UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-21734

 

PIMCO Global StocksPLUS® & Income Fund

(Exact name of registrant as specified in charter)

 

1633 Broadway,

New York, NY

 

10019

(Address of principal executive offices)

 

(Zip code)

 

Lawrence G. Altadonna

1633 Broadway,

New York, NY 10019

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-739-3371

 

 

Date of fiscal year end:

March 31, 2014

 

 

Date of reporting period:

December 31, 2013

 

 


 

Item 1. Schedule of Investments

 

Schedule of Investments

PIMCO Global StocksPLUS® & Income Fund

December 31, 2013 (unaudited)

 

Principal
Amount
(000s)

 

 

 

Value*

 

MORTGAGE-BACKED SECURITIES - 67.0%

 

 

 

$3,830

 

Banc of America Alternative Loan Trust, 16.578%, 9/25/35, CMO (b)(m)

 

$4,734,163

 

 

 

Banc of America Funding Corp., CMO (m),

 

 

 

209

 

0.387%, 7/20/36

 

191,149

 

756

 

2.70%, 12/20/34

 

612,759

 

1,259

 

2.872%, 3/20/36

 

1,135,751

 

479

 

5.846%, 1/25/37

 

379,770

 

2,000

 

Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.412%, 3/11/41, CMO (a)(d)(m)

 

1,984,991

 

7

 

Banc of America Mortgage Trust, 6.00%, 7/25/46, CMO

 

5,955

 

756

 

BCAP LLC Trust, 6.25%, 11/26/36, CMO (a)(d)

 

747,775

 

3,000

 

BCRR Trust, 5.858%, 7/17/40, CMO (a)(d)(j)(m)

 

3,255,441

 

 

 

Bear Stearns Adjustable Rate Mortgage Trust, CMO (m),

 

 

 

610

 

2.702%, 7/25/36

 

508,338

 

369

 

2.767%, 3/25/35

 

360,146

 

1,012

 

2.831%, 2/25/34

 

995,864

 

 

 

Bear Stearns ALT-A Trust, CMO (m),

 

 

 

502

 

2.466%, 4/25/35

 

425,505

 

196

 

2.55%, 11/25/35

 

151,909

 

312

 

2.708%, 9/25/35

 

274,516

 

 

 

Bear Stearns Commercial Mortgage Securities Trust, CMO (m),

 

 

 

635

 

5.514%, 3/13/40 (a)(d)(j)

 

635,637

 

1,000

 

5.694%, 6/11/50 (j)

 

1,121,238

 

1,000

 

5.79%, 2/11/41 (a)(d)

 

1,014,637

 

 

 

Bear Stearns Structured Products, Inc. Trust, CMO (m),

 

 

 

1,532

 

2.502%, 1/26/36

 

1,170,414

 

506

 

2.591%, 12/26/46

 

305,803

 

1,097

 

CBA Commercial Small Balance Commercial Mortgage, 5.54%, 1/25/39, CMO (a)(b)(d)(k) (acquisition cost - $618,246; purchased 11/18/09)

 

636,494

 

€2,507

 

Celtic Residential Irish Mortgage Securitisation No. 9 PLC, 0.452%, 11/13/47, CMO (m)

 

2,976,556

 

£2,261

 

Celtic Residential Irish Mortgage Securitisation No. 11 PLC, 0.785%, 12/14/48, CMO (m)

 

3,256,713

 

$707

 

Charlotte Gateway Village LLC, 6.41%, 12/1/16, CMO (a)(b)(d)(g)(k) (acquisition cost - $750,247; purchased 1/9/06)

 

750,783

 

 

 

Chevy Chase Funding LLC Mortgage-Backed Certificates, CMO (a)(d)(m),

 

 

 

269

 

0.465%, 8/25/35

 

245,395

 

18

 

0.505%, 10/25/34

 

15,637

 

1,308

 

Citigroup Mortgage Loan Trust, Inc., 2.971%, 3/25/37, CMO (m)

 

958,494

 

1,015

 

Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.218%, 7/15/44, CMO (j)(m)

 

1,039,736

 

 

 

Commercial Mortgage Trust (m),

 

 

 

77,000

 

0.133%, 10/10/46, IO (a)(d)

 

971,124

 

9,121

 

1.942%, 8/15/45, IO (b)(j)

 

1,008,203

 

760

 

5.908%, 7/10/46, CMO (a)(d)(j)

 

797,485

 

 

 

Countrywide Alternative Loan Trust, CMO,

 

 

 

1,458

 

0.377%, 5/20/46 (m)

 

1,014,353

 

218

 

0.405%, 12/25/46 (m)

 

60,781

 

1,701

 

0.495%, 10/25/35 (m)

 

1,354,899

 

3,131

 

0.515%, 5/25/36 (m)

 

1,881,876

 

433

 

2.82%, 2/25/37 (m)

 

374,653

 

440

 

5.066%, 10/25/35 (m)

 

350,004

 

998

 

5.50%, 8/25/34

 

983,421

 

52

 

5.50%, 2/25/36

 

43,646

 

940

 

5.50%, 3/25/36

 

730,972

 

1,151

 

6.00%, 5/25/37

 

895,457

 

150

 

6.25%, 9/25/34

 

148,114

 

2,177

 

6.985%, 7/25/36, IO (m)

 

534,370

 

2,252

 

19.347%, 7/25/35 (b)(m)

 

2,970,853

 

 

 

Countrywide Home Loan Mortgage Pass-Through Trust, CMO,

 

 

 

325

 

0.405%, 3/25/36 (m)

 

258,743

 

2,034

 

0.485%, 3/25/35 (m)

 

1,752,405

 

222

 

0.555%, 2/25/35 (m)

 

161,808

 

2,849

 

2.40%, 2/20/36 (m)

 

894,743

 

253

 

2.479%, 10/20/35 (m)

 

186,388

 

449

 

2.546%, 10/20/35 (m)

 

379,777

 

552

 

2.826%, 8/25/34 (m)

 

503,570

 

570

 

2.959%, 3/25/37 (m)

 

383,284

 

1,128

 

5.001%, 10/20/35 (m)

 

935,633

 

80

 

5.50%, 8/25/35

 

75,352

 

2,600

 

Credit Suisse First Boston Mortgage Securities Corp., 5.745%, 12/15/36, CMO (a)(d)(m)

 

2,593,713

 

 

 

Credit Suisse Mortgage Capital Certificates, CMO,

 

 

 

900

 

5.467%, 9/16/39 (a)(d)(m)

 

979,394

 

395

 

6.00%, 11/25/36

 

403,246

 

2,000

 

6.032%, 2/15/41 (j)(m)

 

2,262,177

 

778

 

First Horizon Alternative Mortgage Securities Trust, 2.184%, 11/25/36, CMO (m)

 

577,626

 

1,747

 

First Horizon Mortgage Pass-Through Trust, 2.55%, 1/25/37, CMO (m)

 

1,503,356

 

 

 

GE Capital Commercial Mortgage Corp., CMO (m),

 

 

 

 


 

1,000

 

5.167%, 7/10/45 (a)(d)

 

973,345

 

1,000

 

5.203%, 5/10/43 (j)

 

1,028,789

 

329

 

GMACM Mortgage Loan Trust, 3.345%, 6/25/34, CMO (m)

 

321,636

 

730

 

GS Mortgage Securities Trust, 5.979%, 8/10/43, CMO (a)(d)(m)

 

784,102

 

 

 

GSR Mortgage Loan Trust, CMO,

 

 

 

257

 

2.648%, 9/25/35 (m)

 

255,452

 

310

 

2.773%, 5/25/35 (m)

 

279,212

 

529

 

2.783%, 4/25/35 (m)

 

506,123

 

255

 

5.50%, 6/25/36

 

240,596

 

 

 

Harborview Mortgage Loan Trust, CMO (m),

 

 

 

40

 

0.466%, 4/19/34

 

36,832

 

171

 

2.514%, 11/19/34

 

140,296

 

78

 

2.699%, 2/25/36

 

62,733

 

47

 

5.027%, 8/19/36

 

39,139

 

739

 

5.329%, 6/19/36

 

543,219

 

752

 

HSI Asset Loan Obligation Trust, 2.674%, 1/25/37, CMO (m)

 

572,921

 

2

 

Impac CMB Trust, 0.805%, 10/25/33, CMO (m)

 

1,986

 

 

 

IndyMac Index Mortgage Loan Trust, CMO (m),

 

 

 

2,409

 

0.435%, 6/25/37

 

776,243

 

71

 

0.445%, 3/25/35

 

64,024

 

953

 

2.465%, 6/25/37

 

625,619

 

76,047

 

JPMBB Commercial Mortgage Securities Trust, 0.155%, 11/15/45, IO (b)(j)(m)

 

1,629,915

 

1,500

 

JPMorgan Chase Commercial Mortgage Securities Corp., 5.307%, 5/15/41, CMO (a)(d)(m)

 

1,520,023

 

 

 

JPMorgan Mortgage Trust, CMO,

 

 

 

499

 

2.734%, 5/25/36 (m)

 

437,086

 

1,638

 

2.756%, 4/25/37 (m)

 

1,281,002

 

149

 

5.50%, 1/25/36

 

140,996

 

118

 

5.50%, 6/25/37

 

116,521

 

 

 

Luminent Mortgage Trust, CMO (m),

 

 

 

1,212

 

0.335%, 12/25/36

 

904,708

 

1,115

 

0.365%, 10/25/46

 

957,630

 

 

 

MASTR Adjustable Rate Mortgages Trust, CMO (m),

 

 

 

1,315

 

2.527%, 11/25/35 (a)(d)

 

890,770

 

349

 

3.086%, 10/25/34

 

308,930

 

363

 

Merrill Lynch Alternative Note Asset Trust, 0.235%, 1/25/37, CMO (m)

 

170,806

 

221

 

Merrill Lynch Mortgage Investors Trust, 1.596%, 10/25/35, CMO (m)

 

214,697

 

1,000

 

Merrill Lynch/Countrywide Commercial Mortgage Trust, 5.378%, 8/12/48, CMO (j)

 

1,090,638

 

 

 

Morgan Stanley Capital I, Inc., CMO,

 

 

 

500

 

5.207%, 11/14/42 (m)

 

462,043

 

100

 

5.379%, 8/13/42 (a)(d)(m)

 

89,003

 

1,415

 

5.569%, 12/15/44 (j)

 

1,529,779

 

833

 

Morgan Stanley Re-Remic Trust, zero coupon, 7/17/56, CMO, PO (a)(b)(d)(k) (acquisition cost - $800,335; purchased 4/6/11)

 

819,323

 

425

 

Opteum Mortgage Acceptance Corp., 0.435%, 7/25/36, CMO (m)

 

297,654

 

12,371

 

Prime Mortgage Trust, 6.385%, 11/25/36, CMO, IO (b)(m)

 

1,744,092

 

211

 

Provident Funding Mortgage Loan Trust, 2.655%, 10/25/35, CMO (m)

 

207,673

 

3,000

 

RBSCF Trust, 6.068%, 2/17/51, CMO (a)(d)(m)

 

3,013,514

 

2,557

 

RBSSP Resecuritization Trust, 5.00%, 9/26/36, CMO (a)(d)

 

1,407,356

 

 

 

Residential Accredit Loans, Inc., CMO,

 

 

 

536

 

3.131%, 12/26/34 (m)

 

451,228

 

1,383

 

3.777%, 1/25/36 (m)

 

1,034,061

 

777

 

6.00%, 9/25/35

 

635,612

 

584

 

6.00%, 8/25/36

 

444,750

 

186

 

Residential Asset Mortgage Products, Inc., 7.50%, 12/25/31, CMO

 

193,642

 

 

 

Structured Adjustable Rate Mortgage Loan Trust, CMO (m),

 

 

 

3,418

 

1.534%, 5/25/35

 

2,446,425

 

504

 

2.267%, 9/25/36

 

316,478

 

154

 

2.715%, 9/25/35

 

131,755

 

597

 

4.892%, 11/25/36

 

552,136

 

689

 

5.089%, 1/25/36

 

539,500

 

856

 

5.96%, 4/25/36

 

699,378

 

 

 

Structured Asset Mortgage Investments II Trust, CMO (m),

 

 

 

619

 

0.395%, 2/25/36

 

477,309

 

517

 

0.445%, 2/25/36

 

401,575

 

282

 

Suntrust Adjustable Rate Mortgage Loan Trust, 2.807%, 1/25/37, CMO (m)

 

264,738

 

 

 

Wachovia Bank Commercial Mortgage Trust, CMO,

 

 

 

273

 

4.982%, 2/15/35 (a)(d)

 

272,754

 

1,500

 

5.427%, 1/15/41 (a)(d)(m)

 

1,507,752

 

2,500

 

5.924%, 2/15/51 (j)(m)

 

2,813,658

 

1,000

 

WaMu Commercial Mortgage Securities Trust, 6.111%, 3/23/45, CMO (a)(d)(j)(m)

 

1,028,953

 

 

 

WaMu Mortgage Pass-Through Certificates, CMO (m),

 

 

 

199

 

0.455%, 7/25/45

 

187,386

 

184

 

0.869%, 1/25/47

 

173,325

 

871

 

2.374%, 12/25/36

 

766,839

 

708

 

2.517%, 2/25/37

 

623,874

 

431

 

4.749%, 4/25/37

 

29,966

 

256

 

4.784%, 7/25/37

 

235,128

 

2,706

 

Washington Mutual Mortgage Pass-Through Certificates, 0.909%, 4/25/47, CMO (m)

 

588,974

 

805

 

Wells Fargo Mortgage-Backed Securities Trust, 6.00%, 3/25/37, CMO

 

757,334

 

 

 

WF-RBS Commercial Mortgage Trust, CMO, IO (m),

 

 

 

30,000

 

0.339%, 12/15/46 (b)

 

893,361

 

 


 

9,680

 

2.033%, 11/15/44 (a)(d)(j)

 

982,888

 

Total Mortgage-Backed Securities (cost-$81,194,059)

 

103,800,200

 

 

 

 

 

 

 

CORPORATE BONDS & NOTES - 38.2%

 

 

 

Airlines - 1.6%

 

 

 

 

 

United Air Lines Pass-Through Trust (j),

 

 

 

1,791

 

6.636%, 1/2/24

 

1,897,945

 

463

 

10.40%, 5/1/18

 

524,987

 

 

 

 

 

2,422,932

 

Auto Components - 0.1%

 

 

 

200

 

Pittsburgh Glass Works LLC, 8.00%, 11/15/18 (a)(b)(d)(k) (acquisition cost - $200,000; purchased 10/29/13)

 

211,500

 

 

 

 

 

 

 

Banking - 8.2%

 

 

 

£100

 

Barclays Bank PLC, 14.00%, 6/15/19 (h)(j)

 

221,099

 

€150

 

BPCE S.A., 9.25%, 4/22/15 (h)

 

219,768

 

 

 

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (j),

 

 

 

1,000

 

6.875%, 3/19/20

 

1,562,610

 

$1,600

 

11.00%, 6/30/19 (a)(d)(h)

 

2,122,000

 

 

 

Credit Agricole S.A. (h)(j),

 

 

 

£200

 

7.589%, 1/30/20

 

351,061

 

200

 

8.125%, 10/26/19

 

364,500

 

$1,100

 

Credit Suisse AG, 6.50%, 8/8/23 (a)(b)(d)(j)(k) (acquisition cost - $1,100,000; purchased 8/1/13)

 

1,172,875

 

2,800

 

Discover Bank, 7.00%, 4/15/20 (j)

 

3,257,120

 

£600

 

LBG Capital No. 1 PLC, 7.588%, 5/12/20

 

1,058,649

 

100

 

LBG Capital No. 2 PLC, 15.00%, 12/21/19

 

240,649

 

$2,000

 

Regions Financial Corp., 7.75%, 11/10/14 (j)

 

2,110,546

 

 

 

 

 

12,680,877

 

Building Materials - 0.0%

 

 

 

470

 

Corporacion GEO S.A.B. de C.V., 9.25%, 6/30/20 (a)(d)(f)

 

70,500

 

 

 

 

 

 

 

Chemicals - 0.4%

 

 

 

600

 

Ineos Finance PLC, 7.50%, 5/1/20 (a)(d)(j)

 

660,750

 

 

 

 

 

 

 

Coal - 1.0%

 

 

 

800

 

Berau Coal Energy Tbk PT, 7.25%, 3/13/17 (a)(d)

 

794,000

 

 

 

Mongolian Mining Corp.,

 

 

 

200

 

8.875%, 3/29/17 (a)(d)

 

159,000

 

700

 

8.875%, 3/29/17

 

556,500

 

 

 

 

 

1,509,500

 

Commercial Services - 1.1%

 

 

 

1,500

 

PHH Corp., 9.25%, 3/1/16 (j)

 

1,713,750

 

 

 

 

 

 

 

Diversified Financial Services - 9.4%

 

 

 

1,000

 

AGFC Capital Trust I, 6.00%, 1/15/67 (converts to FRN on 1/15/17) (a)(d)(j)

 

845,000

 

2,700

 

C10 Capital SPV Ltd., 6.722%, 12/31/16 (j)

 

2,430,000

 

 

 

Ford Motor Credit Co. LLC,

 

 

 

400

 

8.00%, 6/1/14

 

412,254

 

3,850

 

8.00%, 12/15/16 (j)

 

4,559,844

 

1,000

 

HSBC Finance Corp., 6.676%, 1/15/21 (j)

 

1,149,330

 

800

 

Jefferies LoanCore LLC, 6.875%, 6/1/20 (a)(b)(d)(j)(k) (acquisition cost - $809,250; purchased 5/16/13 - 5/17/13)

 

796,000

 

 

 

SLM Corp.,

 

 

 

200

 

3.014%, 2/1/14 (m)

 

200,092

 

1,000

 

8.00%, 3/25/20 (j)

 

1,136,250

 

1,250

 

8.45%, 6/15/18 (j)

 

1,460,937

 

 

 

Springleaf Finance Corp. (j),

 

 

 

900

 

6.50%, 9/15/17

 

967,500

 

200

 

6.90%, 12/15/17

 

219,600

 

151

 

Stearns Holdings, Inc., 9.375%, 8/15/20 (a)(b)(d)(k) (acquisition cost - $151,000; purchased 7/30/13)

 

154,775

 

1,549

 

Toll Road Investors Partnership II L.P., zero coupon, 2/15/45 (MBIA) (a)(b)(d)(k) (acquisition cost - $253,622; purchased 11/20/12)

 

268,638

 

 

 

 

 

14,600,220

 

Electric Utilities - 0.3%

 

 

 

500

 

Energy Future Intermediate Holding Co. LLC, 10.00%, 12/1/20 (a)(d)

 

532,500

 

 

 

 

 

 

 

Engineering & Construction - 1.4%

 

 

 

2,183

 

Alion Science and Technology Corp., 12.00%, 11/1/14, PIK (j)

 

2,232,340

 

 

 

 

 

 

 

Food & Beverage - 0.2%

 

 

 

341

 

Carolina Beverage Group LLC, 10.625%, 8/1/18 (a)(b)(d)(j)(k) (acquisition cost - $346,070; purchased 7/23/13 - 7/24/13)

 

359,755

 

 


 

Household Products/Wares - 0.1%

 

 

 

100

 

Armored Autogroup, Inc., 9.25%, 11/1/18

 

96,750

 

 

 

 

 

 

 

Insurance - 3.3%

 

 

 

4,565

 

American International Group, Inc., 5.60%, 10/18/16 (j)

 

5,090,299

 

 

 

 

 

 

 

Media - 0.5%

 

 

 

700

 

Radio One, Inc., 12.50%, 5/24/16 (j)

 

703,500

 

 

 

 

 

 

 

Metal Fabricate/Hardware - 0.3%

 

 

 

400

 

Wise Metals Group LLC, 8.75%, 12/15/18 (a)(b)(d)(k) (acquisition cost - $400,000; purchased 11/26/13)

 

423,000

 

 

 

 

 

 

 

Oil & Gas - 3.1%

 

 

 

2,900

 

BP Capital Markets PLC, 4.75%, 3/10/19 (j)

 

3,234,463

 

357

 

Global Geophysical Services, Inc., 10.50%, 5/1/17

 

273,105

 

900

 

Odebrecht Drilling Norbe VIII/IX Ltd., 6.35%, 6/30/21 (a)(d)(j)

 

927,000

 

 

 

OGX Austria GmbH (a)(d)(f),

 

 

 

2,050

 

8.375%, 4/1/22

 

174,250

 

1,400

 

8.50%, 6/1/18

 

119,000

 

100

 

Sierra Hamilton LLC, 12.25%, 12/15/18 (a)(b)(d)(g)(k) (acquisition cost - $100,000; purchased 12/19/13)

 

99,805

 

 

 

 

 

4,827,623

 

Paper & Forest Products - 0.0%

 

 

 

30

 

Millar Western Forest Products Ltd., 8.50%, 4/1/21

 

30,975

 

 

 

 

 

 

 

Pipelines - 1.2%

 

 

 

 

 

NGPL PipeCo LLC (a)(d),

 

 

 

100

 

7.768%, 12/15/37

 

86,000

 

1,500

 

9.625%, 6/1/19

 

1,473,750

 

400

 

Rockies Express Pipeline LLC, 6.875%, 4/15/40 (a)(d)

 

333,000

 

 

 

 

 

1,892,750

 

Real Estate Investment Trust - 1.5%

 

 

 

2,000

 

SL Green Realty Corp., 7.75%, 3/15/20 (j)

 

2,350,284

 

 

 

 

 

 

 

Retail - 1.8%

 

 

 

£100

 

Aston Martin Capital Ltd., 9.25%, 7/15/18 (j)

 

180,499

 

$2,329

 

CVS Pass-Through Trust, 5.88%, 1/10/28 (j)

 

2,527,423

 

 

 

 

 

2,707,922

 

Telecommunications - 2.3%

 

 

 

1,410

 

GCI, Inc., 6.75%, 6/1/21 (j)

 

1,357,125

 

2,000

 

Wind Acquisition Finance S.A., 11.75%, 7/15/17 (a)(d)(j)

 

2,130,000

 

 

 

 

 

3,487,125

 

Transportation - 0.4%

 

 

 

600

 

Aeropuertos Dominicanos Siglo XXI S.A., 9.25%, 11/13/19 (a)(d)(j)

 

594,000

 

30

 

Western Express, Inc., 12.50%, 4/15/15 (a)(d)

 

19,200

 

 

 

 

 

613,200

 

Total Corporate Bonds & Notes (cost-$55,445,120)

 

59,218,052

 

 

 

 

 

 

 

U.S. GOVERNMENT AGENCY SECURITIES - 16.7%

 

 

 

 

 

Fannie Mae,

 

 

 

950

 

4.50%, 9/1/25 - 7/1/41, MBS (j)

 

1,010,530

 

1,157

 

5.885%, 3/25/37, CMO, IO (b)(m)

 

148,540

 

1,044

 

5.985%, 11/25/39, CMO, IO (b)(m)

 

158,068

 

12,000

 

6.00%, MBS, TBA, 30 Year (e)

 

13,311,565

 

2,952

 

6.00%, 8/1/34 - 11/1/36, MBS (j)

 

3,305,124

 

1,675

 

6.135%, 1/25/38, CMO, IO (j)(m)

 

196,815

 

1,193

 

6.215%, 3/25/37, CMO, IO (b)(m)

 

165,046

 

1,774

 

6.235%, 12/25/37, CMO, IO (j)(m)

 

212,155

 

547

 

6.245%, 6/25/37, CMO, IO (m)

 

71,193

 

1,061

 

6.275%, 4/25/37, CMO, IO (m)

 

145,442

 

2,243

 

6.285%, 4/25/37, CMO, IO (j)(m)

 

364,917

 

432

 

6.435%, 11/25/35, CMO, IO (m)

 

67,794

 

4,882

 

6.635%, 11/25/36, CMO, IO (j)(m)

 

798,162

 

179

 

7.00%, 12/25/23, CMO (j)

 

211,620

 

1,134

 

7.035%, 2/25/37, CMO, IO (b)(m)

 

184,786

 

48

 

7.50%, 6/1/32, MBS

 

51,859

 

10

 

7.80%, 6/25/26, ABS (m)

 

9,541

 

131

 

9.548%, 12/25/42, CMO (m)

 

152,052

 

320

 

13.97%, 8/25/22, CMO (b)(j)(m)

 

416,494

 

 

 

Freddie Mac,

 

 

 

11,785

 

1.446%, 12/25/21, IO (b)(j)(m)

 

1,025,176

 

14,908

 

1.51%, 1/25/19, IO (b)(j)(m)

 

983,966

 

 


 

14,844

 

1.543%, 3/25/19, IO (b)(j)(m)

 

1,014,773

 

12,917

 

1.783%, 5/25/19, IO (b)(j)(m)

 

1,040,525

 

1,714

 

6.273%, 3/15/37, CMO, IO (b)(j)(m)

 

246,266

 

1,112

 

6.403%, 9/15/36, CMO, IO (b)(m)

 

152,399

 

2,344

 

6.413%, 9/15/36, CMO, IO (j)(m)

 

404,259

 

13

 

7.00%, 8/15/23, CMO

 

14,911

 

Total U.S. Government Agency Securities (cost-$25,818,220)

 

25,863,978

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES - 11.2%

 

 

 

96

 

Aircraft Certificate Owner Trust, 6.455%, 9/20/22 (a)(d)(g)

 

95,458

 

86

 

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, 5.79%, 2/25/33 (m)

 

3,417

 

329

 

Bayview Financial Asset Trust, 1.115%, 12/25/39 (a)(d)(m)

 

264,276

 

 

 

Bear Stearns Asset-Backed Securities Trust,

 

 

 

851

 

6.50%, 8/25/36

 

715,473

 

2,656

 

22.952%, 3/25/36 (b)(m)

 

2,971,568

 

1,492

 

Bombardier Capital Mortgage Securitization Corp. Trust, 7.83%, 6/15/30 (m)

 

923,078

 

100

 

Carrington Mortgage Loan Trust, 0.315%, 8/25/36 (m)

 

59,457

 

236

 

Centex Home Equity, 0.615%, 6/25/35 (m)

 

198,089

 

 

 

Citigroup Mortgage Loan Trust, Inc.,

 

 

 

285

 

0.325%, 1/25/37 (m)

 

150,726

 

887

 

5.972%, 1/25/37

 

564,669

 

499

 

Conseco Finance Securitizations Corp., 7.96%, 5/1/31

 

409,029

 

 

 

Countrywide Asset-Backed Certificates (m),

 

 

 

230

 

0.315%, 1/25/37

 

203,446

 

179

 

0.715%, 9/25/34 (a)(d)

 

167,904

 

63

 

Denver Arena Trust, 6.94%, 11/15/19 (a)(b)(d)(k) (acquisition cost - $50,777; purchased 9/24/09)

 

64,977

 

968

 

EMC Mortgage Loan Trust, 1.105%, 5/25/39 (a)(d)(m)

 

916,488

 

2,358

 

Legg Mason MTG Capital Corp., 7.11%, 3/10/21 (a)(b)(g)(k) (acquisition cost - $2,257,338; purchased 1/29/13)

 

2,328,410

 

 

 

Lehman XS Trust,

 

 

 

569

 

5.376%, 5/25/37 (m)

 

576,598

 

538

 

5.42%, 11/25/35

 

530,082

 

326

 

MASTR Asset-Backed Securities Trust, 5.233%, 11/25/35

 

328,818

 

177

 

Morgan Stanley ABS Capital I, Inc. Trust, 0.225%, 5/25/37 (m)

 

104,587

 

47

 

Quest Trust, 0.285%, 8/25/36 (a)(d)(m)

 

46,091

 

 

 

Residential Asset Mortgage Products, Inc. (m),

 

 

 

83

 

0.845%, 3/25/33

 

72,939

 

125

 

5.572%, 6/25/32

 

115,987

 

236

 

Soundview Home Equity Loan Trust, 0.225%, 11/25/36, CDO (a)(d)(m)

 

89,860

 

 

 

South Coast Funding VII Ltd. (a)(d)(m),

 

 

 

17,096

 

0.503%, 1/6/41, CDO

 

3,997,144

 

607

 

0.503%, 1/6/41, CDO (b)(k) (acquisition cost - $120,190; purchased 8/16/12 - 11/8/12)

 

141,808

 

 

 

Structured Asset Securities Corp. (m),

 

 

 

629

 

0.315%, 5/25/36

 

575,721

 

741

 

0.465%, 6/25/35

 

641,048

 

136

 

Washington Mutual Asset-Backed Certificates, 0.225%, 10/25/36 (m)

 

56,403

 

Total Asset-Backed Securities (cost-$15,935,447)

 

17,313,551

 

 

 

 

 

 

 

U.S. TREASURY OBLIGATIONS - 7.4%

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

10,400

 

0.25%, 1/15/15

 

10,409,339

 

1,000

 

1.50%, 8/31/18

 

994,492

 

Total U.S. Treasury Obligations (cost-$11,412,832)

 

11,403,831

 

 

 

 

 

 

 

SENIOR LOANS - 1.4%

 

 

 

Diversified Financial Services - 0.7%

 

 

 

1,100

 

Springleaf Financial Funding Co., 4.75%, 9/30/19, Term B2 (a)(c)

 

1,115,125

 

 

 

 

 

 

 

Hotels/Gaming - 0.7%

 

 

 

1,000

 

Stockbridge SBE Holdings LLC, 13.00%, 5/2/17, Term B (a)(b)(c)(k) (acquisition cost - $959,464; purchased 5/1/12 - 7/10/12)

 

1,105,000

 

Total Senior Loans (cost-$2,071,966)

 

2,220,125

 

 

 

 

 

 

 

MUNICIPAL BONDS - 0.9%

 

 

 

West Virginia - 0.9%

 

 

 

1,775

 

Tobacco Settlement Finance Auth. Rev., 7.467%, 6/1/47, Ser. A (cost-$1,671,707)

 

1,380,613

 

 


 

Shares

 

 

 

 

 

PREFERRED STOCK - 0.3%

 

 

 

Banking - 0.3%

 

 

 

4,000

 

AgriBank FCB, 6.875%, 1/1/24 (a)(b)(d)(h)(k)(l) (acquisition cost - $400,000; purchased 10/29/13) (cost-$400,000)

 

394,875

 

 

 

 

 

 

 

Units

 

 

 

 

 

WARRANTS - 0.0%

 

 

 

Engineering & Construction - 0.0%

 

 

 

1,975

 

Alion Science and Technology Corp. (a)(d)(o) (cost-$20)

 

20

 

 

 

 

 

 

 

Principal
Amount
(000s)

 

 

 

 

 

SHORT-TERM INVESTMENTS - 6.1%

 

 

 

U.S. Treasury Obligations - 4.5%

 

 

 

$2,370

 

U.S. Treasury Bills, 0.099%, 10/16/14 (i)(n)

 

2,368,701

 

 

 

U.S. Treasury Notes,

 

 

 

1

 

0.125%, 7/31/14

 

1,000

 

691

 

0.25%, 9/15/14

 

691,635

 

500

 

0.50%, 8/15/14

 

501,211

 

3,329

 

0.50%, 10/15/14

 

3,338,624

 

Total U.S. Treasury Obligations (cost-$6,900,512)

 

6,901,171

 

 

 

 

 

 

 

Repurchase Agreements - 1.6%

 

 

 

1,500

 

JPMorgan Securities, Inc., dated 12/31/13, 0.05%, due 1/2/14, proceeds $1,500,004; collateralized by Freddie Mac, 2.255%, due 12/5/22, valued at $1,537,928 including accrued interest

 

1,500,000

 

985

 

State Street Bank and Trust Co., dated 12/31/13, 0.00%, due 1/2/14, proceeds $985,000; collateralized by Freddie Mac, 2.08%, due 10/17/22, valued at $1,004,825 including accrued interest

 

985,000

 

Total Repurchase Agreements (cost-$2,485,000)

 

2,485,000

 

Total Short-Term Investments (cost-$9,385,512)

 

9,386,171

 

 

 

 

 

Contracts

 

 

 

 

 

OPTIONS PURCHASED (o)- 0.0%

 

 

 

Put Options - 0.0%

 

 

 

150

 

S&P 500 Index Futures, (CME), strike price $1,715.00, expires 1/17/14 (cost-$225,386)

 

76,875

 

 

 

 

 

 

 

Total Investments, before options written (cost-$203,560,269) (p)-149.2%

 

231,058,291

 

 

 

 

 

 

 

OPTIONS WRITTEN (o)- (1.1)%

 

 

 

Call Options - (1.1)%

 

 

 

150

 

S&P 500 Index Futures, (CME), strike price $1,805.00, expires 1/17/14 (premiums received-$749,614)

 

(1,650,000

)

 

 

 

 

 

 

Total Investments, net of options written (cost-$202,810,655)-148.1%

 

229,408,291

 

Other liabilities in excess of other assets-(48.1)%

 

(74,459,690

)

Net Assets-100.0%

 

$154,948,601

 

 


 

Notes to Schedule of Investments:

 

*

Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is generally determined on the basis of last reported sales prices, or if no sales are reported, on the basis of quotes obtained from a quotation reporting system, established market makers, or independent pricing services. The Fund’s investments are valued daily using prices supplied by an independent pricing service or dealer quotations, or by using the last sale price on the exchange that is the primary market for such securities, or the mean between the last quoted bid and ask price. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Securities purchased on a when-issued or delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Centrally cleared swaps and exchange traded futures are valued at the price determined by the relevant exchange.

 

 

 

The Board of Trustees (the “Board”) has adopted procedures for valuing portfolio securities and other financial instruments in circumstances where market quotes are not readily available, and has delegated the responsibility for applying the valuation methods to Allianz Global Investors Fund Management LLC (the “Investment Manager”) and Pacific Investment Management Company LLC (the “Sub-Adviser”). The Fund’s Valuation Committee was established by the Board to oversee the implementation of the Fund’s valuation methods and to make fair value determinations on behalf of the Board, as instructed. The Sub-Adviser monitors the continued appropriateness of methods applied and determines if adjustments should be made in light of market changes, events affecting the issuer, or other factors. If the Sub-Adviser determines that a valuation method may no longer be appropriate, another valuation method may be selected, or the Valuation Committee will be convened to consider the matter and take any appropriate action in accordance with procedures set forth by the Board. The Board shall review the appropriateness of the valuation methods and these methods may be amended or supplemented from time to time by the Valuation Committee.

 

 

 

Benchmark pricing procedures are used as the basis for setting the base price of a fixed-income security and for subsequently adjusting the price proportionally to market value changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price, or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Committee. The validity of the fair value is reviewed by the Sub-Adviser on a periodic basis and may be amended as the availability of market data indicates a material change.

 

 

 

Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days.

 

 

 

Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the net asset value (“NAV”) of the Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the New York Stock Exchange (“NYSE”) is closed.

 

 

 

The prices used by the Fund to value investments may differ from the value that would be realized if the investments were sold, and these differences could be material. The Fund’s NAV is normally determined as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the NYSE on each day the NYSE is open for business.

 

 

(a)

Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $53,172,023, representing 34.3% of net assets.

 

 

(b)

Illiquid.

 

 

(c)

These securities generally pay interest at rates which are periodically pre-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the “LIBOR” or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. These securities are generally considered to be restricted as the Fund is ordinarily contractually obligated to receive approval from the Agent bank and/or borrower prior to disposition. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional payments by the borrower. Such prepayments cannot be predicted with certainty. The interest rate disclosed reflects the rate in effect on December 31, 2013.

 

 

(d)

144A—Exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid.

 

 

(e)

When-issued or delayed-delivery. To be settled/delivered after December 31, 2013.

 

 

(f)

In default.

 

 

(g)

Fair-Valued—Securities with an aggregate value of $3,274,456, representing 2.1% of net assets.

 

 

(h)

Perpetual maturity. The date shown, if any, is the next call date. For Corporate Bonds & Notes the interest rate is fixed until the first call date and variable thereafter.

 

 

(i)

All or partial amount segregated for the benefit of the counterparty as collateral for derivatives.

 

 

(j)

All or partial amount transferred for the benefit of the counterparty as collateral for reverse repurchase agreements.

 

 

(k)

Restricted. The aggregate acquisition cost of such securities is $9,316,539. The aggregate value is $9,728,018, representing 6.3% of net assets.

 

 

(l)

Dividend rate is fixed until the first call date and variable thereafter.

 

 

(m)

Variable or Floating Rate Security—Securities with an interest rate that changes periodically. The interest rate disclosed reflects the rate in effect on December 31, 2013.

 

 

(n)

Rates reflect the effective yields at purchase date.

 

 

(o)

Non-income producing.

 


 

(p)

At December 31, 2013, the cost basis of portfolio securities (before options written) for federal income tax purposes was $203,925,642. Gross unrealized appreciation was $32,402,469; gross unrealized depreciation was $5,269,820; and net unrealized appreciation was $27,132,649. The difference between book and tax cost was attributable to wash sale loss deferrals.

 

 

(q)

Futures contracts outstanding at December 31, 2013:

 

Type

 

Contracts

 

Market
Value
(000s)

 

Expiration
Date

 

Unrealized
Appreciation

 

Long:

E-mini S&P 500 Index

 

162

 

$14,913

 

3/21/14

 

$540,089

 

 

S&P 500 Index

 

126

 

57,995

 

3/20/14

 

2,143,251

 

 

 

 

 

 

 

 

 

$2,683,340

 

 

(r)

Transactions in options written for the nine months ended December 31, 2013:

 

 

 

Contracts

 

Premiums

 

Options outstanding, March 31, 2013

 

183

 

$900,805

 

Options written

 

1,465

 

8,274,835

 

Options terminated in closing transactions

 

(1,319

)

(7,397,236

)

Options expired

 

(179

)

(1,028,790

)

Options outstanding, December 31, 2013

 

150

 

$749,614

 

 

(s)

Credit default swap agreements outstanding at December 31, 2013:

 

OTC buy protection swap agreements(1):

 

Swap Counterparty/
Referenced Debt Issuer

 

Notional
Amount
(000s)(4)

 

Credit
Spread(3)

 

Termination
Date

 

Payments
Made

 

Value(5)

 

Upfront
Premiums
Paid

 

Unrealized
Appreciation

 

Citigroup:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CIFC

 

$1,000

 

 

†

10/20/20

 

(2.15

)%

$51,780

 

$—

 

$51,780

 

Goldman Sachs:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CIFC

 

478

 

 

†

10/20/20

 

(4.50

)%

19,520

 

—

 

19,520

 

TELOS

 

1,500

 

 

†

10/11/21

 

(5.00

)%

29,358

 

—

 

29,358

 

 

 

 

 

 

 

 

 

 

 

$100,658

 

$—

 

$100,658

 

 

OTC sell protection swap agreements(2):

 

Swap Counterparty/
Referenced Debt Issuer

 

Notional
Amount
(000s)(4)

 

Credit
Spread(3)

 

Termination
Date

 

Payments
Received

 

Value(5)

 

Upfront
Premiums
Received

 

Unrealized
Appreciation
(Depreciation)

 

Bank of America:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long Beach Mortgage Loan Trust

 

$521

 

 

†

7/25/33

 

6.25

%

$(231,200

)

$—

 

$(231,200

)

Morgan Stanley:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Morgan Stanley Dean Witter

 

156

 

2.89

%

8/25/32

 

3.23

%

5,744

 

(2,931

)

8,675

 

Royal Bank of Scotland:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Markit ABX.HE AA 06-1

 

3,010

 

 

†

7/25/45

 

0.32

%

(781,546

)

(1,771,931

)

990,385

 

Markit ABX.HE AAA 07-1

 

2,656

 

†

 

8/25/37

 

0.09

%

(826,499

)

(1,314,832

)

488,333

 

 

 

 

 

 

 

 

 

 

 

$(1,833,501

)

$(3,089,694

)

$1,256,193

 

 

†

Credit Spread not quoted for asset-backed securities.

 

 

(1)

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

 

 

(2)

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

 


 

(3)

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

 

 

(4)

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

 

 

(5)

The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the status at December 31, 2013 of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

 

(t)

Interest rate swap agreements outstanding at December 31, 2013:

 

Centrally cleared swap agreements:

 

 

 

Notional

 

 

 

Rate Type

 

 

 

Unrealized

 

Broker (Exchange)

 

Amount
(000s)

 

Termination
Date

 

Payments
Made

 

Payments
Received

 

Value

 

Appreciation
(Depreciation)

 

Deutsche Bank (CME)

 

$125,000

 

6/19/23

 

3-Month USD-LIBOR

 

2.75%

 

$(2,636,192

)

$(4,171,909

)

Deutsche Bank (CME)

 

11,600

 

6/19/23

 

3-Month USD-LIBOR

 

2.75%

 

(244,639

)

(158,219

)

Goldman Sachs (CME)

 

200,000

 

6/19/23

 

3-Month USD-LIBOR

 

2.75%

 

(4,217,908

)

(5,494,070

)

Goldman Sachs (CME)

 

385,000

 

6/18/24

 

3.00%

 

3-Month USD-LIBOR

 

10,667,357

 

5,470,257

 

 

 

 

 

 

 

 

 

 

 

$3,568,618

 

$(4,353,941

)

 

(u)

OTC total return swap agreements outstanding at December 31, 2013:

 

Pay/Receive
Total Return
on Reference
Index

 

Reference
Index

 

# of Units

 

Floating Rate

 

Notional
Amount
(000s)

 

Maturity
Date

 

Counterparty

 

Unrealized
Appreciation
(Depreciation)

 

Receive

 

MSCI Daily Total Return EAFE

 

15,081

 

1-Month USD-LIBOR less 0.05%

 

$65,647

 

3/31/14

 

Credit Suisse First Boston

 

$11,559,484

 

 

*

Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of units disclosed.

 

 

(v)

Forward foreign currency contracts outstanding at December 31, 2013:

 

 

 

Counterparty

 

U.S.$ Value on
Origination Date

 

U.S.$ Value
December 31, 2013

 

Unrealized
Appreciation
(Depreciation)

 

Purchased:

 

 

 

 

 

 

 

 

 

2,855,471 British Pound settling 1/2/14

 

Barclays Bank

 

$4,648,706

 

$4,728,516

 

$79,810

 

2,564,869 Euro settling 1/2/14

 

BNP Paribas

 

3,526,694

 

3,528,488

 

1,794

 

Sold:

 

 

 

 

 

 

 

 

 

247,000 Australian Dollar settling 1/6/14

 

Societe Generale

 

225,522

 

220,503

 

5,019

 

2,855,471 British Pound settling 2/4/14

 

Barclays Bank

 

4,647,644

 

4,727,511

 

(79,867

)

359,881 British Pound settling 1/2/14

 

Citigroup

 

590,405

 

595,945

 

(5,540

)

2,495,590 British Pound settling 1/2/14

 

Credit Suisse First Boston

 

4,041,462

 

4,132,571

 

(91,109

)

2,564,869 Euro settling 2/4/14

 

BNP Paribas

 

3,526,617

 

3,528,436

 

(1,819

)

105,000 Euro settling 2/4/14

 

Citigroup

 

144,100

 

144,446

 

(346

)

2,564,869 Euro settling 1/2/14

 

Credit Suisse First Boston

 

3,468,900

 

3,528,488

 

(59,588

)

14,343,184 Japanese Yen settling 2/18/14

 

HSBC Bank

 

144,440

 

136,227

 

8,213

 

189,168 Swedish Krona settling 2/13/14

 

UBS

 

28,589

 

29,390

 

(801

)

164,036 Swiss Franc settling 2/13/14

 

UBS

 

177,988

 

183,945

 

(5,957

)

 

 

 

 

 

 

 

 

$(150,191

)

 

(w)

At December 31, 2013, the Fund held $11,250,000 in cash as collateral and pledged cash collateral of $13,083,000 for derivative contracts. Cash collateral held may be invested in accordance with the Fund’s investment strategy. Cash collateral of $70,000 was segregated in the Fund’s name, at a third party, but cannot be invested by the Fund.

 


 

(x)

Open reverse repurchase agreements at December 31, 2013:

 

Counterparty

 

Rate

 

Trade Date

 

Due Date

 

Principal & Interest

 

Principal

 

Barclays Bank

 

0.45

%

12/16/13

 

3/17/14

 

$1,289,908

 

$1,289,635

 

 

 

0.50

 

10/24/13

 

1/23/14

 

3,465,366

 

3,462,000

 

 

 

0.50

 

12/20/13

 

3/19/14

 

920,166

 

920,000

 

 

 

0.65

 

10/17/13

 

1/21/14

 

3,060,249

 

3,056,000

 

 

 

0.65

 

10/22/13

 

1/21/14

 

2,416,180

 

2,413,000

 

 

 

0.65

 

10/25/13

 

1/21/14

 

1,723,144

 

1,721,000

 

 

 

0.65

 

11/26/13

 

2/13/14

 

2,185,459

 

2,184,000

 

 

 

0.65

 

12/20/13

 

3/19/14

 

2,277,534

 

2,277,000

 

 

 

0.67

 

12/11/13

 

1/13/14

 

775,317

 

775,000

 

 

 

0.67

 

12/13/13

 

1/13/14

 

4,267,587

 

4,266,000

 

Credit Suisse First Boston

 

0.75

 

11/8/13

 

2/4/14

 

200,095

 

199,873

 

 

 

0.85

 

11/8/13

 

2/4/14

 

166,268

 

166,059

 

Deutsche Bank

 

(0.25

)

5/16/13

 

5/15/15

 

715,850

 

717,000

 

 

 

0.50

 

10/28/13

 

1/28/14

 

592,543

 

592,000

 

 

 

0.52

 

11/7/13

 

2/5/14

 

2,072,675

 

2,071,000

 

 

 

0.52

 

11/29/13

 

2/28/14

 

4,886,399

 

4,884,000

 

 

 

0.52

 

12/3/13

 

2/28/14

 

3,138,473

 

3,137,000

 

 

 

0.59

 

10/28/13

 

1/28/14

 

202,219

 

202,000

 

 

 

0.59

 

10/28/13

 

1/29/14

 

1,579,707

 

1,578,000

 

 

 

0.59

 

11/7/13

 

2/5/14

 

4,796,398

 

4,792,000

 

 

 

0.59

 

11/21/13

 

2/14/14

 

596,410

 

596,000

 

 

 

0.59

 

12/3/13

 

2/28/14

 

779,383

 

779,000

 

Goldman Sachs

 

0.18

 

12/11/13

 

1/13/14

 

4,195,461

 

4,195,000

 

Morgan Stanley

 

0.55

 

11/12/13

 

2/4/14

 

722,739

 

722,193

 

 

 

1.15

 

11/4/13

 

2/4/14

 

4,834,094

 

4,825,000

 

 

 

1.15

 

12/16/13

 

1/15/14

 

4,331,351

 

4,329,000

 

Royal Bank of Canada

 

0.45

 

12/2/13

 

3/3/14

 

3,240,255

 

3,239,000

 

 

 

0.47

 

10/25/13

 

1/29/14

 

2,178,961

 

2,177,000

 

 

 

0.48

 

12/3/13

 

3/3/14

 

3,050,220

 

3,049,000

 

 

 

0.56

 

12/3/13

 

2/26/14

 

853,398

 

853,000

 

 

 

1.07

 

12/16/13

 

1/16/14

 

4,293,168

 

4,291,000

 

 

 

1.27

 

12/16/13

 

1/16/14

 

3,477,084

 

3,475,000

 

 

 

 

 

 

 

 

 

 

 

$73,232,760

 

 

(y)

The weighted average daily balance of reverse repurchase agreements during the nine months ended December 31, 2013 was $64,434,587 at a weighted average interest rate of 0.55%. Total value of underlying collateral (refer to the Schedule of Investments for positions transferred for the benefit of the counterparty as collateral) for open reverse repurchase agreements at December 31, 2013 was $80,828,851.

 


 

Fair Value Measurements

 

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the “exit price”) in an orderly transaction between market participants. The three levels of the fair value hierarchy are described below:

 

·                  Level 1 – quoted prices in active markets for identical investments that the Fund has the ability to access

·                  Level 2 – valuations based on other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates or other market corroborated inputs

·                  Level 3 – valuations based on significant unobservable inputs (including the Sub-Adviser’s or Valuation Committee’s own assumptions and securities whose price was determined by using a single broker’s quote)

 

The valuation techniques used by the Fund to measure fair value during the nine months ended December 31, 2013 were intended to maximize the use of observable inputs and to minimize the use of unobservable inputs.

 

The Fund’s policy is to recognize transfers between levels at the end of the reporting period. An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in aggregate, that is significant to the fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation techniques used. Investments categorized as Level 1 or 2 as of period end may have been transferred between Levels 1 and 2 since the prior period due to changes in the valuation method utilized in valuing the investments.

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Fund generally uses to evaluate how to classify each major category of assets and liabilities for Level 2 and Level 3, in accordance with Generally Accepted Accounting Principles.

 

Equity Securities (Common and Preferred Stock) — Equity securities traded in inactive markets are valued using inputs which include broker-dealer quotes, recently executed transactions adjusted for changes in the benchmark index, or evaluated price quotes received from independent pricing services that take into account the integrity of the market sector and issuer, the individual characteristics of the security, and information received from broker-dealers and other market sources pertaining to the issuer or security. To the extent that these inputs are observable, the values of equity securities are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

U.S. Treasury Obligations — U.S. Treasury obligations are valued by independent pricing services based on pricing models that evaluate the mean between the most recently quoted bid and ask price. The models also take into consideration data received from active market makers and broker-dealers, yield curves, and the spread over comparable U.S. Treasury issues. The spreads change daily in response to market conditions and are generally obtained from the new issue market and broker-dealer sources. To the extent that these inputs are observable, the values of U.S. Treasury obligations are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

Government Sponsored Enterprise and Mortgage-Backed Securities — Government sponsored enterprise and mortgage-backed securities are valued by independent pricing services using pricing models based on inputs that include issuer type, coupon, cash flows, mortgage prepayment projection tables and Adjustable Rate Mortgage evaluations that incorporate index data, periodic and life caps and the next coupon reset date. To the extent that these inputs are observable, the values of government sponsored enterprise and mortgage-backed securities are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

Municipal Bonds — Municipal bonds are valued by independent pricing services based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-want lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable, the values of municipal bonds are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

Corporate Bonds & Notes — Corporate bonds & notes are generally comprised of two main categories: investment grade bonds and high yield bonds. Investment grade bonds are valued by independent pricing services using various inputs and

 


 

techniques, which include broker-dealer quotations, live trading levels, recently executed transactions in securities of the issuer or comparable issuers, and option adjusted spread models that include base curve and spread curve inputs. Adjustments to individual bonds can be applied to recognize trading differences compared to other bonds issued by the same issuer. High yield bonds are valued by independent pricing services based primarily on broker-dealer quotations from relevant market makers and recently executed transactions in securities of the issuer or comparable issuers. The broker-dealer quotations received are supported by credit analysis of the issuer that takes into consideration credit quality assessments, daily trading activity, and the activity of the underlying equities, listed bonds and sector-specific trends. To the extent that these inputs are observable, the values of corporate bonds & notes are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

Asset-Backed Securities and Collateralized Mortgage Obligations — Asset-backed securities and collateralized mortgage obligations are valued by independent pricing services using pricing models based on a security’s average life volatility. The models also take into account tranche characteristics such as coupon, average life, collateral types, ratings, the issuer and tranche type, underlying collateral and performance of the collateral, and discount margin for certain floating rate issues. To the extent that these inputs are observable, the values of asset-backed securities and collateralized mortgage obligations are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

Option Contracts — Option contracts traded over-the-counter (“OTC”) and FLexible EXchange (“FLEX”) options are valued by independent pricing services based on pricing models that incorporate various inputs such as interest rates, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-the-money contracts based on a given strike price. To the extent that these inputs are observable, the values of OTC and FLEX option contracts are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

Forward Foreign Currency Contracts — Forward foreign currency contracts are valued by independent pricing services using various inputs and techniques, which include broker-dealer quotations, actual trading information and foreign currency exchange rates gathered from leading market makers and foreign currency exchange trading centers throughout the world. To the extent that these inputs are observable, the values of forward foreign currency contracts are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

Credit Default Swaps — Credit default swaps traded OTC are valued by independent pricing services using pricing models that take into account, among other factors, information received from market makers and broker-dealers, default probabilities from index specific credit spread curves, recovery rates, and cash flows. To the extent that these inputs are observable, the values of credit default swaps are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

Interest Rate Swaps — OTC interest rate swaps are valued by independent pricing services using pricing models that are based on real-time intraday snapshots of relevant interest rate curves that are built using the most actively traded securities for a given maturity. The pricing models also incorporate cash and money market rates. In addition, market data pertaining to interest rate swaps is monitored regularly to ensure that interest rates are properly depicting the current market rate. Centrally cleared interest rate swaps are valued at the price determined by the relevant exchange. To the extent that these inputs are observable, the values of interest rate swaps are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

Total Return Swaps — OTC total return swaps are valued by independent pricing services using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable, the values of OTC total return swaps are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

Senior Loans — Senior Loans are valued by independent pricing services based on the average of quoted prices received from multiple dealers or valued relative to other benchmark securities when broker-dealer quotes are unavailable. These quoted prices are based on interest rates, yield curves, option adjusted spreads and credit spreads. To the extent that these inputs are observable, the values of Senior Loans are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 


 

A summary of the inputs used at December 31, 2013 in valuing the Fund’s assets and liabilities is listed below (refer to the Schedule of Investments and Notes to Schedule of Investments for more detailed information on Investments in Securities and Other Financial Instruments):

 

 

 

Level 1 -
Quoted Prices

 

Level 2 -
Other Significant
Observable
Inputs

 

Level 3 -
Significant
Unobservable
Inputs

 

Value at
12/31/13

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

Mortgage-Backed Securities

 

$—

 

$102,230,094

 

$1,570,106

 

$103,800,200

 

Corporate Bonds & Notes:

 

 

 

 

 

 

 

 

 

Airlines

 

—

 

—

 

2,422,932

 

2,422,932

 

Oil & Gas

 

—

 

4,727,818

 

99,805

 

4,827,623

 

All Other

 

—

 

51,967,497

 

—

 

51,967,497

 

U.S. Government Agency Securities

 

—

 

25,863,978

 

—

 

25,863,978

 

Asset-Backed Securities

 

—

 

14,889,683

 

2,423,868

 

17,313,551

 

U.S. Treasury Obligations

 

—

 

11,403,831

 

—

 

11,403,831

 

Senior Loans:

 

 

 

 

 

 

 

 

 

Diversified Financial Services

 

—

 

1,115,125

 

—

 

1,115,125

 

Hotels/Gaming

 

—

 

—

 

1,105,000

 

1,105,000

 

Municipal Bonds

 

—

 

1,380,613

 

—

 

1,380,613

 

Preferred Stock

 

—

 

394,875

 

—

 

394,875

 

Warrants

 

—

 

20

 

—

 

20

 

Short-Term Investments

 

—

 

9,386,171

 

—

 

9,386,171

 

Options Purchased:

 

 

 

 

 

 

 

 

 

Market Price

 

—

 

76,875

 

—

 

76,875

 

 

 

—

 

223,436,580

 

7,621,711

 

231,058,291

 

Investment in Securities - Liabilities

 

 

 

 

 

 

 

 

 

Options Written, at value:

 

 

 

 

 

 

 

 

 

Market Price

 

—

 

(1,650,000

)

—

 

(1,650,000

)

Other Financial Instruments* - Assets

 

 

 

 

 

 

 

 

 

Credit Contracts

 

—

 

1,588,051

 

—

 

1,588,051

 

Foreign Exchange Contracts

 

—

 

94,836

 

—

 

94,836

 

Interest Rate Contracts

 

—

 

5,470,257

 

—

 

5,470,257

 

Market Price

 

2,683,340

 

11,559,484

 

—

 

14,242,824

 

 

 

2,683,340

 

18,712,628

 

—

 

21,395,968

 

Other Financial Instruments* - Liabilities

 

 

 

 

 

 

 

 

 

Credit Contracts

 

—

 

(231,200

)

—

 

(231,200

)

Foreign Exchange Contracts

 

—

 

(245,027

)

—

 

(245,027

)

Interest Rate Contracts

 

—

 

(9,824,198

)

—

 

(9,824,198

)

 

 

—

 

(10,300,425

)

—

 

(10,300,425

)

Totals

 

$2,683,340

 

$230,198,783

 

$7,621,711

 

$240,503,834

 

 

At December 31, 2013, there were no transfers between Levels 1 and 2.

 

A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the nine months ended December 31, 2013, was as follows:

 

 

 

Beginning
Balance
3/31/13

 

Purchases

 

Sales

 

Accrued
Discount
(Premiums)

 

Net
Realized
Gain (Loss)

 

Net Change
in Unrealized
Appreciation/
Depreciation

 

Transfers
into
Level 3

 

Transfers
out of
Level 3**

 

Ending
Balance
12/31/13

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage-Backed Securities

 

$1,993,826

 

$53,996

 

$(538,130

)

$(3,336

)

$10,989

 

$52,761

 

$—

 

$—

 

$1,570,106

 

Corporate Bonds & Notes:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Airlines

 

2,734,042

 

—

 

(226,585

)

—

 

—

 

(84,525

)

—

 

—

 

2,422,932

 

Oil & Gas

 

—

 

100,000

 

—

 

—

 

—

 

(195

)

—

 

—

 

99,805

 

Asset-Backed Securities

 

7,120,443

 

—

 

(643,960

)

112,741

 

353,156

 

(379,560

)

—

 

(4,138,952

)

2,423,868

 

Senior Loans:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Hotels/Gaming

 

1,305,000

 

—

 

(200,000

)

7,041

 

7,547

 

(14,588

)

—

 

—

 

1,105,000

 

Totals

 

$13,153,311

 

$153,996

 

$(1,608,675

)

$116,446

 

$371,692

 

$(426,107

)

$—

 

$(4,138,952

)

$7,621,711

 

 


 

The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at December 31, 2013:

 

 

 

Ending
Balance
at 12/31/13

 

Valuation
Technique Used

 

Unobservable
Inputs

 

Input Values

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

Mortgage-Backed Securities

 

$750,783

 

Benchmarked Pricing

 

Security Price Reset

 

$106.12

 

 

 

819,323

 

Third-Party pricing vendor

 

Single Broker Quote

 

$98.40

 

Corporate Bonds & Notes

 

2,422,932

 

Third-Party pricing vendor

 

Single Broker Quote

 

$106.00-$113.50

 

 

 

99,805

 

Benchmarked Pricing

 

Security Price Reset

 

$99.81

 

Asset-Backed Securities

 

2,423,868

 

Benchmarked Pricing

 

Security Price Reset

 

$98.76-$99.76

 

Senior Loans

 

1,105,000

 

Third-Party pricing vendor

 

Single Broker Quote

 

$110.50

 

 

* Other financial instruments are derivatives, such as futures contracts, swap agreements and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) of the instrument.

** Transferred out of Level 3 into Level 2 because an evaluated price with observable inputs from a third-party pricing vendor became available.

 

The net change in unrealized appreciation/depreciation of Level 3 investments held at December 31, 2013 was $207,533.

 

Glossary:

 

ABS - Asset-Backed Securities

 

ABX.HE - Asset-Backed Securities Index Home Equity

 

£ - British Pound

 

CDO - Collateralized Debt Obligation

 

CME - Chicago Mercantile Exchange

 

CMO - Collateralized Mortgage Obligation

 

EAFE - Europe and Australia, Far East Equity Index

 

€ - Euro

 

FRN - Floating Rate Note

 

IO - Interest Only

 

LIBOR - London Inter-Bank Offered Rate

 

MBIA - insured by MBIA Insurance Corp.

 

MBS - Mortgage-Backed Securities

 

MSCI - Morgan Stanley Capital International

 

OTC - Over-the-Counter

 

PIK - Payment-in-Kind

 

PO - Principal Only

 

TBA - To Be Announced

 


 

Item 2. Controls and Procedures

 

(a) The registrant’s President & Chief Executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a -3(c))), are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.

 

(b) There were no significant changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a -3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits

 

(a) Exhibit 99.302 Cert. — Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

 


 

SIGNATURES

 

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

 

Registrant: PIMCO Global StocksPLUS® & Income Fund

 

By

/s/ Brian S. Shlissel

 

Brian S. Shlissel
President & Chief Executive Officer

 

 

 

 

Date: February 21, 2014

 

 

 

 

By

/s/ Lawrence G. Altadonna

 

Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer

 

 

 

 

Date: February 21, 2014

 

 

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

 

By

/s/ Brian S. Shlissel

 

Brian S. Shlissel

President & Chief Executive Officer

 

 

 

 

Date: February 21, 2014

 

 

 

 

By

/s/ Lawrence G. Altadonna

 

Lawrence G. Altadonna

Treasurer, Principal Financial & Accounting Officer

 

 

 

 

Date: February 21, 2014