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OMB APPROVAL OMB Number: 3235-0578 Expires: April 30, 2010 Estimated average burden hours per response: 10.5 |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY
SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act File Number: |
811-21734 |
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Registrant Name: |
PIMCO Global StocksPLUS® & Income Fund |
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Address of Principal Executive Offices: |
1345 Avenue of the Americas, |
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New York, NY 10105 |
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Name and Address of Agent for Service: |
Lawrence G. Altadonna |
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1345 Avenue of the Americas, |
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New York, NY 10105 |
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Registrant’s telephone number, including area code: |
212-739-3371 |
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Date of Fiscal Year End: |
March 31, 2010 |
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Date of Reporting Period: |
December 31, 2009 |
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to the collection of information contained in Form N-Q 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 the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-2001. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
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Item 1. Schedule of Investments |
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PIMCO Global StocksPLUS® & Income Fund Schedule of Investments |
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December 31, 2009 (unaudited) |
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|||||||||
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Principal |
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Credit
Rating |
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Value* |
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MORTGAGE-BACKED SECURITIES—65.8% |
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$676 |
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American Home Mortgage Assets, 1.552%, 11/25/46, CMO, FRN |
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Caa1/BB- |
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$317,825 |
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Banc of America Commercial Mortgage, Inc., CMO, VRN (k), |
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2,000 |
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5.333%, 3/11/41 (a)(d) |
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NR/BBB+ |
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1,137,236 |
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2,600 |
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5.889%, 7/10/44 |
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NR/A+ |
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2,371,802 |
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Banc of America Funding Corp., CMO, FRN, |
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449 |
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0.457%, 7/20/36 |
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Ba1/AAA |
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280,349 |
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3,333 |
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5.75%, 3/20/36 |
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Caa1/B |
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2,252,411 |
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3,000 |
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Banc of America Large Loan, Inc., 0.983%, 8/15/29, CMO, FRN (a)(d)(k) |
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Aaa/AA |
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1,838,513 |
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Banc of America Mortgage Securities, Inc., CMO, |
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473 |
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4.444%, 2/25/35, FRN |
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Ba1/NR |
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363,398 |
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479 |
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6.00%, 7/25/46 |
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Baa3/B+ |
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434,148 |
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3,000 |
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BCRR Trust, 5.858%, 7/17/40, CMO, VRN (a)(d)(g)(k) |
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Aaa/NR |
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1,873,539 |
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Bear Stearns Adjustable Rate Mortgage Trust, CMO, VRN, |
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1,862 |
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4.371%, 2/25/34 (k) |
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Aa3/AA |
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1,576,975 |
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2,794 |
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5.937%, 8/25/47 |
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NR/B |
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1,830,542 |
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Bear Stearns Alt-A Trust, CMO, VRN, |
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921 |
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3.163%, 4/25/35 (k) |
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Aa2/AA+ |
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624,633 |
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305 |
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5.126%, 11/25/34 |
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Aa1/AAA |
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257,763 |
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441 |
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5.378%, 9/25/35 |
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Ba1/AA- |
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295,865 |
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Bear Stearns Commercial Mortgage Securities, CMO, VRN, |
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1,000 |
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5.694%, 6/11/50 (k) |
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NR/A+ |
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877,971 |
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1,000 |
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5.703%, 2/11/41 (a)(d) |
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NR/BBB- |
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453,009 |
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Bear Stearns Structured Products, Inc., CMO, VRN, |
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722 |
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5.630%, 1/26/36 |
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B2/A+ |
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446,040 |
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748 |
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5.686%, 12/26/46 |
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Caa1/CCC |
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423,728 |
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1,747 |
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CBA Commercial Small Balance Commercial Mortgage, 5.54%, 1/25/39, CMO (a)(d)(g) |
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A2/BBB- |
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972,240 |
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1,463 |
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Charlotte Gateway Village LLC, 6.41%, 12/1/16, CMO (a)(d)(g) |
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NR/A+ |
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1,309,960 |
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1,600 |
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Chase Commercial Mortgage Securities Corp., 6.65%, 7/15/32, CMO (a)(d) |
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Ba3/NR |
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1,311,532 |
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217 |
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Citigroup Mortgage Loan Trust, Inc., 4.248%, 8/25/35, CMO, FRN |
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A3/AAA |
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193,069 |
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1,015 |
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Citigroup/Deutsche Bank Commercial Mortgage Trust, |
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Aa2/AA |
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565,981 |
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Countrywide Alternative Loan Trust, CMO, |
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1,944 |
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0.443%, 5/20/46, FRN |
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Ba1/CCC |
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944,943 |
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2,391 |
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0.566%, 10/25/35, FRN |
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Ba2/CCC |
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1,250,947 |
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4,756 |
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0.586%, 5/25/36, FRN |
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B3/CCC |
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2,686,558 |
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1,639 |
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5.50%, 8/25/34 |
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NR/AAA |
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886,054 |
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83 |
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5.50%, 2/25/36 |
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B3/CCC |
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45,529 |
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2,034 |
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5.50%, 3/25/36 |
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B3/NR |
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1,474,375 |
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781 |
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5.888%, 2/25/37, VRN |
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NR/CCC |
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534,816 |
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245 |
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6.25%, 9/25/34 |
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A1/AAA |
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206,313 |
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Countrywide Home Loan Mortgage Pass Through Trust, CMO, |
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1,946 |
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0.556%, 3/25/35, FRN (k) |
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A1/AAA |
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1,185,135 |
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333 |
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0.626%, 2/25/35, FRN |
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Ba1/BBB |
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113,509 |
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1,896 |
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5.320%, 10/20/35, VRN (k) |
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Ba3/B |
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1,286,031 |
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402 |
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6.00%, 3/25/36 |
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NR/B- |
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84,041 |
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2,600 |
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Credit Suisse First Boston Mortgage Securities Corp., |
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NR/BBB+ |
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1,632,901 |
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Credit Suisse Mortgage Capital Certificates, CMO, |
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1,100 |
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0.403%, 10/15/21, FRN (a)(d) |
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Aa1/AAA |
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848,604 |
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1,900 |
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5.467%, 9/15/39 (k) |
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Aaa/AAA |
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1,631,938 |
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64 |
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6.00%, 11/25/36 |
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B1/NR |
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52,750 |
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PIMCO Global StocksPLUS® & Income Fund Schedule of Investments |
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December 31, 2009 (unaudited) |
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|||||||||
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Principal |
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Credit
Rating |
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Value* |
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$373 |
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Deutsche ALT-A Securities, Inc. Alternate Loan Trust, |
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Aaa/AAA |
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$360,445 |
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1,253 |
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First Horizon Alternative Mortgage Securities, |
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Ca/CC |
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70,972 |
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First Horizon Asset Securities, Inc., CMO, FRN, |
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2,335 |
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5.121%, 6/25/35 (k) |
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NR/AAA |
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1,965,571 |
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2,908 |
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5.470%, 1/25/37 |
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NR/CCC |
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2,092,454 |
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GE Capital Commercial Mortgage Corp., CMO, VRN, |
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1,000 |
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5.112%, 7/10/45 (a)(d) |
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NR/BB |
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313,283 |
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1,000 |
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5.128%, 5/10/43 |
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NR/BB |
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485,358 |
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621 |
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GMAC Mortgage Corp. Loan Trust, 4.531%, 6/25/34, CMO, FRN |
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NR/AAA |
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500,368 |
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GSR Mortgage Loan Trust, CMO, |
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509 |
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3.336%, 9/25/35, FRN |
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NR/AAA |
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441,815 |
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898 |
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5.50%, 6/25/36 |
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NR/B- |
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788,647 |
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Harborview Mortgage Loan Trust, CMO, FRN, |
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52 |
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0.531%, 4/19/34 |
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Aaa/AAA |
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46,260 |
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2,852 |
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1.231%, 11/25/47 |
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Baa3/B- |
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1,487,997 |
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309 |
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2.538%, 11/19/34 |
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Ba1/B+ |
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167,316 |
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5 |
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Impac CMB Trust, 0.876%, 10/25/33, CMO, FRN |
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A1/A |
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2,831 |
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4,138 |
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Indymac Index Mortgage Loan Trust, 0.506%, 6/25/37, CMO, FRN |
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Caa1/BB- |
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887,294 |
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¥106,336 |
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JLOC Ltd., 0.575%, 2/15/16, CMO, FRN (a)(d) |
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Aaa/AAA |
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794,565 |
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$1,440 |
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JPMorgan Alternative Loan Trust, 7.00%, 12/25/35, CMO |
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NR/CCC |
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1,004,473 |
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JPMorgan Chase Commercial Mortgage Securities Corp., CMO (a)(d), |
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2,000 |
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0.683%, 7/15/19, FRN (k) |
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Aa2/NR |
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1,435,015 |
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1,500 |
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5.293%, 5/15/41, VRN |
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Baa1/NR |
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832,586 |
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JPMorgan Mortgage Trust, CMO, |
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2,528 |
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4.959%, 8/25/35, FRN (k) |
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NR/BB |
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2,053,979 |
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592 |
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4.786%, 4/25/37, VRN |
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B1/B- |
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325,348 |
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2,880 |
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5.768%, 8/25/36, VRN |
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B3/NR |
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2,042,468 |
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1,840 |
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Luminent Mortgage Trust, 0.431%, 10/25/46, CMO, FRN |
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Ba1/A+ |
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992,014 |
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532 |
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MASTR Adjustable Rate Mortgage Trust, 4.099%, 10/25/34, CMO, VRN |
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NR/A |
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414,336 |
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194 |
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Mellon Residential Funding Corp., 0.719%, 6/15/30, CMO, FRN |
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Aaa/AAA |
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163,780 |
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1,000 |
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Merrill Lynch/Countrywide Commercial Mortgage Trust, |
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Aa2/A |
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786,789 |
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|
497 |
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MLCC Mortgage Investors, Inc., 4.25%, 10/25/35, CMO, FRN |
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A1/AAA |
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431,935 |
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Morgan Stanley Capital I, CMO, |
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500 |
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5.207%, 11/14/42, VRN |
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A1/A+ |
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272,808 |
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100 |
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5.379%, 8/13/42, VRN (a)(d) |
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NR/A- |
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41,883 |
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1,000 |
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5.569%, 12/15/44 (k) |
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NR/A+ |
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820,222 |
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1,300 |
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5.809%, 12/12/49 (k) |
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NR/A+ |
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1,110,952 |
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|
392 |
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Morgan Stanley Mortgage Loan Trust, 3.386%, 10/25/34, CMO, VRN |
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Baa1/A+ |
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305,703 |
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3,000 |
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RBSCF Trust, 6.068%, 2/17/51, CMO, VRN (a)(d)(g)(k) |
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NR/NR |
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1,616,220 |
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Structured Adjustable Rate Mortgage Loan Trust, CMO, |
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607 |
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1.636%, 5/25/35, FRN |
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B3/CCC |
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265,208 |
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296 |
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5.624%, 9/25/35, VRN |
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Ba1/BBB |
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210,513 |
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|
781 |
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Structured Asset Mortgage Investments, Inc., |
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Ba3/CCC |
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424,394 |
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Wachovia Bank Commercial Mortgage Trust, CMO, |
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2,000 |
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0.353%, 9/15/21, FRN (a)(d)(k) |
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A1/A+ |
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1,361,619 |
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1,020 |
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4.982%, 2/15/35 (a)(d) |
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NR/BBB |
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591,486 |
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1,500 |
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5.359%, 1/15/41, VRN (a)(d) |
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Baa2/BBB |
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600,159 |
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|
725 |
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5.509%, 4/15/47 |
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Aaa/BBB+ |
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583,649 |
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2,500 |
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5.902%, 2/15/51, VRN (k) |
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Aaa/BBB |
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2,014,147 |
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PIMCO Global StocksPLUS® & Income Fund Schedule of Investments |
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December 31, 2009 (unaudited) |
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Principal |
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Credit
Rating |
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Value* |
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WaMu Mortgage Pass Through Certificates, CMO, FRN, |
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$316 |
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0.521%, 7/25/45 |
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Aaa/AAA |
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$231,362 |
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|
|
1,936 |
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0.521%, 10/25/45 (k) |
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Aa2/AAA |
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|
1,389,356 |
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|
|
2,065 |
|
0.551%, 7/25/45 (k) |
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Aaa/AAA |
|
|
1,533,043 |
|
|
|
275 |
|
1.274%, 1/25/47 |
|
Caa1/CCC |
|
|
167,755 |
|
|
|
4,907 |
|
Washington Mutual Alternative Mortgage Pass Through
Certificates, |
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Ca/CC |
|
|
1,220,113 |
|
|
|
1,280 |
|
Washington Mutual Alternative Mortgage Pass-Through
Certificates, |
|
Baa3/AAA |
|
|
756,538 |
|
|
|
|
|
Wells Fargo Mortgage Backed Securities Trust, CMO, |
|
|
|
|
|
|
|
|
1,332 |
|
5.312%, 5/25/35, FRN |
|
B3/AAA |
|
|
1,141,854 |
|
|
|
310 |
|
5.50%, 1/25/36 |
|
Ba1/NR |
|
|
272,538 |
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|
|
|
|
|
|
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|
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Total Mortgage-Backed Securities (cost—$72,983,893) |
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|
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74,692,394 |
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|||
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CORPORATE BONDS & NOTES—64.7% |
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|||
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Airlines—4.6% |
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|
|
|
|
|
|||
|
|
1,000 |
|
American Airlines, Inc., 10.50%, 10/15/12 (a)(d)(k) |
|
B2/B |
|
|
1,050,000 |
|
|
|
1,359 |
|
Northwest Airlines, Inc., 1.019%, 5/20/14, FRN (MBIA) (k) |
|
Baa2/BBB- |
|
|
1,141,589 |
|
|
|
1,000 |
|
United Air Lines, Inc., 10.40%, 5/1/18 (k) |
|
Ba1/BBB |
|
|
1,053,750 |
|
|
|
2,276 |
|
United Air Lines Pass Through Trust, 6.636%, 1/2/24 (k) |
|
Ba1/BB+ |
|
|
1,934,284 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,179,623 |
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|
|
|
|
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|||
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Automotive—0.1% |
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|
|
|
|
|
|||
|
|
100 |
|
Tenneco, Inc., 8.625%, 11/15/14 (k) |
|
Caa2/CCC |
|
|
101,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
Banking—4.8% |
|
|
|
|
|
|
|||
|
|
1,600 |
|
Rabobank Nederland NV, 11.00%, 6/30/19 (a)(d)(h)(k) |
|
Aa2/AA- |
|
|
1,956,224 |
|
|
|
2,000 |
|
Regions Financial Corp., 7.75%, 11/10/14 (k) |
|
Baa3/BBB |
|
|
1,974,402 |
|
|
|
1,500 |
|
UBS AG, 5.875%, 12/20/17 (k) |
|
Aa3/A+ |
|
|
1,543,976 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
5,474,602 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Services—28.2% |
|
|
|
|
|
|
|||
|
|
2,700 |
|
C10 Capital SPV Ltd., 6.722%, 12/31/16 (h) |
|
NR/B- |
|
|
1,908,071 |
|
|
|
|
|
CIT Group, Inc., |
|
|
|
|
|
|
|
|
302 |
|
7.00%, 5/1/13 |
|
NR/NR |
|
|
284,261 |
|
|
|
453 |
|
7.00%, 5/1/14 |
|
NR/NR |
|
|
422,423 |
|
|
|
454 |
|
7.00%, 5/1/15 |
|
NR/NR |
|
|
408,247 |
|
|
|
756 |
|
7.00%, 5/1/16 |
|
NR/NR |
|
|
669,072 |
|
|
|
1,058 |
|
7.00%, 5/1/17 |
|
NR/NR |
|
|
923,473 |
|
|
|
1,200 |
|
Citigroup Capital XXI, 8.30%, 12/21/77, (converts to FRN on 12/21/37) (k) |
|
Baa3/B+ |
|
|
1,161,000 |
|
|
|
|
|
Ford Motor Credit Co. LLC (k), |
|
|
|
|
|
|
|
|
2,120 |
|
3.034%, 1/13/12, FRN |
|
B3/B- |
|
|
1,974,250 |
|
|
|
3,000 |
|
5.504%, 6/15/11, FRN |
|
B3/B- |
|
|
2,973,750 |
|
|
|
1,300 |
|
7.25%, 10/25/11 |
|
B3/B- |
|
|
1,313,408 |
|
|
|
1,000 |
|
7.375%, 2/1/11 |
|
B3/B- |
|
|
1,020,646 |
|
|
|
2,300 |
|
7.50%, 8/1/12 |
|
B3/B- |
|
|
2,320,790 |
|
|
|
400 |
|
8.00%, 6/1/14 |
|
B3/B- |
|
|
411,092 |
|
|
|
3,850 |
|
8.00%, 12/15/16 |
|
B3/B- |
|
|
3,860,179 |
|
|
|
€4,600 |
|
General Electric Capital Corp., |
|
Aa3/A+ |
|
|
5,015,883 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PIMCO Global StocksPLUS® & Income Fund Schedule of Investments |
|
December 31, 2009 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
Credit
Rating |
|
Value* |
|
||
|
|
|||||||||
|
Financial Services (continued) |
|
|
|
|
|
|
|||
|
|
|
|
International Lease Finance Corp. (k), |
|
|
|
|
|
|
|
|
$2,100 |
|
4.95%, 2/1/11 |
|
B1/BBB+ |
|
|
$1,944,149 |
|
|
|
3,000 |
|
6.625%, 11/15/13 |
|
B1/BBB+ |
|
|
2,416,893 |
|
|
|
2,000 |
|
Osiris Capital PLC, 5.284%, 7/15/12, FRN (a)(b)(d)(l) |
|
Ba1/BB+ |
|
|
1,999,920 |
|
|
|
1,000 |
|
SLM Corp., 8.45%, 6/15/18 (k) |
|
Ba1/BBB- |
|
|
988,217 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,015,724 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing—2.2% |
|
|
|
|
|
|
|||
|
|
2,709 |
|
CVS Pass-Through Trust, 5.88%, 1/10/28 (k) |
|
Baa2/BBB+ |
|
|
2,541,019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Healthcare & Hospitals—4.8% |
|
|
|
|
|
|
|||
|
|
3,000 |
|
Biomet, Inc., 11.625%, 10/15/17 |
|
Caa1/B- |
|
|
3,330,000 |
|
|
|
2,000 |
|
HCA, Inc., 9.25%, 11/15/16 (k) |
|
B2/BB- |
|
|
2,152,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,482,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance—6.9% |
|
|
|
|
|
|
|||
|
|
|
|
American International Group, Inc. (k), |
|
|
|
|
|
|
|
|
4,500 |
|
0.394%, 10/18/11, FRN |
|
A3/A- |
|
|
4,070,340 |
|
|
|
4,565 |
|
5.60%, 10/18/16 |
|
A3/A- |
|
|
3,782,778 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,853,118 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials & Processing—2.1% |
|
|
|
|
|
|
|||
|
|
2,000 |
|
Teck Resources Ltd., 10.25%, 5/15/16 (k) |
|
Ba2/BB+ |
|
|
2,340,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas—5.7% |
|
|
|
|
|
|
|||
|
|
3,000 |
|
Kinder Morgan Energy Partners L.P., 6.50%, 9/1/39 (k) |
|
Baa2/BBB |
|
|
3,033,390 |
|
|
|
3,000 |
|
Quicksilver Resources, Inc., 11.75%, 1/1/16 |
|
B2/B |
|
|
3,420,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,453,390 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail—2.4% |
|
|
|
|
|
|
|||
|
|
3,000 |
|
New Albertson’s, Inc., 8.00%, 5/1/31 (k) |
|
Ba3/B+ |
|
|
2,737,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunications—1.9% |
|
|
|
|
|
|
|||
|
|
2,000 |
|
Wind Acquisition Finance S.A., 11.75%, 7/15/17 (a)(d)(k) |
|
B2/B+ |
|
|
2,195,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transportation—1.0% |
|
|
|
|
|
|
|||
|
|
1,075 |
|
Navios Maritime Holdings, Inc., 8.875%, 11/1/17 (a)(d) |
|
Ba3/BB- |
|
|
1,122,031 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds & Notes (cost—$69,895,328) |
|
|
|
|
73,495,882 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. GOVERNMENT AGENCY SECURITIES—63.7% |
|
|
|
|
|
|
|||
|
|
|
|
Fannie Mae—62.9% |
|
|
|
|
|
|
|
|
3,124 |
|
4.50%, 8/1/39, MBS (k) |
|
Aaa/AAA |
|
|
3,122,582 |
|
|
|
2,862 |
|
4.50%, 10/1/39, MBS (k) |
|
Aaa/AAA |
|
|
2,860,205 |
|
|
|
11,563 |
|
6.00%, 8/1/34, MBS (k) |
|
Aaa/AAA |
|
|
12,334,126 |
|
|
|
2,438 |
|
6.00%, 11/1/34, MBS (k) |
|
Aaa/AAA |
|
|
2,600,371 |
|
|
|
3,899 |
|
6.00%, 12/1/34, MBS (k) |
|
Aaa/AAA |
|
|
4,159,413 |
|
|
|
2,748 |
|
6.00%, 11/1/36, MBS (k) |
|
Aaa/AAA |
|
|
2,919,116 |
|
|
|
986 |
|
6.00%, 12/1/37, MBS (k) |
|
Aaa/AAA |
|
|
1,045,746 |
|
|
|
1,193 |
|
6.00%, 3/1/38, MBS (k) |
|
Aaa/AAA |
|
|
1,265,479 |
|
|
|
32 |
|
6.00%, 6/1/38, MBS (k) |
|
Aaa/AAA |
|
|
33,668 |
|
|
|
1,382 |
|
6.00%, 7/1/38, MBS (k) |
|
Aaa/AAA |
|
|
1,465,473 |
|
|
|
5,435 |
|
6.00%, 8/1/38, MBS (k) |
|
Aaa/AAA |
|
|
5,763,325 |
|
|
|
13,952 |
|
6.00%, 9/1/38, MBS (k) |
|
Aaa/AAA |
|
|
14,793,431 |
|
|
|
|
PIMCO Global StocksPLUS® & Income Fund Schedule of Investments |
|
December 31, 2009 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
Credit
Rating |
|
Value* |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
$4,569 |
|
6.00%, 10/1/38, MBS (k) |
|
Aaa/AAA |
|
|
$4,844,809 |
|
|
|
2,399 |
|
6.00%, 11/1/38, MBS (k) |
|
Aaa/AAA |
|
|
2,543,521 |
|
|
|
335 |
|
6.00%, 12/1/38, MBS (k) |
|
Aaa/AAA |
|
|
355,194 |
|
|
|
8,900 |
|
6.00%, 1/1/39, MBS (k) |
|
Aaa/AAA |
|
|
9,436,678 |
|
|
|
183 |
|
6.00%, 2/1/39, MBS (k) |
|
Aaa/AAA |
|
|
193,710 |
|
|
|
179 |
|
7.00%, 12/25/23, CMO (k) |
|
Aaa/AAA |
|
|
198,600 |
|
|
|
119 |
|
7.50%, 6/1/32, MBS (k) |
|
Aaa/AAA |
|
|
130,568 |
|
|
|
72 |
|
7.80%, 6/25/26, ABS, VRN |
|
Aaa/AAA |
|
|
74,739 |
|
|
|
282 |
|
10.145%, 12/25/42, CMO, VRN (k) |
|
Aaa/AAA |
|
|
306,100 |
|
|
|
838 |
|
13.85%, 8/25/22, CMO, FRN (b)(d)(k) |
|
Aaa/AAA |
|
|
936,405 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
71,383,259 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Freddie Mac—0.8% |
|
|
|
|
|
|
|
|
552 |
|
0.141%, 2/1/11, FRN (i) |
|
Aaa/AAA |
|
|
551,785 |
|
|
|
174 |
|
0.327%, 3/9/11, FRN (i) |
|
Aaa/AAA |
|
|
174,336 |
|
|
|
127 |
|
0.381%, 4/1/11, FRN (i) |
|
Aaa/AAA |
|
|
127,228 |
|
|
|
32 |
|
7.00%, 8/15/23, CMO (k) |
|
Aaa/AAA |
|
|
34,466 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
887,815 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Government Agency Securities (cost—$71,717,752) |
|
|
|
|
72,271,074 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES—11.0% |
|
|
|
|
|
|
|||
|
|
1,394 |
|
Aircraft Certificate Owner Trust, 6.455%, 9/20/22 (a)(d) |
|
Ba3/BB+ |
|
|
1,157,034 |
|
|
|
720 |
|
Ameriquest Mortgage Securities, Inc., 5.856%, 2/25/33, FRN (f) |
|
Ca/D |
|
|
42,864 |
|
|
|
920 |
|
Conseco Financial Corp., 6.53%, 4/1/30, VRN |
|
Ba3/NR |
|
|
850,559 |
|
|
|
370 |
|
Denver Arena Trust, 6.94%, 11/15/19 (a)(d) |
|
NR/NR |
|
|
327,877 |
|
|
|
489 |
|
EMC Mortgage Loan Trust, 0.701%, 5/25/39, FRN (a)(d) |
|
Aaa/NR |
|
|
369,739 |
|
|
|
351 |
|
HSI Asset Securitization Corp Trust, 0.291%, 5/25/37, FRN |
|
Ba3/AA |
|
|
329,299 |
|
|
|
2,956 |
|
Loomis Sayles CBO, 0.512%, 10/26/20, FRN (a)(d) |
|
Aa1/AAA |
|
|
2,602,670 |
|
|
|
1,030 |
|
MASTR Asset Backed Securities Trust, 5.233%, 11/25/35 |
|
Ba2/AAA |
|
|
909,224 |
|
|
|
678 |
|
Morgan Stanley ABS Capital I, 0.291%, 5/25/37, FRN |
|
Baa2/BBB+ |
|
|
537,866 |
|
|
|
5,000 |
|
Origen Manufactured Housing, 7.65%, 3/15/32 (k) |
|
B2/NR |
|
|
4,781,194 |
|
|
|
192 |
|
Residential Asset Mortgage Products, Inc., 5.572%, 6/25/32, VRN |
|
Aa3/BB |
|
|
139,636 |
|
|
|
618 |
|
Washington Mutual Asset-Backed Certificates, 0.291%, 10/25/36, FRN |
|
Ba3/CCC |
|
|
428,083 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset-Backed Securities (cost—$12,115,790) |
|
|
|
|
12,476,045 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. TREASURY BONDS & NOTES (i)—10.3% |
|
|
|
|
|
|
|||
|
|
|
|
U.S. Treasury Bonds & Notes, |
|
|
|
|
|
|
|
|
397 |
|
0.875%, 4/30/11 |
|
|
|
|
397,652 |
|
|
|
494 |
|
0.875%, 5/31/11 |
|
|
|
|
494,753 |
|
|
|
3,932 |
|
1.00%, 7/31/11 |
|
|
|
|
3,939,219 |
|
|
|
60 |
|
1.00%, 8/31/11 |
|
|
|
|
60,049 |
|
|
|
5,258 |
|
1.00%, 9/30/11 (e)(k) |
|
|
|
|
5,258,210 |
|
|
|
1,513 |
|
1.00%, 10/31/11 |
|
|
|
|
1,512,112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Treasury Bonds & Notes (cost—$11,687,724) |
|
|
|
|
11,661,995 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SENIOR LOANS (a)(c)—1.6% |
|
|
|
|
|
|
|||
|
Automotive Products—1.6% |
|
|
|
|
|
|
|||
|
|
|
|
Ford Motor Corp., Term B, |
|
|
|
|
|
|
|
|
112 |
|
3.24%, 12/15/13 |
|
|
|
|
103,861 |
|
|
|
1,821 |
|
3.29%, 12/15/13 |
|
|
|
|
1,691,955 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Senior Loans (cost—$1,932,717) |
|
|
|
|
1,795,816 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MUNICIPAL BONDS & NOTES—1.4% |
|
|
|
|
|
|
|||
|
West Virginia—1.4% |
|
|
|
|
|
|
|||
|
|
1,920 |
|
Tobacco Settlement Finance Auth.
Rev., 7.467%, 6/1/47, Ser. A |
|
Baa3/BBB |
|
|
1,536,019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PIMCO Global StocksPLUS® & Income Fund Schedule of Investments |
|
December 31, 2009 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
Credit
Rating |
|
Value* |
|
||
|
|
|
|
|
|
|
|
|
||
|
COMMON STOCK—0.6% |
|
|
|
|
|
|
|||
|
Financial Services—0.6% |
|
|
|
|
|
|
|||
|
|
26,029 |
|
CIT Group, Inc. (j) (cost—$496,153) |
|
|
|
|
$718,661 |
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS—10.8% |
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Notes—2.9% |
|
|
|
|
|
|
|||
|
Financial Services—2.0% |
|
|
|
|
|
|
|||
|
|
|
|
International Lease Finance Corp., |
|
|
|
|
|
|
|
|
$1,700 |
|
0.482%, 5/24/10, FRN |
|
B1/BBB+ |
|
|
1,652,966 |
|
|
|
700 |
|
4.875%, 9/1/10 |
|
B1/BBB+ |
|
|
672,480 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,325,446 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance—0.9% |
|
|
|
|
|
|
|||
|
|
1,000 |
|
Foundation Re II Ltd., 7.023%, 11/26/10, FRN (a)(b)(d)(l) |
|
NR/BB+ |
|
|
991,153 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Notes (cost—$3,335,146) |
|
|
|
|
3,316,599 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Bills (i)—1.1% |
|
|
|
|
|
|
|||
|
|
1,254 |
|
0.14%-0.26%, 2/25/10-3/25/10 (cost—$1,253,586) |
|
|
|
|
1,253,598 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Agency Securities—0.0% |
|
|
|
|
|
|
|||
|
|
1 |
|
Freddie Mac, 8.50%, 5/17/10, MBS (cost—$1,440) |
|
Aaa/AAA |
|
|
1,410 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements—6.8% |
|
|
|
|
|
|
|||
|
|
7,200 |
|
JPMorgan Securities, Inc., |
|
|
|
|
7,200,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
557 |
|
State Street Bank & Trust Co., |
|
|
|
|
557,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Repurchase Agreements (cost—$7,757,000) |
|
|
|
|
7,757,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments (cost—$12,347,172) |
|
|
|
|
12,328,607 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OPTIONS PURCHASED (j)—0.1% |
|
|
|
|
|
|
|||
|
|
|
|
Put Options—0.1% |
|
|
|
|
|
|
|
|
|
|
S+P 500 Index Futures (CBOE), |
|
|
|
|
|
|
|
|
178 |
|
strike price $1,040, expires 1/15/10 (cost—$428,168) |
|
|
|
|
124,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Investments before options written |
|
|
|
|
261,101,093 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PIMCO Global StocksPLUS® & Income Fund Schedule of Investments |
|
December 31, 2009 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
|
|
|
|
Value* |
|
||
|
|
|
|
|
|
|
|
|
||
|
OPTIONS WRITTEN (j)—(1.0)% |
|
|
|
|
|
|
|||
|
|
|
|
Call Options—(1.0)% |
|
|
|
|
|
|
|
|
|
|
S+P 500 Index Futures (CBOE), |
|
|
|
|
|
|
|
|
178 |
|
strike price $1,095, expires 1/15/10 (premiums received—$1,016,982) |
|
|
|
|
$(1,152,550 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments net of options written (cost—$254,393,607)—229.0% |
|
|
|
|
259,948,543 |
|
|
|
|
|
Other liabilities in excess of other assets—(129.0%) |
|
|
|
|
(146,411,871 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets—100% |
|
|
|
|
$113,536,672 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notes to Schedule of Investments: |
|
|
|
|
|
* |
Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is generally determined on the basis of last reported sales prices, or if no sales are reported, on the basis of quotes obtained from a quotation reporting system, established market makers, or independent pricing services. |
|
|
|
|
|
Portfolio securities and other financial instruments for which market quotations are not readily available or for which 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 are valued daily using prices supplied by an independent pricing service or dealer quotations, or by using the last sale price on the exchange that is the primary market for such securities, or the mean between the last quoted bid and ask price for those securities for which the over-the-counter market is the primary market or for listed securities in which there were no sales. 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 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. |
|
|
|
|
|
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. The Fund’s NAV is normally determined as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the NYSE on each day the NYSE is open for business. |
|
|
|
|
(a) |
Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $39,547,697, representing 34.8% of net assets. |
|
|
|
|
(b) |
Illiquid. |
|
|
|
|
(c) |
These securities generally pay interest at rates which are periodically pre-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the “LIBOR” or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. These securities are generally considered to be restricted as the Fund is ordinarily contractually obligated to receive approval from the Agent bank and/or borrower prior to disposition. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional payments by the borrower. Such prepayments cannot be predicted with certainty. The interest rate disclosed reflects the rate in effect on December 31, 2009. |
|
|
|
|
(d) |
144A—Exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid. |
|
|
|
|
(e) |
Delayed-delivery. To be settled/delivered after December 31, 2009. |
|
|
|
|
(f) |
In default. |
|
|
|
|
(g) |
Fair-Valued—Securities with an aggregate value of $5,771,959, representing 5.1% of net assets. |
|
|
|
|
(h) |
Perpetual maturity. Maturity date shown is the first call date. Interest rate is fixed until the first call date and variable thereafter. |
|
|
|
|
(i) |
All or partial amount segregated as collateral for futures contracts, options written and swaps. |
|
|
|
|
|
|
|
(j) |
Non-income producing. |
|
|
|
|
(k) |
All or partial amount segregated as collateral for reverse repurchase agreements. |
|
|
|
|
(l) |
Restricted. The aggregate acquisition cost of such securities is $3,000,000. The aggregate market value of $2,991,073 is approximately 2.6% of net assets. |
|
|
|
Glossary: |
|
|
|
ABS—Asset Backed Securities |
|
CBOE—Chicago Board Options Exchange |
|
CMO—Collateralized Mortgage Obligation |
|
€—Euro |
|
FRN—Floating Rate Note. The interest rate disclosed reflects the rate in effect on December 31, 2009. |
|
¥—Japanese Yen |
|
LIBOR—London Inter-Bank Offered Rate |
|
MBIA—insured by Municipal Bond Investors Assurance |
|
MBS—Mortgage-Backed Securities |
|
NR—Not Rated |
|
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 December 31, 2009. |
Other Investments:
(A) Futures contracts outstanding at December 31, 2009:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type |
|
|
Contracts |
|
|
Market |
|
|
Expiration |
|
|
Unrealized |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long: |
|
|
E-mini S&P 500 Index |
|
|
545 |
|
|
$30,267 |
|
|
3/19/10 |
|
|
$198,173 |
|
|
|
|
|
S&P 500 Index |
|
|
101 |
|
|
28,045 |
|
|
3/18/10 |
|
|
103,062 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$301,235 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Fund pledged cash collateral of $16,000 for futures contracts.
(B) Transactions in options written for the nine months ended December 31, 2009:
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
|
Premiums |
|
|
|
|
|
|
|
|
|
|
|
Options outstanding, March 31, 2009 |
|
|
155 |
|
|
$1,239,419 |
|
|
Options written |
|
|
1,621 |
|
|
10,637,131 |
|
|
Options terminated in closing transactions |
|
|
(1,598 |
) |
|
(10,859,568 |
) |
|
|
|
|
|
|
|
|
|
|
Options outstanding, December 31, 2009 |
|
|
178 |
|
|
$1,016,982 |
|
|
|
|
|
|
|
|
|
|
(C) Credit Default swap agreements:
Buy Protection swap agreements outstanding at December 31, 2009 (1):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap
Counterparty/ |
|
Notional Amount |
|
Credit |
|
Termination |
|
Payments |
|
Market |
|
Upfront |
|
Unrealized |
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Citigroup: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
CIFC |
|
|
|
$1,000 |
|
|
|
† |
|
|
10/20/20 |
|
(2.15 |
)% |
|
|
$460,961 |
|
|
— |
|
|
$460,961 |
|
|
Goldman Sachs: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CIFC |
|
|
|
478 |
|
|
|
† |
|
|
10/20/20 |
|
(4.50 |
)% |
|
|
234,235 |
|
|
— |
|
|
234,235 |
|
|
TELOS |
|
|
|
1,500 |
|
|
|
16.84 |
% |
|
10/11/21 |
|
(5.00 |
)% |
|
|
700,852 |
|
|
— |
|
|
700,852 |
|
|
JPMorgan Chase: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Indymac Home Equity Loan |
|
|
|
1,379 |
|
|
|
12.50 |
% |
|
6/25/30 |
|
(0.45 |
)% |
|
|
613,766 |
|
|
— |
|
|
613,766 |
|
|
Morgan Stanley: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aegis Asset Backed Securities Trust |
|
|
|
1,272 |
|
|
|
99.87 |
% |
|
6/25/34 |
|
(1.15 |
)% |
|
|
1,108,167 |
|
|
— |
|
|
1,108,167 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$3,117,981 |
|
|
— |
|
|
$3,117,981 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sell Protection swap agreements outstanding at December 31, 2009 (2):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap
Counterparty/ |
|
Notional Amount |
|
Credit |
|
Termination |
|
Payments |
|
Market |
|
Upfront |
|
Unrealized |
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Bank of America: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long Beach Mortgage Loan Trust |
|
|
$ |
738 |
|
|
|
|
† |
|
7/25/33 |
|
6.25 |
% |
|
|
$(699,373 |
) |
|
— |
|
|
$(699,373 |
) |
|
SLM |
|
|
|
5,000 |
|
|
|
3.75 |
% |
|
12/20/10 |
|
5.00 |
% |
|
|
69,026 |
|
|
$(437,500 |
) |
|
506,526 |
|
|
Barclays Bank: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dow Jones CDX HY-8 Index 35-100% |
|
|
|
2,407 |
|
|
|
0.37 |
% |
|
6/20/12 |
|
0.79 |
% |
|
|
25,417 |
|
|
— |
|
|
25,417 |
|
|
RSHB Capital |
|
|
|
4,900 |
|
|
|
1.72 |
% |
|
7/20/11 |
|
1.65 |
% |
|
|
32,093 |
|
|
— |
|
|
32,093 |
|
|
Citigroup: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dow Jones CDX HY-8 Index 35-100% |
|
|
|
1,444 |
|
|
|
0.37 |
% |
|
6/20/12 |
|
0.63 |
% |
|
|
9,643 |
|
|
— |
|
|
9,643 |
|
|
General Electric |
|
|
|
2,100 |
|
|
|
1.59 |
% |
|
12/20/13 |
|
4.65 |
% |
|
|
241,346 |
|
|
— |
|
|
241,346 |
|
|
SLM |
|
|
|
2,000 |
|
|
|
4.98 |
% |
|
12/20/13 |
|
5.00 |
% |
|
|
5,172 |
|
|
(315,000 |
) |
|
320,172 |
|
|
Deutsche Bank: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
American International Group |
|
|
|
2,000 |
|
|
|
5.68 |
% |
|
3/20/13 |
|
2.10 |
% |
|
|
(199,104 |
) |
|
— |
|
|
(199,104 |
) |
|
General Electric |
|
|
|
1,300 |
|
|
|
1.59 |
% |
|
12/20/13 |
|
4.70 |
% |
|
|
151,832 |
|
|
— |
|
|
151,832 |
|
|
SLM |
|
|
|
1,200 |
|
|
|
4.98 |
% |
|
12/20/13 |
|
5.00 |
% |
|
|
3,103 |
|
|
(168,000 |
) |
|
171,103 |
|
|
Merrill Lynch & Co.: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ABX Home Equity Index 06-2 |
|
|
|
993 |
|
|
|
33.73 |
% |
|
5/25/46 |
|
0.11 |
% |
|
|
(541,190 |
) |
|
(178,655 |
) |
|
(362,535 |
) |
|
American Express |
|
|
|
1,000 |
|
|
|
0.79 |
% |
|
12/20/13 |
|
4.40 |
% |
|
|
138,749 |
|
|
— |
|
|
138,749 |
|
|
Dow Jones CDX HY-8 Index 35-100% |
|
|
|
2,407 |
|
|
|
0.37 |
% |
|
6/20/12 |
|
0.91 |
% |
|
|
32,738 |
|
|
— |
|
|
32,738 |
|
|
SLM |
|
|
|
1,000 |
|
|
|
4.98 |
% |
|
12/20/13 |
|
5.00 |
% |
|
|
2,586 |
|
|
(140,000 |
) |
|
142,586 |
|
|
Morgan Stanley: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Indymac Home Equity Loan |
|
|
|
1,379 |
|
|
|
12.50 |
% |
|
6/25/30 |
|
1.82 |
% |
|
|
(542,066 |
) |
|
— |
|
|
(542,066 |
) |
|
Morgan Stanley Dean Witter |
|
|
|
272 |
|
|
|
228.85 |
% |
|
8/25/32 |
|
3.23 |
% |
|
|
(262,479 |
) |
|
(5,112 |
) |
|
(257,367 |
) |
|
UBS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aegis Asset Backed Securities Trust |
|
|
|
1,273 |
|
|
|
99.87 |
% |
|
6/25/34 |
|
1.50 |
% |
|
|
(1,103,737 |
) |
|
— |
|
|
(1,103,737 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$(2,636,244 |
) |
|
$(1,244,267 |
) |
|
$(1,391,977 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
† Credit spread not quoted for asset-backed securities.
(1) If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities compromising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.
(2) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.
(3) Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
(4) The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
(5) The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the status at December 31, 2009 of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
(D) Interest rate swap agreements outstanding at December 31, 2009:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rate Type |
|
|
|
Upfront |
|
Unrealized |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Swap Counterparty |
|
Notional Amount |
|
Termination |
|
Payments Made |
|
Payments Received |
|
Market |
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston |
|
$80,000 |
|
6/17/29 |
|
3-Month USD-LIBOR |
|
4.60% |
|
$1,686,036 |
|
$(360,000 |
) |
$2,046,036 |
|
|
Credit Suisse First Boston |
|
80,000 |
|
12/16/29 |
|
4.00% |
|
3-Month USD-LIBOR |
|
4,864,094 |
|
8,160,000 |
|
(3,295,906 |
) |
|
Deutsche Bank |
|
50,000 |
|
9/22/16 |
|
3-Month USD-LIBOR |
|
3.30% |
|
(32,268 |
) |
— |
|
(32,268 |
) |
|
Deutsche Bank |
|
50,000 |
|
12/16/16 |
|
4.00% |
|
3-Month USD-LIBOR |
|
954,623 |
|
568,000 |
|
386,623 |
|
|
Morgan Stanley |
|
69,000 |
|
6/16/12 |
|
3-Month USD-LIBOR |
|
3.00% |
|
1,255,443 |
|
662,400 |
|
593,043 |
|
|
Royal Bank of Scotland |
|
20,300 |
|
12/16/29 |
|
4.00% |
|
3-Month USD-LIBOR |
|
1,234,264 |
|
2,090,900 |
|
(856,636 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$9,962,192 |
|
$11,121,300 |
|
$(1,159,108 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(E) Total return swap agreement outstanding at December 31, 2009:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pay/Receive |
|
Index |
|
# of Shares |
|
Floating Rate (6) |
|
Notional |
|
Maturity |
|
Counterparty |
|
Unrealized |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Receive |
|
MSCI Daily Total Return EAFE |
|
14,456 |
|
1-Month USD-LIBOR munis 0.24% |
|
$53,507,294 |
|
11/30/10 |
|
Merrill Lynch & Co. |
|
$770,926 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(6) Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.
|
|
|
|
|
EAFE—Europe and Australia, Far East Equity Index |
|
LIBOR—London Inter-Bank Offered Rate |
|
MSCI—Morgan Stanley Capital International |
(F) Forward foreign currency contracts outstanding at December 31, 2009:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
U.S.$ Value on |
|
U.S.$ Value |
|
Unrealized |
|
|
|
|
|
|
|
|
|
|
|
|
|
Sold: |
|
|
|
|
|
|
|
|
|
|
371,000 British Pound settling 1/13/10 |
|
Citigroup |
|
$617,033 |
|
$599,083 |
|
$17,950 |
|
|
3,645,000 Euro settling 1/8/10 |
|
HSBC Bank USA |
|
5,500,305 |
|
5,229,643 |
|
270,662 |
|
|
109,934,000 Japanese Yen settling 1/25/10 |
|
BNP Paribas Bank |
|
1,224,857 |
|
1,181,001 |
|
43,856 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$332,468 |
|
|
|
|
|
|
|
|
|
|
|
|
The Fund received $14,080,000 in cash as collateral for derivative contracts. Cash collateral received may be invested in accordance with the Funds investment strategy.
(G) Open reverse repurchase agreements at December 31, 2009:
The weighted average daily balance of reverse repurchase agreements outstanding during the nine months ended December 31, 2009 was $83,342,363 at a weighted average interest rate of 0.54%. The total market value of underlying collateral (refer to the Schedule of Investments for positions segregated as collateral for reverse repurchase agreements) for open reverse repurchase agreements at December 31, 2009 was $167,121,250.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Rate |
|
Trade Date |
|
Maturity Date |
|
Principal & Interest |
|
Principal |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bank of America |
|
0.55% |
|
12/3/09 |
|
|
1/5/10 |
|
|
$980,467 |
|
$979,988 |
|
|
|
|
0.55% |
|
12/11/09 |
|
|
1/11/10 |
|
|
1,844,401 |
|
1,843,725 |
|
|
|
|
0.55% |
|
12/14/09 |
|
|
1/12/10 |
|
|
3,477,115 |
|
3,476,000 |
|
|
|
|
0.85% |
|
12/3/09 |
|
|
1/5/10 |
|
|
769,328 |
|
768,748 |
|
|
|
|
1.03% |
|
12/3/09 |
|
|
1/6/10 |
|
|
7,479,842 |
|
7,473,000 |
|
|
|
|
1.35% |
|
12/2/09 |
|
|
1/5/10 |
|
|
1,683,081 |
|
1,681,000 |
|
|
Barclays Bank |
|
0.19% |
|
12/14/09 |
|
|
1/13/10 |
|
|
68,534,595 |
|
68,527,000 |
|
|
|
|
0.25% |
|
12/14/09 |
|
|
1/13/10 |
|
|
1,444,210 |
|
1,444,000 |
|
|
|
|
0.65% |
|
12/14/09 |
|
|
1/13/10 |
|
|
4,407,671 |
|
4,406,000 |
|
|
|
|
0.65% |
|
12/23/09 |
|
|
1/25/10 |
|
|
3,355,727 |
|
3,355,000 |
|
|
|
|
1.20% |
|
12/11/09 |
|
|
1/11/10 |
|
|
2,898,317 |
|
2,896,000 |
|
|
|
|
1.35% |
|
12/11/09 |
|
|
1/11/10 |
|
|
4,995,492 |
|
4,991,000 |
|
|
Credit Suisse First Boston |
|
0.55% |
|
12/14/09 |
|
|
1/12/10 |
|
|
3,201,027 |
|
3,200,000 |
|
|
Greenwich Capital |
|
0.98% |
|
12/23/09 |
|
|
1/26/10 |
|
|
2,784,910 |
|
2,784,000 |
|
|
|
|
0.99% |
|
12/3/09 |
|
|
1/5/10 |
|
|
1,450,279 |
|
1,449,000 |
|
|
|
|
0.99% |
|
12/4/09 |
|
|
1/7/10 |
|
|
1,649,398 |
|
1,648,000 |
|
|
|
|
1.13% |
|
12/23/09 |
|
|
1/26/10 |
|
|
637,240 |
|
637,000 |
|
|
|
|
1.14% |
|
12/3/09 |
|
|
1/5/10 |
|
|
1,257,276 |
|
1,256,000 |
|
|
|
|
1.14% |
|
12/4/09 |
|
|
1/7/10 |
|
|
3,173,098 |
|
3,170,000 |
|
|
JPMorgan Chase |
|
0.85% |
|
12/23/09 |
|
|
1/27/10 |
|
|
12,294,482 |
|
12,291,000 |
|
|
Morgan Stanley |
|
0.55% |
|
12/21/09 |
|
|
1/20/10 |
|
|
6,552,401 |
|
6,551,000 |
|
|
|
|
0.85% |
|
12/2/09 |
|
|
1/5/10 |
|
|
1,512,097 |
|
1,510,920 |
|
|
|
|
0.85% |
|
12/3/09 |
|
|
1/5/10 |
|
|
3,261,463 |
|
3,259,000 |
|
|
|
|
0.90% |
|
12/21/09 |
|
|
1/20/10 |
|
|
5,684,989 |
|
5,683,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$145,280,381 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Fund received $275,000 in principal value of U.S. Treasury Bills and $330,000 in cash as collateral for reverse repurchase agreements. Cash collateral received may be invested in accordance with the Fund’s investment strategy. Collateral received as securities cannot be pledged.
Fair
Value Measurements
Fair
value is defined as the price that would be received to sell an asset or paid
to transfer a liability (i.e. the “exit price”) in an orderly transaction
between market participants. The three levels of the fair value hierarchy are
described below:
|
|
|
|
|
|
• |
Level 1 – quoted prices in active markets for identical investments that the Fund has the ability to access |
|
|
|
|
|
|
• |
Level 2 – valuations based on other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) or quotes from inactive exchanges |
|
|
|
|
|
|
• |
Level 3 – valuations based on significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in the aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique used.
The valuation techniques used by the Fund to measure fair value during the nine months ended December 31, 2009 maximized the use of observable inputs and minimized the use of unobservable inputs. When fair-valuing securities, the Fund utilized option-adjusted spread pricing techniques.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
A summary of the inputs used at December 31, 2009 in valuing the Fund’s assets and liabilities is listed below:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 - |
|
Level 2 - |
|
Level 3 - |
|
Value at |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities - Assets |
|
|
|
|
|
|
|
|
|
|
Mortgaged-Backed Securities |
|
— |
|
$68,920,435 |
|
$5,771,959 |
|
$74,692,394 |
|
|
Corporate Bonds & Notes: |
|
|
|
|
|
|
|
|
|
|
Airlines |
|
— |
|
1,050,000 |
|
4,129,623 |
|
5,179,623 |
|
|
All Other |
|
— |
|
68,316,259 |
|
— |
|
68,316,259 |
|
|
U.S. Government Agency Securities |
|
— |
|
72,271,074 |
|
— |
|
72,271,074 |
|
|
Asset-Backed Securities |
|
— |
|
11,319,011 |
|
1,157,034 |
|
12,476,045 |
|
|
U.S. Treasury Bonds and Notes |
|
— |
|
11,661,995 |
|
— |
|
11,661,995 |
|
|
Senior Loans |
|
— |
|
1,795,816 |
|
— |
|
1,795,816 |
|
|
Municipal Bonds & Notes |
|
— |
|
1,536,019 |
|
— |
|
1,536,019 |
|
|
Common Stock |
|
$718,661 |
|
— |
|
— |
|
718,661 |
|
|
Short-Term Investments |
|
— |
|
12,328,607 |
|
— |
|
12,328,607 |
|
|
Options Purchased |
|
124,600 |
|
— |
|
— |
|
124,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities - Assets |
|
$843,261 |
|
$249,199,216 |
|
$11,058,616 |
|
$261,101,093 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities - Liabilities |
|
|
|
|
|
|
|
|
|
|
Options Written, at value |
|
$(1,152,550 |
) |
— |
|
— |
|
$(1,152,550 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments* |
|
$301,235 |
|
$508,477 |
|
$1,161,813 |
|
$1,971,525 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments |
|
$(8,054 |
) |
$249,707,693 |
|
$12,220,429 |
|
$261,920,068 |
|
|
|
|
|
|
|
|
|
|
|
|
A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the nine months ended December 31, 2009, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beginning |
|
Net |
|
Accrued |
|
Total Realized |
|
Total Change |
|
Transfers in |
|
Ending Balance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities - Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgaged-Backed Securities |
|
$1,173,027 |
|
$4,019,625 |
|
$63,955 |
|
$(112 |
) |
$515,464 |
|
— |
|
$5,771,959 |
|
|
Corporate Bonds & Notes: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines |
|
2,646,768 |
|
668,341 |
|
29,272 |
|
(87,399 |
) |
872,641 |
|
— |
|
4,129,623 |
|
|
Asset-Backed Securities |
|
— |
|
(86,474 |
) |
(114 |
) |
(140 |
) |
(370,694 |
) |
$1,614,456 |
|
1,157,034 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities - Assets |
|
$3,819,795 |
|
$4,601,492 |
|
$93,113 |
|
$(87,651 |
) |
$1,017,411 |
|
$1,614,456 |
|
$11,058,616 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments* |
|
$2,679,330 |
|
— |
|
— |
|
— |
|
$(1,059,638 |
) |
$(457,879 |
) |
$1,161,813 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments |
|
$6,499,125 |
|
$4,601,492 |
|
$93,113 |
|
$(87,651 |
) |
$(42,227 |
) |
$1,156,577 |
|
$12,220,429 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*Other Financial Instruments are derivative instruments not reflected in the Schedule of Investments, such as futures contracts, swap agreements and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) of the instrument.
The net change in unrealized appreciation/depreciation on investments and other financial instruments, which the Fund held at December 31, 2009 was $649,298 and $(396,587), respectively.
Item 2. Controls and Procedures
(a) The registrant’s President & Chief Executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))), are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no significant changes in the registrant’s internal 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 last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3. Exhibits
(a) Exhibit 99.302 Cert. – Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: PIMCO Global StocksPLUS® & Income Fund
By /s/ Brian
S. Shlissel
President & Chief Executive Officer
Date: February 23, 2010
By /s/
Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: February 23, 2010
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
President & Chief Executive Officer
Date: February 23, 2010
By /s/
Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date February 23, 2010