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 | |
| Registrant Name: | PIMCO Global StocksPlus & Income Fund | |
| Address of Principal Executive Offices: |
1633 Broadway | |
| New York, NY 10019 | ||
| Name and Address of Agent for Service: | William G. Galipeau | |
| 650 Newport Center Drive | ||
| Newport Beach, CA 92660 | ||
| Registrant’s telephone number, including area code: |
(844) 337-4626 | |
| Date of Fiscal Year End: |
March 31 | |
| Date of Reporting Period: |
December 31, 2014 | |
Item 1. Schedule of Investments
Schedule of Investments
PIMCO Global StocksPLUS® & Income Fund
December 31, 2014 (Unaudited)
| PRINCIPAL AMOUNT (000s) |
MARKET VALUE (000s) |
|||||||
| INVESTMENTS IN SECURITIES 172.0% |
||||||||
| BANK LOAN OBLIGATIONS 4.0% |
||||||||
| Clear Channel Communications, Inc. |
||||||||
| 3.819% due 01/29/2016 |
$ | 484 | $ | 479 | ||||
| 6.919% due 01/30/2019 |
200 | 189 | ||||||
| Energy Future Intermediate Holding Co. LLC |
||||||||
| 4.250% due 06/19/2016 |
3,783 | 3,789 | ||||||
| Numericable U.S. LLC |
||||||||
| 4.500% due 05/21/2020 |
132 | 132 | ||||||
| OGX |
||||||||
| 8.000% due 04/11/2015 |
129 | 100 | ||||||
| Sequa Corp. |
||||||||
| 5.250% due 06/19/2017 |
198 | 193 | ||||||
| Stockbridge SBE Holdings LLC |
||||||||
| 13.000% due 05/02/2017 |
600 | 552 | ||||||
|
|
|
|||||||
| Total Bank Loan Obligations (Cost $5,487) |
5,434 | |||||||
|
|
|
|||||||
| CORPORATE BONDS & NOTES 45.2% |
||||||||
| BANKING & FINANCE 27.3% |
||||||||
| AGFC Capital Trust |
||||||||
| 6.000% due 01/15/2067 (h) |
1,000 | 745 | ||||||
| American International Group, Inc. |
||||||||
| 5.600% due 10/18/2016 (h) |
4,565 | 4,909 | ||||||
| Barclays Bank PLC |
||||||||
| 14.000% due 06/15/2019 (e) |
GBP | 100 | 205 | |||||
| Blackstone CQP Holdco LP |
||||||||
| 9.296% due 03/18/2019 |
$ | 4,375 | 4,372 | |||||
| BPCE S.A. |
||||||||
| 9.250% due 04/22/2015 (e) |
EUR | 150 | 186 | |||||
| Cantor Fitzgerald LP |
||||||||
| 7.875% due 10/15/2019 (h) |
$ | 500 | 549 | |||||
| Cooperatieve Centrale Raiffeisen-Boerenleenbank BA |
||||||||
| 6.875% due 03/19/2020 (h) |
EUR | 1,000 | 1,440 | |||||
| 11.000% due 06/30/2019 (e)(h) |
$ | 1,135 | 1,464 | |||||
| Exeter Finance Corp. |
||||||||
| 9.750% due 05/20/2019 |
900 | 900 | ||||||
| Ford Motor Credit Co. LLC |
||||||||
| 8.000% due 12/15/2016 (h) |
3,850 | 4,314 | ||||||
| Greystar Real Estate Partners LLC |
||||||||
| 8.250% due 12/01/2022 (h) |
520 | 532 | ||||||
| Jefferies Finance LLC |
||||||||
| 7.500% due 04/15/2021 (h) |
767 | 716 | ||||||
| Jefferies LoanCore LLC |
||||||||
| 6.875% due 06/01/2020 (h) |
800 | 734 | ||||||
| KGH Intermediate Holdco LLC |
||||||||
| 8.500% due 08/07/2019 |
1,416 | 1,416 | ||||||
| 8.500% due 08/08/2019 (f) |
472 | 472 | ||||||
| LBG Capital PLC |
||||||||
| 7.588% due 05/12/2020 |
GBP | 500 | 787 | |||||
| 15.000% due 12/21/2019 (h) |
800 | 1,717 | ||||||
| Millennium Offshore Services Superholdings LLC |
||||||||
| 9.500% due 02/15/2018 (h) |
$ | 1,000 | 1,000 | |||||
| Navient Corp. |
||||||||
| 8.000% due 03/25/2020 (h) |
1,000 | 1,107 | ||||||
| 8.450% due 06/15/2018 (h) |
1,250 | 1,397 | ||||||
| Novo Banco S.A. |
||||||||
| 3.875% due 01/21/2015 |
EUR | 350 | 424 | |||||
| 4.750% due 01/15/2018 |
100 | 119 | ||||||
| 5.875% due 11/09/2015 |
500 | 612 | ||||||
| OneMain Financial Holdings, Inc. |
||||||||
| 7.250% due 12/15/2021 (h) |
$ | 1,415 | 1,457 | |||||
| SL Green Realty Corp. |
||||||||
| 7.750% due 03/15/2020 (h) |
2,000 | 2,392 | ||||||
| Springleaf Finance Corp. |
||||||||
| 6.500% due 09/15/2017 (h) |
900 | 947 | ||||||
| 6.900% due 12/15/2017 (h) |
200 | 214 | ||||||
| Toll Road Investors Partnership LP |
||||||||
| 0.000% due 02/15/2045 |
1,284 | 263 | ||||||
| Towergate Finance PLC |
||||||||
| 6.053% due 02/15/2018 (h) |
GBP | 500 | 684 | |||||
| 8.500% due 02/15/2018 (h) |
640 | 893 | ||||||
|
|
|
|||||||
| 36,967 | ||||||||
|
|
|
|||||||
| INDUSTRIALS 15.3% |
||||||||
| Aeropuertos Dominicanos Siglo S.A. |
||||||||
| 9.750% due 11/13/2019 (h) |
$ | 600 | 582 | |||||
| Ancestry.com, Inc. (9.625% Cash or 10.375% PIK) |
||||||||
| 9.625% due 10/15/2018 (c)(h) |
184 | 181 | ||||||
| Armored Autogroup, Inc. |
||||||||
| 9.250% due 11/01/2018 |
100 | 100 | ||||||
| Berau Coal Energy Tbk PT |
||||||||
| 7.250% due 03/13/2017 (h) |
800 | 374 | ||||||
| Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK) |
||||||||
| 9.000% due 10/15/2019 (c)(h) |
1,308 | 1,118 | ||||||
| C10 Capital SPV Ltd. |
||||||||
| 6.722% due 12/31/2016 (e)(h) |
2,700 | 2,686 | ||||||
| Caesars Entertainment Operating Co., Inc. |
||||||||
| 8.500% due 02/15/2020 (h) |
3,667 | 2,835 | ||||||
| 9.000% due 02/15/2020 (h) |
183 | 140 | ||||||
| Carolina Beverage Group LLC |
||||||||
| 10.625% due 08/01/2018 (h) |
291 | 290 | ||||||
| Corp. GEO S.A.B. de C.V. |
||||||||
| 9.250% due 06/30/2020 ^ |
470 | 29 | ||||||
| CVS Pass-Through Trust |
||||||||
| 5.880% due 01/10/2028 |
564 | 643 | ||||||
| Diamond Foods, Inc. |
||||||||
| 7.000% due 03/15/2019 |
90 | 92 | ||||||
| Enterprise Inns PLC |
||||||||
| 6.875% due 05/09/2025 |
GBP | 10 | 16 | |||||
| Forbes Energy Services Ltd. |
||||||||
| 9.000% due 06/15/2019 |
$ | 292 | 191 | |||||
| GCI, Inc. |
||||||||
| 6.750% due 06/01/2021 (h) |
1,410 | 1,390 | ||||||
| Global Geophysical Services, Inc. |
||||||||
| 10.500% due 05/01/2017 ^ |
357 | 3 | ||||||
| Hema Bondco BV |
||||||||
| 6.250% due 06/15/2019 (h) |
EUR | 100 | 103 | |||||
| iHeartCommunications, Inc. |
||||||||
| 9.000% due 03/01/2021 (h) |
$ | 690 | 679 | |||||
| 9.000% due 09/15/2022 (h) |
1,000 | 982 | ||||||
| Ineos Finance PLC |
||||||||
| 7.500% due 05/01/2020 (h) |
600 | 632 | ||||||
| Millar Western Forest Products Ltd. |
||||||||
| 8.500% due 04/01/2021 |
30 | 31 | ||||||
| Mongolian Mining Corp. |
||||||||
| 8.875% due 03/29/2017 |
700 | 462 | ||||||
| OGX Austria GmbH |
||||||||
| 8.375% due 04/01/2022 ^ |
2,050 | 31 | ||||||
| 8.500% due 06/01/2018 ^ |
1,400 | 9 | ||||||
| Pinnacol Assurance |
||||||||
| 8.625% due 06/25/2034 (f) |
1,100 | 1,165 | ||||||
| Pittsburgh Glass Works LLC |
||||||||
| 8.000% due 11/15/2018 (h) |
180 | 191 | ||||||
| Rockies Express Pipeline LLC |
||||||||
| 6.875% due 04/15/2040 |
100 | 107 | ||||||
| Scientific Games International, Inc. |
||||||||
| 10.000% due 12/01/2022 (h) |
900 | 829 | ||||||
| Sequa Corp. |
||||||||
| 7.000% due 12/15/2017 |
76 | 69 | ||||||
| Spanish Broadcasting System, Inc. |
||||||||
| 12.500% due 04/15/2017 (h) |
500 | 518 | ||||||
| Tembec Industries, Inc. |
||||||||
| 9.000% due 12/15/2019 (h) |
600 | 592 | ||||||
| UAL Pass-Through Trust |
||||||||
| 6.636% due 01/02/2024 (h) |
1,640 | 1,772 | ||||||
| 10.400% due 05/01/2018 (h) |
319 | 355 | ||||||
| Vander Intermediate Holding Corp. (9.750% Cash or 10.500% PIK) |
||||||||
| 9.750% due 02/01/2019 (c) |
100 | 104 | ||||||
| Western Express, Inc. |
||||||||
| 12.500% due 04/15/2015 |
30 | 28 | ||||||
| Westmoreland Coal Co. |
||||||||
| 8.750% due 01/01/2022 (h) |
1,415 | 1,397 | ||||||
|
|
|
|||||||
| 20,726 | ||||||||
|
|
|
|||||||
| UTILITIES 2.6% |
||||||||
| Dynegy Finance, Inc. |
||||||||
| 6.750% due 11/01/2019 |
205 | 209 | ||||||
| 7.375% due 11/01/2022 |
190 | 193 | ||||||
| 7.625% due 11/01/2024 |
35 | 36 | ||||||
| Illinois Power Generating Co. |
||||||||
| 6.300% due 04/01/2020 (h) |
480 | 403 | ||||||
| 7.950% due 06/01/2032 (h) |
800 | 704 | ||||||
| NGPL PipeCo LLC |
||||||||
| 7.768% due 12/15/2037 |
86 | 89 | ||||||
| 9.625% due 06/01/2019 (h) |
1,020 | 1,028 | ||||||
| Odebrecht Drilling Norbe Ltd. |
||||||||
| 6.350% due 06/30/2021 (h) |
850 | 799 | ||||||
| Sierra Hamilton LLC |
||||||||
| 12.250% due 12/15/2018 |
100 | 93 | ||||||
|
|
|
|||||||
| 3,554 | ||||||||
|
|
|
|||||||
| Total Corporate Bonds & Notes (Cost $62,767) |
61,247 | |||||||
|
|
|
|||||||
| MUNICIPAL BONDS & NOTES 1.1% |
||||||||
| WEST VIRGINIA 1.1% |
||||||||
| Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
||||||||
| 7.467% due 06/01/2047 |
1,745 | 1,502 | ||||||
|
|
|
|||||||
| Total Municipal Bonds & Notes (Cost $1,644) |
1,502 | |||||||
|
|
|
|||||||
| U.S. GOVERNMENT AGENCIES 2.6% |
||||||||
| Fannie Mae |
||||||||
| 5.881% due 03/25/2037 (a)(h) |
860 | 100 | ||||||
| 5.981% due 11/25/2039 (a)(h) |
751 | 101 | ||||||
| 6.131% due 01/25/2038 (a)(h) |
1,115 | 140 | ||||||
| 6.211% due 03/25/2037 (a)(h) |
883 | 127 | ||||||
| 6.231% due 12/25/2037 (a)(h) |
1,397 | 183 | ||||||
| 6.241% due 06/25/2037 (a)(h) |
349 | 44 | ||||||
| 6.271% due 04/25/2037 (a)(h) |
773 | 123 | ||||||
| 6.281% due 04/25/2037 (a)(h) |
1,746 | 297 | ||||||
| 6.431% due 11/25/2035 (a)(h) |
340 | 53 | ||||||
| 6.631% due 11/25/2036 (a)(h) |
3,913 | 612 | ||||||
| 7.000% due 12/25/2023 (h) |
179 | 209 | ||||||
| 7.031% due 02/25/2037 (a)(h) |
754 | 113 | ||||||
| 7.500% due 06/01/2032 |
47 | 50 | ||||||
| 7.800% due 06/25/2026 |
6 | 6 | ||||||
| 9.809% due 12/25/2042 |
115 | 133 | ||||||
| 13.963% due 08/25/2022 (h) |
248 | 316 | ||||||
| Freddie Mac |
||||||||
| 0.750% due 10/25/2020 (a)(h) |
10,830 | 388 | ||||||
| 6.279% due 03/15/2037 (a)(h) |
1,345 | 190 | ||||||
| 6.409% due 09/15/2036 (a)(h) |
870 | 117 | ||||||
| 6.419% due 09/15/2036 (a)(h) |
1,837 | 245 | ||||||
| 7.000% due 08/15/2023 |
11 | 12 | ||||||
|
|
|
|||||||
| Total U.S. Government Agencies (Cost $3,893) |
3,559 | |||||||
|
|
|
|||||||
| U.S. TREASURY OBLIGATIONS 0.7% |
||||||||
| U.S. Treasury Notes |
||||||||
| 1.500% due 08/31/2018 (j)(l) |
1,000 | 1,005 | ||||||
|
|
|
|||||||
| Total U.S. Treasury Obligations (Cost $1,006) |
1,005 | |||||||
|
|
|
|||||||
| MORTGAGE-BACKED SECURITIES 65.6% |
||||||||
| Banc of America Alternative Loan Trust |
||||||||
| 16.567% due 09/25/2035 ^(h) |
3,303 | 4,109 | ||||||
| Banc of America Funding Trust |
||||||||
| 0.385% due 07/20/2036 |
171 | 160 | ||||||
| 2.622% due 03/20/2036 |
1,217 | 1,121 | ||||||
| 2.669% due 12/20/2034 |
712 | 601 | ||||||
| 5.846% due 01/25/2037 ^ |
416 | 336 | ||||||
| Banc of America Mortgage Trust |
||||||||
| 6.000% due 07/25/2046 ^ |
5 | 5 | ||||||
| Banc of America/Merrill Lynch Commercial Mortgage, Inc. |
||||||||
| 5.744% due 03/11/2041 (h) |
2,000 | 2,007 | ||||||
| BCAP LLC Trust |
||||||||
| 6.250% due 11/26/2036 |
756 | 777 | ||||||
| BCRR Trust |
||||||||
| 5.858% due 07/17/2040 (h) |
3,000 | 3,254 | ||||||
| Bear Stearns Adjustable Rate Mortgage Trust |
||||||||
| 2.574% due 07/25/2036 ^ |
535 | 447 | ||||||
| 2.656% due 03/25/2035 |
325 | 317 | ||||||
| 2.786% due 02/25/2034 |
721 | 710 | ||||||
| Bear Stearns ALT-A Trust |
||||||||
| 2.466% due 04/25/2035 |
369 | 307 | ||||||
| 2.612% due 09/25/2035 |
293 | 252 | ||||||
| 2.667% due 11/25/2035 ^ |
183 | 144 | ||||||
| Bear Stearns Commercial Mortgage Securities Trust |
||||||||
| 5.650% due 02/11/2041 |
1,000 | 1,019 | ||||||
| Bear Stearns Structured Products, Inc. |
||||||||
| 2.337% due 12/26/2046 |
484 | 379 | ||||||
| 2.591% due 01/26/2036 (h) |
1,431 | 1,138 | ||||||
| BRAD Resecuritization Trust |
||||||||
| 1.000% due 03/12/2021 |
2,694 | 591 | ||||||
| CBA Commercial Small Balance Commercial Mortgage |
||||||||
| 5.540% due 01/25/2039 ^ |
913 | 603 | ||||||
| Celtic Residential Irish Mortgage Securitisation PLC |
||||||||
| 0.262% due 11/13/2047 (h) |
EUR | 2,413 | 2,772 | |||||
| 0.820% due 12/14/2048 |
GBP | 2,094 | 3,044 | |||||
| Charlotte Gateway Village LLC |
||||||||
| 6.410% due 12/01/2016 |
$ | 487 | 504 | |||||
| Chevy Chase Funding LLC Mortgage-Backed Certificates |
||||||||
| 0.470% due 08/25/2035 |
220 | 204 | ||||||
| 0.510% due 10/25/2034 |
15 | 13 | ||||||
| Citigroup Mortgage Loan Trust, Inc. |
||||||||
| 2.778% due 03/25/2037 ^ |
895 | 699 | ||||||
| Commercial Mortgage Trust |
||||||||
| 0.133% due 10/10/2046 (a)(h) |
77,000 | 945 | ||||||
| 5.904% due 07/10/2046 |
760 | 848 | ||||||
| Countrywide Alternative Loan Trust |
||||||||
| 0.375% due 05/20/2046 (h) |
1,353 | 994 | ||||||
| 0.410% due 12/25/2046 ^ |
174 | 110 | ||||||
| 0.500% due 10/25/2035 (h) |
1,531 | 1,222 | ||||||
| 0.520% due 05/25/2036 ^(h) |
2,761 | 1,748 | ||||||
| 2.662% due 02/25/2037 ^ |
400 | 356 | ||||||
| 5.220% due 10/25/2035 ^ |
348 | 298 | ||||||
| 5.500% due 08/25/2034 (h) |
823 | 824 | ||||||
| 5.500% due 02/25/2036 ^ |
46 | 42 | ||||||
| 5.500% due 03/25/2036 |
835 | 670 | ||||||
| 6.000% due 05/25/2037 ^(h) |
1,028 | 843 | ||||||
| 6.250% due 09/25/2034 |
128 | 132 | ||||||
| 6.981% due 07/25/2036 (a) |
1,926 | 554 | ||||||
| 19.334% due 07/25/2035 (h) |
1,863 | 2,544 | ||||||
| Countrywide Home Loan Mortgage Pass-Through Trust |
||||||||
| 0.410% due 03/25/2036 |
296 | 250 | ||||||
| 0.490% due 03/25/2035 (h) |
1,784 | 1,715 | ||||||
| 0.560% due 02/25/2035 |
202 | 156 | ||||||
| 2.313% due 02/20/2036 ^ |
2,025 | 726 | ||||||
| 2.388% due 10/20/2035 ^ |
242 | 193 | ||||||
| 2.393% due 10/20/2035 ^ |
405 | 364 | ||||||
| 2.589% due 08/25/2034 |
476 | 440 | ||||||
| 2.903% due 03/25/2037 ^ |
520 | 425 | ||||||
| 5.024% due 10/20/2035 |
835 | 760 | ||||||
| 5.500% due 08/25/2035 ^ |
66 | 63 | ||||||
| Credit Suisse Commercial Mortgage Trust |
||||||||
| 5.970% due 02/15/2041 (h) |
2,000 | 2,195 | ||||||
| Credit Suisse Mortgage Capital Certificates |
||||||||
| 5.467% due 09/16/2039 (h) |
900 | 950 | ||||||
| Credit Suisse Mortgage Capital Mortgage-Backed Trust |
||||||||
| 6.000% due 11/25/2036 |
356 | 360 | ||||||
| First Horizon Alternative Mortgage Securities Trust |
||||||||
| 2.234% due 11/25/2036 ^ |
720 | 541 | ||||||
| First Horizon Mortgage Pass-Through Trust |
||||||||
| 2.555% due 01/25/2037 ^(h) |
1,519 | 1,325 | ||||||
| GE Capital Commercial Mortgage Corp. |
||||||||
| 5.194% due 05/10/2043 (h) |
1,000 | 1,010 | ||||||
| GMAC Mortgage Corp. Loan Trust |
||||||||
| 3.277% due 06/25/2034 |
166 | 160 | ||||||
| GS Mortgage Securities Trust |
||||||||
| 6.041% due 08/10/2043 (h) |
730 | 802 | ||||||
| GSR Mortgage Loan Trust |
||||||||
| 2.644% due 05/25/2035 |
267 | 244 | ||||||
| 2.669% due 09/25/2035 (h) |
210 | 212 | ||||||
| 2.715% due 04/25/2035 |
493 | 481 | ||||||
| 5.500% due 06/25/2036 ^ |
182 | 170 | ||||||
| HarborView Mortgage Loan Trust |
||||||||
| 0.464% due 04/19/2034 |
37 | 34 | ||||||
| 2.157% due 11/19/2034 |
167 | 134 | ||||||
| 2.695% due 02/25/2036 ^ |
72 | 58 | ||||||
| 4.595% due 06/19/2036 ^ |
700 | 504 | ||||||
| 4.853% due 08/19/2036 ^ |
42 | 38 | ||||||
| HSI Asset Loan Obligation Trust |
||||||||
| 2.584% due 01/25/2037 ^ |
666 | 541 | ||||||
| IndyMac Mortgage Loan Trust |
||||||||
| 0.440% due 06/25/2037 ^(h) |
2,143 | 1,425 | ||||||
| 0.450% due 03/25/2035 |
66 | 59 | ||||||
| 2.388% due 06/25/2037 ^ |
865 | 572 | ||||||
| JPMBB Commercial Mortgage Securities Trust |
||||||||
| 0.155% due 11/15/2045 (a)(h) |
76,047 | 1,627 | ||||||
| JPMorgan Chase Commercial Mortgage Securities Trust |
||||||||
| 5.606% due 05/15/2041 (h) |
1,500 | 1,555 | ||||||
| JPMorgan Mortgage Trust |
||||||||
| 2.608% due 04/25/2037 ^(h) |
1,542 | 1,236 | ||||||
| 2.781% due 05/25/2036 |
442 | 395 | ||||||
| 5.500% due 01/25/2036 ^ |
118 | 114 | ||||||
| 5.500% due 06/25/2037 ^ |
103 | 101 | ||||||
| Luminent Mortgage Trust |
||||||||
| 0.340% due 12/25/2036 (h) |
1,077 | 868 | ||||||
| 0.370% due 10/25/2046 (h) |
1,015 | 874 | ||||||
| MASTR Adjustable Rate Mortgages Trust |
||||||||
| 2.564% due 11/25/2035 ^ |
1,234 | 910 | ||||||
| 3.020% due 10/25/2034 |
337 | 298 | ||||||
| Merrill Lynch Alternative Note Asset Trust |
||||||||
| 0.240% due 01/25/2037 |
345 | 161 | ||||||
| Merrill Lynch Mortgage Investors Trust |
||||||||
| 1.582% due 10/25/2035 |
176 | 172 | ||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust |
||||||||
| 5.378% due 08/12/2048 (h) |
957 | 1,017 | ||||||
| Morgan Stanley Capital Trust |
||||||||
| 5.379% due 08/13/2042 |
100 | 99 | ||||||
| 5.569% due 12/15/2044 (h) |
1,415 | 1,522 | ||||||
| Morgan Stanley Re-REMIC Trust |
||||||||
| 0.000% due 07/17/2056 (b) |
62 | 62 | ||||||
| Opteum Mortgage Acceptance Corp. Trust |
||||||||
| 0.440% due 07/25/2036 |
405 | 281 | ||||||
| Prime Mortgage Trust |
||||||||
| 6.381% due 11/25/2036 (a) |
9,391 | 1,224 | ||||||
| Provident Funding Mortgage Loan Trust |
||||||||
| 2.461% due 10/25/2035 |
167 | 167 | ||||||
| RBSSP Resecuritization Trust |
||||||||
| 5.000% due 09/26/2036 (h) |
2,544 | 1,677 | ||||||
| Residential Accredit Loans, Inc. Trust |
||||||||
| 3.091% due 12/26/2034 |
500 | 410 | ||||||
| 3.762% due 01/25/2036 ^(h) |
1,308 | 1,055 | ||||||
| 6.000% due 09/25/2035 |
688 | 551 | ||||||
| 6.000% due 08/25/2036 ^ |
506 | 407 | ||||||
| Residential Asset Mortgage Products Trust |
||||||||
| 7.500% due 12/25/2031 |
131 | 138 | ||||||
| Royal Bank of Scotland Capital Funding Trust |
||||||||
| 6.068% due 02/17/2051 (h) |
3,000 | 3,011 | ||||||
| Structured Adjustable Rate Mortgage Loan Trust |
||||||||
| 1.514% due 05/25/2035 (h) |
3,289 | 2,347 | ||||||
| 2.555% due 09/25/2036 ^ |
472 | 296 | ||||||
| 2.633% due 09/25/2035 |
145 | 124 | ||||||
| 4.596% due 11/25/2036 ^ |
425 | 386 | ||||||
| 4.803% due 04/25/2036 ^ |
737 | 574 | ||||||
| 4.980% due 01/25/2036 ^ |
634 | 481 | ||||||
| Structured Asset Mortgage Investments Trust |
||||||||
| 0.400% due 02/25/2036 |
581 | 479 | ||||||
| 0.450% due 02/25/2036 |
498 | 403 | ||||||
| Suntrust Adjustable Rate Mortgage Loan Trust |
||||||||
| 2.620% due 01/25/2037 ^ |
240 | 230 | ||||||
| Wachovia Bank Commercial Mortgage Trust |
||||||||
| 4.982% due 02/15/2035 |
247 | 247 | ||||||
| 5.188% due 01/15/2041 (h) |
1,500 | 1,503 | ||||||
| 5.941% due 02/15/2051 (h) |
2,500 | 2,736 | ||||||
| WaMu Commercial Mortgage Securities Trust |
||||||||
| 5.686% due 03/23/2045 (h) |
1,000 | 1,042 | ||||||
| WaMu Mortgage Pass-Through Certificates |
||||||||
| 0.460% due 07/25/2045 |
177 | 167 | ||||||
| WaMu Mortgage Pass-Through Certificates Trust |
||||||||
| 0.843% due 01/25/2047 |
166 | 151 | ||||||
| 2.195% due 12/25/2036 ^ |
768 | 694 | ||||||
| 2.362% due 02/25/2037 ^ |
630 | 557 | ||||||
| 4.492% due 04/25/2037 |
111 | 2 | ||||||
| 4.568% due 07/25/2037 ^ |
226 | 212 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates Trust |
||||||||
| 0.883% due 04/25/2047 ^ |
2,033 | 336 | ||||||
| Wells Fargo Mortgage-Backed Securities Trust |
||||||||
| 6.000% due 03/25/2037 ^ |
616 | 602 | ||||||
| Wells Fargo-RBS Commercial Mortgage Trust |
||||||||
| 0.338% due 12/15/2046 (a) |
30,000 | 837 | ||||||
|
|
|
|||||||
| Total Mortgage-Backed Securities (Cost $67,979) |
88,888 | |||||||
|
|
|
|||||||
| ASSET-BACKED SECURITIES 11.3% |
||||||||
| Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates |
||||||||
| 5.795% due 02/25/2033 ^ |
1 | 0 | ||||||
| Bayview Financial Asset Trust |
||||||||
| 1.120% due 12/25/2039 |
267 | 253 | ||||||
| Bear Stearns Asset-Backed Securities Trust |
||||||||
| 6.500% due 08/25/2036 ^ |
837 | 568 | ||||||
| 22.936% due 03/25/2036 ^(h) |
2,309 | 2,677 | ||||||
| Bombardier Capital Mortgage Securitization Corp. |
||||||||
| 7.830% due 06/15/2030 |
1,462 | 861 | ||||||
| Carrington Mortgage Loan Trust |
||||||||
| 0.320% due 08/25/2036 |
100 | 62 | ||||||
| Centex Home Equity Loan Trust |
||||||||
| 0.620% due 06/25/2035 |
236 | 199 | ||||||
| Citigroup Mortgage Loan Trust, Inc. |
||||||||
| 0.330% due 01/25/2037 |
265 | 173 | ||||||
| 5.972% due 01/25/2037 |
824 | 602 | ||||||
| Conseco Finance Securitizations Corp. |
||||||||
| 7.960% due 05/01/2031 |
473 | 373 | ||||||
| Countrywide Asset-Backed Certificates |
||||||||
| 0.305% due 01/25/2037 |
189 | 179 | ||||||
| 0.720% due 09/25/2034 |
145 | 139 | ||||||
| EMC Mortgage Loan Trust |
||||||||
| 1.110% due 05/25/2039 |
731 | 703 | ||||||
| Lehman XS Trust |
||||||||
| 5.106% due 05/25/2037 ^ |
462 | 531 | ||||||
| 5.420% due 11/25/2035 ^ |
458 | 459 | ||||||
| MASTR Asset-Backed Securities Trust |
||||||||
| 5.233% due 11/25/2035 |
243 | 247 | ||||||
| Morgan Stanley ABS Capital, Inc. Trust |
||||||||
| 0.230% due 05/25/2037 |
167 | 118 | ||||||
| Quest Trust |
||||||||
| 0.290% due 08/25/2036 |
5 | 5 | ||||||
| Residential Asset Mortgage Products Trust |
||||||||
| 0.850% due 03/25/2033 |
73 | 66 | ||||||
| 5.572% due 06/25/2032 |
107 | 106 | ||||||
| Soundview Home Loan Trust |
||||||||
| 0.230% due 11/25/2036 |
226 | 88 | ||||||
| South Coast Funding Ltd. |
||||||||
| 0.491% due 01/06/2041 |
16,976 | 5,704 | ||||||
| Structured Asset Securities Corp. Mortgage Loan Trust |
||||||||
| 0.305% due 05/25/2036 |
516 | 495 | ||||||
| 0.470% due 06/25/2035 |
666 | 588 | ||||||
| Washington Mutual Asset-Backed Certificates Trust |
||||||||
| 0.215% due 10/25/2036 |
128 | 66 | ||||||
|
|
|
|||||||
| Total Asset-Backed Securities (Cost $12,346) |
15,262 | |||||||
|
|
|
|||||||
| SOVEREIGN ISSUES 0.2% |
||||||||
| Costa Rica Government International Bond |
||||||||
| 7.000% due 04/04/2044 (h) |
300 | 295 | ||||||
|
|
|
|||||||
| Total Sovereign Issues (Cost $300) |
295 | |||||||
|
|
|
|||||||
| SHARES | ||||||||
| WARRANTS 0.0% |
||||||||
| INDUSTRIALS 0.0% |
||||||||
| Alion Science and Technology Corp. - Exp. 03/15/2017 |
1,975 | 0 | ||||||
|
|
|
|||||||
| Total Warrants (Cost $0) |
0 | |||||||
|
|
|
|||||||
| PREFERRED SECURITIES 0.7% |
||||||||
| BANKING & FINANCE 0.3% |
||||||||
| AgriBank FCB |
||||||||
| 6.875% due 01/01/2024 (e) |
4,000 | 421 | ||||||
|
|
|
|||||||
| UTILITIES 0.4% |
||||||||
| Entergy Arkansas, Inc. |
||||||||
| 4.750% due 06/01/2063 |
20,550 | 459 | ||||||
| Entergy Louisiana LLC |
||||||||
| 4.700% due 06/01/2063 |
4,725 | 104 | ||||||
|
|
|
|||||||
| 563 | ||||||||
|
|
|
|||||||
| Total Preferred Securities (Cost $902) |
984 | |||||||
|
|
|
|||||||
| SHORT-TERM INSTRUMENTS 40.6% |
||||||||
| REPURCHASE AGREEMENTS (g) 8.4% |
11,355 | |||||||
|
|
|
|||||||
| PRINCIPAL AMOUNT (000s) |
||||||||
| SHORT-TERM NOTES 3.4% |
||||||||
| Fannie Mae |
||||||||
| 0.142% due 06/01/2015 |
$ | 100 | 100 | |||||
| Freddie Mac |
||||||||
| 0.071% due 04/01/2015 - 04/09/2015 |
4,500 | 4,499 | ||||||
|
|
|
|||||||
| 4,599 | ||||||||
|
|
|
|||||||
| U.S. TREASURY BILLS 28.8% |
||||||||
| 0.044% due 01/02/2015 - 05/28/2015 (d)(h)(j)(l) |
38,998 | 38,994 | ||||||
|
|
|
|||||
| Total Short-Term Instruments (Cost $54,947) |
54,948 | |||||
|
|
|
|||||
| Total Investments in Securities (Cost $211,271) |
233,124 | |||||
|
|
|
|||||
| Total Investments 172.0% (Cost $211,271) |
$ | 233,124 | ||||
| Financial Derivative Instruments (i)(k) (4.7%) (Cost or Premiums, net $(3,252)) |
(6,405 | ) | ||||
| Other Assets and Liabilities, net (67.3%) | (91,154 | ) | ||||
|
|
|
|||||
| Net Assets Applicable to Common Shareholders 100.0% | $ | 135,565 | ||||
|
|
|
|||||
Notes to Schedule of Investments (amounts in thousands*, except number of contracts, shares, and units):
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| ^ | Security is in default. |
| (a) | Interest only security. |
| (b) | Principal only security. |
| (c) | Payment in-kind bond security. |
| (d) | Coupon represents a weighted average yield to maturity. |
| (e) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
| (f) | Restricted Securities: |
| Issuer Description | Coupon | Maturity Date |
Acquisition Date | Cost | Market Value |
Market Value as Percentage of Net Assets |
||||||||||||||||||
| KGH Intermediate Holdco LLC |
8.500% | 08/08/2019 | 08/07/2014 | $ | 472 | $ | 472 | 0.35% | ||||||||||||||||
| Pinnacol Assurance |
8.625% | 06/25/2034 | 06/23/2014 | 1,100 | 1,165 | 0.86% | ||||||||||||||||||
| $ | 1,572 | $ | 1,637 | 1.21% | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
Borrowings and Other Financing Transactions
| (g) | Repurchase Agreements: |
| Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||
| RDR | 0.100% | 12/31/2014 | 01/02/2015 | $ | 10,400 | U.S. Treasury Notes 1.375% due 05/31/2020 |
$ | (10,626 | ) | $ | 10,400 | $ | 10,400 | |||||||||||||||
| SSB | 0.000% | 12/31/2014 | 01/02/2015 | 955 | Fannie Mae 2.260% due 10/17/2022 |
(974 | ) | 955 | 955 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total Repurchase Agreements |
$ | (11,600 | ) | $ | 11,355 | $ | 11,355 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (1) | Includes accrued interest. |
Reverse Repurchase Agreements:
| Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||
| BCY |
(2.000 | %) | 08/20/2014 | 08/19/2016 | $ | (2,616 | ) | $ | (2,596 | ) | ||||||||||
| 0.600 | % | 10/22/2014 | 01/22/2015 | (1,397 | ) | (1,399 | ) | |||||||||||||
| 0.600 | % | 10/28/2014 | 01/28/2015 | (1,162 | ) | (1,163 | ) | |||||||||||||
| 0.750 | % | 12/15/2014 | 03/16/2015 | (2,439 | ) | (2,440 | ) | |||||||||||||
| 0.780 | % | 12/04/2014 | 03/04/2015 | (1,033 | ) | (1,034 | ) | |||||||||||||
| 0.800 | % | 10/22/2014 | 01/22/2015 | (2,908 | ) | (2,913 | ) | |||||||||||||
| 0.800 | % | 11/18/2014 | 02/18/2015 | (378 | ) | (378 | ) | |||||||||||||
| 0.800 | % | 11/21/2014 | 02/23/2015 | (1,631 | ) | (1,633 | ) | |||||||||||||
| 0.830 | % | 10/22/2014 | 01/22/2015 | (1,698 | ) | (1,701 | ) | |||||||||||||
| 0.850 | % | 12/15/2014 | 03/16/2015 | (681 | ) | (681 | ) | |||||||||||||
| 0.850 | % | 12/18/2014 | 03/18/2015 | (958 | ) | (958 | ) | |||||||||||||
| 1.430 | % | 09/29/2014 | 03/27/2015 | (2,050 | ) | (2,058 | ) | |||||||||||||
| 1.581 | % | 10/22/2014 | 01/22/2015 | (3,382 | ) | (3,393 | ) | |||||||||||||
| 1.583 | % | 10/28/2014 | 01/28/2015 | (1,057 | ) | (1,060 | ) | |||||||||||||
| 1.583 | % | 11/12/2014 | 02/12/2015 | (2,458 | ) | (2,463 | ) | |||||||||||||
| BOS |
1.989 | % | 12/09/2014 | 06/09/2015 | (2,481 | ) | (2,484 | ) | ||||||||||||
| 1.993 | % | 12/19/2014 | 03/19/2015 | (1,490 | ) | (1,491 | ) | |||||||||||||
| BPG |
1.482 | % | 10/22/2014 | 01/22/2015 | (1,267 | ) | (1,271 | ) | ||||||||||||
| BRC |
0.550 | % | 10/17/2014 | 01/19/2015 | EUR | (979 | ) | (1,186 | ) | |||||||||||
| 0.750 | % | 11/03/2014 | 02/03/2015 | $ | (263 | ) | (263 | ) | ||||||||||||
| CFR |
(5.000 | %) | 12/19/2014 | 12/19/2016 | EUR | (83 | ) | (100 | ) | |||||||||||
| (4.000 | %) | 12/19/2014 | 12/16/2016 | GBP | (583 | ) | (907 | ) | ||||||||||||
| DEU |
0.750 | % | 10/02/2014 | 01/02/2015 | $ | (992 | ) | (994 | ) | |||||||||||
| 0.750 | % | 10/07/2014 | 01/08/2015 | (550 | ) | (551 | ) | |||||||||||||
| 0.750 | % | 10/08/2014 | 01/08/2015 | (129 | ) | (129 | ) | |||||||||||||
| 0.750 | % | 10/09/2014 | 01/09/2015 | (178 | ) | (178 | ) | |||||||||||||
| 0.750 | % | 10/14/2014 | 01/14/2015 | (857 | ) | (858 | ) | |||||||||||||
| 0.750 | % | 10/29/2014 | 01/29/2015 | (902 | ) | (903 | ) | |||||||||||||
| 0.750 | % | 11/06/2014 | 02/06/2015 | (1,637 | ) | (1,639 | ) | |||||||||||||
| 0.800 | % | 12/16/2014 | 03/17/2015 | (997 | ) | (997 | ) | |||||||||||||
| 0.800 | % | 01/02/2015 | 04/02/2015 | (916 | ) | (916 | ) | |||||||||||||
| FOB |
1.629 | % | 10/15/2014 | 01/15/2015 | (3,322 | ) | (3,334 | ) | ||||||||||||
| JML |
(1.500 | %) | 12/19/2014 | 12/16/2016 | GBP | (443 | ) | (690 | ) | |||||||||||
| MSC |
1.150 | % | 11/06/2014 | 02/06/2015 | $ | (4,685 | ) | (4,694 | ) | |||||||||||
| 1.300 | % | 09/18/2014 | 03/18/2015 | (2,498 | ) | (2,508 | ) | |||||||||||||
| 1.300 | % | 09/23/2014 | 03/20/2015 | (871 | ) | (874 | ) | |||||||||||||
| RBC |
0.740 | % | 10/29/2014 | 04/29/2015 | (2,068 | ) | (2,071 | ) | ||||||||||||
| RDR |
0.420 | % | 12/04/2014 | 03/04/2015 | (3,102 | ) | (3,103 | ) | ||||||||||||
| 1.020 | % | 11/24/2014 | 05/26/2015 | (3,491 | ) | (3,495 | ) | |||||||||||||
| 1.230 | % | 10/14/2014 | 01/14/2015 | (1,325 | ) | (1,329 | ) | |||||||||||||
| 1.330 | % | 07/01/2014 | 01/02/2015 | (1,718 | ) | (1,730 | ) | |||||||||||||
| 1.330 | % | 09/29/2014 | 03/30/2015 | (765 | ) | (768 | ) | |||||||||||||
| 1.330 | % | 10/07/2014 | 04/07/2015 | (645 | ) | (647 | ) | |||||||||||||
| 1.360 | % | 01/02/2015 | 07/02/2015 | (1,685 | ) | (1,685 | ) | |||||||||||||
| RYL |
0.750 | % | 12/08/2014 | 01/08/2015 | GBP | (1,047 | ) | (1,633 | ) | |||||||||||
| SAL |
0.933 | % | 11/14/2014 | 02/17/2015 | $ | (647 | ) | (648 | ) | |||||||||||
| 0.978 | % | 10/16/2014 | 01/16/2015 | (1,651 | ) | (1,654 | ) | |||||||||||||
| SOG |
0.620 | % | 10/21/2014 | 01/21/2015 | (1,097 | ) | (1,098 | ) | ||||||||||||
| 0.690 | % | 12/16/2014 | 03/16/2015 | (878 | ) | (878 | ) | |||||||||||||
| UBS |
0.450 | % | 12/08/2014 | 03/09/2015 | (4,727 | ) | (4,728 | ) | ||||||||||||
| 0.500 | % | 12/18/2014 | 03/18/2015 | (1,407 | ) | (1,407 | ) | |||||||||||||
| 0.600 | % | 12/16/2014 | 03/18/2015 | (2,207 | ) | (2,208 | ) | |||||||||||||
| 0.650 | % | 12/16/2014 | 03/18/2015 | (2,078 | ) | (2,079 | ) | |||||||||||||
| 0.650 | % | 12/18/2014 | 03/18/2015 | (1,193 | ) | (1,193 | ) | |||||||||||||
| 0.750 | % | 11/24/2014 | 05/26/2015 | (1,037 | ) | (1,038 | ) | |||||||||||||
| 1.280 | % | 10/16/2014 | 01/16/2015 | EUR | (1,825 | ) | (2,215 | ) | ||||||||||||
| 1.382 | % | 10/07/2014 | 01/07/2015 | $ | (3,994 | ) | (4,007 | ) | ||||||||||||
| 1.524 | % | 10/03/2014 | 04/06/2015 | (1,977 | ) | (1,985 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total Reverse Repurchase Agreements |
$ | (94,436 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
| (2) | The average amount of borrowings while outstanding during the period ended December 31, 2014 was $84,498 at a weighted average interest rate of 0.692%. |
| (h) | Securities with an aggregate market value of $1,473,994 and cash of $853 have been pledged as collateral under the terms of master agreements as of December 31, 2014. |
| (i) | Financial Derivative Instruments: Exchange-Traded or Centrally Cleared |
Purchased Options:
Options on Exchange-Traded Futures Contracts
| Description | Strike Price |
Expiration Date |
# of Contracts |
Cost | Market Value |
|||||||||||
| Put - CME S&P 500 Index January Futures |
1,945.000 | 01/16/2015 | 121 | $ | 333 | $ | 212 | |||||||||
|
|
|
|
|
|||||||||||||
| Total Purchased Options |
|
$ | 333 | $ | 212 | |||||||||||
|
|
|
|
|
|||||||||||||
Written Options:
Options on Exchange-Traded Futures Contracts
| Description | Strike Price |
Expiration Date |
# of Contracts |
Premiums (Received) |
Market Value |
|||||||||||
| Call - CME S&P 500 Index January Futures |
2,045.000 | 01/16/2015 | 121 | $ | (910 | ) | $ | (935 | ) | |||||||
|
|
|
|
|
|||||||||||||
| Total Written Options |
$ | (910 | ) | $ | (935 | ) | ||||||||||
|
|
|
|
|
|||||||||||||
Futures Contracts:
| Variation Margin | ||||||||||||||||||||||
| Description | Type | Expiration Month |
# of Contracts |
Unrealized Appreciation |
Asset | Liability | ||||||||||||||||
| E-mini S&P 500 Index March Futures |
Long | 03/2015 | 34 | $ | 70 | $ | 0 | $ | (41 | ) | ||||||||||||
| S&P 500 Index March Futures |
Long | 03/2015 | 122 | 2,658 | 0 | (741 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||
| Total Futures Contracts |
|
$ | 2,728 | $ | 0 | $ | (782 | ) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||
Swap Agreements:
Interest Rate Swaps
| Variation Margin | ||||||||||||||||||||||||||||||
| Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate | Maturity Date |
Notional Amount |
Market Value |
Unrealized Appreciation/ (Depreciation) |
Asset | Liability | ||||||||||||||||||||||
| Pay | 3-Month CAD-Bank Bill | 3.300% | 06/19/2024 | CAD | 4,900 | $ | 399 | $ | 171 | $ | 16 | $ | 0 | |||||||||||||||||
| Receive | 3-Month CAD-Bank Bill | 3.500% | 06/20/2044 | 2,100 | (289 | ) | (214 | ) | 0 | (22 | ) | |||||||||||||||||||
| Pay | 3-Month USD-LIBOR | 2.750% | 06/19/2023 | $ | 345,000 | 15,828 | 12,979 | 369 | 0 | |||||||||||||||||||||
| Pay | 3-Month USD-LIBOR | 3.000% | 06/18/2024 | 12,000 | 793 | 415 | 13 | 0 | ||||||||||||||||||||||
| Receive | 3-Month USD-LIBOR | 2.750% | 06/17/2025 | 360,600 | (10,757 | ) | (1,312 | ) | 0 | (358 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | 5,974 | $ | 12,039 | $ | 398 | $ | (380 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total Swap Agreements |
|
$ | 5,974 | $ | 12,039 | $ | 398 | $ | (380 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (j) | Securities with an aggregate market value of $29,283 and cash of $927 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2014. |
| (k) | Financial Derivative Instruments: Over The Counter |
Forward Foreign Currency Contracts:
| Unrealized Appreciation/(Depreciation) | ||||||||||||||||||||||||
| Counterparty | Settlement Month | Currency to be Delivered |
Currency to be Received |
Asset | Liability | |||||||||||||||||||
| BOA |
01/2015 | EUR | 57 | $ | 71 | $ | 2 | $ | 0 | |||||||||||||||
| 01/2015 | GBP | 61 | 96 | 1 | 0 | |||||||||||||||||||
| 01/2015 | ILS | 51 | 13 | 0 | 0 | |||||||||||||||||||
| 01/2015 | JPY | 3,329 | 28 | 0 | 0 | |||||||||||||||||||
| 01/2015 | $ | 950 | EUR | 762 | 0 | (28 | ) | |||||||||||||||||
| 01/2015 | 4,659 | GBP | 2,981 | 0 | (13 | ) | ||||||||||||||||||
| 01/2015 | 305 | JPY | 36,549 | 0 | 0 | |||||||||||||||||||
| 02/2015 | CHF | 25 | $ | 26 | 1 | 0 | ||||||||||||||||||
| 02/2015 | GBP | 2,936 | 4,587 | 12 | 0 | |||||||||||||||||||
| 02/2015 | JPY | 36,549 | 305 | 0 | 0 | |||||||||||||||||||
| 02/2015 | SEK | 931 | 125 | 6 | 0 | |||||||||||||||||||
| 02/2015 | $ | 94 | CHF | 92 | 0 | (1 | ) | |||||||||||||||||
| BPS |
01/2015 | BRL | 1,117 | $ | 430 | 10 | 0 | |||||||||||||||||
| 01/2015 | $ | 421 | BRL | 1,117 | 0 | 0 | ||||||||||||||||||
| BRC |
02/2015 | 40 | SEK | 303 | 0 | (1 | ) | |||||||||||||||||
| CBK |
01/2015 | JPY | 17,447 | $ | 147 | 1 | 0 | |||||||||||||||||
| 01/2015 | $ | 2,670 | EUR | 2,176 | 0 | (37 | ) | |||||||||||||||||
| 01/2015 | 28 | JPY | 3,300 | 0 | (1 | ) | ||||||||||||||||||
| 02/2015 | CHF | 397 | $ | 410 | 11 | 0 | ||||||||||||||||||
| 02/2015 | EUR | 2,060 | 2,525 | 32 | 0 | |||||||||||||||||||
| 03/2015 | CAD | 43 | 37 | 0 | 0 | |||||||||||||||||||
| DUB |
01/2015 | BRL | 1,117 | 421 | 0 | 0 | ||||||||||||||||||
| 01/2015 | $ | 434 | BRL | 1,117 | 0 | (14 | ) | |||||||||||||||||
| 07/2015 | BRL | 1,117 | $ | 412 | 12 | 0 | ||||||||||||||||||
| FBF |
01/2015 | GBP | 3,496 | 5,488 | 39 | 0 | ||||||||||||||||||
| 01/2015 | JPY | 14,144 | 120 | 1 | 0 | |||||||||||||||||||
| GLM |
01/2015 | AUD | 226 | 189 | 5 | 0 | ||||||||||||||||||
| 01/2015 | EUR | 460 | 572 | 15 | 0 | |||||||||||||||||||
| 01/2015 | GBP | 682 | 1,069 | 6 | 0 | |||||||||||||||||||
| 01/2015 | JPY | 30,743 | 260 | 4 | 0 | |||||||||||||||||||
| 01/2015 | $ | 28 | EUR | 22 | 0 | (1 | ) | |||||||||||||||||
| 01/2015 | 216 | JPY | 25,814 | 0 | (1 | ) | ||||||||||||||||||
| 02/2015 | DKK | 239 | $ | 40 | 1 | 0 | ||||||||||||||||||
| 02/2015 | NOK | 96 | 13 | 0 | 0 | |||||||||||||||||||
| 02/2015 | $ | 196 | CHF | 189 | 0 | (6 | ) | |||||||||||||||||
| HUS |
01/2015 | SGD | 74 | $ | 58 | 2 | 0 | |||||||||||||||||
| 01/2015 | $ | 1,685 | GBP | 1,076 | 0 | (8 | ) | |||||||||||||||||
| 02/2015 | HKD | 101 | $ | 13 | 0 | 0 | ||||||||||||||||||
| JPM |
01/2015 | EUR | 2,832 | 3,512 | 85 | 0 | ||||||||||||||||||
| 01/2015 | $ | 477 | EUR | 389 | 0 | (6 | ) | |||||||||||||||||
| 01/2015 | 270 | GBP | 173 | 0 | 0 | |||||||||||||||||||
| 02/2015 | HKD | 946 | $ | 122 | 0 | 0 | ||||||||||||||||||
| MSB |
01/2015 | GBP | 99 | 155 | 1 | 0 | ||||||||||||||||||
| 02/2015 | HKD | 209 | 27 | 0 | 0 | |||||||||||||||||||
| 02/2015 | $ | 81 | HKD | 628 | 0 | 0 | ||||||||||||||||||
| UAG |
01/2015 | 169 | GBP | 108 | 0 | 0 | ||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| Total Forward Foreign Currency Contracts |
$ | 247 | $ | (117 | ) | |||||||||||||||||||
|
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|
|
|
|||||||||||||||||||||
Swap Agreements:
Credit Default Swaps on Asset-Backed Securities - Buy Protection (1)
| Swap Agreements, at Value (5) | ||||||||||||||||||||||||||||||
| Counterparty | Reference Obligation | Fixed Deal (Pay) Rate |
Maturity Date |
Notional Amount (4) |
Premiums Paid/(Received) |
Unrealized Appreciation |
Asset | Liability | ||||||||||||||||||||||
| GST | Commercial Industrial Finance Corp. Ltd. 3-Month USD-LIBOR plus 4.000% due 10/20/2020 |
(4.500%) | 10/20/2020 | $ | 478 | $ | 0 | $ | 5 | $ | 5 | $ | 0 | |||||||||||||||||
| Telos CLO Ltd. 3-Month USD-LIBOR plus 4.250% due 10/11/2021 |
(5.000%) | 10/11/2021 | 1,500 | 0 | 30 | 30 | 0 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | 0 | $ | 35 | $ | 35 | $ | 0 | |||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|||||||||||||||||||||||
Credit Default Swaps on Asset-Backed Securities - Sell Protection (2)
| Swap Agreements, at Value (5) | ||||||||||||||||||||||||||||||
| Counterparty | Reference Obligation | Fixed Deal Receive Rate |
Maturity Date |
Notional Amount (4) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Asset | Liability | ||||||||||||||||||||||
| BOA | Long Beach Mortgage Loan Trust 1-Month USD-LIBOR plus 5.250% due 07/25/2033 |
6.250% | 07/25/2033 | $ | 451 | $ | 0 | $ | (160 | ) | $ | 0 | $ | (160 | ) | |||||||||||||||
| MYC | Morgan Stanley Dean Witter Capital 1-Month USD-LIBOR plus 3.225% due 08/25/2032 |
3.225% | 08/25/2032 | 156 | (3 | ) | 4 | 1 | 0 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | (3 | ) | $ | (156 | ) | $ | 1 | $ | (160 | ) | ||||||||||||||||||||
|
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|
|
|
|
|
|
|
|||||||||||||||||||||||
Credit Default Swaps on Corporate Issues - Sell Protection (2)
| Swap Agreements, at Value | ||||||||||||||||||||||||||||||||||
| Counterparty | Reference Entity | Fixed Deal Receive Rate |
Maturity Date |
Implied Credit Spread at December 31, 2014 (3) |
Notional |
Premiums (Received) |
Unrealized (Depreciation) |
Asset | Liability | |||||||||||||||||||||||||
| BRC | Abengoa S.A. |
5.000% | 12/20/2019 | 12.449% | EUR 400 | $ | (90 | ) | $ | (20 | ) | $ | 0 | $ | (110 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Credit Default Swaps on Credit Indices - Sell Protection (2)
| Swap Agreements, at Value (5) | ||||||||||||||||||||||||||||||
| Counterparty | Index/Tranches | Fixed Deal Receive Rate |
Maturity Date |
Notional Amount (4) |
Premiums (Received) |
Unrealized Appreciation |
Asset | Liability | ||||||||||||||||||||||
| RYL | ABX.HE.AA.6-1 Index |
0.320% | 07/25/2045 | $ | 2,965 | $ | (1,746 | ) | $ | 1,128 | $ | 0 | $ | (618 | ) | |||||||||||||||
| ABX.HE.PENAAA.7-1 Index |
0.090% | 08/25/2037 | 2,365 | (1,171 | ) | 639 | 0 | (532 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | (2,917 | ) | $ | 1,767 | $ | 0 | $ | (1,150 | ) | |||||||||||||||||||||
|
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|
|
|
|
|
|
|
|||||||||||||||||||||||
| (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 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. |
| (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 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. |
| (3) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (4) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (5) | The prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Interest Rate Swaps
| Swap Agreements, at Value | ||||||||||||||||||||||||||||||
| Counterparty | Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate | Maturity Date |
Notional Amount |
Premiums Paid |
Unrealized (Depreciation) |
Asset | Liability | |||||||||||||||||||||
| BPS | Pay | 1-Year BRL-CDI | 12.055% | 01/04/2021 | BRL 3,600 | $ | 10 | $ | (4 | ) | $ | 6 | $ | 0 | ||||||||||||||||
|
|
|
|
|
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|
|
|||||||||||||||||||||||
Total Return Swaps on Convertible Securities
| Swap Agreements, at Value | ||||||||||||||||||||||||||||||
| Counterparty | Pay/Receive (6) | Underlying Reference |
# of Shares |
Financing Rate | Maturity Date |
Notional Amount |
Premiums Paid |
Unrealized Appreciation |
Asset | Liability | ||||||||||||||||||||
| DUB |
Receive |
OGX Petroleo e Gas Participaceos S.A. |
0 | Not Applicable, Fully Funded |
02/11/2015 | $181 | $ | 181 | $ | 121 | $ | 302 | $ | 0 | ||||||||||||||||
| Receive |
OGX Petroleo e Gas Participaceos S.A. |
0 | Not Applicable, Fully Funded |
04/11/2015 | 144 | 144 | 7 | 151 | 0 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | 325 | $ | 128 | $ | 453 | $ | 0 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total Return Swaps on Indices
| Swap Agreements, at Value | ||||||||||||||||||||||||||||||
| Counterparty | Pay/Receive (6) | Underlying Reference |
# of Units |
Financing Rate | Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized (Depreciation) |
Asset | Liability | ||||||||||||||||||||
| FBF |
Receive |
NDDUEAFE Index | 14,113 | 1-Month USD-LIBOR plus a specified spread |
04/28/2015 | $72,826 | $ | (4,123 | ) | $ | 0 | $ | (4,123 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Total Swap Agreements |
$ | (2,675 | ) | $ | (2,373 | ) | $ | 495 | $ | (5,543 | ) | |||||||||||||||||||
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|
|
|||||||||||||||||||||||
| (6) | Receive represents that the Fund receives payments for any positive return on the underlying reference. The Fund makes payments for any negative return on such underlying reference. Pay represents that the Fund receives payments for any negative return on the underlying reference. The Fund makes payments for any positive return on such underlying reference. |
| (l) | Securities with an aggregate market value of $5,319 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2014. |
Fair Value Measurements
The following is a summary of the fair valuations according to the inputs used as of December 31, 2014 in valuing the Fund’s assets and liabilities:
| Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||
| Investments in Securities, at Value |
||||||||||||||||
| Bank Loan Obligations |
$ | 0 | $ | 5,334 | $ | 100 | $ | 5,434 | ||||||||
| Corporate Bonds & Notes |
||||||||||||||||
| Banking & Finance |
0 | 34,179 | 2,788 | 36,967 | ||||||||||||
| Industrials |
0 | 14,268 | 6,458 | 20,726 | ||||||||||||
| Utilities |
0 | 3,554 | 0 | 3,554 | ||||||||||||
| Municipal Bonds & Notes |
||||||||||||||||
| West Virginia |
0 | 1,502 | 0 | 1,502 | ||||||||||||
| U.S. Government Agencies |
0 | 3,559 | 0 | 3,559 | ||||||||||||
| U.S. Treasury Obligations |
0 | 1,005 | 0 | 1,005 | ||||||||||||
| Mortgage-Backed Securities |
0 | 86,214 | 2,674 | 88,888 | ||||||||||||
| Asset-Backed Securities |
0 | 15,262 | 0 | 15,262 | ||||||||||||
| Sovereign Issues |
0 | 295 | 0 | 295 | ||||||||||||
| Preferred Securities |
||||||||||||||||
| Banking & Finance |
0 | 421 | 0 | 421 | ||||||||||||
| Utilities |
563 | 0 | 0 | 563 | ||||||||||||
| Short-Term Instruments |
||||||||||||||||
| Repurchase Agreements |
0 | 11,355 | 0 | 11,355 | ||||||||||||
| Short-Term Notes |
0 | 4,599 | 0 | 4,599 | ||||||||||||
| U.S. Treasury Bills |
0 | 38,994 | 0 | 38,994 | ||||||||||||
| Total Investments |
$ | 563 | $ | 220,541 | $ | 12,020 | $ | 233,124 | ||||||||
| Financial Derivative Instruments - Assets |
||||||||||||||||
| Exchange-traded or centrally cleared |
212 | 398 | 0 | 610 | ||||||||||||
| Over the counter |
0 | 289 | 453 | 742 | ||||||||||||
| $ | 212 | $ | 687 | $ | 453 | $ | 1,352 | |||||||||
| Financial Derivative Instruments - Liabilities |
||||||||||||||||
| Exchange-traded or centrally cleared |
(1,717 | ) | (380 | ) | 0 | (2,097 | ) | |||||||||
| Over the counter |
0 | (5,660 | ) | 0 | (5,660 | ) | ||||||||||
| $ | (1,717 | ) | $ | (6,040 | ) | $ | 0 | $ | (7,757 | ) | ||||||
| Totals |
$ | (942 | ) | $ | 215,188 | $ | 12,473 | $ | 226,719 | |||||||
There were no significant transfers between Level 1 and 2 during the period ended December 31, 2014.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2014:
| Category and Subcategory | Beginning Balance at 03/31/2014 |
Net Purchases (1) |
Net Sales (1) |
Accrued Discounts/ (Premiums) |
Realized Gain/(Loss) |
Net Change
in Unrealized Appreciation/ (Depreciation) (2) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 12/31/2014 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2014 (2) |
||||||||||||||||||||||||||||||
| Investments in Securities, at Value | ||||||||||||||||||||||||||||||||||||||||
| Bank Loan Obligations |
$ | 862 | $ | 109 | $ | (200 | ) | $ | 19 | $ | 0 | $ | (138 | ) | $ | 0 | $ | (552 | ) | $ | 100 | $ | (23 | ) | ||||||||||||||||
| Corporate Bonds & Notes |
||||||||||||||||||||||||||||||||||||||||
| Banking & Finance |
2,983 | 4,141 | (12 | ) | 2 | 0 | 46 | 0 | (4,372 | ) | 2,788 | 51 | ||||||||||||||||||||||||||||
| Industrials |
2,697 | 1,250 | (233 | ) | 2 | 0 | (244 | ) | 3,026 | (40 | ) | 6,458 | (4 | ) | ||||||||||||||||||||||||||
| Mortgage-Backed Securities |
3,616 | 611 | (3,174 | ) | 8 | 205 | (109 | ) | 1,517 | 0 | 2,674 | (19 | ) | |||||||||||||||||||||||||||
| Asset-Backed Securities |
4,306 | 3,813 | (4,412 | ) | 112 | 461 | 1,424 | 0 | (5,704 | ) | 0 | 0 | ||||||||||||||||||||||||||||
|
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|
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|
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|
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 14,464 | $ | 9,924 | $ | (8,031 | ) | $ | 143 | $ | 666 | $ | 979 | $ | 4,543 | $ | (10,668 | ) | $ | 12,020 | $ | 5 | |||||||||||||||||||
| Financial Derivative Instruments - Assets | ||||||||||||||||||||||||||||||||||||||||
| Over the counter |
$ | 185 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 268 | $ | 0 | $ | 0 | $ | 453 | $ | 268 | ||||||||||||||||||||
|
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|
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|
|||||||||||||||||||||
| Totals |
$ | 14,649 | $ | 9,924 | $ | (8,031 | ) | $ | 143 | $ | 666 | $ | 1,247 | $ | 4,543 | $ | (10,668 | ) | $ | 12,473 | $ | 273 | ||||||||||||||||||
|
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|
|
|||||||||||||||||||||
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
| Category and Subcategory | Ending Balance at 12/31/2014 |
Valuation Technique | Unobservable Inputs | Input Value(s) (% Unless Noted Otherwise) |
||||||||
| Investments in Securities, at Value |
| |||||||||||
| Bank Loan Obligations |
$ | 100 | Third Party Vendor | Broker Quote | 77.50 | |||||||
| Corporate Bonds & Notes |
||||||||||||
| Banking & Finance |
1,888 | Discounted Cash Flows |
Credit rating |
B-BBB | ||||||||
| OAS spread |
600bp - 950bps | |||||||||||
| Yield |
8.75 - 9.75 | |||||||||||
| 900 | Market Comparable Companies |
Credit rating |
B-BB | |||||||||
| Net Debt to Equity Ratio |
8 - 10x | |||||||||||
| Yield |
8.00 - 10.00 | |||||||||||
| Industrials |
4,140 | Benchmark Pricing |
Base Price |
76.38 - 102.67 | ||||||||
| 191 | Indicative Market Quotation |
Broker Quote |
65.50 | |||||||||
| 2,127 | Third Party Vendor |
Broker Quote |
108.00 -111.43 | |||||||||
| Mortgage-Backed Securities |
905 | Benchmark Pricing | Base Price | 94.90 - 103.50 | ||||||||
| 190 | Other Valuation Techniques (3) |
— |
— | |||||||||
| 1,579 | Third Party Vendor |
Broker Quote |
78.38 - 99.58 | |||||||||
| Financial Derivative Instruments - Assets |
| |||||||||||
| Over the counter |
151 | Indicative Market Quotation | Broker Quote | 104.93 | ||||||||
| 302 | Other Valuation Techniques (3) | — | — | |||||||||
|
|
|
|||||||||||
| Total |
$ | 12,473 | ||||||||||
|
|
|
|||||||||||
| (1) | Net Purchases and Sales for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions. |
| (2) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2014 may be due to an investment no longer held or categorized as level 3 at period end. |
| (3) | Includes valuation techniques not defined in the Supplementary Notes to Schedule of Investments as securities valued using such techniques are not considered significant to the Fund. |
See Accompanying Notes
Notes to Financial Statements
1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
(a) Investment Valuation Policies The Net Asset Value (“NAV”) of the Fund’s shares is valued as of the close of regular trading (normally 4:00 p.m., Eastern time) (the “NYSE Close”) on each day that the New York Stock Exchange (“NYSE”) is open (each a “Business Day”). Information that becomes known to the Fund or its agents after the NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day.
For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Board of Trustees (the “Board”) of the Fund. The Board has formed a Valuation Committee whose function is to monitor the valuation of portfolio securities and other financial derivative instruments and, as required by the Fund’s valuation policies, determine in good faith the fair value of portfolio holdings after consideration of all relevant factors, including recommendations provided by the investment manager (the “Manager”). The Board has delegated responsibility for applying the valuation methods to the Manager. The Manager monitors the continual appropriateness of methods applied and determines if adjustments should be made in light of market factor changes and events affecting issuers.
Where market quotes are readily available, fair market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from a quotation reporting system, established market makers, or pricing services. Where market quotes are not readily available, portfolio securities and other financial derivative instruments are valued at fair value, as determined in good faith by the Board, its Valuation Committee, or the Manager pursuant to instructions from the Board or its Valuation Committee. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, or broker quotes), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of the Fund’s securities or financial derivative instruments. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Manager, PIMCO, the responsibility for monitoring significant events that may materially affect the values of the Fund’s securities or financial derivative instruments and for determining whether the value of the applicable securities or financial derivative instruments should be re-evaluated in light of such significant events.
The Board has adopted methods for valuing securities and other financial derivative instruments that may require fair valuation under particular circumstances. The Manger monitors the continual appropriateness of fair valuation methods applied and determines if adjustments should be made in light of market changes, events affecting the issuer, or other factors. If the Manager determines that a fair valuation method may no longer be appropriate, another valuation method may be selected, or the Valuation Committee will take any appropriate action in accordance with procedures set forth by the Board. The Board reviews the appropriateness of the valuation methods from time to time and these methods may be amended or supplemented from time to time by the Valuation Committee.
In circumstances in which daily market quotes are not readily available, investments may be valued pursuant to guidelines established by the Board. In the event that the security or asset cannot be valued pursuant to the established guidelines, the value of the security or other financial derivative instrument will be determined in good faith by the Valuation Committee of the Board, generally based upon recommendations provided by PIMCO. These methods may require subjective determinations about the value of a security. While the Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects security values as of the time of pricing, the Fund cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.
(b) Fair Value Hierarchy U.S. GAAP describes fair market value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, and 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows:
| • | Level 1—Inputs using (unadjusted) quoted prices in active markets or exchanges for identical assets and liabilities. |
| • | Level 2—Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. |
| • | Level 3—Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments. |
Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the valuation method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of valuation methods used by third-party pricing services (Level 2) to the use of a broker quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by third-party pricing services or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers between Levels 1 and 2 and transfers in and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for the Fund.
For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. The end of period timing recognition is used for the transfers between Levels of the Fund’s assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy, and if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments for the Fund.
(c) Valuation Techniques and the Fair Value Hierarchy
Level 1 and Level 2 trading assets and trading liabilities, at fair market value The valuation methods (or “techniques”) and significant inputs used in determining the fair market values of portfolio securities or financial derivative instruments categorized as Level 1 and Level 2 of the fair value hierarchy are as follows:
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued by pricing service providers that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Common stocks, exchange-traded funds, exchange-traded notes and financial derivative instruments, such as futures contracts or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.
Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing service providers. As a result, the NAV of 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 NYSE is closed. Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using pricing service providers that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.
Short-term investments having a maturity of 60 days or less and repurchase agreements are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.
Equity exchange-traded options and over the counter financial derivative instruments, such as foreign currency contracts, options contracts, or swap agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued by independent pricing service providers. Depending on the product and the terms of the transaction, financial derivative instruments can be valued by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indices, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange. For centrally cleared credit default swaps the clearing facility requires its members to provide actionable price levels across complete term structures. These levels along with external third-party prices are used to produce daily settlement prices. These securities are categorized as Level 2 of the fair value hierarchy. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates including the overnight index swap rate and London Interbank Offered Rate (“LIBOR”) forward rate to produce the daily settlement price. These securities are categorized as Level 2 of the fair value hierarchy.
Level 3 trading assets and trading liabilities, at fair value When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, securities will be priced by a method that the Board or persons acting at their direction believe reflects fair value and are categorized as Level 3 of the fair value hierarchy. The valuation techniques and significant inputs used in determining the fair values of portfolio assets and liabilities categorized as Level 3 of the fair value hierarchy are as follows:
Benchmark pricing procedures set the base price of a fixed income security and subsequently adjust 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. Significant changes in the unobservable inputs of the benchmark pricing process (the base price) would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy. The validity of the fair value is reviewed by PIMCO on a periodic basis and may be amended as the availability of market data indicates a material change.
If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain indicative market quotations (“broker quotes”) directly from the broker-dealer or passed through from a third-party vendor. In the event that fair value is based upon a single sourced broker quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker quotes are typically received from established market participants. Although independently received, the Manager does not have the transparency to view the underlying inputs which support the market quotation. Significant changes in the broker quote would have direct and proportional changes in the fair value of the security.
Discounted cash flow valuation uses an internal analysis based on the portfolio manager’s expectation of principal and interest payments, fees and costs, and other unobservable inputs which may include credit rating, yield and option adjusted spread (“OAS”) of a security. Significant changes in the unobservable inputs of the models would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.
Market comparable companies valuation estimates fair value by using an internal model that utilizes comparable companies’ inputs such as the company’s credit rating, debt to equity ratios, market multiples derived from earnings before interest, taxes, depreciation and amortization (“EBITDA”), manager assumptions regarding such comparable companies and requested non-public statements from the underlying company. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.
The validity of the fair value is reviewed by PIMCO on a periodic basis and may be amended as the availability of market data indicates a material change.
2. FEDERAL INCOME TAX MATTERS
The Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the “Code”) and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.
In accordance with U.S. GAAP, the Manager has reviewed the Fund’s tax positions for all open tax years. As of December 31, 2014, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns.
The Fund files U.S. tax returns. While the statute of limitations remains open to examine the Fund’s U.S. tax returns filed for the fiscal years from 2011-2013, no examinations are in progress or anticipated at this time. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
As of December 31, 2014, the aggregate cost and the net unrealized appreciation/(depreciation) of investments for federal income tax purposes are as follows (amounts in thousands):
| Federal Tax Cost |
Aggregate Gross Unrealized Appreciation |
Aggregate Gross Unrealized (Depreciation) |
Net Unrealized Appreciation/ Appreciation (1) |
|||||||||||
| $ | 211,275 | $ | 28,588 | $ | (6,739 | ) | $ | 21,849 | ||||||
| (1) | Primary differences, if any, between book and tax net unrealized appreciation/(depreciation) are typically attributable to wash sale loss deferrals, straddle loss deferrals, swap contracts, sale-buyback transactions, and accelerated recognition of unrealized gain on certain futures and forward contracts for federal income tax purposes. |
| Glossary: (abbreviations that may be used in the preceding statements) | (Unaudited) | |||||||||
| Counterparty Abbreviations: | ||||||||||
| BCY | Barclays Capital, Inc. | FBF | Credit Suisse International | MYC | Morgan Stanley Capital Services, Inc. | |||||
| BOA | Bank of America N.A. | FOB | Credit Suisse Securities (USA) LLC | RBC | Royal Bank of Canada | |||||
| BOS | Banc of America Securities LLC | GLM | Goldman Sachs Bank USA | RDR | RBC Dain Rausher, Inc. | |||||
| BPG | BNP Paribas Securities Corp. | GST | Goldman Sachs International | RYL | Royal Bank of Scotland Group PLC | |||||
| BPS | BNP Paribas S.A. | HUS | HSBC Bank USA N.A. | SAL | Citigroup Global Markets, Inc. | |||||
| BRC | Barclays Bank PLC | JML | JP Morgan Securities Plc | SOG | Societe Generale | |||||
| CBK | Citibank N.A. | JPM | JPMorgan Chase Bank N.A. | SSB | State Street Bank and Trust Co. | |||||
| CFR | Credit Suisse Securities (Europe) Ltd. | MSB | Morgan Stanley Bank, N.A | UAG | UBS AG Stamford | |||||
| DEU | Deutsche Bank Securities, Inc. | MSC | Morgan Stanley & Co., Inc. | UBS | UBS Securities LLC | |||||
| DUB | Deutsche Bank AG | |||||||||
| Currency Abbreviations: | ||||||||||
| AUD | Australian Dollar | EUR | Euro | NOK | Norwegian Krone | |||||
| BRL | Brazilian Real | GBP | British Pound | SEK | Swedish Krona | |||||
| CAD | Canadian Dollar | HKD | Hong Kong Dollar | SGD | Singapore Dollar | |||||
| CHF | Swiss Franc | ILS | Israeli Shekel | USD (or $) | United States Dollar | |||||
| DKK | Danish Krone | JPY | Japanese Yen | |||||||
| Exchange Abbreviations: | ||||||||||
| CME | Chicago Mercantile Exchange | |||||||||
| Index Abbreviations: | ||||||||||
| ABX.HE | Asset-Backed Securities Index - Home Equity | |||||||||
| Other Abbreviations: | ||||||||||
| ABS | Asset-Backed Security | CLO | Collateralized Loan Obligation | PIK | Payment-in-Kind | |||||
| ALT | Alternate Loan Trust | LIBOR | London Interbank Offered Rate | REMIC | Real Estate Mortgage Investment Conduit | |||||
| CDI | Brazil Interbank Deposit Rate | |||||||||
Item 2. Controls and Procedures
(a) The registrant’s President, Principal 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 separate certification for each principal executive officer and principal financial & accounting officer of the registrant as required by Rule 30a-2 under the 1940 Act is attached as Exhibit 99.CERT.
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| PIMCO Global StocksPlus & Income Fund | ||
| By: | /s/ Peter G. Strelow | |
| Peter G. Strelow President, Principal Executive Officer | ||
| Date: February 27, 2015 | ||
| By: | /s/ William G. Galipeau | |
| William G. Galipeau, Treasurer, Principal Financial & Accounting Officer | ||
| Date: February 27, 2015 | ||
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/ Peter G. Strelow | |
| Peter G. Strelow, President, Principal Executive Officer | ||
| Date: February 27, 2015 | ||
| By: | /s/ William G. Galipeau | |
| William G. Galipeau, Treasurer, Principal Financial & Accounting Officer | ||
| Date: February 27, 2015 | ||