PIMCO TRF propsectus

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Quarterly Investment Report

PIMCO650 Newport Center Drive

Newport BeachCalifornia 92660

(888) 87-PIMCOwww.pimco.com/investments

June 30, 2014

PIMCO Total Return Fund


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Summary of Performance Data and Portfolio StatisticsPIMCO Total Return FundInstitutional Class

Performance Since

Periods Ended 6/30/2014 Inception 10 yrs 5 yrs 3 yrs 1 yr 6 mos 3 mosTotal Portfolio 1

Before Fees (%) 8.43 6.84 6.87 4.80 5.36 3.94 2.49After Fees (%) 7.94 6.37 6.38 4.32 4.88 3.70 2.37

(Inception 05/11/87)Barclays U.S. Aggregate Index (%) 6.86 4.93 4.85 3.66 4.37 3.93 2.04

Barclays U.S. Aggregate Index (%)3

The Fund's Total Annual Operating Expenses 0.46%

Summary Information 3/31/2014 6/30/2014 Sector Allocation 3/31/2014 6/30/2014 3/31/2014 6/30/2014Total Net Assets (USD in millions) 231,916.8 225,216.3 Government-Related 5 41 47 29 33SEC 30-Day Ann. Yield (%) 2.00 2.02 Government-Treasury 43 49 45 56Distribution Yield (%) 3 2.17 2.35 Government-Agency 4 3 4 2Effective Duration (yrs) 5.0 5.7 Swaps and Liquid Rates -6 -5 -20 -25Benchmark Duration - Provider* (yrs) 5.7 5.6 Mortgage 23 22 14 11Benchmark Duration - PIMCO** (yrs) 5.3 5.2 Invest. Grade Credit 7 8 6 5Effective Maturity (yrs) 5.3 8.4 High Yield Credit 3 4 1 1Average Coupon (%) 2.9 3.2 Non U.S. Developed 10 16 4 6Net Currency Exposure (%) 0.2 -0.4 Emerging Markets 6 9 3 4Tracking Error (10 yrs, %) 4 2.2 2.2 Other 6 5 5 9 9

Information Ratio (10 yrs)4

0.6 0.6 Net Cash Equivalents:7

5 -11 34 31 Commercial Paper / STIF 1 1 0 0 ST Government-Related 33 39 7 6 ST Mortgage 1 1 0 0 ST Credit 10 17 0 0 Money Market Futures/Options 129 135 26 24 Other 10 21 1 1 Less: Liabilities -179 -225 0 0Total 100 100 100 100

Expense Ratio

See example of tracking error / information ratio in ImportantInformation section of the Appendix.

% of Market Value % of Duration

Portfolio

Index

BofA ML 1-3 Yr.

Treasury

Citigroup10-Yr. Strip

0

2

4

6

8

10

12

0 2 4 6 8 10 12

A n n u a

l i z e

d R e

t u r n

( % )

Standard Deviation of Return 2 (%)

10-Year Return vs. Standard Deviation

Government-Related may include nominal and inflation-protected Treasuries, agencies, interestrate swaps, Treasury futures and options, and FDIC-guaranteed corporate securities.

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of futureresults. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less thanoriginal cost when redeemed. Current performance may be lower or higher than performance shown. For performancecurrent to the most recent month-end, visit www.PIMCO.com/investments or call (888) 87-PIMCO.

*The benchmark duration as provided by Benchmark Provider**Benchmark duration as calculated by PIMCO

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Additional Share Class PerformancePIMCO Total Return Fund

Net of Fees Performance Gross Net NAV Inception Since 10 5 3 1 6 3Expense Expense Currency Date Inception Year Year Year Year Month Month

Ratio Ratio

ADMINISTRATIVE Class:Total Return Fund, Administrative 0.71 - USD Sep-08-94 7.67 6.11 6.12 4.06 4.62 3.58 2.31Barclays U.S. Aggregate Index - 6.86 4.93 4.85 3.66 4.37 3.93 2.04

Class D:Total Return Fund, Class D 0.75 - USD Apr-08-98 7.63 6.05 6.08 4.02 4.58 3.56 2.30Barclays U.S. Aggregate Index - 6.86 4.93 4.85 3.66 4.37 3.93 2.04

Class P:Total Return Fund, Class P 0.56 - USD Apr-30-08 7.85 6.26 6.28 4.22 4.78 3.65 2.35

Barclays U.S. Aggregate Index - 6.86 4.93 4.85 3.66 4.37 3.93 2.04

June 30, 2014

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Investment returnand the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed. Current performancemay be lower or higher than performance shown. For performance current to the most recent month-end, visit www.PIMCO.com/investments orcall (888) 87-PIMCO.

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Mortgage Commentary and Outlook Second Quarter 2014

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Market Commentary

Agency mortgage-backed securities (MBS) outperformedlike-duration Treasuries during the quarter driven primarilyby weaker than expected new issuance and continuedFederal Reserve (Fed) intervention

The Fed continued to taper Agency MBS purchases at apace of $5 billion per meeting. However, they retained theirdominant market share, as issuance averaged just $74billion per month during the quarter. In 2013, issuanceaveraged almost $135 billion a month.

Higher coupons outperformed, with the conventional 4.5%coupon the best performing liquid Agency MBS.

15-year bonds underperformed 30-year MBS, as rates felland mortgage real estate investment trusts sold shorterbonds in favor of longer bonds that offer greater currentincome. Ginnie Mae securities also underperformed, withhigh dollar prices deterring banks and foreign investors.

The Federal Housing Finance Agency (FHFA) released its2014 objectives, signaling a new focus on credit expansionand reduced emphasis on shrinking Fannie Mae andFreddie Mac. The FHFA eased representation and warrantyobligations on new loans, while also reversing course on itsprevious plan to reduce conforming loan limits and raiseguarantee fees.

Market Outlook PIMCO views Agency MBS as expensive and we prefer

holding Treasuries.

We expect the trend of net Fed purchases exceeding netissuance to end around August, as tapering continues andsupply increases due to the impacts of seasonal housingactivity, historically low mortgage rates and a gradualexpansion of credit.

Source: PIMCO, Mortgage Bankers Association, Nomura SecuritiesMBS is represented by the Barclays MBS Fixed Rate Index

Past performance is no guarantee of future results . Graphs are for illustrativepurposes only and are not indicative of the performance of any particular investment.

-400

-200

0

200

400

600

800

1,000

FederalReserve

Banks /Savings

Institutions

GSEs OverseasInvestors

MortgageREITs

MoneyManagers

C h a n g e i n M B S

h o

l d i n g s

( $ b n

)

Changes in Agency MBS holdings by investor type

1H 2014 Since Sep 2012

0

20

4060

80100

120

140160

180

J a n - 1

3

F e b

- 1 3

M a r - 1

3

A p r - 1 3

M a y - 1

3

J u n - 1

3

J u l - 1 3

A u g - 1 3

S e p - 1

3

O c t - 1

3

N o v - 1 3

D e c - 1 3

J a n - 1

4

F e b

- 1 4

M a r - 1

4

A p r - 1 4

M a y - 1

4

J u n - 1

4

I s s u a n c e

( $ b n

)

Monthly MBS gross issuance since 2013


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Investment Grade Credit Commentary and Outlook Second Quarter 2014

9

Unless otherwise noted, graph data and text references represent the excess return performance of the Barclays U.S. Credit Index and its sub-indices. The corporatesectors shown are not equally weighted in the index but instead are market weighted. The sectors shown represent the broad components of the index. ExcessReturn is a duration-adjusted measure of performance relative to a term structure-matched position. The predominate method for calculating excess return uses U.S.Treasuries and key rate durations. It measures the amount by which the return on an investment credit exceeds the equivalent risk free rate of return.

EBITDA is Earnings Before Interest, Tax, Depreciation and Amortization

Past performance is no guarantee of future results. Graphs are for illustrative purposes only and are not indicative of the performance of any particular investment.

Market Commentary

The U.S. investment grade credit market, as represented by theBarclays U.S. Credit Index, returned 2.71% in the secondquarter. U.S. credit outperformed like-duration Treasuries by0.81%, as spreads tightened 7 basis points and credit yields fell0.20% to 2.83%.

Credit spreads tightened alongside generally improving highfrequency economic data, solid corporate fundamentals, and lowcredit spread volatility, as global central bank policy remainedaccomodative, lending support to risk assets broadly.

Demand for credit remained strong as high grade retail fundssaw inflows of $28.7 billion. Additionally, new issue concessionsremained low, even in the face of record issuance for the firsthalf of the year.

Sectors that performed well were generally characterized bystrong growth trends (home construction) and improvedpricing power due to industry consolidation (cable satellite).

Market Outlook The secular outlook for credit remains constructive, with healing

underway in developed markets balanced against slowinggrowth in emerging markets. There is a secular convergencetoward modest real growth rates across the global economy,which has many investors searching for yield and consideringcredit to help them reach their longer term goals.

We continue to see the benefits of active management, and ourinvestment strategy remains consistent: to find companies withrobust long-term growth potential, superior asset quality andpricing power.


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Real Return Commentary and Outlook Second Quarter 2014

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Market Commentary

Treasury Inflation-Protected Securities (TIPS) returned3.81% during the second quarter, as represented by theBarclays U.S. TIPS Index. Year-to-date, TIPS returned5.83%.

Real rates decreased across most maturities during thequarter, with the 10-year real rate dropping by 33 basispoints. In general, TIPS returns were underpinned by moresupportive inflationary data and continued investor demand.

Inflation accruals were strong at 1.34% for the quarter. Thelargest increases came from energy prices, specifically inthe transportation sector. Higher shelter, food andbeverages, and apparel prices also contributed to thisnotable inflation print.

TIPS outperformed like-duration nominal Treasuries asbreakeven inflation levels (the difference between nominaland real yields and a measure of market inflation

expectations) widened across the curve given constructiveinflation prints that exceeded market expectations.

Market Outlook

Given the elevated unemployment rate and the coreinflation rate below the Federal Reserves (Fed) target, webelieve the Fed is not achieving its dual mandate andtherefore has capacity and reason to maintain exceptionally

low rates for longer than the market expects. While we believe inflation will increase in 2014 relative to

2013, we still foresee subdued inflation in the shorter-termgiven excess capacity and restrained wage growth.However, longer-term we expect inflation to trend higher onthe back of poor fiscal conditions and heavy debt loads inthe U.S. and other developed countries, and prolongedaccommodative and unconventional monetary policies.

Past performance is no guarantee of future results. Graphs are for illustrativepurposes only and are not indicative of the performance of any particular investment.

The negative real rates in U.S. TIPS Yield Curve chart are directly observable in markettraded TIPS. The yield curves represent TIPS yields at specific points in time asreferenced in the chart.

Data Sources: Barclays, Bloomberg

-2

-1

0

1

2

2 3 4 5 6 7 8 9 10 20 30

Y i e l d ( % )

Years to maturity

U.S. real yields 31 Dec '13 31 Mar '14 30 Jun '14

-6-5

-4-3-2-101234

'04 '05 '06 '07 '08 '09 '10 '11 '12 '13

Y i e l d ( % )

Breakeven inflation (BEI) rates2-year BEI 5-year BEI30-year BEI 10-year BEI

Pre-crisis avg. 10- yr. breakeven:

Post-crisis avg. 10-yr.breakeven: 2.17%


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Emerging Markets Commentary and Outlook Second Quarter 2014

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Market Commentary

Emerging markets (EM) debt maintained positivemomentum throughout the second quarter as investorsfavored the comparatively high yields of EM in a lowvolatility market environment. Inflows have returned to theasset class amid low developed market (DM) yieldsstabilization in China, positive economic adjustments, andmarket acknowledgment that headline events remainisolated in scope.

Declining Treasury yields and tightening spreads drovepositive returns for external debt while lower local currencyyields and carry 1 propelled local debt gains.

Market Outlook

As global liquidity and stimulus is gradually withdrawn, weexpect country and corporate differentiation to drive EMdebt performance as investors become more discriminatingin valuing each issuers fundamental strengths andvulnerabilities. Differentiation is likely given the variation ininitial conditions related to issuer balance sheet strength,growth and inflation trajectories, and the flexibility of fiscaland monetary policies.

In EM external debt markets, we favor quasi-sovereign andcorporate names within higher quality countries whichprovide additional yield at shorter durations versus thesovereign without a meaningful reduction increditworthiness.

In EM local markets, we favor countries that can offerpositive real rates, attractive carry and yield curve rolldown 2. We are more constructive on EM currencies inaggregate and particularly favor higher carry currencies, butremain cautious on future bouts of volatility.

Carry is the rate of interest earned by holding the respectivesecurities.2Roll-down is a form of return that is realized as a bond approachesmaturity, assuming an upward sloping yield curve.


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Portfolio Characteristics and Benchmark VariancePIMCO Total Return Fund

SectorExposure*

CurveExposure

Other may include municipals, convertibles, preferreds, and yankee bonds.

Gov't-Related may include nominal and inflation-protected Treasuries, agencies, interest rate swaps, Treasury futures and options, and FDIC-guaranteedcorporate securities.

* Net cash equivalents include U.S. and non-U.S. money market futures, where permitted. See Sector Allocation on Summary of Performance Data and PortfolioStatistics Page.

31

719

-11 -8

-38

32

1

-2

10

-3

-38

-80-60

-40

-20

0

20

40

60

80

0-1 yrs 1-3 yrs 3-5 yrs 5-7 yrs 7-8 yrs 8+ yrs

-9 -14-23

1 4 07

34

-7 -10

-28

1 6 07

31

-60

-40

-20

0

20

40

60

80

100

Gov't-Related

Mtg IG Credit HY Credit Non USDevelop

EM Other Net CashEquiv

3/31/2014

6/30/2014

Portfolio vs. Benchmark (%) 1

29

14

61

4 3

9

3433

11

51

6 49

31

0

10

20

30

40

50

60

Gov't-Related

Mtg IG Credit HY Credit Non USDevelop

EM Other Net CashEquiv

% o

f D u r a

t i o n

3/31/2014

6/30/2014

Portfolio (%) 1

31

17

38

12

3

-1

32

1218

31

4 3

-20-10

0

10

20

30

40

50

60

0-1 yrs 1-3 yrs 3-5 yrs 5-7 yrs 7-8 yrs 8+ yrs

% o

f D u r a

t i o n

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Direct Country and Currency ExposurePIMCO Total Return Fund

Country Exposure (by currency of settlement) 1

Portfolio Portfolio03/31/2014 06/30/2014

Market Value Weighted (%) Market Value Weighted (%)% of Cash Currency % of Cash Currency

(settlement currency) Duration Bonds Equiv. Exposure 2 (%) Duration Bonds Equiv. Exposure 2 (%)North America 94.0 82.8 177.1 0.1 92.7 91.1 201.3 0.0

Canada 1.4 1.2 0.0 0.1 1.1 1.1 0.2 0.0

United States 92.6 81.6 177.1 0.0 91.6 90.0 201.1 0.0Europe - EMU 3.2 8.6 6.0 0.1 3.1 14.2 6.4 -0.9

France 0.0 0.0 0.1 - 0.0 0.0 0.1 -Germany 0.0 0.0 0.1 - 0.0 0.0 0.1 -Greece 0.0 0.0 0.0 - 0.0 0.3 0.0 -Italy 1.5 5.2 0.0 - 2.1 8.0 0.0 -Portugal 0.0 0.0 0.0 - 0.0 0.1 0.0 -Spain 1.0 3.2 0.0 - 1.7 5.5 0.0 -Other 3 0.7 0.2 5.8 - -0.7 0.3 6.2 -

United Kingdom 0.4 0.6 0.3 0.0 0.4 0.8 0.3 0.0Europe - Non-EMU 0.0 0.0 0.2 0.0 0.0 0.0 0.0 0.0

Denmark 0.0 0.0 0.2 0.0 0.0 0.0 0.0 0.0Japan -0.2 0.0 0.0 -0.9 0.0 0.1 0.0 -1.0Asia Pacific ex-Japan 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0Emerging Markets 2.6 3.0 0.5 0.8 3.8 4.8 6.1 1.5

Brazil 0.3 0.6 0.0 0.0 0.3 1.2 2.5 0.0Hong Kong 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0Mexico 2.3 2.4 0.5 0.8 3.5 3.6 3.6 1.5Turkey 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Net Liabilities 4 0.0 0.0 -179.1 0.0 0.0 0.0 -225.1 0.0Total Direct Exposure 100.0 95.0 5.0 0.2 100.0 111.0 -11.0 -0.4

Small allocations may round to zero.

See foonotes in Appendix.15


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Direct Emerging Markets Bond ExposurePIMCO Total Return Fund

Emerging Markets Exposure (by country of issuer)

3/31/2014 6/30/2014% of MV % of MV % of % of MV % of MV % of

Cash Equiv. Bonds Duration Cash Equiv. Bonds DurationBrazil 1.41 1.47 0.63 3.88 2.49 0.66China 1.34 0.01 0.01 2.17 0.06 0.05Colombia 0.00 0.00 0.00 0.09 0.01 0.00EM Index Products 0.00 1.12 0.00 0.00 1.15 0.00India 0.00 0.09 0.03 0.00 0.10 0.02Indonesia 0.00 0.40 0.00 0.00 0.58 0.02Kazakhstan 0.00 0.00 0.00 0.00 0.01 0.00Mexico 1.78 2.53 2.36 5.52 3.74 3.53Russia 0.17 0.18 0.05 0.83 0.54 0.16South Africa 0.00 0.00 0.00 0.00 0.00 0.00Turkey 0.00 0.04 0.00 0.00 0.04 0.00Venezuela 0.00 0.00 0.00 0.00 0.01 0.00

Total Direct Emerging Markets 4.70 5.84 3.08 12.49 8.73 4.44

Small allocations may round to zero.

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PIMCO Proprietary Portfolio Level Risk MeasuresPIMCO Total Return Fund

Risk Measures (yrs) 3/31/2014 6/30/2014 Definitions of Risk Measures:

Interest Rate Exposures:

Effective Duration Portfolio 5.0 5.7 Benchmark** 5.3 5.2

Bull Market Duration Portfolio 3.0 4.1 Benchmark** 5.0 5.0

Bear Market Duration Portfolio 6.1 6.9 Benchmark** 5.3 5.4

Sector Exposures*:Mortgage Spread Duration Portfolio 1.0 1.0 Benchmark 1.4 1.5

Corporate Spread Duration Portfolio 0.9 1.3 Benchmark 1.6 1.7

Emerging Markets Spread Duration Portfolio 0.3 0.5 Benchmark 0.2 0.2

Swap Spread Duration Portfolio 0.6 0.1 Benchmark 0.0 0.0

**Benchmark duration is calculated by PIMCO.

The contribution of swaps to spread duration. For every 1 bp of swap spread tightening(widening), a portfolio with swap spread duration of 1 year will rise (fall) in price by 1 bp.A negative swap spread duration indicates that the portfolio will benefit from wideningswap spreads.

The contribution of emerging market bonds to spread duration. For every 1 bp ofemerging market spread tightening (widening), a portfolio with an emerging marketspread duration of 1 year will rise (fall) in price by 1 bp.

A portfolio's price sensitivity to changes in interest rates. An accurate predictor of pricechanges only for small, parallel shifts of the yield curve. For every 1 basis point fall(rise) in interest rates, a portfolio with duration of 1 year will rise (fall) in price by 1 bp.

A portfolio's effective duration after a 50 bp decline in rates. The extent to which aportfolio's duration exceeds its bull market duration is a gauge of contraction risk.

A portfolio's effective duration after a 50 bp rise in rates. The extent to which aportfolio's bear market duration exceeds its duration is a gauge of extension risk.

The contribution of corporate bonds to spread duration. For every 1 bp of corporatespread tightening (widening), a portfolio with corporate spread duration of 1 year willrise (fall) in price by 1 bp.

The contribution of mortgages to spread duration. For every 1 bp of mortgage spreadtightening (widening), a portfolio with mortgage spread duration of 1 year will rise (fall)in price by 1 bp.

* As measured by spread duration, which represents a portfolio's price sensitivity to changes in spreads, or yield premiums, that affect the value of bonds thattrade at a spread to Governments. These include mortgage-backed, corporate and emerging market bonds, as well as swaps.

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This report includes information as of 06/30/2014 and contains the current opinions of the manager and such opinions are subject to change. This report isdistributed for informational purposes only and should not be considered as investment advice or a recommendation of any particular security, strategy orinvestment product. The fund offers different share classes, which are subject to different fees & expenses (which may affect performance), have differentminimum investment requirements and are entitled to different services. PIMCO is a trademark or registered trademark of Allianz Asset Management ofAmerica L.P. in the United States and throughout the world. THE NEW NEUTRAL and YOUR GLOBAL INVESTMENT AUTHORITY are trademarks orregistered trademarks of Pacific Investment Management Company LLC in the United States and throughout the world. PIMCO Investments LLC ,distributor, 1633 Broadway, New York, NY, 10019 is a company of PIMCO.

No part of this report may be reproduced in any form, or referred to in any other publication, without express written permission. 2014, PIMCO.

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

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