will pay to the counterparty at par in the event of default of Pacific Gas & Electric Corp. 6.550% due 12/08/2005. Broker: J.P. Morgan Exp. 05/23/2003 5,000 0 ---------- $ (107) ========== (j) Reverse repurchase agreements were entered into on various days paying various interest rates. The following securities were segregated with collateral for reverse repurchase agreements: Type Maturity Value -------------------------------------------------------------------------------- Entered into on September 18, 2000 paying interest at 6.570% Federal National Mortgage Assn. 7.000% 12/25/2019 $ 11,736 Entered into on September 25, 2000 paying interest at 6.520% Government National Mortgage Assn. 7.375% 02/20/2024 10,390 Government National Mortgage Assn. 7.125% 11/20/2026 12,508 Entered into on September 26, 2000 paying interest at 6.580% Federal National Mortgage Assn. 6.000% 08/18/2016 30,351 -------- $ 64,985 ======== 2000 Semi-Annual Report See accompanying notes 115 Schedule of Investments Money Market Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 40.5% -------------------------------------------------------------------------------- Banking & Finance 30.8% Abbey National PLC 6.520% due 11/03/2000 $ 12,800 $ 12,726 Bank of Scotland Treasury 6.600% due 03/06/2001 (a) 6,000 5,999 Citigroup, Inc. 6.741% due 08/13/2001 (a) 235 235 FCC National Bank 6.690% due 05/10/2001 10,900 10,900 First Chicago NBD Corp. 6.750% due 08/20/2001 (a) 14,300 14,309 First Union National Bank 6.847% due 08/24/2001 18,300 18,327 General Motors Acceptance Corp. 6.913% due 08/06/2001 (a) 6,000 6,011 Goldman Sachs Group 6.550% due 10/18/2000 17,900 17,848 7.180% due 01/08/2001 (a) 1,400 1,402 Merrill Lynch & Co. 6.958% due 03/05/2001 (a) 2,000 2,001 6.760% due 08/10/2001 (a) 1,500 1,501 Morgan Stanley, Dean Witter, Discover and Co. 6.937% due 02/06/2001 250 250 6.646% due 08/15/2001 (a) 18,000 18,000 -------- 109,509 ======== Industrials 9.7% Gannett Co. 6.520% due 11/08/2000 10,000 9,933 6.500% due 11/21/2000 3,500 3,468 Minnesota Mining & Manufacturing Co. 6.450% due 12/19/2000 6,300 6,212 Yorkshire Building Society 6.490% due 12/06/2000 15,000 14,824 -------- 34,437 -------- Total Corporate Bonds & Notes 143,946 (Cost $143,946) ======== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 56.6% -------------------------------------------------------------------------------- Commercial Paper 56.3% Associates Corp. of North America 6.580% due 11/29/2000 5,800 5,738 AT&T Corp. 6.500% due 10/25/2000 12,600 12,548 Bank One Corp. 6.470% due 12/19/2000 14,300 14,099 Becton Dickinson & Co. 6.520% due 10/10/2000 14,500 14,479 Bell South Telecommunications, Inc. 6.460% due 12/06/2000 11,600 11,465 Bellsouth Capital Funding Corp. 6.460% due 12/12/2000 6,300 6,220 CBA (de) Finance 6.590% due 10/23/2000 6,300 6,276 6.460% due 12/12/2000 9,000 8,885 CDC 6.530% due 10/18/2000 18,000 17,948 6.560% due 11/29/2000 800 791 Coca-Cola Co. 6.510% due 10/31/2000 9,800 9,749 DaimlerChrysler Holdings 6.510% due 12/13/2000 12,300 12,140 Dupont De Nemours & Co. 6.460% due 10/06/2000 3,600 3,597 Eastman Kodak Co. 6.470% due 11/16/2000 2,600 2,579 6.460% due 12/06/2000 13,700 13,540 Exxon-Mobil Corp. 6.470% due 11/17/2000 10,300 10,215 General Electric Capital Corp. 6.480% due 10/18/2000 800 798 Reseau Ferre De France 6.500% due 10/26/2000 3,700 3,684 Societe Generale 6.540% due 02/28/2001 24,200 24,195 Swedbank, Inc. 6.510% due 01/19/2001 12,800 12,548 Verizon Global Funding 6.500% due 10/16/2000 3,700 3,691 6.490% due 11/08/2000 2,300 2,285 6.460% due 12/01/2000 2,200 2,176 6.460% due 12/11/2000 400 395 -------- 200,041 ======== Repurchase Agreement 0.3% State Street Bank 5.850% due 10/02/2000 945 945 (Dated 9/29/2000. Collateralized by Federal Home Loan Bank 7.090% due 09/19/2003 valued at $965. Repurchase proceeds are $945.) -------- Total Short-Term Instruments 200,986 (Cost $200,986) ======== Total Investments (a) 97.1% 344,932 (Cost $344,932) Other Assets and Liabilities (Net) 2.9% 10,356 -------- Net Assets 100.0% 355,288 ======== Notes to Schedule of Investments (amounts in thousands): a) Variable rate security. The rate listed is as of September 30, 2000. 116 PIMCO Funds See accompanying notes Schedule of Investments Long-Term U.S. Government Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 5.9% -------------------------------------------------------------------------------- Banking & Finance 4.1% AESOP Funding II LLC 6.220% due 10/20/2001 $ 1,500 $ 1,501 Associates Corp. of North America 5.800% due 04/20/2004 2,500 2,410 Bank One Corp. 6.790% due 05/07/2002 (d) 2,400 2,402 Countrywide Home Loans 6.850% due 06/15/2004 1,500 1,485 Ford Motor Credit Corp. 6.940% due 06/02/2003 (d) 1,900 1,902 Goldman Sachs Group 7.270% due 01/14/2002 (d) 3,000 3,024 Morgan Stanley, Dean Witter, Discover and Co. 6.990% due 04/22/2004 (d) 2,500 2,503 ------- 15,227 ======= Industrials 0.8% DaimlerChrysler Holdings 7.000% due 08/16/2004 (d) 3,000 3,005 ------- Utilities 1.0% Detroit Edison Co. 7.020% due 01/29/2001 1,000 998 Scana Corp. 7.380% due 07/15/2002 (d) 2,000 2,003 WorldCom, Inc. 6.920% due 11/26/2001 (d) 700 701 ------- 3,702 ------- Total Corporate Bonds & Notes 21,934 (Cost $21,998) ======= -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 15.1% -------------------------------------------------------------------------------- Federal Home Loan Bank 5.950% due 12/10/2008 250 232 6.410% due 09/30/2013 500 455 6.650% due 10/21/2013 300 277 Federal National Mortgage Assn. 7.000% due 07/15/2005 40,000 40,736 6.470% due 04/15/2009 1,000 960 7.130% due 01/15/2030 2,000 2,071 Student Loan Marketing Assn. 6.480% due 07/25/2004 (d) 982 980 Tennessee Valley Authority 7.130% due 05/01/2030 10,000 10,250 ------- Total U.S. Government Agencies 55,961 (Cost $55,225) ======= -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 73.3% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (b) 3.630% due 07/15/2002 (f) 17,215 17,209 U.S. Treasury Bonds 11.250% due 02/15/2015 (c) 15,000 22,298 9.880% due 11/15/2015 3,100 4,239 8.750% due 08/15/2020 (c) 15,200 19,746 7.130% due 02/15/2023 12,000 13,481 6.000% due 02/15/2026 (c) 25,900 25,665 6.130% due 11/15/2027 42,600 42,959 5.500% due 08/15/2028 21,000 19,497 6.250% due 05/15/2030 3,900 4,101 U.S. Treasury Notes 6.750% due 05/15/2005 49,000 50,776 U.S. Treasury Strips 0.000% due 08/15/2003 11,200 9,452 0.000% due 05/15/2004 2,100 1,700 0.000% due 05/15/2006 13,400 9,591 0.000% due 05/15/2013 4,200 1,956 0.000% due 02/15/2019 8,600 2,817 0.000% due 05/15/2020 84,800 25,789 ------- Total U.S. Treasury Obligations 271,276 (Cost $270,207) ======= -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 70.8% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 27.8% Bear Stearns Mortgage Securities, Inc. 7.100% due 06/25/2024 $ 385 $ 365 6.350% due 08/25/2024 650 647 7.170% due 06/25/2030 919 907 California Federal Bank 6.680% due 08/25/2030 (d) 640 635 Chase Mortgage Finance Corp. 6.320% due 04/25/2025 (d) 2,031 2,052 CMC Securities Corp. 6.000% due 02/25/2009 165 164 6.150% due 05/25/2028 (d) 215 215 Countrywide Funding Corp. 6.500% due 01/25/2009 837 832 Federal Home Loan Mortgage Corp. 7.000% due 07/01/2002 1,009 1,007 7.500% due 06/01/2004 40 41 7.500% due 07/01/2004 592 599 7.500% due 08/01/2004 70 71 7.500% due 09/01/2004 158 160 9.500% due 01/15/2005 27 28 5.500% due 05/15/2007 11 11 8.000% due 02/15/2015 425 431 4.250% due 12/15/2021 493 463 7.000% due 07/15/2022 1,109 1,082 7.000% due 05/15/2023 270 253 7.000% due 08/15/2023 336 304 6.250% due 09/15/2023 5,000 4,751 7.000% due 09/15/2023 815 769 6.850% due 10/25/2023 1,497 1,464 6.500% due 11/15/2023 151 133 6.000% due 11/15/2023 978 848 6.500% due 11/15/2023 802 706 6.500% due 11/25/2023 635 549 6.500% due 12/15/2023 1,050 951 7.000% due 01/15/2024 100 92 7.500% due 01/20/2024 1,928 1,931 6.500% due 02/15/2024 196 172 6.500% due 03/15/2024 1,165 1,036 6.000% due 10/15/2024 2,425 2,393 6.500% due 12/15/2024 2,830 2,808 8.000% due 12/15/2024 1,000 1,010 7.500% due 02/15/2025 1,810 1,820 6.500% due 03/15/2029 262 194 6.000% due 05/15/2029 108 87 Federal National Mortgage Assn. 7.500% due 02/01/2004 386 391 7.500% due 03/01/2004 222 224 7.500% due 04/01/2004 247 250 7.500% due 05/01/2004 392 396 7.500% due 06/01/2004 410 415 7.500% due 07/01/2004 518 523 7.500% due 08/01/2004 967 978 7.500% due 09/01/2004 196 198 7.500% due 10/01/2004 192 194 5.750% due 06/25/2006 6 6 5.600% due 07/25/2006 12 12 6.250% due 12/25/2013 79 74 7.220% due 10/25/2017 (d) 3,266 3,265 7.000% due 02/25/2020 1,871 1,864 6.950% due 07/25/2020 1,449 1,431 6.750% due 06/25/2021 3,275 262 8.000% due 03/25/2022 7 7 7.000% due 04/25/2022 879 817 7.000% due 06/25/2022 421 388 7.800% due 10/25/2022 448 448 7.000% due 10/25/2022 1,639 1,516 7.000% due 05/25/2023 1,403 1,304 6.900% due 05/25/2023 658 588 7.000% due 06/25/2023 564 529 6.000% due 08/25/2023 141 120 6.500% due 08/25/2023 812 712 4.500% due 10/25/2023 224 119 2000 Semi-Annual Report See accompanying notes 117 Schedule of Investments (Cont.) Long-Term U.S. Government Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- 6.500% due 11/25/2023 $ 2,000 $ 1,842 6.500% due 12/25/2023 288 250 7.000% due 12/25/2023 1,602 1,450 6.500% due 12/25/2023 3,562 2,991 6.500% due 01/25/2024 210 184 6.500% due 02/25/2024 305 264 6.000% due 05/17/2027 2,500 2,174 7.000% due 05/18/2027 1,600 1,436 9.000% due 06/01/2027 1,506 1,568 6.890% due 02/01/2028 (d) 431 443 First Boston Mortgage Securities Corp. 7.300% due 07/25/2023 1,485 1,349 General Electric Capital Mortgage Services, Inc. 9.000% due 10/25/2023 267 270 6.500% due 11/25/2023 3,000 2,729 6.500% due 01/25/2024 4,614 3,727 6.500% due 03/25/2024 904 836 7.000% due 10/25/2027 689 685 6.650% due 05/25/2028 5,330 5,277 German American Capital Corp. 7.000% due 08/12/2010 3,000 2,949 Government National Mortgage Assn. 7.000% due 03/16/2029 278 227 Independent National Mortgage Corp. 9.070% due 01/25/2025 (d) 54 55 6.930% due 05/25/2026 612 608 Mellon Residential Funding Corp. 6.460% due 07/25/2029 1,243 1,238 Merrill Lynch Mortgage Investors, Inc. 6.050% due 10/15/2008 2,578 2,483 6.210% due 03/20/2017 523 521 Norwest Asset Securities Corp. 6.750% due 10/25/2028 979 925 PNC Mortgage Securities Corp. 7.500% due 01/25/2015 1,533 1,474 7.500% due 02/25/2027 1,764 1,765 6.750% due 04/25/2028 3,000 2,924 Prudential Home Mortgage Securities 7.630% due 02/25/2023 36 36 6.950% due 09/25/2023 70 57 6.500% due 11/25/2023 102 92 6.500% due 01/25/2024 1,447 1,236 8.000% due 06/25/2024 746 752 Residential Accredit Loans, Inc. 7.000% due 02/25/2028 2,000 1,932 Residential Funding Mortgage Securities, Inc. 8.950% due 03/25/2025 (d) 65 66 7.750% due 09/25/2026 1,100 1,096 7.500% due 04/25/2027 1,913 1,895 Resolution Trust Corp. 6.730% due 05/25/2029 (d) 732 724 7.690% due 09/25/2029 1,334 1,336 Vendee Mortgage Trust 6.500% due 06/15/2024 2,237 1,914 ----------- 102,792 =========== Federal Home Loan Mortgage Corporation 7.2% 6.250% due 12/15/2023 512 454 6.360% due 01/01/2028 (d) 2,674 2,654 6.500% due 11/15/2023-01/15/2028 (h) 10,269 8,879 6.760% due 09/01/2027 (d) 3,557 3,489 6.930% due 01/01/2028 (d) 1,655 1,631 7.320% due 02/01/2028 (d) 1,870 1,860 7.500% due 10/01/2004 1,961 1,963 7.780% due 05/01/2022 (d) 100 103 7.930% due 10/01/2026 (d) 822 837 8.000% due 05/01/2004 3,550 3,578 8.350% due 06/01/2022 (d) 58 60 8.590% due 12/01/2024 (d) 1,321 1,363 ----------- 26,871 =========== Federal Housing Administration 8.3% 6.900% due 07/01/2020 3,656 3,517 7.000% due 11/25/2019 4,539 4,554 7.400% due 12/18/2018 1,559 1,544 7.420% due 11/01/2019 119 117 7.430% due 08/01/2019-06/01/2024 (h) 19,320 19,262 7.450% due 03/25/2022 1,666 1,667 ----------- 30,661 =========== Federal National Mortgage Association 10.2% 6.500% due 05/01/2003-01/25/2024 (h) 4,620 4,483 6.630% due 12/01/2027 (d) 2,325 2,314 7.000% due 03/01/2004-07/25/2023 (h) 15,691 15,697 7.380% due 01/01/2026 (d) 980 985 7.460% due 10/01/2024 (d) 1,705 1,722 7.480% due 05/01/2025 (d) 1,505 1,515 7.710% due 04/01/2028 (d) 2,494 2,536 7.920% due 11/01/2023 (d) 2,653 2,712 8.250% due 08/01/2026 (d) 183 186 8.440% due 08/01/2026 (d) 516 531 8.500% due 04/01/2028 1,556 1,601 8.760% due 10/01/2024 (d) 91 93 9.000% due 07/01/2005-08/01/2021 (h) 3,606 3,580 ----------- 37,955 =========== Government National Mortgage Association 14.2% 6.500% due 05/20/2030 (d) 16,000 15,916 6.630% due 12/15/2000-02/15/2040 (h) 1,895 1,894 6.750% due 09/20/2017-09/20/2026 (d)(h) 7,182 7,250 6.800% due 09/15/2001-10/15/2040 (h) 2,000 1,968 7.000% due 05/15/2002-10/15/2040 (d)(h) 7,894 7,889 7.130% due 12/20/2017-10/20/2027 (d)(h) 3,382 3,407 7.380% due 02/20/2017-01/20/2028 (d)(h) 14,253 14,362 ----------- 52,686 =========== Other Mortgage-Backed Securities 2.0% Countrywide Funding Corp. 7.000% due 05/25/2024 8,000 7,324 ----------- 7,324 =========== Stripped Mortgage-Backed Securities 1.1% Federal Home Loan Mortgage Corp. (IO) 7.000% due 03/15/2003 928 75 6.500% due 11/15/2003 1,596 152 7.000% due 02/15/2006 47 1 6.500% due 08/15/2006 22 0 6.500% due 10/15/2006 114 7 6.500% due 11/15/2006 46 0 8.190% due 02/15/2007 4 60 7.500% due 06/15/2007 290 29 6.500% due 10/15/2007 857 63 6.000% due 10/15/2007 79 5 6.500% due 11/15/2008 722 108 7.000% due 12/15/2023 1,599 218 Federal National Mortgage Association (IO) 11.880% due 08/25/2006 4 30 6.500% due 02/25/2007 63 3 6.500% due 07/25/2007 535 23 11.980% due 08/25/2007 6 151 10.150% due 09/25/2007 3 76 6.500% due 08/25/2020 153 11 6.500% due 09/25/2021 404 44 7.000% due 12/25/2021 156 21 Federal National Mortgage Association (PO) 0.000% due 03/25/2009 2,944 2,035 0.000% due 09/25/2023 1,509 811 First Plus Home Loan Trust (IO) 6.000% due 10/10/2000 1,200 8 Norwest Asset Securities Corp. (IO) 7.250% due 02/25/2012 957 133 ----------- 4,064 ----------- Total Mortgage-Backed Securities 262,353 (Cost $266,277) =========== 118 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 3.8% -------------------------------------------------------------------------------- Chase Credit Card Master Trust 6.780% due 05/15/2007 $ 1,320 $ 1,324 Chase Manhattan Corp. 6.750% due 08/25/2028 1,850 1,676 Discover Card Trust 6.790% due 04/16/2010 1,117 1,109 Green Tree Floorplan Receivables Master Trust 6.970% due 11/15/2004 (d) 3,000 3,006 Norwest Asset Securities Corp. 6.750% due 07/25/2028 3,000 2,744 Residential Funding Mortgage Securities, Inc. 6.290% due 07/25/2013 1,617 1,606 SMS Student Loan Trust 6.110% due 10/27/2025 (d) 2,000 1,958 Student Loan Marketing Assn. 6.700% due 01/25/2007 (d) 584 584 ------- Total Asset-Backed Securities 14,007 (Cost $14,337) ======= -------------------------------------------------------------------------------- PURCHASED PUT OPTIONS 0.0% -------------------------------------------------------------------------------- U.S. Treasury Note December Futures (CBOT) Strike @ 94.00 Exp. 11/18/2000 1,100 0 Strike @ 91.00 Exp. 11/18/2000 165,000 26 ------- Total Purchased Put Options 26 (Cost $35) ======= -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 7.4% -------------------------------------------------------------------------------- Commercial Paper 6.1% Conagra, Inc. 6.680% due 10/27/2000 2,300 2,289 6.670% due 11/15/2000 2,400 2,380 6.670% due 11/16/2000 2,900 2,876 Dominion Resources, Inc. 6.710% due 11/09/2000 1,000 993 Edison Midwest 6.700% due 11/08/2000 1,300 1,291 GE Capital Corp. 6.520% due 01/19/2001 1,600 1,569 Ingersoll-Rand Co. 6.700% due 11/01/2000 1,900 1,889 International Paper Co. 6.720% due 11/17/2000 500 496 Verizon Global Funding 6.470% due 12/04/2000 2,900 2,866 6.460% due 12/05/2000 5,000 4,940 6.460% due 12/07/2000 900 889 ------- 22,478 ======= Repurchase Agreements 1.1% State Street Bank 5.850% due 10/02/2000 3,984 3,984 ------- (Dated 9/29/2000. Collateralized by Federal Home Loan Mortgage Corp. 7.050% due 09/19/2003 valued at $4,065. Repurchase proceeds are $3,986.) U.S. Treasury Bills (b) 0.2% 6.010% due 02/01/2001 870 851 --------- Total Short-Term Instruments 27,313 (Cost $27,318) ========= Total Investments (a) 176.3% $ 652,870 (Cost $655,397) Written Options (c) (0.0%) (1) (Premiums $7) Other Assets and Liabilities (Net)(76.3%) (282,641) --------- Net Assets 100.0% $ 370,228 ========= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 4,012 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (6,539) --------- Unrealized depreciation-net $ (2,527) ========= (b) Principal amount of the security is adjusted for inflation. (c) Subject to a financing transaction. (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Premiums received on written options: # of Type Contracts Premium Value --------------------------------------------------------------------- Call - CBOT U.S. Treasury Bond December Futures Strike @ 106.00 Exp. 11/18/2000 50 $ 7 $ 1 ------ ------ (f) Securities with an aggregate market value of $18,060 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: Unrealized # of Appreciation/ Type Contracts (Depreciation) --------------------------------------------------------------------- U.S. Treasury 10 Year Note (12/2000) 132 $ (10) U.S. Treasury 30 Year Note (12/2000) 403 63 Municipal Bond (12/2000) 54 (68) ------------- $ (15) ============= (g) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount Depreciation --------------------------------------------------------------------- Receive a fixed rate equal to 8.000% and pay floating rate equal to 3-month LIBOR. Broker: J.P. Morgan Exp. 09/15/2010 $ 21,500 $ 1,259 Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 8.000%. Broker: Goldman Sachs Exp. 09/15/2010 5,000 (282) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 8.000%. Broker: Morgan Stanley Exp. 09/15/2010 1,500 (61) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 8.000%. Broker: Goldman Sachs Exp. 09/15/2010 2,000 (72) 2000 Semi-Annual Report See accompanying notes 119 Schedule of Investments (Cont.) Long-Term U.S. Government Fund September 30, 2000 (Unaudited) -------------------------------------------------------------------------------- Unrealized Notional Appreciation/ Type Amount Depreciation -------------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 8.000%. Broker: Morgan Stanley Exp. 09/15/2010 $ 2,500 $ (74) Receive fixed rate equal to 8.000% and pay floating rate based on 3-month LIBOR. Broker: Lehman Brothers Exp. 09/15/2010 2,500 94 Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 7.000%. Broker: Morgan Stanley Exp. 09/15/2010 2,500 (50) Receive a fixed rate equal to 7.317% and pay floating rate based on 3-month LIBOR. Broker: Morgan Stanley Exp. 11/15/2003 21,250 279 Receive fixed rate equal to 0.230% and the Fund will pay to the counterparty at par in the event of default of Associates Corp. 6.000% due 04/15/2003. Broker: Warburg Dillon Read LLC Exp. 01/14/2003 3,000 0 Receive fixed rate equal to 0.650% and the Fund will pay to the counterparty at par in the event of default of Philip Morris Co. 7.200% due 02/01/2007. Broker: Goldman Sachs Exp. 12/22/2000 3,000 0 Receive fixed rate equal to 0.250% and the Fund will pay to the counterparty at par in the event of default of Pacific Gas & Electric Corp. 6.550% due 12/08/2005. Broker: J.P. Morgan Exp. 05/23/2003 3,000 0 -------------- $ 1,093 ============== Fixed Rate Notional Unrealized Type (%) Amount Appreciation -------------------------------------------------------------------------------- Receive the 30-year Swap Spread and pay a fixed spread. The 30-year Swap Spread is the difference between the 30-year Swap Rate and the 30-year Treasury Rate. Broker: Goldman Sachs Exp. 02/15/2005 1.0850 $ 9,500 $ 9 Broker: Goldman Sachs Exp. 02/16/2005 1.1120 24,400 (2) Receive the 5-year Swap Spread and pay a fixed spread. The 5-year Swap Spread is the difference between the 5-year Swap Rate and the 5-year Treasury Rate. Broker: Lehman Brothers Exp. 04/10/2005 0.9500 27,000 (19) Receive On-The-Run 10-year Swap Spread and pay a fixed spread. The On-The-Run 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Bank of America Exp. 06/17/2002 1.3100 53,750 (510) Receive the 10-year Swap Spread and pay a fixed spread. The 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Morgan Stanley Exp. 06/29/2015 1.3367 30,000 (325) Receive a fixed spread and pay On-The-Run 10-year Swap Spread. The On-The-Run 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Bank of America Exp. 06/15/2001 1.3200 50,000 500 Broker: Morgan Stanley Exp. 07/29/2011 1.3000 50,000 450 Receive On-The-Run 2-year Swap Spread and pay a fixed spread. The On-The-Run 2-year Swap Spread is the difference between the 2-year Swap Rate and the 2-year Treasury Rate. Broker: Bank of America Exp. 07/19/2001 0.9250 25,000 (212) ------- $ (109) ======= (h) Securities are grouped by coupon or range of coupons and represent a range of maturities. 120 PIMCO Funds See accompanying notes Schedule of Investments Investment Grade Corporate Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 86.5% -------------------------------------------------------------------------------- Banking & Finance 27.8% Associates Corp. of North America 6.875% due 11/15/2008 $ 100 $ 98 Bank One Corp. 6.000% due 02/17/2009 100 91 Chase Manhattan Corp. 6.500% due 01/15/2009 100 95 CIT Group, Inc. 5.500% due 02/15/2004 100 95 First Union National Bank 7.875% due 02/15/2010 100 101 GATX Capital Corp. 7.713% due 08/01/2002 (d) 100 100 General Electric Global Insurance Holdings Corp. 7.750% due 06/15/2030 100 101 Goldman Sachs Group 6.500% due 02/25/2009 100 93 J.P. Morgan & Co. 6.875% due 01/15/2007 100 98 Morgan Stanley, Dean Witter, Discover and Co. 6.560% due 04/22/2004 (d) 100 100 PP&L Capital Funding, Inc. 7.750% due 04/15/2005 100 101 Republic New York Corp. 6.653% due 08/07/2002 (d) 100 99 Royal Bank of Scotland PLC 9.118% due 03/31/2049 110 116 Wachovia Corp. 6.375% due 02/01/2009 100 94 Wells Fargo & Co. 6.250% due 04/15/2008 100 93 -------- 1,475 ======== Industrials 49.1% Abitibi-Consolidated, Inc. 8.300% due 08/01/2005 100 102 Columbia/HCA Healthcare 8.160% due 09/19/2002 (d) 100 100 Comcast Cable Communications 6.200% due 11/15/2008 100 93 Comcast Corp. 10.250% due 10/15/2001 28 29 Cox Communications, Inc. 7.000% due 08/15/2001 140 139 Delta Air Lines, Inc. 10.500% due 04/30/2016 200 220 Ford Motor Co. 7.450% due 07/16/2031 100 93 Gulf Canada Resources Ltd. 8.350% due 08/01/2006 35 35 Harrahs Operating Co., Inc. 7.500% due 01/15/2009 100 94 International Paper Co. 7.000% due 06/01/2001 100 100 Kroger Co. 6.340% due 06/01/2001 100 99 MGM Grand, Inc. 6.950% due 02/01/2005 240 231 Mirage Resorts, Inc. 6.625% due 02/01/2005 100 95 Northwest Airlines, Inc. 8.520% due 04/07/2004 200 195 Park Place Entertainment Corp. 7.950% due 08/01/2003 150 150 RJ Reynolds Tobacco Holdings, Inc. 7.625% due 09/15/2003 100 94 Staples, Inc. 7.670% due 11/26/2001 (d) 100 100 Starwood Hotels & Resorts 6.750% due 11/15/2005 100 94 Tenet Healthcare Corp. 7.875% due 01/15/2003 120 120 Turner Broadcasting System, Inc. 7.400% due 02/01/2004 115 116 US Airways, Inc. 8.020% due 02/05/2019 100 102 Waste Management, Inc. 7.700% due 10/01/2002 100 99 WorldCom, Inc. 7.550% due 04/01/2004 100 101 -------- 2,601 ======== Utilities 9.6% AT&T Corp. 12.000% due 08/15/2007 100 112 CMS Panhandle Holding Co. 6.125% due 03/15/2004 100 96 Dominion Resources, Inc. 8.125% due 06/15/2010 100 104 Niagara Mohawk Power 7.625% due 10/01/2005 76 76 Texas Utilities Co. 5.940% due 10/15/2001 125 123 -------- 511 -------- Total Corporate Bonds & Notes 4,587 (Cost $4,468) ======== -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 4.1% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (c) 3.625% due 07/15/2002 (b) 216 215 -------- Total U.S. Treasury Obligations 215 (Cost $216) ======== -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 4.5% -------------------------------------------------------------------------------- Conseco Finance Securitizations Corp. 8.850% due 12/01/2031 130 137 United Air Lines Equipment Trust 10.125% due 03/22/2015 100 104 -------- Total Asset-Backed Securities 241 (Cost $233) ======== -------------------------------------------------------------------------------- SOVEREIGN ISSUES 2.0% -------------------------------------------------------------------------------- United Mexican States 9.750% due 04/06/2005 100 106 -------- Total Sovereign Issues 106 (Cost $103) ======== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 1.0% -------------------------------------------------------------------------------- Repurchase Agreement 1.0% State Street Bank 5.850% due 10/02/2000 52 52 (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 6.500% due 08/15/2004 valued at $55. Repurchase proceeds are $52.) -------- Total Short-Term Instruments 52 (Cost $52) ======== Total Investments (a) 98.1% $ 5,201 (Cost $5,072) Other Assets and Liabilities (Net) 1.9% 99 -------- Net Assets 100.0% $ 5,300 ======== 2000 Semi-Annual Report See accompanying notes 121 Schedule of Investments (Cont.) Investment Grade Corporate Bond Fund September 30, 2000 (Unaudited) -------------------------------------------------------------------------------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 131 -------- Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (1) -------- Unrealized appreciation-net $ 130 ======== (b) Securities with an aggregate market value of $215 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: # of Unrealized Type Contracts Depreciation -------------------------------------------------------------------------------- U.S. Treasury 30 Year Note (12/2000) 8 $ (12) -------- (c) Principal amount of the security is adjusted for inflation. (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Buy EC 170 10/2000 $ (4) Buy 60 11/2000 0 -------- $ (4) ======== (f) Principal amount denoted in indicated currency: EC - Euro 122 PIMCO Funds See accompanying notes Schedule of Investments High Yield Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 75.8% -------------------------------------------------------------------------------- Banking & Finance 8.1% Americo Life, Inc. 9.250% due 06/01/2005 $ 250 $ 234 Amethyst Financial Co. Ltd. 11.750% due 10/29/2001 5,000 5,000 Arvin Capital 9.500% due 02/01/2027 19,000 17,561 Bay View Capital Corp. 9.130% due 08/15/2007 6,400 4,896 Beaver Valley Funding Corp. 8.630% due 06/01/2007 18,000 18,322 9.000% due 06/01/2017 15,235 15,737 DLJ Secured Loan Trust 10.130% due 07/07/2007 10,000 10,491 Forest City Enterprises 8.500% due 03/15/2008 13,400 12,931 Fuji Bank Ltd. 9.870% due 12/31/2049 (d) 9,800 9,599 General Motors Acceptance Corp. 6.840% due 04/29/2002 (d) 800 803 Golden State Holdings 6.750% due 08/01/2001 6,250 6,155 7.000% due 08/01/2003 3,705 3,546 7.130% due 08/01/2005 870 811 Host Marriott LP 8.380% due 02/15/2006 11,660 11,252 Imperial Credit Industries, Inc. 9.880% due 01/15/2007 200 91 Mercury Finance Co. 10.000% due 03/23/2001 21,100 20,573 11.160% due 03/23/2001 21,350 20,709 Presidential Life Insurance Corp. 7.880% due 02/15/2009 13,250 12,226 Reliance Group Holdings 9.000% due 11/15/2000 (e) 4,778 1,625 Sovereign Bancorp, Inc. 6.630% due 03/15/2001 (d) 14,450 14,297 Sumitomo Bank Treasury Co. 9.400% due 12/29/2049 (d) 29,600 29,126 Telewest Credit Link 10.880% due 02/07/2005 5,000 5,151 Trizec Finance Ltd. 10.880% due 10/15/2005 17,461 17,810 Willis Corroon Corp. 9.000% due 02/01/2009 10,700 9,924 ---------- 248,870 ========== Industrials 60.3% 360 Networks, Inc. 13.000% due 05/01/2008 7,150 6,542 Abbey Healthcare Group 9.500% due 11/01/2002 14,195 14,177 Adelphia Business Solution 12.250% due 09/01/2004 7,200 6,552 Advanced Lighting 8.000% due 03/15/2008 10,425 7,467 AEI Holding Co. 10.500% due 12/15/2005 11,380 1,764 Allied Waste Industries, Inc. 7.380% due 01/01/2004 15,100 14,118 7.630% due 01/01/2006 9,430 8,487 American Airlines 10.610% due 03/04/2010 650 737 American Media Operation, Inc. 10.250% due 05/01/2009 1,000 978 American Standard, Inc. 7.130% due 02/15/2003 200 197 7.380% due 04/15/2005 5,700 5,472 9.250% due 12/01/2016 2,778 2,792 Amerigas Partners LP 10.130% due 04/15/2007 3,000 3,011 AM-FM, Inc. 8.750% due 06/15/2007 5,650 5,777 8.000% due 11/01/2008 5,000 5,063 Amphenol Corp. 9.880% due 05/15/2007 6,795 6,965 Archibald Candy Corp. 10.250% due 07/01/2004 4,000 2,240 Arco Chemical Co. 9.380% due 12/15/2005 4,215 4,191 Ball Corp. 7.750% due 08/01/2006 8,100 7,918 8.250% due 08/01/2008 7,600 7,401 Beckman Instruments, Inc. 7.100% due 03/04/2003 6,431 6,271 7.450% due 03/04/2008 15,870 14,624 Benedek Communications Corp. 0.000% due 05/15/2006 (c) 1,500 1,320 Beverly Enterprises, Inc. 9.000% due 02/15/2006 18,075 17,081 Boyd Gaming Corp. 9.500% due 07/15/2007 2,000 1,880 British Sky Broadcasting PLC 7.300% due 10/15/2006 1,000 925 8.200% due 07/15/2009 4,000 3,790 Browning-Ferris Industries, Inc. 6.100% due 01/15/2003 (d) 4,100 3,848 7.880% due 03/15/2005 2,000 1,868 Building Materials Corp. 7.750% due 07/15/2005 13,656 8,945 8.630% due 12/15/2006 1,250 831 8.000% due 10/15/2007 1,276 798 8.000% due 12/01/2008 18,250 11,224 Cadmus Communications Corp. 9.750% due 06/01/2009 6,700 6,600 Call-Net Enterprises, Inc. 8.000% due 08/15/2008 8,450 4,014 Canadian Forest Oil Ltd. 8.750% due 09/15/2007 5,650 5,509 Century Communications Corp. 9.750% due 02/15/2002 650 650 0.000% due 03/15/2003 19,960 15,269 8.750% due 10/01/2007 3,800 3,420 CF Cable TV, Inc. 9.130% due 07/15/2007 9,000 9,685 Charter Communications Holding LLC 8.250% due 04/01/2007 13,750 12,530 10.000% due 04/01/2009 7,150 7,034 Clark R & M, Inc. 8.380% due 11/15/2007 3,000 2,430 Clearnet Communications 0.000% due 05/01/2009 (c) 6,000 4,785 Cliffs Drilling Co. 10.250% due 05/15/2003 750 773 Columbia/HCA Healthcare 6.130% due 12/15/2000 2,000 1,990 6.870% due 09/15/2003 1,300 1,247 6.910% due 06/15/2005 1,250 1,179 7.000% due 07/01/2007 3,350 3,110 8.360% due 04/15/2024 6,000 5,585 6.730% due 07/15/2045 5,000 4,797 Columbus McKinnon 8.500% due 04/01/2008 14,750 13,035 Consolidated Container 10.130% due 07/15/2009 8,150 8,201 Container Corp. of America 9.750% due 04/01/2003 1,000 1,010 11.250% due 05/01/2004 6,920 6,989 Continental Cablevision 9.500% due 08/01/2013 10,000 10,656 Cross Timbers Oil Co. 9.250% due 04/01/2007 1,440 1,440 Crown Castle International Corp. 13.250% due 11/15/2007 2,250 1,766 10.750% due 08/01/2011 4,000 4,130 Crown Cork & Seal Co. 7.130% due 09/01/2002 4,115 3,905 2000 Semi-Annual Report See accompanying notes 123 Schedule of Investments (Cont.) High Yield Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CSC Holdings, Inc. 9.250% due 11/01/2005 $ 1,000 $ 1,013 9.880% due 05/15/2006 850 873 7.880% due 12/15/2007 100 99 9.880% due 02/15/2013 3,100 3,193 9.880% due 04/01/2023 4,000 4,120 Cumberland Farms 10.500% due 10/01/2003 5,784 5,596 Dade International, Inc. 11.130% due 05/01/2006 500 133 Delta Air Lines, Inc. 10.790% due 03/26/2014 2,264 2,548 Diamond Cable Communication Co. 13.250% due 09/30/2004 (c) 1,500 1,575 0.000% due 12/15/2005 (c)(d) 10,000 9,450 10.750% due 02/15/2007 (c) 10,100 7,626 Dunlop Stand Aerospace Holdings 11.880% due 05/15/2009 3,900 3,944 Echostar Broadband Corp. 10.380% due 10/01/2007 2,000 2,000 Echostar Communications Corp. 9.250% due 02/01/2006 23,046 22,844 9.380% due 02/01/2009 11,000 10,835 Embotelladora Arica S.A. 9.880% due 03/15/2006 16,050 16,712 Emmis Communications Corp. 8.130% due 03/15/2009 200 191 Energis PLC 9.750% due 06/15/2009 7,500 7,425 Extended Stay America 9.150% due 03/15/2008 6,350 6,033 Extendicare Health Services 9.350% due 12/15/2007 2,050 1,210 EZ Communication, Inc. 9.750% due 12/01/2005 2,500 2,627 Fairpoint Communications, Inc. 9.500% due 05/01/2008 7,875 6,891 10.320% due 05/01/2008 (d) 4,500 4,247 12.500% due 05/01/2010 4,200 4,074 Federal-Mogul Corp. 7.500% due 07/01/2004 22,650 9,626 7.380% due 01/15/2006 150 59 7.750% due 07/01/2006 11,350 4,483 Ferrellgas Partners LP 9.380% due 06/15/2006 14,936 14,712 Fisher Scientific International 7.130% due 12/15/2005 13,750 12,237 9.000% due 02/01/2008 17,895 16,554 Flag Telecom Holding Ltd. 11.630% due 03/30/2010 19,200 16,512 Forest Oil Corp. 10.500% due 01/15/2006 3,585 3,710 Fox/Liberty Networks LLC 0.000% due 08/15/2007 (c) 9,750 8,312 Fred Meyer, Inc. 7.450% due 03/01/2008 400 387 Frontiervision L.P. 11.000% due 10/15/2006 2,000 2,005 Garden State Newspapers 8.750% due 10/01/2009 3,955 3,698 8.630% due 07/01/2011 3,900 3,656 Georgia Gulf Corp. 7.630% due 11/15/2005 1,250 1,217 Global Crossing Ltd. 6.000% due 10/15/2013 12,385 11,442 Golden Northwest Aluminum 12.000% due 12/15/2006 2,850 2,814 Gulf Canada Resources Ltd. 9.250% due 01/15/2004 10,975 11,151 9.630% due 07/01/2005 2,830 2,904 8.380% due 11/15/2005 4,000 4,020 Harrahs Operating Co., Inc. 7.880% due 12/15/2005 6,600 6,369 7.500% due 01/15/2009 20,675 19,507 HMH Properties, Inc. 7.880% due 08/01/2005 32,120 30,434 Hollinger International Publishing 8.630% due 03/15/2005 250 249 9.250% due 02/01/2006 4,600 4,629 9.250% due 03/15/2007 680 687 Holmes Products Corp. 9.880% due 11/15/2007 950 565 Horseshoe Gaming Holding 8.630% due 05/15/2009 17,750 17,484 HS Resources, Inc. 9.880% due 12/01/2003 3,650 3,687 9.250% due 11/15/2006 5,250 5,276 Huntsman Corp. 9.500% due 07/01/2007 12,700 10,223 Huntsman ICI Chemicals LLC 10.130% due 07/01/2009 5,400 5,326 Huntsman Polymers Corp. 11.750% due 12/01/2004 4,600 4,669 Impsat Corp. 12.380% due 06/15/2008 8,900 6,964 Intermedia Communications, Inc. 0.000% due 05/15/2006 (c) 25,535 24,386 International Game Technology 7.880% due 05/15/2004 14,800 14,541 8.380% due 05/15/2009 14,100 13,853 Isle of Capri Casinos, Inc. 8.750% due 04/15/2009 500 468 ISP Holdings, Inc. 9.750% due 02/15/2002 4,750 4,274 9.000% due 10/15/2003 24,570 23,587 ITT Corp. 6.250% due 11/15/2000 1,500 1,497 John Q. Hammons Hotels 8.880% due 02/15/2004 2,550 2,384 9.750% due 10/01/2005 200 191 Jones Intercable, Inc. 8.880% due 04/01/2007 5,060 5,309 Jupiters Ltd. 8.500% due 03/01/2006 12,800 12,352 K Mart Corp. 8.130% due 12/16/2003 300 281 12.350% due 01/01/2008 3,920 3,974 8.800% due 07/01/2010 1,144 1,078 9.350% due 01/02/2020 12,936 11,504 9.780% due 01/05/2020 9,575 7,828 Keebler Corp. 10.750% due 07/01/2006 6,000 6,354 KPNQWest BV 8.130% due 06/01/2009 27,600 25,530 L-3 Communications Corp. 10.380% due 05/01/2007 6,450 6,627 8.500% due 05/15/2008 400 374 Lear Corp. 8.250% due 02/01/2002 6,410 6,378 7.960% due 05/15/2005 3,125 2,979 Lenfest Communications 8.380% due 11/01/2005 10,650 11,179 10.500% due 06/15/2006 525 594 Level 3 Communications, Inc. 11.000% due 03/15/2008 5,500 5,280 9.130% due 05/01/2008 31,450 27,204 11.250% due 03/15/2010 1,000 960 Levi Strauss & Co. 6.800% due 11/01/2003 25,350 21,547 Leviathan Gas Corp. 10.380% due 06/01/2009 3,325 3,525 Lin Television Corp. 8.380% due 03/01/2008 9,300 8,882 Lyondell Chemical Co. 9.630% due 05/01/2007 15,435 15,107 Mail-Well Corp. 8.750% due 12/15/2008 20,930 18,314 124 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Mandalay Resort Group 6.750% due 07/15/2003 $ 19,750 $ 18,565 9.250% due 12/01/2005 6,100 6,070 6.450% due 02/01/2006 100 88 10.250% due 08/01/2007 250 258 9.500% due 08/01/2008 500 513 Mark IV Industries, Inc. 7.500% due 09/01/2007 6,730 5,260 Market Hub Partners 8.250% due 03/01/2008 11,580 11,783 Marsh Supermarkets, Inc. 8.880% due 08/01/2007 9,500 8,978 McLeodUSA, Inc. 0.000% due 03/01/2007 (c) 43,525 35,908 8.380% due 03/15/2008 5,100 4,487 9.500% due 11/01/2008 13,625 12,808 8.130% due 02/15/2009 4,837 4,196 Metromedia Fiber Network, Inc. 10.000% due 11/15/2008 14,645 13,766 10.000% due 12/15/2009 15,100 14,194 Metronet Communications 0.000% due 06/15/2008 (c) 16,475 13,460 MGM Grand, Inc. 6.950% due 02/01/2005 30,420 29,244 Mirage Resorts, Inc. 6.630% due 02/01/2005 3,500 3,328 7.250% due 10/15/2006 2,670 2,551 Newpark Resources, Inc. 8.630% due 12/15/2007 4,050 3,827 Nextel Communications, Inc. 9.380% due 11/15/2009 46,700 45,766 Nextel Partners, Inc. 0.000% due 02/01/2009 (c) 11,538 8,163 11.000% due 03/15/2010 200 202 Nextlink Communications, Inc. 9.630% due 10/01/2007 9,000 8,168 10.750% due 06/01/2009 2,425 2,255 10.500% due 12/01/2009 10,000 9,200 NL Industries, Inc. 11.750% due 10/15/2003 1,950 1,989 Nortek, Inc. 9.130% due 09/01/2007 500 475 8.880% due 08/01/2008 750 694 NTL, Inc. 12.750% due 04/15/2005 (c) 700 707 0.000% due 02/01/2006 (c) 20,600 19,570 11.500% due 10/01/2008 7,400 7,178 Octel Developments PLC 10.000% due 05/01/2006 900 851 Orion Network Systems, Inc. 0.000% due 01/15/2007 (c) 13,800 4,761 11.250% due 01/15/2007 14,625 7,678 Owens-Illinois, Inc. 7.850% due 05/15/2004 2,650 2,381 P&L Coal Holdings 8.880% due 05/15/2008 19,050 18,907 Packaging Corp. of America 9.630% due 04/01/2009 3,125 3,180 Park Place Entertainment Corp. 8.880% due 09/15/2008 6,000 5,993 Perry-Judd 10.630% due 12/15/2007 2,320 2,076 Petroleos Mexicanos 9.380% due 12/02/2008 8,000 8,240 PharMerica, Inc. 8.380% due 04/01/2008 15,650 11,503 Phar-Mor, Inc. 11.720% due 09/11/2002 5,905 3,757 Physician Sales and Service, Inc. 8.500% due 10/01/2007 9,250 8,371 Piedmont Aviation, Inc. 10.250% due 03/28/2005 571 559 9.900% due 11/08/2006 716 686 Pioneer National Resources 8.880% due 04/15/2005 20,100 20,573 8.250% due 08/15/2007 6,500 6,368 6.500% due 01/15/2008 6,950 6,157 Polymer Group, Inc. 9.000% due 07/01/2007 11,178 8,663 8.750% due 03/01/2008 10,950 8,705 Price Communications Wireless, Inc. 9.130% due 12/15/2006 8,075 8,196 Pride International, Inc. 9.380% due 05/01/2007 3,100 3,170 Primedia, Inc. 10.250% due 06/01/2004 4,000 4,020 8.500% due 02/01/2006 10,740 10,257 7.630% due 04/01/2008 8,250 7,508 R & B Falcon Corp. 6.500% due 04/15/2003 7,500 7,163 9.250% due 04/15/2005 4,525 4,248 R.H. Donnelly, Inc. 9.130% due 06/01/2008 6,725 6,624 Racers 8.380% due 10/01/2007 21,606 19,952 Renaissance Media Group 0.000% due 04/15/2008 (c) 21,250 14,981 Rogers Cablesystems Ltd. 10.000% due 03/15/2005 4,000 4,250 Rogers Cantel, Inc. 8.300% due 10/01/2007 4,316 4,294 8.800% due 10/01/2007 1,350 1,360 9.380% due 06/01/2008 23,550 24,492 Rural Cellular Corp. 9.630% due 05/15/2008 12,300 11,808 Safety-Kleen Services 9.250% due 06/01/2008 (e) 28,475 1,032 9.250% due 05/15/2009 (e) 14,000 508 Salem Communications 9.500% due 10/01/2007 1,400 1,379 Satelites Mexicanos 11.280% due 06/30/2004 (d) 7,875 5,473 SC International Services, Inc. 9.250% due 09/01/2007 19,450 19,061 Scotia Pacific Co. LLC 7.710% due 01/20/2014 (d) 180 118 Sequa Corp. 9.000% due 08/01/2009 7,550 7,456 Silgan Holdings, Inc. 9.000% due 06/01/2009 14,525 13,254 Smithfield Foods 7.630% due 02/15/2008 2,215 1,999 Smith's Food & Drug Centers, Inc. 8.640% due 07/02/2012 299 316 Station Casinos, Inc. 10.130% due 03/15/2006 2,000 2,010 9.750% due 04/15/2007 6,850 6,867 8.880% due 12/01/2008 800 775 9.880% due 07/01/2010 1,000 1,008 Sterling Chemicals, Inc. 12.380% due 07/15/2006 10,740 10,901 Stone Container Corp. 10.750% due 10/01/2002 12,346 12,577 11.500% due 10/01/2004 2,000 2,065 11.500% due 08/15/2006 4,850 5,020 TeleCorp PCS, Inc. 10.630% due 07/15/2010 1,125 1,142 Telewest Communications PLC 9.630% due 10/01/2006 11,250 10,519 0.000% due 10/01/2007 (c)(d) 10,949 10,538 11.250% due 11/01/2008 1,000 975 9.250% due 04/15/2009 (c) 19,330 10,390 9.880% due 02/01/2010 7,750 7,130 Tenet Healthcare Corp. 7.880% due 01/15/2003 1,000 998 8.630% due 12/01/2003 1,500 1,511 8.000% due 01/15/2005 7,095 7,033 8.630% due 01/15/2007 3,500 3,483 7.630% due 06/01/2008 20,090 19,111 2000 Semi-Annual Report See accompanying notes 125 Schedule of Investments (Cont.) High Yield Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Terra Industries 10.500% due 06/15/2005 $ 2,000 $ 1,265 TFM SA de CV 0.000% due 06/15/2009 (c) 8,250 6,249 Triad Hospitals, Inc. 11.000% due 05/15/2009 2,095 2,158 U.S. Air, Inc. 9.630% due 09/01/2003 16,403 15,924 9.330% due 01/01/2006 4,510 4,200 United Defense Industries, Inc. 8.750% due 11/15/2007 1,000 943 United Pan-Europe Communications NV 10.880% due 11/01/2007 11,500 10,062 0.000% due 02/01/2009 (c) 7,990 4,674 10.880% due 08/01/2009 13,800 11,799 Vectura Group, Inc. 10.250% due 06/30/2008 275 235 Vintage Petroleum, Inc. 9.000% due 12/15/2005 9,840 9,988 9.750% due 06/30/2009 6,350 6,636 Voicestream Wireless Holding Corp. 10.380% due 11/15/2009 4,000 4,340 Waste Management, Inc. 7.000% due 05/15/2005 650 618 Western Gas Resources, Inc. 10.000% due 06/15/2009 7,100 7,455 Westinghouse Air Brake 9.380% due 06/15/2005 3,685 3,574 Westpoint Stevens, Inc. 7.880% due 06/15/2008 3,220 2,415 Williams Communications Group, Inc. 7.180% due 11/15/2001 (d) 6,100 6,104 10.700% due 10/01/2007 4,500 4,219 10.880% due 10/01/2009 5,750 5,290 World Color Press, Inc. 8.380% due 11/15/2008 650 633 7.750% due 02/15/2009 1,750 1,634 Worldwide Fiber, Inc. 12.000% due 08/01/2009 7,250 6,489 Young Broadcasting, Inc. 9.000% due 01/15/2006 18,625 17,973 8.750% due 06/15/2007 160 152 ----------- 1,841,222 =========== Utilities 7.4% AES Corp. 10.250% due 07/15/2006 2,661 2,734 8.500% due 11/01/2007 7,800 7,488 9.500% due 06/01/2009 6,585 6,733 Alestra SA 12.130% due 05/15/2006 12,100 11,767 AT&T Corp. 10.630% due 11/01/2008 9,600 10,672 Azurix Corp. 10.380% due 02/15/2007 16,600 15,687 Calpine Corp. 9.250% due 02/01/2004 13,000 13,017 15.000% due 03/15/2004 10,000 10,759 7.630% due 04/15/2006 4,500 4,389 8.750% due 07/15/2007 24,250 24,414 7.880% due 04/01/2008 7,287 7,012 7.750% due 04/15/2009 1,000 953 Carolina Power & Light Co. 7.230% due 07/29/2002 (d) 2,900 2,911 CMS Energy 8.130% due 05/15/2002 4,537 4,506 6.750% due 01/15/2004 750 704 7.000% due 01/15/2005 10,000 9,212 Flag Ltd. 8.250% due 01/30/2008 27,375 24,227 ITC Deltacom, Inc. 11.000% due 06/01/2007 5,385 4,873 8.880% due 03/01/2008 13,300 10,840 Mastec, Inc. 7.750% due 02/01/2008 7,250 6,924 North Atlantic Energy 9.050% due 06/01/2002 9 9 Philippine Long Distance Telephone Co. 10.500% due 04/15/2009 11,150 10,069 Qwest Communications International, Inc. 0.000% due 10/15/2007 (c) 13,040 11,424 0.000% due 02/01/2008 (c) 10,550 8,689 7.500% due 11/01/2008 7,500 7,481 Telekomunikacja Polska SA 7.750% due 12/10/2008 80 77 Wilmington Trust Co. - Tucson Electric 10.210% due 01/01/2009 (b) 500 500 10.730% due 01/01/2013 (b) 8,866 9,359 ----------- 227,430 ----------- Total Corporate Bonds & Notes 2,317,522 (Cost $2,532,215) =========== -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 2.3% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 1.8% Asset Securitization Corp. 7.380% due 08/13/2029 1,500 1,438 Federal Deposit Insurance Corp. 7.860% due 11/25/2026 (d) 400 400 LTC Commercial Corp. 7.970% due 04/15/2028 5,062 4,734 Red Mountain Funding Corp. 9.150% due 11/28/2027 5,727 3,901 Resolution Trust Corp. 6.900% due 02/25/2027 5,428 5,004 7.000% due 05/25/2027 5,734 5,641 Sasco Floating Rate Commercial Mortgage 7.170% due 04/25/2003 (d) 29,800 29,220 Structured Asset Securities Corp. 7.050% due 11/25/2007 4,000 3,837 ----------- 54,175 =========== Other Mortgage-Backed Securities 0.5% LTC Commercial Corp. 9.200% due 08/04/2012 3,235 3,300 NationsBanc Mortgage Capital Corp. 8.040% due 05/25/2028 (d) 3,835 2,732 Nationslink Funding Corp. 7.110% due 01/20/2013 10,500 8,150 ----------- 14,182 =========== Stripped Mortgage-Backed Securities 0.0% Federal National Mortgage Association (IO) 7.000% due 07/25/2008 2,190 278 6.500% due 06/25/2017 351 6 7.000% due 04/25/2019 10,367 640 7.000% due 12/25/2021 3,129 416 Fund America (IO) 9.590% due 10/20/2021 6 57 ----------- 1,397 ----------- Total Mortgage-Backed Securities 69,754 (Cost $70,505) =========== -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 6.3% -------------------------------------------------------------------------------- Airplanes Pass Through Trust 10.880% due 03/15/2019 28,515 23,211 Airtrust 6.340% due 06/01/2013 12,942 5,039 AM-FM, Inc. 12.750% due 02/01/2009 (c) 5,550 5,321 Bergen Brunswig Term Loan A 9.120% due 03/31/2005 1,141 1,138 9.190% due 03/31/2005 106 106 9.220% due 03/31/2005 3,423 3,415 9.330% due 03/31/2005 1,141 1,138 Charter Commercial Holdings LLC 9.240% due 03/31/2008 5,000 4,994 Columbia/HCA Healthcare 8.380% due 09/15/2001 7,500 7,444 126 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Conseco Finance 9.300% due 10/15/2030 $ 10,000 $ 10,344 Crown Castle 9.370% due 03/31/2008 3,000 3,010 Global Crossing Ltd. 9.440% due 08/15/2006 3,000 3,020 Green Tree Financial Corp. 8.000% due 07/15/2018 7,000 5,843 Huntsman Corp. 9.750% due 12/31/2005 3,000 2,976 Impress Metal Term Loan G 9.940% due 12/01/2006 2,500 2,520 Jefferson Smurfit 9.940% due 03/31/2006 1,512 1,516 Levi Strauss & Co. Term Loan 9.940% due 02/01/2002 282 277 9.890% due 02/01/2002 960 941 9.930% due 02/01/2002 3,562 3,491 McLeodUSA Loan Term B 9.620% due 05/26/2008 5,000 5,011 Morgan Stanley Aircraft Finance 8.700% due 03/15/2023 22,300 19,683 Primedia, Inc. 9.000% due 07/31/2004 5,000 4,991 Starwood Hotels & Resorts 9.370% due 02/23/2003 8,501 8,518 Stone Container Corp. 10.190% due 10/01/2003 11,204 11,242 10.190% due 10/01/2005 4,759 4,762 9.940% due 10/01/2005 4,377 4,389 Total Renal Care Revolver 9.880% due 03/31/2003 960 909 10.000% due 03/31/2003 4,506 4,393 10.130% due 03/31/2003 133 126 9.880% due 03/31/2003 1,697 1,607 Total Renal Care Term Loan A 9.880% due 03/31/2003 1,017 1,001 Triad Hospitals, Inc. 10.620% due 11/11/2005 (d) 6,882 6,917 Voicestream Term Loan A 9.410% due 12/31/2007 5,000 4,989 Voicestream Term Loan B 9.660% due 02/15/2009 7,500 7,482 Voicestream Vendor Facility 9.660% due 06/30/2009 21,000 20,843 ---------- Total Asset-Backed Securities 192,607 (Cost $202,066) ========== -------------------------------------------------------------------------------- SOVEREIGN ISSUES 0.8% -------------------------------------------------------------------------------- Republic of Brazil 7.380% due 04/15/2006 (d) 4,650 4,377 United Mexican States 8.500% due 02/01/2006 10,000 10,005 9.880% due 02/01/2010 10,000 10,655 ---------- Total Sovereign Issues 25,037 (Cost $24,295) ========== -------------------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 1.8% -------------------------------------------------------------------------------- Health Care 0.6% Tenet Healthcare Corp. 6.000% due 12/01/2005 3,250 2,714 Total Renal Care Holdings 7.000% due 05/15/2009 20,100 14,371 ---------- 17,085 ========== Industrial 1.2% Aes Drox Energy Ltd. 11.500% due 08/30/2010 3,000 3,188 Hercules Trust VI 9.230% due 12/29/2000 (d) 25,550 25,543 Hilton Hotels Corp. 5.000% due 05/15/2006 1,000 844 Pride International, Inc. 0.000% due 04/24/2018 11,750 5,523 Waste Management, Inc. 4.000% due 02/01/2002 (d) 2,500 2,334 ---------- 37,432 ---------- Total Convertible Bonds & Notes 54,517 (Cost $54,816) ========== -------------------------------------------------------------------------------- PREFERRED STOCK 3.0% -------------------------------------------------------------------------------- Shares CSC Holdings, Inc. 11.125% due 04/01/2008 199,314 21,177 Fresenius Medical Care 9.000% due 12/01/2006 29,995 29,920 7.875% due 02/01/2008 29,900 28,330 Newscorp Overseas Ltd. 8.625% due 12/31/2049 133,200 3,097 Primedia, Inc. 9.200% due 11/01/2009 70,000 6,248 8.625% due 04/01/2010 50,000 4,213 ---------- Total Preferred Stock 92,985 (Cost $98,374) ========== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 9.3% -------------------------------------------------------------------------------- Principal Amount (000s) Commercial Paper 9.2% American Electric Power, Inc. 6.700% due 11/01/2000 $ 5,300 5,270 Anz, Inc. 6.520% due 11/03/2000 1,500 1,491 6.480% due 11/07/2000 7,900 7,849 6.480% due 11/28/2000 4,200 4,153 AT&T Corp. 6.510% due 11/08/2000 25,600 25,428 6.530% due 11/15/2000 7,800 7,738 6.470% due 12/13/2000 2,100 2,072 6.510% due 12/13/2000 6,300 6,212 Bank One Corp. 6.500% due 11/15/2000 7,200 7,143 Bell Atlantic Financial Services 6.530% due 11/01/2000 6,300 6,266 Bellsouth Capital Funding 6.490% due 12/06/2000 11,700 11,549 CDC 6.530% due 10/18/2000 600 598 Cox Communications 6.730% due 11/06/2000 24,000 23,843 CSX Corp. 6.700% due 10/10/2000 13,500 13,480 Dominion Resources, Inc. 6.710% due 11/16/2000 4,400 4,363 Edison Midwest 6.720% due 11/01/2000 2,400 2,387 6.700% due 11/08/2000 5,000 4,966 6.730% due 11/15/2000 3,100 3,075 Federal Home Loan Bank 6.440% due 10/11/2000 2,800 2,795 Ford Motor Credit Corp. 6.550% due 10/18/2000 400 399 General Electric Capital Corp. 6.520% due 10/25/2000 1,300 1,295 6.470% due 12/14/2000 7,400 7,295 6.510% due 01/24/2001 500 489 Gillette Co. 6.460% due 12/12/2000 3,600 3,550 Houston Industries 6.800% due 11/08/2000 6,300 6,256 2000 Semi-Annual Report See accompanying notes 127 Schedule of Investments (Cont.) High Yield Fund September 30, 2000 (Unaudited)
Prinicipal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Infinity Broadcasting Corp. 6.700% due 11/15/2000 $ 1,100 $ 1,091 6.700% due 11/16/2000 5,600 5,553 6.700% due 11/17/2000 25,400 25,182 6.710% due 11/21/2000 6,100 6,043 Ingersoll-Rand Co. 6.700% due 11/15/2000 14,600 14,480 International Paper Co. 6.700% due 10/10/2000 4,600 4,593 6.720% due 11/17/2000 4,200 4,164 Nabisco, Inc. 6.700% due 10/18/2000 9,600 9,572 SBC Communications, Inc. 6.460% due 12/06/2000 2,200 2,173 Swedbank, Inc. 6.510% due 01/19/2001 17,900 17,532 Texas Utilities Co. 6.700% due 10/18/2000 7,300 7,278 Verizon Global Funding 6.460% due 12/07/2000 9,600 9,476 6.470% due 12/14/2000 3,300 3,252 Yorkshire Building Society 6.460% due 12/21/2000 12,300 12,109 ----------- 282,460 =========== Repurchase Agreements 0.1% State Street Bank 5.850% due 10/02/2000 2,762 2,762 (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 6.100% due 08/10/2001 valued at $2,822. Repurchase proceeds are $2,763.) ----------- Total Short-Term Instruments 285,222 (Cost $285,306) =========== Total Investments (a) 99.3% $ 3,037,644 (Cost $3,267,577) Other Assets and Liabilities (Net) 0.7% 21,880 ----------- Net Assets 100.0% $ 3,059,524 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 21,883 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (251,816) ----------- Unrealized depreciation-net $ (229,933) ===========
(b) Restricted security. (c) Security becomes interest bearing at a future date. (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Security is in default. 128 PIMCO Funds See accompanying notes Schedule of Investments Total Return Mortgage Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 0.3% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (e) 3.625% due 07/15/2002 $ 54 $ 54 -------- Total U.S. Treasury Obligations 54 (Cost $54) ======== -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 124.2% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 52.8% Chase Mortgage Finance Corp. 7.000% due 07/25/2024 607 603 7.000% due 12/25/2028 334 308 Countrywide Alternative Loan Trust 6.750% due 08/25/2028 95 93 Countrywide Home Loans 6.750% due 11/25/2027 38 38 DLJ Mortgage Acceptance Corp. 7.000% due 06/25/2028 138 130 Federal Home Loan Mortgage Corp. 6.000% due 06/15/2008 432 423 6.328% due 02/01/2018 (d) 172 168 4.500% due 03/15/2021 52 47 6.750% due 08/15/2021 1,000 986 3.500% due 12/15/2022 10 7 6.500% due 12/15/2023 46 42 6.500% due 03/15/2024 107 94 6.900% due 04/15/2026 1,035 1,022 8.000% due 06/15/2026 70 71 6.500% due 05/15/2027 73 66 7.000% due 01/15/2028 150 131 6.000% due 10/15/2028 153 131 Federal National Mortgage Assn. 6.900% due 08/25/2011 100 97 6.500% due 02/25/2019 1,044 1,035 7.750% due 08/25/2022 63 64 7.500% due 03/25/2023 96 94 7.625% due 04/25/2023 (d) 25 26 6.500% due 09/25/2023 36 32 6.750% due 09/25/2023 53 47 7.000% due 09/25/2023 16 15 6.500% due 10/25/2023 217 199 6.500% due 12/25/2023 170 143 7.100% due 12/25/2023 41 39 7.020% due 04/18/2028 (d) 124 124 General Electric Capital Mortgage Services, Inc. 7.000% due 01/25/2028 100 92 6.750% due 06/25/2028 200 188 Government National Mortgage Assn. 7.500% due 12/20/2022 149 149 Norwest Asset Securities Corp. 6.250% due 01/25/2029 174 162 PNC Mortgage Securities Corp. 6.750% due 09/25/2028 1,099 1,036 Residential Accredit Loans, Inc. 7.000% due 01/25/2028 386 384 Superannuation Members Home Loans Global Fund 6.915% due 06/15/2026 (d) 300 300 Vendee Mortgage Trust 7.750% due 05/15/2022 38 38 -------- 8,624 ======== Federal Home Loan Mortgage Corporation 3.1% 5.500% due 02/01/2001 154 151 6.000% due 10/01/2024 150 142 7.000% due 02/01/2027 113 111 7.556% due 11/01/2028 (d) 107 109 -------- 513 ======== Federal National Mortgage Association 22.4% 5.805% due 10/01/2028 (d) 494 476 6.000% due 10/01/2099 700 654 6.483% due 11/01/2018 (d) 43 43 7.500% due 12/01/2099 2,000 1,995 7.519% due 05/01/2023 (d) 168 169 9.000% due 01/01/2020 304 317 -------- 3,654 ======== Government National Mortgage Association 44.9% 6.375% due 03/20/2027 (d) 9 9 6.750% due 07/20/2022-07/20/2025 (c)(d) 538 543 7.125% due 12/20/2021-11/20/2026 (c)(d) 392 395 7.375% due 03/20/2016-01/20/2027 (c)(d) 1,326 1,335 7.500% due 05/15/2027-08/15/2027 (c) 124 124 8.000% due 12/15/2099 4,450 4,529 8.500% due 12/31/2099 400 411 -------- 7,346 ======== Stripped Mortgage-Backed Securities 1.0% Federal National Mortgage Association (IO) 6.500% due 07/25/2007 59 3 Federal National Mortgage Association (PO) 0.000% due 07/25/2022 264 162 -------- 165 -------- Total Mortgage-Backed Securities 20,302 (Cost $20,119) ======== -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 2.8% -------------------------------------------------------------------------------- Bayview Financial Acquisition Trust 7.011% due 07/25/2030 (d) 197 197 MLCC Mortgage Investors, Inc. 6.998% due 03/15/2025 (d) 253 254 -------- Total Asset-Backed Securities 451 (Cost $450) ======== -------------------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 0.1% -------------------------------------------------------------------------------- Technology 0.1% Clear Channel Communications, Inc. 1.500% due 12/01/2002 10 9 -------- Total Convertible Bonds & Notes 9 (Cost $10) ======== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 18.8% -------------------------------------------------------------------------------- Commercial Paper 17.0% Alcoa, Inc. 6.450% due 12/21/2000 200 197 American Electric Power, Inc. 6.760% due 10/04/2000 400 400 AT&T Corp. 6.510% due 12/13/2000 200 197 Conagra, Inc. 6.670% due 10/04/2000 600 600 6.670% due 11/15/2000 300 298 Eastman Kodak Co. 6.460% due 12/04/2000 200 198 General Electric Capital Corp. 6.470% due 12/20/2000 200 197 Ingersoll-Rand Co. 6.690% due 10/04/2000 300 300 KFW International Finance 6.460% due 12/06/2000 300 297 Yorkshire Building Society 6.490% due 11/14/2000 100 99 -------- 2,783 ======== Repurchase Agreement 1.7% State Street Bank 5.850% due 10/02/2000 285 285 (Dated 9/29/2000. Collateralized by -------- Federal Home Loan Mortgage Corp. 7.050% due 09/19/2003 valued at $295. Repurchase proceeds are $285.) U.S. Treasury Bills (b) 0.1% 5.925% due 02/01/2001 10 10 -------- Total Short-Term Instruments 3,078 (Cost $3,077) ======== 2000 Semi-Annual Report See accompanying notes 129 Schedule of Investments (Cont.) Total Return Mortgage Fund September 30, 2000 (Unaudited) Value (000s) -------------------------------------------------------------------------------- Total Investments (a) 146.2% $ 23,894 (Cost $23,710) Other Assets and Liabilities (Net) (46.2%) (7,548) -------- Net Assets 100.0% $ 16,346 ======== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 229 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (45) -------- Unrealized appreciation-net $ 184 ======== (b) Securities with an aggregate market value of $10 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: # of Unrealized Type Contracts Appreciation -------------------------------------------------------------------------------- U.S. Treasury 10 Year Note (12/2000) 1 $ 0 -------- (c) Securities are grouped by coupon or range of coupons and represent a range of maturities. (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Principal amount of the security is adjusted for inflation. 130 PIMCO Funds See accompanying notes Schedule of Investments GNMA Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 2.7% Treasury Inflation Protected Securities (d) 3.625% due 07/15/2002 (e) $ 108 $ 108 3.625% due 01/15/2008 107 104 -------- Total U.S. Treasury Obligations 212 (Cost $213) ======== -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 92.6% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 69.8% ABN AMRO Mortgage Corp. 6.750% due 04/25/2029 221 161 Countrywide Home Loans 6.500% due 02/25/2009 338 336 Federal Home Loan Mortgage Corp. 6.750% due 03/15/2019 381 380 Federal Housing Administration 7.430% due 03/01/2022 164 165 8.130% due 09/01/2040 90 90 8.137% due 09/01/2040 385 385 Federal National Mortgage Assn. 7.000% due 05/25/2006 126 125 6.000% due 11/18/2017 158 156 6.500% due 02/25/2019 1,740 1,725 6.000% due 03/25/2020 1,179 1,167 6.500% due 09/25/2023 283 247 General Electric Capital Mortgage Services, Inc. 6.750% due 06/25/2028 50 47 Residential Accredit Loans, Inc. 7.000% due 01/25/2028 598 595 -------- 5,579 ======== Federal National Mortgage Association 0.8% 9.000% due 07/01/2018 65 67 -------- Government National Mortgage Association 22.0% 6.750% due 07/20/2018-08/20/2025 (b)(c) 321 325 7.125% due 12/20/2017 (b) 87 88 7.375% due 05/20/2016-02/20/2026 (b)(c) 1,200 1,212 11.250% due 07/20/2015 119 128 -------- 1,753 ======== Stripped Mortgage-Backed Securities 0.0% Federal Home Loan Mortgage Corp. (IO) 0.000% due 05/15/2010 139 1 -------- Total Mortgage-Backed Securities 7,400 (Cost $7,429) ======== -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 0.9% -------------------------------------------------------------------------------- CS First Boston Mortgage Securities Corp. 6.620% due 09/25/2009 59 58 The Money Store Home Equity Trust 6.345% due 11/15/2021 (b) 18 18 -------- Total Asset-Backed Securities 76 (Cost $76) ======== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 5.8% -------------------------------------------------------------------------------- Commercial Paper 2.5% Alcoa, Inc. 6.450% due 12/21/2000 200 197 -------- Repurchase Agreement 3.3% State Street Bank 5.850% due 10/02/2000 266 266 (Dated 9/29/2000. Collateralized by Federal Home Loan Mortgage Corp. 7.050% due 09/19/2003 valued at $275. Repurchase proceeds are $266.) -------- Total Short-Term Instruments 463 (Cost $463) ======== Total Investments (a) 102.0% $ 8,151 (Cost $8,181) Other Assets and Liabilities (Net) (2.0%) (161) -------- Net Assets 100.0% $ 7,990 ======== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 52 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (82) -------- Unrealized depreciation-net $ (30) ======== (b) Variable rate security. The rate listed is as of September 30, 2000. (c) Securities are grouped by coupon or range of coupons and represent a range of maturities. (d) Principal amount of the security is adjusted for inflation. (e) Subject to financing transaction. 2000 Semi-Annual Report See accompanying notes 131 Schedule of Investments Real Return Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 50.4% -------------------------------------------------------------------------------- Banking & Finance 29.8% Allied Irish Banks 7.030% due 09/07/2006 (d) $ 1,200 $ 1,205 Allstate Financial Global Funding 7.130% due 09/26/2005 2,500 2,501 Associates Corp. of North America 6.780% due 08/27/2001 (d) 1,500 1,504 6.960% due 05/08/2003 (d) 1,500 1,499 AT&T Capital Corp. 7.110% due 09/13/2001 (d) 500 501 7.010% due 04/23/2002 (d) 1,000 1,003 Bank One Corp. 6.900% due 09/26/2003 (d) 5,000 4,997 Bear Stearns Co., Inc. 7.090% due 08/01/2002 (d) 500 501 7.130% due 03/28/2003 (d) 6,000 6,000 7.050% due 09/21/2004 (d) 1,000 999 Chase Manhattan Corp. 6.960% due 12/10/2001 (d) 500 504 CIT Group, Inc. 6.750% due 05/14/2001 1,000 1,000 Citigroup, Inc. 6.710% due 09/17/2001 (d) 335 336 Dime Bancorp, Inc. 7.000% due 07/25/2001 4,225 4,206 Donaldson, Lufkin & Jenrette, Inc. 6.760% due 04/25/2003 (d) 7,500 7,497 DQE Capital Corp. 7.230% due 01/15/2002 (d) 1,000 1,000 Export-Import Bank Korea 6.500% due 11/15/2006 2,500 2,435 Finova Capital Corp. 7.340% due 11/08/2002 (d) 2,800 2,277 First Union Corp. 7.550% due 08/18/2005 10,000 10,129 Florida Windstorm 6.700% due 08/25/2004 500 494 Ford Motor Credit Corp. 6.990% due 07/16/2002 (d) 1,000 1,002 6.810% due 02/13/2003 (d) 350 350 6.950% due 06/20/2003 (d) 15,500 15,511 General Motors Acceptance Corp. 6.910% due 12/15/2000 (d) 1,500 1,500 6.920% due 07/20/2002 6,475 6,475 6.860% due 12/09/2002 (d) 2,000 2,002 Gold Eagle Capital Ltd. 9.000% due 04/15/2001 1,000 999 12.130% due 04/15/2001 2,440 2,440 Heller Financial, Inc. 7.060% due 02/05/2001 400 400 6.890% due 04/26/2002 (d) 250 250 6.500% due 07/22/2002 1,000 989 7.500% due 08/23/2002 5,700 5,739 6.970% due 04/28/2003 (d) 3,000 2,987 Household Finance Corp. 7.090% due 08/06/2002 (d) 2,000 2,006 J.P. Morgan & Co. 8.080% due 02/15/2012 3,470 3,002 Juno Reinsurance 10.370% due 06/26/2002 (d) 750 728 Korea Development Bank 5.890% due 03/01/2002 (d) 500 471 8.290% due 06/16/2003 (d) 500 490 Lehman Brothers Holdings, Inc. 9.880% due 10/15/2000 250 250 6.130% due 02/01/2001 2,600 2,592 7.680% due 04/02/2002 (d) 500 504 6.970% due 06/03/2002 (d) 2,500 2,498 7.530% due 07/15/2002 (d) 600 605 6.970% due 09/03/2002 (d) 2,000 1,999 MBNA America Bank NA 6.970% due 04/25/2002 (d) 500 499 Merrill Lynch & Co. 6.790% due 11/01/2001 (d) $ 3,000 $ 3,003 7.090% due 02/08/2002 (d) 400 401 6.920% due 02/04/2003 (d) 2,000 1,999 6.990% due 08/01/2003 (d) 4,000 4,002 Monumental Global Funding II 6.910% due 09/26/2003 (d) 2,000 2,000 Morgan Stanley, Dean Witter, Discover and Co. 6.840% due 12/17/2001 (d) 300 300 6.880% due 04/15/2002 (d) 1,000 1,001 6.890% due 02/21/2003 (d) 1,500 1,503 6.850% due 03/11/2003 (d) 2,000 1,997 National Westminster Bank 7.160% due 09/16/2002 (d) 3,500 3,514 NeHi, Inc. 11.310% due 06/09/2003 (d) 4,000 4,020 Old Kent Bank 7.460% due 11/01/2005 (d) 1,000 999 Pemex Finance Ltd. 6.130% due 11/15/2003 433 426 Protective Life Funding Trust 7.090% due 01/17/2003 (d) 1,000 999 Prudential Funding Corp. 6.960% due 10/18/2001 (d) 3,000 3,005 6.380% due 07/23/2006 2,000 1,901 PS Colorado Credit Corp. 7.480% due 05/30/2002 (d) 1,300 1,299 Qwest Capital Funding, Inc. 7.200% due 07/08/2002 (d) 1,000 1,001 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 2,797 2,764 6.960% due 04/28/2003 (d) 3,000 3,001 Seismic Ltd. 11.270% due 01/01/2002 (d) 2,500 2,500 Textron Financial Corp. 6.960% due 10/26/2001 (d) 2,500 2,505 7.030% due 09/17/2002 (d) 5,000 5,006 7.150% due 12/09/2002 (d) 4,000 4,001 Toyota Motor Credit Corp. 7.320% due 02/15/2002 (d) 400 393 -------- 160,416 ======== Industrials 11.0% AIC Corp. 6.150% due 10/02/2002 (d) 250 249 Alpha Wind 11.320% due 05/23/2001 (d) 1,500 1,500 Arrow Electronics, Inc. 7.440% due 11/24/2000 (d) 1,500 1,500 Atlas Air, Inc. 10.470% due 10/04/2004 (d) 4,400 4,400 Columbia/HCA Healthcare 8.160% due 09/19/2002 (d) 8,000 8,000 Cox Enterprises, Inc. 7.610% due 05/01/2033 (d) 2,000 1,999 DaimlerChrysler Holdings 7.000% due 08/16/2004 (d) 5,000 5,008 Delta Air Lines, Inc. 8.540% due 01/02/2007 3,932 4,042 Enron Corp. 7.110% due 09/10/2001 (d) 2,500 2,500 8.000% due 08/15/2005 3,000 3,046 Global Crossing Ltd. 6.000% due 10/15/2013 1,250 1,155 Packaging Corp. of America 8.630% due 06/20/2007 37 37 Petroleos Mexicanos 9.500% due 09/15/2027 4,750 4,904 Philip Morris Cos., Inc. 9.000% due 01/01/2001 1,000 1,002 7.250% due 09/15/2001 1,000 995 Raytheon Co. 5.950% due 03/15/2001 4,000 3,971 7.020% due 08/10/2001 (d) 1,600 1,601 Staples, Inc. 7.670% due 11/26/2001 (d) 2,000 2,000 132 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Tyco International Group SA 7.370% due 03/05/2001 (d) $ 2,000 $ 2,002 United Air Lines, Inc. 6.890% due 12/02/2002 (d) 1,189 1,182 Vodafone AirTouch PLC 6.860% due 12/19/2001 (d) 6,500 6,509 Waste Management, Inc. 7.100% due 08/01/2026 1,500 1,450 -------- 59,052 ======== Utilities 9.6% Coastal Corp. 7.330% due 07/21/2003 (d) 5,000 5,012 Commonwealth Edison Co. 7.160% due 09/30/2002 (d) 1,000 1,000 Deutsche Telekom AG 7.750% due 06/15/2005 10,000 10,247 Dominion Resources, Inc. 7.600% due 07/15/2003 5,000 5,054 Entergy Gulf States, Inc. 8.040% due 06/02/2003 (d) 2,500 2,502 Hawaiian Electric Industries, Inc. 7.780% due 04/15/2003 (d) 2,000 2,002 Hughes Electric 7.560% due 10/23/2000 3,500 3,501 Nabors Industries, Inc. 0.000% due 06/20/2020 5,000 3,488 National Rural Utilities Cooperative 6.880% due 05/31/2002 (d) 1,900 1,899 Oneok, Inc. 7.390% due 04/24/2002 (d) 2,000 2,002 Public Service Enterprise Group, Inc. 7.040% due 06/15/2001 500 500 Scana Corp. 7.210% due 02/08/2002 (d) 1,900 1,901 7.380% due 07/15/2002 (d) 3,900 3,905 Sierra Pacific Resources 7.390% due 04/20/2002 (d) 1,000 1,000 7.340% due 04/20/2003 (d) 2,000 2,001 Sprint Capital Corp. 6.970% due 11/15/2001 (d) 1,000 1,000 7.010% due 06/10/2002 (d) 3,000 3,001 Texas Utilities Co. 7.210% due 06/25/2001 (d) 1,300 1,299 7.590% due 09/24/2001 (d) 500 503 -------- 51,817 -------- Total Corporate Bonds & Notes 271,285 (Cost $270,393) ======== -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 1.0% -------------------------------------------------------------------------------- Florida 0.7% Tampa Florida Utility Tax & Special Revenue Bond, (AMBAC Insured), Series 2000 6.000% due 10/01/2004 3,580 3,701 -------- New Mexico 0.1% New Mexico Mortgage Finance Authorities Revenue Bonds, (GNMA, FNMA, FHLMC Insured), Series 1997 7.000% due 07/01/2006 350 351 -------- New York 0.0% New York City Municipal Bond, Series 1997 6.960% due 08/01/2002 (d) 76 76 -------- Ohio 0.2% Hamilton Ohio School Districts Gas Supply Revenue Bonds, Northern Ohio, (MBIA Insured), Series 1999 6.910% due 08/01/2001 1,500 1,504 -------- Total Municipal Bonds & Notes 5,632 (Cost $5,645) ======== -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 1.3% -------------------------------------------------------------------------------- Federal Farm Credit Bank 6.360% due 02/14/2002 (d) $ 600 $ 591 Federal Home Loan Bank 7.270% due 02/15/2002 (d) 2,485 2,454 Federal National Mortgage Association 7.860% due 03/13/2002 (d) 2,000 1,972 Student Loan Marketing Assn. 6.480% due 07/25/2004 (d) 70 70 6.830% due 10/25/2004 (d) 80 80 6.920% due 04/25/2006 (d) 1,505 1,499 6.700% due 01/25/2007 (d) 292 292 -------- Total U.S. Government Agencies 6,958 (Cost $6,943) ======== -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 129.6% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (c) 3.630% due 07/15/2002 (b)(h) 187,839 187,781 3.380% due 01/15/2007 (h) 145,100 140,340 3.630% due 01/15/2008 (h) 211,738 206,909 3.880% due 01/15/2009 (h) 43,253 42,902 4.250% due 01/15/2010 1,026 1,048 3.630% due 04/15/2028 (h) 54,101 51,431 3.880% due 04/15/2029 66,981 66,563 -------- Total U.S. Treasury Obligations 696,974 (Cost $694,182) ======== -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 0.9% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 0.6% Federal Home Loan Mortgage Corp. 7.000% due 07/15/2022 2,941 2,937 6.500% due 01/25/2028 100 91 Federal National Mortgage Association 7.060% due 10/25/2008 (d) 261 261 6.500% due 02/25/2029 121 86 -------- 3,375 ======== Federal Home Loan Mortgage Corporation 0.1% 7.430% due 12/01/2020-02/01/2023 (d)(i) 425 426 -------- Federal National Mortgage Association 0.1% 8.520% due 10/01/2024 (d) 412 423 -------- Other Mortgage-Backed Securities 0.1% CMC Securities Corp. 6.000% due 11/25/2008 532 529 -------- Total Mortgage-Backed Securities 4,753 (Cost $4,773) ======== -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 8.7% -------------------------------------------------------------------------------- Aesop Funding LLC 6.570% due 11/20/2006 14,000 14,000 AFC Home Equity Loan Trust 6.840% due 03/25/2027 (d) 201 201 American Residential Eagle Trust 6.960% due 07/25/2029 (d) 6,173 6,175 Asset Backed Securities Corp. Home Equity 6.990% due 06/21/2029 (d) 5,979 5,998 Conseco Finance 7.890% due 07/15/2018 2,000 2,035 8.170% due 12/15/2025 2,000 2,062 6.290% due 10/15/2030 809 809 Conseco Finance Home Loan Trust 8.880% due 06/15/2024 750 763 Contimortgage Home Equity Loan Trust 6.020% due 01/25/2014 101 100 EQCC Home Equity Loan Trust 6.870% due 03/20/2029 219 219 Huntsman Corp. 9.750% due 12/31/2005 1,000 992 IMC Home Equity Loan Trust 6.610% due 06/20/2013 124 124 2000 Semi-Annual Report See accompanying notes 133 Schedule of Investments (Cont.) Real Return Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- MMCA Automobile Trust 6.300% due 06/15/2002 $ 1,840 $ 1,840 Oakwood Mortgage Investors, Inc. 6.450% due 11/15/2027 359 358 Onyx Acceptance Auto Trust 6.590% due 09/15/2002 1,166 1,167 6.350% due 10/15/2003 395 394 Pacific Southwest Bank 6.060% due 06/15/2002 6 6 Premier Auto Trust 5.500% due 07/09/2001 26 26 Residential Funding Mortgage Securities, Inc. 10.930% due 06/01/2001 4,000 4,000 5.460% due 07/25/2029 43 43 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 268 267 Voicestream Vendor Facility 9.660% due 06/30/2009 5,000 4,963 WMC Mortgage Loan 6.830% due 03/20/2028 (d) 83 83 ----------- Total Asset-Backed Securities 46,625 (Cost $46,510) =========== -------------------------------------------------------------------------------- SOVEREIGN ISSUES 0.3% -------------------------------------------------------------------------------- Central Bank Philippines 7.940% due 06/01/2008 (d) 1,778 1,591 United Mexican States Recovery Rights 0.000% due 06/30/2003 3,025 0 ----------- Total Sovereign Issues 1,591 (Cost $1,616) =========== -------------------------------------------------------------------------------- FOREIGN CURRENCY-DENOMINATED ISSUES (c)(f) 1.6% -------------------------------------------------------------------------------- Caisse D'amort Dette Soc 3.800% due 07/25/2006 EC 5,070 4,490 Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 5,800 2,475 Kingdom of Sweden 0.000% due 04/01/2004 SK 7,427 718 Newcourt Credit Group 7.630% due 06/28/2001 C$ 500 335 United Mexican States 1.100% due 12/31/2019 (d) JY 70,000 635 ----------- Total Foreign Currency-Denominated Issues 8,653 (Cost $9,324) =========== -------------------------------------------------------------------------------- PURCHASED PUT OPTIONS 0.0% -------------------------------------------------------------------------------- U.S. Treasury Inflation Protected Securities (OTC) Strike @ 96.50 Exp. 01/29/2001 $ 100,000 0 ----------- Total Purchased Put Options 0 (Cost $33) =========== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 14.0% -------------------------------------------------------------------------------- Commercial Paper 11.0% Alcoa, Inc. 6.450% due 12/21/2000 2,100 2,069 Cba (de) Finance 6.460% due 12/14/2000 500 493 Cox Communications 6.730% due 11/06/2000 2,000 1,987 CSX Corp. 6.710% due 12/14/2000 1,200 1,198 DaimlerChrysler AG 6.460% due 12/19/2000 200 197 Dominion Resources, Inc. 6.710% due 11/06/2000 4,000 3,974 6.710% due 11/16/2000 4,000 3,966 Edison Midwest 6.740% due 11/08/2000 8,300 8,243 Federal Home Loan Mortgage Corp. 6.440% due 10/12/2000 7,000 6,987 Gannett Co. 6.490% due 11/20/2000 1,000 991 Ingersoll-Rand Co. 6.700% due 11/08/2000 13,000 12,910 International Paper Co. 6.700% due 11/01/2000 8,800 8,751 Motorola, Inc. 6.480% due 12/26/2000 7,000 6,889 Texas Utilities Co. 6.700% due 10/18/2000 500 499 ----------- 59,154 =========== Repurchase Agreements 3.0% State Street Bank 5.850% due 10/02/2000 16,142 16,142 (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 7.050% due 02/28/2002 valued at $16,467. Repurchase proceeds are $16,150.) ----------- Total Short-Term Instruments 75,296 (Cost $75,301) =========== Total Investments (a) 207.8% $ 1,117,767 (Cost $1,114,720) Other Assets and Liabilities (Net) (107.8%) (579,822) ----------- Net Assets 100.0% $ 537,945 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 4,706 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (1,659) ----------- Unrealized appreciation-net $ 3,047 =========== (b) Securities with an aggregate market value of $862 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: # of Unrealized Type Contracts Appreciation -------------------------------------------------------------------------------- U.S. Treasury 10 Year Note (12/2000) 200 $ 101 EuroBond 10 Year Note Written Put Options (11/2000) 121 44 ----------- $ 145 =========== (c) Principal amount of the security is adjusted for inflation. (d) Variable rate security. The rate listed is as of September 30, 2000. 134 PIMCO Funds See accompanying notes -------------------------------------------------------------------------------- (e) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Sell C$ 560 10/2000 $ 5 Sell EC 5,284 11/2000 (9) Buy JY 82,319 10/2000 (14) Sell 243,632 10/2000 3 Buy 82,319 11/2000 0 Sell N$ 5,688 10/2000 131 Sell 539 11/2000 3 Sell SK 6,170 10/2000 12 ----------- $ 131 =========== (f) Principal amount denoted in indicated currency: C$ - Canadian Dollar EC - Euro JY - Japanese Yen N$ - New Zealand Dollar SK - Swedish Krona (g) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount (Depreciation) -------------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR plus 0.470% and pay a fixed rate equal to 7.750%. Broker: Morgan Stanley Exp. 06/15/2005 $ 10,000 $ (215) Receive floating rate based on 3-month LIBOR plus 0.500% and pay a fixed rate equal to 7.600%. Broker: Lehman Brothers Exp. 07/15/2003 5,000 (50) Receive floating rate based on 3-month LIBOR plus 1.000% and pay to the counterparty the notional amount of $5,000 in exchange for shares of Nabors Industries, Inc. due 06/20/2020 when the convertible debentures mature. Broker: Morgan Stanley Exp. 06/20/2003 3,042 (1) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 7.005%. Broker: Goldman Sachs Exp. 08/17/2005 10,000 (109) Receive fixed rate equal to 0.410% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Goldman Sachs Exp. 11/10/2002 1,000 0 ----------- $ (375) =========== (h) Subject to financing transaction. (i) Securities are grouped by coupon or range of coupons and represent a range of maturities. 2000 Semi-Annual Report See accompanying notes 135 Schedule of Investments Foreign Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- ARGENTINA (f)(g) 0.3% -------------------------------------------------------------------------------- Republic of Argentina 5.000% due 12/20/2002 JY 219,000 $ 2,041 ------------- Total Argentina 2,041 (Cost $1,741) ============= -------------------------------------------------------------------------------- ARUBA (f)(g) 0.3% -------------------------------------------------------------------------------- YTP Finance (Aruba) 3.500% due 07/18/2012 JY 200,000 1,901 ------------- Total Aruba 1,901 (Cost $1,899) ============= -------------------------------------------------------------------------------- AUSTRALIA (f)(g) 3.7% -------------------------------------------------------------------------------- Bankers Trust Corp. 6.970% due 06/02/2008 (d) $ 4,800 4,672 General Electric Capital Funding 6.750% due 09/15/2007 A$ 750 410 General Motors Acceptance Corp. 5.020% due 03/25/2002 EC 10,300 9,080 Registered Australian Mortgage Securities 4.770% due 09/26/1932 (d) 4,761 4,203 Torrens Trust 6.880% due 07/15/2031 (d) $ 3,211 3,211 ------------- Total Australia 21,576 (Cost $22,819) ============= -------------------------------------------------------------------------------- AUSTRIA (f)(g) 0.2% -------------------------------------------------------------------------------- Republic of Austria 5.500% due 01/15/2010 EC 1,200 1,052 ------------- Total Austria 1,052 (Cost $1,041) ============= -------------------------------------------------------------------------------- BELGIUM (f)(g) 0.7% -------------------------------------------------------------------------------- Kingdom of Belgium 9.000% due 03/28/2003 EC 5 5 6.750% due 11/21/2004 (d) BF 183,200 4,215 ------------- Total Belgium 4,220 (Cost $6,060) ============= -------------------------------------------------------------------------------- BRAZIL (f)(g) 0.2% -------------------------------------------------------------------------------- Republic of Brazil 7.880% due 01/01/2001 (d) $ 148 148 7.380% due 04/15/2006 (d) 10 9 11.250% due 07/26/2007 1,000 1,004 14.500% due 10/15/2009 200 221 ------------- Total Brazil 1,382 (Cost $1,325) ============= -------------------------------------------------------------------------------- BULGARIA (f)(g) 0.8% -------------------------------------------------------------------------------- Republic of Bulgaria 7.750% due 07/28/2011 (d) $ 2,670 2,023 2.750% due 07/28/2012 (d) 1,300 947 7.750% due 07/28/2024 (d) 2,600 1,989 ------------- Total Bulgaria 4,959 (Cost $4,909) ============= -------------------------------------------------------------------------------- CANADA (f)(g) 0.5% -------------------------------------------------------------------------------- Beneficial Canada, Inc. 6.350% due 04/01/2002 C$ 3,440 2,292 Commonwealth of Canada 5.250% due 09/01/2003 640 419 ------------- Total Canada 2,711 (Cost $2,813) ============= -------------------------------------------------------------------------------- CAYMAN ISLANDS (f)(g) 2.9% -------------------------------------------------------------------------------- Banco Nacional de Comercio Exterior, S.N.C 5.300% due 09/21/2000 JY 200,000 1,852 Capital Credit Card Corp. 5.630% due 10/15/2004 DM 2,800 1,266 Daiwa International Finance Cayman 5.000% due 12/28/2004 JY 300,000 2,806 Fuji Finance (Cayman) 7.290% due 04/15/2010 (d) $ 1,900 1,894 MBNA American Euro 4.980% due 05/19/2004 (d) EC 8,100 7,465 Sakura Capital Funding 7.560% due 09/29/2049 (d) $ 1,600 1,552 ------------- Total Cayman Islands 16,835 (Cost $18,212) ============= -------------------------------------------------------------------------------- COLOMBIA (f)(g) 0.2% -------------------------------------------------------------------------------- Republic of Colombia 3.000% due 12/22/2000 JY 150,000 1,373 ------------- Total Colombia 1,373 (Cost $1,151) ============= -------------------------------------------------------------------------------- DENMARK (f)(g) 2.8% -------------------------------------------------------------------------------- Nykredit 5.000% due 10/01/2029 DK 58,900 6,054 Realkredit Danmark Mortgage 5.000% due 10/01/2029 25,627 2,633 6.000% due 10/01/2029 24,500 2,710 Unikredit Realkredit 6.000% due 07/01/2029 20,700 2,291 5.000% due 10/01/2029 27,697 2,855 ------------- Total Denmark 16,543 (Cost $18,073) ============= -------------------------------------------------------------------------------- FRANCE (f)(g) 8.3% -------------------------------------------------------------------------------- AXA 2.500% due 01/01/2014 EC 835 767 France Government Bond (OAT) 4.000% due 04/25/2009 8,250 6,622 5.500% due 04/25/2010 13,960 12,418 Republic of France 3.000% due 07/25/2009 (h)(i) 3,105 2,586 4.000% due 10/25/2009 32,950 26,255 ------------- Total France 48,648 (Cost $53,005) ============= -------------------------------------------------------------------------------- GERMANY (f)(g) 8.8% -------------------------------------------------------------------------------- Barclays Capital Corp. 3.250% due 12/20/2000 DM 2,000 902 Depfa Pfandbriefbank 4.750% due 07/15/2008 EC 3,590 2,976 5.750% due 03/04/2009 (i) DM 3,560 3,133 Republic of Germany 6.000% due 07/04/2007 EC 22,450 20,661 5.250% due 01/04/2008 26,450 23,360 4.500% due 07/04/2009 20 17 6.250% due 01/04/2024 680 648 ------------- Total Germany 51,697 (Cost $52,483) ============= -------------------------------------------------------------------------------- GREECE (f)(g) 3.8% -------------------------------------------------------------------------------- CSFP Credit 7.420% due 11/19/2004 (d)(k) $ 19,000 19,171 Hellenic Finance 2.000% due 07/15/2003 EC 1,600 1,417 Hellenic Republic 7.850% due 05/19/2003 (d) GD 100,000 270 7.890% due 06/17/2003 (d) 107,400 290 10.240% due 10/23/2003 (d) 376,000 1,013 ------------- Total Greece 22,161 (Cost $22,932) ============= 136 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- ITALY (f)(g) 11.7% -------------------------------------------------------------------------------- Finmeccanica SpA 2.000% due 06/08/2005 EC 544 $ 473 First Italian Auto Transaction 4.820% due 07/01/2008 (d) 4,800 4,241 Island Finance 5.490% due 03/30/2015 (d) 2,819 2,492 Republic of Italy 4.500% due 05/01/2009 31,710 26,043 4.250% due 11/01/2009 5,560 4,466 5.500% due 11/01/2010 13,320 11,733 6.500% due 11/01/2027 11,420 10,772 5.250% due 11/01/2029 10,520 8,417 ------------- Total Italy 68,637 (Cost $71,444) ============= -------------------------------------------------------------------------------- JAPAN (f)(g) 2.5% -------------------------------------------------------------------------------- Government of Japan Ten-Year Bond 0.900% due 12/22/2008 JY 907,400 7,751 International Credit Receivable Japan 0.750% due 08/25/2005 50,000 463 International Credit Receivable Japan 1 Tranche A 0.720% due 11/22/2004 (d) 56,460 523 0.650% due 08/25/2005 230,000 2,130 International Credit Receivable Japan 1 Tranche B 0.820% due 11/22/2004 (d) 200,000 1,852 SHL Corp. Ltd. 0.530% due 12/25/2024 (d) 121,113 1,122 0.830% due 12/25/2024 (d) 76,000 704 ------------- Total Japan 14,545 (Cost $14,662) ============= -------------------------------------------------------------------------------- MEXICO (f)(g) 1.3% -------------------------------------------------------------------------------- Petroleos Mexicanos 8.850% due 09/15/2007 $ 1,040 1,032 9.380% due 12/02/2008 1,290 1,329 United Mexican States 8.750% due 05/30/2002 BP 270 404 10.380% due 01/29/2003 DM 2,575 1,248 4.000% due 03/11/2004 JY 130,000 1,205 9.880% due 02/01/2010 $ 2,250 2,397 ------------- Total Mexico 7,615 (Cost $7,849) ============= -------------------------------------------------------------------------------- NETHERLANDS (f)(g) 1.1% -------------------------------------------------------------------------------- Mannesmann Finance BV 4.750% due 05/27/2009 EC 3,700 2,903 Tecnost International NV 6.670% due 06/23/2004 (d) 1,430 1,275 Telekomunikacja Polska SA 7.750% due 12/10/2008 $ 2,120 2,045 ------------- Total Netherlands 6,223 (Cost $6,856) ============= -------------------------------------------------------------------------------- NEW ZEALAND (f)(g) 1.1% -------------------------------------------------------------------------------- Commonwealth of New Zealand 4.500% due 02/15/2016 (i) N$ 15,300 6,530 ------------- Total New Zealand 6,530 (Cost $8,639) ============= -------------------------------------------------------------------------------- PANAMA (f)(g) 0.2% -------------------------------------------------------------------------------- Republic of Panama 8.880% due 09/30/2027 $ 1,100 921 ------------- Total Panama 921 (Cost $976) ============= -------------------------------------------------------------------------------- PERU (f)(g) 0.3% -------------------------------------------------------------------------------- Republic of Peru 4.500% due 03/07/2017 (d) 2,700 1,691 ------------- Total Peru 1,691 (Cost $1,841) ============= -------------------------------------------------------------------------------- PHILIPPINES (f)(g) 0.6% -------------------------------------------------------------------------------- Republic of Philippines 8.000% due 09/17/2004 EC 2,420 2,157 7.940% due 12/01/2009 (d) $ 1,300 1,131 ------------- Total Philippines 3,288 (Cost $3,860) ============= -------------------------------------------------------------------------------- POLAND (f)(g) 0.0% -------------------------------------------------------------------------------- Republic of Poland 3.500% due 10/27/2024 (d) $ 105 66 ------------- Total Poland 66 (Cost $65) ============= -------------------------------------------------------------------------------- PORTUGAL (f)(g) 1.6% -------------------------------------------------------------------------------- Portugal Government 3.950% due 07/15/2009 EC 11,770 9,261 ------------- Total Portugal 9,261 (Cost $11,042) ============= -------------------------------------------------------------------------------- SOUTH KOREA (f)(g) 1.7% -------------------------------------------------------------------------------- Export-Import Bank Korea 7.250% due 06/25/2001 $ 1,945 1,937 6.500% due 02/10/2002 800 789 Korea Development Bank 4.800% due 05/14/2001 (d) DM 7,310 3,270 2.770% due 05/21/2001 JY 400,000 3,778 1.880% due 02/13/2002 13,000 120 ------------- Total South Korea 9,894 (Cost $10,158) ============= -------------------------------------------------------------------------------- SPAIN (f)(g) 3.2% -------------------------------------------------------------------------------- Kingdom of Spain 5.150% due 07/30/2009 (i) EC 21,730 18,714 ------------- Total Spain 18,714 (Cost $22,578) ============= -------------------------------------------------------------------------------- SUPRANATIONAL (f)(g) 2.2% -------------------------------------------------------------------------------- Eurofima 4.750% due 07/07/2004 SK 60,900 6,149 5.000% due 10/01/2029 32,859 3,381 European Investment Bank 5.380% due 08/28/2007 NK 2,400 244 International Bank for Reconstruction & Development 7.250% due 04/09/2001 N$ 6,400 2,613 World Bank 10.250% due 04/11/2002 PP 31,000 624 ------------- Total Supranational 13,011 (Cost $15,979) ============= -------------------------------------------------------------------------------- SWEDEN (f)(g) 0.5% -------------------------------------------------------------------------------- Kingdom of Sweden 13.000% due 06/15/2001 SK 11,200 1,230 0.000% due 04/01/2004 19,097 1,845 ------------- Total Sweden 3,075 (Cost $3,575) ============= -------------------------------------------------------------------------------- TUNISIA (f)(g) 0.2% -------------------------------------------------------------------------------- Banque Centrale De Tunisie 7.500% due 08/06/2009 EC 1,500 1,356 ------------- Total Tunisia 1,356 (Cost $1,525) ============= 2000 Semi-Annual Report See accompanying notes 137 Schedule of Investments (Cont.) Foreign Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- UNITED KINGDOM (f)(g) 6.4% -------------------------------------------------------------------------------- Abbey National Treasury Service 7.630% due 12/30/2002 BP 1,770 $ 2,678 5.250% due 01/21/2004 2,670 3,811 Bank of Scotland Capital Fund 8.120% due 03/31/2049 850 1,254 Halifax Group Euro Finance 7.630% due 12/29/2049 (d) EC 1,040 918 Halifax Group Sterling Finance 7.880% due 12/29/2049 (d) BP 3,960 6,283 HAUS Ltd. 5.010% due 12/10/2037 (d) EC 8,500 7,505 International Credit Receivable 5.390% due 03/15/2010 JY 1,800 1,589 Lloyds TSB Capital 7.380% due 02/07/2049 500 445 SCCR Series 1 Ltd. 5.020% due 12/15/2031 2,041 1,806 Polestar Corp. PLC 10.500% due 05/30/2008 BP 170 188 United Kingdom Gilt 5.750% due 12/07/2009 7,150 10,980 ----------- Total United Kingdom 37,457 (Cost $39,831) =========== -------------------------------------------------------------------------------- UNITED STATES (f)(g) 97.2% -------------------------------------------------------------------------------- Asset-Backed Securities 6.7% AES Corp. 8.690% due 05/19/2001 $ 1,500 1,500 AFC Home Equity Loan Trust 6.840% due 03/25/2027 (d) 805 806 Americredit Automobile Receivable Trust 5.880% due 12/05/2003 216 215 Amresco Residential Securities Mortgage Loan Trust 7.090% due 06/25/2029 (d) 5,354 5,373 Banc One Auto Grantor Trust 6.270% due 11/20/2003 272 271 6.290% due 07/20/2004 466 463 Bayview Financial Acquisition Trust 7.170% due 02/25/2029 (d) 352 352 Chase Manhattan Grantor Trust 6.610% due 09/15/2002 141 141 Conseco Finance 6.990% due 10/15/2031 (d) 1,278 1,281 Contimortgage Home Equity Loan Trust 6.790% due 10/15/2012 (d) 212 212 6.010% due 12/25/2013 3,780 3,761 EQCC Home Equity Loan Trust 5.770% due 03/20/2029 1,664 1,655 6.870% due 03/20/2029 437 437 Nissan Auto Receivables Grantor Trust 5.450% due 04/15/2004 1,688 1,674 Providian Gateway Master Trust 6.840% due 03/15/2007 5,800 5,800 Providian Home Equity Loan Trust 6.910% due 06/25/2025 (d) 4,043 4,047 PSB Lending Home Loan Owner Trust 6.830% due 05/20/2018 1,630 1,619 Residential Funding Mortgage Securities, Inc. 10.930% due 06/01/2001 (d) 7,100 7,100 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 724 720 Voicestream 9.660% due 02/15/2009 2,000 1,995 ----------- 39,422 =========== Corporate Bonds & Notes 19.6% Abbey National Capital Trust I 8.960% due 12/29/2049 2,000 2,011 AESOP Funding II LLC 6.220% due 10/20/2001 567 567 Allegheny Energy Supply 7.510% due 05/01/2002 (d) 2,900 2,900 Alpha Wind 11.320% due 05/23/2001 (d) 2,000 2,000 Associates Corp. of North America 6.780% due 08/27/2001 (d) 5,000 5,013 AT&T Capital Corp. 7.010% due 04/23/2002 (d) 675 677 Bancomext Trust Division 8.000% due 08/05/2003 390 390 Bear Stearns Co., Inc. 7.130% due 03/28/2003 (d) 2,670 2,670 Beckman Instruments, Inc. 7.100% due 03/04/2003 344 334 Capital One Bank 7.090% due 07/28/2003 (d) 12,000 12,045 CMS Energy Corp. 8.130% due 05/15/2002 546 542 DaimlerChrysler Holdings 6.960% due 08/23/2002 (d) 3,900 3,914 DQE Capital Corp. 7.230% due 01/15/2002 (d) 800 800 Finova Capital Corp. 6.910% due 06/18/2003 (d) 5,700 4,988 Ford Motor Credit Corp. 1.000% due 12/22/2003 JY 107,000 984 7.080% due 07/19/2004 (d) $ 2,800 2,803 1.200% due 02/07/2005 JY 619,000 5,641 General Motors Acceptance Corp. 7.020% due 04/05/2004 (d) $ 2,800 2,796 7.020% due 04/05/2004 (d) 16,420 16,399 6.880% due 09/09/2004 BP 4,080 6,040 1.250% due 12/20/2004 JY 208,000 1,912 Gold Eagle Capital Ltd. 12.130% due 04/15/2001 $ 2,500 2,500 Goldman Sachs Group 7.220% due 02/19/2004 (d) 1,430 1,452 Household Finance Corp. 5.130% due 06/24/2009 (i) EC 4,900 3,901 International Game Technology 7.880% due 05/15/2004 $ 1,700 1,670 J.P. Morgan & Co. 8.080% due 02/15/2012 (d) 6,780 5,865 Jones Intercable, Inc. 8.880% due 04/01/2007 427 448 KBC Bank Fund Trust IV 8.220% due 11/29/2049 EC 2,800 2,509 Lehman Brothers Holdings, Inc. 6.700% due 11/30/2006 (d) $ 848 784 MGM Grand, Inc. 6.950% due 02/01/2005 180 173 NeHi, Inc. 11.310% due 06/09/2003 (d) 2,000 2,010 Protective Life Funding Trust 7.090% due 01/17/2003 (d) 1,200 1,198 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d)(i) 13,189 13,033 6.910% due 02/11/2003 (d) 400 400 Sprint Capital Corp. 5.880% due 05/01/2004 690 662 Texas Utilities Co. 7.590% due 09/24/2001 (d) 2,600 2,614 ----------- 114,645 =========== Mortgage-Backed Securities 50.0% Bank of America Mortgage Securities, Inc. 6.500% due 05/25/2029 299 281 Chase Mortgage Finance Corp. 6.550% due 08/25/2028 2,407 2,387 Citicorp Mortgage Securities, Inc. 6.500% due 07/25/2028 2,184 2,161 6.500% due 03/25/2029 140 129 Crusade Global Trust 7.010% due 05/15/2021 (d) 14,400 14,436 138 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. 6.000% due 03/15/2008 $ 773 $ 766 8.270% due 06/01/2022 (d) 1,124 1,131 8.400% due 08/01/2022 (d) 675 693 9.050% due 06/15/2019 55 57 Federal National Mortgage Assn 8.500% due 07/01/2021 (d) 794 820 7.420% due 11/01/2022 (d) 848 875 7.580% due 01/01/2023 (d) 1,305 1,345 8.120% due 08/01/2023 (d) 991 1,020 General Electric Capital Mortgage Services, Inc. 6.250% due 07/25/2029 500 483 Government National Mortgage Assn 6.000% due 04/20/1930-10/23/2030 (d)(e) 404,388 194,802 7.000% due 04/20/1930-05/20/2030 (d)(e) 8,209 4,804 7.130% due 11/20/2021 (d) 537 541 7.380% due 05/20/2022 (d) 49 50 6.750% due 07/20/2022 (d) 548 554 6.750% due 09/20/2022 (d) 360 364 7.380% due 05/20/2023 (d) 541 545 6.750% due 07/20/2023 (d) 294 297 6.750% due 07/20/2023 (d) 607 613 6.750% due 08/20/2023 (d) 272 275 6.750% due 09/20/2023 (d) 1,611 1,627 6.750% due 09/20/2023 (d) 709 716 7.130% due 10/20/2023 (d) 2,977 2,999 7.130% due 10/20/2024 (d) 240 242 7.380% due 04/20/2025 (d) 178 179 6.750% due 07/20/2025 (d) 3,990 4,029 6.750% due 09/20/2025 (d) 764 771 7.130% due 12/20/2025 (d) 292 294 6.750% due 09/20/2026 (d) 625 631 7.380% due 04/20/2027 (d) 1,518 1,529 6.500% due 10/21/2029 23,450 22,585 Independent National Mortgage Corp. 9.140% due 11/25/2024 (d) 2 2 Medallion Trust 6.960% due 07/12/2031 (d) 5,497 5,497 Morgan Stanley Mortgage Trust 8.150% due 07/20/2021 1 1 Prudential Home Mortgage Securities 6.800% due 05/25/2024 464 388 Residential Funding Mortgage Securities, Inc. 6.500% due 06/25/2029 1,276 1,055 7.090% due 05/12/2032 (d) 14,854 14,854 Sasco Floating Rate Commercial Mortgage 7.020% due 11/20/2001 (d) 2,802 2,807 Structured Asset Mortgage Investments, Inc. 6.580% due 06/25/2029 (d) 3,038 2,912 ------------- 292,547 ============= Municipal Bonds & Notes 0.1% Massachusetts State Turnpike Authority Metro Highway System Revenue Bonds, (MBIA Insured), Series 1997 5.000% due 01/01/2037 1,000 873 U.S. Government Agencies 3.7% Federal Home Loan Bank 7.270% due 02/15/2002 (d) 14,000 13,825 Federal National Mortgage Assn 6.500% due 07/10/2002 (i) A$ 14,100 7,617 ------------- 21,442 ============= U.S. Treasury Obligations 15.9% Treasury Inflation Protected Securities (h) 3.630% due 07/15/2002 (b) $ 87,332 87,305 U.S. Treasury Bond 6.250% due 08/15/2023 5,400 5,501 ------------- 92,806 ============= Shares Preferred Security 1.1% DG Funding Trust 9.060% due 12/29/2049 (d) 1 6,416 ------------- Total United States 568,151 (Cost $571,535) ============= -------------------------------------------------------------------------------- PURCHASED PUT OPTIONS 2.7% -------------------------------------------------------------------------------- Eurodollar March Futures (CME) Strike @ 90.75 Exp. 03/19/2000 200,000 1 General National Mortgage Assn. (OTC) 6.000% due 10/20/2030 Strike @ 85.84 Exp. 11/13/2000 192,700 2 General National Mortgage Assn. (OTC) 6.500% due 11/23/2030 Strike @ 89.359 Exp. 11/13/2000 114,950 1 Interest Rate Swap (OTC) Strike @ 7.500% Exp. 04/29/2002 11,200 232 U.S. Treasury Inflation Protected Securities (OTC) 3.625% due 07/15/2002 Strike @ 96.50 Exp. 01/29/2001 77,240 0 U.S. Treasury Note (OTC) 5.625% due 05/15/2008 Strike @ 105.44 Exp. 11/01/2000 102,100 7,283 U.S. Treasury Note (OTC) 6.000% due 08/15/2009 Strike @ 110.09 Exp. 11/06/2000 53,160 4,991 U.S. Treasury Note (OTC) 6.375% due 04/30/2002 Strike @ 103.125 Exp. 11/01/2000 119,800 3,187 ------------- Total Purchased Put Options 15,697 (Cost $17,168) ============= -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 12.7% -------------------------------------------------------------------------------- Commercial Paper 12.7% Abbey National PLC 6.520% due 11/03/2000 $ 1,400 1,392 American Electric Power, Inc. 6.700% due 10/18/2000-11/01/2000 (e) 5,400 4,684 AT&T Corp. 6.500% due 11/08/2000 900 894 6.470% due 11/29/2000 8,500 8,407 Bank One Corp. 6.540% due 10/31/2000 9,500 9,449 Coca-Cola Co. 6.490% due 12/13/2000 300 296 Conagra, Inc. 6.680% due 10/27/2000 1,100 1,095 6.670% due 11/15/2000-11/16/2000 (e) 6,600 5,356 DaimlerChrysler AG 6.500% due 10/25/2000 3,000 2,988 Edison Midwest 6.750% due 11/01/2000 8,900 5,668 6.730% due 11/15/2000 1,300 1,289 Gannett Co. 6.490% due 11/08/2000 2,900 2,881 General Electric Capital Corp. 6.470% due 12/13/2000 600 592 Honeywell, Inc. 6.510% due 11/21/2000 1,000 991 Houston Industries 6.820% due 10/04/2000 900 900 6.770% due 10/18/2000 5,000 4,985 Infinity Broadcasting Corp. 6.720% due 11/09/2000 2,000 1,986 6.700% due 11/16/2000 3,800 3,768 International Paper Co. 6.700% due 10/05/2000 1,100 1,099 6.720% due 10/10/2000 4,400 4,393 6.700% due 11/01/2000 4,100 4,077 Minnesota Mining & Manufacturing 6.470% due 11/28/2000 1,200 1,187 Nike, Inc. 6.490% due 10/10/2000 500 499 Swedbank, Inc. 6.570% due 10/18/2000 1,200 1,196 Texas Utilities Co. 6.700% due 10/18/2000 1,800 1,795 Yorkshire Building Society 6.470% due 12/20/2000 2,200 2,168 ------------- 74,035 ============= 2000 Semi-Annual Report See accompanying notes 139 Schedule of Investments (Cont.) Foreign Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- U.S. Treasury Bills (b) 0.0% 6.470% due 02/01/2001 $ 20 $ 20 ------------- Total Short-Term Instruments 74,055 (Cost $74,062) ============= Total Investments (a) 180.7% $ 1,057,286 (Cost $1,092,108) Written Options (c) (0.2%) (1,096) (Premiums $855) Other Assets and Liabilities (Net) (80.5%) (471,121) ------------- Net Assets 100.0% $ 585,069 ============= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 4,595 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (39,417) ------------- Unrealized depreciation-net $ (34,822) ============= (b) Securities with an aggregate market value of $4,109 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: Unrealized # of Appreciation/ Type Contracts (Depreciation) -------------------------------------------------------------------------------- EuroBond (12/2000) 275 $ 94 Government of Japan 10 Year Note (12/2000) 137 (353) United Kingdom 10 Year Note (12/2000) 137 (121) United Kingdom 90 Day LIBOR Futures (06/2001) 119 (5) EuroBond 10 Year Note Options (11/2000) 228 74 ------------- $ (311) ============= (c) Premiums received on written options: # of Type Contracts Premium Value -------------------------------------------------------------------------------- Call - CBOT U.S. Treasury Note December Futures Strike @ 103.00 Exp. 11/18/2000 48 $ 7 $ 5 Call - CBOT U.S. Treasury Note December Futures Strike @ 102.00 Exp. 11/18/2000 48 14 11 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.84 Exp. 10/10/2000 14,300,000 72 3 Call - OTC Eurodollar vs. U.S. Dollar Strike @ 0.90 Exp. 10/10/2000 14,300,000 62 31 Put - CME Eurodollar March Futures Strike @ 92.75 Exp. 03/19/2001 28 19 1 Call - CME Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 50 13 37 Put - CME Eurodollar March Futures Strike @ 92.25 Exp. 03/19/2001 22 13 0 Put - CBOT U.S. Treasury Note December Futures Strike @ 98.00 Exp. 11/18/2000 24 15 4 Put - CBOT U.S. Treasury Note December Futures Strike @ 97.00 Exp. 11/18/2000 24 9 2 Call - TSE Government of Japan December Futures Strike @ 134.00 Exp. 11/30/2000 18 34 37 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.81 Exp. 12/21/2000 16,200,000 58 35 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.85 Exp. 10/24/2000 7,200,000 35 18 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.500% Exp. 02/23/2001 7,900,000 41 33 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.85 Exp. 10/24/2000 21,600,000 100 55 Put - OTC 3 Month LIBOR Interest Rate Swap Strike @ 7.500% Exp. 04/29/2002 16,000,000 363 824 -------------------- $ 855 $ 1,096 ==================== (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Securities are grouped together by coupon or range of coupons and represent a range of maturities. (f) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Buy AP 730 02/2001 $ 5 Buy A$ 4,654 10/2000 (203) Sell 1,560 10/2000 53 Sell 8,245 11/2000 10 Buy 3,283 11/2000 2 Buy BR 1,339 01/2001 (5) Buy 1,057 03/2001 8 Sell C$ 5,007 10/2000 47 Buy 1,200 10/2000 (7) Sell SF 20,620 10/2000 (179) Buy 10,050 10/2000 11 Sell 10,050 11/2000 (8) Buy CL 349,600 10/2000 (29) Buy 117,900 03/2001 0 Sell DK 130,823 10/2000 182 Buy 46,548 10/2000 (2) Sell 46,548 11/2000 3 Sell EC 2,810 01/2001 201 Sell 101,808 10/2000 1,888 Buy 797,671 10/2000 (254) Sell 12,504 11/2000 (74) Sell BP 17,042 10/2000 (339) Buy GD 2,550,004 01/2001 (179) Sell 719,346 12/2000 (4) Sell H$ 48,140 10/2000 (33) Buy 48,140 10/2000 (5) Sell 223,800 08/2001 103 Buy 111,900 08/2001 (14) Buy HF 1,248,000 01/2001 (686) Sell 1,248,000 01/2001 313 Buy 341,600 02/2001 (49) Buy IR 8,560,000 10/2000 66 Buy JY 2,136,556 10/2000 (205) Sell 4,133,801 10/2000 417 Sell 1,036,463 11/2000 5 Buy KW 1,262,100 10/2000 5 Buy MP 6,880 10/2000 34 Buy 6,715 01/2001 15 Sell 6,880 10/2000 (20) 140 PIMCO Funds See accompanying notes Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Sell NK 4,160 10/2000 $ (12) Sell N$ 85,230 10/2000 2,538 Buy 64,271 10/2000 (1,014) Sell 3,866 11/2000 24 Buy PN 3,880 02/2001 (5) Buy 908 03/2001 3 Buy PP 33,140 03/2001 12 Buy PZ 14,414 01/2001 (171) Buy 8,090 02/2001 (30) Buy 26,046 03/2001 (87) Sell 13,704 01/2001 (56) Sell 8,090 02/2001 (30) Sell 3,640 03/2001 (55) Buy 25,080 10/2000 (186) Sell SK 33,780 10/2000 66 Buy TB 28,140 10/2000 (40) Buy TD 21,403 10/2000 (14) Buy VB 500,950 10/2000 35 Buy 144,970 12/2000 4 Buy SR 7,235 03/2001 12 Buy CP 1,365,400 02/2001 0 Buy TL 882,000,000 02/2001 0 ---------- $ 2,067 ========== (g) Principal amount denoted in indicated currency: AP - Argentine Peso A$ - Australian Dollar BP - British Pound BR - Brazilian Real CL - Chilean Peso CP - Colombian Peso C$ - Canadian Dollar DK - Danish Krone EC - Euro GD - Greek Drachma HF - Hungarian Forint H$ - Hong Kong Dollar IR - Indonesian Rupiah JY - Japanese Yen MP - Mexican Peso N$ - New Zealand Dollar NK - Norwegian Kron PN - Peruvian New Sol PP - Philippines Peso PZ - Polish Zloty KW - South Korean Won SF - Swiss Franc SK - Swedish Krona SR - South Africa Rand TD - Taiwan Dollar TB - Thai Baht TL - Turkish Lira VB - Venezuelan Bolivar (h) Principal amount of the security is adjusted for inflation. (i) Subject to financing transaction. (j) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount (Depreciation) -------------------------------------------------------------------------------- Receive fixed rate equal to 6.949% and pay floating rate based on 6-month BP-LIBOR. Broker: Merrill Lynch Exp. 08/06/2003 BP 4,500 $ 107 Receive floating rate based on 6-month Australian Bank Bill and pay a fixed rate equal to 6.667%. Broker: Morgan Stanley Exp. 09/20/2005 A$ 31,500 6 Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.346%. Broker: Goldman Sachs Exp. 07/19/2005 C$ 22,500 (187) Receive floating rate based on 3-month Canadian Bank Bill and pay fixed rate equal to 6.248%. Broker: Royal Bank of Canada Exp. 08/02/2005 60,600 (356) Receive floating rate based on 3-month Canadian Bank Bill and pay fixed rate equal to 6.515%. Broker: J.P. Morgan Exp. 05/10/2002 24,330 (160) Receive floating rate based on 6-month JY-LIBOR and pay fixed rate equal to 2.020%. Broker: Goldman Sachs Exp. 05/18/2010 JY 1,776,000 28 Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to 6.175%. Broker: Goldman Sachs Exp. 05/22/2030 EC 9,440 (95) Receive floating rate based on 6-month EURO-LIBOR minus 0.54% and pay a fixed rate equal to 6.250%. Broker: J.P. Morgan Exp. 01/04/2024 680 8 Receive a fixed rate equal to 7.291% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 07/21/2005 $ 14,500 330 Receive a fixed rate equal to 7.010% and pay floating rate based on 6-month LIBOR. Broker: Morgan Stanley Exp. 09/20/2005 18,500 208 Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to 6.069%. Broker: Morgan Stanley Exp. 08/25/2030 EC 7,900 58 ------------- $ (53) ============= (k) Restricted security. 2000 Semi-Annual Report See accompanying notes 141 Schedule of Investments Global Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- ARUBA (e)(f) 0.3% -------------------------------------------------------------------------------- YTP Finance (Aruba) 3.500% due 07/18/2012 JY 100,000 $ 950 ------------- Total Aruba 950 (Cost $950) ============= -------------------------------------------------------------------------------- AUSTRALIA (e)(f) 3.4% -------------------------------------------------------------------------------- Bankers Trust Corp. 6.970% due 06/02/2008 (d) $ 2,300 2,239 General Motors Acceptance Corp. 5.020% due 03/25/2002 (d) EC 5,300 4,672 Registered Australian Mortgage Securities 4.770% due 09/26/2032 (d) 1,029 908 Superannuation Members Home Loans Global Fund 7.020% due 06/15/2026 (d) $ 1,600 1,600 Torrens Trust 6.880% due 07/15/2031 (d) 1,606 1,606 ------------- Total Australia 11,025 (Cost $11,615) ============= -------------------------------------------------------------------------------- AUSTRIA (e)(f) 0.2% -------------------------------------------------------------------------------- Republic of Austria 5.500% due 01/15/2010 (i) EC 600 526 ------------- Total Austria 526 (Cost $520) ============= -------------------------------------------------------------------------------- BELGIUM (e)(f) 0.7% -------------------------------------------------------------------------------- Kingdom of Belgium 6.750% due 11/21/2004 (d) BF 95,900 2,206 ------------- Total Belgium 2,206 (Cost $3,156) ============= -------------------------------------------------------------------------------- BRAZIL 0.5% -------------------------------------------------------------------------------- Republic of Brazil 7.880% due 01/01/2001 (d) 258 258 7.380% due 04/15/2006 (d) $ 1,367 1,287 ------------- Total Brazil 1,545 (Cost $1,499) ============= -------------------------------------------------------------------------------- BULGARIA 0.9% -------------------------------------------------------------------------------- Republic of Bulgaria 7.750% due 07/28/2011 (d) $ 480 364 2.750% due 07/28/2012 (d) 1,276 930 3.000% due 07/28/2012 (d) 465 339 7.750% due 07/28/2024 (d) 1,780 1,362 ------------- Total Bulgaria 2,995 (Cost $2,970) ============= -------------------------------------------------------------------------------- CANADA (e)(f) 0.4% -------------------------------------------------------------------------------- Beneficial Canada, Inc. 6.350% due 04/01/2002 C$ 1,460 973 Canadian Imperial Bank 3.380% due 10/16/2000 (d) DM 700 316 ------------- Total Canada 1,289 (Cost $1,408) ============= -------------------------------------------------------------------------------- CAYMAN ISLANDS (e)(f) 1.1% -------------------------------------------------------------------------------- Banco Nacional de Comercio Exterior, S.N.C 5.300% due 09/21/2000 JY 80,000 741 Daiwa International Finance Cayman 5.000% due 12/28/2004 100,000 935 Fuji Finance (Cayman) 7.290% due 04/15/2010 (d) $ 1,000 997 Sakura Capital Funding 7.560% due 09/29/2049 (d) 1,000 970 ------------- Total Cayman Islands 3,643 (Cost $3,605) ============= -------------------------------------------------------------------------------- COLOMBIA (e)(f) 0.4% -------------------------------------------------------------------------------- Republic of Colombia 3.000% due 12/22/2000 JY 150,000 1,374 ------------- Total Colombia 1,374 (Cost $1,218) ============= -------------------------------------------------------------------------------- DENMARK (e)(f) 3.0% -------------------------------------------------------------------------------- Danske Kredit Mortgage 5.000% due 10/01/2029 DK 12,792 1,316 Kingdom of Denmark 4.000% due 02/15/2001 (i) 11,400 1,338 Nykredit 5.000% due 10/01/2029 33,760 3,470 Realkredit Danmark Mortgage 5.000% due 10/01/2029 10,713 1,101 6.000% due 10/01/2029 9,900 1,095 Unikredit Realkredit 5.000% due 10/01/2029 12,937 1,333 ------------- Total Denmark 9,653 (Cost $10,927) ============= -------------------------------------------------------------------------------- FRANCE (e)(f) 3.4% -------------------------------------------------------------------------------- AXA 2.500% due 01/01/2014 EC 405 371 Republic of France 4.000% due 04/25/2009 (i) 2,260 1,814 3.000% due 07/25/2009 1,858 1,547 4.000% due 10/25/2009 (i) 6,780 5,402 5.500% due 04/25/2010 1,920 1,708 ------------- Total France 10,842 (Cost $11,699) ============= -------------------------------------------------------------------------------- GERMANY (e)(f) 6.2% -------------------------------------------------------------------------------- Commerzbank AG 3.870% due 09/21/2001 EC 2,300 2,028 Depfa Pfandbriefbank 4.750% due 07/15/2008 860 713 5.750% due 03/04/2009 (i) DM 860 757 Republic of Germany 6.000% due 07/04/2007 EC 7,280 6,700 5.250% due 01/04/2008 10,360 9,150 4.500% due 07/04/2009 10 8 6.250% due 01/04/2024 330 315 ------------- Total Germany 19,671 (Cost $20,071) ============= -------------------------------------------------------------------------------- GREECE (e)(f) 7.7% -------------------------------------------------------------------------------- CSFP Credit 7.420% due 11/19/2004 (d)(j) $ 11,000 11,099 Hellenic Finance 2.000% due 07/15/2003 EC 500 443 Hellenic Republic 7.850% due 05/19/2003 (d) GD 150,000 404 7.890% due 06/17/2003 (d) 118,000 318 10.240% due 10/23/2003 (d) 543,400 1,464 6.600% due 01/15/2004 (i) 4,046,400 10,792 ------------- Total Greece 24,520 (Cost $25,832) ============= 142 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- ITALY (e)(f) 11.0% -------------------------------------------------------------------------------- Finmeccanica SpA 2.000% due 06/08/2005 EC 1,538 $ 1,337 First Italian Auto Transaction 4.820% due 07/01/2008 (d) 2,600 2,297 Island Finance 5.490% due 03/30/2015 (d) 1,653 1,461 Republic of Italy 4.750% due 07/01/2005 (i) 6,690 5,762 4.500% due 05/01/2009 (i) 14,100 11,580 4.250% due 11/01/2009 (i) 2,470 1,984 5.500% due 11/01/2010 (i) 2,350 2,070 6.500% due 11/01/2027 3,900 3,679 5.250% due 11/01/2029 (i) 6,140 4,913 ------------- Total Italy 35,083 (Cost $36,412) ============= -------------------------------------------------------------------------------- JAPAN (e)(f) 4.6% -------------------------------------------------------------------------------- Government of Japan 3.400% due 06/20/2005 (i) JY 15,500 158 4.000% due 06/20/2005 32,700 341 2.900% due 12/20/2006 115,000 1,152 0.900% due 12/22/2008 (i) 1,066,900 9,114 International Credit Receivable Japan 0.750% due 08/25/2005 20,000 185 International Credit Receivable Japan 1 Tranche A 0.720% due 11/22/2004 (d) 97,436 902 0.650% due 08/25/2005 110,000 1,019 International Credit Receivable Japan 1 Tranche B 0.820% due 11/22/2004 (d) 100,000 926 SHL Corp. Ltd. 0.530% due 12/25/2024 (d) 67,001 621 0.830% due 12/25/2024 (d) 41,000 380 ------------- Total Japan 14,798 (Cost $14,995) ============= -------------------------------------------------------------------------------- MEXICO (e)(f) 1.3% -------------------------------------------------------------------------------- Cemex SA 8.630% due 07/18/2003 $ 260 263 Petroleos Mexicanos 8.850% due 09/15/2007 480 477 9.380% due 12/02/2008 650 670 United Mexican States 9.380% due 11/02/2000 DM 300 136 8.750% due 05/30/2002 BP 150 225 10.380% due 01/29/2003 DM 3,654 1,771 4.000% due 03/11/2004 JY 73,000 677 ------------- Total Mexico 4,219 (Cost $4,538) ============= -------------------------------------------------------------------------------- NETHERLANDS (e)(f) 1.0% -------------------------------------------------------------------------------- Deutsche Bank Financial 6.720% due 12/17/2003 (d) $ 1,800 1,798 Tecnost International NV 6.670% due 06/23/2004 (d) EC 690 615 Telekomunikacja Polska SA 7.750% due 12/10/2008 $ 960 926 ------------- Total Netherlands 3,339 (Cost $3,468) ============= -------------------------------------------------------------------------------- NEW ZEALAND (e)(f) 2.0% -------------------------------------------------------------------------------- Commonwealth of New Zealand 5.500% due 04/15/2003 N$ 1,900 752 4.500% due 02/15/2016 13,081 5,583 ------------- Total New Zealand 6,335 (Cost $8,017) ============= -------------------------------------------------------------------------------- PANAMA 0.2% -------------------------------------------------------------------------------- Republic of Panama 4.500% due 07/17/2014 $ 660 $ 533 ------------- Total Panama 533 (Cost $529) ============= -------------------------------------------------------------------------------- PERU 0.3% -------------------------------------------------------------------------------- Republic of Peru 4.500% due 03/07/2017 (d) $ 1,700 1,064 ------------- Total Peru 1,064 (Cost $1,164) ============= -------------------------------------------------------------------------------- PHILIPPINES (e)(f) 0.8% -------------------------------------------------------------------------------- Republic of Philippines 8.000% due 09/17/2004 EC 2,035 1,814 7.940% due 12/01/2009 (d) $ 722 628 6.500% due 12/01/2017 140 108 ------------- Total Philippines 2,550 (Cost $2,935) ============= -------------------------------------------------------------------------------- POLAND 0.1% -------------------------------------------------------------------------------- Republic of Poland 3.500% due 10/27/2024 (d) 330 208 ------------- Total Poland 208 (Cost $206) ============= -------------------------------------------------------------------------------- PORTUGAL (e)(f) 1.0% -------------------------------------------------------------------------------- Portugal Government 3.950% due 07/15/2009 (i) EC 3,950 3,108 ------------- Total Portugal 3,108 (Cost $3,660) ============= -------------------------------------------------------------------------------- QATAR (e)(f) 0.2% -------------------------------------------------------------------------------- International Credit Receivable 5.390% due 03/15/2010 JY 800 706 ------------- Total Qatar 706 (Cost $740) ============= -------------------------------------------------------------------------------- SOUTH KOREA (e)(f) 0.9% -------------------------------------------------------------------------------- Export-Import Bank Korea 7.250% due 06/25/2001 $ 1,810 1,803 6.500% due 02/10/2002 500 493 KBC Bank Fund Trust IV 8.220% due 11/29/2049 EC 500 448 Korea Development Bank 4.800% due 05/14/2001 (d) DM 520 233 ------------- Total South Korea 2,977 (Cost $3,072) ============= -------------------------------------------------------------------------------- SPAIN (e)(f) 3.7% -------------------------------------------------------------------------------- Kingdom of Spain 4.950% due 07/30/2005 (i) EC 6,480 5,620 5.150% due 07/30/2009 6,140 5,288 4.000% due 01/31/2010 (i) 980 772 ------------- Total Spain 11,680 (Cost $11,999) ============= 2000 Semi-Annual Report See accompanying notes 143 Schedule of Investments (Cont.) Global Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- SUPRANATIONAL (e)(f) 1.5% -------------------------------------------------------------------------------- Asian Development Bank 2.300% due 09/15/2003 A$ 2,300 $ 1,211 Eurofima 4.750% due 07/07/2004 SK 4,700 475 European Investment Bank 5.380% due 08/28/2007 NK 5,000 508 International Bank for Reconstruction & Development 7.250% due 04/09/2001 N$ 4,000 1,633 World Bank 10.250% due 04/11/2002 PP 46,000 926 ------------- Total Supranational 4,753 (Cost $6,069) ============= -------------------------------------------------------------------------------- SWEDEN (e)(f) 1.3% -------------------------------------------------------------------------------- Kingdom of Sweden 13.000% due 06/15/2001 SK 10,300 1,131 0.000% due 04/01/2004 31,829 3,076 ------------- Total Sweden 4,207 (Cost $4,778) ============= -------------------------------------------------------------------------------- TUNISIA (e)(f) 0.2% -------------------------------------------------------------------------------- Banque Centrale De Tunisie 7.500% due 08/06/2009 EC 800 723 ------------- Total Tunisia 723 (Cost $807) ============= -------------------------------------------------------------------------------- UNITED KINGDOM (e)(f) 8.4% -------------------------------------------------------------------------------- Abbey National Treasury Service 7.630% due 12/30/2002 BP 250 378 5.250% due 01/21/2004 150 214 Bank of Scotland Capital Fund 8.120% due 03/31/2049 1,180 1,741 BG Transco Holdings PLC 7.060% due 12/14/2009 (d) 1,060 1,576 Cadbury Schweppes PLC 8.000% due 12/29/2000 1,000 1,481 Equitable 8.000% due 08/29/2049 6,100 9,071 Halifax Group Euro Finance 7.630% due 12/29/2049 EC 500 441 Haus Ltd. 4.520% due 12/10/2015 (d) 1,050 927 5.010% due 12/10/2037 (d) 4,200 3,708 Lloyds TSB Bank PLC 5.630% due 07/15/2049 2,410 1,928 Royal Bank of Scotland PLC 6.770% due 03/31/2049 2,200 1,955 SCCR Series 1 Ltd. 5.020% due 12/15/2031 (d) BP 2,032 1,798 United Kingdom Gilt 5.750% due 12/07/2009 (d) 660 1,014 Vodafone AirTouch PLC 6.860% due 12/19/2001 (d) $ 500 501 Westlb Finance Curacao NV 8.500% due 03/31/2049 BP 110 169 ------------- Total United Kingdom 26,902 (Cost $29,486) ============= -------------------------------------------------------------------------------- UNITED STATES (e)(f) 92.8% -------------------------------------------------------------------------------- Asset-Backed Securities 6.4% AFC Home Equity Loan Trust 6.930% due 12/22/2027 (d) $ 739 740 Americredit Automobile Receivable Trust 5.880% due 12/05/2003 227 226 Amresco Residential Securities Mortgage Loan Trust 7.090% due 06/25/2029 (d) 3,145 3,156 Argentina Funding Corp. 6.880% due 05/20/2003 (d) 300 301 Banc One Auto Grantor Trust 6.270% due 11/20/2003 143 143 6.290% due 07/20/2004 233 232 Chase Manhattan Grantor Trust 6.610% due 09/15/2002 79 79 Contimortgage Home Equity Loan Trust 6.790% due 10/15/2012 (d) 103 103 6.010% due 12/25/2013 1,595 1,587 GMAC Mortgage Corporation Loan Trust 6.820% due 11/18/2015 (d) 2,074 2,074 Nissan Auto Receivables Grantor Trust 5.450% due 04/15/2004 769 762 Novastar Home Equity Loan 6.900% due 04/25/2028 (d) 2,616 2,612 Pacific Southwest Bank 6.060% due 06/15/2002 92 92 Providian Gateway Master Trust 6.840% due 03/15/2007 3,000 3,000 Providian Home Equity Loan Trust 6.910% due 06/25/2025 (d) 385 386 PSB Lending Home Loan Owner Trust 6.830% due 05/20/2018 720 715 Residential Asset Securities Corp. 6.760% due 12/25/2013 (d) 737 737 Residential Funding Mortgage Securities, Inc. 10.930% due 06/01/2001 2,800 2,800 Student Loan Marketing Assn. 6.840% due 04/25/2004 (d) 307 306 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 429 427 ----------- 20,478 =========== Corporate Bonds & Notes 16.2% Abbey National Capital Trust I 8.960% due 12/29/2049 1,000 1,006 AESOP Funding II LLC 6.220% due 10/20/2001 (d) 233 234 Allegheny Energy Supply 7.510% due 05/01/2002 (d) 1,400 1,400 Alpha Wind 11.320% due 05/23/2001 1,000 1,000 Associates Corp. of North America 6.780% due 08/27/2001 (d) 600 602 2.730% due 06/30/2003 (d) EC 800 709 AT&T Capital Corp. 7.010% due 04/23/2002 (d) $ 1,800 1,805 Bancomext Trust Division 8.000% due 08/05/2003 180 181 Bear Stearns Co., Inc. 7.130% due 03/28/2003 (d) 1,390 1,390 Beckman Instruments, Inc. 7.100% due 03/04/2003 138 135 Capital One Bank 7.090% due 07/28/2003 (d) 500 502 CMS Energy 8.130% due 05/15/2002 164 163 DaimlerChrysler Holdings 6.960% due 08/23/2002 (d) 480 482 DQE Capital Corp. 7.230% due 01/15/2002 (d) 400 400 Finova Capital Corp. 7.340% due 11/08/2002 (d) 1,920 1,562 7.190% due 04/08/2003 (d) 1,100 937 Ford Motor Credit Corp. 1.000% due 12/22/2003 JY 55,000 506 7.080% due 07/19/2004 (d) $ 300 300 1.200% due 02/07/2005 JY 326,000 2,971 7.170% due 07/18/2005 (d) $ 2,400 2,404 Fuji Bank Ltd. 9.870% due 12/31/2049 (d) 100 98 General Motors Acceptance Corp. 9.000% due 10/15/2002 1,140 1,186 7.020% due 04/05/2004 (d) 1,200 1,198 6.880% due 09/09/2004 BP 730 1,081 5.000% due 01/18/2005 EC 800 699 5.500% due 02/02/2005 2,500 2,168 144 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Gold Eagle Capital Ltd. 12.130% due 04/15/2001 $ 1,500 $ 1,500 Hewlett Packard Finance 5.630% due 11/20/2000 DM 2,600 1,174 Household Finance Corp. 7.090% due 08/06/2002 (d) $ 850 853 5.130% due 06/24/2009 EC 1,600 1,274 International Game Technology 7.880% due 05/15/2004 $ 1,800 1,769 J.P. Morgan & Co. 8.080% due 02/15/2012 760 657 Jones Intercable, Inc. 8.880% due 04/01/2007 164 172 Lehman Brothers Holdings, Inc. 7.530% due 07/15/2002 (d) 500 504 6.700% due 11/30/2006 (d) 509 470 Merrill Lynch & Co. 6.230% due 09/30/2000 (d) 540 540 6.790% due 11/01/2001 (d) 700 701 MGM Grand, Inc. 6.950% due 02/01/2005 80 77 Morgan Stanley, Dean Witter, Discover and Co. 6.840% due 01/28/2002 (d) 1,000 1,002 Protective Life Funding Trust 7.090% due 01/17/2003 (d) 600 599 Rollins Truck Leasing Co. 8.250% due 05/01/2002 1,000 1,003 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 8,706 8,603 6.720% due 10/21/2002 (d) BP 90 133 Sanwa Finance Aruba AEC 8.350% due 07/15/2009 $ 1,500 1,498 Sprint Capital Corp. 5.880% due 05/01/2004 280 269 TCI Communications, Inc. 7.440% due 04/01/2002 (d) 2,600 2,635 Tennessee Valley Authority 3.380% due 01/15/2007 (i) 1,471 1,379 ------------- 51,931 ============= Mortgage-Backed Securities 47.8% American Southwest Financial Securities Corp. 12.250% due 11/01/2014 127 127 Chase Mortgage Finance Corp. 6.550% due 08/25/2028 1,590 1,577 Citicorp Mortgage Securities, Inc. 6.500% due 07/25/2028 3,063 3,030 6.500% due 03/25/2029 60 55 Crusade Global Trust 7.010% due 05/15/2021 (d) 7,000 7,018 Federal Home Loan Mortgage Corp. 6.000% due 03/15/2008 515 511 8.230% due 05/01/2023 (d) 457 467 Federal Housing Administration 7.400% due 02/01/2021 1,315 1,312 7.430% due 12/01/2021-01/01/2024 (g) 876 601 Federal National Mortgage Association 7.500% due 11/01/2001 73 73 7.500% due 01/01/2002 196 197 7.000% due 01/01/2005 741 740 6.500% due 04/01/2009 394 390 15.750% due 12/01/2011 6 7 13.000% due 09/01/2013 22 25 9.000% due 04/01/2016 231 241 7.600% due 11/01/2023 (d) 204 210 8.020% due 03/01/2024 (d) 114 117 General Electric Capital Mortgage Services, Inc. 6.250% due 07/25/2029 450 435 Government National Mortgage Association 13.500% due 02/15/2011 11 12 7.380% due 05/20/2022 (d) 25 25 6.750% due 07/20/2022 (d) 265 268 6.750% due 09/20/2022 (d) 157 159 6.750% due 09/20/2022 (d) 394 398 7.380% due 05/20/2023 (d) 320 322 7.380% due 06/20/2023 (d) 250 252 6.750% due 07/20/2023 (d) 336 340 6.750% due 07/20/2023 (d) 284 286 6.750% due 09/20/2023 (d) 567 573 6.750% due 09/20/2023 (d) 208 211 7.130% due 12/20/2023 (d) 323 326 7.130% due 10/20/2024 (d) 210 212 7.130% due 12/20/2025 (d) 146 147 6.750% due 09/20/2026 (d) 250 253 7.130% due 11/20/2026 (d) 425 429 7.130% due 12/20/2026 (d) 505 510 6.500% due 10/21/2029 5,950 5,731 7.220% due 02/16/2030 (d) 4,908 4,922 7.000% due 04/20/2030-10/23/2030 (d)(g) 174,013 86,110 6.000% due 05/20/2030-10/23/2030 (d)(g) 58,216 27,831 Independent National Mortgage Corp. 9.140% due 11/25/2024 (d) 1 1 8.230% due 07/25/2025 (d) 337 340 J.P. Morgan Commercial Mortgage Finance Corp. 6.900% due 04/15/2010 (d) 500 500 Medallion Trust 6.960% due 07/12/2031 (d) 559 559 Residential Funding Mortgage Securities, Inc. 8.950% due 03/25/2025 (d) 649 659 Sasco Floating Rate Commercial Mortgage 7.020% due 11/20/2001 (d) 1,601 1,604 Small Business Investment Co. 7.640% due 03/10/2010 994 1,020 Structured Asset Mortgage Investments, Inc. 6.580% due 06/25/2029 (d) 1,593 1,527 ------------- 152,660 ============= Municipal Bonds & Notes 0.3% California State General Obligation, (FGIC Insured), Series 1997 4.750% due 12/01/2028 800 700 Los Angeles, California Wastewater System Revenue Bonds, (FGIC Insured), Series 2000 5.900% due 06/01/2028 140 95 Massachusetts Bay Transportation Authority, (MBIA Insured), Series 1998 4.750% due 03/01/2021 250 218 ------------- 1,013 ============= U.S. Government Agencies 0.7% Federal National Mortgage Association 6.500% due 07/10/2002 (i) A$ 3,700 1,999 Student Loan Marketing Assn. 6.830% due 10/25/2004 (d) $ 117 117 ------------- 2,116 ============= U.S. Treasury Obligations 20.7% Treasury Inflation Protected Securities (h) 3.630% due 07/15/2002 (b) 50,897 50,881 U.S. Treasury Bonds 8.750% due 08/15/2020 (i) 400 520 8.125% due 08/15/2021 3,000 3,703 8.000% due 11/15/2021 0 0 U.S. Treasury Strips 0.000% due 02/15/2015 21,300 8,870 0.000% due 02/15/2015 4,900 2,044 ------------- 66,018 ============= Shares Preferred Security 0.4% DG Funding Trust 9.030% due 12/29/2049 (d) 130 1,303 ------------- Preferred Stock 0.3% Pinto Totta International Finance 77.700% due 12/29/2049 1,000 915 ------------- Total United States 296,434 (Cost $298,177) ============= 2000 Semi-Annual Report See accompanying notes 145 Schedule of Investments (Cont.) Global Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- PURCHASED PUT OPTIONS 0.8% -------------------------------------------------------------------------------- Eurodollar March Futures (CME) Strike @ 90.75 Exp. 03/19/2001 $ 615 $ 2 Eurodollar vs. U.S. Dollar (OTC) Strike @ 0.850 Exp. 10/01/2000 0 0 General National Mortgage Association (OTC) 6.000% due 10/20/2030 Strike @ 85.84 Exp. 11/13/2000 286 0 General National Mortgage Association (OTC) 6.500% due 11/23/2030 Strike @ 89.359 Exp. 11/13/2000 60 0 General National Mortgage Association (OTC) 7.000% due 10/23/2030 Strike @ 89.00 Exp. 10/16/2000 84,900 0 Interest Rate Swap (OTC) Strike @ 7.500% Exp. 04/29/2002 4,900 102 Japanese Yen vs. U.S. Dollar (OTC) Strike @ 120.00 Exp. 10/02/2000 48,000 45 U.S. Treasury Inflation Protected Securities (OTC) 3.625% due 07/15/2002 Strike @ 96.50 Exp. 01/29/2001 45,630 0 U.S. Treasury Note (OTC) 6.000% due 08/15/2009 Strike @ 110.09 Exp. 11/06/2000 24,180 2,270 ------------- Total Purchased Put Options 2,419 (Cost $2,629) ============= -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 17.0% -------------------------------------------------------------------------------- Commercial Paper 13.8% Abbey National PLC 6.520% due 11/03/2000 200 199 Anz, Inc. 6.480% due 11/07/2000 200 199 AT&T Corp. 6.500% due 10/25/2000 200 199 6.520% due 11/08/2000 400 397 6.470% due 11/29/2000 2,000 1,978 Conagra, Inc. 6.740% due 10/18/2000 1,100 1,097 6.670% due 11/15/2000-11/16/2000 (g) 6,200 5,538 Dominion Resources, Inc. 6.710% due 10/18/2000 4,300 4,287 Edison Midwest 6.750% due 11/01/2000 3,700 3,679 6.730% due 11/15/2000 400 397 6.710% due 11/15/2000 900 890 Federal Home Loan Mortgage Corp. 6.440% due 10/12/2000 16,000 15,971 General Electric Capital Corp. 6.520% due 10/25/2000 100 100 6.480% due 11/29/2000 400 396 6.470% due 12/06/2000 600 593 6.490% due 12/07/2000 300 296 Houston Industries 6.770% due 10/04/2000 3,000 2,999 Infinity Broadcasting Corp. 6.700% due 11/16/2000 1,500 1,488 International Paper Co. 6.700% due 11/01/2000 1,700 1,690 KFW International Finance 6.480% due 12/06/2000 500 494 Natural Rural Utilities 6.480% due 10/18/2000-11/15/2000 (g) 700 547 Yorkshire Building Society 6.490% due 11/14/2000 500 494 ------------- 43,928 ============= Repurchase Agreements 3.2% State Street Bank 5.850% due 10/02/2000 10,299 10,299 (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 6.100% due 08/10/2001 valued at $10,509. Repurchase proceeds are $10,304.) ------------- Total Short-Term Instruments 54,227 (Cost $54,249) ============= Total Investments (a) 177.3% $ 566,504 (Cost $583,400) Written Options (c) (0.1%) (509) (Premiums $417) Other Assets and Liabilities (Net) (77.2%) (246,506) ------------- Net Assets 100.0% $ 319,489 ============= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 1,894 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (18,790) ------------- Unrealized depreciation-net $ (16,896) (b) Securities with an aggregate market value of $1,721 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: Unrealized # of Appreciation/ Type Contracts (Depreciation) -------------------------------------------------------------------------------- U.S. Treasury 10 Year Note (12/2000) 10 $ (1) Municipal Bond (12/2000) 5 (6) Government of Japan 5 Year Note (12/2000) 1 2 Government of Japan 10 Year Note (12/2000) 46 (98) United Kingdom 90 Day LIBOR Future (06/2001) 61 (2) United Kingdom 10 Year Note (12/2000) 65 (61) EuroBond 10 Year Note Written Put Options (11/2000) 108 35 ------------- $ (131) ============= (c) Premiums received on written options: 146 PIMCO Funds See accompanying notes (c) Premiums received on written options: # of Type Contracts Premium Value ------------------------------------------------------------------------------- Call - CBOT U.S. Treasury Note December Futures Strike @ 103.00 Exp. 24 $ 4 $ 3 11/18/2000 Call - CBOT U. S. Treasury Note December Futures Strike @ 102.00 Exp. 24 7 6 11/18/2000 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.84 Exp.10/10/2000 7,480,000 37 2 Call - OTC Eurodollar vs. U.S. Dollar Strike @ 0.90 Exp. 10/10/2000 7,480,000 32 16 Put - CME Eurodollar March Futures Strike @ 92.75 Exp. 13 9 0 03/19/2001 Call - CME Eurodollar March Futures Strike @ 93.25 Exp. 13 4 10 03/19/2001 Put - CBOT U.S. Treasury Note December Futures Strike @ 98.00 Exp. 11 7 2 11/18/2000 Put - CBOT U.S. Treasury Note December Futures Strike @ 97.00 Exp. 11 4 1 11/18/2000 Call - TSE Government of Japan December Futures Strike @ 134.00 Exp. 19 35 37 11/30/2000 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.81 Exp. 12/21/2000 8,200,000 30 18 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.85 Exp. 10/24/2000 3,700,000 18 9 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.500% Exp. 3,900,000 20 16 02/23/2001 Put- OTC Eurodollar vs. U.S. Dollar Strike @ 0.85 Exp. 10/24/2000 11,000,000 51 28 Put - OTC 3 Month LIBOR Interest Rate Swap Strike @ 7.500% Exp. 7,000,000 159 361 04/29/2002 ------------------- $ 417 $ 509 =================== (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Buy AP 424 02/2001 $ 3 Buy A$ 5,704 10/2000 (164) Sell 147 10/2000 5 Sell 4,492 11/2000 7 Buy 2,006 11/2000 (3) Buy BR 760 01/2001 (3) Buy 450 03/2001 4 Buy C$ 11,289 10/2000 (105) Sell SF 10,550 10/2000 (92) Buy 5,130 10/2000 5 Sell 5,130 11/2000 (4) Buy CL 209,900 10/2000 (15) Buy 37,200 03/2001 0 Buy CP 794,400 02/2001 (1) Buy DK 7,414 10/2000 (43) Sell 36,193 10/2000 (27) Buy 7,414 11/2000 (1) Sell EC 1,460 01/2001 98 Buy 257,359 10/2000 (1,636) Sell 16,142 10/2000 170 Sell 9,810 11/2000 (15) Buy 1,494 11/2000 3 Sell BP 1,216 10/2000 (20) Buy 1,560 10/2000 43 Buy GD 1,328,232 01/2001 (86) Sell 633,212 12/2000 (4) Sell H$ 33,710 10/2000 (18) Buy 33,710 10/2000 (4) Sell 107,700 08/2001 49 Buy 53,800 08/2001 (7) Buy HF 714,000 01/2001 (347) Sell 714,000 01/2001 169 Buy 198,700 02/2001 (29) Buy IR 4,410,000 10/2000 30 Sell JY 1,113,180 10/2000 74 Buy 1,109,300 10/2000 (209) Buy 7,096,776 11/2000 (121) Sell 54,718 11/2000 3 Buy KW 662,500 10/2000 13 Buy MP 4,110 10/2000 18 Buy 3,540 01/2001 7 Sell 4,110 10/2000 (11) Sell NK 5,100 10/2000 (15) Sell N$ 41,865 10/2000 788 Buy 23,307 10/2000 (350) Sell 2,378 11/2000 15 Buy PN 2,250 02/2001 (3) Buy 250 03/2001 1 Buy PP 16,170 03/2001 6 Buy PZ 8,057 01/2001 (87) Buy 4,850 02/2001 (19) Buy 12,560 03/2001 (50) Sell 4,850 02/2001 (12) Sell 7,737 01/2001 (23) Sell 2,500 03/2001 (30) Buy 13,050 10/2000 (90) Sell SK 17,287 10/2000 34 Buy TB 13,700 10/2000 (17) Buy TL 319,000,000 02/2001 (32) Buy TD 11,241 10/2000 (7) Buy VB 300,170 10/2000 19 Buy 46,750 12/2000 2 Buy SR 3,810 03/2001 15 --------- $ (2,119) --------- 2000 Semi-Annual Report See accompanying notes 147 Schedule of Investments (Cont.) Global Bond Fund September 30, 2000 (Unaudited) -------------------------------------------------------------------------------- (f) Principal amount denoted in indicated currency: AP - Argentine Peso A$ - Australian Dollar BP - British Pound BR - Brazilian Real CL - Chilean Peso CP - Columbian Peso C$ - Canadian Dollar DK - Danish Krone EC - Euro GD - Greek Drachma HF - Hungarian Forint H$ - Hong Kong Dollar IR - Indonesian Rupiah JY - Japanese Yen MP - Mexican Peso N$ - New Zealand Dollar NK - Norwegian Kron PN - Peruvian New Sol PP - Philippine Peso PZ - Polish Zloty KW - South Korean Won SF - Swiss Franc SK - Swedish Krona SR - South Africa Rand TD - Taiwan Dollar TB - Thai Baht VB - Venezuelan Bolivar (g) Securities are grouped by coupon or range of coupons and represent a range of maturities. (h) Principal amount of the security is adjusted for inflation. (i) Subject to financing transaction. (j) Restricted security. (k) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount (Depreciation) -------------------------------------------------------------------------------- Receive fixed rate equal to 5.935% and pay floating rate based on 6 month BP-LIBOR. Broker: Merrill Lynch Exp. 11/05/2003 BP 7,300 $ (121) Receive floating rate based on 6-month Australian Bank Bill and pay a fixed rate equal to 6.667%. Broker: Morgan Stanley Exp. 09/20/2005 A$ 15,200 3 Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.346%. Broker: Goldman Sachs Exp. 07/19/2005 C$ 9,000 (75) Receive floating rate based on 3-month Canadian Bank Bill and pay fixed rate equal to 6.248%. Broker: Royal Bank of Canada Exp. 08/02/2005 29,700 (174) Receive floating rate based on 3-month Canadian Bank Bill and pay fixed rate equal to 6.515%. Broker: J.P. Morgan Exp. 05/10/2002 11,910 (78) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.035%. Broker: Goldman Sachs Exp. 05/18/2010 JY 1,160,000 4 Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to 6.175%. Broker: Goldman Sachs Exp. 05/22/2030 EC 4,620 (47) Receive floating rate based on 6-month EURO-LIBOR minus 0.54% and pay a fixed rate equal to 6.250%. Broker: J.P. Morgan Exp. 01/04/2024 330 4 Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.310%. Broker: Goldman Sachs Exp. 07/14/2005 JY 693,000 (18) Receive a fixed rate equal to 7.291% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 07/21/2005 $ 6,000 137 Receive a fixed rate equal to 7.010% and pay floating rate based on 6-month LIBOR. Broker: Morgan Stanley Exp. 09/20/2005 8,900 100 Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to 6.069%. Broker: Morgan Stanley Exp. 08/25/2030 EC 3,900 28 -------- $ (237) ======== 148 PIMCO Funds See accompanying notes Schedule of Investments Global Bond Fund II September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- ARGENTINA (e)(f) 0.1% -------------------------------------------------------------------------------- Republic of Argentina 5.000% due 12/20/2002 JY 10,000 $ 93 -------- Total Argentina 93 (Cost $95) ======== -------------------------------------------------------------------------------- AUSTRALIA (e)(f) 4.4% -------------------------------------------------------------------------------- Bankers Trust Corp. 6.970% due 06/02/2008 (d) $ 700 681 General Motors Acceptance Corp. 5.020% due 03/25/2002 EC 1,200 1,058 Registered Australian Mortgage Securities 4.770% due 09/26/2032 (d) 661 584 Superannuation Members Home Loans Global Fund 7.020% due 06/15/2026 (d) $ 400 400 Torrens Trust 6.880% due 07/15/2031 (d) 472 472 -------- Total Australia 3,195 (Cost $3,329) ======== -------------------------------------------------------------------------------- AUSTRIA (e)(f) 0.1% -------------------------------------------------------------------------------- Republic of Austria 5.500% due 01/15/2010 (j) EC 100 88 -------- Total Austria 88 (Cost $87) ======== -------------------------------------------------------------------------------- BELGIUM (e)(f) 0.2% -------------------------------------------------------------------------------- Kingdom of Belgium 6.750% due 11/21/2004 (d) BF 5,800 133 -------- Total Belgium 133 (Cost $190) ======== -------------------------------------------------------------------------------- BRAZIL 0.6% -------------------------------------------------------------------------------- Republic of Brazil 7.880% due 01/01/2001 (d) $ 25 25 7.380% due 04/15/2006 (d) 419 394 -------- Total Brazil 419 (Cost $405) ======== -------------------------------------------------------------------------------- BULGARIA 1.3% -------------------------------------------------------------------------------- Republic of Bulgaria 2.750% due 07/28/2012 (d) $ 682 497 7.750% due 07/28/2024 (d) 580 444 -------- Total Bulgaria 941 (Cost $938) ======== -------------------------------------------------------------------------------- CANADA (e)(f) 0.3% -------------------------------------------------------------------------------- Beneficial Canada, Inc. 6.350% due 04/01/2002 C$ 330 220 -------- Total Canada 220 (Cost $227) ======== -------------------------------------------------------------------------------- CAYMAN ISLANDS (e)(f) 0.3% -------------------------------------------------------------------------------- MBNA American Euro 4.980% due 05/19/2004 (d) EC 280 258 -------- Total Cayman Islands 258 (Cost $294) ======== -------------------------------------------------------------------------------- DENMARK (e)(f) 3.8% -------------------------------------------------------------------------------- Danske Kredit Mortgage 5.000% due 10/01/2029 DK 2,417 $ 250 Denmark Government Bond 4.000% due 02/15/2001 (j) 3,800 446 Nykredit 5.000% due 10/01/2029 8,100 833 Realkredit Danmark Mortgage 5.000% due 10/01/2029 3,603 370 6.000% due 10/01/2029 3,300 365 Unikredit Realkredit 5.000% due 10/01/2029 4,310 446 -------- Total Denmark 2,710 (Cost $3,004) ======== -------------------------------------------------------------------------------- FRANCE (e)(f) 6.4% -------------------------------------------------------------------------------- AXA 2.500% due 01/01/2014 EC 62 56 Compagnie Financiere de CIC-UE 6.890% due 10/29/2049 (d) $ 300 286 France Government Bond (OAT) 4.000% due 04/25/2009 (j) EC 1,170 939 5.500% due 04/25/2010 330 294 Republic of France 3.000% due 07/25/2009 309 257 4.000% due 10/25/2009 (j) 3,510 2,797 -------- Total France 4,629 (Cost $4,955) ======== -------------------------------------------------------------------------------- GERMANY (e)(f) 2.0% -------------------------------------------------------------------------------- Commerzbank AG 3.870% due 09/21/2001 EC 440 388 Depfa Pfandbriefbank 4.750% due 07/15/2008 130 108 5.750% due 03/04/2009 (j) 130 114 Republic of Germany 6.000% due 07/04/2007 430 396 5.250% due 01/04/2008 430 380 6.250% due 01/04/2024 90 86 -------- Total Germany 1,472 (Cost $1,570) ======== -------------------------------------------------------------------------------- GREECE (e)(f) 8.0% -------------------------------------------------------------------------------- CSFP Credit 7.420% due 11/19/2004 (d)(k) $ 1,750 1,766 Hellenic Republic 7.280% due 06/06/2001 (d) 400 406 7.890% due 06/17/2003 (d) GD 7,400 20 10.240% due 10/23/2003 (d) 33,600 90 6.600% due 01/15/2004 (j) 1,300,000 3,467 -------- Total Greece 5,749 (Cost $5,984) ======== -------------------------------------------------------------------------------- ITALY (e)(f) 11.7% -------------------------------------------------------------------------------- Finmeccanica SpA 2.000% due 06/08/2005 EC 188 163 Island Finance 5.490% due 03/30/2015 (d) 389 344 Republic of Italy 4.750% due 07/01/2005 (j) 1,680 1,447 4.500% due 05/01/2009 (j) 4,080 3,351 4.250% due 11/01/2009 (j) 720 578 5.500% due 11/01/2010 (j) 390 344 6.500% due 11/01/2027 1,100 1,038 5.250% due 11/01/2029 (j) 1,470 1,176 -------- Total Italy 8,441 (Cost $8,804) ======== 2000 Semi-Annual Report See accompanying notes 149 Schedule of Investments (Cont.) Global Bond Fund II September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- JAPAN (e)(f) 2.9% -------------------------------------------------------------------------------- Government of Japan 4.000% due 06/20/2005 JY 11,000 $ 115 3.400% due 06/20/2005 (j) 28,000 285 0.900% due 12/22/2008 (j) 103,600 885 International Credit Receivable Japan 0.750% due 08/25/2005 10,000 93 International Credit Receivable Japan 1 Tranche A 0.720% due 11/22/2004 (d) 7,364 68 0.650% due 08/25/2005 30,000 278 International Credit Receivable Japan 1 Tranche B 0.820% due 11/22/2004 (d) 20,000 185 SHL Corp. Ltd. 0.530% due 12/25/2024 (d) 14,813 136 0.830% due 12/25/2024 (d) 5,000 46 -------- Total Japan 2,091 (Cost $2,075) ======== -------------------------------------------------------------------------------- MEXICO (e)(f) 1.7% -------------------------------------------------------------------------------- Petroleos Mexicanos 8.850% due 09/15/2007 $ 140 139 9.380% due 12/02/2008 190 196 United Mexican States 8.750% due 05/30/2002 BP 250 374 5.000% due 09/30/2002 JY 25,000 244 10.380% due 01/29/2003 DM 200 97 4.000% due 03/11/2004 JY 20,000 186 -------- Total Mexico 1,236 (Cost $1,275) ======== -------------------------------------------------------------------------------- NETHERLANDS (e)(f) 0.9% -------------------------------------------------------------------------------- Deutsche Bank Financial 6.720% due 12/17/2003 (d) $ 200 200 Tecnost International NV 6.670% due 06/23/2004 (d) EC 520 464 -------- Total Netherlands 664 (Cost $752) ======== -------------------------------------------------------------------------------- NEW ZEALAND (e)(f) 0.7% -------------------------------------------------------------------------------- Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 1,200 512 -------- Total New Zealand 512 (Cost $678) ======== -------------------------------------------------------------------------------- PANAMA 0.3% -------------------------------------------------------------------------------- Republic of Panama 4.500% due 07/17/2014 $ 250 202 -------- Total Panama 202 (Cost $193) ======== -------------------------------------------------------------------------------- PERU 0.7% -------------------------------------------------------------------------------- Republic of Peru 3.750% due 03/07/2017 $ 250 140 4.500% due 03/07/2017 (d) 550 344 -------- Total Peru 484 (Cost $545) ======== -------------------------------------------------------------------------------- PHILIPPINES (e)(f) 1.0% -------------------------------------------------------------------------------- Republic of Philippines 8.000% due 09/17/2004 EC 570 508 7.940% due 12/01/2009 (d) $ 99 86 6.500% due 12/01/2017 120 93 -------- Total Philippines 687 (Cost $799) ======== -------------------------------------------------------------------------------- POLAND 0.1% -------------------------------------------------------------------------------- Republic of Poland 3.500% due 10/27/2024 (d) 160 101 -------- Total Poland 101 (Cost $100) ======== -------------------------------------------------------------------------------- PORTUGAL (e)(f) 0.7% -------------------------------------------------------------------------------- Portugal Government 3.950% due 07/15/2009 (j) EC 650 511 -------- Total Portugal 511 (Cost $608) ======== -------------------------------------------------------------------------------- QATAR (e)(f) 0.4% -------------------------------------------------------------------------------- International Credit Receivable 5.390% due 03/15/2010 JY 300 265 -------- Total Qatar 265 (Cost $277) ======== -------------------------------------------------------------------------------- SOUTH KOREA (e)(f) 1.2% -------------------------------------------------------------------------------- Export-Import Bank Korea 7.250% due 06/25/2001 $ 260 259 Korea Development Bank 4.800% due 05/14/2001 (d) DM 440 197 1.880% due 02/13/2002 JY 42,000 389 -------- Total South Korea 845 (Cost $871) ======== -------------------------------------------------------------------------------- SPAIN (e)(f) 4.3% -------------------------------------------------------------------------------- Kingdom of Spain 4.950% due 07/30/2005 (j) EC 1,620 1,405 5.150% due 07/30/2009 1,990 1,714 -------- Total Spain 3,119 (Cost $3,212) ======== -------------------------------------------------------------------------------- SUPRANATIONAL (e)(f) 2.8% -------------------------------------------------------------------------------- Asian Development Bank 2.300% due 09/15/2003 A$ 600 316 5.250% due 09/15/2004 600 311 Eurofima 4.750% due 07/07/2004 SK 7,200 727 European Investment Bank 5.380% due 08/28/2007 NK 500 51 International Bank for Reconstruction & Development 7.250% due 04/09/2001 N$ 1,376 562 World Bank 10.250% due 04/11/2002 PP 2,000 40 -------- Total Supranational 2,007 (Cost $2,379) ======== -------------------------------------------------------------------------------- SWEDEN (e)(f) 0.1% -------------------------------------------------------------------------------- Kingdom of Sweden 13.000% due 06/15/2001 SK 900 99 -------- Total Sweden 99 (Cost $125) ======== -------------------------------------------------------------------------------- TUNISIA (e)(f) 0.1% -------------------------------------------------------------------------------- Banque Centrale De Tunisie 7.500% due 08/06/2009 EC 100 90 -------- Total Tunisia 90 (Cost $102) ======== 150 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- UNITED KINGDOM (e)(f) 8.5% -------------------------------------------------------------------------------- Abbey National Treasury Service 7.630% due 12/30/2002 BP 280 $ 424 Bank of Scotland Capital Fund 8.120% due 03/31/2049 1,060 1,564 Equitable 8.000% due 08/29/2049 700 1,041 HAUS Ltd. 5.010% due 12/10/2037 (d) EC 1,500 1,324 Lloyds TSB Bank PLC 5.630% due 07/15/2049 590 472 Royal Bank of Scotland PLC 6.770% due 03/31/2049 1,000 888 SCCR Series 1 Ltd. 5.020% due 12/15/2031 156 138 United Kingdom Gilt 5.750% due 12/07/2009 BP 190 292 -------- Total United Kingdom 6,143 (Cost $6,694) ======== -------------------------------------------------------------------------------- UNITED STATES 119.8% -------------------------------------------------------------------------------- Corporate Bonds & Notes (e)(f) 14.3% AESOP Funding II LLC 6.220% due 10/20/2001 83 83 Alpha Wind 11.320% due 05/23/2001 500 500 Associates Corp. of North America 6.780% due 08/27/2001 (d) 400 401 Bancomext Trust Division 8.000% due 08/05/2003 70 70 Bear Stearns Co., Inc. 7.130% due 03/28/2003 (d) 380 380 Beckman Instruments, Inc. 7.100% due 03/04/2003 22 21 Capital One Bank 7.090% due 07/28/2003 (d) 500 502 CMS Energy Corp. 8.130% due 05/15/2002 26 26 Finova Capital Corp. 7.340% due 11/08/2002 (d) 1,250 1,016 7.190% due 04/08/2003 (d) 700 596 Ford Motor Credit Corp. 1.000% due 12/22/2003 JY 14,000 129 1.200% due 02/07/2005 98,000 893 Gold Eagle Capital Ltd. 12.130% due 04/15/2001 $ 500 500 Goldman Sachs Group 6.470% due 01/08/2001 (d) 300 300 Hewlett Packard Finance 5.630% due 11/20/2000 DM 100 45 Household Finance Corp. 7.090% due 08/06/2002 (d) $ 230 231 J.P. Morgan & Co. 8.080% due 02/15/2012 100 87 Jones Intercable, Inc. 8.880% due 04/01/2007 26 27 Kroger Co. 7.560% due 10/01/2010 (d) 200 200 Lehman Brothers Holdings, Inc. 7.530% due 07/15/2002 (d) 400 403 MGM Grand, Inc. 6.950% due 02/01/2005 10 10 Prudential Funding Corp. 6.850% due 12/21/2000 (d) 500 500 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 2,013 1,989 6.720% due 10/21/2002 (d) BP 200 295 Sanwa Finance Aruba AEC 8.350% due 07/15/2009 $ 200 200 Sprint Capital Corp. 5.880% due 05/01/2004 50 48 TCI Communications, Inc. 7.440% due 04/01/2002 (d) 300 304 Tennessee Valley Authority 3.380% due 01/15/2007 (h) 185 174 Texas Utilities Co. 7.210% due 06/25/2001 200 200 7.590% due 09/24/2001 (d) 200 201 -------- 10,331 ======== Mortgage-Backed Securities 68.0% Chase Mortgage Finance Corp. 6.550% due 08/25/2028 530 526 Citicorp Mortgage Securities, Inc. 6.500% due 07/25/2028 315 312 6.500% due 03/25/2029 10 9 Crusade Global Trust 7.010% due 05/15/2021 (d) 1,540 1,544 Federal National Mortgage Association 7.000% due 02/25/2020 122 121 Government National Mortgage Association 7.000% due 10/23/2030-05/20/2030 23,338 20,970 (d)(g) 7.130% due 11/20/2021 (d) 40 41 6.750% due 07/20/2022 (d) 635 642 6.750% due 09/20/2023 (d) 397 401 6.750% due 07/20/2025 (d) 344 347 6.750% due 09/20/2025 (d) 40 40 7.130% due 12/20/2025 (d) 21 21 6.750% due 09/20/2026 (d) 25 25 7.130% due 11/20/2026 (d) 637 643 7.130% due 11/20/2026 (d) 294 296 7.130% due 12/20/2026 (d) 59 60 7.220% due 02/16/2030 (d) 1,402 1,406 7.300% due 02/16/2030 (d) 1,464 1,466 6.000% due 06/20/2030-10/23/2030 29,077 14,195 (d)(g) Medallion Trust 6.960% due 07/12/2031 (d) 932 932 Puma Finance Ltd. 6.420% due 04/15/2031 (k) 400 399 Residential Funding Mortgage Securities, Inc. 7.090% due 05/12/2032 (d) 2,604 2,604 Sasco Floating Rate Commercial Mortgage 7.020% due 11/20/2001 (d) 560 561 Structured Asset Mortgage Investments, Inc. 6.580% due 06/25/2029 (d) 211 202 Structured Asset Securities Corp. 6.550% due 02/25/2030 (d) 1,366 1,368 -------- 49,131 ======== Asset-Backed Securities 6.4% AFC Home Equity Loan Trust 6.930% due 12/22/2027 (d) 362 362 Amresco Residential Securities Mortgage Loan Trust 7.090% due 06/25/2029 (d) 510 512 Banc One Auto Grantor Trust 6.270% due 11/20/2003 13 13 Chase Manhattan Grantor Trust 6.610% due 09/15/2002 11 11 Contimortgage Home Equity Loan Trust 6.010% due 12/25/2013 307 305 EQCC Home Equity Loan Trust 5.770% due 03/20/2029 233 232 Nissan Auto Receivables Grantor Trust 5.450% due 04/15/2004 60 59 Providian Gateway Master Trust 6.840% due 03/15/2007 800 800 Providian Home Equity Loan Trust 6.910% due 06/25/2025 (d) 578 578 PSB Lending Home Loan Owner Trust 6.830% due 05/20/2018 110 109 Residential Asset Securities Corp. 6.760% due 12/25/2013 (d) 230 230 Residential Funding Mortgage Securities, Inc. 10.930% due 06/01/2001 300 300 Salomon Brothers Mortgage Securities 7.040% due 11/15/2029 (d) 166 166 United Panama Mortgage Loan Asset Backed 7.070% due 10/25/2029 (d) 758 757 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 172 171 -------- 4,605 ======== 2000 Semi-Annual Report See accompanying notes 151 Schedule of Investments (Cont.) Global Bond Fund II September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Municipal Bonds & Notes 0.7% California State General Obligation, (FGIC Insured), Series 1997 4.750% due 12/01/2028 $ 300 $ 262 Long Island Power Authority New York Electric System, (FSA Insured), Series 1998, 5.125% due 300 277 12/01/2022 -------- 539 ======== U.S. Government Agencies (e)(f) 3.3% Federal National Mortgage Association 6.500% due 07/10/2002 (j) A$ 200 108 Student Loan Marketing Assn. 6.520% due 04/25/2007 (d) $ 1,361 1,356 6.590% due 10/25/2007 (d) 900 897 -------- 2,361 ======== U.S. Treasury Obligations 26.1% Treasury Inflation Protected Securities 3.630% due 07/15/2002 (b)(h) 15,540 15,535 U.S. Treasury Bonds 8.750% due 08/15/2020 (j) 500 650 8.000% due 11/15/2021 600 733 6.250% due 08/15/2023 1,000 1,019 U.S. Treasury Strips 0.000% due 02/15/2015 2,200 917 -------- 18,854 ======== Preferred Security 1.0% Shares DG Funding Trust 9.030% due 12/29/2049 (d) 70 702 -------- Total United States 86,523 (Cost $86,715) ======== -------------------------------------------------------------------------------- PURCHASED PUT OPTIONS 1.0% -------------------------------------------------------------------------------- Principal Amount (000s) General National Mortgage Association (OTC) 6.000% due 10/20/2030 Strike @ 85.84 Exp. 11/13/2000 $ 14,000 0 General National Mortgage Association (OTC) 7.000% due 10/23/2030 Strike @ 89.00 Exp. 10/16/2000 23,170 0 Interest Rate Swap (OTC) Strike @ 7.500% Exp. 04/29/2002 700 14 U.S. Treasury Note (OTC) 5.625% due 05/15/2008 Strike @ 105.44 Exp. 11/01/2000 1,100 78 U.S. Treasury Note (OTC) 6.000% due 08/15/2009 Strike @ 110.09 Exp. 11/06/2000 6,910 649 -------- Total Purchased Put Options 741 (Cost $793) ======== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 6.4% -------------------------------------------------------------------------------- Commercial Paper 6.4% Alcoa, Inc. 6.450% due 12/06/2000 1,400 1,383 Conagra, Inc. 6.670% due 11/16/2000 400 396 Ingersoll-Rand Co. 6.700% due 11/15/2000 500 496 Procter & Gamble Co. 6.500% due 11/29/2000 200 198 Sprint Capital Corp. 6.720% due 11/08/2000 2,200 2,185 -------- Total Short-Term Instruments 4,658 (Cost $4,659) ======== Total Investments (a) 192.8% $139,326 (Cost $142,734) Written Options (c) ( 0.1%) (89) (Premiums $89) Other Assets and Liabilities (Net) (92.7%) (66,992) --------- Net Assets 100.0% $ 72,245 ========= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of tax cost over value. $ 495 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (3,903) --------- Unrealized depreciation-net $ (3,408) ========= (b) Securities with an aggregate market value of $860 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: Unrealized # of Appreciation/ Type Contracts (Depreciation) ------------------------------------------------------------------------------- EuroBond 10 Year Note (12/2000) 23 $ 8 Government of Japan 10 Year Note (12/2000) 13 (37) U.S. Treasury 10 Year Note (12/2000) 30 7 U.S. Treasury 30 Year Note (12/2000) 12 (14) United Kingdom 10 Year Note (12/2000) 18 (17) United Kingdom 90 Day LIBOR Future 15 1 (06/2001) EuroBond 10 Year Written Put Note Options 32 10 (11/2000) -------- $ (42) ======== 152 PIMCO Funds See accompanying notes (c) Premiums received on written options: # of Type Contracts Premium Value -------------------------------------------------------------------------------- Call - CBOT U.S. Treasury Note December Futures Strike @ 103.00 Exp. 11/18/2000 7 $ 1 $ 1 Call - CBOT U. S. Treasury Note December Futures Strike @ 102.00 Exp. 11/18/2000 7 2 2 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.84 Exp.10/10/2000 1,790,000 9 0 Call - OTC Eurodollar vs. U.S. Dollar Strike @ 0.90 Exp. 10/10/2000 1,790,000 8 4 Put - CME Eurodollar March Futures Strike @ 92.75 Exp. 03/19/2001 5 3 0 Call - CME Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 5 2 4 Put - CBOT U.S. Treasury Note December Futures Strike @ 98.00 Exp. 11/18/2000 3 2 1 Put - CBOT U.S. Treasury Note December Futures Strike @ 97.00 Exp. 11/18/2000 3 1 0 Call - TSE Government of Japan December Futures Strike @ 134.00 Exp. 11/30/2000 4 7 8 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.81 Exp. 12/21/2000 2,100,000 7 4 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.85 Exp. 10/24/2000 900,000 4 2 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.500% Exp. 02/23/2001 1,100,000 6 5 Put- OTC Eurodollar vs. U.S. Dollar Strike @ 0.85 Exp. 10/24/2000 2,800,000 13 7 Put - OTC 3 Month LIBOR Interest Rate Swap Strike @ 7.500% Exp. 04/29/2002 1,000,000 24 51 ----------------- $ 89 $ 89 ================= (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Buy AP 102 02/2001 $ 1 Buy A$ 860 10/2000 (40) Sell 150 10/2000 5 Sell 960 11/2000 1 Buy 169 11/2000 0 Buy BR 230 01/2001 (1) Buy 90 03/2001 1 Sell C$ 400 10/2000 4 Buy 130 10/2000 (1) Sell SF 2,560 10/2000 (20) Buy 1,400 10/2000 1 Sell 1,400 11/2000 (1) Buy CL 62,700 10/2000 (5) Buy 4,400 03/2001 0 Buy CP 190,800 02/2001 0 Sell DK 13,519 10/2000 11 Sell 3,366 11/2000 0 Buy 3,366 10/2000 0 Sell EC 400 01/2001 28 Sell 11,854 10/2000 259 Buy 88,805 10/2000 (26) Sell 1,159 11/2000 (2) Sell BP 3,064 10/2000 (61) Buy 460 10/2000 13 Buy GD 360,498 01/2001 (25) Sell 50,518 12/2000 0 Sell H$ 3,810 10/2000 (3) Buy 3,810 10/2000 0 Sell 31,200 08/2001 14 Buy 15,600 08/2001 (2) Buy HF 197,000 01/2001 (109) Sell 197,000 01/2001 49 Buy 47,700 02/2001 (7) Buy IR 1,180,000 10/2000 (9) Sell JY 414,425 10/2000 47 Buy 268,820 10/2000 (28) Sell 149,236 11/2000 1 Buy KW 181,300 10/2000 1 Buy MP 1,220 10/2000 6 Buy 960 01/2001 2 Sell 1,220 10/2000 (3) Sell N$ 4,126 10/2000 64 Buy 2,800 10/2000 (49) Sell 1,373 11/2000 8 Buy PN 540 02/2001 (1) Buy 120 03/2001 0 Buy PP 4,450 03/2001 2 Buy PZ 1,067 01/2001 (13) Buy 2,780 02/2001 (19) Buy 3,213 03/2001 (7) Sell 2,780 02/2001 7 Sell 667 01/2001 (4) Sell 270 03/2001 (4) Buy 3,560 10/2000 (26) Sell SK 1,364 10/2000 3 Buy TB 3,800 10/2000 (5) Buy TL 125,000,000 02/2001 (12) Buy TD 3,092 10/2000 (2) Buy VB 89,550 10/2000 6 Buy 4,010 12/2000 0 Buy SR 1,030 03/2001 2 -------- $ 51 ======== 2000 Semi-Annual Report See accompanying notes 153 Schedule of Investments (Cont.) Global Bond Fund II September 30, 2000 (Unaudited) (f) Principal amount denoted in indicated currency: AP - Argentine Peso A$ - Australian Dollar BP - British Pound BR - Brazilian Real CL - Chilean Peso CP Columbian Peso C$ - Canadian Dollar DK - Danish Krone EC - Euro GD - Greek Drachma HF - Hungarian Forint H$ - Hong Kong Dollar IR - Indonesian Rupiah JY - Japanese Yen MP - Mexican Peso N$ - New Zealand Dollar PN - Peruvian New Sol PP - Philippine Peso PZ - Polish Zloty KW - South Korean Won SF - Swiss Franc SK - Swedish Krona SR - South Africa Rand TD - Taiwan Dollar TB - Thai Baht VB - Venezuelan Bolivar (g) Securities are grouped by coupon or range of coupons and represent a range of maturities. (h) Principal amount of the security is adjusted for inflation. (i) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount (Depreciation) -------------------------------------------------------------------------------- Receive fixed rate equal to 5.935% and pay floating rate based on 6 month BP-LIBOR. Broker: Merrill Lynch Exp. 11/05/2003 BP 1,700 $ (28) Receive floating rate based on 6-month Australian Bank Bill and pay a fixed rate equal to 6.667%. Broker: Morgan Stanley Exp. 09/20/2005 A$ 4,400 1 Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.346%. Broker: Goldman Sachs Exp. 07/19/2005 C$ 3,000 (25) Receive floating rate based on 3-month Canadian Bank Bill and pay fixed rate equal to 6.248%. Broker: Royal Bank of Canada Exp. 08/02/2005 8,500 (50) Receive floating rate based on 3-month Canadian Bank Bill and pay fixed rate equal to 6.515%. Broker: J.P. Morgan Exp. 05/10/2002 3,400 (22) Receive floating rate based on 6-month JY-LIBOR and pay fixed rate equal to 2.020%. Broker: Goldman Sachs Exp. 05/18/2010 JY 226,000 4 Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to 6.175%. Broker: Goldman Sachs Exp. 05/22/2030 EC 1,320 $ (13) Receive floating rate based on 6-month EURO-LIBOR minus 0.54% and pay a fixed rate equal to 6.250%. Broker: J.P. Morgan Exp. 01/04/2024 90 1 Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.310%. Broker: Goldman Sachs Exp. 07/14/2005 JY 232,000 (6) Receive a fixed rate equal to 7.291% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 07/21/2005 $ 2,000 46 Receive a fixed rate equal to 7.010% and pay floating rate based on 6-month LIBOR. Broker: Morgan Stanley Exp. 09/20/2005 2,600 29 Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to 6.069%. Broker: Morgan Stanley Exp. 08/25/2030 EC 1,100 8 ---------- $ (55) ========== (j) Subject to financing transaction. (k) Restricted security. 154 PIMCO Funds See accompanying notes Schedule of Investments Emerging Markets Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- ARGENTINA 3.5% -------------------------------------------------------------------------------- Republic of Argentina 7.375% due 03/31/2005 (d) $ 540 $ 498 11.375% due 01/30/2017 (f) 1,100 985 6.875% due 03/31/2023 500 343 -------- Total Argentina 1,826 (Cost $1,818) ======== -------------------------------------------------------------------------------- BERMUDA 0.4% -------------------------------------------------------------------------------- IMEXA Export Trust 10.125% due 05/31/2003 $ 214 213 -------- Total Bermuda 213 (Cost $210) ======== -------------------------------------------------------------------------------- BRAZIL 29.9% -------------------------------------------------------------------------------- Republic of Brazil 7.375% due 04/15/2006 (d)(f) $ 6,354 5,996 14.500% due 10/15/2009 (f) 2,300 2,536 7.437% due 04/15/2012 500 385 8.000% due 04/15/2014 (f) 868 669 6.937% due 04/15/2024 400 319 12.250% due 03/06/2030 (f) 4,950 4,505 11.000% due 08/17/2040 1,297 1,036 -------- Total Brazil 15,446 (Cost $15,215) ======== -------------------------------------------------------------------------------- BULGARIA 6.0% -------------------------------------------------------------------------------- Republic of Bulgaria 7.062% due 07/28/2011 $ 1,250 947 7.062% due 07/28/2024 (d) 2,810 2,150 -------- Total Bulgaria 3,097 (Cost $3,185) ======== -------------------------------------------------------------------------------- COLOMBIA 1.0% -------------------------------------------------------------------------------- Republic of Colombia 7.625% due 02/15/2007 $ 420 322 8.700% due 02/15/2016 130 89 11.750% due 02/25/2020 100 85 -------- Total Colombia 496 (Cost $504) ======== -------------------------------------------------------------------------------- JORDAN 2.5% -------------------------------------------------------------------------------- Kingdom of Jordan 6.000% due 12/23/2023 $ 1,700 1,270 -------- Total Jordan 1,270 (Cost $1,190) ======== -------------------------------------------------------------------------------- MALAYSIA 5.0% -------------------------------------------------------------------------------- Republic of Malaysia 6.875% due 05/15/2001 $ 1,500 1,500 8.750% due 06/01/2009 1,000 1,052 -------- Total Malaysia 2,552 (Cost $2,541) ======== -------------------------------------------------------------------------------- MEXICO 23.4% -------------------------------------------------------------------------------- Nacional Financiera 8.565% due 05/08/2003 $ 1,500 1,523 United Mexican States 8.500% due 02/01/2006 1,500 1,501 10.375% due 02/17/2009 650 709 9.875% due 02/01/2010 1,250 1,332 6.250% due 12/31/2019 2,900 2,607 7.312% due 12/31/2019 1,650 1,724 7.925% due 12/31/2019 525 549 11.500% due 05/15/2026 1,725 2,098 United Mexican States Recovery Rights 0.000% due 06/30/2003 3,980 0 -------- Total Mexico 12,043 (Cost $11,588) ======== -------------------------------------------------------------------------------- MOROCCO 1.2% -------------------------------------------------------------------------------- Republic of Morocco 7.750% due 01/01/2009 $ 699 619 -------- Total Morocco 619 (Cost $626) ======== -------------------------------------------------------------------------------- NIGERIA 0.8% -------------------------------------------------------------------------------- Central Bank of Nigeria 6.250% due 11/15/2020 $ 750 433 Central Bank of Nigeria - Warrant 0.000% due 11/15/2020 1 0 -------- Total Nigeria 433 (Cost $421) ======== -------------------------------------------------------------------------------- PANAMA 4.2% -------------------------------------------------------------------------------- Republic of Panama 7.930% due 05/10/2002 $ 92 91 4.500% due 07/17/2014 1,750 1,414 8.875% due 09/30/2027 335 281 9.375% due 04/01/2029 400 385 -------- Total Panama 2,171 (Cost $2,186) ======== -------------------------------------------------------------------------------- PERU 3.9% -------------------------------------------------------------------------------- Republic of Peru 3.750% due 03/07/2017 $ 2,100 1,174 4.500% due 03/07/2017 1,310 817 -------- Total Peru 1,991 (Cost $2,105) ======== -------------------------------------------------------------------------------- PHILIPPINES 1.2% -------------------------------------------------------------------------------- Republic of Philippines 7.937% due 12/01/2007 $ 66 53 9.875% due 01/15/2019 275 225 9.875% due 01/15/2019 (f) 410 337 -------- Total Philippines 615 (Cost $642) ======== -------------------------------------------------------------------------------- POLAND 2.9% -------------------------------------------------------------------------------- Republic of Poland 6.000% due 10/27/2014 $ 615 566 3.500% due 10/27/2024 1,475 929 -------- Total Poland 1,495 (Cost $1,447) ======== -------------------------------------------------------------------------------- RUSSIA 7.8% -------------------------------------------------------------------------------- Russian Federation 9.250% due 11/27/2001 $ 100 97 8.750% due 07/24/2005 700 555 6.057% due 12/15/2015 505 175 11.000% due 07/24/2018 650 475 0.000% due 12/15/2020 3,300 1,122 12.750% due 06/24/2028 1,850 1,615 -------- Total Russia 4,039 (Cost $3,319) ======== -------------------------------------------------------------------------------- SOUTH KOREA 4.8% -------------------------------------------------------------------------------- Hanvit Bank 11.750% due 03/01/2010 $ 200 199 12.750% due 03/01/2010 250 255 Korea Development Bank 9.450% due 03/15/2001 500 506 7.125% due 09/17/2001 500 499 Republic of Korea 8.875% due 04/15/2008 975 1,024 -------- Total South Korea 2,483 (Cost $2,436) ======== 2000 Semi-Annual Report See accompanying notes 155 Schedule of Investments (Cont.) Emerging Markets Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- TURKEY 0.6% -------------------------------------------------------------------------------- Export Credit Bank of Turkey 11.500% due 02/25/2005 $ 100 $ 99 Republic of Turkey 11.875% due 11/05/2004 215 224 -------- Total Turkey 323 (Cost $321) ======== -------------------------------------------------------------------------------- VENEZUELA 6.2% -------------------------------------------------------------------------------- Republic of Venezuela 7.875% due 12/18/2007 (d) $ 1,607 1,381 6.750% due 03/31/2020 1,100 825 9.250% due 09/15/2027 1,500 1,014 Republic of Venezuela - Warrant 0.000% due 04/15/2020 6 0 -------- Total Venezuela 3,220 (Cost $3,133) ======== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 7.7% -------------------------------------------------------------------------------- Commercial Paper 5.6% Alcoa, Inc. 6.450% due 12/06/2000 $ 200 198 General Electric Capital Corp. 6.470% due 12/13/2000-12/20/2000 (e) 1,400 888 Ingersoll-Rand Co. 6.740% due 11/15/2000 400 397 International Paper Co. 6.700% due 10/05/2000 400 400 National Power Corp. 7.625% due 11/15/2000 1,000 1,000 -------- 2,883 ======== Repurchase Agreement 2.1% State Street Bank 5.850% due 10/02/2000 1,071 1,071 (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 7.050% due 02/28/2002 valued at $1,097 Repurchase proceeds are $1,072.) -------- Total Short-Term Instruments 3,954 (Cost $3,950) ======== Total Investments (a) 113.0% $ 58,286 (Cost $56,836) Other Assets and Liabilities (Net) (13.0%) (6,707) ======== Net Assets 100.0% $ 51,579 ======== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 2,065 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (615) -------- Unrealized appreciation-net $ 1,450 ======== (b) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Buy CP 67,438 12/2000 $ (5) Buy EC 186 11/2000 (34) Buy 496 10/2000 (13) Sell 93 11/2000 18 Buy HF 165,000 11/2000 (33) Buy PZ 750 11/2000 2 Buy 2,000 12/2000 (7) Buy 1,000 01/2001 (8) ------------ $ (80) ============ (c) Principal amount denoted in indicated currency: CP - Chilean Peso EC - European Currency Unit HF - Hugarian Forint PZ - Polish Zloty (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Securities are grouped by coupon or range of coupons and represent a range of maturities. (f) Subject to financing transaction. 156 PIMCO Funds See accompanying notes Schedule of Investments Strategic Balanced Fund September 30, 2000 (Unaudited) Value Shares (000s) -------------------------------------------------------------------------------- PIMCO FUNDS (d) 91.0% -------------------------------------------------------------------------------- StocksPLUS 3,181,221 $ 42,755 Total Return 3,032,284 30,596 -------- Total PIMCO Funds 73,351 (Cost $74,081) ======== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 3.9% -------------------------------------------------------------------------------- Principal Amount (000s) Repurchase Agreements 3.9% State Street Bank 5.850% due 10/02/2000 $ 3,134 3,134 (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 6.100% due 08/10/2001 valued at $3,198. Repurchase proceeds are $3,136.) -------- Total Short-Term Instruments 3,134 (Cost $3,134) ======== Total Investments (a) 94.9% $ 76,485 (Cost $77,215) Other Assets and Liabilities (Net) 5.1% 4,130 -------- Net Assets 100.0% $ 80,615 ======== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 833 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (2,370) -------- Unrealized depreciation-net $ (1,537) ======== (b) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Sell EC 18,311 10/2000 $ 278 Buy 18,311 10/2000 (137) Buy HF 300,000 03/2001 27 Sell 300,000 03/2001 17 ----------- $ 185 =========== (c) Principal amount denoted in indicated currency: EC - Euro HF - Hugarian Forint (d) Institutional Class shares of each PIMCO Fund. 2000 Semi-Annual Report See accompanying notes 157 Schedule of Investments Convertible Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 71.9% -------------------------------------------------------------------------------- Banking & Finance 5.8% ACOM Co. Ltd. 0.000% due 03/31/2002 $ 50,000 $ 501 Exchangeable Certificates Corp. 0.250% due 04/12/2005 5,950 5,783 Hellenic Finance 2.000% due 07/15/2003 500 443 JMH Finance Ltd. 4.750% due 09/06/2007 1,200 1,237 Merrill Lynch & Co. 1.000% due 07/20/2006 1,775 1,356 ------------- 9,320 ============= Energy 1.8% Diamond Offshore Drilling 3.750% due 02/15/2007 2,560 2,902 ------------- Health Care 16.4% Alza Corp. 0.000% due 07/28/2020 7,750 5,406 Athena Neurosciences, Inc. 4.750% due 11/15/2004 750 1,150 Centocor, Inc. 4.750% due 02/15/2005 2,100 2,698 Ivax Corp. 5.500% due 05/15/2007 2,300 3,355 Mercury Interactive Corp. 4.750% due 07/01/2007 1,800 2,786 Millennium Pharmaceuticals 5.500% due 01/15/2007 1,500 2,837 Roche Holdings, Inc. 0.000% due 01/19/2015 2,950 2,817 Vertex Pharmaceuticals 5.000% due 03/14/2007 3,000 3,495 Wellpoint Health Network, Inc. 0.000% due 07/02/2019 2,000 1,573 ------------- 26,117 ============= Industrial 5.0% Celestica, Inc. 0.000% due 08/01/2020 3,500 1,750 Dupont Photomasks, Inc. 0.000% due 07/24/2004 800 774 Kohls Corp. 0.000% due 06/12/2020 2,500 1,469 Solectron Corp. 0.000% due 01/27/2019 2,000 1,475 Young & Rubicam, Inc. 3.000% due 01/15/2005 2,500 2,466 ------------- 7,934 ============= Technology 36.3% Analog Devices, Inc. 4.750% due 10/01/2005 3,200 3,353 ASM Lithography Holding 4.250% due 11/30/2004 2,000 2,250 2.500% due 04/09/2005 1,500 1,160 AT&T - Liberty Media Group 4.000% due 11/15/2029 3,200 3,004 Clear Channel Communications, Inc. 1.500% due 12/01/2002 650 604 2.630% due 04/01/2003 3,300 3,622 Comverse Technology, Inc. 4.500% due 07/01/2005 1,040 5,305 Exodus Communications, Inc. 4.750% due 07/15/2008 2,000 3,075 Hewlett Packard Co. 0.000% due 10/14/2017 4,450 3,271 I2 Technologies, Inc. 5.250% due 12/15/2006 2,500 6,653 Juniper Networks, Inc. 4.750% due 03/15/2007 2,000 3,082 Lattice Semiconductor Co. 4.750% due 11/01/2006 1,600 2,318 LSI Logic Corp. 4.250% due 03/15/2004 500 990 Nextel Communications, Inc. 5.250% due 01/15/2010 3,000 2,828 Sanmina Corp. 4.250% due 05/01/2004 700 1,579 0.000% due 09/12/2020 7,000 3,103 SCI Systems, Inc. 3.000% due 03/15/2007 2,750 2,753 Stmicroelectron 0.000% due 09/22/2009 1,900 2,522 U.S. Cellular Corp. 0.000% due 06/15/2015 3,600 2,466 Veritas Software Corp. 1.860% due 08/13/2006 1,000 4,110 ------------- 58,048 ============= Utilities 6.6% AES Corp. 4.500% due 08/15/2005 750 1,932 AES Trust VII 6.000% due 01/01/2000 24 1,995 Alliant Energy Resources, Inc. 4.910% due 01/01/2000 33 1,982 Kerr-McGee Corp. 5.250% due 02/15/2010 1,000 1,247 Nabors Industries, Inc. 0.000% due 06/20/2020 4,900 3,418 ------------- 10,574 ------------- Total Convertible Bonds & Notes 114,895 (Cost $99,333) ============= -------------------------------------------------------------------------------- CONVERTIBLE PREFERRED STOCK 23.3% -------------------------------------------------------------------------------- Shares Banking & Finance 3.2% Metlife Capital Trust I Cvt. Pfd. 5.680% due 01/01/2000 61,000 5,078 ------------- Energy 6.4% Apache Corp. Cvt. Pfd. 6.500% due 05/15/2002 17,000 872 Coastal Corp. Cvt. Pfd. 6.625% due 08/16/2002 10,000 416 Kerr-McGee Corp. Cvt. Pfd. 5.500% due 08/01/2004 108,900 5,918 Valero Energy Cvt. Pfd. 7.750% due 08/18/2003 100,500 2,952 ------------- 10,158 ============= Industrial 5.2% Decs Trust VI Cvt. Pfd. 6.250% due 11/15/2002 40,000 1,800 Qwest Trends Trust Cvt. Pfd. 2.400% due 01/01/2000 25,000 1,969 Sealed Air Corp. Cvt. Pfd. 4.000% due 04/01/2018 2,000 90 Times Mirror Co. Cvt. Pfd. 4.250% due 03/15/2001 4,000 339 Tribune Co. Cvt. Pfd. 2.000% due 05/15/2029 35,100 4,168 ------------- 8,366 ============= Utilities 8.5% Calpine Capital Trust III Cvt. Pfd. 5.000% due 01/01/2000 70,000 4,489 Enron Corp. Cvt. Pfd. 7.000% due 07/31/2002 108,000 3,841 MediaOne Group, Inc. Cvt. Pfd. 6.250% due 08/15/2001 9,500 791 SEI Trust I Cvt. Pfd. 6.250% due 10/01/2030 50,000 3,294 Weatherford International, Inc. Cvt. Pfd. 5.000% due 11/01/2027 25,000 1,191 ------------- 13,606 ------------- Total Convertible Preferred Stock 37,208 (Cost $30,604) ============= 158 PIMCO Funds See accompanying notes Value Shares (000s) -------------------------------------------------------------------------------- COMMON STOCKS 5.0% -------------------------------------------------------------------------------- Communications 0.0% Leap Wireless International, Inc. 344 $ 22 Consumer Discretionary 1.2% Time Warner, Inc. 24,792 1,940 Technology 3.8% EMC Corp. 60,668 6,014 ------------- Total Common Stocks 7,976 (Cost $5,207) ============= -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 2.9% -------------------------------------------------------------------------------- Principal Amount (000s) Commercial Paper 2.5% Federal Home Loan Mortgage Corp. 6.440% due 10/12/2000 $ 2,600 2,595 General Electric Capital Corp. 6.470% due 12/20/2000 700 690 Ingersoll-Rand Co. 6.840% due 10/02/2000 700 700 ------------- 3,985 ============= Repurchase Agreements 0.4% State Street Bank 5.850% due 10/02/2000 576 576 (Dated 9/29/2000. Collateralized by Federal Home Loan Bank 7.090% due 09/19/2003 valued at $590. Repurchase proceeds are $576.) ------------- Total Short-Term Instruments 4,561 (Cost $4,561) ============= Total Investments (a) 103.1% $164,640 (Cost $139,705) Other Assets and Liabilities (Net) (3.1%) (4,967) ------------- Net Assets 100.0% $ 159,673 ============= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 29,506 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (4,571) ------------- Unrealized appreciation-net $ 24,935 ============= 2000 Semi-Annual Report See accompanying notes 159 Schedule of Investments StocksPLUS Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 46.6% -------------------------------------------------------------------------------- Banking & Finance 19.2% Associates Corp. of North America 6.960% due 05/08/2003 (d) $ 11,800 $ 11,791 AT&T Capital Corp. 7.110% due 09/13/2001 (d) 2,100 2,104 7.010% due 04/23/2002 (d) 5,725 5,741 Bear Stearns Co., Inc. 6.130% due 02/01/2003 (d) 1,100 1,078 7.050% due 09/21/2004 (d) 16,800 16,783 Beaver Valley Funding Corp. 8.250% due 06/01/2003 1,193 1,182 Capital One Bank 7.610% due 06/23/2003 (d) 5,400 5,400 CIT Group, Inc. 6.200% due 10/20/2000 3,600 3,599 DaimlerChrysler Financial Services LLC 6.790% due 02/10/2003 (d) 9,600 9,602 Donaldson, Lufkin & Jenrette, Inc. 6.760% due 04/25/2003 (d) 6,900 6,898 Ford Motor Credit Corp. 6.840% due 11/16/2001 (d) 11,000 11,010 6.810% due 03/19/2002 (d) 590 593 6.990% due 07/16/2002 (d) 6,800 6,815 6.820% due 12/16/2002 (d) 3,800 3,790 6.810% due 02/13/2003 (d) 15,000 14,981 6.850% due 03/17/2003 (d) 500 499 General Motors Acceptance Corp. 6.190% due 02/25/2002 (d) 1,000 1,000 Gold Eagle Capital Ltd. 12.130% due 04/15/2001 10,000 10,000 Goldman Sachs Group 7.090% due 03/04/2002 (d) 9,000 9,018 GS Escrow Corp. 7.710% due 08/01/2003 (d) 6,000 5,823 Heller Financial, Inc. 7.070% due 10/22/2001 (d) 10,800 10,823 Household Finance Corp. 6.780% due 06/22/2001 (d) 5,000 5,006 Lehman Brothers Holdings, Inc. 6.970% due 06/03/2002 (d) 600 600 7.530% due 07/15/2002 (d) 3,005 3,030 7.170% due 04/04/2003 (d) 10,200 10,203 6.700% due 11/30/2006 (d) 1,910 1,767 LG&E Capital Corp. 7.490% due 06/18/2001 (d) 6,400 6,402 MBNA America Bank NA 6.960% due 06/10/2004 (d) 10,000 10,007 Merrill Lynch & Co. 6.520% due 10/10/2000 (d) 3,000 3,001 6.730% due 06/18/2001 (d) 10,000 9,999 6.730% due 01/11/2002 (d) 8,550 8,591 6.920% due 02/04/2003 (d) 6,000 5,997 7.180% due 03/17/2004 (d) 100 100 MFN Financial Corp. 6.980% due 09/13/2001 (d) 4,000 4,002 Nacional Financiera 10.560% due 12/01/2000 (d) 10,500 10,448 National Australia Bank Ltd. 7.320% due 05/19/2010 (d) 11,700 11,810 NationsBank Corp. 7.030% due 02/18/2002 (d) 100 98 Old Kent Bank 7.460% due 11/01/2005 4,500 4,496 Qwest Capital Funding, Inc. 7.200% due 07/08/2002 (d) 17,500 17,516 Republic New York Corp. 5.280% due 10/28/2002 (d) 100 99 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 3,352 3,312 6.510% due 04/02/2002 (d) 3,800 3,817 6.910% due 02/11/2003 (d) 5,000 5,004 6.530% due 03/26/2003 (d) 5,000 5,007 Wells Fargo & Co. 7.220% due 05/02/2005 (d) 6,400 6,398 ------------- 275,240 ============= Industrials 17.2% Air Canada 6.800% due 07/31/2005 (d) 10,909 10,033 Amerco, Inc. 6.890% due 10/15/2000 16,800 16,632 Arrow Electronics, Inc. 7.440% due 11/24/2000 (d) 15,000 14,997 Atlas Air, Inc. 10.470% due 10/04/2004 (d) 7,000 7,000 Black & Decker Corp. 7.640% due 12/20/2001 (d) 7,250 7,289 Cemex SA 9.250% due 06/17/2002 300 306 Clear Channel Communications, Inc. 7.210% due 06/15/2002 (d) 5,600 5,613 COFIRI International, Inc. 6.630% due 10/27/2000 (d) 2,000 1,997 Columbia/HCA Healthcare 8.160% due 09/19/2002 (d) 37,800 37,800 CSX Corp. 7.260% due 06/24/2002 (d) 6,900 6,901 El Paso Energy Corp. 6.930% due 07/15/2001 (d) 4,800 4,803 Enron Corp. 7.110% due 09/10/2001 (d) 1,000 1,000 8.000% due 08/15/2005 1,100 1,117 ITT Corp. 6.250% due 11/15/2000 24,065 24,022 Kroger Co. 6.340% due 06/01/2001 2,000 1,993 Marlin Water Trust 7.090% due 12/15/2001 4,049 4,026 Merita 6.470% due 12/01/2005 (d) 1,000 1,005 Occidental Petroleum 7.360% due 10/03/2008 (d) 600 599 Petroleos Mexicanos 8.130% due 07/15/2005 (d) 18,000 18,045 Raytheon Co. 7.020% due 08/10/2001 (d) 8,900 8,907 Rollins Truck Leasing Co. 8.250% due 05/01/2002 29,900 29,982 Stone Container Corp. 10.750% due 10/01/2002 3,435 3,499 TCI Communications, Inc. 7.300% due 04/03/2002 (d) 11,600 11,752 7.360% due 03/11/2003 (d) 4,000 4,079 TRW, Inc. 6.450% due 06/15/2001 400 397 Tyco International Group SA 7.370% due 03/05/2001 (d) 14,500 14,516 Waste Management, Inc. 6.000% due 05/15/2001 1,500 1,470 Williams Communications Group, Inc. 7.180% due 11/15/2001 (d) 6,900 6,904 ------------- 246,684 ============= Utilities 10.2% Appalachian Power Co. 7.270% due 06/27/2001 (d) 12,000 12,003 Central Power & Light Co. 7.290% due 11/23/2001 (d) 3,600 3,600 Dominion Resources, Inc. 7.030% due 01/26/2001 (d) 400 400 Entergy Arkansas, Inc. 7.720% due 03/01/2003 (d) 3,700 3,739 Hughes Electric 7.560% due 10/23/2000 (d) 4,500 4,501 Montana Power Co. 7.000% due 04/06/2001 (d) 1,200 1,200 Nevada Power Co. 7.210% due 06/12/2001 (d) 13,000 13,000 Niagara Mohawk Power 7.130% due 07/01/2001 6,805 6,807 North Atlantic Energy 9.050% due 06/01/2002 599 605 160 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Public Service Enterprise Group, Inc. 7.040% due 11/22/2000 (d) $ 15,000 $ 14,999 Scana Corp. 7.380% due 07/15/2002 (d) 11,300 11,316 Sprint Capital Corp. 6.970% due 11/15/2001 (d) 25,600 25,611 7.010% due 06/10/2002 (d) 1,100 1,101 System Energy Resources 7.710% due 08/01/2001 250 251 Texas Utilities Co. 7.210% due 06/25/2001 (d) 1,900 1,899 7.590% due 09/24/2001 (d) 14,000 14,074 5.940% due 10/15/2001 28,725 28,348 6.410% due 11/21/2001 1,000 993 Western Massachusetts Electric 7.750% due 12/01/2002 1,882 1,883 ------------- 146,330 ------------- Total Corporate Bonds & Notes 668,254 (Cost $667,130) ============= -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 0.2% -------------------------------------------------------------------------------- Student Loan Marketing Assn. 6.480% due 07/25/2004 (d) 252 252 6.920% due 04/25/2006 (d) 2,910 2,898 ------------- Total U.S. Government Agencies 3,150 (Cost $3,136) ============= -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 9.0% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (b)(c) 3.630% due 07/15/2002 111,105 111,070 3.630% due 01/15/2008 18,802 18,373 ------------- Total U.S. Treasury Obligations 129,443 (Cost $128,947) ============= -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 23.8% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 10.0% Bank Mart 6.880% due 03/01/2019 (d)(i) 4,483 4,544 Countrywide Home Loans 6.050% due 04/25/2029 5,768 5,692 CS First Boston Mortgage Securities Corp. 6.960% due 06/20/2029 2,486 2,483 Donaldson, Lufkin & Jenrette, Inc. 7.910% due 10/17/2020 (d) 139 142 Federal Home Loan Mortgage Corp. 7.000% due 06/15/2023 745 743 6.500% due 08/15/2023 7,495 7,428 Federal National Mortgage Assn. 5.700% due 06/25/2017 534 529 6.760% due 04/25/2020 (d) 18 18 6.500% due 05/18/2024 3,411 3,377 General Electric Capital Mortgage Services, Inc. 6.300% due 09/25/2023 2,000 1,977 6.250% due 10/25/2028 794 785 6.250% due 12/25/2028 1,472 1,337 Government National Mortgage Assn. 7.300% due 09/20/2030 (d) 20,919 20,912 7.020% due 09/29/2030 (d) 300 300 7.300% due 02/16/2030 (d) 15,008 15,023 7.220% due 02/16/2030 (d) 26,654 26,729 Greenwich 7.980% due 04/25/2022 (d) 225 224 8.150% due 10/25/2022 (d) 8 8 Housing Securities, Inc. 7.320% due 07/25/2032 (d) 425 425 ICI Funding Corp. Secured Assets Corp. 7.650% due 07/25/2028 3,569 3,555 Independent National Mortgage Corp. 8.350% due 06/25/2025 67 66 Norwest Asset Securities Corp. 6.750% due 08/25/2029 8,551 8,474 PaineWebber Mortgage 6.430% due 02/25/2001 (d) 251 249 PNC Mortgage Securities Corp. 6.630% due 03/25/2028 7,352 7,237 7.500% due 10/25/2030 6,200 6,208 Resecuritization Mortgage Trust 6.870% due 04/26/2021 (d) 318 312 Residential Funding Mortgage Securities, Inc. 6.280% due 03/25/2018 (d) 1,552 1,504 Resolution Trust Corp. 8.000% due 06/25/2026 822 827 7.590% due 05/25/2029 (d) 13 13 Structured Asset Mortgage Investments, Inc. 9.040% due 06/25/2029 (d) 17,693 18,225 Structured Asset Securities Corp. 6.790% due 12/25/2000 (d) 298 298 TMA Mortgage Funding Trust 7.000% due 01/25/2029 (d) 4,368 4,368 ------------- 144,012 ============= Federal Home Loan Mortgage Corporation 0.3% 6.770% due 07/01/2019 (d) 2,554 2,537 7.620% due 12/01/2022 (d) 532 543 8.160% due 06/01/2022 (d) 350 358 8.500% due 04/01/2025-06/01/2025 (j) 183 188 ------------- 3,626 ============= Federal National Mortgage Association 0.7% 6.130% due 03/01/2029 (d) 345 338 6.440% due 05/01/2017 (d) 245 241 6.450% due 07/01/2018-02/01/2031 (d)(j) 3,306 3,245 6.500% due 09/01/2005 5,187 5,135 6.610% due 04/01/2018 (d) 93 92 7.900% due 05/01/2022 (d) 280 284 ------------- 9,335 ============= Government National Mortgage Association 12.7% 6.750% due 07/20/2018-08/20/2026 (d)(j) 16,603 16,777 7.000% due 10/23/2030 101,400 99,879 7.120% due 02/16/2030 (d) 27,543 27,672 7.130% due 12/20/2022-12/20/2027 (d)(j) 7,942 8,000 7.380% due 02/20/2026-02/20/2028 (d)(j) 17,952 18,086 7.500% due 10/23/2030 11,800 11,833 ------------- 182,247 ============= Other Mortgage-Backed Securities 0.1% California Federal Savings & Loan 6.780% due 07/25/2018 (d) 20 20 Fund America 7.550% due 06/25/2023 (d) 114 114 J.P. Morgan & Co. 6.820% due 01/25/2018 (d) 301 295 Resolution Trust Corp. 7.540% due 12/25/2023 (d) 2 2 Structured Asset Securities Corp. 7.110% due 09/25/2036 (d) 804 797 ------------- 1,228 ============= Stripped Mortgage-Backed Securities 0.0% Federal Home Loan Mortgage Corp. (IO) 6.500% due 08/15/2006 1,199 55 6.500% due 08/15/2016 24 0 7.500% due 08/15/2019 281 4 Federal National Mortgage Association (IO) 6.000% due 11/25/2000 61 0 7.000% due 07/25/2006 227 11 6.500% due 09/25/2008 219 18 6.500% due 02/25/2021 1,992 109 7.000% due 07/25/2021 628 89 6.500% due 03/25/2023 3,225 361 ------------- 647 ------------- Total Mortgage-Backed Securities 341,095 (Cost $341,483) ============= 2000 Semi-Annual Report See accompanying notes 161 Schedule of Investments (Cont.) StocksPLUS Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 8.1% -------------------------------------------------------------------------------- AFC Home Equity Loan Trust 6.770% due 06/25/2028 (d) $ 7,862 $ 7,851 Allied Waste Industries, Inc. 9.440% due 07/30/2006 2,274 2,205 9.690% due 07/30/2007 (d) 2,364 2,294 9.750% due 07/30/2007 (d) 364 353 Amresco Residential Securities Mortgage Loan Trust 6.810% due 07/25/2027 (d) 15 15 6.780% due 05/25/2028 (d) 711 710 Arcadia Automobile Receivables Trust 6.500% due 06/17/2002 70 70 Argentina Funding Corp. 6.880% due 05/20/2003 16,000 16,050 Bayview Financial Acquisition Trust 7.170% due 02/25/2029 5,140 5,157 Community Trust Bancorp, Inc. 6.500% due 09/15/2003 508 505 Contimortgage Home Equity Loan Trust 6.790% due 10/15/2012 (d) 32 32 Cross Country Master Credit 7.150% due 06/15/2006 15,400 15,400 Green Tree Home Improvement Loan Trust 6.740% due 11/15/2029 (d) 7,775 7,780 Green Tree Recreational Equipment 6.430% due 04/17/2006 1,960 1,957 MGM Grand Term Loan 7.870% due 05/06/2001 (d) 9,709 9,686 Novastar Home Equity Loan 6.900% due 04/25/2028 (d) 3,291 3,286 Salomon Brothers Mortgage Securities 6.960% due 02/25/2030 (d) 21,700 21,756 Student Loan Marketing Assn. 6.860% due 10/25/2005 (d) 7,395 7,367 The Money Store Home Equity Trust 6.550% due 09/15/2021 583 582 6.350% due 11/15/2021 (d) 180 179 USAA Auto Loan Grantor Trust 6.100% due 02/15/2006 12,551 12,475 WMC Mortgage Loan 6.830% due 03/20/2028 (d) 166 166 ------------- Total Asset-Backed Securities 115,876 (Cost $115,769) ============= -------------------------------------------------------------------------------- SOVEREIGN ISSUES 6.3% -------------------------------------------------------------------------------- Hydro-Quebec 6.500% due 09/29/2049 (d) 1,200 1,065 Nacional Financiera 8.570% due 05/08/2003 (d) 6,000 6,094 Republic of Argentina 7.380% due 03/31/2005 (d) 160 147 11.600% due 04/10/2005 (d) 1,400 1,302 Republic of Brazil 7.880% due 01/01/2001 (d) 680 680 7.380% due 04/15/2006 (d) 69,983 65,875 Republic of Bulgaria 7.750% due 07/28/2011 (d) 3,000 2,273 Republic of Croatia 7.000% due 02/27/2002 3,000 2,937 Republic of Panama 7.930% due 05/10/2002 (d) 1,099 1,085 United Mexican States 10.020% due 04/07/2004 (d) 9,000 9,360 ------------- Total Sovereign Issues 90,818 (Cost $89,502) ============= -------------------------------------------------------------------------------- FOREIGN CURRENCY-DENOMINATED ISSUES (f)(g) 4.1% -------------------------------------------------------------------------------- Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 9,750 4,161 Export-Import Bank Korea 3.840% due 10/06/2000 (d) DM 11,370 5,132 Korea Development Bank 2.560% due 06/26/2001 JY 1,000,000 9,364 Tecnost International NV 6.670% due 06/23/2004 (d) EC 36,100 32,193 United Mexican States 8.750% due 05/30/2002 BP 3,000 4,493 7.000% due 06/02/2003 C$ 6,000 3,852 ------------- Total Foreign Currency-Denominated Issues 59,195 (Cost $66,217) ============= -------------------------------------------------------------------------------- PURCHASED PUT OPTIONS 0.0% -------------------------------------------------------------------------------- S&P 500 Index December Futures Strike @ 850.00 Exp. 12/15/2000 $ 20 0 Strike @ 800.00 Exp. 12/15/2000 100 0 Strike @ 750.00 Exp. 12/15/2000 713 0 Strike @ 700.00 Exp. 12/15/2000 13 0 ------------- Total Purchased Put Options 0 (Cost $75) ============= -------------------------------------------------------------------------------- PREFERRED SECURITY 0.1% -------------------------------------------------------------------------------- Shares DG Funding Trust 9.030% due 12/29/2049 (d) 110 1,103 ------------- Total Preferred Security 1,103 (Cost $1,103) ============= -------------------------------------------------------------------------------- PREFERRED STOCK 0.6% -------------------------------------------------------------------------------- TCI Communications, Inc. 9.720% due 12/31/2036 303,565 7,893 ------------- Total Preferred Stock 7,893 (Cost $7,996) ============= -------------------------------------------------------------------------------- COMMON STOCKS 1.1% -------------------------------------------------------------------------------- Utilities 1.1% Eastern Enterprises 2,700 171 Florida Progress Corp. 300 164 LG&E Energy Corp. 11,000 268 MCN Energy Group, Inc. 392,500 10,051 Northeast Utilities 241,900 5,239 ------------- Total Common Stocks 15,893 (Cost $15,578) ============= -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 9.5% -------------------------------------------------------------------------------- Principal Amount (000s) Commercial Paper 8.8% Alcoa, Inc. 6.500% due 12/21/2000 $ 900 887 American Electric Power, Inc. 6.760% due 10/04/2000 4,700 4,698 6.700% due 10/25/2000 9,000 8,961 Associated Corp. of North America 6.580% due 11/16/2000 800 793 AT&T Corp. 6.510% due 12/13/2000 5,900 5,830 Becton Dickinson & Co. 6.520% due 11/30/2000 2,200 2,175 Cba (de) Finance 6.460% due 12/12/2000 200 197 CDC 6.570% due 11/29/2000 3,200 3,165 Conagra, Inc. 6.680% due 10/27/2000 7,000 6,967 6.670% due 11/16/2000 1,600 1,587 CSX Corp. 6.710% due 10/11/2000 3,800 3,794 Dominion Resources, Inc. 6.720% due 10/04/2000 3,000 2,999 6.710% due 11/16/2000 8,000 7,933 6.770% due 11/16/2000 400 397 Edison Midwest 6.790% due 11/01/2000 300 298 162 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Gannett Co. 6.500% due 11/21/2000 $ 5,300 $ 5,243 General Electric Capital Corp. 6.500% due 01/24/2001 9,000 8,810 Gillette Co. 6.460% due 12/12/2000 7,400 7,301 Houston Industries 6.820% due 10/04/2000 1,000 1,000 6.770% due 10/18/2000 5,000 4,985 6.800% due 11/08/2000 15,000 14,895 Infinity Broadcasting Corp. 6.700% due 11/15/2000 1,000 992 Ingersoll-Rand Co. 6.690% due 10/04/2000 2,300 2,299 6.700% due 10/18/2000 8,900 8,873 International Paper Co. 6.700% due 10/06/2000 4,300 4,297 6.700% due 10/10/2000 3,200 3,195 Minnesota Mining & Manufacturing 6.520% due 11/28/2000 100 99 Sprint Capital Corp. 6.720% due 11/08/2000 5,000 4,965 Texas Utilities Co. 6.700% due 10/18/2000 4,100 4,088 World Bank 6.350% due 10/27/2000 2,300 2,290 Yorkshire Building Society 6.490% due 12/06/2000 2,100 2,074 ------------- 126,087 ============= Repurchase Agreements 0.7% Daiwa Securities 6.430% due 10/02/2000 6,000 6,000 (Dated 09/29/2000. Collateralized by U.S. Treasury Inflation Protected Securities 6.0% due 02/15/2026 valued at $6,142. Repurchase proceeds are $6,003.) State Street Bank 5.850% due 10/02/2000 4,130 4,130 (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 7.050% due 02/28/2002 valued at $4,216. Repurchase proceeds are $4,132.) ------------- 10,130 ============= U.S. Treasury Bills 0.0% 5.930% due 02/01/2001 (b)(c) 50 49 ------------- Total Short-Term Instruments 136,266 (Cost $136,281) ============= Total Investments (a) 109.4% $ 1,568,989 (Cost $1,573,217) Written Options (e) (0.1%) (2,266) (Premiums $2,050) Other Assets and Liabilities (Net) (9.3%) (133,392) ------------- Net Assets 100.0% $ 1,433,331 ============= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 6,715 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (10,978) ------------- Unrealized depreciation-net $ (4,263) ============= (b) Securities with an aggregate market value of $81,946 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: Unrealized # of Appreciation/ Type Contracts (Depreciation) -------------------------------------------------------------------------------- Government of Japan 10 Year Note 25 $ 15 (12/2000) S&P 500 Index (12/2000) 3,137 (61,995) United Kingdom 10 Year Note (12/2000) 490 (540) EuroBond 10 Year Note Options (11/2000) 585 179 ------------- $ (62,341) ============= (c) Principal amount of the security is adjusted for inflation. (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Premiums received on written options:
# of Type Contracts Premium Value --------------------------------------------------------------------------------- Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.750% Exp.10/10/2000 125,100,000 $ 137 $ 101 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.800% Exp. 10/12/2000 118,400,000 112 159 Put- CME Eurodollar December Futures Strike @ 93.00 Exp. 12/18/2000 111 83 3 Call - CME Eurodollar December Futures Strike @ 93.00 Exp. 12/18/2000 160 63 114 Call - CME Eurodollar December Futures Strike @ 92.75 Exp. 12/18/2000 80 55 99 Put - CME Eurodollar March Futures Strike @ 92.75 Exp. 03/19/2000 159 74 6 Call - CME Eurodollar March Futures Strike @ 93.25 Exp. 3/19/2000 879 175 648 Put - CME Eurodollar March Futures Strike @ 92.50 Exp. 03/19/2000 301 179 8 Call - CME Eurodollar March Futures Strike @ 93.00 Exp. 03/19/2000 301 126 380 Put - CME Eurodollar March Futures Strike @ 92.25 Exp. 03/19/2000 720 446 9 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.750% Exp. 10/05/2000 63,900,000 65 46 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.750% Exp. 10/05/2000 63,900,000 64 46 Call - TSE Government of Japan December Futures Strike @ 134.00 Exp. 11/30/2000 16 31 32 Put - CME S&P 500 Index December Futures Strike @ 1400.00 Exp. 12/15/2000 82 440 615 ------------------- $ 2,050 $ 2,266 ===================
2000 Semi-Annual Report See accompanying notes 163 Schedule of Investments (Cont.) StocksPLUS Fund September 30, 2000 (Unaudited) (f) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Sell C$ 5,773 10/2000 $ 55 Sell EC 49,991 10/2000 1,235 Buy 3,085 10/2000 (4) Sell BP 3,828 10/2000 (76) Buy HF 2,300,000 03/2001 182 Sell JY 1,089,759 10/2000 20 Sell N$ 10,942 10/2000 207 Buy PZ 102,100 01/2001 (1,117) Buy 25,000 02/2001 (139) Sell 61,000 01/2001 370 ---------- $ 733 ========== (g) Principal amount denoted in indicated currency: BP - British Pound C$ - Canadian Dollar EC - Euro HF - Hungarian Forint JY - Japanese Yen N$ - New Zealand Dollar PZ - Polish Zloty (h) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount (Depreciation) -------------------------------------------------------------------------------- Receive total Return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.200%. Broker: Morgan Stanley Exp. 06/29/2001 $ 33 $ 0 Receive total Return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.300%. Broker: Lehman Brothers Exp. 07/31/2001 4 0 Receive total Return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.250%. Broker: Morgan Stanley Exp. 09/28/2001 39 0 Receive total return on S&P 500 Index and pay floating rate based on 1 month LIBOR plus 0.180%. Broker: J.P. Morgan Securities, Inc. Exp. 03/16/2001 55 0 Receive floating rate based on JY-LIBOR and pay a fixed rate equal to 1.743%. Broker: J.P. Morgan Exp. 09/20/2007 JY 3,150,000 (100) Receive total return on S&P 500 Index and pay floating rate based on 1 month LIBOR plus 0.180%. Broker: J.P. Morgan Exp. 05/03/2001 $ 12 0 Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 5.950%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/17/2001 900 (46) Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 6.150%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/22/2001 500 (27) Receive a fixed rate equal to 1.290% and the Fund will pay to the counterparty at par in the event of default in of the United Mexican States at 9.750% due 04/06/2005. Broker: J.P. Morgan Exp. 06/19/2002 15,500 2 Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of Enron Corp. 7.875% due 06/15/2003. Broker: Morgan Stanley Exp. 06/16/2001 50,000 2 -------- $ (169) ======== (i) Restricted security. (j) Securities are grouped by coupon or range of coupons and represent a range of maturities. 164 PIMCO Funds See accompanying notes Schedule of Investments Municipal Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 96.9% -------------------------------------------------------------------------------- Arizona 6.2% Phoenix Industrial Development Authority Revenue Bonds, (GNMA/FNMA/FHLMC Insured), Series 2000-1A 5.875% due 06/01/2016 $ 1,000 $ 1,028 Pima County, Arizona Industrial Development Authority Multi-Family Revenue Bonds, (HUD SECT 8 Insured), Series 1998 5.375% due 06/01/2010 1,210 1,235 Scottsdale, Arizona Industrial Development Authority Hospital Revenue Bonds, (AMBAC Insured), Series 1997 A 6.500% due 09/01/2004 1,130 1,206 -------- 3,469 ======== California 15.5% Alameda, California Harbor Bay Business Park Assessment Revenue Bonds, Series 1998 5.000% due 09/02/2006 360 360 Capistrano, California Unified School District Special Tax, Series 1999 5.000% due 09/01/2008 350 350 Foothill/Eastern Corridor Agency California Toll Road Revenue Bonds, (MBIA-IBC), Series 1999 0.000% due 01/15/2026 1,565 936 Irvine, California Special Assessment Bond, Series 1998 4.800% due 09/02/2004 150 150 4.900% due 09/02/2005 160 160 4.900% due 09/02/2005 150 149 5.000% due 09/02/2006 150 149 Irvine, California Special Assessment Bond, Series 1999 5.000% due 09/02/2005 350 350 5.100% due 09/02/2006 350 349 5.100% due 09/02/2006 185 185 5.200% due 09/02/2007 180 180 5.200% due 09/02/2007 75 75 Knox Middle School Building Corp. Revenue Bonds, Series 2000 5.700% due 07/15/2010 260 276 Lake Elsinore, California School Refunding Bonds, Series 1998 5.000% due 09/01/2006 350 349 Los Angeles Community Redevelopment Agency Certificates of Partnership Revenue Bonds, Series 1984 7.550% due 11/01/2008 1,150 1,275 Los Angeles County Transportation Commission, Sales Tax Revenue Refunding Bonds, Series 1991 B 6.500% due 07/01/2013 1,000 1,036 Orange County, California Improvement Bond, Series 1998 A 4.900% due 09/02/2005 245 244 Pittsburg, California Infrastructure Refunding Bonds, Series 1998 A 4.900% due 09/02/2003 150 151 5.000% due 09/02/2004 150 152 Riverside County, California Special Tax Refunding Bonds, Series 1999 4.200% due 09/01/2001 300 300 4.700% due 09/01/2005 170 170 Roseville, California Special Tax, Series 1999 5.000% due 09/01/2004 350 351 Sacramento County, California Refunding Bonds, Series 1998 4.900% due 09/02/2005 300 298 South Tahoe California Powers Financing Authority Revenue Bonds, Series 1999 7.300% due 10/01/2007 350 359 West Sacramento, California Refunding Bonds, Series 1998 5.000% due 09/02/2004 350 353 -------- 8,707 ======== Colorado 6.8% Colorado Housing & Finance Authority Revenue Bonds, (FHA/VA Mortgages Insured) Series 2000-C3 5.700% due 10/01/2022 1,000 1,020 Colorado Housing & Finance Authority Revenue Bonds, Series 2000-D3 6.750% due 04/01/2015 250 272 Colorado Housing & Finance Authority, Series 2000-B3 6.700% due 10/01/2016 250 272 Colorado Springs, Colorado Hospital Revenue Bond, Series 2000 6.375% due 12/15/2030 1,000 994 Denver, Colorado Health & Hospital Revenue Bonds, Series 1998 A 5.000% due 12/01/2009 1,390 1,258 -------- 3,816 ======== Florida 1.1% Gainesville, Florida Revenue Bonds, Series 1979 6.200% due 10/01/2002 300 304 Orange County, Florida Health Facilities Authority Revenue Bonds, (MBIA Insured), Series 1996 6.250% due 10/01/2011 290 319 -------- 623 ======== Georgia 0.4% Georgia Municipal Electric Authority Revenue Bonds, (MBIA-IBC Insured), Series 1997 6.500% due 01/01/2012 200 224 -------- Hawaii 1.8% Honolulu Hawaii City & County General Obligation, (MBIA-IBC), Series 1993 5.450% due 09/11/2008 1,000 1,039 -------- Indiana 2.0% Indiana Local Public Improvement Bonds Bank, Transportation Revenue Bonds, Series 1992 6.750% due 02/01/2014 1,000 1,125 -------- Kansas 1.8% Wichita Kansas Hospital Revenue Bonds, Series 1999 6.250% due 11/15/2024 1,000 1,000 -------- Louisiana 0.5% Louisiana Local Government Revenue Bonds, (MBIA Insured), Series 2000 5.700% due 01/01/2010 250 259 -------- Massachusetts 6.6% Massachusetts Housing Finance Agency Revenue Bonds, (AMBAC Insured), Series 1993 5.950% due 10/01/2008 1,500 1,559 Massachusetts State Development Finance Agency Revenue Bonds, (ACA Insured), Series 1999 4.600% due 03/01/2009 400 378 Massachusetts State Development Finance Agency Revenue Bonds, Series 1998 4.700% due 11/01/2007 210 202 4.800% due 11/01/2008 90 87 Massachusetts State General Obligation, Series 2000 6.000% due 02/01/2013 1,000 1,076 Massachusetts State Health Facilities Authority Revenue Bonds, Series 1993 5.500% due 10/01/2002 400 389 -------- 3,691 ======== 2000 Semi-Annual Report See accompanying notes 165 Schedule of Investments (Cont.) Municipal Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Michigan 2.5% Farmington Hills Michigan Hospital, Revenue Bond, (MBIA Insured), Series 1991 B 5.700% due 02/15/2016 (b) $ 200 $ 200 Michigan State Environmental Protection General Obligation Bonds, Series 1992 6.250% due 11/01/2012 1,100 1,216 ----------- 1,416 =========== Minnesota 1.9% Minneapolis & St. Paul Housing & Redevelopment Authority Health Care Revenue Bonds, (FSA Insured), Series 1995 5.700% due 08/15/2025 100 100 New Richland, Minnesota Revenue Bonds, Series 1998 4.500% due 08/01/2004 1,000 993 ----------- 1,093 =========== New Jersey 9.9% New Jersey Economic Development Authority Revenue Bond, Series 1998 A 0.010% due 04/01/2013 1,595 686 New Jersey Economic Development Authority Revenue Bond, Series 1998 5.600% due 01/01/2012 1,000 885 6.375% due 04/01/2031 2,000 1,964 New Jersey Economic Development Authority Revenue Bonds, Series 1999 6.625% due 09/15/2012 2,000 2,042 ----------- 5,577 =========== New Mexico 2.4% Los Alamos County, Utility Revenue Bonds, Series 1994 A 6.000% due 07/01/2008 1,000 1,056 Santa Fe County, El Castillo Retirement Nursing Home Bonds, Series 1998 A 5.250% due 05/15/2007 315 291 ----------- 1,347 =========== New York 9.5% Nassau County, New York Tobacco Settlement Corp. Revenue Bonds, Series 1999 5.250% due 07/15/2011 1,000 1,003 New York City General Obligation Bonds, Series 1996 A 7.000% due 08/01/2007 1,000 1,117 New York State Dorm Authority Revenue Bonds, (ACA Insured), Series 2000 5.850% due 07/01/2010 1,000 1,027 New York State Dorm Authority Revenue Bonds, (MBIA Insured), Series 1996 5.600% due 07/01/2016 1,250 1,264 New York State Environmental Facilities Special Obligation Revenue Bonds, Series 1996 5.125% due 04/01/2022 1,000 936 ----------- 5,347 =========== North Carolina 1.9% North Carolina Municipal Power Agency, Catawaba Electric Revenue Bonds, (AMBAC Insured), Series 1992 6.000% due 01/01/2008 1,000 1,068 ----------- North Dakota 3.7% Mercer County Pollution Control Revenue Bonds, Series 1991 6.900% due 02/01/2019 2,000 2,054 ----------- Pennsylvania 2.0% Allegheny County Hospital Development Authority Revenue Bonds, (MBIA Insured), Series 2000 A 6.500% due 11/15/2030 1,000 1,053 Delaware County, Pennsylvania Hospital Revenue Bonds, Series 1998 4.900% due 12/01/2008 100 90 ----------- 1,143 =========== South Carolina 1.7% Medical University South Carolina Hospital Facilities Revenue Bonds, Series 1999 5.700% due 07/01/2012 1,000 982 ----------- Tennessee 3.1% Nashville & Davidson County, Tennessee Revenue Bonds, Series 1998 4.450% due 08/01/2007 1,000 960 Sullivan County, Tennessee Industrial Development Revenue Bonds, (GNMA Insured), Series 1995 6.250% due 07/20/2015 750 787 ----------- 1,747 =========== Texas 6.9% Bexar, Texas Metro Water District Waterworks System Revenue Bonds, (MBIA Insured), Series 1998 0.000% due 05/01/2035 2,190 281 Brazos River Authority Texas Revenue Bonds, (MBIA Insured), Series 1998 4.900% due 10/01/2015 1,500 1,402 Dallas-Fort Worth International Airport Facility Improvement Corp. Revenue Bonds, Series 2000 5.950% due 05/01/2029 1,000 1,003 Houston Independent School District General Obligation, (PSF Insured), Series 1999 4.750% due 02/15/2026 1,000 844 Midlothian Texas Independent School District General Obligation, (PSF-GTD Insured), Series 1999 0.010% due 02/15/2018 1,000 346 ----------- 3,876 =========== Utah 6.6% Intermountain Power Agency Utah Power Supply Revenue Bonds, (MBIA Insured), Series 1996 6.500% due 07/01/2009 1,925 2,143 Intermountain Power Agency Utah Power Supply Revenue Bonds, Series 1996 D 5.000% due 07/01/2021 1,710 1,547 ----------- 3,690 =========== West Virginia 2.1% West Virginia State Parkways Economic Development & Tourism Authority Revenue Bonds, (FGIC Insured), Series 1993 5.831% due 05/16/2019 1,200 1,208 ----------- Total Municipal Bonds & Notes 54,501 (Cost $53,931) =========== -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 0.2% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (c) 3.625% due 07/15/2002 108 108 ----------- Total U.S. Treasury Obligations 108 (Cost $108) =========== 166 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 0.0% -------------------------------------------------------------------------------- Commercial Paper 0.0% SSgA Tax Free Money Market 4.570% due 10/02/2000 $ 17 $ 17 ----------- Total Short-Term Instruments 17 (Cost $17) =========== Total Investments (a) 97.1% $ 54,626 (Cost $54,056) Other Assets and Liabilities (Net) 2.9% 1,622 ----------- Net Assets 100.0% $ 56,248 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 1,170 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (600) ----------- Unrealized appreciation-net $ 570 =========== (b) Variable rate security. The rate listed is as of September 30, 2000. (c) Principal amount of the security is adjusted for inflation. 2000 Semi-Annual Report See accompanying notes 167 Schedule of Investments Short Duration Municipal Income Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 98.0% -------------------------------------------------------------------------------- Arkansas 0.8% Arkansas Development Finance Authority Health Care Facilities Revenue, Series 2000-B 5.600% due 06/01/2012 $ 100 $ 100 ----------- Colorado 5.3% Denver, Colorado City and County Airport Revenue Bonds, Series 1990 8.100% due 11/15/2000 200 201 Denver, Colorado Health & Hospital Revenue Bonds, Series 1998-A 5.000% due 12/01/2002 500 494 ----------- 695 =========== Florida 13.0% Atlantic Beach Florida Health Care Revenue Bonds, (ACA Insured) 5.000% due 10/01/2001 500 501 Gulf Breeze Florida Revenue Bonds, (MBIA Insured), Series 1997 4.372% due 12/01/2017 (b) 500 478 Orlando Florida, Waste Water System Revenue Bonds, Series 1997-A 3.750% due 10/01/2000 (b) 50 49 6.112% due 10/01/2015 (b) 750 681 ----------- 1,709 =========== Georgia 7.6% Dalton, Georgia Utilities Revenue Bonds, (MBIA Insured), Series 1997 4.750% due 10/01/2000 500 501 Fulton County Georgia Water & Sewer Revenue Bonds, (FGIC Insured), Series 1992 5.625% due 01/01/2001 500 502 ----------- 1,003 =========== Hawaii 9.2% Hawaii Airport Systems Revenue Bonds, (MBIA Insured), 6.600% due 07/01/2004 500 516 Hawaii State General Obligation Bonds, Series 1993 5.500% due 07/01/2001 500 504 Hawaii State Housing Finance & Development Corp. Revenue Bonds, Series 1998 4.250% due 07/01/2001 195 195 ----------- 1,215 =========== Indiana 1.9% Indiana State Educational Facilities Authority Revenue Bonds, Series 1998 4.000% due 10/15/2000 250 250 ----------- Iowa 3.8% Iowa Finance Authority, (FSA Insured), Series 2000 5.700% due 06/01/2027 500 500 ----------- Kansas 5.4% Burlington Kansas Pollution Control Revenue Bonds, (MBIA Insured), Series 1991 7.000% due 06/01/2031 500 517 Kansas Development Finance Authority Health Facilities Revenue Bonds, (MBIA Insured), Series 1998 5.700% due 11/15/2023 200 200 ----------- 717 =========== Maine 4.2% Eastport Maine Industrial Development Revenue Bonds, (LOC-Wachovia Bank), Series 1989 4.750% due 11/15/2001 250 251 5.100% due 11/15/2003 300 300 ----------- 551 =========== Massachusetts 2.0% Massachusetts Housing Finance Agency Revenue Bonds, (AMBAC Insured), Series 1993 5.950% due 10/01/2008 250 259 ----------- Minnesota 2.8% Minneapolis & St. Paul Housing & Redevelopment Authority Health Care Revenue Bonds, (FSA Insured), Series 1995 5.700% due 08/15/2025 100 100 Minnesota State Higher Education Facilities Authority Revenue Bonds, Series 1998 4.500% due 03/01/2001 270 270 ----------- 370 =========== Missouri 6.2% Missouri State Health Facilities Revenue Bonds, Series 1999 5.700% due 10/01/2009 100 100 Missouri State Housing Development Community Mortgage Revenue Bonds, (GNMA/FNMA Insured), Series 1996 7.100% due 09/01/2027 195 211 St. Louis Missouri Airport Revenue Bonds, Series 2000 6.250% due 01/01/2002 500 505 ----------- 816 =========== Nevada 3.7% Carson City, Nevada School District General Obligation Bond, (FGIC Insured), Series 1990 6.600% due 04/01/2001 485 490 ----------- New York 3.8% New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 1999 4.300% due 07/01/2002 500 497 ----------- Ohio 2.3% Ohio State Air Quality Development Authority Revenue Bonds, Series 1985 5.500% due 12/01/2015 300 300 ----------- Oregon 1.5% Multnomah County, Oregon Higher Education Revenue Bonds, (Allied Irish Bank PLC Insured), Series 2000 5.700% due 12/01/2029 (b) 200 200 ----------- Pennsylvania 3.8% Dauphin County, Pennsylvania General Authority Bond, (AMBAC Insured), 4.450% due 09/01/2032 500 500 ----------- Rhode Island 3.9% Convention Center Authority Rhode Island Revenue Bonds, (MBIA Insured), Series 1991 6.700% due 05/15/2020 500 517 ----------- Texas 11.4% Dallas-Fort Worth International Airport Facility Improvement Corp. Revenue Bonds, Series 2000 5.950% due 05/01/2029 500 502 Midlothian Texas Independent School District General Obligation, (PSF-GTD Insured), Series 1999 0.010% due 02/15/2001 500 492 Tarrant County, Texas Water Control & Refund & Import Revenue Bonds, (AMBAC Insured), Series 1992 5.750% due 03/01/2013 500 503 ----------- 1,497 =========== Washington 1.5% Washington Economic Development Finance Authority Revenue Bonds, Series 1998 5.750% due 09/01/2018 200 200 ----------- 168 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Wisconsin 3.9% Oshkosh Water Revenue Bonds, Series 1999 4.700% due 01/01/2002 $ 265 $ 265 Wisconsin State Health & Education Facilities Authority Revenue Bond, (MBIA Insured), Series 1991 6.000% due 11/15/2000 150 150 Wisconsin State Health & Education Facilities Authority Revenue Bonds, (Loc-Allied Irish Bank PLC Insured), Series 1997 5.700% due 11/01/2017 (b) 100 100 ----------- 515 ----------- Total Municipal Bonds & Notes 12,901 (Cost $12,847) =========== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 0.4% -------------------------------------------------------------------------------- Commercial Paper 0.4% SSgA Tax Free Money Market 4.570% due 10/02/2000 53 53 ----------- Total Short-Term Instruments 53 (Cost $53) =========== Total Investments (a) 98.4% $ 12,954 (Cost $12,900) Other Assets and Liabilities (Net) 1.6% 205 ----------- Net Assets 100.0% $ 13,159 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 65 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (11) ----------- Unrealized appreciation-net $ 54 =========== (b) Variable rate security. The rate listed is as of September 30, 2000. 2000 Semi-Annual Report See accompanying notes 169 Schedule of Investments California Intermediate Municipal Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 99.9% -------------------------------------------------------------------------------- California 83.3% Anaheim, California Public Financing Authority Revenue Bonds, (AMBAC Insured), Series 1999 4.625% due 10/01/2027 $ 150 $ 152 Antioch, California Public Financing Authority Reassessment Revenue Bonds, Series 1998-B 5.500% due 09/02/2008 495 503 California Educational Facilities Authority Revenue Bonds, Series 1997-A 5.700% due 10/01/2015 135 141 California Health Facilities Financing Authority Revenue Bonds, (AMBAC Insured), Series 1996-B 4.750% due 07/01/2012 (b) 1,100 1,100 California Health Facilities Financing Authority Revenue Bonds, (MBIA Insured), Series 1998 4.750% due 09/01/2028 (b) 2,000 2,000 5.375% due 08/15/2030 1,100 1,070 California Health Facilities Financing Authority Revenue Bonds, Series 1998-B 5.250% due 10/01/2014 3,000 2,907 California Housing Finance Agency Revenue Bonds, (FNMA Insured), Series 1993 4.500% due 07/15/2013 (b) 100 100 California Housing Finance Agency Revenue Bonds, (SPA-Landesbank Hessen Insured), Series 2000-B 4.500% due 02/01/2035 (b) 400 400 California Housing Financial Agency Revenue Bonds, (AMBAC FHA Insured), Series 1996 5.950% due 02/01/2011 100 106 California Pollution Control Financing Authority Revenue Bonds, Series 1999-A 4.500% due 08/01/2003 150 150 California State Department of Water Resources Central Valley Project Revenue Bonds, Series 1998-U 5.000% due 12/01/2029 2,500 2,272 California State Department Veteran Affairs Home Revenue Bonds, Series 2000-B 4.900% due 12/01/2005 500 505 California State Economic Development Financing Authority Industrial Development Revenue Bonds, (LOC-U.S. Bank Insured), Series 1997 5.150% due 08/01/2027 (b) 780 780 California State General Obligation Bonds, (AMBAC Insured), Series 1991 6.500% due 09/01/2006 2,500 2,781 California State General Obligation Bonds, (FGIC Insured), Series 1997 5.000% due 10/01/2004 325 334 California State General Obligation Bonds, (MBIA Insured), Series 1991 6.600% due 02/01/2011 1,000 1,163 California State General Obligation Bonds, (MBIA Insured), Series 1992 7.500% due 10/01/2007 400 474 California State General Obligation Bonds, Series 1991 6.500% due 09/01/2010 1,730 1,997 California State General Obligation Bonds, Series 1997-BL 5.300% due 12/01/2012 400 411 California State General Obligation Bonds, Series 2000 5.250% due 03/01/2005 100 104 5.500% due 05/01/2011 3,250 3,478 5.250% due 03/01/2013 300 310 4.850% due 01/01/2027 (b) 1,500 1,313 California State Public Works Board Lease Revenue Bonds, Series 1994-A 6.375% due 11/01/2014 500 549 California Statewide Communities Development Authority Apartment Development Revenue Bonds, Series 1998-A-3 5.100% due 05/15/2025 2,000 1,955 California Statewide Communities Development Authority Certificates of Participation, (AMBAC Insured), Series 1995 4.750% due 07/01/2015 (b) 400 400 California Statewide Communities Development Authority Certificates of Participation, Series 1994 6.500% due 07/01/2015 1,000 1,096 Capistrano, California Unified School District Community Facilities District Special Tax Bonds, Series 1997 7.100% due 09/01/2021 2,000 2,290 Capistrano, California Unified School District Community Facilities District Special Tax Bonds, Series 1999 5.700% due 09/01/2020 1,500 1,457 Chico, California Public Financing Authority Revenue Bonds, (FSA Insured), Series 1996 5.200% due 04/01/2011 485 504 Chula Vista, California Special Tax Bonds, Series 2000-1 6.350% due 09/01/2017 230 235 6.400% due 09/01/2018 120 123 Contra Costa County, California Multifamily Mortgage Revenue Bonds, (LOC-Bank of America NT & SA Insured), Series 1987-A 4.400% due 12/01/2017 (b) 1,300 1,300 Corona, California Community Facilities District Special Tax Bonds, Series 1998 5.875% due 09/01/2023 1,000 978 East Bay, California Regional Park District General Obligation Bonds, Series 1998 5.000% due 09/01/2017 2,000 1,960 Evergreen, California School District General Obligation Bonds, (FGIC Insured), Series 2000-C 10.000% due 09/01/2005 465 579 10.000% due 09/01/2006 380 490 Foothill Eastern Transportation Corridor Agency Toll Road Revenue Bonds, (MBIA Insured), Series 1999 5.875% due 01/15/2027 2,500 1,490 Irvine Ranch, California Water District Revenue Bonds, (LOC-Landesbank Hessen-Thrgn Insured), Series 1985 4.750% due 10/01/2010 (b) 1,300 1,300 Irvine, California Improvement Bond Act 1915 Revenue Bonds, (LOC-Societe Generale Insured), Series 1997 4.750% due 09/02/2022 (b) 2,668 2,668 Irvine, California Improvement Bond Act 1915 Special Assessment, (LOC-KBC Bank N.V. Insured), Series 1996-A 4.750% due 09/02/2021 (b) 400 400 170 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Irvine, California Improvement Bond Act 1915 Special Assessment, (LOC-KBC Bank N.V. Insured), Series 1999 4.750% due 09/02/2024 (b) $ 1,600 $ 1,600 Livermore Valley, California Joint Unified School District General Obligation Bonds, (MBIA Insured), Series 2000 6.500% due 08/01/2003 1,000 1,061 Long Beach, California Harbor Revenue Bonds, (MBIA Insured), Series 1995 6.500% due 05/15/2005 220 238 Long Beach, California Harbor Revenue Bonds, Series 1993 4.700% due 05/15/2004 150 151 Los Angeles County, California Transportation Commission Certificates of Participation, Series 1992-B 6.250% due 07/01/2004 500 525 Los Angeles, California Community Redevelopment Agency Certificates of Participation Revenue Bonds, Series 1984 7.550% due 11/01/2008 415 460 Los Angeles, California Department of Water & Power Electric Plant Revenue Bonds, Series 2000 276 3.480% due 11/15/2010 (b) 200 200 Los Angeles, California Department of Water & Power Waterworks Revenue Bonds, (MBIA Insured), Series 1994 6.375% due 07/01/2034 2,150 2,333 Los Angeles, California State Building Authority Lease Revenue Bonds, Series 1999-A 4.600% due 10/01/2007 150 151 Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 1999-C 4.750% due 07/01/2010 30 31 Los Angeles, California Wastewater System Revenue Bonds, (MBIA Insured), Series 1998-C 4.000% due 06/01/2015 1,770 1,542 Metropolitan Water District Southern California General Obligation Bonds, Series 1993-A1 7.250% due 03/01/2007 150 174 Metropolitan Water District Southern California Revenue Bonds, (SPA-Westdeutsche Landesbank Insured), Series 2000 4.700% due 07/01/2035 (b) 200 200 Metropolitan Water District Southern California Revenue Bonds, Series 1993 6.050% due 10/30/2020 (b) 600 592 Newport Beach, California Revenue Bonds, (SPA-Bank of America NT & SA Insured), Series 1996-A 5.400% due 10/01/2026 (b) 300 300 Newport Beach, California Revenue Bonds, (SPA-Bank of America NT & SA Insured), Series 1996-B 5.350% due 10/01/2026 (b) 100 100 Newport Beach, California Revenue Bonds, (SPA-Bank of America NT & SA Insured), Series 1996-C 5.400% due 10/01/2026 (b) 100 100 Orange County, California Airport Revenue Bonds, (MBIA Insured), Series 1993 5.250% due 07/01/2006 1,565 1,612 Orange County, California Improvement Bond Special Assessment, (LOC-Societe Generale & LOC-KBC Bank N.V. Insured), Series 1988 4.750% due 09/02/2018 (b) 1,900 1,900 Orange County, California Local Transportation Authority Sales Tax Revenue Bonds, (AMBAC-TCRS Insured), Series 1992 6.200% due 02/14/2011 3,250 3,640 Orange County, California Revenue Bonds, (MBIA Insured), Series 1995-A 6.000% due 06/01/2010 1,000 1,114 Orange County, California Sanitation District Certificates of Participation, (LOC-National Westminster Insured), Series 1990 4.750% due 08/01/2015 (b) 3,665 3,665 Orange County, California Water District Certificates of Participation, (LOC-Bayerishe Landesbank Insured), Series 1990 4.500% due 08/15/2015 (b) 700 700 Otay, California Water District Certificates of Participation, (LOC-Landesbank Hessen-Thrgn Insured), Series 1996 4.400% due 09/01/2026 (b) 200 200 Oxnard, California Improvement Bond Act 1915 Special Assessment, Series 1997 5.500% due 09/02/2004 1,215 1,234 Pacific Housing & Finance Agency, California Revenue Bonds, (MBIA Insured), Series 1999 4.625% due 12/01/2004 250 253 Pioneers Memorial Healthcare District, California General Obligation Bonds, (AMBAC Insured), Series 1998 5.125% due 10/01/2024 1,000 949 Port of Oakland, California Revenue Bonds, (FGIC Insured), Series 2000 5.500% due 11/01/2009 500 530 Redding, California Electric System Revenue Certificates of Participation, (FGIC Insured), Series 1993 5.684% due 06/28/2019 500 507 Riverside County, California Asset Leasing Corp. Revenue Bonds, (MBIA Insured), Series 2000 5.200% due 11/01/2010 250 263 Sacramento County, California Sanitation District Financing Authority Revenue Bonds, (LOC-Credit Agricole Indosez Insured), Series 2000 4.500% due 12/01/2030 (b) 1,900 1,900 Sacramento County, California Sanitation District Financing Authority Revenue Bonds, Series 2000-A 4.900% due 12/01/2007 1,000 1,032 5.100% due 12/01/2009 1,000 1,048 5.100% due 12/01/2010 1,000 1,046 Sacramento, California Municipal Utility District Revenue Bonds, Series 1983-M 9.000% due 04/01/2013 960 1,245 San Bernardino County, California Housing Authority Multifamily Housing Revenue Bonds, (LOC-California Federal Bank & LOC-Federal Home Loan Bank Insured), Series 1993 3.250% due 02/01/2023 (b) 400 400 San Francisco, California City & County Airport Commission International Airport Revenue Bonds, (FGIC Insured), Series 1996,-12-A 5.625% due 05/01/2005 400 418 San Francisco, California City & County Airport Commission International Airport Revenue Bonds, (FSA Insured), Series 1998-16A 5.500% due 05/01/2015 300 306 2000 Semi-Annual Report See accompanying notes 171 Schedule of Investments (Cont.) California Intermediate Municipal Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- San Francisco, California City & County Airport Commission International Airport Revenue Bonds, (MBIA Insured), Series 1996-14A 8.000% due 05/01/2005 $ 500 $ 569 San Francisco, California City & County Public Utilities Commission Revenue Bonds, Series 1992-A 6.400% due 11/01/2007 2,500 2,647 San Jose, California Multifamily Housing Revenue Bonds, (LOC-Bay View Bank N.A. & LOC-Federal Home Loan Bank Insured), Series 1999 4.950% due 06/01/2039 1,000 1,003 San Jose, California Redevelopment Agency Tax Allocation, (MBIA Insured), Series 1993 6.000% due 08/01/2010 600 669 San Pablo, California Redevelopment Agency Revenue Bonds, Series 1979 8.000% due 10/01/2011 145 168 Santa Margarita/Dana Point Authority, California Revenue Bonds, (MBIA Insured), Series 1994-A 7.250% due 08/01/2006 150 172 Santa Rosa, California Multifamily Housing Revenue Bonds, (LOC-U.S. Bank N.A. Insured), Series 1997-A 4.600% due 06/01/2027 (b) 100 100 South Tahoe, California Joint Powers Financing Authority Revenue Bonds, Series 1999-A 7.300% due 10/01/2007 150 154 Stockton, California Certificates of Participation, Series 1999 4.750% due 08/01/2006 120 121 -------- 83,648 ======== Puerto Rico 12.1% Puerto Rico Commonwealth Aqueduct & Sewer Authority Revenue Bonds, (FSA Surety Bond Insured), Series 1985-A 9.000% due 07/01/2009 3,000 3,459 Puerto Rico Commonwealth General Obligation Bonds,(MBIA Insured), Series 1995 5.200% due 07/01/2006 410 429 Puerto Rico Commonwealth Highway & Transportation Authority Highway Revenue Bonds, Series 1993-X 5.350% due 07/01/2005 5,000 5,137 Puerto Rico Commonwealth Highway & Transportation Authority Revenue Bonds, Series 1993-X 5.200% due 07/01/2003 500 510 Puerto Rico Commonwealth Infrastructure Financing Authority Revenue Bonds, (AMBAC Insured), Series 1998-A 5.250% due 07/01/2010 150 157 Puerto Rico Electric Power Authority Power Revenue Bonds, Series 1995-X 6.125% due 07/01/2021 500 548 Puerto Rico Industrial Tourist Educational, Medical & Environmental Control Facilities Revenue Bonds, Series 2000 5.300% due 11/15/2005 250 255 Puerto Rico Industrial Tourist Environmental Central Facilities Revenue Bonds, Series 2000 5.300% due 11/15/2004 150 153 Puerto Rico Municipal Finance Agency General Obligation Bonds, (FSA Insured), Series 1999-A 5.000% due 08/01/2004 1,000 1,027 Puerto Rico Public Finance Corp. Revenue Bonds, (AMBAC Insured), Series 1998-A 5.000% due 06/01/2007 500 517 -------- 12,192 ======== Virgin Islands 4.5% Virgin Islands Public Finance Authority Revenue Bonds, Series 1998-C 5.500% due 10/01/2008 3,000 3,015 5.500% due 10/01/2007 1,500 1,508 -------- 4,523 -------- Total Municipal Bonds & Notes 100,363 (Cost $97,895) ======== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 0.1% -------------------------------------------------------------------------------- Commercial Paper 0.1% R & T California Money Market 3.710% due 10/02/2000 154 154 -------- Total Short-Term Instruments 154 (Cost $154) ======== Total Investments (a) 100% $100,517 (Cost $98,049) Other Assets and Liabilities (Net) (0.0%) (26) -------- Net Assets 100.0% $100,491 ======== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 2,491 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (23) -------- Unrealized appreciation-net $ 2,468 ======== (b) Variable rate security. The rate listed is as of September 30, 2000. 172 PIMCO Funds See accompanying notes Schedule of Investments California Municipal Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 97.3% -------------------------------------------------------------------------------- California 67.6% California State Department Water Center Revenue Bonds, Series 1993 8.375% due 12/01/2003 $ 150 $ 168 California State General Obligation, (FGIC Insured), Series 1997 6.600% due 02/01/2011 500 581 Capistrano Unified School District Community Facilities District Special Tax Bond, Series 1999 5.700% due 09/01/2020 500 486 Chula Vista California Special Tax Bond, Series 2000-1 6.400% due 09/01/2018 125 128 Corona Community Facilities District Special Tax Bond, Series 1998 5.875% due 09/01/2023 150 147 East Bay Municipal Utility District Wastewater Treatment System Revenue Bonds, (AMBAC Insured), Series 1993 6.420% due 06/01/2013 400 415 Foothill Eastern Transportation Corridor Agency Toll Road Revenue Bonds, (MBIA-IBC Insured), Series 1999 0.000% due 01/15/2027 500 298 Los Angeles County Transportation Commission Certificates of Partnership, Series 1992 6.250% due 07/01/2004 500 525 Los Angeles Department of Water & Power Waterworks Revenue Bonds, (MBIA Insured), Series 1994 6.375% due 07/01/2034 350 380 Los Angeles, California Wastewater System Revenue Bonds, (MBIA Insured), Series 1998-C 4.000% due 06/01/2015 400 348 Metropolitan Water District Southern California Revenue Bonds, Series 1993 6.253% due 10/30/2020 200 197 Orange County California Revenue Bonds, Series 1995 6.000% due 06/01/2010 750 835 Orange County Local Transportation Authority Sales Tax Revenue Bonds, (AMBAC-TCRS Insured), Series 1992 6.200% due 02/14/2011 750 840 Pioneers Memorial Healthcare District General Obligation, Series 1998 5.125% due 10/01/2024 400 380 San Jose Redevelopment Agency Tax Allocation, (MBIA Insured), Series 1993 6.000% due 08/01/2010 300 335 Southern California Public Power Authority Revenue Bonds, (FSA-CR Insured), Series 1993 5.000% due 07/01/2015 110 107 -------- 6,170 ======== Puerto Rico 25.3% Puerto Rico Aqueduct & Sewer Authority Revenue Bonds, (FSA Surety Bond Insured), Series 1985-A 9.000% due 07/01/2009 2,000 2,306 -------- Virgin Islands 4.4% Virgin Islands Public Finance Authority Revenue Bonds, Series 1998-C 5.500% due 10/01/2008 405 407 -------- Total Municipal Bonds & Notes 8,883 (Cost $8,665) ======== -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 1.2% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (b) 3.625% due 07/15/2002 108 108 -------- Total U.S. Treasury Obligations 108 (Cost $107) ======== Total Investments (a) 98.5% $ 8,991 (Cost $8,772) Other Assets and Liabilities (Net) 1.5% 137 -------- Net Assets 100.0% $ 9,128 ======== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 219 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. 0 -------- Unrealized appreciation-net $ 219 ======== (b) Principal amount of the security is adjusted for inflation. 2000 Semi-Annual Report See accompanying notes 173 Schedule of Investments New York Municipal Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 96.8% ------------------------------------------------------------------------------- New York 96.8% Amherst, New York General Obligation, (FGIC Insured), Series A 5.500% due 12/01/2008 $ 150 $ 158 Edmeston, New York Central School District General Obligation, (MBIA Insured), Series 1999 5.100% due 06/15/2007 150 153 Erie County New York General Obligation, (AMBAC Insured), Series 2000 5.750% due 07/01/2010 250 267 Long Island Power Authority Revenue Bonds, Series 1998 5.500% due 05/01/2033 100 100 Nassau County, New York Tobacco Settlement Corp. Revenue Bonds, Series 1999 5.250% due 07/15/2011 150 151 New York City General Obligation, Series 1997 5.300% due 06/01/2012 150 152 New York City Municipal Water Finance Authority Revenue Bonds, (FGIC Insured), Series 1994 5.500% due 06/15/2024 100 100 New York General Obligation Bond, (Bayerische Landesbank Insured), Series 1995-F5 5.500% due 02/15/2016 (b) 100 100 New York General Obligation Bond, (FGIC Insured), Series 1992-B 5.500% due 10/01/2020 100 100 New York General Obligation, Series 1997-D 5.250% due 08/01/2021 100 94 New York State Dormitory Authority Revenue Bonds, (AMBAC Insured), Series 1998 5.000% due 07/01/2002 150 151 New York State Dormitory Authority Revenue Bonds, (FSA Insured), Series 1998 4.750% due 07/01/2008 150 150 New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 1999 4.750% due 07/01/2006 150 150 New York State Energy Research & Development Revenue Bonds, Series 1985 5.500% due 12/01/2025 200 200 New York State Local Government Assistance Corp. Revenue Bonds, (MBIA Insured), Series 1997-B 5.125% due 04/01/2013 150 149 New York State Power Authority Revenue & General Purpose, Series 1972-E 5.500% due 01/01/2010 135 139 New York State Thruway Authority Service Contract Revenue Bonds, (MBIA Insured), Series 1999 4.900% due 04/01/2008 150 151 New York State Urban Development Corp. Revenue Bonds, Series 1999 5.000% due 01/01/2005 150 151 New York, New York General Obligation, Series 1997 5.750% due 08/01/2009 250 267 Ontario County Industrial Development Agency Revenue Bonds, Series 1985 5.650% due 08/01/2015 100 100 Rockland County New York Solid Waste Management Authority Revenue Bonds, Series 1999 A 4.800% due 12/15/2005 145 147 -------- Total Municipal Bonds & Notes 3,130 (Cost $3,088) ======== ------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 1.4% ------------------------------------------------------------------------------- Commercial Paper 1.4% R & T New York Money Market 4.550% due 10/02/2000 45 45 -------- Total Short-Term Instruments 45 (Cost $45) ======== Total Investments (a) 98.2% $ 3,175 (Cost $3,133) Other Assets and Liabilities (Net) 1.8% 57 -------- Net Assets 100.0% $ 3,232 ======== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value overtax cost. $ 44 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (2) -------- Unrealized appreciation-net $ 42 ======== (b) Variable rate security. The rate listed is as of September 30, 2000. 174 PIMCO Funds See accompanying notes Notes to Financial Statements September 30, 2000 (Unaudited) 1. Organization PIMCO Funds: Pacific Investment Management Series (the "Trust") was established as a Massachusetts business trust on February 19, 1987. The Trust is registered under the Investment Company Act of 1940 (the "Act"), as amended, as an open-end investment management company. The Trust currently consists of 35 separate investment funds (the "Funds"). The Trust may offer up to six classes of shares: Institutional, Administrative, A, B, C and D. Each share class has identical voting rights (except that shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares). The Long Duration Fund had not commenced operations as of September 30, 2000. Information presented in these financial statements pertains to the Institutional and Administrative Classes (the "Institutional Classes") of the Trust. Certain detailed financial information for the A, B, C and D Classes (the "Other Classes") is provided separately and is available upon request. 2. Significant Accounting Policies The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States. The preparation of financial statements in accordance with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Security Valuation. Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is determined on the basis of last reported sales prices, or if no sales are reported, as is the case for most securities traded over-the-counter, the mean between representative bid and asked quotations obtained from a quotation reporting system or from established market makers. Fixed income securities, including those to be purchased under firm commitment agreements, are normally valued on the basis of quotes obtained from brokers and dealers or pricing services. Short-term investments which mature in 60 days or less are valued at amortized cost, which approximates market value. Certain fixed income securities for which daily market quotations are not readily available may be valued, pursuant to guidelines established by the Board of Trustees, with reference to fixed income securities whose prices are more readily obtainable. Securities Transactions and Investment Income. Securities transactions are recorded as of the trade date. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses from securities sold are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, are recorded as soon as the Fund is informed of the ex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis. Dividends and Distributions to Shareholders. Dividends from net investment income, if any, of each Fund, except the Strategic Balanced, Convertible and StocksPLUS Funds, are declared on each day the Trust is open for business and are distributed to shareholders monthly. Dividends from net investment income, if any, of the Strategic Balanced, Convertible and StocksPLUS Funds are declared and distributed to shareholders quarterly. Net realized capital gains earned by a Fund, if any, will be distributed no less frequently than once each year. Income dividends and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States. These differences are primarily due to differing treatments for such items as wash sales, foreign currency transactions, net operating losses and capital loss carryforwards. Distributions reflected as a tax basis return of capital in the accompanying Statements of Changes in Net Assets have been reclassified to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed net realized gains or losses and paid in capital to more appropriately conform financial accounting to tax characterizations of dividend and distributions. Foreign Currency. Foreign currencies, investments, and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Fluctuations in the value of these assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses). Realized gains (losses) and unrealized appreciation (depreciation) on investment securities and income and expenses are translated on the respective dates of such transactions. The effect of changes in foreign currency exchange rates on investments in securities are not segregated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities. Multiclass Operations. Each class offered by the Trust has equal rights as to assets and voting privileges. Income and non-class specific expenses of each Fund, except the Strategic Balanced, Convertible and StocksPLUS Funds, are allocated daily to each class of shares based on the relative value of settled shares. Income and non-class specific expenses of the Strategic Balanced, Convertible and StocksPLUS Funds are allocated daily to each class of shares based on the relative net assets of each class. Realized and unrealized capital gains and losses of each Fund are allocated daily to each class of shares based on the relative net assets of each class. Federal Income Taxes. Each Fund intends to qualify as a regulated investment company and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made. 2000 Semi-Annual Report 175 Notes to Financial Statements (Cont.) September 30, 2000 (Unaudited) Financing Transactions. A Fund may enter into financing transactions consisting of the sale by the Fund of securities, together with a commitment to repurchase similar securities at a future date. The difference between the selling price and the future purchase price is an adjustment to interest income. If the counterparty to whom the Fund sells the security becomes insolvent, a Fund's right to repurchase the security may be restricted; the value of the security may change over the term of the financing transaction; and the return earned by a Fund with the proceeds of a financing transaction may not exceed transaction costs. Futures and Options. Certain Funds are authorized to enter into futures contracts and options. A Fund may use futures contracts and options to manage its exposure to the securities markets or to movements in interest rates and currency values. The primary risks associated with the use of futures contracts and options are imperfect correlation between the change in market value of the securities held by a Fund and the prices of futures contracts and options, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. Futures contracts and purchased options are valued based upon their quoted daily settlement prices. The premium received for a written option is recorded as an asset with an equal liability which is marked to market based on the option's quoted daily settlement price. Fluctuations in the value of such instruments are recorded as unrealized appreciation (depreciation) until terminated, at which time realized gains and losses are recognized. Forward Currency Transactions. Certain Funds are authorized to enter into forward foreign exchange contracts for the purpose of hedging against foreign exchange risk arising from the Fund's investment or anticipated investment in securities denominated in foreign currencies. A Fund also may enter into these contracts for purposes of increasing exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one country to another. All commitments are marked to market daily at the applicable translation rates and any resulting unrealized gains or losses are recorded. Realized gains or losses are recorded at the time the forward contract matures or by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Swaps. Certain Funds are authorized to enter into interest rate, total return and currency exchange swap agreements in order to obtain a desired return at a lower cost than if the Fund had invested directly in the asset that yielded the desired return. Swaps involve commitments to exchange components of income (generally interest or returns) pegged to the underlying assets based on a notional principal amount. Swaps are marked to market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gains or losses in the Statements of Operations. A Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a counterparty. Stripped Mortgage-Backed Securities (SMBS). SMBS represent a participation in, or are secured by and payable from, mortgage loans on real property, and may be structured in classes with rights to receive varying proportions of principal and interest. SMBS include interest-only securities (IOs), which receive all of the interest, and principal-only securities (POs), which receive all of the principal. If the underlying mortgage assets experience greater than anticipated payments of principal, a Fund may fail to recoup some or all of its initial investment in these securities. The market value of these securities is highly sensitive to changes in interest rates. Delayed Delivery Transactions. A Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by a Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, a Fund will set aside and maintain until the settlement date in a segregated account, liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, a Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. A Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security. Forward sales commitments are accounted for by the Fund in the same manner as forward currency contracts discussed above. Inflation-Indexed Bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond will be considered interest income, even though investors do not receive their principal until maturity. Repurchase Agreements. Each Fund may engage in repurchase transactions. Under the terms of a typical repurchase agreement, the Fund takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the Fund to resell, the obligation at an agreed-upon price and time. The market value of the collateral must be equal at all times to the total amount of the repurchase obligations, including interest. Generally, in the event of counterparty default, the Fund has the right to use the collateral to offset losses incurred. Reverse Repurchase Agreements. Certain Funds are authorized to enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells to a financial institution a security that it holds with an agreement to repurchase the same security at an agreed-upon price and date. A reverse repurchase agreement involves the risk that the market value of the security sold by the Fund may decline below the repurchase price of the security. 176 PIMCO Funds Restricted Securities. Certain Funds are permitted to invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. 3. Fees, Expenses, and Related Party Transactions Investment Advisory Fee. Pacific Investment Management Company (PIMCO) is a wholly owned subsidiary partnership of PIMCO Advisors L.P. and serves as investment adviser (the "Adviser") to the Trust, pursuant to an investment advisory contract. The Adviser receives a monthly fee from each Fund at an annual rate based on average daily net assets of the Fund. The Advisory Fee is charged at an annual rate of 0.15% for the Money Market Fund, 0.20% for the Short Duration Municipal Income Fund, 0.40% for the Strategic Balanced, Convertible and StocksPLUS Funds, 0.45% for the Emerging Markets Bond and 0.25% for all other Funds. Administration Fee. PIMCO serves as administrator (the "Administrator"), and provides administrative services to the Trust for which it receives from each Fund a monthly administrative fee based on each share class' average daily net assets. The Administration Fee for the Institutional Classes is charged at the annual rate of 0.18% for the Total Return and Low Duration Funds, 0.19% for the Short Duration Municipal Income Fund, 0.20% for the Moderate Duration, Short-Term and Money Market Funds, 0.24% for the California Intermediate Municipal Bond and New York Municipal Bond Funds, 0.30% for the Global Bond and Global Bond II Funds, 0.40% for the Emerging Markets Bond Fund and 0.25% for all other Funds. The Administration Fee for the A, B and C Classes is charged at an annual rate of 0.35% for the Short-Term, Money Market, Municipal Bond, California Intermediate Municipal Bond and New York Municipal Bond Funds, 0.45% for the Foreign Bond and Global Bond II Funds, 0.55% for the Emerging Markets Bond Fund and 0.40% for all other Funds. The Administration Fee for Class D is charged at the annual rate of 0.25% for the Short-Term, Total Return and Low Duration Funds, 0.35% for the Municipal Bond, Short Duration Municipal Income, California Intermediate Municipal Bond and New York Municipal Bond Funds, 0.45% for the Foreign Bond Fund and 0.40% for all other Funds. Distribution and Servicing Fees. PIMCO Funds Distributors LLC, ("PFD"), a wholly-owned subsidiary of PIMCO Advisors L.P., serves as the distributor of the Trust's shares. The Trust is permitted to reimburse, out of the Administrative Class assets of each Fund offering Administrative Class shares in an amount up to 0.25% on an annual basis of the average daily net assets of that class, financial intermediaries that provide services in connection with the distribution of shares or administration of plans or programs that use Fund shares as their funding medium. The effective rate paid to PFD was 0.25% during current fiscal year. Pursuant to the Distribution and Servicing Plans adopted by the A, B, C and D Classes of the Trust, the Trust compensates PFD or an affiliate with respect to Class D for services provided and expenses incurred in connection with assistance rendered in the sale of shares and services rendered to shareholders and for maintenance of shareholder accounts of the A, B, C and D Classes. The Trust paid PFD distribution and servicing fees at an effective rate as set forth below (calculated as a percentage of each Fund's average daily net assets attributable to each class): Distribution Servicing Fee Fee (%) (%) -------------------------------------------------------------------------------- Class A Money Market Fund -- 0.10 All other Funds -- 0.25 Class B All Funds 0.75 0.25 Class C Total Return, Long-Term U.S. Gov't., High Yield, Total Return Mortgage, Foreign Bond, Global Bond II, Emerging Markets Bond, Strategic Balanced and Convertible Funds 0.75 0.25 Low Duration, Real Return Bond, StocksPLUS and Municipal Bond Funds 0.50 0.25 Short-Term Fund 0.30 0.25 Money Market Fund -- 0.10 Class D All Funds -- 0.25 PFD also receives the proceeds of the initial sales charges paid by the shareholders upon the purchase of Class A shares, except for the Money Market Fund, and the contingent deferred sales charges paid by the shareholders upon certain redemptions of A, B and C Class shares. For the period ended September 30, 2000, PFD received $5,987,857 representing commissions (sales charges) and contingent deferred sales charges. 2000 Semi-Annual Report 177 Notes to Financial Statements (Cont.) September 30, 2000 (Unaudited) Expenses. The Trust is responsible for the following expenses: (i) salaries and other compensation of any of the Trust's executive officers and employees who are not officers, directors, stockholders or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees; (iii) brokerage fees and commissions and other portfolio transaction expenses; (iv) the costs of borrowing money, including interest expense; (v) fees and expenses of the Trustees who are not "interested persons" of PIMCO or the Trust, and any counsel retained exclusively for their benefit; (vi) extraordinary expenses, including costs of litigation and indemnification expenses; (vii) organization expense and (viii) any expenses allocated or allocable to a specific class of shares, which include service fees payable with respect to the Administrative Class shares and may include certain other expenses as permitted by the Trust's Multiple Class Plan adopted pursuant to Rule 18f-3 under the Act and subject to review and approval by the Trustees. The ratio of expenses to average net assets per share class, as disclosed in Financial Highlights, may differ from the annual fund operating expenses per share class as disclosed in the Prospectus for the reasons set forth above. PIMCO has agreed to waive a portion of Investment Grade Corporate Bond, Convertible, Short Duration Municipal Income, California Intermediate Municipal Bond and New York Intermediate Municipal Bond Funds administrative fees to the extent that the payment of each Fund's pro rate share of Trustee fees and organizational expenses cause the actual expense ratios to rise above the rates disclosed in the then-current prospectus plus 0.49 basis points as set forth below (calculated as a percentage of each Fund's average daily net assets attributable to each class):
Inst'l Class Admn. Class Class A Class B Class C Class D ----------------------------------------------------------------------------------------------------------------------------- Investment Grade Corporate Bond Fund 0.50% 0.75% -- -- -- -- Convertible Fund 0.65% 0.90% 1.05% 1.80% 1.80% 0.80% Short Duration Municipal Income Fund 0.39% 0.64% -- -- -- 0.80% California Intermediate Municipal Bond Fund 0.49% 0.74% 0.85% -- -- 0.85% New York Municipal Bond Fund 0.49% 0.74% 0.85% -- -- 0.85%
PIMCO may be reimbursed for these waived amounts in future periods. Each unaffiliated Trustee receives an annual retainer of $45,000, plus $ 3,000 for each Board of Trustees meeting attended in person and $500 for each meeting attended telephonically, plus reimbursement of related expenses. In addition, each committee chair receives an annual retainer of $1,500. These expenses are allocated to the Funds of the Trust according to their respective net assets. 4. Purchases and Sales of Securities Purchases and sales of securities (excluding short-term investments) for the period ended September 30, 2000, were as follows (amounts in thousands):
U.S. Government/Agency All Other ---------------------------------------------------------------------------- Purchases Sales Purchases Sales ----------------------------------------------------------------------------------------------------------------------------- Total Return Fund $ 83,997,342 $ 74,490,752 $ 9,558,193 $ 7,800,637 Total Return Fund II 4,692,286 4,176,115 338,341 181,715 Total Return Fund III 2,605,146 2,337,978 208,076 107,314 Moderate Duration Fund 483,097 482,497 194,111 77,826 Low Duration Fund 3,758,313 3,762,409 1,465,574 692,820 Low Duration Fund II 620,534 547,497 215,935 34,325 Low Duration Fund III 31,193 26,421 7,836 6,977 Short-Term Fund 260,258 282,834 406,785 82,275 Long-Term U.S. Government Fund 4,766,985 4,741,902 40,867 24,116 Investment Grade Corporate Bond Fund 4,735 4,498 7,738 2,963 High Yield Fund 0 6,402 474,059 747,037 Total Return Mortgage Fund 65,795 52,731 5,445 1,769 GNMA Fund 4,354 200 697 299 Real Return Bond Fund 1,351,736 1,175,196 493,404 43,416 Foreign Bond Fund 1,600,643 1,431,459 624,510 574,400 Global Bond Fund 721,535 611,958 259,438 197,330 Global Bond Fund II 11,651 7,517 227,962 219,090 Emerging Markets Bond Fund 0 0 179,931 158,831 Strategic Balanced Fund 457,515 496,735 112,546 140,586 Convertible Fund 0 0 153,607 160,927 StocksPLUS Fund 300,346 252,736 514,580 247,174 Municipal Bond Fund 108 0 83,024 84,009 Short Duration Municipal Income Fund 0 0 11,142 8,768 California Intermediate Municipal Bond Fund 0 0 212,882 135,822 California Municipal Bond Fund 108 0 41,539 33,295 New York Municipal Bond Fund 0 0 19,752 19,614
178 PIMCO Funds 5. Transactions in Written Call and Put Options Transactions in written call and put options were as follows (amounts in thousands):
Total Return Total Return Total Return Moderate Duration Low Duration Fund Fund II Fund III Fund Fund ------------------------------------------------------------------------------------ Premium ------------------------------------------------------------------------------------ Balance at 03/31/2000 $ 31,722 $ 1,090 $ 558 $ 250 $ 3,873 Sales 57,025 1,509 4,658 264 2,116 Closing Buys (29,554) (708) (3,275) (51) (78) Expirations (18,184) (616) (649) (206) (2,092) Exercised (216) 0 (199) 0 0 ------------------------------------------------------------------------------------ Balance at 09/30/2000 $ 40,793 $ 1,275 $ 1,093 $ 257 $ 3,819 ------------------------------------------------------------------------------------ Low Duration Low Duration Long-Term Foreign Bond Global Bond Fund II Fund III U.S. Gov't Fund Fund Fund ------------------------------------------------------------------------------------ Premium ------------------------------------------------------------------------------------ Balance at 03/31/2000 $ 289 $ 23 $ 579 $ 473 $ 213 Sales 122 24 2,073 1,602 572 Closing Buys (54) (3) (2,357) (363) (89) Expirations 0 (13) (288) (857) (279) Exercised 0 (7) 0 0 0 ----------------------------------------------------------------------------------- Balance at 09/30/2000 $ 357 $ 24 $ 7 $ 855 $ 417 ------------------------------------------------------------------------------------
Global Bond Strategic StocksPLUS Fund II Balanced Fund Fund -------------------------------------------------- Premium -------------------------------------------------- Balance at 03/31/2000 $ 40 $ 692 $ 1,231 Sales 220 643 6,831 Closing Buys (58) (275) 3,943 Expirations (113) (1,060) (9,955) Exercised 0 0 0 -------------------------------------------------- Balance at 09/30/2000 $ 89 $ 0 $ 2,050 -------------------------------------------------- 6. Reorganization The Acquiring Fund, as listed below, acquired the assets and certain liabilities of the Acquired Fund, also listed below, in a tax-free exchange for shares of the Acquiring Fund, pursuant to a plan of reorganization approved by the Acquired Fund's shareholders (amounts in thousands):
Value of Total Net Shares Shares Total Net Total Net Assets of Acquired Issued by Issued by Assets of Assets of Acquiring Fund's Acquiring Acquiring Acquired Acquiring Fund Unrealized After Acquiring Fund Acquired Fund Date Fund Fund Fund Fund Acquisition Depreciation ------------------------------------------------------------------------------------------------------------------------------------ PIMCO PIMCO Strategic Balanced Fund Balanced Fund 09/17/1999 5,137 $ 66,780 $ 66,780 $ 105,993 $ 172,774 $ (45)
7. Line of Credit Effective December 14, 1999, the funds, along with certain other funds managed by PIMCO, entered into an unsecured $100,000,000 bank line of credit agreement with State Street Bank & Trust Company. Borrowings under the agreement bear interest at the Fed Funds plus 50 basis points or the Base Rate, which is typically the Prime Rate. The funds may borrow money solely for temporary purposes to fund shareholder redemptions. The funds did not borrow from the line during the period April 1, 2000 through September 30, 2000. 8. Acquisition by Allianz AG On May 5, 2000, Allianz AG completed the acquisition of approximately 70% of the outstanding partnership interest in PIMCO Advisors L.P. ("PIMCO Advisors"), of which PIMCO is a subsidiary partnership. As a result of this transaction, PIMCO Advisors, and its subsidiaries, are now controlled by Allianz AG, a leading provider of financial services, particularly in Europe. PIMCO remains operationally independent, continues to operate under its existing name, and now leads the global fixed-income efforts of Allianz AG. Key employees at each PIMCO Advisors' investment units, including PIMCO's Bill Gross, have signed long-term employment contracts and have significant profit-sharing and retention arrangements to ensure continuity of the investment process and staff. With the addition of PIMCO Advisors, the Allianz Group manages assets of approximately US$650 billion, including more than 300 mutual funds for retail and institutional clients around the world. 2000 Semi-Annual Report 179 Notes to Financial Statements (Cont.) September 30, 2000 (Unaudited) 9. Shares of Beneficial Interest The Trust may issue an unlimited number of shares of beneficial interest with a $.0001 par value. Changes in shares of beneficial interest were as follows (shares and amounts in thousands):
Total Return Fund ------------------------------------------------------ Period Ended 09/30/2000 Year Ended 03/31/2000 Shares Amount Shares Amount ------------------------------------------------------ Receipts for shares sold Institutional Class 501,752 $ 5,002,226 911,222 $ 9,137,242 Administrative Class 83,277 830,924 218,285 2,193,159 Other Classes 89,167 889,558 215,631 2,171,970 Issued as reinvestment of distributions Institutional Class 72,576 724,490 116,974 1,172,270 Administrative Class 8,610 85,971 11,320 113,239 Other Classes 5,302 52,925 12,790 128,441 Cost of shares redeemed Institutional Class (314,048) (3,122,368) (623,571) (6,242,527) Administrative Class (39,346) (392,867) (95,333) (953,360) Other Classes (52,897) (526,894) (122,336) (1,223,161) Net increase (decrease) resulting from Fund share transactions 354,393 $ 3,543,965 644,982 $ 6,497,273 ------------------------------------------------------ Total Return Fund II ------------------------------------------------------- Period Ended 09/30/2000 Year Ended 03/31/2000 Shares Amount Shares Amount ------------------------------------------------------- Receipts for shares sold Institutional Class 33,819 $ 328,206 66,740 $ 653,040 Administrative Class 1,623 15,806 3,294 31,950 Other Classes 0 0 0 0 Issued as reinvestment of distributions Institutional Class 3,612 35,067 5,709 55,668 Administrative Class 186 1,810 286 2,786 Other Classes 0 0 0 0 Cost of shares redeemed Institutional Class (14,100) (136,484) (39,438) (384,235) Administrative Class (3,311) (32,376) (3,124) (30,450) Other Classes 0 0 0 0 Net increase (decrease) resulting from Fund share transactions 21,829 $ 212,029 33,467 $ 328,759 ------------------------------------------------------- Total Return Fund III ------------------------------------------------------- Period Ended 09/30/2000 Year Ended 03/31/2000 Shares Amount Shares Amount ------------------------------------------------------- Receipts for shares sold Institutional Class 19,958 $ 173,762 27,684 $ 246,232 Administrative Class 11 101 942 8,282 Other Classes 0 0 0 0 Issued as reinvestment of distributions Institutional Class 2,470 21,575 3,669 32,584 Administrative Class 36 314 22 195 Other Classes 0 0 0 0 Cost of shares redeemed Institutional Class (3,269) (28,602) (11,285) (99,748) Administrative Class (8) (72) (5) (40) Other Classes 0 0 0 0 Net increase (decrease) resulting from Fund share transactions 19,198 $ 167,078 21,027 $ 187,505 ------------------------------------------------------- Short-Term Fund ------------------------------------------------------- Period Ended 09/30/2000 Year Ended 03/31/2000 Shares Amount Shares Amount ------------------------------------------------------- Receipts for shares sold Institutional Class 26,597 $ 264,774 120,611 $ 1,202,372 Administrative Class 618 6,143 1,778 17,721 Other Classes 7,225 71,902 13,899 138,529 Issued as reinvestment of distributions Institutional Class 1,408 14,017 2,198 21,902 Administrative Class 14 140 24 234 Other Classes 179 1,778 499 4,967 Cost of shares redeemed Institutional Class (29,655) (295,264) (113,004) (1,126,670) Administrative Class (1,748) (17,394) (656) (6,533) Other Classes (6,652) (66,229) (14,093) (140,433) Net increase (decrease) resulting from Fund share transactions (2,014) $ (20,133) 11,256 $ 112,089 ------------------------------------------------------- Money Market Fund --------------------------------------------------------- Period Ended 09/30/2000 Year Ended 03/31/2000 Shares Amount Shares Amount --------------------------------------------------------- Receipts for shares sold Institutional Class 69,546 $ 69,548 382,805 $ 382,805 Administrative Class 8,818 8,818 45,030 45,030 Other Classes 1,717,589 1,717,589 6,791,637 6,791,637 Issued as reinvestment of distributions Institutional Class 7,171 7,171 14,007 14,008 Administrative Class 269 269 426 426 Other Classes 3,924 3,924 6,923 6,923 Cost of shares redeemed Institutional Class (182,973) (182,973) (414,090) (414,090) Administrative Class (10,360) (10,360) (44,939) (44,939) Other Classes (1,800,215) (1,800,215) (6,778,173) (6,778,173) Net increase (decrease) resulting from Fund share transactions (186,231) $ (186,229) 3,626 $ 3,627 ---------------------------------------------------------- Long-Term U.S. Government Fund ------------------------------------------------------- Period Ended 09/30/2000 Year Ended 03/31/2000 Shares Amount Shares Amount ------------------------------------------------------- Receipts for shares sold Institutional Class 4,228 $ 41,611 17,536 $ 170,823 Administrative Class 1,155 11,395 4,792 47,739 Other Classes 3,029 29,877 6,812 66,187 Issued as reinvestment of distributions Institutional Class 540 5,321 1,110 10,760 Administrative Class 122 1,204 246 2,386 Other Classes 173 1,702 396 3,859 Cost of shares redeemed Institutional Class (4,483) (43,753) (13,014) (124,451) Administrative Class (1,180) (11,446) (2,075) (20,024) Other Classes (2,675) (26,238) (6,842) (66,603) Net increase (decrease) resulting from Fund share transactions 909 $ 9,673 8,961 $ 90,676 -------------------------------------------------------
180 PIMCO Funds
Moderate Duration Fund Low Duration Fund ---------------------------------------------------------- ---------------------------------------------------------- Period Ended 09/30/2000 Year Ended 03/31/2000 Period Ended 09/30/2000 Year Ended 03/31/2000 Shares Amount Shares Amount Shares Amount Shares Amount ---------------------------------------------------------- ---------------------------------------------------------- 10,973 $ 104,825 20,710 $ 200,422 128,962 $ 1,264,527 287,904 $ 2,852,869 0 0 0 0 4,040 39,612 8,814 87,882 0 0 0 0 15,855 155,620 53,936 534,201 1,494 14,328 2,170 20,913 10,953 107,522 20,182 199,668 0 0 0 0 448 4,395 747 7,388 0 0 0 0 928 9,109 1,912 18,941 (7,279) (69,981) (14,158) (137,218) (122,259) (1,199,533) (290,438) (2,872,755) 0 0 0 0 (2,899) (28,501) (10,124) (100,890) 0 0 0 0 (15,314) (150,254) (49,060) (485,171) 5,188 $ 49,172 8,722 $ 84,117 20,714 $ 202,497 23,873 $ 242,133 ---------------------------------------------------------- ---------------------------------------------------------- Low Duration Fund II Low Duration Fund III ---------------------------------------------------------- --------------------------------------------------------- Period Ended 09/30/2000 Year Ended 03/31/2000 Period Ended 09/30/2000 Year Ended 03/31/2000 Shares Amount Shares Amount Shares Amount Shares Amount ---------------------------------------------------------- --------------------------------------------------------- 33,659 $ 327,020 13,865 $ 136,132 883 $ 8,528 1,305 $ 12,807 3 30 26 251 0 0 4 46 0 0 0 0 0 0 0 0 1,654 16,072 2,647 25,816 133 1,301 174 1,702 0 1 1 12 0 0 0 1 0 0 0 0 0 0 0 0 (11,697) (113,702) (9,884) (96,194) (603) (5,849) (791) (7,810) (7) (71) (2,291) (22,782) 0 0 (4) (43) 0 0 0 0 0 0 0 0 23,612 $ 229,350 4,364 $ 43,235 413 $ 3,980 688 $ 6,703 ---------------------------------------------------------- --------------------------------------------------------- Investment Grade Corporate Bond Fund High Yield Fund ------------------------- --------------------------------------------------------- Period from 04/28/2000 to 09/30/2000 Period Ended 09/30/2000 Year Ended 03/31/2000 Shares Amount Shares Amount Shares Amount ------------------------- --------------------------------------------------------- 500 $ 5,000 35,180 $ 357,174 112,421 $ 1,221,190 0 0 8,972 91,225 23,707 255,416 0 0 16,681 169,763 55,214 597,715 16 166 6,925 70,251 16,391 176,340 0 0 1,701 17,253 2,363 25,317 0 0 1,679 17,035 3,722 40,061 0 0 (57,060) (578,600) (129,621) (1,380,777) 0 0 (3,040) (30,931) (12,693) (135,307) 0 0 (18,656) (189,793) (48,358) (518,612) 516 $ 5,166 (7,618) $ (76,623) 23,146 $ 281,343 ------------------------- --------------------------------------------------------- Total Return Mortgage Fund GNMA Fund ---------------------------------------------------------- --------------------------------------------------------- Period Ended 09/30/2000 Year Ended 03/31/2000 Period Ended 09/30/2000 Year Ended 03/31/2000 Shares Amount Shares Amount Shares Amount Shares Amount ---------------------------------------------------------- --------------------------------------------------------- 1,272 $ 12,500 5 $ 51 360 $ 3,497 3 $ 27 0 0 0 0 0 0 0 0 27 292 18 176 0 0 0 0 36 366 24 235 21 212 26 261 0 0 0 0 0 0 0 0 1 7 1 5 0 0 0 0 (146) (1,481) (34) (342) (10) (94) (5) (48) 0 0 0 0 0 0 0 0 (1) (15) (21) (212) 0 0 0 0 1,189 $ 11,669 (7) $ (87) 371 $ 3,615 24 $ 240 ---------------------------------------------------------- ---------------------------------------------------------
2000 Semi-Annual Report 181 Notes to Financial Statements (Cont.) September 30, 2000 (Unaudited) 9. Shares of Beneficial Interest (Cont.) The Trust may issue an unlimited number of shares of beneficial interest with a $.0001 par value. Changes in shares of beneficial interest were as follows (shares and amounts in thousands):
Real Return Bond Fund ------------------------------------------------------- Period Ended 09/30/2000 Year Ended 03/31/2000 Shares Amount Shares Amount ------------------------------------------------------- Receipts for shares sold Institutional Class 23,299 $ 225,851 20,255 $ 197,599 Administrative Class 1,598 15,833 0 0 Other Classes 7,286 71,429 5,672 55,389 Shares issued in reorganization Institutional Class 0 0 0 0 Administrative Class 0 0 0 0 Other Classes 0 0 0 0 Issued as reinvestment of distributions Institutional Class 1,416 12,140 451 4,405 Administrative Class 21 152 0 0 Other Classes 274 2,363 145 1,416 Cost of shares redeemed Institutional Class (4,911) (44,766) (1,320) (12,861) Administrative Class (344) (3,373) 0 0 Other Classes (1,485) (14,609) (841) (8,197) Net increase (decrease) resulting from Fund share transactions 27,154 $ 265,020 24,362 $ 237,751 -------------------------------------------------------- Foreign Bond Fund ------------------------------------------------------- Period Ended 09/30/2000 Year Ended 03/31/2000 Shares Amount Shares Amount ------------------------------------------------------- Receipts for shares sold Institutional Class 8,056 $ 80,971 17,555 $ 178,740 Administrative Class 248 2,506 463 4,784 Other Classes 3,553 35,734 7,466 76,013 Shares issued in reorganization Institutional Class 0 0 0 0 Administrative Class 0 0 0 0 Other Classes 0 0 0 0 Issued as reinvestment of distributions Institutional Class 1,127 11,333 2,850 28,907 Administrative Class 16 156 32 324 Other Classes 276 2,777 609 6,155 Cost of shares redeemed Institutional Class (7,540) (75,719) (28,226) (286,997) Administrative Class (150) (1,511) (211) (2,130) Other Classes (2,061) (20,724) (4,535) (45,879) Net increase (decrease) resulting from Fund share transactions 3,525 $ 35,523 (3,997) $ (40,083) -------------------------------------------------------- Global Bond Fund ------------------------------------------------------- Period Ended 09/30/2000 Year Ended 03/31/2000 Shares Amount Shares Amount ------------------------------------------------------- Receipts for shares sold Institutional Class 14,533 $ 127,525 9,839 $ 90,144 Administrative Class 177 1,539 795 7,497 Other Classes 0 0 0 0 Shares issued in reorganization Institutional Class 0 0 0 0 Administrative Class 0 0 0 0 Other Classes 0 0 0 0 Issued as reinvestment of distributions Institutional Class 582 4,147 1,162 10,736 Administrative Class 6 52 19 172 Other Classes 0 0 0 0 Cost of shares redeemed Institutional Class (8,453) (72,806) (8,187) (74,885) Administrative Class (161) (1,392) (701) (6,530) Other Classes 0 0 0 0 Net increase (decrease) resulting from Fund share transactions 6,684 $ 59,065 2,927 $ 27,134 -------------------------------------------------------- StocksPLUS Fund ------------------------------------------------------- Period Ended 09/30/2000 Year Ended 03/31/2000 Shares Amount Shares Amount ------------------------------------------------------- Receipts for shares sold Institutional Class 9,311 $ 128,000 15,093 $ 218,329 Administrative Class 887 12,073 4,321 63,727 Other Classes 9,634 131,710 35,815 512,940 Issued as reinvestment of distributions Institutional Class 828 11,241 7,047 99,393 Administrative Class 47 635 530 7,404 Other Classes 698 9,367 9,584 133,688 Cost of shares redeemed Institutional Class (6,818) (93,861) (14,080) (201,504) Administrative Class (116) (1,590) (3,619) (52,930) Other Classes (13,792) (188,055) (32,255) (455,756) Net increase (decrease) resulting from Fund share transactions 679 $ 9,520 22,436 $ 325,291 ------------------------------------------------------- Municipal Bond Fund ------------------------------------------------------- Period Ended 09/30/2000 Year Ended 03/31/2000 Shares Amount Shares Amount ------------------------------------------------------- Receipts for shares sold Institutional Class 1,268 $ 11,878 443 $ 4,203 Administrative Class 168 1,601 315 3,032 Other Classes 610 5,782 1,697 16,283 Issued as reinvestment of distributions Institutional Class 29 278 25 239 Administrative Class 9 90 12 113 Other Classes 52 481 134 1,286 Cost of shares redeemed Institutional Class (679) (6,486) (450) (4,329) Administrative Class (38) (367) (135) (1,268) Other Classes (1,124) (10,647) (2,276) (21,656) Net increase (decrease) resulting from Fund share transactions 295 $ 2,610 (235) $ (2,097) Short Duration Municipal Income Fund ------------------------------------------------------- Period from 08/31/1999 Period Ended 09/30/2000 to 03/31/2000 Shares Amount Shares Amount ------------------------------------------------------- Receipts for shares sold Institutional Class 214 $ 2,134 1,050 $ 10,500 Administrative Class 0 0 0 0 Other Classes 0 0 1 10 Issued as reinvestment of distributions Institutional Class 26 263 24 241 Administrative Class 0 0 0 0 Other Classes 0 0 0 0 Cost of shares redeemed Institutional Class (50) 0 0 0 Administrative Class 0 0 0 0 Other Classes 0 0 0 0 Net increase (decrease) resulting from Fund share transactions 235 $ 2,347 1,075 $ 10,751 -------------------------------------------------------
182 PIMCO Funds
Global Bond Fund II Emerging Markets Bond Fund ------------------------------------------------------ ---------------------------------------------------- Period Ended 09/30/2000 Year Ended 03/31/2000 Period Ended 09/30/2000 Year Ended 03/31/2000 Shares Amount Shares Amount Shares Amount Shares Amount ------------------------------------------------------ ---------------------------------------------------- 733 $ 6,908 6,377 $ 59,618 2,867 $ 23,553 2,116 $ 16,701 0 0 0 0 44 378 3,429 25,789 80 754 460 4,394 163 1,404 125 979 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 187 1,762 268 2,526 156 1,337 111 888 0 0 0 0 66 557 114 915 24 233 58 545 4 39 9 73 (3,479) (32,688) (558) (5,204) (56) (478) (1,248) (9,797) 0 0 0 0 (396) (3,300) (1,993) (15,204) (238) (2,241) (595) (5,615) (115) (1,003) (37) (311) (2,693) $ (25,272) 6,010 $ 56,264 2,733 $ 22,487 2,626 $ 20,033 ------------------------------------------------------ ---------------------------------------------------- Strategic Balanced Fund Convertible Fund ------------------------------------------------------ ---------------------------------------------------- Period Ended 09/30/2000 Year Ended 03/31/2000 Period Ended 09/30/2000 Year Ended 03/31/2000 Shares Amount Shares Amount Shares Amount Shares Amount ------------------------------------------------------ ---------------------------------------------------- 162 $ 2,032 880 $ 8,040 2,571 $ 38,114 13,295 $ 176,112 6 70 75 956 28 410 0 0 367 4,593 704 12,505 878 12,913 1,059 14,391 0 0 2,758 35,908 0 0 0 0 0 0 0 0 0 0 0 0 0 0 2,379 30,872 0 0 0 0 144 1,764 552 7,091 64 960 137 1,984 2 23 3 45 0 0 0 0 57 644 161 2,065 5 7 8 120 (5,853) (74,557) (2,101) (26,925) (4,658) (68,411) (2,763) (41,632) (17) (216) (23) (293) 0 0 0 0 (404) (5,035) (949) (11,948) (145) (2,121) (61) (841) (5,536) $ (70,682) 4,439 $ 58,316 (1,257) $ (18,128) 11,675 $ 150,134 ------------------------------------------------------ ---------------------------------------------------- California California Intermediate Municipal Municipal Bond Fund Bond Fund New York Municipal Bond Fund ------------------------------------------------- ---------------------- ----------------------------------------------- Period from 08/31/1999 Period from 05/16/2000 Period from 08/31/1999 Period Ended 09/30/2000 to 03/31/2000 to 09/30/2000 Period Ended 09/30/2000 to 03/31/2000 Shares Amount Shares Amount Shares Amount Shares Amount Shares Amount ------------------------------------------------- ---------------------- ----------------------------------------------- 8,707 $ 87,248 885 $ 8,840 1,861 $ 18,619 0 $ 0 300 $ 3,000 156 1,550 1 10 0 0 0 0 0 0 3,145 31,556 190 1,889 2 20 0 0 2 20 107 1,088 9 91 18 183 6 67 8 76 2 25 0 0 0 0 0 0 0 0 41 424 1 12 0 0 0 0 0 0 (3,050) (30,771) (56) (556) (1,002) (10,286) 0 0 0 0 (1) (10) 0 0 0 0 0 0 0 0 (358) (3,572) (12) (119) 0 0 0 0 0 0 8,749 $ 87,538 1,018 $ 10,167 879 $ 8,536 6 $ 67 310 $ 3,096 ------------------------------------------------- ---------------------- -----------------------------------------------
2000 Semi-Annual Report 183 Notes to Financial Statements (Cont.) September 30, 2000 (Unaudited) 10. Federal Income Tax Matters As of March 31, 2000, the Funds listed in the table below had remaining capital loss carryforwards that were realized or acquired in prior years. Use of the acquired capital loss carryforwards may be limited under current tax laws. Additionally, the Total Return Fund, Total Return II, Total Return III, Moderate Duration, Low Duration, Low Duration II, Low Duration III, Short-Term, Long-Term U.S. Government, High Yield, Total Return Mortgage, Low Duration Mortgage, Real Return, Global Bond, Global Bond II, Emerging Markets, Municipal Bond, Short Duration Municipal Income, California Intermediate Municipal Bond and New York Intermediate Municipal Bond Funds realized capital losses and/or foreign currency losses during the period November 1, 1999 through March 31, 2000 which the Fund elected to defer to the following year pursuant to income tax regulations. The amounts are $243,968,849, $14,717,058, $11,710,797, $4,459,710, $17,470,237, $1,573,997, $337,027, $1,382,953, $10,332,768, $43,449,654, $5,145, $5,416, $342,135, $10,503,749, $406,361, $24,335, $526,178, $22,082, $12,205 and $10,244, respectively. Each Fund will resume capital gain distributions in the future to the extent gains are realized in excess of available carryforwards.
Capital Loss Carryforwards -------------------------------- Realized Losses Acquired Losses Expiration ----------------------------------------------------------------------------------------- Total Return Fund $ 750,096,993 $ 0 03/31/2008 Total Return Fund II 33,030,778 0 03/31/2008 Total Return Fund III 16,925,544 0 03/31/2008 Moderate Duration Fund 8,886,672 0 03/31/2008 Low Duration Fund 42,174,597 0 03/31/2008 Low Duration Fund II 5,796,635 0 03/31/2008 Low Duration Fund III 336,265 0 03/31/2008 Short-Term Fund 412,413 0 03/31/2008 Short-Term Fund 109,956 0 03/31/2007 Long-Term U.S. Government Fund 23,250,622 0 03/31/2008 High Yield Fund 39,492,722 0 03/31/2008 High Yield Fund 0 48,559,227 03/31/2002 Total Return Mortgage Fund 1,080 0 03/31/2008 Foreign Bond Fund 10,316,442 0 03/31/2008 Global Bond Fund 8,590,309 0 03/31/2008 Global Bond Fund II 1,342,527 0 03/31/2008 Municipal Bond Fund 391,768 0 03/31/2008 Municipal Bond Fund 5,734 0 03/31/2007 Short Duration Municipal Income Fund 2,501 0 03/31/2008
184 PIMCO Funds Pacific Investment Management Company is responsible for the management and administration of the PIMCO Funds: Pacific Investment Management Series. Founded in 1971, Pacific Investment Management Company currently manages assets in excess of $207 billion on behalf of mutual fund and institutional clients located around the world. Renowned for its fixed income management expertise, Pacific Investment manages assets for many of the largest corporations, foundations, endowments, and governmental bodies in the United States and the world. Trustees and Officers Brent R. Harris Chairman and Trustee R. Wesley Burns President and Trustee Guilford C. Babcock Trustee E. Philip Cannon Trustee Vern O. Curtis Trustee J. Michael Hagan Trustee Thomas P. Kemp Trustee William J. Popejoy Trustee Garlin G. Flynn Secretary John P. Hardaway Treasurer Investment Adviser and Administrator Pacific Investment Management Company 840 Newport Center Drive, Suite 300 Newport Beach, CA 92660 Custodian State Street Bank & Trust Company 801 Pennsylvania Kansas City, MO 64105 Transfer Agent National Financial Data Services 330 W. 9th Street, 4th Floor Kansas City, MO 64105 Counsel Dechert Price & Rhoads 1775 Eye Street, N.W. Washington, D.C. 20006-2401 Independent Accountants PricewaterhouseCoopers LLP 1055 Broadway Kansas City, MO 64105 PIMCO Funds Distributors LLC 2197 Atlantic Street, Stamford, CT 06902 This report is submitted for the general information of the shareholders of the PIMCO Funds. It is not authorized for distribution to prospective investors unless accompanied or preceded by an effective prospectus for the PIMCO Funds, which contains information covering its investment policies as well as other pertinent information. [LOGO OF PIMCO FUNDS] 840 NEWPORT CENTER DRIVE, SUITE 300 NEWPORT BEACH, CA 92660 800.927.4648 www.pimco.com PIMCO Funds Shareholder Update and Semi-Annual Report This Update is published twice a year to provide PIMCO Funds shareholders with general market commentary and fund information. It also includes the financial report for the PIMCO Funds: Pacific Investment Management Series. September 30, 2000 Pacific Investment Management Series Share Classes A B C California Intermediate Municipal Bond CA Muni Bond Convertible Emerging Markets Bond Foreign Bond Global Bond II High Yield Long-Term U.S. Government Low Duration Money Market Municipal Bond New York Municipal Bond Real Return Bond Short-Term StocksPLUS Strategic Balanced Total Return Total Return Mortgage [GRAPHIC] Although stocks have taken center stage in recent years, bonds have been star performers in 2000. Story on page 1. Page 1 Today's Investor Bonds Deserve a Little Limelight--and a Place in Your Portfolio Page 3 PIMCO Funds Update What's News Page 4 Manager Commentary A Conversation with Bill Gross and Paul McCulley Page 6 Web Update Bookmark the PIMCO Funds Bond Center Page 7 Overview: Comprehensive Fund Family Page 8 PIMCO Funds: Pacific Investment Management Series Semi-Annual Report PIMCO FUNDS Today's Investor Bonds Deserve a Little Limelight--and a Place in Your Portfolio [GRAPHIC] Bonds are the Rodney Dangerfield of the investment world. Sometimes they just don't get much respect. Despite the fact that, on average, they're outperforming stocks so far this year, they're not getting the attention they deserve. The fact of the matter is, bonds are hard working securities that do a very good job of preserving capital, providing stability and sometimes--like this year--they even offer higher returns than stocks. And all of that makes a compelling argument for including them in a diversified investment portfolio. Bonds topping stocks in 2000 Bonds are on track to outperform stocks this year--a big change from last year's scenario. In 1999 the S&P 500 ended the year up 21.04%, while the tech-heavy NASDAQ closed the year up a phenomenal 85.59%. At the end of September this year, however, both indexes were in negative territory--the S&P 500 at -1.39% and the NASDAQ at -9.74%. By contrast, at the end of the third quarter the Lehman Aggregate Bond Index--generally regarded as representative of the bond market as a whole--was up an impressive 7.12% year to date. After last year's sky-high stock market returns, who could have predicted this turn of events? No one. And that's exactly the rationale for portfolio diversification. Since nobody can foretell which way the financial markets will head from year to year, the sensible solution is to maintain a diversified investment portfolio to protect against the markets' innate volatility. Is your portfolio allocation out of whack? As a result of the run-up in stocks over the last 5 years, many investors will find that their portfolios are no longer properly diversified. The chart below shows what happened to a hypothetical portfolio with 65% invested in stocks and 35% invested in bonds between September 30, 1995 and September 30, 2000. Having a larger portion of your portfolio invested in stocks last year, when stock prices were rising, was a beautiful thing. But with this year's unprecedented stock market volatility, a top-heavy stock portfolio is likely not faring so well. Time to boost your bond quotient? The strong performance of the bond market makes this a particularly good time to invest in bonds. If you're receiving this report, you're already investing in a PIMCO bond fund. That's a good start. The next step is to determine if the percentage of your bond holdings matches your financial goals and risk tolerance. If you need to increase your portfolio's bond allocation, you have a wide range of bond funds from which to choose, from high quality, "These slow-and-steady performers [bonds] are anything but dull. They offer many intriguing opportunities and the chance to outpace stocks in coming years." -- Money, August 2000 intermediate duration core funds to more specialized options. Diversifying your bond holdings will allow you to take advantage of the potential risk/reward tradeoff each offers. You might consider, for example, these sectors of the bond market, each currently offering compelling reasons to invest. Continued You may be less diversified than you think Initial Allocation (9/30/95) Resulting Allocation (9/30/00) Stocks $ 65,000 65% $ 173,445 78% Bonds $ 35,000 35% $ 47,875 22% Source: Wiesenberger. Returns are based on total return performance from 9/30/95--9/30/00. Stocks represented by the S&P 500 Index, an unmanaged index of common stocks. Bonds are represented by the Lehman Aggregate Bond Index, an unmanaged index of bonds. It is not possible to invest directly in an unmanaged index, and results are not indicative of any PIMCO Fund. 1 . Mortgage-backed securities Bill Gross, PIMCO's renowned bond guru, has been touting the virtues of mortgage-backed securities (MBS) for a good part of this year. Government National Mortgage Association (GNMA) securities--or Ginnie Maes--are a particularly attractive member of this asset group as they're backed by the full faith and credit of the U.S. government. And other MBSs, though not guaranteed by the Treasury, nevertheless offer AAA credit ratings. "Long live the Queen--Ginnie Mae. You'll not find a better investment in the bond market today." --Bill Gross, May 2000 Historically, MBSs have offered higher yields than Treasuries or investment grade corporate bonds of comparable maturity, with little additional risk. And currently they're yielding over 7%, while Treasuries and investment-grade corporate bonds are yielding between 5% and 6%. . Municipal bonds For tax-sensitive investors, the municipal (muni) bond market is currently providing attractive opportunities. Munis, which are exempt from Federal taxes and from state and local taxes for residents within the issuing state, are currently offering impressive after-tax yields relative to Treasuries. What's more, the average municipal bond fund has topped the average taxable bond fund so far this year. According to leading fund analyst Lipper, Inc., muni funds have returned 5.99% year-to-date, while taxable bond funds have returned 3.79%--and that's not even taking the tax consequences into consideration. Additionally, credit quality conditions in the municipal sector have rarely been more favorable. In fact, Barron's (Oct. 23, 2000) recently reported that "there were 4.1 upgrades for every downgrade among municipals in the third quarter. Among investment grade securities, there were 1.03 upgrades for every downgrade." . Inflation-protected bonds After years of relatively steady prices, many investors have forgotten how harmful inflation can be. In fact, it's one of the most serious threats investors face. And despite the Federal Reserve's recent series of interest rate hikes, the inflation rate --as measured by the Consumer Price Index--has still risen 3.5% for the year ended September 30, 2000. Only one investment vehicle eliminates the risk of inflation entirely--inflation-protected bonds. The principal value of inflation-protected bonds changes in step with the rate of inflation, and as the principal increases, so does the amount of interest paid. Treasury Inflation-Protected Securities (TIPS) are one of the most attractive members of this asset class, combining inflation protection with the guarantee of the U.S. government. Investing in these securities now, while inflation remains at relatively low levels, allows investors to take maximum advantage of the adjustments to principal that will occur when inflation eventually rises. PIMCO Funds offers funds specializing in these three bond classes. To find out about them, contact your financial advisor. He or she can also help you review your portfolio to determine what bond allocation is right for you. Past performance is no guarantee of future results. The opinions expressed in this article are opinions only and are not indicative of the past or future performance of any PIMCO Fund. It is not possible to invest directly in any unmanaged index. Mortgage-backed securities may be sensitive to changes in prevailing interest rates, when they rise the value generally declines. GNMA's government guarantee is to the timely repayment of principal and interest of a mutual fund's portfolio securities and not to the shares of the mutual fund, which will fluctuate in value. There is no assurance that the private guarantors or insurers will meet their obligations. Government bonds and Treasury bills are guaranteed by the U.S. government and, if held to maturity, offer a fixed rate of return and fixed principal value. Corporate debt securities are subject to the risk of the issuer's inability to meet principal and interest payments on the obligation and may also be subject to price volatility due to such factors as interest rate sensitivity, market perception of the creditworthiness of the issuer and general market liquidity. Income from municipal bond funds is subject to state and local taxes & may at times be subject to the alternative minimum tax. It's important to note that a fund concentrating in a single state is subject to greater risk of adverse economic conditions and regulatory changes than a fund with broader geographical diversification. The Consumer Price Index is an unmanaged index representing the rate of inflation of the US consumer prices as determined by the US Department of Labor Statistics. There can be no guarantee that the CPI or other indexes will reflect the exact level of inflation at any given time. Treasury Inflation Protected Securities (TIPS) are guaranteed by the US government, however the shares of the Fund are not. 2 PIMCO Funds Update What's News PIMCO Total Return Mortgage Fund By virtue of their high credit quality and attractive yield potential, mortgage- backed securities (MBSs) have become an increasingly important component of the bond market. In fact, Bill Gross, PIMCO's renowned bond chief, considers MBSs-- and more specifically, Ginnie Maes--to be the best investment in the bond market today. Launched on August 1, 2000, PIMCO Total Return Mortgage Fund lets you take advantage of this unique opportunity. Here are some of the Fund's highlights: . Invests in MBSs, which have historically outperformed Treasuries and investment-grade corporates with comparable durations. . Offers high average credit quality and an intermediate duration, making the Fund an attractive core bond holding. . Managed by Scott Simon, a leading mortgage expert with over 17 years of investment experience. . Backed by PIMCO, the country's largest MBS manager, with nearly $90 billion in assets under management in this sector. . Employs PIMCO's signature total return philosophy and process. PIMCO California Municipal Bond Fund "There are compelling opportunities in today's muni market," according to PIMCO's municipal manager, Mark McCray. Currently, McCray finds that municipal yields are very attractive compared to the after-tax yields of comparable Treasuries and corporates. This is especially true in the large California market, which has outperformed the national muni market so far this year. PIMCO California Municipal Bond Fund, launched on August 1, 2000, offers a portfolio of federal and California tax-exempt bonds with a 3- to 12-year duration. These are some of the Fund's key features: . Provides monthly income free from federal and California taxes. . High credit quality--most issues ranging from A to AAA. . Diversified across a wide range of California industry sectors. . Managed by Mark McCray, an expert with an extensive background in municipal securities. . Backed by PIMCO's state-of the-art analytical tools and bond management resources. PIMCO Bond Funds--Head and Shoulders Above the Crowd Here's a compelling statistic: all but one of PIMCO's bond funds outperformed their Lipper peer group averages over the 1-year period ended 9/30/00 (see chart below). And the one that didn't--PIMCO Emerging Markets Bond Fund--still returned an impressive 23.81%. What does this mean for investors? By entrusting their assets to PIMCO, investors can participate in a wide range of fixed-income strategies within one fund family--and expect the same high-quality investment management across the board. PIMCO Bond Funds 1-Year Returns for the Period Ended 9/30/00
PIMCO Fund 1-Year (%) Lipper Avg. (%) Difference Foreign Bond 7.13 -3.90 +11.03% Convertible 38.39 30.87 +7.52% Global Bond II 6.53 0.58 +5.95% Real Return Bond 9.59 5.68 +3.91% Long-Term U.S. Government 8.93 6.12 +2.81% High Yield 2.77 -0.02 +2.79% Total Return Mortgage 8.01 6.47 +1.54% California Interm. Municipal Bond 6.81 5.78 +1.03% New York Municipal Bond 6.18 5.22 +0.96% Total Return 6.62 5.75 +0.87% Municipal Bond 5.41 4.74 +0.67% Low Duration 6.05 5.73 +0.32% Short-Term 6.12 6.02 +0.10% Emerging Markets Bond 23.81 23.97 -0.16%
Past performance is no guarantee of future results. Fund returns represent the performance of Class A shares at NAV. Please refer to the appropriate pages for standardized returns and complete risk disclosures for all of the above Funds. Treasury securities are guaranteed by the U.S. government. Lipper averages are calculated by Lipper, Inc., a nationally recognized mutual fund performance evaluation firm. They are performance averages of the funds Lipper tracks, with the investment objective noted. Lipper rankings are based on total returns, not adjusted for sales charges. 3 Manager Commentary Economic Outlook Bill Gross is regarded by many as America's most influential authority on the bond market. He pioneered the "total return" approach to bond investing, and is the portfolio manager of PIMCO Total Return Fund--the country's largest bond fund. Paul McCulley is an economist and monetary policy specialist with 17 years of investment experience. He is responsible for all short-term bond portfolios at PIMCO--including PIMCO Short-Term Fund. We recently had the pleasure of speaking with them both about their latest outlook for the economy and the bond market. Q: What happened in the bond market in the third quarter? BG: Intermediate maturity Treasuries rallied as the yields on 2-, 5- and 10-year notes fell significantly. With the yield on 30-year Treasuries remaining flat, the portion of the Treasury yield curve between 10 and 30 years reverted to a positive slope for the first time since mid-January. The reversion of the long end of the curve came amid shifting market sentiment about the economy, Fed policy and the budget surplus in Washington. Mortgages outperformed Treasuries, benefiting from low market volatility and attractive yield premiums. Investment- grade debt also did well as investors were drawn to their higher yields. However, the high yield sector lagged Treasuries amid continued concern about credit weakness in the sector. Q: What's your outlook for the economy? PM: Looking ahead, global economic growth will moderate in response to recent monetary policy tightening in the U.S., Europe and Japan and the highest oil prices in a decade. Inflation is likely to creep higher as increased energy prices seep through economies around the world. In fact, there are now indications that the economy here at home has started to slow. Manufacturing activity is slowing. According to the Purchasing Managers Index, the sector actually contracted in August and September. And corporate earnings warnings suggest the problem is not confined to just manufacturing. In addition, consumer spending is cooling, after posting robust gains at the start of the year. Q: What does that mean for the Fed? PM: Well, the Fed will likely stand pat, certainly through the election, and maybe until next year. While Chairman Greenspan must be happy that the economy is slowing, he remains concerned about two important issues, the impact of continued labor market tightness on inflation through higher wage pressures and concern that higher oil prices will seep into the economy in the form of secondary and tertiary price increases. So while historically the Fed has loosened monetary policy when the manufacturing economy has contracted, this time they may delay easing until inflationary pressures diminish. In short, the tightening cycle is over, but the Fed hasn't indicated that easier monetary policy lies ahead. Q: So, will high oil prices be a major issue for the Fed? PM: Well, over the short run it is a consideration because supply and demand tend to be less elastic. However, the current level of oil prices is not sustainable over the long term. In our opinion, higher oil prices will dampen demand over the long term by slowing worldwide growth. High prices will also encourage more drilling, expansion of refining capacity and rebuilding of inventories from their current low levels. The Fed knows this and that's why they are willing to put up with higher oil prices now, all other things being equal. Q: Will the outcome of the presidential election impact the bond market? BG: A concern I have is if one party dominates the election by taking both the White House and Congress, it will be able to enact its promised tax cut. That would stimulate the consumer and re-ignite the economy, potentially bringing the Historically, the Fed has eased when the Purchasing Managers Index drops below 50. [GRAPH] Retail Page 4 DATE Purchasing Managers (%) Fed Funds Rate (%) ------ ----------------------- ------------------ Jan-82 38.2 13.2 Feb-82 38.3 14.8 Mar-82 36.8 14.7 Apr-82 37.8 14.9 May-82 35.5 14.5 Jun-82 38.3 14.2 Jul-82 38.4 12.6 Aug-82 38.3 10.1 Sep-82 38.8 10.3 Oct-82 39.4 9.7 Nov-82 39.2 9.2 Dec-82 42.8 9.0 Jan-83 46.0 8.7 Feb-83 54.4 8.5 Mar-83 53.9 8.8 Apr-83 54.2 8.8 May-83 56.1 8.6 Jun-83 57.5 9.0 Jul-83 63.6 9.4 Aug-83 63.1 9.6 Sep-83 62.5 9.5 Oct-83 64.4 9.5 Nov-83 66.0 9.3 Dec-83 69.9 9.5 Jan-84 60.5 9.6 Feb-84 61.3 9.6 Mar-84 58.9 9.9 Apr-84 61.0 10.3 May-84 58.6 10.3 Jun-84 58.1 11.1 Jul-84 56.1 11.2 Aug-84 53.0 11.6 Sep-84 50.0 11.3 Oct-84 50.8 10.0 Nov-84 50.3 9.4 Dec-84 50.6 8.4 Jan-85 50.3 8.4 Feb-85 49.9 8.5 Mar-85 47.8 8.6 Apr-85 48.2 8.3 May-85 47.1 8.0 Jun-85 47.8 7.5 Jul-85 47.9 7.9 Aug-85 47.7 7.9 Sep-85 49.9 7.9 Oct-85 50.9 8.0 Nov-85 52.0 8.1 Dec-85 50.7 8.3 Jan-86 51.2 8.1 Feb-86 51.0 7.9 Mar-86 51.0 7.5 Apr-86 49.7 7.0 May-86 53.4 6.9 Jun-86 50.5 6.9 Jul-86 48.0 6.6 Aug-86 52.6 6.2 Sep-86 52.4 5.9 Oct-86 51.2 5.9 Nov-86 51.2 6.0 Dec-86 50.5 6.9 Jan-87 54.9 6.4 Feb-87 52.6 6.1 Mar-87 55.0 6.1 Apr-87 55.5 6.4 May-87 57.2 6.9 Jun-87 57.4 6.7 Jul-87 57.5 6.6 Aug-87 59.3 6.7 Sep-87 60.0 7.2 Oct-87 60.7 7.3 Nov-87 58.8 6.7 Dec-87 61.0 6.8 Jan-88 57.5 6.8 Feb-88 56.2 6.6 Mar-88 54.6 6.6 Apr-88 55.8 6.9 May-88 55.5 7.1 Jun-88 59.3 7.5 Jul-88 58.2 7.8 Aug-88 56.0 8.0 Sep-88 54.5 8.2 Oct-88 55.4 8.3 Nov-88 55.6 8.4 Dec-88 56.0 8.8 Jan-89 54.7 9.1 Feb-89 54.1 9.4 Mar-89 51.5 9.9 Apr-89 52.2 9.8 May-89 49.3 9.8 Jun-89 47.3 9.5 Jul-89 45.9 9.2 Aug-89 45.1 9.0 Sep-89 46.0 9.0 Oct-89 46.8 8.8 Nov-89 46.8 8.6 Dec-89 47.4 8.5 Jan-90 47.2 8.2 Feb-90 49.1 8.2 Mar-90 49.9 8.3 Apr-90 50.0 8.3 May-90 49.5 8.2 Jun-90 49.2 8.3 Jul-90 46.6 8.2 Aug-90 46.1 8.1 Sep-90 44.5 8.2 Oct-90 43.2 8.1 Nov-90 41.3 7.8 Dec-90 40.8 7.3 Jan-91 39.2 6.9 Feb-91 39.4 6.3 Mar-91 40.7 6.1 Apr-91 42.8 5.9 May-91 44.5 5.8 Jun-91 50.3 5.9 Jul-91 50.6 5.8 Aug-91 52.9 5.7 Sep-91 54.9 5.5 Oct-91 53.1 5.2 Nov-91 49.5 4.8 Dec-91 46.8 4.4 Jan-92 47.3 4.0 Feb-92 52.7 4.1 Mar-92 54.6 4.0 Apr-92 52.6 3.7 May-92 55.7 3.8 Jun-92 53.6 3.8 Jul-92 53.9 3.3 Aug-92 53.4 3.3 Sep-92 49.7 3.2 Oct-92 50.3 3.1 Nov-92 53.6 3.1 Dec-92 54.2 2.9 Jan-93 55.8 3.0 Feb-93 55.2 3.0 Mar-93 53.5 3.1 Apr-93 50.2 3.0 May-93 51.2 3.0 Jun-93 49.6 3.0 Jul-93 50.2 3.1 Aug-93 50.7 3.0 Sep-93 50.8 3.1 Oct-93 53.4 3.0 Nov-93 53.8 3.0 Dec-93 55.6 3.0 Jan-94 56.0 3.1 Feb-94 56.5 3.3 Mar-94 56.9 3.3 Apr-94 57.4 3.6 May-94 58.2 4.0 Jun-94 58.8 4.3 Jul-94 58.5 4.3 Aug-94 58.0 4.5 Sep-94 59.0 4.7 Oct-94 59.4 4.8 Nov-94 59.2 5.3 Dec-94 56.1 5.5 Jan-95 57.4 5.5 Feb-95 55.1 5.9 Mar-95 52.1 6.0 Apr-95 51.5 6.1 May-95 46.7 6.0 Jun-95 45.9 6.0 Jul-95 50.7 5.9 Aug-95 47.1 5.7 Sep-95 48.1 5.8 Oct-95 46.7 5.8 Nov-95 45.9 5.8 Dec-95 46.2 5.6 Jan-96 45.5 5.6 Feb-96 45.9 5.2 Mar-96 46.9 5.3 Apr-96 49.3 5.2 May-96 49.1 5.2 Jun-96 53.6 5.3 Jul-96 49.7 5.4 Aug-96 51.6 5.2 Sep-96 51.1 5.3 Oct-96 50.5 5.2 Nov-96 53.0 5.3 Dec-96 55.2 5.3 Jan-97 53.6 5.3 Feb-97 53.3 5.2 Mar-97 54.1 5.4 Apr-97 53.7 5.5 May-97 56.0 5.5 Jun-97 55.2 5.6 Jul-97 57.8 5.5 Aug-97 56.1 5.5 Sep-97 54.0 5.5 Oct-97 56.4 5.5 Nov-97 55.4 5.5 Dec-97 54.3 5.5 Jan-98 53.4 5.5 Feb-98 53.2 5.5 Mar-98 53.4 5.5 Apr-98 52.3 5.5 May-98 50.9 5.5 Jun-98 49.2 5.6 Jul-98 49.4 5.5 Aug-98 49.1 5.6 Sep-98 48.8 5.5 Oct-98 48.6 5.1 Nov-98 47.7 4.8 Dec-98 46.3 4.7 Jan-99 49.9 4.6 Feb-99 52.1 4.8 Mar-99 53.3 4.8 Apr-99 52.7 4.7 May-99 54.4 4.7 Jun-99 56.3 4.8 Jul-99 53.6 5.0 Aug-99 54.4 5.1 Sep-99 57.3 5.2 Oct-99 56.9 5.2 Nov-99 57.1 5.4 Dec-99 56.8 5.3 Jan-00 56.3 5.5 Feb-00 56.9 5.7 Mar-00 55.8 5.9 Apr-00 54.9 6.0 May-00 53.2 6.3 Jun-00 51.8 6.5 Jul-00 51.8 6.6 Aug-00 49.5 6.5 Source: Nat'l Assoc. of Purchasing Mgmt.; Federal Reserve. 4 Fed back into the picture. Furthermore, the spending initiatives of either a Bush or Gore administration would most likely turn forecasted budget surpluses into deficits. That would force the Treasury to issue new debt, and remove what has been a major stimulus for the Treasury market this year. I think the bond market would be happiest if the election resulted in continued stalemate in Washington with one party in control of the White House and another in control of Congress. Q: Then is stagflation still an issue? BG: Yes, over the short term. While the economy is clearly cooling, inflation should creep higher due to the factors Paul mentioned before. Historically, normal economic cycles often end with a small dose of stagflation, because inflation in general is a lagging condition. However, the tech slowdown that is currently unfolding needs to be watched. If it negatively impacts productivity growth, then the stagflation story could become a bigger issue. Q: What will drive performance in the coming months? PM: Sector and quality will have more impact on portfolio performance than interest rate strategies in the current environment of slower growth, earnings pressure and creeping inflation. High levels of corporate debt and erosion of credit quality amid slower global growth signal caution toward longer-maturity corporate and emerging market bonds. Emphasis on top-quality credits with shorter maturities is one way to avoid mistakes, though this strategy may sacrifice yield. Mortgages are another alternative. Still, mortgages are not risk-free because they will be vulnerable to adverse price performance if interest rate volatility picks up. U.S. Corporate Sector Borrowing Corporations are assuming more and more debt. The line graph inserted at the bottom of page 4 in the section "Economic Outlook" is entitled "U.S. Corporate Sector Borrowing" and illustrates the fact that corporations are assuming more and more debt. The graph shows one line representing the U.S.$ amount from flow of funds and a second line representing the %YoY of non-financial credit growth (RHS), both over the ten-year period from 1990 through 2000. Source: Datastream. Q: Then are mortgage-backed securities still the favored sector? BG: They are for two reasons. First, their yields remain attractive relative to other areas of the bond market with little additional credit risk. Mortgages are still yielding north of 7%, while Treasuries and investment-grade corporate bonds are earning between 5% and 6%. Second, given our outlook for a relatively stable interest rate environment over the next year, the yield premium paid for prepayment risk is very attractive right now. Q: Finally, Bill, you've spoken frequently about the decline of the corporate sector. Could you elaborate? BG: First, cyclically, with the economy slowing and default rates in the corporate credit market high and rising, higher yielding, lower quality issues will continue to face tough times. Even many investment-grade issues suffer in this environment. Second, secularly, corporate bond investing in a New Age economy is a dangerous proposition. That's because today's economic growth is based on the premise that "creative destruction" is a good thing. Joseph Schumpeter first introduced the idea that the greatest good is ultimately accomplished by allowing innovation to flourish even as it damages some. The U.S. dominates the world economy today because it embraces change and allows the new to overtake the old. New Age companies embody the creative part of the concept and tend to raise capital in the equity markets. That leaves destruction for certain Old Age companies, which leverage their balance sheet by issuing debt only to use the proceeds to buy back stock in order to keep their stock price competitive--a vicious cycle of self-liquidation. The outcome is not good for debt holders. That's why we are cautious about the corporate market. For more on our economic outlook on a monthly basis, read Bill Gross's Investment Outlook and Paul McCulley's Fed Focus online at www.pimcofunds.com. Past performance is no guarantee of future results. The views of Mr. Gross and Mr. McCulley are not indicative of the past or future performance of any PIMCO Fund. 5 Web Update Looking for the Best in Online Bond Information? Bookmark the PIMCO Funds Bond Center at www.pimcofunds.com/bondcenter [GRAPHIC] Visit the PIMCO Funds Bond Center at www.pimcofunds/bondcenter.com for comprehensive, reliable, up-to-date information on bonds and bond mutual funds. Now you can get even more detailed, easy-to-access information about PIMCO's bond funds when you visit the online PIMCO Funds Bond Center. And of course, the Center continues to deliver the best research and news about bonds and bond investing. Rely on the Bond Center to bring you the latest information from our world-class team of investment professionals led by PIMCO founder Bill Gross. Resources to Keep You In-the-Know The Bond Center contains a wealth of resources to keep you up-to-date on the economy, the bond markets and related investment opportunities. Regular features include: . Investment Outlook--Bill Gross's monthly newsletter on economic and interest rate trends. . Manager Commentary--Read insight from PIMCO bond managers on the economy and its impact on their funds. . Sector Strategy White Papers--PIMCO Fund managers provide in-depth examinations of fund sectors and discuss strategy. . Economic Data Analysis--Timely analysis of recent economic trends and data from PIMCO's point of view. . Media Highlights--Stay abreast of PIMCO Fund manager appearances and coverage of our Funds. Enhanced Fund Information Getting the facts you need about any PIMCO bond fund is faster and easier than ever. Now, everything relating to a Fund is conveniently organized in one place: . Performance--Class-specific, in-depth performance data, including daily price and performance, month-end numbers and average annual returns. . Fund Overviews--Highlighting the unique advantages each Fund offers. . Statistics at a Glance--Including objective, primary portfolio and assets under management. . Ratings/Rankings--Current Morningstar ratings and Lipper rankings. . Portfolio Analysis--Breakdown of Fund holdings plus quality and maturity analyses, updated monthly. . Manager Commentary--Managers' investment insight and market analysis. . Investment Process--Step-by-step explanations of each manager's investment strategy. . Literature--Categorized by Fund, to download or order by mail. 6 The PIMCO Funds Family
Fund Name Objective Primary Portfolio Composition -------------------------------------------------------------------------------------------------------------------------------- Growth Growth Long-term growth of capital Stocks of larger-capitalized companies Stock Funds Select Growth Long-term growth of capital Stocks of larger-capitalized companies Target Capital appreciation Stocks of medium-capitalized companies Opportunity Capital appreciation Stocks of smaller-capitalized companies -------------------------------------------------------------------------------------------------------------------------------- Blend Growth & Income Long-term growth of capital, with Stocks of larger-capitalized companies Stock Funds current income as a secondary objective Capital Appreciation Growth of capital Stocks of larger-capitalized companies the manager believes are reasonably valued Mid-Cap Growth of capital Stocks of medium-capitalized companies the manager believes are reasonably valued Equity Income Current income and long-term growth Stocks of companies with below-average P/Es and above-average dividends -------------------------------------------------------------------------------------------------------------------------------- Value Value Long-term growth of capital and Stocks of larger-capitalized companies with Stock Funds income below-average P/Es Renaissance Long-term growth of capital and Stocks with below-average income valuations Small-Cap Value Long-term growth of capital and Stocks of smaller-capitalized companies with income below-average P/Es -------------------------------------------------------------------------------------------------------------------------------- Enhanced Index Tax-Efficient Equity Maximum after-tax growth of capital Stocks of larger-capitalized companies Stock Funds StocksPLUS Total return exceeding the S&P 500 S&P 500 stock index futures backed by a Index portfolio of short-term, fixed-income securities -------------------------------------------------------------------------------------------------------------------------------- International International Capital appreciation Stocks of non-U.S. companies in developed and Stock Funds emerging markets -------------------------------------------------------------------------------------------------------------------------------- Sector Related Innovation Capital appreciation Stocks of technology-related companies Stock Funds Global Innovation Capital appreciation Stocks of U.S. and non-U.S. technology related companies -------------------------------------------------------------------------------------------------------------------------------- Short Duration Money Market Maximum current income, consistent Money market securities (LESS THAN/EQUAL TO) Bond Funds with preservation of capital 90 days) and daily liquidity Short-Term Maximum current income consistent Money market securities and short-term bonds with preservation of capital and (up to 1 year duration) daily liquidity Low Duration Maximum total return Short maturity fixed income (1-3 year duration) securities -------------------------------------------------------------------------------------------------------------------------------- Intermediate Total Return Maximum total return Intermediate maturity fixed income securities Duration (3-6 year duration) Bond Funds Total Return Mortgage Maximum total return Intermediate maturity mortgage-related fixed income securities (2-6 year duration) -------------------------------------------------------------------------------------------------------------------------------- Long Duration Long-Term U.S. Maximum total return Long-term maturity fixed income securities Bond Funds Government (8+ year duration) -------------------------------------------------------------------------------------------------------------------------------- International Global Bond II Maximum total return U.S.and hedged non-U.S. intermediate maturity Bond Funds fixed income securities (3-7 year duration) Foreign Bond Maximum total return Intermediate maturity hedged non-U.S. fixed income securities (3-7 year duration) Emerging Markets Bond Maximum total return Emerging market fixed income securities (0-8 year duration) -------------------------------------------------------------------------------------------------------------------------------- High Yield Bond Fund High Yield Maximum total return Higher yielding fixed income securities (2-6 year duration) -------------------------------------------------------------------------------------------------------------------------------- Inflation-Indexed Real Return Bond Maximum real return Inflation-indexed fixed income securities Bond Fund -------------------------------------------------------------------------------------------------------------------------------- Convertible Convertible Maximum total return Convertible securities Bond Fund -------------------------------------------------------------------------------------------------------------------------------- Tax Exempt Municipal Bond High current income exempt from Intermediate to long-term maturity municipal Bond Funds federal taxes, preservation of securities, exempt from federal income tax capital (3-10 year duration) California High current income exempt from Intermediate to long-term maturity municipal Municipal Bond federal and California income tax securities (3-12 year duration) California Intermediate High current income exempt from Intermediate maturity municipal securities Municipal Bond federal and California income tax (3-7 year duration) New York High current income exempt from Intermediate to long-term maturity municipal Municipal Bond federal and New York income tax securities (3-12 year duration) -------------------------------------------------------------------------------------------------------------------------------- Stock and Bond Funds Strategic Balanced Maximum total return Intermediate maturity fixed-income securities and S&P 500 stock index derivatives (0-6 years duration) 90/10 Portfolio Long-term capital appreciation 90% in PIMCO Stock Funds and 10% in PIMCO Bond Funds 60/40 Portfolio Long-term capital appreciation and 60% in PIMCO Stock Funds and 40% in PIMCO Bond current income Funds 30/70 Portfolio Current income, with long-term 30% in PIMCO Stock Funds and 70% in PIMCO Bond capital appreciation as a Funds secondary objective
7 Pacific Investment Management Series PIMCO Funds Semi-Annual Report Dear Shareholder: What a difference a year makes. This time last year the stock market was hurtling toward one of its strongest showings ever, with many stock funds reporting double- and even triple-digit returns. At the end of the third quarter of 2000, however, most of the major stock indexes were down and the average U.S. equity fund, according to Morningstar, was returning just 3.48%. The bond market, on the other hand, has had a good year so far--a contrast to the turbulence of 1999. All bond classes, with the exception of high yield, experienced a bounce in the third quarter, strengthened by the perception that the economy has slowed and that the Fed may have finished raising interest rates for now. Year-to-date, the Lehman Aggregate Bond Index, a broad measure of bond market performance, is up 7.12% and the average bond fund is up 4.90%, again according to Morningstar. In short, the average bond fund is outperforming the average stock fund, and doing it with a lot less volatility. All of this just serves to illustrate that last year's laggards may be this year's winners. And that it's more important than ever to remember a few time-honored principles...Maintain a diversified investment portfolio. Have a healthy respect for risk. Keep your focus on the long term. Or as Bill Gross--PIMCO's oft-quoted bond chief--has said "Set your sights on a horizon and sail until you get there." Those who can stick with these precepts will be able to ride out market volatility and ultimately reach their investment goals. And at PIMCO, we're committed to providing investors with the kind of high quality investment vehicles that can help them get there. How have PIMCO's bond funds fared? Well, I'm pleased to say that they've all reported strong relative performance. In fact, all of our bond funds but one have outperformed their Lipper Averages over the last year. And the one that didn't--PIMCO Emerging Markets Bond Fund--still returned an impressive 23.81%, just slightly behind its average. I encourage you to review the fund information and commentary on the following pages carefully. And once again, I'd like to thank you for the trust you've placed in us. If you have any questions regarding your investment, contact your financial advisor, or call us at 1-800-426-0107. Or visit our Web site at www.pimcofunds.com. Sincerely, /s/ Brent R. Harris Brent R. Harris Chairman of the Board October 31, 2000 8 PIMCO Funds Financial Information We are pleased to present an in-depth review of PIMCO Funds Pacific Investment Management Series as of September 30, 2000. In order to help analyze, compare and contrast the Funds, the report is broken down into a number of sections. Listed below is a table of contents and descriptions of the various sections. Pages 10-26 Fund Summaries A summary of a Fund's performance record and portfolio composition, and a review from the Fund's investment manager. Pages 27-105 Schedule of Investments The Schedule of Investments includes a listing of securities in the Fund's portfolio as of September 30, 2000, including the number of shares or principal amount and value as of that date.
Schedule of Fund Name Fund Summary Investments California Inter. Muni. Bond Fund Page 10 Page 29 California Municipal Bond Fund Page 11 Page 32 Convertible Fund Page 12 Page 33 Emerging Markets Bond Fund Page 13 Page 35 Foreign Bond Fund Page 14 Page 37 Global Bond Fund II Page 15 Page 43 High Yield Fund Page 16 Page 49 Long-Term U.S. Government Fund Page 17 Page 55 Low Duration Fund Page 18 Page 59 Money Market Fund Page 19 Page 67 Municipal Bond Fund Page 20 Page 68 New York Municipal Bond Fund Page 21 Page 71 Real Return Bond Fund Page 22 Page 72 Short-Term Fund Page 23 Page 76 StocksPLUS Fund Page 24 Page 80 Strategic Balanced Fund Page 25 Page 85 Total Return Fund Page 26 Page 86 Total Return Mortgage Fund Page 27 Page 114
Pages 106-107 Financial Highlights This chart shows a per share breakdown of the factors that affect a Fund's NAV for the current and past reporting periods. In addition to showing total returns, the chart reports distributions, asset sizes, expense ratios and portfolio turnover rates. Pages 108-109 Statements of Assets and Liabilities A "balance sheet" of a Fund as of the last day of the fiscal period. It includes the Fund's class-level NAVs per share by dividing the Fund's class-level net assets (assets minus liabilities) by the number of class-level shares outstanding. Pages 110-111 Statements of Operations This statement lists a Fund's income, expenses, and gains and losses on securities and currency transactions, and appreciation or depreciation from portfolio holdings. Pages 112-115 Statements of Changes in Net Assets This reports the increase or decrease in a Fund's net assets during the reporting period. Changes in net assets are due to a variety of factors, including investment operations, dividends, distributions and capital share transactions. Page 116 Statements of Cash Flows For certain Funds that employ leveraging in the investment strategy, this reports the increase or decrease in a Fund's cash balance during the reporting period. Changes in cash balances are due to a variety of factors, including investment operations, dividends, distributions and capital share transactions. Pages 117-124 Notes to Financial Statements A description of the significant accounting policies of the Funds, and more detailed information about the schedules and tables that appear in the report. 9 PIMCO CA Intermediate Municipal Bond Fund September 30, 2000 OBJECTIVE: Seek high current income exempt from federal and California income tax. PORTFOLIO: Intermediate maturity municipal securities. DURATION RANGE: 3-7 years FUND INCEPTION DATE: 8/31/99 TOTAL NET ASSETS: $100.5 million PORTFOLIO MANAGER: Mark McCray -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00 A Shares Lipper California Lehman Bros. Intermediate Muni. Interm. CA Insured Adjusted Debt Fund Avg. Bond Index -------------------------------------------------------------------------------- 1 year 6.81% 3.60% 5.78% 7.82% Inception 6.94% 3.97% -- -- Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO Lehman Brothers CA Intermediate Intermediate CA Municipal Bond Insured Municipal A Bond Index --------------------------------------------------- 08/31/1999 9,700 10,000 09/30/1999 9,766 10,064 10/31/1999 9,691 9,998 11/30/1999 9,770 10,080 12/31/1999 9,724 9,987 01/31/2000 9,753 10,044 02/29/2000 9,813 10,099 03/31/2000 9,986 10,247 04/30/2000 9,959 10,170 05/31/2000 10,003 10,197 06/30/2000 10,189 10,426 07/31/2000 10,320 10,569 08/31/2000 10,466 10,734 09/30/2000 10,431 10,673 *Past performance is no guarantee of future results. The adjusted returns above include the effect of applicable sales charges. These returns represent the blended performance of the Fund's retail class shares (for the period from 10/31/99) and the prior performance of the Fund's institutional class shares, adjusted for retail class fees and expenses. Retail class shares were first offered in October 1999. Income from the Fund may be subject to state and local taxes and (if applicable) the Alternative Minimum Tax. See page 28 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 21% -------------------------------------------------------------------------------- 1-5 years 26% -------------------------------------------------------------------------------- 5-10 years 28% -------------------------------------------------------------------------------- 10-20 years 16% -------------------------------------------------------------------------------- 20-30 years 9% -------------------------------------------------------------------------------- Duration: 5.6 years -------------------------------------------------------------------------------- Regional Breakdown -------------------------------------------------------------------------------- California 83.2% -------------------------------------------------------------------------------- Puerto Rico 12.1% -------------------------------------------------------------------------------- Virgin Islands 4.5% -------------------------------------------------------------------------------- Other 0.2% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 46.3% -------------------------------------------------------------------------------- AA 31.3% -------------------------------------------------------------------------------- A 10.8% -------------------------------------------------------------------------------- BBB 8.0% -------------------------------------------------------------------------------- BB 3.6% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class A shares returned 4.46%, outperforming the Lipper Average, which returned 3.89%. Over the same time period, the Fund slightly outperformed its benchmark, the Lehman Intermediate Califorina Insured Index, which returned 4.15%. Looking longer term, the Fund outperformed both the Lipper Average and the benchmark over the one-year and since inception periods ended September 30, 2000. The Federal Reserve lifted short-term interest rates by 50 basis points at its May meeting, bringing its total tightening tally for this cycle to six, as concern remained that inflationary pressures were building. Supporting the concern, oil prices surged to their highest level in a decade. But the cumulative impact of 175 basis points of tightening began to slow the economy, as signs emerged that consumer and investment spending was slowing and that the housing sector was cooling. California municipal bond yields fell along with those in other higher quality bond markets due to a state credit rating upgrade, strong retail demand and reduced new issuance. In fact, the California municipal market was the second best performing individual state market during the third quarter and year-to-date. The Fund's overweight position in longer maturity issues was positive for performance as this area of the yield curve experienced the biggest drop during the quarter. Superior issue selection within the general obligation and pre-refunded sectors improved relative returns as well. Finally, overweighting deep discount bonds also enhanced performance, because falling interest rates reduced their potential tax exposure and boosted investor demand. However, our conservative below-benchmark duration exposure during the third quarter held back relative performance as California municipal yields dropped across the maturity spectrum. Looking ahead, we expect growth will continue to moderate worldwide. We also expect inflation to creep higher in the face of continued wage pressures and escalating energy costs. More Fed tightening is unlikely now that U.S. growth is slowing, but the central bank will also refrain from easing to avoid igniting inflation. A focus on quality will continue to be critical for superior performance as credit deterioration continues. As a result, we anticipate continuing our high quality focus, targeting an average credit quality of AA and limiting below-investment-grade exposure due to narrow credit premiums. We expect to maintain an overweight position in longer maturities, which offer compelling value as they are overlooked by many retail investors. Duration may be moved closer to the benchmark as we expect municipal yields to remain relatively stable in the near term. 10 PIMCO CA Municipal Bond Fund September 30, 2000 OBJECTIVE: Seek high current income exempt from federal and California income tax. PORTFOLIO: Investment grade municipal bonds. DURATION RANGE: 3-7 years FUND INCEPTION DATE: 5/16/00 TOTAL NET ASSETS: $9.1 million PORTFOLIO MANAGER: Mark McCray -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00 A Shares Lipper General Lehman Bros. Muni. General Muni. Adjusted Debt Fund Avg. Bond Index -------------------------------------------------------------------------------- Inception 15.69% 6.65% -- -- *Past performance is no guarantee of future results. The adjusted returns above include the effect of applicable sales charges. These returns represent the blended performance of the Fund's retail class shares (for the period from 5/16/00) and the prior performance of the Fund's institutional class shares, adjusted for retail class fees and expenses. Retail class shares were first offered in August 2000.Income from the Fund may be subject to state and local taxes and (if applicable) the Alternative Minimum Tax. See page 28 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 3% -------------------------------------------------------------------------------- 1-5 years 37% -------------------------------------------------------------------------------- 5-10 years 17% -------------------------------------------------------------------------------- 10-20 years 30% -------------------------------------------------------------------------------- 20-30 years 13% -------------------------------------------------------------------------------- Duration: 7.0 years -------------------------------------------------------------------------------- Regional Breakdown -------------------------------------------------------------------------------- California 68.6% -------------------------------------------------------------------------------- Puerto Rico 25.7% -------------------------------------------------------------------------------- Virgin Islands 4.5% -------------------------------------------------------------------------------- Other 1.2% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 77.1% -------------------------------------------------------------------------------- AA 4.1% -------------------------------------------------------------------------------- A 5.8% -------------------------------------------------------------------------------- BBB 4.5% -------------------------------------------------------------------------------- BB 8.5% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- The California Municipal Bond Fund's primary investment objective is to seek high current income that would be exempt from federal and California income taxes. The Fund's inception date is May 16, 2000. The Federal Reserve lifted short-term interest rates by 50 basis points at its May meeting, bringing its total tightening tally for this cycle to six, as concern remained that inflationary pressures were building. Supporting the concern, oil prices surged to their highest level in a decade. But the cumulative impact of 175 basis points of tightening began to slow the economy, as signs emerged that consumer and investment spending was slowing and that the housing sector was cooling. California municipal bond market performance was driven by a decreased supply of California issues, ratings upgrades for the State of California and heavy retail demand in the face of a strong local economy and cooling stock markets. In fact, during the third quarter the California municipal market was the second best performing individual state market. In keeping with our high quality focus, the Fund's average credit quality for the period ended September 30, 2000 was AA+ with a majority of the portfolio invested in AAA rated municipals and a limited allocation to lower investment-grade and below-investment grade issues. Over the same time period, the Fund's average maturity was relatively longer term at 10.94 years. Looking ahead, we expect growth will continue to moderate worldwide. We also expect inflation to creep higher in the face of continued wage pressures and escalating energy costs. More Fed tightening is unlikely now that U.S. growth is slowing, but the central bank will also refrain from easing to avoid igniting inflation. A focus on quality will continue to be critical for superior performance as credit deterioration continues. As a result, we anticipate maintaining a high quality focus, targeting an average credit quality of AA and limiting below-investment-grade exposure due to narrow credit premiums. Going forward, we hope to enhance yield through allocations to higher rated revenue bonds that have attractive risk-adjusted yields. 11 PIMCO Convertible Fund September 30, 2000 OBJECTIVE: Maximum total return. PORTFOLIO: Convertible Securities. FUND INCEPTION DATE: 3/31/99 TOTAL NET ASSETS: $159.7 million PORTFOLIO MANAGER: Sandra Durn -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00
A Shares B Shares C Shares Lipper First Boston Convertible Convertible Adjusted Adjusted Adjusted Sec. Fund Avg. Bond Index ----------------------------------------------------------------------------------------------- 1 year 38.39% 32.16% 37.35% 32.35% 36.34% 30.87% 34.90% Inception 35.02% 30.95% 34.09% 31.78% 34.16% -- --
Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO PIMCO PIMCO First Boston Convertible Convertible Convertible Convertible A B C Bond Index ------------------------------------------------------------------------- 03/31/1999 9,550 10,000 10,000 10,000 04/30/1999 10,006 10,471 10,471 10,405 05/31/1999 10,184 10,650 10,650 10,309 06/30/1999 10,727 11,219 11,229 10,754 07/31/1999 10,747 11,239 11,240 10,612 08/31/1999 10,727 11,199 11,209 10,643 09/30/1999 10,833 11,308 11,319 10,671 10/31/1999 11,263 11,747 11,758 11,040 11/30/1999 12,084 12,595 12,607 11,888 12/31/1999 13,523 14,083 14,105 13,695 01/31/2000 13,814 14,346 14,357 13,489 02/29/2000 15,285 15,871 15,882 14,905 03/31/2000 15,314 15,885 15,904 14,584 04/30/2000 14,283 14,811 14,831 13,873 05/31/2000 13,836 14,334 14,355 13,129 06/30/2000 14,585 15,107 15,117 13,982 07/31/2000 14,156 14,661 14,671 13,560 08/31/2000 15,246 15,765 15,785 14,603 09/30/2000 14,991 15,133 15,545 14,396 *Past performance is no guarantee of future results. The adjusted returns above include the effect of applicable sales charges. Foreign investing involves potentially higher risks including foreign currency fluctuations and political or economic uncertainty. These risks can be enhanced when investing in emerging markets. See page 28 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 3% -------------------------------------------------------------------------------- 1-5 years 39% -------------------------------------------------------------------------------- 5-10 years 3% -------------------------------------------------------------------------------- 10-20 years 49% -------------------------------------------------------------------------------- 20-30 years 6% -------------------------------------------------------------------------------- Duration: 1.5 years -------------------------------------------------------------------------------- Sector Breakdown -------------------------------------------------------------------------------- Convertible Bonds & Notes 69.8% -------------------------------------------------------------------------------- Convertible Preferred Stock 22.6% -------------------------------------------------------------------------------- Other 7.6% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 8.5% -------------------------------------------------------------------------------- AA 6.2% -------------------------------------------------------------------------------- A 13.8% -------------------------------------------------------------------------------- BBB 37.9% -------------------------------------------------------------------------------- BB 11.6% -------------------------------------------------------------------------------- B 22.0% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class A shares fell 2.10%, underperforming the Credit Suisse First Boston Convertible Bond Index, which fell 1.29%. The Fund also underperformed its Lipper Average which fell 0.66%. However, the Fund continues to outperform over the longer-term, beating both its benchmark and its Lipper Average over the last year and since the Fund's inception. Over the last six months, the Federal Reserve raised rates once, in May, continuing its efforts to prevent the economy from overheating and creating inflationary pressures. However, since that 50 basis point increase, the Federal Reserve has remained on hold based on evidence that economic growth is moderating to a pace more in line with the economy's potential to produce. As a result, yields fell across many sectors of the bond market. However, convertible performance was mixed as the equity market performed poorly. Below-benchmark delta (price sensitivity to changes in the underlying stock value) helped performance as the equity markets experienced a significant downturn. Higher credit quality helped returns as these issues significantly outperformed speculative-grade convertibles. Overweights in financials and utilities enhanced returns, as `old economy' issues outperformed their `new economy' counterparts. An emphasis in telecommunications issues hurt performance as this sector experienced a market correction due mostly to weaker-than- expected earnings. The Fund's underweight in consumer staples also hurt performance as this sector rebounded from a strong first quarter. Going forward, we believe that the U.S. economy will decelerate as rising rates and higher energy costs curb worldwide economic growth. We expect inflation to creep higher in the face of wage pressures and rising energy costs. We believe that further Fed tightening is unlikely now due to moderating U.S. economic growth; however, the central bank will also refrain from easing to avoid igniting accelerated consumer spending via the stock and housing markets. In light of this environment, we intend to continue to keep delta below the benchmark to protect against adverse conditions in the equity markets and take advantage of the downside protection offered by the bond characteristics of convertibles. We also hope to continue our focus on holding non-cyclical issues that can withstand a slowdown in the U.S economy, such as utilities and financials. We expect to maintain a high credit quality portfolio as rising short-term rates and a slowing economy continue to put pressure on corporate profits. 12 PIMCO Emerging Markets Bond Fund September 30, 2000 OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management (non-U.S.). PORTFOLIO: Primarily emerging market bonds. DURATION RANGE: 0-8 years FUND INCEPTION DATE: 7/31/97 TOTAL NET ASSETS: $51.6 million PORTFOLIO MANAGER: Mohamed El-Erian -------------------------------------------------------------------------------- PERFORMANCE* --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00 A Shares B Shares C Shares Lipper J.P. Morgan Emerg. Mkts. Emerg. Mkts. Adjusted Adjusted Adjusted Debt Fund Avg. Index Plus ------------------------------------------------------------------------------------------- 1 year 23.81% 18.24% 22.83% 17.83% 22.03% 23.97% 28.02% 3 year 5.75% 4.14% 4.92% 4.14% 4.99% 1.98% 5.57% Inception 5.93% 4.41% 5.10% 4.36% 5.16% -- --
Change in Value $10,000 invested at the Fund's inception [GRAPH]
PIMCO PIMCO PIMCO J.P. Morgan Emerging Emerging Markets Emerging Markets Emerging Markets Markets Index Plus A B C ---------------------------------------------------------------------------------------------------- 07/31/1997 9,550 10,000 10,000 10,000 08/31/1997 9,434 9,870 9,872 9,960 09/30/1997 9,693 10,134 10,135 10,264 10/31/1997 8,587 8,970 8,971 9,082 11/30/1997 9,038 9,436 9,437 9,513 12/31/1997 9,266 9,668 9,669 9,841 01/31/1998 9,277 9,673 9,674 9,822 02/28/1998 9,538 9,940 9,941 10,103 03/31/1998 9,822 10,228 10,229 10,354 04/30/1998 9,844 10,245 10,245 10,379 05/31/1998 9,524 9,905 9,905 10,025 06/30/1998 9,209 9,571 9,571 9,735 07/31/1998 9,347 9,706 9,706 9,802 08/31/1998 6,741 6,994 6,994 6,985 09/30/1998 7,263 7,531 7,532 7,668 10/31/1998 7,641 7,916 7,919 8,165 11/30/1998 8,250 8,542 8,544 8,645 12/31/1998 8,147 8,430 8,432 8,429 01/31/1999 7,862 8,130 8,133 8,117 02/28/1999 8,016 8,285 8,288 8,233 03/31/1999 8,556 8,838 8,840 8,857 04/30/1999 9,267 9,565 9,569 9,462 05/31/1999 8,684 8,959 8,961 8,922 06/30/1999 8,943 9,221 9,224 9,321 07/31/1999 8,883 9,153 9,155 9,128 08/31/1999 8,867 9,129 9,133 9,115 09/30/1999 9,260 9,529 9,533 9,434 10/31/1999 9,557 9,828 9,832 9,798 11/30/1999 9,814 10,087 10,090 10,075 12/31/1999 10,273 10,552 10,556 10,620 01/31/2000 10,044 10,310 10,314 10,410 02/29/2000 10,635 10,911 10,915 11,080 03/31/2000 10,899 11,175 11,184 11,429 04/30/2000 10,690 10,947 10,970 11,211 05/31/2000 10,479 10,724 10,746 10,925 06/30/2000 10,969 11,218 11,242 11,479 07/31/2000 11,232 11,481 11,505 11,826 08/31/2000 11,621 11,872 11,897 12,243 09/30/2000 11,465 11,448 11,729 12,077
* Past performance is no guarantee of future results. The adjusted returns above include the effect of applicable sales charges. Foreign investing involves potentially higher risks including foreign currency fluctuations and political or economic uncertainty. These risks can be enhanced when investing in emerging markets. See page 28 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 33% -------------------------------------------------------------------------------- 1-5 years 4% -------------------------------------------------------------------------------- 5-10 years 29% -------------------------------------------------------------------------------- 10-20 years 15% -------------------------------------------------------------------------------- 20-30 years 17% -------------------------------------------------------------------------------- Over 30 years 2% -------------------------------------------------------------------------------- Duration: 4.6 years -------------------------------------------------------------------------------- Country Allocation -------------------------------------------------------------------------------- Brazil 26.5% -------------------------------------------------------------------------------- Mexico 20.7% -------------------------------------------------------------------------------- Russia 6.9% -------------------------------------------------------------------------------- Venezuela 5.5% -------------------------------------------------------------------------------- Bulgaria 5.3% -------------------------------------------------------------------------------- Short-Term Instruments 6.8% -------------------------------------------------------------------------------- Other 28.3% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 1.7% -------------------------------------------------------------------------------- AA 1.2% -------------------------------------------------------------------------------- BBB 34.3% -------------------------------------------------------------------------------- BB 20.3% -------------------------------------------------------------------------------- B 42.5% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class A shares returned 5.19%, slightly underperforming the J.P. Morgan Emerging Market Bond Index, which returned 5.67%. The Fund has slightly under-performed its Lipper Average for the 1-year period but significantly outperformed the average for the 3-year and since inception periods. Emerging market bonds performed favorably for the past six months as positive fundamental changes helped drive prices higher. Emerging market bonds benefited from strong economic and financial performance, rebalanced global growth, positive liability management and the successful conclusions to the Russian and Ecuadorian debt restructuring. Volatility picked up however, due to a reduced appetite for risk, noise on the political front and fears of a global slowdown. Performance was aided by our underweight in Argentina, as continued political uncertainty weighed heavily on the market. More responsible fiscal policies and continued strong economic data supported Brazilian bonds where our overweight aided performance. Favorable rating actions, specifically relating to Mexico and Brazil, are expected to drive prices higher. This trend confirms the progress these countries have made in strengthening domestic institutions and broadening popular support for economic reforms. Venezuelan and Colombian bonds have also benefited the rise in oil prices as they are large oil exporters. Our overweights in Bulgaria and Peru were detriments towards performance. Bulgarian bonds suffered as higher energy prices overshadowed continued economic gains. Peruvian bonds continued to under-perform due to political uncertainty, as to the predecessor of President Fujimori, and temporarily suspended payments on Brady bonds renewed shareholder concerns. Within Latin America we are maintaining our overweight position in Mexico where the government continues to deliver strong economic reform. The political transition from President Zedillo to Vicente Fox has remained smooth, accompanied by reassurances that economic reform remains on track. In the near-term, 2001 budget negotiations and the external environment warrant some caution. We will continue to overweight Brazil, as economic activity driven by exports, capital spending and fiscal disciplines remain strong. We will also continue to underweight Argentina as growth prospects and political tensions rise. We continue to emphasize liquid markets and instruments allowing us the opportunity to modify exposure in response to a changing market environment. We will also continue to overweight top tier credits as it remains too early to alter our cautious approach towards those countries where high oil prices exacerbate deteriorating domestic conditions and unstable socio-political environments. 13 PIMCO Foreign Bond Fund September 30, 2000 OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management (non-U.S.). PORTFOLIO: Primarily investment grade foreign bonds. DURATION RANGE: 3-7 years FUND INCEPTION DATE: 12/03/92 TOTAL NET ASSETS: $585.1 million PORTFOLIO MANAGER: Lee Thomas -------------------------------------------------------------------------------- PERFORMANCE* --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00 A Shares B Shares C Shares Lipper Intl. J.P. Morgan Income Fund Non-U.S. Adjusted Adjusted Adjusted Average Index (Hedged) ----------------------------------------------------------------------------------------------- 1 year 7.13% 2.30% 6.25% 1.27% 5.27% -3.90% 6.95% 3 years 5.90% 4.29% 5.11% 4.26% 5.09% 1.19% 7.65% 5 years 10.11% 9.10% 9.30% 9.02% 9.30% 3.24% 9.61% Inception 9.12% 8.48% 8.41% 8.41% 8.31% -- --
Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO PIMCO PIMCO J.P. Morgan Foreign Bond Foreign Bond Foreign Bond Non-U.S. Index A B C (Hedged) --------------------------------------------------------------------------- 12/31/1992 9,550 10,000 10,000 10,000 01/31/1993 9,625 10,073 10,073 10,091 02/28/1993 9,833 10,286 10,286 10,274 03/31/1993 9,867 10,314 10,314 10,280 04/30/1993 9,863 10,304 10,304 10,281 05/31/1993 9,949 10,387 10,387 10,338 06/30/1993 10,180 10,623 10,623 10,549 07/31/1993 10,337 10,781 10,781 10,667 08/31/1993 10,584 11,033 11,033 10,889 09/30/1993 10,622 11,067 11,067 10,936 10/31/1993 10,776 11,221 11,221 11,082 11/30/1993 10,803 11,242 11,242 11,159 12/31/1993 11,068 11,511 11,511 11,390 01/31/1994 11,079 11,515 11,515 11,333 02/28/1994 10,782 11,200 11,200 11,078 03/31/1994 10,590 10,994 10,994 10,977 04/30/1994 10,486 10,879 10,879 10,899 05/31/1994 10,329 10,709 10,709 10,779 06/30/1994 10,135 10,501 10,501 10,669 07/31/1994 10,195 10,557 10,557 10,739 08/31/1994 10,091 10,442 10,442 10,636 09/30/1994 10,104 10,448 10,448 10,645 10/31/1994 10,139 10,477 10,477 10,687 11/30/1994 10,285 10,622 10,622 10,838 12/31/1994 10,214 10,541 10,541 10,813 01/31/1995 10,280 10,601 10,601 10,931 02/28/1995 10,343 10,660 10,660 11,072 03/31/1995 10,347 10,656 10,656 11,297 04/30/1995 10,596 10,905 10,905 11,477 05/31/1995 11,008 11,322 11,322 11,854 06/30/1995 10,938 11,243 11,243 11,814 07/31/1995 11,142 11,445 11,445 11,963 08/31/1995 11,351 11,651 11,651 12,067 09/30/1995 11,508 11,806 11,806 12,258 10/31/1995 11,697 11,991 11,991 12,395 11/30/1995 12,152 12,450 12,450 12,667 12/31/1995 12,328 12,623 12,623 12,785 01/31/1996 12,627 12,919 12,919 12,939 02/29/1996 12,354 12,632 12,632 12,787 03/31/1996 12,550 12,826 12,826 12,893 04/30/1996 12,850 13,125 13,125 13,047 05/31/1996 12,895 13,163 13,163 13,136 06/30/1996 13,037 13,299 13,299 13,245 07/31/1996 13,160 13,417 13,417 13,345 08/31/1996 13,478 13,733 13,733 13,522 09/30/1996 13,851 14,107 14,107 13,810 10/31/1996 14,189 14,442 14,442 14,038 11/30/1996 14,528 14,780 14,780 14,319 12/31/1996 14,601 14,845 14,845 14,339 01/31/1997 14,826 15,067 15,070 14,518 02/28/1997 14,900 15,133 15,136 14,611 03/31/1997 14,708 14,929 14,932 14,533 04/30/1997 14,840 15,054 15,057 14,690 05/31/1997 14,912 15,117 15,120 14,767 06/30/1997 15,205 15,406 15,409 15,018 07/31/1997 15,424 15,619 15,622 15,257 08/31/1997 15,356 15,539 15,542 15,275 09/30/1997 15,683 15,859 15,862 15,545 10/31/1997 15,495 15,658 15,661 15,645 11/30/1997 15,700 15,856 15,860 15,757 12/31/1997 15,924 16,072 16,075 15,962 01/31/1998 16,149 16,289 16,292 16,174 02/28/1998 16,293 16,424 16,428 16,318 03/31/1998 16,491 16,615 16,618 16,464 04/30/1998 16,542 16,666 16,660 16,548 05/31/1998 16,680 16,793 16,786 16,774 06/30/1998 16,756 16,860 16,853 16,847 07/31/1998 17,016 17,111 17,104 17,003 08/31/1998 16,875 16,959 16,952 17,338 09/30/1998 17,256 17,332 17,325 17,749 10/31/1998 16,894 16,956 16,949 17,722 11/30/1998 17,205 17,258 17,251 17,914 12/31/1998 17,441 17,482 17,475 17,892 01/31/1999 17,793 17,825 17,818 18,114 02/28/1999 17,613 17,634 17,627 17,993 03/31/1999 17,715 17,726 17,719 18,207 04/30/1999 17,938 17,937 17,930 18,438 05/31/1999 17,651 17,639 17,632 18,363 06/30/1999 17,431 17,406 17,399 18,078 07/31/1999 17,433 17,397 17,391 18,031 08/31/1999 17,302 17,257 17,250 18,063 09/30/1999 17,388 17,333 17,326 18,132 10/31/1999 17,461 17,395 17,388 18,176 11/30/1999 17,489 17,412 17,405 18,281 12/31/1999 17,636 17,546 17,539 18,336 01/31/2000 17,539 17,450 17,432 18,338 02/29/2000 17,734 17,644 17,615 18,473 03/31/2000 17,982 17,891 17,848 18,743 04/30/2000 18,038 17,946 17,885 18,844 05/31/2000 18,141 18,048 17,975 18,995 06/30/2000 18,271 18,178 18,092 19,086 07/31/2000 18,419 18,326 18,227 19,224 08/31/2000 18,395 18,302 18,191 19,227 09/30/2000 18,631 18,536 18,413 19,393 *Past performance is no guarantee of future results. The adjusted returns above include the effect of applicable sales charges. Excluding the 1-year returns, these returns represent the blended performance of the Fund's retail class shares (for the period from 1/17/97) and the prior performance of the Fund's institutional class shares, adjusted for retail class fees and expenses. Retail class shares were first offered in January 1997. Foreign investing involves potentially higher risks including foreign currency fluctuations and political or economic uncertainty. See page 28 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 5-10 years 58% -------------------------------------------------------------------------------- 10-20 years 36% -------------------------------------------------------------------------------- 20-30 years 5% -------------------------------------------------------------------------------- Over 30 years 1% -------------------------------------------------------------------------------- Duration: 3.4 years -------------------------------------------------------------------------------- Country Allocation -------------------------------------------------------------------------------- United States 53.7% -------------------------------------------------------------------------------- Italy 6.5% -------------------------------------------------------------------------------- Germany 4.9% -------------------------------------------------------------------------------- Short-Term Instruments 7.0% -------------------------------------------------------------------------------- Other 27.9% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 63.9% -------------------------------------------------------------------------------- AA 13.8% -------------------------------------------------------------------------------- A 8.6% -------------------------------------------------------------------------------- BBB 10.1% -------------------------------------------------------------------------------- BB 2.8% -------------------------------------------------------------------------------- B 0.8% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class A shares returned 3.59%, outperforming the J.P. Morgan Non-U.S. (Hedged) Index, which returned 3.47%. The Fund has outperformed its Lipper Average over the year-to-date, 1-year, 3-year and since inception periods. Japanese bonds continue to underperform as the first rate increase in 10 years drove bond prices lower. Continued fiscal stimulus has brought concern about an increase in bond supply and although intended to boost economic growth, it has caused Moody's to downgrade government debt to Aa2. Emerging market bonds added to performance amid positive investor response to sound policy improvements and increased IMF and World Bank support. In particular, more responsible fiscal policies and continued strong economic data supported Brazilian bonds where our overweight aided performance. As well, favorable rating actions, specifically relating to Mexico and Brazil, are expected to drive prices higher. European bonds underperformed U.S. Treasuries. Higher oil prices and the weak Euro, which fell to new record lows versus the U.S. dollar, contributed to a slight rise in inflation. To combat the Euro weakness, which jeopardizes global stability, the central banks of leading nations coordinated Euro purchases in order to support the currency. The Danish "no" vote, ending prospects for Denmark entering the European Monetary Union (EMU), further added to Euro pressures, as investors believed other strong European economies would also avoid entering EMU. Going forward, we are looking to maintain our underweight in Japan due to high debt levels and prospects for increased bond issuance to pay for fiscal stimulus. Both Canadian and Australian positions are underweight due to unattractive yields and risks that weak currencies will increase inflationary prospects. We are maintaining our limited position in emerging markets, primarily looking for highly liquid, top-quality issues amid increased volatility. Within core Europe we are overweight in areas such as Austria, Italy and Spain to capitalize on favorable yields relative to Germany. We are emphasizing longer maturities as the sale of mobile phone licenses and better fiscal balances will lead to reduced long-term bond issuance. Our hedging strategy, which limits our currency exposure, was a positive contributor due to continued strength in the dollar. We will continue to hedge the majority of our currency exposure because of both the short-term volatility and unpredictability of foreign currencies. 14 PIMCO Global Bond Fund II September 30, 2000 OBJECTIVE: Maximum total return, consistent with preservation of capital (U.S. and non- U.S.). PORTFOLIO: Primarily investment grade U.S. and foreign bonds. DURATION RANGE: 3-7 years FUND INCEPTION DATE: 10/02/95 TOTAL NET ASSETS: $72.2 million PORTFOLIO MANAGER: Lee Thomas -------------------------------------------------------------------------------- PERFORMANCE* --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00 A Shares B Shares C Shares Lipper Global J.P. Morgan Income Fund Global Index Adjusted Adjusted Adjusted Average (Hedged) ----------------------------------------------------------------------------------------------- 1 Year 6.53% 1.74% 5.74% 0.74% 4.74% 0.58% 7.10% 3 Years 4.56% 2.96% 3.78% 3.00% 3.77% 1.10% 7.18% Inception 8.09% 7.09% 7.26% 6.97% 7.26% -- --
Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO PIMCO PIMCO J.P. Morgan Global Bond II Global Bond II Global Bond II Global Bond A B C Index --------------------------------------------------------------------------- 10/31/1995 9,550 10,000 10,000 10,000 11/30/1995 9,869 10,334 10,334 10,191 12/31/1995 10,030 10,502 10,502 10,302 01/31/1996 10,220 10,702 10,702 10,406 02/29/1996 10,026 10,499 10,499 10,257 03/31/1996 10,045 10,512 10,512 10,279 04/30/1996 10,170 10,625 10,625 10,334 05/31/1996 10,162 10,606 10,596 10,373 06/30/1996 10,256 10,677 10,677 10,471 07/31/1996 10,299 10,718 10,718 10,530 08/31/1996 10,552 10,964 10,964 10,614 09/30/1996 10,799 11,214 11,214 10,814 10/31/1996 11,031 11,458 11,448 11,009 11/30/1996 11,303 11,724 11,724 11,215 12/31/1996 11,274 11,697 11,686 11,188 01/31/1997 11,370 11,778 11,778 11,283 02/28/1997 11,448 11,852 11,852 11,334 03/31/1997 11,290 11,681 11,681 11,255 04/30/1997 11,424 11,812 11,812 11,392 05/31/1997 11,514 11,896 11,896 11,468 06/30/1997 11,710 12,092 12,092 11,638 07/31/1997 11,954 12,335 12,335 11,886 08/31/1997 11,910 12,282 12,282 11,844 09/30/1997 12,131 12,502 12,503 12,043 10/31/1997 11,989 12,347 12,348 12,176 11/30/1997 12,074 12,427 12,428 12,254 12/31/1997 12,208 12,558 12,559 12,405 01/31/1998 12,318 12,665 12,664 12,581 02/28/1998 12,389 12,729 12,729 12,632 03/31/1998 12,556 12,893 12,893 12,714 04/30/1998 12,610 12,941 12,941 12,777 05/31/1998 12,677 13,002 13,002 12,936 06/30/1998 12,734 13,053 13,049 13,030 07/31/1998 12,888 13,201 13,197 13,113 08/31/1998 12,750 13,052 13,048 13,412 09/30/1998 13,034 13,337 13,333 13,754 10/31/1998 12,818 13,106 13,102 13,724 11/30/1998 12,986 13,269 13,264 13,821 12/31/1998 13,097 13,373 13,369 13,821 01/31/1999 13,388 13,662 13,658 13,961 02/28/1999 13,182 13,445 13,441 13,774 03/31/1999 13,264 13,520 13,516 13,900 04/30/1999 13,390 13,641 13,636 14,031 05/31/1999 13,184 13,422 13,418 13,947 06/30/1999 13,021 13,249 13,245 13,789 07/31/1999 13,008 13,227 13,223 13,760 08/31/1999 12,948 13,158 13,154 13,775 09/30/1999 13,012 13,215 13,210 13,846 10/31/1999 13,046 13,241 13,237 13,873 11/30/1999 13,025 13,212 13,208 13,921 12/31/1999 13,080 13,259 13,255 13,922 01/31/2000 13,021 13,192 13,188 13,933 02/29/2000 13,173 13,338 13,334 14,074 03/31/2000 13,354 13,513 13,509 14,307 04/30/2000 13,372 13,524 13,519 14,343 05/31/2000 13,418 13,560 13,556 14,428 06/30/2000 13,563 13,697 13,693 14,553 07/31/2000 13,672 13,800 13,796 14,671 08/31/2000 13,707 13,826 13,822 14,739 09/30/2000 13,862 13,786 13,970 14,829 * Past performance is no guarantee of future results. The adjusted returns above include the effect of applicable sales charges. Foreign investing involves potentially higher risks including foreign currency fluctuations and political or economic uncertainty. See page 28 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 0% -------------------------------------------------------------------------------- 1-5 years 5% -------------------------------------------------------------------------------- 5-10 years 67% -------------------------------------------------------------------------------- 10-20 years 21% -------------------------------------------------------------------------------- 20-30 years 7% -------------------------------------------------------------------------------- Duration: 4.3 years -------------------------------------------------------------------------------- Country Allocation -------------------------------------------------------------------------------- United States 62.1% -------------------------------------------------------------------------------- Italy 6.1% -------------------------------------------------------------------------------- United Kingdom 4.4% -------------------------------------------------------------------------------- Greece 4.1% -------------------------------------------------------------------------------- Short-Term Instruments 3.3% -------------------------------------------------------------------------------- Other 20.0% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 65.4% -------------------------------------------------------------------------------- AA 15.1% -------------------------------------------------------------------------------- A 9.0% -------------------------------------------------------------------------------- BBB 7.6% -------------------------------------------------------------------------------- BB 1.9% -------------------------------------------------------------------------------- B 0.9% -------------------------------------------------------------------------------- Others 0.1% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class A shares returned 3.79%, slightly underperforming the J.P. Morgan Global Index (Hedged), which returned 3.64%. The Fund has outperformed its Lipper Average over the year-to-date, 1-year, 3-year and since inception periods. Rates continued to rise in the United States but cooled by summer end as evidence surfaced that the economy was slowing down. As a result, the yield curve became positively sloped, with the 30-year Treasury yield higher than the 10-year. This may provide further evidence of continued economic weakness. The U.S. was the best performing bond market as the economy began to slow following the Fed's 175 basis points in rate hikes since the middle of last year. The Fed remained on hold the third quarter, as the six previous rate hikes and continuing productivity gains limited inflationary expectations. Japanese bonds continued to underperform as the first rate increase in 10 years drove bond prices lower. Continued fiscal stimulus has brought concern about an increase in bond supply and although intended to boost economic growth, it has caused Moody's to downgrade that country's government debt to Aa2. One area that lagged performance was European bonds as they underperformed U.S. Treasuries. Higher oil prices and the weak Euro, which fell to new record lows versus the U.S. dollar, contributed to a slight rise in inflation. To combat the Euro weakness, which jeopardizes global stability, the central banks of leading nations coordinated Euro purchases in order to support the currency. The Danish "no" vote, ending prospects for Denmark entering the European Monetary Union (EMU), further added to Euro pressures, as investors believed other strong European economies would also avoid entering EMU. Going forward, we are looking to maintain our underweight in Japan due to high debt levels and prospects for increased bond issuance to pay for fiscal stimulus. U.S. bonds will be overweighted, emphasizing mortgages, where credit risk is minimal and attractive yield premiums provide a cushion against adverse price performance. We are focusing on higher-grade bonds as credit quality and high default rates on corporate bonds remain a concern. Within core Europe we are overweight in areas such as Austria, Italy and Spain to capitalize on favorable yields relative to Germany. We are emphasizing longer maturities as the sale of mobile phone licenses and better fiscal balances will lead to reduced long-term bond issuance. Our hedging strategy, which limits our currency exposure, was a positive contributor due to continued strength in the dollar. We will continue to hedge the majority of our currency exposure because of both the short-term volatility and unpredictability of foreign currencies. 15 September 30, 2000 PIMCO High Yield Fund OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily high yield bonds. DURATION RANGE: 2-6 years FUND INCEPTION DATE: 12/16/92 TOTAL NET ASSETS: $3.1 billion PORTFOLIO MANAGER: Ben Trosky -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00
A Shares B Shares C Shares Lipper High Lehman Int. Current Yield BB Corp Adjusted Adjusted Adjusted Fund Avg. Index ------------------------------------------------------------------------------------------------------------------------------------ 1 year 2.77% -1.86% 2.00% -2.72% 1.06% -0.02% 5.31% 3 years 3.89% 2.31% 3.12% 2.29% 3.12% 0.49% 4.58% 5 years 7.54% 6.55% 6.75% 6.46% 6.75% 5.49% 7.19% Inception 9.33% 8.69% 8.62% 8.62% 8.54% -- --
Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO PIMCO PIMCO Lehman High Yield High Yield High Yield Intermediate BB A B C Corporate Index ----------------------------------------------------------------------------- 12/31/1992 9,550 10,000 10,000 10,000 01/31/1993 9,764 10,218 10,218 10,211 02/28/1993 9,941 10,398 10,398 10,361 03/31/1993 10,138 10,597 10,597 10,478 04/30/1993 10,243 10,700 10,700 10,566 05/31/1993 10,315 10,769 10,769 10,644 06/30/1993 10,592 11,052 11,052 10,870 07/31/1993 10,664 11,120 11,120 10,980 08/31/1993 10,780 11,235 11,235 11,107 09/30/1993 10,831 11,281 11,281 11,188 10/31/1993 11,118 11,573 11,573 11,338 11/30/1993 11,200 11,652 11,652 11,368 12/31/1993 11,293 11,742 11,742 11,465 01/31/1994 11,530 11,981 11,981 11,657 02/28/1994 11,525 11,969 11,969 11,644 03/31/1994 11,177 11,601 11,601 11,288 04/30/1994 11,076 11,489 11,489 11,221 05/31/1994 11,154 11,562 11,562 11,231 06/30/1994 11,166 11,567 11,567 11,265 07/31/1994 11,267 11,666 11,666 11,402 08/31/1994 11,359 11,753 11,753 11,523 09/30/1994 11,434 11,824 11,824 11,544 10/31/1994 11,436 11,819 11,819 11,571 11/30/1994 11,387 11,761 11,761 11,492 12/31/1994 11,520 11,892 11,892 11,563 01/31/1995 11,629 11,997 11,997 11,749 02/28/1995 11,945 12,315 12,315 12,106 03/31/1995 12,115 12,484 12,484 12,220 04/30/1995 12,376 12,746 12,746 12,465 05/31/1995 12,731 13,104 13,104 12,831 06/30/1995 12,832 13,200 13,200 12,944 07/31/1995 13,000 13,365 13,365 13,062 08/31/1995 13,096 13,456 13,456 13,138 09/30/1995 13,275 13,634 13,634 13,280 10/31/1995 13,465 13,822 13,822 13,384 11/30/1995 13,625 13,978 13,978 13,553 12/31/1995 13,852 14,202 14,202 13,767 01/31/1996 14,072 14,419 14,419 13,990 02/29/1996 14,083 14,422 14,422 13,940 03/31/1996 13,968 14,295 14,295 13,867 04/30/1996 14,025 14,345 14,345 13,862 05/31/1996 14,068 14,381 14,381 13,881 06/30/1996 14,122 14,427 14,427 14,031 07/31/1996 14,243 14,542 14,542 14,107 08/31/1996 14,471 14,766 14,766 14,221 09/30/1996 14,804 15,097 15,097 14,527 10/31/1996 14,948 15,236 15,236 14,729 11/30/1996 15,267 15,554 15,554 15,026 12/31/1996 15,416 15,696 15,696 15,059 01/31/1997 15,570 15,837 15,842 15,203 02/28/1997 15,805 16,067 16,071 15,386 03/31/1997 15,593 15,842 15,846 15,203 04/30/1997 15,755 15,997 16,002 15,392 05/31/1997 16,110 16,346 16,351 15,655 06/30/1997 16,343 16,573 16,578 15,857 07/31/1997 16,760 16,984 16,989 16,330 08/31/1997 16,750 16,962 16,967 16,174 09/30/1997 17,026 17,232 17,237 16,428 10/31/1997 17,038 17,232 17,237 16,484 11/30/1997 17,197 17,381 17,387 16,600 12/31/1997 17,386 17,562 17,567 16,752 01/31/1998 17,680 17,847 17,852 16,953 02/28/1998 17,770 17,927 17,932 17,031 03/31/1998 17,903 18,051 18,056 17,140 04/30/1998 17,943 18,080 18,085 17,228 05/31/1998 18,029 18,156 18,161 17,340 06/30/1998 18,157 18,272 18,279 17,446 07/31/1998 18,344 18,447 18,454 17,536 08/31/1998 17,603 17,691 17,698 17,052 09/30/1998 17,821 17,898 17,905 17,414 10/31/1998 17,639 17,705 17,712 17,191 11/30/1998 18,378 18,436 18,443 17,603 12/31/1998 18,452 18,497 18,504 17,714 01/31/1999 18,690 18,724 18,731 17,897 02/28/1999 18,531 18,554 18,561 17,764 03/31/1999 18,679 18,689 18,697 17,892 04/30/1999 18,985 18,984 18,992 18,075 05/31/1999 18,617 18,605 18,612 17,856 06/30/1999 18,608 18,584 18,592 17,815 07/31/1999 18,652 18,618 18,625 17,883 08/31/1999 18,574 18,528 18,536 17,770 09/30/1999 18,580 18,523 18,530 17,843 10/31/1999 18,552 18,484 18,491 17,782 11/30/1999 18,802 18,722 18,730 17,933 12/31/1999 18,894 18,803 18,810 18,104 01/31/2000 18,804 18,713 18,709 17,975 02/29/2000 18,843 18,752 18,739 18,009 03/31/2000 18,463 18,373 18,347 17,838 04/30/2000 18,498 18,408 18,371 17,899 05/31/2000 18,400 18,310 18,262 17,906 06/30/2000 18,746 18,655 18,595 18,293 07/31/2000 18,888 18,796 18,725 18,597 08/31/2000 19,154 19,061 18,978 18,883 09/30/2000 19,091 18,999 18,902 18,790 * Past performance is no guarantee of future results. The adjusted returns above include the effect of applicable sales charges. Excluding the 1-year returns, these returns represent the blended performance of the Fund's retail class shares (for the period from 1/17/97) and the prior performance of the Fund's institutional class shares, adjusted for retail class fees and expenses. Retail class shares were first offered in January 1997. The investments made by the High Yield Fund may involve high risk and may have speculative characteristics. See page 28 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 16% -------------------------------------------------------------------------------- 1-5 years 25% -------------------------------------------------------------------------------- 5-10 years 55% -------------------------------------------------------------------------------- 10-20 years 3% -------------------------------------------------------------------------------- 20-30 years 1% -------------------------------------------------------------------------------- Duration: 3.7 years -------------------------------------------------------------------------------- Sector Breakdown -------------------------------------------------------------------------------- Corporate Bonds & Notes 76.3% -------------------------------------------------------------------------------- Short-Term Instruments 9.4% -------------------------------------------------------------------------------- Asset-Backed Securities 6.3% -------------------------------------------------------------------------------- Other 8.0% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 3.2% -------------------------------------------------------------------------------- AA 2.2% -------------------------------------------------------------------------------- A 0.6% -------------------------------------------------------------------------------- BBB 19.2% -------------------------------------------------------------------------------- BB 39.8% -------------------------------------------------------------------------------- B 35.0% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class A shares rose 3.45%, outperforming the Lipper High Current Yield Average, which fell 1.14%. However, the Fund did underperform its benchmark, the Lehman Intermediate BB Corporate Index, which rose 5.33%. Over the long term, the Fund continues to outperform both the Lipper Average and its Lehman benchmark for the five-year and since inception periods ended September 30, 2000. Over the last six months the Federal Reserve raised interest rates once, in May, in order to continue its ongoing efforts to prevent the economy from overheating and creating inflationary pressures. Since that 50 basis point increase, the Federal Reserve has remained on hold, based on evidence that economic growth is moderating to a pace more in line with the economy's potential to produce. As a result, intermediate maturity interest rates fell. However, high yield issues lagged higher-quality bonds as lingering concerns about defaults, profits and fund redemptions put selling pressure on the market. Defensive strategies and a focus on the energy services sector enhanced performance. The Fund's strategy of avoiding cyclical issues, such as autos and steel, added to relative performance as these sectors suffered under slowing consumer spending and accumulating inventory. However, the Fund's limited exposure to B-rated issues detracted from performance as these credits significantly underperformed BB-rated issues. Going forward, we believe that economic growth will moderate worldwide. We expect inflation to creep higher in the face of wage pressures and rising energy costs. More Fed tightening is unlikely now that U.S. economic growth is moderating; however, the central bank will also refrain from easing to avoid igniting accelerated consumer spending via the stock and housing markets. As U.S. growth slows, lower profits cut into the ability of corporate America to service its debt. This causes credit conditions to deteriorate, and spreads to widen, driving down prices. In light of this environment, we believe that maintaining a defensive posture will be instrumental in preserving capital while providing superior relative performance. While the high yield market has already incorporated a lot of bad news, we feel it is too early to become bullish due to significant near-term risks. We expect to maintain average quality higher than the benchmark. We intend to continue to hold defensive positions, such as publishing and utilities, and we hope to be overweight in areas we believe to have improving fundamentals, such as the chemical sector. We intend to use senior-secured, syndicated bank loans selectively to add income while preserving principal. 16 September 30, 2000 PIMCO Long-Term U.S. Government Fund OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily longer-term U.S. Government securities. DURATION RANGE: Greater than or equal to 8 years FUND INCEPTION DATE: 7/01/91 TOTAL NET ASSETS: $370.3 million PORTFOLIO MANAGER: Jim Keller -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00
A Shares B Shares C Shares Lipper Gen. Lehman U.S. Govt. Long-Term Adjusted Adjusted Adjusted Fund Avg. Treas. Index ----------------------------------------------------------------------------------------------------------- 1 year 8.93% 4.03% 8.12% 3.12% 7.12% 6.12% 9.81% 3 years 6.88% 5.25% 6.07% 5.19% 6.07% 4.93% 7.36% 5 years 7.33% 6.34% 6.51% 6.22% 6.53% 5.37% 7.47% Inception 10.36% 9.81% 9.74% 9.74% 9.56% -- --
Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO PIMCO PIMCO Lehman Long-Term Long-Term Long-Term Long-Term U.S. Gov. U.S. Gov. U.S. Gov. Treasury Index A B C -------------------------------------------------------------------------------- 06/30/1991 9,550 10,000 10,000 10,000 07/31/1991 9,678 10,128 10,128 10,149 08/31/1991 10,051 10,511 10,511 10,499 09/30/1991 10,385 10,855 10,855 10,830 10/31/1991 10,435 10,900 10,900 10,854 11/30/1991 10,572 11,037 11,037 10,914 12/31/1991 11,265 11,755 11,755 11,565 01/31/1992 10,944 11,413 11,413 11,202 02/29/1992 10,997 11,462 11,462 11,268 03/31/1992 10,958 11,416 11,416 11,144 04/30/1992 10,901 11,350 11,350 11,133 05/31/1992 11,287 11,745 11,745 11,442 06/30/1992 11,447 11,906 11,906 11,608 07/31/1992 11,986 12,458 12,458 12,091 08/31/1992 12,223 12,697 12,697 12,175 09/30/1992 12,436 12,911 12,911 12,367 10/31/1992 12,123 12,579 12,579 12,107 11/30/1992 12,247 12,701 12,701 12,153 12/31/1992 12,567 13,025 13,025 12,486 01/31/1993 12,898 13,361 13,361 12,842 02/28/1993 13,413 13,886 13,886 13,271 03/31/1993 13,482 13,948 13,948 13,304 04/30/1993 13,583 14,046 14,046 13,407 05/31/1993 13,632 14,088 14,088 13,451 06/30/1993 14,304 14,776 14,776 14,020 07/31/1993 14,508 14,978 14,978 14,246 08/31/1993 15,058 15,538 15,538 14,818 09/30/1993 15,103 15,577 15,577 14,870 10/31/1993 15,177 15,644 15,644 14,977 11/30/1993 14,761 15,208 15,208 14,594 12/31/1993 14,856 15,296 15,296 14,640 01/31/1994 15,191 15,632 15,632 14,992 02/28/1994 14,593 15,009 15,009 14,377 03/31/1994 13,995 14,383 14,383 13,746 04/30/1994 13,751 14,124 14,124 13,584 05/31/1994 13,703 14,066 14,066 13,494 06/30/1994 13,619 13,972 13,972 13,366 07/31/1994 13,953 14,304 14,304 13,819 08/31/1994 13,980 14,321 14,321 13,717 09/30/1994 13,539 13,860 13,860 13,285 10/31/1994 13,446 13,755 13,755 13,238 11/30/1994 13,400 13,700 13,700 13,316 12/31/1994 13,702 13,999 13,999 13,521 01/31/1995 14,055 14,350 14,350 13,869 02/28/1995 14,537 14,833 14,833 14,263 03/31/1995 14,701 14,992 14,992 14,385 04/30/1995 14,948 15,235 15,235 14,641 05/31/1995 16,089 16,387 16,387 15,764 06/30/1995 16,268 16,561 16,561 15,947 07/31/1995 15,981 16,259 16,259 15,692 08/31/1995 16,338 16,612 16,612 16,041 09/30/1995 16,686 16,956 16,956 16,336 10/31/1995 17,091 17,359 17,359 16,793 11/30/1995 17,506 17,771 17,771 17,213 12/31/1995 17,960 18,220 18,220 17,671 01/31/1996 17,983 18,233 18,233 17,671 02/29/1996 17,140 17,369 17,369 16,817 03/31/1996 16,819 17,034 17,034 16,483 04/30/1996 16,441 16,640 16,640 16,207 05/31/1996 16,457 16,645 16,645 16,123 06/30/1996 16,783 16,963 16,963 16,467 07/31/1996 16,723 16,892 16,892 16,473 08/31/1996 16,601 16,758 16,758 16,267 09/30/1996 17,057 17,208 17,208 16,716 10/31/1996 17,784 17,929 17,929 17,373 11/30/1996 18,447 18,587 18,587 17,953 12/31/1996 18,017 18,142 18,142 17,517 01/31/1997 17,924 18,026 18,043 17,393 02/28/1997 17,959 18,050 18,068 17,400 03/31/1997 17,507 17,586 17,602 16,954 04/30/1997 17,897 17,966 17,980 17,363 05/31/1997 18,103 18,161 18,176 17,557 06/30/1997 18,454 18,503 18,518 17,896 07/31/1997 19,473 19,513 19,527 18,947 08/31/1997 18,976 19,002 19,017 18,420 09/30/1997 19,466 19,481 19,497 18,927 10/31/1997 20,122 20,124 20,140 19,564 11/30/1997 20,307 20,295 20,313 19,825 12/31/1997 20,648 20,621 20,640 20,158 01/31/1998 21,026 20,984 21,003 20,567 02/28/1998 20,877 20,823 20,842 20,419 03/31/1998 20,971 20,904 20,923 20,462 04/30/1998 21,084 21,004 21,023 20,537 05/31/1998 21,487 21,393 21,412 20,930 06/30/1998 21,983 21,874 21,892 21,415 07/31/1998 21,961 21,852 21,855 21,325 08/31/1998 22,881 22,768 22,757 22,287 09/30/1998 23,801 23,683 23,643 23,103 10/31/1998 23,149 23,034 22,981 22,754 11/30/1998 23,230 23,115 23,043 22,929 12/31/1998 23,337 23,221 23,133 22,881 01/31/1999 23,507 23,391 23,290 23,087 02/28/1999 22,435 22,324 22,214 21,951 03/31/1999 22,521 22,409 22,285 21,900 04/30/1999 22,548 22,436 22,296 21,931 05/31/1999 22,135 22,025 21,875 21,587 06/30/1999 21,922 21,814 21,652 21,358 07/31/1999 21,789 21,681 21,504 21,255 08/31/1999 21,612 21,505 21,317 21,173 09/30/1999 21,828 21,720 21,518 21,329 10/31/1999 21,868 21,759 21,544 21,342 11/30/1999 21,721 21,614 21,386 21,197 12/31/1999 21,389 21,283 21,044 20,881 01/31/2000 21,479 21,372 21,122 21,180 02/29/2000 22,121 22,011 21,741 21,819 03/31/2000 22,712 22,599 22,306 22,566 04/30/2000 22,578 22,466 22,161 22,385 05/31/2000 22,449 22,338 22,021 22,304 06/30/2000 23,129 23,014 22,675 22,788 07/31/2000 23,538 23,422 23,063 23,180 08/31/2000 24,059 23,939 23,559 23,709 09/30/2000 23,772 23,655 23,265 23,422 * Past performance is no guarantee of future results. The adjusted returns above include the effect of applicable sales charges. Excluding the 1-year returns, these returns represent the blended performance of the Fund's retail class shares (for the period from 1/17/97) and the prior performance of the Fund's institutional class shares, adjusted for retail class fees and expenses. Retail class shares were first offered in January 1997. See page 28 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1-5 years 16% -------------------------------------------------------------------------------- 5-10 years 10% -------------------------------------------------------------------------------- 10-20 years 24% -------------------------------------------------------------------------------- 20-30 years 50% -------------------------------------------------------------------------------- Duration: 10.9 years -------------------------------------------------------------------------------- Sector Breakdown -------------------------------------------------------------------------------- U.S. Treasury Obligations 41.6% -------------------------------------------------------------------------------- Mortgage-Backed Securities 40.2% -------------------------------------------------------------------------------- U.S. Government Agencies 8.6% -------------------------------------------------------------------------------- Other 9.6% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 92.4% -------------------------------------------------------------------------------- AA 3.4% -------------------------------------------------------------------------------- A 2.4% -------------------------------------------------------------------------------- BBB 1.8% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class A shares rose 4.69%, outperforming the Lehman Long-Term Treasury Index, which returned 3.80%. The Fund also outperformed its Lipper Average, which returned 4.14%. The Fund continues to outperform over the longer-term, beating its Lipper Average over the three-year, five-year, and since inception periods. Over the last six months the Federal Reserve raised interest rates once, in May, in order to continue its ongoing efforts to prevent the economy from overheating and creating inflationary pressures. Since that 50 basis point increase, the Federal Reserve has left rates unchanged based on mounting evidence that economic growth is moderating to a pace more in line with the economy's potential to produce. As a result, intermediate maturity interest rates fell, causing the yield curve to revert to a positive slope. The Fund's focus on yield-gathering strategies and intermediate-term issues were key to performance over the past six months. Amid optimism that the Fed was close to the end of its tightening cycle, intermediate-maturity yields fell. An emphasis on mortgages also enhanced returns due to high yields and narrowing spreads relative to Treasuries. A small exposure to municipals also added to returns, as yields became more attractive relative to Treasuries on an after-tax basis. Going forward, based on recent monetary policy tightening and higher oil prices, we believe that economic growth will moderate worldwide. We expect inflation to creep higher in the face of wage pressures and rising energy costs. We believe that further Fed tightening is unlikely now due to moderating U.S. economic growth; however, the central bank will also refrain from easing to avoid igniting accelerated consumer spending via the stock and housing markets. In our opinion, an over-leveraged private sector combined with public budget surpluses will continue to cause credit quality to deteriorate and keep the Treasury curve flatter than it otherwise would be. In light of this environment, we expect to extend duration slightly beyond the benchmark as slower economic growth eases pressure on interest rates. We intend to continue our emphasis on mortgages because of their superior credit quality and relatively attractive yields. We hope to broaden our maturity mix in order to take advantage of what we anticipate will be a decrease in rates across the yield curve due to slower economic growth. In addition, we may continue to hold a small position in longer maturity municipal bonds having attractive tax-adjusted yields relative to Treasuries. 17 September 30, 2000 PIMCO Low Duration Fund OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily shorter-term, investment grade bonds. DURATION RANGE: 1-3 years FUND INCEPTION DATE: 5/11/87 TOTAL NET ASSETS: $4.2 billion PORTFOLIO MANAGER: Bill Gross -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00
A Shares B Shares C Shares Lipper Shrt. Inv. Merrill Lynch Grade Debt Fund 1-3 yr. Treas. Adjusted Adjusted Adjusted Average Index ------------------------------------------------------------------------------------------------------------------- 1 year 6.05% 2.87% 5.26% 0.28% 4.53% 5.73% 5.79% 5 years 6.14% 5.49% 5.34% 5.02% 5.62% 5.42% 5.89% 10 years 6.90% 6.58% 6.35% 6.35% 6.38% 6.29% 6.48% Inception 7.28% 7.04% 6.86% 6.86% 6.76% -- --
Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO PIMCO PIMCO Merrill Lynch Low Duration Low Duration Low Duration 1-3 yr. Treasury A B C Index -------------------------------------------------------------------------------- 05/31/1987 9,700 10,000 10,000 10,000 06/30/1987 9,786 10,083 10,085 10,109 07/31/1987 9,819 10,109 10,114 10,158 08/31/1987 9,813 10,097 10,104 10,167 09/30/1987 9,785 10,063 10,072 10,127 10/31/1987 9,940 10,215 10,227 10,351 11/30/1987 10,048 10,320 10,334 10,414 12/31/1987 10,103 10,370 10,387 10,480 01/31/1988 10,266 10,531 10,550 10,648 02/29/1988 10,337 10,598 10,619 10,735 03/31/1988 10,398 10,653 10,677 10,756 04/30/1988 10,437 10,687 10,713 10,772 05/31/1988 10,457 10,700 10,728 10,756 06/30/1988 10,551 10,788 10,821 10,868 07/31/1988 10,603 10,835 10,869 10,876 08/31/1988 10,641 10,867 10,904 10,899 09/30/1988 10,735 10,956 10,996 11,026 10/31/1988 10,830 11,046 11,088 11,136 11/30/1988 10,840 11,050 11,094 11,106 12/31/1988 10,884 11,087 11,134 11,132 01/31/1989 10,970 11,168 11,217 11,219 02/28/1989 10,983 11,175 11,226 11,219 03/31/1989 11,021 11,206 11,260 11,270 04/30/1989 11,147 11,327 11,384 11,443 05/31/1989 11,372 11,548 11,608 11,614 06/30/1989 11,615 11,788 11,852 11,831 07/31/1989 11,781 11,948 12,015 12,006 08/31/1989 11,723 11,882 11,950 11,932 09/30/1989 11,778 11,929 12,000 12,003 10/31/1989 11,928 12,075 12,149 12,184 11/30/1989 12,032 12,172 12,250 12,299 12/31/1989 12,089 12,222 12,303 12,348 01/31/1990 12,077 12,202 12,284 12,358 02/28/1990 12,155 12,274 12,359 12,416 03/31/1990 12,216 12,328 12,416 12,457 04/30/1990 12,204 12,308 12,399 12,482 05/31/1990 12,405 12,502 12,597 12,673 06/30/1990 12,534 12,625 12,723 12,806 07/31/1990 12,667 12,750 12,853 12,966 08/31/1990 12,687 12,761 12,867 13,005 09/30/1990 12,752 12,819 12,927 13,111 10/31/1990 12,840 12,898 13,010 13,255 11/30/1990 12,988 13,039 13,155 13,386 12/31/1990 13,123 13,167 13,286 13,548 01/31/1991 13,238 13,275 13,398 13,672 02/28/1991 13,339 13,367 13,494 13,754 03/31/1991 13,447 13,468 13,598 13,846 04/30/1991 13,605 13,619 13,753 13,977 05/31/1991 13,706 13,711 13,849 14,062 06/30/1991 13,788 13,785 13,927 14,119 07/31/1991 13,936 13,924 14,070 14,242 08/31/1991 14,130 14,110 14,260 14,437 09/30/1991 14,309 14,280 14,436 14,593 10/31/1991 14,428 14,390 14,550 14,750 11/30/1991 14,578 14,531 14,695 14,903 12/31/1991 14,817 14,761 14,930 15,131 01/31/1992 14,824 14,759 14,932 15,107 02/29/1992 14,893 14,818 14,995 15,160 03/31/1992 14,895 14,813 14,992 15,154 04/30/1992 14,995 14,903 15,086 15,293 05/31/1992 15,142 15,040 15,228 15,432 06/30/1992 15,279 15,166 15,359 15,590 07/31/1992 15,476 15,353 15,551 15,765 08/31/1992 15,573 15,440 15,643 15,903 09/30/1992 15,723 15,579 15,786 16,055 10/31/1992 15,723 15,568 15,780 15,959 11/30/1992 15,726 15,562 15,777 15,933 12/31/1992 15,885 15,710 15,930 16,084 01/31/1993 16,029 15,842 16,067 16,251 02/28/1993 16,213 16,015 16,245 16,390 03/31/1993 16,299 16,090 16,325 16,439 04/30/1993 16,371 16,151 16,390 16,541 05/31/1993 16,384 16,154 16,397 16,495 06/30/1993 16,541 16,300 16,548 16,616 07/31/1993 16,593 16,339 16,591 16,655 08/31/1993 16,749 16,483 16,740 16,800 09/30/1993 16,807 16,530 16,792 16,855 10/31/1993 16,917 16,628 16,894 16,888 11/30/1993 16,927 16,628 16,898 16,892 12/31/1993 17,040 16,728 17,002 16,954 01/31/1994 17,127 16,801 17,081 17,063 02/28/1994 17,047 16,714 16,995 16,954 03/31/1994 16,966 16,624 16,907 16,870 04/30/1994 16,904 16,552 16,838 16,810 05/31/1994 16,878 16,517 16,806 16,834 06/30/1994 16,907 16,546 16,827 16,884 07/31/1994 17,057 16,693 16,970 17,029 08/31/1994 17,124 16,758 17,028 17,089 09/30/1994 17,091 16,726 16,989 17,050 10/31/1994 17,083 16,718 16,974 17,088 11/30/1994 17,080 16,714 16,964 17,012 12/31/1994 17,064 16,699 16,942 17,050 01/31/1995 17,216 16,848 17,086 17,288 02/28/1995 17,426 17,053 17,287 17,525 03/31/1995 17,491 17,117 17,344 17,623 04/30/1995 17,704 17,325 17,547 17,780 05/31/1995 18,019 17,634 17,852 18,091 06/30/1995 18,106 17,718 17,931 18,188 07/31/1995 18,106 17,718 17,924 18,263 08/31/1995 18,296 17,904 18,105 18,372 09/30/1995 18,453 18,058 18,253 18,461 10/31/1995 18,584 18,187 18,376 18,617 11/30/1995 18,794 18,392 18,576 18,782 12/31/1995 19,010 18,604 18,782 18,926 01/31/1996 19,143 18,734 18,906 19,087 02/29/1996 19,013 18,607 18,770 19,006 03/31/1996 18,998 18,592 18,747 18,989 04/30/1996 18,998 18,592 18,740 19,005 05/31/1996 19,009 18,603 18,744 19,044 06/30/1996 19,196 18,785 18,920 19,181 07/31/1996 19,253 18,841 18,969 19,256 08/31/1996 19,342 18,928 19,047 19,323 09/30/1996 19,609 19,189 19,302 19,498 10/31/1996 19,883 19,458 19,565 19,717 11/30/1996 20,144 19,713 19,813 19,868 12/31/1996 20,081 19,652 19,744 19,868 01/31/1997 20,242 19,809 19,896 19,962 02/28/1997 20,317 19,882 19,961 20,007 03/31/1997 20,227 19,795 19,866 20,000 04/30/1997 20,466 20,028 20,092 20,163 05/31/1997 20,630 20,189 20,245 20,301 06/30/1997 20,784 20,340 20,388 20,440 07/31/1997 21,113 20,661 20,700 20,665 08/31/1997 21,094 20,643 20,671 20,684 09/30/1997 21,271 20,816 20,837 20,841 10/31/1997 21,420 20,962 20,976 20,996 11/30/1997 21,476 21,016 21,029 21,047 12/31/1997 21,632 21,170 21,176 21,191 01/31/1998 21,790 21,324 21,320 21,396 02/28/1998 21,858 21,390 21,378 21,415 03/31/1998 21,943 21,474 21,452 21,502 04/30/1998 22,055 21,583 21,553 21,603 05/31/1998 22,187 21,713 21,674 21,718 06/30/1998 22,234 21,759 21,709 21,831 07/31/1998 22,332 21,854 21,793 21,933 08/31/1998 22,412 21,933 21,863 22,209 09/30/1998 22,860 22,372 22,291 22,503 10/31/1998 22,817 22,329 22,240 22,613 11/30/1998 22,942 22,452 22,354 22,594 12/31/1998 23,075 22,582 22,472 22,673 01/31/1999 23,170 22,675 22,555 22,763 02/28/1999 23,040 22,548 22,420 22,652 03/31/1999 23,229 22,733 22,595 22,810 04/30/1999 23,343 22,844 22,694 22,883 05/31/1999 23,261 22,764 22,606 22,868 06/30/1999 23,266 22,769 22,599 22,940 07/31/1999 23,259 22,762 22,583 23,012 08/31/1999 23,266 22,769 22,581 23,079 09/30/1999 23,431 22,930 22,732 23,229 10/31/1999 23,520 23,017 22,809 23,291 11/30/1999 23,612 23,107 22,889 23,335 12/31/1999 23,647 23,142 22,914 23,368 01/31/2000 23,610 23,105 22,871 23,359 02/29/2000 23,772 23,264 23,020 23,515 03/31/2000 23,939 23,427 23,169 23,661 04/30/2000 23,984 23,472 23,204 23,722 05/31/2000 24,049 23,535 23,257 23,820 06/30/2000 24,331 23,810 23,520 24,067 07/31/2000 24,469 23,946 23,645 24,219 08/31/2000 24,733 24,205 23,891 24,398 09/30/2000 24,850 24,318 23,993 24,573 * Past performance is no guarantee of future results. The adjusted returns above include the effect of applicable sales charges. Excluding the 1-year returns, these returns represent the blended performance of the Fund's retail class shares (for the period from 1/17/97) and the prior performance of the Fund's institutional class shares, adjusted for retail class fees and expenses. Retail class shares were first offered in January 1997. See page 28 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 29% -------------------------------------------------------------------------------- 1-5 years 58% -------------------------------------------------------------------------------- 5-10 years 13% -------------------------------------------------------------------------------- Duration: 1.9 years -------------------------------------------------------------------------------- Sector Breakdown -------------------------------------------------------------------------------- Corporate Bonds & Notes 47.2% -------------------------------------------------------------------------------- Mortgage-Backed Securities 33.2% -------------------------------------------------------------------------------- U.S. Treasury Obligations 7.7% -------------------------------------------------------------------------------- Other 11.9% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 40.8% -------------------------------------------------------------------------------- AA 8.0% -------------------------------------------------------------------------------- A 25.8% -------------------------------------------------------------------------------- BBB 20.7% -------------------------------------------------------------------------------- BB 4.2% -------------------------------------------------------------------------------- B 0.5% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class A shares returned 3.79%, underperforming the Merrill Lynch 1-3 Year Treasury Index, which returned 3.85%. The Fund also outperformed its Lipper Average, which returned 3.71%. Over the longer term, the Fund continues to outperform both its Lipper Average and its benchmark over the 5-, 10-year and since inception periods ended September 30, 2000. Over the past year six months, the Federal Reserve discontinued its tightening policy by mid-summer as evidence surfaced that the U.S. economy was slowing. Intermediate rates fell, causing the long end of the yield curve to revert to a positive slope, amid optimism that rate fears are over. Oil prices continue to rise to their highest levels in a decade raising fears about accelerating inflation, but the Fed remained on hold due to continued signs of slowing growth. Higher yielding mortgages, investment-grade corporates and emerging market bonds outperformed Treasuries. The Fund's position in high grade corporate debt enhanced performance over the past six months as economic growth and corporate issuance continued to slow. In addition, our allocation to mortgage-backed securities, especially AAA/AA issues, benefited from Treasury scarcity and strong demand for high quality short-term holdings. Selective emerging market investments contributed to performance as fundamentals in a broad set of countries continued to improve. The portfolio's above-index average duration (sensitivity to changes in interest rates) over the past six months slightly helped returns as interest rate fears subsided. A small weight in below-investment-grade securities and the euro hurt performance due to cash outflows amid concerns about deteriorating credit quality and a preference for dollars over euros as evidence of a global slowdown made investors cautious. We believe the economy will continue to slow moderately, but the central bank will also refrain from easing to avoid igniting inflation in the stock and housing markets. Growth should moderate worldwide due to recent monetary tightening and higher oil prices. Inflation should creep slightly higher in the face of wage pressures and escalating energy costs. An over-leveraged private sector combined with public budget surpluses should continue to cause lower quality corporate bonds to deteriorate. Strategically, we expect to keep the duration of the Fund in line with the benchmark due to the unlikely event of intermediate rates falling further. In addition, we anticipate maintaining a broad maturity structure, with exposure to both shorter- and longer-term instruments, in order to capture value across the yield curve. Mortgage-backed securities will continue to be favored over investment-grade corporate credits because of their higher quality and attractive yields. 18 September 30, 2000 PIMCO Money Market Fund OBJECTIVE: Maximum current income, consistent with preservation of capital and daily liquidity. PORTFOLIO: Primarily money market instruments. DURATION RANGE: Less than or equal to 90 days FUND INCEPTION DATE: 3/01/91 TOTAL NET ASSETS: $355.3 million PORTFOLIO MANAGER: Leslie Barbi -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00 A Shares B Shares C Shares Lipper Money Salomon Market Fund 3 Mo. T-Bill Average Index -------------------------------------------------------------------------------- 1 year 5.65% 4.74% 5.68% 5.89% 5.62% 3 years 5.07% 4.21% 5.12% 5.40% 5.15% 5 years 5.13% 4.25% 5.17% 5.38% 5.21% Inception 4.55% 3.65% 4.57% -- -- Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO PIMCO PIMCO Salomon Money Market Money Market Money Market 3-Month Treasury A B C Bill Index -------------------------------------------------------------------------------- 02/28/1991 10,000 10,000 10,000 10,000 03/31/1991 10,048 10,041 10,048 10,052 04/30/1991 10,096 10,081 10,096 10,100 05/31/1991 10,146 10,122 10,146 10,149 06/30/1991 10,189 10,158 10,189 10,195 07/31/1991 10,234 10,196 10,234 10,244 08/31/1991 10,280 10,233 10,280 10,293 09/30/1991 10,322 10,267 10,322 10,338 10/31/1991 10,363 10,299 10,363 10,383 11/30/1991 10,402 10,330 10,402 10,425 12/31/1991 10,451 10,370 10,451 10,463 01/31/1992 10,485 10,396 10,485 10,500 02/29/1992 10,515 10,418 10,515 10,533 03/31/1992 10,546 10,441 10,546 10,568 04/30/1992 10,577 10,463 10,577 10,602 05/31/1992 10,606 10,484 10,606 10,637 06/30/1992 10,635 10,503 10,635 10,669 07/31/1992 10,664 10,523 10,664 10,701 08/31/1992 10,688 10,539 10,688 10,731 09/30/1992 10,712 10,554 10,712 10,758 10/31/1992 10,735 10,570 10,735 10,785 11/30/1992 10,758 10,584 10,758 10,812 12/31/1992 10,785 10,602 10,785 10,841 01/31/1993 10,806 10,615 10,806 10,870 02/28/1993 10,827 10,629 10,827 10,895 03/31/1993 10,852 10,645 10,852 10,922 04/30/1993 10,874 10,659 10,874 10,949 05/31/1993 10,893 10,671 10,893 10,976 06/30/1993 10,917 10,687 10,917 11,003 07/31/1993 10,940 10,701 10,940 11,032 08/31/1993 10,964 10,717 10,964 11,061 09/30/1993 10,987 10,730 10,987 11,088 10/31/1993 11,011 10,746 11,011 11,117 11/30/1993 11,036 10,762 11,036 11,145 12/31/1993 11,059 10,776 11,059 11,174 01/31/1994 11,083 10,791 11,083 11,203 02/28/1994 11,104 10,805 11,104 11,230 03/31/1994 11,130 10,821 11,130 11,261 04/30/1994 11,155 10,838 11,155 11,295 05/31/1994 11,186 10,860 11,186 11,332 06/30/1994 11,219 10,884 11,219 11,371 07/31/1994 11,253 10,908 11,253 11,412 08/31/1994 11,293 10,938 11,293 11,454 09/30/1994 11,330 10,966 11,330 11,497 10/31/1994 11,372 10,997 11,372 11,544 11/30/1994 11,417 11,032 11,417 11,592 12/31/1994 11,466 11,070 11,466 11,645 01/31/1995 11,520 11,113 11,520 11,699 02/28/1995 11,568 11,152 11,568 11,750 03/31/1995 11,620 11,195 11,620 11,808 04/30/1995 11,669 11,234 11,669 11,865 05/31/1995 11,726 11,281 11,726 11,923 06/30/1995 11,779 11,324 11,779 11,979 07/31/1995 11,832 11,366 11,832 12,036 08/31/1995 11,884 11,408 11,884 12,093 09/30/1995 11,933 11,445 11,933 12,147 10/31/1995 11,986 11,489 11,986 12,203 11/30/1995 12,073 11,562 12,073 12,257 12/31/1995 12,131 11,609 12,131 12,313 01/31/1996 12,184 11,650 12,184 12,369 02/29/1996 12,234 11,690 12,234 12,419 03/31/1996 12,283 11,729 12,283 12,472 04/30/1996 12,333 11,769 12,333 12,523 05/31/1996 12,389 11,812 12,389 12,577 06/30/1996 12,433 11,846 12,433 12,629 07/31/1996 12,484 11,885 12,484 12,684 08/31/1996 12,540 11,931 12,540 12,740 09/30/1996 12,588 11,966 12,588 12,794 10/31/1996 12,638 12,006 12,638 12,851 11/30/1996 12,689 12,044 12,689 12,905 12/31/1996 12,738 12,083 12,738 12,960 01/31/1997 12,791 12,124 12,791 13,016 02/28/1997 12,837 12,160 12,838 13,067 03/31/1997 12,885 12,199 12,887 13,124 04/30/1997 12,938 12,241 12,940 13,181 05/31/1997 12,995 12,286 12,998 13,239 06/30/1997 13,046 12,327 13,050 13,294 07/31/1997 13,101 12,368 13,105 13,351 08/31/1997 13,160 12,414 13,162 13,409 09/30/1997 13,211 12,455 13,215 13,465 10/31/1997 13,270 12,500 13,274 13,524 11/30/1997 13,321 12,540 13,326 13,581 12/31/1997 13,381 12,586 13,386 13,639 01/31/1998 13,438 12,632 13,444 13,699 02/28/1998 13,489 12,671 13,496 13,754 03/31/1998 13,543 12,722 13,551 13,815 04/30/1998 13,599 12,774 13,607 13,873 05/31/1998 13,656 12,827 13,666 13,932 06/30/1998 13,712 12,880 13,722 13,990 07/31/1998 13,770 12,934 13,782 14,048 08/31/1998 13,825 12,986 13,837 14,109 09/30/1998 13,881 13,039 13,894 14,167 10/31/1998 13,934 13,089 13,952 14,223 11/30/1998 13,987 13,138 14,004 14,276 12/31/1998 14,046 13,194 14,064 14,329 01/31/1999 14,094 13,238 14,112 14,382 02/28/1999 14,139 13,281 14,158 14,431 03/31/1999 14,188 13,327 14,209 14,485 04/30/1999 14,242 13,378 14,263 14,539 05/31/1999 14,290 13,423 14,312 14,594 06/30/1999 14,341 13,470 14,362 14,648 07/31/1999 14,396 13,523 14,418 14,705 08/31/1999 14,450 13,573 14,473 14,764 09/30/1999 14,506 13,626 14,529 14,822 10/31/1999 14,566 13,682 14,589 14,883 11/30/1999 14,624 13,736 14,647 14,942 12/31/1999 14,694 13,802 14,717 15,006 01/31/2000 14,754 13,859 14,779 15,072 02/29/2000 14,815 13,916 14,841 15,137 03/31/2000 14,886 13,983 14,914 15,208 04/30/2000 14,947 14,040 14,975 15,280 05/31/2000 15,017 14,106 15,046 15,355 06/30/2000 15,095 14,179 15,124 15,427 07/31/2000 15,168 14,247 15,196 15,501 08/31/2000 15,247 14,321 15,277 15,578 09/30/2000 15,324 14,394 15,355 15,656 * Past performance is no guarantee of future results. An investment in the Money Market Fund is neither insured nor guaranteed by the Federal Deposit Insurance Company or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund. Yield quotations more closely reflect the current earnings of the Fund than the total return quotations. Yields are calculated in accordance with the current Securities and Exchange Commission regulations. We will no longer compare the Fund to the Lipper Money Market Index since the Lipper Money Market Index is not a Money Market Index. See page 28 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 100% -------------------------------------------------------------------------------- Duration: 47.5 days -------------------------------------------------------------------------------- Sector Breakdown -------------------------------------------------------------------------------- Short-Term Instruments 58.3% -------------------------------------------------------------------------------- Corporate Bonds & Notes 41.7% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 38.3% -------------------------------------------------------------------------------- AA 59.5% -------------------------------------------------------------------------------- A 2.2% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- PIMCO Money Market Fund seeks current income consistent with capital preservation and liquidity through investment in short-term, fixed-income securities. The Money Market Fund's Class A shares returned 2.95% for the six-months ended September 30, 2000, slightly outperforming its benchmark, the Salomon 3-Month T-Bill Index, which returned 2.94% for the period. The average coupon for the Fund's Class A shares was 6.58% as of September 30, 2000. The Fund, which has an AA+ money market fund rating by Moody's Investors Service, emphasizes high quality commercial paper, shorter-term Agency and high quality corporate debt issues because of their strong liquidity, attractive yields and limited credit risk. Yields for high quality three-month commercial paper and short maturity corporates narrowed, boosting relative performance. Looking ahead, the Fund's manager expects to continue to emphasize liquid, high-quality commercial paper, which offer higher yields than Treasuries with minimal additional risk. High-quality, short-maturity corporates will also maintain their allocation within the portfolio in an attempt to improve portfolio yield while minimizing interest rate and credit risk. In addition, the manager anticipates continuing to have an average maturity of 45 days, as the additional yield obtained from holding longer maturities does not warrant the extra risk. 19 PIMCO Municipal Bond Fund OBJECTIVE: High current income exempt from federal income tax, consistent with preservation of capital. PORTFOLIO: Investment grade municipal bonds. DURATION RANGE: 3-10 years FUND INCEPTION DATE: 12/31/97 TOTAL NET ASSETS: $56.2 million PORTFOLIO MANAGER: Mark McCray -------------------------------------------------------------------------------- PERFORMANCE* --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/00 A Shares B Shares C Shares Lipper Gen. Muni. Lehman Bros. Gen. Adjusted Adjusted Adjusted Debt. Fund Avg. Muni. Bond Index ---------------------------------------------------------------------------------------------------- 1 year 5.41% 2.25% 4.63% -0.37% -3.90% 4.74% 6.18% Inception 2.93% 1.80% 2.16% 1.14% 2.42% -- --
Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO PIMCO PIMCO Lehman Brothers Municipal Bond Municipal Bond Municipal Bond General Municipal A B C Bond Index -------------------------------------------------------------------------------- 12/31/1997 9,700 10,000 10,000 10,000 01/31/1998 9,812 10,108 10,110 10,103 02/28/1998 9,763 10,052 10,056 10,106 03/31/1998 9,768 10,051 10,057 10,115 04/30/1998 9,700 9,976 9,984 10,070 05/31/1998 9,890 10,164 10,174 10,229 06/30/1998 9,921 10,188 10,201 10,269 07/31/1998 9,928 10,189 10,205 10,294 08/31/1998 10,109 10,369 10,388 10,454 09/30/1998 10,242 10,499 10,520 10,585 10/31/1998 10,218 10,467 10,491 10,585 11/30/1998 10,242 10,485 10,511 10,622 12/31/1998 10,251 10,487 10,516 10,648 01/31/1999 10,384 10,617 10,648 10,775 02/28/1999 10,316 10,541 10,572 10,727 03/31/1999 10,322 10,541 10,575 10,742 04/30/1999 10,338 10,551 10,587 10,769 05/31/1999 10,260 10,465 10,503 10,707 06/30/1999 10,070 10,264 10,303 10,553 07/31/1999 10,088 10,275 10,316 10,591 08/31/1999 9,979 10,158 10,201 10,506 09/30/1999 9,963 10,136 10,180 10,510 10/31/1999 9,833 9,997 10,043 10,397 11/30/1999 9,932 10,092 10,140 10,507 12/31/1999 9,837 9,988 10,039 10,428 01/31/2000 9,778 9,922 9,975 10,383 02/29/2000 9,878 10,018 10,074 10,504 03/31/2000 10,101 10,237 10,295 10,734 04/30/2000 10,049 10,178 10,239 10,670 05/31/2000 10,002 10,124 10,186 10,615 06/30/2000 10,227 10,345 10,411 10,896 07/31/2000 10,351 10,464 10,533 11,048 08/31/2000 10,512 10,621 10,693 11,218 09/30/2000 10,503 10,316 10,679 11,159 * Past performance is no guarantee of future results. The adjusted returns above include the effect of applicable sales charges. These returns represent the blended performance of the Fund's retail class shares (for the period from 4/1/98) and the prior performance of the Fund's institutional class shares, adjusted for retail class fees and expenses. Retail class shares were first offered in April 1998. Income from the Fund may be subject to state and local taxes and (if applicable) the Alternative Minimum Tax. See page 28 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 3% -------------------------------------------------------------------------------- 1-5 years 24% -------------------------------------------------------------------------------- 5-10 years 31% -------------------------------------------------------------------------------- 10-20 years 27% -------------------------------------------------------------------------------- 20-30 years 15% -------------------------------------------------------------------------------- Duration: 7.3 years -------------------------------------------------------------------------------- Regional Breakdown -------------------------------------------------------------------------------- California 15.9% -------------------------------------------------------------------------------- New Jersey 10.2% -------------------------------------------------------------------------------- New York 9.8% -------------------------------------------------------------------------------- Texas 7.1% -------------------------------------------------------------------------------- Colorado 7.0% -------------------------------------------------------------------------------- Utah 6.8% -------------------------------------------------------------------------------- Massachusetts 6.8% -------------------------------------------------------------------------------- Arizona 6.4% -------------------------------------------------------------------------------- Other States 30.0% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 38.8% -------------------------------------------------------------------------------- AA 16.7% -------------------------------------------------------------------------------- A 18.9% -------------------------------------------------------------------------------- BBB 15.8% -------------------------------------------------------------------------------- BB 9.8% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class A shares returned 3.98%, outperforming the Lipper Average, which returned 3.39%. Over the same time period, the Fund just about matched the performance of its benchmark, the Lehman General Municipal Index, which returned 3.97%. Looking longer term, the Fund outperformed its Lipper Average over the 1-year and since inception periods ended September 30, 2000. The Federal Reserve lifted short-term interest rates by 50 basis points at their May meeting, bringing its total tightening tally for this cycle to six, as concern remained that inflationary pressures were building. Supporting the concern, oil prices surged to their highest level in a decade. But the cumulative impact of 175 basis points of tightening began to slow the economy, as signs emerged that consumer and investment spending was slowing and that the housing sector was cooling. Municipal bonds, supported by strong surpluses at the state and local level, rallied along with other higher quality sectors of the bond market, such as Treasuries and mortgage-backed securities. In fact, on a tax-adjusted basis municipal bonds actually modestly outperformed broad investment-grade taxable debt sectors during the third quarter. Our overweight position in intermediate-maturity municipal bonds boosted returns as these yields fell the most during the period. Holdings of bonds priced at a discount by the market also improved returns as these issues had superior price performance as the overall municipal market rallied. In particular, the Fund's allocations to specific issues within the hospital and housing sectors enhanced performance. However, our conservative below-benchmark duration exposure during the third quarter held back relative performance. Looking ahead, we expect growth will continue to moderate worldwide. We also expect inflation to creep higher in the face of continued wage pressures and escalating energy costs. More Fed tightening is unlikely now that U.S. growth is slowing, but the central bank will also refrain from easing to avoid igniting inflation. A focus on quality will continue to be critical for superior performance as credit deterioration continues. As a result, we anticipate continuing our high quality focus, targeting an average credit quality of AA. We expect to maintain an overweight position in intermediate maturities because they currently offer yields close to those of longer maturities with less interest rate risk. Duration may be moved closer to the benchmark as we expect municipal yields to remain relatively stable in the near term. 20 September 30, 2000 PIMCO NY Municipal Bond Fund OBJECTIVE: Seek high current income exempt from federal and New York income tax. Capital appreciation is a secondary objective. PORTFOLIO: Primarily intermediate maturity municipal securities (exempt from federal and New York income tax). DURATION RANGE: 3-12 years FUND INCEPTION DATE: 8/31/99 TOTAL NET ASSETS: $3.2 million PORTFOLIO MANAGER: Mark McCray -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00
A Shares Lipper New York Lehman Bros. Lehman Bros. Interm. Muni N.Y. Insured Interm. N.Y. Debt Fund Muni. Insured Adjust Average Bond Index Muni. Bond Index ------------------------------------------------------------------------------------- 1 year 6.18% 2.99% 5.22% 6.79% 5.79% Inception 6.06% 3.11% -- -- --
Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO Lehman Brothers Lehman Brothers NY Municipal Bond Intermediate NY Insured NY Insured A Municipal Bond Municipal Bond Index Index -------------------------------------------------------------------------------- 08/31/1999 9,700 10,000 10,000 09/30/1999 9,735 10,031 9,987 10/31/1999 9,655 9,983 9,848 11/30/1999 9,740 10,062 9,986 12/31/1999 9,701 10,019 9,883 01/31/2000 9,653 9,983 9,826 02/29/2000 9,712 10,037 9,973 03/31/2000 9,866 10,183 10,227 04/30/2000 9,807 10,146 10,128 05/31/2000 9,770 10,116 10,080 06/30/2000 10,006 10,363 10,407 07/31/2000 10,117 10,499 10,545 08/31/2000 10,321 10,652 10,731 09/30/2000 10,337 10,612 10,665 * Past performance is no guarantee of future results. The adjusted returns above include the effect of applicable sales charges. These returns represent the blended performance of the Fund's retail class shares (for the period from 10/31/99) and the prior performance of the Fund's institutional class shares, adjusted for retail class fees and expenses. Retail class shares were first offered in October 1999. Income from the Fund may be subject to state and local taxes and (if applicable) the Alternative Minimum Tax. We will no longer compare the Fund to the Lehman Brothers Intermediate New York Insured Municipal Bond Index since the Lehman Brothers Intermediate New York Insured Municipal Bond Index is not a comparable New York Municipal index. See page 28 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 25% -------------------------------------------------------------------------------- 1-5 years 10% -------------------------------------------------------------------------------- 5-10 years 49% -------------------------------------------------------------------------------- 10-20 years 13% -------------------------------------------------------------------------------- 20-30 years 3% -------------------------------------------------------------------------------- Duration: 4.5 years -------------------------------------------------------------------------------- Regional Breakdown -------------------------------------------------------------------------------- New York 98.6% -------------------------------------------------------------------------------- Other 1.4% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 70.5% -------------------------------------------------------------------------------- AA 14.0% -------------------------------------------------------------------------------- A 10.8% -------------------------------------------------------------------------------- BBB 4.7% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class A shares returned 4.77%, outperforming the Lipper Average, which returned 3.58%. Over the same time period, the Fund slightly outperformed its benchmark, the Lehman New York Insured Municipal Index, which returned 4.29%. Looking longer term, the Fund outperformed the Lipper Average over the one-year and since inception periods ended September 30, 2000. The Federal Reserve lifted short-term interest rates by 50 basis points at their May meeting, bringing its total tightening tally for this cycle to six, as concern remained that inflationary pressures were building. Supporting this concern, oil prices surged to their highest level in a decade. But the cumulative impact of 175 basis points of tightening began to slow the economy, as signs emerged that consumer and investment spending was slowing and that the housing sector was cooling. New York municipal bonds rallied along with those in other higher quality areas of the bond market as strong retail demand and reduced new issuance propelled yields lower. Our overweight position in intermediate-maturity New York issues boosted returns as yields in this area of the curve decreased the most due to strong retail demand. Portfolio yield was also enhanced through the use of non-insured, higher quality revenue and local general obligation bonds. The Fund's duration generally was kept below that of the benchmark, which detracted from relative returns as long-maturity municipal yields also fell over the past six months. Looking ahead, we expect growth will continue to moderate worldwide. We also expect inflation to creep higher in the face of continued wage pressures and escalating energy costs. More Fed tightening is unlikely now that U.S. growth is slowing, but the central bank will also refrain from easing to avoid igniting inflation. A focus on quality will continue to be critical for superior performance as credit deterioration continues. As a result, we anticipate continuing our high quality focus, targeting an average credit quality of AAA and limiting below-investment-grade exposure to a very small allocation where we see value. We expect to maintain an overweight position in intermediate maturities, which offer compelling value today and retail demand in this area should be strong. Duration may be moved closer to the benchmark as we expect municipal yields to remain relatively stable in the near term. 21 PIMCO Real Return Bond Fund September 30, 2000 OBJECTIVE: Maximum real return, consistent with preservation of real capital and prudent investment management. PORTFOLIO: Primarily inflation-indexed bonds. FUND INCEPTION DATE: 1/29/97 TOTAL NET ASSETS: $537.9 million PORTFOLIO MANAGER: John Brynjolfsson -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00
A Shares B Shares C Shares Lipper Short Lehman Bros. U.S. Govt. Inflation Linked Adjusted Adjusted Adjusted Fund Avg. Treas. Index --------------------------------------------------------------------------------------------- 1 year 9.59% 6.30% 8.79% 3.79% 8.05% 5.68% 9.05% 3 years 6.84% 5.76% 6.07% 5.17% 6.32% 4.88% 5.49% Inception 6.27% 5.39% 5.50% 4.79% 5.74% -- --
Change in Value $10,000 invested at the Fund's inception [GRAPH]
PIMCO PIMCO PIMCO Lehman Brothers Real Return Bond Real Return Bond Real Return Bond Inflation Linked A B C Treasury Index ---------------------------------------------------------------------------------------------- 01/31/1997 9,700 10,000 10,000 10,000 02/28/1997 9,735 10,029 10,032 10,033 03/31/1997 9,651 9,927 9,928 9,896 04/30/1997 9,698 9,978 9,977 9,956 05/31/1997 9,750 10,028 10,027 10,010 06/30/1997 9,726 9,997 9,996 9,978 07/31/1997 9,841 10,110 10,108 10,072 08/31/1997 9,858 10,121 10,124 10,103 09/30/1997 9,874 10,131 10,142 10,123 10/31/1997 9,995 10,249 10,263 10,227 11/30/1997 10,044 10,293 10,309 10,284 12/31/1997 9,989 10,230 10,249 10,241 01/31/1998 10,044 10,280 10,301 10,291 02/28/1998 10,030 10,260 10,282 10,282 03/31/1998 10,047 10,274 10,298 10,277 04/30/1998 10,097 10,318 10,344 10,315 05/31/1998 10,135 10,350 10,379 10,388 06/30/1998 10,167 10,376 10,407 10,414 07/31/1998 10,242 10,446 10,479 10,463 08/31/1998 10,246 10,444 10,479 10,486 09/30/1998 10,481 10,676 10,715 10,697 10/31/1998 10,533 10,722 10,763 10,721 11/30/1998 10,514 10,697 10,739 10,710 12/31/1998 10,466 10,640 10,685 10,646 01/31/1999 10,617 10,787 10,834 10,769 02/28/1999 10,589 10,752 10,802 10,693 03/31/1999 10,649 10,806 10,859 10,689 04/30/1999 10,822 10,973 11,029 10,760 05/31/1999 10,897 11,043 11,101 10,834 06/30/1999 10,879 11,018 11,079 10,841 07/31/1999 10,894 11,029 11,090 10,835 08/31/1999 10,947 11,075 11,139 10,854 09/30/1999 10,989 11,111 11,178 10,896 10/31/1999 11,007 11,122 11,191 10,918 11/30/1999 11,088 11,198 11,269 10,984 12/31/1999 11,021 11,122 11,195 10,896 01/31/2000 11,084 11,178 11,254 10,945 02/29/2000 11,161 11,250 11,329 11,047 03/31/2000 11,494 11,578 11,662 11,369 04/30/2000 11,636 11,715 11,802 11,520 05/31/2000 11,600 11,672 11,760 11,490 06/30/2000 11,751 11,816 11,909 11,635 07/31/2000 11,840 11,899 11,994 11,734 08/31/2000 11,949 12,000 12,099 11,821 09/30/2000 12,044 11,795 12,189 11,883
*Past performance is no guarantee of future results. The adjusted returns above include the effect of applicable sales charges. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. See page 28 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1-5 years 0% -------------------------------------------------------------------------------- 5-10 years 73% -------------------------------------------------------------------------------- 10-20 years 5% -------------------------------------------------------------------------------- 20-30 years 22% -------------------------------------------------------------------------------- Duration: 2.0 years -------------------------------------------------------------------------------- Sector Breakdown -------------------------------------------------------------------------------- U.S. Treasury Obligations 62.4% -------------------------------------------------------------------------------- Corporate Bonds & Notes 24.3% -------------------------------------------------------------------------------- Short-Term Instruments 6.7% -------------------------------------------------------------------------------- Other 6.6% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 68.5% -------------------------------------------------------------------------------- AA 5.3% -------------------------------------------------------------------------------- A 12.2% -------------------------------------------------------------------------------- BBB 10.9% -------------------------------------------------------------------------------- BB 2.6% -------------------------------------------------------------------------------- B 0.5% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class A shares returned 4.78%, outperforming the Lipper Average, which returned 3.63%, and the benchmark, the Lehman Inflation-Linked Index, which returned 4.52%. Looking longer term, the Fund outperformed both the Lipper Average and the benchmark over the 1-, 3-year and since inception periods ended September 30, 2000. The Federal Reserve lifted short-term interest rates by 50 basis points at their May meeting, bringing its total tightening tally for this cycle to six, as concern remained that inflationary pressures were building. Supporting the concern, oil prices surged to their highest level in a decade. But the cumulative impact of 175 basis points of tightening began to slow the economy, as signs emerged that consumer and investment spending was slowing and that the housing sector was cooling. In this environment, Treasury Inflation Protected Securities performed well as investors looked for a hedge against higher prices. The Fund's continued concentration in Treasury Inflation Protection Securities (TIPS) boosted returns over the past six months as these securities outperformed other bonds due to mounting inflation fears. A modest above benchmark duration improved results as real yield fell across short and intermediate maturities. An overweighting in intermediate real return bonds enhanced returns as these yields dropped while long-term real yields rose. Looking ahead, we expect growth will continue to moderate worldwide. We also expect inflation to creep higher in the face of continued wage pressures and escalating energy costs. More Fed tightening is unlikely now that U.S. growth is slowing, but the central bank will also refrain from easing to avoid igniting inflation. As a result, real return bonds continue to remain attractive, as they will benefit from slower growth and higher inflation adjustments. We anticipate continuing to emphasize TIPS as their real yield ranks highly among entire fixed income market. The effective duration of the Fund will be targeted modestly above the benchmark, and intermediate maturities may be slightly overweighted to take advantage of higher real yields and inflation adjustments. 22 PIMCO Short-Term Fund September 30, 2000 OBJECTIVE: Maximum current income, consistent with preservation of capital and daily liquidity. PORTFOLIO: Primarily short-term investment grade bonds. DURATION RANGE: 0-1 year FUND INCEPTION DATE: 10/07/87 TOTAL NET ASSETS: $690.9 million PORTFOLIO MANAGER: Paul McCulley -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00
A Shares B Shares C Shares Lipper Ultra- Salomon Short Oblig. 3 Mo. T Bill Adjusted Adjusted Adjusted Fund Avg. Index --------------------------------------------------------------------------------------------- 1 year 6.12% 4.00% 5.34% 0.34% 4.80% 6.02% 5.62% 5 years 6.02% 5.59% 5.27% 4.94% 5.71% 5.61% 5.21% 10 years 5.47% 5.26% 4.93% 4.93% 5.16% 5.47% 4.89% Inception 6.01% 5.85% 5.58% 5.58% 5.70% -- --
Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO PIMCO PIMCO Salomon Short-Term Short-Term Short-Term 3-Month Treasury A B C Bill Index -------------------------------------------------------------------------------- 10/31/1987 9,800 10,000 10,000 10,000 11/30/1987 9,855 10,049 10,053 10,051 12/31/1987 9,912 10,100 10,108 10,099 01/31/1988 9,976 10,160 10,172 10,148 02/29/1988 10,015 10,193 10,209 10,194 03/31/1988 10,067 10,240 10,260 10,244 04/30/1988 10,120 10,287 10,311 10,294 05/31/1988 10,173 10,336 10,364 10,347 06/30/1988 10,228 10,385 10,416 10,401 07/31/1988 10,277 10,429 10,464 10,460 08/31/1988 10,340 10,486 10,526 10,520 09/30/1988 10,405 10,546 10,589 10,583 10/31/1988 10,494 10,628 10,676 10,648 11/30/1988 10,561 10,690 10,742 10,715 12/31/1988 10,620 10,743 10,799 10,785 01/31/1989 10,693 10,811 10,871 10,858 02/28/1989 10,766 10,878 10,943 10,934 03/31/1989 10,858 10,963 11,033 11,013 04/30/1989 10,937 11,036 11,111 11,095 05/31/1989 11,033 11,127 11,207 11,179 06/30/1989 11,114 11,201 11,285 11,257 07/31/1989 11,205 11,286 11,374 11,336 08/31/1989 11,262 11,335 11,429 11,413 09/30/1989 11,336 11,403 11,502 11,487 10/31/1989 11,439 11,500 11,603 11,565 11/30/1989 11,513 11,567 11,675 11,640 12/31/1989 11,576 11,623 11,737 11,717 01/31/1990 11,629 11,670 11,789 11,794 02/28/1990 11,698 11,732 11,855 11,865 03/31/1990 11,773 11,800 11,927 11,945 04/30/1990 11,819 11,839 11,970 12,022 05/31/1990 11,927 11,941 12,078 12,104 06/30/1990 12,002 12,009 12,150 12,183 07/31/1990 12,083 12,082 12,228 12,263 08/31/1990 12,144 12,136 12,288 12,343 09/30/1990 12,223 12,207 12,364 12,418 10/31/1990 12,314 12,288 12,452 12,495 11/30/1990 12,410 12,377 12,545 12,569 12/31/1990 12,507 12,466 12,641 12,650 01/31/1991 12,594 12,545 12,725 12,723 02/28/1991 12,660 12,604 12,789 12,785 03/31/1991 12,715 12,651 12,842 12,851 04/30/1991 12,792 12,720 12,915 12,913 05/31/1991 12,861 12,781 12,982 12,975 06/30/1991 12,906 12,818 13,025 13,035 07/31/1991 12,979 12,883 13,096 13,097 08/31/1991 13,060 12,955 13,174 13,159 09/30/1991 13,129 13,016 13,239 13,217 10/31/1991 13,203 13,081 13,311 13,275 11/30/1991 13,233 13,104 13,339 13,328 12/31/1991 13,285 13,147 13,388 13,377 01/31/1992 13,332 13,186 13,432 13,424 02/29/1992 13,358 13,203 13,454 13,466 03/31/1992 13,380 13,218 13,474 13,512 04/30/1992 13,434 13,263 13,525 13,555 05/31/1992 13,473 13,293 13,562 13,600 06/30/1992 13,524 13,336 13,611 13,640 07/31/1992 13,578 13,380 13,661 13,681 08/31/1992 13,611 13,404 13,690 13,720 09/30/1992 13,645 13,430 13,720 13,754 10/31/1992 13,657 13,434 13,729 13,788 11/30/1992 13,672 13,440 13,740 13,823 12/31/1992 13,710 13,470 13,775 13,860 01/31/1993 13,754 13,505 13,816 13,897 02/28/1993 13,789 13,531 13,848 13,929 03/31/1993 13,851 13,582 13,906 13,964 04/30/1993 13,896 13,619 13,949 13,998 05/31/1993 13,949 13,662 13,999 14,033 06/30/1993 14,004 13,706 14,050 14,068 07/31/1993 14,053 13,746 14,095 14,104 08/31/1993 14,088 13,772 14,126 14,141 09/30/1993 14,122 13,797 14,157 14,176 10/31/1993 14,170 13,835 14,201 14,213 11/30/1993 14,221 13,877 14,249 14,249 12/31/1993 14,286 13,932 14,310 14,286 01/31/1994 14,309 13,946 14,330 14,323 02/28/1994 14,323 13,953 14,342 14,357 03/31/1994 14,299 13,920 14,313 14,398 04/30/1994 14,320 13,932 14,332 14,441 05/31/1994 14,329 13,931 14,336 14,488 06/30/1994 14,393 13,985 14,398 14,538 07/31/1994 14,460 14,041 14,461 14,590 08/31/1994 14,515 14,086 14,513 14,644 09/30/1994 14,529 14,092 14,525 14,698 10/31/1994 14,565 14,127 14,558 14,758 11/30/1994 14,576 14,137 14,565 14,820 12/31/1994 14,637 14,196 14,624 14,889 01/31/1995 14,708 14,266 14,691 14,957 02/28/1995 14,842 14,395 14,822 15,023 03/31/1995 14,873 14,426 14,848 15,097 04/30/1995 15,031 14,579 15,003 15,169 05/31/1995 15,181 14,724 15,148 15,243 06/30/1995 15,230 14,771 15,194 15,315 07/31/1995 15,321 14,860 15,280 15,388 08/31/1995 15,390 14,927 15,346 15,461 09/30/1995 15,533 15,066 15,484 15,530 10/31/1995 15,644 15,173 15,589 15,602 11/30/1995 15,788 15,312 15,728 15,670 12/31/1995 15,920 15,441 15,857 15,743 01/31/1996 15,995 15,514 15,927 15,813 02/29/1996 16,022 15,540 15,951 15,878 03/31/1996 16,072 15,588 15,997 15,945 04/30/1996 16,146 15,660 16,067 16,010 05/31/1996 16,228 15,740 16,146 16,079 06/30/1996 16,316 15,825 16,230 16,147 07/31/1996 16,362 15,869 16,271 16,216 08/31/1996 16,463 15,967 16,368 16,287 09/30/1996 16,619 16,119 16,521 16,357 10/31/1996 16,751 16,246 16,648 16,429 11/30/1996 16,900 16,391 16,793 16,498 12/31/1996 16,964 16,453 16,851 16,569 01/31/1997 17,064 16,550 16,946 16,641 02/28/1997 17,138 16,622 17,015 16,706 03/31/1997 17,144 16,628 17,020 16,779 04/30/1997 17,240 16,721 17,112 16,851 05/31/1997 17,363 16,840 17,230 16,925 06/30/1997 17,477 16,951 17,337 16,996 07/31/1997 17,612 17,082 17,467 17,070 08/31/1997 17,663 17,131 17,514 17,143 09/30/1997 17,780 17,244 17,626 17,215 10/31/1997 17,819 17,282 17,662 17,291 11/30/1997 17,895 17,357 17,736 17,363 12/31/1997 17,994 17,452 17,828 17,438 01/31/1998 18,098 17,553 17,928 17,515 02/28/1998 18,160 17,613 17,985 17,585 03/31/1998 18,280 17,729 18,100 17,662 04/30/1998 18,362 17,809 18,178 17,736 05/31/1998 18,443 17,887 18,255 17,813 06/30/1998 18,505 17,948 18,311 17,886 07/31/1998 18,614 18,054 18,414 17,961 08/31/1998 18,620 18,059 18,416 18,038 09/30/1998 18,743 18,179 18,532 18,112 10/31/1998 18,812 18,246 18,595 18,184 11/30/1998 18,874 18,306 18,652 18,252 12/31/1998 18,952 18,381 18,725 18,319 01/31/1999 19,024 18,451 18,792 18,387 02/28/1999 19,100 18,525 18,862 18,449 03/31/1999 19,234 18,654 18,990 18,520 04/30/1999 19,320 18,738 19,072 18,588 05/31/1999 19,322 18,740 19,070 18,659 06/30/1999 19,388 18,804 19,131 18,728 07/31/1999 19,454 18,868 19,190 18,801 08/31/1999 19,516 18,928 19,246 18,876 09/30/1999 19,602 19,012 19,325 18,950 10/31/1999 19,694 19,101 19,410 19,027 11/30/1999 19,786 19,191 19,495 19,103 12/31/1999 19,864 19,266 19,567 19,186 01/31/2000 19,917 19,318 19,620 19,270 02/29/2000 20,021 19,418 19,712 19,353 03/31/2000 20,149 19,542 19,833 19,444 04/30/2000 20,221 19,613 19,900 19,535 05/31/2000 20,329 19,717 20,002 19,631 06/30/2000 20,453 19,837 20,118 19,723 07/31/2000 20,557 19,938 20,216 19,818 08/31/2000 20,684 20,062 20,335 19,916 09/30/2000 20,802 20,176 20,447 20,016 *Past performance is no guarantee of future results. The adjusted returns above include the effect of applicable sales charges. Excluding the 1-year returns, these returns represent the blended performance of the Fund's retail class shares (for the period from 1/17/97) and the prior performance of the Fund's institutional class shares, adjusted for retail class fees and expenses. Retail class shares were first offered in January 1997. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. See page 28 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 80% -------------------------------------------------------------------------------- 1-5 years 18% -------------------------------------------------------------------------------- 5-10 years 1% -------------------------------------------------------------------------------- 10-20 years 1% -------------------------------------------------------------------------------- Duration: 0.4 years -------------------------------------------------------------------------------- Sector Breakdown -------------------------------------------------------------------------------- Corporate Bonds & Notes 51.9% -------------------------------------------------------------------------------- Mortgage-Backed Securities 18.7% -------------------------------------------------------------------------------- U.S. Government Agencies 8.3% -------------------------------------------------------------------------------- Asset-Backed Securities 8.2% -------------------------------------------------------------------------------- Short-Term Instruments 6.4% -------------------------------------------------------------------------------- Other 6.5% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 39.8% -------------------------------------------------------------------------------- AA 11.0% -------------------------------------------------------------------------------- A 16.6% -------------------------------------------------------------------------------- BBB 29.3% -------------------------------------------------------------------------------- BB 2.9% -------------------------------------------------------------------------------- B 0.4% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class A shares returned 3.25%, outperforming the Salomon 3-Month Treasury Bill Index, which returned 2.94%. The Fund, however, slightly underperformed the Lipper Ultra-Short Obligations Fund Average, which returned 3.32%. Over the past six months, the Federal Reserve (Fed) discontinued its tightening policy as evidence surfaced that the U.S. economy was slowing. Intermediate rates fell, causing the long end of the yield curve to revert to a positive slope, amid optimism that further rate increases are over. Oil prices continued to rise to their highest levels in a decade raising fears about accelerating inflation, but the Fed remained on hold due to continued signs of slowing growth. Higher-yielding mortgages, investment-grade corporates and emerging market bonds outperformed Treasuries. The Fund's above-average duration and maturity had a slightly negative impact on returns as short-term Treasury yields rose. An emphasis on mortgages enhanced performance as their attractive yields coupled with good credit quality drove prices up. Investors are becoming more risk adverse preferring higher quality and short-term instruments over higher yielding and lower quality bonds. Recently, our concentration in GNMAs played well with investor demand, as they are U.S. government guaranteed. The Fund's allocation to Treasury Inflation Protection Securities aided returns as these bonds outperformed their conventional Treasury counterparts. We believe that growth should moderate worldwide due to recent monetary tightening and higher oil prices. Inflation should creep higher in the face of wage pressures and escalating energy costs. Fed tightening is unlikely now that U.S. growth is slowing, but the central bank should also refrain from easing to avoid igniting inflation in the stock and housing markets. In our opinion, we will focus on quality for superior performance, as credit deterioration should continue amid slower growth. An over-leveraged private sector combined with public budget surpluses should continue to put pressure on lower quality corporate bonds. We are targeting the Funds duration slightly above the benchmark to capture incremental yield from mortgage and high quality corporate issues. We will continue to emphasize mortgages, where credit risk is minimal and yield premiums remain attractive. Within emerging markets, we remain cautious as global growth cools, concentrating on liquid and top-tier credits. Real return bonds are still attractive as moderating growth and a neutral Fed put downward pressure on real yields. Given this outlook, strategies that enhance yield remain key to performance. We expect to continue to favor asset-backed securities, especially AAA/AA issues, which will benefit from Treasury scarcity and strong demand for high quality short-term holdings. 23 PIMCO StocksPLUS Fund September 30, 2000 OBJECTIVE: Total return which exceeds that of the S&P 500. PORTFOLIO: Primarily S&P 500 Index futures and short-term bonds. DURATION RANGE: 0-1 year FUND INCEPTION DATE: 5/14/93 TOTAL NET ASSETS: $1.4 billion PORTFOLIO MANAGER: Bill Gross -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00
A Shares B Shares C Shares Lipper Large-Cap Core S&P 500 Adjusted Adjusted Fund Average Index --------------------------------------------------------------------------------------------- 1 year 12.64% 9.26% 11.78% 7.06% 11.13% 17.80% 13.28% 3 years 15.57% 14.41% 14.72% 14.00% 15.03% 15.85% 16.44% 5 years 21.08% 20.34% 20.19% 19.99% 20.49% 19.84% 21.69% Inception 19.84% 19.35% 18.99% 18.99% 19.25% -- --
Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO PIMCO PIMCO S&P 500 StocksPLUS StocksPLUS StocksPLUS Index A B C ----------------------------------------------------------------------- 05/31/1993 9,700 10,000 10,000 10,000 06/30/1993 9,749 10,043 10,044 10,029 07/31/1993 9,727 10,015 10,016 9,989 08/31/1993 10,094 10,383 10,397 10,368 09/30/1993 9,993 10,276 10,289 10,288 10/31/1993 10,211 10,487 10,501 10,501 11/30/1993 10,092 10,362 10,376 10,401 12/31/1993 10,271 10,544 10,560 10,527 01/31/1994 10,605 10,880 10,899 10,885 02/28/1994 10,275 10,534 10,550 10,589 03/31/1994 9,818 10,052 10,084 10,128 04/30/1994 9,938 10,175 10,198 10,258 05/31/1994 10,120 10,350 10,384 10,426 06/30/1994 9,902 10,126 10,158 10,170 07/31/1994 10,284 10,510 10,546 10,504 08/31/1994 10,750 10,978 11,018 10,935 09/30/1994 10,563 10,784 10,823 10,668 10/31/1994 10,729 10,942 10,983 10,907 11/30/1994 10,397 10,593 10,642 10,510 12/31/1994 10,529 10,729 10,768 10,666 01/31/1995 10,816 11,009 11,061 10,943 02/28/1995 11,299 11,493 11,550 11,369 03/31/1995 11,603 11,800 11,849 11,705 04/30/1995 11,975 12,165 12,228 12,049 05/31/1995 12,513 12,706 12,774 12,531 06/30/1995 12,783 12,969 13,039 12,822 07/31/1995 13,185 13,375 13,448 13,247 08/31/1995 13,270 13,454 13,528 13,280 09/30/1995 13,829 14,006 14,096 13,841 10/31/1995 13,801 13,971 14,061 13,791 11/30/1995 14,461 14,624 14,720 14,397 12/31/1995 14,736 14,892 15,003 14,674 01/31/1996 15,259 15,421 15,522 15,174 02/29/1996 15,296 15,448 15,550 15,314 03/31/1996 15,494 15,638 15,755 15,462 04/30/1996 15,683 15,818 15,938 15,690 05/31/1996 16,039 16,165 16,288 16,094 06/30/1996 16,187 16,304 16,428 16,156 07/31/1996 15,429 15,537 15,655 15,442 08/31/1996 15,750 15,850 15,985 15,768 09/30/1996 16,667 16,760 16,902 16,655 10/31/1996 17,194 17,277 17,426 17,114 11/30/1996 18,466 18,544 18,706 18,408 12/31/1996 18,067 18,134 18,292 18,043 01/31/1997 19,177 19,218 19,402 19,171 02/28/1997 19,303 19,345 19,548 19,321 03/31/1997 18,446 18,461 18,657 18,527 04/30/1997 19,573 19,591 19,797 19,633 05/31/1997 20,812 20,817 21,036 20,828 06/30/1997 21,667 21,667 21,886 21,761 07/31/1997 23,438 23,407 23,661 23,493 08/31/1997 22,170 22,122 22,378 22,177 09/30/1997 23,311 23,261 23,519 23,392 10/31/1997 22,554 22,505 22,755 22,610 11/30/1997 23,474 23,394 23,670 23,657 12/31/1997 23,908 23,810 24,101 24,063 01/31/1998 24,214 24,115 24,409 24,329 02/28/1998 25,842 25,702 26,032 26,084 03/31/1998 27,128 26,971 27,305 27,420 04/30/1998 27,457 27,279 27,617 27,695 05/31/1998 26,897 26,701 27,053 27,219 06/30/1998 27,943 27,723 28,097 28,325 07/31/1998 27,633 27,393 27,763 28,023 08/31/1998 23,394 23,188 23,513 23,972 09/30/1998 25,186 24,932 25,288 25,507 10/31/1998 27,178 26,912 27,273 27,582 11/30/1998 28,722 28,408 28,806 29,254 12/31/1998 30,537 30,167 30,623 30,940 01/31/1999 31,560 31,159 31,631 32,233 02/28/1999 30,493 30,100 30,558 31,232 03/31/1999 31,765 31,340 31,808 32,481 04/30/1999 33,013 32,556 33,062 33,739 05/31/1999 32,145 31,670 32,166 32,943 06/30/1999 34,003 33,479 34,015 34,771 07/31/1999 32,881 32,344 32,865 33,685 08/31/1999 32,700 32,143 32,685 33,519 09/30/1999 31,954 31,407 31,939 32,600 10/31/1999 33,990 33,398 33,958 34,663 11/30/1999 34,534 33,889 34,481 35,367 12/31/1999 36,488 35,807 36,422 37,451 01/31/2000 34,620 33,935 34,525 35,570 02/29/2000 34,066 33,361 33,972 34,896 03/31/2000 37,248 36,470 37,115 38,310 04/30/2000 36,082 35,322 35,949 37,157 05/31/2000 35,339 34,537 35,180 36,394 06/30/2000 36,187 35,370 36,042 37,292 07/31/2000 35,706 34,899 35,534 36,708 08/31/2000 38,084 37,224 37,882 38,988 09/30/2000 35,989 35,176 35,795 36,930 *Past performance is no guarantee of future results. The adjusted returns above include the effect of applicable sales charges. Excluding the 1-year returns, these returns represent the blended performance of the Fund's retail class shares (for the period from 1/17/97) and the prior performance of the Fund's institutional class shares, adjusted for retail class fees and expenses. Retail class shares were first offered in January 1997. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. See page 28 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1-5 years 93% -------------------------------------------------------------------------------- 5-10 years 7% -------------------------------------------------------------------------------- Duration: 0.1 years -------------------------------------------------------------------------------- Sector Breakdown -------------------------------------------------------------------------------- Corporate Bonds & Notes 42.6% -------------------------------------------------------------------------------- Mortgage-Backed Securities 21.7% -------------------------------------------------------------------------------- Short-Term Instruments 8.7% -------------------------------------------------------------------------------- U.S. Treasury Obligations 8.3% -------------------------------------------------------------------------------- Asset-Backed Securities 7.4% -------------------------------------------------------------------------------- Sovereign Issues 5.8% -------------------------------------------------------------------------------- Other 5.5% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 39.7% -------------------------------------------------------------------------------- AA 6.2% -------------------------------------------------------------------------------- A 13.8% -------------------------------------------------------------------------------- BBB 30.9% -------------------------------------------------------------------------------- BB 4.8% -------------------------------------------------------------------------------- B 4.6% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- StocksPLUS is an enhanced index stock fund that seeks total return in excess of the Standard & Poor's 500 Index (S&P 500) through investment in S&P 500 futures. These futures are purchased with a small percentage of the Fund's assets, freeing the remaining assets for investment in an actively managed portfolio of short-term, investment grade bonds that can add incremental return beyond that of the S&P 500. For the six-month period ended September 30, 2000, the Fund's Class A shares returned -3.38%, outperforming the S&P 500, which returned -3.60%. The Fund performed in line with its Lipper Average. Longer term, the Fund has outperformed the Lipper Average over the 5-year and since inception periods ended September 30, 2000. Since inception the Fund has met its objective of outperforming the S&P 500. Over the past six months intermediate maturity Treasuries rallied as yields on two-, five- and 10-year notes fell from their earlier levels. As a result, the long-portion of the yield curve reverted to a positive slope for the first time since mid-January. This disinversion came amid shifting market sentiment about the economy, Federal reserve policy and the U.S. budget surplus. Earlier in the period the Fed concluded their tightening policy with their sixth interest rate increase, but have recently left the fed funds rate unchanged as signs of a cooling economy increased. Investment grade corporate holdings boosted returns as credit premiums narrowed. Mortgage-backed securities also added to the Fund's outperformance due to relatively high yields and low market volatility. A small position within emerging market bonds helped returns as stronger economies and debt restructuring brought dividend yields lower. We believe global growth will moderate in response to recent monetary tightening by central banks in the U.S., Europe and Japan and the highest oil prices in a decade. We expect inflation to rise as these increased energy prices filter through economies worldwide. The Feds' recent tightening cycle is likely over not that economic growth is cooling, and despite this slowdown, they will remain on the sidelines instead of moving to an easing trend. Given this outlook, strategies that enhance yield remain key to performance. We will look to extend duration as near term risks tilt toward slower-than-expected growth and lower rates. Our emphasis will remain on mortgage-backed securities because of superior credit quality and relatively higher yields, but we will selectively take advantage of wide yield premiums on short-maturity, higher-rated corporate issues. 24 PIMCO Strategic Balanced Fund September 30, 2000 OBJECTIVE: Maximum total return. PORTFOLIO: S&P 500 Index futures and short- and intermediate-term investment grade bonds. DURATION RANGE: 0-6 years FUND INCEPTION DATE: 6/28/96 TOTAL NET ASSETS: $80.6 million PORTFOLIO MANAGER: Bill Gross -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00
A Shares B Shares C Shares Lipper Bal. 60% S&P 500 S&P 500 Adjusted Adjusted Adjusted Fund Avg. 40% LBAG Index ------------------------------------------------------------------------------------------------ 1 year 8.30% 3.43% 7.39% 2.53% 6.46% 11.31% 11.05% 13.28% 3 years 10.67% 8.98% 9.85% 9.02% 9.81% 8.96% 12.53% 16.44% Inception 14.75% 13.52% 13.91% 13.60% 13.87% -- -- --
Change in Value $10,000 invested at the Fund's inception [GRAPH]
PIMCO PIMCO PIMCO 60% S&P 500 S&P 500 Strategic Balanced Strategic Balanced Strategic Balanced 40% Lehman Brothers Index A B C Aggregate Bond Index -------------------------------------------------------------------------------------------------------------- 06/30/1996 9,550 10,000 10,000 10,000 10,000 07/31/1996 9,289 9,720 9,720 9,746 9,558 08/31/1996 9,430 9,860 9,860 9,863 9,760 09/30/1996 9,875 10,319 10,319 10,264 10,309 10/31/1996 10,148 10,598 10,598 10,525 10,593 11/30/1996 10,707 11,176 11,176 11,075 11,394 12/31/1996 10,506 10,959 10,959 10,902 11,168 01/31/1997 10,944 11,409 11,409 11,324 11,866 02/28/1997 11,002 11,463 11,463 11,388 11,959 03/31/1997 10,648 11,087 11,087 11,057 11,468 04/30/1997 11,129 11,581 11,581 11,520 12,152 05/31/1997 11,589 12,053 12,053 11,984 12,892 06/30/1997 11,939 12,410 12,410 12,363 13,470 07/31/1997 12,666 13,157 13,157 13,086 14,542 08/31/1997 12,212 12,678 12,678 12,602 13,727 09/30/1997 12,657 13,130 13,130 13,090 14,479 10/31/1997 12,473 12,932 12,932 12,904 13,995 11/30/1997 12,795 13,258 13,258 13,286 14,643 12/31/1997 12,995 13,457 13,457 13,477 14,895 01/31/1998 13,169 13,628 13,628 13,635 15,059 02/28/1998 13,688 14,158 14,158 14,221 16,145 03/31/1998 14,150 14,626 14,626 14,678 16,972 04/30/1998 14,269 14,740 14,740 14,797 17,143 05/31/1998 14,118 14,575 14,575 14,700 16,848 06/30/1998 14,522 14,983 14,983 15,109 17,533 07/31/1998 14,438 14,888 14,888 15,025 17,346 08/31/1998 13,075 13,473 13,473 13,819 14,838 09/30/1998 13,840 14,253 14,253 14,480 15,789 10/31/1998 14,458 14,882 14,882 15,156 17,073 11/30/1998 14,918 15,346 15,346 15,742 18,108 12/31/1998 15,486 15,922 15,922 16,305 19,151 01/31/1999 15,852 16,288 16,288 16,760 19,952 02/28/1999 15,340 15,754 15,754 16,331 19,332 03/31/1999 15,834 16,250 16,250 16,759 20,105 04/30/1999 16,214 16,630 16,630 17,170 20,884 05/31/1999 15,873 16,271 16,271 16,866 20,391 06/30/1999 16,465 16,871 16,871 17,406 21,522 07/31/1999 16,103 16,487 16,461 17,051 20,851 08/31/1999 16,040 16,422 16,397 16,996 20,747 09/30/1999 15,840 16,215 16,189 16,796 20,179 10/31/1999 16,472 16,850 16,824 17,459 21,456 11/30/1999 16,623 16,991 16,967 17,671 21,892 12/31/1999 17,165 17,543 17,518 18,261 23,181 01/31/2000 16,424 16,771 16,745 17,687 22,017 02/29/2000 16,289 16,634 16,608 17,572 21,600 03/31/2000 17,314 17,650 17,628 18,696 23,713 04/30/2000 16,919 17,248 17,212 18,337 22,999 05/31/2000 16,811 17,110 17,086 18,108 22,527 06/30/2000 17,046 17,363 17,325 18,526 23,083 07/31/2000 16,990 17,292 17,268 18,420 22,722 08/31/2000 17,785 18,060 18,037 19,213 24,133 09/30/2000 17,155 17,208 17,393 18,653 22,859
*Past performance is no guarantee of future results. The adjusted returns above include the effect of applicable sales charges. Excluding the 1-year returns, these returns represent the blended performance of the Fund's retail class shares (for the period from 1/17/97) and the prior performance of the Fund's institutional class shares, adjusted for retail class fees and expenses. Retail class shares were first offered in January 1997. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. See page 28 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- PIMCO Funds -------------------------------------------------------------------------------- StocksPlus 55.9% -------------------------------------------------------------------------------- Total Return 40.0% -------------------------------------------------------------------------------- Short-Term Instruments 4.1% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- Strategic Balanced Fund is designed to provide broad exposure to both stocks and bonds using PIMCO's unique StocksPLUS and Total Return investment strategies. The equity portion of the portfolio gains broad-based stock market exposure using S&P 500 Index futures, which is backed by an actively managed portfolio of short-term bonds. The fixed-income portion of the portfolio invests primarily in intermediate-term, investment-grade bonds, focusing on both income and capital appreciation. For the six-month period ended September 30, 2000, the Fund's Class A shares returned -.91%, slightly underperforming the Lipper Balanced Fund Average, which returned -.50%. However, the Fund has outperformed the Lipper Average over the 3-year and since inception periods ended September 30, 2000. Asset allocation at the end of the quarter leaned modestly toward stocks, with a 65% weight for stocks and 35% for bonds. Over the past six months intermediate maturity Treasuries rallied as yields on two-, five- and 10-year notes fell from their earlier levels. As a result, the long-portion of the yield curve reverted to a positive slope for the first time since mid-January. This disinversion came amid shifting market sentiment about the economy, Federal reserve policy and the U.S. budget surplus. An overweight fixed income allocation improved performance relative to the benchmark as the Lehman Aggregate Index returned 4.81% as compared to -3.60% for the S&P 500 index over the past six months. The equity allocation performed in line with the S&P 500 Index mainly due to the solid performance of mortgage-backed securities (which are held as part of cash backing the S&P 500 futures). The fixed-income portion performed in line with its index as well due to an above-benchmark duration that had a positive effect in a falling interest rate environment. We believe global growth will moderate in response to recent monetary tightening by central banks in the U.S., Europe and Japan and the highest oil prices in a decade. We expect inflation to rise as these increased energy prices filter through economies worldwide. The Feds' recent tightening cycle is likely over not that economic growth is cooling, and despite this slowdown, they will remain on the sidelines instead of moving to an easing trend. Looking ahead, we expect to move to a neutral 60% equity/40% bond mix in light of stock market volatility and the potential for reduced corporate profits in a slowing economy. On the equity side, we will continue to emphasize mortgages in cash backing strategies because of superior credit quality and higher yields. On the fixed-income side, we will extend duration .25 years above the benchmark as risks tilt toward slower-than-expected growth and lower interest rates. 25 PIMCO Total Return Fund September 30, 2000 OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily an intermediate-term portfolio of investment grade bonds. DURATION RANGE: 3-6 years FUND INCEPTION DATE: 5/11/87 TOTAL NET ASSETS: $35.5 billion PORTFOLIO MANAGER: Bill Gross -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00
A Shares B Shares C Shares Lipper Inter. Lehman Bros. Inv. Grade Debt Agg. Bond Adjusted Adjusted Adjusted Fund Avg. Index ----------------------------------------------------------------------------------------------- 1 year 6.62% 1.82% 5.82% 0.82% 4.82% 5.75% 6.99% 5 years 6.86% 5.88% 6.07% 5.76% 6.08% 5.54% 6.47% 10 years 8.82% 8.32% 8.28% 8.28% 8.04% 7.58% 8.05% Inception 8.58% 8.21% 8.16% 8.16% 7.79% -- --
Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO PIMCO PIMCO Lehman Brothers Total Return Total Return Total Return Aggregate Bond A B C Index ---------------------------------------------------------------------------- 05/31/1987 9,550 10,000 10,000 10,000 06/30/1987 9,668 10,117 10,117 10,138 07/31/1987 9,641 10,082 10,082 10,130 08/31/1987 9,615 10,048 10,048 10,076 09/30/1987 9,371 9,787 9,787 9,861 10/31/1987 9,666 10,089 10,089 10,212 11/30/1987 9,733 10,152 10,152 10,294 12/31/1987 9,818 10,233 10,233 10,434 01/31/1988 10,215 10,642 10,642 10,801 02/29/1988 10,329 10,753 10,753 10,929 03/31/1988 10,233 10,646 10,646 10,827 04/30/1988 10,176 10,581 10,581 10,768 05/31/1988 10,122 10,518 10,518 10,696 06/30/1988 10,360 10,759 10,759 10,954 07/31/1988 10,343 10,735 10,735 10,897 08/31/1988 10,388 10,775 10,775 10,925 09/30/1988 10,581 10,969 10,969 11,172 10/31/1988 10,744 11,132 11,132 11,383 11/30/1988 10,644 11,021 11,021 11,244 12/31/1988 10,688 11,059 11,059 11,257 01/31/1989 10,816 11,184 11,184 11,419 02/28/1989 10,744 11,102 11,102 11,336 03/31/1989 10,790 11,143 11,143 11,385 04/30/1989 11,027 11,382 11,382 11,624 05/31/1989 11,291 11,647 11,647 11,929 06/30/1989 11,667 12,028 12,028 12,292 07/31/1989 11,910 12,271 12,271 12,554 08/31/1989 11,700 12,047 12,047 12,368 09/30/1989 11,754 12,096 12,096 12,431 10/31/1989 12,031 12,374 12,374 12,737 11/30/1989 12,132 12,470 12,470 12,858 12/31/1989 12,152 12,483 12,483 12,893 01/31/1990 11,944 12,262 12,262 12,740 02/28/1990 11,971 12,283 12,283 12,781 03/31/1990 11,957 12,261 12,261 12,790 04/30/1990 11,784 12,074 12,074 12,673 05/31/1990 12,165 12,457 12,457 13,048 06/30/1990 12,366 12,655 12,655 13,258 07/31/1990 12,563 12,847 12,847 13,441 08/31/1990 12,361 12,632 12,632 13,261 09/30/1990 12,368 12,632 12,632 13,371 10/31/1990 12,535 12,793 12,793 13,541 11/30/1990 12,846 13,103 13,103 13,832 12/31/1990 13,067 13,320 13,320 14,048 01/31/1991 13,192 13,440 13,440 14,222 02/28/1991 13,372 13,615 13,615 14,343 03/31/1991 13,536 13,774 13,774 14,442 04/30/1991 13,753 13,986 13,986 14,598 05/31/1991 13,850 14,077 14,077 14,684 06/30/1991 13,867 14,086 14,086 14,676 07/31/1991 14,061 14,275 14,275 14,880 08/31/1991 14,436 14,647 14,647 15,202 09/30/1991 14,773 14,980 14,980 15,510 10/31/1991 14,919 15,119 15,119 15,682 11/30/1991 15,043 15,235 15,235 15,826 12/31/1991 15,550 15,740 15,740 16,296 01/31/1992 15,418 15,596 15,596 16,074 02/29/1992 15,547 15,720 15,720 16,179 03/31/1992 15,482 15,644 15,644 16,088 04/30/1992 15,558 15,711 15,711 16,204 05/31/1992 15,874 16,021 16,021 16,510 06/30/1992 16,069 16,210 16,210 16,737 07/31/1992 16,456 16,591 16,591 17,078 08/31/1992 16,591 16,717 16,717 17,251 09/30/1992 16,848 16,966 16,966 17,456 10/31/1992 16,695 16,802 16,802 17,224 11/30/1992 16,703 16,800 16,800 17,228 12/31/1992 16,990 17,079 17,079 17,502 01/31/1993 17,298 17,378 17,378 17,838 02/28/1993 17,677 17,749 17,749 18,150 03/31/1993 17,772 17,836 17,836 18,226 04/30/1993 17,922 17,976 17,976 18,353 05/31/1993 17,957 18,001 18,001 18,376 06/30/1993 18,342 18,375 18,375 18,709 07/31/1993 18,448 18,471 18,471 18,815 08/31/1993 18,861 18,873 18,873 19,145 09/30/1993 18,931 18,934 18,934 19,197 10/31/1993 19,060 19,051 19,051 19,269 11/30/1993 18,886 18,868 18,868 19,105 12/31/1993 19,038 19,008 19,008 19,209 01/31/1994 19,262 19,221 19,221 19,468 02/28/1994 18,912 18,861 18,861 19,130 03/31/1994 18,505 18,444 18,444 18,658 04/30/1994 18,316 18,245 18,245 18,509 05/31/1994 18,223 18,141 18,141 18,507 06/30/1994 18,148 18,067 18,056 18,466 07/31/1994 18,513 18,430 18,408 18,832 08/31/1994 18,559 18,476 18,443 18,856 09/30/1994 18,318 18,236 18,192 18,578 10/31/1994 18,289 18,207 18,152 18,562 11/30/1994 18,283 18,201 18,136 18,521 12/31/1994 18,270 18,189 18,111 18,648 01/31/1995 18,590 18,507 18,417 19,017 02/28/1995 19,019 18,934 18,831 19,470 03/31/1995 19,193 19,107 18,991 19,589 04/30/1995 19,523 19,435 19,306 19,863 05/31/1995 20,134 20,044 19,897 20,631 06/30/1995 20,114 20,024 19,865 20,783 07/31/1995 20,118 20,028 19,857 20,736 08/31/1995 20,419 20,328 20,143 20,986 09/30/1995 20,668 20,576 20,377 21,191 10/31/1995 20,974 20,881 20,666 21,466 11/30/1995 21,421 21,325 21,094 21,788 12/31/1995 21,781 21,684 21,436 22,094 01/31/1996 21,951 21,853 21,590 22,240 02/29/1996 21,409 21,313 21,044 21,854 03/31/1996 21,235 21,140 20,861 21,702 04/30/1996 21,140 21,045 20,754 21,580 05/31/1996 21,074 20,980 20,678 21,536 06/30/1996 21,403 21,307 20,988 21,825 07/31/1996 21,450 21,354 21,021 21,885 08/31/1996 21,424 21,328 20,981 21,848 09/30/1996 21,908 21,810 21,443 22,229 10/31/1996 22,469 22,369 21,979 22,721 11/30/1996 22,993 22,890 22,478 23,111 12/31/1996 22,699 22,597 22,177 22,896 01/31/1997 22,771 22,669 22,241 22,966 02/28/1997 22,814 22,712 22,270 23,023 03/31/1997 22,532 22,431 21,980 22,768 04/30/1997 22,930 22,828 22,354 23,109 05/31/1997 23,157 23,054 22,560 23,327 06/30/1997 23,421 23,317 22,803 23,604 07/31/1997 24,068 23,960 23,417 24,240 08/31/1997 23,851 23,745 23,190 24,034 09/30/1997 24,230 24,122 23,545 24,388 10/31/1997 24,512 24,402 23,801 24,742 11/30/1997 24,614 24,504 23,889 24,856 12/31/1997 24,893 24,781 24,142 25,106 01/31/1998 25,268 25,155 24,493 25,428 02/28/1998 25,190 25,077 24,402 25,408 03/31/1998 25,266 25,153 24,460 25,497 04/30/1998 25,354 25,241 24,534 25,630 05/31/1998 25,641 25,526 24,794 25,873 06/30/1998 25,882 25,766 25,012 26,092 07/31/1998 25,957 25,841 25,070 26,148 08/31/1998 26,359 26,241 25,443 26,573 09/30/1998 27,139 27,018 26,181 27,196 10/31/1998 26,949 26,829 25,979 27,052 11/30/1998 27,041 26,920 26,052 27,205 12/31/1998 27,195 27,073 26,182 27,287 01/31/1999 27,347 27,225 26,316 27,482 02/28/1999 26,833 26,713 25,808 27,002 03/31/1999 27,053 26,932 26,004 27,152 04/30/1999 27,178 27,056 26,106 27,238 05/31/1999 26,873 26,753 25,798 26,999 06/30/1999 26,820 26,700 25,730 26,913 07/31/1999 26,710 26,590 25,607 26,799 08/31/1999 26,723 26,603 25,602 26,785 09/30/1999 27,012 26,891 25,863 27,096 10/31/1999 27,093 26,971 25,925 27,196 11/30/1999 27,147 27,025 25,961 27,194 12/31/1999 26,995 26,874 25,798 27,063 01/31/2000 26,846 26,726 25,640 26,974 02/29/2000 27,166 27,044 25,930 27,300 03/31/2000 27,557 27,434 26,285 27,660 04/30/2000 27,472 27,349 26,188 27,581 05/31/2000 27,458 27,335 26,157 27,568 06/30/2000 28,029 27,904 26,682 28,142 07/31/2000 28,276 28,149 26,901 28,397 08/31/2000 28,711 28,583 27,297 28,809 09/30/2000 28,800 28,671 27,365 28,990 * Past performance is no guarantee of future results. The adjusted returns above include the effect of applicable sales charges. Excluding the 1-year returns, these returns represent the blended performance of the Fund's retail class shares (for the period from 1/17/97) and the prior performance of the Fund's institutional class shares, adjusted for retail class fees and expenses. Retail class shares were first offered in January 1997. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. See page 28 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 1% -------------------------------------------------------------------------------- 1-5 years 32% -------------------------------------------------------------------------------- 5-10 years 40% -------------------------------------------------------------------------------- 10-20 years 16% -------------------------------------------------------------------------------- 20-30 years 10% -------------------------------------------------------------------------------- Over 30 years 1% -------------------------------------------------------------------------------- Duration: 5.2 years -------------------------------------------------------------------------------- Sector Breakdown -------------------------------------------------------------------------------- Mortgage-Backed Securities 48.2% -------------------------------------------------------------------------------- Corporate Bonds & Notes 26.9% -------------------------------------------------------------------------------- U.S. Treasury Obligations 9.0% -------------------------------------------------------------------------------- Short-Term Instruments 5.5% -------------------------------------------------------------------------------- Asset-Backed Securities 5.4% -------------------------------------------------------------------------------- Other 5.0% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 66.7% -------------------------------------------------------------------------------- AA 6.2% -------------------------------------------------------------------------------- A 14.7% -------------------------------------------------------------------------------- BBB 10.4% -------------------------------------------------------------------------------- BB 1.4% -------------------------------------------------------------------------------- B 0.6% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class A shares returned 4.51%, outperforming the Lipper Average, which returned 4.02%. Over the same time period, the Fund slightly underperformed its benchmark, the Lehman Aggregate Bond Index, which returned 4.81%. Looking longer term, the Fund outperformed both the Lipper Average and the benchmark over the five-, ten-year and since inception periods ended September 30, 2000. The Federal Reserve lifted short-term interest rates by 50 basis points at their May meeting, bringing its total tightening tally for this cycle to six, as concern remained that inflationary pressures were building. Supporting the concern, oil prices surged to their highest level in a decade. But the cumulative impact of 175 basis points of tightening began to slow the economy, as signs emerged that consumer and investment spending was slowing and that the housing sector was cooling. During the past six months intermediate maturity Treasury yields fell as optimism grew that the Fed was finished tightening. In general, higher quality bonds outperformed other areas of the bond market, particularly the high yield sector, as concern grew that corporate earnings would slow as the economy cooled. As a result, sector strategies were key to performance. An emphasis on mortgage-backed securities enhanced returns due to relatively attractive yields and lower market volatility. Real return bonds also added modestly to relative performance due to a favorable inflation adjustment. A small position in shorter-term, top tier emerging market bonds, acting as a substitute for high yield bonds, had a positive impact as yield premiums narrowed due to stronger economies and debt restructuring. The Fund's near benchmark duration hurt performance slightly as intermediate maturity yields fell. Looking ahead, we expect growth will continue to moderate worldwide. We also expect inflation to creep higher in the face of continued wage pressures and escalating energy costs. More Fed tightening is unlikely now that U.S. growth is slowing, but the central bank will also refrain from easing to avoid igniting inflation. A focus on quality will continue to be critical for superior performance as credit deterioration continues. Going forward, we anticipate extending duration slightly above the benchmark as near term risks tilt toward slower-than-expected growth and lower interest rates. However, mortgage will continue to be emphasized because of their superior credit quality and relatively high yields. Where possible, we expect to reduce exposure to corporate bonds, which may see price declines as the economy slows. 26 PIMCO Total Return Mortgage Fund September 30, 2000 OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily an intermediate-term portfolio of mortgage-backed securities. DURATION RANGE: 3-6 years FUND INCEPTION DATE: 7/31/97 TOTAL NET ASSETS: $16.3 billion PORTFOLIO MANAGER: W.S. Simon Average Annual Total Return For periods ended 9/30/00
A Shares B Shares C Shares Lipper U.S. Mortgage Fund Lehman Bros. Adjusted Adjusted Adjusted Average Mortgage Index ----------------------------------------------------------------------------------------------------- 1 year 8.01% 3.16% 7.23% 2.23% 6.23% 6.47% 7.42% 3 years 6.41% 4.80% 5.62% 4.72% 5.62% 5.18% 6.07% Inception 6.60% 5.07% 5.81% 4.97% 5.81% -- --
Change in Value $10,000 invested at the Fund's inception [GRAPH]
PIMCO PIMCO PIMCO Lehman Brothers Total Return Mortgage Total Return Mortgage Total Return Mortgage Mortgage Index A B C ----------------------------------------------------------------------------------------------------- 07/31/1997 9,550 10,000 10,000 10,000 08/31/1997 9,557 10,000 10,000 9,976 09/30/1997 9,705 10,149 10,149 10,103 10/31/1997 9,847 10,290 10,290 10,215 11/30/1997 9,890 10,329 10,329 10,248 12/31/1997 10,004 10,442 10,442 10,342 01/31/1998 10,111 10,547 10,547 10,445 02/28/1998 10,127 10,559 10,559 10,467 03/31/1998 10,162 10,588 10,588 10,511 04/30/1998 10,228 10,651 10,651 10,570 05/31/1998 10,314 10,733 10,733 10,641 06/30/1998 10,379 10,794 10,794 10,691 07/31/1998 10,418 10,828 10,828 10,746 08/31/1998 10,541 10,949 10,949 10,843 09/30/1998 10,656 11,063 11,063 10,974 10/31/1998 10,612 11,010 11,010 10,960 11/30/1998 10,656 11,049 11,049 11,015 12/31/1998 10,684 11,070 11,070 11,061 01/31/1999 10,747 11,128 11,128 11,140 02/28/1999 10,688 11,061 11,061 11,096 03/31/1999 10,755 11,124 11,124 11,170 04/30/1999 10,806 11,170 11,170 11,222 05/31/1999 10,744 11,099 11,099 11,159 06/30/1999 10,730 11,078 11,078 11,120 07/31/1999 10,688 11,028 11,028 11,045 08/31/1999 10,680 11,013 11,013 11,044 09/30/1999 10,824 11,155 11,155 11,223 10/31/1999 10,874 11,200 11,200 11,288 11/30/1999 10,924 11,244 11,244 11,294 12/31/1999 10,899 11,211 11,211 11,267 01/31/2000 10,825 11,128 11,128 11,169 02/29/2000 10,986 11,287 11,287 11,298 03/31/2000 11,131 11,428 11,428 11,422 04/30/2000 11,090 11,379 11,379 11,430 05/31/2000 11,082 11,363 11,363 11,435 06/30/2000 11,286 11,565 11,565 11,680 07/31/2000 11,394 11,669 11,669 11,755 08/31/2000 11,578 11,851 11,851 11,933 09/30/2000 11,691 11,660 11,960 12,056
*Past performance is no guarantee of future results. The adjusted returns above include the effect of applicable sales charges. Excluding the 1-year returns, these returns represent the blended performance of the Fund's retail class shares (for the period from 8/1/00) and the prior performance of the Fund's institutional class shares, adjusted for retail class fees and expenses. Retail class shares were first offered in January 1997. This Fund concentrates on investments in Mortgage securities, which may entail greater risk than a fully diversified fund. See page 28 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1-5 years 72% -------------------------------------------------------------------------------- 5-10 years 15% -------------------------------------------------------------------------------- 10-20 years 10% -------------------------------------------------------------------------------- 20-30 years 2% -------------------------------------------------------------------------------- Over 30 years 1% -------------------------------------------------------------------------------- Duration: 4.2 years -------------------------------------------------------------------------------- Sector Breakdown -------------------------------------------------------------------------------- Mortgage-Backed Securities 85.0% -------------------------------------------------------------------------------- Short-Term Instruments 12.9% -------------------------------------------------------------------------------- Other 2.1% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 90.4% -------------------------------------------------------------------------------- AA 2.9% -------------------------------------------------------------------------------- BBB 6.7% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class A shares returned 5.04%, outperforming the Lipper Average, which returned 4.76%. Over the same time period, the Fund underperformed its benchmark, the Lehman Mortgage Index, which returned 5.55%. Looking longer term, however, the Fund has outperformed both the Lipper Average and the benchmark over the one-, three-year and since inception periods ended September 30, 2000. The Federal Reserve lifted short-term interest rates by 50 basis points at their May meeting, bringing its total tightening tally for this cycle to six, as concern remained that inflationary pressures were building. Supporting the concern, oil prices surged to their highest level in a decade. But the cumulative impact of 175 basis points of tightening began to slow the economy over the past six months, as signs emerged that consumer spending, capital investment and the housing sector were cooling. Mortgage-backed securities outpaced Treasuries as investors continued to favor securities with superior credit quality, lower market volatility and attractive yield premiums. Conventional mortgages slightly outperformed GNMAs amid profit taking in GNMAs after their superior performance so far this year. The Fund's above-index duration (sensitivity to changes in interest rates) helped performance as intermediate-maturity interest rates fell. Our exposure to GNMA ARMs also enhanced returns as yield spreads of these securities tightened relative to other mortgage securities. The Fund's use of mortgage forward contracts, such as GNMA TBAs, added to returns as the cash backing this exposure was put to work at higher short-term interest rates. Looking ahead, we expect growth will continue to moderate worldwide. We also expect inflation to creep higher in the face of continued wage pressures and escalating energy costs. More Fed tightening is unlikely now that U.S. growth is slowing, but the central bank will also refrain from easing to avoid igniting inflation. A focus on quality will continue to be critical for superior performance as credit deterioration continues. As a result, we expect to keep duration modestly above the benchmark as near term risks tilt toward lower interest rates in general. We hope to increase our concentration in high coupon mortgages as they offer higher yields at lower durations and are cheaper than they have been historically compared to low coupon issues. We intend to maintain exposure to GNMAs, which have better credit quality than conventional mortgages and trade at similar prices. Finally, we expect to continue to buy mortgages that settle in the future, investing the purchase amount at higher short-term interest rates. 27 September 30,2000 -------------------------------------------------------------------------------- FOOTNOTES -------------------------------------------------------------------------------- A few notes and definitions are needed for a complete understanding of the performance figures. Past performance is no guarantee of future results. Investment return will fluctuate, and the value of an investor's shares will fluctuate and may be worth more or less than original cost when redeemed. Total return measures performance, assuming that all dividends and capital gains distributions were reinvested. Total return, both with and without a sales charge, has been presented. For shareholders who have not bought or sold shares during the period quoted, the non-adjusted figures are probably more meaningful than the adjusted figures. The adjusted figures for Class A shares include the effect of paying the maximum initial sales charge of either 4.5% (Long-Term U.S. Government, Foreign Bond, Global Bond II, Emerging Markets Bond, High Yield and Total Return Funds), 3.00% (Real Return Bond, Municipal Bond, Low Duration and StocksPLUS Funds) or 2.00% (Short-Term Fund). The adjusted figures for Class B shares include the effect of paying the contingent deferred sales charge (CDSC), which declines from 5% in the first year to 0% at the beginning of the seventh year. The adjusted figures for Class C shares include the effect of paying the 1% CDSC which may apply to shares redeemed during the first year of ownership. +Yield is calculated in accordance with current Securities and Exchange Commission regulations and is based on the one-month period ended September 30, 2000. Duration is a measurement of a Fund's price sensitivity expressed in years. The credit quality of the investments in the portfolio does not apply to the stability or safety of the fund. Line graphs have been included so an investor can compare a Fund's historical performance to that of an appropriate broad-based index. Each index reflects a group of unmanaged securities, and it is not possible to directly invest in an unmanaged index. 60% S&P 500/40% LBAG is an unmanaged index comprised of 60% of the return of the S&P 500 Index and 40% Lehman Brothers Aggregate Bond Index. Salomon 3-Month T-Bill is an index representing monthly return equivalents of yield averages of the last 3 months Treasury Bill issues. First Boston Convertible bond is an unmanaged market index comprised of convertible bonds. Lipper Balanced Index is the 30 largest equal weighted Balanced Funds as compiled by Lipper, Inc. The J.P. Morgan Global Index (Hedged) is an index of currency-hedged U.S. and foreign government bonds. The J.P. Morgan Non-U.S. Index (Hedged) is an index of currency-hedged foreign government bonds. The J.P. Morgan Emerging Markets Plus Index is an index of emerging-market bonds. The Lehman Municipal Bond (General, CA & N.Y.) Indexes are indexes of municipal bonds. The Lehman BB Intermediate Corporate Index is an index of intermediate-term bonds with a BB rating. The Merrill Lynch 1-3 Year Treasury Index is an index made up of U.S. Treasury issues with maturities from one to three years. The Lehman Inflation-Linked Treasury Index is an index of inflation linked Treasury bonds. The Lehman Aggregate Bond Index is an index of a variety of bonds. The Long-Term Treasury Index is an index of long-term government securities. The Lipper Money Market Index is an index of money market funds. The Standard & Poor's 500 Index is an index of stocks of large-capitalization companies. Lehman Bros. is an index of mortgages. Lipper averages are calculated by Lipper, Inc., a nationally recognized mutual fund performance evaluation firm. They are total-return performance averages of those funds that are tracked by Lipper, with the investment objective noted. They do not take sales charges into account. PIMCO Stocks Funds and PIMCO Bond Funds (excluding Long-Term U.S. Govt. and Municipal Bond) can invest a portion of their assets in foreign securities, which can entail special risks due to foreign economic and political developments. These risks can be enhanced when investing in emerging markets. PIMCO Bond Funds (excluding Long-Term U.S. Govt) can invest in lower-rated bonds, which entail special risks such as less liquidity and possibility of default. An investment in the Money Market Fund is not insured or guaranteed by the Federal Deposit Insurance Company or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund. For additional information on the PIMCO equity funds, contact your financial advisor to receive a prospectus that contains more complete information, including charges and expenses. Or contact PIMCO Funds Distributors LLC at 2187 Atlantic Street, Stamford, CT 06902, www.pimcofunds.com, 1-800-426-0107. Please read the prospectus carefully before you invest or send money. 28 Schedule of Investments California Intermediate Municipal Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 99.9% -------------------------------------------------------------------------------- California 83.3% Anaheim, California Public Financing Authority Revenue Bonds, (AMBAC Insured), Series 1999 4.625% due 10/01/2027 $ 150 $ 152 Antioch, California Public Financing Authority Reassessment Revenue Bonds, Series 1998-B 5.500% due 09/02/2008 495 503 California Educational Facilities Authority Revenue Bonds, Series 1997-A 5.700% due 10/01/2015 135 141 California Health Facilities Financing Authority Revenue Bonds, (AMBAC Insured), Series 1996-B 4.750% due 07/01/2012 (b) 1,100 1,100 California Health Facilities Financing Authority Revenue Bonds, (MBIA Insured), Series 1998 4.750% due 09/01/2028 (b) 2,000 2,000 5.375% due 08/15/2030 1,100 1,070 California Health Facilities Financing Authority Revenue Bonds, Series 1998-B 5.250% due 10/01/2014 3,000 2,907 California Housing Finance Agency Revenue Bonds, (FNMA Insured), Series 1993 4.500% due 07/15/2013 (b) 100 100 California Housing Finance Agency Revenue Bonds, (SPA-Landesbank Hessen Insured), Series 2000-B 4.500% due 02/01/2035 (b) 400 400 California Housing Financial Agency Revenue Bonds, (AMBAC FHA Insured), Series 1996 5.950% due 02/01/20 100 106 California Pollution Control Financing Authority Revenue Bonds, Series 1999-A 4.500% due 08/01/20 150 150 California State Department of Water Resources Central Valley Project Revenue Bonds, Series 1998-U 5.000% due 12/01/2029 2,500 2,272 California State Department Veteran Affairs Home Revenue Bonds, Series 2000-B 4.900% due 12/01/2005 500 505 California State Economic Development Financing Authority Industrial Development Revenue Bonds, (LOC-U.S. Bank Insured), Series 1997 5.150% due 08/01/2027 (b) 780 780 California State General Obligation Bonds, (AMBAC Insured), Series 1991 6.500% due 09/01/2006 2,500 2,781 California State General Obligation Bonds, (FGIC Insured), Series 1997 5.000% due 10/01/2004 325 334 California State General Obligation Bonds, (MBIA Insured), Series 1991 6.600% due 02/01/2011 1,000 1,163 California State General Obligation Bonds, (MBIA Insured), Series 1992 7.500% due 10/01/2007 400 474 California State General Obligation Bonds, Series 1991 6.500% due 09/01/2010 1,730 1,997 California State General Obligation Bonds, Series 1997-BL 5.300% due 12/01/2012 400 411 California State General Obligation Bonds, Series 2000 5.250% due 03/01/2005 100 104 5.500% due 05/01/2011 3,250 3,478 5.250% due 03/01/2013 300 310 4.850% due 01/01/2027 (b) 1,500 1,313 California State Public Works Board Lease Revenue Bonds, Series 1994-A 6.375% due 11/01/2014 500 549 California Statewide Communities Development Authority Apartment Development Revenue Bonds, Series 1998-A-3 5.100% due 05/15/2025 2,000 1,955 California Statewide Communities Development Authority Certificates of Participation, (AMBAC Insured), Series 1995 4.750% due 07/01/2015 (b) 400 400 California Statewide Communities Development Authority Certificates of Participation, Series 1994 6.500% due 07/01/2015 1,000 1,096 Capistrano, California Unified School District Community Facilities District Special Tax Bonds, Series 1997 7.100% due 09/01/2021 2,000 2,290 Capistrano, California Unified School District Community Facilities District Special Tax Bonds, Series 1999 5.700% due 09/01/2020 1,500 1,457 Chico, California Public Financing Authority Revenue Bonds, (FSA Insured), Series 1996 5.200% due 04/01/2011 485 504 Chula Vista, California Special Tax Bonds, Series 2000-1 6.350% due 09/01/2017 230 235 6.400% due 09/01/2018 120 123 Contra Costa County, California Multifamily Mortgage Revenue Bonds, (LOC-Bank of America NT & SA Insured), Series 1987-A 4.400% due 12/01/2017 (b) 1,300 1,300 Corona, California Community Facilities District Special Tax Bonds, Series 1998 5.875% due 09/01/2023 1,000 978 East Bay, California Regional Park District General Obligation Bonds, Series 1998 5.000% due 09/01/2017 2,000 1,960 Evergreen, California School District General Obligation Bonds, (FGIC Insured), Series 2000-C 10.000% due 09/01/2005 465 579 10.000% due 09/01/2006 380 490 Foothill Eastern Transportation Corridor Agency Toll Road Revenue Bonds, (MBIA Insured), Series 1999 5.875% due 01/15/2027 2,500 1,490 Irvine Ranch, California Water District Revenue Bonds, (LOC-Landesbank Hessen-Thrgn Insured), Series 1985 4.750% due 10/01/2010 (b) 1,300 1,300 Irvine, California Improvement Bond Act 1915 Revenue Bonds, (LOC-Societe Generale Insured), Series 1997 4.750% due 09/02/2022 (b) 2,668 2,668 Irvine, California Improvement Bond Act 1915 Special Assessment, (LOC-KBC Bank N.V. Insured), Series 1996-A 4.750% due 09/02/2021 (b) 400 400 See accompanying notes 29 Schedule of Investments (Cont.) California Intermediate Municipal Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ================================================================================ Irvine, California Improvement Bond Act 1915 Special Assessment, (LOC-KBC Bank N.V. Insured), Series 1999 4.750% due 09/02/2024 (b) $ 1,600 $ 1,600 Livermore Valley, California Joint Unified School District General Obligation Bonds, (MBIA Insured), Series 2000 6.500% due 08/01/2003 1,000 1,061 Long Beach, California Harbor Revenue Bonds, (MBIA Insured), Series 1995 6.500% due 05/15/2005 220 238 Long Beach, California Harbor Revenue Bonds, Series 1993 4.700% due 05/15/2004 150 151 Los Angeles County, California Transportation Commission Certificates of Participation, Series 1992-B 6.250% due 07/01/2004 500 525 Los Angeles, California Community Redevelopment Agency Certificates of Participation Revenue Bonds, Series 1984 7.550% due 11/01/2008 415 460 Los Angeles, California Department of Water & Power Electric Plant Revenue Bonds, Series 2000 276 3.480% due 11/15/2010 (b) 200 200 Los Angeles, California Department of Water & Power Waterworks Revenue Bonds, (MBIA Insured), Series 1994 6.375% due 07/01/2034 2,150 2,333 Los Angeles, California State Building Authority Lease Revenue Bonds, Series 1999-A 4.600% due 10/01/2007 150 151 Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 1999-C 4.750% due 07/01/2010 30 31 Los Angeles, California Wastewater System Revenue Bonds, (MBIA Insured), Series 1998-C 4.000% due 06/01/2015 1,770 1,542 Metropolitan Water District Southern California General Obligation Bonds, Series 1993-A1 7.250% due 03/01/2007 150 174 Metropolitan Water District Southern California Revenue Bonds, (SPA-Westdeutsche Landesbank Insured), Series 2000 4.700% due 07/01/2035 (b) 200 200 Metropolitan Water District Southern California Revenue Bonds, Series 1993 6.050% due 10/30/2020 (b) 600 592 Newport Beach, California Revenue Bonds, (SPA-Bank of America NT & SA Insured), Series 1996-A 5.400% due 10/01/2026 (b) 300 300 Newport Beach, California Revenue Bonds, (SPA-Bank of America NT & SA Insured), Series 1996-B 5.350% due 10/01/2026 (b) 100 100 Newport Beach, California Revenue Bonds, (SPA-Bank of America NT & SA Insured), Series 1996-C 5.400% due 10/01/2026 (b) 100 100 Orange County, California Airport Revenue Bonds, (MBIA Insured), Series 1993 5.250% due 07/01/2006 1,565 1,612 Orange County, California Improvement Bond Special Assessment, (LOC-Societe Generale & LOC-KBC Bank N.V. Insured), Series 1988 4.750% due 09/02/2018 (b) 1,900 1,900 Orange County, California Local Transportation Authority Sales Tax Revenue Bonds, (AMBAC-TCRS Insured), Series 1992 6.200% due 02/14/2011 3,250 3,640 Orange County, California Revenue Bonds, (MBIA Insured), Series 1995-A 6.000% due 06/01/2010 1,000 1,114 Orange County, California Sanitation District Certificates of Participation, (LOC-National Westminster Insured), Series 1990 4.750% due 08/01/2015 (b) 3,665 3,665 Orange County, California Water District Certificates of Participation, (LOC-Bayerishe Landesbank Insured), Series 1990 4.500% due 08/15/2015 (b) 700 700 Otay, California Water District Certificates of Participation, (LOC-Landesbank Hessen-Thrgn Insured), Series 1996 4.400% due 09/01/2026 (b) 200 200 Oxnard, California Improvement Bond Act 1915 Special Assessment, Series 1997 5.500% due 09/02/2004 1,215 1,234 Pacific Housing & Finance Agency, California Revenue Bonds, (MBIA Insured), Series 1999 4.625% due 12/01/2004 250 253 Pioneers Memorial Healthcare District, California General Obligation Bonds, (AMBAC Insured), Series 1998 5.125% due 10/01/2024 1,000 949 Port of Oakland, California Revenue Bonds, (FGIC Insured), Series 2000 5.500% due 11/01/2009 500 530 Redding, California Electric System Revenue Certificates of Participation, (FGIC Insured), Series 1993 5.684% due 06/28/2019 500 507 Riverside County, California Asset Leasing Corp. Revenue Bonds, (MBIA Insured), Series 2000 5.200% due 11/01/2010 250 263 Sacramento County, California Sanitation District Financing Authority Revenue Bonds, (LOC-Credit Agricole Indosez Insured), Series 2000 4.500% due 12/01/2030 (b) 1,900 1,900 Sacramento County, California Sanitation District Financing Authority Revenue Bonds, Series 2000-A 4.900% due 12/01/2007 1,000 1,032 5.100% due 12/01/2009 1,000 1,048 5.100% due 12/01/2010 1,000 1,046 Sacramento, California Municipal Utility District Revenue Bonds, Series 1983-M 9.000% due 04/01/2013 960 1,245 San Bernardino County, California Housing Authority Multifamily Housing Revenue Bonds, (LOC-California Federal Bank & LOC-Federal Home Loan Bank Insured), Series 1993 3.250% due 02/01/2023 (b) 400 400 San Francisco, California City & County Airport Commission International Airport Revenue Bonds, (FGIC Insured), Series 1996,-12-A 5.625% due 05/01/2005 400 418 San Francisco, California City & County Airport Commission International Airport Revenue Bonds, (FSA Insured), Series 1998-16A 5.500% due 05/01/2015 300 306 30 See accompanying notes Principal Amount Value (000s) (000s) ================================================================================ San Francisco, California City & County Airport Commission International Airport Revenue Bonds, (MBIA Insured), Series 1996-14A 8.000% due 05/01/2005 $ 500 $ 569 San Francisco, California City & County Public Utilities Commission Revenue Bonds, Series 1992-A 6.400% due 11/01/2007 2,500 2,647 San Jose, California Multifamily Housing Revenue Bonds, (LOC-Bay View Bank N.A. & LOC-Federal Home Loan Bank Insured), Series 1999 4.950% due 06/01/2039 1,000 1,003 San Jose, California Redevelopment Agency Tax Allocation, (MBIA Insured), Series 1993 6.000% due 08/01/2010 600 669 San Pablo, California Redevelopment Agency Revenue Bonds, Series 1979 8.000% due 10/01/2011 145 168 Santa Margarita/Dana Point Authority, California Revenue Bonds, (MBIA Insured), Series 1994-A 7.250% due 08/01/2006 150 172 Santa Rosa, California Multifamily Housing Revenue Bonds, (LOC-U.S. Bank N.A. Insured), Series 1997-A 4.600% due 06/01/2027 (b) 100 100 South Tahoe, California Joint Powers Financing Authority Revenue Bonds, Series 1999-A 7.300% due 10/01/2007 150 154 Stockton, California Certificates of Participation, Series 1999 4.750% due 08/01/2006 120 121 ---------- 83,648 ========== Puerto Rico 12.1% Puerto Rico Commonwealth Aqueduct & Sewer Authority Revenue Bonds, (FSA Surety Bond Insured), Series 1985-A 9.000% due 07/01/2009 3,000 3,459 Puerto Rico Commonwealth General Obligation Bonds, (MBIA Insured), Series 1995 5.200% due 07/01/2006 410 429 Puerto Rico Commonwealth Highway & Transportation Authority Highway Revenue Bonds, Series 1993-X 5.350% due 07/01/2005 5,000 5,137 Puerto Rico Commonwealth Highway & Transportation Authority Revenue Bonds, Series 1993-X 5.200% due 07/01/2003 500 510 Puerto Rico Commonwealth Infrastructure Financing Authority Revenue Bonds, (AMBAC Insured), Series 1998-A 5.250% due 07/01/2010 150 157 Puerto Rico Electric Power Authority Power Revenue Bonds, Series 1995-X 6.125% due 07/01/2021 500 548 Puerto Rico Industrial Tourist Educational, Medical & Environmental Control Facilities Revenue Bonds, Series 2000 5.300% due 11/15/2005 250 255 Puerto Rico Industrial Tourist Environmental Central Facilities Revenue Bonds, Series 2000 5.300% due 11/15/2004 150 153 Puerto Rico Municipal Finance Agency General Obligation Bonds, (FSA Insured), Series 1999-A 5.000% due 08/01/2004 1,000 1,027 Puerto Rico Public Finance Corp. Revenue Bonds, (AMBAC Insured), Series 1998-A 5.000% due 06/01/2007 500 517 ---------- 12,192 ========== Virgin Islands 4.5% Virgin Islands Public Finance Authority Revenue Bonds, Series 1998-C 5.500% due 10/01/2008 3,000 3,015 5.500% due 10/01/2007 1,500 1,508 ---------- 4,523 ---------- Total Municipal Bonds & Notes 100,363 (Cost $97,895) ========== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 0.1% -------------------------------------------------------------------------------- Commercial Paper 0.1% R & T California Money Market 3.710% due 10/02/2000 154 154 ---------- Total Short-Term Instruments 154 (Cost $154) ========== Total Investments (a) 100% $ 100,517 (Cost $98,049) Other Assets and Liabilities (Net) (0.0%) (26) ---------- Net Assets 100.0% $ 100,491 ========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 2,491 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (23) ---------- Unrealized appreciation-net $ 2,468 ========== (b) Variable rate security. The rate listed is as of September 30, 2000. See accompanying notes 31 Schedule of Investments California Municipal Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 97.3% -------------------------------------------------------------------------------- California 67.6% California State Department Water Center Revenue Bonds, Series 1993 8.375% due 12/01/2003 $ 150 $ 168 California State General Obligation, (FGIC Insured), Series 1997 6.600% due 02/01/2011 500 581 Capistrano Unified School District Community Facilities District Special Tax Bond, Series 1999 5.700% due 09/01/2020 500 486 Chula Vista California Special Tax Bond, Series 2000-1 6.400% due 09/01/2018 125 128 Corona Community Facilities District Special Tax Bond, Series 1998 5.875% due 09/01/2023 150 147 East Bay Municipal Utility District Wastewater Treatment System Revenue Bonds, (AMBAC Insured), Series 1993 6.420% due 06/01/2013 400 415 Foothill Eastern Transportation Corridor Agency Toll Road Revenue Bonds, (MBIA-IBC Insured), Series 1999 0.000% due 01/15/2027 500 298 Los Angeles County Transportation Commission Certificates of Partnership, Series 1992 6.250% due 07/01/2004 500 525 Los Angeles Department of Water & Power Waterworks Revenue Bonds, (MBIA Insured), Series 1994 6.375% due 07/01/2034 350 380 Los Angeles, California Wastewater System Revenue Bonds, (MBIA Insured), Series 1998-C 4.000% due 06/01/2015 400 348 Metropolitan Water District Southern California Revenue Bonds, Series 1993 6.253% due 10/30/2020 200 197 Orange County California Revenue Bonds, Series 1995 6.000% due 06/01/2010 750 835 Orange County Local Transportation Authority Sales Tax Revenue Bonds, (AMBAC-TCRS Insured), Series 1992 6.200% due 02/14/2011 750 840 Pioneers Memorial Healthcare District General Obligation, Series 1998 5.125% due 10/01/2024 400 380 San Jose Redevelopment Agency Tax Allocation, (MBIA Insured), Series 1993 6.000% due 08/01/2010 300 335 Southern California Public Power Authority Revenue Bonds, (FSA-CR Insured), Series 1993 5.000% due 07/01/2015 110 107 ---------- 6,170 ========== Puerto Rico 25.3% Puerto Rico Aqueduct & Sewer Authority Revenue Bonds, (FSA Surety Bond Insured), Series 1985-A 9.000% due 07/01/2009 2,000 2,306 ---------- Virgin Islands 4.4% Virgin Islands Public Finance Authority Revenue Bonds, Series 1998-C 5.500% due 10/01/2008 405 407 ---------- Total Municipal Bonds & Notes 8,883 (Cost $8,665) ========== -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 1.2% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (b) 3.625% due 07/15/2002 108 108 ---------- Total U.S. Treasury Obligations 108 (Cost $107) ========== Total Investments (a) 98.5% $ 8,991 (Cost $8,772) Other Assets and Liabilities (Net) 1.5% 137 ---------- Net Assets 100.0% $ 9,128 ========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 219 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value 0 ---------- Unrealized appreciation-net $ 219 ========== (b) Principal amount of the security is adjusted for inflation. 32 See accompanying notes Schedule of Investments Convertible Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 71.9% -------------------------------------------------------------------------------- Banking & Finance 5.8% ACOM Co. Ltd. 0.000% due 03/31/2002 $ 50,000 $ 501 Exchangeable Certificates Corp. 0.250% due 04/12/2005 5,950 5,783 Hellenic Finance 2.000% due 07/15/2003 500 443 JMH Finance Ltd. 4.750% due 09/06/2007 1,200 1,237 Merrill Lynch & Co. 1.000% due 07/20/2006 1,775 1,356 ---------- 9,320 ========== Energy 1.8% Diamond Offshore Drilling 3.750% due 02/15/2007 2,560 2,902 ---------- Health Care 16.4% Alza Corp. 0.000% due 07/28/2020 7,750 5,406 Athena Neurosciences, Inc. 4.750% due 11/15/2004 750 1,150 Centocor, Inc. 4.750% due 02/15/2005 2,100 2,698 Ivax Corp. 5.500% due 05/15/2007 2,300 3,355 Mercury Interactive Corp. 4.750% due 07/01/2007 1,800 2,786 Millennium Pharmaceuticals 5.500% due 01/15/2007 1,500 2,837 Roche Holdings, Inc. 0.000% due 01/19/2015 2,950 2,817 Vertex Pharmaceuticals 5.000% due 03/14/2007 3,000 3,495 Wellpoint Health Network, Inc. 0.000% due 07/02/2019 2,000 1,573 ---------- 26,117 ========== Industrial 5.0% Celestica, Inc. 0.000% due 08/01/2020 3,500 1,750 Dupont Photomasks, Inc. 0.000% due 07/24/2004 800 774 Kohls Corp. 0.000% due 06/12/2020 2,500 1,469 Solectron Corp. 0.000% due 01/27/2019 2,000 1,475 Young & Rubicam, Inc. 3.000% due 01/15/2005 2,500 2,466 ---------- 7,934 ========== Technology 36.3% Analog Devices, Inc. 4.750% due 10/01/2005 3,200 3,353 ASM Lithography Holding 4.250% due 11/30/2004 2,000 2,250 2.500% due 04/09/2005 1,500 1,160 AT&T - Liberty Media Group 4.000% due 11/15/2029 3,200 3,004 Clear Channel Communications, Inc. 1.500% due 12/01/2002 650 604 2.630% due 04/01/2003 3,300 3,622 Comverse Technology, Inc. 4.500% due 07/01/2005 1,040 5,305 Exodus Communications, Inc. 4.750% due 07/15/2008 2,000 3,075 Hewlett Packard Co. 0.000% due 10/14/2017 4,450 3,271 I2 Technologies, Inc. 5.250% due 12/15/2006 2,500 6,653 Juniper Networks, Inc. 4.750% due 03/15/2007 2,000 3,082 Lattice Semiconductor Co. 4.750% due 11/01/2006 1,600 2,318 LSI Logic Corp. 4.250% due 03/15/2004 500 990 Nextel Communications, Inc. 5.250% due 01/15/2010 3,000 2,828 Sanmina Corp. 4.250% due 05/01/2004 700 1,579 0.000% due 09/12/2020 7,000 3,103 SCI Systems, Inc. 3.000% due 03/15/2007 2,750 2,753 Stmicroelectron 0.000% due 09/22/2009 1,900 2,522 U.S. Cellular Corp. 0.000% due 06/15/2015 3,600 2,466 Veritas Software Corp. 1.860% due 08/13/2006 1,000 4,110 ---------- 58,048 ========== Utilities 6.6% AES Corp. 4.500% due 08/15/2005 750 1,932 AES Trust VII 6.000% due 01/01/2000 24 1,995 Alliant Energy Resources, Inc. 4.910% due 01/01/2000 33 1,982 Kerr-McGee Corp. 5.250% due 02/15/2010 1,000 1,247 Nabors Industries, Inc. 0.000% due 06/20/2020 4,900 3,418 ---------- 10,574 ---------- Total Convertible Bonds & Notes 114,895 (Cost $99,333) ========== -------------------------------------------------------------------------------- CONVERTIBLE PREFERRED STOCK 23.3% -------------------------------------------------------------------------------- Shares Banking & Finance 3.2% Metlife Capital Trust I Cvt. Pfd. 5.680% due 01/01/2000 61,000 5,078 ---------- Energy 6.4% Apache Corp. Cvt. Pfd. 6.500% due 05/15/2002 17,000 872 Coastal Corp. Cvt. Pfd. 6.625% due 08/16/2002 10,000 416 Kerr-McGee Corp. Cvt. Pfd. 5.500% due 08/01/2004 108,900 5,918 Valero Energy Cvt. Pfd. 7.750% due 08/18/2003 100,500 2,952 ---------- 10,158 ========== Industrial 5.2% Decs Trust VI Cvt. Pfd. 6.250% due 11/15/2002 40,000 1,800 Qwest Trends Trust Cvt. Pfd. 2.400% due 01/01/2000 25,000 1,969 Sealed Air Corp. Cvt. Pfd. 4.000% due 04/01/2018 2,000 90 Times Mirror Co. Cvt. Pfd. 4.250% due 03/15/2001 4,000 339 Tribune Co. Cvt. Pfd. 2.000% due 05/15/2029 35,100 4,168 ---------- 8,366 ========== Utilities 8.5% Calpine Capital Trust III Cvt. Pfd. 5.000% due 01/01/2000 70,000 4,489 Enron Corp. Cvt. Pfd. 7.000% due 07/31/2002 108,000 3,841 MediaOne Group, Inc. Cvt. Pfd. 6.250% due 08/15/2001 9,500 791 SEI Trust I Cvt. Pfd. 6.250% due 10/01/2030 50,000 3,294 Weatherford International, Inc. Cvt. Pfd. 5.000% due 11/01/2027 25,000 1,191 ---------- 13,606 ---------- Total Convertible Preferred Stock 37,208 (Cost $30,604) ========== See accompanying notes 33 Schedule of Investments Convertible Fund September 30, 2000 (Unaudited) Value Shares (000s) -------------------------------------------------------------------------------- COMMON STOCKS 5.0% -------------------------------------------------------------------------------- Communications 0.0% Leap Wireless International, Inc. 344 $ 22 Consumer Discretionary 1.2% Time Warner, Inc. 24,792 1,940 Technology 3.8% EMC Corp. 60,668 6,014 ---------- Total Common Stocks 7,976 (Cost $5,207) ========== SHORT-TERM INSTRUMENTS 2.9% Principal Amount (000s) Commercial Paper 2.5% Federal Home Loan Mortgage Corp. 6.440%due10/12/2000 $ 2,600 2,595 General Electric Capital Corp. 6.470% due 12/20/2000 700 690 Ingersoll-Rand Co. 6.840% due 10/02/2000 700 700 ---------- 3,985 ========== Repurchase Agreements 0.4% State Street Bank 5.850% due 10/02/2000 576 576 (Dated 9/29/2000. Collateralized by Federal Home Loan Bank 7.090% due 09/19/2003 valued at $590. Repurchase proceeds are $576.) ---------- Total Short-Term Instruments 4,561 (Cost $4,561) ========== Total Investments (a) 103.1% $ 164,640 (Cost $139,705) Other Assets and Liabilities (Net) (3.1%) (4,967) ---------- Net Assets 100.0% $ 159,673 ========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 29,506 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (4,571) ---------- Unrealized appreciation-net $ 24,935 ========== 34 See accompanying notes Schedule of Investments Emerging Markets Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- ARGENTINA 3.5% -------------------------------------------------------------------------------- Republic of Argentina 7.375% due 03/31/2005 (d) $ 540 $ 498 11.375% due 01/30/2017 (f) 1,100 985 6.875% due 03/31/2023 500 343 ------------ Total Argentina 1,826 (Cost $1,818) ============ -------------------------------------------------------------------------------- BERMUDA 0.4% -------------------------------------------------------------------------------- IMEXA Export Trust 10.125% due 05/31/2003 $ 214 213 ------------ Total Bermuda 213 (Cost $210) ============ -------------------------------------------------------------------------------- BRAZIL 29.9% -------------------------------------------------------------------------------- Republic of Brazil 7.375% due 04/15/2006 (d)(f) $ 6,354 5,996 14.500% due 10/15/2009 (f) 2,300 2,536 7.437% due 04/15/2012 500 385 8.000% due 04/15/2014 (f) 868 669 6.937% due 04/15/2024 400 319 12.250% due 03/06/2030 (f) 4,950 4,505 11.000% due 08/17/2040 1,297 1,036 ------------ Total Brazil 15,446 (Cost $15,215) ============ -------------------------------------------------------------------------------- BULGARIA 6.0% -------------------------------------------------------------------------------- Republic of Bulgaria 7.062% due 07/28/2011 $ 1,250 947 7.062% due 07/28/2024 (d) 2,810 2,150 ------------ Total Bulgaria 3,097 (Cost $3,185) ============ -------------------------------------------------------------------------------- COLOMBIA 1.0% -------------------------------------------------------------------------------- Republic of Colombia 7.625% due 02/15/2007 $ 420 322 8.700% due 02/15/2016 130 89 11.750% due 02/25/2020 100 85 ------------ Total Colombia 496 (Cost $504) ============ -------------------------------------------------------------------------------- JORDAN 2.5% -------------------------------------------------------------------------------- Kingdom of Jordan 6.000% due 12/23/2023 $ 1,700 1,270 ------------ Total Jordan 1,270 (Cost $1,190) ============ -------------------------------------------------------------------------------- MALAYSIA 5.0% -------------------------------------------------------------------------------- Republic of Malaysia 6.875% due 05/15/2001 $ 1,500 1,500 8.750% due 06/01/2009 1,000 1,052 ------------ Total Malaysia 2,552 (Cost $2,541) ============ -------------------------------------------------------------------------------- MEXICO 23.4% -------------------------------------------------------------------------------- Nacional Financiera 8.565% due 05/08/2003 $ 1,500 1,523 United Mexican States 8.500% due 02/01/2006 1,500 1,501 10.375% due 02/17/2009 650 709 9.875% due 02/01/2010 1,250 1,332 6.250% due 12/31/2019 2,900 2,607 7.312% due 12/31/2019 1,650 1,724 7.925% due 12/31/2019 525 549 11.500% due 05/15/2026 1,725 2,098 United Mexican States Recovery Rights 0.000% due 06/30/2003 3,980 0 ------------ Total Mexico 12,043 (Cost $11,588) ============ -------------------------------------------------------------------------------- MOROCCO 1.2% -------------------------------------------------------------------------------- Republic of Morocco 7.750% due 01/01/2009 $ 699 $ 619 ------------ Total Morocco 619 (Cost $626) ============ -------------------------------------------------------------------------------- NIGERIA 0.8% -------------------------------------------------------------------------------- Central Bank of Nigeria 6.250% due 11/15/2020 $ 750 433 Central Bank of Nigeria - Warrant 0.000% due 11/15/2020 1 0 ------------ Total Nigeria 433 (Cost $421) ============ -------------------------------------------------------------------------------- PANAMA 4.2% -------------------------------------------------------------------------------- Republic of Panama 7.930% due 05/10/2002 $ 92 91 4.500% due 07/17/2014 1,750 1,414 8.875% due 09/30/2027 335 281 9.375% due 04/01/2029 400 385 ------------ Total Panama 2,171 (Cost $2,186) ============ -------------------------------------------------------------------------------- PERU 3.9% -------------------------------------------------------------------------------- Republic of Peru 3.750% due 03/07/2017 $ 2,100 1,174 4.500% due 03/07/2017 1,310 817 ------------ Total Peru 1,991 (Cost $2,105) ============ -------------------------------------------------------------------------------- PHILIPPINES 1.2% -------------------------------------------------------------------------------- Republic of Philippines 7.937% due 12/01/2007 $ 66 53 9.875% due 01/15/2019 275 225 9.875% due 01/15/2019 (f) 410 337 ------------ Total Philippines 615 (Cost $642) ============ -------------------------------------------------------------------------------- POLAND 2.9% -------------------------------------------------------------------------------- Republic of Poland 6.000% due 10/27/2014 $ 615 566 3.500% due 10/27/2024 1,475 929 ------------ Total Poland 1,495 (Cost $1,447) ============ -------------------------------------------------------------------------------- RUSSIA 7.8% -------------------------------------------------------------------------------- Russian Federation 9.250% due 11/27/2001 $ 100 97 8.750% due 07/24/2005 700 555 6.057% due 12/15/2015 505 175 11.000% due 07/24/2018 650 475 0.000% due 12/15/2020 3,300 1,122 12.750% due 06/24/2028 1,850 1,615 ------------ Total Russia 4,039 (Cost $3,319) ============ -------------------------------------------------------------------------------- SOUTH KOREA 4.8% -------------------------------------------------------------------------------- Hanvit Bank 11.750% due 03/01/2010 $ 200 199 12.750% due 03/01/2010 250 255 Korea Development Bank 9.450% due 03/15/2001 500 506 7.125% due 09/17/2001 500 499 Republic of Korea 8.875% due 04/15/2008 975 1,024 ------------ Total South Korea 2,483 (Cost $2,436) ============ See accompanying notes 35 Schedule of Investments Emerging Markets Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- TURKEY 0.6% -------------------------------------------------------------------------------- Export Credit Bank of Turkey 11.500% due 02/25/2005 $ 100 $ 99 Republic of Turkey 11.875% due 11/05/2004 215 224 ------------ Total Turkey 323 (Cost $321) ============ -------------------------------------------------------------------------------- VENEZUELA 6.2% -------------------------------------------------------------------------------- Republic of Venezuela 7.875% due 12/18/2007 (d) $ 1,607 1,381 6.750% due 03/31/2020 1,100 825 9.250% due 09/15/2027 1,500 1,014 Republic of Venezuela - Warrant 0.000% due 04/15/2020 6 0 ------------ Total Venezuela 3,220 (Cost $3,133) ============ Short-Term Instruments 7.7% Commercial Paper 5.6% Alcoa, Inc. 6.450% due 12/06/2000 $ 200 198 General Electric Capital Corp. 6.470% due 12/13/2000-12/20/2000 (e) 1,400 888 Ingersoll-Rand Co. 6.740% due 11/15/2000 400 397 International Paper Co. 6.700% due 10/05/2000 400 400 National Power Corp. 7.625% due 11/15/2000 1,000 1,000 ------------ 2,883 ============ Repurchase Agreement 2.1% State Street Bank 5.850% due 10/02/2000 1,071 1,071 (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 7.050% due 02/28/2002 valued at $1,097 Repurchase proceeds are $1,072.) ------------ Total Short-Term Instruments 3,954 (Cost $3,950) ============ Total Investments (a) 113.0% $ 58,286 (Cost $56,836) Other Assets and Liabilities (Net) (13.0%) (6,707) ------------ Net Assets 100.0% $ 51,579 ============ Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 2,065 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (615) ------------ Unrealized appreciation-net $ 1,450 ============ (b) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Buy CP 67,438 12/2000 $ (5) Buy EC 186 11/2000 (34) Buy 496 10/2000 (13) Sell 93 11/2000 18 Buy HF 165,000 11/2000 (33) Buy PZ 750 11/2000 2 Buy 2,000 12/2000 (7) Buy 1,000 01/2001 (8) --------- $ (80) ========= (c) Principal amount denoted in indicated currency: CP - Chilean Peso EC - European Currency Unit HF - Hugarian Forint PZ - Polish Zloty (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Securities are grouped by coupon or range of coupons and represent a range of maturities. (f) Subject to financing transaction. 36 See accompanying notes Schedule of Investments Foreign Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- ARGENTINA (f)(g) 0.3% -------------------------------------------------------------------------------- Republic of Argentina 5.000% due 12/20/2002 JY 219,000 $ 2,041 ------------ Total Argentina 2,041 (Cost $1,741) ============ -------------------------------------------------------------------------------- ARUBA (f)(g) 0.3% -------------------------------------------------------------------------------- YTP Finance (Aruba) 3.500% due 07/18/2012 JY 200,000 1,901 ------------ Total Aruba 1,901 (Cost $1,899) ============ -------------------------------------------------------------------------------- AUSTRALIA (f)(g) 3.7% -------------------------------------------------------------------------------- Bankers Trust Corp. 6.970% due 06/02/2008 (d) $ 4,800 4,672 General Electric Capital Funding 6.750% due 09/15/2007 A$ 750 410 General Motors Acceptance Corp. 5.020% due 03/25/2002 EC 10,300 9,080 Registered Australian Mortgage Securities 4.770% due 09/26/1932 (d) 4,761 4,203 Torrens Trust 6.880% due 07/15/2031 (d) $ 3,211 3,211 ------------ Total Australia 21,576 (Cost $22,819) ============ -------------------------------------------------------------------------------- AUSTRIA (f)(g) 0.2% -------------------------------------------------------------------------------- Republic of Austria 5.500% due 01/15/2010 EC 1,200 1,052 ------------ Total Austria 1,052 (Cost $1,041) ============ -------------------------------------------------------------------------------- BELGIUM (f)(g) 0.7% -------------------------------------------------------------------------------- Kingdom of Belgium 9.000% due 03/28/2003 EC 5 5 6.750% due 11/21/2004 (d) BF 183,200 4,215 ------------ Total Belgium 4,220 (Cost $6,060) ============ -------------------------------------------------------------------------------- BRAZIL (f)(g) 0.2% -------------------------------------------------------------------------------- Republic of Brazil 7.880% due 01/01/2001 (d) $ 148 148 7.380% due 04/15/2006 (d) 10 9 11.250% due 07/26/2007 1,000 1,004 14.500% due 10/15/2009 200 221 ------------ Total Brazil 1,382 (Cost $1,325) ============ -------------------------------------------------------------------------------- BULGARIA (f)(g) 0.8% -------------------------------------------------------------------------------- Republic of Bulgaria 7.750% due 07/28/2011 (d) $ 2,670 2,023 2.750% due 07/28/2012 (d) 1,300 947 7.750% due 07/28/2024 (d) 2,600 1,989 ------------ Total Bulgaria 4,959 (Cost $4,909) ============ -------------------------------------------------------------------------------- CANADA (f)(g) 0.5% -------------------------------------------------------------------------------- Beneficial Canada, Inc. 6.350% due 04/01/2002 C$ 3,440 2,292 Commonwealth of Canada 5.250% due 09/01/2003 640 419 ------------ Total Canada 2,711 (Cost $2,813) ============ -------------------------------------------------------------------------------- CAYMAN ISLANDS (f)(g) 2.9% -------------------------------------------------------------------------------- Banco Nacional de Comercio Exterior, S.N.C. 5.300% due 09/21/2000 JY 200,000 $ 1,852 Capital Credit Card Corp. 5.630% due 10/15/2004 DM 2,800 1,266 Daiwa International Finance Cayman 5.000% due 12/28/2004 JY 300,000 2,806 Fuji Finance (Cayman) 7.290% due 04/15/2010 (d) $ 1,900 1,894 MBNA American Euro 4.980% due 05/19/2004 (d) EC 8,100 7,465 Sakura Capital Funding 7.560% due 09/29/2049 (d) $ 1,600 1,552 ------------ Total Cayman Islands 16,835 (Cost $18,212) ============ -------------------------------------------------------------------------------- COLOMBIA (f)(g) 0.2% -------------------------------------------------------------------------------- Republic of Colombia 3.000% due 12/22/2000 JY 150,000 1,373 ------------ Total Colombia 1,373 (Cost $1,151) ============ -------------------------------------------------------------------------------- DENMARK (f)(g) 2.8% -------------------------------------------------------------------------------- Nykredit 5.000% due 10/01/2029 DK 58,900 6,054 Realkredit Danmark Mortgage 5.000% due 10/01/2029 25,627 2,633 6.000% due 10/01/2029 24,500 2,710 Unikredit Realkredit 6.000% due 07/01/2029 20,700 2,291 5.000% due 10/01/2029 27,697 2,855 ------------ Total Denmark 16,543 (Cost $18,073) ============ -------------------------------------------------------------------------------- FRANCE (f)(g) 8.3% -------------------------------------------------------------------------------- AXA 2.500% due 01/01/2014 EC 835 767 France Government Bond (OAT) 4.000% due 04/25/2009 8,250 6,622 5.500% due 04/25/2010 13,960 12,418 Republic of France 3.000% due 07/25/2009 (h)(i) 3,105 2,586 4.000% due 10/25/2009 32,950 26,255 ------------ Total France 48,648 (Cost $53,005) ============ -------------------------------------------------------------------------------- GERMANY (f)(g) 8.8% -------------------------------------------------------------------------------- Barclays Capital Corp. 3.250% due 12/20/2000 DM 2,000 902 Depfa Pfandbriefbank 4.750% due 07/15/2008 EC 3,590 2,976 5.750% due 03/04/2009 (i) DM 3,560 3,133 Republic of Germany 6.000% due 07/04/2007 EC 22,450 20,661 5.250% due 01/04/2008 26,450 23,360 4.500% due 07/04/2009 20 17 6.250% due 01/04/2024 680 648 ------------ Total Germany 51,697 (Cost $52,483) ============ -------------------------------------------------------------------------------- GREECE (f)(g) 3.8% -------------------------------------------------------------------------------- CSFP Credit 7.420% due 11/19/2004 (d)(k) $ 19,000 19,171 Hellenic Finance 2.000% due 07/15/2003 EC 1,600 1,417 Hellenic Republic 7.850% due 05/19/2003 (d) GD 100,000 270 7.890% due 06/17/2003 (d) 107,400 290 10.240% due 10/23/2003 (d) 376,000 1,013 ------------ Total Greece 22,161 (Cost $22,932) ============ See accompanying notes 37 Schedule of Investments (Cont.) Foreign Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- ITALY (f)(g) 11.7% -------------------------------------------------------------------------------- Finmeccanica SpA 2.000% due 06/08/2005 EC 544 $ 473 First Italian Auto Transaction 4.820% due 07/01/2008 (d) 4,800 4,241 Island Finance 5.490% due 03/30/2015 (d) 2,819 2,492 Republic of Italy 4.500% due 05/01/2009 31,710 26,043 4.250% due 11/01/2009 5,560 4,466 5.500% due 11/01/2010 13,320 11,733 6.500% due 11/01/2027 11,420 10,772 5.250% due 11/01/2029 10,520 8,417 ------------ Total Italy 68,637 (Cost $71,444) ============ -------------------------------------------------------------------------------- JAPAN (f)(g) 2.5% -------------------------------------------------------------------------------- Government of Japan Ten-Year Bond 0.900% due 12/22/2008 JY 907,400 7,751 International Credit Receivable Japan 0.750% due 08/25/2005 50,000 463 International Credit Receivable Japan 1 Tranche A 0.720% due 11/22/2004 (d) 56,460 523 0.650% due 08/25/2005 230,000 2,130 International Credit Receivable Japan 1 Tranche B 0.820% due 11/22/2004 (d) 200,000 1,852 SHL Corp. Ltd. 0.530% due 12/25/2024 (d) 121,113 1,122 0.830% due 12/25/2024 (d) 76,000 704 ------------ Total Japan 14,545 (Cost $14,662) ============ -------------------------------------------------------------------------------- MEXICO (f)(g) 1.3% -------------------------------------------------------------------------------- Petroleos Mexicanos 8.850% due 09/15/2007 $ 1,040 1,032 9.380% due 12/02/2008 1,290 1,329 United Mexican States 8.750% due 05/30/2002 BP 270 404 10.380% due 01/29/2003 DM 2,575 1,248 4.000% due 03/11/2004 JY 130,000 1,205 9.880% due 02/01/2010 $ 2,250 2,397 ------------ Total Mexico 7,615 (Cost $7,849) ============ -------------------------------------------------------------------------------- NETHERLANDS (f)(g) 1.1% -------------------------------------------------------------------------------- Mannesmann Finance BV 4.750% due 05/27/2009 EC 3,700 2,903 Tecnost International NV 6.670% due 06/23/2004 (d) 1,430 1,275 Telekomunikacja Polska SA 7.750% due 12/10/2008 $ 2,120 2,045 ------------ Total Netherlands 6,223 (Cost $6,856) ============ -------------------------------------------------------------------------------- NEW ZEALAND (f)(g) 1.1% -------------------------------------------------------------------------------- Commonwealth of New Zealand 4.500% due 02/15/2016 (i) N$ 15,300 6,530 ------------ Total New Zealand 6,530 (Cost $8,639) ============ -------------------------------------------------------------------------------- PANAMA (f)(g) 0.2% -------------------------------------------------------------------------------- Republic of Panama 8.880% due 09/30/2027 $ 1,100 921 ------------ Total Panama 921 (Cost $976) ============ -------------------------------------------------------------------------------- PERU (f)(g) 0.3% -------------------------------------------------------------------------------- Republic of Peru 4.500% due 03/07/2017 (d) $ 2,700 1,691 ------------ Total Peru 1,691 (Cost $1,841) ============ -------------------------------------------------------------------------------- PHILIPPINES (f)(g) 0.6% -------------------------------------------------------------------------------- Republic of Philippines 8.000% due 09/17/2004 EC 2,420 2,157 7.940% due 12/01/2009 (d) $ 1,300 1,131 ------------ Total Philippines 3,288 (Cost $3,860) ============ -------------------------------------------------------------------------------- POLAND (f)(g) 0.0% -------------------------------------------------------------------------------- Republic of Poland 3.500% due 10/27/2024(d) $ 105 66 ------------ Total Poland 66 (Cost $65) ============ -------------------------------------------------------------------------------- PORTUGAL (f)(g) 1.6% -------------------------------------------------------------------------------- Portugal Government 3.950% due 07/15/2009 EC 11,770 9,261 ------------ Total Portugal 9,261 (Cost $11,042) ============ -------------------------------------------------------------------------------- SOUTH KOREA (f)(g) 1.7% -------------------------------------------------------------------------------- Export-Import Bank Korea 7.250% due 06/25/2001 $ 1,945 1,937 6.500% due 02/10/2002 800 789 Korea Development Bank 4.800% due 05/14/2001 (d) DM 7,310 3,270 2.770% due 05/21/2001 JY 400,000 3,778 1.880% due 02/13/2002 13,000 120 ------------ Total South Korea 9,894 (Cost $10,158) ============ -------------------------------------------------------------------------------- SPAIN (f)(g) 3.2% -------------------------------------------------------------------------------- Kingdom of Spain 5.150% due 07/30/2009 (i) EC 21,730 18,714 ------------ Total Spain 18,714 (Cost $22,578) ============ -------------------------------------------------------------------------------- SUPRANATIONAL (f)(g) 2.2% -------------------------------------------------------------------------------- Eurofima 4.750% due 07/07/2004 SK 60,900 6,149 5.000% due 10/01/2029 32,859 3,381 European Investment Bank 5.380% due 08/28/2007 NK 2,400 244 International Bank for Reconstruction & Development 7.250% due 04/09/2001 N$ 6,400 2,613 World Bank 10.250% due 04/11/2002 PP 31,000 624 ------------ Total Supranational 13,011 (Cost $15,979) ============ -------------------------------------------------------------------------------- SWEDEN (f)(g) 0.5% -------------------------------------------------------------------------------- Kingdom of Sweden 13.000% due 06/15/2001 SK 11,200 1,230 0.000% due 04/01/2004 19,097 1,845 ------------ Total Sweden 3,075 (Cost $3,575) ============ -------------------------------------------------------------------------------- TUNISIA (f)(g) 0.2% -------------------------------------------------------------------------------- Banque Centrale De Tunisie 7.500% due 08/06/2009 EC 1,500 1,356 ------------ Total Tunisia 1,356 (Cost $1,525) ============ 38 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- UNITED KINGDOM (f)(g) 6.4% -------------------------------------------------------------------------------- Abbey National Treasury Service 7.630% due 12/30/2002 BP 1,770 $ 2,678 5.250% due 01/21/2004 2,670 3,811 Bank of Scotland Capital Fund 8.120% due 03/31/2049 850 1,254 Halifax Group Euro Finance 7.630% due 12/29/2049 (d) EC 1,040 918 Halifax Group Sterling Finance 7.880% due 12/29/2049 (d) BP 3,960 6,283 HAUS Ltd. 5.010% due 12/10/2037 (d) EC 8,500 7,505 International Credit Receivable 5.390% due 03/15/2010 JY 1,800 1,589 Lloyds TSB Capital 7.380% due 02/07/2049 500 445 SCCR Series 1 Ltd. 5.020% due 12/15/2031 2,041 1,806 Polestar Corp. PLC 10.500% due 05/30/2008 BP 170 188 United Kingdom Gilt 5.750% due 12/07/2009 7,150 10,980 ------------ Total United Kingdom 37,457 (Cost $39,831) ============ -------------------------------------------------------------------------------- United States (f)(g) 97.2% -------------------------------------------------------------------------------- Asset-Backed Securities 6.7% AES Corp. 8.690% due 05/19/2001 $ 1,500 1,500 AFC Home Equity Loan Trust 6.840% due 03/25/2027 (d) 805 806 Americredit Automobile Receivable Trust 5.880% due 12/05/2003 216 215 Amresco Residential Securities Mortgage Loan Trust 7.090% due 06/25/2029 (d) 5,354 5,373 Banc One Auto Grantor Trust 6.270% due 11/20/2003 272 271 6.290% due 07/20/2004 466 463 Bayview Financial Acquisition Trust 7.170% due 02/25/2029 (d) 352 352 Chase Manhattan Grantor Trust 6.610% due 09/15/2002 141 141 Conseco Finance 6.990% due 10/15/2031 (d) 1,278 1,281 Contimortgage Home Equity Loan Trust 6.790% due 10/15/2012 (d) 212 212 6.010% due 12/25/2013 3,780 3,761 EQCC Home Equity Loan Trust 5.770% due 03/20/2029 1,664 1,655 6.870% due 03/20/2029 437 437 Nissan Auto Receivables Grantor Trust 5.450% due 04/15/2004 1,688 1,674 Providian Gateway Master Trust 6.840% due 03/15/2007 5,800 5,800 Providian Home Equity Loan Trust 6.910% due 06/25/2025 (d) 4,043 4,047 PSB Lending Home Loan Owner Trust 6.830% due 05/20/2018 1,630 1,619 Residential Funding Mortgage Securities, Inc. 10.930% due 06/01/2001 (d) 7,100 7,100 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 724 720 Voicestream 9.660% due 02/15/2009 2,000 1,995 ------------ 39,422 ============ Corporate Bonds & Notes 19.6% Abbey National Capital Trust I 8.960% due 12/29/2049 2,000 2,011 AESOP Funding II LLC 6.220% due 10/20/2001 567 567 Allegheny Energy Supply 7.510% due 05/01/2002 (d) 2,900 2,900 Alpha Wind 11.320% due 05/23/2001 (d) 2,000 2,000 Associates Corp. of North America 6.780% due 08/27/2001 (d) 5,000 5,013 AT&T Capital Corp. 7.010% due 04/23/2002 (d) 675 677 Bancomext Trust Division 8.000% due 08/05/2003 390 390 Bear Stearns Co., Inc. 7.130% due 03/28/2003 (d) 2,670 2,670 Beckman Instruments, Inc. 7.100% due 03/04/2003 344 334 Capital One Bank 7.090% due 07/28/2003 (d) 12,000 12,045 CMS Energy Corp. 8.130% due 05/15/2002 546 542 DaimlerChrysler Holdings 6.960% due 08/23/2002 (d) 3,900 3,914 DQE Capital Corp. 7.230% due 01/15/2002 (d) 800 800 Finova Capital Corp. 6.910% due 06/18/2003 (d) 5,700 4,988 Ford Motor Credit Corp. 1.000% due 12/22/2003 JY 107,000 984 7.080% due 07/19/2004 (d) $ 2,800 2,803 1.200% due 02/07/2005 JY 619,000 5,641 General Motors Acceptance Corp. 7.020% due 04/05/2004 (d)$ $ 2,800 2,796 7.020% due 04/05/2004 (d) 16,420 16,399 6.880% due 09/09/2004 BP 4,080 6,040 1.250% due 12/20/2004 JY 208,000 1,912 Gold Eagle Capital Ltd. 12.130% due 04/15/2001 $ 2,500 2,500 Goldman Sachs Group 7.220% due 02/19/2004 (d) 1,430 1,452 Household Finance Corp. 5.130% due 06/24/2009 (i) EC 4,900 3,901 International Game Technology 7.880% due 05/15/2004 $ 1,700 1,670 J.P. Morgan & Co. 8.080% due 02/15/2012 (d) 6,780 5,865 Jones Intercable, Inc. 8.880% due 04/01/2007 427 448 KBC Bank Fund Trust IV 8.220% due 11/29/2049 EC 2,800 2,509 Lehman Brothers Holdings, Inc. 6.700% due 11/30/2006 (d) $ 848 784 MGM Grand, Inc. 6.950% due 02/01/2005 180 173 NeHi, Inc. 11.310% due 06/09/2003 (d) 2,000 2,010 Protective Life Funding Trust 7.090% due 01/17/2003 (d) 1,200 1,198 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d)(i) 13,189 13,033 6.910% due 02/11/2003 (d) 400 400 Sprint Capital Corp. 5.880% due 05/01/2004 690 662 Texas Utilities Co. 7.590% due 09/24/2001 (d) 2,600 2,614 ------------ 114,645 ============ Mortgage-Backed Securities 50.0% Bank of America Mortgage Securities, Inc. 6.500% due 05/25/2029 299 281 Chase Mortgage Finance Corp. 6.550% due 08/25/2028 2,407 2,387 Citicorp Mortgage Securities, Inc. 6.500% due 07/25/2028 2,184 2,161 6.500% due 03/25/2029 140 129 Crusade Global Trust 7.010% due 05/15/2021 (d) 14,400 14,436 See accompanying notes 39 Schedule of Investments (Cont.) Foreign Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. 6.000% due 03/15/2008 $ 773 $ 766 8.270% due 06/01/2022 (d) 1,124 1,131 8.400% due 08/01/2022 (d) 675 693 9.050% due 06/15/2019 55 57 Federal National Mortgage Assn. 8.500% due 07/01/2021 (d) 794 820 7.420% due 11/01/2022 (d) 848 875 7.580% due 01/01/2023 (d) 1,305 1,345 8.120% due 08/01/2023 (d) 991 1,020 General Electric Capital Mortgage Services, Inc. 6.250% due 07/25/2029 500 483 Government National Mortgage Assn. 6.000% due 04/20/1930-10/23/2030 (d)(e) 404,388 194,802 7.000% due 04/20/1930-05/20/2030 (d)(e) 8,209 4,804 7.130% due 11/20/2021 (d) 537 541 7.380% due 05/20/2022 (d) 49 50 6.750% due 07/20/2022 (d) 548 554 6.750% due 09/20/2022 (d) 360 364 7.380% due 05/20/2023 (d) 541 545 6.750% due 07/20/2023 (d) 294 297 6.750% due 07/20/2023 (d) 607 613 6.750% due 08/20/2023 (d) 272 275 6.750% due 09/20/2023 (d) 1,611 1,627 6.750% due 09/20/2023 (d) 709 716 7.130% due 10/20/2023 (d) 2,977 2,999 7.130% due 10/20/2024 (d) 240 242 7.380% due 04/20/2025 (d) 178 179 6.750% due 07/20/2025 (d) 3,990 4,029 6.750% due 09/20/2025 (d) 764 771 7.130% due 12/20/2025 (d) 292 294 6.750% due 09/20/2026 (d) 625 631 7.380% due 04/20/2027 (d) 1,518 1,529 6.500% due 10/21/2029 23,450 22,585 Independent National Mortgage Corp. 9.140% due 11/25/2024 (d) 2 2 Medallion Trust 6.960% due 07/12/2031 (d) 5,497 5,497 Morgan Stanley Mortgage Trust 8.150% due 07/20/2021 1 1 Prudential Home Mortgage Securities 6.800% due 05/25/2024 464 388 Residential Funding Mortgage Securities, Inc. 6.500% due 06/25/2029 1,276 1,055 7.090% due 05/12/2032 (d) 14,854 14,854 Sasco Floating Rate Commercial Mortgage 7.020% due 11/20/2001 (d) 2,802 2,807 Structured Asset Mortgage Investments, Inc. 6.580% due 06/25/2029 (d) 3,038 2,912 ---------- 292,547 ========== -------------------------------------------------------------------------------- Municipal Bonds & Notes 0.1% -------------------------------------------------------------------------------- Massachusetts State Turnpike Authority Metro Highway System Revenue Bonds, (MBIA Insured), Series 1997 5.000% due 01/01/2037 1,000 873 ---------- -------------------------------------------------------------------------------- U.S. Government Agencies 3.7% -------------------------------------------------------------------------------- Federal Home Loan Bank 7.270% due 02/15/2002 (d) 14,000 13,825 Federal National Mortgage Assn. 6.500% due 07/10/2002 (i) A$ 14,100 7,617 ---------- 21,442 ========== -------------------------------------------------------------------------------- U.S. Treasury Obligations 15.9% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (h) 3.630% due 07/15/2002 (b) $ 87,332 87,305 U.S. Treasury Bond 6.250% due 08/15/2023 5,400 5,501 ---------- 92,806 ========== Shares Preferred Security 1.1% DG Funding Trust 9.060% due 12/29/2049 (d) 1 6,416 ---------- Total United States 568,151 (Cost $571,535) ========== -------------------------------------------------------------------------------- PURCHASED PUT OPTIONS 2.7% -------------------------------------------------------------------------------- Principal Amount (000s) Eurodollar March Futures (CME) Strike @ 90.75 Exp. 03/19/2000 200,000 1 General National Mortgage Assn. (OTC) 6.000% due 10/20/2030 Strike @ 85.84 Exp. 11/13/2000 192,700 2 General National Mortgage Assn. (OTC) 6.500% due 11/23/2030 Strike @ 89.359 Exp. 11/13/2000 114,950 1 Interest Rate Swap (OTC) Strike @ 7.500% Exp. 04/29/2002 11,200 232 U.S. Treasury Inflation Protected Securities (OTC) 3.625% due 07/15/2002 Strike @ 96.50 Exp. 01/29/2001 77,240 0 U.S. Treasury Note (OTC) 5.625% due 05/15/2008 Strike @ 105.44 Exp. 11/01/2000 102,100 7,283 U.S. Treasury Note (OTC) 6.000% due 08/15/2009 Strike @ 110.09 Exp. 11/06/2000 53,160 4,991 U.S. Treasury Note (OTC) 6.375% due 04/30/2002 Strike @ 103.125 Exp. 11/01/2000 119,800 3,187 ---------- Total Purchased Put Options 15,697 (Cost $17,168) ========== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 12.7% -------------------------------------------------------------------------------- Commercial Paper 12.7% Abbey National PLC 6.520% due 11/03/2000 $ 1,400 1,392 American Electric Power, Inc. 6.700% due 10/18/2000-11/01/2000 (e) 5,400 4,684 AT&T Corp. 6.500% due 11/08/2000 900 894 6.470% due 11/29/2000 8,500 8,407 Bank One Corp. 6.540% due 10/31/2000 9,500 9,449 Coca-Cola Co. 6.490% due 12/13/2000 300 296 Conagra, Inc. 6.680% due 10/27/2000 1,100 1,095 6.670% due 11/15/2000-11/16/2000 (e) 6,600 5,356 DaimlerChrysler AG 6.500% due 10/25/2000 3,000 2,988 Edison Midwest 6.750% due 11/01/2000 8,900 5,668 6.730% due 11/15/2000 1,300 1,289 Gannett Co. 6.490% due 11/08/2000 2,900 2,881 General Electric Capital Corp. 6.470% due 12/13/2000 600 592 Honeywell, Inc. 6.510% due 11/21/2000 1,000 991 Houston Industries 6.820% due 10/04/2000 900 900 6.770% due 10/18/2000 5,000 4,985 Infinity Broadcasting Corp. 6.720% due 11/09/2000 2,000 1,986 6.700% due 11/16/2000 3,800 3,768 International Paper Co. 6.700% due 10/05/2000 1,100 1,099 6.720% due 10/10/2000 4,400 4,393 6.700% due 11/01/2000 4,100 4,077 Minnesota Mining & Manufacturing 6.470% due 11/28/2000 1,200 1,187 Nike, Inc. 6.490% due 10/10/2000 500 499 Swedbank, Inc. 6.570% due 10/18/2000 1,200 1,196 Texas Utilities Co. 6.700% due 10/18/2000 1,800 1,795 Yorkshire Building Society 6.470% due 12/20/2000 2,200 2,168 ---------- 74,035 ========== 40 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- U.S. Treasury Bills (b) 0.0% 6.470% due 02/01/2001 $ 20 $ 20 ---------- Total Short-Term Instruments 74,055 (Cost $74,062) ========== Total Investments (a) 180.7% $1,057,286 (Cost $1,092,108) Written Options (c) (0.2%) (1,096) (Premiums $855) Other Assets and Liabilities (Net) (80.5%) (471,121) ---------- Net Assets 100.0% $ 585,069 ========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 4,595 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (39,417) ---------- Unrealized depreciation-net $ (34,822) ========== (b) Securities with an aggregate market value of $4,109 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: Unrealized # of Appreciation/ Type Contracts (Depreciation) -------------------------------------------------------------------------------- EuroBond (12/2000) 275 $ 94 Government of Japan 10 Year Note (12/2000) 137 (353) United Kingdom 10 Year Note (12/2000) 137 (121) United Kingdom 90 Day LIBOR Futures (06/2001) 119 (5) EuroBond 10 Year Note Options (11/2000) 228 74 ---------- $ (311) ========== (c) Premiums received on written options: # of Type Contracts Premium Value -------------------------------------------------------------------------------- Call - CBOT U.S. Treasury Note December Futures Strike @ 103.00 Exp. 11/18/2000 48 $ 7 $ 5 Call - CBOT U.S. Treasury Note December Futures Strike @ 102.00 Exp. 11/18/2000 48 14 11 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.84 Exp. 10/10/2000 14,300,000 72 3 Call - OTC Eurodollar vs. U.S. Dollar Strike @ 0.90 Exp. 10/10/2000 14,300,000 62 31 Put - CME Eurodollar March Futures Strike @ 92.75 Exp. 03/19/2001 28 19 1 Call - CME Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 50 13 37 Put - CME Eurodollar March Futures Strike @ 92.25 Exp. 03/19/2001 22 13 0 Put - CBOT U.S. Treasury Note December Futures Strike @ 98.00 Exp. 11/18/2000 24 15 4 Put - CBOT U.S. Treasury Note December Futures Strike @ 97.00 Exp. 11/18/2000 24 9 2 Call - TSE Government of Japan December Futures Strike @ 134.00 Exp. 11/30/2000 18 34 37 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.81 Exp.12/21/2000 16,200,000 58 35 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.85 Exp. 10/24/2000 7,200,000 35 18 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.500% Exp. 02/23/2001 7,900,000 41 33 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.85 Exp. 10/24/2000 21,600,000 100 55 Put - OTC 3 Month LIBOR Interest Rate Swap Strike @ 7.500% Exp. 04/29/2002 16,000,000 363 824 ---------------------- $ 855 $ 1,096 ====================== (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Securities are grouped together by coupon or range of coupons and represent a range of maturities. (f) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Buy AP 730 02/2001 $ 5 Buy A$ 4,654 10/2000 (203) Sell 1,560 10/2000 53 Sell 8,245 11/2000 10 Buy 3,283 11/2000 2 Buy BR 1,339 01/2001 (5) Buy 1,057 03/2001 8 Sell C$ 5,007 10/2000 47 Buy 1,200 10/2000 (7) Sell SF 20,620 10/2000 (179) Buy 10,050 10/2000 11 Sell 10,050 11/2000 (8) Buy CL 349,600 10/2000 (29) Buy 117,900 03/2001 0 Sell DK 130,823 10/2000 182 Buy 46,548 10/2000 (2) Sell 46,548 11/2000 3 Sell EC 2,810 01/2001 201 Sell 101,808 10/2000 1,888 Buy 797,671 10/2000 (254) Sell 12,504 11/2000 (74) Sell BP 17,042 10/2000 (339) Buy GD 2,550,004 01/2001 (179) Sell 719,346 12/2000 (4) Sell H$ 48,140 10/2000 (33) Buy 48,140 10/2000 (5) Sell 223,800 08/2001 103 Buy 111,900 08/2001 (14) Buy HF 1,248,000 01/2001 (686) Sell 1,248,000 01/2001 313 Buy 341,600 02/2001 (49) Buy IR 8,560,000 10/2000 66 Buy JY 2,136,556 10/2000 (205) Sell 4,133,801 10/2000 417 Sell 1,036,463 11/2000 5 Buy KW 1,262,100 10/2000 5 Buy MP 6,880 10/2000 34 Buy 6,715 01/2001 15 Sell 6,880 10/2000 (20) See accompanying notes 41 Schedule of Investments (Cont.) Foreign Bond Fund September 30, 2000 (Unaudited) Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Sell NK 4,160 10/2000 $ (12) Sell N$ 85,230 10/2000 2,538 Buy 64,271 10/2000 (1,014) Sell 3,866 11/2000 24 Buy PN 3,880 02/2001 (5) Buy 908 03/2001 3 Buy PP 33,140 03/2001 12 Buy PZ 14,414 01/2001 (171) Buy 8,090 02/2001 (30) Buy 26,046 03/2001 (87) Sell 13,704 01/2001 (56) Sell 8,090 02/2001 (30) Sell 3,640 03/2001 (55) Buy 25,080 10/2000 (186) Sell SK 33,780 10/2000 66 Buy TB 28,140 10/2000 (40) Buy TD 21,403 10/2000 (14) Buy VB 500,950 10/2000 35 Buy 144,970 12/2000 4 Buy SR 7,235 03/2001 12 Buy CP 1,365,400 02/2001 0 Buy TL 882,000,000 02/2001 0 ---------- $ 2,067 ========== (g) Principal amount denoted in indicated currency: AP - Argentine Peso A$ - Australian Dollar BP - British Pound BR - Brazilian Real CL - Chilean Peso CP - Colombian Peso C$ - Canadian Dollar DK - Danish Krone EC - Euro GD - Greek Drachma HF - Hungarian Forint H$ - Hong Kong Dollar IR - Indonesian Rupiah JY - Japanese Yen MP - Mexican Peso N$ - New Zealand Dollar NK - Norwegian Kron PN - Peruvian New Sol PP - Philippines Peso PZ - Polish Zloty KW - South Korean Won SF - Swiss Franc SK - Swedish Krona SR - South Africa Rand TD - Taiwan Dollar TB - Thai Baht TL - Turkish Lira VB - Venezuelan Bolivar (h) Principal amount of the security is adjusted for inflation. (i) Subject to financing transaction. (j) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount (Depreciation) -------------------------------------------------------------------------------- Receive fixed rate equal to 6.949% and pay floating rate based on 6-month BP-LIBOR. Broker: Merrill Lynch Exp. 08/06/2003 BP 4,500 $ 107 Receive floating rate based on 6-month Australian Bank Bill and pay a fixed rate equal to 6.667%. Broker: Morgan Stanley Exp. 09/20/2005 A$ 31,500 6 Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.346%. Broker: Goldman Sachs Exp. 07/19/2005 C$ 22,500 (187) Receive floating rate based on 3-month Canadian Bank Bill and pay fixed rate equal to 6.248%. Broker: Royal Bank of Canada Exp. 08/02/2005 60,600 (356) Receive floating rate based on 3-month Canadian Bank Bill and pay fixed rate equal to 6.515%. Broker: J.P. Morgan Exp. 05/10/2002 24,330 (160) Receive floating rate based on 6-month JY-LIBOR and pay fixed rate equal to 2.020%. Broker: Goldman Sachs Exp. 05/18/2010 JY 1,776,000 28 Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to 6.175%. Broker: Goldman Sachs Exp. 05/22/2030 EC 9,440 (95) Receive floating rate based on 6-month EURO-LIBOR minus 0.54% and pay a fixed rate equal to 6.250%. Broker: J.P. Morgan Exp. 01/04/2024 680 8 Receive a fixed rate equal to 7.291% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 07/21/2005 $ 14,500 330 Receive a fixed rate equal to 7.010% and pay floating rate based on 6-month LIBOR. Broker: Morgan Stanley Exp. 09/20/2005 18,500 208 Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to 6.069%. Broker: Morgan Stanley Exp. 08/25/2030 EC 7,900 58 ---------- $ (53) ========== (k) Restricted security. 42 See accompanying notes Schedule of Investments Global Bond Fund II September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- ARGENTINA (e)(f) 0.1% -------------------------------------------------------------------------------- Republic of Argentina 5.000% due 12/20/2002 JY 10,000 $ 93 ---------- Total Argentina 93 (Cost $95) ========== -------------------------------------------------------------------------------- AUSTRALIA (e)(f) 4.4% -------------------------------------------------------------------------------- Bankers Trust Corp. 6.970% due 06/02/2008 (d) $ 700 681 General Motors Acceptance Corp. 5.020% due 03/25/2002 EC 1,200 1,058 Registered Australian Mortgage Securities 4.770% due 09/26/2032 (d) 661 584 Superannuation Members Home Loans Global Fund 7.020% due 06/15/2026 (d) $ 400 400 Torrens Trust 6.880% due 07/15/2031 (d) 472 472 ---------- Total Australia 3,195 (Cost $3,329) ========== -------------------------------------------------------------------------------- AUSTRIA (e)(f) 0.1% -------------------------------------------------------------------------------- Republic of Austria 5.500% due 01/15/2010 (j) EC 100 88 ---------- Total Austria 88 (Cost $87) ========== -------------------------------------------------------------------------------- BELGIUM (e)(f) 0.2% -------------------------------------------------------------------------------- Kingdom of Belgium 6.750% due 11/21/2004 (d) BF 5,800 133 ---------- Total Belgium 133 (Cost $190) ========== -------------------------------------------------------------------------------- BRAZIL 0.6% -------------------------------------------------------------------------------- Republic of Brazil 7.880% due 01/01/2001 (d) $ 25 25 7.380% due 04/15/2006 (d) 419 394 ---------- Total Brazil 419 (Cost $405) ========== -------------------------------------------------------------------------------- BULGARIA 1.3% -------------------------------------------------------------------------------- Republic of Bulgaria 2.750% due 07/28/2012 (d) $ 682 497 7.750% due 07/28/2024 (d) 580 444 ---------- Total Bulgaria 941 (Cost $938) ========== -------------------------------------------------------------------------------- CANADA (e)(f) 0.3% -------------------------------------------------------------------------------- Beneficial Canada, Inc. 6.350% due 04/01/2002 C$ 330 220 ---------- Total Canada 220 (Cost $227) ========== -------------------------------------------------------------------------------- CAYMAN ISLANDS (e)(f) 0.3% -------------------------------------------------------------------------------- MBNA American Euro 4.980% due 05/19/2004 (d) EC 280 258 ---------- Total Cayman Islands 258 (Cost $294) ========== -------------------------------------------------------------------------------- DENMARK (e)(f) 3.8% -------------------------------------------------------------------------------- Danske Kredit Mortgage 5.000% due 10/01/2029 DK 2,417 $ 250 Denmark Government Bond 4.000% due 02/15/2001 (j) 3,800 446 Nykredit 5.000% due 10/01/2029 8,100 833 Realkredit Danmark Mortgage 5.000% due 10/01/2029 3,603 370 6.000% due 10/01/2029 3,300 365 Unikredit Realkredit 5.000% due 10/01/2029 4,310 446 ---------- Total Denmark 2,710 (Cost $3,004) ========== -------------------------------------------------------------------------------- FRANCE (e)(f) 6.4% -------------------------------------------------------------------------------- AXA 2.500% due 01/01/2014 EC 62 56 Compagnie Financiere de CIC-UE 6.890% due 10/29/2049 (d) $ 300 286 France Government Bond (OAT) 4.000% due 04/25/2009 (j) EC 1,170 939 5.500% due 04/25/2010 330 294 Republic of France 3.000% due 07/25/2009 309 257 4.000% due 10/25/2009 (j) 3,510 2,797 ---------- Total France 4,629 (Cost $4,955) ========== -------------------------------------------------------------------------------- GERMANY (e)(f) 2.0% -------------------------------------------------------------------------------- Commerzbank AG 3.870% due 09/21/2001 EC 440 388 Depfa Pfandbriefbank 4.750% due 07/15/2008 130 108 5.750% due 03/04/2009 (j) 130 114 Republic of Germany 6.000% due 07/04/2007 430 396 5.250% due 01/04/2008 430 380 6.250% due 01/04/2024 90 86 ---------- Total Germany 1,472 (Cost $1,570) ========== -------------------------------------------------------------------------------- GREECE (e)(f) 8.0% -------------------------------------------------------------------------------- CSFP Credit 7.420% due 11/19/2004 (d)(k) $ 1,750 1,766 Hellenic Republic 7.280% due 06/06/2001 (d) 400 406 7.890% due 06/17/2003 (d) GD 7,400 20 10.240% due 10/23/2003 (d) 33,600 90 6.600% due 01/15/2004 (j) 1,300,000 3,467 ---------- Total Greece 5,749 (Cost $5,984) ========== -------------------------------------------------------------------------------- ITALY (e)(f) 11.7% -------------------------------------------------------------------------------- Finmeccanica SpA 2.000% due 06/08/2005 EC 188 163 Island Finance 5.490% due 03/30/2015 (d) 389 344 Republic of Italy 4.750% due 07/01/2005 (j) 1,680 1,447 4.500% due 05/01/2009 (j) 4,080 3,351 4.250% due 11/01/2009 (j) 720 578 5.500% due 11/01/2010 (j) 390 344 6.500% due 11/01/2027 1,100 1,038 5.250% due 11/01/2029 (j) 1,470 1,176 ---------- Total Italy 8,441 (Cost $8,804) ========== See accompanying notes 43 Schedule of Investments (Cont.) Global Bond Fund II September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- JAPAN (e)(f) 2.9% -------------------------------------------------------------------------------- Government of Japan 4.000% due 06/20/2005 JY 11,000 $ 115 3.400% due 06/20/2005 (j) 28,000 285 0.900% due 12/22/2008 (j) 103,600 885 International Credit Receivable Japan 0.750% due 08/25/2005 10,000 93 International Credit Receivable Japan 1 Tranche A 0.720% due 11/22/2004 (d) 7,364 68 0.650% due 08/25/2005 30,000 278 International Credit Receivable Japan 1 Tranche B 0.820% due 11/22/2004 (d) 20,000 185 SHL Corp. Ltd. 0.530% due 12/25/2024 (d) 14,813 136 0.830% due 12/25/2024 (d) 5,000 46 ---------- Total Japan 2,091 (Cost $2,075) ========== -------------------------------------------------------------------------------- MEXICO (e)(f) 1.7% -------------------------------------------------------------------------------- Petroleos Mexicanos 8.850% due 09/15/2007 $ 140 139 9.380% due 12/02/2008 190 196 United Mexican States 8.750% due 05/30/2002 BP 250 374 5.000% due 09/30/2002 JY 25,000 244 10.380% due 01/29/2003 DM 200 97 4.000% due 03/11/2004 JY 20,000 186 ---------- Total Mexico 1,236 (Cost $1,275) ========== -------------------------------------------------------------------------------- NETHERLANDS (e)(f) 0.9% -------------------------------------------------------------------------------- Deutsche Bank Financial 6.720% due 12/17/2003 (d) $ 200 200 Tecnost International NV 6.670% due 06/23/2004 (d) EC 520 464 ---------- Total Netherlands 664 (Cost $752) ========== -------------------------------------------------------------------------------- NEW ZEALAND (e)(f) 0.7% -------------------------------------------------------------------------------- Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 1,200 512 ---------- Total New Zealand 512 (Cost $678) ========== -------------------------------------------------------------------------------- PANAMA 0.3% -------------------------------------------------------------------------------- Republic of Panama 4.500% due 07/17/2014 $ 250 202 ---------- Total Panama 202 (Cost $193) ========== -------------------------------------------------------------------------------- PERU 0.7% -------------------------------------------------------------------------------- Republic of Peru 3.750% due 03/07/2017 $ 250 140 4.500% due 03/07/2017 (d) 550 344 ---------- Total Peru 484 (Cost $545) ========== -------------------------------------------------------------------------------- PHILIPPINES (e)(f) 1.0% -------------------------------------------------------------------------------- Republic of Philippines 8.000% due 09/17/2004 EC 570 508 7.940% due 12/01/2009 (d) $ 99 86 6.500% due 12/01/2017 120 93 ---------- Total Philippines 687 (Cost $799) ========== -------------------------------------------------------------------------------- POLAND 0.1% -------------------------------------------------------------------------------- Republic of Poland 3.500% due 10/27/2024 (d) $ 160 101 ---------- Total Poland 101 (Cost $100) ========== -------------------------------------------------------------------------------- PORTUGAL (e)(f) 0.7% -------------------------------------------------------------------------------- Portugal Government 3.950% due 07/15/2009 (j) EC 650 511 ---------- Total Portugal 511 (Cost $608) ========== -------------------------------------------------------------------------------- QATAR (e)(f) 0.4% -------------------------------------------------------------------------------- International Credit Receivable 5.390% due 03/15/2010 JY 300 265 ---------- Total Qatar 265 (Cost $277) ========== -------------------------------------------------------------------------------- SOUTH KOREA (e)(f) 1.2% -------------------------------------------------------------------------------- Export-Import Bank Korea 7.250% due 06/25/2001 $ 260 259 Korea Development Bank 4.800% due 05/14/2001 (d) DM 440 197 1.880% due 02/13/2002 JY 42,000 389 ---------- Total South Korea 845 (Cost $871) ========== -------------------------------------------------------------------------------- SPAIN (e)(f) 4.3% -------------------------------------------------------------------------------- Kingdom of Spain 4.950% due 07/30/2005 (j) EC 1,620 1,405 5.150% due 07/30/2009 1,990 1,714 ---------- Total Spain 3,119 (Cost $3,212) ========== -------------------------------------------------------------------------------- SUPRANATIONAL (e)(f) 2.8% -------------------------------------------------------------------------------- Asian Development Bank 2.300% due 09/15/2003 A$ 600 316 5.250% due 09/15/2004 600 311 Eurofima 4.750% due 07/07/2004 SK 7,200 727 European Investment Bank 5.380% due 08/28/2007 NK 500 51 International Bank for Reconstruction & Development 7.250% due 04/09/2001 N$ 1,376 562 World Bank 10.250% due 04/11/2002 PP 2,000 40 ---------- Total Supranational 2,007 (Cost $2,379) ========== -------------------------------------------------------------------------------- SWEDEN (e)(f) 0.1% -------------------------------------------------------------------------------- Kingdom of Sweden 13.000% due 06/15/2001 SK 900 99 ---------- Total Sweden 99 (Cost $125) ========== -------------------------------------------------------------------------------- TUNISIA (e)(f) 0.1% -------------------------------------------------------------------------------- Banque Centrale De Tunisie 7.500% due 08/06/2009 EC 100 90 ---------- Total Tunisia 90 (Cost $102) ========== 44 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- UNITED KINGDOM (e)(f) 8.5% -------------------------------------------------------------------------------- Abbey National Treasury Service 7.630% due 12/30/2002 BP 280 $ 424 Bank of Scotland Capital Fund 8.120% due 03/31/2049 1,060 1,564 Equitable 8.000% due 08/29/2049 700 1,041 HAUS Ltd. 5.010% due 12/10/2037 (d) EC 1,500 1,324 Lloyds TSB Bank PLC 5.630% due 07/15/2049 590 472 Royal Bank of Scotland PLC 6.770% due 03/31/2049 1,000 888 SCCR Series 1 Ltd. 5.020% due 12/15/2031 156 138 United Kingdom Gilt 5.750% due 12/07/2009 BP 190 292 ---------- Total United Kingdom 6,143 (Cost $6,694) ========== -------------------------------------------------------------------------------- UNITED STATES 119.8% -------------------------------------------------------------------------------- Corporate Bonds & Notes (e)(f) 14.3% AESOP Funding II LLC 6.220% due 10/20/2001 $ 83 83 Alpha Wind 11.320% due 05/23/2001 500 500 Associates Corp. of North America 6.780% due 08/27/2001 (d) 400 401 Bancomext Trust Division 8.000% due 08/05/2003 70 70 Bear Stearns Co., Inc. 7.130% due 03/28/2003 (d) 380 380 Beckman Instruments, Inc. 7.100% due 03/04/2003 22 21 Capital One Bank 7.090% due 07/28/2003 (d) 500 502 CMS Energy Corp. 8.130% due 05/15/2002 26 26 Finova Capital Corp. 7.340% due 11/08/2002 (d) 1,250 1,016 7.190% due 04/08/2003 (d) 700 596 Ford Motor Credit Corp. 1.000% due 12/22/2003 JY 14,000 129 1.200% due 02/07/2005 98,000 893 Gold Eagle Capital Ltd. 12.130% due 04/15/2001 $ 500 500 Goldman Sachs Group 6.470% due 01/08/2001 (d) 300 300 Hewlett Packard Finance 5.630% due 11/20/2000 DM 100 45 Household Finance Corp. 7.090% due 08/06/2002 (d) $ 230 231 J.P. Morgan & Co. 8.080% due 02/15/2012 100 87 Jones Intercable, Inc. 8.880% due 04/01/2007 26 27 Kroger Co. 7.560% due 10/01/2010 (d) 200 200 Lehman Brothers Holdings, Inc. 7.530% due 07/15/2002 (d) 400 403 MGM Grand, Inc. 6.950% due 02/01/2005 10 10 Prudential Funding Corp. 6.850% due 12/21/2000 (d) 500 500 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 2,013 1,989 6.720% due 10/21/2002 (d) BP 200 295 Sanwa Finance Aruba AEC 8.350% due 07/15/2009 $ 200 200 Sprint Capital Corp. 5.880% due 05/01/2004 50 48 TCI Communications, Inc. 7.440% due 04/01/2002 (d) 300 304 Tennessee Valley Authority 3.380% due 01/15/2007 (h) 185 174 Texas Utilities Co. 7.210% due 06/25/2001 200 200 7.590% due 09/24/2001 (d) 200 201 ---------- 10,331 ========== Mortgage-Backed Securities 68.0% Chase Mortgage Finance Corp. 6.550% due 08/25/2028 530 526 Citicorp Mortgage Securities, Inc. 6.500% due 07/25/2028 315 312 6.500% due 03/25/2029 10 9 Crusade Global Trust 7.010% due 05/15/2021 (d) 1,540 1,544 Federal National Mortgage Association 7.000% due 02/25/2020 122 121 Government National Mortgage Association 7.000% due 10/23/2030-05/20/2030 (d)(g) 23,338 20,970 7.130% due 11/20/2021 (d) 40 41 6.750% due 07/20/2022 (d) 635 642 6.750% due 09/20/2023 (d) 397 401 6.750% due 07/20/2025 (d) 344 347 6.750% due 09/20/2025 (d) 40 40 7.130% due 12/20/2025 (d) 21 21 6.750% due 09/20/2026 (d) 25 25 7.130% due 11/20/2026 (d) 637 643 7.130% due 11/20/2026 (d) 294 296 7.130% due 12/20/2026 (d) 59 60 7.220% due 02/16/2030 (d) 1,402 1,406 7.300% due 02/16/2030 (d) 1,464 1,466 6.000% due 06/20/2030-10/23/2030 (d)(g) 29,077 14,195 Medallion Trust 6.960% due 07/12/2031 (d) 932 932 Puma Finance Ltd. 6.420% due 04/15/2031 (k) 400 399 Residential Funding Mortgage Securities, Inc. 7.090% due 05/12/2032 (d) 2,604 2,604 Sasco Floating Rate Commercial Mortgage 7.020% due 11/20/2001 (d) 560 561 Structured Asset Mortgage Investments, Inc. 6.580% due 06/25/2029 (d) 211 202 Structured Asset Securities Corp. 6.550% due 02/25/2030 (d) 1,366 1,368 ---------- 49,131 ========== Asset-Backed Securities 6.4% AFC Home Equity Loan Trust 6.930% due 12/22/2027 (d) 362 362 Amresco Residential Securities Mortgage Loan Trust 7.090% due 06/25/2029 (d) 510 512 Banc One Auto Grantor Trust 6.270% due 11/20/2003 13 13 Chase Manhattan Grantor Trust 6.610% due 09/15/2002 11 11 Contimortgage Home Equity Loan Trust 6.010% due 12/25/2013 307 305 EQCC Home Equity Loan Trust 5.770% due 03/20/2029 233 232 Nissan Auto Receivables Grantor Trust 5.450% due 04/15/2004 60 59 Providian Gateway Master Trust 6.840% due 03/15/2007 800 800 Providian Home Equity Loan Trust 6.910% due 06/25/2025 (d) 578 578 PSB Lending Home Loan Owner Trust 6.830% due 05/20/2018 110 109 Residential Asset Securities Corp. 6.760% due 12/25/2013 (d) 230 230 Residential Funding Mortgage Securities, Inc. 10.930% due 06/01/2001 300 300 Salomon Brothers Mortgage Securities 7.040% due 11/15/2029 (d) 166 166 United Panama Mortgage Loan Asset Backed 7.070% due 10/25/2029 (d) 758 757 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 172 171 --------- 4,605 ========= See accompanying notes 45 Schedule of Investments (Cont.) Global Bond Fund II September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Municipal Bonds & Notes 0.7% California State General Obligation, (FGIC Insured), Series 1997 4.750% due 12/01/2028 $ 300 $ 262 Long Island Power Authority New York Electric System, (FSA Insured), Series 1998, 5.125% due 12/01/2022 300 277 ---------- 539 ========== U.S. Government Agencies (e)(f) 3.3% Federal National Mortgage Association 6.500% due 07/10/2002 (j) A$ 200 108 Student Loan Marketing Assn. 6.520% due 04/25/2007 (d) $ 1,361 1,356 6.590% due 10/25/2007 (d) 900 897 ---------- 2,361 ========== U.S. Treasury Obligations 26.1% Treasury Inflation Protected Securities 3.630% due 07/15/2002 (b)(h) 15,540 15,535 U.S. Treasury Bonds 8.750% due 08/15/2020 (j) 500 650 8.000% due 11/15/2021 600 733 6.250% due 08/15/2023 1,000 1,019 U.S. Treasury Strips 0.000% due 02/15/2015 2,200 917 ---------- 18,854 ========== Preferred Security 1.0% Shares DG Funding Trust 9.030% due 12/29/2049 (d) 70 702 ---------- Total United States 86,523 (Cost $86,715) ========== -------------------------------------------------------------------------------- PURCHASED PUT OPTIONS 1.0% -------------------------------------------------------------------------------- Principal Amount (000s) General National Mortgage Association (OTC) 6.000% due 10/20/2030 Strike @ 85.84 Exp. 11/13/2000 $ 14,000 0 General National Mortgage Association (OTC) 7.000% due 10/23/2030 Strike @ 89.00 Exp. 10/16/2000 23,170 0 Interest Rate Swap (OTC) Strike @ 7.500% Exp. 04/29/2002 700 14 U.S. Treasury Note (OTC) 5.625% due 05/15/2008 Strike @ 105.44 Exp. 11/01/2000 1,100 78 U.S. Treasury Note (OTC) 6.000% due 08/15/2009 Strike @ 110.09 Exp. 11/06/2000 6,910 649 ----------- Total Purchased Put Options 741 (Cost $793) =========== Short-Term Instruments 6.4% Commercial Paper 6.4% Alcoa, Inc. 6.450% due 12/06/2000 1,400 1,383 Conagra, Inc. 6.670% due 11/16/2000 400 396 Ingersoll-Rand Co. 6.700% due 11/15/2000 500 496 Procter & Gamble Co. 6.500% due 11/29/2000 200 198 Sprint Capital Corp. 6.720% due 11/08/2000 2,200 2,185 ----------- Total Short-Term Instruments 4,658 (Cost $4,659) =========== Total Investments (a) 192.8% $ 139,326 (Cost $142,734) Written Options (c) (0.1%) (89) (Premiums $89) Other Assets and Liabilities (Net) (92.7%) (66,992) ---------- Net Assets 100.0% $ 72,245 ========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of tax cost over value. $ 495 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (3,903) ----------- Unrealized depreciation-net $ (3,408) =========== (b) Securities with an aggregate market value of $860 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: Unrealized # of Appreciation/ Type Contracts (Depreciation) -------------------------------------------------------------------------------- EuroBond 10 Year Note (12/2000) 23 $ 8 Government of Japan 10 Year Note (12/2000) 13 (37) U.S. Treasury 10 Year Note (12/2000) 30 7 U.S. Treasury 30 Year Note (12/2000) 12 (14) United Kingdom 10 Year Note (12/2000) 18 (17) United Kingdom 90 Day LIBOR Future (06/2001) 15 1 EuroBond 10 Year Written Put Note Options (11/2000) 32 10 ----------- $ (42) =========== 46 See accompanying notes (c) Premiums received on written options: # of Type Contracts Premium Value -------------------------------------------------------------------------------- Call - CBOT U.S. Treasury Note December Futures Strike @ 103.00 Exp. 11/18/2000 7 $ 1 $ 1 Call - CBOT U. S. Treasury Note December Futures Strike @ 102.00 Exp. 11/18/2000 7 2 2 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.84 Exp.10/10/2000 1,790,000 9 0 Call - OTC Eurodollar vs. U.S. Dollar Strike @ 0.90 Exp. 10/10/2000 1,790,000 8 4 Put - CME Eurodollar March Futures Strike @ 92.75 Exp. 03/19/2001 5 3 0 Call - CME Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 5 2 4 Put - CBOT U.S. Treasury Note December Futures Strike @ 98.00 Exp. 11/18/2000 3 2 1 Put - CBOT U.S. Treasury Note December Futures Strike @ 97.00 Exp. 11/18/2000 3 1 0 Call - TSE Government of Japan December Futures Strike @ 134.00 Exp. 11/30/2000 4 7 8 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.81 Exp. 12/21/2000 2,100,000 7 4 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.85 Exp. 10/24/2000 900,000 4 2 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.500% Exp. 02/23/2001 1,100,000 6 5 Put- OTC Eurodollar vs. U.S. Dollar Strike @ 0.85 Exp. 10/24/2000 2,800,000 13 7 Put - OTC 3 Month LIBOR Interest Rate Swap Strike @ 7.500% Exp. 04/29/2002 1,000,000 24 51 --------------------- $ 89 $ 89 ===================== (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Buy AP 102 02/2001 $ 1 Buy A$ 860 10/2000 (40) Sell 150 10/2000 5 Sell 960 11/2000 1 Buy 169 11/2000 0 Buy BR 230 01/2001 (1) Buy 90 03/2001 1 Sell C$ 400 10/2000 4 Buy 130 10/2000 (1) Sell SF 2,560 10/2000 (20) Buy 1,400 10/2000 1 Sell 1,400 11/2000 (1) Buy CL 62,700 10/2000 (5) Buy 4,400 03/2001 0 Buy CP 190,800 02/2001 0 Sell DK 13,519 10/2000 11 Sell 3,366 11/2000 0 Buy 3,366 10/2000 0 Sell EC 400 01/2001 28 Sell 11,854 10/2000 259 Buy 88,805 10/2000 (26) Sell 1,159 11/2000 (2) Sell BP 3,064 10/2000 (61) Buy 460 10/2000 13 Buy GD 360,498 01/2001 (25) Sell 50,518 12/2000 0 Sell H$ 3,810 10/2000 (3) Buy 3,810 10/2000 0 Sell 31,200 08/2001 14 Buy 15,600 08/2001 (2) Buy HF 197,000 01/2001 (109) Sell 197,000 01/2001 49 Buy 47,700 02/2001 (7) Buy IR 1,180,000 10/2000 (9) Sell JY 414,425 10/2000 47 Buy 268,820 10/2000 (28) Sell 149,236 11/2000 1 Buy KW 181,300 10/2000 1 Buy MP 1,220 10/2000 6 Buy 960 01/2001 2 Sell 1,220 10/2000 (3) Sell N$ 4,126 10/2000 64 Buy 2,800 10/2000 (49) Sell 1,373 11/2000 8 Buy PN 540 02/2001 (1) Buy 120 03/2001 0 Buy PP 4,450 03/2001 2 Buy PZ 1,067 01/2001 (13) Buy 2,780 02/2001 (19) Buy 3,213 03/2001 (7) Sell 2,780 02/2001 7 Sell 667 01/2001 (4) Sell 270 03/2001 (4) Buy 3,560 10/2000 (26) Sell SK 1,364 10/2000 3 Buy TB 3,800 10/2000 (5) Buy TL 125,000,000 02/2001 (12) Buy TD 3,092 10/2000 (2) Buy VB 89,550 10/2000 6 Buy 4,010 12/2000 0 Buy SR 1,030 03/2001 2 ---------- $ 51 ========== See accompanying notes 47 (f) Principal amount denoted in indicated currency: AP - Argentine Peso A$ - Australian Dollar BP - British Pound BR - Brazilian Real CL - Chilean Peso CP Columbian Peso C$ - Canadian Dollar DK - Danish Krone EC - Euro GD - Greek Drachma HF - Hungarian Forint H$ - Hong Kong Dollar IR - Indonesian Rupiah JY - Japanese Yen MP - Mexican Peso N$ - New Zealand Dollar PN - Peruvian New Sol PP - Philippine Peso PZ - Polish Zloty KW - South Korean Won SF - Swiss Franc SK - Swedish Krona SR - South Africa Rand TD - Taiwan Dollar TB - Thai Baht VB - Venezuelan Bolivar (g) Securities are grouped by coupon or range of coupons and represent a range of maturities. (h) Principal amount of the security is adjusted for inflation. (i) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount (Depreciation) -------------------------------------------------------------------------------- Receive fixed rate equal to 5.935% and pay floating rate based on 6 month BP-LIBOR. Broker: Merrill Lynch Exp. 11/05/2003 BP 1,700 $ (28) Receive floating rate based on 6-month Australian Bank Bill and pay a fixed rate equal to 6.667%. Broker: Morgan Stanley Exp. 09/20/2005 A$ 4,400 1 Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.346%. Broker: Goldman Sachs Exp. 07/19/2005 C$ 3,000 (25) Receive floating rate based on 3-month Canadian Bank Bill and pay fixed rate equal to 6.248%. Broker: Royal Bank of Canada Exp. 08/02/2005 8,500 (50) Receive floating rate based on 3-month Canadian Bank Bill and pay fixed rate equal to 6.515%. Broker: J.P. Morgan Exp. 05/10/2002 3,400 (22) Receive floating rate based on 6-month JY-LIBOR and pay fixed rate equal to 2.020%. Broker: Goldman Sachs Exp. 05/18/2010 JY 226,000 4 Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to 6.175%. Broker: Goldman Sachs Exp. 05/22/2030 EC 1,320 $ (13) Receive floating rate based on 6-month EURO-LIBOR minus 0.54% and pay a fixed rate equal to 6.250%. Broker: J.P. Morgan Exp. 01/04/2024 90 1 Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.310%. Broker: Goldman Sachs Exp. 07/14/2005 JY 232,000 (6) Receive a fixed rate equal to 7.291% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 07/21/2005 $ 2,000 46 Receive a fixed rate equal to 7.010% and pay floating rate based on 6-month LIBOR. Broker: Morgan Stanley Exp. 09/20/2005 2,600 29 Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to 6.069%. Broker: Morgan Stanley Exp. 08/25/2030 EC 1,100 8 ----------- $ (55) =========== (j) Subject to financing transaction. (k) Restricted security. 48 See accompanying notes Schedule of Investments High Yield Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 75.8% -------------------------------------------------------------------------------- Banking & Finance 8.1% Americo Life, Inc. 9.250% due 06/01/2005 $ 250 $ 234 Amethyst Financial Co. Ltd. 11.750% due 10/29/2001 5,000 5,000 Arvin Capital 9.500% due 02/01/2027 19,000 17,561 Bay View Capital Corp. 9.130% due 08/15/2007 6,400 4,896 Beaver Valley Funding Corp. 8.630% due 06/01/2007 18,000 18,322 9.000% due 06/01/2017 15,235 15,737 DLJ Secured Loan Trust 10.130% due 07/07/2007 10,000 10,491 Forest City Enterprises 8.500% due 03/15/2008 13,400 12,931 Fuji Bank Ltd. 9.870% due 12/31/2049 (d) 9,800 9,599 General Motors Acceptance Corp. 6.840% due 04/29/2002 (d) 800 803 Golden State Holdings 6.750% due 08/01/2001 6,250 6,155 7.000% due 08/01/2003 3,705 3,546 7.130% due 08/01/2005 870 811 Host Marriott LP 8.380% due 02/15/2006 11,660 11,252 Imperial Credit Industries, Inc. 9.880% due 01/15/2007 200 91 Mercury Finance Co. 10.000% due 03/23/2001 21,100 20,573 11.160% due 03/23/2001 21,350 20,709 Presidential Life Insurance Corp. 7.880% due 02/15/2009 13,250 12,226 Reliance Group Holdings 9.000% due 11/15/2000 (e) 4,778 1,625 Sovereign Bancorp, Inc. 6.630% due 03/15/2001 (d) 14,450 14,297 Sumitomo Bank Treasury Co. 9.400% due 12/29/2049 (d) 29,600 29,126 Telewest Credit Link 10.880% due 02/07/2005 5,000 5,151 Trizec Finance Ltd. 10.880% due 10/15/2005 17,461 17,810 Willis Corroon Corp. 9.000% due 02/01/2009 10,700 9,924 ---------- 248,870 ========== Industrials 60.3% 360 Networks, Inc. 13.000% due 05/01/2008 7,150 6,542 Abbey Healthcare Group 9.500% due 11/01/2002 14,195 14,177 Adelphia Business Solution 12.250% due 09/01/2004 7,200 6,552 Advanced Lighting 8.000% due 03/15/2008 10,425 7,467 AEI Holding Co. 10.500% due 12/15/2005 11,380 1,764 Allied Waste Industries, Inc. 7.380% due 01/01/2004 15,100 14,118 7.630% due 01/01/2006 9,430 8,487 American Airlines 10.610% due 03/04/2010 650 737 American Media Operation, Inc. 10.250% due 05/01/2009 1,000 978 American Standard, Inc. 7.130% due 02/15/2003 200 197 7.380% due 04/15/2005 5,700 5,472 9.250% due 12/01/2016 2,778 2,792 Amerigas Partners LP 10.130% due 04/15/2007 3,000 3,011 AM-FM, Inc. 8.750% due 06/15/2007 5,650 5,777 8.000% due 11/01/2008 5,000 5,063 Amphenol Corp. 9.880% due 05/15/2007 6,795 6,965 Archibald Candy Corp. 10.250% due 07/01/2004 4,000 2,240 Arco Chemical Co. 9.380% due 12/15/2005 4,215 4,191 Ball Corp. 7.750% due 08/01/2006 8,100 7,918 8.250% due 08/01/2008 7,600 7,401 Beckman Instruments, Inc. 7.100% due 03/04/2003 6,431 6,271 7.450% due 03/04/2008 15,870 14,624 Benedek Communications Corp. 0.000% due 05/15/2006 (c) 1,500 1,320 Beverly Enterprises, Inc. 9.000% due 02/15/2006 18,075 17,081 Boyd Gaming Corp. 9.500% due 07/15/2007 2,000 1,880 British Sky Broadcasting PLC 7.300% due 10/15/2006 1,000 925 8.200% due 07/15/2009 4,000 3,790 Browning-Ferris Industries, Inc. 6.100% due 01/15/2003 (d) 4,100 3,848 7.880% due 03/15/2005 2,000 1,868 Building Materials Corp. 7.750% due 07/15/2005 13,656 8,945 8.630% due 12/15/2006 1,250 831 8.000% due 10/15/2007 1,276 798 8.000% due 12/01/2008 18,250 11,224 Cadmus Communications Corp. 9.750% due 06/01/2009 6,700 6,600 Call-Net Enterprises, Inc. 8.000% due 08/15/2008 8,450 4,014 Canadian Forest Oil Ltd. 8.750% due 09/15/2007 5,650 5,509 Century Communications Corp. 9.750% due 02/15/2002 650 650 0.000% due 03/15/2003 19,960 15,269 8.750% due 10/01/2007 3,800 3,420 CF Cable TV, Inc. 9.130% due 07/15/2007 9,000 9,685 Charter Communications Holding LLC 8.250% due 04/01/2007 13,750 12,530 10.000% due 04/01/2009 7,150 7,034 Clark R & M, Inc. 8.380% due 11/15/2007 3,000 2,430 Clearnet Communications 0.000% due 05/01/2009 (c) 6,000 4,785 Cliffs Drilling Co. 10.250% due 05/15/2003 750 773 Columbia/HCA Healthcare 6.130% due 12/15/2000 2,000 1,990 6.870% due 09/15/2003 1,300 1,247 6.910% due 06/15/2005 1,250 1,179 7.000% due 07/01/2007 3,350 3,110 8.360% due 04/15/2024 6,000 5,585 6.730% due 07/15/2045 5,000 4,797 Columbus McKinnon 8.500% due 04/01/2008 14,750 13,035 Consolidated Container 10.130% due 07/15/2009 8,150 8,201 Container Corp. of America 9.750% due 04/01/2003 1,000 1,010 11.250% due 05/01/2004 6,920 6,989 Continental Cablevision 9.500% due 08/01/2013 10,000 10,656 Cross Timbers Oil Co. 9.250% due 04/01/2007 1,440 1,440 Crown Castle International Corp. 13.250% due 11/15/2007 2,250 1,766 10.750% due 08/01/2011 4,000 4,130 Crown Cork & Seal Co. 7.130% due 09/01/2002 4,115 3,905 See accompanying notes 49 Schedule of Investments (Cont.) High Yield Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CSC Holdings, Inc. 9.250% due 11/01/2005 $ 1,000 $ 1,013 9.880% due 05/15/2006 850 873 7.880% due 12/15/2007 100 99 9.880% due 02/15/2013 3,100 3,193 9.880% due 04/01/2023 4,000 4,120 Cumberland Farms 10.500% due 10/01/2003 5,784 5,596 Dade International, Inc. 11.130% due 05/01/2006 500 133 Delta Air Lines, Inc. 10.790% due 03/26/2014 2,264 2,548 Diamond Cable Communication Co. 13.250% due 09/30/2004 (c) 1,500 1,575 0.000% due 12/15/2005 (c)(d) 10,000 9,450 10.750% due 02/15/2007 (c) 10,100 7,626 Dunlop Stand Aerospace Holdings 11.880% due 05/15/2009 3,900 3,944 Echostar Broadband Corp. 10.380% due 10/01/2007 2,000 2,000 Echostar Communications Corp. 9.250% due 02/01/2006 23,046 22,844 9.380% due 02/01/2009 11,000 10,835 Embotelladora Arica S.A 9.880% due 03/15/2006 16,050 16,712 Emmis Communications Corp. 8.130% due 03/15/2009 200 191 Energis PLC 9.750% due 06/15/2009 7,500 7,425 Extended Stay America 9.150% due 03/15/2008 6,350 6,033 Extendicare Health Services 9.350% due 12/15/2007 2,050 1,210 EZ Communication, Inc. 9.750% due 12/01/2005 2,500 2,627 Fairpoint Communications, Inc. 9.500% due 05/01/2008 7,875 6,891 10.320% due 05/01/2008 (d) 4,500 4,247 12.500% due 05/01/2010 4,200 4,074 Federal-Mogul Corp. 7.500% due 07/01/2004 22,650 9,626 7.380% due 01/15/2006 150 59 7.750% due 07/01/2006 11,350 4,483 Ferrellgas Partners LP 9.380% due 06/15/2006 14,936 14,712 Fisher Scientific International 7.130% due 12/15/2005 13,750 12,237 9.000% due 02/01/2008 17,895 16,554 Flag Telecom Holding Ltd. 11.630% due 03/30/2010 19,200 16,512 Forest Oil Corp. 10.500% due 01/15/2006 3,585 3,710 Fox/Liberty Networks LLC 0.000% due 08/15/2007 (c) 9,750 8,312 Fred Meyer, Inc. 7.450% due 03/01/2008 400 387 Frontiervision L.P. 11.000% due 10/15/2006 2,000 2,005 Garden State Newspapers 8.750% due 10/01/2009 3,955 3,698 8.630% due 07/01/2011 3,900 3,656 Georgia Gulf Corp. 7.630% due 11/15/2005 1,250 1,217 Global Crossing Ltd. 6.000% due 10/15/2013 12,385 11,442 Golden Northwest Aluminum 12.000% due 12/15/2006 2,850 2,814 Gulf Canada Resources Ltd. 9.250% due 01/15/2004 10,975 11,151 9.630% due 07/01/2005 2,830 2,904 8.380% due 11/15/2005 4,000 4,020 Harrahs Operating Co., Inc. 7.880% due 12/15/2005 6,600 6,369 7.500% due 01/15/2009 20,675 19,507 HMH Properties, Inc. 7.880% due 08/01/2005 32,120 30,434 Hollinger International Publishing 8.630% due 03/15/2005 250 249 9.250% due 02/01/2006 4,600 4,629 9.250% due 03/15/2007 680 687 Holmes Products Corp. 9.880% due 11/15/2007 950 565 Horseshoe Gaming Holding 8.630% due 05/15/2009 17,750 17,484 HS Resources, Inc. 9.880% due 12/01/2003 3,650 3,687 9.250% due 11/15/2006 5,250 5,276 Huntsman Corp. 9.500% due 07/01/2007 12,700 10,223 Huntsman ICI Chemicals LLC 10.130% due 07/01/2009 5,400 5,326 Huntsman Polymers Corp. 11.750% due 12/01/2004 4,600 4,669 Impsat Corp. 12.380% due 06/15/2008 8,900 6,964 Intermedia Communications, Inc. 0.000% due 05/15/2006 (c) 25,535 24,386 International Game Technology 7.880% due 05/15/2004 14,800 14,541 8.380% due 05/15/2009 14,100 13,853 Isle of Capri Casinos, Inc. 8.750% due 04/15/2009 500 468 ISP Holdings, Inc. 9.750% due 02/15/2002 4,750 4,274 9.000% due 10/15/2003 24,570 23,587 ITT Corp. 6.250% due 11/15/2000 1,500 1,497 John Q. Hammons Hotels 8.880% due 02/15/2004 2,550 2,384 9.750% due 10/01/2005 200 191 Jones Intercable, Inc. 8.880% due 04/01/2007 5,060 5,309 Jupiters Ltd. 8.500% due 03/01/2006 12,800 12,352 K Mart Corp. 8.130% due 12/16/2003 300 281 12.350% due 01/01/2008 3,920 3,974 8.800% due 07/01/2010 1,144 1,078 9.350% due 01/02/2020 12,936 11,504 9.780% due 01/05/2020 9,575 7,828 Keebler Corp. 10.750% due 07/01/2006 6,000 6,354 KPNQWest BV 8.130% due 06/01/2009 27,600 25,530 L-3 Communications Corp. 10.380% due 05/01/2007 6,450 6,627 8.500% due 05/15/2008 400 374 Lear Corp. 8.250% due 02/01/2002 6,410 6,378 7.960% due 05/15/2005 3,125 2,979 Lenfest Communications 8.380% due 11/01/2005 10,650 11,179 10.500% due 06/15/2006 525 594 Level 3 Communications, Inc. 11.000% due 03/15/2008 5,500 5,280 9.130% due 05/01/2008 31,450 27,204 11.250% due 03/15/2010 1,000 960 Levi Strauss & Co. 6.800% due 11/01/2003 25,350 21,547 Leviathan Gas Corp. 10.380% due 06/01/2009 3,325 3,525 Lin Television Corp. 8.380% due 03/01/2008 9,300 8,882 Lyondell Chemical Co. 9.630% due 05/01/2007 15,435 15,107 Mail-Well Corp. 8.750% due 12/15/2008 20,930 18,314 50 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Mandalay Resort Group 6.750% due 07/15/2003 $ 19,750 $ 18,565 9.250% due 12/01/2005 6,100 6,070 6.450% due 02/01/2006 100 88 10.250% due 08/01/2007 250 258 9.500% due 08/01/2008 500 513 Mark IV Industries, Inc. 7.500% due 09/01/2007 6,730 5,260 Market Hub Partners 8.250% due 03/01/2008 11,580 11,783 Marsh Supermarkets, Inc. 8.880% due 08/01/2007 9,500 8,978 McLeodUSA, Inc. 0.000% due 03/01/2007 (c) 43,525 35,908 8.380% due 03/15/2008 5,100 4,487 9.500% due 11/01/2008 13,625 12,808 8.130% due 02/15/2009 4,837 4,196 Metromedia Fiber Network, Inc. 10.000% due 11/15/2008 14,645 13,766 10.000% due 12/15/2009 15,100 14,194 Metronet Communications 0.000% due 06/15/2008 (c) 16,475 13,460 MGM Grand, Inc. 6.950% due 02/01/2005 30,420 29,244 Mirage Resorts, Inc. 6.630% due 02/01/2005 3,500 3,328 7.250% due 10/15/2006 2,670 2,551 Newpark Resources, Inc. 8.630% due 12/15/2007 4,050 3,827 Nextel Communications, Inc. 9.380% due 11/15/2009 46,700 45,766 Nextel Partners, Inc. 0.000% due 02/01/2009 (c) 11,538 8,163 11.000% due 03/15/2010 200 202 Nextlink Communications, Inc. 9.630% due 10/01/2007 9,000 8,168 10.750% due 06/01/2009 2,425 2,255 10.500% due 12/01/2009 10,000 9,200 NL Industries, Inc. 11.750% due 10/15/2003 1,950 1,989 Nortek, Inc. 9.130% due 09/01/2007 500 475 8.880% due 08/01/2008 750 694 NTL, Inc. 12.750% due 04/15/2005 (c) 700 707 0.000% due 02/01/2006 (c) 20,600 19,570 11.500% due 10/01/2008 7,400 7,178 Octel Developments PLC 10.000% due 05/01/2006 900 851 Orion Network Systems, Inc. 0.000% due 01/15/2007 (c) 13,800 4,761 11.250% due 01/15/2007 14,625 7,678 Owens-Illinois, Inc. 7.850% due 05/15/2004 2,650 2,381 P&L Coal Holdings 8.880% due 05/15/2008 19,050 18,907 Packaging Corp. of America 9.630% due 04/01/2009 3,125 3,180 Park Place Entertainment Corp. 8.880% due 09/15/2008 6,000 5,993 Perry-Judd 10.630% due 12/15/2007 2,320 2,076 Petroleos Mexicanos 9.380% due 12/02/2008 8,000 8,240 PharMerica, Inc. 8.380% due 04/01/2008 15,650 11,503 Phar-Mor, Inc. 11.720% due 09/11/2002 5,905 3,757 Physician Sales and Service, Inc. 8.500% due 10/01/2007 9,250 8,371 Piedmont Aviation, Inc. 10.250% due 03/28/2005 571 559 9.900% due 11/08/2006 716 686 Pioneer National Resources 8.880% due 04/15/2005 20,100 20,573 8.250% due 08/15/2007 6,500 6,368 6.500% due 01/15/2008 6,950 6,157 Polymer Group, Inc. 9.000% due 07/01/2007 11,178 8,663 8.750% due 03/01/2008 10,950 8,705 Price Communications Wireless, Inc. 9.130% due 12/15/2006 8,075 8,196 Pride International, Inc. 9.380% due 05/01/2007 3,100 3,170 Primedia, Inc. 10.250% due 06/01/2004 4,000 4,020 8.500% due 02/01/2006 10,740 10,257 7.630% due 04/01/2008 8,250 7,508 R & B Falcon Corp. 6.500% due 04/15/2003 7,500 7,163 9.250% due 04/15/2005 4,525 4,248 R.H. Donnelly, Inc. 9.130% due 06/01/2008 6,725 6,624 Racers 8.380% due 10/01/2007 21,606 19,952 Renaissance Media Group 0.000% due 04/15/2008 (c) 21,250 14,981 Rogers Cablesystems Ltd. 10.000% due 03/15/2005 4,000 4,250 Rogers Cantel, Inc. 8.300% due 10/01/2007 4,316 4,294 8.800% due 10/01/2007 1,350 1,360 9.380% due 06/01/2008 23,550 24,492 Rural Cellular Corp. 9.630% due 05/15/2008 12,300 11,808 Safety-Kleen Services 9.250% due 06/01/2008 (e) 28,475 1,032 9.250% due 05/15/2009 (e) 14,000 508 Salem Communications 9.500% due 10/01/2007 1,400 1,379 Satelites Mexicanos 11.280% due 06/30/2004 (d) 7,875 5,473 SC International Services, Inc. 9.250% due 09/01/2007 19,450 19,061 Scotia Pacific Co. LLC 7.710% due 01/20/2014 (d) 180 118 Sequa Corp. 9.000% due 08/01/2009 7,550 7,456 Silgan Holdings, Inc. 9.000% due 06/01/2009 14,525 13,254 Smithfield Foods 7.630% due 02/15/2008 2,215 1,999 Smiths Food & Drug Centers, Inc. 8.640% due 07/02/2012 299 316 Station Casinos, Inc. 10.130% due 03/15/2006 2,000 2,010 9.750% due 04/15/2007 6,850 6,867 8.880% due 12/01/2008 800 775 9.880% due 07/01/2010 1,000 1,008 Sterling Chemicals, Inc. 12.380% due 07/15/2006 10,740 10,901 Stone Container Corp. 10.750% due 10/01/2002 12,346 12,577 11.500% due 10/01/2004 2,000 2,065 11.500% due 08/15/2006 4,850 5,020 TeleCorp PCS, Inc. 10.630% due 07/15/2010 1,125 1,142 Telewest Communications PLC 9.630% due 10/01/2006 11,250 10,519 0.000% due 10/01/2007 (c)(d) 10,949 10,538 11.250% due 11/01/2008 1,000 975 9.250% due 04/15/2009 (c) 19,330 10,390 9.880% due 02/01/2010 7,750 7,130 Tenet Healthcare Corp. 7.880% due 01/15/2003 1,000 998 8.630% due 12/01/2003 1,500 1,511 8.000% due 01/15/2005 7,095 7,033 8.630% due 01/15/2007 3,500 3,483 7.630% due 06/01/2008 20,090 19,111 See acompanying notes 51 Schedule of Investments (Cont.) High Yield Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Terra Industries 10.500% due 06/15/2005 $ 2,000 $ 1,265 TFM SA de CV 0.000% due 06/15/2009 (c) 8,250 6,249 Triad Hospitals, Inc. 11.000% due 05/15/2009 2,095 2,158 U.S. Air, Inc. 9.630% due 09/01/2003 16,403 15,924 9.330% due 01/01/2006 4,510 4,200 United Defense Industries, Inc. 8.750% due 11/15/2007 1,000 943 United Pan-Europe Communications NV 10.880% due 11/01/2007 11,500 10,062 0.000% due 02/01/2009 (c) 7,990 4,674 10.880% due 08/01/2009 13,800 11,799 Vectura Group, Inc. 10.250% due 06/30/2008 275 235 Vintage Petroleum, Inc. 9.000% due 12/15/2005 9,840 9,988 9.750% due 06/30/2009 6,350 6,636 Voicestream Wireless Holding Corp. 10.380% due 11/15/2009 4,000 4,340 Waste Management, Inc. 7.000% due 05/15/2005 650 618 Western Gas Resources, Inc. 10.000% due 06/15/2009 7,100 7,455 Westinghouse Air Brake 9.380% due 06/15/2005 3,685 3,574 Westpoint Stevens, Inc. 7.880% due 06/15/2008 3,220 2,415 Williams Communications Group, Inc. 7.180% due 11/15/2001 (d) 6,100 6,104 10.700% due 10/01/2007 4,500 4,219 10.880% due 10/01/2009 5,750 5,290 World Color Press, Inc. 8.380% due 11/15/2008 650 633 7.750% due 02/15/2009 1,750 1,634 Worldwide Fiber, Inc. 12.000% due 08/01/2009 7,250 6,489 Young Broadcasting, Inc. 9.000% due 01/15/2006 18,625 17,973 8.750% due 06/15/2007 160 152 ---------- 1,841,222 ========== Utilities 7.4% AES Corp. 10.250% due 07/15/2006 2,661 2,734 8.500% due 11/01/2007 7,800 7,488 9.500% due 06/01/2009 6,585 6,733 Alestra SA 12.130% due 05/15/2006 12,100 11,767 AT&T Corp. 10.630% due 11/01/2008 9,600 10,672 Azurix Corporation 10.380% due 02/15/2007 16,600 15,687 Calpine Corp. 9.250% due 02/01/2004 13,000 13,017 15.000% due 03/15/2004 10,000 10,759 7.630% due 04/15/2006 4,500 4,389 8.750% due 07/15/2007 24,250 24,414 7.880% due 04/01/2008 7,287 7,012 7.750% due 04/15/2009 1,000 953 Carolina Power & Light Co. 7.230% due 07/29/2002 (d) 2,900 2,911 CMS Energy 8.130% due 05/15/2002 4,537 4,506 6.750% due 01/15/2004 750 704 7.000% due 01/15/2005 10,000 9,212 Flag Ltd. 8.250% due 01/30/2008 27,375 24,227 ITC Deltacom, Inc. 11.000% due 06/01/2007 5,385 4,873 8.880% due 03/01/2008 13,300 10,840 Mastec, Inc. 7.750% due 02/01/2008 7,250 6,924 North Atlantic Energy 9.050% due 06/01/2002 9 9 Philippine Long Distance Telephone Co. 10.500% due 04/15/2009 11,150 10,069 Qwest Communications International, Inc. 0.000% due 10/15/2007 (c) 13,040 11,424 0.000% due 02/01/2008 (c) 10,550 8,689 7.500% due 11/01/2008 7,500 7,481 Telekomunikacja Polska SA 7.750% due 12/10/2008 80 77 Wilmington Trust Co. - Tucson Electric 10.210% due 01/01/2009 (b) 500 500 10.730% due 01/01/2013 (b) 8,866 9,359 ---------- 227,430 ---------- Total Corporate Bonds & Notes 2,317,522 (Cost $2,532,215) ========== -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 2.3% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 1.8% Asset Securitization Corp. 7.380% due 08/13/2029 1,500 1,438 Federal Deposit Insurance Corp. 7.860% due 11/25/2026 (d) 400 400 LTC Commercial Corp. 7.970% due 04/15/2028 5,062 4,734 Red Mountain Funding Corp. 9.150% due 11/28/2027 5,727 3,901 Resolution Trust Corp. 6.900% due 02/25/2027 5,428 5,004 7.000% due 05/25/2027 5,734 5,641 Sasco Floating Rate Commercial Mortgage 7.170% due 04/25/2003 (d) 29,800 29,220 Structured Asset Securities Corp. 7.050% due 11/25/2007 4,000 3,837 ---------- 54,175 ========== Other Mortgage-Backed Securities 0.5% LTC Commercial Corp. 9.200% due 08/04/2012 3,235 3,300 NationsBanc Mortgage Capital Corp. 8.040% due 05/25/2028 (d) 3,835 2,732 Nationslink Funding Corp. 7.110% due 01/20/2013 10,500 8,150 ---------- 14,182 ========== Stripped Mortgage-Backed Securities 0.0% Federal National Mortgage Association (IO) 7.000% due 07/25/2008 2,190 278 6.500% due 06/25/2017 351 6 7.000% due 04/25/2019 10,367 640 7.000% due 12/25/2021 3,129 416 Fund America (IO) 9.590% due 10/20/2021 6 57 ---------- 1,397 ---------- Total Mortgage-Backed Securities 69,754 (Cost $70,505) ========== -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 6.3% -------------------------------------------------------------------------------- Airplanes Pass Through Trust 10.880% due 03/15/2019 28,515 23,211 Airtrust 6.340% due 06/01/2013 12,942 5,039 AM-FM, Inc. 12.750% due 02/01/2009 (c) 5,550 5,321 Bergen Brunswig Term Loan A 9.120% due 03/31/2005 1,141 1,138 9.190% due 03/31/2005 106 106 9.220% due 03/31/2005 3,423 3,415 9.330% due 03/31/2005 1,141 1,138 Charter Commercial Holdings LLC 9.240% due 03/31/2008 5,000 4,994 Columbia/HCA Healthcare 8.380% due 09/15/2001 7,500 7,444 52 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Conseco Finance 9.300% due 10/15/2030 $ 10,000 $ 10,344 Crown Castle 9.370% due 03/31/2008 3,000 3,010 Global Crossing Ltd. 9.440% due 08/15/2006 3,000 3,020 Green Tree Financial Corp. 8.000% due 07/15/2018 7,000 5,843 Huntsman Corp. 9.750% due 12/31/2005 3,000 2,976 Impress Metal Term Loan G 9.940% due 12/01/2006 2,500 2,520 Jefferson Smurfit 9.940% due 03/31/2006 1,512 1,516 Levi Strauss & Co. Term Loan 9.940% due 02/01/2002 282 277 9.890% due 02/01/2002 960 941 9.930% due 02/01/2002 3,562 3,491 McLeodUSA Loan Term B 9.620% due 05/26/2008 5,000 5,011 Morgan Stanley Aircraft Finance 8.700% due 03/15/2023 22,300 19,683 Primedia, Inc. 9.000% due 07/31/2004 5,000 4,991 Starwood Hotels & Resorts 9.370% due 02/23/2003 8,501 8,518 Stone Container Corp. 10.190% due 10/01/2003 11,204 11,242 10.190% due 10/01/2005 4,759 4,762 9.940% due 10/01/2005 4,377 4,389 Total Renal Care Revolver 9.880% due 03/31/2003 960 909 10.000% due 03/31/2003 4,506 4,393 10.130% due 03/31/2003 133 126 9.880% due 03/31/2003 1,697 1,607 Total Renal Care Term Loan A 9.880% due 03/31/2003 1,017 1,001 Triad Hospitals, Inc. 10.620% due 11/11/2005 (d) 6,882 6,917 Voicestream Term Loan A 9.410% due 12/31/2007 5,000 4,989 Voicestream Term Loan B 9.660% due 02/15/2009 7,500 7,482 Voicestream Vendor Facility 9.660% due 06/30/2009 21,000 20,843 ---------- Total Asset-Backed Securities 192,607 (Cost $202,066) ========== -------------------------------------------------------------------------------- SOVEREIGN ISSUES 0.8% -------------------------------------------------------------------------------- Republic of Brazil 7.380% due 04/15/2006 (d) 4,650 4,377 United Mexican States 8.500% due 02/01/2006 10,000 10,005 9.880% due 02/01/2010 10,000 10,655 ---------- Total Sovereign Issues 25,037 (Cost $24,295) ========== -------------------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 1.8% -------------------------------------------------------------------------------- Health Care 0.6% Tenet Healthcare Corp. 6.000% due 12/01/2005 3,250 2,714 Total Renal Care Holdings 7.000% due 05/15/2009 20,100 14,371 ---------- 17,085 ========== Industrial 1.2% Aes Drox Energy Ltd. 11.500% due 08/30/2010 3,000 3,188 Hercules Trust VI 9.230% due 12/29/2000 (d) 25,550 25,543 Hilton Hotels Corp. 5.000% due 05/15/2006 1,000 844 Pride International, Inc. 0.000% due 04/24/2018 11,750 5,523 Waste Management, Inc. 4.000% due 02/01/2002 (d) 2,500 2,334 ---------- 37,432 ---------- Total Convertible Bonds & Notes 54,517 (Cost $54,816) ========== -------------------------------------------------------------------------------- PREFERRED STOCK 3.0% -------------------------------------------------------------------------------- Shares CSC Holdings, Inc. 11.125% due 04/01/2008 199,314 21,177 Fresenius Medical Care 9.000% due 12/01/2006 29,995 29,920 7.875% due 02/01/2008 29,900 28,330 Newscorp Overseas Ltd. 8.625% due 12/31/2049 133,200 3,097 Primedia, Inc. 9.200% due 11/01/2009 70,000 6,248 8.625% due 04/01/2010 50,000 4,213 ---------- Total Preferred Stock 92,985 (Cost $98,374) ========== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 9.3% -------------------------------------------------------------------------------- Principal Amount (000s) Commercial Paper 9.2% American Electric Power, Inc. 6.700% due 11/01/2000 $ 5,300 5,270 Anz, Inc. 6.520% due 11/03/2000 1,500 1,491 6.480% due 11/07/2000 7,900 7,849 6.480% due 11/28/2000 4,200 4,153 AT&T Corp. 6.510% due 11/08/2000 25,600 25,428 6.530% due 11/15/2000 7,800 7,738 6.470% due 12/13/2000 2,100 2,072 6.510% due 12/13/2000 6,300 6,212 Bank One Corp. 6.500% due 11/15/2000 7,200 7,143 Bell Atlantic Financial Services 6.530% due 11/01/2000 6,300 6,266 Bellsouth Capital Funding 6.490% due 12/06/2000 11,700 11,549 CDC 6.530% due 10/18/2000 600 598 Cox Communications 6.730% due 11/06/2000 24,000 23,843 CSX Corp. 6.700% due 10/10/2000 13,500 13,480 Dominion Resources, Inc. 6.710% due 11/16/2000 4,400 4,363 Edison Midwest 6.720% due 11/01/2000 2,400 2,387 6.700% due 11/08/2000 5,000 4,966 6.730% due 11/15/2000 3,100 3,075 Federal Home Loan Bank 6.440% due 10/11/2000 2,800 2,795 Ford Motor Credit Corp. 6.550% due 10/18/2000 400 399 General Electric Capital Corp. 6.520% due 10/25/2000 1,300 1,295 6.470% due 12/14/2000 7,400 7,295 6.510% due 01/24/2001 500 489 Gillette Co. 6.460% due 12/12/2000 3,600 3,550 Houston Industries 6.800% due 11/08/2000 6,300 6,256 See accompanying notes 53 Schedule of Investments (Cont.) High Yield Fund September 30, 2000 (Unaudited) Value Shares (000s) -------------------------------------------------------------------------------- Infinity Broadcasting Corp. 6.700% due 11/15/2000 $ 1,100 $ 1,091 6.700% due 11/16/2000 5,600 5,553 6.700% due 11/17/2000 25,400 25,182 6.710% due 11/21/2000 6,100 6,043 Ingersoll-Rand Co. 6.700% due 11/15/2000 14,600 14,480 International Paper Co. 6.700% due 10/10/2000 4,600 4,593 6.720% due 11/17/2000 4,200 4,164 Nabisco, Inc. 6.700% due 10/18/2000 9,600 9,572 SBC Communications, Inc. 6.460% due 12/06/2000 2,200 2,173 Swedbank, Inc. 6.510% due 01/19/2001 17,900 17,532 Texas Utilities Co. 6.700% due 10/18/2000 7,300 7,278 Verizon Global Funding 6.460% due 12/07/2000 9,600 9,476 6.470% due 12/14/2000 3,300 3,252 Yorkshire Building Society 6.460% due 12/21/2000 12,300 12,109 ---------- 282,460 ========== Repurchase Agreements 0.1% State Street Bank 5.850% due 10/02/2000 2,762 2,762 (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 6.100% due 08/10/2001 valued at $2,822. Repurchase proceeds are $2,763.) ---------- Total Short-Term Instruments 285,222 (Cost $285,306) ========== Total Investments (a) 99.3% $3,037,644 (Cost $3,267,577) Other Assets and Liabilities (Net) 0.7% 21,880 ---------- Net Assets 100.0% $3,059,524 ========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 21,883 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (251,816) ----------- Unrealized depreciation-net $ (229,933) =========== (b) Restricted security. (c) Security becomes interest bearing at a future date. (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Security is in default. 54 See accompanying notes Schedule of Investments Long-Term U.S. Government Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 5.9% -------------------------------------------------------------------------------- Banking & Finance 4.1% AESOP Funding II LLC 6.220% due 10/20/2001 $ 1,500 $ 1,501 Associates Corp. of North America 5.800% due 04/20/2004 2,500 2,410 Bank One Corp. 6.790% due 05/07/2002 (d) 2,400 2,402 Countrywide Home Loans 6.850% due 06/15/2004 1,500 1,485 Ford Motor Credit Corp. 6.940% due 06/02/2003 (d) 1,900 1,902 Goldman Sachs Group 7.270% due 01/14/2002 (d) 3,000 3,024 Morgan Stanley, Dean Witter, Discover and Co. 6.990% due 04/22/2004 (d) 2,500 2,503 ---------- 15,227 ========== Industrials 0.8% DaimlerChrysler Holdings 7.000% due 08/16/2004 (d) 3,000 3,005 ---------- Utilities 1.0% Detroit Edison Co. 7.020% due 01/29/2001 1,000 998 Scana Corp. 7.380% due 07/15/2002 (d) 2,000 2,003 WorldCom, Inc. 6.920% due 11/26/2001 (d) 700 701 ---------- 3,702 ---------- Total Corporate Bonds & Notes 21,934 (Cost $21,998) ========== -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 15.1% -------------------------------------------------------------------------------- Federal Home Loan Bank 5.950% due 12/10/2008 250 232 6.410% due 09/30/2013 500 455 6.650% due 10/21/2013 300 277 Federal National Mortgage Assn. 7.000% due 07/15/2005 40,000 40,736 6.470% due 04/15/2009 1,000 960 7.130% due 01/15/2030 2,000 2,071 Student Loan Marketing Assn. 6.480% due 07/25/2004 (d) 982 980 Tennessee Valley Authority 7.130% due 05/01/2030 10,000 10,250 ---------- Total U.S. Government Agencies 55,961 (Cost $55,225) ========== -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 73.3% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (b) 3.630% due 07/15/2002 (f) 17,215 17,209 U.S. Treasury Bonds 11.250% due 02/15/2015 (c) 15,000 22,298 9.880% due 11/15/2015 3,100 4,239 8.750% due 08/15/2020 (c) 15,200 19,746 7.130% due 02/15/2023 12,000 13,481 6.000% due 02/15/2026 (c) 25,900 25,665 6.130% due 11/15/2027 42,600 42,959 5.500% due 08/15/2028 21,000 19,497 6.250% due 05/15/2030 3,900 4,101 U.S. Treasury Notes 6.750% due 05/15/2005 49,000 50,776 U.S. Treasury Strips 0.000% due 08/15/2003 11,200 9,452 0.000% due 05/15/2004 2,100 1,700 0.000% due 05/15/2006 13,400 9,591 0.000% due 05/15/2013 4,200 1,956 0.000% due 02/15/2019 8,600 2,817 0.000% due 05/15/2020 84,800 25,789 ---------- Total U.S. Treasury Obligations 271,276 (Cost $270,207) ========== -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 70.8% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 27.8% Bear Stearns Mortgage Securities, Inc. 7.100% due 06/25/2024 385 365 6.350% due 08/25/2024 650 647 7.170% due 06/25/2030 919 907 California Federal Bank 6.680% due 08/25/2030 (d) 640 635 Chase Mortgage Finance Corp. 6.320% due 04/25/2025 (d) 2,031 2,052 CMC Securities Corp. 6.000% due 02/25/2009 165 164 6.150% due 05/25/2028 (d) 215 215 Countrywide Funding Corp. 6.500% due 01/25/2009 837 832 Federal Home Loan Mortgage Corp. 7.000% due 07/01/2002 1,009 1,007 7.500% due 06/01/2004 40 41 7.500% due 07/01/2004 592 599 7.500% due 08/01/2004 70 71 7.500% due 09/01/2004 158 160 9.500% due 01/15/2005 27 28 5.500% due 05/15/2007 11 11 8.000% due 02/15/2015 425 431 4.250% due 12/15/2021 493 463 7.000% due 07/15/2022 1,109 1,082 7.000% due 05/15/2023 270 253 7.000% due 08/15/2023 336 304 6.250% due 09/15/2023 5,000 4,751 7.000% due 09/15/2023 815 769 6.850% due 10/25/2023 1,497 1,464 6.500% due 11/15/2023 151 133 6.000% due 11/15/2023 978 848 6.500% due 11/15/2023 802 706 6.500% due 11/25/2023 635 549 6.500% due 12/15/2023 1,050 951 7.000% due 01/15/2024 100 92 7.500% due 01/20/2024 1,928 1,931 6.500% due 02/15/2024 196 172 6.500% due 03/15/2024 1,165 1,036 6.000% due 10/15/2024 2,425 2,393 6.500% due 12/15/2024 2,830 2,808 8.000% due 12/15/2024 1,000 1,010 7.500% due 02/15/2025 1,810 1,820 6.500% due 03/15/2029 262 194 6.000% due 05/15/2029 108 87 Federal National Mortgage Assn. 7.500% due 02/01/2004 386 391 7.500% due 03/01/2004 222 224 7.500% due 04/01/2004 247 250 7.500% due 05/01/2004 392 396 7.500% due 06/01/2004 410 415 7.500% due 07/01/2004 518 523 7.500% due 08/01/2004 967 978 7.500% due 09/01/2004 196 198 7.500% due 10/01/2004 192 194 5.750% due 06/25/2006 6 6 5.600% due 07/25/2006 12 12 6.250% due 12/25/2013 79 74 7.220% due 10/25/2017 (d) 3,266 3,265 7.000% due 02/25/2020 1,871 1,864 6.950% due 07/25/2020 1,449 1,431 6.750% due 06/25/2021 3,275 262 8.000% due 03/25/2022 7 7 7.000% due 04/25/2022 879 817 7.000% due 06/25/2022 421 388 7.800% due 10/25/2022 448 448 7.000% due 10/25/2022 1,639 1,516 7.000% due 05/25/2023 1,403 1,304 6.900% due 05/25/2023 658 588 7.000% due 06/25/2023 564 529 6.000% due 08/25/2023 141 120 6.500% due 08/25/2023 812 712 4.500% due 10/25/2023 224 119 See accompanying notes 55 Schedule of Investments (Cont.) Long-Term U.S. Government Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- 6.500% due 11/25/2023 $ 2,000 $ 1,842 6.500% due 12/25/2023 288 250 7.000% due 12/25/2023 1,602 1,450 6.500% due 12/25/2023 3,562 2,991 6.500% due 01/25/2024 210 184 6.500% due 02/25/2024 305 264 6.000% due 05/17/2027 2,500 2,174 7.000% due 05/18/2027 1,600 1,436 9.000% due 06/01/2027 1,506 1,568 6.890% due 02/01/2028 (d) 431 443 First Boston Mortgage Securities Corp. 7.300% due 07/25/2023 1,485 1,349 General Electric Capital Mortgage Services, Inc. 9.000% due 10/25/2023 267 270 6.500% due 11/25/2023 3,000 2,729 6.500% due 01/25/2024 4,614 3,727 6.500% due 03/25/2024 904 836 7.000% due 10/25/2027 689 685 6.650% due 05/25/2028 5,330 5,277 German American Capital Corp. 7.000% due 08/12/2010 3,000 2,949 Government National Mortgage Assn. 7.000% due 03/16/2029 278 227 Independent National Mortgage Corp. 9.070% due 01/25/2025 (d) 54 55 6.930% due 05/25/2026 612 608 Mellon Residential Funding Corp. 6.460% due 07/25/2029 1,243 1,238 Merrill Lynch Mortgage Investors, Inc. 6.050% due 10/15/2008 2,578 2,483 6.210% due 03/20/2017 523 521 Norwest Asset Securities Corp. 6.750% due 10/25/2028 979 925 PNC Mortgage Securities Corp. 7.500% due 01/25/2015 1,533 1,474 7.500% due 02/25/2027 1,764 1,765 6.750% due 04/25/2028 3,000 2,924 Prudential Home Mortgage Securities 7.630% due 02/25/2023 36 36 6.950% due 09/25/2023 70 57 6.500% due 11/25/2023 102 92 6.500% due 01/25/2024 1,447 1,236 8.000% due 06/25/2024 746 752 Residential Accredit Loans, Inc. 7.000% due 02/25/2028 2,000 1,932 Residential Funding Mortgage Securities, Inc. 8.950% due 03/25/2025 (d) 65 66 7.750% due 09/25/2026 1,100 1,096 7.500% due 04/25/2027 1,913 1,895 Resolution Trust Corp. 6.730% due 05/25/2029 (d) 732 724 7.690% due 09/25/2029 1,334 1,336 Vendee Mortgage Trust 6.500% due 06/15/2024 2,237 1,914 ---------- 102,792 ========== Federal Home Loan Mortgage Corporation 7.2% 6.250% due 12/15/2023 512 454 6.360% due 01/01/2028 (d) 2,674 2,654 6.500% due 11/15/2023-01/15/2028 (h) 10,269 8,879 6.760% due 09/01/2027 (d) 3,557 3,489 6.930% due 01/01/2028 (d) 1,655 1,631 7.320% due 02/01/2028 (d) 1,870 1,860 7.500% due 10/01/2004 1,961 1,963 7.780% due 05/01/2022 (d) 100 103 7.930% due 10/01/2026 (d) 822 837 8.000% due 05/01/2004 3,550 3,578 8.350% due 06/01/2022 (d) 58 60 8.590% due 12/01/2024 (d) 1,321 1,363 ---------- 26,871 ========== Federal Housing Administration 8.3% 6.900% due 07/01/2020 3,656 3,517 7.000% due 11/25/2019 4,539 4,554 7.400% due 12/18/2018 1,559 1,544 7.420% due 11/01/2019 119 117 7.430% due 08/01/2019-06/01/2024 (h) 19,320 19,262 7.450% due 03/25/2022 1,666 1,667 ---------- 30,661 ========== Federal National Mortgage Association 10.2% 6.500% due 05/01/2003-01/25/2024 (h) 4,620 4,483 6.630% due 12/01/2027 (d) 2,325 2,314 7.000% due 03/01/2004-07/25/2023 (h) 15,691 15,697 7.380% due 01/01/2026 (d) 980 985 7.460% due 10/01/2024 (d) 1,705 1,722 7.480% due 05/01/2025 (d) 1,505 1,515 7.710% due 04/01/2028 (d) 2,494 2,536 7.920% due 11/01/2023 (d) 2,653 2,712 8.250% due 08/01/2026 (d) 183 186 8.440% due 08/01/2026 (d) 516 531 8.500% due 04/01/2028 1,556 1,601 8.760% due 10/01/2024 (d) 91 93 9.000% due 07/01/2005-08/01/2021 (h) 3,606 3,580 ---------- 37,955 ========== Government National Mortgage Association 14.2% 6.500% due 05/20/2030 (d) 16,000 15,916 6.630% due 12/15/2000-02/15/2040 (h) 1,895 1,894 6.750% due 09/20/2017-09/20/2026 (d)(h) 7,182 7,250 6.800% due 09/15/2001-10/15/2040 (h) 2,000 1,968 7.000% due 05/15/2002-10/15/2040 (d)(h) 7,894 7,889 7.130% due 12/20/2017-10/20/2027 (d)(h) 3,382 3,407 7.380% due 02/20/2017-01/20/2028 (d)(h) 14,253 14,362 ---------- 52,686 ========== Other Mortgage-Backed Securities 2.0% Countrywide Funding Corp. 7.000% due 05/25/2024 8,000 7,324 ---------- 7,324 ========== Stripped Mortgage-Backed Securities 1.1% Federal Home Loan Mortgage Corp. (IO) 7.000% due 03/15/2003 928 75 6.500% due 11/15/2003 1,596 152 7.000% due 02/15/2006 47 1 6.500% due 08/15/2006 22 0 6.500% due 10/15/2006 114 7 6.500% due 11/15/2006 46 0 8.190% due 02/15/2007 4 60 7.500% due 06/15/2007 290 29 6.500% due 10/15/2007 857 63 6.000% due 10/15/2007 79 5 6.500% due 11/15/2008 722 108 7.000% due 12/15/2023 1,599 218 Federal National Mortgage Association (IO) 11.880% due 08/25/2006 4 30 6.500% due 02/25/2007 63 3 6.500% due 07/25/2007 535 23 11.980% due 08/25/2007 6 151 10.150% due 09/25/2007 3 76 6.500% due 08/25/2020 153 11 6.500% due 09/25/2021 404 44 7.000% due 12/25/2021 156 21 Federal National Mortgage Association (PO) 0.000% due 03/25/2009 2,944 2,035 0.000% due 09/25/2023 1,509 811 First Plus Home Loan Trust (IO) 6.000% due 10/10/2000 1,200 8 Norwest Asset Securities Corp. (IO) 7.250% due 02/25/2012 957 133 ---------- 4,064 ---------- Total Mortgage-Backed Securities 262,353 (Cost $266,277) ========== 56 See accompanying notes Principal Amount Value (000s) (000s) ------------------------------------------------------------------------------ ASSET-BACKED SECURITIES 3.8% ------------------------------------------------------------------------------ Chase Credit Card Master Trust 6.780% due 05/15/2007 $ 1,320 $ 1,324 Chase Manhattan Corp. 6.750% due 08/25/2028 1,850 1,676 Discover Card Trust 6.790% due 04/16/2010 1,117 1,109 Green Tree Floorplan Receivables Master Trust 6.970% due 11/15/2004 (d) 3,000 3,006 Norwest Asset Securities Corp. 6.750% due 07/25/2028 3,000 2,744 Residential Funding Mortgage Securities, Inc. 6.290% due 07/25/2013 1,617 1,606 SMS Student Loan Trust 6.110% due 10/27/2025 (d) 2,000 1,958 Student Loan Marketing Assn 6.700% due 01/25/2007 (d) 584 584 ---------- Total Asset-Backed Securities 14,007 (Cost $14,337) ========== ------------------------------------------------------------------------------ PURCHASED PUT OPTIONS 0.0% ------------------------------------------------------------------------------ U.S. Treasury Note December Futures (CBOT) Strike @ 94.00 Exp. 11/18/2000 1,100 0 Strike @ 91.00 Exp. 11/18/2000 165,000 26 ---------- Total Purchased Put Options 26 (Cost $35) ========== ------------------------------------------------------------------------------ SHORT-TERM INSTRUMENTS 7.4% ------------------------------------------------------------------------------ Commercial Paper 6.1% Conagra, Inc. 6.680% due 10/27/2000 2,300 2,289 6.670% due 11/15/2000 2,400 2,380 6.670% due 11/16/2000 2,900 2,876 Dominion Resources, Inc. 6.710% due 11/09/2000 1,000 993 Edison Midwest 6.700% due 11/08/2000 1,300 1,291 GE Capital Corp. 6.520% due 01/19/2001 1,600 1,569 Ingersoll-Rand Co. 6.700% due 11/01/2000 1,900 1,889 International Paper Co. 6.720% due 11/17/2000 500 496 Verizon Global Funding 6.470% due 12/04/2000 2,900 2,866 6.460% due 12/05/2000 5,000 4,940 6.460% due 12/07/2000 900 889 ---------- 22,478 ========== Repurchase Agreements 1.1% State Street Bank 5.850% due 10/02/2000 3,984 3,984 (Dated 9/29/2000. Collateralized by ---------- Federal Home Loan Mortgage Corp. 7.050% due 09/19/2003 valued at $4,065 Repurchase proceeds are $3,986.) U.S. Treasury Bills (b) 0.2% 6.010% due 02/01/2001 870 851 ---------- Total Short-Term Instruments 27,313 (Cost $27,318) ========== Total Investments (a) 176.3% $ 652,870 (Cost $655,397) Written Options (c) (0.0%) (1) (Premiums $7) Other Assets and Liabilities (Net) (76.3%) (282,641) ---------- Net Assets 100.0% $ 370,228 ========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 4,012 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (6,539) ---------- Unrealized depreciation-net $ (2,527) ========== (b) Principal amount of the security is adjusted for inflation. (c) Subject to a financing transaction. (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Premiums received on written options: # of Type Contracts Premium Value -------------------------------------------------------------------------------- Call - CBOT U.S. Treasury Bond December Futures Strike @ 106.00 Exp. 11/18/2000 50 $ 7 $ 1 ----------------- (f) Securities with an aggregate market value of $18,060 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: Unrealized # of Appreciation/ Type Contracts (Depreciation) -------------------------------------------------------------------------------- U.S. Treasury 10 Year Note (12/2000) 132 $ (10) U.S. Treasury 30 Year Note (12/2000) 403 63 Municipal Bond (12/2000) 54 (68) ---------- $ (15) ========== (g) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount Depreciation -------------------------------------------------------------------------------- Receive a fixed rate equal to 8.000% and pay floating rate equal to 3-month LIBOR. Broker: J.P. Morgan Exp. 09/15/2010 $ 21,500 $ 1,259 Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 8.000%. Broker: Goldman Sachs Exp. 09/15/2010 5,000 (282) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 8.000%. Broker: Morgan Stanley Exp. 09/15/2010 1,500 (61) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 8.000%. Broker: Goldman Sachs Exp. 09/15/2010 2,000 (72) See accompanying notes 57 Schedule of Investments Long-Term U.S. Government Fund September 30, 2000 (Unaudited) Unrealized Notional Appreciation/ Type Amount Depreciation -------------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 8.000%. Broker: Morgan Stanley Exp. 09/15/2010 $ 2,500 $ (74) Receive fixed rate equal to 8.000% and pay floating rate based on 3-month LIBOR. Broker: Lehman Brothers Exp. 09/15/2010 2,500 94 Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 7.000%. Broker: Morgan Stanley Exp. 09/15/2010 2,500 (50) Receive a fixed rate equal to 7.317% and pay floating rate based on 3-month LIBOR. Broker: Morgan Stanley Exp. 11/15/2003 21,250 279 Receive fixed rate equal to 0.230% and the Fund will pay to the counterparty at par in the event of default of Associates Corp. 6.000% due 04/15/2003. Broker: Warburg Dillon Read LLC Exp. 01/14/2003 3,000 0 Receive fixed rate equal to 0.650% and the Fund will pay to the counterparty at par in the event of default of Philip Morris Co. 7.200% due 02/01/2007. Broker: Goldman Sachs Exp. 12/22/2000 3,000 0 Receive fixed rate equal to 0.250% and the Fund will pay to the counterparty at par in the event of default of Pacific Gas & Electric Corp. 6.550% due 12/08/2005. Broker: J.P. Morgan Exp. 05/23/2003 3,000 0 ---------- $ 1,093 ========== Fixed Rate Notional Unrealized Type (%) Amount Appreciation -------------------------------------------------------------------------------- Receive the 30-year Swap Spread and pay a fixed spread. The 30-year Swap Spread is the difference between the 30-year Swap Rate and the 30-year Treasury Rate. Broker: Goldman Sachs Exp. 02/15/2005 1.0850 $ 9,500 $ 9 Broker: Goldman Sachs Exp. 02/16/2005 1.1120 24,400 (2) Receive the 5-year Swap Spread and pay a fixed spread. The 5-year Swap Spread is the difference between the 5-year Swap Rate and the 5-year Treasury Rate. Broker: Lehman Brothers Exp. 04/10/2005 0.9500 27,000 (19) Receive On-The-Run 10-year Swap Spread and pay a fixed spread. The On-The-Run 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Bank of America Exp. 06/17/2002 1.3100 53,750 (510) Receive the 10-year Swap Spread and pay a fixed spread. The 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Morgan Stanley Exp. 06/29/2015 1.3367 30,000 (325) Receive a fixed spread and pay On-The-Run 10-year Swap Spread. The On-The-Run 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Bank of America Exp. 06/15/2001 1.3200 50,000 500 Broker: Morgan Stanley Exp. 07/29/2011 1.3000 50,000 450 Receive On-The-Run 2-year Swap Spread and pay a fixed spread. The On-The-Run 2-year Swap Spread is the difference between the 2-year Swap Rate and the 2-year Treasury Rate. Broker: Bank of America Exp. 07/19/2001 0.9250 25,000 (212) ---------- $ (109) ========== (h) Securities are grouped by coupon or range of coupons and represent a range of maturities. 58 See accompanying notes Schedule of Investments Low Duration Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------------------ CORPORATE BONDS & NOTES 59.3% ------------------------------------------------------------------------------ Banking & Finance 34.9% American General Finance 6.880% due 12/14/2001 $ 25,000 $ 25,021 Aristar, Inc. 7.380% due 09/01/2004 19,000 18,984 Associates Corp. of North America 6.700% due 05/29/2001 400 400 6.780% due 08/27/2001 (d) 1,000 1,003 6.880% due 06/20/2002 20,000 19,896 6.950% due 08/01/2002 1,000 1,003 AT&T Capital Corp. 7.500% due 11/15/2000 6,200 6,205 7.010% due 04/23/2002 (d) 10,000 10,028 Banc One Corp. 7.250% due 08/01/2002 500 503 Banco Latinoamericano SA 6.750% due 03/01/2001 1,300 1,298 Banco Nacional de Comercio Exterior 7.250% due 02/02/2004 1,800 1,742 Bank of America Corp. 7.200% due 09/15/2002 100 101 7.880% due 12/01/2002 100 102 6.630% due 06/15/2004 1,000 991 Bear Stearns Co., Inc. 6.170% due 06/28/2001 (d) 2,000 2,010 7.010% due 12/16/2002 (d) 21,000 21,024 6.130% due 02/01/2003 3,000 2,941 7.130% due 03/28/2003 (d) 8,600 8,600 6.200% due 03/30/2003 9,700 9,513 7.100% due 06/01/2004 (d) 3,000 3,021 Beaver Valley Funding Corp. 8.250% due 06/01/2003 3,311 3,280 Beneficial Corp. 6.770% due 01/09/2002 (d) 10,000 10,048 6.650% due 09/12/2002 5,000 4,965 6.580% due 12/16/2002 5,440 5,385 Bombardier Capital, Inc. 6.000% due 01/15/2002 10,000 9,840 7.500% due 08/15/2004 1,000 1,007 Capital One Bank 6.280% due 02/20/2001 6,500 6,474 7.000% due 04/30/2001 300 300 7.610% due 06/23/2003 (d) 100 100 Case Credit Corp. 5.910% due 02/19/2001 4,000 3,982 5.850% due 02/20/2001 (d) 63,000 62,693 5.930% due 02/26/2001 5,000 4,976 6.900% due 08/01/2001 (d) 4,750 4,757 Caterpillar Financial Services Corp. 6.930% due 11/04/2002 (d) 25,000 25,017 6.910% due 12/27/2002 (d) 25,000 24,990 6.880% due 08/01/2004 2,000 1,980 Chase Manhattan Corp. 6.530% due 10/13/2000 (d) 7,500 7,500 5.500% due 02/15/2001 1,000 995 Chrysler Financial Co. LLC 5.850% due 01/26/2001 5,000 4,987 6.760% due 08/08/2002 (d) 8,000 8,011 CIT Group, Inc. 6.200% due 10/20/2000 17,300 17,296 6.810% due 09/13/2002 (d) 19,400 19,400 Credit Asset Receivable 6.270% due 10/31/2003 34,267 33,813 Export-Import Bank Korea 6.500% due 02/10/2002 7,500 7,399 6.500% due 11/15/2006 6,700 6,525 7.100% due 03/15/2007 6,700 6,657 Finova Capital Corp. 6.270% due 09/29/2000 2,700 2,700 6.910% due 06/18/2003 (d) 6,000 5,250 First Union Corp. 7.550% due 08/18/2005 42,800 43,353 Ford Motor Credit Corp. 6.810% due 03/19/2002 (d) 18,857 18,938 6.990% due 07/16/2002 (d) 100 100 6.520% due 08/12/2002 13,000 12,905 6.000% due 01/14/2003 15,000 14,677 6.850% due 03/17/2003 (d) 3,000 2,996 6.130% due 04/28/2003 14,000 13,698 6.960% due 04/26/2004 (d) 19,000 18,974 General Motors Acceptance Corp. 7.130% due 05/01/2001 15,000 15,022 6.680% due 09/19/2001 (d) 5,000 5,009 6.760% due 12/10/2001 (d) 7,400 7,401 6.840% due 04/29/2002 (d) 2,000 2,006 6.880% due 11/12/2002 (d) 63,520 63,596 6.780% due 11/12/2002 (d) 17,400 17,397 5.880% due 01/22/2003 500 489 7.400% due 07/20/2003 (d) 14,366 14,353 7.020% due 04/05/2004 (d) 700 699 6.850% due 06/17/2004 1,000 991 Gold Eagle Capital Ltd. 9.000% due 04/15/2001 20,000 19,976 Goldman Sachs Group 6.200% due 12/15/2000 1,000 998 7.630% due 08/17/2005 20,800 21,237 Great Western Financial 8.600% due 02/01/2002 4,000 4,068 Heller Financial, Inc. 6.970% due 04/28/2003 (d) 20,000 19,914 Hitachi Credit America 6.100% due 04/24/2001 25,000 24,891 Household Finance Corp. 6.490% due 04/09/2001 20,000 19,972 7.630% due 01/15/2003 10,849 10,987 6.130% due 02/27/2003 1,500 1,463 6.920% due 06/24/2003 (d) 1,500 1,501 6.130% due 07/15/2012 10,000 9,859 Industrial Bank of Korea 8.380% due 09/30/2002 5,000 5,030 Key Bank NA 6.050% due 04/24/2003 12,900 12,571 Korea Development Bank 7.130% due 09/17/2001 28,963 28,923 7.900% due 02/01/2002 6,100 6,115 7.630% due 10/01/2002 19,500 19,516 6.500% due 11/15/2002 5,898 5,775 8.290% due 06/16/2003 (d) 3,500 3,430 6.630% due 11/21/2003 20,300 19,766 7.130% due 04/22/2004 11,800 11,581 7.380% due 09/17/2004 1,200 1,183 Lehman Brothers Holdings, Inc. 6.630% due 11/15/2000 825 825 7.680% due 04/02/2002 (d) 2,000 2,018 6.380% due 05/07/2002 28,345 28,133 7.410% due 05/07/2002 (d) 5,000 5,031 6.610% due 07/08/2002 (d) 1,500 1,501 7.210% due 12/12/2002 (d) 1,500 1,507 7.170% due 04/04/2003 (d) 7,900 7,902 7.000% due 05/15/2003 3,600 3,590 Marsh & McLennan Co., Inc. 6.630% due 06/15/2004 1,000 984 MBNA America Bank NA 6.000% due 12/26/2000 5,000 4,992 6.880% due 07/15/2004 1,900 1,862 Merrill Lynch & Co. 6.230% due 09/30/2000 (d) 8,558 8,558 6.000% due 01/15/2001 (d) 1,336 1,332 7.280% due 11/26/2001 (d) 115,000 115,671 6.830% due 01/15/2002 (d) 5,000 4,998 7.090% due 02/08/2002 (d) 25,000 25,090 6.920% due 02/04/2003 (d) 23,000 22,988 6.130% due 04/07/2003 7,770 7,640 See accompanying notes 59 Schedule of Investments (Cont.) Low Duration Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Metropolitan Life Insurance Co. 6.300% due 11/01/2003 $ 17,850 $ 17,450 Mexico Credit Link 11.380% due 02/22/2002 (d) 5,000 5,214 Morgan Stanley, Dean Witter, Discover and Co. 6.850% due 03/11/2003 (d) 5,000 4,993 Nacional Financiera 8.570% due 05/08/2003 (d) 2,000 2,011 Pemex Finance Ltd. 6.130% due 11/15/2003 13,000 12,770 PNC Bank Corp. 6.720% due 01/24/2002 (d) 20,000 20,013 Popular North American, Inc. 6.880% due 06/15/2001 5,000 5,003 7.380% due 09/15/2001 20,000 20,096 Popular, Inc. 6.200% due 04/30/2001 1,000 997 Prudential Funding Corp. 6.420% due 10/02/2000 (d) 5,000 5,001 Rothmans Holdings 6.500% due 05/06/2003 14,000 13,588 Salomon, Inc. 7.500% due 02/01/2003 3,000 3,038 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 1,088 1,075 6.860% due 05/14/2002 (d) 25,150 25,149 7.020% due 07/23/2002 (d) 5,100 5,092 Security Pacific Corp. 11.500% due 11/15/2000 3,850 3,868 Seismic Ltd. 11.270% due 01/01/2002 (d) 10,000 10,000 Shopping Center Associates 6.750% due 01/15/2004 11,725 11,469 Spieker Properties 6.650% due 12/15/2000 5,070 5,062 6.800% due 05/01/2004 2,000 1,955 Toyota Motor Credit Corp. 7.320% due 02/15/2002 (d) 11,600 11,403 Transamerica Finance Corp. 6.130% due 11/01/2001 5,000 4,958 5.920% due 03/29/2002 52,050 51,351 Travelers Group, Inc. 7.250% due 05/01/2001 3,700 3,704 7.300% due 05/15/2002 15,000 15,082 Wachovia Corp. 7.260% due 05/02/2005 (d) 8,000 7,992 Wells Fargo & Co. 6.630% due 07/15/2004 1,000 991 7.220% due 05/02/2005 (d) 32,700 32,689 ---------- 1,472,709 ========== Industrials 14.5% Abitibi-Consolidated, Inc. 8.300% due 08/01/2005 20,000 20,473 Allied Waste Industries, Inc. 7.380% due 01/01/2004 5,000 4,675 AMR Corp. 9.910% due 03/01/2001 2,500 2,525 9.130% due 10/24/2001 4,250 4,321 Atlas Air, Inc. 8.010% due 01/02/2010 10,817 10,517 Boise Cascade Co. 9.850% due 06/15/2002 3,000 3,065 Burlington North Santa Fe 6.050% due 03/15/2031 2,000 1,985 Caterpillar, Inc. 9.750% due 06/01/2019 13,766 14,415 Cemex SA 8.630% due 07/18/2003 10,000 10,125 Century Communications Corp. 0.000% due 03/15/2003 5,250 4,016 Coastal Corp. 7.290% due 03/01/2002 (d) 32,200 32,200 Columbia/HCA Healthcare 6.130% due 12/15/2000 200 199 8.130% due 08/04/2003 5,000 4,957 6.630% due 07/15/2045 7,000 6,823 Conoco, Inc. 5.900% due 04/15/2004 3,100 3,003 Cox Enterprises, Inc. 6.630% due 06/14/2002 3,000 2,969 7.610% due 05/01/2033 (d) 2,000 1,999 Crown Cork & Seal Co. 7.130% due 09/01/2002 33,000 31,313 Crown Cork & Seal Finance PLC 6.750% due 12/15/2003 7,000 6,373 DaimlerChrysler Holdings 6.900% due 09/01/2004 1,000 997 Delta Air Lines, Inc. 9.800% due 12/16/2000 250 251 8.500% due 09/15/2001 205 207 6.650% due 03/15/2004 2,925 2,775 Eastman Chemical Co. 6.380% due 01/15/2004 250 241 Electric Lightwave, Inc. 6.050% due 05/15/2004 3,000 2,922 EZ Communication, Inc. 9.750% due 12/01/2005 5,000 5,254 Federal-Mogul Corp. 7.500% due 07/01/2004 28,600 12,155 Ford Motor Co. 9.000% due 09/15/2001 500 507 Fred Meyer, Inc. 7.150% due 03/01/2003 13,500 13,411 Global Crossing Ltd. 6.000% due 10/15/2013 7,500 6,929 HMH Properties, Inc. 7.880% due 08/01/2005 5,000 4,738 IMEXSA Export Trust 10.130% due 05/31/2003 7,740 7,713 International Game Technology 7.880% due 05/15/2004 500 491 ISP Holdings, Inc. 9.750% due 02/15/2002 3,000 2,700 Kroger Co. 6.340% due 06/01/2001 5,000 4,982 Lockheed Martin Corp. 6.850% due 05/15/2001 7,300 7,274 Mallinckrodt, Inc. 6.300% due 03/15/2011 (d) 650 647 Nabisco, Inc. 6.000% due 02/15/2001 (d) 21,000 20,842 6.700% due 06/15/2002 21,100 20,657 Occidental Petroleum 6.400% due 04/01/2003 15,945 15,553 Park Place Entertainment Corp. 7.950% due 08/01/2003 15,955 15,975 Petroleos Mexicanos 8.130% due 07/15/2005 (d) 15,873 15,912 9.380% due 12/02/2008 5,500 5,665 Philip Morris Cos., Inc. 9.000% due 01/01/2001 7,000 7,017 7.500% due 01/15/2002 200 199 7.250% due 01/15/2003 4,050 4,003 6.950% due 06/01/2006 25,000 24,883 Philips Petroleum Co. 8.500% due 05/25/2005 2,000 2,114 R & B Falcon Corp. 6.500% due 04/15/2003 11,000 10,546 Rollins Truck Leasing Co. 8.000% due 02/15/2003 3,000 3,020 Starwood Hotels & Resorts 6.750% due 11/15/2005 2,000 1,881 Stone Container Corp. 10.750% due 10/01/2002 11,080 11,288 Supervalu, Inc. 9.750% due 06/15/2004 10,500 11,068 60 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- TCI Communications, Inc. 7.360% due 03/11/2003 (d) $ 3,000 $ 3,060 Tenet Healthcare Corp. 7.880% due 01/15/2003 5,300 5,287 8.630% due 12/01/2003 9,700 9,774 Time Warner, Inc. 7.980% due 08/15/2004 1,200 1,234 TTX Co. 7.820% due 07/21/2003 61,000 62,077 Tyco International Group SA 6.880% due 09/05/2002 18,805 18,766 6.250% due 06/15/2003 5,100 4,964 Union Oil Co. of California 9.100% due 08/15/2001 3,350 3,407 Waste Management, Inc. 6.500% due 05/14/2004 45,000 42,423 Whitman Corp. 6.000% due 05/01/2004 6,500 6,299 Williams Communications Group, Inc. 7.180% due 11/15/2001 (d) 6,200 6,204 Yorkshire Power 6.150% due 02/25/2003 40,000 38,494 ---------- 612,759 ========== Utilities 9.9% Arizona Public Service 5.880% due 02/15/2004 3,600 3,439 Arkansas Power & Light 6.000% due 10/01/2003 450 432 AT&T Corp. 5.630% due 03/15/2004 415 397 Calpine Corp. 9.250% due 02/01/2004 2,960 2,964 7.630% due 04/15/2006 2,900 2,828 Cinergy Corp. 6.130% due 04/15/2004 13,000 12,317 Cleveland Electric Illuminating Co. 8.550% due 11/15/2001 2,075 2,106 7.850% due 07/30/2002 3,500 3,536 9.500% due 05/15/2005 2,000 2,048 CMS Energy 8.130% due 05/15/2002 5,000 4,966 7.630% due 11/15/2004 15,400 14,750 8.000% due 07/01/2011 5,000 4,957 Connecticut Light & Power Co. 7.880% due 06/01/2001 500 502 8.590% due 06/05/2003 10,000 9,869 Deutsche Telekom AG 7.750% due 06/15/2005 5,000 5,123 DTE Capital Corp. 8.350% due 11/15/2038 (d) 1,000 978 Entergy Louisiana, Inc. 8.500% due 06/01/2003 4,000 4,112 Entergy Mississippi 7.750% due 02/15/2003 35,000 35,346 GTE Corp. 8.880% due 01/15/2006 45,170 46,640 6.130% due 04/15/2012 4,300 4,249 Hughes Electric 7.560% due 10/23/2000 (d) 28,500 28,509 Illinois Power Co. 6.250% due 07/15/2002 10,000 9,862 6.000% due 09/15/2003 12,500 12,177 Louisiana Power & Light Co. 7.740% due 07/01/2002 3,308 3,308 Niagara Mohawk Power 7.000% due 10/01/2000 20,717 20,717 7.130% due 07/01/2001 1,512 1,513 7.250% due 10/01/2002 16,634 16,563 North Atlantic Energy 9.050% due 06/01/2002 2,678 2,705 Occidental Petroleum 6.240% due 11/24/2000 5,000 4,987 Ohio Edison Co. 8.630% due 09/15/2003 5,000 5,211 Public Service Enterprise Group, Inc. 7.040% due 11/22/2000 (d) 10,000 9,999 Qwest Capital Funding, Inc. 6.130% due 07/15/2002 5,250 5,169 Qwest Corp. 7.630% due 06/09/2003 25,000 25,320 Reliant Energy, Inc. 6.380% due 11/01/2003 2,000 1,960 Southwestern Bell Communication Capital Corp. 6.130% due 03/12/2001 2,000 1,993 Sprint Corp. 9.500% due 04/01/2003 5,800 6,087 Texas Utilities Co. 5.940% due 10/15/2001 13,155 12,982 9.700% due 02/28/2003 4,695 4,991 6.750% due 03/01/2003 925 919 6.750% due 04/01/2003 3,875 3,849 6.880% due 08/01/2005 2,000 1,964 Toledo Edison Co. 8.180% due 07/30/2002 2,500 2,542 U.S. West Communications, Inc. 5.650% due 11/01/2004 9,250 8,705 United Illuminating Co. 6.000% due 12/15/2003 13,000 12,550 Western Massachusetts Electric 7.750% due 12/01/2002 4,847 4,849 Western Resources, Inc. 6.250% due 08/15/2003 5,450 4,898 WorldCom, Inc. 6.130% due 08/15/2001 45,000 44,726 ---------- 420,614 ---------- Total Corporate Bonds & Notes 2,506,082 (Cost $2,526,932) ========== ------------------------------------------------------------------------------ U.S. GOVERNMENT AGENCIES 0.8% ------------------------------------------------------------------------------ Federal Home Loan Bank 6.240% due 08/24/2001 210 209 6.250% due 11/15/2002 995 991 6.000% due 03/26/2004 10,000 9,774 Federal Home Loan Mortgage Corp. 5.750% due 06/15/2001 750 746 6.000% due 07/20/2001 970 966 6.250% due 10/15/2002 750 746 7.380% due 05/15/2003 5,000 5,105 Federal National Mortgage Association 5.630% due 03/15/2001 3,174 3,160 4.630% due 10/15/2001 535 525 6.500% due 09/05/2002 600 597 6.250% due 11/15/2002 606 603 7.130% due 01/15/2030 28 29 Small Business Administration 8.250% due 01/25/2013 (d) 255 259 8.250% due 02/25/2014 (d) 796 848 Student Loan Marketing Assn. 6.920% due 04/25/2006 (d) 7,893 7,863 ---------- Total U.S. Government Agencies 32,421 (Cost $32,139) ========== ------------------------------------------------------------------------------ U.S. TREASURY OBLIGATIONS 9.7% ------------------------------------------------------------------------------ Treasury Inflation Protected Securities (i) 3.630% due 07/15/2002 (b)(j) 155,181 155,132 3.380% due 01/15/2007 (j) 38,184 36,931 3.630% due 01/15/2008 (j) 123,389 120,575 3.880% due 01/15/2009 98,818 98,015 U.S. Treasury Bonds 5.500% due 08/15/2028 100 93 U.S. Treasury Strips 0.000% due 02/15/2019 200 66 ---------- Total U.S. Treasury Obligations 410,812 (cost $410,218) ========== See accompanying notes 61 Schedule of Investments (Cont.) Low Duration Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------------------ MORTGAGE-BACKED SECURITIES 41.8% ------------------------------------------------------------------------------ Collateralized Mortgage Obligations 15.4% Amortizing Residential Collateral Trust 6.880% due 09/25/2003 (d) $ 16,690 $ 16,690 Bayview Financial Revolving Mortgage 7.920% due 08/25/2029 (d) 6,900 6,785 Cendant Mortgage Corp. 6.500% due 01/18/2016 513 505 Chase Commercial Mortgage Securities Corp. 7.600% due 12/18/2005 156 159 Chase Mortgage Finance Corp. 10.000% due 11/25/2009 87 87 6.500% due 06/25/2013 6,229 6,161 6.320% due 04/25/2025 (d) 3,116 3,147 6.750% due 06/25/2028 11,250 10,810 6.350% due 07/25/2029 4,717 4,670 CMC Securities Corp. IV 7.250% due 10/25/2027 12,141 12,035 Collateralized Mortgage Obligation Trust 6.750% due 01/20/2003 (d) 4 4 Commercial Trust 6.670% due 12/15/2003 3,799 3,575 Countrywide Funding Corp. 6.250% due 01/25/2035 (d) 2,810 2,786 Countrywide Home Loans 6.250% due 07/25/2009 467 464 6.900% due 12/25/2027 18,168 17,481 Criimi Mae Financial Corp. 7.000% due 01/01/2033 8,469 8,358 CS First Boston Mortgage Securities Corp. 6.400% due 01/17/2035 132 131 Dime Savings 7.060% due 11/01/2018 (d) 1,340 1,210 DLJ Mortgage Acceptance Corp. 11.000% due 08/01/2019 697 758 8.670% due 05/25/2024 (d) 1,056 1,079 7.190% due 06/25/2026 (d) 9,473 9,369 6.850% due 12/17/2027 165 165 Enterprise Mortgage Acceptance Co. 6.110% due 01/15/2025 106 105 Federal Home Loan Mortgage Corp. 6.000% due 07/15/2006 1,585 1,574 6.500% due 08/15/2006 2,211 2,199 9.500% due 03/01/2010 23 24 6.500% due 08/15/2011 18,088 17,773 12.500% due 09/30/2013 544 580 9.500% due 08/01/2016 6 6 10.000% due 11/01/2016 18 19 9.500% due 06/01/2019 19 20 10.000% due 07/15/2019 232 244 9.000% due 11/15/2019 485 489 10.000% due 05/15/2020 166 174 9.500% due 07/01/2020 9 9 9.500% due 08/01/2020 28 29 7.500% due 12/15/2020 957 960 9.000% due 12/15/2020 2,821 2,906 9.500% due 01/15/2021 959 996 8.000% due 04/15/2021 1,146 1,168 9.000% due 05/15/2021 193 198 9.500% due 09/01/2021 33 34 7.500% due 01/20/2024 4,574 4,582 Federal National Mortgage Association 8.950% due 05/25/2003 21 22 9.400% due 07/25/2003 43 44 9.000% due 07/25/2003 176 177 6.880% due 06/25/2009 1,294 1,288 7.000% due 09/25/2016 10,368 10,314 8.750% due 05/25/2019 21 21 9.500% due 03/25/2020 3,671 4,000 9.500% due 05/25/2020 1,278 1,329 9.000% due 03/25/2021 3,151 3,243 9.000% due 04/25/2021 107 111 8.000% due 03/25/2022 29 29 5.000% due 01/25/2024 54 53 8.500% due 04/01/2025 2,854 2,934 6.890% due 02/01/2028 (d) 5,771 5,934 General Electric Capital Mortgage Services, Inc. 6.750% due 12/25/2012 2,629 2,610 6.500% due 02/25/2024 1 1 German American Capital Corp. 7.000% due 08/12/2010 6,800 6,685 Glendale Federal Savings & Loan 7.940% due 03/25/2030 (d) 949 941 Greenwich 9.480% due 11/25/2024 (d) 151 151 Impac Secured Assets CMN Owner Trust 8.000% due 07/25/2030 113,595 114,056 Independent National Mortgage Corp. 9.140% due 11/25/2024 (d) 48 48 J.P. Morgan Commercial Mortgage Finance Corp. 7.070% due 09/15/2029 185 185 6.370% due 01/15/2030 116 114 LB Commercial Conduit Mortgage Trust 6.330% due 11/18/2004 119 118 Mellon Residential Funding Corp. 6.400% due 06/25/2028 2,661 2,589 6.580% due 07/25/2029 (d) 17,411 17,193 Morgan Stanley Capital 7.230% due 01/16/2006 230 232 7.460% due 02/15/2020 8,100 8,234 6.860% due 08/15/2023 121 120 6.220% due 06/01/2030 209 205 Mortgage Capital Funding, Inc. 6.330% due 10/18/2007 21,345 20,895 Nomura Asset Securities Corp. 6.630% due 01/25/2009 463 460 Norwest Asset Securities Corp. 6.500% due 04/25/2028 1,415 1,374 6.500% due 01/25/2029 6,000 5,623 PNC Mortgage Securities Corp. 6.500% due 02/25/2028 5,847 5,808 6.750% due 05/25/2028 4,777 4,723 7.750% due 07/25/2030 60,352 60,239 Prudential Bache 6.710% due 09/01/2018 (d) 22 21 8.400% due 03/20/2021 3,319 3,400 Prudential Home Mortgage Securities 7.500% due 09/25/2007 824 829 7.000% due 01/25/2008 10,000 9,932 6.750% due 11/25/2008 4,941 4,790 7.000% due 06/25/2023 3,014 2,992 6.050% due 04/25/2024 113 112 6.000% due 05/25/2024 1 1 Resecuritization Mortgage Trust 6.870% due 04/26/2021 (d) 9,452 9,263 Residential Accredit Loans, Inc. 6.500% due 02/25/2029 24,140 23,197 7.000% due 07/25/2029 541 533 Residential Asset Securitization Trust 6.500% due 09/25/2014 441 427 Residential Funding Mortgage Securities, Inc. 6.500% due 06/25/2008 176 176 6.500% due 04/25/2009 22 22 5.880% due 07/01/2019 (d) 752 717 7.500% due 08/25/2023 497 498 7.100% due 07/25/2027 4,220 4,200 7.000% due 10/25/2027 10,000 9,451 7.250% due 10/25/2027 17,582 17,526 6.250% due 11/25/2028 6,000 5,432 Resolution Trust Corp. 8.630% due 10/25/2021 10,337 10,297 5.970% due 10/25/2021 435 412 6.940% due 10/25/2021 (d) 68 67 6.900% due 02/25/2027 3,338 3,077 9.000% due 09/25/2028 134 135 7.350% due 10/25/2028 (d) 87 86 62 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Ryland Mortgage Securities Corp. 7.040% due 11/25/2021 $ 664 $ 654 Salomon Brothers Mortgage Securities 11.500% due 09/01/2015 368 370 7.160% due 12/25/2017 (d) 1,525 1,532 9.060% due 03/25/2024 (d) 995 1,002 Shearson Lehman 9.600% due 03/25/2021 280 279 Structured Asset Mortgage Investments, Inc. 6.910% due 06/25/2028 (d) 6,413 6,241 9.040% due 06/25/2029 (d) 8,097 8,340 6.580% due 06/25/2029 (d) 29,963 28,724 6.750% due 05/02/2030 4,141 4,024 Structured Asset Securities Corp. 6.750% due 07/25/2029 15,441 15,228 7.750% due 07/25/2030 29,087 29,331 TMA Mortgage Funding Trust 7.000% due 01/25/2029 (d) 10,131 10,131 Torrens Trust 6.880% due 07/15/2031 (d) 6,706 6,706 Union Planters Mortgage Finance Corp. 6.450% due 01/25/2028 6,000 5,909 ---------- 648,685 ========== Federal Home Loan Mortgage Corporation 1.3% 5.750% due 01/15/2008 4,521 4,471 6.000% due 09/01/2006-03/01/2011 (h) 9,602 9,318 6.500% due 02/01/2005-10/01/2028 (h) 1,160 1,150 6.750% due 06/15/2019 4,062 4,047 6.870% due 10/01/2027 (d) 1,086 1,067 7.000% due 01/01/2017 (d) 39 39 7.380% due 11/01/2022 (d) 1,609 1,643 7.390% due 10/01/2023 (d) 1,008 1,029 7.430% due 11/01/2023 (d) 578 590 7.500% due 09/01/2006-01/01/2024 (d)(h) 2,121 2,160 7.550% due 02/01/2020 (d) 2,164 2,189 7.840% due 03/01/2024 (d) 74 77 7.890% due 01/01/2024 (d) 809 833 7.910% due 06/01/2024 (d) 640 657 8.000% due 07/01/2006-12/01/2024 (h) 5,081 5,177 8.240% due 09/01/2023 (d) 257 263 8.250% due 10/01/2007-11/01/2007 (h) 25 25 8.420% due 12/01/2022 (d) 639 656 8.500% due 07/01/2001-11/01/2025 (h) 12,535 12,912 8.510% due 07/01/2018 (d) 252 258 8.750% due 02/01/2001-04/01/2002 (h) 20 20 9.000% due 05/01/2002-08/01/2022 (h) 3,026 3,136 9.250% due 07/01/2001 2 2 9.500% due 03/01/2001-02/01/2025 (h) 247 253 9.750% due 03/01/2001-11/01/2008 (h) 618 634 10.000% due 04/01/2001-10/01/2019 (h) 76 80 10.500% due 10/01/2000-02/01/2016 (h) 31 32 10.750% due 09/01/2009-08/01/2011 (h) 314 338 11.500% due 10/01/2015-01/01/2016 (h) 43 48 11.750% due 11/01/2010-08/01/2015 (h) 12 14 12.000% due 09/01/2013 2 2 14.000% due 09/01/2012-04/01/2016 (h) 11 11 14.500% due 12/01/2010 3 3 15.000% due 08/01/2011-12/01/2011 (h) 3 4 15.500% due 11/01/2011 0 0 16.000% due 04/01/2012 0 0 ---------- 53,138 ========== Federal Housing Administration 1.0% 6.950% due 04/01/2014 2,084 1,915 7.400% due 02/01/2019 93 91 7.420% due 11/01/2019 525 515 7.430% due 10/01/2019-07/01/2024 (h) 41,082 40,942 ---------- 43,463 ========== Federal National Mortgage Association 5.8% 6.000% due 05/01/2011-12/25/2020 (h) 189 185 6.320% due 08/01/2029 19,176 18,204 6.450% due 04/01/2018 (d) 6,233 6,102 6.500% due 06/01/2008 14 13 6.780% due 01/01/2021 (d) 400 396 7.000% due 04/01/2002-05/01/2012 (h) 305 304 7.140% due 11/01/2018 (d) 156 157 7.230% due 04/25/2022 (d) 187 189 7.260% due 07/01/2017 (d) 490 496 7.270% due 11/01/2017 (d) 302 303 7.800% due 01/01/2024 (d) 2,100 2,158 7.850% due 01/01/2024 (d) 28 29 7.910% due 04/01/2024 (d) 1,952 2,004 8.000% due 03/01/2004-10/16/2030 (h) 148,062 150,005 8.290% due 10/01/2024 (d) 3,580 3,700 8.500% due 03/01/2008-10/16/2030 (h) 51,528 52,785 8.700% due 07/01/2023 (d) 1,262 1,297 9.000% due 01/01/2025 4 4 9.500% due 07/01/2024-11/01/2025 (h) 3,696 3,828 10.000% due 02/01/2004-01/01/2025 (h) 1,142 1,194 10.500% due 06/01/2005-12/01/2024 (h) 163 172 11.000% due 11/01/2020 45 49 11.250% due 12/01/2010-10/01/2015 (h) 140 152 11.500% due 12/01/2008-02/01/2020 (h) 64 71 11.750% due 02/01/2016 36 39 12.000% due 01/01/2015-10/01/2015 (h) 6 6 12.750% due 03/01/2014 25 28 13.000% due 07/01/2015 8 9 13.250% due 09/01/2011 13 15 13.500% due 04/01/2014 3 4 15.500% due 10/01/2012-12/01/2012 (h) 56 64 15.750% due 12/01/2011 25 29 16.000% due 09/01/2012-12/01/2012 (h) 11 14 ---------- 244,005 ========== Government National Mortgage Association 17.7% 6.380% due 05/20/2027 (d) 1,583 1,594 6.500% due 05/15/2023-10/21/2029 (h) 84,534 81,421 6.750% due 08/20/2022-07/20/2027 (d)(h) 75,246 75,919 7.000% due 03/15/2011-10/23/2030 (h) 56,341 55,788 7.130% due 10/20/2023-12/20/2027 (d)(h) 53,892 54,288 7.380% due 04/20/2016-06/20/2027 (d)(h) 40,882 41,200 7.500% due 02/15/2022-10/23/2030 (h) 90,147 90,416 8.000% due 07/15/2004-10/23/2030 (h) 277,487 282,249 8.500% due 04/15/2022-10/23/2030 (h) 62,938 64,684 9.000% due 03/15/2017 14 15 9.500% due 10/15/2016-06/15/2025 (h) 123 129 9.750% due 07/15/2013-10/15/2017 (h) 511 535 10.000% due 10/15/2013-11/15/2025 (h) 129 137 10.500% due 11/15/2019-02/15/2021 (h) 16 17 11.000% due 09/15/2010 8 9 11.500% due 08/15/2018 37 41 11.750% due 08/15/2013-08/15/2015 (h) 56 61 12.000% due 06/20/2015 8 9 12.250% due 01/15/2014 36 40 13.000% due 10/15/2013 6 6 13.500% due 05/15/2011-11/15/2012 (h) 22 27 16.000% due 12/15/2011-04/15/2012 (h) 27 31 ---------- 748,616 ========== Other Mortgage-Backed Securities 0.3% First Boston Mortgage Securities Corp. 8.300% due 08/20/2009 3 3 Glendale Federal Savings & Loan 11.000% due 03/01/2010 16 16 Home Savings of America 6.100% due 05/25/2027 (d) 1,177 1,147 Imperial Savings & Loan 8.850% due 07/25/2017 (d) 31 30 9.900% due 02/25/2018 383 379 Resolution Trust Corp. 6.700% due 05/25/2019 (d) 3,312 3,302 6.860% due 08/25/2019 (d) 2,788 2,789 10.300% due 08/25/2021 (d) 402 400 6.050% due 10/25/2028 (d) 1,797 1,851 7.200% due 05/25/2029 (d) 2,127 2,125 Salomon Brothers Mortgage Securities 8.140% due 12/25/2017 (d) 133 133 Sears Mortgage 12.000% due 02/25/2014 57 59 7.430% due 10/25/2022 (d) 1,770 1,790 ---------- 14,024 ========== See accompanying notes 63 Schedule of Investments (Cont.) Low Duration Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Stripped Mortgage-Backed Securities 0.3% Federal Home Loan Mortgage Corp. (IO) 6.000% due 02/15/2006 $ 350 $ 5 9.980% due 07/15/2006 7 37 10.190% due 08/15/2006 3 20 11.940% due 12/15/2006 8 55 6.000% due 10/15/2007 398 14 6.000% due 02/15/2008 1,555 57 7.000% due 08/15/2018 5,516 374 7.000% due 04/15/2019 327 4 6.500% due 05/15/2019 4,111 227 6.500% due 06/15/2019 1,849 117 10.500% due 04/15/2021 13 149 6.500% due 04/15/2022 2,582 273 7.000% due 05/15/2023 324 42 4.000% due 01/15/2024 20,919 4,502 Federal National Mortgage Association (IO) 7.270% due 09/25/2006 32 176 6.000% due 02/25/2008 2,147 98 256.000% due 11/01/2008 22 107 6.500% due 03/25/2009 3,825 371 0.100% due 03/25/2009 (d) 16,057 273 6.500% due 03/25/2009 1,362 140 6.920% due 07/25/2017 2,313 2,299 7.500% due 03/25/2019 2,029 148 6.500% due 05/25/2019 8,730 624 6.500% due 04/25/2020 6,447 360 7.000% due 05/25/2021 3,909 281 8.600% due 02/25/2022 19 272 6.500% due 03/25/2023 3,322 372 4.880% due 03/25/2024 (d) 6,455 271 Federal National Mortgage Association (PO) 0.000% due 09/25/2022 26 22 Prudential Home Mortgage Securities (IO) 0.300% due 04/25/2009 (d) 49,173 312 ---------- 12,002 ---------- Total Mortgage-Backed Securities 1,763,933 (Cost $1,770,729) ========== ------------------------------------------------------------------------------ ASSET-BACKED SECURITIES 6.2% ------------------------------------------------------------------------------ Advanta Mortgage Loan Trust 7.760% due 05/25/2018 21,700 21,935 Allied Waste Industries, Inc. 9.440% due 07/30/2006 11,364 11,026 9.750% due 07/30/2007 (d) 1,818 1,764 9.690% due 07/30/2007 (d) 11,819 11,468 Amresco Residential Securities Mortgage Loan Trust 6.810% due 07/25/2027 (d) 71 71 AT&T Universal Card Master Trust 5.950% due 10/17/2002 4,000 4,001 Bombardier Capital Mortgage 6.610% due 09/15/2010 8,587 8,544 Capital Asset Research Funding LP 6.400% due 12/15/2004 65 66 CIT Marine Trust 5.800% due 04/15/2010 200 196 Citicorp Mortgage Securities, Inc. 6.750% due 05/25/2028 6,266 5,909 CMC Securities Corp. IV 7.250% due 11/25/2027 8,724 8,593 Community Program Loan Trust 4.500% due 10/01/2018 15,756 14,136 Compucredit Credit Card Trust 6.850% due 03/15/2007 (d) 32,000 32,000 Duck Auto Grantor Trust 5.650% due 03/15/2004 6,067 5,998 Empire Funding Home Loan Owner Trust 6.590% due 05/25/2014 5,438 5,413 Federal-Mogul Corp. 8.700% due 12/31/2005 (d) 14 12 GF Funding Corp. 6.890% due 01/20/2006 20,503 20,372 Green Tree Financial Corp. 6.550% due 02/15/2027 12,387 12,316 7.400% due 06/15/2027 11,748 11,834 Green Tree Home Improvement Loan Trust 6.320% due 08/15/2008 6,753 6,748 IMC Home Equity Loan Trust 6.840% due 10/20/2027 (d) 4,336 4,338 Irwin Home Equity 7.460% due 09/15/2030 18,321 18,343 Merit Securities Corp. 7.040% due 12/28/2033 22,674 22,578 MGM Grand Term Loan 7.870% due 05/06/2001 (d) 8,865 8,844 New York City Tax Lien 6.350% due 07/10/2007 7,395 7,311 Oakwood Mortgage Investors, Inc. 6.950% due 08/15/2027 4,735 4,713 Option One Mortgage Loan Trust 6.910% due 09/25/2030 (d) 5,978 5,978 Prudential Home Mortgage Securities 7.000% due 08/25/2009 4,000 3,994 Saxon Asset Securities Trust 7.210% due 01/25/2019 275 275 6.850% due 05/25/2029 (d) 1,744 1,746 Stone Container Corp. 10.190% due 10/01/2003 2,363 2,371 ---------- Total Asset-Backed Securities 262,893 (Cost $264,398) ========== ------------------------------------------------------------------------------ SOVEREIGN ISSUES 2.0% ------------------------------------------------------------------------------ Central Bank Philippines 7.940% due 06/01/2008 (d) 2,993 2,679 Hydro-Quebec 9.000% due 03/07/2001 10,000 10,073 Nacional Financiera 10.630% due 11/22/2001 7,500 7,740 8.570% due 05/08/2003 (d) 5,000 5,078 Province of Quebec 6.380% due 10/25/2001 (d) 250 249 Republic of Brazil 7.380% due 04/15/2006 2,325 2,194 Republic of Argentina 11.600% due 04/10/2005 (d) 1,400 1,302 Republic of Brazil 7.880% due 01/01/2001 (d) 1,181 1,181 7.380% due 04/15/2006 (d) 4,278 4,027 Republic of Philippines 7.810% due 01/05/2005 (d) 1,800 1,699 7.940% due 12/01/2009 (d) 15,352 13,356 United Mexican States 5.820% due 06/28/2001 10,500 10,382 10.500% due 04/07/2004 (d) 14,730 15,290 10.020% due 04/07/2004 (d) 1,800 1,872 9.780% due 04/07/2004 (d) 5,000 5,190 ---------- Total Sovereign Issues 82,312 (Cost $82,398) ========== ------------------------------------------------------------------------------ FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.7% ------------------------------------------------------------------------------ British Telecom PLC 4.730% due 07/27/2001 (d) EC 16,000 14,112 Korea Development Bank 4.800% due 05/14/2001 (d) DM 340 152 2.700% due 08/16/2002 JY 2,000,000 19,045 Republic of Austria 5.500% due 01/15/2010 (j) EC 8,900 7,799 Republic of Colombia 7.000% due 03/06/2002 IL 36,220,000 15,866 United Mexican States 6.000% due 03/28/2002 JY 960,000 9,494 8.750% due 05/30/2002 BP 3,000 4,493 ---------- Total Foreign Currency-Denominated Issues 70,961 (Cost $74,194) ========== 64 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 0.0% Utilities 0.0% Alliant Energy Resources, Inc. 4.910% due 01/01/2000 $ 2,000 $ 121 ----------- Total Convertible Bonds & Notes 121 (Cost $136) =========== PREFERRED STOCK 1.9% Shares Home Ownership Funding 13.331% due 12/31/2049 3,000 2,291 Rhone-Poulenc SA 8.125% due 12/31/2049 13,000 292 SI Financing Trust 9.500% due 06/30/2026 806,600 20,316 TCI Communications, Inc. 9.720% due 12/31/2036 224,700 5,842 8.720% due 01/31/2045 1,170,100 29,253 10.000% due 05/31/2045 800,300 20,258 ----------- Total Preferred Stock 78,252 (Cost $83,777) =========== SHORT-TERM INSTRUMENTS 2.5% Principal Amount (000s) Commercial Paper 2.4% Anz, Inc. 6.480% due 11/07/2000 $ 200 199 CDC 6.570% due 11/29/2000 3,000 2,967 Edison Midwest 6.720% due 10/18/2000 9,200 9,172 6.750% due 11/01/2000 850 845 General Electric Capital Corp. 6.520% due 01/19/2001 22,500 22,060 Houston Industries 6.770% due 10/18/2000 5,000 4,985 Ingersoll-Rand Co. 6.680% due 10/02/2000 8,300 8,300 International Paper Co. 6.720% due 11/07/2000 13,700 13,608 Motorola, Inc. 6.480% due 12/26/2000 10,500 10,334 Nabisco, Inc. 6.700% due 10/18/2000 5,700 5,683 Pearson 6.730% due 10/25/2000 3,000 2,987 Sumitomo Bank 6.700% due 10/18/2000 6,600 6,580 Texas Utilities Co. 6.700% due 10/18/2000 11,900 11,865 ----------- 99,585 =========== Repurchase Agreements 0.1% State Street Bank 5.850% due 10/02/2000 2,444 2,444 (Dated 9/29/2000. Collateralized by ----------- Federal National Mortgage Association 6.100% due 08/10/2001 valued at $2,495. Repurchase proceeds are $2,445.) U.S. Treasury Bills (b) 0.0% 5.930% due 02/01/2001 140 137 ----------- Total Short-Term Instruments 102,166 (Cost $102,173) =========== Total Investments (a) 125.9% $ 5,309,953 (Cost $5,347,094) Written Options (c) (0.0%) (1,370) (Premiums $3,819) Other Assets and Liabilities (Net) (25.9%) (1,091,075) ----------- Net Assets 100.0% $ 4,217,508 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 20,659 Aggregate gross unrealized depreciation for all investments in which there was an excess of value tax cost over value. (57,800) ----------- Unrealized depreciation-net $ (37,141) =========== (b) Securities with an aggregate market value of $7,997 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: # of Unrealized Type Contracts Appreciation -------------------------------------------------------------------------------- U.S. Treasury 10 Year Note (12/2000) 51 $ 0 EuroBond 10 Year Note Written Put Options (11/2000) 1,714 524 ----------- $ 524 =========== (c) Premiums received on written options: # of Type Contracts Premium Value -------------------------------------------------------------------------------- Put - CME Eurodollar December Futures Strike @ 93.00 Exp. 12/18/2000 1,875 $ 1,934 $ 47 Put - CME Eurodollar March Futures Strike @ 92.75 Exp. 03/19/2001 594 254 22 Call - CME Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 1,468 380 1,082 Put - CME Eurodollar March Futures Strike @ 92.25 Exp. 03/19/2001 781 468 10 Put - CME Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 341 343 64 Put - CME Eurodollar March Futures Strike @ 93.50 Exp. 03/19/2001 341 440 145 -------- -------- $ 3,819 $ 1,370 ======== ======== (d) Variable rate security. The rate listed is as of September 30, 2000. See accompanying notes 65 Schedule of Investments (Cont.) Low Duration Fund September 30, 2000 (Unaudited) (e) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Sell EC (18,911) 10/2000 $ 523 Buy 124,700 11/2000 2,119 Sell BP (3,283) 10/2000 (65) Sell JY (3,095,172) 10/2000 151 Buy 581,184 10/2000 (1) Sell (581,184) 11/2000 (0) Buy PZ 20,000 02/2001 (74) ------------ $ 2,653 ============ (f) Principal amount denoted in indicated currency: BP - British Pound EC - Euro JY - Japanese Yen PZ - Polish Zloty (g) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount (Depreciation) -------------------------------------------------------------------------------- Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 5.700%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/28/2001 $ 1,500 $ (69) Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 6.150%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/22/2001 2,000 (107) Receive fixed rate equal to 0.430% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 07/11/2003 20,000 1 Receive fixed rate equal to 0.510% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 01/25/2005 5,000 0 Receive fixed rate equal to 0.230% and the Fund will pay to the counterparty at par in the event of default of Associates Corp. 6.000% due 04/15/2003. Broker: Warburg Dillon Read LLC Exp. 01/14/2003 43,000 1 Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.302%. Broker: Goldman Sachs Exp. 07/13/2010 C$ 30,000 (193) ------------ $ (367) ============ Fixed Rate Notional Unrealized Type (%) Amount Appreciation -------------------------------------------------------------------------------- Receive the 10-year Swap Spread and pay a fixed spread. The 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Goldman Sachs Exp. 02/15/2005 0.8675 $ 49,000 $ 493 (h) Securities are grouped together by coupon or range of coupons and represent a range of maturities. (i) Principal amount of the security is adjusted for inflation. (j) Subject to financing transaction. 66 See accompanying notes Schedule of Investments Money Market Fund September 30, 2000 (Unaudited) Principal Amount Value ------------------------------------------------------------------------------ CORPORATE BONDS & NOTES 40.5% ------------------------------------------------------------------------------ Banking & Finance 30.8% Abbey National PLC 6.520% due 11/03/2000 $ 12,800 $ 12,726 Bank of Scotland Treasury 6.600% due 03/06/2001 (a) 6,000 5,999 Citigroup, Inc. 6.741% due 08/13/2001 (a) 235 235 FCC National Bank 6.690% due 05/10/2001 10,900 10,900 First Chicago NBD Corp. 6.750% due 08/20/2001 (a) 14,300 14,309 First Union National Bank 6.847% due 08/24/2001 18,300 18,327 General Motors Acceptance Corp. 6.913% due 08/06/2001 (a) 6,000 6,011 Goldman Sachs Group 6.550% due 10/18/2000 17,900 17,848 7.180% due 01/08/2001 (a) 1,400 1,402 Merrill Lynch & Co. 6.958% due 03/05/2001 (a) 2,000 2,001 6.760% due 08/10/2001 (a) 1,500 1,501 Morgan Stanley, Dean Witter, Discover and Co. 6.937% due 02/06/2001 250 250 6.646% due 08/15/2001 (a) 18,000 18,000 ----------- 109,509 =========== Industrials 9.7% Gannett Co. 6.520% due 11/08/2000 10,000 9,933 6.500% due 11/21/2000 3,500 3,468 Minnesota Mining & Manufacturing Co. 6.450% due 12/19/2000 6,300 6,212 Yorkshire Building Society 6.490% due 12/06/2000 15,000 14,824 --------- 34,437 --------- Total Corporate Bonds & Notes 143,946 (Cost $143,946) ========= ------------------------------------------------------------------------------ SHORT-TERM INSTRUMENTS 56.6% ------------------------------------------------------------------------------ Commercial Paper 56.3% Associates Corp. of North America 6.580% due 11/29/2000 5,800 5,738 AT&T Corp. 6.500% due 10/25/2000 12,600 12,548 Bank One Corp. 6.470% due 12/19/2000 14,300 14,099 Becton Dickinson & Co. 6.520% due 10/10/2000 14,500 14,479 Bell South Telecommunications, Inc. 6.460% due 12/06/2000 11,600 11,465 Bellsouth Capital Funding Corp. 6.460% due 12/12/2000 6,300 6,220 CBA (de) Finance 6.590% due 10/23/2000 6,300 6,276 6.460% due 12/12/2000 9,000 8,885 CDC 6.530% due 10/18/2000 18,000 17,948 6.560% due 11/29/2000 800 791 Coca-Cola Co. 6.510% due 10/31/2000 9,800 9,749 DaimlerChrysler Holdings 6.510% due 12/13/2000 12,300 12,140 Dupont De Nemours & Co. 6.460% due 10/06/2000 3,600 3,597 Eastman Kodak Co. 6.470% due 11/16/2000 2,600 2,579 6.460% due 12/06/2000 13,700 13,540 Exxon-Mobil Corp. 6.470% due 11/17/2000 10,300 10,215 General Electric Capital Corp. 6.480% due 10/18/2000 800 798 Reseau Ferre De France 6.500% due 10/26/2000 3,700 3,684 Societe Generale 6.540% due 02/28/2001 24,200 24,195 Swedbank, Inc. 6.510% due 01/19/2001 12,800 12,548 Verizon Global Funding 6.500% due 10/16/2000 3,700 3,691 6.490% due 11/08/2000 2,300 2,285 6.460% due 12/01/2000 2,200 2,176 6.460% due 12/11/2000 400 395 ----------- 200,041 Repurchase Agreement 0.3% =========== State Street Bank 5.850% due 10/02/2000 945 945 (Dated 9/29/2000. Collateralized by Federal Home Loan Bank 7.090% due 09/19/2003 valued at $965 Repurchase proceeds are $945.) ----------- Total Short-Term Instruments 200,986 (Cost $200,986) =========== Total Investments (a) 97.1% $ 344,932 (Cost $344,932) Other Assets and Liabilities (Net) 2.9% 10,356 ----------- Net Assets 100.0% $ 355,288 =========== Notes to Schedule of Investments (amounts in thousands): a) Variable rate security. The rate listed is as of September 30, 2000. See accompanying notes 67 Schedule of Investments Municipal Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 96.9% -------------------------------------------------------------------------------- Arizona 6.2% Phoenix Industrial Development Authority Revenue Bonds, (GNMA/FNMA/FHLMC Insured), Series 2000-1A 5.875% due 06/01/2016 $ 1,000 $ 1,028 Pima County, Arizona Industrial Development Authority Multi-Family Revenue Bonds, (HUD SECT 8 Insured), Series 1998 5.375% due 06/01/2010 1,210 1,235 Scottsdale, Arizona Industrial Development Authority Hospital Revenue Bonds, (AMBAC Insured), Series 1997 A 6.500% due 09/01/2004 1,130 1,206 ----------- 3,469 =========== California 15.5% Alameda, California Harbor Bay Business Park Assessment Revenue Bonds, Series 1998 5.000% due 09/02/2006 360 360 Capistrano, California Unified School District Special Tax, Series 1999 5.000% due 09/01/2008 350 350 Foothill/Eastern Corridor Agency California Toll Road Revenue Bonds, (MBIA-IBC), Series 1999 0.000% due 01/15/2026 1,565 936 Irvine, California Special Assessment Bond, Series 1998 4.800% due 09/02/2004 150 150 4.900% due 09/02/2005 160 160 4.900% due 09/02/2005 150 149 5.000% due 09/02/2006 150 149 Irvine, California Special Assessment Bond, Series 1999 5.000% due 09/02/2005 350 350 5.100% due 09/02/2006 350 349 5.100% due 09/02/2006 185 185 5.200% due 09/02/2007 180 180 5.200% due 09/02/2007 75 75 Knox Middle School Building Corp. Revenue Bonds, Series 2000 5.700% due 07/15/2010 260 276 Lake Elsinore, California School Refunding Bonds, Series 1998 5.000% due 09/01/2006 350 349 Los Angeles Community Redevelopment Agency Certificates of Partnership Revenue Bonds, Series 1984 7.550% due 11/01/2008 1,150 1,275 Los Angeles County Transportation Commission, Sales Tax Revenue Refunding Bonds, Series 1991 B 6.500% due 07/01/2013 1,000 1,036 Orange County, California Improvement Bond, Series 1998 A 4.900% due 09/02/2005 245 244 Pittsburg, California Infrastructure Refunding Bonds, Series 1998 A 4.900% due 09/02/2003 150 151 5.000% due 09/02/2004 150 152 Riverside County, California Special Tax Refunding Bonds, Series 1999 4.200% due 09/01/2001 300 300 4.700% due 09/01/2005 170 170 Roseville, California Special Tax, Series 1999 5.000% due 09/01/2004 350 351 Sacramento County, California Refunding Bonds, Series 1998 4.900% due 09/02/2005 300 298 South Tahoe California Powers Financing Authority Revenue Bonds, Series 1999 7.300% due 10/01/2007 350 359 West Sacramento, California Refunding Bonds, Series 1998 5.000% due 09/02/2004 350 353 ----------- 8,707 =========== Colorado 6.8% Colorado Housing & Finance Authority Revenue Bonds, (FHA/VA Mortgages Insured) Series 2000-C3 5.700% due 10/01/2022 1,000 1,020 Colorado Housing & Finance Authority Revenue Bonds, Series 2000-D3 6.750% due 04/01/2015 250 272 Colorado Housing & Finance Authority, Series 2000-B3 6.700% due 10/01/2016 250 272 Colorado Springs, Colorado Hospital Revenue Bond, Series 2000 6.375% due 12/15/2030 1,000 994 Denver, Colorado Health & Hospital Revenue Bonds, Series 1998 A 5.000% due 12/01/2009 1,390 1,258 ----------- 3,816 =========== Florida 1.1% Gainesville, Florida Revenue Bonds, Series 1979 6.200% due 10/01/2002 300 304 Orange County, Florida Health Facilities Authority Revenue Bonds, (MBIA Insured), Series 1996 6.250% due 10/01/2011 290 319 ----------- 623 =========== Georgia 0.4% Georgia Municipal Electric Authority Revenue Bonds, (MBIA-IBC Insured), Series 1997 6.500% due 01/01/2012 200 224 ----------- Hawaii 1.8% Honolulu Hawaii City & County General Obligation, (MBIA-IBC), Series 1993 5.450% due 09/11/2008 1,000 1,039 ----------- Indiana 2.0% Indiana Local Public Improvement Bonds Bank, Transportation Revenue Bonds, Series 1992 6.750% due 02/01/2014 1,000 1,125 ----------- Kansas 1.8% Wichita Kansas Hospital Revenue Bonds, Series 1999 6.250% due 11/15/2024 1,000 1,000 ----------- Louisiana 0.5% Louisiana Local Government Revenue Bonds, (MBIA Insured), Series 2000 5.700% due 01/01/2010 250 259 ----------- Massachusetts 6.6% Massachusetts Housing Finance Agency Revenue Bonds, (AMBAC Insured), Series 1993 5.950% due 10/01/2008 1,500 1,559 Massachusetts State Development Finance Agency Revenue Bonds, (ACA Insured), Series 1999 4.600% due 03/01/2009 400 378 Massachusetts State Development Finance Agency Revenue Bonds, Series 1998 4.700% due 11/01/2007 210 202 4.800% due 11/01/2008 90 87 Massachusetts State General Obligation, Series 2000 6.000% due 02/01/2013 1,000 1,076 Massachusetts State Health Facilities Authority Revenue Bonds, Series 1993 5.500% due 10/01/2002 400 389 ----------- 3,691 =========== 68 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Michigan 2.5% Farmington Hills Michigan Hospital, Revenue Bond, (MBIA Insured), Series 1991 B 5.700% due 02/15/2016 (b) $ 200 $ 200 Michigan State Environmental Protection General Obligation Bonds, Series 1992 6.250% due 11/01/2012 1,100 1,216 ----------- 1,416 =========== Minnesota 1.9% Minneapolis & St. Paul Housing & Redevelopment Authority Health Care Revenue Bonds, (FSA Insured), Series 1995 5.700% due 08/15/2025 100 100 New Richland, Minnesota Revenue Bonds, Series 1998 4.500% due 08/01/2004 1,000 993 ----------- 1,093 =========== New Jersey 9.9% New Jersey Economic Development Authority Revenue Bond, Series 1998 A 0.010% due 04/01/2013 1,595 686 New Jersey Economic Development Authority Revenue Bond, Series 1998 5.600% due 01/01/2012 1,000 885 6.375% due 04/01/2031 2,000 1,964 New Jersey Economic Development Authority Revenue Bonds, Series 1999 6.625% due 09/15/2012 2,000 2,042 ----------- 5,577 =========== New Mexico 2.4% Los Alamos County, Utility Revenue Bonds, Series 1994 A 6.000% due 07/01/2008 1,000 1,056 Santa Fe County, El Castillo Retirement Nursing Home Bonds, Series 1998 A 5.250% due 05/15/2007 315 291 ----------- 1,347 =========== New York 9.5% Nassau County, New York Tobacco Settlement Corp. Revenue Bonds, Series 1999 5.250% due 07/15/2011 1,000 1,003 New York City General Obligation Bonds, Series 1996 A 7.000% due 08/01/2007 1,000 1,117 New York State Dorm Authority Revenue Bonds, (ACA Insured), Series 2000 5.850% due 07/01/2010 1,000 1,027 New York State Dorm Authority Revenue Bonds, (MBIA Insured), Series 1996 5.600% due 07/01/2016 1,250 1,264 New York State Environmental Facilities Special Obligation Revenue Bonds, Series 1996 5.125% due 04/01/2022 1,000 936 ----------- 5,347 =========== North Carolina 1.9% North Carolina Municipal Power Agency, Catawaba Electric Revenue Bonds, (AMBAC Insured), Series 1992 6.000% due 01/01/2008 1,000 1,068 ----------- North Dakota 3.7% Mercer County Pollution Control Revenue Bonds, Series 1991 6.900% due 02/01/2019 2,000 2,054 ----------- Pennsylvania 2.0% Allegheny County Hospital Development Authority Revenue Bonds, (MBIA Insured), Series 2000 A 6.500% due 11/15/2030 1,000 1,053 Delaware County, Pennsylvania Hospital Revenue Bonds, Series 1998 4.900% due 12/01/2008 100 90 ----------- 1,143 =========== South Carolina 1.7% Medical University South Carolina Hospital Facilities Revenue Bonds, Series 1999 5.700% due 07/01/2012 1,000 982 ----------- Tennessee 3.1% Nashville & Davidson County, Tennessee Revenue Bonds, Series 1998 4.450% due 08/01/2007 1,000 960 Sullivan County, Tennessee Industrial Development Revenue Bonds, (GNMA Insured), Series 1995 6.250% due 07/20/2015 750 787 ----------- 1,747 =========== Texas 6.9% Bexar, Texas Metro Water District Waterworks System Revenue Bonds, (MBIA Insured), Series 1998 0.000% due 05/01/2035 2,190 281 Brazos River Authority Texas Revenue Bonds, (MBIA Insured), Series 1998 4.900% due 10/01/2015 1,500 1,402 Dallas-Fort Worth International Airport Facility Improvement Corp. Revenue Bonds, Series 2000 5.950% due 05/01/2029 1,000 1,003 Houston Independent School District General Obligation, (PSF Insured), Series 1999 4.750% due 02/15/2026 1,000 844 Midlothian Texas Independent School District General Obligation, (PSF-GTD Insured), Series 1999 0.010% due 02/15/2018 1,000 346 ----------- 3,876 =========== Utah 6.6% Intermountain Power Agency Utah Power Supply Revenue Bonds, (MBIA Insured), Series 1996 6.500%due 07/01/2009 1,925 2,143 Intermountain Power Agency Utah Power Supply Revenue Bonds, Series 1996 D 5.000% 0due 07/01/2021 1,710 1,547 ---------- 3,690 ========== West Virginia 2.1% West Virginia State Parkways Economic Development & Tourism Authority Revenue Bonds, (FGIC Insured), Series 1993 5.831% due 05/16/2019 1,200 1,208 ----------- Total Municipal Bonds & Notes 54,501 (Cost $53,931) =========== ------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 0.2% ------------------------------------------------------------------------------- Treasury Inflation Protected Securities (c) 3.625% due 07/15/2002 108 108 ----------- Total U.S. Treasury Obligations 108 (Cost $108) =========== See accompanying notes 69 Schedule of Investments (Cont.) Municipal Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 0.0% Commercial Paper 0.0% SSgA Tax Free Money Market 4.570% due 10/02/2000 $ 17 $ 17 ----------- Total Short-Term Instruments 17 (Cost $17) =========== Total Investments (a) 97.1% $ 54,626 (Cost $54,056) Other Assets and Liabilities (Net) 2.9% 1,622 ----------- Net Assets 100.0% $ 56,248 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 1,170 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (600) ----------- Unrealized appreciation-net $ 570 =========== (b) Variable rate security. The rate listed is as of September 30, 2000. (c) Principal amount of the security is adjusted for inflation. 70 See accompanying notes Schedule of Investments New York Municipal Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 96.8% -------------------------------------------------------------------------------- New York 96.8% Amherst, New York General Obligation, (FGIC Insured), Series A 5.500% due 12/01/2008 $ 150 $ 158 Edmeston, New York Central School District General Obligation, (MBIA Insured), Series 1999 5.100% due 06/15/2007 150 153 Erie County New York General Obligation, (AMBAC Insured), Series 2000 5.750% due 07/01/2010 250 267 Long Island Power Authority Revenue Bonds, Series 1998 5.500% due 05/01/2033 100 100 Nassau County, New York Tobacco Settlement Corp. Revenue Bonds, Series 1999 5.250% due 07/15/2011 150 151 New York City General Obligation, Series 1997 5.300% due 06/01/2012 150 152 New York City Municipal Water Finance Authority Revenue Bonds, (FGIC Insured), Series 1994 5.500% due 06/15/2024 100 100 New York General Obligation Bond, (Bayerische Landesbank Insured), Series 1995-F5 5.500% due 02/15/2016 (b) 100 100 New York General Obligation Bond, (FGIC Insured), Series 1992-B 5.500% due 10/01/2020 100 100 New York General Obligation, Series 1997-D 5.250% due 08/01/2021 100 94 New York State Dormitory Authority Revenue Bonds, (AMBAC Insured), Series 1998 5.000% due 07/01/2002 150 151 New York State Dormitory Authority Revenue Bonds, (FSA Insured), Series 1998 4.750% due 07/01/2008 150 150 New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 1999 4.750% due 07/01/2006 150 150 New York State Energy Research & Development Revenue Bonds, Series 1985 5.500% due 12/01/2025 200 200 New York State Local Government Assistance Corp. Revenue Bonds, (MBIA Insured), Series 1997-B 5.125% due 04/01/2013 150 149 New York State Power Authority Revenue & General Purpose, Series 1972-E 5.500% due 01/01/2010 135 139 New York State Thruway Authority Service Contract Revenue Bonds, (MBIA Insured), Series 1999 4.900% due 04/01/2008 150 151 New York State Urban Development Corp. Revenue Bonds, Series 1999 5.000% due 01/01/2005 150 151 New York, New York General Obligation, Series 1997 5.750% due 08/01/2009 250 267 Ontario County Industrial Development Agency Revenue Bonds, Series 1985 5.650% due 08/01/2015 100 100 Rockland County New York Solid Waste Management Authority Revenue Bonds, Series 1999 A 4.800% due 12/15/2005 145 147 ----------- Total Municipal Bonds & Notes 3,130 (Cost $3,088) =========== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 1.4% -------------------------------------------------------------------------------- Commercial Paper 1.4% R & T New York Money Market 4.550% due 10/02/2000 45 45 ----------- Total Short-Term Instruments 45 (Cost $45) =========== Total Investments (a) 98.2% $ 3,175 (Cost $3,133) Other Assets and Liabilities (Net) 1.8% 57 ----------- Net Assets 100.0% $ 3,232 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value overtax cost $ 44 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (2) ----------- Unrealized appreciation-net $ 42 =========== (b) Variable rate security. The rate listed is as of September 30, 2000. See accompanying notes 71 Schedule of Investments Real Return Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 50.4% Banking & Finance 29.8% Allied Irish Banks 7.030% due 09/07/2006 (d) $ 1,200 $ 1,205 Allstate Financial Global Funding 7.130% due 09/26/2005 2,500 2,501 Associates Corp. of North America 6.780% due 08/27/2001 (d) 1,500 1,504 6.960% due 05/08/2003 (d) 1,500 1,499 AT&T Capital Corp. 7.110% due 09/13/2001 (d) 500 501 7.010% due 04/23/2002 (d) 1,000 1,003 Bank One Corp. 6.900% due 09/26/2003 (d) 5,000 4,997 Bear Stearns Co., Inc. 7.090% due 08/01/2002 (d) 500 501 7.130% due 03/28/2003 (d) 6,000 6,000 7.050% due 09/21/2004 (d) 1,000 999 Chase Manhattan Corp. 6.960% due 12/10/2001 (d) 500 504 CIT Group, Inc. 6.750% due 05/14/2001 1,000 1,000 Citigroup, Inc. 6.710% due 09/17/2001 (d) 335 336 Dime Bancorp, Inc. 7.000% due 07/25/2001 4,225 4,206 Donaldson, Lufkin & Jenrette, Inc. 6.760% due 04/25/2003 (d) 7,500 7,497 DQE Capital Corp. 7.230% due 01/15/2002 (d) 1,000 1,000 Export-Import Bank Korea 6.500% due 11/15/2006 2,500 2,435 Finova Capital Corp. 7.340% due 11/08/2002 (d) 2,800 2,277 First Union Corp. 7.550% due 08/18/2005 10,000 10,129 Florida Windstorm 6.700% due 08/25/2004 500 494 Ford Motor Credit Corp. 6.990% due 07/16/2002 (d) 1,000 1,002 6.810% due 02/13/2003 (d) 350 350 6.950% due 06/20/2003 (d) 15,500 15,511 General Motors Acceptance Corp. 6.910% due 12/15/2000 (d) 1,500 1,500 6.920% due 07/20/2002 6,475 6,475 6.860% due 12/09/2002 (d) 2,000 2,002 Gold Eagle Capital Ltd. 9.000% due 04/15/2001 1,000 999 12.130% due 04/15/2001 2,440 2,440 Heller Financial, Inc. 7.060% due 02/05/2001 400 400 6.890% due 04/26/2002 (d) 250 250 6.500% due 07/22/2002 1,000 989 7.500% due 08/23/2002 5,700 5,739 6.970% due 04/28/2003 (d) 3,000 2,987 Household Finance Corp. 7.090% due 08/06/2002 (d) 2,000 2,006 J.P. Morgan & Co. 8.080% due 02/15/2012 3,470 3,002 Juno Reinsurance 10.370% due 06/26/2002 (d) 750 728 Korea Development Bank 5.890% due 03/01/2002 (d) 500 471 8.290% due 06/16/2003 (d) 500 490 Lehman Brothers Holdings, Inc. 9.880% due 10/15/2000 250 250 6.130% due 02/01/2001 2,600 2,592 7.680% due 04/02/2002 (d) 500 504 6.970% due 06/03/2002 (d) 2,500 2,498 7.530% due 07/15/2002 (d) 600 605 6.970% due 09/03/2002 (d) 2,000 1,999 MBNA America Bank NA 6.970% due 04/25/2002 (d) 500 499 Merrill Lynch & Co. 6.790% due 11/01/2001 (d) 3,000 3,003 7.090% due 02/08/2002 (d) 400 401 6.920% due 02/04/2003 (d) 2,000 1,999 6.990% due 08/01/2003 (d) 4,000 4,002 Monumental Global Funding II 6.910% due 09/26/2003 (d) 2,000 2,000 Morgan Stanley, Dean Witter, Discover and Co. 6.840% due 12/17/2001 (d) 300 300 6.880% due 04/15/2002 (d) 1,000 1,001 6.890% due 02/21/2003 (d) 1,500 1,503 6.850% due 03/11/2003 (d) 2,000 1,997 National Westminster Bank 7.160% due 09/16/2002 (d) 3,500 3,514 NeHi, Inc. 11.310% due 06/09/2003 (d) 4,000 4,020 Old Kent Bank 7.460% due 11/01/2005 (d) 1,000 999 Pemex Finance Ltd. 6.130% due 11/15/2003 433 426 Protective Life Funding Trust 7.090% due 01/17/2003 (d) 1,000 999 Prudential Funding Corp. 6.960% due 10/18/2001 (d) 3,000 3,005 6.380% due 07/23/2006 2,000 1,901 PS Colorado Credit Corp. 7.480% due 05/30/2002 (d) 1,300 1,299 Qwest Capital Funding, Inc. 7.200% due 07/08/2002 (d) 1,000 1,001 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 2,797 2,764 6.960% due 04/28/2003 (d) 3,000 3,001 Seismic Ltd. 11.270% due 01/01/2002 (d) 2,500 2,500 Textron Financial Corp. 6.960% due 10/26/2001 (d) 2,500 2,505 7.030% due 09/17/2002 (d) 5,000 5,006 7.150% due 12/09/2002 (d) 4,000 4,001 Toyota Motor Credit Corp. 7.320% due 02/15/2002 (d) 400 393 ----------- 160,416 =========== Industrials 11.0% AIC Corp. 6.150% due 10/02/2002 (d) 250 249 Alpha Wind 11.320% due 05/23/2001 (d) 1,500 1,500 Arrow Electronics, Inc. 7.440% due 11/24/2000 (d) 1,500 1,500 Atlas Air, Inc. 10.470% due 10/04/2004 (d) 4,400 4,400 Columbia/HCA Healthcare 8.160% due 09/19/2002 (d) 8,000 8,000 Cox Enterprises, Inc. 7.610% due 05/01/2033 (d) 2,000 1,999 DaimlerChrysler Holdings 7.000% due 08/16/2004 (d) 5,000 5,008 Delta Air Lines, Inc. 8.540% due 01/02/2007 3,932 4,042 Enron Corp. 7.110% due 09/10/2001 (d) 2,500 2,500 8.000% due 08/15/2005 3,000 3,046 Global Crossing Ltd. 6.000% due 10/15/2013 1,250 1,155 Packaging Corp. of America 8.630% due 06/20/2007 37 37 Petroleos Mexicanos 9.500% due 09/15/2027 4,750 4,904 Philip Morris Cos., Inc. 9.000% due 01/01/2001 1,000 1,002 7.250% due 09/15/2001 1,000 995 Raytheon Co. 5.950% due 03/15/2001 4,000 3,971 7.020% due 08/10/2001 (d) 1,600 1,601 Staples, Inc. 7.670% due 11/26/2001 (d) 2,000 2,000 72 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Tyco International Group SA 7.370% due 03/05/2001 (d) $ 2,000 $ 2,002 United Air Lines, Inc. 6.890% due 12/02/2002 (d) 1,189 1,182 Vodafone AirTouch PLC 6.860% due 12/19/2001 (d) 6,500 6,509 Waste Management, Inc. 7.100% due 08/01/2026 1,500 1,450 ----------- 59,052 =========== Utilities 9.6% Coastal Corp. 7.330% due 07/21/2003 (d) 5,000 5,012 Commonwealth Edison Co. 7.160% due 09/30/2002 (d) 1,000 1,000 Deutsche Telekom AG 7.750% due 06/15/2005 10,000 10,247 Dominion Resources, Inc. 7.600% due 07/15/2003 5,000 5,054 Entergy Gulf States, Inc. 8.040% due 06/02/2003 (d) 2,500 2,502 Hawaiian Electric Industries, Inc. 7.780% due 04/15/2003 (d) 2,000 2,002 Hughes Electric 7.560% due 10/23/2000 3,500 3,501 Nabors Industries, Inc. 0.000% due 06/20/2020 5,000 3,488 National Rural Utilities Cooperative 6.880% due 05/31/2002 (d) 1,900 1,899 Oneok, Inc. 7.390% due 04/24/2002 (d) 2,000 2,002 Public Service Enterprise Group, Inc. 7.040% due 06/15/2001 500 500 Scana Corp. 7.210% due 02/08/2002 (d) 1,900 1,901 7.380% due 07/15/2002 (d) 3,900 3,905 Sierra Pacific Resources 7.390% due 04/20/2002 (d) 1,000 1,000 7.340% due 04/20/2003 (d) 2,000 2,001 Sprint Capital Corp. 6.970% due 11/15/2001 (d) 1,000 1,000 7.010% due 06/10/2002 (d) 3,000 3,001 Texas Utilities Co. 7.210% due 06/25/2001 (d) 1,300 1,299 7.590% due 09/24/2001 (d) 500 503 ----------- 51,817 ----------- Total Corporate Bonds & Notes 271,285 (Cost $270,393) =========== -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 1.0% -------------------------------------------------------------------------------- Florida 0.7% Tampa Florida Utility Tax & Special Revenue Bond, (AMBAC Insured), Series 2000 6.000% due 10/01/2004 3,580 3,701 ----------- New Mexico 0.1% New Mexico Mortgage Finance Authorities Revenue Bonds, (GNMA, FNMA, FHLMC Insured), Series 1997 7.000% due 07/01/2006 350 351 ----------- New York 0.0% New York City Municipal Bond, Series 1997 6.960% due 08/01/2002 (d) 76 76 ----------- Ohio 0.2% Hamilton Ohio School Districts Gas Supply Revenue Bonds, Northern Ohio, (MBIA Insured), Series 1999 6.910% due 08/01/2001 1,500 1,504 ----------- Total Municipal Bonds & Notes 5,632 (Cost $5,645) =========== -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 1.3% -------------------------------------------------------------------------------- Federal Farm Credit Bank 6.360% due 02/14/2002 (d) 600 591 Federal Home Loan Bank 7.270% due 02/15/2002 (d) 2,485 2,454 Federal National Mortgage Association 7.860% due 03/13/2002 (d) 2,000 1,972 Student Loan Marketing Assn 6.480% due 07/25/2004 (d) 70 70 6.830% due 10/25/2004 (d) 80 80 6.920% due 04/25/2006 (d) 1,505 1,499 6.700% due 01/25/2007 (d) 292 292 ----------- Total U.S. Government Agencies 6,958 (Cost $6,943) =========== -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 129.6% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (c) 3.630% due 07/15/2002 (b)(h) 187,839 187,781 3.380% due 01/15/2007 (h) 145,100 140,340 3.630% due 01/15/2008 (h) 211,738 206,909 3.880% due 01/15/2009 (h) 43,253 42,902 4.250% due 01/15/2010 1,026 1,048 3.630% due 04/15/2028 (h) 54,101 51,431 3.880% due 04/15/2029 66,981 66,563 ----------- Total U.S. Treasury Obligations 696,974 (Cost $694,182) =========== -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 0.9% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 0.6% Federal Home Loan Mortgage Corp. 7.000% due 07/15/2022 2,941 2,937 6.500% due 01/25/2028 100 91 Federal National Mortgage Association 7.060% due 10/25/2008 (d) 261 261 6.500% due 02/25/2029 121 86 ----------- 3,375 =========== Federal Home Loan Mortgage Corporation 0.1% 7.430% due 12/01/2020-02/01/2023 (d)(i) 425 426 ----------- Federal National Mortgage Association 0.1% 8.520% due 10/01/2024 (d) 412 423 ----------- Other Mortgage-Backed Securities 0.1% CMC Securities Corp. 6.000% due 11/25/2008 532 529 ----------- Total Mortgage-Backed Securities 4,753 (Cost $4,773) =========== -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 8.7% -------------------------------------------------------------------------------- Aesop Funding LLC 6.570% due 11/20/2006 14,000 14,000 AFC Home Equity Loan Trust 6.840% due 03/25/2027 (d) 201 201 American Residential Eagle Trust 6.960% due 07/25/2029 (d) 6,173 6,175 Asset Backed Securities Corp. Home Equity 6.990% due 06/21/2029 (d) 5,979 5,998 Conseco Finance 7.890% due 07/15/2018 2,000 2,035 8.170% due 12/15/2025 2,000 2,062 6.290% due 10/15/2030 809 809 Conseco Finance Home Loan Trust 8.880% due 06/15/2024 750 763 Contimortgage Home Equity Loan Trust 6.020% due 01/25/2014 101 100 EQCC Home Equity Loan Trust 6.870% due 03/20/2029 219 219 Huntsman Corp. 9.750% due 12/31/2005 1,000 992 IMC Home Equity Loan Trust 6.610% due 06/20/2013 124 124 See accompanying notes 73 Schedule of Investments (Cont.) Real Return Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- MMCA Automobile Trust 6.300% due 06/15/2002 $ 1,840 $ 1,840 Oakwood Mortgage Investors, Inc. 6.450% due 11/15/2027 359 358 Onyx Acceptance Auto Trust 6.590% due 09/15/2002 1,166 1,167 6.350% due 10/15/2003 395 394 Pacific Southwest Bank 6.060% due 06/15/2002 6 6 Premier Auto Trust 5.500% due 07/09/2001 26 26 Residential Funding Mortgage Securities, Inc. 10.930% due 06/01/2001 4,000 4,000 5.460% due 07/25/2029 43 43 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 268 267 Voicestream Vendor Facility 9.660% due 06/30/2009 5,000 4,963 WMC Mortgage Loan 6.830% due 03/20/2028 (d) 83 83 ----------- Total Asset-Backed Securities 46,625 (Cost $46,510) =========== -------------------------------------------------------------------------------- SOVEREIGN ISSUES 0.3% -------------------------------------------------------------------------------- Central Bank Philippines 7.940% due 06/01/2008 (d) 1,778 1,591 United Mexican States Recovery Rights 0.000% due 06/30/2003 3,025 0 ----------- Total Sovereign Issues 1,591 (Cost $1,616) =========== -------------------------------------------------------------------------------- FOREIGN CURRENCY-DENOMINATED ISSUES (c)(f) 1.6% -------------------------------------------------------------------------------- Caisse D'amort Dette Soc 3.800% due 07/25/2006 EC 5,070 4,490 Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 5,800 2,475 Kingdom of Sweden 0.000% due 04/01/2004 SK 7,427 718 Newcourt Credit Group 7.630% due 06/28/2001 C$ 500 335 United Mexican States 1.100% due 12/31/2019 (d) JY 70,000 635 ----------- Total Foreign Currency-Denominated Issues 8,653 (Cost $9,324) =========== -------------------------------------------------------------------------------- PURCHASED PUT OPTIONS 0.0% -------------------------------------------------------------------------------- U.S. Treasury Inflation Protected Securities (OTC) Strike @ 96.50 Exp. 01/29/2001$ $ 100,000 0 ----------- Total Purchased Put Options 0 (Cost $33) =========== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 14.0% -------------------------------------------------------------------------------- Commercial Paper 11.0% Alcoa, Inc. 6.450% due 12/21/2000 2,100 2,069 Cba (de) Finance 6.460% due 12/14/2000 500 493 Cox Communications 6.730% due 11/06/2000 2,000 1,987 CSX Corp. 6.710% due 12/14/2000 1,200 1,198 DaimlerChrysler AG 6.460% due 12/19/2000 200 197 Dominion Resources, Inc. 6.710% due 11/06/2000 4,000 3,974 6.710% due 11/16/2000 4,000 3,966 Edison Midwest 6.740% due 11/08/2000 8,300 8,243 Federal Home Loan Mortgage Corp. 6.440% due 10/12/2000 7,000 6,987 Gannett Co. 6.490% due 11/20/2000 1,000 991 Ingersoll-Rand Co. 6.700% due 11/08/2000 13,000 12,910 International Paper Co. 6.700% due 11/01/2000 8,800 8,751 Motorola, Inc. 6.480% due 12/26/2000 7,000 6,889 Texas Utilities Co. 6.700% due 10/18/2000 500 499 ----------- 59,154 =========== Repurchase Agreements 3.0% State Street Bank 5.850% due 10/02/2000 16,142 16,142 (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 7.050% due 02/28/2002 valued at $16,467 Repurchase proceeds are $16,150.) ----------- Total Short-Term Instruments 75,296 (Cost $75,301) =========== Total Investments (a) 207.8% $1,117,767 (Cost $1,114,720) Other Assets and Liabilities (Net) (107.8%) (579,822) ----------- Net Assets 100.0% $ 537,945 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 4,706 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (1,659) ----------- Unrealized appreciation-net $ 3,047 =========== (b) Securities with an aggregate market value of $862 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: # of Unrealized Type Contracts Appreciation -------------------------------------------------------------------------------- U.S. Treasury 10 Year Note (12/2000) 200 $ 101 EuroBond 10 Year Note Written Put Options (11/2000) 121 44 ----------- $ 145 =========== (c) Principal amount of the security is adjusted for inflation. (d) Variable rate security. The rate listed is as of September 30, 2000. 74 See accompanying notes (e) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Sell C$ 560 10/2000 $ 5 Sell EC 5,284 11/2000 (9) Buy JY 82,319 10/2000 (14) Sell 243,632 10/2000 3 Buy 82,319 11/2000 0 Sell N$ 5,688 10/2000 131 Sell 539 11/2000 3 Sell SK 6,170 10/2000 12 ------------ $ 131 ============ (f) Principal amount denoted in indicated currency: C$ - Canadian Dollar EC - Euro JY - Japanese Yen N$ - New Zealand Dollar SK - Swedish Krona (g) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount (Depreciation) -------------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR plus 0.470% and pay a fixed rate equal to 7.750%. Broker: Morgan Stanley Exp. 06/15/2005 $ 10,000 $ (215) Receive floating rate based on 3-month LIBOR plus 0.500% and pay a fixed rate equal to 7.600%. Broker: Lehman Brothers Exp. 07/15/2003 5,000 (50) Receive floating rate based on 3-month LIBOR plus 1.000% and pay to the counterparty the notional amount of $5,000 in exchange for shares of Nabors Industries, Inc. due 06/20/2020 when the convertible debentures mature. Broker: Morgan Stanley Exp. 06/20/2003 3,042 (1) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 7.005%. Broker: Goldman Sachs Exp. 08/17/2005 10,000 (109) Receive fixed rate equal to 0.410% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Goldman Sachs Exp. 11/10/2002 1,000 0 ----------- $ (375) =========== (h) Subject to financing transaction. (i) Securities are grouped by coupon or range of coupons and represent a range of maturities. See accompanying notes 75 Schedule of Investments Short-Term Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 64.3% -------------------------------------------------------------------------------- Banking & Finance 43.0% Allied Irish Banks 7.028% due 09/07/2006 (d) $ 3,000 $ 3,013 Amerco, Inc. 6.890% due 10/15/2000 5,000 4,950 Banco Nacional Obra Services 9.625% due 11/15/2003 6,900 7,150 Bank One Corp. 6.410% due 01/24/2002 (d) 2,000 2,003 BankBoston Corp. 6.125% due 03/15/2002 1,000 989 Bankers Trust Corp. 6.200% due 05/11/2003 (d) 11,000 10,998 Bear Stearns Companies, Inc. 7.048% due 09/21/2004 (d) 3,900 3,896 Citigroup, Inc. 6.565% due 08/19/2003 (d) 11,040 10,814 Dime Bancorp, Inc. 6.375% due 01/30/2001 17,600 17,524 7.000% due 07/25/2001 2,400 2,389 Donaldson, Lufkin & Jenrette, Inc. 7.250% due 07/18/2003 (d) 8,000 8,021 DQE Capital Corp. 6.781% due 01/15/2002 (d) 2,000 1,999 Export-Import Bank Korea 6.500% due 02/10/2002 1,000 985 First USA Bank 6.790% due 05/15/2002 (d) 6,000 6,016 Ford Motor Credit Corp. 6.210% due 08/27/2001 (d) 6,840 6,841 6.927% due 03/19/2002 (d) 4,295 4,313 6.952% due 12/16/2002 (d) 10,000 9,975 7.110% due 06/02/2003 (d) 2,500 2,503 7.173% due 07/18/2005 (d) 10,000 10,017 General Motors Acceptance Corp. 6.840% due 01/08/2002 (d) 1,000 1,000 6.190% due 08/18/2003 (d) 16,575 16,535 Golden State Holdings 6.750% due 08/01/2001 7,000 6,893 Goldman Sachs Group 6.511% due 01/17/2003 (d) 8,000 8,011 Heller Financial, Inc. 6.980% due 04/22/2002 (d) 12,900 12,899 6.500% due 07/22/2002 1,000 989 Korea Development Bank 7.675% due 10/06/2000 (d) 2,000 2,000 7.181% due 10/18/2000 (d) 500 500 9.600% due 12/01/2000 800 803 9.450% due 03/15/2001 375 379 7.900% due 02/01/2002 900 902 7.625% due 10/01/2002 2,500 2,502 Lehman Brothers Holdings, Inc. 7.352% due 05/07/2002 (d) 3,000 3,019 6.690% due 04/04/2003 (d) 3,000 3,001 MBNA Corp. 6.741% due 03/23/2001 (d) 9,500 9,508 Merrill Lynch & Co. 6.991% due 08/01/2003 (d) 4,000 4,002 MFN Financial Corp. 7.130% due 09/13/2001 (d) 5,000 5,002 Midamerican Funding LLC 5.850% due 03/01/2001 1,000 995 Morgan Stanley, Dean Witter, Discover and Co. 6.500% due 01/28/2002 (d) 8,600 8,615 National Consumer Coop Bank 7.528% due 04/02/2001 (d) 16,000 16,013 7.513% due 10/26/2001 (d) 10,000 10,003 PaineWebber 7.290% due 07/15/2002 (d) 10,000 10,006 PP&L Capital Funding, Inc. 5.860% due 10/17/2000 24,000 23,992 Protective Life Funding Trust 7.090% due 01/17/2003 (d) 2,000 1,997 PS Colorado Credit Corp. 7.477% due 05/30/2002 (d) 2,000 1,999 Qwest Capital Funding, Inc. 6.875% due 08/15/2001 15,430 15,418 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 3,265 3,226 7.010% due 07/18/2007 (d) 5,000 5,009 Transamerica Finance Corp. 6.910% due 12/14/2001 (d) 4,000 4,004 U.S. Bancorp 6.941% due 02/03/2003 (d) 3,700 3,702 ----------- 297,320 =========== Industrials 14.9% Air Canada 6.237% due 07/31/2005 1,818 1,672 Clear Channel Communications, Inc. 7.327% due 06/15/2002 (d) 900 902 COFIRI International, Inc. 6.502% due 10/27/2000 (d) 2,000 1,997 Columbia/HCA Healthcare 8.160% due 09/19/2002 (d) 10,000 10,000 Enron Corp. 7.250% due 09/10/2001 (d) 3,000 3,000 ICI Wilmington 9.500% due 11/15/2000 5,620 5,628 ITT Corp. 6.250% due 11/15/2000 3,000 2,995 J Seagram & Sons 5.790% due 04/15/2001 9,000 8,914 6.250% due 12/15/2001 10,300 10,189 Kroger Co. 6.340% due 06/01/2001 8,250 8,220 Lockheed Martin Corp. 6.850% due 05/15/2001 10,000 9,964 Petroleos Mexicanos 9.375% due 12/02/2008 1,000 1,030 Racers 7.118% due 03/03/2003 (d) 10,000 10,000 Raytheon Co. 7.020% due 08/10/2001 (d) 10,000 10,008 Staples, Inc. 7.670% due 11/26/2001 (d) 1,400 1,400 Time Warner, Inc. 6.100% due 12/30/2001 3,000 2,959 Tyco International Group SA 6.125% due 06/15/2001 6,074 6,020 Williams Communications Group, Inc. 7.220% due 11/15/2001 (d) 7,500 7,505 ----------- 102,403 =========== Utilities 6.4% Appalachian Power Co. 7.270% due 06/27/2001 (d) 900 900 Central Power & Light Co. 7.268% due 02/22/2002 (d) 2,000 1,999 Coastal Corp. 7.330% due 07/21/2003 (d) 5,000 5,012 Commonwealth Edison Co. 7.285% due 09/30/2003 (d) 2,000 2,000 Deutsche Telekom AG 7.750% due 06/15/2005 5,000 5,123 Dominion Resources, Inc. 7.310% due 09/16/2012 (d) 6,500 6,519 Indiana Michigan Power Co. 7.245% due 09/03/2002 (d) 1,000 1,000 Nevada Power Co. 7.270% due 08/20/2001 (d) 5,000 4,999 Oneok, Inc. 6.960% due 04/24/2002 (d) 5,000 5,006 Sierra Pacific Resources 7.390% due 04/20/2002 (d) 3,000 3,000 7.340% due 04/20/2003 (d) 5,000 5,003 76 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- UGI Utilities, Inc. 6.170% due 03/06/2001 $ 250 $ 249 WorldCom, Inc. 7.050% due 11/26/2001 (d) 3,700 3,704 ----------- 44,514 ----------- Total Corporate Bonds & Notes 444,237 (Cost $443,380) ========== -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 0.3% -------------------------------------------------------------------------------- North Carolina 0.3% North Carolina State Education Assistance Authority Revenue Bonds, (GTD Insured), Series 2000 7.000% due 06/01/2009 (d) 2,000 2,000 ----------- Total Municipal Bonds & Notes 2,000 (Cost $2,000) =========== -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 10.3% -------------------------------------------------------------------------------- Federal Home Loan Bank 6.750% due 02/01/2002 70,000 70,252 Federal National Mortgage Association 5.750% due 04/15/2003 850 836 ----------- Total U.S. Government Agencies 71,088 (Cost $70,911) =========== -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 4.6% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (g) 3.625% due 07/15/2002 (h) 29,529 29,520 3.625% due 01/15/2008 2,137 2,088 ----------- Total U.S. Treasury Obligations 31,608 (Cost $31,494) =========== -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 23.2% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 15.0% CMC Securities Corp. 7.500% due 02/25/2023 2,089 2,083 Dime Savings 6.937% due 11/01/2018 (d) 209 189 Donaldson, Lufkin & Jenrette, Inc. 7.450% due 10/17/2020 (d) 489 502 7.786% due 09/01/2021 (d) 24 24 7.437% due 05/01/2026 (d) 125 125 Federal Home Loan Mortgage Corp. 6.750% due 03/15/2007 833 831 6.500% due 10/25/2014 3,833 3,767 5.750% due 10/15/2016 12 12 6.000% due 07/15/2019 4,178 4,133 6.875% due 06/15/2023 (d) 474 474 Federal National Mortgage Association 7.256% due 12/25/2000 (d) 339 339 7.250% due 04/25/2007 2,310 2,306 6.000% due 02/25/2008 1,051 1,033 6.206% due 07/25/2008 (d) 1,344 1,326 6.250% due 06/18/2015 1,720 1,709 6.000% due 08/18/2016 30,659 30,351 7.221% due 10/25/2017 (d) 4,992 4,990 5.875% due 03/25/2018 62 62 7.000% due 12/25/2019 11,773 11,736 6.000% due 08/25/2020 1,950 1,919 5.000% due 02/25/2022 59 58 6.500% due 09/18/2023 1,788 1,772 8.936% due 06/25/2032 8,795 9,020 First Nationwide Trust 6.495% due 10/25/2018 (d) 3 3 General Electric Capital Mortgage Services, Inc. 6.750% due 12/25/2012 5,258 5,220 Greenwich 7.647% due 04/25/2022 (d) 62 62 8.149% due 10/25/2022 (d) 31 31 Housing Securities, Inc. 6.000% due 02/25/2008 567 564 Independent National Mortgage Corp. 7.250% due 11/25/2010 4,000 4,011 Prudential Bache 6.252% due 09/01/2018 (d) 22 21 Prudential Home Mortgage Securities 6.950% due 11/25/2022 233 214 Residential Funding Mortgage Securities, Inc. 7.142% due 12/01/2018 1,040 1,061 Resolution Trust Corp. 6.855% due 05/25/2029 (d) 530 525 Saxon Asset Securities Trust 7.585% due 12/25/2014 4,475 4,469 TMA Mortgage Funding Trust 7.000% due 01/25/2029 (d) 8,675 8,675 ----------- 103,617 =========== Federal Home Loan Mortgage Corporation 0.1% 7.500% due 11/01/2001 856 855 ----------- Federal National Mortgage Association 2.0% 6.000% due 12/18/2014 5,305 5,268 6.150% due 09/25/2016 4,554 4,506 7.000% due 06/01/2003 2,089 2,087 8.500% due 01/01/2026 1,635 1,681 ----------- 13,542 =========== Government National Mortgage Association 5.7% 6.750% due 09/20/2023-08/20/2027 (b)(d) 7,376 7,433 7.125% due 11/20/2026 (d) 12,420 12,508 7.375% due 02/20/2024 (d) 10,308 10,390 7.380% due 04/20/2025 (d) 475 478 8.000% due 10/23/2099 3,950 4,020 8.500% due 06/20/2027 4,704 4,820 ----------- 39,649 =========== Other Mortgage-Backed Securities 0.3% CDC Depositor Trust I 7.098% due 12/14/2001 (d) 2,000 2,006 ----------- 2,006 =========== Stripped Mortgage-Backed Securities 0.1% ABN AMRO Mortgage Corp. (IO) 6.750% due 08/25/2029 1,192 119 Federal Home Loan Mortgage Corp. (IO) 7.000% due 06/15/2019 3,920 251 Federal National Mortgage Association (IO) 7.000% due 07/25/2006 1,135 55 6.500% due 12/25/2006 883 11 6.500% due 06/25/2017 630 10 6.500% due 10/25/2023 1,302 156 ----------- 602 ----------- Total Mortgage-Backed Securities 160,271 (Cost $161,479) =========== -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 10.2% -------------------------------------------------------------------------------- Advanta Revolving Home Equity Loan Trust 6.990% due 01/25/2024 (d) 229 230 American Residential Eagle Trust 6.960% due 07/25/2029 (d) 1,646 1,647 Associates Manufactured Housing 7.000% due 03/15/2027 402 402 Bay View Financial Revolving 7.920% due 08/25/2029 (d) 2,000 1,967 Brazos Student Loan Finance Co. 7.290% due 06/01/2023 (d) 20,000 19,802 Capital Asset Research Funding LP 6.400% due12/15/2004 1,725 1,743 Chase Manhattan Grantor Trust 5.200% due 02/15/2002 98 98 Columbia/HCA Healthcare 8.437% due 09/13/2001 1,250 1,241 Community Trust Bancorp, Inc. 6.500% due 09/15/2003 435 433 Delta Funding Home Equity Loan Trust 7.036% due 09/15/2029 (d) 1,759 1,766 First Security Auto Owner Trust 5.580% due 06/15/2003 7,896 7,865 See accompanying notes 77 Schedule of Investments (Cont.) Short-Term Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Flag Ltd. 8.437% due 02/18/2006 $ 2,083 $ 2,078 Green Tree Home Improvement Loan Trust 6.796% due 08/15/2029 (d) 2,162 2,160 Metris Master Trust 7.270% due 04/20/2006 (d) 6,000 6,030 MLCC Mortgage Investors, Inc. 6.998% due 03/15/2025 (d) 3,153 3,165 Onyx Acceptance Auto Trust 6.180% due 04/15/2002 503 502 Salomon Brothers Mortgage Securities 6.971% due 07/25/2029 (d) 3,409 3,413 7.071% due 11/15/2029 (d) 1,656 1,660 7.102% due 12/15/2029 (d) 2,000 2,000 6.960% due 12/25/2029 (d) 4,578 4,590 The Money Store Home Equity Trust 6.635% due 09/15/2014 5,097 5,082 6.345% due 11/15/2021 (d) 90 89 UAF Auto Grantor Trust 6.100% due 06/15/2004 918 912 UniCapital Corp. 6.540% due 07/23/2002 1,307 1,305 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 321 319 ----------- Total Asset-Backed Securities 70,499 (Cost $70,524) =========== -------------------------------------------------------------------------------- SOVEREIGN ISSUES 0.5% -------------------------------------------------------------------------------- Republic of Brazil 7.375% due 04/15/2006 (d) 3,720 3,510 ----------- Total Sovereign Issues 3,510 (Cost $3,488) =========== -------------------------------------------------------------------------------- FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 2.3% -------------------------------------------------------------------------------- Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 5,400 2,304 Tecnost International NV 6.368% due 06/23/2004 (d) EC 15,000 13,388 ----------- Total Foreign Currency-Denominated Issues 15,692 (Cost $17,213) =========== -------------------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 0.3% -------------------------------------------------------------------------------- Industrial 0.3% Hercules Trust VI 9.110% due 12/29/2000 (d) $ 2,430 2,428 ----------- Total Convertible Bonds & Notes 2,428 (Cost $2,429) =========== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 7.9% -------------------------------------------------------------------------------- Commercial Paper 7.3% American Electric Power, Inc. 6.700% due 10/18/2000 900 897 Burlington Northern 6.735% due 10/04/2000 24,300 24,291 Conagra, Inc. 6.680% due 10/27/2000 900 896 Dominion Resources, Inc. 6.710% due 11/16/2000 700 694 Houston Industries 6.800% due 11/08/2000 9,400 9,334 Infinity Broadcasting Corp. 6.720% due 11/29/2000 8,200 8,111 Motorola, Inc. 6.470% due 12/27/2000 400 394 Sumitomo Corp. of America 6.740% due 11/01/2000 200 199 Williams Cos., Inc. 7.231% due 04/10/2001 5,600 5,602 ----------- 50,418 =========== Repurchase Agreement 0.6% State Street Bank 5.850% due 10/02/2000 4,086 4,086 (Dated 9/29/2000. Collateralized by Federal Home Loan Mortgage Corp. 7.050% due 09/19/2003 valued at $4,170 Repurchase proceeds are $4,088.) ----------- Total Short-Term Instruments 54,504 (Cost $54,504) =========== Total Investments (a) 123.9% $ 855,837 (Cost $857,422) Written Options (c) (0.0%) (36) (Premiums $52) Other Assets and Liabilities (Net) (23.9%) (164,902) ----------- Net Assets 100.0% $ 690,899 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 1,739 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (3,324) ----------- Unrealized depreciation-net $ (1,585) =========== (b) Securities are grouped by coupon or range of coupons and represent a range of maturities. (c) Premiums received on written options: # of Type Contracts Premium Value -------------------------------------------------------------------------------- Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.750% Exp. 10/05/2000 50,000,000 $ 52 $ 36 --------------------------------- (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Sell EC 15,432 10/2000 $ 269 Sell BP 3,327 10/2000 (78) Buy 3,327 10/2000 56 Sell N$ 6,006 10/2000 114 --------------- $ 361 =============== (f) Principal amount denoted in indicated currency: BP- British Pound EC- Euro N$- New Zealand Dollar (g) Principal amount of the security is adjusted for inflation. 78 See accompanying notes -------------------------------------------------------------------------------- (h) Subject to financing transaction. (i) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount Depreciation -------------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR plus 0.470% and pay a fixed rate equal to 7.750%. Broker: Morgan Stanley Exp. 06/15/2005 $ 5,000 $ (107) Receive fixed rate equal to 0.430% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 07/11/2003 5,000 0 Receive fixed rate equal to 0.230% and the Fund will pay to the counterparty at par in the event of default of Associates Corp. 6.000% due 04/15/2003. Broker: Warburg Dillon Read LLC Exp. 01/14/2003 4,000 0 Receive fixed rate equal to 0.250% and the Fund will pay to the counterparty at par in the event of default of Pacific Gas & Electric Corp. 6.550% due 12/08/2005. Broker: J.P. Morgan Exp. 05/23/2003 5,000 0 ------------- $ (107) ============= (j) Reverse repurchase agreements were entered into on various days paying various interest rates. The following securities were segregated with collateral for reverse repurchase agreements: Type Maturity Value -------------------------------------------------------------------------------- Entered into on September 18, 2000 paying interest at 6.570% Federal National Mortgage Assn. 7.000% 12/25/2019 $ 11,736 Entered into on September 25, 2000 paying interest at 6.520% Government National Mortgage Assn. 7.375% 02/20/2024 10,390 Government National Mortgage Assn. 7.125% 11/20/2026 12,508 Entered into on September 26, 2000 paying interest at 6.580% Federal National Mortgage Assn. 6.000% 08/18/2016 30,351 ------------ $ 64,985 ============ See accompanying notes 79 Schedule of Investments StocksPLUS Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 46.6% -------------------------------------------------------------------------------- Banking & Finance 19.2% Associates Corp. of North America 6.960% due 05/08/2003 (d) $ 11,800 $ 11,791 AT&T Capital Corp. 7.110% due 09/13/2001 (d) 2,100 2,104 7.010% due 04/23/2002 (d) 5,725 5,741 Bear Stearns Co., Inc. 6.130% due 02/01/2003 (d) 1,100 1,078 7.050% due 09/21/2004 (d) 16,800 16,783 Beaver Valley Funding Corp. 8.250% due 06/01/2003 1,193 1,182 Capital One Bank 7.610% due 06/23/2003 (d) 5,400 5,400 CIT Group, Inc. 6.200% due 10/20/2000 3,600 3,599 DaimlerChrysler Financial Services LLC 6.790% due 02/10/2003 (d) 9,600 9,602 Donaldson, Lufkin & Jenrette, Inc. 6.760% due 04/25/2003 (d) 6,900 6,898 Ford Motor Credit Corp. 6.840% due 11/16/2001 (d) 11,000 11,010 6.810% due 03/19/2002 (d) 590 593 6.990% due 07/16/2002 (d) 6,800 6,815 6.820% due 12/16/2002 (d) 3,800 3,790 6.810% due 02/13/2003 (d) 15,000 14,981 6.850% due 03/17/2003 (d) 500 499 General Motors Acceptance Corp. 6.190% due 02/25/2002 (d) 1,000 1,000 Gold Eagle Capital Ltd. 12.130% due 04/15/2001 10,000 10,000 Goldman Sachs Group 7.090% due 03/04/2002 (d) 9,000 9,018 GS Escrow Corp. 7.710% due 08/01/2003 (d) 6,000 5,823 Heller Financial, Inc. 7.070% due 10/22/2001 (d) 10,800 10,823 Household Finance Corp. 6.780% due 06/22/2001 (d) 5,000 5,006 Lehman Brothers Holdings, Inc. 6.970% due 06/03/2002 (d) 600 600 7.530% due 07/15/2002 (d) 3,005 3,030 7.170% due 04/04/2003 (d) 10,200 10,203 6.700% due 11/30/2006 (d) 1,910 1,767 LG&E Capital Corp. 7.490% due 06/18/2001 (d) 6,400 6,402 MBNA America Bank NA 6.960% due 06/10/2004 (d) 10,000 10,007 Merrill Lynch & Co. 6.520% due 10/10/2000 (d) 3,000 3,001 6.730% due 06/18/2001 (d) 10,000 9,999 6.730% due 01/11/2002 (d) 8,550 8,591 6.920% due 02/04/2003 (d) 6,000 5,997 7.180% due 03/17/2004 (d) 100 100 MFN Financial Corp. 6.980% due 09/13/2001 (d) 4,000 4,002 Nacional Financiera 10.560% due 12/01/2000 (d) 10,500 10,448 National Australia Bank Ltd. 7.320% due 05/19/2010 (d) 11,700 11,810 NationsBank Corp. 7.030% due 02/18/2002 (d) 100 98 Old Kent Bank 7.460% due 11/01/2005 4,500 4,496 Qwest Capital Funding, Inc. 7.200% due 07/08/2002 (d) 17,500 17,516 Republic New York Corp. 5.280% due 10/28/2002 (d) 100 99 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 3,352 3,312 6.510% due 04/02/2002 (d) 3,800 3,817 6.910% due 02/11/2003 (d) 5,000 5,004 6.530% due 03/26/2003 (d) 5,000 5,007 Wells Fargo & Co. 7.220% due 05/02/2005 (d) 6,400 6,398 --------------- 275,240 =============== Industrials 17.2% Air Canada 6.800% due 07/31/2005 (d) 10,909 10,033 Amerco, Inc. 6.890% due 10/15/2000 16,800 16,632 Arrow Electronics, Inc. 7.440% due 11/24/2000 (d) 15,000 14,997 Atlas Air, Inc. 10.470% due 10/04/2004 (d) 7,000 7,000 Black & Decker Corp. 7.640% due 12/20/2001 (d) 7,250 7,289 Cemex SA 9.250% due 06/17/2002 300 306 Clear Channel Communications, Inc. 7.210% due 06/15/2002 (d) 5,600 5,613 COFIRI International, Inc. 6.630% due 10/27/2000 (d) 2,000 1,997 Columbia/HCA Healthcare 8.160% due 09/19/2002 (d) 37,800 37,800 CSX Corp. 7.260% due 06/24/2002 (d) 6,900 6,901 El Paso Energy Corp. 6.930% due 07/15/2001 (d) 4,800 4,803 Enron Corp. 7.110% due 09/10/2001 (d) 1,000 1,000 8.000% due 08/15/2005 1,100 1,117 ITT Corp. 6.250% due 11/15/2000 24,065 24,022 Kroger Co. 6.340% due 06/01/2001 2,000 1,993 Marlin Water Trust 7.090% due 12/15/2001 4,049 4,026 Merita 6.470% due 12/01/2005 (d) 1,000 1,005 Occidental Petroleum 7.360% due 10/03/2008 (d) 600 599 Petroleos Mexicanos 8.130% due 07/15/2005 (d) 18,000 18,045 Raytheon Co. 7.020% due 08/10/2001 (d) 8,900 8,907 Rollins Truck Leasing Co. 8.250% due 05/01/2002 29,900 29,982 Stone Container Corp. 10.750% due 10/01/2002 3,435 3,499 TCI Communications, Inc. 7.300% due 04/03/2002 (d) 11,600 11,752 7.360% due 03/11/2003 (d) 4,000 4,079 TRW, Inc. 6.450% due 06/15/2001 400 397 Tyco International Group SA 7.370% due 03/05/2001 (d) 14,500 14,516 Waste Management, Inc. 6.000% due 05/15/2001 1,500 1,470 Williams Communications Group, Inc. 7.180% due 11/15/2001 (d) 6,900 6,904 --------------- 246,684 =============== Utilities 10.2% Appalachian Power Co. 7.270% due 06/27/2001 (d) 12,000 12,003 Central Power & Light Co. 7.290% due 11/23/2001 (d) 3,600 3,600 Dominion Resources, Inc. 7.030% due 01/26/2001 (d) 400 400 Entergy Arkansas, Inc. 7.720% due 03/01/2003 (d) 3,700 3,739 Hughes Electric 7.560% due 10/23/2000 (d) 4,500 4,501 Montana Power Co. 7.000% due 04/06/2001 (d) 1,200 1,200 Nevada Power Co. 7.210% due 06/12/2001 (d) 13,000 13,000 Niagara Mohawk Power 7.130% due 07/01/2001 6,805 6,807 North Atlantic Energy 9.050% due 06/01/2002 599 605 80 See accompanying notes Principal Amount Value (000s) (000s) ================================================================================ Public Service Enterprise Group, Inc. 7.040% due 11/22/2000 (d) $ 15,000 $ 14,999 Scana Corp. 7.380% due 07/15/2002 (d) 11,300 11,316 Sprint Capital Corp. 6.970% due 11/15/2001 (d) 25,600 25,611 7.010% due 06/10/2002 (d) 1,100 1,101 System Energy Resources 7.710% due 08/01/2001 250 251 Texas Utilities Co. 7.210% due 06/25/2001 (d) 1,900 1,899 7.590% due 09/24/2001 (d) 14,000 14,074 5.940% due 10/15/2001 28,725 28,348 6.410% due 11/21/2001 1,000 993 Western Massachusetts Electric 7.750% due 12/01/2002 1,882 1,883 --------------- 146,330 --------------- Total Corporate Bonds & Notes 668,254 (Cost $667,130) =============== -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 0.2% -------------------------------------------------------------------------------- Student Loan Marketing Assn. 6.480% due 07/25/2004 (d) 252 252 6.920% due 04/25/2006 (d) 2,910 2,898 --------------- Total U.S. Government Agencies 3,150 (Cost $3,136) =============== -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 9.0% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (b)(c) 3.630% due 07/15/2002 111,105 111,070 3.630% due 01/15/2008 18,802 18,373 --------------- Total U.S. Treasury Obligations 129,443 (Cost $128,947) =============== -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 23.8% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 10.0% Bank Mart 6.880% due 03/01/2019 (d)(i) 4,483 4,544 Countrywide Home Loans 6.050% due 04/25/2029 5,768 5,692 CS First Boston Mortgage Securities Corp. 6.960% due 06/20/2029 2,486 2,483 Donaldson, Lufkin & Jenrette, Inc. 7.910% due 10/17/2020 (d) 139 142 Federal Home Loan Mortgage Corp. 7.000% due 06/15/2023 745 743 6.500% due 08/15/2023 7,495 7,428 Federal National Mortgage Assn. 5.700% due 06/25/2017 534 529 6.760% due 04/25/2020 (d) 18 18 6.500% due 05/18/2024 3,411 3,377 General Electric Capital Mortgage Services, Inc. 6.300% due 09/25/2023 2,000 1,977 6.250% due 10/25/2028 794 785 6.250% due 12/25/2028 1,472 1,337 Government National Mortgage Assn. 7.300% due 09/20/2030 (d) 20,919 20,912 7.020% due 09/29/2030 (d) 300 300 7.300% due 02/16/2030 (d) 15,008 15,023 7.220% due 02/16/2030 (d) 26,654 26,729 Greenwich 7.980% due 04/25/2022 (d) 225 224 8.150% due 10/25/2022 (d) 8 8 Housing Securities, Inc. 7.320% due 07/25/2032 (d) 425 425 ICI Funding Corp. Secured Assets Corp. 7.650% due 07/25/2028 3,569 3,555 Independent National Mortgage Corp. 8.350% due 06/25/2025 67 66 Norwest Asset Securities Corp. 6.750% due 08/25/2029 8,551 8,474 PaineWebber Mortgage 6.430% due 02/25/2001 (d) 251 249 PNC Mortgage Securities Corp. 6.630% due 03/25/2028 7,352 7,237 7.500% due 10/25/2030 6,200 6,208 Resecuritization Mortgage Trust 6.870% due 04/26/2021 (d) 318 312 Residential Funding Mortgage Securities, Inc. 6.280% due 03/25/2018 (d) 1,552 1,504 Resolution Trust Corp. 8.000% due 06/25/2026 822 827 7.590% due 05/25/2029 (d) 13 13 Structured Asset Mortgage Investments, Inc. 9.040% due 06/25/2029 (d) 17,693 18,225 Structured Asset Securities Corp. 6.790% due 12/25/2000 (d) 298 298 TMA Mortgage Funding Trust 7.000% due 01/25/2029 (d) 4,368 4,368 --------------- 144,012 =============== Federal Home Loan Mortgage Corporation 0.3% 6.770% due 07/01/2019 (d) 2,554 2,537 7.620% due 12/01/2022 (d) 532 543 8.160% due 06/01/2022 (d) 350 358 8.500% due 04/01/2025-06/01/2025 (j) 183 188 --------------- 3,626 =============== Federal National Mortgage Association 0.7% 6.130% due 03/01/2029 (d) 345 338 6.440% due 05/01/2017 (d) 245 241 6.450% due 07/01/2018-02/01/2031 (d)(j) 3,306 3,245 6.500% due 09/01/2005 5,187 5,135 6.610% due 04/01/2018 (d) 93 92 7.900% due 05/01/2022 (d) 280 284 --------------- 9,335 =============== Government National Mortgage Association 12.7% 6.750% due 07/20/2018-08/20/2026 (d)(j) 16,603 16,777 7.000% due 10/23/2030 101,400 99,879 7.120% due 02/16/2030 (d) 27,543 27,672 7.130% due 12/20/2022-12/20/2027 (d)(j) 7,942 8,000 7.380% due 02/20/2026-02/20/2028 (d)(j) 17,952 18,086 7.500% due 10/23/2030 11,800 11,833 --------------- 182,247 =============== Other Mortgage-Backed Securities 0.1% California Federal Savings & Loan 6.780% due 07/25/2018 (d) 20 20 Fund America 7.550% due 06/25/2023 (d) 114 114 J.P. Morgan & Co. 6.820% due 01/25/2018 (d) 301 295 Resolution Trust Corp. 7.540% due 12/25/2023 (d) 2 2 Structured Asset Securities Corp. 7.110% due 09/25/2036 (d) 804 797 --------------- 1,228 =============== Stripped Mortgage-Backed Securities 0.0% Federal Home Loan Mortgage Corp. (IO) 6.500% due 08/15/2006 1,199 55 6.500% due 08/15/2016 24 0 7.500% due 08/15/2019 281 4 Federal National Mortgage Association (IO) 6.000% due 11/25/2000 61 0 7.000% due 07/25/2006 227 11 6.500% due 09/25/2008 219 18 6.500% due 02/25/2021 1,992 109 7.000% due 07/25/2021 628 89 6.500% due 03/25/2023 3,225 361 --------------- 647 --------------- Total Mortgage-Backed Securities 341,095 (Cost $341,483) =============== See accompanying notes 81 Schedule of Investments (Cont.) StocksPLUS Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------------------ ASSET-BACKED SECURITIES 8.1% ------------------------------------------------------------------------------ AFC Home Equity Loan Trust 6.770% due 06/25/2028 (d) $ 7,862 $ 7,851 Allied Waste Industries, Inc. 9.440% due 07/30/2006 2,274 2,205 9.690% due 07/30/2007 (d) 2,364 2,294 9.750% due 07/30/2007 (d) 364 353 Amresco Residential Securities Mortgage Loan Trust 6.810% due 07/25/2027 (d) 15 15 6.780% due 05/25/2028 (d) 711 710 Arcadia Automobile Receivables Trust 6.500% due 06/17/2002 70 70 Argentina Funding Corp. 6.880% due 05/20/2003 16,000 16,050 Bayview Financial Acquisition Trust 7.170% due 02/25/2029 5,140 5,157 Community Trust Bancorp, Inc. 6.500% due 09/15/2003 508 505 Contimortgage Home Equity Loan Trust 6.790% due 10/15/2012 (d) 32 32 Cross Country Master Credit 7.150% due 06/15/2006 15,400 15,400 Green Tree Home Improvement Loan Trust 6.740% due 11/15/2029 (d) 7,775 7,780 Green Tree Recreational Equipment 6.430% due 04/17/2006 1,960 1,957 MGM Grand Term Loan 7.870% due 05/06/2001 (d) 9,709 9,686 Novastar Home Equity Loan 6.900% due 04/25/2028 (d) 3,291 3,286 Salomon Brothers Mortgage Securities 6.960% due 02/25/2030 (d) 21,700 21,756 Student Loan Marketing Assn 6.860% due 10/25/2005 (d) 7,395 7,367 The Money Store Home Equity Trust 6.550% due 09/15/2021 583 582 6.350% due 11/15/2021 (d) 180 179 USAA Auto Loan Grantor Trust 6.100% due 02/15/2006 12,551 12,475 WMC Mortgage Loan 6.830% due 03/20/2028 (d) 166 166 ----------- Total Asset-Backed Securities 115,876 (Cost $115,769) =========== ------------------------------------------------------------------------------ SOVEREIGN ISSUES 6.3% ------------------------------------------------------------------------------ Hydro-Quebec 6.500% due 09/29/2049 (d) 1,200 1,065 Nacional Financiera 8.570% due 05/08/2003 (d) 6,000 6,094 Republic of Argentina 7.380% due 03/31/2005 (d) 160 147 11.600% due 04/10/2005 (d) 1,400 1,302 Republic of Brazil 7.880% due 01/01/2001 (d) 680 680 7.380% due 04/15/2006 (d) 69,983 65,875 Republic of Bulgaria 7.750% due 07/28/2011 (d) 3,000 2,273 Republic of Croatia 7.000% due 02/27/2002 3,000 2,937 Republic of Panama 7.930% due 05/10/2002 (d) 1,099 1,085 United Mexican States 10.020% due 04/07/2004 (d) 9,000 9,360 ----------- Total Sovereign Issues 90,818 (Cost $89,502) =========== ------------------------------------------------------------------------------ FOREIGN CURRENCY-DENOMINATED ISSUES (f)(g) 4.1% ------------------------------------------------------------------------------ Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 9,750 4,161 Export-Import Bank Korea 3.840% due 10/06/2000 (d) DM 11,370 5,132 Korea Development Bank 2.560% due 06/26/2001 JY 1,000,000 9,364 Tecnost International NV 6.670% due 06/23/2004 (d) EC 36,100 32,193 United Mexican States 8.750% due 05/30/2002 BP 3,000 4,493 7.000% due 06/02/2003 C$ 6,000 3,852 ----------- Total Foreign Currency-Denominated Issues 59,195 (Cost $66,217) =========== ------------------------------------------------------------------------------ PURCHASED PUT OPTIONS 0.0% ------------------------------------------------------------------------------ S&P 500 Index December Futures Strike @ 850.00 Exp. 12/15/2000 $ 20 0 Strike @ 800.00 Exp. 12/15/2000 100 0 Strike @ 750.00 Exp. 12/15/2000 713 0 Strike @ 700.00 Exp. 12/15/2000 13 0 ----------- Total Purchased Put Options 0 (Cost $75) =========== ------------------------------------------------------------------------------ PREFERRED SECURITY 0.1% ------------------------------------------------------------------------------ Shares DG Funding Trust 9.030% due 12/29/2049 (d) 110 1,103 ----------- Total Preferred Security 1,103 (Cost $1,103) =========== ------------------------------------------------------------------------------ PREFERRED STOCK 0.6% ------------------------------------------------------------------------------ TCI Communications, Inc. 9.720% due 12/31/2036 303,565 7,893 ----------- Total Preferred Stock 7,893 (Cost $7,996) =========== ------------------------------------------------------------------------------ COMMON STOCKS 1.1% ------------------------------------------------------------------------------ Utilities 1.1% Eastern Enterprises 2,700 171 Florida Progress Corp. 300 164 LG&E Energy Corp. 11,000 268 MCN Energy Group, Inc. 392,500 10,051 Northeast Utilities 241,900 5,239 ----------- Total Common Stocks 15,893 (Cost $15,578) =========== ------------------------------------------------------------------------------ SHORT-TERM INSTRUMENTS 9.5% ------------------------------------------------------------------------------ Principal Amount (000s) Commercial Paper 8.8% Alcoa, Inc. 6.500% due 12/21/2000 $ 900 887 American Electric Power, Inc. 6.760% due 10/04/2000 4,700 4,698 6.700% due 10/25/2000 9,000 8,961 Associated Corp. of North America 6.580% due 11/16/2000 800 793 AT&T Corp. 6.510% due 12/13/2000 5,900 5,830 Becton Dickinson & Co. 6.520% due 11/30/2000 2,200 2,175 Cba (de) Finance 6.460% due 12/12/2000 200 197 CDC 6.570% due 11/29/2000 3,200 3,165 Conagra, Inc. 6.680% due 10/27/2000 7,000 6,967 6.670% due 11/16/2000 1,600 1,587 CSX Corp. 6.710% due 10/11/2000 3,800 3,794 Dominion Resources, Inc. 6.720% due 10/04/2000 3,000 2,999 6.710% due 11/16/2000 8,000 7,933 6.770% due 11/16/2000 400 397 Edison Midwest 6.790% due 11/01/2000 300 298 82 See accompanying notes Principal Amount Value (000s) (000s) Gannett Co. 6.500% due 11/21/2000 $ 5,300 $ 5,243 General Electric Capital Corp. 6.500% due 01/24/2001 9,000 8,810 Gillette Co. 6.460% due 12/12/2000 7,400 7,301 Houston Industries 6.820% due 10/04/2000 1,000 1,000 6.770% due 10/18/2000 5,000 4,985 6.800% due 11/08/2000 15,000 14,895 Infinity Broadcasting Corp. 6.700% due 11/15/2000 1,000 992 Ingersoll-Rand Co. 6.690% due 10/04/2000 2,300 2,299 6.700% due 10/18/2000 8,900 8,873 International Paper Co. 6.700% due 10/06/2000 4,300 4,297 6.700% due 10/10/2000 3,200 3,195 Minnesota Mining & Manufacturing 6.520% due 11/28/2000 100 99 Sprint Capital Corp. 6.720% due 11/08/2000 5,000 4,965 Texas Utilities Co. 6.700% due 10/18/2000 4,100 4,088 World Bank 6.350% due 10/27/2000 2,300 2,290 Yorkshire Building Society 6.490% due 12/06/2000 2,100 2,074 ----------- 126,087 =========== Repurchase Agreements 0.7% Daiwa Securities 6.430% due 10/02/2000 6,000 6,000 (Dated 09/29/2000. Collateralized by U.S. Treasury Inflation Protected Securities 6.0% due 02/15/2026 valued at $6,142. Repurchase proceeds are $6,003.) State Street Bank 5.850% due 10/02/2000 4,130 4,130 (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 7.050% due 02/28/2002 valued at $4,216. Repurchase proceeds are $4,132.) ----------- 10,130 =========== U.S. Treasury Bills 0.0% 5.930% due 02/01/2001 (b)(c) 50 49 ----------- Total Short-Term Instruments 136,266 (Cost $136,281) =========== Total Investments (a) 109.4% $ 1,568,989 (Cost $1,573,217) Written Options (e) (0.1%) (2,266) (Premiums $2,050) Other Assets and Liabilities (Net) (9.3%) (133,392) ----------- Net Assets 100.0% $ 1,433,331 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 6,715 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (10,978) ----------- Unrealized depreciation-net $ (4,263) =========== (b) Securities with an aggregate market value of $81,946 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: Unrealized # of Appreciation/ Type Contracts (Depreciation) -------------------------------------------------------------------------------- Government of Japan 10 Year Note (12/2000) 25 $ 15 S&P 500 Index (12/2000) 3,137 (61,995) United Kingdom 10 Year Note (12/2000) 490 (540) EuroBond 10 Year Note Options (11/2000) 585 179 ----------- $ (62,341) =========== (c) Principal amount of the security is adjusted for inflation. (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Premiums received on written options: # of Type Contracts Premium Value -------------------------------------------------------------------------------- Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.750% Exp.10/10/2000 125,100,000 $ 137 $ 101 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.800% Exp. 10/12/2000 118,400,000 112 159 Put - CME Eurodollar December Futures Strike @ 93.00 Exp. 12/18/2000 111 83 3 Call - CME Eurodollar December Futures Strike @ 93.00 Exp. 12/18/2000 160 63 114 Call - CME Eurodollar December Futures Strike @ 92.75 Exp. 12/18/2000 80 55 99 Put - CME Eurodollar March Futures Strike @ 92.75 Exp. 03/19/2000 159 74 6 Call - CME Eurodollar March Futures Strike @ 93.25 Exp. 3/19/2000 879 175 648 Put - CME Eurodollar March Futures Strike @ 92.50 Exp. 03/19/2000 301 179 8 Call - CME Eurodollar March Futures Strike @ 93.00 Exp. 03/19/2000 301 126 380 Put - CME Eurodollar March Futures Strike @ 92.25 Exp. 03/19/2000 720 446 9 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.750% Exp. 10/05/2000 63,900,000 65 46 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.750% Exp. 10/05/2000 63,900,000 64 46 Call - TSE Government of Japan December Futures Strike @ 134.00 Exp. 11/30/2000 16 31 32 Put - CME S&P 500 Index December Futures Strike @ 1400.00 Exp. 12/15/2000 82 440 615 --------------------- $ 2,050 $ 2,266 ===================== See accompanying notes 83 Schedule of Investments (Cont.) StocksPLUS Fund September 30, 2000 (Unaudited) (f) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Sell C$ 5,773 10/2000 $ 55 Sell EC 49,991 10/2000 1,235 Buy 3,085 10/2000 (4) Sell BP 3,828 10/2000 (76) Buy HF 2,300,000 03/2001 182 Sell JY 1,089,759 10/2000 20 Sell N$ 10,942 10/2000 207 Buy PZ 102,100 01/2001 (1,117) Buy 25,000 02/2001 (139) Sell 61,000 01/2001 370 ---------- $ 733 ========== (g) Principal amount denoted in indicated currency: BP - British Pound C$ - Canadian Dollar EC - Euro HF - Hungarian Forint JY - Japanese Yen N$ - New Zealand Dollar PZ - Polish Zloty (h) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount (Depreciation) -------------------------------------------------------------------------------- Receive total Return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.200%. Broker: Morgan Stanley Exp. 06/29/2001 $ 33 $ 0 Receive total Return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.300%. Broker: Lehman Brothers Exp. 07/31/2001 4 0 Receive total Return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.250%. Broker: Morgan Stanley Exp. 09/28/2001 39 0 Receive total return on S&P 500 Index and pay floating rate based on 1 month LIBOR plus 0.180%. Broker: J.P. Morgan Securities, Inc. Exp. 03/16/2001 55 0 Receive floating rate based on JY-LIBOR and pay a fixed rate equal to 1.743%. Broker: J.P. Morgan Exp. 09/20/2007 JY 3,150,000 (100) Receive total return on S&P 500 Index and pay floating rate based on 1 month LIBOR plus 0.180%. Broker: J.P. Morgan Exp. 05/03/2001 $ 12 0 Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 5.950%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/17/2001 900 (46) Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 6.150%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/22/2001 500 (27) Receive a fixed rate equal to 1.290% and the Fund will pay to the counterparty at par in the event of default in of the United Mexican States at 9.750% due 04/06/2005. Broker: J.P. Morgan Exp. 06/19/2002 15,500 2 Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of Enron Corp. 7.875% due 06/15/2003. Broker: Morgan Stanley Exp. 06/16/2001 50,000 2 ---------- $ (169) ========== (i) Restricted security. (j) Securities are grouped by coupon or range of coupons and represent a range of maturities. 84 See accompanying notes Schedule of Investments Strategic Balanced Fund September 30, 2000 (Unaudited) Share's Value (000s) (000s) PIMCO FUNDS (d) 91.0% StocksPLUS 3,181,221 $ 42,755 Total Return 3,032,284 30,596 ----------- Total PIMCO Funds 73,351 (Cost $74,081) =========== SHORT-TERM INSTRUMENTS 3.9% Principal Amount (000s) Repurchase Agreements 3.9% State Street Bank 5.850% due 10/02/2000 $ 3,134 3,134 (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 6.100% due 08/10/2001 valued at $3,198. Repurchase proceeds are $3,136.) ----------- Total Short-Term Instruments 3,134 (Cost $3,134) =========== Total Investments (a) 94.9% $ 76,485 (Cost $77,215) Other Assets and Liabilities (Net) 5.1% 4,130 ----------- Net Assets 100.0% $ 80,615 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 833 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (2,370) ----------- Unrealized depreciation-net $ (1,537) =========== (b) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Sell EC 18,311 10/2000 $ 278 Buy 18,311 10/2000 (137) Buy HF 300,000 03/2001 27 Sell 300,000 03/2001 17 ----------- $ 185 =========== (c) Principal amount denoted in indicated currency: EC - Euro HF - Hugarian Forint (d) Institutional Class shares of each PIMCO Fund. See accompanying notes 85 Schedule of Investments Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value ------------------------------------------------------------------------------ CORPORATE BONDS & NOTES 41.0% ------------------------------------------------------------------------------ Banking & Finance 27.9% AB Spintab 6.800% due 12/29/2049 $ 250 $ 244 Abbey National Capital Trust I 8.960% due 12/29/2049 24,700 24,842 Abbey National PLC 6.700% due 06/29/2049 5,000 4,513 Abbey National Treasury Service 6.630% due 05/23/2001 240 240 ABN AMRO Mortgage Corp. 7.250% due 05/31/2005 150 151 Aetna, Inc. 6.750% due 08/15/2001 250 249 7.250% due 08/15/2023 50 46 Air 2 US 8.030% due 10/01/2020 300 305 Allstate Corp. 6.750% due 05/15/2018 280 252 6.900% due 05/15/2038 87,200 74,575 Amerco, Inc. 7.140% due 10/15/2002 15,000 14,439 American Express 8.500% due 08/15/2001 350 355 5.630% due 01/22/2004 11,900 11,470 7.450% due 08/10/2005 1,000 1,008 American General Finance 6.050% due 07/02/2001 3,000 2,985 6.880% due 12/14/2001 1,600 1,601 7.450% due 07/01/2002 200 202 6.250% due 12/18/2002 1,165 1,149 6.380% due 03/01/2003 350 346 8.130% due 03/15/2046 270 259 American Health Properties, Inc. 7.050% due 01/15/2002 700 683 AON Capital Trust 'A' 8.210% due 01/01/2027 725 667 Archstone Communities Trust 6.750% due 10/23/2000 600 600 Aristar, Inc. 7.380% due 09/01/2004 20,000 19,983 Associates Corp. of North America 6.630% due 05/15/2001 1,300 1,299 6.700% due 05/29/2001 100 100 7.000% due 07/23/2001 500 501 6.780% due 08/27/2001 (d) 13,500 13,534 6.450% due 10/15/2001 23,600 23,530 7.500% due 04/15/2002 185 187 6.500% due 07/15/2002 750 747 5.750% due 11/01/2003 5,175 5,015 5.800% due 04/20/2004 450 434 6.630% due 06/15/2005 100 98 Associates First Capital Corp. 6.000% due 12/01/2002 500 493 AT&T Capital Corp. 7.500% due 11/15/2000 5,000 5,004 6.880% due 01/16/2001 230 230 6.250% due 05/15/2001 19,443 19,379 7.000% due 08/15/2001 20,900 20,920 7.110% due 09/13/2001 (d) 1,030 1,032 6.900% due 01/30/2002 1,000 1,000 6.750% due 02/04/2002 1,925 1,921 7.010% due 04/23/2002 (d) 74,000 74,205 AVCO Financial Services 7.380% due 08/15/2001 300 301 5.750% due 01/23/2006 125 125 Banco Latinoamericano SA 6.500% due 04/02/2001 950 947 7.170% due 06/04/2001 5,000 4,998 7.880% due 11/30/2001 9,500 9,528 Banco Nacional de Comercio Exterior 7.250% due 02/02/2004 25,050 24,236 11.250% due 09/20/2005 14,250 14,254 Banesto Delaware 8.250% due 07/28/2002 28,900 29,377 Bank of America Corp. 6.730% due 02/26/2001 (d) 3,000 3,001 6.680% due 03/05/2001 (d) 44,000 43,992 9.500% due 04/01/2001 235 238 6.750% due 02/20/2002 (d) 35,180 35,153 8.130% due 06/15/2002 350 357 7.750% due 07/15/2002 360 365 7.200% due 09/15/2002 1,000 1,005 7.500% due 10/15/2002 1,200 1,214 6.850% due 03/01/2003 65 65 6.880% due 06/01/2003 100 100 6.380% due 05/15/2005 1,000 971 7.880% due 05/16/2005 600 621 8.380% due 05/01/2007 1 1 9.380% due 09/15/2009 12,950 14,301 7.800% due 02/15/2010 84,000 86,597 8.570% due 11/15/2024 125 134 Bank of Tokyo - Mitsubishi 8.400% due 04/15/2010 112,200 114,369 Bank One Corp. 6.790% due 04/19/2001 (d) 2,000 2,003 6.730% due 09/04/2001 (d) 14,000 14,005 BankBoston Corp. 6.130% due 03/15/2002 12,500 12,358 6.880% due 07/14/2003 (d) 30,000 29,933 Bankers Trust Corp. 9.400% due 03/01/2001 385 389 6.750% due 10/03/2001 500 499 7.500% due 01/15/2002 250 252 8.130% due 05/15/2002 300 305 7.130% due 07/31/2002 150 150 6.790% due 05/11/2003 (d) 82,800 82,787 6.000% due 10/15/2008 500 448 8.090% due 12/01/2026 275 251 Banponce Financial Corp. 6.460% due 11/13/2001 13,000 12,931 Barclays Bank PLC 8.550% due 09/29/2049 15,000 15,100 Bayerische Landesbank NY 6.200% due 02/09/2006 250 240 Bear Stearns Co., Inc. 9.380% due 06/01/2001 125 127 6.900% due 01/28/2002 (d) 11,250 11,241 7.040% due 04/05/2002 (d) 25,000 25,074 6.960% due 05/07/2002 (d) 4,300 4,299 7.090% due 08/01/2002 (d) 53,600 53,711 7.010% due 12/16/2002 (d) 48,900 48,955 6.130% due 02/01/2003 25 25 7.130% due 03/28/2003 (d) 65,800 65,801 6.750% due 04/15/2003 105 104 7.030% due 05/06/2003 (d) 13,000 13,060 7.010% due 05/16/2003 (d) 40,700 40,895 6.870% due 07/22/2003 (d) 19,000 19,078 6.150% due 03/02/2004 150 145 8.750% due 03/15/2004 75 79 7.100% due 06/01/2004 (d) 9,265 9,329 6.630% due 10/01/2004 250 245 7.360% due 11/30/2004 (d) 400 401 7.040% due 03/18/2005 (d) 37,000 37,081 6.250% due 07/15/2005 25,000 23,968 6.750% due 12/15/2007 2,000 1,911 Beaver Valley Funding Corp. 8.250% due 06/01/2003 405 401 Beneficial Corp. 6.390% due 01/09/2001 (d) 16,000 16,001 6.770% due 01/09/2002 (d) 500 502 6.870% due 03/01/2002 (d) 50,000 50,078 8.000% due 06/18/2002 400 406 6.030% due 01/14/2003 320 313 Bombardier Capital, Inc. 6.000% due 01/15/2002 28,000 27,551 7.300% due 12/15/2002 9,000 8,950 7.210% due 06/09/2032 (d) 16,150 16,008 BTM Holdings 7.160% due 09/29/2049 (d) 6,000 6,000 86 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------- Caithness Coso Fund Corp. 6.800% due 12/15/2001 $ 9,441 $ 9,348 Case Credit Corp. 5.850% due 02/20/2001 (d) 1,600 1,592 Caterpillar Financial Service Corp. 6.890% due 02/11/2002 (d) 700 701 6.930% due 11/04/2002 (d) 1,000 1,001 6.910% due 12/27/2002 (d) 25,000 24,990 Chase Manhattan Corp. 8.500% due 02/15/2002 200 204 5.750% due 04/15/2004 150 144 Chemical Banking Corp. 6.130% due 11/01/2008 400 367 Chrysler Financial Co. LLC 5.860% due 01/16/2001 500 498 6.650% due 06/11/2001 (d) 21,400 21,411 5.690% due 11/15/2001 650 642 5.400% due 01/15/2002 15,750 15,428 6.950% due 03/25/2002 50 50 6.750% due 07/17/2002 (d) 20,000 20,012 6.760% due 08/08/2002 (d) 37,000 37,049 6.800% due 02/03/2003 (d) 35,000 34,985 6.790% due 03/06/2003 (d) 25,000 25,211 6.780% due 03/10/2003 (d) 10,000 10,084 6.740% due 06/18/2003 35,000 34,990 Chubb Capital Corp. 6.880% due 02/01/2003 100 100 Cincinnati Financial Corp. 6.900% due 05/15/2028 111,870 97,327 CIT Group, Inc. 6.200% due 10/20/2000 525 525 6.810% due 09/13/2002 (d) 1,900 1,900 7.110% due 10/01/2002 (d) 600 602 7.380% due 03/15/2003 500 504 CIT Holdings LLC 6.880% due 02/16/2005 7,500 7,412 Citigroup, Inc. 6.820% due 05/24/2001 (d) 139,000 139,093 6.710% due 09/17/2001 (d) 65 65 6.710% due 06/27/2002 (d) 11,450 11,431 6.380% due 09/15/2002 115 114 6.810% due 11/12/2002 (d) 30,000 29,992 8.000% due 02/01/2003 250 255 5.800% due 03/15/2004 200 194 6.500% due 08/01/2004 400 393 7.750% due 06/15/2006 15,655 16,138 Comerica, Inc. 7.250% due 06/15/2007 200 198 Commercial Credit Co. 5.550% due 02/15/2001 1,300 1,294 8.250% due 11/01/2001 2,500 2,536 6.880% due 05/01/2002 335 335 7.750% due 03/01/2005 550 564 Countrywide Home Loans 6.250% due 04/15/2009 600 547 Credit Asset Receivable 6.270% due 10/31/2003 38,322 37,814 DaimlerChrysler Financial Services LLC 6.790% due 02/10/2003 (d) 2,000 2,000 DBS Group Holdings Ltd. 7.880% due 08/10/2009 6,000 6,037 Deutsche Bank Capital Trust I 7.870% due 12/29/2049 5,875 5,606 Deutsche Bank Financial 7.500% due 04/25/2009 3,000 3,009 Dillard Investment Co., Inc. 9.250% due 02/01/2001 300 302 Donaldson, Lufkin & Jenrette, Inc. 6.910% due 09/18/2002 (d) 13,600 13,602 6.170% due 07/15/2003 20,000 19,543 5.630% due 02/15/2016 5,000 4,924 Dow Capital BV 7.130% due 01/15/2003 100 100 Dresdner Bank-New York 6.630% due 09/15/2005 1,000 975 Dresdner Funding Trust I 8.150% due 06/30/2031 36,805 33,004 Duke Capital Corp. 7.250% due 10/01/2004 19,000 19,139 Edison Funding 6.950% due 12/19/2000 7,000 6,999 Export-Import Bank Korea 7.250% due 06/25/2001 2,600 2,589 7.130% due 09/20/2001 12,370 12,257 6.500% due 02/10/2002 14,691 14,493 6.500% due 11/15/2006 6,445 6,277 7.100% due 03/15/2007 15,250 15,153 Exxon Capital Corp. 7.450% due 12/15/2001 250 252 6.130% due 09/08/2008 2,000 1,911 Farmers Insurance 8.630% due 05/01/2024 275 271 Finova Capital Corp. 5.880% due 10/15/2001 1,000 845 7.340% due 11/08/2002 (d) 51,350 41,760 7.190% due 04/08/2003 (d) 300 256 6.910% due 06/18/2003 (d) 32,300 28,263 6.330% due 11/24/2003 1,300 979 First Chicago Corp. 9.250% due 11/15/2001 250 256 6.740% due 03/11/2002 (d) 10,000 10,023 6.840% due 07/28/2003 (d) 50 50 First Interstate Bancorp 10.880% due 04/15/2001 200 204 8.880% due 01/01/2009 (l) 152 155 First National Bank Chicago 8.080% due 01/05/2018 250 262 First Security Corp. 5.880% due 11/01/2003 9,325 9,033 First Union Corp. 8.130% due 06/24/2002 150 152 7.100% due 08/15/2004 3,000 2,987 7.700% due 02/15/2005 4,000 4,080 6.380% due 01/15/2009 500 461 Firstar Bank NA 7.800% due 07/05/2010 35,900 36,548 Fleet Financial Group, Inc. 9.900% due 06/15/2001 200 204 Ford Capital BV 9.500% due 06/01/2010 200 221 Ford Motor Credit Corp. 6.380% due 10/06/2000 1,300 1,300 6.250% due 11/08/2000 750 750 7.020% due 06/07/2001 1,000 1,001 6.810% due 09/03/2001 (d) 27,000 27,039 7.000% due 09/25/2001 1,125 1,127 6.850% due 10/15/2001 (d) 13,000 13,012 6.840% due 11/16/2001 (d) 76,800 76,868 8.240% due 01/15/2002 85 86 6.860% due 01/17/2002 (d) 53,945 53,762 8.200% due 02/15/2002 500 508 6.500% due 02/28/2002 1,710 1,702 6.810% due 03/19/2002 (d) 28,208 28,329 6.870% due 04/29/2002 (d) 33,000 33,033 6.900% due 05/21/2002 (d) 4,000 4,004 6.880% due 05/23/2002 14,000 14,001 6.820% due 06/04/2002 (d) 12,000 12,002 6.990% due 07/16/2002 (d) 111,680 111,920 6.910% due 08/01/2002 (d) 36,000 36,002 6.550% due 09/10/2002 4,000 3,979 6.880% due 10/15/2002 (d) 14,000 13,993 7.750% due 11/15/2002 5,730 5,824 6.820% due 12/16/2002 (d) 56,000 55,859 6.000% due 01/14/2003 1,000 978 7.500% due 01/15/2003 250 252 6.860% due 02/03/2003 (d) 30,000 29,925 6.780% due 02/13/2003 (d) 100,000 100,041 6.810% due 02/13/2003 (d) 250,185 249,875 6.850% due 03/17/2003 (d) 21,000 20,973 6.130% due 04/28/2003 26,130 25,566 See accompanying notes 87 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------- 6.940% due 06/02/2003 (d) $ 38,100 $ 38,142 6.950% due 06/20/2003 (d) 10,000 10,007 6.630% due 06/30/2003 775 766 6.950% due 11/24/2003 (d) 32,000 31,989 5.750% due 02/23/2004 1,620 1,547 6.960% due 04/26/2004 (d) 53,000 52,926 6.890% due 05/21/2004 (d) 22,200 22,102 6.870% due 06/02/2004 (d) 1,500 1,492 6.700% due 07/16/2004 92,905 91,080 7.080% due 07/19/2004 (d) 174,500 174,656 8.250% due 02/23/2005 2,500 2,592 7.500% due 03/15/2005 17,000 17,107 6.900% due 04/28/2005 (d) 58,000 57,841 7.230% due 06/30/2005 (d) 65,000 65,025 7.170% due 07/18/2005 (d) 182,100 182,418 6.780% due 08/27/2006 (d) 27,500 27,503 7.200% due 06/15/2007 25 25 5.800% due 01/12/2009 155 138 Fuji Bank Ltd. 9.870% due 12/31/2049 (d) 25,475 24,953 General Electric Capital Corp. 8.380% due 03/01/2001 1,415 1,423 6.020% due 05/04/2001 1,000 996 5.500% due 11/01/2001 50 49 5.650% due 03/31/2003 125 122 6.210% due 12/09/2005 400 391 7.880% due 12/01/2006 30 32 8.300% due 09/20/2009 1,125 1,198 General Motors Acceptance Corp. 5.800% due 04/09/2001 8,340 8,302 6.800% due 04/17/2001 4,800 4,800 5.950% due 04/20/2001 22,150 22,059 6.700% due 04/30/2001 3,000 2,999 7.130% due 05/01/2001 44,395 44,461 6.750% due 06/05/2001 880 880 6.880% due 07/15/2001 1,000 1,000 6.760% due 10/22/2001 (d) 25,700 25,685 7.070% due 11/26/2001 (d) 19,000 19,119 6.380% due 12/01/2001 765 762 6.760% due 12/10/2001 (d) 2,200 2,200 9.630% due 12/15/2001 5,650 5,824 7.040% due 12/17/2001 (d) 13,000 13,084 6.840% due 01/08/2002 (d) 3,000 3,011 6.630% due 01/10/2002 500 497 6.810% due 01/28/2002 (d) 13,000 13,007 6.800% due 02/01/2002 (d) 36,700 36,724 6.750% due 02/07/2002 1,590 1,587 6.840% due 03/15/2002 (d) 10,215 10,268 7.750% due 03/25/2002 125 127 6.840% due 04/29/2002 (d) 221,144 221,840 7.000% due 09/15/2002 250 251 6.630% due 10/01/2002 5,000 4,968 6.570% due 10/07/2002 (d) 1,100 1,101 6.780% due 11/12/2002 (d) 10,200 10,198 6.880% due 11/12/2002 (d) 22,995 23,022 6.860% due 12/09/2002 (d) 64,050 64,114 6.750% due 12/10/2002 500 499 6.200% due 12/15/2002 500 493 5.480% due 12/16/2002 150 146 6.000% due 01/15/2003 990 971 5.880% due 01/22/2003 75,500 73,769 6.840% due 02/14/2003 (d) 10,000 9,986 6.750% due 03/15/2003 40,125 39,928 7.130% due 05/01/2003 36,000 36,171 7.400% due 07/20/2003 (d) 9,577 9,569 6.790% due 08/18/2003 (d) 102,940 102,690 5.550% due 09/15/2003 32,000 30,830 6.630% due 10/20/2003 2,000 1,982 5.750% due 11/10/2003 1,000 965 7.020% due 04/05/2004 (d) 27,900 27,861 6.930% due 05/28/2004 (d) 73,000 73,801 6.850% due 06/17/2004 1,200 1,190 7.090% due 07/21/2004 (d) 10,000 10,009 7.360% due 09/20/2004 (d) 20,058 20,040 6.650% due 11/17/2005 500 489 6.150% due 04/05/2007 150 140 8.950% due 07/02/2009 19,971 20,803 Gold Eagle Capital Ltd. 12.130% due 04/15/2001 46,300 46,300 Golden State Holdings 2.280% due 01/01/2000 15 346 6.750% due 08/01/2001 1,950 1,920 Goldman Sachs Group 6.200% due 12/15/2000 6,500 6,489 6.710% due 01/12/2001 (d) 25,000 25,041 6.900% due 01/25/2001 (d) 27,400 27,416 6.920% due 02/20/2001 (d) 3,000 3,004 7.000% due 04/16/2001 (d) 18,000 17,999 6.920% due 12/07/2001 (d) 25,000 25,057 7.090% due 02/18/2002 (d) 2,300 2,315 7.060% due 01/16/2003 (d) 15,000 15,097 6.960% due 01/17/2003 (d) 147,500 147,700 7.070% due 05/23/2003 (d) 75,000 75,074 6.930% due 02/10/2004 (d) 10,000 9,847 7.220% due 02/19/2004 (d) 10,000 10,153 6.920% due 06/02/2004 (d) 15,000 14,743 6.630% due 12/01/2004 275 270 7.630% due 08/17/2005 40,000 40,841 7.390% due 02/09/2009 (d) 10,000 10,432 6.500% due 02/25/2009 140 130 GS Escrow Corp. 7.710% due 08/01/2003 (d) 500 485 Hansol Paper Co. Ltd. 8.940% due 05/24/2001 (d) 20,000 20,200 Hartford Life, Inc. 6.900% due 06/15/2004 600 595 Heller Financial, Inc. 6.250% due 03/01/2001 25,000 24,943 6.920% due 06/25/2001 (d) 76,050 76,106 5.750% due 09/25/2001 1,400 1,380 7.070% due 10/22/2001 (d) 19,200 19,240 6.500% due 11/01/2001 250 249 7.590% due 11/09/2001 (d) 2,500 2,517 6.890% due 04/26/2002 (d) 12,000 11,988 6.850% due 05/07/2002 (d) 2,000 1,998 6.850% due 05/13/2002 (d) 10,000 9,988 7.000% due 05/15/2002 900 897 7.120% due 07/24/2002 (d) 16,200 16,223 6.940% due 04/28/2003 (d) 26,000 25,911 6.970% due 04/28/2003 (d) 55,750 55,509 Hertz Corp. 7.000% due 07/15/2003 13,300 13,155 Home Savings of America 6.000% due 11/01/2000 14,175 14,161 Household Bank 6.820% due 09/26/2001 (d) 9,000 8,999 6.910% due 10/22/2003 (d) 15,000 14,952 Household Capital Trust 7.010% due 06/26/2004 (d) 13,925 13,302 Household Finance Corp. 6.780% due 06/22/2001 (d) 3,000 3,004 6.860% due 08/01/2001 (d) 1,500 1,501 6.860% due 11/01/2001 (d) 3,000 3,000 6.840% due 05/07/2002 (d) 40,850 40,983 6.890% due 05/24/2002 (d) 113,800 113,894 7.080% due 06/03/2002 15,000 15,013 5.880% due 11/01/2002 200 196 6.910% due 06/24/2003 35,000 35,022 6.920% due 06/24/2003 (d) 31,000 31,027 7.000% due 08/01/2003 20,000 19,943 6.500% due 11/15/2008 2,000 1,878 Household Netherlands BV 6.130% due 03/01/2003 18,100 17,646 HSBC Capital Funding LP 10.180% due 12/29/2049 10,000 11,086 10.180% due 12/31/2049 106,400 112,685 HypoVereinsbank 8.740% due 06/30/2031 12,400 11,831 Industrial Bank of Korea 7.100% due 10/15/2001 3,290 3,224 88 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------- Inter-American Development Bank 8.880% due 06/01/2009 $ 200 $ 227 7.380% due 01/15/2010 4,200 4,374 International Bank for Reconstruction & Development 7.000% due 01/27/2005 1,000 1,018 International Lease Finance Corp. 5.780% due 03/01/2001 500 498 5.930% due 07/15/2003 14,000 13,613 J.P. Morgan & Co. 5.750% due 02/25/2004 22,800 21,969 6.700% due 11/01/2007 30 29 6.000% due 01/15/2009 37,000 34,095 8.080% due 02/15/2012 600 519 JET Equipment Trust 10.000% due 06/15/2012 80 88 10.690% due 05/01/2015 100 117 John Hancock 7.380% due 02/15/2024 360 333 KBC Bank Fund Trust III 9.860% due 11/29/2049 (d) 5,700 5,965 Key Bank NA 7.550% due 09/15/2006 350 354 Kimco Realty Corp. 6.500% due 10/01/2003 200 195 Korea Development Bank 7.680% due 10/06/2000 (d) 5,000 5,000 6.510% due 10/20/2000 11,000 10,976 7.130% due 09/17/2001 10,055 10,041 8.600% due 03/25/2002 6,600 6,723 6.500% due 11/15/2002 440 431 7.130% due 04/22/2004 19,125 18,771 7.380% due 09/17/2004 16,500 16,264 6.750% due 12/01/2005 55 52 7.250% due 05/15/2006 50 48 LB Rheinland - PFALZ 5.000% due 02/23/2028 3,400 3,230 Lehman Brothers Holdings, Inc. 9.880% due 10/15/2000 150 150 7.250% due 12/01/2000 (d) 500 500 6.130% due 02/01/2001 2,000 1,994 6.000% due 02/26/2001 700 698 7.370% due 07/03/2001 (d) 10,000 10,036 7.680% due 04/02/2002 (d) 64,750 65,327 6.380% due 05/07/2002 28,695 28,481 7.410% due 05/07/2002 (d) 42,100 42,363 8.750% due 05/15/2002 219 225 6.610% due 07/08/2002 (d) 101,600 101,691 7.530% due 07/15/2002 (d) 43,051 43,408 7.000% due 08/12/2002 (d) 6,500 6,499 7.450% due 08/28/2002 (d) 6,500 6,508 6.970% due 09/03/2002 (d) 14,000 13,991 7.210% due 12/12/2002 (d) 57,900 58,152 7.170% due 04/04/2003 (d) 134,300 134,342 7.000% due 05/15/2003 150 150 7.020% due 08/03/2003 (d) 1,500 1,485 6.630% due 04/01/2004 65 64 7.750% due 01/15/2005 150 153 7.630% due 06/01/2006 350 352 8.500% due 05/01/2007 1,475 1,548 LG&E Capital Corp. 6.210% due 05/01/2004 1,000 973 6.460% due 01/15/2008 3,000 2,856 Liberty Mutual Insurance 8.200% due 05/04/2007 17,510 17,252 Limestone Electron Trust 8.630% due 03/15/2003 71,350 72,720 Marine Midland 6.750% due 12/12/2000 (d) 3,700 3,699 MBNA America Bank NA 6.970% due 04/25/2002 (d) 1,000 998 MBNA Corp. 6.990% due 05/24/2002 1,000 1,000 7.130% due 09/10/2002 (d) 5,000 5,024 7.040% due 12/10/2002 4,100 4,044 MCN Investment Corp. 6.030% due 02/01/2001 6,850 6,813 7.120% due 01/16/2004 7,500 7,290 6.300% due 04/02/2011 7,500 7,448 Merrill Lynch & Co. 6.830% due 10/03/2000 (d) 2,000 2,000 6.430% due 12/05/2000 (d) 89,000 89,009 6.000% due 03/01/2001 1,325 1,320 6.500% due 04/01/2001 400 399 6.750% due 04/30/2001 2,775 2,773 6.820% due 05/08/2001 (d) 54,900 54,918 6.880% due 05/30/2001 (d) 3,800 3,806 6.790% due 11/01/2001 (d) 35,000 35,035 6.770% due 11/09/2001 (d) 16,000 16,001 6.830% due 01/15/2002 (d) 17,000 16,995 7.090% due 02/01/2002 (d) 33,000 33,111 8.000% due 02/01/2002 400 406 7.380% due 08/17/2002 300 303 8.300% due 11/01/2002 700 720 6.000% due 02/12/2003 500 491 6.880% due 03/01/2003 140 140 6.810% due 06/24/2003 (d) 27,000 26,920 6.990% due 08/01/2003 (d) 800 800 6.920% due 10/01/2003 (d) 18,500 18,497 5.880% due 01/15/2004 600 580 6.550% due 08/01/2004 400 395 7.000% due 03/15/2006 1,500 1,488 7.000% due 04/27/2008 100 98 6.380% due 10/15/2008 35,000 32,955 Merrill Lynch Mortgage Investors, Inc. 5.650% due 12/15/2030 441 424 Metropolitan Life Insurance Co. 6.300% due 11/01/2003 6,800 6,648 Mexico Credit Link 11.380% due 02/22/2002 (d) 29,500 30,760 11.800% due 02/25/2002 2,000 2,119 MFN Financial Corp. 6.980% due 09/13/2001 (d) 10,300 10,305 MIC Financing Trust 8.380% due 02/01/2027 36,000 31,063 Monumental Global Funding II 6.910% due 09/26/2003 (d) 58,500 58,500 Morgan Stanley, Dean Witter, Discover and Co. 5.750% due 02/15/2001 400 399 6.700% due 05/01/2001 600 600 9.380% due 06/15/2001 300 305 6.840% due 12/17/2001 (d) 5,000 5,006 6.840% due 01/28/2002 (d) 35,700 35,762 6.880% due 04/15/2002 (d) 300 300 6.890% due 02/21/2003 (d) 25,000 25,046 6.850% due 03/11/2003 (d) 11,500 11,484 6.910% due 05/05/2003 (d) 23,000 23,041 6.960% due 08/07/2003 (d) 140,800 140,900 6.380% due 12/15/2003 150 148 5.630% due 01/20/2004 1,100 1,058 6.990% due 04/22/2004 (d) 68,500 68,577 Nacional Financiera 10.560% due 12/01/2000 (d) 10,760 10,712 National Westminster Bank PLC 9.380% due 11/15/2003 200 213 NationsBank Corp. 6.750% due 02/26/2001 500 499 7.000% due 09/15/2001 1,500 1,503 6.810% due 06/17/2002 (d) 10,000 10,003 6.130% due 07/15/2004 600 582 NCNB Corp. 7.750% due 08/01/2002 896 896 Noble Affiliates, Inc. 8.950% due 12/15/2004 11,500 11,525 Nordbanken 7.250% due 11/12/2009 21,250 21,086 See accompanying notes 89 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------- Nordstrom Credit, Inc. 7.250% due 04/30/2002 $ 1,000 $ 1,006 Northern Rock PLC 2.000% due 01/01/2000 1,060 20,670 Norwest Financial, Inc. 6.380% due 07/16/2002 500 497 6.250% due 11/01/2002 100 99 7.000% due 01/15/2003 380 382 6.000% due 02/01/2004 50 49 Okobank 7.040% due 05/23/2006 (d) 10,000 10,018 Old Kent Bank 7.750% due 08/15/2010 6,500 6,512 Orix Credit Alliance 7.640% due 09/17/2001 13,000 13,077 Osprey Trust 8.310% due 01/15/2003 75,475 76,418 Pacific Mutual Life 7.900% due 12/30/2023 8,000 7,841 PaineWebber 7.030% due 05/20/2002 (d) 1,000 999 7.290% due 07/15/2002 (d) 200 200 Parker Retirement Savings Plan 6.340% due 07/15/2008 841 791 PDVSA Finance Ltd. 7.400% due 08/15/2016 1,200 971 Pemex Finance Limited 6.130% due 11/15/2003 20,222 19,864 PNC Bank Corp. 6.720% due 01/24/2002 (d) 49,000 49,031 6.680% due 08/15/2002 (d) 5,000 5,005 PNC Funding Corp. 6.880% due 03/01/2003 100 100 7.000% due 09/01/2004 15,000 14,889 PNC Institutional Capital Association 7.950% due 12/15/2026 150 135 Popular North American, Inc. 7.380% due 09/15/2001 25,000 25,120 Popular, Inc. 6.550% due 10/10/2000 2,485 2,485 6.200% due 04/30/2001 3,336 3,325 6.540% due 11/06/2001 18,705 18,625 6.630% due 01/15/2004 19,500 18,949 Prime Property Funding II 7.000% due 08/15/2004 110 107 Protective Life Funding Trust 7.090% due 01/17/2003 (d) 2,000 1,997 Prudential Funding Corp. 6.420% due 10/02/2000 (d) 20,000 20,004 6.630% due 04/01/2009 17,000 15,484 PSE&G Capital Corp. 6.740% due 10/23/2001 1,400 1,398 Qwest Capital Funding, Inc. 6.880% due 08/15/2001 43,200 43,165 7.200% due 07/08/2002 (d) 500 500 Reliance Group Holdings 9.000% due 11/15/2000 (m) 19,000 6,460 9.750% due 11/15/2003 (m) 10,000 1,163 Reliant Energy Financial Co. 7.660% due 12/10/2001 (d) 53,100 52,989 Royal Bank of Scotland PLC 6.400% due 04/01/2009 15,000 13,983 8.820% due 03/31/2049 38,600 40,300 9.120% due 03/31/2049 66,400 69,856 Safeco Corp. 7.260% due 08/12/2002 500 505 Sakura Capital Funding 7.320% due 08/29/2049 20,000 19,244 7.560% due 09/29/2049 (d) 59,000 57,230 Salomon, Inc. 6.630% due 11/30/2000 500 500 6.650% due 07/15/2001 600 598 7.000% due 03/04/2002 18,850 18,894 6.750% due 02/15/2003 450 449 Salomon, Smith Barney Holdings 5.980% due 03/26/2001 250 249 3.650% due 02/14/2002 (d)(j) 29,708 29,357 6.930% due 04/15/2002 (d) 35,090 35,100 6.860% due 05/14/2002 (d) 34,515 34,514 7.020% due 07/23/2002 (d) 53,400 53,319 6.130% due 01/15/2003 290 285 6.910% due 02/11/2003 (d) 44,200 44,236 6.960% due 04/28/2003 (d) 34,000 34,014 7.060% due 07/18/2003 (d) 55,800 55,897 Sanwa Finance Aruba AEC 8.350% due 07/15/2009 94,740 94,604 Sears Roebuck Acceptance 6.800% due 05/07/2001 500 500 6.790% due 05/21/2001 500 500 7.190% due 06/18/2001 3,880 3,891 7.110% due 06/19/2001 1,000 1,002 9.400% due 08/02/2001 250 255 6.860% due 08/06/2001 400 400 6.710% due 08/13/2001 80 80 6.360% due 12/04/2001 290 289 6.120% due 12/13/2001 260 257 8.390% due 02/14/2002 240 244 6.950% due 05/15/2002 300 299 6.000% due 03/20/2003 149,750 145,584 7.260% due 04/21/2003 3,000 3,002 7.140% due 05/02/2003 5,000 4,988 6.560% due 11/20/2003 1,178 1,152 6.250% due 01/15/2004 300 291 6.750% due 09/15/2005 785 763 6.700% due 11/15/2006 500 480 Security Pacific Corp. 11.500% due 11/15/2000 4,000 4,019 11.000% due 03/01/2001 135 137 Seismic Ltd. 11.270% due 01/01/2002 (d) 32,500 32,500 Simon Property Group, Inc. 9.000% due 03/15/2002 2,000 2,027 Socgen Real Estate LLC 7.640% due 12/29/2049 3,000 2,803 Societe Generale 7.400% due 06/01/2006 1,500 1,503 Sovereign Bancorp, Inc. 6.630% due 03/15/2001 13,500 13,357 Spieker Properties 6.800% due 12/15/2001 5,500 5,456 6.800% due 05/01/2004 1,000 977 Steers 10.460% due 08/07/2002 (d) 20,000 20,114 Sumitomo Bank International Finance NV 8.500% due 06/15/2009 6,600 6,747 Sumitomo Bank Treasury Co. 9.400% due 12/29/2049 (d) 21,050 20,713 Sun Life of Canada (U.S.) 8.530% due 05/29/2049 250 225 Telewest Credit Links 8.500% due 04/16/2004 30,000 28,878 Textron Financial Corp. 7.030% due 05/28/2002 (d) 41,900 41,849 7.030% due 09/17/2002 (d) 2,000 2,003 The Money Store, Inc. 8.050% due 04/15/2002 300 304 7.300% due 12/01/2002 100 101 Tokai Capital Corp. 9.980% due 12/29/2049 (d) 18,050 17,286 Toyota Motor Credit Corp. 7.320% due 02/15/2002 (d) 40,000 39,319 Transamerica Finance Corp. 6.910% due 09/17/2001 (d) 10,000 10,001 6.130% due 11/01/2001 29,000 28,757 6.910% due 12/14/2001 (d) 40,700 40,744 7.250% due 08/15/2002 85,500 85,695 7.500% due 03/15/2004 270 271 6.750% due 11/15/2006 650 637 90 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------- Travelers Group, Inc. 7.200% due 02/01/2004 $ 38,480 $ 38,677 U.S. Bancorp 6.750% due 01/16/2002 (d) 49,000 49,015 6.940% due 02/03/2003 (d) 18,100 18,111 6.500% due 06/15/2004 600 588 Wachovia Corp. 7.260% due 05/02/2005 (d) 53,100 53,047 Washington Mutual, Inc. 8.210% due 02/01/2027 150 132 8.380% due 06/01/2027 235 212 Wells Fargo & Co. 5.630% due 02/05/2001 400 399 8.750% due 05/01/2002 100 103 6.630% due 07/15/2004 6,500 6,439 7.220% due 05/02/2005 (d) 67,700 67,678 7.800% due 06/15/2010 40,600 41,519 Westdeutsche Landesbank 6.750% due 06/15/2005 36,400 35,796 6.050% due 01/15/2009 123,100 112,682 ------------- $ 9,923,058 ============= Industrials 7.0% Ahold Finance USA, Inc. 6.880% due 05/01/2029 115 95 Akzo Nobel, Inc. 6.000% due 11/15/2003 32,000 30,896 Albertson's, Inc. 8.350% due 05/01/2010 5,000 5,147 Allied Waste North America, Inc. 7.380% due 01/01/2004 18,925 17,695 Alpha Wind 11.320% due 05/23/2001 17,200 17,200 America West Airlines, Inc. 6.870% due 07/02/2018 1,956 1,789 American Airlines 10.610% due 03/04/2011 1,895 2,165 AMR Corp. 10.610% due 01/11/2001 4,000 4,024 10.570% due 01/15/2001 3,000 3,025 10.590% due 01/31/2001 3,000 3,007 10.000% due 02/01/2001 2,400 2,413 9.400% due 05/08/2001 3,000 3,020 9.430% due 05/10/2001 1,000 1,007 9.500% due 05/15/2001 3,480 3,503 9.130% due 10/25/2001 2,000 2,033 8.470% due 02/20/2002 2,000 2,012 8.500% due 02/26/2002 1,000 1,006 10.210% due 01/01/2010 6,500 7,202 Anheuser-Busch Companies, Inc. 6.750% due 08/01/2003 500 503 Arrow Electronics, Inc. 7.440% due 11/24/2000 (d) 13,200 13,197 Atlas Air, Inc. 9.470% due 04/04/2003 (d) 22,700 22,700 10.470% due 10/04/2004 (d) 3,000 3,000 Aventis SA 8.620% due 01/05/2021 250 261 Baxter International, Inc. 9.500% due 06/15/2008 200 221 Bayer Corp. 6.500% due 10/01/2002 250 248 BOC Group PLC 5.880% due 01/29/2001 250 249 Boeing Co. 8.380% due 02/15/2001 900 904 6.350% due 06/15/2003 750 744 Boise Cascade Co. 7.150% due 05/15/2001 10,000 9,988 BP Amoco PLC 6.250% due 10/15/2004 1,000 991 Browning-Ferris Industries, Inc. 6.100% due 01/15/2003 6,000 5,632 Cabot Corp. 7.280% due 10/21/2027 5,160 4,383 Campbell Soup Co. 4.750% due 10/01/2003 500 474 Cemex SA 9.250% due 06/17/2002 5,000 5,100 8.630% due 07/18/2003 48,250 48,853 Century Communications Corp. 0.000% due 03/15/2003 10,515 8,044 CF Cable TV, Inc. 9.130% due 07/15/2007 1,600 1,722 Champion International Corp. 9.700% due 05/01/2001 4,000 4,046 Clear Channel Communications, Inc. 7.210% due 06/15/2002 (d) 20,000 20,047 Coastal Corp. 10.380% due 10/01/2000 8,500 8,500 7.290% due 03/01/2002 (d) 145,350 145,350 Coca-Cola Co. 6.380% due 08/01/2001 500 497 7.880% due 02/01/2002 600 605 6.000% due 07/15/2003 250 246 5.750% due 11/01/2008 100 91 Colgate-Palmolive Co. 6.000% due 08/15/2003 45 44 Columbia/HCA Healthcare 8.020% due 08/05/2002 9,000 8,932 8.130% due 08/04/2003 7,300 7,238 6.910% due 06/15/2005 9,500 8,964 6.630% due 07/15/2045 10,000 9,747 6.730% due 07/15/2045 14,760 14,162 Comcast Cable Communications 8.380% due 05/01/2007 145 151 Comdisco, Inc. 6.130% due 08/01/2006 600 588 Conoco, Inc. 6.350% due 04/15/2009 1,900 1,804 Continental Airlines 6.410% due 04/15/2007 342 330 6.800% due 07/02/2007 26 25 6.950% due 02/02/2011 24,520 23,708 6.900% due 01/02/2018 1,511 1,429 Cox Communications, Inc. 6.630% due 06/14/2002 7,250 7,174 6.500% due 11/15/2002 200 198 0.430% due 04/19/2020 25,000 10,500 Cox Enterprises, Inc. 8.000% due 02/15/2007 5,000 5,105 7.610% due 05/01/2033 (d) 500 500 Credit Lyon Capital 2.380% due 01/01/2000 1,912 46,374 CSX Corporation 7.260% due 06/24/2002 (d) 25,100 25,102 DaimlerChrysler Holdings 6.630% due 09/21/2001 1,000 995 6.860% due 01/18/2002 18,900 18,922 7.750% due 05/27/2003 20,000 20,342 7.000% due 08/16/2004 (d) 61,600 61,704 Dayton Hudson Corp. 10.000% due 12/01/2000 1,000 1,004 Delphi Auto Systems Corp. 6.130% due 05/01/2004 20,000 19,103 Delta Air Lines, Inc. 6.650% due 03/15/2004 13,500 12,809 10.430% due 01/02/2011 850 969 10.140% due 08/14/2012 1,000 1,144 9.200% due 09/23/2014 6,000 6,083 10.500% due 04/30/2016 4,550 4,994 Duty Free International, Inc. 7.000% due 01/15/2004 175 169 Eastman Chemical Co. 6.380% due 01/15/2004 5,750 5,535 Electric Lightwave, Inc. 6.050% due 05/15/2004 10,700 10,423 Eli Lilly & Co. 8.130% due 12/01/2001 500 507 6.250% due 03/15/2003 100 99 See accompanying notes 91 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------- Embotelladora Arica SA 9.880% due 03/15/2006 $ 7,500 $ 7,810 Enron Corp. 7.110% due 09/10/2001 (d) 7,000 7,001 6.450% due 11/15/2001 275 273 7.660% due 01/14/2002 5,000 5,040 8.380% due 05/23/2005 12,000 12,550 Federal Express Corp. 6.850% due 01/15/2019 826 767 Ford Capital BV 9.380% due 05/15/2001 300 304 Ford Motor Co. 9.000% due 09/15/2001 880 893 6.630% due 10/01/2028 115,800 97,647 7.450% due 07/16/2031 10,000 9,325 Fortune Brands, Inc. 8.500% due 10/01/2003 500 521 Fred Meyer, Inc. 7.150% due 03/01/2003 11,000 10,927 7.380% due 03/01/2005 38,100 37,726 7.450% due 03/01/2008 300 291 General Foods Corp. 6.000% due 06/15/2001 200 197 General Motors Acceptance Corp. 6.250% due 05/01/2005 300 291 Gillette Co. 6.250% due 08/15/2003 750 749 5.750% due 10/15/2005 1,500 1,453 Grupo Elektra SA 12.750% due 05/15/2001 1,000 1,035 Gulf Canada Resources Ltd. 9.250% due 01/15/2004 7,250 7,366 Harrahs Operating Co., Inc. 7.880% due 12/15/2005 5,000 4,825 Heinz (H.J.) Co. 6.880% due 01/15/2003 100 101 Hertz Corp. 6.000% due 02/01/2001 75 75 Hilton Hotels Corp. 7.380% due 06/01/2002 1,000 992 Houghton Mifflin Co. 5.990% due 12/03/2001 3,000 2,955 IBM Corp. 7.250% due 11/01/2002 450 455 ICI Wilmington 6.750% due 09/15/2002 10,000 9,882 IMEXSA Export Trust 10.130% due 05/31/2003 7,644 7,618 Imperial Tobacco 7.130% due 04/01/2009 21,785 19,906 Ingersoll-Rand Co. 6.260% due 02/15/2001 295 294 International Game Technology 7.880% due 05/15/2004 24,500 24,071 International Paper Co. 9.050% due 02/08/2001 100 100 7.000% due 06/01/2001 2,000 1,994 ISP Holdings, Inc. 9.750% due 02/15/2002 6,750 6,075 ITT Corp. 6.250% due 11/15/2000 500 499 J Seagram & Sons 5.790% due 04/15/2001 1,800 1,783 6.250% due 12/15/2001 6,545 6,475 K Mart Corp. 8.190% due 11/24/2003 5,000 4,675 Kellogg 5.750% due 02/02/2001 86,925 86,444 Kohls Corp. 7.380% due 10/15/2011 15 14 Kroger Co. 7.560% due 10/01/2010 (d) 54,000 54,098 Limited, Inc. 7.800% due 05/15/2002 500 504 Lockheed Martin Corp. 6.850% due 05/15/2001 30,315 30,205 Mallinckrodt, Inc. 6.300% due 03/15/2011 (d) 23,155 23,046 Mandalay Resort Group 6.750% due 07/15/2003 4,500 4,230 Marlin Water Trust 7.090% due 12/15/2001 11,238 11,174 Mazda Manufacturing Corp. 10.500% due 07/01/2008 (l) 1,980 2,362 Mobil Corp. 8.380% due 02/12/2001 340 341 Nabisco, Inc. 6.000% due 02/15/2001 (d) 11,990 11,900 6.800% due 09/01/2001 3,000 2,962 6.700% due 06/15/2002 9,000 8,811 6.130% due 02/01/2033 15,000 14,356 Nabors Industries, Inc. 6.800% due 04/15/2004 9,250 9,150 News America Holdings Corp. 8.630% due 02/01/2003 750 775 Norfolk Southern Corp. 7.880% due 02/15/2004 50 51 Nortel Networks Corporation 6.880% due 10/01/2002 200 199 Northwest Airlines, Inc. 8.970% due 01/02/2015 1,636 1,659 8.070% due 08/01/2021 400 411 Occidental Petroleum 6.400% due 04/01/2003 7,710 7,520 7.360% due 10/03/2008 30,300 30,262 Park Place Entertainment Corp. 7.950% due 08/01/2003 18,500 18,523 Petroleos Mexicanos 8.130% due 07/15/2005 (d) 100,400 100,651 8.850% due 09/15/2007 1,800 1,787 9.380% due 12/02/2008 14,650 15,090 9.500% due 09/15/2027 31,000 32,008 Philip Morris Cos., Inc. 9.000% due 01/01/2001 300 301 8.750% due 06/01/2001 5,515 5,550 7.250% due 09/15/2001 70 70 7.500% due 01/15/2002 50 50 6.800% due 12/01/2003 48,345 47,340 7.000% due 07/15/2005 1,125 1,093 6.950% due 06/01/2006 9,540 9,495 7.200% due 02/01/2007 34,000 32,649 Philips Petroleum Co. 9.000% due 06/01/2001 2,000 2,016 Premium Asset Trust 7.030% due 09/08/2007 5,000 4,988 Proctor & Gamble Co. 5.250% due 09/15/2003 35,600 34,205 Qwest Corp. 7.200% due 11/01/2004 170 170 Racers 6.930% due 03/03/2003 (d) 282,400 282,400 6.210% due 04/01/2003 20,000 19,956 8.760% due 04/28/2003 (d) 30,000 30,690 6.800% due 09/15/2005 (d) 15,000 14,967 Raytheon Co. 7.310% due 03/01/2002 (d) 8,650 8,668 Rogers Cantel, Inc. 9.380% due 06/01/2008 2,750 2,860 Saferco 9.590% due 05/31/2001 (l) 3,000 3,052 Safeway, Inc. 5.750% due 11/15/2000 3,150 3,144 7.000% due 09/15/2002 1,125 1,124 6.850% due 09/15/2004 250 247 92 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------- Sara Lee Corp. 6.300% due 11/07/2005 $ 500 $ 486 Scotia Pacific Co. LLC 7.710% due 01/20/2014 305 200 SmithKline Beecham 7.380% due 04/15/2005 150 153 Sprint Capital Corp. 7.010% due 06/10/2002 (d) 1,000 1,000 7.010% due 06/24/2002 (d) 50,000 50,020 Stone Container Corp. 10.750% due 10/01/2002 2,500 2,547 TCI Communications, Inc. 7.260% due 03/12/2001 (d) 14,700 14,756 6.380% due 05/01/2003 3,280 3,234 8.000% due 08/01/2005 450 463 Telecommunications, Inc. 8.250% due 01/15/2003 43,125 44,627 Tenet Healthcare Corp. 7.880% due 01/15/2003 5,000 4,988 8.630% due 12/01/2003 1,200 1,209 Texaco Capital 8.500% due 02/15/2003 700 727 6.000% due 06/15/2005 400 388 Textron, Inc. 6.750% due 09/15/2002 225 224 Time Warner, Inc. 6.100% due 12/30/2001 40,525 39,971 7.980% due 08/15/2004 19,770 20,324 Times Mirror Co. 6.650% due 10/15/2001 300 299 TRW, Inc. 6.630% due 06/01/2004 2,425 2,340 Tyco International Group SA 7.370% due 03/05/2001 (d) 15,000 15,016 6.880% due 09/05/2002 675 674 6.250% due 06/15/2003 16,315 15,880 Union Pacific Corp. 7.880% due 02/15/2002 8,000 8,052 7.330% due 07/01/2002 (d) 25,500 25,531 6.930% due 06/01/2003 1,000 989 6.000% due 09/01/2003 8,000 7,733 6.120% due 02/01/2004 250 241 US Airways 6.850% due 01/30/2018 145 130 USA Waste Services, Inc. 6.130% due 07/15/2001 23,500 23,030 UST, Inc. 7.250% due 06/01/2009 25,000 22,408 USX Corp. 9.800% due 07/01/2001 24,050 24,446 Wal-Mart Stores, Inc. 8.630% due 04/01/2001 2,450 2,473 6.150% due 08/10/2001 450 448 6.750% due 05/24/2002 170 170 6.500% due 06/01/2003 200 199 Walt Disney Co. 6.380% due 03/30/2001 1,100 1,097 5.130% due 12/15/2003 500 475 Waste Management, Inc. 6.380% due 12/01/2003 200 189 6.500% due 05/14/2004 89,000 83,904 Williams Communications Group, Inc. 7.180% due 11/15/2001 10,500 10,507 WMX Technologies 6.700% due 05/01/2001 10,000 9,911 7.000% due 10/15/2006 500 467 Xerox Corp. 7.410% due 05/15/2001 1,000 1,003 Yorkshire Power 6.150% due 02/25/2003 17,000 16,360 ------------- 2,478,510 ============= Utilities 6.1% AEP Resources, Inc. 6.500% due 12/01/2003 20,000 19,507 Alabama Power Co. 5.350% due 11/15/2003 1,600 1,528 Arizona Public Service 7.400% due 11/15/2001 (d) 1,000 1,000 Ashland, Inc. 8.450% due 12/05/2001 3,000 3,056 7.250% due 03/07/2003 (d) 300 299 AT&T Corp. 5.130% due 04/01/2001 600 595 7.350% due 08/27/2001 7,200 7,212 7.130% due 01/15/2002 275 276 5.630% due 03/15/2004 350 335 8.650% due 09/15/2004 625 655 7.000% due 05/15/2005 200 199 7.650% due 09/15/2006 140 141 0.000% due 11/01/2007 1,000 877 Baltimore Gas & Electric 6.130% due 07/01/2003 150 147 Bellsouth Telecom 6.000% due 06/15/2002 10,000 9,880 7.500% due 06/15/2033 185 169 Calpine Corp. 9.250% due 02/01/2004 4,150 4,155 7.630% due 04/15/2006 1,800 1,756 CE Electric Funding Company 6.850% due 12/30/2004 250 242 Central Maine Power Co. 7.430% due 08/25/2003 13,000 13,056 Central Power & Light Co. 7.290% due 11/23/2001 (d) 18,100 18,101 Chesapeake & Potomac Telephone 5.630% due 03/01/2007 500 461 8.000% due 10/15/2029 1,125 1,150 Cleveland Electric Illuminating Co. 9.500% due 05/15/2005 33,000 33,794 CMS Energy 8.380% due 07/01/2003 15,000 14,661 8.000% due 07/01/2011 1,000 991 7.000% due 01/15/2005 30,000 27,636 Coastal Corp. 8.130% due 09/15/2002 250 257 Columbus Southern Power Co. 6.850% due 10/03/2005 10,000 9,797 Commonwealth Edison 6.720% due 06/15/2002 (d) 1,000 1,000 6.630% due 07/15/2003 1,000 987 9.880% due 06/15/2020 11,700 12,781 Connecticut Light & Power Co. 7.880% due 06/01/2001 100 100 7.750% due 06/01/2002 5,000 5,048 8.590% due 06/05/2003 27,000 26,646 Consolidated Edison 6.630% due 02/01/2002 100 100 Consolidated Natural Gas Co. 7.250% due 10/01/2004 43,750 43,749 Constellation Energy Group, Inc. 7.220% due 04/04/2003 (d) 15,000 14,961 Deutsche Telekom AG 7.750% due 06/15/2005 134,400 137,718 Dominion Resources, Inc. 7.030% due 01/26/2001 (d) 1,600 1,601 7.600% due 07/15/2003 35,000 35,377 DTE Capital Corp. 8.350% due 11/15/2038 (d) 70,250 68,734 Duke Energy Corp. 5.880% due 06/01/2001 375 373 6.750% due 08/01/2025 25 21 East Coast Power LLC 6.740% due 03/31/2008 17,772 16,968 See accompanying notes 93 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Edison Mission Energy 7.330% due 06/15/2001 (d) $ 1,000 $ 1,000 El Paso Electric Co. 9.400% due 05/01/2011 7,455 7,933 El Paso Energy Corp. 6.630% due 07/15/2001 12,000 11,917 El Paso Natural Gas Co. 7.750% due 01/15/2002 15,000 15,106 Entergy Arkansas, Inc. 7.000% due 03/01/2002 1,580 1,575 7.720% due 03/01/2003 200 202 Entergy Louisiana, Inc. 8.500% due 06/01/2003 3,000 3,084 Entergy Mississippi, Inc. 7.360% due 05/03/2004 (d) 31,000 30,806 Georgia Power Co. 6.670% due 02/22/2002 (d) 15,000 14,990 GTE Corp. 7.250% due 08/01/2002 150 151 5.500% due 01/15/2009 100 88 Gulf States Utilities 6.410% due 08/01/2001 5,800 5,760 Hughes Electric 7.560% due 10/23/2000 (j) 10,000 10,003 Indiana Bell Telephone Co., Inc. 5.500% due 04/01/2007 500 455 Indiana Michigan Power 7.270% due 11/22/2000 (d) 2,500 2,501 Indianapolis Power & Light 7.380% due 08/01/2007 225 227 K N Energy, Inc. 6.450% due 11/30/2001 10,000 9,902 6.450% due 03/01/2003 240 236 Kansai Electric Power Co. 7.250% due 09/25/2006 2,000 2,021 Korea Electric Power 7.000% due 10/01/2002 380 374 6.380% due 12/01/2003 220 211 Louisiana Power & Light Co. 7.740% due 07/01/2002 599 599 MCI Worldcom, Inc. 8.880% due 01/15/2006 34,150 35,261 6.130% due 04/15/2012 1,250 1,235 Montana Power Co. 7.000% due 04/06/2001 (d) 15,000 15,004 National Power Corp. 9.630% due 05/15/2028 16,000 11,631 National Rural Utilities Cooperative 6.880% due 05/31/2002 (d) 10,000 9,996 6.250% due 04/15/2003 50,000 48,982 Nevada Power Co. 7.270% due 08/20/2001 (d) 900 900 New England Telephone & Telegraph Co. 6.380% due 09/01/2008 1,350 1,267 New Jersey Bell Telephone 4.880% due 11/01/2000 800 799 New York Telephone Co. 6.250% due 02/15/2004 150 146 6.000% due 04/15/2008 45 41 Niagara Mohawk Power 7.000% due 10/01/2000 60,235 60,235 6.880% due 03/01/2001 21,538 21,516 7.250% due 10/01/2002 24,783 24,676 7.380% due 07/01/2003 39,162 39,255 7.380% due 08/01/2003 1,645 1,658 North Atlantic Energy 9.050% due 06/01/2002 3,948 3,988 Northern Illinois Gas Co. 6.450% due 08/01/2001 1,450 1,447 Northern Telecom Ltd. 8.750% due 06/12/2001 300 303 NRG Energy, Inc. 8.000% due 11/01/2003 6,000 6,044 NRG Northeast Generating LLC 8.070% due 12/15/2004 500 503 Nynex Corp. 9.550% due 05/01/2010 5,941 6,360 Ohio Bell Telephone Co. 5.380% due 03/01/2007 950 865 Ohio Power Co. 7.000% due 07/01/2004 24,000 23,828 Oxymar 7.500% due 02/15/2016 200 149 Pacific Gas & Electric Co. 6.750% due 12/01/2000 3,049 3,048 Pacific Northwest Bell 4.380% due 09/01/2002 50 48 Philadelphia Electric 5.630% due 11/01/2001 22,350 22,026 Philippine Long Distance Telephone Co. 7.850% due 03/06/2007 5,000 4,088 10.500% due 04/15/2009 5,000 4,515 PP&L, Inc. 6.130% due 05/01/2001 (d) 16,102 15,999 6.550% due 03/01/2006 500 486 PSEG Energy Holdings 9.130% due 02/10/2004 120 123 Public Service Co. of Colorado 6.000% due 04/15/2003 750 732 Public Service Electric & Gas 7.250% due 04/01/2001 (d) 3,191 3,191 6.130% due 08/01/2002 1,000 987 6.250% due 01/01/2007 1,500 1,416 Public Service Enterprise Group, Inc. 7.010% due 11/22/2000 (d) 11,000 11,002 7.040% due 06/15/2001 (d) 156,200 156,262 Queststar Pipeline 9.380% due 06/01/2021 200 208 RAS LAFFAN Liquid Natural Gas 8.290% due 03/15/2014 145 138 Reliant Energy, Inc. 9.380% due 06/01/2001 1,000 1,013 6.380% due 11/01/2003 22,250 21,802 8.750% due 03/01/2022 10,000 10,142 Rochester Telecom 8.950% due 08/07/2001 3,000 3,051 Scana Corp. 7.210% due 02/08/2002 (d) 3,100 3,102 7.380% due 07/15/2002 (d) 27,000 27,037 Sierra Pacific Power Co. 7.160% due 06/12/2001 (d) 39,000 39,000 Sierra Pacific Resources 7.340% due 04/20/2003 (d) 2,000 2,001 6.200% due 04/15/2004 20,000 19,009 SK Telecom Co. Ltd. 7.750% due 04/29/2004 5,000 4,961 Southern Energy 7.900% due 07/15/2009 175 166 Sprint Capital Corp. 6.500% due 11/15/2001 13,365 13,325 6.970% due 11/15/2001 (d) 101,700 101,745 8.130% due 07/15/2002 10,378 10,608 5.880% due 05/01/2004 43,500 41,718 System Energy Resources 7.380% due 10/01/2000 5,000 5,000 7.710% due 08/01/2001 5,800 5,817 Teco Energy, Inc. 5.540% due 09/15/2001 44,630 44,075 Telekomunikacja Polska SA 7.130% due 12/10/2003 12,200 11,935 7.750% due 12/10/2008 13,600 13,117 Tennessee Valley Authority 3.380% due 01/15/2007 (i) 10,893 10,211 0.000% due 04/15/2042 855 366 94 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------- Texas Utilities Co. 6.660% due 12/01/2000 $ 67,700 $ 67,700 7.210% due 06/25/2001 131,200 131,111 6.370% due 08/16/2001 1,000 990 7.590% due 09/24/2001 208,800 209,907 5.940% due 10/15/2001 3,000 2,961 6.500% due 08/16/2002 2,600 2,578 Toledo Edison Co. 8.180% due 07/30/2002 1,400 1,423 8.700% due 09/01/2002 14,500 14,738 7.850% due 03/31/2003 7,000 7,082 7.880% due 08/01/2004 500 507 TXU Eastern Funding 6.150% due 05/15/2002 53,800 52,657 6.450% due 05/15/2005 18,270 17,321 U.S. West Communications, Inc. 5.650% due 11/01/2004 9,000 8,470 6.630% due 09/15/2005 400 389 6.130% due 11/15/2005 400 380 Union Electric Co. 8.000% due 12/15/2022 1,000 981 United Telecom, Inc. 9.500% due 06/06/2001 150 152 Western Resources, Inc. 6.250% due 08/15/2003 6,600 5,932 Williams Cos., Inc. 6.130% due 02/01/2001 3,000 2,988 6.200% due 08/01/2002 4,000 3,947 Wilmington Trust Co. - Tucson Electric 10.730% due 01/01/2013 (l) 991 1,038 WorldCom, Inc. 6.130% due 08/15/2001 2,030 2,018 6.920% due 11/26/2001 (d) 12,700 12,713 6.400% due 08/15/2005 1,625 1,576 YPF Sociedad Anonima 7.250% due 03/15/2003 16,475 16,146 ------------- 2,152,502 ------------- Total Corporate Bonds & Notes 14,554,070 (Cost $14,785,594) ============= -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 0.8% -------------------------------------------------------------------------------- Alabama 0.0% Jefferson County Alabama Sewer Revenue Warrants, (FGIC Insured), Series 2000 6.560% due 02/01/2029 4,500 3,718 5.910% due 02/01/2036 625 547 Montgomery Alabama Special Care Facilities Financing Authority Revenue Bonds, (MBIA Insured), Series 1998 5.000% due 11/15/2029 2,000 1,743 ----------- 6,008 =========== California 0.1% California State Department of Water Resources Center Valley Project Revenue Bonds, Series 2000 6.030% due 12/01/2029 2,500 2,056 California State General Obligation, Series 2000 5.630% due 05/01/2026 5,270 5,342 5.750% due 05/01/2030 1,000 1,023 Cook County Illinois General Obligation (FGIC Insured), Series 1999 5.000% due 11/15/2028 6,445 5,688 Los Angeles California Wastewater System Revenue Bonds, (FGIC Insured), Series 2000 5.900% due 06/01/2028 6,500 4,396 Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue Bonds, (AMBAC Insured), Series 2000 5.740% due 07/01/2023 3,500 3,071 Orange County School Board, (MBIA Insured), Series 2000 5.710% due 08/01/2024 3,500 2,866 Port of Oakland California Revenue Bonds, (FGIC Insured), Series 2000 5.750% due 11/01/2029 1,000 1,019 San Diego Public Facilities Financing Authority Revenue Bonds, (FGIC Insured), Series 1999 5.000% due 05/15/2029 1,000 923 San Francisco California City & County Airport Community Revenue, (MBIA Insured), Series 1998 4.500% due 05/01/2028 6,700 5,650 ----------- 32,034 =========== Colorado 0.0% E-470 Public Highway Authority Revenue Bonds, (MBIA Insured), Series 2000 5.750% due 09/01/2035 2,500 2,497 ----------- Florida 0.1% Broward County Florida Airport System Revenue, (AMBAC Insured), Series 2000 5.030% due 10/01/2023 1,328 1,024 Florida State Board of Education General Obligation, (FGIC Insured), Series 2000 4.710% due 06/01/2023 3,500 2,310 Florida State Governmental Utility Authority Utility Revenue, (AMBAC Insured), Series 2000 5.710% due 10/01/2029 6,453 5,267 Florida State Turnpike Authority Revenue Bonds, (FGIC Insured), Series 2000 4.440% due 07/01/2027 6,323 4,007 Greater Orlando Aviation Authority, Orlando Florida Airport Facitities Revenue Bonds, (FGIC Insured), Series 1999 5.130% due 10/01/2028 2,000 1,800 Lakeland Florida Electric & Water Revenue, (MBIA Insured), Series 1999 5.000% due 10/01/2028 5,350 4,790 Modesto Public Financing Authority Lease Revenue, (AMBAC Insured), Series 2000 5.740% due 09/01/2029 2,500 2,125 Orange Tourist Florida Tourist Development Tax Revenue Bonds, (AMBAC Insured), Series 2000 5.500% due 10/01/2031 2,000 1,950 Tampa Florida Guaranteed Entitlement Revenue, (AMBAC Insured), Series 2001 6.000% due 10/01/2005 2,230 2,322 Tampa Florida Utility Tax & Special Revenue, (AMBAC Insured), Series 2001 6.000% due 10/01/2005 3,000 3,128 6.000% due 10/01/2008 1,500 1,586 ----------- 30,309 =========== Georgia 0.1% Atlanta Georgia Airport Revenue, (FGIC Insured), Series 2000 5.500% due 01/01/2026 1,000 975 Atlanta Georgia Water & Wastewater Revenue, (FGIC Insured), Series 1999 5.000% due 11/01/2038 44,600 39,205 Georgia Local Government Certificate Of Participation, (MBIA Insured), Series 2000 5.810% due 06/01/2028 9,950 6,866 ----------- 47,046 =========== See accompanying notes 95 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Hawaii 0.0% Honolulu Hawaii City & County Wastewater System Revenue, (FGIC Insured), Series 1998 5.000% due 07/01/2023 $ 6,935 $ 6,231 Honolulu Hawaii City & County Wastewater System Revenue, (FGIC Insured), Series 2000 5.210% due 07/01/2028 7,200 4,941 ---------- 11,172 ========== Illinois 0.0% Chicago Illinois Skyway Toll Bridge Revenue Bonds, (AMBAC Insured), Series 2000 5.500% due 01/01/2031 2,000 1,920 Chicago Illinois General Obligations Unlimited, (FGIC Insured), Series 2000 5.500% due 01/01/2040 3,500 3,321 Chicago Illinois Residual General Obligation, (MBIA Insured), Series 2000 5.960% due 01/01/2028 3,100 2,461 ---------- 7,702 ========== Kansas 0.0% Wichita Kansas Hospital Revenue Bonds, Series 1999 6.250% due 11/15/2024 1,000 1,000 ---------- Maryland 0.0% Maryland St. Health & Higher Educational Facilities Authority Revenue Bonds, Series 1999 6.000% due 07/01/2039 3,000 3,096 ---------- Massachusetts 0.1% E-470 Public Highway Residual 144a Revenue Bonds, (MBIA Insured), Series 2000 5.710% due 09/01/2021 2,590 2,104 Massachusetts Bay Transportation Authority Revenue Bonds, (MBIA Insured), Series 2000 5.260% due 03/01/2021 4,150 3,164 Massachusetts State Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2000 5.910% due 01/01/2039 10,250 7,982 Massachusetts State Turnpike Authority Revenue Bonds, (MBIA Insured), Series 2000 5.910% due 01/01/2037 13,550 10,620 ---------- 23,870 ========== Minnesota 0.0% Minnesota Agricultural & Economic Development Board Revenue Bonds, Series 2000 6.380% due 11/15/2029 1,000 1,003 St. Cloud Minnesota Health Care Revenue Bonds, Series 2000 5.750% due 05/01/2026 1,000 994 ---------- 1,997 ========== Mississippi 0.0% Mississippi Development Bank Special Obligation, (AMBAC Insured), Series 2000 5.810% due 07/01/2024 2,500 2,103 ---------- Nevada 0.1% Clark County Nevada General Obligations, (MBIA Insured), Series 2000 8.440% due 07/01/2030 20,913 19,422 Clark County Passenger Facility Charge Revenue Bonds, (MBIA Insured), Series 2000 5.210% due 07/01/2022 4,750 3,622 ---------- 23,044 ========== New Jersey 0.0% Essex County Improvement Authority Revenue Bonds, (FGIC Insured), Series 2000 5.750% due 10/01/2030 500 503 New Jersey Health Care Facilities Financing Authority Revenue Bonds, (MBIA Insured), Series 2000 5.130% due 07/01/2028 2,000 1,363 ---------- 1,866 ========== New York 0.2% Long Island Power Authority Revenue Bonds, (FSA Insured), Series 2000 6.160% due 12/01/2022 4,500 3,876 Long Island Power Authority Revenue Bonds, (MBIA Insured), Series 2000 6.410% due 12/01/2026 5,500 4,806 New York City Municipal Bond, Series 1997 6.960% due 08/01/2002 (d) 6,108 6,102 New York City Municipal Water Finance Authority, (MBIA-IBC Insured), Series 2000 5.130% due 06/15/2025 6,565 4,743 New York City Transitional Finance Authority Revenue Bonds, (FGIC Insured), Series 1998 4.750% due 11/15/2023 5,000 4,321 New York City Transitional Finance Authority Revenue Bonds, Series 2000 5.500% due 11/01/2024 2,500 2,431 New York City, New York General Obligation, Series D 6.900% due 08/01/2002 (d) 14,815 14,815 New York State Dorm Authority Lease Revenue Bonds, (FSA Insured), Series 1998 4.750% due 01/15/2029 3,850 3,267 New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 1998 5.000% due 02/15/2023 5,100 4,582 New York State Thruway Authority General Obligation, Series 1998 5.000% due 01/01/2025 300 267 Niagara Frontier Airport Revenue Bonds, (MBIA Insured), Series 1999 5.630% due 04/01/2029 1,000 969 Port Authority of New York & New Jersey Revenue Bonds, (MBIA Insured), Series 1997 5.750% due 12/01/2022 4,500 4,519 ---------- 54,698 ========== North Dakota 0.0% Mercer County Improvement Authority Revenue Bonds, Series 1978 5.800% due 01/01/2018 6,460 6,678 ---------- Ohio 0.0% Hamilton County Ohio Sales Tax Revenue Bonds, (MBIA Insured), Series 2000 5.460% due 12/01/2027 3,250 2,637 ---------- Pennsylvania 0.0% Allegheny County Hospital Development Authority Revenue Bonds, (MBIA Insured), Series 2000 A 6.500% due 11/15/2030 1,000 1,053 Philadelphia School District General Obligation Unlimited, (MBIA Insured), Series 2000 5.210% due 04/01/2027 3,150 2,217 Pittsburgh & Allegheny County Revenue Bonds, (AMBAC Insured), Series 1999 5.000% due 02/01/2029 500 446 ---------- 3,716 ========== 96 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Puerto Rico 0.0% Puerto Rico Commonwealth General Obligation, (MBIA Insured), Series 2000 5.875% due 07/01/2035 $ 8,920 $ 9,062 ----------- Texas 0.1% Dallas-Fort Worth International Airport Revenue, (FGIC Insured), Series 2000 6.000% due 11/01/2028 4,000 4,060 Harris County Health Facilities Development Corporation Revenue, (MBIA Insured), Series 2000 6.140% due 07/01/2021 3,500 2,993 Houston Independent School District General Obligation, (PSF Insured), Series 1999 4.750% due 02/15/2026 30,175 25,460 Houston Texas Airport System Revenue, (FGIC Insured), Series 1998 5.000% due 07/01/2025 5,500 4,904 Houston, Texas, Water & Sewer System Revenue, (FGIC Insured), Series 2000 5.250% due 12/01/2030 1,000 926 ----------- 38,343 =========== Utah 0.0% Weber County, Utah Hospital Revenue Bonds, Series 1999 5.000% due 08/15/2030 500 423 ----------- Washington State 0.0% Seattle Washington General Obligation, Series 2000 5.960% due 12/15/2028 3,000 2,378 ----------- Washington, DC 0.0% Washington D.C. Convention Center Authority Dedicated Tax Revenue, (AMBAC Insured), Series 2000 5.030% due 10/01/2028 6,500 4,688 ----------- Total Municipal Bonds & Notes 316,367 (Cost $315,244) =========== -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 0.8% -------------------------------------------------------------------------------- A.I.D. Housing Guarantee - Peru 9.980% due 08/01/2008 935 957 Federal Farm Credit Bank 6.400% due 01/16/2002 100 100 5.730% due 03/28/2003 300 295 Federal Home Loan Bank 7.270% due 02/15/2002 (d) 17,000 16,788 6.210% due 12/30/2002 200 198 5.130% due 09/15/2003 350 337 5.140% due 09/22/2003 600 576 6.000% due 06/30/2004 1,000 979 6.250% due 08/13/2004 250 248 6.030% due 01/22/2009 275 256 0.000% due 09/29/2017 2,000 487 0.000% due 09/10/2018 15,000 3,711 Federal Home Loan Mortgage Corp. 5.500% due 05/15/2002 435 429 7.000% due 02/15/2003 500 506 7.380% due 05/15/2003 3,500 3,574 6.880% due 01/15/2005 95 96 5.750% due 03/15/2009 1,955 1,824 6.630% due 09/15/2009 1,335 1,321 6.750% due 06/03/2013 400 373 Federal National Mortgage Assn. 0.000% due 08/15/2001 105 99 6.100% due 09/14/2001 100 100 5.380% due 03/15/2002 750 739 6.250% due 11/15/2002 115 114 6.000% due 03/03/2003 500 493 6.100% due 03/20/2003 250 247 5.500% due 12/29/2003 500 485 5.750% due 06/15/2005 900 872 6.560% due 12/10/2007 190 185 5.250% due 01/15/2009 80 72 6.630% due 09/15/2009 1,000 993 Small Business Administration 7.450% due 08/01/2010 107,300 109,273 Student Loan Marketing Assn. 6.840% due 04/25/2004 (d) 6,925 6,916 6.480% due 07/25/2004 (d) 842 840 6.740% due 10/25/2004 (d) 15,532 15,495 6.830% due 10/25/2004 (d) 24,678 24,639 6.710% due 10/25/2005 (d) 14,542 14,490 6.920% due 04/25/2006 (d) 84,060 83,739 ----------- Total U.S. Government Agencies 292,846 (Cost $282,885) =========== -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 13.7% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (i) 3.630% due 07/15/2002 1,118,428 1,118,079 3.380% due 01/15/2007 (j) 239,835 231,965 3.630% due 01/15/2008 (j) 456,306 445,897 3.880% due 01/15/2009 (j) 218,316 216,542 3.630% due 04/15/2028 (j) 70,496 67,015 3.880% due 04/15/2029 (j) 6,703 6,661 U.S. Treasury Bonds 12.380% due 05/15/2004 1,000 1,206 0.000% due 02/15/2015 188,900 280,812 8.130% due 08/15/2019 31,000 37,859 0.000% due 08/15/2020 349,245 453,691 8.130% due 05/15/2021 57,500 70,887 8.130% due 08/15/2021 134,200 165,653 8.000% due 11/15/2021 142,620 174,264 7.250% due 08/15/2022 275 313 6.250% due 08/15/2023 1,425 1,452 0.000% due 02/15/2026 184,400 182,729 6.130% due 11/15/2027 200 202 5.500% due 08/15/2028 59,900 55,613 6.130% due 08/15/2029 8,000 8,173 6.250% due 05/15/2030 535,200 562,797 U.S. Treasury Notes 6.750% due 05/15/2005 235,000 243,519 5.630% due 05/15/2008 500 491 6.500% due 02/15/2010 320 333 U.S. Treasury Strips 0.000% due 05/15/2013 4,500 2,096 0.000% due 02/15/2014 64,900 28,801 0.000% due 02/15/2015 135,000 56,298 0.000% due 05/16/2015 152,700 62,719 0.000% due 08/15/2015 170,400 68,833 0.000% due 11/15/2018 108,200 35,915 0.000% due 11/15/2021 795,000 222,563 0.000% due 11/15/2024 207,000 49,161 ----------- Total U.S. Treasury Obligations 4,852,539 (Cost $4,846,168) =========== -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 73.3% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 22.5% ABN AMRO Mortgage Corp. 6.750% due 09/25/2028 3,765 3,547 6.500% due 06/25/2029 7,093 6,516 ABSC Long Beach Home Equity Loan Trust 6.880% due 08/31/2030 (d) 137,705 137,705 American Southwest Financial Securities Corp. 7.400% due 11/17/2004 34,802 35,077 12.250% due 11/01/2014 32 32 12.500% due 04/01/2015 279 281 12.000% due 05/01/2015 498 507 7.250% due 11/25/2038 54,826 53,198 Aurora Loan Services 7.340% due 05/25/2030 (d) 42,548 42,481 Banc of America Funding Corporation 6.750% due 11/20/2032 17,000 16,074 Bank of America Mortgage Securities, Inc. 6.250% due 07/25/2014 10,040 9,533 6.250% due 08/25/2028 25,000 22,518 6.500% due 05/25/2029 35,565 32,818 7.250% due 10/25/2029 10,371 9,356 See accompanying notes 97 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Bear Stearns Mortgage Securities, Inc. 7.000% due 08/20/2018 $ 9,999 $ 9,457 7.380% due 10/25/2023 (d) 3,046 3,227 6.350% due 08/25/2024 1,481 1,474 10.000% due 08/25/2024 5,000 5,606 7.000% due 03/25/2027 7,000 6,738 8.130% due 09/25/2027 3,000 3,020 7.450% due 12/25/2027 62 62 7.000% due 02/25/2028 10,000 9,624 7.000% due 05/20/2030 34,574 33,869 7.170% due 06/25/2030 6,890 6,802 Capital Asset Research Funding LP 5.910% due 12/15/2005 153 152 Cendant Mortgage Corp. 7.250% due 04/18/2013 829 827 6.510% due 11/18/2028 (d) 13,739 12,760 6.500% due 11/18/2028 (d) 5,952 5,009 Centre Re 6.720% due 02/01/2009 30,620 29,308 Chase Mortgage Finance Corp. 8.250% due 10/25/2010 231 230 7.000% due 07/25/2024 2,275 2,262 7.000% due 08/25/2024 2,890 2,810 6.750% due 03/25/2025 11,449 9,911 6.320% due 04/25/2025 (d) 17,759 17,939 6.750% due 10/25/2028 39,000 36,712 6.350% due 07/25/2029 70,207 69,509 Chemical Mortgage Securities 7.250% due 01/25/2026 11,477 11,356 Citicorp Mortgage Securities, Inc. 7.650% due 10/25/2022 (d) 9,687 9,709 6.250% due 04/25/2024 11,796 10,407 6.250% due 05/25/2024 3,753 3,726 7.250% due 10/25/2027 20,462 19,666 6.750% due 09/25/2028 8,806 8,354 5.900% due 05/25/2029 12,282 12,199 CMC Securities Corp. 7.520% due 09/25/2023 (d) 0 3,454 8.420% due 04/25/2025 (d) 154 156 7.250% due 11/25/2027 9,293 9,115 6.150% due 05/25/2028 (d) 72 72 6.750% due 05/25/2028 5,000 4,720 CMSI 2000 7.500% due 10/30/2030 11,233 10,524 Collateralized Mortgage Obligation Trust 10.200% due 02/01/2016 2,259 2,276 7.250% due 04/23/2017 62 62 8.000% due 09/20/2021 6,301 6,293 Collateralized Mortgage Securities Corp. 11.450% due 09/01/2015 969 979 11.450% due 11/01/2015 (d) 2 2 8.750% due 04/20/2019 403 411 COMM 6.150% due 02/15/2008 15,326 14,896 6.490% due 12/16/2011 (d) 9,000 9,014 Countrywide Alternative Loan Trust 8.000% due 07/25/2030 21,089 21,340 Countrywide Funding Corp. 6.630% due 02/25/2024 33,827 31,226 Countrywide Home Loans 6.500% due 07/25/2013 5,676 5,293 8.790% due 07/25/2024 (d) 2,314 2,332 6.750% due 11/25/2025 25,567 22,795 7.500% due 04/25/2027 1,534 1,533 7.500% due 06/25/2027 12,122 12,142 7.500% due 09/25/2027 20,000 19,704 7.250% due 12/25/2027 6,224 5,965 7.250% due 02/25/2028 57,846 55,542 6.750% due 06/25/2028 15,103 13,461 6.750% due 08/25/2028 10,024 9,945 6.750% due 11/25/2028 3,000 2,803 6.500% due 01/25/2029 24,978 23,306 6.500% due 03/25/2029 21,744 20,032 6.050% due 04/25/2029 1,337 1,320 7.250% due 08/25/2029 5,700 5,381 7.750% due 08/31/2030 29,310 27,761 Crusade Global Trust 7.010% due 05/15/2021 (d) 100,000 100,250 CS First Boston Mortgage Securities Corp. 6.750% due 12/27/2028 12,607 10,467 6.960% due 06/20/2029 124 124 DLJ Commercial Mortgage Corp. 6.880% due 05/05/2003 (d) 31,164 31,183 DLJ Mortgage Acceptance Corp. 8.670% due 05/25/2024 (d) 107 109 6.850% due 12/17/2027 6,605 6,585 Donaldson, Lufkin & Jenrette, Inc. 6.450% due 08/01/2021 (d)(l) 3,985 4,256 8.410% due 12/25/2022 (d) 1,593 1,614 8.580% due 03/25/2024 (d) 460 468 Drexel Mortgage Funding 9.500% due 11/20/2017 622 626 DVI Business Credit Receivable 6.460% due 10/15/2003 (d) 3,850 3,891 FBS Mortgage Corp. 7.140% due 11/25/2024 364 363 Federal Home Loan Mortgage Corp. 8.000% due 03/15/2002 103 103 6.750% due 10/15/2003 14,399 14,364 7.000% due 10/15/2003 3,497 3,498 7.500% due 11/01/2003 4,476 4,513 7.000% due 12/15/2003 89 89 10.150% due 04/15/2006 8 8 6.500% due 07/15/2006 7,832 7,799 6.500% due 08/15/2006 523 520 6.770% due 03/12/2007 400 403 7.500% due 05/01/2007 1,345 1,363 5.500% due 10/15/2007 4,494 4,450 6.500% due 05/15/2008 1,000 993 3.050% due 06/15/2008 (d) 157 144 7.000% due 08/15/2008 3,353 361 6.000% due 11/15/2008 225 218 6.200% due 12/15/2008 4,487 4,164 6.000% due 03/15/2009 265 258 7.550% due 03/15/2012 180 181 8.500% due 08/15/2013 2,000 2,051 8.500% due 09/15/2013 5,941 6,066 6.000% due 11/15/2014 400 360 5.400% due 05/25/2016 1,675 1,664 6.250% due 10/15/2017 16,572 16,466 5.900% due 03/15/2018 3,420 3,399 6.350% due 03/25/2018 179 177 5.250% due 05/15/2018 156 155 10.000% due 08/01/2018 57 60 6.500% due 10/15/2018 480 19 6.400% due 02/15/2019 13,420 13,329 6.500% due 05/15/2019 173 172 5.800% due 06/15/2019 5,032 5,004 6.250% due 07/15/2019 18,216 18,086 5.000% due 08/15/2019 85 84 7.500% due 01/15/2020 2,676 2,671 7.080% due 06/15/2020 (d) 88 88 5.250% due 07/15/2020 304 299 5.500% due 10/15/2020 55 54 9.500% due 11/15/2020 3,189 3,366 9.000% due 12/15/2020 795 822 8.750% due 12/15/2020 1,265 1,295 6.000% due 12/15/2020 252 242 9.000% due 12/15/2020 1,602 1,653 9.500% due 01/15/2021 1,955 2,056 6.250% due 01/15/2021 200 196 8.000% due 04/15/2021 89 91 6.500% due 05/15/2021 104 103 6.500% due 05/17/2021 57 55 8.500% due 06/15/2021 24,203 24,926 6.950% due 07/15/2021 439 441 9.000% due 07/15/2021 1,969 2,051 9.500% due 07/15/2021 1,203 1,310 8.000% due 07/15/2021 9,502 9,533 6.200% due 08/15/2021 1,158 1,148 6.950% due 08/15/2021 157 154 98 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------- 8.000% due 08/15/2021 $ 23,472 $ 23,808 7.000% due 09/15/2021 274 272 6.500% due 09/15/2021 29,896 29,579 7.000% due 10/15/2021 9 9 8.000% due 12/15/2021 18,405 18,931 6.850% due 01/15/2022 700 692 8.250% due 06/15/2022 5,000 5,101 7.000% due 07/15/2022 9,380 9,144 8.500% due 10/15/2022 7,029 7,303 7.500% due 01/15/2023 17,740 17,313 7.000% due 05/15/2023 10,499 9,810 7.000% due 07/15/2023 270 246 7.500% due 07/15/2023 395 399 6.500% due 07/15/2023 272 266 6.500% due 08/15/2023 141,607 140,328 6.850% due 10/25/2023 3,059 2,992 6.500% due 11/15/2023 135 117 7.500% due 01/20/2024 103 103 5.000% due 02/15/2024 116 97 6.500% due 02/15/2024 21 21 6.500% due 03/15/2024 320 283 8.000% due 04/25/2024 475 484 6.250% due 05/15/2024 13,357 11,838 7.250% due 08/15/2024 190 190 8.000% due 09/15/2024 16,250 16,398 7.500% due 02/15/2025 3,620 3,639 7.000% due 09/17/2025 40 39 6.500% due 03/15/2026 110 104 8.020% due 10/01/2026 (d) 2,926 2,985 6.000% due 11/15/2026 550 510 7.500% due 01/15/2027 25,182 24,035 7.000% due 01/15/2027 61 61 8.000% due 02/15/2027 34,599 34,657 7.500% due 03/17/2027 20,000 19,806 6.750% due 05/15/2027 824 819 7.500% due 06/20/2027 19,568 18,783 6.500% due 08/15/2027 15,642 12,949 6.500% due 10/15/2027 32,300 29,407 6.000% due 11/15/2027 665 616 6.500% due 01/25/2028 8,691 7,893 7.000% due 02/15/2028 1,593 1,520 6.500% due 04/15/2028 158,188 144,424 6.500% due 05/15/2028 48,000 43,284 6.500% due 06/15/2028 61,318 51,465 6.500% due 06/20/2028 23,392 19,621 6.500% due 07/15/2028 70,438 58,390 6.500% due 08/15/2028 275,986 229,683 7.000% due 11/15/2028 9,000 8,570 6.500% due 12/15/2028 7,057 5,506 6.000% due 12/15/2028 23,099 18,817 6.250% due 12/15/2028 1,673 1,376 6.500% due 01/15/2029 10,411 9,614 6.000% due 02/15/2029 3,873 2,877 6.500% due 03/15/2029 25,864 22,421 6.500% due 06/01/2029 106 102 6.500% due 07/01/2029 1,084 1,043 8.000% due 07/15/2029 1,250 1,222 7.500% due 08/15/2030 201 192 7.000% due 09/15/2030 (d) 18,100 15,280 7.120% due 09/30/2030 15,200 15,053 7.500% due 10/15/2030 27,350 25,991 6.500% due 08/15/2032 (d) 26,172 25,687 Federal National Mortgage Assn. 9.100% due 02/25/2002 194 193 7.500% due 05/25/2005 6,700 6,757 7.500% due 02/25/2006 375 377 6.500% due 05/01/2006 142 141 6.500% due 07/25/2006 50 50 8.000% due 11/25/2006 30 30 6.350% due 12/25/2006 8 8 6.000% due 07/25/2007 300 296 5.580% due 08/25/2007 (d) 10 9 6.740% due 08/25/2007 145 142 6.270% due 09/25/2007 3,000 2,852 7.000% due 10/25/2007 200 200 6.500% due 05/25/2008 500 497 10.500% due 08/25/2008 7,146 7,851 6.000% due 08/25/2008 69 68 7.450% due 09/25/2008 (d) 1,606 1,463 6.750% due 11/25/2010 886 881 7.000% due 01/25/2011 100 99 6.000% due 03/18/2015 11,217 11,128 8.000% due 12/25/2016 181 183 9.250% due 04/25/2018 173 182 9.300% due 05/25/2018 672 699 9.500% due 06/25/2018 564 589 7.210% due 06/25/2018 (d) 3 3 9.500% due 11/25/2018 6,998 7,155 6.000% due 02/25/2019 4,242 4,195 6.500% due 03/25/2019 885 872 9.500% due 06/25/2019 1,339 1,400 5.650% due 07/25/2019 457 454 9.300% due 08/25/2019 73 77 6.350% due 08/25/2019 207 205 8.000% due 10/25/2019 620 618 9.000% due 12/25/2019 5,985 6,159 7.500% due 12/25/2019 74 73 7.500% due 05/25/2020 3,225 3,241 6.750% due 06/25/2020 248 247 7.080% due 07/18/2020 (d) 46 46 7.000% due 07/25/2020 327 326 9.000% due 09/25/2020 3,338 3,452 7.000% due 09/25/2020 12,693 12,648 6.500% due 09/25/2020 1,367 1,355 5.000% due 09/25/2020 200 190 8.000% due 12/25/2020 26,225 26,782 7.160% due 12/25/2020 (d) 10 10 8.750% due 01/25/2021 3,151 3,232 9.000% due 01/25/2021 5,264 5,483 5.750% due 02/18/2021 100 96 7.500% due 03/25/2021 2,159 2,150 9.000% due 03/25/2021 459 473 7.000% due 05/25/2021 300 293 7.500% due 06/25/2021 46 46 6.500% due 06/25/2021 6,096 5,834 8.000% due 07/25/2021 14,905 15,091 8.500% due 09/25/2021 5,376 5,544 7.000% due 10/25/2021 9,317 9,113 8.000% due 10/25/2021 22,645 22,940 7.000% due 11/25/2021 23,206 23,031 6.000% due 12/25/2021 34 34 4.000% due 01/25/2022 126 113 8.000% due 01/25/2022 21,700 21,968 8.000% due 03/25/2022 72 72 7.000% due 04/25/2022 17,091 16,299 5.000% due 04/25/2022 48 44 10.000% due 05/01/2022 133 141 7.380% due 05/25/2022 9,227 9,100 7.000% due 06/25/2022 1,276 1,249 8.000% due 06/25/2022 3,861 3,915 8.000% due 07/25/2022 60,892 61,455 7.000% due 07/25/2022 5,582 5,516 6.500% due 10/25/2022 4,048 3,672 7.800% due 10/25/2022 3,328 3,325 6.500% due 12/25/2022 195 192 7.000% due 03/25/2023 28,890 27,361 6.500% due 05/18/2023 10,717 10,601 6.900% due 05/25/2023 159 142 7.000% due 06/25/2023 5,258 4,769 6.000% due 08/25/2023 2,703 2,529 6.500% due 08/25/2023 35 34 6.000% due 08/25/2023 11,122 9,496 1.000% due 09/25/2023 226 204 6.750% due 09/25/2023 3,971 3,558 6.750% due 10/25/2023 597 512 7.500% due 10/25/2023 50 51 6.500% due 11/25/2023 85 83 6.500% due 12/25/2023 1,317 1,145 7.100% due 12/25/2023 6,769 6,465 6.500% due 01/25/2024 2,656 2,386 See accompanying notes 99 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- 7.250% due 02/25/2024 $ 17 $ 17 6.500% due 02/25/2024 5,150 4,794 7.500% due 06/20/2024 106 107 6.500% due 08/17/2024 17,000 16,096 7.000% due 02/18/2025 121 121 6.600% due 05/18/2025 219 212 7.500% due 11/17/2025 289 286 7.500% due 12/25/2025 360 354 7.000% due 02/15/2026 180 178 7.000% due 07/18/2026 450 433 6.500% due 09/18/2026 120 114 7.000% due 12/18/2026 16,310 15,014 6.000% due 12/25/2026 170 157 6.000% due 03/25/2027 320 295 6.000% due 05/17/2027 5,470 4,756 6.500% due 07/18/2027 173 148 7.000% due 07/18/2027 460 446 8.000% due 08/18/2027 286 79 7.500% due 08/20/2027 2,503 2,398 6.890% due 02/01/2028 (d) 1,292 1,328 7.020% due 04/18/2028 (d) 3,211 3,216 6.500% due 06/25/2028 4,700 4,325 6.500% due 07/18/2028 67,412 60,818 6.000% due 07/18/2028 8,649 6,778 9.100% due 09/25/2028 20,532 22,196 6.250% due 02/25/2029 500 429 6.000% due 04/25/2029 10,809 7,804 7.120% due 08/25/2030 (d) 94,976 94,925 7.070% due 09/01/2030 (d) 85,000 84,920 6.300% due 10/17/2038 15,471 13,551 First Commonwealth Savings & Loan 10.380% due 04/01/2005 16 17 First Nationwide Trust 6.500% due 03/25/2029 4,400 4,128 6.750% due 07/25/2029 5,498 5,462 7.750% due 09/19/2030 6,000 5,544 First Union Residential Securitization, Inc. 7.000% due 04/25/2025 356 346 6.750% due 08/25/2028 9,048 8,047 Gaston Oaks PLC 6.930% due 01/01/2036 4,922 4,871 General Electric Capital Mortgage Services, Inc. 6.000% due 01/25/2009 1,148 1,140 6.750% due 12/25/2012 2,498 2,479 6.500% due 09/25/2023 1,175 1,019 6.500% due 12/25/2023 8,631 7,454 6.500% due 01/25/2024 3,895 3,339 6.500% due 02/25/2024 1 1 6.500% due 03/25/2024 66,953 61,533 6.500% due 04/25/2024 66,640 55,826 7.250% due 05/25/2026 3,780 3,663 7.500% due 06/25/2027 21,893 21,707 7.500% due 07/25/2027 10,129 9,926 7.000% due 10/25/2027 14,502 13,726 7.000% due 11/25/2027 72,500 69,853 6.650% due 05/25/2028 6,902 6,833 6.750% due 05/25/2028 23,934 21,974 6.750% due 06/25/2028 20,517 19,333 6.550% due 06/25/2028 23,450 22,829 6.600% due 06/25/2028 7,106 7,045 6.750% due 06/25/2028 1,314 1,304 6.750% due 10/25/2028 9,311 8,785 6.250% due 12/25/2028 54,952 49,910 6.500% due 12/25/2028 19,500 18,009 6.500% due 05/25/2029 9,858 9,075 6.750% due 05/25/2029 20,000 18,531 6.500% due 07/25/2029 95,240 87,417 5.950% due 07/25/2029 24,794 24,466 6.000% due 07/25/2029 23,507 23,065 6.250% due 07/25/2029 132,674 128,277 7.250% due 08/25/2029 8,000 7,606 7.000% due 09/25/2029 15,957 15,013 General Motors Acceptance Corp. 6.920% due 07/20/2002 (d) 3,287 3,287 6.700% due 03/15/2008 29,732 28,905 GGP-Homart 7.040% due 06/10/2003 (d) 19,600 19,643 GMAC Commercial Mortgage Securities, Inc. 6.150% due 11/15/2007 264 256 6.970% due 05/15/2008 28,427 28,360 6.570% due 09/15/2033 30,119 29,617 6.950% due 09/15/2033 25,060 24,703 GMAC Mortgage Corporation Loan Trust 7.500% due 05/25/2030 12,000 11,895 Goldman Sachs Mortgage Corp. 6.000% due 12/31/2007 (l) 8,635 8,030 Government National Mortgage Association 6.250% due 06/20/2022 43,622 43,216 7.220% due 06/20/2023 (d) 48,214 48,122 7.250% due 12/16/2023 7,444 7,468 7.000% due 01/15/2024 414 409 8.000% due 05/16/2024 73 73 7.000% due 03/20/2026 320 310 7.000% due 08/20/2026 114 111 7.500% due 02/16/2027 1 1 7.500% due 07/16/2027 29,918 28,903 7.000% due 12/20/2027 18,416 17,479 6.500% due 06/20/2028 30,965 25,382 6.500% due 07/20/2028 39,127 31,695 6.500% due 09/20/2028 28,461 23,948 6.500% due 01/20/2029 27,852 23,106 6.500% due 03/20/2029 16,259 14,914 8.000% due 03/20/2029 7,151 7,305 6.000% due 05/20/2029 10,831 8,518 7.500% due 01/20/2030 315 310 7.500% due 09/20/2030 5,000 4,774 7.130% due 09/20/2030 (d) 13,800 13,797 7.070% due 10/30/2030 58,500 58,518 Greenwich 7.980% due 04/25/2022 (d) 425 424 7.810% due 07/25/2022 (d) 109 108 8.150% due 10/25/2022 (d) 55 55 8.190% due 04/25/2023 (d) 918 915 8.780% due 04/25/2024 (d) 848 858 8.860% due 06/25/2024 (d) 493 500 9.690% due 08/25/2024 (d) 914 923 9.480% due 11/25/2024 (d) 195 195 GS Mortgage Securities Corp. 6.060% due 10/18/2030 0 0 Harborview Mortgage Loan Trust 7.470% due 08/19/2030 22,975 23,176 Headlands Mortgage Securities, Inc. 7.250% due 11/25/2012 2,043 2,043 7.160% due 12/25/2012 775 773 7.250% due 11/25/2027 18,456 18,260 7.000% due 02/25/2028 560 557 ICI Funding Corp. Secured Assets Corp. 7.250% due 09/25/2027 18,068 17,744 7.750% due 03/25/2028 1,868 1,819 Impac CMB Trust 6.870% due 07/25/2028 (d) 1,061 1,062 Impac Secured Assets CMN Owner Trust 7.320% due 10/25/2030 (d) 62,000 62,000 Imperial CMB Trust 6.950% due 09/25/2026 (d) 6,035 6,039 6.650% due 11/25/2029 1,063 1,055 Independent National Mortgage Corp. 6.650% due 10/25/2024 2,723 2,633 9.140% due 11/25/2024 (d) 5 5 8.560% due 11/25/2024 (d) 1,140 1,155 8.750% due 12/25/2024 30 31 9.070% due 01/25/2025 (d) 107 109 8.000% due 06/25/2025 7 7 8.230% due 07/25/2025 (d) 6,762 6,821 7.500% due 09/25/2025 782 780 International Mortgage Acceptance Corp. 12.250% due 03/01/2014 255 291 J.P. Morgan Commercial Mortgage Finance Corp. 8.230% due 02/25/2028 1,615 1,617 6.530% due 01/15/2030 20,000 19,545 100 See accompanying notes Principal Amount Value (000s) (000s) Kidder Peabody Acceptance Corp. 8.310% due 09/25/2024 (d) $ 7,392 $ 7,417 LB Mortgage Trust 8.400% due 01/20/2017 38,879 40,339 Mellon Residential Funding Corp. 6.500% due 02/25/2028 10,000 8,663 6.350% due 06/25/2028 22,000 21,585 6.110% due 01/25/2029 23,900 22,922 6.570% due 07/25/2029 44,000 42,688 6.580% due 07/25/2029 55,500 54,805 6.460% due 07/25/2029 6,631 6,602 Merrill Lynch Mortgage Investors, Inc. 7.000% due 06/15/2021 2,182 2,187 7.150% due 06/15/2021 (d) 4,694 4,617 7.410% due 06/15/2021 (d) 4,404 4,340 6.950% due 06/18/2029 36,420 36,421 Midland Realty Acceptance Corp. 7.020% due 01/25/2029 19,667 19,552 MLCC Mortgage Investors, Inc. 6.870% due 09/15/2026 (d) 18,580 18,556 Morgan Stanley Capital 6.860% due 05/15/2006 2,041 2,037 6.190% due 01/15/2007 20,866 20,449 6.160% due 04/03/2009 13,464 13,058 7.460% due 02/15/2020 11,450 11,640 6.590% due 10/03/2030 6,612 6,546 Morgan Stanley, Dean Witter, Discover and Co. 6.850% due 07/25/2027 (d) 677 673 Mortgage Capital Funding, Inc. 7.800% due 04/15/2006 500 510 7.010% due 09/20/2006 15,545 15,399 7.600% due 05/25/2027 12,959 13,133 NationsBanc Montgomery Funding Corp. 6.750% due 06/25/2028 10,000 9,419 6.500% due 07/25/2028 14,470 13,325 6.750% due 08/25/2028 20,009 18,191 6.250% due 10/25/2028 2,000 1,804 Nationslink Funding Corp. 5.810% due 02/10/2001 14,502 14,444 6.330% due 10/22/2004 6,542 6,447 6.650% due 02/10/2006 12,124 11,968 6.970% due 04/10/2007 (d) 7,417 7,419 Nomura Asset Securities Corp. 8.490% due 05/25/2024 (d) 1,701 1,743 Norwest Asset Securities Corp. 6.750% due 12/25/2012 16,624 16,427 6.500% due 06/25/2013 3,129 3,059 7.500% due 03/25/2027 1,943 1,938 6.750% due 09/25/2027 2,957 2,899 6.350% due 04/25/2028 1,747 1,733 6.750% due 05/25/2028 5,000 4,587 6.250% due 08/25/2028 4,355 4,307 6.250% due 09/25/2028 418 377 6.750% due 10/25/2028 18,215 17,208 6.500% due 12/25/2028 20,000 18,448 6.500% due 01/25/2029 373 279 6.500% due 02/25/2029 67,312 62,208 6.500% due 04/25/2029 26,751 24,622 6.300% due 04/25/2029 8,082 7,847 6.200% due 04/25/2029 77,385 74,553 5.950% due 04/25/2029 111,948 108,611 6.000% due 05/25/2029 19,713 19,332 6.250% due 05/25/2029 504 485 6.500% due 06/25/2029 46,178 42,395 6.750% due 08/25/2029 1,267 1,255 7.000% due 09/25/2029 3,451 2,888 6.500% due 10/25/2029 1,980 1,824 7.000% due 11/25/2029 14,870 14,238 7.250% due 02/25/2030 19,756 18,206 PaineWebber Mortgage 6.000% due 04/25/2009 11,951 11,435 PHH Mortgage Services Corp. 7.180% due 11/18/2027 956 911 PNC Mortgage Securities Corp. 6.750% due 06/25/2016 10,346 10,242 7.000% due 10/25/2027 36,034 34,747 6.750% due 12/25/2027 7,230 6,507 6.990% due 02/25/2028 9,574 9,358 6.500% due 02/25/2028 1,221 1,213 7.000% due 02/25/2028 25,604 24,686 6.630% due 03/25/2028 1,750 1,723 7.000% due 05/25/2028 6,422 6,373 6.550% due 07/25/2028 24,500 24,240 6.750% due 07/25/2028 3,527 3,326 6.750% due 09/25/2028 3,996 3,766 6.750% due 10/25/2028 26,133 24,476 6.750% due 12/25/2028 21,709 20,402 6.500% due 01/25/2029 999 922 6.250% due 01/25/2029 9,263 8,352 6.300% due 03/25/2029 10,000 9,051 6.500% due 06/25/2029 48,600 44,628 6.200% due 06/25/2029 50,581 49,496 7.750% due 07/25/2030 78,448 78,300 7.500% due 09/29/2030 500 501 Potomac Gurnee Finance Corp. 6.890% due 12/21/2026 47 46 Prudential Bache 6.710% due 09/01/2018 (d) 215 212 8.400% due 03/20/2021 5,974 6,120 Prudential Home Mortgage Securities 7.000% due 01/25/2008 23,860 23,644 6.750% due 08/25/2008 414 412 6.400% due 04/25/2009 697 692 6.950% due 11/25/2022 222 204 7.000% due 07/25/2023 11,428 11,321 6.750% due 10/25/2023 9,611 7,958 5.900% due 12/25/2023 5,036 4,965 6.050% due 04/25/2024 2,546 2,520 6.800% due 05/25/2024 10,970 9,175 6.450% due 11/25/2025 5,264 4,584 Prudential Securities Secured Financing Corp. 6.070% due 01/15/2008 12,480 12,061 6.960% due 06/15/2008 20,592 20,555 PSB Financial Corp. 11.050% due 12/01/2015 440 448 Resecuritization Mortgage Trust 6.750% due 06/19/2028 18,235 17,146 Residential Accredit Loans, Inc. 7.450% due 04/25/2023 960 956 7.500% due 08/25/2027 15,000 14,866 6.500% due 02/25/2028 20,616 20,459 7.000% due 02/25/2028 41,115 39,716 6.500% due 12/25/2028 400 369 6.500% due 05/25/2029 3,000 2,765 6.750% due 06/25/2029 1,576 1,543 7.000% due 07/25/2029 468 462 7.750% due 03/25/2030 4,389 4,418 Residential Asset Securitization Trust 7.000% due 03/25/2027 10 10 7.380% due 03/25/2027 5,142 5,026 7.000% due 10/25/2027 19,541 19,097 7.000% due 01/25/2028 20,000 18,906 6.750% due 06/25/2028 14,914 14,701 6.500% due 12/25/2028 1,250 1,132 6.500% due 03/25/2029 22,700 21,416 7.320% due 09/25/2030 (d) 16,648 16,768 Residential Funding Mortgage Securities, Inc. 7.000% due 08/25/2008 5,237 5,215 7.500% due 09/25/2011 14,406 14,493 7.000% due 05/25/2012 3,095 3,050 6.500% due 12/25/2012 21,417 20,597 7.750% due 09/25/2022 417 418 8.000% due 01/25/2023 2,725 2,745 8.000% due 02/25/2023 9,675 9,764 6.500% due 11/25/2023 1,660 1,504 6.000% due 03/25/2024 1,418 1,408 7.500% due 09/25/2025 11,897 11,899 7.500% due 12/25/2025 944 947 See accompanying notes 101 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- 7.750% due 11/25/2026 $ 9,000 $ 9,122 7.500% due 04/25/2027 6,217 6,160 7.500% due 06/25/2027 53,035 52,584 7.500% due 07/25/2027 25,265 25,405 7.250% due 08/25/2027 16,000 15,602 7.250% due 10/25/2027 42,033 40,796 7.000% due 11/25/2027 17,000 16,291 6.750% due 02/25/2028 12,742 12,486 6.750% due 05/25/2028 60,741 56,513 6.750% due 06/25/2028 69,960 65,112 6.750% due 07/25/2028 9,000 8,471 6.750% due 08/25/2028 10,000 9,347 6.750% due 09/25/2028 66,493 62,546 6.500% due 10/25/2028 52,000 47,981 6.250% due 11/25/2028 3,000 2,716 6.500% due 12/25/2028 23,400 21,578 6.500% due 01/25/2029 72,314 66,473 6.500% due 03/25/2029 6,980 6,500 6.200% due 05/25/2029 66,252 65,527 6.500% due 06/25/2029 11,335 8,559 6.750% due 07/25/2029 22,600 21,152 7.000% due 10/25/2029 25,260 24,140 7.500% due 11/25/2029 12,338 11,890 Resolution Trust Corp. 8.690% due 08/25/2021 6,609 6,582 8.140% due 10/25/2021 (d) 142 141 5.570% due 10/25/2021 (d) 133 130 8.630% due 10/25/2021 129 129 8.710% due 05/25/2022 (d) 1,356 1,329 8.630% due 08/25/2023 (d) 1,850 1,853 8.840% due 12/25/2023 3,300 3,372 9.450% due 05/25/2024 1,431 1,425 8.000% due 04/25/2025 167 161 8.000% due 06/25/2026 253 248 8.170% due 10/25/2028 (d) 5,276 5,399 7.420% due 10/25/2028 (d) 13,604 13,501 7.510% due 05/25/2029 (d) 2,670 2,675 7.030% due 05/25/2029 (d) 2,631 2,588 RMF Commercial Mortgage Securities, Inc. 6.720% due 01/15/2019 235 229 Ryan Mortgage Acceptance Corp. 9.450% due 10/01/2016 78 81 Ryland Acceptance Corp. 11.500% due 12/25/2016 84 90 8.200% due 09/25/2022 17 17 Ryland Mortgage Securities Corp. 8.200% due 06/25/2021 35 35 8.430% due 08/25/2022 (d) 1,803 1,810 8.020% due 08/25/2029 (d) 2,089 2,101 7.240% due 10/25/2031 (d) 3,035 3,018 Salomon Brothers Mortgage Securities 9.110% due 07/01/2024 (d) 4,110 4,135 6.960% due 04/25/2029 (d) 21,863 21,881 7.000% due 04/25/2029 (d) 7,709 7,701 6.920% due 06/25/2029 (d) 40,316 40,319 7.020% due 09/25/2029 (d) 398 400 Salomon Smith Barney Holdings, Inc. 6.630% due 07/01/2002 55 55 Santa Barbara Savings 9.500% due 11/20/2018 2,032 2,058 Saxon Mortgage 6.250% due 04/25/2009 3,169 3,136 6.500% due 02/25/2024 1,820 1,795 9.070% due 09/25/2024 (d) 3,159 3,187 Sears Mortgage Securities 6.280% due 12/25/2028 281 274 Securitized Asset Sales, Inc. 8.500% due 10/25/2023 (d) 1,375 1,370 8.510% due 12/26/2023 (d) 745 753 7.410% due 09/25/2024 (d) 9,900 9,944 Security Pacific National Bank 6.380% due 03/25/2018 (d) 86 83 Sequoia Mortgage Trust 6.350% due 09/25/2025 (d) 6,000 5,847 Small Business Investment Co. 7.540% due 08/10/2009 75,600 77,349 8.020% due 02/10/2010 102,039 107,158 7.640% due 03/10/2010 69,731 71,581 7.450% due 09/01/2010 15,860 15,884 Southern Pacific Secured Assets Corp. 6.790% due 07/25/2029 (d) 39,853 39,621 Starwood Commercial Mortgage 6.600% due 02/03/2009 11,556 11,404 Structured Asset Mortgage Investments, Inc. 6.750% due 03/25/2028 22,519 21,209 6.910% due 06/25/2028 (d) 37,724 36,711 6.250% due 11/25/2028 14,878 13,452 6.750% due 01/25/2029 10,000 9,395 6.300% due 05/25/2029 18,419 17,976 6.580% due 06/25/2029 (d) 30,039 28,797 7.250% due 07/25/2029 23,718 23,660 7.230% due 02/25/2030 955 939 Structured Asset Notes Transactions Ltd. 6.650% due 08/30/2005 18,771 18,114 Structured Asset Securities Corp. 7.000% due 12/25/2027 51,500 48,812 Superannuation Members Home Loans Global Fund 7.020% due 06/15/2026 (d) 19,900 19,894 TMA Mortgage Funding Trust 7.000% due 01/25/2029 (d) 28,816 28,816 Union Planters Mortgage Finance Corp. 6.750% due 01/25/2028 4,000 3,668 6.800% due 01/25/2028 15,000 14,498 Vendee Mortgage Trust 7.750% due 03/15/2016 104 103 7.500% due 08/15/2017 333 334 7.750% due 05/15/2018 550 555 6.500% due 05/15/2020 28,750 27,199 6.830% due 01/15/2030 16,470 16,111 Washington Mutual 6.780% due 07/26/2003 (d) 155,246 155,199 Western Federal Savings & Loan 7.930% due 06/25/2021 (d) 3,229 3,229 ----------- 7,986,226 =========== Federal Home Loan Mortgage Corporation 2.4% 5.000% due 10/15/2020 1,000 958 5.500% due 04/01/2001-10/14/2029 (k) 3,113 2,863 5.750% due 08/15/2020 300 295 5.900% due 12/01/2026 (d) 5,871 5,751 6.000% due 12/01/2000-10/16/2030 (k) 282,314 264,740 6.500% due 07/01/2001-05/01/2029 (k) 167,130 155,382 6.540% due 11/01/2026 (d) 6,846 6,831 6.720% due 11/01/2028 (d) 23,564 23,205 6.750% due 01/17/2025 8,349 8,304 6.780% due 11/01/2003 68 67 6.930% due 07/01/2025 (d) 6,508 6,588 7.000% due 10/01/2002-11/12/2030 (k) 113,851 111,878 7.280% due 09/01/2027 (d) 2,796 2,782 7.370% due 10/01/2023 (d) 881 900 7.390% due 10/01/2023 (d) 1,546 1,579 7.400% due 10/25/2023 (d) 14,975 15,449 7.500% due 09/01/2001-02/01/2030 (d)(k) 13,182 13,303 7.630% due 06/01/2017-01/01/2019 (d)(k) 26 27 7.650% due 05/01/2025 2,390 2,450 7.670% due 04/01/2029 (d) 1,266 1,302 7.750% due 04/01/2007-04/01/2017 (d)(k) 50 49 7.790% due 04/01/2024 (d) 6,520 6,679 7.810% due 07/01/2030 (d) 140,578 141,539 7.820% due 08/01/2023 (d) 8,540 8,764 7.890% due 08/01/2023-01/01/2024 (d)(k) 414 426 7.910% due 06/01/2024 (d) 1,025 1,051 8.000% due 01/01/2002-09/01/2018 (k) 2,854 2,883 8.040% due 07/01/2024 (d) 1,429 1,464 8.190% due 09/01/2023 (d) 1,499 1,518 8.250% due 08/01/2007-05/01/2023 (d)(k) 1,778 1,804 8.260% due 07/01/2022 (d) 937 960 8.320% due 09/01/2023 (d) 9,655 9,896 8.330% due 04/01/2023 (d) 440 448 8.340% due 07/01/2023 (d) 521 530 102 See accompanying notes Principal Amount Value (000s) (000s) 8.360% due 10/01/2023 (d) $ 438 $ 445 8.420% due 05/01/2023-08/01/2023 (d)(k) 5,971 6,126 8.450% due 08/01/2023-11/01/2023 (d)(k) 2,537 2,601 8.480% due 11/01/2023 (d) 143 142 8.500% due 09/01/2001-11/01/2024 (k) 5,047 5,181 8.510% due 10/01/2023 (d) 1,429 1,469 8.520% due 05/01/2027 (d) 634 652 8.580% due 09/01/2023 (d) 2,307 2,376 8.610% due 08/01/2024 (d) 207 213 8.630% due 08/01/2023 (d) 390 393 8.690% due 11/01/2023 (d) 344 346 8.750% due 02/01/2001-12/01/2010 (k) 107 107 8.900% due 11/15/2020 11,207 11,674 9.000% due 01/01/2002-09/15/2020 (k) 532 547 9.250% due 06/01/2009-11/01/2013 (k) 99 100 9.500% due 08/01/2001-12/01/2022 (k) 1,234 1,283 9.750% due 03/01/2001-05/01/2009 (k) 45 46 10.000% due 06/01/2004-03/01/2021 (k) 930 971 10.100% due 09/01/2016 241 256 10.250% due 03/15/2009-05/01/2009 (k) 1,091 1,159 10.500% due 10/01/2017-01/01/2021 (k) 376 403 11.000% due 11/01/2009-05/01/2020 (k) 639 684 11.250% due 10/01/2009-09/01/2015 (k) 92 100 11.500% due 01/01/2018 72 79 12.500% due 12/01/2012 16 18 13.250% due 10/01/2013 79 89 14.000% due 04/01/2016 19 21 15.500% due 08/01/2011-11/01/2011 (k) 13 15 16.250% due 05/01/2011 3 3 ------------ 840,164 ============ Federal Housing Administration 1.4% 6.000% due 03/20/2028 1,739 1,629 6.500% due 02/15/2001-03/01/2040 (k) 5,956 5,802 6.630% due 05/28/2039-07/01/2040 (k) 3,091 2,905 6.750% due 07/15/2001 2,706 2,595 6.760% due 06/25/2039-03/01/2041 (k) 16,214 15,032 6.780% due 07/25/2040 7,653 7,333 6.790% due 05/01/2039 10,902 10,677 6.830% due 12/01/2039 3,497 3,316 6.880% due 11/01/2015-02/01/2041 (k) 24,874 23,656 6.900% due 07/01/2020-12/01/2040 (k) 47,399 45,466 6.930% due 07/01/2014-01/01/2036 (k) 17,075 16,620 7.000% due 11/15/2040 174 167 7.050% due 03/25/2040 4,516 4,359 7.130% due 03/01/2034 4,411 4,322 7.210% due 12/01/2021 2,700 2,691 7.250% due 06/01/2040 8,304 8,067 7.310% due 06/01/2041 23,567 22,800 7.320% due 05/01/2019-08/01/2019 (k) 37,511 36,697 7.350% due 11/01/2022 6,028 5,985 7.380% due 02/01/2018-01/01/2024 (k) 16,589 16,446 7.400% due 02/01/2021 2,191 2,187 7.430% due 12/01/2016-05/01/2025 (k) 116,022 115,566 7.450% due 12/01/2021 11,589 11,578 7.470% due 11/01/2019 29,797 29,742 7.500% due 03/01/2032-09/30/2039 (k) 6,672 6,569 7.580% due 04/01/2040-12/01/2040 (k) 7,616 7,507 7.630% due 08/01/2041 17,747 17,552 7.650% due 11/01/2018-11/01/2040 (k) 7,559 7,519 7.700% due 03/15/2041 2,720 2,697 7.750% due 11/15/2039 3,100 3,073 7.880% due 12/01/2039-03/01/2041 (k) 13,423 13,479 7.930% due 05/01/2016 1,903 1,906 8.250% due 10/29/2023-01/01/2041 (k) 9,512 9,675 8.380% due 11/01/2012 255 260 8.630% due 08/15/2030 34,293 35,457 ------------ 501,332 ============ Federal National Mortgage Association 4.4% 4.750% due 11/14/2003 250 238 5.000% due 12/25/2021-04/18/2027 (k) 2,000 1,823 5.500% due 03/01/2013-12/01/2028 (k) 20,616 18,641 5.920% due 11/01/2035 (d) 0 0 6.000% due 12/01/2000-10/16/2030 (k) 377,190 352,973 6.090% due 12/01/2008 49 47 6.180% due 04/01/2027 (d) 110 109 6.250% due 07/25/2007 83 83 6.280% due 09/01/2029 (d) 608 583 6.340% due 09/01/2017-09/01/2024 (d)(k) 6,014 5,883 6.390% due 05/25/2036 29,534 25,210 6.420% due 12/01/2007 150 146 6.450% due 09/25/2016 3,380 3,355 6.500% due 04/01/2003-06/17/2038 (k) 60,401 55,193 6.580% due 04/01/2026 (d) 1,111 1,105 6.600% due 12/01/2003-09/25/2018 (k) 1,993 1,980 6.630% due 12/01/2027 (d) 8,174 8,137 6.690% due 08/01/2027 (d) 39,409 39,604 6.750% due 08/01/2003 223 222 6.840% due 07/01/2003 62 61 6.920% due 10/01/2027 (d) 4,427 4,442 6.950% due 03/25/2026 273 271 7.000% due 07/01/2001-10/16/2030 (k) 550,197 539,989 7.250% due 05/01/2002-01/01/2023 (k) 10,183 10,064 7.350% due 09/01/2027 (d) 1,815 1,849 7.410% due 11/01/2023 (d) 881 901 7.450% due 11/01/2023 (d) 166 170 7.470% due 12/01/2023 (d) 166 169 7.480% due 01/01/2024-07/01/2030 (d)(k) 2,742 2,777 7.500% due 10/01/2002-05/01/2030 (k) 14,581 14,678 7.540% due 10/01/2023 (d) 345 355 7.550% due 05/01/2023 (d) 2,224 2,238 7.560% due 12/01/2023 (d) 882 898 7.570% due 01/01/2024 (d) 395 405 7.630% due 09/01/2022 (d) 958 978 7.660% due 02/01/2026 (d) 550 565 7.680% due 12/01/2023 (d) 1,052 1,089 7.690% due 01/01/2024 (d) 431 441 7.700% due 03/01/2025 (d) 2,940 3,026 7.730% due 11/01/2025 (d) 2,003 2,058 7.750% due 06/01/2009-01/01/2026 (d)(k) 1,448 1,485 7.780% due 01/01/2018 2,239 2,377 7.790% due 09/01/2023-08/01/2027 (d)(k) 3,947 4,053 7.810% due 11/01/2025 (d) 1,236 1,270 7.850% due 07/01/2018-01/01/2024 (d)(k) 6,849 7,310 7.890% due 03/01/2026 (d) 1,979 2,041 7.900% due 09/01/2025 (d) 1,560 1,585 7.920% due 03/01/2018 2,755 2,960 7.930% due 09/01/2022 (d) 1,165 1,181 7.980% due 05/01/2030 6,704 6,843 8.000% due 09/01/2001-10/16/2030 (k) 367,700 372,519 8.020% due 11/01/2025 (d) 3,478 3,580 8.060% due 04/01/2030 1,861 1,877 8.080% due 04/01/2030 1,018 1,028 8.120% due 07/01/2024 (d) 4,245 4,357 8.160% due 09/01/2024 (d) 1,410 1,441 8.250% due 10/01/2008-03/01/2030 (k) 2,247 2,406 8.320% due 05/01/2026 (d) 577 597 8.490% due 06/01/2025 997 1,020 8.500% due 07/01/2001-08/01/2026 (k) 3,079 3,149 8.560% due 05/01/2024 (d) 2,375 2,460 9.000% due 10/01/2004-12/01/2027 (k) 9,369 9,756 9.250% due 10/01/2001 2 2 9.500% due 12/01/2006-07/01/2026 (k) 9,370 9,692 9.750% due 11/01/2008 58 61 10.000% due 09/01/2003-05/01/2022 (k) 1,085 1,146 10.500% due 01/01/2016-04/01/2022 (k) 533 570 10.750% due 03/01/2014 24 26 11.000% due 09/01/2019-11/01/2020 (k) 122 133 11.500% due 08/20/2016-11/01/2019 (k) 82 90 12.000% due 05/01/2016 9 10 12.500% due 10/01/2015 29 32 13.000% due 09/01/2013 29 33 13.250% due 09/01/2011 12 14 14.500% due 11/01/2011-01/01/2013 (k) 44 49 14.750% due 08/01/2012 167 194 15.000% due 10/01/2012 86 101 15.500% due 10/01/2012-12/01/2012 (k) 16 19 15.750% due 12/01/2011-08/01/2012 (k) 96 112 16.000% due 09/01/2012 108 123 ------------ 1,550,458 ============ See accompanying notes 103 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Government National Mortgage Association 42.0% 5.000% due 06/20/2022 (d) $ 327 $ 330 5.500% due 06/20/2026-10/23/2030 (d)(k) 70,410 67,522 5.650% due 10/15/2012 11 10 6.000% due 10/15/2008-10/23/2030 (d)(k) 1,945,726 1,831,839 6.380% due 05/20/2027 (d) 2,430 2,447 6.500% due 05/15/2001-10/15/2038 (d)(k) 5,403,660 5,203,229 6.630% due 01/15/2040 9,612 9,163 6.670% due 10/15/2001-07/16/2038 (k) 1,036 1,010 6.750% due 07/15/2001-06/20/2028 (d)(k) 411,113 411,178 6.800% due 09/15/2001-10/15/2040 (k) 3,000 2,952 6.820% due 09/15/2001-10/15/2040 (k) 16,978 16,955 6.880% due 02/20/2016-02/15/2040 (d)(k) 1,187 1,156 7.000% due 10/15/2001-10/23/2030 (d)(k) 2,305,309 2,271,274 7.120% due 02/16/2030 (d) 13,093 13,154 7.130% due 12/20/2017-12/20/2027 (d)(k) 346,703 349,453 7.250% due 08/24/2024-08/20/2027 (d)(k) 325 327 7.380% due 05/20/2017-05/20/2028 (d)(k) 501,835 505,641 7.500% due 01/15/2003-10/23/2030 (k) 2,917,919 2,925,968 7.700% due 02/15/2002 4,034 4,013 7.750% due 07/15/2001 3,958 3,942 7.880% due 04/20/2023 (d) 338 342 8.000% due 05/15/2001-10/23/2030 (k) 1,228,446 1,248,773 8.130% due 07/15/2001-12/01/2039 (k) 3,681 3,684 8.250% due 08/15/2004-05/15/2022 (k) 414 423 8.500% due 06/15/2001-10/23/2030 (k) 50,513 51,899 8.750% due 03/15/2007-07/15/2007 (k) 92 95 9.000% due 06/15/2001-07/20/2022 (k) 5,271 5,529 9.250% due 07/15/2003-12/20/2016 (k) 166 170 9.500% due 04/15/2001-08/15/2023 (k) 4,631 4,857 9.750% due 09/15/2002-07/15/2004 (k) 80 82 10.000% due 04/15/2001-02/15/2025 (k) 5,288 5,612 10.250% due 02/20/2019 22 23 10.500% due 06/15/2004-09/15/2021 (k) 655 702 11.000% due 01/15/2001-03/15/2019 (k) 212 229 11.250% due 03/15/2001-12/20/2015 (k) 35 38 11.500% due 10/15/2010-10/15/2013 (k) 48 52 12.000% due 11/15/2012-05/15/2016 (k) 228 258 12.500% due 01/15/2011 1 1 13.000% due 12/15/2012-10/15/2014 (k) 20 21 13.250% due 10/20/2014 19 22 13.500% due 10/15/2012-09/15/2014 (k) 78 89 15.000% due 02/15/2012-10/15/2012 (k) 97 113 16.000% due 10/15/2011-05/15/2012 (k) 197 236 17.000% due 11/15/2011-12/15/2011 (k) 60 72 ----------- 14,944,885 =========== Other Mortgage-Backed Securities 0.6% Bank of America Corp. 9.000% due 03/01/2008 34 35 CDC Depositor Trust I 7.050% due 01/15/2003 (d) 19,302 19,231 Citibank, NA 8.000% due 07/25/2018 41 42 Commercial Mortgage Asset Trust 6.640% due 09/17/2010 455 439 Countrywide Funding Corp. 6.750% due 03/25/2024 12,260 10,528 DBL Mortgage Funding 9.500% due 08/01/2019 5 5 Federal Home Loan Mortgage Corp. 11.880% due 06/15/2013 97 102 FFCA Secured Lending Corp. 7.850% due 05/18/2017 28,900 28,872 First Interstate Bancorp 9.130% due 01/01/2009 (d)(l) 10 10 General Electric Capital Mortgage Services, Inc. 7.250% due 07/25/2011 1,550 1,544 General Electric Credit Corp. 8.000% due 03/01/2002 (l) 4 4 German American Capital Corp. 8.360% due 09/30/2002 462 445 4.310% due 07/01/2018 (d) 8,197 8,014 Guardian Savings & Loan Assn. 6.910% due 12/25/2018 (d) 20 20 Home Savings of America 8.460% due 08/01/2006 45 44 6.100% due 05/25/2027 (d) 2,589 2,522 6.440% due 08/20/2029 (d) 23,756 23,240 Imperial Savings & Loan 8.230% due 01/25/2017 (d) 59 59 8.850% due 07/25/2017 (d) 219 218 LTC Commercial Corp. 7.100% due 11/28/2012 3,187 3,191 Merrill Lynch Mortgage 7.770% due 06/15/2021 (d) 978 959 Mid-State Trust 8.330% due 04/01/2030 64,877 66,850 Morgan Stanley Mortgage Trust 8.150% due 07/20/2021 2 2 Resolution Trust Corp. 6.930% due 05/25/2029 (d) 3,190 3,186 Ryland Acceptance Corp. 14.000% due 11/25/2031 763 798 Salomon Brothers Mortgage Securities 11.500% due 09/01/2015 735 740 8.400% due 11/25/2022 (d) 508 511 Sasco Floating Rate Commercial Mortgage 7.020% due 11/20/2001 (d) 54,440 54,536 Sears Mortgage 12.000% due 02/25/2014 542 560 7.430% due 10/25/2022 (d) 1,844 1,865 ------------ 228,572 ============ Stripped Mortgage-Backed Securities 0.0% Bear Stearns Mortgage Securities, Inc. (IO) 7.200% due 07/25/2024 301 29 Chase Mortgage Finance Corp. (IO) 9.000% due 08/25/2023 150 4 Collateralized Mortgage Obligation Trust (PO) 0.000% due 04/23/2017 12 10 Federal Home Loan Mortgage Corp. (IO) 6.500% due 08/15/2006 89 1 6.500% due 11/15/2006 232 2 6.500% due 03/15/2007 164 1 5.750% due 09/15/2007 (d) 5,084 304 6.000% due 10/15/2007 179 12 6.000% due 01/15/2008 85 4 5.430% due 02/15/2008 (d) 519 40 6.400% due 10/15/2008 61 6 0.000% due 08/15/2016 75 0 6.500% due 08/15/2017 65 0 7.000% due 04/15/2018 640 30 7.500% due 08/15/2018 15 0 8.850% due 01/15/2021 2 34 9.000% due 05/15/2022 94 24 6.500% due 09/15/2023 277 33 Federal National Mortgage Association (IO) 6.500% due 05/25/2005 679 69 6.500% due 07/25/2006 410 16 7.270% due 09/25/2006 2 14 6.500% due 02/25/2007 1,102 59 6.500% due 07/25/2007 218 9 6.500% due 09/25/2007 1,461 83 6.500% due 10/25/2007 407 22 0.100% due 03/25/2009 (d) 23,966 407 6.500% due 08/25/2020 2,649 185 10.070% due 01/25/2021 0 3 7.500% due 04/25/2021 1,486 226 9.030% due 08/25/2021 5 147 0.950% due 11/25/2021 (d) 22,673 362 6.500% due 10/25/2022 122 11 6.500% due 01/25/2023 2,726 430 3.660% due 02/25/2023 (d) 12,307 579 Federal National Mortgage Association (PO) 0.000% due 09/01/2007 667 544 0.000% due 02/25/2021 204 202 0.000% due 06/25/2022 317 308 0.000% due 08/25/2023 295 199 104 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- PaineWebber (IO) 13.600% due 08/01/2019 $ 1 $ 36 Vendee Mortgage Trust (IO) 0.540% due 06/15/2023 (d) 150,746 2,633 ------------ 7,078 ------------ Total Mortgage-Backed Securities 26,058,715 (Cost $25,944,931) ============ -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 8.2% -------------------------------------------------------------------------------- Advanta Mortgage Loan Trust 6.820% due 05/25/2027 (d) 667 665 7.020% due 08/25/2029 (d) 2,709 2,719 8.250% due 08/25/2030 7,954 8,147 Advanta Revolving Home Equity Loan Trust 6.990% due 01/25/2024 (d) 27,010 27,099 6.870% due 08/25/2024 (d) 22,782 22,798 6.870% due 02/25/2025 (d) 15,436 15,430 Aerco Ltd. 7.090% due 07/15/2025 (d) 38,200 38,204 Aesop Funding LLC 6.570% due 11/20/2006 15,000 15,000 AFC Home Equity Loan Trust 7.350% due 10/25/2026 (d) 1,628 1,634 Allied Waste Industries, Inc. 9.440% due 07/30/2006 24,774 24,039 9.690% due 07/30/2007 (d) 4,955 4,808 9.750% due 07/30/2007 (d) 3,964 3,846 9.690% due 07/30/2007 (d) 20,809 20,193 American Express Credit Account Master Trust 6.800% due 12/15/2003 1,500 1,502 American Express Master Trust 7.850% due 08/15/2005 220 227 American Stores Co. 7.280% due 08/30/2004 20,000 19,776 Americredit Automobile Receivable Trust 6.540% due 05/12/2001 119 119 5.300% due 10/12/2002 8,246 8,221 5.780% due 05/12/2003 43,000 42,672 Amresco Residential Securities Mortgage Loan Trust 6.820% due 10/25/2027 (d) 1,032 1,033 6.780% due 05/25/2028 (d) 7,676 7,671 Arcadia Automobile Receivables Trust 6.250% due 09/15/2002 23,250 23,247 5.900% due 11/15/2002 7,449 7,442 6.300% due 07/15/2003 26,025 25,922 6.900% due 12/15/2003 19,431 19,482 Associates Manufactured Housing 7.000% due 03/15/2027 3,675 3,676 Banc One Home Equity Trust 6.460% due 06/25/2029 14,711 14,643 Bank One Heloc Trust 6.880% due 04/20/2020 (d) 44,075 44,119 BankBoston Home Equity Loan Trust 6.280% due 11/25/2010 43 43 Bayview Financial Acquisition Trust 7.170% due 02/25/2029 (d) 4,928 4,945 7.030% due 02/25/2030 (d) 22,638 22,511 7.010% due 07/25/2030 (d) 68,003 68,003 BMCA Receivables Master Trust 6.840% due 09/20/2002 (d) 12,000 11,993 Brazos Student Loan Finance Co. 6.900% due 06/01/2023 (d) 52,700 52,179 7.170% due 12/01/2025 (d) 41,215 41,362 Captec Franchise Trust 7.890% due 10/15/2010 1,054 1,076 Champion Home Equity Loan Trust 6.880% due 03/25/2029 (d) 4,872 4,875 Charming Shoppes Master Trust 7.070% due 08/15/2008 (d) 250 252 Charter Commercial Holdings LLC 9.240% due 03/31/2008 22,000 21,971 Chase Credit Card Master Trust 6.660% due 01/15/2007 645 644 Chase Funding Mortgage Loan Asset-Backed Certificates 6.840% due 10/25/2030 (d) 58,500 58,500 Chase Manhattan Auto Owner Trust 5.750% due 10/15/2001 28 28 Chase Manhattan Grantor Trust 5.200% due 02/15/2002 50 50 6.610% due 09/15/2002 564 565 CMC Securities Corp. IV 7.250% due 11/25/2027 1,212 1,193 Community Program Loan Trust 4.500% due 10/01/2018 24,009 21,540 4.500% due 04/01/2029 26,000 19,151 Conseco Finance 7.520% due 05/15/2014 35,901 36,016 6.290% due 10/15/2030 8,418 8,416 6.990% due 10/15/2031 (d) 29,503 29,594 Conseco Finance Home Loan Trust 6.570% due 10/15/2006 26 26 6.980% due 09/28/2030 18,500 18,500 Conseco Finance Lease LLC 7.250% due 04/20/2003 25,000 25,107 Conseco Finance Securitizations Corp. 7.180% due 07/15/2002 23,524 23,153 7.970% due 05/01/2032 5,000 5,070 8.310% due 05/01/2032 48,800 49,689 Contimortgage Home Equity Loan Trust 6.790% due 10/15/2012 (d) 1,361 1,362 6.130% due 03/15/2013 1,584 1,580 6.420% due 04/25/2014 286 285 6.400% due 06/15/2014 2,000 1,993 6.770% due 01/25/2018 41,700 41,391 6.990% due 03/15/2021 350 349 6.930% due 11/25/2022 36,800 36,618 7.220% due 01/15/2028 80 80 6.760% due 06/15/2028 (d) 2,279 2,276 6.830% due 08/15/2028 (d) 243 242 Copelco Capital Funding Corp. 6.340% due 07/20/2004 7 7 CPS Auto Trust 6.000% due 06/15/2002 556 555 6.000% due 08/15/2003 77 76 Cross Country Master Credit 7.150% due 06/15/2006 (d) 300 300 CS First Boston Mortgage Securities Corp. 6.750% due 09/25/2028 6,960 6,560 Daimler-Benz Vehicle Trust 6.050% due 03/31/2005 1,962 1,956 Delta Air Lines Equipment Trust 9.230% due 07/02/2002 (l) 1,956 1,997 10.500% due 01/02/2007 (l) 6,167 6,833 10.570% due 01/02/2007 (l) 15,881 18,150 9.550% due 01/02/2008 (l) 7,773 8,271 10.430% due 01/02/2011 960 1,053 10.000% due 06/05/2013 10,828 11,560 Delta Funding Home Equity Loan Trust 6.140% due 03/15/2018 26,242 26,139 7.030% due 09/15/2029 (d) 10,950 10,996 6.940% due 06/15/2030 (d) 34,344 34,427 Discover Card Master Trust 7.000% due 10/16/2013 (d) 400 404 Duck Auto Grantor Trust 5.650% due 03/15/2004 4,854 4,799 7.260% due 05/15/2005 43,105 43,126 EQCC Home Equity Loan Trust 6.050% due 01/25/2010 150 149 6.550% due 04/25/2010 304 303 5.820% due 10/15/2027 (d) 785 784 5.770% due 03/20/2029 150 149 Equivantage Home Equity Loan Trust 6.550% due 10/25/2025 75 75 Federal Home Loan Mortgage Corp. 6.750% due 08/15/2026 (d) 56,100 56,100 Felco Funding LLC 5.980% due 09/15/2001 175 177 See accompanying notes 105 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------------ Fidelity Equipment Lease Trust 5.860% due 09/15/2001 $ 8,481 $ 8,453 First Alliance Mortgage Loan Trust 7.000% due 03/20/2031 (d) 14,818 14,827 First Merchants Auto Trust 6.850% due 11/15/2002 14 14 First Omni Bank 6.650% due 09/15/2003 (d) 1,500 1,500 First Security Auto Grantor Trust 6.100% due 04/15/2003 699 698 5.970% due 04/15/2004 120 119 First Union Master Credit Card Trust 6.630% due 09/15/2003 88,750 88,845 First USA Credit Card Master Trust 6.130% due 09/17/2003 (d) 300 300 FMAC Loan Receivables Trust 7.900% due 04/15/2019 20 20 6.830% due 09/15/2020 680 626 6.200% due 09/15/2020 261 253 6.500% due 09/15/2020 237 216 Ford Credit Auto Owner Trust 5.470% due 09/15/2001 175 174 5.770% due 11/15/2001 8,771 8,762 6.200% due 04/15/2002 407 407 Ford Motor Credit Corp. 5.500% due 02/15/2003 5,300 5,278 Fred Meyer, Inc. 7.380% due 03/19/2003 (d) 12,405 12,269 GMAC Mortgage Corp. Loan 7.010% due 11/18/2025 (d) 42,817 42,886 7.930% due 03/25/2030 39,407 36,913 Green Tree Financial Corp. 7.150% due 07/15/2027 221 221 6.490% due 03/15/2028 36,494 36,390 6.420% due 11/15/2028 1,386 1,383 5.850% due 11/01/2029 27 27 6.870% due 04/01/2030 1,105 988 6.660% due 06/01/2030 1,405 1,177 5.600% due 12/01/2030 215 214 5.510% due 02/01/2031 271 270 7.860% due 04/01/2031 400 386 Green Tree Floorplan Receivables Master Trust 6.970% due 11/15/2004 (d) 46,000 46,098 Green Tree Home Equity Loan Trust 5.590% due 02/15/2013 32 32 6.040% due 06/15/2029 49 49 5.990% due 07/15/2030 209 209 Green Tree Home Improvement Loan Trust 5.910% due 08/15/2007 14 14 7.270% due 09/15/2028 (d) 4,162 4,155 6.390% due 01/15/2029 1,945 1,945 Green Tree Lease Finance 6.170% due 09/20/2005 56 56 Green Tree Recreational Equipment 6.430% due 04/17/2006 3,234 3,229 Harley-Davidson Eaglemark 5.250% due 07/15/2003 96 95 Headlands Home Equity Loan Trust 7.270% due 12/15/2024 (d) 529 532 HFC Home Equity Loan 6.830% due 12/20/2016 282 281 Honda Auto Receivables Grantor 5.950% due 05/15/2003 61 61 Household Consumer Loan Trust 7.040% due 08/15/2006 (d) 19,321 19,073 IMC Home Equity Loan Trust 7.250% due 07/25/2026 (d) 725 721 IMPAC Secured Assets CMN Owner 7.770% due 07/25/2025 2,000 1,981 Independent National Mortgage Corp. 8.250% due 05/25/2010 154 157 Indymac Home Equity Loan 6.890% due 10/25/2029 (d) 9,772 9,766 Indymac Manufactured Housing 6.170% due 12/25/2011 5,019 4,973 Long Beach Acceptance Auto 6.940% due 09/19/2007 3,944 3,948 Mellon Bank Home Equity 5.900% due 10/25/2010 14,019 13,905 Merit Securities Corp. 6.160% due 07/28/2033 6,424 6,377 7.880% due 12/28/2033 34,400 33,803 Metlife Capital Equipment Loan Trust 6.850% due 05/20/2008 (d) 320 320 Metris Master Trust 7.270% due 04/20/2006 (d) 20,000 20,099 Metropolitan Asset Funding, Inc. 7.080% due 04/25/2029 (d) 13,174 13,047 MGM Grand Term Loan 7.870% due 05/06/2001 (d) 21,277 21,226 MMCA Automobile Trust 6.300% due 06/15/2002 357 356 Morgan Stanley ABS Capital I 6.930% due 08/25/2030 (d) 157,021 157,021 MPC Natural Gas Funding Trust 6.200% due 03/15/2013 9,546 9,331 MSDWCC Heloc Trust 6.910% due 09/25/2010 (d) 36,465 36,465 Myra Ums Tranche 7.420% due 12/23/2006 1,358 1,321 Myra-United Mexican States 5.810% due 10/20/2006 (d) 402 391 7.800% due 12/23/2006 (d) 6,624 6,443 7.750% due 12/23/2006 (d) 3,489 3,397 7.630% due 12/23/2006 (d) 5,923 5,765 7.060% due 12/23/2006 (d) 929 904 7.800% due 12/23/2006 (d) 928 904 7.630% due 12/23/2006 (d) 29 28 National Medical Care 7.630% due 09/30/2003 (d) 28,486 28,201 7.690% due 09/30/2003 21,972 21,752 New Holland Equipment Receivables 6.390% due 10/15/2002 352 352 Nomura CBO Ltd. 6.670% due 05/15/2009 1,900 1,944 Norwest Asset Securities Corp. 6.500% due 04/25/2013 20,113 19,488 6.500% due 06/25/2013 10,423 10,094 7.500% due 03/25/2027 40,536 39,779 6.750% due 05/25/2028 27,707 25,714 6.750% due 07/25/2028 12,657 11,576 6.200% due 09/25/2028 16,324 16,236 NPF XI, Inc. 6.820% due 07/01/2001 8,326 8,324 NPF XII, Inc. 7.050% due 06/01/2003 31,000 30,714 7.270% due 11/01/2003 (d) 1,000 1,000 Olympic Automobile Receivable Trust 6.050% due 08/15/2002 3,178 3,178 Option One Mortgage Loan Trust 5.880% due 05/25/2029 129 128 6.910% due 09/25/2030 (d) 49,816 49,816 PP&L Transition Bond Co. LLC 6.830% due 03/25/2007 28,800 28,860 Premier Auto Trust 5.770% due 01/06/2002 3,151 3,150 5.820% due 02/08/2002 399 399 Provident Bank Home Equity Loan Trust 6.920% due 06/25/2021 (d) 36,381 36,381 Providian Gateway Master Trust 6.840% due 03/15/2007 28,900 28,900 6.250% due 06/15/2007 25 25 6.900% due 03/16/2009 300 300 Prudential Home Mortgage Securities 6.500% due 01/25/2024 1,225 1,216 Residential Asset Mortgage Products, Inc. 6.910% due 09/25/2030 (d) 50,000 50,000 106 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Residential Asset Securities Corp. 6.720% due 04/25/2014 (d) $ 249 $ 249 6.960% due 07/25/2014 30,510 30,395 6.240% due 02/25/2017 3,184 3,167 6.600% due 01/25/2020 5,200 5,165 7.080% due 09/25/2020 190 190 8.000% due 10/25/2024 (d) 5,121 5,150 6.920% due 10/25/2027 (d) 2,239 2,238 6.750% due 03/25/2028 40,000 37,212 Residential Funding Mortgage Securities, Inc. 10.930% due 06/01/2001 72,450 72,450 RJR Nabisco 7.500% due 12/31/2001 (d) 24,948 24,948 Ryder Vehicle Lease Trust 6.430% due 01/15/2003 694 693 Saco Trust 8.130% due 07/25/2030 18,119 18,492 Salomon Brothers Mortgage Securities 7.040% due 11/15/2029 (d) 18,965 19,013 7.100% due 12/15/2029 (d) 5,800 5,800 Saxon Asset Securities Trust 6.850% due 05/25/2029 (d) 8,721 8,729 Sears Credit Account Master Trust 6.050% due 01/15/2008 500 493 7.000% due 07/15/2008 500 505 Small Business Administration 7.190% due 12/01/2019 493 493 Standard Credit Card Trust 8.250% due 11/07/2003 80 81 Student Loan Marketing Assn. 6.860% due 10/25/2005 (d) 21,703 21,623 Team Fleet Financing Corp. 7.350% due 05/15/2003 30 30 Texas Cable Partners 8.380% due 06/24/2007 2,500 2,489 8.940% due 06/24/2007 2,500 2,489 The Money Store Home Equity Trust 7.550% due 02/15/2020 321 321 6.350% due 11/15/2021 (d) 719 716 6.750% due 05/15/2025 (d) 34 34 6.490% due 10/15/2026 17,000 16,925 Total Renal Care 12.000% due 03/31/2008 37,442 36,506 Toyota Auto Lease Trust 6.350% due 04/26/2004 60 60 6.450% due 04/26/2004 300 299 UCFC Home Equity Loan 8.200% due 09/15/2027 70 71 6.870% due 07/15/2029 70 66 UCFC Manufactured Housing 6.680% due 01/15/2010 (d) 4,310 4,313 UniCapital Corp. 6.540% due 07/23/2002 26,018 25,977 United Air Lines Equipment Trust 9.200% due 03/22/2008 3,950 4,198 10.360% due 11/13/2012 7,000 7,255 10.020% due 03/22/2014 6,925 7,128 10.850% due 07/05/2014 34,111 36,604 10.850% due 02/19/2015 1,500 1,722 10.130% due 03/22/2015 14,300 14,851 9.060% due 06/17/2015 5,000 4,823 9.210% due 01/21/2017 2,000 1,897 USAA Auto Loan Grantor Trust 6.150% due 05/15/2004 1,180 1,176 5.800% due 01/15/2005 2,681 2,666 WFS Financial Owner Trust 6.410% due 07/20/2002 25,016 25,002 6.920% due 01/20/2004 27,125 27,177 WMC Mortgage Loan 7.070% due 10/15/2029 87,787 87,842 ------------ Total Asset-Backed Securities 2,931,252 (Cost $3,229,995) ============ ----------------------------------------------------------------------- SOVEREIGN ISSUES 1.9% ----------------------------------------------------------------------- Central Bank Philippines 7.940% due 06/01/2008 (d) 3,875 3,468 Hellenic Republic 7.280% due 06/06/2001 (d) 20,000 20,294 Hydro-Quebec 7.380% due 02/01/2003 150 152 Kingdom of Jordan 6.000% due 12/23/2023 14,000 10,462 Kingdom of Sweden 10.250% due 11/01/2015 500 593 Nacional Financiera 9.750% due 03/12/2002 10,000 10,325 8.570% due 05/08/2003 (d) 7,750 7,871 Providence of Newfoundland 9.000% due 06/01/2019 500 562 Province of New Brunswick 7.130% due 10/01/2002 1,700 1,712 Province of Nova Scotia 9.380% due 07/15/2002 1,000 1,041 Province of Ontario 7.750% due 06/04/2002 200 203 7.630% due 06/22/2004 1,000 1,032 7.000% due 08/04/2005 1,000 1,012 6.000% due 02/21/2006 1,800 1,734 5.500% due 10/01/2008 12,000 10,999 Province of Quebec 7.500% due 07/15/2002 6,000 6,073 8.800% due 04/15/2003 100 105 6.810% due 06/11/2004 (d) 15,500 15,486 6.620% due 04/09/2026 25,000 24,939 Republic of Argentina 11.600% due 04/10/2005 (d) 1,380 1,283 11.750% due 04/07/2009 30 28 Republic of Brazil 7.880% due 01/01/2001 (d) 3,481 3,481 7.380% due 04/15/2006 187,832 176,807 11.250% due 07/26/2007 5,750 5,773 14.500% due 10/15/2009 6,000 6,615 8.000% due 04/15/2014 31 24 12.250% due 03/06/2030 900 819 11.000% due 08/17/2040 4,462 3,565 Republic of Bulgaria 7.750% due 07/28/2011 (d) 2,000 1,515 3.000% due 07/28/2012 (d) 20,000 14,568 7.750% due 07/28/2024 (d) 86,650 66,287 Republic of Chile 6.880% due 04/28/2009 25,000 23,528 Republic of Colombia 10.880% due 03/09/2004 10,280 9,946 Republic of Croatia 7.000% due 02/27/2002 7,650 7,489 Republic of Panama 7.880% due 02/13/2002 1,850 1,830 7.930% due 05/10/2002 (d) 1,975 1,940 4.500% due 07/17/2014 7,675 6,202 Republic of Peru 3.750% due 03/07/2017 11,000 6,141 4.500% due 03/07/2017 (d) 5,750 3,601 Republic of Philippines 7.810% due 01/05/2005 (d) 8,830 8,337 6.500% due 12/01/2017 3,250 2,506 9.500% due 10/21/2024 2,958 2,817 Republic of Poland 3.500% due 10/27/2024 (d) 64,540 40,660 4.000% due 10/27/2024 3,000 2,040 Republic of Kazakhstan 8.380% due 10/02/2002 5,000 4,936 Republic of Venezuela 7.880% due 12/18/2007 (d) 16,250 13,937 Republica Orient Uruguay 7.250% due 05/04/2009 2,500 2,291 State of Israel 6.200% due 06/14/2003 25 25 See accompanying notes 107 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------- United Mexican States 9.780% due 04/07/2004 (d) $ 3,650 $ 3,789 10.020% due 04/07/2004 (d) 5,186 5,393 8.500% due 02/01/2006 107,500 107,554 9.880% due 02/01/2010 10,000 10,655 6.250% due 12/31/2019 8,860 7,913 ------------ Total Sovereign Issues 672,358 (Cost $665,775) ============ -------------------------------------------------------------------------- FOREIGN CURRENCY-DENOMINATED ISSUES (f)(g) 2.8% -------------------------------------------------------------------------- Commonwealth of New Zealand 4.500% due 02/15/2016 (j) N$ 73,000 31,155 Export-Import Bank Korea 3.840% due 10/06/2000 (d) DM 5,000 2,257 Halifax Group Euro Finance 7.630% due 12/29/2049 (d) EC 8,500 7,501 KBC Bank Fund Trust IV 8.220% due 11/29/2049 20,764 18,605 Korea Development Bank 6.000% due 03/07/2001 JY 350,000 3,318 4.800% due 05/14/2001 (d) DM 70,000 31,318 2.560% due 06/26/2001 JY 4,000,000 37,455 Korea Electric Power 3.880% due 10/31/2002 (d) DM 18,900 8,276 Lloyds TSB Capital 7.380% due 02/07/2049 EC 16,000 14,244 Nacional Financiera 22.000% due 05/20/2002 MP 370,000 40,844 Newcourt Credit Group 7.630% due 06/28/2001 C$ 9,400 6,299 Republic of Argentina 5.500% due 03/27/2001 JY 5,640,000 52,320 Republic of Austria 0.000% due 01/15/2010 EC 900 789 Republic of Brazil 8.250% due 11/26/2001 2,000 1,797 Republic of Germany 6.250% due 01/04/2024 26,310 25,082 6.500% due 07/04/2027 111,630 109,577 6.250% due 01/04/2030 47,920 46,473 Republic of Philippines 8.000% due 09/17/2004 10,290 9,171 R. J. Reynolds 6.880% due 11/22/2000 DM 9,500 4,293 Royal Bank of Scotland PLC 0.000% due 01/01/2000 BP 85,000 101,978 6.770% due 03/31/2049 EC 126,500 112,403 Tecnost International NV 6.670% due 06/23/2004 (d) 107,384 95,762 United Mexican States 6.000% due 03/28/2002 JY 100,000 992 3.100% due 04/24/2002 2,542,000 24,052 8.750% due 05/30/2002 BP 23,000 34,446 10.380% due 01/29/2003 DM 200 97 7.000% due 06/02/2003 C$ 30,200 19,388 7.430% due 04/07/2004 (d) EC 18,181 16,775 6.750% due 06/06/2006 JY 2,000,000 21,853 7.500% due 03/08/2010 EC 5,000 4,315 6.630% due 12/31/2019 FF 60,000 7,006 1.100% due 12/31/2019 (d) JY 1,662,500 15,086 3.850% due 12/31/2019 9,145,000 77,905 ------------ Total Foreign Currency-Denominated Issues 982,832 (Cost $892,163) ============ -------------------------------------------------------------------------- PURCHASED CALL OPTIONS 0.0% -------------------------------------------------------------------------- Eurodollar vs. U.S. Dollar (OTC) Strike @ 0.81 Exp. 12/21/2000 $ 200,000 16,246 ------------ Total Purchased Call Options 16,246 (Cost $16,759) ============ -------------------------------------------------------------------------- PURCHASED PUT OPTIONS 0.0% -------------------------------------------------------------------------- Harborview Mortgage Loan Trust (OTC) 7.470% due 08/19/2030 Strike @ 100.00 Exp. 05/01/2005 22,975 0 Interest Rate Swap (OTC) Strike @ 7.100% Exp. 08/12/2010 10,000 490 ---------- Total Purchased Put Options 490 (Cost $380) ========== -------------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 0.0% -------------------------------------------------------------------------- Banking & Finance 0.0% Bell Atlantic Financial Services 5.750% due 04/01/2003 1,500 1,454 ---------- Total Convertible Bonds & Notes 1,454 (Cost $1,539) ========== -------------------------------------------------------------------------- PREFERRED SECURITY 1.0% -------------------------------------------------------------------------- Shares DG Funding Trust 9.030% due 12/29/2049 35,150 352,379 ---------- Total Preferred Security 352,379 (Cost $351,502) ========== -------------------------------------------------------------------------- PREFERRED STOCK 0.2% -------------------------------------------------------------------------- Banco Bilbao Vizcaya International 9.750% due 11/19/2001 266,217 6,722 Barclays Bank 9.080% due 04/21/2020 215,500 5,549 Centaur Funding Corp. 9.080% due 04/21/2020 125 127 CSC Holdings, Inc. 11.125% due 04/01/2008 25,595 2,719 Fortis Amev NV 6.430% due 12/31/2049 171 20,134 Home Ownership Funding 13.331% due 12/31/2049 1,125 859 SI Financing Trust 9.500% due 06/30/2026 396,194 9,979 TCI Communications, Inc. 9.720% due 12/31/2036 622,553 16,186 10.000% due 05/31/2045 49,000 1,240 ---------- Total Preferred Stock 63,515 (Cost $66,709) ========== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 8.3% -------------------------------------------------------------------------------- Principal Amount (000s) Certificates of Deposit 0.3% Dominion Resources, Inc. 6.200% due 01/26/2001 $ 98,900 98,989 ---------- Commercial Paper 8.0% Abbey National PLC 6.520% due 11/03/2000 12,700 12,626 6.530% due 11/03/2000 900 895 Alcoa, Inc. 6.470% due 11/29/2000 53,000 52,417 6.450% due 12/21/2000 6,200 6,107 American Electric Power, Inc. 6.700% due 10/04/2000 2,000 1,999 6.760% due 10/04/2000 700 700 6.700% due 10/18/2000 3,000 2,991 6.750% due 10/18/2000 500 499 6.700% due 10/25/2000 1,800 1,792 6.700% due 10/30/2000 25,000 24,870 6.700% due 11/01/2000 3,300 3,282 6.700% due 11/02/2000 22,800 22,668 Anz, Inc. 6.550% due 11/03/2000 100 99 6.520% due 11/03/2000 2,700 2,684 6.480% due 11/28/2000 28,500 28,192 108 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Associated Corp. of North America 6.580% due 11/16/2000 $ 4,600 $ 4,562 6.570% due 11/29/2000 11,000 10,879 AT&T Corp. 6.580% due 10/23/2000 2,600 2,590 6.510% due 11/08/2000 1,500 1,490 6.520% due 11/08/2000 11,500 11,423 6.530% due 11/15/2000 2,500 2,480 6.470% due 11/29/2000 3,600 3,560 6.520% due 11/29/2000 1,900 1,879 6.510% due 12/13/2000 9,500 9,372 6.520% due 12/13/2000 5,000 4,932 6.530% due 12/13/2000 20,000 19,730 6.510% due 12/20/2000 11,800 11,626 Bank One Corp. 6.500% due 11/03/2000 200 199 6.500% due 11/15/2000 8,000 7,936 6.530% due 11/15/2000 300 298 6.470% due 12/06/2000 49,500 48,894 6.480% due 12/06/2000 50,000 49,388 6.470% due 12/19/2000 7,600 7,489 Bellsouth Capital Funding 6.460% due 12/06/2000 19,100 18,866 6.470% due 12/12/2000 17,200 16,971 British Telecom PLC 6.600% due 11/09/2000 20,400 20,258 6.560% due 11/09/2000 400 397 Campbell Soup Co. 6.460% due 12/06/2000 2,700 2,667 6.520% due 12/07/2000 700 691 CBA (de) Finance 6.530% due 10/23/2000 4,700 4,682 CDC 6.520% due 11/01/2000 500 497 Coca-Cola Co. 6.510% due 10/31/2000 2,700 2,686 6.480% due 12/13/2000 8,500 8,385 6.490% due 12/13/2000 4,400 4,341 Compaq Computer Corp. 6.730% due 10/23/2000 20,000 19,921 Conagra, Inc. 6.730% due 10/04/2000 13,100 13,095 6.670% due 10/06/2000 3,000 2,998 6.670% due 10/18/2000 1,000 100 6.680% due 11/08/2000 28,800 28,602 6.670% due 11/15/2000 1,900 1,885 6.670% due 11/16/2000 29,500 29,254 Cox Communications 6.700% due 10/04/2000 26,700 26,690 6.700% due 11/06/2000 50,000 49,674 6.730% due 11/06/2000 36,200 35,963 6.720% due 11/07/2000 21,500 21,356 CSX Corp. 6.740% due 10/10/2000 1,000 999 6.700% due 10/11/2000 21,700 21,663 DaimlerChrysler AG 6.580% due 11/20/2000 7,200 7,136 6.580% due 11/22/2000 3,800 3,765 6.590% due 11/29/2000 3,300 3,264 6.590% due 12/06/2000 14,300 14,125 6.540% due 12/07/2000 3,800 3,753 6.500% due 12/13/2000 200 197 6.520% due 12/13/2000 10,700 10,556 Dominion Resources, Inc. 6.710% due 10/18/2000 11,500 11,466 6.710% due 11/06/2000 5,800 5,762 6.710% due 11/09/2000 800 794 6.710% due 11/16/2000 17,900 17,750 Duke Energy Field Service Corp. 6.700% due 10/19/2000 50,000 49,842 Eastman Kodak Co. 6.490% due 11/01/2000 2,900 2,884 6.540% due 11/01/2000 3,300 3,282 6.480% due 11/16/2000 900 893 Edison Midwest 6.720% due 10/18/2000 40,000 39,881 6.720% due 10/25/2000 10,000 9,957 6.720% due 11/01/2000 1,000 994 6.750% due 11/01/2000 40,035 39,809 6.700% due 11/08/2000 1,400 1,390 6.740% due 11/08/2000 10,700 10,626 6.710% due 11/15/2000 3,300 3,273 6.730% due 11/15/2000 3,800 3,769 6.800% due 11/15/2000 7,900 7,834 6.710% due 11/15/2000 500 496 Federal Home Loan Mortgage Corp. 6.400% due 11/07/2000 745 740 6.410% due 12/07/2000 743 734 Federal National Mortgage Assn. 6.400% due 12/14/2000 1,163 1,147 Florida Power Corp. 6.450% due 12/14/2000 8,500 8,384 6.470% due 12/14/2000 100 99 Gannett Co. 6.500% due 10/25/2000 100 100 6.490% due 11/20/2000 3,700 3,667 6.470% due 11/20/2000 18,900 18,734 6.500% due 11/21/2000 1,800 1,784 General Electric Capital Corp. 6.470% due 12/06/2000 200 198 6.590% due 12/06/2000 11,300 11,162 6.470% due 12/07/2000 25,000 24,689 6.490% due 12/07/2000 300 296 6.470% due 12/13/2000 700 691 6.470% due 12/20/2000 600 591 6.510% due 01/10/2001 7,000 6,870 6.510% due 01/17/2001 900 882 6.500% due 01/24/2001 37,400 36,613 General Motors Acceptance Corp. 6.560% due 11/15/2000 200 198 6.520% due 11/27/2000 8,600 8,513 6.550% due 12/06/2000 2,500 2,469 6.510% due 12/13/2000 25,400 25,057 Gillette Co. 6.460% due 12/12/2000 800 789 Honeywell, Inc. 6.510% due 11/21/2000 20,000 19,819 6.470% due 11/29/2000 5,800 5,736 Houston Industries 6.770% due 10/04/2000 6,200 6,198 6.770% due 10/18/2000 3,700 3,689 6.800% due 11/08/2000 6,200 6,157 6.800% due 11/15/2000 50,000 49,584 Infinity Broadcasting Corp. 6.720% due 11/09/2000 900 894 6.700% due 11/15/2000 600 595 6.700% due 11/16/2000 1,400 1,388 6.710% due 11/21/2000 1,900 1,882 6.720% due 11/21/2000 27,800 27,541 6.710% due 11/22/2000 6,800 6,735 Ingersoll-Rand Co. 6.680% due 10/02/2000 900 900 6.840% due 10/02/2000 23,800 23,800 6.690% due 10/04/2000 33,400 33,388 6.700% due 11/01/2000 2,100 2,088 6.720% due 11/01/2000 1,100 1,094 6.700% due 11/08/2000 11,100 11,024 6.700% due 11/13/2000 16,800 16,669 6.700% due 11/15/2000 4,000 3,967 6.740% due 11/15/2000 600 595 International Paper Co. 6.700% due 10/05/2000 700 700 6.700% due 10/06/2000 34,700 34,674 6.700% due 10/10/2000 4,400 4,393 6.720% due 10/10/2000 700 699 6.700% due 10/11/2000 41,000 40,931 6.720% due 11/17/2000 300 297 6.720% due 11/28/2000 10,600 10,485 See accompanying notes 109 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------- KFW International Finance 6.510% due 10/12/2000 $ 1,600 $ 1,597 6.480% due 12/06/2000 800 790 Minnesota Mining & Manufacturing 6.470% due 11/28/2000 1,500 1,484 6.480% due 12/19/2000 700 690 Motorola, Inc. 6.480% due 11/28/2000 13,100 12,958 6.520% due 12/13/2000 4,600 4,538 6.450% due 12/27/2000 3,700 3,641 Nabisco, Inc. 6.700% due 10/18/2000 28,900 28,813 Natural Rural Utilities 6.480% due 10/18/2000 1,000 997 6.480% due 11/07/2000 3,100 3,080 6.520% due 11/15/2000 5,500 5,456 Nike, Inc. 6.480% due 10/12/2000 6,000 5,989 Norfolk Southern Corp. 6.720% due 11/01/2000 30,000 29,832 6.720% due 11/07/2000 37,400 37,149 Pearson 6.730% due 10/25/2000 9,000 8,961 Proctor & Gamble Co. 6.480% due 11/29/2000 200 198 6.510% due 11/29/2000 1,300 1,286 Reseau Ferre De France 6.520% due 10/26/2000 1,800 1,792 6.480% due 11/30/2000 1,000 989 SBC Communications, Inc. 6.470% due 12/06/2000 200 198 6.490% due 12/06/2000 3,100 3,062 Sprint Capital Corp. 6.700% due 10/25/2000 7,300 7,269 6.700% due 11/01/2000 1,900 1,889 6.700% due 11/03/2000 31,600 31,412 6.720% due 11/08/2000 8,000 7,945 Sumitomo Bank 6.720% due 11/01/2000 15,000 14,916 Swedbank, Inc. 6.510% due 01/19/2001 10,000 9,799 Texas Utilities Co. 6.700% due 10/18/2000 7,100 7,079 6.760% due 10/18/2000 3,600 3,589 Tyco International 6.740% due 10/18/2000 73,400 73,180 UBS Finance LLC 6.680% due 10/02/2000 1,000,000 1,000,000 Verizon Global Funding 6.490% due 11/08/2000 1,600 1,589 6.490% due 11/09/2000 8,600 8,541 6.460% due 12/01/2000 7,500 7,415 6.480% due 12/06/2000 50,000 49,388 6.460% due 12/07/2000 200 198 6.460% due 12/11/2000 800 789 6.470% due 12/14/2000 6,000 5,918 Washington Mutual 6.690% due 11/08/2000 12,000 11,917 Yorkshire Building Society 6.490% due 11/14/2000 1,800 1,786 6.480% due 12/11/2000 33,700 33,257 6.470% due 12/20/2000 1,500 1,478 6.460% due 12/21/2000 4,300 4,236 ----------- 2,854,106 =========== U.S. Treasury Bills (b)(k) 0.0% 5.933% due 02/01/2001 1,655 1,621 ----------- Total Short-Term Instruments 2,954,716 (Cost $2,954,943) =========== Value (000s) -------------------------------------------------------------------------- Total Investments (a) 152.0% $ 54,049,779 (Cost $54,354,587) Written Options (c) (0.1%) (35,447) (Premiums $40,793) Other Assets and Liabilities (Net) (51.9%) (18,465,617) ------------ Net Assets 100.0% $ 35,548,715 ============ Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 295,213 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (600,021) ------------ Unrealized depreciation-net $ (304,808) ============ (b) Securities with an aggregate market value of $1,621 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: Unrealized # of Appreciation/ Type Contracts (Depreciation) ---------------------------------------------------------------------------- Eurodollar December Futures (12/2000) 305 $ (173) Municipal Bond (12/2000) 2,371 (1,820) EuroBond 10 Year Note (12/2000) 17,718 1,772 U.S. Treasury 5 Year Note (12/2000) 10,646 (6,488) U.S. Treasury 10 Year Note (12/2000) 29,648 5,027 U.S. Treasury 30 Year Bond (12/2000) 4,844 (2,214) EuroBond 10 Year Note Options (11/2000) 22,213 4,080 United Kingdom 10 Year Note (12/2000) 2,731 1,588 -------------- $ 1,772 ============== (c) Premiums received on written options: # of Type Contracts Premium Value ---------------------------------------------------------------------------- Call - TSE Government of Japan December Futures Strike @ 134.00 Exp. 11/30/2000 458 $ 881 $ 916 Put - OTC Japanese Interest Rate Swap December Futures Strike @ 2.305% Exp. 11/30/2000 10,800,000,000 86 372 Put - OTC Japanese Interest Rate Swap December Futures Strike @ 2.315% Exp. 11/30/2000 10,800,000,000 101 377 Call - CBOT U.S. Treasury Note December Futures Strike @ 103.00 Exp. 11/18/2000 10,716 1,364 1,172 Call - CBOT U.S. Treasury Note December Futures Strike @ 102.00 Exp. 11/18/2000 12,253 3,119 2,872 Put - CBOT U.S. Treasury Note December Futures Strike @ 98.00 Exp. 11/18/2000 4,528 1,662 778 Put - CBOT U.S. Treasury Note December Futures Strike @ 97.00 Exp. 11/18/2000 2,991 744 280 Put - CME Eurodollar December Futures Strike @ 93.00 Exp. 12/18/2000 5,644 5,314 141 110 See accompanying notes Call - CME Eurodollar December Futures Strike @ 92.75 Exp. 1,195 $ 845 $ 1,479 12/18/2000 Put - CME Eurodollar March Futures Strike @ 92.75 Exp. 7,127 2,736 267 03/19/2001 Call - CME Eurodollar March Futures Strike @ 93.25 Exp. 18,834 4,726 13,890 03/19/2001 Put - CME Eurodollar March Futures Strike @ 92.50 Exp. 7,225 4,582 181 03/19/2001 Call - CME Eurodollar March Futures Strike @ 93.00 Exp. 5,000 2,098 6,313 03/19/2001 Put - CME Eurodollar March Futures Strike @ 92.25 Exp. 8,769 5,077 110 03/19/2001 Put - CME Eurodollar December Futures Strike @ 92.25 Exp. 2,902 1,109 18 12/18/2000 Put - OTC 3 Month LIBOR Interest Rate Swap Strike @ 8.250% Exp. 560,000,000 2,226 11 03/19/2001 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.750% Exp. 560,000,000 603 2,750 03/19/2001 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.500% Exp. 275,000,000 1,760 1,760 02/23/2001 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.500% Exp. 275,000,000 1,760 1,760 02/22/2001 ----------------------- $ 40,793 $ 35,477 ======================= (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Reverse repurchase agreements were entered into September 25, 2000 paying interest at 6.520%. The following securities were segregated with collateral for reverse repurchase agreements Type Maturity Value ----------------------------------------------------------------------- Federal National Mortgage Assn. 7.000% 10/01/2003 $ 42,864 Federal National Mortgage Assn. 6.690% 08/01/2027 39,604 Government National Mortgage Assn. 7.130% 10/20/2030 65,131 Government National Mortgage Assn. 6.750% 07/20/2027 41,986 ---------- $ 189,585 ========== (f) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Sell C$ 43,714 10/2000 $ 413 Buy 7,000 10/2000 (54) Sell EC 295,593 10/2000 8,049 Buy 393,768 10/2000 (1,541) Buy 276,495 11/2000 502 Sell BP 103,747 10/2000 (5,419) Buy HF 2,000,000 03/2001 181 Sell JY 4,519,202 04/2001 (1,390) Sell 20,157,034 10/2000 3,425 Buy 18,843,139 10/2000 71 Sell 18,843,139 11/2000 (100) Sell N$ 60,917 10/2000 565 Buy PZ 45,000 01/2001 (543) Buy 40,000 02/2001 (215) Buy 17,000 03/2001 (168) ------------ $ 3,776 ============ (g) Principal amount denoted in indicated currency: BP - British Pound C$ - Canadian Dollar EC - Euro HF - Hungarian Forint JY - Japanese Yen N$ - New Zealand Dollar PZ - Polish Zloty (h) Swap agreements outstanding at September 30, 2000: Notional Unrealized Type Amount Depreciation -------------------------------------------------------------------------------- Receive floating rate based on 6-month JY-LIBOR and pay fixed rate equal to 2.340%. Broker: Deutsche Bank AG New York Exp. 10/08/2007 JY 24,500,000 $ (9,740) Receive floating rate based on 6-month JY-LIBOR and pay fixed rate equal to 1.495%. Broker: Deutsche Bank AG New York Exp. 09/16/2008 7,000,000 1,709 Receive floating rate based on 3-month LIBOR plus 1.600% and pay a fixed rate equal to 0.426%. Broker: Lehman Brothers Exp. 04/19/2005 $ 13,033 1 Receive floating rate based on 3-month LIBOR plus 0.500% and pay a fixed rate equal to 7.600%. Broker: Lehman Brothers Exp. 07/15/2003 35,000 (354) Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.930%. Broker: Goldman Sachs Exp. 08/25/2030 BP 50,000 (579) Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.302%. Broker: Goldman Sachs Exp. 07/13/2010 C$ 40,000 (258) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.295%. Broker: Goldman Sachs Exp. 04/14/2008 JY 11,635,000 (3,964) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.305%. Broker: Goldman Sachs Exp. 04/15/2008 7,563,000 (2,621) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.669%. Broker: Goldman Sachs Exp. 05/18/2007 51,000,000 (1,259) Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to 6.175%. Broker: Goldman Sachs Exp. 05/22/2030 EC 94,820 (953) See accompanying notes 111 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Receive floating rate based on 6-month EURO-LIBOR plus 0.499% and pay a fixed rate equal to 6.000%. Broker: J.P. Morgan Exp. 01/04/2009 EC 123,620 $ 1,945 Receive floating rate based on 6-month EURO-LIBOR minus 0.54% and pay a fixed rate equal to 6.250%. Broker: J.P. Morgan Exp. 01/04/2024 26,270 320 Receive floating rate based on 3-month EURO-LIBOR and pay a fixed rate equal to 6.010%. Broker: Morgan Stanley Exp. 01/04/2030 83,670 (514) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.305%. Broker: Goldman Sachs Exp. 04/15/2008 JY 377,000 29 Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.669%. Broker: Goldman Sachs Exp. 05/18/2007 1,500,000 33 Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.295%. Broker: Goldman Sachs Exp. 04/14/2008 580,000 47 Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.317%. Broker: Goldman Sachs Exp. 07/12/2010 C$ 30,000 (213) Receive a fixed rate equal to 7.317% and pay floating rate based on 3-month LIBOR. Broker: Morgan Stanley Exp. 11/15/2003 $ 85,000 1,117 Receive floating rate based on 3-month LIBOR and pay to the counterparty $187,253 due 11/15/2021. Broker: Lehman Brothers Exp. 11/15/2021 42,600 (702) Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 5.950%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/17/2001 3,200 0 Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 6.150%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/22/2001 3,200 (171) Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 5.050%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 05/03/2001 6,000 (201) Receive fixed rate equal to 0.650% and the Fund will pay to the counterparty at par in the event of default of Niagara Mohawk Corp. 7.750% due 10/01/2008. Broker: Lehman Brothers Exp. 12/31/2004 50,000 3 Receive fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.400% due 02/01/2004. Broker: Goldman Sachs Exp. 11/10/2002 20,000 1 Receive fixed rate equal to 0.510% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 01/25/2005 10,000 1 Receive fixed rate equal to 0.650% and the Fund will pay to the counterparty at par in the event of default of Philip Morris Co. 7.200% due 02/01/2007. Broker: Goldman Sachs Exp. 12/22/2000 17,000 1 Receive fixed rate equal to 0.250% and the Fund will pay to the counterparty at par in the event of default of Pacific Gas & Electric Corp. 6.550% due 12/08/2005. Broker: J.P. Morgan Exp. 05/23/2003 22,000 0 Receive fixed rate equal to 5.600% and the Fund will pay to the counterparty at par in the event of default of the Republic of Venezuela 9.250% due 09/15/2027. Broker: Deutsche Bank AG New York Exp. 04/04/2001 25,000 14 Receive fixed rate equal to 5.850% and the Fund will pay to the counterparty at par in the event of default of the Republic of Venezuela 9.250% due 09/15/2027. Broker: Deutsche Bank AG New York Exp. 04/17/2001 10,000 6 Receive fixed rate equal to 0.250% and the Fund will pay to the counterparty at par in the event of default of Wisconsin Electric Power 6.625% due 11/16/2006. Broker: Lehman Brothers Exp. 04/18/2003 25,000 1 Receive fixed rate equal to 1.900% and the Fund will pay to the counterparty at par in the event of default of the Republic of Brazil based on 6-month LIBOR plus 0.813% due 04/15/2006. Broker: Credit Suisse First Boston International Exp. 05/03/2001 50,000 9 Receive fixed rate equal to 1.300% and the Fund will pay to the counterparty at par in the event of default of United Mexican States 9.875% due 01/15/2007. Broker: Salomon Brothers, Inc. Exp. 05/09/2002 50,000 7 112 See accompanying notes Receive fixed rate equal to 0.100% and the Fund will pay to the counterparty at par in the event of default of Walmart Stores, Inc. 6.875% due 08/10/2009. Broker: Credit Suisse First Boston International Exp. 11/01/2000 $ 100,000 $ 1 Receive fixed rate equal to 0.100% and the Fund will pay to the counterparty at par in the event of default of General Electric Capital Corp. 7.250% due 02/02/2005. Broker: J.P. Morgan Exp. 05/19/2001 50,000 1 Receive fixed rate equal to 1.500% and the Fund will pay to the counterparty at par in the event of default of United Mexican States 9.875% due 01/15/2007. Broker: Salomon Brothers, Inc. Exp. 06/13/2002 50,000 8 Receive fixed rate equal to 0.500% and the Fund will pay to the counterparty at par in the event of default of Raytheon Co. 6.500% due 07/15/2005. Broker: Merril Lynch Exp. 06/30/2001 25,000 1 Receive fixed rate equal to 0.120% and the Fund will pay to the counterparty at par in the event of default of IBM Corp. 7.250% due 11/01/2002. Broker: J.P. Morgan Exp. 12/31/2000 50,000 1 Receive a fixed rate equal to 4.910% and pay floating rate based on 10-year Municipal Market Dataline Index. Broker: Morgan Stanley Exp. 11/07/2000 10,000 361 --------- $ (15,912) ========= Fixed Unrealized Spread Notional Appreciation/ Type (%) Amount Depreciation -------------------------------------------------------------------------------- Receive the 10-year Swap Spread and pay a fixed spread. The 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Goldman Sachs Exp. 02/15/2005 0.8675 $ 258,500 $ 2,598 Broker: Morgan Stanley Exp. 02/28/2005 0.9925 25,000 (223) Receive On-The-Run 30-year Swap Spread and pay a fixed spread. The on the-run 30-year Swap Spread is the difference between the 30-year Swap Rate and the 30-year Treasury Rate. Broker: Goldman Sachs Exp. 04/04/2005 1.3900 50,000 (591) Receive the 30-year Swap Spread and pay a fixed spread. The 30-year Swap Spread is the difference between the 30-year Swap Rate and the 30-year Treasury Rate. Broker: Goldman Sachs Exp. 02/16/2005 1.1120 37,700 (329) Broker: Goldman Sachs Exp. 02/15/2005 1.0850 10,000 (155) Broker: Goldman Sachs Exp. 02/16/2005 1.1120 3,300 (52) Receive the 5-year Swap Spread and pay a fixed spread. The 5-year Swap Spread is the difference between the 5-year Swap Rate and the 5-year Treasury Rate. Broker: Morgan Stanley 0.9900 107,200 (294) Exp. 04/07/2005 Broker: Lehman Brothers Exp. 04/10/2005 0.9500 130,000 (356) Broker: Bank of America Exp. 04/11/2005 0.9675 250,000 (263) Receive On-The-Run 2-year Swap Spread and pay a fixed spread. The On-The-Run 2-year Swap Spread is the difference between the 2-year Swap Rate and the 2-year Treasury Rate. Broker: Bank of America Exp. 07/19/2001 0.9250 100,000 (850) --------- $ (515) ========= (i) Principal amount of the security is adjusted for inflation. (j) Subject to financing transaction. (k) Securities are grouped by coupon or range of coupons and represent a range of maturities. (l) Restricted security. (m) Security is in default. See accompanying notes 113 Schedule of Investments Total Return Mortgage Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 0.3% -------------------------------------------------------------------- Treasury Inflation Protected Securities (e) 3.625% due 07/15/2002 $ 54 $ 54 ---------- Total U.S. Treasury Obligations 54 (Cost $54) ========== -------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 124.2% -------------------------------------------------------------------- Collateralized Mortgage Obligations 52.8% Chase Mortgage Finance Corp. 7.000% due 07/25/2024 607 603 7.000% due 12/25/2028 334 308 Countrywide Alternative Loan Trust 6.750% due 08/25/2028 95 93 Countrywide Home Loans 6.750% due 11/25/2027 38 38 DLJ Mortgage Acceptance Corp. 7.000% due 06/25/2028 138 130 Federal Home Loan Mortgage Corp. 6.000% due 06/15/2008 432 423 6.328% due 02/01/2018 (d) 172 168 4.500% due 03/15/2021 52 47 6.750% due 08/15/2021 1,000 986 3.500% due 12/15/2022 10 7 6.500% due 12/15/2023 46 42 6.500% due 03/15/2024 107 94 6.900% due 04/15/2026 1,035 1,022 8.000% due 06/15/2026 70 71 6.500% due 05/15/2027 73 66 7.000% due 01/15/2028 150 131 6.000% due 10/15/2028 153 131 Federal National Mortgage Assn. 6.900% due 08/25/2011 100 97 6.500% due 02/25/2019 1,044 1,035 7.750% due 08/25/2022 63 64 7.500% due 03/25/2023 96 94 7.625% due 04/25/2023 (d) 25 26 6.500% due 09/25/2023 36 32 6.750% due 09/25/2023 53 47 7.000% due 09/25/2023 16 15 6.500% due 10/25/2023 217 199 6.500% due 12/25/2023 170 143 7.100% due 12/25/2023 41 39 7.020% due 04/18/2028 (d) 124 124 General Electric Capital Mortgage Services, Inc. 7.000% due 01/25/2028 100 92 6.750% due 06/25/2028 200 188 Government National Mortgage Assn. 7.500% due 12/20/2022 149 149 Norwest Asset Securities Corp. 6.250% due 01/25/2029 174 162 PNC Mortgage Securities Corp. 6.750% due 09/25/2028 1,099 1,036 Residential Accredit Loans, Inc. 7.000% due 01/25/2028 386 384 Superannuation Members Home Loans Global Fund 6.915% due 06/15/2026 (d) 300 300 Vendee Mortgage Trust 7.750% due 05/15/2022 38 38 ---------- 8,624 ========== Federal Home Loan Mortgage Corporation 3.1% 5.500% due 02/01/2001 154 151 6.000% due 10/01/2024 150 142 7.000% due 02/01/2027 113 111 7.556% due 11/01/2028 (d) 107 109 ---------- 513 ========== Federal National Mortgage Association 22.4% 5.805% due 10/01/2028 (d) 494 476 6.000% due 10/01/2099 700 654 6.483% due 11/01/2018 (d) 43 43 7.500% due 12/01/2099 2,000 1,995 7.519% due 05/01/2023 (d) 168 169 9.000% due 01/01/2020 304 317 ---------- 3,654 ========== Government National Mortgage Association 44.9% 6.375% due 03/20/2027 (d) 9 9 6.750% due 07/20/2022-07/20/2025 538 543 (c)(d) 7.125% due 12/20/2021-11/20/2026 392 395 (c)(d) 7.375% due 03/20/2016-01/20/2027 1,326 1,335 (c)(d) 7.500% due 05/15/2027-08/15/2027 (c) 124 124 8.000% due 12/15/2099 4,450 4,529 8.500% due 12/31/2099 400 411 ----------- 7,346 =========== Stripped Mortgage-Backed Securities 1.0% Federal National Mortgage Association (IO) 6.500% due 07/25/2007 59 3 Federal National Mortgage Association (PO) 0.000% due 07/25/2022 264 162 ----------- 165 ----------- Total Mortgage-Backed Securities 20,302 (Cost $20,119) =========== -------------------------------------------------------------------- ASSET-BACKED SECURITIES 2.8% -------------------------------------------------------------------- Bayview Financial Acquisition Trust 7.011% due 07/25/2030 (d) 197 197 MLCC Mortgage Investors, Inc. 6.998% due 03/15/2025 (d) 253 254 ----------- Total Asset-Backed Securities 451 (Cost $450) =========== -------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 0.1% -------------------------------------------------------------------- Technology 0.1% Clear Channel Communications, Inc. 1.500% due 12/01/2002 10 9 ----------- Total Convertible Bonds & Notes 9 (Cost $10) =========== -------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 18.8% -------------------------------------------------------------------- Commercial Paper 17.0% Alcoa, Inc. 6.450% due 12/21/2000 200 197 American Electric Power, Inc. 6.760% due 10/04/2000 400 400 AT&T Corp. 6.510% due 12/13/2000 200 197 Conagra, Inc. 6.670% due 10/04/2000 600 600 6.670% due 11/15/2000 300 298 Eastman Kodak Co. 6.460% due 12/04/2000 200 198 General Electric Capital Corp. 6.470% due 12/20/2000 200 197 Ingersoll-Rand Co. 6.690% due 10/04/2000 300 300 KFW International Finance 6.460% due 12/06/2000 300 297 Yorkshire Building Society 6.490% due 11/14/2000 100 99 ---------- 2,783 ========== Repurchase Agreement 1.7% State Street Bank 5.850% due 10/02/2000 285 285 (Dated 9/29/2000. Collateralized by ---------- Federal Home Loan Mortgage Corp. 7.050% due 09/19/2003 valued at $295. Repurchase proceeds are $285.) U.S. Treasury Bills (b) 0.1% 5.925% due 02/01/2001 10 10 ---------- Total Short-Term Instruments 3,078 (Cost $3,077) ========== 114 See accompanying notes Value (000s) ------------------------------------------------------------------------ Total Investments (a) 146.2% $ 23,894 (Cost $23,710) Other Assets and Liabilities (Net) (46.2%) (7,548) ------------- Net Assets 100.0% $ 16,346 ============= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 229 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (45) ------------- Unrealized appreciation-net $ 184 ============= (b) Securities with an aggregate market value of $10 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: # of Unrealized Type Contracts Appreciation ------------------------------------------------------------------------ U.S. Treasury 10 Year Note (12/2000) 1 $ 0 ------------- (c) Securities are grouped by coupon or range of coupons and represent a range of maturities. (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Principal amount of the security is adjusted for inflation. See accompanying notes 115 Financial Highlights - A, B, and C Classes
Net Realized / Net Asset Value Unrealized Gain Total Income Dividends from Selected Per Share Data for the Year Beginning of Net Investment (Loss) on from Investment Net Investment or Period Ended: Period Income (Loss) Investments Operations Income --------------- -------------- --------------- --------------- -------------- California Intermediate Municipal Bond Fund Class A 09/30/2000 (b) $ 10.05 $ 0.19(a) $ 0.25(a) $ 0.44 $ (0.20) 10/19/1999 - 03/31/2000 9.94 0.18(a) 0.12(a) 0.30 (0.17) California Municipal Bond Fund Class A 07/31/2000 - 09/30/2000 (b) $ 10.35 $ 0.08(a) $ 0.04(a) $ 0.12 $ (0.09) Convertible Fund Class A 09/30/2000 (b) $ 15.76 $ 0.00(a) $ (0.33)(a) $ (0.33) $ (0.10) 05/28/1999 - 03/31/2000 10.67 0.00(a) 5.35(a) 5.35 (0.03) Class B 09/30/2000 (b) 15.68 (0.09)(a) (0.26)(a) (0.35) (0.06) 05/28/1999 - 03/31/2000 10.67 (0.07)(a) 5.29(a) 5.22 (0.02) Class C 09/30/2000 (b) 15.71 (0.09)(a) (0.27)(a) (0.36) (0.05) 05/28/1999 - 03/31/2000 10.67 (0.07)(a) 5.31(a) 5.24 (0.02) Emerging Markets Bond Fund Class A 09/30/2000 (b) $ 8.61 $ 0.41(a) $ 0.02(a) $ 0.43 $ (0.40) 03/31/2000 7.51 0.84(a) 1.10(a) 1.94 (0.84) 03/31/1999 9.67 0.83(a) (2.11)(a) (1.28) (0.83) 07/31/1997 - 03/31/1998 10.00 0.44(a) (0.18)(a) 0.26 (0.44) Class B 09/30/2000 (b) 8.61 0.37(a) 0.03(a) 0.40 (0.37) 03/31/2000 7.51 0.77(a) 1.11(a) 1.88 (0.78) 03/31/1999 9.67 0.77(a) (2.11)(a) (1.34) (0.77) 07/31/1997 - 03/31/1998 10.00 0.40(a) (0.20)(a) 0.20 (0.38) Class C 09/30/2000 (b) 8.61 0.37(a) 0.04(a) 0.41 (0.38) 03/31/2000 7.51 0.78(a) 1.10(a) 1.88 (0.78) 03/31/1999 9.67 0.77(a) (2.11)(a) (1.34) (0.77) 07/31/1997 - 03/31/1998 10.00 0.38(a) (0.18)(a) 0.20 (0.38) Foreign Bond Fund Class A 09/30/2000 (b) $ 10.03 $ 0.29(a) $ 0.07(a) $ 0.36 $ (0.29) 03/31/2000 10.63 0.59(a) (0.45)(a) 0.14 (0.59) 03/31/1999 10.74 0.53(a) 0.24(a) 0.77 (0.53) 03/31/1998 10.41 0.61(a) 0.62(a) 1.23 (0.59) 01/20/1997 - 03/31/1997 10.59 0.59 (0.72) (0.13) (0.05) Class B 09/30/2000 (b) 10.03 0.25(a) 0.06(a) 0.31 (0.24) 03/31/2000 10.63 0.51(a) (0.45)(a) 0.06 (0.51) 03/31/1999 10.74 0.46(a) 0.24(a) 0.70 (0.46) 03/31/1998 10.41 0.53(a) 0.61(a) 1.14 (0.50) 01/20/1997 - 03/31/1997 10.59 0.58 (0.72) (0.14) (0.04) Class C 09/30/2000 (b) 10.03 0.25(a) 0.06(a) 0.31 (0.24) 03/31/2000 10.63 0.51(a) (0.45)(a) 0.06 (0.51) 03/31/1999 10.74 0.45(a) 0.24(a) 0.69 (0.45) 03/31/1998 10.41 0.52(a) 0.62(a) 1.14 (0.50) 01/20/1997 - 03/31/1997 10.59 0.58 (0.72) (0.14) (0.04)
+ Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) Unaudited (c) Ratio of expenses to average net assets excluding interest expense is 1.70%. (d) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 1.08%. 116 See accompanying notes
Dividends in Distributions Distributions in Excess of Net from Net Excess of Net Investment Realized Capital Realized Capital Total Net Asset Value Net Assets End Income Gains Gains Distributions End of Period Total Return of Period (000s) ------------- ---------------- ---------------- ------------ --------------- ------------ ---------------- $ 0.00 $ 0.00 $ 0.00 $ (0.20) $ 10.29 4.46% $ 30,905 0.00 (0.02) 0.00 (0.19) 10.05 2.94 1,793 $ 0.00 $ 0.00 $ 0.00 $ (0.09) $ 10.38 1.51% $ 10 $ 0.00 $ 0.00 $ 0.00 $ (0.10) $ 15.33 (2.10)% $ 7,029 (0.14) (0.09) 0.00 (0.26) 15.76 50.36 5,327 0.00 0.00 0.00 (0.06) 15.27 (2.23) 5,513 (0.10) (0.09) 0.00 (0.21) 15.68 49.18 2,437 0.00 0.00 0.00 (0.05) 15.30 (2.25) 14,129 (0.09) (0.09) 0.00 (0.20) 15.71 49.33 7,924 $ 0.00 $ 0.00 $ 0.00 $ (0.40) $ 8.64 5.19% $ 321 0.00 0.00 0.00 (0.84) 8.61 27.39 316 0.00 0.00 (0.05) (0.88) 7.51 (12.90) 172 0.00 (0.15) 0.00 (0.59) 9.67 2.84 317 0.00 0.00 0.00 (0.37) 8.64 4.75 1,320 0.00 0.00 0.00 (0.78) 8.61 26.43 1,168 0.00 0.00 (0.05) (0.82) 7.51 (13.58) 398 0.00 (0.15) 0.00 (0.53) 9.67 2.29 304 0.00 0.00 0.00 (0.38) 8.64 4.88 556 0.00 0.00 0.00 (0.78) 8.61 26.49 249 0.00 0.00 (0.05) (0.82) 7.51 (13.57) 229 0.00 (0.15) 0.00 (0.53) 9.67 2.29 136 $ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 10.10 3.59% $ 65,845 0.00 (0.15) 0.00 (0.74) 10.03 1.50 54,299 0.00 (0.10) (0.25) (0.88) 10.63 7.43 29,009 0.00 (0.31) 0.00 (0.90) 10.74 12.14 9,582 0.00 0.00 0.00 (0.05) 10.41 (1.21) 704 0.00 0.00 0.00 (0.24) 10.10 3.15 25,730 0.00 (0.15) 0.00 (0.66) 10.03 0.72 24,402 0.00 (0.10) (0.25) (0.81) 10.63 6.69 21,256 0.00 (0.31) 0.00 (0.81) 10.74 11.29 10,631 0.00 0.00 0.00 (0.04) 10.41 (1.34) 1,221 0.00 0.00 0.00 (0.24) 10.10 3.16 30,961 0.00 (0.15) 0.00 (0.66) 10.03 0.73 30,214 0.00 (0.10) (0.25) (0.80) 10.63 6.63 29,584 0.00 (0.31) 0.00 (0.81) 10.74 11.29 17,080 0.00 0.00 0.00 (0.04) 10.41 (1.32) 1,788
Ratio of Net Ratio of Investment Expenses to Income (Loss) Average Net to Average Portfolio Assets Net Assets Turnover Rate ----------- ------------ ------------- 0.85%+ 3.78%+ 194% 0.85+(f) 3.96+ 357 0.85%+ 4.73%+ 286% 1.08%+ (0.41)%+ 100% 1.05+(d) 0.15+ 247 1.83+ (1.21)+ 100 1.80+(e) (0.58)+ 247 1.83+ 0.03+ 100 1.80+(e) (0.59)+ 247 1.25%+ 9.44%+ 377% 1.29 10.59 328 1.25 10.26 315 1.26+ 6.93+ 695 2.00+ 8.63+ 377 2.04 9.57 328 2.00 9.68 315 2.01+ 6.33+ 695 2.00+ 8.74+ 377 2.04 9.87 328 2.00 9.79 315 2.01+ 6.11+ 695 1.00%+ 5.72%+ 248% 1.19 (g) 5.75 330 0.95 4.87 376 0.95 5.88 280 0.97+ 4.95+ 984 1.75+ 5.00+ 248 1.91 (c) 5.00 330 1.70 4.14 376 1.70 5.13 280 1.75+ 3.73+ 984 1.75+ 5.01+ 248 1.91 (c) 5.01 330 1.70 4.16 376 1.70 5.13 280 1.76+ 4.09+ 984
(e) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 1.83%. (f) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 1.63%. (g) Ratio of expenses to average net assets excluding interest expense is 0.95%. See accompanying notes 117 Financial Highlights - A, B, and C Classes (Cont.)
Net Realized / Net Asset Value Unrealized Gain Total Income Dividends from Selected Per Share Data for the Beginning of Net Investment (Loss) on from Investment Net Investment Year or Period Ended: Period Income (Loss) Investments Operations Income --------------- -------------- --------------- --------------- -------------- Global Bond Fund II Class A 09/30/2000 (b) $ 9.41 $ 0.28 (a) $ 0.07 (a) $ 0.35 $ (0.28) 03/31/2000 9.89 0.52 (a) (0.46) (a) 0.06 (0.51) 03/31/1999 9.92 0.48 (a) 0.06 (a) 0.54 (0.48) 03/31/1998 10.84 0.64 (a) 0.51 (a) 1.15 0.00 10/01/1996 - 03/31/1997 10.96 0.66 (0.16) 0.50 (0.22) 09/30/1996 10.00 0.32 (e) 0.95 1.27 (0.31) Class B 09/30/2000 (b) 9.41 0.25 (a) 0.07 (a) 0.32 (0.25) 03/31/2000 9.89 0.45 (a) (0.46) (a) (0.01) (0.44) 03/31/1999 9.92 0.41 (a) 0.06 (a) 0.47 (0.41) 03/31/1998 10.84 0.66 (a) 0.41 (a) 1.07 0.00 10/01/1996 - 03/31/1997 10.96 0.62 (0.16) 0.46 (0.18) 09/30/1996 10.00 0.30 (e) 0.92 1.22 (0.26) Class C 09/30/2000 (b) 9.41 0.25 (a) 0.07 (a) 0.32 (0.25) 03/31/2000 9.89 0.45 (a) (0.46) (a) (0.01) (0.44) 03/31/1999 9.92 0.41 (a) 0.06 (a) 0.47 (0.41) 03/31/1998 10.84 0.55 (a) 0.52 (a) 1.07 0.00 10/01/1996 - 03/31/1997 10.96 0.62 (0.16) 0.46 (0.18) 09/30/1996 10.00 0.30 (e) 0.92 1.22 (0.26) High Yield Fund Class A 09/30/2000 (b) $ 10.22 $ 0.44 (a) $ (0.10) (a) $ 0.34 $ (0.44) 03/31/2000 11.23 0.89 (a) (1.01) (a) (0.12) (0.88) 03/31/1999 11.66 0.91 (a) (0.43) (a) 0.48 (0.90) 03/31/1998 11.10 0.93 (a) 0.66 (a) 1.59 (0.94) 01/13/1997 - 03/31/1997 11.18 0.17 (0.05) 0.12 (0.20) Class B 09/30/2000 (b) 10.22 0.40 (a) (0.10) (a) 0.30 (0.40) 03/31/2000 11.23 0.81 (a) (1.01) (a) (0.20) (0.80) 03/31/1999 11.66 0.82 (a) (0.43) (a) 0.39 (0.81) 03/31/1998 11.10 0.84 (a) 0.66 (a) 1.50 (0.85) 01/13/1997 - 03/31/1997 11.18 0.15 (0.05) 0.10 (0.18) Class C 09/30/2000 (b) 10.22 0.40 (a) (0.10) (a) 0.30 (0.40) 03/31/2000 11.23 0.81 (a) (1.01) (a) (0.20) (0.80) 03/31/1999 11.66 0.82 (a) (0.43) (a) 0.39 (0.81) 03/31/1998 11.10 0.85 (a) 0.65 (a) 1.50 (0.85) 01/13/1997 - 03/31/1997 11.18 0.15 (0.05) 0.10 (0.18)
+ Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) Unaudited (c) Ratio of expenses to average net assets without the waiver would have been 1.57%. (d) Ratio of net investment income to average net assets without the waiver would have been 4.58%. (e) Reflects voluntary waiver of investment advisory fee of $12,041 (0.01 per share) by the Advisor. 118 See accompanying notes
Dividends in Distributions Distributions in Excess of Net from Net Excess of Net Investment Realized Capital Realized Capital Total Net Asset Value Net Assets End Income Gains Gains Distributions End of Period Total Return of Period (000s) ------------- ---------------- ---------------- ------------- --------------- ------------ ---------------- $ 0.00 $ 0.00 $ 0.00 $ (0.28) $ 9.48 3.79% $ 1,876 (0.01) (0.02) 0.00 (0.54) 9.41 0.71 2,279 0.00 (0.01) (0.08) (0.57) 9.89 5.65 2,728 (0.54) (1.53) 0.00 (2.07) 9.92 11.21 6,816 0.00 (0.40) 0.00 (0.62) 10.84 4.55 7,652 0.00 0.00 0.00 (0.31) 10.96 15.01 7,360 0.00 0.00 0.00 (0.25) 9.48 3.41 4,405 (0.01) (0.02) 0.00 (0.47) 9.41 (0.05) 4,590 0.00 (0.01) (0.08) (0.50) 9.89 4.85 4,909 (0.46) (1.53) 0.00 (1.99) 9.92 10.39 4,473 0.00 (0.40) 0.00 (0.58) 10.84 4.17 3,925 0.00 0.00 0.00 (0.26) 10.96 14.54 3,240 0.00 0.00 0.00 (0.25) 9.48 3.41 4,665 (0.01) (0.02) 0.00 (0.47) 9.41 (0.05) 5,254 0.00 (0.01) (0.08) (0.50) 9.89 4.82 5,863 (0.46) (1.53) 0.00 (1.99) 9.92 10.39 6,096 0.00 (0.40) 0.00 (0.58) 10.84 4.17 5,323 0.00 0.00 0.00 (0.26) 10.96 14.54 3,459 $ 0.00 $ 0.00 $ 0.00 $ (0.44) $ 10.12 3.41% $ 194,060 (0.01) 0.00 0.00 (0.89) 10.22 (1.15) 187,039 (0.01) 0.00 0.00 (0.91) 11.23 4.32 155,466 0.00 0.00 (0.09) (1.03) 11.66 14.80 70,858 0.00 0.00 0.00 (0.20) 11.10 1.06 28,873 0.00 0.00 0.00 (0.40) 10.12 3.03 295,258 (0.01) 0.00 0.00 (0.81) 10.22 (1.89) 303,333 (0.01) 0.00 0.00 (0.82) 11.23 3.54 286,198 0.00 0.00 (0.09) (0.94) 11.66 13.94 156,099 0.00 0.00 0.00 (0.18) 11.10 0.86 60,269 0.00 0.00 0.00 (0.40) 10.12 3.03 331,227 (0.01) 0.00 0.00 (0.81) 10.22 (1.89) 341,953 (0.01) 0.00 0.00 (0.82) 11.23 3.55 370,861 0.00 0.00 (0.09) (0.94) 11.66 13.95 284,836 0.00 0.00 0.00 (0.18) 11.10 0.88 205,297 Ratio of Net Ratio of Investment Expenses to Income (Loss) Average Net to Average Portfolio Assets Net Assets Turnover Rate ----------- ------------- ------------- 0.95%+ 6.00%+ 209% 0.98 5.45 290 0.95 5.07 236 0.95 5.88 369 2.05+ 5.60+ 307 1.27 (c) 4.88 (d) 1246 1.70+ 5.25+ 209 1.73 4.72 290 1.70 4.16 236 1.70 5.12 369 2.57+ 4.22+ 307 2.49 (c) 4.09 (d) 1246 1.70+ 5.26+ 209 1.73 4.71 290 1.70 4.16 236 1.70 5.12 369 2.43+ 4.14+ 307 2.49 (c) 4.09 (d) 1246 0.90%+ 8.59%+ 20% 0.90 8.23 39 0.90 7.94 39 0.90 8.02 37 0.92+ 8.28+ 67 1.65+ 7.85+ 20 1.65 7.48 39 1.65 7.21 39 1.65 7.27 37 1.67+ 7.52+ 67 1.65+ 7.85+ 20 1.65 7.49 39 1.65 7.24 39 1.65 7.36 37 1.68+ 7.56+ 67
See accompanying notes 119 Financial Highlights - A, B, and C Classes (Cont.)
Net Realized / Net Asset Value Unrealized Gain Total Income Dividends from Beginning of Net Investment (Loss) on from Investment Net Investment Selected Per Share Data for the Year or Period Ended: Period Income (Loss) Investments Operations Income -------------- -------------- --------------- --------------- -------------- Long-Term U.S. Government Fund Class A 09/30/2000 (b) $ 9.79 $ 0.29 (a) $ 0.16 (a) $ 0.45 $ (0.29) 03/31/2000 10.30 0.58 (a) (0.51)(a) 0.07 (0.58) 03/31/1999 10.57 0.59 (a) 0.20 (a) 0.79 (0.60) 03/31/1998 9.39 0.48 (a) 1.34 (a) 1.82 (0.58) 01/20/1997 - 03/31/1997 9.67 0.32 (0.47) (0.15) (0.13) Class B 09/30/2000 (b) 9.79 0.25 (a) 0.17 (a) 0.42 (0.26) 03/31/2000 10.30 0.50 (a) (0.50)(a) (0.00) (0.51) 03/31/1999 10.57 0.51 (a) 0.20 (a) 0.71 (0.52) 03/31/1998 9.39 0.39 (a) 1.35 (a) 1.74 (0.50) 01/20/1997 - 03/31/1997 9.67 0.29 (0.47) (0.18) (0.10) Class C 09/30/2000 (b) 9.79 0.25 (a) (0.17)(a) 0.42 (0.26) 03/31/2000 10.30 0.51 (a) (0.51)(a) (0.00) (0.51) 03/31/1999 10.57 0.50 (a) 0.21 (a) 0.71 (0.52) 03/31/1998 9.39 0.39 (a) 1.35 (a) 1.74 (0.50) 01/20/1997 - 03/31/1997 9.67 0.29 (0.47) (0.18) (0.10) Low Duration Fund Class A 09/30/2000 (b) $ 9.81 $ 0.29 (a) $ 0.08 (a) $ 0.37 $ (0.32) 03/31/2000 10.10 0.59 (a) (0.29)(a) 0.30 (0.58) 03/31/1999 10.18 0.60 (a) (0.02)(a) 0.58 (0.60) 03/31/1998 9.98 0.60 (a) 0.23 (a) 0.83 (0.58) 01/13/1997 - 03/31/1997 10.02 0.12 (0.03) 0.09 (0.12) Class B 09/30/2000 (b) 9.81 0.25 (a) 0.08 (a) 0.33 (0.28) 03/31/2000 10.10 0.51 (a) (0.29)(a) 0.22 (0.50) 03/31/1999 10.18 0.52 (a) (0.02)(a) 0.50 (0.52) 03/31/1998 9.98 0.53 (a) 0.22 (a) 0.75 (0.50) 01/13/1997 - 03/31/1997 10.02 0.10 (0.03) 0.07 (0.11) Class C 09/30/2000 (b) 9.81 0.27 (a) 0.07 (a) 0.34 (0.29) 03/31/2000 10.10 0.54 (a) (0.29)(a) 0.25 (0.53) 03/31/1999 10.18 0.55 (a) (0.02)(a) 0.53 (0.55) 03/31/1998 9.98 0.55 (a) 0.23 (a) 0.78 (0.53) 01/13/1997 - 03/31/1997 10.02 0.11 (0.03) 0.08 (0.11) Money Market Fund Class A 09/30/2000 (b) $ 1.00 $ 0.03 (a) $ 0.00 (a) $ 0.03 $ (0.03) 03/31/2000 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 03/31/1999 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 03/31/1998 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 01/13/1997 - 03/31/1997 1.00 0.01 0.00 0.01 (0.01) Class B 09/30/2000 (b) 1.00 0.02 (a) 0.00 (a) 0.02 (0.02) 03/31/2000 1.00 0.04 (a) 0.00 (a) 0.04 (0.04) 03/31/1999 1.00 0.04 (a) 0.00 (a) 0.04 (0.04) 03/31/1998 1.00 0.04 (a) 0.00 (a) 0.04 (0.04) 01/13/1997 - 03/31/1997 1.00 0.01 0.00 0.01 (0.01) Class C 09/30/2000 (b) 1.00 0.03 (a) 0.00 (a) 0.03 (0.03) 03/31/2000 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 03/31/1999 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 03/31/1998 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 01/13/1997 - 03/31/1997 1.00 0.01 0.00 0.01 (0.01)
+ Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) Unaudited 120 See accompanying notes
Dividends in Distributions Distributions in Excess of Net from Net Excess of Net Investment Realized Capital Realized Capital Total Net Asset Value Net Assets End Income Gains Gains Distributions End of Period Total Return of Period (000s) ------------- ---------------- ---------------- ------------- --------------- ------------ ---------------- $ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 9.95 4.69% $ 46,694 0.00 0.00 0.00 (0.58) 9.79 0.86 42,773 0.00 0.00 (0.46) (1.06) 10.30 7.34 29,809 0.00 (0.06) 0.00 (0.64) 10.57 19.78 6,161 0.00 0.00 0.00 (0.13) 9.39 (1.72) 1,204 0.00 0.00 0.00 (0.26) 9.95 4.30 35,627 0.00 0.00 0.00 (0.51) 9.79 0.11 34,301 0.00 0.00 (0.46) (0.98) 10.30 6.51 37,946 0.00 (0.06) 0.00 (0.56) 10.57 18.85 7,516 0.00 0.00 0.00 (0.10) 9.39 (1.92) 454 0.00 0.00 0.00 (0.26) 9.95 4.30 22,586 0.00 0.00 0.00 (0.51) 9.79 0.11 20,955 0.00 0.00 (0.46) (0.98) 10.30 6.52 31,653 0.00 (0.06) 0.00 (0.56) 10.57 18.86 7,258 0.00 0.00 0.00 (0.10) 9.39 (1.83) 275 $ 0.00 $ 0.00 $ 0.00 $ (0.32) $ 9.86 3.79% $ 247,747 (0.01) 0.00 0.00 (0.59) 9.81 3.07 235,413 0.00 (0.01) (0.05) (0.66) 10.10 5.86 191,727 (0.02) (0.03) 0.00 (0.63) 10.18 8.49 109,531 (0.01) 0.00 0.00 (0.13) 9.98 0.85 59,348 0.00 0.00 0.00 (0.28) 9.86 3.41 76,229 (0.01) 0.00 0.00 (0.51) 9.81 2.30 73,121 0.00 (0.01) (0.05) (0.58) 10.10 5.07 65,160 (0.02) (0.03) 0.00 (0.55) 10.18 7.68 17,624 0.00 0.00 0.00 (0.11) 9.98 0.68 5,296 0.00 0.00 0.00 (0.29) 9.86 3.54 110,046 (0.01) 0.00 0.00 (0.54) 9.81 2.55 110,447 0.00 (0.01) (0.05) (0.61) 10.10 5.33 112,229 (0.02) (0.03) 0.00 (0.58) 10.18 8.01 68,766 (0.01) 0.00 0.00 (0.12) 9.98 0.75 63,606 $ 0.00 $ 0.00 $ 0.00 $ (0.03) $ 1.00 2.95% $ 44,467 0.00 0.00 0.00 (0.05) 1.00 4.92 101,734 0.00 0.00 0.00 (0.05) 1.00 4.76 105,200 0.00 0.00 0.00 (0.05) 1.00 5.10 41,375 0.00 0.00 0.00 (0.01) 1.00 1.01 43,589 0.00 0.00 0.00 (0.02) 1.00 2.50 20,669 0.00 0.00 0.00 (0.04) 1.00 3.99 25,507 0.00 0.00 0.00 (0.04) 1.00 4.03 14,968 0.00 0.00 0.00 (0.04) 1.00 4.21 2,937 0.00 0.00 0.00 (0.01) 1.00 0.83 3,143 0.00 0.00 0.00 (0.03) 1.00 2.95 82,877 0.00 0.00 0.00 (0.05) 1.00 4.95 99,475 0.00 0.00 0.00 (0.05) 1.00 4.85 86,159 0.00 0.00 0.00 (0.05) 1.00 5.14 55,696 0.00 0.00 0.00 (0.01) 1.00 1.02 85,398 Ratio of Net Ratio of Investment Expenses to Income (Loss) Average Net to Average Portfolio Assets Net Assets Turnover Rate ----------- ------------- ------------- 0.90%+ 5.88%+ 828% 0.99 (e) 5.96 320 1.34 (e) 5.33 364 0.91 4.49 177 1.12+ 6.91+ 402 1.65+ 5.12+ 828 1.72 (c) 5.16 320 2.13 (c) 4.53 364 1.66 4.64 177 1.87+ 4.95+ 402 1.65+ 5.12+ 828 1.71 (c) 5.16 320 2.16 (c) 4.50 364 1.66 4.64 177 1.88+ 5.52+ 402 0.91%+ 5.84%+ 107% 0.98 (e) 5.91 82 0.90 5.85 245 0.90 5.93 309 0.91+ 5.84+ 240 1.65+ 5.09+ 107 1.73 (c) 5.16 82 1.65 5.03 245 1.65 5.16 309 1.67+ 5.03+ 240 1.40+ 5.36+ 107 1.48 (d) 5.42 82 1.40 5.35 245 1.40 5.46 309 1.42+ 5.36+ 240 0.61%+ 5.90%+ N/A 0.60 4.90 N/A 0.60 4.78 N/A 0.60 5.02 N/A 0.57+ 4.44+ N/A 1.51+ 4.91+ N/A 1.50 4.05 N/A 1.50 3.79 N/A 1.50 4.15 N/A 1.41+ 3.62+ N/A 0.61+ 5.78+ N/A 0.60 4.78 N/A 0.60 4.79 N/A 0.60 5.05 N/A 0.58+ 4.47+ N/A
(c) Ratio of expenses to average net assets excluding interest expense is 1.65%. (d) Ratio of expenses to average net assets excluding interest expense is 1.40%. (e) Ratio of expenses to average net assets excluding interest expense is 0.90%. See accompanying notes 121 Financial Highlights - A, B, and C Classes (Cont.)
Net Realized / Net Asset Value Unrealized Gain Total Income Dividends from Beginning of Net Investment (Loss) on from Investment Net Investment Selected Per Share Data for the Year or Period Ended: Period Income (Loss) Investments Operations Income -------------- -------------- -------------- --------------- -------------- Municipal Bond Fund Class A 09/30/2000 (b) $ 9.47 $ 0.22 (a) $ 0.15 (a) $ 0.37 $ (0.22) 03/31/2000 10.12 0.43 (a) (0.65) (a) (0.22) (0.43) 03/31/1999 9.97 0.41 (a) 0.15 (a) 0.56 (0.41) Class B 09/30/2000 (b) 9.47 0.19 (a) 0.15 (a) 0.34 (0.19) 03/31/2000 10.12 0.36 (a) (0.65) (a) (0.29) (0.36) 03/31/1999 9.97 0.34 (a) 0.14 (a) 0.48 (0.33) Class C 09/30/2000 (b) 9.47 0.20 (a) 0.15 (a) 0.35 (0.20) 03/31/2000 10.12 0.38 (a) (0.65) (a) (0.27) (0.38) 03/31/1999 9.97 0.36 (a) 0.15 (a) 0.51 (0.36) New York Intermediate Municipal Bond Fund Class A 09/30/2000 (b) $ 9.94 $ 0.20 (a) $ 0.27 (a) $ 0.47 $ (0.20) 10/19/1999 - 03/31/2000 9.90 0.16 (a) 0.07 (a) 0.23 (0.17) Real Return Bond Fund Class A 09/30/2000 (b) $ 9.92 $ 0.41 (a) $ 0.05 (a) $ 0.46 $ (0.43) 03/31/2000 9.83 0.64 (a) 0.11 (a) 0.75 (0.64) 03/31/1999 9.77 0.43 (a) 0.14 (a) 0.57 (0.45) 03/31/1998 9.93 0.40 (a) 0.03 (a) 0.43 (0.42) 01/29/1997 - 03/31/1997 10.00 0.11 (a) (0.10) (a) 0.01 (0.08) Class B 09/30/2000 (b) 9.92 0.38 (a) 0.05 (a) 0.43 (0.40) 03/31/2000 9.83 0.57 (a) 0.11 (a) 0.68 (0.57) 03/31/1999 9.77 0.37 (a) 0.12 (a) 0.49 (0.38) 03/31/1998 9.93 0.33 (a) 0.03 (a) 0.36 (0.36) 01/29/1997 - 03/31/1997 10.00 0.09 (0.10) (0.01) (0.06) Class C 09/30/2000 (b) 9.92 0.39 (a) 0.05 (a) 0.44 (0.41) 03/31/2000 9.83 0.58 (a) 0.12 (a) 0.70 (0.59) 03/31/1999 9.77 0.44 (a) 0.08 (a) 0.52 (0.40) 03/31/1998 9.93 0.35 (a) 0.04 (a) 0.39 (0.38) 01/29/1997 - 03/31/1997 10.00 0.09 (0.10) (0.01) (0.06) Short-Term Fund Class A 09/30/2000 (b) $ 9.95 $ 0.30 (a) $ 0.02 (a) $ 0.32 $ (0.30) 03/31/2000 10.03 0.55 (a) (0.09) (a) 0.46 (0.54) 03/31/1999 10.06 0.53 (a) (0.02) (a) 0.51 (0.53) 03/31/1998 10.00 0.55 (a) 0.09 (a) 0.64 (0.56) 01/20/1997 - 03/31/1997 10.04 0.10 (0.03) 0.07 (0.10) Class B 09/30/2000 (b) 9.95 0.26 (a) 0.02 (a) 0.28 (0.26) 03/31/2000 10.03 0.48 (a) (0.09) (a) 0.39 (0.47) 03/31/1999 10.06 0.45 (a) (0.02) (a) 0.43 (0.45) 03/31/1998 10.00 0.50 (a) 0.08 (a) 0.58 (0.50) 01/20/1997 - 03/31/1997 10.04 0.09 (0.03) 0.06 (0.10) Class C 09/30/2000 (b) 9.95 0.28 (a) 0.02 (a) 0.30 (0.28) 03/31/2000 10.03 0.52 (a) (0.09) (a) 0.43 (0.51) 03/31/1999 10.06 0.50 (a) (0.02) (a) 0.48 (0.50) 03/31/1998 10.00 0.54 (a) 0.07 (a) 0.61 (0.53) 01/20/1997 - 03/31/1997 10.04 0.09 (0.03) 0.06 (0.10)
+ Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) Unaudited (c) Ratio of expenses to average net assets excluding interest expense is 1.60%. 122 See accompanying notes
Dividends in Distributions Distributions in Excess of Net from Net Excess of Net Investment Realized Capital Realized Capital Total Net Asset Value Net Assets End Income Gains Gains Distributions End of Period Total Return of Period (000s) ------------- ---------------- ---------------- ------------- --------------- ------------ ---------------- $ 0.00 $ 0.00 $ 0.00 $ (0.22) $ 9.62 3.98% $ 6,473 0.00 0.00 0.00 (0.43) 9.47 (2.16) 8,666 0.00 0.00 0.00 (0.41) 10.12 5.67 7,020 0.00 0.00 0.00 (0.19) 9.62 3.60 4,979 0.00 0.00 0.00 (0.36) 9.47 (2.89) 5,314 0.00 0.00 0.00 (0.33) 10.12 4.88 6,070 0.00 0.00 0.00 (0.20) 9.62 3.73 27,907 0.00 0.00 0.00 (0.38) 9.47 (2.64) 28,674 0.00 0.00 0.00 (0.36) 10.12 5.13 37,913 $ 0.00 $ 0.00 $ 0.00 $ (0.20) $ 10.21 4.77% $ 10 0.00 (0.02) 0.00 (0.19) 9.94 2.30 10 $ 0.00 $ 0.00 $ 0.00 $ (0.43) $ 9.95 4.78% $ 37,719 0.00 (0.02) 0.00 (0.66) 9.92 7.93 17,676 (0.06) 0.00 0.00 (0.51) 9.83 5.99 6,250 (0.03) (0.14) 0.00 (0.59) 9.77 4.12 370 0.00 0.00 0.00 (0.08) 9.93 0.15 1 0.00 0.00 0.00 (0.40) 9.95 4.40 21,856 0.00 (0.02) 0.00 (0.59) 9.92 7.16 11,463 (0.05) 0.00 0.00 (0.43) 9.83 5.19 3,646 (0.02) (0.14) 0.00 (0.52) 9.77 3.50 1,496 0.00 0.00 0.00 (0.06) 9.93 (0.08) 509 0.00 0.00 0.00 (0.41) 9.95 4.53 32,547 0.00 (0.02) 0.00 (0.61) 9.92 7.40 17,336 (0.06) 0.00 0.00 (0.46) 9.83 5.46 2,534 (0.03) (0.14) 0.00 (0.55) 9.77 3.73 490 0.00 0.00 0.00 (0.06) 9.93 (0.07) 148 $ 0.00 $ 0.00 $ 0.00 $ (0.30) $ 9.97 3.24% $ 82,311 0.00 0.00 0.00 (0.54) 9.95 4.76 75,671 0.00 0.00 (0.01) (0.54) 10.03 5.21 80,787 (0.01) (0.01) 0.00 (0.58) 10.06 6.64 24,182 (0.01) 0.00 0.00 (0.11) 10.00 0.66 2,533 0.00 0.00 0.00 (0.26) 9.97 2.86 6,229 0.00 0.00 0.00 (0.47) 9.95 4.00 6,694 0.00 0.00 (0.01) (0.46) 10.03 4.43 3,813 (0.01) (0.01) 0.00 (0.52) 10.06 5.96 1,258 0.00 0.00 0.00 (0.10) 10.00 0.58 114 0.00 0.00 0.00 (0.28) 9.97 3.09 18,479 0.00 0.00 0.00 (0.51) 9.95 4.45 18,935 0.00 0.00 (0.01) (0.51) 10.03 4.91 15,589 (0.01) (0.01) 0.00 (0.55) 10.06 6.33 6,763 0.00 0.00 0.00 (0.10) 10.00 0.63 1,359 Ratio of Net Ratio of Investment Expenses to Income (Loss) Average Net to Average Portfolio Assets Net Assets Turnover Rate ----------- ------------- ------------- 0.85%+ 4.64%+ 150% 0.85 4.44 145 0.86 4.10 70 1.60+ 3.90+ 150 1.60 3.69 145 1.61 3.33 70 1.35+ 4.15+ 150 1.35 3.94 145 1.35 3.60 70 0.85%+ 3.95%+ 623% 0.89+(e) 3.68+ 270 0.93%+ 8.16%+ 179% 0.93 6.57 253 0.92 4.40 438 0.92 4.06 967 0.90+ 6.14+ 160 1.68+ 7.53+ 179 1.68 5.82 253 1.68 3.72 438 1.67 3.32 967 1.59+ 3.43+ 160 1.43+ 7.77+ 179 1.43 5.90 253 1.43 4.49 438 1.42 3.56 967 1.62+ 5.13+ 160 1.23%+(f) 5.96%+ 62% 1.03 (f) 5.45 38 0.85 5.15 47 0.85 5.48 48 0.86+ 5.07+ 77 1.97+(c) 5.20+ 62 1.80 (c) 4.77 38 1.60 4.45 47 1.60 4.97 48 1.62+ 4.83+ 77 1.52+(d) 5.65+ 62 1.34 (d) 5.17 38 1.15 4.92 47 1.15 5.33 48 1.14+ 4.78+ 77
(d) Ratio of expenses to average net assets excluding interest expense is 1.15%. (e) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 1.88%. (f) Ratio of expenses to average net assets excluding interest expense is 0.85%. See accompanying notes 123 Financial Highlights - A, B, and C Classes (Cont.)
Net Realized / Net Asset Value Unrealized Gain Total Income Dividends from Beginning of Net Investment (Loss) on from Investment Net Investment Selected Per Share Data for the Year or Period Ended: Period Income (Loss) Investments Operations Income -------------- -------------- --------------- --------------- -------------- StocksPLUS Fund Class A 09/30/2000 (b) $ 14.06 $ 0.20 (a) $ (0.67)(a) $ (0.47) $ (0.24) 03/31/2000 14.26 1.05 (a) 1.27 (a) 2.32 (1.04) 03/31/1999 14.06 0.93 (a) 1.29 (a) 2.22 (0.78) 03/31/1998 11.46 1.66 (a) 3.41 (a) 5.07 (1.38) 01/20/1997 - 03/31/1997 11.91 (0.10) (0.20) (0.30) (0.15) Class B 09/30/2000 (b) 13.96 0.16 (a) (0.68)(a) (0.52) (0.19) 03/31/2000 14.18 0.90 (a) 1.30 (a) 2.20 (0.94) 03/31/1999 14.01 0.84 (a) 1.26 (a) 2.10 (0.69) 03/31/1998 11.44 1.61 (a) 3.35 (a) 4.96 (1.30) 01/20/1997 - 03/31/1997 11.91 (0.13) (0.20) (0.33) (0.14) Class C 09/30/2000 (b) 14.00 0.17 (a) (0.67)(a) (0.50) (0.20) 03/31/2000 14.21 0.94 (a) 1.30 (a) 2.24 (0.97) 03/31/1999 14.03 0.86 (a) 1.28 (a) 2.14 (0.72) 03/31/1998 11.45 1.64 (a) 3.35 (a) 4.99 (1.32) 01/20/1997 - 03/31/1997 11.91 (0.12) (a) (0.20)(a) (0.32) (0.14) Strategic Balanced Fund Class A 09/30/2000 (b) $ 12.74 $ 0.31 (a) $ (0.43)(a) $ (0.12) $ (0.41) 05/28/1999 -03/31/2000 12.80 0.64 (a) 0.48 (a) 1.12 (0.72) Class B 09/30/2000 (b) 12.72 0.26 (a) (0.43)(a) (0.17) (0.37) 05/28/1999 -03/31/2000 12.80 0.60 (a) 0.45 (a) 1.05 (0.67) Class C 09/30/2000 (b) 12.70 0.26 (a) (0.43)(a) (0.17) (0.37) 05/28/1999 -03/31/2000 12.80 0.61 (a) 0.42 (a) 1.03 (0.67) Total Return Fund Class A 09/30/2000 (b) $ 9.96 $ 0.31 (a) $ 0.13 (a) $ 0.44 $ (0.31) 03/31/2000 10.36 0.58 (a) (0.40)(a) 0.18 (0.56) 03/31/1999 10.62 0.58 (a) 0.16 (a) 0.74 (0.58) 03/31/1998 10.27 0.58 (a) 0.63 (a) 1.21 (0.57) 01/13/1997 - 03/31/1997 10.40 0.12 (0.12) 0.00 (0.13) Class B 09/30/2000 (b) 9.96 0.27 (a) 0.13 (a) 0.40 (0.27) 03/31/2000 10.36 0.51 (a) (0.41)(a) 0.10 (0.48) 03/31/1999 10.62 0.50 (a) 0.16 (a) 0.66 (0.50) 03/31/1998 10.27 0.50 (a) 0.63 (a) 1.13 (0.50) 01/13/1997 - 03/31/1997 10.40 0.11 (0.12) (0.01) (0.12) Class C 09/30/2000 (b) 9.96 0.28 (a) 0.12 (a) 0.40 (0.27) 03/31/2000 10.36 0.51 (a) (0.41)(a) 0.10 (0.48) 03/31/1999 10.62 0.50 (a) 0.16 (a) 0.66 (0.50) 03/31/1998 10.27 0.51 (a) 0.63 (a) 1.14 (0.51) 01/13/1997 - 03/31/1997 10.40 0.11 (0.12) (0.01) (0.12) Total Return Mortgage Fund Class A 07/31/2000 - 09/30/2000 (b) $ 10.02 $ 0.09 (a) $ 0.17 (a) $ 0.26 $ (0.10) Class B 07/31/2000 - 09/30/2000 (b) 10.02 0.09 (a) 0.16 (a) 0.25 (0.09) Class C 07/31/2000 - 09/30/2000 (b) 10.02 0.09 (a) 0.16 (a) 0.25 (0.09)
+ Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) Unaudited 124 See accompanying notes
Dividends in Distributions Distributions in Excess of Net from Net Excess of Net Investment Realized Capital Realized Capital Total Net Asset Value Net Assets End Income Gains Gains Distributions End of Period Total Return of Period (000s) ------------- ---------------- ---------------- ------------- ------------- ------------ ---------------- $ 0.00 $ 0.00 $ 0.00 $ (0.24) $ 13.35 (3.38)% $ 147,695 0.00 (0.97) (0.51) (2.52) 14.06 17.26 160,847 0.00 (1.24) 0.00 (2.02) 14.26 17.07 148,748 0.00 (1.09) 0.00 (2.47) 14.06 47.07 62,970 0.00 0.00 0.00 (0.15) 11.46 (2.59) 5,790 0.00 0.00 0.00 (0.19) 13.25 (3.75) 335,065 0.00 (0.97) (0.51) (2.42) 13.96 16.40 374,171 0.00 (1.24) 0.00 (1.93) 14.18 16.21 281,930 0.00 (1.09) 0.00 (2.39) 14.01 46.11 99,039 0.00 0.00 0.00 (0.14) 11.44 (2.81) 8,281 0.00 0.00 0.00 (0.20) 13.30 (3.55) 275,662 0.00 (0.97) (0.51) (2.45) 14.00 16.69 311,942 0.00 (1.24) 0.00 (1.96) 14.21 16.48 245,088 0.00 (1.09) 0.00 (2.41) 14.03 46.38 96,960 0.00 0.00 0.00 (0.14) 11.45 (2.71) 11,254 $ 0.00 $ 0.00 $ 0.00 $ (0.41) $ 12.21 (0.91)% $ 4,148 (0.15) (0.31) 0.00 (1.18) 12.74 9.34 4,468 0.00 0.00 0.00 (0.37) 12.18 (1.35) 10,451 (0.15) (0.31) 0.00 (1.13) 12.72 8.61 11,604 0.00 0.00 0.00 (0.37) 12.16 (1.34) 13,460 (0.15) (0.31) 0.00 (1.13) 12.70 8.47 13,116 $ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 10.09 4.51% $ 2,248,922 (0.02) 0.00 0.00 (0.58) 9.96 1.85 1,947,405 0.00 (0.24) (0.18) (1.00) 10.36 7.09 1,140,606 (0.02) (0.27) 0.00 (0.86) 10.62 12.11 533,893 0.00 0.00 0.00 (0.13) 10.27 0.02 115,742 0.00 0.00 0.00 (0.27) 10.09 4.12 708,451 (0.02) 0.00 0.00 (0.50) 9.96 1.08 654,104 0.00 (0.24) (0.18) (0.92) 10.36 6.28 549,478 (0.01) (0.27) 0.00 (0.78) 10.62 11.26 186,932 0.00 0.00 0.00 (0.12) 10.27 (0.10) 74,130 0.00 0.00 0.00 (0.27) 10.09 4.12 775,765 (0.02) 0.00 0.00 (0.50) 9.96 1.09 720,199 0.00 (0.24) (0.18) (0.92) 10.36 6.29 715,201 (0.01) (0.27) 0.00 (0.79) 10.62 11.28 405,037 0.00 0.00 0.00 (0.12) 10.27 (0.11) 329,104 $ 0.00 $ 0.00 $ 0.00 $ (0.10) $ 10.18 5.04% $ 39 0.00 0.00 0.00 (0.09) 10.18 4.66 10 0.00 0.00 0.00 (0.09) 10.18 4.66 10 Ratio of Net Ratio of Investment Expenses to Income (Loss) Average Net to Average Portfolio Assets Net Assets Turnover Rate ----------- ------------- ------------- 1.05%+ 2.95%+ 42% 1.05 7.21 92 1.05 6.66 81 1.05 13.34 30 1.10+ (10.69)+ 47 1.80+ 2.31+ 42 1.80 6.27 92 1.80 6.05 81 1.80 12.60 30 1.88+ (15.13)+ 47 1.55+ 2.52+ 42 1.55 6.47 92 1.55 6.19 81 1.55 12.85 30 1.65+ (12.79)+ 47 1.06%+ 4.84%+ 543% 1.05+ 5.99+ 176 1.81+ 4.10+ 543 1.80+ 5.61+ 176 1.81+ 4.10+ 543 1.80+ 5.66+ 176 0.95%+ 6.17%+ 186% 1.01 (d) 5.79 223 0.90 5.37 154 0.90 5.46 206 0.91+ 6.08+ 173 1.70+ 5.45+ 186 1.76 (c) 5.01 223 1.65 4.55 154 1.65 4.74 206 1.67+ 5.28+ 173 1.70+ 5.47+ 186 1.75 (c) 5.01 223 1.65 4.63 154 1.65 4.83 206 1.67+ 5.32+ 173 0.90%+ 5.22%+ 388% 1.65+ 5.13+ 388 1.65+ 5.13+ 388
(c) Ratio of expenses to average net assets excluding interest expense is 1.65%. (d) Ratio of expenses to average net assets excluding interest expense is 0.90%. See accompanying notes 125 Statements of Assets and Liabilities September 30, 2000 (Unaudited)
California Intermediate California Amounts in thousands, except per share amounts Municipal Municipal Emerging Markets Foreign Bond Fund Bond Fund Convertible Fund Bond Fund Bond Fund ------------ ----------- ---------------- ---------------- ------------- Assets: Investments, at value $ 100,517 $ 8,991 $ 164,640 $ 58,286 $ 1,057,286 Cash and foreign currency 3 2 23 82 17,587 Receivable for investments sold and forward foreign currency contracts 0 0 2,707 2,320 102,376 Receivable for Fund shares sold 20 0 298 35 1,104 Interest and dividends receivable 1,374 139 536 1,249 11,017 Variation margin receivable 0 0 0 0 384 Manager reimbursement receivable 14 0 14 0 0 Other assets 3 0 0 1 83 ------------ ------------ ------------ ------------ ------------ 101,931 9,132 168,218 61,973 1,189,837 ------------ ------------ ------------ ------------ ------------ Liabilities: Payable for investments purchased and forward foreign currency contracts $ 1,387 $ 0 $ 8,370 $ 2,399 $ 345,681 Payable for financing transactions 0 0 0 7,888 256,309 Notes payable 0 0 0 0 0 Written options outstanding 0 0 0 0 1,096 Payable for Fund shares redeemed 0 0 1 15 889 Dividends payable 0 0 67 28 397 Accrued investment advisory fee 21 2 53 20 122 Accrued administration fee 23 2 37 18 145 Accrued distribution fee 0 0 12 3 37 Accrued servicing fee 7 0 5 1 29 Variation margin payable 0 0 0 0 0 Other liabilities 2 0 0 22 63 1,440 4 8,545 10,394 604,768 ------------ ------------ ------------ ------------ ------------ Net Assets $ 100,491 $ 9,128 $ 159,673 $ 51,579 $ 585,069 ------------ ------------ ------------ ------------ ------------ Net Assets Consist of: Paid in capital $ 97,705 $ 8,536 $ 132,006 $ 48,203 $ 605,430 Undistributed (overdistributed) net investment income (37) 0 4,294 859 15,404 Accumulated undistributed net realized gain (loss) 331 368 (1,602) 1,137 (7,166) Net unrealized appreciation (depreciation) 2,492 224 24,975 1,380 (28,599) ------------ ------------ ------------ ------------ ------------ $ 100,491 $ 9,128 $ 159,673 $ 51,579 $ 585,069 ------------ ------------ ------------ ------------ ------------ Net Assets: Class A $ 30,905 $ 10 $ 7,029 $ 321 $ 65,845 Class B 0 0 5,513 1,320 25,730 Class C 0 0 14,129 556 30,961 Other Classes 69,586 9,118 133,002 49,382 462,533 Shares Issued and Outstanding: Class A 3,004 1 459 37 6,519 Class B 0 0 361 153 2,547 Class C 0 0 923 64 3,065 Net Asset Value and Redemption Price Per Share (Net Assets Per Share Outstanding) Class A $ 10.29 $ 10.38 $ 15.33 $ 8.64 $ 10.10 Class B 0.00 0.00 15.27 8.64 10.10 Class C 0.00 0.00 15.30 8.64 10.10 Cost of Investments Owned $ 98,049 $ 8,772 $ 139,705 $ 56,836 $ 1,092,108 ------------ ------------ ------------ ------------ ------------ Cost of Foreign Currency Held $ 0 $ 0 $ 20 $ 0 $ 17,695 ------------ ------------ ------------ ------------ ------------
126 See accompanying notes
New York Global Bond Long-Term Low Money Municipal Municipal Real Return Fund II High Yield Fund U.S. Gov't Fund Duration Fund Market Fund Bond Fund Bond Fund Bond Fund ----------------- --------------- --------------- ------------- ------------ ----------- --------- ------------- $ 139,326 $ 3,037,644 $ 652,870 $ 5,309,953 $ 344,932 $ 54,626 $ 3,175 $ 1,117,767 1,283 3,666 2,937 0 317 15 1 900 5,033 28,459 701,943 229,584 0 934 2,802 40,080 132 4,419 1,304 14,212 10,394 88 0 7,253 1,364 62,330 10,394 64,423 730 783 38 10,330 27 0 56 261 0 0 0 37 0 0 0 0 0 0 14 0 0 0 1,065 961 0 0 0 893 ------------ ------------- ------------ ------------- ------------ ----------- --------- ------------- 147,165 3,136,518 1,370,569 5,619,394 356,373 56,446 6,030 1,177,260 ------------ ------------- ------------ ------------- ------------ ----------- --------- ------------- $ 37,957 $ 66,227 $ 493,430 $ 932,447 $ 0 $ 0 $ 2,796 $ 48,227 36,599 0 505,316 415,375 0 0 0 589,821 0 0 0 28,531 0 0 0 0 89 0 1 1,370 0 0 0 0 174 3,732 554 18,548 892 78 0 591 38 4,816 406 3,433 34 67 0 379 15 659 78 906 47 12 1 112 20 767 92 733 81 16 1 127 6 485 44 116 16 16 0 28 2 181 23 94 15 9 0 25 0 0 0 0 0 0 0 0 20 127 397 333 0 0 0 5 74,920 76,994 1,000,341 1,401,886 1,085 198 2,798 639,315 ------------ ------------- ------------ ------------- ------------ ----------- --------- ------------- $ 72,245 $ 3,059,524 $ 370,228 $ 4,217,508 $ 355,288 $ 56,248 $ 3,232 $ 537,945 ------------ ------------- ------------ ------------- ------------ ----------- --------- ------------- $ 73,931 $ 3,505,695 $ 393,575 $ 4,317,927 $ 355,274 $ 56,254 $ 3,164 $ 531,114 939 (2,104) 15 (8,388) 14 7 0 925 430 (214,136) (21,583) (59,730) 0 (583) 25 2,876 (3,055) (229,931) (1,779) (32,301) 0 570 43 3,030 ------------ ------------- ------------ ------------- ------------ ----------- --------- ------------- $ 72,245 $ 3,059,524 $ 370,228 $ 4,217,508 $ 355,288 $ 56,248 $ 3,232 $ 537,945 ------------ ------------- ------------ ------------- ------------ ----------- --------- ------------- $ 1,876 $ 194,060 $ 46,694 $ 247,747 $ 44,467 $ 6,473 $ 10 $ 37,719 4,405 295,258 35,627 76,229 20,669 4,979 0 21,856 4,665 331,227 22,586 110,046 82,877 27,907 0 32,547 61,299 2,238,979 265,321 3,783,486 207,275 16,889 3,222 445,823 198 19,183 4,693 25,122 44,467 673 1 3,821 464 29,186 3,580 7,730 20,669 518 0 2,217 492 32,741 2,270 11,159 82,878 2,901 0 3,295 $ 9.48 $ 10.12 $ 9.95 $ 9.86 $ 1.00 $ 9.62 $ 10.21 $ 9.95 9.48 10.12 9.95 9.86 1.00 9.62 0.00 9.95 9.48 10.12 9.95 9.86 1.00 9.62 0.00 9.95 $ 142,734 $ 3,267,577 $ 655,397 $ 5,347,094 $ 344,932 $ 54,056 $ 3,133 $ 1,114,720 ------------ ------------- ------------ ------------- ------------ ----------- --------- ------------- $ 1,438 $ 0 $ 0 $ 5,462 $ 0 $ 0 $ 0 $ 464 ------------ ------------- ------------ ------------- ------------ ----------- --------- -------------
See accompanying notes 127 Statements of Assets and Liabilities (Cont.) September 30, 2000 (Unaudited)
Amounts in thousands, except per share amounts Short-Term StocksPLUS Strategic Total Return Total Return Fund Fund Balanced Fund Fund Mortgage Fund ------------ ------------ ------------- ------------- -------------- Assets: Investments, at value $ 855,837 $ 1,568,989 $ 76,485 $ 54,049,779 $ 23,894 Cash and foreign currency 0 61,383 3,802 10,032 0 Receivable for investments sold and forward foreign currency contracts 78,809 3,926 124,664 644,787 4,985 Receivable for Fund shares sold 1,082 1,504 211 192,212 0 Interest and dividends receivable 9,110 0 80 433,213 80 Variation margin receivable 0 0 1 7,095 0 Manager reimbursement receivable 0 0 0 0 0 Other assets 56 0 0 0 1 ------------ ------------ ------------ ------------- -------------- 944,894 1,635,802 205,243 55,337,118 28,960 ------------ ------------ ------------ ------------- -------------- Liabilities: Payable for investments purchased and forward foreign currency contracts $ 41,828 $ 174,328 $ 124,516 $ 14,893,787 $ 12,541 Payable for financing transactions 138,588 0 0 4,370,371 0 Notes payable 63,033 0 0 181,070 0 Written options outstanding 36 2,266 0 35,447 0 Payable for Fund shares redeemed 5,949 3,452 44 237,276 65 Dividends payable 1,020 0 0 39,459 0 Accrued investment advisory fee 148 489 25 7,463 4 Accrued administration fee 132 407 22 6,068 4 Accrued distribution fee 10 352 15 1,652 0 Accrued servicing fee 24 169 6 808 0 Variation margin payable 0 17,981 0 0 0 Other liabilities 3,227 3,027 0 15,002 0 253,995 202,471 124,628 19,788,403 12,614 ------------ ------------ ------------ ------------- -------------- Net Assets $ 690,899 $ 1,433,331 $ 80,615 $ 35,548,715 $ 16,346 ------------ ------------ ------------ ------------- -------------- Net Assets Consist of: Paid in capital $ 693,777 $ 1,424,354 $ 81,117 $ 36,552,222 $ 15,834 Undistributed (overdistributed) net investment income 413 35,165 1,892 (52,845) 4 Accumulated undistributed net realized gain (loss) (1,905) 40,145 (1,808) (641,460) 324 Net unrealized appreciation (depreciation) (1,386) (66,333) (586) (309,202) 184 ------------ ------------ ------------ ------------- -------------- $ 690,899 $ 1,433,331 $ 80,615 $ 35,548,715 $ 16,346 ------------ ------------ ------------ ------------- -------------- Net Assets: Class A $ 82,311 $ 147,695 $ 4,148 $ 2,248,922 $ 39 Class B 6,229 335,065 10,451 708,451 10 Class C 18,479 275,662 13,460 775,765 10 Other Classes 583,880 674,909 52,556 31,815,577 16,287 Shares Issued and Outstanding: Class A 8,252 11,059 340 222,748 4 Class B 624 25,277 858 70,169 1 Class C 1,853 20,726 1,107 76,837 1 Net Asset Value and Redemption Price* Per Share (Net Assets Per Share Outstanding) Class A $ 9.97 $ 13.35 $ 12.21 $ 10.09 $ 10.18 Class B 9.97 13.25 12.18 10.09 10.18 Class C 9.97 13.30 12.16 10.09 10.18 Cost of Investments Owned $ 857,422 $ 1,573,217 $ 77,215 $ 54,354,587 $ 23,710 ------------ ------------ ------------ ------------- -------------- Cost of Foreign Currency Held $ 221 $ 6,153 $ 617 $ 55,419 $ 0 ------------ ------------ ------------ ------------- --------------
* With respect to the Retail Classes, the redemption price varies by the length of time the shares are held. 128 See accompanying notes Statements of Operations For the period ended September 30, 2000 (Unaudited)
California Intermediate California Amounts in thousands Municipal Municipal Emerging Markets Foreign Bond Fund Bond Fund Convertible Fund Bond Fund Bond Fund ------------ --------- ---------------- ---------------- ----------- Investment Income: Interest $ 1,755 $ 218 $ 0 $ 2,293 $ 18,745 Dividends, net of foreign taxes 0 0 826 1 338 Miscellaneous income 0 0 0 0 0 ----------- --------- -------------- ------------ ----------- Total Income 1,755 218 826 2,294 19,083 ----------- --------- -------------- ------------ ----------- Expenses: Investment advisory fees 92 10 302 96 697 Administration fees 101 10 204 87 824 Distribution fees - Class A 0 0 0 0 0 Distribution fees - Class B 0 0 14 5 93 Distribution fees - Class C 0 0 42 2 112 Servicing fees - Class A 27 0 7 1 76 Servicing fees - Class B 0 0 5 2 31 Servicing fees - Class C 0 0 14 1 37 Distribution and/or servicing fees - Other Classes 2 0 0 14 22 Trustees' fees 0 0 0 0 1 Organization costs 0 0 0 0 0 Interest expense 0 0 34 1 170 Miscellaneous expense 0 0 281 0 0 Total expenses 222 20 903 209 2,063 Recoupment of reimbursement 2 0 4 0 0 Net Expenses 224 20 907 209 2,063 ----------- --------- -------------- ------------ ----------- Net Investment Income (loss) 1,531 198 (81) 2,085 17,020 ----------- --------- -------------- ------------ ----------- Net Realized and Unrealized Gain (Loss): Net realized gain (loss) on investments 476 433 (2,169) 1,381 5,411 Net realized gain (loss) on futures contracts and written options (133) (65) 0 0 (5,694) Net realized gain (loss) on foreign currency transactions 0 0 148 (77) 3,413 Net change in unrealized appreciation (depreciation) on investments 2,420 224 (3,085) 8 (2,220) Net change in unrealized appreciation (depreciation) on futures contracts and written options 0 0 0 0 (1,986) Net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies 0 0 94 (66) 4,809 Net gain (loss) 2,763 592 (5,012) 1,246 3,733 Net Increase (Decrease) in Assets ----------- --------- -------------- ------------ ----------- Resulting from Operations $ 4,294 $ 790 $ (5,093) $ 3,331 $ 20,753 ----------- --------- -------------- ------------ -----------
See accompanying notes 129 Statements of Operations (Cont.) For the period ended September 30, 2000 (Unaudited)
Amounts in thousands Global Long-Term Low Money Bond Fund II High Yield Fund U.S. Gov't Fund Duration Fund Market Fund ------------ --------------- --------------- ------------- ------------- Investment Income: Interest $ 2,770 $ 141,093 $ 11,934 $ 150,219 $ 14,274 Dividends, net of foreign taxes 37 4,590 0 3,725 0 Miscellaneous income 0 10 0 0 0 ------------ ------------ ----------- ----------- -------------- Total Income 2,807 145,693 11,934 153,944 14,274 ------------ ------------ ----------- ----------- -------------- Expenses: Investment advisory fees 100 3,839 436 5,211 333 Administration fees 128 4,423 511 4,224 589 Distribution fees - Class A 0 0 0 0 0 Distribution fees - Class B 16 1,109 129 277 85 Distribution fees - Class C 18 1,247 78 274 0 Servicing fees - Class A 3 230 56 302 41 Servicing fees - Class B 5 370 43 92 28 Servicing fees - Class C 6 416 26 137 45 Distribution and/or servicing fees - Other Classes 0 520 49 182 12 Trustees' fees 0 5 1 7 1 Organization costs 0 0 0 0 0 Interest expense 1 3 3 253 19 Miscellaneous expense 0 0 0 0 0 Total expenses 277 12,162 1,332 10,959 1,153 Recoupment of reimbursement 0 0 0 0 0 Net Expenses 277 12,162 1,332 10,959 1,153 ------------ ------------ ----------- ----------- -------------- Net Investment Income 2,530 133,531 10,602 142,985 13,121 ------------ ------------ ----------- ----------- -------------- Net Realized and Unrealized Gain (Loss): Net realized gain (loss) on investments 633 (81,413) 13,002 (915) 0 Net realized gain (loss) on futures contracts and written options 469 0 (2,359) (2,880) 0 Net realized gain (loss) on foreign currency transactions 1,351 0 0 136 0 Net change in unrealized appreciation (depreciation) on investments (1,813) 47,280 (6,804) 19,415 0 Net change in unrealized appreciation (depreciation) on futures contracts and written options (580) 0 1,499 6,013 0 Net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies 358 0 0 2,913 0 Net gain (loss) 418 (34,133) 5,338 24,682 0 Net Increase (Decrease) in Assets ------------ ------------ ----------- ------------ -------------- Resulting from Operations $ 2,948 $ 99,398 $ 15,940 $ 167,667 $ 13,121 ------------ ------------ ----------- ----------- --------------
130 See accompanying notes
New York Municipal Municipal Real Return Short-Term StocksPLUS Strategic Total Total Return Bond Fund Bond Fund Bond Fund Fund Fund Balanced Fund Return Fund Mortgage Fund ----------- --------- ------------ ------------ ------------ ------------- ------------ ------------- $ 1,551 $ 75 $ 19,079 $ 25,753 $ 28,530 $ 3,241 $ 1,179,263 $ 404 0 0 0 0 807 63 20,491 0 0 0 0 6 18 245 0 ----------- ------- ------------ ------------ ------------ ----------- ------------ ------------ 1,551 75 19,079 25,759 29,355 3,304 1,199,999 404 ----------- ------- ------------ ------------ ------------ ----------- ------------ ------------ 70 4 516 887 2,889 217 41,399 15 90 4 582 793 2,417 158 33,656 15 0 0 0 0 0 0 631 0 20 0 61 25 1,346 41 2,513 0 70 0 62 28 731 48 2,728 0 9 0 31 104 200 5 2,583 0 7 0 20 8 449 14 838 0 35 0 31 23 366 16 909 0 6 0 32 18 45 1 3,865 0 0 0 1 1 3 0 58 0 0 0 1 0 0 0 0 0 0 0 74 1,367 1 16 9,703 0 0 0 0 1 0 0 0 0 307 8 1,411 3,255 8,447 516 98,883 30 0 0 0 0 0 0 0 0 307 8 1,411 3,255 8,447 516 98,883 30 ----------- ------- ------------ ------------ ------------ ----------- ------------ ------------ 1,244 67 17,668 22,504 20,908 2,788 1,101,116 374 ----------- ------- ------------ ------------ ------------ ----------- ------------ ------------ 478 27 2,525 86 (310) (1,173) 345,059 330 (136) 8 341 (145) 78,988 3,916 85,018 5 0 0 870 59 3,591 (1,029) (13,781) 0 710 51 (1,041) 1,572 (35) 849 69,578 208 0 0 319 15 (154,518) (6,478) (19,306) (3) 0 0 147 387 524 117 (3,140) 0 1,052 86 3,161 1,974 (71,760) (3,798) 463,428 540 ----------- ------- ------------ ------------ ------------ ----------- ------------ ------------ $ 2,296 $ 153 $ 20,829 $ 24,478 $ (50,852) $ (1,010) $ 1,564,544 $ 914 ----------- ------- ------------ ------------ ------------ ----------- ------------ ------------
See accompanying notes 131 Statements of Changes in Net Assets
California California Intermediate Municipal Amounts in thousands Municipal Bond Fund Bond Fund Convertible Fund ----------------------------- --------------- -------------------------- Six Months Ended Period from Period from Six Months Year Ended Increase (Decrease) in Net Assets from: September 30, August 31, May 16, 2000 to Ended March 31, 2000 1999 to September 30, September 30, 2000 (Unaudited) March 31, 2000 2000 2000 (Unaudited) (Unaudited) Operations Net investment income (loss) $ 1,531 $ 106 $ 198 $ (81) $ 293 Net realized gain (loss) 343 (5) 368 (2,021) 7,821 Net change in unrealized appreciation (depreciation) 2,420 72 224 (2,991) 27,966 ---------- ------- ---------- ----------- --------- Net increase (decrease) resulting from operations 4,294 173 790 (5,093) 36,080 ---------- ------- ---------- ----------- --------- Distributions to Shareholders: From net investment income Class A (426) (8) 0 (41) (8) Class B 0 0 0 (20) (2) Class C 0 0 0 (49) (7) Other Classes (1,143) (97) (198) (1,027) (276) In excess of net investment income Class A 0 0 0 0 (34) Class B 0 0 0 0 (10) Class C 0 0 0 0 (32) Other Classes 0 0 0 0 (1,195) From net realized capital gains Class A 0 0 0 0 (17) Class B 0 0 0 0 (6) Class C 0 0 0 0 (19) Other Classes 0 0 0 0 (577) In excess of net realized capital gains Class A 0 (1) 0 0 0 Class B 0 0 0 0 0 Class C 0 0 0 0 0 Other Classes 0 (6) 0 0 0 ---------- ------- ---------- ----------- --------- Total Distributions (1,569) (112) (198) (1,137) (2,183) ---------- ------- ---------- ----------- --------- Fund Share Transactions Receipts for shares sold Class A 31,531 1,879 10 2,970 4,800 Class B 0 0 0 3,107 2,593 Class C 0 0 0 6,836 6,988 Other Classes 88,823 8,860 18,629 38,524 176,122 Issued as reinvestment of distributions Class A 424 12 0 5 58 Class B 0 0 0 0 13 Class C 0 0 0 2 49 Other Classes 1,113 91 183 960 1,984 Cost of shares redeemed Class A (3,572) (119) 0 (1,039) (363) Class B 0 0 0 (204) (337) Class C 0 0 0 (878) (141) Other Classes (30,781) (556) (10,286) (68,411) (41,632) Net increase (decrease) resulting from Fund share transactions 87,538 10,167 8,536 (18,128) 150,134 ---------- ------- ---------- ----------- --------- Total Increase (Decrease) in Net Assets 90,263 10,228 9,128 (24,358) 184,031 ---------- ------- ---------- ----------- --------- Net Assets Beginning of period 10,228 0 0 184,031 0 End of period * $ 100,491 $10,228 $ 9,128 $ 159,673 $ 184,031 ---------- ------- ---------- ----------- --------- *Including net undistributed (overdistributed) investment income of: $ (37) $ 1 $ 0 $ 4,294 $ 5,512
132 See accompanying notes
Emerging Markets Bond Fund Foreign Bond Fund Global Bond Fund II ------------------------------------ ------------------------------------ ------------------------------------ Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000 (Unaudited) (Unaudited) (Unaudited) $ 2,085 $ 2,012 $ 17,020 $ 35,220 $ 2,530 $ 3,256 1,304 1,254 3,130 4,992 2,453 (824) (58) 2,001 603 (31,738) (2,035) (803) ---------- ---------- ------------- ----------- ------------- --------- 3,331 5,267 20,753 8,474 2,948 1,629 ---------- ---------- ------------- ----------- ------------- --------- (21) (25) (1,729) (2,482) (63) (149) (55) (78) (616) (1,179) (115) (229) (18) (26) (744) (1,515) (129) (268) (1,994) (1,882) (13,642) (30,001) (2,173) (2,569) 0 0 0 0 0 (2) 0 0 0 0 0 (4) 0 0 0 0 0 (5) 0 0 0 0 0 (41) 0 0 0 (416) 0 0 0 0 0 (209) 0 0 0 0 0 (262) 0 0 0 0 0 (3,938) 0 0 0 0 0 (315) 0 (6) 0 0 0 (158) 0 (9) 0 0 0 (198) 0 (11) 0 0 0 (2,976) 0 (95) ---------- ---------- ------------- ----------- ------------- --------- (2,088) (2,011) (16,731) (43,649) (2,480) (3,388) ---------- ---------- ------------- ----------- ------------- --------- 735 185 23,385 47,005 136 1,600 337 716 2,767 10,650 334 1,267 332 68 3,817 10,346 284 1,527 23,933 42,500 89,241 191,536 6,908 59,618 12 20 1,427 2,623 51 124 21 39 444 1,204 79 177 6 14 571 1,630 103 244 1,894 1,803 11,824 29,929 1,762 2,526 (744) (95) (13,719) (22,268) (605) (2,026) (220) (118) (2,061) (7,337) (627) (1,506) (39) (98) (3,860) (9,583) (1,009) (2,083) (3,778) (25,001) (78,314) (295,818) (32,688) (5,204) 22,489 20,033 35,522 (40,083) (25,272) 56,264 ---------- ---------- ------------- ----------- ------------- --------- 23,732 23,289 39,544 (75,258) (24,804) 54,505 ---------- ---------- ------------- ----------- ------------- --------- 27,847 4,558 545,525 620,783 97,049 42,544 $ 51,579 $ 27,847 $ 585,069 $ 545,525 $ 72,245 $ 97,049 ---------- ---------- ------------- ----------- ------------- --------- $ 859 $ 862 $ 15,404 $ 15,115 $ 939 $ 889
High Yield Fund Long-Term U.S. Gov't Fund ----------------------------------- ------------------------------------ Six Months Ended Year Ended Six Months Ended Year Ended September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000 (Unaudited) (Unaudited) $ 133,531 $ 296,022 $ 10,602 $ 20,805 (81,413) (70,452) 10,643 (25,059) 47,280 (263,887) (5,305) 7,958 ----------- ----------- ---------------- ------------ 99,398 (38,317) 15,940 3,704 ----------- ----------- ---------------- ------------ (7,988) (15,406) (1,333) (1,946) (11,777) (23,625) (892) (1,936) (13,249) (28,389) (541) (1,340) (100,630) (226,319) (7,866) (15,549) 0 (113) 0 0 0 (172) 0 0 0 (207) 0 0 0 (1,652) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 ----------- ----------- ---------------- ------------ (133,644) (295,883) (10,632) (20,771) ----------- ----------- ---------------- ------------ 76,209 214,375 15,812 39,235 33,510 141,755 7,784 16,036 42,467 217,795 6,281 10,916 465,976 1,500,396 53,006 218,562 4,324 9,497 897 1,509 4,687 11,679 458 1,334 6,986 17,370 347 1,016 88,542 203,172 6,525 13,146 (71,412) (174,492) (13,440) (26,743) (43,074) (106,519) (7,469) (18,920) (56,574) (228,700) (5,329) (20,940) (628,264) (1,524,985) (55,199) (144,475) (76,623) 281,343 9,673 90,676 ----------- ----------- ---------------- ------------ (110,869) (52,857) 14,981 73,609 ----------- ----------- ---------------- ------------ 3,170,393 3,223,250 355,247 281,638 $ 3,059,524 $ 3,170,393 $ 370,228 $ 355,247 $ (2,104) $ (1,991) $ 15 $ 45 See accompanying notes 133 Statements of Changes in Net Assets (Cont.)
Amounts in thousands Low Duration Fund Money Market Fund ------------------------------------ ------------------------------------- Six Months Ended Year Ended Six Months Ended Year Ended Increase (Decrease) in Net Assets from: September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000 (Unaudited) (Unaudited) Operations Net investment income $ 142,985 $ 265,005 $ 13,121 $ 24,929 Net realized gain (loss) (3,659) (47,944) 0 0 Net change in unrealized appreciation (depreciation) 28,341 (75,164) 0 0 ------------ ------------ ------------- ------------- Net increase (decrease) resulting from operations 167,667 141,897 13,121 24,929 ------------ ------------ ------------- ------------- Distributions to Shareholders: From net investment income Class A (7,814) (13,205) (2,401) (5,341) Class B (2,109) (3,668) (568) (735) Class C (3,275) (6,311) (2,625) (4,148) Other Classes (129,786) (237,815) (7,533) (14,699) In excess of net investment income Class A 0 (200) 0 0 Class B 0 (55) 0 0 Class C 0 (96) 0 0 Other Classes 0 (3,599) 0 0 From net realized capital gains Class A 0 0 0 0 Class B 0 0 0 0 Class C 0 0 0 0 Other Classes 0 0 0 0 In excess of net realized capital gains Class A 0 0 0 0 Class B 0 0 0 0 Class C 0 0 0 0 Other Classes 0 0 0 0 ------------ ------------ ------------- ------------- Total Distributions (142,984) (264,949) (13,127) (24,923) ------------ ------------ ------------- ------------- Fund Share Transactions Receipts for shares sold Class A 114,419 415,786 1,272,215 5,545,908 Class B 17,326 53,258 36,550 110,792 Class C 19,969 55,588 408,824 1,134,937 Other Classes 1,308,045 2,950,320 78,366 427,835 Issued in reorganization Class A 0 0 0 0 Class B 0 0 0 0 Class C 0 0 0 0 Other Classes 0 0 0 0 Issued as reinvestment of distributions Class A 5,379 10,938 1,225 2,941 Class B 1,189 2,556 488 615 Class C 2,133 4,903 2,211 3,367 Other Classes 112,325 207,600 7,440 14,434 Cost of shares redeemed Class A (108,840) (376,451) (1,330,707) (5,552,316) Class B (15,840) (45,716) (41,876) (100,869) Class C (23,121) (58,675) (427,632) (1,124,988) Other Classes (1,230,487) (2,977,974) (193,333) (459,029) Net increase (decrease) resulting from Fund share transactions 202,497 242,133 (186,229) 3,627 ------------ ------------ ------------- ------------- Total Increase (Decrease) in Net Assets 227,180 119,081 (186,235) 3,633 ------------ ------------ ------------- ------------- Net Assets Beginning of period 3,990,328 3,871,247 541,523 537,890 End of period * $ 4,217,508 $ 3,990,328 $ 355,288 $ 541,523 *Including net undistributed (overdistributed) investment income of: $ (8,388) $ (8,390) $ 14 $ 20
Amounts in thousands Municipal Bond Fund ---------------------------------------- Six Months Ended Year Ended Increase (Decrease) in Net Assets from: September 30, 2000 March 31, 2000 (Unaudited) Operations Net investment income $ 1,244 $ 2,314 Net realized gain (loss) 342 (919) Net change in unrealized appreciation (depreciation) 710 (2,965) ------------- ------------ Net increase (decrease) resulting from operations 2,296 (1,570) ------------- ------------ Distributions to Shareholders: From net investment income Class A (160) (403) Class B (106) (214) Class C (587) (1,311) Other Classes (388) (380) In excess of net investment income Class A 0 0 Class B 0 0 Class C 0 0 Other Classes 0 0 From net realized capital gains Class A 0 0 Class B 0 0 Class C 0 0 Other Classes 0 0 In excess of net realized capital gains Class A 0 0 Class B 0 0 Class C 0 0 Other Classes 0 0 ------------- ------------ Total Distributions (1,241) (2,308) ------------- ------------ Fund Share Transactions Receipts for shares sold Class A 536 7,221 Class B 910 3,559 Class C 1,107 3,130 Other Classes 16,708 9,608 Issued in reorganization Class A 0 0 Class B 0 0 Class C 0 0 Other Classes 0 0 Issued as reinvestment of distributions Class A 34 211 Class B 44 112 Class C 388 945 Other Classes 383 370 Cost of shares redeemed Class A (2,828) (5,201) Class B (1,386) (4,031) Class C (2,695) (10,912) Other Classes (10,591) (7,109) Net increase (decrease) resulting from Fund share transactions 2,610 (2,097) ------------- ------------ Total Increase (Decrease) in Net Assets 3,665 (5,975) ------------- ------------ Net Assets Beginning of period 52,583 58,558 End of period * $ 56,248 $ 52,583 *Including net undistributed (overdistributed) investment income of: $ 7 $ 4
134 See accompanying notes
New York Municipal Bond Fund Real Return Bond Fund Short-Term Fund --------------------------------------- ------------------------------------- ------------------------------------ Six Months Ended Period from Six Months Ended Year Ended Six Months Ended Year Ended September 30, 2000 August 31, 1999 to September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000 (Unaudited) March 31, 2000 (Unaudited) (Unaudited) $ 67 $ 70 $ 17,668 $ 7,689 $ 22,504 $ 37,374 35 (4) 3,736 317 0 (1,776) 51 (8) (575) 3,722 1,974 (3,309) 153 58 20,829 11,728 24,478 32,289 --------- --------- ------------ ------------- ------------- ------------ 0 0 (1,041) (649) (2,506) (4,576) 0 0 (625) (442) (174) (228) 0 0 (974) (493) (532) (909) (67) (70) (15,126) (5,952) (19,235) (31,652) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (19) 0 0 0 0 0 (12) 0 0 0 0 0 (19) 0 0 0 0 0 (243) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (6) 0 0 0 0 --------- --------- ------------ ------------- ------------- ------------ (67) (76) (17,766) (7,829) (22,447) (37,365) --------- --------- ------------ ------------- ------------- ------------ 0 10 24,716 11,806 58,950 102,581 0 0 12,122 9,829 2,696 8,403 0 0 18,073 17,048 7,170 22,931 0 3,010 258,203 214,305 274,003 1,224,707 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 691 506 1,501 3,855 0 0 325 307 109 180 0 0 449 284 39 737 68 76 13,190 4,724 14,286 22,331 0 0 (5,521) (1,110) (54,066) (110,878) 0 0 (2,157) (2,416) (3,288) (5,669) 0 0 (3,451) (2,761) (7,716) (20,188) 0 0 (51,619) (14,771) (313,817) (1,136,901) 68 3,096 265,021 237,751 (20,133) 112,089 --------- --------- ------------ ------------- ------------- ------------ 154 3,078 268,084 241,650 (18,102) 107,013 --------- --------- ------------ ------------- ------------- ------------ 3,078 0 269,861 28,211 709,001 601,988 $ 3,232 $ 3,078 $ 537,945 $ 269,861 $ 690,899 $ 709,001 $ 0 $ 0 $ 925 $ 1,023 $ 413 $ 356
StocksPLUS Fund Strategic Balanced Fun ------------------------------------------ ------------------------------------------ Six Months Ended Year Ended Six Months Ended Year Ended September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000 (Unaudited) (Unaudited) $ 20,908 $ 98,837 $ 2,788 $ 8,094 82,269 38,756 1,714 (274) (154,029) 87,250 (5,512) 4,531 ------------- ------------ ----------- ------------- (50,852) 224,843 (1,010) 12,351 ------------- ------------ ----------- ------------- (2,688) (12,776) (131) (241) (4,878) (24,377) (323) (542) (4,310) (22,197) (367) (553) (12,256) (48,619) (1,870) (7,091) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (10,979) 0 (52) 0 (23,440) 0 (145) 0 (20,814) 0 (147) 0 (40,302) 0 (1,436) 0 (5,698) 0 (105) 0 (12,164) 0 (293) 0 (10,800) 0 (296) 0 (20,915) 0 (2,886) ------------- ------------ ----------- ------------- (24,132) (253,081) (2,691) (13,787) ------------- ------------ ----------- ------------- 80,476 225,386 914 2,703 27,894 145,530 530 4,146 22,974 139,471 2,898 5,532 140,439 284,609 2,353 9,120 0 0 0 8,167 0 0 0 11,192 0 0 0 11,513 0 0 0 35,908 2,082 27,851 113 336 3,694 54,645 239 821 3,539 50,658 287 893 11,928 107,331 1,792 7,151 (87,194) (240,512) (1,180) (5,306) (52,617) (99,404) (1,451) (3,077) (47,824) (114,424) (2,287) (3,424) (95,871) (255,850) (74,890) (27,359) 9,520 325,291 (70,682) 58,316 (65,464) 297,053 (74,383) 56,880 ------------- ------------ ----------- ------------- 1,498,795 1,201,742 154,998 98,118 $ 1,433,331 $ 1,498,795 $ 80,615 $ 154,998 $ 35,165 $ 38,389 $ 1,89 $ 1,795
See accompanying notes 135 Statements of Changes in Net Assets (Cont.)
Amounts in thousands Total Return Fund Total Return Mortgage Fund ----------------------------------- ---------------------------------- Six Months Ended Year Ended Six Months Ended Year Ended Increase (Decrease) in Net Assets from: September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000 (Unaudited) (Unaudited) Operations Net investment income $ 1,101,116 $ 1,778,306 $ 374 $ 238 Net realized gain (loss) 416,296 (847,388) 335 (6) Net change in unrealized appreciation (depreciation) 47,132 (242,138) 205 (78) ------------ ------------ ---------- ------------- Net increase resulting from operations 1,564,544 688,780 914 154 ------------ ------------ ---------- ------------- Distributions to Shareholders: From net investment income Class A (64,581) (89,782) 0 0 Class B (18,424) (30,635) 0 0 Class C (20,007) (36,340) 0 0 Other Classes (993,055) (1,544,481) (374) (238) In excess of net investment income Class A 0 (3,855) 0 0 Class B 0 (1,315) 0 0 Class C 0 (1,560) 0 0 Other Classes 0 (66,316) 0 0 In excess of net realized capital gains Class A 0 0 0 0 Class B 0 0 0 0 Class C 0 0 0 0 Other Classes 0 0 0 (3) ------------ ------------ ---------- ------------- Total Distributions (1,096,067) (1,774,284) (374) (241) ------------ ------------ ---------- ------------- Fund Share Transactions Receipts for shares sold Class A 581,308 1,506,055 38 0 Class B 103,730 282,282 10 0 Class C 139,679 312,021 10 0 Other Classes 5,897,991 11,402,013 12,734 227 Issued as reinvestment of distributions Class A 28,905 75,662 0 0 Class B 9,389 21,883 0 0 Class C 11,224 27,579 0 0 Other Classes 813,868 1,288,826 373 240 Cost of shares redeemed Class A (338,474) (716,288) 0 0 Class B (68,217) (175,145) 0 0 Class C (105,375) (304,175) 0 0 Other Classes (3,530,063) (7,223,440) (1,496) (554) Net increase (decrease) resulting from Fund share transactions 3,543,965 6,497,273 11,669 (87) ------------ ------------ ---------- ------------- Total Increase (Decrease) in Net Assets 4,012,442 5,411,769 12,209 (174) ------------ ------------ ---------- ------------- Net Assets Beginning of period 31,536,273 26,124,504 4,137 4,311 End of period * $ 35,548,715 $ 31,536,273 $ 16,346 $ 4,137 *Including net undistributed (overdistributed) investment income of: $ (52,845) $ (57,894) $ 4 $ 4
136 See accompanying notes Statements of Cash Flows
Foreign Global Bond Long-Term U.S. Real Return Amounts in thousands Bond Fund Fund II Government Fund Bond Fund ------------ ------------ --------------- --------------- Increase (Decrease) in Cash and Foreign Currency from: Financing Activities Sales of Fund shares $ 119,210 $ 7,542 $ 82,252 $ 307,065 Redemptions of Fund shares (97,844) (34,813) (81,149) (63,063) Cash distributions paid (2,404) (436) (2,866) (3,148) Increase (decrease) from financing transactions (43,910) 4,758 224,916 422,249 Net increase (decrease) from financing activities (24,948) (12,949) 223,153 663,103 Operating Activities Purchases of long-term securities and foreign currency (1,904,922) (259,461) (4,335,321) (1,820,178) Proceeds from sales of long-term securities and foreign currency 1,986,404 268,516 4,121,165 1,226,460 Purchases of short-term securities (net) (66,101) 468 (11,644) (68,272) Net investment income 17,021 2,529 10,603 17,668 Change in other receivables/payables (net) 475 (396) (5,020) (18,215) Net increase (decrease) from operating activities 32,877 11,656 (220,217) (662,537) ------------ ----------- ------------- --------------- Net Increase in Cash and Foreign Currency 7,929 (1,293) 2,936 566 ------------ ----------- ------------- --------------- Cash and Foreign Currency Beginning of period 9,658 2,576 1 334 End of period $ 17,587 $ 1,283 $ 2,937 $ 900
See accompanying notes 137 Notes to Financial Statements September 30, 2000 (Unaudited) 1. Organization PIMCO Funds: Pacific Investment Management Series (the "Trust") was established as a Massachusetts business trust on February 19, 1987. The Trust is registered under the Investment Company Act of 1940 (the "Act"), as amended, as an open-end investment management company. The Trust currently consists of 35 separate investment funds (the "Funds"). The Trust may offer up to six classes of shares Institutional, Administrative, A, B, C and D. Each share class has identical voting rights (except that shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares). The Long Duration Fund had not commenced operations as of September 30, 2000. Information presented in these financial statements pertains to the A, B and C Classes (the "Retail Classes") of the Trust. Certain detailed financial information for the Institutional, Administrative and D Classes (the "Other Classes") is provided separately and is available upon request. 2. Significant Accounting Policies The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States. The preparation of financial statements in accordance with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Security Valuation. Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is determined on the basis of last reported sales prices, or if no sales are reported, as is the case for most securities traded over-the-counter, the mean between representative bid and asked quotations obtained from a quotation reporting system or from established market makers. Fixed income securities, including those to be purchased under firm commitment agreements, are normally valued on the basis of quotes obtained from brokers and dealers or pricing services. Short-term investments which mature in 60 days or less are valued at amortized cost, which approximates market value. Certain fixed income securities for which daily market quotations are not readily available may be valued, pursuant to guidelines established by the Board of Trustees, with reference to fixed income securities whose prices are more readily obtainable. Securities Transactions and Investment Income. Securities transactions are recorded as of the trade date. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses from securities sold are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, are recorded as soon as the Fund is informed of the ex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis. Dividends and Distributions to Shareholders. Dividends from net investment income, if any, of each Fund, except the Convertible, StocksPLUS and Strategic Balanced Funds, are declared on each day the Trust is open for business and are distributed to shareholders monthly. Dividends from net investment income, if any, of the Convertible, StocksPLUS and Strategic Balanced Funds are declared and distributed to shareholders quarterly. Net realized capital gains earned by a Fund, if any, will be distributed no less frequently than once each year. Income dividends and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States. These differences are primarily due to differing treatments for such items as wash sales, foreign currency transactions, net operating losses and capital loss carryforwards. Distributions reflected as a tax basis return of capital in the accompanying Statements of Changes in Net Assets have been reclassified to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed net realized gains or losses and paid in capital to more appropriately conform financial accounting to tax characterizations of dividend and distributions. Foreign Currency. Foreign currencies, investments, and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Fluctuations in the value of these assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses). Realized gains (losses) and unrealized appreciation (depreciation) on investment securities and income and expenses are translated on the respective dates of such transactions. The effect of changes in foreign currency exchange rates on investments in securities are not segregated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities. Multiclass Operations. Each class offered by the Trust has equal rights as to assets and voting privileges. Income and non-class specific expenses of each Fund, except the Convertible Bond, StocksPLUS and Strategic Balanced Funds, are allocated daily to each class of shares based on the relative value of settled shares. Income and non-class specific expenses of the Convertible Bond, StocksPLUS and Strategic Balanced Funds are allocated daily to each class of shares based on the relative net assets of each class. Realized and unrealized capital gains and losses of each Fund are allocated daily to each class of shares based on the relative net assets of each class. Federal Income Taxes. Each Fund intends to qualify as a regulated investment company and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made. 138 Financing Transactions. A Fund may enter into financing transactions consisting of the sale by the Fund of securities, together with a commitment to repurchase similar securities at a future date. The difference between the selling price and the future purchase price is an adjustment to interest income. If the counterparty to whom the Fund sells the security becomes insolvent, a Fund's right to repurchase the security may be restricted; the value of the security may change over the term of the financing transaction; and the return earned by a Fund with the proceeds of a financing transaction may not exceed transaction costs. Futures and Options. Certain Funds are authorized to enter into futures contracts and options. A Fund may use futures contracts and options to manage its exposure to the securities markets or to movements in interest rates and currency values. The primary risks associated with the use of futures contracts and options are imperfect correlation between the change in market value of the securities held by a Fund and the prices of futures contracts and options, the possibility of an illiquid market, and the inability of the counter-party to meet the terms of the contract. Futures contracts and purchased options are valued based upon their quoted daily settlement prices. The premium received for a written option is recorded as an asset with an equal liability which is marked to market based on the option's quoted daily settlement price. Fluctuations in the value of such instruments are recorded as unrealized appreciation (depreciation) until terminated, at which time realized gains and losses are recognized. Forward Currency Transactions. Certain Funds are authorized to enter into forward foreign exchange contracts for the purpose of hedging against foreign exchange risk arising from the Fund's investment or anticipated investment in securities denominated in foreign currencies. A Fund also may enter into these contracts for purposes of increasing exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one country to another. All commitments are marked to market daily at the applicable translation rates and any resulting unrealized gains or losses are recorded. Realized gains or losses are recorded at the time the forward contract matures or by delivery of the currency. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Stripped Mortgage Backed Securities (SMBS). SMBS represent a participation in, or are secured by and payable from, mortgage loans on real property, and may be structured in classes with rights to receive varying proportions of principal and interest. SMBS include interest-only securities (IOs), which receive all of the interest, and principal-only securities (POs), which receive all of the principal. If the underlying mortgage assets experience greater than anticipated payments of principal, a Fund may fail to recoup some or all of its initial investment in these securities. The market value of these securities is highly sensitive to changes in interest rates. Swaps. Certain Funds are authorized to enter into interest rate, total return and currency exchange swap agreements in order to obtain a desired return at a lower cost than if the Fund had invested directly in the asset that yielded the desired return. Swaps involve commitments to exchange components of income (generally interest or returns) pegged to the underlying assets based on a notional principal amount. Swaps are marked to market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gains or losses in the Statements of Operations. A Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a counterparty. Delayed Delivery Transactions. A Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by a Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, a Fund will set aside and maintain until the settlement date in a segregated account, liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, a Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. A Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security. Forward sales commitments are accounted for by the Fund in the same manner as forward currency contracts discussed above. Inflation-Indexed Bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted according to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond will be considered interest income, even though principal is not received until maturity. Repurchase Agreements. Each Fund may engage in repurchase transactions. Under the terms of a typical repurchase agreement, the Fund takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the Fund to resell, the obligation at an agreed-upon price and time. The market value of the collateral must be equal at all times to the total amount of the repurchase obligations, including interest. Generally, in the event of counterparty default, the Fund has the right to use the collateral to offset losses incurred. 139 Notes to Financial Statements (Cont.) September 30, 2000 (Unaudited) Reverse Repurchase Agreements. Certain Funds are authorized to enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells to a financial institution a security that it holds with an agreement to repurchase the same security at an agreed-upon price and date. A reverse repurchase agreement involves the risk that the market value of the security sold by the Fund may decline below the repurchase price of the security. Restricted Securities. Certain Funds are permitted to invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. 3. Fees, Expenses, and Related Party Transactions Investment Advisory Fee. Pacific Investment Management Company (PIMCO) is a wholly-owned subsidiary partnership of PIMCO Advisors L.P. and serves as investment adviser (the "Adviser") to the Trust, pursuant to an investment advisory contract. The Adviser receives a monthly fee from each Fund at an annual rate based on average daily net assets of the Fund. The Advisory Fee is charged at an annual rate of 0.15% for the Money Market Fund; 0.40% for the Convertible, StocksPLUS, and Strategic Balanced Funds; 0.45% for the Emerging Markets Bond Fund and 0.25% for all other Funds. Administration Fee. PIMCO serves as administrator (the "Administrator"), and provides administrative services to the Trust for which it receives from each Fund a monthly administrative fee based on each share class' average daily net assets. The Administration Fee for the Retail Classes is charged at the annual rate of 0.35% for the Money Market, Municipal Bond, Short-Term, California Intermediate Municipal Bond and New York Municipal Bond Funds, 0.45% for the Foreign Bond and Global Bond II Funds, 0.55% for the Emerging Markets Bond Fund and 0.40% for all other Funds. The Administration Fee for the Institutional and Administrative Classes is charged at an annual rate of 0.18% for the Low Duration and Total Return Funds, 0.20% for the Moderate Duration, Money Market and Short-Term Funds; 0.24% for the California Intermediate Municipal Bond and New York Municipal Bond, 0.40% for the Emerging Markets Bond and 0.25% for all other funds. The Administration Fee for Class D is charged at the annual rate of 0.25% for Low Duration, Short-Term and Total Return Funds; 0.35% for the California Intermediate Municipal Bond, Municipal Bond and Short Duration Municipal Income Funds, 0.45% for the Foreign Bond Fund, 0.55% for Emerging Markets Bond, and 0.40% for all other Funds. Distribution and Servicing Fees. PIMCO Funds Distributors LLC, ("PFD"), a wholly-owned subsidiary of PIMCO Advisors L.P., serves as the distributor of the Trust's shares. The Trust is permitted to reimburse, out of the Administrative Class assets of each Fund offering Administrative Class shares in an amount up to 0.25% on an annual basis of the average daily net assets of that class, financial intermediaries that provide services in connection with the distribution of shares or administration of plans or programs that use Fund shares as their funding medium. The effective rate paid to PFD was 0.25% during the current fiscal year. Pursuant to the Distribution and Servicing Plans adopted by the Retail and D Classes of the Trust, the Trust compensates PFD or an affiliate with respect to Class D for services provided and expenses incurred in connection with assistance rendered in the sale of shares and services rendered to shareholders and for maintenance of shareholder accounts of the Retail and D Classes. The Trust paid PFD distribution and servicing fees at an effective rate as set forth below (calculated as a percentage of each Fund's average daily net assets attributable to each class): Allowable Rate -------------------------- Distribution Servicing Fee (%) Fee (%) -------------------------------------------------------------------------------- Class A Money Market Fund -- 0.10 All other Funds -- 0.25 Class B All Funds 0.75 0.25 Class C Municipal Bond, Real Return Bond and StocksPLUS and Low Duration Funds 0.50 0.25 Money Market Fund -- 0.10 Short-Term Fund 0.30 0.25 All other Funds 0.75 0.25 Class D All Funds -- 0.25 PFD also receives the proceeds of the initial sales charges paid by the shareholders upon the purchase of Class A shares, except for the Money Market Fund, and the contingent deferred sales charges paid by the shareholders upon certain redemptions of Retail Classes shares. For the period ended September 30, 2000, the funds were informed that PFD received $5,987,857 representing commissions (sales charges) and contingent deferred sales charges. 140 Expenses. The Trust is responsible for the following expenses: (i) salaries and other compensation of any of the Trust's executive officers and employees who are not officers, directors, stockholders or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees; (iii) brokerage fees and commissions and other portfolio transaction expenses; (iv) the costs of borrowing money, including interest expenses; (v) fees and expenses of the Trustees who are not "interested persons" of PIMCO or the Trust, and any counsel retained exclusively for their benefit; (vi) extraordinary expenses, including costs of litigation and indemnification expenses; and (vii) any expenses allocated or allocable to a specific class of shares, which include service fees payable with respect to the Administrative Class shares and may include certain other expenses as permitted by the Trust's Multiple Class Plan adopted pursuant to Rule 18f-3 under the Act and subject to review and approval by the Trustees. The ratio of expenses to average net assets per share class, as disclosed in Financial Highlights, may differ from the annual fund operating expenses per share class as disclosed in the Prospectus for the reasons set forth above. PIMCO has agreed to waive a portion of Convertible, California Intermediate Municipal Bond and New York Municipal Bond Funds administrative fees to the extent that the payment of each Fund's pro rata share of Trustee fees and organizational expenses cause the actual expense ratio to rise above the rates disclosed in the current prospectus plus 0.49% basis points as set forth below (calculated as a percentage of each Fund's average daily net assets attributable to each class): Inst'l Admn. Class Class Class A Class B Class C Class D -------------------------------------------------------------------------------- Convertible Fund 0.65% 0.90% 1.05% 1.80% 1.80% -- California Intermediate Municipal Bond Fund 0.49% 0.74% 0.85% -- -- 0.85% New York Municipal Bond Fund 0.49% 0.74% 0.85% -- -- 0.85% PIMCO may be reimbursed for these waived amounts in future periods. Each unaffiliated Trustee receives an annual retainer of $45,000, plus $3,000 for each Board of Trustees meeting attended in person and $500 for each meeting attended telephonically, plus reimbursement of related expenses. In addition, each committee chair receives an annual retainer of $1,500. These expenses are allocated to the Funds of the Trust according to their respective net assets. 4. Purchases and Sales of Securities Purchases and sales of securities (excluding short-term investments) for the period ended September 30, 2000 were as follows (amounts in thousands): U.S. Government/Agency All Other -------------------------------------------------- Purchases Sales Purchases Sales -------------------------------------------------------------------------------- CA Int. Municipal Bond Fund $ 0 $ 0 $ 212,882 $ 135,822 CA Municipal Bond Fund 108 0 41,539 33,295 Convertible Fund 0 0 153,607 160,927 Emerging Markets Bond Fund 0 0 179,931 158,831 Foreign Bond Fund 1,600,643 1,431,459 624,510 574,400 Global Bond Fund II 11,651 7,517 227,962 219,090 High Yield Fund 0 6,402 474,059 747,037 Long-Term U.S. Gov't Fund 4,766,985 4,741,902 40,867 24,116 Low Duration Fund 3,758,313 3,762,409 1,465,574 692,820 Municipal Bond Fund 108 0 83,024 84,009 NY Municipal Bond Fund 0 0 19,752 19,614 Real Return Bond Fund 1,351,736 1,175,196 493,404 43,416 Short-Term Fund 260,258 282,834 406,785 82,275 StocksPLUS Fund 300,346 252,736 514,580 247,174 Strategic Balanced Fund 457,515 496,735 112,546 140,586 Total Return Fund 83,997,342 74,490,752 9,558,193 7,800,637 Total Return Mortgage Fund 65,795 52,731 5,445 1,769 5. Federal Income Tax Matters As of March 31, 2000, the Funds listed in the table below had remaining capital loss carryforwards that were realized or acquired in prior years. Use of the acquired capital loss carryforwards may be limited under current tax laws. Additionally, the California Intermediate Municipal Bond, Emerging Markets, Global Bond II, High Yield, Long-Term U.S. Government, Low Duration, Municipal Bond, New York Intermediate Municipal Bond, Real Return, Short-Term and Total Return Funds realized capital losses and/or foreign currency losses during the period November 1, 1999 through March 31, 2000 which the Fund elected to defer to the following year pursuant to income tax regulations. The amounts are $12,205, $24,335, $406,361, $43,449,654, $10,332,768, $17,470,237, $526,178, $10,244, $342,135, $1,382,953, and $243,968,849, respectively. Each Fund will resume capital gain distributions in the future to the extent gains are realized in excess of the available carryforwards. Capital Loss Carryforwards Realized Acquired Losses Losses Expiration -------------------------------------------------------------------------------- Emerging Markets Bond Fund $ 420,637 $ 0 3/31/2007 Foreign Bond Fund 10,316,442 0 3/31/2008 Global Bond Fund II 1,342,527 0 3/31/2008 High Yield Fund 39,492,722 0 3/31/2008 High Yield Fund 0 48,559,227 3/31/2002 Long-Term U.S. Government Fund 23,250,622 0 3/31/2008 Low Duration Fund 42,174,597 0 3/31/2008 Municipal Bond Fund 391,768 0 3/31/2008 Municipal Bond Fund 5,734 0 3/31/2007 Short-Term Fund 412,413 0 3/31/2008 Short-Term Fund 109,956 0 3/31/2007 Total Return Fund 750,096,993 0 3/31/2008 141 Notes to Financial Statements (Cont.) September 30, 2000 (Unaudited) 6. Shares of Beneficial Interest The Trust may issue an unlimited number of shares of beneficial interest with a $.0001 par value. Changes in shares of beneficial interest were as follows (shares and amounts in thousands):
California California Intermediate Municipal Municipal Bond Fund Bond Fund Convertible Fund ------------------------------------ --------------- ------------------------------------- Period from Period from Period Ended 08/31/1999 05/16/2000 Period Ended Year Ended 09/30/2000 to 03/31/2000 to 09/30/2000 09/30/2000 03/31/2000 Shares Amount Shares Amount Shares Amount Shares Amount Shares Amount ------------------ ------------------- --------------- ------------------------------------- Receipts for shares sold Class A 3,143 $31,531 189 $ 1,879 1 $ 10 198 $ 2,970 353 $ 4,800 Class B 0 0 0 0 0 0 209 3,107 188 2,593 Class C 0 0 0 0 0 0 471 6,836 517 6,988 Other Classes 8,865 88,823 887 8,860 1,862 18,629 2,599 38,52 13,296 176,122 Shares issued in reorganization Class A 0 0 0 0 0 0 0 0 0 0 Class B 0 0 0 0 0 0 0 0 0 0 Class C 0 0 0 0 0 0 0 0 0 0 Other Classes 0 0 0 0 0 0 0 0 0 0 Issued as reinvestment of distributions Class A 41 424 1 12 0 0 2 5 4 58 Class B 0 0 0 0 0 0 1 0 1 13 Class C 0 0 0 0 0 0 2 2 3 49 Other Classes 109 1,113 9 91 18 183 64 960 137 1,984 Cost of shares redeemed Class A (358) (3,572) (12) (119) 0 0 (71) (1,039) (27) (363) Class B 0 0 0 0 0 0 (14) (204) (24) (337) Class C 0 0 0 0 0 0 (60) (878) (10) (141) Other Classes (3,051) (30,781) (56) (556)(1,002) (10,286) (4,658) (68,411) (2,763) (41,632) Net increase (decrease) resulting from ------------------ ------------------- --------------- ------------------------------------- Fund share transactions 8,749 $87,538 1,018 $ 10,167 879 $ 8,536 (1,257)$(18,128) 11,675 $ 150,134 ------------------ ------------------- --------------- ------------------------------------- Long-Term U.S. Gov't Fund Low Duration Fund ------------------------------------------- ----------------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2000 03/31/2000 09/30/2000 03/31/2000 Shares Amount Shares Amount Shares Amount Shares Amount -------------------- ----------------------- ------------------------------------------------- Receipts for shares sold Class A 1,600 $ 15,812 4,070 $ 39,235 11,658 $ 114,419 41,997 $ 415,786 Class B 792 7,784 1,632 16,036 1,766 17,326 5,371 53,258 Class C 637 6,281 1,110 10,916 2,035 19,969 5,600 55,588 Other Classes 5,383 53,006 22,328 218,562 133,398 1,308,045 297,686 2,950,320 Issued as reinvestment of distributions Class A 91 897 155 1,509 548 5,379 1,104 10,938 Class B 47 458 137 1,334 121 1,189 258 2,556 Class C 35 347 104 1,016 217 2,133 495 4,903 Other Classes 662 6,525 1,356 13,146 11,443 112,325 20,984 207,600 Cost of shares redeemed Class A (1,368) (13,440) (2,749 (26,743) (11,093) (108,840) (38,065) (376,451) Class B (764) (7,469) (1,947 (18,920) (1,614) (15,840) (4,621) (45,716) Class C (543) (5,329) (2,146) (20,940) (2,357) (23,121) (5,936) (58,675) Other Classes (5,663) (55,199) (15,089) (144,475) (125,408) (1,230,487) (301,000) (2,977,974) Net increase (decrease) resulting from Fund share -------------------- ----------------------- ------------------------------------------------- transactions 909 $ 9,673 8,961 $ 90,676 20,714 $ 202,497 23,873 $ 242,133 -------------------- ----------------------- ------------------------------------------------- Money Market Fund --------------------------------------------- Period Ended Year Ended 09/30/2000 03/31/2000 Shares Amount Shares Amount --------------------------------------------- 1,272,215 $ 1,272,215 5,545,908 $ 5,545,908 36,550 36,550 110,792 110,792 408,824 408,824 1,134,937 1,134,937 78,364 78,366 427,835 427,835 1,225 1,225 2,941 2,941 488 488 615 615 2,211 2,211 3,367 3,367 7,440 7,440 14,433 14,434 1,330,707) (1,330,707)(5,552,316) (5,552,316) (41,876) (41,876) (100,869) (100,869) (427,632) (427,632)(1,124,988) (1,124,988) (193,333) (193,333) (459,029) (459,029) ------------------------------------------------ (186,231) $ (186,229) 3,626 $ 3,627 ------------------------------------------------
142
Emerging Markets Bond Fund Foreign Bond Fund Global Bond Fund II ------------------------------------------- -------------------------------------------- --------------------------------------- Period Ended Year Ended Period Ended Year Ended Period Ended Year Ended 09/30/2000 03/31/2000 09/30/2000 03/31/2000 09/30/2000 03/31/2000 Shares Amount Shares Amount Shares Amount Shares Amount Shares Amount Shares Amount ----------- --------- ------- --------- -------- --------- ------- ---------- ------- --------- ------- ---------- 84 $ 735 23 $ 185 2,326 $ 23,385 4,628 $ 47,005 15 $ 136 167 $ 1,600 41 337 92 716 275 2,767 1,041 10,650 35 334 133 1,267 38 332 9 68 379 3,817 1,012 10,346 30 284 160 1,527 2,911 23,931 5,546 42,500 8,877 89,242 18,803 191,536 733 6,908 6,377 59,618 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 12 2 20 142 1,427 260 2,623 5 51 13 124 2 21 5 39 44 444 119 1,204 8 79 19 177 1 6 2 14 57 571 161 1,630 11 103 26 244 222 1,894 225 1,803 1,176 11,824 2,951 29,929 187 1,762 268 2,526 (85) (744) (11) (95) (1,364) (13,719) (2,202) (22,268) (64) (605) (214) (2,026) (26) (220) (14) (118) (205) (2,061) (727) (7,337) (67) (627) (160) (1,506) (4) (39) (12) (98) (384) (3,860) (944) (9,583) (107) (1,009) (221) (2,083) (452) (3,778) (3,241) (25,001) (7,798) (78,314) (29,099) (295,818) (3,479) (32,688) (558) (5,204) ----------- --------- ------- --------- -------- --------- ------- ---------- ------- --------- ------- ---------- 2,733 $ 22,487 2,626 $ 20,033 3,525 $ 35,523 (3,997) $ (40,083) (2,693) (25,272) 6,010 $ 56,264 High Yield Fund -------------------------------------------------- Period Ended Year Ended 09/30/2000 03/31/2000 Shares Amount Shares Amount --------- ---------- --------- ----------- 7,483 $ 76,209 19,896 $ 214,375 3,297 33,510 13,027 141,755 4,175 42,467 20,097 217,795 45,878 465,976 138,322 1,500,396 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 426 4,324 883 9,497 462 4,687 1,084 11,679 689 6,986 1,613 17,370 8,728 88,542 18,896 203,172 (7,017) (71,412) (16,324) (174,492) (4,237) (43,074) (9,920) (106,519) (5,564) (56,574) (21,279) (228,700) (61,938) (628,264) (143,149) (1,524,985) ----------- --------- ------- ----------- (7,618) $ (76,623) 23,146 $ 281,343 New York Municipal Bond Fund Municipal Bond Fund Real Return Bond Fund -------------------------------------------- --------------------------------------- ----------------------------------------- Period from Period Ended Year Ended Period Ended 08/31/1999 Period Ended Year Ended 09/30/2000 03/31/2000 09/30/2000 to 03/31/2000 09/30/2000 03/31/2000 Shares Amount Shares Amount Shares Amount Shares Amount Shares Amount Shares Amount ----------- --------- ------ --------- ------ -------- ------ --------- ------- --------- ------- --------- 56 $ 536 750 $ 7,221 0 $ 0 1 $ 10 2,521 $ 24,716 1,210 $ 11,806 97 910 374 3,559 0 0 0 0 1,241 12,122 1,003 9,829 116 1,107 322 3,130 0 0 0 0 1,844 18,073 1,745 17,048 1,777 16,708 1,009 9,608 0 0 301 3,010 26,577 258,202 21,969 214,305 4 34 22 211 0 0 0 0 82 691 52 506 5 44 12 112 0 0 0 0 37 325 31 307 41 388 98 945 0 0 0 0 51 449 29 284 40 383 39 370 6 67 8 76 1,541 13,190 484 4,724 (302) (2,828) (551) (5,201) 0 0 0 0 (566) (5,521) (114) (1,110) (145) (1,386) (425) (4,031) 0 0 0 0 (218) (2,157) (248) (2,416) (284) (2,695) (1,139) (10,912) 0 0 0 0 (350) (3,451) (282) (2,761) (1,110) (10,591) (746) (7,109) 0 0 0 0 (5,606) (51,619) (1,517) (14,771) ----------- --------- ------- --------- ----- -------- ------ --------- ------- --------- ------- --------- 295 $ 2,610 (235) $ (2,097) 6 $ 67 310 $ 3,096 27,154 $ 265,020 24,362 $ 237,751 Short-Term Fund ------------------------------------------------------ Period Ended Year Ended 09/30/2000 03/31/2000 Shares Amount Shares Amount ------- ---------- -------- ------------- 5,924 $ 58,950 10,292 $ 102,581 270 2,696 844 8,403 721 7,170 2,301 22,931 27,525 274,003 122,851 1,224,707 151 1,501 387 3,855 11 109 18 180 4 39 74 737 1,435 14,286 2,242 22,331 (5,431) (54,066) (11,127) (110,878) (330) (3,288) (569) (5,669) (775) (7,716) (2,026) (20,188) (31,519) (313,817) (114,031) (1,136,901) ------ --------- -------- ------------- (2,014) $ (20,133) 11,256 $ 112,089
143 Notes to Financial Statements (Cont.) September 30, 2000 (Unaudited) 6. Shares of Beneficial Interest The Trust may issue an unlimited number of shares of beneficial interest with a $.0001 par value. Changes in shares of beneficial interest were as follows (shares and amounts in thousands):
StocksPLUS Fund Strategic Balanced Fund ---------------------------------------- ------------------------------------ Period Ended Year Ended Period Ended Year Ended 09/30/2000 03/31/2000 09/30/2000 03/31/2000 Shares Amount Shares Amount Shares Amount Shares Amount ---------------------------------------------- ------- --------- ------- ----------- ------- --------- -------- --------- Receipts for shares sold Class A 5,867 $ 80,476 15,869 $ 225,386 74 $ 914 118 $ 2,703 Class B 2,054 27,894 10,113 145,530 43 530 231 4,146 Class C 1,686 22,974 9,655 139,471 230 2,898 346 5,532 Other Classes 10,225 140,439 19,592 284,609 188 2,353 964 9,120 Shares issued in reorganization Class A 0 0 0 0 0 0 629 8,167 Class B 0 0 0 0 0 0 862 11,192 Class C 0 0 0 0 0 0 888 11,513 Other Classes 0 0 0 0 0 0 2,758 35,908 Issued as reinvestment of distributions Class A 154 2,082 1,987 27,851 9 113 26 336 Class B 276 3,694 3,929 54,645 20 239 64 821 Class C 264 3,539 3,630 50,658 28 287 70 893 Other Classes 879 11,928 7,615 107,331 146 1,792 556 7,151 Cost of shares redeemed Class A (6,403) (87,194) (16,833) (240,512) (94) (1,180) (422) (5,306) Class B (3,860) (52,617) (7,092) (99,404) (117) (1,451) (245) (3,077) Class C (3,499) (47,824) (8,227) (114,424) (184) (2,287) (271) (3,424) Other Classes (6,964) (95,871) (17,802) (255,850) (5,879) (74,890) (2,135) (27,359) Net increase (decrease) resulting from ---------------------------------------- ------------------------------------- Fund share transactions 679 $ 9,520 22,436 $ 325,291 (5,536) $(70,682) 4,439 $ 58,316 ---------------------------------------- -------------------------------------
Total Return Total Return Fund Mortgage Fund -------------------------------------------- ------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2000 03/31/2000 09/30/2000 03/31/2000 Shares Amount Shares Amount Shares Amount Shares Amount ----------------------------------------------- --------- ----------- -------- --------- ------ --------- ------- --------- Receipts for shares sold Class A 58,293 $ 581,308 149,542 $ 1,506,055 4 $ 38 0 $ 0 Class B 10,390 103,730 27,995 282,282 1 10 0 0 Class C 13,986 139,679 30,951 312,021 1 10 0 0 Other Classes 591,527 5,897,991 1,136,650 11,402,013 1,293 12,734 23 227 Issued as reinvestment of distributions Class A 2,895 28,905 7,532 75,662 0 0 0 0 Class B 941 9,389 2,180 21,883 0 0 0 0 Class C 1,125 11,224 2,746 27,579 0 0 0 0 Other Classes 81,527 813,868 128,626 1,288,826 37 373 25 240 Cost of shares redeemed Class A (33,980) (338,474) (71,628) (716,288) 0 0 0 0 Class B (6,841) (68,217) (17,534) (175,145) 0 0 0 0 Class C (10,590) (105,375) (30,415) (304,175) 0 0 0 0 Other Classes (354,880) (3,530,063) (721,663) (7,223,440) (147) (1,496) (55) (554) ---------------------------------------------- ----------------------------------- Net increase (decrease) resulting from Fund share transactions 354,393 $ 3,543,965 644,982 $ 6,497,273 1,189 $ 11,669 (7) $ (87) ---------------------------------------------- -----------------------------------
144 7. Reorganization The Acquiring Fund, as listed below, acquired the assets and certain liabilities of the Acquired Fund, also listed below, in a tax-free exchange for shares of the Acquiring Fund, pursuant to a plan of reorganization approved by the Acquired Fund's shareholders (amounts in thousands):
Shares Value of Total Net Total Net Issued by Shares Issued Assets of Assets of Acquiring by Acquiring Acquired Acquiring Acquiring Fund Acquired Fund Date Fund Fund Fund Fund PIMCO Strategic Balanced Fund PIMCO Balanced Fund 09/17/1999 5,137 $ 66,780 $ 66,780 $ 105,993 Total Net Assets Acquired of Acquiring Fund's Fund After Unrealized Acquisition (Depreciation) $ 172,774 $ (45)
8. Transactions in Written Call and Put Options. Transactions in written call and put options were as follows (amounts in thousands):
Long-Term Strategic Foreign Global Bond U.S. Gov't. Low Duration StocksPLUS Balanced Total Return Bond Fund Fund II Fund Fund Fund Fund Fund -------------------------------------------------------------------------------------------- Premium ------------------------------------------------------------------------------------------------------------------------------ Balance at 03/31/2000 $ 473 $ 40 $ 579 $ 3,873 $ 1,231 $ 692 $ 31,722 Sales 1,602 220 2,073 2,116 6,831 643 57,025 Closing Buys (363) (58) (2,357) (78) 3,943 (275) (29,554) Expirations (857) (113) (288) (2,092) (9,955) (1,060) (18,184) Exercised 0 0 0 0 0 0 (216) ------------------------------------------------------------------------------------------------------------------------------ Balance at 09/30/2000 $ 855 $ 89 $ 7 $ 3,819 $ 2,050 $ 0 $ 40,793 ==============================================================================================================================
9. Line of Credit Effective December 30, 1999, the funds, along with certain other funds managed by PIMCO, entered into an unsecured $100,000,000 bank line of credit agreement with State Street Bank & Trust Company. Borrowings under the agreement bear interest at the Fed Funds plus 50 basis points or the Base Rate, which is typically the Prime Rate. The funds may borrow money solely for temporary purposes to fund shareholder redemptions. The funds did not borrow from the line during the period April 1, 2000 to September 30, 2000. 10. Acquisition by Allianz AG On May 5, 2000, Allianz AG completed the acquisition of approximately 70% of the outstanding partnership interest in PIMCO Advisors L.P. ("PIMCO Advisors"), of which PIMCO is a subsidiary partnership. As a result of this transaction, PIMCO Advisors, and its subsidiaries, are now controlled by Allianz AG, a leading provider of financial services, particularly in Europe. PIMCO remains operationally independent, continues to operate under its existing name, and now leads the global fixed-income efforts of Allianz AG. Key employees at each PIMCO Advisors' investment units, including PIMCO's Bill Gross, have signed long-term employment contracts and have significant profit-sharing and retention arrangements to ensure continuity of the investment process and staff. With the addition of PIMCO Advisors, the Allianz Group manages assets of approximately US$650 billion, including more than 300 mutual funds for retail and institutional clients around the world. 145 (This Page Intentionally Left Blank) PIMCO Funds: Pacific Investment Management Series ------------------------------------------------------------------------------------------------ Manager Pacific Investment Management Company, 840 Newport Center Drive, Suite 300, Newport Beach, CA 92660 ------------------------------------------------------------------------------------------------ Distributor PIMCO Funds Distributors LLC, 2187 Atlantic Street, Stamford, CT 06902 ------------------------------------------------------------------------------------------------ Custodian State Street Bank & Trust Co., 801 Pennsylvania, Kansas City, MO 64105 ------------------------------------------------------------------------------------------------ Shareholder PFPC Global Fund Services, Inc., P.O. Box 9688, Providence, RI 02940-9688 Servicing Agent and Transfer Agent ------------------------------------------------------------------------------------------------ Independent PricewaterhouseCoopers LLP, 1055 Broadway, Kansas City, MO, 64105 Accountant ------------------------------------------------------------------------------------------------ Legal Counsel Dechert Price & Rhoads, 1775 Eye Street, Washington, DC, 20006 ------------------------------------------------------------------------------------------------ For Account For PIMCO Funds account information contact your financial advisor, or Information if you receive account statements directly from PIMCO Funds, you can also call 1-800-426-0107. Telephone representatives are available Monday - Friday 8:30 am to 8:00 pm Eastern Time.
For the Best in Online Bond Information, Visit www.pimcofunds.com/bondcenter [GRAPHIC] For comprehensive, up-to-date information on bonds and bond investing, visit the PIMCO Funds Bond Center at www.pimcofunds.com. Rely on the Bond Center to bring you the latest information from PIMCO's world-class team of investment professionals led by PIMCO founder Bill Gross. Highlights include: . Investment Outlook-Bill Gross's monthly newsletter on economic and interest rate trends. . Manager Commentary-Read insight from PIMCO bond managers on the economy and its impact on their funds. . Sector Strategy White Papers-PIMCO Fund managers provide in-depth examinations of fund sectors and discuss strategy. . Economic Data Analysis-Timely analysis of recent economic trends and data from PIMCO's point of view. . Media Highlights-Stay abreast of PIMCO Fund manager appearances and coverage of our Funds. How to get there To visit the Bond Center, point your browser to www.pimcofunds.com/bondcenter. More inside-for a complete update on the PIMCO Funds Bond Center, turn to page 6. PZ000.9/00 [LOGO OF PIMCO FUNDS] --------------- PIMCO Funds BULK RATE Distributors LLC U.S. POSTAGE PAID 2187 Atlantic Street SMITHTOWN, NY Stamford, CT 06902 PERMIT NO. 700 --------------- PIMCO Funds Shareholder Update and Semi-Annual Report This Update is published twice a year to provide PIMCO Funds shareholders with general market commentary and fund information. It also includes the financial report for the PIMCO Funds: Pacific Investment Management Series. [GRAPHIC] Stocks may have taken center stage in recent years, but bonds have been star performers in 2000. Story on page 1. September 30, 2000 Page 1 Today's Investor Pacific Investment Bonds Deserve a Little Limelight--and a Place in Management Your Portfolio Series Share Class D Page 3 PIMCO Funds Update What's News California Intermediate Municipal Bond Page 4 Manager Commentary A Conversation with Bill Gross and Paul McCulley CA Muni Bond Convertible Page 6 Web Update Bookmark the PIMCO Funds Bond Center Emerging Markets Bond Page 7 Overview: Comprehensive Fund Family Foreign Bond High Yield Page 8 PIMCO Funds: Pacific Investment Management Series Low Duration Semi-Annual Report Municipal Bond New York Municipal Bond Real Return Bond Short Duration Muni Income Short-Term StocksPLUS Strategic Balanced Total Return Total Return Mortgage [LOGO OF PIMCO FUNDS] (This Page Intentionally Left Blank) Today's Investor Bonds Deserve a Little Limelight--and a Place in Your Portfolio Bonds are the Rodney Dangerfield of the investment world. Sometimes they just don't get much respect. Despite the fact that, on average, they're outperforming stocks so far this year, they're not getting the attention they deserve. The fact of the matter is, bonds are hard working securities that do a very good job of preserving capital, providing stability and sometimes--like this year--they even offer higher returns than stocks. And all of that makes a compelling argument for including them in a diversified investment portfolio. Bonds topping stocks in 2000 Bonds are on track to outperform stocks this year--a big change from last year's scenario. In 1999 the S&P 500 ended the year up 21.04%, while the tech-heavy NASDAQ closed the year up a phenomenal 85.59%. At the end of September this year, however, both indexes were in negative territory--the S&P 500 at -1.39% and the NASDAQ at -9.74%. By contrast, at the end of the third quarter the Lehman Aggregate Bond Index--generally regarded as representative of the bond market as a whole--was up an impressive 7.12% year to date. After last year's sky-high stock market returns, who could have predicted this turn of events? No one. And that's exactly the rationale for portfolio diversification. Since nobody can foretell which way the financial markets will head from year to year, the sensible solution is to maintain a diversified investment portfolio to protect against the markets' innate volatility. Is your portfolio allocation out of whack? As a result of the run-up in stocks over the last 5 years, many investors will find that their portfolios are no longer properly diversified. The chart below shows what happened to a hypothetical portfolio with 65% invested in stocks and 35% invested in bonds between September 30, 1995 and September 30, 2000. Having a larger portion of your portfolio invested in stocks last year, when stock prices were rising, was a beautiful thing. But with this year's unprecedented stock market volatility, a top-heavy stock portfolio is likely not faring so well. Time to boost your bond quotient? The strong performance of the bond market makes this a particularly good time to invest in bonds. If you're receiving this report, you're already investing in a PIMCO bond fund. That's a good start. The next step is to determine if the percentage of your bond holdings matches your financial goals and risk tolerance. If you need to increase your portfolio's bond allocation, you have a wide range of bond funds from "These slow-and-steady performers [bonds] are anything but dull. They offer many intriguing opportunities and the chance to outpace stocks in coming years." -- Money, August 2000 which to choose, from high quality, intermediate duration core funds to more specialized options. Diversifying your bond holdings will allow you to take advantage of the potential risk/reward tradeoff each offers. You might consider, for example, these sectors of the bond market, each currently offering compelling reasons to invest. Continued You may be less diversified than you think Initial Allocation (9/30/95) Resulting Allocation (9/30/00) Stocks $65,000 65% $173,445 78% Bonds $35,000 35% $47,875 22% Source: Wiesenberger. Returns are based on total return performance from 9/30/95--9/30/00. Stocks represented by the S&P 500 Index, an unmanaged index of common stocks. Bonds are represented by the Lehman Aggregate Bond Index, an unmanaged index of bonds. It is not possible to invest directly in an unmanaged index, and results are not indicative of any PIMCO Fund. 1 [_] Mortgage-backed securities Bill Gross, PIMCO's renowned bond guru, has been touting the virtues of mortgage-backed securities (MBS) for a good part of this year. Government National Mortgage Association (GNMA) securities--or Ginnie Maes--are a particularly attractive member of this asset group as they're backed by the full faith and credit of the U.S. government. And other MBSs, though not guaranteed by the Treasury, nevertheless offer AAA credit ratings. "Long live the Queen--Ginnie Mae. You'll not find a better investment in the bond market today." --Bill Gross, May 2000 Historically, MBSs have offered higher yields than Treasuries or investment grade corporate bonds of comparable maturity, with little additional risk. And currently they're yielding over 7%, while Treasuries and investment-grade corporate bonds are yielding between 5% and 6%. [_] Municipal bonds For tax-sensitive investors, the municipal (muni) bond market is currently providing attractive opportunities. Munis, which are exempt from Federal taxes and from state and local taxes for residents within the issuing state, are currently offering impressive after-tax yields relative to Treasuries. What's more, the average municipal bond fund has topped the average taxable bond fund so far this year. According to leading fund analyst Lipper, Inc., muni funds have returned 5.99% year-to-date, while taxable bond funds have returned 3.79%--and that's not even taking the tax consequences into consideration. Additionally, credit quality conditions in the municipal sector have rarely been more favorable. In fact, Barron's (Oct. 23, 2000) recently reported that "there were 4.1 upgrades for every downgrade among municipals in the third quarter. Among investment grade securities, there were 1.03 upgrades for every downgrade." [_] Inflation-protected bonds After years of relatively steady prices, many investors have forgotten how harmful inflation can be. In fact, it's one of the most serious threats investors face. And despite the Federal Reserve's recent series of interest rate hikes, the inflation rate--as measured by the Consumer Price Index--has still risen 3.5% for the year ended September 30, 2000. Only one investment vehicle eliminates the risk of inflation entirely-- inflation-protected bonds. The principal value of inflation-protected bonds changes in step with the rate of inflation, and as the principal increases, so does the amount of interest paid. Treasury Inflation-Protected Securities (TIPS) are one of the most attractive members of this asset class, combining inflation protection with the guarantee of the U.S. government. Investing in these securities now, while inflation remains at relatively low levels, allows investors to take maximum advantage of the adjustments to principal that will occur when inflation eventually rises. PIMCO Funds offers funds specializing in these three bond classes. To find out about them, call 1-800-426-0107 or visit the PIMCO Funds Web site at www.pimcofunds.com. Past performance is no guarantee of future results. The opinions expressed in this article are opinions only and are not indicative of the past or future performance of any PIMCO Fund. It is not possible to invest directly in any unmanaged index. Mortgage-backed securities may be sensitive to changes in prevailing interest rates, when they rise the value generally declines. GNMA's government guarantee is to the timely repayment of principal and interest of a mutual fund's portfolio securities and not to the shares of the mutual fund, which will fluctuate in value. There is no assurance that the private guarantors or insurers will meet their obligations. Government bonds and Treasury bills are guaranteed by the U.S. government and, if held to maturity, offer a fixed rate of return and fixed principal value. Corporate debt securities are subject to the risk of the issuer's inability to meet principal and interest payments on the obligation and may also be subject to price volatility due to such factors as interest rate sensitivity, market perception of the creditworthiness of the issuer and general market liquidity. Income from municipal bond funds is subject to state and local taxes & may at times be subject to the alternative minimum tax. It's important to note that a fund concentrating in a single state is subject to greater risk of adverse economic conditions and regulatory changes than a fund with broader geographical diversification. The Consumer Price Index is an unmanaged index representing the rate of inflation of the US consumer prices as determined by the US Department of Labor Statistics. There can be no guarantee that the CPI or other indexes will reflect the exact level of inflation at any given time. Treasury Inflation Protected Securities (TIPS) are guaranteed by the US government, however the shares of the Fund are not. 2 PIMCO Funds Update What's News PIMCO Total Return Mortgage Fund By virtue of their high credit quality and attractive yield potential, mortgage-backed securities (MBSs) have become an increasingly important component of the bond market. In fact, Bill Gross, PIMCO's renowned bond chief, considers MBSs--and more specifically, Ginnie Maes--to be the best investment in the bond market today. Launched on August 1, 2000, PIMCO Total Return Mortgage Fund lets you take advantage of this unique opportunity. Here are some of the Fund's highlights: [_] Invests in MBSs, which have historically outperformed Treasuries and investment-grade corporates with comparable durations. [_] Offers high average credit quality and an intermediate duration, making the Fund an attractive core bond holding. [_] Managed by Scott Simon, a leading mortgage expert with over 17 years of investment experience. [_] Backed by PIMCO, the country's largest MBS manager, with nearly $90 billion in assets under management in this sector. [_] Employs PIMCO's signature total return philosophy and process. PIMCO California Municipal Bond Fund "There are compelling opportunities in today's muni market," according to PIMCO's municipal manager, Mark McCray. Currently, McCray finds that municipal yields are very attractive compared to the after-tax yields of comparable Treasuries and corporates. This is especially true in the large California market, which has outperformed the national muni market so far this year. PIMCO California Municipal Bond Fund, launched on August 1, 2000, offers a portfolio of federal and California tax-exempt bonds with a 3- to 12-year duration. These are some of the Fund's key features: [_] Provides monthly income free from federal and California taxes. [_] High credit quality--most issues ranging from A to AAA. [_] Diversified across a wide range of California industry sectors. [_] Managed by Mark McCray, an expert with an extensive background in municipal securities. [_] Backed by PIMCO's state-of the-art analytical tools and bond management resources. PIMCO Bond Funds--Head and Shoulders Above the Crowd Here's a compelling statistic: all but one of PIMCO's bond funds outperformed their Lipper peer group averages over the 1-year period ended 9/30/00 (see chart below). And the one that didn't--PIMCO Emerging Markets Bond Fund--still returned an impressive 23.81%. What does this mean for investors? By entrusting their assets to PIMCO, investors can participate in a wide range of fixed-income strategies within one fund family--and expect the same high-quality investment management across the board. PIMCO Bond Funds 1-Year Returns for the Period Ended 9/30/00 PIMCO Fund 1-Year (%) Lipper Avg. (%) Difference Foreign Bond 7.13 -3.90 +11.03% Convertible 38.39 30.87 +7.52% Global Bond II 6.53 0.58 +5.95% Real Return Bond 9.59 5.68 +3.91% Long-Term U.S. Government 8.93 6.12 +2.81% High Yield 2.77 -0.02 +2.79% Total Return Mortgage 8.01 6.47 +1.54% California Interm. Municipal Bond 6.81 5.78 +1.03% New York Municipal Bond 6.18 5.22 +0.96% Total Return 6.62 5.75 +0.87% Municipal Bond 5.41 4.74 +0.67% Low Duration 6.05 5.73 +0.32% Short-Term 6.12 6.02 +0.10% Emerging Markets Bond 23.81 23.97 -0.16% Past performance is no guarantee of future results. Fund returns represent the performance of Class A shares at NAV. Please refer to the appropriate pages for standardized returns and complete risk disclosures for all of the above Funds. Treasury securities are guaranteed by the U.S. government. Lipper averages are calculated by Lipper, Inc., a nationally recognized mutual fund performance evaluation firm. They are performance averages of the funds Lipper tracks, with the investment objective noted. Lipper rankings are based on total returns, not adjusted for sales charges. 3 Manager Commentary Economic Outlook Bill Gross is regarded by many as America's most influential authority on the bond market. He pioneered the "total return" approach to bond investing, and is the portfolio manager of PIMCO Total Return Fund--the country's largest bond fund. Paul McCulley is an economist and monetary policy specialist with 17 years of investment experience. He is responsible for all short-term bond portfolios at PIMCO--including PIMCO Short-Term Fund. We recently had the pleasure of speaking with them both about their latest outlook for the economy and the bond market. Q: What happened in the bond market in the third quarter? BG: Intermediate maturity Treasuries rallied as the yields on 2-, 5- and 10-year notes fell significantly. With the yield on 30-year Treasuries remaining flat, the portion of the Treasury yield curve between 10 and 30 years reverted to a positive slope for the first time since mid-January. The reversion of the long end of the curve came amid shifting market sentiment about the economy, Fed policy and the budget surplus in Washington. Mortgages outperformed Treasuries, benefiting from low market volatility and attractive yield premiums. Investment-grade debt also did well as investors were drawn to their higher yields. However, the high yield sector lagged Treasuries amid continued concern about credit weakness in the sector. Q: What's your outlook for the economy? PM: Looking ahead, global economic growth will moderate in response to recent monetary policy tightening in the U.S., Europe and Japan and the highest oil prices in a decade. Inflation is likely to creep higher as increased energy prices seep through economies around the world. In fact, there are now indications that the economy here at home has started to slow. Manufacturing activity is slowing. According to the Purchasing Managers Index, the sector actually contracted in August and September. And corporate earnings warnings suggest the problem is not confined to just manufacturing. In addition, consumer spending is cooling, after posting robust gains at the start of the year. Q: What does that mean for the Fed? PM: Well, the Fed will likely stand pat, certainly through the election, and maybe until next year. While Chairman Greenspan must be happy that the economy is slowing, he remains concerned about two important issues: the impact of continued labor market tightness on inflation through higher wage pressures and concern that higher oil prices will seep into the economy in the form of secondary and tertiary price increases. So while historically the Fed has loosened monetary policy when the manufacturing economy has contracted, this time they may delay easing until inflationary pressures diminish. In short, the tightening cycle is over, but the Fed hasn't indicated that easier monetary policy lies ahead. Q: So, will high oil prices be a major issue for the Fed? PM: Well, over the short run it is a consideration because supply and demand tend to be less elastic. However, the current level of oil prices is not sustainable over the long term. In our opinion, higher oil prices will dampen demand over the long term by slowing worldwide growth. High prices will also encourage more drilling, expansion of refining capacity and rebuilding of inventories from their current low levels. The Fed knows this and that's why they are willing to put up with higher oil prices now, all other things being equal. Q: Will the outcome of the presidential election impact the bond market? BG: A concern I have is if one party dominates the election by taking both the White House and Congress, it will be able to enact its promised tax cut. That would stimulate the consumer and re-ignite the economy, potentially bringing the Historically, the Fed has eased when the Purchasing Managers Index drops below 50. [GRAPH] DATE Purchasing Managers (%) Fed Funds Rate (%) Jan-82 38.2 13.2 Feb-82 38.3 14.8 Mar-82 36.8 14.7 Apr-82 37.8 14.9 May-82 35.5 14.5 Jun-82 38.3 14.2 Jul-82 38.4 12.6 Aug-82 38.3 10.1 Sep-82 38.8 10.3 Oct-82 39.4 9.7 Nov-82 39.2 9.2 Dec-82 42.8 9.0 Jan-83 46.0 8.7 Feb-83 54.4 8.5 Mar-83 53.9 8.8 Apr-83 54.2 8.8 May-83 56.1 8.6 Jun-83 57.5 9.0 Jul-83 63.6 9.4 Aug-83 63.1 9.6 Sep-83 62.5 9.5 Oct-83 64.4 9.5 Nov-83 66.0 9.3 Dec-83 69.9 9.5 Jan-84 60.5 9.6 Feb-84 61.3 9.6 Mar-84 58.9 9.9 Apr-84 61.0 10.3 May-84 58.6 10.3 Jun-84 58.1 11.1 Jul-84 56.1 11.2 Aug-84 53.0 11.6 Sep-84 50.0 11.3 Oct-84 50.8 10.0 Nov-84 50.3 9.4 Dec-84 50.6 8.4 Jan-85 50.3 8.4 Feb-85 49.9 8.5 Mar-85 47.8 8.6 Apr-85 48.2 8.3 May-85 47.1 8.0 Jun-85 47.8 7.5 Jul-85 47.9 7.9 Aug-85 47.7 7.9 Sep-85 49.9 7.9 Oct-85 50.9 8.0 Nov-85 52.0 8.1 Dec-85 50.7 8.3 Jan-86 51.2 8.1 Feb-86 51.0 7.9 Mar-86 51.0 7.5 Apr-86 49.7 7.0 May-86 53.4 6.9 Jun-86 50.5 6.9 Jul-86 48.0 6.6 Aug-86 52.6 6.2 Sep-86 52.4 5.9 Oct-86 51.2 5.9 Nov-86 51.2 6.0 Dec-86 50.5 6.9 Jan-87 54.9 6.4 Feb-87 52.6 6.1 Mar-87 55.0 6.1 Apr-87 55.5 6.4 May-87 57.2 6.9 Jun-87 57.4 6.7 Jul-87 57.5 6.6 Aug-87 59.3 6.7 Sep-87 60.0 7.2 Oct-87 60.7 7.3 Nov-87 58.8 6.7 Dec-87 61.0 6.8 Jan-88 57.5 6.8 Feb-88 56.2 6.6 Mar-88 54.6 6.6 Apr-88 55.8 6.9 May-88 55.5 7.1 Jun-88 59.3 7.5 Jul-88 58.2 7.8 Aug-88 56.0 8.0 Sep-88 54.5 8.2 Oct-88 55.4 8.3 Nov-88 55.6 8.4 Dec-88 56.0 8.8 Jan-89 54.7 9.1 Feb-89 54.1 9.4 Mar-89 51.5 9.9 Apr-89 52.2 9.8 May-89 49.3 9.8 Jun-89 47.3 9.5 Jul-89 45.9 9.2 Aug-89 45.1 9.0 Sep-89 46.0 9.0 Oct-89 46.8 8.8 Nov-89 46.8 8.6 Dec-89 47.4 8.5 Jan-90 47.2 8.2 Feb-90 49.1 8.2 Mar-90 49.9 8.3 Apr-90 50.0 8.3 May-90 49.5 8.2 Jun-90 49.2 8.3 Jul-90 46.6 8.2 Aug-90 46.1 8.1 Sep-90 44.5 8.2 Oct-90 43.2 8.1 Nov-90 41.3 7.8 Dec-90 40.8 7.3 Jan-91 39.2 6.9 Feb-91 39.4 6.3 Mar-91 40.7 6.1 Apr-91 42.8 5.9 May-91 44.5 5.8 Jun-91 50.3 5.9 Jul-91 50.6 5.8 Aug-91 52.9 5.7 Sep-91 54.9 5.5 Oct-91 53.1 5.2 Nov-91 49.5 4.8 Dec-91 46.8 4.4 Jan-92 47.3 4.0 Feb-92 52.7 4.1 Mar-92 54.6 4.0 Apr-92 52.6 3.7 May-92 55.7 3.8 Jun-92 53.6 3.8 Jul-92 53.9 3.3 Aug-92 53.4 3.3 Sep-92 49.7 3.2 Oct-92 50.3 3.1 Nov-92 53.6 3.1 Dec-92 54.2 2.9 Jan-93 55.8 3.0 Feb-93 55.2 3.0 Mar-93 53.5 3.1 Apr-93 50.2 3.0 May-93 51.2 3.0 Jun-93 49.6 3.0 Jul-93 50.2 3.1 Aug-93 50.7 3.0 Sep-93 50.8 3.1 Oct-93 53.4 3.0 Nov-93 53.8 3.0 Dec-93 55.6 3.0 Jan-94 56.0 3.1 Feb-94 56.5 3.3 Mar-94 56.9 3.3 Apr-94 57.4 3.6 May-94 58.2 4.0 Jun-94 58.8 4.3 Jul-94 58.5 4.3 Aug-94 58.0 4.5 Sep-94 59.0 4.7 Oct-94 59.4 4.8 Nov-94 59.2 5.3 Dec-94 56.1 5.5 Jan-95 57.4 5.5 Feb-95 55.1 5.9 Mar-95 52.1 6.0 Apr-95 51.5 6.1 May-95 46.7 6.0 Jun-95 45.9 6.0 Jul-95 50.7 5.9 Aug-95 47.1 5.7 Sep-95 48.1 5.8 Oct-95 46.7 5.8 Nov-95 45.9 5.8 Dec-95 46.2 5.6 Jan-96 45.5 5.6 Feb-96 45.9 5.2 Mar-96 46.9 5.3 Apr-96 49.3 5.2 May-96 49.1 5.2 Jun-96 53.6 5.3 Jul-96 49.7 5.4 Aug-96 51.6 5.2 Sep-96 51.1 5.3 Oct-96 50.5 5.2 Nov-96 53.0 5.3 Dec-96 55.2 5.3 Jan-97 53.6 5.3 Feb-97 53.3 5.2 Mar-97 54.1 5.4 Apr-97 53.7 5.5 May-97 56.0 5.5 Jun-97 55.2 5.6 Jul-97 57.8 5.5 Aug-97 56.1 5.5 Sep-97 54.0 5.5 Oct-97 56.4 5.5 Nov-97 55.4 5.5 Dec-97 54.3 5.5 Jan-98 53.4 5.5 Feb-98 53.2 5.5 Mar-98 53.4 5.5 Apr-98 52.3 5.5 May-98 50.9 5.5 Jun-98 49.2 5.6 Jul-98 49.4 5.5 Aug-98 49.1 5.6 Sep-98 48.8 5.5 Oct-98 48.6 5.1 Nov-98 47.7 4.8 Dec-98 46.3 4.7 Jan-99 49.9 4.6 Feb-99 52.1 4.8 Mar-99 53.3 4.8 Apr-99 52.7 4.7 May-99 54.4 4.7 Jun-99 56.3 4.8 Jul-99 53.6 5.0 Aug-99 54.4 5.1 Sep-99 57.3 5.2 Oct-99 56.9 5.2 Nov-99 57.1 5.4 Dec-99 56.8 5.3 Jan-00 56.3 5.5 Feb-00 56.9 5.7 Mar-00 55.8 5.9 Apr-00 54.9 6.0 May-00 53.2 6.3 Jun-00 51.8 6.5 Jul-00 51.8 6.6 Aug-00 49.5 6.5 Source: Nat'l Assoc. of Purchasing Mgmt.; Federal Reserve. 4 Fed back into the picture. Furthermore, the spending initiatives of either a Bush or Gore administration would most likely turn forecasted budget surpluses into deficits. That would force the Treasury to issue new debt, and remove what has been a major stimulus for the Treasury market this year. I think the bond market would be happiest if the election resulted in continued stalemate in Washington with one party in control of the White House and another in control of Congress. Q: Then is stagflation still an issue? BG: Yes, over the short term. While the economy is clearly cooling, inflation should creep higher due to the factors Paul mentioned before. Historically, normal economic cycles often end with a small dose of stagflation, because inflation in general is a lagging condition. However, the tech slowdown that is currently unfolding needs to be watched. If it negatively impacts productivity growth, then the stagflation story could become a bigger issue. Q: What will drive performance in the coming months? PM: Sector and quality will have more impact on portfolio performance than interest rate strategies in the current environment of slower growth, earnings pressure and creeping inflation. High levels of corporate debt and erosion of credit quality amid slower global growth signal caution toward longer-maturity corporate and emerging market bonds. Emphasis on top-quality credits with shorter maturities is one way to avoid mistakes, though this strategy may sacrifice yield. Mortgages are another alternative. Still, mortgages are not risk-free because they will be vulnerable to adverse price performance if interest rate volatility picks up. U.S. Corporate Sector Borrowing Corporations are assuming more and more debt. The line graph inserted at the bottom of page 4 in the section "Economic Outlook" is entitled "U.S. Corporate Sector Borrowing" and illustrates the fact that corporations are assuming more and more debt. The graph shows one line representing the U.S.$ amount from flow of funds and a second line representing the %YoY of non-financial credit growth (RHS), both over the ten-year period from 1990 through 2000. Q: Then are mortgage-backed securities still the favored sector? BG: They are for two reasons. First, their yields remain attractive relative to other areas of the bond market with little additional credit risk. Mortgages are still yielding north of 7%, while Treasuries and investment-grade corporate bonds are earning between 5% and 6%. Second, given our outlook for a relatively stable interest rate environment over the next year, the yield premium paid for prepayment risk is very attractive right now. Q: Finally, Bill, you've spoken frequently about the decline of the corporate sector. Could you elaborate? BG: First, cyclically, with the economy slowing and default rates in the corporate credit market high and rising, higher yielding, lower quality issues will continue to face tough times. Even many investment-grade issues suffer in this environment. Second, secularly, corporate bond investing in a New Age economy is a dangerous proposition. That's because today's economic growth is based on the premise that "creative destruction" is a good thing. Joseph Schumpeter first introduced the idea that the greatest good is ultimately accomplished by allowing innovation to flourish even as it damages some. The U.S. dominates the world economy today because it embraces change and allows the new to overtake the old. New Age companies embody the creative part of the concept and tend to raise capital in the equity markets. That leaves destruction for certain Old Age companies, which leverage their balance sheet by issuing debt only to use the proceeds to buy back stock in order to keep their stock price competitive--a vicious cycle of self-liquidation. The outcome is not good for debt holders. That's why we are cautious about the corporate market. For more on our economic outlook on a monthly basis, read Bill Gross's Investment Outlook and Paul McCulley's Fed Focus online at www.pimcofunds.com. Past performance is no guarantee of future results. The views of Mr. Gross and Mr. McCulley are not indicative of the past or future performance of any PIMCO Fund. 5 Web Update Looking for the Best in Online Bond Information? Bookmark the PIMCO Funds Bond Center at www.pimcofunds.com/bondcenter [GRAPHIC] Visit the PIMCO Funds Bond Center at www.pimcofunds/bondcenter.com for comprehensive, reliable, up-to-date information on bonds and bond mutual funds. Now you can get even more detailed, easy-to-access information about PIMCO's bond funds when you visit the online PIMCO Funds Bond Center. And of course, the Center continues to deliver the best research and news about bonds and bond investing. Rely on the Bond Center to bring you the latest information from our world-class team of investment professionals led by PIMCO founder Bill Gross. Resources to Keep You In-the-Know The Bond Center contains a wealth of resources to keep you up-to-date on the economy, the bond markets and related investment opportunities. Regular features include: [_] Investment Outlook--Bill Gross's monthly newsletter on economic and interest rate trends. [_] Manager Commentary--Read insight from PIMCO bond managers on the economy and its impact on their funds. [_] Sector Strategy White Papers--PIMCO Fund managers provide in-depth examinations of fund sectors and discuss strategy. [_] Economic Data Analysis--Timely analysis of recent economic trends and data from PIMCO's point of view. [_] Media Highlights--Stay abreast of PIMCO Fund manager appearances and coverage of our Funds. Enhanced Fund Information Getting the facts you need about any PIMCO bond fund is faster and easier than ever. Now, everything relating to a Fund is conveniently organized in one place: [_] Performance--Class-specific, in-depth performance data, including daily price and performance, month-end numbers and average annual returns. [_] Fund Overviews--Highlighting the unique advantages each Fund offers. [_] Statistics at a Glance--Including objective, primary portfolio and assets under management. [_] Ratings/Rankings--Current Morningstar ratings and Lipper rankings. [_] Portfolio Analysis--Breakdown of Fund holdings plus quality and maturity analyses, updated monthly. [_] Manager Commentary--Managers' investment insight and market analysis. [_] Investment Process--Step-by-step explanations of each manager's investment strategy. [_] Literature--Categorized by Fund, to download or order by mail. 6 The PIMCO Funds Family
Fund Name Objective Primary Portfolio Composition ================================================================================================================================ Growth Growth Long-term growth of capital Stocks of larger-capitalized companies Stock Funds Select Growth Long-term growth of capital Stocks of larger-capitalized companies Target Capital appreciation Stocks of medium-capitalized companies -------------------------------------------------------------------------------------------------------------------------------- Blend Capital Appreciation Growth of capital Stocks of larger-capitalized companies the Stock Funds manager believes are reasonably valued Mid-Cap Growth of capital Stocks of medium-capitalized companies the manager believes are reasonably valued Equity Income Current income and long-term growth Stocks of larger-capitalized companies with above-average dividends Growth & Income Capital appreciation Stocks of larger-capitalized companies with above-average dividends -------------------------------------------------------------------------------------------------------------------------------- Value Value Long-term growth of capital and Stocks of larger-capitalized companies with Stock Funds income below-average P/Es Renaissance Long-term growth of capital and Stocks with below-average income valuations -------------------------------------------------------------------------------------------------------------------------------- Enhanced Index Tax-Efficient Equity Maximum after-tax growth of capital Stocks of larger-capitalized companies Stock Funds StocksPLUS Total return exceeding the S&P 500 S&P 500 stock index futures backed by a Index portfolio of short-term, fixed-income securities -------------------------------------------------------------------------------------------------------------------------------- Sector Related Innovation Capital appreciation Stocks of technology-related companies Stock Funds Global Innovation Capital appreciation Stocks of U.S. and non-U.S. technology related companies -------------------------------------------------------------------------------------------------------------------------------- Short Duration Short-Term Maximum current income consistent Money market securities and short-term bonds Bond Funds with preservation of capital and (up to 1 year duration) daily liquidity Low Duration Maximum total return Short maturity fixed income securities (1-3 year duration) -------------------------------------------------------------------------------------------------------------------------------- Intermediate Duration Total Return Maximum total return Intermediate maturity fixed income securities Bond Funds (3-6 year duration) Total Return Mortgage Maximum total return Intermediate maturity mortgage-related fixed income securities (2-6 year duration) -------------------------------------------------------------------------------------------------------------------------------- International Foreign Bond Maximum total return Intermediate maturity hedged non-U.S. fixed Bond Funds income securities (3-7 year duration) Emerging Markets Bond Maximum total return Emerging market fixed income securities (0-8 year duration) -------------------------------------------------------------------------------------------------------------------------------- High Yield Bond Fund High Yield Maximum total return Higher yielding fixed income securities (2-6 year duration) -------------------------------------------------------------------------------------------------------------------------------- Inflation-Indexed Real Return Bond Maximum real return Inflation-indexed fixed income securities Bond Fund -------------------------------------------------------------------------------------------------------------------------------- Convertible Convertible Maximum total return Convertible securities Bond Fund -------------------------------------------------------------------------------------------------------------------------------- Tax Exempt Municipal Bond High current income exempt from Intermediate to long-term maturity municipal Bond Funds federal taxes, preservation of securities, exempt from federal income tax capital (3-10 year duration) California High current income exempt from Intermediate to long-term maturity municipal Municipal Bond federal and California income securities (3-12 year duration) tax California Intermediate High current income exempt from Intermediate maturity municipal securities Municipal Bond federal and California income tax (3-7 year duration) New York High current income exempt from Intermediate to long-term maturity municipal Municipal Bond federal and New York income tax securities (3-12 year duration) Short Duration High current income exempt from Short to Intermediate-term maturity municipal Municipal Income federal income tax securities (0-2 year duration) -------------------------------------------------------------------------------------------------------------------------------- Stock and Bond Funds Strategic Balanced Maximum total return Intermediate maturity fixed-income securities and S&P 500 stock index derivatives (0-6 years duration)
7 Pacific Investment Management Series PIMCO Funds Semi-Annual Report Dear Shareholder: What a difference a year makes. This time last year the stock market was hurtling toward one of its strongest showings ever, with many stock funds reporting double- and even triple-digit returns. At the end of the third quarter of 2000, however, most of the major stock indexes were down and the average U.S. equity fund, according to Morningstar, was returning just 3.48%. The bond market, on the other hand, has had a good year so far--a contrast to the turbulence of 1999. All bond classes, with the exception of high yield, experienced a bounce in the third quarter, strengthened by the perception that the economy has slowed and that the Fed may have finished raising interest rates for now. Year-to-date, the Lehman Aggregate Bond Index, a broad measure of bond market performance, is up 7.12% and the average bond fund is up 4.90%, again according to Morningstar. In short, the average bond fund is outperforming the average stock fund, and doing it with a lot less volatility. All of this just serves to illustrate that last year's laggards may be this year's winners. And that it's more important than ever to remember a few time-honored principles...Maintain a diversified investment portfolio. Have a healthy respect for risk. Keep your focus on the long term. Or as Bill Gross--PIMCO's oft-quoted bond chief--has said "Set your sights on a horizon and sail until you get there." Those who can stick with these precepts will be able to ride out market volatility and ultimately reach their investment goals. And at PIMCO, we're committed to providing investors with the kind of high quality investment vehicles that can help them get there. How have PIMCO's bond funds fared? Well, I'm pleased to say that they've all reported strong relative performance. In fact, all of our bond funds but one have outperformed their Lipper Averages over the last year. And the one that didn't--PIMCO Emerging Markets Bond Fund--still returned an impressive 23.82%, just slightly behind its average. I encourage you to review the fund information and commentary on the following pages carefully. And once again, I'd like to thank you for the trust you've placed in us. If you have any questions regarding your investment, call us at 1-800-426-0107. Or visit our Web site at www.pimcofunds.com. Sincerely, /s/ Brent R. Harris Brent R. Harris Chairman of the Board October 31, 2000 8 PIMCO Funds Financial Information We are pleased to present an in-depth review of PIMCO Funds Pacific Investment Management Series as of September 30, 2000. In order to help analyze, compare and contrast the Funds, the report is broken down into a number of sections. Listed below is a table of contents and descriptions of the various sections. Pages 10-26 Fund Summaries A summary of a Fund's performance record and portfolio composition, and a review from the Fund's investment manager. Pages 27-105 Schedule of Investments The Schedule of Investments includes a listing of securities in the Fund's portfolio as of September 30, 2000, including the number of shares or principal amount and value as of that date. Schedule of Fund Name Fund Summary Investments California Inter. Muni. Bond Fund Page 10 Page 27 California Municipal Bond Fund Page 11 Page 30 Convertible Fund Page 12 Page 31 Emerging Markets Bond Fund Page 13 Page 33 Foreign Bond Fund Page 14 Page 35 High Yield Fund Page 15 Page 41 Low Duration Fund Page 16 Page 47 Municipal Bond Fund Page 17 Page 55 New York Municipal Bond Fund Page 18 Page 58 Real Return Bond Fund Page 19 Page 59 Short Duration Municipal Income Fund Page 20 Page 63 Short-Term Fund Page 21 Page 65 StocksPLUS Fund Page 22 Page 69 Strategic Balanced Fund Page 23 Page 74 Total Return Fund Page 24 Page 75 Total Return Mortgage Fund Page 25 Page 104 Pages 106-107 Financial Highlights This chart shows a per share breakdown of the factors that affect a Fund's NAV for the current and past reporting periods. In addition to showing total returns, the chart reports distributions, asset sizes, expense ratios and portfolio turnover rates. Pages 108-109 Statements of Assets and Liabilities A "balance sheet" of a Fund as of the last day of the fiscal period. It includes the Fund's class-level NAVs per share by dividing the Fund's class-level net assets (assets minus liabilities) by the number of class-level shares outstanding. Pages 110-111 Statements of Operations This statement lists a Fund's income, expenses, and gains and losses on securities and currency transactions, and appreciation or depreciation from portfolio holdings. Pages 112-115 Statements of Changes in Net Assets This reports the increase or decrease in a Fund's net assets during the reporting period. Changes in net assets are due to a variety of factors, including investment operations, dividends, distributions and capital share transactions. Page 116 Statements of Cash Flows For certain Funds that employ leveraging in the investment strategy, this reports the increase or decrease in a Fund's cash balance during the reporting period. Changes in cash balances are due to a variety of factors, including investment operations, dividends, distributions and capital share transactions. Pages 117-124 Notes to Financial Statements A description of the significant accounting policies of the Funds, and more detailed information about the schedules and tables that appear in the report. 9 PIMCO CA Intermediate Municipal Bond Fund September 30, 2000 OBJECTIVE: Seek high current income exempt from federal and California income tax. PORTFOLIO: Intermediate maturity municipal securities. DURATION RANGE: 3-7 years FUND INCEPTION DATE: 8/31/99 TOTAL NET ASSETS: $100.5 million PORTFOLIO MANAGER: Mark McCray -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00 D Shares Lipper Lehman Bros. California Lehman Bros. Intermediate Interm. CA Muni. Insured Debt Fund Bond Index Avg. -------------------------------------------------------------------------------- 1 year 6.80% 5.78% 7.82% Inception 6.93% -- -- [GRAPH] PIMCO Lehman Brothers CA Intermediate Intermediate California Municipal Bond Insured Bond Index D 08/31/1999 10,000 10,000 09/30/1999 10,067 10,064 10/31/1999 9,989 9,998 11/30/1999 10,071 10,080 12/31/1999 10,024 9,987 01/31/2000 10,052 10,044 02/29/2000 10,114 10,099 03/31/2000 10,292 10,247 04/30/2000 10,265 10,170 05/31/2000 10,311 10,197 06/30/2000 10,503 10,426 07/31/2000 10,638 10,569 08/31/2000 10,789 10,734 09/30/2000 10,754 10,673 Change in Value $10,000 invested at the Fund's inception *Past performance is no guarantee of future results. Returns represent the blended performance of the Fund's Class D shares and the prior performance of the Fund's Instl shares. Class D shares were first offered in 1/31/00. Income from the Fund may be subject to state and local taxes and (if applicable) the Alternative Minimum Tax. See page 26 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 21% -------------------------------------------------------------------------------- 1-5 years 26% -------------------------------------------------------------------------------- 5-10 years 28% -------------------------------------------------------------------------------- 10-20 years 16% -------------------------------------------------------------------------------- 20-30 years 9% -------------------------------------------------------------------------------- Duration: 5.6 years -------------------------------------------------------------------------------- Regional Breakdown -------------------------------------------------------------------------------- California 83.2% -------------------------------------------------------------------------------- Puerto Rico 12.1% -------------------------------------------------------------------------------- Virgin Islands 4.5% -------------------------------------------------------------------------------- Other 0.2% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 46.3% -------------------------------------------------------------------------------- AA 31.3% -------------------------------------------------------------------------------- A 10.8% -------------------------------------------------------------------------------- BBB 8.0% -------------------------------------------------------------------------------- BB 3.6% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class D shares returned 4.47%, outperforming the Lipper Average, which returned 3.89%. Over the same time period, the Fund slightly outperformed its benchmark, the Lehman Intermediate California Insured Bond Index, which returned 4.15%. Looking longer term, the Fund outperformed both the Lipper Average and the benchmark over the one-year and since inception periods ended September 30, 2000. The Federal Reserve lifted short-term interest rates by 50 basis points at their May meeting, bringing its total tightening tally for this cycle to six, as concern remained that inflationary pressures were building. Supporting the concern, oil prices surged to their highest level in a decade. But the cumulative impact of 175 basis points of tightening began to slow the economy, as signs emerged that consumer and investment spending was slowing and that the housing sector was cooling. California municipal bond yields fell along with those in other higher quality bond markets due to a state credit rating upgrade, strong retail demand and reduced new issuance. In fact, the California municipal market was the second best performing individual state market during the third quarter and year-to-date. The Fund's overweight position in longer maturity issues was positive for performance as this area of the yield curve experienced the biggest drop during the quarter. Superior issue selection within the general obligation and pre-refunded sectors improved relative returns as well. Finally, overweighting deep discount bonds also enhanced performance, because falling interest rates reduced their potential tax exposure and boosted investor demand. However, our conservative below-benchmark duration exposure during the third quarter held back relative performance as California municipal yields dropped across the maturity spectrum. Looking ahead, we expect growth will continue to moderate worldwide. We also expect inflation to creep higher in the face of continued wage pressures and escalating energy costs. More Fed tightening is unlikely now that U.S. growth is slowing, but the central bank will also refrain from easing to avoid igniting inflation. A focus on quality will continue to be critical for superior performance as credit deterioration continues. As a result, we anticipate continuing our high quality focus, targeting an average credit quality of AA and limiting below-investment-grade exposure due to narrow credit premiums. We expect to maintain an overweight position in longer maturities, which offer compelling value as they are overlooked by many retail investors. Duration may be moved closer to the benchmark as we expect municipal yields to remain relatively stable in the near term. 10 PIMCO CA Municipal Bond Fund September 30, 2000 OBJECTIVE: Seek high current income exempt from federal and California income tax. PORTFOLIO: Investment grade municipal bonds. DURATION RANGE: 3-7 years FUND INCEPTION DATE: 5/16/00 TOTAL NET ASSETS: $9.1 million PORTFOLIO MANAGER: Mark McCray -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00 D Shares Lipper Lehman Bros. General Muni. General Muni. Debt Fund Avg. Bond Index -------------------------------------------------------------------------------- Inception 15.69% -- -- *Past performance is no guarantee of future results. Returns represent the blended performance of the Fund's Class D shares and the prior performance of the Fund's institutional class shares. Class D shares were first offered in 7/31/00. Income from the Fund may be subject to state and local taxes and (if applicable) the Alternative Minimum Tax. See page 26 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 3% -------------------------------------------------------------------------------- 1-5 years 37% -------------------------------------------------------------------------------- 5-10 years 17% -------------------------------------------------------------------------------- 10-20 years 30% -------------------------------------------------------------------------------- 20-30 years 13% -------------------------------------------------------------------------------- Duration: 7.0 years -------------------------------------------------------------------------------- Regional Breakdown -------------------------------------------------------------------------------- California 68.6% -------------------------------------------------------------------------------- Puerto Rico 25.7% -------------------------------------------------------------------------------- Virgin Islands 4.5% -------------------------------------------------------------------------------- Other 1.2% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 77.1% -------------------------------------------------------------------------------- AA 4.1% -------------------------------------------------------------------------------- A 5.8% -------------------------------------------------------------------------------- BBB 4.5% -------------------------------------------------------------------------------- BB 8.5% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- The California Municipal Bond Fund's primary investment objective is to seek high current income that would be exempt from federal and California income taxes. The Fund's inception date is May 16, 2000. The Federal Reserve lifted short-term interest rates by 50 basis points at their May meeting, bringing its total tightening tally for this cycle to six, as concern remained that inflationary pressures were building. Supporting the concern, oil prices surged to their highest level in a decade. But the cumulative impact of 175 basis points of tightening began to slow the economy, as signs emerged that consumer and investment spending was slowing and that the housing sector was cooling. California municipal bond market performance was driven by a decreased supply of California issues, ratings upgrades for the State of California and heavy retail demand in the face of a strong local economy and cooling stock markets. In fact, during the third quarter the California municipal market was the second best performing individual state market. In keeping with our high quality focus, the Fund's average credit quality for the period ended September 30, 2000 was AA+ with a majority of the portfolio invested in AAA rated municipals and a limited allocation to lower investment-grade and below-investment grade issues. Over the same time period, the Fund's average maturity was relatively longer term at 10.94 years. Looking ahead, we expect growth will continue to moderate worldwide. We also expect inflation to creep higher in the face of continued wage pressures and escalating energy costs. More Fed tightening is unlikely now that U.S. growth is slowing, but the central bank will also refrain from easing to avoid igniting inflation. A focus on quality will continue to be critical for superior performance as credit deterioration continues. As a result, we anticipate maintaining a high quality focus, targeting an average credit quality of AA and limiting below-investment-grade exposure due to narrow credit premiums. Going forward, we hope to enhance yield through allocations to higher rated revenue bonds that have attractive risk-adjusted yields. 11 PIMCO Convertible Fund September 30, 2000 OBJECTIVE: Maximum total return. PORTFOLIO: Convertible Securities. FUND INCEPTION DATE: 3/31/99 TOTAL NET ASSETS: $159.7 million PORTFOLIO MANAGER: Sandra Durn -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00 D Shares Lipper First Boston Convertible Convertible Sec. Fund Avg. Bond Index -------------------------------------------------------------------------------- 1 year 37.97% 30.89% 34.90% Inception 34.79% -- -- Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO First Boston Convertible Convertible D Bond Index 03/31/1999 10,000 10,000 04/30/1999 10,477 10,405 05/31/1999 10,663 10,309 06/30/1999 11,239 10,754 07/31/1999 11,265 10,612 08/31/1999 11,242 10,643 09/30/1999 11,347 10,671 10/31/1999 11,802 11,040 11/30/1999 12,666 11,888 12/31/1999 14,177 13,695 01/31/2000 14,466 13,489 02/29/2000 16,009 14,905 03/31/2000 16,005 14,584 04/30/2000 14,930 13,873 05/31/2000 14,462 13,129 06/30/2000 15,243 13,982 07/31/2000 14,806 13,560 08/31/2000 15,934 14,603 09/30/2000 15,655 14,396 *Past performance is no guarantee of future results. Foreign investing involves potentially higher risks including foreign currency fluctuations and political or economic uncertainty. These risks can be enhanced when investing in emerging markets The Fund may have to convert securities before it would otherwise choose to, which may have an adverse effect on the Fund's ability to achieve its investment objective. See page 26 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 3% -------------------------------------------------------------------------------- 1-5 years 39% -------------------------------------------------------------------------------- 5-10 years 3% -------------------------------------------------------------------------------- 10-20 years 49% -------------------------------------------------------------------------------- 20-30 years 6% -------------------------------------------------------------------------------- Duration: 1.5 years -------------------------------------------------------------------------------- Sector Breakdown -------------------------------------------------------------------------------- Convertible Bonds & Notes 69.8% -------------------------------------------------------------------------------- Convertible Preferred Stock 22.6% -------------------------------------------------------------------------------- Other 7.6% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 8.5% -------------------------------------------------------------------------------- AA 6.2% -------------------------------------------------------------------------------- A 13.8% -------------------------------------------------------------------------------- BBB 37.9% -------------------------------------------------------------------------------- BB 11.6% -------------------------------------------------------------------------------- B 22.0% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class D shares fell 2.19%, underperforming the CS First Boston Convertible Bond Index, which fell 1.29%. The Fund also underperformed its Lipper Average, which fell 0.66%. However, the Fund continues to outperform over the longer-term, beating both its benchmark and its Lipper Average over the last year and since the Fund's inception. Over the last six months, the Federal Reserve raised rates once, in May, continuing its efforts to prevent the economy from overheating and creating inflationary pressures. However, since that 50 basis point increase, the Federal Reserve has remained on hold based on evidence that economic growth is moderating to a pace more in line with the economy's potential to produce. As a result, yields fell across many sectors of the bond market. However, convertible performance was mixed as the equity market performed poorly. Below-benchmark delta (price sensitivity to changes in the underlying stock value) helped performance as the equity markets experienced a significant downturn. Higher credit quality helped returns as these issues significantly outperformed speculative-grade convertibles. Overweights in financials and utilities enhanced returns, as `old economy' issues outperformed their `new economy' counterparts. An emphasis in telecommunications issues hurt performance as this sector experienced a market correction due mostly to weaker-than-expected earnings. The Fund's underweight in consumer staples also hurt performance as this sector rebounded from a strong first quarter. Going forward, we believe that the U.S. economy will decelerate as rising rates and higher energy costs curb worldwide economic growth. We expect inflation to creep higher in the face of wage pressures and rising energy costs. We believe that further Fed tightening is unlikely now due to moderating U.S. economic growth; however, the central bank will also refrain from easing to avoid igniting accelerated consumer spending via the stock and housing markets. In light of this environment, we intend to continue to keep delta below the benchmark to protect against adverse conditions in the equity markets and take advantage of the downside protection offered by the bond characteristics of convertibles. We also hope to continue our focus on holding non-cyclical issues that can withstand a slowdown in the U.S economy, such as utilities and financials. We expect to maintain a high credit quality portfolio as rising short-term rates and a slowing economy continue to put pressure on corporate profits. 12 PIMCO Emerging Markets Bond Fund September 30, 2000 OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management (non-U.S.). PORTFOLIO: Primarily emerging market bonds. DURATION RANGE: 0-8 years FUND INCEPTION DATE: 7/31/97 TOTAL NET ASSETS: $51.6 million PORTFOLIO MANAGER: Mohamed El-Erian -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00 D Shares Lipper J.P. Morgan Emerg. Mkts. Emerg. Mkts. Debt Fund Avg. Index Plus -------------------------------------------------------------------------------- 1 year 23.82% 23.97% 28.02% 3 year 5.75% 1.98% 5.57% Inception 5.93% -- -- Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO J.P. Morgan Emerging Markets Bond Emerging Markets D Index Plus 07/31/1997 10,000 10,000 08/31/1997 9,879 9,960 09/30/1997 10,150 10,264 10/31/1997 8,992 9,082 11/30/1997 9,464 9,513 12/31/1997 9,703 9,841 01/31/1998 9,714 9,822 02/28/1998 9,988 10,103 03/31/1998 10,283 10,354 04/30/1998 10,306 10,379 05/31/1998 9,971 10,025 06/30/1998 9,641 9,735 07/31/1998 9,786 9,802 08/31/1998 7,056 6,985 09/30/1998 7,603 7,668 10/31/1998 7,999 8,165 11/30/1998 8,635 8,645 12/31/1998 8,529 8,429 01/31/1999 8,231 8,117 02/28/1999 8,393 8,233 03/31/1999 8,958 8,857 04/30/1999 9,703 9,462 05/31/1999 9,093 8,922 06/30/1999 9,364 9,321 07/31/1999 9,302 9,128 08/31/1999 9,283 9,115 09/30/1999 9,696 9,434 10/31/1999 10,006 9,798 11/30/1999 10,274 10,075 12/31/1999 10,754 10,620 01/31/2000 10,514 10,410 02/29/2000 11,133 11,080 03/31/2000 11,412 11,429 04/30/2000 11,193 11,211 05/31/2000 10,973 10,925 06/30/2000 11,485 11,479 07/31/2000 11,761 11,826 08/31/2000 12,169 12,243 09/30/2000 12,006 12,077 *Past performance is no guarantee of future results. Foreign investing involves potentially higher risks including foreign currency fluctuations and political or economic uncertainty. These risks can be enhanced when investing in emerging markets. See page 26 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 33% -------------------------------------------------------------------------------- 1-5 years 4% -------------------------------------------------------------------------------- 5-10 years 29% -------------------------------------------------------------------------------- 10-20 years 15% -------------------------------------------------------------------------------- 20-30 years 17% -------------------------------------------------------------------------------- Over 30 years 2% -------------------------------------------------------------------------------- Duration: 4.6 years -------------------------------------------------------------------------------- Country Allocation -------------------------------------------------------------------------------- Brazil 26.5% -------------------------------------------------------------------------------- Mexico 20.7% -------------------------------------------------------------------------------- Russia 6.9% -------------------------------------------------------------------------------- Venezuela 5.5% -------------------------------------------------------------------------------- Bulgaria 5.3% -------------------------------------------------------------------------------- Short-Term Instruments 6.8% -------------------------------------------------------------------------------- Other 28.3% Quality Breakdown -------------------------------------------------------------------------------- AAA 1.7% -------------------------------------------------------------------------------- AA 1.2% -------------------------------------------------------------------------------- BBB 34.3% -------------------------------------------------------------------------------- BB 20.3% -------------------------------------------------------------------------------- B 42.5% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class D shares returned 5.20%, slightly underperforming the J.P. Morgan Emerging Market Bond Index, which returned 5.67%. The Fund has slightly underperformed its Lipper Average for the 1-year period but significantly outperformed the average for the 3-year and since inception periods. Emerging market bonds performed favorably for the past six months as positive fundamental changes helped drive prices higher. Emerging market bonds benefited from strong economic and financial performance, rebalanced global growth, positive liability management and the successful conclusions to the Russian and Ecuadorian debt restructuring. Volatility picked up however, due to a reduced appetite for risk, noise on the political front and fears of a global slowdown. Performance was aided by our underweight in Argentina, as continued political uncertainty weighed heavily on the market. More responsible fiscal policies and continued strong economic data supported Brazilian bonds where our overweight aided performance. Favorable rating actions, specifically relating to Mexico and Brazil, are expected to drive prices higher. This trend confirms the progress these countries have made in strengthening domestic institutions and broadening popular support for economic reforms. Venezuelan and Colombian bonds have also benefited the rise in oil prices as they are large oil exporters. Our overweights in Bulgaria and Peru were detriments towards performance. Bulgarian bonds suffered as higher energy prices overshadowed continued economic gains. Peruvian bonds continued to underperform due to political uncertainty, as to the predecessor of President Fujimori, and temporarily suspended payments on brady bonds renewed shareholder concerns. Within Latin America we are maintaining our overweight position in Mexico where the government continues to deliver strong economic reform. The political transition from President Zedillo to Vicente Fox has remained smooth, accompanied by reassurances that economic reform remains on track. In the near-term, 2001 budget negotiations and the external environment warrant some caution. We will continue to overweight Brazil, as economic activity driven by exports, capital spending and fiscal disciplines remain strong. We will also continue to underweight Argentina as growth prospects and political tensions rise. We continue to emphasize liquid markets and instruments allowing us the opportunity to modify exposure in response to a changing market environment. We will also continue to overweight top tier credits as it remains too early to alter our cautious approach towards those countries where high oil prices exacerbate deteriorating domestic conditions and unstable socio-political environments. 13 PIMCO Foreign Bond Fund September 30, 2000 OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management (non-U.S.). PORTFOLIO: Primarily investment grade foreign bonds. DURATION RANGE: 3-7 years FUND INCEPTION DATE: 12/03/92 TOTAL NET ASSETS: $585.1 million PORTFOLIO MANAGER: Lee Thomas -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00 D Shares Lipper Intl. J.P. Morgan Income Fund Non-U.S. Average Index (Hedged) -------------------------------------------------------------------------------- 1 year 7.15% -3.90% 6.95% 3 years 5.92% 1.19% 7.65% 5 years 10.13% 3.24% 9.61% Inception 9.13% -- -- Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO J.P. Morgan Foreign Bond Non-U.S. Index D (Hedged) 12/31/1992 10,000 10,000 01/31/1993 10,079 10,091 02/28/1993 10,297 10,274 03/31/1993 10,332 10,280 04/30/1993 10,328 10,281 05/31/1993 10,417 10,338 06/30/1993 10,660 10,549 07/31/1993 10,824 10,667 08/31/1993 11,083 10,889 09/30/1993 11,123 10,936 10/31/1993 11,284 11,082 11/30/1993 11,312 11,159 12/31/1993 11,590 11,390 01/31/1994 11,601 11,333 02/28/1994 11,290 11,078 03/31/1994 11,089 10,977 04/30/1994 10,981 10,899 05/31/1994 10,816 10,779 06/30/1994 10,613 10,669 07/31/1994 10,675 10,739 08/31/1994 10,566 10,636 09/30/1994 10,580 10,645 10/31/1994 10,617 10,687 11/30/1994 10,770 10,838 12/31/1994 10,696 10,813 01/31/1995 10,764 10,931 02/28/1995 10,831 11,072 03/31/1995 10,834 11,297 04/30/1995 11,095 11,477 05/31/1995 11,527 11,854 06/30/1995 11,453 11,814 07/31/1995 11,667 11,963 08/31/1995 11,885 12,067 09/30/1995 12,051 12,258 10/31/1995 12,248 12,395 11/30/1995 12,725 12,667 12/31/1995 12,909 12,785 01/31/1996 13,222 12,939 02/29/1996 12,936 12,787 03/31/1996 13,142 12,893 04/30/1996 13,456 13,047 05/31/1996 13,503 13,136 06/30/1996 13,651 13,245 07/31/1996 13,780 13,345 08/31/1996 14,113 13,522 09/30/1996 14,504 13,810 10/31/1996 14,858 14,038 11/30/1996 15,213 14,319 12/31/1996 15,289 14,339 01/31/1997 15,528 14,518 02/28/1997 15,607 14,611 03/31/1997 15,407 14,533 04/30/1997 15,546 14,690 05/31/1997 15,622 14,767 06/30/1997 15,931 15,018 07/31/1997 16,162 15,257 08/31/1997 16,091 15,275 09/30/1997 16,434 15,545 10/31/1997 16,237 15,645 11/30/1997 16,451 15,757 12/31/1997 16,686 15,962 01/31/1998 16,922 16,174 02/28/1998 17,072 16,318 03/31/1998 17,280 16,464 04/30/1998 17,336 16,548 05/31/1998 17,476 16,774 06/30/1998 17,560 16,847 07/31/1998 17,834 17,003 08/31/1998 17,686 17,338 09/30/1998 18,086 17,749 10/31/1998 17,706 17,722 11/30/1998 18,032 17,914 12/31/1998 18,279 17,892 01/31/1999 18,648 18,114 02/28/1999 18,460 17,993 03/31/1999 18,567 18,207 04/30/1999 18,801 18,438 05/31/1999 18,500 18,363 06/30/1999 18,268 18,078 07/31/1999 18,270 18,031 08/31/1999 18,133 18,063 09/30/1999 18,224 18,132 10/31/1999 18,300 18,176 11/30/1999 18,330 18,281 12/31/1999 18,484 18,336 01/31/2000 18,382 18,338 02/29/2000 18,586 18,473 03/31/2000 18,846 18,743 04/30/2000 18,907 18,844 05/31/2000 19,014 18,995 06/30/2000 19,151 19,086 07/31/2000 19,306 19,224 08/31/2000 19,281 19,227 09/30/2000 19,528 19,393 *Past performance is no guarantee of future results. Returns represent the blended performance of the Fund's Class D shares and the prior performance of the Fund's Instl shares. Class D shares were first offered in 4/8/98. Foreign investing involves potentially higher risks including foreign currency fluctuations and political or economic uncertainty. See page 26 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 5-10 years 58% -------------------------------------------------------------------------------- 10-20 years 36% -------------------------------------------------------------------------------- 20-30 years 5% -------------------------------------------------------------------------------- Over 30 years 1% -------------------------------------------------------------------------------- Duration: 3.4 years -------------------------------------------------------------------------------- Country Allocation -------------------------------------------------------------------------------- United States 53.7% -------------------------------------------------------------------------------- Italy 6.5% -------------------------------------------------------------------------------- Germany 4.9% -------------------------------------------------------------------------------- Short-Term Instruments 7.0% -------------------------------------------------------------------------------- Other 27.9% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 63.9% -------------------------------------------------------------------------------- AA 13.8% -------------------------------------------------------------------------------- A 8.6% -------------------------------------------------------------------------------- BBB 10.1% -------------------------------------------------------------------------------- BB 2.8% -------------------------------------------------------------------------------- B 0.8% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class D shares returned 3.60%, outperforming the J.P. Morgan Non-U.S. (Hedged), Index which returned 3.47%. The Fund has outperformed its Lipper Average over the year-to-date, 1-year, 3-year and since inception periods. Japanese bonds continue to underperform as the first rate increase in 10 years drove bond prices lower. Continued fiscal stimulus has brought concern about an increase in bond supply and although intended to boost economic growth, it has caused Moody's to downgrade government debt to Aa2. Emerging market bonds added to performance amid positive investor response to sound policy improvements and increased IMF and World Bank support. In particular, more responsible fiscal policies and continued strong economic data supported Brazilian bonds where our overweight aided performance. As well as favorable rating actions, specifically relating to Mexico and Brazil, are expected to drive prices higher. European bonds underperformed U.S. Treasuries. Higher oil prices and the weak Euro, which fell to new record lows versus the U.S. dollar, contributed to a slight rise in inflation. To combat the Euro weakness, which jeopardizes global stability, the central banks of leading nations coordinated Euro purchases in order to support the currency. The Danish "no" vote, ending prospects for Denmark entering the European Monetary Union (EMU), further added to Euro pressures, as investors believed other strong European economies would also avoid entering EMU. Going forward, we are looking to maintain our underweight in Japan due to high debt levels and prospects for increased bond issuance to pay for fiscal stimulus. Both Canadian and Australian positions are underweight due to unattractive yields and risks that weak currencies will increase inflationary prospects. We are maintaining out limited position in emerging markets, primarily looking for highly liquid, top-quality issues amid increased volatility. Within core Europe we are overweight areas such as Austria, Italy and Spain to capitalize on favorable yields relative to Germany. We are emphasizing longer maturities as the sale of mobile phone licenses and better fiscal balances will lead to reduced long-term bond issuance. Our hedging strategy, which limits our currency exposure, was a positive contributor due to continued strength in the dollar. We will continue to hedge the majority of our currency exposure because of both the short-term volatility and unpredictability of foreign currencies. 14 PIMCO High Yield Fund September 30, 2000 OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily high yield bonds. DURATION RANGE: 2-6 years FUND INCEPTION DATE: 12/16/92 TOTAL NET ASSETS: $3.1 billion PORTFOLIO MANAGER: Ben Trosky -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00 D Shares Lipper High Lehman Int. Current Yield BB Corp. Fund Avg. Index -------------------------------------------------------------------------------- 1 year 2.76% -0.02% 5.31% 3 years 3.91% 0.49% 4.58% 5 years 7.55% 5.49% 7.19% Inception 9.34% -- -- Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO Lehman Intermediate High Yield BB Corporate D Index 12/31/1992 10,000 10,000 01/31/1993 10,224 10,211 02/28/1993 10,409 10,361 03/31/1993 10,616 10,478 04/30/1993 10,726 10,566 05/31/1993 10,801 10,644 06/30/1993 11,091 10,870 07/31/1993 11,167 10,980 08/31/1993 11,288 11,107 09/30/1993 11,341 11,188 10/31/1993 11,642 11,338 11/30/1993 11,728 11,368 12/31/1993 11,825 11,465 01/31/1994 12,074 11,657 02/28/1994 12,068 11,644 03/31/1994 11,703 11,288 04/30/1994 11,598 11,221 05/31/1994 11,679 11,231 06/30/1994 11,692 11,265 07/31/1994 11,798 11,402 08/31/1994 11,894 11,523 09/30/1994 11,972 11,544 10/31/1994 11,975 11,571 11/30/1994 11,923 11,492 12/31/1994 12,063 11,563 01/31/1995 12,177 11,749 02/28/1995 12,507 12,106 03/31/1995 12,686 12,220 04/30/1995 12,959 12,465 05/31/1995 13,331 12,831 06/30/1995 13,436 12,944 07/31/1995 13,612 13,062 08/31/1995 13,713 13,138 09/30/1995 13,901 13,280 10/31/1995 14,100 13,384 11/30/1995 14,267 13,553 12/31/1995 14,504 13,767 01/31/1996 14,735 13,990 02/29/1996 14,747 13,940 03/31/1996 14,626 13,867 04/30/1996 14,686 13,862 05/31/1996 14,731 13,881 06/30/1996 14,787 14,031 07/31/1996 14,914 14,107 08/31/1996 15,153 14,221 09/30/1996 15,502 14,527 10/31/1996 15,652 14,729 11/30/1996 15,987 15,026 12/31/1996 16,142 15,059 01/31/1997 16,303 15,203 02/28/1997 16,550 15,386 03/31/1997 16,328 15,203 04/30/1997 16,498 15,392 05/31/1997 16,869 15,655 06/30/1997 17,113 15,857 07/31/1997 17,550 16,330 08/31/1997 17,539 16,174 09/30/1997 17,830 16,428 10/31/1997 17,843 16,484 11/30/1997 18,009 16,600 12/31/1997 18,209 16,752 01/31/1998 18,516 16,953 02/28/1998 18,611 17,031 03/31/1998 18,752 17,140 04/30/1998 18,795 17,228 05/31/1998 18,888 17,340 06/30/1998 19,022 17,446 07/31/1998 19,218 17,536 08/31/1998 18,441 17,052 09/30/1998 18,670 17,414 10/31/1998 18,479 17,191 11/30/1998 19,254 17,603 12/31/1998 19,331 17,714 01/31/1999 19,582 17,897 02/28/1999 19,416 17,764 03/31/1999 19,571 17,892 04/30/1999 19,892 18,075 05/31/1999 19,506 17,856 06/30/1999 19,496 17,815 07/31/1999 19,543 17,883 08/31/1999 19,461 17,770 09/30/1999 19,467 17,843 10/31/1999 19,438 17,782 11/30/1999 19,700 17,933 12/31/1999 19,796 18,104 01/31/2000 19,701 17,975 02/29/2000 19,743 18,009 03/31/2000 19,342 17,838 04/30/2000 19,379 17,899 05/31/2000 19,276 17,906 06/30/2000 19,638 18,293 07/31/2000 19,788 18,597 08/31/2000 20,069 18,883 09/30/2000 20,003 18,790 *Past performance is no guarantee of future results. Returns represent the blended performance of the Fund's Class D shares and the prior performance of the Fund's Instl shares. Class D shares were first offered in 4/8/98. The investments made by the High Yield Fund may involve high risk and may have speculative characteristics. See page 26 for Footnotes, which include additional details. PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 16% -------------------------------------------------------------------------------- 1-5 years 25% -------------------------------------------------------------------------------- 5-10 years 55% -------------------------------------------------------------------------------- 10-20 years 3% -------------------------------------------------------------------------------- 20-30 years 1% -------------------------------------------------------------------------------- Duration: 3.7 years -------------------------------------------------------------------------------- Sector Breakdown -------------------------------------------------------------------------------- Corporate Bonds & Notes 76.3% -------------------------------------------------------------------------------- Short-Term Instruments 9.4% -------------------------------------------------------------------------------- Asset-Backed Securities 6.3% -------------------------------------------------------------------------------- Other 8.0% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 3.2% -------------------------------------------------------------------------------- AA 2.2% -------------------------------------------------------------------------------- A 0.6% -------------------------------------------------------------------------------- BBB 19.2% -------------------------------------------------------------------------------- BB 39.8% -------------------------------------------------------------------------------- B 35.0% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class D shares rose 3.41%, outperforming the Lipper High Current Yield Average, which fell 1.14%. However, the Fund did underperform its benchmark, the Lehman Intermediate BB Corporate Index, which rose 5.33%. Over the long-term, the Fund continues to outperform both the Lipper Average and its Lehman benchmark for the five-year and since inception periods ended September 30, 2000. Over the last six months the Federal Reserve raised interest rates once, in May, in order to continue its ongoing efforts to prevent the economy from overheating and creating inflationary pressures. Since that 50 basis point increase, the Federal Reserve has remained on hold, based on evidence that economic growth is moderating to a pace more in line with the economy's potential to produce. As a result, intermediate maturity interest rates fell. However, high yield issues lagged higher-quality bonds as lingering concerns about defaults, profits and fund redemptions put selling pressure on the market. Defensive strategies and a focus on the energy services sector enhanced performance. The Fund's strategy of avoiding cyclical issues, such as autos and steel, added to relative performance as these sectors suffered under slowing consumer spending and accumulating inventory. However, the Fund's limited exposure to B-rated issues detracted from performance as these credits significantly underperformed BB-rated issues. Going forward, we believe that economic growth will moderate worldwide. We expect inflation to creep higher in the face of wage pressures and rising energy costs. More Fed tightening is unlikely now that U.S. economic growth is moderating; however, the central bank will also refrain from easing to avoid igniting accelerated consumer spending via the stock and housing markets. As U.S. growth slows, lower profits cut into the ability of corporate America to service its debt. This causes credit conditions to deteriorate, and spreads to widen, driving down prices. In light of this environment, we believe that maintaining a defensive posture will be instrumental in preserving capital while providing superior relative performance. While the high yield market has already incorporated a lot of bad news, we feel it is too early to become bullish due to significant near-term risks. We expect to maintain average quality higher than the benchmark. We intend to continue to hold defensive positions, such as publishing and utilities, and we hope to be overweight in areas we believe to have improving fundamentals, such as the chemical sector. We intend to use senior-secured, syndicated bank loans selectively to add income while preserving principal. 15 PIMCO Low Duration Fund September 30, 2000 OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily shorter-term, investment grade bonds. DURATION RANGE: 1-3 years FUND INCEPTION DATE: 5/11/87 TOTAL NET ASSETS: $4.2 billion PORTFOLIO MANAGER: Bill Gross PERFORMANCE* Average Annual Total Return For periods ended 9/30/00 D Shares Lipper Shrt. Inv. Merrill Lynch Grade Debt Fund 1-3 yr. Treas. Average Index -------------------------------------------------------------------------------- 1 year 6.21% 5.73% 5.79% 5 years 6.29% 5.42% 5.89% 10 years 7.06% 6.29% 6.48% Inception 7.44% -- -- Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO Merrill Lynch Low Duration 1-3 yr. Treasury D Index 05/31/1987 10,000 10,000 06/30/1987 10,091 10,109 07/31/1987 10,125 10,158 08/31/1987 10,121 10,167 09/30/1987 10,094 10,127 10/31/1987 10,254 10,351 11/30/1987 10,367 10,414 12/31/1987 10,425 10,480 01/31/1988 10,595 10,648 02/29/1988 10,669 10,735 03/31/1988 10,733 10,756 04/30/1988 10,775 10,772 05/31/1988 10,797 10,756 06/30/1988 10,895 10,868 07/31/1988 10,950 10,876 08/31/1988 10,991 10,899 09/30/1988 11,090 11,026 10/31/1988 11,190 11,136 11/30/1988 11,201 11,106 12/31/1988 11,248 11,132 01/31/1989 11,339 11,219 02/28/1989 11,354 11,219 03/31/1989 11,395 11,270 04/30/1989 11,527 11,443 05/31/1989 11,761 11,614 06/30/1989 12,015 11,831 07/31/1989 12,188 12,006 08/31/1989 12,128 11,932 09/30/1989 12,187 12,003 10/31/1989 12,345 12,184 11/30/1989 12,454 12,299 12/31/1989 12,513 12,348 01/31/1990 12,502 12,358 02/28/1990 12,585 12,416 03/31/1990 12,649 12,457 04/30/1990 12,637 12,482 05/31/1990 12,847 12,673 06/30/1990 12,982 12,806 07/31/1990 13,121 12,966 08/31/1990 13,143 13,005 09/30/1990 13,212 13,111 10/31/1990 13,304 13,255 11/30/1990 13,460 13,386 12/31/1990 13,601 13,548 01/31/1991 13,724 13,672 02/28/1991 13,829 13,754 03/31/1991 13,943 13,846 04/30/1991 14,109 13,977 05/31/1991 14,216 14,062 06/30/1991 14,302 14,119 07/31/1991 14,457 14,242 08/31/1991 14,661 14,437 09/30/1991 14,848 14,593 10/31/1991 14,973 14,750 11/30/1991 15,132 14,903 12/31/1991 15,383 15,131 01/31/1992 15,392 15,107 02/29/1992 15,465 15,160 03/31/1992 15,469 15,154 04/30/1992 15,574 15,293 05/31/1992 15,729 15,432 06/30/1992 15,872 15,590 07/31/1992 16,078 15,765 08/31/1992 16,181 15,903 09/30/1992 16,338 16,055 10/31/1992 16,340 15,959 11/30/1992 16,345 15,933 12/31/1992 16,511 16,084 01/31/1993 16,663 16,251 02/28/1993 16,856 16,390 03/31/1993 16,947 16,439 04/30/1993 17,024 16,541 05/31/1993 17,039 16,495 06/30/1993 17,204 16,616 07/31/1993 17,259 16,655 08/31/1993 17,423 16,800 09/30/1993 17,486 16,855 10/31/1993 17,603 16,888 11/30/1993 17,616 16,892 12/31/1993 17,735 16,954 01/31/1994 17,828 17,063 02/28/1994 17,747 16,954 03/31/1994 17,666 16,870 04/30/1994 17,604 16,810 05/31/1994 17,581 16,834 06/30/1994 17,613 16,884 07/31/1994 17,773 17,029 08/31/1994 17,844 17,089 09/30/1994 17,814 17,050 10/31/1994 17,808 17,088 11/30/1994 17,808 17,012 12/31/1994 17,794 17,050 01/31/1995 17,954 17,288 02/28/1995 18,177 17,525 03/31/1995 18,246 17,623 04/30/1995 18,470 17,780 05/31/1995 18,801 18,091 06/30/1995 18,893 18,188 07/31/1995 18,895 18,263 08/31/1995 19,095 18,372 09/30/1995 19,261 18,461 10/31/1995 19,402 18,617 11/30/1995 19,623 18,782 12/31/1995 19,851 18,926 01/31/1996 19,992 19,087 02/29/1996 19,858 19,006 03/31/1996 19,844 18,989 04/30/1996 19,848 19,005 05/31/1996 19,862 19,044 06/30/1996 20,058 19,181 07/31/1996 20,121 19,256 08/31/1996 20,215 19,323 09/30/1996 20,496 19,498 10/31/1996 20,787 19,717 11/30/1996 21,064 19,868 12/31/1996 21,003 19,868 01/31/1997 21,173 19,962 02/28/1997 21,253 20,007 03/31/1997 21,162 20,000 04/30/1997 21,414 20,163 05/31/1997 21,589 20,301 06/30/1997 21,753 20,440 07/31/1997 22,099 20,665 08/31/1997 22,081 20,684 09/30/1997 22,271 20,841 10/31/1997 22,432 20,996 11/30/1997 22,492 21,047 12/31/1997 22,661 21,191 01/31/1998 22,829 21,396 02/28/1998 22,902 21,415 03/31/1998 22,996 21,502 04/30/1998 23,113 21,603 05/31/1998 23,256 21,718 06/30/1998 23,307 21,831 07/31/1998 23,412 21,933 08/31/1998 23,499 22,209 09/30/1998 23,971 22,503 10/31/1998 23,930 22,613 11/30/1998 24,064 22,594 12/31/1998 24,206 22,673 01/31/1999 24,308 22,763 02/28/1999 24,174 22,652 03/31/1999 24,375 22,810 04/30/1999 24,497 22,883 05/31/1999 24,414 22,868 06/30/1999 24,421 22,940 07/31/1999 24,419 23,012 08/31/1999 24,431 23,079 09/30/1999 24,609 23,229 10/31/1999 24,705 23,291 11/30/1999 24,806 23,335 12/31/1999 24,849 23,368 01/31/2000 24,814 23,359 02/29/2000 24,987 23,515 03/31/2000 25,165 23,661 04/30/2000 25,215 23,722 05/31/2000 25,286 23,820 06/30/2000 25,584 24,067 07/31/2000 25,733 24,219 08/31/2000 26,013 24,398 09/30/2000 26,138 24,573 *Past performance is no guarantee of future results. Returns represent the blended performance of the Fund's Class D shares and the prior performance of the Fund's Instl shares. Class D shares were first offered in 4/8/98. The fund may invest in foreign securities, which may entail greater risk due to foreign economic and political developments. See page 26 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 29% -------------------------------------------------------------------------------- 1-5 years 58% -------------------------------------------------------------------------------- 5-10 years 13% -------------------------------------------------------------------------------- Duration: 1.9 years -------------------------------------------------------------------------------- Sector Breakdown -------------------------------------------------------------------------------- Corporate Bonds & Notes 47.4% -------------------------------------------------------------------------------- Mortgage-Backed Securities 33.2% -------------------------------------------------------------------------------- U.S. Treasury Obligations 7.7% -------------------------------------------------------------------------------- Other 11.7% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 40.8% -------------------------------------------------------------------------------- AA 8.0% -------------------------------------------------------------------------------- A 25.8% -------------------------------------------------------------------------------- BBB 20.7% -------------------------------------------------------------------------------- BB 4.2% -------------------------------------------------------------------------------- B 0.5% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class D shares returned 3.87%, slightly outperforming the Merrill Lynch 1-3 Year Treasury Index, which returned 3.85%. The Fund also outperformed its Lipper Average, which returned 3.71%. Over the longer-term, the Fund continues to outperform both its Lipper Average and its benchmark over the five-, ten-year and since inception periods ended September 30, 2000. Over the past year six months, the Federal Reserve discontinued its tightening policy by mid-summer as evidence surfaced that the U.S. economy was slowing. Intermediate rates fell, causing the long end of the yield curve to revert to a positive slope, amid optimism that rate fears are over. Oil prices continue to rise to their highest levels in a decade raising fears about accelerating inflation, but the Fed remained on hold due to continued signs of slowing growth. Higher yielding mortgages, investment-grade corporates and emerging market bonds outperformed Treasuries. The Fund's position in high grade corporate debt enhanced performance over the past six months as economic growth and corporate issuance continued to slow. In addition, our allocation to mortgage-backed securities, especially AAA/AA issues, benefited from Treasury scarcity and strong demand for high quality short-term holdings. Selective emerging market investments contributed to performance as fundamentals in a broad set of countries continued to improve. The portfolio's above-index average duration (sensitivity to changes in interest rates) over the past six months slightly helped returns as interest rate fears subsided. A small weight in below-investment-grade securities and the euro hurt performance due to cash outflows amid concerns about deteriorating credit quality and a preference for dollars over euros as evidence of a global slowdown made investors cautious. We believe the economy will continue to slow moderately, but the central bank will also refrain from easing to avoid igniting inflation in the stock and housing markets. Growth should moderate worldwide due to recent monetary tightening and higher oil prices. Inflation should creep slightly higher in the face of wage pressures and escalating energy costs. An over-leveraged private sector combined with public budget surpluses should continue to cause lower quality corporate bonds to deteriorate. Strategically, we expect to keep the duration of the Fund in line with the benchmark due to the unlikely event of intermediate rates falling further. In addition, we anticipate maintaining a broad maturity structure, with exposure to both shorter- and longer-term instruments, in order to capture value across the yield curve. Mortgage-backed securities will continue to be favored over investment-grade corporate credits because of their higher quality and attractive yields. 16 PIMCO Municipal Bond Fund September 30, 2000 OBJECTIVE: High current income exempt from federal income tax, consistent with preservation of capital. PORTFOLIO: Investment grade municipal bonds. DURATION RANGE: 3-10 years FUND INCEPTION DATE: 12/31/97 TOTAL NET ASSETS: $56.2 million PORTFOLIO MANAGER: Mark McCray -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00 D Shares Lipper Gen. Muni. Lehman Bros. Gen. Debt. Fund Avg. Muni. Bond Index -------------------------------------------------------------------------------- 1 year 5.40% 4.74% 6.18% Inception 2.92% -- -- Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO Lehman Brothers Municipal Bond General Municipal D Bond Index 12/31/1997 10,000 10,000 01/31/1998 10,115 10,103 02/28/1998 10,065 10,106 03/31/1998 10,070 10,115 04/30/1998 10,001 10,070 05/31/1998 10,196 10,229 06/30/1998 10,228 10,269 07/31/1998 10,236 10,294 08/31/1998 10,423 10,454 09/30/1998 10,560 10,585 10/31/1998 10,535 10,585 11/30/1998 10,560 10,622 12/31/1998 10,569 10,648 01/31/1999 10,706 10,775 02/28/1999 10,635 10,727 03/31/1999 10,641 10,742 04/30/1999 10,659 10,769 05/31/1999 10,578 10,707 06/30/1999 10,381 10,553 07/31/1999 10,399 10,591 08/31/1999 10,287 10,506 09/30/1999 10,270 10,510 10/31/1999 10,136 10,397 11/30/1999 10,238 10,507 12/31/1999 10,139 10,428 01/31/2000 10,078 10,383 02/29/2000 10,182 10,504 03/31/2000 10,411 10,734 04/30/2000 10,358 10,670 05/31/2000 10,309 10,615 06/30/2000 10,541 10,896 07/31/2000 10,668 11,048 08/31/2000 10,834 11,218 09/30/2000 10,824 11,159 *Past performance is no guarantee of future results. Returns represent the blended performance of the Fund's Class D shares and the prior performance of the Fund's Instl shares. Class D shares were first offered in 4/8/98. Income from the Fund may be subject to state and local taxes and (if applicable) the Alternative Minimum Tax. See page 26 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 3% -------------------------------------------------------------------------------- 1-5 years 24% -------------------------------------------------------------------------------- 5-10 years 31% -------------------------------------------------------------------------------- 10-20 years 27% -------------------------------------------------------------------------------- 20-30 years 15% -------------------------------------------------------------------------------- Duration: 7.3 years -------------------------------------------------------------------------------- Regional Breakdown -------------------------------------------------------------------------------- California 15.9% -------------------------------------------------------------------------------- New Jersey 10.2% -------------------------------------------------------------------------------- New York 9.8% -------------------------------------------------------------------------------- Texas 7.1% -------------------------------------------------------------------------------- Colorado 7.0% -------------------------------------------------------------------------------- Utah 6.8% -------------------------------------------------------------------------------- Massachusetts 6.8% -------------------------------------------------------------------------------- Arizona 6.4% -------------------------------------------------------------------------------- Other States 30.0% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 38.8% -------------------------------------------------------------------------------- AA 16.7% -------------------------------------------------------------------------------- A 18.9% -------------------------------------------------------------------------------- BBB 15.8% -------------------------------------------------------------------------------- BB 9.8% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class D shares returned 3.97%, outperforming the Lipper Average, which returned 3.39%. Over the same time period, the Fund matched the performance of its benchmark, the Lehman General Municipal Index. Looking longer term, the Fund outperformed its Lipper Average over the one-year and since inception periods ended September 30, 2000. The Federal Reserve lifted short-term interest rates by 50 basis points at their May meeting, bringing its total tightening tally for this cycle to six, as concern remained that inflationary pressures were building. Supporting the concern, oil prices surged to their highest level in a decade. But the cumulative impact of 175 basis points of tightening began to slow the economy, as signs emerged that consumer and investment spending was slowing and that the housing sector was cooling. Municipal bonds, supported by strong surpluses at the state and local level, rallied along with other higher quality sectors of the bond market, such as Treasuries and mortgage-backed securities. In fact, on a tax-adjusted basis municipal bonds actually modestly outperformed broad investment-grade taxable debt sectors during the third quarter. Our overweight position in intermediate-maturity municipal bonds boosted returns as these yields fell the most during the period. Holdings of bonds priced at a discount by the market also improved returns as these issues had superior price performance as the overall municipal market rallied. In particular, the Fund's allocations to specific issues within the hospital and housing sectors enhanced performance. However, our conservative below-benchmark duration exposure during the third quarter held back relative performance. Looking ahead, we expect growth will continue to moderate worldwide. We also expect inflation to creep higher in the face of continued wage pressures and escalating energy costs. More Fed tightening is unlikely now that U.S. growth is slowing, but the central bank will also refrain from easing to avoid igniting inflation. A focus on quality will continue to be critical for superior performance as credit deterioration continues. As a result, we anticipate continuing our high quality focus, targeting an average credit quality of AA. We expect to maintain an overweight position in intermediate maturities because they currently offer yields close to those of longer maturities with less interest rate risk. Duration may be moved closer to the benchmark as we expect municipal yields to remain relatively stable in the near term. 17 PIMCO NY Municipal Bond Fund September 30, 2000 OBJECTIVE: Seek high current income exempt from federal and New York income tax. Capital appreciation is a secondary objective. PORTFOLIO: Primarily intermediate maturity municipal securities (exempt from federal and New York income tax). DURATION RANGE: 3-12 years FUND INCEPTION DATE: 8/31/99 TOTAL NET ASSETS: $3.2 million PORTFOLIO MANAGER: Mark McCray -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00 D Shares Lipper New York Lehman Bros. Lehman Bros. Interm. Muni N.Y. Insured Interm. N.Y. Debt Fund Muni. Bond Insured Muni. Average Index Bond Index -------------------------------------------------------------------------------- 1 year 6.17% 5.22% 6.79% 5.79% Inception 6.04% -- -- -- Change in Value $10,000 invested at the Fund's inception [GRAPH] Lehman Brothers PIMCO Intermediate Lehman Brothers NY Municipal NY Insured NY Insured Bond Municipal Municipal D Bond Index Bond Index 08/31/1999 10,000 10,000 10,000 09/30/1999 10,036 10,031 9,987 10/31/1999 9,954 9,983 9,848 11/30/1999 10,041 10,062 9,986 12/31/1999 10,001 10,019 9,883 01/31/2000 9,951 9,983 9,826 02/29/2000 10,013 10,037 9,973 03/31/2000 10,171 10,183 10,227 04/30/2000 10,110 10,146 10,128 05/31/2000 10,073 10,116 10,080 06/30/2000 10,315 10,363 10,407 07/31/2000 10,430 10,499 10,545 08/31/2000 10,641 10,652 10,731 09/30/2000 10,656 10,612 10,665 *Past performance is no guarantee of future results. Returns represent the blended performance of the Fund's Class D shares and the prior performance of the Fund's Instl shares. Class D shares were first offered in 1/31/00. Income from the Fund may be subject to state and local taxes and (if applicable) the Alternative Minimum Tax. We will no longer compare the Fund to the Lehman Brothers Intermediate New York Insured Municipal Bond Index since the Lehman Brothers Intermediate New York Insured Municipal Bond Index is not a comparable New York Municipal index. See page 26 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 25% -------------------------------------------------------------------------------- 1-5 years 10% -------------------------------------------------------------------------------- 5-10 years 49% -------------------------------------------------------------------------------- 10-20 years 13% -------------------------------------------------------------------------------- 20-30 years 3% -------------------------------------------------------------------------------- Duration: 4.5 years -------------------------------------------------------------------------------- Regional Breakdown -------------------------------------------------------------------------------- New York 98.6% -------------------------------------------------------------------------------- Other 1.4% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 70.5% -------------------------------------------------------------------------------- AA 14.0% -------------------------------------------------------------------------------- A 10.8% -------------------------------------------------------------------------------- BBB 4.7% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class D shares returned 4.78%, outperforming the Lipper Average, which returned 3.58%. Over the same time period, the Fund slightly outperformed its benchmark, the Lehman New York Insured Municipal Index, which returned 4.29%. Looking longer term, the Fund outperformed the Lipper Average over the one-year and since inception periods ended September 30, 2000. The Federal Reserve lifted short-term interest rates by 50 basis points at their May meeting, bringing its total tightening tally for this cycle to six, as concern remained that inflationary pressures were building. Supporting this concern, oil prices surged to their highest level in a decade. But the cumulative impact of 175 basis points of tightening began to slow the economy, as signs emerged that consumer and investment spending was slowing and that the housing sector was cooling. New York municipal bonds rallied along with those in other higher quality areas of the bond market as strong retail demand and reduced new issuance propelled yields lower. Our overweight position in intermediate-maturity New York issues boosted returns as yields in this area of the curve decreased the most due to strong retail demand. Portfolio yield was also enhanced through the use of non-insured, higher quality revenue and local general obligation bonds. The Fund's duration generally was kept below that of the benchmark, which detracted from relative returns as long-maturity municipal yields also fell over the past six months. Looking ahead, we expect growth will continue to moderate worldwide. We also expect inflation to creep higher in the face of continued wage pressures and escalating energy costs. More Fed tightening is unlikely now that U.S. growth is slowing, but the central bank will also refrain from easing to avoid igniting inflation. A focus on quality will continue to be critical for superior performance as credit deterioration continues. As a result, we anticipate continuing our high quality focus, targeting an average credit quality of AAA and limiting below-investment-grade exposure to a very small allocation where we see value. We expect to maintain an overweight position in intermediate maturities, which offer compelling value today and retail demand in this area should be strong. Duration may be moved closer to the benchmark as we expect municipal yields to remain relatively stable in the near term. 18 PIMCO Real Return Bond Fund September 30, 2000 OBJECTIVE: Maximum real return, consistent with preservation of real capital and prudent investment management. PORTFOLIO: Primarily inflation-indexed bonds. FUND INCEPTION DATE: 1/29/97 TOTAL NET ASSETS: $537.9 million PORTFOLIO MANAGER: John Brynjolfsson -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00 D Shares Lipper Short Lehman Bros. U.S. Govt. Inflation Linked Fund Avg. Treas. Index -------------------------------------------------------------------------------- 1 year 9.60% 5.68% 9.05% 3 years 6.85% 4.88% 5.49% Inception 6.28% -- -- Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO Lehman Brothers Real Return Bond Inflation Linked D Treasury Index 01/31/1997 10,000 10,000 02/28/1997 10,031 10,033 03/31/1997 9,938 9,896 04/30/1997 9,996 9,956 05/31/1997 10,053 10,010 06/30/1997 10,028 9,978 07/31/1997 10,149 10,072 08/31/1997 10,167 10,103 09/30/1997 10,183 10,123 10/31/1997 10,308 10,227 11/30/1997 10,359 10,284 12/31/1997 10,302 10,241 01/31/1998 10,359 10,291 02/28/1998 10,344 10,282 03/31/1998 10,364 10,277 04/30/1998 10,417 10,315 05/31/1998 10,456 10,388 06/30/1998 10,489 10,414 07/31/1998 10,566 10,463 08/31/1998 10,570 10,486 09/30/1998 10,812 10,697 10/31/1998 10,865 10,721 11/30/1998 10,846 10,710 12/31/1998 10,796 10,646 01/31/1999 10,951 10,769 02/28/1999 10,923 10,693 03/31/1999 10,985 10,689 04/30/1999 11,163 10,760 05/31/1999 11,240 10,834 06/30/1999 11,223 10,841 07/31/1999 11,239 10,835 08/31/1999 11,293 10,854 09/30/1999 11,337 10,896 10/31/1999 11,355 10,918 11/30/1999 11,439 10,984 12/31/1999 11,369 10,896 01/31/2000 11,434 10,945 02/29/2000 11,514 11,047 03/31/2000 11,857 11,369 04/30/2000 12,004 11,520 05/31/2000 11,967 11,490 06/30/2000 12,123 11,635 07/31/2000 12,215 11,734 08/31/2000 12,327 11,821 09/30/2000 12,425 11,883 *Past performance is no guarantee of future results. Returns represent the blended performance of the Fund's Class D shares and the prior performance of the Fund's Instl shares. Class D shares were first offered in 4/8/98. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. See page 26 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 5-10 years 73% -------------------------------------------------------------------------------- 10-20 years 5% -------------------------------------------------------------------------------- 20-30 years 22% -------------------------------------------------------------------------------- Duration: 2.0 years -------------------------------------------------------------------------------- Sector Breakdown -------------------------------------------------------------------------------- U.S. Treasury Obligations 62.4% -------------------------------------------------------------------------------- Corporate Bonds & Notes 24.3% -------------------------------------------------------------------------------- Short-Term Instruments 6.7% -------------------------------------------------------------------------------- Other 6.6% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 68.5% -------------------------------------------------------------------------------- AA 5.3% -------------------------------------------------------------------------------- A 12.2% -------------------------------------------------------------------------------- BBB 10.9% -------------------------------------------------------------------------------- BB 2.6% -------------------------------------------------------------------------------- B 0.5% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class D shares returned 4.79%, outperforming the Lipper Average, which returned 3.63%, and the benchmark, the Lehman Inflation-Linked Index, which returned 4.52%. Looking longer term, the Fund outperformed both the Lipper Average and the benchmark over the one-, three-year and since inception periods ended September 30, 2000. The Federal Reserve lifted short-term interest rates by 50 basis points at their May meeting, bringing its total tightening tally for this cycle to six, as concern remained that inflationary pressures were building. Supporting the concern, oil prices surged to their highest level in a decade. But the cumulative impact of 175 basis points of tightening began to slow the economy, as signs emerged that consumer and investment spending was slowing and that the housing sector was cooling. In this environment, Treasury Inflation Protected Securities performed well as investors looked for a hedge against higher prices. The Fund's continued concentration in Treasury Inflation Protection Securities (TIPS) boosted returns over the past six months as these securities outperformed other bonds due to mounting inflation fears. A modest above benchmark duration improved results as real yield fell across short and intermediate maturities. An overweighting in intermediate real return bonds enhanced returns as these yields dropped while long-term real yields rose. Looking ahead, we expect growth will continue to moderate worldwide. We also expect inflation to creep higher in the face of continued wage pressures and escalating energy costs. More Fed tightening is unlikely now that U.S. growth is slowing, but the central bank will also refrain from easing to avoid igniting inflation. As a result, real return bonds continue to remain attractive, as they will benefit from slower growth and higher inflation adjustments. We anticipate continuing to emphasize TIPS as their real yield ranks highly among entire fixed income market. The effective duration of the Fund will be targeted modestly above the benchmark, and intermediate maturities may be slightly overweighted to take advantage of higher real yields and inflation adjustments. 19 PIMCO Short Duration Municipal Income Fund September 30, 2000 OBJECTIVE: Seek high current income exempt from federal income tax consistent with preservation of capital. PORTFOLIO: Short-term municipal securities. DURATION RANGE: 0-2 year FUND INCEPTION DATE: 8/31/99 TOTAL NET ASSETS: $13.2 million PORTFOLIO MANAGER: Mark McCray -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00 D Shares Lipper Short Muni. Lehman Bros. 1-Year Bond Index Muni. Bond Index -------------------------------------------------------------------------------- 1 year 4.16% 3.81% 4.31% Inception 4.10% -- -- Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO Lehman Brothers Short Duration 1-Year Municipal Municipal Income Index D 08/31/1999 10,000 10,000 09/30/1999 10,027 10,024 10/31/1999 10,047 10,046 11/30/1999 10,076 10,077 12/31/1999 10,099 10,085 01/31/2000 10,137 10,124 02/29/2000 10,152 10,154 03/31/2000 10,195 10,198 04/30/2000 10,207 10,222 05/31/2000 10,222 10,238 06/30/2000 10,288 10,322 07/31/2000 10,339 10,380 08/31/2000 10,396 10,433 09/30/2000 10,445 10,456 *Past performance is no guarantee of future results. Returns represent the blended performance of the Fund's Class D shares and the prior performance of the Fund's Instl shares. Class D shares were first offered in 1/31/00. Income from the Fund is subject to state and local taxes & may at times be subject to the alternative minimum tax. See page 26 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 44% -------------------------------------------------------------------------------- 5-10 years 56% -------------------------------------------------------------------------------- Duration: 1.3 years -------------------------------------------------------------------------------- Regional Breakdown: -------------------------------------------------------------------------------- Florida 13.2% -------------------------------------------------------------------------------- Texas 11.6% -------------------------------------------------------------------------------- Hawaii 9.4% -------------------------------------------------------------------------------- Georgia 7.7% -------------------------------------------------------------------------------- Missouri 6.3% -------------------------------------------------------------------------------- Kansas 5.5% -------------------------------------------------------------------------------- Colorado 5.4% -------------------------------------------------------------------------------- Other States 40.9% -------------------------------------------------------------------------------- Quality Breakdown: -------------------------------------------------------------------------------- AAA 55.8% -------------------------------------------------------------------------------- AA 19.3% -------------------------------------------------------------------------------- A 11.7% -------------------------------------------------------------------------------- BBB 13.1% -------------------------------------------------------------------------------- Others 0.1% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class D shares returned 2.44%, matching the Lipper Average, which returned 2.44%. Over the same time period, the Fund also slightly underperformed its benchmark, the Lehman 1 Year Municipal Index. However, since inception the Fund has outperformed both the Lipper Average and its benchmark. The Federal Reserve lifted short-term interest rates by 50 basis points at their May meeting, bringing its total tightening tally for this cycle to six, as concern remained that inflationary pressures were building. Supporting the concern, oil prices surged to their highest level in a decade. But the cumulative impact of 175 basis points of tightening began to slow the economy, as signs emerged that consumer and investment spending was slowing and that the housing sector was cooling. Municipal bonds, supported by strong surpluses at the state and local level, rallied along with other higher quality sectors of the bond market, such as Treasuries and mortgage-backed securities. In fact, on a tax-adjusted basis municipal bonds actually modestly outperformed broad investment-grade taxable debt sectors during the third quarter. A broader-than-index maturity structure aided returns as intermediate municipal yields decreased more than short-term municipal yields. Favorable security selection among revenue bonds, including inflation-indexed municipals, also enhanced returns. Although duration was moved to an above-benchmark position by the end of the period, overall below-benchmark duration exposure detracted from performance during the period. Looking ahead, we expect growth will continue to moderate worldwide. We also expect inflation to creep higher in the face of continued wage pressures and escalating energy costs. More Fed tightening is unlikely now that U.S. growth is slowing, but the central bank will also refrain from easing to avoid igniting inflation. A focus on quality will continue to be critical for superior performance as credit deterioration continues. We anticipate continuing our high quality focus, targeting insured and revenue issues, which offer relatively attractive yields. We expect keep duration near the benchmark as we think shorter-term municipal yields could remain relatively stable in the near term. We intend to continue to hold inflation-indexed municipals fitting with our view that real yields could decline as the economy moderates. 20 PIMCO Short-Term Fund September 30, 2000 OBJECTIVE: Maximum current income, consistent with preservation of capital and daily liquidity. PORTFOLIO: Primarily short-term investment grade bonds. DURATION RANGE: 0-1 year FUND INCEPTION DATE: 10/07/87 TOTAL NET ASSETS: $690.9 million PORTFOLIO MANAGER: Paul McCulley PIMCO Short-Term Fund -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00 D Shares Lipper Ultra- Salomon Short Oblig. 3 Mo. T-Bill Fund Avg. Index -------------------------------------------------------------------------------- 1 year 6.23% 6.02% 5.62% 5 years 6.13% 5.61% 5.21% 10 years 5.58% 5.47% 4.89% Inception 6.12% -- -- Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO Salomon Short-Term 3-Month T-Bill D Index 10/31/1987 10,000 10,000 11/30/1987 10,056 10,051 12/31/1987 10,114 10,099 01/31/1988 10,181 10,148 02/29/1988 10,222 10,194 03/31/1988 10,276 10,244 04/30/1988 10,330 10,294 05/31/1988 10,386 10,347 06/30/1988 10,443 10,401 07/31/1988 10,495 10,460 08/31/1988 10,560 10,520 09/30/1988 10,627 10,583 10/31/1988 10,718 10,648 11/30/1988 10,787 10,715 12/31/1988 10,849 10,785 01/31/1989 10,925 10,858 02/28/1989 11,000 10,934 03/31/1989 11,093 11,013 04/30/1989 11,176 11,095 05/31/1989 11,275 11,179 06/30/1989 11,358 11,257 07/31/1989 11,452 11,336 08/31/1989 11,511 11,413 09/30/1989 11,588 11,487 10/31/1989 11,695 11,565 11/30/1989 11,771 11,640 12/31/1989 11,837 11,717 01/31/1990 11,892 11,794 02/28/1990 11,964 11,865 03/31/1990 12,042 11,945 04/30/1990 12,090 12,022 05/31/1990 12,202 12,104 06/30/1990 12,280 12,183 07/31/1990 12,364 12,263 08/31/1990 12,428 12,343 09/30/1990 12,509 12,418 10/31/1990 12,603 12,495 11/30/1990 12,702 12,569 12/31/1990 12,803 12,650 01/31/1991 12,893 12,723 02/28/1991 12,962 12,785 03/31/1991 13,020 12,851 04/30/1991 13,100 12,913 05/31/1991 13,172 12,975 06/30/1991 13,219 13,035 07/31/1991 13,296 13,097 08/31/1991 13,379 13,159 09/30/1991 13,452 13,217 10/31/1991 13,528 13,275 11/30/1991 13,561 13,328 12/31/1991 13,615 13,377 01/31/1992 13,665 13,424 02/29/1992 13,691 13,466 03/31/1992 13,716 13,512 04/30/1992 13,772 13,555 05/31/1992 13,814 13,600 06/30/1992 13,868 13,640 07/31/1992 13,923 13,681 08/31/1992 13,958 13,720 09/30/1992 13,994 13,754 10/31/1992 14,008 13,788 11/30/1992 14,025 13,823 12/31/1992 14,066 13,860 01/31/1993 14,112 13,897 02/28/1993 14,149 13,929 03/31/1993 14,214 13,964 04/30/1993 14,262 13,998 05/31/1993 14,318 14,033 06/30/1993 14,374 14,068 07/31/1993 14,425 14,104 08/31/1993 14,463 14,141 09/30/1993 14,499 14,176 10/31/1993 14,550 14,213 11/30/1993 14,604 14,249 12/31/1993 14,672 14,286 01/31/1994 14,697 14,323 02/28/1994 14,713 14,357 03/31/1994 14,690 14,398 04/30/1994 14,713 14,441 05/31/1994 14,724 14,488 06/30/1994 14,791 14,538 07/31/1994 14,861 14,590 08/31/1994 14,919 14,644 09/30/1994 14,935 14,698 10/31/1994 14,974 14,758 11/30/1994 14,986 14,820 12/31/1994 15,050 14,889 01/31/1995 15,126 14,957 02/28/1995 15,265 15,023 03/31/1995 15,298 15,097 04/30/1995 15,462 15,169 05/31/1995 15,618 15,243 06/30/1995 15,670 15,315 07/31/1995 15,764 15,388 08/31/1995 15,836 15,461 09/30/1995 15,984 15,530 10/31/1995 16,099 15,602 11/30/1995 16,248 15,670 12/31/1995 16,386 15,743 01/31/1996 16,465 15,813 02/29/1996 16,495 15,878 03/31/1996 16,548 15,945 04/30/1996 16,625 16,010 05/31/1996 16,712 16,079 06/30/1996 16,804 16,147 07/31/1996 16,851 16,216 08/31/1996 16,957 16,287 09/30/1996 17,120 16,357 10/31/1996 17,257 16,429 11/30/1996 17,412 16,498 12/31/1996 17,480 16,569 01/31/1997 17,583 16,641 02/28/1997 17,662 16,706 03/31/1997 17,671 16,779 04/30/1997 17,772 16,851 05/31/1997 17,900 16,925 06/30/1997 18,018 16,996 07/31/1997 18,158 17,070 08/31/1997 18,213 17,143 09/30/1997 18,335 17,215 10/31/1997 18,377 17,291 11/30/1997 18,460 17,363 12/31/1997 18,563 17,438 01/31/1998 18,673 17,515 02/28/1998 18,738 17,585 03/31/1998 18,863 17,662 04/30/1998 18,950 17,736 05/31/1998 19,036 17,813 06/30/1998 19,100 17,886 07/31/1998 19,215 17,961 08/31/1998 19,223 18,038 09/30/1998 19,351 18,112 10/31/1998 19,425 18,184 11/30/1998 19,491 18,252 12/31/1998 19,573 18,319 01/31/1999 19,649 18,387 02/28/1999 19,730 18,449 03/31/1999 19,870 18,520 04/30/1999 19,961 18,588 05/31/1999 19,965 18,659 06/30/1999 20,035 18,728 07/31/1999 20,105 18,801 08/31/1999 20,171 18,876 09/30/1999 20,262 18,950 10/31/1999 20,360 19,027 11/30/1999 20,455 19,103 12/31/1999 20,537 19,186 01/31/2000 20,584 19,270 02/29/2000 20,704 19,353 03/31/2000 20,838 19,444 04/30/2000 20,915 19,535 05/31/2000 21,028 19,631 06/30/2000 21,159 19,723 07/31/2000 21,269 19,818 08/31/2000 21,403 19,916 09/30/2000 21,527 20,016 *Past performance is no guarantee of future results. Returns represent the blended performance of the Fund's Class D shares and the prior performance of the Fund's Instl shares. Class D shares were first offered in 4/8/98. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. See page 26 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 80% -------------------------------------------------------------------------------- 1-5 years 18% -------------------------------------------------------------------------------- 5-10 years 1% -------------------------------------------------------------------------------- 10-20 years 1% -------------------------------------------------------------------------------- Duration: 0.4 years -------------------------------------------------------------------------------- Sector Breakdown -------------------------------------------------------------------------------- Corporate Bonds & Notes 51.9% -------------------------------------------------------------------------------- Mortgage-Backed Securities 18.7% -------------------------------------------------------------------------------- U.S. Government Agencies 8.3% -------------------------------------------------------------------------------- Asset-Backed Securities 8.2% -------------------------------------------------------------------------------- Short-Term Instruments 6.4% -------------------------------------------------------------------------------- Other 6.5% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 39.8% -------------------------------------------------------------------------------- AA 11.0% -------------------------------------------------------------------------------- A 16.6% -------------------------------------------------------------------------------- BBB 29.3% -------------------------------------------------------------------------------- BB 2.9% -------------------------------------------------------------------------------- B 0.4% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class D shares returned 3.29%, outperforming the Salomon 3-Month Treasury Bill Index, which returned 2.94%. The Fund, however, just slightly underperformed the Lipper Ultra-Short Obligations Fund Average, which returned 3.32%. Over the past six months, the Federal Reserve (Fed) discontinued its tightening policy as evidence surfaced that the U.S. economy was slowing. Intermediate rates fell, causing the long end of the yield curve to revert to a positive slope, amid optimism that further rate increases are over. Oil prices continued to rise to their highest levels in a decade raising fears about accelerating inflation, but the Fed remained on hold due to continued signs of slowing growth. Higher-yielding mortgages, investment-grade corporates and emerging market bonds outperformed Treasuries. The Fund's above-average duration and maturity had a slightly negative impact on returns as short-term Treasury yields rose. An emphasis on mortgages enhanced performance as their attractive yields coupled with good credit quality drove prices up. Investors are becoming more risk adverse preferring higher quality and short-term instruments over higher yielding and lower quality bonds. Recently, our concentration in GNMAs played well with investor demand, as they are U.S. government guaranteed. The Fund's allocation to Treasury Inflation Protection Securities aided returns as these bonds outperformed their conventional Treasury counterparts. We believe that growth should moderate worldwide due to recent monetary tightening and higher oil prices. Inflation should creep higher in the face of wage pressures and escalating energy costs. Fed tightening is unlikely now that U.S. growth is slowing, but the central bank should also refrain from easing to avoid igniting inflation in the stock and housing markets. In our opinion, we will focus on quality for superior performance, as credit deterioration should continue amid slower growth. An over-leveraged private sector combined with public budget surpluses should continue to put pressure on lower quality corporate bonds. We are targeting the Funds duration slightly above the benchmark to capture incremental yield from mortgage and high quality corporate issues. We will continue to emphasize mortgages, where credit risk is minimal and yield premiums remain attractive. Within emerging markets, we remain cautious as global growth cools, concentrating on liquid and top-tier credits. Real return bonds are still attractive as moderating growth and a neutral Fed put downward pressure on real yields. Given this outlook, strategies that enhance yield remain key to performance. We expect to continue to favor asset-backed securities, especially AAA/AA issues, which will benefit from Treasury scarcity and strong demand for high quality short-term holdings. 21 PIMCO StocksPLUS Fund September 30, 2000 OBJECTIVE: Total return which exceeds that of the S&P 500. PORTFOLIO: Primarily S&P 500 Index futures and short-term bonds. DURATION RANGE: 0-1 year FUND INCEPTION DATE: 5/14/93 TOTAL NET ASSETS: $1.4 billion PORTFOLIO MANAGER: Bill Gross -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00 D Shares Lipper Large-Cap Core S&P 500 Fund Average Index -------------------------------------------------------------------------------- 1 year 12.61% 17.80% 13.28% 3 years 15.58% 15.85% 16.44% 5 years 21.09% 19.84% 21.69% Inception 19.84% -- -- Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO S&P 500 StocksPLUS Index D 05/31/1993 10,000 10,000 06/30/1993 10,054 10,029 07/31/1993 10,025 9,989 08/31/1993 10,411 10,368 09/30/1993 10,301 10,288 10/31/1993 10,526 10,501 11/30/1993 10,409 10,401 12/31/1993 10,585 10,527 01/31/1994 10,939 10,885 02/28/1994 10,595 10,589 03/31/1994 10,123 10,128 04/30/1994 10,248 10,258 05/31/1994 10,437 10,426 06/30/1994 10,207 10,170 07/31/1994 10,600 10,504 08/31/1994 11,078 10,935 09/30/1994 10,891 10,668 10/31/1994 11,064 10,907 11/30/1994 10,719 10,510 12/31/1994 10,857 10,666 01/31/1995 11,155 10,943 02/28/1995 11,650 11,369 03/31/1995 11,964 11,705 04/30/1995 12,349 12,049 05/31/1995 12,903 12,531 06/30/1995 13,183 12,822 07/31/1995 13,586 13,247 08/31/1995 13,679 13,280 09/30/1995 14,255 13,841 10/31/1995 14,232 13,791 11/30/1995 14,912 14,397 12/31/1995 15,185 14,674 01/31/1996 15,726 15,174 02/29/1996 15,767 15,314 03/31/1996 15,975 15,462 04/30/1996 16,174 15,690 05/31/1996 16,530 16,094 06/30/1996 16,687 16,156 07/31/1996 15,903 15,442 08/31/1996 16,237 15,768 09/30/1996 17,182 16,655 10/31/1996 17,726 17,114 11/30/1996 19,038 18,408 12/31/1996 18,619 18,043 01/31/1997 19,761 19,171 02/28/1997 19,907 19,321 03/31/1997 18,999 18,527 04/30/1997 20,172 19,633 05/31/1997 21,444 20,828 06/30/1997 22,332 21,761 07/31/1997 24,168 23,493 08/31/1997 22,851 22,177 09/30/1997 24,037 23,392 10/31/1997 23,258 22,610 11/30/1997 24,204 23,657 12/31/1997 24,640 24,063 01/31/1998 24,975 24,329 02/28/1998 26,649 26,084 03/31/1998 27,970 27,420 04/30/1998 28,309 27,695 05/31/1998 27,734 27,219 06/30/1998 28,816 28,325 07/31/1998 28,496 28,023 08/31/1998 24,133 23,972 09/30/1998 25,972 25,507 10/31/1998 28,021 27,582 11/30/1998 29,610 29,254 12/31/1998 31,470 30,940 01/31/1999 32,524 32,233 02/28/1999 31,425 31,232 03/31/1999 32,735 32,481 04/30/1999 34,041 33,739 05/31/1999 33,146 32,943 06/30/1999 35,058 34,771 07/31/1999 33,901 33,685 08/31/1999 33,715 33,519 09/30/1999 32,953 32,600 10/31/1999 35,049 34,663 11/30/1999 35,610 35,367 12/31/1999 37,625 37,451 01/31/2000 35,672 35,570 02/29/2000 35,102 34,896 03/31/2000 38,401 38,310 04/30/2000 37,203 37,157 05/31/2000 36,411 36,394 06/30/2000 37,314 37,292 07/31/2000 36,817 36,708 08/31/2000 39,266 38,988 09/30/2000 37,110 36,930 *Past performance is no guarantee of future results. Returns represent the blended performance of the Fund's Class D shares and the prior performance of the Fund's Instl shares. Class D shares were first offered in 4/8/98. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. This Fund may invest substantially all of its assets in S&P 500 derivatives, backed by a portfolio of Fixed Income Instruments. See page 26 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1-5 years 93% -------------------------------------------------------------------------------- 5-10 years 7% -------------------------------------------------------------------------------- Duration: 0.1 years -------------------------------------------------------------------------------- Sector Breakdown -------------------------------------------------------------------------------- Corporate Bonds & Notes 42.6% -------------------------------------------------------------------------------- Mortgage-Backed Securities 21.7% -------------------------------------------------------------------------------- Short-Term Instruments 8.7% -------------------------------------------------------------------------------- U.S. Treasury Obligations 8.3% -------------------------------------------------------------------------------- Asset-Backed Securities 7.4% -------------------------------------------------------------------------------- Sovereign Issues 5.8% -------------------------------------------------------------------------------- Other 5.5% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 39.7% -------------------------------------------------------------------------------- AA 6.2% -------------------------------------------------------------------------------- A 13.8% -------------------------------------------------------------------------------- BBB 30.9% -------------------------------------------------------------------------------- BB 4.8% -------------------------------------------------------------------------------- B 4.6% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- StocksPLUS is an enhanced index stock fund that seeks total return in excess of the Standard & Poor's 500 Index (S&P 500) through investment in S&P 500 futures. These futures are purchased with a small percentage of the Fund's assets, freeing the remaining assets for investment in an actively managed portfolio of short-term, investment grade bonds that can add incremental return beyond that of the S&P 500. For the six-month period ended September 30, 2000, the Fund's Class D shares returned -3.37%, outperforming the S&P 500, which returned -3.60%. The Fund performed in line with its Lipper Average. Longer term, the Fund has outperformed the Lipper Average over the five-year and since inception periods ended September 30, 2000. Since inception the Fund has met its objective of outperforming the S&P 500. Over the past six months intermediate maturity Treasuries rallied as yields on two-, five- and 10-year notes fell from their earlier levels. As a result, the long-portion of the yield curve reverted to a positive slope for the first time since mid-January. This disinversion came amid shifting market sentiment about the economy, Federal reserve policy and the U.S. budget surplus. Earlier in the period the Fed concluded their tightening policy with their sixth interest rate increase, but have recently left the fed funds rate unchanged as signs of a cooling economy increased. Investment grade corporate holdings boosted returns as credit premiums narrowed. Mortgage-backed securities also added to the Fund's outperformance due to relatively high yields and low market volatility. A small position within emerging market bonds helped returns as stronger economies and debt restructuring brought dividend yields lower. We believe global growth will moderate in response to recent monetary tightening by central banks in the U.S., Europe and Japan and the highest oil prices in a decade. We expect inflation to rise as these increased energy prices filter through economies worldwide. The Feds' recent tightening cycle is likely over not that economic growth is cooling, and despite this slowdown, they will remain on the sidelines instead of moving to an easing trend. Given this outlook, strategies that enhance yield remain key to performance. We will look to extend duration as near term risks tilt toward slower-than-expected growth and lower rates. Our emphasis will remain on mortgage-backed securities because of superior credit quality and relatively higher yields, but we will selectively take advantage of wide yield premiums on short-maturity, higher-rated corporate issues. 22 PIMCO Strategic Balanced Fund September 30, 2000 OBJECTIVE: Maximum total return. PORTFOLIO: S&P 500 Index futures and short-and intermediate-term investment grade bonds. DURATION RANGE: 0-6 years FUND INCEPTION DATE: 6/28/96 TOTAL NET ASSETS: $80.6 million PORTFOLIO MANAGER: Bill Gross -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00 D Shares Lipper 60% S&P500 S&P 500 Bal. Fund Aug. 40% LBAG Index -------------------------------------------------------------------------------- 1 year 8.21% 11.31% 11.05% 13.28% 3 years 10.71% 8.96% 12.53% 16.44% Inception 14.78% -- -- -- Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO 60% S&P 500 S&P 500 Strategic Balanced 40% Lehman Brothers Index D Aggregate Bond Index 06/30/1996 10,000 10,000 10,000 07/31/1996 9,732 9,746 9,558 08/31/1996 9,881 9,863 9,760 09/30/1996 10,348 10,264 10,309 10/31/1996 10,626 10,525 10,593 11/30/1996 11,213 11,075 11,394 12/31/1996 11,007 10,902 11,168 01/31/1997 11,467 11,324 11,866 02/28/1997 11,532 11,388 11,959 03/31/1997 11,156 11,057 11,468 04/30/1997 11,661 11,520 12,152 05/31/1997 12,145 11,984 12,892 06/30/1997 12,504 12,363 13,470 07/31/1997 13,267 13,086 14,542 08/31/1997 12,798 12,602 13,727 09/30/1997 13,255 13,090 14,479 10/31/1997 13,068 12,904 13,995 11/30/1997 13,409 13,286 14,643 12/31/1997 13,611 13,477 14,895 01/31/1998 13,798 13,635 15,059 02/28/1998 14,345 14,221 16,145 03/31/1998 14,823 14,678 16,972 04/30/1998 14,952 14,797 17,143 05/31/1998 14,787 14,700 16,848 06/30/1998 15,216 15,109 17,533 07/31/1998 15,122 15,025 17,346 08/31/1998 13,711 13,819 14,838 09/30/1998 14,513 14,480 15,789 10/31/1998 15,155 15,156 17,073 11/30/1998 15,631 15,742 18,108 12/31/1998 16,218 16,305 19,151 01/31/1999 16,608 16,760 19,952 02/28/1999 16,063 16,331 19,332 03/31/1999 16,585 16,759 20,105 04/30/1999 16,988 17,170 20,884 05/31/1999 16,636 16,866 20,391 06/30/1999 17,252 17,406 21,522 07/31/1999 16,872 17,051 20,851 08/31/1999 16,806 16,996 20,747 09/30/1999 16,627 16,796 20,179 10/31/1999 17,287 17,459 21,456 11/30/1999 17,458 17,671 21,892 12/31/1999 18,013 18,261 23,181 01/31/2000 17,238 17,687 22,017 02/29/2000 17,097 17,572 21,600 03/31/2000 18,169 18,696 23,713 04/30/2000 17,757 18,337 22,999 05/31/2000 17,643 18,108 22,527 06/30/2000 17,890 18,526 23,083 07/31/2000 17,847 18,420 22,722 08/31/2000 18,648 19,213 24,133 09/30/2000 17,992 18,653 22,859 *Past performance is no guarantee of future results. Returns represent the blended performance of the Fund's Class D shares and the prior performance of the Fund's Instl shares. Class D shares were first offered in 4/8/98. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. See page 26 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- PIMCO Funds -------------------------------------------------------------------------------- StocksPlus 55.9% -------------------------------------------------------------------------------- Total Return 40.0% -------------------------------------------------------------------------------- Short-Term Instruments 4.1% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- Strategic Balanced Fund is designed to provide broad exposure to both stocks and bonds using PIMCO's unique StocksPLUS and Total Return investment strategies. For the six-month period ended September 30, 2000, the Fund's Class D shares returned -0.98%, slightly underperforming the Lipper Balanced Fund Average, which returned -0.50%. However, the Fund has outperformed the Lipper Average over the three-year and since inception periods ended September 30, 2000. Asset allocation at the end of the quarter leaned modestly toward stocks, with a 65% weight for stocks and 35% for bonds. Over the past six months intermediate maturity Treasuries rallied. As a result, the long-portion of the yield curve reverted to a positive slope for the first time since mid-January. This disinversion came amid shifting market sentiment about the economy, Federal reserve policy and the U.S. budget surplus. An overweight fixed income allocation improved performance relative to the benchmark as the Lehman Aggregate Index returned 4.81% as compared to -3.60% for the S&P 500 index over the past six months. The equity allocation performed in line with the S&P 500 Index mainly due to the solid performance of mortgage-backed securities (which are held as part of cash backing the S&P 500 futures). The fixed-income portion performed in line with its index as well due to an above-benchmark duration that had a positive effect in a falling interest rate environment. We believe global growth will moderate in response to recent monetary tightening by central banks in the U.S., Europe and Japan and the highest oil prices in a decade. We expect inflation to rise as these increased energy prices filter through economies worldwide. The Feds' recent tightening cycle is likely over not that economic growth is cooling, and despite this slowdown, they will remain on the sidelines instead of moving to an easing trend. Looking ahead, we expect to move to a neutral 60% equity/40% bond mix in light of stock market volatility and the potential for reduced corporate profits in a slowing economy. On the equity side, we will continue to emphasize mortgages in cash backing strategies because of superior credit quality and higher yields. On the fixed-income side, we will extend duration .25 years above the benchmark as risks tilt toward slower-than-expected growth and lower interest rates. 23 PIMCO Total Return Fund September 30, 2000 OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily an intermediate-term portfolio of investment grade bonds. DURATION RANGE: 3-6 years FUND INCEPTION DATE: 5/11/87 TOTAL NET ASSETS: $35.5 billion PORTFOLIO MANAGER: Bill Gross -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00 D Shares Lipper Inter. Lehman Bros. Inv. Grade Debt Agg. Bond Fund Avg. Index -------------------------------------------------------------------------------- 1 year 6.78% 5.75% 6.99% 5 years 7.02% 5.54% 6.47% 10 years 8.98% 7.58% 8.05% Inception 8.74% -- -- Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO Lehman Brothers Total Return Aggregate Bond D Index 05/31/1987 10,000 10,000 06/30/1987 10,125 10,138 07/31/1987 10,098 10,130 08/31/1987 10,072 10,076 09/30/1987 9,819 9,861 10/31/1987 10,129 10,212 11/30/1987 10,201 10,294 12/31/1987 10,291 10,434 01/31/1988 10,708 10,801 02/29/1988 10,828 10,929 03/31/1988 10,729 10,827 04/30/1988 10,671 10,768 05/31/1988 10,615 10,696 06/30/1988 10,867 10,954 07/31/1988 10,849 10,897 08/31/1988 10,899 10,925 09/30/1988 11,103 11,172 10/31/1988 11,275 11,383 11/30/1988 11,172 11,244 12/31/1988 11,218 11,257 01/31/1989 11,354 11,419 02/28/1989 11,279 11,336 03/31/1989 11,330 11,385 04/30/1989 11,580 11,624 05/31/1989 11,859 11,929 06/30/1989 12,256 12,292 07/31/1989 12,512 12,554 08/31/1989 12,293 12,368 09/30/1989 12,352 12,431 10/31/1989 12,645 12,737 11/30/1989 12,752 12,858 12/31/1989 12,775 12,893 01/31/1990 12,558 12,740 02/28/1990 12,588 12,781 03/31/1990 12,575 12,790 04/30/1990 12,394 12,673 05/31/1990 12,797 13,048 06/30/1990 13,011 13,258 07/31/1990 13,219 13,441 08/31/1990 13,007 13,261 09/30/1990 13,018 13,371 10/31/1990 13,195 13,541 11/30/1990 13,525 13,832 12/31/1990 13,759 14,048 01/31/1991 13,892 14,222 02/28/1991 14,083 14,343 03/31/1991 14,257 14,442 04/30/1991 14,487 14,598 05/31/1991 14,591 14,684 06/30/1991 14,610 14,676 07/31/1991 14,817 14,880 08/31/1991 15,216 15,202 09/30/1991 15,572 15,510 10/31/1991 15,728 15,682 11/30/1991 15,860 15,826 12/31/1991 16,396 16,296 01/31/1992 16,258 16,074 02/29/1992 16,398 16,179 03/31/1992 16,331 16,088 04/30/1992 16,412 16,204 05/31/1992 16,749 16,510 06/30/1992 16,957 16,737 07/31/1992 17,367 17,078 08/31/1992 17,511 17,251 09/30/1992 17,784 17,456 10/31/1992 17,624 17,224 11/30/1992 17,635 17,228 12/31/1992 17,940 17,502 01/31/1993 18,266 17,838 02/28/1993 18,670 18,150 03/31/1993 18,775 18,226 04/30/1993 18,934 18,353 05/31/1993 18,974 18,376 06/30/1993 19,382 18,709 07/31/1993 19,496 18,815 08/31/1993 19,935 19,145 09/30/1993 20,011 19,197 10/31/1993 20,149 19,269 11/30/1993 19,967 19,105 12/31/1993 20,129 19,209 01/31/1994 20,369 19,468 02/28/1994 20,000 19,130 03/31/1994 19,572 18,658 04/30/1994 19,374 18,509 05/31/1994 19,277 18,507 06/30/1994 19,202 18,466 07/31/1994 19,592 18,832 08/31/1994 19,643 18,856 09/30/1994 19,390 18,578 10/31/1994 19,362 18,562 11/30/1994 19,361 18,521 12/31/1994 19,349 18,648 01/31/1995 19,691 19,017 02/28/1995 20,148 19,470 03/31/1995 20,336 19,589 04/30/1995 20,687 19,863 05/31/1995 21,337 20,631 06/30/1995 21,320 20,783 07/31/1995 21,326 20,736 08/31/1995 21,651 20,986 09/30/1995 21,917 21,191 10/31/1995 22,243 21,466 11/30/1995 22,719 21,788 12/31/1995 23,106 22,094 01/31/1996 23,290 22,240 02/29/1996 22,718 21,854 03/31/1996 22,536 21,702 04/30/1996 22,437 21,580 05/31/1996 22,372 21,536 06/30/1996 22,725 21,825 07/31/1996 22,780 21,885 08/31/1996 22,754 21,848 09/30/1996 23,271 22,229 10/31/1996 23,869 22,721 11/30/1996 24,428 23,111 12/31/1996 24,117 22,896 01/31/1997 24,202 22,966 02/28/1997 24,250 23,023 03/31/1997 23,950 22,768 04/30/1997 24,376 23,109 05/31/1997 24,620 23,327 06/30/1997 24,903 23,604 07/31/1997 25,592 24,240 08/31/1997 25,365 24,034 09/30/1997 25,771 24,388 10/31/1997 26,075 24,742 11/30/1997 26,189 24,856 12/31/1997 26,491 25,106 01/31/1998 26,896 25,428 02/28/1998 26,815 25,408 03/31/1998 26,898 25,497 04/30/1998 26,998 25,630 05/31/1998 27,306 25,873 06/30/1998 27,565 26,092 07/31/1998 27,650 26,148 08/31/1998 28,085 26,573 09/30/1998 28,919 27,196 10/31/1998 28,716 27,052 11/30/1998 28,817 27,205 12/31/1998 28,987 27,287 01/31/1999 29,155 27,482 02/28/1999 28,613 27,002 03/31/1999 28,850 27,152 04/30/1999 28,986 27,238 05/31/1999 28,667 26,999 06/30/1999 28,612 26,913 07/31/1999 28,498 26,799 08/31/1999 28,515 26,785 09/30/1999 28,826 27,096 10/31/1999 28,915 27,196 11/30/1999 28,976 27,194 12/31/1999 28,817 27,063 01/31/2000 28,664 26,974 02/29/2000 29,011 27,300 03/31/2000 29,431 27,660 04/30/2000 29,343 27,581 05/31/2000 29,331 27,568 06/30/2000 29,944 28,142 07/31/2000 30,214 28,397 08/31/2000 30,682 28,809 09/30/2000 30,783 28,990 *Past performance is no guarantee of future results. Returns represent the blended performance of the Fund's Class D shares and the prior performance of the Fund's Instl shares. Class D shares were first offered in 4/8/98. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. See page 26 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1 year or less 1% -------------------------------------------------------------------------------- 1-5 years 32% -------------------------------------------------------------------------------- 5-10 years 40% -------------------------------------------------------------------------------- 10-20 years 16% -------------------------------------------------------------------------------- 20-30 years 10% -------------------------------------------------------------------------------- Over 30 years 1% -------------------------------------------------------------------------------- Duration: 5.2 years -------------------------------------------------------------------------------- Sector Breakdown -------------------------------------------------------------------------------- Mortgage-Backed Securities 48.2% -------------------------------------------------------------------------------- Corporate Bonds & Notes 26.9% -------------------------------------------------------------------------------- U.S. Treasury Obligations 9.0% -------------------------------------------------------------------------------- Short-Term Instruments 5.5% -------------------------------------------------------------------------------- Asset-Backed Securities 5.4% -------------------------------------------------------------------------------- Other 5.0% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 66.7% -------------------------------------------------------------------------------- AA 6.2% -------------------------------------------------------------------------------- A 14.7% -------------------------------------------------------------------------------- BBB 10.4% -------------------------------------------------------------------------------- BB 1.4% -------------------------------------------------------------------------------- B 0.6% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class D shares returned 4.58%, outperforming the Lipper Average, which returned 4.02%. Over the same time period, the Fund slightly underperformed its benchmark, the Lehman Aggregate Bond Index, which returned 4.81%. Looking longer term, the Fund outperformed both the Lipper Average and the benchmark over the three-, five-, ten-year and since inception periods ended September 30, 2000. The Federal Reserve lifted short-term interest rates by 50 basis points at their May meeting, bringing its total tightening tally for this cycle to six, as concern remained that inflationary pressures were building. Supporting the concern, oil prices surged to their highest level in a decade. But the cumulative impact of 175 basis points of tightening began to slow the economy, as signs emerged that consumer and investment spending was slowing and that the housing sector was cooling. During the past six months intermediate maturity Treasury yields fell as optimism grew that the Fed was finished tightening. In general, higher quality bonds outperformed other areas of the bond market, particularly the high yield sector, as concern grew that corporate earnings would slow as the economy cooled. As a result, sector strategies were key to performance. An emphasis on mortgage-backed securities enhanced returns due to relatively attractive yields and lower market volatility. Real return bonds also added modestly to relative performance due to a favorable inflation adjustment. A small position in shorter-term, top tier emerging market bonds, acting as a substitute for high yield bonds, had a positive impact as yield premiums narrowed due to stronger economies and debt restructuring. The Fund's near benchmark duration hurt performance slightly as intermediate maturity yields fell. Looking ahead, we expect growth will continue to moderate worldwide. We also expect inflation to creep higher in the face of continued wage pressures and escalating energy costs. More Fed tightening is unlikely now that U.S. growth is slowing, but the central bank will also refrain from easing to avoid igniting inflation. A focus on quality will continue to be critical for superior performance as credit deterioration continues. Going forward, we anticipate extending duration slightly above the benchmark as near term risks tilt toward slower-than-expected growth and lower interest rates. However, mortgage will continue to be emphasized because of their superior credit quality and relatively high yields. Where possible, we expect to reduce exposure to corporate bonds, which may see price declines as the economy slows. 24 PIMCO Total Return Mortgage Fund September 30, 2000 OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily an intermediate-term portfolio of mortgage-backed securities. DURATION RANGE: 3-6 years FUND INCEPTION DATE: 7/31/97 TOTAL NET ASSETS: $16.3 million PORTFOLIO MANAGER: W.S. Simon -------------------------------------------------------------------------------- PERFORMANCE* -------------------------------------------------------------------------------- Average Annual Total Return For periods ended 9/30/00 D Shares Lipper U.S. Mortgage Fund Lehman Bros. Average Mortgage Index -------------------------------------------------------------------------------- 1 year 8.01% 6.47% 7.42% 3 years 6.41% 5.18% 6.07% Inception 6.60% -- -- Change in Value $10,000 invested at the Fund's inception [GRAPH] PIMCO Lehman Brothers Total Return Mortgage Index Mortgage D 07/31/1997 10,000 10,000 08/31/1997 10,007 9,976 09/30/1997 10,162 10,103 10/31/1997 10,310 10,215 11/30/1997 10,356 10,248 12/31/1997 10,475 10,342 01/31/1998 10,587 10,445 02/28/1998 10,604 10,467 03/31/1998 10,641 10,511 04/30/1998 10,711 10,570 05/31/1998 10,801 10,641 06/30/1998 10,869 10,691 07/31/1998 10,910 10,746 08/31/1998 11,038 10,843 09/30/1998 11,160 10,974 10/31/1998 11,113 10,960 11/30/1998 11,159 11,015 12/31/1998 11,187 11,061 01/31/1999 11,253 11,140 02/28/1999 11,192 11,096 03/31/1999 11,262 11,170 04/30/1999 11,315 11,222 05/31/1999 11,252 11,159 06/30/1999 11,237 11,120 07/31/1999 11,193 11,045 08/31/1999 11,184 11,044 09/30/1999 11,324 11,223 10/31/1999 11,386 11,288 11/30/1999 11,439 11,294 12/31/1999 11,411 11,267 01/31/2000 11,335 11,169 02/29/2000 11,502 11,298 03/31/2000 11,653 11,422 04/30/2000 11,611 11,430 05/31/2000 11,603 11,435 06/30/2000 11,817 11,680 07/31/2000 11,931 11,755 08/31/2000 12,126 11,933 09/30/2000 12,245 12,056 *Past performance is no guarantee of future results. Returns represent the blended performance of the Fund's Class D shares and the prior performance of the Fund's Instl shares. Class D shares were first offered in 4/8/98. This Fund concentrates on investments in Mortgage securities, which may entail greater risk than a fully diversified fund. See page 26 for Footnotes, which include additional details. -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Maturity Profile -------------------------------------------------------------------------------- 1-5 years 72% -------------------------------------------------------------------------------- 5-10 years 15% -------------------------------------------------------------------------------- 10-20 years 10% -------------------------------------------------------------------------------- 20-30 years 2% -------------------------------------------------------------------------------- Over 30 years 1% -------------------------------------------------------------------------------- Duration: 4.2 years -------------------------------------------------------------------------------- Sector Breakdown -------------------------------------------------------------------------------- Mortgage-Backed Securities 85.0% -------------------------------------------------------------------------------- Short-Term Instruments 12.9% -------------------------------------------------------------------------------- Other 2.1% -------------------------------------------------------------------------------- Quality Breakdown -------------------------------------------------------------------------------- AAA 90.4% -------------------------------------------------------------------------------- AA 2.9% -------------------------------------------------------------------------------- BBB 6.7% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- For the six-month period ended September 30, 2000, the Fund's Class D shares returned 5.06%, outperforming the Lipper Average, which returned 4.76%. Over the same time period, the Fund underperformed its benchmark, the Lehman Mortgage Index, which returned 5.55%. Looking longer term, however, the Fund has outperformed both the Lipper Average and the benchmark over the one-, three-year and since inception periods ended September 30, 2000. The Federal Reserve lifted short-term interest rates by 50 basis points at their May meeting, bringing its total tightening tally for this cycle to six, as concern remained that inflationary pressures were building. Supporting the concern, oil prices surged to their highest level in a decade. But the cumulative impact of 175 basis points of tightening began to slow the economy over the past six months, as signs emerged that consumer spending, capital investment and the housing sector were cooling. Mortgage-backed securities outpaced Treasuries as investors continued to favor securities with superior credit quality, lower market volatility and attractive yield premiums. Conventional mortgages slightly outperformed GNMAs amid profit taking in GNMAs after their superior performance so far this year. The Fund's above-index duration (sensitivity to changes in interest rates) helped performance as intermediate-maturity interest rates fell. Our exposure to GNMA ARMs also enhanced returns as yield spreads of these securities tightened relative to other mortgage securities. The Fund's use of mortgage forward contracts, such as GNMA TBAs, added to returns as the cash backing this exposure was put to work at higher short-term interest rates. Looking ahead, we expect growth will continue to moderate worldwide. We also expect inflation to creep higher in the face of continued wage pressures and escalating energy costs. More Fed tightening is unlikely now that U.S. growth is slowing, but the central bank will also refrain from easing to avoid igniting inflation. A focus on quality will continue to be critical for superior performance as credit deterioration continues. As a result, we expect to keep duration modestly above the benchmark as near term risks tilt toward lower interest rates in general. We hope to increase our concentration in high coupon mortgages as they offer higher yields at lower durations and are cheaper than they have been historically compared to low coupon issues. We intend to maintain exposure to GNMAs, which have better credit quality than conventional mortgages and trade at similar prices. Finally, we expect to continue to buy mortgages that settle in the future, investing the purchase amount at higher short-term interest rates. 25 September 30, 2000 FOOTNOTES A few notes and definitions are needed for a complete understanding of the performance figures. Past performance is no guarantee of future results. Investment return will fluctuate, and the value of an investor's shares will fluctuate and may be worth more or less than original cost when redeemed. Total return measures performance, assuming that all dividends and capital gains distributions were reinvested. Total return, both with and without a sales charge, has been presented. For shareholders who have not bought or sold shares during the period quoted, the non-adjusted figures are probably more meaningful than the adjusted figures. The adjusted figures for Class A shares include the effect of paying the maximum initial sales charge of either 4.5% (Long-Term U.S. Government, Foreign Bond, Global Bond II, Emerging Markets Bond, High Yield and Total Return Funds), 3.00% (Real Return Bond, Municipal Bond, Low Duration and StocksPLUS Funds) or 2.00% (Short-Term Fund). The adjusted figures for Class B shares include the effect of paying the contingent deferred sales charge (CDSC), which declines from 5% in the first year to 0% at the beginning of the seventh year. The adjusted figures for Class C shares include the effect of paying the 1% CDSC which may apply to shares redeemed during the first year of ownership. +Yield is calculated in accordance with current Securities and Exchange Commission regulations and is based on the one-month period ended September 30, 2000. Duration is a measurement of a Fund's price sensitivity expressed in years. The credit quality of the investments in the portfolio does not apply to the stability or safety of the fund. Line graphs have been included so an investor can compare a Fund's historical performance to that of an appropriate broad-based index. Each index reflects a group of unmanaged securities, and it is not possible to directly invest in an unmanaged index. 60% S&P 500/40% LBAG is an unmanaged index comprised of 60% of the return of the S&P 500 Index and 40% Lehman Brothers Aggregate Bond Index. Salomon 3-Month T-Bill is an index representing monthly return equivalents of yield averages of the last 3 months Treasury Bill issues. First Boston Convertible bond is an unmanaged market index comprised of convertible bonds. Lipper Balanced Index is the 30 largest equal weighted Balanced Funds as compiled by Lipper, Inc. The J.P. Morgan Global Index (Hedged) is an index of currency-hedged U.S. and foreign government bonds. The J.P. Morgan Non-U.S. Index (Hedged) is an index of currency-hedged foreign government bonds. The J.P. Morgan Emerging Markets Plus Index is an index of emerging-market bonds. The Lehman Municipal Bond (General, CA & N.Y.) Indexes are indexes of municipal bonds. The Lehman BB Intermediate Corporate Index is an index of intermediate-term bonds with a BB rating. The Merrill Lynch 1-3 Year Treasury Index is an index made up of U.S. Treasury issues with maturities from one to three years. The Lehman Inflation-Linked Treasury Index is an index of inflation linked Treasury bonds. The Lehman Aggregate Bond Index is an index of a variety of bonds. The Long-Term Treasury Index is an index of long-term government securities. The Lipper Money Market Index is an index of money market funds. The Standard & Poor's 500 Index is an index of stocks of large-capitalization companies. Lehman Bros. is an index of mortgages. Lipper averages are calculated by Lipper, Inc., a nationally recognized mutual fund performance evaluation firm. They are total-return performance averages of those funds that are tracked by Lipper, with the investment objective noted. They do not take sales charges into account. PIMCO Stocks Funds and PIMCO Bond Funds (excluding Long-Term U.S. Govt. and Municipal Bond) can invest a portion of their assets in foreign securities, which can entail special risks due to foreign economic and political developments. These risks can be enhanced when investing in emerging markets. PIMCO Bond Funds (excluding Long-Term U.S. Govt) can invest in lower-rated bonds, which entail special risks such as less liquidity and possibility of default. An investment in the Money Market Fund is not insured or guaranteed by the Federal Deposit Insurance Company or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund. For additional information on the PIMCO equity funds, contact your financial advisor to receive a prospectus that contains more complete information, including charges and expenses. Or contact PIMCO Funds Distributors LLC at 2187 Atlantic Street, Stamford, CT 06902, www.pimcofunds.com, 1-800-426-0107. Please read the prospectus carefully before you invest or send money. 26 Schedule of Investments California Intermediate Municipal Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 99.9% -------------------------------------------------------------------------------- California 83.3% Anaheim, California Public Financing Authority Revenue Bonds, (AMBAC Insured), Series 1999 4.625% due 10/01/2027 $ 150 $ 152 Antioch, California Public Financing Authority Reassessment Revenue Bonds, Series 1998-B 5.500% due 09/02/2008 495 503 California Educational Facilities Authority Revenue Bonds, Series 1997-A 5.700% due 10/01/2015 135 141 California Health Facilities Financing Authority Revenue Bonds, (AMBAC Insured), Series 1996-B 4.750% due 07/01/2012 (b) 1,100 1,100 California Health Facilities Financing Authority Revenue Bonds, (MBIA Insured), Series 1998 4.750% due 09/01/2028 (b) 2,000 2,000 5.375% due 08/15/2030 1,100 1,070 California Health Facilities Financing Authority Revenue Bonds, Series 1998-B 5.250% due 10/01/2014 3,000 2,907 California Housing Finance Agency Revenue Bonds, (FNMA Insured), Series 1993 4.500% due 07/15/2013 (b) 100 100 California Housing Finance Agency Revenue Bonds, (SPA-Landesbank Hessen Insured), Series 2000-B 4.500% due 02/01/2035 (b) 400 400 California Housing Financial Agency Revenue Bonds, (AMBAC FHA Insured), Series 1996 5.950% due 02/01/2011 100 106 California Pollution Control Financing Authority Revenue Bonds, Series 1999-A 4.500% due 08/01/2003 150 150 California State Department of Water Resources Central Valley Project Revenue Bonds, Series 1998-U 5.000% due 12/01/2029 2,500 2,272 California State Department Veteran Affairs Home Revenue Bonds, Series 2000-B 4.900% due 12/01/2005 500 505 California State Economic Development Financing Authority Industrial Development Revenue Bonds, (LOC-U.S. Bank Insured), Series 1997 5.150% due 08/01/2027 (b) 780 780 California State General Obligation Bonds, (AMBAC Insured), Series 1991 6.500% due 09/01/2006 2,500 2,781 California State General Obligation Bonds, (FGIC Insured), Series 1997 5.000% due 10/01/2004 325 334 California State General Obligation Bonds, (MBIA Insured), Series 1991 6.600% due 02/01/2011 1,000 1,163 California State General Obligation Bonds, (MBIA Insured), Series 1992 7.500% due 10/01/2007 400 474 California State General Obligation Bonds, Series 1991 6.500% due 09/01/2010 1,730 1,997 California State General Obligation Bonds, Series 1997-BL 5.300% due12/01/2012 400 411 California State General Obligation Bonds, Series 2000 5.250% due 03/01/2005 100 104 5.500% due 05/01/2011 3,250 3,478 5.250% due 03/01/2013 300 310 4.850% due 01/01/2027 (b) 1,500 1,313 California State Public Works Board Lease Revenue Bonds, Series 1994-A 6.375% due 11/01/2014 500 549 California Statewide Communities Development Authority Apartment Development Revenue Bonds, Series 1998-A-3 5.100% due 05/15/2025 2,000 1,955 California Statewide Communities Development Authority Certificates of Participation, (AMBAC Insured), Series 1995 4.750% due 07/01/2015 (b) 400 400 California Statewide Communities Development Authority Certificates of Participation, Series 1994 6.500% due 07/01/2015 1,000 1,096 Capistrano, California Unified School District Community Facilities District Special Tax Bonds, Series 1997 7.100% due 09/01/2021 2,000 2,290 Capistrano, California Unified School District Community Facilities District Special Tax Bonds, Series 1999 5.700% due 09/01/2020 1,500 1,457 Chico, California Public Financing Authority Revenue Bonds, (FSA Insured), Series 1996 5.200% due 04/01/2011 485 504 Chula Vista, California Special Tax Bonds, Series 2000-1 6.350% due 09/01/2017 230 235 6.400% due 09/01/2018 120 123 Contra Costa County, California Multifamily Mortgage Revenue Bonds, (LOC-Bank of America NT & SA Insured), Series 1987-A 4.400% due 12/01/2017 (b) 1,300 1,300 Corona, California Community Facilities District Special Tax Bonds, Series 1998 5.875% due 09/01/2023 1,000 978 East Bay, California Regional Park District General Obligation Bonds, Series 1998 5.000% due 09/01/2017 2,000 1,960 Evergreen, California School District General Obligation Bonds, (FGIC Insured), Series 2000-C 10.000% due 09/01/2005 465 579 10.000% due 09/01/2006 380 490 Foothill Eastern Transportation Corridor Agency Toll Road Revenue Bonds, (MBIA Insured), Series 1999 5.875% due 01/15/2027 2,500 1,490 Irvine Ranch, California Water District Revenue Bonds, (LOC-Landesbank Hessen-Thrgn Insured), Series 1985 4.750% due 10/01/2010 (b) 1,300 1,300 Irvine, California Improvement Bond Act 1915 Revenue Bonds, (LOC-Societe Generale Insured), Series 1997 4.750% due 09/02/2022 (b) 2,668 2,668 Irvine, California Improvement Bond Act 1915 Special Assessment, (LOC-KBC Bank N.V. Insured), Series 1996-A 4.750% due 09/02/2021 (b) 400 400 See accompanying notes 27 Schedule of Investments (Cont.) California Intermediate Municipal Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Irvine, California Improvement Bond Act 1915 Special Assessment, (LOC-KBC Bank N.V. Insured), Series 1999 4.750% due 09/02/2024 (b) $1,600 $1,600 Livermore Valley, California Joint Unified School District General Obligation Bonds, (MBIA Insured), Series 2000 6.500% due 08/01/2003 1,000 1,061 Long Beach, California Harbor Revenue Bonds, (MBIA Insured), Series 1995 6.500% due 05/15/2005 220 238 Long Beach, California Harbor Revenue Bonds, Series 1993 4.700% due 05/15/2004 150 151 Los Angeles County, California Transportation Commission Certificates of Participation, Series 1992-B 6.250% due 07/01/2004 500 525 Los Angeles, California Community Redevelopment Agency Certificates of Participation Revenue Bonds, Series 1984 7.550% due 11/01/2008 415 460 Los Angeles, California Department of Water & Power Electric Plant Revenue Bonds, Series 2000 276 3.480% due 11/15/2010 (b) 200 200 Los Angeles, California Department of Water & Power Waterworks Revenue Bonds, (MBIA Insured), Series 1994 6.375% due 07/01/2034 2,150 2,333 Los Angeles, California State Building Authority Lease Revenue Bonds, Series 1999-A 4.600% due 10/01/2007 150 151 Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 1999-C 4.750% due 07/01/2010 30 31 Los Angeles, California Wastewater System Revenue Bonds, (MBIA Insured), Series 1998-C 4.000% due 06/01/2015 1,770 1,542 Metropolitan Water District Southern California General Obligation Bonds, Series 1993-A1 7.250% due 03/01/2007 150 174 Metropolitan Water District Southern California Revenue Bonds, (SPA-Westdeutsche Landesbank Insured), Series 2000 4.700% due 07/01/2035 (b) 200 200 Metropolitan Water District Southern California Revenue Bonds, Series 1993 6.050% due 10/30/2020 (b) 600 592 Newport Beach, California Revenue Bonds, (SPA-Bank of America NT & SA Insured), Series 1996-A 5.400% due 10/01/2026 (b) 300 300 Newport Beach, California Revenue Bonds, (SPA-Bank of America NT & SA Insured), Series 1996-B 5.350% due 10/01/2026 (b) 100 100 Newport Beach, California Revenue Bonds, (SPA-Bank of America NT & SA Insured), Series 1996-C 5.400% due 10/01/2026 (b) 100 100 Orange County, California Airport Revenue Bonds, (MBIA Insured), Series 1993 5.250% due 07/01/2006 1,565 1,612 Orange County, California Improvement Bond Special Assessment, (LOC-Societe Generale & LOC-KBC Bank N.V. Insured), Series 1988 4.750% due 09/02/2018 (b) 1,900 1,900 Orange County, California Local Transportation Authority Sales Tax Revenue Bonds, (AMBAC-TCRS Insured), Series 1992 6.200% due 02/14/2011 $3,250 $3,640 Orange County, California Revenue Bonds, (MBIA Insured), Series 1995-A 6.000% due 06/01/2010 1,000 1,114 Orange County, California Sanitation District Certificates of Participation, (LOC-National Westminster Insured), Series 1990 4.750% due 08/01/2015 (b) 3,665 3,665 Orange County, California Water District Certificates of Participation, (LOC-Bayerishe Landesbank Insured), Series 1990 4.500% due 08/15/2015 (b) 700 700 Otay, California Water District Certificates of Participation, (LOC-Landesbank Hessen-Thrgn Insured), Series 1996 4.400% due 09/01/2026 (b) 200 200 Oxnard, California Improvement Bond Act 1915 Special Assessment, Series 1997 5.500% due 09/02/2004 1,215 1,234 Pacific Housing & Finance Agency, California Revenue Bonds, (MBIA Insured), Series 1999 4.625% due 12/01/2004 250 253 Pioneers Memorial Healthcare District, California General Obligation Bonds, (AMBAC Insured), Series 1998 5.125% due 10/01/2024 1,000 949 Port of Oakland, California Revenue Bonds, (FGIC Insured), Series 2000 5.500% due 11/01/2009 500 530 Redding, California Electric System Revenue Certificates of Participation, (FGIC Insured), Series 1993 5.684% due 06/28/2019 500 507 Riverside County, California Asset Leasing Corp. Revenue Bonds, (MBIA Insured), Series 2000 5.200% due 11/01/2010 250 263 Sacramento County, California Sanitation District Financing Authority Revenue Bonds, (LOC-Credit Agricole Indosez Insured), Series 2000 4.500% due 12/01/2030 (b) 1,900 1,900 Sacramento County, California Sanitation District Financing Authority Revenue Bonds, Series 2000-A 4.900% due 12/01/2007 1,000 1,032 5.100% due 12/01/2009 1,000 1,048 5.100% due 12/01/2010 1,000 1,046 Sacramento, California Municipal Utility District Revenue Bonds, Series 1983-M 9.000% due 04/01/2013 960 1,245 San Bernardino County, California Housing Authority Multifamily Housing Revenue Bonds, (LOC-California Federal Bank & LOC-Federal Home Loan Bank Insured), Series 1993 3.250% due 02/01/2023 (b) 400 400 San Francisco, California City & County Airport Commission International Airport Revenue Bonds (FGIC Insured), Series 1996,-12-A 5.625% due 05/01/2005 400 418 San Francisco, California City & County Airport Commission International Airport Revenue Bonds, (FSA Insured), Series 1998-16A 5.500% due 05/01/2015 300 306 28 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- San Francisco, California City & County Airport Commission International Airport Revenue Bonds, (MBIA Insured), Series 1996-14A 8.000% due 05/01/2005 $ 500 $ 569 San Francisco, California City & County Public Utilities Commission Revenue Bonds, Series 1992-A 6.400% due 11/01/2007 2,500 2,647 San Jose, California Multifamily Housing Revenue Bonds, (LOC-Bay View Bank N.A. & LOC-Federal Home Loan Bank Insured), Series 1999 4.950% due 06/01/2039 1,000 1,003 San Jose, California Redevelopment Agency Tax Allocation, (MBIA Insured), Series 1993 6.000% due 08/01/2010 600 669 San Pablo, California Redevelopment Agency Revenue Bonds, Series 1979 8.000% due 10/01/2011 145 168 Santa Margarita/Dana Point Authority, California Revenue Bonds, (MBIA Insured), Series 1994-A 7.250% due 08/01/2006 150 172 Santa Rosa, California Multifamily Housing Revenue Bonds, (LOC-U.S. Bank N.A. Insured), Series 1997-A 4.600% due 06/01/2027 (b) 100 100 South Tahoe, California Joint Powers Financing Authority Revenue Bonds, Series 1999-A 7.300% due 10/01/2007 150 154 Stockton, California Certificates of Participation, Series 1999 4.750% due 08/01/2006 120 121 -------- 83,648 ======== Puerto Rico 12.1% Puerto Rico Commonwealth Aqueduct & Sewer Authority Revenue Bonds, (FSA Surety Bond Insured), Series 1985-A 9.000% due 07/01/2009 3,000 3,459 Puerto Rico Commonwealth General Obligation Bonds, (MBIA Insured), Series 1995 5.200% due 07/01/2006 410 429 Puerto Rico Commonwealth Highway & Transportation Authority Highway Revenue Bonds, Series 1993-X 5.350% due 07/01/2005 5,000 5,137 Puerto Rico Commonwealth Highway & Transportation Authority Revenue Bonds, Series 1993-X 5.200% due 07/01/2003 500 510 Puerto Rico Commonwealth Infrastructure Financing Authority Revenue Bonds, (AMBAC Insured), Series 1998-A 5.250% due 07/01/2010 150 157 Puerto Rico Electric Power Authority Power Revenue Bonds, Series 1995-X 6.125% due 07/01/2021 500 548 Puerto Rico Industrial Tourist Educational, Medical & Environmental Control Facilities Revenue Bonds, Series 2000 5.300% due 11/15/2005 250 255 Puerto Rico Industrial Tourist Environmental Central Facilities Revenue Bonds, Series 2000 5.300% due 11/15/2004 150 153 Puerto Rico Municipal Finance Agency General Obligation Bonds, (FSA Insured), Series 1999-A 5.000% due 08/01/2004 $ 1,000 $ 1,027 Puerto Rico Public Finance Corp. Revenue Bonds, (AMBAC Insured), Series 1998-A 5.000% due 06/01/2007 500 517 --------- 12,192 ========= Virgin Islands 4.5% Virgin Islands Public Finance Authority Revenue Bonds, Series 1998-C 5.500% due 10/01/2008 3,000 3,015 5.500% due 10/01/2007 1,500 1,508 --------- 4,523 --------- Total Municipal Bonds & Notes 100,363 (Cost $97,895) ========= -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 0.1% -------------------------------------------------------------------------------- Commercial Paper 0.1% R & T California Money Market 3.710% due 10/02/2000 154 154 --------- Total Short-Term Instruments 154 (Cost $154) ========= Total Investments (a) 100% $ 100,517 (Cost $98,049) Other Assets and Liabilities (Net) (0.0%) (26) --------- Net Assets 100.0% $ 100,491 ========= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 2,491 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (23) --------- Unrealized appreciation-net $ 2,468 ========= (b) Variable rate security. The rate listed is as of September 30, 2000. See accompanying notes 29 Schedule of Investments California Municipal Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 97.3% -------------------------------------------------------------------------------- California 67.6% California State Department Water Center Revenue Bonds, Series 1993 8.375% due 12/01/2003 $ 150 $ 168 California State General Obligation, (FGIC Insured), Series 1997 6.600% due 02/01/2011 500 581 Capistrano Unified School District Community Facilities District Special Tax Bond, Series 1999 5.700% due 09/01/2020 500 486 Chula Vista California Special Tax Bond, Series 2000-1 6.400% due 09/01/2018 125 128 Corona Community Facilities District Special Tax Bond, Series 1998 5.875% due 09/01/2023 150 147 East Bay Municipal Utility District Wastewater Treatment System Revenue Bonds, (AMBAC Insured), Series 1993 6.420% due 06/01/2013 400 415 Foothill Eastern Transportation Corridor Agency Toll Road Revenue Bonds, (MBIA-IBC Insured), Series 1999 0.000% due 01/15/2027 500 298 Los Angeles County Transportation Commission Certificates of Partnership, Series 1992 6.250% due 07/01/2004 500 525 Los Angeles Department of Water & Power Waterworks Revenue Bonds, (MBIA Insured), Series 1994 6.375% due 07/01/2034 350 380 Los Angeles, California Wastewater System Revenue Bonds, (MBIA Insured), Series 1998-C 4.000% due 06/01/2015 400 348 Metropolitan Water District Southern California Revenue Bonds, Series 1993 6.253% due 10/30/2020 200 197 Orange County California Revenue Bonds, Series 1995 6.000% due 06/01/2010 750 835 Orange County Local Transportation Authority Sales Tax Revenue Bonds, (AMBAC-TCRS Insured), Series 1992 6.200% due 02/14/2011 750 840 Pioneers Memorial Healthcare District General Obligation, Series 1998 5.125% due 10/01/2024 400 380 San Jose Redevelopment Agency Tax Allocation, (MBIA Insured), Series 1993 6.000% due 08/01/2010 300 335 Southern California Public Power Authority Revenue Bonds, (FSA-CR Insured), Series 1993 5.000% due 07/01/2015 110 107 ------ 6,170 ====== Puerto Rico 25.3% Puerto Rico Aqueduct & Sewer Authority Revenue Bonds, (FSA Surety Bond Insured), Series 1985-A 9.000% due 07/01/2009 2,000 2,306 -------- Virgin Islands 4.4% Virgin Islands Public Finance Authority Revenue Bonds, Series 1998-C 5.500% due 10/01/2008 405 407 -------- Total Municipal Bonds & Notes 8,883 (Cost $8,665) ======== -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 1.2% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (b) 3.625% due 07/15/2002 108 108 -------- Total U.S. Treasury Obligations 108 (Cost $107) ======== Total Investments (a) 98.5% $ 8,991 (Cost $8,772) Other Assets and Liabilities (Net) 1.5% 137 -------- Net Assets 100.0% $ 9,128 ======== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 219 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. 0 -------- Unrealized appreciation-net $ 219 ======== (b) Principal amount of the security is adjusted for inflation. 30 See accompanying notes Schedule of Investments Convertible Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 71.9% -------------------------------------------------------------------------------- Banking & Finance 5.8% ACOM Co. Ltd. 0.000% due 03/31/2002 $ 50,000 $ 501 Exchangeable Certificates Corp. 0.250% due 04/12/2005 5,950 5,783 Hellenic Finance 2.000% due 07/15/2003 500 443 JMH Finance Ltd. 4.750% due 09/06/2007 1,200 1,237 Merrill Lynch & Co. 1.000% due 07/20/2006 1,775 1,356 ------- 9,320 ======= Energy 1.8% Diamond Offshore Drilling 3.750% due 02/15/2007 2,560 2,902 ------- Health Care 16.4% Alza Corp. 0.000% due 07/28/2020 7,750 5,406 Athena Neurosciences, Inc. 4.750% due 11/15/2004 750 1,150 Centocor, Inc. 4.750% due 02/15/2005 2,100 2,698 Ivax Corp. 5.500% due 05/15/2007 2,300 3,355 Mercury Interactive Corp. 4.750% due 07/01/2007 1,800 2,786 Millennium Pharmaceuticals 5.500% due 01/15/2007 1,500 2,837 Roche Holdings, Inc. 0.000% due 01/19/2015 2,950 2,817 Vertex Pharmaceuticals 5.000% due 03/14/2007 3,000 3,495 Wellpoint Health Network, Inc. 0.000% due 07/02/2019 2,000 1,573 ------- 26,117 ======= Industrial 5.0% Celestica, Inc. 0.000% due 08/01/2020 3,500 1,750 Dupont Photomasks, Inc. 0.000% due 07/24/2004 800 774 Kohls Corp. 0.000% due 06/12/2020 2,500 1,469 Solectron Corp. 0.000% due 01/27/2019 2,000 1,475 Young & Rubicam, Inc. 3.000% due 01/15/2005 2,500 2,466 ------- 7,934 ======= Technology 36.3% Analog Devices, Inc. 4.750% due 10/01/2005 3,200 3,353 ASM Lithography Holding 4.250% due 11/30/2004 2,000 2,250 2.500% due 04/09/2005 1,500 1,160 AT&T - Liberty Media Group 4.000% due 11/15/2029 3,200 3,004 Clear Channel Communications, Inc. 1.500% due 12/01/2002 650 604 2.630% due 04/01/2003 3,300 3,622 Comverse Technology, Inc. 4.500% due 07/01/2005 1,040 5,305 Exodus Communications, Inc. 4.750% due 07/15/2008 2,000 3,075 Hewlett Packard Co. 0.000% due 10/14/2017 4,450 3,271 I2 Technologies, Inc. 5.250% due 12/15/2006 2,500 6,653 Juniper Networks, Inc. 4.750% due 03/15/2007 2,000 3,082 Lattice Semiconductor Co. 4.750% due 11/01/2006 1,600 2,318 LSI Logic Corp. 4.250% due 03/15/2004 500 990 Nextel Communications, Inc. 5.250% due 01/15/2010 3,000 2,828 Sanmina Corp. 4.250% due 05/01/2004 700 1,579 0.000% due 09/12/2020 7,000 3,103 SCI Systems, Inc. 3.000% due 03/15/2007 2,750 2,753 Stmicroelectron 0.000% due 09/22/2009 1,900 2,522 U.S. Cellular Corp. 0.000% due 06/15/2015 3,600 2,466 Veritas Software Corp. 1.860% due 08/13/2006 1,000 4,110 -------- 58,048 ======== Utilities 6.6% AES Corp. 4.500% due 08/15/2005 750 1,932 AES Trust VII 6.000% due 01/01/2000 24 1,995 Alliant Energy Resources, Inc. 4.910% due 01/01/2000 33 1,982 Kerr-McGee Corp. 5.250% due 02/15/2010 1,000 1,247 Nabors Industries, Inc. 0.000% due 06/20/2020 4,900 3,418 -------- 10,574 -------- Total Convertible Bonds & Notes 114,895 (Cost $99,333) ======== -------------------------------------------------------------------------------- CONVERTIBLE PREFERRED STOCK 23.3% -------------------------------------------------------------------------------- Shares Banking & Finance 3.2% Metlife Capital Trust I Cvt. Pfd. 5.680% due 01/01/2000 61,000 5,078 -------- Energy 6.4% Apache Corp. Cvt. Pfd. 6.500% due 05/15/2002 17,000 872 Coastal Corp. Cvt. Pfd. 6.625% due 08/16/2002 10,000 416 Kerr-McGee Corp. Cvt. Pfd. 5.500% due 08/01/2004 108,900 5,918 Valero Energy Cvt. Pfd. 7.750% due 08/18/2003 100,500 2,952 -------- 10,158 ======== Industrial 5.2% Decs Trust VI Cvt. Pfd. 6.250% due 11/15/2002 40,000 1,800 Qwest Trends Trust Cvt. Pfd. 2.400% due 01/01/2000 25,000 1,969 Sealed Air Corp. Cvt. Pfd. 4.000% due 04/01/2018 2,000 90 Times Mirror Co. Cvt. Pfd. 4.250% due 03/15/2001 4,000 339 Tribune Co. Cvt. Pfd. 2.000% due 05/15/2029 35,100 4,168 -------- 8,366 Utilities 8.5% ======== Calpine Capital Trust III Cvt. Pfd. 5.000% due 01/01/2000 70,000 4,489 Enron Corp. Cvt. Pfd. 7.000% due 07/31/2002 108,000 3,841 MediaOne Group, Inc. Cvt. Pfd. 6.250% due 08/15/2001 9,500 791 SEI Trust I Cvt. Pfd. 6.250% due 10/01/2030 50,000 3,294 Weatherford International, Inc. Cvt Pfd. 5.000% due 11/01/2027 25,000 1,191 -------- 13,606 -------- Total Convertible Preferred Stock 37,208 (Cost $30,604) ======== See accompanying notes 31 Schedule of Investments (Cont.) Convertible Fund September 30, 2000 (Unaudited) Value Shares (000s) -------------------------------------------------------------------------------- COMMON STOCKS 5.0% -------------------------------------------------------------------------------- Communications 0.0% Leap Wireless International, Inc. 344 $ 22 Consumer Discretionary 1.2% Time Warner, Inc. 24,792 1,940 Technology 3.8% EMC Corp. 60,668 6,014 -------- Total Common Stocks 7,976 (Cost $5,207) ======== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 2.9% -------------------------------------------------------------------------------- Principal Amount (000s) Commercial Paper 2.5% Federal Home Loan Mortgage Corp. 6.440% due 10/12/2000 $ 2,600 2,595 General Electric Capital Corp. 6.470% due 12/20/2000 700 690 Ingersoll-Rand Co. 6.840% due 10/02/2000 700 700 -------- 3,985 Repurchase Agreements 0.4% ======== State Street Bank 5.850% due 10/02/2000 576 576 (Dated 9/29/2000. Collateralized by Federal Home Loan Bank 7.090% due 09/19/2003 valued at $590. Repurchase proceeds are $576.) -------- Total Short-Term Instruments 4,561 (Cost $4,561) ======== Total Investments (a) 103.1% $ 164,640 (Cost $139,705) Other Assets and Liabilities (Net) (3.1%) (4,967) ---------- Net Assets 100.0% $ 159,673 ========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 29,506 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (4,571) ---------- Unrealized appreciation-net $ 24,935 ========== 32 See accompanying notes Schedule of Investments Emerging Markets Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- ARGENTINA 3.5% -------------------------------------------------------------------------------- Republic of Argentina 7.375% due 03/31/2005 (d) $ 540 $ 498 11.375% due 01/30/2017 (f) 1,100 985 6.875% due 03/31/2023 500 343 ------------- Total Argentina 1,826 (Cost $1,818) ============= -------------------------------------------------------------------------------- BERMUDA 0.4% -------------------------------------------------------------------------------- IMEXA Export Trust 10.125% due 05/31/2003 $ 214 213 ------------- Total Bermuda 213 (Cost $210) ============= -------------------------------------------------------------------------------- BRAZIL 29.9% -------------------------------------------------------------------------------- Republic of Brazil 7.375% due 04/15/2006 (d)(f) $ 6,354 5,996 14.500% due 10/15/2009 (f) 2,300 2,536 7.437% due 04/15/2012 500 385 8.000% due 04/15/2014 (f) 868 669 6.937% due 04/15/2024 400 319 12.250% due 03/06/2030 (f) 4,950 4,505 11.000% due 08/17/2040 1,297 1,036 ------------- Total Brazil 15,446 (Cost $15,215) ============= -------------------------------------------------------------------------------- BULGARIA 6.0% -------------------------------------------------------------------------------- Republic of Bulgaria 7.062% due 07/28/2011 $ 1,250 947 7.062% due 07/28/2024 (d) 2,810 2,150 ------------- Total Bulgaria 3,097 (Cost $3,185) ============= -------------------------------------------------------------------------------- COLOMBIA 1.0% -------------------------------------------------------------------------------- Republic of Colombia 7.625% due 02/15/2007 $ 420 322 8.700% due 02/15/2016 130 89 11.750% due 02/25/2020 100 85 ------------- Total Colombia 496 (Cost $504) ============= -------------------------------------------------------------------------------- JORDAN 2.5% -------------------------------------------------------------------------------- Kingdom of Jordan 6.000% due 12/23/2023 $ 1,700 1,270 ------------- Total Jordan 1,270 (Cost $1,190) ============= -------------------------------------------------------------------------------- MALAYSIA 5.0% -------------------------------------------------------------------------------- Republic of Malaysia 6.875% due 05/15/2001 $ 1,500 1,500 8.750% due 06/01/2009 1,000 1,052 ------------- Total Malaysia 2,552 (Cost $2,541) ============= -------------------------------------------------------------------------------- MEXICO 23.4% -------------------------------------------------------------------------------- Nacional Financiera 8.565% due 05/08/2003 $ 1,500 1,523 United Mexican States 8.500% due 02/01/2006 1,500 1,501 10.375% due 02/17/2009 650 709 9.875% due 02/01/2010 1,250 1,332 6.250% due 12/31/2019 2,900 2,607 7.312% due 12/31/2019 1,650 1,724 7.925% due 12/31/2019 525 549 11.500% due 05/15/2026 1,725 2,098 United Mexican States Recovery Rights 0.000% due 06/30/2003 3,980 0 ------------- Total Mexico 12,043 (Cost $11,588) ============= -------------------------------------------------------------------------------- MOROCCO 1.2% -------------------------------------------------------------------------------- Republic of Morocco 7.750% due 01/01/2009 $ 699 $ 619 ------------- Total Morocco 619 (Cost $626) ============= -------------------------------------------------------------------------------- NIGERIA 0.8% -------------------------------------------------------------------------------- Central Bank of Nigeria 6.250% due 11/15/2020 $ 750 433 Central Bank of Nigeria - Warrant 0.000% due 11/15/2020 1 0 ------------- Total Nigeria 433 (Cost $421) ============= -------------------------------------------------------------------------------- PANAMA 4.2% -------------------------------------------------------------------------------- Republic of Panama 7.930% due 05/10/2002 $ 92 91 4.500% due 07/17/2014 1,750 1,414 8.875% due 09/30/2027 335 281 9.375% due 04/01/2029 400 385 ------------- Total Panama 2,171 (Cost $2,186) ============= -------------------------------------------------------------------------------- PERU 3.9% -------------------------------------------------------------------------------- Republic of Peru 3.750% due 03/07/2017 $ 2,100 1,174 4.500% due 03/07/2017 1,310 817 ------------- Total Peru 1,991 (Cost $2,105) ============= -------------------------------------------------------------------------------- PHILIPPINES 1.2% -------------------------------------------------------------------------------- Republic of Philippines 7.937% due 12/01/2007 $ 66 53 9.875% due 01/15/2019 275 225 9.875% due 01/15/2019 (f) 410 337 ------------- Total Philippines 615 (Cost $642) ============= -------------------------------------------------------------------------------- POLAND 2.9% -------------------------------------------------------------------------------- Republic of Poland 6.000% due 10/27/2014 $ 615 566 3.500% due 10/27/2024 1,475 929 ------------- Total Poland 1,495 (Cost $1,447) ============= -------------------------------------------------------------------------------- RUSSIA 7.8% -------------------------------------------------------------------------------- Russian Federation 9.250% due 11/27/2001 100 97 8.750% due 07/24/2005 700 555 6.057% due 12/15/2015 505 175 11.000% due 07/24/2018 650 475 0.000% due 12/15/2020 3,300 1,122 12.750% due 06/24/2028 1,850 1,615 ------------- Total Russia 4,039 (Cost $3,319) ============= -------------------------------------------------------------------------------- SOUTH KOREA 4.8% -------------------------------------------------------------------------------- Hanvit Bank 11.750% due 03/01/2010 $ 200 199 12.750% due 03/01/2010 250 255 Korea Development Bank 9.450% due 03/15/2001 500 506 7.125% due 09/17/2001 500 499 Republic of Korea 8.875% due 04/15/2008 975 1,024 ------------- Total South Korea 2,483 (Cost $2,436) ============= See accompanying notes 33 Schedule of Investments Emerging Markets Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- TURKEY 0.6% -------------------------------------------------------------------------------- Export Credit Bank of Turkey 11.500% due 02/25/2005 $ 100 $ 99 Republic of Turkey 11.875% due 11/05/2004 215 224 ------------- Total Turkey 323 (Cost $321) ============= -------------------------------------------------------------------------------- VENEZUELA 6.2% -------------------------------------------------------------------------------- Republic of Venezuela 7.875% due 12/18/2007 (d) $ 1,607 1,381 6.750% due 03/31/2020 1,100 825 9.250% due 09/15/2027 1,500 1,014 Republic of Venezuela - Warrant 0.000% due 04/15/2020 6 0 ------------- Total Venezuela 3,220 (Cost $3,133) ============= -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 7.7% -------------------------------------------------------------------------------- Commercial Paper 5.6% Alcoa, Inc. 6.450% due 12/06/2000 $ 200 198 General Electric Capital Corp. 6.470% due 12/13/2000-12/20/2000 (e) 1,400 888 Ingersoll-Rand Co. 6.740% due 11/15/2000 400 397 International Paper Co. 6.700% due 10/05/2000 400 400 National Power Corp. 7.625% due 11/15/2000 1,000 1,000 ------------- 2,883 ============= Repurchase Agreement 2.1% State Street Bank 5.850% due 10/02/2000 1,071 1,071 (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 7.050% due 02/28/2002 valued at $1,097 Repurchase proceeds are $1,072.) ------------- Total Short-Term Instruments 3,954 (Cost $3,950) ============= Total Investments (a) 113.0% $ 58,286 (Cost $56,836) Other Assets and Liabilities (Net)(13.0%) (6,707) ------------- Net Assets 100.0% $ 51,579 ============= -------------------------------------------------------------------------------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 2,065 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (615) ------------- Unrealized appreciation-net $ 1,450 ============= (b) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Buy CP 67,438 12/2000 $ (5) Buy EC 186 11/2000 (34) Buy 496 10/2000 (13) Sell 93 11/2000 18 Buy HF 165,000 11/2000 (33) Buy PZ 750 11/2000 2 Buy 2,000 12/2000 (7) Buy 1,000 01/2001 (8) ------------- $ (80) ============= (c) Principal amount denoted in indicated currency: CP - Chilean Peso EC - European Currency Unit HF - Hugarian Forint PZ - Polish Zloty (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Securities are grouped by coupon or range of coupons and represent a range of maturities. (f) Subject to financing transaction. 34 See accompanying notes Schedule of Investments Foreign Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- ARGENTINA (f)(g) 0.3% -------------------------------------------------------------------------------- Republic of Argentina 5.000% due 12/20/2002 JY 219,000 $ 2,041 ------------- Total Argentina 2,041 (Cost $1,741) ============= -------------------------------------------------------------------------------- ARUBA (f)(g) 0.3% -------------------------------------------------------------------------------- YTP Finance (Aruba) 3.500% due 07/18/2012 JY 200,000 1,901 ------------- Total Aruba 1,901 (Cost $1,899) ============= -------------------------------------------------------------------------------- AUSTRALIA (f)(g) 3.7% -------------------------------------------------------------------------------- Bankers Trust Corp. 6.970% due 06/02/2008 (d) $ 4,800 4,672 General Electric Capital Funding 6.750% due 09/15/2007 A$ 750 410 General Motors Acceptance Corp. 5.020% due 03/25/2002 EC 10,300 9,080 Registered Australian Mortgage Securities 4.770% due 09/26/1932 (d) 4,761 4,203 Torrens Trust 6.880% due 07/15/2031 (d) $ 3,211 3,211 ------------- Total Australia 21,576 (Cost $22,819) ============= -------------------------------------------------------------------------------- AUSTRIA (f)(g) 0.2% -------------------------------------------------------------------------------- Republic of Austria 5.500% due 01/15/2010 EC 1,200 1,052 ------------- Total Austria 1,052 (Cost $1,041) ============= -------------------------------------------------------------------------------- BELGIUM (f)(g) 0.7% -------------------------------------------------------------------------------- Kingdom of Belgium 9.000% due 03/28/2003 EC 5 5 6.750% due 11/21/2004 (d) BF 183,200 4,215 ------------- Total Belgium 4,220 (Cost $6,060) ============= -------------------------------------------------------------------------------- BRAZIL (f)(g) 0.2% -------------------------------------------------------------------------------- Republic of Brazil 7.880% due 01/01/2001 (d) $ 148 148 7.380% due 04/15/2006 (d) 10 9 11.250% due 07/26/2007 1,000 1,004 14.500% due 10/15/2009 200 221 ------------- Total Brazil 1,382 (Cost $1,325) ============= -------------------------------------------------------------------------------- BULGARIA (f)(g) 0.8% -------------------------------------------------------------------------------- Republic of Bulgaria 7.750% due 07/28/2011 (d) $ 2,670 2,023 2.750% due 07/28/2012 (d) 1,300 947 7.750% due 07/28/2024 (d) 2,600 1,989 ------------- Total Bulgaria 4,959 (Cost $4,909) ============= -------------------------------------------------------------------------------- CANADA (f)(g) 0.5% -------------------------------------------------------------------------------- Beneficial Canada, Inc. 6.350% due 04/01/2002 C$ 3,440 2,292 Commonwealth of Canada 5.250% due 09/01/2003 640 419 ------------- Total Canada 2,711 (Cost $2,813) ============= -------------------------------------------------------------------------------- CAYMAN ISLANDS (f)(g) 2.9% -------------------------------------------------------------------------------- Banco Nacional de Comercio Exterior, S.N.C. 5.300% due 09/21/2000 JY 200,000 $ 1,852 Capital Credit Card Corp. 5.630% due 10/15/2004 DM 2,800 1,266 Daiwa International Finance Cayman 5.000% due 12/28/2004 JY 300,000 2,806 Fuji Finance (Cayman) 7.290% due 04/15/2010 (d) $ 1,900 1,894 MBNA American Euro 4.980% due 05/19/2004 (d) EC 8,100 7,465 Sakura Capital Funding 7.560% due 09/29/2049 (d) $ 1,600 1,552 ------------- Total Cayman Islands 16,835 (Cost $18,212) ============= -------------------------------------------------------------------------------- COLOMBIA (f)(g) 0.2% -------------------------------------------------------------------------------- Republic of Colombia 3.000% due 12/22/2000 JY 150,000 1,373 ------------- Total Colombia 1,373 (Cost $1,151) ============= -------------------------------------------------------------------------------- DENMARK (f)(g) 2.8% -------------------------------------------------------------------------------- Nykredit 5.000% due 10/01/2029 DK 58,900 6,054 Realkredit Danmark Mortgage 5.000% due 10/01/2029 25,627 2,633 6.000% due 10/01/2029 24,500 2,710 Unikredit Realkredit 6.000% due 07/01/2029 20,700 2,291 5.000% due 10/01/2029 27,697 2,855 ------------- Total Denmark 16,543 (Cost $18,073) ============= -------------------------------------------------------------------------------- FRANCE (f)(g) 8.3% -------------------------------------------------------------------------------- AXA 2.500% due 01/01/2014 EC 835 767 France Government Bond (OAT) 4.000% due 04/25/2009 8,250 6,622 5.500% due 04/25/2010 13,960 12,418 Republic of France 3.000% due 07/25/2009 (h)(i) 3,105 2,586 4.000% due 10/25/2009 32,950 26,255 ------------- Total France 48,648 (Cost $53,005) ============= -------------------------------------------------------------------------------- GERMANY (f)(g) 8.8% -------------------------------------------------------------------------------- Barclays Capital Corp. 3.250% due 12/20/2000 DM 2,000 902 Depfa Pfandbriefbank 4.750% due 07/15/2008 EC 3,590 2,976 5.750% due 03/04/2009 (i) DM 3,560 3,133 Republic of Germany 6.000% due 07/04/2007 EC 22,450 20,661 5.250% due 01/04/2008 26,450 23,360 4.500% due 07/04/2009 20 17 6.250% due 01/04/2024 680 648 ------------- Total Germany 51,697 (Cost $52,483) ============= -------------------------------------------------------------------------------- GREECE (f)(g) 3.8% -------------------------------------------------------------------------------- CSFP Credit 7.420% due 11/19/2004 (d)(k) $ 19,000 19,171 Hellenic Finance 2.000% due 07/15/2003 EC 1,600 1,417 Hellenic Republic 7.850% due 05/19/2003 (d) GD 100,000 270 7.890% due 06/17/2003 (d) 107,400 290 10.240% due 10/23/2003 (d) 376,000 1,013 ------------- Total Greece 22,161 (Cost $22,932) ============= See accompanying notes 35 Schedule of Investments (Cont.) Foreign Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- ITALY (f)(g) 11.7% -------------------------------------------------------------------------------- Finmeccanica SpA 2.000% due 06/08/2005 EC 544 $ 473 First Italian Auto Transaction 4.820% due 07/01/2008 (d) 4,800 4,241 Island Finance 5.490% due 03/30/2015 (d) 2,819 2,492 Republic of Italy 4.500% due 05/01/2009 31,710 26,043 4.250% due 11/01/2009 5,560 4,466 5.500% due 11/01/2010 13,320 11,733 6.500% due 11/01/2027 11,420 10,772 5.250% due 11/01/2029 10,520 8,417 ------------- Total Italy 68,637 (Cost $71,444) ============= -------------------------------------------------------------------------------- JAPAN (f)(g) 2.5% -------------------------------------------------------------------------------- Government of Japan Ten-Year Bond 0.900% due 12/22/2008 JY 907,400 7,751 International Credit Receivable Japan 0.750% due 08/25/2005 50,000 463 International Credit Receivable Japan 1 Tranche A 0.720% due 11/22/2004 (d) 56,460 523 0.650% due 08/25/2005 230,000 2,130 International Credit Receivable Japan 1 Tranche B 0.820% due 11/22/2004 (d) 200,000 1,852 SHL Corp. Ltd. 0.530% due 12/25/2024 (d) 121,113 1,122 0.830% due 12/25/2024 (d) 76,000 704 ------------- Total Japan 14,545 (Cost $14,662) ============= -------------------------------------------------------------------------------- MEXICO (f)(g) 1.3% -------------------------------------------------------------------------------- Petroleos Mexicanos 8.850% due 09/15/2007 $ 1,040 1,032 9.380% due 12/02/2008 1,290 1,329 United Mexican States 8.750% due 05/30/2002 BP 270 404 10.380% due 01/29/2003 DM 2,575 1,248 4.000% due 03/11/2004 JY 130,000 1,205 9.880% due 02/01/2010 $ 2,250 2,397 ------------- Total Mexico 7,615 (Cost $7,849) ============= -------------------------------------------------------------------------------- NETHERLANDS (f)(g) 1.1% -------------------------------------------------------------------------------- Mannesmann Finance BV 4.750% due 05/27/2009 EC 3,700 2,903 Tecnost International NV 6.670% due 06/23/2004 (d) 1,430 1,275 Telekomunikacja Polska SA 7.750% due 12/10/2008 $ 2,120 2,045 ------------- Total Netherlands 6,223 (Cost $6,856) ============= -------------------------------------------------------------------------------- NEW ZEALAND (f)(g) 1.1% -------------------------------------------------------------------------------- Commonwealth of New Zealand 4.500% due 02/15/2016 (i) N$ 15,300 6,530 ------------- Total New Zealand 6,530 (Cost $8,639) ============= -------------------------------------------------------------------------------- PANAMA (f)(g) 0.2% -------------------------------------------------------------------------------- Republic of Panama 8.880% due 09/30/2027 $ 1,100 921 ------------- Total Panama 921 (Cost $976) ============= -------------------------------------------------------------------------------- PERU (f)(g) 0.3% -------------------------------------------------------------------------------- Republic of Peru 4.500% due 03/07/2017 (d) $ 2,700 $ 1,691 ------------- Total Peru 1,691 (Cost $1,841) ============= -------------------------------------------------------------------------------- PHILIPPINES (f)(g) 0.6% -------------------------------------------------------------------------------- Republic of Philippines 8.000% due 09/17/2004 EC 2,420 2,157 7.940% due 12/01/2009 (d) $ 1,300 1,131 ------------- Total Philippines 3,288 (Cost $3,860) ============= -------------------------------------------------------------------------------- POLAND (f)(g) 0.0% -------------------------------------------------------------------------------- Republic of Poland 3.500% due 10/27/2024 (d) $ 105 66 ------------- Total Poland 66 (Cost $65) ============= -------------------------------------------------------------------------------- PORTUGAL (f)(g) 1.6% -------------------------------------------------------------------------------- Portugal Government 3.950% due 07/15/2009 EC 11,770 9,261 ------------- Total Portugal 9,261 (Cost $11,042) ============= -------------------------------------------------------------------------------- SOUTH KOREA (f)(g) 1.7% -------------------------------------------------------------------------------- Export-Import Bank Korea 7.250% due 06/25/2001 $ 1,945 1,937 6.500% due 02/10/2002 800 789 Korea Development Bank 4.800% due 05/14/2001 (d) DM 7,310 3,270 2.770% due 05/21/2001 JY 400,000 3,778 1.880% due 02/13/2002 13,000 120 ------------- Total South Korea 9,894 (Cost $10,158) ============= -------------------------------------------------------------------------------- SPAIN (f)(g) 3.2% -------------------------------------------------------------------------------- Kingdom of Spain 5.150% due 07/30/2009 (i) EC 21,730 18,714 ------------- Total Spain 18,714 (Cost $22,578) ============= -------------------------------------------------------------------------------- SUPRANATIONAL (f)(g) 2.2% -------------------------------------------------------------------------------- Eurofima 4.750% due 07/07/2004 SK 60,900 6,149 5.000% due 10/01/2029 32,859 3,381 European Investment Bank 5.380% due 08/28/2007 NK 2,400 244 International Bank for Reconstruction & Development 7.250% due 04/09/2001 N$ 6,400 2,613 World Bank 10.250% due 04/11/2002 PP 31,000 624 ------------- Total Supranational 13,011 (Cost $15,979) ============= -------------------------------------------------------------------------------- SWEDEN (f)(g) 0.5% -------------------------------------------------------------------------------- Kingdom of Sweden 13.000% due 06/15/2001 SK 11,200 1,230 0.000% due 04/01/2004 19,097 1,845 ------------- Total Sweden 3,075 (Cost $3,575) ============= -------------------------------------------------------------------------------- TUNISIA (f)(g) 0.2% -------------------------------------------------------------------------------- Banque Centrale De Tunisie 7.500% due 08/06/2009 EC 1,500 1,356 ------------- Total Tunisia 1,356 (Cost $1,525) ============= 36 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- UNITED KINGDOM (f)(g) 6.4% -------------------------------------------------------------------------------- Abbey National Treasury Service 7.630% due 12/30/2002 BP 1,770 $ 2,678 5.250% due 01/21/2004 2,670 3,811 Bank of Scotland Capital Fund 8.120% due 03/31/2049 850 1,254 Halifax Group Euro Finance 7.630% due 12/29/2049 (d) EC 1,040 918 Halifax Group Sterling Finance 7.880% due 12/29/2049 (d) BP 3,960 6,283 HAUS Ltd. 5.010% due 12/10/2037 (d) EC 8,500 7,505 International Credit Receivable 5.390% due 03/15/2010 JY 1,800 1,589 Lloyds TSB Capital 7.380% due 02/07/2049 500 445 SCCR Series 1 Ltd. 5.020% due 12/15/2031 2,041 1,806 Polestar Corp. PLC 10.500% due 05/30/2008 BP 170 188 United Kingdom Gilt 5.750% due 12/07/2009 7,150 10,980 ------------- Total United Kingdom 37,457 (Cost $39,831) ============= -------------------------------------------------------------------------------- UNITED STATES (f)(g) 97.2% -------------------------------------------------------------------------------- Asset-Backed Securities 6.7% AES Corp. 8.690% due 05/19/2001 $ 1,500 1,500 AFC Home Equity Loan Trust 6.840% due 03/25/2027 (d) 805 806 Americredit Automobile Receivable Trust 5.880% due 12/05/2003 216 215 Amresco Residential Securities Mortgage Loan Trust 7.090% due 06/25/2029 (d) 5,354 5,373 Banc One Auto Grantor Trust 6.270% due 11/20/2003 272 271 6.290% due 07/20/2004 466 463 Bayview Financial Acquisition Trust 7.170% due 02/25/2029 (d) 352 352 Chase Manhattan Grantor Trust 6.610% due 09/15/2002 141 141 Conseco Finance 6.990% due 10/15/2031 (d) 1,278 1,281 Contimortgage Home Equity Loan Trust 6.790% due 10/15/2012 (d) 212 212 6.010% due 12/25/2013 3,780 3,761 EQCC Home Equity Loan Trust 5.770% due 03/20/2029 1,664 1,655 6.870% due 03/20/2029 437 437 Nissan Auto Receivables Grantor Trust 5.450% due 04/15/2004 1,688 1,674 Providian Gateway Master Trust 6.840% due 03/15/2007 5,800 5,800 Providian Home Equity Loan Trust 6.910% due 06/25/2025 (d) 4,043 4,047 PSB Lending Home Loan Owner Trust 6.830% due 05/20/2018 1,630 1,619 Residential Funding Mortgage Securities, Inc. 10.930% due 06/01/2001 (d) 7,100 7,100 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 724 720 Voicestream 9.660% due 02/15/2009 2,000 1,995 ------------- 39,422 ============= Corporate Bonds & Notes 19.6% Abbey National Capital Trust I 8.960% due 12/29/2049 2,000 2,011 AESOP Funding II LLC 6.220% due 10/20/2001 567 567 Allegheny Energy Supply 7.510% due 05/01/2002 (d) 2,900 2,900 Alpha Wind 11.320% due 05/23/2001 (d) 2,000 2,000 Associates Corp. of North America 6.780% due 08/27/2001 (d) 5,000 5,013 AT&T Capital Corp. 7.010% due 04/23/2002 (d) 675 677 Bancomext Trust Division 8.000% due 08/05/2003 390 390 Bear Stearns Co., Inc. 7.130% due 03/28/2003 (d) 2,670 2,670 Beckman Instruments, Inc. 7.100% due 03/04/2003 344 334 Capital One Bank 7.090% due 07/28/2003 (d) 12,000 12,045 CMS Energy Corp. 8.130% due 05/15/2002 546 542 DaimlerChrysler Holdings 6.960% due 08/23/2002 (d) 3,900 3,914 DQE Capital Corp. 7.230% due 01/15/2002 (d) 800 800 Finova Capital Corp. 6.910% due 06/18/2003 (d) 5,700 4,988 Ford Motor Credit Corp. 1.000% due 12/22/2003 JY 107,000 984 7.080% due 07/19/2004 (d) $ 2,800 2,803 1.200% due 02/07/2005 JY 619,000 5,641 General Motors Acceptance Corp. 7.020% due 04/05/2004 (d) $ 2,800 2,796 7.020% due 04/05/2004 (d) 16,420 16,399 6.880% due 09/09/2004 BP 4,080 6,040 1.250% due 12/20/2004 JY 208,000 1,912 Gold Eagle Capital Ltd. 12.130% due 04/15/2001 $ 2,500 2,500 Goldman Sachs Group 7.220% due 02/19/2004 (d) 1,430 1,452 Household Finance Corp. 5.130% due 06/24/2009 (i) EC 4,900 3,901 International Game Technology 7.880% due 05/15/2004 $ 1,700 1,670 J.P. Morgan & Co. 8.080% due 02/15/2012 (d) 6,780 5,865 Jones Intercable, Inc. 8.880% due 04/01/2007 427 448 KBC Bank Fund Trust IV 8.220% due 11/29/2049 EC 2,800 2,509 Lehman Brothers Holdings, Inc. 6.700% due 11/30/2006 (d) $ 848 784 MGM Grand, Inc. 6.950% due 02/01/2005 180 173 NeHi, Inc. 11.310% due 06/09/2003 (d) 2,000 2,010 Protective Life Funding Trust 7.090% due 01/17/2003 (d) 1,200 1,198 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d)(i) 13,189 13,033 6.910% due 02/11/2003 (d) 400 400 Sprint Capital Corp. 5.880% due 05/01/2004 690 662 Texas Utilities Co. 7.590% due 09/24/2001 (d) 2,600 2,614 ------------- 114,645 ============= Mortgage-Backed Securities 50.0% Bank of America Mortgage Securities, Inc. 6.500% due 05/25/2029 299 281 Chase Mortgage Finance Corp. 6.550% due 08/25/2028 2,407 2,387 Citicorp Mortgage Securities, Inc. 6.500% due 07/25/2028 2,184 2,161 6.500% due 03/25/2029 140 129 Crusade Global Trust 7.010% due 05/15/2021 (d) 14,400 14,436 See accompanying notes 37 Schedule of Investments (Cont.) Foreign Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. 6.000% due 03/15/2008 $ 773 $ 766 8.270% due 06/01/2022 (d) 1,124 1,131 8.400% due 08/01/2022 (d) 675 693 9.050% due 06/15/2019 55 57 Federal National Mortgage Assn. 8.500% due 07/01/2021 (d) 794 820 7.420% due 11/01/2022 (d) 848 875 7.580% due 01/01/2023 (d) 1,305 1,345 8.120% due 08/01/2023 (d) 991 1,020 General Electric Capital Mortgage Services, Inc. 6.250% due 07/25/2029 500 483 Government National Mortgage Assn. 6.000% due 04/20/1930-10/23/2030 (d)(e) 404,388 194,802 7.000% due 04/20/1930-05/20/2030 (d)(e) 8,209 4,804 7.130% due 11/20/2021 (d) 537 541 7.380% due 05/20/2022 (d) 49 50 6.750% due 07/20/2022 (d) 548 554 6.750% due 09/20/2022 (d) 360 364 7.380% due 05/20/2023 (d) 541 545 6.750% due 07/20/2023 (d) 294 297 6.750% due 07/20/2023 (d) 607 613 6.750% due 08/20/2023 (d) 272 275 6.750% due 09/20/2023 (d) 1,611 1,627 6.750% due 09/20/2023 (d) 709 716 7.130% due 10/20/2023 (d) 2,977 2,999 7.130% due 10/20/2024 (d) 240 242 7.380% due 04/20/2025 (d) 178 179 6.750% due 07/20/2025 (d) 3,990 4,029 6.750% due 09/20/2025 (d) 764 771 7.130% due 12/20/2025 (d) 292 294 6.750% due 09/20/2026 (d) 625 631 7.380% due 04/20/2027 (d) 1,518 1,529 6.500% due 10/21/2029 23,450 22,585 Independent National Mortgage Corp. 9.140% due 11/25/2024 (d) 2 2 Medallion Trust 6.960% due 07/12/2031 (d) 5,497 5,497 Morgan Stanley Mortgage Trust 8.150% due 07/20/2021 1 1 Prudential Home Mortgage Securities 6.800% due 05/25/2024 464 388 Residential Funding Mortgage Securities, Inc. 6.500% due 06/25/2029 1,276 1,055 7.090% due 05/12/2032 (d) 4,854 14,854 Sasco Floating Rate Commercial Mortgage 7.020% due 11/20/2001 (d) 2,802 2,807 Structured Asset Mortgage Investments, Inc. 6.580% due 06/25/2029 (d) 3,038 2,912 ------------- 292,547 ============= Municipal Bonds & Notes 0.1% Massachusetts State Turnpike Authority Metro Highway System Revenue Bonds, (MBIA Insured), Series 1997 5.000% due 01/01/2037 1,000 873 ------------- U.S. Government Agencies 3.7% Federal Home Loan Bank 7.270% due 02/15/2002 (d) 14,000 13,825 Federal National Mortgage Assn. 6.500% due 07/10/2002 (i) A$ 14,100 7,617 ------------- 21,442 ============= U.S. Treasury Obligations 15.9% Treasury Inflation Protected Securities (h) 3.630% due 07/15/2002 (b) $ 87,332 87,305 U.S. Treasury Bond 6.250% due 08/15/2023 5,400 5,501 ------------- 92,806 ============= Shares Preferred Security 1.1% DG Funding Trust 9.060% due 12/29/2049 (d) 1 6,416 ------------- Total United States 568,151 (Cost $571,535) ============= Principal Amount (000s) -------------------------------------------------------------------------------- PURCHASED PUT OPTIONS 2.7% -------------------------------------------------------------------------------- Eurodollar March Futures (CME) Strike @ 90.75 Exp. 03/19/2000 $ 200,000 $ 1 General National Mortgage Assn. (OTC) 6.000% due 10/20/2030 Strike @ 85.84 Exp. 11/13/2000 192,700 2 General National Mortgage Assn. (OTC) 6.500% due 11/23/2030 Strike @ 89.359 Exp. 11/13/2000 114,950 1 Interest Rate Swap (OTC) Strike @ 7.500% Exp. 04/29/2002 11,200 232 U.S. Treasury Inflation Protected Securities (OTC) 3.625% due 07/15/2002 Strike @ 96.50 Exp. 01/29/2001 77,240 0 U.S. Treasury Note (OTC) 5.625% due 05/15/2008 Strike @ 105.44 Exp. 11/01/2000 102,100 7,283 U.S. Treasury Note (OTC) 6.000% due 08/15/2009 Strike @ 110.09 Exp. 11/06/2000 53,160 4,991 U.S. Treasury Note (OTC) 6.375% due 04/30/2002 Strike @ 103.125 Exp. 11/01/2000 119,800 3,187 ------------- Total Purchased Put Options 15,697 (Cost $17,168) ============= -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 12.7% -------------------------------------------------------------------------------- Commercial Paper 12.7% Abbey National PLC 6.520% due 11/03/2000 $ 1,400 1,392 American Electric Power, Inc. 6.700% due 10/18/2000-11/01/2000 (e) 5,400 4,684 AT&T Corp. 6.500% due 11/08/2000 900 894 6.470% due 11/29/2000 8,500 8,407 Bank One Corp. 6.540% due 10/31/2000 9,500 9,449 Coca-Cola Co. 6.490% due 12/13/2000 300 296 Conagra, Inc. 6.680% due 10/27/2000 1,100 1,095 6.670% due 11/15/2000-11/16/2000 (e) 6,600 5,356 DaimlerChrysler AG 6.500% due 10/25/2000 3,000 2,988 Edison Midwest 6.750% due 11/01/2000 8,900 5,668 6.730% due 11/15/2000 1,300 1,289 Gannett Co. 6.490% due 11/08/2000 2,900 2,881 General Electric Capital Corp. 6.470% due 12/13/2000 600 592 Honeywell, Inc. 6.510% due 11/21/2000 1,000 991 Houston Industries 6.820% due 10/04/2000 900 900 6.770% due 10/18/2000 5,000 4,985 Infinity Broadcasting Corp. 6.720% due 11/09/2000 2,000 1,986 6.700% due 11/16/2000 3,800 3,768 International Paper Co. 6.700% due 10/05/2000 1,100 1,099 6.720% due 10/10/2000 4,400 4,393 6.700% due 11/01/2000 4,100 4,077 Minnesota Mining & Manufacturing 6.470% due 11/28/2000 1,200 1,187 Nike, Inc. 6.490% due 10/10/2000 500 499 Swedbank, Inc. 6.570% due 10/18/2000 1,200 1,196 Texas Utilities Co. 6.700% due 10/18/2000 1,800 1,795 Yorkshire Building Society 6.470% due 12/20/2000 2,200 2,168 ------------- 74,035 ============= 38 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- U.S. Treasury Bills (b) 0.0% 6.470% due 02/01/2001 $ 20 $ 20 ------------- Total Short-Term Instruments 74,055 (Cost $74,062) ============= Total Investments (a) 180.7% $ 1,057,286 (Cost $1,092,108) Written Options (c) (0.2%) (1,096) (Premiums $855) Other Assets and Liabilities (Net) (80.5%) (471,121) ------------- Net Assets 100.0% $ 585,069 ============= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 4,595 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (39,417) ------------- Unrealized depreciation-net $ (34,822) ============= (b) Securities with an aggregate market value of $4,109 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: Unrealized # of Appreciation/ Type Contracts (Depreciation) -------------------------------------------------------------------------------- EuroBond (12/2000) 275 $ 94 Government of Japan 10 Year Note (12/2000) 137 (353) United Kingdom 10 Year Note (12/2000) 137 (121) United Kingdom 90 Day LIBOR Futures (06/2001) 119 (5) EuroBond 10 Year Note Options (11/2000) 228 74 ------------- $ (311) ============= (c) Premiums received on written options: # of Type Contracts Premium Value -------------------------------------------------------------------------------- Call - CBOT U.S. Treasury Note December Futures Strike @ 103.00 Exp. 11/18/2000 48 $ 7 $ 5 Call - CBOT U.S. Treasury Note December Futures Strike @ 102.00 Exp. 11/18/2000 48 14 11 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.84 Exp. 10/10/2000 14,300,000 72 3 Call - OTC Eurodollar vs. U.S. Dollar Strike @ 0.90 Exp. 10/10/2000 14,300,000 62 31 Put - CME Eurodollar March Futures Strike @ 92.75 Exp. 03/19/2001 28 19 1 Call - CME Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 50 13 37 Put - CME Eurodollar March Futures Strike @ 92.25 Exp. 03/19/2001 22 13 0 Put - CBOT U.S. Treasury Note December Futures Strike @ 98.00 Exp. 11/18/2000 24 15 4 Put - CBOT U.S. Treasury Note December Futures Strike @ 97.00 Exp.11/18/2000 24 9 2 Call - TSE Government of Japan December Futures Strike @ 134.00 Exp. 11/30/2000 18 34 37 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.81 Exp.12/21/2000 16,200,000 58 35 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.85 Exp. 10/24/2000 7,200,000 35 18 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.500% Exp. 02/23/2001 7,900,000 41 33 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.85 Exp. 10/24/2000 21,600,000 100 55 Put - OTC 3 Month LIBOR Interest Rate Swap Strike @ 7.500% Exp. 04/29/2002 16,000,000 363 824 ---------------------- $ 855 $ 1,096 ====================== (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Securities are grouped together by coupon or range of coupons and represent a range of maturities. (f) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Buy AP 730 02/2001 $ 5 Buy A$ 4,654 10/2000 (203) Sell 1,560 10/2000 53 Sell 8,245 11/2000 10 Buy 3,283 11/2000 2 Buy BR 1,339 01/2001 (5) Buy 1,057 03/2001 8 Sell C$ 5,007 10/2000 47 Buy 1,200 10/2000 (7) Sell SF 20,620 10/2000 (179) Buy 10,050 10/2000 11 Sell 10,050 11/2000 (8) Buy CL 349,600 10/2000 (29) Buy 117,900 03/2001 0 Sell DK 130,823 10/2000 182 Buy 46,548 10/2000 (2) Sell 46,548 11/2000 3 Sell EC 2,810 01/2001 201 Sell 101,808 10/2000 1,888 Buy 797,671 10/2000 (254) Sell 12,504 11/2000 (74) Sell BP 17,042 10/2000 (339) Buy GD 2,550,004 01/2001 (179) Sell 719,346 12/2000 (4) Sell H$ 48,140 10/2000 (33) Buy 48,140 10/2000 (5) Sell 223,800 08/2001 103 Buy 111,900 08/2001 (14) Buy HF 1,248,000 01/2001 (686) Sell 1,248,000 01/2001 313 Buy 341,600 02/2001 (49) Buy IR 8,560,000 10/2000 66 Buy JY 2,136,556 10/2000 (205) Sell 4,133,801 10/2000 417 Sell 1,036,463 11/2000 5 Buy KW 1,262,100 10/2000 5 Buy MP 6,880 10/2000 34 Buy 6,715 01/2001 15 Sell 6,880 10/2000 (20) See accompanying notes 39 Schedule of Investments (Cont.) Foreign Bond Fund September 30, 2000 (Unaudited) Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Sell NK 4,160 10/2000 $ (12) Sell N$ 85,230 10/2000 2,538 Buy 64,271 10/2000 (1,014) Sell 3,866 11/2000 24 Buy PN 3,880 02/2001 (5) Buy 908 03/2001 3 Buy PP 33,140 03/2001 12 Buy PZ 14,414 01/2001 (171) Buy 8,090 02/2001 (30) Buy 26,046 03/2001 (87) Sell 13,704 01/2001 (56) Sell 8,090 02/2001 (30) Sell 3,640 03/2001 (55) Buy 25,080 10/2000 (186) Sell SK 33,780 10/2000 66 Buy TB 28,140 10/2000 (40) Buy TD 21,403 10/2000 (14) Buy VB 500,950 10/2000 35 Buy 144,970 12/2000 4 Buy SR 7,235 03/2001 12 Buy CP 1,365,400 02/2001 0 Buy TL 882,000,000 02/2001 0 ------------- $ 2,067 ============= (g) Principal amount denoted in indicated currency: AP - Argentine Peso A$ - Australian Dollar BP - British Pound BR - Brazilian Real CL - Chilean Peso CP - Colombian Peso C$ - Canadian Dollar DK - Danish Krone EC - Euro GD - Greek Drachma HF - Hungarian Forint H$ - Hong Kong Dollar IR - Indonesian Rupiah JY - Japanese Yen MP - Mexican Peso N$ - New Zealand Dollar NK - Norwegian Kron PN - Peruvian New Sol PP - Philippines Peso PZ - Polish Zloty KW - South Korean Won SF - Swiss Franc SK - Swedish Krona SR - South Africa Rand TD - Taiwan Dollar TB - Thai Baht TL - Turkish Lira VB - Venezuelan Bolivar (h) Principal amount of the security is adjusted for inflation. Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- (i) Subject to financing transaction. (j) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount (Depreciation) -------------------------------------------------------------------------------- Receive fixed rate equal to 6.949% and pay floating rate based on 6-month BP-LIBOR. Broker: Merrill Lynch Exp. 08/06/2003 BP 4,500 $ 107 Receive floating rate based on 6-month Australian Bank Bill and pay a fixed rate equal to 6.667%. Broker: Morgan Stanley Exp. 09/20/2005 A$ 31,500 6 Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.346%. Broker: Goldman Sachs Exp. 07/19/2005 C$ 22,500 (187) Receive floating rate based on 3-month Canadian Bank Bill and pay fixed rate equal to 6.248%. Broker: Royal Bank of Canada Exp. 08/02/2005 60,600 (356) Receive floating rate based on 3-month Canadian Bank Bill and pay fixed rate equal to 6.515%. Broker: J.P. Morgan Exp. 05/10/2002 24,330 (160) Receive floating rate based on 6-month JY-LIBOR and pay fixed rate equal to 2.020%. Broker: Goldman Sachs Exp. 05/18/2010 JY 1,776,000 28 Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to 6.175%. Broker: Goldman Sachs Exp. 05/22/2030 EC 9,440 (95) Receive floating rate based on 6-month EURO-LIBOR minus 0.54% and pay a fixed rate equal to 6.250%. Broker: J.P. Morgan Exp. 01/04/2024 680 8 Receive a fixed rate equal to 7.291% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 07/21/2005 $ 14,500 330 Receive a fixed rate equal to 7.010% and pay floating rate based on 6-month LIBOR. Broker: Morgan Stanley Exp. 09/20/2005 18,500 208 Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to 6.069%. Broker: Morgan Stanley Exp. 08/25/2030 EC 7,900 58 ------------- $ (53) ============= (k) Restricted security. 40 See accompanying notes Schedule of Investments High Yield Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 75.8% -------------------------------------------------------------------------------- Banking & Finance 8.1% Americo Life, Inc. 9.250% due 06/01/2005 $ 250 $ 234 Amethyst Financial Co. Ltd. 11.750% due 10/29/2001 5,000 5,000 Arvin Capital 9.500% due 02/01/2027 19,000 17,561 Bay View Capital Corp. 9.130% due 08/15/2007 6,400 4,896 Beaver Valley Funding Corp. 8.630% due 06/01/2007 18,000 18,322 9.000% due 06/01/2017 15,235 15,737 DLJ Secured Loan Trust 10.130% due 07/07/2007 10,000 10,491 Forest City Enterprises 8.500% due 03/15/2008 13,400 12,931 Fuji Bank Ltd. 9.870% due 12/31/2049 (d) 9,800 9,599 General Motors Acceptance Corp. 6.840% due 04/29/2002 (d) 800 803 Golden State Holdings 6.750% due 08/01/2001 6,250 6,155 7.000% due 08/01/2003 3,705 3,546 7.130% due 08/01/2005 870 811 Host Marriott LP 8.380% due 02/15/2006 11,660 11,252 Imperial Credit Industries, Inc. 9.880% due 01/15/2007 200 91 Mercury Finance Co. 10.000% due 03/23/2001 21,100 20,573 11.160% due 03/23/2001 21,350 20,709 Presidential Life Insurance Corp. 7.880% due 02/15/2009 13,250 12,226 Reliance Group Holdings 9.000% due 11/15/2000 (e) 4,778 1,625 Sovereign Bancorp, Inc. 6.630% due 03/15/2001 (d) 14,450 14,297 Sumitomo Bank Treasury Co. 9.400% due 12/29/2049 (d) 29,600 29,126 Telewest Credit Link 10.880% due 02/07/2005 5,000 5,151 Trizec Finance Ltd. 10.880% due 10/15/2005 17,461 17,810 Willis Corroon Corp. 9.000% due 02/01/2009 10,700 9,924 ------------- 248,870 ============= Industrials 60.3% 360 Networks, Inc. 13.000% due 05/01/2008 7,150 6,542 Abbey Healthcare Group 9.500% due 11/01/2002 14,195 14,177 Adelphia Business Solution 12.250% due 09/01/2004 7,200 6,552 Advanced Lighting 8.000% due 03/15/2008 10,425 7,467 AEI Holding Co. 10.500% due 12/15/2005 11,380 1,764 Allied Waste Industries, Inc. 7.380% due 01/01/2004 15,100 14,118 7.630% due 01/01/2006 9,430 8,487 American Airlines 10.610% due 03/04/2010 650 737 American Media Operation, Inc. 10.250% due 05/01/2009 1,000 978 American Standard, Inc. 7.130% due 02/15/2003 200 197 7.380% due 04/15/2005 5,700 5,472 9.250% due 12/01/2016 2,778 2,792 Amerigas Partners LP 10.130% due 04/15/2007 3,000 3,011 AM-FM, Inc. 8.750% due 06/15/2007 5,650 5,777 8.000% due 11/01/2008 5,000 5,063 Amphenol Corp. 9.880% due 05/15/2007 6,795 6,965 Archibald Candy Corp. 10.250% due 07/01/2004 4,000 2,240 Arco Chemical Co. 9.380% due 12/15/2005 4,215 4,191 Ball Corp. 7.750% due 08/01/2006 8,100 7,918 8.250% due 08/01/2008 7,600 7,401 Beckman Instruments, Inc. 7.100% due 03/04/2003 6,431 6,271 7.450% due 03/04/2008 15,870 14,624 Benedek Communications Corp. 0.000% due 05/15/2006 (c) 1,500 1,320 Beverly Enterprises, Inc. 9.000% due 02/15/2006 18,075 17,081 Boyd Gaming Corp. 9.500% due 07/15/2007 2,000 1,880 British Sky Broadcasting PLC 7.300% due 10/15/2006 1,000 925 8.200% due 07/15/2009 4,000 3,790 Browning-Ferris Industries, Inc. 6.100% due 01/15/2003 (d) 4,100 3,848 7.880% due 03/15/2005 2,000 1,868 Building Materials Corp. 7.750% due 07/15/2005 13,656 8,945 8.630% due 12/15/2006 1,250 831 8.000% due 10/15/2007 1,276 798 8.000% due 12/01/2008 18,250 11,224 Cadmus Communications Corp. 9.750% due 06/01/2009 6,700 6,600 Call-Net Enterprises, Inc. 8.000% due 08/15/2008 8,450 4,014 Canadian Forest Oil Ltd. 8.750% due 09/15/2007 5,650 5,509 Century Communications Corp. 9.750% due 02/15/2002 650 650 0.000% due 03/15/2003 19,960 15,269 8.750% due 10/01/2007 3,800 3,420 CF Cable TV, Inc. 9.130% due 07/15/2007 9,000 9,685 Charter Communications Holding LLC 8.250% due 04/01/2007 13,750 12,530 10.000% due 04/01/2009 7,150 7,034 Clark R & M, Inc. 8.380% due 11/15/2007 3,000 2,430 Clearnet Communications 0.000% due 05/01/2009 (c) 6,000 4,785 Cliffs Drilling Co. 10.250% due 05/15/2003 750 773 Columbia/HCA Healthcare 6.130% due 12/15/2000 2,000 1,990 6.870% due 09/15/2003 1,300 1,247 6.910% due 06/15/2005 1,250 1,179 7.000% due 07/01/2007 3,350 3,110 8.360% due 04/15/2024 6,000 5,585 6.730% due 07/15/2045 5,000 4,797 Columbus McKinnon 8.500% due 04/01/2008 14,750 13,035 Consolidated Container 10.130% due 07/15/2009 8,150 8,201 Container Corp. of America 9.750% due 04/01/2003 1,000 1,010 11.250% due 05/01/2004 6,920 6,989 Continental Cablevision 9.500% due 08/01/2013 10,000 10,656 Cross Timbers Oil Co. 9.250% due 04/01/2007 1,440 1,440 Crown Castle International Corp. 13.250% due 11/15/2007 2,250 1,766 10.750% due 08/01/2011 4,000 4,130 Crown Cork & Seal Co. 7.130% due 09/01/2002 4,115 3,905 See accompanying notes 41 Schedule of Investments (Cont.) High Yield Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CSC Holdings, Inc. 9.250% due 11/01/2005 $ 1,000 $ 1,013 9.880% due 05/15/2006 850 873 7.880% due 12/15/2007 100 99 9.880% due 02/15/2013 3,100 3,193 9.880% due 04/01/2023 4,000 4,120 Cumberland Farms 10.500% due 10/01/2003 5,784 5,596 Dade International, Inc. 11.130% due 05/01/2006 500 133 Delta Air Lines, Inc. 10.790% due 03/26/2014 2,264 2,548 Diamond Cable Communication Co. 13.250% due 09/30/2004 (c) 1,500 1,575 0.000% due 12/15/2005 (c)(d) 10,000 9,450 10.750% due 02/15/2007 (c) 10,100 7,626 Dunlop Stand Aerospace Holdings 11.880% due 05/15/2009 3,900 3,944 Echostar Broadband Corp. 10.380% due 10/01/2007 2,000 2,000 Echostar Communications Corp. 9.250% due 02/01/2006 23,046 22,844 9.380% due 02/01/2009 11,000 10,835 Embotelladora Arica S.A 9.880% due 03/15/2006 16,050 16,712 Emmis Communications Corp. 8.130% due 03/15/2009 200 191 Energis PLC 9.750% due 06/15/2009 7,500 7,425 Extended Stay America 9.150% due 03/15/2008 6,350 6,033 Extendicare Health Services 9.350% due 12/15/2007 2,050 1,210 EZ Communication, Inc. 9.750% due 12/01/2005 2,500 2,627 Fairpoint Communications, Inc. 9.500% due 05/01/2008 7,875 6,891 10.320% due 05/01/2008 (d) 4,500 4,247 12.500% due 05/01/2010 4,200 4,074 Federal-Mogul Corp. 7.500% due 07/01/2004 22,650 9,626 7.380% due 01/15/2006 150 59 7.750% due 07/01/2006 11,350 4,483 Ferrellgas Partners LP 9.380% due 06/15/2006 14,936 14,712 Fisher Scientific International 7.130% due 12/15/2005 13,750 12,237 9.000% due 02/01/2008 17,895 16,554 Flag Telecom Holding Ltd. 11.630% due 03/30/2010 19,200 16,512 Forest Oil Corp. 10.500% due 01/15/2006 3,585 3,710 Fox/Liberty Networks LLC 0.000% due 08/15/2007 (c) 9,750 8,312 Fred Meyer, Inc. 7.450% due 03/01/2008 400 387 Frontiervision L.P. 11.000% due 10/15/2006 2,000 2,005 Garden State Newspapers 8.750% due 10/01/2009 3,955 3,698 8.630% due 07/01/2011 3,900 3,656 Georgia Gulf Corp. 7.630% due 11/15/2005 1,250 1,217 Global Crossing Ltd. 6.000% due 10/15/2013 12,385 11,442 Golden Northwest Aluminum 12.000% due 12/15/2006 2,850 2,814 Gulf Canada Resources Ltd. 9.250% due 01/15/2004 10,975 11,151 9.630% due 07/01/2005 2,830 2,904 8.380% due 11/15/2005 4,000 4,020 Harrahs Operating Co., Inc. 7.880% due 12/15/2005 6,600 6,369 7.500% due 01/15/2009 20,675 19,507 HMH Properties, Inc. 7.880% due 08/01/2005 32,120 30,434 Hollinger International Publishing 8.630% due 03/15/2005 250 249 9.250% due 02/01/2006 4,600 4,629 9.250% due 03/15/2007 680 687 Holmes Products Corp. 9.880% due 11/15/2007 950 565 Horseshoe Gaming Holding 8.630% due 05/15/2009 17,750 17,484 HS Resources, Inc. 9.880% due 12/01/2003 3,650 3,687 9.250% due 11/15/2006 5,250 5,276 Huntsman Corp. 9.500% due 07/01/2007 12,700 10,223 Huntsman ICI Chemicals LLC 10.130% due 07/01/2009 5,400 5,326 Huntsman Polymers Corp. 11.750% due 12/01/2004 4,600 4,669 Impsat Corp. 12.380% due 06/15/2008 8,900 6,964 Intermedia Communications, Inc. 0.000% due 05/15/2006 (c) 25,535 24,386 International Game Technology 7.880% due 05/15/2004 14,800 14,541 8.380% due 05/15/2009 14,100 13,853 Isle of Capri Casinos, Inc. 8.750% due 04/15/2009 500 468 ISP Holdings, Inc. 9.750% due 02/15/2002 4,750 4,274 9.000% due 10/15/2003 24,570 23,587 ITT Corp. 6.250% due 11/15/2000 1,500 1,497 John Q. Hammons Hotels 8.880% due 02/15/2004 2,550 2,384 9.750% due 10/01/2005 200 191 Jones Intercable, Inc. 8.880% due 04/01/2007 5,060 5,309 Jupiters Ltd. 8.500% due 03/01/2006 12,800 12,352 K Mart Corp. 8.130% due 12/16/2003 300 281 12.350% due 01/01/2008 3,920 3,974 8.800% due 07/01/2010 1,144 1,078 9.350% due 01/02/2020 12,936 11,504 9.780% due 01/05/2020 9,575 7,828 Keebler Corp. 10.750% due 07/01/2006 6,000 6,354 KPNQWest BV 8.130% due 06/01/2009 27,600 25,530 L-3 Communications Corp. 10.380% due 05/01/2007 6,450 6,627 8.500% due 05/15/2008 400 374 Lear Corp. 8.250% due 02/01/2002 6,410 6,378 7.960% due 05/15/2005 3,125 2,979 Lenfest Communications 8.380% due 11/01/2005 10,650 11,179 10.500% due 06/15/2006 525 594 Level 3 Communications, Inc. 11.000% due 03/15/2008 5,500 5,280 9.130% due 05/01/2008 31,450 27,204 11.250% due 03/15/2010 1,000 960 Levi Strauss & Co. 6.800% due 11/01/2003 25,350 21,547 Leviathan Gas Corp. 10.380% due 06/01/2009 3,325 3,525 Lin Television Corp. 8.380% due 03/01/2008 9,300 8,882 Lyondell Chemical Co. 9.630% due 05/01/2007 15,435 15,107 Mail-Well Corp. 8.750% due 12/15/2008 20,930 18,314 42 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Mandalay Resort Group 6.750% due 07/15/2003 $ 19,750 $ 18,565 9.250% due 12/01/2005 6,100 6,070 6.450% due 02/01/2006 100 88 10.250% due 08/01/2007 250 258 9.500% due 08/01/2008 500 513 Mark IV Industries, Inc. 7.500% due 09/01/2007 6,730 5,260 Market Hub Partners 8.250% due 03/01/2008 11,580 11,783 Marsh Supermarkets, Inc. 8.880% due 08/01/2007 9,500 8,978 McLeodUSA, Inc. 0.000% due 03/01/2007 (c) 43,525 35,908 8.380% due 03/15/2008 5,100 4,487 9.500% due 11/01/2008 13,625 12,808 8.130% due 02/15/2009 4,837 4,196 Metromedia Fiber Network, Inc. 10.000% due 11/15/2008 14,645 13,766 10.000% due 12/15/2009 15,100 14,194 Metronet Communications 0.000% due 06/15/2008 (c) 16,475 13,460 MGM Grand, Inc. 6.950% due 02/01/2005 30,420 29,244 Mirage Resorts, Inc. 6.630% due 02/01/2005 3,500 3,328 7.250% due 10/15/2006 2,670 2,551 Newpark Resources, Inc. 8.630% due 12/15/2007 4,050 3,827 Nextel Communications, Inc. 9.380% due 11/15/2009 46,700 45,766 Nextel Partners, Inc. 0.000% due 02/01/2009 (c) 11,538 8,163 11.000% due 03/15/2010 200 202 Nextlink Communications, Inc. 9.630% due 10/01/2007 9,000 8,168 10.750% due 06/01/2009 2,425 2,255 10.500% due 12/01/2009 10,000 9,200 NL Industries, Inc. 11.750% due 10/15/2003 1,950 1,989 Nortek, Inc. 9.130% due 09/01/2007 500 475 8.880% due 08/01/2008 750 694 NTL, Inc. 12.750% due 04/15/2005 (c) 700 707 0.000% due 02/01/2006 (c) 20,600 19,570 11.500% due 10/01/2008 7,400 7,178 Octel Developments PLC 10.000% due 05/01/2006 900 851 Orion Network Systems, Inc. 0.000% due 01/15/2007 (c) 13,800 4,761 11.250% due 01/15/2007 14,625 7,678 Owens-Illinois, Inc. 7.850% due 05/15/2004 2,650 2,381 P&L Coal Holdings 8.880% due 05/15/2008 19,050 18,907 Packaging Corp. of America 9.630% due 04/01/2009 3,125 3,180 Park Place Entertainment Corp. 8.880% due 09/15/2008 6,000 5,993 Perry-Judd 10.630% due 12/15/2007 2,320 2,076 Petroleos Mexicanos 9.380% due 12/02/2008 8,000 8,240 PharMerica, Inc. 8.380% due 04/01/2008 15,650 11,503 Phar-Mor, Inc. 11.720% due 09/11/2002 5,905 3,757 Physician Sales and Service, Inc. 8.500% due 10/01/2007 9,250 8,371 Piedmont Aviation, Inc. 10.250% due 03/28/2005 571 559 9.900% due 11/08/2006 716 686 Pioneer National Resources 8.880% due 04/15/2005 20,100 20,573 8.250% due 08/15/2007 6,500 6,368 6.500% due 01/15/2008 6,950 6,157 Polymer Group, Inc. 9.000% due 07/01/2007 11,178 8,663 8.750% due 03/01/2008 10,950 8,705 Price Communications Wireless, Inc. 9.130% due 12/15/2006 8,075 8,196 Pride International, Inc. 9.380% due 05/01/2007 3,100 3,170 Primedia, Inc. 10.250% due 06/01/2004 4,000 4,020 8.500% due 02/01/2006 10,740 10,257 7.630% due 04/01/2008 8,250 7,508 R & B Falcon Corp. 6.500% due 04/15/2003 7,500 7,163 9.250% due 04/15/2005 4,525 4,248 R.H. Donnelly, Inc. 9.130% due 06/01/2008 6,725 6,624 Racers 8.380% due 10/01/2007 21,606 19,952 Renaissance Media Group 0.000% due 04/15/2008 (c) 21,250 14,981 Rogers Cablesystems Ltd. 10.000% due 03/15/2005 4,000 4,250 Rogers Cantel, Inc. 8.300% due 10/01/2007 4,316 4,294 8.800% due 10/01/2007 1,350 1,360 9.380% due 06/01/2008 23,550 24,492 Rural Cellular Corp. 9.630% due 05/15/2008 12,300 11,808 Safety-Kleen Services 9.250% due 06/01/2008 (e) 28,475 1,032 9.250% due 05/15/2009 (e) 14,000 508 Salem Communications 9.500% due 10/01/2007 1,400 1,379 Satelites Mexicanos 11.280% due 06/30/2004 (d) 7,875 5,473 SC International Services, Inc. 9.250% due 09/01/2007 19,450 19,061 Scotia Pacific Co. LLC 7.710% due 01/20/2014 (d) 180 118 Sequa Corp. 9.000% due 08/01/2009 7,550 7,456 Silgan Holdings, Inc. 9.000% due 06/01/2009 14,525 13,254 Smithfield Foods 7.630% due 02/15/2008 2,215 1,999 Smith's Food & Drug Centers, Inc. 8.640% due 07/02/2012 299 316 Station Casinos, Inc. 10.130% due 03/15/2006 2,000 2,010 9.750% due 04/15/2007 6,850 6,867 8.880% due 12/01/2008 800 775 9.880% due 07/01/2010 1,000 1,008 Sterling Chemicals, Inc. 12.380% due 07/15/2006 10,740 10,901 Stone Container Corp. 10.750% due 10/01/2002 12,346 12,577 11.500% due 10/01/2004 2,000 2,065 11.500% due 08/15/2006 4,850 5,020 TeleCorp PCS, Inc. 10.630% due 07/15/2010 1,125 1,142 Telewest Communications PLC 9.630% due 10/01/2006 11,250 10,519 0.000% due 10/01/2007 (c)(d) 10,949 10,538 11.250% due 11/01/2008 1,000 975 9.250% due 04/15/2009 (c) 19,330 10,390 9.880% due 02/01/2010 7,750 7,130 Tenet Healthcare Corp. 7.880% due 01/15/2003 1,000 998 8.630% due 12/01/2003 1,500 1,511 8.000% due 01/15/2005 7,095 7,033 8.630% due 01/15/2007 3,500 3,483 7.630% due 06/01/2008 20,090 19,111 See accompanying notes 43 Schedule of Investments (Cont.) High Yield Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Terra Industries 10.500% due 06/15/2005 $ 2,000 $ 1,265 TFM SA de CV 0.000% due 06/15/2009 (c) 8,250 6,249 Triad Hospitals, Inc. 11.000% due 05/15/2009 2,095 2,158 U.S. Air, Inc. 9.630% due 09/01/2003 16,403 15,924 9.330% due 01/01/2006 4,510 4,200 United Defense Industries, Inc. 8.750% due 11/15/2007 1,000 943 United Pan-Europe Communications NV 10.880% due 11/01/2007 11,500 10,062 0.000% due 02/01/2009 (c) 7,990 4,674 10.880% due 08/01/2009 13,800 11,799 Vectura Group, Inc. 10.250% due 06/30/2008 275 235 Vintage Petroleum, Inc. 9.000% due 12/15/2005 9,840 9,988 9.750% due 06/30/2009 6,350 6,636 Voicestream Wireless Holding Corp. 10.380% due 11/15/2009 4,000 4,340 Waste Management, Inc. 7.000% due 05/15/2005 650 618 Western Gas Resources, Inc. 10.000% due 06/15/2009 7,100 7,455 Westinghouse Air Brake 9.380% due 06/15/2005 3,685 3,574 Westpoint Stevens, Inc. 7.880% due 06/15/2008 3,220 2,415 Williams Communications Group, Inc. 7.180% due 11/15/2001 (d) 6,100 6,104 10.700% due 10/01/2007 4,500 4,219 10.880% due 10/01/2009 5,750 5,290 World Color Press, Inc. 8.380% due 11/15/2008 650 633 7.750% due 02/15/2009 1,750 1,634 Worldwide Fiber, Inc. 12.000% due 08/01/2009 7,250 6,489 Young Broadcasting, Inc. 9.000% due 01/15/2006 18,625 17,973 8.750% due 06/15/2007 160 152 ------------- 1,841,222 ============= Utilities 7.4% AES Corp. 10.250% due 07/15/2006 2,661 2,734 8.500% due 11/01/2007 7,800 7,488 9.500% due 06/01/2009 6,585 6,733 Alestra SA 12.130% due 05/15/2006 12,100 11,767 AT&T Corp. 10.630% due 11/01/2008 9,600 10,672 Azurix Corporation 10.380% due 02/15/2007 16,600 15,687 Calpine Corp. 9.250% due 02/01/2004 13,000 13,017 15.000% due 03/15/2004 10,000 10,759 7.630% due 04/15/2006 4,500 4,389 8.750% due 07/15/2007 24,250 24,414 7.880% due 04/01/2008 7,287 7,012 7.750% due 04/15/2009 1,000 953 Carolina Power & Light Co. 7.230% due 07/29/2002 (d) 2,900 2,911 CMS Energy 8.130% due 05/15/2002 4,537 4,506 6.750% due 01/15/2004 750 704 7.000% due 01/15/2005 10,000 9,212 Flag Ltd. 8.250% due 01/30/2008 27,375 24,227 ITC Deltacom, Inc. 11.000% due 06/01/2007 5,385 4,873 8.880% due 03/01/2008 13,300 10,840 Mastec, Inc. 7.750% due 02/01/2008 7,250 6,924 North Atlantic Energy 9.050% due 06/01/2002 9 9 Philippine Long Distance Telephone Co. 10.500% due 04/15/2009 11,150 10,069 Qwest Communications International, Inc. 0.000% due 10/15/2007 (c) 13,040 11,424 0.000% due 02/01/2008 (c) 10,550 8,689 7.500% due 11/01/2008 7,500 7,481 Telekomunikacja Polska SA 7.750% due 12/10/2008 80 77 Wilmington Trust Co. - Tucson Electric 10.210% due 01/01/2009 (b) 500 500 10.730% due 01/01/2013 (b) 8,866 9,359 ------------- 227,430 ------------- Total Corporate Bonds & Notes 2,317,522 (Cost $2,532,215) ============= -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 2.3% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 1.8% Asset Securitization Corp. 7.380% due 08/13/2029 1,500 1,438 Federal Deposit Insurance Corp. 7.860% due 11/25/2026 (d) 400 400 LTC Commercial Corp. 7.970% due 04/15/2028 5,062 4,734 Red Mountain Funding Corp. 9.150% due 11/28/2027 5,727 3,901 Resolution Trust Corp. 6.900% due 02/25/2027 5,428 5,004 7.000% due 05/25/2027 5,734 5,641 Sasco Floating Rate Commercial Mortgage 7.170% due 04/25/2003 (d) 29,800 29,220 Structured Asset Securities Corp. 7.050% due 11/25/2007 4,000 3,837 ------------- 54,175 ============= Other Mortgage-Backed Securities 0.5% LTC Commercial Corp. 9.200% due 08/04/2012 3,235 3,300 NationsBanc Mortgage Capital Corp. 8.040% due 05/25/2028 (d) 3,835 2,732 Nationslink Funding Corp. 7.110% due 01/20/2013 10,500 8,150 ------------- 14,182 ============= Stripped Mortgage-Backed Securities 0.0% Federal National Mortgage Association (IO) 7.000% due 07/25/2008 2,190 278 6.500% due 06/25/2017 351 6 7.000% due 04/25/2019 10,367 640 7.000% due 12/25/2021 3,129 416 Fund America (IO) 9.590% due 10/20/2021 6 57 ------------- 1,397 ------------- Total Mortgage-Backed Securities 69,754 (Cost $70,505) ============= -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 6.3% -------------------------------------------------------------------------------- Airplanes Pass Through Trust 10.880% due 03/15/2019 28,515 23,211 Airtrust 6.340% due 06/01/2013 12,942 5,039 AM-FM, Inc. 12.750% due 02/01/2009 (c) 5,550 5,321 Bergen Brunswig Term Loan A 9.120% due 03/31/2005 1,141 1,138 9.190% due 03/31/2005 106 106 9.220% due 03/31/2005 3,423 3,415 9.330% due 03/31/2005 1,141 1,138 Charter Commercial Holdings LLC 9.240% due 03/31/2008 5,000 4,994 Columbia/HCA Healthcare 8.380% due 09/15/2001 7,500 7,444 44 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Conseco Finance 9.300% due 10/15/2030 $ 10,000 $ 10,344 Crown Castle 9.370% due 03/31/2008 3,000 3,010 Global Crossing Ltd. 9.440% due 08/15/2006 3,000 3,020 Green Tree Financial Corp. 8.000% due 07/15/2018 7,000 5,843 Huntsman Corp. 9.750% due 12/31/2005 3,000 2,976 Impress Metal Term Loan G 9.940% due 12/01/2006 2,500 2,520 Jefferson Smurfit 9.940% due 03/31/2006 1,512 1,516 Levi Strauss & Co. Term Loan 9.940% due 02/01/2002 282 277 9.890% due 02/01/2002 960 941 9.930% due 02/01/2002 3,562 3,491 McLeodUSA Loan Term B 9.620% due 05/26/2008 5,000 5,011 Morgan Stanley Aircraft Finance 8.700% due 03/15/2023 22,300 19,683 Primedia, Inc. 9.000% due 07/31/2004 5,000 4,991 Starwood Hotels & Resorts 9.370% due 02/23/2003 8,501 8,518 Stone Container Corp. 10.190% due 10/01/2003 11,204 11,242 10.190% due 10/01/2005 4,759 4,762 9.940% due 10/01/2005 4,377 4,389 Total Renal Care Revolver 9.880% due 03/31/2003 960 909 10.000% due 03/31/2003 4,506 4,393 10.130% due 03/31/2003 133 126 9.880% due 03/31/2003 1,697 1,607 Total Renal Care Term Loan A 9.880% due 03/31/2003 1,017 1,001 Triad Hospitals, Inc. 10.620% due 11/11/2005 (d) 6,882 6,917 Voicestream Term Loan A 9.410% due 12/31/2007 5,000 4,989 Voicestream Term Loan B 9.660% due 02/15/2009 7,500 7,482 Voicestream Vendor Facility 9.660% due 06/30/2009 21,000 20,843 ------------- Total Asset-Backed Securities 192,607 (Cost $202,066) ============= -------------------------------------------------------------------------------- SOVEREIGN ISSUES 0.8% -------------------------------------------------------------------------------- Republic of Brazil 7.380% due 04/15/2006 (d) 4,650 4,377 United Mexican States 8.500% due 02/01/2006 10,000 10,005 9.880% due 02/01/2010 10,000 10,655 ------------- Total Sovereign Issues 25,037 (Cost $24,295) ============= -------------------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 1.8% -------------------------------------------------------------------------------- Health Care 0.6% Tenet Healthcare Corp. 6.000% due 12/01/2005 3,250 2,714 Total Renal Care Holdings 7.000% due 05/15/2009 20,100 14,371 ------------- 17,085 ============= Industrial 1.2% Aes Drox Energy Ltd. 11.500% due 08/30/2010 3,000 3,188 Hercules Trust VI 9.230% due 12/29/2000 (d) 25,550 25,543 Hilton Hotels Corp. 5.000% due 05/15/2006 1,000 844 Pride International, Inc. 0.000% due 04/24/2018 11,750 5,523 Waste Management, Inc. 4.000% due 02/01/2002 (d) 2,500 2,334 ------------- 37,432 ------------- Total Convertible Bonds & Notes 54,517 (Cost $54,816) ============= -------------------------------------------------------------------------------- PREFERRED STOCK 3.0% -------------------------------------------------------------------------------- Shares CSC Holdings, Inc. 11.125% due 04/01/2008 199,314 21,177 Fresenius Medical Care 9.000% due 12/01/2006 29,995 29,920 7.875% due 02/01/2008 29,900 28,330 Newscorp Overseas Ltd. 8.625% due 12/31/2049 133,200 3,097 Primedia, Inc. 9.200% due 11/01/2009 70,000 6,248 8.625% due 04/01/2010 50,000 4,213 ------------- Total Preferred Stock 92,985 (Cost $98,374) ============= -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 9.3% -------------------------------------------------------------------------------- Principal Amount (000s) Commercial Paper 9.2% American Electric Power, Inc. 6.700% due 11/01/2000 $ 5,300 5,270 Anz, Inc. 6.520% due 11/03/2000 1,500 1,491 6.480% due 11/07/2000 7,900 7,849 6.480% due 11/28/2000 4,200 4,153 AT&T Corp. 6.510% due 11/08/2000 25,600 25,428 6.530% due 11/15/2000 7,800 7,738 6.470% due 12/13/2000 2,100 2,072 6.510% due 12/13/2000 6,300 6,212 Bank One Corp. 6.500% due 11/15/2000 7,200 7,143 Bell Atlantic Financial Services 6.530% due 11/01/2000 6,300 6,266 Bellsouth Capital Funding 6.490% due 12/06/2000 11,700 11,549 CDC 6.530% due 10/18/2000 600 598 Cox Communications 6.730% due 11/06/2000 24,000 23,843 CSX Corp. 6.700% due 10/10/2000 13,500 13,480 Dominion Resources, Inc. 6.710% due 11/16/2000 4,400 4,363 Edison Midwest 6.720% due 11/01/2000 2,400 2,387 6.700% due 11/08/2000 5,000 4,966 6.730% due 11/15/2000 3,100 3,075 Federal Home Loan Bank 6.440% due 10/11/2000 2,800 2,795 Ford Motor Credit Corp. 6.550% due 10/18/2000 400 399 General Electric Capital Corp. 6.520% due 10/25/2000 1,300 1,295 6.470% due 12/14/2000 7,400 7,295 6.510% due 01/24/2001 500 489 Gillette Co. 6.460% due 12/12/2000 3,600 3,550 Houston Industries 6.800% due 11/08/2000 6,300 6,256 See accompanying notes 45 Schedule of Investments (Cont.) High Yield Fund September 30, 2000 (Unaudited) Value Shares (000s) -------------------------------------------------------------------------------- Infinity Broadcasting Corp. 6.700% due 11/15/2000 $ 1,100 $ 1,091 6.700% due 11/16/2000 5,600 5,553 6.700% due 11/17/2000 25,400 25,182 6.710% due 11/21/2000 6,100 6,043 Ingersoll-Rand Co. 6.700% due 11/15/2000 14,600 14,480 International Paper Co. 6.700% due 10/10/2000 4,600 4,593 6.720% due 11/17/2000 4,200 4,164 Nabisco, Inc. 6.700% due 10/18/2000 9,600 9,572 SBC Communications, Inc. 6.460% due 12/06/2000 2,200 2,173 Swedbank, Inc. 6.510% due 01/19/2001 17,900 17,532 Texas Utilities Co. 6.700% due 10/18/2000 7,300 7,278 Verizon Global Funding 6.460% due 12/07/2000 9,600 9,476 6.470% due 12/14/2000 3,300 3,252 Yorkshire Building Society 6.460% due 12/21/2000 12,300 12,109 ------------- 282,460 ============= Repurchase Agreements 0.1% State Street Bank 5.850% due 10/02/2000 2,762 2,762 (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 6.100% due 08/10/2001 valued at $2,822. Repurchase proceeds are $2,763.) ------------- Total Short-Term Instruments 285,222 (Cost $285,306) ============= Total Investments (a) 99.3% $ 3,037,644 (Cost $3,267,577) Other Assets and Liabilities (Net) 0.7% 21,880 ------------- Net Assets 100.0% $ 3,059,524 ============= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 21,883 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (251,816) ------------- Unrealized depreciation-net $ (229,933) ============= (b) Restricted security. (c) Security becomes interest bearing at a future date. (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Security is in default. 46 See accompanying notes Schedule of Investments Low Duration Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 59.3% -------------------------------------------------------------------------------- Banking & Finance 34.9% American General Finance 6.880% due 12/14/2001 $ 25,000 $ 25,021 Aristar, Inc. 7.380% due 09/01/2004 19,000 18,984 Associates Corp. of North America 6.700% due 05/29/2001 400 400 6.780% due 08/27/2001 (d) 1,000 1,003 6.880% due 06/20/2002 20,000 19,896 6.950% due 08/01/2002 1,000 1,003 AT&T Capital Corp. 7.500% due 11/15/2000 6,200 6,205 7.010% due 04/23/2002 (d) 10,000 10,028 Banc One Corp. 7.250% due 08/01/2002 500 503 Banco Latinoamericano SA 6.750% due 03/01/2001 1,300 1,298 Banco Nacional de Comercio Exterior 7.250% due 02/02/2004 1,800 1,742 Bank of America Corp. 7.200% due 09/15/2002 100 101 7.880% due 12/01/2002 100 102 6.630% due 06/15/2004 1,000 991 Bear Stearns Co., Inc. 6.170% due 06/28/2001 (d) 2,000 2,010 7.010% due 12/16/2002 (d) 21,000 21,024 6.130% due 02/01/2003 3,000 2,941 7.130% due 03/28/2003 (d) 8,600 8,600 6.200% due 03/30/2003 9,700 9,513 7.100% due 06/01/2004 (d) 3,000 3,021 Beaver Valley Funding Corp. 8.250% due 06/01/2003 3,311 3,280 Beneficial Corp. 6.770% due 01/09/2002 (d) 10,000 10,048 6.650% due 09/12/2002 5,000 4,965 6.580% due 12/16/2002 5,440 5,385 Bombardier Capital, Inc. 6.000% due 01/15/2002 10,000 9,840 7.500% due 08/15/2004 1,000 1,007 Capital One Bank 6.280% due 02/20/2001 6,500 6,474 7.000% due 04/30/2001 300 300 7.610% due 06/23/2003 (d) 100 100 Case Credit Corp. 5.910% due 02/19/2001 4,000 3,982 5.850% due 02/20/2001 (d) 63,000 62,693 5.930% due 02/26/2001 5,000 4,976 6.900% due 08/01/2001 (d) 4,750 4,757 Caterpillar Financial Services Corp. 6.930% due 11/04/2002 (d) 25,000 25,017 6.910% due 12/27/2002 (d) 25,000 24,990 6.880% due 08/01/2004 2,000 1,980 Chase Manhattan Corp. 6.530% due 10/13/2000 (d) 7,500 7,500 5.500% due 02/15/2001 1,000 995 Chrysler Financial Co. LLC 5.850% due 01/26/2001 5,000 4,987 6.760% due 08/08/2002 (d) 8,000 8,011 CIT Group, Inc. 6.200% due 10/20/2000 17,300 17,296 6.810% due 09/13/2002 (d) 19,400 19,400 Credit Asset Receivable 6.270% due 10/31/2003 34,267 33,813 Export-Import Bank Korea 6.500% due 02/10/2002 7,500 7,399 6.500% due 11/15/2006 6,700 6,525 7.100% due 03/15/2007 6,700 6,657 Finova Capital Corp. 6.270% due 09/29/2000 2,700 2,700 6.910% due 06/18/2003 (d) 6,000 5,250 First Union Corp. 7.550% due 08/18/2005 42,800 43,353 Ford Motor Credit Corp. 6.810% due 03/19/2002 (d) 18,857 18,938 6.990% due 07/16/2002 (d) 100 100 6.520% due 08/12/2002 13,000 12,905 6.000% due 01/14/2003 15,000 14,677 6.850% due 03/17/2003 (d) 3,000 2,996 6.130% due 04/28/2003 14,000 13,698 6.960% due 04/26/2004 (d) 19,000 18,974 General Motors Acceptance Corp. 7.130% due 05/01/2001 15,000 15,022 6.680% due 09/19/2001 (d) 5,000 5,009 6.760% due 12/10/2001 (d) 7,400 7,401 6.840% due 04/29/2002 (d) 2,000 2,006 6.880% due 11/12/2002 (d) 63,520 63,596 6.780% due 11/12/2002 (d) 17,400 17,397 5.880% due 01/22/2003 500 489 7.400% due 07/20/2003 (d) 14,366 14,353 7.020% due 04/05/2004 (d) 700 699 6.850% due 06/17/2004 1,000 991 Gold Eagle Capital Ltd. 9.000% due 04/15/2001 20,000 19,976 Goldman Sachs Group 6.200% due 12/15/2000 1,000 998 7.630% due 08/17/2005 20,800 21,237 Great Western Financial 8.600% due 02/01/2002 4,000 4,068 Heller Financial, Inc. 6.970% due 04/28/2003 (d) 20,000 19,914 Hitachi Credit America 6.100% due 04/24/2001 25,000 24,891 Household Finance Corp. 6.490% due 04/09/2001 20,000 19,972 7.630% due 01/15/2003 10,849 10,987 6.130% due 02/27/2003 1,500 1,463 6.920% due 06/24/2003 (d) 1,500 1,501 6.130% due 07/15/2012 10,000 9,859 Industrial Bank of Korea 8.380% due 09/30/2002 5,000 5,030 Key Bank NA 6.050% due 04/24/2003 12,900 12,571 Korea Development Bank 7.130% due 09/17/2001 28,963 28,923 7.900% due 02/01/2002 6,100 6,115 7.630% due 10/01/2002 19,500 19,516 6.500% due 11/15/2002 5,898 5,775 8.290% due 06/16/2003 (d) 3,500 3,430 6.630% due 11/21/2003 20,300 19,766 7.130% due 04/22/2004 11,800 11,581 7.380% due 09/17/2004 1,200 1,183 Lehman Brothers Holdings, Inc. 6.630% due 11/15/2000 825 825 7.680% due 04/02/2002 (d) 2,000 2,018 6.380% due 05/07/2002 28,345 28,133 7.410% due 05/07/2002 (d) 5,000 5,031 6.610% due 07/08/2002 (d) 1,500 1,501 7.210% due 12/12/2002 (d) 1,500 1,507 7.170% due 04/04/2003 (d) 7,900 7,902 7.000% due 05/15/2003 3,600 3,590 Marsh & McLennan Co., Inc. 6.630% due 06/15/2004 1,000 984 MBNA America Bank NA 6.000% due 12/26/2000 5,000 4,992 6.880% due 07/15/2004 1,900 1,862 Merrill Lynch & Co. 6.230% due 09/30/2000 (d) 8,558 8,558 6.000% due 01/15/2001 (d) 1,336 1,332 7.280% due 11/26/2001 (d) 115,000 115,671 6.830% due 01/15/2002 (d) 5,000 4,998 7.090% due 02/08/2002 (d) 25,000 25,090 6.920% due 02/04/2003 (d) 23,000 22,988 6.130% due 04/07/2003 7,770 7,640 See accompanying notes 47 Schedule of Investments (Cont.) Low Duration Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Metropolitan Life Insurance Co. 6.300% due 11/01/2003 $ 17,850 $ 17,450 Mexico Credit Link 11.380% due 02/22/2002 (d) 5,000 5,214 Morgan Stanley, Dean Witter, Discover and Co. 6.850% due 03/11/2003 (d) 5,000 4,993 Nacional Financiera 8.570% due 05/08/2003 (d) 2,000 2,011 Pemex Finance Ltd. 6.130% due 11/15/2003 13,000 12,770 PNC Bank Corp. 6.720% due 01/24/2002 (d) 20,000 20,013 Popular North American, Inc. 6.880% due 06/15/2001 5,000 5,003 7.380% due 09/15/2001 20,000 20,096 Popular, Inc. 6.200% due 04/30/2001 1,000 997 Prudential Funding Corp. 6.420% due 10/02/2000 (d) 5,000 5,001 Rothmans Holdings 6.500% due 05/06/2003 14,000 13,588 Salomon, Inc. 7.500% due 02/01/2003 3,000 3,038 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 1,088 1,075 6.860% due 05/14/2002 (d) 25,150 25,149 7.020% due 07/23/2002 (d) 5,100 5,092 Security Pacific Corp. 11.500% due 11/15/2000 3,850 3,868 Seismic Ltd. 11.270% due 01/01/2002 (d) 10,000 10,000 Shopping Center Associates 6.750% due 01/15/2004 11,725 11,469 Spieker Properties 6.650% due 12/15/2000 5,070 5,062 6.800% due 05/01/2004 2,000 1,955 Toyota Motor Credit Corp. 7.320% due 02/15/2002 (d) 11,600 11,403 Transamerica Finance Corp. 6.130% due 11/01/2001 5,000 4,958 5.920% due 03/29/2002 52,050 51,351 Travelers Group, Inc. 7.250% due 05/01/2001 3,700 3,704 7.300% due 05/15/2002 15,000 15,082 Wachovia Corp. 7.260% due 05/02/2005 (d) 8,000 7,992 Wells Fargo & Co. 6.630% due 07/15/2004 1,000 991 7.220% due 05/02/2005 (d) 32,700 32,689 ------------- 1,472,709 ============= Industrials 14.5% Abitibi-Consolidated, Inc. 8.300% due 08/01/2005 20,000 20,473 Allied Waste Industries, Inc. 7.380% due 01/01/2004 5,000 4,675 AMR Corp. 9.910% due 03/01/2001 2,500 2,525 9.130% due 10/24/2001 4,250 4,321 Atlas Air, Inc. 8.010% due 01/02/2010 10,817 10,517 Boise Cascade Co. 9.850% due 06/15/2002 3,000 3,065 Burlington North Santa Fe 6.050% due 03/15/2031 2,000 1,985 Caterpillar, Inc. 9.750% due 06/01/2019 13,766 14,415 Cemex SA 8.630% due 07/18/2003 10,000 10,125 Century Communications Corp. 0.000% due 03/15/2003 5,250 4,016 Coastal Corp. 7.290% due 03/01/2002 (d) 32,200 32,200 Columbia/HCA Healthcare 6.130% due 12/15/2000 200 199 8.130% due 08/04/2003 5,000 4,957 6.630% due 07/15/2045 7,000 6,823 Conoco, Inc. 5.900% due 04/15/2004 3,100 3,003 Cox Enterprises, Inc. 6.630% due 06/14/2002 3,000 2,969 7.610% due 05/01/2033 (d) 2,000 1,999 Crown Cork & Seal Co. 7.130% due 09/01/2002 33,000 31,313 Crown Cork & Seal Finance PLC 6.750% due 12/15/2003 7,000 6,373 DaimlerChrysler Holdings 6.900% due 09/01/2004 1,000 997 Delta Air Lines, Inc. 9.800% due 12/16/2000 250 251 8.500% due 09/15/2001 205 207 6.650% due 03/15/2004 2,925 2,775 Eastman Chemical Co. 6.380% due 01/15/2004 250 241 Electric Lightwave, Inc. 6.050% due 05/15/2004 3,000 2,922 EZ Communication, Inc. 9.750% due 12/01/2005 5,000 5,254 Federal-Mogul Corp. 7.500% due 07/01/2004 28,600 12,155 Ford Motor Co. 9.000% due 09/15/2001 500 507 Fred Meyer, Inc. 7.150% due 03/01/2003 13,500 13,411 Global Crossing Ltd. 6.000% due 10/15/2013 7,500 6,929 HMH Properties, Inc. 7.880% due 08/01/2005 5,000 4,738 IMEXSA Export Trust 10.130% due 05/31/2003 7,740 7,713 International Game Technology 7.880% due 05/15/2004 500 491 ISP Holdings, Inc. 9.750% due 02/15/2002 3,000 2,700 Kroger Co. 6.340% due 06/01/2001 5,000 4,982 Lockheed Martin Corp. 6.850% due 05/15/2001 7,300 7,274 Mallinckrodt, Inc. 6.300% due 03/15/2011 (d) 650 647 Nabisco, Inc. 6.000% due 02/15/2001 (d) 21,000 20,842 6.700% due 06/15/2002 21,100 20,657 Occidental Petroleum 6.400% due 04/01/2003 15,945 15,553 Park Place Entertainment Corp. 7.950% due 08/01/2003 15,955 15,975 Petroleos Mexicanos 8.130% due 07/15/2005 (d) 15,873 15,912 9.380% due 12/02/2008 5,500 5,665 Philip Morris Cos., Inc. 9.000% due 01/01/2001 7,000 7,017 7.500% due 01/15/2002 200 199 7.250% due 01/15/2003 4,050 4,003 6.950% due 06/01/2006 25,000 24,883 Philips Petroleum Co. 8.500% due 05/25/2005 2,000 2,114 R & B Falcon Corp. 6.500% due 04/15/2003 11,000 10,546 Rollins Truck Leasing Co. 8.000% due 02/15/2003 3,000 3,020 Starwood Hotels & Resorts 6.750% due 11/15/2005 2,000 1,881 Stone Container Corp. 10.750% due 10/01/2002 11,080 11,288 Supervalu, Inc. 9.750% due 06/15/2004 10,500 11,068 48 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- TCI Communications, Inc. 7.360% due 03/11/2003 (d) $ 3,000 $ 3,060 Tenet Healthcare Corp. 7.880% due 01/15/2003 5,300 5,287 8.630% due 12/01/2003 9,700 9,774 Time Warner, Inc. 7.980% due 08/15/2004 1,200 1,234 TTX Co. 7.820% due 07/21/2003 61,000 62,077 Tyco International Group SA 6.880% due 09/05/2002 18,805 18,766 6.250% due 06/15/2003 5,100 4,964 Union Oil Co. of California 9.100% due 08/15/2001 3,350 3,407 Waste Management, Inc. 6.500% due 05/14/2004 45,000 42,423 Whitman Corp. 6.000% due 05/01/2004 6,500 6,299 Williams Communications Group, Inc. 7.180% due 11/15/2001 (d) 6,200 6,204 Yorkshire Power 6.150% due 02/25/2003 40,000 38,494 ------------- 612,759 ============= Utilities 9.9% Arizona Public Service 5.880% due 02/15/2004 3,600 3,439 Arkansas Power & Light 6.000% due 10/01/2003 450 432 AT&T Corp. 5.630% due 03/15/2004 415 397 Calpine Corp. 9.250% due 02/01/2004 2,960 2,964 7.630% due 04/15/2006 2,900 2,828 Cinergy Corp. 6.130% due 04/15/2004 13,000 12,317 Cleveland Electric Illuminating Co. 8.550% due 11/15/2001 2,075 2,106 7.850% due 07/30/2002 3,500 3,536 9.500% due 05/15/2005 2,000 2,048 CMS Energy 8.130% due 05/15/2002 5,000 4,966 7.630% due 11/15/2004 15,400 14,750 8.000% due 07/01/2011 5,000 4,957 Connecticut Light & Power Co. 7.880% due 06/01/2001 500 502 8.590% due 06/05/2003 10,000 9,869 Deutsche Telekom AG 7.750% due 06/15/2005 5,000 5,123 DTE Capital Corp. 8.350% due 11/15/2038 (d) 1,000 978 Entergy Louisiana, Inc. 8.500% due 06/01/2003 4,000 4,112 Entergy Mississippi 7.750% due 02/15/2003 35,000 35,346 GTE Corp. 8.880% due 01/15/2006 45,170 46,640 6.130% due 04/15/2012 4,300 4,249 Hughes Electric 7.560% due 10/23/2000 (d) 28,500 28,509 Illinois Power Co. 6.250% due 07/15/2002 10,000 9,862 6.000% due 09/15/2003 12,500 12,177 Louisiana Power & Light Co. 7.740% due 07/01/2002 3,308 3,308 Niagara Mohawk Power 7.000% due 10/01/2000 20,717 20,717 7.130% due 07/01/2001 1,512 1,513 7.250% due 10/01/2002 16,634 16,563 North Atlantic Energy 9.050% due 06/01/2002 2,678 2,705 Occidental Petroleum 6.240% due 11/24/2000 5,000 4,987 Ohio Edison Co. 8.630% due 09/15/2003 5,000 5,211 Public Service Enterprise Group, Inc. 7.040% due 11/22/2000 (d) 10,000 9,999 Qwest Capital Funding, Inc. 6.130% due 07/15/2002 5,250 5,169 Qwest Corp. 7.630% due 06/09/2003 25,000 25,320 Reliant Energy, Inc. 6.380% due 11/01/2003 2,000 1,960 Southwestern Bell Communication Capital Corp. 6.130% due 03/12/2001 2,000 1,993 Sprint Corp. 9.500% due 04/01/2003 5,800 6,087 Texas Utilities Co. 5.940% due 10/15/2001 13,155 12,982 9.700% due 02/28/2003 4,695 4,991 6.750% due 03/01/2003 925 919 6.750% due 04/01/2003 3,875 3,849 6.880% due 08/01/2005 2,000 1,964 Toledo Edison Co. 8.180% due 07/30/2002 2,500 2,542 U.S. West Communications, Inc. 5.650% due 11/01/2004 9,250 8,705 United Illuminating Co. 6.000% due 12/15/2003 13,000 12,550 Western Massachusetts Electric 7.750% due 12/01/2002 4,847 4,849 Western Resources, Inc. 6.250% due 08/15/2003 5,450 4,898 WorldCom, Inc. 6.130% due 08/15/2001 45,000 44,726 ------------- 420,614 ------------- Total Corporate Bonds & Notes 2,506,082 (Cost $2,526,932) ============= -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 0.8% -------------------------------------------------------------------------------- Federal Home Loan Bank 6.240% due 08/24/2001 210 209 6.250% due 11/15/2002 995 991 6.000% due 03/26/2004 10,000 9,774 Federal Home Loan Mortgage Corp. 5.750% due 06/15/2001 750 746 6.000% due 07/20/2001 970 966 6.250% due 10/15/2002 750 746 7.380% due 05/15/2003 5,000 5,105 Federal National Mortgage Association 5.630% due 03/15/2001 3,174 3,160 4.630% due 10/15/2001 535 525 6.500% due 09/05/2002 600 597 6.250% due 11/15/2002 606 603 7.130% due 01/15/2030 28 29 Small Business Administration 8.250% due 01/25/2013 (d) 255 259 8.250% due 02/25/2014 (d) 796 848 Student Loan Marketing Assn. 6.920% due 04/25/2006 (d) 7,893 7,863 ------------- Total U.S. Government Agencies 32,421 (Cost $32,139) ============= -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 9.7% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (i) 3.630% due 07/15/2002 (b)(j) 155,181 155,132 3.380% due 01/15/2007 (j) 38,184 36,931 3.630% due 01/15/2008 (j) 123,389 120,575 3.880% due 01/15/2009 98,818 98,015 U.S. Treasury Bonds 5.500% due 08/15/2028 100 93 U.S. Treasury Strips 0.000% due 02/15/2019 200 66 ------------- Total U.S. Treasury Obligations 410,812 (Cost $410,218) ============= See accompanying notes 49 Schedule of Investments (Cont.) Low Duration Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 41.8% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 15.4% Amortizing Residential Collateral Trust 6.880% due 09/25/2003 (d) $ 16,690 $ 16,690 Bayview Financial Revolving Mortgage 7.920% due 08/25/2029 (d) 6,900 6,785 Cendant Mortgage Corp. 6.500% due 01/18/2016 513 505 Chase Commercial Mortgage Securities Corp. 7.600% due 12/18/2005 156 159 Chase Mortgage Finance Corp. 10.000% due 11/25/2009 87 87 6.500% due 06/25/2013 6,229 6,161 6.320% due 04/25/2025 (d) 3,116 3,147 6.750% due 06/25/2028 11,250 10,810 6.350% due 07/25/2029 4,717 4,670 CMC Securities Corp. IV 7.250% due 10/25/2027 12,141 12,035 Collateralized Mortgage Obligation Trust 6.750% due 01/20/2003 (d) 4 4 Commercial Trust 6.670% due 12/15/2003 3,799 3,575 Countrywide Funding Corp. 6.250% due 01/25/2035 (d) 2,810 2,786 Countrywide Home Loans 6.250% due 07/25/2009 467 464 6.900% due 12/25/2027 18,168 17,481 Criimi Mae Financial Corp. 7.000% due 01/01/2033 8,469 8,358 CS First Boston Mortgage Securities Corp. 6.400% due 01/17/2035 132 131 Dime Savings 7.060% due 11/01/2018 (d) 1,340 1,210 DLJ Mortgage Acceptance Corp. 11.000% due 08/01/2019 697 758 8.670% due 05/25/2024 (d) 1,056 1,079 7.190% due 06/25/2026 (d) 9,473 9,369 6.850% due 12/17/2027 165 165 Enterprise Mortgage Acceptance Co. 6.110% due 01/15/2025 106 105 Federal Home Loan Mortgage Corp. 6.000% due 07/15/2006 1,585 1,574 6.500% due 08/15/2006 2,211 2,199 9.500% due 03/01/2010 23 24 6.500% due 08/15/2011 18,088 17,773 12.500% due 09/30/2013 544 580 9.500% due 08/01/2016 6 6 10.000% due 11/01/2016 18 19 9.500% due 06/01/2019 19 20 10.000% due 07/15/2019 232 244 9.000% due 11/15/2019 485 489 10.000% due 05/15/2020 166 174 9.500% due 07/01/2020 9 9 9.500% due 08/01/2020 28 29 7.500% due 12/15/2020 957 960 9.000% due 12/15/2020 2,821 2,906 9.500% due 01/15/2021 959 996 8.000% due 04/15/2021 1,146 1,168 9.000% due 05/15/2021 193 198 9.500% due 09/01/2021 33 34 7.500% due 01/20/2024 4,574 4,582 Federal National Mortgage Association 8.950% due 05/25/2003 21 22 9.400% due 07/25/2003 43 44 9.000% due 07/25/2003 176 177 6.880% due 06/25/2009 1,294 1,288 7.000% due 09/25/2016 10,368 10,314 8.750% due 05/25/2019 21 21 9.500% due 03/25/2020 3,671 4,000 9.500% due 05/25/2020 1,278 1,329 9.000% due 03/25/2021 3,151 3,243 9.000% due 04/25/2021 107 111 8.000% due 03/25/2022 29 29 5.000% due 01/25/2024 54 53 8.500% due 04/01/2025 2,854 2,934 6.890% due 02/01/2028 (d) 5,771 5,934 General Electric Capital Mortgage Services, Inc. 6.750% due 12/25/2012 2,629 2,610 6.500% due 02/25/2024 1 1 German American Capital Corp. 7.000% due 08/12/2010 6,800 6,685 Glendale Federal Savings & Loan 7.940% due 03/25/2030 (d) 949 941 Greenwich 9.480% due 11/25/2024 (d) 151 151 Impac Secured Assets CMN Owner Trust 8.000% due 07/25/2030 113,595 114,056 Independent National Mortgage Corp. 9.140% due 11/25/2024 (d) 48 48 J.P. Morgan Commercial Mortgage Finance Corp. 7.070% due 09/15/2029 185 185 6.370% due 01/15/2030 116 114 LB Commercial Conduit Mortgage Trust 6.330% due 11/18/2004 119 118 Mellon Residential Funding Corp. 6.400% due 06/25/2028 2,661 2,589 6.580% due 07/25/2029 (d) 17,411 17,193 Morgan Stanley Capital 7.230% due 01/16/2006 230 232 7.460% due 02/15/2020 8,100 8,234 6.860% due 08/15/2023 121 120 6.220% due 06/01/2030 209 205 Mortgage Capital Funding, Inc. 6.330% due 10/18/2007 21,345 20,895 Nomura Asset Securities Corp. 6.630% due 01/25/2009 463 460 Norwest Asset Securities Corp. 6.500% due 04/25/2028 1,415 1,374 6.500% due 01/25/2029 6,000 5,623 PNC Mortgage Securities Corp. 6.500% due 02/25/2028 5,847 5,808 6.750% due 05/25/2028 4,777 4,723 7.750% due 07/25/2030 60,352 60,239 Prudential Bache 6.710% due 09/01/2018 (d) 22 21 8.400% due 03/20/2021 3,319 3,400 Prudential Home Mortgage Securities 7.500% due 09/25/2007 824 829 7.000% due 01/25/2008 10,000 9,932 6.750% due 11/25/2008 4,941 4,790 7.000% due 06/25/2023 3,014 2,992 6.050% due 04/25/2024 113 112 6.000% due 05/25/2024 1 1 Resecuritization Mortgage Trust 6.870% due 04/26/2021 (d) 9,452 9,263 Residential Accredit Loans, Inc. 6.500% due 02/25/2029 24,140 23,197 7.000% due 07/25/2029 541 533 Residential Asset Securitization Trust 6.500% due 09/25/2014 441 427 Residential Funding Mortgage Securities, Inc. 6.500% due 06/25/2008 176 176 6.500% due 04/25/2009 22 22 5.880% due 07/01/2019 (d) 752 717 7.500% due 08/25/2023 497 498 7.100% due 07/25/2027 4,220 4,200 7.000% due 10/25/2027 10,000 9,451 7.250% due 10/25/2027 17,582 17,526 6.250% due 11/25/2028 6,000 5,432 Resolution Trust Corp. 8.630% due 10/25/2021 10,337 10,297 5.970% due 10/25/2021 435 412 6.940% due 10/25/2021 (d) 68 67 6.900% due 02/25/2027 3,338 3,077 9.000% due 09/25/2028 134 135 7.350% due 10/25/2028 (d) 87 86 50 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Ryland Mortgage Securities Corp. 7.040% due 11/25/2021 $ 664 $ 654 Salomon Brothers Mortgage Securities 11.500% due 09/01/2015 368 370 7.160% due 12/25/2017 (d) 1,525 1,532 9.060% due 03/25/2024 (d) 995 1,002 Shearson Lehman 9.600% due 03/25/2021 280 279 Structured Asset Mortgage Investments, Inc. 6.910% due 06/25/2028 (d) 6,413 6,241 9.040% due 06/25/2029 (d) 8,097 8,340 6.580% due 06/25/2029 (d) 29,963 28,724 6.750% due 05/02/2030 4,141 4,024 Structured Asset Securities Corp. 6.750% due 07/25/2029 15,441 15,228 7.750% due 07/25/2030 29,087 29,331 TMA Mortgage Funding Trust 7.000% due 01/25/2029 (d) 10,131 10,131 Torrens Trust 6.880% due 07/15/2031 (d) 6,706 6,706 Union Planters Mortgage Finance Corp. 6.450% due 01/25/2028 6,000 5,909 ------------- 648,685 ============= Federal Home Loan Mortgage Corporation 1.3% 5.750% due 01/15/2008 4,521 4,471 6.000% due 09/01/2006-03/01/2011 (h) 9,602 9,318 6.500% due 02/01/2005-10/01/2028 (h) 1,160 1,150 6.750% due 06/15/2019 4,062 4,047 6.870% due 10/01/2027 (d) 1,086 1,067 7.000% due 01/01/2017 (d) 39 39 7.380% due 11/01/2022 (d) 1,609 1,643 7.390% due 10/01/2023 (d) 1,008 1,029 7.430% due 11/01/2023 (d) 578 590 7.500% due 09/01/2006-01/01/2024 (d)(h) 2,121 2,160 7.550% due 02/01/2020 (d) 2,164 2,189 7.840% due 03/01/2024 (d) 74 77 7.890% due 01/01/2024 (d) 809 833 7.910% due 06/01/2024 (d) 640 657 8.000% due 07/01/2006-12/01/2024 (h) 5,081 5,177 8.240% due 09/01/2023 (d) 257 263 8.250% due 10/01/2007-11/01/2007 (h) 25 25 8.420% due 12/01/2022 (d) 639 656 8.500% due 07/01/2001-11/01/2025 (h) 12,535 12,912 8.510% due 07/01/2018 (d) 252 258 8.750% due 02/01/2001-04/01/2002 (h) 20 20 9.000% due 05/01/2002-08/01/2022 (h) 3,026 3,136 9.250% due 07/01/2001 2 2 9.500% due 03/01/2001-02/01/2025 (h) 247 253 9.750% due 03/01/2001-11/01/2008 (h) 618 634 10.000% due 04/01/2001-10/01/2019 (h) 76 80 10.500% due 10/01/2000-02/01/2016 (h) 31 32 10.750% due 09/01/2009-08/01/2011 (h) 314 338 11.500% due 10/01/2015-01/01/2016 (h) 43 48 11.750% due 11/01/2010-08/01/2015 (h) 12 14 12.000% due 09/01/2013 2 2 14.000% due 09/01/2012-04/01/2016 (h) 11 11 14.500% due 12/01/2010 3 3 15.000% due 08/01/2011-12/01/2011 (h) 3 4 15.500% due 11/01/2011 0 0 16.000% due 04/01/2012 0 0 ------------- 53,138 ============= Federal Housing Administration 1.0% 6.950% due 04/01/2014 2,084 1,915 7.400% due 02/01/2019 93 91 7.420% due 11/01/2019 525 515 7.430% due 10/01/2019-07/01/2024 (h) 41,082 40,942 ------------- 43,463 ============= Federal National Mortgage Association 5.8% 6.000% due 05/01/2011-12/25/2020 (h) 189 185 6.320% due 08/01/2029 19,176 18,204 6.450% due 04/01/2018 (d) 6,233 6,102 6.500% due 06/01/2008 14 13 6.780% due 01/01/2021 (d) 400 396 7.000% due 04/01/2002-05/01/2012 (h) 305 304 7.140% due 11/01/2018 (d) 156 157 7.230% due 04/25/2022 (d) 187 189 7.260% due 07/01/2017 (d) 490 496 7.270% due 11/01/2017 (d) 302 303 7.800% due 01/01/2024 (d) 2,100 2,158 7.850% due 01/01/2024 (d) 28 29 7.910% due 04/01/2024 (d) 1,952 2,004 8.000% due 03/01/2004-10/16/2030 (h) 148,062 150,005 8.290% due 10/01/2024 (d) 3,580 3,700 8.500% due 03/01/2008-10/16/2030 (h) 51,528 52,785 8.700% due 07/01/2023 (d) 1,262 1,297 9.000% due 01/01/2025 4 4 9.500% due 07/01/2024-11/01/2025 (h) 3,696 3,828 10.000% due 02/01/2004-01/01/2025 (h) 1,142 1,194 10.500% due 06/01/2005-12/01/2024 (h) 163 172 11.000% due 11/01/2020 45 49 11.250% due 12/01/2010-10/01/2015 (h) 140 152 11.500% due 12/01/2008-02/01/2020 (h) 64 71 11.750% due 02/01/2016 36 39 12.000% due 01/01/2015-10/01/2015 (h) 6 6 12.750% due 03/01/2014 25 28 13.000% due 07/01/2015 8 9 13.250% due 09/01/2011 13 15 13.500% due 04/01/2014 3 4 15.500% due 10/01/2012-12/01/2012 (h) 56 64 15.750% due 12/01/2011 25 29 16.000% due 09/01/2012-12/01/2012 (h) 11 14 ------------- 244,005 ============= Government National Mortgage Association 17.7% 6.380% due 05/20/2027 (d) 1,583 1,594 6.500% due 05/15/2023-10/21/2029 (h) 84,534 81,421 6.750% due 08/20/2022-07/20/2027 (d)(h) 75,246 75,919 7.000% due 03/15/2011-10/23/2030 (h) 56,341 55,788 7.130% due 10/20/2023-12/20/2027 (d)(h) 53,892 54,288 7.380% due 04/20/2016-06/20/2027 (d)(h) 40,882 41,200 7.500% due 02/15/2022-10/23/2030 (h) 90,147 90,416 8.000% due 07/15/2004-10/23/2030 (h) 277,487 282,249 8.500% due 04/15/2022-10/23/2030 (h) 62,938 64,684 9.000% due 03/15/2017 14 15 9.500% due 10/15/2016-06/15/2025 (h) 123 129 9.750% due 07/15/2013-10/15/2017 (h) 511 535 10.000% due 10/15/2013-11/15/2025 (h) 129 137 10.500% due 11/15/2019-02/15/2021 (h) 16 17 11.000% due 09/15/2010 8 9 11.500% due 08/15/2018 37 41 11.750% due 08/15/2013-08/15/2015 (h) 56 61 12.000% due 06/20/2015 8 9 12.250% due 01/15/2014 36 40 13.000% due 10/15/2013 6 6 13.500% due 05/15/2011-11/15/2012 (h) 22 27 16.000% due 12/15/2011-04/15/2012 (h) 27 31 ------------- 748,616 ============= Other Mortgage-Backed Securities 0.3% First Boston Mortgage Securities Corp. 8.300% due 08/20/2009 3 3 Glendale Federal Savings & Loan 11.000% due 03/01/2010 16 16 Home Savings of America 6.100% due 05/25/2027 (d) 1,177 1,147 Imperial Savings & Loan 8.850% due 07/25/2017 (d) 31 30 9.900% due 02/25/2018 383 379 Resolution Trust Corp. 6.700% due 05/25/2019 (d) 3,312 3,302 6.860% due 08/25/2019 (d) 2,788 2,789 10.300% due 08/25/2021 (d) 402 400 6.050% due 10/25/2028 (d) 1,797 1,851 7.200% due 05/25/2029 (d) 2,127 2,125 Salomon Brothers Mortgage Securities 8.140% due 12/25/2017 (d) 133 133 Sears Mortgage 12.000% due 02/25/2014 57 59 7.430% due 10/25/2022 (d) 1,770 1,790 ------------- 14,024 ============= See accompanying notes 51 Schedule of Investments (Cont.) Low Duration Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Stripped Mortgage-Backed Securities 0.3% Federal Home Loan Mortgage Corp. (IO) 6.000% due 02/15/2006 $ 350 $ 5 9.980% due 07/15/2006 7 37 10.190% due 08/15/2006 3 20 11.940% due 12/15/2006 8 55 6.000% due 10/15/2007 398 14 6.000% due 02/15/2008 1,555 57 7.000% due 08/15/2018 5,516 374 7.000% due 04/15/2019 327 4 6.500% due 05/15/2019 4,111 227 6.500% due 06/15/2019 1,849 117 10.500% due 04/15/2021 13 149 6.500% due 04/15/2022 2,582 273 7.000% due 05/15/2023 324 42 4.000% due 01/15/2024 20,919 4,502 Federal National Mortgage Association (IO) 7.270% due 09/25/2006 32 176 6.000% due 02/25/2008 2,147 98 256.000% due 11/01/2008 22 107 6.500% due 03/25/2009 3,825 371 0.100% due 03/25/2009 (d) 16,057 273 6.500% due 03/25/2009 1,362 140 6.920% due 07/25/2017 2,313 2,299 7.500% due 03/25/2019 2,029 148 6.500% due 05/25/2019 8,730 624 6.500% due 04/25/2020 6,447 360 7.000% due 05/25/2021 3,909 281 8.600% due 02/25/2022 19 272 6.500% due 03/25/2023 3,322 372 4.880% due 03/25/2024 (d) 6,455 271 Federal National Mortgage Association (PO) 0.000% due 09/25/2022 26 22 Prudential Home Mortgage Securities (IO) 0.300% due 04/25/2009 (d) 49,173 312 ------------- 12,002 ------------- Total Mortgage-Backed Securities 1,763,933 (Cost $1,770,729) ============= -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 6.2% -------------------------------------------------------------------------------- Advanta Mortgage Loan Trust 7.760% due 05/25/2018 21,700 21,935 Allied Waste Industries, Inc. 9.440% due 07/30/2006 11,364 11,026 9.750% due 07/30/2007 (d) 1,818 1,764 9.690% due 07/30/2007 (d) 11,819 11,468 Amresco Residential Securities Mortgage Loan Trust 6.810% due 07/25/2027 (d) 71 71 AT&T Universal Card Master Trust 5.950% due 10/17/2002 4,000 4,001 Bombardier Capital Mortgage 6.610% due 09/15/2010 8,587 8,544 Capital Asset Research Funding LP 6.400% due 12/15/2004 65 66 CIT Marine Trust 5.800% due 04/15/2010 200 196 Citicorp Mortgage Securities, Inc. 6.750% due 05/25/2028 6,266 5,909 CMC Securities Corp. IV 7.250% due 11/25/2027 8,724 8,593 Community Program Loan Trust 4.500% due 10/01/2018 15,756 14,136 Compucredit Credit Card Trust 6.850% due 03/15/2007 (d) 32,000 32,000 Duck Auto Grantor Trust 5.650% due 03/15/2004 6,067 5,998 Empire Funding Home Loan Owner Trust 6.590% due 05/25/2014 5,438 5,413 Federal-Mogul Corp. 8.700% due 12/31/2005 (d) 14 12 GF Funding Corp. 6.890% due 01/20/2006 20,503 20,372 Green Tree Financial Corp. 6.550% due 02/15/2027 12,387 12,316 7.400% due 06/15/2027 11,748 11,834 Green Tree Home Improvement Loan Trust 6.320% due 08/15/2008 6,753 6,748 IMC Home Equity Loan Trust 6.840% due 10/20/2027 (d) 4,336 4,338 Irwin Home Equity 7.460% due 09/15/2030 18,321 18,343 Merit Securities Corp. 7.040% due 12/28/2033 22,674 22,578 MGM Grand Term Loan 7.870% due 05/06/2001 (d) 8,865 8,844 New York City Tax Lien 6.350% due 07/10/2007 7,395 7,311 Oakwood Mortgage Investors, Inc. 6.950% due 08/15/2027 4,735 4,713 Option One Mortgage Loan Trust 6.910% due 09/25/2030 (d) 5,978 5,978 Prudential Home Mortgage Securities 7.000% due 08/25/2009 4,000 3,994 Saxon Asset Securities Trust 7.210% due 01/25/2019 275 275 6.850% due 05/25/2029 (d) 1,744 1,746 Stone Container Corp. 10.190% due 10/01/2003 2,363 2,371 ------------- Total Asset-Backed Securities 262,893 (Cost $264,398) ============= -------------------------------------------------------------------------------- SOVEREIGN ISSUES 2.0% -------------------------------------------------------------------------------- Central Bank Philippines 7.940% due 06/01/2008 (d) 2,993 2,679 Hydro-Quebec 9.000% due 03/07/2001 10,000 10,073 Nacional Financiera 10.630% due 11/22/2001 7,500 7,740 8.570% due 05/08/2003 (d) 5,000 5,078 Province of Quebec 6.380% due 10/25/2001 (d) 250 249 Republic of Brazil 7.380% due 04/15/2006 2,325 2,194 Republic of Argentina 11.600% due 04/10/2005 (d) 1,400 1,302 Republic of Brazil 7.880% due 01/01/2001 (d) 1,181 1,181 7.380% due 04/15/2006 (d) 4,278 4,027 Republic of Philippines 7.810% due 01/05/2005 (d) 1,800 1,699 7.940% due 12/01/2009 (d) 15,352 13,356 United Mexican States 5.820% due 06/28/2001 10,500 10,382 10.500% due 04/07/2004 (d) 14,730 15,290 10.020% due 04/07/2004 (d) 1,800 1,872 9.780% due 04/07/2004 (d) 5,000 5,190 ------------- Total Sovereign Issues 82,312 (Cost $82,398) ============= -------------------------------------------------------------------------------- FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.7% -------------------------------------------------------------------------------- British Telecom PLC 4.730% due 07/27/2001 (d) EC 16,000 14,112 Korea Development Bank 4.800% due 05/14/2001 (d) DM 340 152 2.700% due 08/16/2002 JY 2,000,000 19,045 Republic of Austria 5.500% due 01/15/2010 (j) EC 8,900 7,799 Republic of Colombia 7.000% due 03/06/2002 IL 36,220,000 15,866 United Mexican States 6.000% due 03/28/2002 JY 960,000 9,494 8.750% due 05/30/2002 BP 3,000 4,493 ------------- Total Foreign Currency-Denominated Issues 70,961 (Cost $74,194) ============= 52 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 0.0% -------------------------------------------------------------------------------- Utilities 0.0% Alliant Energy Resources, Inc. 4.910% due 01/01/2000 $ 2,000 $ 121 ------------- Total Convertible Bonds & Notes 121 (Cost $136) ============= -------------------------------------------------------------------------------- PREFERRED STOCK 1.9% -------------------------------------------------------------------------------- Shares Home Ownership Funding 13.331% due 12/31/2049 3,000 2,291 Rhone-Poulenc SA 8.125% due 12/31/2049 13,000 292 SI Financing Trust 9.500% due 06/30/2026 806,600 20,316 TCI Communications, Inc. 9.720% due 12/31/2036 224,700 5,842 8.720% due 01/31/2045 1,170,100 29,253 10.000% due 05/31/2045 800,300 20,258 ------------- Total Preferred Stock 78,252 (Cost $83,777) ============= -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 2.5% -------------------------------------------------------------------------------- Principal Amount (000s) Commercial Paper 2.4% Anz, Inc. 6.480% due 11/07/2000 $ 200 199 CDC 6.570% due 11/29/2000 3,000 2,967 Edison Midwest 6.720% due 10/18/2000 9,200 9,172 6.750% due 11/01/2000 850 845 General Electric Capital Corp. 6.520% due 01/19/2001 22,500 22,060 Houston Industries 6.770% due 10/18/2000 5,000 4,985 Ingersoll-Rand Co. 6.680% due 10/02/2000 8,300 8,300 International Paper Co. 6.720% due 11/07/2000 13,700 13,608 Motorola, Inc. 6.480% due 12/26/2000 10,500 10,334 Nabisco, Inc. 6.700% due 10/18/2000 5,700 5,683 Pearson 6.730% due 10/25/2000 3,000 2,987 Sumitomo Bank 6.700% due 10/18/2000 6,600 6,580 Texas Utilities Co. 6.700% due 10/18/2000 11,900 11,865 ------------- 99,585 ============= Repurchase Agreements 0.1% State Street Bank 5.850% due 10/02/2000 2,444 2,444 (Dated 9/29/2000. Collateralized by ------------- Federal National Mortgage Association 6.100% due 08/10/2001 valued at $2,495. Repurchase proceeds are $2,445.) U.S. Treasury Bills (b) 0.0% 5.930% due 02/01/2001 140 137 ------------- Total Short-Term Instruments 102,166 (Cost $102,173) ============= Total Investments (a) 125.9% $ 5,309,953 (Cost $5,347,094) Written Options (c) (0.0%) (1,370) (Premiums $3,819) Other Assets and Liabilities (Net) (25.9%) (1,091,075) ------------- Net Assets 100.0% $ 4,217,508 ============= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 20,659 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (57,800) ------------- Unrealized depreciation-net $ (37,141) ============= (b) Securities with an aggregate market value of $7,997 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: # of Unrealized Type Contracts Appreciation -------------------------------------------------------------------------------- U.S. Treasury 10 Year Note (12/2000) 51 $ 0 EuroBond 10 Year Note Written Put Options (11/2000) 1,714 524 ------------- $ 524 ============= (c) Premiums received on written options: # of Type Contracts Premium Value -------------------------------------------------------------------------------- Put - CME Eurodollar December Futures Strike @ 93.00 Exp. 12/18/2000 1,875 $ 1,934 $ 47 Put - CME Eurodollar March Futures Strike @ 92.75 Exp. 03/19/2001 594 254 22 Call - CME Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 1,468 380 1,082 Put - CME Eurodollar March Futures Strike @ 92.25 Exp. 03/19/2001 781 468 10 Put - CME Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 341 343 64 Put - CME Eurodollar March Futures Strike @ 93.50 Exp. 03/19/2001 341 440 145 ---------------------- $ 3,819 $ 1,370 ====================== (d) Variable rate security. The rate listed is as of September 30, 2000. See accompanying notes 53 Schedule of Investments (Cont.) Low Duration Fund September 30, 2000 (Unaudited) ------------------------------------------------------------------------------- (e) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) ------------------------------------------------------------------------------- Sell EC (18,911) 10/2000 $ 523 Buy 124,700 11/2000 2,119 Sell BP (3,283) 10/2000 (65) Sell JY (3,095,172) 10/2000 151 Buy 581,184 10/2000 (1) Sell (581,184) 11/2000 (0) Buy PZ 20,000 02/2001 (74) --------------- $ 2,653 =============== (f) Principal amount denoted in indicated currency: BP - British Pound EC - Euro JY - Japanese Yen PZ - Polish Zloty (g) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount (Depreciation) -------------------------------------------------------------------------------- Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 5.700%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/28/2001 $ 1,500 $ (69) Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 6.150%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/22/2001 2,000 (107) Receive fixed rate equal to 0.430% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 07/11/2003 20,000 1 Receive fixed rate equal to 0.510% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 01/25/2005 5,000 0 Receive fixed rate equal to 0.230% and the Fund will pay to the counterparty at par in the event of default of Associates Corp. 6.000% due 04/15/2003. Broker: Warburg Dillon Read LLC Exp. 01/14/2003 43,000 1 Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.302%. Broker: Goldman Sachs Exp. 07/13/2010 C$ 30,000 (193) ------------ $ (367) ============ Fixed Rate Notional Unrealized Type (%) Amount Appreciation -------------------------------------------------------------------------------- Receive the 10-year Swap Spread and pay a fixed spread. The 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Goldman Sachs Exp. 02/15/2005 0.8675 $ 49,000 $ 493 (h) Securities are grouped together by coupon or range of coupons and represent a range of maturities. (i) Principal amount of the security is adjusted for inflation. (j) Subject to financing transaction. 54 See accompanying notes Schedule of Investments Municipal Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 96.9% -------------------------------------------------------------------------------- Arizona 6.2% Phoenix Industrial Development Authority Revenue Bonds, (GNMA/FNMA/FHLMC Insured), Series 2000-1A 5.875% due 06/01/2016 $ 1,000 $ 1,028 Pima County, Arizona Industrial Development Authority Multi-Family Revenue Bonds, (HUD SECT 8 Insured), Series 1998 5.375% due 06/01/2010 1,210 1,235 Scottsdale, Arizona Industrial Development Authority Hospital Revenue Bonds, (AMBAC Insured), Series 1997 A 6.500% due 09/01/2004 1,130 1,206 ----------- 3,469 =========== California 15.5% Alameda, California Harbor Bay Business Park Assessment Revenue Bonds, Series 1998 5.000% due 09/02/2006 360 360 Capistrano, California Unified School District Special Tax, Series 1999 5.000% due 350 350 09/01/2008 Foothill/Eastern Corridor Agency California Toll Road Revenue Bonds, (MBIA-IBC), Series 1999 0.000% due 01/15/2026 1,565 936 Irvine, California Special Assessment Bond, Series 1998 4.800% due 09/02/2004 150 150 4.900% due 09/02/2005 160 160 4.900% due 09/02/2005 150 149 5.000% due 09/02/2006 150 149 Irvine, California Special Assessment Bond, Series 1999 5.000% due 09/02/2005 350 350 5.100% due 09/02/2006 350 349 5.100% due 09/02/2006 185 185 5.200% due 09/02/2007 180 180 5.200% due 09/02/2007 75 75 Knox Middle School Building Corp. Revenue Bonds, Series 2000 5.700% due 07/15/2010 260 276 Lake Elsinore, California School Refunding Bonds, Series 1998 5.000% due 09/01/2006 350 349 Los Angeles Community Redevelopment Agency Certificates of Partnership Revenue Bonds, Series 1984 7.550% due 11/01/2008 1,150 1,275 Los Angeles County Transportation Commission, Sales Tax Revenue Refunding Bonds, Series 1991 B 6.500% due 07/01/2013 1,000 1,036 Orange County, California Improvement Bond, Series 1998 A 4.900% due 09/02/2005 245 244 Pittsburg, California Infrastructure Refunding Bonds, Series 1998 A 4.900% due 09/02/2003 150 151 5.000% due 09/02/2004 150 152 Riverside County, California Special Tax Refunding Bonds, Series 1999 4.200% due 09/01/2001 300 300 4.700% due 09/01/2005 170 170 Roseville, California Special Tax, Series 1999 5.000% due 09/01/2004 350 351 Sacramento County, California Refunding Bonds, Series 1998 4.900% due 09/02/2005 300 298 South Tahoe California Powers Financing Authority Revenue Bonds, Series 1999 7.300% due 10/01/2007 350 359 West Sacramento, California Refunding Bonds, Series 1998 5.000% due 09/02/2004 350 353 ----------- 8,707 =========== Colorado 6.8% Colorado Housing & Finance Authority Revenue Bonds, (FHA/VA Mortgages Insured) Series 2000-C3 5.700% due 10/01/2022 1,000 1,020 Colorado Housing & Finance Authority Revenue Bonds, Series 2000-D3 6.750% due 04/01/2015 250 272 Colorado Housing & Finance Authority, Series 2000-B3 6.700% due 10/01/2016 250 272 Colorado Springs, Colorado Hospital Revenue Bond, Series 2000 6.375% due 12/15/2030 1,000 994 Denver, Colorado Health & Hospital Revenue Bonds, Series 1998 A 5.000% due 12/01/2009 1,390 1,258 ----------- 3,816 =========== Florida 1.1% Gainesville, Florida Revenue Bonds, Series 1979 6.200% due 10/01/2002 300 304 Orange County, Florida Health Facilities Authority Revenue Bonds, (MBIA Insured), Series 1996 6.250% due 10/01/2011 290 319 ----------- 623 =========== Georgia 0.4% Georgia Municipal Electric Authority Revenue Bonds, (MBIA-IBC Insured), Series 1997 6.500% due 01/01/2012 200 224 ----------- Hawaii 1.8% Honolulu Hawaii City & County General Obligation, (MBIA-IBC), Series 1993 5.450% due 09/11/2008 1,000 1,039 ----------- Indiana 2.0% Indiana Local Public Improvement Bonds Bank, Transportation Revenue Bonds, Series 1992 6.750% due 02/01/2014 1,000 1,125 ----------- Kansas 1.8% Wichita Kansas Hospital Revenue Bonds, Series 1999 6.250% due 11/15/2024 1,000 1,000 ----------- Louisiana 0.5% Louisiana Local Government Revenue Bonds, (MBIA Insured), Series 2000 5.700% due 01/01/2010 250 259 ----------- Massachusetts 6.6% Massachusetts Housing Finance Agency Revenue Bonds, (AMBAC Insured), Series 1993 5.950% due 10/01/2008 1,500 1,559 Massachusetts State Development Finance Agency Revenue Bonds, (ACA Insured), Series 1999 4.600% due 03/01/2009 400 378 Massachusetts State Development Finance Agency Revenue Bonds, Series 1998 4.700% due 11/01/2007 210 202 4.800% due 11/01/2008 90 87 Massachusetts State General Obligation, Series 2000 6.000% due 02/01/2013 1,000 1,076 Massachusetts State Health Facilities Authority Revenue Bonds, Series 1993 5.500% due 10/01/2002 400 389 ----------- 3,691 =========== See accompanying notes 55 Schedule of Investments (Cont.) Municipal Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Michigan 2.5% Farmington Hills Michigan Hospital, Revenue Bond, (MBIA Insured), Series 1991 B 5.700% due 02/15/2016 (b) $ 200 $ 200 Michigan State Environmental Protection General Obligation Bonds, Series 1992 6.250% due 11/01/2012 1,100 1,216 ----------- 1,416 =========== Minnesota 1.9% Minneapolis & St. Paul Housing & Redevelopment Authority Health Care Revenue Bonds, (FSA Insured), Series 1995 5.700% due 08/15/2025 100 100 New Richland, Minnesota Revenue Bonds, Series 1998 4.500% due 08/01/2004 1,000 993 ----------- 1,093 =========== New Jersey 9.9% New Jersey Economic Development Authority Revenue Bond, Series 1998 A 0.010% due 04/01/2013 1,595 686 New Jersey Economic Development Authority Revenue Bond, Series 1998 5.600% due 01/01/2012 1,000 885 6.375% due 04/01/2031 2,000 1,964 New Jersey Economic Development Authority Revenue Bonds, Series 1999 6.625% due 09/15/2012 2,000 2,042 ----------- 5,577 =========== New Mexico 2.4% Los Alamos County, Utility Revenue Bonds, Series 1994 A 6.000% due 07/01/2008 1,000 1,056 Santa Fe County, El Castillo Retirement Nursing Home Bonds, Series 1998 A 5.250% due 05/15/2007 315 291 ----------- 1,347 =========== New York 9.5% Nassau County, New York Tobacco Settlement Corp. Revenue Bonds, Series 1999 5.250% due 07/15/2011 1,000 1,003 New York City General Obligation Bonds, Series 1996 A 7.000% due 08/01/2007 1,000 1,117 New York State Dorm Authority Revenue Bonds, (ACA Insured), Series 2000 5.850% due 07/01/2010 1,000 1,027 New York State Dorm Authority Revenue Bonds, (MBIA Insured), Series 1996 5.600% due 07/01/2016 1,250 1,264 New York State Environmental Facilities Special Obligation Revenue Bonds, Series 1996 5.125% due 04/01/2022 1,000 936 ----------- 5,347 =========== North Carolina 1.9% North Carolina Municipal Power Agency, Catawaba Electric Revenue Bonds, (AMBAC Insured), Series 1992 6.000% due 01/01/2008 1,000 1,068 ----------- North Dakota 3.7% Mercer County Pollution Control Revenue Bonds, Series 1991 6.900% due 02/01/2019 2,000 2,054 ----------- Pennsylvania 2.0% Allegheny County Hospital Development Authority Revenue Bonds, (MBIA Insured), Series 2000 A 6.500% due 11/15/2030 1,000 1,053 Delaware County, Pennsylvania Hospital Revenue Bonds, Series 1998 4.900% due 12/01/2008 100 90 ----------- 1,143 =========== South Carolina 1.7% Medical University South Carolina Hospital Facilities Revenue Bonds, Series 1999 5.700% due 07/01/2012 1,000 982 ----------- Tennessee 3.1% Nashville & Davidson County, Tennessee Revenue Bonds, Series 1998 4.450% due 08/01/2007 1,000 960 Sullivan County, Tennessee Industrial Development Revenue Bonds, (GNMA Insured), Series 1995 6.250% due 07/20/2015 750 787 ----------- 1,747 =========== Texas 6.9% Bexar, Texas Metro Water District Waterworks System Revenue Bonds, (MBIA Insured), Series 1998 0.000% due 05/01/2035 2,190 281 Brazos River Authority Texas Revenue Bonds, (MBIA Insured), Series 1998 4.900% due 10/01/2015 1,500 1,402 Dallas-Fort Worth International Airport Facility Improvement Corp. Revenue Bonds, Series 2000 5.950% due 05/01/2029 1,000 1,003 Houston Independent School District General Obligation, (PSF Insured), Series 1999 4.750% due 02/15/2026 1,000 844 Midlothian Texas Independent School District General Obligation, (PSF-GTD Insured), Series 1999 0.010% due 02/15/2018 1,000 346 ----------- 3,876 =========== Utah 6.6% Intermountain Power Agency Utah Power Supply Revenue Bonds, (MBIA Insured), Series 1996 6.500% due 07/01/2009 1,925 2,143 Intermountain Power Agency Utah Power Supply Revenue Bonds, Series 1996 D 5.000% due 07/01/2021 1,710 1,547 ----------- 3,690 =========== West Virginia 2.1% West Virginia State Parkways Economic Development & Tourism Authority Revenue Bonds, (FGIC Insured), Series 1993 5.831% due 05/16/2019 1,200 1,208 ----------- Total Municipal Bonds & Notes 54,501 (Cost $53,931) =========== -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 0.2% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (c) 3.625% due 07/15/2002 108 108 ----------- Total U.S. Treasury Obligations 108 (Cost $108) =========== 56 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 0.0% -------------------------------------------------------------------------------- Commercial Paper 0.0% SSgA Tax Free Money Market 4.570% due 10/02/2000 $ 17 $ 17 ----------- Total Short-Term Instruments 17 (Cost $17) =========== Total Investments (a) 97.1% $ 54,626 (Cost $54,056) Other Assets and Liabilities (Net) 2.9% 1,622 ----------- Net Assets 100.0% $ 56,248 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 1,170 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (600) ----------- Unrealized appreciation-net $ 570 =========== (b) Variable rate security. The rate listed is as of September 30, 2000. (c) Principal amount of the security is adjusted for inflation. See accompanying notes 57 Schedule of Investments New York Municipal Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 96.8% -------------------------------------------------------------------------------- New York 96.8% Amherst, New York General Obligation, (FGIC Insured), Series A 5.500% due 12/01/2008 $ 150 $ 158 Edmeston, New York Central School District General Obligation, (MBIA Insured), Series 1999 5.100% due 06/15/2007 150 153 Erie County New York General Obligation, (AMBAC Insured), Series 2000 5.750% due 07/01/2010 250 267 Long Island Power Authority Revenue Bonds, Series 1998 5.500% due 05/01/2033 100 100 Nassau County, New York Tobacco Settlement Corp. Revenue Bonds, Series 1999 5.250% due 07/15/2011 150 151 New York City General Obligation, Series 1997 5.300% due 06/01/2012 150 152 New York City Municipal Water Finance Authority Revenue Bonds, (FGIC Insured), Series 1994 5.500% due 06/15/2024 100 100 New York General Obligation Bond, (Bayerische Landesbank Insured), Series 1995-F5 5.500% due 02/15/2016 (b) 100 100 New York General Obligation Bond, (FGIC Insured), Series 1992-B 5.500% due 10/01/2020 100 100 New York General Obligation, Series 1997-D 5.250% due 08/01/2021 100 94 New York State Dormitory Authority Revenue Bonds, (AMBAC Insured), Series 1998 5.000% due 07/01/2002 150 151 New York State Dormitory Authority Revenue Bonds, (FSA Insured), Series 1998 4.750% due 07/01/2008 150 150 New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 1999 4.750% due 07/01/2006 150 150 New York State Energy Research & Development Revenue Bonds, Series 1985 5.500% due 12/01/2025 200 200 New York State Local Government Assistance Corp. Revenue Bonds, (MBIA Insured), Series 1997-B 5.125% due 04/01/2013 150 149 New York State Power Authority Revenue & General Purpose, Series 1972-E 5.500% due 01/01/2010 135 139 New York State Thruway Authority Service Contract Revenue Bonds, (MBIA Insured), Series 1999 4.900% due 04/01/2008 150 151 New York State Urban Development Corp. Revenue Bonds, Series 1999 5.000% due 01/01/2005 150 151 New York, New York General Obligation, Series 1997 5.750% due 08/01/2009 250 267 Ontario County Industrial Development Agency Revenue Bonds, Series 1985 5.650% due 08/01/2015 100 100 Rockland County New York Solid Waste Management Authority Revenue Bonds, Series 1999 A 4.800% due 12/15/2005 145 147 ----------- Total Municipal Bonds & Notes 3,130 =========== (Cost $3,088) -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 1.4% -------------------------------------------------------------------------------- Commercial Paper 1.4% R & T New York Money Market 4.550% due 10/02/2000 45 45 ----------- Total Short-Term Instruments 45 (Cost $45) =========== Total Investments (a) 98.2% $ 3,175 (Cost $3,133) Other Assets and Liabilities (Net) 1.8% 57 ----------- Net Assets 100.0% $ 3,232 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value overtax cost $ 44 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (2) ----------- Unrealized appreciation-net $ 42 =========== (b) Variable rate security. The rate listed is as of September 30, 2000. 58 See accompanying notes Schedule of Investments Real Return Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------------------ CORPORATE BONDS & NOTES 50.4% ------------------------------------------------------------------------------ Banking & Finance 29.8% Allied Irish Banks 7.030% due 09/07/2006 (d) $ 1,200 $ 1,205 Allstate Financial Global Funding 7.130% due 09/26/2005 2,500 2,501 Associates Corp. of North America 6.780% due 08/27/2001 (d) 1,500 1,504 6.960% due 05/08/2003 (d) 1,500 1,499 AT&T Capital Corp. 7.110% due 09/13/2001 (d) 500 501 7.010% due 04/23/2002 (d) 1,000 1,003 Bank One Corp. 6.900% due 09/26/2003 (d) 5,000 4,997 Bear Stearns Co., Inc. 7.090% due 08/01/2002 (d) 500 501 7.130% due 03/28/2003 (d) 6,000 6,000 7.050% due 09/21/2004 (d) 1,000 999 Chase Manhattan Corp. 6.960% due 12/10/2001 (d) 500 504 CIT Group, Inc. 6.750% due 05/14/2001 1,000 1,000 Citigroup, Inc. 6.710% due 09/17/2001 (d) 335 336 Dime Bancorp, Inc. 7.000% due 07/25/2001 4,225 4,206 Donaldson, Lufkin & Jenrette, Inc. 6.760% due 04/25/2003 (d) 7,500 7,497 DQE Capital Corp. 7.230% due 01/15/2002 (d) 1,000 1,000 Export-Import Bank Korea 6.500% due 11/15/2006 2,500 2,435 Finova Capital Corp. 7.340% due 11/08/2002 (d) 2,800 2,277 First Union Corp. 7.550% due 08/18/2005 10,000 10,129 Florida Windstorm 6.700% due 08/25/2004 500 494 Ford Motor Credit Corp. 6.990% due 07/16/2002 (d) 1,000 1,002 6.810% due 02/13/2003 (d) 350 350 6.950% due 06/20/2003 (d) 15,500 15,511 General Motors Acceptance Corp. 6.910% due 12/15/2000 (d) 1,500 1,500 6.920% due 07/20/2002 6,475 6,475 6.860% due 12/09/2002 (d) 2,000 2,002 Gold Eagle Capital Ltd. 9.000% due 04/15/2001 1,000 999 12.130% due 04/15/2001 2,440 2,440 Heller Financial, Inc. 7.060% due 02/05/2001 400 400 6.890% due 04/26/2002 (d) 250 250 6.500% due 07/22/2002 1,000 989 7.500% due 08/23/2002 5,700 5,739 6.970% due 04/28/2003 (d) 3,000 2,987 Household Finance Corp. 7.090% due 08/06/2002 (d) 2,000 2,006 J.P. Morgan & Co. 8.080% due 02/15/2012 3,470 3,002 Juno Reinsurance 10.370% due 06/26/2002 (d) 750 728 Korea Development Bank 5.890% due 03/01/2002 (d) 500 471 8.290% due 06/16/2003 (d) 500 490 Lehman Brothers Holdings, Inc. 9.880% due 10/15/2000 250 250 6.130% due 02/01/2001 2,600 2,592 7.680% due 04/02/2002 (d) 500 504 6.970% due 06/03/2002 (d) 2,500 2,498 7.530% due 07/15/2002 (d) 600 605 6.970% due 09/03/2002 (d) 2,000 1,999 MBNA America Bank NA 6.970% due 04/25/2002 (d) 500 499 Merrill Lynch & Co. 6.790% due 11/01/2001 (d) 3,000 3,003 7.090% due 02/08/2002 (d) 400 401 6.920% due 02/04/2003 (d) 2,000 1,999 6.990% due 08/01/2003 (d) 4,000 4,002 Monumental Global Funding II 6.910% due 09/26/2003 (d) 2,000 2,000 Morgan Stanley, Dean Witter, Discover and Co. 6.840% due 12/17/2001 (d) 300 300 6.880% due 04/15/2002 (d) 1,000 1,001 6.890% due 02/21/2003 (d) 1,500 1,503 6.850% due 03/11/2003 (d) 2,000 1,997 National Westminster Bank 7.160% due 09/16/2002 (d) 3,500 3,514 NeHi, Inc. 11.310% due 06/09/2003 (d) 4,000 4,020 Old Kent Bank 7.460% due 11/01/2005 (d) 1,000 999 Pemex Finance Ltd. 6.130% due 11/15/2003 433 426 Protective Life Funding Trust 7.090% due 01/17/2003 (d) 1,000 999 Prudential Funding Corp. 6.960% due 10/18/2001 (d) 3,000 3,005 6.380% due 07/23/2006 2,000 1,901 PS Colorado Credit Corp. 7.480% due 05/30/2002 (d) 1,300 1,299 Qwest Capital Funding, Inc. 7.200% due 07/08/2002 (d) 1,000 1,001 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 2,797 2,764 6.960% due 04/28/2003 (d) 3,000 3,001 Seismic Ltd. 11.270% due 01/01/2002 (d) 2,500 2,500 Textron Financial Corp. 6.960% due 10/26/2001 (d) 2,500 2,505 7.030% due 09/17/2002 (d) 5,000 5,006 7.150% due 12/09/2002 (d) 4,000 4,001 Toyota Motor Credit Corp. 7.320% due 02/15/2002 (d) 400 393 ----------- 160,416 ----------- Industrials 11.0% AIC Corp. 6.150% due 10/02/2002 (d) 250 249 Alpha Wind 11.320% due 05/23/2001 (d) 1,500 1,500 Arrow Electronics, Inc. 7.440% due 11/24/2000 (d) 1,500 1,500 Atlas Air, Inc. 10.470% due 10/04/2004 (d) 4,400 4,400 Columbia/HCA Healthcare 8.160% due 09/19/2002 (d) 8,000 8,000 Cox Enterprises, Inc. 7.610% due 05/01/2033 (d) 2,000 1,999 DaimlerChrysler Holdings 7.000% due 08/16/2004 (d) 5,000 5,008 Delta Air Lines, Inc. 8.540% due 01/02/2007 3,932 4,042 Enron Corp. 7.110% due 09/10/2001 (d) 2,500 2,500 8.000% due 08/15/2005 3,000 3,046 Global Crossing Ltd. 6.000% due 10/15/2013 1,250 1,155 Packaging Corp. of America 8.630% due 06/20/2007 37 37 Petroleos Mexicanos 9.500% due 09/15/2027 4,750 4,904 Philip Morris Cos., Inc. 9.000% due 01/01/2001 1,000 1,002 7.250% due 09/15/2001 1,000 995 Raytheon Co. 5.950% due 03/15/2001 4,000 3,971 7.020% due 08/10/2001 (d) 1,600 1,601 Staples, Inc. 7.670% due 11/26/2001 (d) 2,000 2,000 See accompanying notes 59 Schedule of Investments (Cont.) Real Return Bond Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) Tyco International Group SA 7.370% due 03/05/2001 (d) $ 2,000 $ 2,002 United Air Lines, Inc. 6.890% due 12/02/2002 (d) 1,189 1,182 Vodafone AirTouch PLC 6.860% due 12/19/2001 (d) 6,500 6,509 Waste Management, Inc. 7.100% due 08/01/2026 1,500 1,450 ----------- 59,052 Utilities 9.6% =========== Coastal Corp. 7.330% due 07/21/2003 (d) 5,000 5,012 Commonwealth Edison Co. 7.160% due 09/30/2002 (d) 1,000 1,000 Deutsche Telekom AG 7.750% due 06/15/2005 10,000 10,247 Dominion Resources, Inc. 7.600% due 07/15/2003 5,000 5,054 Entergy Gulf States, Inc. 8.040% due 06/02/2003 (d) 2,500 2,502 Hawaiian Electric Industries, Inc. 7.780% due 04/15/2003 (d) 2,000 2,002 Hughes Electric 7.560% due 10/23/2000 3,500 3,501 Nabors Industries, Inc. 0.000% due 06/20/2020 5,000 3,488 National Rural Utilities Cooperative 6.880% due 05/31/2002 (d) 1,900 1,899 Oneok, Inc. 7.390% due 04/24/2002 (d) 2,000 2,002 Public Service Enterprise Group, Inc. 7.040% due 06/15/2001 500 500 Scana Corp. 7.210% due 02/08/2002 (d) 1,900 1,901 7.380% due 07/15/2002 (d) 3,900 3,905 Sierra Pacific Resources 7.390% due 04/20/2002 (d) 1,000 1,000 7.340% due 04/20/2003 (d) 2,000 2,001 Sprint Capital Corp. 6.970% due 11/15/2001 (d) 1,000 1,000 7.010% due 06/10/2002 (d) 3,000 3,001 Texas Utilities Co. 7.210% due 06/25/2001 (d) 1,300 1,299 7.590% due 09/24/2001 (d) 500 503 ----------- 51,817 ----------- Total Corporate Bonds & Notes 271,285 (Cost $270,393) =========== -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 1.0% -------------------------------------------------------------------------------- Florida 0.7% Tampa Florida Utility Tax & Special Revenue Bond, (AMBAC Insured), Series 2000 6.000% due 10/01/2004 3,580 3,701 ----------- New Mexico 0.1% New Mexico Mortgage Finance Authorities Revenue Bonds, (GNMA, FNMA, FHLMC Insured), Series 1997 7.000% due 07/01/2006 350 351 ----------- New York 0.0% New York City Municipal Bond, Series 1997 6.960% due 08/01/2002 (d) 76 76 ----------- Ohio 0.2% Hamilton Ohio School Districts Gas Supply Revenue Bonds, Northern Ohio, (MBIA Insured), Series 1999 6.910% due 08/01/2001 1,500 1,504 ----------- Total Municipal Bonds & Notes 5,632 (Cost $5,645) =========== -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 1.3% -------------------------------------------------------------------------------- Federal Farm Credit Bank 6.360% due 02/14/2002 (d) 600 591 Federal Home Loan Bank 7.270% due 02/15/2002 (d) 2,485 2,454 Federal National Mortgage Association 7.860% due 03/13/2002 (d) 2,000 1,972 Student Loan Marketing Assn 6.480% due 07/25/2004 (d) 70 70 6.830% due 10/25/2004 (d) 80 80 6.920% due 04/25/2006 (d) 1,505 1,499 6.700% due 01/25/2007 (d) 292 292 ----------- Total U.S. Government Agencies 6,958 (Cost $6,943) =========== -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 129.6% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (c) 3.630% due 07/15/2002 (b)(h) 187,839 187,781 3.380% due 01/15/2007 (h) 145,100 140,340 3.630% due 01/15/2008 (h) 211,738 206,909 3.880% due 01/15/2009 (h) 43,253 42,902 4.250% due 01/15/2010 1,026 1,048 3.630% due 04/15/2028 (h) 54,101 51,431 3.880% due 04/15/2029 66,981 66,563 ----------- Total U.S. Treasury Obligations 696,974 (Cost $694,182) =========== -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 0.9% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 0.6% Federal Home Loan Mortgage Corp. 7.000% due 07/15/2022 2,941 2,937 6.500% due 01/25/2028 100 91 Federal National Mortgage Association 7.060% due 10/25/2008 (d) 261 261 6.500% due 02/25/2029 121 86 ----------- 3,375 Federal Home Loan Mortgage Corporation 0.1% =========== 7.430% due 12/01/2020-02/01/2023 (d)(i) 425 426 ----------- Federal National Mortgage Association 0.1% 8.520% due 10/01/2024 (d) 412 423 ----------- Other Mortgage-Backed Securities 0.1% CMC Securities Corp. 6.000% due 11/25/2008 532 529 ----------- Total Mortgage-Backed Securities 4,753 (Cost $4,773) =========== -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 8.7% -------------------------------------------------------------------------------- Aesop Funding LLC 6.570% due 11/20/2006 14,000 14,000 AFC Home Equity Loan Trust 6.840% due 03/25/2027 (d) 201 201 American Residential Eagle Trust 6.960% due 07/25/2029 (d) 6,173 6,175 Asset Backed Securities Corp. Home Equity 6.990% due 06/21/2029 (d) 5,979 5,998 Conseco Finance 7.890% due 07/15/2018 2,000 2,035 8.170% due 12/15/2025 2,000 2,062 6.290% due 10/15/2030 809 809 Conseco Finance Home Loan Trust 8.880% due 06/15/2024 750 763 Contimortgage Home Equity Loan Trust 6.020% due 01/25/2014 101 100 EQCC Home Equity Loan Trust 6.870% due 03/20/2029 219 219 Huntsman Corp. 9.750% due 12/31/2005 1,000 992 IMC Home Equity Loan Trust 6.610% due 06/20/2013 124 124 60 See accompanying notes Principal Amount Value (000s) (000s) MMCA Automobile Trust 6.300% due 06/15/2002 $ 1,840 $ 1,840 Oakwood Mortgage Investors, Inc. 6.450% due 11/15/2027 359 358 Onyx Acceptance Auto Trust 6.590% due 09/15/2002 1,166 1,167 6.350% due 10/15/2003 395 394 Pacific Southwest Bank 6.060% due 06/15/2002 6 6 Premier Auto Trust 5.500% due 07/09/2001 26 26 Residential Funding Mortgage Securities, Inc. 10.930% due 06/01/2001 4,000 4,000 5.460% due 07/25/2029 43 43 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 268 267 Voicestream Vendor Facility 9.660% due 06/30/2009 5,000 4,963 WMC Mortgage Loan 6.830% due 03/20/2028 (d) 83 83 ----------- Total Asset-Backed Securities 46,625 (Cost $46,510) =========== -------------------------------------------------------------------------------- SOVEREIGN ISSUES 0.3% -------------------------------------------------------------------------------- Central Bank Philippines 7.940% due 06/01/2008 (d) 1,778 1,591 United Mexican States Recovery Rights 0.000% due 06/30/2003 3,025 0 ----------- Total Sovereign Issues 1,591 (Cost $1,616) =========== -------------------------------------------------------------------------------- FOREIGN CURRENCY-DENOMINATED ISSUES (c)(f) 1.6% -------------------------------------------------------------------------------- Caisse D'amort Dette Soc 3.800% due 07/25/2006 EC 5,070 4,490 Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 5,800 2,475 Kingdom of Sweden 0.000% due 04/01/2004 SK 7,427 718 Newcourt Credit Group 7.630% due 06/28/2001 C$ 500 335 United Mexican States 1.100% due 12/31/2019 (d) JY 70,000 635 ----------- Total Foreign Currency-Denominated Issues 8,653 (Cost $9,324) =========== -------------------------------------------------------------------------------- PURCHASED PUT OPTIONS 0.0% -------------------------------------------------------------------------------- U.S. Treasury Inflation Protected Securities (OTC) Strike @ 96.50 Exp. 01/29/2001 $ 100,000 0 ----------- Total Purchased Put Options 0 (Cost $33) =========== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 14.0% -------------------------------------------------------------------------------- Commercial Paper 11.0% Alcoa, Inc. 6.450% due 12/21/2000 2,100 2,069 Cba (de) Finance 6.460% due 12/14/2000 500 493 Cox Communications 6.730% due 11/06/2000 2,000 1,987 CSX Corp. 6.710% due 12/14/2000 1,200 1,198 DaimlerChrysler AG 6.460% due 12/19/2000 200 197 Dominion Resources, Inc. 6.710% due 11/06/2000 4,000 3,974 6.710% due 11/16/2000 4,000 3,966 Edison Midwest 6.740% due 11/08/2000 8,300 8,243 Federal Home Loan Mortgage Corp. 6.440% due 10/12/2000 7,000 6,987 Gannett Co. 6.490% due 11/20/2000 1,000 991 Ingersoll-Rand Co. 6.700% due 11/08/2000 13,000 12,910 International Paper Co. 6.700% due 11/01/2000 8,800 8,751 Motorola, Inc. 6.480% due 12/26/2000 7,000 6,889 Texas Utilities Co. 6.700% due 10/18/2000 500 499 ----------- 59,154 =========== Repurchase Agreements 3.0% State Street Bank 5.850% due 10/02/2000 16,142 16,142 (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 7.050% due 02/28/2002 valued at $16,467 Repurchase proceeds are $16,150.) ----------- Total Short-Term Instruments 75,296 (Cost $75,301) =========== Total Investments (a) 207.8% $ 1,117,767 (Cost $1,114,720) Other Assets and Liabilities (Net) (107.8%) (579,822) ----------- Net Assets 100.0% $ 537,945 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 4,706 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (1,659) ----------- Unrealized appreciation-net $ 3,047 =========== (b) Securities with an aggregate market value of $862 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: # of Unrealized Type Contracts Appreciation -------------------------------------------------------------------------------- U.S. Treasury 10 Year Note (12/2000) 200 $ 101 EuroBond 10 Year Note Written Put Options (11/2000) 121 44 ----------- $ 145 =========== (c) Principal amount of the security is adjusted for inflation. (d) Variable rate security. The rate listed is as of September 30, 2000. See accompanying notes 61 Schedule of Investments (Cont.) Real Return Bond Fund September 30, 2000 (Unaudited) (e) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Sell C$ 560 10/2000 $ 5 Sell EC 5,284 11/2000 (9) Buy JY 82,319 10/2000 (14) Sell 243,632 10/2000 3 Buy 82,319 11/2000 0 Sell N$ 5,688 10/2000 131 Sell 539 11/2000 3 Sell SK 6,170 10/2000 12 ----------- $ 131 =========== (f) Principal amount denoted in indicated currency: C$ - Canadian Dollar EC - Euro JY - Japanese Yen N$ - New Zealand Dollar SK - Swedish Krona (g) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount (Depreciation) -------------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR plus 0.470% and pay a fixed rate equal to 7.750%. Broker: Morgan Stanley Exp. 06/15/2005 $ 10,000 $ (215) Receive floating rate based on 3-month LIBOR plus 0.500% and pay a fixed rate equal to 7.600%. Broker: Lehman Brothers Exp. 07/15/2003 5,000 (50) Receive floating rate based on 3-month LIBOR plus 1.000% and pay to the counterparty the notional amount of $5,000 in exchange for the shares of Nabors Industries, Inc. due 6/20/2020 when the convertible debentures mature. Broker: Morgan Stanley Exp. 06/20/2003 3,042 (1) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 7.005%. Broker: Goldman Sachs Exp. 08/17/2005 10,000 (109) Receive fixed rate equal to 0.410% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Goldman Sachs Exp. 11/10/2002 1,000 0 ----------- $ (375) =========== (h) Subject to financing transaction. (i) Securities are grouped by coupon or range of coupons and represent a range of maturities. 62 See accompanying notes Schedule of Investments Short Duration Municipal Income Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 98.0% ------------------------------------------------------------------------------- Arkansas 0.8% Arkansas Development Finance Authority Health Care Facilities Revenue, Series 2000-B 5.600% due 06/01/2012 $ 100 $ 100 --------- Colorado 5.3% Denver, Colorado City and County Airport Revenue Bonds, Series 1990 8.100% due 11/15/2000 200 201 Denver, Colorado Health & Hospital Revenue Bonds, Series 1998-A 5.000% due 12/01/2002 500 494 --------- 695 ========= Florida 13.0% Atlantic Beach Florida Health Care Revenue Bonds, (ACA Insured) 5.000% due 10/01/2001 500 501 Gulf Breeze Florida Revenue Bonds, (MBIA Insured), Series 1997 4.372% due 12/01/2017 (b) 500 478 Orlando Florida, Waste Water System Revenue Bonds, Series 1997-A 3.750% due 10/01/2000 (b) 50 49 6.112% due 10/01/2015 (b) 750 681 --------- 1,709 ========= Georgia 7.6% Dalton, Georgia Utilities Revenue Bonds, (MBIA Insured), Series 1997 4.750% due 10/01/2000 500 501 Fulton County Georgia Water & Sewer Revenue Bonds, (FGIC Insured), Series 1992 5.625% due 01/01/2001 500 502 --------- 1,003 ========= Hawaii 9.2% Hawaii Airport Systems Revenue Bonds, (MBIA Insured), 6.600% due 07/01/2004 500 516 Hawaii State General Obligation Bonds, Series 1993 5.500% due 07/01/2001 500 504 Hawaii State Housing Finance & Development Corp. Revenue Bonds, Series 1998 4.250% due 07/01/2001 195 195 --------- 1,215 ========= Indiana 1.9% Indiana State Educational Facilities Authority Revenue Bonds, Series 1998 4.000% due 10/15/2000 250 250 --------- Iowa 3.8% Iowa Finance Authority, (FSA Insured), Series 2000 5.700% due 06/01/2027 500 500 --------- Kansas 5.4% Burlington Kansas Pollution Control Revenue Bonds, (MBIA Insured), Series 1991 7.000% due 06/01/2031 500 517 Kansas Development Finance Authority Health Facilities Revenue Bonds, (MBIA Insured), Series 1998 5.700% due 11/15/2023 200 200 --------- 717 ========= Maine 4.2% Eastport Maine Industrial Development Revenue Bonds, (LOC-Wachovia Bank), Series 1989 4.750% due 11/15/2001 250 251 5.100% due 11/15/2003 300 300 --------- 551 ========= Massachusetts 2.0% Massachusetts Housing Finance Agency Revenue Bonds, (AMBAC Insured), Series 1993 5.950% due 10/01/2008 250 259 --------- Minnesota 2.8% Minneapolis & St. Paul Housing & Redevelopment Authority Health Care Revenue Bonds, (FSA Insured), Series 1995 5.700% due 08/15/2025 100 100 Minnesota State Higher Education Facilities Authority Revenue Bonds, Series 1998 4.500% due 03/01/2001 270 270 --------- 370 Missouri 6.2% ========= Missouri State Health Facilities Revenue Bonds, Series 1999 5.700% due 10/01/2009 100 100 Missouri State Housing Development Community Mortgage Revenue Bonds, (GNMA/FNMA Insured), Series 1996 7.100% due 09/01/2027 195 211 St. Louis Missouri Airport Revenue Bonds, Series 2000 6.250% due 01/01/2002 500 505 --------- 816 Nevada 3.7% ========= Carson City, Nevada School District General Obligation Bond, (FGIC Insured), Series 1990 6.600% due 04/01/2001 485 490 --------- New York 3.8% New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 1999 4.300% due 07/01/2002 500 497 --------- Ohio 2.3% Ohio State Air Quality Development Authority Revenue Bonds, Series 1985 5.500% due 12/01/2015 300 300 --------- Oregon 1.5% Multnomah County, Oregon Higher Education Revenue Bonds, (Allied Irish Bank PLC Insured), Series 2000 5.700% due 12/01/2029 (b) 200 200 --------- Pennsylvania 3.8% Dauphin County, Pennsylvania General Authority Bond, (AMBAC Insured), 4.450% due 09/01/2032 500 500 --------- Rhode Island 3.9% Convention Center Authority Rhode Island Revenue Bonds, (MBIA Insured), Series 1991 6.700% due 05/15/2020 500 517 --------- Texas 11.4% Dallas-Fort Worth International Airport Facility Improvement Corp. Revenue Bonds, Series 2000 5.950% due 05/01/2029 500 502 Midlothian Texas Independent School District General Obligation, (PSF-GTD Insured), Series 1999 0.010% due 02/15/2001 500 492 Tarrant County, Texas Water Control & Refund & Import Revenue Bonds, (AMBAC Insured), Series 1992 5.750% due 03/01/2013 500 503 --------- 1,497 ========= Washington 1.5% Washington Economic Development Finance Authority Revenue Bonds, Series 1998 5.750% due 09/01/2018 200 200 --------- See accompanying notes 63 Schedule of Investments (Cont.) Short Duration Municipal Income Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Wisconsin 3.9% Oshkosh Water Revenue Bonds, Series 1999 4.700% due 01/01/2002 $ 265 $ 265 Wisconsin State Health & Education Facilities Authority Revenue Bond, (MBIA Insured), Series 1991 6.000% due 11/15/2000 150 150 Wisconsin State Health & Education Facilities Authority Revenue Bonds, (Loc-Allied Irish Bank PLC Insured), Series 1997 5.700% due 11/01/2017 (b) 100 100 ----------- 515 ----------- Total Municipal Bonds & Notes 12,901 (Cost $12,847) =========== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 0.4% -------------------------------------------------------------------------------- Commercial Paper 0.4% SSgA Tax Free Money Market 4.570% due 10/02/2000 53 53 ----------- Total Short-Term Instruments 53 (Cost $53) =========== Total Investments (a) 98.4% $ 12,954 (Cost $12,900) Other Assets and Liabilities (Net) 1.6% 205 ----------- Net Assets 100.0% $ 13,159 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 65 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (11) ----------- Unrealized appreciation-net $ 54 =========== (b) Variable rate security. The rate listed is as of September 30, 2000. 64 See accompanying notes Schedule of Investments Short-Term Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 64.3% -------------------------------------------------------------------------------- Banking & Finance 43.0% Allied Irish Banks 7.028% due 09/07/2006 (d) $ 3,000 $ 3,013 Amerco, Inc. 6.890% due 10/15/2000 5,000 4,950 Banco Nacional Obra Services 9.625% due 11/15/2003 6,900 7,150 Bank One Corp. 6.410% due 01/24/2002 (d) 2,000 2,003 BankBoston Corp. 6.125% due 03/15/2002 1,000 989 Bankers Trust Corp. 6.200% due 05/11/2003 (d) 11,000 10,998 Bear Stearns Companies, Inc. 7.048% due 09/21/2004 (d) 3,900 3,896 Citigroup, Inc. 6.565% due 08/19/2003 (d) 11,040 10,814 Dime Bancorp, Inc. 6.375% due 01/30/2001 17,600 17,524 7.000% due 07/25/2001 2,400 2,389 Donaldson, Lufkin & Jenrette, Inc. 7.250% due 07/18/2003 (d) 8,000 8,021 DQE Capital Corp. 6.781% due 01/15/2002 (d) 2,000 1,999 Export-Import Bank Korea 6.500% due 02/10/2002 1,000 985 First USA Bank 6.790% due 05/15/2002 (d) 6,000 6,016 Ford Motor Credit Corp. 6.210% due 08/27/2001 (d) 6,840 6,841 6.927% due 03/19/2002 (d) 4,295 4,313 6.952% due 12/16/2002 (d) 10,000 9,975 7.110% due 06/02/2003 (d) 2,500 2,503 7.173% due 07/18/2005 (d) 10,000 10,017 General Motors Acceptance Corp. 6.840% due 01/08/2002 (d) 1,000 1,000 6.190% due 08/18/2003 (d) 16,575 16,535 Golden State Holdings 6.750% due 08/01/2001 7,000 6,893 Goldman Sachs Group 6.511% due 01/17/2003 (d) 8,000 8,011 Heller Financial, Inc. 6.980% due 04/22/2002 (d) 12,900 12,899 6.500% due 07/22/2002 1,000 989 Korea Development Bank 7.675% due 10/06/2000 (d) 2,000 2,000 7.181% due 10/18/2000 (d) 500 500 9.600% due 12/01/2000 800 803 9.450% due 03/15/2001 375 379 7.900% due 02/01/2002 900 902 7.625% due 10/01/2002 2,500 2,502 Lehman Brothers Holdings, Inc. 7.352% due 05/07/2002 (d) 3,000 3,019 6.690% due 04/04/2003 (d) 3,000 3,001 MBNA Corp. 6.741% due 03/23/2001 (d) 9,500 9,508 Merrill Lynch & Co. 6.991% due 08/01/2003 (d) 4,000 4,002 MFN Financial Corp. 7.130% due 09/13/2001 (d) 5,000 5,002 Midamerican Funding LLC 5.850% due 03/01/2001 1,000 995 Morgan Stanley, Dean Witter, Discover and Co. 6.500% due 01/28/2002 (d) 8,600 8,615 National Consumer Coop Bank 7.528% due 04/02/2001 (d) 16,000 16,013 7.513% due 10/26/2001 (d) 10,000 10,003 PaineWebber 7.290% due 07/15/2002 (d) 10,000 10,006 PP&L Capital Funding, Inc. 5.860% due 10/17/2000 24,000 23,992 Protective Life Funding Trust 7.090% due 01/17/2003 (d) 2,000 1,997 PS Colorado Credit Corp. 7.477% due 05/30/2002 (d) 2,000 1,999 Qwest Capital Funding, Inc. 6.875% due 08/15/2001 15,430 15,418 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 3,265 3,226 7.010% due 07/18/2007 (d) 5,000 5,009 Transamerica Finance Corp. 6.910% due 12/14/2001 (d) 4,000 4,004 U.S. Bancorp 6.941% due 02/03/2003 (d) 3,700 3,702 ----------- 297,320 =========== Industrials 14.9% Air Canada 6.237% due 07/31/2005 1,818 1,672 Clear Channel Communications, Inc. 7.327% due 06/15/2002 (d) 900 902 COFIRI International, Inc. 6.502% due 10/27/2000 (d) 2,000 1,997 Columbia/HCA Healthcare 8.160% due 09/19/2002 (d) 10,000 10,000 Enron Corp. 7.250% due 09/10/2001 (d) 3,000 3,000 ICI Wilmington 9.500% due 11/15/2000 5,620 5,628 ITT Corp. 6.250% due 11/15/2000 3,000 2,995 J Seagram & Sons 5.790% due 04/15/2001 9,000 8,914 6.250% due 12/15/2001 10,300 10,189 Kroger Co. 6.340% due 06/01/2001 8,250 8,220 Lockheed Martin Corp. 6.850% due 05/15/2001 10,000 9,964 Petroleos Mexicanos 9.375% due 12/02/2008 1,000 1,030 Racers 7.118% due 03/03/2003 (d) 10,000 10,000 Raytheon Co. 7.020% due 08/10/2001 (d) 10,000 10,008 Staples, Inc. 7.670% due 11/26/2001 (d) 1,400 1,400 Time Warner, Inc. 6.100% due 12/30/2001 3,000 2,959 Tyco International Group SA 6.125% due 06/15/2001 6,074 6,020 Williams Communications Group, Inc. 7.220% due 11/15/2001 (d) 7,500 7,505 ----------- 102,403 =========== Utilities 6.4% Appalachian Power Co. 7.270% due 06/27/2001 (d) 900 900 Central Power & Light Co. 7.268% due 02/22/2002 (d) 2,000 1,999 Coastal Corp. 7.330% due 07/21/2003 (d) 5,000 5,012 Commonwealth Edison Co. 7.285% due 09/30/2003 (d) 2,000 2,000 Deutsche Telekom AG 7.750% due 06/15/2005 5,000 5,123 Dominion Resources, Inc. 7.310% due 09/16/2012 (d) 6,500 6,519 Indiana Michigan Power Co. 7.245% due 09/03/2002 (d) 1,000 1,000 Nevada Power Co. 7.270% due 08/20/2001 (d) 5,000 4,999 Oneok, Inc. 6.960% due 04/24/2002 (d) 5,000 5,006 Sierra Pacific Resources 7.390% due 04/20/2002 (d) 3,000 3,000 7.340% due 04/20/2003 (d) 5,000 5,003 See accompanying notes 65 Schedule of Investments (Cont.) Short-Term Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) UGI Utilities, Inc. 6.170% due 03/06/2001 $ 250 $ 249 WorldCom, Inc. 7.050% due 11/26/2001 (d) 3,700 3,704 ----------- 44,514 ----------- Total Corporate Bonds & Notes 444,237 (Cost $443,380) =========== -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 0.3% -------------------------------------------------------------------------------- North Carolina 0.3% North Carolina State Education Assistance Authority Revenue Bonds, (GTD Insured), Series 2000 7.000% due 06/01/2009 (d) 2,000 2,000 ----------- Total Municipal Bonds & Notes 2,000 (Cost $2,000) =========== -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 10.3% -------------------------------------------------------------------------------- Federal Home Loan Bank 6.750% due 02/01/2002 70,000 70,252 Federal National Mortgage Association 5.750% due 04/15/2003 850 836 ----------- Total U.S. Government Agencies 71,088 (Cost $70,911) =========== -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 4.6% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (g) 3.625% due 07/15/2002 (h) 29,529 29,520 3.625% due 01/15/2008 2,137 2,088 ----------- Total U.S. Treasury Obligations 31,608 (Cost $31,494) =========== -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 23.2% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 15.0% CMC Securities Corp. 7.500% due 02/25/2023 2,089 2,083 Dime Savings 6.937% due 11/01/2018 (d) 209 189 Donaldson, Lufkin & Jenrette, Inc. 7.450% due 10/17/2020 (d) 489 502 7.786% due 09/01/2021 (d) 24 24 7.437% due 05/01/2026 (d) 125 125 Federal Home Loan Mortgage Corp. 6.750% due 03/15/2007 833 831 6.500% due 10/25/2014 3,833 3,767 5.750% due 10/15/2016 12 12 6.000% due 07/15/2019 4,178 4,133 6.875% due 06/15/2023 (d) 474 474 Federal National Mortgage Association 7.256% due 12/25/2000 (d) 339 339 7.250% due 04/25/2007 2,310 2,306 6.000% due 02/25/2008 1,051 1,033 6.206% due 07/25/2008 (d) 1,344 1,326 6.250% due 06/18/2015 1,720 1,709 6.000% due 08/18/2016 30,659 30,351 7.221% due 10/25/2017 (d) 4,992 4,990 5.875% due 03/25/2018 62 62 7.000% due 12/25/2019 11,773 11,736 6.000% due 08/25/2020 1,950 1,919 5.000% due 02/25/2022 59 58 6.500% due 09/18/2023 1,788 1,772 8.936% due 06/25/2032 8,795 9,020 First Nationwide Trust 6.495% due 10/25/2018 (d) 3 3 General Electric Capital Mortgage Services, Inc. 6.750% due 12/25/2012 5,258 5,220 Greenwich 7.647% due 04/25/2022 (d) 62 62 8.149% due 10/25/2022 (d) 31 31 Housing Securities, Inc. 6.000% due 02/25/2008 567 564 Independent National Mortgage Corp. 7.250% due 11/25/2010 4,000 4,011 Prudential Bache 6.252% due 09/01/2018 (d) 22 21 Prudential Home Mortgage Securities 6.950% due 11/25/2022 233 214 Residential Funding Mortgage Securities, Inc. 7.142% due 12/01/2018 1,040 1,061 Resolution Trust Corp. 6.855% due 05/25/2029 (d) 530 525 Saxon Asset Securities Trust 7.585% due 12/25/2014 4,475 4,469 TMA Mortgage Funding Trust 7.000% due 01/25/2029 (d) 8,675 8,675 ----------- 103,617 =========== Federal Home Loan Mortgage Corporation 0.1% 7.500% due 11/01/2001 856 855 Federal National Mortgage Association 2.0% 6.000% due 12/18/2014 5,305 5,268 6.150% due 09/25/2016 4,554 4,506 7.000% due 06/01/2003 2,089 2,087 8.500% due 01/01/2026 1,635 1,681 ----------- 13,542 =========== Government National Mortgage Association 5.7% 6.750% due 09/20/2023-08/20/2027 (b)(d) 7,376 7,433 7.125% due 11/20/2026 (d) 12,420 12,508 7.375% due 02/20/2024 (d) 10,308 10,390 7.380% due 04/20/2025 (d) 475 478 8.000% due 10/23/2099 3,950 4,020 8.500% due 06/20/2027 4,704 4,820 ----------- 39,649 =========== Other Mortgage-Backed Securities 0.3% CDC Depositor Trust I 7.098% due 12/14/2001 (d) 2,000 2,006 ----------- 2,006 =========== Stripped Mortgage-Backed Securities 0.1% ABN AMRO Mortgage Corp. (IO) 6.750% due 08/25/2029 1,192 119 Federal Home Loan Mortgage Corp. (IO) 7.000% due 06/15/2019 3,920 251 Federal National Mortgage Association (IO) 7.000% due 07/25/2006 1,135 55 6.500% due 12/25/2006 883 11 6.500% due 06/25/2017 630 10 6.500% due 10/25/2023 1,302 156 ----------- 602 ----------- Total Mortgage-Backed Securities 160,271 (Cost $161,479) =========== -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 10.2% -------------------------------------------------------------------------------- Advanta Revolving Home Equity Loan Trust 6.990% due 01/25/2024 (d) 229 230 American Residential Eagle Trust 6.960% due 07/25/2029 (d) 1,646 1,647 Associates Manufactured Housing 7.000% due 03/15/2027 402 402 Bay View Financial Revolving 7.920% due 08/25/2029 (d) 2,000 1,967 Brazos Student Loan Finance Co. 7.290% due 06/01/2023 (d) 20,000 19,802 Capital Asset Research Funding LP 6.400% due 12/15/2004 1,725 1,743 Chase Manhattan Grantor Trust 5.200% due 02/15/2002 98 98 Columbia/HCA Healthcare 8.437% due 09/13/2001 1,250 1,241 Community Trust Bancorp, Inc. 6.500% due 09/15/2003 435 433 Delta Funding Home Equity Loan Trust 7.036% due 09/15/2029 (d) 1,759 1,766 First Security Auto Owner Trust 5.580% due 06/15/2003 7,896 7,865 66 See accompanying notes Principal Amount Value (000s) (000s) ------------------------------------------------------------------------------ Flag Ltd. 8.437% due 02/18/2006 $ 2,083 $ 2,078 Green Tree Home Improvement Loan Trust 6.796% due 08/15/2029 (d) 2,162 2,160 Metris Master Trust 7.270% due 04/20/2006 (d) 6,000 6,030 MLCC Mortgage Investors, Inc. 6.998% due 03/15/2025 (d) 3,153 3,165 Onyx Acceptance Auto Trust 6.180% due 04/15/2002 503 502 Salomon Brothers Mortgage Securities 6.971% due 07/25/2029 (d) 3,409 3,413 7.071% due 11/15/2029 (d) 1,656 1,660 7.102% due 12/15/2029 (d) 2,000 2,000 6.960% due 12/25/2029 (d) 4,578 4,590 The Money Store Home Equity Trust 6.635% due 09/15/2014 5,097 5,082 6.345% due 11/15/2021 (d) 90 89 UAF Auto Grantor Trust 6.100% due 06/15/2004 918 912 UniCapital Corp. 6.540% due 07/23/2002 1,307 1,305 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 321 319 ----------- Total Asset-Backed Securities 70,499 (Cost $70,524) =========== ------------------------------------------------------------------------------ SOVEREIGN ISSUES 0.5% ------------------------------------------------------------------------------ Republic of Brazil 7.375% due 04/15/2006 (d) 3,720 3,510 ----------- Total Sovereign Issues 3,510 (Cost $3,488) =========== ------------------------------------------------------------------------------ FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 2.3% ------------------------------------------------------------------------------ Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 5,400 2,304 Tecnost International NV 6.368% due 06/23/2004 (d) EC 15,000 13,388 ----------- Total Foreign Currency-Denominated Issues 15,692 (Cost $17,213) =========== ------------------------------------------------------------------------------ CONVERTIBLE BONDS & NOTES 0.3% ------------------------------------------------------------------------------ Industrial 0.3% Hercules Trust VI 9.110% due 12/29/2000 (d) $ 2,430 2,428 ----------- Total Convertible Bonds & Notes 2,428 (Cost $2,429) =========== ------------------------------------------------------------------------------ SHORT-TERM INSTRUMENTS 7.9% ------------------------------------------------------------------------------ Commercial Paper 7.3% American Electric Power, Inc. 6.700% due 10/18/2000 900 897 Burlington Northern 6.735% due 10/04/2000 24,300 24,291 Conagra, Inc. 6.680% due 10/27/2000 900 896 Dominion Resources, Inc. 6.710% due 11/16/2000 700 694 Houston Industries 6.800% due 11/08/2000 9,400 9,334 Infinity Broadcasting Corp. 6.720% due 11/29/2000 8,200 8,111 Motorola, Inc. 6.470% due 12/27/2000 400 394 Sumitomo Corp. of America 6.740% due 11/01/2000 200 199 Williams Cos., Inc. 7.231% due 04/10/2001 5,600 5,602 ----------- 50,418 =========== Repurchase Agreement 0.6% State Street Bank 5.850% due 10/02/2000 4,086 4,086 (Dated 9/29/2000. Collateralized by Federal Home Loan Mortgage Corp. 7.050% due 09/19/2003 valued at $4,170 Repurchase proceeds are $4,088.) ----------- Total Short-Term Instruments 54,504 (Cost $54,504) =========== Total Investments (a) 123.9% $ 855,837 (Cost $857,422) Written Options (c) (0.0%) (36) (Premiums $52) Other Assets and Liabilities (Net) (23.9%) (164,902) ----------- Net Assets 100.0% $ 690,899 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 1,739 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (3,324) ----------- Unrealized depreciation-net $ (1,585) =========== (b) Securities are grouped by coupon or range of coupons and represent a range of maturities. (c) Premiums received on written options: # of Type Contracts Premium Value -------------------------------------------------------------------------------- Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.750% Exp. 10/05/2000 50,000,000 $ 52 $ 36 --------------------- (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Sell EC 15,432 10/2000 $ 269 Sell BP 3,327 10/2000 (78) Buy 3,327 10/2000 56 Sell N$ 6,006 10/2000 114 ----------- $ 361 =========== (f) Principal amount denoted in indicated currency: BP - British Pound EC - Euro N$ - New Zealand Dollar (g) Principal amount of the security is adjusted for inflation. See accompanying notes 67 Schedule of Investments (Cont.) Short-Term Fund September 30, 2000 (Unaudited) (h) Subject to financing transaction. (i) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount Depreciation -------------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR plus 0.470% and pay a fixed rate equal to 7.750%. Broker: Morgan Stanley Exp. 06/15/2005 $ 5,000 $ (107) Receive fixed rate equal to 0.430% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 07/11/2003 5,000 0 Receive fixed rate equal to 0.230% and the Fund will pay to the counterparty at par in the event of default of Associates Corp. 6.000% due 04/15/2003. Broker: Warburg Dillon Read LLC Exp. 01/14/2003 4,000 0 Receive fixed rate equal to 0.250% and the Fund will pay to the counterparty at par in the event of default of Pacific Gas & Electric Corp. 6.550% due 12/08/2005. Broker: J.P. Morgan Exp. 05/23/2003 5,000 0 ----------- $ (107) =========== (j) Reverse repurchase agreements were entered into on various days paying various interest rates. The following securities were segregated with collateral for reverse repurchase agreements: Type Maturity Value -------------------------------------------------------------------------------- Entered into on September 18, 2000 paying interest at 6.570% Federal National Mortgage Assn. 7.000% 12/25/2019 $ 11,736 Entered into on September 25, 2000 paying interest at 6.520% Government National Mortgage Assn. 7.375% 02/20/2024 10,390 Government National Mortgage Assn. 7.125% 11/20/2026 12,508 Entered into on September 26, 2000 paying interest at 6.580% Federal National Mortgage Assn. 6.000% 08/18/2016 30,351 ----------- $ 64,985 =========== 68 See accompanying notes Schedule of Investments StocksPLUS Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 46.6% -------------------------------------------------------------------------------- Banking & Finance 19.2% Associates Corp. of North America 6.960% due 05/08/2003 (d) $ 11,800 $ 11,791 AT&T Capital Corp. 7.110% due 09/13/2001 (d) 2,100 2,104 7.010% due 04/23/2002 (d) 5,725 5,741 Bear Stearns Co., Inc. 6.130% due 02/01/2003 (d) 1,100 1,078 7.050% due 09/21/2004 (d) 16,800 16,783 Beaver Valley Funding Corp. 8.250% due 06/01/2003 1,193 1,182 Capital One Bank 7.610% due 06/23/2003 (d) 5,400 5,400 CIT Group, Inc. 6.200% due 10/20/2000 3,600 3,599 DaimlerChrysler Financial Services LLC 6.790% due 02/10/2003 (d) 9,600 9,602 Donaldson, Lufkin & Jenrette, Inc. 6.760% due 04/25/2003 (d) 6,900 6,898 Ford Motor Credit Corp. 6.840% due 11/16/2001 (d) 11,000 11,010 6.810% due 03/19/2002 (d) 590 593 6.990% due 07/16/2002 (d) 6,800 6,815 6.820% due 12/16/2002 (d) 3,800 3,790 6.810% due 02/13/2003 (d) 15,000 14,981 6.850% due 03/17/2003 (d) 500 499 General Motors Acceptance Corp. 6.190% due 02/25/2002 (d) 1,000 1,000 Gold Eagle Capital Ltd. 12.130% due 04/15/2001 10,000 10,000 Goldman Sachs Group 7.090% due 03/04/2002 (d) 9,000 9,018 GS Escrow Corp. 7.710% due 08/01/2003 (d) 6,000 5,823 Heller Financial, Inc. 7.070% due 10/22/2001 (d) 10,800 10,823 Household Finance Corp. 6.780% due 06/22/2001 (d) 5,000 5,006 Lehman Brothers Holdings, Inc. 6.970% due 06/03/2002 (d) 600 600 7.530% due 07/15/2002 (d) 3,005 3,030 7.170% due 04/04/2003 (d) 10,200 10,203 6.700% due 11/30/2006 (d) 1,910 1,767 LG&E Capital Corp. 7.490% due 06/18/2001 (d) 6,400 6,402 MBNA America Bank NA 6.960% due 06/10/2004 (d) 10,000 10,007 Merrill Lynch & Co. 6.520% due 10/10/2000 (d) 3,000 3,001 6.730% due 06/18/2001 (d) 10,000 9,999 6.730% due 01/11/2002 (d) 8,550 8,591 6.920% due 02/04/2003 (d) 6,000 5,997 7.180% due 03/17/2004 (d) 100 100 MFN Financial Corp. 6.980% due 09/13/2001 (d) 4,000 4,002 Nacional Financiera 10.560% due 12/01/2000 (d) 10,500 10,448 National Australia Bank Ltd. 7.320% due 05/19/2010 (d) 11,700 11,810 NationsBank Corp. 7.030% due 02/18/2002 (d) 100 98 Old Kent Bank 7.460% due 11/01/2005 4,500 4,496 Qwest Capital Funding, Inc. 7.200% due 07/08/2002 (d) 17,500 17,516 Republic New York Corp. 5.280% due 10/28/2002 (d) 100 99 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 3,352 3,312 6.510% due 04/02/2002 (d) 3,800 3,817 6.910% due 02/11/2003 (d) 5,000 5,004 6.530% due 03/26/2003 (d) 5,000 5,007 Wells Fargo & Co. 7.220% due 05/02/2005 (d) 6,400 6,398 ----------- 275,240 =========== Industrials 17.2% Air Canada 6.800% due 07/31/2005 (d) 10,909 10,033 Amerco, Inc. 6.890% due 10/15/2000 16,800 16,632 Arrow Electronics, Inc. 7.440% due 11/24/2000 (d) 15,000 14,997 Atlas Air, Inc. 10.470% due 10/04/2004 (d) 7,000 7,000 Black & Decker Corp. 7.640% due 12/20/2001 (d) 7,250 7,289 Cemex SA 9.250% due 06/17/2002 300 306 Clear Channel Communications, Inc. 7.210% due 06/15/2002 (d) 5,600 5,613 COFIRI International, Inc. 6.630% due 10/27/2000 (d) 2,000 1,997 Columbia/HCA Healthcare 8.160% due 09/19/2002 (d) 37,800 37,800 CSX Corp. 7.260% due 06/24/2002 (d) 6,900 6,901 El Paso Energy Corp. 6.930% due 07/15/2001 (d) 4,800 4,803 Enron Corp. 7.110% due 09/10/2001 (d) 1,000 1,000 8.000% due 08/15/2005 1,100 1,117 ITT Corp. 6.250% due 11/15/2000 24,065 24,022 Kroger Co. 6.340% due 06/01/2001 2,000 1,993 Marlin Water Trust 7.090% due 12/15/2001 4,049 4,026 Merita 6.470% due 12/01/2005 (d) 1,000 1,005 Occidental Petroleum 7.360% due 10/03/2008 (d) 600 599 Petroleos Mexicanos 8.130% due 07/15/2005 (d) 18,000 18,045 Raytheon Co. 7.020% due 08/10/2001 (d) 8,900 8,907 Rollins Truck Leasing Co. 8.250% due 05/01/2002 29,900 29,982 Stone Container Corp. 10.750% due 10/01/2002 3,435 3,499 TCI Communications, Inc. 7.300% due 04/03/2002 (d) 11,600 11,752 7.360% due 03/11/2003 (d) 4,000 4,079 TRW, Inc. 6.450% due 06/15/2001 400 397 Tyco International Group SA 7.370% due 03/05/2001 (d) 14,500 14,516 Waste Management, Inc. 6.000% due 05/15/2001 1,500 1,470 Williams Communications Group, Inc. 7.180% due 11/15/2001 (d) 6,900 6,904 ----------- 246,684 =========== Utilities 10.2% Appalachian Power Co. 7.270% due 06/27/2001 (d) 12,000 12,003 Central Power & Light Co. 7.290% due 11/23/2001 (d) 3,600 3,600 Dominion Resources, Inc. 7.030% due 01/26/2001 (d) 400 400 Entergy Arkansas, Inc. 7.720% due 03/01/2003 (d) 3,700 3,739 Hughes Electric 7.560% due 10/23/2000 (d) 4,500 4,501 Montana Power Co. 7.000% due 04/06/2001 (d) 1,200 1,200 Nevada Power Co. 7.210% due 06/12/2001 (d) 13,000 13,000 Niagara Mohawk Power 7.130% due 07/01/2001 6,805 6,807 North Atlantic Energy 9.050% due 06/01/2002 599 605 See accompanying notes 69 Schedule of Investments (Cont.) StocksPLUS Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------------------ Public Service Enterprise Group, Inc. 7.040% due 11/22/2000 (d) $ 15,000 $ 14,999 Scana Corp. 7.380% due 07/15/2002 (d) 11,300 11,316 Sprint Capital Corp. 6.970% due 11/15/2001 (d) 25,600 25,611 7.010% due 06/10/2002 (d) 1,100 1,101 System Energy Resources 7.710% due 08/01/2001 250 251 Texas Utilities Co. 7.210% due 06/25/2001 (d) 1,900 1,899 7.590% due 09/24/2001 (d) 14,000 14,074 5.940% due 10/15/2001 28,725 28,348 6.410% due 11/21/2001 1,000 993 Western Massachusetts Electric 7.750% due 12/01/2002 1,882 1,883 ----------- 146,330 ----------- Total Corporate Bonds & Notes 668,254 (Cost $667,130) =========== ------------------------------------------------------------------------------ U.S. GOVERNMENT AGENCIES 0.2% ------------------------------------------------------------------------------ Student Loan Marketing Assn 6.480% due 07/25/2004 (d) 252 252 6.920% due 04/25/2006 (d) 2,910 2,898 ----------- Total U.S. Government Agencies 3,150 (Cost $3,136) =========== ------------------------------------------------------------------------------ U.S. TREASURY OBLIGATIONS 9.0% ------------------------------------------------------------------------------ Treasury Inflation Protected Securities (b)(c) 3.630% due 07/15/2002 111,105 111,070 3.630% due 01/15/2008 18,802 18,373 ----------- Total U.S. Treasury Obligations 129,443 (Cost $128,947) =========== ------------------------------------------------------------------------------ MORTGAGE-BACKED SECURITIES 23.8% ------------------------------------------------------------------------------ Collateralized Mortgage Obligations 10.0% Bank Mart 6.880% due 03/01/2019 (d)(i) 4,483 4,544 Countrywide Home Loans 6.050% due 04/25/2029 5,768 5,692 CS First Boston Mortgage Securities Corp. 6.960% due 06/20/2029 2,486 2,483 Donaldson, Lufkin & Jenrette, Inc. 7.910% due 10/17/2020 (d) 139 142 Federal Home Loan Mortgage Corp. 7.000% due 06/15/2023 745 743 6.500% due 08/15/2023 7,495 7,428 Federal National Mortgage Assn 5.700% due 06/25/2017 534 529 6.760% due 04/25/2020 (d) 18 18 6.500% due 05/18/2024 3,411 3,377 General Electric Capital Mortgage Services, Inc. 6.300% due 09/25/2023 2,000 1,977 6.250% due 10/25/2028 794 785 6.250% due 12/25/2028 1,472 1,337 Government National Mortgage Assn 7.300% due 09/20/2030 (d) 20,919 20,912 7.020% due 09/29/2030 (d) 300 300 7.300% due 02/16/2030 (d) 15,008 15,023 7.220% due 02/16/2030 (d) 26,654 26,729 Greenwich 7.980% due 04/25/2022 (d) 225 224 8.150% due 10/25/2022 (d) 8 8 Housing Securities, Inc. 7.320% due 07/25/2032 (d) 425 425 ICI Funding Corp. Secured Assets Corp. 7.650% due 07/25/2028 3,569 3,555 Independent National Mortgage Corp. 8.350% due 06/25/2025 67 66 Norwest Asset Securities Corp. 6.750% due 08/25/2029 8,551 8,474 PaineWebber Mortgage 6.430% due 02/25/2001 (d) 251 249 PNC Mortgage Securities Corp. 6.630% due 03/25/2028 7,352 7,237 7.500% due 10/25/2030 6,200 6,208 Resecuritization Mortgage Trust 6.870% due 04/26/2021 (d) 318 312 Residential Funding Mortgage Securities, Inc. 6.280% due 03/25/2018 (d) 1,552 1,504 Resolution Trust Corp. 8.000% due 06/25/2026 822 827 7.590% due 05/25/2029 (d) 13 13 Structured Asset Mortgage Investments, Inc. 9.040% due 06/25/2029 (d) 17,693 18,225 Structured Asset Securities Corp. 6.790% due 12/25/2000 (d) 298 298 TMA Mortgage Funding Trust 7.000% due 01/25/2029 (d) 4,368 4,368 ----------- 144,012 =========== Federal Home Loan Mortgage Corporation 0.3% 6.770% due 07/01/2019 (d) 2,554 2,537 7.620% due 12/01/2022 (d) 532 543 8.160% due 06/01/2022 (d) 350 358 8.500% due 04/01/2025-06/01/2025 (j) 183 188 ----------- 3,626 =========== Federal National Mortgage Association 0.7% 6.130% due 03/01/2029 (d) 345 338 6.440% due 05/01/2017 (d) 245 241 6.450% due 07/01/2018-02/01/2031 (d)(j) 3,306 3,245 6.500% due 09/01/2005 5,187 5,135 6.610% due 04/01/2018 (d) 93 92 7.900% due 05/01/2022 (d) 280 284 ----------- 9,335 =========== Government National Mortgage Association 12.7% 6.750% due 07/20/2018-08/20/2026 (d)(j) 16,603 16,777 7.000% due 10/23/2030 101,400 99,879 7.120% due 02/16/2030 (d) 27,543 27,672 7.130% due 12/20/2022-12/20/2027 (d)(j) 7,942 8,000 7.380% due 02/20/2026-02/20/2028 (d)(j) 17,952 18,086 7.500% due 10/23/2030 11,800 11,833 ----------- 182,247 =========== Other Mortgage-Backed Securities 0.1% California Federal Savings & Loan 6.780% due 07/25/2018 (d) 20 20 Fund America 7.550% due 06/25/2023 (d) 114 114 J.P. Morgan & Co. 6.820% due 01/25/2018 (d) 301 295 Resolution Trust Corp. 7.540% due 12/25/2023 (d) 2 2 Structured Asset Securities Corp. 7.110% due 09/25/2036 (d) 804 797 ----------- 1,228 =========== Stripped Mortgage-Backed Securities 0.0% Federal Home Loan Mortgage Corp. (IO) 6.500% due 08/15/2006 1,199 55 6.500% due 08/15/2016 24 0 7.500% due 08/15/2019 281 4 Federal National Mortgage Association (IO) 6.000% due 11/25/2000 61 0 7.000% due 07/25/2006 227 11 6.500% due 09/25/2008 219 18 6.500% due 02/25/2021 1,992 109 7.000% due 07/25/2021 628 89 6.500% due 03/25/2023 3,225 361 ----------- 647 ----------- Total Mortgage-Backed Securities 341,095 (Cost $341,483) =========== 70 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 8.1% -------------------------------------------------------------------------------- AFC Home Equity Loan Trust 6.770% due 06/25/2028 (d) $ 7,862 $ 7,851 Allied Waste Industries, Inc. 9.440% due 07/30/2006 2,274 2,205 9.690% due 07/30/2007 (d) 2,364 2,294 9.750% due 07/30/2007 (d) 364 353 Amresco Residential Securities Mortgage Loan Trust 6.810% due 07/25/2027 (d) 15 15 6.780% due 05/25/2028 (d) 711 710 Arcadia Automobile Receivables Trust 6.500% due 06/17/2002 70 70 Argentina Funding Corp. 6.880% due 05/20/2003 16,000 16,050 Bayview Financial Acquisition Trust 7.170% due 02/25/2029 5,140 5,157 Community Trust Bancorp, Inc. 6.500% due 09/15/2003 508 505 Contimortgage Home Equity Loan Trust 6.790% due 10/15/2012 (d) 32 32 Cross Country Master Credit 7.150% due 06/15/2006 15,400 15,400 Green Tree Home Improvement Loan Trust 6.740% due 11/15/2029 (d) 7,775 7,780 Green Tree Recreational Equipment 6.430% due 04/17/2006 1,960 1,957 MGM Grand Term Loan 7.870% due 05/06/2001 (d) 9,709 9,686 Novastar Home Equity Loan 6.900% due 04/25/2028 (d) 3,291 3,286 Salomon Brothers Mortgage Securities 6.960% due 02/25/2030 (d) 21,700 21,756 Student Loan Marketing Assn 6.860% due 10/25/2005 (d) 7,395 7,367 The Money Store Home Equity Trust 6.550% due 09/15/2021 583 582 6.350% due 11/15/2021 (d) 180 179 USAA Auto Loan Grantor Trust 6.100% due 02/15/2006 12,551 12,475 WMC Mortgage Loan 6.830% due 03/20/2028 (d) 166 166 ----------- Total Asset-Backed Securities 115,876 (Cost $115,769) =========== -------------------------------------------------------------------------------- SOVEREIGN ISSUES 6.3% -------------------------------------------------------------------------------- Hydro-Quebec 6.500% due 09/29/2049 (d) 1,200 1,065 Nacional Financiera 8.570% due 05/08/2003 (d) 6,000 6,094 Republic of Argentina 7.380% due 03/31/2005 (d) 160 147 11.600% due 04/10/2005 (d) 1,400 1,302 Republic of Brazil 7.880% due 01/01/2001 (d) 680 680 7.380% due 04/15/2006 (d) 69,983 65,875 Republic of Bulgaria 7.750% due 07/28/2011 (d) 3,000 2,273 Republic of Croatia 7.000% due 02/27/2002 3,000 2,937 Republic of Panama 7.930% due 05/10/2002 (d) 1,099 1,085 United Mexican States 10.020% due 04/07/2004 (d) 9,000 9,360 ----------- Total Sovereign Issues 90,818 (Cost $89,502) =========== -------------------------------------------------------------------------------- FOREIGN CURRENCY-DENOMINATED ISSUES (f)(g) 4.1% -------------------------------------------------------------------------------- Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 9,750 4,161 Export-Import Bank Korea 3.840% due 10/06/2000 (d) DM 11,370 5,132 Korea Development Bank 2.560% due 06/26/2001 JY 1,000,000 9,364 Tecnost International NV 6.670% due 06/23/2004 (d) EC 36,100 32,193 United Mexican States 8.750% due 05/30/2002 BP 3,000 4,493 7.000% due 06/02/2003 C$ 6,000 3,852 ----------- Total Foreign Currency-Denominated Issues 59,195 (Cost $66,217) =========== -------------------------------------------------------------------------------- PURCHASED PUT OPTIONS 0.0% -------------------------------------------------------------------------------- S&P 500 Index December Futures Strike @ 850.00 Exp. 12/15/2000 $ 20 0 Strike @ 800.00 Exp. 12/15/2000 100 0 Strike @ 750.00 Exp. 12/15/2000 713 0 Strike @ 700.00 Exp. 12/15/2000 13 0 ----------- Total Purchased Put Options 0 (Cost $75) =========== -------------------------------------------------------------------------------- PREFERRED SECURITY 0.1% -------------------------------------------------------------------------------- Shares DG Funding Trust 9.030% due 12/29/2049 (d) 110 1,103 ----------- Total Preferred Security 1,103 (Cost $1,103) =========== -------------------------------------------------------------------------------- PREFERRED STOCK 0.6% -------------------------------------------------------------------------------- TCI Communications, Inc. 9.720% due 12/31/2036 303,565 7,893 ----------- Total Preferred Stock 7,893 (Cost $7,996) =========== -------------------------------------------------------------------------------- COMMON STOCKS 1.1% -------------------------------------------------------------------------------- Utilities 1.1% Eastern Enterprises 2,700 171 Florida Progress Corp. 300 164 LG&E Energy Corp. 11,000 268 MCN Energy Group, Inc. 392,500 10,051 Northeast Utilities 241,900 5,239 ----------- Total Common Stocks 15,893 (Cost $15,578) =========== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 9.5% -------------------------------------------------------------------------------- Principal Amount (000s) Commercial Paper 8.8% Alcoa, Inc. 6.500% due 12/21/2000 $ 900 887 American Electric Power, Inc. 6.760% due 10/04/2000 4,700 4,698 6.700% due 10/25/2000 9,000 8,961 Associated Corp. of North America 6.580% due 11/16/2000 800 793 AT&T Corp. 6.510% due 12/13/2000 5,900 5,830 Becton Dickinson & Co. 6.520% due 11/30/2000 2,200 2,175 Cba (de) Finance 6.460% due 12/12/2000 200 197 CDC 6.570% due 11/29/2000 3,200 3,165 Conagra, Inc. 6.680% due 10/27/2000 7,000 6,967 6.670% due 11/16/2000 1,600 1,587 CSX Corp. 6.710% due 10/11/2000 3,800 3,794 Dominion Resources, Inc. 6.720% due 10/04/2000 3,000 2,999 6.710% due 11/16/2000 8,000 7,933 6.770% due 11/16/2000 400 397 Edison Midwest 6.790% due 11/01/2000 300 298 See accompanying notes 71 Schedule of Investments (Cont.) StocksPLUS Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Gannett Co. 6.500% due 11/21/2000 $ 5,300 $ 5,243 General Electric Capital Corp. 6.500% due 01/24/2001 9,000 8,810 Gillette Co. 6.460% due 12/12/2000 7,400 7,301 Houston Industries 6.820% due 10/04/2000 1,000 1,000 6.770% due 10/18/2000 5,000 4,985 6.800% due 11/08/2000 15,000 14,895 Infinity Broadcasting Corp. 6.700% due 11/15/2000 1,000 992 Ingersoll-Rand Co. 6.690% due 10/04/2000 2,300 2,299 6.700% due 10/18/2000 8,900 8,873 International Paper Co. 6.700% due 10/06/2000 4,300 4,297 6.700% due 10/10/2000 3,200 3,195 Minnesota Mining & Manufacturing 6.520% due 11/28/2000 100 99 Sprint Capital Corp. 6.720% due 11/08/2000 5,000 4,965 Texas Utilities Co. 6.700% due 10/18/2000 4,100 4,088 World Bank 6.350% due 10/27/2000 2,300 2,290 Yorkshire Building Society 6.490% due 12/06/2000 2,100 2,074 ----------- 126,087 =========== Repurchase Agreements 0.7% Daiwa Securities 6.430% due 10/02/2000 6,000 6,000 (Dated 09/29/2000. Collateralized by U.S. Treasury Inflation Protected Securities 6.0% due 02/15/2026 valued at $6,142 Repurchase proceeds are $6,003.) State Street Bank 5.850% due 10/02/2000 4,130 4,130 (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 7.050% due 02/28/2002 valued at $4,216 Repurchase proceeds are $4,132.) ----------- 10,130 =========== U.S. Treasury Bills 0.0% 5.930% due 02/01/2001 (b)(c) 50 49 ----------- Total Short-Term Instruments 136,266 (Cost $136,281) =========== Total Investments (a) 109.4% $ 1,568,989 (Cost $1,573,217) Written Options (e) (0.1%) (2,266) (Premiums $2,050) Other Assets and Liabilities (Net) (9.3%) (133,392) ----------- Net Assets 100.0% $ 1,433,331 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 6,715 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (10,978) ----------- Unrealized depreciation-net $ (4,263) =========== (b) Securities with an aggregate market value of $81,946 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: Unrealized # of Appreciation/ Type Contracts (Depreciation) -------------------------------------------------------------------------------- Government of Japan 10 Year Note (12/2000) 25 $ 15 S&P 500 Index (12/2000) 3,137 (61,995) United Kingdom 10 Year Note (12/2000) 490 (540) EuroBond 10 Year Note Options (11/2000) 585 179 ----------- $ (62,341) =========== (c) Principal amount of the security is adjusted for inflation. (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Premiums received on written options: # of Type Contracts Premium Value -------------------------------------------------------------------------------- Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.750% Exp.10/10/2000 125,100,000 $ 137 $ 101 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.800% Exp. 10/12/2000 118,400,000 112 159 Put - CME Eurodollar December Futures Strike @ 93.00 Exp. 12/18/2000 111 83 3 Call - CME Eurodollar December Futures Strike @ 93.00 Exp. 12/18/2000 160 63 114 Call - CME Eurodollar December Futures Strike @ 92.75 Exp. 12/18/2000 80 55 99 Put - CME Eurodollar March Futures Strike @ 92.75 Exp. 03/19/2000 159 74 6 Call - CME Eurodollar March Futures Strike @ 93.25 Exp. 3/19/2000 879 175 648 Put - CME Eurodollar March Futures Strike @ 92.50 Exp. 03/19/2000 301 179 8 Call - CME Eurodollar March Futures Strike @ 93.00 Exp. 03/19/2000 301 126 380 Put - CME Eurodollar March Futures Strike @ 92.25 Exp. 03/19/2000 720 446 9 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.750% Exp. 10/05/2000 63,900,000 65 46 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.750% Exp. 10/05/2000 63,900,000 64 46 Call - TSE Government of Japan December Futures Strike @ 134.00 Exp. 11/30/2000 16 31 32 Put - CME S&P 500 Index December Futures Strike @ 1400.00 Exp. 12/15/2000 82 440 615 ------------------ $ 2,050 $ 2,266 ================== 72 See accompanying notes (f) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Sell C$ 5,773 10/2000 $ 55 Sell EC 49,991 10/2000 1,235 Buy 3,085 10/2000 (4) Sell BP 3,828 10/2000 (76) Buy HF 2,300,000 03/2001 182 Sell JY 1,089,759 10/2000 20 Sell N$ 10,942 10/2000 207 Buy PZ 102,100 01/2001 (1,117) Buy 25,000 02/2001 (139) Sell 61,000 01/2001 370 ----------- $ 733 =========== (g) Principal amount denoted in indicated currency: BP - British Pound C$ - Canadian Dollar EC - Euro HF - Hungarian Forint JY - Japanese Yen N$ - New Zealand Dollar PZ - Polish Zloty (h) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount (Depreciation) -------------------------------------------------------------------------------- Receive total Return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.200%. Broker: Morgan Stanley Exp. 06/29/2001 $ 33 $ 0 Receive total Return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.300%. Broker: Lehman Brothers Exp. 07/31/2001 4 0 Receive total Return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.250%. Broker: Morgan Stanley Exp. 09/28/2001 39 0 Receive total return on S&P 500 Index and pay floating rate based on 1 month LIBOR plus 0.180%. Broker: J.P. Morgan Securities, Inc. Exp. 03/16/2001 55 0 Receive floating rate based on JY-LIBOR and pay a fixed rate equal to 1.743%. Broker: J.P. Morgan Exp. 09/20/2007 JY 3,150,000 (100) Receive total return on S&P 500 Index and pay floating rate based on 1 month LIBOR plus 0.180%. Broker: J.P. Morgan Exp. 05/03/2001 $ 12 0 Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 5.950%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/17/2001 900 (46) Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 6.150%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/22/2001 500 (27) Receive a fixed rate equal to 1.290% and the Fund will pay to the counterparty at par in the event of default in of the United Mexican States at 9.750% due 04/06/2005. Broker: J.P. Morgan Exp. 06/19/2002 15,500 2 Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of Enron Corp. 7.875% due 06/15/2003. Broker: Morgan Stanley Exp. 06/16/2001 50,000 2 ----------- $ (169) =========== (i) Restricted security. (j) Securities are grouped by coupon or range of coupons and represent a range of maturities. See accompanying notes 73 Schedule of Investments Strategic Balanced Fund September 30, 2000 (Unaudited) Share's Value (000s) (000s) -------------------------------------------------------------------------------- PIMCO FUNDS (d) 91.0% -------------------------------------------------------------------------------- StocksPLUS 3,181,221 $ 42,755 Total Return 3,032,284 30,596 ----------- Total PIMCO Funds 73,351 (Cost $74,081) =========== -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 3.9% -------------------------------------------------------------------------------- Principal Amount (000s) Repurchase Agreements 3.9% State Street Bank 5.850% due 10/02/2000 $ 3,134 3,134 (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 6.100% due 08/10/2001 valued at $3,198. Repurchase proceeds are $3,136.) ----------- Total Short-Term Instruments 3,134 (Cost $3,134) =========== Total Investments (a) 94.9% $ 76,485 (Cost $77,215) Other Assets and Liabilities (Net) 5.1% 4,130 ----------- Net Assets 100.0% $ 80,615 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 833 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (2,370) ----------- Unrealized depreciation-net $ (1,537) =========== (b) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Sell EC 18,311 10/2000 $ 278 Buy 18,311 10/2000 (137) Buy HF 300,000 03/2001 27 Sell 300,000 03/2001 17 ----------- $ 185 =========== (c) Principal amount denoted in indicated currency: EC - Euro HF - Hugarian Forint (d) Institutional Class shares of each PIMCO Fund. 74 See accompanying notes Schedule of Investments Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 41.0% -------------------------------------------------------------------------------- Banking & Finance 27.9% AB Spintab 6.800% due 12/29/2049 $ 250 $ 244 Abbey National Capital Trust I 8.960% due 12/29/2049 24,700 24,842 Abbey National PLC 6.700% due 06/29/2049 5,000 4,513 Abbey National Treasury Service 6.630% due 05/23/2001 240 240 ABN AMRO Mortgage Corp. 7.250% due 05/31/2005 150 151 Aetna, Inc. 6.750% due 08/15/2001 250 249 7.250% due 08/15/2023 50 46 Air 2 US 8.030% due 10/01/2020 300 305 Allstate Corp. 6.750% due 05/15/2018 280 252 6.900% due 05/15/2038 87,200 74,575 Amerco, Inc. 7.140% due 10/15/2002 15,000 14,439 American Express 8.500% due 08/15/2001 350 355 5.630% due 01/22/2004 11,900 11,470 7.450% due 08/10/2005 1,000 1,008 American General Finance 6.050% due 07/02/2001 3,000 2,985 6.880% due 12/14/2001 1,600 1,601 7.450% due 07/01/2002 200 202 6.250% due 12/18/2002 1,165 1,149 6.380% due 03/01/2003 350 346 8.130% due 03/15/2046 270 259 American Health Properties, Inc. 7.050% due 01/15/2002 700 683 AON Capital Trust `A' 8.210% due 01/01/2027 725 667 Archstone Communities Trust 6.750% due 10/23/2000 600 600 Aristar, Inc. 7.380% due 09/01/2004 20,000 19,983 Associates Corp. of North America 6.630% due 05/15/2001 1,300 1,299 6.700% due 05/29/2001 100 100 7.000% due 07/23/2001 500 501 6.780% due 08/27/2001 (d) 13,500 13,534 6.450% due 10/15/2001 23,600 23,530 7.500% due 04/15/2002 185 187 6.500% due 07/15/2002 750 747 5.750% due 11/01/2003 5,175 5,015 5.800% due 04/20/2004 450 434 6.630% due 06/15/2005 100 98 Associates First Capital Corp. 6.000% due 12/01/2002 500 493 AT&T Capital Corp. 7.500% due 11/15/2000 5,000 5,004 6.880% due 01/16/2001 230 230 6.250% due 05/15/2001 19,443 19,379 7.000% due 08/15/2001 20,900 20,920 7.110% due 09/13/2001 (d) 1,030 1,032 6.900% due 01/30/2002 1,000 1,000 6.750% due 02/04/2002 1,925 1,921 7.010% due 04/23/2002 (d) 74,000 74,205 AVCO Financial Services 7.380% due 08/15/2001 300 301 5.750% due 01/23/2006 125 125 Banco Latinoamericano SA 6.500% due 04/02/2001 950 947 7.170% due 06/04/2001 5,000 4,998 7.880% due 11/30/2001 9,500 9,528 Banco Nacional de Comercio Exterior 7.250% due 02/02/2004 25,050 24,236 11.250% due 09/20/2005 14,250 14,254 Banesto Delaware 8.250% due 07/28/2002 28,900 29,377 Bank of America Corp. 6.730% due 02/26/2001 (d) 3,000 3,001 6.680% due 03/05/2001 (d) 44,000 43,992 9.500% due 04/01/2001 235 238 6.750% due 02/20/2002 (d) 35,180 35,153 8.130% due 06/15/2002 350 357 7.750% due 07/15/2002 360 365 7.200% due 09/15/2002 1,000 1,005 7.500% due 10/15/2002 1,200 1,214 6.850% due 03/01/2003 65 65 6.880% due 06/01/2003 100 100 6.380% due 05/15/2005 1,000 971 7.880% due 05/16/2005 600 621 8.380% due 05/01/2007 1 1 9.380% due 09/15/2009 12,950 14,301 7.800% due 02/15/2010 84,000 86,597 8.570% due 11/15/2024 125 134 Bank of Tokyo - Mitsubishi 8.400% due 04/15/2010 112,200 114,369 Bank One Corp. 6.790% due 04/19/2001 (d) 2,000 2,003 6.730% due 09/04/2001 (d) 14,000 14,005 BankBoston Corp. 6.130% due 03/15/2002 12,500 12,358 6.880% due 07/14/2003 (d) 30,000 29,933 Bankers Trust Corp. 9.400% due 03/01/2001 385 389 6.750% due 10/03/2001 500 499 7.500% due 01/15/2002 250 252 8.130% due 05/15/2002 300 305 7.130% due 07/31/2002 150 150 6.790% due 05/11/2003 (d) 82,800 82,787 6.000% due 10/15/2008 500 448 8.090% due 12/01/2026 275 251 Banponce Financial Corp. 6.460% due 11/13/2001 13,000 12,931 Barclays Bank PLC 8.550% due 09/29/2049 15,000 15,100 Bayerische Landesbank NY 6.200% due 02/09/2006 250 240 Bear Stearns Co., Inc. 9.380% due 06/01/2001 125 127 6.900% due 01/28/2002 (d) 11,250 11,241 7.040% due 04/05/2002 (d) 25,000 25,074 6.960% due 05/07/2002 (d) 4,300 4,299 7.090% due 08/01/2002 (d) 53,600 53,711 7.010% due 12/16/2002 (d) 48,900 48,955 6.130% due 02/01/2003 25 25 7.130% due 03/28/2003 (d) 65,800 65,801 6.750% due 04/15/2003 105 104 7.030% due 05/06/2003 (d) 13,000 13,060 7.010% due 05/16/2003 (d) 40,700 40,895 6.870% due 07/22/2003 (d) 19,000 19,078 6.150% due 03/02/2004 150 145 8.750% due 03/15/2004 75 79 7.100% due 06/01/2004 (d) 9,265 9,329 6.630% due 10/01/2004 250 245 7.360% due 11/30/2004 (d) 400 401 7.040% due 03/18/2005 (d) 37,000 37,081 6.250% due 07/15/2005 25,000 23,968 6.750% due 12/15/2007 2,000 1,911 Beaver Valley Funding Corp. 8.250% due 06/01/2003 405 401 Beneficial Corp. 6.390% due 01/09/2001 (d) 16,000 16,001 6.770% due 01/09/2002 (d) 500 502 6.870% due 03/01/2002 (d) 50,000 50,078 8.000% due 06/18/2002 400 406 6.030% due 01/14/2003 320 313 See accompanying notes 75 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) Bombardier Capital, Inc. 6.000% due 01/15/2002 $ 28,000 $ 27,551 7.300% due 12/15/2002 9,000 8,950 7.210% due 06/09/2032 (d) 16,150 16,008 BTM Holdings 7.160% due 09/29/2049 (d) 6,000 6,000 Caithness Coso Fund Corp. 6.800% due 12/15/2001 9,441 9,348 Case Credit Corp. 5.850% due 02/20/2001 (d) 1,600 1,592 Caterpillar Financial Service Corp. 6.890% due 02/11/2002 (d) 700 701 6.930% due 11/04/2002 (d) 1,000 1,001 6.910% due 12/27/2002 (d) 25,000 24,990 Chase Manhattan Corp. 8.500% due 02/15/2002 200 204 5.750% due 04/15/2004 150 144 Chemical Banking Corp. 6.130% due 11/01/2008 400 367 Chrysler Financial Co. LLC 5.860% due 01/16/2001 500 498 6.650% due 06/11/2001 (d) 21,400 21,411 5.690% due 11/15/2001 650 642 5.400% due 01/15/2002 15,750 15,428 6.950% due 03/25/2002 50 50 6.750% due 07/17/2002 (d) 20,000 20,012 6.760% due 08/08/2002 (d) 37,000 37,049 6.800% due 02/03/2003 (d) 35,000 34,985 6.790% due 03/06/2003 (d) 25,000 25,211 6.780% due 03/10/2003 (d) 10,000 10,084 6.740% due 06/18/2003 35,000 34,990 Chubb Capital Corp. 6.880% due 02/01/2003 100 100 Cincinnati Financial Corp. 6.900% due 05/15/2028 111,870 97,327 CIT Group, Inc. 6.200% due 10/20/2000 525 525 6.810% due 09/13/2002 (d) 1,900 1,900 7.110% due 10/01/2002 (d) 600 602 7.380% due 03/15/2003 500 504 CIT Holdings LLC 6.880% due 02/16/2005 7,500 7,412 Citigroup, Inc. 6.820% due 05/24/2001 (d) 139,000 139,093 6.710% due 09/17/2001 (d) 65 65 6.710% due 06/27/2002 (d) 11,450 11,431 6.380% due 09/15/2002 115 114 6.810% due 11/12/2002 (d) 30,000 29,992 8.000% due 02/01/2003 250 255 5.800% due 03/15/2004 200 194 6.500% due 08/01/2004 400 393 7.750% due 06/15/2006 15,655 16,138 Comerica, Inc. 7.250% due 06/15/2007 200 198 Commercial Credit Co. 5.550% due 02/15/2001 1,300 1,294 8.250% due 11/01/2001 2,500 2,536 6.880% due 05/01/2002 335 335 7.750% due 03/01/2005 550 564 Countrywide Home Loans 6.250% due 04/15/2009 600 547 Credit Asset Receivable 6.270% due 10/31/2003 38,322 37,814 DaimlerChrysler Financial Services LLC 6.790% due 02/10/2003 (d) 2,000 2,000 DBS Group Holdings Ltd. 7.880% due 08/10/2009 6,000 6,037 Deutsche Bank Capital Trust I 7.870% due 12/29/2049 5,875 5,606 Deutsche Bank Financial 7.500% due 04/25/2009 3,000 3,009 Dillard Investment Co., Inc. 9.250% due 02/01/2001 300 302 Donaldson, Lufkin & Jenrette, Inc. 6.910% due 09/18/2002 (d) 13,600 13,602 6.170% due 07/15/2003 20,000 19,543 5.630% due 02/15/2016 5,000 4,924 Dow Capital BV 7.130% due 01/15/2003 100 100 Dresdner Bank-New York 6.630% due 09/15/2005 1,000 975 Dresdner Funding Trust I 8.150% due 06/30/2031 36,805 33,004 Duke Capital Corp. 7.250% due 10/01/2004 19,000 19,139 Edison Funding 6.950% due 12/19/2000 7,000 6,999 Export-Import Bank Korea 7.250% due 06/25/2001 2,600 2,589 7.130% due 09/20/2001 12,370 12,257 6.500% due 02/10/2002 14,691 14,493 6.500% due 11/15/2006 6,445 6,277 7.100% due 03/15/2007 15,250 15,153 Exxon Capital Corp. 7.450% due 12/15/2001 250 252 6.130% due 09/08/2008 2,000 1,911 Farmers Insurance 8.630% due 05/01/2024 275 271 Finova Capital Corp. 5.880% due 10/15/2001 1,000 845 7.340% due 11/08/2002 (d) 51,350 41,760 7.190% due 04/08/2003 (d) 300 256 6.910% due 06/18/2003 (d) 32,300 28,263 6.330% due 11/24/2003 1,300 979 First Chicago Corp. 9.250% due 11/15/2001 250 256 6.740% due 03/11/2002 (d) 10,000 10,023 6.840% due 07/28/2003 (d) 50 50 First Interstate Bancorp 10.880% due 04/15/2001 200 204 8.880% due 01/01/2009 (l) 152 155 First National Bank Chicago 8.080% due 01/05/2018 250 262 First Security Corp. 5.880% due 11/01/2003 9,325 9,033 First Union Corp. 8.130% due 06/24/2002 150 152 7.100% due 08/15/2004 3,000 2,987 7.700% due 02/15/2005 4,000 4,080 6.380% due 01/15/2009 500 461 Firstar Bank NA 7.800% due 07/05/2010 35,900 36,548 Fleet Financial Group, Inc. 9.900% due 06/15/2001 200 204 Ford Capital BV 9.500% due 06/01/2010 200 221 Ford Motor Credit Corp. 6.380% due 10/06/2000 1,300 1,300 6.250% due 11/08/2000 750 750 7.020% due 06/07/2001 1,000 1,001 6.810% due 09/03/2001 (d) 27,000 27,039 7.000% due 09/25/2001 1,125 1,127 6.850% due 10/15/2001 (d) 13,000 13,012 6.840% due 11/16/2001 (d) 76,800 76,868 8.240% due 01/15/2002 85 86 6.860% due 01/17/2002 (d) 53,945 53,762 8.200% due 02/15/2002 500 508 6.500% due 02/28/2002 1,710 1,702 6.810% due 03/19/2002 (d) 28,208 28,329 6.870% due 04/29/2002 (d) 33,000 33,033 6.900% due 05/21/2002 (d) 4,000 4,004 6.880% due 05/23/2002 14,000 14,001 6.820% due 06/04/2002 (d) 12,000 12,002 6.990% due 07/16/2002 (d) 111,680 111,920 6.910% due 08/01/2002 (d) 36,000 36,002 6.550% due 09/10/2002 4,000 3,979 76 See accompanying notes Principal Amount Value (000s) (000s) 6.880% due 10/15/2002 (d) $ 14,000 $ 13,993 7.750% due 11/15/2002 5,730 5,824 6.820% due 12/16/2002 (d) 56,000 55,859 6.000% due 01/14/2003 1,000 978 7.500% due 01/15/2003 250 252 6.860% due 02/03/2003 (d) 30,000 29,925 6.780% due 02/13/2003 (d) 100,000 100,041 6.810% due 02/13/2003 (d) 250,185 249,875 6.850% due 03/17/2003 (d) 21,000 20,973 6.130% due 04/28/2003 26,130 25,566 6.940% due 06/02/2003 (d) 38,100 38,142 6.950% due 06/20/2003 (d) 10,000 10,007 6.630% due 06/30/2003 775 766 6.950% due 11/24/2003 (d) 32,000 31,989 5.750% due 02/23/2004 1,620 1,547 6.960% due 04/26/2004 (d) 53,000 52,926 6.890% due 05/21/2004 (d) 22,200 22,102 6.870% due 06/02/2004 (d) 1,500 1,492 6.700% due 07/16/2004 92,905 91,080 7.080% due 07/19/2004 (d) 174,500 174,656 8.250% due 02/23/2005 2,500 2,592 7.500% due 03/15/2005 17,000 17,107 6.900% due 04/28/2005 (d) 58,000 57,841 7.230% due 06/30/2005 (d) 65,000 65,025 7.170% due 07/18/2005 (d) 182,100 182,418 6.780% due 08/27/2006 (d) 27,500 27,503 7.200% due 06/15/2007 25 25 5.800% due 01/12/2009 155 138 Fuji Bank Ltd. 9.870% due 12/31/2049 (d) 25,475 24,953 General Electric Capital Corp. 8.380% due 03/01/2001 1,415 1,423 6.020% due 05/04/2001 1,000 996 5.500% due 11/01/2001 50 49 5.650% due 03/31/2003 125 122 6.210% due 12/09/2005 400 391 7.880% due 12/01/2006 30 32 8.300% due 09/20/2009 1,125 1,198 General Motors Acceptance Corp. 5.800% due 04/09/2001 8,340 8,302 6.800% due 04/17/2001 4,800 4,800 5.950% due 04/20/2001 22,150 22,059 6.700% due 04/30/2001 3,000 2,999 7.130% due 05/01/2001 44,395 44,461 6.750% due 06/05/2001 880 880 6.880% due 07/15/2001 1,000 1,000 6.760% due 10/22/2001 (d) 25,700 25,685 7.070% due 11/26/2001 (d) 19,000 19,119 6.380% due 12/01/2001 765 762 6.760% due 12/10/2001 (d) 2,200 2,200 9.630% due 12/15/2001 5,650 5,824 7.040% due 12/17/2001 (d) 13,000 13,084 6.840% due 01/08/2002 (d) 3,000 3,011 6.630% due 01/10/2002 500 497 6.810% due 01/28/2002 (d) 13,000 13,007 6.800% due 02/01/2002 (d) 36,700 36,724 6.750% due 02/07/2002 1,590 1,587 6.840% due 03/15/2002 (d) 10,215 10,268 7.750% due 03/25/2002 125 127 6.840% due 04/29/2002 (d) 221,144 221,840 7.000% due 09/15/2002 250 251 6.630% due 10/01/2002 5,000 4,968 6.570% due 10/07/2002 (d) 1,100 1,101 6.780% due 11/12/2002 (d) 10,200 10,198 6.880% due 11/12/2002 (d) 22,995 23,022 6.860% due 12/09/2002 (d) 64,050 64,114 6.750% due 12/10/2002 500 499 6.200% due 12/15/2002 500 493 5.480% due 12/16/2002 150 146 6.000% due 01/15/2003 990 971 5.880% due 01/22/2003 75,500 73,769 6.840% due 02/14/2003 (d) 10,000 9,986 6.750% due 03/15/2003 40,125 39,928 7.130% due 05/01/2003 36,000 36,171 7.400% due 07/20/2003 (d) 9,577 9,569 6.790% due 08/18/2003 (d) 102,940 102,690 5.550% due 09/15/2003 32,000 30,830 6.630% due 10/20/2003 2,000 1,982 5.750% due 11/10/2003 1,000 965 7.020% due 04/05/2004 (d) 27,900 27,861 6.930% due 05/28/2004 (d) 73,000 73,801 6.850% due 06/17/2004 1,200 1,190 7.090% due 07/21/2004 (d) 10,000 10,009 7.360% due 09/20/2004 (d) 20,058 20,040 6.650% due 11/17/2005 500 489 6.150% due 04/05/2007 150 140 8.950% due 07/02/2009 19,971 20,803 Gold Eagle Capital Ltd. 12.130% due 04/15/2001 46,300 46,300 Golden State Holdings 2.280% due 01/01/2000 15 346 6.750% due 08/01/2001 1,950 1,920 Goldman Sachs Group 6.200% due 12/15/2000 6,500 6,489 6.710% due 01/12/2001 (d) 25,000 25,041 6.900% due 01/25/2001 (d) 27,400 27,416 6.920% due 02/20/2001 (d) 3,000 3,004 7.000% due 04/16/2001 (d) 18,000 17,999 6.920% due 12/07/2001 (d) 25,000 25,057 7.090% due 02/18/2002 (d) 2,300 2,315 7.060% due 01/16/2003 (d) 15,000 15,097 6.960% due 01/17/2003 (d) 147,500 147,700 7.070% due 05/23/2003 (d) 75,000 75,074 6.930% due 02/10/2004 (d) 10,000 9,847 7.220% due 02/19/2004 (d) 10,000 10,153 6.920% due 06/02/2004 (d) 15,000 14,743 6.630% due 12/01/2004 275 270 7.630% due 08/17/2005 40,000 40,841 7.390% due 02/09/2009 (d) 10,000 10,432 6.500% due 02/25/2009 140 130 GS Escrow Corp. 7.710% due 08/01/2003 (d) 500 485 Hansol Paper Co. Ltd. 8.940% due 05/24/2001 (d) 20,000 20,200 Hartford Life, Inc. 6.900% due 06/15/2004 600 595 Heller Financial, Inc. 6.250% due 03/01/2001 25,000 24,943 6.920% due 06/25/2001 (d) 76,050 76,106 5.750% due 09/25/2001 1,400 1,380 7.070% due 10/22/2001 (d) 19,200 19,240 6.500% due 11/01/2001 250 249 7.590% due 11/09/2001 (d) 2,500 2,517 6.890% due 04/26/2002 (d) 12,000 11,988 6.850% due 05/07/2002 (d) 2,000 1,998 6.850% due 05/13/2002 (d) 10,000 9,988 7.000% due 05/15/2002 900 897 7.120% due 07/24/2002 (d) 16,200 16,223 6.940% due 04/28/2003 (d) 26,000 25,911 6.970% due 04/28/2003 (d) 55,750 55,509 Hertz Corp. 7.000% due 07/15/2003 13,300 13,155 Home Savings of America 6.000% due 11/01/2000 14,175 14,161 Household Bank 6.820% due 09/26/2001 (d) 9,000 8,999 6.910% due 10/22/2003 (d) 15,000 14,952 Household Capital Trust 7.010% due 06/26/2004 (d) 13,925 13,302 Household Finance Corp. 6.780% due 06/22/2001 (d) 3,000 3,004 6.860% due 08/01/2001 (d) 1,500 1,501 6.860% due 11/01/2001 (d) 3,000 3,000 6.840% due 05/07/2002 (d) 40,850 40,983 6.890% due 05/24/2002 (d) 113,800 113,894 7.080% due 06/03/2002 15,000 15,013 5.880% due 11/01/2002 200 196 6.910% due 06/24/2003 35,000 35,022 6.920% due 06/24/2003 (d) 31,000 31,027 7.000% due 08/01/2003 20,000 19,943 6.500% due 11/15/2008 2,000 1,878 See accompanying notes 77 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) Household Netherlands BV 6.130% due 03/01/2003 $ 18,100 $ 17,646 HSBC Capital Funding LP 10.180% due 12/29/2049 10,000 11,086 10.180% due 12/31/2049 106,400 112,685 HypoVereinsbank 8.740% due 06/30/2031 12,400 11,831 Industrial Bank of Korea 7.100% due 10/15/2001 3,290 3,224 Inter-American Development Bank 8.880% due 06/01/2009 200 227 7.380% due 01/15/2010 4,200 4,374 International Bank for Reconstruction & Development 7.000% due 01/27/2005 1,000 1,018 International Lease Finance Corp. 5.780% due 03/01/2001 500 498 5.930% due 07/15/2003 14,000 13,613 J.P. Morgan & Co. 5.750% due 02/25/2004 22,800 21,969 6.700% due 11/01/2007 30 29 6.000% due 01/15/2009 37,000 34,095 8.080% due 02/15/2012 600 519 JET Equipment Trust 10.000% due 06/15/2012 80 88 10.690% due 05/01/2015 100 117 John Hancock 7.380% due 02/15/2024 360 333 KBC Bank Fund Trust III 9.860% due 11/29/2049 (d) 5,700 5,965 Key Bank NA 7.550% due 09/15/2006 350 354 Kimco Realty Corp. 6.500% due 10/01/2003 200 195 Korea Development Bank 7.680% due 10/06/2000 (d) 5,000 5,000 6.510% due 10/20/2000 11,000 10,976 7.130% due 09/17/2001 10,055 10,041 8.600% due 03/25/2002 6,600 6,723 6.500% due 11/15/2002 440 431 7.130% due 04/22/2004 19,125 18,771 7.380% due 09/17/2004 16,500 16,264 6.750% due 12/01/2005 55 52 7.250% due 05/15/2006 50 48 LB Rheinland - PFALZ 5.000% due 02/23/2028 3,400 3,230 Lehman Brothers Holdings, Inc. 9.880% due 10/15/2000 150 150 7.250% due 12/01/2000 (d) 500 500 6.130% due 02/01/2001 2,000 1,994 6.000% due 02/26/2001 700 698 7.370% due 07/03/2001 (d) 10,000 10,036 7.680% due 04/02/2002 (d) 64,750 65,327 6.380% due 05/07/2002 28,695 28,481 7.410% due 05/07/2002 (d) 42,100 42,363 8.750% due 05/15/2002 219 225 6.610% due 07/08/2002 (d) 101,600 101,691 7.530% due 07/15/2002 (d) 43,051 43,408 7.000% due 08/12/2002 (d) 6,500 6,499 7.450% due 08/28/2002 (d) 6,500 6,508 6.970% due 09/03/2002 (d) 14,000 13,991 7.210% due 12/12/2002 (d) 57,900 58,152 7.170% due 04/04/2003 (d) 134,300 134,342 7.000% due 05/15/2003 150 150 7.020% due 08/03/2003 (d) 1,500 1,485 6.630% due 04/01/2004 65 64 7.750% due 01/15/2005 150 153 7.630% due 06/01/2006 350 352 8.500% due 05/01/2007 1,475 1,548 LG&E Capital Corp. 6.210% due 05/01/2004 1,000 973 6.460% due 01/15/2008 3,000 2,856 Liberty Mutual Insurance 8.200% due 05/04/2007 17,510 17,252 Limestone Electron Trust 8.630% due 03/15/2003 71,350 72,720 Marine Midland 6.750% due 12/12/2000 (d) 3,700 3,699 MBNA America Bank NA 6.970% due 04/25/2002 (d) 1,000 998 MBNA Corp. 6.990% due 05/24/2002 1,000 1,000 7.130% due 09/10/2002 (d) 5,000 5,024 7.040% due 12/10/2002 4,100 4,044 MCN Investment Corp. 6.030% due 02/01/2001 6,850 6,813 7.120% due 01/16/2004 7,500 7,290 6.300% due 04/02/2011 7,500 7,448 Merrill Lynch & Co. 6.830% due 10/03/2000 (d) 2,000 2,000 6.430% due 12/05/2000 (d) 89,000 89,009 6.000% due 03/01/2001 1,325 1,320 6.500% due 04/01/2001 400 399 6.750% due 04/30/2001 2,775 2,773 6.820% due 05/08/2001 (d) 54,900 54,918 6.880% due 05/30/2001 (d) 3,800 3,806 6.790% due 11/01/2001 (d) 35,000 35,035 6.770% due 11/09/2001 (d) 16,000 16,001 6.830% due 01/15/2002 (d) 17,000 16,995 7.090% due 02/01/2002 (d) 33,000 33,111 8.000% due 02/01/2002 400 406 7.380% due 08/17/2002 300 303 8.300% due 11/01/2002 700 720 6.000% due 02/12/2003 500 491 6.880% due 03/01/2003 140 140 6.810% due 06/24/2003 (d) 27,000 26,920 6.990% due 08/01/2003 (d) 800 800 6.920% due 10/01/2003 (d) 18,500 18,497 5.880% due 01/15/2004 600 580 6.550% due 08/01/2004 400 395 7.000% due 03/15/2006 1,500 1,488 7.000% due 04/27/2008 100 98 6.380% due 10/15/2008 35,000 32,955 Merrill Lynch Mortgage Investors, Inc. 5.650% due 12/15/2030 441 424 Metropolitan Life Insurance Co. 6.300% due 11/01/2003 6,800 6,648 Mexico Credit Link 11.380% due 02/22/2002 (d) 29,500 30,760 11.800% due 02/25/2002 2,000 2,119 MFN Financial Corp. 6.980% due 09/13/2001 (d) 10,300 10,305 MIC Financing Trust 8.380% due 02/01/2027 36,000 31,063 Monumental Global Funding II 6.910% due 09/26/2003 (d) 58,500 58,500 Morgan Stanley, Dean Witter, Discover and Co. 5.750% due 02/15/2001 400 399 6.700% due 05/01/2001 600 600 9.380% due 06/15/2001 300 305 6.840% due 12/17/2001 (d) 5,000 5,006 6.840% due 01/28/2002 (d) 35,700 35,762 6.880% due 04/15/2002 (d) 300 300 6.890% due 02/21/2003 (d) 25,000 25,046 6.850% due 03/11/2003 (d) 11,500 11,484 6.910% due 05/05/2003 (d) 23,000 23,041 6.960% due 08/07/2003 (d) 140,800 140,900 6.380% due 12/15/2003 150 148 5.630% due 01/20/2004 1,100 1,058 6.990% due 04/22/2004 (d) 68,500 68,577 Nacional Financiera 10.560% due 12/01/2000 (d) 10,760 10,712 National Westminster Bank PLC 9.380% due 11/15/2003 200 213 78 See accompanying notes Principal Amount Value (000s) (000s) NationsBank Corp. 6.750% due 02/26/2001 $ 500 $ 499 7.000% due 09/15/2001 1,500 1,503 6.810% due 06/17/2002 (d) 10,000 10,003 6.130% due 07/15/2004 600 582 NCNB Corp. 7.750% due 08/01/2002 896 896 Noble Affiliates, Inc. 8.950% due 12/15/2004 11,500 11,525 Nordbanken 7.250% due 11/12/2009 21,250 21,086 Nordstrom Credit, Inc. 7.250% due 04/30/2002 1,000 1,006 Northern Rock PLC 2.000% due 01/01/2000 1,060 20,670 Norwest Financial, Inc. 6.380% due 07/16/2002 500 497 6.250% due 11/01/2002 100 99 7.000% due 01/15/2003 380 382 6.000% due 02/01/2004 50 49 Okobank 7.040% due 05/23/2006 (d) 10,000 10,018 Old Kent Bank 7.750% due 08/15/2010 6,500 6,512 Orix Credit Alliance 7.640% due 09/17/2001 13,000 13,077 Osprey Trust 8.310% due 01/15/2003 75,475 76,418 Pacific Mutual Life 7.900% due 12/30/2023 8,000 7,841 PaineWebber 7.030% due 05/20/2002 (d) 1,000 999 7.290% due 07/15/2002 (d) 200 200 Parker Retirement Savings Plan 6.340% due 07/15/2008 841 791 PDVSA Finance Ltd. 7.400% due 08/15/2016 1,200 971 Pemex Finance Limited 6.130% due 11/15/2003 20,222 19,864 PNC Bank Corp. 6.720% due 01/24/2002 (d) 49,000 49,031 6.680% due 08/15/2002 (d) 5,000 5,005 PNC Funding Corp. 6.880% due 03/01/2003 100 100 7.000% due 09/01/2004 15,000 14,889 PNC Institutional Capital Association 7.950% due 12/15/2026 150 135 Popular North American, Inc. 7.380% due 09/15/2001 25,000 25,120 Popular, Inc. 6.550% due 10/10/2000 2,485 2,485 6.200% due 04/30/2001 3,336 3,325 6.540% due 11/06/2001 18,705 18,625 6.630% due 01/15/2004 19,500 18,949 Prime Property Funding II 7.000% due 08/15/2004 110 107 Protective Life Funding Trust 7.090% due 01/17/2003 (d) 2,000 1,997 Prudential Funding Corp. 6.420% due 10/02/2000 (d) 20,000 20,004 6.630% due 04/01/2009 17,000 15,484 PSE&G Capital Corp. 6.740% due 10/23/2001 1,400 1,398 Qwest Capital Funding, Inc. 6.880% due 08/15/2001 43,200 43,165 7.200% due 07/08/2002 (d) 500 500 Reliance Group Holdings 9.000% due 11/15/2000 (m) 19,000 6,460 9.750% due 11/15/2003 (m) 10,000 1,163 Reliant Energy Financial Co. 7.660% due 12/10/2001 (d) 53,100 52,989 Royal Bank of Scotland PLC 6.400% due 04/01/2009 15,000 13,983 8.820% due 03/31/2049 38,600 40,300 9.120% due 03/31/2049 66,400 69,856 Safeco Corp. 7.260% due 08/12/2002 500 505 Sakura Capital Funding 7.320% due 08/29/2049 20,000 19,244 7.560% due 09/29/2049 (d) 59,000 57,230 Salomon, Inc. 6.630% due 11/30/2000 500 500 6.650% due 07/15/2001 600 598 7.000% due 03/04/2002 18,850 18,894 6.750% due 02/15/2003 450 449 Salomon, Smith Barney Holdings 5.980% due 03/26/2001 250 249 3.650% due 02/14/2002 (d)(j) 29,708 29,357 6.930% due 04/15/2002 (d) 35,090 35,100 6.860% due 05/14/2002 (d) 34,515 34,514 7.020% due 07/23/2002 (d) 53,400 53,319 6.130% due 01/15/2003 290 285 6.910% due 02/11/2003 (d) 44,200 44,236 6.960% due 04/28/2003 (d) 34,000 34,014 7.060% due 07/18/2003 (d) 55,800 55,897 Sanwa Finance Aruba AEC 8.350% due 07/15/2009 94,740 94,604 Sears Roebuck Acceptance 6.800% due 05/07/2001 500 500 6.790% due 05/21/2001 500 500 7.190% due 06/18/2001 3,880 3,891 7.110% due 06/19/2001 1,000 1,002 9.400% due 08/02/2001 250 255 6.860% due 08/06/2001 400 400 6.710% due 08/13/2001 80 80 6.360% due 12/04/2001 290 289 6.120% due 12/13/2001 260 257 8.390% due 02/14/2002 240 244 6.950% due 05/15/2002 300 299 6.000% due 03/20/2003 149,750 145,584 7.260% due 04/21/2003 3,000 3,002 7.140% due 05/02/2003 5,000 4,988 6.560% due 11/20/2003 1,178 1,152 6.250% due 01/15/2004 300 291 6.750% due 09/15/2005 785 763 6.700% due 11/15/2006 500 480 Security Pacific Corp. 11.500% due 11/15/2000 4,000 4,019 11.000% due 03/01/2001 135 137 Seismic Ltd. 11.270% due 01/01/2002 (d) 32,500 32,500 Simon Property Group, Inc. 9.000% due 03/15/2002 2,000 2,027 Socgen Real Estate LLC 7.640% due 12/29/2049 3,000 2,803 Societe Generale 7.400% due 06/01/2006 1,500 1,503 Sovereign Bancorp, Inc. 6.630% due 03/15/2001 13,500 13,357 Spieker Properties 6.800% due 12/15/2001 5,500 5,456 6.800% due 05/01/2004 1,000 977 Steers 10.460% due 08/07/2002 (d) 20,000 20,114 Sumitomo Bank International Finance NV 8.500% due 06/15/2009 6,600 6,747 Sumitomo Bank Treasury Co. 9.400% due 12/29/2049 (d) 21,050 20,713 Sun Life of Canada (U.S.) 8.530% due 05/29/2049 250 225 Telewest Credit Links 8.500% due 04/16/2004 30,000 28,878 Textron Financial Corp. 7.030% due 05/28/2002 (d) 41,900 41,849 7.030% due 09/17/2002 (d) 2,000 2,003 The Money Store, Inc. 8.050% due 04/15/2002 300 304 7.300% due 12/01/2002 100 101 See accompanying notes 79 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Tokai Capital Corp. 9.980% due 12/29/2049 (d) $ 18,050 $ 17,286 Toyota Motor Credit Corp. 7.320% due 02/15/2002 (d) 40,000 39,319 Transamerica Finance Corp. 6.910% due 09/17/2001 (d) 10,000 10,001 6.130% due 11/01/2001 29,000 28,757 6.910% due 12/14/2001 (d) 40,700 40,744 7.250% due 08/15/2002 85,500 85,695 7.500% due 03/15/2004 270 271 6.750% due 11/15/2006 650 637 Travelers Group, Inc. 7.200% due 02/01/2004 38,480 38,677 U.S. Bancorp 6.750% due 01/16/2002 (d) 49,000 49,015 6.940% due 02/03/2003 (d) 18,100 18,111 6.500% due 06/15/2004 600 588 Wachovia Corp. 7.260% due 05/02/2005 (d) 53,100 53,047 Washington Mutual, Inc. 8.210% due 02/01/2027 150 132 8.380% due 06/01/2027 235 212 Wells Fargo & Co. 5.630% due 02/05/2001 400 399 8.750% due 05/01/2002 100 103 6.630% due 07/15/2004 6,500 6,439 7.220% due 05/02/2005 (d) 67,700 67,678 7.800% due 06/15/2010 40,600 41,519 Westdeutsche Landesbank 6.750% due 06/15/2005 36,400 35,796 6.050% due 01/15/2009 123,100 112,682 ----------- $9,923,058 =========== Industrials 7.0% Ahold Finance USA, Inc. 6.880% due 05/01/2029 115 95 Akzo Nobel, Inc. 6.000% due 11/15/2003 32,000 30,896 Albertson's, Inc. 8.350% due 05/01/2010 5,000 5,147 Allied Waste North America, Inc. 7.380% due 01/01/2004 18,925 17,695 Alpha Wind 11.320% due 05/23/2001 17,200 17,200 America West Airlines, Inc. 6.870% due 07/02/2018 1,956 1,789 American Airlines 10.610% due 03/04/2011 1,895 2,165 AMR Corp. 10.610% due 01/11/2001 4,000 4,024 10.570% due 01/15/2001 3,000 3,025 10.590% due 01/31/2001 3,000 3,007 10.000% due 02/01/2001 2,400 2,413 9.400% due 05/08/2001 3,000 3,020 9.430% due 05/10/2001 1,000 1,007 9.500% due 05/15/2001 3,480 3,503 9.130% due 10/25/2001 2,000 2,033 8.470% due 02/20/2002 2,000 2,012 8.500% due 02/26/2002 1,000 1,006 10.210% due 01/01/2010 6,500 7,202 Anheuser-Busch Companies, Inc. 6.750% due 08/01/2003 500 503 Arrow Electronics, Inc. 7.440% due 11/24/2000 (d) 13,200 13,197 Atlas Air, Inc. 9.470% due 04/04/2003 (d) 22,700 22,700 10.470% due 10/04/2004 (d) 3,000 3,000 Aventis SA 8.620% due 01/05/2021 250 261 Baxter International, Inc. 9.500% due 06/15/2008 200 221 Bayer Corp. 6.500% due 10/01/2002 250 248 BOC Group PLC 5.880% due 01/29/2001 250 249 Boeing Co. 8.380% due 02/15/2001 900 904 6.350% due 06/15/2003 750 744 Boise Cascade Co. 7.150% due 05/15/2001 10,000 9,988 BP Amoco PLC 6.250% due 10/15/2004 1,000 991 Browning-Ferris Industries, Inc. 6.100% due 01/15/2003 6,000 5,632 Cabot Corp. 7.280% due 10/21/2027 5,160 4,383 Campbell Soup Co. 4.750% due 10/01/2003 500 474 Cemex SA 9.250% due 06/17/2002 5,000 5,100 8.630% due 07/18/2003 48,250 48,853 Century Communications Corp. 0.000% due 03/15/2003 10,515 8,044 CF Cable TV, Inc. 9.130% due 07/15/2007 1,600 1,722 Champion International Corp. 9.700% due 05/01/2001 4,000 4,046 Clear Channel Communications, Inc. 7.210% due 06/15/2002 (d) 20,000 20,047 Coastal Corp. 10.380% due 10/01/2000 8,500 8,500 7.290% due 03/01/2002 (d) 145,350 145,350 Coca-Cola Co. 6.380% due 08/01/2001 500 497 7.880% due 02/01/2002 600 605 6.000% due 07/15/2003 250 246 5.750% due 11/01/2008 100 91 Colgate-Palmolive Co. 6.000% due 08/15/2003 45 44 Columbia/HCA Healthcare 8.020% due 08/05/2002 9,000 8,932 8.130% due 08/04/2003 7,300 7,238 6.910% due 06/15/2005 9,500 8,964 6.630% due 07/15/2045 10,000 9,747 6.730% due 07/15/2045 14,760 14,162 Comcast Cable Communications 8.380% due 05/01/2007 145 151 Comdisco, Inc. 6.130% due 08/01/2006 600 588 Conoco, Inc. 6.350% due 04/15/2009 1,900 1,804 Continental Airlines 6.410% due 04/15/2007 342 330 6.800% due 07/02/2007 26 25 6.950% due 02/02/2011 24,520 23,708 6.900% due 01/02/2018 1,511 1,429 Cox Communications, Inc. 6.630% due 06/14/2002 7,250 7,174 6.500% due 11/15/2002 200 198 0.430% due 04/19/2020 25,000 10,500 Cox Enterprises, Inc. 8.000% due 02/15/2007 5,000 5,105 7.610% due 05/01/2033 (d) 500 500 Credit Lyon Capital 2.380% due 01/01/2000 1,912 46,374 CSX Corporation 7.260% due 06/24/2002 (d) 25,100 25,102 DaimlerChrysler Holdings 6.630% due 09/21/2001 1,000 995 6.860% due 01/18/2002 18,900 18,922 7.750% due 05/27/2003 20,000 20,342 7.000% due 08/16/2004 (d) 61,600 61,704 Dayton Hudson Corp. 10.000% due 12/01/2000 1,000 1,004 Delphi Auto Systems Corp. 6.130% due 05/01/2004 20,000 19,103 80 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Delta Air Lines, Inc. 6.650% due 03/15/2004 $ 13,500 $ 12,809 10.430% due 01/02/2011 850 969 10.140% due 08/14/2012 1,000 1,144 9.200% due 09/23/2014 6,000 6,083 10.500% due 04/30/2016 4,550 4,994 Duty Free International, Inc. 7.000% due 01/15/2004 175 169 Eastman Chemical Co. 6.380% due 01/15/2004 5,750 5,535 Electric Lightwave, Inc. 6.050% due 05/15/2004 10,700 10,423 Eli Lilly & Co. 8.130% due 12/01/2001 500 507 6.250% due 03/15/2003 100 99 Embotelladora Arica SA 9.880% due 03/15/2006 7,500 7,810 Enron Corp. 7.110% due 09/10/2001 (d) 7,000 7,001 6.450% due 11/15/2001 275 273 7.660% due 01/14/2002 5,000 5,040 8.380% due 05/23/2005 12,000 12,550 Federal Express Corp. 6.850% due 01/15/2019 826 767 Ford Capital BV 9.380% due 05/15/2001 300 304 Ford Motor Co. 9.000% due 09/15/2001 880 893 6.630% due 10/01/2028 115,800 97,647 7.450% due 07/16/2031 10,000 9,325 Fortune Brands, Inc. 8.500% due 10/01/2003 500 521 Fred Meyer, Inc. 7.150% due 03/01/2003 11,000 10,927 7.380% due 03/01/2005 38,100 37,726 7.450% due 03/01/2008 300 291 General Foods Corp. 6.000% due 06/15/2001 200 197 General Motors Acceptance Corp. 6.250% due 05/01/2005 300 291 Gillette Co. 6.250% due 08/15/2003 750 749 5.750% due 10/15/2005 1,500 1,453 Grupo Elektra SA 12.750% due 05/15/2001 1,000 1,035 Gulf Canada Resources Ltd. 9.250% due 01/15/2004 7,250 7,366 Harrahs Operating Co., Inc. 7.880% due 12/15/2005 5,000 4,825 Heinz (H.J.) Co. 6.880% due 01/15/2003 100 101 Hertz Corp. 6.000% due 02/01/2001 75 75 Hilton Hotels Corp. 7.380% due 06/01/2002 1,000 992 Houghton Mifflin Co. 5.990% due 12/03/2001 3,000 2,955 IBM Corp. 7.250% due 11/01/2002 450 455 ICI Wilmington 6.750% due 09/15/2002 10,000 9,882 IMEXSA Export Trust 10.130% due 05/31/2003 7,644 7,618 Imperial Tobacco 7.130% due 04/01/2009 21,785 19,906 Ingersoll-Rand Co. 6.260% due 02/15/2001 295 294 International Game Technology 7.880% due 05/15/2004 24,500 24,071 International Paper Co. 9.050% due 02/08/2001 100 100 7.000% due 06/01/2001 2,000 1,994 ISP Holdings, Inc. 9.750% due 02/15/2002 6,750 6,075 ITT Corp. 6.250% due 11/15/2000 500 499 J Seagram & Sons 5.790% due 04/15/2001 1,800 1,783 6.250% due 12/15/2001 6,545 6,475 K Mart Corp. 8.190% due 11/24/2003 5,000 4,675 Kellogg 5.750% due 02/02/2001 86,925 86,444 Kohls Corp. 7.380% due 10/15/2011 15 14 Kroger Co. 7.560% due 10/01/2010 (d) 54,000 54,098 Limited, Inc. 7.800% due 05/15/2002 500 504 Lockheed Martin Corp. 6.850% due 05/15/2001 30,315 30,205 Mallinckrodt, Inc. 6.300% due 03/15/2011 (d) 23,155 23,046 Mandalay Resort Group 6.750% due 07/15/2003 4,500 4,230 Marlin Water Trust 7.090% due 12/15/2001 11,238 11,174 Mazda Manufacturing Corp. 10.500% due 07/01/2008 (l) 1,980 2,362 Mobil Corp. 8.380% due 02/12/2001 340 341 Nabisco, Inc. 6.000% due 02/15/2001 (d) 11,990 11,900 6.800% due 09/01/2001 3,000 2,962 6.700% due 06/15/2002 9,000 8,811 6.130% due 02/01/2033 15,000 14,356 Nabors Industries, Inc. 6.800% due 04/15/2004 9,250 9,150 News America Holdings Corp. 8.630% due 02/01/2003 750 775 Norfolk Southern Corp. 7.880% due 02/15/2004 50 51 Nortel Networks Corporation 6.880% due 10/01/2002 200 199 Northwest Airlines, Inc. 8.970% due 01/02/2015 1,636 1,659 8.070% due 08/01/2021 400 411 Occidental Petroleum 6.400% due 04/01/2003 7,710 7,520 7.360% due 10/03/2008 30,300 30,262 Park Place Entertainment Corp. 7.950% due 08/01/2003 18,500 18,523 Petroleos Mexicanos 8.130% due 07/15/2005 (d) 100,400 100,651 8.850% due 09/15/2007 1,800 1,787 9.380% due 12/02/2008 14,650 15,090 9.500% due 09/15/2027 31,000 32,008 Philip Morris Cos., Inc. 9.000% due 01/01/2001 300 301 8.750% due 06/01/2001 5,515 5,550 7.250% due 09/15/2001 70 70 7.500% due 01/15/2002 50 50 6.800% due 12/01/2003 48,345 47,340 7.000% due 07/15/2005 1,125 1,093 6.950% due 06/01/2006 9,540 9,495 7.200% due 02/01/2007 34,000 32,649 Philips Petroleum Co. 9.000% due 06/01/2001 2,000 2,016 Premium Asset Trust 7.030% due 09/08/2007 5,000 4,988 Proctor & Gamble Co. 5.250% due 09/15/2003 35,600 34,205 Qwest Corp. 7.200% due 11/01/2004 170 170 See accompanying notes 81 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Racers 6.930% due 03/03/2003 (d) $ 282,400 $ 282,400 6.210% due 04/01/2003 20,000 19,956 8.760% due 04/28/2003 (d) 30,000 30,690 6.800% due 09/15/2005 (d) 15,000 14,967 Raytheon Co. 7.310% due 03/01/2002 (d) 8,650 8,668 Rogers Cantel, Inc. 9.380% due 06/01/2008 2,750 2,860 Saferco 9.590% due 05/31/2001 (l) 3,000 3,052 Safeway, Inc. 5.750% due 11/15/2000 3,150 3,144 7.000% due 09/15/2002 1,125 1,124 6.850% due 09/15/2004 250 247 Sara Lee Corp. 6.300% due 11/07/2005 500 486 Scotia Pacific Co. LLC 7.710% due 01/20/2014 305 200 SmithKline Beecham 7.380% due 04/15/2005 150 153 Sprint Capital Corp. 7.010% due 06/10/2002 (d) 1,000 1,000 7.010% due 06/24/2002 (d) 50,000 50,020 Stone Container Corp. 10.750% due 10/01/2002 2,500 2,547 TCI Communications, Inc. 7.260% due 03/12/2001 (d) 14,700 14,756 6.380% due 05/01/2003 3,280 3,234 8.000% due 08/01/2005 450 463 Telecommunications, Inc. 8.250% due 01/15/2003 43,125 44,627 Tenet Healthcare Corp. 7.880% due 01/15/2003 5,000 4,988 8.630% due 12/01/2003 1,200 1,209 Texaco Capital 8.500% due 02/15/2003 700 727 6.000% due 06/15/2005 400 388 Textron, Inc. 6.750% due 09/15/2002 225 224 Time Warner, Inc. 6.100% due 12/30/2001 40,525 39,971 7.980% due 08/15/2004 19,770 20,324 Times Mirror Co. 6.650% due 10/15/2001 300 299 TRW, Inc. 6.630% due 06/01/2004 2,425 2,340 Tyco International Group SA 7.370% due 03/05/2001 (d) 15,000 15,016 6.880% due 09/05/2002 675 674 6.250% due 06/15/2003 16,315 15,880 Union Pacific Corp. 7.880% due 02/15/2002 8,000 8,052 7.330% due 07/01/2002 (d) 25,500 25,531 6.930% due 06/01/2003 1,000 989 6.000% due 09/01/2003 8,000 7,733 6.120% due 02/01/2004 250 241 US Airways 6.850% due 01/30/2018 145 130 USA Waste Services, Inc. 6.130% due 07/15/2001 23,500 23,030 UST, Inc. 7.250% due 06/01/2009 25,000 22,408 USX Corp. 9.800% due 07/01/2001 24,050 24,446 Wal-Mart Stores, Inc. 8.630% due 04/01/2001 2,450 2,473 6.150% due 08/10/2001 450 448 6.750% due 05/24/2002 170 170 6.500% due 06/01/2003 200 199 Walt Disney Co. 6.380% due 03/30/2001 1,100 1,097 5.130% due 12/15/2003 500 475 Waste Management, Inc. 6.380% due 12/01/2003 200 189 6.500% due 05/14/2004 89,000 83,904 Williams Communications Group, Inc. 7.180% due 11/15/2001 10,500 10,507 WMX Technologies 6.700% due 05/01/2001 10,000 9,911 7.000% due 10/15/2006 500 467 Xerox Corp. 7.410% due 05/15/2001 1,000 1,003 Yorkshire Power 6.150% due 02/25/2003 17,000 16,360 ----------- 2,478,510 =========== Utilities 6.1% AEP Resources, Inc. 6.500% due 12/01/2003 20,000 19,507 Alabama Power Co. 5.350% due 11/15/2003 1,600 1,528 Arizona Public Service 7.400% due 11/15/2001 (d) 1,000 1,000 Ashland, Inc. 8.450% due 12/05/2001 3,000 3,056 7.250% due 03/07/2003 (d) 300 299 AT&T Corp. 5.130% due 04/01/2001 600 595 7.350% due 08/27/2001 7,200 7,212 7.130% due 01/15/2002 275 276 5.630% due 03/15/2004 350 335 8.650% due 09/15/2004 625 655 7.000% due 05/15/2005 200 199 7.650% due 09/15/2006 140 141 0.000% due 11/01/2007 1,000 877 Baltimore Gas & Electric 6.130% due 07/01/2003 150 147 Bellsouth Telecom 6.000% due 06/15/2002 10,000 9,880 7.500% due 06/15/2033 185 169 Calpine Corp. 9.250% due 02/01/2004 4,150 4,155 7.630% due 04/15/2006 1,800 1,756 CE Electric Funding Company 6.850% due 12/30/2004 250 242 Central Maine Power Co. 7.430% due 08/25/2003 13,000 13,056 Central Power & Light Co. 7.290% due 11/23/2001 (d) 18,100 18,101 Chesapeake & Potomac Telephone 5.630% due 03/01/2007 500 461 8.000% due 10/15/2029 1,125 1,150 Cleveland Electric Illuminating Co. 9.500% due 05/15/2005 33,000 33,794 CMS Energy 8.380% due 07/01/2003 15,000 14,661 8.000% due 07/01/2011 1,000 991 7.000% due 01/15/2005 30,000 27,636 Coastal Corp. 8.130% due 09/15/2002 250 257 Columbus Southern Power Co. 6.850% due 10/03/2005 10,000 9,797 Commonwealth Edison 6.720% due 06/15/2002 (d) 1,000 1,000 6.630% due 07/15/2003 1,000 987 9.880% due 06/15/2020 11,700 12,781 Connecticut Light & Power Co. 7.880% due 06/01/2001 100 100 7.750% due 06/01/2002 5,000 5,048 8.590% due 06/05/2003 27,000 26,646 Consolidated Edison 6.630% due 02/01/2002 100 100 Consolidated Natural Gas Co. 7.250% due 10/01/2004 43,750 43,749 82 See accompanying notes Principal Amount Value (000s) (000s) Constellation Energy Group, Inc. 7.220% due 04/04/2003 (d) $ 15,000 $ 14,961 Deutsche Telekom AG 7.750% due 06/15/2005 134,400 137,718 Dominion Resources, Inc. 7.030% due 01/26/2001 (d) 1,600 1,601 7.600% due 07/15/2003 35,000 35,377 DTE Capital Corp. 8.350% due 11/15/2038 (d) 70,250 68,734 Duke Energy Corp. 5.880% due 06/01/2001 375 373 6.750% due 08/01/2025 25 21 East Coast Power LLC 6.740% due 03/31/2008 17,772 16,968 Edison Mission Energy 7.330% due 06/15/2001 (d) 1,000 1,000 El Paso Electric Co. 9.400% due 05/01/2011 7,455 7,933 El Paso Energy Corp. 6.630% due 07/15/2001 12,000 11,917 El Paso Natural Gas Co. 7.750% due 01/15/2002 15,000 15,106 Entergy Arkansas, Inc. 7.000% due 03/01/2002 1,580 1,575 7.720% due 03/01/2003 200 202 Entergy Louisiana, Inc. 8.500% due 06/01/2003 3,000 3,084 Entergy Mississippi, Inc. 7.360% due 05/03/2004 (d) 31,000 30,806 Georgia Power Co. 6.670% due 02/22/2002 (d) 15,000 14,990 GTE Corp. 7.250% due 08/01/2002 150 151 5.500% due 01/15/2009 100 88 Gulf States Utilities 6.410% due 08/01/2001 5,800 5,760 Hughes Electric 7.560% due 10/23/2000 (j) 10,000 10,003 Indiana Bell Telephone Co., Inc. 5.500% due 04/01/2007 500 455 Indiana Michigan Power 7.270% due 11/22/2000 (d) 2,500 2,501 Indianapolis Power & Light 7.380% due 08/01/2007 225 227 K N Energy, Inc. 6.450% due 11/30/2001 10,000 9,902 6.450% due 03/01/2003 240 236 Kansai Electric Power Co. 7.250% due 09/25/2006 2,000 2,021 Korea Electric Power 7.000% due 10/01/2002 380 374 6.380% due 12/01/2003 220 211 Louisiana Power & Light Co. 7.740% due 07/01/2002 599 599 MCI Worldcom, Inc. 8.880% due 01/15/2006 34,150 35,261 6.130% due 04/15/2012 1,250 1,235 Montana Power Co. 7.000% due 04/06/2001 (d) 15,000 15,004 National Power Corp. 9.630% due 05/15/2028 16,000 11,631 National Rural Utilities Cooperative 6.880% due 05/31/2002 (d) 10,000 9,996 6.250% due 04/15/2003 50,000 48,982 Nevada Power Co. 7.270% due 08/20/2001 (d) 900 900 New England Telephone & Telegraph Co. 6.380% due 09/01/2008 1,350 1,267 New Jersey Bell Telephone 4.880% due 11/01/2000 800 799 New York Telephone Co. 6.250% due 02/15/2004 150 146 6.000% due 04/15/2008 45 41 Niagara Mohawk Power 7.000% due 10/01/2000 60,235 60,235 6.880% due 03/01/2001 21,538 21,516 7.250% due 10/01/2002 24,783 24,676 7.380% due 07/01/2003 39,162 39,255 7.380% due 08/01/2003 1,645 1,658 North Atlantic Energy 9.050% due 06/01/2002 3,948 3,988 Northern Illinois Gas Co. 6.450% due 08/01/2001 1,450 1,447 Northern Telecom Ltd. 8.750% due 06/12/2001 300 303 NRG Energy, Inc. 8.000% due 11/01/2003 6,000 6,044 NRG Northeast Generating LLC 8.070% due 12/15/2004 500 503 Nynex Corp. 9.550% due 05/01/2010 5,941 6,360 Ohio Bell Telephone Co. 5.380% due 03/01/2007 950 865 Ohio Power Co. 7.000% due 07/01/2004 24,000 23,828 Oxymar 7.500% due 02/15/2016 200 149 Pacific Gas & Electric Co. 6.750% due 12/01/2000 3,049 3,048 Pacific Northwest Bell 4.380% due 09/01/2002 50 48 Philadelphia Electric 5.630% due 11/01/2001 22,350 22,026 Philippine Long Distance Telephone Co. 7.850% due 03/06/2007 5,000 4,088 10.500% due 04/15/2009 5,000 4,515 PP&L, Inc. 6.130% due 05/01/2001 (d) 16,102 15,999 6.550% due 03/01/2006 500 486 PSEG Energy Holdings 9.130% due 02/10/2004 120 123 Public Service Co. of Colorado 6.000% due 04/15/2003 750 732 Public Service Electric & Gas 7.250% due 04/01/2001 (d) 3,191 3,191 6.130% due 08/01/2002 1,000 987 6.250% due 01/01/2007 1,500 1,416 Public Service Enterprise Group, Inc. 7.010% due 11/22/2000 (d) 11,000 11,002 7.040% due 06/15/2001 (d) 156,200 156,262 Queststar Pipeline 9.380% due 06/01/2021 200 208 RAS LAFFAN Liquid Natural Gas 8.290% due 03/15/2014 145 138 Reliant Energy, Inc. 9.380% due 06/01/2001 1,000 1,013 6.380% due 11/01/2003 22,250 21,802 8.750% due 03/01/2022 10,000 10,142 Rochester Telecom 8.950% due 08/07/2001 3,000 3,051 Scana Corp. 7.210% due 02/08/2002 (d) 3,100 3,102 7.380% due 07/15/2002 (d) 27,000 27,037 Sierra Pacific Power Co. 7.160% due 06/12/2001 (d) 39,000 39,000 Sierra Pacific Resources 7.340% due 04/20/2003 (d) 2,000 2,001 6.200% due 04/15/2004 20,000 19,009 SK Telecom Co. Ltd. 7.750% due 04/29/2004 5,000 4,961 Southern Energy 7.900% due 07/15/2009 175 166 Sprint Capital Corp. 6.500% due 11/15/2001 13,365 13,325 6.970% due 11/15/2001 (d) 101,700 101,745 8.130% due 07/15/2002 10,378 10,608 5.880% due 05/01/2004 43,500 41,718 See accompanying notes 83 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- System Energy Resources 7.380% due 10/01/2000 $ 5,000 $ 5,000 7.710% due 08/01/2001 5,800 5,817 Teco Energy, Inc. 5.540% due 09/15/2001 44,630 44,075 Telekomunikacja Polska SA 7.130% due 12/10/2003 12,200 11,935 7.750% due 12/10/2008 13,600 13,117 Tennessee Valley Authority 3.380% due 01/15/2007 (i) 10,893 10,211 0.000% due 04/15/2042 855 366 Texas Utilities Co. 6.660% due 12/01/2000 67,700 67,700 7.210% due 06/25/2001 131,200 131,111 6.370% due 08/16/2001 1,000 990 7.590% due 09/24/2001 208,800 209,907 5.940% due 10/15/2001 3,000 2,961 6.500% due 08/16/2002 2,600 2,578 Toledo Edison Co. 8.180% due 07/30/2002 1,400 1,423 8.700% due 09/01/2002 14,500 14,738 7.850% due 03/31/2003 7,000 7,082 7.880% due 08/01/2004 500 507 TXU Eastern Funding 6.150% due 05/15/2002 53,800 52,657 6.450% due 05/15/2005 18,270 17,321 U.S. West Communications, Inc. 5.650% due 11/01/2004 9,000 8,470 6.630% due 09/15/2005 400 389 6.130% due 11/15/2005 400 380 Union Electric Co. 8.000% due 12/15/2022 1,000 981 United Telecom, Inc. 9.500% due 06/06/2001 150 152 Western Resources, Inc. 6.250% due 08/15/2003 6,600 5,932 Williams Cos., Inc. 6.130% due 02/01/2001 3,000 2,988 6.200% due 08/01/2002 4,000 3,947 Wilmington Trust Co. - Tucson Electric 10.730% due 01/01/2013 (l) 991 1,038 WorldCom, Inc. 6.130% due 08/15/2001 2,030 2,018 6.920% due 11/26/2001 (d) 12,700 12,713 6.400% due 08/15/2005 1,625 1,576 YPF Sociedad Anonima 7.250% due 03/15/2003 16,475 16,146 ------------- 2,152,502 ------------- Total Corporate Bonds & Notes 14,554,070 (Cost $14,785,594) ============= -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 0.8% -------------------------------------------------------------------------------- Alabama 0.0% Jefferson County AIabama Sewer Revenue Warrants, (FGIC Insured), Series 2000 6.560% due 02/01/2029 4,500 3,718 5.910% due 02/01/2036 625 547 Montgomery Alabama Special Care Facilities Financing Authority Revenue Bonds, (MBIA Insured), Series 1998 5.000% due 11/15/2029 2,000 1,743 ------------- 6,008 ============= California 0.1% California State Department of Water Resources Center Valley Project Revenue Bonds, Series 2000 6.030% due 12/01/2029 2,500 2,056 California State General Obligation, Series 2000 5.630% due 05/01/2026 5,270 5,342 5.750% due 05/01/2030 1,000 1,023 Cook County Illinois General Obligation (FGIC Insured), Series 1999 5.000% due 11/15/2028 6,445 5,688 Los Angeles California Wastewater System Revenue Bonds, (FGIC Insured), Series 2000 5.900% due 06/01/2028 6,500 4,396 Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue Bonds, (AMBAC Insured), Series 2000 5.740% due 07/01/2023 3,500 3,071 Orange County School Board, (MBIA Insured), Series 2000 5.710% due 08/01/2024 3,500 2,866 Port of Oakland California Revenue Bonds, (FGIC Insured), Series 2000 5.750% due 11/01/2029 1,000 1,019 San Diego Public Facilities Financing Authority Revenue Bonds, (FGIC Insured), Series 1999 5.000% due 05/15/2029 1,000 923 San Francisco California City & County Airport Community Revenue, (MBIA Insured), Series 1998 4.500% due 05/01/2028 6,700 5,650 ------------- 32,034 ============= Colorado 0.0% E-470 Public Highway Authority Revenue Bonds, (MBIA Insured), Series 2000 5.750% due 09/01/2035 2,500 2,497 ------------- Florida 0.1% Broward County Florida Airport System Revenue, (AMBAC Insured), Series 2000 5.030% due 10/01/2023 1,328 1,024 Florida State Board of Education General Obligation, (FGIC Insured), Series 2000 4.710% due 06/01/2023 3,500 2,310 Florida State Governmental Utility Authority Utility Revenue, (AMBAC Insured), Series 2000 5.710% due 10/01/2029 6,453 5,267 Florida State Turnpike Authority Revenue Bonds, (FGIC Insured), Series 2000 4.440% due 07/01/2027 6,323 4,007 Greater Orlando Aviation Authority, Orlando Florida Airport Facitities Revenue Bonds, (FGIC Insured), Series 1999 5.130% due 10/01/2028 2,000 1,800 Lakeland Florida Electric & Water Revenue, (MBIA Insured), Series 1999 5.000% due 5,350 4,790 10/01/2028 Modesto Public Financing Authority Lease Revenue, (AMBAC Insured), Series 2000 5.740% due 09/01/2029 2,500 2,125 Orange Tourist Florida Tourist Development Tax Revenue Bonds, (AMBAC Insured), Series 2000 5.500% due 10/01/2031 2,000 1,950 Tampa Florida Guaranteed Entitlement Revenue, (AMBAC Insured), Series 2001 6.000% due 10/01/2005 2,230 2,322 Tampa Florida Utility Tax & Special Revenue, (AMBAC Insured), Series 2001 6.000% due 10/01/2005 3,000 3,128 6.000% due 10/01/2008 1,500 1,586 ------------- 30,309 ============= 84 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Georgia 0.1% Atlanta Georgia Airport Revenue, (FGIC Insured), Series 2000 5.500% due 01/01/2026 $ 1,000 $ 975 Atlanta Georgia Water & Wastewater Revenue, (FGIC Insured), Series 1999 5.000% due 11/01/2038 44,600 39,205 Georgia Local Government Certificate Of Participation, (MBIA Insured), Series 2000 5.810% due 06/01/2028 9,950 6,866 ------------- 47,046 ============= Hawaii 0.0% Honolulu Hawaii City & County Wastewater System Revenue, (FGIC Insured), Series 1998 5.000% due 07/01/2023 6,935 6,231 Honolulu Hawaii City & County Wastewater System Revenue, (FGIC Insured), Series 2000 5.210% due 07/01/2028 7,200 4,941 ------------- 11,172 ============= Illinois 0.0% Chicago IIlinois Skyway Toll Bridge Revenue Bonds, (AMBAC Insured), Series 2000 5.500% due 01/01/2031 2,000 1,920 Chicago Illinois General Obligations Unlimited, (FGIC Insured), Series 2000 5.500% due 01/01/2040 3,500 3,321 Chicago Illinois Residual General Obligation, (MBIA Insured), Series 2000 5.960% due 01/01/2028 3,100 2,461 ------------- 7,702 ============= Kansas 0.0% Wichita Kansas Hospital Revenue Bonds, Series 1999 6.250% due 11/15/2024 1,000 1,000 ------------- Maryland 0.0% Maryland St. Health & Higher Educational Facilities Authority Revenue Bonds, Series 1999 6.000% due 07/01/2039 3,000 3,096 ------------- Massachusetts 0.1% E-470 Public Highway Residual 144a Revenue Bonds, (MBIA Insured), Series 2000 5.710% due 09/01/2021 2,590 2,104 Massachusetts Bay Transportation Authority Revenue Bonds, (MBIA Insured), Series 2000 5.260% due 03/01/2021 4,150 3,164 Massachusetts State Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2000 5.910% due 01/01/2039 10,250 7,982 Massachusetts State Turnpike Authority Revenue Bonds, (MBIA Insured), Series 2000 5.910% due 01/01/2037 13,550 10,620 ------------- 23,870 ============= Minnesota 0.0% Minnesota Agricultural & Economic Development Board Revenue Bonds, Series 2000 6.380% due 11/15/2029 1,000 1,003 St. Cloud Minnesota Health Care Revenue Bonds, Series 2000 5.750% due 05/01/2026 1,000 994 ------------- 1,997 ============= Mississippi 0.0% Mississippi Development Bank Special Obligation, (AMBAC Insured), Series 2000 5.810% due 07/01/2024 2,500 2,103 ------------- Nevada 0.1% Clark County Nevada General Obligations, (MBIA Insured), Series 2000 8.440% due 07/01/2030 $ 20,913 $ 19,422 Clark County Passenger Facility Charge Revenue Bonds, (MBIA Insured), Series 2000 5.210% due 07/01/2022 4,750 3,622 ------------- 23,044 ============= New Jersey 0.0% Essex County Improvement Authority Revenue Bonds, (FGIC Insured), Series 2000 5.750% due 10/01/2030 500 503 New Jersey Health Care Facilities Financing Authority Revenue Bonds, (MBIA Insured), Series 2000 5.130% due 07/01/2028 2,000 1,363 ------------- 1,866 ============= New York 0.2% Long Island Power Authority Revenue Bonds, (FSA Insured), Series 2000 12/01/2022 6.160% due 4,500 3,876 Long Island Power Authority Revenue Bonds, (MBIA Insured), Series 2000 6.410% due 12/01/2026 5,500 4,806 New York City Municipal Bond, Series 1997 6.960% due 08/01/2002 (d) 6,108 6,102 New York City Municipal Water Finance Authority, (MBIA-IBC Insured), Series 2000 5.130% due 06/15/2025 6,565 4,743 New York City Transitional Finance Authority Revenue Bonds, (FGIC Insured), Series 1998 4.750% due 11/15/2023 5,000 4,321 New York City Transitional Finance Authority Revenue Bonds, Series 2000 5.500% due 11/01/2024 2,500 2,431 New York City, New York General Obligation, Series D 6.900% due 08/01/2002 (d) 14,815 14,815 New York State Dorm Authority Lease Revenue Bonds, (FSA Insured), Series 1998 4.750% due 01/15/2029 3,850 3,267 New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 1998 5.000% due 02/15/2023 5,100 4,582 New York State Thruway Authority General Obligation, Series 1998 5.000% due 01/01/2025 300 267 Niagara Frontier Airport Revenue Bonds, (MBIA Insured), Series 1999 5.630% due 04/01/2029 1,000 969 Port Authority of New York & New Jersey Revenue Bonds, (MBIA Insured), Series 1997 5.750% due 12/01/2022 4,500 4,519 ------------- 54,698 ============= North Dakota 0.0% Mercer County Improvement Authority Revenue Bonds, Series 1978 5.800% due 01/01/2018 6,460 6,678 ------------- Ohio 0.0% Hamilton County Ohio Sales Tax Revenue Bonds, (MBIA Insured), Series 2000 5.460% due 12/01/2027 3,250 2,637 ------------- Pennsylvania 0.0% Allegheny County Hospital Development Authority Revenue Bonds, (MBIA Insured), Series 2000 A 6.500% due 11/15/2030 1,000 1,053 See accompanying notes 85 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) Philadelphia School District General Obligation Unlimited, (MBIA Insured), Series 2000 5.210% due 04/01/2027 $ 3,150 $ 2,217 Pittsburgh & Allegheny County Revenue Bonds, (AMBAC Insured), Series 1999 5.000% due 02/01/2029 500 446 ------------- 3,716 ============= Puerto Rico 0.0% Puerto Rico Commonwealth General Obligation, (MBIA Insured), Series 2000 5.875% due 07/01/2035 8,920 9,062 ------------- Texas 0.1% Dallas-Fort Worth International Airport Revenue, (FGIC Insured), Series 2000 6.000% due 11/01/2028 4,000 4,060 Harris County Health Facilities Development Corporation Revenue, (MBIA Insured), Series 2000 6.140% due 07/01/2021 3,500 2,993 Houston Independent School District General Obligation, (PSF Insured), Series 1999 4.750% due 02/15/2026 30,175 25,460 Houston Texas Airport System Revenue, (FGIC Insured), Series 1998 5.000% due 07/01/2025 5,500 4,904 Houston, Texas, Water & Sewer System Revenue, (FGIC Insured), Series 2000 5.250% due 12/01/2030 1,000 926 ------------- 38,343 ============= Utah 0.0% Weber County, Utah Hospital Revenue Bonds, Series 1999 5.000% due 08/15/2030 500 423 ------------- Washington State 0.0% Seattle Washington General Obligation, Series 2000 5.960% due 12/15/2028 3,000 2,378 ------------- Washington, DC 0.0% Washington D.C. Convention Center Authority Dedicated Tax Revenue, (AMBAC Insured), Series 2000 5.030% due 10/01/2028 6,500 4,688 ------------- Total Municipal Bonds & Notes 316,367 (Cost $315,244) ============= -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 0.8% -------------------------------------------------------------------------------- A.I.D. Housing Guarantee - Peru 9.980% due 08/01/2008 935 957 Federal Farm Credit Bank 6.400% due 01/16/2002 100 100 5.730% due 03/28/2003 300 295 Federal Home Loan Bank 7.270% due 02/15/2002 (d) 17,000 16,788 6.210% due 12/30/2002 200 198 5.130% due 09/15/2003 350 337 5.140% due 09/22/2003 600 576 6.000% due 06/30/2004 1,000 979 6.250% due 08/13/2004 250 248 6.030% due 01/22/2009 275 256 0.000% due 09/29/2017 2,000 487 0.000% due 09/10/2018 15,000 3,711 Federal Home Loan Mortgage Corp. 5.500% due 05/15/2002 435 429 7.000% due 02/15/2003 500 506 7.380% due 05/15/2003 3,500 3,574 6.880% due 01/15/2005 95 96 5.750% due 03/15/2009 1,955 1,824 6.630% due 09/15/2009 1,335 1,321 6.750% due 06/03/2013 400 373 Federal National Mortgage Assn. 0.000% due 08/15/2001 105 99 6.100% due 09/14/2001 100 100 5.380% due 03/15/2002 750 739 6.250% due 11/15/2002 115 114 6.000% due 03/03/2003 500 493 6.100% due 03/20/2003 250 247 5.500% due 12/29/2003 500 485 5.750% due 06/15/2005 900 872 6.560% due 12/10/2007 190 185 5.250% due 01/15/2009 80 72 6.630% due 09/15/2009 1,000 993 Small Business Administration 7.450% due 08/01/2010 107,300 109,273 Student Loan Marketing Assn. 6.840% due 04/25/2004 (d) 6,925 6,916 6.480% due 07/25/2004 (d) 842 840 6.740% due 10/25/2004 (d) 15,532 15,495 6.830% due 10/25/2004 (d) 24,678 24,639 6.710% due 10/25/2005 (d) 14,542 14,490 6.920% due 04/25/2006 (d) 84,060 83,739 ------------- Total U.S. Government Agencies 292,846 (Cost $282,885) ============= -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 13.7% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (i) 3.630% due 07/15/2002 1,118,428 1,118,079 3.380% due 01/15/2007 (j) 239,835 231,965 3.630% due 01/15/2008 (j) 456,306 445,897 3.880% due 01/15/2009 (j) 218,316 216,542 3.630% due 04/15/2028 (j) 70,496 67,015 3.880% due 04/15/2029 (j) 6,703 6,661 U.S. Treasury Bonds 12.380% due 05/15/2004 1,000 1,206 0.000% due 02/15/2015 188,900 280,812 8.130% due 08/15/2019 31,000 37,859 0.000% due 08/15/2020 349,245 453,691 8.130% due 05/15/2021 57,500 70,887 8.130% due 08/15/2021 134,200 165,653 8.000% due 11/15/2021 142,620 174,264 7.250% due 08/15/2022 275 313 6.250% due 08/15/2023 1,425 1,452 0.000% due 02/15/2026 184,400 182,729 6.130% due 11/15/2027 200 202 5.500% due 08/15/2028 59,900 55,613 6.130% due 08/15/2029 8,000 8,173 6.250% due 05/15/2030 535,200 562,797 U.S. Treasury Notes 6.750% due 05/15/2005 235,000 243,519 5.630% due 05/15/2008 500 491 6.500% due 02/15/2010 320 333 U.S. Treasury Strips 0.000% due 05/15/2013 4,500 2,096 0.000% due 02/15/2014 64,900 28,801 0.000% due 02/15/2015 135,000 56,298 0.000% due 05/16/2015 152,700 62,719 0.000% due 08/15/2015 170,400 68,833 0.000% due 11/15/2018 108,200 35,915 0.000% due 11/15/2021 795,000 222,563 0.000% due 11/15/2024 207,000 49,161 ------------- Total U.S. Treasury Obligations 4,852,539 (Cost $4,846,168) ============= -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 73.3% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 22.5% ABN AMRO Mortgage Corp. 6.750% due 09/25/2028 3,765 3,547 6.500% due 06/25/2029 7,093 6,516 ABSC Long Beach Home Equity Loan Trust 6.880% due 08/31/2030 (d) 137,705 137,705 86 See accompanying notes Principal Amount Value (000s) (000s) American Southwest Financial Securities Corp. 7.400% due 11/17/2004 $ 34,802 $ 35,077 12.250% due 11/01/2014 32 32 12.500% due 04/01/2015 279 281 12.000% due 05/01/2015 498 507 7.250% due 11/25/2038 54,826 53,198 Aurora Loan Services 7.340% due 05/25/2030 (d) 42,548 42,481 Banc of America Funding Corporation 6.750% due 11/20/2032 17,000 16,074 Bank of America Mortgage Securities, Inc. 6.250% due 07/25/2014 10,040 9,533 6.250% due 08/25/2028 25,000 22,518 6.500% due 05/25/2029 35,565 32,818 7.250% due 10/25/2029 10,371 9,356 Bear Stearns Mortgage Securities, Inc. 7.000% due 08/20/2018 9,999 9,457 7.380% due 10/25/2023 (d) 3,046 3,227 6.350% due 08/25/2024 1,481 1,474 10.000% due 08/25/2024 5,000 5,606 7.000% due 03/25/2027 7,000 6,738 8.130% due 09/25/2027 3,000 3,020 7.450% due 12/25/2027 62 62 7.000% due 02/25/2028 10,000 9,624 7.000% due 05/20/2030 34,574 33,869 7.170% due 06/25/2030 6,890 6,802 Capital Asset Research Funding LP 5.910% due 12/15/2005 153 152 Cendant Mortgage Corp. 7.250% due 04/18/2013 829 827 6.510% due 11/18/2028 (d) 13,739 12,760 6.500% due 11/18/2028 (d) 5,952 5,009 Centre Re 6.720% due 02/01/2009 30,620 29,308 Chase Mortgage Finance Corp. 8.250% due 10/25/2010 231 230 7.000% due 07/25/2024 2,275 2,262 7.000% due 08/25/2024 2,890 2,810 6.750% due 03/25/2025 11,449 9,911 6.320% due 04/25/2025 (d) 17,759 17,939 6.750% due 10/25/2028 39,000 36,712 6.350% due 07/25/2029 70,207 69,509 Chemical Mortgage Securities 7.250% due 01/25/2026 11,477 11,356 Citicorp Mortgage Securities, Inc. 7.650% due 10/25/2022 (d) 9,687 9,709 6.250% due 04/25/2024 11,796 10,407 6.250% due 05/25/2024 3,753 3,726 7.250% due 10/25/2027 20,462 19,666 6.750% due 09/25/2028 8,806 8,354 5.900% due 05/25/2029 12,282 12,199 CMC Securities Corp. 7.520% due 09/25/2023 (d) 0 3,454 8.420% due 04/25/2025 (d) 154 156 7.250% due 11/25/2027 9,293 9,115 6.150% due 05/25/2028 (d) 72 72 6.750% due 05/25/2028 5,000 4,720 CMSI 2000 7.500% due 10/30/2030 11,233 10,524 Collateralized Mortgage Obligation Trust 10.200% due 02/01/2016 2,259 2,276 7.250% due 04/23/2017 62 62 8.000% due 09/20/2021 6,301 6,293 Collateralized Mortgage Securities Corp. 11.450% due 09/01/2015 969 979 11.450% due 11/01/2015 (d) 2 2 8.750% due 04/20/2019 403 411 COMM 6.150% due 02/15/2008 15,326 14,896 6.490% due 12/16/2011 (d) 9,000 9,014 Countrywide Alternative Loan Trust 8.000% due 07/25/2030 21,089 21,340 Countrywide Funding Corp. 6.630% due 02/25/2024 33,827 31,226 Countrywide Home Loans 6.500% due 07/25/2013 5,676 5,293 8.790% due 07/25/2024 (d) 2,314 2,332 6.750% due 11/25/2025 25,567 22,795 7.500% due 04/25/2027 1,534 1,533 7.500% due 06/25/2027 12,122 12,142 7.500% due 09/25/2027 20,000 19,704 7.250% due 12/25/2027 6,224 5,965 7.250% due 02/25/2028 57,846 55,542 6.750% due 06/25/2028 15,103 13,461 6.750% due 08/25/2028 10,024 9,945 6.750% due 11/25/2028 3,000 2,803 6.500% due 01/25/2029 24,978 23,306 6.500% due 03/25/2029 21,744 20,032 6.050% due 04/25/2029 1,337 1,320 7.250% due 08/25/2029 5,700 5,381 7.750% due 08/31/2030 29,310 27,761 Crusade Global Trust 7.010% due 05/15/2021 (d) 100,000 100,250 CS First Boston Mortgage Securities Corp. 6.750% due 12/27/2028 12,607 10,467 6.960% due 06/20/2029 124 124 DLJ Commercial Mortgage Corp. 6.880% due 05/05/2003 (d) 31,164 31,183 DLJ Mortgage Acceptance Corp. 8.670% due 05/25/2024 (d) 107 109 6.850% due 12/17/2027 6,605 6,585 Donaldson, Lufkin & Jenrette, Inc. 6.450% due 08/01/2021 (d)(l) 3,985 4,256 8.410% due 12/25/2022 (d) 1,593 1,614 8.580% due 03/25/2024 (d) 460 468 Drexel Mortgage Funding 9.500% due 11/20/2017 622 626 DVI Business Credit Receivable 6.460% due 10/15/2003 (d) 3,850 3,891 FBS Mortgage Corp. 7.140% due 11/25/2024 364 363 Federal Home Loan Mortgage Corp. 8.000% due 03/15/2002 103 103 6.750% due 10/15/2003 14,399 14,364 7.000% due 10/15/2003 3,497 3,498 7.500% due 11/01/2003 4,476 4,513 7.000% due 12/15/2003 89 89 10.150% due 04/15/2006 8 8 6.500% due 07/15/2006 7,832 7,799 6.500% due 08/15/2006 523 520 6.770% due 03/12/2007 400 403 7.500% due 05/01/2007 1,345 1,363 5.500% due 10/15/2007 4,494 4,450 6.500% due 05/15/2008 1,000 993 3.050% due 06/15/2008 (d) 157 144 7.000% due 08/15/2008 3,353 361 6.000% due 11/15/2008 225 218 6.200% due 12/15/2008 4,487 4,164 6.000% due 03/15/2009 265 258 7.550% due 03/15/2012 180 181 8.500% due 08/15/2013 2,000 2,051 8.500% due 09/15/2013 5,941 6,066 6.000% due 11/15/2014 400 360 5.400% due 05/25/2016 1,675 1,664 6.250% due 10/15/2017 16,572 16,466 5.900% due 03/15/2018 3,420 3,399 6.350% due 03/25/2018 179 177 5.250% due 05/15/2018 156 155 10.000% due 08/01/2018 57 60 6.500% due 10/15/2018 480 19 6.400% due 02/15/2019 13,420 13,329 6.500% due 05/15/2019 173 172 5.800% due 06/15/2019 5,032 5,004 6.250% due 07/15/2019 18,216 18,086 5.000% due 08/15/2019 85 84 7.500% due 01/15/2020 2,676 2,671 7.080% due 06/15/2020 (d) 88 88 5.250% due 07/15/2020 304 299 See accompanying notes 87 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) 5.500% due 10/15/2020 $ 55 $ 54 9.500% due 11/15/2020 3,189 3,366 9.000% due 12/15/2020 795 822 8.750% due 12/15/2020 1,265 1,295 6.000% due 12/15/2020 252 242 9.000% due 12/15/2020 1,602 1,653 9.500% due 01/15/2021 1,955 2,056 6.250% due 01/15/2021 200 196 8.000% due 04/15/2021 89 91 6.500% due 05/15/2021 104 103 6.500% due 05/17/2021 57 55 8.500% due 06/15/2021 24,203 24,926 6.950% due 07/15/2021 439 441 9.000% due 07/15/2021 1,969 2,051 9.500% due 07/15/2021 1,203 1,310 8.000% due 07/15/2021 9,502 9,533 6.200% due 08/15/2021 1,158 1,148 6.950% due 08/15/2021 157 154 8.000% due 08/15/2021 23,472 23,808 7.000% due 09/15/2021 274 272 6.500% due 09/15/2021 29,896 29,579 7.000% due 10/15/2021 9 9 8.000% due 12/15/2021 18,405 18,931 6.850% due 01/15/2022 700 692 8.250% due 06/15/2022 5,000 5,101 7.000% due 07/15/2022 9,380 9,144 8.500% due 10/15/2022 7,029 7,303 7.500% due 01/15/2023 17,740 17,313 7.000% due 05/15/2023 10,499 9,810 7.000% due 07/15/2023 270 246 7.500% due 07/15/2023 395 399 6.500% due 07/15/2023 272 266 6.500% due 08/15/2023 141,607 140,328 6.850% due 10/25/2023 3,059 2,992 6.500% due 11/15/2023 135 117 7.500% due 01/20/2024 103 103 5.000% due 02/15/2024 116 97 6.500% due 02/15/2024 21 21 6.500% due 03/15/2024 320 283 8.000% due 04/25/2024 475 484 6.250% due 05/15/2024 13,357 11,838 7.250% due 08/15/2024 190 190 8.000% due 09/15/2024 16,250 16,398 7.500% due 02/15/2025 3,620 3,639 7.000% due 09/17/2025 40 39 6.500% due 03/15/2026 110 104 8.020% due 10/01/2026 (d) 2,926 2,985 6.000% due 11/15/2026 550 510 7.500% due 01/15/2027 25,182 24,035 7.000% due 01/15/2027 61 61 8.000% due 02/15/2027 34,599 34,657 7.500% due 03/17/2027 20,000 19,806 6.750% due 05/15/2027 824 819 7.500% due 06/20/2027 19,568 18,783 6.500% due 08/15/2027 15,642 12,949 6.500% due 10/15/2027 32,300 29,407 6.000% due 11/15/2027 665 616 6.500% due 01/25/2028 8,691 7,893 7.000% due 02/15/2028 1,593 1,520 6.500% due 04/15/2028 158,188 144,424 6.500% due 05/15/2028 48,000 43,284 6.500% due 06/15/2028 61,318 51,465 6.500% due 06/20/2028 23,392 19,621 6.500% due 07/15/2028 70,438 58,390 6.500% due 08/15/2028 275,986 229,683 7.000% due 11/15/2028 9,000 8,570 6.500% due 12/15/2028 7,057 5,506 6.000% due 12/15/2028 23,099 18,817 6.250% due 12/15/2028 1,673 1,376 6.500% due 01/15/2029 10,411 9,614 6.000% due 02/15/2029 3,873 2,877 6.500% due 03/15/2029 25,864 22,421 6.500% due 06/01/2029 106 102 6.500% due 07/01/2029 1,084 1,043 Principal Amount Value (000s) (000s) 8.000% due 07/15/2029 $ 1,250 $ 1,222 7.500% due 08/15/2030 201 192 7.000% due 09/15/2030 (d) 18,100 15,280 7.120% due 09/30/2030 15,200 15,053 7.500% due 10/15/2030 27,350 25,991 6.500% due 08/15/2032 (d) 26,172 25,687 Federal National Mortgage Assn. 9.100% due 02/25/2002 194 193 7.500% due 05/25/2005 6,700 6,757 7.500% due 02/25/2006 375 377 6.500% due 05/01/2006 142 141 6.500% due 07/25/2006 50 50 8.000% due 11/25/2006 30 30 6.350% due 12/25/2006 8 8 6.000% due 07/25/2007 300 296 5.580% due 08/25/2007 (d) 10 9 6.740% due 08/25/2007 145 142 6.270% due 09/25/2007 3,000 2,852 7.000% due 10/25/2007 200 200 6.500% due 05/25/2008 500 497 10.500% due 08/25/2008 7,146 7,851 6.000% due 08/25/2008 69 68 7.450% due 09/25/2008 (d) 1,606 1,463 6.750% due 11/25/2010 886 881 7.000% due 01/25/2011 100 99 6.000% due 03/18/2015 11,217 11,128 8.000% due 12/25/2016 181 183 9.250% due 04/25/2018 173 182 9.300% due 05/25/2018 672 699 9.500% due 06/25/2018 564 589 7.210% due 06/25/2018 (d) 3 3 9.500% due 11/25/2018 6,998 7,155 6.000% due 02/25/2019 4,242 4,195 6.500% due 03/25/2019 885 872 9.500% due 06/25/2019 1,339 1,400 5.650% due 07/25/2019 457 454 9.300% due 08/25/2019 73 77 6.350% due 08/25/2019 207 205 8.000% due 10/25/2019 620 618 9.000% due 12/25/2019 5,985 6,159 7.500% due 12/25/2019 74 73 7.500% due 05/25/2020 3,225 3,241 6.750% due 06/25/2020 248 247 7.080% due 07/18/2020 (d) 46 46 7.000% due 07/25/2020 327 326 9.000% due 09/25/2020 3,338 3,452 7.000% due 09/25/2020 12,693 12,648 6.500% due 09/25/2020 1,367 1,355 5.000% due 09/25/2020 200 190 8.000% due 12/25/2020 26,225 26,782 7.160% due 12/25/2020 (d) 10 10 8.750% due 01/25/2021 3,151 3,232 9.000% due 01/25/2021 5,264 5,483 5.750% due 02/18/2021 100 96 7.500% due 03/25/2021 2,159 2,150 9.000% due 03/25/2021 459 473 7.000% due 05/25/2021 300 293 7.500% due 06/25/2021 46 46 6.500% due 06/25/2021 6,096 5,834 8.000% due 07/25/2021 14,905 15,091 8.500% due 09/25/2021 5,376 5,544 7.000% due 10/25/2021 9,317 9,113 8.000% due 10/25/2021 22,645 22,940 7.000% due 11/25/2021 23,206 23,031 6.000% due 12/25/2021 34 34 4.000% due 01/25/2022 126 113 8.000% due 01/25/2022 21,700 21,968 8.000% due 03/25/2022 72 72 7.000% due 04/25/2022 17,091 16,299 5.000% due 04/25/2022 48 44 10.000% due 05/01/2022 133 141 7.380% due 05/25/2022 9,227 9,100 7.000% due 06/25/2022 1,276 1,249 8.000% due 06/25/2022 3,861 3,915 88 See accompanying notes Principal Amount Value (000s) (000s) 8.000% due 07/25/2022 $ 60,892 $ 61,455 7.000% due 07/25/2022 5,582 5,516 6.500% due 10/25/2022 4,048 3,672 7.800% due 10/25/2022 3,328 3,325 6.500% due 12/25/2022 195 192 7.000% due 03/25/2023 28,890 27,361 6.500% due 05/18/2023 10,717 10,601 6.900% due 05/25/2023 159 142 7.000% due 06/25/2023 5,258 4,769 6.000% due 08/25/2023 2,703 2,529 6.500% due 08/25/2023 35 34 6.000% due 08/25/2023 11,122 9,496 1.000% due 09/25/2023 226 204 6.750% due 09/25/2023 3,971 3,558 6.750% due 10/25/2023 597 512 7.500% due 10/25/2023 50 51 6.500% due 11/25/2023 85 83 6.500% due 12/25/2023 1,317 1,145 7.100% due 12/25/2023 6,769 6,465 6.500% due 01/25/2024 2,656 2,386 7.250% due 02/25/2024 17 17 6.500% due 02/25/2024 5,150 4,794 7.500% due 06/20/2024 106 107 6.500% due 08/17/2024 17,000 16,096 7.000% due 02/18/2025 121 121 6.600% due 05/18/2025 219 212 7.500% due 11/17/2025 289 286 7.500% due 12/25/2025 360 354 7.000% due 02/15/2026 180 178 7.000% due 07/18/2026 450 433 6.500% due 09/18/2026 120 114 7.000% due 12/18/2026 16,310 15,014 6.000% due 12/25/2026 170 157 6.000% due 03/25/2027 320 295 6.000% due 05/17/2027 5,470 4,756 6.500% due 07/18/2027 173 148 7.000% due 07/18/2027 460 446 8.000% due 08/18/2027 286 79 7.500% due 08/20/2027 2,503 2,398 6.890% due 02/01/2028 (d) 1,292 1,328 7.020% due 04/18/2028 (d) 3,211 3,216 6.500% due 06/25/2028 4,700 4,325 6.500% due 07/18/2028 67,412 60,818 6.000% due 07/18/2028 8,649 6,778 9.100% due 09/25/2028 20,532 22,196 6.250% due 02/25/2029 500 429 6.000% due 04/25/2029 10,809 7,804 7.120% due 08/25/2030 (d) 94,976 94,925 7.070% due 09/01/2030 (d) 85,000 84,920 6.300% due 10/17/2038 15,471 13,551 First Commonwealth Savings & Loan 10.380% due 04/01/2005 16 17 First Nationwide Trust 6.500% due 03/25/2029 4,400 4,128 6.750% due 07/25/2029 5,498 5,462 7.750% due 09/19/2030 6,000 5,544 First Union Residential Securitization, Inc. 7.000% due 04/25/2025 356 346 6.750% due 08/25/2028 9,048 8,047 Gaston Oaks PLC 6.930% due 01/01/2036 4,922 4,871 General Electric Capital Mortgage Services, Inc. 6.000% due 01/25/2009 1,148 1,140 6.750% due 12/25/2012 2,498 2,479 6.500% due 09/25/2023 1,175 1,019 6.500% due 12/25/2023 8,631 7,454 6.500% due 01/25/2024 3,895 3,339 6.500% due 02/25/2024 1 1 6.500% due 03/25/2024 66,953 61,533 6.500% due 04/25/2024 66,640 55,826 7.250% due 05/25/2026 3,780 3,663 7.500% due 06/25/2027 21,893 21,707 7.500% due 07/25/2027 10,129 9,926 7.000% due 10/25/2027 14,502 13,726 Principal Amount Value (000s) (000s) 7.000% due 11/25/2027 $ 72,500 $ 69,853 6.650% due 05/25/2028 6,902 6,833 6.750% due 05/25/2028 23,934 21,974 6.750% due 06/25/2028 20,517 19,333 6.550% due 06/25/2028 23,450 22,829 6.600% due 06/25/2028 7,106 7,045 6.750% due 06/25/2028 1,314 1,304 6.750% due 10/25/2028 9,311 8,785 6.250% due 12/25/2028 54,952 49,910 6.500% due 12/25/2028 19,500 18,009 6.500% due 05/25/2029 9,858 9,075 6.750% due 05/25/2029 20,000 18,531 6.500% due 07/25/2029 95,240 87,417 5.950% due 07/25/2029 24,794 24,466 6.000% due 07/25/2029 23,507 23,065 6.250% due 07/25/2029 132,674 128,277 7.250% due 08/25/2029 8,000 7,606 7.000% due 09/25/2029 15,957 15,013 General Motors Acceptance Corp. 6.920% due 07/20/2002 (d) 3,287 3,287 6.700% due 03/15/2008 29,732 28,905 GGP-Homart 7.040% due 06/10/2003 (d) 19,600 19,643 GMAC Commercial Mortgage Securities, Inc. 6.150% due 11/15/2007 264 256 6.970% due 05/15/2008 28,427 28,360 6.570% due 09/15/2033 30,119 29,617 6.950% due 09/15/2033 25,060 24,703 GMAC Mortgage Corporation Loan Trust 7.500% due 05/25/2030 12,000 11,895 Goldman Sachs Mortgage Corp. 6.000% due 12/31/2007 (l) 8,635 8,030 Government National Mortgage Association 6.250% due 06/20/2022 43,622 43,216 7.220% due 06/20/2023 (d) 48,214 48,122 7.250% due 12/16/2023 7,444 7,468 7.000% due 01/15/2024 414 409 8.000% due 05/16/2024 73 73 7.000% due 03/20/2026 320 310 7.000% due 08/20/2026 114 111 7.500% due 02/16/2027 1 1 7.500% due 07/16/2027 29,918 28,903 7.000% due 12/20/2027 18,416 17,479 6.500% due 06/20/2028 30,965 25,382 6.500% due 07/20/2028 39,127 31,695 6.500% due 09/20/2028 28,461 23,948 6.500% due 01/20/2029 27,852 23,106 6.500% due 03/20/2029 16,259 14,914 8.000% due 03/20/2029 7,151 7,305 6.000% due 05/20/2029 10,831 8,518 7.500% due 01/20/2030 315 310 7.500% due 09/20/2030 5,000 4,774 7.130% due 09/20/2030 (d) 13,800 13,797 7.070% due 10/30/2030 58,500 58,518 Greenwich 7.980% due 04/25/2022 (d) 425 424 7.810% due 07/25/2022 (d) 109 108 8.150% due 10/25/2022 (d) 55 55 8.190% due 04/25/2023 (d) 918 915 8.780% due 04/25/2024 (d) 848 858 8.860% due 06/25/2024 (d) 493 500 9.690% due 08/25/2024 (d) 914 923 9.480% due 11/25/2024 (d) 195 195 GS Mortgage Securities Corp. 6.060% due 10/18/2030 0 0 Harborview Mortgage Loan Trust 7.470% due 08/19/2030 22,975 23,176 Headlands Mortgage Securities, Inc. 7.250% due 11/25/2012 2,043 2,043 7.160% due 12/25/2012 775 773 7.250% due 11/25/2027 18,456 18,260 7.000% due 02/25/2028 560 557 See accompanying notes 89 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ICI Funding Corp. Secured Assets Corp. 7.250% due 09/25/2027 $ 18,068 $ 17,744 7.750% due 03/25/2028 1,868 1,819 Impac CMB Trust 6.870% due 07/25/2028 (d) 1,061 1,062 Impac Secured Assets CMN Owner Trust 7.320% due 10/25/2030 (d) 62,000 62,000 Imperial CMB Trust 6.950% due 09/25/2026 (d) 6,035 6,039 6.650% due 11/25/2029 1,063 1,055 Independent National Mortgage Corp. 6.650% due 10/25/2024 2,723 2,633 9.140% due 11/25/2024 (d) 5 5 8.560% due 11/25/2024 (d) 1,140 1,155 8.750% due 12/25/2024 30 31 9.070% due 01/25/2025 (d) 107 109 8.000% due 06/25/2025 7 7 8.230% due 07/25/2025 (d) 6,762 6,821 7.500% due 09/25/2025 782 780 International Mortgage Acceptance Corp. 12.250% due 03/01/2014 255 291 J.P. Morgan Commercial Mortgage Finance Corp. 8.230% due 02/25/2028 1,615 1,617 6.530% due 01/15/2030 20,000 19,545 Kidder Peabody Acceptance Corp. 8.310% due 09/25/2024 (d) 7,392 7,417 LB Mortgage Trust 8.400% due 01/20/2017 38,879 40,339 Mellon Residential Funding Corp. 6.500% due 02/25/2028 10,000 8,663 6.350% due 06/25/2028 22,000 21,585 6.110% due 01/25/2029 23,900 22,922 6.570% due 07/25/2029 44,000 42,688 6.580% due 07/25/2029 55,500 54,805 6.460% due 07/25/2029 6,631 6,602 Merrill Lynch Mortgage Investors, Inc. 7.000% due 06/15/2021 2,182 2,187 7.150% due 06/15/2021 (d) 4,694 4,617 7.410% due 06/15/2021 (d) 4,404 4,340 6.950% due 06/18/2029 36,420 36,421 Midland Realty Acceptance Corp. 7.020% due 01/25/2029 19,667 19,552 MLCC Mortgage Investors, Inc. 6.870% due 09/15/2026 (d) 18,580 18,556 Morgan Stanley Capital 6.860% due 05/15/2006 2,041 2,037 6.190% due 01/15/2007 20,866 20,449 6.160% due 04/03/2009 13,464 13,058 7.460% due 02/15/2020 11,450 11,640 6.590% due 10/03/2030 6,612 6,546 Morgan Stanley, Dean Witter, Discover and Co. 6.850% due 07/25/2027 (d) 677 673 Mortgage Capital Funding, Inc. 7.800% due 04/15/2006 500 510 7.010% due 09/20/2006 15,545 15,399 7.600% due 05/25/2027 12,959 13,133 NationsBanc Montgomery Funding Corp. 6.750% due 06/25/2028 10,000 9,419 6.500% due 07/25/2028 14,470 13,325 6.750% due 08/25/2028 20,009 18,191 6.250% due 10/25/2028 2,000 1,804 Nationslink Funding Corp. 5.810% due 02/10/2001 14,502 14,444 6.330% due 10/22/2004 6,542 6,447 6.650% due 02/10/2006 12,124 11,968 6.970% due 04/10/2007 (d) 7,417 7,419 Nomura Asset Securities Corp. 8.490% due 05/25/2024 (d) 1,701 1,743 Norwest Asset Securities Corp. 6.750% due 12/25/2012 16,624 16,427 6.500% due 06/25/2013 3,129 3,059 7.500% due 03/25/2027 1,943 1,938 6.750% due 09/25/2027 2,957 2,899 Principal Amount Value (000s) (000s) 6.350% due 04/25/2028 $ 1,747 $ 1,733 6.750% due 05/25/2028 5,000 4,587 6.250% due 08/25/2028 4,355 4,307 6.250% due 09/25/2028 418 377 6.750% due 10/25/2028 18,215 17,208 6.500% due 12/25/2028 20,000 18,448 6.500% due 01/25/2029 373 279 6.500% due 02/25/2029 67,312 62,208 6.500% due 04/25/2029 26,751 24,622 6.300% due 04/25/2029 8,082 7,847 6.200% due 04/25/2029 77,385 74,553 5.950% due 04/25/2029 111,948 108,611 6.000% due 05/25/2029 19,713 19,332 6.250% due 05/25/2029 504 485 6.500% due 06/25/2029 46,178 42,395 6.750% due 08/25/2029 1,267 1,255 7.000% due 09/25/2029 3,451 2,888 6.500% due 10/25/2029 1,980 1,824 7.000% due 11/25/2029 14,870 14,238 7.250% due 02/25/2030 19,756 18,206 PaineWebber Mortgage 6.000% due 04/25/2009 11,951 11,435 PHH Mortgage Services Corp. 7.180% due 11/18/2027 956 911 PNC Mortgage Securities Corp. 6.750% due 06/25/2016 10,346 10,242 7.000% due 10/25/2027 36,034 34,747 6.750% due 12/25/2027 7,230 6,507 6.990% due 02/25/2028 9,574 9,358 6.500% due 02/25/2028 1,221 1,213 7.000% due 02/25/2028 25,604 24,686 6.630% due 03/25/2028 1,750 1,723 7.000% due 05/25/2028 6,422 6,373 6.550% due 07/25/2028 24,500 24,240 6.750% due 07/25/2028 3,527 3,326 6.750% due 09/25/2028 3,996 3,766 6.750% due 10/25/2028 26,133 24,476 6.750% due 12/25/2028 21,709 20,402 6.500% due 01/25/2029 999 922 6.250% due 01/25/2029 9,263 8,352 6.300% due 03/25/2029 10,000 9,051 6.500% due 06/25/2029 48,600 44,628 6.200% due 06/25/2029 50,581 49,496 7.750% due 07/25/2030 78,448 78,300 7.500% due 09/29/2030 500 501 Potomac Gurnee Finance Corp. 6.890% due 12/21/2026 47 46 Prudential Bache 6.710% due 09/01/2018 (d) 215 212 8.400% due 03/20/2021 5,974 6,120 Prudential Home Mortgage Securities 7.000% due 01/25/2008 23,860 23,644 6.750% due 08/25/2008 414 412 6.400% due 04/25/2009 697 692 6.950% due 11/25/2022 222 204 7.000% due 07/25/2023 11,428 11,321 6.750% due 10/25/2023 9,611 7,958 5.900% due 12/25/2023 5,036 4,965 6.050% due 04/25/2024 2,546 2,520 6.800% due 05/25/2024 10,970 9,175 6.450% due 11/25/2025 5,264 4,584 Prudential Securities Secured Financing Corp. 6.070% due 01/15/2008 12,480 12,061 6.960% due 06/15/2008 20,592 20,555 PSB Financial Corp. 11.050% due 12/01/2015 440 448 Resecuritization Mortgage Trust 6.750% due 06/19/2028 18,235 17,146 Residential Accredit Loans, Inc. 7.450% due 04/25/2023 960 956 7.500% due 08/25/2027 15,000 14,866 6.500% due 02/25/2028 20,616 20,459 7.000% due 02/25/2028 41,115 39,716 90 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- 6.500% due 12/25/2028 $ 400 $ 369 6.500% due 05/25/2029 3,000 2,765 6.750% due 06/25/2029 1,576 1,543 7.000% due 07/25/2029 468 462 7.750% due 03/25/2030 4,389 4,418 Residential Asset Securitization Trust 7.000% due 03/25/2027 10 10 7.380% due 03/25/2027 5,142 5,026 7.000% due 10/25/2027 19,541 19,097 7.000% due 01/25/2028 20,000 18,906 6.750% due 06/25/2028 14,914 14,701 6.500% due 12/25/2028 1,250 1,132 6.500% due 03/25/2029 22,700 21,416 7.320% due 09/25/2030 (d) 16,648 16,768 Residential Funding Mortgage Securities, Inc. 7.000% due 08/25/2008 5,237 5,215 7.500% due 09/25/2011 14,406 14,493 7.000% due 05/25/2012 3,095 3,050 6.500% due 12/25/2012 21,417 20,597 7.750% due 09/25/2022 417 418 8.000% due 01/25/2023 2,725 2,745 8.000% due 02/25/2023 9,675 9,764 6.500% due 11/25/2023 1,660 1,504 6.000% due 03/25/2024 1,418 1,408 7.500% due 09/25/2025 11,897 11,899 7.500% due 12/25/2025 944 947 7.750% due 11/25/2026 9,000 9,122 7.500% due 04/25/2027 6,217 6,160 7.500% due 06/25/2027 53,035 52,584 7.500% due 07/25/2027 25,265 25,405 7.250% due 08/25/2027 16,000 15,602 7.250% due 10/25/2027 42,033 40,796 7.000% due 11/25/2027 17,000 16,291 6.750% due 02/25/2028 12,742 12,486 6.750% due 05/25/2028 60,741 56,513 6.750% due 06/25/2028 69,960 65,112 6.750% due 07/25/2028 9,000 8,471 6.750% due 08/25/2028 10,000 9,347 6.750% due 09/25/2028 66,493 62,546 6.500% due 10/25/2028 52,000 47,981 6.250% due 11/25/2028 3,000 2,716 6.500% due 12/25/2028 23,400 21,578 6.500% due 01/25/2029 72,314 66,473 6.500% due 03/25/2029 6,980 6,500 6.200% due 05/25/2029 66,252 65,527 6.500% due 06/25/2029 11,335 8,559 6.750% due 07/25/2029 22,600 21,152 7.000% due 10/25/2029 25,260 24,140 7.500% due 11/25/2029 12,338 11,890 Resolution Trust Corp. 8.690% due 08/25/2021 6,609 6,582 8.140% due 10/25/2021 (d) 142 141 5.570% due 10/25/2021 (d) 133 130 8.630% due 10/25/2021 129 129 8.710% due 05/25/2022 (d) 1,356 1,329 8.630% due 08/25/2023 (d) 1,850 1,853 8.840% due 12/25/2023 3,300 3,372 9.450% due 05/25/2024 1,431 1,425 8.000% due 04/25/2025 167 161 8.000% due 06/25/2026 253 248 8.170% due 10/25/2028 (d) 5,276 5,399 7.420% due 10/25/2028 (d) 13,604 13,501 7.510% due 05/25/2029 (d) 2,670 2,675 7.030% due 05/25/2029 (d) 2,631 2,588 RMF Commercial Mortgage Securities, Inc. 6.720% due 01/15/2019 235 229 Ryan Mortgage Acceptance Corp. 9.450% due 10/01/2016 78 81 Ryland Acceptance Corp. 11.500% due 12/25/2016 84 90 8.200% due 09/25/2022 17 17 Ryland Mortgage Securities Corp. 8.200% due 06/25/2021 35 35 8.430% due 08/25/2022 (d) 1,803 1,810 8.020% due 08/25/2029 (d) 2,089 2,101 7.240% due 10/25/2031 (d) 3,035 3,018 Salomon Brothers Mortgage Securities 9.110% due 07/01/2024 (d) 4,110 4,135 6.960% due 04/25/2029 (d) 21,863 21,881 7.000% due 04/25/2029 (d) 7,709 7,701 6.920% due 06/25/2029 (d) 40,316 40,319 7.020% due 09/25/2029 (d) 398 400 Salomon Smith Barney Holdings, Inc. 6.630% due 07/01/2002 55 55 Santa Barbara Savings 9.500% due 11/20/2018 2,032 2,058 Saxon Mortgage 6.250% due 04/25/2009 3,169 3,136 6.500% due 02/25/2024 1,820 1,795 9.070% due 09/25/2024 (d) 3,159 3,187 Sears Mortgage Securities 6.280% due 12/25/2028 281 274 Securitized Asset Sales, Inc. 8.500% due 10/25/2023 (d) 1,375 1,370 8.510% due 12/26/2023 (d) 745 753 7.410% due 09/25/2024 (d) 9,900 9,944 Security Pacific National Bank 6.380% due 03/25/2018 (d) 86 83 Sequoia Mortgage Trust 6.350% due 09/25/2025 (d) 6,000 5,847 Small Business Investment Co. 7.540% due 08/10/2009 75,600 77,349 8.020% due 02/10/2010 102,039 107,158 7.640% due 03/10/2010 69,731 71,581 7.450% due 09/01/2010 15,860 15,884 Southern Pacific Secured Assets Corp. 6.790% due 07/25/2029 (d) 39,853 39,621 Starwood Commercial Mortgage 6.600% due 02/03/2009 11,556 11,404 Structured Asset Mortgage Investments, Inc. 6.750% due 03/25/2028 22,519 21,209 6.910% due 06/25/2028 (d) 37,724 36,711 6.250% due 11/25/2028 14,878 13,452 6.750% due 01/25/2029 10,000 9,395 6.300% due 05/25/2029 18,419 17,976 6.580% due 06/25/2029 (d) 30,039 28,797 7.250% due 07/25/2029 23,718 23,660 7.230% due 02/25/2030 955 939 Structured Asset Notes Transactions Ltd. 6.650% due 08/30/2005 18,771 18,114 Structured Asset Securities Corp. 7.000% due 12/25/2027 51,500 48,812 Superannuation Members Home Loans Global Fund 7.020% due 06/15/2026 (d) 19,900 19,894 TMA Mortgage Funding Trust 7.000% due 01/25/2029 (d) 28,816 28,816 Union Planters Mortgage Finance Corp. 6.750% due 01/25/2028 4,000 3,668 6.800% due 01/25/2028 15,000 14,498 Vendee Mortgage Trust 7.750% due 03/15/2016 104 103 7.500% due 08/15/2017 333 334 7.750% due 05/15/2018 550 555 6.500% due 05/15/2020 28,750 27,199 6.830% due 01/15/2030 16,470 16,111 Washington Mutual 6.780% due 07/26/2003 (d) 155,246 155,199 Western Federal Savings & Loan 7.930% due 06/25/2021 (d) 3,229 3,229 ------------- 7,986,226 ============= Federal Home Loan Mortgage Corporation 2.4% 5.000% due 10/15/2020 1,000 958 5.500% due 04/01/2001-10/14/2029 (k) 3,113 2,863 5.750% due 08/15/2020 300 295 5.900% due 12/01/2026 (d) 5,871 5,751 See accompanying notes 91 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- 6.000% due 12/01/2000-10/16/2030 (k) $ 282,314 $ 264,740 6.500% due 07/01/2001-05/01/2029 (k) 167,130 155,382 6.540% due 11/01/2026 (d) 6,846 6,831 6.720% due 11/01/2028 (d) 23,564 23,205 6.750% due 01/17/2025 8,349 8,304 6.780% due 11/01/2003 68 67 6.930% due 07/01/2025 (d) 6,508 6,588 7.000% due 10/01/2002-11/12/2030 (k) 113,851 111,878 7.280% due 09/01/2027 (d) 2,796 2,782 7.370% due 10/01/2023 (d) 881 900 7.390% due 10/01/2023 (d) 1,546 1,579 7.400% due 10/25/2023 (d) 14,975 15,449 7.500% due 09/01/2001-02/01/2030 (d)(k) 13,182 13,303 7.630% due 06/01/2017-01/01/2019 (d)(k) 26 27 7.650% due 05/01/2025 2,390 2,450 7.670% due 04/01/2029 (d) 1,266 1,302 7.750% due 04/01/2007-04/01/2017 (d)(k) 50 49 7.790% due 04/01/2024 (d) 6,520 6,679 7.810% due 07/01/2030 (d) 140,578 141,539 7.820% due 08/01/2023 (d) 8,540 8,764 7.890% due 08/01/2023-01/01/2024 (d)(k) 414 426 7.910% due 06/01/2024 (d) 1,025 1,051 8.000% due 01/01/2002-09/01/2018 (k) 2,854 2,883 8.040% due 07/01/2024 (d) 1,429 1,464 8.190% due 09/01/2023 (d) 1,499 1,518 8.250% due 08/01/2007-05/01/2023 (d)(k) 1,778 1,804 8.260% due 07/01/2022 (d) 937 960 8.320% due 09/01/2023 (d) 9,655 9,896 8.330% due 04/01/2023 (d) 440 448 8.340% due 07/01/2023 (d) 521 530 8.360% due 10/01/2023 (d) 438 445 8.420% due 05/01/2023-08/01/2023 (d)(k) 5,971 6,126 8.450% due 08/01/2023-11/01/2023 (d)(k) 2,537 2,601 8.480% due 11/01/2023 (d) 143 142 8.500% due 09/01/2001-11/01/2024 (k) 5,047 5,181 8.510% due 10/01/2023 (d) 1,429 1,469 8.520% due 05/01/2027 (d) 634 652 8.580% due 09/01/2023 (d) 2,307 2,376 8.610% due 08/01/2024 (d) 207 213 8.630% due 08/01/2023 (d) 390 393 8.690% due 11/01/2023 (d) 344 346 8.750% due 02/01/2001-12/01/2010 (k) 107 107 8.900% due 11/15/2020 11,207 11,674 9.000% due 01/01/2002-09/15/2020 (k) 532 547 9.250% due 06/01/2009-11/01/2013 (k) 99 100 9.500% due 08/01/2001-12/01/2022 (k) 1,234 1,283 9.750% due 03/01/2001-05/01/2009 (k) 45 46 10.000% due 06/01/2004-03/01/2021 (k) 930 971 10.100% due 09/01/2016 241 256 10.250% due 03/15/2009-05/01/2009 (k) 1,091 1,159 10.500% due 10/01/2017-01/01/2021 (k) 376 403 11.000% due 11/01/2009-05/01/2020 (k) 639 684 11.250% due 10/01/2009-09/01/2015 (k) 92 100 11.500% due 01/01/2018 72 79 12.500% due 12/01/2012 16 18 13.250% due 10/01/2013 79 89 14.000% due 04/01/2016 19 21 15.500% due 08/01/2011-11/01/2011 (k) 13 15 16.250% due 05/01/2011 3 3 ------------- 840,164 ============= Federal Housing Administration 1.4% 6.000% due 03/20/2028 1,739 1,629 6.500% due 02/15/2001-03/01/2040 (k) 5,956 5,802 6.630% due 05/28/2039-07/01/2040 (k) 3,091 2,905 6.750% due 07/15/2001 2,706 2,595 6.760% due 06/25/2039-03/01/2041 (k) 16,214 15,032 6.780% due 07/25/2040 7,653 7,333 6.790% due 05/01/2039 10,902 10,677 6.830% due 12/01/2039 3,497 3,316 6.880% due 11/01/2015-02/01/2041 (k) 24,874 23,656 6.900% due 07/01/2020-12/01/2040 (k) 47,399 45,466 6.930% due 07/01/2014-01/01/2036 (k) 17,075 16,620 7.000% due 11/15/2040 174 167 7.050% due 03/25/2040 4,516 4,359 7.130% due 03/01/2034 4,411 4,322 7.210% due 12/01/2021 2,700 2,691 7.250% due 06/01/2040 8,304 8,067 7.310% due 06/01/2041 23,567 22,800 7.320% due 05/01/2019-08/01/2019 (k) 37,511 36,697 7.350% due 11/01/2022 6,028 5,985 7.380% due 02/01/2018-01/01/2024 (k) 16,589 16,446 7.400% due 02/01/2021 2,191 2,187 7.430% due 12/01/2016-05/01/2025 (k) 116,022 115,566 7.450% due 12/01/2021 11,589 11,578 7.470% due 11/01/2019 29,797 29,742 7.500% due 03/01/2032-09/30/2039 (k) 6,672 6,569 7.580% due 04/01/2040-12/01/2040 (k) 7,616 7,507 7.630% due 08/01/2041 17,747 17,552 7.650% due 11/01/2018-11/01/2040 (k) 7,559 7,519 7.700% due 03/15/2041 2,720 2,697 7.750% due 11/15/2039 3,100 3,073 7.880% due 12/01/2039-03/01/2041 (k) 13,423 13,479 7.930% due 05/01/2016 1,903 1,906 8.250% due 10/29/2023-01/01/2041 (k) 9,512 9,675 8.380% due 11/01/2012 255 260 8.630% due 08/15/2030 34,293 35,457 ------------- 501,332 ============= Federal National Mortgage Association 4.4% 4.750% due 11/14/2003 250 238 5.000% due 12/25/2021-04/18/2027 (k) 2,000 1,823 5.500% due 03/01/2013-12/01/2028 (k) 20,616 18,641 5.920% due 11/01/2035 (d) 0 0 6.000% due 12/01/2000-10/16/2030 (k) 377,190 352,973 6.090% due 12/01/2008 49 47 6.180% due 04/01/2027 (d) 110 109 6.250% due 07/25/2007 83 83 6.280% due 09/01/2029 (d) 608 583 6.340% due 09/01/2017-09/01/2024 (d)(k) 6,014 5,883 6.390% due 05/25/2036 29,534 25,210 6.420% due 12/01/2007 150 146 6.450% due 09/25/2016 3,380 3,355 6.500% due 04/01/2003-06/17/2038 (k) 60,401 55,193 6.580% due 04/01/2026 (d) 1,111 1,105 6.600% due 12/01/2003-09/25/2018 (k) 1,993 1,980 6.630% due 12/01/2027 (d) 8,174 8,137 6.690% due 08/01/2027 (d) 39,409 39,604 6.750% due 08/01/2003 223 222 6.840% due 07/01/2003 62 61 6.920% due 10/01/2027 (d) 4,427 4,442 6.950% due 03/25/2026 273 271 7.000% due 07/01/2001-10/16/2030 (k) 550,197 539,989 7.250% due 05/01/2002-01/01/2023 (k) 10,183 10,064 7.350% due 09/01/2027 (d) 1,815 1,849 7.410% due 11/01/2023 (d) 881 901 7.450% due 11/01/2023 (d) 166 170 7.470% due 12/01/2023 (d) 166 169 7.480% due 01/01/2024-07/01/2030 (d)(k) 2,742 2,777 7.500% due 10/01/2002-05/01/2030 (k) 14,581 14,678 7.540% due 10/01/2023 (d) 345 355 7.550% due 05/01/2023 (d) 2,224 2,238 7.560% due 12/01/2023 (d) 882 898 7.570% due 01/01/2024 (d) 395 405 7.630% due 09/01/2022 (d) 958 978 7.660% due 02/01/2026 (d) 550 565 7.680% due 12/01/2023 (d) 1,052 1,089 7.690% due 01/01/2024 (d) 431 441 7.700% due 03/01/2025 (d) 2,940 3,026 7.730% due 11/01/2025 (d) 2,003 2,058 7.750% due 06/01/2009-01/01/2026 (d)(k) 1,448 1,485 7.780% due 01/01/2018 2,239 2,377 7.790% due 09/01/2023-08/01/2027 (d)(k) 3,947 4,053 7.810% due 11/01/2025 (d) 1,236 1,270 7.850% due 07/01/2018-01/01/2024 (d)(k) 6,849 7,310 7.890% due 03/01/2026 (d) 1,979 2,041 7.900% due 09/01/2025 (d) 1,560 1,585 7.920% due 03/01/2018 2,755 2,960 7.930% due 09/01/2022 (d) 1,165 1,181 7.980% due 05/01/2030 6,704 6,843 92 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- 8.000% due 09/01/2001-10/16/2030 (k) $ 367,700 $ 372,519 8.020% due 11/01/2025 (d) 3,478 3,580 8.060% due 04/01/2030 1,861 1,877 8.080% due 04/01/2030 1,018 1,028 8.120% due 07/01/2024 (d) 4,245 4,357 8.160% due 09/01/2024 (d) 1,410 1,441 8.250% due 10/01/2008-03/01/2030 (k) 2,247 2,406 8.320% due 05/01/2026 (d) 577 597 8.490% due 06/01/2025 997 1,020 8.500% due 07/01/2001-08/01/2026 (k) 3,079 3,149 8.560% due 05/01/2024 (d) 2,375 2,460 9.000% due 10/01/2004-12/01/2027 (k) 9,369 9,756 9.250% due 10/01/2001 2 2 9.500% due 12/01/2006-07/01/2026 (k) 9,370 9,692 9.750% due 11/01/2008 58 61 10.000% due 09/01/2003-05/01/2022 (k) 1,085 1,146 10.500% due 01/01/2016-04/01/2022 (k) 533 570 10.750% due 03/01/2014 24 26 11.000% due 09/01/2019-11/01/2020 (k) 122 133 11.500% due 08/20/2016-11/01/2019 (k) 82 90 12.000% due 05/01/2016 9 10 12.500% due 10/01/2015 29 32 13.000% due 09/01/2013 29 33 13.250% due 09/01/2011 12 14 14.500% due 11/01/2011-01/01/2013 (k) 44 49 14.750% due 08/01/2012 167 194 15.000% due 10/01/2012 86 101 15.500% due 10/01/2012-12/01/2012 (k) 16 19 15.750% due 12/01/2011-08/01/2012 (k) 96 112 16.000% due 09/01/2012 108 123 ------------- 1,550,458 ============= Government National Mortgage Association 42.0% 5.000% due 06/20/2022 (d) 327 330 5.500% due 06/20/2026-10/23/2030 (d)(k) 70,410 67,522 5.650% due 10/15/2012 11 10 6.000% due 10/15/2008-10/23/2030 (d)(k) 1,945,726 1,831,839 6.380% due 05/20/2027 (d) 2,430 2,447 6.500% due 05/15/2001-10/15/2038 (d)(k) 5,403,660 5,203,229 6.630% due 01/15/2040 9,612 9,163 6.670% due 10/15/2001-07/16/2038 (k) 1,036 1,010 6.750% due 07/15/2001-06/20/2028 (d)(k) 411,113 411,178 6.800% due 09/15/2001-10/15/2040 (k) 3,000 2,952 6.820% due 09/15/2001-10/15/2040 (k) 16,978 16,955 6.880% due 02/20/2016-02/15/2040 (d)(k) 1,187 1,156 7.000% due 10/15/2001-10/23/2030 (d)(k) 2,305,309 2,271,274 7.120% due 02/16/2030 (d) 13,093 13,154 7.130% due 12/20/2017-12/20/2027 (d)(k) 346,703 349,453 7.250% due 08/24/2024-08/20/2027 (d)(k) 325 327 7.380% due 05/20/2017-05/20/2028 (d)(k) 501,835 505,641 7.500% due 01/15/2003-10/23/2030 (k) 2,917,919 2,925,968 7.700% due 02/15/2002 4,034 4,013 7.750% due 07/15/2001 3,958 3,942 7.880% due 04/20/2023 (d) 338 342 8.000% due 05/15/2001-10/23/2030 (k) 1,228,446 1,248,773 8.130% due 07/15/2001-12/01/2039 (k) 3,681 3,684 8.250% due 08/15/2004-05/15/2022 (k) 414 423 8.500% due 06/15/2001-10/23/2030 (k) 50,513 51,899 8.750% due 03/15/2007-07/15/2007 (k) 92 95 9.000% due 06/15/2001-07/20/2022 (k) 5,271 5,529 9.250% due 07/15/2003-12/20/2016 (k) 166 170 9.500% due 04/15/2001-08/15/2023 (k) 4,631 4,857 9.750% due 09/15/2002-07/15/2004 (k) 80 82 10.000% due 04/15/2001-02/15/2025 (k) 5,288 5,612 10.250% due 02/20/2019 22 23 10.500% due 06/15/2004-09/15/2021 (k) 655 702 11.000% due 01/15/2001-03/15/2019 (k) 212 229 11.250% due 03/15/2001-12/20/2015 (k) 35 38 11.500% due 10/15/2010-10/15/2013 (k) 48 52 12.000% due 11/15/2012-05/15/2016 (k) 228 258 12.500% due 01/15/2011 1 1 13.000% due 12/15/2012-10/15/2014 (k) 20 21 13.250% due 10/20/2014 19 22 13.500% due 10/15/2012-09/15/2014 (k) 78 89 15.000% due 02/15/2012-10/15/2012 (k) 97 113 16.000% due 10/15/2011-05/15/2012 (k) 197 236 17.000% due 11/15/2011-12/15/2011 (k) 60 72 ------------- 14,944,885 ============= Other Mortgage-Backed Securities 0.6% Bank of America Corp. 9.000% due 03/01/2008 34 35 CDC Depositor Trust I 7.050% due 01/15/2003 (d) 19,302 19,231 Citibank, NA 8.000% due 07/25/2018 41 42 Commercial Mortgage Asset Trust 6.640% due 09/17/2010 455 439 Countrywide Funding Corp. 6.750% due 03/25/2024 12,260 10,528 DBL Mortgage Funding 9.500% due 08/01/2019 5 5 Federal Home Loan Mortgage Corp. 11.880% due 06/15/2013 97 102 FFCA Secured Lending Corp. 7.850% due 05/18/2017 28,900 28,872 First Interstate Bancorp 9.130% due 01/01/2009 (d)(l) 10 10 General Electric Capital Mortgage Services, Inc. 7.250% due 07/25/2011 1,550 1,544 General Electric Credit Corp. 8.000% due 03/01/2002 (l) 4 4 German American Capital Corp. 8.360% due 09/30/2002 462 445 4.310% due 07/01/2018 (d) 8,197 8,014 Guardian Savings & Loan Assn. 6.910% due 12/25/2018 (d) 20 20 Home Savings of America 8.460% due 08/01/2006 45 44 6.100% due 05/25/2027 (d) 2,589 2,522 6.440% due 08/20/2029 (d) 23,756 23,240 Imperial Savings & Loan 8.230% due 01/25/2017 (d) 59 59 8.850% due 07/25/2017 (d) 219 218 LTC Commercial Corp. 7.100% due 11/28/2012 3,187 3,191 Merrill Lynch Mortgage 7.770% due 06/15/2021 (d) 978 959 Mid-State Trust 8.330% due 04/01/2030 64,877 66,850 Morgan Stanley Mortgage Trust 8.150% due 07/20/2021 2 2 Resolution Trust Corp. 6.930% due 05/25/2029 (d) 3,190 3,186 Ryland Acceptance Corp. 14.000% due 11/25/2031 763 798 Salomon Brothers Mortgage Securities 11.500% due 09/01/2015 735 740 8.400% due 11/25/2022 (d) 508 511 Sasco Floating Rate Commercial Mortgage 7.020% due 11/20/2001 (d) 54,440 54,536 Sears Mortgage 12.000% due 02/25/2014 542 560 7.430% due 10/25/2022 (d) 1,844 1,865 ------------- 228,572 ============= Stripped Mortgage-Backed Securities 0.0% Bear Stearns Mortgage Securities, Inc. (IO) 7.200% due 07/25/2024 301 29 Chase Mortgage Finance Corp. (IO) 9.000% due 08/25/2023 150 4 Collateralized Mortgage Obligation Trust (PO) 0.000% due 04/23/2017 12 10 Federal Home Loan Mortgage Corp. (IO) 6.500% due 08/15/2006 89 1 6.500% due 11/15/2006 232 2 6.500% due 03/15/2007 164 1 5.750% due 09/15/2007 (d) 5,084 304 See accompanying notes 93 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- 6.000% due 10/15/2007 $ 179 $ 12 6.000% due 01/15/2008 85 4 5.430% due 02/15/2008 (d) 519 40 6.400% due 10/15/2008 61 6 0.000% due 08/15/2016 75 0 6.500% due 08/15/2017 65 0 7.000% due 04/15/2018 640 30 7.500% due 08/15/2018 15 0 8.850% due 01/15/2021 2 34 9.000% due 05/15/2022 94 24 6.500% due 09/15/2023 277 33 Federal National Mortgage Association (IO) 6.500% due 05/25/2005 679 69 6.500% due 07/25/2006 410 16 7.270% due 09/25/2006 2 14 6.500% due 02/25/2007 1,102 59 6.500% due 07/25/2007 218 9 6.500% due 09/25/2007 1,461 83 6.500% due 10/25/2007 407 22 0.100% due 03/25/2009 (d) 23,966 407 6.500% due 08/25/2020 2,649 185 10.070% due 01/25/2021 0 3 7.500% due 04/25/2021 1,486 226 9.030% due 08/25/2021 5 147 0.950% due 11/25/2021 (d) 22,673 362 6.500% due 10/25/2022 122 11 6.500% due 01/25/2023 2,726 430 3.660% due 02/25/2023 (d) 12,307 579 Federal National Mortgage Association (PO) 0.000% due 09/01/2007 667 544 0.000% due 02/25/2021 204 202 0.000% due 06/25/2022 317 308 0.000% due 08/25/2023 295 199 PaineWebber (IO) 13.600% due 08/01/2019 1 36 Vendee Mortgage Trust (IO) 0.540% due 06/15/2023 (d) 150,746 2,633 ------------- 7,078 ------------- Total Mortgage-Backed Securities 26,058,715 (Cost $25,944,931) ============= -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 8.2% -------------------------------------------------------------------------------- Advanta Mortgage Loan Trust 6.820% due 05/25/2027 (d) 667 665 7.020% due 08/25/2029 (d) 2,709 2,719 8.250% due 08/25/2030 7,954 8,147 Advanta Revolving Home Equity Loan Trust 6.990% due 01/25/2024 (d) 27,010 27,099 6.870% due 08/25/2024 (d) 22,782 22,798 6.870% due 02/25/2025 (d) 15,436 15,430 Aerco Ltd. 7.090% due 07/15/2025 (d) 38,200 38,204 Aesop Funding LLC 6.570% due 11/20/2006 15,000 15,000 AFC Home Equity Loan Trust 7.350% due 10/25/2026 (d) 1,628 1,634 Allied Waste Industries, Inc. 9.440% due 07/30/2006 24,774 24,039 9.690% due 07/30/2007 (d) 4,955 4,808 9.750% due 07/30/2007 (d) 3,964 3,846 9.690% due 07/30/2007 (d) 20,809 20,193 American Express Credit Account Master Trust 6.800% due 12/15/2003 1,500 1,502 American Express Master Trust 7.850% due 08/15/2005 220 227 American Stores Co. 7.280% due 08/30/2004 20,000 19,776 Americredit Automobile Receivable Trust 6.540% due 05/12/2001 119 119 5.300% due 10/12/2002 8,246 8,221 5.780% due 05/12/2003 43,000 42,672 Amresco Residential Securities Mortgage Loan Trust 6.820% due 10/25/2027 (d) 1,032 1,033 6.780% due 05/25/2028 (d) 7,676 7,671 Arcadia Automobile Receivables Trust 6.250% due 09/15/2002 23,250 23,247 5.900% due 11/15/2002 7,449 7,442 6.300% due 07/15/2003 26,025 25,922 6.900% due 12/15/2003 19,431 19,482 Associates Manufactured Housing 7.000% due 03/15/2027 3,675 3,676 Banc One Home Equity Trust 6.460% due 06/25/2029 14,711 14,643 Bank One Heloc Trust 6.880% due 04/20/2020 (d) 44,075 44,119 BankBoston Home Equity Loan Trust 6.280% due 11/25/2010 43 43 Bayview Financial Acquisition Trust 7.170% due 02/25/2029 (d) 4,928 4,945 7.030% due 02/25/2030 (d) 22,638 22,511 7.010% due 07/25/2030 (d) 68,003 68,003 BMCA Receivables Master Trust 6.840% due 09/20/2002 (d) 12,000 11,993 Brazos Student Loan Finance Co. 6.900% due 06/01/2023 (d) 52,700 52,179 7.170% due 12/01/2025 (d) 41,215 41,362 Captec Franchise Trust 7.890% due 10/15/2010 1,054 1,076 Champion Home Equity Loan Trust 6.880% due 03/25/2029 (d) 4,872 4,875 Charming Shoppes Master Trust 7.070% due 08/15/2008 (d) 250 252 Charter Commercial Holdings LLC 9.240% due 03/31/2008 22,000 21,971 Chase Credit Card Master Trust 6.660% due 01/15/2007 645 644 Chase Funding Mortgage Loan Asset-Backed Certificates 6.840% due 10/25/2030 (d) 58,500 58,500 Chase Manhattan Auto Owner Trust 5.750% due 10/15/2001 28 28 Chase Manhattan Grantor Trust 5.200% due 02/15/2002 50 50 6.610% due 09/15/2002 564 565 CMC Securities Corp. IV 7.250% due 11/25/2027 1,212 1,193 Community Program Loan Trust 4.500% due 10/01/2018 24,009 21,540 4.500% due 04/01/2029 26,000 19,151 Conseco Finance 7.520% due 05/15/2014 35,901 36,016 6.290% due 10/15/2030 8,418 8,416 6.990% due 10/15/2031 (d) 29,503 29,594 Conseco Finance Home Loan Trust 6.570% due 10/15/2006 26 26 6.980% due 09/28/2030 18,500 18,500 Conseco Finance Lease LLC 7.250% due 04/20/2003 25,000 25,107 Conseco Finance Securitizations Corp. 7.180% due 07/15/2002 23,524 23,153 7.970% due 05/01/2032 5,000 5,070 8.310% due 05/01/2032 48,800 49,689 Contimortgage Home Equity Loan Trust 6.790% due 10/15/2012 (d) 1,361 1,362 6.130% due 03/15/2013 1,584 1,580 6.420% due 04/25/2014 286 285 6.400% due 06/15/2014 2,000 1,993 6.770% due 01/25/2018 41,700 41,391 6.990% due 03/15/2021 350 349 6.930% due 11/25/2022 36,800 36,618 7.220% due 01/15/2028 80 80 6.760% due 06/15/2028 (d) 2,279 2,276 6.830% due 08/15/2028 (d) 243 242 Copelco Capital Funding Corp. 6.340% due 07/20/2004 7 7 94 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CPS Auto Trust 6.000% due 06/15/2002 $ 556 $ 555 6.000% due 08/15/2003 77 76 Cross Country Master Credit 7.150% due 06/15/2006 (d) 300 300 CS First Boston Mortgage Securities Corp. 6.750% due 09/25/2028 6,960 6,560 Daimler-Benz Vehicle Trust 6.050% due 03/31/2005 1,962 1,956 Delta Air Lines Equipment Trust 9.230% due 07/02/2002 (l) 1,956 1,997 10.500% due 01/02/2007 (l) 6,167 6,833 10.570% due 01/02/2007 (l) 15,881 18,150 9.550% due 01/02/2008 (l) 7,773 8,271 10.430% due 01/02/2011 960 1,053 10.000% due 06/05/2013 10,828 11,560 Delta Funding Home Equity Loan Trust 6.140% due 03/15/2018 26,242 26,139 7.030% due 09/15/2029 (d) 10,950 10,996 6.940% due 06/15/2030 (d) 34,344 34,427 Discover Card Master Trust 7.000% due 10/16/2013 (d) 400 404 Duck Auto Grantor Trust 5.650% due 03/15/2004 4,854 4,799 7.260% due 05/15/2005 43,105 43,126 EQCC Home Equity Loan Trust 6.050% due 01/25/2010 150 149 6.550% due 04/25/2010 304 303 5.820% due 10/15/2027 (d) 785 784 5.770% due 03/20/2029 150 149 Equivantage Home Equity Loan Trust 6.550% due 10/25/2025 75 75 Federal Home Loan Mortgage Corp. 6.750% due 08/15/2026 (d) 56,100 56,100 Felco Funding LLC 5.980% due 09/15/2001 175 177 Fidelity Equipment Lease Trust 5.860% due 09/15/2001 8,481 8,453 First Alliance Mortgage Loan Trust 7.000% due 03/20/2031 (d) 14,818 14,827 First Merchants Auto Trust 6.850% due 11/15/2002 14 14 First Omni Bank 6.650% due 09/15/2003 (d) 1,500 1,500 First Security Auto Grantor Trust 6.100% due 04/15/2003 699 698 5.970% due 04/15/2004 120 119 First Union Master Credit Card Trust 6.630% due 09/15/2003 88,750 88,845 First USA Credit Card Master Trust 6.130% due 09/17/2003 (d) 300 300 FMAC Loan Receivables Trust 7.900% due 04/15/2019 20 20 6.830% due 09/15/2020 680 626 6.200% due 09/15/2020 261 253 6.500% due 09/15/2020 237 216 Ford Credit Auto Owner Trust 5.470% due 09/15/2001 175 174 5.770% due 11/15/2001 8,771 8,762 6.200% due 04/15/2002 407 407 Ford Motor Credit Corp. 5.500% due 02/15/2003 5,300 5,278 Fred Meyer, Inc. 7.380% due 03/19/2003 (d) 12,405 12,269 GMAC Mortgage Corp. Loan 7.010% due 11/18/2025 (d) 42,817 42,886 7.930% due 03/25/2030 39,407 36,913 Green Tree Financial Corp. 7.150% due 07/15/2027 221 221 6.490% due 03/15/2028 36,494 36,390 6.420% due 11/15/2028 1,386 1,383 5.850% due 11/01/2029 27 27 6.870% due 04/01/2030 1,105 988 6.660% due 06/01/2030 1,405 1,177 5.600% due 12/01/2030 215 214 5.510% due 02/01/2031 271 270 7.860% due 04/01/2031 400 386 Green Tree Floorplan Receivables Master Trust 6.970% due 11/15/2004 (d) 46,000 46,098 Green Tree Home Equity Loan Trust 5.590% due 02/15/2013 32 32 6.040% due 06/15/2029 49 49 5.990% due 07/15/2030 209 209 Green Tree Home Improvement Loan Trust 5.910% due 08/15/2007 14 14 7.270% due 09/15/2028 (d) 4,162 4,155 6.390% due 01/15/2029 1,945 1,945 Green Tree Lease Finance 6.170% due 09/20/2005 56 56 Green Tree Recreational Equipment 6.430% due 04/17/2006 3,234 3,229 Harley-Davidson Eaglemark 5.250% due 07/15/2003 96 95 Headlands Home Equity Loan Trust 7.270% due 12/15/2024 (d) 529 532 HFC Home Equity Loan 6.830% due 12/20/2016 282 281 Honda Auto Receivables Grantor 5.950% due 05/15/2003 61 61 Household Consumer Loan Trust 7.040% due 08/15/2006 (d) 19,321 19,073 IMC Home Equity Loan Trust 7.250% due 07/25/2026 (d) 725 721 IMPAC Secured Assets CMN Owner 7.770% due 07/25/2025 2,000 1,981 Independent National Mortgage Corp. 8.250% due 05/25/2010 154 157 Indymac Home Equity Loan 6.890% due 10/25/2029 (d) 9,772 9,766 Indymac Manufactured Housing 6.170% due 12/25/2011 5,019 4,973 Long Beach Acceptance Auto 6.940% due 09/19/2007 3,944 3,948 Mellon Bank Home Equity 5.900% due 10/25/2010 14,019 13,905 Merit Securities Corp. 6.160% due 07/28/2033 6,424 6,377 7.880% due 12/28/2033 34,400 33,803 Metlife Capital Equipment Loan Trust 6.850% due 05/20/2008 (d) 320 320 Metris Master Trust 7.270% due 04/20/2006 (d) 20,000 20,099 Metropolitan Asset Funding, Inc. 7.080% due 04/25/2029 (d) 13,174 13,047 MGM Grand Term Loan 7.870% due 05/06/2001 (d) 21,277 21,226 MMCA Automobile Trust 6.300% due 06/15/2002 357 356 Morgan Stanley ABS Capital I 6.930% due 08/25/2030 (d) 157,021 157,021 MPC Natural Gas Funding Trust 6.200% due 03/15/2013 9,546 9,331 MSDWCC Heloc Trust 6.910% due 09/25/2010 (d) 36,465 36,465 Myra Ums Tranche 7.420% due 12/23/2006 1,358 1,321 Myra-United Mexican States 5.810% due 10/20/2006 (d) 402 391 7.800% due 12/23/2006 (d) 6,624 6,443 7.750% due 12/23/2006 (d) 3,489 3,397 7.630% due 12/23/2006 (d) 5,923 5,765 7.060% due 12/23/2006 (d) 929 904 7.800% due 12/23/2006 (d) 928 904 7.630% due 12/23/2006 (d) 29 28 See accompanying notes 95 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- National Medical Care 7.630% due 09/30/2003 (d) $ 28,486 $ 28,201 7.690% due 09/30/2003 21,972 21,752 New Holland Equipment Receivables 6.390% due 10/15/2002 352 352 Nomura CBO Ltd. 6.670% due 05/15/2009 1,900 1,944 Norwest Asset Securities Corp. 6.500% due 04/25/2013 20,113 19,488 6.500% due 06/25/2013 10,423 10,094 7.500% due 03/25/2027 40,536 39,779 6.750% due 05/25/2028 27,707 25,714 6.750% due 07/25/2028 12,657 11,576 6.200% due 09/25/2028 16,324 16,236 NPF XI, Inc. 6.820% due 07/01/2001 8,326 8,324 NPF XII, Inc. 7.050% due 06/01/2003 31,000 30,714 7.270% due 11/01/2003 (d) 1,000 1,000 Olympic Automobile Receivable Trust 6.050% due 08/15/2002 3,178 3,178 Option One Mortgage Loan Trust 5.880% due 05/25/2029 129 128 6.910% due 09/25/2030 (d) 49,816 49,816 PP&L Transition Bond Co. LLC 6.830% due 03/25/2007 28,800 28,860 Premier Auto Trust 5.770% due 01/06/2002 3,151 3,150 5.820% due 02/08/2002 399 399 Provident Bank Home Equity Loan Trust 6.920% due 06/25/2021 (d) 36,381 36,381 Providian Gateway Master Trust 6.840% due 03/15/2007 28,900 28,900 6.250% due 06/15/2007 25 25 6.900% due 03/16/2009 300 300 Prudential Home Mortgage Securities 6.500% due 01/25/2024 1,225 1,216 Residential Asset Mortgage Products, Inc. 6.910% due 09/25/2030 (d) 50,000 50,000 Residential Asset Securities Corp. 6.720% due 04/25/2014 (d) 249 249 6.960% due 07/25/2014 30,510 30,395 6.240% due 02/25/2017 3,184 3,167 6.600% due 01/25/2020 5,200 5,165 7.080% due 09/25/2020 190 190 8.000% due 10/25/2024 (d) 5,121 5,150 6.920% due 10/25/2027 (d) 2,239 2,238 6.750% due 03/25/2028 40,000 37,212 Residential Funding Mortgage Securities, Inc. 10.930% due 06/01/2001 72,450 72,450 RJR Nabisco 7.500% due 12/31/2001 (d) 24,948 24,948 Ryder Vehicle Lease Trust 6.430% due 01/15/2003 694 693 Saco Trust 8.130% due 07/25/2030 18,119 18,492 Salomon Brothers Mortgage Securities 7.040% due 11/15/2029 (d) 18,965 19,013 7.100% due 12/15/2029 (d) 5,800 5,800 Saxon Asset Securities Trust 6.850% due 05/25/2029 (d) 8,721 8,729 Sears Credit Account Master Trust 6.050% due 01/15/2008 500 493 7.000% due 07/15/2008 500 505 Small Business Administration 7.190% due 12/01/2019 493 493 Standard Credit Card Trust 8.250% due 11/07/2003 80 81 Student Loan Marketing Assn. 6.860% due 10/25/2005 (d) 21,703 21,623 Team Fleet Financing Corp. 7.350% due 05/15/2003 30 30 Texas Cable Partners 8.380% due 06/24/2007 2,500 2,489 8.940% due 06/24/2007 2,500 2,489 The Money Store Home Equity Trust 7.550% due 02/15/2020 321 321 6.350% due 11/15/2021 (d) 719 716 6.750% due 05/15/2025 (d) 34 34 6.490% due 10/15/2026 17,000 16,925 Total Renal Care 12.000% due 03/31/2008 37,442 36,506 Toyota Auto Lease Trust 6.350% due 04/26/2004 60 60 6.450% due 04/26/2004 300 299 UCFC Home Equity Loan 8.200% due 09/15/2027 70 71 6.870% due 07/15/2029 70 66 UCFC Manufactured Housing 6.680% due 01/15/2010 (d) 4,310 4,313 UniCapital Corp. 6.540% due 07/23/2002 26,018 25,977 United Air Lines Equipment Trust 9.200% due 03/22/2008 3,950 4,198 10.360% due 11/13/2012 7,000 7,255 10.020% due 03/22/2014 6,925 7,128 10.850% due 07/05/2014 34,111 36,604 10.850% due 02/19/2015 1,500 1,722 10.130% due 03/22/2015 14,300 14,851 9.060% due 06/17/2015 5,000 4,823 9.210% due 01/21/2017 2,000 1,897 USAA Auto Loan Grantor Trust 6.150% due 05/15/2004 1,180 1,176 5.800% due 01/15/2005 2,681 2,666 WFS Financial Owner Trust 6.410% due 07/20/2002 25,016 25,002 6.920% due 01/20/2004 27,125 27,177 WMC Mortgage Loan 7.070% due 10/15/2029 87,787 87,842 ------------- Total Asset-Backed Securities 2,931,252 (Cost $3,229,995) ============= -------------------------------------------------------------------------------- SOVEREIGN ISSUES 1.9% -------------------------------------------------------------------------------- Central Bank Philippines 7.940% due 06/01/2008 (d) 3,875 3,468 Hellenic Republic 7.280% due 06/06/2001 (d) 20,000 20,294 Hydro-Quebec 7.380% due 02/01/2003 150 152 Kingdom of Jordan 6.000% due 12/23/2023 14,000 10,462 Kingdom of Sweden 10.250% due 11/01/2015 500 593 Nacional Financiera 9.750% due 03/12/2002 10,000 10,325 8.570% due 05/08/2003 (d) 7,750 7,871 Providence of Newfoundland 9.000% due 06/01/2019 500 562 Province of New Brunswick 7.130% due 10/01/2002 1,700 1,712 Province of Nova Scotia 9.380% due 07/15/2002 1,000 1,041 Province of Ontario 7.750% due 06/04/2002 200 203 7.630% due 06/22/2004 1,000 1,032 7.000% due 08/04/2005 1,000 1,012 6.000% due 02/21/2006 1,800 1,734 5.500% due 10/01/2008 12,000 10,999 Province of Quebec 7.500% due 07/15/2002 6,000 6,073 8.800% due 04/15/2003 100 105 6.810% due 06/11/2004 (d) 15,500 15,486 6.620% due 04/09/2026 25,000 24,939 Republic of Argentina 11.600% due 04/10/2005 (d) 1,380 1,283 11.750% due 04/07/2009 30 28 96 See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Republic of Brazil 7.880% due 01/01/2001 (d) $ 3,481 $ 3,481 7.380% due 04/15/2006 187,832 176,807 11.250% due 07/26/2007 5,750 5,773 14.500% due 10/15/2009 6,000 6,615 8.000% due 04/15/2014 31 24 12.250% due 03/06/2030 900 819 11.000% due 08/17/2040 4,462 3,565 Republic of Bulgaria 7.750% due 07/28/2011 (d) 2,000 1,515 3.000% due 07/28/2012 (d) 20,000 14,568 7.750% due 07/28/2024 (d) 86,650 66,287 Republic of Chile 6.880% due 04/28/2009 25,000 23,528 Republic of Colombia 10.880% due 03/09/2004 10,280 9,946 Republic of Croatia 7.000% due 02/27/2002 7,650 7,489 Republic of Panama 7.880% due 02/13/2002 1,850 1,830 7.930% due 05/10/2002 (d) 1,975 1,940 4.500% due 07/17/2014 7,675 6,202 Republic of Peru 3.750% due 03/07/2017 11,000 6,141 4.500% due 03/07/2017 (d) 5,750 3,601 Republic of Philippines 7.810% due 01/05/2005 (d) 8,830 8,337 6.500% due 12/01/2017 3,250 2,506 9.500% due 10/21/2024 2,958 2,817 Republic of Poland 3.500% due 10/27/2024 (d) 64,540 40,660 4.000% due 10/27/2024 3,000 2,040 Republic of Kazakhstan 8.380% due 10/02/2002 5,000 4,936 Republic of Venezuela 7.880% due 12/18/2007 (d) 16,250 13,937 Republica Orient Uruguay 7.250% due 05/04/2009 2,500 2,291 State of Israel 6.200% due 06/14/2003 25 25 United Mexican States 9.780% due 04/07/2004 (d) 3,650 3,789 10.020% due 04/07/2004 (d) 5,186 5,393 8.500% due 02/01/2006 107,500 107,554 9.880% due 02/01/2010 10,000 10,655 6.250% due 12/31/2019 8,860 7,913 ------------- Total Sovereign Issues 672,358 (Cost $665,775) ============= -------------------------------------------------------------------------------- FOREIGN CURRENCY-DENOMINATED ISSUES (f)(g) 2.8% -------------------------------------------------------------------------------- Commonwealth of New Zealand 4.500% due 02/15/2016 (j) N$ 73,000 31,155 Export-Import Bank Korea 3.840% due 10/06/2000 (d) DM 5,000 2,257 Halifax Group Euro Finance 7.630% due 12/29/2049 (d) EC 8,500 7,501 KBC Bank Fund Trust IV 8.220% due 11/29/2049 20,764 18,605 Korea Development Bank 6.000% due 03/07/2001 JY 350,000 3,318 4.800% due 05/14/2001 (d) DM 70,000 31,318 2.560% due 06/26/2001 JY 4,000,000 37,455 Korea Electric Power 3.880% due 10/31/2002 (d) DM 18,900 8,276 Lloyds TSB Capital 7.380% due 02/07/2049 EC 16,000 14,244 Nacional Financiera 22.000% due 05/20/2002 MP 370,000 40,844 Newcourt Credit Group 7.630% due 06/28/2001 C$ 9,400 6,299 Republic of Argentina 5.500% due 03/27/2001 JY 5,640,000 52,320 Republic of Austria 0.000% due 01/15/2010 EC 900 789 Republic of Brazil 8.250% due 11/26/2001 2,000 1,797 Republic of Germany 6.250% due 01/04/2024 26,310 25,082 6.500% due 07/04/2027 111,630 109,577 6.250% due 01/04/2030 47,920 46,473 Republic of Philippines 8.000% due 09/17/2004 10,290 9,171 R.J. Reynolds 6.880% due 11/22/2000 DM 9,500 4,293 Royal Bank of Scotland PLC 0.000% due 01/01/2000 BP 85,000 101,978 6.770% due 03/31/2049 EC 126,500 112,403 Tecnost International NV 6.670% due 06/23/2004 (d) 107,384 95,762 United Mexican States 6.000% due 03/28/2002 JY 100,000 992 3.100% due 04/24/2002 2,542,000 24,052 8.750% due 05/30/2002 BP 23,000 34,446 10.380% due 01/29/2003 DM 200 97 7.000% due 06/02/2003 C$ 30,200 19,388 7.430% due 04/07/2004 (d) EC 18,181 16,775 6.750% due 06/06/2006 JY 2,000,000 21,853 7.500% due 03/08/2010 EC 5,000 4,315 6.630% due 12/31/2019 FF 60,000 7,006 1.100% due 12/31/2019 (d) JY 1,662,500 15,086 3.850% due 12/31/2019 9,145,000 77,905 ------------- Total Foreign Currency-Denominated Issues 982,832 (Cost $892,163) ============= -------------------------------------------------------------------------------- PURCHASED CALL OPTIONS 0.0% -------------------------------------------------------------------------------- Eurodollar vs. U.S. Dollar (OTC) Strike @ 0.81 Exp. 12/21/2000 $ 200,000 16,246 ------------- Total Purchased Call Options 16,246 (Cost $16,759) ============= -------------------------------------------------------------------------------- PURCHASED PUT OPTIONS 0.0% -------------------------------------------------------------------------------- Harborview Mortgage Loan Trust (OTC) 7.470% due 08/19/2030 Strike @ 100.00 Exp. 05/01/2005 22,975 0 Interest Rate Swap (OTC) Strike @ 7.100% Exp. 08/12/2010 10,000 490 ------------- Total Purchased Put Options 490 (Cost $380) ============= -------------------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 0.0% -------------------------------------------------------------------------------- Banking & Finance 0.0% Bell Atlantic Financial Services 5.750% due 04/01/2003 1,500 1,454 ------------- Total Convertible Bonds & Notes 1,454 (Cost $1,539) ============= -------------------------------------------------------------------------------- PREFERRED SECURITY 1.0% -------------------------------------------------------------------------------- Shares DG Funding Trust 9.030% due 12/29/2049 35,150 352,379 ------------- Total Preferred Security 352,379 (Cost $351,502) ============= -------------------------------------------------------------------------------- PREFERRED STOCK 0.2% -------------------------------------------------------------------------------- Banco Bilbao Vizcaya International 9.750% due 11/19/2001 266,217 6,722 Barclays Bank 9.080% due 04/21/2020 215,500 5,549 See accompanying notes 97 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) Value Shares (000s) -------------------------------------------------------------------------------- Centaur Funding Corp. 9.080% due 04/21/2020 125 $ 127 CSC Holdings, Inc. 11.125% due 04/01/2008 25,595 2,719 Fortis Amev NV 6.430% due 12/31/2049 171 20,134 Home Ownership Funding 13.331% due 12/31/2049 1,125 859 SI Financing Trust 9.500% due 06/30/2026 396,194 9,979 TCI Communications, Inc. 9.720% due 12/31/2036 622,553 16,186 10.000% due 05/31/2045 49,000 1,240 ------------- Total Preferred Stock 63,515 (Cost $66,709) ============= -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 8.3% -------------------------------------------------------------------------------- Principal Amount (000s) Certificates of Deposit 0.3% Dominion Resources, Inc. 6.200% due 01/26/2001 $ 98,900 98,989 ------------- Commercial Paper 8.0% Abbey National PLC 6.520% due 11/03/2000 12,700 12,626 6.530% due 11/03/2000 900 895 Alcoa, Inc. 6.470% due 11/29/2000 53,000 52,417 6.450% due 12/21/2000 6,200 6,107 American Electric Power, Inc. 6.700% due 10/04/2000 2,000 1,999 6.760% due 10/04/2000 700 700 6.700% due 10/18/2000 3,000 2,991 6.750% due 10/18/2000 500 499 6.700% due 10/25/2000 1,800 1,792 6.700% due 10/30/2000 25,000 24,870 6.700% due 11/01/2000 3,300 3,282 6.700% due 11/02/2000 22,800 22,668 Anz, Inc. 6.550% due 11/03/2000 100 99 6.520% due 11/03/2000 2,700 2,684 6.480% due 11/28/2000 28,500 28,192 Associated Corp. of North America 6.580% due 11/16/2000 4,600 4,562 6.570% due 11/29/2000 11,000 10,879 AT&T Corp. 6.580% due 10/23/2000 2,600 2,590 6.510% due 11/08/2000 1,500 1,490 6.520% due 11/08/2000 11,500 11,423 6.530% due 11/15/2000 2,500 2,480 6.470% due 11/29/2000 3,600 3,560 6.520% due 11/29/2000 1,900 1,879 6.510% due 12/13/2000 9,500 9,372 6.520% due 12/13/2000 5,000 4,932 6.530% due 12/13/2000 20,000 19,730 6.510% due 12/20/2000 11,800 11,626 Bank One Corp. 6.500% due 11/03/2000 200 199 6.500% due 11/15/2000 8,000 7,936 6.530% due 11/15/2000 300 298 6.470% due 12/06/2000 49,500 48,894 6.480% due 12/06/2000 50,000 49,388 6.470% due 12/19/2000 7,600 7,489 Bellsouth Capital Funding 6.460% due 12/06/2000 19,100 18,866 6.470% due 12/12/2000 17,200 16,971 British Telecom PLC 6.600% due 11/09/2000 20,400 20,258 6.560% due 11/09/2000 400 397 Campbell Soup Co. 6.460% due 12/06/2000 2,700 2,667 6.520% due 12/07/2000 700 691 CBA (de) Finance 6.530% due 10/23/2000 4,700 4,682 CDC 6.520% due 11/01/2000 500 497 Coca-Cola Co. 6.510% due 10/31/2000 2,700 2,686 6.480% due 12/13/2000 8,500 8,385 6.490% due 12/13/2000 4,400 4,341 Compaq Computer Corp. 6.730% due 10/23/2000 20,000 19,921 Conagra, Inc. 6.730% due 10/04/2000 13,100 13,095 6.670% due 10/06/2000 3,000 2,998 6.670% due 10/18/2000 1,000 100 6.680% due 11/08/2000 28,800 28,602 6.670% due 11/15/2000 1,900 1,885 6.670% due 11/16/2000 29,500 29,254 Cox Communications 6.700% due 10/04/2000 26,700 26,690 6.700% due 11/06/2000 50,000 49,674 6.730% due 11/06/2000 36,200 35,963 6.720% due 11/07/2000 21,500 21,356 CSX Corp. 6.740% due 10/10/2000 1,000 999 6.700% due 10/11/2000 21,700 21,663 DaimlerChrysler AG 6.580% due 11/20/2000 7,200 7,136 6.580% due 11/22/2000 3,800 3,765 6.590% due 11/29/2000 3,300 3,264 6.590% due 12/06/2000 14,300 14,125 6.540% due 12/07/2000 3,800 3,753 6.500% due 12/13/2000 200 197 6.520% due 12/13/2000 10,700 10,556 Dominion Resources, Inc. 6.710% due 10/18/2000 11,500 11,466 6.710% due 11/06/2000 5,800 5,762 6.710% due 11/09/2000 800 794 6.710% due 11/16/2000 17,900 17,750 Duke Energy Field Service Corp. 6.700% due 10/19/2000 50,000 49,842 Eastman Kodak Co. 6.490% due 11/01/2000 2,900 2,884 6.540% due 11/01/2000 3,300 3,282 6.480% due 11/16/2000 900 893 Edison Midwest 6.720% due 10/18/2000 40,000 39,881 6.720% due 10/25/2000 10,000 9,957 6.720% due 11/01/2000 1,000 994 6.750% due 11/01/2000 40,035 39,809 6.700% due 11/08/2000 1,400 1,390 6.740% due 11/08/2000 10,700 10,626 6.710% due 11/15/2000 3,300 3,273 6.730% due 11/15/2000 3,800 3,769 6.800% due 11/15/2000 7,900 7,834 6.710% due 11/15/2000 500 496 Federal Home Loan Mortgage Corp. 6.400% due 11/07/2000 745 740 6.410% due 12/07/2000 743 734 Federal National Mortgage Assn. 6.400% due 12/14/2000 1,163 1,147 Florida Power Corp. 6.450% due 12/14/2000 8,500 8,384 6.470% due 12/14/2000 100 99 Gannett Co. 6.500% due 10/25/2000 100 100 6.490% due 11/20/2000 3,700 3,667 6.470% due 11/20/2000 18,900 18,734 6.500% due 11/21/2000 1,800 1,784 General Electric Capital Corp. 6.470% due 12/06/2000 200 198 6.590% due 12/06/2000 11,300 11,162 6.470% due 12/07/2000 25,000 24,689 6.490% due 12/07/2000 300 296 6.470% due 12/13/2000 700 691 98 See accompanying notes Principal Amount Value (000s) (000s) ------------------------------------------------------------------------------- 6.470% due 12/20/2000 $ 600 $ 591 6.510% due 01/10/2001 7,000 6,870 6.510% due 01/17/2001 900 882 6.500% due 01/24/2001 37,400 36,613 General Motors Acceptance Corp. 6.560% due 11/15/2000 200 198 6.520% due 11/27/2000 8,600 8,513 6.550% due 12/06/2000 2,500 2,469 6.510% due 12/13/2000 25,400 25,057 Gillette Co. 6.460% due 12/12/2000 800 789 Honeywell, Inc. 6.510% due 11/21/2000 20,000 19,819 6.470% due 11/29/2000 5,800 5,736 Houston Industries 6.770% due 10/04/2000 6,200 6,198 6.770% due 10/18/2000 3,700 3,689 6.800% due 11/08/2000 6,200 6,157 6.800% due 11/15/2000 50,000 49,584 Infinity Broadcasting Corp. 6.720% due 11/09/2000 900 894 6.700% due 11/15/2000 600 595 6.700% due 11/16/2000 1,400 1,388 6.710% due 11/21/2000 1,900 1,882 6.720% due 11/21/2000 27,800 27,541 6.710% due 11/22/2000 6,800 6,735 Ingersoll-Rand Co. 6.680% due 10/02/2000 900 900 6.840% due 10/02/2000 23,800 23,800 6.690% due 10/04/2000 33,400 33,388 6.700% due 11/01/2000 2,100 2,088 6.720% due 11/01/2000 1,100 1,094 6.700% due 11/08/2000 11,100 11,024 6.700% due 11/13/2000 16,800 16,669 6.700% due 11/15/2000 4,000 3,967 6.740% due 11/15/2000 600 595 International Paper Co. 6.700% due 10/05/2000 700 700 6.700% due 10/06/2000 34,700 34,674 6.700% due 10/10/2000 4,400 4,393 6.720% due 10/10/2000 700 699 6.700% due 10/11/2000 41,000 40,931 6.720% due 11/17/2000 300 297 6.720% due 11/28/2000 10,600 10,485 KFW International Finance 6.510% due 10/12/2000 1,600 1,597 6.480% due 12/06/2000 800 790 Minnesota Mining & Manufacturing 6.470% due 11/28/2000 1,500 1,484 6.480% due 12/19/2000 700 690 Motorola, Inc. 6.480% due 11/28/2000 13,100 12,958 6.520% due 12/13/2000 4,600 4,538 6.450% due 12/27/2000 3,700 3,641 Nabisco, Inc. 6.700% due 10/18/2000 28,900 28,813 Natural Rural Utilities 6.480% due 10/18/2000 1,000 997 6.480% due 11/07/2000 3,100 3,080 6.520% due 11/15/2000 5,500 5,456 Nike, Inc. 6.480% due 10/12/2000 6,000 5,989 Norfolk Southern Corp. 6.720% due 11/01/2000 30,000 29,832 6.720% due 11/07/2000 37,400 37,149 Pearson 6.730% due 10/25/2000 9,000 8,961 Proctor & Gamble Co. 6.480% due 11/29/2000 200 198 6.510% due 11/29/2000 1,300 1,286 Reseau Ferre De France 6.520% due 10/26/2000 1,800 1,792 6.480% due 11/30/2000 1,000 989 SBC Communications, Inc. 6.470% due 12/06/2000 200 198 6.490% due 12/06/2000 3,100 3,062 Sprint Capital Corp. 6.700% due 10/25/2000 7,300 7,269 6.700% due 11/01/2000 1,900 1,889 6.700% due 11/03/2000 31,600 31,412 6.720% due 11/08/2000 8,000 7,945 Sumitomo Bank 6.720% due 11/01/2000 15,000 14,916 Swedbank, Inc. 6.510% due 01/19/2001 10,000 9,799 Texas Utilities Co. 6.700% due 10/18/2000 7,100 7,079 6.760% due 10/18/2000 3,600 3,589 Tyco International 6.740% due 10/18/2000 73,400 73,180 UBS Finance LLC 6.680% due 10/02/2000 1,000,000 1,000,000 Verizon Global Funding 6.490% due 11/08/2000 1,600 1,589 6.490% due 11/09/2000 8,600 8,541 6.460% due 12/01/2000 7,500 7,415 6.480% due 12/06/2000 50,000 49,388 6.460% due 12/07/2000 200 198 6.460% due 12/11/2000 800 789 6.470% due 12/14/2000 6,000 5,918 Washington Mutual 6.690% due 11/08/2000 12,000 11,917 Yorkshire Building Society 6.490% due 11/14/2000 1,800 1,786 6.480% due 12/11/2000 33,700 33,257 6.470% due 12/20/2000 1,500 1,478 6.460% due 12/21/2000 4,300 4,236 ------------- 2,854,106 ============= U.S. Treasury Bills (b)(k) 0.0% 5.933% due 02/01/2001 1,655 1,621 ------------- Total Short-Term Instruments 2,954,716 (Cost $2,954,943) ============= Total Investments (a) 152.0% $54,049,779 (Cost $54,354,587) Written Options (c) (0.1%) (35,447) (Premiums $40,793) Other Assets and Liabilities (Net)(51.9%) (18,465,617) ------------- Net Assets 100.0% $35,548,715 ============= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 295,213 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (600,021) ------------- Unrealized depreciation-net $ (304,808) ============= See accompanying notes 99 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) -------------------------------------------------------------------------------- (b) Securities with an aggregate market value of $1,621 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: Unrealized # of Appreciation/ Type Contracts (Depreciation) -------------------------------------------------------------------------------- Eurodollar December Futures (12/2000) 305 $ (173) Municipal Bond (12/2000) 2,371 (1,820) EuroBond 10 Year Note (12/2000) 17,718 1,772 U.S. Treasury 5 Year Note (12/2000) 10,646 (6,488) U.S. Treasury 10 Year Note (12/2000) 29,648 5,027 U.S. Treasury 30 Year Bond (12/2000) 4,844 (2,214) EuroBond 10 Year Note Options (11/2000) 22,213 4,080 United Kingdom 10 Year Note (12/2000) 2,731 1,588 -------------- $ 1,772 ============== (c) Premiums received on written options: # of Type Contracts Premium Value -------------------------------------------------------------------------------- Call - TSE Government of Japan December Futures Strike @ 134.00 Exp. 11/30/2000 458 $ 881 $ 916 Put - OTC Japanese Interest Rate Swap December Futures Strike @ 2.305% Exp. 11/30/2000 10,800,000,000 86 372 Put - OTC Japanese Interest Rate Swap December Futures Strike @ 2.315% Exp. 11/30/2000 10,800,000,000 101 377 Call - CBOT U.S. Treasury Note December Futures Strike @ 103.00 Exp. 11/18/2000 10,716 1,364 1,172 Call - CBOT U.S. Treasury Note December Futures Strike @ 102.00 Exp. 11/18/2000 12,253 3,119 2,872 Put - CBOT U.S. Treasury Note December Futures Strike @ 98.00 Exp. 11/18/2000 4,528 1,662 778 Put - CBOT U.S. Treasury Note December Futures Strike @ 97.00 Exp. 11/18/2000 2,991 744 280 Put - CME Eurodollar December Futures Strike @ 93.00 Exp. 12/18/2000 5,644 5,314 141 Call - CME Eurodollar December Futures Strike @ 92.75 Exp. 12/18/2000 1,195 845 1,479 Put - CME Eurodollar March Futures Strike @ 92.75 Exp. 03/19/2001 7,127 2,736 267 Call - CME Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 18,834 4,726 13,890 Put - CME Eurodollar March Futures Strike @ 92.50 Exp. 03/19/2001 7,225 4,582 181 Call - CME Eurodollar March Futures Strike @ 93.00 Exp. 03/19/2001 5,000 2,098 6,313 Put - CME Eurodollar March Futures Strike @ 92.25 Exp. 03/19/2001 8,769 5,077 110 Put - CME Eurodollar December Futures Strike @ 92.25 Exp. 12/18/2000 2,902 1,109 18 Put - OTC 3 Month LIBOR Interest Rate Swap Strike @ 8.250% Exp. 03/19/2001 560,000,000 $ 2,226 $ 11 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.750% Exp. 03/19/2001 560,000,000 603 2,750 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.500% Exp. 02/23/2001 275,000,000 1,760 1,760 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 6.500% Exp. 02/22/2001 275,000,000 1,760 1,760 ------------------------ $ 40,793 $ 35,477 ======================== (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Reverse repurchase agreements were entered into September 25, 2000 paying interest at 6.520%. The following securities were segregated with collateral for reverse repurchase agreements Type Maturity Value -------------------------------------------------------------------------------- Federal National Mortgage Assn. 7.000% 10/01/2003 $ 42,864 Federal National Mortgage Assn. 6.690% 08/01/2027 39,604 Government National Mortgage Assn. 7.130% 10/20/2030 65,131 Government National Mortgage Assn. 6.750% 07/20/2027 41,986 ------------ $ 189,585 ============ (f) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------------------- Sell C$ 43,714 10/2000 $ 413 Buy 7,000 10/2000 (54) Sell EC 295,593 10/2000 8,049 Buy 393,768 10/2000 (1,541) Buy 276,495 11/2000 502 Sell BP 103,747 10/2000 (5,419) Buy HF 2,000,000 03/2001 181 Sell JY 4,519,202 04/2001 (1,390) Sell 20,157,034 10/2000 3,425 Buy 18,843,139 10/2000 71 Sell 18,843,139 11/2000 (100) Sell N$ 60,917 10/2000 565 Buy PZ 45,000 01/2001 (543) Buy 40,000 02/2001 (215) Buy 17,000 03/2001 (168) -------------- $ 3,776 ============== (g) Principal amount denoted in indicated currency: BP - British Pound C$ - Canadian Dollar EC - Euro HF - Hungarian Forint JY - Japanese Yen N$ - New Zealand Dollar PZ - Polish Zloty 100 See accompanying notes (h) Swap agreements outstanding at September 30, 2000: Notional Unrealized Type Amount Depreciation -------------------------------------------------------------------------------- Receive floating rate based on 6-month JY-LIBOR and pay fixed rate equal to 2.340%. Broker: Deutsche Bank AG New York Exp. 10/08/2007 JY24,500,000 $ (9,740) Receive floating rate based on 6-month JY-LIBOR and pay fixed rate equal to 1.495%. Broker: Deutsche Bank AG New York Exp. 09/16/2008 7,000,000 1,709 Receive floating rate based on 3-month LIBOR plus 1.600% and pay a fixed rate equal to 0.426%. Broker: Lehman Brothers Exp. 04/19/2005 $ 13,033 1 Receive floating rate based on 3-month LIBOR plus 0.500% and pay a fixed rate equal to 7.600%. Broker: Lehman Brothers Exp. 07/15/2003 35,000 (354) Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.930%. Broker: Goldman Sachs Exp. 08/25/2030 BP 50,000 (579) Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.302%. Broker: Goldman Sachs Exp. 07/13/2010 C$ 40,000 (258) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.295%. Broker: Goldman Sachs Exp. 04/14/2008 JY11,635,000 (3,964) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.305%. Broker: Goldman Sachs Exp. 04/15/2008 7,563,000 (2,621) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.669%. Broker: Goldman Sachs Exp. 05/18/2007 51,000,000 (1,259) Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to 6.175%. Broker: Goldman Sachs Exp. 05/22/2030 EC 94,820 (953) Receive floating rate based on 6-month EURO-LIBOR plus 0.499% and pay a fixed rate equal to 6.000%. Broker: J.P. Morgan Exp. 01/04/2009 123,620 1,945 Receive floating rate based on 6-month EURO-LIBOR minus 0.54% and pay a fixed rate equal to 6.250%. Broker: J.P. Morgan Exp. 01/04/2024 EC 26,270 $ 320 Receive floating rate based on 3-month EURO-LIBOR and pay a fixed rate equal to 6.010%. Broker: Morgan Stanley Exp. 01/04/2030 83,670 (514) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.305%. Broker: Goldman Sachs Exp. 04/15/2008 JY 377,000 29 Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.669%. Broker: Goldman Sachs Exp. 05/18/2007 1,500,000 33 Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.295%. Broker: Goldman Sachs Exp. 04/14/2008 580,000 47 Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.317%. Broker: Goldman Sachs Exp. 07/12/2010 C$ 30,000 (213) Receive a fixed rate equal to 7.317% and pay floating rate based on 3-month LIBOR. Broker: Morgan Stanley Exp. 11/15/2003 $ 85,000 1,117 Receive floating rate based on 3-month LIBOR and pay to the counterparty $187,253 due 11/15/2021. Broker: Lehman Brothers Exp. 11/15/2021 42,600 (702) Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 5.950%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/17/2001 3,200 0 Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 6.150%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 03/22/2001 3,200 (171) Receive a fixed rate equal to 9.250% and pay a fixed rate equal to 5.050%. In the event of default of Republic of Argentina Floating Rate Notes and/or Spread-Adjusted Notes, the Fund can put the bond to the counterparty at par. Broker: Deutsche Bank AG New York Exp. 05/03/2001 6,000 (201) See accompanying notes 101 Schedule of Investments (Cont.) Total Return Fund September 30, 2000 (Unaudited) -------------------------------------------------------------------------------- Receive fixed rate equal to 0.650% and the Fund will pay to the counterparty at par in the event of default of Niagara Mohawk Corp. 7.750% due 10/01/2008. Broker: Lehman Brothers Exp. 12/31/2004 $ 50,000 $ 3 Receive fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.400% due 02/01/2004. Broker: Goldman Sachs Exp. 11/10/2002 20,000 1 Receive fixed rate equal to 0.510% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 01/25/2005 10,000 1 Receive fixed rate equal to 0.650% and the Fund will pay to the counterparty at par in the event of default of Philip Morris Co. 7.200% due 02/01/2007. Broker: Goldman Sachs Exp. 12/22/2000 17,000 1 Receive fixed rate equal to 0.250% and the Fund will pay to the counterparty at par in the event of default of Pacific Gas & Electric Corp. 6.550% due 12/08/2005. Broker: J.P. Morgan Exp. 05/23/2003 22,000 0 Receive fixed rate equal to 5.600% and the Fund will pay to the counterparty at par in the event of default of the Republic of Venezuela 9.250% due 09/15/2027. Broker: Deutsche Bank AG New York Exp. 04/04/2001 25,000 14 Receive fixed rate equal to 5.850% and the Fund will pay to the counterparty at par in the event of default of the Republic of Venezuela 9.250% due 09/15/2027. Broker: Deutsche Bank AG New York Exp. 04/17/2001 10,000 6 Receive fixed rate equal to 0.250% and the Fund will pay to the counterparty at par in the event of default of Wisconsin Electric Power 6.625% due 11/16/2006. Broker: Lehman Brothers Exp. 04/18/2003 25,000 1 Receive fixed rate equal to 1.900% and the Fund will pay to the counterparty at par in the event of default of the Republic of Brazil based on 6-month LIBOR plus 0.813% due 04/15/2006. Broker: Credit Suisse First Boston International Exp. 05/03/2001 50,000 9 Receive fixed rate equal to 1.300% and the Fund will pay to the counterparty at par in the event of default of United Mexican States 9.875% due 01/15/2007 Broker: Salomon Brothers, Inc. Exp. 05/09/2002 50,000 7 Receive fixed rate equal to 0.100% and the Fund will pay to the counterparty at par in the event of default of Walmart Stores, Inc. 6.875% due 08/10/2009. Broker: Credit Suisse First Boston International Exp. 11/01/2000 $ 100,000 $ 1 Receive fixed rate equal to 0.100% and the Fund will pay to the counterparty at par in the event of default of General Electric Capital Corp. 7.250% due 02/02/2005. Broker: J.P. Morgan Exp. 05/19/2001 50,000 1 Receive fixed rate equal to 1.500% and the Fund will pay to the counterparty at par in the event of default of United Mexican States 9.875% due 01/15/2007 Broker: Salomon Brothers, Inc. Exp. 06/13/2002 50,000 8 Receive fixed rate equal to 0.500% and the Fund will pay to the counterparty at par in the event of default of Raytheon Co. 6.500% due 07/15/2005. Broker: Merril Lynch Exp. 06/30/2001 25,000 1 Receive fixed rate equal to 0.120% and the Fund will pay to the counterparty at par in the event of default of IBM Corp. 7.250% due 11/01/2002. Broker: J.P. Morgan Exp. 12/31/2000 50,000 1 Receive a fixed rate equal to 4.910% and pay floating rate based on 10-year Municipal Market Dataline Index. Broker: Morgan Stanley Exp. 11/07/2000 10,000 361 ------------- $ (15,912) ============= 102 See accompanying notes -------------------------------------------------------------------------------- Fixed Unrealized Spread Notional Appreciation/ Type (%) Amount Depreciation -------------------------------------------------------------------------------- Receive the 10-year Swap Spread and pay a fixed spread. The 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Goldman Sachs Exp. 02/15/2005 0.8675 $ 258,500 $ 2,598 Broker: Morgan Stanley Exp. 02/28/2005 0.9925 25,000 (223) Receive On-The-Run 30-year Swap Spread and pay a fixed spread. The on the-run 30-year Swap Spread is the difference between the 30-year Swap Rate and the 30-year Treasury Rate. Broker: Goldman Sachs Exp. 04/04/2005 1.3900 50,000 (591) Receive the 30-year Swap Spread and pay a fixed spread. The 30-year Swap Spread is the difference between the 30-year Swap Rate and the 30-year Treasury Rate. Broker: Goldman Sachs Exp. 02/16/2005 1.1120 37,700 (329) Broker: Goldman Sachs Exp. 02/15/2005 1.0850 10,000 (155) Broker: Goldman Sachs Exp. 02/16/2005 1.1120 3,300 (52) Receive the 5-year Swap Spread and pay a fixed spread. The 5-year Swap Spread is the difference between the 5-year Swap Rate and the 5-year Treasury Rate. Broker: Morgan Stanley 0.9900 107,200 (294) Exp. 04/07/2005 Broker: Lehman Brothers Exp. 04/10/2005 0.9500 130,000 (356) Broker: Bank of America Exp. 04/11/2005 0.9675 250,000 (263) Receive On-The-Run 2-year Swap Spread and pay a fixed spread. The On-The-Run 2-year Swap Spread is the difference between the 2-year Swap Rate and the 2-year Treasury Rate. Broker: Bank of America Exp. 07/19/2001 0.9250 100,000 (850) --------- $ (515) ========= (i) Principal amount of the security is adjusted for inflation. (j) Subject to financing transaction. (k) Securities are grouped by coupon or range of coupons and represent a range of maturities. (l) Restricted security. (m) Security is in default. See accompanying notes 103 Schedule of Investments Total Return Mortgage Fund September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 0.3% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (e) 3.625% due 07/15/2002 $ 54 $ 54 ------------- Total U.S. Treasury Obligations 54 (Cost $54) ============= -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 124.2% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 52.8% Chase Mortgage Finance Corp. 7.000% due 07/25/2024 607 603 7.000% due 12/25/2028 334 308 Countrywide Alternative Loan Trust 6.750% due 08/25/2028 95 93 Countrywide Home Loans 6.750% due 11/25/2027 38 38 DLJ Mortgage Acceptance Corp. 7.000% due 06/25/2028 138 130 Federal Home Loan Mortgage Corp. 6.000% due 06/15/2008 432 423 6.328% due 02/01/2018 (d) 172 168 4.500% due 03/15/2021 52 47 6.750% due 08/15/2021 1,000 986 3.500% due 12/15/2022 10 7 6.500% due 12/15/2023 46 42 6.500% due 03/15/2024 107 94 6.900% due 04/15/2026 1,035 1,022 8.000% due 06/15/2026 70 71 6.500% due 05/15/2027 73 66 7.000% due 01/15/2028 150 131 6.000% due 10/15/2028 153 131 Federal National Mortgage Assn. 6.900% due 08/25/2011 100 97 6.500% due 02/25/2019 1,044 1,035 7.750% due 08/25/2022 63 64 7.500% due 03/25/2023 96 94 7.625% due 04/25/2023 (d) 25 26 6.500% due 09/25/2023 36 32 6.750% due 09/25/2023 53 47 7.000% due 09/25/2023 16 15 6.500% due 10/25/2023 217 199 6.500% due 12/25/2023 170 143 7.100% due 12/25/2023 41 39 7.020% due 04/18/2028 (d) 124 124 General Electric Capital Mortgage Services, Inc. 7.000% due 01/25/2028 100 92 6.750% due 06/25/2028 200 188 Government National Mortgage Assn. 7.500% due 12/20/2022 149 149 Norwest Asset Securities Corp. 6.250% due 01/25/2029 174 162 PNC Mortgage Securities Corp. 6.750% due 09/25/2028 1,099 1,036 Residential Accredit Loans, Inc. 7.000% due 01/25/2028 386 384 Superannuation Members Home Loans Global Fund 6.915% due 06/15/2026 (d) 300 300 Vendee Mortgage Trust 7.750% due 05/15/2022 38 38 ------------- 8,624 ============= Federal Home Loan Mortgage Corporation 3.1% 5.500% due 02/01/2001 154 151 6.000% due 10/01/2024 150 142 7.000% due 02/01/2027 113 111 7.556% due 11/01/2028 (d) 107 109 ------------- 513 ============= Federal National Mortgage Association 22.4% 5.805% due 10/01/2028 (d) 494 476 6.000% due 10/01/2099 700 654 6.483% due 11/01/2018 (d) 43 43 7.500% due 12/01/2099 2,000 1,995 7.519% due 05/01/2023 (d) 168 169 9.000% due 01/01/2020 304 317 ------------- 3,654 ============= Government National Mortgage Association 44.9% 6.375% due 03/20/2027 (d) 9 9 6.750% due 07/20/2022-07/20/2025 (c)(d) 538 543 7.125% due 12/20/2021-11/20/2026 (c)(d) 392 395 7.375% due 03/20/2016-01/20/2027 (c)(d) 1,326 1,335 7.500% due 05/15/2027-08/15/2027 (c) 124 124 8.000% due 12/15/2099 4,450 4,529 8.500% due 12/31/2099 400 411 ------------- 7,346 ============= Stripped Mortgage-Backed Securities 1.0% Federal National Mortgage Association (IO) 6.500% due 07/25/2007 59 3 Federal National Mortgage Association (PO) 0.000% due 07/25/2022 264 162 ------------- 165 ------------- Total Mortgage-Backed Securities 20,302 (Cost $20,119) ============= -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 2.8% -------------------------------------------------------------------------------- Bayview Financial Acquisition Trust 7.011% due 07/25/2030 (d) 197 197 MLCC Mortgage Investors, Inc. 6.998% due 03/15/2025 (d) 253 254 ------------- Total Asset-Backed Securities 451 (Cost $450) ============= -------------------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 0.1% -------------------------------------------------------------------------------- Technology 0.1% Clear Channel Communications, Inc. 1.500% due 12/01/2002 10 9 ------------- Total Convertible Bonds & Notes 9 (Cost $10) ============= -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 18.8% -------------------------------------------------------------------------------- Commercial Paper 17.0% Alcoa, Inc. 6.450% due 12/21/2000 200 197 American Electric Power, Inc. 6.760% due 10/04/2000 400 400 AT&T Corp. 6.510% due 12/13/2000 200 197 Conagra, Inc. 6.670% due 10/04/2000 600 600 6.670% due 11/15/2000 300 298 Eastman Kodak Co. 6.460% due 12/04/2000 200 198 General Electric Capital Corp. 6.470% due 12/20/2000 200 197 Ingersoll-Rand Co. 6.690% due 10/04/2000 300 300 KFW International Finance 6.460% due 12/06/2000 300 297 Yorkshire Building Society 6.490% due 11/14/2000 100 99 ------------- 2,783 ============= Repurchase Agreement 1.7% State Street Bank 5.850% due 10/02/2000 285 285 ------------- (Dated 9/29/2000. Collateralized by Federal Home Loan Mortgage Corp. 7.050% due 09/19/2003 valued at $295. Repurchase proceeds are $285.) U.S. Treasury Bills (b) 0.1% 5.925% due 02/01/2001 10 10 ------------- Total Short-Term Instruments 3,078 (Cost $3,077) ============= 104 See accompanying notes Value (000s) -------------------------------------------------------------------------------- Total Investments (a) 146.2% $ 23,894 (Cost $23,710) Other Assets and Liabilities (Net) (46.2%) (7,548) ------------- Net Assets 100.0% $ 16,346 ============= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 229 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (45) ------------- Unrealized appreciation-net $ 184 ============= (b) Securities with an aggregate market value of $10 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: # of Unrealized Type Contracts Appreciation -------------------------------------------------------------------------------- U.S. Treasury 10 Year Note (12/2000) 1 $ 0 ------------- (c) Securities are grouped by coupon or range of coupons and represent a range of maturities. (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Principal amount of the security is adjusted for inflation. See accompanying notes 105 Financial Highlights - Class D
Net Realized / Net Asset Value Unrealized Gain Total Income Dividends from Beginning of Net Investment (Loss) on from Investment Net Investment Selected Per Share Data for the Year or Period Ended: Period Income (Loss) Investments Operations Income --------------- -------------- --------------- --------------- -------------- California Intermediate Municipal Bond Fund 09/30/2000 (b) $ 10.05 $ 0.20 (a) $ 0.25 (a) $ 0.45 $ (0.21) 01/31/2000 - 03/31/2000 9.88 0.06 (a) 0.18 (a) 0.24 (0.07) California Municipal Bond Fund 07/31/2000 - 09/30/2000 (b) $ 10.35 $ 0.08 (a) $ 0.04 (a) $ 0.12 $ (0.09) Convertible Fund 08/01/2000 - 09/30/2000 (b) $ 15.77 $(0.02)(a) $(0.33) (a) $ (0.35) $ (0.09) Emerging Markets Bond Fund 03/31/2000 - 09/30/2000 (b) $ 8.61 $ 0.40 (a) $ 0.03 (a) $ 0.43 $ (0.40) Foreign Bond Fund 09/30/2000 (b) $ 10.03 $ 0.30 (a) $ 0.06 (a) $ 0.36 $ (0.29) 03/31/2000 10.63 0.59 (a) (0.45) (a) 0.14 (0.59) 04/08/1998 - 03/31/1999 10.83 0.53 (a) 0.15 (a) 0.68 (0.53) High Yield Fund 09/30/2000 (b) $ 10.22 $ 0.44 (a) $(0.10) (a) $ 0.34 $ (0.44) 03/31/2000 11.23 0.89 (a) (1.01) (a) (0.12) (0.88) 04/08/1998 - 03/31/1999 11.68 0.89 (a) (0.45) (a) 0.44 (0.88) Low Duration Fund 09/30/2000 (b) $ 9.81 $ 0.30 (a) $ 0.07 (a) $ 0.37 $ (0.32) 03/31/2000 10.10 0.61 (a) (0.29) (a) 0.32 (0.60) 04/08/1998 - 03/31/1999 10.19 0.60 (a) (0.03) (a) 0.57 (0.60) Municipal Bond Fund 09/30/2000 (b) $ 9.47 $ 0.21 (a) $ 0.16 (a) $ 0.37 $ (0.22) 03/31/2000 10.12 0.42 (a) (0.64) (a) (0.22) (0.43) 04/08/1998 - 03/31/1999 9.98 0.40 (a) 0.14 (a) 0.54 (0.40) New York Intermediate Municipal Bond Fund 09/30/2000 (b) $ 9.94 $ 0.20 (a) $ 0.27 (a) $ 0.47 $ (0.20) 01/31/2000 - 03/31/2000 9.79 0.07 (a) 0.15 (a) 0.22 (0.07) Real Return Bond Fund 09/30/2000 (b) $ 9.92 $ 0.41 (a) $ 0.05 (a) $ 0.46 $ (0.43) 03/31/2000 9.83 0.63 (a) 0.12 (a) 0.75 (0.64) 04/08/1998 - 03/31/1999 9.77 0.47 (a) 0.09 (a) 0.56 (0.44) Short Duration Municipal Income Fund 09/30/2000 (b) $ 9.98 $ 0.19 (a) $ 0.06 (a) $ 0.25 $ (0.19) 01/31/2000 - 03/31/2000 9.99 0.06 (a) (0.01) (a) 0.05 (0.06) Short-Term Fund 09/30/2000 (b) $ 9.95 $ 0.30 (a) $ 0.02 (a) $ 0.32 $ (0.30) 03/31/2000 10.03 0.55 (a) (0.08) (a) 0.47 (0.55) 04/08/1998 - 03/31/1999 10.07 0.53 (a) (0.03) (a) 0.50 (0.53) StocksPLUS Fund 09/30/2000 (b) $ 14.08 $ 0.21 (a) $(0.68) (a) $ (0.47) $ (0.24) 03/31/2000 14.27 1.04 (a) 1.29 (a) 2.33 (1.04) 04/08/1998 - 03/31/1999 14.13 0.79 (a) 1.38 (a) 2.17 (0.79) Strategic Balanced Fund 09/30/2000 (b) $ 12.78 $ 0.30 (a) $(0.43) (a) $ (0.13) $ (0.41) 03/31/2000 12.75 0.71 (a) 0.47 (a) 1.18 (0.69) 04/08/1998 - 03/31/1999 12.65 0.79 (a) 0.60 (a) 1.39 (0.62) Total Return Fund 09/30/2000 (b) $ 9.96 $ 0.32 (a) $ 0.13 (a) $ 0.45 $ (0.32) 03/31/2000 10.36 0.60 (a) (0.40) (a) 0.20 (0.58) 04/08/1998 - 03/31/1999 10.66 0.59 (a) 0.12 (a) 0.71 (0.59) Total Return Mortgage Fund 09/30/2000 (b) $ 9.97 $ 0.29 (a) $ 0.21 (a) $ 0.50 $ (0.29) 03/31/2000 10.19 0.54 (a) (0.20) (a) 0.34 (0.55) 04/08/1998 - 03/31/1999 10.27 0.53 (a) 0.02 (a) 0.55 (0.53)
+ Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) Unaudited 106 See accompanying notes
Dividends Distributions Distributions Ratio of Net in Excess from Net in Excess of Net Asset Net Assets Ratio of Investment of Net Realized Net Realized Value End of Expenses to Income (Loss) Investment Capital Capital Total End of Total Period Average Net to Average Portfolio Income Gains Gains Distributions Period Return (000s) Assets Net Assets Turnover Rate ---------- ------------- ------------ ------------- --------- ------ ---------- ------------ ------------- ------------- $ 0.00 $ 0.00 $ 0.00 $ (0.21) $ 10.29 4.47% $ 36 0.85%+ 3.85%+ 194% 0.00 0.00 0.00 (0.07) 10.05 2.39 10 0.85+ (e) 3.88+ 357 $ 0.00 $ 0.00 $ 0.00 $ (0.09) $ 10.38 1.51% $ 10 0.85%+ 4.73%+ 286% $ 0.00 $ 0.00 $ 0.00 $ (0.09) $ 15.33 (2.19)% $ 9 1.08%+ (0.33)%+ 100% $ 0.00 $ 0.00 $ 0.00 $ (0.40) $ 8.64 5.20% $ 11 1.25%+ 9.35%+ 377% $ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 10.10 3.60% $ 15,063 1.00%+ 5.82%+ 248% 0.00 (0.15) 0.00 (0.74) 10.03 1.51 9,955 1.16 (c) 5.77 330 0.00 (0.10) (0.25) (0.88) 10.63 6.46 8,513 0.95+ 4.82+ 376 $ 0.00 $ 0.00 $ 0.00 $ (0.44) $ 10.12 3.41% $ 23,252 0.90%+ 8.59%+ 20% (0.01) 0.00 0.00 (0.89) 10.22 (1.14) 23,601 0.90 8.29 39 (0.01) 0.00 0.00 (0.89) 11.23 4.00 9,065 0.90+ 8.07+ 39 $ 0.00 $ 0.00 $ 0.00 $ (0.32) $ 9.86 3.87% $ 13,949 0.76%+ 5.95%+ 107% (0.01) 0.00 0.00 (0.61) 9.81 3.22 12,018 0.83 (g) 6.11 82 0.00 (0.01) (0.05) (0.66) 10.10 5.77 6,481 0.75+ 5.81+ 245 $ 0.00 $ 0.00 $ 0.00 $ (0.22) $ 9.62 3.97% $ 636 0.85%+ 4.41%+ 150% 0.00 0.00 0.00 (0.43) 9.47 (2.16) 1,104 0.85 4.46 145 0.00 0.00 0.00 (0.40) 10.12 5.47 242 0.85+ 3.99+ 70 $ 0.00 $ 0.00 $ 0.00 $ (0.20) $ 10.21 4.78% $ 11 0.85%+ 3.95%+ 623% 0.00 0.00 0.00 (0.07) 9.94 2.21 10 0.87+ (f) 4.02+ 270 $ 0.00 $ 0.00 $ 0.00 $ (0.43) $ 9.95 4.79% $ 29,643 0.93%+ 8.26%+ 179% 0.00 (0.02) 0.00 (0.66) 9.92 7.93 15,560 0.93 6.44 253 (0.06) 0.00 0.00 (0.50) 9.83 5.89 193 0.92+ 4.75+ 438 $ 0.00 $ 0.00 $ 0.00 $ (0.19) $ 10.04 2.44% $ 10 0.80%+ 3.81%+ 71% 0.00 0.00 0.00 (0.06) 9.98 0.47 10 0.80+ (d) 3.51+ 171 $ 0.00 $ 0.00 $ 0.00 $ (0.30) $ 9.97 3.29% $ 5,434 1.14%+ (g) 6.04%+ 62% 0.00 0.00 0.00 (0.55) 9.95 4.87 3,361 0.93 (g) 5.54 38 0.00 0.00 (0.01) (0.54) 10.03 5.10 2,278 0.75+ 5.05+ 47 $ 0.00 $ 0.00 $ 0.00 $ (0.24) $ 13.37 (3.37)% $ 3,124 1.05%+ 3.01%+ 42% (0.97) (0.51) 0.00 (2.52) 14.08 17.32 3,288 1.05 7.16 92 0.00 (1.24) 0.00 (2.03) 14.27 16.69 1,721 1.05+ 8.12+ 81 $ 0.00 $ 0.00 $ 0.00 $ (0.41) $ 12.24 (0.98)% $ 299 1.06%+ 4.83%+ 543% 0.00 (0.15) (0.31) (1.15) 12.78 9.55 167 1.05 5.49 176 0.00 (0.67) 0.00 (1.29) 12.75 11.45 173 1.05+ 6.41+ 82 $ 0.00 $ 0.00 $ 0.00 $ (0.32) $ 10.09 4.58% $ 135,608 0.80%+ (g) 6.36%+ 186% (0.02) 0.00 0.00 (0.60) 9.96 2.00 80,459 0.87 (g) 5.97 223 0.00 (0.24) (0.18) (1.01) 10.36 6.73 34,839 0.75+ 5.21+ 154 $ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 10.18 5.06% $ 399 0.90%+ 5.70%+ 388% (0.01) 0.00 0.00 (0.56) 9.97 3.47 166 0.90 5.38 1476 0.00 (0.03) (0.07) (0.63) 10.19 5.41 183 0.90+ 5.15+ 158
(c) Ratio of expenses to average net assets excluding interest expense is 0.95%. (d) If the investment manager had not reimbursed expenses, the ratio of expenses0 to average net assets would have been 1.29%. (e) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 1.74%. (f) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 2.52%. (g) Ratio of expenses to average net assets excluding interest expense is 0.75%. See accompanying notes 107 Statements of Assets and Liabilities September 30, 2000 (Unaudited)
California Intermediate California Emerging Amounts in thousands, Municipal Municipal Convertible Markets Foreign Low except per share amounts Bond Fund Bond Fund Fund Bond Fund Bond Fund High Yield Fund Duration Fund ------------ ---------- ----------- --------- --------- --------------- ------------- Assets: Investments, at value $ 100,517 $ 8,991 $ 164,640 $ 58,286 $ 1,057,286 $ 3,037,644 $ 5,309,953 Cash and foreign currency 3 2 23 82 17,587 3,666 0 Receivable for investments sold and forward foreign currency contracts 0 0 2,707 2,320 102,376 28,459 229,584 Receivable for Fund shares sold 20 0 298 35 1,104 4,419 14,212 Interest and dividends receivable 1,374 139 536 1,249 11,017 62,330 64,423 Variation margin receivable 0 0 0 0 384 0 261 Manager reimbursement receivable 14 0 14 0 0 0 0 Other assets 3 0 0 1 83 0 961 ---------- ---------- ---------- --------- ----------- --------------- ------------ 101,931 9,132 168,218 61,973 1,189,837 3,136,518 5,619,394 ---------- ---------- ---------- --------- ----------- --------------- ------------ Liabilities: Payable for investments purchased and forward foreign currency contracts $ 1,387 $ 0 $ 8,370 $ 2,399 $ 345,681 $ 66,227 $ 932,447 Payable for financing 0 0 0 7,888 256,309 0 415,375 transactions Notes payable 0 0 0 0 0 0 28,531 Written options outstanding 0 0 0 0 1,096 0 1,370 Payable for Fund shares redeemed 0 0 1 15 889 3,732 18,548 Dividends payable 0 0 67 28 397 4,816 3,433 Accrued investment advisory fee 21 2 53 20 122 659 906 Accrued administration fee 23 2 37 18 145 767 733 Accrued distribution fee 0 0 12 3 37 485 116 Accrued servicing fee 7 0 5 1 29 181 94 Variation margin payable 0 0 0 0 0 0 0 Other liabilities 2 0 0 22 63 127 333 1,440 4 8,545 10,394 604,768 76,994 1,401,886 ---------- ---------- ---------- --------- ----------- --------------- ------------ Net Assets $ 100,491 $ 9,128 $ 159,673 $ 51,579 $ 585,069 $ 3,059,524 $ 4,217,508 ---------- ---------- ---------- --------- ----------- --------------- ------------ Net Assets Consist of: Paid in capital $ 97,705 $ 8,536 $ 132,006 $ 48,203 $ 605,430 $ 3,505,695 $ 4,317,927 Undistributed (overdistributed) net investment income (37) 0 4,294 859 15,404 (2,104) (8,388) Accumulated undistributed net realized gain (loss) 331 368 (1,602) 1,137 (7,166) (214,136) (59,730) Net unrealized appreciation (depreciation) 2,492 224 24,975 1,380 (28,599) (229,931) (32,301) ---------- ---------- ---------- --------- ----------- --------------- ------------ $ 100,491 $ 9,128 $ 159,673 $ 51,579 $ 585,069 $ 3,059,524 $ 4,217,508 ---------- ---------- ---------- --------- ----------- --------------- ------------ Net Assets: Class D $ 36 $ 10 $ 9 $ 11 $ 15,063 $ 23,252 $ 13,949 Other Classes 100,455 9,118 159,664 51,568 570,006 3,036,272 4,203,559 Shares Issued and Outstanding: Class D 3 1 1 1 1,491 2,298 1,414 Net Asset Value and Redemption Price Per Share (Net Assets Per Share Outstanding) Class D $ 10.29 $ 10.38 $ 15.33 $ 8.64 $ 10.10 $ 10.12 $ 9.86 Cost of Investments Owned $ 98,049 $ 8,772 $ 139,705 $ 56,836 $ 1,092,108 $ 3,267,577 $ 5,347,094 ---------- ---------- ---------- --------- ----------- --------------- ------------ Cost of Foreign Currency Held $ 0 $ 0 $ 20 $ 0 $ 17,695 $ 0 $ 5,462 ---------- ---------- ---------- --------- ----------- --------------- ------------
108 See accompanying notes
New York Short Duration Strategic Municipal Municipal Real Return Municipal Short-Term StocksPLUS Balanced Total Return Total Return Bond Fund Bond Fund Bond Fund Income Fund Fund Fund Fund Fund Mortgage Fund --------- --------- ----------- -------------- ---------- ---------- --------- ------------ ------------- $ 54,626 $ 3,175 $ 1,117,767 $ 12,954 $ 855,837 $ 1,568,989 $ 76,485 $ 54,049,779 $ 23,894 15 1 900 2 0 61,383 3,802 10,032 0 934 2,802 40,080 0 78,809 3,926 124,664 644,787 4,985 88 0 7,253 0 1,082 1,504 211 192,212 0 783 38 10,330 194 9,110 0 80 433,213 80 0 0 37 0 0 0 1 7,095 0 0 14 0 14 0 0 0 0 0 0 0 893 0 56 0 0 0 1 ---------- ---------- ------------ ------------ ---------- ------------ ----------- ------------- ------------ 56,446 6,030 1,177,260 13,164 944,894 1,635,802 205,243 55,337,118 28,960 ---------- ---------- ------------ ------------ ---------- ------------ ----------- ------------- ------------ $ 0 $ 2,796 $ 48,227 $ 0 $ 41,828 $ 174,328 $ 124,516 $ 14,893,787 $ 12,541 0 0 589,821 0 138,588 0 0 4,370,371 0 0 0 0 0 63,033 0 0 181,070 0 0 0 0 0 36 2,266 0 35,447 0 78 0 591 0 5,949 3,452 44 237,276 65 67 0 379 1 1,020 0 0 39,459 0 12 1 112 2 148 489 25 7,463 4 16 1 127 2 132 407 22 6,068 4 16 0 28 0 10 352 15 1,652 0 9 0 25 0 24 169 6 808 0 0 0 0 0 0 17,981 0 0 0 0 0 5 0 3,227 3,027 0 15,002 0 198 2,798 639,315 5 253,995 202,471 124,628 19,788,403 12,614 ---------- ---------- ------------ ------------ ---------- ------------ ----------- ------------- ------------ $ 56,248 $ 3,232 $ 537,945 $ 13,159 $ 690,899 $ 1,433,331 $ 80,615 $ 35,548,715 $ 16,346 ---------- ---------- ------------ ------------ ---------- ------------ ----------- ------------- ------------ $ 56,254 $ 3,164 $ 531,114 $ 13,098 $ 693,777 $ 1,424,354 $ 81,117 $ 36,552,222 $ 15,834 7 0 925 3 413 35,165 1,892 (52,845) 4 (583) 25 2,876 (5) (1,905) 40,145 (1,808) (641,460) 324 570 43 3,030 63 (1,386) (66,333) (586) (309,202) 184 ---------- ---------- ------------ ------------ ---------- ------------ ----------- ------------- ------------ $ 56,248 $ 3,232 $ 537,945 $ 13,159 $ 690,899 $ 1,433,331 $ 80,615 $ 35,548,715 $ 16,346 ---------- ---------- ------------ ------------ ---------- ------------ ----------- ------------- ------------ $ 636 $ 11 $ 29,643 $ 10 $ 5,434 $ 3,124 $ 299 $ 135,608 $ 399 55,612 3,221 508,302 13,149 685,465 1,430,207 80,316 35,413,107 15,947 66 1 3,003 1 545 234 24 13,432 39 $ 9.62 $ 10.21 $ 9.95 $ 10.04 $ 9.97 $ 13.37 $ 12.24 $ 10.09 $ 10.18 $ 54,056 $ 3,133 $ 1,114,720 $ 12,900 $ 857,422 $ 1,573,217 $ 77,215 $ 54,354,587 $ 23,710 ---------- ---------- ------------ ------------ ---------- ------------ ----------- ------------- ------------ $ 0 $ 0 $ 464 $ 0 $ 221 $ 6,153 $ 617 $ 55,419 $ 0 ---------- ---------- ------------ ------------ ---------- ------------ ----------- ------------- ------------
See accompanying notes 109 Statements of Operations For the six months ended September 30, 2000 (Unaudited)
California Intermediate California Emerging Amounts in thousands Municipal Municipal Convertible Markets Foreign High Yield Low Bond Fund Bond Fund Fund Bond Fund Bond Fund Fund Duration Fund ---------- --------- ---------- ----------- ----------- ----------- ------------- Investment Income: Interest $ 1,755 $ 218 $ 0 $ 2,293 $ 18,745 $ 141,093 $ 150,219 Dividends, net of foreign taxes 0 0 826 1 338 4,590 3,725 Miscellaneous income 0 0 0 0 0 10 0 ---------- --------- ---------- ----------- ----------- ----------- ------------- Total Income 1,755 218 826 2,294 19,083 145,693 153,944 ---------- --------- ---------- ----------- ----------- ----------- ------------- Expenses: Investment advisory fees 92 10 302 96 697 3,839 5,211 Administration fees 101 10 204 87 824 4,423 4,224 Servicing fees - Class D 0 0 0 0 15 32 16 Distribution and/or servicing fees - Other Classes 29 0 82 25 356 3,860 1,248 Trustees' fees 0 0 0 0 1 5 7 Organization costs 0 0 0 0 0 0 0 Interest expense 0 0 34 1 170 3 253 Miscellaneous expense 0 0 281 0 0 0 0 Total Expenses 222 20 903 209 2,063 12,162 10,959 Recoupment of reimbursement 2 0 4 0 0 0 0 Net Expenses 224 20 907 209 2,063 12,162 10,959 ---------- --------- ---------- ----------- ----------- ----------- ------------- Net Investment Income (Loss) 1,531 198 (81) 2,085 17,020 133,531 142,985 ---------- --------- ---------- ----------- ----------- ----------- ------------- Net Realized and Unrealized Gain (Loss): Net realized gain (loss) on investments 476 433 (2,169) 1,381 5,411 (81,413) (915) Net realized gain (loss) on futures contracts and written options (133) (65) 0 0 (5,694) 0 (2,880) Net realized gain (loss) on foreign currency transactions 0 0 148 (77) 3,413 0 136 Net change in unrealized appreciation (depreciation) on investments 2,420 224 (3,085) 8 (2,220) 47,280 19,415 Net change in unrealized appreciation (depreciation) on futures contracts and written options 0 0 0 0 (1,986) 0 6,013 Net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies 0 0 94 (66) 4,809 0 2,913 Net Gain (Loss) 2,763 592 (5,012) 1,246 3,733 (34,133) 24,682 Net Increase (Decrease) in Assets ---------- --------- ---------- ----------- ----------- ----------- ------------- Resulting from Operations $ 4,294 $ 790 $ (5,093) $ 3,331 $ 20,753 $ 99,398 $ 167,667 ---------- --------- ---------- ----------- ----------- ----------- -------------
110 See accompanying notes
New York Short Duration Strategic Municipal Municipal Real Return Municipal Short-Term StocksPLUS Balanced Total Return Total Return Bond Fund Bond Fund Bond Fund Income Fund Fund Fund Fund Fund Mortgage Fund --------- --------- ----------- -------------- ----------- ----------- ----------- -------------- ------------- $ 1,551 $ 75 $ 19,079 $ 288 $ 25,753 $ 28,530 $ 3,241 $ 1,179,263 $ 404 0 0 0 0 0 807 63 20,491 0 0 0 0 0 6 18 0 245 0 --------- --------- ------------ ----------- ----------- ----------- ---------- -------------- ------------ 1,551 75 19,079 288 25,759 29,355 3,304 1,199,999 404 --------- --------- ----------- ----------- ----------- ----------- ---------- -------------- ------------ 70 4 516 12 887 2,889 217 41,399 15 90 4 582 12 793 2,417 158 33,656 15 1 0 28 0 6 4 0 134 0 146 0 209 0 200 3,133 125 13,933 0 0 0 1 0 1 3 0 58 0 0 0 1 0 0 0 0 0 0 0 0 74 0 1,367 1 16 9,703 0 0 0 0 0 1 0 0 0 0 307 8 1,411 24 3,255 8,447 516 98,883 30 0 0 0 0 0 0 0 0 0 307 8 1,411 24 3,255 8,447 516 98,883 30 --------- --------- ----------- -------------- ----------- ----------- ----------- -------------- ------------- 1,244 67 17,668 264 22,504 20,908 2,788 1,101,116 374 --------- --------- ----------- -------------- ----------- ----------- ----------- -------------- ------------- 478 27 2,525 20 86 (310) (1,173) 345,059 330 (136) 8 341 0 (145) 78,988 3,916 85,018 5 0 0 870 0 59 3,591 (1,029) (13,781) 0 710 51 (1,041) 57 1,572 (35) 849 69,578 208 0 0 319 0 15 (154,518) (6,478) (19,306) (3) 0 0 147 0 387 524 117 (3,140) 0 1,052 86 3,161 77 1,974 (71,760) (3,798) 463,428 540 --------- --------- ----------- -------------- ----------- ----------- ----------- -------------- ------------- $ 2,296 $ 153 $ 20,829 $ 341 $ 24,478 $ (50,852) $ (1,010) $ 1,564,544 $ 914 --------- --------- ----------- -------------- ----------- ----------- ----------- -------------- ------------- See accompanying notes 111
Statements of Changes in Net Assets
California California Intermediate Municipal Amounts in thousands Municipal Bond Fund Bond Fund ---------------------------------------- ------------------ Six Months Ended Period from Period from September 30, 2000 August 31, 1999 to May 16, 2000 to Increase (Decrease) in Net Assets from: (Unaudited) March 31, 2000 September 30, 2000 (Unaudited) Operations: Net investment income (loss) $ 1,531 $ 106 $ 198 Net realized gain (loss) 343 (5) 368 Net change in unrealized appreciation (depreciation) 2,420 72 224 ---------------- -------------- --------------- Net increase (decrease) resulting from operations 4,294 173 790 ---------------- -------------- --------------- Distributions to Shareholders: From net investment income Class D 0 0 0 Other Classes (1,569) (105) (198) In excess of net investment income Class D 0 0 0 Other Classes 0 0 0 From net realized capital gains Class D 0 0 0 Other Classes 0 0 0 In excess of net realized capital gains Class D 0 0 0 Other Classes 0 (7) 0 ---------------- -------------- --------------- Total Distributions (1,569) (112) (198) ---------------- -------------- --------------- Fund Share Transactions: Receipts for shares sold Class D 25 10 10 Other Classes 120,329 10,729 18,629 Issued in reorganization Class D 0 0 0 Other Classes 0 0 0 Issued as reinvestment of distributions Class D 0 0 0 Other Classes 1,537 103 183 Cost of shares redeemed Class D 0 0 0 Other Classes (34,353) (675) (10,286) Net increase (decrease) resulting from Fund share transactions 87,538 10,167 8,536 ---------------- -------------- --------------- Total Increase (Decrease) in Net Assets 90,263 10,228 9,128 ---------------- -------------- --------------- Net Assets: Beginning of period 10,228 0 0 End of period * $ 100,491 $ 10,228 $ 9,128 *Including net undistributed (overdistributed) investment income of: $ (37) $ 1 $ 0
Amounts in thousands Convertible Fund ------------------------------------- Six Months Ended Year Ended September 30, 2000 March 31, 2000 Increase (Decrease) in Net Assets from: (Unaudited) Operations: Net investment income (loss) $ (81) $ 293 Net realized gain (loss) (2,021) 7,821 Net change in unrealized appreciation (depreciation) (2,991) 27,966 -------------- -------------- Net increase (decrease) resulting from operations (5,093) 36,080 -------------- -------------- Distributions to Shareholders: From net investment income Class D 0 0 Other Classes (1,137) (293) In excess of net investment income Class D 0 0 Other Classes 0 (1,271) From net realized capital gains Class D 0 0 Other Classes 0 (619) In excess of net realized capital gains Class D 0 0 Other Classes 0 0 -------------- -------------- Total Distributions (1,137) (2,183) -------------- -------------- Fund Share Transactions: Receipts for shares sold Class D 0 0 Other Classes 51,437 190,503 Issued in reorganization Class D 0 0 Other Classes 0 0 Issued as reinvestment of distributions Class D 0 0 Other Classes 967 2,104 Cost of shares redeemed Class D 0 0 Other Classes (70,532) (42,473) Net increase (decrease) resulting from Fund share transactions (18,128) 150,134 -------------- -------------- Total Increase (Decrease) in Net Assets (24,358) 184,031 -------------- -------------- Net Assets: Beginning of period 184,031 0 End of period * $ 159,673 $ 184,031 *Including net undistributed (overdistributed) investment income of: $ 4,294 $ 5,512
112 See accompanying notes
Emerging Markets Bond Fund Foreign Bond Fund High Yield Fund ----------------------------------- ----------------------------------- ----------------------------------- Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000 (Unaudited) (Unaudited) (Unaudited) $ 2,085 $ 2,012 $ 17,020 $ 35,220 $ 133,531 $ 296,022 1,304 1,254 3,130 4,992 (81,413) (70,452) (58) 2,001 603 (31,738) 47,280 (263,887) ----------------------------------- ----------------------------------- ----------------------------------- 3,331 5,267 20,753 8,474 99,398 (38,317) ----------------------------------- ----------------------------------- ----------------------------------- 0 0 (342) (562) (1,101) (1,533) (2,088) (2,011) (16,389) (34,615) (132,543) (292,206) 0 0 0 0 0 (11) 0 0 0 0 0 (2,133) 0 0 0 (80) 0 0 0 0 0 (4,745) 0 0 0 0 0 (60) 0 0 0 0 0 (3,587) 0 0 ----------------------------------- ----------------------------------- ----------------------------------- (2,088) (2,011) (16,731) (43,649) (133,644) (295,883) ----------------------------------- ----------------------------------- ----------------------------------- 0 0 5,765 8,012 17,577 23,790 25,337 43,469 113,445 251,525 600,585 2,050,531 0 0 0 0 0 0 0 0 0 0 0 0 0 0 335 698 1,038 1,515 1,933 1,876 13,931 34,688 103,501 240,203 0 0 (1,084) (6,691) (18,733) (8,901) (4,781) (25,312) (96,870) (328,315) (780,591) (2,025,795) 22,489 20,033 35,522 (40,083) (76,623) 281,343 ----------------------------------- ----------------------------------- ----------------------------------- 23,732 23,289 39,544 (75,258) (110,869) (52,857) ----------------------------------- ----------------------------------- ----------------------------------- 27,847 4,558 545,525 620,783 3,170,393 3,223,250 $ 51,579 $ 27,847 $ 585,069 $ 545,525 $ 3,059,524 $ 3,170,393 $ 859 $ 862 $ 15,404 $ 15,115 $ (2,104) $ (1,991)
Low Duration Fund Municipal Bond Fund ------------------------------------ -------------------------------------- Six Months Ended Year Ended Six Months Ended Year Ended September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000 (Unaudited) (Unaudited) $ 142,985 $ 265,005 $ 1,244 $ 2,314 (3,659) (47,944) 342 (919) 28,341 (75,164) 710 (2,965) ------------------------------------ -------------------------------------- 167,667 141,897 2,296 (1,570) ------------------------------------ -------------------------------------- (415) (545) (18) (21) (142,569) (260,454) (1,223) (2,287) 0 (8) 0 0 0 (3,942) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 ------------------------------------ -------------------------------------- (142,984) (264,949) (1,241) (2,308) ------------------------------------ -------------------------------------- 3,906 9,569 3,229 2,373 1,455,853 3,465,383 16,032 21,145 0 0 0 0 0 0 0 0 408 544 15 18 120,618 225,453 834 1,620 (2,453) (4,329) (3,738) (1,512) (1,375,835) (3,454,487) (13,762) (25,741) 202,497 242,133 2,610 (2,097) ------------------------------------ -------------------------------------- 227,180 119,081 3,665 (5,975) ------------------------------------ -------------------------------------- 3,990,328 3,871,247 52,583 58,558 $ 4,217,508 $ 3,990,328 $ 56,248 $ 52,583 $ (8,388) $ (8,390) $ 7 $ 4
See accompanying notes 113 Statements of Changes in Net Assets (Cont.)
New York Municipal Amounts in thousands Bond Fund Real Return Bond Fund ------------------------------------- ---------------------------------- Six Months Ended Period from Six Months Ended Year Ended Increase (Decrease) in Net Assets from: September 30, 2000 August 31, 1999 September 30, 2000 March 31, 2000 (Unaudited) to March 31, 2000 (Unaudited) ------------------------------------- ---------------------------------- Operations: Net investment income (loss) $ 67 $ 70 $ 17,668 $ 7,689 Net realized gain (loss) 35 (4) 3,736 317 Net change in unrealized appreciation (depreciation) 51 (8) (575) 3,722 ------------------------------------- ---------------------------------- Net increase (decrease) resulting from operations 153 58 20,829 11,728 ------------------------------------- ---------------------------------- Distributions to Shareholders: From net investment income Class D 0 0 (936) (321) Other Classes (67) (70) (16,830) (7,215) In excess of net investment income Class D 0 0 0 0 Other Classes 0 0 0 0 From net realized capital gains Class D 0 0 0 (17) Other Classes 0 0 0 (276) In excess of net realized capital gains Class D 0 0 0 0 Other Classes 0 (6) 0 0 ------------------------------------- ---------------------------------- Total Distributions (67) (76) (17,766) (7,829) ------------------------------------- ---------------------------------- Fund Share Transactions: Receipts for shares sold Class D 0 10 16,518 16,706 Other Classes 0 3,010 296,596 236,282 Issued in reorganization Class D 0 0 0 0 Other Classes 0 0 0 0 Issued as reinvestment of distributions Class D 0 0 898 319 Other Classes 68 76 13,757 5,502 Cost of shares redeemed Class D 0 0 (3,480) (1,910) Other Classes 0 0 (59,268) (19,148) ------------------------------------- ---------------------------------- Net increase (decrease) resulting from Fund share transactions 68 3,096 265,021 237,751 ------------------------------------- ---------------------------------- Net Assets: Beginning of period 3,078 0 269,861 28,211 End of period * $ 3,232$ $ 3,078 $ 537,945 $ 269,861 *Including net undistributed (overdistributed) investment income of: $ 0 $ 0 $ 925 $ 1,023
Short Duration Amounts in thousands Municipal Income Fund ----------------------------------------- Six Months Ended Period from September 30, 2000 August 31, 2000 Increase (Decrease) in Net Assets from: (Unaudited) to March 31, 2000 ----------------------------------------- Operations: Net investment income (loss) $ 264 $ 244 Net realized gain (loss) 20 (25) Net change in unrealized appreciation (depreciation) 57 6 ----------------------------------------- Net increase (decrease) resulting from operations 341 225 ----------------------------------------- Distributions to Shareholders: From net investment income Class D 0 0 Other Classes (264) (241) In excess of net investment income Class D 0 0 Other Classes 0 0 From net realized capital gains Class D 0 0 Other Classes 0 0 In excess of net realized capital gains Class D 0 0 Other Classes 0 0 ----------------------------------------- Total Distributions (264) (241) ----------------------------------------- Fund Share Transactions: Receipts for shares sold Class D 0 10 Other Classes 2,134 10,500 Issued in reorganization Class D 0 0 Other Classes 0 0 Issued as reinvestment of distributions Class D 0 0 Other Classes 263 241 Cost of shares redeemed Class D 0 0 Other Classes (50) 0 Net increase (decrease) resulting from Fund share transactions 2,347 10,751 ----------------------------------------- Total Increase (Decrease) in Net Assets: 2,424 10,735 ----------------------------------------- Net Assets: Beginning of period 10,735 0 End of period * $ 13,159 $ 10,735 *Including net undistributed (overdistributed) investment income of: $ 3 $ 3
114 See accompanying notes
Short-Term Fund StocksPLUS Fund Strategic Balanced Fund ------------------------------------- -------------------------------------- ------------------------------------ Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000 (Unaudited) (Unaudited) (Unaudited) $ 22,504 $ 37,374 $ 20,908 $ 98,837 $ 2,788 $ 8,094 0 (1,776) 82,269 38,756 1,714 (274) 1,974 (3,309) (154,029) 87,250 (5,512) 4,531 ------------------------------------- -------------------------------------- ------------------------------------ 24,478 32,289 (50,852) 224,843 (1,010) 12,351 ------------------------------------- -------------------------------------- ------------------------------------ (145) (198) (55) (227) (5) (9) (22,302) (37,167) (24,077) (107,742) (2,686) (8,418) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (209) 0 (2) 0 0 0 (95,326) 0 (1,779) 0 0 0 (109) 0 (4) 0 0 0 (49,468) 0 (3,575) ------------------------------------- -------------------------------------- ------------------------------------ (22,447) (37,365) (24,132) (253,081) (2,691) (13,787) ------------------------------------- -------------------------------------- ------------------------------------ 3,086 4,614 366 2,553 251 124 339,733 1,354,008 271,417 792,443 6,444 21,377 0 0 0 0 0 0 0 0 0 0 0 66,780 129 195 52 534 5 15 15,806 26,908 21,191 239,951 2,426 9,186 (1,159) (3,698) (420) (1,416) (117) (141) (377,728) (1,269,938) (283,086) (708,774) (79,691) (39,025) (20,133) 112,089 9,520 325,291 (70,682) 58,316 ------------------------------------- -------------------------------------- ------------------------------------ (18,102) 107,013 (65,464) 297,053 (74,383) 56,880 ------------------------------------- -------------------------------------- ------------------------------------ 709,001 601,988 1,498,795 1,201,742 154,998 98,118 $ 690,899 $ 709,001 $ 1,433,331 $ 1,498,795 $ 80,615 $ 154,998 $ 413 $ 356 $ 35,165 $ 38,389 $ 1,892 $ 1,795 Total Return Fund Total Return Mortgage Fund ------------------------------------- ------------------------------------- Six Months Ended Year Ended Six Months Ended Year Ended September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000 (Unaudited) (Unaudited) $ 1,101,116 $ 1,778,306 $ 374 $ 238 416,296 (847,388) 335 (6) 47,132 (242,138) 205 (78) ------------------------------------- ------------------------------------- 1,564,544 688,780 914 154 ------------------------------------- ------------------------------------- (3,438) (3,193) (7) (6) (1,092,629) (1,698,045) (367) (232) 0 (138) 0 0 0 (72,908) 0 0 0 0 0 0 0 0 0 (3) 0 0 0 0 0 0 0 0 ------------------------------------- ------------------------------------- (1,096,067) (1,774,284) (374) (241) ------------------------------------- ------------------------------------- 64,841 71,612 234 176 6,657,867 13,430,759 12,558 51 0 0 0 0 0 0 0 0 3,407 3,317 7 5 859,979 1,410,633 366 235 (14,828) (27,553) (15) (212) (4,027,301) (8,391,495) (1,481) (342) 3,543,965 6,497,273 11,669 (87) ------------------------------------- ------------------------------------- 4,012,442 5,411,769 12,209 (174) ------------------------------------- ------------------------------------- 31,536,273 26,124,504 4,137 4,311 $ 35,548,715 $ 31,536,273 $ 16,346 $ 4,137 $ (52,845) $ (57,894) $ 4 $ 4
See accompanying notes 115 Statements of Cash Flows For the period ended September 30, 2000 (Unaudited)
Amounts in thousands Foreign Real Return Bond Fund Bond Fund ------------ ------------ Increase (Decrease) in Cash and Foreign Currency from: Financing Activities Sales of Fund shares $ 119,210 $ 307,065 Redemptions of Fund shares (97,844) (63,063) Cash distributions paid (2,404) (3,148) Increase (decrease) from financing transactions (43,910) 422,249 ------------ ------------ Net increase (decrease) from financing activities (24,948) 663,103 ============ ============ Operating Activities Purchases of long-term securities and foreign currency (1,904,922) (1,820,178) Proceeds from sales of long-term securities and foreign currency 1,986,404 1,226,460 Purchases of short-term securities (net) (66,101) (68,272) Net investment income 17,021 17,668 Change in other receivables/payables (net) 475 (18,215) ------------ ------------ Net increase (decrease) from operating activities 32,877 (662,537) ============ ============ Net Increase in Cash and Foreign Currency 7,929 566 ============ ============ Cash and Foreign Currency Beginning of period 9,658 334 End of period $ 17,587 $ 900 ------------ ------------
116 See accompanying notes Notes to Financial Statements September 30, 2000 (Unaudited) 1. Organization PIMCO Funds: Pacific Investment Management Series (the "Trust") was established as a Massachusetts business trust on February 19, 1987. The Trust is registered under the Investment Company Act of 1940 (the "Act"), as amended, as an open-end investment management company. The Trust currently consists of 35 separate investment funds (the "Funds"). The Trust may offer up to six classes of shares: Institutional, Administrative, A, B, C and D. Each share class has identical voting rights (except that shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares). The Long Duration Fund had not commenced operations as of September 30, 2000. Information presented in these financial statements pertains to the Class D shares of the Trust. Certain detailed financial information for the Institutional, Administrative, A, B, and C Classes (the "Other Classes") is provided separately and is available upon request. 2. Significant Accounting Policies The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States. The preparation of financial statements in accordance with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Security Valuation. Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is determined on the basis of last reported sales prices, or if no sales are reported, as is the case for most securities traded over-the-counter, the mean between representative bid and asked quotations obtained from a quotation reporting system or from established market makers. Fixed income securities, including those to be purchased under firm commitment agreements, are normally valued on the basis of quotes obtained from brokers and dealers or pricing services. Short-term investments which mature in 60 days or less are valued at amortized cost, which approximates market value. Certain fixed income securities for which daily market quotations are not readily available may be valued, pursuant to guidelines established by the Board of Trustees, with reference to fixed income securities whose prices are more readily obtainable. Securities Transactions and Investment Income. Securities transactions are recorded as of the trade date. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses from securities sold are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, are recorded as soon as the Fund is informed of the ex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis. Dividends and Distributions to Shareholders. Dividends from net investment income, if any, of each Fund, except the StocksPLUS and Strategic Balanced Funds, are declared on each day the Trust is open for business and are distributed to shareholders monthly. Dividends from net investment income, if any, of the StocksPLUS and Strategic Balanced Funds are declared and distributed to shareholders quarterly. Net realized capital gains earned by a Fund, if any, will be distributed no less frequently than once each year. Income dividends and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States. These differences are primarily due to differing treatments for such items as wash sales, foreign currency transactions, net operating losses and capital loss carryforwards. Distributions reflected as a tax basis return of capital in the accompanying Statements of Changes in Net Assets have been reclassified to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed net realized gains or losses and paid in capital to more appropriately conform financial accounting to tax characterizations of dividend and distributions. Foreign Currency. Foreign currencies, investments, and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Fluctuations in the value of these assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses). Realized gains (losses) and unrealized appreciation (depreciation) on investment securities and income and expenses are translated on the respective dates of such transactions. The effect of changes in foreign currency exchange rates on investments in securities are not segregated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities. Multiclass Operations. Each class offered by the Trust has equal rights as to assets and voting privileges. Income and non-class specific expenses of each Fund, except the StocksPLUS and Strategic Balanced Funds, are allocated daily to each class of shares based on the relative value of settled shares. Income and non-class specific expenses of the StocksPLUS and Strategic Balanced Funds are allocated daily to each class of shares based on the relative net assets of each class. Realized and unrealized capital gains and losses of each Fund are allocated daily to each class of shares based on the relative net assets of each class. 117 Notes to Financial Statements (Cont.) September 30, 2000 (Unaudited) Federal Income Taxes. Each Fund intends to qualify as a regulated investment company and distribute substantially all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made. Financing Transactions. A Fund may enter into financing transactions consisting of the sale by the Fund of securities, together with a commitment to repurchase similar securities at a future date. The difference between the selling price and the future purchase price is an adjustment to interest income. If the counterparty to whom the Fund sells the security becomes insolvent, a Fund's right to repurchase the security may be restricted; the value of the security may change over the term of the financing transaction; and the return earned by a Fund with the proceeds of a financing transaction may not exceed transaction costs. Futures and Options. Certain Funds are authorized to enter into futures contracts and options. A Fund may use futures contracts and options to manage its exposure to the securities markets or to movements in interest rates and currency values. The primary risks associated with the use of futures contracts and options are imperfect correlation between the change in market value of the securities held by a Fund and the prices of futures contracts and options, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. Futures contracts and purchased options are valued based upon their quoted daily settlement prices. The premium received for a written option is recorded as an asset with an equal liability which is marked to market based on the option's quoted daily settlement price. Fluctuations in the value of such instruments are recorded as unrealized appreciation (depreciation) until terminated, at which time realized gains and losses are recognized. Forward Currency Transactions. Certain Funds are authorized to enter into forward foreign exchange contracts for the purpose of hedging against foreign exchange risk arising from the Fund's investment or anticipated investment in securities denominated in foreign currencies. A Fund also may enter into these contracts for purposes of increasing exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one country to another. All commitments are marked to market daily at the applicable translation rates and any resulting unrealized gains or losses are recorded. Realized gains or losses are recorded at the time the forward contract matures or by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Swaps. Certain Funds are authorized to enter into interest rate, total return and currency exchange swap agreements in order to obtain a desired return at a lower cost than if the Fund had invested directly in the asset that yielded the desired return. Swaps involve commitments to exchange components of income (generally interest or returns) pegged to the underlying assets based on a notional principal amount. Swaps are marked to market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gains or losses in the Statements of Operations. A Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a counterparty. Stripped Mortgage-Backed Securities (SMBS). SMBS represent a participation in, or are secured by and payable from, mortgage loans on real property, and may be structured in classes with rights to receive varying proportions of principal and interest. SMBS include interest-only securities (IOs), which receive all of the interest, and principal-only securities (POs), which receive all of the principal. If the underlying mortgage assets experience greater than anticipated payments of principal, a Fund may fail to recoup some or all of its initial investment in these securities. The market value of these securities is highly sensitive to changes in interest rates. Delayed Delivery Transactions. A Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by a Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, a Fund will set aside and maintain until the settlement date in a segregated account, liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, a Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. A Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security. Forward sales commitments are accounted for by the Fund in the same manner as forward currency contracts discussed above. Inflation-Indexed Bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond will be considered interest income, even though principal is not received until maturity. 118 Repurchase Agreements. Each Fund may engage in repurchase transactions. Under the terms of a typical repurchase agreement, the Fund takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the Fund to resell, the obligation at an agreed-upon price and time. The market value of the collateral must be equal at all times to the total amount of the repurchase obligations, including interest. Generally, in the event of counterparty default, the Fund has the right to use the collateral to offset losses incurred. Reverse Repurchase Agreements. Certain Funds are authorized to enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells to a financial institution a security that it holds with an agreement to repurchase the same security at an agreed-upon price and date. A reverse repurchase agreement involves the risk that the market value of the security sold by the Fund may decline below the repurchase price of the security. Restricted Securities. Certain Funds are permitted to invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. 3. Fees, Expenses, and Related Party Transactions Investment Advisory Fee. Pacific Investment Management Company (PIMCO) is a wholly-owned subsidiary partnership of PIMCO Advisors L.P. and serves as investment adviser (the "Adviser") to the Trust, pursuant to an investment advisory contract. The Adviser receives a monthly fee from each Fund at an annual rate based on average daily net assets of the Fund. The Advisory Fee is charged at an annual rate of 0.20% for the Short Duration Municipal Income Fund; 0.40% for the Convertible, StocksPLUS and Strategic Balanced Funds; 0.45% for Emerging Markets Bond Fund; and 0.25% for all other Funds. Administration Fee. Pacific Investment Management Company (PIMCO) is a wholly-owned subsidiary partnership of PIMCO Advisors L.P. which also serves as administrator (the "Administrator"), and provides administrative services to the Trust for which it receives from each Fund a monthly administrative fee based on each share class' average daily net assets. The Administration Fee for Class D is charged at the annual rate of 0.25% for the Low Duration, Short-Term, and Total Return Funds; 0.35% for the Municipal Bond, California Intermediate Municipal Bond, New York Municipal Bond and Short Duration Municipal Income Funds; 0.45% for the Foreign Bond Fund; 0.55% for Emerging Markets Bond Fund; and 0.40% for all other Funds. The Administration Fee for the Institutional and Administrative Class is charged at the annual rate of 0.18% for the Low Duration and Total Return Funds; 0.19% for the Short Duration Municipal Income Fund; 0.20% for the Short-Term Fund; 0.24% for the California Intermediate Municipal Bond and New York Municipal Bond Funds; 0.40% for Emerging Markets Bond Fund; and 0.25% for all other Funds. The Administration Fee for the A, B and C Classes is charged at an annual rate of 0.35% for the California Intermediate Municipal Bond, Municipal Bond, New York Intermediate Municipal Bond and Short-Term Funds; 0.45% for Foreign Bond Fund; 0.55% for Emerging Markets Bond Fund; and 0.40% for all other Funds. Distribution and Servicing Fees. PIMCO Funds Distributors LLC, ("PFD"), formerly PIMCO Funds Distribution Company, a wholly-owned subsidiary of PIMCO Advisors L.P., serve as the distributor of the Trust's shares. The Trust is permitted to reimburse, out of the Administrative Class assets of each Fund offering Administrative Class shares in an amount up to 0.25% on an annual basis of the average daily net assets of that class, financial intermediaries that provide services in connection with the distribution of shares or administration of plans or programs that use Fund shares as their funding medium. The effective rate paid to PFD was 0.25% during current fiscal year. Pursuant to the Distribution and Serving Plans adopted by the A, B, C and D Classes of the Trust, the Trust compensates PFD or an affiliate with respect to Class D for services provided and expenses incurred in connection with assistance rendered in the sales of shares and services rendered to shareholders and for maintenance of shareholder accounts of the A, B, C, and D Classes. The Trust paid PFD distribution and servicing fees at effective rate as set forth below (calculated as a percentage of each Fund's average daily net assets attributable to each class): Allowable Rate ----------------------------- Distribution Servicing Fee (%) Fee (%) ----------------------------------------------------------------------------- Class A Money Market Fund -- 0.10 All other Funds -- 0.25 Class B All Funds 0.75 0.25 Class C Foreign Bond, High Yield and Total Return Funds 0.75 0.25 Municipal Bond, Real Return Bond Low Duration and StocksPLUS Funds 0.50 0.25 Short-Term Fund 0.30 0.25 Money Market Fund -- 0.10 Class D All Funds -- 0.25 119 Notes to Financial Statements (Cont.) September 30, 2000 (Unaudited) PFD also receives the proceeds of the initial sales charges paid by the shareholders upon the purchase of Class A shares, except for the Money Market Fund, and the contingent deferred sales charges paid by the shareholders upon certain redemptions of A, B and C Class shares. For the period ended September 30, 2000, PFD received $4,781,893 representing commissions (sales charges) and contingent deferred sales charges. Expenses. The Trust is responsible for the following expenses: (i) salaries and other compensation of any of the Trust's executive officers and employees who are not officers, directors, stockholders or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees; (iii) brokerage fees and commissions and other portfolio transaction expenses; (iv) the costs of borrowing money, including interest expense; (v) fees and expenses of the Trustees who are not "interested persons" of PIMCO or the Trust, and any counsel retained exclusively for their benefit; (vi) extraordinary expenses; and (vii) any expenses allocated or allocable to a specific class of shares, which include service fees payable with respect to the Administrative Class shares and may include certain other expenses as permitted by the Trust's Multiple Class Plan adopted pursuant to Rule 18f-3 under the Act and subject to review and approval by the Trustees. The ratio of expenses to average net assets per share class, as disclosed in Financial Highlights, may differ from the annual fund operating expenses per share class as disclosed in the Prospectus for the reasons set forth above. PIMCO has agreed to waive a portion of Convertible, Short Duration Municipal Income, California Intermediate Municipal Bond and New York Municipal Bond Funds administrative fees to the extent that the payment of each Fund's pro rata share of Trustee fees and organizational expenses causes the actual expense ratio to rise above the rates disclosed in the then-current prospectus plus 0.49 basic points as set forth below (calculated as a percentage of each Fund's average daily net assets attributable to each class):
Institutional Administrative Class A Class B Class C Class D ----------------------------------------------------------------------------------------------------- Investment Grade Corporate Bond Fund 0.50% 0.75% -- -- -- -- Convertible Fund 0.65% 0.90% 1.05% 1.80% 1.80% -- Short Duration Municipal Income Fund 0.39% 0.64% -- -- -- 0.80% California Intermediate Municipal Bond Fund 0.49% 0.74% 0.85% -- -- 0.85% New York Municipal Bond Fund 0.49% 0.74% 0.85% -- -- 0.85%
PIMCO may be reimbursed for these waived amounts in the future periods. Each unaffiliated Trustee receives an annual retainer of $45,000, plus $3,000 for each Board of Trustees meeting attended in person and $500 for each meeting attended telephonically, plus reimbursement of related expenses. In addition, each committee chair receives an annual retainer of $1,500. These expenses are allocated to the Funds of the Trust according to their respective net assets. 4. Purchases and Sales of Securities Purchases and sales of securities (excluding short-term investments) for the period ended September 30, 2000 were as follows (amounts in thousands): U.S. Government/Agency All Other --------------------------------------------------- Purchases Sales Purchases Sales -------------------------------------------------------------------------------- California Intermediate Municipal Bond Fund $ 0 $ 0 $ 212,882 $ 135,822 California Municipal Bond Fund 108 0 41,539 33,295 Convertible Fund 0 0 153,607 160,927 Foreign Bond Fund 1,600,643 1,431,459 624,510 574,400 High Yield Fund 0 6,402 474,059 747,037 Low Duration Fund 3,758,313 3,762,409 1,465,574 692,820 Municipal Bond Fund 108 0 83,024 84,009 New York Municipal Bond Fund 0 0 19,752 19,614 Real Return Bond Fund 1,351,736 1,175,196 493,404 43,416 Short Duration Municipal Income Fund 0 0 11,142 8,768 Short-Term Fund 260,278 282,834 406,785 82,275 StocksPLUS Fund 300,346 252,736 514,580 247,174 Strategic Balanced Fund 457,515 496,735 112,546 140,586 Total Return Fund 83,997,342 74,490,752 9,558,193 7,800,637 Total Return Mortgage Fund 65,795 52,731 5,445 1,769 5. Federal Income Tax Matters As March 31, 2000, the Funds listed in the table below had remaining capital loss carryforwards that were realized or acquired in prior years. Use of the acquired capital loss carryforwards may be limited under current tax laws. Additionally, the California Intermediate Municipal Bond, High Yield, Low Duration, Municipal Bond, New York Intermediate Municipal Bond, Real Return, Short Duration Municipal Income, Short-Term, Total Return, and Total Return Mortgage Funds realized capital losses and/or foreign currency losses during the period November 1, 1999 through March 31, 2000 which the Fund elected to defer to the following fiscal year pursuant to income tax regulations. The amounts are $12,205, $43,449,654, $17,470,237, $526,178, $10,244, $342,135, $22,082, $1,382,953, $243,968,849, and $5,145 respectively. Each Fund will resume capital gain distributions in the future to the extent gains are realized in excess of the available carryforwards. Capital Loss Carryforwards -------------------------------------------- Realized Losses Acquired Losses Expiration -------------------------------------------- Foreign Bond Fund $ 10,316,442 $ 0 03/31/2008 High Yield Fund 39,492,722 0 03/31/2008 High Yield Fund 0 48,559,227 03/31/2002 Low Duration Fund 42,174,597 0 03/31/2008 Municipal Bond Fund 391,768 0 03/31/2008 Municipal Bond Fund 5,734 0 03/31/2007 Short Duration Municipal Income Fund 2,501 0 03/31/2008 Short-Term Fund 412,413 0 03/31/2008 Short-Term Fund 109,956 0 03/31/2007 Total Return Fund 750,096,993 0 03/31/2008 Total Return Mortgage Fund 1,080 0 03/31/2008 120 6. Transactions in Written Call and Put Options Transactions in written call and put options were as follows (amounts in thousands):
Foreign Bond Low Duration StocksPLUS Strategic Balanced Total Return Fund Fund Fund Fund Fund ------------------------------------------------------------------------------------ Premium ------------------------------------------------------------------------------------ Balance at 03/31/2000 $ 473 $ 3,873 $ 1,231 $ 692 $ 31,722 Sales 1,602 2,116 6,831 643 57,025 Closing Buys (363) (78) 3,943 (275) (29,554) Expirations (857) (2,092) (9,955) (1,060) (18,184) Exercised 0 0 0 0 (216) ------------------------------------------------------------------------------------ Balance at 09/30/2000 $ 855 $ 3,819 $ 2,050 $ (0) $ 40,793 ====================================================================================
7. Reorganization The Acquiring Fund, as listed below, acquired the assets and certain liabilities of the Acquired Fund, also listed below, in a tax-free exchange for shares of the Acquiring Fund, pursuant to a plan of reorganization approved by the Acquired Fund's shareholders (amounts in thousands):
Value of Total Net Shares Shares Total Net Total Net Assets of Acquired Issued by Issued by Assets of Assets of Acquiring Fund's Acquiring Acquiring Acquired Acquiring Fund After Unrealized Acquiring Fund Acquired Fund Date Fund Fund Fund Fund Acquisition Depreciation ------------------------------------------------------------------------------------------------------------------------------------ PIMCO PIMCO Strategic Balanced Fund Balanced Fund 09/17/1999 5,137 $ 66,780 $ 66,780 $ 105,993 $ 172,774 $ (45)
8. Line of Credit Effective December 30, 1999, the funds, along with certain other funds managed by PIMCO, entered into an unsecured $100,000,000 bank line of credit agreement with State Street Bank & Trust Company. Borrowings under the agreement bear interest at the Fed Funds plus 50 basis points or the Base Rate, which is typically the Prime Rate. The funds may borrow money solely for temporary purposes to fund shareholder redemptions. The funds did not borrow from the line during the period April 1, 2000 through September 30, 2000. 9. Acquisition by Allianz AG On May 5, 2000, Allianz AG completed the acquisition of approximately 70% of the outstanding partnership interest in PIMCO Advisors L.P. ("PIMCO Advisors"), of which PIMCO is a subsidiary partnership. As a result of this transaction, PIMCO Advisors, and its subsidiaries, are now controlled by Allianz AG, a leading provider of financial services, particularly in Europe. PIMCO remains operationally independent, continues to operate under its existing name, and now leads the global fixed-income efforts of Allianz AG. Key employees at each PIMCO Advisors' investment units, including PIMCO's Bill Gross, have signed long-term employment contracts and have significant profit-sharing and retention arrangements to ensure continuity of the investment process and staff. With the addition of PIMCO Advisors, the Allianz Group manages assets of approximately US$650 billion, including more than 300 mutual funds for retail and institutional clients around the world. 121 Notes to Financial Statements (Cont.) September 30, 2000 10. Shares of Beneficial Interest The Trust may issue an unlimited number of shares of beneficial interest with a $.0001 par value. Changes in shares of beneficial interest were as follows (shares and amounts in thousands):
California California Intermediate Municipal Municipal Bond Fund Bond Fund --------------------------------------------- ----------------- Period Ended Period from 01/31/2000 Period Ended 09/30/2000 to 03/31/2000 09/30/2000 Shares Amount Shares Amount Shares Amount --------------------------------------------- ----------------- Receipts for shares sold Class D 2 $ 25 1 $ 10 1 $ 10 Other classes 12,006 120,329 1,075 10,729 1,862 18,629 Shares issued in reorganization Class D 0 0 0 0 0 0 Other classes 0 0 0 0 0 0 Issued as reinvestment of distributions Class D 0 0 0 0 0 0 Other classes 150 1,537 10 103 18 183 Cost of shares redeemed Class D 0 0 0 0 0 0 Other classes (3,409) (34,353) (68) (675) (1,002) (10,286) --------------------------------------------- ---------------- Net increase (decrease) resulting from Fund share transactions 8,749 $ 87,538 1,018 $ 10,167 879 $ 8,536 ============================================= ================= Convertible Fund ---------------------------------------------- Period Ended Period from 01/31/2000 09/30/2000 to 03/31/2000 Shares Amount Shares Amount ---------------------------------------------- Receipts for shares sold Class D 0 $ 0 1 $ 10 Other classes 3,477 51,437 14,353 190,493 Shares issued in reorganization Class D 0 0 0 0 Other classes 0 0 0 0 Issued as reinvestment of distributions Class D 0 0 0 0 Other classes 69 967 145 2,104 Cost of shares redeemed Class D 0 0 0 0 Other classes (4,803) (70,532) (2,824) (42,473) ---------------------------------------------- Net increase (decrease) resulting from Fund share transactions (1,257) $ (18,128) 11,675 $ 150,134 ==============================================
New York Municipal Bond Fund Municipal Bond Fund -------------------------------------- -------------------------------------- Period Ended Year Ended Period Ended Period from 01/31/2000 09/30/2000 03/31/2000 09/30/2000 to 03/31/2000 Shares Amount Shares Amount Shares Amount Shares Amount -------------------------------------- -------------------------------------- Receipts for shares sold Class D 341 $ 3,229 251 $ 2,373 0 $ 0 1 $ 10 Other classes 1,705 16,032 2,204 21,145 0 0 301 3,010 Shares issued in reorganization Class D 0 0 0 0 0 0 0 0 Other classes 0 0 0 0 0 0 0 0 Issued as reinvestment of distributions Class D 2 15 2 18 0 0 0 0 Other classes 88 834 169 1,620 6 67 8 76 Cost of shares redeemed Class D (393) (3,738) (161) (1,512) 0 0 0 0 Other classes (1,448) (13,762) (2,700) (25,741) 0 0 0 0 -------------------------------------- -------------------------------------- Net increase (decrease) resulting from Fund share transactions 295 $ 2,610 (235) $ (2,097) 6 $ 67 310 $ 3,096 -------------------------------------- --------------------------------------
122
Emerging Markets Bond Fund Foreign Bond Fund ---------------------------------------------------- -------------------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2000 03/31/2000 09/30/2000 03/31/2000 Amount Shares Amount Shares Amount Shares Amount Shares ---------------------------------------------------- -------------------------------------------------- 0 $ 0 1 $ 10 573 $ 5,765 785 $ 8,012 3,074 25,335 5,669 43,459 11,284 113,446 24,699 251,525 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 33 335 69 698 226 1,933 234 1,876 1,386 13,931 3,422 34,688 0 0 0 0 (108) (1,084) (662) (6,691) (567) (4,781) (3,278) (25,312) (9,643) (96,870) (32,310) (328,315) ---------------------------------------------------- -------------------------------------------------- 2,733 $ 22,487 2,626 $ 20,033 3,525 $ 35,523 (3,997) $ (40,083) ==================================================== ================================================== High Yield Fund Low Duration Fund ---------------------------------------------------- -------------------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2000 03/31/2000 09/30/2000 03/31/2000 Amount Shares Amount Shares Amount Shares Amount Shares ---------------------------------------------------- -------------------------------------------------- 1,726 $ 17,577 2,194 $ 23,790 396 $ 3,906 968 $ 9,569 59,107 600,585 189,148 2,050,531 148,461 1,455,853 349,686 3,465,383 0 0 0 0 0 0 0 0 0 0 0 0 0 0 102 1,038 142 1,515 42 408 55 544 10,203 103,501 22,334 240,203 12,287 120,618 22,786 225,453 (1,838) (18,733) (835) (8,901) (250) (2,453) (438) (4,329) (76,918) (780,591) (189,837) (2,025,795) (140,222) (1,375,83) (349,184) (3,454,487) ---------------------------------------------------- -------------------------------------------------- (7,618) $ (76,623) 23,146 $ 281,343 20,714 $ 202,497 23,873 $ 242,133 ==================================================== ==================================================
Short Duration Real Return Bond Fund Municipal Income Fund ---------------------------------------------------- -------------------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2000 03/31/2000 09/30/2000 to 03/31/2000 Amount Shares Amount Shares Amount Shares Amount Shares ---------------------------------------------------- -------------------------------------------------- 1,680 $ 16,518 1,714 $ 16,706 0 $ 0 1 $ 10 30,503 296,595 24,213 236,282 214 2,134 1,050 10,500 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 104 898 33 319 0 0 0 0 1,607 13,757 563 5,502 26 263 24 241 (351) (3,480) (197) (1,910) 0 0 0 0 (6,389) (59,268) (1,964) (19,148) (5) (50) 0 0 ---------------------------------------------------- -------------------------------------------------- 27,154 $ 265,020 24,362 $ 237,751 235 $ 2,347 1,075 $ 10,751 ==================================================== ================================================== Short-Term Fund StocksPLUS Fund ---------------------------------------------------- -------------------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2000 03/31/2000 09/30/2000 03/31/2000 Amount Shares Amount Shares Amount Shares Amount Shares ---------------------------------------------------- -------------------------------------------------- 310 $ 3,086 462 $ 4,614 27 $ 366 178 $ 2,553 34,130 339,733 135,826 1,354,008 19,805 271,417 55,051 792,443 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 13 129 20 195 4 52 38 534 1,588 15,806 2,701 26,908 1,569 21,191 17,123 239,951 (116) (1,159) (371) (3,698) (30) (420) (103) (1,416) (37,939) (377,728) (127,382) (1,269,938) (20,696) (283,086) (49,851) (708,774) ---------------------------------------------------- -------------------------------------------------- (2,014) $ (20,133) 11,256 $ 112,089 679 $ 9,520 22,436 $ 325,291 ==================================================== ==================================================
123 Notes to Financial Statements (Cont.) September 30, 2000 10. Shares of Beneficial Interest (Cont.) The Trust may issue an unlimited number of shares of beneficial interest with a $.0001 par value. Changes in shares of beneficial interest were as follows (shares and amounts in thousands):
Strategic Balanced Fund Total Return Fund ------------------------------------------- ---------------------- Period Ended Year Ended Period Ended 09/30/2000 03/31/2000 09/30/2000 Shares Amount Shares Amount Shares Amount ------------------------------------------- ---------------------- Receipts for shares sold Class D 20 $ 251 9 $ 124 6,498 $ 64,841 Other classes 515 6,444 1,650 21,377 667,698 6,657,867 Shares issued in reorganization Class D 0 0 0 0 0 0 Other classes 0 0 5,137 66,780 0 0 Issued as reinvestment of distributions Class D 0 5 1 15 341 3,407 Other classes 203 2,426 715 9,186 86,147 859,979 Cost of shares redeemed Class D (9) (117) (11) (141) (1,486) (14,828) Other classes (6,265) (79,691) (3,062) (39,025) (404,805) (4,027,301) ------------------------------------------- ---------------------- Net increase (decrease) resulting from Fund share transactions (5,536) $ (70,682) 4,439 $ 58,316 354,393 $ 3,543,965 =========================================== ====================== Total Return Fund Total Return Mortgage Fund ------------------------ --------------------------------------------------- Year Ended Period Ended Year Ended 03/31/2000 09/30/2000 03/31/2000 Shares Amount Shares Amount Shares Amount ------------------------ --------------------------------------------------- Receipts for shares sold Class D 7,143 $ 71,612 21 $ 234 18 $ 176 Other classes 1,337,991 3,430,759 1,278 12,558 5 51 Shares issued in reorganization Class D 0 0 0 0 0 0 Other classes 0 0 0 0 0 0 Issued as reinvestment of distributions Class D 332 3,317 1 7 1 5 Other classes 140,752 1,410,633 36 366 24 235 Cost of shares redeemed Class D (2,759) (27,553) (1) (15) (21) (212) Other classes (838,481) (8,391,495) (146) (1,481) (34) (342) ------------------------ --------------------------------------------------- Net increase (decrease) resulting from Fund share transactions 644,982 $ 6,497,273 1,189 $ 11,669 (7) $ (87) ======================== ===================================================
124 PIMCO Funds: Pacific Investment Management Series -------------------------------------------------------------------------------- Manager Pacific Investment Management Company, 840 Newport Center Drive, Suite 300, Newport Beach, CA 92660 -------------------------------------------------------------------------------- Distributor PIMCO Funds Distributors LLC, 2187 Atlantic Street, Stamford, CT 06902 -------------------------------------------------------------------------------- Custodian State Street Bank & Trust Co., 801 Pennsylvania, Kansas City, MO 64105 -------------------------------------------------------------------------------- Shareholder PFPC Global Fund Services, Inc., P.O. Box 9688, Servicing Agent and Providence, RI 02940-9688 Transfer Agent -------------------------------------------------------------------------------- Independent PricewaterhouseCoopers LLP, 1055 Broadway, Kansas City, Accountant MO, 64105 -------------------------------------------------------------------------------- Legal Counsel Dechert Price & Rhoads, 1775 Eye Street, Washington, DC, 20006 -------------------------------------------------------------------------------- For Account For PIMCO Funds account information contact your Information financial advisor, or if you receive account statements directly from PIMCO Funds, you can also call 1-800-426-0107. Telephone representatives are available Monday - Friday 8:30 am to 8:00 pm Eastern Time. For the Best in Online Bond Information, Visit www.pimcofunds.com/bondcenter For comprehensive, up-to-date information on bonds and bond investing, visit the PIMCO Funds Bond Center at www.pimcofunds.com. Rely on the Bond Center to bring you the latest information from PIMCO's world-class team of investment professionals led by PIMCO founder Bill Gross. Highlights include: |_| Investment Outlook--Bill Gross's monthly newsletter on economic and interest rate trends. |_| Manager Commentary--Read insight from PIMCO bond managers on the economy and its impact on their funds. |_| Sector Strategy White Papers--PIMCO Fund managers provide in-depth examinations of fund sectors and discuss strategy. |_|Economic Data Analysis--Timely analysis of recent economic trends and data from PIMCO's point of view. |_| Media Highlights--Stay abreast of PIMCO Fund manager appearances and coverage of our Funds. How to get there To visit the Bond Center, point your browser to www.pimcofunds.com/bondcenter. More inside--for a complete update on the PIMCO Funds Bond Center, turn to page 6. PZ017.9/00 -------------- BULK RATE U.S. POSTAGE [LOGO OF PIMCO FUNDS] PAID SMITHTOWN, NY PERMIT NO. 700 -------------- PIMCO Funds Distributors LLC 2187 Atlantic Street Stamford, CT 06902 [LOGO OF PIMCO FUNDS] PRIVATE ACCOUNT PORTFOLIO SERIES SEMI-ANNUAL REPORT September 30, 2000 The Portfolios issue shares only in private placement transactions in accordance with Regulation D or other applicable exemptions under the Securities Act of 1933, as amended (the "Securities Act"). The enclosed report is not an offer to sell, or a solicitation of any offer to buy, any security to the public within the meaning of the Securities Act. Contents Chairman's Message .............................1 Financial Highlights ..........................10 Statements of Assets and Liabilities ..........12 Statements of Operations ......................14 Statements of Changes in Net Assets ...........16 Statements of Cash Flows ......................18 Notes to Financial Statements .................51 Fund Schedule of Summary Investments Short-Term Portfolio ...........................2 19 U.S. Government Sector Portfolio ...............3 21 Mortgage Portfolio .............................4 25 Real Return Bond Portfolio .....................5 34 Investment Grade Corporate Portfolio ...........6 36 Municipal Sector Portfolio .....................7 40 International Portfolio ........................8 42 Emerging Markets Portfolio .....................9 48 Chairman's Letter Dear PIMCO Funds Shareholder: We are pleased to present you with this semi-annual report for the Private Account Portfolio Series, the separate portfolios of the PIMCO Funds: Pacific Investment Management Series. The Private Account Portfolio Series grew to more than $5.5 billion in assets through the half-year period ended September 30, 2000. In sharp contrast to last year, bonds are outperforming stocks in 2000. For the six-month period ended September 30, 2000, equity indices were in negative territory with the S&P 500 Composite Stock Price Index at -3.60% and the NASDAQ Composite Index at -19.68%. However, the Lehman Brothers Aggregate Bond Index, generally regarded as representative of the bond market as a whole, was up 4.81% for the six-month period ended September 30, 2000. Intermediate maturity Treasuries rallied during the semi-annual period with yields on two, five and ten-year notes falling as much as 0.52%. With yields on 30-year Treasuries remaining virtually unchanged, the long end of the yield curve reverted to a positive slope for the first time since mid-January 2000. However, yields on 3-month Treasuries increased by 0.32% to finish the quarter at 6.20%. The Federal Reserve raised the federal funds rate by 0.50% to 6.50% on May 16, 2000, the highest level in nine years and the sixth rate increase since June 1999. Since then, signs of a cooling economy have allowed the Fed to leave rates unchanged. Optimism grew that the Fed's tightening cycle was over and its next move might be to ease. The potential for a less restrictive Fed boosted demand for two, five and ten-year notes. For much of this year, investors were anxious to buy long-term Treasuries because of concern that buybacks financed by the federal budget surplus would create a scarcity of high quality 30-year bonds. However, support for the 30-year bond eroded during the third quarter, as the major presidential candidates' tax cut and spending plans threatened to consume the surplus. We are pleased to announce the addition of three fixed income portfolios to the Private Account Portfolio Series during the six-month period ended September 30, 2000: the Short-Term, Real Return Bond and Municipal Sector Portfolios. The Portfolios were launched in an effort to further compliment our product offering and broaden the range of investment options available to investors. On the following pages you will find specific details as to each Portfolio's composition and total return investment performance including a discussion of those factors that affected investment performance. We appreciate the trust you have placed in us through your investments, and we will continue to focus our efforts to meet your investment needs. If you have any questions regarding your PIMCO Funds investment, please contact your account manager, or call one of our shareholder associates at 1-800-927-4648. We also invite you to visit our Web site at www.pimco.com. Sincerely, /s/ Brent R. Harris Brent R. Harris Chairman of the Board October 31, 2000 2000 Semi-Annual Report 1 PIMCO Short-Term Portfolio -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with preservation of capital and daily liquidity Portfolio: Primarily money market instruments and short duration fixed income securities Duration: 0.6 years Total Net Assets: $103.7 million -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Sector Breakdown:* [GRAPH] Corporate Bonds & Notes 57.6% Mortgage-Backed Securities 28.3% U.S. Government Agencies 6.8% Asset-Backed Securities 6.1% Other 1.2% Quality Breakdown:* [GRAPH] AAA 41.3% AA 4.0% A 15.5% BBB 39.2% *% of Total Investments as of September 30, 2000 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Portfolio shares, when redeemed, may be worth more or less than their original cost. The Portfolio commenced operations on 4/20/2000. The total return performance since inception was 3.73%. The Portfolio's benchmark is the Salomon 3-Month Treasury Bill Index. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Short-Term Portfolio returned 3.73% since inception through September 30, 2000. . An above-Index duration detracted from returns as short-term Treasury interest rates rose over the period. . An allocation to mortgage-backed securities was positive for performance as mortgages outperformed due to relatively high yields and low market volatility. . The Portfolio's investment-grade corporate holdings enhanced performance as investors sought the relatively wide yield premiums for short maturities. . Emerging market bonds helped returns as yield premiums narrowed due to stronger economies and debt restructuring. 2 PIMCO Funds PIMCO U.S. Government Sector Portfolio -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with prudent investment management Portfolio: Primarily U.S. government securities Duration: 10.6 years Total Net Assets: $735.4 million Sector Breakdown:* [GRAPH] U.S. Treasury Obligations 45.4% U.S. Government Agencies 20.9% Corporate Bonds and Notes 19.8% Asset-Backed Securities 5.8% Other 8.1% Quality Breakdown:* [GRAPH] AAA 76.2% AA 4.9% A 13.4% BBB 5.5% * % of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000 U.S. Government Salomon 3-Month Lehman Brothers Sector Portfolio Treasury Bill Long-Term Government (Incep. 1/31/2000) Index Index -------------------------------------------------------------------------------- 6 Months 5.78% 2.94% 3.94% Since Inception 12.77% -- -- CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2000 $5,000,000 invested at inception
Salomon Lehman Brothers Month U.S. Government 3-Month Treasury Long-Term Government Sector Portfolio Bill Index Index 01/31/2000 5,000,000 5,000,000 5,000,000 02/29/2000 5,135,000 5,021,499 5,146,501 03/31/2000 5,330,522 5,045,100 5,313,765 04/30/2000 5,295,386 5,068,812 5,269,127 05/31/2000 5,290,367 5,093,649 5,246,995 06/30/2000 5,466,324 5,117,588 5,365,576 07/31/2000 5,537,250 5,142,153 5,456,790 08/31/2000 5,668,968 5,167,606 5,583,386 09/30/2000 5,638,655 5,193,444 5,523,085
Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Portfolio shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 2/01/2000, the first full month following the Portfolio's inception date on 1/31/2000, compared to the Salomon 3-Month Treasury Bill Index and the Lehman Brothers Long-Term Government Index, each an unmanaged market index. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The U.S. Government Sector Portfolio's investment objective is to seek maximum total return, consistent with prudent investment management. . The Portfolio normally invests at least 65% of its assets in a portfolio of U.S. government securities of varying maturities, which may be represented by certain derivative instruments. . The U.S. Government Sector Portfolio had a total return of 5.78% for the six-month period ended September 30, 2000. . Emphasis on intermediate maturities during the later part of the performance period helped returns as this portion of the yield curve outperformed. . Premium income generated from written options added modestly to performance despite heightened interest rate volatility. 2000 Semi-Annual Report 3 PIMCO Mortgage Portfolio -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with prudent investment management Portfolio: Primarily mortgage-related fixed income securities Duration: 4.1 years Total Net Assets: $3.6 billion Sector Breakdown:* [GRAPH] Mortgage-Backed Securities 76.1% Asset-Backed Securities 13.9% Corporate Bonds & Notes 6.0% Other 4.0% Quality Breakdown:* [GRAPH] AAA 88.9% AA 3.3% A 4.5% BBB 3.3% * % of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000 Mortgage Salomon 3-Month Lehman Brothers Portfolio Treasury Bill Mortgage (Incep. 1/31/2000) Index Index -------------------------------------------------------------------------------- 6 Months 4.72% 2.94% 5.55% Since Inception 8.08% -- -- CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2000 $5,000,000 invested at inception
Salomon Month Mortgage 3-Month Treasury Lehman Brothers Portfolio Bill Index Mortgage Index 01/31/2000 5,000,000 5,000,000 5,000,000 02/29/2000 5,085,000 5,021,499 5,057,965 03/31/2000 5,160,295 5,045,100 5,113,285 04/30/2000 5,155,266 5,068,812 5,116,793 05/31/2000 5,150,236 5,093,649 5,119,150 06/30/2000 5,251,091 5,117,588 5,228,582 07/31/2000 5,286,605 5,142,153 5,262,165 08/31/2000 5,357,635 5,167,606 5,341,925 09/30/2000 5,403,807 5,193,444 5,397,302
Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Portfolio shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 2/01/2000, the first full month following the Portfolio's inception date on 1/31/2000, compared to the Salomon 3-Month Treasury Bill Index and the Lehman Brothers Mortgage Index, each an unmanaged market index. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The PIMCO Private Account Portfolio Series Mortgage Portfolio returned 4.72% for the six-month period ended September 30, 2000, outperforming the 2.94% return of the Salomon 3-Month Treasury Bill Index. . The Portfolio's holdings of GNMA mortgages hurt performance as GNMA's gave back some of the gains they had generated earlier in the year versus conventional mortgages. . The Portfolio's slightly lowered duration had a negative impact on performance as intermediate rates fell. . A broader maturity distribution hurt returns as issues with long maturity dates significantly underperformed issues with short maturity dates. . The Portfolio's use of Adjustable Rate Mortgages (ARMs) helped performance as they enjoyed high yields and strong investor demand. 4 PIMCO Funds PIMCO Real Return Bond Portfolio -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with prudent investment management Portfolio: Primarily inflation-indexed fixed income securities Duration: 3.4 years Total Net Assets: $140.6 million -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Sector Breakdown:* [GRAPH] U.S. Treasury Obligations 73.4% Corporate Bonds & Notes 17.1% Other 9.5% Quality Breakdown:* [GRAPH] AAA 80.3% AA 9.1% A 5.3% BBB 5.3% * % of Total Investments as of September 30, 2000 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Portfolio shares, when redeemed, may be worth more or less than their original cost. The Portfolio commenced operations on 4/28/2000. The total return performance since inception was 4.22%. The Portfolio may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Real Return Bond Portfolio returned 4.22% from its inception on April 28, 2000 through September 30, 2000. . The Portfolio will normally invest at least 65% of its assets in inflation-indexed debt securities. . The Portfolio's intermediate real yield duration did not affect performance significantly as real yields changed only marginally. . The Portfolio's holdings of intermediate maturities benefited performance as intermediate real yields dropped slightly for the May to September period, while long-maturity real yields rose marginally. . Holdings of intermediate maturities allowed for an increased capture of inflation as intermediate Treasury Inflation Protection Securities (TIPS) have lower real yield durations but receive the same inflation adjustments as long-maturity TIPS. . The use of short duration, high quality cash-backing portfolios and TIPS buy-forwards boosted performance as conventional interest rates declined during the May to September time period. 2000 Semi-Annual Report 5 PIMCO Investment Grade Corporate Portfolio -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with prudent investment management Portfolio: Primarily corporate fixed income securities Duration: 3.9 years Total Net Assets: $506.7 million Sector Breakdown:* [GRAPH] Corporate Bonds and Notes 92.3% Other 7.7% Quality Breakdown:* [GRAPH] AAA 7.4% AA 6.1% A 38.5% BBB 47.8% BB 0.2% * % of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000 Investment Grade Salomon 3-Month Lehman Brothers Corporate Portfolio Treasury Bill Intermediate Credit (Incep. 1/26/2000) Index Index -------------------------------------------------------------------------------- 6 Months 4.41% 2.94% 4.69% Since Inception 6.61% -- -- CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2000 $5,000,000 invested at inception
Investment Grade Salomon Lehman Brothers Month Corporate 3-Month Treasury Intermediate Credit Portfolio Bill Index Index 01/31/2000 5,000,000 5,000,000 5,000,000 02/29/2000 5,060,120 5,021,499 5,040,872 03/31/2000 5,115,509 5,045,100 5,083,626 04/30/2000 5,080,160 5,068,812 5,054,370 05/31/2000 5,090,260 5,093,649 5,052,015 06/30/2000 5,186,549 5,117,588 5,157,097 07/31/2000 5,227,630 5,142,153 5,204,542 08/31/2000 5,294,388 5,167,606 5,271,160 09/30/2000 5,341,134 5,193,444 5,322,291
Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Portfolio shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 2/01/2000, the first full month following the Portfolio's inception date on 1/26/2000, compared to the Salomon 3-Month Treasury Bill Index and the Lehman Brothers Intermediate Credit Index, each an unmanaged market index. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Investment Grade Corporate Portfolio returned 4.41% for the six-month period ended September 30, 2000, compared to 2.94% for the Salomon 3-Month Treasury Bill Index. . An elevated duration had a positive impact on returns during the period as intermediate rates fell. . Reducing consumer cyclicals added to returns as excess capacity and reduced demand caused this sector to underperform. . Holdings of transportation-related companies, especially Equipment Trust Certificates (ETCs), boosted returns as strong demand more-than-offset higher oil prices. . An allocation to high yield bonds was negative amid concern about credit weakness in the sector as growth began to slow. . A small allocation to mortgage-backed securities was neutral as they performed similarly to corporates. 6 PIMCO Funds PIMCO Municipal Sector Portfolio -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with prudent investment management Portfolio: Primarily municipal securities Duration: 4.3 years Total Net Assets: $26.8 million -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION -------------------------------------------------------------------------------- Regional Breakdown:* [GRAPH] Alabama 16.5% Texas 13.7% New York 10.5% California 7.4% Florida 6.8% Mississippi 6.3% Massachusetts 6.2% Kansas 5.3% Other 27.3% Quality Breakdown:* [GRAPH] AAA 62.3% AA 35.1% A 2.6% *% of Total Investments as of September 30, 2000 Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Portfolio shares, when redeemed, may be worth more or less than their original cost. The Portfolio commenced operations on 8/21/2000. The total return performance since inception was -0.70%. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . The Municipal Sector Portfolio commenced operations on August 21, 2000. . The Portfolio will not seek to minimize taxable income and realized capital gains and, as a result, may generate substantial taxable income and capital gains. . The Portfolio will normally invest at least 65% of its assets in debt securities issued by state and local governments or their agencies, authorities or other instrumentalities. . The Portfolio, which can only invest in investment-grade securities, had an average AAA credit quality at September 30, 2000. . At September 30, the Portfolio consisted mostly of longer duration current coupon or discount municipal issues, having attractive risk-adjusted yields compared to similar duration Treasuries. 2000 Semi-Annual Report 7 PIMCO International Portfolio -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with prudent investment management Portfolio: Primarily non-U.S. fixed income securities Duration: 3.5 years Total Net Assets: $1.5 billion Country Allocation:* [GRAPH] United States 49.2% Italy 6.3% Short-Term Instruments 17.7% Other 26.8% Quality Breakdown:* [GRAPH] AAA 61.0% AA 21.4% A 10.6% BBB 7.0% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000
International Salomon Salomon Bros. Lehman Portfolio 3-Month J.P. Morgan World Gov. Brothers (Incep. Treasury Bill Non-U.S. Index Bond Index Aggregate 12/13/1989) Index (Hedged) (Currency Hedged) Bond Index ---------------------------------------------------------------------------------------------- 6 Months 2.84% 2.94% 3.47% 4.34% 4.81% 1 Year 3.60% 5.62% 6.95% 7.86% 6.99% 3 Years* 3.65% 5.15% 7.65% 7.96% 5.93% 5 Years* 8.48% 5.21% 9.61% 9.38% 6.47% 10 Years* 8.37% 4.89% 9.16% 9.45% 8.05% Since Inception* 7.96% -- -- -- --
* Annualized CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2000 $5,000,000 invested at inception
Salomon Bros. Lehman Salomon World Gov. Brothers International 3-Month Treasury J.P. Morgan Non-U.S. Bond Index Aggregate Month Portfolio Bill Index Index (Hedged) (Currency Hedged) Bond Index 12/31/1989 5,000,000 5,000,000 5,000,000 5,000,000 5,000,000 01/31/1990 4,944,945 5,033,000 4,894,002 4,901,150 4,940,584 02/28/1990 4,859,860 5,063,192 4,822,549 4,828,122 4,956,571 03/31/1990 4,924,925 5,097,117 4,826,888 4,825,757 4,960,222 04/30/1990 4,894,711 5,130,239 4,824,957 4,821,703 4,914,778 05/31/1990 4,980,318 5,165,123 4,945,583 4,941,474 5,060,297 06/30/1990 5,060,889 5,198,699 4,971,299 4,967,367 5,141,490 07/31/1990 5,189,338 5,233,007 4,995,162 4,986,841 5,212,613 08/31/1990 5,101,993 5,267,019 4,923,731 4,919,619 5,143,001 09/30/1990 5,096,855 5,299,147 4,900,097 4,892,214 5,185,549 10/31/1990 5,191,047 5,332,008 5,035,831 5,032,474 5,251,385 11/30/1990 5,295,705 5,363,473 5,113,886 5,114,856 5,364,426 12/31/1990 5,353,791 5,398,336 5,164,511 5,165,902 5,448,011 01/31/1991 5,461,621 5,429,107 5,262,640 5,264,004 5,515,358 02/28/1991 5,537,103 5,455,710 5,343,157 5,341,333 5,562,437 03/31/1991 5,493,971 5,484,079 5,351,704 5,344,163 5,600,705 04/30/1991 5,571,350 5,510,402 5,390,773 5,370,404 5,661,380 05/31/1991 5,598,986 5,536,853 5,432,283 5,402,195 5,694,486 06/30/1991 5,576,878 5,562,322 5,392,084 5,372,971 5,691,591 07/31/1991 5,627,372 5,589,022 5,422,820 5,421,916 5,770,519 08/31/1991 5,756,415 5,615,290 5,504,703 5,492,130 5,895,393 09/30/1991 5,868,626 5,639,998 5,585,071 5,581,764 6,014,854 10/31/1991 5,919,955 5,664,813 5,629,192 5,621,505 6,081,823 11/30/1991 5,937,064 5,687,473 5,634,259 5,639,437 6,137,588 12/31/1991 6,117,563 5,708,517 5,727,223 5,739,764 6,319,864 01/31/1992 6,123,555 5,728,497 5,781,061 5,787,804 6,233,887 02/29/1992 6,153,514 5,746,254 5,800,139 5,807,080 6,274,421 03/31/1992 6,096,592 5,765,791 5,758,379 5,774,154 6,239,048 04/30/1992 6,127,014 5,784,243 5,783,140 5,792,167 6,284,114 05/31/1992 6,212,196 5,803,330 5,836,343 5,854,548 6,402,694 06/30/1992 6,193,943 5,820,740 5,828,173 5,878,729 6,490,811 07/31/1992 6,193,943 5,838,203 5,809,522 5,919,996 6,623,238 08/31/1992 6,193,943 5,854,550 5,810,685 5,938,706 6,690,332 09/30/1992 6,298,508 5,869,185 5,890,873 6,036,160 6,769,637 10/31/1992 6,465,397 5,883,857 6,010,455 6,134,909 6,679,884 11/30/1992 6,465,397 5,898,566 6,001,441 6,126,997 6,681,395 12/31/1992 6,545,751 5,914,493 6,069,258 6,189,491 6,787,638 01/31/1993 6,570,432 5,930,462 6,124,490 6,250,890 6,917,800 02/28/1993 6,704,914 5,944,102 6,235,345 6,385,411 7,038,897 03/31/1993 6,743,338 5,958,963 6,239,086 6,365,170 7,068,228 04/30/1993 6,717,722 5,973,263 6,239,709 6,349,320 7,117,447 05/31/1993 6,763,200 5,988,197 6,274,653 6,361,067 7,126,511 06/30/1993 6,912,627 6,003,167 6,402,655 6,470,093 7,255,665 07/31/1993 6,997,086 6,018,776 6,474,365 6,542,559 7,296,702 08/31/1993 7,128,240 6,034,425 6,609,031 6,662,418 7,424,597 09/30/1993 7,141,356 6,049,511 6,637,449 6,720,049 7,444,990 10/31/1993 7,252,837 6,065,240 6,725,728 6,806,806 7,472,810 11/30/1993 7,292,542 6,080,402 6,772,807 6,890,597 7,409,240 12/31/1993 7,480,184 6,096,212 6,913,004 7,003,256 7,449,396 01/31/1994 7,466,522 6,112,061 6,878,440 6,924,050 7,549,975 02/28/1994 7,271,176 6,126,730 6,723,674 6,797,340 7,418,807 03/31/1994 7,184,356 6,143,884 6,662,489 6,746,973 7,235,901 04/30/1994 7,133,711 6,162,315 6,615,184 6,712,023 7,178,122 05/31/1994 6,943,674 6,182,650 6,541,754 6,672,357 7,177,115 06/30/1994 6,768,255 6,203,672 6,475,028 6,606,433 7,161,254 07/31/1994 6,804,801 6,226,004 6,517,762 6,670,382 7,303,499 08/31/1994 6,723,527 6,249,040 6,455,193 6,616,352 7,312,563 09/30/1994 6,686,585 6,272,161 6,461,002 6,626,675 7,204,935 10/31/1994 6,716,139 6,297,877 6,486,200 6,641,718 7,198,515 11/30/1994 6,775,247 6,324,328 6,577,654 6,733,703 7,182,528 12/31/1994 6,768,742 6,353,419 6,562,527 6,742,861 7,232,125 01/31/1995 6,845,010 6,382,645 6,634,060 6,814,943 7,375,252 02/28/1995 6,940,344 6,410,729 6,719,640 6,919,622 7,550,604 03/31/1995 7,092,879 6,442,142 6,856,718 7,113,649 7,596,928 04/30/1995 7,226,348 6,473,064 6,965,740 7,225,046 7,703,046 05/31/1995 7,283,548 6,504,783 7,194,219 7,464,774 8,001,133 06/30/1995 7,216,814 6,535,355 7,170,476 7,457,832 8,059,794 07/31/1995 7,359,816 6,566,724 7,260,826 7,530,545 8,041,793 08/31/1995 7,512,351 6,597,588 7,323,992 7,572,264 8,138,847 09/30/1995 7,579,085 6,627,277 7,439,711 7,709,248 8,218,026 10/31/1995 7,741,153 6,657,763 7,523,038 7,789,499 8,324,899 11/30/1995 8,028,929 6,687,056 7,687,792 7,953,859 8,449,648 12/31/1995 8,172,816 6,717,817 7,759,288 7,998,959 8,568,228 01/31/1996 8,323,303 6,748,047 7,853,176 8,066,389 8,625,126 02/29/1996 8,071,081 6,775,714 7,760,509 7,968,867 8,475,201 03/31/1996 8,162,452 6,804,172 7,824,921 8,061,304 8,416,289 04/30/1996 8,314,737 6,832,069 7,918,820 8,102,659 8,368,958 05/31/1996 8,294,432 6,861,446 7,972,668 8,166,185 8,351,964 06/30/1996 8,406,606 6,890,266 8,038,841 8,226,123 8,464,124 07/31/1996 8,518,966 6,919,893 8,099,132 8,291,523 8,487,286 08/31/1996 8,682,399 6,950,341 8,206,850 8,415,894 8,473,061 09/30/1996 8,938,478 6,980,228 8,381,658 8,563,256 8,620,720 10/31/1996 9,277,524 7,010,940 8,519,953 8,707,033 8,811,682 11/30/1996 9,585,748 7,040,387 8,690,353 8,853,051 8,962,613 12/31/1996 9,541,698 7,070,659 8,702,521 8,847,827 8,879,280 01/31/1997 9,589,950 7,101,064 8,811,304 8,964,175 8,906,470 02/28/1997 9,650,264 7,128,758 8,867,695 9,048,171 8,928,625 03/31/1997 9,456,645 7,160,124 8,820,698 9,022,564 8,829,683 04/30/1997 9,529,482 7,190,913 8,915,963 9,094,113 8,961,858 05/31/1997 9,711,574 7,222,552 8,962,325 9,124,215 9,046,576 06/30/1997 9,917,871 7,252,888 9,114,683 9,267,283 9,153,953 07/31/1997 10,149,939 7,284,075 9,259,609 9,419,453 9,400,806 08/31/1997 10,027,798 7,315,396 9,270,720 9,450,818 9,320,619 09/30/1997 10,224,042 7,346,122 9,434,811 9,590,974 9,458,082 10/31/1997 10,088,868 7,378,443 9,495,192 9,678,635 9,595,292 11/30/1997 10,150,311 7,409,434 9,563,560 9,725,963 9,639,476 12/31/1997 10,134,127 7,441,296 9,687,886 9,834,895 9,736,531 01/31/1998 10,367,431 7,474,038 9,816,715 9,949,568 9,861,531 02/28/1998 10,323,686 7,503,933 9,904,106 10,036,231 9,853,663 03/31/1998 10,542,817 7,536,951 9,992,250 10,126,154 9,887,966 04/30/1998 10,601,551 7,568,601 10,043,212 10,190,861 9,939,577 05/31/1998 10,807,121 7,601,151 10,180,804 10,339,853 10,033,862 06/30/1998 10,940,178 7,632,316 10,224,581 10,368,081 10,118,958 07/31/1998 10,940,178 7,664,371 10,319,668 10,458,180 10,140,483 08/31/1998 10,688,849 7,697,328 10,522,966 10,672,467 10,305,514 09/30/1998 10,956,920 7,728,887 10,772,362 10,936,503 10,546,828 10/31/1998 10,778,275 7,759,803 10,756,203 10,925,894 10,491,062 11/30/1998 10,867,598 7,788,514 10,872,370 11,007,730 10,550,604 12/31/1998 11,270,457 7,817,332 10,859,322 10,902,936 10,582,326 01/31/1999 11,396,384 7,846,256 10,993,977 11,032,464 10,657,855 02/28/1999 11,097,307 7,872,934 10,920,319 10,989,769 10,471,803 03/31/1999 11,144,530 7,902,850 11,050,270 11,138,129 10,529,834 04/30/1999 11,160,271 7,932,091 11,190,608 11,281,477 10,563,192 05/31/1999 10,939,899 7,962,233 11,144,727 11,265,119 10,470,670 06/30/1999 10,924,617 7,991,692 10,971,984 11,083,976 10,437,311 07/31/1999 10,908,762 8,022,861 10,943,457 11,092,288 10,392,875 08/31/1999 10,861,194 8,054,953 10,963,155 11,119,355 10,387,691 09/30/1999 10,988,621 8,086,366 11,004,817 11,187,738 10,508,182 10/31/1999 10,972,649 8,119,521 11,031,228 11,217,050 10,546,954 11/30/1999 10,924,733 8,151,998 11,095,206 11,274,033 10,546,198 12/31/1999 11,003,998 8,187,053 11,128,492 11,335,588 10,495,342 01/31/2000 10,938,693 8,223,076 11,129,607 11,349,079 10,460,977 02/29/2000 10,922,366 8,258,434 11,211,964 11,420,917 10,587,487 03/31/2000 11,069,547 8,297,248 11,375,657 11,565,507 10,726,964 04/30/2000 11,020,203 8,336,244 11,437,085 11,633,048 10,696,249 05/31/2000 11,135,340 8,377,092 11,528,579 11,738,908 10,691,339 06/30/2000 11,250,597 8,416,463 11,583,916 11,841,034 10,913,771 07/31/2000 11,300,305 8,456,863 11,667,320 11,941,686 11,012,840 08/31/2000 11,300,305 8,498,723 11,669,652 11,996,617 11,172,457 09/30/2000 11,383,888 8,541,217 11,770,012 12,067,397 11,242,699
Past performance is not an indication of future results. Investment return and principal value will fluctuate so that Portfolio shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 1/01/1990, the first full month following the Portfolio's inception on 12/13/1989, compared to the Salomon 3-Month Treasury Bill Index, the J.P. Morgan Non-U.S. Index (Hedged), the Salomon Brothers World Government Bond Index (Currency Hedged) and the Lehman Brothers Aggregate Bond Index, each an unmanaged market index. Foreign investing involves potentially higher risks including foreign currency fluctuations and political or economic uncertainty. We will no longer compare the Portfolio to the Salomon Brothers World Government Bond (Currency Hedged) and Lehman Brothers Aggregate Bond Indexes since these indexes are not a comparable International Portfolio index. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . For the six-month period ended September 30, 2000, the International Portfolio posted a return of 2.84%, underperforming the 2.94% return of the Salomon 3-Month Treasury Bill Index. . An exposure to Japan aided returns as yields rose after monetary tightening and Moody's government rating downgrade. . Emphasizing global mortgages was positive as these markets benefited from high yields and low market volatility. . Asset backed bonds helped returns as the sector was supported by light new issuance and minimal delinquencies. . Small allocations to European corporate bonds aided performance due to their relatively attractive yields. . A long euro position was negative as the currency reached record lows versus the U.S. dollar due to continued capital flows into the U.S. . A long Polish zloty position detracted from returns due to increased concern over Poland's deteriorating budget and current account deficits. 8 PIMCO Funds PIMCO Emerging Markets Portfolio -------------------------------------------------------------------------------- FUND CHARACTERISTICS -------------------------------------------------------------------------------- Objective: Maximum total return, consistent with prudent investment management Portfolio: Primarily emerging market fixed income securities Duration: 5.2 years Total Net Assets: $527.8 million Country Allocation:* [GRAPH] Mexico 17.4% South Korea 14.2% Bulgaria 10.1% Poland 9.8% Brazil 8.7% Philippines 5.9% Panama 5.4% Short-Term Instruments 10.3% Other 18.2% Quality Breakdown:* [GRAPH] AAA 3.0% AA 0.3% A 0.5% BBB 52.4% BB 23.7% B 20.1% *% of Total Investments as of September 30, 2000 -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended September 30, 2000 Emerging Lehman Markets Port. Salomon 3-Month J.P. Morgan Brothers (Incep. Treasury Bill Emerging Markets Aggregate Bond 4/03/1998) Index Index Plus Index ------------------------------------------------------------------------------ 6 Months 3.29% 2.94% 5.67% 4.81% 1 Year 11.22% 5.62% 28.02% 6.99% Since Inception* 7.90% -- -- -- * Annualized CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2000 $5,000,000 invested at inception
Salomon Lehman Brothers Month Emerging Markets 3-Month Treasury J.P. Morgan Emerging Aggregate Bond Portfolio Bill Index Markets Plus Index Plus Index 04/30/1998 5,000,000 5,000,000 5,000,000 5,000,000 05/31/1998 4,944,400 5,021,503 4,829,347 5,047,429 06/30/1998 4,891,710 5,042,092 4,689,782 5,090,236 07/31/1998 5,001,037 5,063,268 4,722,141 5,101,064 08/31/1998 4,265,043 5,085,040 3,364,998 5,184,081 09/30/1998 4,536,231 5,105,889 3,694,095 5,305,471 10/31/1998 4,749,812 5,126,313 3,933,103 5,277,419 11/30/1998 5,137,475 5,145,280 4,164,761 5,307,371 12/31/1998 5,122,302 5,164,318 4,060,642 5,323,328 01/31/1999 5,110,595 5,183,426 3,909,994 5,361,322 02/28/1999 5,142,926 5,201,049 3,966,297 5,267,730 03/31/1999 5,296,664 5,220,813 4,266,545 5,296,922 04/30/1999 5,438,686 5,240,131 4,557,951 5,313,703 05/31/1999 5,274,822 5,260,043 4,298,148 5,267,161 06/30/1999 5,334,460 5,279,504 4,490,275 5,250,380 07/31/1999 5,345,462 5,300,095 4,397,324 5,228,027 08/31/1999 5,349,303 5,321,296 4,391,169 5,225,419 09/30/1999 5,457,620 5,342,048 4,544,422 5,286,031 10/31/1999 5,547,013 5,363,951 4,719,835 5,305,534 11/30/1999 5,655,067 5,385,406 4,853,406 5,305,155 12/31/1999 5,752,317 5,408,564 5,115,975 5,279,572 01/31/2000 5,696,409 5,432,362 5,014,681 5,262,285 02/29/2000 5,851,645 5,455,720 5,337,625 5,325,925 03/31/2000 5,876,326 5,481,362 5,505,758 5,396,087 04/30/2000 5,786,748 5,507,124 5,400,599 5,380,636 05/31/2000 5,655,366 5,534,108 5,262,883 5,378,166 06/30/2000 5,882,949 5,560,118 5,529,709 5,490,058 07/31/2000 6,004,247 5,586,807 5,696,708 5,539,894 08/31/2000 6,180,129 5,614,461 5,897,800 5,620,187 09/30/2000 6,069,929 5,642,534 5,817,775 5,655,522
Past performance is not an indication of future results. Investment return and principal value will fluctuate so that Portfolio shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 5/01/1998, the first full month following the Portfolio's inception date on 4/03/1998, compared to the Salomon 3-Month Treasury Bill Index, the J.P. Morgan Emerging Markets Index Plus and the Lehman Brothers Aggregate Bond Index, each an unmanaged market index. The Portfolio may invest in foreign securities which involve potentially higher risks including currency fluctuations and political or economic uncertainty. We will no longer compare the Portfolio to the Lehman Brothers Aggregate Bond Index since the Lehman Brothers Aggregate Bond Index is not a comparable Emerging Markets index. -------------------------------------------------------------------------------- PORTFOLIO INSIGHTS -------------------------------------------------------------------------------- . After a volatile period, emerging markets turned in a strong performance on strong economic and financial conditions, more balanced global growth, and positive liability management. . Despite successful conclusions to the Russian and Ecuadorian debt restructurings, volatility picked up toward the end of the quarter resulting from reduced market appetite for risk and noise on the political front. . Distressed credits, such as Russia and Ecuador, outperformed high quality credits, driving overall sector returns. . The Portfolio outperformed the Salomon 3-Month Treasury Bill Index for the six-month period ended September 30, 2000, returning 3.29% versus 2.94% for the Index. . A modest exposure to Mexico was positive for performance as Mexico benefited from favorable rating actions as a result of improved economic conditions. . Good liability management and further strong economic data supported Brazilian bonds where the Portfolio's holdings added to performance. . An exposure to Bulgaria was negative as market selling and the impact of higher energy prices overshadowed continued economic gains. . The Portfolio's limited holdings in South Korea were negative as the country outperformed on account of strong import growth and high levels of international reserves. 2000 Semi-Annual Report 9 Financial Highlights
Net Asset Net Realized/ Total Dividends Value Unrealized Income from from Net Selected Per Share Data for Beginning Net Investment Gain (Loss) on Investment Investment the Year or Period Ended: of Period Income (Loss) Investments Operations Income --------------- --------------- --------------- --------------- --------------- Short-Term Portfolio 04/20/2000 - 09/30/2000 (b) $ 10.00 $ 0.31 (a) $ 0.06 (a) $ 0.37 $ (0.27) U.S. Government Sector Portfolio 09/30/2000 (b) $ 10.62 $ 0.35 (a) $ 0.26 (a) $ 0.61 $ (0.28) 01/31/2000 - 03/31/2000 10.00 0.12 (a) 0.54 (a) 0.66 (0.04) Mortgage Portfolio 09/30/2000 (b) $ 10.26 $ 0.39 (a) $ 0.09 (a) $ 0.48 $ (0.24) 01/31/2000 - 03/31/2000 10.00 0.12 (a) 0.20 (a) 0.32 (0.06) Real Return Bond Portfolio 04/28/2000 - 09/30/2000 (b) $ 10.00 $ 0.32 (a) $ 0.10 (a) $ 0.42 $ (0.19) Investment Grade Corporate Portfolio 09/30/2000 (b) $ 10.13 $ 0.39 (a) $ 0.05 (a) $ 0.44 $ (0.32) 01/26/2000 - 03/31/2000 10.00 0.14 (a) 0.07 (a) 0.21 (0.08) Municipal Sector Portfolio 08/21/2000 - 09/30/2000 (b) $ 10.00 $ 0.06 (a) $ (0.13) (a) $ (0.07) $ (0.02) International Portfolio 09/30/2000 (b) $ 6.73 $ 0.22 (a) $ (0.03) (a) $ 0.19 $ (0.10) 03/31/2000 7.08 0.39 (a) (0.44) (a) (0.05) (0.30) 03/31/1999 7.18 0.29 (a) 0.11 (a) 0.40 (0.30) 03/31/1998 7.79 0.64 (a) 0.19 (a) 0.83 (0.25) 03/31/1997 8.04 0.84 0.42 1.26 (0.50) 03/31/1996 7.44 0.63 0.49 1.12 (0.39) Emerging Markets Portfolio 09/30/2000 (b) $ 9.84 $ 0.19 (a) $ 0.13 (a) $ 0.32 $ (0.36) 03/31/2000 9.63 0.80 (a) 0.21 (a) 1.01 (0.80) 04/03/1998 - 03/31/1999 10.00 0.87 (a) (0.39) (a) 0.48 (0.85)
+ Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) Unaudited (c) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 0.07%. (d) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 0.10%. (e) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 0.09%. 10 PIMCO Funds
Dividends in Distributions Distributions Excess of Net from Net in Excess of Net Net Asset Investment Realized Realized Capital Total Value End Net Assets End Income Capital Gains Gains Distributions of Period Total Return of Period (000s) ------------- -------------- ---------------- ------------- ---------- ------------ ---------------- $ 0.00 $ 0.00 $ 0.00 $ (0.27) $ 10.10 3.73% $ 103,741 $ 0.00 $ 0.00 $ 0.00 $ (0.28) $ 10.95 5.78% $ 735,369 0.00 0.00 0.00 (0.04) 10.62 6.61 311,652 $ 0.00 $ 0.00 $ 0.00 $ (0.24) $ 10.50 4.72% $3,629,196 0.00 0.00 0.00 (0.06) 10.26 3.21 985,563 $ 0.00 $ 0.00 $ 0.00 $ (0.19) $ 10.23 4.22% $ 140,647 $ 0.00 $ 0.00 $ 0.00 $ (0.32) $ 10.25 4.41% $ 506,713 0.00 0.00 0.00 (0.08) 10.13 2.11 316,279 $ 0.00 $ 0.00 $ 0.00 $ (0.02) $ 9.91 (0.70)% $ 26,753 $ 0.00 $ 0.00 $ 0.00 $ (0.10) $ 6.82 2.84% $1,498,229 0.00 0.00 0.00 (0.30) 6.73 (0.67) 1,142,215 0.00 0.00 (0.20) (0.50) 7.08 5.71 720,025 0.00 (0.24) (0.95) (1.44) 7.18 11.49 730,622 0.00 (1.01) 0.00 (1.51) 7.79 15.86 957,950 (0.13) 0.00 0.00 (0.52) 8.04 15.08 2,271,940 $ 0.00 $ 0.00 $ 0.00 $ (0.36) $ 9.80 3.29% $ 527,832 0.00 0.00 0.00 (0.80) 9.84 10.94 354,371 0.00 0.00 0.00 (0.85) 9.63 5.49 145,530 Ratio of Net Ratio of Investment Expenses to Income (Loss) Average Net to Average Net Portfolio Assets Assets Turnover Rate ----------- -------------- -------------- 1.13%+ 6.75%+ 69% 0.05%+ 6.56%+ 817% 0.05+(e) 6.86+ 283 0.37%+ 7.50%+ 376% 0.05+(c) 7.13+ 156 0.05%+ 7.46%+ 187% 0.05%+ 7.74%+ 70% 0.05+(d) 7.65+ 65 0.05%+ 5.02%+ 28% 0.16%+ 6.56%+ 169% 0.50 5.61 369 0.50 4.04 406 0.51 8.17 255 0.50 7.17 875 0.50 6.09 1046 0.12%+ 9.23%+ 74% 0.85 8.20 159 0.85+ 9.43+ 199
2000 Semi-Annual Report 11 Statements of Assets and Liabilities September 30, 2000 (Unaudited)
Short-Term U.S. Government Mortgage Amounts in thousands, except per share amounts Portfolio Sector Portfolio Portfolio ---------------- ---------------- ---------------- Assets: Investments, at value $ 147,826 $1,188,657 $7,046,317 Cash and foreign currency 195 9,810 39,096 Receivable for investments sold and forward foreign currency contracts 34 98,280 845,398 Receivable for Portfolio shares sold 0 1,500 1,500 Interest and dividends receivable 1,384 12,802 37,216 Variation margin receivable 0 320 0 Manager reimbursement receivable 0 16 16 Other assets 8 1,519 0 ---------------- ---------------- ---------------- 149,447 1,312,904 7,969,543 ---------------- ---------------- ---------------- Liabilities: Payable for investments purchased and forward foreign currency contracts $ 59 $ 20,272 $3,812,032 Payable for financing transactions 10,028 556,481 172,408 Notes Payable 35,495 0 340,700 Written options outstanding 0 1 1,353 Payable for Portfolio shares redeemed 8 750 0 Dividends payable 0 0 0 Accrued investment advisory fee 2 12 58 Accrued administration fee 3 19 87 Accrued distribution fee 0 0 0 Accrued servicing fee 0 0 0 Variation margin payable 4 0 1,113 Other liabilities 107 0 12,596 45,706 577,535 4,340,347 ---------------- ---------------- ---------------- Net Assets $ 103,741 $ 735,369 $3,629,196 ---------------- ---------------- ---------------- Net Assets Consist of: Paid in capital $ 102,715 $ 702,557 $3,557,464 Undistributed (overdistributed) net investment income 385 5,160 21,397 Accumulated undistributed net realized gain (loss) 81 21,154 10,558 Net unrealized appreciation (depreciation) 560 6,498 39,777 ---------------- ---------------- ---------------- $ 103,741 $ 735,369 $3,629,196 ---------------- ---------------- ---------------- Shares Issued and Outstanding: 10,270 67,133 345,653 Net Asset Value and Redemption Price Per Share (Net Assets Per Share Outstanding) $ 10.10 $ 10.95 $ 10.50 Cost of Investments Owned $ 147,111 $1,183,062 $6,990,354 ---------------- ---------------- ---------------- Cost of Foreign Currency Held $ 0 $ 0 $ 0 ---------------- ---------------- ----------------
12 PIMCO Funds
Real Return Investment Grade Municipal International Emerging Markets Bond Portfolio Corporate Portfolio Sector Portfolio Portfolio Portfolio --------------------- --------------------- --------------------- --------------------- --------------------- $ 277,723 $ 508,277 $ 28,467 $ 2,388,199 $ 604,220 42 0 1,293 27,360 1,014 491 3,625 3,582 62,265 34,155 0 0 0 0 0 2,538 8,633 318 19,924 13,174 0 28 0 1 0 0 16 0 0 0 292 0 0 387 3 --------------------- --------------------- --------------------- --------------------- --------------------- 281,086 520,579 33,660 2,498,136 652,566 --------------------- --------------------- --------------------- --------------------- --------------------- $ 4,042 $ 13,785 $ 6,906 $ 431,774 $ 37,049 136,337 0 0 566,831 87,631 0 0 0 0 0 0 0 0 691 0 0 0 0 0 0 0 0 0 0 0 2 8 0 19 9 3 13 1 97 45 0 0 0 0 0 0 0 0 0 0 0 0 0 312 0 55 60 0 183 0 140,439 13,866 6,907 999,907 124,734 --------------------- --------------------- --------------------- --------------------- --------------------- $ 140,647 $ 506,713 $ 26,753 $ 1,498,229 $ 527,832 --------------------- --------------------- --------------------- --------------------- --------------------- $ 139,022 $ 499,116 $ 26,940 $ 1,538,918 $ 526,248 471 3,067 61 36,708 4,620 81 (504) (56) (16,179) 2,689 1,073 5,034 (192) (61,218) (5,725) --------------------- --------------------- --------------------- --------------------- --------------------- $ 140,647 $ 506,713 $ 26,753 $ 1,498,229 $ 527,832 --------------------- --------------------- --------------------- --------------------- --------------------- 13,751 49,436 2,698 219,712 53,867 $ 10.23 $ 10.25 $ 9.91 $ 6.82 $ 9.80 $ 276,646 $ 502,916 $ 28,660 $ 2,456,839 $ 609,662 --------------------- --------------------- --------------------- --------------------- --------------------- $ 5 $ 0 $ 0 $ 26,954 $ 835 --------------------- --------------------- --------------------- --------------------- ---------------------
2000 Semi-Annual Report 13 Statements of Operations For the period ended September 30, 2000 (Unaudited)
Short-Term U.S. Government Mortgage Amounts in thousands Portfolio Sector Portfolio Portfolio ---------- ---------------- --------- Investment Income: Interest $ 3,621 $ 19,026 $ 90,303 Miscellaneous income 0 0 0 ---------- ---------------- --------- Total Income 3,621 19,026 90,303 ---------- ---------------- --------- Expenses: Investment advisory fees 9 58 231 Administration fees 13 86 346 Trustees' fees 0 0 0 Organization costs 8 0 0 Interest expense 498 0 3,647 Total expenses 528 144 4,224 Recoupment of reimbursement/(Reimbursement by manager) (8) 1 6 Net expenses 520 145 4,230 ---------- ---------------- --------- Net Investment Income 3,101 18,881 86,073 ---------- ---------------- --------- Net Realized and Unrealized Gain (Loss): Net realized gain (loss) on investments 81 11,631 13,401 Net realized gain (loss) on futures contracts and written options 0 6,255 (3,026) Net realized gain (loss) on foreign currency transactions 0 0 0 Net change in unrealized appreciation (depreciation) on investments 598 (1,618) 34,474 Net change in unrealized appreciation (depreciation) on future contracts and written options (38) 1,005 (5,088) Net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies 0 0 0 Net Gain (Loss) 641 17,273 39,761 ---------- ---------------- --------- Net Increase (Decrease) in Assets Resulting from Operations $ 3,742 $ 36,154 $ 125,834 ---------- ---------------- ---------
14 Pimco Funds
Investment Grade Emerging Markets Real Return Bond Portfolio Corporate Portfolio Municipal Sector Portfolio International Portfolio Portfolio -------------------------- ------------------- -------------------------- ----------------------- ---------------- $ 2,708 $ 14,802 $ 107 $ 38,880 $ 20,802 0 0 0 19 9 -------------------------- ------------------- -------------------------- ----------------------- ---------------- 2,708 14,802 107 38,899 20,811 -------------------------- ------------------- -------------------------- ----------------------- ---------------- 7 38 0 114 44 10 56 1 571 222 0 0 0 2 1 0 0 0 0 0 0 0 0 231 0 17 94 1 918 267 0 1 0 0 0 17 95 1 918 267 -------------------------- ------------------- -------------------------- ----------------------- ---------------- 2,691 14,707 106 37,981 20,544 -------------------------- ------------------- -------------------------- ----------------------- ---------------- 81 (201) (82) 2,701 3,104 (41) (303) 26 4,341 0 41 0 0 19,925 (244) 1,060 3,805 (192) (34,697) (7,187) 0 (318) 0 (3,689) 0 13 0 0 7,397 (254) 1,154 2,983 (248) (4,022) (4,581) -------------------------- ------------------- -------------------------- ----------------------- ---------------- $ 3,845 $ 17,690 $ (142) $ 33,959 $ 15,963 -------------------------- ------------------- -------------------------- ----------------------- ----------------
2000 Semi-Annual Report 15 Statements of Changes in Net Assets September 30, 2000 (Unaudited)
Short-Term U.S. Government Amounts in thousands Portfolio Sector Portfolio ------------------ ------------------------------------------ Period From Six Months Ended Period From Increase (Decrease) in Net Assets from: April 20, 2000 to September 30, 2000 January 31, 2000 to September 30, 2000 (Unaudited) March 31, 2000 Operations: (Unaudited) Net investment income $ 3,101 $ 18,881 $ 2,590 Net realized gain (loss) 81 17,886 6,051 Net change in unrealized appreciation (depreciation) 560 (613) 7,111 ------------------ ------------------------------------------ Net increase (decrease) resulting from operations 3,742 36,154 15,752 ------------------ ------------------------------------------ Distributions to Shareholders: From net investment income (2,716) (17,873) (1,221) In excess of net investment income 0 0 0 ------------------ ------------------------------------------ Total Distributions (2,716) (17,873) (1,221) ------------------ ------------------------------------------ Portfolio Share Transactions: Receipts for shares sold 99,999 614,003 319,000 Issued as reinvestment of distributions 2,716 17,140 1,221 Cost of shares redeemed 0 (225,707) (23,100) Net increase resulting from Portfolio share transactions 102,715 405,436 297,121 ------------------ ------------------------------------------ Total Increase in Net Assets 103,741 423,717 311,652 ------------------ ------------------------------------------ Net Assets: Beginning of period 0 311,652 0 End of period * $ 103,741 $ 735,369 $ 311,652 ------------------ ------------------------------------------ *Including net undistributed investment income of: $ 385 $ 5,160 $ 4,152 ------------------ ------------------------------------------
16 PIMCO Funds
Real Return Investment Grade Mortgage Portfolio Bond Portfolio Corporate Portfolio -------------------------------------- ------------------ -------------------------------------- Six Months Ended Period From Period From Six Months Ended Period from September 30, 2000 January 31, 2000 April 28, 2000 to September 30, 2000 January 26, 2000 (Unaudited) to March 31, 2000 September 30, 2000 (Unaudited) to March 31, 2000 (Unaudited) $ 86,073 $ 5,716 $ 2,691 $ 14,707 $ 2,702 10,375 1,927 81 (504) 254 29,386 10,391 1,073 3,487 1,547 -------------------------------------- ------------------ -------------------------------------- 125,834 18,034 3,845 17,690 4,503 -------------------------------------- ------------------ -------------------------------------- (68,996) (3,140) (2,220) (13,128) (1,468) 0 0 0 0 0 -------------------------------------- ------------------ -------------------------------------- (68,996) (3,140) (2,220) (13,128) (1,468) -------------------------------------- ------------------ -------------------------------------- 3,043,727 967,529 144,974 369,851 362,126 63,728 3,140 1,623 12,060 1,468 (520,660) 0 (7,575) (196,039) (50,350) 2,586,795 970,669 139,022 185,872 313,244 -------------------------------------- ------------------ -------------------------------------- 2,643,633 985,563 140,647 190,434 316,279 -------------------------------------- ------------------ -------------------------------------- 985,563 0 0 316,279 0 $ 3,629,196 $ 985,563 $ 140,647 $ 506,713 $ 316,279 $ 21,397 $ 4,320 $ 471 $ 3,067 $ 1,488 Municipal Sector Portfolio International Portfolio Emerging Markets Portfolio ------------------ ----------------------------------- ----------------------------------- Period From Six Months Ended Year Ended Six Months Ended Year Ended August 21, 2000 to September 30, 2000 March 31, 2000 September 30, 2000 March 31, 2000 September 30, 2000 (Unaudited) (Unaudited) (Unaudited) $ 106 $ 37,981 $ 51,425 $ 20,544 $ 20,454 (56) 26,967 (33,794) 2,860 8,157 (192) (30,989) (22,139) (7,441) (1,382) (142) 33,959 (4,508) 15,963 27,229 ------------------ ----------------------------------- ----------------------------------- (45) (17,110) (43,147) (17,458) (20,428) 0 0 0 0 (22) (45) (17,110) (43,147) (17,458) (20,450) ------------------ ----------------------------------- ----------------------------------- 26,914 396,979 679,200 210,625 226,178 26 16,304 41,675 16,671 19,552 0 (74,118) (251,030) (52,340) (43,668) 26,940 339,165 469,845 174,956 202,062 26,753 356,014 422,190 173,461 208,841 ------------------ ----------------------------------- ----------------------------------- 0 1,142,215 720,025 354,371 145,530 $ 26,753 $ 1,498,229 $ 1,142,215 $ 527,832 $ 354,371 $ 61 $ 36,708 $ 15,837 $ 4,620 $ 1,534
2000 Semi-Annual Report 17 Statements of Cash Flows
U.S. Government Real Return Amounts in thousands Sector Portfolio Bond Portfolio International Portfolio ---------------- -------------- ----------------------- Increase (Decrease) in Cash and Foreign Currency from: Financing Activities Sales of Portfolio shares $ 612,503 $ 144,974 $ 402,179 Redemptions of Portfolio shares (231,857) (7,575) (75,118) Cash distributions paid (733) (597) (806) Increase (decrease) from financing transactions 422,572 136,337 60,548 Net increase (decrease) from financing activities 802,485 273,139 386,803 Operating Activities Purchases of long-term securities and foreign currency (6,853,434) (481,534) (2,601,876) Proceeds from sales of long-term securities and foreign currency 6,034,592 218,057 2,460,868 Purchases of short-term securities (net) 10,028 (9,320) (283,405) Net investment income 18,881 2,691 37,980 Change in other receivables/payables (net) (2,742) (2,991) (1,633) Net increase (decrease) from operating activities (792,675) (273,097) (388,066) ---------------- -------------- ----------------------- Net Increase in Cash and Foreign Currency 9,810 42 (1,263) ---------------- -------------- ----------------------- Cash and Foreign Currency Beginning of period 0 0 28,623 End of period $ 9,810 $ 42 $ 27,360 ---------------- -------------- -----------------------
18 PIMCO Funds Schedule of Investments Short Term Portfolio September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 82.1% -------------------------------------------------------------------------------- Banking & Finance 24.2% Export-Import Bank Korea 6.500% due 02/10/2002 $ 1,000 $ 985 First Chicago Corp. 10.250% due 05/01/2001 1,000 1,017 Ford Motor Credit Corp. 6.780% due 08/27/2001 (d) 2,400 2,400 Heller Financial, Inc. 6.500% due 07/22/2002 1,000 989 Industrial Bank of Korea 7.100% due 10/15/2001 1,500 1,470 Korea Development Bank 7.125% due 09/17/2001 400 399 MBNA Corp. 7.220% due 02/09/2001 (d) 2,600 2,603 MFN Financial Corp. 6.980% due 09/13/2001 (d) 1,515 1,516 Nacional Financiera 7.975% due 05/08/2003 2,500 2,539 National Consumer Coop Bank 7.513% due 10/26/2001 (d) 4,900 4,901 PaineWebber 6.585% due 07/23/2001 400 399 PS Colorado Credit Corp. 7.330% due 05/30/2002 (d) 1,900 1,899 Qwest Capital Funding, Inc. 6.875% due 08/15/2001 4,000 3,997 ------------ 25,114 ============ Industrials 29.5% Cemex SA 8.625% due 07/18/2003 1,500 1,519 Clear Channel Communications, Inc. 7.210% due 06/15/2002 (d) 4,000 4,009 Enron Corp. 6.580% due 09/10/2001 (d) 1,000 1,000 ICI Wilmington 9.500% due 11/15/2000 4,000 4,006 J Seagram & Sons 6.250% due 12/15/2001 2,000 1,978 Kroger Co. 6.340% due 06/01/2001 4,450 4,416 Lockheed Martin Corp. 6.850% due 05/15/2001 3,000 2,989 Meridan Co. 6.408% due 07/18/2002 (d) 100 100 Norfolk Southern Corp. 6.875% due 05/01/2001 900 898 Philip Morris Cos., Inc. 9.000% due 01/01/2001 900 903 Raytheon Co. 5.950% due 03/15/2001 2,000 1,986 Staples, Inc. 7.670% due 11/26/2001 (d) 2,000 2,000 Temple-Inland, Inc. 9.000% due 05/01/2001 400 403 Tyco International Group SA 6.125% due 06/15/2001 4,000 3,964 Viacom, Inc. 8.875% due 06/01/2001 465 469 ------------ 30,640 ============ Utilities 28.4% Appalachian Power Co. 7.160% due 06/27/2001 (d) 5,000 5,001 Carolina Power & Light Co. 7.232% due 07/29/2002 (d) 4,900 4,919 Commonwealth Edison Co. 7.160% due 09/30/2002 (d) 2,000 2,000 Deutsche Telekom AG 7.750% due 06/15/2005 5,000 5,123 Indiana Michigan Power Co. 7.245% due 09/03/2002 (d) 3,900 3,900 Nabors Industries, Inc. 0.010% due 06/20/2020 3,000 2,093 Public Service Enterprise Group, Inc. 7.038% due 11/22/2000 (d) 900 900 Scana Corp. 7.393% due 07/15/2002 (d) 4,900 4,907 Williams Cos., Inc. 6.125% due 02/01/2001 595 593 ------------ 29,436 ------------ Total Corporate Bonds & Notes 85,190 (Cost $84,673) ============ -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 9.7% -------------------------------------------------------------------------------- Federal Home Loan Bank 6.750% due 02/01/2002 (g) 10,000 10,036 ------------ Total U.S. Government Agencies 10,036 (Cost $10,012) ============ -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 0.1% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (e) 3.625% due 07/15/2002 (b) 108 108 ------------ Total U.S. Treasury Obligations 108 (Cost $108) ============ -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 40.3% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 25.4% Chase Mortgage Finance Corp. 6.500% due 06/25/2028 2,972 2,944 Federal Home Loan Mortgage Corp. 8.000% due 04/15/2003 135 135 6.000% due 07/15/2006 4,953 4,919 7.250% due 06/15/2007 1,480 1,484 7.250% due 09/15/2023 3,101 3,097 Federal National Mortgage Assn 6.500% due 10/25/2007 247 245 6.150% due 10/25/2007 41 41 6.856% due 06/25/2008 (d) 179 179 6.000% due 06/25/2019 993 978 7.000% due 12/25/2019 4,488 4,474 7.150% due 08/25/2020 112 112 7.000% due 01/18/2023 7,355 7,337 7.250% due 04/18/2024 51 51 Residential Asset Securitization Corp. 7.250% due 12/25/2027 409 407 ------------ 26,403 ============ Federal Home Loan Mortgage Corporation 8.4% 6.500% due 08/01/2002 8,804 8,732 ------------ Federal National Mortgage Association 6.5% 6.000% due 08/01/2001 65 64 7.000% due 05/01/2001-02/20/2030 (d)(h) 6,631 6,653 ------------ 6,717 ------------ Total Mortgage-Backed Securities 41,852 (Cost $41,770) ============ -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 8.7% -------------------------------------------------------------------------------- Capital Asset Research Funding LP 6.400% due 12/15/2004 4,687 4,736 EQCC Home Equity Loan Trust 8.340% due 08/15/2025 3,900 3,935 Premier Auto Trust 6.350% due 04/06/2002 324 324 ------------ Total Asset-Backed Securities 8,995 (Cost $8,901) ============ -------------------------------------------------------------------------------- SOVEREIGN ISSUES 1.0% -------------------------------------------------------------------------------- Republic of Panama 7.125% due 09/20/2001 1,000 991 ------------ Total Sovereign Issues 991 (Cost $993) ============ 2000 Semi-Annual Report 19 Schedule of Investments (Cont.) Short Term Portfolio September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 0.6% -------------------------------------------------------------------------------- Commercial Paper 0.4% Coca-Cola Co. 6.480% due 12/13/2000 $ 400 $ 395 ------------ Repurchase Agreement 0.2% State Street Bank 5.850% due 10/02/2000 259 259 (Dated 9/29/2000. Collateralized by Federal Home Loan Mortgage Corp. 7.050% due 09/19/2003 valued at $265. Repurchase proceeds are $259.) ------------ Total Short-Term Instruments 654 (Cost $654) ============ Total Investments (a) 142.5% $ 147,826 (Cost $147,111) Other Assets and Liabilities (Net) (42.5%) (44,085) ------------ Net Assets 100.0% $ 103,741 ============ Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 749 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (34) ------------ Unrealized appreciation-net $ 715 ============ (b) Securities with an aggregate market value of $108 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: # of Unrealized Type Contracts (Depreciation) -------------------------------------------------------------------------------- Eurodollar September Futures (09/2001) 26 $ (38) ------------ (c) Reverse repurchase agreements were entered into on various days paying various interest rates. The following securities were segregated with collateral for reverse repurchase agreements: Type Maturity Value -------------------------------------------------------------------------------- Entered into on September 18, 2000 paying interest at 6.570% Federal National Mortgage Assn. 7.000% 12/25/2019 $ 4,474 Entered into on September 21, 2000 paying interest at 6.570% Federal Home Loan Mortgage Corp. 7.250% 06/15/2007 1,484 Entered into on September 25, 2000 paying interest at 6.520% Government National Mortgage Assn. 7.000% 02/20/2030 6,572 Entered into on September 26, 2000 paying interest at 6.580% Federal National Mortgage Assn. 7.000% 01/18/2023 7,337 Federal Home Loan Mortgage Corp. 6.500% 08/01/2002 8,732 Federal Home Loan Mortgage Corp. 7.250% 09/15/2023 3,097 Federal Home Loan Mortgage Corp. 6.000% 07/15/2006 4,919 ------------ $ 36,615 ============ (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Principal amount of the security is adjusted for inflation. (f) Swap agreements outstanding at September 30, 2000: Notional Unrealized Type Amount (Depreciation) -------------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR plus 0.470% and pay a fixed rate equal to 7.750%. Broker: Morgan Stanley Exp. 06/15/2005 $ 5,000 $ (107) Receive floating rate based on 3-month LIBOR plus 1.000% and pay to the counterparty the notional amount of $3,000 in exchange for shares of Nabors Industries, Inc. due 6/20/2020 when the convertible debentures mature. Broker: Morgan Stanley Exp. 06/20/2003 $ 1,825 (1) ------------ $ (108) ============ (g) Subject to financing transaction. (h) Securities are grouped by coupon or range of coupons and represent a range of maturities. 20 PIMCO Funds See accompanying notes Schedule of Investments U.S. Government Sector Portfolio September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 32.0% -------------------------------------------------------------------------------- Banking & Finance 16.9% AESOP Funding II LLC 6.220% due 10/20/2001 $ 942 $ 942 AT&T Capital Corp. 6.310% due 04/23/2002 (d) 1,000 1,003 Bank One Corp. 9.798% due 05/07/2002 (d) 2,400 2,402 Bear Stearns Co., Inc. 7.125% due 03/28/2003 (d) 7,000 7,000 6.530% due 06/01/2004 (d) 2,000 2,014 Beneficial Corp. 7.030% due 03/01/2002 (d) 5,000 5,008 Bombardier Capital, Inc. 7.210% due 06/09/2032 (d) 2,500 2,478 Caterpillar Finance 6.771% due 02/12/2001 (d) 7,000 7,002 Chase Manhattan Corp. 6.440% due 05/15/2001 (d) 3,500 3,498 Donaldson, Lufkin & Jenrette, Inc. 7.250% due 07/18/2003 (d) 3,000 3,008 Ford Motor Credit Corp. 6.806% due 02/13/2003 (d) 3,000 2,996 6.850% due 03/17/2003 (d) 5,000 4,994 7.110% due 06/02/2003 (d) 1,900 1,902 7.051% due 06/20/2003 (d) 15,000 15,010 7.083% due 07/19/2004 (d) 1,800 1,802 7.173% due 07/18/2005 (d) 6,300 6,311 General Motors Acceptance Corp. 6.913% due 08/06/2001 (d) 3,500 3,506 6.950% due 03/10/2003 (d) 2,800 2,798 7.015% due 07/21/2003 (d) 4,900 4,894 6.251% due 04/05/2004 (d) 800 799 Goldman Sachs Group 6.923% due 12/07/2001 (d) 8,000 8,018 Household Bank 6.227% due 10/22/2003 (d) 3,000 2,990 Lehman Brothers Holdings, Inc. 6.690% due 04/04/2003 (d) 2,100 2,101 MBNA America Bank NA 6.290% due 04/25/2002 (d) 800 798 7.038% due 11/19/2003 (d) 1,600 1,584 Meridian Funding Co. LLC 6.762% due 07/30/2004 (d) 2,300 2,300 Merrill Lynch & Co. 6.791% due 11/01/2001 (d) 4,000 4,004 Morgan Stanley, Dean Witter, Discover and Co. 6.837% due 01/28/2002 (d) 2,600 2,604 6.990% due 04/22/2004 (d) 5,800 5,807 National Australia Bank Ltd. 7.315% due 05/19/2010 (d) 2,500 2,523 Orix Credit Alliance 6.785% due 04/16/2001 4,750 4,743 PaineWebber 7.260% due 11/27/2000 (d) 1,600 1,600 Protective Life Funding Trust 7.090% due 01/17/2003 (d) 1,500 1,498 Qwest Capital Funding, Inc. 6.875% due 08/15/2001 4,000 3,997 ------------ 123,934 ============ Industrials 7.9% Clear Channel Communications, Inc. 7.327% due 06/15/2002 (d) 5,000 5,012 Cox Enterprises, Inc. 7.611% due 05/01/2033 (d) 2,000 1,999 DaimlerChrysler Holdings 7.001% due 08/16/2004 (d) 7,000 7,012 International Paper Co. 7.670% due 07/08/2002 (d) 1,500 1,504 Kroger Co. 7.661% due 10/01/2010 (d) 2,000 2,004 TCI Communications, Inc. 7.260% due 03/12/2001 (d) 1,500 1,501 TRW, Inc. 7.090% due 03/25/2002 (d) 9,000 8,993 Tyco International Group SA 7.568% due 03/05/2001 (d) 3,500 3,504 Vodafone AirTouch PLC 6.961% due 12/19/2001 (d) 26,800 26,836 ------------ 58,365 ============ Utilities 7.2% Arizona Public Service 7.440% due 11/15/2001 (d) 1,500 1,500 Central Power & Light Co. 7.268% due 02/22/2002 (d) 2,000 1,999 Deutsche Telekom AG 7.750% due 06/15/2005 10,000 10,247 Hughes Electric 7.560% due 10/23/2000 (d) 3,800 3,801 Kentucky Power Co. 7.270% due 11/02/2000 (d) 1,200 1,200 Nabors Industries, Inc. 0.010% due 06/20/2020 10,000 6,975 Public Service Enterprise Group, Inc. 7.138% due 11/22/2000 (d) 2,500 2,500 Scana Corp. 7.393% due 07/15/2002 (d) 2,900 2,904 System Energy Resources 7.380% due 10/01/2000 1,100 1,100 Texas Utilities Co. 7.315% due 06/25/2001 (d) 11,500 11,492 7.697% due 09/24/2001 (d) 7,100 7,138 WorldCom, Inc. 7.050% due 11/26/2001 (d) 2,000 2,002 ------------ 52,858 ------------ Total Corporate Bonds & Notes 235,157 (Cost $233,767) ============ -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 33.7% -------------------------------------------------------------------------------- Federal Home Loan Bank 6.750% due 02/01/2002 35,000 35,126 5.950% due 12/10/2008 400 372 0.000% due 01/28/2019 7,900 1,900 Federal Home Loan Mortgage Corp. 6.250% due 08/05/2008 500 474 6.000% due 12/29/2008 250 233 6.875% due 09/15/2010 (h) 20,000 20,158 6.450% due 12/09/2013 1,000 912 6.750% due 09/15/2029 28,000 27,667 Federal National Mortgage Assn. 7.000% due 07/15/2005 (h) 80,000 81,471 6.480% due 03/26/2008 500 482 6.500% due 03/12/2009 44,900 43,133 6.625% due 09/15/2009 25,600 25,409 6.810% due 08/05/2013 500 475 Tennessee Valley Authority 7.125% due 05/01/2030 10,000 10,250 ------------ Total U.S. Government Agencies 248,062 (Cost $244,469) ============ -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 73.3% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (f) 3.625% due 07/15/2002 (b) 89,466 89,438 3.375% due 01/15/2007 5,447 5,268 U.S. Treasury Bonds 9.875% due 11/15/2015 (h) 37,800 51,692 8.750% due 08/15/2020 (h) 54,000 70,149 7.125% due 02/15/2023 (h) 30,500 34,265 6.250% due 08/15/2023 4,600 4,686 6.000% due 02/15/2026 (h) 74,800 74,122 5.500% due 08/15/2028 10,000 9,284 6.250% due 05/15/2030 21,550 22,661 U.S. Treasury Notes 4.250% due 11/15/2003 21,250 20,112 6.750% due 05/15/2005 50,000 51,609 5.750% due 08/15/2010 (h) 40,000 40,088 2000 Semi-Annual Report See accompanying notes 21 Schedule of Investments (Cont.) U.S. Government Sector Portfolio September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- U.S. Treasury Strips 0.000% due 08/15/2003 $ 11,200 $ 9,452 0.000% due 05/15/2004 2,100 1,700 0.000% due 02/15/2006 7,800 5,670 0.000% due 05/15/2006 13,500 9,663 0.000% due 05/15/2013 20,700 9,626 0.000% due 02/15/2015 3,500 1,458 0.000% due 05/15/2015 37,300 15,320 0.000% due 02/15/2019 16,600 5,437 0.000% due 08/15/2020 2,400 720 0.000% due 11/15/2024 25,000 5,937 0.000% due 02/15/2026 3,500 779 ------------ Total U.S. Treasury Obligations 539,136 (Cost $539,383) ============ -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 7.1% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 2.5% Federal Home Loan Mortgage Corp. 6.500% due 10/15/2016 5,549 5,521 6.000% due 12/15/2028 10,916 8,384 6.000% due 05/15/2029 108 87 Federal National Mortgage Association 7.000% due 01/25/2020 1,096 1,091 Merrill Lynch Mortgage Investors, Inc. 6.210% due 03/20/2017 1,047 1,043 Residential Asset Securitization Trust 7.750% due 07/25/2027 862 858 Sears Mortgage Securities 6.410% due 07/25/2019 1,809 1,736 ------------ 18,720 ============ Federal National Mortgage Association 0.4% 6.972% due 01/01/2029 (d) 2,286 2,256 7.343% due 12/01/2022 (d) 453 466 ------------ 2,722 ============ Government National Mortgage Association 4.2% 6.375% due 04/20/2023-05/20/2024 (d)(e) 10,637 10,718 6.750% due 07/20/2025-08/20/2026 (d)(e) 3,416 3,447 7.000% due 05/20/2030 (d) 9,894 9,915 7.125% due 10/20/2023-10/20/2024 (d)(e) 2,502 2,521 7.375% due 02/20/2024-02/20/2026 (d)(e) 4,403 4,436 ------------ 31,037 ------------ Total Mortgage-Backed Securities 52,479 (Cost $52,710) ============ -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES 9.5% -------------------------------------------------------------------------------- Advanta Revolving Home Equity Loan Trust 6.990% due 01/25/2024 (d) 1,831 1,837 AFC Home Equity Loan Trust 6.951% due 06/25/2030 (d) 19,363 19,400 Contimortgage Home Equity Loan Trust 6.828% due 08/15/2028 (d) 100 100 Empire Funding Home Loan Owner Trust 6.860% due 04/25/2016 9,490 9,421 EQCC Home Equity Loan Trust 8.340% due 08/15/2025 4,000 4,036 Household Consumer Loan Trust 7.038% due 08/15/2006 (d) 2,078 2,072 Metris Master Trust 7.270% due 04/20/2006 (d) 1,700 1,708 NPF XII, Inc. 7.337% due 11/01/2003 (d) 10,000 10,000 PacificAmerica Home Equity Loan 6.821% due 06/26/2028 (d) 946 945 Residential Asset Securities Corp. 6.960% due 07/25/2014 3,776 3,762 7.615% due 01/25/2015 3,079 3,077 Signet HELOC Trust 6.838% due 06/20/2004 (d) 2,012 2,015 Student Loan Marketing Assn. 6.781% due 01/25/2007 (d) 1,169 1,169 6.751% due 04/25/2007 (d) 4,252 4,238 The Money Store Home Equity Trust 6.798% due 06/15/2029 (d) 4,674 4,677 WMC Mortgage Loan 6.790% due 06/20/2028 (d) 1,022 1,020 ------------ Total Asset-Backed Securities 69,477 (Cost $69,390) ============ -------------------------------------------------------------------------------- PURCHASED CALL OPTIONS 0.6% -------------------------------------------------------------------------------- Interest Rate Swap (OTC) Strike @ 7.000% Exp. 08/12/2010 100,000 4,683 ------------ Total Purchased Call Options 4,683 (Cost $3,671) ============ -------------------------------------------------------------------------------- PURCHASED PUT OPTIONS 0.0% -------------------------------------------------------------------------------- Eurodollar December Futures (CME) Strike @ 90.75 Exp. 12/18/2000 400,000 6 U.S. Treasury Note December Futures (CBOT) Strike @ 91.00 Exp. 11/18/2000 95,000 17 ------------ Total Purchased Put Options 23 (Cost $32) ============ -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 5.4% -------------------------------------------------------------------------------- Commercial Paper 5.4% American Electric Power, Inc. 6.700% due 10/18/2000 600 598 AT&T Corp. 6.470% due 11/29/2000 200 198 Conagra, Inc. 6.670% due 10/18/2000 900 897 6.670% due 11/15/2000 5,300 5,257 Detroit Edison Co. 7.017% due 01/29/2001 2,800 2,797 Dominion Resources, Inc. 6.710% due 10/18/2000 5,700 5,683 Edison Mission Midwest Holdings 6.720% due 10/18/2000 3,300 3,290 Ingersoll-Rand Co. 6.700% due 11/01/2000 900 895 International Paper Co. 6.700% due 10/10/2000 1,200 1,198 6.720% due 11/17/2000 3,300 3,272 Sprint Capital Corp. 6.720% due 11/08/2000 3,600 3,575 Sumitomo Corporation of America 6.700% due 10/18/2000 200 199 UBS AG 6.680% due 10/02/2000 10,000 10,000 Williams Cos., Inc. 7.231% due 04/10/2001 1,600 1,600 ------------ 39,459 ============ U.S. Treasury Bills (b) 0.0% 5.940% due 02/01/2001 185 181 ------------ Total Short-Term Instruments 39,640 (Cost $39,640) ============ Total Investments (a) 161.6% $1,188,657 (Cost $1,183,062) Written Options (c) (0.0%) (1) (Premiums $7) Other Assets and Liabilities (Net) (61.6%) (453,287) ------------ Net Assets 100.0% $ 735,369 ============ 22 PIMCO Funds See accompanying notes -------------------------------------------------------------------------------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 7,883 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (2,288) ------------ Unrealized appreciation-net $ 5,595 ============ (b) Securities with an aggregate market value of $13,214 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: Unrealized # of Appreciation/ Type Contracts (Depreciation) -------------------------------------------------------------------------------- U.S. Treasury 10 Year Note (12/2000) 1,628 $ 104 U.S. Treasury 30 Year Note (12/2000) 1,040 (414) Municipal Bond (12/2000) 54 (69) ------------ $ (379) ============ (c) Premiums received on written options: # of Type Contracts Premium Value -------------------------------------------------------------------------------- Call - CBOT U.S. Treasury Bond December Futures Strike @ 106.00 Exp.11/18/2000 50 $ 7 $ 1 ------------------- (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Securities are grouped by coupon or range of coupons and represent a range of maturities. (f) Principal amount of the security is adjusted for inflation. (g) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount (Depreciation) -------------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR plus 0.470% and pay a fixed rate equal to 7.750%. Broker: Morgan Stanley Exp. 06/15/2005 $ 10,000 $ (215) Receive floating rate based on 3-month LIBOR plus 1.000% and pay to the counterparty the notional amount of $10,000 in exchange for shares of Nabors Industries, Inc. due 6/20/2020 when the convertible debentures mature. Broker: Morgan Stanley Exp. 06/20/2003 6,084 (2) Receive a fixed rate equal to 7.415% and pay floating rate based on 3-month LIBOR. Broker: Deutsche Bank AG New York Exp. 05/03/2010 6,200 231 Receive a fixed rate equal to 8.000% and pay floating rate equal to 3-month LIBOR. Broker: J.P. Morgan Exp. 09/15/2010 24,500 1,433 Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 8.000%. Broker: Goldman Sachs Exp. 09/15/2010 5,000 (282) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 8.000%. Broker: Morgan Stanley Exp. 09/15/2010 1,500 (61) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 8.000%. Broker: Goldman Sachs Exp. 09/15/2010 2,000 (72) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 8.000%. Broker: Morgan Stanley Exp. 09/15/2010 2,500 (76) Receive fixed rate equal to 8.000% and pay floating rate based on 3-month LIBOR. Broker: Lehman Brothers Exp. 09/15/2010 2,500 94 Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 7.000%. Broker: Morgan Stanley Exp. 09/15/2010 2,500 (50) Receive a fixed rate equal to 7.317% and pay floating rate based on 3-month LIBOR. Broker: Morgan Stanley Exp. 11/15/2003 21,250 279 ------------ $ 1,279 ============ 2000 Semi-Annual Report See accompanying notes 23 Schedule of Investments (Cont.) U.S. Government Sector Portfolio September 30, 2000 (Unaudited) Fixed Unrealized Rate Notional Appreciation/ Type (%) Amount (Depreciation) -------------------------------------------------------------------------------- Receive the 5-year Swap Spread and pay a fixed spread. The 5-year Swap Spread is the difference between the 5-year Swap Rate and the 5-year Treasury Rate. Broker: Lehman Brothers Exp. 04/10/2005 0.950 $ 27,000 $ (37) Receive On-The-Run 10-year Swap Spread and pay a fixed spread. The On-The-Run 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Bank of America Exp. 06/17/2002 1.310 53,750 (511) Receive the 10-year Swap Spread and pay a fixed spread. The 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Morgan Stanley Exp. 06/29/2015 1.3367 20,000 (217) Receive a fixed spread and pay On-The-Run 10-year Swap Spread. The On-The-Run 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Bank of America Exp. 06/15/2001 1.320 50,000 500 Broker: Morgan Stanley Exp. 07/27/2001 1.300 50,000 450 Receive On-The-Run 2-year Swap Spread and pay a fixed spread. The On-The-Run 2-year Swap Spread is the difference between the 2-year Swap Rate and the 2-year Treasury Rate. Broker: Bank of America Exp. 07/19/2001 0.925 25,000 (211) ------------ $ (26) ============ (h) Subject to financing transaction. 24 PIMCO Funds See accompanying notes Schedule of Investments Mortgage Portfolio September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 11.6% -------------------------------------------------------------------------------- Banking & Finance 6.0% AESOP Funding II LLC 6.220% due 10/20/2001 $ 500 $ 500 Bank of America Corp. 7.750% due 10/30/2030 13,170 12,534 Bear Stearns Co., Inc. 7.086% due 08/01/2002 (d) 5,600 5,612 7.125% due 03/28/2003 (d) 3,700 3,700 6.972% due 05/06/2003 (d) 1,300 1,301 7.058% due 05/16/2003 (d) 2,500 2,512 6.870% due 07/22/2003 (d) 3,200 3,213 7.100% due 06/01/2004 (d) 2,700 2,719 7.210% due 11/30/2004 (d) 6,200 6,213 Beneficial Corp. 6.870% due 03/01/2002 (d) 7,000 7,011 Capital One Bank 7.583% due 01/27/2004 (d) 9,800 9,920 Credit Suisse First Boston Mortgage 8.618% due 11/15/2001 (d) 3,795 3,813 Donaldson, Lufkin & Jenrette, Inc. 7.030% due 03/15/2002 (d) 1,600 1,600 Finova Capital Corp. 7.340% due 11/08/2002 (d) 3,500 2,846 First Chicago Corp. 6.740% due 03/11/2002 (d) 10,000 10,023 Ford Credit Auto Owner Trust 5.810% due 03/15/2002 863 861 Ford Motor Credit Corp. 6.620% due 07/13/2001 (d) 5,900 5,896 6.950% due 11/24/2003 (d) 3,000 2,999 7.083% due 07/19/2004 (d) 4,000 4,004 General Motors Acceptance Corp. 6.880% due 02/14/2003 (d) 4,500 4,494 7.388% due 07/20/2003 (d) 958 957 6.540% due 04/05/2004 (d) 14,600 14,580 7.348% due 09/20/2004 (d) 943 942 Goldman Sachs Group 6.810% due 10/02/2002 (d) 8,000 7,997 6.511% due 01/17/2003 (d) 1,000 1,001 Heller Financial, Inc. 7.070% due 10/22/2001 (d) 600 601 6.910% due 03/20/2002 (d) 1,800 1,800 6.890% due 06/10/2002 3,000 3,003 Household Bank 6.227% due 10/22/2003 (d) 7,000 6,977 Korea Development Bank 7.675% due 10/06/2000 (d) 19,700 19,700 Lehman Brothers Holdings, Inc. 7.678% due 04/02/2002 (d) 17,500 17,657 7.533% due 07/15/2002 (d) 3,700 3,732 6.410% due 09/03/2002 (d) 2,900 2,898 7.210% due 12/12/2002 (d) 1,700 1,707 7.169% due 04/04/2003 (d) 6,100 6,102 MBNA America Bank 6.852% due 08/07/2001 (d) 100 100 6.505% due 12/10/2002 (d) 7,250 7,152 Morgan Stanley, Dean Witter, Discover and Co. 6.890% due 02/21/2003 (d) 1,500 1,503 Popular, Inc. 6.550% due 10/10/2000 2,335 2,335 Protective Life Funding Trust 7.090% due 01/17/2003 (d) 2,000 1,997 Qwest Capital Funding, Inc. 7.195% due 07/08/2002 (d) 4,000 4,004 Racers 6.930% due 03/03/2003 (d) 8,200 8,200 Salomon, Smith Barney Holdings 6.938% due 02/11/2003 (d) 1,200 1,201 Transamerica Finance Corp. 6.910% due 09/17/2001 (d) 1,000 1,000 U.S. Bancorp 6.941% due 02/03/2003 (d) 4,800 4,803 Wachovia Corp. 7.261% due 05/02/2005 (d) 4,500 4,496 ------------ 218,216 ============ Industrials 2.0% AMR Corp. 10.000% due 02/01/2001 2,250 2,262 Bellat Racers 6.208% due 04/01/2003 (d) 10,000 9,978 Boise Cascade Co. 10.390% due 11/10/2000 1,050 1,051 Coastal Corp. 10.375% due 10/01/2000 2,670 2,670 6.568% due 03/06/2002 (d) 8,100 8,100 Cox Enterprises, Inc. 7.611% due 05/01/2033 (d) 3,500 3,498 Crompton Corp. 7.653% due 03/07/2001 (d) 1,700 1,700 Kroger Co. 7.661% due 10/01/2010 (d) 500 501 Northwest Airlines, Inc. 8.072% due 10/01/2019 15,000 15,414 Occidental Petroleum 7.360% due 10/03/2008 (d) 1,800 1,798 Petroleos Mexicanos 8.314% due 07/15/2005 (d) 4,700 4,712 Staples, Inc. 7.540% due 11/26/2001 (d) 9,000 9,001 TCI Communications, Inc. 7.360% due 03/11/2003 (d) 1,000 1,001 Union Pacific Corp. 7.327% due 07/01/2002 (d) 10,000 10,012 Williams Communications Group, Inc. 6.596% due 11/15/2001 (d) 2,600 2,602 ------------ 74,300 ============ Utilities 3.6% Arizona Public Service 7.440% due 10/15/2001 (d) 2,800 2,800 Central Power & Light Co. 7.140% due 02/22/2002 (d) 5,000 4,999 Dominion Resources, Inc. 7.600% due 07/15/2003 5,000 5,054 El Paso Energy Corp. 6.931% due 07/15/2001 (d) 8,600 8,605 Entergy Gulf States, Inc. 8.040% due 06/02/2003 (d) 1,100 1,101 Hawaiian Electric Industries, Inc. 7.783% due 04/15/2003 (d) 3,000 3,002 Indiana Michigan Power 7.270% due 11/22/2000 (d) 3,750 3,752 Nabors Industries, Inc. 0.010% due 06/20/2020 46,000 32,086 Oneok, Inc. 7.390% due 04/24/2002 (d) 4,000 4,005 Public Service Enterprise Group, Inc. 6.910% due 11/22/2000 (d) 3,000 3,000 7.010% due 11/22/2000 (d) 3,500 3,501 Sierra Pacific Resources 7.390% due 04/20/2002 (d) 24,000 24,000 Sprint Capital Corp. 7.010% due 06/10/2002 (d) 1,000 1,000 System Energy Resources 7.380% due 10/01/2000 1,900 1,900 Texas Utilities Co. 6.310% due 12/01/2000 (d) 10,200 10,200 7.315% due 06/25/2001 (d) 16,400 16,389 7.571% due 09/24/2001 (d) 4,000 4,021 ------------ 129,415 ------------ Total Corporate Bonds & Notes 421,931 (Cost $419,362) ============ -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 0.1% -------------------------------------------------------------------------------- Louisiana 0.1% Louisiana Housing Finance Agency Mortgage Revenue, (GNMA Insured), Series 2000 7.330% due 12/01/2030 5,000 5,000 ------------ Total Municipal Bonds & Notes 5,000 (Cost $5,000) ============ 2000 Semi-Annual Report See accompanying notes 25 Schedule of Investments (Cont.) Mortgage Portfolio September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 0.3% -------------------------------------------------------------------------------- Federal Home Loan Bank 6.750% due 08/27/2013 $ 1,000 $ 931 6.500% due 10/07/2013 500 458 6.100% due 10/28/2013 1,000 892 6.375% due 11/05/2013 500 454 6.320% due 11/05/2013 500 452 6.500% due 11/18/2013 500 458 6.500% due 01/06/2014 500 457 6.330% due 01/07/2014 1,000 904 6.515% due 02/24/2014 500 457 Small Business Administration 8.000% due 07/01/2014 3,810 3,921 ------------ Total U.S. Government Agencies 9,384 (Cost $9,245) ============ -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 5.0% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (h) 3.625% due 07/15/2002 (b) 14,911 14,907 U.S. Treasury Bonds 6.000% due 02/15/2026 (g) 149,500 148,146 U.S. Treasury Notes 5.750% due 08/15/2010 16,600 16,654 U.S. Treasury Strips 0.000% due 02/15/2015 1,400 583 ------------ Total U.S. Treasury Obligations 180,290 (Cost $180,648) ============ -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 147.7% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 37.5% ABN AMRO Mortgage Corp. 6.750% due 09/25/2028 8,142 7,671 6.500% due 06/25/2029 2,100 1,929 Aetna Commercial Trust 7.100% due 12/26/2030 4,000 3,981 Allied Capital Commercial Mortgage Trust 6.310% due 09/25/2003 103 101 American Southwest Financial Securities Corp. 7.248% due 11/25/2038 1,684 1,634 Banc of America Funding Corp. 7.070% due 05/12/2005 (d) 29,500 29,500 6.750% due 11/20/2032 20,000 18,911 Bank of America Mortgage Securities, Inc. 6.250% due 07/25/2014 2,747 2,608 6.650% due 07/25/2028 741 735 6.500% due 05/25/2029 1,000 918 7.750% due 10/25/2030 11,010 10,443 Bayview Financial Revolving Mortgage 7.110% due 08/25/2029 (d) 17,600 17,600 7.920% due 08/25/2029 (d) 4,300 4,229 Bear Stearns Mortgage Securities, Inc. 6.980% due 06/26/0403 (d) 2,067 2,041 7.062% due 05/25/2023 (d) 2,122 2,074 6.500% due 12/28/2023 5,200 4,748 6.350% due 08/25/2024 289 288 7.000% due 08/25/2024 1,000 985 7.000% due 01/25/2028 13,886 13,365 7.000% due 02/25/2028 2,500 2,406 6.200% due 03/25/2028 2,500 2,469 CDC Depositor Trust I 7.051% due 01/15/2003 (d) 3,522 3,509 Cendant Mortgage Corp. 6.750% due 05/18/2012 (d) 8,350 8,180 7.250% due 04/18/2013 (d) 12,074 12,040 7.250% due 05/18/2013 (d) 7,350 7,297 6.500% due 01/15/2016 1,283 1,263 7.500% due 06/18/2030 (d) 6,000 5,839 7.147% due 06/30/2030 (d) 7,465 7,465 Chase Commercial Mortgage Securities Corp. 7.600% due 12/18/2005 1,456 1,483 Chase Mortgage Finance Corp. 6.750% due 11/25/2024 1,000 883 6.750% due 06/25/2028 2,000 1,922 6.500% due 07/25/2028 (d) 1,383 1,369 6.100% due 02/25/2029 3,810 3,755 6.350% due 07/25/2029 7,654 7,578 7.750% due 04/25/2030 8,900 8,914 Citicorp Mortgage Securities, Inc. 6.000% due 01/25/2009 1,410 1,395 6.500% due 02/25/2024 (d) 7,958 6,649 6.250% due 04/25/2024 10,561 10,467 6.250% due 08/25/2024 490 430 6.500% due 03/25/2029 2,000 1,840 6.250% due 10/25/2029 6,800 6,259 CMC Securities Corp. III 6.750% due 11/25/2023 1,741 1,729 6.150% due 05/25/2028 1,900 1,885 CMC Securities Corp. IV 7.250% due 11/25/2027 3,470 3,418 Collateralized Mortgage Securities Corp. 10.950% due 02/01/2014 939 940 COMM 6.922% due 10/16/2002 (d) 1,184 1,183 Commercial Mortgage Asset Trust 6.250% due 08/17/2006 (d) 1,377 1,343 6.640% due 09/17/2010 3,000 2,893 Countrywide Funding Corp. 6.000% due 05/25/2009 1,568 1,551 6.500% due 02/25/2024 8,500 7,840 6.630% due 02/25/2024 7,300 6,882 6.880% due 03/25/2024 2,000 1,894 Countrywide Home Loans 6.500% due 07/25/2013 1,802 1,745 6.750% due 08/25/2028 4,084 4,052 6.000% due 08/25/2029 900 888 Countrywide Mortgage Backed Securities, Inc. 6.750% due 05/25/2024 2,500 2,346 CS First Boston Mortgage Securities Corp. 6.850% due 12/17/2007 22,000 21,337 6.960% due 06/20/2029 4,598 4,593 6.400% due 01/17/2035 1,223 1,212 DLJ Commercial Mortgage Corp. 7.377% due 09/05/2001 (d) 3,500 3,533 DLJ Mortgage Acceptance Corp. 7.580% due 02/12/2006 (d) 4,800 4,862 8.030% due 11/25/2023 (d) 712 731 8.625% due 10/25/2024 (d) 670 684 6.850% due 12/17/2027 265 264 DVI Business Credit Receivable 7.298% due 10/15/2003 (d) 6,150 6,215 Enterprise Mortgage Acceptance Co. 6.110% due 01/15/2005 821 808 Fairfax Funding Trust 6.483% due 04/02/2013 250 239 FDIC Remic Trust 6.750% due 05/25/2026 80 80 Federal Agricultural Mortgage Corp. 8.314% due 04/25/2030 8,334 8,472 Federal Home Loan Mortgage Corp. 8.000% due 09/15/2006 1,479 1,483 5.500% due 06/15/2016 1 1 6.500% due 10/15/2016 1,110 1,104 5.900% due 06/15/2017 251 250 5.800% due 06/15/2019 872 867 6.300% due 10/15/2019 1,383 1,371 9.000% due 12/15/2020 337 348 6.250% due 01/15/2021 313 306 9.000% due 02/15/2021 4,891 5,051 6.000% due 04/15/2021 9,000 8,797 9.500% due 07/15/2021 1,171 1,194 7.000% due 10/15/2021 176 176 7.000% due 08/15/2022 6,635 6,268 6.000% due 10/15/2022 450 432 6.500% due 12/17/2022 793 761 7.500% due 03/15/2023 1,741 1,692 26 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- 7.000% due 05/15/2023 $ 300 $ 276 7.000% due 07/15/2023 624 566 7.500% due 07/15/2023 2,281 2,306 7.000% due 07/15/2023 2,705 2,458 6.250% due 09/15/2023 4,746 4,181 6.000% due 12/15/2023 417 378 6.500% due 01/15/2024 1,372 1,198 6.800% due 02/15/2024 1,326 1,177 6.500% due 03/15/2024 1,524 1,337 6.250% due 07/15/2024 2,255 2,181 8.500% due 03/15/2025 2,122 2,208 7.000% due 04/15/2026 2,722 2,394 6.250% due 11/15/2026 2,200 2,093 6.500% due 06/15/2027 1,000 928 7.022% due 02/15/2028 (d) 5,094 5,091 6.500% due 04/15/2028 2,000 1,805 6.000% due 05/15/2028 3,200 2,739 6.500% due 06/15/2028 2,843 2,387 6.500% due 08/15/2028 886 745 6.500% due 10/15/2028 2,471 2,028 6.000% due 11/25/2028 542 421 6.000% due 12/15/2028 4,000 3,408 6.250% due 12/15/2028 1,975 1,625 6.000% due 02/15/2029 2,166 1,609 6.500% due 03/15/2029 8,122 6,890 7.500% due 09/15/2029 5,288 4,906 7.500% due 06/15/2030 8,151 7,779 7.000% due 09/17/2031 4,846 4,802 Federal National Mortgage Association 6.270% due 09/25/2007 3,000 2,852 6.500% due 05/25/2008 500 497 6.000% due 12/25/2008 138 138 4.000% due 02/25/2009 800 715 6.500% due 02/25/2009 1,352 1,270 6.000% due 03/25/2009 295 267 6.250% due 12/25/2013 13,708 12,770 6.500% due 07/25/2015 1,072 1,066 6.500% due 04/25/2019 1,979 1,948 6.350% due 06/25/2020 1,000 925 9.000% due 06/25/2020 3,482 3,604 6.500% due 09/25/2020 1,231 1,219 6.500% due 05/25/2021 262 254 6.100% due 08/25/2021 4,065 4,007 6.500% due 04/25/2022 202 196 7.000% due 10/25/2022 1,252 1,194 7.800% due 10/25/2022 896 906 7.500% due 03/25/2023 1,757 1,700 5.000% due 04/25/2023 230 185 6.500% due 05/25/2023 2,500 2,337 6.000% due 08/25/2023 1,483 1,266 6.500% due 09/18/2023 3,576 3,543 7.500% due 09/20/2023 2,093 2,101 7.175% due 09/25/2023 (d) 8,469 8,287 7.000% due 09/25/2023 4,890 4,367 7.000% due 10/25/2023 137 127 7.000% due 12/25/2023 943 854 5.000% due 01/25/2024 64 64 6.500% due 01/25/2024 1,632 1,466 6.500% due 02/25/2024 2,532 2,258 7.000% due 04/25/2024 2,347 2,186 6.600% due 05/18/2025 1,256 1,216 7.500% due 11/17/2025 968 956 7.500% due 11/20/2026 8,399 8,122 7.000% due 11/25/2026 2,629 2,372 7.000% due 12/25/2026 1,307 1,197 7.500% due 01/18/2027 10,285 9,873 7.500% due 04/18/2027 2,211 2,110 7.000% due 12/20/2027 2,395 2,188 6.500% due 04/18/2028 514 474 6.500% due 05/18/2028 3,452 2,921 6.500% due 06/25/2028 6,000 5,521 6.000% due 07/18/2028 6,650 5,212 5.000% due 11/25/2028 264 147 6.290% due 02/25/2029 1,500 1,285 7.500% due 02/25/2030 1,051 1,005 8.946% due 06/25/2032 4,581 4,853 6.500% due 12/17/2035 13,021 10,230 6.390% due 05/25/2036 1,124 959 7.413% due 01/17/2037 189 185 6.500% due 09/17/2038 2,204 1,901 7.368% due 01/17/2040 (d) 4,099 3,579 7.500% due 12/31/2049 8,500 7,926 FFCA Secured Lending Corp. 7.130% due 02/18/2009 (d) 445 443 7.850% due 05/18/2017 (d) 16,900 16,883 First Boston Mortgage Securities Corp. 6.750% due 09/25/2006 1,415 1,409 First Nationwide Trust 6.500% due 03/25/2029 1,200 1,126 8.000% due 10/25/2030 2,175 2,067 General Electric Capital Mortgage Services, Inc. 7.000% due 11/25/2007 2,158 2,132 6.380% due 05/25/2014 1,021 1,016 6.500% due 09/25/2023 1,000 867 6.500% due 11/25/2023 17,000 15,955 6.500% due 03/25/2024 8 7 7.500% due 03/25/2027 2,800 2,746 7.000% due 10/25/2027 10,628 10,062 7.000% due 11/25/2027 15,143 14,590 6.250% due 01/25/2028 1,422 1,415 6.500% due 05/25/2029 900 829 6.750% due 08/25/2029 4,445 4,404 7.750% due 04/25/2030 2,000 1,964 General Motors Acceptance Corp. 6.411% due 11/15/2007 1,195 1,173 6.700% due 03/15/2008 19,700 19,153 GMAC Commercial Mortgage Securities, Inc. 7.070% due 02/20/2003 (d) 1,095 1,096 7.000% due 09/20/2005 (d) 4,200 4,201 7.151% due 02/15/2008 (d) 15,266 15,314 6.420% due 08/15/2008 589 561 6.570% due 09/15/2033 610 600 6.945% due 09/15/2033 17,500 17,251 Government Lease Trust 4.000% due 05/18/2011 6,300 4,729 Government National Mortgage Association 8.000% due 11/01/2013 3,164 3,147 5.650% due 10/20/2018 1,064 1,045 7.250% due 12/16/2023 6,084 6,104 7.120% due 06/16/2026 5,712 5,675 7.000% due 07/16/2026 1,338 1,241 6.500% due 09/20/2028 2,265 1,880 6.500% due 01/20/2029 3,342 2,773 6.250% due 03/16/2029 2,500 2,165 6.500% due 03/20/2029 2,400 2,202 6.500% due 04/20/2029 4,659 3,862 6.500% due 08/20/2029 14,263 12,047 8.000% due 01/16/2030 2,109 2,172 7.120% due 02/16/2030 (d) 2,132 2,142 7.500% due 02/20/2030 2,000 1,988 8.000% due 03/20/2030 2,000 2,098 Housing Securities, Inc. 6.000% due 02/25/2008 227 225 6.500% due 07/25/2009 489 482 Impac CMB Trust 6.805% due 07/25/2028 (d) 2,123 2,124 Independent National Mortgage Corp. 9.071% due 01/25/2025 (d) 214 219 J.P. Morgan Commercial Mortgage Finance Corp. 6.898% due 04/15/2010 (d) 1,500 1,500 6.373% due 01/15/2030 1,181 1,168 6.533% due 01/15/2030 30,000 29,318 6.180% due 10/15/2035 0 0 LB Mortgage Trust 8.396% due 01/20/2017 (d) 3,706 3,845 LTC Commercial Mortgage 6.029% due 05/28/2030 (d) 1,493 1,442 2000 Semi-Annual Report See accompanying notes 27 Schedule of Investments (Cont.) Mortgage Portfolio September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- Mellon Residential Funding Corp. 5.652% due 06/26/2028 $ 2,000 $ 1,972 6.200% due 06/26/2028 1,125 1,119 6.580% due 07/25/2029 (d) 15,000 14,812 6.460% due 07/25/2029 (d) 916 912 Merrill Lynch Mortgage Investors, Inc. 6.050% due 10/15/2008 3,223 3,124 6.500% due 09/28/2015 11,566 10,550 7.068% due 12/26/2025 300 300 6.950% due 06/18/2029 3,049 3,049 6.220% due 02/15/2030 1,584 1,553 Morgan Stanley Capital 7.229% due 01/16/2006 2,135 2,158 6.860% due 05/15/2006 (d) 2,177 2,172 6.190% due 01/15/2007 3,794 3,718 7.460% due 02/15/2020 5,400 5,489 6.860% due 08/15/2023 4,825 4,757 Morgan Stanley Capital I 6.440% due 11/15/2002 133 132 5.990% due 01/15/2028 207 202 Morgan Stanley, Dean Witter Capital Trust 7.730% due 03/15/2016 (d) 12,000 12,012 Morgan Stanley, Dean Witter, Discover and Co. 7.520% due 07/15/2010 (d) 27,000 27,222 Mortgage Capital Funding, Inc. 6.325% due 10/18/2007 1,708 1,672 NationsBanc Montgomery Funding Corp. 6.500% due 07/25/2028 3,000 2,763 Nationslink Funding Corp. 6.333% due 10/22/2004 3,094 3,049 6.654% due 02/10/2006 16,000 15,794 7.181% due 12/20/2006 23,298 23,482 6.970% due 04/10/2007 (d) 2,967 2,968 Nomura Depositor Trust 6.898% due 01/15/2003 (d) 261 261 Norwest Asset Securities Corp. 6.500% due 03/25/2014 31,184 30,088 6.250% due 06/25/2014 3,492 3,321 7.500% due 03/25/2027 1,166 1,163 7.250% due 10/25/2027 8,400 8,249 6.250% due 08/25/2028 1,682 1,664 6.750% due 10/25/2028 8,716 8,234 6.250% due 12/25/2028 2,000 1,801 6.500% due 01/25/2029 6,500 6,120 6.100% due 02/25/2029 5,324 5,086 6.500% due 03/25/2029 10,000 9,199 6.250% due 05/25/2029 500 419 6.000% due 07/25/2029 5,600 5,290 6.500% due 10/25/2029 990 912 7.250% due 02/25/2030 3,257 3,047 Norwest Integrated Structured Assets, Inc. 7.000% due 06/25/2028 3,000 2,888 7.000% due 09/25/2029 2,808 2,688 PaineWebber Mortgage Acceptance Corp. 7.750% due 09/25/2030 10,000 9,840 PHH Mortgage Services Corp. 7.181% due 11/18/2027 1,916 1,825 PNC Mortgage Securities Corp. 7.000% due 12/25/2027 5,190 4,901 6.625% due 03/25/2028 1,655 1,629 6.750% due 10/25/2028 7,362 6,738 6.750% due 04/25/2029 200 188 6.750% due 08/25/2029 2,903 2,882 7.250% due 10/25/2029 2,498 2,435 Prudential Home Mortgage Securities 6.750% due 11/25/2007 1,431 1,422 7.000% due 01/25/2008 400 396 6.000% due 02/25/2009 19,735 17,959 6.600% due 08/25/2023 2,167 2,144 6.800% due 05/25/2024 3,841 3,212 8.000% due 05/25/2024 6 6 Prudential Securities Secured Financing Corp. 6.105% due 11/15/2002 111 110 6.955% due 06/15/2008 3,103 3,097 7.000% due 09/25/2020 1,671 1,656 Residential Accredit Loans, Inc. 7.750% due 04/25/2027 1,033 1,031 6.750% due 06/25/2029 3,000 2,822 7.750% due 03/25/2030 3,182 3,203 Residential Asset Securitization Trust 6.500% due 09/25/2014 4,041 3,911 7.500% due 09/25/2027 66 65 6.750% due 03/25/2028 2,022 2,011 6.750% due 04/25/2028 486 483 6.250% due 11/25/2028 4,000 3,766 6.500% due 12/25/2028 7,625 6,906 Residential Funding Mortgage Securities I 7.750% due 09/25/2030 4,600 4,377 Residential Funding Mortgage Securities II 6.500% due 02/09/2020 (d) 5,000 5,000 6.650% due 02/09/2028 (d) 25,000 25,000 Residential Funding Mortgage Securities, Inc. 6.981% due 06/25/2008 5,600 5,578 6.478% due 10/25/2008 412 409 7.000% due 05/25/2012 2,687 2,648 6.500% due 12/25/2012 9,435 9,036 6.250% due 03/25/2014 936 891 6.200% due 11/25/2023 157 156 8.766% due 03/25/2025 (d) 974 988 7.000% due 03/25/2026 4,626 4,514 7.000% due 11/25/2027 7,600 7,283 7.000% due 12/25/2027 2,906 2,749 6.750% due 03/25/2028 2,000 1,889 6.750% due 05/25/2028 2,170 2,019 6.750% due 06/25/2028 3,435 3,372 6.250% due 11/25/2028 6,000 5,432 6.500% due 01/25/2029 19,000 17,485 6.500% due 03/25/2029 5,000 4,656 6.500% due 04/25/2029 4,200 3,862 7.500% due 11/25/2029 3,000 2,891 Resolution Trust Corp. 8.630% due 08/25/2023 (d) 1,850 1,853 7.383% due 01/25/2025 (d) 104 103 8.000% due 06/25/2026 2,465 2,482 RMF Commercial Mortgage Securities, Inc. 7.086% due 01/15/2019 (d) 1,400 1,367 7.100% due 11/28/2027 (d) 1,784 1,784 Saco I, Inc. 7.057% due 09/25/2040 (d) 490 490 Salomon Brothers Mortgage Securities 11.500% due 09/01/2015 294 296 7.000% due 04/25/2029 (d) 4,187 4,182 6.920% due 06/25/2029 (d) 1,521 1,521 7.020% due 09/25/2029 (d) 796 799 Sasco Floating Rate Commercial Mortgage 7.170% due 03/25/2002 (d) 3,714 3,683 8.070% due 07/22/2002 (d) 4,742 4,721 Saxon Asset Securities Trust 7.585% due 12/25/2014 407 406 Securitized Asset Sales, Inc. 6.250% due 12/25/2023 324 322 7.000% due 07/25/2024 564 561 Starwood Asset Receivable Trust 6.920% due 08/25/2003 (d) 2,542 2,544 7.620% due 01/25/2004 (d) 20,000 19,928 7.120% due 09/25/2022 (d) 40,000 40,015 Starwood Commercial Mortgage Trust 6.600% due 02/03/2009 (d) 3,823 3,772 Structured Asset Mortgage Investments, Inc. 6.816% due 05/25/2022 (d) 14,663 14,337 Structured Asset Notes Transactions Ltd. 6.650% due 08/30/2005 (d) 995 960 Structured Asset Securities Corp. 6.790% due 12/25/2000 (d) 324 324 7.375% due 09/25/2024 1,100 1,090 7.000% due 12/25/2027 4,300 4,139 6.750% due 07/25/2029 2,702 2,669 7.370% due 02/25/2030 (d) 4,474 4,519 28 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- TMA Mortgage Funding Trust 7.000% due 01/25/2029 (d) $ 4,701 $ 4,701 Union Planters Mortgage Finance Corp. 6.350% due 01/25/2028 380 377 6.600% due 01/25/2028 4,000 3,936 Vendee Mortgage Trust 7.750% due 05/15/2022 6,134 6,194 6.500% due 03/15/2029 2,500 2,303 Washington Mutual, Inc. 7.500% due 11/19/2029 2,000 1,888 ------------ 1,361,017 ============ Federal Home Loan Mortgage Corporation 7.2% 5.000% due 12/01/2001 1 1 5.500% due 12/31/2099 26,300 23,794 6.000% due 09/01/2006-12/01/2099 (e) 63,461 59,349 6.250% due 04/01/2003 131 128 6.350% due 01/01/2028 (d) 1,733 1,720 6.468% due 12/01/2029 (d) 10,630 10,801 6.500% due 03/01/2005-04/15/2028 (e) 13,277 11,051 6.667% due 12/01/2029 (d) 52,138 50,267 6.700% due 09/01/2028 (d) 1,059 1,062 6.706% due 11/01/2027 (d) 1,037 1,046 6.758% due 09/01/2027 (d) 2,676 2,625 6.775% due 11/01/2003 175 171 6.877% due 10/01/2027 (d) 1,103 1,085 6.905% due 07/01/2027 (d) 2,541 2,564 6.973% due 12/01/2026 (d) 1,332 1,327 7.000% due 09/01/2006-12/01/2099 (e) 13,242 13,182 7.228% due 10/01/2024 (d) 809 825 7.344% due 10/01/2023 (d) 958 956 7.400% due 02/01/2021 2,902 2,895 7.414% due 02/01/2027 (d) 4,038 4,127 7.431% due 06/01/2024 (d) 384 394 7.450% due 03/25/2022 2,499 2,500 7.466% due 10/01/2024 (d) 1,198 1,196 7.475% due 03/01/2029 (d) 1,806 1,829 7.499% due 03/01/2027 (d) 536 549 7.500% due 07/01/2009-12/01/2099 (e) 49,331 49,258 7.679% due 09/01/2026 (d) 3,259 3,353 7.950% due 03/31/2030 4,689 4,694 8.000% due 01/01/2005-11/01/2013 (e) 986 995 8.250% due 06/01/2008-12/01/2008 (e) 335 338 8.346% due 06/01/2022 (d) 58 60 8.500% due 05/01/2001-12/31/2099 (e) 2,428 2,493 9.500% due 12/01/2001-12/15/2020 (e) 3,810 3,951 10.000% due 10/01/2005-12/01/2005 (e) 265 272 10.250% due 05/01/2009 2 3 10.750% due 05/01/2010 8 8 ------------ 260,869 ============ Federal Housing Administration 2.6% 1.000% due 07/01/2018-07/01/2025 (e) 40,283 39,936 6.670% due 07/16/2038 295 270 6.875% due 12/01/2016 715 688 6.896% due 07/01/2020 912 877 7.250% due 07/30/2039 634 611 7.400% due 03/15/2019 2,643 2,602 7.430% due 10/01/2018-05/01/2024 (e) 28,309 28,146 7.450% due 05/01/2021 1,224 1,221 7.500% due 12/01/2030-09/01/2034 (e) 2,117 2,069 7.510% due 05/01/2040 2,500 2,456 7.590% due 12/01/2017 3,930 3,947 7.625% due 12/01/2016 460 462 7.630% due 09/01/2039 7,036 6,993 7.750% due 01/01/2016-05/01/2028 (e) 1,334 1,329 8.250% due 05/01/2022 1,017 1,028 8.530% due 02/01/2039 3,217 3,287 ------------ 95,922 ============ Federal National Mortgage Association 44.1% 1.000% due 05/01/2030 (d) 19,738 19,659 5.000% due 07/01/2014 9,722 8,938 5.500% due 12/01/2028-05/01/2029 (e) 1,188 1,073 6.000% due 04/01/2004-10/01/2099 (e) 82,987 77,553 6.130% due 08/01/2005 2,986 2,892 6.250% due 07/01/2003 92 91 6.255% due 09/01/2013 1,800 1,695 6.262% due 02/01/2009 4,845 4,577 6.380% due 10/01/2018 1,963 1,867 6.450% due 09/01/2016 3,921 3,747 6.500% due 09/01/2005-06/17/2038 (e) 6,051 5,326 6.750% due 11/01/2007 86 85 6.784% due 01/01/2027 (d) 1,823 1,806 6.885% due 02/01/2018 (d) 1,738 1,709 6.981% due 06/01/2007 1,121 1,128 7.000% due 06/01/2003-12/01/2099 (e) 42,578 42,001 7.039% due 01/01/2030 (d) 12,804 12,468 7.040% due 03/01/2007 218 219 7.052% due 08/01/2009 1,785 1,771 7.060% due 11/01/2003 280 279 7.086% due 09/01/2003 2,887 2,887 7.131% due 09/01/2007 4,567 4,625 7.235% due 10/01/2003 236 237 7.250% due 01/01/2003-12/01/2022 (d)(e) 564 568 7.310% due 07/01/2003 237 238 7.339% due 12/01/2024 (d) 969 989 7.396% due 02/01/2027 (d) 1,157 1,188 7.430% due 01/25/2023 3,519 3,494 7.460% due 03/01/2030 (d) 17,225 17,192 7.500% due 10/01/2028-12/01/2099 (e) 1,235,583 1,232,553 7.630% due 07/01/2024 (d) 635 650 7.727% due 11/01/2025 (d) 1,079 1,108 7.740% due 11/01/2025 (d) 1,130 1,154 7.750% due 02/01/2008 148 150 7.841% due 05/01/2026 (d) 450 465 7.875% due 12/01/2023 (d) 1,493 1,544 7.896% due 01/01/2024 (d) 106 109 8.000% due 07/01/2007-12/01/2099 (e) 125,433 127,082 8.014% due 03/01/2024 (d) 210 215 8.247% due 02/01/2024 (d) 512 527 8.250% due 05/01/2001 3 3 8.500% due 04/01/2008-11/01/2026 (e) 845 868 8.750% due 04/01/2018 35 36 9.000% due 11/01/2026-06/01/2027 (e) 2,123 2,212 9.250% due 05/01/2010 82 85 9.500% due 11/25/2020-04/01/2025 (e) 10,914 11,421 10.000% due 04/01/2020 428 454 15.500% due 10/01/2012 6 7 15.750% due 12/01/2011 3 4 ------------ 1,600,949 ============ Government National Mortgage Association 55.5% 1.000% due 06/20/2023-12/20/2099 (d)(e) 96,993 96,828 5.500% due 04/20/2030-05/20/2030 (d)(e) 2,979 2,896 6.000% due 12/15/2023-06/20/2030 (d)(e) 1,345 1,312 6.375% due 04/20/2022-05/20/2028 (d)(e) 32,330 32,566 6.500% due 09/15/2023-12/20/2099 (d)(e) 142,640 141,888 6.670% due 10/15/2001 2,705 2,663 6.720% due 11/15/2000 2,334 2,203 6.750% due 07/20/2020-09/20/2027 (d)(e) 89,042 89,846 7.000% due 04/20/2017-12/20/2099 (d)(e) 243,743 243,926 7.125% due 12/20/2018-10/20/2027 (d)(e) 86,388 87,038 7.140% due 02/16/2030 (d) 1,522 1,526 7.250% due 02/15/2001 10,340 10,344 7.270% due 02/16/2030 (d) 3,752 3,756 7.375% due 03/20/2021-06/20/2027 (d)(e) 23,530 23,720 7.500% due 03/15/2001-12/20/2099 (d)(e) 74,364 74,353 7.700% due 06/15/2001 2,386 2,379 7.750% due 10/15/2025-11/15/2025 (e) 790 796 8.000% due 09/15/2005-12/20/2099 (e) 729,585 741,928 8.250% due 07/15/2008 237 243 8.500% due 12/31/2099 427,800 437,667 9.000% due 09/15/2006-08/20/2030 (e) 12,324 12,723 9.500% due 09/15/2009-12/15/2021 (e) 2,707 2,853 11.000% due 07/15/2010 20 22 ------------ 2,013,476 ============ 2000 Semi-Annual Report See accompanying notes 29 Schedule of Investments (Cont.) Mortgage Portfolio September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------- Other Mortgage-Backed Securities 0.6% Federal Home Loan Mortgage Corp. 10.000% due 07/01/2005 $ 96 $ 97 6.216% due 08/15/2032 (d) 11,569 11,354 Guardian Savings & Loan Assn. 8.217% due 07/25/2019 (d) 100 98 Salomon Brothers Mortgage Securities 8.046% due 11/25/2022 (d) 406 408 Sasco Floating Rate Commercial Mortgage 7.023% due 11/20/2001 (d) 3,803 3,809 Securitized Asset Sales, Inc. 8.489% due 12/26/2023 (d) 143 144 Structured Asset Mortgage Investments, Inc. 7.242% due 02/25/2030 (d) 5,903 5,804 --------- 21,714 ========= Stripped Mortgage-Backed Securities 0.2% Bear Stearns Mortgage Securities, Inc. (IO) 7.000% due 08/25/2024 331 27 Chase Mortgage Finance Corp. (PO) 0.000% due 01/25/2030 115 56 Collateralized Mortgage Obligation Trust (PO) 0.000% due 09/23/2017 50 41 Federal Home Loan Mortgage Corp. (IO) 6.000% due 01/15/2006 100 1 6.500% due 07/15/2006 323 18 6.500% due 08/15/2006 67 1 6.500% due 11/15/2006 232 2 1088.940% due 03/15/2007 3 28 6.500% due 05/15/2007 227 15 6.500% due 07/15/2007 536 22 1170.443% due 07/15/2018 6 52 7.000% due 08/15/2018 1,507 102 7.500% due 08/15/2018 38 0 6.500% due 01/15/2023 1,652 214 7.000% due 10/25/2023 1,633 356 1.487% due 12/15/2023 (d) 2,189 66 Federal National Mortgage Association (IO) 727.220% due 09/25/2006 12 67 6.500% due 02/25/2007 386 20 7.000% due 04/25/2008 764 102 6.000% due 07/25/2008 103 2 7.000% due 04/25/2019 3,368 208 6.500% due 05/25/2019 3,492 250 7.000% due 08/25/2019 519 36 6.500% due 03/25/2020 846 59 6.500% due 08/25/2020 153 11 839.670% due 08/25/2020 2 33 6.500% due 09/25/2021 606 66 6.500% due 03/25/2022 2,385 243 Federal National Mortgage Association (PO) 0.000% due 06/25/2022 33 32 0.000% due 08/25/2022 255 191 0.000% due 04/25/2023 4,360 1,847 Government National Mortgage Association (PO) 0.000% due 02/26/2019 883 817 Merrill Lynch Mortgage Investors, Inc. (IO) 1.000% due 04/25/2028 (d) 38,333 1,639 --------- 6,624 --------- Total Mortgage-Backed Securities 5,360,571 (Cost $5,312,022) -------------------------------------------------------------------- ASSET-BACKED SECURITIES 27.0% -------------------------------------------------------------------- Aames Mortgage Trust 7.018% due 07/15/2029 (d) 5,955 5,968 7.076% due 10/15/2029 (d) 2,094 2,098 ABFS Equipment Contract Trust 6.100% due 10/15/2005 196 194 ABSC Long Beach Home Equity Loan Trust 7.727% due 06/21/2030 (d) 15,287 15,287 Advanta Mortgage Loan Trust 7.570% due 05/25/2027 3,342 3,329 6.995% due 11/25/2029 (d) 911 912 8.250% due 08/25/2030 10,000 10,243 Aerco Ltd. 7.081% due 07/15/2025 (d) 2,800 2,800 AESOP Funding LLC 6.870% due 11/20/2006 (d) 10,000 10,000 AFC Home Equity Loan Trust 7.030% due 06/24/2029 (d) 7,916 7,946 American Residential Eagle Trust 6.970% due 04/25/2029 (d) 1,172 1,178 Americredit Automobile Receivable Trust 5.304% due 10/12/2002 3,729 3,717 7.100% due 09/05/2006 (d) 1,000 1,003 Ameriquest Mortgage Securities, Inc. 6.918% due 07/15/2030 (d) 5,742 5,753 Amresco Residential Securities Mortgage Loan Trust 6.820% due 10/25/2027 (d) 640 640 Arcadia Automobile Receivables Trust 6.300% due 07/15/2003 4,700 4,681 Argentina Funding Corp. 6.890% due 05/20/2003 (d) 1,000 1,003 Associates Manufactured Housing 7.000% due 03/15/2027 72 72 Banc One Auto Grantor Trust 6.290% due 07/20/2004 1,946 1,938 Banc One Home Equity Trust 6.460% due 06/25/2029 844 840 Bayview Financial Acquisition Trust 7.220% due 11/25/2029 (d) 1,091 1,091 6.990% due 02/25/2030 (d) 7,697 7,654 7.291% due 07/25/2030 (d) 25,098 25,052 Block Mortgage Finance, Inc. 7.049% due 04/25/2014 2,150 2,142 7.122% due 08/25/2022 1,862 1,856 7.061% due 12/25/2028 (d) 2,300 2,304 Bridgestone/Firestone Master Trust 6.170% due 07/01/2003 443 443 Capital Asset Research Funding LP 6.400% due 12/15/2004 1,598 1,615 5.905% due 12/15/2005 2,082 2,065 Captec Franchise Trust 7.892% due 10/15/2010 5,751 5,870 Case Equipment Loan Trust 5.810% due 05/15/2003 239 239 Centex Home Equity 7.990% due 10/25/2030 14,840 14,907 7.540% due 10/25/2030 29,000 29,099 Centrex Auto Trust 6.150% due 09/15/2004 1,709 1,698 Chase Funding Mortgage Loan 7.170% due 10/25/2030 (d) 15,000 15,000 Chase Loan Obligations Trust 6.888% due 02/15/2006 (d) 1,000 1,001 Chase Manhattan Grantor Trust 6.610% due 09/15/2002 401 401 Chevy Chase Auto Receivables Trust 6.200% due 03/20/2004 1,107 1,102 Circuit City Credit Card Master Trust 6.625% due 08/15/2005 2,000 2,001 6.851% due 02/15/2006 (d) 4,000 4,010 CIT Equipment Collateral 7.520% due 07/20/2011 6,000 6,001 CNL Funding 7.721% due 08/25/2009 23,630 23,957 Commercial Mortgage Acceptance Corp. 5.800% due 03/15/2006 228 220 Community Program Loan Trust 4.500% due 10/01/2018 25,097 22,746 Conseco Finance 7.118% due 02/15/2031 (d) 1,000 1,001 Conseco Finance Lease LLC 7.880% due 08/20/2005 12,967 12,981 8.560% due 07/20/2008 19,091 19,186 Conseco Finance Securitizations Corp. 1.000% due 10/01/2030 1,700 1,699 7.038% due 10/15/2030 (d) 2,589 2,580 30 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------- 8.410% due 10/15/2031 $ 11,000 $ 11,439 8.850% due 12/01/2031 22,995 24,221 0.000% due 02/01/2032 40,000 40,156 7.970% due 05/01/2032 13,800 13,992 8.310% due 05/01/2032 25,000 25,456 Contimortgage Home Equity Loan Trust 5.870% due 09/15/2008 812 801 6.791% due 10/15/2012 (d) 389 389 6.020% due 01/25/2014 1,162 1,156 6.420% due 04/25/2014 869 865 6.770% due 01/25/2018 2,000 1,985 6.761% due 06/15/2028 (d) 1,820 1,818 6.831% due 08/15/2028 (d) 149 149 Copelco Capital Funding Corp. 5.780% due 08/15/2001 63 63 6.340% due 07/20/2004 26 26 Cross Country Master Credit 7.121% due 06/15/2006 1,900 1,900 CS First Boston Mortgage Securities Corp. 7.590% due 07/25/2026 8,700 8,771 Delta Funding Home Equity Loan Trust 7.036% due 09/15/2029 (d) 880 883 6.280% due 05/25/2030 516 513 Denver Arena Trust 6.940% due 11/15/2019 6,817 6,211 Embarcadero Aircraft Securitization Trust 7.100% due 08/15/2025 (d) 20,000 20,000 7.720% due 08/15/2025 (d) 10,000 10,000 EQCC Home Equity Loan Trust 6.050% due 02/25/2010 1,596 1,587 5.770% due 05/20/2010 499 497 6.781% due 10/15/2027 (d) 841 840 Felco Funding LLC 5.980% due 09/15/2001 114 115 Fingerhut Master Trust 7.451% due 02/15/2005 (d) 7,400 7,382 First Plus Home Loan Trust 6.040% due 10/10/2013 90 90 6.860% due 10/10/2013 2,355 2,353 6.870% due 08/10/2014 5,992 5,983 6.950% due 10/10/2022 3,500 3,368 First USA Credit Card Master Trust 7.042% due 02/18/2004 (d) 3,500 3,493 FMAC Loan Receivables Trust 1.000% due 12/15/2019 1,449 1,420 6.729% due 12/15/2019 2,700 2,534 Ford Credit Auto Owner Trust 5.770% due 11/15/2001 7,718 7,710 Ford Motor Credit Corp. 5.500% due 02/15/2003 250 249 GMAC Mortgage Corp. 7.950% due 03/25/2030 4,691 4,394 Government Lease Trust 5.860% due 04/18/2003 1,674 1,647 Government National Mortgage Association 7.896% due 06/20/2032 20,000 20,047 1.000% due 06/20/2032 (d) 5,000 5,000 Green Tree Financial Corp. 6.600% due 01/15/2019 2,615 2,602 9.100% due 04/15/2020 11,468 11,603 8.400% due 06/15/2025 185 186 6.420% due 11/15/2028 1,386 1,383 6.470% due 01/15/2029 198 198 6.650% due 02/15/2029 2,496 2,491 6.970% due 04/01/2031 7,000 6,996 7.860% due 04/01/2031 1,100 1,061 Green Tree Floorplan Receivables Master Trust 6.980% due 11/13/2003 (d) 2,500 2,505 Green Tree Home Equity Loan Trust 5.590% due 02/15/2013 359 359 7.180% due 07/15/2030 7,925 7,817 7.610% due 09/15/2030 8,000 8,165 6.290% due 09/15/2030 7,345 7,337 Green Tree Home Improvement Loan Trust 5.940% due 06/15/2029 40 40 5.960% due 08/15/2029 1,905 1,904 6.788% due 08/15/2029 (d) 821 821 Green Tree Lease Finance 6.170% due 09/20/2005 54 54 Green Tree Recreational Equipment 6.430% due 04/17/2006 2,156 2,153 Greenpoint Manufactured Housing 6.750% due 04/15/2011 10,613 10,575 Greenwich 6.715% due 02/01/2009 1,379 1,320 Honda Auto Lease Trust 5.875% due 10/15/2001 530 530 Ikon Receivables LLC 6.808% due 03/15/2004 (d) 4,000 4,004 IMC Home Equity Loan Trust 7.110% due 08/25/2014 3,580 3,564 6.410% due 04/20/2018 1,577 1,568 6.880% due 11/20/2028 10,000 9,899 Irwin Home Equity 7.520% due 06/25/2021 (d) 4,000 4,000 7.960% due 04/25/2026 9,000 9,045 Long Beach Acceptance Auto Grantor Trust 6.190% due 01/25/2004 1,000 989 Long Beach Home Equity Loan Trust 7.220% due 08/31/2030 24,000 24,000 Mellon Auto Grantor Trust 5.460% due 10/17/2005 1,613 1,593 Metris Master Trust 7.270% due 04/20/2006 (d) 3,200 3,216 Metropolitan Asset Funding, Inc. 7.080% due 04/25/2029 (d) 1,953 1,934 6.913% due 12/25/2029 (d) 12,065 12,065 Mid-State Trust 8.330% due 04/01/2030 5,142 5,302 7.791% due 03/15/2038 1,914 1,944 MLCC Mortgage Investors, Inc. 7.001% due 03/15/2025 (d) 2,489 2,499 New York City Tax Lien 6.460% due 05/25/2005 45 45 6.650% due 05/25/2005 17 17 5.930% due 07/25/2006 799 782 Oakwood Mortgage Investors, Inc. 7.500% due 01/15/2021 1,000 963 6.650% due 05/15/2027 1,158 1,154 Ocwen Mortgage Loan 6.935% due 10/25/2029 (d) 2,809 2,811 7.300% due 03/25/2031 (d) 12,504 12,513 Onyx Acceptance Grantor Trust 6.300% due 05/15/2004 3,190 3,182 Option One Mortgage Loan Trust 7.187% due 02/25/2029 (d) 13,120 13,136 6.020% due 05/25/2029 600 586 Pacific Southwest Bank 6.060% due 06/15/2002 408 406 PacificAmerica Home Equity Loan 6.790% due 06/26/2028 (d) 1,514 1,512 Peco Energy Transition Trust 5.480% due 03/01/2003 493 490 Pegasus Aviation Lease Securitization 7.245% due 03/01/2015 (d) 29,200 29,209 PP&L Transition Bond Co. LLC 6.080% due 03/25/2003 1,211 1,207 6.410% due 12/26/2003 1,900 1,889 Residential Asset Mortgage Products, Inc. 8.360% due 06/25/2030 22,728 23,225 8.000% due 09/25/2030 24,150 24,263 Residential Asset Securities Corp. 7.615% due 12/25/2014 6,159 6,153 8.000% due 10/25/2024 (d) 1,082 1,088 Residential Funding Mortgage Securities II 7.850% due 12/25/2024 7,000 7,056 7.980% due 09/25/2025 15,999 16,134 2000 Semi-Annual Report See accompanying notes 31 Schedule of Investments (Cont.) Mortgage Portfolio September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) ------------------------------------------------------------------------------- Residential Mortgage Loan Trust 7.375% due 09/25/2029 (d) $ 6,960 $ 7,020 Ryder Vehicle Lease Trust 6.430% due 01/15/2003 7,288 7,275 Salomon Brothers Mortgage Securities 7.325% due 09/25/2027 (d) 3,000 3,010 6.930% due 08/25/2028 2,572 2,474 7.320% due 01/25/2029 (d) 35,476 35,498 6.970% due 07/25/2029 (d) 1,423 1,425 7.038% due 11/15/2029 (d) 16,697 16,739 8.118% due 11/15/2029 (d) 17,600 18,073 7.198% due 11/15/2029 (d) 2,000 2,000 6.960% due 02/25/2030 (d) 3,479 3,488 Saxon Asset Securities Trust 6.920% due 02/25/2029 (d) 575 575 6.850% due 05/25/2029 (d) 1,860 1,862 Sears Credit Account Master Trust 7.000% due 10/15/2004 33 33 SLM Student Loan Trust 7.210% due 07/25/2016 (d) 17,907 17,907 Southern Pacific Secured Assets Corp. 6.790% due 07/25/2029 (d) 1,793 1,783 Student Loan Marketing Assn. 6.646% due 04/25/2004 (d) 1,286 1,285 6.771% due 07/25/2004 (d) 561 560 The Money Store Home Equity Trust 7.550% due 02/15/2020 1,157 1,156 7.600% due 07/15/2021 1,528 1,529 6.345% due 11/15/2021 360 358 6.490% due 10/15/2026 9,895 9,851 6.771% due 08/15/2029 (d) 774 775 The Money Store Residential Trust 6.215% due 02/15/2011 857 855 United Panama Mortgage Loan 6.940% due 04/25/2030 (d) 3,674 3,682 WFS Financial Owner Trust 6.411% due 07/20/2002 4,066 4,063 6.150% due 09/20/2002 632 632 6.900% due 12/20/2003 652 653 6.920% due 01/20/2004 800 802 WMC Mortgage Loan 6.830% due 03/20/2028 (d) 390 390 6.790% due 06/20/2028 (d) 520 519 ----------- Total Asset-Backed Securities 978,841 (Cost $971,720) =========== ------------------------------------------------------------------------------- PURCHASED CALL OPTIONS 0.0% ------------------------------------------------------------------------------- U.S. Treasury Bond (OTC) 6.250% due 05/15/2030 Strike @ 107.63 Exp. 11/08/2000 100,000 402 U.S. Treasury Notes March Futures (CBOT) Strike @ 108.00 Exp. 02/17/2001 500,000 78 ----------- Total Purchased Call Options 480 (Cost $2,498) =========== ------------------------------------------------------------------------------- PURCHASED PUT OPTIONS 0.0% ------------------------------------------------------------------------------- Federal National Mortgage Association (OTC) 7.500% due 11/13/2030 Strike @ 93.36 Exp. 11/06/2000 275,000 4 ----------- Total Purchased Put Options 4 (Cost $43) =========== ------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 2.4% ------------------------------------------------------------------------------- Commercial Paper 2.4% CDC 6.570% due 11/29/2000 32,600 32,255 Detroit Edison Co. 7.040% due 01/29/2001 4,000 3,996 Federal Home Loan Mortgage Corp. 6.440% due 10/12/2000 1,800 1,797 Ingersoll-Rand Co. 6.740% due 11/15/2000 6,200 6,149 International Paper Co. 6.710% due 11/30/2000 18,400 18,198 Motorola, Inc. 6.480% due 12/26/2000 3,200 3,151 Verizon Global Funding 6.510% due 12/01/2000 12,000 11,870 6.490% due 12/19/2000 11,200 11,043 ----------- 88,459 =========== U.S. Treasury Bills (b) 0.0% 5.925% due 02/01/2001 1,385 1,357 ----------- Total Short-Term Instruments 89,816 (Cost $89,816) =========== Total Investments (a) 194.1% $ 7,046,317 (Cost $6,990,354) Written Options (c) (0.0%) (1,353) (Premiums $2,363) Other Assets and Liabilities (Net) (94.1%) (3,415,768) ----------- Net Assets 100.0% $ 3,629,196 =========== Notes to Schedule of Investments (amounts in thousands): (a ) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on co st for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 61,511 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (5,548) ----------- Unrealized appreciation-net $ 55,963 =========== (b) Securities with an aggregate market value of $9,327 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: # of Unrealized Type Contracts (Depreciation) ------------------------------------------------------------------------------- Eurodollar September Futures (09/2001) 1,500 $ (2,143) U.S. Treasury 5 Year Note (12/2000) 7,220 (4,150) U.S. Treasury 10 Year Note (12/2000) 41 (3) ----------- $ (6,296) =========== (c) Premiums received on written options: # of Type Contracts Premium Value ------------------------------------------------------------------------------- Call - OTC U.S. Treasury Note Strike @ 104.34 Exp. 11/08/2000 189,000,000 $ 2,363 $ 1,353 ------------------------- (d) Variable rate security. The rate listed is as of September 30, 2000. 32 PIMCO Funds See accompanying notes (e) Securities are grouped by coupon or range of coupons and represent a range of maturities. (f) Swap agreements outstanding at September 30, 2000: Notional Unrealized Type Amount (Depreciation) ------------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR plus 0.500% and pay a fixed rate equal to 7.600%. Broker: Lehman Brothers Exp. 07/15/2003 $ 5,000 $ (51) Receive floating rate based on 3-month LIBOR plus 1.000% and pay to the counterparty the notional amount of $15,000 in exchange for shares of Nabors Industries, Inc. due 6/20/2020 when the convertible debentures mature. Broker: Morgan Stanley Exp. 06/20/2003 9,126 (4) Receive floating rate based on 3-month LIBOR plus 1.100% and pay a fixed rate equal to 0.000%. Broker: Bear Stearns Exp. 06/20/2003 20,321 (62) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 7.206%. Broker: Goldman Sachs Exp. 02/01/2006 245,600 (4,787) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 7.012%. Broker: Morgan Stanley Exp. 08/08/2005 155,200 (1,770) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 7.007%. Broker: Bank of America Exp. 08/22/2005 250,000 (2,725) ------------ $ (9,399) ============ Fixed Spread Notional Unrealized Type (%) Amount Appreciation ------------------------------------------------------------------------------- Receive the 30-year Swap Spread and pay a fixed spread. The 30-year Swap Spread is the difference between the 30-year Swap Rate and the 30-year Treasury Rate. Broker: Goldman Sachs Exp. 02/15/2005 1.085 $ 8,000 $ 8 Receive the 10-year Swap Spread and pay a fixed spread. The 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Goldman Sachs Exp. 02/15/2005 0.868 13,000 131 ------------ $ 139 ============ (g) Subject to financing transaction. (h) Principal amount of the security is adjusted for inflation. (i) Reverse repurchase agreements were entered into on various days paying various interest rates. The following securities were segregated with collateral for reverse repurchase agreements: Type Maturity Value -------------------------------------------------------------------------------- Entered into on September 26, 2000 paying interest at 6.520% Government National Mortgage Assn. 7.000% 07/20/2030 $ 138,563 Government National Mortgage Assn. 7.000% 05/20/2030 28,789 Government National Mortgage Assn. 7.000% 06/20/2030 62,512 Entered into on September 27, 2000 paying interest at 6.540% Government National Mortgage Assn. 6.500% 05/20/2030 44,817 Government National Mortgage Assn. 6.500% 04/20/2030 66,250 ------------ $ 340,931 ============ 2000 Semi-Annual Report See accompanying notes 33 Schedule of Investments Real Return Bond Portfolio September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 33.9% -------------------------------------------------------------------------------- Banking & Finance 26.6% Allstate Financial Global Funding 7.125% due 09/26/2005 $ 2,500 $ 2,501 Associates Corp. of North America 6.960% due 05/08/2003 (d) 500 500 Bank One Corp. 6.798% due 05/07/2002 (d) 1,000 1,001 Bankers Trust Corp. 6.818% due 05/11/2003 (d) 1,000 1,000 Bear Stearns Co., Inc. 7.125% due 03/28/2003 (d) 2,000 2,000 Countrywide Home Loan 6.810% due 03/22/2002 (d) 3,000 3,000 Dime Bancorp, Inc. 7.000% due 07/25/2001 4,500 4,480 First Union Corp. 7.550% due 08/18/2005 5,000 5,065 Ford Motor Credit Corp. 7.051% due 06/20/2003 (d) 3,500 3,502 6.780% due 08/27/2006 (d) 1,000 1,000 General Motors Acceptance Corp. 7.015% due 07/21/2003 (d) 3,000 2,996 Morgan Stanley, Dean Witter, Discover and Co. 6.500% due 01/28/2002 (d) 1,000 1,002 National Australia Bank Ltd. 7.315% due 05/19/2010 (d) 200 202 Prudential Funding Corp. 6.375% due 07/23/2006 1,000 951 Qwest Capital Funding, Inc. 7.245% due 07/08/2002 (d) 3,000 3,003 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 5,223 5,165 ------------ 37,368 ============ Industrials 4.3% Enron Corp. 7.110% due 09/10/2001 (d) 500 500 Petroleos Mexicanos 9.500% due 09/15/2027 1,500 1,549 Sprint Capital Corp. 7.147% due 06/10/2002 (d) 250 250 TRW, Inc. 7.090% due 03/25/2002 (d) 3,000 2,998 Vodafone AirTouch PLC 6.860% due 12/19/2001 (d) 250 250 Waste Management, Inc. 7.100% due 08/01/2026 500 483 ------------ 6,030 ============ Utilities 3.0% Appalachian Power Co. 7.160% due 06/27/2001 (d) 1,000 1,000 Commonwealth Edison Co. 7.160% due 09/30/2002 (d) 1,000 1,000 Entergy Gulf States, Inc. 7.880% due 06/02/2003 (d) 500 500 Scana Corp. 7.393% due 07/15/2002 (d) 700 701 Williams Cos., Inc. 6.125% due 02/01/2001 1,000 996 ------------ 4,197 ------------ Total Corporate Bonds & Notes 47,595 (Cost $47,389) ============ -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 1.1% -------------------------------------------------------------------------------- Florida 1.1% Tampa Florida Guaranteed Entitlement Revenue, (AMPAC Insured), 6.000% due 10/01/2004 1,515 1,567 ------------ Total Municipal Bonds & Notes 1,567 (Cost $1,574) ============ -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 9.0% -------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. 7.000% due 03/15/2010 12,500 12,709 ------------ Total U.S. Government Agencies 12,709 (Cost $12,430) ============ -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 144.9% -------------------------------------------------------------------------------- Treasury Inflation Protected Securities (e) 3.625% due 07/15/2002 (g) 60,348 60,329 3.375% due 01/15/2007 (g) 49,832 48,197 3.625% due 01/15/2008 (g) 44,869 43,845 3.875% due 01/15/2009 12,418 12,317 4.250% due 01/15/2010 (g) 11,284 11,531 3.625% due 04/15/2028 7,768 7,385 3.875% due 04/15/2029 20,315 20,188 ------------ Total U.S. Treasury Obligations 203,792 (Cost $203,145) ============ -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 1.0% -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 0.7% General Motors Acceptance Corp. 6.920% due 06/01/2005 (d) 996 996 ------------ 996 ============ Federal National Mortgage Association 0.3% 8.068% due 09/01/2018 (d) 372 384 ------------ Total Mortgage-Backed Securities 1,380 (Cost $1,369) ============ -------------------------------------------------------------------------------- FOREIGN CURRENCY-DENOMINATED ISSUES (b)(c) 0.3% -------------------------------------------------------------------------------- Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 1,000 427 ------------ Total Foreign Currency-Denominated Issues 427 (Cost $473) ============ -------------------------------------------------------------------------------- PURCHASED PUT OPTIONS 0.0% -------------------------------------------------------------------------------- U.S. Treasury Inflation Protected Securities (OTC) 3.625% due 07/15/2002 Strike @ 96.50 Exp. 01/29/2001 $ 25,000 0 ------------ Total Purchased Put Options 0 (Cost $8) ============ -------------------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES 0.7% -------------------------------------------------------------------------------- Industrial 0.7% Waste Management, Inc. 4.000% due 02/01/2002 1,000,000 934 ------------ Total Convertible Bonds & Notes 934 (Cost $939) ============ -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 6.6% -------------------------------------------------------------------------------- Commercial Paper 4.9% Conagra, Inc. 6.680% due 10/27/2000 500 498 Dominion Resources, Inc. 6.710% due 11/09/2000 400 397 Edison Mission Midwest Holdings 6.750% due 11/01/2000 500 497 Federal Home Loan Mortgage Corp. 6.440% due 10/12/2000 1,500 1,497 General Electric Capital Corp. 6.520% due 01/19/2001 2,100 2,059 Motorola, Inc. 6.480% due 12/26/2000 1,100 1,083 Sprint Capital Corp. 6.720% due 11/08/2000 800 794 ----------- 6,825 =========== 34 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------- Repurchase Agreement 1.7% State Street Bank 5.850% due 10/02/2000 $ 2,494 $ 2,494 (Dated 9/29/2000. Collateralized by Federal Home Loan Bank 7.025% due 03/06/2002 valued at $2,548. Repurchase proceeds are $2,495.) ----------- Total Short-Term Instruments 9,319 (Cost $9,319) =========== Total Investments (a) 197.5% $ 277,723 (Cost $276,646) Other Assets and Liabilities (Net) (137,076) (97.5%) ----------- Net Assets 100.0% $ 140,647 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 1,247 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (170) ------------ Unrealized appreciation-net $ 1,077 ============ (b) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Covered by Settlement Unrealized Type Currency Contract Month Appreciation ------------------------------------------------------------------ Sell N$ 1,005 10/2000 $ 23 ----------- (c) Principal amount denoted in indicated currency: N$ - New Zealand Dollar (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Principal amount of the security is adjusted for inflation. (f) Swap agreements outstanding at September 30, 2000: Notional Unrealized Type Amount (Depreciation) ------------------------------------------------------------------ Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 7.005%. Broker: Goldman Sachs Exp. 08/17/2005 $ 5,000 $ (54) ----------- (g) Subject to financing transaction. 2000 Semi-Annual Report See accompanying notes 35 Schedule of Investments Investment Grade Portfolio September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 92.6% -------------------------------------------------------------------------------- Banking & Finance 42.1% Ahmanson & Co. 8.250% due 10/01/2002 $ 600 $ 611 Allstate Corp. 7.875% due 05/01/2005 2,400 2,476 Amerco, Inc. 7.200% due 04/01/2002 1,000 960 Aristar, Inc. 7.375% due 09/01/2004 1,800 1,798 AT&T Capital Corp. 6.580% due 04/23/2002 (d) 5,400 5,415 Bank of America Corp. 6.875% due 02/15/2005 605 601 7.125% due 09/15/2006 2,000 2,002 9.375% due 09/15/2009 300 331 Bank of Tokyo - Mitsubishi 8.400% due 04/15/2010 2,000 2,039 Bear Stearns Co., Inc. 6.125% due 02/01/2003 2,000 1,961 7.125% due 03/28/2003 (d) 2,000 2,000 7.058% due 05/16/2003 (d) 3,000 2,995 6.150% due 03/02/2004 2,300 2,230 Beneficial Corp. 8.400% due 05/15/2008 140 144 Bombardier Capital, Inc. 7.500% due 08/15/2004 7,300 7,348 Capital One Bank 6.760% due 07/23/2002 800 793 CIT Group, Inc. 7.125% due 10/15/2004 2,500 2,496 Credit Asset Receivable 6.274% due 10/31/2003 383 378 Deutsche Bank Capital Trust 8.080% due 12/22/2049 2,000 1,996 Diageo Capital PLC 6.625% due 06/24/2004 2,000 1,979 Duke Capital Corp. 7.250% due 10/01/2004 700 705 Export-Import Bank Korea 7.100% due 03/15/2007 2,000 1,985 Federal Home Loan Bank 6.530% due 12/30/2013 1,000 916 Finova Capital Corp. 6.080% due 03/12/2002 1,750 1,416 First Security Corp. 5.875% due 11/01/2003 1,000 969 First Union National Bank 7.800% due 08/18/2010 9,000 9,084 Fleet Boston Financial Corp. 7.250% due 09/15/2005 2,900 2,923 Ford Motor Credit Corp. 6.125% due 04/28/2003 2,400 2,348 5.750% due 02/23/2004 2,500 2,387 6.700% due 07/16/2004 1,100 1,078 7.500% due 03/15/2005 8,100 8,151 6.750% due 05/15/2005 1,000 977 7.375% due 10/28/2009 2,500 2,451 General Motors Acceptance Corp. 9.625% due 12/15/2001 300 309 6.837% due 04/29/2002 (d) 2,334 2,335 6.880% due 02/14/2003 (d) 4,000 3,994 7.020% due 04/05/2004 (d) 5,300 5,293 7.625% due 06/15/2004 1,500 1,524 6.850% due 06/17/2004 3,000 2,974 7.500% due 07/15/2005 3,250 3,296 Goldman Sachs Group 5.900% due 01/15/2003 1,000 975 7.240% due 12/01/2004 (d) 2,000 1,998 7.625% due 08/17/2005 7,100 7,249 Heller Financial, Inc. 7.125% due 09/28/2004 4,900 4,852 Household Finance Corp. 7.000% due 08/01/2003 3,300 3,291 6.000% due 05/01/2004 7,800 7,514 5.875% due 09/25/2004 2,000 1,912 IBM Credit Corp. 7.000% due 11/05/2007 500 493 KBC Bank Fund Trust III 9.860% due 11/29/2049 (d) 5,000 5,232 Korea Development Bank 7.900% due 02/01/2002 1,000 1,002 7.625% due 10/01/2002 5,750 5,755 7.125% due 04/22/2004 2,000 1,963 7.375% due 09/17/2004 2,000 1,971 Lehman Brothers Holdings, Inc. 7.352% due 05/07/2002 (d) 200 201 6.375% due 05/07/2002 2,800 2,779 6.500% due 10/01/2002 230 228 0.000% due 03/25/2028 1,381 119 LG&E Capital Corp. 6.205% due 05/01/2004 1,000 973 Limestone Electron Trust 8.625% due 03/15/2003 7,500 7,644 Marsh & McLennan Co., Inc. 6.625% due 06/15/2004 1,000 984 MBNA America Bank NA 6.875% due 07/15/2004 800 784 Merrill Lynch & Co. 6.922% due 06/24/2003 (d) 3,000 2,991 6.375% due 10/15/2008 5,000 4,711 Morgan Stanley, Dean Witter, Discover and Co. 7.000% due 05/28/2019 300 285 National City Corp. 6.875% due 05/15/2019 415 370 Nordbanken 7.250% due 11/12/2009 2,700 2,679 Osprey Trust 8.310% due 01/15/2003 5,900 5,975 PaineWebber 8.010% due 12/01/2003 (d) 1,200 1,227 Popular North American, Inc. 7.375% due 09/15/2001 1,900 1,909 PP&L Capital Funding, Inc. 7.750% due 04/15/2005 13,000 13,128 Royal Bank of Scotland PLC 9.118% due 03/31/2049 5,000 5,260 Salomon, Smith Barney Holdings 6.938% due 02/11/2003 (d) 300 300 Sanwa Finance Aruba AEC 8.350% due 07/15/2009 3,900 3,894 Sears Roebuck Acceptance 6.625% due 02/25/2002 5,000 4,952 6.620% due 07/09/2002 900 892 6.990% due 09/30/2002 600 599 Secured Finance, Inc. 9.050% due 12/15/2004 250 270 Societe Generale 9.875% due 07/15/2003 1,900 2,026 Source One Mortgage Corporation 9.000% due 06/01/2012 200 216 Sprint Spectrum LP 0.000% due 08/15/2006 200 199 Sumitomo Bank Treasury Co. 9.400% due 12/29/2049 (d) 1,000 984 Wells Fargo & Co. 7.221% due 05/02/2005 (d) 2,900 2,899 7.250% due 08/24/2005 3,900 3,951 ---------- 213,304 ========== Industrials 32.4% Abitibi-Consolidated, Inc. 8.300% due 08/01/2005 1,500 1,536 America West Airlines, Inc. 9.244% due 07/02/2006 5,000 5,060 American Airlines 9.710% due 01/30/2007 2,569 2,732 Cable & Wireless Optus Finance Property Ltd. 8.000% due 06/22/2010 1,000 1,008 36 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------- Coca-Cola Co. 8.500% due 02/01/2012 $ 300 $ 320 Cox Communications, Inc. 6.500% due 11/15/2002 740 732 Cox Enterprises, Inc. 6.625% due 06/14/2002 700 693 8.000% due 02/15/2007 3,000 3,063 Crown Cork & Seal Co. 7.125% due 09/01/2002 7,200 6,832 6.750% due 04/15/2003 3,000 2,758 Delphi Auto Systems Corp. 6.125% due 05/01/2004 1,500 1,433 Delta Air Lines, Inc. 10.570% due 01/02/2007 (f) 7,006 8,007 10.430% due 01/02/2011 1,141 1,301 10.140% due 08/14/2012 4,000 4,577 10.500% due 04/30/2016 3,400 3,732 Fred Meyer, Inc. 7.375% due 03/01/2005 18,000 17,822 7.450% due 03/01/2008 4,500 4,359 Harrahs Operating Co., Inc. 7.500% due 01/15/2009 3,000 2,831 Hertz Corp. 6.500% due 05/15/2006 1,000 957 Houghton Mifflin Co. 5.970% due 12/03/2001 1,000 985 ICI Wilmington 7.500% due 01/15/2002 2,000 1,989 ITT Corp. 6.250% due 11/15/2000 230 230 J Seagram & Sons 6.250% due 12/15/2001 700 692 Koninklijke NV 8.000% due 10/01/2010 2,000 2,000 Lehman Brothers Holdings, Inc. 8.800% due 03/01/2015 700 742 Marlin Water Trust 7.090% due 12/15/2001 4,197 4,173 MGM Grand, Inc. 6.950% due 02/01/2005 2,300 2,211 Midwest Generation LLC 8.560% due 01/02/2016 5,000 4,933 Nabisco, Inc. 6.000% due 02/15/2001 (d) 3,250 3,225 6.125% due 02/01/2033 800 766 Occidental Petroleum 6.400% due 04/01/2003 2,500 2,438 Owens Corning 7.500% due 05/01/2005 500 203 Park Place Entertainment Corp. 7.950% due 08/01/2003 5,000 5,006 Petroleos Mexicanos 8.314% due 07/15/2005 (d) 3,100 3,108 Philip Morris Cos., Inc. 9.000% due 01/01/2001 210 211 7.250% due 09/15/2001 115 114 7.625% due 05/15/2002 1,400 1,394 6.800% due 12/01/2003 3,000 2,938 7.500% due 04/01/2004 2,900 2,882 7.125% due 10/01/2004 2,000 1,964 7.000% due 07/15/2005 2,900 2,818 Spieker Properties LP 8.000% due 07/19/2005 500 511 Target Corp. 7.500% due 08/15/2010 3,200 3,208 Telecommunications, Inc. 8.250% due 01/15/2003 5,000 5,156 Time Warner, Inc. 6.850% due 01/15/2026 300 298 TRW, Inc. 6.625% due 06/01/2004 4,200 4,055 Union Pacific Corp. 9.625% due 12/15/2002 300 316 United Air Lines, Inc. 9.000% due 12/15/2003 4,500 4,532 11.080% due 03/26/2010 14,163 15,310 11.080% due 03/26/2011 2,835 3,138 US Airways, Inc. 8.020% due 02/05/2019 4,800 4,892 Vodafone AirTouch PLC 6.860% due 12/19/2001 (d) 1,000 1,001 7.625% due 02/15/2005 1,500 1,530 Vodafone Group PLC 7.500% due 07/15/2006 1,020 1,028 Wal-Mart Stores, Inc. 8.875% due 06/29/2011 300 311 Waste Management, Inc. 6.500% due 05/14/2004 2,500 2,357 Williams Communications Group, Inc. 7.220% due 11/15/2001 (d) 2,000 2,001 ----------- 164,419 =========== Utilities 18.1% AT&T Corp. 9.650% due 10/01/2003 3,182 3,282 Cincinnati Gas & Electric Co. 6.450% due 02/15/2004 3,000 2,910 6.900% due 06/01/2025 2,000 1,959 Cleveland Electric Illuminum Co. 7.130% due 07/01/2007 150 148 Detroit Edison Co. 7.500% due 02/01/2005 3,000 3,037 Dominion Resources, Inc. 7.600% due 07/15/2003 5,000 5,054 Duke Energy Field Services LLC 7.875% due 08/16/2010 9,000 9,166 El Paso Energy Corp. 7.383% due 07/15/2001 (d) 200 200 K N Energy, Inc. 6.450% due 11/30/2001 6,685 6,620 MCI WorldCom, Inc. 6.125% due 04/15/2002 6,100 6,028 8.875% due 01/15/2006 4,900 5,059 Niagara Mohawk Power 6.875% due 03/01/2001 1,000 999 7.125% due 07/01/2001 2,193 2,193 5.875% due 09/01/2002 2,600 2,546 7.375% due 07/01/2003 1,512 1,516 7.625% due 10/01/2005 2,230 2,249 Ohio Power Co. 7.000% due 07/01/2004 3,400 3,376 Philadelphia Electric 5.625% due 11/01/2001 1,700 1,675 PP&L, Inc. 7.700% due 11/15/2002 2,800 2,864 Reliant Energy, Inc. 6.375% due 11/01/2003 9,000 8,813 Sprint Capital Corp. 5.875% due 05/01/2004 3,690 3,539 Sprint Spectrum LP 11.000% due 08/15/2006 2,250 2,418 Texas Utilities Co. 7.697% due 09/24/2001 (d) 1,900 1,910 5.940% due 10/15/2001 10,400 10,262 TXU Eastern Funding 6.150% due 05/15/2002 2,700 2,641 Western Resources, Inc. 6.250% due 08/15/2003 1,000 899 ----------- 91,363 ----------- Total Corporate Bonds & Notes 469,086 (Cost $464,117) =========== 2000 Semi-Annual Report See accompanying notes 37 Schedule of Investments (Cont.) Investment Grade Portfolio September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 0.3% -------------------------------------------------------------------- New York 0.3% New York City Municipal Water Finance Authority Revenue Bond, (FGIC Insured), Series 2000-A 5.000% due 06/15/2027 $1,875 $ 1,671 ------------ Total Municipal Bonds & Notes 1,671 (Cost $1,683) ============ -------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 0.1% -------------------------------------------------------------------- Treasury Inflation Protected Securities (c) 3.625% due 07/15/2002 (b) 539 539 ------------ Total U.S. Treasury Obligations 539 (Cost $538) ============ -------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 3.0% -------------------------------------------------------------------- Collateralized Mortgage Obligations 0.0% Bank of America Mortgage Securities 6.500% due 04/25/2029 149 137 ------------ Federal Home Loan Mortgage Corporation 0.5% 6.250% due 03/15/2028 3,000 2,729 ------------ Federal National Mortgage Association 0.3% 7.500% due 12/01/2099 1,500 1,496 ------------ Government National Mortgage Association 2.0% 8.500% due 12/31/2099 10,000 10,278 ------------ Other Mortgage-Backed Securities 0.1% Dillards, Inc. 9.500% due 10/15/2001 300 296 Target Corp. 9.250% due 03/01/2006 250 251 ------------ 547 ------------ Total Mortgage-Backed Securities 15,187 (Cost $15,102) ============ -------------------------------------------------------------------- ASSET-BACKED SECURITIES 3.3% -------------------------------------------------------------------- Conseco Finance Securitizations Corp. 8.310% due 05/01/2032 7,000 7,128 7.970% due 05/01/2032 2,000 2,028 Delta Air Lines Equipment Trust 10.430% due 01/02/2011 1,288 1,412 Denver Arena Trust 6.940% due 11/15/2019 3,116 2,839 United Air Lines Equipment Trust 10.850% due 02/19/2015 1,000 1,148 10.125% due 03/22/2015 2,300 2,384 ------------ Total Asset-Backed Securities 16,939 (Cost $16,621) ============ -------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 1.0% -------------------------------------------------------------------- Commercial Paper 0.8% Becton Dickinson & Co. 6.520% due 10/16/2000 167 167 Conagra, Inc. 6.670% due 11/16/2000 800 793 Dominion Resources, Inc. 6.710% due 10/18/2000 300 299 Edison Mission Midwest Holdings 6.710% due 11/15/2000 900 893 International Paper Co. 6.720% due 11/17/2000 1,100 1,091 Verizon Global Funding 6.460% due 12/07/2000 200 198 Williams Cos., Inc. 7.231% due 04/10/2001 800 800 ------------ 4,241 ============ Repurchase Agreement 0.1% State Street Bank 5.850% due 10/02/2000 $ 614 $ 614 (Dated 9/29/2000. Collateralized by Federal National Mortgage Association 6.400% due 12/14/2001 valued at $630. Repurchase proceeds are $614.) ------------ Total Short-Term Instruments 4,855 (Cost $4,855) ============ Total Investments (a) 100.3% $ 508,277 (Cost $502,916) Other Assets and Liabilities (Net) (0.3%) (1,564) ------------ Net Assets 100.0% $ 506,713 ============ Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 6,544 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. $ (1,183) ------------- Unrealized appreciation-net $ 5,361 ============= (b) Securities with an aggregate market value of $539 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: # of Unrealized Type Contracts (Depreciation) ---------------------------------------------------------------------- U.S. Treasury 30 Year Note (12/2000) 180 $ (318) ------------- (c) Principal amount of the security is adjusted for inflation. (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Swap agreements outstanding at September 30, 2000: Notional Unrealized Type Amount (Depreciation) -------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR plus 0.500% and pay a fixed rate equal to 7.600%. Broker: Lehman Brothers Exp. 07/15/2003 $ 5,000 $ (50) ----------- 38 PIMCO Funds See accompanying notes Fixed Spread Notional Unrealized Type (%) Amount Appreciation -------------------------------------------------------------------- Receive the 30-year Swap Spread and pay a fixed spread. The 30-year Swap Spread is the difference between the 30-year Swap Rate and the 30-year Treasury Rate. Broker: Goldman Sachs Exp. 02/15/2005 1.0850 $ 2,000 $ 2 Receive the 10-year Swap Spread and pay a fixed spread. The 10-year SwapSpread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Goldman Sachs Exp. 02/15/2005 0.8675 4,000 40 ------------- $ 42 ============= (f) Restricted security. 2000 Semi-Annual Report See accompanying notes 39 Schedule of Investments Municipal Sector Portfolio September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 106.0% -------------------------------------------------------------------- Alabama 17.5% Jefferson County, Alabama Sewer Revenue Bonds Warrants, (FGIC Insured), Series 2000-323 5.430% due 02/01/2029 (b) $ 1,500 $ 1,239 Jefferson County, AIabama Sewer Revenue Bonds Warrants, (FGIC Insured), Series 2000-352 5.802% due 02/01/2036 (b) 3,500 2,580 Jefferson County, Alabama Sewer Revenue Bonds Warrants, (FGIC Insured), Series 1999-A 5.000% due 02/01/2033 1,000 865 ----------- 4,684 =========== California 7.9% California State General Obligation, (MBIA Insured), Series 1998 4.250% due 10/01/2026 1,000 806 California State General Obligation, Series 2000-387 4.850% due 01/01/2027 (b) 1,500 1,313 ----------- 2,119 =========== Colorado 3.3% Denver, Colorado City & County Airport Revenue Bonds, (FSA Insured), Series 1998-B 5.000% due 11/15/2025 1,000 878 ----------- Florida 7.3% Lee County, Florida Airport Revenue Bonds, (FSA Insured), Series 2000-A 6.000% due 1,000 1,034 10/01/2029 Orange County, Florida School Board Certificates of Participation, (MBIA Insured), Series 1999-A 5.000% due 08/01/2024 1,000 909 ----------- 1,943 =========== Georgia 3.3% Atlanta, Georgia Water & Wastewater Revenue Bonds, (FGIC Insured), Series 1999-A 5.000% due 11/01/2038 1,000 879 ----------- Illinois 3.4% Chicago, Illinois Lakefront Millennium Package Facilities General Obligation, (MBIA Insured), Series 1998 5.125% due 01/01/2028 1,000 907 ----------- Kansas 5.6% Kansas State Development Finance Authority Health Facilities Revenue Bonds, (MBIA Insured), Series 1998-M 5.700% due 11/15/2023 (b) 1,500 1,500 ----------- Maryland 3.9% Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Series 1999 6.000% due 07/01/2039 1,000 1,032 ----------- Massachusetts 6.6% Massachusetts Bay Transportation Authority Massachusetts General Transportation System Revenue Bonds, Series 1998-B 5.000% due 03/01/2028 1,000 883 Massachusetts State Turnpike Authority Metro Highway System Revenue Bonds, (AMBAC Insured), Series 1999-A 5.000% due 01/01/2039 1,000 871 ----------- 1,754 =========== Mississippi 6.7% Perry County, Mississippi Pollution Control Revenue Bonds, (Loc-Wachovia Bank Insured), Series 1992 5.500% due 03/01/2002 (b) 1,800 1,800 ----------- New York 11.1% Long Island Power Authority New York Electrical System Revenue Bonds, (LOC-ABN Amro Ban N.V. Insured), Series 1998-6 5.450% due 05/01/2033 (b) 1,000 1,000 New York City, New York Transitional Finance Authority Revenue Bonds, Series 2000-C 5.500% due 11/01/2024 $ 1,000 $ 973 Port Authority of New York & New Jersey Special Obligation Revenue Bonds, (MBIA Insured), Series 1997 5.750% due 12/01/2022 1,000 1,004 ----------- 2,977 =========== Oregon 3.7% Port of Portland, Oregon Special Obligation Revenue Bonds, (LOC-Bank of Montreal Insured), Series 1997 5.550% due 06/15/2027 (b) 1,000 1,000 ----------- Pennsylvania 3.4% Pittsburgh, Pennsylvania Water & Sewer Authority Water & Sewer System Revenue Bonds, (FSA Insured), Series 1998-C 5.100% due 09/01/2021 1,000 922 ----------- Texas 14.6% Arlington, Texas Independent School District General Obligation, (PSF-FTD Insured), Series 1999 5.000% due 02/15/2024 1,000 896 Harris County, Texas Health Facilities Development Corporation Revenue Bonds, Series 1997-A 5.500% due 02/15/2027 (b) 1,000 1,000 Harris County, Texas Industrial Development Corporation Revenue Bonds, Series 1984 5.600% due 03/01/2024 (b) 1,000 1,000 North Central Texas Health Facility Development Corporation Revenue Bonds, (MBIA Insured), Series 1985-D 5.500% due 12/01/2015 (b) 1,000 1,000 ----------- 3,896 =========== Washington State 3.6% Port Of Seattle, Washington Revenue Bonds, (MBIA Insured), Series 2000-B 5.625% due 02/01/2024 1,000 968 ----------- Wisconsin 4.1% Brothertown, Wisconsin Industrial Development Revenue Bonds, (LOC-Associated Bank Lakeshore Insured), Series 1998 5.850% due 12/01/2013 (b) 700 700 Wisconsin State Health & Education Facilities Authority Revenue Bonds, (LOC-Allied Irish Bank PLC Insured), Series 1997 5.700% due 11/01/2017 (b) 400 400 ----------- 1,100 ----------- Total Municipal Bonds & Notes 28,359 (Cost $28,552) =========== ----------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 0.4% ----------------------------------------------------------------- Treasury Inflation Protected Securities (d) 3.625% due 07/15/2002 108 108 ----------- Total U.S. Treasury Obligations 108 (Cost $108) =========== Total Investments (a) 106.4% $ 28,467 (Cost $28,660) Other Assets and Liabilities (Net) (6.4%) (1,714) ----------- Net Assets 100.0% $ 26,753 =========== 40 PIMCO Funds See accompanying notes Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 58 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (251) -------------- Unrealized depreciation-net $ (193) ============== (b) Variable rate security. The rate listed is as of September 30, 2000. (c) Swap agreements outstanding at September 30, 2000: Notional Unrealized Type Amount Appreciation --------------------------------------------------------------------- Receive a floating rate based on the 30-year Municipal Market Data AAA Index and pay a fixed rate equal to 5.625%. Broker: Merril Lynch Exp. 12/13/2000 10,000 $ 0 ------------- (d) Principal amount of the security is adjusted for inflation. 2000 Semi-Annual Report See accompanying notes 41 Schedule of Investments International Portfolio September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) --------------------------------------------------------------------- AUSTRALIA (e)(f) 4.3% --------------------------------------------------------------------- Bankers Trust Corp. 6.970% due 06/02/2008 (d) $ 7,700 $ 7,495 Commonwealth of Australia 8.750% due 08/15/2008 (j) A$ 3,500 2,195 7.500% due 09/15/2009 (j) 50,000 29,509 General Motors Acceptance Corp. 5.020% due 03/25/2002 (d) EC 14,300 12,607 National Australia Bank Ltd. 7.320% due 05/19/2010 (d) $ 310 313 Registered Australian Mortgage Securities 4.770% due 09/26/2032 (d) EC 6,909 6,099 Torrens Trust 6.880% due 07/15/2031 (d) $ 6,328 6,328 ----------- Total Australia 64,546 (Cost $70,107) =========== --------------------------------------------------------------------- AUSTRIA (e)(f) 1.0% --------------------------------------------------------------------- Republic of Austria 5.500% due 01/15/2010 (j) EC 17,720 15,528 ----------- Total Austria 15,528 (Cost $15,411) =========== --------------------------------------------------------------------- CANADA (e)(f) 0.4% --------------------------------------------------------------------- Beneficial Canada, Inc. 6.350% due 04/01/2002 C$ 4,070 2,711 Commonwealth of Canada 9.000% due 12/01/2004 245 182 8.000% due 06/01/2027 500 432 Royal Bank of Canada 6.200% due 02/07/2005 (d) $ 2,500 2,498 ----------- Total Canada 5,823 (Cost $5,935) =========== CAYMAN ISLANDS (e)(f) 1.0% Fuji Finance (Cayman) 7.290% due 04/15/2010 (d) $ 5,700 5,682 MBNA American Euro 4.980% due 05/19/2004 (d) EC 10,600 9,769 ----------- Total Cayman Islands 15,451 (Cost $16,889) =========== --------------------------------------------------------------------- CROATIA (e)(f) 0.1% --------------------------------------------------------------------- Republic of Croatia 7.000% due 03/28/2005 EC 1,840 1,609 ----------- Total Croatia 1,609 (Cost $1,766) =========== --------------------------------------------------------------------- DENMARK (e)(f) 2.0% --------------------------------------------------------------------- Danske Kredit Mortgage 5.000% due 10/01/2029 DK 2,513 259 Nykredit 5.000% due 10/01/2029 166,200 17,084 Realkredit Danmark Mortgage 5.000% due 10/01/2029 56,257 5,779 6.000% due 10/01/2029 67,700 7,488 ----------- Total Denmark 30,610 (Cost $32,506) =========== --------------------------------------------------------------------- FRANCE (e)(f) 5.8% --------------------------------------------------------------------- AXA 2.500% due 01/01/2014 EC 1,385 $ 1,271 Compagnie Financiere de CIC-UE 6.890% due 10/29/2049 (d) $ 3,700 3,534 Republic of France 4.000% due 04/25/2009 (j) EC 56,780 45,575 3.000% due 07/25/2009 3,780 3,148 4.000% due 10/25/2009 (j) 38,340 30,550 5.500% due 04/25/2010 3,030 2,695 ---------- Total France 86,773 (Cost $92,449) ========== --------------------------------------------------------------------- GERMANY (e)(f) 0.5% --------------------------------------------------------------------- Depfa Pfandbriefbank 4.750% due 07/15/2008 EC 2,990 2,478 5.750% due 03/04/2009 (j) DM 3,020 2,658 Republic of Germany 4.750% due 07/04/2028 EC 3,420 2,657 ---------- Total Germany 7,793 (Cost $8,649) ========== --------------------------------------------------------------------- GREECE 4.0% --------------------------------------------------------------------- CSFP Credit 7.420% due 11/19/2004 (d)(k) $ 29,450 29,715 Hellenic Finance 2.000% due 07/15/2003 EC 2,400 2,125 Hellenic Republic 7.280% due 06/06/2001 (d) $ 16,300 16,540 7.850% due 05/19/2003 (d) GD 1,100,000 2,965 7.890% due 06/17/2003 (d) 1,611,700 4,346 10.240% due 10/23/2003 (d) 710,400 1,914 6.600% due 01/15/2004 (j) 1,124,800 3,000 ---------- Total Greece 60,605 (Cost $64,661) ========== --------------------------------------------------------------------- ITALY 10.0% --------------------------------------------------------------------- Finmeccanica SpA 2.000% due 06/08/2005 EC 2,687 2,337 Island Finance 5.490% due 03/30/2015 (d) 8,556 7,561 Republic of Italy 9.750% due 07/01/2005 (j) 26,970 23,231 4.500% due 05/01/2009 (j) 60,390 49,597 4.250% due 11/01/2009 (j) 10,580 8,498 5.500% due 11/01/2010 (j) 30,190 26,593 6.500% due 11/01/2027 14,700 13,866 5.250% due 11/01/2029 (j) 22,960 18,370 ---------- Total Italy 150,053 (Cost $155,338) ========== --------------------------------------------------------------------- JAPAN (e)(f) 0.9% --------------------------------------------------------------------- Government of Japan 0.900% due 12/22/2008 (j) JY 175,000 1,495 International Credit RJapan 0.750% due 08/25/2005 (d) 110,000 1,018 International Credit Receivable Japan 1 Tranche A 0.720% due 11/22/2004 (d) 73,643 682 0.650% due 08/25/2005 650,000 6,019 International Credit Receivable Japan 1 Tranche B 0.820% due 11/22/2004 (d) 230,000 2,130 SHL Corp. Ltd. 0.530% due 12/25/2024 (d) 168,372 1,559 0.830% due 12/25/2024 (d) 126,000 1,167 ---------- Total Japan 14,070 (Cost $13,952) ========== 42 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- MEXICO (e)(f) 1.3% -------------------------------------------------------------------------------- United Mexican States 9.380% due 11/02/2000 DM 12,600 $ 5,699 5.000% due 09/30/2002 JY 1,194,000 11,635 9.880% due 02/01/2010 $ 400 426 8.630% due 09/15/2016 1,250 1,456 ------------ Total Mexico 19,216 (Cost $19,559) ============ -------------------------------------------------------------------------------- NETHERLANDS 1.1% -------------------------------------------------------------------------------- Deutsche Bank Financial 6.720% due 12/17/2003 (d) $ 5,000 4,995 Koninklijke Ahold NV 4.000% due 05/19/2005 EC 1,000 994 Mannesmann Finance BV 4.750% due 05/27/2009 6,400 5,021 Tecnost International NV 6.670% due 06/23/2004 (d) 6,540 5,832 ------------ Total Netherlands 16,842 (Cost $18,452) ============ -------------------------------------------------------------------------------- NEW ZEALAND 1.7% -------------------------------------------------------------------------------- Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 59,670 25,466 ------------ Total New Zealand 25,466 (Cost $36,256) ============ -------------------------------------------------------------------------------- POLAND 1.2% -------------------------------------------------------------------------------- Republic of Poland 15.180% due 07/18/2001 (j) EC 88,000 16,977 4.000% due 10/27/2024 500 340 3.500% due 10/27/2024 (d) $ 1,650 1,040 ------------ Total Poland 18,357 (Cost $19,319) ============ -------------------------------------------------------------------------------- PORTUGAL (e)(f) 3.9% -------------------------------------------------------------------------------- Portugal Government 3.950% due 07/15/2009 (j) EC 74,300 58,462 ------------ Total Portugal 58,462 (Cost $68,661) ============ -------------------------------------------------------------------------------- QATAR (e)(f) 0.3% -------------------------------------------------------------------------------- International Credit Receivable 5.390% due 03/15/2010 JY 4,400 3,885 ------------ Total Qatar 3,885 (Cost $4,070) ============ -------------------------------------------------------------------------------- SOUTH KOREA (e)(f) 2.1% -------------------------------------------------------------------------------- Export-Import Bank Korea 4.620% due 03/20/2002 (d) DM 4,900 2,140 Hansol Paper Co. Ltd. 8.940% due 05/24/2001 (d) $ 2,000 2,020 KBC Bank Fund Trust IV 8.220% due 11/29/2049 EC 3,130 2,805 Korea Development Bank 9.600% due 12/01/2000 1,400 1,404 4.800% due 05/14/2001 (d) DM 4,540 2,031 2.770% due 05/21/2001 JY 500,000 4,723 1.880% due 02/13/2002 2,800 259 2.700% due 08/16/2002 991,000 9,437 4.700% due 03/18/2004 710,000 7,024 ------------ Total South Korea 31,843 (Cost $32,833) ============ -------------------------------------------------------------------------------- SPAIN (e)(f) 3.9% -------------------------------------------------------------------------------- Kingdom of Spain 4.950% due 07/30/2005 (j) EC 25,030 $ 21,707 5.150% due 07/30/2009 42,400 36,514 ----------- Total Spain 58,221 (Cost $62,021) =========== -------------------------------------------------------------------------------- SUPRANATIONAL (e)(f) 2.4% -------------------------------------------------------------------------------- Eurofima 4.750% due 07/07/2004 SK 4,000 404 European Investment Bank 5.380% due 08/28/2007 NK 28,000 2,843 5.500% due 12/07/2009 BP 12,000 17,031 International Bank for Reconstruction & Development 7.250% due 04/09/2001 N$ 22,372 9,132 World Bank 10.250% due 04/11/2002 PP 155,000 3,118 ----------- Total Supranational 32,528 (Cost $39,595) =========== -------------------------------------------------------------------------------- TUNISIA (e)(f) 0.2% -------------------------------------------------------------------------------- Banque Centrale De Tunisie 7.500% due 08/06/2009 EC 2,800 2,532 ----------- Total Tunisia 2,532 (Cost $2,846) =========== -------------------------------------------------------------------------------- UNITED KINGDOM (e)(f) 4.7% -------------------------------------------------------------------------------- Abbey National Treasury Service 7.630% due 12/30/2002 BP 4,170 6,309 Bank of Scotland Capital Fund 8.120% due 03/31/2049 3,180 4,691 BG Transco Holdings PLC 7.060% due 12/14/2009 (d) 5,230 7,778 Halifax Group Euro Finance 7.630% due 12/29/2049 EC 6,000 5,295 HAUS Limited 5.010% due 12/10/2037 (d) 12,800 11,301 Lloyds TSB Bank PLC 7.000% due 11/29/2049 (d) $ 1,100 909 Lloyds TSB Capital 7.380% due 02/07/2049 EC 9,250 8,235 SCCR Series 1 Ltd. 6.500% due 04/15/1932 (d) BP 183 270 5.020% due 12/15/2031 (d) 8,989 7,952 United Kingdom Gilt 5.750% due 12/07/2009 (d) 11,830 18,167 ----------- Total United Kingdom 70,907 (Cost $75,432) =========== -------------------------------------------------------------------------------- UNITED STATES (e)(f) 78.4% -------------------------------------------------------------------------------- Asset-Backed Securities 7.4% Advanta Mortgage Loan Trust 7.000% due 11/25/2029 (d) $ 2,734 2,737 AFC Home Equity Loan Trust 6.840% due 03/25/2027 (d) 3,181 3,182 Amresco Residential Securities Mortgage Loan Trust 7.090% due 06/25/2029 (d) 7,479 7,505 Argentina Funding Corp. 6.880% due 05/20/2003 (d) 700 702 Banc One Auto Grantor Trust 6.270% due 11/20/2003 235 234 Banc One Home Equity Trust 6.460% due 06/25/2029 981 976 Champion Home Equity Loan Trust 8.030% due 02/25/2028 (d) 2,504 2,555 Charter Financial, Inc. 6.590% due 02/25/2002 5,684 5,686 Chase Manhattan Grantor Trust 6.610% due 09/15/2002 135 136 Contimortgage Home Equity Loan Trust 6.420% due 04/25/2014 790 786 2000 Semi-Annual Report See accompanying notes 43 Schedule of Investments (Cont.) International Portfolio September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- GMAC Mortgage Corporation Loan Trust 6.820% due 11/18/2015 (d) $ 9,107 $ 9,108 Green Tree Financial Corp. 6.450% due 01/15/2026 10 10 6.800% due 10/15/2027 2,307 2,308 Green Tree Home Equity Loan Trust 6.290% due 10/15/2013 3,148 3,144 Metris Master Trust 7.270% due 04/20/2006 (d) 2,500 2,512 MLCC Mortgage Investors, Inc. 7.000% due 03/15/2025 (d) 11,865 11,911 Nissan Auto Receivables Grantor Trust 5.450% due 04/15/2004 659 653 Novastar Home Equity Loan 6.900% due 04/25/2028 (d) 16,455 16,429 Pacific Southwest Bank 6.060% due 06/15/2002 184 183 Providian Home Equity Loan Trust 6.910% due 06/25/2025 (d) 1,733 1,734 PSB Lending Home Loan Owner Trust 6.830% due 05/20/2018 1,930 1,917 Salomon Brothers Mortgage Securities 7.040% due 11/15/2029 (d) 4,058 4,068 6.960% due 02/25/2030 (d) 17,854 17,901 United Panama Mortgage Loan 7.070% due 10/25/2029 (d) 14,424 14,415 ------------ 110,792 ============ Corporate Bonds & Notes 16.0% AESOP Funding II LLC 6.220% due 10/20/2001 (d) 183 183 Associates Corp. of North America 6.960% due 05/08/2003 (d) 3,720 3,717 AT&T Capital Corp. 7.010% due 04/23/2002 (d) 4,500 4,512 Bear Stearns Co., Inc. 7.130% due 03/28/2003 (d) 5,750 5,750 BTM Holdings 7.160% due 09/29/2049 (d) 500 500 Coastal Corp. 7.290% due 03/01/2002 (d) 10,000 10,000 Donaldson, Lufkin & Jenrette, Inc. 6.760% due 04/25/2003 (d) 4,140 4,139 DQE Capital Corp. 7.230% due 01/15/2002 (d) 1,400 1,399 Enron Corp. 7.110% due 09/10/2001 (d) 3,500 3,500 Finova Capital Corp. 7.340% due 11/08/2002 (d) 5,260 4,278 7.190% due 04/08/2003 (d) 2,900 2,471 Ford Motor Credit Corp. 1.000% due 12/22/2003 JY 44,000 404 7.080% due 07/19/2004 (d) $ 4,100 4,104 1.200% due 02/07/2005 JY 458,000 4,174 General Motors Acceptance Corp. 6.810% due 01/28/2002 (d) $ 5,100 5,103 0.300% due 07/26/2002 341,000 3,157 6.880% due 11/12/2002 (d) 3,000 3,004 7.020% due 04/05/2004 (d) 1,160 1,158 7.020% due 04/05/2004 (d) 32,860 32,819 6.880% due 09/09/2004 BP 7,290 10,791 5.500% due 02/02/2005 EC 16,900 14,652 Gold Eagle Capital Ltd. 9.000% due 04/15/2001 $ 7,000 6,992 Lehman Brothers Holdings, Inc. 7.170% due 04/04/2003 (d) 4,900 4,902 Merrill Lynch & Co. 6.790% due 11/01/2001 (d) 7,710 7,718 Morgan Stanley, Dean Witter, Discover and Co. 6.840% due 01/28/2002 (d) 20,400 20,435 6.910% due 05/05/2003 (d) 1,000 1,002 Procter & Gamble Co. 1.500% due 12/07/2005 JY 1,000,000 9,258 Protective Life Funding Trust 7.090% due 01/17/2003 (d) $ 2,100 2,097 Prudential Funding Corp. 6.850% due 12/21/2000 (d) 7,900 7,900 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 13,276 13,119 6.720% due 10/21/2002 (d) BP 2,480 3,656 6.910% due 02/11/2003 (d) $ 400 400 Sierra Pacific Resources 7.390% due 04/20/2002 (d) 400 400 Sprint Spectrum LP 11.000% due 08/15/2006 6,845 7,357 Texas Utilities Co. 7.210% due 06/25/2001 (d) 17,700 17,688 7.590% due 09/24/2001 (d) 4,300 4,323 Williams Communications Group, Inc. 7.180% due 11/15/2001 (d) 13,200 13,209 ----------- 240,271 =========== Mortgage-Backed Securities 39.4% CDC Depositor Trust I 7.100% due 12/14/2001 (d) 8,400 8,426 Chase Mortgage Finance Corp. 6.550% due 08/25/2028 1,820 1,805 Citicorp Mortgage Securities, Inc. 6.500% due 07/25/2028 1,854 1,834 Countrywide Home Loans 6.750% due 08/25/2028 893 886 Crusade Global Trust 7.010% due 05/15/2021 (d) 26,100 26,165 Federal National Mortgage Association 7.000% due 01/01/2005-02/25/2020 (g) 11,767 6,553 Government National Mortgage Association 7.000% due 06/20/1930-10/23/2030 (d)(g) 358,016 181,767 6.750% due 07/20/2025 (d) 963 973 6.750% due 09/20/2025 (d) 476 481 7.380% due 05/20/2026 (d) 1,908 1,922 6.000% due 10/23/2030 99,000 92,875 7.500% due 10/23/2030 39,700 39,812 8.000% due 10/23/2030 160,000 162,850 J.P. Morgan Commercial Mortgage Finance Corp. 6.900% due 04/15/2010 (d) 12,198 12,198 Medallion Trust 6.960% due 07/12/2031 (d) 11,460 11,460 Nationslink Funding Corp. 6.970% due 04/10/2007 (d) 1,483 1,484 Residential Funding Mortgage Securities, Inc. 6.750% due 06/25/2028 950 942 7.090% due 05/12/2032 (d) 30,479 30,479 Sasco Floating Rate Commercial Mortgage 7.020% due 11/20/2001 (d) 3,923 3,930 Starwood Asset Receivable Trust 6.920% due 09/25/2022 (d) 2,990 2,993 ----------- 589,835 =========== U.S. Government Agencies 2.4% Federal Home Loan Bank 7.270% due 02/15/2002 (d) 31,480 31,087 Student Loan Marketing Assn. 6.830% due 10/25/2004 (d) 936 935 6.590% due 10/25/2007 (d) 3,500 3,487 ----------- 35,509 =========== U.S. Treasury Obligations 13.2% Treasury Inflation Protected Securities (h) 3.630% due 07/15/2002 142,637 142,593 U.S. Treasury Bonds 8.750% due 08/15/2020 (j) 29,800 38,712 U.S. Treasury Strips 0.000% due 02/15/2015 39,400 16,431 ----------- 197,736 ----------- Total United States 1,174,143 (Cost $1,777,080) =========== 44 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------------------- PURCHASED PUT OPTIONS 0.0% -------------------------------------------------------------------------------- General National Mortgage Association (OTC) 6.000% due 12/20/2030 Strike @ 84.77 Exp. 12/13/2000 $ 99,000 $ 15 General National Mortgage Association (OTC) 7.000% due 12/20/2030 Strike @ 93.11 Exp. 12/13/2000 133,920 21 General National Mortgage Association (OTC) 7.500% due 12/20/2030 Strike @ 93.11 Exp. 12/13/2000 39,700 6 General National Mortgage Association (OTC) 8.000% due 12/20/2030 Strike @ 95.08 Exp. 12/13/2000 160,000 25 ------------ Total Purchased Put Options 67 (Cost $68) ============ -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 28.2% -------------------------------------------------------------------------------- Commercial Paper 28.1% Alcoa, Inc. 6.500% due 12/06/2000 12,000 11,853 6.490% due 12/12/2000-12/14/2000 (g) 41,000 28,214 American Electric Power, Inc. 6.700% due 10/18/2000 300 299 Anz, Inc. 6.540% due 11/07/2000-11/08/2000 (g) 63,800 56,427 Bank One Corp. 6.470% due 12/19/2000 8,800 8,672 Cba (de) Finance 6.460% due 12/14/2000 2,600 2,564 Coca-Cola Co. 6.490% due 12/11/2000-12/13/2000 (g) 14,300 13,618 Conagra, Inc. 6.670% due 10/18/2000 4,600 4,586 6.680% due 10/27/2000 2,600 2,588 6.670% due 11/15/2000 2,200 2,182 Dominion Resources, Inc. 6.710% due 10/18/2000 1,500 1,496 6.770% due 11/06/2000 11,300 11,226 6.710% due 11/09/2000 1,700 1,688 Edison Midwest 6.750% due 11/01/2000 5,000 4,972 6.710% due 11/15/2000 4,000 3,967 Federal Home Loan Mortgage Corp. 6.440% due 10/24/2000 39,400 39,245 6.410% due 11/30/2000 14,800 14,635 General Electric Capital Corp. 6.470% due 12/20/2000 1,000 985 6.500% due 12/20/2000 13,300 13,104 Gillette Co. 6.520% due 12/12/2000 45,100 44,499 Ingersoll-Rand Co. 6.740% due 11/15/2000 5,100 5,058 International Business Machines Corp. 6.540% due 11/01/2000 7,400 7,360 International Paper Co. 6.700% due 10/05/2000 17,400 17,390 Minnesota Mining & Manufacturing 6.470% due 11/28/2000 500 494 Motorola, Inc. 6.470% due 12/27/2000 3,100 3,050 6.490% due 12/27/2000 300 295 Natural Rural Utilities 6.520% due 11/15/2000 18,100 17,956 SBC Communications, Inc. 6.470% due 12/06/2000 15,700 15,508 6.490% due 12/06/2000 1,500 1,482 Sprint Capital Corp. 6.700% due 10/25/2000 4,000 3,983 Swedbank, Inc. 6.590% due 10/18/2000 16,200 16,153 Verizon Global Funding 6.500% due 12/11/2000 7,600 7,500 6.470% due 12/14/2000-12/20/2000 (g) 96,700 47,981 Williams Holdings 7.230% due 04/10/2001 9,500 9,504 Yorkshire Building Society 6.470% due 12/20/2000 1,000 986 ------------ 421,520 ============ Repurchase Agreements 0.1% State Street Bank 5.850% due 10/02/2000 1,310 1,310 (Dated 9/29/2000. Collateralized by ------------ Federal National Mortgage Association 6.100% due 08/10/2001 valued at $1,341. Repurchase proceeds are $1,311.) U.S. Treasury Bills (b) 0.0% U.S. Treasury Bills 5.850% due 02/01/2001 40 39 ------------ Total Short-Term Instruments 422,869 (Cost $422,984) ============ Total Investments (a) 159.4% $ 2,388,199 (Cost $2,456,839) Written Options (c) (0.0%) (691) (Premiums $1,181) Other Assets and Liabilities (Net) (59.4%) (889,279) ------------ Net Assets 100.0% $ 1,498,229 ============ Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 5,348 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (73,988) ----------- Unrealized depreciation-net $ (68,640) =========== (b) Securities with an aggregate market value of $4,985 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2000: Unrealized # of Appreciation/ Type Contracts (Depreciation) ------------------------------------------------------------------------ Canada 10 Year Note (12/2000) 432 $ (211) EuroBond 10 Year Note (12/2000) 3,061 702 U.S. Treasury 10 Year Note (12/2000) 9 0 Government of Japan 10 Year Note (12/2000) 34 (76) United Kingdom 10 Year Note (12/2000) 922 (814) United Kingdom 90 Day LIBOR Futures (06/2001) 295 (10) EuroBond 10 Year Note Written Put Options (11/2000) 451 146 ------------ $ (263) ============ 2000 Semi-Annual Report See accompanying notes 45 Schedule of Investments (Cont.) International Portfolio September 30, 2000 (Unaudited) -------------------------------------------------------------------------------- (c) Premiums received on written options: # of Type Contracts Premium Value ----------------------------------------------------------------------------- Call - CBOT U.S. Treasury Note December Futures Strike @ 103.00 Exp. 11/18/2000 94 $ 14 $ 11 Call - CBOT U.S. Treasury Note December Futures Strike @ 102.00 Exp. 11/18/2000 94 27 22 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.84 Exp. 10/10/2000 28,180,000 141 6 Call - OTC Eurodollar vs. U.S. Dollar Strike @ 0.90 Exp. 10/10/2000 28,180,000 122 61 Put - CME Eurodollar March Futures Strike @ 92.75 Exp. 03/19/2001 58 40 2 Call - CME Eurodollar March Futures Strike @ 93.25 Exp. 03/19/2001 156 38 116 Put - CME Eurodollar March Futures Strike @ 92.25 Exp. 03/19/2001 98 57 1 Put - CBOT U.S. Treasury Note December Futures Strike @ 98.00 Exp. 11/18/2000 46 29 8 Put - CBOT U.S. Treasury Note December Futures Strike @ 97.00 Exp. 11/18/2000 46 17 4 Call - TSE Government of Japan December Futures Strike @ 134.00 Exp. 11/30/2000 77 143 154 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.81 Exp. 12/21/2000 37,500,000 135 81 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.85 Exp. 10/24/2000 22,200,000 109 56 Put - OTC Eurodollar vs. U.S. Dollar Strike @ 0.85 Exp. 10/24/2000 66,700,000 309 169 ------------------- $ 1,181 $ 691 =================== (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) ------------------------------------------------------------------ Sell A$ $ 10,615 10/2000 $ 410 Buy 829 10/2000 (10) Buy 19,156 11/2000 (26) Sell 11,191 11/2000 (8) Sell C$ 14,355 10/2000 139 Buy 8,900 10/2000 (66) Sell SF 40,540 10/2000 (350) Buy 19,770 10/2000 19 Sell 19,770 11/2000 (15) Sell DK 177,858 10/2000 (129) Buy 6,304 10/2000 14 Sell EC 6,740 01/2001 483 Buy 49,312 10/2000 (1,000) Sell 49,128 10/2000 (229) Sell 46,221 11/2000 (121) Sell BP 42,922 10/2000 (845) Sell 1,343 03/2001 (31) Buy GD 6,063,766 01/2001 (419) Sell 3,962,359 12/2000 (20) Sell H$ 438,783 08/2001 201 Buy 200,100 08/2001 (25) Buy HF 2,169,000 01/2001 (1,180) Sell 2,169,000 01/2001 544 Buy 3,570,000 02/2001 (410) Buy JY 8,675,492 10/2000 (100) Sell 7,971,968 10/2000 1,401 Sell 7,251,955 11/2000 (2) Buy MP 14,423 10/2000 72 Sell 14,423 10/2000 (41) Sell NK 28,984 10/2000 (80) Sell N$ 147,177 10/2000 3,310 Buy 123,976 10/2000 (1,510) Sell 66,354 11/2000 406 Buy PZ 23,629 01/2001 (270) Buy 95,275 02/2001 (508) Buy 21,950 03/2001 (220) Sell 60,960 02/2001 (20) Sell 12,119 01/2001 (130) Sell 16,470 03/2001 (240) Sell SK 3,922 10/2000 8 Buy VB 1,053,720 10/2000 74 ----------- $ (924) =========== (f) Principal amount denoted in indicated currency: A$ - Australian Dollar BP - British Pound C$ - Canadian Dollar DK - Danish Krone EC - Euro GD - Greek Drachma H$ - Hong Kong Dollar HF - Hungarian Forint JY - Japanese Yen MP - Mexican Peso N$ - New Zealand Dollar NK - Norwegian Kron PZ - Polish Zloty SF - Swiss Franc SK - Swedish Krona VB - Venezuelan Bolivar (g) Securities are grouped by coupon or range of coupons and represent a range of maturities. 46 PIMCO Funds See accompanying notes ------------------------------------------------------------------ (h) Principal amount of the security is adjusted for inflation. (i) Swap agreements outstanding at September 30, 2000: Unrealized Notional Appreciation/ Type Amount Depreciation ------------------------------------------------------------------ Receive floating rate based on 6-month Australian Bank Bill and pay a fixed rate equal to 6.667%. Broker: Morgan Stanley Exp. 09/20/2005 A$ 66,500 $ 14 Receive fixed rate equal to 7.470% and pay floating rate based on 3-month New Zealand Bank Bill. Broker: Citibank Exp. 08/31/2001 N$ 50,000 384 Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.346%. Broker: Goldman Sachs Exp. 07/19/2005 C$ 44,000 (365) Receive floating rate based on 3-month Canadian Bank Bill and pay fixed rate equal to 6.248%. Broker: Royal Bank of Canada Exp. 08/02/2005 133,300 (739) Receive floating rate based on 3-month Canadian Bank Bill and pay fixed rate equal to 6.515%. Broker: J.P. Morgan Exp. 05/10/2002 51,990 (342) Receive floating rate based on 6-month JY-LIBOR and pay fixed rate equal to 2.020%. Broker: Goldman Sachs Exp. 05/18/2010 JY 7,436,060 116 Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to 6.175%. Broker: Goldman Sachs Exp. 05/22/2030 EC 20,260 (204) Receive a fixed rate equal to 7.291% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 07/21/2005 $ 29,500 672 Receive a fixed rate equal to 7.010% and pay floating rate based on 6-month LIBOR. Broker: Morgan Stanley Exp. 09/20/2005 39,000 438 Receive floating rate based on 6-month EURO-LIBOR and pay fixed rate equal to 6.069%. Broker: Morgan Stanley Exp. 08/25/2030 EC 15,500 113 ---------- $ 87 ========== (j) Subject to financing transaction. (k) Restricted security. 2000 Semi-Annual Report See accompanying notes 47 Schedule of Investments Emerging Markets Portfolio September 30, 2000 (Unaudited) Principal Amount Value (000s) (000s) -------------------------------------------------------------------- ARGENTINA 0.2% -------------------------------------------------------------------- Republic of Argentina 0.000% due 04/15/2001 $ 600 $ 578 11.375% due 01/30/2017 350 313 6.000% due 03/31/2023 450 309 ---------- Total Argentina 1,200 (Cost $1,191) ========== -------------------------------------------------------------------- BALTIC NATIONS 0.0% -------------------------------------------------------------------- Republic of Kazakhstan 8.375% due 10/02/2002 $ 200 197 ---------- Total Baltic Nations 197 (Cost $198) ========== -------------------------------------------------------------------- BERMUDA 0.3% -------------------------------------------------------------------- IMEXA Export Trust 10.125% due 05/31/2003 $ 1,772 1,766 ---------- Total Bermuda 1,766 (Cost $1,734) ========== -------------------------------------------------------------------- BRAZIL 10.0% -------------------------------------------------------------------- Republic of Brazil 0.000% due 04/15/2006 (d) $ 22,371 21,109 7.437% due 04/15/2009 (d) 3,500 3,073 14.500% due 10/15/2009 4,700 5,194 8.000% due 04/15/2014 2,487 1,903 6.000% due 04/15/2024 10,250 6,868 12.250% due 03/06/2030 13,750 12,513 11.000% due 08/17/2040 2,635 2,105 ---------- Total Brazil 52,765 (Cost $52,109) ========== -------------------------------------------------------------------- BULGARIA 11.5% -------------------------------------------------------------------- Republic of Bulgaria 7.062% due 07/28/2011 (d) $ 12,250 9,279 2.750% due 07/28/2012 (d) 10,406 7,580 7.750% due 07/28/2024 (d) 57,550 44,025 ---------- Total Bulgaria 60,884 (Cost $63,102) ========== -------------------------------------------------------------------- CHILE 0.6% -------------------------------------------------------------------- Republic of Chile 6.875% due 04/28/2009 $ 3,350 3,153 ---------- Total Chile 3,153 (Cost $3,162) ========== -------------------------------------------------------------------- COLOMBIA 2.7% -------------------------------------------------------------------- Republic of Colombia 10.875% due 03/09/2004 $ 2,430 2,351 12.832% due 08/13/2005 (d) 60 59 7.625% due 02/15/2007 2,480 1,903 9.750% due 04/23/2009 5,600 4,621 11.750% due 02/25/2020 6,500 5,517 ---------- Total Colombia 14,451 (Cost $15,211) ========== -------------------------------------------------------------------- CROATIA 2.0% -------------------------------------------------------------------- Republic of Croatia 7.000% due 02/27/2002 $ 4,000 3,916 7.000% due 03/28/2005 EC 1,000 878 7.750% due 07/31/2006 $ 6,058 5,679 ---------- Total Croatia 10,473 (Cost $10,668) ========== -------------------------------------------------------------------- IVORY COAST 0.2% -------------------------------------------------------------------- Ivory Coast 1.900% due 03/30/2018 FF 44,650 $ 1,023 ---------- Total Ivory Coast 1,023 (Cost $1,838) ========== -------------------------------------------------------------------- JORDAN 2.0% -------------------------------------------------------------------- Kingdom of Jordan 6.000% due 12/23/2023 $ 14,150 10,574 ---------- Total Jordan 10,574 (Cost $9,600) ========== -------------------------------------------------------------------- MALAYSIA 1.0% -------------------------------------------------------------------- Republic of Malaysia 6.875% due 05/15/2001 $ 900 900 8.750% due 06/01/2009 4,000 4,208 ---------- Total Malaysia 5,108 (Cost $5,086) ========== -------------------------------------------------------------------- MEXICO 19.9% -------------------------------------------------------------------- Banco Nacional de Comercio Exterior 8.000% due 08/05/2003 $ 3,627 3,641 Cemex SA 8.625% due 07/18/2003 3,250 3,291 Grupo Iusacell SA De CV 14.250% due 12/01/2006 3,000 3,188 Grupo Televisa SA 1.000% due 05/15/2008 (f) 0 0 Myra-Lehman Brothers Holdings, Inc. 6.700% due 11/30/2006 (d) 1,695 1,568 Nacional Financiera 10.562% due 12/01/2000 (d) 500 498 9.750% due 03/12/2002 100 104 Petroleos Mexicanos 8.131% due 07/15/2005 (d) 950 952 9.375% due 12/02/2008 500 515 United Mexican States 1.000% due 04/07/2004 EC 3,500 3,232 10.375% due 02/17/2009 $ 750 818 9.875% due 02/01/2010 5,950 6,326 7.925% due 12/31/2019 (d) 10,000 10,449 6.250% due 12/31/2019 30,500 27,337 7.312% due 12/31/2019 5,175 5,407 7.800% due 12/31/2019 2,500 2,612 11.500% due 05/15/2026 28,550 34,938 United Mexican States Recovery Rights 0.000% due 06/30/2003 28,728 0 ---------- Total Mexico 104,876 (Cost $102,496) ========== -------------------------------------------------------------------- MOROCCO 0.7% -------------------------------------------------------------------- Morocco Restructured Tranche A 6.937% due 01/01/2009 $ 4,190 3,708 ---------- Total Morocco 3,708 (Cost $3,698) ========== -------------------------------------------------------------------- PANAMA 6.2% -------------------------------------------------------------------- Republic of Panama 7.875% due 02/13/2002 $ 188 186 7.930% due 05/10/2002 151 148 4.500% due 07/17/2014 28,375 22,930 8.875% due 09/30/2027 5,000 4,188 9.375% due 04/01/2029 5,250 5,053 ---------- Total Panama 32,505 (Cost $32,812) ========== 48 PIMCO Funds See accompanying notes Principal Amount Value (000s) (000s) -------------------------------------------------------------------- PERU 5.6% -------------------------------------------------------------------- Republic of Peru 4.500% due 03/07/2017 (d) $ 38,438 $ 23,986 3.750% due 03/07/2017 10,350 5,791 ---------- Total Peru 29,777 (Cost $33,391) ========== -------------------------------------------------------------------- PHILIPPINES 6.8% -------------------------------------------------------------------- Bangko Sentral Pilipinas 8.600% due 06/15/2027 $ 175 119 Central Bank Philippines 6.937% due 01/05/2005 (d) 5,350 5,051 7.937% due 06/01/2008 1,497 1,340 Republic of Philippines 8.000% due 09/17/2004 EC 4,000 3,553 7.937% due 12/01/2007 $ 2,493 2,006 6.500% due 12/01/2017 12,800 9,871 9.875% due 01/15/2019 16,740 13,769 ---------- Total Philippines 35,709 (Cost $38,231) ========== -------------------------------------------------------------------- POLAND 11.2% -------------------------------------------------------------------- Republic of Poland 6.000% due 10/27/2014 $ 24,500 22,540 4.000% due 10/27/2024 6,650 4,522 3.500% due 10/27/2024 51,240 32,281 ---------- Total Poland 59,343 (Cost $58,642) ========== -------------------------------------------------------------------- QATAR 1.9% -------------------------------------------------------------------- State of Qatar 7.270% due 02/18/2004 (d) $ 1,000 993 9.750% due 06/15/2030 8,750 9,002 ---------- Total Qatar 9,995 (Cost $9,859) ========== -------------------------------------------------------------------- SLOVAKIA 0.1% -------------------------------------------------------------------- Slovak Wireless 11.250% due 03/30/2007 EC 500 444 ---------- Total Slovakia 444 (Cost $485) ========== -------------------------------------------------------------------- SOUTH KOREA 16.3% -------------------------------------------------------------------- Cho Hung Bank 11.875% due 04/01/2010 $ 3,000 2,985 Export-Import Bank Korea 6.500% due 11/15/2006 2,500 2,435 7.100% due 03/15/2007 10,821 10,752 Hanvit Bank 11.750% due 03/01/2010 4,800 4,776 12.750% due 03/01/2010 3,750 3,831 Korea Development Bank 7.675% due 10/06/2000 (d) 5,500 5,500 7.125% due 09/17/2001 5,604 5,593 7.625% due 10/01/2002 1,300 1,301 8.294% due 06/16/2003 (d) 3,000 2,940 6.625% due 11/21/2003 2,900 2,824 7.125% due 04/22/2004 5,150 5,054 7.375% due 09/17/2004 8,000 7,886 Korea National Housing 10.343% du05/23/2001 11,000 11,220 Republic of Korea 8.875% due 04/15/2008 12,240 12,852 SK Telecom Co. Ltd. 7.750% due 04/29/2004 6,000 5,954 ---------- Total South Korea 85,903 (Cost $85,113) ========== -------------------------------------------------------------------- TUNISIA 1.3% -------------------------------------------------------------------- Banque Centrale De Tunisie 7.500% due 08/06/2009 EC 2,700 2,444 8.250% due 09/19/2027 4,750 4,144 ---------- Total Tunisia 6,588 (Cost $6,724) ========== -------------------------------------------------------------------- TURKEY 0.3% -------------------------------------------------------------------- Export Credit Bank of Turkey 11.500% due 02/25/2005 $ 900 891 Republic of Turkey 11.875% due 11/05/2004 400 417 ---------- Total Turkey 1,308 (Cost $1,310) ========== -------------------------------------------------------------------- URUGUAY 1.7% -------------------------------------------------------------------- Banco Central Del Uruguay 8.062% due 02/19/2006 (d) $ 162 147 Republica Oriental Del Uruguay 7.250% due 05/04/2009 9,500 8,704 ---------- Total Uruguay 8,851 (Cost $9,463) ========== -------------------------------------------------------------------- VENEZUELA 0.2% -------------------------------------------------------------------- Republic of Venezuela 7.437% due 03/31/2007 $ 929 785 9.250% due 09/15/2027 750 507 ---------- Total Venezuela 1,292 (Cost $1,212) ========== -------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 11.8% -------------------------------------------------------------------- Commercial Paper 11.3% American Electric Power, Inc. 6.700% due 10/18/2000 $ 3,900 3,888 Bell South Telecommunications, Inc. 6.490% due 11/01/2000 200 199 Campbell Soup Co. 6.490% due 12/04/2000 14,200 14,039 Conagra, Inc. 6.700% due 10/18/2000 1,100 1,097 6.670% due 11/15/2000 5,000 4,959 Dominion Resources, Inc. 6.710% due 10/18/2000 5,400 5,384 General Electric Capital Corp. 6.490% due 12/07/2000 600 593 6.470% due 12/13/2000 500 494 6.520% due 01/19/2001 1,800 1,764 Infinity Broadcasting Corp. 6.710% due 11/15/2000 7,000 6,943 Ingersoll-Rand Co. 6.690% due 10/04/2000 1,000 1,000 International Paper Co. 6.700% due 10/05/2000 4,000 3,998 6.720% due 11/28/2000 15,000 14,840 Motorola, Inc. 6.480% due 12/26/2000 300 295 ---------- 59,493 Repurchase Agreement 0.5% ========== State Street Bank 5.850% due 10/02/2000 2,834 2,834 (Dated 9/29/2000. Collateralized by Federal Home Loan Bank 7.025% due 03/06/2002 valued at $2,895. Repurchase proceeds are $2,835.) ---------- Total Short-Term Instruments 62,327 (Cost $62,327) ========== 2000 Semi-Annual Report See accompanying notes 49 Schedule of Investments (Cont.) Emerging Markets Portfolio September 30, 2000 (Unaudited) Value (000s) -------------------------------------------------------------------- Total Investments (a) 114.5% $ 604,220 (Cost $609,662) Other Assets and Liabilities (Net) (14.5%) (76,388) ---------- Net Assets 100.0% $ 527,832 ========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2000, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 6,666 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (12,108) ---------- Unrealized depreciation-net $ (5,442) ========== (b) Foreign forward currency contracts outstanding at September 30, 2000: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) -------------------------------------------------------------------- Buy CL 674,375 12/2000 $ (53) Sell EC 13,145 10/2000 382 Buy 3,316 10/2000 (88) Buy 527 11/2000 (89) Sell 527 11/2000 100 Buy HF 1,990,000 11/2000 (392) Buy PZ 13,250 11/2000 64 Buy 15,000 12/2000 (53) Buy 7,000 01/2001 (59) Buy 4,500 02/2001 (29) Buy 5,000 03/2001 (59) ---------- $ (276) ========== (c) Principal amount denoted in indicated currency: CL - Chilean Peso EC - Euro HF - Hugarian Forint PZ - Polish Zloty (d) Variable rate security. The rate listed is as of September 30, 2000. (e) Swap agreements outstanding at September 30, 2000: Notional Unrealized Type Amount Appreciation -------------------------------------------------------------------- Receive fixed rate equal to 6.000% and the Fund will pay to the counterparty at par in the event of default of the Republic of Venezuela 9.250% due 09/15/2027. Broker: Deutsche Bank AG New York Exp. 03/31/2001 $ 3,500 $ 2 ---------- (f) Security becomes interest bearing at a future date. 50 PIMCO Funds See accompanying notes Notes to Financial Statements September 30, 2000 (Unaudited) 1. Organization PIMCO Funds: Pacific Investment Management Series (the Trust) was established as a Massachusetts business trust on February 19, 1987. The Trust is registered under the Investment Company Act of 1940 (the Act), as amended, as an open-end investment management company. The Trust currently consists of 35 separate investment portfolios. The Short-Term, U.S. Government Sector, Mortgage, Real Return Bond, Investment Grade Corporate, Municipal Sector, International, and Emerging Market Bond Portfolios (the "Portfolios") are a series of the Trust. The following is a summary of significant accounting policies followed in the preparation of the Portfolios' financial statements. The policies are in conformity with accounting principles generally accepted in the United States. 2. Significant Accounting Policies The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States. The preparation of financial statements in accordance with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Security Valuation. Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is determined on the basis of last reported sales prices, or if no sales are reported, as is the case for most securities traded over-the-counter, the mean between representative bid and asked quotations obtained from a quotation reporting system or from established market makers. Fixed income securities, including those to be purchased under firm commitment agreements (other than obligations having a maturity of sixty days or less), are normally valued on the basis of quotes obtained from brokers and dealers or pricing services. Short-term investments having a maturity of sixty days or less are valued at amortized cost, which approximates market value. Certain fixed income securities for which daily market quotations are not available may be valued, pursuant to guidelines established by the Board of Trustees, with reference to fixed income securities whose prices are more readily obtainable. Securities Transactions and Investment Income. Securities transactions are recorded as of the trade date. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses from securities sold are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, are recorded as soon as the Portfolio is informed of the ex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis. Dividends and Distributions to Shareholders. Dividends from net investment income, if any, are declared and distributed on a quarterly basis to shareholders. Net realized capital gains earned by a Portfolio, if any, will be distributed no less frequently than once each year. Income dividends and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States. These differences are primarily due to differing treatments for such items as wash sales, foreign currency transactions, net operating losses and capital loss carryforwards. Distributions reflected as a tax basis return of capital in the accompanying Statements of Changes in Net Assets have been reclassified to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed net realized gains or losses and paid in capital to more appropriately conform financial accounting to tax characterizations of dividend and distributions. Foreign Currency. Foreign currencies, investments, and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Fluctuations in the value of these assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses). Realized gains (losses) and unrealized appreciation (depreciation) on investment securities and income and expenses are translated on the respective dates of such transactions. The effect of changes in foreign currency exchange rates on investments in securities are not segregated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities. Federal Income Taxes. Each Portfolio intends to qualify as a regulated investment company and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made. 2000 Semi-Annual Report See accompanying notes 51 Notes to Financial Statements (Cont.) September 30, 2000 (Unaudited) Financing Transactions. A Portfolio may enter into financing transactions consisting of the sale by the Portfolio of securities, together with a commitment to repurchase similar securities at a future date. The difference between the selling price and the future purchase price is an adjustment to interest income. If the counterparty to whom the Portfolio sells the security becomes insolvent, a Portfolio's right to repurchase the security may be restricted; the value of the security may change over the term of the financing transaction; and the return earned by a Portfolio with the proceeds of a financing transaction may not exceed transaction costs. Futures and Options. The Portfolios are authorized to enter into futures contracts and options. A Portfolio may use futures contracts and options to manage its exposure to the securities markets or to movements in interest rates and currency values. The primary risks associated with the use of futures contracts and options are imperfect correlation between the change in market value of the securities held by a Portfolio and the prices of futures contracts and options, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. Futures contracts and purchased options are valued based upon their quoted daily settlement prices. The premium received for a written option is recorded as an asset with an equal liability which is marked to market based on the option's quoted daily settlement price. Fluctuations in the value of such instruments are recorded as unrealized appreciation (depreciation) until terminated, at which time realized gains and losses are recognized. Forward Currency Contracts. The Portfolios are authorized to enter into forward foreign exchange contracts for the purpose of hedging against foreign exchange risk arising from the Portfolio's investment or anticipated investment in securities denominated in foreign currencies. A Portfolio also may enter into these contracts for purposes of increasing exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one country to another. All commitments are marked to market daily at the applicable translation rates and any resulting unrealized gains or losses are recorded. Realized gains or losses are recorded at the time the forward contract matures or by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Swaps. The Portfolios are authorized to enter into interest rate, total return and currency exchange swap agreements in order to obtain a desired return at a lower cost than if the Portfolio had invested directly in the asset that yielded the desired return. Swaps involve commitments to exchange components of income (generally interest or returns) pegged to the underlying assets based on a notional principal amount. Swaps are marked to market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gains or losses in the Statements of Operations. A Portfolio bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a counterparty. Delayed Delivery Transactions. A Portfolio may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by a Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, a Portfolio will set aside and maintain until the settlement date in a segregated account, liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, a Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. A Portfolio may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Portfolio has sold a security on a delayed delivery basis, the Portfolio does not participate in future gains and losses with respect to the security. Forward sales commitments are accounted for by the Portfolio in the same manner as forward currency contracts discussed above. Inflation-Indexed Bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond will be considered interest income, even though principal is not received until maturity. Repurchase Agreements. Each Portfolio may engage in repurchase transactions. Under the terms of a typical repurchase agreement, the Portfolio takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the Portfolio to resell, the obligation at an agreed-upon price and time. The market value of the collateral must be equal at all times to the total amount of the repurchase obligations, including interest. Generally, in the event of counterparty default, the Portfolio has the right to use the collateral to offset losses incurred. 52 PIMCO Funds Restricted Securities. Certain Portfolios are permitted to invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. 3. Fees, Expenses, and Related Party Transactions Investment Advisory Fee. Pacific Investment Management Company (PIMCO) is a wholly owned subsidiary partnership of PIMCO Advisors L.P. which serves as investment adviser (the Adviser) to the Trust, pursuant to an investment advisory contract. The Adviser receives a monthly fee from each Portfolio at an annual rate based on average daily net assets of the Portfolio. The Advisory Fee is charged at the annual rate of 0.02% for all Portfolios. Administration Fee. PIMCO serves as administrator (the Administrator), and provides administrative services to the Trust for which it receives from each Portfolio a monthly administrative fee based on each Portfolio's average daily net assets. The Administration Fee is charged at the annual rate of 0.10% for International and Emerging Markets Portfolios; and 0.03% for all other Portfolios. Reorganization on Advisory and Administration Fee. On March 3, 2000, the shareholders of the Former PIMCO International Bond Fund and PIMCO Emerging Markets Bond Fund II approved for the reorganization of these funds as a corresponding new PIMCO Funds: Private Account Series. The shareholders approved a new management agreement with PIMCO Private Account Portfolio Series effective March 31, 2000, which replaced the previous contract. The fees under the PIMCO Private Account Series as of April 1, 2000, for the Institutional Share Class will be as follows: Portfolio Advisory Admin Total Operating -------------------------------------------------------------------------------- International 0.02% 0.10% 0.12% Emerging Markets 0.02% 0.10% 0.12% All Other Portfolios 0.02% 0.03% 0.05% The previous fees under the Pacific Investment Management Series for the Institutional Share Class were: Portfolio Advisory Admin Total Operating -------------------------------------------------------------------------------- International Portfolio 0.25% 0.25% 0.50% Emerging Markets Portfolio 0.45% 0.40% 0.85% Expenses. The Trust is responsible for the following expenses: (i) salaries and other compensation of any of the Trust's executive officers and employees who are not officers, directors, stockholders or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees; (iii) brokerage fees and commissions and other portfolio transaction expenses; (iv) the costs of borrowing money, including interest expenses; (v) fees and expenses of the Trustees who are not interested persons of PIMCO or the Trust, and any counsel retained exclusively for their benefit; (vi) extraordinary expenses, including costs of litigation and indemnification expenses; (vii) organization expenses and (viii) expenses, such as organizational expenses. PIMCO has agreed to waive a portion of Short-Term, U.S. Government Sector, Mortgage, Real Return Bond and Investment Grade Municipal Sector Portfolios administrative fees to the extent that the payment of each Portfolio's pro rata share of Trustee fees and organizational expenses cause the actual expense ratios to rise above the rates disclosed then-current in the prospectus plus 0.49 basis points (calculated as a percentage of each Portfolio's average daily net assets). PIMCO may be reimbursed for these waived amounts in future periods. Each unaffiliated Trustee receives an annual retainer of $45,000, plus $3,000 for each Board of Trustees meeting attended in person and $500 for each meeting attended telephonically, plus reimbursement of related expenses. In addition, each committee chair receives an annual retainer of $1,500. These expenses are allocated to the Portfolios of the Trust according to their respective net assets. Distributor. PIMCO Funds Distributors LLC, (PFD), a wholly-owned subsidiary of PIMCO Advisors L.P., serves as the distributor of the Portfolios' shares. 2000 Semi-Annual Report 53 Notes to Financial Statements (Cont.) September 30, 2000 (Unaudited) 4. Shares of Beneficial Interest The Trust may issue an unlimited number of shares of beneficial interest with a $.0001 par value. Changes in shares of beneficial interest were as follows (shares and amounts in thousands):
Short Term Portfolio U.S. Government Sector Portfolio -------------------- ------------------------------------ Period Ended Period Ended Year Ended 09/30/2000 09/30/2000 03/31/2000 Shares Amount Shares Amount Shares Amount -------------------- ------------------------------------ Receipts for shares sold 10,000 $ 99,999 57,107 $ 614,003 31,467 $319,000 Issued as reinvestment of distributions 270 2,716 1,577 17,140 118 1,221 Cost of shares redeemed 0 0 (20,906) (225,707) (2,230) (23,100) Net increase (decrease) resulting from Portfolio share transactions 10,270 $102,715 37,778 $ 405,436 29,355 $297,121 Mortgage Portfolio ---------------------------------------- Period Ended Year Ended 09/30/2000 03/31/2000 Shares Amount Shares Amount ---------------------------------------- Receipts for shares sold 293,821 $3,043,727 95,695 $ 967,529 Issued as reinvestment of distributions 6,130 63,728 309 3,140 Cost of shares redeemed (50,302) (520,660) 0 0 Net increase (decrease) resulting from Portfolio share transactions 249,649 $2,586,795 96,004 $ 970,669
Real Return Municipal Sector Bond Portfolio Investment Grade Corporate Portfolio Portfolio ---------------------- ------------------------------------ ---------------------- Period from 04/28/2000 Period from 08/21/2000 to Period Ended Year Ended to 09/30/2000 09/30/2000 03/31/2000 09/30/2000 Shares Amount Shares Amount Shares Amount Shares Amount ---------------------- ------------------------------------ ---------------------- Receipts for shares sold 14,339 $ 144,974 36,414 $ 369,851 36,070 $ 362,126 2,696 $ 26,914 Issued as reinvestment of distributions 160 1,623 1,191 12,060 146 1,468 2 26 Cost of shares redeemed (748) (7,575) (19,398) (196,039 (4,987) (50,350) 0 0 Net increase (decrease) resulting from Portfolio share transactions 13,751 $ 139,022 18,207 $ 185,872 31,229 $ 313,244 2,698 $ 26,940
International Portfolio Emerging Markets Portfolio --------------------------------------- ------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2000 03/31/2000 09/30/2000 03/31/2000 Shares Amount Shares Amount Shares Amount Shares Amount --------------------------------------- ------------------------------------- Receipts for shares sold 58,432 $ 396,979 98,595 $679,200 21,567 $210,625 23,345 $ 226,178 Issued as reinvestment of distributions 2,408 16,304 6,156 41,675 1,703 16,671 2,022 19,552 Cost of shares redeemed (10,922) (74,118) (36,642) (251,030) (5,405) (52,340) (4,472) (43,668) Net increase (decrease) resulting from Portfolio share transactions 49,918 $ 339,165 68,109 $469,845 17,865 $174,956 20,895 $ 202,062
54 PIMCO Funds 5. Purchases and Sales of Securities Purchases and sales of investment securities (excluding short-term instruments) for the period ended September 30, 2000 were as follows (amounts in thousands):
U.S. Government/Agency All Other ---------------------------------------------------------------------- Purchases Sales Purchases Sales ------------------------------------------------------------------------------------------------------------- Short Term Portfolio $ 63,263 $ 462 $ 131,601 $ 35,005 U.S. Government Sector Portfolio 6,107,074 5,893,352 213,893 46,572 Mortgage Portfolio 19,939,487 17,574,194 2,128,361 107,280 Real Return Bond Portfolio 430,342 234,322 53,290 2,888 Investment Grade Corporate Portfolio 33,641 23,944 428,314 229,657 Municipal Sector Portfolio 108 0 35,056 6,424 International Portfolio 1,438,316 957,829 1,520,623 1,334,078 Emerging Markets Portfolio 0 0 498,104 321,301
6. Transactions in Written Call and Put Options Transactions in written call and put options were as follows (amounts in thousands):
U.S. Government Mortgage International Investment Grade Sector Portfolio Portfolio Portfolio Corporate Portfolio ---------------------------------------------------------------------------- Premium ---------------------------------------------------------------------------- Balance at 03/31/2000 $ 383 $ 182 $ 165 $ 0 Sales 2,073 4,471 3,460 26 Closing Buys (1,947) (806) (689) (26) Expirations (502) (1,484) (1,755) 0 Exercised 0 0 0 0 -------------- ---------------- ----------- ---------- Balance at 09/30/2000 $ 7 $ 2,363 $ 1,181 $ 0 ------------------------------------------------------------------------------------------------------
7. Federal Income Tax Matters As of March 31, 2000, the Portfolio listed in the table below had remaining capital loss carryforwards that were realized or acquired in prior years. Use of the acquired capital loss carryforwards may be limited under current tax laws. Additionally, the International Portfolio realized capital losses and/or foreign currency losses of $23,291,834 during the period of November 1, 1999 through March 31, 2000 which the Portfolio elected to defer to the following fiscal year pursuant to income tax regulations. The Portfolio will resume capital gain distributions in the future to the extent gains are realized in excess of the available carryforwards.
Capital Loss Carryforwards -------------------------------------- Realized Losses Acquired Losses Expiration --------------------------------------------------------------------------------------------------------- International Portfolio $ 19,625,557 $ 0 03/31/2008
8. Acquisition by Allianz AG On May 5, 2000, Allianz AG completed the acquisition of approximately 70% of the outstanding partnership interest in PIMCO Advisors L.P. ("PIMCO Advisors"), of which PIMCO is a subsidiary partnership. As a result of this transaction, PIMCO Advisors, and its subsidiaries, are now controlled by Allianz AG, a leading provider of financial services, particularly in Europe. PIMCO remains operationally independent, continues to operate under its existing name, and now leads the global fixed-income efforts of Allianz AG. Key employees at each PIMCO Advisors' investment units, including PIMCO's Bill Gross, have signed long-term employment contracts and have significant profit-sharing and retention arrangements to ensure continuity of the investment process and staff. With the addition of PIMCO Advisors, the Allianz Group manages assets of approximately US$650 billion, including more than 300 mutual funds for retail and institutional clients around the world. 2000 Semi-Annual Report 55 Pacific Investment Management Company is responsible for the management and administration of the PIMCO Funds: Pacific Investment Management Series. Founded in 1971, Pacific Investment Management Company currently manages assets in excess of $207 billion on behalf of mutual fund and institutional clients located around the world. Renowned for its fixed income management expertise, Pacific Investment manages assets for many of the largest corporations, foundations, endowments, and governmental bodies in the United States and the world. Trustees and Officers Brent R. Harris Chairman and Trustee R. Wesley Burns President and Trustee Guilford C. Babcock Trustee E. Philip Cannon Trustee Vern O. Curtis Trustee J. Michael Hagan Trustee Thomas P. Kemp Trustee William J. Popejoy Trustee Garlin G. Flynn Secretary John P. Hardaway Treasurer Investment Adviser and Administrator Pacific Investment Management Company 840 Newport Center Drive, Suite 300 Newport Beach, CA 92660 Custodian State Street Bank & Trust Company 801 Pennsylvania Kansas City, MO 64105 Transfer Agent National Financial Data Services 330 W. 9th Street, 4th Floor Kansas City, MO 64105 Counsel Dechert Price & Rhoads 1775 Eye Street, N.W. Washington, D.C. 20006-2401 Independent Accountants PricewaterhouseCoopers LLP 1055 Broadway Kansas City, MO 64105 [LOGO OF PIMCO FUNDS] 840 NEWPORT CENTER DRIVE, SUITE 300 NEWPORT BEACH, CA 92660 The Portfolios issue shares only in private placement transactions in accordance with Regulation D or other applicable exemptions under the Securities Act of 1933, as amended (the "Securities Act"). The enclosed report is not an offer to sell, or a solicitation of any offer to buy, any security to the public within the meaning of the Securities Act. This report is submitted for the general information of the shareholders of the PIMCO Funds: Private Account Portfolio Series. It is not authorized for distribution to prospective investors unless accompanied or preceded by an effective offering memorandum for the PIMCO Funds: Private Account Portfolio Series, which contains information covering its investment policies as well as other pertinent information. PIMCO Funds Distributors LLC 2187 Atlantic Street, Stamford, CT 06902