UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21734
| PIMCO Global StocksPLUS & Income Fund |
| (Exact name of registrant as specified in charter) |
| 1345 Avenue of the Americas, New York, New York 10105 |
| (Address of principal executive offices) (Zip code) |
| Lawrence G. Altadonna - 1345 Avenue of the Americas, New York, New York 10105 |
| (Name and address of agent for service) |
Registrant’s telephone number, including area code: 212-739-3371
Date of fiscal year end: March 31, 2009
Date of reporting period: September 30, 2008
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e -1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
ITEM 1. REPORT TO SHAREHOLDERS
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PIMCO Global StocksPLUS & Income Fund |
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Semi-Annual Report |
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September 30, 2008 |
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Contents |
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1 |
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2-3 |
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4-13 |
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14 |
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15 |
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16 |
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17 |
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18-30 |
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31 |
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32-33 |
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Annual Shareholder Meeting Results/Proxy Voting Policies & Procedures |
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34 |
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PIMCO Global StocksPLUS & Income Fund Letter to Shareholders |
November 21, 2008
Dear Shareholder:
We are pleased to provide you with the semi-annual report for PIMCO Global StocksPLUS & Income Fund (the “Fund”) for the six-month period ended September 30, 2008.
Global stock and bond markets weakened during the period as sub-prime mortgage exposure led to instability among banking institutions and tight credit throughout the economy. In this environment, investors shunned all but the safest of government securities, international equity markets trailed domestic stock indexes. The Morgan Stanley Capital International Europe, Australasia and Far East Index (“MSCI EAFE”) returned (22.35)% in U.S. dollar-denominated terms compared to the S&P 500 Index return of (10.87)%. The strengthening of the U.S. dollar figured prominently in comparison. In returns measured in local currencies, the MSCI EAFE Index returned (13.43)% for the reporting period. The broad bond market fared better with the Lehman Brothers Aggregate Bond Index returning (0.50)%.
For specific information on the Fund including performance, please refer to the following pages. If you have any questions regarding the information provided, we encourage you to contact your financial advisor or call the Fund’s shareholder servicing agent at (800) 331-1710. In addition, a wide range of information and resources is available on our Web site, www.allianzinvestors.com/closedendfunds.
Together with Allianz Global Investors Fund Management LLC, the Fund’s investment manager, and Pacific Investment Management Company LLC, the Fund’s sub-adviser, we thank you for investing with us.
We remain dedicated to serving your investment needs.
Sincerely,
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Hans W. Kertess |
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Brian S. Shlissel |
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Chairman |
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President & Chief Executive Officer |
| 9.30.08 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 1
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PIMCO Global StocksPLUS & Income Fund Fund Insights/Performance & Statistics |
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September 30, 2008 (unaudited) |
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• |
For the fiscal six-month period ended September 30, 2008, the Fund had a net asset value (“NAV”) return of (22.14)% and a market price return of (31.22)%. |
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The Fund’s exposure to the Morgan Stanley Capital International “Europe, Australasia, Far East” Index (MSCI EAFE) averaged 55% during the six-month period ended on September 30, 2008. With the backdrop of the global financial crisis, the MSCI EAFE Index ended the period with a total return of (22.30)%, the sharpest six-month decline since 1975. |
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The Fund had an average of 45% exposure to the domestic equity market via S&P 500 futures contracts, along with an option strategy that generated gains and limited downside risk during the six-month period. The option strategy used the premium from written at- or slightly out-of-the money call options to generate returns and also purchase out-of-money put options to limit losses. The S&P 500 Index posted a total return of (10.87)% for the six-month period. Overall, the domestic equity strategies modestly outperformed the S&P 500 index. As part of the equity option strategy, written calls generated premiums, and purchased puts appreciated in value during market declines. Dampening outperformance from gains on option positions was a combination of forgone upside potential during periods of equity market appreciation and partial exposure to downside returns during market declines. |
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Income and valuation changes were generated in the Fund’s diversified fixed-income portfolio which collateralizes the equity positions. Highlights of fixed-income performance were: |
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The fixed-income portfolio had an average duration of 1.8 years during the six-month period. Interest rate strategies hurt performance as U.S. dollar swap rates increased substantially amid elevated concerns of counterparty risk. The two-year U.S. dollar swap rate increased 103 basis points to 3.45% during this six-month period. |
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Positions in high quality mortgages generated attractive income. Although mortgages were not immune from the volatile market conditions, income outweighed negative price returns and outperformed like-duration Treasuries. |
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The Fund had an average of 30% exposure to emerging market bonds, including sovereign debt of Brazil, Russia, and Ukraine during the six-month period. Income from these positions was offset by negative price returns as spreads widened in the midst of global risk reduction. |
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On average, high-yield bonds comprised approximately 20% of the Fund during the six-month period. These positions detracted from performance as the prices of the high-yield bonds were pushed lower due to increased risk aversion. |
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2 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.08 | |
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PIMCO Global StocksPLUS & Income Fund Fund Insights/Performance & Statistics |
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September 30, 2008 (unaudited) |
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Total Return(1): |
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Market Price |
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NAV |
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Six Months |
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(31.22 |
)% |
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(22.14 |
)% |
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1 Year |
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(32.51 |
)% |
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(30.10 |
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3 Year |
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(5.66 |
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(2.76 |
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Commencement of Operations (5/31/05) to 9/30/08 |
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(5.51 |
)% |
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(0.04 |
)% |
Market Price/NAV Performance:
Commencement of Operations (5/31/05) to 9/30/08
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Market Price/NAV: |
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Market Price |
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14.44 |
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NAV |
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16.92 |
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Discount to NAV |
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(14.65 |
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Market Price Yield(2) |
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15.24 |
% |
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Moody’s Rating |
(1) Past performance is no guarantee of future results. Returns are calculated by determining the percentage change in net asset value or market price per share (as applicable) in the period covered. The calculation assumes that all of the Fund’s income dividends and capital gain distributions have been reinvested. Total return does not reflect broker commissions or sales charges. Total return for a period of less than one year is not annualized. Total return for a period of more than one year represents the average annual total return.
The Fund’s performance at market price will differ from its results at NAV. Although market price returns typically reflect investment results over time, during shorter periods returns at market price can also be influenced by factors such as changing views about the Fund, market conditions, supply and demand for the Fund’s shares, or changes in Fund distributions.
An investment in the Fund involves risk, including the loss of principal. Total return, market price, market yield and net asset value will fluctuate with changes in market conditions. This data is provided for information only and is not intended for trading purposes. Closed-end funds, unlike open-end funds, are not continuously offered. There is a one-time public offering and once issued, shares of closed-end funds are sold in the open market through a stock exchange. Net asset value is equal to total assets less total liabilities divided by the number of shares outstanding. Holdings are subject to change daily.
(2) Market Price Yield is determined by dividing the annualized current monthly per share dividend (comprised from net investment income) payable to shareholders by the market price per share at September 30, 2008.
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| 9.30.08 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 3 |
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Principal |
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Credit Rating |
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Value |
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U.S. GOVERNMENT AGENCY SECURITIES—80.0% |
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Fannie Mae, |
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$ |
1,059 |
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5.50%, 11/1/34, MBS (i) |
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Aaa/AAA |
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$ |
1,058,584 |
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911 |
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5.50%, 1/1/35, MBS (i) |
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Aaa/AAA |
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909,403 |
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7,058 |
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5.50%, 2/1/48, MBS (i) |
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Aaa/AAA |
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6,879,377 |
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8,123 |
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5.50%, 4/1/48, MBS (i) |
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Aaa/AAA |
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7,917,048 |
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5,663 |
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5.50%, 6/1/48, MBS (i) |
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Aaa/AAA |
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5,519,649 |
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7,393 |
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6.00%, 3/1/30, MBS (i) |
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Aaa/AAA |
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7,514,406 |
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7,232 |
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6.00%, 5/25/31, CMO (i) |
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Aaa/AAA |
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7,310,153 |
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660 |
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6.00%, 10/1/35, MBS (i) |
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Aaa/AAA |
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669,241 |
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60 |
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6.00%, 6/1/36, MBS (i) |
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Aaa/AAA |
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60,980 |
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698 |
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6.00%, 7/1/36, MBS (i) |
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Aaa/AAA |
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708,050 |
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933 |
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6.00%, 8/1/36, MBS (i) |
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Aaa/AAA |
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946,092 |
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2,559 |
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6.00%, 9/1/36, MBS (i) |
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Aaa/AAA |
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2,595,730 |
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1,242 |
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6.00%, 10/1/36, MBS (i) |
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Aaa/AAA |
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1,259,313 |
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86 |
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6.00%, 5/1/37, MBS (i) |
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Aaa/AAA |
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87,292 |
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25 |
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6.00%, 6/1/37, MBS (i) |
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Aaa/AAA |
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25,765 |
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2,877 |
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6.00%, 11/1/37, MBS (i) |
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Aaa/AAA |
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2,917,173 |
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862 |
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6.00%, 12/1/37, MBS (i) |
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Aaa/AAA |
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874,636 |
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460 |
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6.00%, 1/1/38, MBS (i) |
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Aaa/AAA |
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466,895 |
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71 |
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6.00%, 3/1/38, MBS (i) |
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Aaa/AAA |
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71,828 |
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3,673 |
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6.00%, 5/1/38, MBS (i) |
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Aaa/AAA |
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3,724,929 |
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1,666 |
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6.50%, 2/1/30, MBS (i) |
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Aaa/AAA |
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1,718,602 |
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10 |
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6.50%, 6/1/31, MBS (i) |
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Aaa/AAA |
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9,971 |
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144 |
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6.50%, 9/1/31, MBS (i) |
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Aaa/AAA |
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147,703 |
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270 |
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6.50%, 11/1/31, MBS (i) |
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Aaa/AAA |
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277,020 |
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460 |
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6.50%, 7/1/32, MBS (i) |
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Aaa/AAA |
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471,014 |
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632 |
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6.50%, 9/1/32, MBS (i) |
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Aaa/AAA |
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644,804 |
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803 |
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6.50%, 2/25/33, CMO (i) |
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Aaa/AAA |
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823,670 |
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184 |
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6.50%, 10/1/33, MBS (i) |
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Aaa/AAA |
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190,171 |
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490 |
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6.50%, 12/1/33, MBS (i) |
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Aaa/AAA |
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503,199 |
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346 |
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6.677%, 11/1/28, FRN, MBS (i) |
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Aaa/AAA |
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357,404 |
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960 |
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6.95%, 8/25/21, CMO (i) |
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Aaa/AAA |
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1,018,073 |
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700 |
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7.00%, 8/25/21, CMO (i) |
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Aaa/AAA |
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733,362 |
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858 |
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7.00%, 9/25/21, CMO (i) |
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Aaa/AAA |
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898,634 |
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179 |
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7.00%, 12/25/23, CMO |
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Aaa/AAA |
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176,778 |
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1,081 |
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7.00%, 11/1/24, MBS (i) |
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Aaa/AAA |
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1,137,914 |
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231 |
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7.00%, 2/1/31, MBS (i) |
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Aaa/AAA |
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241,592 |
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180 |
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7.00%, 6/25/32, CMO |
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Aaa/AAA |
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187,388 |
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59 |
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7.00%, 1/25/48, CMO |
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Aaa/AAA |
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61,979 |
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|
86 |
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7.50%, 7/25/22, CMO |
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Aaa/AAA |
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91,282 |
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121 |
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7.50%, 6/1/32, MBS (i) |
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Aaa/AAA |
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128,071 |
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22 |
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7.50%, 10/1/32, MBS (i) |
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Aaa/AAA |
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23,262 |
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1,703 |
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7.50%, 2/25/42, CMO, VRN (i) |
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Aaa/AAA |
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1,794,098 |
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93 |
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7.80%, 6/25/26, ABS, VRN |
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Aaa/AAA |
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99,610 |
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4 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.08 |
September 30, 2008 (unaudited) (continued)
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Principal |
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Credit Rating |
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Value |
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U.S. GOVERNMENT AGENCY SECURITIES (continued) |
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$ |
230 |
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8.00%, 3/25/21, CMO |
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Aaa/AAA |
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$ |
246,624 |
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3,562 |
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8.00%, 8/1/32, MBS (i) |
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Aaa/AAA |
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3,880,265 |
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43 |
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8.50%, 1/25/25, CMO |
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Aaa/AAA |
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45,766 |
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Fannie Mae Whole Loan, CMO, |
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94 |
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6.50%, 6/25/28, |
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Aaa/AAA |
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98,396 |
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326 |
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10.194%, 12/25/42, VRN |
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Aaa/AAA |
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358,981 |
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Freddie Mac, |
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68 |
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4.50%, 11/15/25, CMO |
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Aaa/AAA |
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68,210 |
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2,486 |
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6.00%, 10/1/36, MBS (i) |
|
Aaa/AAA |
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2,524,399 |
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2,000 |
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6.50%, 10/15/23, CMO (i) |
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Aaa/AAA |
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2,075,558 |
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|
719 |
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6.50%, 4/15/24, CMO (i) |
|
Aaa/AAA |
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|
748,089 |
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|
2,514 |
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6.50%, 6/15/31, CMO (i) |
|
Aaa/AAA |
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|
2,594,212 |
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|
2,884 |
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6.50%, 8/15/31, CMO (i) |
|
Aaa/AAA |
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|
3,008,879 |
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|
4,236 |
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6.50%, 2/15/32, CMO (i) |
|
Aaa/AAA |
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|
4,361,156 |
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|
929 |
|
6.50%, 2/1/34, MBS (i) |
|
Aaa/AAA |
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|
952,251 |
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|
345 |
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6.50%, 3/1/34, MBS (i) |
|
Aaa/AAA |
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|
352,673 |
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|
559 |
|
6.50%, 5/1/34, MBS (i) |
|
Aaa/AAA |
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|
574,188 |
|
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|
2,888 |
|
6.50%, 7/1/34, MBS (i) |
|
Aaa/AAA |
|
|
2,964,419 |
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|
151 |
|
6.50%, 8/1/34, MBS (i) |
|
Aaa/AAA |
|
|
154,778 |
|
|
|
360 |
|
6.50%, 11/1/34, MBS (i) |
|
Aaa/AAA |
|
|
368,359 |
|
|
|
399 |
|
6.50%, 11/1/36, MBS (i) |
|
Aaa/AAA |
|
|
409,388 |
|
|
|
782 |
|
6.50%, 4/1/37, MBS (i) |
|
Aaa/AAA |
|
|
803,254 |
|
|
|
785 |
|
6.50%, 7/1/37, MBS (i) |
|
Aaa/AAA |
|
|
805,526 |
|
|
|
239 |
|
6.50%, 8/1/37, MBS (i) |
|
Aaa/AAA |
|
|
244,956 |
|
|
|
1,725 |
|
6.50%, 9/1/37, MBS (i) |
|
Aaa/AAA |
|
|
1,770,743 |
|
|
|
567 |
|
6.50%, 10/1/37, MBS (i) |
|
Aaa/AAA |
|
|
582,324 |
|
|
|
2,676 |
|
6.50%, 11/1/37, MBS (i) |
|
Aaa/AAA |
|
|
2,747,861 |
|
|
|
1,531 |
|
6.50%, 12/1/37, MBS (i) |
|
Aaa/AAA |
|
|
1,571,751 |
|
|
|
2,162 |
|
6.50%, 1/1/38, MBS (i) |
|
Aaa/AAA |
|
|
2,220,076 |
|
|
|
3,925 |
|
6.50%, 2/1/38, MBS (i) |
|
Aaa/AAA |
|
|
4,029,428 |
|
|
|
2,783 |
|
6.50%, 3/1/38, MBS (i) |
|
Aaa/AAA |
|
|
2,857,697 |
|
|
|
4,819 |
|
6.50%, 4/1/38, MBS (i) |
|
Aaa/AAA |
|
|
4,947,678 |
|
|
|
1,647 |
|
6.50%, 5/1/38, MBS (i) |
|
Aaa/AAA |
|
|
1,690,872 |
|
|
|
984 |
|
6.50%, 7/1/38, MBS (i) |
|
Aaa/AAA |
|
|
1,010,635 |
|
|
|
620 |
|
6.95%, 7/15/21, CMO |
|
Aaa/AAA |
|
|
674,664 |
|
|
|
243 |
|
7.00%, 5/15/21, CMO |
|
Aaa/AAA |
|
|
254,733 |
|
|
|
94 |
|
7.00%, 12/15/21, CMO |
|
Aaa/AAA |
|
|
97,340 |
|
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|
41 |
|
7.00%, 8/15/23, CMO |
|
Aaa/AAA |
|
|
43,104 |
|
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|
100 |
|
7.00%, 6/15/29, CMO |
|
Aaa/AAA |
|
|
104,123 |
|
|
|
4,627 |
|
7.00%, 6/15/31, CMO (i) |
|
Aaa/AAA |
|
|
4,848,205 |
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|
1,798 |
|
7.00%, 7/25/32, CMO, VRN |
|
Aaa/AAA |
|
|
1,890,363 |
|
|
|
2,144 |
|
7.00%, 8/1/36, MBS (i) |
|
Aaa/AAA |
|
|
2,216,475 |
|
|
|
33 |
|
7.50%, 2/15/23, CMO |
|
Aaa/AAA |
|
|
35,194 |
|
|
|
964 |
|
7.50%, 9/15/30, CMO (i) |
|
Aaa/AAA |
|
|
1,026,073 |
|
| 9.30.08 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 5
September 30, 2008 (unaudited) (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Principal |
|
|
|
Credit Rating |
|
Value |
|
|
|||
|
|
|||||||||||
|
U.S. GOVERNMENT AGENCY SECURITIES (continued) |
|
|
|
|
|
|
|
|
|||
|
$ |
28 |
|
7.50%, 1/15/31, CMO |
|
|
Aaa/AAA |
|
$ |
28,570 |
|
|
|
|
116 |
|
8.00%, 3/15/23, CMO |
|
|
Aaa/AAA |
|
|
125,266 |
|
|
|
|
236 |
|
8.50%, 5/17/10, MBS (i) |
|
|
Aaa/AAA |
|
|
240,057 |
|
|
|
|
1,014 |
|
9.475%, 8/25/22, CMO, FRN (i) |
|
|
Aaa/AAA |
|
|
1,058,493 |
|
|
|
|
22 |
|
9.50%, 4/15/20, CMO |
|
|
Aaa/AAA |
|
|
22,998 |
|
|
|
|
123 |
|
Freddie Mac Structured Pass Through Securities, |
|
|
|
|
|
|
|
|
|
|
|
|
6.50%, 7/25/43, CMO |
|
|
Aaa/AAA |
|
|
126,403 |
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Total U.S. Government Agency
Securities |
|
|
|
|
127,113,598 |
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CORPORATE BONDS & NOTES—26.3% |
|
|
|
|
|
|
|
|
|||
|
|
|
|
Airlines—3.5% |
|
|
|
|
|
|
|
|
|
|
2,500 |
|
American Airlines, Inc., 6.817%, 11/23/12 |
|
|
B1/BB- |
|
|
1,950,000 |
|
|
|
|
1,407 |
|
Continental Airlines, Inc., 8.048%, 5/1/22 |
|
|
Baa2/BBB |
|
|
1,329,436 |
|
|
|
|
|
|
United Air Lines, Inc., |
|
|
|
|
|
|
|
|
|
|
393 |
|
6.201%, 3/1/10 |
|
|
Ba2/BBB |
|
|
381,009 |
|
|
|
|
2,379 |
|
6.636%, 1/2/24 |
|
|
Ba1/BBB- |
|
|
1,837,148 |
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
5,497,593 |
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Automotive—0.0% |
|
|
|
|
|
|
|
|
|
|
100 |
|
Tenneco Automotive, Inc., 8.625%, 11/15/14 |
|
|
B3/B |
|
|
80,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Banking—0.8% |
|
|
|
|
|
|
|
|
|
|
1,500 |
|
UBS AG, 5.875%, 12/20/17 |
|
|
Aa2/AA- |
|
|
1,334,166 |
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Financial Services—8.9% |
|
|
|
|
|
|
|
|
|
|
2,700 |
|
C10 Capital SPV Ltd., 6.722%, 12/31/16 (f) |
|
|
NR/BBB- |
|
|
2,458,350 |
|
|
|
€ |
4,600 |
|
General Electric Capital Corp., 4.625%, 9/15/66, FRN (a)(d) |
|
|
Aa1/AA+ |
|
|
3,897,375 |
|
|
|
$ |
2,000 |
|
General Motors Acceptance Corp. LLC, 6.00%, 12/15/11 |
|
|
B3/B- |
|
|
890,514 |
|
|
|
|
2,000 |
|
Osiris Capital PLC, 7.791%, 7/15/12, FRN (a)(b)(d) |
|
|
Ba1/BB+ |
|
|
2,013,085 |
|
|
|
|
5,000 |
|
Teco Finance, Inc., 6.75%, 5/1/15 |
|
|
Baa3/BB+ |
|
|
4,811,465 |
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
14,070,789 |
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Healthcare & Hospitals—0.9% |
|
|
|
|
|
|
|
|
|
|
|
|
HCA, Inc., |
|
|
|
|
|
|
|
|
|
|
1,000 |
|
6.375%, 1/15/15 |
|
|
Caa1/B- |
|
|
792,500 |
|
|
|
|
700 |
|
9.25%, 11/15/16 |
|
|
B2/BB- |
|
|
682,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
1,475,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Insurance—0.6% |
|
|
|
|
|
|
|
|
|
|
1,000 |
|
Foundation Re II Ltd., 9.557%, 11/26/10, FRN (a)(b)(d) |
|
|
NR/BB+ |
|
|
993,760 |
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Metals & Mining—1.7% |
|
|
|
|
|
|
|
|
|
|
|
|
Vale Overseas Ltd., |
|
|
|
|
|
|
|
|
|
|
1,250 |
|
6.25%, 1/11/16 |
|
|
Baa2/BBB+ |
|
|
1,200,964 |
|
|
|
|
700 |
|
6.25%, 1/23/17 |
|
|
Baa2/BBB+ |
|
|
657,195 |
|
|
|
|
1,000 |
|
6.875%, 11/21/36 |
|
|
Baa2/BBB+ |
|
|
892,954 |
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
2,751,113 |
|
|
|
|
|
|
|
|
|
|
|
|
|||
6 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.08 |
September 30, 2008 (unaudited) (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Principal |
|
|
|
Credit Rating |
|
Value |
|
|
|||
|
|
|||||||||||
|
CORPORATE BONDS & NOTES (continued) |
|
|
|
|
|
|
|
|
|||
|
|
|
|
Oil & Gas—2.5% |
|
|
|
|
|
|
|
|
|
$ |
4,000 |
|
Gazprom AG, 9.625%, 3/1/13 |
|
|
A3/BBB |
|
$ |
3,920,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Paper/Paper Products—1.4% |
|
|
|
|
|
|
|
|
|
|
|
|
Georgia-Pacific LLC (a)(d), |
|
|
|
|
|
|
|
|
|
|
500 |
|
7.00%, 1/15/15 |
|
|
Ba3/BB- |
|
|
457,500 |
|
|
|
|
2,000 |
|
7.125%, 1/15/17 |
|
|
Ba3/BB- |
|
|
1,795,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
2,252,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Printing/Publishing—0.1% |
|
|
|
|
|
|
|
|
|
|
500 |
|
RH Donnelley Corp., 8.875%, 1/15/16 |
|
|
B3/B- |
|
|
172,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Retail—1.6% |
|
|
|
|
|
|
|
|
|
|
2,810 |
|
CVS Lease Pass Through, 5.88%, 1/10/28 (a)(d) |
|
|
Baa2/BBB+ |
|
|
2,543,401 |
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Utilities—4.3% |
|
|
|
|
|
|
|
|
|
|
2,000 |
|
Dynegy Holdings, Inc., 8.375%, 5/1/16 |
|
|
B2/B |
|
|
1,750,000 |
|
|
|
|
|
|
Nevada Power Co., |
|
|
|
|
|
|
|
|
|
|
2,500 |
|
6.50%, 5/15/18 |
|
|
Baa3/BBB |
|
|
2,369,995 |
|
|
|
|
3,000 |
|
6.65%, 4/1/36 |
|
|
Baa3/BBB |
|
|
2,666,706 |
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
6,786,701 |
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Total Corporate Bonds & Notes (cost—$49,670,723) |
|
|
|
|
|
41,877,523 |
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MORTGAGE-BACKED SECURITIES—19.7% |
|
|
|
|
|
|
|
|
|||
|
|
207 |
|
Bear Stearns Asset Backed Securities, |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 1/25/34, CMO |
|
|
Aaa/AAA |
|
|
176,745 |
|
|
|
|
1,661 |
|
Charlotte Gateway Village LLC, |
|
|
|
|
|
|
|
|
|
|
|
|
6.41%, 12/1/16, CMO (a)(d)(e) |
|
|
NR/AA+ |
|
|
1,537,791 |
|
|
|
|
|
|
Countrywide Alternative Loan Trust, CMO, |
|
|
|
|
|
|
|
|
|
|
126 |
|
3.607%, 3/25/34, FRN |
|
|
Aaa/AAA |
|
|
110,966 |
|
|
|
|
293 |
|
6.25%, 9/25/34 |
|
|
Aaa/AAA |
|
|
252,763 |
|
|
|
|
2,453 |
|
6.50%, 7/25/35 |
|
|
Aaa/AAA |
|
|
1,767,796 |
|
|
|
|
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
CMO, FRN, |
|
|
|
|
|
|
|
|
|
|
252 |
|
3.607%, 8/25/18 |
|
|
NR/AAA |
|
|
244,614 |
|
|
|
|
380 |
|
3.667%, 9/25/34 |
|
|
Aaa/AAA |
|
|
253,591 |
|
|
|
|
213 |
|
3.707%, 3/25/34 |
|
|
Aaa/NR |
|
|
173,067 |
|
|
|
|
|
|
First Horizon Asset Securities, Inc., CMO, FRN, |
|
|
|
|
|
|
|
|
|
|
166 |
|
3.707%, 3/25/18 |
|
|
NR/AAA |
|
|
165,781 |
|
|
|
|
437 |
|
5.108%, 10/25/34 |
|
|
Aaa/NR |
|
|
388,283 |
|
|
|
|
1,801 |
|
6.198%, 2/25/36 |
|
|
A1/AAA |
|
|
1,217,578 |
|
|
|
|
21 |
|
7.132%, 12/27/32 |
|
|
Aaa/AAA |
|
|
20,857 |
|
|
|
|
286 |
|
First Republic Mortgage Loan Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
2.788%, 8/15/32, CMO, FRN |
|
|
Aaa/AAA |
|
|
259,271 |
|
|
| 9.30.08 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 7
September 30, 2008 (unaudited) (continued)
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
Credit Rating |
|
Value |
|
||
|
MORTGAGE-BACKED SECURITIES (continued) |
|
||||||||
|
$ |
2,527 |
|
GSMPS Mortgage Loan Trust, 7.00%, 6/25/43, CMO (a)(d) |
|
NR/NR |
|
$ |
2,410,427 |
|
|
|
|
|
Harborview Mortgage Loan Trust, CMO, FRN, |
|
|
|
|
|
|
|
|
35 |
|
3.30%, 3/19/35 |
|
Aaa/AAA |
|
|
23,432 |
|
|
|
369 |
|
4.629%, 11/19/34 |
|
Aaa/AAA |
|
|
347,397 |
|
|
¥ |
117,120 |
|
JLOC 36 LLC, 1.188%, 2/28/16, CMO, FRN (a)(d) |
|
Aaa/AAA |
|
|
1,091,384 |
|
|
$ |
1,654 |
|
JPMorgan Alternative Loan Trust, 7.00%, 12/25/35, CMO |
|
NR/AAA |
|
|
1,154,129 |
|
|
|
3,088 |
|
MASTR Reperforming Loan Trust, 8.00%, 7/25/35, CMO (d) |
|
Aaa/AAA |
|
|
3,266,612 |
|
|
|
534 |
|
Multi-Family Capital Access One, Inc., |
|
NR/NR |
|
|
557,299 |
|
|
|
|
|
Nomura Asset Acceptance Corp., CMO, |
|
|
|
|
|
|
|
|
53 |
|
3.597%, 10/25/34, FRN |
|
Aaa/AAA |
|
|
52,147 |
|
|
|
1,730 |
|
7.50%, 3/25/34, (a)(d) |
|
Aaa/AAA |
|
|
1,641,156 |
|
|
|
476 |
|
Provident Funding Mortgage Loan Trust, |
|
Aaa/AAA |
|
|
466,878 |
|
|
|
2,840 |
|
Residential Accredit Loans, Inc., 6.00%, 8/25/35, CMO |
|
NR/AAA |
|
|
2,367,523 |
|
|
|
|
|
Residential Asset Securitization Trust, CMO, |
|
|
|
|
|
|
|
|
539 |
|
3.657%, 2/25/34, FRN |
|
NR/AAA |
|
|
482,988 |
|
|
|
3,243 |
|
6.00%, 3/25/37 |
|
NR/AAA |
|
|
2,302,596 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
757 |
|
Residential Funding Mortgage Sec. I, |
|
NR/AAA |
|
|
674,479 |
|
|
|
38 |
|
SACO I, Inc., 7.00%, 8/25/36, CMO (a)(d) |
|
Aaa/NR |
|
|
37,472 |
|
|
|
|
|
Sequoia Mortgage Trust, CMO, FRN, |
|
|
|
|
|
|
|
|
128 |
|
3.568%, 10/20/27 |
|
Aaa/AAA |
|
|
113,089 |
|
|
|
143 |
|
3.588%, 10/20/27 |
|
Aaa/AAA |
|
|
137,517 |
|
|
|
462 |
|
4.274%, 8/20/34 |
|
Aaa/AAA |
|
|
418,353 |
|
|
|
31 |
|
4.500%, 9/20/32 |
|
Aaa/AAA |
|
|
29,766 |
|
|
|
|
|
Structured Adjustable Rate Mortgage Loan Trust, CMO, |
|
|
|
|
|
|
|
|
387 |
|
4.26%, 3/25/34, VRN |
|
Aaa/AAA |
|
|
356,571 |
|
|
|
670 |
|
4.607%, 5/25/35, FRN |
|
Aaa/AAA |
|
|
379,384 |
|
|
|
3,684 |
|
Structured Asset Securities Corp., |
|
Aaa/AAA |
|
|
3,990,509 |
|
|
|
|
|
Washington Mutual, Inc., CMO, |
|
|
|
|
|
|
|
|
12 |
|
4.255%, 6/25/42, FRN |
|
Aaa/AAA |
|
|
11,063 |
|
|
|
49 |
|
4.255%, 8/25/42, FRN |
|
Aaa/AAA |
|
|
43,685 |
|
|
|
525 |
|
4.585%, 4/25/35, VRN |
|
Aaa/AAA |
|
|
508,921 |
|
|
|
48 |
|
6.478%, 1/25/33, FRN |
|
Aaa/AAA |
|
|
45,816 |
|
|
|
1,880 |
|
6.50%, 11/25/18 |
|
NR/AAA |
|
|
1,760,983 |
|
|
|
75 |
|
Wells Fargo MBS Trust, 3.621%, 9/25/34, CMO, FRN |
|
Aaa/AAA |
|
|
73,529 |
|
|
|
|
|
|
|
|
|
|
||
|
|
|
|
Total Mortgage-Backed Securities (cost—$35,261,076) |
|
|
|
|
31,314,208 |
|
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES—13.1% |
|
||||||||
|
|
325 |
|
ACE Securities Corp., 6.457%, 4/25/35, FRN (a)(d) |
|
Ca/D |
|
|
3,895 |
|
|
|
1,729 |
|
Aircraft Certificate Owner Trust, 6.455%, 9/20/22 (a)(d) |
|
Aaa/AAA |
|
|
1,795,660 |
|
8 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.08 |
September 30, 2008 (unaudited) (continued)
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
Credit Rating |
|
|
Value |
|
|
|
ASSET-BACKED SECURITIES (continued) |
|
|
|
|
|
||||
|
$ |
1,048 |
|
Ameriquest Mortgage Securities, Inc., |
|
Ca/D |
|
$ |
107,719 |
|
|
|
|
|
Bear Stearns Asset-Backed Securities Trust, |
|
|
|
|
|
|
|
|
1,112 |
|
4.207%, 10/25/37, FRN |
|
Aaa/AAA |
|
|
907,295 |
|
|
|
2,367 |
|
5.539%, 7/25/36, VRN (i) |
|
NR/AAA |
|
|
1,152,329 |
|
|
|
|
|
Bear Stearns Second Lien Trust, FRN (a)(d), |
|
|
|
|
|
|
|
|
1,500 |
|
4.007%, 12/25/36 |
|
Aa1/CCC |
|
|
89,170 |
|
|
|
1,000 |
|
5.707%, 12/25/36, Ser. B2 |
|
Ba3/CC |
|
|
74,522 |
|
|
|
448 |
|
5.707%, 12/25/36, Ser. B3 |
|
B3/D |
|
|
4,482 |
|
|
|
25 |
|
Cendant Mortgage Corp., 5.989%, 7/25/43, VRN (a)(d) |
|
NR/NR |
|
|
23,287 |
|
|
|
2,000 |
|
Citibank Omni Master Trust, 4.288%, 12/23/13, FRN (a)(d) |
|
Aaa/AAA |
|
|
1,988,839 |
|
|
|
8 |
|
Countrywide Asset-Backed Certificates, |
|
Aaa/AAA |
|
|
6,034 |
|
|
|
|
|
Countrywide Home Equity Loan Trust, FRN, |
|
|
|
|
|
|
|
|
100 |
|
2.708%, 4/15/30 |
|
Baa3/BB |
|
|
52,009 |
|
|
|
65 |
|
2.708%, 1/15/34 |
|
Baa3/BB |
|
|
37,541 |
|
|
|
318 |
|
CS First Boston Mortgage Securities Corp., |
|
Ba3/CCC |
|
|
44,119 |
|
|
|
1,521 |
|
Denver Arena Trust, 6.94%, 11/15/19 (a)(d) |
|
NR/NR |
|
|
1,465,641 |
|
|
|
|
|
Green Tree Financial Corp., |
|
|
|
|
|
|
|
|
3,989 |
|
6.22%, 3/1/30 |
|
NR/BBB |
|
|
3,514,819 |
|
|
|
1,076 |
|
6.53%, 4/1/30, VRN |
|
Ba3/NR |
|
|
999,614 |
|
|
|
2,572 |
|
6.53%, 2/1/31, VRN |
|
NR/B- |
|
|
2,032,639 |
|
|
|
2,325 |
|
6.81%, 12/1/28, VRN |
|
Ba1/BBB |
|
|
2,275,500 |
|
|
|
2,000 |
|
GSAMP Trust, 3.357%, 10/25/36, FRN (b) |
|
B2/CCC |
|
|
386,286 |
|
|
|
|
|
Long Beach Mortgage Loan Trust, FRN, |
|
|
|
|
|
|
|
|
588 |
|
4.632%, 3/25/32 |
|
A1/NR |
|
|
441,133 |
|
|
|
779 |
|
5.682%, 3/25/32 |
|
B3/NR |
|
|
269,936 |
|
|
|
350 |
|
MASTR Asset-Backed Securities Trust, |
|
Aa1/AA+ |
|
|
340,952 |
|
|
|
2,212 |
|
Oakwood Mortgage Investors, Inc., 6.34%, 4/15/29 |
|
Ba1/NR |
|
|
2,079,257 |
|
|
|
612 |
|
Residential Asset Mortgage Products, Inc., |
|
Aaa/AAA |
|
|
585,464 |
|
|
|
2,400 |
|
TABS Ltd., 3.887%, 2/12/47, CDO, FRN (a)(b)(d)(e) |
|
C/CC |
|
|
97,878 |
|
|
|
62 |
|
Wachovia Asset Securitization, Inc., |
|
Aa3/AAA |
|
|
48,655 |
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Total Asset-Backed Securities (cost—$28,541,899) |
|
|
|
|
20,824,675 |
|
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
SENIOR LOANS (a)(c)—7.7% |
|
|
|
|
|
|
|||
|
|
|
|
Automotive—0.8% |
|
|
|
|
|
|
|
|
1,965 |
|
Ford Motor Corp., 5.49%, 12/16/13, Term B |
|
|
|
|
1,299,765 |
|
|
|
|
|
|
|
|
|
|||
| 9.30.08 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 9
September 30, 2008 (unaudited) (continued)
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
Value |
|
||
|
SENIOR LOANS (a)(c) (continued) |
|||||||
|
|
|
|
Commercial Products—0.4% |
|
|
|
|
|
|
|
|
Hertz Corp., |
|
|
|
|
|
$ |
111 |
|
3.204%, 12/21/12 |
|
$ |
99,292 |
|
|
|
241 |
|
3.99%, 12/21/12, Term B |
|
|
215,802 |
|
|
|
340 |
|
4.25%, 12/21/12, Term B |
|
|
303,733 |
|
|
|
30 |
|
4.69%, 12/21/12, Term B |
|
|
26,840 |
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
645,667 |
|
|
|
|
|
|
|
|||
|
|
|
|
Computer Services—0.3% |
|
|
|
|
|
|
485 |
|
SunGard Data Systems, Inc., 4.553%, 2/11/13 |
|
|
423,412 |
|
|
|
|
|
|
|
|||
|
|
|
|
Entertainment—0.5% |
|
|
|
|
|
|
489 |
|
MGM Studios, 7.012%, 4/8/12, Term B |
|
|
348,968 |
|
|
|
|
|
Warner Music Group, Inc., Term B, |
|
|
|
|
|
|
69 |
|
4.796%, 2/28/11 |
|
|
62,259 |
|
|
|
35 |
|
4.799%, 2/28/11 |
|
|
31,604 |
|
|
|
105 |
|
4.81%, 2/28/11 |
|
|
94,811 |
|
|
|
105 |
|
4.81%, 2/28/11 (b) |
|
|
94,811 |
|
|
|
44 |
|
5.188%, 2/28/11 |
|
|
39,704 |
|
|
|
124 |
|
5.704%, 2/28/11 |
|
|
112,599 |
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
784,756 |
|
|
|
|
|
|
|
|||
|
|
|
|
Financial Services—1.3% |
|
|
|
|
|
|
2,970 |
|
Chrysler Financial Corp., 6.82%, 8/3/12 |
|
|
2,017,372 |
|
|
|
|
|
|
|
|||
|
|
|
|
Healthcare & Hospitals—2.6% |
|
|
|
|
|
|
|
|
DaVita, Inc., Term B, |
|
|
|
|
|
|
29 |
|
4.30%, 10/5/12 |
|
|
26,555 |
|
|
|
29 |
|
4.32%, 10/5/12 |
|
|
26,555 |
|
|
|
584 |
|
5.21%, 10/5/12 |
|
|
529,499 |
|
|
|
44 |
|
5.27%, 10/5/12 |
|
|
39,833 |
|
|
|
313 |
|
5.39%, 10/5/12 |
|
|
283,557 |
|
|
|
2,948 |
|
HCA, Inc., 6.012%, 11/18/13, Term B |
|
|
2,591,958 |
|
|
|
|
|
HealthSouth Corp., |
|
|
|
|
|
|
784 |
|
4.99%, 3/10/13 |
|
|
710,238 |
|
|
|
15 |
|
5.19%, 3/10/13 (b) |
|
|
13,143 |
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
4,221,338 |
|
|
|
|
|
|
|
|||
|
|
|
|
Paper/Paper Products—1.6% |
|
|
|
|
|
|
|
|
Georgia-Pacific Corp., Term B, |
|
|
|
|
|
|
2,428 |
|
4.567%, 12/20/12 |
|
|
2,152,069 |
|
|
|
174 |
|
5.454%, 12/20/12 |
|
|
153,871 |
|
|
|
211 |
|
5.512%, 12/20/12 |
|
|
186,724 |
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
2,492,664 |
|
|
|
|
|
|
|
|||
10 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.08 |
September 30, 2008 (unaudited) (continued)
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
Credit Rating |
|
Value |
|
||
|
SENIOR LOANS (a)(c) (continued) |
|||||||||
|
|
|
|
Waste Disposal—0.2% |
|
|
|
|
|
|
|
|
|
|
Allied Waste North America, Inc., |
|
|
|
|
|
|
|
$ |
149 |
|
2.363%, 3/28/14 |
|
|
|
$ |
144,575 |
|
|
|
10 |
|
4.93%, 3/28/14, Term B |
|
|
|
|
9,402 |
|
|
|
67 |
|
5.43%, 3/28/14, Term B |
|
|
|
|
65,299 |
|
|
|
129 |
|
5.55%, 3/28/14, Term B |
|
|
|
|
124,662 |
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
343,938 |
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Total Senior Loans (cost—$14,902,058) |
|
|
|
|
12,228,912 |
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
SOVEREIGN DEBT OBLIGATIONS—2.1% |
|||||||||
|
|
|
|
Ukraine—2.1% |
|
|
|
|
|
|
|
|
|
|
Republic of Ukraine, |
|
|
|
|
|
|
|
|
2,000 |
|
6.875%, 3/4/11 |
|
B1/B+ |
|
|
1,690,000 |
|
|
|
2,000 |
|
7.65%, 6/11/13 |
|
B1/B+ |
|
|
1,670,000 |
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Total Sovereign Debt Obligations (cost—$4,178,179) |
|
|
|
|
3,360,000 |
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
MUNICIPAL BONDS—1.1% |
|||||||||
|
|
|
|
West Virginia—1.1% |
|
|
|
|
|
|
|
|
1,970 |
|
Tobacco Settlement Finance Auth. Rev., |
|
Baa3/BBB |
|
|
1,691,344 |
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS—44.8% |
|||||||||
|
|
|
|
U.S. Treasury Bills (g)—33.4% |
|
|
|
|
|
|
|
|
53,500 |
|
0.10%-1.71%,10/16/08-12/26/08 (cost—$53,339,797) |
|
|
|
|
53,104,677 |
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
U.S. Government Agency Securities—2.1% |
|
|
|
|
|
|
|
|
3,300 |
|
Federal Home Loan Bank Discount Notes, |
|
|
|
|
3,299,945 |
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Corporate Notes—1.9% |
|
|
|
|
|
|
|
|
|
|
Financial Services—1.2% |
|
|
|
|
|
|
|
|
|
|
General Motors Acceptance Corp. LLC, |
|
|
|
|
|
|
|
|
2,500 |
|
4.054%, 5/15/09, FRN |
|
B3/B- |
|
|
1,809,103 |
|
|
|
125 |
|
4.25%, 3/15/09 |
|
B3/B- |
|
|
102,457 |
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
1,911,560 |
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Insurance—0.7% |
|
|
|
|
|
|
|
|
1,000 |
|
Mystic Re Ltd., 9.111%, 12/5/08, FRN (a)(b)(d) |
|
NR/BB+ |
|
|
999,700 |
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Total Corporate Notes (cost—$3,621,800) |
|
|
|
|
2,911,260 |
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Sovereign Debt Obligations—1.2% |
|
|
|
|
|
|
|
|
|
|
Ukraine—1.2% |
|
|
|
|
|
|
|
|
2,000 |
|
Republic of Ukraine, 6.45%, 8/5/09, FRN |
|
B1/B+ |
|
|
1,920,000 |
|
|
|
|
|
|
|
|
|
|||
| 9.30.08 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 11
|
|
|
PIMCO Global StocksPLUS & Income Fund Schedule of Investments |
|
September 30, 2008 (unaudited) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
Credit Rating |
|
Value |
|
||
|
|
|
|
Repurchase Agreement—6.2% |
|
|
|
|
|
|
|
$ |
9,900 |
|
Greenwich Capital Markets, |
|
|
|
$ |
9,900,000 |
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Total Short-Term Investments (cost—$72,184,503) |
|
|
|
|
71,135,882 |
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
Contracts/ |
|
|
|
|
|
|
|
|
|
|
OPTIONS PURCHASED (h)—2.9% |
|||||||||
|
|
|
|
Call Options—1.0% |
|
|
|
|
|
|
|
|
235,000,000 |
|
9-Year Interest Rate Swap (OTC), |
|
|
|
|
1,602,653 |
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Put Options—1.9% |
|
|
|
|
|
|
|
|
235,000,000 |
|
9-Year Interest Rate Swap (OTC), |
|
|
|
|
912,740 |
|
|
|
180 |
|
Financial Future Euro—90 day (CME), |
|
|
|
|
1,125 |
|
|
|
22,000,000 |
|
Freddie Mac (OTC), |
|
|
|
|
— |
|
|
|
|
|
S&P 500 Index (OTC), |
|
|
|
|
|
|
|
|
1 |
|
strike price $400, expires 12/18/08 |
|
|
|
|
13 |
|
|
|
245 |
|
strike price $1,150, expires 10/17/08 |
|
|
|
|
2,107,000 |
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
3,020,878 |
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Total Options Purchased (cost—$6,416,851) |
|
|
|
|
4,623,531 |
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Total Investments before options written |
|
|
|
|
|
|
|
|
|
|
(cost—$339,982,865)—197.7% |
|
|
|
|
314,169,673 |
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
OPTIONS WRITTEN (h)—(0.2)% |
|||||||||
|
|
|
|
Call Options—(0.2)% |
|
|
|
|
|
|
|
|
245 |
|
S&P 500 Index (OTC), |
|
|
|
|
|
|
|
|
|
|
strike price $1,270, expires 10/17/08 |
|
|
|
|
|
|
|
|
|
|
(premiums received—$1,852,830) |
|
|
|
|
(379,750 |
) |
|
|
|
|
|
|
|
|
|||
|
|
|
|
Total Investments net of options written |
|
|
|
|
|
|
|
|
|
|
(cost—$338,130,035)—197.5% |
|
|
|
|
313,789,923 |
|
|
|
|
|
Other liabilities in excess of other assets—(97.5)% |
|
|
|
|
(154,870,336 |
) |
|
|
|
|
|
|
|
|
|||
|
|
|
|
Net Assets—100.0% |
|
|
|
$ |
158,919,587 |
|
|
|
|
|
|
|
|
|
|||
12 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.08 |
|
|
|
PIMCO Global StocksPLUS & Income Fund Schedule of Investments |
|
September 30, 2008 (unaudited) (continued) |
|
|
|
|
|
|
||
|
Notes to Schedule of Investments: |
||
|
|
(a) |
Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $41,180,846, representing 25.91% of net assets. |
|
|
(b) |
Illiquid security. |
|
|
(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 September 30, 2008. |
|
|
(d) |
144A Security—Security 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) |
Securities with an aggregate value of $1,635,669, representing 1.03% of net assets, have been fair-valued using methods as described in Note 1(a) in the Notes to Financial Statements. |
|
|
(f) |
Perpetual maturity security. Maturity date shown is the first call date. Interest rate is fixed until the first call date and variable thereafter. |
|
|
(g) |
All or partial amount segregated as collateral for swaps. |
|
|
(h) |
Non-income producing. |
|
|
(i) |
All or partial amount segregated as collateral for reverse repurchase agreements. |
|
|
|
Glossary: |
|
€—Euro |
|
¥—Japanese Yen |
|
ABS—Asset Backed Securities |
|
CDO—Collateralized Debt Obligation |
|
CME—Chicago Mercantile Exchange |
|
CMO—Collateralized Mortgage Obligation |
|
FRN—Floating Rate Note. The interest rate disclosed reflects the rate in effect on September 30, 2008. |
|
LIBOR—London Inter-bank Offered Rate |
|
MBS—Mortgage-Backed Securities |
|
NR—Not Rated |
|
OTC—Over-the-Counter |
|
VRN—Variable Rate Note. Instruments whose interest rates change on specified date (such as a coupon date or interest payment date) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). The interest rate disclosed reflects the rate in effect on September 30, 2008. |
See accompanying Notes to Financial Statements | 9.30.08 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 13
|
|
|
|
PIMCO Global StocksPLUS & Income Fund Statement of Assets and Liabilities |
|
|
September 30, 2008 (unaudited) |
|
|
|
|
|
|
|
|
Assets: |
|
|
|
|
|
Investments, at value (cost—$339,982,865) |
|
$ |
314,169,673 |
|
|
|
||||
|
Cash (including foreign currency of $810,790 with a cost of $826,630) |
|
|
4,060,281 |
|
|
|
||||
|
Unrealized appreciation of swaps |
|
|
14,625,325 |
|
|
|
||||
|
Deposits with brokers for futures contracts collateral |
|
|
12,791,000 |
|
|
|
||||
|
Premium from swaps purchased |
|
|
9,883,097 |
|
|
|
||||
|
Receivable for swaps terminated |
|
|
5,342,146 |
|
|
|
||||
|
Receivable for variation margin on futures contracts |
|
|
2,942,780 |
|
|
|
||||
|
Interest receivable |
|
|
2,113,171 |
|
|
|
||||
|
Unrealized appreciation of forward foreign currency contracts |
|
|
261,904 |
|
|
|
||||
|
Receivable for investments sold |
|
|
2,074 |
|
|
|
||||
|
Prepaid expenses |
|
|
7,752 |
|
|
|
||||
|
Total Assets |
|
|
366,199,203 |
|
|
|
||||
|
|
|
|
|
|
|
Liabilities: |
|
|
|
|
|
Payable for reverse repurchase agreements |
|
|
115,853,000 |
|
|
|
||||
|
Unrealized depreciation of swaps |
|
|
70,216,011 |
|
|
|
||||
|
Premium for swaps sold |
|
|
10,190,214 |
|
|
|
||||
|
Payable for swaps terminated |
|
|
3,669,644 |
|
|
|
||||
|
Payable to broker for swaps collateral |
|
|
2,250,000 |
|
|
|
||||
|
Payable for investments purchased |
|
|
1,999,166 |
|
|
|
||||
|
Dividends payable to shareholders |
|
|
1,721,860 |
|
|
|
||||
|
Contingent loss on contractual counterparty agreements |
|
|
480,734 |
|
|
|
||||
|
Options written, at value (premiums received—$1,852,830) |
|
|
379,750 |
|
|
|
||||
|
Investment management fees payable |
|
|
230,412 |
|
|
|
||||
|
Interest payable for reverse repurchase agreements |
|
|
158,025 |
|
|
|
||||
|
Unrealized depreciation of forward foreign currency contracts |
|
|
32,224 |
|
|
|
||||
|
Accrued expenses |
|
|
98,576 |
|
|
|
||||
|
Total Liabilities |
|
|
207,279,616 |
|
|
|
||||
|
Net Assets |
|
$ |
158,919,587 |
|
|
|
||||
|
|
|
|
|
|
|
Composition of Net Assets: |
|
|
|
|
|
Common Stock: |
|
|
|
|
|
Par value ($0.00001 per share, applicable to 9,391,112 shares issued and outstanding) |
|
$ |
94 |
|
|
|
||||
|
Paid-in-capital in excess of par |
|
|
223,934,303 |
|
|
|
||||
|
Dividends in excess of net investment income |
|
|
(7,328,665 |
) |
|
|
||||
|
Accumulated net realized gain |
|
|
28,189,855 |
|
|
|
||||
|
Net unrealized depreciation of investments, futures contracts, options written, swaps, foreign |
|
|
|
|
|
currency transactions and contingent loss on contractual counterparty agreements |
|
|
(85,876,000 |
) |
|
|
||||
|
Net Assets |
|
$ |
158,919,587 |
|
|
|
||||
|
Net Asset Value Per Share |
|
$ |
16.92 |
|
|
|
14 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.08 | See accompanying Notes to Financial Statements
Six Months ended September 30, 2008 (unaudited)
|
|
|
|
|
|
|
Investment Income: |
|
|
|
|
|
Interest |
|
$ |
7,596,854 |
|
|
|
||||
|
Facility and other fee income |
|
|
1,513 |
|
|
|
||||
|
Total Investment Income |
|
|
7,598,367 |
|
|
|
||||
|
|
|
|
|
|
|
Expenses: |
|
|
|
|
|
Investment management fees |
|
|
1,529,270 |
|
|
|
||||
|
Interest expense |
|
|
1,264,494 |
|
|
|
||||
|
Custodian and accounting agent fees |
|
|
61,353 |
|
|
|
||||
|
Shareholder communications |
|
|
57,239 |
|
|
|
||||
|
Audit and tax services |
|
|
49,400 |
|
|
|
||||
|
Transfer agent fees |
|
|
15,027 |
|
|
|
||||
|
New York Stock Exchange listing fees |
|
|
12,867 |
|
|
|
||||
|
Trustees’ fees and expenses |
|
|
11,767 |
|
|
|
||||
|
Legal fees |
|
|
4,802 |
|
|
|
||||
|
Miscellaneous |
|
|
4,340 |
|
|
|
||||
|
Total expenses |
|
|
3,010,559 |
|
|
|
||||
|
Less: custody credits earned on cash balances |
|
|
(4,197 |
) |
|
|
||||
|
Net expenses |
|
|
3,006,362 |
|
|
|
||||
|
|
|
|
|
|
|
Net Investment Income |
|
|
4,592,005 |
|
|
|
||||
|
|
|
|
|
|
|
Realized and Change in Unrealized Gain (Loss): |
|
|
|
|
|
Net realized gain (loss) on: |
|
|
|
|
|
Investments |
|
|
(2,701,254 |
) |
|
|
||||
|
Futures contracts |
|
|
(2,681,645 |
) |
|
|
||||
|
Options written |
|
|
1,869,394 |
|
|
|
||||
|
Swaps |
|
|
11,905,799 |
|
|
|
||||
|
Foreign currency transactions |
|
|
428,132 |
|
|
|
||||
|
Net change in unrealized appreciation/depreciation of: |
|
|
|
|
|
Investments |
|
|
(17,507,684 |
) |
|
|
||||
|
Futures contracts |
|
|
(6,803,968 |
) |
|
|
||||
|
Options written |
|
|
1,439,724 |
|
|
|
||||
|
Swaps |
|
|
(36,021,566 |
) |
|
|
||||
|
Foreign currency transactions |
|
|
354,719 |
|
|
|
||||
|
Contingent loss on contractual counterparty agreements |
|
|
(480,734 |
) |
|
|
||||
|
Net realized and change in unrealized loss on investments, futures contracts, options written, swaps, foreign currency transactions and contingent loss on contractual counterparty agreements |
|
|
(50,199,083 |
) |
|
|
||||
|
Net Decrease in Net Assets Resulting from Investment Operations |
|
$ |
(45,607,078 |
) |
|
|
See accompanying Notes to Financial Statements | 9.30.08 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 15
|
|
|
|
PIMCO Global StocksPLUS & Income Fund Statement of Changes in Net Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months |
|
Year ended |
||||
|
|
|
|
||||||
|
Investment Operations: |
|
|
|
|
|
|
|
|
|
Net investment income |
|
$ |
4,592,005 |
|
|
$ |
11,463,662 |
|
|
|
|
|||||||
|
Net realized gain on investments, futures contracts, options written, swaps and foreign currency transactions |
|
|
8,820,426 |
|
|
|
41,595,666 |
|
|
|
|
|||||||
|
Net change in unrealized appreciation/depreciation of investments, futures contracts, options written, swaps, foreign currency transactions and contingent loss on contractual counterparty agreements |
|
|
(59,019,509 |
) |
|
|
(68,617,400 |
) |
|
|
|
|||||||
|
Net decrease in net assets resulting from investment operations |
|
|
(45,607,078 |
) |
|
|
(15,558,072 |
) |
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
Dividends and Distributions to Shareholders from: |
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(10,331,162 |
) |
|
|
(24,535,220 |
) |
|
|
|
|||||||
|
Net realized gains |
|
|
— |
|
|
|
(3,827,817 |
) |
|
|
|
|||||||
|
Total dividends and distributions to shareholders |
|
|
(10,331,162 |
) |
|
|
(28,363,037 |
) |
|
|
|
|||||||
|
Total decrease in net assets |
|
|
(55,938,240 |
) |
|
|
(43,921,109 |
) |
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
|
|
|
|
Beginning of period |
|
|
214,857,827 |
|
|
|
258,778,936 |
|
|
|
|
|||||||
|
End of period (including dividends in excess of net investment income of $(7,328,665) and $(1,589,508), respectively) |
|
$ |
158,919,587 |
|
|
$ |
214,857,827 |
|
|
|
|
|||||||
16 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.08 | See accompanying Notes to Financial Statements
Six Months ended September 30, 2008 (unaudited)
|
|
|
|
|
|
|
Cash Flows provided by Operating Activities: |
|
|
|
|
|
Purchases of long-term investments |
|
$ |
(261,071,075 |
) |
|
|
||||
|
Proceeds from sales of long-term investments |
|
|
246,308,735 |
|
|
|
||||
|
Decrease in deposits with brokers for futures contracts collateral |
|
|
12,499,000 |
|
|
|
||||
|
Decrease in receivable from broker |
|
|
8,720,000 |
|
|
|
||||
|
Increase in payable to broker for swaps collateral |
|
|
2,250,000 |
|
|
|
||||
|
Interest and facility and other fee income received |
|
|
7,575,363 |
|
|
|
||||
|
Net cash provided by options written |
|
|
11,924,252 |
|
|
|
||||
|
Net cash provided by swap transactions |
|
|
9,431,370 |
|
|
|
||||
|
Operating expenses paid |
|
|
(3,111,185 |
) |
|
|
||||
|
Net cash used for futures transactions |
|
|
(12,026,944 |
) |
|
|
||||
|
Net realized gain on foreign currency transactions |
|
|
409,459 |
|
|
|
||||
|
Net increase in short-term investments |
|
|
(20,175,187 |
) |
|
|
||||
|
Net cash provided by operating activities* |
|
|
2,733,788 |
|
|
|
||||
|
|
|
|
|
|
|
Cash Flows provided by Financing Activities: |
|
|
|
|
|
Increase in reverse repurchase agreements |
|
|
11,370,000 |
|
|
|
||||
|
Cash dividends paid |
|
|
(10,331,162 |
) |
|
|
||||
|
Net cash provided by financing activities |
|
|
1,038,838 |
|
|
|
||||
|
|
||||
|
Net increase in cash |
|
|
3,772,626 |
|
|
|
||||
|
Cash at beginning of period |
|
|
287,655 |
|
|
|
||||
|
Cash at end of period |
|
|
4,060,281 |
|
|
|
||||
|
|
|
|
|
|
|
Reconciliation of Net Decrease in Net Assets Resulting from Investment Operations to Net Cash Provided by Operating Activities: |
|
|
|
|
|
Net decrease in net assets resulting from investment operations |
|
|
(45,607,078 |
) |
|
|
||||
|
Increase in receivable for investments sold |
|
|
(2,074 |
) |
|
|
||||
|
Decrease in payable for investments purchased |
|
|
(29,540,153 |
) |
|
|
||||
|
Decrease in deposits with brokers for futures contracts collateral |
|
|
12,499,000 |
|
|
|
||||
|
Decrease in receivable from broker |
|
|
8,720,000 |
|
|
|
||||
|
Increase in payable to broker for swaps collateral |
|
|
2,250,000 |
|
|
|
||||
|
Decrease in interest receivable |
|
|
229,929 |
|
|
|
||||
|
Decrease in premium for swaps purchased |
|
|
552,671 |
|
|
|
||||
|
Increase in receivable for swaps terminated |
|
|
(5,160,599 |
) |
|
|
||||
|
Decrease in premium for swaps sold |
|
|
(1,536,145 |
) |
|
|
||||
|
Increase in payable for swaps terminated |
|
|
3,669,644 |
|
|
|
||||
|
Decrease in premiums received for options written |
|
|
(1,026,876 |
) |
|
|
||||
|
Decrease in prepaid expenses |
|
|
12,948 |
|
|
|
||||
|
Decrease in investment management fees payable |
|
|
(37,562 |
) |
|
|
||||
|
Increase in net unrealized depreciation of swaps |
|
|
36,021,566 |
|
|
|
||||
|
Increase in net unrealized appreciation of options written |
|
|
(1,439,724 |
) |
|
|
||||
|
Increase in net unrealized appreciation of forward foreign currency contracts |
|
|
(385,987 |
) |
|
|
||||
|
Increase in net receivable for variation margin on futures contracts |
|
|
(2,541,331 |
) |
|
|
||||
|
Decrease in accrued expenses |
|
|
(69,700 |
) |
|
|
||||
|
Decrease in interest payable for reverse repurchase agreement |
|
|
(10,509 |
) |
|
|
||||
|
Increase in contingent loss on contractual counterparty agreements |
|
|
480,734 |
|
|
|
||||
|
Net decrease in investments |
|
|
25,655,034 |
|
|
|
||||
|
|
|
|
|
|
|
Net cash provided by operating activities |
|
$ |
2,733,788 |
|
|
|
* Included in operating expenses is cash paid for interest on reverse repurchase agreements of $1,275,003.
See accompanying Notes to Financial Statements | 9.30.08 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 17
|
|
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
|
September 30, 2008 (unaudited) |
1. Organization and Significant Accounting Policies
PIMCO Global StocksPLUS & Income Fund (the “Fund”) was
organized as a Massachusetts business trust on February 16, 2005. Prior to
commencing operations on May 31, 2005, the Fund had no operations other than
matters relating to its organization as a non-diversified, closed-end
management investment company registered under the Investment Company Act of 1940
and the rules and regulations thereunder, as amended. Allianz Global Investors
Fund Management LLC (the “Investment Manager”), serves as the Fund’s Investment
manager and is an indirect, wholly-owned subsidiary of Allianz Global Investors
of America L.P. (“Allianz Global”). Allianz Global is an indirect,
majority-owned subsidiary of Allianz SE, a publicly traded European insurance
and financial services company. The Fund has an unlimited amount of $0.00001
par value common stock authorized.
The Fund’s investment objective is to seek total return comprised of current income, current gains and long-term capital appreciation. The Fund normally attempts to achieve its investment objective by investing in equity index derivative instruments relating to U.S. and non-U.S. markets, backed by an actively-managed, low duration (one- to three-year) debt portfolio with an average credit quality that is investment grade. The Fund currently intends to gain substantially all of its equity index exposure by investing in equity index derivatives based on the Standard & Poor’s 500 Composite Stock Price Index (“S&P 500 Index”) and the Morgan Stanley Capital International® Europe, Australasia and Far East Index (the “MSCI EAFE Index”). The Fund also will employ a strategy of writing (selling) call options on U.S. equity indexes, seeking to generate gains from option premiums which may limit the Fund’s gains from increases in the S&P 500 Index. Typically, substantially all the Fund’s assets will be invested in a portfolio of income-producing debt securities and debt-related derivative securities.
The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
In the normal course of business the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not been asserted. However, the Fund expects the risk of any loss to be remote.
In July 2006, the Financial Accounting Standards Board (“FASB”) issued Interpretation No. 48, ‘‘Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109’’ (the ‘‘Interpretation’’). The Interpretation establishes for all entities, including pass-through entities such as the Fund, a minimum threshold for financial statement recognition of the benefit of positions taken in filing tax returns (including whether an entity is taxable in a particular jurisdiction), and requires certain expanded tax disclosures. Fund management has determined that its evaluation of the Interpretation has resulted in no material impact to the Fund’s financial statements at September 30, 2008. The Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
In March 2008, the FASB issued Statement of Financial Accounting Standards No. 161, ‘‘Disclosures about Derivative Instruments and Hedging Activities’’ (‘‘SFAS 161’’). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about a fund’s derivative and hedging activities. Fund management is currently evaluating the impact the adoption of SFAS 161 will have on the Fund’s financial statement disclosures.
In September 2008, FASB issued a FASB Staff Position No. 133-1 and FIN 45-4 “Disclosures about Credit Derivatives and Certain Guarantees: An Amendment of FASB Statement No. 133 and FASB Interpretation No. 45; and Clarification of the Effective Date of FASB Statement No. 161” (“FSP”). FSP requires enhanced transparency of the effect of credit derivatives and guarantees on an issuer’s financial position, financial performance and cash flows. FSP is effective for fiscal years ending after November 15, 2008. FSP applies to certain credit derivatives, hybrid instruments that have embedded credit derivatives (for example, credit-linked notes), and certain guarantees and it requires additional disclosures regarding credit derivatives with sold protection. Fund management is currently evaluating the impact of this new requirement.
18 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.08 |
|
|
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
|
September 30, 2008 (unaudited) |
1. Organization and Significant Accounting Policies (continued)
The following is a summary of significant accounting policies consistently followed by the Fund:
(a) Valuation 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, based on quotes obtained from a quotation
reporting system, established market makers, or pricing services.
Portfolio securities and other financial instruments for which market quotations are not readily available or if a development/event occurs that may significantly impact the value of a security, are fair-valued, in good faith, pursuant to procedures established by the Board of Trustees, or persons acting at their discretion pursuant to procedures established by the Board of Trustees, including certain fixed income securities which may be valued with reference to securities whose prices are more readily available. The Fund’s investments, including over-the-counter options, 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 last quoted mean price for those securities for which the over-the-counter market is the primary market or for listed securities in which there were no sales. Prices obtained from 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. Exchange traded options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Securities purchased on a when-issued or delayed-delivery basis are marked to market daily until settlement at the forward settlement value. 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 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 and the NAV may change on days when an investor is not able to purchase or sell shares.
The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold and these differences could be material to the financial statements of the Fund. The Fund’s NAV is normally determined daily 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.
(b) Fair Value Measurements
Effective April 1, 2008, the Fund adopted FASB Statement of
Financial Accounting Standards No. 157, “Fair Value Measurements” (“SFAS 157”).
This standard clarifies the definition of fair value for financial reporting,
establishes a framework for measuring fair value and requires additional
disclosures about the use of the fair value measurements. The three levels of
the fair value hierarchy under SFAS 157 are described below:
|
|
|
|
• |
Level 1 — quoted prices in active markets for identical investments |
|
• |
Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
|
• |
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The valuation techniques used by the Fund to measure fair value during the six months ended September 30, 2008 maximized the use of observable inputs and minimized the use of unobservable inputs. The Fund utilized the following fair value techniques: multi-dimensional relational pricing models and option adjusted spread pricing.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
| 9.30.08 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 19
|
|
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
|
September 30, 2008 (unaudited) |
1. Organization and Significant Accounting Policies (continued)
(b) Fair Value Measurements (continued)
The following is a summary of the inputs used at September 30, 2008 in valuing the Fund’s investments carried at value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Investments in |
|
Other Financial |
|
||||||
|
Level 1 — Quoted Prices |
|
|
$ |
1,727,263 |
|
|
|
$ |
(5,677,952 |
) |
|
|
Level 2 — Other Significant Observable Inputs |
|
|
|
310,426,991 |
|
|
|
|
(57,052,578 |
) |
|
|
Level 3 — Significant Unobservable Inputs |
|
|
|
1,635,669 |
|
|
|
|
1,210,838 |
|
|
|
|
|
|
|
|
|
|
|
||||
|
Total |
|
|
$ |
313,789,923 |
|
|
|
$ |
(61,519,692 |
) |
|
|
|
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A roll forward of fair value measurements using significant unobservable inputs (Level 3) at September 30, 2008, were as follows: |
|||||||||||
|
|
|
|
|
|
|
|
|
||||
|
|
|
Investments in |
|
Other Financial |
|
||||||
|
Beginning balance, 3/31/08 |
|
|
$ |
8,498,734 |
|
|
|
$ |
(2,919,355 |
) |
|
|
Net purchases (sales) and settlements |
|
|
|
(500,894 |
) |
|
|
|
— |
|
|
|
Accrued discounts (premiums) |
|
|
|
(3,182 |
) |
|
|
|
— |
|
|
|
Total realized and unrealized gain (loss) |
|
|
|
(1,178,680 |
) |
|
|
|
867,500 |
|
|
|
Transfers in and/or out of Level 3 |
|
|
|
(5,180,309 |
) |
|
|
|
3,262,693 |
|
|
|
|
|
|
|
|
|
|
|
||||
|
Ending balance, 9/30/08 |
|
|
$ |
1,635,669 |
|
|
|
$ |
1,210,838 |
|
|
|
|
|
|
|
|
|
|
|
||||
(c) Investment Transactions and Investment Income
Investment transactions are accounted for on the trade date.
Securities purchased and sold on a when-issued or delayed-delivery basis may be
settled a month or more after the trade date. Realized gains and losses on
investments are determined on the identified cost basis. Interest income is
recorded on an accrual basis. Discounts or premiums on debt securities
purchased are accreted or amortized to interest income over the lives of the
respective securities using the effective interest method. Dividend income is
recorded on the ex-dividend date. Facility fees and other fees (such as
origination fees) received by the Fund are amortized as income over the
expected term of the senior loan. Commitment fees received by the Fund relating
to unfunded purchase commitments are recorded as other fee income upon receipt.
(d) Federal Income Taxes
The Fund intends to distribute all of its taxable income and
to comply with the other requirements of the U.S. Internal Revenue Code of
1986, as amended, applicable to regulated investment companies. Accordingly, no
provision for U.S. federal income taxes is required.
(e) Dividends and Distributions
The Fund declares dividends from net investment income
monthly to shareholders. Distributions of net realized capital gains, if any,
are paid at least annually. The Fund records dividends and distributions to its
shareholders on the ex-dividend date. The amount of dividends and distributions
from net investment income and net realized capital gains are determined in
accordance with federal income tax regulations, which may differ from generally
accepted accounting principles. These “book-tax” differences are considered
either temporary or permanent in nature. To the extent these differences are
permanent in nature, such amounts are reclassified within the capital accounts
based on their federal income tax treatment; temporary differences do not
require reclassification. To the extent dividends and/or distributions exceed
current and accumulated earnings and profits for federal income tax purposes;
they are reported as dividends and/or distributions of paid-in-capital in
excess of par.
20 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.08 |
|
|
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
|
September 30, 2008 (unaudited) |
1. Organization and Significant Accounting Policies (continued)
(f) Foreign Currency Translation
The Fund’s accounting records are maintained in U.S. dollars
as follows: (1) the foreign currency market value of investments and other
assets and liabilities denominated in foreign currency are translated at the
prevailing exchange rate at the end of the period; and (2) purchases and sales,
income and expenses are translated at the prevailing exchange rate on the respective
dates of such transactions. The resulting net foreign currency gain or loss is
included in the Statement of Operations.
The Fund does not generally isolate that portion of the results of operations arising as a result of changes in the foreign currency exchange rates from the fluctuations arising from changes in the market prices of securities. Accordingly, such foreign currency gain (loss) is included in net realized and unrealized gain (loss) on investments.
Net foreign currency gain (loss) from valuing foreign currency denominated assets and liabilities at period-end exchange rates is reflected as a component of net unrealized appreciation of investments, call options written and foreign currency transactions. Net realized foreign currency gain (loss) is treated as ordinary income (loss) for income tax reporting purposes.
(g) Forward Foreign Currency Contracts
A forward foreign currency contract is an agreement between
two parties to buy and sell a currency at a set exchange rate on a future date.
The Fund may enter into forward foreign currency contracts for the purpose of
hedging against foreign currency risk arising from the investment or
anticipated investment in securities denominated in foreign currencies. The
Fund may also enter these contracts for purposes of increasing exposure to a
foreign currency or to shift exposure to foreign currency fluctuations from one
country to another. The market value of a forward foreign currency contract
fluctuates with changes in forward currency exchange rates. All commitments are
marked to market daily at the applicable exchange rates and any resulting
unrealized appreciation or depreciation is recorded. Realized gains or losses
are recorded at the time the forward contract matures or by delivery of the currency.
Risks may arise upon entering these contracts from the potential inability of
counterparties to meet the terms of their contracts and from unanticipated
movements in the value of a foreign currency relative to the U.S. dollar.
(h) Futures Contracts
A futures contract is an agreement between two parties to
buy and sell a financial instrument at a set price on a future date. Upon
entering into such a contract, the Fund is required to pledge to the broker an
amount of cash or securities equal to the minimum ‘‘initial margin’’
requirements of the relevant exchange. Pursuant to the contracts, the Fund
agrees to receive from or pay to the broker an amount of cash or securities
equal to the daily fluctuation in the value of the contracts. Such receipts or
payments are known as ‘‘variation margin’’ and are recorded by the Fund as
unrealized appreciation or depreciation. When the contracts are closed, the
Fund records a realized gain or loss equal to the difference between the value
of the contracts at the time they were opened and the value at the time they
were closed. Any unrealized appreciation or depreciation recorded is
simultaneously reversed. The use of futures transactions involves the risk of
an imperfect correlation in the movements in the price of futures contracts,
interest rates and underlying hedged assets, and the possible inability of
counterparties to meet the terms of their contracts.
(i) Option Transactions
The Fund may purchase and write (sell) put and call options
on securities for hedging purposes, risk management purposes or as part of its
investment strategies. The risk associated with purchasing an option is that
the Fund pays a premium whether or not the option is exercised. Additionally,
the Fund bears the risk of loss of premium and change in market value should
the counterparty not perform under the contract. Put and call options purchased
are accounted for in the same manner as portfolio securities. The cost of
securities acquired through the exercise of call options is increased by the
premiums paid. The proceeds from securities sold through the exercise of put
options is decreased by the premiums paid.
| 9.30.08 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 21
|
|
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
|
September 30, 2008 (unaudited) |
1. Organization and Significant Accounting Policies (continued)
When an option is written, the premium received is recorded as an asset with an equal liability which is subsequently marked to market to reflect the current market value of the option written. These liabilities are reflected as options written in the Statement of Assets and Liabilities. Premiums received from writing options which expire unexercised are recorded on the expiration date as a realized gain. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchased transactions, as a realized loss. If a call option written by the Fund is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether there has been a realized gain or loss. If a written put option is exercised, the premium reduces the cost basis of the security. In writing an option, the Fund bears the market risk of an unfavorable change in the price of the security underlying the written option. Exercise of a written option could result in the Fund purchasing a security at a price different from the current market value.
(j) Interest Rate/Credit Default/Total Return Swaps
The Fund enters into interest rate and credit default swap
contracts (“swaps”) for investment purposes, to manage its interest rate and
credit risk or to add leverage.
As a seller in the credit default swap contract, the Fund would be required to pay the notional amount or other agreed-upon value of a referenced debt obligation to the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the referenced debt obligation. In return, the Fund would receive from the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no default occurs, the Fund would keep the stream of payments and would have no payment obligations. Such periodic payments are accrued daily and recorded as realized gain (loss).
The Fund may also purchase credit default swap contracts in order to hedge against the risk of default of debt securities held, in which case the Fund would function as the counterparty referenced in the preceding paragraph. As a purchaser of a credit default swap contract, the Fund would receive the notional amount or other agreed upon value of a referenced debt obligation from the counterparty in the event of default by a third party, such as a U.S. or foreign corporate issuer on the referenced debt obligation. In return, the Fund would make periodic payments to the counterparty over the term of the contract, provided no event of default has occurred. Such periodic payments are accrued daily and recorded as realized gain (loss).
Interest rate swap agreements involve the exchange by the Fund with a counterparty of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Net periodic payments received (paid) by the Fund are included as part of realized gain (loss) and net periodic payments accrued, but not yet received (paid), are included in change in the unrealized appreciation/depreciation on the Statement of Operations.
Total return swap agreements involve commitments to pay interest in exchange for a market-linked return, both based on notional amounts. To the extent the total return on the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty.
Swaps are marked to market daily based upon quotations from brokers or market makers and the change in value, if any, is recorded as unrealized appreciation or depreciation in the Fund’s Statement of Operations. For a credit default swap sold by the Fund, payment of the agreed upon amount made by the Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by the Fund, the agreed upon amount received by the Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by the Fund.
Entering into swaps involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in net interest rates.
22 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.08 |
|
|
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
|
September 30, 2008 (unaudited) |
1. Organization and Significant Accounting Policies (continued)
(k) Senior Loans
The Fund purchases assignments of Senior Loans originated,
negotiated and structured by a U.S. or foreign commercial bank, insurance
company, finance company or other financial institution (the “Agent”) for a
lending syndicate of financial institutions (the “Lender”). When purchasing an
assignment, the Fund succeeds all the rights and obligations under the loan
agreement with the same rights and obligations as the assigning Lender.
Assignments may, however, be arranged through private negotiations between
potential assignees and potential assignors, and the rights and obligations
acquired by the purchaser of an assignment may differ from, and be more limited
than, those held by the assigning Lender.
(l) Repurchase Agreements
The Fund may enter into transactions with its custodian bank
or securities brokerage firms whereby it purchases securities under agreements
to resell at an agreed upon price and date (“repurchase agreements”). Such
agreements are carried at the contract amount in the financial statements.
Collateral pledged (the securities received), which consists primarily of U.S.
government obligations and asset-backed securities, are held by the custodian
bank until maturity of the repurchase agreement. Provisions of the repurchase
agreements and the procedures adopted by the Fund require that the market value
of the collateral, including accrued interest thereon, is sufficient in the
event of default by the counterparty. If the counterparty defaults and the
value of the collateral declines or if the counterparty enters an insolvency
proceeding, realization of the collateral by the Fund may be delayed or
limited.
(m) Reverse Repurchase Agreements
In a reverse repurchase agreement, the Fund sells securities
to a bank or broker-dealer and agrees to repurchase the securities at a
mutually agreed date and price. Generally, the effect of such a transaction is
that the Fund can recover and reinvest all or most of the cash invested in the
portfolio securities involved during the term of the reverse repurchase
agreement and still be entitled to the returns associated with those portfolio
securities. Such transactions are advantageous if the interest cost to the Fund
of the reverse repurchase transaction is less than the returns it obtains on
investments purchased with the cash. Unless the Fund covers its positions in
reverse repurchase agreements (by segregating liquid assets at least equal in
amount to the forward purchase commitment), its obligations under the
agreements will be subject to the Fund’s limitations on borrowings. Reverse
repurchase agreements involve leverage risk and also the risk that the market
value of the securities that the Fund is obligated to repurchase under the
agreement may decline below the repurchase price. In the event the buyer of securities
under a reverse repurchase agreement files for bankruptcy or becomes insolvent,
the Fund’s use of the proceeds of the agreement may be restricted pending
determination by the other party, or its trustee or receiver, whether to
enforce the Fund’s obligation to repurchase the securities.
(n) When-Issued/Delayed-Delivery Transactions
The Fund may purchase or sell securities on a when-issued or
delayed-delivery basis. The transactions involve a commitment to purchase or
sell securities for a predetermined price or yield, with payment and delivery
taking place beyond the customary settlement period. When delayed-delivery
purchases are outstanding, the Fund will set aside and maintain until the
settlement date in a designated account, liquid assets in an amount sufficient
to meet the purchase price. When purchasing a security on a delayed-delivery
basis, the Fund assumes the rights and risks of ownership of the security,
including the risk of price and yield fluctuations. Consequently, such
fluctuations are taken into account when determining the net asset value. The
Fund may dispose of or renegotiate a delayed-delivery transaction after it is
entered into, and may sell when-issued securities before they are delivered,
which may result in a realized gain or loss. When a security on a
delayed-delivery basis is sold, the Fund does not participate in future gains
and losses with respect to the security.
(o) Credit-Linked Trust Certificates
Credit-linked trust certificates are investments in a
limited purpose trust or other vehicle formed under state law which, in turn,
invests in a basket of derivative instruments, such as credit default swaps,
interest rate swaps and other securities, in order to provide exposure to the
high-yield or another fixed income market.
Similar to an investment in a bond, investments in credit-linked trust certificates represent the right to receive periodic income payments (in the form of distributions) and payment of principal at the end of the term of the certificate. However, these payments are conditioned on the trust’s receipt of payments from, and the trust’s potential obligations to, the counterparties to the derivative instruments and other securities in which the trust invests.
| 9.30.08 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 23
|
|
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
|
September 30, 2008 (unaudited) |
1. Organization and Significant Accounting Policies (continued)
(p) Custody Credits on Cash Balances
The Fund benefits from an expense offset arrangement with its custodian
bank whereby uninvested cash balances earn credits which reduce monthly
custodian and accounting agent expenses. Had these cash balances been invested
in income producing securities, they would have generated income for the Fund.
2. Investment Manager/Sub-Adviser
The Fund has an Investment Management Agreement (the “Agreement”) with
the Investment Manager. Subject to the supervision of the Fund’s Board of
Trustees, the Investment Manager is responsible for managing, either directly
or through others selected by it, the Fund’s investment activities, business
affairs and administrative matters. Pursuant to the Agreement, the Investment
Manager receives an annual fee, payable on a monthly basis at the annual rate
of 1.00% of the Fund’s average daily total managed assets. Total managed assets
means the total assets of the Fund (including any assets attributable to any
borrowings that may be outstanding, minus accrued liabilities (other than
liabilities representing borrowings)).
The Investment Manager has retained its affiliate, Pacific Investment Management Company LLC, (the “Sub-Adviser”) to manage the Fund’s investments. Subject to the supervision of the Investment Manager, the Sub-Adviser is responsible for making all of the Fund’s investment decisions. The Investment Manager, not the Fund, pays a portion of the fees it receives as Investment Manager to the Sub-Adviser in return for its services.
3. Investments in Securities
Purchases and sales of securities, other than short-term securities and
U.S. Government obligations for the six months ended September 30, 2008, were
$215,154,469 and $244,642,717, respectively.
(a) Futures contracts outstanding at September 30, 2008:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type |
|
Contracts |
|
Market |
|
Expiration |
|
Unrealized |
|
|||||
|
Long: |
Financial Future Euro-90 day |
|
90 |
|
|
$ |
21,723 |
|
|
12/15/08 |
|
$ |
(32,625 |
) |
|
|
Financial Future Euro-90 day |
|
90 |
|
|
|
21,797 |
|
|
9/14/09 |
|
|
23,625 |
|
|
|
S&P 500 Index |
|
161 |
|
|
|
47,052 |
|
|
12/18/09 |
|
|
(3,677,306 |
) |
|
|
E-mini S&P 500 Index |
|
423 |
|
|
|
24,724 |
|
|
12/19/09 |
|
|
(1,991,646 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(5,677,952 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
The Fund pledged $12,791,000 in cash as collateral for futures contracts.
(b) Transactions in options written for the six months ended September 30, 2008:
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Premiums |
|
||
|
Options outstanding, March 31, 2008 |
|
|
302 |
|
$ |
2,879,706 |
|
|
Options written |
|
|
1,668 |
|
|
11,924,252 |
|
|
Options terminated in closing purchase transactions |
|
|
(1,725 |
) |
|
(12,951,128 |
) |
|
|
|
|
|
||||
|
Options outstanding, September 30, 2008 |
|
|
245 |
|
$ |
1,852,830 |
|
|
|
|
|
|
||||
24 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.08 |
|
|
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
|
September 30, 2008 (unaudited) |
3. Investments in Securities (continued)
(c) Credit default swaps contracts outstanding at September 30, 2008:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap Counterparty/ |
|
Notional |
|
Termination |
|
Payments |
|
Unrealized |
|
||||||||
|
Bank of America: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ABS Home Equity Index |
|
|
$ |
2,000 |
|
|
8/25/37 |
|
|
0.15 |
% |
|
|
$ |
20,042 |
|
|
|
Long Beach Mortgage Loan Trust |
|
|
|
738 |
|
|
7/25/33 |
|
|
4.50 |
% |
|
|
|
(660,245 |
) |
|
|
Barclays Bank: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dow Jones CDX HY-8 Index 35-100% |
|
|
|
2,484 |
|
|
6/20/12 |
|
|
0.787 |
% |
|
|
|
(61,933 |
) |
|
|
Federation of Russia |
|
|
|
4,900 |
|
|
7/20/11 |
|
|
1.65 |
% |
|
|
|
(614,155 |
) |
|
|
Bear Stearns: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ABS Home Equity Index |
|
|
|
2,580 |
|
|
5/25/46 |
|
|
(2.42 |
)% |
|
|
|
2,262,597 |
|
|
|
Indymac Home Equity Loan |
|
|
|
1,515 |
|
|
6/25/30 |
|
|
(0.45 |
)% |
|
|
|
356,001 |
|
|
|
Citigroup: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Industrial Finance |
|
|
|
1,000 |
|
|
10/20/20 |
|
|
(2.15 |
)% |
|
|
|
520,480 |
|
|
|
Dow Jones CDX HY-8 Index 35-100% |
|
|
|
4,968 |
|
|
6/20/12 |
|
|
0.63 |
% |
|
|
|
(148,171 |
) |
|
|
Home Equity Index |
|
|
|
1,000 |
|
|
8/25/37 |
|
|
0.09 |
% |
|
|
|
2,590 |
|
|
|
Credit Suisse First Boston: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ABS Home Equity Index |
|
|
|
9,000 |
|
|
8/25/37 |
|
|
0.15 |
% |
|
|
|
(1,481,113 |
) |
|
|
ABS Home Equity Index |
|
|
|
1,000 |
|
|
8/25/37 |
|
|
0.09 |
% |
|
|
|
(154,910 |
) |
|
|
Samis |
|
|
|
800 |
|
|
3/20/09 |
|
|
2.30 |
% |
|
|
|
(2,101 |
) |
|
|
Deutsche Bank: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
American International Group |
|
|
|
2,000 |
|
|
3/20/13 |
|
|
2.10 |
% |
|
|
|
(667,590 |
) |
|
|
Dow Jones CDX HY-8 Index 25-35% |
|
|
|
2,000 |
|
|
6/20/12 |
|
|
1.035 |
% |
|
|
|
(232,945 |
) |
|
|
Dow Jones CDX IG-5 Index 3-7% |
|
|
|
5,000 |
|
|
12/20/10 |
|
|
(0.65 |
)% |
|
|
|
1,070,277 |
|
|
|
Dow Jones CDX IG-10 5 Year Index |
|
|
|
7,300 |
|
|
6/20/13 |
|
|
(1.55 |
)% |
|
|
|
(61,859 |
) |
|
|
Goldman Sachs: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ABS Home Equity Index |
|
|
|
2,580 |
|
|
5/25/46 |
|
|
2.42 |
% |
|
|
|
(2,233,056 |
) |
|
|
Goldman Sachs International |
|
|
|
500 |
|
|
10/20/20 |
|
|
(4.50 |
)% |
|
|
|
317,716 |
|
|
|
Goldman Sachs International |
|
|
|
1,500 |
|
|
10/11/21 |
|
|
(5.00 |
)% |
|
|
|
861,008 |
|
|
|
HSBC Bank: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Republic of Ukraine |
|
|
|
5,000 |
|
|
4/20/09 |
|
|
0.70 |
% |
|
|
|
(111,198 |
) |
|
|
JPMorgan Chase: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ABS Home Equity Index |
|
|
|
2,580 |
|
|
5/25/46 |
|
|
2.42 |
% |
|
|
|
(2,230,406 |
) |
|
|
Lennar |
|
|
|
2,000 |
|
|
12/20/12 |
|
|
5.40 |
% |
|
|
|
(126,596 |
) |
|
|
Merrill Lynch |
|
|
|
5,000 |
|
|
3/20/17 |
|
|
(0.40 |
)% |
|
|
|
952,450 |
|
|
|
Qwest Holding |
|
|
|
1,000 |
|
|
9/20/10 |
|
|
4.20 |
% |
|
|
|
(12,136 |
) |
|
|
Merrill Lynch & Co.: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ABS Home Equity Index |
|
|
|
1,000 |
|
|
5/25/46 |
|
|
0.11 |
% |
|
|
|
(127,387 |
) |
|
|
Dow Jones CDX HY-8 Index 25-35% |
|
|
|
1,000 |
|
|
6/20/12 |
|
|
1.058 |
% |
|
|
|
(115,731 |
) |
|
|
Dow Jones CDX HY-8 Index 35-100% |
|
|
|
2,484 |
|
|
6/20/12 |
|
|
0.91 |
% |
|
|
|
(52,412 |
) |
|
| 9.30.08 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 25
|
|
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
|
September 30, 2008 (unaudited) |
3. Investments in Securities (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap Counterparty/ |
|
Notional |
|
Termination |
|
Payments |
|
Unrealized |
|
||||||||
|
Morgan Stanley: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ABS Home Equity Index |
|
|
$ |
1,272 |
|
|
6/25/34 |
|
|
(1.15 |
)% |
|
|
$ |
1,157,197 |
|
|
|
Biomet |
|
|
|
4,000 |
|
|
9/20/12 |
|
|
2.95 |
% |
|
|
|
(48,270 |
) |
|
|
Federal Republic of Brazil |
|
|
|
2,000 |
|
|
6/20/15 |
|
|
4.23 |
% |
|
|
|
277,519 |
|
|
|
Federation of Russia |
|
|
|
5,000 |
|
|
6/20/15 |
|
|
1.52 |
% |
|
|
|
(306,161 |
) |
|
|
Gazprom Capital |
|
|
|
3,000 |
|
|
12/20/08 |
|
|
1.38 |
% |
|
|
|
(2,243 |
) |
|
|
Indymac Home Equity Loan |
|
|
|
1,516 |
|
|
6/25/30 |
|
|
1.50 |
% |
|
|
|
(302,363 |
) |
|
|
Morgan Stanley Dean Witter Capital |
|
|
|
490 |
|
|
8/25/32 |
|
|
2.15 |
% |
|
|
|
(447,567 |
) |
|
|
Republc of Panama |
|
|
|
5,000 |
|
|
6/20/15 |
|
|
2.75 |
% |
|
|
|
171,684 |
|
|
|
Republic of Peru |
|
|
|
5,000 |
|
|
6/20/15 |
|
|
2.90 |
% |
|
|
|
268,572 |
|
|
|
United Mexican States |
|
|
|
5,000 |
|
|
6/20/15 |
|
|
1.40 |
% |
|
|
|
(40,188 |
) |
|
|
UBS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ABS Home Equity Index |
|
|
|
1,272 |
|
|
6/25/34 |
|
|
1.50 |
% |
|
|
|
(1,150,918 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(3,153,521 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
(d) Interest rate swap agreements outstanding at September 30, 2008:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rate Type |
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Swap Counterparty |
|
Notional |
|
Termination |
|
Payments |
|
Payments |
|
Unrealized |
|
|||||
|
Barclays Bank |
|
$ |
23,500 |
|
12/17/18 |
|
|
5.00% |
|
3-Month USD-LIBOR |
|
|
$ |
(1,017,517 |
) |
|
|
Barclays Bank |
|
|
214,600 |
|
6/21/25 |
|
|
3-Month USD-LIBOR |
|
5.00% |
|
|
|
2,535,627 |
|
|
|
Barclays Bank |
|
|
206,000 |
|
12/17/25 |
|
|
5.00% |
|
3-Month USD-LIBOR |
|
|
|
(9,657,655 |
) |
|
|
Merrill Lynch & Co. |
|
|
14,200 |
|
12/17/13 |
|
|
3-Month USD-LIBOR |
|
4.00% |
|
|
|
35,710 |
|
|
|
Morgan Stanley |
|
|
34,500 |
|
12/17/18 |
|
|
5.00% |
|
3-Month USD-LIBOR |
|
|
|
(830,375 |
) |
|
|
Royal Bank of Scotland |
|
|
421,100 |
|
2/25/18 |
|
|
3.60% |
|
3-Month USD-LIBOR |
|
|
|
(3,207,231 |
) |
|
|
Royal Bank of Scotland |
|
|
421,100 |
|
2/25/18 |
|
|
3-Month USD-LIBOR |
|
5.80% |
|
|
|
3,815,855 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(8,325,586 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
(e) Total return swap contracts outstanding at September 30, 2008:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap |
|
Fund |
|
Fund |
|
Termination |
|
Notional |
|
Unrealized |
|
||
|
Barclays Bank |
|
MSCI Daily |
|
3 month LIBOR |
|
10/31/08 |
|
$ |
128,999,986 |
|
$ |
(44,111,579 |
) |
|
|
|
Total Return EAFE |
|
plus 0.25% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIBOR – London Inter-Bank Offered Rate |
|
|
MSCI – Morgan Stanley Capital International |
|
The Fund received $3,450,000 principal value in U.S. Treasury Bills and $2,250,000 in cash as collateral for swaps.
26 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.08 |
|
|
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
|
September 30, 2008 (unaudited) |
3. Investments in Securities (continued)
(f) Forward foreign currency contracts outstanding at September 30, 2008:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. $ Value |
|
U.S. $ Value |
|
Unrealized |
|
|||||||||
|
Purchased: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,387,000 Euros settling 10/3/08 |
|
|
$ |
6,159,348 |
|
|
|
$ |
6,162,843 |
|
|
$ |
3,495 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
|
||||||||||||||||
|
Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,387,000 Euros settling 10/3/08 |
|
|
|
6,421,252 |
|
|
|
|
6,162,843 |
|
|
|
|
258,409 |
|
|
|
4,387,000 Euros settling 10/16/08 |
|
|
|
6,170,315 |
|
|
|
|
6,171,204 |
|
|
|
|
(889 |
) |
|
|
160,000,000 Japanese Yen settling 10/20/08 |
|
|
|
1,480,152 |
|
|
|
|
1,511,487 |
|
|
|
|
(31,335 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
229,680 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(g) The weighted average daily balance of reverse repurchase agreements outstanding during the six months ended September 30, 2008 was $102,453,284 at a weighted average interest rate of 2.43%.
Open reverse repurchase agreements at September 30, 2008:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Rate |
|
Trade |
|
Maturity |
|
Principal & |
|
Principal |
|
|||||
|
Deutsche Bank |
|
2.50 |
% |
|
|
9/11/08 |
|
|
10/14/08 |
|
$ |
93,986,356 |
|
$ |
93,856,000 |
|
|
|
|
2.50 |
% |
|
|
9/24/08 |
|
|
10/14/08 |
|
|
1,744,848 |
|
|
1,744,000 |
|
|
|
|
2.52 |
% |
|
|
9/10/08 |
|
|
10/14/08 |
|
|
2,959,344 |
|
|
2,955,000 |
|
|
|
|
2.52 |
% |
|
|
9/11/08 |
|
|
10/14/08 |
|
|
3,004,200 |
|
|
3,000,000 |
|
|
Goldman Sachs |
|
2.75 |
% |
|
|
9/15/08 |
|
|
10/14/08 |
|
|
11,833,445 |
|
|
11,819,000 |
|
|
Morgan Stanley |
|
2.65 |
% |
|
|
9/10/08 |
|
|
10/14/08 |
|
|
2,482,832 |
|
|
2,479,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
115,853,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Details of underlying collateral for open reverse repurchase agreements at September 30, 2008, as reflected in the Schedule of Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Description |
|
Rate |
|
Maturity |
|
Principal |
|
Market Value |
|
|||||
|
Deutsche Bank |
|
|
Fannie Mae |
|
5.50 |
% |
|
11/1/34 |
|
|
$ |
1,059,231 |
|
$ |
1,058,584 |
|
|
|
|
|
Fannie Mae |
|
5.50 |
% |
|
1/1/35 |
|
|
|
910,963 |
|
|
909,403 |
|
|
|
|
|
Fannie Mae |
|
5.50 |
% |
|
2/1/48 |
|
|
|
7,058,316 |
|
|
6,879,377 |
|
|
|
|
|
Fannie Mae |
|
5.50 |
% |
|
4/1/48 |
|
|
|
8,122,978 |
|
|
7,917,048 |
|
|
|
|
|
Fannie Mae |
|
5.50 |
% |
|
6/1/48 |
|
|
|
5,663,220 |
|
|
5,519,649 |
|
|
|
|
|
Fannie Mae |
|
6.00 |
% |
|
3/1/30 |
|
|
|
7,392,492 |
|
|
7,514,406 |
|
|
|
|
|
Fannie Mae |
|
6.00 |
% |
|
5/25/31 |
|
|
|
7,232,003 |
|
|
7,310,153 |
|
|
|
|
|
Fannie Mae |
|
6.00 |
% |
|
8/1/36 |
|
|
|
932,859 |
|
|
946,092 |
|
|
|
|
|
Fannie Mae |
|
6.00 |
% |
|
9/1/36 |
|
|
|
2,559,423 |
|
|
2,595,730 |
|
|
|
|
|
Fannie Mae |
|
6.00 |
% |
|
11/1/37 |
|
|
|
1,731,644 |
|
|
1,756,111 |
|
|
|
|
|
Fannie Mae |
|
6.00 |
% |
|
12/1/37 |
|
|
|
862,450 |
|
|
874,636 |
|
|
|
|
|
Fannie Mae |
|
6.00 |
% |
|
5/1/38 |
|
|
|
3,673,031 |
|
|
3,724,929 |
|
|
|
|
|
Fannie Mae |
|
6.50 |
% |
|
2/1/30 |
|
|
|
1,665,934 |
|
|
1,718,602 |
|
|
|
|
|
Fannie Mae |
|
6.50 |
% |
|
2/25/33 |
|
|
|
803,004 |
|
|
823,670 |
|
|
|
|
|
Fannie Mae |
|
6.95 |
% |
|
8/25/21 |
|
|
|
959,823 |
|
|
1,018,073 |
|
| 9.30.08 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 27
|
|
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
|
September 30, 2008 (unaudited) |
3. Investments in Securities (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Description |
|
Rate |
|
Maturity |
|
|
Principal |
|
Market Value |
|
||||
|
|
|
|
Fannie Mae |
|
7.00 |
% |
|
8/25/21 |
|
|
$ |
475,380 |
|
$ |
498,402 |
|
|
|
|
|
Fannie Mae |
|
7.00 |
% |
|
9/25/21 |
|
|
|
857,535 |
|
|
898,634 |
|
|
|
|
|
Fannie Mae |
|
7.00 |
% |
|
11/1/24 |
|
|
|
1,080,869 |
|
|
1,137,914 |
|
|
|
|
|
Fannie Mae |
|
7.50 |
% |
|
2/25/42 |
|
|
|
1,703,190 |
|
|
1,794,098 |
|
|
|
|
|
Fannie Mae |
|
8.00 |
% |
|
8/1/32 |
|
|
|
3,562,292 |
|
|
3,880,265 |
|
|
|
|
|
Freddie Mac |
|
6.50 |
% |
|
10/15/23 |
|
|
|
2,000,000 |
|
|
2,075,558 |
|
|
|
|
|
Freddie Mac |
|
6.50 |
% |
|
4/15/24 |
|
|
|
718,768 |
|
|
748,089 |
|
|
|
|
|
Freddie Mac |
|
6.50 |
% |
|
6/15/31 |
|
|
|
2,513,585 |
|
|
2,594,212 |
|
|
|
|
|
Freddie Mac |
|
6.50 |
% |
|
8/15/31 |
|
|
|
2,884,102 |
|
|
3,008,879 |
|
|
|
|
|
Freddie Mac |
|
6.50 |
% |
|
2/15/32 |
|
|
|
2,482,225 |
|
|
2,555,455 |
|
|
|
|
|
Freddie Mac |
|
6.50 |
% |
|
2/1/34 |
|
|
|
929,077 |
|
|
952,251 |
|
|
|
|
|
Freddie Mac |
|
6.50 |
% |
|
7/1/34 |
|
|
|
2,671,146 |
|
|
2,742,906 |
|
|
|
|
|
Freddie Mac |
|
6.50 |
% |
|
11/1/36 |
|
|
|
193,771 |
|
|
198,967 |
|
|
|
|
|
Freddie Mac |
|
6.50 |
% |
|
4/1/37 |
|
|
|
782,394 |
|
|
803,254 |
|
|
|
|
|
Freddie Mac |
|
6.50 |
% |
|
7/1/37 |
|
|
|
784,607 |
|
|
805,526 |
|
|
|
|
|
Freddie Mac |
|
6.50 |
% |
|
8/1/37 |
|
|
|
238,595 |
|
|
244,956 |
|
|
|
|
|
Freddie Mac |
|
6.50 |
% |
|
9/1/37 |
|
|
|
1,724,758 |
|
|
1,770,743 |
|
|
|
|
|
Freddie Mac |
|
6.50 |
% |
|
11/1/37 |
|
|
|
2,153,698 |
|
|
2,211,120 |
|
|
|
|
|
Freddie Mac |
|
6.50 |
% |
|
12/1/37 |
|
|
|
1,040,784 |
|
|
1,068,533 |
|
|
|
|
|
Freddie Mac |
|
6.50 |
% |
|
1/1/38 |
|
|
|
2,162,421 |
|
|
2,220,076 |
|
|
|
|
|
Freddie Mac |
|
6.50 |
% |
|
2/1/38 |
|
|
|
3,772,088 |
|
|
3,872,659 |
|
|
|
|
|
Freddie Mac |
|
6.50 |
% |
|
3/1/38 |
|
|
|
2,783,484 |
|
|
2,857,697 |
|
|
|
|
|
Freddie Mac |
|
6.50 |
% |
|
4/1/38 |
|
|
|
4,819,189 |
|
|
4,947,678 |
|
|
|
|
|
Freddie Mac |
|
6.50 |
% |
|
5/1/38 |
|
|
|
989,219 |
|
|
1,015,593 |
|
|
|
|
|
Freddie Mac |
|
6.50 |
% |
|
7/1/38 |
|
|
|
984,390 |
|
|
1,010,635 |
|
|
|
|
|
Freddie Mac |
|
7.00 |
% |
|
6/15/31 |
|
|
|
3,665,645 |
|
|
3,840,614 |
|
|
|
|
|
Freddie Mac |
|
7.00 |
% |
|
8/1/36 |
|
|
|
2,144,101 |
|
|
2,216,475 |
|
|
|
|
|
Freddie Mac |
|
7.50 |
% |
|
9/15/30 |
|
|
|
963,850 |
|
|
1,026,073 |
|
|
|
|
|
Freddie Mac |
|
9.475 |
% |
|
8/25/22 |
|
|
|
1,013,629 |
|
|
1,058,493 |
|
|
Goldman Sachs |
|
|
Fannie Mae |
|
6.00 |
% |
|
10/1/35 |
|
|
|
659,677 |
|
|
669,241 |
|
|
|
|
|
Fannie Mae |
|
6.00 |
% |
|
6/1/36 |
|
|
|
60,127 |
|
|
60,980 |
|
|
|
|
|
Fannie Mae |
|
6.00 |
% |
|
7/1/36 |
|
|
|
698,146 |
|
|
708,050 |
|
|
|
|
|
Fannie Mae |
|
6.00 |
% |
|
10/1/36 |
|
|
|
1,241,699 |
|
|
1,259,313 |
|
|
|
|
|
Fannie Mae |
|
6.00 |
% |
|
5/1/37 |
|
|
|
86,076 |
|
|
87,292 |
|
|
|
|
|
Fannie Mae |
|
6.00 |
% |
|
6/1/37 |
|
|
|
25,406 |
|
|
25,765 |
|
|
|
|
|
Fannie Mae |
|
6.00 |
% |
|
11/1/37 |
|
|
|
1,144,886 |
|
|
1,161,062 |
|
|
|
|
|
Fannie Mae |
|
6.00 |
% |
|
1/1/38 |
|
|
|
460,390 |
|
|
466,896 |
|
|
|
|
|
Fannie Mae |
|
6.00 |
% |
|
3/1/38 |
|
|
|
70,823 |
|
|
71,828 |
|
|
|
|
|
Fannie Mae |
|
6.50 |
% |
|
6/1/31 |
|
|
|
9,713 |
|
|
9,971 |
|
|
|
|
|
Fannie Mae |
|
6.50 |
% |
|
9/1/31 |
|
|
|
143,929 |
|
|
147,703 |
|
|
|
|
|
Fannie Mae |
|
6.50 |
% |
|
11/1/31 |
|
|
|
270,024 |
|
|
277,019 |
|
|
|
|
|
Fannie Mae |
|
6.50 |
% |
|
7/1/32 |
|
|
|
459,681 |
|
|
471,014 |
|
|
|
|
|
Fannie Mae |
|
6.50 |
% |
|
9/1/32 |
|
|
|
631,949 |
|
|
644,804 |
|
|
|
|
|
Fannie Mae |
|
6.50 |
% |
|
10/1/33 |
|
|
|
184,358 |
|
|
190,171 |
|
|
|
|
|
Fannie Mae |
|
6.50 |
% |
|
12/1/33 |
|
|
|
490,493 |
|
|
503,199 |
|
|
|
|
|
Fannie Mae |
|
6.676 |
% |
|
11/1/28 |
|
|
|
345,991 |
|
|
357,404 |
|
28 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.08 |
|
|
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
|
September 30, 2008 (unaudited) |
3. Investments in Securities (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Description |
|
Rate |
|
Maturity |
|
Principal |
|
Market Value |
||||
|
|
|
Fannie Mae |
|
7.00 |
% |
2/1/31 |
|
|
$ |
230,574 |
|
$ |
241,592 |
|
|
|
|
Fannie Mae |
|
7.50 |
% |
6/1/32 |
|
|
|
121,284 |
|
|
128,071 |
|
|
|
|
Fannie Mae |
|
7.50 |
% |
10/1/32 |
|
|
|
22,037 |
|
|
23,262 |
|
|
|
|
Freddie Mac |
|
6.50 |
% |
3/1/34 |
|
|
|
344,721 |
|
|
352,673 |
|
|
|
|
Freddie Mac |
|
6.50 |
% |
5/1/34 |
|
|
|
559,090 |
|
|
574,188 |
|
|
|
|
Freddie Mac |
|
6.50 |
% |
7/1/34 |
|
|
|
216,651 |
|
|
221,513 |
|
|
|
|
Freddie Mac |
|
6.50 |
% |
8/1/34 |
|
|
|
151,442 |
|
|
154,778 |
|
|
|
|
Freddie Mac |
|
6.50 |
% |
11/1/34 |
|
|
|
360,494 |
|
|
368,359 |
|
|
|
|
Freddie Mac |
|
6.50 |
% |
11/1/36 |
|
|
|
204,925 |
|
|
210,420 |
|
|
|
|
Freddie Mac |
|
6.50 |
% |
10/1/37 |
|
|
|
567,201 |
|
|
582,324 |
|
|
|
|
Freddie Mac |
|
6.50 |
% |
11/1/37 |
|
|
|
522,802 |
|
|
536,741 |
|
|
|
|
Freddie Mac |
|
6.50 |
% |
12/1/37 |
|
|
|
490,149 |
|
|
503,218 |
|
|
|
|
Freddie Mac |
|
6.50 |
% |
2/1/38 |
|
|
|
152,698 |
|
|
156,769 |
|
|
|
|
Freddie Mac |
|
6.50 |
% |
5/1/38 |
|
|
|
657,742 |
|
|
675,278 |
|
|
|
|
Freddie Mac |
|
8.50 |
% |
5/17/10 |
|
|
|
236,097 |
|
|
240,057 |
|
|
Morgan Stanley |
|
Freddie Mac |
|
6.00 |
% |
10/1/36 |
|
|
|
2,485,643 |
|
|
2,524,399 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
119,227,572 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
4. Income Tax Information
Net investment income and net realized gains differ for financial statement
and federal income tax purposes primarily due to the treatment of amounts
received under swap agreements. For the six months ended September 30, 2008,
the Fund received $7,352,007 from swap agreements, which are treated as net
realized gain for financial statement purposes and as net income for federal
income tax purposes.
The cost basis of portfolio securities of $339,982,865 is substantially the same for both federal income tax and financial reporting purposes. Aggregate gross unrealized appreciation for securities in which there is an excess value over tax cost is $1,869,727; aggregate gross unrealized depreciation for securities in which there is an excess of tax cost over value is $27,682,919; net unrealized depreciation for federal income tax purposes is $25,813,192.
5. Subsequent Dividend Declarations
On October 1, 2008, a dividend of $0.18335 per share was declared to
shareholders payable November 3, 2008 to shareholders of record on October 11,
2008.
On November 3, 2008, a dividend of $0.18335 per share was declared to shareholders payable December 1, 2008 to shareholders of record on November 13, 2008.
6. Legal Proceedings
In June and September 2004, the Investment Manager and certain of its
affiliates (including PEA Capital LLC (“PEA”), Allianz Global Investors
Distributors LLC (“AGID”) and Allianz Global Investors of America L.P.), agreed
to settle, without admitting or denying the allegations, claims brought by the
SEC and the New Jersey Attorney General alleging violations of federal and state
securities laws with respect to certain open-end funds for which the Investment
Manager serves as investment adviser. The settlements related to an alleged
“market timing” arrangement in certain open-end funds formerly sub-advised by
PEA. The Investment Manager and its affiliates agreed to pay a total of $68
million to settle the claims. In addition to monetary payments, the settling
parties agreed to undertake certain corporate governance, compliance and
disclosure reforms related to market timing and consented to cease and desist
orders and censures. Subsequent to these events, PEA deregistered and
dissolved. None of the settlements alleged that any inappropriate activity took
place with respect to the Fund.
Since February 2004, the Investment Manager and certain of its affiliates and their employees have been named as defendants in a number of pending lawsuits concerning “market timing”, which allege the same or similar conduct underlying the regulatory settlements discussed above. The market timing lawsuits have been consolidated in a multi-district litigation proceeding in the U.S. District Court of Maryland. Any potential resolution of these matters may include, but not be limited to, judgments or settlements for damages against the Investment Manager or its affiliates or related injunctions.
| 9.30.08 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 29
|
|
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
|
September 30, 2008 (unaudited) |
6. Legal Proceedings (continued)
The Investment Manager and the Sub-Adviser believe that these matters are not likely to have a material adverse effect on the Fund or on their ability to perform their respective investment advisory activities relating to the Fund.
The foregoing speaks only as of the date hereof.
|
|
30 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.08 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For a share of common stock outstanding throughout each period: |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months |
|
|
|
|
|
|
|
|
|
For the period |
||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
Year ended March 31, |
|
|
|||||||||||
|
|
|
|
|
|
||||||||||||
|
|
|
|
2008 |
|
|
2007 |
|
|
||||||||
|
|
|
|
||||||||||||||
|
Net asset value, beginning of period |
|
$ |
22.88 |
|
|
$ |
27.56 |
|
|
$ |
26.04 |
|
|
$ |
23.88 |
** |
|
|
|
|
||||||||||||||
|
Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
0.49 |
|
|
|
1.22 |
|
|
|
1.04 |
|
|
|
0.80 |
|
|
|
|
|
||||||||||||||
|
Net realized and change in unrealized gain (loss) on investments, futures contracts, options written, swaps, unfunded loan commitments, foreign currency transactions and contingent loss on contractual counterparty agreements |
|
|
(5.35 |
) |
|
|
(2.88 |
) |
|
|
2.92 |
|
|
|
3.52 |
|
|
|
|
|
||||||||||||||
|
Total from investment operations |
|
|
(4.86 |
) |
|
|
(1.66 |
) |
|
|
3.96 |
|
|
|
4.32 |
|
|
|
|
|
||||||||||||||
|
Dividends and Distributions to Shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(1.10 |
) |
|
|
(2.61 |
) |
|
|
(2.24 |
) |
|
|
(2.11 |
) |
|
|
|
|
||||||||||||||
|
Net realized gains |
|
|
— |
|
|
|
(0.41 |
) |
|
|
(0.20 |
) |
|
|
— |
|
|
|
|
|
||||||||||||||
|
Total dividends and distributions to shareholders |
|
|
(1.10 |
) |
|
|
(3.02 |
) |
|
|
(2.44 |
) |
|
|
(2.11 |
) |
|
|
|
|
||||||||||||||
|
Capital Share Transactions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offering costs charged to paid-in capital in excess of par |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(0.05 |
) |
|
|
|
|
||||||||||||||
|
Net asset value, end of period |
|
$ |
16.92 |
|
|
$ |
22.88 |
|
|
$ |
27.56 |
|
|
$ |
26.04 |
|
|
|
|
|
||||||||||||||
|
Market price, end of period |
|
$ |
14.44 |
|
|
$ |
22.20 |
|
|
$ |
27.36 |
|
|
$ |
24.49 |
|
|
|
|
|
||||||||||||||
|
Total Investment Return (1) |
|
|
(31.22 |
)% |
|
|
(8.02 |
)% |
|
|
22.51 |
% |
|
|
6.80 |
% |
|
|
|
|
||||||||||||||
|
RATIOS/SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000) |
|
$ |
158,920 |
|
|
$ |
214,858 |
|
|
$ |
258,779 |
|
|
$ |
242,981 |
|
|
|
|
|
||||||||||||||
|
Ratio of expenses to average net assets, including interest expense (2) |
|
|
2.97 |
%(3) |
|
|
3.14 |
% |
|
|
2.66 |
% |
|
|
1.99 |
%(3) |
|
|
|
|
||||||||||||||
|
Ratio of expenses to average net assets, excluding interest expense (2) |
|
|
1.72 |
%(3) |
|
|
1.51 |
% |
|
|
1.42 |
% |
|
|
1.31 |
%(3) |
|
|
|
|
||||||||||||||
|
Ratio of net investment income to average net assets |
|
|
4.54 |
%(3) |
|
|
4.62 |
% |
|
|
3.91 |
% |
|
|
3.82 |
%(3) |
|
|
|
|
||||||||||||||
|
Portfolio turnover |
|
|
78 |
% |
|
|
156 |
% |
|
|
86 |
% |
|
|
105 |
% |
|
|
|
|
||||||||||||||
|
|
|
|
* |
Commencement of operations. |
|
** |
Initial public offering price of $25.00 per share less underwriting discount of $1.125 per share. |
|
(1) |
Total investment return is calculated assuming a purchase of share of stock at the current market price on the first day of each period and a sale of a share of stock at the current market price on the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s dividend reinvestment plan. Total investment return does not reflect brokerage commissions or sales charges. Total investment return for a period of less than one year is not annualized. |
|
(2) |
Inclusive of expenses offset by custody credits earned on cash balances at the custodian bank. (See note 1(p) in Notes to Financial Statements). |
|
(3) |
Annualized. |
| 9.30.08 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 31
|
|
|
|
|
|
Matters Relating to the Trustees’ |
|
|
|
|
Consideration of the Investment |
|
|
|
Management and Portfolio |
|
|
|
Management Agreements (unaudited) |
The Investment Company Act of 1940 requires that both the full Board of Trustees (the “Trustees”) and a majority of the non-interested (“Independent”) Trustees, voting separately, approve the Fund’s Management Agreements (the “Advisory Agreements”) with the Investment Manager and Portfolio Management Agreement (the “Sub-Advisory Agreement”, and together with the Advisory Agreement, the “Agreements”) between the Investment Manager and the Sub-Adviser. The Trustees met on June 10-11, 2008 (the “contract review meeting”) for the specific purpose of considering whether to approve the Advisory Agreement and the Sub-Advisory Agreement. The Independent Trustees were assisted in their evaluation of the Agreements by independent legal counsel, from whom they received separate legal advice and with whom they met separately from Fund management during the contract review meeting.
Based on their evaluation of factors that they deemed to be material, including those factors described below, the Board of Trustees, including a majority of the Independent Trustees, concluded that the continuation of the Fund’s Advisory Agreements and the Sub-Advisory Agreements should be approved for a one-year period commencing July 1, 2008.
In connection with their deliberations regarding the continuation of the Agreements, the Trustees, including the Independent Trustees, considered such information and factors as they believed, in light of the legal advice furnished to them and their own business judgment, to be relevant. As described below, the Trustees considered the nature, quality, and extent of the various investment management, administrative and other services performed by the Investment Manager or the Sub-Adviser under the applicable Agreements.
In connection with their contract review meeting, the Trustees received and relied upon materials provided by the Investment Manager which included, among other items: (i) information provided by Lipper Inc. (“Lipper”) on the total return investment performance (based on net assets) of the Fund for various time periods and the investment performance of a group of funds with substantially similar investment classifications/objectives as the Fund identified by Lipper and the performance of applicable benchmark indices, (ii) information provided by Lipper on the Fund’s management fees and other expenses and the management fees and other expenses of comparable funds identified by Lipper, (iii) information regarding the investment performance and management fees of portfolios of other clients of the Sub-Adviser (iv) the profitability to the Investment Manager and the Sub-Adviser from their relationship with the Fund for the one-year period ended March 31, 2008, (v) descriptions of various functions performed by the Investment Manager and the Sub-Adviser for the Fund, such as portfolio management, compliance monitoring and portfolio trading practices, and (vi) information regarding the overall organization of the Investment Manager and the Sub-Adviser, including information regarding senior management, portfolio managers and other personnel providing investment management, administrative and other services to the Fund.
The Trustees’ conclusions as to the continuation of the Agreement were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, attributing different weights to various factors.
As part of their review, the Trustees examined each of the Investment Manager’s and the Sub-Adviser’s ability to provide high quality investment management and other services to the Fund. The Trustees considered the investment philosophy and research and decision-making processes of the Sub-Adviser; the experience of key advisory personnel of the Sub-Adviser responsible for portfolio management of the Fund; the ability of the Investment Manager and the Sub-Adviser to attract and retain capable personnel; the capability and integrity of the senior management and staff of the Investment Manager and the Sub-Adviser; and the level of skill required to manage the Fund. In addition, the Trustees reviewed the quality of the Investment Manager’s and the Sub-Adviser’s services with respect to regulatory compliance and compliance with the investment policies of the Fund; the nature and quality of certain administrative services the Investment Manager is responsible for providing to the Fund; and conditions that might affect the Investment Manager’s or the Sub-Adviser’s ability to provide high quality services to the Fund in the future under the Agreements, including each organization’s respective business reputation, financial condition and operational stability. Based on the foregoing, the Trustees concluded that the Sub-Adviser’s investment process, research capabilities and philosophy were well suited to the Fund given their investment objectives and policies, and that the Investment Manager and the Sub-Adviser would be able to continue to meet any reasonably foreseeable obligations under the Agreements.
Based on information provided by Lipper, the Trustees also reviewed the Fund’s total return investment performance as well as the performance of comparable funds identified by Lipper In the course of their deliberations, the Trustees took into account information provided by the Investment Manager in connection with the contract review meeting, as well
32 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.08 |
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PIMCO Global StocksPLUS & Income Fund |
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Matters Relating to the Trustees’ |
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Consideration of the Investment |
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Management and Portfolio |
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Management Agreements (unaudited) |
as during investment review meetings conducted with portfolio management personnel during the course of the year regarding the Fund’s performance.
In assessing the reasonableness of the Fund’s fees under the Agreements, the Trustees considered, among other information, each Fund’s management fee and the total expense ratio as a percentage of average net assets attributable to common shares and the management fee and total expense ratios of comparable funds identified by Lipper.
For the Fund, the Trustees specifically took note of how the Fund compared to its Lipper peers as to performance, management fee expenses and total expenses. The Trustees noted that the Investment Manager had provided a memorandum containing comparative information on the performance and expenses information of the Fund compared to its Lipper peer categories. The Trustees noted that while the Fund is not charged a separate administration fee, it was not clear whether the peer funds in the Lipper categories were charged such a fee by their investment managers.
The Trustees noted that the Fund had outperformed its peer group’s low returns and had underperformed the peer group’s media and high returns for the one-year period ended March 31, 2008. The Trustees also noted that the Fund’s expense ratio was in line with the high for its peer group and was above the median and the low for its peer group.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that they were satisfied with the Investment Manager’s and the Sub-Adviser’s responses and efforts relating to investment performance and the comparative positioning of the Fund with respect to the management fee paid to the Investment Manager.
The Trustees also considered the management fees charged by the Sub-Adviser to other clients. The Trustees noted that the management fees paid by the Fund were generally higher than the fees paid by the open-end funds offered for comparison but were advised that there are additional portfolio management challenges in managing the Fund, such as meeting a regular dividend.
Based on a profitability analysis provided by the Investment Manager, the Trustees also considered the profitability of the Investment Manager and the Sub-Adviser from their relationship with the Fund and determined that such profitability was not excessive.
The Trustees also took into account that, as a closed-end investment company, the Fund does not currently intend to raise additional assets, so the assets of the Fund will grow (if at all) only through the investment performance of the Fund. Therefore, the Trustees did not consider potential economies of scale as a principal factor in assessing the fee rates payable under the Agreements.
Additionally, the Trustees considered so-called “fall-out benefits” to the Investment Manager and the Sub-Adviser, such as reputational value derived from serving as Investment Manager and Sub-Adviser to the Fund.
After reviewing these and other factors described herein, the Trustees concluded with respect to the Fund, within the context of their overall conclusions regarding the Agreements, that the fees payable under the Agreements represent reasonable compensation in light of the nature and quality of the services being provided by the Investment Manager and Sub-Adviser to the Fund.
| 9.30.08 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 33
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Annual Shareholder Meeting |
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Results/Proxy Voting |
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Policies & Procedures (unaudited) |
Annual Shareholder Meeting Results:
The Funds held their annual meeting of shareholders on July 23, 2008. Shareholders voted to re-elect Robert E. Connor and John C. Maney, and to elect Diana L. Taylor as Trustees as indicated below:
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Withheld |
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Affirmative |
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Authority |
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Re-election of Robert E. Connor — Class III to serve until 2011 |
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8,135,329 |
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96,204 |
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Re-election of John C. Maney — Class III to serve until 2011 |
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8,147,594 |
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83,939 |
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Election of Diana L. Taylor — Class II to serve until 2010 |
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8,147,969 |
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83,564 |
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Messrs. Paul Belica, Hans W. Kertess, William B. Ogden, IV, and R. Peter Sullivan II continue to serve as Trustees of the Fund. In May 2008, the Fund’s Board of Trustees appointed Diana L. Taylor as a Trustee. Mr. John J. Dalessandro II served as a Class II Trustee of the Fund until his death on September 14, 2008. |
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Proxy Voting Policies & Procedures:
A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities and information about how the Fund voted proxies relating to portfolio securities held during the most recent twelve month period ended June 30 is available (i) without charge, upon request, by calling the Fund’s shareholder servicing agent at (800) 331-1710; (ii) on the Fund’s website at www.allianzinvestors.com/closedendfunds; and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
34 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.08 |
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Hans W. Kertess |
Brian S. Shlissel |
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Trustee, Chairman of the Board of Trustees |
President & Chief Executive Officer |
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Paul Belica |
Lawrence G. Altadonna |
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Trustee |
Treasurer, Principal Financial & Accounting Officer |
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Robert E. Connor |
Thomas J. Fuccillo |
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Trustee |
Vice President, Secretary & Chief Legal Officer |
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John C. Maney |
Scott Whisten |
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Trustee |
Assistant Treasurer |
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William B. Ogden, IV |
Richard J. Cochran |
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Trustee |
Assistant Treasurer |
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R. Peter Sullivan III |
Youse E. Guia |
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Trustee |
Chief Compliance Officer |
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Diana L. Taylor |
William V. Healey |
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Trustee |
Assistant Secretary |
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Richard H. Kirk |
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Assistant Secretary |
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Kathleen A. Chapman |
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Assistant Secretary |
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Lagan Srivastava |
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Assistant Secretary |
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Investment Manager |
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Allianz Global Investors Fund Management LLC |
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1345 Avenue of the Americas |
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New York, NY 10105 |
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Sub-Adviser |
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Pacific Investment Management Company LLC |
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840 Newport Center Drive |
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Newport Beach, CA 92660 |
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Custodian & Accounting Agent |
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State Street Bank & Trust Co. |
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801 Pennsylvania |
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Kansas City, MO 64105-1307 |
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Transfer Agent, Dividend Paying Agent and Registrar |
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PNC Global Investment Servicing |
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P.O. Box 43027 |
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Providence, RI 02940-3027 |
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Independent Registered Public Accounting Firm |
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PricewaterhouseCoopers LLP |
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300 Madison Avenue |
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New York, NY 10017 |
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Legal Counsel |
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Ropes & Gray LLP |
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One International Place |
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Boston, MA 02110-2624 |
This report, including the financial information herein, is transmitted
to the shareholders of PIMCO Global StocksPLUS & Income Fund for their
information. It is not a prospectus, circular or representation intended for
use in the purchase of shares of the Fund or any securities mentioned in this
report.
The financial information included herein is taken from the records of
the Fund without examination by an independent registered accounting firm, who
did not express an opinion hereon.
Notice is hereby given in accordance with Section 23(c) of the
Investment Company Act of 1940, as amended, that from time to time the Fund may
purchase shares of its common stock in the open market.
The Fund files its complete schedules of portfolio holdings with the
Securities and Exchange Commission (“SEC”) for the first and third quarters of
its fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s
website at www.sec.gov, and may be reviewed and copied at the SEC’s Public Reference
Room in Washington, D.C. Information on the operation of the Public Reference
Room may be obtained by calling (800) SEC-0330. The information on Form N-Q is
also available on the Fund’s website at
www.allianzinvestors.com/closedendfunds.
On July 31, 2008 the Fund submitted a
CEO annual certification to the New York Stock Exchange (‘‘NYSE’’) on which the
Fund’s principal executive officer certified that he was not aware, as of that
date, of any violation by the Fund of the NYSE’s Corporate Governance listing
standards. In addition, as required by Section 302 of the Sarbanes-Oxley Act of
2002 and related SEC rules, the Fund’s principal executive and principal
financial officer made quarterly certifications, included in filings with the
SEC on Forms N-CSR and N-Q relating to, among other things, the Fund’s
disclosure controls and procedures and internal control over financial
reporting, as applicable.
Information on the Fund is available at
www.allianzinvestors.com/closedendfunds or by calling the Fund’s shareholder
servicing agent at (800) 331-1710.
ITEM 2. CODE OF ETHICS
Not required in this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
Not required in this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
Not required in this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANT
Not required in this filing.
ITEM 6. SCHEDULE OF INVESTMENTS
Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not required in this filing.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not required in this filing.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED COMPANIES.
None.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Trustees since the Fund last provided disclosure in response to this item.
ITEM 11. 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))), as amended 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 controls 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. EXHIBITS
| (a) | (1) | Exhibit 99.302 CERT – Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 |
| (b) | Exhibit 99.906 Cert. - Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 | |
Signature
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 and Chief Executive Officer
Date: December 5, 2008
By /s/ Lawrence G. Altadonna
Lawrence G. Altadonna, Treasurer, Principal Financial & Accounting Officer
Date: December 5, 2008
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 and Chief Executive Officer
Date: December 5, 2008
By /s/ Lawrence G. Altadonna
Lawrence G. Altadonna, Treasurer, Principal Financial & Accounting Officer
Date: December 5, 2008